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, 2005
ITEM 1. | REPORTS TO STOCKHOLDERS. | |
The Semi-Annual Report to Stockholders is filed herewith. |
Goldman Sachs Funds TAXABLE FIXED INCOME FUNDS Semiannual Report April 30, 2005 Current income potential from portfolios that invest in a variety of fixed income securities. |
Goldman Sachs Taxable Fixed Income Funds GOLDMAN SACHS ENHANCED INCOME FUND GOLDMAN SACHS ULTRA-SHORT DURATION GOVERNMENT FUND GOLDMAN SACHS SHORT DURATION GOVERNMENT FUND GOLDMAN SACHS GOVERNMENT INCOME FUND GOLDMAN SACHS U.S.MORTGAGES FUND GOLDMAN SACHS CORE FIXED INCOME FUND GOLDMAN SACHS INVESTMENT GRADE CREDIT FUND NOT FDIC-INSURED May Lose Value No Bank Guarantee |
GOLDMAN SACHS TAXABLE FIXED INCOME FUNDS 1 What Distinguishes Goldman Sachs’ Fixed Income Investment Process? RIGOROUS SECURITY SELECTION 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 PRECISE PORTFOLIO CONSTRUCTION Assess relative value among sectors (such as mortgages and corporates) and sub-sectors Leverage the vast resources of Goldman Sachs in selecting securities for each portfolio 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. 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 A key element of our fixed income investment philosophy is to evaluate the broadest global opportunity set to capture relative value across sectors and instruments. Our globally integrated investment process involves managing dynamically along the risk/return spectrum, as we continue to develop value-added strategies through: 1 |
2 Performance Review Over the six-month period that ended April 30, 2005, the Fund’s Class A, Institutional and Administration Shares generated cumulative total returns, without sales charges, of 0.72%, 0.92% and 0.80%, respectively. These returns compare to the 1.06% and 0.58% cumulative total returns of the Fund’s benchmarks, the Six-Month U.S. Treasury Bill Index and the One- Year U.S. Treasury Note Index, respectively, over the same time period.* The primary drivers of performance over the reporting period were a combination of sector and security selection strategies. The Fund’s emphasis on shorter-term, higher credit quality securities helped enhance results. The Fund benefited from the spread advantage of these securities. In addition, security selection within individual sectors was a key driver of returns. Within the corporate sector, the Fund held an overweight to high credit quality financials. This strategy proved beneficial as risk aversion returned to the markets in the latter part of the reporting period, pushing credit spreads wider and causing lower credit quality to underperform. Security selection within the asset-backed sector, which was concentrated in autos, also contributed to returns. Higher short-term interest rates were a drag on the Fund’s total return and relative performance versus the Six-Month U.S. Treasury Bill Index. The Fund held a short duration position in anticipation of higher interest rates; this strategy helped enhance results relative to the One- Year U.S. Treasury Note Index. Market Review The U.S. Treasury yield curve flattened over the reporting period as yields at the short to intermediate part of the curve rose more than yields at the long end. The primary driver of higher short-term interest rates was the Federal Reserve’s (the “Fed”) four 25 basis point rate increases that brought the federal funds rate to 2.75% at the close of the period. The longerend of the curve responded to mixed economic data. Investment grade sector spreads were mixed over the period, with higher quality sectors outperforming lower quality. Enhanced Income Fund Dear Shareholder, This report provides an overview on the performance of the Goldman Sachs Enhanced Income Fund during the six-month reporting period that ended April 30, 2005. PORTFOLIO RESULTS 2 * Unlike the Fund’s total return, the Indices’ performance does not reflect any deduction for fees or expenses. PORTFOLIO RESULTS |
3 Investment Objective The Fund seeks to generate return in excess of traditional money market products while maintaining an emphasis on preservation of capital and liquidity. It is important to note that the Fund is not a money market fund and its net asset value will fluctuate. Investment Strategies In seeking to meet the Fund’s objective, we diversify our exposure across high credit quality sectors. Although securities held in this portfolio may have maturities greater than one year, the portfolio duration can be hedged to approximate the interest rate sensitivity of the 9-month Treasury Bill by investing in floating rate debt and through the use of interest rate futures contracts. The Fund uses derivatives, including, but not limited to, Treasury futures, Eurodollar futures and swaps, primarily as a tool to manage interest rate exposure, volatility, term structure, convexity (the rate of change in the portfolio’s duration as yields change), and sector exposure. The Fund may also use derivatives to express our interest rate outlook. We believe that using derivatives, including both futures and swaps, in the portfolio has been an effective portfolio management tool. Futures have been efficiently employed to hedge duration (interest rate sensitivity) drift that may occur due to the passage of time, or changing interest rates. In addition, futures allowed us to optimize security selection by giving us the flexibility to select the most attractive securities for the portfolio, regardless of the securities’ maturity/duration. Finally, futures and swaps were important tools in implementing certain interest rate and spread views. Portfolio Composition The Fund targets a duration of nine months, with diversified holdings in high credit quality sectors including U.S. Treasuries, quasi-governments, corporate, asset-backed, and money market instruments. “Quasi-governments” include agency securities offered by companies such as Fannie Mae and Freddie Mac, which operate under a government charter. Although quasi-government agencies have to answer to a government regulator, their assets are not explicitly guaranteed by the government, and they otherwise operate like any other publicly traded company. The Fund invests in securities with a minimum credit quality of “A” by a Nationally Recognized Statistical Rating Organization (“NRSRO”) at the time of purchase or, if unrated, determined by the investment adviser to be of comparable quality. The Fund was defensively positioned for much of the reporting period due to our belief that rates would move higher. The Fund continues to emphasize shorter-term, higher credit quality securities that we believe have the potential to enhance results. We tactically adjusted the PORTFOLIO RESULTS |
4 Fund’s exposures to take advantage of changing relative valuations over the period. For example, we trimmed the Fund’s allocation to asset-backed securities in favor of more attractive opportunities within the corporate market. At the end of the fiscal year, the Fund’s largest sector weights were in corporates, followed by quasi-governments and asset-backed securities. Portfolio Highlights Asset-Backed Securities — 19.2% on October 31, 2004 and 10.5% on April 30, 2005. Corporates — 40.9% on October 31, 2004 and 57.0% on April 30, 2005. Quasi-Governments — 40.1% on October 31, 2004 and 37.8% on April 30, 2005. We thank you for your investment and look forward to your continued confidence. Goldman Sachs U.S. Fixed Income Investment Management Team May 9, 2005 Enhanced Income Fund as of April 30, 2005 PERFORMANCE REVIEW Six-Month One-Year November 1, 2004– Fund Total Return U.S.Treasury U.S.Treasury 30-Day April 30, 2005 (based on NAV)1 Bill Index2 Note Index2 Standardized Yield3 Class A 0.72% 1.06% 0.58% 3.05% Institutional 0.92 1.06 0.58 3.50 Administration 0.80 1.06 0.58 3.25 1 The 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. 2 The Six-Month U.S. Treasury Bill Index and One-Year U.S. Treasury Note Index, as reported by Merrill Lynch, do not reflect any deduction for fees, expenses or taxes. 3 The 30-Day Standardized Yield of the Fund is calculated by dividing the net investment income per share (as defined by securities industry regulations) earned by the Fund over a 30-day period (ending on the stated month-end date) by the maximum public offering price per share of the Fund on the last day of the period. This number is then annualized. This yield does not necessarily reflect income actually earned and distributed by the Fund and, therefore, may not be correlated with the dividends or other distributions paid to shareholders. STANDARDIZED TOTAL RETURNS4 For the period ended 3/31/05 Class A Institutional Administration One Year -0.82% 1.09% 0.83% Since Inception 2.88 3.60 3.36 (8/2/00) (8/2/00) (8/2/00) 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 NAV. These returns reflect a maximum initial sales charge of 1.5% for Class A Shares. Because Institutional and Administration Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. Total return figures in the above charts represent past performance and do not guarantee future results, which will vary. The investment return and principal value of an investment will fluctuate and, therefore, an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the total return figures in the above charts. Please visit www.gs.com/funds 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. SECTOR ALLOCATION AS OF 4/30/05 5 Percentage of Portfolio 5 Percentages may not sum to 100% due to exclusion of the Fund’s cash position. The Fund is actively managed and, as such, its composition may differ over time. FUND BASICS $439.4 Million Assets Under Management GEIAX Class A Shares NASDAQ SYMBOLS GEIIX Institutional Shares GEADX Administration Shares |
5 0% 10% 20% 30% 40% 50% 60% Asset-Backed Quasi-Governments Corporates 57.0% 37.8% 10.5% PORTFOLIO RESULTS |
6 Performance Review Over the six-month period that ended April 30, 2005, the Fund’s Class A, Institutional, and Service Shares generated cumulative total returns, without sales charges, of 0.94%, 1.14% and 1.00%, respectively. These returns compare to the 1.06% and 0.58% cumulative total returns of the Fund’s benchmarks, the Six-Month U.S. Treasury Bill Index and the One-Year U.S. Treasury Note Index, respectively, over the same time period.* The primary drivers of performance over the period were sub-sector and security selection strategies. The Fund’s exposure to collateralized sectors, namely mortgages and asset-backed securities, contributed to performance as these sectors performed well and outperformed Treasuries over the reporting period. Within mortgages, security selection among adjustable rate mortgages (ARMs), collateralized mortgage obligations (CMOs) and fixed rate passthroughs enhanced returns. Within the asset-backed sector, we held a preference for home equity floating rate securities due to relative value opportunities in the market. This also contributed to returns. Throughout the reporting period, we took an active view that the spread between LIBOR rates and Treasury rates would widen. This view, which was implemented using swap contracts, was an overall positive contributor to total returns over the period. Higher interest rates at the front end of the yield curve were a drag on the Fund’s total return and relative performance versus the Six-Month U.S. Treasury Bill Index. The Fund held a short-duration position in anticipation of higher interest rates; this strategy helped enhance results relative to the One-Year U.S. Treasury Note Index. Market Review The U.S. Treasury yield curve flattened over the reporting period as yields at the short to intermediate part of the curve rose more than yields at the long end. The primary driver of higher short-term interest rates was the Fed’s four 25 basis point rate increases that brought the federal funds rate to 2.75% at the close of the period. The longer-end of the curve responded to mixed economic data. Investment grade sector spreads were mixed over the period, with higher quality sectors outperforming lower quality. Investment Objective The Fund seeks to provide a high level of current income, consistent with low volatility of principal. Ultra-Short Duration Government Fund Dear Shareholder: This report provides an overview on the performance of the Goldman Sachs Ultra-Short Duration Government Fund during the six-month reporting period that ended April 30, 2005. * Unlike the Fund’s total return, the Indices’ performance does not reflect any deduction for fees or expenses. PORTFOLIO RESULTS |
7 Investment Strategies The Fund seeks to meet its objective by investing at least 80% of its net assets in U.S. government securities including securities representing an interest in or collateralized by adjustable rate and fixed rate mortgage loans. The Fund uses derivatives, including, but not limited to, Treasury futures, Eurodollar futures and swaps, primarily as a tool to manage interest rate exposure, volatility, term structure, convexity (the rate of change in the portfolio’s duration as yields change), and sector exposure. The Fund may also use derivatives to express our interest rate outlook. We believe that using derivatives, including both futures and swaps, in the portfolio has been an effective portfolio management tool. Futures have been efficiently employed to hedge duration (interest rate sensitivity) drift that may occur due to the passage of time, changing interest rates or changing mortgage durations. In addition, futures allowed us to optimize security selection by giving us the flexibility to select the most attractive securities for the portfolio, regardless of the securities’ maturity/duration. Finally, futures and swaps were important tools in implementing certain interest rate and spread views. Portfolio Composition Over the period, the Fund continued to focus on security selection and sub-sector strategies within the collateralized sectors. We tactically adjusted the Fund’s exposures to take advantage of changing relative opportunities within the market. For example, we decreased the Fund’s exposure to asset-backed securities as valuations within the sector became less compelling. We increased the allocation to quasi-governments, namely agency debentures, to take advantage of value within specific securities. “Quasi-governments” include agency securities offered by companies such as Fannie Mae and Freddie Mac, which operate under a government charter. Although quasi-government agencies have to answer to a government regulator, their assets are not explicitly guaranteed by the government, and they otherwise operate like any other publicly traded company. Within mortgages, the Fund’s primary exposures were to the ARMs, CMOs and pass-through sub-sectors. The Fund was defensively positioned for much of the reporting period, due to our belief that rates would increase. PORTFOLIO RESULTS |
8 Portfolio Highlights Adjustable Rate Mortgages — 31.6% on October 31, 2004 and 34.9% on April 30, 2005. Asset-Backed Securities — 10.5% on October 31, 2004 and 4.2% on April 30, 2005. Collateralized Mortgage Obligations — 16.1% on October 31, 2004 and 13.9% on April 30, 2005. Pass-Throughs — 14.2% on October 31, 2004 and 11.2% on April 30, 2005. Quasi-Governments — 14.8% on October 31, 2004 and 32.6% on April 30, 2005. We thank you for your investment and look forward to your continued confidence. Goldman Sachs U.S. Fixed Income Investment Management Team May 9, 2005 FUND BASICS |
9 Ultra-Short Duration Government Fund as of April 30, 2005 PERFORMANCE REVIEW Six-Month One-Year November 1, 2004– Fund Total Return U.S.Treasury U.S.Treasury 30-Day April 30, 2005 (based on NAV)1 Bill Index2 Note Index2 Standardized Yield3 Class A 0.94% 1.06% 0.58% 2.19% Institutional 1.14 1.06 0.58 2.63 Service 1.00 1.06 0.58 2.12 1 The 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. 2 The Six-Month U.S. Treasury Bill Index and One-Year U.S. Treasury Note Index, as reported by Merrill Lynch, do not reflect any deduction for fees, expenses or taxes. 3 The 30-Day Standardized Yield of the Fund is calculated by dividing the net investment income per share (as defined by securities industry regulations) earned by the Fund over a 30-day period (ending on the stated month-end date) by the maximum public offering price per share of the Fund on the last day of the period. This number is then annualized. This yield does not necessarily reflect income actually earned and distributed by the Fund and, therefore, may not be correlated with the dividends or other distributions paid to shareholders. STANDARDIZED TOTAL RETURNS4 For the period ended 3/31/05 Class A Institutional Service One Year -0.03% 1.85% 1.55% Five Years 3.12 3.87 3.40 Ten Years N/A 4.85 N/A Since Inception 4.26 4.80 3.90 (5/15/95) (7/17/91) (3/27/97) 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 NAV. These returns reflect a maximum initial sales charge of 1.5% for Class A Shares. Because Institutional and Service Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. Total return figures in the above charts represent past performance and do not guarantee future results, which will vary. The investment return and principal value of an investment will fluctuate and, therefore, an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the total return figures in the above charts. Please visit www.gs.com/funds 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. S E C TO R A L LOCAT I O N A S O F 4 / 3 0 / 0 5 5 Percentage of Portfolio 5 Percentages may not sum to 100% due to exclusion of the Fund’s cash position. The Fund is actively managed and, as such, its composition may differ over time. $247.8 Million Assets Under Management GSAMX Class A Shares NASDAQ SYMBOLS GSARX Institutional Shares GSASX Service Shares $1.0 Billion 0% 20% 40% 60% 80% Governments Asset-Backed Quasi-Governments Mortgage-Backed 61.4% 32.6% 4.2% 2.1% PORTFOLIO RESULTS |
10 Performance Review Over the six-month period that ended April 30, 2005, the Fund’s Class A, B, C, Institutional and Service Shares generated cumulative total returns, without sales charges, of 0.19%, - -0.11%, -0.28%, 0.39% and 0.14%, respectively. These returns compare to the -0.20% cumulative total return of the Fund’s benchmark, the Two-Year U.S. Treasury Note Index, over the same time period.* The primary drivers of performance over the period were sub-sector and security selection strategies. Class C Shares were impacted by the same strategies. However, these shares did not outperform the benchmark due to higher expenses. The Fund’s continued emphasis on government-issued sectors, such as agency debentures and mortgage-backed securities (MBS), contributed positively to returns over the period. Within mortgages, the Fund’s primary exposures were to the adjustable rate mortgages (ARMs), collateralized mortgage obligations (CMOs) and pass-through sub-sectors. Higher interest rates were a drag on the Fund’s total return. Short-term interest rates rose in response to increased concerns over inflationary pressures and expectations of continued, and possibly accelerated, Fed tightening. The Fund accordingly held a short duration position in anticipation of higher interest rates, a strategy which helped enhance results relative to the Index. Market Review The U.S. Treasury yield curve flattened over the reporting period as yields at the short to intermediate part of the curve rose more than yields at the long end. The primary driver of higher short-term interest rates was the Fed’s four 25 basis point rate increases that brought the federal funds rate to 2.75% at the close of the period. The longer-end of the curve responded to mixed economic data. Investment grade sector spreads were mixed over the period, with higher quality sectors outperforming lower quality. Investment Objective The Fund seeks a high level of current income and secondarily, in seeking current income, may also consider the potential for capital appreciation. Investment Strategies In seeking to meet its objective, the Fund invests in a diversified portfolio of U.S. government securities. The Fund uses derivatives, including, but not limited to, Treasury futures, Eurodollar futures and swaps, primarily as a tool to manage interest rate exposure, volatility, term Short Duration Government Fund Dear Shareholder: This report provides an overview on the performance of the Goldman Sachs Short Duration Government Fund during the six-month reporting period that ended April 30, 2005. * Unlike the Fund’s total return, the Index’s performance does not reflect any deduction for fees or expenses. PORTFOLIO RESULTS |
11 structure, convexity (the rate of change in the portfolio’s duration as yields change) and sector exposure. The Fund may also use derivatives to express our interest rate outlook. We believe that using derivatives, including both futures and swaps, in the portfolio has been an effective portfolio management tool. Futures have been efficiently employed to hedge duration (interest rate sensitivity) drift that may occur due to the passage of time, changing interest rates or changing mortgage durations. In addition, futures allowed us to optimize security selection by giving us the flexibility to select the most attractive securities for the portfolio, regardless of the securities’ maturity/duration. Finally, futures and swaps were important tools in implementing certain interest rate and spread views. Portfolio Composition Over the period, the Fund continued to focus on security selection and sub-sector strategies within the collateralized sectors. Within mortgages, the Fund’s primary exposures were to the ARMs, CMOs, and pass-through sub-sectors. We tactically adjusted the Fund’s exposures to take advantage of changing relative opportunities within the market. For example, we decreased the Fund’s exposure to fixed rate pass-throughs and government securities in favor of more attractive valuations within quasi-governments. “Quasi-governments” include agency securities offered by companies such as Fannie Mae and Freddie Mac, which operate under a government charter. Although quasi-government agencies have to answer to a government regulator, their assets are not explicitly guaranteed by the government, and they otherwise operate like any other publicly traded company. We positioned the Fund defensively for much of the period and maintained a short duration position relative to its benchmark, due to our belief that interest rates would increase. Portfolio Highlights Adjustable Rate Mortgages — 30.5% on October 31, 2004 and 24.3% on April 30, 2005. Collateralized Mortgage Obligations — 16.0% on October 31, 2004 and 13.6% on April 30, 2005. Governments — 10.3% on October 31, 2004 and 5.0% on April 30, 2005. Pass-Throughs — 13.6% on October 31, 2004 and 7.0% on April 30, 2005. Quasi-Governments — 23.6% on October 31, 2004 and 40.0% on April 30, 2005. We thank you for your investment and look forward to your continued confidence. Goldman Sachs U.S. Fixed Income Investment Management Team May 9, 2005 FUND BASICS |
12 Short Duration Government Fund as of April 30, 2005 PERFORMANCE REVIEW November 1, 2004– Fund Total Return Two-Year U.S. 30-Day April 30, 2005 (based on NAV)1 Treasury Note Index2 Standardized Yield3 Class A 0.19% -0.20% 2.67% Class B -0.11 -0.20 2.14 Class C -0.28 -0.20 1.99 Institutional 0.39 -0.20 3.12 Service 0.14 -0.20 2.63 1 The 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. 2 The Two-Year U.S. Treasury Note Index, as reported by Merrill Lynch, does not reflect any deduction for fees, expenses or taxes. 3 The 30-Day Standardized Yield of the Fund is calculated by dividing the net investment income per share (as defined by securities industry regulations) earned by the Fund over a 30-day period (ending on the stated month-end date) by the maximum public offering price per share of the Fund on the last day of the period. This number is then annualized. This yield does not necessarily reflect income actually earned and distributed by the Fund and, therefore, may not be correlated with the dividends or other distributions paid to shareholders. STANDARDIZED TOTAL RETURNS4 For the period ended 3/31/05 Class A Class B Class C Institutional Service One Year -2.18% -2.91% -2.07% 0.06% -0.43% Five Years 4.57 4.36 4.19 5.39 4.85 Ten Years N/A N/A N/A 5.69 N/A Since Inception 4.62 4.25 3.91 6.24 4.95 (5/1/97) (5/1/97) (8/15/97) (8/15/88) (4/10/96) 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 NAV. These returns reflect a maximum initial sales charge of 2% for Class A Shares, the assumed contingent deferred sales charge for Class B Shares (2% maximum declining to 0% after three years) and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional and Service Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. Total return figures in the above charts represent past performance and do not guarantee future results, which will vary. The investment return and principal value of an investment will fluctuate and, therefore, an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the total return figures in the above charts. Please visit www.gs.com/funds 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. S E C TO R A L LOCAT I O N A S O F 4 / 3 0 / 0 5 5 Percentage of Portfolio 5 Percentages may not sum to 100% due to exclusion of the Fund’s cash position. The Fund is actively managed and, as such, its composition may differ over time. $179.4 Million Assets Under Management GSSDX Class A Shares NASDAQ SYMBOLS GSDGX Class B Shares GSDCX Class C Shares Institutional Shares Service Shares 780.6 0% 10% 20% 30% 40% 50% Asset-Backed Governments Quasi-Governments Mortgage-Backed 45.1% 40.0% 5.0% 0.4% GSDSX GSTGX PORTFOLIO RESULTS |
13 Performance Review Over the six-month period that ended April 30, 2005, the Fund’s Class A, B, C, Institutional and Service Shares generated cumulative total returns, without sales charges, of 0.88%, 0.51%, 0.58%, 1.22% and 0.83%, respectively. These returns compare to the 1.16% cumulative total return of the Fund’s benchmark, the Lehman Brothers Government/Mortgage Index, over the same time period.* A combination of sector, security selection and duration strategies drove performance over the reporting period. The outperformance of the Fund’s Institutional Shares versus its benchmark was primarily due to sub-sector and security selection strategies within the collateralized sectors. Class A, B, C and Service Shares benefited from the same strategies, but did not outperform the benchmark due to expenses. The Fund maintained an underweight exposure to mortgages for much of the reporting period based on our evaluation of the sector. Negative fundamentals, including low spreads, warranted a reduction in mortgage risk in the Fund. This strategy detracted from returns as mortgages outperformed Treasuries over the period. However, the impact of our sector underweight was mitigated by security selection strategies across the collateralized sectors. Within mortgages, security selection strategies within pass-throughs, adjustable-rate mortgages (ARMs) and collateralized mortgage obligations (CMOs), and our selective use of mortgage-backed securities derivatives contributed positively to performance. Within the asset-backed sector, we held a preference for home equity floating rate securities due to relative value opportunities in the market. This also contributed positively to relative returns. Although higher interest rates were a drag on total returns, the Fund’s short duration position relative to its benchmark helped enhance relative results. Market Review The U.S. Treasury yield curve flattened over the reporting period as yields at the short to intermediate part of the curve rose more than yields at the long end. The primary driver of higher short-term interest rates was the Fed’s four 25 basis point rate increases that brought the federal funds rate to 2.75% at the close of the period. The longer-end of the curve responded to mixed economic data. Investment grade sector spreads were mixed over the period, with higher quality sectors outperforming lower quality. Investment Objective The Fund seeks a high level of current income, consistent with safety of principal. Government Income Fund Dear Shareholder: This report provides an overview on the performance of the Goldman Sachs Government Income Fund during the six-month reporting period that ended April 30, 2005. * Unlike the Fund’s total return, the Index’s performance does not reflect any deduction for fees or expenses. PORTFOLIO RESULTS |
14 Investment Strategies The Fund seeks to meet its objective by investing at least 80% of its net assets in U.S. government securities and in repurchase agreements collateralized by these securities, and in other securities of the highest credit quality. The Fund uses derivatives, including, but not limited to, Treasury futures, Eurodollar futures and swaps, primarily, as a tool to manage interest rate exposure, volatility, term structure, convexity (the rate of change in the portfolio’s duration as yields change), and sector exposure. The Fund may also use derivatives to express our interest rate outlook. We believe that using derivatives, including both futures and swaps, in the portfolio has been an effective portfolio management tool. Futures have been efficiently employed to hedge duration (interest rate sensitivity) drift that may occur due to the passage of time, changing interest rates or changing mortgage durations. In addition, futures allowed us to optimize security selection by giving us the flexibility to select the most attractive securities for the portfolio, regardless of the securities maturity/duration. Finally, futures and swaps were important tools in implementing certain interest rate and spread views. Portfolio Composition Over the period, the Fund’s investment strategy continued to focus on sectors and securities that we believed would generate a competitive total rate of return relative to the benchmark. We also tactically adjusted the Fund’s exposures to take advantage of changing relative opportunities within the market. For example, over the period we increased the overall exposure to the mortgage and quasi-governments sectors due to more attractive relative valuations. Within mortgages, we shifted our bias towards bonds with less exposure to volatility. The Fund maintained its exposure to hybrid ARMs and low duration CMOs. Within fixed rate pass-throughs, the Fund shifted its bias towards 15-years and premium 30-years. We tactically reduced the Fund’s exposure to asset-backed home equity floaters as spreads tightened in the sector. At the end of the reporting period, the Fund’s largest sector weights were in mortgage-backed securities, followed by quasi-government and government securities. “Quasi-governments” include agency securities offered by companies such as Fannie Mae and Freddie Mac, which operate under a government charter. Although quasi-government agencies have to answer to a government regulator, their assets are not explicitly guaranteed by the government, and they otherwise operate like any other publicly traded company. During the period, we positioned the Fund defensively, maintaining a short duration position relative to the benchmark, due to our belief that rates would trend higher. PORTFOLIO RESULTS |
15 Portfolio Highlights Asset-Backed Securities — 11.5% on October 31, 2004 and 6.7% on April 30, 2005. Governments — 16.1% on October 31, 2004 and 10.9% on April 30, 2005. Mortgage-Backed Securities — 36.8% on October 31, 2004 and 52.2% on April 30, 2005. Quasi-Governments — 13.3% on October 31, 2004 and 26.6% on April 30, 2005. We thank you for your investment and look forward to your continued confidence. Goldman Sachs U.S. Fixed Income Investment Management Team May 9, 2005 FUND BASICS |
16 Government Income Fund as of April 30, 2005 PERFORMANCE REVIEW Lehman Brothers November 1, 2004– Fund Total Return Government/ 30-Day April 30, 2005 (based on NAV)1 Mortgage Index2 Standardized Yield3 Class A 0.88% 1.16% 2.44% Class B 0.51 1.16 1.82 Class C 0.58 1.16 1.82 Institutional 1.22 1.16 2.95 Service 0.83 1.16 2.46 1 The 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. 2 The Lehman Brothers Government/Mortgage Index, an unmanaged index, does not reflect any deduction for fees, expenses or taxes. 3 The 30-Day Standardized Yield of the Fund is calculated by dividing the net investment income per share (as defined by securities industry regulations) earned by the Fund over a 30-day period (ending on the stated month-end date) by the maximum public offering price per share of the Fund on the last day of the period. This number is then annualized. This yield does not necessarily reflect income actually earned and distributed by the Fund and, therefore, may not be correlated with the dividends or other distributions paid to shareholders. STANDARDIZED TOTAL RETURNS4 For the period ended 3/31/05 Class A Class B Class C Institutional Service One Year -3.52% -4.74% -0.66% 1.51% 0.93% Five Years 5.56 5.33 5.73 6.97 6.44 Ten Years 6.12 N/A N/A N/A 6.515 Since Inception 5.89 5.55 5.18 6.37 6.205 (2/10/93) (5/1/96) (8/15/97) (8/15/97) (2/10/93) 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 NAV. These returns reflect a maximum initial sales charge of 4.5% for Class A Shares, the assumed contingent deferred sales charge for Class B Shares (5% maximum declining to 0% after six years), and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional and Service Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. 5 Performance data for Service Shares prior to 8/15/97 (commencement of operations) is that of Class A Shares (excluding the impact of front-end sales charges applicable to Class A Shares since Service Shares are not subject to any sales charges). Performance of Class 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 and rankings for a class of shares. Total return figures in the above charts represent past performance and do not guarantee future results, which will vary. The investment return and principal value of an investment will fluctuate and, therefore, an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the total return figures in the above charts. Please visit www.gs.com/funds 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. $720.4 Million Assets Under Management GSGOX Class A Shares NASDAQ SYMBOLS GSOBX Class B Shares GSOCX Class C Shares GSOIX Institutional Shares GSOSX Service Shares |
17 S E C TO R A L LOCAT I O N A S O F 4 / 3 0 / 0 5 5 Percentage of Portfolio 5 Percentages may not sum to 100% due to exclusion of the Fund’s cash position. The Fund is actively managed and, as such, its composition may differ over time. FUND BASICS 0% 10% 20% 30% 40% 50% 60% Asset-Backed Governments Quasi-Governments Mortgage-Backed 52.2% 26.6% 10.9% 6.7% PORTFOLIO RESULTS |
18 Performance Review Over the six-month period that ended April 30, 2005, the Fund’s Class A, Institutional and Separate Account Institutional Shares generated cumulative total returns, without sales charges, of 1.07%, 1.28% and 1.31%, respectively. These returns compare to the 1.33% cumulative total return of the Fund’s benchmark, the Lehman Brothers Securitized Index, over the same time period.* The Fund underperformed its benchmark over the reporting period due primarily to its underweight position in mortgage-backed security (MBS) pass-throughs, as they outperformed over the period. However, our selection of out-of-Index collateralized mortgage obligations (CMOs) and adjustable-rate mortgages (ARMs) slightly mitigated the effects of the passthrough underweight. A recent bias toward 15-year and premium 30-year pass-throughs has benefited the Fund’s returns over the last two months of the reporting period, as these securities have been less sensitive to volatility in the market. Market Review Despite some losses in mid-March 2005, mortgages ultimately outperformed equal duration Treasuries over the six-month period. After a strong start to 2005, mortgage spreads widened in response to comments from the Fed regarding interest rates. However, the sector rebounded by the end of March. Looking at the period as a whole, mortgage volatility declined and 30-year collateral outperformed 15-year collateral. Investment Objective The Fund seeks a high level of total return consisting of income and capital appreciation. Investment Strategies In seeking to meet the Fund’s investment objective, we invest at least 80% of its net assets in fixed income securities, including U.S. government and collateralized securities. Collateralized securities may include fixed rate pass-throughs, CMOs, ARMs, mortgage derivatives, and asset-backed securities. To the extent we find them effective instruments to manage the duration of the portfolio, the Fund may employ the use of derivatives, including futures, swaps and Eurodollar futures contracts. We believe that using derivatives, including both futures and swaps, in the portfolio has been an effective portfolio management tool. Futures have been efficiently employed to hedge duration (interest rate sensitivity) drift that may occur due to the passage of time, changing interest rates or changing mortgage durations. In addition, futures allowed us to optimize U.S. Mortgages Fund Dear Shareholder, This report provides an overview on the performance of the Goldman Sachs U.S. Mortgages Fund during the six-month reporting period that ended April 30, 2005. * Unlike the Fund’s total return, the Index’s performance does not reflect any deduction for fees or expenses. PORTFOLIO RESULTS |
19 security selection by giving us the flexibility to select the most attractive securities for the portfolio, regardless of the securities’ maturity/duration. Finally, futures and swaps were important tools in implementing certain interest rate and spread views. Portfolio Composition At the end of the reporting period, the Fund’s duration position was short relative to its benchmark. Over the period, the Fund maintained a range of 60-80% of its portfolio allocated to the fixed rate pass-through sector. The Fund pared down its exposure to pass-throughs in favor of other collateral. We have been adding back to the Fund’s pass-through exposure in recent months, as we have been seeing relative value opportunities during periods of spread widening. We continue to believe that pass-throughs have spread-widening potential, however, we remain cautious. We tactically adjusted the Fund’s exposures to CMOs and ARMs over the period to reflect where we believed relative value opportunities existed. We took profits and pared down the Fund’s exposure to ARMs, as they began approaching what we felt was their fair value. For similar reasons, we slightly reduced the Fund’s exposure to asset-backed securities. At the end of the reporting period, all of the Fund’s asset-backed securities exposure was concentrated in short-term, high quality securities, which we consider to be cash equivalents. Portfolio Highlights Adjustable-Rate Mortgages — 12.4% on October 31, 2004 and 6.3% on April 30, 2005. Asset-Backed Securities — 10.5% on October 31, 2004 and 0.0% on April 30, 2005. Collateralized Mortgage Obligations — 6.6% on October 31, 2004 and 3.0% on April 30, 2005. Governments — 3.5% on October 31, 2004 and 1.5% on April 30, 2005. Mortgage-Backed Derivatives — 0.8% on October 31, 2004 and 0.4% on April 30, 2005. Pass-Throughs — 60.3% on October 31, 2004 and 76.4% on April 30, 2005. We thank you for your investment and look forward to your continued confidence. Goldman Sachs Fixed Income Investment Management Team May 9, 2005 U.S. Mortgages Fund as of April 30, 2005 FUND BASICS PERFORMANCE REVIEW November 1, 2004– Fund Total Return Lehman Brothers 30-Day April 30, 2005 (based on NAV)1 Securitized Index2 Standardized Yield3 Class A 1.07% 1.33% 2.45% Institutional 1.28 1.33 2.77 Separate Account Institutional 1.31 1.33 2.82 1 The 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. 2 The Lehman Brothers Securitized Index is an unmanaged composite of asset-backed securities, collateralized mortgage-backed securities (ERISA eligible) and fixed rate mortgage-backed securities. The Index figures do not reflect any deduction for fees, expenses or taxes. 3 The 30-Day Standardized Yield of the Fund is calculated by dividing the net investment income per share (as defined by securities industry regulations) earned by the Fund over a 30-day period (ending on the stated month-end date) by the maximum public offering price per share of the Fund on the last day of the period. This number is then annualized. This yield does not necessarily reflect income actually earned and distributed by the Fund and, therefore, may not be correlated with the dividends or other distributions paid to shareholders. STANDARDIZED TOTAL RETURNS Separate Account For the period ended 3/31/05 Class A Institutional Institutional One Year -2.23% 2.72% 2.78% Since Inception 0.52 4.38 4.36 (11/3/03) 4 The Standardized Total Returns are average annual total returns as of the most recent calendar quarter-end. They assume reinves tment of all distributions at NAV. These returns reflect a maximum initial sales charge of 4.5% for Class A Shares. Because Institutional and Separate Account Institutional Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. Total return figures in the above charts represent past performance and do not guarantee future results, which will vary. The investment return and principal value of an investment will fluctuate and, therefore, an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the total return figures in the above charts. Please visit www.gs.com/funds 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. S U B — S E C TO R A L LOCAT I O N A S O F 4 / 3 0 / 0 5 5 Percentage of Portfolio 5 Percentages may not sum to 100% due to exclusion of the Fund’s cash position. The Fund is actively managed and, as such, its composition may differ over time. $179.4 Million Assets Under Management GSSDX Class A Shares NASDAQ SYMBOLS GSDGX Institutional Shares Separate Account Institutional Shares 423.6 GSUAX GSUIX GSUPX |
20 0% 10% 20% 30% 40% 50% 60% 70% 80% Commercial Mortgage-Backed Securities Mortgage-Backed Securities Derivatives Collateralized Mortgage Obligations Adjustable Rate Mortgages Pass-Throughs 76.4% 6.3% 3.0% 0.4% 0.2% PORTFOLIO RESULTS |
21 Performance Review Over the six-month period that ended April 30, 2005, the Fund’s Class A, B, C, Institutional and Service Shares generated cumulative total returns, without sales charges, of 1.06%, 0.68%, 0.68%, 1.26% and 1.01%, respectively. These returns compare to the 0.98% cumulative total return of the Fund’s benchmark, the Lehman Brothers Aggregate Bond Index, over the same time period.* The Fund performance over the reporting period was driven largely by our duration and term-structure strategies, as we positioned the portfolio short relative to the benchmark and rates sold off over much of the curve. Our security selection within home equity asset-backed securities (ABS), mortgage pass-throughs and corporate financial securities also strongly benefited returns. Additionally, an underweight to the automotive sub-sector enhanced performance, as it weakened over the period. Class B and C Shares were impacted by the same strategies. However, they did not outperform the benchmark due to higher expenses. Elsewhere, an underweight to mortgage-backed security pass-throughs detracted from performance at the end of 2004, as pass-throughs outperformed Treasuries during the reporting period. Market Review Yields generally sold off over the period, responding to strengthening economic data and continued Fed tightening. The U.S. Treasury yield curve continued to flatten, as shorter-term rates rose more than their longer-term counterparts, largely due to the Fed’s four 25-basis point interest rate increases, which brought the federal funds rate to 2.75%. Over the six-month period, the 10-year Treasuries yield rose 13 basis points, ending the period at 4.20%. Investment grade spreads were neutral to wider versus Treasuries. Investment Objective The Fund seeks a total return consisting of capital appreciation and income that exceeds the total return of the Lehman Brothers Aggregate Bond Index. Investment Strategies In seeking to meet the Fund’s investment objective, we invest at least 80% of its net assets in fixed income securities, including U.S. government, corporate securities, mortgage-backed securities, asset-backed securities and investment grade emerging market debt securities. In addition, to the extent we find them effective instruments to manage the overall duration of the portfolio, the Fund may employ the use of derivatives, including futures, swaps and Eurodollar futures contracts. Core Fixed Income Fund Dear Shareholder, This report provides an overview on the performance of the Goldman Sachs Core Fixed Income Fund during the six-month reporting period that ended April 30, 2005. * Unlike the Fund’s total return, the Index’s performance does not reflect any deduction for fees or expenses. PORTFOLIO RESULTS |
22 We believe that using derivatives, including both futures and swaps, in the portfolio has been an effective portfolio management tool. Futures have been efficiently employed to hedge duration (interest rate sensitivity) drift that may occur due to the passage of time, changing interest rates or changing mortgage durations. In addition, futures allowed us to optimize security selection by giving us the flexibility to select the most attractive securities for the portfolio, regardless of the securities’ maturity/duration. Finally, futures and swaps were important tools in implementing certain interest rate and spread views. Portfolio Composition During the reporting period, we tactically managed the Fund’s duration and term structure strategies to respond to changing market conditions. As of the end of the period, the Fund’s duration position was short relative to the benchmark. At the beginning of the six-month period, we maintained a bias towards lower quality (BBB rated) corporate bonds. However, toward the end of 2004 we reduced the Fund’s exposure to this area, as higher risk sectors began to show signs of weakness. Within the mortgage sector, we gradually increased the Fund’s allocations to adjustable rate mortgages as substitutes for agency pass-throughs. However, by March 2005, we began to see more relative value opportunities in the pass-through market. While we remained underweight in mortgages versus the benchmark, we did selectively add to the Fund’s mortgage holdings. We have been adding back to the Fund’s pass-through exposure in recent months, as we have been seeing relative value opportunities during periods of spread widening. We continue to believe that pass-throughs have spread-widening potential, however, we remain cautious. We took profits and pared down the Fund’s exposure to ABS as they began approaching what we felt was their fair value. At the end of the reporting period, all of the Fund’s ABS exposure was concentrated in short-term, high quality securities, which we consider to be cash equivalents. At the end of the reporting period, 27.0% of the Fund’s portfolio was held in cash/cash equivalents. Cash equivalents included short duration (<1 year), high quality (AAA) fixed income securities but do not include MBS derivatives of similar duration or quality. These securities were held as collateral against mortgage dollar rolls, called TBAs (“to be allocated”), which are highly liquid obligations to buy/sell a mortgage bond in the future. TBAs offer exposure to the mortgage market without actually having to allocate specific mortgage pools. We purchase TBAs if we are looking for liquidity or whenever we believe financing conditions within the roll market are favorable. Portfolio Highlights Asset-Backed Securities — 11.4% on October 31, 2004 and 0.8% on April 30, 2005. Corporates — 17.1% on October 31, 2004 and 15.2% on April 30, 2005. Emerging Market Debt — 0.4% on October 31, 2004 and 0.4% on April 30, 2005. Governments — 16.9% on October 31, 2004 and 10.1% on April 30, 2005. Mortgage-Backed Securities — 26.5% on October 31, 2004 and 37.8% on April 30, 2005. Quasi-Governments — 10.0% on October 31, 2004 and 8.0% on April 30, 2005. We thank you for your investment and look forward to your continued confidence. Goldman Sachs U.S. Fixed Income Investment Management Team May 9, 2005 FUND BASICS |
23 Core Fixed Income Fund as of April 30, 2005 PERFORMANCE REVIEW Lehman Brothers November 1, 2004– Fund Total Return Aggregate 30-Day April 30, 2005 (based on NAV)1 Bond Index2 Standardized Yield3 Class A 1.06% 0.98% 2.35% Class B 0.68 0.98 1.72 Class C 0.68 0.98 1.72 Institutional 1.26 0.98 2.86 Service 1.01 0.98 2.37 1 The 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. 2 The Lehman Brothers Aggregate Bond Index represents an unmanaged diversified portfolio of fixed income securities, including U.S. Treasuries, investment-grade corporate bonds, and mortgage-backed and asset-backed securities. The Index figures do not reflect any deduction for fees, expenses or taxes. 3 The 30-Day Standardized Yield of the Fund is calculated by dividing the net investment income per share (as defined by securities industry regulations) earned by the Fund over a 30-day period (ending on the stated month-end date) by the maximum public offering price per share of the Fund on the last day of the period. This number is then annualized. This yield does not necessarily reflect income actually earned and distributed by the Fund and, therefore, may not be correlated with the dividends or other distributions paid to shareholders. STANDARDIZED TOTAL RETURNS4 For the period ended 3/31/05 Class A Class B Class C Institutional Service One Year -3.19% -4.46% -0.43% 1.74% 1.23% Five Years 6.00 5.79 6.17 7.42 6.89 Ten Years N/A N/A N/A 7.24 N/A Since Inception 5.89 5.74 5.44 6.65 6.32 (5/1/97) (5/1/97) (8/15/97) (1/5/94) (3/13/96) 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 NAV. These returns reflect a maximum initial sales charge of 4.5% for Class A Shares, the assumed contingent deferred sales charge for Class B Shares (5% maximum declining to 0% after six years) and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional and Service Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. Total return figures in the above charts represent past performance and do not guarantee future results, which will vary. The investment return and principal value of an investment will fluctuate and, therefore, an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the total return figures in the above charts. Please visit www.gs.com/funds 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. $331.5 Million Assets Under Management GCFIX Class A Shares NASDAQ SYMBOLS GCFBX Class B Shares GCFCX Class C Shares GSFIX Institutional Shares GSCSX Service Shares $1.8 Billion S E C TO R A L LOCAT I O N A S O F 4 / 3 0 / 0 5 5 Percentage of Portfolio 5 Percentages may not sum to 100% due to exclusion of the Fund’s cash position. The Fund is actively managed and, as such, its composition may differ over time. 6 “Quasi-governments” include agency securities offered by companies such as Fannie Mae and Freddie Mac, which operate under a government charter. Although quasi-government agencies have to answer to a government regulator, their assets are not explicitly guaranteed by the government, and they otherwise operate like any other publicly traded company. FUND BASICS |
24 0% 5% 10% 15% 20% 25% 30% 35% 40% Emerging Markets Debt High Yield Asset-Backed Quasi- Governments6 Governments Corporates Mortgage- Backed 37.8% 10.1% 0.8% 0.7% 0.4% 8.0% 15.2% |
25 PORTFOLIO RESULTS Performance Review Over the six-month period that ended April 30, 2005, the Fund’s Class A, Institutional and Separate Account Institutional Shares generated cumulative total returns, without sales charges, of 0.79%, 1.10%, and 1.13%, respectively. These returns compare to the 0.57% cumulative total return of the Fund’s benchmark, the Lehman Brothers U.S. Credit Index, over the same time period.* In the beginning of the period, demand for corporate bonds was strong given the low interest rate, low volatility market. The Fund’s underweight exposure to the automotive sector also had a positive impact on performance during the period. The most significant detractor from excess returns for the period was the Fund’s low quality bias in the month of March, when higher quality credits outperformed lower quality credit counterparts. This was due to a flight to quality sparked by negative automotive sector credit events. Market Review The Lehman Brothers U.S. Credit Index generated a modest gain over the reporting period. In the beginning of the period, demand for corporate bonds was strong, given the low interest rate, low volatility market. However, the market sold off as oil prices remained high, and due to the adverse effects of Ford and General Motors’ earnings revisions and the subsequent downgrade of their bonds to high yield status by Standard & Poor’s. Investment Objective The Fund seeks a high level total return consisting of capital appreciation and income that exceeds the total return of the Lehman Brothers U.S. Credit Index. Investment Strategies In seeking to meet the Fund’s investment objective, we invest at least 80% of its net assets in investment grade fixed income securities, primarily corporate securities. The Fund may also invest in U.S. government securities, mortgage-backed securities, asset-backed securities, emerging market securities and non-U.S. dollar securities. In addition, to the extent we find them effective instruments to manage the overall duration of the portfolio, the Fund may employ the use of derivatives, including futures, swaps and Eurodollar futures contracts. The Fund also makes use of currency forwards for the purpose of hedging all non-U.S. dollar exposure back to the base U.S. dollar currency. Investment Grade Credit Fund Dear Shareholder: This report provides an overview on the performance of the Goldman Sachs Investment Grade Credit Fund during the six-month reporting period that ended April 30, 2005. * Unlike the Fund’s total return, the Index’s performance does not reflect any deduction for fees or expenses. PORTFOLIO RESULTS |
26 We believe that using derivatives, including both futures and swaps, in the portfolio has been an effective portfolio management tool. Futures have been efficiently employed to hedge duration (interest rate sensitivity) drift that may occur due to the passage of time, or changing interest rates. In addition, futures allowed us to optimize security selection by giving us the flexibility to select the most attractive securities for the portfolio, regardless of the securities’ maturity/duration. Finally, futures and swaps were important tools in implementing certain interest rate and spread views. Portfolio Composition From a credit quality perspective, for much of the period the Fund held an overweight in BBB rated bonds versus the Lehman Brothers U.S. Credit Index. In terms of sector positioning, the Fund had an overweight in communications and an underweight in the automotive sector. Collectively, these positioning strategies help the Fund to outperform its benchmark during the six-month reporting period. Portfolio Highlights Corporates — 95.0% on October 31, 2004 and 94.9% on April 30, 2005. Emerging Market Debt — 0.6% on October 31, 2004 and 0.3% on April 30, 2005. We thank you for your investment and look forward to your continued confidence. Goldman Sachs Fixed Income Investment Management Team May 9, 2005 FUND BASICS |
27 Investment Grade Credit Fund as of April 30, 2005 PERFORMANCE REVIEW November 1, 2004– Fund Total Return Lehman Brothers 30-Day April 30, 2005 (based on NAV)1 U.S. Credit Index2 Standardized Yield3 Class A 0.79% 0.57% 4.10% Institutional 1.10 0.57 4.73 Separate Account Institutional 1.13 0.57 4.76 1 The 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. 2 The Lehman Brothers U.S. Credit Index is an unmanaged index which is unbundled into pure corporates (industrial, utility, and finance, including both U.S. and Non-U.S. corporations) and noncorporates (sovereign, supranational, foreign agencies, and foreign local governments). The Index figures do not reflect any deduction for fees, expenses or taxes. 3 The 30-Day Standardized Yield of the Fund is calculated by dividing the net investment income per share (as defined by securities industry regulations) earned by the Fund over a 30-day period (ending on the stated month-end date) by the maximum public offering price per share of the Fund on the last day of the period. This number is then annualized. This yield does not necessarily reflect income actually earned and distributed by the Fund and, therefore, may not be correlated with the dividends or other distributions paid to shareholders. STANDARDIZED TOTAL RETURNS4 Separate Account For the period ended 3/31/05 Class A Institutional Institutional One Year -3.66% 1.41% 1.47% Since Inception 1.05 4.99 4.97 (11/3/03) 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 NAV. These returns reflect a maximum initial sales charge of 4.5% for Class A Shares. Because Institutional and Separate Account Institutional Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. Total return figures in the above charts represent past performance and do not guarantee future results, which will vary. The investment return and principal value of an investment will fluctuate and, therefore, an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the total return figures in the above charts. Please visit www.gs.com/funds to obtain the most recent month-end returns. Performance reflects expense limitations in effect. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. P O R T F O L I O COM P O S I T I O N A S O F 4 / 3 0 / 0 5 5 Sector Allocation Corporates 94.9% High Yield 0.7 Emerging Market Debt 0.3 5 Figures represent a percentage of net assets and, due to rounding, may not sum to 100%. The Fund is actively managed and, as such, its composition may differ over time. Assets Under Management Class A Shares NASDAQ SYMBOLS Institutional Shares Separate Account Institutional Shares $145.7 Million GSGAX GSGDX GSCPX FUND BASICS |
28 SECTOR ALLOCATION AS OF 4/30/05 5 Percentage of Portfolio 5 Percentages may not sum to 100% due to exclusion of the Fund’s cash position. The Fund is actively managed and, as such, its composition may differ over time. 0% 5% 10% 15% 20% 25% Emerging Market Debt Energy Basic Industry Natural Gas Transportation Brokerage Capital Goods Consumer Noncyclical Electric REITs Financial Co. Consumer Cyclical Insurance Communications Bank 20.1% 17.2% 11.2% 9.4% 8.3% 6.7% 6.2% 4.1% 3.7% 2.1% 2.0% 1.9% 1.8% 0.9% 0.3% |
Statement of Investments
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Corporate Bonds – 54.3% | ||||||||||||||||
Automotive – 0.3% | ||||||||||||||||
Ford Motor Credit Co. | ||||||||||||||||
$ | 375,000 | 6.13 | % | 01/09/2006 | $ | 376,723 | ||||||||||
825,000 | 6.88 | 02/01/2006 | 834,500 | |||||||||||||
$ | 1,211,223 | |||||||||||||||
Banks – 15.6% | ||||||||||||||||
Bank of America Corp. | ||||||||||||||||
$ | 9,500,000 | 6.38 | % | 05/15/2005 | $ | 9,509,139 | ||||||||||
BB&T Corp.(a) | ||||||||||||||||
15,000,000 | 6.38 | 06/30/2005 | 15,074,415 | |||||||||||||
Credit Suisse First Boston New York(b) | ||||||||||||||||
3,375,000 | 6.50 | 05/01/2008 | 3,570,510 | |||||||||||||
Credit Suisse First Boston USA, Inc. | ||||||||||||||||
2,975,000 | 4.13 | 01/15/2010 | 2,920,127 | |||||||||||||
FleetBoston Financial Corp. | ||||||||||||||||
8,000,000 | 7.25 | 09/15/2005 | 8,111,944 | |||||||||||||
Golden West Financial Corp. | ||||||||||||||||
3,200,000 | 5.50 | 08/08/2006 | 3,267,043 | |||||||||||||
Nordea Bank Finland PLC | ||||||||||||||||
2,500,000 | 6.50 | 01/15/2006 | 2,551,763 | |||||||||||||
Santander Financial Issuances | ||||||||||||||||
2,565,000 | 7.25 | 05/30/2006 | 2,654,603 | |||||||||||||
Wachovia Corp. | ||||||||||||||||
6,250,000 | 6.88 | 09/15/2005 | 6,325,750 | |||||||||||||
3,009,000 | 7.50 | 07/15/2006 | 3,135,420 | |||||||||||||
Washington Mutual, Inc. | ||||||||||||||||
1,985,000 | 7.50 | 08/15/2006 | 2,071,479 | |||||||||||||
2,133,000 | 4.38 | 01/15/2008 | 2,133,544 | |||||||||||||
Wells Fargo & Co. | ||||||||||||||||
3,800,000 | 7.25 | 08/24/2005 | 3,842,978 | |||||||||||||
3,325,000 | 6.75 | 10/01/2006 | 3,462,173 | |||||||||||||
$ | 68,630,888 | |||||||||||||||
Brokerage – 1.6% | ||||||||||||||||
Lehman Brothers, Inc | ||||||||||||||||
$ | 2,100,000 | 7.63 | % | 06/01/2006 | $ | 2,184,334 | ||||||||||
Morgan Stanley | ||||||||||||||||
5,000,000 | 4.00 | 01/15/2010 | 4,869,029 | |||||||||||||
$ | 7,053,363 | |||||||||||||||
Electric(b) – 1.4% | ||||||||||||||||
Singapore Power Ltd. | ||||||||||||||||
$ | 6,500,000 | 3.80 | % | 10/22/2008 | $ | 6,376,194 | ||||||||||
Food & Beverage – 3.0% | ||||||||||||||||
Nabisco, Inc. | ||||||||||||||||
$ | 11,500,000 | 6.85 | % | 06/15/2005 | $ | 11,541,722 | ||||||||||
Sara Lee Corp. | ||||||||||||||||
1,500,000 | 6.40 | 06/09/2005 | 1,503,104 | |||||||||||||
$ | 13,044,826 | |||||||||||||||
Life Insurance – 11.7% | ||||||||||||||||
Equitable Life Assurance Society(b) | ||||||||||||||||
$ | 7,080,000 | 6.95 | % | 12/01/2005 | $ | 7,207,985 | ||||||||||
ING Security Life Institutional Funding(b) | ||||||||||||||||
3,600,000 | 4.25 | 01/15/2010 | 3,576,881 | |||||||||||||
Jackson National Life Insurance Co.(b) | ||||||||||||||||
2,000,000 | 5.25 | 03/15/2007 | 2,052,058 | |||||||||||||
Lincoln National Corp. | ||||||||||||||||
3,750,000 | 7.25 | 05/15/2005 | 3,754,939 | |||||||||||||
Metropolitan Life Insurance Co.(b) | ||||||||||||||||
16,290,000 | 7.00 | 11/01/2005 | 16,557,498 | |||||||||||||
Monumental Global Funding(b) | ||||||||||||||||
4,390,000 | 5.20 | 01/30/2007 | 4,481,650 | |||||||||||||
Monumental Global Funding II(b) | ||||||||||||||||
5,000,000 | 6.05 | 01/19/2006 | 5,082,600 | |||||||||||||
Prudential Insurance Co.(b) | ||||||||||||||||
8,450,000 | 6.38 | 07/23/2006 | 8,693,360 | |||||||||||||
$ | 51,406,971 | |||||||||||||||
Noncaptive-Consumer – 7.3% | ||||||||||||||||
American General Finance Corp. | ||||||||||||||||
$ | 17,500,000 | 4.50 | % | 11/15/2007 | $ | 17,531,636 | ||||||||||
Countrywide Home Loans, Inc.(a) | ||||||||||||||||
5,500,000 | 3.40 | 06/02/2006 | 5,519,998 | |||||||||||||
HSBC Finance Corp. | ||||||||||||||||
9,000,000 | 4.13 | 11/16/2009 | 8,828,985 | |||||||||||||
$ | 31,880,619 | |||||||||||||||
Property/ Casualty Insurance – 3.8% | ||||||||||||||||
ACE INA Holdings, Inc. | ||||||||||||||||
$ | 2,000,000 | 8.30 | % | 08/15/2006 | $ | 2,104,437 | ||||||||||
ACE Ltd. | ||||||||||||||||
6,487,000 | 6.00 | 04/01/2007 | 6,682,566 | |||||||||||||
The Hartford Financial Services Group, Inc. | ||||||||||||||||
7,815,000 | 7.75 | 06/15/2005 | 7,852,402 | |||||||||||||
$ | 16,639,405 | |||||||||||||||
Wireless Telecommunications – 2.1% | ||||||||||||||||
Verizon Wireless Capital LLC | ||||||||||||||||
$ | 9,250,000 | 5.38 | % | 12/15/2006 | $ | 9,434,089 | ||||||||||
Wirelines Telecommunications – 7.5% | ||||||||||||||||
Alltel Corp | ||||||||||||||||
$ | 750,000 | 4.66 | % | 05/17/2007 | $ | 756,372 | ||||||||||
Ameritech Capital Funding | ||||||||||||||||
375,000 | 6.25 | 05/18/2009 | 397,694 | |||||||||||||
British Telecom PLC | ||||||||||||||||
13,000,000 | 7.88 | 12/15/2005 | 13,336,050 | |||||||||||||
GTE California, Inc. | ||||||||||||||||
7,000,000 | 7.65 | 03/15/2007 | 7,390,727 | |||||||||||||
SBC Communications, Inc. | ||||||||||||||||
1,375,000 | 4.13 | 09/15/2009 | 1,352,384 | |||||||||||||
Telefonica Europe BV | ||||||||||||||||
7,500,000 | 7.35 | 09/15/2005 | 7,603,193 | |||||||||||||
Verizon Global Funding Corp. | ||||||||||||||||
2,000,000 | 7.60 | 03/15/2007 | 2,109,861 | |||||||||||||
$ | 32,946,281 | |||||||||||||||
TOTAL CORPORATE BONDS | ||||||||||||||||
(Cost $238,656,595) | $ | 238,623,859 | ||||||||||||||
29
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Agency Debentures – 36.4% | ||||||||||||||||
Dexia Municipal Agency | ||||||||||||||||
$ | 5,000,000 | 5.13 | % | 09/11/2006 | $ | 5,080,925 | ||||||||||
Federal Farm Credit Bank | ||||||||||||||||
4,500,000 | 5.40 | 05/10/2006 | 4,577,445 | |||||||||||||
6,500,000 | 6.60 | 07/07/2006 | 6,718,952 | |||||||||||||
Federal Home Loan Bank | ||||||||||||||||
15,000,000 | 1.72 | 01/23/2006 | 14,809,560 | |||||||||||||
10,000,000 | 3.02 | 05/23/2006 | 9,931,910 | |||||||||||||
18,000,000 | 2.30 | (a) | 08/30/2006 | 17,665,578 | ||||||||||||
Federal Home Loan Mortgage Corp. | ||||||||||||||||
10,000,000 | 2.50 | 12/15/2005 | 9,936,845 | |||||||||||||
10,628,000 | 0.00 | (c) | 01/15/2006 | 10,371,769 | ||||||||||||
8,800,000 | 2.14 | 02/24/2006 | 8,701,150 | |||||||||||||
5,000,000 | 2.27 | 04/28/2006 | 4,934,948 | |||||||||||||
6,550,000 | 6.75 | 05/30/2006 | 6,756,692 | |||||||||||||
11,725,000 | 2.50 | 08/24/2006 | 11,538,936 | |||||||||||||
11,628,000 | 0.00 | (c) | 01/15/2007 | 10,897,576 | ||||||||||||
Federal National Mortgage Association | ||||||||||||||||
4,000,000 | 5.50 | 02/15/2006 | 4,057,848 | |||||||||||||
11,000,000 | 3.25 | 06/28/2006 | 10,934,044 | |||||||||||||
Financing Corp. (FICO) Strip(c) | ||||||||||||||||
3,073,000 | 0.00 | 04/05/2006 | 2,974,894 | |||||||||||||
Government Loan Trust(c) | ||||||||||||||||
7,644,000 | 0.00 | 04/01/2007 | 7,111,412 | |||||||||||||
Inter-American Development Bank | ||||||||||||||||
9,000,000 | 3.53 | 05/25/2005 | 9,001,275 | |||||||||||||
1,000,000 | 6.25 | 04/15/2006 | 1,024,368 | |||||||||||||
Oesterreich Federal Financing Agency | ||||||||||||||||
3,000,000 | 7.38 | 05/11/2005 | 3,002,355 | |||||||||||||
TOTAL AGENCY DEBENTURES | ||||||||||||||||
(Cost $161,015,276) | $ | 160,028,482 | ||||||||||||||
Asset-Backed Securities – 10.3% | ||||||||||||||||
Auto – 8.3% | ||||||||||||||||
AESOP Funding II LLC Series 2003-3A, Class A1(b) | ||||||||||||||||
$ | 20,000,000 | 2.75 | % | 07/20/2007 | $ | 19,807,200 | ||||||||||
BMW Vehicle Owner Trust Series 2002-A, Class A4 | ||||||||||||||||
5,899,793 | 4.46 | 05/25/2007 | 5,918,054 | |||||||||||||
Capital One Auto Finance Trust Series 2002-B, Class A3A | ||||||||||||||||
5,553,955 | 2.71 | 10/16/2006 | 5,550,397 | |||||||||||||
Drive Auto Receivables Trust Series 2002-1, Class A3(b) | ||||||||||||||||
3,137,792 | 3.68 | 09/15/2006 | 3,138,772 | |||||||||||||
WFS Financial Owner Trust Series 2002-2, Class A3 | ||||||||||||||||
2,033,857 | 3.81 | 02/20/2007 | 2,034,652 | |||||||||||||
$ | 36,449,075 | |||||||||||||||
Equipment – 2.0% | ||||||||||||||||
Ikon Receivables LLC Series 2003-1, Class A3B | ||||||||||||||||
$ | 8,544,981 | 2.33 | % | 12/17/2007 | $ | 8,494,711 | ||||||||||
TOTAL ASSET-BACKED SECURITIES | ||||||||||||||||
(Cost $45,331,250) | $ | 44,943,786 | ||||||||||||||
TOTAL INVESTMENTS BEFORE REPURCHASE AGREEMENT – 101.0% | ||||||||||||||||
(Cost $445,003,121) | $ | 443,596,127 | ||||||||||||||
Repurchase Agreement(d) – 1.2% | ||||||||||||||||
Joint Repurchase Agreement Account II | ||||||||||||||||
$ | 5,400,000 | 2.97 | % | 05/02/2005 | $ | 5,400,000 | ||||||||||
Maturity Value: $5,401,336 | ||||||||||||||||
(Cost $5,400,000) | ||||||||||||||||
TOTAL INVESTMENTS – 102.2% | ||||||||||||||||
(Cost $450,403,121) | $ | 448,996,127 | ||||||||||||||
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
(a) | Variable rate security. Interest rate disclosed is that which is in effect at April 30, 2005. | |
(b) | 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 amounts to $80,544,708, which represents approximately 18.3% of net assets as of April 30, 2005. | |
(c) | Security issued with a zero coupon. Income is recognized through the accretion of discount. | |
(d) | Joint repurchase agreement was entered into on April 29, 2005. |
30
ADDITIONAL INVESTMENT INFORMATION |
JOINT REPURCHASE AGREEMENT ACCOUNT II — At April 30, 2005, the Enhanced Income Fund had an undivided interest in the following Joint Repurchase Agreement Account II which equaled $5,400,000 in principal amount.
Principal | Interest | Maturity | Maturity | |||||||||||
Repurchase Agreements | Amount | Rate | Date | Value | ||||||||||
Banc of America Securities LLC | $ | 900,000,000 | 2.97 | % | 05/02/2005 | $ | 900,222,750 | |||||||
Barclays Capital PLC | 1,700,000,000 | 2.97 | 05/02/2005 | 1,700,420,750 | ||||||||||
Bear Stearns & Co. | 300,000,000 | 2.98 | 05/02/2005 | 300,074,500 | ||||||||||
Deutsche Bank Securities, Inc. | 610,000,000 | 2.97 | 05/02/2005 | 610,150,975 | ||||||||||
Greenwich Capital Markets | 400,000,000 | 2.97 | 05/02/2005 | 400,099,000 | ||||||||||
Merrill Lynch | 250,000,000 | 2.97 | 05/02/2005 | 250,061,875 | ||||||||||
Morgan Stanley & Co. | 1,411,700,000 | 2.97 | 05/02/2005 | 1,412,049,396 | ||||||||||
UBS Securities LLC | 750,000,000 | 2.95 | 05/02/2005 | 750,184,375 | ||||||||||
UBS Securities LLC | 450,000,000 | 2.96 | 05/02/2005 | 450,111,000 | ||||||||||
Westdeutsche Landesbank AG | 900,000,000 | 2.97 | 05/02/2005 | 900,222,750 | ||||||||||
TOTAL | $ | 7,671,700,000 | $ | 7,673,597,371 | ||||||||||
At April 30, 2005, the Joint Repurchase Agreement Account II was fully collateralized by Federal Home Loan Bank, 0.00% to 14.00%, due 08/15/2005 to 03/23/2015; Federal Home Loan Mortgage Association, 0.00% to 12.25%, due 07/12/2005 to 05/01/2035; Federal National Mortgage Association, 0.00% to 15.50%, due 05/04/2005 to 05/01/2035; and Government National Mortgage Association, 4.50% to 6.50%, due 05/15/2018 to 04/20/2035. |
FUTURES CONTRACTS — At April 30, 2005, the following futures contacts were open as follows:
Number of | ||||||||||||||||
Contracts | Settlement | Market | Unrealized | |||||||||||||
Type | Long (Short) | Month | Value | Gain (Loss) | ||||||||||||
Eurodollars | 237 | June 2005 | $ | 57,220,688 | $ | (205,369 | ) | |||||||||
Eurodollars | 145 | September 2005 | 34,892,438 | (5,466 | ) | |||||||||||
Eurodollars | 90 | December 2005 | 21,614,625 | (41,921 | ) | |||||||||||
Eurodollars | 41 | March 2006 | 9,833,850 | 5,001 | ||||||||||||
Eurodollars | 20 | June 2006 | 4,791,500 | 15,432 | ||||||||||||
Eurodollars | (22 | ) | September 2006 | (5,265,700 | ) | 3,694 | ||||||||||
Eurodollars | (87 | ) | December 2006 | (20,807,138 | ) | 53,940 | ||||||||||
2 Year U.S. Treasury Notes | (458 | ) | June 2005 | (95,128,032 | ) | 146,198 | ||||||||||
5 Year U.S. Treasury Notes | (430 | ) | June 2005 | (46,634,844 | ) | (302,886 | ) | |||||||||
$ | (39,482,613 | ) | $ | (331,377 | ) | |||||||||||
31
Statement of Investments
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Mortgage-Backed Obligations – 61.8% | ||||||||||||||||
Adjustable Rate Federal Home Loan Mortgage Corp. (FHLMC)(a) – 4.3% | ||||||||||||||||
$ | 134,934 | 3.37 | % | 08/01/2016 | $ | 135,064 | ||||||||||
202,634 | 3.82 | 08/01/2018 | 203,585 | |||||||||||||
176,010 | 3.45 | 11/01/2018 | 179,862 | |||||||||||||
1,033,095 | 5.62 | 11/01/2018 | 1,061,677 | |||||||||||||
73,011 | 3.53 | 02/01/2019 | 73,257 | |||||||||||||
210,898 | 3.89 | 02/01/2019 | 217,219 | |||||||||||||
161,024 | 3.43 | 03/01/2019 | 161,184 | |||||||||||||
100,361 | 3.90 | 03/01/2019 | 100,868 | |||||||||||||
149,457 | 3.25 | 06/01/2019 | 150,560 | |||||||||||||
204,623 | 4.01 | 07/01/2019 | 204,313 | |||||||||||||
2,902,959 | 3.88 | 11/01/2019 | 2,968,478 | |||||||||||||
2,154,834 | 6.87 | 11/01/2019 | 2,225,469 | |||||||||||||
226,965 | 3.96 | 01/01/2020 | 226,579 | |||||||||||||
258,709 | 3.43 | 05/01/2021 | 258,833 | |||||||||||||
127,091 | 6.21 | 01/01/2025 | 128,788 | |||||||||||||
174,264 | 3.46 | 10/01/2026 | 174,506 | |||||||||||||
50,122 | 3.50 | 08/01/2028 | 51,447 | |||||||||||||
1,893,276 | 6.43 | 08/01/2028 | 1,944,602 | |||||||||||||
842,004 | 7.26 | 01/01/2029 | 856,963 | |||||||||||||
1,060,531 | 4.29 | 05/01/2029 | 1,096,144 | |||||||||||||
300,988 | 7.16 | 05/01/2029 | 307,970 | |||||||||||||
145,530 | 4.20 | 06/01/2029 | 146,835 | |||||||||||||
117,447 | 4.38 | 09/01/2029 | 119,526 | |||||||||||||
2,265,747 | 7.20 | 02/01/2030 | 2,316,245 | |||||||||||||
306,389 | 6.89 | 03/01/2030 | 313,541 | |||||||||||||
1,472,004 | 7.22 | 03/01/2030 | 1,507,276 | |||||||||||||
177,251 | 3.28 | 04/01/2030 | 176,704 | |||||||||||||
235,842 | 4.38 | 06/01/2030 | 240,609 | |||||||||||||
948,612 | 4.50 | 12/01/2030 | 987,279 | |||||||||||||
60,905 | 3.89 | 01/01/2031 | 62,212 | |||||||||||||
302,200 | 3.28 | 02/01/2031 | 301,403 | |||||||||||||
92,081 | 3.61 | 05/01/2031 | 92,544 | |||||||||||||
68,521 | 3.85 | 06/01/2031 | 70,306 | |||||||||||||
92,075 | 5.65 | 11/01/2031 | 94,382 | |||||||||||||
8,159,596 | 7.46 | 12/01/2031 | 8,230,676 | |||||||||||||
6,560,109 | 7.60 | 12/01/2031 | 6,646,116 | |||||||||||||
295,905 | 3.91 | 10/01/2032 | 299,314 | |||||||||||||
82,777 | 4.07 | 02/01/2033 | 85,087 | |||||||||||||
3,658,827 | 3.96 | 07/01/2033 | 3,633,650 | |||||||||||||
4,941,395 | 3.88 | 09/01/2033 | 4,886,304 | |||||||||||||
237,838 | 4.40 | 11/01/2033 | 238,064 | |||||||||||||
637,924 | 4.43 | 11/01/2033 | 650,452 | |||||||||||||
1,718,050 | 5.60 | 05/01/2035 | 1,747,305 | |||||||||||||
$ | 45,573,198 | |||||||||||||||
Adjustable Rate Federal National Mortgage Association (FNMA)(a) – 15.2% | ||||||||||||||||
$ | 351,405 | 4.06 | % | 03/01/2017 | $ | 355,260 | ||||||||||
1,448,782 | 6.64 | 04/01/2017 | 1,486,924 | |||||||||||||
155,675 | 3.73 | 08/01/2017 | 158,369 | |||||||||||||
297,220 | 3.37 | 09/01/2017 | 302,981 | |||||||||||||
278,366 | 3.43 | 09/01/2017 | 283,755 | |||||||||||||
108,609 | 4.05 | 11/01/2017 | 110,308 | |||||||||||||
109,520 | 3.13 | 12/01/2017 | 110,738 | |||||||||||||
81,866 | 4.88 | 12/01/2017 | 82,955 | |||||||||||||
747,399 | 3.23 | 03/01/2018 | 758,064 | |||||||||||||
263,269 | 3.53 | 03/01/2018 | 268,365 | |||||||||||||
2,588,169 | 3.22 | 07/01/2018 | 2,625,058 | |||||||||||||
492,953 | 4.42 | 08/01/2018 | 502,792 | |||||||||||||
124,816 | 3.25 | 10/01/2018 | 126,599 | |||||||||||||
256,438 | 3.28 | 10/01/2018 | 261,347 | |||||||||||||
330,320 | 3.30 | 10/01/2018 | 331,317 | |||||||||||||
799,410 | 3.43 | 10/01/2018 | 812,185 | |||||||||||||
386,782 | 3.50 | 10/01/2018 | 390,367 | |||||||||||||
18,557 | 3.47 | 11/01/2018 | 18,671 | |||||||||||||
82,627 | 3.98 | 11/01/2018 | 83,467 | |||||||||||||
85,965 | 3.38 | 12/01/2018 | 87,202 | |||||||||||||
401,123 | 3.17 | 01/01/2019 | 405,597 | |||||||||||||
190,901 | 3.38 | 01/01/2019 | 193,061 | |||||||||||||
77,652 | 3.17 | 04/01/2019 | 78,628 | |||||||||||||
1,294,345 | 4.01 | 04/01/2019 | 1,309,366 | |||||||||||||
2,964,989 | 3.15 | 05/01/2019 | 3,012,415 | |||||||||||||
1,089,195 | 3.37 | 05/01/2019 | 1,102,708 | |||||||||||||
691,563 | 3.41 | 06/01/2019 | 699,410 | |||||||||||||
509,463 | 3.42 | 06/01/2019 | 519,243 | |||||||||||||
443,380 | 6.12 | 07/01/2019 | 456,129 | |||||||||||||
809,723 | 3.43 | 08/01/2019 | 825,268 | |||||||||||||
933,814 | 4.26 | 08/01/2019 | 944,211 | |||||||||||||
102,628 | 3.84 | 09/01/2019 | 103,655 | |||||||||||||
63,980 | 4.52 | 09/01/2019 | 64,766 | |||||||||||||
118,974 | 3.51 | 11/01/2019 | 120,332 | |||||||||||||
3,931,216 | 4.37 | 11/01/2019 | 4,057,212 | |||||||||||||
50,082 | 3.45 | 04/01/2020 | 50,895 | |||||||||||||
1,671,671 | 5.54 | 05/01/2020 | 1,727,505 | |||||||||||||
1,060,797 | 3.13 | 06/01/2020 | 1,080,887 | |||||||||||||
348,553 | 3.43 | 06/01/2020 | 354,120 | |||||||||||||
614,781 | 3.41 | 11/01/2020 | 626,573 | |||||||||||||
1,289,829 | 2.93 | 12/25/2020 | 1,285,680 | |||||||||||||
702,921 | 3.61 | 03/01/2021 | 714,258 | |||||||||||||
220,354 | 3.46 | 09/01/2021 | 226,178 | |||||||||||||
124,109 | 3.71 | 12/01/2021 | 126,832 | |||||||||||||
2,115,990 | 3.68 | 01/01/2022 | 2,144,505 | |||||||||||||
119,060 | 6.29 | 02/01/2022 | 123,595 | |||||||||||||
277,347 | 3.86 | 05/20/2022 | 279,430 | |||||||||||||
10,048,563 | 3.65 | 12/01/2022 | 10,216,089 | |||||||||||||
616,549 | 3.84 | 02/01/2023 | 633,358 | |||||||||||||
22,914 | 6.22 | 12/01/2023 | 23,100 | |||||||||||||
1,767,806 | 4.08 | 01/01/2024 | 1,815,942 | |||||||||||||
1,424,966 | 4.60 | 03/01/2024 | 1,464,706 | |||||||||||||
12,323,741 | 3.37 | 04/01/2024 | 12,455,562 | |||||||||||||
1,461,977 | 3.74 | 06/20/2024 | 1,474,248 | |||||||||||||
98,731 | 5.61 | 08/01/2024 | 100,840 | |||||||||||||
539,999 | 5.07 | 01/01/2025 | 555,129 | |||||||||||||
222,554 | 7.08 | 10/01/2025 | 228,260 | |||||||||||||
3,696,702 | 2.46 | 03/25/2027 | 3,669,216 | |||||||||||||
113,699 | 4.22 | 06/01/2027 | 115,043 | |||||||||||||
72,868 | 4.25 | 12/01/2027 | 73,731 | |||||||||||||
147,651 | 4.55 | 01/01/2028 | 150,376 | |||||||||||||
35,041 | 6.37 | 01/01/2028 | 35,915 | |||||||||||||
470,737 | 3.81 | 05/01/2028 | 482,521 |
32
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Mortgage-Backed Obligations – (continued) | ||||||||||||||||
Adjustable Rate FNMA(a) – (continued) | ||||||||||||||||
$ | 121,868 | 3.92 | % | 06/01/2028 | $ | 126,824 | ||||||||||
185,456 | 3.72 | 09/01/2028 | 190,916 | |||||||||||||
1,204,775 | 3.74 | 01/01/2029 | 1,217,859 | |||||||||||||
65,197 | 3.14 | 06/01/2029 | 65,961 | |||||||||||||
91,870 | 3.28 | 06/01/2029 | 92,958 | |||||||||||||
99,159 | 5.78 | 06/01/2029 | 102,542 | |||||||||||||
2,448,201 | 3.82 | 05/01/2030 | 2,475,833 | |||||||||||||
154,821 | 4.68 | 02/01/2031 | 159,875 | |||||||||||||
672,514 | 5.76 | 05/01/2031 | 695,323 | |||||||||||||
536,535 | 4.05 | 06/01/2031 | 547,207 | |||||||||||||
3,088,734 | 5.67 | 07/01/2031 | 3,114,047 | |||||||||||||
1,291,814 | 4.05 | 08/01/2031 | 1,318,865 | |||||||||||||
81,856 | 6.07 | 08/01/2031 | 83,398 | |||||||||||||
547,910 | 6.18 | 08/01/2031 | 559,165 | |||||||||||||
2,350,675 | 5.64 | 11/01/2031 | 2,387,180 | |||||||||||||
916,120 | 5.52 | 12/01/2031 | 935,992 | |||||||||||||
935,783 | 6.22 | 01/01/2032 | 955,640 | |||||||||||||
695,765 | 6.76 | 01/01/2032 | 723,890 | |||||||||||||
99,918 | 5.35 | 02/01/2032 | 102,617 | |||||||||||||
661,596 | 6.18 | 02/01/2032 | 668,537 | |||||||||||||
69,867 | 3.57 | 03/01/2032 | 72,400 | |||||||||||||
3,754,814 | 6.12 | 03/01/2032 | 3,802,178 | |||||||||||||
649,046 | 6.23 | 03/01/2032 | 656,867 | |||||||||||||
432,979 | 4.85 | 04/01/2032 | 444,558 | |||||||||||||
1,979,223 | 5.61 | 04/01/2032 | 1,995,421 | |||||||||||||
331,106 | 4.30 | 05/01/2032 | 337,903 | |||||||||||||
665,467 | 5.26 | 05/01/2032 | 681,001 | |||||||||||||
1,114,011 | 5.95 | 07/01/2032 | 1,125,685 | |||||||||||||
103,693 | 3.40 | 08/01/2032 | 103,646 | |||||||||||||
198,722 | 4.19 | 09/01/2032 | 204,448 | |||||||||||||
549,827 | 4.22 | 09/01/2032 | 564,255 | |||||||||||||
156,712 | 4.79 | 09/01/2032 | 160,781 | |||||||||||||
1,164,138 | 4.81 | 09/01/2032 | 1,185,250 | |||||||||||||
2,071,322 | 5.15 | 09/01/2032 | 2,057,118 | |||||||||||||
914,204 | 4.75 | 10/01/2032 | 933,937 | |||||||||||||
96,323 | 4.12 | 12/01/2032 | 97,332 | |||||||||||||
1,623,431 | 4.89 | 12/01/2032 | 1,648,866 | |||||||||||||
2,438,835 | 4.65 | 01/01/2033 | 2,462,817 | |||||||||||||
1,705,004 | 5.00 | 01/01/2033 | 1,730,046 | |||||||||||||
4,624,381 | 4.96 | 02/01/2033 | 4,640,104 | |||||||||||||
4,279,242 | 4.49 | 03/01/2033 | 4,304,876 | |||||||||||||
11,996,326 | 4.75 | 03/01/2033 | 12,107,801 | |||||||||||||
15,323,570 | 4.77 | 03/01/2033 | 15,613,874 | |||||||||||||
234,013 | 4.06 | 04/01/2033 | 234,630 | |||||||||||||
1,243,838 | 4.79 | 04/01/2033 | 1,260,101 | |||||||||||||
2,587,767 | 4.69 | 05/01/2033 | 2,625,281 | |||||||||||||
6,116,006 | 3.87 | 07/01/2033 | 6,083,816 | |||||||||||||
1,769,975 | 3.96 | 07/01/2033 | 1,759,955 | |||||||||||||
3,539,944 | 4.00 | 07/01/2033 | 3,530,592 | |||||||||||||
522,769 | 3.87 | 08/01/2033 | 528,868 | |||||||||||||
563,735 | 4.42 | 01/01/2034 | 563,610 | |||||||||||||
185,328 | 4.53 | 02/01/2034 | 190,428 | |||||||||||||
75,744 | 4.22 | 05/01/2036 | 77,309 | |||||||||||||
150,824 | 4.32 | 11/01/2038 | 155,113 | |||||||||||||
590,092 | 3.42 | 06/01/2040 | 599,330 | |||||||||||||
2,249,985 | 5.46 | 07/01/2040 | 2,314,584 | |||||||||||||
70,270 | 3.22 | 02/01/2041 | 71,005 | |||||||||||||
$ | 158,733,634 | |||||||||||||||
Adjustable Rate Government National Mortgage Association (GNMA)(a) – 9.1% | ||||||||||||||||
$ | 10,212,708 | 4.00 | % | 11/20/2033 | $ | 10,250,409 | ||||||||||
7,653,201 | 3.75 | 01/20/2034 | 7,571,356 | |||||||||||||
13,436,435 | 3.75 | 02/20/2034 | 13,291,883 | |||||||||||||
7,505,357 | 3.75 | 04/20/2034 | 7,412,019 | |||||||||||||
37,470,230 | 4.50 | 08/20/2034 | 37,875,283 | |||||||||||||
7,358,844 | 4.75 | 08/20/2034 | 7,439,644 | |||||||||||||
11,404,003 | 4.50 | 12/20/2034 | 11,549,290 | |||||||||||||
$ | 95,389,884 | |||||||||||||||
Adjustable Rate Non-Agency(a) – 6.4% | ||||||||||||||||
Bank of America Mortgage Securities Series 2002-J, Class A2 | ||||||||||||||||
$ | 1,785,277 | 4.88 | % | 09/25/2032 | $ | 1,784,895 | ||||||||||
Bear Stearns Adjustable Rate Mortgage Trust Series 2003-5, Class 1A1 | ||||||||||||||||
732,115 | 4.14 | 08/25/2033 | 735,958 | |||||||||||||
Bear Stearns Adjustable Rate Mortgage Trust Series 2004-12, Class 1A1 | ||||||||||||||||
14,617,601 | 3.37 | 01/25/2035 | 14,639,966 | |||||||||||||
Countrywide Home Loans Series 2003-37, Class 1A1 | ||||||||||||||||
406,320 | 3.96 | 08/25/2033 | 408,364 | |||||||||||||
CS First Boston Mortgage Securities Corp. Series 2003-AR9, Class 2A2 | ||||||||||||||||
6,274,799 | 5.10 | 03/25/2033 | 6,310,086 | |||||||||||||
DLJ Mortgage Acceptance Corp. Series 1995-4, Class A | ||||||||||||||||
700,501 | 4.15 | 01/25/2025 | 703,738 | |||||||||||||
Indy Mac Index Mortgage Loan Trust Series 2004-AR4, Class 1A | ||||||||||||||||
4,540,513 | 4.74 | 08/25/2034 | 4,577,547 | |||||||||||||
Sequoia Mortgage Trust Series 2004-10, Class A3A | ||||||||||||||||
12,218,859 | 3.66 | 11/20/2034 | 12,220,884 | |||||||||||||
Sequoia Mortgage Trust Series 8, Class 3A | ||||||||||||||||
12,332,541 | 4.03 | 08/20/2032 | 12,321,441 | |||||||||||||
Structured Adjustable Rate Mortgage Loan Series 2004-1, Class 4A2 | ||||||||||||||||
10,278,883 | 4.58 | 02/25/2034 | 10,320,000 | |||||||||||||
Washington Mutual Series 2002-AR7, Class A6 | ||||||||||||||||
3,095,892 | 5.53 | 07/25/2032 | 3,096,895 | |||||||||||||
$ | 67,119,774 | |||||||||||||||
Collateralized Mortgage Obligations (CMOs) – 14.4% | ||||||||||||||||
Interest Only(b) – 0.1% | ||||||||||||||||
FHLMC Series 2586, Class NX | ||||||||||||||||
$ | 4,229,110 | 4.50 | % | 08/15/2016 | $ | 467,368 | ||||||||||
FNMA REMIC Trust Series 1990-145, Class B | ||||||||||||||||
3,169 | 1,004.96 | 12/25/2020 | 56,893 | |||||||||||||
$ | 524,261 | |||||||||||||||
33
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Mortgage-Backed Obligations – (continued) | ||||||||||||||||
Inverse Floaters(a) – 0.3% | ||||||||||||||||
FHLMC Series 1606, Class SC | ||||||||||||||||
$ | 2,692,258 | 16.50 | % | 11/15/2008 | $ | 3,014,181 | ||||||||||
FNMA REMIC Trust Series 1996-20, Class SB | ||||||||||||||||
2,479,739 | 13.43 | 10/25/2008 | 315,725 | |||||||||||||
$ | 3,329,906 | |||||||||||||||
Inverse Floating Rate — Interest Only(a)(b) – 0.0% | ||||||||||||||||
FNMA Series 1996-40, Class SG | ||||||||||||||||
$ | 2,684,310 | 14.34 | % | 03/25/2009 | $ | 471,638 | ||||||||||
Planned Amortization Class (PAC) CMOs – 2.1% | ||||||||||||||||
FHLMC Series 1364, Class K | ||||||||||||||||
$ | 663,509 | 5.00 | % | 09/15/2007 | $ | 665,314 | ||||||||||
FHLMC Series 1377, Class H | ||||||||||||||||
1,813,889 | 6.00 | 09/15/2007 | 1,818,079 | |||||||||||||
FHLMC Series 1415, Class N | ||||||||||||||||
1,412,337 | 6.75 | 11/15/2007 | 1,426,534 | |||||||||||||
FHLMC Series 1680, Class PJ | ||||||||||||||||
2,804,000 | 6.50 | 02/15/2023 | 2,839,728 | |||||||||||||
FHLMC Series 1692, Class PJ | ||||||||||||||||
712,697 | 6.50 | 04/15/2023 | 715,767 | |||||||||||||
FHLMC Series 1703, Class GA | ||||||||||||||||
439,646 | 6.50 | 10/15/2008 | 440,055 | |||||||||||||
FHLMC Series 2113, Class TE | ||||||||||||||||
4,797,531 | 6.00 | 01/15/2014 | 4,973,268 | |||||||||||||
FHLMC Series 2298, Class PD | ||||||||||||||||
803,050 | 6.50 | 03/15/2030 | 806,084 | |||||||||||||
FHLMC Series 2479, Class TC | ||||||||||||||||
3,507,880 | 5.50 | 12/15/2014 | 3,532,155 | |||||||||||||
FNMA REMIC Trust Series 1992-193, Class HD | ||||||||||||||||
2,146,553 | 7.00 | 11/25/2007 | 2,200,699 | |||||||||||||
FNMA REMIC Trust Series 1993-225, Class WC | ||||||||||||||||
1,585,490 | 6.50 | 12/25/2013 | 1,651,715 | |||||||||||||
FNMA REMIC Trust Series 1993-35, Class H | ||||||||||||||||
442,453 | 6.75 | 02/25/2008 | 446,334 | |||||||||||||
GNMA Series 2002-3, Class LE | ||||||||||||||||
104,655 | 6.50 | 08/20/2030 | 104,493 | |||||||||||||
$ | 21,620,225 | |||||||||||||||
Regular Floater CMOs(a) – 4.2% | ||||||||||||||||
Collateralized Mortgage Securities Corp. Series N, Class 2 | ||||||||||||||||
$ | 564,658 | 3.47 | % | 08/25/2017 | $ | 568,765 | ||||||||||
FHLMC Series 1509, Class F | ||||||||||||||||
8,722,311 | 4.00 | 04/15/2008 | 8,762,476 | |||||||||||||
FHLMC Series 1606, Class FC | ||||||||||||||||
9,883,885 | 3.22 | 11/15/2008 | 9,807,183 | |||||||||||||
FHLMC Series 1612, Class FD | ||||||||||||||||
1,025,099 | 3.22 | 11/15/2008 | 1,013,553 | |||||||||||||
FHLMC Series 1661, Class FD | ||||||||||||||||
9,215,982 | 4.38 | 01/15/2009 | 9,362,411 | |||||||||||||
FHLMC Series 1665, Class FA | ||||||||||||||||
592,460 | 4.01 | 06/15/2023 | 589,025 | |||||||||||||
FHLMC Series 1826, Class F | ||||||||||||||||
404,276 | 3.40 | 09/15/2021 | 404,193 | |||||||||||||
FNMA REMIC Trust Series 1993-190, Class F | ||||||||||||||||
6,323,960 | 3.45 | 10/25/2008 | 6,256,949 | |||||||||||||
FNMA REMIC Trust Series 1993-196, Class FD | ||||||||||||||||
539,085 | 3.30 | 10/25/2008 | 533,942 | |||||||||||||
FNMA REMIC Trust Series 1993-214, Class FA | ||||||||||||||||
1,534,419 | 3.83 | 12/25/2008 | 1,547,395 | |||||||||||||
FNMA REMIC Trust Series 1993-233, Class FA | ||||||||||||||||
1,328,920 | 3.22 | 12/25/2008 | 1,314,921 | |||||||||||||
FNMA REMIC Trust Series 1994-15, Class FC | ||||||||||||||||
228,511 | 3.56 | 06/25/2023 | 227,563 | |||||||||||||
FNMA Series 1993-231, Class FE | ||||||||||||||||
2,903,150 | 3.93 | 12/25/2008 | 2,934,654 | |||||||||||||
FNMA Series 1998-66, Class FC | ||||||||||||||||
712,085 | 3.47 | 11/17/2028 | 718,121 | |||||||||||||
$ | 44,041,151 | |||||||||||||||
Sequential Fixed Rate CMOs – 7.2% | ||||||||||||||||
FHLMC Series 1216, Class GC | ||||||||||||||||
$ | 1,656,577 | 7.00 | % | 03/15/2007 | $ | 1,668,152 | ||||||||||
FHLMC Series 1246, Class J | ||||||||||||||||
387,379 | 7.50 | 05/15/2007 | 388,114 | |||||||||||||
FHLMC Series 1423, Class FF | ||||||||||||||||
5,662,486 | 7.00 | 12/15/2007 | 5,759,509 | |||||||||||||
FHLMC Series 1720, Class PJ | ||||||||||||||||
3,028,578 | 7.25 | 01/15/2024 | 3,121,171 | |||||||||||||
FHLMC Series 2282, Class VB | ||||||||||||||||
198,708 | 6.00 | 06/15/2014 | 198,517 | |||||||||||||
FHLMC Series 2359, Class PC | ||||||||||||||||
7,118,917 | 6.00 | 07/15/2015 | 7,172,052 | |||||||||||||
FHLMC Series 2423, Class MB | ||||||||||||||||
17,214 | 7.00 | 07/15/2030 | 17,196 | |||||||||||||
FHLMC Series 2441, Class JA | ||||||||||||||||
4,507,410 | 6.00 | 12/15/2029 | 4,520,553 | |||||||||||||
FHLMC Series 2448, Class AV | ||||||||||||||||
9,125,830 | 6.50 | 09/15/2013 | 9,124,112 | |||||||||||||
First Nationwide Trust Series 2001-4, Class 1A1 | ||||||||||||||||
4,366,819 | 6.75 | 09/21/2031 | 4,397,785 | |||||||||||||
FNMA REMIC Trust Series 1993-014, Class A | ||||||||||||||||
75,265 | 6.00 | 02/25/2008 | 75,965 | |||||||||||||
FNMA REMIC Trust Series 1993-121, Class Z | ||||||||||||||||
12,912,874 | 7.00 | 07/25/2023 | 13,477,766 | |||||||||||||
FNMA REMIC Trust Series 1993-135, Class PG | ||||||||||||||||
2,381,887 | 6.25 | 07/25/2008 | 2,427,125 | |||||||||||||
FNMA REMIC Trust Series 1993-212, Class PC | ||||||||||||||||
4,518,436 | 4.50 | 09/25/2008 | 4,532,615 | |||||||||||||
FNMA REMIC Trust Series 1996-14, Class J | ||||||||||||||||
719,412 | 6.15 | 03/25/2009 | 734,753 | |||||||||||||
FNMA Series 1994-28, Class H | ||||||||||||||||
2,627,786 | 6.25 | 03/25/2023 | 2,643,247 | |||||||||||||
FNMA Series 1994-72, Class J | ||||||||||||||||
7,455,000 | 6.00 | 06/25/2023 | 7,639,651 | |||||||||||||
GNMA REMIC Trust 2001-27, Class VD | ||||||||||||||||
7,352,208 | 6.50 | 06/16/2017 | 7,441,203 | |||||||||||||
Residential Funding Mortgage Sec I Series 2002-S9, Class A5 | ||||||||||||||||
129,366 | 6.00 | 07/25/2017 | 129,325 | |||||||||||||
$ | 75,468,811 | |||||||||||||||
34
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Mortgage-Backed Obligations – (continued) | ||||||||||||||||
Support – 0.5% | ||||||||||||||||
FHLMC Series 1639, Class M | ||||||||||||||||
$ | 5,232,425 | 6.00 | % | 12/15/2008 | $ | 5,334,066 | ||||||||||
TOTAL CMOs | $ | 150,790,058 | ||||||||||||||
Commercial Mortgage-Backed Securities (CMBS)(a)(b)(c) – 1.2% | ||||||||||||||||
Interest Only | ||||||||||||||||
Bear Stearns Commercial Mortgage Securities Inc. Series 2001-TOP2, Class X2 | ||||||||||||||||
$ | 142,041,083 | 1.37 | % | 02/15/2035 | $ | 4,728,803 | ||||||||||
Salomon Brothers Mortgage Securities VII Series 2002-Key2, Class X2 | ||||||||||||||||
88,598,000 | 2.24 | 03/18/2036 | 7,521,182 | |||||||||||||
TOTAL CMBS | $ | 12,249,985 | ||||||||||||||
FHLMC – 4.8% | ||||||||||||||||
$ | 3,822,842 | 7.00 | % | 02/01/2009 | $ | 4,020,755 | ||||||||||
2,212,491 | 7.00 | 03/01/2009 | 2,327,555 | |||||||||||||
4,973,564 | 7.00 | 04/01/2009 | 5,229,924 | |||||||||||||
2,164,563 | 7.00 | 05/01/2009 | 2,277,134 | |||||||||||||
1,931,288 | 7.00 | 06/01/2009 | 2,031,727 | |||||||||||||
1,889,739 | 7.50 | 06/01/2009 | 1,972,322 | |||||||||||||
257,209 | 6.50 | 03/01/2013 | 268,683 | |||||||||||||
688,903 | 6.50 | 04/01/2013 | 719,635 | |||||||||||||
363,975 | 6.50 | 05/01/2013 | 380,212 | |||||||||||||
618,486 | 6.50 | 06/01/2013 | 646,076 | |||||||||||||
6,176,770 | 8.00 | 12/01/2015 | 6,553,182 | |||||||||||||
1,001,735 | 6.00 | 05/01/2017 | 1,038,573 | |||||||||||||
1,086,187 | 7.00 | 04/01/2021 | 1,145,869 | |||||||||||||
653,887 | 7.00 | 08/01/2021 | 689,815 | |||||||||||||
4,687,207 | 7.00 | 03/01/2022 | 4,943,409 | |||||||||||||
1,848,926 | 7.00 | 05/01/2022 | 1,949,989 | |||||||||||||
7,538,422 | 7.00 | 06/01/2022 | 7,950,471 | |||||||||||||
87,685 | 7.00 | 12/01/2025 | 92,836 | |||||||||||||
5,075,885 | 6.50 | 12/01/2032 | 5,278,127 | |||||||||||||
619,897 | 6.50 | 03/01/2033 | 643,710 | |||||||||||||
$ | 50,160,004 | |||||||||||||||
FNMA – 6.4% | ||||||||||||||||
$ | 2,688,787 | 6.00 | % | 09/01/2011 | $ | 2,782,793 | ||||||||||
2,989,487 | 6.50 | 04/01/2012 | 3,120,154 | |||||||||||||
7,298,153 | 6.00 | 05/01/2012 | 7,560,154 | |||||||||||||
1,418,089 | 6.50 | 05/01/2012 | 1,480,072 | |||||||||||||
5,640,389 | 6.00 | 06/01/2012 | 5,842,877 | |||||||||||||
1,548,630 | 6.50 | 06/01/2012 | 1,616,309 | |||||||||||||
18,632,869 | 5.50 | 01/01/2013 | 19,121,163 | |||||||||||||
2,508,070 | 8.00 | 01/01/2016 | 2,663,309 | |||||||||||||
1,101,354 | 7.00 | 03/01/2017 | 1,155,939 | |||||||||||||
566,755 | 7.00 | 05/01/2017 | 594,844 | |||||||||||||
13,931,211 | 5.50 | 03/01/2018 | 14,264,472 | |||||||||||||
1,767,360 | 5.50 | 04/01/2018 | 1,809,638 | |||||||||||||
662,640 | 7.00 | 07/01/2021 | 699,530 | |||||||||||||
908,238 | 7.00 | 11/01/2021 | 958,800 | |||||||||||||
696,412 | 7.00 | 12/01/2021 | 735,182 | |||||||||||||
795,681 | 7.00 | 01/01/2022 | 839,977 | |||||||||||||
163,864 | 7.00 | 02/01/2022 | 172,986 | |||||||||||||
643,507 | 7.00 | 01/01/2028 | 679,351 | |||||||||||||
975,698 | 6.50 | 04/01/2033 | 1,013,263 | |||||||||||||
$ | 67,110,813 | |||||||||||||||
GNMA – 0.0% | ||||||||||||||||
$ | 51,487 | 7.00 | % | 12/15/2025 | $ | 54,669 | ||||||||||
303,663 | 7.00 | 04/15/2026 | 322,144 | |||||||||||||
376,813 | ||||||||||||||||
TOTAL MORTGAGE-BACKED OBLIGATIONS | ||||||||||||||||
(Cost $654,911,340) | $ | 647,504,163 | ||||||||||||||
Agency Debentures – 32.7% | ||||||||||||||||
Federal Farm Credit Bank | ||||||||||||||||
$ | 20,000,000 | 1.85 | % | 03/03/2006 | $ | 19,719,380 | ||||||||||
Federal Home Loan Bank | ||||||||||||||||
20,000,000 | 2.50 | 03/13/2006 | 19,817,020 | |||||||||||||
24,000,000 | 2.50 | 03/30/2006 | 23,762,856 | |||||||||||||
70,000,000 | 3.00 | 05/15/2006 | 69,538,021 | |||||||||||||
FNMA | ||||||||||||||||
35,000,000 | 0.00 | (d) | 10/05/2005 | 34,517,700 | ||||||||||||
30,000,000 | 0.00 | (d) | 03/17/2006 | 29,085,540 | ||||||||||||
50,000,000 | 3.25 | 03/17/2006 | 49,863,050 | |||||||||||||
20,900,000 | 2.15 | 04/13/2006 | 20,616,052 | |||||||||||||
8,900,000 | 2.35 | 04/29/2006 | 8,790,767 | |||||||||||||
50,000,000 | 3.01 | 06/02/2006 | 49,640,785 | |||||||||||||
17,000,000 | 3.25 | 06/28/2006 | 16,898,068 | |||||||||||||
TOTAL AGENCY DEBENTURES | ||||||||||||||||
(Cost $344,187,630) | $ | 342,249,239 | ||||||||||||||
Asset-Backed Securities – 4.2% | ||||||||||||||||
Auto – 0.6% | ||||||||||||||||
AmeriCredit Automobile Receivable Trust Series 2002-A, Class A4 | ||||||||||||||||
$ | 5,974,819 | 4.61 | % | 01/12/2009 | $ | 6,013,203 | ||||||||||
Home Equity(a) – 3.6% | ||||||||||||||||
ACE Securities Corp. Series 2003-FM1, Class A2 | ||||||||||||||||
$ | 307,100 | 3.39 | % | 11/25/2032 | $ | 307,180 | ||||||||||
Countrywide Home Equity Loan Trust Series 2004-G, Class 2A | ||||||||||||||||
12,223,995 | 3.17 | 12/15/2029 | 12,258,136 | |||||||||||||
Impac CMB Trust Series 2003-6, Class A | ||||||||||||||||
9,409,194 | 3.34 | 07/25/2033 | 9,432,563 | |||||||||||||
Indy Mac Home Equity Loan Asset-Backed Trust Series 2002-B, Class AV | ||||||||||||||||
1,121,506 | 3.47 | 10/25/2033 | 1,121,857 |
35
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Asset-Backed Securities – (continued) | ||||||||||||||||
Home Equity(a) – (continued) | ||||||||||||||||
Merrill Lynch Mortgage Investors, Inc. Series 2004-WMC5, Class A2B2 | ||||||||||||||||
$ | 15,000,000 | 3.37 | % | 07/25/2035 | $ | 15,049,866 | ||||||||||
$ | 38,169,602 | |||||||||||||||
TOTAL ASSET-BACKED SECURITIES | ||||||||||||||||
(Cost $44,250,548) | $ | 44,182,805 | ||||||||||||||
U.S. Treasury Obligations(d) – 2.1% | ||||||||||||||||
United States Treasury Principal-Only Stripped Securities | ||||||||||||||||
$ | 17,920,000 | 0.00 | % | 05/15/2011 | $ | 17,264,361 | ||||||||||
7,300,000 | 0.00 | 05/15/2020 | 3,659,118 | |||||||||||||
2,300,000 | 0.00 | 05/15/2021 | 1,089,349 | |||||||||||||
TOTAL U.S. TREASURY OBLIGATIONS | ||||||||||||||||
(Cost $22,308,746) | $ | 22,012,828 | ||||||||||||||
TOTAL INVESTMENTS – 100.8% | ||||||||||||||||
(Cost $1,065,658,264) | $ | 1,055,949,035 | ||||||||||||||
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
(a) | Variable rate security. Interest rate disclosed is that which is in effect at April 30, 2005. | |
(b) | 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. | |
(c) | 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 amounts to $12,249,985, which represents approximately 1.2% of net assets as of April 30, 2005. | |
(d) | Security issued with a zero coupon. Income is recognized through the accretion of discount. |
Investment Abbreviations: | ||||||
LIBOR | — | London Interbank Offer Rate | ||||
REMIC | — | Real Estate Mortgage Investment Conduit | ||||
36
ADDITIONAL INVESTMENT INFORMATION |
FUTURES CONTRACTS — At April 30, 2005, the following futures contacts were open as follows:
Number of | ||||||||||||||||
Contracts | Settlement | Market | Unrealized | |||||||||||||
Type | Long (Short) | Month | Value | Gain (Loss) | ||||||||||||
Eurodollars | 330 | June 2005 | $ | 79,674,375 | $ | (67,622 | ) | |||||||||
Eurodollars | (34 | ) | September 2005 | (8,181,674 | ) | (14,141 | ) | |||||||||
Eurodollars | 246 | December 2005 | 59,079,975 | (107,059 | ) | |||||||||||
Eurodollars | 182 | March 2006 | 43,652,700 | 22,198 | ||||||||||||
Eurodollars | (418 | ) | September 2006 | (100,048,300 | ) | 170,337 | ||||||||||
Eurodollars | (626 | ) | December 2006 | (149,715,725 | ) | 412,844 | ||||||||||
U.S. Treasury Bonds | 160 | June 2005 | 18,375,000 | 658,237 | ||||||||||||
2 Year U.S. Treasury Notes | (189 | ) | June 2005 | (39,255,891 | ) | (3,912 | ) | |||||||||
5 Year U.S. Treasury Notes | (623 | ) | June 2005 | (67,566,297 | ) | (312,199 | ) | |||||||||
10 Year U.S. Treasury Notes | 150 | June 2005 | 16,713,281 | (42,608 | ) | |||||||||||
$ | (147,272,556 | ) | $ | 716,075 | ||||||||||||
SWAP CONTRACTS — At April 30, 2005, the Ultra Short Duration Government Fund had outstanding swap contracts with the following terms:
Rate Type | ||||||||||||||||||||||||
Notional | Payments | Payments | ||||||||||||||||||||||
Swap | Amount | Termination | made by | received by | Unrealized | |||||||||||||||||||
Swap Type | Counterparty | (000s) | Date | the Fund | the Fund | Loss | ||||||||||||||||||
Interest Rate | Banc of America Securities LLC | $ | 72,840 | 05/05/2008 | 3 month LIBOR Floating | 4.35% | $ | — | ||||||||||||||||
Interest Rate | Banc of America Securities LLC | 31,200 | 05/04/2011 | 4.53% | 3 month LIBOR Floating | — | ||||||||||||||||||
Interest Rate | Banc of America Securities LLC | 35,000 | 06/10/2014 | 5.28% | 3 month LIBOR Floating | (2,340,729 | ) | |||||||||||||||||
Interest Rate | Banc of America Securities LLC | 41,000 | 11/12/2019 | 5.07% | 3 month LIBOR Floating | (1,790,370 | ) | |||||||||||||||||
TOTAL | $ | (4,131,099 | ) | |||||||||||||||||||||
37
Statement of Investments
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Mortgage-Backed Obligations – 44.5% | ||||||||||||||||
Adjustable Rate Federal Home Loan Mortgage Corp. (FHLMC)(a) – 0.1% | ||||||||||||||||
$ | 290,516 | 5.33 | %(b) | 05/01/2018 | $ | 295,121 | ||||||||||
256,959 | 5.71 | 10/01/2025 | 263,776 | |||||||||||||
$ | 558,897 | |||||||||||||||
Adjustable Rate Federal National Mortgage Association (FNMA)(a) – 12.7% | ||||||||||||||||
$ | 634,163 | 3.69 | % | 11/01/2017 | $ | 643,805 | ||||||||||
881,633 | 4.76 | 02/01/2018 | 897,697 | |||||||||||||
417,016 | 0.00 | (d) | 02/25/2018 | 375,448 | ||||||||||||
528,221 | 7.70 | 02/25/2018 | 605,109 | |||||||||||||
414,532 | 3.88 | 06/01/2018 | 423,297 | |||||||||||||
800,164 | 3.94 | 03/01/2019 | 810,732 | |||||||||||||
829,065 | 5.54 | 05/01/2020 | 856,756 | |||||||||||||
776,817 | 4.38 | 12/01/2020 | 782,388 | |||||||||||||
314,209 | 5.74 | 01/01/2023 | 323,526 | |||||||||||||
16,726,317 | 3.94 | 08/01/2029 | 16,910,566 | |||||||||||||
1,260,872 | 5.64 | 07/01/2032 | 1,270,402 | |||||||||||||
888,791 | 5.75 | 07/01/2032 | 902,395 | |||||||||||||
2,345,616 | 5.31 | 01/01/2033 | 2,391,707 | |||||||||||||
17,912,566 | 4.25 | 05/01/2033 | 17,967,997 | |||||||||||||
2,841,264 | 4.01 | 08/01/2033 | 2,840,424 | |||||||||||||
12,879,659 | 4.42 | 02/01/2034 | 12,935,319 | |||||||||||||
7,008,783 | 4.30 | 03/01/2034 | 7,012,334 | |||||||||||||
11,966,567 | 4.27 | 06/01/2034 | 12,191,658 | |||||||||||||
8,440,578 | 4.30 | 07/01/2034 | 8,605,423 | |||||||||||||
10,427,576 | 5.06 | 03/01/2035 | 10,571,476 | |||||||||||||
$ | 99,318,459 | |||||||||||||||
Adjustable Rate Government National Mortgage Association (GNMA)(a) – 11.2% | ||||||||||||||||
$ | 5,106,354 | 4.00 | % | 11/20/2033 | $ | 5,125,204 | ||||||||||
2,657,726 | 3.75 | 01/20/2034 | 2,629,304 | |||||||||||||
6,259,018 | 3.75 | 02/20/2034 | 6,191,683 | |||||||||||||
7,353,620 | 3.75 | 05/20/2034 | 7,232,775 | |||||||||||||
3,869,955 | 4.50 | 05/20/2034 | 3,895,642 | |||||||||||||
8,924,238 | 4.50 | 07/20/2034 | 8,947,938 | |||||||||||||
6,443,069 | 4.75 | 08/20/2034 | 6,513,814 | |||||||||||||
21,254,278 | 4.50 | 09/20/2034 | 21,310,931 | |||||||||||||
14,179,453 | 4.75 | 09/20/2034 | 14,266,002 | |||||||||||||
5,007,625 | 4.75 | 10/20/2034 | 5,061,557 | |||||||||||||
5,965,132 | 4.75 | 12/20/2034 | 6,038,861 | |||||||||||||
$ | 87,213,711 | |||||||||||||||
Collateralized Mortgage Obligations (CMOs) – 13.6% | ||||||||||||||||
Interest Only(c) – 0.2% | ||||||||||||||||
FHLMC Series 2541, Class QI | ||||||||||||||||
$ | 686,975 | 6.00 | % | 01/15/2029 | $ | 8,827 | ||||||||||
FHLMC Series 2575 Class IB | ||||||||||||||||
4,169,067 | 5.50 | 08/15/2030 | 508,448 | |||||||||||||
FHLMC Series 2586, Class NX | ||||||||||||||||
2,361,110 | 4.50 | 08/15/2016 | 260,932 | |||||||||||||
FHLMC Series 2620, Class IO | ||||||||||||||||
4,412,042 | 5.50 | 08/15/2031 | 532,084 | |||||||||||||
$ | 1,310,291 | |||||||||||||||
Inverse Floaters(a) – 0.0% | ||||||||||||||||
FNMA REMIC Trust Series 1990-134, Class SC | ||||||||||||||||
$ | 108,491 | 17.05 | % | 11/25/2020 | $ | 131,709 | ||||||||||
FNMA REMIC Trust Series 1993-231, Class SA | ||||||||||||||||
22,281 | 13.41 | 12/25/2008 | 22,438 | |||||||||||||
GNMA Series 2001-59, Class SA | ||||||||||||||||
34,041 | 16.67 | 11/16/2024 | 41,957 | |||||||||||||
$ | 196,104 | |||||||||||||||
IOette(a)(c) – 0.0% | ||||||||||||||||
FHLMC Series 1161, Class U | ||||||||||||||||
$ | 2,685 | 1,172.81 | % | 11/15/2021 | $ | 4,746 | ||||||||||
Planned Amortization — Interest Only(c) – 0.0% | ||||||||||||||||
FHLMC Series 1587, Class HA | ||||||||||||||||
$ | 232,183 | 6.50 | % | 10/15/2008 | $ | 15,959 | ||||||||||
Planned Amortization Class (PAC) CMOs – 10.9% | ||||||||||||||||
FHLMC Series 1327, Class HA | ||||||||||||||||
$ | 901,588 | 7.50 | % | 07/15/2007 | $ | 903,904 | ||||||||||
FHLMC Series 1377, Class H | ||||||||||||||||
4,270,102 | 6.00 | 09/15/2007 | 4,279,966 | |||||||||||||
FHLMC Series 1415, Class N | ||||||||||||||||
459,010 | 6.75 | 11/15/2007 | 463,624 | |||||||||||||
FHLMC Series 1429, Class G | ||||||||||||||||
1,090,278 | 7.00 | 11/15/2007 | 1,104,974 | |||||||||||||
FHLMC Series 1475, Class K | ||||||||||||||||
1,191,551 | 7.00 | 02/15/2008 | 1,214,259 | |||||||||||||
FHLMC Series 1556, Class H | ||||||||||||||||
2,063,000 | 6.50 | 08/15/2013 | 2,151,632 | |||||||||||||
FHLMC Series 1564, Class H | ||||||||||||||||
3,317,847 | 6.50 | 08/15/2008 | 3,391,644 | |||||||||||||
FHLMC Series 1601, Class PL | ||||||||||||||||
1,756,544 | 6.00 | 10/15/2008 | 1,791,532 | |||||||||||||
FHLMC Series 1606, Class H | ||||||||||||||||
3,055,001 | 6.00 | 11/15/2008 | 3,118,908 | |||||||||||||
FHLMC Series 1655, Class K | ||||||||||||||||
14,000,000 | 6.50 | 01/15/2009 | 14,414,490 | |||||||||||||
FHLMC Series 1703, Class GB | ||||||||||||||||
13,396,738 | 6.50 | 02/15/2009 | 13,677,047 | |||||||||||||
FHLMC Series 1916, Class PC | ||||||||||||||||
3,700,000 | 6.75 | 12/15/2011 | 3,881,536 | |||||||||||||
FNMA REMIC Trust Series 1992-142, Class K | ||||||||||||||||
2,116,377 | 7.00 | 08/25/2007 | 2,167,430 | |||||||||||||
FNMA REMIC Trust Series 1993-010, Class PH | ||||||||||||||||
290,539 | 6.50 | 12/25/2007 | 292,122 | |||||||||||||
FNMA REMIC Trust Series 1993-028, Class PJ | ||||||||||||||||
1,330,934 | 7.00 | 03/25/2008 | 1,356,363 | |||||||||||||
FNMA REMIC Trust Series 1993-052, Class J | ||||||||||||||||
3,727,396 | 6.50 | 04/25/2008 | 3,805,750 | |||||||||||||
FNMA REMIC Trust Series 1993-121, Class Z | ||||||||||||||||
7,173,819 | 7.00 | 07/25/2023 | 7,487,648 | |||||||||||||
FNMA REMIC Trust Series 1993-126, Class PG | ||||||||||||||||
3,600,838 | 6.50 | 07/25/2008 | 3,696,917 | |||||||||||||
FNMA REMIC Trust Series 1993-135, Class PG | ||||||||||||||||
2,722,156 | 6.25 | 07/25/2008 | 2,773,857 | |||||||||||||
FNMA Series 1993-118, Class J | ||||||||||||||||
1,942,263 | 6.50 | 06/25/2008 | 1,967,763 |
38
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Mortgage-Backed Obligations – (continued) | ||||||||||||||||
PAC CMOs – (continued) | ||||||||||||||||
FNMA Series 1993-207, Class G | ||||||||||||||||
$ | 3,296,380 | 6.15 | % | 04/25/2023 | $ | 3,353,395 | ||||||||||
FNMA Series 1994-23, Class PE | ||||||||||||||||
729,385 | 6.00 | 08/25/2022 | 731,203 | |||||||||||||
FNMA Series 1994-86, Class PH | ||||||||||||||||
556,075 | 6.00 | 10/25/2008 | 555,111 | |||||||||||||
FNMA Series 2002-22, Class VB | ||||||||||||||||
2,227,206 | 6.50 | 08/25/2009 | 2,261,174 | |||||||||||||
GNMA REMIC Trust Series 2002-45, Class QD | ||||||||||||||||
4,273,792 | 6.50 | 06/20/2031 | 4,304,294 | |||||||||||||
$ | 85,146,543 | |||||||||||||||
Principal Only(d) – 0.0% | ||||||||||||||||
FNMA REMIC Trust Series G92-28, Class A | ||||||||||||||||
$ | 87,598 | 0.00 | % | 05/25/2007 | $ | 85,744 | ||||||||||
Sequential Fixed Rate CMOs – 1.8% | ||||||||||||||||
FHLMC Series 108, Class G | ||||||||||||||||
$ | 1,151,514 | 8.50 | % | 12/15/2020 | $ | 1,150,821 | ||||||||||
FHLMC Series 1980, Class Z | ||||||||||||||||
3,959,993 | 7.00 | 07/01/2027 | 4,136,584 | |||||||||||||
FHLMC Series 2019, Class Z | ||||||||||||||||
3,929,042 | 6.50 | 12/15/2027 | 4,087,763 | |||||||||||||
FNMA REMIC Trust Series 1989-66, Class J | ||||||||||||||||
1,397,287 | 7.00 | 09/25/2019 | 1,468,720 | |||||||||||||
FNMA REMIC Trust Series 1990-16, Class E | ||||||||||||||||
955,400 | 9.00 | 03/25/2020 | 1,032,234 | |||||||||||||
FNMA REMIC Trust Series 1992-33, Class K | ||||||||||||||||
1,989,196 | 8.50 | 03/25/2018 | 2,175,824 | |||||||||||||
GNMA REMIC Trust Series 1995-3, Class DQ | ||||||||||||||||
176,457 | 8.05 | 06/16/2025 | 188,158 | |||||||||||||
$ | 14,240,104 | |||||||||||||||
Target Amortization Class (TAC) – 0.7% | ||||||||||||||||
FNMA REMIC Trust Series 1994-18, Class D | ||||||||||||||||
$ | 5,333,333 | 6.75 | % | 02/25/2024 | $ | 5,478,337 | ||||||||||
TOTAL CMOs $106,477,828 | ||||||||||||||||
FHLMC – 2.6% | ||||||||||||||||
$ | 9,705,289 | 4.50 | % | 05/01/2008 | $ | 9,745,382 | ||||||||||
42,904 | 7.00 | 01/01/2009 | 45,135 | |||||||||||||
68,300 | 7.00 | 02/01/2009 | 71,852 | |||||||||||||
37,845 | 7.00 | 03/01/2009 | 39,524 | |||||||||||||
99,879 | 7.00 | 04/01/2009 | 104,840 | |||||||||||||
96,441 | 7.00 | 05/01/2009 | 101,456 | |||||||||||||
12,342 | 6.50 | 05/01/2010 | 12,887 | |||||||||||||
60,272 | 6.50 | 06/01/2010 | 62,798 | |||||||||||||
903,854 | 6.50 | 07/01/2010 | 941,725 | |||||||||||||
161,725 | 7.00 | 07/01/2010 | 170,136 | |||||||||||||
1,204 | 6.50 | 08/01/2010 | 1,254 | |||||||||||||
200,732 | 7.00 | 01/01/2011 | 209,639 | |||||||||||||
85,073 | 7.00 | 12/01/2012 | 89,491 | |||||||||||||
303,142 | 6.50 | 01/01/2013 | 316,665 | |||||||||||||
174,083 | 6.50 | 04/01/2013 | 181,849 | |||||||||||||
342,992 | 6.50 | 05/01/2013 | 358,292 | |||||||||||||
160,737 | 6.50 | 06/01/2013 | 167,907 | |||||||||||||
144,362 | 6.50 | 10/01/2013 | 150,802 | |||||||||||||
290,989 | 8.50 | 10/01/2015 | 315,622 | |||||||||||||
2,137,291 | 8.00 | 12/01/2015 | 2,267,537 | |||||||||||||
85,772 | 7.00 | 03/01/2016 | 90,233 | |||||||||||||
3,598,988 | 7.00 | 04/01/2022 | 3,795,709 | |||||||||||||
54,122 | 7.50 | 01/01/2031 | 57,799 | |||||||||||||
815,767 | 6.50 | 12/01/2032 | 848,271 | |||||||||||||
$ | 20,146,805 | |||||||||||||||
FNMA – 4.2% | ||||||||||||||||
$ | 5,297 | 7.00 | % | 11/01/2007 | $ | 5,555 | ||||||||||
120,823 | 7.00 | 12/01/2007 | 126,705 | |||||||||||||
2,844 | 7.00 | 05/01/2008 | 2,983 | |||||||||||||
24,731 | 7.00 | 08/01/2008 | 25,940 | |||||||||||||
845,147 | 7.00 | 09/01/2008 | 886,448 | |||||||||||||
19,889 | 7.00 | 12/01/2009 | 20,861 | |||||||||||||
123,470 | 8.50 | 05/01/2010 | 129,600 | |||||||||||||
1,981 | 7.00 | 06/01/2010 | 2,077 | |||||||||||||
9,614 | 7.00 | 08/01/2010 | 10,089 | |||||||||||||
6,744 | 7.00 | 01/01/2011 | 7,036 | |||||||||||||
96,373 | 7.00 | 07/01/2011 | 101,136 | |||||||||||||
2,606 | 7.00 | 11/01/2011 | 2,719 | |||||||||||||
7,561,897 | 5.50 | 01/01/2013 | 7,760,083 | |||||||||||||
114,868 | 6.00 | 01/01/2014 | 118,826 | |||||||||||||
336,014 | 6.00 | 03/01/2014 | 347,592 | |||||||||||||
31,679 | 5.50 | 04/01/2014 | 32,153 | |||||||||||||
52,397 | 8.50 | 09/01/2015 | 56,771 | |||||||||||||
316,065 | 8.50 | 10/01/2015 | 342,449 | |||||||||||||
91,684 | 8.50 | 12/01/2015 | 99,395 | |||||||||||||
1,665,726 | 5.50 | 07/01/2018 | 1,705,572 | |||||||||||||
992,260 | 5.50 | 08/01/2018 | 1,015,997 | |||||||||||||
1,154,819 | 5.50 | 09/01/2018 | 1,182,445 | |||||||||||||
158,199 | 5.50 | 12/01/2018 | 161,983 | |||||||||||||
248,985 | 7.00 | 11/01/2019 | 263,257 | |||||||||||||
221,988 | 8.00 | 02/01/2031 | 238,887 | |||||||||||||
6,012,170 | 6.00 | 03/01/2033 | 6,169,123 | |||||||||||||
11,584,796 | 6.50 | 04/01/2033 | 12,030,809 | |||||||||||||
$ | 32,846,491 | |||||||||||||||
GNMA – 0.1% | ||||||||||||||||
$ | 144,411 | 6.50 | % | 06/15/2008 | $ | 152,787 | ||||||||||
83,413 | 6.50 | 07/15/2008 | 88,252 | |||||||||||||
245,156 | 6.50 | 08/15/2008 | 259,378 | |||||||||||||
117,208 | 6.50 | 09/15/2008 | 124,006 | |||||||||||||
26,913 | 6.50 | 10/15/2008 | 28,474 | |||||||||||||
7,296 | 6.50 | 11/15/2008 | 7,719 | |||||||||||||
25,912 | 9.00 | 12/15/2008 | 27,389 | |||||||||||||
24,381 | 6.50 | 01/15/2009 | 25,319 | |||||||||||||
50,390 | 9.00 | 01/15/2009 | 53,791 | |||||||||||||
1,942 | 6.50 | 03/15/2009 | 2,055 | |||||||||||||
9,334 | 6.50 | 04/15/2009 | 9,693 | |||||||||||||
121,526 | 6.50 | 05/15/2009 | 126,200 | |||||||||||||
15,557 | 6.50 | 07/15/2009 | 16,155 |
39
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Mortgage-Backed Obligations – (continued) | ||||||||||||||||
GNMA – (continued) | ||||||||||||||||
$ | 20,631 | 6.50 | % | 11/15/2009 | $ | 21,425 | ||||||||||
8,610 | 9.00 | 01/15/2010 | 9,267 | |||||||||||||
106,615 | 9.00 | 07/15/2012 | 116,422 | |||||||||||||
$ | 1,068,332 | |||||||||||||||
TOTAL MORTGAGE-BACKED OBLIGATIONS | ||||||||||||||||
(Cost $353,160,946) | $ | 347,630,523 | ||||||||||||||
Agency Debentures – 39.7% | ||||||||||||||||
Federal Farm Credit Bank | ||||||||||||||||
$ | 10,000,000 | 4.90 | % | 03/21/2006 | $ | 10,112,390 | ||||||||||
2,000,000 | 5.40 | 05/10/2006 | 2,034,420 | |||||||||||||
12,500,000 | 6.60 | 07/07/2006 | 12,921,063 | |||||||||||||
Federal Home Loan Bank | ||||||||||||||||
4,000,000 | 1.70 | 12/30/2005 | 3,954,048 | |||||||||||||
20,000,000 | 2.50 | 03/13/2006 | 19,817,020 | |||||||||||||
3,000,000 | 2.75 | 05/15/2006 | 2,972,645 | |||||||||||||
25,000,000 | 3.00 | 05/15/2006 | 24,835,008 | |||||||||||||
3,000,000 | 5.38 | 05/15/2006 | 3,051,980 | |||||||||||||
9,000,000 | 2.50 | 05/19/2006 | 8,892,252 | |||||||||||||
6,000,000 | 2.32 | 07/24/2006 | 5,899,362 | |||||||||||||
10,000,000 | 2.30 | 08/30/2006 | 9,814,210 | |||||||||||||
20,000,000 | 4.88 | 02/15/2007 | 20,338,974 | |||||||||||||
12,500,000 | 3.50 | 05/15/2007 | 12,400,411 | |||||||||||||
7,000,000 | 3.79 | 11/28/2008 | 6,867,245 | |||||||||||||
Federal Home Loan Mortgage Corp. | ||||||||||||||||
10,000,000 | 2.81 | 02/02/2006 | 9,947,710 | |||||||||||||
7,400,000 | 2.15 | 02/10/2006 | 7,322,618 | |||||||||||||
15,000,000 | 2.27 | 04/28/2006 | 14,804,844 | |||||||||||||
5,000,000 | 3.50 | 04/15/2008 | 4,918,125 | |||||||||||||
16,000,000 | 3.00 | 07/09/2008 | 15,489,856 | |||||||||||||
FNMA | ||||||||||||||||
6,500,000 | 2.15 | 04/13/2006 | 6,411,691 | |||||||||||||
12,500,000 | 2.25 | 05/26/2006 | 12,307,814 | |||||||||||||
8,000,000 | 3.01 | 06/02/2006 | 7,942,526 | |||||||||||||
16,000,000 | 3.25 | 06/28/2006 | 15,904,064 | |||||||||||||
15,000,000 | 3.25 | 07/12/2006 | 14,908,821 | |||||||||||||
4,500,000 | 2.75 | 08/11/2006 | 4,444,725 | |||||||||||||
20,000,000 | 3.05 | 10/13/2006 | 19,790,640 | |||||||||||||
10,000,000 | 2.20 | 12/04/2006 | 9,753,846 | |||||||||||||
19,000,000 | 3.55 | 01/12/2007 | 18,909,332 | |||||||||||||
Small Business Administration | ||||||||||||||||
564,456 | 7.20 | 06/01/2017 | 598,249 | |||||||||||||
1,041,500 | 6.30 | 05/01/2018 | 1,089,572 | |||||||||||||
1,242,679 | 6.30 | 06/01/2018 | 1,300,679 | |||||||||||||
TOTAL AGENCY DEBENTURES | ||||||||||||||||
(Cost $311,361,310) | $ | 309,756,140 | ||||||||||||||
U.S. Treasury Obligations – 5.0% | ||||||||||||||||
United States Treasury Bonds | ||||||||||||||||
$ | 6,650,000 | 3.38 | % | 02/15/2008 | $ | 6,592,345 | ||||||||||
200,000 | 4.25 | 08/15/2013 | 201,609 | |||||||||||||
United States Treasury Principal-Only Stripped Securities(d) | ||||||||||||||||
30,000,000 | 0.00 | 05/15/2011 | 28,902,390 | |||||||||||||
3,600,000 | 0.00 | 05/15/2020 | 1,804,583 | |||||||||||||
1,100,000 | 0.00 | 05/15/2021 | 520,993 | |||||||||||||
2,000,000 | 0.00 | 08/15/2021 | 934,480 | |||||||||||||
TOTAL U.S. TREASURY OBLIGATIONS | ||||||||||||||||
(Cost $39,235,142) | $ | 38,956,400 | ||||||||||||||
TOTAL INVESTMENTS BEFORE REPURCHASE AGREEMENT – 89.2% | ||||||||||||||||
(Cost $703,757,398) | $ | 696,343,063 | ||||||||||||||
Repurchase Agreement(e) – 10.7% | ||||||||||||||||
Joint Repurchase Agreement Account II | ||||||||||||||||
$ | 83,600,000 | 2.97 | % | 05/02/2005 | $ | 83,600,000 | ||||||||||
Maturity Value: $83,620,670 | ||||||||||||||||
(Cost $83,600,000) | ||||||||||||||||
TOTAL INVESTMENTS – 99.9% | ||||||||||||||||
(Cost $787,357,398) | $ | 779,943,063 | ||||||||||||||
The percentage shown for each investment category reflects the value of investments in that category as a percentage of total net assets. |
(a) | Variable rate security. Interest rate disclosed is that which is in effect at April 30, 2005. | |
(b) | A portion of this security is segregated as collateral for initial margin requirement on futures transactions. | |
(c) | 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. | |
(d) | Security issued with a zero coupon. Income is recognized through the accretion of discount. | |
(e) | Joint repurchase agreement was entered into on April 29, 2005. |
Investment Abbreviations: | ||||||
LIBOR | — | London Interbank Offered Rate | ||||
REMIC | — | Real Estate Mortgage Investment Conduit | ||||
40
ADDITIONAL INVESTMENT INFORMATION |
JOINT REPURCHASE AGREEMENT ACCOUNT II — At April 30, 2005, the Fund had an undivided interest in the following Joint Repurchase Agreement Account II which equaled $83,600,000 in principal amount.
Principal | Interest | Maturity | Maturity | |||||||||||
Repurchase Agreements | Amount | Rate | Date | Value | ||||||||||
Banc of America Securities LLC | $ | 900,000,000 | 2.97 | % | 05/02/2005 | $ | 900,222,750 | |||||||
Barclays Capital PLC | 1,700,000,000 | 2.97 | 05/02/2005 | 1,700,420,750 | ||||||||||
Bear Stearns & Co. | 300,000,000 | 2.98 | 05/02/2005 | 300,074,500 | ||||||||||
Deutsche Bank Securities, Inc. | 610,000,000 | 2.97 | 05/02/2005 | 610,150,975 | ||||||||||
Greenwich Capital Markets | 400,000,000 | 2.97 | 05/02/2005 | 400,099,000 | ||||||||||
Merrill Lynch | 250,000,000 | 2.97 | 05/02/2005 | 250,061,875 | ||||||||||
Morgan Stanley & Co. | 1,411,700,000 | 2.97 | 05/02/2005 | 1,412,049,396 | ||||||||||
UBS Securities LLC | 750,000,000 | 2.95 | 05/02/2005 | 750,184,375 | ||||||||||
UBS Securities LLC | 450,000,000 | 2.96 | 05/02/2005 | 450,111,000 | ||||||||||
Westdeutsche Landesbank AG | 900,000,000 | 2.97 | 05/02/2005 | 900,222,750 | ||||||||||
TOTAL | $ | 7,671,700,000 | $ | 7,673,597,371 | ||||||||||
At April 30, 2005, the Joint Repurchase Agreement Account II was fully collateralized by Federal Home Loan Bank, 0.00% to 14.00%, due 08/15/2005 to 03/23/2015; Federal Home Loan Mortgage Association, 0.00% to 12.25%, due 07/12/2005 to 05/01/2035; Federal National Mortgage Association, 0.00% to 15.50%, due 05/04/2005 to 05/01/2035 and Government National Mortgage Association, 4.50% to 6.50%, due 05/15/2018 to 04/20/2035. |
FUTURES CONTRACTS — At April 30, 2005, the following futures contacts were open as follows:
Number of | ||||||||||||||||
Contracts | Settlement | Market | Unrealized | |||||||||||||
Type | Long (Short) | Month | Value | Gain (Loss) | ||||||||||||
Eurodollars | 70 | June 2005 | $ | 16,900,625 | $ | (10,738 | ) | |||||||||
Eurodollars | (23 | ) | September 2005 | (5,534,663 | ) | 9,697 | ||||||||||
Eurodollars | 188 | December 2005 | 45,150,550 | (48,549 | ) | |||||||||||
Eurodollars | 331 | March 2006 | 79,390,350 | (144,511 | ) | |||||||||||
Eurodollars | 205 | June 2006 | 49,112,875 | (180,197 | ) | |||||||||||
Eurodollars | (12 | ) | September 2006 | (2,872,200 | ) | 2,015 | ||||||||||
Eurodollars | (128 | ) | December 2006 | (30,612,800 | ) | 78,115 | ||||||||||
Eurodollars | 10 | March 2007 | 2,391,000 | (5,159 | ) | |||||||||||
Eurodollars | 10 | June 2007 | 2,390,125 | (2,909 | ) | |||||||||||
U.S. Treasury Bonds | 31 | June 2005 | 3,560,156 | 130,695 | ||||||||||||
2 Year U.S. Treasury Notes | 1,603 | June 2005 | 332,948,111 | (654,960 | ) | |||||||||||
5 Year U.S. Treasury Notes | (952 | ) | June 2005 | (103,247,375 | ) | (710,850 | ) | |||||||||
10 Year U.S. Treasury Notes | 26 | June 2005 | 2,896,969 | 55,740 | ||||||||||||
10 Year Interest Rate Swap | (167 | ) | June 2005 | (18,448,281 | ) | (279,671 | ) | |||||||||
$ | 374,025,442 | $ | (1,761,282 | ) | ||||||||||||
41
ADDITIONAL INVESTMENT INFORMATION (continued) |
SWAP CONTRACTS — At April 30, 2005, the Short Duration Government Fund had outstanding swap contracts with the following terms:
Rate Type | ||||||||||||||||||||||
Notional | Payments | Payments | ||||||||||||||||||||
Amount | Termination | received by | made by | Unrealized | ||||||||||||||||||
Swap Type | Swap Counterparty | (000s) | Date | the Fund | the Fund | Gain | ||||||||||||||||
Interest Rate | Banc of America Securities LLC | $ | 35,490 | 05/05/2008 | 4.35% | 3 month LIBOR Floating | $ | — | ||||||||||||||
Interest Rate | Banc of America Securities LLC | 15,200 | 05/11/2008 | 4.14% | 3 month LIBOR Floating | — | ||||||||||||||||
TOTAL | $ | — | ||||||||||||||||||||
42
Statement of Investments
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Mortgage-Backed Obligations – 52.1% | ||||||||||||||||
Adjustable Rate Federal Home Loan Mortgage Corp. (FHLMC)(a) – 1.6% | ||||||||||||||||
$ | 11,970,782 | 3.51 | % | 09/01/2033 | $ | 11,700,576 | ||||||||||
Adjustable Rate Federal National Mortgage Association (FNMA)(a) – 1.1% | ||||||||||||||||
$ | 419,598 | 4.49 | % | 03/01/2033 | $ | 422,111 | ||||||||||
7,904,724 | 4.33 | 01/01/2035 | 7,813,345 | |||||||||||||
$ | 8,235,456 | |||||||||||||||
Adjustable Rate Non-Agency(a) – 5.5% | ||||||||||||||||
Bear Stearns Adjustable Rate Mortgage Trust Series 2003-5, Class 1A1 | ||||||||||||||||
$ | 366,057 | 4.14 | % | 08/25/2033 | $ | 367,979 | ||||||||||
Countrywide Home Loans Series 2003-37, Class 1A1 | ||||||||||||||||
406,320 | 3.96 | 08/25/2033 | 408,364 | |||||||||||||
CS First Boston Mortgage Securities Corp. Series 2003-AR9, Class 2A2 | ||||||||||||||||
1,094,442 | 5.10 | 03/25/2033 | 1,100,596 | |||||||||||||
Master Adjustable Rate Mortgages Trust Series 2004-9, Class 2A1 | ||||||||||||||||
2,176,656 | 3.40 | 11/25/2034 | 2,182,731 | |||||||||||||
MLCC Mortgage Investors, Inc. Series 2004-E, Class A2B | ||||||||||||||||
8,817,202 | 3.73 | 11/25/2029 | 8,794,780 | |||||||||||||
Sequoia Mortgage Trust Series 2004-09, Class A2 | ||||||||||||||||
5,789,719 | 3.66 | 10/20/2034 | 5,808,728 | |||||||||||||
Sequoia Mortgage Trust Series 2005-02, Class A2 | ||||||||||||||||
5,800,288 | 3.36 | 03/20/2035 | 5,790,999 | |||||||||||||
Structured Adjustable Rate Mortgage Loan Series 2004-1, Class 3A3 | ||||||||||||||||
513,826 | 4.66 | 02/25/2034 | 518,263 | |||||||||||||
Structured Adjustable Rate Mortgage Loan Series 2004-5, Class 1A | ||||||||||||||||
4,212,671 | 4.51 | 05/25/2034 | 4,128,924 | |||||||||||||
Structured Asset Securities Corp. Series 2003-24A, Class 1A3 | ||||||||||||||||
1,783,148 | 5.00 | 07/25/2033 | 1,768,348 | |||||||||||||
Structured Asset Securities Corp. Series 2003-34A, Class 3A3 | ||||||||||||||||
3,351,484 | 4.70 | 11/25/2033 | 3,383,979 | |||||||||||||
Thornburg Mortgage Securities Trust Series 2004-3, Class A | ||||||||||||||||
5,254,463 | 3.39 | 09/25/2034 | 5,267,999 | |||||||||||||
$ | 39,521,690 | |||||||||||||||
Collateralized Mortgage Obligations (CMOs) – 2.3% Interest Only(b) – 0.2% | ||||||||||||||||
Bear Stearns Asset Backed Securities Series 2003-AC2, Class AI0 | ||||||||||||||||
$ | 3,150,000 | 5.00 | % | 10/25/2005 | $ | 63,356 | ||||||||||
Countrywide Home Loan Trust Series 2003-42, Class 2X1(a) | ||||||||||||||||
1,440,779 | 0.39 | 10/25/2033 | 10,038 | |||||||||||||
CS First Boston Mortgage Securities Corp. Series 2003-11, Class 1A2 | ||||||||||||||||
307,950 | 5.50 | 06/25/2033 | 19,865 | |||||||||||||
CS First Boston Mortgage Securities Corp. Series 2003-AR18, Class 2X(a) | ||||||||||||||||
515,054 | 0.78 | 07/25/2033 | 6,609 | |||||||||||||
CS First Boston Mortgage Securities Corp. Series 2003-AR20, Class 2X(a) | ||||||||||||||||
508,091 | 0.60 | 08/25/2033 | 5,048 | |||||||||||||
FHLMC Series 2620, Class IO | ||||||||||||||||
3,048,320 | 5.50 | 08/15/2031 | 367,622 | |||||||||||||
FNMA Series 151, Class 2 | ||||||||||||||||
45,121 | 9.50 | 07/25/2022 | 9,266 | |||||||||||||
FNMA Series 2003-36, Class IO | ||||||||||||||||
4,184,102 | 5.50 | 12/25/2031 | 432,856 | |||||||||||||
Master Adjustable Rate Mortgages Trust Series 2003-2, Class 3AX(a) | ||||||||||||||||
177,241 | 0.68 | 08/25/2033 | 2,379 | |||||||||||||
Master Adjustable Rate Mortgages Trust Series 2003-2, Class 4AX(a) | ||||||||||||||||
72,137 | 1.15 | 07/25/2033 | 1,479 | |||||||||||||
Washington Mutual Series 2003-AR04, Class X1(a) | ||||||||||||||||
3,506,114 | 1.18 | 01/25/2008 | 70,907 | |||||||||||||
Washington Mutual Series 2003-AR07, Class X(a) | ||||||||||||||||
1,887,540 | 0.95 | 06/25/2008 | 18,498 | |||||||||||||
Washington Mutual Series 2003-AR12, Class X(a) | ||||||||||||||||
8,707,240 | 0.50 | 02/25/2034 | 56,713 | |||||||||||||
$ | 1,064,636 | |||||||||||||||
Inverse Floaters(a) – 0.2% | ||||||||||||||||
FNMA REMIC Trust Series 1993-231, Class SA | ||||||||||||||||
$ | 16,711 | 13.41 | % | 12/25/2008 | $ | 16,829 | ||||||||||
GNMA Series 2001-48, Class SA | ||||||||||||||||
144,008 | 16.84 | 10/16/2031 | 176,469 | |||||||||||||
GNMA Series 2001-51, Class SA | ||||||||||||||||
114,366 | 19.63 | 10/16/2031 | 144,962 | |||||||||||||
GNMA Series 2001-51, Class SB | ||||||||||||||||
143,519 | 16.84 | 10/16/2031 | 167,237 | |||||||||||||
GNMA Series 2001-59, Class SA | ||||||||||||||||
121,080 | 16.67 | 11/16/2024 | 149,236 | |||||||||||||
GNMA Series 2002-13, Class SB | ||||||||||||||||
505,044 | 23.71 | 02/16/2032 | 692,714 | |||||||||||||
$ | 1,347,447 | |||||||||||||||
Principal Only(c) – 0.0% | ||||||||||||||||
FNMA REMIC Trust Series G-35, Class N | ||||||||||||||||
$ | 37,909 | 0.00 | % | 10/25/2021 | $ | 32,415 | ||||||||||
Regular Floater CMOs(a) – 0.1% | ||||||||||||||||
FHLMC Series 1760, Class ZB | ||||||||||||||||
$ | 433,861 | 3.91 | % | 05/15/2024 | $ | 438,625 | ||||||||||
Sequential Fixed Rate CMOs – 1.8% | ||||||||||||||||
FHLMC Series 2329, Class ZA | ||||||||||||||||
$ | 6,410,467 | 6.50 | % | 06/15/2031 | $ | 6,737,072 | ||||||||||
FNMA REMIC Trust Series 1993-78, Class H | ||||||||||||||||
95,273 | 6.50 | 06/25/2008 | 97,901 |
43
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Mortgage-Backed Obligations – (continued) | ||||||||||||||||
Sequential Fixed Rate CMOs – (continued) | ||||||||||||||||
FNMA REMIC Trust Series 1994-42, Class ZQ | ||||||||||||||||
$ | 4,819,903 | 7.00 | % | 04/25/2024 | $ | 5,066,584 | ||||||||||
FNMA Series 2001-53, Class GH | ||||||||||||||||
1,304,770 | 8.00 | 09/25/2016 | 1,386,281 | |||||||||||||
$ | 13,287,838 | |||||||||||||||
TOTAL CMOs | $ | 16,170,961 | ||||||||||||||
Commercial Mortgage-Backed Securities (CMBS) – 0.7% | ||||||||||||||||
Interest Only(a)(b)(d) – 0.6% | ||||||||||||||||
Bear Stearns Commercial Mortgage Securities, Inc. Series 2003-T10, Class X2 | ||||||||||||||||
$ | 21,284,147 | 1.44 | % | 03/13/2040 | $ | 1,149,842 | ||||||||||
CS First Boston Mortgage Securities Corp. Series 2003-C3, Class ASP | ||||||||||||||||
14,257,307 | 2.06 | 05/15/2038 | 906,015 | |||||||||||||
JP Morgan Chase Commercial Mortgage Securities Corp. Series 2004-C1, Class X2 | ||||||||||||||||
23,444,107 | 1.25 | 01/15/2038 | 1,020,829 | |||||||||||||
Prudential Commercial Mortgage Trust Series 2003-PWR1, Class X2 | ||||||||||||||||
24,852,828 | 1.70 | 02/11/2036 | 1,564,314 | |||||||||||||
$ | 4,641,000 | |||||||||||||||
Sequential Fixed Rate CMBS – 0.1% | ||||||||||||||||
CS First Boston Mortgage Securities Corp. Series 1997-C2, Class A3 | ||||||||||||||||
$ | 600,000 | 6.55 | % | 01/17/2035 | $ | 631,108 | ||||||||||
TOTAL CMBS | $ | 5,272,108 | ||||||||||||||
FHLMC – 10.2% | ||||||||||||||||
$ | 3,554,025 | 5.50 | % | 12/01/2008 | $ | 3,613,546 | ||||||||||
337,975 | 7.00 | 06/01/2009 | 355,552 | |||||||||||||
2,150,530 | 6.50 | 12/01/2013 | 2,246,463 | |||||||||||||
59,279 | 6.50 | 02/01/2014 | 61,923 | |||||||||||||
7,734,736 | 7.50 | 11/01/2014 | 8,196,893 | |||||||||||||
32,041 | 7.00 | 02/01/2015 | 33,716 | |||||||||||||
3,547,631 | 5.50 | 07/01/2015 | 3,639,634 | |||||||||||||
384,637 | 8.00 | 07/01/2015 | 409,231 | |||||||||||||
39,734 | 7.00 | 01/01/2016 | 41,813 | |||||||||||||
114,264 | 7.00 | 02/01/2016 | 120,206 | |||||||||||||
947,674 | 5.50 | 05/01/2018 | 971,029 | |||||||||||||
4,406,914 | 5.50 | 06/01/2018 | 4,515,519 | |||||||||||||
46,132 | 6.50 | 08/01/2022 | 48,027 | |||||||||||||
43,817 | 7.50 | 03/01/2027 | 46,908 | |||||||||||||
1,829,185 | 6.50 | 07/01/2028 | 1,903,505 | |||||||||||||
9,762,065 | 6.50 | 12/01/2029 | 10,177,889 | |||||||||||||
31,733 | 8.00 | 07/01/2030 | 34,216 | |||||||||||||
59,711 | 7.50 | 12/01/2030 | 63,767 | |||||||||||||
22,143 | 7.50 | 01/01/2031 | 23,647 | |||||||||||||
848,772 | 7.00 | 04/01/2031 | 895,838 | |||||||||||||
465,636 | 6.50 | 07/01/2031 | 485,470 | |||||||||||||
3,072,662 | 6.50 | 12/01/2031 | 3,197,009 | |||||||||||||
18,128,160 | 6.50 | 12/01/2032 | 18,850,455 | |||||||||||||
736,440 | 6.50 | 04/01/2033 | 765,869 | |||||||||||||
2,411,018 | 6.00 | 05/01/2033 | 2,474,278 | |||||||||||||
7,785,755 | 6.50 | 12/01/2033 | 8,084,843 | |||||||||||||
1,986,196 | 6.50 | 03/01/2034 | 2,062,495 | |||||||||||||
$ | 73,319,741 | |||||||||||||||
FNMA – 29.4% | ||||||||||||||||
$ | 6,633,152 | 6.30 | % | 12/01/2008 | $ | 6,993,933 | ||||||||||
1,270,641 | 5.50 | 05/01/2009 | 1,285,140 | |||||||||||||
6,904,420 | 5.50 | 09/01/2014 | 7,079,524 | |||||||||||||
206,976 | 7.00 | 03/01/2015 | 217,283 | |||||||||||||
74,435 | 8.00 | 01/01/2016 | 79,138 | |||||||||||||
2,391,953 | 5.00 | 09/01/2018 | 2,410,102 | |||||||||||||
11,799,212 | 5.00 | 10/01/2018 | 11,888,737 | |||||||||||||
81,250 | 6.50 | 10/01/2028 | 84,781 | |||||||||||||
91,274 | 6.50 | 11/01/2028 | 95,229 | |||||||||||||
37,015 | 7.50 | 07/01/2029 | 39,547 | |||||||||||||
15,622 | 7.50 | 08/01/2029 | 16,691 | |||||||||||||
14,886 | 7.50 | 10/01/2029 | 15,904 | |||||||||||||
416,385 | 6.50 | 12/01/2029 | 434,194 | |||||||||||||
249 | 7.50 | 01/01/2030 | 266 | |||||||||||||
7,501 | 7.50 | 02/01/2030 | 8,013 | |||||||||||||
1,459,616 | 7.00 | 07/01/2031 | 1,539,444 | |||||||||||||
128,181 | 6.50 | 09/01/2031 | 133,547 | |||||||||||||
1,093,241 | 6.50 | 11/01/2031 | 1,139,004 | |||||||||||||
1,425,509 | 6.50 | 12/01/2031 | 1,483,548 | |||||||||||||
659,130 | 6.50 | 12/01/2031 | 686,721 | |||||||||||||
38,199 | 6.50 | 01/01/2032 | 39,798 | |||||||||||||
672,642 | 6.50 | 12/01/2032 | 700,028 | |||||||||||||
48,711 | 6.50 | 01/01/2034 | 50,695 | |||||||||||||
144,000,000 | 4.50 | TBA- 15yr | (e) | 142,424,928 | ||||||||||||
32,000,000 | 5.50 | TBA- 15yr | (e) | 32,680,000 | ||||||||||||
$ | 211,526,195 | |||||||||||||||
Government National Mortgage Association (GNMA) – 1.3% | ||||||||||||||||
$ | 95,426 | 6.50 | % | 12/15/2026 | $ | 100,045 | ||||||||||
9,000,000 | 6.50 | TBA- 15yr | (e) | 9,419,058 | ||||||||||||
$ | 9,519,103 | |||||||||||||||
TOTAL MORTGAGE-BACKED OBLIGATIONS | ||||||||||||||||
(Cost $375,834,620) | $ | 375,265,830 | ||||||||||||||
Agency Debentures – 25.8% | ||||||||||||||||
Federal Farm Credit Bank | ||||||||||||||||
$ | 3,000,000 | 6.60 | % | 07/07/2006 | $ | 3,101,055 |
44
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Agency Debentures – (continued) | ||||||||||||||||
Federal Home Loan Bank | ||||||||||||||||
$ | 4,000,000 | 1.70 | % | 12/30/2005 | $ | 3,954,048 | ||||||||||
31,500,000 | 2.50 | 03/13/2006 | 31,211,806 | |||||||||||||
5,000,000 | 3.00 | 05/15/2006 | 4,967,001 | |||||||||||||
2,700,000 | 5.38 | 05/15/2006 | 2,746,782 | |||||||||||||
17,000,000 | 2.88 | 05/23/2006 | 16,853,768 | |||||||||||||
4,510,000 | 2.10 | 10/13/2006 | 4,401,708 | |||||||||||||
8,000,000 | 3.38 | 10/05/2007 | 7,879,446 | |||||||||||||
1,000,000 | 5.68 | (f) | 12/03/2007 | 1,040,571 | ||||||||||||
2,000,000 | 3.38 | (a) | 02/15/2008 | 1,965,663 | ||||||||||||
3,900,000 | 3.50 | 02/13/2009 | 3,807,500 | |||||||||||||
FHLMC | ||||||||||||||||
18,000,000 | 5.25 | 01/15/2006 | 18,217,224 | |||||||||||||
6,600,000 | 2.15 | 02/10/2006 | 6,530,984 | |||||||||||||
12,000,000 | 7.00 | 03/15/2010 | 13,449,348 | |||||||||||||
6,000,000 | 6.88 | 09/15/2010 | 6,740,109 | |||||||||||||
FNMA | ||||||||||||||||
7,000,000 | 3.25 | 06/28/2006 | 6,958,028 | |||||||||||||
4,000,000 | 3.25 | 07/12/2006 | 3,975,686 | |||||||||||||
10,000,000 | 6.63 | 09/15/2009 | 10,960,050 | |||||||||||||
12,000,000 | 7.25 | 01/15/2010 | 13,530,925 | |||||||||||||
12,000,000 | 7.13 | 06/15/2010 | 13,558,058 | |||||||||||||
Small Business Administration | ||||||||||||||||
781,648 | 6.70 | 12/01/2016 | 818,646 | |||||||||||||
643,891 | 7.15 | 03/01/2017 | 681,559 | |||||||||||||
484,287 | 7.50 | 04/01/2017 | 516,357 | |||||||||||||
276,404 | 7.30 | 05/01/2017 | 293,177 | |||||||||||||
192,707 | 6.80 | 08/01/2017 | 203,062 | |||||||||||||
520,750 | 6.30 | 05/01/2018 | 544,786 | |||||||||||||
497,071 | 6.30 | 06/01/2018 | 520,272 | |||||||||||||
Tennessee Valley Authority(f) | ||||||||||||||||
6,000,000 | 4.88 | 12/15/2006 | 6,245,137 | |||||||||||||
TOTAL AGENCY DEBENTURES | ||||||||||||||||
(Cost $185,851,113) | $ | 185,672,756 | ||||||||||||||
Asset-Backed Securities – 6.1% | ||||||||||||||||
Auto – 0.3% | ||||||||||||||||
CPS Auto Trust Series 2002-A, Class A2 | ||||||||||||||||
$ | 1,946,589 | 4.81 | % | 12/15/2008 | $ | 1,961,189 | ||||||||||
MFN Auto Receivables Trust Series 2002-A, Class A2(d) | ||||||||||||||||
326,579 | 4.92 | 03/15/2008 | 326,783 | |||||||||||||
$ | 2,287,972 | |||||||||||||||
Home Equity(a) – 5.7% | ||||||||||||||||
Carrington Mortgage Loan Trust Series 2005 OPT2, Class A1B | ||||||||||||||||
$ | 3,000,000 | 3.38 | % | 06/25/2035 | $ | 3,000,000 | ||||||||||
Citigroup Mortgage Loan Trust, Inc. Series 2004-OPT1, Class A2 | ||||||||||||||||
5,707,236 | 3.38 | 10/25/2034 | 5,708,275 | |||||||||||||
Countrywide Home Equity Loan Trust Series 2003-E, Class A | ||||||||||||||||
5,995,104 | 3.21 | 07/15/2029 | 6,003,533 | |||||||||||||
Countrywide Home Equity Loan Trust Series 2004-I, Class A | ||||||||||||||||
4,601,775 | 3.24 | 02/15/2034 | 4,611,121 | |||||||||||||
Countrywide Home Equity Loan Trust Series 2004-Q, Class 2A(a) | ||||||||||||||||
5,241,263 | 3.25 | 12/15/2033 | 5,256,824 | |||||||||||||
Countrywide Home Equity Loan Trust Series 2005-B, Class 2A | ||||||||||||||||
5,000,000 | 3.11 | 05/15/2035 | 5,000,780 | |||||||||||||
Impac CMB Trust Series 2004-8, Class 1A | ||||||||||||||||
3,543,599 | 3.38 | 10/25/2034 | 3,553,485 | |||||||||||||
Park Place Securities, Inc. Series 2004-MCW1, Class A4 | ||||||||||||||||
3,000,000 | 3.38 | 10/25/2034 | 3,008,352 | |||||||||||||
Popular ABS Mortgage Pass-Through Trust Series 2004-5, Class AV2 | ||||||||||||||||
3,251,145 | 3.36 | 12/25/2034 | 3,255,716 | |||||||||||||
Securitized Asset Backed Receivables LLC Trust Series 2004-OP2, Class A2 | ||||||||||||||||
2,263,564 | 3.37 | 08/25/2034 | 2,270,147 | |||||||||||||
$ | 41,668,233 | |||||||||||||||
Manufactured Housing – 0.1% | ||||||||||||||||
Mid-State Trust Series 4, Class A | ||||||||||||||||
$ | 405,341 | 8.33 | % | 04/01/2030 | $ | 442,972 | ||||||||||
TOTAL ASSET-BACKED SECURITIES | ||||||||||||||||
(Cost $44,312,126) | $ | 44,399,177 | ||||||||||||||
U.S. Treasury Obligations – 10.9% | ||||||||||||||||
United States Treasury Bonds | ||||||||||||||||
$ | 5,500,000 | 8.88 | % | 02/15/2019 | $ | 7,989,190 | ||||||||||
4,400,000 | 6.88 | 08/15/2025 | 5,705,656 | |||||||||||||
United States Treasury Interest-Only Stripped Securities(b) | ||||||||||||||||
4,000,000 | 0.00 | 08/15/2013 | 2,823,240 | |||||||||||||
United States Treasury Principal-Only Stripped Securities(c) | ||||||||||||||||
12,450,000 | 0.00 | 05/15/2017 | 7,289,724 | |||||||||||||
35,000,000 | 0.00 | 02/15/2019 | 18,662,001 | |||||||||||||
8,200,000 | 0.00 | 05/15/2020 | 4,110,258 | |||||||||||||
6,600,000 | 0.00 | 08/15/2020 | 3,251,094 | |||||||||||||
7,900,000 | 0.00 | 05/15/2021 | 3,735,673 | |||||||||||||
31,200,000 | 0.00 | 08/15/2021 | 14,577,888 | |||||||||||||
12,600,000 | 0.00 | 11/15/2021 | 5,813,640 | |||||||||||||
4,400,000 | 0.00 | 11/15/2022 | 1,930,192 | |||||||||||||
3,000,000 | 0.00 | 02/15/2023 | 1,300,290 | |||||||||||||
4,200,000 | 0.00 | 02/15/2025 | 1,655,430 | |||||||||||||
TOTAL U.S. TREASURY OBLIGATIONS | ||||||||||||||||
(Cost $75,199,400) | $ | 78,844,276 | ||||||||||||||
Insured Revenue Bonds – 1.1% | ||||||||||||||||
New Jersey Economic Development Authority Series A | ||||||||||||||||
$ | 2,000,000 | 7.43 | % | 02/15/2029 | $ | 2,620,520 |
45
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Insured Revenue Bonds – (continued) | ||||||||||||||||
Sales Tax Asset Receivable Taxable Series B | ||||||||||||||||
$ | 5,500,000 | 3.60 | % | 10/15/2008 | $ | 5,393,300 | ||||||||||
TOTAL INSURED REVENUE BONDS | ||||||||||||||||
(Cost $7,500,000) | $ | 8,013,820 | ||||||||||||||
TOTAL INVESTMENTS BEFORE REPURCHASE AGREEMENT – 96.0% | ||||||||||||||||
(Cost $688,697,259) | $ | 692,195,859 | ||||||||||||||
Repurchase Agreement(g) – 28.8% | ||||||||||||||||
Joint Repurchase Agreement Account II | ||||||||||||||||
$ | 207,200,000 | 2.97 | % | 05/02/2005 | $ | 207,200,000 | ||||||||||
Maturity Value: $207,251,230 | ||||||||||||||||
(Cost $207,200,000) | ||||||||||||||||
TOTAL INVESTMENTS – 124.8% | ||||||||||||||||
(Cost $895,897,259) | $ | 899,395,859 | ||||||||||||||
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
(a) | Variable rate security. Interest rate disclosed is that which is in effect at April 30, 2005. | |
(b) | 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. | |
(c) | Security issued with a zero coupon. Income is recognized through the accretion of discount. | |
(d) | 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 amounts to $6,008,354, which represents approximately 0.7% of net assets as of April 30, 2005. | |
(e) | TBA (To Be Announced) Securities are purchased on a forward commitment basis with an approximate (generally +/- 2.5%) principal amount and no defined maturity date. The actual principal and maturity date will be determined upon settlement when the specific mortgage pools are assigned. | |
(f) | Securities with “Put” features with resetting interest rates. Maturity dates disclosed are the next interest reset dates. | |
(g) | Joint repurchase agreement was entered into on April 29, 2005. |
Investment Abbreviations: | ||||||
LIBOR | — | London Interbank Offered Rate | ||||
REMIC | — | Real Estate Mortgage Investment Conduit | ||||
46
ADDITIONAL INVESTMENT INFORMATION |
JOINT REPURCHASE AGREEMENT ACCOUNT II — At April 30, 2005, the Fund had an undivided interest in the following Joint Repurchase Agreement Account II which equaled $207,200,000 in principal amount.
Principal | Interest | Maturity | Maturity | |||||||||||
Repurchase Agreements | Amount | Rate | Date | Value | ||||||||||
Banc of America Securities LLC | $ | 900,000,000 | 2.97 | % | 05/02/2005 | $ | 900,222,750 | |||||||
Barclays Capital PLC | 1,700,000,000 | 2.97 | 05/02/2005 | 1,700,420,750 | ||||||||||
Bear Stearns & Co. | 300,000,000 | 2.98 | 05/02/2005 | 300,074,500 | ||||||||||
Deutsche Bank Securities, Inc. | 610,000,000 | 2.97 | 05/02/2005 | 610,150,975 | ||||||||||
Greenwich Capital Markets | 400,000,000 | 2.97 | 05/02/2005 | 400,099,000 | ||||||||||
Merrill Lynch | 250,000,000 | 2.97 | 05/02/2005 | 250,061,875 | ||||||||||
Morgan Stanley & Co. | 1,411,700,000 | 2.97 | 05/02/2005 | 1,412,049,396 | ||||||||||
UBS Securities LLC | 750,000,000 | 2.95 | 05/02/2005 | 750,184,375 | ||||||||||
UBS Securities LLC | 450,000,000 | 2.96 | 05/02/2005 | 450,111,000 | ||||||||||
Westdeutsche Landesbank AG | 900,000,000 | 2.97 | 05/02/2005 | 900,222,750 | ||||||||||
TOTAL | $ | 7,671,700,000 | $ | 7,673,597,371 | ||||||||||
At April 30, 2005, the Joint Repurchase Agreement Account II was fully collateralized by Federal Home Loan Bank, 0.00% to 14.00%, due 08/15/2005 to 03/23/2015; Federal Home Loan Mortgage Association, 0.00% to 12.25%, due 07/12/2005 to 05/01/2035; Federal National Mortgage Association, 0.00% to 15.50%, due 05/04/2005 to 05/01/2035; and Government National Mortgage Association, 4.50% to 6.50%, due 05/15/2018 to 04/20/2035. |
FUTURES CONTRACTS — At April 30, 2005, the following futures contacts were open as follows:
Number of | ||||||||||||||||
Contracts | Settlement | Market | Unrealized | |||||||||||||
Type | Long (Short) | Month | Value | Gain (Loss) | ||||||||||||
Eurodollars | (15 | ) | June 2005 | $ | (3,621,563 | ) | $ | (4,551 | ) | |||||||
Eurodollars | 20 | September 2005 | 4,812,750 | (2,199 | ) | |||||||||||
Eurodollars | 110 | December 2005 | 26,417,875 | (49,555 | ) | |||||||||||
Eurodollars | 41 | March 2006 | 9,833,850 | 14,211 | ||||||||||||
Eurodollars | 90 | June 2006 | 21,561,750 | (29,681 | ) | |||||||||||
Eurodollars | (125 | ) | September 2006 | (29,918,750 | ) | 45,145 | ||||||||||
Eurodollars | (230 | ) | December 2006 | (55,007,375 | ) | 159,052 | ||||||||||
U.S. Treasury Bonds | 171 | June 2005 | 19,638,282 | 465,728 | ||||||||||||
2 Year U.S. Treasury Notes | 294 | June 2005 | 61,064,719 | (123,282 | ) | |||||||||||
5 Year U.S. Treasury Notes | (132 | ) | June 2005 | (14,315,813 | ) | 19,751 | ||||||||||
$ | 40,465,725 | $ | 494,619 | |||||||||||||
47
ADDITIONAL INVESTMENT INFORMATION (continued) |
SWAP CONTRACTS — At April 30, 2005, the Government Income Fund had outstanding swap contracts with the following terms:
Rate Type | ||||||||||||||||||||
Notional | Payments | Payments | ||||||||||||||||||
Swap | Amount | Termination | received by | made by | Unrealized | |||||||||||||||
Swap Type | Counterparty | (000s) | Date | the Fund | the Fund | Gain (Loss) | ||||||||||||||
Interest Rate | Banc of America Securities LLC | $ | 20,000 | 12/25/2006 | 3.43% | 3 month LIBOR Floating | $ | 16,056 | ||||||||||||
Interest Rate | Banc of America Securities LLC | 30,000 | 04/07/2008 | 4.34% | 3 month LIBOR Floating | 173,595 | ||||||||||||||
Interest Rate | Banc of America Securities LLC | 82,180 | 05/05/2008 | 4.35% | 3 month LIBOR Floating | — | ||||||||||||||
Interest Rate | Banc of America Securities LLC | 35,200 | 05/04/2011 | 3 month LIBOR Floating | 4.53% | — | ||||||||||||||
Interest Rate | Banc of America Securities LLC | 24,000 | 03/07/2012 | 4.60% | 3 month LIBOR Floating | 235,714 | ||||||||||||||
Interest Rate | Banc of America Securities LLC | 30,000 | 12/09/2014 | 4.64% | 3 month LIBOR Floating | 454,852 | ||||||||||||||
Interest Rate | Banc of America Securities LLC | 12,000 | 03/17/2015 | 4.91% | 3 month LIBOR Floating | 288,746 | ||||||||||||||
Interest Rate | Banc of America Securities LLC | 43,000 | 11/02/2019 | 3 month LIBOR Floating | 4.87% | (940,209 | ) | |||||||||||||
Interest Rate | Banc of America Securities LLC | 35,000 | 11/12/2019 | 3 month LIBOR Floating | 5.07% | (1,528,365 | ) | |||||||||||||
Interest Rate | Banc of America Securities LLC | 13,200 | 04/09/2035 | 5.27% | 3 month LIBOR Floating | 573,752 | ||||||||||||||
TOTAL | $ | (725,859 | ) | |||||||||||||||||
48
Statement of Investments
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Mortgage-Backed Obligations – 94.2% | ||||||||||||||||
Adjustable Rate Federal National Mortgage Association (FNMA)(a) – 5.6% | ||||||||||||||||
$ | 68,523 | 3.28 | % | 07/01/2022 | $ | 69,319 | ||||||||||
76,393 | 3.43 | 07/01/2027 | 77,324 | |||||||||||||
148,671 | 3.43 | 11/01/2027 | 150,482 | |||||||||||||
37,879 | 3.43 | 01/01/2031 | 38,299 | |||||||||||||
58,213 | 3.43 | 06/01/2032 | 58,827 | |||||||||||||
67,497 | 3.28 | 08/01/2032 | 68,200 | |||||||||||||
155,715 | 3.28 | 05/01/2033 | 157,006 | |||||||||||||
6,597,780 | 4.47 | 05/01/2033 | 6,659,094 | |||||||||||||
1,183,796 | 4.88 | 06/01/2033 | 1,195,988 | |||||||||||||
1,498,899 | 4.38 | 12/01/2033 | 1,500,973 | |||||||||||||
2,696,416 | 3.49 | 05/01/2034 | 2,629,526 | |||||||||||||
2,591,683 | 4.55 | 08/01/2034 | 2,606,238 | |||||||||||||
7,860,866 | 4.60 | 02/01/2035 | 7,818,433 | |||||||||||||
67,014 | 3.43 | 11/01/2035 | 67,586 | |||||||||||||
313,310 | 3.43 | 12/01/2037 | 316,016 | |||||||||||||
143,160 | 3.43 | 01/01/2038 | 144,403 | |||||||||||||
139,728 | 3.43 | 11/01/2040 | 140,953 | |||||||||||||
$ | 23,698,667 | |||||||||||||||
Adjustable Rate Government National Mortgage Association (GNMA)(a) – 0.2% | ||||||||||||||||
GNMA | ||||||||||||||||
$ | 970,553 | 4.50 | % | 12/20/2034 | $ | 982,918 | ||||||||||
Adjustable Rate Non-Agency(a) – 3.0% | ||||||||||||||||
American Home Mortgage Investment Trust Series 2004-3, Class 1A | ||||||||||||||||
$ | 778,855 | 3.39 | % | 10/25/2034 | $ | 780,623 | ||||||||||
Bear Stearns Alt-A Trust Series 2004-3, Class A1 | ||||||||||||||||
573,894 | 3.34 | 04/25/2034 | 576,006 | |||||||||||||
Impac Secured Assets Corp. Series 2004-3, Class 1A4 | ||||||||||||||||
1,258,432 | 3.42 | 11/25/2034 | 1,265,445 | |||||||||||||
Sequoia Mortgage Trust Series 2004-09, Class A2 | ||||||||||||||||
3,562,904 | 3.66 | 10/20/2034 | 3,574,602 | |||||||||||||
Sequoia Mortgage Trust Series 2005-02, Class A2 | ||||||||||||||||
2,416,787 | 3.36 | 03/20/2035 | 2,412,916 | |||||||||||||
Structured Adjustable Rate Mortgage Loan Series 2004-19, Class 2A2 | ||||||||||||||||
971,895 | 4.23 | 01/25/2035 | 997,318 | |||||||||||||
Structured Adjustable Rate Mortgage Loan Series 2004-6, Class 3A2 | ||||||||||||||||
2,439,170 | 4.78 | 06/25/2034 | 2,421,892 | |||||||||||||
Structured Asset Securities Corp. Series 2003-34A, Class 3A3 | ||||||||||||||||
167,575 | 4.70 | 11/25/2033 | 169,199 | |||||||||||||
Structured Asset Securities Corp. Series 2003-37A, Class 3A7 | ||||||||||||||||
591,643 | 4.52 | 12/25/2033 | 591,453 | |||||||||||||
$ | 12,789,454 | |||||||||||||||
Collateralized Mortgage Obligations (CMOs) – 5.5% Interest Only(b) – 0.2% | ||||||||||||||||
ABN AMRO Mortgage Corp. Series 2003-5, Class A2 | ||||||||||||||||
$ | 158,126 | 5.50 | % | 04/25/2033 | $ | 9,200 | ||||||||||
ABN AMRO Mortgage Corp. Series 2003-8, Class A2 | ||||||||||||||||
567,850 | 5.50 | 06/25/2033 | 59,538 | |||||||||||||
Countrywide Home Loan Trust Series 2003-42, Class 2X1(a) | ||||||||||||||||
939,638 | 0.39 | 10/25/2033 | 6,546 | |||||||||||||
CS First Boston Mortgage Securities Corp. Series 1997-C2, Class A3 | ||||||||||||||||
335,000 | 6.55 | 01/17/2035 | 352,369 | |||||||||||||
CS First Boston Mortgage Securities Corp. Series 2002-AR31, Class 5X(a) | ||||||||||||||||
1,259,121 | 0.98 | 11/25/2032 | 2,050 | |||||||||||||
CS First Boston Mortgage Securities Corp. Series 2003-08, Class 3A2 | ||||||||||||||||
17,744 | 5.50 | 04/25/2033 | 1,020 | |||||||||||||
CS First Boston Mortgage Securities Corp. Series 2003-10, Class 3A13 | ||||||||||||||||
20,208 | 5.75 | 05/25/2033 | 1,210 | |||||||||||||
CS First Boston Mortgage Securities Corp. Series 2003-11, Class 1A2 | ||||||||||||||||
61,590 | 5.50 | 06/25/2033 | 3,973 | |||||||||||||
CS First Boston Mortgage Securities Corp. Series 2003-19, Class 1A2 | ||||||||||||||||
604,525 | 5.25 | 07/25/2033 | 74,351 | |||||||||||||
FHLMC Series 2541, Class QI | ||||||||||||||||
76,331 | 6.00 | 01/15/2029 | 981 | |||||||||||||
FHLMC Series 2575 Class IB | ||||||||||||||||
463,230 | 5.50 | 08/15/2030 | 56,494 | |||||||||||||
FHLMC Series 2620, Class IO | ||||||||||||||||
802,189 | 5.50 | 08/15/2031 | 96,743 | |||||||||||||
FNMA Series 2003-36, Class IO | ||||||||||||||||
760,746 | 5.50 | 12/25/2031 | 78,701 | |||||||||||||
FNMA Series E, Class E2 | ||||||||||||||||
2,622 | 506.00 | 09/01/2010 | 20,272 | |||||||||||||
Master Adjustable Rate Mortgages Trust Series 2003-2, Class 3AX(a) | ||||||||||||||||
118,161 | 0.68 | 08/25/2033 | 1,586 | |||||||||||||
Master Adjustable Rate Mortgages Trust Series 2003-2, Class 4AX(a) | ||||||||||||||||
36,068 | 1.15 | 07/25/2033 | 740 | |||||||||||||
Master Adjustable Rate Mortgages Trust Series 2003-6, Class 1A1X(a) | ||||||||||||||||
1,090,073 | 1.90 | 12/25/2033 | 4,921 | |||||||||||||
Washington Mutual Series 2003-AR04, Class X1(a) | ||||||||||||||||
584,352 | 1.18 | 01/25/2008 | 11,818 | |||||||||||||
Washington Mutual Series 2003-AR12, Class X(a) | ||||||||||||||||
1,470,818 | 0.50 | 02/25/2034 | 9,580 | |||||||||||||
Washington Mutual Series 2003-S3, Class 1A41 | ||||||||||||||||
922,681 | 5.50 | 06/25/2033 | 77,924 | |||||||||||||
$ | 870,017 | |||||||||||||||
Inverse Floaters(a) – 0.1% | ||||||||||||||||
FHLMC Series 1544, Class M | ||||||||||||||||
$ | 29,317 | 13.18 | % | 07/15/2008 | $ | 32,010 | ||||||||||
FNMA Series 1993-072, Class SA | ||||||||||||||||
7,061 | 15.41 | 05/25/2008 | 7,803 | |||||||||||||
FNMA Series 1993-093, Class SA | ||||||||||||||||
17,132 | 17.32 | 05/25/2008 | 19,324 |
49
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Mortgage-Backed Obligations – (continued) | ||||||||||||||||
Inverse Floaters(a) – (continued) | ||||||||||||||||
FNMA Series 1993-095, Class SE | ||||||||||||||||
$ | 14,355 | 18.51 | % | 06/25/2008 | $ | 16,825 | ||||||||||
FNMA Series 1993-135, Class S | ||||||||||||||||
24,199 | 11.14 | 07/25/2008 | 25,832 | |||||||||||||
GNMA Series 2001-48, Class SA | ||||||||||||||||
48,003 | 16.84 | 10/16/2031 | 58,823 | |||||||||||||
GNMA Series 2001-51, Class SB | ||||||||||||||||
47,840 | 16.84 | 10/16/2031 | 55,746 | |||||||||||||
GNMA Series 2001-59, Class SA | ||||||||||||||||
69,509 | 16.67 | 11/16/2024 | 85,673 | |||||||||||||
$ | 302,036 | |||||||||||||||
Planned Amortization Class (PAC) CMOs – 1.0% | ||||||||||||||||
FHLMC Series 2435, Class EQ | ||||||||||||||||
$ | 4,000,000 | 6.00 | % | 05/15/2031 | $ | 4,139,627 | ||||||||||
FNMA Series 1993-63, Class PK | ||||||||||||||||
74,428 | 6.50 | 05/25/2008 | 76,396 | |||||||||||||
$ | 4,216,023 | |||||||||||||||
Sequential Fixed Rate CMOs – 4.2% | ||||||||||||||||
Banc of America Mortgage Securities, Inc. Series 2002-9, Class 3A1 | ||||||||||||||||
$ | 51,462 | 6.00 | % | 10/25/2017 | $ | 51,329 | ||||||||||
CS First Boston Mortgage Securities Corp. Series 2002-5, Class PPA1 | ||||||||||||||||
293,796 | 6.50 | 03/25/2032 | 304,451 | |||||||||||||
FHLMC Series 1703, Class GC | ||||||||||||||||
2,500,000 | 6.50 | 04/15/2009 | 2,604,599 | |||||||||||||
FHLMC Series 1823, Class A | ||||||||||||||||
2,000,000 | 6.50 | 08/15/2023 | 2,062,968 | |||||||||||||
FHLMC Series 2042, Class N | ||||||||||||||||
1,486,235 | 6.50 | 03/15/2028 | 1,541,336 | |||||||||||||
FHLMC Series 2425, Class JG | ||||||||||||||||
264,131 | 6.00 | 09/15/2015 | 266,456 | |||||||||||||
FHLMC Series 2458, Class OD | ||||||||||||||||
332,831 | 6.00 | 04/15/2016 | 338,743 | |||||||||||||
FNMA REMIC Trust Series 1993-101, Class PJ | ||||||||||||||||
858,046 | 7.00 | 06/25/2008 | 882,861 | |||||||||||||
FNMA REMIC Trust Series 2002-24, Class AE | ||||||||||||||||
1,409,542 | 6.00 | 04/25/2016 | 1,419,189 | |||||||||||||
FNMA Series 1993-76, Class PJ | ||||||||||||||||
206,093 | 6.00 | 06/25/2008 | 210,749 | |||||||||||||
FNMA Series 1994-42, Class K | ||||||||||||||||
3,000,000 | 6.50 | 04/25/2024 | 3,135,388 | |||||||||||||
FNMA Series 1994-75, Class J | ||||||||||||||||
284,529 | 7.00 | 10/25/2023 | 288,472 | |||||||||||||
GNMA REMIC Trust Series 2002-40, Class ZE | ||||||||||||||||
1,220,200 | 6.50 | 12/20/2030 | 1,224,934 | |||||||||||||
Impac Secured Assets Corp. Series 2001-2, Class A5(a) | ||||||||||||||||
3,399,401 | 6.72 | 03/25/2031 | 3,392,201 | |||||||||||||
$ | 17,723,676 | |||||||||||||||
TOTAL CMOs | $ | 23,111,752 | ||||||||||||||
Commercial Mortgage-Backed Securities (CMBS)(a)(b)(c) – 0.3% | ||||||||||||||||
Interest Only – 0.3% | ||||||||||||||||
Bear Stearns Commercial Mortgage Securities, Inc. Series 2003-T10, Class X2 | ||||||||||||||||
$ | 6,015,085 | 1.44 | % | 03/13/2040 | $ | 324,955 | ||||||||||
JP Morgan Chase Commercial Mortgage Securities Corp. Series 2004-C1, Class X2 | ||||||||||||||||
6,157,038 | 1.25 | 01/15/2038 | 268,097 | |||||||||||||
Prudential Commercial Mortgage Trust Series 2003-PWR1, Class X2 | ||||||||||||||||
6,564,898 | 1.70 | 02/11/2036 | 413,215 | |||||||||||||
TOTAL CMBS | $ | 1,006,267 | ||||||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) – 6.9% | ||||||||||||||||
$ | 33,786 | 7.00 | % | 04/01/2015 | $ | 35,538 | ||||||||||
36,271 | 7.00 | 02/01/2016 | 38,157 | |||||||||||||
220,920 | 6.00 | 03/01/2016 | 226,028 | |||||||||||||
119,102 | 7.50 | 03/01/2027 | 127,502 | |||||||||||||
827,294 | 6.50 | 12/01/2029 | 862,533 | |||||||||||||
848,772 | 7.00 | 04/01/2031 | 895,838 | |||||||||||||
4,871,951 | 7.00 | 09/01/2031 | 5,144,088 | |||||||||||||
2,450,355 | 7.00 | 04/01/2032 | 2,583,870 | |||||||||||||
4,774,287 | 7.00 | 05/01/2032 | 5,034,427 | |||||||||||||
11,511,382 | 6.50 | 12/01/2032 | 11,970,039 | |||||||||||||
1,391,022 | 6.00 | 05/01/2033 | 1,427,519 | |||||||||||||
753,363 | 6.50 | 08/01/2033 | 783,469 | |||||||||||||
$ | 29,129,008 | |||||||||||||||
Federal National Mortgage Association (FNMA) – 71.2% | ||||||||||||||||
$ | 15,966 | 5.50 | % | 04/01/2016 | $ | 16,361 | ||||||||||
15,362 | 5.50 | 08/01/2016 | 15,743 | |||||||||||||
182,388 | 5.50 | 11/01/2016 | 186,904 | |||||||||||||
152,024 | 5.50 | 12/01/2016 | 155,789 | |||||||||||||
208,171 | 5.50 | 01/01/2017 | 213,326 | |||||||||||||
11,714 | 6.00 | 02/01/2018 | 12,071 | |||||||||||||
3,986,586 | 5.00 | 05/01/2018 | 4,016,834 | |||||||||||||
138,816 | 6.00 | 05/01/2018 | 143,045 | |||||||||||||
2,496,289 | 5.00 | 06/01/2018 | 2,515,230 | |||||||||||||
753,749 | 6.00 | 11/01/2018 | 776,710 | |||||||||||||
1,248,293 | 6.00 | 12/01/2018 | 1,286,319 | |||||||||||||
1,036,976 | 6.00 | 01/01/2019 | 1,068,565 | |||||||||||||
362,065 | 6.00 | 04/01/2019 | 373,121 | |||||||||||||
73,859 | 6.00 | 05/01/2019 | 76,115 | |||||||||||||
292,597 | 7.00 | 09/01/2021 | 308,886 | |||||||||||||
932,179 | 7.00 | 06/01/2022 | 983,754 | |||||||||||||
394,719 | 7.00 | 07/01/2022 | 416,558 | |||||||||||||
116,598 | 6.50 | 01/01/2029 | 121,666 | |||||||||||||
186,038 | 6.50 | 04/01/2029 | 194,063 | |||||||||||||
174,751 | 6.50 | 05/01/2029 | 182,289 | |||||||||||||
1,531,549 | 6.50 | 06/01/2029 | 1,597,619 | |||||||||||||
883,602 | 6.50 | 07/01/2029 | 921,715 | |||||||||||||
107,463 | 6.50 | 09/01/2029 | 112,099 | |||||||||||||
1,748,815 | 6.50 | 12/01/2029 | 1,823,617 | |||||||||||||
289,996 | 7.00 | 08/01/2031 | 305,879 | |||||||||||||
3,405,383 | 6.50 | 12/01/2031 | 3,544,031 | |||||||||||||
12,845 | 6.50 | 08/01/2032 | 13,361 | |||||||||||||
660,990 | 6.50 | 11/01/2032 | 687,517 |
50
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Mortgage-Backed Obligations – (continued) | ||||||||||||||||
FNMA – (continued) | ||||||||||||||||
$ | 12,876,282 | 6.50 | % | 12/01/2032 | $ | 13,400,533 | ||||||||||
386,828 | 6.00 | 01/01/2033 | 396,955 | |||||||||||||
4,635,293 | 6.50 | 01/01/2033 | 4,829,325 | |||||||||||||
19,856 | 6.00 | 02/01/2033 | 20,376 | |||||||||||||
145,296 | 6.50 | 05/01/2033 | 151,212 | |||||||||||||
218,292 | 6.00 | 06/01/2033 | 223,991 | |||||||||||||
76,632 | 6.00 | 07/01/2033 | 78,633 | |||||||||||||
193,367 | 6.00 | 09/01/2033 | 198,415 | |||||||||||||
47,575 | 6.00 | 10/01/2033 | 48,817 | |||||||||||||
1,224,699 | 5.50 | 02/01/2034 | 1,236,842 | |||||||||||||
41,544 | 6.50 | 03/01/2034 | 43,212 | |||||||||||||
332,183 | 5.50 | 07/01/2034 | 335,477 | |||||||||||||
94,719 | 6.00 | 11/01/2034 | 97,206 | |||||||||||||
2,849,212 | 6.00 | 12/01/2034 | 2,924,026 | |||||||||||||
210,000,000 | 4.50 | TBA- 15yr | (d) | 207,703,020 | ||||||||||||
47,000,000 | 5.50 | TBA- 15yr | (d) | 47,998,750 | ||||||||||||
$ | 301,755,977 | |||||||||||||||
Government National Mortgage Association (GNMA) – 1.5% | ||||||||||||||||
$ | 1,139 | 6.00 | % | 12/15/2023 | $ | 1,176 | ||||||||||
54,607 | 6.00 | 03/15/2026 | 56,512 | |||||||||||||
75,271 | 6.00 | 04/15/2026 | 77,897 | |||||||||||||
6,000,000 | 6.50 | TBA- 15yr | (d) | 6,283,122 | ||||||||||||
$ | 6,418,707 | |||||||||||||||
TOTAL MORTGAGE-BACKED OBLIGATIONS | ||||||||||||||||
(Cost $397,334,115) | $ | 398,892,750 | ||||||||||||||
Asset-Backed Securities – 9.1% | ||||||||||||||||
Home Equity – 9.1% | ||||||||||||||||
Carrington Mortgage Loan Trust Series 2005 OPT2, Class A1B | ||||||||||||||||
$ | 2,000,000 | 3.38 | % | 06/25/2035 | $ | 2,000,000 | ||||||||||
Chase Funding Net Interest Margin Note Series 2003-6A(c) | ||||||||||||||||
88 | 5.00 | 01/27/2035 | 88 | |||||||||||||
ContiMortgage Home Equity Loan Trust Series 1999-1, Class A7(a) | ||||||||||||||||
364,510 | 6.47 | 12/25/2013 | 366,478 | |||||||||||||
Countrywide Home Equity Loan Trust Series 2002-E, Class A(a) | ||||||||||||||||
270,032 | 3.21 | 10/15/2028 | 270,454 | |||||||||||||
Countrywide Home Equity Loan Trust Series 2003-A, Class A(a) | ||||||||||||||||
3,336,041 | 3.30 | 03/15/2029 | 3,345,497 | |||||||||||||
Countrywide Home Equity Loan Trust Series 2003-D, Class A(a) | ||||||||||||||||
1,065,504 | 3.21 | 06/15/2029 | 1,066,813 | |||||||||||||
Countrywide Home Equity Loan Trust Series 2004-G, Class 2A(a) | ||||||||||||||||
1,222,400 | 3.17 | 12/15/2029 | 1,225,814 | |||||||||||||
Countrywide Home Equity Loan Trust Series 2004-I, Class A(a) | ||||||||||||||||
4,601,775 | 3.24 | 02/15/2034 | 4,611,121 | |||||||||||||
Countrywide Home Equity Loan Trust Series 2004-J, Class 2A(a) | ||||||||||||||||
797,789 | 3.24 | 12/15/2033 | 799,285 | |||||||||||||
Countrywide Home Equity Loan Trust Series 2004-O, Class 1A(a) | ||||||||||||||||
1,717,152 | 3.23 | 02/15/2034 | 1,721,445 | |||||||||||||
Countrywide Home Equity Loan Trust Series 2004-Q, Class 2A(a) (a) | ||||||||||||||||
1,747,088 | 3.25 | 12/15/2033 | 1,752,275 | |||||||||||||
Countrywide Home Equity Loan Trust Series 2004-S, Class 1A(a) | ||||||||||||||||
892,604 | 3.19 | 02/15/2030 | 893,441 | |||||||||||||
Countrywide Home Equity Loan Trust Series 2005-A, Class 2A(a) | ||||||||||||||||
2,832,241 | 3.19 | 02/15/2030 | 2,836,223 | |||||||||||||
First Franklin Mortgage Loan Asset Backed Certificates Series 2004-FF11, Class 2A2(a) | ||||||||||||||||
2,000,000 | 3.30 | 01/25/2035 | 2,003,750 | |||||||||||||
Impac CMB Trust Series 2004-6, Class 1A2(a) | ||||||||||||||||
2,489,532 | 3.41 | 10/25/2034 | 2,486,893 | |||||||||||||
Impac CMB Trust Series 2004-8, Class 1A(a) | ||||||||||||||||
1,328,849 | 3.38 | 10/25/2034 | 1,332,557 | |||||||||||||
LB-UBS Commercial Mortgage Trust Series 2002-C1, Class A2 | ||||||||||||||||
400,000 | 5.97 | 03/15/2026 | 415,243 | |||||||||||||
Master Asset Backed Securities Trust Series 2005-WMC1, Class A4(a) | ||||||||||||||||
3,000,000 | 3.25 | 03/25/2035 | 2,999,466 | |||||||||||||
Merrill Lynch Mortgage Investors, Inc. Series 2004-WMC5, Class A2B2(a) | ||||||||||||||||
2,000,000 | 3.37 | 07/25/2035 | 2,006,649 | |||||||||||||
Park Place Securities, Inc. Series 2004-WHQ2, Class A3C(a) | ||||||||||||||||
3,000,000 | 3.31 | 02/25/2035 | 3,003,540 | |||||||||||||
Popular ABS Mortgage Pass-Through Trust Series 2004-5, Class AV2(a) | ||||||||||||||||
855,564 | 3.36 | 12/25/2034 | 856,767 | |||||||||||||
Residential Asset Mortgage Products, Inc. Series 2004-RZ1, Class AII(a) | ||||||||||||||||
1,365,289 | 3.26 | 03/25/2034 | 1,365,225 | |||||||||||||
Residential Funding Mortgage Securities, Inc. Series 2004-HS2, Class AII(a) | ||||||||||||||||
1,361,829 | 3.25 | 06/25/2029 | 1,361,547 | |||||||||||||
TOTAL ASSET-BACKED SECURITIES | ||||||||||||||||
(Cost $38,665,092) | $ | 38,720,571 | ||||||||||||||
51
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
U.S. Treasury Obligations – 1.5% | ||||||||||||||||
United States Treasury Interest-Only Stripped Securities(b) | ||||||||||||||||
$ | 4,000,000 | 0.00 | % | 08/15/2013 | $ | 2,823,240 | ||||||||||
United States Treasury Principal-Only Stripped Securities(e) | ||||||||||||||||
3,400,000 | 0.00 | 05/15/2020 | 1,704,152 | |||||||||||||
1,100,000 | 0.00 | 05/15/2021 | 520,993 | |||||||||||||
2,550,000 | 0.00 | 11/15/2021 | 1,176,570 | |||||||||||||
TOTAL U.S. TREASURY OBLIGATIONS | ||||||||||||||||
(Cost $6,167,239) | $ | 6,224,955 | ||||||||||||||
TOTAL INVESTMENTS BEFORE REPURCHASE AGREEMENT – 104.8% | ||||||||||||||||
(Cost $442,166,446) | $ | 443,838,276 | ||||||||||||||
Repurchase Agreement(f) – 57.2% | ||||||||||||||||
Joint Repurchase Agreement Account II | ||||||||||||||||
$ | 242,300,000 | 2.97 | % | 05/02/2005 | $ | 242,300,000 | ||||||||||
Maturity Value: $242,359,909 | ||||||||||||||||
(Cost $242,300,000) | ||||||||||||||||
TOTAL INVESTMENTS – 162.0% | ||||||||||||||||
(Cost $684,466,446) | $ | 686,138,276 | ||||||||||||||
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
(a) | Variable rate security. Interest rate disclosed is that which is in effect at April 30, 2005. | |
(b) | 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. | |
(c) | Securities are exempt from registration under rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the Investment Adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounted to $1,006,355, which represents approximately 0.3% of net assets as of April 30, 2005. | |
(d) | TBA (To Be Announced) Securities are purchased on a forward commitment basis with an approximate (generally +/- 2.5%) principal amount and no defined maturity date. The actual principal and maturity date will be determined upon settlement when the specific mortgage pools are assigned. | |
(e) | Security issued with a zero coupon. Income is recognized through the accretion of discount. | |
(f) | Joint repurchase agreement was entered into on April 29, 2005. |
Investment Abbreviations: | ||||||
LIBOR | — | London Interbank Offered Rate | ||||
PAC | — | Planned Amortization Class | ||||
REMIC | — | Real Estate Mortgage Investment Conduit | ||||
52
ADDITIONAL INVESTMENT INFORMATION |
JOINT REPURCHASE AGREEMENT ACCOUNT II — At April 30, 2005, the Fund had an undivided interest in the following Joint Repurchase Agreement Account II which equaled $242,300,000 in principal amount.
Principal | Interest | Maturity | Maturity | |||||||||||
Repurchase Agreements | Amount | Rate | Date | Value | ||||||||||
Banc of America Securities LLC | $ | 900,000,000 | 2.97 | % | 05/02/2005 | $ | 900,222,750 | |||||||
Barclays Capital PLC | 1,700,000,000 | 2.97 | 05/02/2005 | 1,700,420,750 | ||||||||||
Bear Stearns & Co. | 300,000,000 | 2.98 | 05/02/2005 | 300,074,500 | ||||||||||
Deutsche Bank Securities, Inc. | 610,000,000 | 2.97 | 05/02/2005 | 610,150,975 | ||||||||||
Greenwich Capital Markets | 400,000,000 | 2.97 | 05/02/2005 | 400,099,000 | ||||||||||
Merrill Lynch | 250,000,000 | 2.97 | 05/02/2005 | 250,061,875 | ||||||||||
Morgan Stanley & Co. | 1,411,700,000 | 2.97 | 05/02/2005 | 1,412,049,396 | ||||||||||
UBS Securities LLC | 750,000,000 | 2.95 | 05/02/2005 | 750,184,375 | ||||||||||
UBS Securities LLC | 450,000,000 | 2.96 | 05/02/2005 | 450,111,000 | ||||||||||
Westdeutsche Landesbank AG | 900,000,000 | 2.97 | 05/02/2005 | 900,222,750 | ||||||||||
TOTAL | $ | 7,671,700,000 | $ | 7,673,597,371 | ||||||||||
At April 30, 2005, the Joint Repurchase Agreement Account II was fully collateralized by Federal Home Loan Bank, 0.00% to 14.00%, due 08/15/2005 to 03/23/2015; Federal Home Loan Mortgage Association, 0.00% to 12.25%, due 07/12/2005 to 05/01/2035; Federal National Mortgage Association, 0.00% to 15.50%, due 05/04/2005 to 05/01/2035; and Government National Mortgage Association, 4.50% to 6.50%, due 05/15/2018 to 04/20/2035. |
FUTURES CONTRACTS — At April 30, 2005, the following futures contacts were open as follows:
Number of | ||||||||||||||||
Contracts | Settlement | Unrealized | ||||||||||||||
Type | Long (Short) | Month | Market Value | Gain (Loss) | ||||||||||||
Eurodollars | 20 | June 2005 | $ | 4,828,750 | $ | 3,197 | ||||||||||
Eurodollars | 56 | September 2005 | 13,475,700 | (58 | ) | |||||||||||
Eurodollars | 30 | December 2005 | 7,204,875 | (2,374 | ) | |||||||||||
Eurodollars | 6 | March 2006 | 1,439,100 | 3,958 | ||||||||||||
Eurodollars | (46 | ) | September 2006 | (11,010,100 | ) | 7,751 | ||||||||||
Eurodollars | (20 | ) | December 2006 | (4,783,250 | ) | 11,859 | ||||||||||
U.S. Treasury Bonds | 155 | June 2005 | 17,800,781 | 485,824 | ||||||||||||
2 Year U.S. Treasury Notes | 21 | June 2005 | 4,361,766 | (1,509 | ) | |||||||||||
5 Year U.S. Treasury Notes | (125 | ) | June 2005 | (13,556,641 | ) | (102,466 | ) | |||||||||
10 Year U.S. Treasury Notes | (40 | ) | June 2005 | (4,456,875 | ) | (34,956 | ) | |||||||||
$ | 15,304,106 | $ | 371,226 | |||||||||||||
53
ADDITIONAL INVESTMENT INFORMATION (continued) |
SWAP CONTRACTS — At April 30, 2005, the U.S. Mortgages Fund had outstanding swap contracts with the following terms:
Rate Type | ||||||||||||||||||||||||||
Notional | Payments | Payments | ||||||||||||||||||||||||
Swap | Amount | Termination | received by | made by | Unrealized | |||||||||||||||||||||
Swap Type | Counterparty | (000s) | Date | the Fund | the Fund | Loss | ||||||||||||||||||||
Interest Rate | Banc of America Securities LLC | $ | 34,550 | 05/05/2008 | 4.35% | 3 month LIBOR Floating | $ | — | ||||||||||||||||||
Interest Rate | Banc of America Securities LLC | 14,800 | 05/04/2011 | 3 month LIBOR Floating | 4.53% | — | ||||||||||||||||||||
Interest Rate | Banc of America Securities LLC | 5,000 | 11/12/2019 | 3 month LIBOR Floating | 5.07% | (218,338 | ) | |||||||||||||||||||
TOTAL | $ | (218,338 | ) | |||||||||||||||||||||||
54
Statement of Investments
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Corporate Bonds – 15.6% | ||||||||||||||||
Airlines – 0.0% | ||||||||||||||||
NWA Trust | ||||||||||||||||
$ | 30,340 | 8.26 | % | 03/10/2006 | $ | 28,823 | ||||||||||
Automotive – 1.0% | ||||||||||||||||
Daimler Chrysler NA | ||||||||||||||||
$ | 1,000,000 | 7.75 | % | 06/15/2005 | $ | 1,003,908 | ||||||||||
Dana Corp.(a) | ||||||||||||||||
1,200,000 | 5.85 | 01/15/2015 | 978,643 | |||||||||||||
Ford Motor Co. | ||||||||||||||||
3,450,000 | 6.63 | 10/01/2028 | 2,637,193 | |||||||||||||
Ford Motor Credit Co. | ||||||||||||||||
3,825,000 | 6.88 | 02/01/2006 | 3,869,049 | |||||||||||||
1,500,000 | 6.50 | 01/25/2007 | 1,508,537 | |||||||||||||
General Motors Acceptance Corp. | ||||||||||||||||
3,850,000 | 6.75 | 01/15/2006 | 3,878,494 | |||||||||||||
EUR1,875,000 | (i) | 4.00 | 02/09/2006 | 2,372,864 | ||||||||||||
850,000 | (i) | 5.75 | 02/14/2006 | 1,082,712 | ||||||||||||
$ | 17,331,400 | |||||||||||||||
Banks – 2.9% | ||||||||||||||||
ANZ Capital Trust I(a)(b) | ||||||||||||||||
$ | 3,500,000 | 5.36 | % | 12/15/2013 | $ | 3,539,970 | ||||||||||
Associates Corp. NA | ||||||||||||||||
2,000,000 | 8.55 | 07/15/2009 | 2,310,914 | |||||||||||||
Astoria Financial Corp. | ||||||||||||||||
4,600,000 | 5.75 | 10/15/2012 | 4,784,097 | |||||||||||||
Bank of America Corp. | ||||||||||||||||
2,000,000 | 7.88 | 05/16/2005 | 2,003,140 | |||||||||||||
500,000 | 5.88 | 02/15/2009 | 526,460 | |||||||||||||
Chuo Mitsui Trust & Banking(a)(b)(c) | ||||||||||||||||
1,450,000 | 5.51 | 04/15/2015 | 1,386,111 | |||||||||||||
Citigroup, Inc. | ||||||||||||||||
2,000,000 | 7.25 | 10/15/2011 | 2,291,446 | |||||||||||||
Development Bank of Singapore Ltd.(a)(c) | ||||||||||||||||
4,750,000 | 5.00 | 11/15/2019 | 4,695,722 | |||||||||||||
Fleet Boston Financial Corp. | ||||||||||||||||
1,000,000 | 6.50 | 03/15/2008 | 1,060,083 | |||||||||||||
450,000 | 7.38 | 12/01/2009 | 504,149 | |||||||||||||
Greater Bay Bancorp(a) | ||||||||||||||||
2,900,000 | 5.13 | 04/15/2010 | 2,909,544 | |||||||||||||
GreenPoint Financial Corp. | ||||||||||||||||
2,400,000 | 3.20 | 06/06/2008 | 2,329,176 | |||||||||||||
HBOS Capital Funding LP(a)(b)(c) | ||||||||||||||||
6,975,000 | 6.07 | 06/30/2014 | 7,384,935 | |||||||||||||
MIZUHO Financial Group (Cayman)(a) | ||||||||||||||||
2,675,000 | 5.79 | 04/15/2014 | 2,767,341 | |||||||||||||
National Australia Bank Ltd. | ||||||||||||||||
2,000,000 | 8.60 | 05/19/2010 | 2,362,424 | |||||||||||||
Popular North America, Inc. | ||||||||||||||||
4,500,000 | 6.13 | 10/15/2006 | 4,631,151 | |||||||||||||
Sovereign Bancorp, Inc.(c) | ||||||||||||||||
700,000 | 3.20 | 08/25/2006 | 700,565 | |||||||||||||
Sovereign Bank | ||||||||||||||||
1,000,000 | 4.00 | 02/01/2008 | 987,994 | |||||||||||||
500,000 | 5.13 | 03/15/2013 | 499,247 | |||||||||||||
2,550,000 | 4.38 | (c) | 08/01/2013 | 2,514,348 | ||||||||||||
Union Planters Bank | ||||||||||||||||
75,000 | 5.13 | % | 06/15/2007 | 76,569 | ||||||||||||
Union Planters Corp. | ||||||||||||||||
150,000 | 7.75 | 03/01/2011 | 173,526 | |||||||||||||
Wells Fargo Bank NA | ||||||||||||||||
1,000,000 | 6.45 | 02/01/2011 | 1,093,637 | |||||||||||||
$ | 51,532,549 | |||||||||||||||
Brokerage – 0.2% | ||||||||||||||||
Merrill Lynch & Co., Inc. | ||||||||||||||||
$ | 1,000,000 | 6.38 | % | 10/15/2008 | $ | 1,062,882 | ||||||||||
1,000,000 | 6.00 | 02/17/2009 | 1,053,745 | |||||||||||||
Morgan Stanley Group, Inc. | ||||||||||||||||
2,000,000 | 6.75 | 04/15/2011 | 2,199,069 | |||||||||||||
$ | 4,315,696 | |||||||||||||||
Chemicals – 0.2% | ||||||||||||||||
Lubrizol Corp. | ||||||||||||||||
$ | 2,300,000 | 4.63 | % | 10/01/2009 | $ | 2,279,585 | ||||||||||
875,000 | 7.25 | 06/15/2025 | 988,420 | |||||||||||||
$ | 3,268,005 | |||||||||||||||
Diversified Manufacturing – 0.4% | ||||||||||||||||
Tyco International Group Participation Certificate(a) | ||||||||||||||||
$ | 3,525,000 | 4.44 | % | 06/15/2007 | $ | 3,535,498 | ||||||||||
Tyco International Group SA | ||||||||||||||||
1,000,000 | 6.38 | 02/15/2006 | 1,018,410 | |||||||||||||
2,000,000 | 5.80 | 08/01/2006 | 2,041,087 | |||||||||||||
$ | 6,594,995 | |||||||||||||||
Electric – 1.3% | ||||||||||||||||
Calenergy, Inc. | ||||||||||||||||
$ | 1,250,000 | 7.23 | % | 09/15/2005 | $ | 1,266,433 | ||||||||||
1,500,000 | 7.63 | 10/15/2007 | 1,607,190 | |||||||||||||
Centerpoint Energy, Inc. | ||||||||||||||||
550,000 | 7.25 | 09/01/2010 | 605,854 | |||||||||||||
FirstEnergy Corp. | ||||||||||||||||
4,050,000 | 7.38 | 11/15/2031 | 4,773,087 | |||||||||||||
Nisource Finance Corp.(c) | ||||||||||||||||
5,000,000 | 3.43 | 11/23/2009 | 5,028,640 | |||||||||||||
Southern California Edison Co. | ||||||||||||||||
750,000 | 6.38 | 01/15/2006 | 763,122 | |||||||||||||
TXU Corp.(a) | ||||||||||||||||
7,375,000 | 4.80 | 11/15/2009 | 7,229,218 | |||||||||||||
1,875,000 | 6.50 | 11/15/2024 | 1,850,683 | |||||||||||||
$ | 23,124,227 | |||||||||||||||
Entertainment – 0.2% | ||||||||||||||||
Time Warner Entertainment Co. LP | ||||||||||||||||
$ | 2,175,000 | 8.38 | % | 03/15/2023 | $ | 2,731,894 | ||||||||||
Time Warner, Inc. | ||||||||||||||||
1,100,000 | 6.88 | 05/01/2012 | 1,225,028 | |||||||||||||
$ | 3,956,922 | |||||||||||||||
Environmental – 0.1% | ||||||||||||||||
Waste Management, Inc. | ||||||||||||||||
$ | 2,000,000 | 7.38 | % | 08/01/2010 | $ | 2,244,389 | ||||||||||
55
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Corporate Bonds – (continued) | ||||||||||||||||
Food & Beverage – 0.1% | ||||||||||||||||
Tyson Foods, Inc. | ||||||||||||||||
$ | 350,000 | 7.25 | % | 10/01/2006 | $ | 365,020 | ||||||||||
1,750,000 | 8.25 | 10/01/2011 | 2,051,731 | |||||||||||||
$ | 2,416,751 | |||||||||||||||
Gaming – 0.4% | ||||||||||||||||
Caesars Entertainment, Inc. | ||||||||||||||||
$ | 1,745,000 | 7.50 | % | 09/01/2009 | $ | 1,897,687 | ||||||||||
Harrahs Operating Co., Inc. | ||||||||||||||||
2,475,000 | 5.50 | 07/01/2010 | 2,525,709 | |||||||||||||
1,650,000 | 5.38 | 12/15/2013 | 1,641,740 | |||||||||||||
MGM Mirage, Inc. | ||||||||||||||||
850,000 | 8.50 | 09/15/2010 | 926,500 | |||||||||||||
Park Place Entertainment Corp. | ||||||||||||||||
950,000 | 8.50 | 11/15/2006 | 1,002,250 | |||||||||||||
$ | 7,993,886 | |||||||||||||||
Health Care – 0.1% | ||||||||||||||||
HCA, Inc. | ||||||||||||||||
$ | 2,000,000 | 6.95 | % | 05/01/2012 | $ | 2,084,854 | ||||||||||
Integrated – 0.1% | ||||||||||||||||
Amerada Hess Corp. | ||||||||||||||||
$ | 2,250,000 | 7.13 | % | 03/15/2033 | $ | 2,530,703 | ||||||||||
Life Insurance – 0.3% | ||||||||||||||||
Assurant, Inc. | ||||||||||||||||
$ | 825,000 | 6.75 | % | 02/15/2034 | $ | 925,678 | ||||||||||
Hartford Life, Inc. | ||||||||||||||||
200,000 | 7.10 | 06/15/2007 | 211,221 | |||||||||||||
Principal Financial Group Australia(a) | ||||||||||||||||
2,750,000 | 8.20 | 08/15/2009 | 3,112,150 | |||||||||||||
Reinsurance Group of America, Inc. | ||||||||||||||||
550,000 | 6.75 | 12/15/2011 | 586,476 | |||||||||||||
$ | 4,835,525 | |||||||||||||||
Media-Cable – 1.1% | ||||||||||||||||
Comcast Cable Communications Holdings, Inc. | ||||||||||||||||
$ | 2,300,000 | 8.38 | % | 03/15/2013 | $ | 2,791,487 | ||||||||||
3,450,000 | 9.46 | 11/15/2022 | 4,832,979 | |||||||||||||
Comcast Cable Communications, Inc. | ||||||||||||||||
2,250,000 | 6.38 | 01/30/2006 | 2,288,054 | |||||||||||||
550,000 | 10.50 | 06/15/2006 | 585,483 | |||||||||||||
Cox Communications, Inc.(a) | ||||||||||||||||
2,925,000 | 4.63 | 01/15/2010 | 2,882,455 | |||||||||||||
Cox Enterprises, Inc.(a) | ||||||||||||||||
2,825,000 | 4.38 | 05/01/2008 | 2,799,516 | |||||||||||||
Lenfest Communications, Inc. | ||||||||||||||||
2,000,000 | 8.38 | 11/01/2005 | 2,041,100 | |||||||||||||
Rogers Cable, Inc. | ||||||||||||||||
1,575,000 | 5.50 | 03/15/2014 | 1,393,875 | |||||||||||||
$ | 19,614,949 | |||||||||||||||
Media-Non Cable – 0.4% | ||||||||||||||||
Clear Channel Communications, Inc. | ||||||||||||||||
$ | 5,325,000 | 8.00 | % | 11/01/2008 | $ | 5,751,746 | ||||||||||
R. R. Donnelley & Sons Co. | ||||||||||||||||
1,000,000 | 6.70 | % | 07/05/2005 | 1,004,622 | ||||||||||||
$ | 6,756,368 | |||||||||||||||
Non Captive – 1.1% | ||||||||||||||||
American General Finance Corp. | ||||||||||||||||
$ | 2,000,000 | 6.10 | % | 05/22/2006 | $ | 2,045,890 | ||||||||||
250,000 | 5.75 | 03/15/2007 | 256,479 | |||||||||||||
200,000 | 2.75 | 06/15/2008 | 189,719 | |||||||||||||
GATX Financial Corp. | ||||||||||||||||
3,650,000 | 5.13 | 04/15/2010 | 3,681,105 | |||||||||||||
General Electric Capital Corp. | ||||||||||||||||
3,000,000 | 7.38 | 01/19/2010 | 3,371,675 | |||||||||||||
HSBC Finance Corp. | ||||||||||||||||
2,000,000 | 4.13 | 11/16/2009 | 1,961,997 | |||||||||||||
1,000,000 | 6.38 | 10/15/2011 | 1,086,082 | |||||||||||||
PHH Corp. | ||||||||||||||||
5,175,000 | 6.00 | 03/01/2008 | 5,343,762 | |||||||||||||
Wells Fargo Financial, Inc. | ||||||||||||||||
2,000,000 | 5.88 | 08/15/2008 | 2,101,150 | |||||||||||||
$ | 20,037,859 | |||||||||||||||
Paper – 0.1% | ||||||||||||||||
Weyerhaeuser Co. | ||||||||||||||||
$ | 1,150,000 | 6.00 | % | 08/01/2006 | $ | 1,171,469 | ||||||||||
Pipelines – 0.5% | ||||||||||||||||
CenterPoint Energy Resources Corp. | ||||||||||||||||
$ | 100,000 | 7.88 | % | 04/01/2013 | $ | 117,775 | ||||||||||
6,250,000 | 5.95 | 01/15/2014 | 6,554,894 | |||||||||||||
Panhandle Eastern Pipeline | ||||||||||||||||
1,350,000 | 4.80 | 08/15/2008 | 1,351,008 | |||||||||||||
$ | 8,023,677 | |||||||||||||||
Property/ Casualty Insurance – 1.9% | ||||||||||||||||
ACE INA Holdings, Inc. | ||||||||||||||||
$ | 350,000 | 8.30 | % | 08/15/2006 | $ | 368,277 | ||||||||||
Ace Ltd. | ||||||||||||||||
6,575,000 | 6.00 | 04/01/2007 | 6,773,219 | |||||||||||||
Arch Capital Group Ltd. | ||||||||||||||||
3,200,000 | 7.35 | 05/01/2034 | 3,568,324 | |||||||||||||
Asif Global Financial XXIII(a) | ||||||||||||||||
1,875,000 | 3.90 | 10/22/2008 | 1,837,168 | |||||||||||||
CNA Financial Corp. | ||||||||||||||||
1,375,000 | 6.75 | 11/15/2006 | 1,422,369 | |||||||||||||
98,000 | 6.60 | 12/15/2008 | 103,431 | |||||||||||||
500,000 | 5.85 | 12/15/2014 | 507,398 | |||||||||||||
Endurance Specialty Holdings Ltd. | ||||||||||||||||
2,425,000 | 7.00 | 07/15/2034 | 2,679,314 | |||||||||||||
Hartford Financial Services Group, Inc. | ||||||||||||||||
2,000,000 | 7.90 | 06/15/2010 | 2,298,693 | |||||||||||||
Liberty Mutual Group(a) | ||||||||||||||||
1,550,000 | 5.75 | 03/15/2014 | 1,547,748 | |||||||||||||
525,000 | 7.00 | 03/15/2034 | 542,203 | |||||||||||||
QBE Insurance Group Ltd.(a)(c) | ||||||||||||||||
3,150,000 | 5.65 | 07/01/2023 | 3,168,950 | |||||||||||||
56
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Corporate Bonds – (continued) | ||||||||||||||||
Property/ Casualty Insurance – (continued) | ||||||||||||||||
SAFECO Corp. | ||||||||||||||||
$ | 5,000,000 | 6.88 | % | 07/15/2007 | $ | 5,256,995 | ||||||||||
Zurich Capital Trust I(a) | ||||||||||||||||
2,500,000 | 8.38 | 06/01/2037 | 2,709,600 | |||||||||||||
$ | 32,783,689 | |||||||||||||||
Railroads – 0.1% | ||||||||||||||||
CSX Corp. | ||||||||||||||||
$ | 2,000,000 | 6.40 | % | 06/15/2009 | $ | 2,139,274 | ||||||||||
REITs – 0.5% | ||||||||||||||||
EOP Operating LP | ||||||||||||||||
$ | 1,500,000 | 7.75 | % | 11/15/2007 | $ | 1,617,439 | ||||||||||
iStar Financial, Inc. | ||||||||||||||||
3,275,000 | 5.70 | 03/01/2014 | 3,252,144 | |||||||||||||
Liberty Property LP | ||||||||||||||||
1,100,000 | 7.25 | 03/15/2011 | 1,213,221 | |||||||||||||
Simon Property Group LP | ||||||||||||||||
200,000 | 7.38 | 01/20/2006 | 204,921 | |||||||||||||
1,500,000 | 6.38 | 11/15/2007 | 1,570,281 | |||||||||||||
750,000 | 7.00 | 06/15/2008 | 800,854 | |||||||||||||
$ | 8,658,860 | |||||||||||||||
Tobacco – 0.3% | ||||||||||||||||
Altria Group, Inc. | ||||||||||||||||
$ | 1,500,000 | 7.00 | % | 07/15/2005 | $ | 1,509,531 | ||||||||||
475,000 | 7.00 | 11/04/2013 | 524,677 | |||||||||||||
Philip Morris Companies, Inc. | ||||||||||||||||
2,550,000 | 6.95 | 06/01/2006 | 2,619,410 | |||||||||||||
$ | 4,653,618 | |||||||||||||||
Wireless Telecommunications – 0.7% | ||||||||||||||||
America Movil SA de CV | ||||||||||||||||
$ | 5,050,000 | 4.13 | % | 03/01/2009 | $ | 4,892,346 | ||||||||||
1,600,000 | 6.38 | 03/01/2035 | 1,474,107 | |||||||||||||
AT&T Wireless Services, Inc. | ||||||||||||||||
1,000,000 | 7.50 | 05/01/2007 | 1,064,229 | |||||||||||||
1,750,000 | 7.88 | 03/01/2011 | 2,016,748 | |||||||||||||
Intelsat | ||||||||||||||||
3,850,000 | 5.25 | 11/01/2008 | 3,493,875 | |||||||||||||
$ | 12,941,305 | |||||||||||||||
Wirelines Telecommunications – 1.6% | ||||||||||||||||
Ameritech Capital Funding | ||||||||||||||||
$ | 775,000 | 6.25 | % | 05/18/2009 | $ | 821,900 | ||||||||||
Deutsche Telekom International Finance BV | ||||||||||||||||
600,000 | 8.25 | 06/15/2005 | 603,367 | |||||||||||||
3,225,000 | 8.75 | 06/15/2030 | 4,317,984 | |||||||||||||
Olivetti Finance NV(i) | ||||||||||||||||
EUR 475,000 | 7.75 | 01/24/2033 | 837,357 | |||||||||||||
Qwest Capital Funding, Inc. | ||||||||||||||||
$ | 1,250,000 | 7.75 | 08/15/2006 | 1,256,250 | ||||||||||||
500,000 | 7.90 | 08/15/2010 | 460,000 | |||||||||||||
SBC Communications, Inc. | ||||||||||||||||
2,825,000 | 4.13 | 09/15/2009 | 2,778,535 | |||||||||||||
1,000,000 | 5.88 | 02/01/2012 | 1,061,417 | |||||||||||||
Sprint Capital Corp. | ||||||||||||||||
800,000 | 6.00 | % | 01/15/2007 | 821,370 | ||||||||||||
2,000,000 | 6.13 | 11/15/2008 | 2,102,323 | |||||||||||||
4,950,000 | 6.88 | 11/15/2028 | 5,536,575 | |||||||||||||
Telecom Italia Capital(a) | ||||||||||||||||
1,025,000 | 4.00 | 01/15/2010 | 990,153 | |||||||||||||
2,625,000 | 4.95 | 09/30/2014 | 2,561,731 | |||||||||||||
Telefonica Europe BV | ||||||||||||||||
1,000,000 | 7.35 | 09/15/2005 | 1,013,759 | |||||||||||||
TPSA Finance BV(a) | ||||||||||||||||
2,200,000 | 7.75 | 12/10/2008 | 2,429,053 | |||||||||||||
$ | 27,591,774 | |||||||||||||||
TOTAL CORPORATE BONDS | ||||||||||||||||
(Cost $272,196,507) | $ | 276,631,567 | ||||||||||||||
Emerging Market Debt – 0.4% | ||||||||||||||||
Pemex Finance Ltd. | ||||||||||||||||
$ | 450,000 | 8.02 | % | 05/15/2007 | $ | 464,929 | ||||||||||
700,000 | 9.15 | 11/15/2018 | 847,434 | |||||||||||||
State of Qatar | ||||||||||||||||
2,180,000 | 9.75 | 06/15/2030 | 3,259,100 | |||||||||||||
United Mexican States | ||||||||||||||||
976,000 | 8.30 | 08/15/2031 | 1,141,920 | |||||||||||||
512,000 | 7.50 | 04/08/2033 | 554,240 | |||||||||||||
TOTAL EMERGING MARKET DEBT | ||||||||||||||||
(Cost $5,834,793) | $ | 6,267,623 | ||||||||||||||
Mortgage-Backed Obligations – 42.5% | ||||||||||||||||
Adjustable Rate Federal National Mortgage Association | ||||||||||||||||
(FNMA | )(c) – 0.0% | |||||||||||||||
FNMA | ||||||||||||||||
$ | 139,866 | 4.49 | % | 03/01/2033 | $ | 140,704 | ||||||||||
Adjustable Rate Non-Agency(c) – 4.9% | ||||||||||||||||
Bank of America Mortgage Securities, Inc. Series 2002-H, Class 1A2 | ||||||||||||||||
$ | 853,934 | 5.02 | % | 08/25/2032 | $ | 858,716 | ||||||||||
Bear Stearns Adjustable Rate Mortgage Trust Series 2003-5, Class 1A1 | ||||||||||||||||
732,114 | 4.14 | 08/25/2033 | 735,958 | |||||||||||||
Countrywide Home Loans Series 2003-37, Class 1A1 | ||||||||||||||||
406,320 | 3.96 | 08/25/2033 | 408,364 | |||||||||||||
Countrywide Home Loans Series 2005-7, Class 3A2 | ||||||||||||||||
13,855,900 | 3.61 | 03/25/2035 | 14,016,955 | |||||||||||||
CS First Boston Mortgage Securities Corp. Series 2003-AR9, Class 2A2 | ||||||||||||||||
413,456 | 5.10 | 03/25/2033 | 415,781 | |||||||||||||
CS First Boston Mortgage Securities Corp. Series 2004-AR1, Class 6A1 | ||||||||||||||||
2,147,433 | 3.45 | 02/25/2034 | 2,151,384 | |||||||||||||
57
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Mortgage-Backed Obligations – (continued) | ||||||||||||||||
Adjustable Rate Non-Agency(c) – (continued) | ||||||||||||||||
Master Adjustable Rate Mortgages Trust Series 2004-9, Class 2A1 | ||||||||||||||||
$ | 3,627,760 | 3.40 | % | 11/25/2034 | $ | 3,637,885 | ||||||||||
MLCC Mortgage Investors, Inc. Series 2003-A, Class 2A2 | ||||||||||||||||
1,916,718 | 3.52 | 03/25/2028 | 1,929,258 | |||||||||||||
MLCC Mortgage Investors, Inc. Series 2004-E, Class A2B | ||||||||||||||||
18,516,127 | 3.73 | 11/25/2029 | 18,469,039 | |||||||||||||
Sequoia Mortgage Trust Series 2003-4, Class 1A2 | ||||||||||||||||
11,752,493 | 3.23 | 07/20/2033 | 11,777,083 | |||||||||||||
Sequoia Mortgage Trust Series 2004-12, Class A3 | ||||||||||||||||
13,363,786 | 3.07 | 09/20/2034 | 13,364,581 | |||||||||||||
Structured Asset Securities Corp. Series 2003-37A, Class 3A7 | ||||||||||||||||
8,874,643 | 4.52 | 12/25/2033 | 8,871,803 | |||||||||||||
Washington Mutual Series 2002-AR19, Class A7 | ||||||||||||||||
1,578,233 | 4.68 | 02/25/2033 | 1,586,993 | |||||||||||||
Washington Mutual Series 2005-AR1, Class A2A1 | ||||||||||||||||
7,869,812 | 3.22 | 01/25/2045 | 7,888,629 | |||||||||||||
$ | 86,112,429 | |||||||||||||||
Collateralized Mortgage Obligations (CMOs) – 1.9% Interest Only(d) – 0.2% | ||||||||||||||||
ABN AMRO Mortgage Corp. Series 2003-5, Class A2 | ||||||||||||||||
$ | 5,929,720 | 5.50 | % | 04/25/2033 | $ | 345,011 | ||||||||||
Countrywide Home Loan Trust Series 2003-42, Class 2X1(c) | ||||||||||||||||
4,698,192 | 0.39 | 10/25/2033 | 32,732 | |||||||||||||
CS First Boston Mortgage Securities Corp. Series 2002-AR31, Class 5X(c) | ||||||||||||||||
5,672,931 | 0.98 | 11/25/2032 | 9,238 | |||||||||||||
CS First Boston Mortgage Securities Corp. Series 2003-08, Class 3A2 | ||||||||||||||||
922,679 | 5.50 | 04/25/2033 | 53,055 | |||||||||||||
CS First Boston Mortgage Securities Corp. Series 2003-10, Class 3A13 | ||||||||||||||||
949,795 | 5.75 | 05/25/2033 | 56,883 | |||||||||||||
CS First Boston Mortgage Securities Corp. Series 2003-11, Class 1A2 | ||||||||||||||||
636,430 | 5.50 | 06/25/2033 | 41,055 | |||||||||||||
CS First Boston Mortgage Securities Corp. Series 2003-AR18, Class 2X(c) | ||||||||||||||||
5,923,121 | 0.78 | 07/25/2033 | 76,003 | |||||||||||||
CS First Boston Mortgage Securities Corp. Series 2003-AR20, Class 2X(c) | ||||||||||||||||
5,843,046 | 0.60 | 08/25/2033 | 58,055 | |||||||||||||
FNMA Series 1992-24, Class N | ||||||||||||||||
965 | 7.89 | 03/25/2007 | 6,493 | |||||||||||||
FNMA Series 1993-11, Class M | ||||||||||||||||
74,866 | 7.50 | 02/25/2008 | 2,667 | |||||||||||||
FNMA Series 2003-36, Class IO | ||||||||||||||||
5,173,071 | 5.50 | 12/25/2031 | 535,167 | |||||||||||||
FNMA Series 2003-46, Class PI | ||||||||||||||||
10,296,616 | 5.50 | 11/25/2027 | 1,078,066 | |||||||||||||
GNMA REMIC Trust Series 2002-79, Class IP | ||||||||||||||||
136,715 | 6.00 | % | 06/20/2028 | 2,987 | ||||||||||||
Washington Mutual Series 2003-AR04, Class X1(c) | ||||||||||||||||
7,596,580 | 1.18 | 01/25/2008 | 153,632 | |||||||||||||
Washington Mutual Series 2003-AR05, Class X1(c) | ||||||||||||||||
21,325,184 | 0.76 | 02/25/2008 | 289,999 | |||||||||||||
Washington Mutual Series 2003-AR06, Class X2 | ||||||||||||||||
16,126,180 | 0.37 | 05/25/2008 | 74,503 | |||||||||||||
Washington Mutual Series 2003-AR07, Class X(c) | ||||||||||||||||
25,717,733 | 0.95 | 06/25/2008 | 252,034 | |||||||||||||
Washington Mutual Series 2003-AR12, Class X(c) | ||||||||||||||||
18,296,970 | 0.50 | 02/25/2034 | 119,174 | |||||||||||||
Wells Fargo Mortgage Backed Securities Trust Series 2003-G, ClassAI0(c) | ||||||||||||||||
17,044,152 | 0.78 | 06/25/2033 | 219,870 | |||||||||||||
$ | 3,406,624 | |||||||||||||||
Inverse Floaters(c) – 0.3% | ||||||||||||||||
FHLMC Series 1544, Class M | ||||||||||||||||
$ | 117,268 | 13.78 | % | 07/15/2008 | $ | 128,043 | ||||||||||
FNMA Series 1993-072, Class SA | ||||||||||||||||
49,427 | 15.41 | 05/25/2008 | 54,625 | |||||||||||||
FNMA Series 1993-093, Class SA | ||||||||||||||||
79,951 | 17.32 | 05/25/2008 | 90,177 | |||||||||||||
FNMA Series 1993-095, Class SE | ||||||||||||||||
64,599 | 18.51 | 06/25/2008 | 75,711 | |||||||||||||
FNMA Series 1993-135, Class S | ||||||||||||||||
96,797 | 11.14 | 07/25/2008 | 103,329 | |||||||||||||
FNMA Series 1993-175, Class SA | ||||||||||||||||
513,071 | 12.87 | 09/25/2008 | 556,394 | |||||||||||||
GNMA Series 2001-48, Class SA | ||||||||||||||||
336,020 | 16.84 | 10/16/2031 | 411,762 | |||||||||||||
GNMA Series 2001-51, Class SA | ||||||||||||||||
648,077 | 19.63 | 10/16/2031 | 821,452 | |||||||||||||
GNMA Series 2001-51, Class SB | ||||||||||||||||
669,754 | 16.84 | 10/16/2031 | 780,440 | |||||||||||||
GNMA Series 2001-59, Class SA | ||||||||||||||||
116,188 | 16.67 | 11/16/2024 | 143,207 | |||||||||||||
GNMA Series 2002-11, Class SA | ||||||||||||||||
346,426 | 23.71 | 02/16/2032 | 435,988 | |||||||||||||
GNMA Series 2002-13, Class SB | ||||||||||||||||
811,562 | 23.71 | 02/16/2032 | 1,113,132 | |||||||||||||
Morgan Stanley Mortgage Trust Series 40, Class 16 | ||||||||||||||||
852,626 | 9.94 | 01/20/2022 | 868,417 | |||||||||||||
$ | 5,582,677 | |||||||||||||||
Planned Amortization Class (PAC) CMOs – 0.7% | ||||||||||||||||
FNMA REMIC Trust Series 1993-78, Class H | ||||||||||||||||
$ | 1,206,789 | 6.50 | % | 06/25/2008 | $ | 1,240,074 | ||||||||||
FNMA Series 1993-201, Class K | ||||||||||||||||
3,202,250 | 6.50 | 01/25/2023 | 3,210,996 | |||||||||||||
FNMA Series 1999-1, Class PG | ||||||||||||||||
6,448,294 | 6.50 | 04/25/2028 | 6,474,972 | |||||||||||||
FNMA Series 1999-51, Class LG | ||||||||||||||||
1,186,074 | 6.50 | 12/25/2028 | 1,193,336 | |||||||||||||
58
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Mortgage-Backed Obligations – (continued) | ||||||||||||||||
PAC CMOs – (continued) | ||||||||||||||||
FNMA Series 2001-57, Class PC | ||||||||||||||||
$ | 933,280 | 6.50 | % | 09/25/2030 | $ | 933,282 | ||||||||||
GNMA Series 2002-3, Class LE | ||||||||||||||||
24,494 | 6.50 | 08/20/2030 | 24,456 | |||||||||||||
$ | 13,077,116 | |||||||||||||||
Regular Floater CMOs(c) – 0.1% | ||||||||||||||||
FHLMC Series 1537, Class F | ||||||||||||||||
$ | 742,903 | 3.40 | % | 06/15/2008 | $ | 738,128 | ||||||||||
FNMA REMIC Trust Series 1993-175, Class FA | ||||||||||||||||
1,108,233 | 3.61 | 09/25/2008 | 1,102,023 | |||||||||||||
FNMA REMIC Trust Series 1993-M1, Class A | ||||||||||||||||
19,700 | 6.00 | 04/25/2020 | 19,700 | |||||||||||||
$ | 1,859,851 | |||||||||||||||
Sequential Fixed Rate CMOs – 0.6% | ||||||||||||||||
Banc of America Mortgage Securities, Inc. Series 2002-9, Class 3A1 | ||||||||||||||||
$ | 154,385 | 6.00 | % | 10/25/2017 | $ | 153,987 | ||||||||||
FHLMC Series 2367, Class BC | ||||||||||||||||
2,326,757 | 6.00 | 04/15/2016 | 2,349,493 | |||||||||||||
FNMA Series 2001-M2, Class C | ||||||||||||||||
5,741,193 | 6.30 | 09/25/2015 | 6,173,228 | |||||||||||||
FNMA Series 2002-63, Class KB | ||||||||||||||||
1,446,079 | 4.75 | 02/25/2014 | 1,447,620 | |||||||||||||
$ | 10,124,328 | |||||||||||||||
TOTAL CMOs | $ | 34,050,596 | ||||||||||||||
Commercial Mortgage-Backed Securities (CMBS) – 1.6% | ||||||||||||||||
Interest Only(a)(c)(d) – 0.2% | ||||||||||||||||
Bear Stearns Commercial Mortgage Securities Inc. Series 2001-TOP2, Class X2 | ||||||||||||||||
$ | 38,000,000 | 1.37 | % | 02/15/2035 | $ | 1,265,088 | ||||||||||
CS First Boston Mortgage Securities Corp. Series 2002-CKS4, Class ASP | ||||||||||||||||
29,838,133 | 1.89 | 11/15/2036 | 1,656,625 | |||||||||||||
$ | 2,921,713 | |||||||||||||||
Sequential Fixed Rate CMBS – 1.4% | ||||||||||||||||
Asset Securitization Corp. Series 1997-D4, Class A1D | ||||||||||||||||
$ | 841,517 | 7.49 | % | 04/14/2029 | $ | 885,689 | ||||||||||
Commercial Mortgage Acceptance Corp. Series 1997-ML1, Class A3 | ||||||||||||||||
2,800,000 | 6.57 | 12/15/2030 | 2,911,809 | |||||||||||||
CS First Boston Mortgage Securities Corp. Series 1997-C2, Class A3 | ||||||||||||||||
10,000,000 | 6.55 | 01/17/2035 | 10,518,461 | |||||||||||||
First Union-Lehman Brothers Commercial Mortgage Services Series 1997-C1, Class A3 | ||||||||||||||||
3,471,722 | 7.38 | 04/18/2007 | 3,645,545 | |||||||||||||
Merrill Lynch Mortgage Investors, Inc. Series 1998-C2, Class A2 | ||||||||||||||||
2,615,256 | 6.39 | 02/15/2030 | 2,730,905 | |||||||||||||
Merrill Lynch Mortgage Investors, Inc. Series 1999-C1, Class A2 | ||||||||||||||||
4,500,000 | 7.56 | 11/15/2031 | 4,941,108 | |||||||||||||
$ | 25,633,517 | |||||||||||||||
TOTAL CMBS | $ | 28,555,230 | ||||||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) — 5.0% | ||||||||||||||||
$ | 50,753 | 5.50 | % | 07/01/2013 | $ | 52,101 | ||||||||||
339,571 | 5.50 | 12/01/2013 | 348,589 | |||||||||||||
4,236,544 | 6.50 | 12/01/2013 | 4,425,532 | |||||||||||||
112,888 | 5.50 | 02/01/2014 | 115,816 | |||||||||||||
46,249 | 5.50 | 06/01/2014 | 47,449 | |||||||||||||
103,423 | 5.50 | 09/01/2014 | 106,105 | |||||||||||||
6,925 | 7.00 | 10/01/2014 | 7,287 | |||||||||||||
2,748,977 | 6.00 | 12/01/2014 | 2,802,252 | |||||||||||||
64,243 | 7.00 | 05/01/2015 | 67,602 | |||||||||||||
192,319 | 8.00 | 07/01/2015 | 204,616 | |||||||||||||
21,327 | 7.00 | 02/01/2016 | 22,436 | |||||||||||||
73,926 | 7.00 | 03/01/2016 | 77,771 | |||||||||||||
1,350,066 | 7.50 | 05/01/2016 | 1,422,314 | |||||||||||||
5,389 | 7.00 | 10/01/2017 | 5,698 | |||||||||||||
127,596 | 7.00 | 06/01/2026 | 135,091 | |||||||||||||
110,649 | 7.50 | 03/01/2027 | 118,453 | |||||||||||||
24,647 | 6.50 | 06/01/2029 | 25,694 | |||||||||||||
3,888,280 | 6.50 | 12/01/2029 | 4,053,905 | |||||||||||||
99,840 | 7.50 | 12/01/2030 | 106,622 | |||||||||||||
76,265 | 7.50 | 01/01/2031 | 81,445 | |||||||||||||
8,766,125 | 6.50 | 12/01/2031 | 9,120,880 | |||||||||||||
137,536 | 6.50 | 03/01/2032 | 143,032 | |||||||||||||
31,032 | 6.50 | 04/01/2032 | 32,272 | |||||||||||||
284,884 | 6.50 | 07/01/2032 | 296,268 | |||||||||||||
19,125,209 | 6.50 | 12/01/2032 | 19,887,230 | |||||||||||||
1,414,343 | 6.50 | 04/01/2033 | 1,470,862 | |||||||||||||
531,245 | 6.50 | 06/01/2033 | 551,653 | |||||||||||||
2,346,496 | 6.50 | 08/01/2033 | 2,440,265 | |||||||||||||
687,540 | 6.50 | 10/01/2033 | 713,951 | |||||||||||||
1,651,155 | 6.50 | 11/01/2033 | 1,714,583 | |||||||||||||
22,578,688 | 6.50 | 12/01/2033 | 23,446,044 | |||||||||||||
788,570 | 6.50 | 01/01/2034 | 818,862 | |||||||||||||
647,101 | 6.50 | 03/01/2034 | 671,959 | |||||||||||||
38,617 | 6.50 | 06/01/2034 | 40,096 | |||||||||||||
12,225,345 | 6.50 | 08/01/2034 | 12,693,554 | |||||||||||||
$ | 88,268,289 | |||||||||||||||
Federal National Mortgage Association (FNMA) — 27.4% | ||||||||||||||||
$ | 4,990,002 | 6.39 | % | 08/01/2013 | $ | 5,287,355 | ||||||||||
1,302,435 | 7.04 | 08/01/2015 | 1,512,066 | |||||||||||||
437,725 | 8.50 | 10/01/2015 | 474,264 | |||||||||||||
22,629 | 7.00 | 01/01/2016 | 23,755 | |||||||||||||
1,158,730 | 6.00 | 12/01/2016 | 1,200,706 | |||||||||||||
171,615 | 6.00 | 08/01/2018 | 176,843 | |||||||||||||
2,877,798 | 6.46 | 12/01/2028 | 3,329,924 | |||||||||||||
12,333 | 7.50 | 03/01/2029 | 13,176 | |||||||||||||
72,865 | 7.50 | 08/01/2029 | 77,850 | |||||||||||||
4,511 | 7.50 | 11/01/2029 | 4,820 | |||||||||||||
59
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Mortgage-Backed Obligations – (continued) | ||||||||||||||||
FNMA — (continued) | ||||||||||||||||
$ | 2,498,301 | 6.50 | % | 12/01/2029 | $ | 2,605,160 | ||||||||||
190,013 | 7.50 | 12/01/2030 | 202,849 | |||||||||||||
68,342 | 6.50 | 12/01/2030 | 71,084 | |||||||||||||
159,088 | 8.00 | 01/01/2031 | 171,155 | |||||||||||||
137,248 | 8.00 | 02/01/2031 | 147,481 | |||||||||||||
1,838,413 | 7.00 | 03/01/2031 | 1,942,394 | |||||||||||||
14,718,983 | 6.50 | 12/01/2031 | 15,318,258 | |||||||||||||
864,825 | 6.50 | 12/01/2032 | 900,036 | |||||||||||||
25,820 | 6.50 | 09/01/2033 | 26,814 | |||||||||||||
348,000,000 | 4.50 | TBA-15yr | (e) | 344,193,576 | ||||||||||||
104,000,000 | 5.50 | TBA-15yr | (e) | 106,210,000 | ||||||||||||
$ | 483,889,566 | |||||||||||||||
Government National Mortgage Association (GNMA) — 1.7% | ||||||||||||||||
$ | 3,448,084 | 5.00 | % | 01/15/2018 | $ | 3,509,359 | ||||||||||
101,249 | 6.50 | 01/15/2028 | 105,980 | |||||||||||||
47,040 | 6.50 | 02/15/2028 | 49,238 | |||||||||||||
42,071 | 6.50 | 03/15/2028 | 44,037 | |||||||||||||
25,000,000 | 6.50 | TBA-15yr | (e) | 26,164,050 | ||||||||||||
$ | 29,872,664 | |||||||||||||||
TOTAL MORTGAGE-BACKED OBLIGATIONS | ||||||||||||||||
(Cost $745,976,783) | $ | 750,889,478 | ||||||||||||||
Agency Debentures – 10.9% | ||||||||||||||||
Federal Farm Credit Bank | ||||||||||||||||
$ | 2,000,000 | 3.63 | % | 01/04/2008 | $ | 1,980,034 | ||||||||||
Federal Home Loan Bank | ||||||||||||||||
2,000,000 | 2.38 | 02/15/2006 | 1,982,046 | |||||||||||||
15,000,000 | 2.50 | 04/11/2006 | 14,845,524 | |||||||||||||
10,000,000 | 2.75 | 05/15/2006 | 9,908,817 | |||||||||||||
15,000,000 | 2.88 | 05/23/2006 | 14,870,971 | |||||||||||||
500,000 | 3.13 | 08/15/2007 | 490,831 | |||||||||||||
13,650,000 | 3.38 | 10/05/2007 | 13,444,304 | |||||||||||||
1,500,000 | 5.80 | 09/02/2008 | 1,579,981 | |||||||||||||
5,000,000 | 5.38 | (f) | 05/15/2009 | 5,230,975 | ||||||||||||
FHLMC | ||||||||||||||||
15,000,000 | 5.25 | 01/15/2006 | 15,181,020 | |||||||||||||
2,000,000 | 6.63 | 09/15/2009 | 2,192,240 | |||||||||||||
17,500,000 | 7.00 | 03/15/2010 | 19,613,632 | |||||||||||||
8,000,000 | 6.88 | 09/15/2010 | 8,986,812 | |||||||||||||
FNMA | ||||||||||||||||
100,000 | 6.00 | 12/15/2005 | 101,539 | |||||||||||||
15,000,000 | 5.50 | 02/15/2006 | 15,216,930 | |||||||||||||
4,800,000 | 2.10 | 04/19/2006 | 4,730,434 | |||||||||||||
10,000,000 | 3.01 | 06/02/2006 | 9,928,157 | |||||||||||||
16,000,000 | 3.25 | 06/28/2006 | 15,904,064 | |||||||||||||
15,000,000 | 3.55 | 01/12/2007 | 14,928,420 | |||||||||||||
1,000,000 | 5.25 | 01/15/2009 | 1,038,165 | |||||||||||||
15,300,000 | 7.25 | 01/15/2010 | 17,251,930 | |||||||||||||
2,000,000 | 5.50 | 03/15/2011 | 2,117,859 | |||||||||||||
Small Business Administration | ||||||||||||||||
1,242,679 | 6.30 | 06/01/2018 | 1,300,679 | |||||||||||||
TOTAL AGENCY DEBENTURES | ||||||||||||||||
(Cost $192,155,315) | $ | 192,825,364 | ||||||||||||||
Asset-Backed Securities – 9.4% | ||||||||||||||||
Credit Card – 0.2% | ||||||||||||||||
MBNA Master Credit Card Trust | ||||||||||||||||
$ | 3,000,000 | 7.00 | % | 02/15/2012 | $ | 3,314,137 | ||||||||||
Home Equity – 8.7% | ||||||||||||||||
Aames Mortgage Trust Series 2000-2, Class A6F | ||||||||||||||||
$ | 746,454 | 7.18 | % | 11/25/2028 | $ | 764,387 | ||||||||||
Amortizing Residential Collateral Trust Series 2002-BC1M, Class A(c) | ||||||||||||||||
2,495,419 | 3.30 | 01/01/2032 | 2,501,844 | |||||||||||||
Amortizing Residential Collateral Trust Series 2002-BC3M, Class A(c) | ||||||||||||||||
396,422 | 3.29 | 06/25/2032 | 396,863 | |||||||||||||
ContiMortgage Home Equity Loan Trust Series 1999-1, Class A7 | ||||||||||||||||
109,353 | 6.47 | 12/25/2013 | 109,943 | |||||||||||||
Countrywide Asset-Backed Certificates Series 2004-BC5, Class A2(c) | ||||||||||||||||
15,000,000 | 3.29 | 10/25/2034 | 15,015,000 | |||||||||||||
Countrywide Home Equity Loan Trust Series 2002-E, Class A(c) | ||||||||||||||||
6,750,801 | 3.21 | 10/15/2028 | 6,761,353 | |||||||||||||
Countrywide Home Equity Loan Trust Series 2003-A, Class A(c) | ||||||||||||||||
20,016,243 | 3.30 | 03/15/2029 | 20,072,981 | |||||||||||||
Countrywide Home Equity Loan Trust Series 2003-D, Class A(c) | ||||||||||||||||
10,921,416 | 3.21 | 06/15/2029 | 10,934,834 | |||||||||||||
Countrywide Home Equity Loan Trust Series 2004-G, Class 2A(c) | ||||||||||||||||
9,167,996 | 3.17 | 12/15/2029 | 9,193,602 | |||||||||||||
Countrywide Home Equity Loan Trust Series 2004-S, Class 1A(c) | ||||||||||||||||
20,529,888 | 3.19 | 02/15/2030 | 20,549,145 | |||||||||||||
First Franklin Mortgage Loan Asset Backed Certificates Series 2004-FF11, Class 2A2(c) | ||||||||||||||||
13,000,000 | 3.30 | 01/25/2035 | 13,024,375 | |||||||||||||
HFC Home Equity Loan Asset Backed Certificates Series 2002-2, Class A(c) | ||||||||||||||||
3,329,079 | 3.29 | 04/20/2032 | 3,334,060 | |||||||||||||
HFC Home Equity Loan Asset Backed Certificates Series 2002-3, Class A(c) | ||||||||||||||||
3,550,936 | 3.44 | 07/20/2032 | 3,556,900 | |||||||||||||
Household Home Equity Loan Trust Series 2003-1, Class A(c) | ||||||||||||||||
4,032,725 | 3.34 | 10/20/2032 | 4,035,481 | |||||||||||||
Impac CMB Trust Series 2004-10, Class 2A(c) | ||||||||||||||||
14,182,567 | 3.34 | 03/25/2035 | 14,197,033 | |||||||||||||
Impac CMB Trust Series 2004-8, Class 1A(c) | ||||||||||||||||
7,530,147 | 3.38 | 10/25/2034 | 7,551,156 | |||||||||||||
60
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Asset-Backed Securities – (continued) | ||||||||||||||||
Home Equity – (continued) | ||||||||||||||||
Indy Mac Home Equity Loan Asset-Backed Trust Series 2002-B, Class AV(c) | ||||||||||||||||
$ | 336,452 | 3.47 | % | 10/25/2033 | $ | 336,557 | ||||||||||
Popular ABS Mortgage Pass-Through Trust Series 2004-5, Class AV2(c) | ||||||||||||||||
6,502,290 | 3.36 | 12/25/2034 | 6,511,432 | |||||||||||||
Residential Asset Securities Corp. Series 2004-KS1, Class A2B2(c) | ||||||||||||||||
14,848,769 | 3.30 | 02/25/2034 | 14,848,089 | |||||||||||||
Saxon Asset Securities Trust Series 2003-1, Class AV2(c) | ||||||||||||||||
192,105 | 3.34 | 06/25/2033 | 192,165 | |||||||||||||
$ | 153,887,200 | |||||||||||||||
Manufactured Housing – 0.1% | ||||||||||||||||
Mid-State Trust Series 4, Class A | ||||||||||||||||
$ | 2,721,792 | 8.33 | % | 04/01/2030 | $ | 2,974,476 | ||||||||||
Utilities – 0.4% | ||||||||||||||||
Massachusetts RRB Special Purpose Trust Series 1999-1, Class A5 | ||||||||||||||||
$ | 6,150,000 | 7.03 | % | 03/15/2012 | $ | 6,740,768 | ||||||||||
TOTAL ASSET-BACKED SECURITIES | ||||||||||||||||
(Cost $166,336,721) | $ | 166,916,581 | ||||||||||||||
U.S. Treasury Obligations – 10.1% | ||||||||||||||||
United States Treasury Bonds | ||||||||||||||||
$ | 15,000,000 | 3.38 | % | 02/15/2008 | $ | 14,869,950 | ||||||||||
7,500,000 | 8.75 | 05/15/2017 | 10,560,000 | |||||||||||||
7,000,000 | 8.88 | 02/15/2019 | 10,168,060 | |||||||||||||
2,200,000 | 8.50 | 02/15/2020 | 3,143,800 | |||||||||||||
1,900,000 | 7.13 | 02/15/2023 | 2,482,122 | |||||||||||||
4,550,000 | 6.88 | (f) | 08/15/2025 | 5,900,167 | ||||||||||||
United States Treasury Interest-Only Stripped Securities(d) | ||||||||||||||||
11,600,000 | 0.00 | 05/15/2023 | 4,947,632 | |||||||||||||
United States Treasury Notes | ||||||||||||||||
150,000 | 7.00 | 07/15/2006 | 156,179 | |||||||||||||
1,000,000 | 6.63 | 05/15/2007 | 1,058,100 | |||||||||||||
2,500,000 | 6.13 | 08/15/2007 | 2,634,375 | |||||||||||||
7,100,000 | 5.63 | 05/15/2008 | 7,480,559 | |||||||||||||
3,000,000 | 5.50 | 05/15/2009 | 3,189,480 | |||||||||||||
3,000,000 | 6.00 | 08/15/2009 | 3,253,008 | |||||||||||||
1,000,000 | 6.50 | 02/15/2010 | 1,113,360 | |||||||||||||
500,000 | 5.00 | 02/15/2011 | 527,125 | |||||||||||||
United States Treasury Principal-Only Stripped Securities(g) | ||||||||||||||||
16,900,000 | 0.00 | 05/15/2017 | 9,895,288 | |||||||||||||
560,000 | 0.00 | 05/15/2018 | 311,410 | |||||||||||||
28,100,000 | 0.00 | 05/15/2020 | 14,085,406 | |||||||||||||
89,900,000 | 0.00 | 08/15/2020 | 44,283,840 | |||||||||||||
21,700,000 | 0.00 | 05/15/2021 | 10,261,279 | |||||||||||||
16,800,000 | 0.00 | 08/15/2021 | 7,849,632 | |||||||||||||
43,750,000 | 0.00 | 11/15/2021 | 20,186,250 | |||||||||||||
TOTAL U.S. TREASURY OBLIGATIONS | ||||||||||||||||
(Cost $170,397,353) | $ | 178,357,022 | ||||||||||||||
TOTAL INVESTMENTS BEFORE REPURCHASE AGREEMENT— 88.9% | ||||||||||||||||
(Cost $1,552,897,472) | $ | 1,571,887,635 | ||||||||||||||
Repurchase Agreement(h) – 36.6% | ||||||||||||||||
Joint Repurchase Agreement Account II | ||||||||||||||||
$ | 648,000,000 | 2.97 | % | 05/02/2005 | $ | 648,000,000 | ||||||||||
Maturity Value: $648,160,218 | ||||||||||||||||
(Cost $648,000,000) | ||||||||||||||||
TOTAL INVESTMENTS — 125.5% | ||||||||||||||||
(Cost $2,200,897,472) | $ | 2,219,887,635 | ||||||||||||||
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
(a) | 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 amounts to $63,780,105, which represents approximately 3.6% of net assets as of April 30, 2005. | |
(b) | Perpetual Maturity. Maturity date presented represents the next call date. | |
(c) | Variable rate security. Interest rate disclosed is that which is in effect at April 30, 2005. | |
(d) | 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. | |
(e) | TBA (To Be Announced) Securities are purchased on a forward commitment basis with an approximate (generally +/-2.5%) principal amount and no defined maturity date. The actual principal and maturity date will be determined upon settlement when the specific mortgage pools are assigned. | |
(f) | A portion of this security is segregated as collateral for initial margin requirement on futures transactions. | |
(g) | Security issued with a zero coupon. Income is recognized through the accretion of discount. | |
(h) | Joint repurchase agreement was entered into on April 29, 2005. | |
(i) | The principal amount of the security is stated in the currency in which the bond is denominated. See below. EUR=Euro Currency. |
Investment Abbreviations: | ||||||
LIBOR | — | London Interbank Offered Rate | ||||
REIT | — | Real Estate Investment Trust | ||||
REMIC | — | Real Estate Mortgage Investment Conduit | ||||
61
ADDITIONAL INVESTMENT INFORMATION |
JOINT REPURCHASE AGREEMENT ACCOUNT II — At April 30, 2005, the Fund had an undivided interest in the following Joint Repurchase Agreement Account II which equaled $648,000,000 in principal amount.
Principal | Interest | Maturity | Maturity | |||||||||||
Repurchase Agreements | Amount | Rate | Date | Value | ||||||||||
Banc of America Securities LLC | $ | 900,000,000 | 2.97 | % | 05/02/2005 | $ | 900,222,750 | |||||||
Barclays Capital PLC | 1,700,000,000 | 2.97 | 05/02/2005 | 1,700,420,750 | ||||||||||
Bear Stearns & Co. | 300,000,000 | 2.98 | 05/02/2005 | 300,074,500 | ||||||||||
Deutsche Bank Securities, Inc. | 610,000,000 | 2.97 | 05/02/2005 | 610,150,975 | ||||||||||
Greenwich Capital Markets | 400,000,000 | 2.97 | 05/02/2005 | 400,099,000 | ||||||||||
Merrill Lynch | 250,000,000 | 2.97 | 05/02/2005 | 250,061,875 | ||||||||||
Morgan Stanley & Co. | 1,411,700,000 | 2.97 | 05/02/2005 | 1,412,049,396 | ||||||||||
UBS Securities LLC | 750,000,000 | 2.95 | 05/02/2005 | 750,184,375 | ||||||||||
UBS Securities LLC | 450,000,000 | 2.96 | 05/02/2005 | 450,111,000 | ||||||||||
Westdeutsche Landesbank AG | 900,000,000 | 2.97 | 05/02/2005 | 900,222,750 | ||||||||||
TOTAL | $ | 7,671,700,000 | $ | 7,673,597,371 | ||||||||||
At April 30, 2005, the Joint Repurchase Agreement Account II was fully collateralized by Federal Home Loan Bank, 0.00% to 14.00%, due 08/15/2005 to 03/23/2015; Federal Home Loan Mortgage Association, 0.00% to 12.25%, due 07/12/2005 to 05/01/2035; Federal National Mortgage Association, 0.00% to 15.50%, due 05/04/2005 to 05/01/2035; and Government National Mortgage Association, 4.50% to 6.50%, due 05/15/2018 to 04/20/2035. |
62
ADDITIONAL INVESTMENT INFORMATION (continued) |
FORWARD FOREIGN CURRENCY CONTRACTS — At April 30, 2005, the Core Fixed Income Fund had outstanding forward foreign currency exchange contracts, both to purchase and sell foreign currencies as follows:
Unrealized | ||||||||||||||||||||
Open Forward Foreign Currency | Expiration | Value on | ||||||||||||||||||
Purchase Contracts | Date | Settlement Date | Current Value | Gain | Loss | |||||||||||||||
Australian Dollar | 06/15/2005 | $ | 16,341,000 | $ | 16,597,522 | $ | 256,522 | $ | — | |||||||||||
Canadian Dollar | 06/15/2005 | 5,512,000 | 5,431,860 | — | 80,140 | |||||||||||||||
Euro | 06/15/2005 | 5,481,000 | 5,395,047 | — | 85,953 | |||||||||||||||
Great Britain Pound | 06/15/2005 | 11,097,000 | 11,085,243 | — | 11,757 | |||||||||||||||
Japanese Yen | 06/15/2005 | 5,585,000 | 5,642,277 | 57,277 | — | |||||||||||||||
Norwegian Krone | 06/15/2005 | 21,771,000 | 21,699,224 | — | 71,776 | |||||||||||||||
TOTAL OPEN FORWARD FOREIGN CURRENCY PURCHASE CONTRACTS | $ | 65,787,000 | $ | 65,851,173 | $ | 313,799 | $ | 249,626 | ||||||||||||
Unrealized | ||||||||||||||||||||
Open Forward Foreign Currency | Expiration | Value on | ||||||||||||||||||
Sale Contracts | Date | Settlement Date | Current Value | Gain | Loss | |||||||||||||||
Canadian Dollar | 06/15/2005 | $ | 10,911,000 | $ | 10,774,320 | $ | 136,680 | $ | — | |||||||||||
Euro | 05/27/2005 | 3,511,565 | 3,497,507 | 14,058 | — | |||||||||||||||
Euro | 06/15/2005 | 5,512,000 | 5,472,298 | 39,702 | — | |||||||||||||||
Great Britain Pound | 06/15/2005 | 5,430,000 | 5,459,040 | — | 29,040 | |||||||||||||||
Japanese Yen | 06/15/2005 | 5,430,000 | 5,572,075 | — | 142,075 | |||||||||||||||
Swedish Krona | 06/15/2005 | 5,430,000 | 5,382,342 | 47,658 | — | |||||||||||||||
Swiss Franc | 06/15/2005 | 32,632,000 | 32,492,220 | 139,780 | — | |||||||||||||||
TOTAL OPEN FORWARD FOREIGN CURRENCY SALE CONTRACTS | $ | 68,856,565 | $ | 68,649,802 | $ | 377,878 | $ | 171,115 | ||||||||||||
63
ADDITIONAL INVESTMENT INFORMATION (continued) |
FUTURES CONTRACTS — At April 30, 2005, the following futures contacts were open as follows:
Number of | ||||||||||||||||
Contracts | Settlement | Unrealized | ||||||||||||||
Type | Long (Short) | Month | Market Value | Gain (Loss) | ||||||||||||
Eurodollars | 264 | June 2005 | $ | 63,739,500 | $ | 33,052 | ||||||||||
Eurodollars | 308 | September 2005 | 74,116,350 | (66,143 | ) | |||||||||||
Eurodollars | 511 | December 2005 | 122,723,038 | (234,307 | ) | |||||||||||
Eurodollars | 90 | March 2006 | 21,586,500 | 10,974 | ||||||||||||
Eurodollars | 113 | June 2006 | 27,071,975 | (84,417 | ) | |||||||||||
Eurodollars | (184 | ) | September 2006 | (44,040,400 | ) | 30,892 | ||||||||||
Eurodollars | (476 | ) | December 2006 | (113,841,350 | ) | 293,891 | ||||||||||
Eurodollars | 50 | March 2007 | 11,955,000 | (22,893 | ) | |||||||||||
Eurodollars | 40 | June 2007 | 9,560,500 | (6,734 | ) | |||||||||||
U.S. Treasury Bonds | 667 | June 2005 | 76,600,781 | 2,138,051 | ||||||||||||
2 Year U.S. Treasury Notes | 292 | June 2005 | 60,649,313 | 18,166 | ||||||||||||
5 Year U.S. Treasury Notes | (1,470 | ) | June 2005 | (159,426,094 | ) | 207,739 | ||||||||||
10 Year German Federal Republic Bonds | 808 | June 2005 | 125,490,477 | 142,794 | ||||||||||||
10 Year U.S. Treasury Notes | 1 | June 2005 | 111,422 | 529 | ||||||||||||
$ | 276,297,012 | $ | 2,461,594 | |||||||||||||
64
ADDITIONAL INVESTMENT INFORMATION (continued) |
SWAP CONTRACTS — At April 30, 2005, the Core Fixed Income Fund had outstanding swap contracts with the following terms:
Rate Type | ||||||||||||||||||||||||||
Notional | Payments | Payments | ||||||||||||||||||||||||
Swap | Amount | Termination | received by | made by | Unrealized | |||||||||||||||||||||
Swap Type | Counterparty | (000s) | Date | the Fund | the Fund | Gain (Loss) | ||||||||||||||||||||
Interest Rate | Banc of America Securities LLC | $ | 60,000 | 12/27/2006 | 3.43% | 3 month LIBOR Floating | $ | 48,169 | ||||||||||||||||||
Interest Rate | Banc of America Securities LLC | 281,330 | 05/06/2008 | 4.35% | 3 month LIBOR Floating | — | ||||||||||||||||||||
Interest Rate | Banc of America Securities LLC | 100,000 | 10/14/2008 | 3.51% | 3 month LIBOR Floating | (2,217,960 | ) | |||||||||||||||||||
Interest Rate | Banc of America Securities LLC | 93,000 | 04/21/2010 | 4.29% | 3 month LIBOR Floating | (198,384 | ) | |||||||||||||||||||
Interest Rate | Banc of America Securities LLC | 120,500 | 05/04/2011 | 3 month LIBOR Floating | 4.53% | — | ||||||||||||||||||||
Interest Rate | Banc of America Securities LLC | 65,000 | 04/19/2012 | 4.55% | 3 month LIBOR Floating | 302,960 | ||||||||||||||||||||
Interest Rate | Banc of America Securities LLC | 20,000 | 11/12/2019 | 3 month LIBOR Floating | 5.07% | (873,351 | ) | |||||||||||||||||||
Interest Rate | Banc of America Securities LLC | 80,000 | 03/23/2020 | 3 month LIBOR Floating | 5.11% | (2,516,738 | ) | |||||||||||||||||||
Interest Rate | Banc of America Securities LLC | 9,000 | 03/30/2035 | 5.32% | 3 month LIBOR Floating | 472,996 | ||||||||||||||||||||
Interest Rate | Banc of America Securities LLC | 10,000 | 04/09/2035 | 5.27% | 3 month LIBOR Floating | 434,661 | ||||||||||||||||||||
TOTAL | $ | (4,547,647 | ) | |||||||||||||||||||||||
65
Statement of Investments
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Corporate Bonds – 94.8% | ||||||||||||||||
Aerospace & Defense(a) – 0.3% | ||||||||||||||||
Bombardier Capital, Inc. | ||||||||||||||||
$ | 450,000 | 6.13 | % | 06/29/2006 | $ | 447,750 | ||||||||||
Automotive – 5.2% | ||||||||||||||||
DaimlerChrysler NA Holding Corp. | ||||||||||||||||
$ | 380,000 | 3.45 | %(b) | 09/10/2007 | $ | 376,181 | ||||||||||
400,000 | 6.50 | 11/15/2013 | 407,915 | |||||||||||||
Dana Corp.(a) | ||||||||||||||||
850,000 | 5.85 | 01/15/2015 | 693,206 | |||||||||||||
Ford Motor Co. | ||||||||||||||||
25,000 | 6.63 | 10/01/2028 | 19,110 | |||||||||||||
Ford Motor Credit Co. | ||||||||||||||||
1,625,000 | 6.88 | 02/01/2006 | 1,643,713 | |||||||||||||
3,450,000 | 5.70 | 01/15/2010 | 3,125,136 | |||||||||||||
General Motors Acceptance Corp. | ||||||||||||||||
700,000 | 6.75 | 01/15/2006 | 705,181 | |||||||||||||
EUR 325,000 | (f) | 4.00 | 02/09/2006 | 411,296 | ||||||||||||
150,000 | (f) | 5.75 | 02/14/2006 | 191,067 | ||||||||||||
$ | 7,572,805 | |||||||||||||||
Banks – 20.0% | ||||||||||||||||
ANZ Capital Trust I(a)(c) | ||||||||||||||||
$ | 325,000 | 4.48 | % | 01/15/2010 | $ | 320,640 | ||||||||||
800,000 | 5.36 | 12/15/2013 | 809,136 | |||||||||||||
Associates Corp. NA(d) | ||||||||||||||||
107,000 | 8.55 | 07/15/2009 | 123,634 | |||||||||||||
Astoria Financial Corp. | ||||||||||||||||
225,000 | 5.75 | 10/15/2012 | 234,005 | |||||||||||||
Banca Popolare di Bergamo Capital Trust(b)(c)(f) | ||||||||||||||||
EUR 475,000 | 8.36 | 02/15/2011 | 747,014 | |||||||||||||
Bank of America Corp. | ||||||||||||||||
USD 937,000 | 7.80 | 02/15/2010 | 1,071,260 | |||||||||||||
250,000 | 7.40 | 01/15/2011 | 284,446 | |||||||||||||
Bank One Corp. | ||||||||||||||||
250,000 | 6.38 | 01/30/2009 | 267,134 | |||||||||||||
Bank United Corp. | ||||||||||||||||
250,000 | 8.88 | 05/01/2007 | 271,149 | |||||||||||||
Chase Manhattan Corp. | ||||||||||||||||
500,000 | 6.50 | 01/15/2009 | 534,770 | |||||||||||||
Chuo Mitsui Trust & Banking(a)(b)(c) | ||||||||||||||||
875,000 | 5.51 | 04/15/2015 | 836,447 | |||||||||||||
Citigroup, Inc. | ||||||||||||||||
200,000 | 7.25 | 10/15/2011 | 229,145 | |||||||||||||
Credit Suisse First Boston London(a)(b)(c) | ||||||||||||||||
215,000 | 7.90 | 05/01/2007 | 229,038 | |||||||||||||
Credit Suisse First Boston New York(a) | ||||||||||||||||
500,000 | 6.50 | 05/01/2008 | 528,964 | |||||||||||||
Credit Suisse First Boston USA, Inc. | ||||||||||||||||
500,000 | 4.70 | 06/01/2009 | 503,435 | |||||||||||||
250,000 | 4.13 | 01/15/2010 | 245,389 | |||||||||||||
Danske Bank A/S(a)(b) | ||||||||||||||||
300,000 | 7.40 | 06/15/2010 | 319,174 | |||||||||||||
Development Bank of Singapore Ltd.(a)(b) | ||||||||||||||||
900,000 | 5.00 | 11/15/2019 | 889,716 | |||||||||||||
Fleet Boston Financial Corp. | ||||||||||||||||
500,000 | 7.38 | 12/01/2009 | 560,165 | |||||||||||||
ForeningSparbanken AB (Swedbank)(a)(b)(c) | ||||||||||||||||
$ | 500,000 | 7.50 | % | 11/01/2006 | $ | 524,206 | ||||||||||
Greenpoint Bank | ||||||||||||||||
150,000 | 9.25 | 10/01/2010 | 182,041 | |||||||||||||
GreenPoint Financial Corp. | ||||||||||||||||
600,000 | 3.20 | 06/06/2008 | 582,294 | |||||||||||||
HBOS Capital Funding LP(a)(b)(c) | ||||||||||||||||
650,000 | 6.07 | 06/30/2014 | 688,202 | |||||||||||||
HBOS PLC(a)(b)(c) | ||||||||||||||||
2,250,000 | 5.38 | 11/01/2013 | 2,280,863 | |||||||||||||
HSBC Capital Funding LP(a)(b)(c) | ||||||||||||||||
1,050,000 | 4.61 | 06/27/2013 | 1,005,851 | |||||||||||||
HSBC USA, Inc. | ||||||||||||||||
250,000 | 6.63 | 03/01/2009 | 267,813 | |||||||||||||
Huntington National Bank | ||||||||||||||||
750,000 | 3.13 | 05/15/2008 | 724,036 | |||||||||||||
J.P. Morgan Chase & Co. | ||||||||||||||||
425,000 | 6.38 | 04/01/2008 | 448,279 | |||||||||||||
400,000 | 6.63 | 03/15/2012 | 442,336 | |||||||||||||
Key Bank N.A. | ||||||||||||||||
1,900,000 | 4.41 | 03/18/2008 | 1,909,979 | |||||||||||||
MIZUHO Financial Group (Cayman)(a) | ||||||||||||||||
925,000 | 5.79 | 04/15/2014 | 956,931 | |||||||||||||
Nordbanken AB(a)(b)(c) | ||||||||||||||||
670,000 | 8.95 | 11/12/2009 | 784,901 | |||||||||||||
PNC Funding Corp. | ||||||||||||||||
125,000 | 6.88 | 07/15/2007 | 132,216 | |||||||||||||
400,000 | 6.13 | 02/15/2009 | 422,480 | |||||||||||||
600,000 | 7.50 | 11/01/2009 | 671,174 | |||||||||||||
Popular N.A. Capital Trust I | ||||||||||||||||
300,000 | 6.56 | 09/15/2034 | 311,903 | |||||||||||||
Popular North America, Inc. | ||||||||||||||||
156,000 | 6.13 | 10/15/2006 | 160,547 | |||||||||||||
495,000 | 4.25 | 04/01/2008 | 494,589 | |||||||||||||
150,000 | 3.88 | 10/01/2008 | 146,810 | |||||||||||||
RBS Capital Trust II(b)(c) | ||||||||||||||||
1,000,000 | 5.51 | 09/30/2014 | 1,018,654 | |||||||||||||
Royal Bank of Scotland Group PLC(c) | ||||||||||||||||
200,000 | 7.82 | 12/31/2005 | 205,601 | |||||||||||||
250,000 | 7.38 | (b) | 04/01/2006 | 257,157 | ||||||||||||
400,000 | 9.12 | 04/01/2006 | 476,670 | |||||||||||||
Sovereign Bank | ||||||||||||||||
278,663 | 10.20 | (a) | 06/30/2005 | 280,246 | ||||||||||||
1,000,000 | 4.00 | 02/01/2008 | 987,994 | |||||||||||||
575,000 | 5.13 | 03/15/2013 | 574,134 | |||||||||||||
455,000 | 4.38 | (b) | 08/01/2013 | 448,639 | ||||||||||||
Unicredito Italiano Capital Trust(a)(b)(c) | ||||||||||||||||
500,000 | 9.20 | 10/05/2010 | 603,698 | |||||||||||||
Union Planters Corp. | ||||||||||||||||
160,000 | 7.75 | 03/01/2011 | 185,094 | |||||||||||||
Washington Mutual, Inc. | ||||||||||||||||
975,000 | 4.00 | 01/15/2009 | 957,080 | |||||||||||||
1,000,000 | 5.00 | 03/22/2012 | 1,013,086 | |||||||||||||
$ | 29,150,165 | |||||||||||||||
66
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Corporate Bonds – (continued) | ||||||||||||||||
Brokerage – 2.1% | ||||||||||||||||
Lehman Brothers Holdings, Inc. | ||||||||||||||||
$ | 1,400,000 | 4.25 | % | 01/27/2010 | $ | 1,381,994 | ||||||||||
Morgan Stanley | ||||||||||||||||
1,100,000 | 4.00 | 01/15/2010 | 1,071,187 | |||||||||||||
550,000 | 5.30 | 03/01/2013 | 560,634 | |||||||||||||
$ | 3,013,815 | |||||||||||||||
Captive Financial – 0.6% | ||||||||||||||||
John Deere Capital Corp. | ||||||||||||||||
$ | 930,000 | 3.90 | % | 01/15/2008 | $ | 920,346 | ||||||||||
Chemicals – 1.8% | ||||||||||||||||
Cytec Industries, Inc. | ||||||||||||||||
$ | 1,000,000 | 6.75 | % | 03/15/2008 | $ | 1,062,105 | ||||||||||
Dow Chemical Co. | ||||||||||||||||
400,000 | 8.63 | 04/01/2006 | 415,247 | |||||||||||||
Lubrizol Corp. | ||||||||||||||||
1,050,000 | 4.63 | 10/01/2009 | 1,040,680 | |||||||||||||
75,000 | 5.50 | 10/01/2014 | 76,263 | |||||||||||||
50,000 | 7.25 | 06/15/2025 | 56,481 | |||||||||||||
$ | 2,650,776 | |||||||||||||||
Consumer Cyclical Services – 0.2% | ||||||||||||||||
Cendant Corp. | ||||||||||||||||
$ | 250,000 | 6.25 | % | 01/15/2008 | $ | 260,340 | ||||||||||
Diversified Manufacturing – 2.7% | ||||||||||||||||
Tyco International Group Participation Certificate(a) | ||||||||||||||||
$ | 2,350,000 | 4.44 | % | 06/15/2007 | $ | 2,356,998 | ||||||||||
Tyco International Group SA | ||||||||||||||||
75,000 | 6.38 | 06/15/2005 | 75,218 | |||||||||||||
325,000 | 5.80 | 08/01/2006 | 331,677 | |||||||||||||
650,000 | 6.38 | 10/15/2011 | 704,366 | |||||||||||||
450,000 | 7.00 | 06/15/2028 | 526,143 | |||||||||||||
$ | 3,994,402 | |||||||||||||||
Electric – 6.1% | ||||||||||||||||
Calenergy, Inc. | ||||||||||||||||
$ | 125,000 | 7.23 | % | 09/15/2005 | $ | 126,643 | ||||||||||
1,575,000 | 7.63 | 10/15/2007 | 1,687,549 | |||||||||||||
280,000 | 7.52 | 09/15/2008 | 303,042 | |||||||||||||
Centerpoint Energy, Inc. | ||||||||||||||||
100,000 | 5.88 | 06/01/2008 | 103,497 | |||||||||||||
350,000 | 7.25 | 09/01/2010 | 385,544 | |||||||||||||
FirstEnergy Corp. | ||||||||||||||||
175,000 | 5.50 | 11/15/2006 | 178,237 | |||||||||||||
1,220,000 | 7.38 | 11/15/2031 | 1,437,819 | |||||||||||||
MidAmerican Energy Holdings Co. | ||||||||||||||||
150,000 | 5.88 | 10/01/2012 | 155,716 | |||||||||||||
Nisource Finance Corp.(b) | ||||||||||||||||
500,000 | 3.43 | 11/23/2009 | 502,864 | |||||||||||||
Southern California Edison Co. | ||||||||||||||||
400,000 | 6.38 | 01/15/2006 | 406,998 | |||||||||||||
TXU Corp.(a) | ||||||||||||||||
2,850,000 | 4.80 | 11/15/2009 | 2,793,664 | |||||||||||||
300,000 | 6.50 | 11/15/2024 | 296,109 | |||||||||||||
Western Resources, Inc. | ||||||||||||||||
$ | 500,000 | 7.88 | % | 05/01/2007 | $ | 532,888 | ||||||||||
$ | 8,910,570 | |||||||||||||||
Entertainment – 2.3% | ||||||||||||||||
Time Warner Entertainment Co. LP | ||||||||||||||||
$ | 325,000 | 7.25 | % | 09/01/2008 | $ | 350,860 | ||||||||||
1,290,000 | 8.38 | 03/15/2023 | 1,620,296 | |||||||||||||
Viacom, Inc. | ||||||||||||||||
455,000 | 7.75 | 06/01/2005 | 456,430 | |||||||||||||
950,000 | 6.40 | 01/30/2006 | 967,786 | |||||||||||||
$ | 3,395,372 | |||||||||||||||
Environmental – 0.6% | ||||||||||||||||
Waste Management, Inc. | ||||||||||||||||
$ | 775,000 | 7.38 | % | 08/01/2010 | $ | 869,701 | ||||||||||
Food & Beverage – 1.6% | ||||||||||||||||
Cargill, Inc.(a) | ||||||||||||||||
$ | 300,000 | 3.63 | % | 03/04/2009 | $ | 293,250 | ||||||||||
Nabisco, Inc. | ||||||||||||||||
929,000 | 7.05 | 07/15/2007 | 983,107 | |||||||||||||
Tyson Foods, Inc. | ||||||||||||||||
645,000 | 7.25 | 10/01/2006 | 672,681 | |||||||||||||
350,000 | 8.25 | 10/01/2011 | 410,346 | |||||||||||||
$ | 2,359,384 | |||||||||||||||
Food & Drug Retailing – 0.2% | ||||||||||||||||
Kroger Co. | ||||||||||||||||
$ | 250,000 | 7.45 | % | 03/01/2008 | $ | 269,163 | ||||||||||
Gaming – 1.2% | ||||||||||||||||
Harrahs Operating Co., Inc. | ||||||||||||||||
$ | 1,425,000 | 7.50 | % | 01/15/2009 | $ | 1,551,883 | ||||||||||
125,000 | 5.38 | 12/15/2013 | 124,374 | |||||||||||||
$ | 1,676,257 | |||||||||||||||
Health Care – 0.3% | ||||||||||||||||
Anthem, Inc. | ||||||||||||||||
$ | 275,000 | 4.88 | % | 08/01/2005 | $ | 275,626 | ||||||||||
HCA, Inc. | ||||||||||||||||
175,000 | 5.25 | 11/06/2008 | 174,944 | |||||||||||||
$ | 450,570 | |||||||||||||||
Integrated – 0.9% | ||||||||||||||||
Amerada Hess Corp. | ||||||||||||||||
$ | 500,000 | 5.90 | % | 08/15/2006 | $ | 507,955 | ||||||||||
750,000 | 7.13 | 03/15/2033 | 843,568 | |||||||||||||
$ | 1,351,523 | |||||||||||||||
Life Insurance – 6.0% | ||||||||||||||||
Assurant, Inc. | ||||||||||||||||
$ | 125,000 | 6.75 | % | 02/15/2034 | $ | 140,254 | ||||||||||
AXA Financial, Inc. | ||||||||||||||||
130,000 | 6.50 | 04/01/2008 | 137,379 | |||||||||||||
670,000 | 7.75 | 08/01/2010 | 759,587 | |||||||||||||
Hartford Financial Services Group, Inc. | ||||||||||||||||
1,025,000 | 2.38 | 06/01/2006 | 1,008,439 | |||||||||||||
67
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Corporate Bonds – (continued) | ||||||||||||||||
Life Insurance – (continued) | ||||||||||||||||
Hartford Life, Inc. | ||||||||||||||||
$ | 225,000 | 7.10 | % | 06/15/2007 | $ | 237,624 | ||||||||||
ING Security Life Institutional Funding(a) | ||||||||||||||||
600,000 | 4.25 | 01/15/2010 | 596,147 | |||||||||||||
John Hancock Financial Services, Inc. | ||||||||||||||||
250,000 | 5.63 | 12/01/2008 | 260,013 | |||||||||||||
Monumental Global Funding(a) | ||||||||||||||||
425,000 | 5.20 | 01/30/2007 | 433,873 | |||||||||||||
Pricoa Global Funding I(a) | ||||||||||||||||
600,000 | 4.20 | 01/15/2010 | 592,402 | |||||||||||||
Principal Financial Group Australia(a) | ||||||||||||||||
1,100,000 | 8.20 | 08/15/2009 | 1,244,860 | |||||||||||||
Principal Life Global Funding I(a) | ||||||||||||||||
100,000 | 3.63 | 04/30/2008 | 98,398 | |||||||||||||
Prudential Financial, Inc.(b) | ||||||||||||||||
50,000 | 4.10 | 11/15/2006 | 50,308 | |||||||||||||
Prudential Funding LLC(a) | ||||||||||||||||
525,000 | 6.60 | 05/15/2008 | 559,047 | |||||||||||||
Prudential Insurance Co.(a) | ||||||||||||||||
200,000 | 7.65 | 07/01/2007 | 214,122 | |||||||||||||
Reinsurance Group of America, Inc. | ||||||||||||||||
625,000 | 6.75 | 12/15/2011 | 666,450 | |||||||||||||
Reliastar Financial Corp. | ||||||||||||||||
400,000 | 8.00 | 10/30/2006 | 423,140 | |||||||||||||
200,000 | 6.50 | 11/15/2008 | 213,638 | |||||||||||||
The Mony Group, Inc. | ||||||||||||||||
1,000,000 | 8.35 | 03/15/2010 | 1,153,297 | |||||||||||||
�� | $ | 8,788,978 | ||||||||||||||
Lodging – 0.5% | ||||||||||||||||
Hilton Hotels Corp. | ||||||||||||||||
$ | 150,000 | 7.63 | % | 05/15/2008 | $ | 162,714 | ||||||||||
425,000 | 7.63 | 12/01/2012 | 483,077 | |||||||||||||
$ | 645,791 | |||||||||||||||
Media – Cable – 6.2% | ||||||||||||||||
Comcast Cable Communications Holdings, Inc. | ||||||||||||||||
$ | 575,000 | 6.88 | % | 06/15/2009 | $ | 623,731 | ||||||||||
2,415,000 | 9.46 | 11/15/2022 | 3,383,085 | |||||||||||||
Cox Communications, Inc. | ||||||||||||||||
1,550,000 | 4.63 | (a) | 01/15/2010 | 1,527,455 | ||||||||||||
150,000 | 6.95 | 01/15/2028 | 161,861 | |||||||||||||
Cox Enterprises, Inc.(a) | ||||||||||||||||
3,275,000 | 4.38 | 05/01/2008 | 3,245,456 | |||||||||||||
Lenfest Communications, Inc. | ||||||||||||||||
25,000 | 8.38 | 11/01/2005 | 25,514 | |||||||||||||
TCI Communications, Inc. | ||||||||||||||||
75,000 | 8.00 | 08/01/2005 | 75,810 | |||||||||||||
$ | 9,042,912 | |||||||||||||||
Media – Non Cable – 0.7% | ||||||||||||||||
Clear Channel Communications, Inc. | ||||||||||||||||
$ | 650,000 | 8.00 | % | 11/01/2008 | $ | 702,091 | ||||||||||
News America, Inc. | ||||||||||||||||
250,000 | 7.13 | 04/08/2028 | 278,791 | |||||||||||||
$ | 980,882 | |||||||||||||||
Noncaptive – Financial — 7.6% | ||||||||||||||||
Aiful Corp.(a) | ||||||||||||||||
$ | 200,000 | 4.45 | % | 02/16/2010 | $ | 197,649 | ||||||||||
American General Finance Corp. | ||||||||||||||||
517,000 | 4.50 | 11/15/2007 | 517,935 | |||||||||||||
275,000 | 2.75 | 06/15/2008 | 260,864 | |||||||||||||
250,000 | 8.45 | 10/15/2009 | 282,375 | |||||||||||||
Capital One Bank | ||||||||||||||||
325,000 | 5.00 | 06/15/2009 | 328,441 | |||||||||||||
Capital One Financial Corp. | ||||||||||||||||
935,000 | 8.75 | 02/01/2007 | 1,001,678 | |||||||||||||
200,000 | 4.80 | 02/21/2012 | 196,448 | |||||||||||||
Citigroup, Inc. | ||||||||||||||||
513,000 | 5.00 | 09/15/2014 | 515,734 | |||||||||||||
Countrywide Home Loan, Inc. | ||||||||||||||||
800,000 | 5.63 | 05/15/2007 | 820,130 | |||||||||||||
2,500,000 | 6.25 | 04/15/2009 | 2,650,080 | |||||||||||||
GATX Financial Corp. | ||||||||||||||||
300,000 | 5.13 | 04/15/2010 | 302,557 | |||||||||||||
General Electric Capital Corp. | ||||||||||||||||
1,000,000 | 4.00 | 02/17/2009 | 989,083 | |||||||||||||
Heller Financial, Inc. | ||||||||||||||||
800,000 | 7.38 | 11/01/2009 | 896,109 | |||||||||||||
HSBC Finance Corp. | ||||||||||||||||
669,000 | 4.13 | 11/16/2009 | 656,288 | |||||||||||||
PHH Corp. | ||||||||||||||||
1,450,000 | 6.00 | 03/01/2008 | 1,497,286 | |||||||||||||
$ | 11,112,657 | |||||||||||||||
Pipelines – 1.9% | ||||||||||||||||
CenterPoint Energy Resources Corp. | ||||||||||||||||
$ | 600,000 | 7.88 | % | 04/01/2013 | $ | 706,651 | ||||||||||
550,000 | 5.95 | 01/15/2014 | 576,831 | |||||||||||||
Magellan Midstream Partners | ||||||||||||||||
1,200,000 | 6.45 | 06/01/2014 | 1,298,072 | |||||||||||||
Panhandle Eastern Pipeline | ||||||||||||||||
150,000 | 4.80 | 08/15/2008 | 150,112 | |||||||||||||
$ | 2,731,666 | |||||||||||||||
Property/ Casualty Insurance – 5.0% | ||||||||||||||||
Ace Capital Trust II | ||||||||||||||||
$ | 150,000 | 9.70 | % | 04/01/2030 | $ | 202,633 | ||||||||||
ACE INA Holdings, Inc. | ||||||||||||||||
535,000 | 8.30 | 08/15/2006 | 562,937 | |||||||||||||
100,000 | 5.88 | 06/15/2014 | 103,034 | |||||||||||||
ACE Ltd | ||||||||||||||||
400,000 | 6.00 | 04/01/2007 | 412,059 | |||||||||||||
Arch Capital Group Ltd | ||||||||||||||||
925,000 | 7.35 | 05/01/2034 | 1,031,469 | |||||||||||||
Asif Global Financial XXIII(a) | ||||||||||||||||
1,000,000 | 3.90 | 10/22/2008 | 979,823 | |||||||||||||
Axis Capital Holdings Ltd | ||||||||||||||||
300,000 | 5.75 | 12/01/2014 | 303,337 | |||||||||||||
CNA Financial Corp. | ||||||||||||||||
520,000 | 6.75 | 11/15/2006 | 537,914 | |||||||||||||
350,000 | 6.60 | 12/15/2008 | 369,397 | |||||||||||||
25,000 | 5.85 | 12/15/2014 | 25,370 | |||||||||||||
68
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Corporate Bonds – (continued) | ||||||||||||||||
Property/ Casualty Insurance – (continued) | ||||||||||||||||
CNA Financial Corp. | ||||||||||||||||
$ | 125,000 | 6.95 | % | 01/15/2018 | $ | 135,748 | ||||||||||
Endurance Specialty Holdings Ltd. | ||||||||||||||||
425,000 | 7.00 | 07/15/2034 | 469,570 | |||||||||||||
Hartford Financial Services Group, Inc. | ||||||||||||||||
350,000 | 6.38 | 11/01/2008 | 369,661 | |||||||||||||
Liberty Mutual Group(a) | ||||||||||||||||
525,000 | 7.00 | 03/15/2034 | 542,203 | |||||||||||||
QBE Insurance Group Ltd.(a) (b) | ||||||||||||||||
855,000 | 5.65 | 07/01/2023 | 860,144 | |||||||||||||
SAFECO Corp. | ||||||||||||||||
224,000 | 6.88 | 07/15/2007 | 235,513 | |||||||||||||
Zurich Capital Trust I(a) | ||||||||||||||||
125,000 | 8.38 | 06/01/2037 | 135,480 | |||||||||||||
$ | 7,276,292 | |||||||||||||||
Railroads – 2.1% | ||||||||||||||||
CSX Corp. | ||||||||||||||||
$ | 200,000 | 7.45 | % | 05/01/2007 | $ | 211,946 | ||||||||||
350,000 | 6.25 | 10/15/2008 | 369,698 | |||||||||||||
200,000 | 5.50 | 08/01/2013 | 207,393 | |||||||||||||
Union Pacific Corp. | ||||||||||||||||
2,000,000 | 7.38 | 09/15/2009 | 2,204,684 | |||||||||||||
$ | 2,993,721 | |||||||||||||||
REITs – 6.6% | ||||||||||||||||
Arden Reality LP | ||||||||||||||||
$ | 310,000 | 5.20 | % | 09/01/2011 | $ | 311,726 | ||||||||||
Brandywine Operating Partnership LP | ||||||||||||||||
775,000 | 4.50 | 11/01/2009 | 756,727 | |||||||||||||
EOP Operating LP | ||||||||||||||||
802,000 | 7.75 | 11/15/2007 | 864,790 | |||||||||||||
ERP Operating LP | ||||||||||||||||
250,000 | 6.63 | 03/15/2012 | 273,401 | |||||||||||||
Gables Realty LP | ||||||||||||||||
275,000 | 5.00 | 03/15/2010 | 276,027 | |||||||||||||
iStar Financial, Inc. | ||||||||||||||||
2,700,000 | 5.70 | 03/01/2014 | 2,681,157 | |||||||||||||
Liberty Property LP | ||||||||||||||||
225,000 | 7.75 | 04/15/2009 | 247,858 | |||||||||||||
Simon Property Group LP | ||||||||||||||||
200,000 | 6.88 | 10/27/2005 | 202,884 | |||||||||||||
100,000 | 7.38 | 01/20/2006 | 102,461 | |||||||||||||
25,000 | 7.13 | 09/20/2007 | 26,417 | |||||||||||||
200,000 | 7.00 | 06/15/2008 | 213,561 | |||||||||||||
1,000,000 | 7.13 | 02/09/2009 | 1,086,690 | |||||||||||||
200,000 | 7.75 | 01/20/2011 | 228,492 | |||||||||||||
Westfield Cap Corp. Ltd.(a)(b) | ||||||||||||||||
2,400,000 | 3.51 | 11/02/2007 | 2,405,081 | |||||||||||||
$ | 9,677,272 | |||||||||||||||
Tobacco – 2.0% | ||||||||||||||||
Altria Group, Inc. | ||||||||||||||||
$ | 1,175,000 | 7.00 | % | 11/04/2013 | $ | 1,297,884 | ||||||||||
275,000 | 7.75 | 01/15/2027 | 323,017 | |||||||||||||
Imperial Tobacco Overseas BV | ||||||||||||||||
$ | 1,200,000 | 7.13 | 04/01/2009 | 1,307,724 | ||||||||||||
$ | 2,928,625 | |||||||||||||||
Wireless Telecommunications – 2.0% | ||||||||||||||||
America Movil SA de CV | ||||||||||||||||
$ | 1,175,000 | 4.13 | % | 03/01/2009 | $ | 1,138,318 | ||||||||||
400,000 | 5.50 | 03/01/2014 | 388,602 | |||||||||||||
150,000 | 6.38 | 03/01/2035 | 138,198 | |||||||||||||
AT&T Wireless Services, Inc. | ||||||||||||||||
200,000 | 7.50 | 05/01/2007 | 212,846 | |||||||||||||
150,000 | 8.75 | 03/01/2031 | 204,642 | |||||||||||||
Intelsat | ||||||||||||||||
350,000 | 5.25 | 11/01/2008 | 317,625 | |||||||||||||
TeleCorp PCS, Inc. | ||||||||||||||||
75,000 | 10.63 | 07/15/2010 | 80,250 | |||||||||||||
Vodafone Group PLC | ||||||||||||||||
325,000 | 7.88 | 02/15/2030 | 425,200 | |||||||||||||
$ | 2,905,681 | |||||||||||||||
Wirelines Telecommunications – 8.1% | ||||||||||||||||
Alltel Corp. | ||||||||||||||||
$ | 175,000 | 4.66 | % | 05/17/2007 | $ | 176,487 | ||||||||||
Ameritech Capital Funding | ||||||||||||||||
575,000 | 6.25 | 05/18/2009 | 609,797 | |||||||||||||
Bellsouth Telecommunications, Inc. | ||||||||||||||||
426,000 | 6.13 | 09/23/2008 | 446,483 | |||||||||||||
Deutsche Telekom International Finance BV | ||||||||||||||||
300,000 | 8.25 | 06/15/2005 | 301,684 | |||||||||||||
1,010,000 | 8.75 | 06/15/2030 | 1,352,299 | |||||||||||||
France Telecom SA | ||||||||||||||||
200,000 | 7.45 | (b) | 03/01/2006 | 205,787 | ||||||||||||
EUR 175,000 | (f) | 8.13 | 01/28/2033 | 331,335 | ||||||||||||
Gte Corp. | ||||||||||||||||
$ | 1,260,000 | 7.51 | 04/01/2009 | 1,383,221 | ||||||||||||
Olivetti Finance NV | ||||||||||||||||
EUR 300,000 | (f) | 7.75 | 01/24/2033 | 528,857 | ||||||||||||
SBC Communications, Inc. | ||||||||||||||||
$ | 150,000 | 4.13 | 09/15/2009 | 147,533 | ||||||||||||
Sprint Capital Corp. | ||||||||||||||||
100,000 | 6.00 | 01/15/2007 | 102,671 | |||||||||||||
300,000 | 6.13 | 11/15/2008 | 315,348 | |||||||||||||
2,000,000 | 6.88 | 11/15/2028 | 2,237,000 | |||||||||||||
Telecom Italia Capital(a) | ||||||||||||||||
700,000 | 4.00 | 01/15/2010 | 676,202 | |||||||||||||
1,700,000 | 4.95 | 09/30/2014 | 1,659,026 | |||||||||||||
Telefonica Europe BV | ||||||||||||||||
145,000 | 7.35 | 09/15/2005 | 146,995 | |||||||||||||
TPSA Finance BV(a) | ||||||||||||||||
350,000 | 7.75 | 12/10/2008 | 386,440 | |||||||||||||
Verizon Communications, Inc. | ||||||||||||||||
600,000 | 6.36 | 04/15/2006 | 612,218 | |||||||||||||
69
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Corporate Bonds – (continued) | ||||||||||||||||
Wirelines Telecommunications – (continued) | ||||||||||||||||
Verizon Global Funding Corp. | ||||||||||||||||
$ | 100,000 | 7.60 | % | 03/15/2007 | $ | 105,493 | ||||||||||
100,000 | 4.38 | 06/01/2013 | 96,997 | |||||||||||||
$ | 11,821,873 | |||||||||||||||
TOTAL CORPORATE BONDS | ||||||||||||||||
(Cost $138,733,002) | $ | 138,199,289 | ||||||||||||||
Emerging Markets Debt – 0.3% | ||||||||||||||||
Korea Development Bank | ||||||||||||||||
$ | 150,000 | 5.75 | % | 09/10/2013 | $ | 157,387 | ||||||||||
State of Qatar | ||||||||||||||||
110,000 | 9.75 | 06/15/2030 | 164,450 | |||||||||||||
United Mexican States | ||||||||||||||||
22,000 | 8.30 | 08/15/2031 | 25,740 | |||||||||||||
44,000 | 7.50 | 04/08/2033 | 47,630 | |||||||||||||
TOTAL EMERGING MARKETS DEBT | ||||||||||||||||
(Cost $377,968) | $ | 395,207 | ||||||||||||||
TOTAL INVESTMENTS BEFORE REPURCHASE AGREEMENT— 95.1% | ||||||||||||||||
(Cost $139,110,970) | $ | 138,594,496 | ||||||||||||||
Repurchase Agreement(e) – 1.9% | ||||||||||||||||
Joint Repurchase Agreement Account II | ||||||||||||||||
$ | 2,800,000 | 2.97 | % | 05/02/2005 | $ | 2,800,000 | ||||||||||
Maturity Value: $2,800,692 | ||||||||||||||||
(Cost $2,800,000) | ||||||||||||||||
TOTAL INVESTMENTS — 97.0% | ||||||||||||||||
(Cost $141,910,970) | $ | 141,394,496 | ||||||||||||||
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
(a) | 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 amounts to $35,426,116, which represents approximately 24.3% of net assets as of April 30, 2005. | |
(b) | Variable rate security. Interest rate disclosed is that which is in effect at April 30, 2005. | |
(c) | Perpetual Maturity. Maturity date presented represents the next call date. | |
(d) | Securities with “Put” features with resetting interest rates. Maturity dates disclosed are the next interest reset dates. | |
(e) | Joint repurchase agreement was entered into on April 29, 2005. | |
(f) | The principal amount of the security is stated in the currency in which the bond is denominated. See below. EUR=Euro Currency. |
Investment Abbreviations: | ||||||
LIBOR | — | London Interbank Offered Rate | ||||
REIT | — | Real Estate Investment Trust | ||||
70
ADDITIONAL INVESTMENT INFORMATION |
JOINT REPURCHASE AGREEMENT ACCOUNT II — At April 30, 2005, the Fund had an undivided interest in the following Joint Repurchase Agreement Account II which equaled $2,800,000 in principal amount.
Principal | Interest | Maturity | Maturity | |||||||||||
Repurchase Agreements | Amount | Rate | Date | Value | ||||||||||
Banc of America Securities LLC | $ | 900,000,000 | 2.97 | % | 05/02/2005 | $ | 900,222,750 | |||||||
Barclays Capital PLC | 1,700,000,000 | 2.97 | 05/02/2005 | 1,700,420,750 | ||||||||||
Bear Stearns & Co. | 300,000,000 | 2.98 | 05/02/2005 | 300,074,500 | ||||||||||
Deutsche Bank Securities, Inc. | 610,000,000 | 2.97 | 05/02/2005 | 610,150,975 | ||||||||||
Greenwich Capital Markets | 400,000,000 | 2.97 | 05/02/2005 | 400,099,000 | ||||||||||
Merrill Lynch | 250,000,000 | 2.97 | 05/02/2005 | 250,061,875 | ||||||||||
Morgan Stanley & Co. | 1,411,700,000 | 2.97 | 05/02/2005 | 1,412,049,396 | ||||||||||
UBS Securities LLC | 750,000,000 | 2.95 | 05/02/2005 | 750,184,375 | ||||||||||
UBS Securities LLC | 450,000,000 | 2.96 | 05/02/2005 | 450,111,000 | ||||||||||
Westdeutsche Landesbank AG | 900,000,000 | 2.97 | 05/02/2005 | 900,222,750 | ||||||||||
TOTAL | $ | 7,671,700,000 | $ | 7,673,597,371 | ||||||||||
At April 30, 2005, the Joint Repurchase Agreement Account II was fully collateralized by Federal Home Loan Bank, 0.00% to 14.00%, due 08/15/2005 to 03/23/2015; Federal Home Loan Mortgage Association, 0.00% to 12.25%, due 07/12/2005 to 05/01/2035; Federal National Mortgage Association, 0.00% to 15.50%, due 05/04/2005 to 05/01/2035; and Government National Mortgage Association, 4.50% to 6.50%, due 05/15/2018 to 04/20/2035. |
71
ADDITIONAL INVESTMENT INFORMATION (continued) |
FUTURES CONTRACTS — At April 30, 2005, the following futures contacts were open as follows:
Number of | ||||||||||||||||
Contracts | Settlement | Unrealized | ||||||||||||||
Type | Long (Short) | Month | Market Value | Gain (Loss) | ||||||||||||
Eurodollars | 15 | June 2005 | $ | 3,621,563 | $ | 512 | ||||||||||
Eurodollars | 49 | September 2005 | 11,791,237 | 7,746 | ||||||||||||
Eurodollars | 25 | December 2005 | 6,004,063 | (1,855 | ) | |||||||||||
Eurodollars | 1 | March 2006 | 239,850 | 122 | ||||||||||||
Eurodollars | (19 | ) | September 2006 | (4,547,650 | ) | 3,190 | ||||||||||
Eurodollars | (10 | ) | December 2006 | (2,391,625 | ) | 5,924 | ||||||||||
U.S. Treasury Bonds | 23 | June 2005 | 2,641,406 | 67,217 | ||||||||||||
2 Year U.S. Treasury Notes | (25 | ) | June 2005 | (5,192,578 | ) | (19,992 | ) | |||||||||
5 Year U.S. Treasury Notes | (162 | ) | June 2005 | (17,569,406 | ) | (212,682 | ) | |||||||||
10 Year German Federal Republic Bonds | (11 | ) | June 2005 | (1,708,410 | ) | (32,701 | ) | |||||||||
10 Year U.S. Treasury Notes | 164 | June 2005 | 18,273,187 | 306,441 | ||||||||||||
$ | 11,161,637 | $ | 123,922 | |||||||||||||
FORWARD FOREIGN CURRENCY CONTRACTS — At April 30, 2005, the Fund had an outstanding forward foreign currency contract to sell foreign currency as follows:
Open Forward | ||||||||||||||
Foreign Currency | Value on | Unrealized | ||||||||||||
Sell Contract | Settlement Date | Current Value | Gain | |||||||||||
Euro expiring 05/27/2005 | $ | 2,239,992 | $ | 2,221,943 | $ | 18,049 | ||||||||
72
ADDITIONAL INVESTMENT INFORMATION (continued) |
SWAP CONTRACTS — At April 30, 2005, the Investment Grade Credit Fund had outstanding swap contracts with the following terms:
INTEREST RATE SWAP CONTRACTS
Rate Type | ||||||||||||||||||
Notional | Payments | Payments | ||||||||||||||||
Swap | Amount | Termination | made by | received by | Unrealized | |||||||||||||
Counterparty | (000s) | Date | the Fund | the Fund | Gain | |||||||||||||
Banc of America Securities LLC | $ | 4,000 | 03/19/2035 | 3 month LIBOR Floating | 5.29% | $ | 192,675 | |||||||||||
Banc of America Securities LLC | 2,800 | 04/09/2035 | 3 month LIBOR Floating | 5.27% | 121,705 | |||||||||||||
TOTAL | $ | 314,380 | ||||||||||||||||
CREDIT DEFAULT SWAP CONTRACTS
Notional | ||||||||||||||||||
Swap Counterparty & | Amount | Interest | Termination | Unrealized | ||||||||||||||
Referenced Obligation | (000s) | Rate | Date | Gain | ||||||||||||||
Buy: | ||||||||||||||||||
Banc of America Securities LLC Sears Roebuck Acceptance Corp. 7.00%, 02/01/2011 | $ | 1,000 | 0.93% | 06/20/2010 | $ | 6,647 | ||||||||||||
Sell: | ||||||||||||||||||
Banc of America Securities LLC American International Group, Inc., Convertible Zero Coupon, 11/09/2031 | 1,000 | 0.35% | 06/20/2010 | 4,119 | ||||||||||||||
TOTAL | $ | 10,766 | ||||||||||||||||
73
Statements of Assets and Liabilities
Enhanced | |||||||||
Income Fund | |||||||||
Assets: | |||||||||
Investment in securities, at value (identified cost $445,003,121, $1,065,658,264, $703,757,398, $688,697,259, $442,166,446 $1,552,897,472 and $139,110,970) | $ | 443,596,127 | |||||||
Repurchase Agreement | 5,400,000 | ||||||||
Cash(a) | 3,151,048 | ||||||||
Foreign currencies, at value (Core Fixed Income only; identified cost $11,024) | — | ||||||||
Receivables: | |||||||||
Investment securities sold, at value | 12,326,330 | ||||||||
Interest, at value | 6,234,527 | ||||||||
Fund shares sold | 13,070 | ||||||||
Variation margin(b) | 230,306 | ||||||||
Forward foreign currency exchange contracts, at value | — | ||||||||
Swap contracts, at value | — | ||||||||
Reimbursement from investment adviser | 104,066 | ||||||||
From vendors | 197,141 | ||||||||
Other assets, at value | 18,974 | ||||||||
Total assets | 471,271,589 | ||||||||
Liabilities: | |||||||||
Due to custodian | — | ||||||||
Payables: | |||||||||
Investment securities purchased, at value | — | ||||||||
Fund shares repurchased | 31,310,063 | ||||||||
Swap contracts, at value | — | ||||||||
Income distribution | 248,945 | ||||||||
Amounts owed to affiliates | 127,654 | ||||||||
Forward foreign currency exchange contracts, at value | — | ||||||||
Accrued expenses and other liabilities, at value | 138,799 | ||||||||
Total liabilities | 31,825,461 | ||||||||
Net Assets: | |||||||||
Paid-in capital | 517,395,473 | ||||||||
Accumulated undistributed (distributions in excess of) net investment income | 2,594,105 | ||||||||
Accumulated net realized gain (loss) on investment, futures, swaps and foreign currency related transactions | (78,805,080 | ) | |||||||
Net unrealized gain (loss) on investments, futures, swaps and translation of assets and liabilities denominated in foreign currencies | (1,738,370 | ) | |||||||
NET ASSETS | $ | 439,446,128 | |||||||
Net Assets: | |||||||||
Class A | $ | 83,338,660 | |||||||
Class B | — | ||||||||
Class C | — | ||||||||
Institutional | 319,694,271 | ||||||||
Administration | 36,413,197 | ||||||||
Service | — | ||||||||
Separate Account Institutional | — | ||||||||
Shares outstanding: | |||||||||
Class A | 8,582,012 | ||||||||
Class B | — | ||||||||
Class C | — | ||||||||
Institutional | 32,963,331 | ||||||||
Administration | 3,750,905 | ||||||||
Service | — | ||||||||
Separate Account Institutional | — | ||||||||
Total shares outstanding, $0.001 par value (unlimited number of shares authorized) | 45,296,248 | ||||||||
Net asset value, offering and redemption price per share:(c) | |||||||||
Class A | $9.71 | ||||||||
Class B | — | ||||||||
Class C | — | ||||||||
Institutional | 9.70 | ||||||||
Administration | 9.71 | ||||||||
Service | — | ||||||||
Separate Account Institutional | — | ||||||||
(a) | Includes restricted cash of $1,100,000, $1,200,000, $3,000,000, $450,000 and $275,000, relating to initial margin requirements and collateral on futures transactions for the Enhanced Income, Ultra-Short Duration Government, Government Income, U.S. Mortgages and Investment Grade Credit Funds, respectively, and includes restricted cash of $2,003,765, $17,521,038, $1,503,819, $6,383,475 and $28,487,952 on deposit with the swap counterparty as collateral for the Enhanced Income, Ultra-Short Duration Government, Short Duration Government, Government Income and Core Fixed Income Fund, respectively. |
(b) | Includes restricted cash of $747,400 relating to initial margin requirements and collateral on futures transactions for the Short Duration Government Fund. |
(c) | Maximum public offering price per share for Class A shares of the Enhanced Income and Ultra-Short Duration Government (NAV per share multiplied by 1.0152), Short Duration Government (NAV per share multiplied by 1.0204), Government Income, U.S. Mortgages, Core Fixed Income and Investment Grade Credit Funds (NAV per share multiplied by 1.0471) is $9.86, $9.44, $9.95, $15.49, $10.45, $10.53, and $10.64, 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 current net asset value or the original purchase price of the shares. |
74
Ultra-Short Duration | Short Duration | Government | U.S. Mortgages | Core Fixed | Investment Grade | |||||||||||||||||||||
Government Fund | Government Fund | Income Fund | Fund | Income Fund | Credit Fund | |||||||||||||||||||||
$ | 1,055,949,035 | $ | 696,343,063 | $ | 692,195,859 | $ | 443,838,276 | $ | 1,571,887,635 | $ | 138,594,496 | |||||||||||||||
— | 83,600,000 | 207,200,000 | 242,300,000 | 648,000,000 | 2,800,000 | |||||||||||||||||||||
18,721,038 | 1,552,129 | 9,598,724 | 3,495,854 | 28,506,801 | 368,657 | |||||||||||||||||||||
— | — | — | — | 14,304 | — | |||||||||||||||||||||
46,119,701 | 5,646 | 211,628,898 | 269,142,692 | 628,412,530 | 407,299 | |||||||||||||||||||||
5,568,577 | 4,520,725 | 3,341,821 | 734,599 | 9,673,211 | 2,273,854 | |||||||||||||||||||||
7,818,132 | 1,655,248 | 3,231,593 | 2,225,693 | 7,193,642 | 1,319,940 | |||||||||||||||||||||
543,384 | 532,008 | 786,119 | 491,152 | 5,493,093 | 311,794 | |||||||||||||||||||||
— | — | — | — | 691,677 | 18,049 | |||||||||||||||||||||
— | — | — | — | — | 325,146 | |||||||||||||||||||||
— | 41,311 | 41,560 | 26,272 | — | 21,543 | |||||||||||||||||||||
— | — | — | — | — | — | |||||||||||||||||||||
22,038 | 24,859 | 39,156 | 8,306 | 23,779 | 6,603 | |||||||||||||||||||||
1,134,741,905 | 788,274,989 | 1,128,063,730 | 962,262,844 | 2,899,896,672 | 146,447,381 | |||||||||||||||||||||
36,214,578 | — | — | — | — | — | |||||||||||||||||||||
33,903,093 | 2,325,577 | 403,425,981 | 538,184,667 | 1,121,150,159 | 298,106 | |||||||||||||||||||||
11,067,277 | 4,268,758 | 2,704,613 | — | 2,218,568 | 282,582 | |||||||||||||||||||||
4,131,099 | — | 725,859 | 218,338 | 4,547,647 | — | |||||||||||||||||||||
1,188,828 | 465,227 | 103,231 | 77,538 | 1,937,600 | 23,331 | |||||||||||||||||||||
471,666 | 539,304 | 581,732 | 119,453 | 880,128 | 42,533 | |||||||||||||||||||||
— | — | — | — | 420,741 | — | |||||||||||||||||||||
73,457 | 70,928 | 85,492 | 60,458 | 151,268 | 59,113 | |||||||||||||||||||||
87,049,998 | 7,669,794 | 407,626,908 | 538,660,454 | 1,131,306,111 | 705,665 | |||||||||||||||||||||
1,195,357,419 | 807,771,295 | 716,499,290 | 423,830,593 | 1,748,840,273 | 145,814,150 | |||||||||||||||||||||
10,004,355 | 2,793,312 | 3,058,206 | (1,216,534 | ) | (1,758,499 | ) | 28,921 | |||||||||||||||||||
(144,545,614 | ) | (20,783,795 | ) | (2,388,034 | ) | (836,387 | ) | 4,328,371 | (52,093 | ) | ||||||||||||||||
(13,124,253 | ) | (9,175,617 | ) | 3,267,360 | 1,824,718 | 17,180,416 | (49,262 | ) | ||||||||||||||||||
$ | 1,047,691,907 | $ | 780,605,195 | $ | 720,436,822 | $ | 423,602,390 | $ | 1,768,590,561 | $ | 145,741,716 | |||||||||||||||
$ | 231,083,628 | $ | 313,451,895 | $ | 606,011,583 | $ | 10,257,615 | $ | 627,551,271 | $ | 3,650,182 | |||||||||||||||
— | 30,159,927 | 28,673,330 | — | 30,943,779 | — | |||||||||||||||||||||
— | 71,750,265 | 20,034,744 | — | 23,122,816 | — | |||||||||||||||||||||
769,918,128 | 352,541,661 | 54,055,737 | 80,529,713 | 1,053,037,310 | 3,452,142 | |||||||||||||||||||||
— | — | — | — | — | — | |||||||||||||||||||||
46,690,151 | 12,701,447 | 11,661,428 | — | 33,935,385 | — | |||||||||||||||||||||
— | — | — | 332,815,062 | — | 138,639,392 | |||||||||||||||||||||
24,844,780 | 32,145,169 | 40,971,366 | 1,028,145 | 62,388,384 | 359,101 | |||||||||||||||||||||
— | 3,103,723 | 1,938,500 | — | 3,064,512 | — | |||||||||||||||||||||
— | 7,401,658 | 1,355,220 | — | 2,289,230 | — | |||||||||||||||||||||
82,666,622 | 36,247,105 | 3,658,365 | 8,068,094 | 104,318,238 | 339,143 | |||||||||||||||||||||
— | — | — | — | — | — | |||||||||||||||||||||
4,995,612 | 1,307,731 | 789,847 | — | 3,360,524 | — | |||||||||||||||||||||
— | — | — | 33,368,774 | — | 13,631,181 | |||||||||||||||||||||
112,507,014 | 80,205,386 | 48,713,298 | 42,465,013 | 175,420,888 | 14,329,425 | |||||||||||||||||||||
$9.30 | $ | 9.75 | $ | 14.79 | $ | 9.98 | $ | 10.06 | $ | 10.16 | ||||||||||||||||
— | 9.72 | 14.79 | — | 10.10 | — | |||||||||||||||||||||
— | 9.69 | 14.78 | — | 10.10 | — | |||||||||||||||||||||
9.31 | 9.73 | 14.78 | 9.98 | 10.09 | 10.18 | |||||||||||||||||||||
— | — | — | — | — | — | |||||||||||||||||||||
9.35 | 9.71 | 14.76 | — | 10.10 | — | |||||||||||||||||||||
— | — | — | 9.97 | — | 10.17 | |||||||||||||||||||||
75
Statements of Operations
Enhanced | |||||||
Income Fund | |||||||
Investment income: | |||||||
Interest | $ | 9,671,916 | |||||
Total income | 9,671,916 | ||||||
Expenses: | |||||||
Management fees | 685,660 | ||||||
Distribution and service fees(a) | 150,495 | ||||||
Transfer agent fees(a) | 200,003 | ||||||
Custody and accounting fees | 96,848 | ||||||
Registration fees | 79,279 | ||||||
Service Share/Account servicing fees | — | ||||||
Professional fees | 22,954 | ||||||
Printing fees | 25,957 | ||||||
Administration Share fees | 46,366 | ||||||
Trustee fees | 4,265 | ||||||
Other | 22,836 | ||||||
Total expenses | 1,334,663 | ||||||
Less — expense reductions | (353,073 | ) | |||||
Net expenses | 981,590 | ||||||
NET INVESTMENT INCOME | 8,690,326 | ||||||
Realized and unrealized gain (loss) on investment, futures, swaps and foreign currency related transactions: | |||||||
Net realized gain (loss) from: | |||||||
Investment transactions | (363,028 | ) | |||||
Futures transactions | 1,309,056 | ||||||
Swap contracts | 368,807 | ||||||
Foreign currency related transactions | — | ||||||
Net increase from payments by affiliates relating to income distribution payable balances | 65,713 | ||||||
Net change in unrealized gain (loss) on: | |||||||
Investments | (6,131,677 | ) | |||||
Futures | 668,555 | ||||||
Swap contracts | — | ||||||
Translation of assets and liabilities denominated in foreign currencies | — | ||||||
Net realized and unrealized gain (loss) on investment, futures, swaps and foreign currency related transactions: | (4,082,574 | ) | |||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 4,607,752 | |||||
(a) | Class specific Distribution and Service, and Transfer Agent fees were as follows: |
Distribution and Service Fees | Transfer Agent Fees | |||||||||||||||||||||||||||||||||||||||
Separate | ||||||||||||||||||||||||||||||||||||||||
Account | ||||||||||||||||||||||||||||||||||||||||
Fund | Class A | Class B | Class C | Class A | Class B | Class C | Institutional | Administration | Service | Institutional | ||||||||||||||||||||||||||||||
Enhanced Income | $ | 150,495 | $ | — | $ | — | $ | 114,376 | $ | — | $ | — | $ | 78,208 | $ | 7,419 | $ | — | $ | — | ||||||||||||||||||||
Ultra-Short Duration Government | 364,470 | — | — | 276,997 | — | — | 189,219 | — | 9,737 | — | ||||||||||||||||||||||||||||||
Short Duration Government | 384,014 | 171,077 | 401,014 | 291,850 | 32,505 | 76,193 | 69,132 | — | 2,327 | — | ||||||||||||||||||||||||||||||
Government Income | 672,055 | 151,912 | 100,454 | 510,763 | 28,863 | 19,086 | 12,209 | — | 2,140 | — | ||||||||||||||||||||||||||||||
U.S. Mortgages | 12,493 | — | — | 9,495 | — | — | 20,743 | — | — | 32,020 | ||||||||||||||||||||||||||||||
Core Fixed Income | 707,117 | 153,977 | 116,801 | 537,408 | 29,256 | 22,192 | 170,117 | — | 5,102 | — | ||||||||||||||||||||||||||||||
Investment Grade Credit | 3,967 | — | — | 3,015 | — | — | 154 | — | — | 20,404 |
76
Ultra-Short Duration | Short Duration | Government | U.S. Mortgages | Core Fixed | Investment Grade | |||||||||||||||||||
Government Fund | Government Fund | Income Fund | Fund | Income Fund | Credit Fund | |||||||||||||||||||
$ | 21,314,103 | $ | 12,815,488 | $ | 12,011,276 | $ | 4,805,963 | $ | 30,480,923 | $ | 2,414,802 | |||||||||||||
21,314,103 | 12,815,488 | 12,011,276 | 4,805,963 | 30,480,923 | 2,414,802 | |||||||||||||||||||
2,572,712 | 1,947,313 | 2,006,722 | 547,611 | 2,991,882 | 211,930 | |||||||||||||||||||
364,470 | 956,105 | 924,421 | 12,493 | 977,895 | 3,967 | |||||||||||||||||||
475,953 | 472,007 | 573,061 | 62,258 | 764,075 | 23,573 | |||||||||||||||||||
157,536 | 133,835 | 133,067 | 67,540 | 165,293 | 41,690 | |||||||||||||||||||
63,702 | 28,611 | 34,037 | 16,822 | 35,238 | 16,858 | |||||||||||||||||||
121,708 | 29,091 | 26,751 | 28,427 | 63,771 | 986 | |||||||||||||||||||
22,955 | 22,605 | 22,954 | 21,287 | 54,725 | 21,286 | |||||||||||||||||||
22,486 | 21,990 | 22,486 | 23,477 | 20,517 | 23,230 | |||||||||||||||||||
— | — | — | — | — | — | |||||||||||||||||||
4,265 | 4,265 | 4,265 | 4,265 | 4,265 | 4,265 | |||||||||||||||||||
32,066 | 31,979 | 25,912 | 15,249 | 34,716 | 14,996 | |||||||||||||||||||
3,837,853 | 3,647,801 | 3,773,676 | 799,429 | 5,112,377 | 362,781 | |||||||||||||||||||
(5,283 | ) | (255,005 | ) | (459,969 | ) | (283,216 | ) | (6,614 | ) | (168,691 | ) | |||||||||||||
3,832,570 | 3,392,796 | 3,313,707 | 516,213 | 5,105,763 | 194,090 | |||||||||||||||||||
17,481,533 | 9,422,692 | 8,697,569 | 4,289,750 | 25,375,160 | 2,220,712 | |||||||||||||||||||
(430,086 | ) | (1,050,378 | ) | 2,463,045 | (454,608 | ) | 6,311,221 | (56,502 | ) | |||||||||||||||
1,128,254 | (2,188,853 | ) | (1,493,847 | ) | 385,990 | 2,120,726 | 57,948 | |||||||||||||||||
(5,078,593 | ) | 491,743 | (290,208 | ) | 19,247 | 408,719 | — | |||||||||||||||||
— | — | — | — | 119,924 | (254 | ) | ||||||||||||||||||
— | — | — | — | — | — | |||||||||||||||||||
(6,204,326 | ) | (4,080,951 | ) | (1,173,276 | ) | 1,336,455 | (9,146,775 | ) | (1,270,091 | ) | ||||||||||||||
645,333 | (1,138,835 | ) | (822,362 | ) | (214,178 | ) | (702,304 | ) | 85,511 | |||||||||||||||
9,664,901 | — | (830,993 | ) | (218,338 | ) | (4,762,170 | ) | 325,146 | ||||||||||||||||
— | — | — | — | 298,248 | 16,346 | |||||||||||||||||||
(274,517 | ) | (7,967,274 | ) | (2,147,641 | ) | 854,568 | (5,352,411 | ) | (841,896 | ) | ||||||||||||||
$ | 17,207,016 | $ | 1,455,418 | $ | 6,549,928 | $ | 5,144,318 | $ | 20,022,749 | $ | 1,378,816 | |||||||||||||
77
Statements of Changes in Net Assets
Ultra-Short Duration Government | |||||||||||||||||||
Enhanced Income Fund | Fund | ||||||||||||||||||
For the | |||||||||||||||||||
Six Months | For the | ||||||||||||||||||
Ended | For the | Six Months | For the | ||||||||||||||||
April 30, | Year Ended | Ended | Year Ended | ||||||||||||||||
2005 | October 31, | April 30, 2005 | October 31, | ||||||||||||||||
(Unaudited) | 2004 | (Unaudited) | 2004 | ||||||||||||||||
From operations: | |||||||||||||||||||
Net investment income | $ | 8,690,326 | $ | 33,006,381 | $ | 17,481,533 | $ | 46,415,602 | |||||||||||
Net realized gain (loss) on investment, futures, swaps and foreign currency related transactions | 1,314,835 | (6,924,744 | ) | (4,380,425 | ) | (4,455,696 | ) | ||||||||||||
Net increase from payments by affiliates relating to income distribution payable balances | 65,713 | — | — | — | |||||||||||||||
Net change in unrealized gain (loss) on investments, futures, swaps and translation of assets and liabilities denominated in foreign currencies | (5,463,122 | ) | (16,118,742 | ) | 4,105,908 | (2,850,394 | ) | ||||||||||||
Net increase in net assets resulting from operations | 4,607,752 | 9,962,895 | 17,207,016 | 39,109,512 | |||||||||||||||
Distributions to shareholders: | |||||||||||||||||||
From net investment income | |||||||||||||||||||
Class A Shares | (1,991,908 | ) | (6,787,491 | ) | (3,689,027 | ) | (15,776,637 | ) | |||||||||||
Class B Shares | — | — | — | — | |||||||||||||||
Class C Shares | — | — | — | — | |||||||||||||||
Institutional Shares | (6,445,147 | ) | (26,572,115 | ) | (13,848,200 | ) | (49,101,322 | ) | |||||||||||
Administration Shares | (565,276 | ) | (1,355,651 | ) | — | — | |||||||||||||
Service Shares | — | — | (589,493 | ) | (1,473,200 | ) | |||||||||||||
Separate Account Institutional Shares | — | — | — | — | |||||||||||||||
From net realized gains | |||||||||||||||||||
Class A Shares | — | — | — | — | |||||||||||||||
Class B Shares | — | — | — | — | |||||||||||||||
Class C Shares | — | — | — | — | |||||||||||||||
Institutional Shares | — | — | — | — | |||||||||||||||
Service Shares | — | — | — | — | |||||||||||||||
From paid-in capital | |||||||||||||||||||
Class A Shares | — | — | — | — | |||||||||||||||
Class B Shares | — | — | — | — | |||||||||||||||
Class C Shares | — | — | — | — | |||||||||||||||
Institutional Shares | — | — | — | — | |||||||||||||||
Service Shares | — | — | — | — | |||||||||||||||
Total distributions to shareholders | (9,002,331 | ) | (34,715,257 | ) | (18,126,720 | ) | (66,351,159 | ) | |||||||||||
From share transactions: | |||||||||||||||||||
Proceeds from sales of shares | 135,770,084 | 571,458,832 | 226,639,949 | 1,037,712,476 | |||||||||||||||
Reinvestment of dividends and distributions | 6,962,122 | 28,729,114 | 9,956,523 | 44,537,067 | |||||||||||||||
Cost of shares repurchased | (380,585,713 | ) | (1,429,538,223 | ) | (773,720,046 | ) | (2,273,508,142 | ) | |||||||||||
Net increase (decrease) in net assets resulting from share transactions | (237,853,507 | ) | (829,350,277 | ) | (537,123,574 | ) | (1,191,258,599 | ) | |||||||||||
TOTAL INCREASE (DECREASE) | (242,248,086 | ) | (854,102,639 | ) | (538,043,278 | ) | (1,218,500,246 | ) | |||||||||||
Net assets: | |||||||||||||||||||
Beginning of period | 681,694,214 | 1,535,796,853 | 1,585,735,185 | 2,804,235,431 | |||||||||||||||
End of period | $ | 439,446,128 | $ | 681,694,214 | $ | 1,047,691,907 | $ | 1,585,735,185 | |||||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | 2,594,105 | $ | 2,906,110 | $ | 10,004,355 | $ | 10,649,542 | |||||||||||
(a) | U.S. Mortgages Fund commenced operations on November 3, 2003. |
78
Short Duration Government Fund | Government Income Fund | U.S. Mortgages Fund | ||||||||||||||||||||||
For the | For the | For the | ||||||||||||||||||||||
Six Months | Six Months | Six Months | ||||||||||||||||||||||
Ended | For the | Ended | For the | Ended | For the | |||||||||||||||||||
April 30, 2005 | Year Ended | April 30, 2005 | Year Ended | April 30, 2005 | Year Ended | |||||||||||||||||||
(Unaudited) | October 31, 2004 | (Unaudited) | October 31, 2004 | (Unaudited) | October 31, 2004(a) | |||||||||||||||||||
$ | 9,422,692 | $ | 21,860,041 | $ | 8,697,569 | $ | 16,361,863 | $ | 4,289,750 | $ | 5,649,467 | |||||||||||||
(2,747,488 | ) | (4,160,061 | ) | 678,990 | 8,068,104 | (49,371 | ) | 4,376,001 | ||||||||||||||||
— | — | — | — | — | — | |||||||||||||||||||
(5,219,786 | ) | (992,632 | ) | (2,826,631 | ) | 4,724,796 | 903,939 | 920,779 | ||||||||||||||||
1,455,418 | 16,707,348 | 6,549,928 | 29,154,763 | 5,144,318 | 10,946,247 | |||||||||||||||||||
(4,060,341 | ) | (8,785,993 | ) | (6,483,097 | ) | (13,283,120 | ) | (177,342 | ) | (45,080 | ) | |||||||||||||
(351,134 | ) | (1,058,656 | ) | (254,713 | ) | (885,696 | ) | — | — | |||||||||||||||
(766,731 | ) | (2,420,991 | ) | (168,015 | ) | (517,450 | ) | — | — | |||||||||||||||
(5,276,054 | ) | (14,373,431 | ) | (865,829 | ) | (4,368,750 | ) | (1,980,007 | ) | (4,381,494 | ) | |||||||||||||
— | — | — | — | — | — | |||||||||||||||||||
(149,022 | ) | (170,106 | ) | (124,350 | ) | (272,740 | ) | — | — | |||||||||||||||
— | — | — | — | (3,114,845 | ) | (2,720,122 | ) | |||||||||||||||||
— | — | (5,846,192 | ) | (3,366,202 | ) | (13,456 | ) | — | ||||||||||||||||
— | — | (362,623 | ) | (370,817 | ) | — | — | |||||||||||||||||
— | — | (237,517 | ) | (199,973 | ) | — | — | |||||||||||||||||
— | — | (745,227 | ) | (1,301,452 | ) | (2,109,001 | ) | — | ||||||||||||||||
— | — | (116,638 | ) | (90,042 | ) | (1,830,429 | ) | — | ||||||||||||||||
— | (399,377 | ) | — | — | — | — | ||||||||||||||||||
— | (48,123 | ) | — | — | — | — | ||||||||||||||||||
— | (110,049 | ) | — | — | — | — | ||||||||||||||||||
— | (653,361 | ) | — | — | — | — | ||||||||||||||||||
— | (7,732 | ) | — | — | — | — | ||||||||||||||||||
(10,603,282 | ) | (28,027,819 | ) | (15,204,201 | ) | (24,656,242 | ) | (9,225,080 | ) | (7,146,696 | ) | |||||||||||||
177,510,154 | 774,582,803 | 220,652,669 | 311,376,660 | 344,565,503 | 401,885,083 | |||||||||||||||||||
7,628,610 | 20,958,889 | 14,114,764 | 22,691,011 | 6,709,702 | 4,270,684 | |||||||||||||||||||
(239,147,027 | ) | (859,871,597 | ) | (133,356,180 | ) | (298,386,700 | ) | (146,276,896 | ) | (187,270,475 | ) | |||||||||||||
(54,008,263 | ) | (64,329,905 | ) | 101,411,253 | 35,680,971 | 204,998,309 | 218,885,292 | |||||||||||||||||
(63,156,127 | ) | (75,650,376 | ) | 92,756,980 | 40,179,492 | 200,917,547 | 222,684,843 | |||||||||||||||||
843,761,322 | 919,411,698 | 627,679,842 | 587,500,350 | 222,684,843 | — | |||||||||||||||||||
$ | 780,605,195 | $ | 843,761,322 | $ | 720,436,822 | $ | 627,679,842 | $ | 423,602,390 | $ | 222,684,843 | |||||||||||||
$ | 2,793,312 | $ | 3,973,902 | $ | 3,058,206 | $ | 2,256,641 | $ | (1,216,534 | ) | $ | (234,090 | ) | |||||||||||
79
Core Fixed Income Fund | Investment Grade Credit Fund | ||||||||||||||||||
For the | For the | ||||||||||||||||||
Six Months | Six Months | ||||||||||||||||||
Ended | For the | Ended | For the | ||||||||||||||||
April 30, | Year Ended | April 30, | Year Ended | ||||||||||||||||
2005 | October 31, | 2005 | October 31, | ||||||||||||||||
(Unaudited) | 2004 | (Unaudited) | 2004(a) | ||||||||||||||||
From operations: | |||||||||||||||||||
Net investment income | $ | 25,375,160 | $ | 39,165,586 | $ | 2,220,712 | $ | 1,390,010 | |||||||||||
Net realized gain on investment, futures, swaps and foreign currency related transactions | 8,960,590 | 18,118,891 | 1,192 | 205,411 | |||||||||||||||
Net change in unrealized gain (loss) on investments, futures, swaps and translation of assets and liabilities denominated in foreign currencies | (14,313,001 | ) | 20,287,359 | (843,088 | ) | 793,826 | |||||||||||||
Net increase in net assets resulting from operations | 20,022,749 | 77,571,836 | 1,378,816 | 2,389,247 | |||||||||||||||
Distributions to shareholders: | |||||||||||||||||||
From net investment income | |||||||||||||||||||
Class A Shares | (9,477,449 | ) | (14,916,314 | ) | (59,432 | ) | (23,077 | ) | |||||||||||
Class B Shares | (397,716 | ) | (860,188 | ) | — | — | |||||||||||||
Class C Shares | (301,445 | ) | (621,259 | ) | — | — | |||||||||||||
Institutional Shares | (15,945,063 | ) | (25,474,571 | ) | (16,452 | ) | (460,094 | ) | |||||||||||
Service Shares | (416,700 | ) | (627,296 | ) | — | — | |||||||||||||
Separate Account Institutional Shares | — | — | (2,152,513 | ) | (869,294 | ) | |||||||||||||
From net realized gains | |||||||||||||||||||
Class A Shares | (6,882,652 | ) | (14,873,230 | ) | (8,899 | ) | — | ||||||||||||
Class B Shares | (394,357 | ) | (1,215,929 | ) | — | — | |||||||||||||
Class C Shares | (302,043 | ) | (859,101 | ) | — | — | |||||||||||||
Institutional Shares | (10,461,233 | ) | (23,684,860 | ) | (269,174 | ) | — | ||||||||||||
Service Shares | (285,885 | ) | (729,303 | ) | — | — | |||||||||||||
Separate Account Institutional Shares | — | — | (293 | ) | — | ||||||||||||||
Total distributions to shareholders | (44,864,543 | ) | (83,862,051 | ) | (2,506,763 | ) | (1,352,465 | ) | |||||||||||
From share transactions: | |||||||||||||||||||
Proceeds from sales of shares | 563,071,675 | 541,317,212 | 97,494,397 | 108,137,767 | |||||||||||||||
Proceeds in connection with mergers | 73,493,151 | 91,790,394 | — | — | |||||||||||||||
Reinvestment of dividends and distributions | 31,928,117 | 64,751,257 | 2,343,671 | 1,195,397 | |||||||||||||||
Cost of shares repurchased | (334,710,573 | ) | (456,633,242 | ) | (25,492,697 | ) | (37,845,654 | ) | |||||||||||
Net increase in net assets resulting from share transactions | 333,782,370 | 241,225,621 | 74,345,371 | 71,487,510 | |||||||||||||||
TOTAL INCREASE | 308,940,576 | 234,935,406 | 73,217,424 | 72,524,292 | |||||||||||||||
Net assets: | |||||||||||||||||||
Beginning of period | 1,459,649,985 | 1,224,714,579 | 72,524,292 | — | |||||||||||||||
End of period | $ | 1,768,590,561 | $ | 1,459,649,985 | $ | 145,741,716 | $ | 72,524,292 | |||||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | (1,758,499 | ) | $ | (595,286 | ) | $ | 28,921 | $ | 36,606 | |||||||||
(a) | Investment Grade Credit Fund commenced operations on November 3, 2003. |
80
Notes to Financial Statements
1. ORGANIZATION |
2. SIGNIFICANT ACCOUNTING POLICIES |
A. Investment Valuation — Portfolio securities for which accurate market quotations are readily available are valued on the basis of quotations furnished by a pricing service or provided by dealers in such securities. Short-term debt obligations maturing in sixty days or less are valued at amortized cost. Portfolio securities for which accurate market quotations are not readily available are valued based on yield equivalents, pricing matrices or other sources, under valuation procedures established by the Trust’s Board of Trustees.
B. Security Transactions and Investment Income — Security transactions are reflected as of the trade date. Realized gains and losses on sales of portfolio securities are calculated using the identified cost basis. Interest income is recorded on the basis of interest accrued (net of foreign withholding taxes which are reduced by any amounts reclaimable by the Funds, where applicable), premium amortized and discount accreted. Net investment income (other than class specific expenses) and unrealized and realized gains or losses are allocated daily to each class of shares of the Fund based upon the relative proportion of net assets of each class.
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 and tax-exempt income and capital gains to its shareholders. Accordingly, no federal tax provisions are required. Dividends and distributions to shareholders are recorded on ex-dividend date. Income distributions are declared daily and paid monthly. Capital gain distributions, if any, are declared and paid annually for all Funds.
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 Funds may enter into mortgage “dollar rolls” in which the Funds sell securities in the current month for delivery and simultaneously contract with the same counterparty to repurchase similar (same type, coupon and maturity) but not identical securities on a specified future date. For financial reporting and tax reporting purposes, the Funds treat mortgage dollar rolls as two separate transactions: one involving the purchase of a security, and a separate transaction involving a sale.
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
G. Segregation Transactions — As set forth in the prospectus, the Funds may enter into certain 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 these transactions, the Funds are required to segregate liquid assets on the accounting records equal to or greater than the market value of the corresponding transactions.
H. Forward Sales Contracts — The Funds may enter into forward security sales of mortgage-backed securities in which the Funds sell securities in the current month for delivery of securities, defined by pool-stipulated characteristics, on a specified future date. The value of the contract is recorded as a liability on the Fund’s records with the difference between its market value and cash proceeds received being recorded as an unrealized gain or loss. Gains or losses are realized upon delivery of the security sold.
I. Repurchase Agreements — Repurchase agreements involve the purchase of securities subject to the seller’s agreement to repurchase them at a mutually agreed upon date and price. During the term of a repurchase agreement, the value of the underlying securities held as collateral on behalf of the Funds, including accrued interest, is required to equal or exceed the value of the repurchase agreement, including accrued interest. If the seller defaults or becomes insolvent, realization of the collateral by the Funds may be delayed or limited and there may be a decline in the value of the collateral during the period while the Funds seek to assert their rights. The underlying securities for all repurchase agreements are held in safekeeping at the Funds’ custodian or designated subcustodians under triparty repurchase agreements.
J. Futures Contracts — The Funds may enter into futures transactions to hedge against changes in interest rates, securities prices, currency exchange rates (in the case of Core Fixed Income and Investment Grade Credit) or to seek to increase total return. Futures contracts are valued at the last settlement price at the end of each day on the board of trade or exchange upon which they are traded. Upon entering into a futures contract, the Funds are required to deposit with a broker or the Funds’ custodian bank on behalf of the 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.
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
K. Swap Contracts — The Funds may enter into swap transactions for hedging purposes or to seek to increase total return. Risks may arise as a result of the failure of the counterparty to the swap contract to comply with the terms of the swap contract. The loss incurred by the failure of a counterparty is generally limited to the net interest payment to be received by the Funds and/or the termination value at the end of the contract. Therefore, the Funds consider the creditworthiness of each counterparty to a contract in evaluating potential credit risk. Additionally, risks may arise from unanticipated movements in interest rates or in the value of the underlying reference asset or index.
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
L. Forward Foreign Currency Exchange Contracts — Core Fixed Income and Investment Grade Credit may enter into forward foreign currency 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. Core Fixed Income and Investment Grade Credit 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.
3. AGREEMENTS |
3. AGREEMENTS (continued) |
For the six months ended April 30, 2005, the Funds’ Management Fees, Management fee waivers and other expense limitations as an annual percentage rate of average daily net assets are as follows:
Management Fee | ||||||||||||||||
Other | ||||||||||||||||
Contractual | Waiver | Net | Expense | |||||||||||||
Fund | Annual Rate | Annual Rate | Annual Rate | Limit | ||||||||||||
Enhanced Income | 0.25 | % | 0.05 | % | 0.20 | % | 0.014 | % | ||||||||
Ultra-Short Duration Government | 0.40 | — | 0.40 | 0.054 | ||||||||||||
Short Duration Government | 0.50 | — | 0.50 | 0.004 | ||||||||||||
Government Income | 0.54 | — | 0.54 | 0.004 | ||||||||||||
U.S. Mortgages | 0.40 | 0.07 | 0.33 | 0.004 | ||||||||||||
Core Fixed Income | 0.40 | — | 0.40 | 0.104 | ||||||||||||
Investment Grade Credit | 0.40 | 0.07 | 0.33 | 0.004 | ||||||||||||
The Trust, on behalf of each Fund, has adopted Distribution and Service Plans. Under the Plans, Goldman Sachs and/or Authorized Dealers are entitled to a monthly fee for distribution services equal to, on an annual basis, 0.25% of the Enhanced Income, Ultra-Short Duration Government, U.S. Mortgages and Investment Grade Credit Funds’ average daily net assets attributable to Class A shares and 0.25%, 0.75% and 0.75% for Short-Duration Government, Government Income and Core Fixed Income Funds’ average daily net assets attributable to Class A, Class B and Class C shares, respectively. Additionally, Goldman Sachs and/or Authorized Dealers are entitled to receive, under the Plans, a separate fee for personal and account maintenance services equal to, on an annual basis, 0.25% of the Short Duration Government, Government Income and Core Fixed Income Funds’ average daily net assets attributable to Class B and Class C Shares. For the six months ended April 30, 2005, Goldman Sachs has voluntarily agreed to waive a portion of the Distribution and Service fees equal to 0.15% of the average daily net assets attributable to the Class B shares of Short Duration Government.
3. AGREEMENTS (continued) |
Goldman Sachs serves as Distributor of the shares of the Funds pursuant to a Distribution Agreement. Goldman Sachs may receive a portion of the Class A sales load and Class B and Class C contingent deferred sales charges. During the six months ended April 30, 2005, Goldman Sachs advised the Funds that it retained approximately the following amounts:
Contingent Deferred Sales Charge | ||||||||||||
Sales Load | ||||||||||||
Fund | Class A | Class B | Class C | |||||||||
Enhanced Income | $ | 400 | $ | — | $ | — | ||||||
Ultra-Short Duration Government | 4,400 | — | — | |||||||||
Short Duration Government | 7,000 | — | — | |||||||||
Government Income | 21,400 | 100 | 7,100 | |||||||||
U.S. Mortgages | 100 | — | — | |||||||||
Core Fixed Income | 123,800 | — | — | |||||||||
Investment Grade Credit | 300 | — | — | |||||||||
Goldman Sachs also serves as Transfer Agent of the Funds for a fee. The fees charged for such transfer agency services are calculated daily and payable monthly at an annual rate as follows: 0.19% of the average daily net assets for Class A, Class B and Class C shares and 0.04% of the average daily net assets for Administration (Enhanced Income only), Separate Account Institutional (U.S. Mortgages and Investment Grade Credit only), Institutional and Service shares. For the six months ended April 30, 2005, Goldman Sachs has voluntarily agreed to waive a portion of the Transfer Agent fees equal to 0.02% of the average daily net assets attributable to Institutional and Separate Account Institutional shares of U.S. Mortgages and Investment Grade Credit. Goldman Sachs may discontinue or modify this waiver in the future at its discretion.
3. AGREEMENTS (continued) |
For the six months ended April 30, 2005, GSAM and the distributor have voluntarily agreed to waive certain fees and reimburse other expenses. In addition, the Funds have entered into certain offset arrangements with the custodian resulting in a reduction of the Funds’ expenses. These expense reductions were as follows (in thousands):
Waivers | ||||||||||||||||||||||||
Class B | ||||||||||||||||||||||||
Distribution | Other | Custody | Total | |||||||||||||||||||||
Management | and Service | Transfer | Expense | Fee | Expense | |||||||||||||||||||
Fund | Fees | Fees | Agent Fees | Reimbursement | Reduction | Reductions | ||||||||||||||||||
Enhanced Income | $ | 137 | $ | — | $ | — | $ | 214 | $ | 2 | $ | 353 | ||||||||||||
Ultra-Short Duration Government | — | — | — | — | 5 | 5 | ||||||||||||||||||
Short Duration Government | — | 26 | — | 228 | 1 | 255 | ||||||||||||||||||
Government Income | 225 | — | — | 230 | 5 | 460 | ||||||||||||||||||
U.S. Mortgages | 96 | — | 26 | 143 | 18 | 283 | ||||||||||||||||||
Core Fixed Income | — | — | — | — | 7 | 7 | ||||||||||||||||||
Investment Grade Credit | 37 | — | 10 | 121 | 1 | 169 | ||||||||||||||||||
At April 30, 2005, the amounts owed to affiliates were as follows (in thousands):
Management | Distribution and | Transfer | ||||||||||||||
Fund | Fees | Service Fees | Agent Fees | Total | ||||||||||||
Enhanced Income | $ | 79 | $ | 21 | $ | 28 | $ | 128 | ||||||||
Ultra-Short Duration Government | 355 | 51 | 66 | 472 | ||||||||||||
Short Duration Government | 317 | 145 | 77 | 539 | ||||||||||||
Government Income | 316 | 163 | 103 | 582 | ||||||||||||
U.S. Mortgages | 109 | 2 | 8 | 119 | ||||||||||||
Core Fixed Income | 568 | 172 | 140 | 880 | ||||||||||||
Investment Grade Credit | 39 | 1 | 3 | 43 | ||||||||||||
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) | ||||||||||||
Enhanced Income | $ | 63,119,914 | $ | 28,658,787 | $ | 157,750,623 | $ | 79,536,572 | ||||||||
Ultra-Short Duration Government | 516,135,126 | — | 559,849,989 | 139,731,028 | ||||||||||||
Short Duration Government | 365,036,224 | — | 400,830,537 | 611,521 | ||||||||||||
Government Income | 1,133,941,594 | 64,854,748 | 871,815,608 | 83,390,943 | ||||||||||||
U.S. Mortgages | 1,693,099,416 | 36,338,899 | 1,463,214,099 | 5,473,275 | ||||||||||||
Core Fixed Income | 2,360,494,923 | 380,387,378 | 1,969,060,267 | 303,602,795 | ||||||||||||
Investment Grade Credit | 6,350,210 | 98,507,762 | 6,332,001 | 26,364,661 | ||||||||||||
5. LINE OF CREDIT FACILITY |
6. OTHER MATTERS |
6. OTHER MATTERS (continued) |
Mergers and Reorganizations — At a meeting held on August 5, 2004, the Board of Trustees of the Trust approved an Agreement and Plan of Reorganization (“the Agreement”) providing for the tax-free acquisition of the Golden Oak Intermediate Bond Portfolio by the Goldman Sachs Core Fixed Income Fund. The acquisition was completed on September 28, 2004.
Pursuant to the Agreement, the assets and liabilities of the Golden Oak Intermediate Bond Portfolio (“Acquired Fund”) Class A and Institutional Class were transferred into the Goldman Sachs Core Fixed Income Fund (“Survivor Fund”) Class A and Institutional Class, respectively, in a tax-free exchange as follows:
Exchanged Shares | Acquired Fund’s | |||||||||||
of Survivor | Value of | Shares Outstanding | ||||||||||
Survivor/Acquired Fund | Issued | Exchanged Shares | as of September 28, 2004 | |||||||||
Goldman Sachs Core Fixed Income Class A / Golden Oak Intermediate Bond Class A | 823,359 | $ | 8,431,573 | 818,722 | ||||||||
Goldman Sachs Core Fixed Income Institutional Class/ Golden Oak Intermediate Bond Institutional Class | 8,116,873 | 83,358,821 | 8,094,017 | |||||||||
The following chart shows the Survivor Fund’s and Acquired Fund’s aggregate net assets (immediately before and after the completion of the acquisition) and the Acquired Fund’s unrealized appreciation and capital loss carryforward. Utilization of the Acquired Fund’s capital loss carryforward may be limited under the Internal Revenue Code.
Survivor Fund’s | ||||||||||||||||||||
Survivor Fund’s | Acquired Fund’s | Aggregate | ||||||||||||||||||
Aggregate | Aggregate | Acquired | Acquired | Net Assets | ||||||||||||||||
Net Assets | Net Assets | Fund’s | Fund’s | immediately | ||||||||||||||||
before | before | Unrealized | Capital Loss | after | ||||||||||||||||
Survivor/Acquired Fund | acquisition | acquisition | Appreciation | Carryforward | acquisition | |||||||||||||||
Goldman Sachs Core Fixed Income/ Golden Oak Intermediate Bond | $ | 1,338,159,726 | $ | 91,790,394 | $ | 7,096,342 | $ | (2,552,416 | ) | $ | 1,429,950,120 | |||||||||
6. OTHER MATTERS (continued) |
At a meeting held on November 4, 2004, the Board of Trustees of the Trust approved an Agreement and Plan of Reorganization (“the Agreement”) providing for the tax-free acquisition of the Expedition Investment Grade Bond Fund by the Goldman Sachs Core Fixed Income Fund. The acquisition was completed on February 28, 2005, as of February 25, 2005.
Exchanged Shares | Acquired Fund’s | |||||||||||
of Survivor | Value of | Shares Outstanding | ||||||||||
Survivor/Acquired Fund | Issued | Exchanged Shares | as of February 25, 2005 | |||||||||
Goldman Sachs Core Fixed Income Class A/ Expedition Investment Grade Bond Fund Class A | 443,072 | $ | 4,452,854 | 430,741 | ||||||||
Goldman Sachs Core Fixed Income Class B/ Expedition Investment Grade Bond Fund Class B | 168,245 | 1,697,595 | 163,875 | |||||||||
Goldman Sachs Core Fixed Income Institutional Class/ Expedition Investment Grade Bond Fund Institutional Class | 6,680,820 | 67,342,702 | 6,509,242 | |||||||||
The following chart shows the Survivor Fund’s and Acquired Fund’s aggregate net assets (immediately before and after the completion of the acquisition) and the Acquired Fund’s unrealized appreciation.
Survivor Fund’s | ||||||||||||||||
Survivor Fund’s | Acquired Fund’s | Aggregate | ||||||||||||||
Aggregate | Aggregate | Acquired | Net Assets | |||||||||||||
Net Assets | Net Assets | Fund’s | immediately | |||||||||||||
before | before | Unrealized | after | |||||||||||||
Survivor/Acquired Fund | acquisition | acquisition | Appreciation | acquisition | ||||||||||||
Goldman Sachs Core Fixed Income/ Expedition Investment Grade Bond Fund | $ | 1,459,857,120 | $ | 73,493,151 | $ | 4,701,480 | $ | 1,533,350,271 | ||||||||
As of April 29, 2005, GSAM and certain of the Fund’s vendors have determined to make one-time reimbursements in the amounts of $65,713 and $197,141, respectively, to the Enhanced Income Fund for certain adjustments relating to income distribution payable balances.
7. ADDITIONAL TAX INFORMATION |
Ultra-Short | Investment | |||||||||||||||||||||||||||||
Enhanced | Duration | Short Duration | Government | Core Fixed | Grade | |||||||||||||||||||||||||
Income | Government | Government | Income | U.S. Mortgages | Income | Credit | ||||||||||||||||||||||||
Capital loss carryforward: | ||||||||||||||||||||||||||||||
Expiring 2005 | $ | — | $ | — | $ | (136,643 | ) | $ | — | $ | — | $ | — | $ | — | |||||||||||||||
Expiring 2006 | — | (304,645 | ) | — | — | — | — | — | ||||||||||||||||||||||
Expiring 2007 | — | (1,739,320 | ) | (3,752,449 | ) | — | — | (1,559,444 | ) | — | ||||||||||||||||||||
Expiring 2008 | — | (2,563,050 | ) | (2,289,664 | ) | — | — | — | — | |||||||||||||||||||||
Expiring 2009 | (8,296,566 | ) | — | — | — | — | — | — | ||||||||||||||||||||||
Expiring 2010 | (65,331,932 | ) | (55,038,717 | ) | — | — | — | (499,940 | ) | — | ||||||||||||||||||||
Expiring 2011 | — | (55,920,321 | ) | (2,403,563 | ) | — | — | (102,001 | ) | — | ||||||||||||||||||||
Expiring 2012 | (7,471,508 | ) | (24,528,394 | ) | (9,994,195 | ) | — | — | — | — | ||||||||||||||||||||
Total capital loss carryforward: | $ | (81,100,006 | ) | $ | (140,094,447 | ) | $ | (18,576,514 | ) | $ | — | $ | — | $ | (2,161,385 | ) | $ | — | ||||||||||||
Timing differences (income distribution payable, straddles) | $ | (71,607 | ) | $ | (1,342,960 | ) | $ | (376,628 | ) | $ | (107,996 | ) | $ | (234,090 | ) | $ | (1,226,106 | ) | $ | (20,005 | ) | |||||||||
At April 30, 2005, the Funds’ aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes was as follows:
Ultra-Short | ||||||||||||||||||||||||||||
Enhanced | Duration | Short Duration | Government | Core Fixed | Investment | |||||||||||||||||||||||
Income | Government | Government | Income | U.S. Mortgages | Income | Grade Credit | ||||||||||||||||||||||
Tax Cost | $ | 450,405,452 | $ | 1,062,202,219 | $ | 785,533,031 | $ | 894,678,500 | $ | 684,466,621 | $ | 2,201,101,141 | $ | 141,912,975 | ||||||||||||||
Gross unrealized gain | 1,487,213 | 1,719,746 | 1,173,413 | 9,334,210 | 3,034,835 | 24,084,126 | 938,706 | |||||||||||||||||||||
Gross unrealized loss | (2,896,538 | ) | (7,972,930 | ) | (6,763,381 | ) | (4,616,851 | ) | (1,363,180 | ) | (5,297,632 | ) | (1,457,185 | ) | ||||||||||||||
Net unrealized security gain (loss) | $ | (1,409,325 | ) | $ | (6,253,184 | ) | $ | (5,589,968 | ) | $ | 4,717,359 | $ | 1,671,655 | $ | 18,786,494 | $ | (518,479 | ) | ||||||||||
The difference between book-basis and tax-basis unrealized gains (losses) is attributable primarily to wash sales and differing treatment of amortization of market premium.
8. SUMMARY OF SHARE TRANSACTIONS |
Enhanced Income Fund | ||||||||||||||||
For the Six Months Ended | ||||||||||||||||
April 30, 2005 | For the Year Ended | |||||||||||||||
(Unaudited) | October 31, 2004 | |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 2,748,467 | $ | 26,965,930 | 11,577,069 | $ | 114,858,282 | ||||||||||
Shares converted from Class B(a) | — | — | — | — | ||||||||||||
Reinvestment of dividends and distributions | 153,202 | 1,490,768 | 555,634 | 5,498,046 | ||||||||||||
Shares repurchased | (9,712,213 | ) | (94,549,034 | ) | (34,611,540 | ) | (343,019,556 | ) | ||||||||
(6,810,544 | ) | (66,092,336 | ) | (22,478,837 | ) | (222,663,228 | ) | |||||||||
Class B Shares | ||||||||||||||||
Shares sold | — | — | — | — | ||||||||||||
Reinvestment of dividends and distributions | — | — | — | — | ||||||||||||
Shares converted to Class A(a) | — | — | — | — | ||||||||||||
Shares repurchased | — | — | — | — | ||||||||||||
— | — | — | — | |||||||||||||
Class C Shares | ||||||||||||||||
Shares sold | — | — | — | — | ||||||||||||
Reinvestment of dividends and distributions | — | — | — | — | ||||||||||||
Shares repurchased | — | — | — | — | ||||||||||||
— | — | — | — | |||||||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 11,204,565 | 108,798,597 | 45,662,785 | 452,230,203 | ||||||||||||
Reinvestment of dividends and distributions | 557,808 | 5,422,626 | 2,269,730 | 22,424,991 | ||||||||||||
Shares repurchased | (29,193,592 | ) | (283,787,737 | ) | (108,455,706 | ) | (1,070,769,248 | ) | ||||||||
(17,431,219 | ) | (169,566,514 | ) | (60,523,191 | ) | (596,114,054 | ) | |||||||||
Administration Shares | ||||||||||||||||
Shares sold | 572 | 5,557 | 440,058 | 4,370,347 | ||||||||||||
Reinvestment of dividends and distributions | 5,006 | 48,728 | 81,239 | 806,077 | ||||||||||||
Shares repurchased | (230,909 | ) | (2,248,942 | ) | (1,596,583 | ) | (15,749,419 | ) | ||||||||
(225,331 | ) | (2,194,657 | ) | (1,075,286 | ) | (10,572,995 | ) | |||||||||
Service Shares | ||||||||||||||||
Shares sold | — | — | — | — | ||||||||||||
Reinvestment of dividends and distributions | — | — | — | — | ||||||||||||
Shares repurchased | — | — | — | — | ||||||||||||
— | — | — | — | |||||||||||||
NET DECREASE | (24,467,094 | ) | $ | (237,853,507 | ) | (84,077,314 | ) | $ | (829,350,277 | ) | ||||||
(a) | Class B Shares automatically convert into Class A Shares at the end of the calendar quarter that is eight years after the initial purchase date of either the Fund or another Goldman Sachs Fund. |
Ultra-Short Duration Government Fund | Short Duration Government Fund | |||||||||||||||||||||||||||||||
For the Six Months Ended | For the Six Months Ended | |||||||||||||||||||||||||||||||
April 30, 2005 | For the Year Ended | April 30, 2005 | For the Year Ended | |||||||||||||||||||||||||||||
(Unaudited) | October 31, 2004 | (Unaudited) | October 31, 2004 | |||||||||||||||||||||||||||||
Shares | Dollars | Shares | Dollars | Shares | Dollars | Shares | Dollars | |||||||||||||||||||||||||
3,937,706 | $ | 36,688,806 | 25,240,632 | $ | 237,862,438 | 8,107,804 | $ | 79,341,225 | 19,406,075 | $ | 192,702,559 | |||||||||||||||||||||
— | — | — | — | 43,258 | 423,642 | 1,714 | 16,884 | |||||||||||||||||||||||||
322,360 | 3,002,894 | 1,308,193 | 12,314,699 | 306,791 | 2,999,268 | 749,886 | 7,446,506 | |||||||||||||||||||||||||
(19,470,874 | ) | (181,379,553 | ) | (67,706,046 | ) | (638,704,540 | ) | (8,944,214 | ) | (87,593,433 | ) | (19,310,615 | ) | (192,017,514 | ) | |||||||||||||||||
(15,210,808 | ) | (141,687,853 | ) | (41,157,221 | ) | (388,527,403 | ) | (486,361 | ) | (4,829,298 | ) | 847,060 | 8,148,435 | |||||||||||||||||||
— | — | — | — | 19,448 | 189,959 | 720,499 | 7,136,589 | |||||||||||||||||||||||||
— | — | — | — | 24,900 | 242,638 | 76,738 | 759,681 | |||||||||||||||||||||||||
— | — | — | — | (43,427 | ) | (423,642 | ) | (1,721 | ) | (16,884 | ) | |||||||||||||||||||||
— | — | — | — | (816,722 | ) | (7,962,434 | ) | (1,958,245 | ) | (19,410,895 | ) | |||||||||||||||||||||
— | — | — | — | (815,801 | ) | (7,953,479 | ) | (1,162,729 | ) | (11,531,509 | ) | |||||||||||||||||||||
— | — | — | — | 419,571 | 4,083,209 | 1,556,106 | 15,377,192 | |||||||||||||||||||||||||
— | — | — | — | 48,978 | 475,972 | 156,761 | 1,548,206 | |||||||||||||||||||||||||
— | — | — | — | (2,277,182 | ) | (22,155,248 | ) | (5,604,109 | ) | (55,438,021 | ) | |||||||||||||||||||||
— | — | — | — | (1,808,633 | ) | (17,596,067 | ) | (3,891,242 | ) | (38,512,623 | ) | |||||||||||||||||||||
19,823,020 | 182,040,991 | 80,182,724 | 756,714,855 | 9,195,542 | 89,535,536 | 55,813,976 | 552,367,888 | |||||||||||||||||||||||||
687,402 | 6,412,550 | 3,280,359 | 30,935,856 | 394,827 | 3,850,789 | 1,115,533 | 11,053,540 | |||||||||||||||||||||||||
(61,902,247 | ) | (577,480,965 | ) | (166,908,820 | ) | (1,576,795,705 | ) | (12,170,647 | ) | (118,798,596 | ) | (59,783,377 | ) | (590,819,874 | ) | |||||||||||||||||
(41,391,825 | ) | (389,027,424 | ) | (83,445,737 | ) | (789,144,994 | ) | (2,580,278 | ) | (25,412,271 | ) | (2,853,868 | ) | (27,398,446 | ) | |||||||||||||||||
— | — | — | — | — | — | — | — | |||||||||||||||||||||||||
— | — | — | — | — | — | — | — | |||||||||||||||||||||||||
— | — | — | — | — | — | — | — | |||||||||||||||||||||||||
— | — | — | — | — | — | — | — | |||||||||||||||||||||||||
845,128 | 7,910,152 | 4,583,608 | 43,135,183 | 447,711 | 4,360,225 | 710,735 | 6,998,575 | |||||||||||||||||||||||||
57,808 | 541,079 | 136,186 | 1,286,512 | 6,158 | 59,943 | 15,251 | 150,956 | |||||||||||||||||||||||||
(1,587,892 | ) | (14,859,528 | ) | (6,145,127 | ) | (58,007,897 | ) | (270,552 | ) | (2,637,316 | ) | (220,232 | ) | (2,185,293 | ) | |||||||||||||||||
(684,956 | ) | (6,408,297 | ) | (1,425,333 | ) | (13,586,202 | ) | 183,317 | 1,782,852 | 505,754 | 4,964,238 | |||||||||||||||||||||
(57,287,589 | ) | $ | (537,123,574 | ) | (126,028,291 | ) | $ | (1,191,258,599 | ) | (5,507,756 | ) | $ | (54,008,263 | ) | (6,555,025 | ) | $ | (64,329,905 | ) | |||||||||||||
8. SUMMARY OF SHARE TRANSACTIONS (continued) |
Government Income Fund | ||||||||||||||||
For the Six Months Ended | ||||||||||||||||
April 30, 2005 | For the Year Ended | |||||||||||||||
(Unaudited) | October 31, 2004 | |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 12,588,571 | $ | 185,736,774 | 16,612,966 | $ | 247,047,117 | ||||||||||
Shares issued in connection with merger | — | — | — | — | ||||||||||||
Shares converted from Class B(b) | 11,553 | 187,907 | 3,900 | 57,135 | ||||||||||||
Reinvestment of dividends and distributions | 794,625 | 11,736,650 | 1,060,311 | 15,749,403 | ||||||||||||
Shares repurchased | (5,405,861 | ) | (79,718,861 | ) | (8,756,011 | ) | (130,148,357 | ) | ||||||||
7,988,888 | 117,942,470 | 8,921,166 | 132,705,298 | |||||||||||||
Class B Shares | ||||||||||||||||
Shares sold | 82,106 | 1,211,818 | 113,325 | 1,696,567 | ||||||||||||
Shares issued in connection with merger | — | — | — | — | ||||||||||||
Reinvestment of dividends and distributions | 30,734 | 454,156 | 59,411 | 882,314 | ||||||||||||
Shares converted to Class A(b) | (11,553 | ) | (187,907 | ) | (3,900 | ) | (57,135 | ) | ||||||||
Shares repurchased | (347,613 | ) | (5,113,683 | ) | (949,063 | ) | (14,099,171 | ) | ||||||||
(246,326 | ) | (3,635,616 | ) | (780,227 | ) | (11,577,425 | ) | |||||||||
Class C Shares | ||||||||||||||||
Shares sold | 220,399 | 3,253,195 | 376,011 | 5,590,315 | ||||||||||||
Reinvestment of dividends and distributions | 22,065 | 325,692 | 36,416 | 540,480 | ||||||||||||
Shares repurchased | (273,217 | ) | (4,032,658 | ) | (621,769 | ) | (9,221,445 | ) | ||||||||
(30,753 | ) | (453,771 | ) | (209,342 | ) | (3,090,650 | ) | |||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 1,771,370 | 26,053,560 | 3,612,757 | 53,749,670 | ||||||||||||
Shares issued in connection with merger | — | — | — | — | ||||||||||||
Reinvestment of dividends and distributions | 95,569 | 1,409,547 | 348,878 | 5,175,731 | ||||||||||||
Shares repurchased | (2,867,637 | ) | (42,238,375 | ) | (9,475,044 | ) | (140,177,685 | ) | ||||||||
(1,000,698 | ) | (14,775,268 | ) | (5,513,409 | ) | (81,252,284 | ) | |||||||||
Service Shares | ||||||||||||||||
Shares sold | 297,889 | 4,397,322 | 221,131 | 3,292,991 | ||||||||||||
Reinvestment of dividends and distributions | 12,799 | 188,719 | 23,139 | 343,083 | ||||||||||||
Shares repurchased | (152,931 | ) | (2,252,603 | ) | (318,746 | ) | (4,740,042 | ) | ||||||||
157,757 | 2,333,438 | (74,476 | ) | (1,103,968 | ) | |||||||||||
Separate Account Institutional Shares | ||||||||||||||||
Shares sold | — | — | — | — | ||||||||||||
Reinvestment of dividends and distributions | — | — | — | — | ||||||||||||
Shares repurchased | — | — | — | — | ||||||||||||
— | — | — | — | |||||||||||||
NET INCREASE | 6,868,868 | $ | 101,411,253 | 2,343,712 | $ | 35,680,971 | ||||||||||
(a) | Commencement date of operations was November 3, 2003 for all share classes. |
(b) | Class B Shares automatically convert into Class A Shares at the end of the calendar quarter that is eight years after the initial purchase date of either the Fund or another Goldman Sachs Fund. |
U.S. Mortgages Fund | Core Fixed Income Fund | |||||||||||||||||||||||||||||||
For the Six Months Ended | For the Six Months Ended | |||||||||||||||||||||||||||||||
April 30, 2005 | For the Year Ended | April 30, 2005 | For the Year Ended | |||||||||||||||||||||||||||||
(Unaudited) | October 31, 2004(a) | (Unaudited) | October 31, 2004 | |||||||||||||||||||||||||||||
Shares | Dollars | Shares | Dollars | Shares | Dollars | Shares | Dollars | |||||||||||||||||||||||||
4,985,249 | $ | 49,744,943 | 813,769 | $ | 8,156,495 | 19,888,322 | $ | 200,382,995 | 23,042,214 | $ | 234,037,752 | |||||||||||||||||||||
— | — | — | — | 443,072 | 4,452,854 | 823,359 | 8,431,573 | |||||||||||||||||||||||||
— | — | — | — | 14,297 | 142,868 | 6,250 | 63,995 | |||||||||||||||||||||||||
11,944 | 118,955 | 1,069 | 10,756 | 1,370,133 | 13,799,663 | 2,431,562 | 24,537,930 | |||||||||||||||||||||||||
(4,030,488 | ) | (40,275,853 | ) | (753,398 | ) | (7,452,480 | ) | (10,369,498 | ) | (104,410,671 | ) | (18,420,179 | ) | (187,084,045 | ) | |||||||||||||||||
966,705 | 9,588,045 | 61,440 | 714,771 | 11,346,326 | 114,367,709 | 7,883,206 | 79,987,205 | |||||||||||||||||||||||||
— | — | — | — | 185,593 | 1,878,122 | 473,475 | 4,834,612 | |||||||||||||||||||||||||
— | — | — | — | 168,245 | 1,697,595 | — | — | |||||||||||||||||||||||||
— | — | — | — | 59,259 | 599,519 | 149,648 | 1,515,016 | |||||||||||||||||||||||||
— | — | — | — | (14,240 | ) | (142,868 | ) | (6,225 | ) | (63,995 | ) | |||||||||||||||||||||
— | — | — | — | (449,318 | ) | (4,538,522 | ) | (1,088,312 | ) | (11,054,799 | ) | |||||||||||||||||||||
— | — | — | — | (50,461 | ) | (506,154 | ) | (471,414 | ) | (4,769,166 | ) | |||||||||||||||||||||
— | — | — | — | 476,812 | 4,826,195 | 938,240 | 9,571,079 | |||||||||||||||||||||||||
— | — | — | — | 53,208 | 538,341 | 124,690 | 1,262,682 | |||||||||||||||||||||||||
— | — | — | — | (604,796 | ) | (6,117,551 | ) | (1,153,385 | ) | (11,694,906 | ) | |||||||||||||||||||||
— | — | — | — | (74,776 | ) | (753,015 | ) | (90,455 | ) | (861,145 | ) | |||||||||||||||||||||
4,364,262 | 43,505,990 | 19,348,872 | 194,645,054 | 33,671,054 | 338,488,581 | 28,019,073 | 285,959,047 | |||||||||||||||||||||||||
— | — | — | — | 6,680,820 | 67,342,702 | 8,116,873 | 83,358,821 | |||||||||||||||||||||||||
178,757 | 1,787,636 | 165,299 | 1,664,539 | 1,633,997 | 16,514,907 | 3,577,410 | 36,214,307 | |||||||||||||||||||||||||
(8,273,296 | ) | (82,275,449 | ) | (7,715,800 | ) | (77,163,423 | ) | (21,314,517 | ) | (215,721,298 | ) | (23,251,450 | ) | (237,200,260 | ) | |||||||||||||||||
(3,730,277 | ) | (36,981,823 | ) | 11,798,371 | 119,146,170 | 20,671,354 | 206,624,892 | 16,461,906 | 168,331,915 | |||||||||||||||||||||||
— | — | — | — | 1,736,527 | 17,495,782 | 681,092 | 6,914,722 | |||||||||||||||||||||||||
— | — | — | — | 47,038 | 475,687 | 120,666 | 1,221,322 | |||||||||||||||||||||||||
— | — | — | — | (388,992 | ) | (3,922,531 | ) | (945,684 | ) | (9,599,232 | ) | |||||||||||||||||||||
— | — | — | — | 1,394,573 | 14,048,938 | (143,926 | ) | (1,463,188 | ) | |||||||||||||||||||||||
25,329,786 | 251,314,570 | 19,797,635 | 199,083,534 | — | — | — | — | |||||||||||||||||||||||||
480,878 | 4,803,111 | 257,664 | 2,595,389 | — | — | — | — | |||||||||||||||||||||||||
(2,373,313 | ) | (23,725,594 | ) | (10,123,876 | ) | (102,654,572 | ) | — | — | — | — | |||||||||||||||||||||
23,437,351 | 232,392,087 | 9,931,423 | 99,024,351 | — | — | — | — | |||||||||||||||||||||||||
20,673,779 | $ | 204,998,309 | 21,791,234 | $ | 218,885,292 | 33,287,016 | $ | 333,782,370 | 23,639,317 | $ | 241,225,621 | |||||||||||||||||||||
8. SUMMARY OF SHARE TRANSACTIONS (continued) |
Investment Grade Credit Fund | ||||||||||||||||
For the Six Months Ended | ||||||||||||||||
April 30, 2005 | For the Year Ended | |||||||||||||||
(Unaudited) | October 31, 2004(a) | |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 203,894 | $ | 2,080,907 | 210,429 | $ | 2,116,588 | ||||||||||
Reinvestment of dividends and distributions | 5,353 | 54,512 | 1,252 | 12,774 | ||||||||||||
Shares repurchased | (61,515 | ) | (623,917 | ) | (312 | ) | (3,205 | ) | ||||||||
147,732 | 1,511,502 | 211,369 | 2,126,157 | |||||||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 451,255 | 4,531,000 | 3,149,789 | 32,123,267 | ||||||||||||
Reinvestment of dividends and distributions | 1,616 | 16,453 | 44,185 | 445,690 | ||||||||||||
Shares repurchased | (121,063 | ) | (1,230,000 | ) | (3,186,639 | ) | (31,824,677 | ) | ||||||||
331,808 | 3,317,453 | 7,335 | 744,280 | |||||||||||||
Separate Account Institutional Shares | ||||||||||||||||
Shares sold | 8,925,410 | 90,882,490 | 7,324,897 | 73,897,912 | ||||||||||||
Reinvestment of dividends and distributions | 223,064 | 2,272,706 | 72,215 | 736,933 | ||||||||||||
Shares repurchased | (2,331,119 | ) | (23,638,780 | ) | (583,286 | ) | (6,017,772 | ) | ||||||||
6,817,355 | 69,516,416 | 6,813,826 | 68,617,073 | |||||||||||||
NET INCREASE | 7,296,895 | $ | 74,345,371 | 7,032,530 | $ | 71,487,510 | ||||||||||
(a) | Commencement date of operations was November 3, 2003 for all share classes. |
9. SUBSEQUENT EVENTS |
Ultra-Short | Short | Core | Investment | |||||||||||||||||||||||||
Enhanced | Duration | Duration | Government | U.S. | Fixed | Grade | ||||||||||||||||||||||
Asset level | Income1 | Government | Government | Income | Mortgages1 | Income | Credit1 | |||||||||||||||||||||
Up to $1 billion | 0.25% | 0.40% | 0.50% | 0.54% | 0.40% | 0.40% | 0.40% | |||||||||||||||||||||
Next $1 billion | 0.23 | 0.36 | 0.45 | 0.49 | 0.36 | 0.36 | 0.36 | |||||||||||||||||||||
Over $2 billion | 0.22 | 0.34 | 0.43 | 0.47 | 0.34 | 0.34 | 0.34 | |||||||||||||||||||||
1 | These Funds currently have management fee waivers in place, which will continue on a voluntary basis. Current management fees are below the rates listed in the table. |
Also on the above meeting date, the Board of Trustees approved a contractual reduction in Transfer Agent fees to an annual rate of 0.16% of the average daily net asset value of the Funds’ for Class A, Class B and Class C Shares, effective July 1, 2005.
Financial Highlights
Income (loss) from | Distributions | |||||||||||||||||||||||
investment operations | to shareholders | |||||||||||||||||||||||
Net asset | ||||||||||||||||||||||||
value, | Net | Net realized | Total from | From net | ||||||||||||||||||||
beginning | investment | and unrealized | investment | investment | ||||||||||||||||||||
Year-Share Class | of period | income(c) | gain (loss) | operations | income | |||||||||||||||||||
FOR THE SIX MONTHS ENDED APRIL 30, (Unaudited) | ||||||||||||||||||||||||
2005 - A | $ | 9.78 | $ | 0.14 | $ | (0.07 | ) | $ | 0.07 | $ | (0.14 | ) | ||||||||||||
2005 - Institutional | 9.77 | 0.16 | (0.07 | ) | 0.09 | (0.16 | ) | |||||||||||||||||
2005 - Administration | 9.78 | 0.15 | (0.07 | ) | 0.08 | (0.15 | ) | |||||||||||||||||
FOR THE YEARS ENDED OCTOBER 31, | ||||||||||||||||||||||||
2004 - A | 9.99 | 0.25 | (0.19 | ) | 0.06 | (0.27 | ) | |||||||||||||||||
2004 - Institutional | 9.98 | 0.30 | (0.20 | ) | 0.10 | (0.31 | ) | |||||||||||||||||
2004 - Administration | 9.99 | 0.27 | (0.19 | ) | 0.08 | (0.29 | ) | |||||||||||||||||
2003 - A | 10.13 | 0.33 | (0.15 | ) | 0.18 | (0.32 | ) | |||||||||||||||||
2003 - Institutional | 10.12 | 0.37 | (0.15 | ) | 0.22 | (0.36 | ) | |||||||||||||||||
2003 - Administration | 10.13 | 0.33 | (0.14 | ) | 0.19 | (0.33 | ) | |||||||||||||||||
2002 - A | 10.26 | 0.38 | (0.13 | ) | 0.25 | (0.38 | ) | |||||||||||||||||
2002 - Institutional | 10.26 | 0.42 | (0.14 | ) | 0.28 | (0.42 | ) | |||||||||||||||||
2002 - Administration | 10.27 | 0.40 | (0.14 | ) | 0.26 | (0.40 | ) | |||||||||||||||||
2001 - A | 10.00 | 0.45 | 0.34 | 0.79 | (0.53 | ) | ||||||||||||||||||
2001 - Institutional | 10.00 | 0.55 | 0.28 | 0.83 | (0.57 | ) | ||||||||||||||||||
2001 - Administration | 10.00 | 0.49 | 0.32 | 0.81 | (0.54 | ) | ||||||||||||||||||
FOR THE PERIOD ENDED OCTOBER 31, | ||||||||||||||||||||||||
2000 - A (commenced August 2, 2000) | 10.00 | 0.11 | 0.06 | 0.17 | (0.17 | ) | ||||||||||||||||||
2000 - Institutional (commenced August 2, 2000) | 10.00 | 0.16 | 0.01 | 0.17 | (0.17 | ) | ||||||||||||||||||
2000 - Administration (commenced August 2, 2000) | 10.00 | 0.15 | 0.02 | 0.17 | (0.17 | ) | ||||||||||||||||||
(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. |
100
Ratios assuming no | ||||||||||||||||||||||||||||||||||
expense reductions | ||||||||||||||||||||||||||||||||||
Ratio of | Ratio of | Ratio of | ||||||||||||||||||||||||||||||||
Net assets, | Ratio of | net investment | total | net investment | ||||||||||||||||||||||||||||||
Net asset | end of | net expenses | income to | expenses | income to | Portfolio | ||||||||||||||||||||||||||||
value, end | Total | period | to average | average net | to average | average net | turnover | |||||||||||||||||||||||||||
of period | return(a) | (in 000s) | net assets | assets | net assets | assets | rate | |||||||||||||||||||||||||||
$ | 9.71 | 0.72 | % | $ | 83,339 | 0.65 | %(b) | 2.87 | %(b) | 0.78 | %(b) | 2.74 | %(b) | 17 | % | |||||||||||||||||||
9.70 | 0.92 | 319,694 | 0.25 | (b) | 3.27 | (b) | 0.38 | (b) | 3.14 | (b) | 17 | |||||||||||||||||||||||
9.71 | 0.80 | 36,413 | 0.50 | (b) | 3.02 | (b) | 0.63 | (b) | 2.89 | (b) | 17 | |||||||||||||||||||||||
9.78 | 0.63 | 150,537 | 0.65 | 2.61 | 0.73 | 2.53 | 51 | |||||||||||||||||||||||||||
9.77 | 1.04 | 492,276 | 0.25 | 3.02 | 0.33 | 2.94 | 51 | |||||||||||||||||||||||||||
9.78 | 0.79 | 38,881 | 0.50 | 2.75 | 0.58 | 2.67 | 51 | |||||||||||||||||||||||||||
9.99 | 1.77 | 378,378 | 0.65 | 3.28 | 0.71 | 3.22 | 41 | |||||||||||||||||||||||||||
9.98 | 2.18 | 1,106,956 | 0.25 | 3.65 | 0.31 | 3.59 | 41 | |||||||||||||||||||||||||||
9.99 | 1.93 | 50,463 | 0.50 | 3.34 | 0.56 | 3.28 | 41 | |||||||||||||||||||||||||||
10.13 | 2.48 | 810,768 | 0.65 | 3.70 | 0.72 | 3.63 | 65 | |||||||||||||||||||||||||||
10.12 | 2.79 | 2,071,378 | 0.25 | 4.17 | 0.32 | 4.10 | 65 | |||||||||||||||||||||||||||
10.13 | 2.53 | 18,965 | 0.50 | 3.91 | 0.57 | 3.84 | 65 | |||||||||||||||||||||||||||
10.26 | 8.10 | 151,497 | 0.65 | 4.60 | 0.80 | 4.45 | 127 | |||||||||||||||||||||||||||
10.26 | 8.53 | 807,871 | 0.25 | 5.40 | 0.40 | 5.25 | 127 | |||||||||||||||||||||||||||
10.27 | 8.35 | 5,320 | 0.50 | 4.80 | 0.65 | 4.65 | 127 | |||||||||||||||||||||||||||
10.00 | 1.66 | 12,336 | 0.65 | (b) | 4.52 | (b) | 1.77 | (b) | 3.40 | (b) | 31 | |||||||||||||||||||||||
10.00 | 1.76 | 156,525 | 0.25 | (b) | 6.49 | (b) | 1.37 | (b) | 5.37 | (b) | 31 | |||||||||||||||||||||||
10.00 | 1.68 | 2 | 0.50 | (b) | 6.13 | (b) | 1.62 | (b) | 5.01 | (b) | 31 | |||||||||||||||||||||||
Financial Highlights
Income (loss) from | Distributions | |||||||||||||||||||||||||||||||
investment operations | to shareholders | |||||||||||||||||||||||||||||||
Net asset | ||||||||||||||||||||||||||||||||
value, | Net | Net realized | Total from | From net | Net asset | |||||||||||||||||||||||||||
beginning | investment | and unrealized | investment | investment | value, end | Total | ||||||||||||||||||||||||||
Year - Share Class | of period | income(c) | gain (loss) | operations | income | of period | return(a) | |||||||||||||||||||||||||
FOR THE SIX MONTHS ENDED APRIL 30, (Unaudited) | ||||||||||||||||||||||||||||||||
2005 - A | $ | 9.33 | $ | 0.11 | $ | (0.02 | ) | $ | 0.09 | $ | (0.12 | ) | $ | 9.30 | 0.94% | |||||||||||||||||
2005 - Institutional | 9.34 | 0.13 | (0.02 | ) | 0.11 | (0.14 | ) | 9.31 | 1.14 | |||||||||||||||||||||||
2005 - Service | 9.37 | 0.11 | (0.02 | ) | 0.09 | (0.11 | ) | 9.35 | 1.00 | |||||||||||||||||||||||
FOR THE YEARS ENDED OCTOBER 31, | ||||||||||||||||||||||||||||||||
2004 - A | 9.47 | 0.19 | (0.04 | ) | 0.15 | (0.29 | ) | 9.33 | 1.61 | |||||||||||||||||||||||
2004 - Institutional | 9.48 | 0.23 | (0.04 | ) | 0.19 | (0.33 | ) | 9.34 | 2.02 | |||||||||||||||||||||||
2004 - Service | 9.50 | 0.18 | (0.03 | ) | 0.15 | (0.28 | ) | 9.37 | 1.61 | |||||||||||||||||||||||
2003 - A | 9.66 | 0.24 | (0.11 | ) | 0.13 | (0.32 | ) | 9.47 | 1.40 | |||||||||||||||||||||||
2003 - Institutional | 9.68 | 0.28 | (0.12 | ) | 0.16 | (0.36 | ) | 9.48 | 1.69 | |||||||||||||||||||||||
2003 - Service | 9.69 | 0.23 | (0.11 | ) | 0.12 | (0.31 | ) | 9.50 | 1.29 | |||||||||||||||||||||||
2002 - A | 9.79 | 0.31 | (e) | (0.06 | )(e) | 0.25 | (0.38 | ) | 9.66 | 2.57 | ||||||||||||||||||||||
2002 - Institutional | 9.81 | 0.35 | (e) | (0.06 | )(e) | 0.29 | (0.42 | ) | 9.68 | 2.98 | ||||||||||||||||||||||
2002 - Service | 9.82 | 0.31 | (e) | (0.07 | )(e) | 0.24 | (0.37 | ) | 9.69 | 2.46 | ||||||||||||||||||||||
2001 - A | 9.56 | 0.53 | 0.23 | 0.76 | (0.53 | ) | 9.79 | 8.21 | ||||||||||||||||||||||||
2001 - Institutional | 9.58 | 0.56 | 0.24 | 0.80 | (0.57 | ) | 9.81 | 8.62 | ||||||||||||||||||||||||
2001 - Service | 9.58 | 0.42 | 0.34 | 0.76 | (0.52 | ) | 9.82 | 8.19 | ||||||||||||||||||||||||
2000 - A | 9.63 | 0.54 | (0.06 | ) | 0.48 | (0.55 | ) | 9.56 | 5.12 | |||||||||||||||||||||||
2000 - Institutional | 9.64 | 0.58 | (0.05 | ) | 0.53 | (0.59 | ) | 9.58 | 5.65 | |||||||||||||||||||||||
2000 - Service | 9.65 | 0.52 | (0.05 | ) | 0.47 | (0.54 | ) | 9.58 | 4.95 | |||||||||||||||||||||||
(a) | Assumes investment at the net asset value at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges. Total return would be reduced if a sales or redemption charge were taken into account. Total returns for periods less than one full year are not annualized. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of Fund shares. |
(b) | Annualized. |
(c) | Calculated based on the average shares outstanding methodology. |
(d) | Includes the effect of mortgage dollar roll transactions. |
(e) | As required, effective November 1, 2001, the Fund has adopted the provisions of the AICPA Audit and Accounting Guide for Investment Companies and began amortizing all premiums and discounts on debt securities. The effect of this change for the year ended October 31, 2002 was to decrease net investment income per share by $0.05, increase net realized and unrealized gains and losses per share by $0.05, and decrease the ratio of net investment income to average net assets with and without expense reductions by 0.48%. Per share ratios and supplemental data for periods prior to November 1, 2001 have not been restated to reflect this change in presentation. |
102
Ratios assuming no | ||||||||||||||||||||||||||
expense reductions | ||||||||||||||||||||||||||
Ratio of | Ratio of | Ratio of | ||||||||||||||||||||||||
Net assets, | Ratio of | net investment | total | net investment | ||||||||||||||||||||||
end of | net expenses | income to | expenses | income to | Portfolio | |||||||||||||||||||||
period | to average | average net | to average | average net | turnover | |||||||||||||||||||||
(in 000s) | net assets | assets | net assets | assets | rate(d) | |||||||||||||||||||||
$ | 231,084 | 0.89 | %(b) | 2.43 | %(b) | 0.89 | %(b) | 2.43 | %(b) | 42 | % | |||||||||||||||
769,918 | 0.49 | (b) | 2.82 | (b) | 0.49 | (b) | 2.82 | (b) | 42 | |||||||||||||||||
46,690 | 0.99 | (b) | 2.31 | (b) | 0.99 | (b) | 2.31 | (b) | 42 | |||||||||||||||||
373,650 | 0.88 | 2.12 | 0.88 | 2.12 | 103 | |||||||||||||||||||||
1,158,844 | 0.48 | 2.49 | 0.48 | 2.49 | 103 | |||||||||||||||||||||
53,241 | 0.98 | 1.95 | 0.98 | 1.95 | 103 | |||||||||||||||||||||
768,910 | 0.86 | 2.55 | 0.86 | 2.55 | 102 | |||||||||||||||||||||
1,967,845 | 0.46 | 2.95 | 0.46 | 2.95 | 102 | |||||||||||||||||||||
67,480 | 0.96 | 2.43 | 0.96 | 2.43 | 102 | |||||||||||||||||||||
1,000,977 | 0.88 | 3.21 | (e) | 0.88 | 3.21 | (e) | 144 | |||||||||||||||||||
2,646,847 | 0.48 | 3.65 | (e) | 0.48 | 3.65 | (e) | 144 | |||||||||||||||||||
35,883 | 0.98 | 3.20 | (e) | 0.98 | 3.20 | (e) | 144 | |||||||||||||||||||
59,209 | 0.89 | 5.48 | 0.97 | 5.40 | 87 | |||||||||||||||||||||
278,316 | 0.49 | 5.79 | 0.57 | 5.71 | 87 | |||||||||||||||||||||
31,698 | 0.99 | 4.52 | 1.07 | 4.44 | 87 | |||||||||||||||||||||
41,188 | 0.89 | 5.67 | 0.96 | 5.60 | 11 | |||||||||||||||||||||
176,881 | 0.49 | 6.01 | 0.56 | 5.94 | 11 | |||||||||||||||||||||
71 | 0.99 | 5.33 | 1.06 | 5.26 | 11 | |||||||||||||||||||||
Financial Highlights
Income (loss) from | ||||||||||||||||||||||||||||||||||||
investment operations | Distributions to shareholders | |||||||||||||||||||||||||||||||||||
Net asset | ||||||||||||||||||||||||||||||||||||
value, | Net | Net realized | Total from | From net | From | |||||||||||||||||||||||||||||||
beginning | investment | and unrealized | investment | investment | paid-in | Total | ||||||||||||||||||||||||||||||
Year-Share Class | of period | income(c) | gains (loss) | operations | income | capital | distributions | |||||||||||||||||||||||||||||
FOR THE SIX MONTHS ENDED APRIL 30, (Unaudited) | ||||||||||||||||||||||||||||||||||||
2005 - A | $ | 9.86 | $ | 0.11 | $ | (0.09 | ) | $ | 0.02 | $ | (0.13 | ) | $ | — | $ | (0.13 | ) | |||||||||||||||||||
2005 - B | 9.83 | 0.09 | (0.10 | ) | (0.01 | ) | (0.10 | ) | — | (0.10 | ) | |||||||||||||||||||||||||
2005 - C | 9.81 | 0.08 | (0.11 | ) | (0.03 | ) | (0.09 | ) | — | (0.09 | ) | |||||||||||||||||||||||||
2005 - Institutional | 9.84 | 0.13 | (0.09 | ) | 0.04 | (0.15 | ) | — | (0.15 | ) | ||||||||||||||||||||||||||
2005 - Service | 9.82 | 0.11 | (0.10 | ) | 0.01 | (0.12 | ) | — | (0.12 | ) | ||||||||||||||||||||||||||
FOR THE YEARS ENDED OCTOBER 31, | ||||||||||||||||||||||||||||||||||||
2004 - A | 9.99 | 0.24 | (0.06 | ) | 0.18 | (0.30 | ) | (0.01 | ) | (0.31 | ) | |||||||||||||||||||||||||
2004 - B | 9.95 | 0.19 | (0.06 | ) | 0.13 | (0.24 | ) | (0.01 | ) | (0.25 | ) | |||||||||||||||||||||||||
2004 - C | 9.93 | 0.17 | (0.06 | ) | 0.11 | (0.22 | ) | (0.01 | ) | (0.23 | ) | |||||||||||||||||||||||||
2004 - Institutional | 9.96 | 0.28 | (0.05 | ) | 0.23 | (0.33 | ) | (0.02 | ) | (0.35 | ) | |||||||||||||||||||||||||
2004 - Service | 9.95 | 0.22 | (0.05 | ) | 0.17 | (0.29 | ) | (0.01 | ) | (0.30 | ) | |||||||||||||||||||||||||
2003 - A | 10.12 | 0.35 | (0.14 | ) | 0.21 | (0.34 | ) | — | (0.34 | ) | ||||||||||||||||||||||||||
2003 - B | 10.09 | 0.29 | (0.15 | ) | 0.14 | (0.28 | ) | — | (0.28 | ) | ||||||||||||||||||||||||||
2003 - C | 10.07 | 0.27 | (0.14 | ) | 0.13 | (0.27 | ) | — | (0.27 | ) | ||||||||||||||||||||||||||
2003 - Institutional | 10.10 | 0.39 | (0.15 | ) | 0.24 | (0.38 | ) | — | (0.38 | ) | ||||||||||||||||||||||||||
2003 - Service | 10.09 | 0.34 | (0.15 | ) | 0.19 | (0.33 | ) | — | (0.33 | ) | ||||||||||||||||||||||||||
2002 - A | 10.04 | 0.37 | (e) | 0.14 | (e) | 0.51 | (0.43 | ) | — | (0.43 | ) | |||||||||||||||||||||||||
2002 - B | 10.01 | 0.31 | (e) | 0.14 | (e) | 0.45 | (0.37 | ) | — | (0.37 | ) | |||||||||||||||||||||||||
2002 - C | 9.99 | 0.28 | (e) | 0.16 | (e) | 0.44 | (0.36 | ) | — | (0.36 | ) | |||||||||||||||||||||||||
2002 - Institutional | 10.02 | 0.42 | (e) | 0.13 | (e) | 0.55 | (0.47 | ) | — | (0.47 | ) | |||||||||||||||||||||||||
2002 - Service | 10.01 | 0.37 | (e) | 0.13 | (e) | 0.50 | (0.42 | ) | — | (0.42 | ) | |||||||||||||||||||||||||
2001 - A | 9.49 | 0.51 | 0.60 | 1.11 | (0.56 | ) | — | (0.56 | ) | |||||||||||||||||||||||||||
2001 - B | 9.46 | 0.47 | 0.58 | 1.05 | (0.50 | ) | — | (0.50 | ) | |||||||||||||||||||||||||||
2001 - C | 9.45 | 0.44 | 0.58 | 1.02 | (0.48 | ) | — | (0.48 | ) | |||||||||||||||||||||||||||
2001 - Institutional | 9.47 | 0.57 | 0.58 | 1.15 | (0.60 | ) | — | (0.60 | ) | |||||||||||||||||||||||||||
2001 - Service | 9.46 | 0.53 | 0.57 | 1.10 | (0.55 | ) | — | (0.55 | ) | |||||||||||||||||||||||||||
2000 - A | 9.57 | 0.59 | (0.07 | ) | 0.52 | (0.60 | ) | — | (0.60 | ) | ||||||||||||||||||||||||||
2000 - B | 9.56 | 0.53 | (0.09 | ) | 0.44 | (0.54 | ) | — | (0.54 | ) | ||||||||||||||||||||||||||
2000 - C | 9.54 | 0.51 | (0.07 | ) | 0.44 | (0.53 | ) | — | (0.53 | ) | ||||||||||||||||||||||||||
2000 - Institutional | 9.57 | 0.63 | (0.09 | ) | 0.54 | (0.64 | ) | — | (0.64 | ) | ||||||||||||||||||||||||||
2000 - Service | 9.56 | 0.58 | (0.09 | ) | 0.49 | (0.59 | ) | — | (0.59 | ) | ||||||||||||||||||||||||||
(a) | Assumes investment at the net asset value at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges. Total return would be reduced if a sales or redemption charge were taken into account. Total returns for periods less than one full year are not annualized. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of Fund shares. |
(b) | Annualized. |
(c) | Calculated based on the average shares outstanding methodology. |
(d) | Includes the effect of mortgage dollar roll transactions. |
(e) | As required, effective November 1, 2001, the Fund has adopted the provisions of the AICPA Audit and Accounting Guide for Investment Companies and began amortizing all premiums and discounts on debt securities. The effect of this change for the year ended October 31, 2002 was to decrease net investment income per share by $0.06, increase net realized and unrealized gains and losses per share by $0.06, and decrease the ratio of net investment income to average net assets with and without expense reduction by 0.63%. Per share ratios and supplemental data for periods prior to November 1, 2001 have not been restated to reflect this change in presentation. |
104
Ratios assuming no | ||||||||||||||||||||||||||||||||||
expense reductions | ||||||||||||||||||||||||||||||||||
Ratio of | Ratio of | Ratio of | ||||||||||||||||||||||||||||||||
Net assets, | Ratio of | net investment | total | net investment | ||||||||||||||||||||||||||||||
Net asset | end of | net expenses | income to | expenses | income to | Portfolio | ||||||||||||||||||||||||||||
value, end | Total | period | to average | average net | to average | average net | turnover | |||||||||||||||||||||||||||
of period | return(a) | (in 000s) | net assets | assets | net assets | assets | rate(d) | |||||||||||||||||||||||||||
$ | 9.75 | 0.19 | % | $ | 313,452 | 0.94 | %(b) | 2.33 | %(b) | 1.01 | %(b) | 2.26 | %(b) | 51 | % | |||||||||||||||||||
9.72 | (0.11 | ) | 30,160 | 1.54 | (b) | 1.77 | (b) | 1.76 | (b) | 1.55 | (b) | 51 | ||||||||||||||||||||||
9.69 | (0.28 | ) | 71,750 | 1.69 | (b) | 1.62 | (b) | 1.76 | (b) | 1.55 | (b) | 51 | ||||||||||||||||||||||
9.73 | 0.39 | 352,542 | 0.54 | (b) | 2.75 | (b) | 0.61 | (b) | 2.68 | (b) | 51 | |||||||||||||||||||||||
9.71 | 0.14 | 12,701 | 1.04 | (b) | 2.22 | (b) | 1.11 | (b) | 2.15 | (b) | 51 | |||||||||||||||||||||||
9.86 | 1.81 | 321,863 | 0.94 | 2.41 | 1.00 | 2.35 | 249 | |||||||||||||||||||||||||||
9.83 | 1.31 | 38,526 | 1.54 | 1.85 | 1.75 | 1.64 | 249 | |||||||||||||||||||||||||||
9.81 | 1.16 | 90,317 | 1.69 | 1.71 | 1.75 | 1.65 | 249 | |||||||||||||||||||||||||||
9.84 | 2.33 | 382,008 | 0.54 | 2.79 | 0.60 | 2.73 | 249 | |||||||||||||||||||||||||||
9.82 | 1.72 | 11,047 | 1.04 | 2.22 | 1.10 | 2.16 | 249 | |||||||||||||||||||||||||||
9.99 | 2.11 | 317,379 | 0.95 | 3.46 | 1.01 | 3.40 | 184 | |||||||||||||||||||||||||||
9.95 | 1.41 | 50,580 | 1.55 | 2.87 | 1.76 | 2.66 | 184 | |||||||||||||||||||||||||||
9.93 | 1.26 | 130,087 | 1.70 | 2.71 | 1.76 | 2.65 | 184 | |||||||||||||||||||||||||||
9.96 | 2.43 | 415,210 | 0.55 | 3.86 | 0.61 | 3.80 | 184 | |||||||||||||||||||||||||||
9.95 | 1.92 | 6,156 | 1.05 | 3.36 | 1.11 | 3.30 | 184 | |||||||||||||||||||||||||||
10.12 | 5.26 | 246,763 | 0.94 | 3.69 | (e) | 1.04 | 3.59 | (e) | 194 | |||||||||||||||||||||||||
10.09 | 4.65 | 49,874 | 1.54 | 3.09 | (e) | 1.79 | 2.84 | (e) | 194 | |||||||||||||||||||||||||
10.07 | 4.50 | 95,458 | 1.69 | 2.84 | (e) | 1.79 | 2.74 | (e) | 194 | |||||||||||||||||||||||||
10.10 | 5.69 | 280,452 | 0.54 | 4.20 | (e) | 0.64 | 4.10 | (e) | 194 | |||||||||||||||||||||||||
10.09 | 5.17 | 11,471 | 1.04 | 3.70 | (e) | 1.14 | 3.60 | (e) | 194 | |||||||||||||||||||||||||
10.04 | 12.00 | 88,394 | 0.94 | 5.26 | 1.11 | 5.09 | 243 | |||||||||||||||||||||||||||
10.01 | 11.38 | 16,809 | 1.54 | 4.80 | 1.86 | 4.48 | 243 | |||||||||||||||||||||||||||
9.99 | 11.12 | 18,871 | 1.69 | 4.59 | 1.86 | 4.42 | 243 | |||||||||||||||||||||||||||
10.02 | 12.47 | 206,129 | 0.54 | 5.89 | 0.71 | 5.72 | 243 | |||||||||||||||||||||||||||
10.01 | 11.93 | 8,154 | 1.04 | 5.40 | 1.21 | 5.23 | 243 | |||||||||||||||||||||||||||
9.49 | 5.65 | 29,446 | 0.94 | 6.21 | 1.13 | 6.02 | 130 | |||||||||||||||||||||||||||
9.46 | 4.80 | 5,743 | 1.54 | 5.63 | 1.88 | 5.29 | 130 | |||||||||||||||||||||||||||
9.45 | 4.76 | 5,128 | 1.69 | 5.45 | 1.88 | 5.26 | 130 | |||||||||||||||||||||||||||
9.47 | 5.85 | 131,462 | 0.54 | 6.64 | 0.73 | 6.45 | 130 | |||||||||||||||||||||||||||
9.46 | 5.32 | 6,134 | 1.04 | 6.14 | 1.23 | 5.95 | 130 | |||||||||||||||||||||||||||
Financial Highlights
Income (loss) from | ||||||||||||||||||||||||||||||||
investment operations | Distributions to shareholders | |||||||||||||||||||||||||||||||
Net asset | ||||||||||||||||||||||||||||||||
value, | Net | Net realized | Total from | From net | From net | |||||||||||||||||||||||||||
beginning | investment | and unrealized | investment | investment | realized | Total | ||||||||||||||||||||||||||
Year-Share Class | of period | income | gain (loss) | operations | income | gains | distributions | |||||||||||||||||||||||||
FOR THE SIX MONTHS ENDED APRIL 30, (Unaudited) | ||||||||||||||||||||||||||||||||
2005 - A | $ | 15.00 | $ | 0.19 | (c) | $ | (0.05 | ) | $ | 0.14 | $ | (0.18 | ) | $ | (0.17 | ) | $ | (0.35 | ) | |||||||||||||
2005 - B | 15.00 | 0.14 | (c) | (0.06 | ) | 0.08 | (0.12 | ) | (0.17 | ) | (0.29 | ) | ||||||||||||||||||||
2005 - C | 14.99 | 0.14 | (c) | (0.06 | ) | 0.08 | (0.12 | ) | (0.17 | ) | (0.29 | ) | ||||||||||||||||||||
2005 - Institutional | 14.98 | 0.23 | (c) | (0.05 | ) | 0.18 | (0.21 | ) | (0.17 | ) | (0.38 | ) | ||||||||||||||||||||
2005 - Service | 14.98 | 0.19 | (c) | (0.07 | ) | 0.12 | (0.17 | ) | (0.17 | ) | (0.34 | ) | ||||||||||||||||||||
FOR THE YEARS ENDED OCTOBER 31, | ||||||||||||||||||||||||||||||||
2004 - A | 14.88 | 0.39 | (c) | 0.33 | 0.72 | (0.47 | ) | (0.13 | ) | (0.60 | ) | |||||||||||||||||||||
2004 - B | 14.88 | 0.28 | (c) | 0.32 | 0.60 | (0.35 | ) | (0.13 | ) | (0.48 | ) | |||||||||||||||||||||
2004 - C | 14.87 | 0.28 | (c) | 0.32 | 0.60 | (0.35 | ) | (0.13 | ) | (0.48 | ) | |||||||||||||||||||||
2004 - Institutional | 14.85 | 0.46 | (c) | 0.33 | 0.79 | (0.53 | ) | (0.13 | ) | (0.66 | ) | |||||||||||||||||||||
2004 - Service | 14.85 | 0.37 | (c) | 0.34 | 0.71 | (0.45 | ) | (0.13 | ) | (0.58 | ) | |||||||||||||||||||||
2003 - A | 14.95 | 0.41 | (c) | 0.05 | 0.46 | (0.51 | ) | (0.02 | ) | (0.53 | ) | |||||||||||||||||||||
2003 - B | 14.95 | 0.31 | (c) | 0.04 | 0.35 | (0.40 | ) | (0.02 | ) | (0.42 | ) | |||||||||||||||||||||
2003 - C | 14.94 | 0.31 | (c) | 0.04 | 0.35 | (0.40 | ) | (0.02 | ) | (0.42 | ) | |||||||||||||||||||||
2003 - Institutional | 14.93 | 0.47 | (c) | 0.04 | 0.51 | (0.57 | ) | (0.02 | ) | (0.59 | ) | |||||||||||||||||||||
2003 - Service | 14.92 | 0.41 | (c) | 0.04 | 0.45 | (0.50 | ) | (0.02 | ) | (0.52 | ) | |||||||||||||||||||||
2002 - A | 14.96 | 0.63 | (c)(e) | 0.19 | (e) | 0.82 | (0.67 | ) | (0.16 | ) | (0.83 | ) | ||||||||||||||||||||
2002 - B | 14.96 | 0.52 | (c)(e) | 0.19 | (e) | 0.71 | (0.56 | ) | (0.16 | ) | (0.72 | ) | ||||||||||||||||||||
2002 - C | 14.95 | 0.51 | (c)(e) | 0.20 | (e) | 0.71 | (0.56 | ) | (0.16 | ) | (0.72 | ) | ||||||||||||||||||||
2002 - Institutional | 14.94 | 0.69 | (c)(e) | 0.19 | (e) | 0.88 | (0.73 | ) | (0.16 | ) | (0.89 | ) | ||||||||||||||||||||
2002 - Service | 14.93 | 0.62 | (c)(e) | 0.19 | (e) | 0.81 | (0.66 | ) | (0.16 | ) | (0.82 | ) | ||||||||||||||||||||
2001 - A | 13.84 | 0.78 | (c) | 1.13 | 1.91 | (0.79 | ) | — | (0.79 | ) | ||||||||||||||||||||||
2001 - B | 13.85 | 0.68 | (c) | 1.11 | 1.79 | (0.68 | ) | — | (0.68 | ) | ||||||||||||||||||||||
2001 - C | 13.84 | 0.68 | (c) | 1.11 | 1.79 | (0.68 | ) | — | (0.68 | ) | ||||||||||||||||||||||
2001 - Institutional | 13.82 | 0.83 | (c) | 1.14 | 1.97 | (0.85 | ) | — | (0.85 | ) | ||||||||||||||||||||||
2001 - Service | 13.82 | 0.76 | (c) | 1.13 | 1.89 | (0.78 | ) | — | (0.78 | ) | ||||||||||||||||||||||
2000 - A | 13.70 | 0.82 | 0.15 | 0.97 | (0.83 | ) | — | (0.83 | ) | |||||||||||||||||||||||
2000 - B | 13.72 | 0.71 | 0.15 | 0.86 | (0.73 | ) | — | (0.73 | ) | |||||||||||||||||||||||
2000 - C | 13.71 | 0.71 | 0.14 | 0.85 | (0.72 | ) | — | (0.72 | ) | |||||||||||||||||||||||
2000 - Institutional | 13.69 | 0.87 | 0.14 | 1.01 | (0.88 | ) | — | (0.88 | ) | |||||||||||||||||||||||
2000 - Service | 13.63 | 0.82 | 0.18 | 1.00 | (0.81 | ) | — | (0.81 | ) | |||||||||||||||||||||||
(a) | Assumes investment at the net asset value at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges. Total return would be reduced if a sales or redemption charge were taken into account. Total returns for periods less than one full year are not annualized. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of Fund shares. |
(b) | Annualized. |
(c) | Calculated based on the average shares outstanding methodology. |
(d) | Includes the effect of mortgage dollar roll transactions. |
(e) | As required, effective November 1, 2001, the Fund has adopted the provisions of the AICPA Audit and Accounting Guide for Investment Companies and began amortizing all premiums and discounts on debt securities. The effect of this change for the year ended October 31, 2002 was to decrease net investment income per share by $0.06, increase net realized and unrealized gains and losses per share by $0.06, and decrease the ratio of net investment income to average net assets with and without expense reductions by 0.44%. Per share ratios and supplemental data for periods prior to November 1, 2001 have not been restated to reflect this change in presentation. |
106
Ratios assuming no | ||||||||||||||||||||||||||||||||||
expense reductions | ||||||||||||||||||||||||||||||||||
Ratio of | Ratio of | Ratio of | ||||||||||||||||||||||||||||||||
Net assets, | Ratio of | net investment | total | net investment | ||||||||||||||||||||||||||||||
Net asset | end of | net expenses | income to | expenses | income to | Portfolio | ||||||||||||||||||||||||||||
value, end | Total | period | to average | average net | to average | average net | turnover | |||||||||||||||||||||||||||
of period | return(a) | (in 000s) | net assets | assets | net assets | assets | rate(d) | |||||||||||||||||||||||||||
$ | 14.79 | 0.88 | % | $ | 606,012 | 0.98 | %(b) | 2.65 | %(b) | 1.12 | %(b) | 2.51 | %(b) | 166 | % | |||||||||||||||||||
14.79 | 0.51 | 28,673 | 1.73 | (b) | 1.94 | (b) | 1.87 | (b) | 1.80 | (b) | 166 | |||||||||||||||||||||||
14.78 | 0.58 | 20,035 | 1.73 | (b) | 1.91 | (b) | 1.87 | (b) | 1.77 | (b) | 166 | |||||||||||||||||||||||
14.78 | 1.22 | 54,056 | 0.58 | (b) | 3.11 | (b) | 0.72 | (b) | 2.97 | (b) | 166 | |||||||||||||||||||||||
14.76 | 0.83 | 11,661 | 1.08 | (b) | 2.56 | (b) | 1.22 | (b) | 2.42 | (b) | 166 | |||||||||||||||||||||||
15.00 | 4.99 | 494,883 | 0.98 | 2.60 | 1.17 | 2.41 | 609 | |||||||||||||||||||||||||||
15.00 | 4.21 | 32,782 | 1.73 | 1.93 | 1.92 | 1.74 | 609 | |||||||||||||||||||||||||||
14.99 | 4.14 | 20,778 | 1.73 | 1.91 | 1.92 | 1.72 | 609 | |||||||||||||||||||||||||||
14.98 | 5.35 | 69,770 | 0.58 | 3.12 | 0.77 | 2.93 | 609 | |||||||||||||||||||||||||||
14.98 | 4.90 | 9,467 | 1.08 | 2.55 | 1.27 | 2.36 | 609 | |||||||||||||||||||||||||||
14.88 | 3.11 | 358,058 | 0.99 | 2.78 | 1.18 | 2.59 | 520 | |||||||||||||||||||||||||||
14.88 | 2.34 | 44,120 | 1.74 | 2.06 | 1.93 | 1.87 | 520 | |||||||||||||||||||||||||||
14.87 | 2.34 | 23,720 | 1.74 | 2.05 | 1.93 | 1.86 | 520 | |||||||||||||||||||||||||||
14.85 | 3.60 | 151,111 | 0.59 | 3.16 | 0.78 | 2.97 | 520 | |||||||||||||||||||||||||||
14.85 | 3.01 | 10,491 | 1.09 | 2.72 | 1.28 | 2.53 | 520 | |||||||||||||||||||||||||||
14.95 | 5.77 | 248,719 | 0.98 | 4.26 | (e) | 1.24 | 4.00 | (e) | 226 | |||||||||||||||||||||||||
14.95 | 4.99 | 51,124 | 1.73 | 3.54 | (e) | 1.99 | 3.28 | (e) | 226 | |||||||||||||||||||||||||
14.94 | 4.99 | 24,095 | 1.73 | 3.49 | (e) | 1.99 | 3.23 | (e) | 226 | |||||||||||||||||||||||||
14.93 | 6.13 | 82,523 | 0.58 | 4.74 | (e) | 0.84 | 4.48 | (e) | 226 | |||||||||||||||||||||||||
14.92 | 5.68 | 10,762 | 1.08 | 4.25 | (e) | 1.34 | 3.99 | (e) | 226 | |||||||||||||||||||||||||
14.96 | 14.20 | 142,904 | 0.98 | 5.46 | 1.31 | 5.13 | 473 | |||||||||||||||||||||||||||
14.96 | 13.27 | 34,036 | 1.73 | 4.71 | 2.06 | 4.38 | 473 | |||||||||||||||||||||||||||
14.95 | 13.28 | 13,814 | 1.73 | 4.71 | 2.06 | 4.38 | 473 | |||||||||||||||||||||||||||
14.94 | 14.67 | 34,997 | 0.58 | 5.80 | 0.91 | 5.47 | 473 | |||||||||||||||||||||||||||
14.93 | 14.04 | 8,239 | 1.08 | 5.27 | 1.41 | 4.94 | 473 | |||||||||||||||||||||||||||
13.84 | 7.33 | 88,783 | 0.98 | 6.01 | 1.39 | 5.60 | 341 | |||||||||||||||||||||||||||
13.85 | 6.45 | 18,724 | 1.73 | 5.24 | 2.14 | 4.83 | 341 | |||||||||||||||||||||||||||
13.84 | 6.46 | 7,606 | 1.73 | 5.25 | 2.14 | 4.84 | 341 | |||||||||||||||||||||||||||
13.82 | 7.68 | 7,514 | 0.58 | 6.41 | 0.99 | 6.00 | 341 | |||||||||||||||||||||||||||
13.82 | 7.62 | 373 | 1.08 | 6.02 | 1.49 | 5.61 | 341 | |||||||||||||||||||||||||||
Financial Highlights
Income (loss) from | Distributions | |||||||||||||||||||||||||||||||
investment operations | to shareholders | |||||||||||||||||||||||||||||||
Net asset | ||||||||||||||||||||||||||||||||
value, | Net | Net realized | Total from | From net | From net | |||||||||||||||||||||||||||
beginning | investment | and unrealized | investment | investment | realized | Total | ||||||||||||||||||||||||||
Year-Share Class | of period | income(c) | gain (loss) | operations | income | gains | distributions | |||||||||||||||||||||||||
FOR THE SIX MONTHS ENDED APRIL 30, (Unaudited) | ||||||||||||||||||||||||||||||||
2005 - A | $ | 10.22 | $ | 0.13 | $ | (0.02 | ) | $ | 0.11 | $ | (0.17 | ) | $ | (0.18 | ) | $ | (0.35 | ) | ||||||||||||||
2005 - Institutional | 10.22 | 0.16 | (0.03 | ) | 0.13 | (0.19 | ) | (0.18 | ) | (0.37 | ) | |||||||||||||||||||||
2005 - Separate Account Institutional | 10.21 | 0.16 | (0.03 | ) | 0.13 | (0.19 | ) | (0.18 | ) | (0.37 | ) | |||||||||||||||||||||
FOR THE PERIOD ENDED OCTOBER 31, | ||||||||||||||||||||||||||||||||
2004 - A (commenced November 3, 2003) | 10.00 | 0.22 | 0.33 | 0.55 | (0.33 | ) | — | (0.33 | ) | |||||||||||||||||||||||
2004 - Institutional (commenced November 3, 2003) | 10.00 | 0.29 | 0.31 | 0.60 | (0.38 | ) | — | (0.38 | ) | |||||||||||||||||||||||
2004 - Separate Account Institutional (commenced November 3, 2003) | 10.00 | 0.31 | 0.28 | 0.59 | (0.38 | ) | — | (0.38 | ) | |||||||||||||||||||||||
(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 the periods less than one full year are not annualized. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of Fund shares. |
(b) | Annualized. |
(c) | Calculated based on the average shares outstanding methodology. |
(d) | Includes the effect of mortgage dollar roll transactions. |
108
Ratios assuming no | ||||||||||||||||||||||||||||||||||
expense reductions | ||||||||||||||||||||||||||||||||||
Ratio of | Ratio of | Ratio of | ||||||||||||||||||||||||||||||||
Net assets, | Ratio of | net investment | total | net investment | ||||||||||||||||||||||||||||||
Net asset | end of | net expenses | income to | expenses | income to | Portfolio | ||||||||||||||||||||||||||||
value, end | Total | period | to average | average net | to average | average net | turnover | |||||||||||||||||||||||||||
of period | return(a) | (in 000s) | net assets(b) | assets(b) | net assets(b) | assets(b) | rate(d) | |||||||||||||||||||||||||||
$ | 9.98 | 1.07 | % | $ | 10,258 | 0.81 | % | 2.62 | % | 1.00 | % | 2.43 | % | 487 | % | |||||||||||||||||||
9.98 | 1.28 | 80,530 | 0.39 | 3.28 | 0.60 | 3.07 | 487 | |||||||||||||||||||||||||||
9.97 | 1.31 | 332,815 | 0.34 | 3.07 | 0.55 | 2.86 | 487 | |||||||||||||||||||||||||||
10.22 | 5.60 | 628 | 0.82 | 1.95 | 1.08 | 1.69 | 1953 | |||||||||||||||||||||||||||
10.22 | 6.07 | 120,628 | 0.40 | 2.86 | 0.68 | 2.58 | 1953 | |||||||||||||||||||||||||||
10.21 | 6.03 | 101,429 | 0.35 | 2.98 | 0.63 | 2.70 | 1953 | |||||||||||||||||||||||||||
Financial Highlights
Income (loss) from | ||||||||||||||||||||||||||||||||
investment operations | Distributions to shareholders | |||||||||||||||||||||||||||||||
Net asset | ||||||||||||||||||||||||||||||||
value, | Net | Net realized | Total from | From net | From net | |||||||||||||||||||||||||||
beginning | investment | and unrealized | investment | investment | realized | Total | ||||||||||||||||||||||||||
Year-Share Class | of period | income(c) | gain (loss) | operations | income | gains | distributions | |||||||||||||||||||||||||
FOR THE SIX MONTHS ENDED APRIL 30, (Unaudited) | ||||||||||||||||||||||||||||||||
2005 - A | $ | 10.25 | $ | 0.16 | $ | (0.05 | ) | $ | 0.11 | $ | (0.17 | ) | $ | (0.13 | ) | $ | (0.30 | ) | ||||||||||||||
2005 - B | 10.29 | 0.12 | (0.05 | ) | 0.07 | (0.13 | ) | (0.13 | ) | (0.26 | ) | |||||||||||||||||||||
2005 - C | 10.29 | 0.12 | (0.05 | ) | 0.07 | (0.13 | ) | (0.13 | ) | (0.26 | ) | |||||||||||||||||||||
2005 - Institutional | 10.28 | 0.18 | (0.05 | ) | 0.13 | (0.19 | ) | (0.13 | ) | (0.32 | ) | |||||||||||||||||||||
2005 - Service | 10.29 | 0.16 | (0.06 | ) | 0.10 | (0.16 | ) | (0.13 | ) | (0.29 | ) | |||||||||||||||||||||
FOR THE YEARS ENDED OCTOBER 31, | ||||||||||||||||||||||||||||||||
2004 - A | 10.31 | 0.30 | 0.32 | 0.62 | (0.33 | ) | (0.35 | ) | (0.68 | ) | ||||||||||||||||||||||
2004 - B | 10.35 | 0.23 | 0.31 | 0.54 | (0.25 | ) | (0.35 | ) | (0.60 | ) | ||||||||||||||||||||||
2004 - C | 10.35 | 0.23 | 0.31 | 0.54 | (0.25 | ) | (0.35 | ) | (0.60 | ) | ||||||||||||||||||||||
2004 - Institutional | 10.35 | 0.34 | 0.31 | 0.65 | (0.37 | ) | (0.35 | ) | (0.72 | ) | ||||||||||||||||||||||
2004 - Service | 10.35 | 0.29 | 0.32 | 0.61 | (0.32 | ) | (0.35 | ) | (0.67 | ) | ||||||||||||||||||||||
2003 - A | 10.07 | 0.40 | 0.28 | 0.68 | (0.40 | ) | (0.04 | ) | (0.44 | ) | ||||||||||||||||||||||
2003 - B | 10.10 | 0.33 | 0.28 | 0.61 | (0.32 | ) | (0.04 | ) | (0.36 | ) | ||||||||||||||||||||||
2003 - C | 10.10 | 0.33 | 0.28 | 0.61 | (0.32 | ) | (0.04 | ) | (0.36 | ) | ||||||||||||||||||||||
2003 - Institutional | 10.09 | 0.45 | 0.29 | 0.74 | (0.44 | ) | (0.04 | ) | (0.48 | ) | ||||||||||||||||||||||
2003 - Service | 10.09 | 0.40 | 0.29 | 0.69 | (0.39 | ) | (0.04 | ) | (0.43 | ) | ||||||||||||||||||||||
2002 - A | 10.25 | 0.50 | (0.13 | ) | 0.37 | (0.52 | ) | (0.03 | ) | (0.55 | ) | |||||||||||||||||||||
2002 - B | 10.29 | 0.43 | (0.15 | ) | 0.28 | (0.44 | ) | (0.03 | ) | (0.47 | ) | |||||||||||||||||||||
2002 - C | 10.29 | 0.43 | (0.15 | ) | 0.28 | (0.44 | ) | (0.03 | ) | (0.47 | ) | |||||||||||||||||||||
2002 - Institutional | 10.28 | 0.55 | (0.15 | ) | 0.40 | (0.56 | ) | (0.03 | ) | (0.59 | ) | |||||||||||||||||||||
2002 - Service | 10.28 | 0.51 | (0.16 | ) | 0.35 | (0.51 | ) | (0.03 | ) | (0.54 | ) | |||||||||||||||||||||
2001 - A | 9.52 | 0.56 | 0.75 | 1.31 | (0.58 | ) | — | (0.58 | ) | |||||||||||||||||||||||
2001 - B | 9.54 | 0.49 | 0.77 | 1.26 | (0.51 | ) | — | (0.51 | ) | |||||||||||||||||||||||
2001 - C | 9.55 | 0.49 | 0.76 | 1.25 | (0.51 | ) | — | (0.51 | ) | |||||||||||||||||||||||
2001 - Institutional | 9.54 | 0.60 | 0.76 | 1.36 | (0.62 | ) | — | (0.62 | ) | |||||||||||||||||||||||
2001 - Service | 9.54 | 0.55 | 0.76 | 1.31 | (0.57 | ) | — | (0.57 | ) | |||||||||||||||||||||||
2000 - A | 9.50 | 0.57 | 0.02 | 0.59 | (0.57 | ) | — | (0.57 | ) | |||||||||||||||||||||||
2000 - B | 9.52 | 0.50 | 0.02 | 0.52 | (0.50 | ) | — | (0.50 | ) | |||||||||||||||||||||||
2000 - C | 9.52 | 0.50 | 0.03 | 0.53 | (0.50 | ) | — | (0.50 | ) | |||||||||||||||||||||||
2000 - Institutional | 9.52 | 0.61 | 0.02 | 0.63 | (0.61 | ) | — | (0.61 | ) | |||||||||||||||||||||||
2000 - Service | 9.52 | 0.56 | 0.02 | 0.58 | (0.56 | ) | — | (0.56 | ) | |||||||||||||||||||||||
(a) | Assumes investment at the net asset value at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges. Total return would be reduced if a sales or redemption charge were taken into account. Total returns for the periods less than one full year are not annualized. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of Fund shares. |
(b) | Annualized. |
(c) | Calculated based on the average shares outstanding methodology. |
(d) | Includes the effect of mortgage dollar roll transactions. |
110
Ratios assuming no | ||||||||||||||||||||||||||||||||||
expense reductions | ||||||||||||||||||||||||||||||||||
Ratio of | Ratio of | Ratio of | ||||||||||||||||||||||||||||||||
Net assets, | Ratio of | net investment | total | net investment | ||||||||||||||||||||||||||||||
Net asset | end of | net expenses | income to | expenses | income to | Portfolio | ||||||||||||||||||||||||||||
value, end | Total | period | to average | average net | to average | average net | turnover | |||||||||||||||||||||||||||
of period | return(a) | (in 000s) | net assets | assets | net assets | assets | rate(d) | |||||||||||||||||||||||||||
$ | 10.06 | 1.06 | % | $ | 627,551 | 0.88 | %(b) | 3.19 | %(b) | 0.88 | %(b) | 3.19 | %(b) | 171 | % | |||||||||||||||||||
10.10 | 0.68 | 30,944 | 1.63 | (b) | 2.47 | (b) | 1.63 | (b) | 2.47 | (b) | 171 | |||||||||||||||||||||||
10.10 | 0.68 | 23,123 | 1.63 | (b) | 2.47 | (b) | 1.63 | (b) | 2.47 | (b) | 171 | |||||||||||||||||||||||
10.09 | 1.26 | 1,053,037 | 0.48 | (b) | 3.59 | (b) | 0.48 | (b) | 3.59 | (b) | 171 | |||||||||||||||||||||||
10.10 | 1.01 | 33,935 | 0.98 | (b) | 3.08 | (b) | 0.98 | (b) | 3.08 | (b) | 171 | |||||||||||||||||||||||
10.25 | 6.24 | 523,045 | 0.90 | 2.96 | 0.90 | 2.96 | 549 | |||||||||||||||||||||||||||
10.29 | 5.43 | 32,040 | 1.65 | 2.21 | 1.65 | 2.21 | 549 | |||||||||||||||||||||||||||
10.29 | 5.42 | 24,323 | 1.65 | 2.21 | 1.65 | 2.21 | 549 | |||||||||||||||||||||||||||
10.28 | 6.55 | 860,021 | 0.50 | 3.36 | 0.50 | 3.36 | 549 | |||||||||||||||||||||||||||
10.29 | 6.22 | 20,221 | 1.00 | 2.86 | 1.00 | 2.86 | 549 | |||||||||||||||||||||||||||
10.31 | 7.03 | 445,178 | 0.89 | 3.91 | 0.89 | 3.91 | 489 | |||||||||||||||||||||||||||
10.35 | 6.31 | 37,120 | 1.64 | 3.21 | 1.64 | 3.21 | 489 | |||||||||||||||||||||||||||
10.35 | 6.21 | 25,409 | 1.64 | 3.16 | 1.64 | 3.16 | 489 | |||||||||||||||||||||||||||
10.35 | 7.54 | 695,181 | 0.49 | 4.39 | 0.49 | 4.39 | 489 | |||||||||||||||||||||||||||
10.35 | 6.90 | 21,827 | 0.99 | 3.89 | 0.99 | 3.89 | 489 | |||||||||||||||||||||||||||
10.07 | 3.59 | 315,441 | 0.90 | 5.03 | 0.90 | 5.03 | 437 | |||||||||||||||||||||||||||
10.10 | 2.70 | 36,131 | 1.65 | 4.33 | 1.65 | 4.33 | 437 | |||||||||||||||||||||||||||
10.10 | 2.80 | 20,176 | 1.65 | 4.32 | 1.65 | 4.32 | 437 | |||||||||||||||||||||||||||
10.09 | 3.99 | 733,996 | 0.50 | 5.51 | 0.50 | 5.51 | 437 | |||||||||||||||||||||||||||
10.09 | 3.47 | 29,761 | 1.00 | 5.05 | 1.00 | 5.05 | 437 | |||||||||||||||||||||||||||
10.25 | 14.17 | 178,885 | 0.94 | 5.61 | 0.94 | 5.61 | 315 | |||||||||||||||||||||||||||
10.29 | 13.51 | 26,848 | 1.69 | 4.93 | 1.69 | 4.93 | 315 | |||||||||||||||||||||||||||
10.29 | 13.38 | 11,998 | 1.69 | 4.89 | 1.69 | 4.89 | 315 | |||||||||||||||||||||||||||
10.28 | 14.69 | 440,836 | 0.54 | 6.05 | 0.54 | 6.05 | 315 | |||||||||||||||||||||||||||
10.28 | 14.13 | 26,667 | 1.04 | 5.54 | 1.04 | 5.54 | 315 | |||||||||||||||||||||||||||
9.52 | 6.48 | 73,846 | 0.94 | 6.04 | 0.97 | 6.01 | 272 | |||||||||||||||||||||||||||
9.54 | 5.69 | 14,002 | 1.69 | 5.29 | 1.72 | 5.26 | 272 | |||||||||||||||||||||||||||
9.55 | 5.80 | 6,107 | 1.69 | 5.30 | 1.72 | 5.27 | 272 | |||||||||||||||||||||||||||
9.54 | 6.90 | 268,465 | 0.54 | 6.46 | 0.57 | 6.43 | 272 | |||||||||||||||||||||||||||
9.54 | 6.37 | 9,445 | 1.04 | 5.95 | 1.07 | 5.92 | 272 | |||||||||||||||||||||||||||
Financial Highlights
Income (loss) from | ||||||||||||||||||||||||||||||||
investment operations | Distributions to shareholders | |||||||||||||||||||||||||||||||
Net asset | ||||||||||||||||||||||||||||||||
value, | Net | Net realized | Total from | From net | From net | |||||||||||||||||||||||||||
beginning | investment | and unrealized | investment | investment | realized | Total | ||||||||||||||||||||||||||
Year-Share Class | of period | income(c) | gain (loss) | operations | income | gains | distributions | |||||||||||||||||||||||||
FOR THE SIX MONTHS ENDED APRIL 30, (Unaudited) | ||||||||||||||||||||||||||||||||
2005 - A | $ | 10.31 | $ | 0.19 | $ | (0.11 | ) | $ | 0.08 | $ | (0.19 | ) | $ | (0.04 | ) | $ | (0.23 | ) | ||||||||||||||
2005 - Institutional | 10.32 | 0.28 | (0.17 | ) | 0.11 | (0.21 | ) | (0.04 | ) | (0.25 | ) | |||||||||||||||||||||
2005 - Separate Account Institutional | 10.31 | 0.21 | (0.10 | ) | 0.11 | (0.21 | ) | (0.04 | ) | (0.25 | ) | |||||||||||||||||||||
FOR THE PERIOD ENDED OCTOBER 31, | ||||||||||||||||||||||||||||||||
2004 - A (commenced November 3, 2003) | 10.00 | 0.38 | 0.31 | 0.69 | (0.38 | ) | — | (0.38 | ) | |||||||||||||||||||||||
2004 - Institutional (commenced November 3, 2003) | 10.00 | 0.44 | 0.30 | 0.74 | (0.42 | ) | — | (0.42 | ) | |||||||||||||||||||||||
2004 - Separate Account Institutional (commenced November 3, 2003) | 10.00 | 0.43 | 0.31 | 0.74 | (0.43 | ) | — | (0.43 | ) | |||||||||||||||||||||||
(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. |
112
Ratios assuming no | ||||||||||||||||||||||||||||||||||
expense reductions | ||||||||||||||||||||||||||||||||||
Ratio of | Ratio of | Ratio of | ||||||||||||||||||||||||||||||||
Net assets, | Ratio of | net investment | total | net investment | ||||||||||||||||||||||||||||||
Net asset | end of | net expenses | income to | expenses | income to | Portfolio | ||||||||||||||||||||||||||||
value, end | Total | period | to average | average net | to average | average net | turnover | |||||||||||||||||||||||||||
of period | return(a) | (in 000s) | net assets(b) | assets(b) | net assets(b) | assets(b) | rate | |||||||||||||||||||||||||||
$ | 10.16 | 0.79 | % | $ | 3,650 | 0.82 | % | 3.73 | % | 1.12 | % | 3.43 | % | 32 | % | |||||||||||||||||||
10.18 | 1.10 | 3,452 | 0.40 | 4.38 | 0.72 | 4.06 | 32 | |||||||||||||||||||||||||||
10.17 | 1.13 | 138,639 | 0.35 | 4.20 | 0.67 | 3.88 | 32 | |||||||||||||||||||||||||||
10.31 | 7.00 | 2,179 | 0.82 | 3.66 | 1.85 | 2.63 | 78 | |||||||||||||||||||||||||||
10.32 | 7.57 | 76 | 0.40 | 4.28 | 1.45 | 3.23 | 78 | |||||||||||||||||||||||||||
10.31 | 7.52 | 70,269 | 0.35 | 4.26 | 1.40 | 3.21 | 78 | |||||||||||||||||||||||||||
Fund Expenses (Unaudited) — Six Month Period Ended April 30, 2005
As a shareholder of Class A, Class B, Class C, Institutional, Administration, Service or Separate Account Institutional Shares of the Funds you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments (with respect to Class A Shares), contingent deferred sales charges (loads) on redemptions (with respect to Class B and C shares), and redemption fees (if any); and (2) ongoing costs, including management fees; distribution and service (12b-1) fees (with respect to Class A, Class B and Class C Shares); and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in Class A, Class B, Class C, Institutional, Administration, Service and Separate Account Institutional Shares of the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from November 1, 2004 through April 30, 2005.
Actual Expenses — The first line under each share class in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes — The second line under each share class in the table below provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual expense ratios and an assumed rate of return of 5% per year before expenses, which is not the Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Ultra-Short Duration | Short Duration | |||||||||||||||||||||||||||||||||||||||||||||||
Enhanced Income Fund | Government Fund | Government Fund | Government Income Fund | |||||||||||||||||||||||||||||||||||||||||||||
Expenses | Expense | Expenses | Expenses | |||||||||||||||||||||||||||||||||||||||||||||
Paid for | Paid for | Paid for | Paid for | |||||||||||||||||||||||||||||||||||||||||||||
Beginning | Ending | the | Beginning | Ending | the | Beginning | Ending | the | Beginning | Ending | the | |||||||||||||||||||||||||||||||||||||
Account | Account | 6 months | Account | Account | 6 months | Account | Account | 6 months | Account | Account | 6 months | |||||||||||||||||||||||||||||||||||||
Share | Value | Value | ended | Value | Value | ended | Value | Value | ended | Value | Value | ended | ||||||||||||||||||||||||||||||||||||
Class | 11/1/04 | 4/30/05 | 4/30/05* | 11/1/04 | 4/30/05 | 4/30/05* | 11/1/04 | 4/30/05 | 4/30/05* | 11/1/04 | 4/30/05 | 4/30/05* | ||||||||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,007.20 | $ | 3.25 | $ | 1,000.00 | $ | 1,009.40 | $ | 4.42 | $ | 1,000.00 | $ | 1,001.90 | $ | 4.68 | $ | 1,000.00 | $ | 1,008.80 | $ | 4.89 | ||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,021.56 | † | 3.27 | 1,000.00 | 1,020.40 | † | 4.44 | 1,000.00 | 1,020.12 | † | 4.72 | 1,000.00 | 1,019.92 | † | 4.92 | ||||||||||||||||||||||||||||||||
Class B | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | N/A | N/A | N/A | N/A | N/A | N/A | 1,000.00 | 998.90 | 7.65 | 1,000.00 | 1,005.10 | 8.62 | ||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | N/A | N/A | N/A | N/A | N/A | N/A | 1,000.00 | 1,017.14 | † | 7.72 | 1,000.00 | 1,016.20 | † | 8.67 | ||||||||||||||||||||||||||||||||||
Class C | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | N/A | N/A | N/A | N/A | N/A | N/A | 1,000.00 | 997.20 | 8.39 | 1,000.00 | 1,005.80 | 8.61 | ||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | N/A | N/A | N/A | N/A | N/A | N/A | 1,000.00 | 1,016.39 | † | 8.47 | 1,000.00 | 1,016.20 | † | 8.67 | ||||||||||||||||||||||||||||||||||
Institutional | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 1,009.20 | 1.26 | 1,000.00 | 1,011.40 | 2.43 | 1,000.00 | 1,003.90 | 2.70 | 1,000.00 | 1,012.20 | 2.92 | ||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,023.54 | † | 1.27 | 1,000.00 | 1,022.38 | † | 2.44 | 1,000.00 | 1,022.10 | † | 2.73 | 1,000.00 | 1,021.89 | † | 2.93 | ||||||||||||||||||||||||||||||||
Administration | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 1,008.00 | 2.50 | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | ||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,022.30 | † | 2.52 | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | |||||||||||||||||||||||||||||||||||
Service | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | N/A | N/A | N/A | 1,000.00 | 1,010.00 | 4.91 | 1,000.00 | 1,001.40 | 5.18 | 1,000.00 | 1,008.30 | 5.40 | ||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | N/A | N/A | N/A | 1,000.00 | 1,019.91 | † | 4.93 | 1,000.00 | 1,019.62 | † | 5.23 | 1,000.00 | 1,019.42 | † | 5.43 | |||||||||||||||||||||||||||||||||
Separate Account Institutional | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | ||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | ||||||||||||||||||||||||||||||||||||
Fund Expenses (Unaudited) — Six Month Period Ended April 30, 2005 (continued)
U.S. Mortgages Fund | Core Fixed Income Fund | Investment Grade Credit Fund | ||||||||||||||||||||||||||||||||||
Expenses | Expenses | Expenses | ||||||||||||||||||||||||||||||||||
Paid for | Paid for | Paid for | ||||||||||||||||||||||||||||||||||
Beginning | Ending | the | Beginning | Ending | the | Beginning | Ending | the | ||||||||||||||||||||||||||||
Account | Account | 6 months | Account | Account | 6 months | Account | Account | 6 months | ||||||||||||||||||||||||||||
Value | Value | ended | Value | Value | ended | Value | Value | ended | ||||||||||||||||||||||||||||
Share Class | 11/1/04 | 4/30/05 | 4/30/05* | 11/1/04 | 4/30/05 | 4/30/05* | 11/1/04 | 4/30/05 | 4/30/05* | |||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,010.70 | $ | 4.04 | $ | 1,000.00 | $ | 1,010.60 | $ | 4.39 | $ | 1,000.00 | $ | 1,007.90 | $ | 4.09 | ||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,020.77 | † | 4.06 | 1,000.00 | 1,020.43 | † | 4.41 | 1,000.00 | 1,020.72 | † | 4.11 | ||||||||||||||||||||||||
Class B | ||||||||||||||||||||||||||||||||||||
Actual | N/A | N/A | N/A | 1,000.00 | 1,006.80 | 8.12 | N/A | N/A | N/A | |||||||||||||||||||||||||||
Hypothetical 5% return | N/A | N/A | N/A | 1,000.00 | 1,016.70 | † | 8.16 | N/A | N/A | N/A | ||||||||||||||||||||||||||
Class C | ||||||||||||||||||||||||||||||||||||
Actual | N/A | N/A | N/A | 1,000.00 | 1,006.80 | 8.12 | N/A | N/A | N/A | |||||||||||||||||||||||||||
Hypothetical 5% return | N/A | N/A | N/A | 1,000.00 | 1,016.70 | † | 8.16 | N/A | N/A | N/A | ||||||||||||||||||||||||||
Institutional | ||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 1,012.80 | 1.96 | 1,000.00 | 1,012.60 | 2.40 | 1,000.00 | 1,011.00 | 1.99 | |||||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,022.85 | † | 1.97 | 1,000.00 | 1,022.40 | † | 2.42 | 1,000.00 | 1,022.81 | † | 2.01 | ||||||||||||||||||||||||
Administration | ||||||||||||||||||||||||||||||||||||
Actual | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | |||||||||||||||||||||||||||
Hypothetical 5% return | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | |||||||||||||||||||||||||||
Service | ||||||||||||||||||||||||||||||||||||
Actual | N/A | N/A | N/A | 1,000.00 | 1,010.10 | 4.89 | N/A | N/A | N/A | |||||||||||||||||||||||||||
Hypothetical 5% return | N/A | N/A | N/A | 1,000.00 | 1,019.92 | † | 4.92 | N/A | N/A | N/A | ||||||||||||||||||||||||||
Separate Account Institutional | �� | |||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 1,013.10 | 1.70 | N/A | N/A | N/A | 1,000.00 | 1,011.30 | 1.75 | |||||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,023.11 | † | 1.70 | N/A | N/A | N/A | 1,000.00 | 1,023.06 | † | 1.76 | |||||||||||||||||||||||||
* | Expenses for each share class are calculated using the Fund’s annualized expense ratio for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended 4/30/05. Expenses are calculated by multiplying the annualized expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the fiscal year. The annualized expense ratios for the period were as follows: |
Fund | Class A | Class B | Class C | Institutional | Service | Administration | Separate Account Institutional | |||||||||||||||||||||
Enhanced Income | 0.65 | % | N/A | N/A | 0.25 | % | N/A | 0.50 | % | N/A | ||||||||||||||||||
Ultra-Short Duration Government | 0.89 | N/A | N/A | 0.49 | 0.99 | % | N/A | N/A | ||||||||||||||||||||
Short Duration Government | 0.94 | 1.54% | 1.69% | 0.54 | 1.04 | N/A | N/A | |||||||||||||||||||||
Government Income | 0.98 | 1.73 | 1.73 | 0.58 | 1.08 | N/A | N/A | |||||||||||||||||||||
U.S. Mortgages | 0.81 | N/A | N/A | 0.39 | N/A | N/A | 0.34 | % | ||||||||||||||||||||
Core Fixed Income | 0.88 | 1.63 | 1.63 | 0.48 | 0.98 | N/A | N/A | |||||||||||||||||||||
Investment Grade Credit | 0.82 | N/A | N/A | 0.40 | N/A | N/A | 0.35 | |||||||||||||||||||||
† Hypothetical expenses are based on each Fund’s actual annualized expense ratios and an assumed rate of return of 5% per year before expenses. |
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F U N D S P R O F I L E Goldman Sachs Funds THE GOLDMAN SACHS ADVANTAGE Our goal is to deliver: Global Resources and Global Research Team Approach Disciplined Processes Strong, Consistent Investment Results Thoughtful Solutions Risk Management Innovative, Value-Added Investment Products Dedicated Service Teams Excellence and Integrity Outstanding Client Service 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 $462.9 billion in assets under management as of March 31, 2005 — our investment professionals bring firsthand knowledge of local markets to every investment decision, making us one of the few truly global asset managers. GOLDMAN SACHS FUNDS MONEY MARKET FIXED INCOME SPECIALTY Lower Risk/Return Higher Risk/Return ASSET ALLOCATION PORTFOLIOS INTERNATIONAL EQUITY DOMESTIC EQUITY 1 An investment in a money market fund is neither insured nor guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although the Funds seek to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in the Funds. The Goldman Sachs Research Select FundSM, Tollkeeper FundSM and CORESM are service marks of Goldman, Sachs & Co. International Equity Funds Asia Growth Fund Emerging Markets Equity Fund International Growth Opportunities Fund Japanese Equity Fund European Equity Fund International Equity Fund CORESM International Equity Fund Domestic Equity Funds Small Cap Value Fund CORESM Small Cap Equity Fund Mid Cap Value Fund Concentrated Growth Fund Growth Opportunities Fund Research Select FundSM Strategic Growth Fund Capital Growth Fund Large Cap Value Fund Growth and Income Fund CORESM Large Cap Growth Fund CORESM Large Cap Value Fund CORESM U.S. Equity Fund Specialty Funds Tollkeeper FundSM CORESM Tax-Managed Equity Fund Real Estate Securities Fund Asset Allocation Funds Balanced Fund Asset Allocation Portfolios Fixed Income Funds Emerging Markets Debt Fund High Yield Fund High Yield Municipal Fund Global Income Fund Investment Grade Credit Fund Core Fixed Income Fund U.S. Mortgages Fund Municipal Income Fund Government Income Fund Short Duration Tax-Free Fund Short Duration Government Fund Ultra-Short Duration Government Fund Enhanced Income Fund Money Market Funds1 In building a globally diversified portfolio, you can select from more than 50 Goldman Sachs Funds and gain access to investment opportunities across borders, investment styles, asset classes and security capitalizations. |
C1 GOLDMAN SACHS ASSET MANAGEMENT, L.P. 32 OLD SLIP, 32ND FLOOR, NEW YORK, NEW YORK 10005 Copyright 2005 Goldman, Sachs & Co. All rights reserved. Date of first use: June 29, 2005 / 05-1040 TFISAR / 59.8K / 06-05 Visit our Web site at www.gs.com/funds to obtain the most recent month-end returns. The reports concerning the Funds included in this shareholder report may contain certain forward-looking statements about the factors that may affect the performance of the Funds in the future. These statements are based on Fund management’s predictions and expectations concerning certain future events and their expected impact on the Funds, such as performance of the economy as a whole and of specific industry sectors, changes in the levels of interest rates, the impact of developing world events, and other factors that may influence the future performance of the Funds. Management believes these forward-looking statements to be reasonable, although they are inherently uncertain and difficult to predict. Actual events may cause adjustments in portfolio management strategies from those currently expected to be employed. A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities and information regarding how a Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 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. The Funds file their complete schedule of portfolio holdings with the Securities and Exchange Commission (“SEC”) for the first and third quarters of each fiscal year on Form N-Q. Beginning the fiscal quarter ended January 31, 2005 and every first and third fiscal quarter thereafter, the Funds’ Form N-Q will become available on the SEC’s website at http://www.sec.gov within 60 days after the Funds’ first and third fiscal quarters. When available, the Funds’ Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. and information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.When available, Form N-Q may be obtained upon request and without charge by calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders). The Fund may make substantial investments in derivative instruments, including options, financial futures, Eurodollar futures contracts, swaps, option on swaps, structured securities and other derivative investments. Derivative instruments may involve a high degree of financial risk.These risks include the risk that a small movement in the price of the underlying security or benchmark may result in a disproportionately large movement, unfavorable or favorable, in the price of the derivative instrument; risks of default by a counterparty, and the risks that transactions may not be liquid. The Goldman Sachs Government Income, Goldman Sachs Short Duration Government and Goldman Sachs Ultra-Short Duration Government Funds’ net asset values and yields are not guaranteed by the U.S. government or by its agencies, instrumentalities or sponsored enterprises. The Goldman Sachs Core Fixed Income and Investment Grade Credit Funds’ foreign investments may be more volatile than an investment in U.S. securities and are subject to the risks of currency fluctuations and political developments. The Goldman Sachs Enhanced Income Fund is not a money market fund. Investors in this Fund should understand that the net asset value of the Fund will fluctuate which may result in a loss of a portion of the principal amount invested. All of the Funds will be subject to yield and total return fluctuations based on rising and falling inter est rates. Longer-term bonds will normally have more price volatility. The Goldman Sachs U.S. Mortgages Fund will be subject to prepayment risk, the risk that in a declining interest rate environment the Fund’s underlying mortgages may be prepaid, causing the Fund to have to reinvest assets at lower interest rates. 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 Prospectus contains this and other information about the Funds. TRUSTEES Ashok N. Bakhru, Chairman John P. Coblentz, Jr. Patrick T. Harker Mary Patterson McPherson Alan A. Shuch Wilma J. Smelcer Richard P. Strubel Kaysie P. Uniacke OFFICERS Kaysie P. Uniacke, President James A. Fitzpatrick, Vice President James A. McNamara, Vice President John M. Perlowski, Treasurer Howard B. Surloff, Secretary GOLDMAN, SACHS & CO. Distributor and Transfer Agent GOLDMAN SACHS ASSET MANAGEMENT, L.P. Investment Adviser |
ITEM 2. | CODE OF ETHICS. — Not applicable to the Semi-Annual Report for the period ended April 30, 2005 |
ITEM 3. | AUDIT COMMITTEE FINANCIAL EXPERT. — Not applicable to the Semi-Annual Report for the period ended April 30, 2005 |
ITEM 4. | PRINCIPAL ACCOUNTANT FEES AND SERVICES. — Not applicable to the Semi-Annual Report for the period ended April 30, 2005 |
ITEM 5. | AUDIT COMMITTEE OF LISTED REGISTRANTS. | |
Not applicable. |
ITEM 6. | SCHEDULE OF INVESTMENTS. | |
Schedule of Investments is included as part of the Report to Shareholders filed under Item 1. |
ITEM 7. | DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. | |
Not applicable. |
ITEM 8. | PORTFOLIO MANAGERS OF CLOSED END MANAGEMENT INVESTMENT COMPANIES. | |
Not applicable. |
ITEM 9. | PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. | |
Not applicable. |
ITEM 10. | SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant’s board of trustees. | |
ITEM 11. | 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 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 second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect the registrant’s internal control over financial reporting. | ||
ITEM 12. | EXHIBITS. |
(a)(1) | Goldman Sachs Trust’s Code of Ethics for Principal Executive and Senior Financial Officers is incorporated by reference to Exhibit 11(a)(1) of the registrant’s Form N-CSR filed on March 8, 2004 for its Real Estate Securities Fund (Accession Number 0000950123-04-0002984). | ||
(a)(2) | Exhibit 99.CERT | Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 filed herewith. | ||
(b) | Exhibit 99.906CERT | 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 | ||||||
By: | /s/ Kaysie P. Uniacke | |||||
Kaysie P. Uniacke | ||||||
President/Principal Executive Officer | ||||||
Goldman Sachs Trust | ||||||
Date: | July 8, 2005 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. |
By: | /s/ Kaysie P. Uniacke | |||||
Kaysie P. Uniacke | ||||||
President/Principal Executive Officer | ||||||
Goldman Sachs Trust | ||||||
Date: | July 8, 2005 | |||||
By: | /s/ John M. Perlowski | |||||
John M. Perlowski | ||||||
Treasurer/Principal Financial Officer | ||||||
Goldman Sachs Trust | ||||||
Date: | July 8, 2005 |