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. |
S P E C I A L F O C U S F I X E D I N C O M E F U N D S Semiannual Report April 30, 2005 Current income potential from portfolios that invest in a variety of fixed income securities. Goldman Sachs Funds |
Goldman Sachs Special Focus Fixed Income Funds NOT FDIC-INSURED May Lose Value No Bank Guarantee GOLDMAN SACHS GLOBAL INCOME FUND GOLDMAN SACHS HIGH YIELD FUND GOLDMAN SACHS EMERGING MARKETS DEBT FUND |
G O L D M A N S A C H S S P E C I A L F O C U S F I X E D I N COM E F U N D S What Distinguishes Goldman Sachs’ Fixed Income Investment Process? R I G O R O U S S E C U R I T Y S E L E C T I O N Team approach to decision making Manage risk by avoiding significant sector and interest rate bets Careful management of yield curve strategies — while closely managing portfolio duration P R E C I S E P O R T F O L I O CON S T R U C T I O N Assess relative value among securities and sectors Leverage the vast resources of Goldman Sachs in selecting securities for each portfolio 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 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: 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 |
P O R T F O L I O R E S U LT S Global Income Fund 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 3.10%, 2.65%, 2.73%, 3.31% and 2.98%, respectively. These returns compare to the 3.36% cumulative total return of the Fund’s benchmark, the J.P. Morgan Global Government Bond Index (hedged), over the same time period.* The Fund posted positive returns during the fiscal period. However, due to fees and expenses associated with the management of the Fund, it underperformed its unmanaged benchmark on a relative basis. Additional details about the contributors and detractors to performance are listed below. Market Review Over the last six months, U.S. government bonds underperformed the other major bond markets. Continued interest rate tightening and solid economic growth in the U.S. were the major drivers behind this performance. Concerns over rising inflation and subsequent acknowledgement by the Federal Reserve Board (the “Fed”) of inflationary pressures also weighed on the U.S. bond market. The European bond markets continued to outperform as economic activity in the Eurozone continued to disappoint, despite further hawkish statements by European Central Bank officials. Japanese bonds outperformed over the period as growth was surprisingly disappointing, raising deflationary concerns. In the UK, tightness in the labor market and continued growth in corporate profits led to some speculation of further interest rate tightening, despite weakness in the housing and consumer sectors of the economy. Investment Objective The Fund seeks a high total return, emphasizing current income, and, to a lesser extent, providing opportunities for capital appreciation. Dear Shareholder, This report provides an overview on the performance of the Goldman Sachs Global Income Fund during the six-month reporting period that ended April 30, 2005. * Unlike the Fund’s total return, the Index’s performance does not reflect any deduction for fees or expenses. |
P O R T F O L I O R E S U LT S 3 Investment Strategies The Fund holds a global portfolio of high quality bonds that represents our best ideas in the world’s developed country bond markets. Strategies employed include the active management of interest rates, yield curve, country allocation, sector, security selection and currency management. To the extent we find them effective instruments to manage the duration of the portfolio, and not for speculative purposes, the Fund may employ the use of derivatives, including financial futures, Eurodollar futures contracts and swaps. The Fund also makes use of currency forwards for the purpose of hedging non U.S. dollar exposures, as well as implementing active currency views. 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 Positioning Our duration strategy is used to adjust the portfolio’s sensitivity to the overall level of interest rates. If the portfolio’s duration is shortened relative to the benchmark, the expectation would be for outperformance to occur in a rising yield environment. The largest contributor to Fund performance was its short U.S. duration position, which we maintained throughout the period. U.S. yields rose due to higher-than-expected inflation data, which raised concerns that the Fed might adopt a more aggressive policy stance. The Fund’s yield curve strategy also contributed positively to performance. In particular, we maintained a Eurodollar steepener trade, which is a trade instituted when we expect longerterm bonds to move higher relative to shorter-term yields. This trade added value as stronger inflation data saw yields of longer-dated bonds in the Eurozone region move higher relative to short-term yields. Our country strategy added to performance over the period. This strategy seeks to add performance by holding overweight positions in markets that we believe will outperform and underweight positions in markets that we believe will underperform. The Fund benefited primarily from its short UK 30-year/long Europe 30-year trade. Continuing the recent trend, UK bonds underperformed European bonds as growth differentials remained in favor of the UK. The forthcoming pension regulations in Europe are expected to force both insurance companies and pension funds in Europe to buy the long end, causing spreads to widen between the UK and the Eurozone. |
P O R T F O L I O R E S U LT S 4 An allocation to corporate bonds was also a positive contributor to performance. Investment grade credit spreads continued their tightening trend during the fourth quarter of 2004. This occurred despite heavy new issuance and negative credit events in the Automotive and Insurance sectors. A combination of robust demand, better-than-expected earnings, declining oil prices, and low volatility all contributed to the credit market rally. Corporate spreads moved tighter over most of the first quarter of 2005 and the Fund’s overweight allocation allowed the portfolio to benefit from the move. However, spreads widened significantly immediately following the announcement in April by General Motors of dramatically lower earnings for 2005 and a more hawkish Fed. The Fund’s currency strategy detracted from performance over the period. Performance was strong in the fourth quarter of 2004 when the decline of the U.S. dollar resumed, particularly against emerging Asian and European currencies, where the Fund held long positions. The largest detractors in 2005 were the Fund’s long Swedish krona and long Japanese yen positions versus the U.S. dollar. In addition, a long Norwegian kroner position detracted from performance after the currency fell sharply on the back of dovish statements from the Norges Bank and a fall in oil prices. We thank you for your investment and look forward to your continued confidence. Goldman Sachs Global Fixed Income Investment Management Team May 9, 2005 |
F U N D B A S I C S P E R F O R M A N C E R E V I EW J.P. Morgan November 1, 2004– Fund Total Return Global Government 30-Day April 30, 2005 (based on NAV) 1 Bond Index 2 Standardized Yield 3 Class A 3.10% 3.36% 1.89% Class B 2.65 3.36 1.24 Class C 2.73 3.36 1.24 Institutional 3.31 3.36 2.38 Service 2.98 3.36 1.88 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 J.P. Morgan Global Government Bond Index (hedged), 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. S TA N D A R D I Z E D TOTAL R E T U R N S 4 For the period ended 3/31/05 Class A Class B Class C Institutional Service One Year -1.65% -2.92% 1.16% 3.36% 2.84% Five Year s 4.24 4.21 4.62 5.84 5.32 Ten Year s 6.21 N/A N/A N/A 6.79 5 Since Inception 6.20 5.51 4.84 7.14 6.63 5 (8/2/91) (5/1/96) (8/15/97) (8/1/95) (8/2/91) 4 The Standardized Total Returns are average annual total returns as of the most recent calendar quarter-end. They assume reinvestment of all distributions at 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 3/12/97 (commencement of operations) is that of Class A Shares (excluding the impact of front-end sales charges applicable to Class A Shares since Service Shares are not subject to any sales charges). Performance of Class A Shares in the Fund reflects the expenses applicable to the Fund’s Class A Shares. The fees applicable to Service Shares are different from those applicable to Class A Shares which impact performance ratings 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. C U R R E N C Y A L LOC AT I O N A S O F 4 / 3 0 / 0 5 6 Currency % of Portfolio Currency % of Portfolio Euro 45.8% Polish Zloty 1.4% Japanese Yen 23.5 Mexican Peso 1.1 U.S. Dollar 20.6 Danish Krone 1.1 Great Britain Pound 3.7 Swedish Krona 0.6 Canadian Dollar 1.8 Israeli Shekel 0.4 6 Figures represent a percentage of market value. The Fund is actively managed and, as such, its composition may differ over time. $357.8 Million Assets Under Management GSGIX Class A Shares N A S D AQ S Y M B O L S GSLBX Class B Shares GSLCX Class C Shares GSGLX Institutional Shares GGISX Service Shares 5 $0 GrIncA Global Income Fund as of April 30, 2005 |
P O R T F O L I O R E S U LT S 6 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 1.09%, 0.72%, 0.72%, 1.29%, and 1.04%, respectively. These returns compare to the 0.08% cumulative total return of the Fund’s benchmark, the Lehman Brothers U.S. Corporate High Yield Bond Index, over the same time period.* The Fund’s outperformance versus its benchmark was due, in part, to its overweight to B rated securities and an underweight to BB rated issues. In addition, the Fund benefited from an overweight in Chemicals, strength in the European market, and specific favorable corporate events. This was partially offset by an underweight in Wireline Telecom and an overweight exposure to Auto Parts bonds, which detracted from results. High Yield Market Review The high yield market was very volatile over the past six months with a strong rally largely being reversed due to a sharp sell-off in March and April. The market rallied through February 2005, led by strength in the riskier segments of the market, with spreads reaching their tightest levels of the past decade. The picture reversed completely in March as over $4 billion flowed out from U.S. retail mutual funds in the last eight weeks of the reporting period. The market for new issues has been all but stopped during this period, triggered by the spike in oil prices and concerns surrounding the downgrades of General Motors and Ford. The Airline sector was the weakest performer over the period, completely reversing its early gains, as concerns over price competition, lower-than-expected volumes and record oil prices continued to plague the industry. The Auto Parts industry has come under significant pressure with the negative earnings announcements from General Motors and Ford being further exacerbated by the bankruptcy filings of Tower Auto, Metaldyne, and Collins & Aikman. Merger and acquisition activity accelerated during the reporting period, with the Telecom sector benefiting specifically on the back of the announced mergers of Sprint and Nextel, Verizon and MCI, and American Tower and Spectrasite. The Chemical sector has continued to outperform, supported by positive earnings and a generally positive outlook from companies such as Lyondell Chemical and Dow. The European high yield market also performed well until recently, supported by positive company results across a range of industries. Investment Objective The Fund seeks a high level of current income and may also consider the potential for capital appreciation. High Yield Fund Dear Shareholder: This report provides an overview on the performance of the Goldman Sachs High Yield Fund during the six-month reporting period that ended April 30, 2005. * Unlike the Fund’s total return, the Index’s performance does not reflect any deduction for fees or expenses. |
P O R T F O L I O R E S U LT S 7 Investment Strategies In seeking to meet the Fund’s investment objective, we invest, under normal circumstances, at least 80% of the Fund’s net assets plus any borrowings for investment purposes in high yield, fixed income securities that, at the time of purchase, are non-investment grade. The Fund may invest in obligations of domestic and foreign issuers which are denominated in currencies other than the U.S. dollar. The Fund typically uses derivatives, including currency forwards, primarily for the purpose of hedging currency exposure back to the base currency of the Fund. While the Fund can use swaps, it does not generally do so. Portfolio Composition Our portfolio construction strategy continued to be driven by credit fundamentals. The Fund’s performance was enhanced due to an overweight to the B rated sector and strength in the European market. This was partially offset by an overweight to the Auto Parts sector and an underweight to the Wireline Telecom segment. During the reporting period, the Fund established new positions in World Directories and Novelis. At the end of the reporting period, the Fund’s largest industry weight was in Chemicals, followed by Publishing and Health Care. Portfolio Highlights Flender Holdings GMBH — Flender is a B rated German wind turbine manufacturer. In April 2005, the company announced that it had been acquired by AA rated Siemens. Worldspan Technologies, Inc.— Worldspan, an airline reservation system, completed a tender for its bonds following a recapitalization of the company. (A tender is a payment for bonds called prior to maturity.) FTD Group, Inc — FTD, which provides floral related products and services, completed an initial public offering (IPO) in February 2005. The cash flow generated from the IPO proceeds, combined with strong operating results, is being used to deleverage the firm’s balance sheet. We thank you for your investment and look forward to your continued confidence. Goldman Sachs High Yield Investment Management Team May 9, 2005 |
8 P E R F O R M A N C E R E V I EW Lehman Brothers November 1, 2004– Fund Total Return U.S. Corporate High 30-Day April 30, 2005 (based on NAV) 1 Yield Bond Index 2 Standardized Yield 3 Class A 1.09% 0.08% 7.08% Class B 0.72 0.08 6.65 Class C 0.72 0.08 6.65 Institutional 1.29 0.08 7.84 Service 1.04 0.08 7.32 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. Corporate High Yield Bond Index is a total return performance benchmark for fixed income securities having a maximum quality rating of Ba1 (as determined by Moody’s Investors Service), a minimum amount outstanding of $100 million and at least one year to maturity. The Index is unmanaged and does not reflect any deduction for fees, expenses or taxes. 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. S TA N D A R D I Z E D TOTAL R E T U R N S 4 For the period ended 3/31/05 Class A Class B Class C Institutional Service One Year 4.86% 3.49% 7.84% 10.16% 9.62% Five Years 6.83 6.60 7.04 8.23 7.70 Since Inception 5.80 5.66 5.70 6.85 6.32 (8/1/97) (8/1/97) (8/15/97) (8/1/97) (8/1/97) 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 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 monthend 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. F U N D B A S I C S ASSETS UNDER MANAGEMENT 0 GrIncA GrIncB High Yield Fund as of April 30, 2005 $1.9 Billion Assets Under Management GSHAX Class A Shares N A S D AQ S Y M B O L S GSHBX Class B Shares GSHCX Class C Shares GSHIX Institutional Shares GSHSX Service Shares |
F U N D B A S I C S 9 TOP 1 0 H O L D I N G S A S O F 4 / 3 0 / 0 5 5 Company Line of Business % of Net Assets El Paso Corp. Pipelines 3.45% Dex Media, Inc. Publishing 1.41 FIMEP/Legrand S.A. Building Materials 1.30 Qwest Communications Int’l, Inc. Telecommunications 1.12 Nycomed S.A. Health Care 1.05 Rockwood Specialties, Inc. Chemicals 1.01 Charter Communications, Inc. Media–Cable 1.00 Rhodia S.A. Chemicals 0.99 Nextel Communications, Inc. Telecommunications–Cellular 0.99 TRW Automotive, Inc. Automotive Parts 0.98 5 The Fund is actively managed and, as such, its composition may differ over time. S E C TO R A L LOC AT I O N A S O F 4 / 3 0 / 0 5 6 Sector % of Portfolio Sector % of Portfolio Chemicals 8.9% Technology 2.2% Publishing 6.4 Energy 1.9 Health Care 5.1 Metals 1.6 Building Materials 5.0 Entertainment 1.5 Media-Cable 4.8 Emerging Markets 1.4 Consumer Products 4.6 Retailers–Food & Drug 1.3 Electric 4.6 Media–Non Cable 1.0 Packaging 4.3 Environmental 0.9 Pipelines 4.3 Lodging 0.9 Food 4.2 Textiles 0.9 Conglomerates 3.9 Media–Broadcasting & Radio 0.5 Automotive Parts 3.7 Media–Broadcast Towers 0.5 Gaming 3.7 Defense 0.4 Capital Goods 3.5 Finance 0.4 Telecommunications–Cellular 3.3 Real Estate 0.4 Paper 2.9 Retailers 0.4 Telecommunications 2.7 Airlines 0.3 Consumer Cyclicals 2.6 Transportation 0.2 Aerospace 2.4 Home Construction 0.1 Short Term Investments 2.3 6 Figures represent a percentage of market value. The Fund is actively managed and, as such, its composition may differ over time. |
P O R T F O L I O R E S U LT S 10 Performance Review Over the six-month period that ended April 30, 2005, the Fund’s Class A and Institutional Shares generated cumulative total returns, without sales charges, of 5.38% and 5.59%, respectively. These returns compare to the 3.24% cumulative total return of the Fund’s benchmark, the J.P. Morgan EMBI Global Diversified Index, over the same time period.* The Fund’s overweight exposures in European and Latin American emerging market debt contributed substantially to returns during the reporting period, as Europe and Latin America outperformed other emerging market regions. Conversely, underweight positions in select countries, such as Mexico and Malaysia, detracted from excess returns. Market Review While emerging market spreads came off the all-time tight levels in February, spreads still tightened 15 basis points over the period. The market performed particularly well through February 2005, aided by the ongoing demand for higher spread products, a favorable global equity market, the continued outperformance of Latin American high risk debt, and strong performance from European emerging market issuers. However, spreads widened in March and April on the back of increased global risk aversion, as rising oil prices sparked inflation fears. This led to fears that the Federal Reserve Board (the “Fed”) might accelerate its pace of interest rate tightening. 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, under normal circumstances, at least 80% of the Fund’s net assets plus any borrowings for investment purposes in fixed income securities of issuers located in emerging countries. To the extent we find them effective instruments with which to manage certain of the portfolio’s risk exposures (e.g., duration and currency), the Fund may employ the use of derivatives, including options, futures, forwards, swaps and Eurodollar futures contracts. The Fund typically makes use of currency forwards for the purpose of hedging select currency exposure back to the base currency of the Fund. Since its inception, we believe the Fund’s exposure to derivatives has been an effective risk management tool for hedging duration and currency exposures as desired. Emerging Markets Debt Fund Dear Shareholder, This report provides an overview on the performance of the Goldman Sachs Emerging Markets Debt Fund during the six-month 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. |
P O R T F O L I O R E S U LT S 11 Portfolio Composition At the end of the reporting period, the Fund held a small overweight position in Latin American and European emerging market debt relative to the benchmark. At the same time, the Fund held underweight positions in Asia and Middle Eastern/African debt relative to the benchmark. The Fund is invested across 24 countries and across all emerging market regions. While spreads have continued to widen from historically tight levels seen earlier in the year, we have focused on relative value across countries, while continuing to believe overall valuations are reasonably tight and warrant a slight reduction in emerging market debt risk. Fundamentally, we continue to see a fairly favorable external environment and healthy developments in key credits and in the broader market in general. We believe sustained or rising oil price levels, currently well above long-term averages despite a decline, should continue to bolster oil exporting countries, which comprise over 40% of the emerging market debt index. At the end of the reporting period, the portfolio’s largest country allocations were in Russia, Argentina, and Brazil. Portfolio Highlights The Fund’s overweight positions in European and Latin American debt were primary contributors to excess return versus the benchmark over the reporting period. Security selection in Argentine bonds was also a primary contributor to excess return. Security selection and overweight positions in Russia, the Dominican Republic, and Ecuador at various times during the period also added to performance. On the other hand, underweight allocations to Mexico and Malaysia detracted from performance, as they performed relatively well. We thank you for your investment and look forward to your continued confidence. Goldman Sachs Global Fixed Income Investment Management Team May 9, 2005 |
F U N D B A S I C S ASSETS UNDER MANAGEMENT 0 Emerging Markets Debt Fund as of April 30, 2005 P E R F O R M A N C E R E V I EW J.P. Morgan November 1, 2004– Fund Total Return EMBI Global 30-Day April 30, 2005 (based on NAV) 1 Diversified Index 2 Standardized Yield 3 Class A 5.38% 3.24% 5.00% Institutional 5.59 3.24 5.64 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 J.P. Morgan EMBI Global Diversified Index is an unmanaged index of debt instruments of 31 Emerging Countries. 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. S TA N D A R D I Z E D TOTAL R E T U R N S 4 For the period ended 3/31/05 Class A Institutional One Year 5.52% 10.92% Since Inception 11.52 15.29 (8/29/03) 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 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 monthend 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. COU N T RY A L LOC AT I O N A S O F 4 / 3 0 / 0 5 5 Country % of Portfolio Country % of Portfolio Russia 13.2% El Salvador 2.2% U.S. (Short Term Investments) 12.5 Israel 2.1 Argentina 9.6 Ecuador 1.9 Brazil 9.2 Guatemala 1.5 Venezuela 8.4 Poland 1.4 Turkey 6.5 Ukraine 1.3 Mexico 6.3 Lebanon 1.2 Peru 4.9 Dominican Republic 0.8 Philippines 4.1 Indonesia 0.5 Colombia 3.4 Ivory Coast 0.5 Bulgaria 3.1 Kazakhstan 0.2 Panama 2.7 Croatia 0.1 Nigeria 2.4 5 Figures represent a percentage of market value. The Fund is actively managed and, as such, its composition may differ over time. $39.0 Million Assets Under Management GSDAX Class A Shares N A S D AQ S Y M B O L S GSDIX Institutional Shares 12 |
Statement of Investments
Principal | Interest | Maturity | ||||||||||||||
Amount* | Rate | Date | Value | |||||||||||||
Foreign Sovereign Debt Obligations – 69.7% | ||||||||||||||||
Canadian Dollar – 1.7% | ||||||||||||||||
Government of Canada | ||||||||||||||||
CAD 3,600,000 | 6.00 | % | 06/01/2008 | $ | 3,084,905 | |||||||||||
930,000 | 5.00 | 06/01/2014 | 786,542 | |||||||||||||
2,500,000 | 5.75 | 06/01/2029 | 2,313,876 | |||||||||||||
$ | 6,185,323 | |||||||||||||||
Danish Krone – 1.1% | ||||||||||||||||
Kingdom of Denmark | ||||||||||||||||
DKK20,000,000 | 6.00 | % | 11/15/2009 | $ | 3,938,733 | |||||||||||
Euro Currency – 38.7% | ||||||||||||||||
Federal Republic of Germany | ||||||||||||||||
EUR7,800,000 | 5.25 | % | 01/04/2008 | $ | 10,761,555 | |||||||||||
7,690,000 | 3.00 | 04/11/2008 | 10,050,563 | |||||||||||||
18,700,000 | 3.75 | 01/04/2015 | 24,766,200 | |||||||||||||
500,000 | 6.25 | 01/04/2024 | 850,595 | |||||||||||||
3,900,000 | 4.75 | 07/04/2028 | 5,635,036 | |||||||||||||
4,350,000 | 5.50 | 01/04/2031 | 6,983,849 | |||||||||||||
Government of France | ||||||||||||||||
2,750,000 | 4.00 | 10/25/2009 | 3,729,494 | |||||||||||||
6,300,000 | 5.50 | 04/25/2010 | 9,111,571 | |||||||||||||
16,500,000 | 5.00 | 04/25/2012 | 23,744,860 | |||||||||||||
1,800,000 | 8.50 | 10/25/2019 | 3,568,699 | |||||||||||||
750,000 | 8.50 | 04/25/2023 | 1,555,191 | |||||||||||||
700,000 | 5.50 | 04/25/2029 | 1,117,838 | |||||||||||||
1,450,000 | 5.75 | 10/25/2032 | 2,420,599 | |||||||||||||
Kingdom of Spain | ||||||||||||||||
3,000,000 | 6.00 | 01/31/2008 | 4,233,562 | |||||||||||||
2,950,000 | 4.20 | 07/30/2013 | 4,047,105 | |||||||||||||
800,000 | 5.75 | 07/30/2032 | 1,333,045 | |||||||||||||
Kingdom of The Netherlands | ||||||||||||||||
2,850,000 | 3.75 | 07/15/2009 | 3,823,405 | |||||||||||||
1,800,000 | 4.25 | 07/15/2013 | 2,477,198 | |||||||||||||
Republic of Italy | ||||||||||||||||
3,200,000 | 6.75 | 07/01/2007 | 4,498,500 | |||||||||||||
3,650,000 | 5.50 | 11/01/2010 | 5,297,230 | |||||||||||||
5,000,000 | 6.00 | 05/01/2031 | 8,340,761 | |||||||||||||
$ | 138,346,856 | |||||||||||||||
Great Britain Pound – 3.6% | ||||||||||||||||
United Kingdom Treasury | ||||||||||||||||
GBP 1,500,000 | 5.00 | % | 03/07/2008 | $ | 2,898,562 | |||||||||||
1,600,000 | 5.75 | 12/07/2009 | 3,208,673 | |||||||||||||
40,000 | 8.00 | 09/27/2013 | 94,672 | |||||||||||||
1,230,000 | 5.00 | 09/07/2014 | 2,430,775 | |||||||||||||
1,300,000 | 8.75 | 08/25/2017 | 3,460,087 | |||||||||||||
350,001 | 4.25 | 06/07/2032 | 647,162 | |||||||||||||
$ | 12,739,931 | |||||||||||||||
Israeli Shekel – 0.4% | ||||||||||||||||
Government of Israel | ||||||||||||||||
ILS 5,300,000 | 7.50 | % | 03/31/2014 | $ | 1,292,116 | |||||||||||
Japanese Yen – 21.0% | ||||||||||||||||
Government of Japan | ||||||||||||||||
JPY3,295,000,000 | 0.90 | % | 12/22/2008 | $ | 32,162,248 | |||||||||||
1,105,000,000 | 1.30 | 06/20/2012 | 10,901,613 | |||||||||||||
300,000,000 | 1.80 | 06/20/2014 | 3,025,909 | |||||||||||||
1,985,000,000 | 1.60 | 09/20/2014 | 19,639,743 | |||||||||||||
980,000,000 | 1.90 | 03/20/2024 | 9,460,388 | |||||||||||||
$ | 75,189,901 | |||||||||||||||
Mexican Peso – 1.1% | ||||||||||||||||
United Mexican States | ||||||||||||||||
MXN49,400,000 | 8.00 | % | 12/19/2013 | $ | 3,947,289 | |||||||||||
Polish Zloty – 1.4% | ||||||||||||||||
Republic of Poland | ||||||||||||||||
PLN16,020,000 | 6.00 | % | 05/24/2009 | $ | 4,877,522 | |||||||||||
Swedish Krona – 0.5% | ||||||||||||||||
Kingdom of Sweden | ||||||||||||||||
SEK11,000,000 | 6.75 | % | 05/05/2014 | $ | 1,952,393 | |||||||||||
United States Dollar – 0.2% | ||||||||||||||||
United Mexican States | ||||||||||||||||
USD 800,000 | 7.50 | % | 04/08/2033 | $ | 866,000 | |||||||||||
TOTAL FOREIGN SOVEREIGN DEBT OBLIGATIONS | ||||||||||||||||
(Cost $236,089,435) | $ | 249,336,064 | ||||||||||||||
Corporate Bonds – 15.0% | ||||||||||||||||
Banks – 4.4% | ||||||||||||||||
Banca Popolare di Bergamo Capital Trust(a)(b) | ||||||||||||||||
EUR 1,180,000 | 8.36 | % | 02/15/2011 | $ | 1,855,739 | |||||||||||
Bank of America Corp. | ||||||||||||||||
USD 200,000 | 6.38 | 05/15/2005 | 200,192 | |||||||||||||
200,000 | 7.88 | 05/16/2005 | 200,314 | |||||||||||||
150,000 | 7.25 | 10/15/2025 | 183,761 | |||||||||||||
BCI US Funding Trust II(a)(b) | ||||||||||||||||
EUR 870,000 | 3.74 | 07/15/2008 | 1,148,669 | |||||||||||||
Citicorp | ||||||||||||||||
USD 100,000 | 7.20 | 06/15/2007 | 106,147 | |||||||||||||
DEM 4,500,000 | 6.25 | 09/19/2009 | 3,308,458 | |||||||||||||
Citigroup, Inc. | ||||||||||||||||
USD 1,250,000 | 6.75 | 12/01/2005 | 1,273,537 | |||||||||||||
Credit Suisse First Boston London(a)(b) | ||||||||||||||||
1,330,000 | 7.90 | 05/01/2007 | 1,416,841 | |||||||||||||
HBOS PLC(a)(b) | ||||||||||||||||
EUR 1,220,000 | 6.05 | 11/23/2011 | 1,793,520 | |||||||||||||
Merita Bank Ltd. | ||||||||||||||||
USD 1,010,000 | 6.50 | 04/01/2009 | 1,085,767 | |||||||||||||
MIZUHO Financial Group (Cayman)(c) | ||||||||||||||||
440,000 | 5.79 | 04/15/2014 | 455,189 | |||||||||||||
National Westminster Bank PLC(a)(b) | ||||||||||||||||
370,000 | 7.75 | 10/16/2007 | 398,544 | |||||||||||||
Washington Mutual Finance Corp. | ||||||||||||||||
2,020,000 | 8.25 | 06/15/2005 | 2,031,467 |
13
Principal | Interest | Maturity | ||||||||||||||
Amount* | Rate | Date | Value | |||||||||||||
Corporate Bonds – (continued) | ||||||||||||||||
Banks – (continued) | ||||||||||||||||
Wells Fargo Bank NA(a) | ||||||||||||||||
USD 230,000 | 7.80 | % | 06/15/2010 | $ | 231,126 | |||||||||||
$ | 15,689,271 | |||||||||||||||
Basic Industry – 0.2% | ||||||||||||||||
Lubrizol Corp. | ||||||||||||||||
USD 640,000 | 4.63 | % | 10/01/2009 | $ | 634,319 | |||||||||||
Capital Goods – 0.7% | ||||||||||||||||
Bombardier, Inc.(c) | ||||||||||||||||
USD 250,000 | 6.30 | % | 05/01/2014 | $ | 215,000 | |||||||||||
360,000 | 7.45 | 05/01/2034 | 295,200 | |||||||||||||
Tyco International Group SA | ||||||||||||||||
EUR 1,440,000 | 6.13 | 04/04/2007 | 1,962,396 | |||||||||||||
$ | 2,472,596 | |||||||||||||||
Consumer Cyclicals – 0.6% | ||||||||||||||||
Ford Motor Credit Co. | ||||||||||||||||
USD 530,000 | 6.88 | % | 02/01/2006 | $ | 536,104 | |||||||||||
General Motors Acceptance Corp. | ||||||||||||||||
EUR 450,000 | 7.00 | 11/15/2005 | 582,920 | |||||||||||||
USD 320,000 | 6.75 | 01/15/2006 | 322,368 | |||||||||||||
EUR 230,000 | 4.00 | 02/09/2006 | 291,071 | |||||||||||||
270,000 | 5.75 | 02/14/2006 | 343,920 | |||||||||||||
$ | 2,076,383 | |||||||||||||||
Consumer Noncyclical – 0.9% | ||||||||||||||||
British American Tobacco Holdings BV(a) | ||||||||||||||||
EUR 1,040,000 | 3.03 | % | 07/21/2005 | $ | 1,340,333 | |||||||||||
Imperial Tobacco Finance PLC | ||||||||||||||||
250,000 | 6.25 | 06/06/2007 | 343,992 | |||||||||||||
Imperial Tobacco Overseas BV | ||||||||||||||||
1,410,000 | 7.13 | 04/01/2009 | 1,536,576 | |||||||||||||
$ | 3,220,901 | |||||||||||||||
Electric – 1.5% | ||||||||||||||||
FirstEnergy Corp. | ||||||||||||||||
USD 170,000 | 5.50 | % | 11/15/2006 | $ | 173,144 | |||||||||||
NGG Finance PLC | ||||||||||||||||
EUR 1,520,000 | 5.25 | 08/23/2006 | 2,027,001 | |||||||||||||
TXU Corp.(c) | ||||||||||||||||
USD 2,060,000 | 4.80 | 11/15/2009 | 2,019,280 | |||||||||||||
1,180,000 | 5.55 | 11/15/2014 | 1,137,461 | |||||||||||||
$ | 5,356,886 | |||||||||||||||
Energy – 0.2% | ||||||||||||||||
Amerada Hess Corp. | ||||||||||||||||
USD 540,000 | 7.13 | % | 03/15/2033 | $ | 607,369 | |||||||||||
Financial Companies – 2.0% | ||||||||||||||||
Household Finance Corp. | ||||||||||||||||
EUR 940,000 | 6.25 | % | 09/21/2005 | $ | 1,227,846 | |||||||||||
KFW International Finance, Inc. | ||||||||||||||||
JPY600,000,000 | 2.05 | 09/21/2009 | 6,162,174 | |||||||||||||
$ | 7,390,020 | |||||||||||||||
Insurance – 0.9% | ||||||||||||||||
ACE INA Holdings, Inc. | ||||||||||||||||
USD 390,000 | 5.88 | % | 06/15/2014 | $ | 401,831 | |||||||||||
CNA Financial Corp. | ||||||||||||||||
420,000 | 6.60 | 12/15/2008 | 443,277 | |||||||||||||
Endurance Specialty Holdings Ltd. | ||||||||||||||||
20,000 | 7.00 | 07/15/2034 | 22,098 | |||||||||||||
Prudential Insurance Co. of America | ||||||||||||||||
1,900,000 | 6.38 | 07/23/2006 | 1,952,647 | |||||||||||||
SL Finance PLC(a) | ||||||||||||||||
EUR 290,000 | 6.38 | 07/12/2022 | 425,321 | |||||||||||||
$ | 3,245,174 | |||||||||||||||
Telecommunications – 3.6% | ||||||||||||||||
AT&T Corp.(a) | ||||||||||||||||
EUR 770,000 | 7.75 | % | 11/21/2006 | $ | 1,053,417 | |||||||||||
Bell Atlantic New Jersey, Inc. | ||||||||||||||||
USD 65,000 | 8.00 | 06/01/2022 | 78,460 | |||||||||||||
British Telecommunications PLC(a) | ||||||||||||||||
570,000 | 8.38 | 12/15/2010 | 668,707 | |||||||||||||
EUR 180,000 | 7.13 | 02/15/2011 | 278,307 | |||||||||||||
Clear Channel Communications, Inc. | ||||||||||||||||
USD 900,000 | 8.00 | 11/01/2008 | 972,126 | |||||||||||||
Comcast Cable Communications | ||||||||||||||||
1,900,000 | 8.38 | 05/01/2007 | 2,047,958 | |||||||||||||
Comcast Cable Communications Holdings, Inc. | ||||||||||||||||
360,000 | 9.46 | 11/15/2022 | 504,311 | |||||||||||||
Cox Communications, Inc.(c) | ||||||||||||||||
1,460,000 | 4.63 | 01/15/2010 | 1,438,764 | |||||||||||||
Deutsche Telekom International Finance BV(a) | ||||||||||||||||
230,000 | 8.75 | 06/15/2030 | 307,949 | |||||||||||||
280,000 | 9.25 | 06/01/2032 | 415,295 | |||||||||||||
Olivetti Finance NV | ||||||||||||||||
EUR 1,770,000 | 5.88 | 01/24/2008 | 2,453,655 | |||||||||||||
Sprint Capital Corp. | ||||||||||||||||
USD 1,260,000 | 4.78 | 08/17/2006 | 1,268,652 | |||||||||||||
Verizon Global Funding Corp. | ||||||||||||||||
1,380,000 | 6.13 | 06/15/2007 | 1,430,728 | |||||||||||||
$ | 12,918,329 | |||||||||||||||
TOTAL CORPORATE BONDS | ||||||||||||||||
(Cost $50,123,565) | $ | 53,611,248 | ||||||||||||||
Asset-Backed Securities(a) – 1.9% | ||||||||||||||||
Mortgage – 1.9% | ||||||||||||||||
Countrywide Home Equity Loan Trust Series 2004-Q, Class 2A | ||||||||||||||||
USD 2,847,753 | 3.25 | % | 12/15/2033 | $ | 2,856,208 | |||||||||||
First Horizon ABS Trust Series 2004-HE3, Class A | ||||||||||||||||
2,657,226 | 3.31 | 10/25/2034 | 2,665,743 | |||||||||||||
Fremont Home Loan Trust Series 2004-4, Class 2A2 | ||||||||||||||||
USD 1,360,000 | 3.13 | 11/25/2035 | 1,361,537 | |||||||||||||
TOTAL ASSET-BACKED SECURITIES | ||||||||||||||||
(Cost $6,864,979) | $ | 6,883,488 | ||||||||||||||
14
Principal | Interest | Maturity | ||||||||||||||
Amount* | Rate | Date | Value | |||||||||||||
Mortgage-Backed Obligations(a) – 1.3% | ||||||||||||||||
Home Equity – 1.3% | ||||||||||||||||
American Home Mortgage Investment Trust Series 2004-3, Class 1A | ||||||||||||||||
USD 1,246,167 | 3.39 | % | 10/25/2034 | $ | 1,248,996 | |||||||||||
Sequoia Mortgage Trust Series 2004-10, Class A3A | ||||||||||||||||
3,281,637 | 3.66 | 11/20/2034 | 3,282,180 | |||||||||||||
TOTAL MORTGAGE-BACKED OBLIGATIONS | ||||||||||||||||
(Cost $4,527,804) | $ | 4,531,176 | ||||||||||||||
U.S. Treasury Obligations – 4.6% | ||||||||||||||||
United States Treasury Bonds | ||||||||||||||||
USD 3,670,000 | 6.25 | % | 05/15/2030 | $ | 4,569,293 | |||||||||||
United States Treasury Notes | ||||||||||||||||
1,400,000 | 6.75 | 05/15/2005 | 1,401,750 | |||||||||||||
10,500,000 | 4.38 | 05/15/2007 | 10,648,071 | |||||||||||||
TOTAL U.S. TREASURY OBLIGATIONS | ||||||||||||||||
(Cost $16,540,626) | $ | 16,619,114 | ||||||||||||||
Exercise | Expiration | |||||||||||||
Contracts* | Rate | Date | Value | |||||||||||
Options Purchased – 0.0% | ||||||||||||||
Cross Currency Option Put USD 1,568,000 Call EUR 1,124,821 | 1.39 | 06/13/2005 | $ | 404 | ||||||||||
Cross Currency Option Put USD 1,568,000 Call EUR 1,132,948 | 1.38 | 05/12/2005 | — | |||||||||||
TOTAL OPTIONS PURCHASED | ||||||||||||||
(Cost $26,416) | $ | 404 | ||||||||||||
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Short-Term Obligation – 4.3% | ||||||||||||||||
State Street Bank & Trust Euro – Time Deposit | ||||||||||||||||
USD 15,428,000 | 4.30 | % | 05/01/2005 | $ | 15,428,000 | |||||||||||
TOTAL INVESTMENTS – 96.8% | ||||||||||||||||
(Cost $329,600,825) | $ | 346,409,494 | ||||||||||||||
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
* | The principal/option amount of each security is stated in the currency in which the bond/option is denominated. See below. |
Currency | Description | |||||
CAD | = | Canadian Dollar | ||||
DEM | = | German Mark | ||||
DKK | = | Danish Krone | ||||
EUR | = | Euro | ||||
GBP | = | Great Britain Pound | ||||
ILS | = | Israeli Shekel | ||||
JPY | = | Japanese Yen | ||||
MXN | = | Mexican Peso | ||||
PLN | = | Polish Zloty | ||||
SEK | = | Swedish Krona | ||||
USD | = | U.S. Dollar |
(a) | Variable rate security. Interest rate disclosed is that which is in effect at April 30, 2005. | |
(b) | Perpetual Maturity. Maturity date presented represents the next call date. | |
(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 $5,560,894, which represents approximately 1.6% of net assets as of April 30, 2005. |
15
Statement of Investments (continued)
ADDITIONAL INVESTMENT INFORMATION |
WRITTEN OPTIONS — At April 30, 2005, the Fund had no outstanding options written. For the six months ended April 30, 2005, the Fund had the following written options activity:
Number of | ||||||||
Contracts | Value | |||||||
Contracts Outstanding October 31, 2004 | 4,980 | $ | 26,868 | |||||
Contracts written | 8,426 | 23,160 | ||||||
Contracts expired | (13,406 | ) | (50,028 | ) | ||||
Contracts Outstanding April 30, 2005 | — | $ | — | |||||
FUTURES CONTRACTS — At April 30, 2005, the following futures contacts were open as follows:
Number of Contracts | Unrealized | |||||||||||||||
Type | Long (Short) | Settlement Month | Market Value | Gain (Loss) | ||||||||||||
Deutsche Post Universal Stock Share | (153 | ) | June 2005 | $ | (31,778,578 | ) | $ | (3,186 | ) | |||||||
EPSI50 Index | (338 | ) | June 2005 | (37,660,594 | ) | (470,093 | ) | |||||||||
Eurodollar | 4 | June 2005 | 965,750 | (100 | ) | |||||||||||
Eurodollar | 198 | December 2005 | 47,552,175 | (87,774 | ) | |||||||||||
Eurodollar | (198 | ) | December 2006 | (47,354,175 | ) | 119,950 | ||||||||||
S&P/ Ruix Investment Index | (88 | ) | June 2005 | (13,710,818 | ) | (358,780 | ) | |||||||||
S&P/ Toronto Stock Exchange | 21 | June 2005 | 2,889,378 | 18,164 | ||||||||||||
The Dow Jones STOXX 600 | 66 | June 2005 | 9,703,736 | 10,224 | ||||||||||||
10 Year Australian Bonds | 56 | June 2005 | 32,173,845 | 110,487 | ||||||||||||
5 Year U.S. Treasury Notes | 429 | June 2005 | 46,526,391 | (24,905 | ) | |||||||||||
U.S. Long Bond | (105 | ) | June 2005 | (12,058,594 | ) | (36,093 | ) | |||||||||
$ | (2,751,484 | ) | $ | (722,106 | ) | |||||||||||
16
ADDITIONAL INVESTMENT INFORMATION (continued) |
FORWARD FOREIGN CURRENCY CONTRACTS — At April 30, 2005, the 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 | $ | 16,237,320 | $ | 16,345,974 | $ | 108,654 | $ | — | |||||||||||
Australian Dollar | 06/15/2005 | 8,469,000 | 8,333,745 | — | 135,255 | |||||||||||||||
Canadian Dollar | 05/25/2005 | 5,245,876 | 5,092,567 | — | 153,309 | |||||||||||||||
Canadian Dollar | 06/15/2005 | 20,466,000 | 19,808,554 | — | 657,446 | |||||||||||||||
Chilean Peso | 05/04/2005 | 711,000 | 714,083 | 3,083 | — | |||||||||||||||
Chilean Peso | 05/06/2005 | 533,500 | 529,843 | — | 3,657 | |||||||||||||||
Chilean Peso | 05/09/2005 | 557,000 | 550,401 | — | 6,599 | |||||||||||||||
Chilean Peso | 05/10/2005 | 465,000 | 466,275 | 1,275 | — | |||||||||||||||
Chilean Peso | 05/10/2005 | 557,000 | 552,790 | — | 4,210 | |||||||||||||||
Chilean Peso | 05/13/2005 | 537,000 | 535,666 | — | 1,334 | |||||||||||||||
Chilean Peso | 05/16/2005 | 298,253 | 299,832 | 1,579 | — | |||||||||||||||
Chilean Peso | 05/16/2005 | 465,000 | 460,874 | — | 4,126 | |||||||||||||||
Chilean Peso | 05/18/2005 | 840,863 | 846,693 | 5,830 | — | |||||||||||||||
Chilean Peso | 05/24/2005 | 1,234,172 | 1,200,821 | — | 33,351 | |||||||||||||||
Chilean Peso | 05/31/2005 | 407,000 | 405,981 | — | 1,019 | |||||||||||||||
Chilean Peso | 06/01/2005 | 533,500 | 532,206 | — | 1,294 | |||||||||||||||
Chilean Peso | 06/02/2005 | 407,000 | 407,792 | 792 | — | |||||||||||||||
Chilean Peso | 06/06/2005 | 534,500 | 536,832 | 2,332 | — | |||||||||||||||
Chilean Peso | 06/06/2005 | 325,476 | 324,507 | — | 969 | |||||||||||||||
Chilean Peso | 06/08/2005 | 499,950 | 503,176 | 3,226 | — | |||||||||||||||
Chilean Peso | 06/13/2005 | 565,000 | 571,777 | 6,777 | — | |||||||||||||||
Chilean Peso | 06/17/2005 | 569,000 | 575,809 | 6,809 | — | |||||||||||||||
Chilean Peso | 06/22/2005 | 569,000 | 570,416 | 1,416 | — | |||||||||||||||
Chilean Peso | 07/06/2005 | 534,500 | 537,111 | 2,611 | — | |||||||||||||||
Czech Koruna | 06/15/2005 | 873,841 | 831,030 | — | 42,811 | |||||||||||||||
Euro | 05/27/2005 | 1,459,241 | 1,455,114 | — | 4,127 | |||||||||||||||
Euro | 06/15/2005 | 4,001,000 | 4,004,798 | 3,798 | — | |||||||||||||||
Euro | 06/15/2005 | 26,321,600 | 25,835,673 | — | 485,927 | |||||||||||||||
Great Britain Pound | 05/23/2005 | 1,067,112 | 1,086,463 | 19,351 | — | |||||||||||||||
Great Britain Pound | 06/15/2005 | 4,006,000 | 4,089,332 | 83,332 | — | |||||||||||||||
Great Britain Pound | 06/15/2005 | 14,480,083 | 14,431,855 | — | 48,228 | |||||||||||||||
Hungarian Forint | 06/15/2005 | 3,852,453 | 3,649,079 | — | 203,374 | |||||||||||||||
Iceland Krona | 06/15/2005 | 3,622,026 | 3,513,100 | — | 108,926 | |||||||||||||||
Israeli Shekel | 06/15/2005 | 749,000 | 751,564 | 2,564 | — | |||||||||||||||
Israeli Shekel | 06/15/2005 | 3,968,131 | 3,939,495 | — | 28,636 | |||||||||||||||
Japanese Yen | 06/15/2005 | 8,159,116 | 8,277,900 | 118,784 | — | |||||||||||||||
Japanese Yen | 06/15/2005 | 10,612,443 | 10,569,862 | — | 42,581 | |||||||||||||||
Mexican Peso | 06/15/2005 | 11,691,973 | 11,843,196 | 151,223 | — | |||||||||||||||
Norwegian Krone | 06/15/2005 | 33,409,000 | 32,562,625 | — | 846,375 | |||||||||||||||
Polish Zloty | 06/15/2005 | 4,409,031 | 4,085,828 | — | 323,203 | |||||||||||||||
Russian Ruble | 05/04/2005 | 1,209,657 | 1,217,705 | 8,048 | — | |||||||||||||||
Russian Ruble | 05/11/2005 | 1,060,562 | 1,073,313 | 12,751 | — |
17
ADDITIONAL INVESTMENT INFORMATION (continued) |
Unrealized | ||||||||||||||||||||
Open Forward Foreign Currency | Expiration | Value on | ||||||||||||||||||
Purchase Contracts | Date | Settlement Date | Current Value | Gain | Loss | |||||||||||||||
Russian Ruble | 05/17/2005 | $ | 237,986 | $ | 239,776 | $ | 1,790 | $ | — | |||||||||||
Russian Ruble | 05/17/2005 | 1,964,077 | 1,954,627 | — | 9,450 | |||||||||||||||
Russian Ruble | 06/06/2005 | 1,438,848 | 1,441,631 | 2,783 | — | |||||||||||||||
Russian Ruble | 06/06/2005 | 484,561 | 481,658 | — | 2,903 | |||||||||||||||
Russian Ruble | 12/13/2005 | 251,273 | 253,789 | 2,516 | — | |||||||||||||||
Singapore Dollar | 06/15/2005 | 12,321,000 | 12,414,297 | 93,297 | — | |||||||||||||||
Singapore Dollar | 06/15/2005 | 26,841,657 | 26,612,154 | — | 229,503 | |||||||||||||||
Slovakian Koruna | 06/15/2005 | 2,394,169 | 2,251,475 | — | 142,694 | |||||||||||||||
South African Rand | 06/15/2005 | 2,128,000 | 2,154,644 | 26,644 | — | |||||||||||||||
South African Rand | 06/15/2005 | 1,833,984 | 1,785,902 | — | 48,082 | |||||||||||||||
South African Rand | 07/20/2005 | 2,182,446 | 2,172,651 | — | 9,795 | |||||||||||||||
South Korean Won | 05/16/2005 | 1,648,700 | 1,678,271 | 29,571 | — | |||||||||||||||
South Korean Won | 06/03/2005 | 1,640,657 | 1,658,922 | 18,265 | — | |||||||||||||||
South Korean Won | 06/13/2005 | 1,129,241 | 1,131,792 | 2,551 | — | |||||||||||||||
South Korean Won | 07/15/2005 | 535,000 | 542,444 | 7,444 | — | |||||||||||||||
South Korean Won | 07/27/2005 | 535,500 | 536,235 | 735 | — | |||||||||||||||
South Korean Won | 08/03/2005 | 1,631,000 | 1,635,614 | 4,614 | — | |||||||||||||||
Swedish Krona | 06/15/2005 | 12,284,000 | 11,856,218 | — | 427,782 | |||||||||||||||
Taiwan Dollar | 05/16/2005 | 2,400,000 | 2,413,746 | 13,746 | — | |||||||||||||||
Taiwan Dollar | 05/23/2005 | 206,464 | 207,661 | 1,197 | — | |||||||||||||||
Taiwan Dollar | 05/24/2005 | 1,628,850 | 1,645,809 | 16,959 | — | |||||||||||||||
Taiwan Dollar | 05/24/2005 | 943,000 | 937,607 | — | 5,393 | |||||||||||||||
Taiwan Dollar | 06/07/2005 | 1,156,534 | 1,137,302 | — | 19,232 | |||||||||||||||
Taiwan Dollar | 06/08/2005 | 358,974 | 353,652 | — | 5,322 | |||||||||||||||
Taiwan Dollar | 06/13/2005 | 781,002 | 766,754 | — | 14,248 | |||||||||||||||
Taiwan Dollar | 06/20/2005 | 1,149,000 | 1,154,705 | 5,705 | — | |||||||||||||||
Thailand Baht | 05/03/2005 | 809,415 | 812,175 | 2,760 | — | |||||||||||||||
Thailand Baht | 05/03/2005 | 1,706,154 | 1,660,093 | — | 46,061 | |||||||||||||||
Thailand Baht | 05/09/2005 | 528,000 | 516,157 | — | 11,843 | |||||||||||||||
Thailand Baht | 05/16/2005 | 206,756 | 202,632 | — | 4,124 | |||||||||||||||
Thailand Baht | 05/18/2005 | 845,378 | 848,294 | 2,916 | — | |||||||||||||||
Thailand Baht | 05/18/2005 | 345,465 | 336,597 | — | 8,868 | |||||||||||||||
Thailand Baht | 05/24/2005 | 1,351,000 | 1,315,939 | — | 35,061 | |||||||||||||||
Yuan Renminbi | 08/09/2005 | 1,101,000 | 1,109,999 | 8,999 | — | |||||||||||||||
Yuan Renminbi | 08/09/2005 | 1,578,000 | 1,571,356 | — | 6,644 | |||||||||||||||
TOTAL OPEN FORWARD FOREIGN CURRENCY PURCHASE CONTRACTS | $ | 285,091,270 | $ | 281,714,235 | $ | 786,727 | $ | 4,163,762 | ||||||||||||
18
ADDITIONAL INVESTMENT INFORMATION (continued) |
Unrealized | ||||||||||||||||||||
Open Forward Foreign Currency | Expiration | Value on | ||||||||||||||||||
Sale Contracts | Date | Settlement Date | Current Value | Gain | Loss | |||||||||||||||
Australian Dollar | 06/15/2005 | $ | 4,260,000 | $ | 4,216,860 | $ | 43,140 | $ | — | |||||||||||
Australian Dollar | 06/15/2005 | 4,006,000 | 4,084,377 | — | 78,377 | |||||||||||||||
Canadian Dollar | 05/25/2005 | 11,700,737 | 11,212,689 | 488,048 | — | |||||||||||||||
Canadian Dollar | 06/15/2005 | 23,049,887 | 22,565,355 | 484,532 | — | |||||||||||||||
Chilean Peso | 05/04/2005 | 165,540 | 163,071 | 2,469 | — | |||||||||||||||
Chilean Peso | 05/06/2005 | 317,836 | 312,983 | 4,853 | — | |||||||||||||||
Chilean Peso | 05/06/2005 | 243,158 | 246,025 | — | 2,867 | |||||||||||||||
Chilean Peso | 05/09/2005 | 704,264 | 700,121 | 4,143 | — | |||||||||||||||
Chilean Peso | 05/10/2005 | 824,039 | 802,772 | 21,267 | — | |||||||||||||||
Chilean Peso | 05/13/2005 | 533,000 | 526,621 | 6,379 | — | |||||||||||||||
Chilean Peso | 05/16/2005 | 845,750 | 858,267 | — | 12,517 | |||||||||||||||
Chilean Peso | 05/18/2005 | 755,000 | 752,832 | 2,168 | — | |||||||||||||||
Chilean Peso | 05/24/2005 | 1,108,250 | 1,120,628 | — | 12,378 | |||||||||||||||
Chilean Peso | 06/01/2005 | 187,228 | 184,588 | 2,640 | — | |||||||||||||||
Chilean Peso | 06/01/2005 | 363,855 | 366,721 | — | 2,866 | |||||||||||||||
Chilean Peso | 06/06/2005 | 533,000 | 525,695 | 7,305 | — | |||||||||||||||
Chilean Peso | 06/06/2005 | 535,000 | 541,215 | — | 6,215 | |||||||||||||||
Chilean Peso | 06/08/2005 | 575,000 | 577,131 | — | 2,131 | |||||||||||||||
Chilean Peso | 06/13/2005 | 564,000 | 574,342 | — | 10,342 | |||||||||||||||
Chilean Peso | 06/17/2005 | 564,000 | 571,475 | — | 7,475 | |||||||||||||||
Chilean Peso | 06/22/2005 | 573,000 | 576,787 | — | 3,787 | |||||||||||||||
Chilean Peso | 07/01/2005 | 782,145 | 787,757 | — | 5,612 | |||||||||||||||
Chilean Peso | 07/06/2005 | 535,000 | 540,873 | — | 5,873 | |||||||||||||||
Danish Krone | 05/27/2005 | 4,130,699 | 4,095,088 | 35,611 | — | |||||||||||||||
Euro | 05/27/2005 | 164,211,668 | 162,648,949 | 1,562,719 | — | |||||||||||||||
Euro | 06/15/2005 | 33,344,805 | 32,689,353 | 655,452 | — | |||||||||||||||
Euro | 06/15/2005 | 6,601,689 | 6,624,932 | — | 23,243 | |||||||||||||||
Great Britain Pound | 05/23/2005 | 12,420,935 | 12,362,066 | 58,869 | — | |||||||||||||||
Great Britain Pound | 05/23/2005 | 1,472,138 | 1,480,241 | — | 8,103 | |||||||||||||||
Great Britain Pound | 06/15/2005 | 487,496 | 485,253 | 2,243 | — | |||||||||||||||
Great Britain Pound | 06/15/2005 | 15,941,868 | 16,097,394 | — | 155,526 | |||||||||||||||
Hungarian Forint | 06/15/2005 | 284,850 | 269,081 | 15,769 | — | |||||||||||||||
Iceland Krona | 06/15/2005 | 491,060 | 464,638 | 26,422 | — | |||||||||||||||
Iceland Krona | 06/15/2005 | 536,000 | 539,963 | — | 3,963 | |||||||||||||||
Israeli Shekel | 06/15/2005 | 1,353,000 | 1,336,121 | 16,879 | — | |||||||||||||||
Israeli Shekel | 06/15/2005 | 810,920 | 811,916 | — | 996 | |||||||||||||||
Israeli Shekel | 07/21/2005 | 1,409,420 | 1,409,318 | 102 | — | |||||||||||||||
Japanese Yen | 05/31/2005 | 80,156,953 | 80,828,879 | — | 671,926 | |||||||||||||||
Japanese Yen | 06/15/2005 | 8,189,748 | 8,134,429 | 55,319 | — | |||||||||||||||
Japanese Yen | 06/15/2005 | 16,900,000 | 17,405,496 | — | 505,496 | |||||||||||||||
Mexican Peso | 06/15/2005 | 3,066,000 | 3,063,307 | 2,693 | — | |||||||||||||||
Mexican Peso | 06/15/2005 | 9,144,895 | 9,274,068 | — | 129,173 | |||||||||||||||
Mexican Peso | 07/15/2005 | 3,946,500 | 3,976,367 | — | 29,867 | |||||||||||||||
Norwegian Krone | 06/15/2005 | 15,785,062 | 15,605,578 | 179,484 | — | |||||||||||||||
Norwegian Krone | 06/15/2005 | 4,006,000 | 4,037,315 | — | 31,315 |
19
ADDITIONAL INVESTMENT INFORMATION (continued) |
Unrealized | ||||||||||||||||||||
Open Forward Foreign Currency | Expiration | Value on | ||||||||||||||||||
Sale Contracts | Date | Settlement Date | Current Value | Gain | Loss | |||||||||||||||
Polish Zloty | 06/15/2005 | $ | 4,824,000 | $ | 4,444,453 | $ | 379,547 | $ | — | |||||||||||
Polish Zloty | 06/17/2005 | 5,342,214 | 4,836,094 | 506,120 | — | |||||||||||||||
Russian Ruble | 05/04/2005 | 828,500 | 833,140 | — | 4,640 | |||||||||||||||
Russian Ruble | 05/17/2005 | 1,276,000 | 1,272,739 | 3,261 | — | |||||||||||||||
Singapore Dollar | 06/15/2005 | 7,870,920 | 7,796,685 | 74,235 | — | |||||||||||||||
Singapore Dollar | 06/15/2005 | 17,539,000 | 17,756,694 | — | 217,694 | |||||||||||||||
South African Rand | 06/15/2005 | 2,174,751 | 2,137,625 | 37,126 | — | |||||||||||||||
South African Rand | 06/15/2005 | 1,917,300 | 1,961,724 | — | 44,424 | |||||||||||||||
South African Rand | 07/20/2005 | 2,147,985 | 2,199,823 | — | 51,838 | |||||||||||||||
South Korean Won | 05/11/2005 | 84,316 | 86,879 | — | 2,563 | |||||||||||||||
South Korean Won | 05/16/2005 | 2,646,608 | 2,716,698 | — | 70,090 | |||||||||||||||
South Korean Won | 06/13/2005 | 1,228,000 | 1,259,182 | — | 31,182 | |||||||||||||||
Swedish Krona | 06/15/2005 | 12,752,000 | 12,169,407 | 582,593 | — | |||||||||||||||
Swedish Krona | 06/15/2005 | 4,008,000 | 4,019,141 | — | 11,141 | |||||||||||||||
Swedish Krona | 06/22/2005 | 1,677,701 | 1,595,310 | 82,391 | — | |||||||||||||||
Swiss Franc | 06/15/2005 | 20,616,947 | 20,262,637 | 354,310 | — | |||||||||||||||
Swiss Franc | 06/15/2005 | 4,006,000 | 4,051,314 | — | 45,314 | |||||||||||||||
Taiwan Dollar | 05/16/2005 | 1,846,825 | 1,831,824 | 15,001 | — | |||||||||||||||
Taiwan Dollar | 05/16/2005 | 537,000 | 545,472 | — | 8,472 | |||||||||||||||
Taiwan Dollar | 05/24/2005 | 1,773,000 | 1,786,805 | — | 13,805 | |||||||||||||||
Taiwan Dollar | 06/07/2005 | 1,127,000 | 1,116,556 | 10,444 | — | |||||||||||||||
Taiwan Dollar | 06/07/2005 | 534,500 | 538,000 | — | 3,500 | |||||||||||||||
Taiwan Dollar | 06/08/2005 | 534,500 | 537,979 | — | 3,479 | |||||||||||||||
Taiwan Dollar | 06/20/2005 | 940,000 | 931,631 | 8,369 | — | |||||||||||||||
Thailand Baht | 05/03/2005 | 2,466,451 | 2,472,268 | — | 5,817 | |||||||||||||||
Thailand Baht | 05/24/2005 | 900,000 | 876,551 | 23,449 | — | |||||||||||||||
Thailand Baht | 05/31/2005 | 716,000 | 716,727 | — | 727 | |||||||||||||||
Yuan Renminbi | 08/09/2005 | 1,390,000 | 1,398,018 | — | 8,018 | |||||||||||||||
TOTAL OPEN FORWARD FOREIGN CURRENCY SALE CONTRACTS | $ | 542,122,913 | $ | 538,600,313 | $ | 5,755,352 | $ | 2,232,752 | ||||||||||||
20
ADDITIONAL INVESTMENT INFORMATION (continued) |
Unrealized | ||||||||||||||||||||
Open Forward Foreign Currency | Expiration | Purchase | Sale | |||||||||||||||||
Cross Contracts (Purchase/Sale) | Date | Current Value | Current Value | Gain | Loss | |||||||||||||||
Canadian Dollar/ Euro | 06/15/2005 | $ | 653,376 | $ | 634,846 | $ | — | $ | 18,530 | |||||||||||
06/15/2005 | 655,845 | 653,376 | — | 2,469 | ||||||||||||||||
Czech Koruna/ Euro | 06/15/2005 | 6,943,628 | 7,007,419 | 63,791 | — | |||||||||||||||
06/15/2005 | 7,007,419 | 6,821,461 | — | 185,958 | ||||||||||||||||
Euro/ Australian Dollar | 06/15/2005 | 2,521,636 | 2,544,790 | 23,154 | — | |||||||||||||||
06/15/2005 | 2,544,790 | 2,452,654 | — | 92,136 | ||||||||||||||||
Euro/ Canadian Dollar | 06/15/2005 | 637,534 | 639,094 | 1,560 | — | |||||||||||||||
06/15/2005 | 618,770 | 637,534 | 18,764 | — | ||||||||||||||||
Euro/ Czech Koruna | 06/15/2005 | 7,614,499 | 8,018,639 | 404,140 | — | |||||||||||||||
06/15/2005 | 8,018,639 | 7,805,036 | — | 213,603 | ||||||||||||||||
Euro/ Great Britian Pound | 06/15/2005 | 3,962,471 | 3,972,374 | 9,903 | — | |||||||||||||||
06/15/2005 | 3,972,374 | 3,911,876 | — | 60,498 | ||||||||||||||||
Euro/ Hungarian Forint | 06/15/2005 | 5,113,817 | 5,316,694 | 202,877 | — | |||||||||||||||
06/15/2005 | 5,316,694 | 5,195,201 | — | 121,493 | ||||||||||||||||
Euro/ Israeli Shekel | 06/15/2005 | 1,022,143 | 1,082,025 | 59,882 | — | |||||||||||||||
06/15/2005 | 1,082,025 | 1,047,276 | — | 34,749 | ||||||||||||||||
Euro/ Japanese Yen | 06/15/2005 | 1,851,000 | 1,805,184 | — | 45,816 | |||||||||||||||
06/15/2005 | 1,854,872 | 1,851,000 | — | 3,872 | ||||||||||||||||
Euro/ Polish Zloty | 06/15/2005 | 8,003,475 | 8,500,335 | 496,860 | — | |||||||||||||||
06/15/2005 | 8,500,335 | 8,325,530 | — | 174,805 | ||||||||||||||||
Euro/ Slovakian Koruna | 06/15/2005 | 3,925,423 | 3,994,825 | 69,402 | — | |||||||||||||||
06/15/2005 | 3,994,825 | 3,963,984 | — | 30,841 | ||||||||||||||||
Euro/South African Rand | 06/15/2005 | 2,057,209 | 2,134,139 | 76,930 | — | |||||||||||||||
06/15/2005 | 2,134,139 | 2,057,729 | — | 76,410 | ||||||||||||||||
Great Britian Pound/ Euro | 06/15/2005 | 1,994,593 | 2,018,037 | 23,444 | — | |||||||||||||||
06/15/2005 | 2,018,037 | 2,006,336 | — | 11,701 | ||||||||||||||||
Hungarian Forint/ Euro | 06/15/2005 | 2,280,639 | 2,339,331 | 58,692 | — | |||||||||||||||
06/15/2005 | 2,339,331 | 2,224,490 | — | 114,841 | ||||||||||||||||
Japanese Yen/ Euro | 06/15/2005 | 2,905,900 | 2,943,599 | 37,699 | — | |||||||||||||||
06/15/2005 | 2,868,194 | 2,905,900 | 37,706 | — | ||||||||||||||||
Polish Zloty/ Euro | 06/15/2005 | 6,967,537 | 7,128,053 | 160,516 | — | |||||||||||||||
06/15/2005 | 7,128,053 | 6,658,203 | — | 469,850 | ||||||||||||||||
Slovakian Koruna/ Euro | 06/15/2005 | 4,038,149 | 4,126,194 | 88,045 | — | |||||||||||||||
06/15/2005 | 4,126,194 | 3,987,243 | — | 138,951 | ||||||||||||||||
South African Rand/ Euro | 06/15/2005 | 1,456,822 | 1,488,670 | 31,848 | — | |||||||||||||||
06/15/2005 | 1,434,097 | 1,456,822 | 22,725 | — | ||||||||||||||||
TOTAL OPEN FORWARD FOREIGN CURRENCY CROSS CONTRACTS (PURCHASE/ SALE) | $ | 129,564,484 | $ | 129,655,899 | $ | 1,887,938 | $ | 1,796,523 | ||||||||||||
21
Statement of Investments
Principal | Interest | Maturity | ||||||||||||||
Amount• | Rate | Date | Value | |||||||||||||
Corporate Bonds – 92.5% | ||||||||||||||||
Aerospace – 2.3% | ||||||||||||||||
Aero Invest 1 S.A. (CCC+/ B2)(a)(b) | ||||||||||||||||
EUR 2,000,000 | 10.68 | % | 03/01/2015 | $ | 2,502,924 | |||||||||||
Argo-Tech Corp. (B/ B3) | ||||||||||||||||
USD 3,000,000 | 9.25 | 06/01/2011 | 3,210,000 | |||||||||||||
Aspropulsion Capital B.V. (CCC+/ B2) | ||||||||||||||||
EUR 5,000,000 | 9.63 | 10/01/2013 | 7,238,535 | |||||||||||||
BE Aerospace, Inc. (B+/ B3) | ||||||||||||||||
USD 1,000,000 | 8.50 | 10/01/2010 | 1,075,000 | |||||||||||||
BE Aerospace, Inc. (B-/ Caa2) | ||||||||||||||||
1,000,000 | 8.00 | 03/01/2008 | 995,000 | |||||||||||||
2,000,000 | 8.88 | 05/01/2011 | 2,015,000 | |||||||||||||
K&F Acquisition, Inc. (B-/ Caa1)(a) | ||||||||||||||||
7,000,000 | 7.75 | 11/15/2014 | 6,912,500 | |||||||||||||
K&F Parent, Inc. (B-/ Caa2)(a)(b)(c) | ||||||||||||||||
1,000,000 | 11.50 | 02/01/2007 | 992,500 | |||||||||||||
MTU Aero Engines (B/ B2) | ||||||||||||||||
EUR 3,750,000 | 8.25 | 04/01/2014 | 5,501,286 | |||||||||||||
Sequa Corp. (BB-/ B1) | ||||||||||||||||
USD 4,000,000 | 9.00 | 08/01/2009 | 4,260,000 | |||||||||||||
Standard Aero Holdings, Inc. (B-/ Caa1)(a) | ||||||||||||||||
3,000,000 | 8.25 | 09/01/2014 | 3,105,000 | |||||||||||||
TD Funding Corp. (B-/ B3) | ||||||||||||||||
4,000,000 | 8.38 | 07/15/2011 | 4,040,000 | |||||||||||||
Vought Aircraft Industries, Inc. (B-/ B2) | ||||||||||||||||
2,000,000 | 8.00 | 07/15/2011 | 1,890,000 | |||||||||||||
$ | 43,737,745 | |||||||||||||||
Airlines – 0.3% | ||||||||||||||||
Continental Airlines, Inc. (B/ B3) | ||||||||||||||||
USD 3,000,000 | 7.57 | % | 12/01/2006 | $ | 2,415,000 | |||||||||||
Delta Air Lines, Inc. (C/ Ca) | ||||||||||||||||
1,000,000 | 7.90 | 12/15/2009 | 325,000 | |||||||||||||
Delta Air Lines, Inc. (C/ Caa2) | ||||||||||||||||
2,000,000 | 10.00 | 08/15/2008 | 700,000 | |||||||||||||
Northwest Airlines Corp. (CCC+/ Caa1) | ||||||||||||||||
3,000,000 | 10.00 | 02/01/2009 | 1,500,000 | |||||||||||||
$ | 4,940,000 | |||||||||||||||
Automotive Parts – 3.7% | ||||||||||||||||
Accuride Corp. (B-/ Caa1)(a) | ||||||||||||||||
USD 3,000,000 | 8.50 | % | 02/01/2015 | $ | 2,835,000 | |||||||||||
Advanced Accesory Systems (CCC-/ B3) | ||||||||||||||||
3,500,000 | 10.75 | 06/15/2011 | 2,485,000 | |||||||||||||
Affinia Group, Inc. (B/ Caa1)(a) | ||||||||||||||||
3,500,000 | 9.00 | 11/30/2014 | 3,115,000 | |||||||||||||
Allied Holdings, Inc. (CCC+/ Caa1) | ||||||||||||||||
1,562,000 | 8.63 | 10/01/2007 | 937,200 | |||||||||||||
Dana Corp. (BBB-/ Ba2) | ||||||||||||||||
1,000,000 | 9.00 | 08/15/2011 | 980,000 | |||||||||||||
Delco Remy International, Inc. (CCC+/ Caa1) | ||||||||||||||||
1,000,000 | 9.38(c | ) | 04/15/2008 | 820,000 | ||||||||||||
3,250,000 | 11.00 | 05/01/2009 | 2,957,500 | |||||||||||||
Federal-Mogul Corp. (Caa3)(d) | ||||||||||||||||
2,375,000 | 7.50 | 01/15/2009 | 558,125 | |||||||||||||
Foamex LP (B-/ B3) | ||||||||||||||||
3,000,000 | 10.75 | 04/01/2009 | 2,490,000 | |||||||||||||
Foamex LP (CCC+/ Caa2) | ||||||||||||||||
USD 1,500,000 | 9.88 | 06/15/2007 | 787,500 | |||||||||||||
Keystone Automotive Operations, Inc. (B-/ B3) | ||||||||||||||||
4,000,000 | 9.75 | 11/01/2013 | 4,000,000 | |||||||||||||
LucasVarity PLC | ||||||||||||||||
GBP 3,400,000 | 10.88 | 07/10/2020 | 7,716,529 | |||||||||||||
Navistar International Corp. (BB-/ Ba3) | ||||||||||||||||
USD 2,750,000 | 9.38 | 06/01/2006 | 2,832,500 | |||||||||||||
Schefenacker AG (CCC+/ Caa1) | ||||||||||||||||
EUR 2,750,000 | 9.50 | 02/11/2014 | 2,371,022 | |||||||||||||
Stoneridge, Inc. (B+/ B1) | ||||||||||||||||
USD 2,000,000 | 11.50 | 05/01/2012 | 2,120,000 | |||||||||||||
Teksid Aluminium (CCC-/ Caa1) | ||||||||||||||||
EUR 4,000,000 | 11.38 | 07/15/2011 | 4,117,922 | |||||||||||||
Tenneco Automotive, Inc. (B-/ B2) | ||||||||||||||||
USD 2,000,000 | 10.25 | 07/15/2013 | 2,185,000 | |||||||||||||
Tenneco Automotive, Inc. (B-/ B3)(a) | ||||||||||||||||
1,750,000 | 8.63 | 11/15/2014 | 1,614,375 | |||||||||||||
The Goodyear Tire & Rubber Co. (B-/ B3)(a) | ||||||||||||||||
3,000,000 | 12.25 | 03/01/2011 | 3,270,000 | |||||||||||||
The Goodyear Tire & Rubber Co. (B-/ B3) | ||||||||||||||||
5,000,000 | 7.86 | 08/15/2011 | 4,500,000 | |||||||||||||
TRW Automotive, Inc. (BB-/ B1) | ||||||||||||||||
3,250,000 | 11.00 | 02/15/2013 | 3,493,750 | |||||||||||||
EUR 4,013,000 | 11.75 | 02/15/2013 | 5,887,110 | |||||||||||||
TRW Automotive, Inc. (BB-/ Ba3) | ||||||||||||||||
USD 1,250,000 | 9.38 | 02/15/2013 | 1,281,250 | |||||||||||||
United Components, Inc. (B/ B3) | ||||||||||||||||
5,500,000 | 9.38 | 06/15/2013 | 5,060,000 | |||||||||||||
$ | 68,414,783 | |||||||||||||||
Building Materials – 4.9% | ||||||||||||||||
ACIH, Inc. (CCC+/ B3)(a)(e) | ||||||||||||||||
USD 2,125,000 | 0.00/11.50 | % | 12/15/2012 | $ | 1,445,000 | |||||||||||
Associated Materials, Inc. (B-/ Caa2)(e) | ||||||||||||||||
9,000,000 | 0.00/11.25 | 03/01/2014 | 6,210,000 | |||||||||||||
Carmeuse Lime B.V. (B+/ Ba3) | ||||||||||||||||
EUR 8,000,000 | 10.75 | 07/15/2012 | 11,839,025 | |||||||||||||
Culligan Finance Corp. B.V. (B-/ B3)(c) | ||||||||||||||||
2,875,000 | 8.00 | 10/01/2009 | 3,764,440 | |||||||||||||
FIMEP/ Legrand S.A. (BB-/ B1) | ||||||||||||||||
USD 9,750,000 | 10.50 | 02/15/2013 | 10,968,750 | |||||||||||||
EUR 4,750,000 | 11.00 | 02/15/2013 | 7,327,408 | |||||||||||||
Goodman Global Holding Company, Inc. (B-/ Caa1)(a) | ||||||||||||||||
USD 2,750,000 | 7.88 | 12/15/2012 | 2,440,625 | |||||||||||||
Grohe Holdings (B-/ B3) | ||||||||||||||||
EUR13,500,000 | 8.63 | 10/01/2014 | 17,111,896 | |||||||||||||
Heating Finance PLC (B/ B2)(c) | ||||||||||||||||
GBP 1,750,000 | 7.88 | 04/01/2008 | 3,103,967 | |||||||||||||
Interface, Inc. (CCC/ Caa3) | ||||||||||||||||
USD 2,000,000 | 9.50 | 02/01/2014 | 1,970,000 | |||||||||||||
Jacuzzi Brands, Inc. (B/ B3) | ||||||||||||||||
3,000,000 | 9.63 | 07/01/2010 | 3,210,000 | |||||||||||||
Legrand S.A. (BB-/ Ba3) | ||||||||||||||||
5,050,000 | 8.50 | 02/15/2025 | 6,034,750 |
22
Principal | Interest | Maturity | ||||||||||||||
Amount• | Rate | Date | Value | |||||||||||||
Corporate Bonds – (continued) | ||||||||||||||||
Building Materials – (continued) | ||||||||||||||||
Nortek, Inc. (CCC+/ Caa1)(c) | ||||||||||||||||
USD 6,500,000 | 8.50 | % | 09/01/2009 | $ | 5,752,500 | |||||||||||
Texas Industries, Inc. (BB-/ B1) | ||||||||||||||||
4,000,000 | 10.25 | 06/15/2011 | 4,490,000 | |||||||||||||
USG Corp. (Caa3)(d) | ||||||||||||||||
2,000,000 | 8.50 | 08/01/2005 | 2,620,000 | |||||||||||||
USG Corp.(d) | ||||||||||||||||
1,500,000 | 9.25 | 09/15/2049 | 1,995,000 | |||||||||||||
Werner Holdings Co., Inc. (CCC-/ Caa2) | ||||||||||||||||
3,000,000 | 10.00 | 11/15/2007 | 2,040,000 | |||||||||||||
$ | 92,323,361 | |||||||||||||||
Capital Goods – 3.4% | ||||||||||||||||
Altra Industrial Motion, Inc. (CCC+/ B3)(a) | ||||||||||||||||
USD 2,250,000 | 9.00 | % | 12/01/2011 | $ | 2,233,125 | |||||||||||
Coleman Cable, Inc. (B-/ B3)(a) | ||||||||||||||||
750,000 | 9.88 | 10/01/2012 | 701,250 | |||||||||||||
Columbus Mckinnon Corp. (B-/ B3) | ||||||||||||||||
2,750,000 | 10.00 | 08/01/2010 | 2,976,875 | |||||||||||||
Dresser, Inc. (B/ B2) | ||||||||||||||||
4,000,000 | 9.38 | 04/15/2011 | 4,260,000 | |||||||||||||
Dresser-Rand Group, Inc. (B-/ B3)(a) | ||||||||||||||||
2,000,000 | 7.38 | 11/01/2014 | 1,950,000 | |||||||||||||
Flender Holdings GMBH (B-/ B2) | ||||||||||||||||
EUR 6,500,000 | 11.00 | 08/01/2010 | 10,037,435 | |||||||||||||
Flowserve Corp. (B/ B2) | ||||||||||||||||
USD 2,250,000 | 12.25 | 08/15/2010 | 2,430,000 | |||||||||||||
Flowserve Finance B.V. (B/ B2) | ||||||||||||||||
EUR 953,000 | 12.25 | 08/15/2010 | 1,324,478 | |||||||||||||
General Binding Corp. (B-/ Caa1) | ||||||||||||||||
USD 5,500,000 | 9.38 | 06/01/2008 | 5,527,500 | |||||||||||||
General Cable Corp. (B/ B2) | ||||||||||||||||
2,500,000 | 9.50 | 11/15/2010 | 2,656,250 | |||||||||||||
Luxfer Holdings PLC (CCC+/ Caa2) | ||||||||||||||||
GBP 1,750,000 | 10.15 | 05/01/2009 | 2,770,207 | |||||||||||||
Metaldyne Corp. (CCC+/ Caa1) | ||||||||||||||||
USD 3,000,000 | 11.00 | 06/15/2012 | 2,250,000 | |||||||||||||
Mueller Holdings, Inc. (B-)(e) | ||||||||||||||||
8,000,000 | 0.00/14.75 | 04/15/2014 | 5,320,000 | |||||||||||||
NMHG Holding Co. (B+/ B3) | ||||||||||||||||
3,750,000 | 10.00 | 05/15/2009 | 4,031,250 | |||||||||||||
Rexnord Corp. (B-/ B3) | ||||||||||||||||
11,250,000 | 10.13 | 12/15/2012 | 12,037,500 | |||||||||||||
Terex Corp. (B/ B3) | ||||||||||||||||
1,000,000 | 10.38 | 04/01/2011 | 1,085,000 | |||||||||||||
2,000,000 | 9.25 | 07/15/2011 | 2,165,000 | |||||||||||||
Thermadyne Holdings Corp.(d) | ||||||||||||||||
4,000,000 | 12.50 | 06/01/2008 | — | |||||||||||||
$ | 63,755,870 | |||||||||||||||
Chemicals – 8.5% | ||||||||||||||||
Avecia Group PLC (CC/ Caa3)(a) | ||||||||||||||||
USD 54,000 | 11.00 | % | 07/01/2009 | $ | 50,760 | |||||||||||
BCP Crystal Holdings Corp. (B-/ B3)(c) | ||||||||||||||||
650,000 | 9.63 | 06/15/2009 | 716,625 | |||||||||||||
Borden United States Finance/ Nova Scotia (B-/B3)(a) | ||||||||||||||||
USD 2,750,000 | 9.00 | 07/15/2014 | 2,756,875 | |||||||||||||
Compass Minerals International, Inc. (B-/ B1)(e) | ||||||||||||||||
8,750,000 | 0.00/12.75 | 12/15/2012 | 7,525,000 | |||||||||||||
Compass Minerals International, Inc. (B-/ B3)(e) | ||||||||||||||||
7,750,000 | 0.00/12.00 | 06/01/2013 | 6,510,000 | |||||||||||||
Crompton Corp. (B/ B1)(c) | ||||||||||||||||
2,500,000 | 9.88 | 08/01/2008 | 2,831,250 | |||||||||||||
Crystal US Holdings (B-/ Caa2)(a)(e) | ||||||||||||||||
650,000 | 0.00/10.00 | 10/01/2014 | 422,500 | |||||||||||||
7,637,000 | 0.00/10.50 | 10/01/2014 | 4,964,050 | |||||||||||||
Dynea International Oy (CCC/ Caa2) | ||||||||||||||||
EUR 6,500,000 | 12.25 | 08/15/2010 | 8,573,642 | |||||||||||||
Equistar Chemical/ Funding (BB-/ B2) | ||||||||||||||||
USD 3,000,000 | 10.63 | 05/01/2011 | 3,322,500 | |||||||||||||
Equistar Chemicals LP (BB-/ B2) | ||||||||||||||||
2,750,000 | 10.13 | 09/01/2008 | 3,031,875 | |||||||||||||
2,000,000 | 7.55 | 02/15/2026 | 1,930,000 | |||||||||||||
Ethyl Corp. (B+/ B2) | ||||||||||||||||
4,250,000 | 8.88 | 05/01/2010 | 4,473,125 | |||||||||||||
Hercules, Inc. (BB-/ Ba2) | ||||||||||||||||
2,500,000 | 11.13 | 11/15/2007 | 2,825,000 | |||||||||||||
Huntsman Advanced Materials LLC (BB-/ Ba3)(a) | ||||||||||||||||
5,000,000 | 11.00 | 07/15/2010 | 5,712,500 | |||||||||||||
Huntsman ICI Chemicals (B3) | ||||||||||||||||
EUR 2,715,000 | 10.13 | 07/01/2009 | 3,633,551 | |||||||||||||
Huntsman ICI Holdings LLC (B+/ B2) | ||||||||||||||||
USD 2,000,000 | 9.88 | 03/01/2009 | 2,150,000 | |||||||||||||
Huntsman International LLC (B/ B3) | ||||||||||||||||
EUR 2,875,000 | 10.13 | 07/01/2009 | 3,847,683 | |||||||||||||
IMC Global, Inc. (B+/ B1) | ||||||||||||||||
USD 26,000 | 7.63 | 11/01/2005 | 26,162 | |||||||||||||
IMC Global, Inc. (BB/ Ba3) | ||||||||||||||||
4,500,000 | 10.88 | 08/01/2013 | 5,287,500 | |||||||||||||
Invista (B+/ B1)(a) | ||||||||||||||||
5,000,000 | 9.25 | 05/01/2012 | 5,350,000 | |||||||||||||
ISP Chemco, Inc. (BB-/ B1) | ||||||||||||||||
2,500,000 | 10.25 | 07/01/2011 | 2,706,250 | |||||||||||||
Kraton Polymers LLC (B-/ Caa1)(a) | ||||||||||||||||
5,750,000 | 8.13 | 01/15/2014 | 5,361,875 | |||||||||||||
LBC Luxembourg (CCC+/ Caa1) | ||||||||||||||||
EUR 3,250,000 | 11.00 | 05/15/2014 | 4,328,644 | |||||||||||||
Lucite International Finance PLC (B+/ B2) | ||||||||||||||||
7,250,000 | 10.25 | 05/15/2010 | 9,796,150 | |||||||||||||
Lyondell Chemical Co. (BB-/ B1) | ||||||||||||||||
USD 1,500,000 | 9.50 | 12/15/2008 | 1,597,500 | |||||||||||||
4,000,000 | 10.50 | 06/01/2013 | 4,600,000 | |||||||||||||
Polymer Holdings LLC (B-/ Caa2)(a)(e) | ||||||||||||||||
3,000,000 | 0.00/12.00 | 07/15/2014 | 1,912,500 | |||||||||||||
PQ Corp. (B-/ B3)(a)(c) | ||||||||||||||||
USD 3,000,000 | 7.50 | 02/15/2009 | 2,865,000 | |||||||||||||
Rhodia S.A. (CCC+/ B3) | ||||||||||||||||
EUR 2,000,000 | 8.00 | 06/01/2010 | 2,457,885 | |||||||||||||
USD 2,000,000 | 10.25 | 06/01/2010 | 2,120,000 | |||||||||||||
23
Principal | Interest | Maturity | ||||||||||||||
Amount• | Rate | Date | Value | |||||||||||||
Corporate Bonds – (continued) | ||||||||||||||||
Chemicals – (continued) | ||||||||||||||||
Rhodia S.A. (CCC+/ Caa1) | ||||||||||||||||
USD 3,500,000 | 8.88 | % | 06/01/2011 | $ | 3,342,500 | |||||||||||
EUR 9,000,000 | 9.25 | 06/01/2011 | 10,655,123 | |||||||||||||
Rockwood Specialties, Inc. (B-/B3) | ||||||||||||||||
USD5,000,000 | 10.63 | 05/15/2011 | 5,506,250 | |||||||||||||
EUR10,500,000 | 7.63 | (a) | 11/15/2014 | 13,444,371 | ||||||||||||
Royster-Clark, Inc. (B-/ Caa1) | ||||||||||||||||
USD 2,250,000 | 10.25 | 04/01/2009 | 2,255,625 | |||||||||||||
United Agri Products, Inc. (B/ B1)(c) | ||||||||||||||||
1,808,000 | 8.25 | 12/15/2007 | 1,762,800 | |||||||||||||
Vanguard Health Holding Co. II (CCC+/ Caa1)(c) | ||||||||||||||||
2,000,000 | 9.00 | 10/01/2009 | 2,105,000 | |||||||||||||
Witco Corp. (B+/ Ba3) | ||||||||||||||||
7,000,000 | 7.75 | 04/01/2023 | 6,982,500 | |||||||||||||
$ | 159,740,571 | |||||||||||||||
Conglomerates – 3.6% | ||||||||||||||||
ABB International Finance Ltd. (BB-/ Ba2) | ||||||||||||||||
USD 2,500,000 | 4.63 | % | 05/16/2007 | $ | 2,559,375 | |||||||||||
Blount, Inc. (B-/ Caa1) | ||||||||||||||||
3,750,000 | 8.88 | 08/01/2012 | 3,862,500 | |||||||||||||
Bombardier, Inc. (BB/ Ba2)(a) | ||||||||||||||||
5,000,000 | 6.75 | 05/01/2012 | 4,500,000 | |||||||||||||
Britax Group PLC (B-/ B2) | ||||||||||||||||
EUR 4,125,000 | 11.25 | 05/15/2011 | 5,832,449 | |||||||||||||
Britax Group PLC (B-/ B3)(f) | ||||||||||||||||
20,000,000 | 0.00 | 02/02/2012 | 7,154,889 | |||||||||||||
Invensys PLC (B-/ B3) | ||||||||||||||||
USD 1,000,000 | 6.50 | 01/15/2010 | 880,000 | |||||||||||||
3,000,000 | 6.50 | (a) | 01/15/2010 | 2,842,500 | ||||||||||||
5,000,000 | 9.88 | (a) | 03/15/2011 | 4,962,500 | ||||||||||||
Mark IV Industries, Inc. (B/ Caa1) | ||||||||||||||||
10,007,000 | 7.50 | 09/01/2007 | 9,531,668 | |||||||||||||
Noma Luxembourg S.A. (B-/ B3) | ||||||||||||||||
EUR 2,000,000 | 9.75 | 07/15/2011 | 2,676,649 | |||||||||||||
Park-Ohio Industries, Inc. (CCC+/ Caa1)(a) | ||||||||||||||||
USD 4,000,000 | 8.38 | 11/15/2014 | 3,400,000 | |||||||||||||
Polypore International, Inc. (CCC+/ Caa1)(a)(e) | ||||||||||||||||
3,250,000 | 0.00/10.50 | 10/01/2012 | 1,722,500 | |||||||||||||
Polypore, Inc. (CCC+/ Caa1) | ||||||||||||||||
EUR 4,000,000 | 8.75 | 05/15/2012 | 3,832,335 | |||||||||||||
The Manitowoc Co., Inc. (B/ B2) | ||||||||||||||||
4,500,000 | 10.38 | 05/15/2011 | 6,384,388 | |||||||||||||
Trimas Corp. (B-/ B3) | ||||||||||||||||
USD 7,250,000 | 9.88 | 06/15/2012 | 7,141,250 | |||||||||||||
$ | 67,283,003 | |||||||||||||||
Consumer Cyclical Services – 2.5% | ||||||||||||||||
APCOA, Inc. (CCC+/ Caa3) | ||||||||||||||||
USD 3,000,000 | 9.25 | % | 03/15/2008 | $ | 2,940,000 | |||||||||||
Ashtead Holdings (B-/ B2) | ||||||||||||||||
GBP 2,500,000 | 12.00 | 05/01/2014 | 5,399,759 | |||||||||||||
Brickman Group Ltd. (B/ B2) | ||||||||||||||||
USD 2,000,000 | 11.75 | 12/15/2009 | 2,265,000 | |||||||||||||
H&E Equipment Services LLC (B-/ B3) | ||||||||||||||||
2,250,000 | 11.13 | 06/15/2012 | 2,475,000 | |||||||||||||
Interline Brands, Inc. (B/ B3) | ||||||||||||||||
USD 3,250,000 | 11.50 | 05/15/2011 | 3,640,000 | |||||||||||||
MSX International, Inc. (B-/ B3) | ||||||||||||||||
1,000,000 | 11.00 | 10/15/2007 | 1,000,000 | |||||||||||||
MSX International, Inc. (CCC+/ Caa1) | ||||||||||||||||
1,000,000 | 11.38 | 01/15/2008 | 790,000 | |||||||||||||
Ray Acquisition SCA (CCC+/ Caa1)(a)(c) | ||||||||||||||||
EUR14,500,000 | 9.38 | 03/16/2010 | 17,259,883 | |||||||||||||
United Rentals North America, Inc. (B+/ B2) | ||||||||||||||||
USD 4,000,000 | 7.75 | 11/15/2013 | 3,700,000 | |||||||||||||
2,750,000 | 7.00 | 02/15/2014 | 2,461,250 | |||||||||||||
Wesco Distribution, Inc. (B/ B2) | ||||||||||||||||
2,813,000 | 9.13 | 06/01/2008 | 2,862,227 | |||||||||||||
Williams Scotsman, Inc. (B-/ B3) | ||||||||||||||||
2,750,000 | 9.88 | 06/01/2007 | 2,708,750 | |||||||||||||
$ | 47,501,869 | |||||||||||||||
Consumer Products – 4.5% | ||||||||||||||||
Ames True Temper (CCC+/ Caa1) | ||||||||||||||||
USD 4,000,000 | 10.00 | % | 07/15/2012 | $ | 3,320,000 | |||||||||||
Bear Creek Corp. (B-/ B3)(a)(c) | ||||||||||||||||
2,750,000 | 9.00 | 03/01/2009 | 2,695,000 | |||||||||||||
Bombardier Recreational Products, Inc. (B-/ B3) | ||||||||||||||||
6,000,000 | 8.38 | 12/15/2013 | 6,240,000 | |||||||||||||
Briggs & Stratton Corp. (BBB-/ Ba1) | ||||||||||||||||
2,500,000 | 8.88 | 03/15/2011 | 2,875,000 | |||||||||||||
FTD Group, Inc. (B-/ B3) | ||||||||||||||||
2,194,000 | 7.75 | 02/15/2014 | 2,188,515 | |||||||||||||
Jafra Cosmetics International, Inc. (B-/ B3) | ||||||||||||||||
1,303,000 | 10.75 | 05/15/2011 | 1,459,360 | |||||||||||||
Johnsondiversey Holdings, Inc. (B/ Caa1)(e) | ||||||||||||||||
5,000,000 | 0.00/10.67 | 05/15/2013 | 4,025,000 | |||||||||||||
Johnsondiversey, Inc. (B/ B3) | ||||||||||||||||
4,000,000 | 9.63 | 05/15/2012 | 4,835,334 | |||||||||||||
Jostens Holding Corp. (B-/ Caa2)(e) | ||||||||||||||||
4,750,000 | 0.00/10.25 | 12/01/2013 | 3,396,250 | |||||||||||||
Leiner Health Products, Inc. (CCC+/ B3)(c) | ||||||||||||||||
1,000,000 | 11.00 | 06/01/2008 | 1,050,000 | |||||||||||||
Norcross Safety Products (B-/ B3) | ||||||||||||||||
4,250,000 | 9.88 | 08/15/2011 | 4,547,500 | |||||||||||||
NSP Holdings (B-/ Caa1)(a)(b) | ||||||||||||||||
1,500,000 | 11.75 | 01/01/2012 | 1,526,250 | |||||||||||||
Playtex Products, Inc. (CCC+/ Caa2) | ||||||||||||||||
6,500,000 | 9.38 | 06/01/2011 | 6,776,250 | |||||||||||||
Prestige Brands, Inc. (B-/ Caa1) | ||||||||||||||||
2,100,000 | 9.25 | 04/15/2012 | 2,199,750 | |||||||||||||
Rayovac Corp. (B-/ B3)(a)(c) | ||||||||||||||||
6,000,000 | 7.38 | 02/01/2010 | 5,745,000 | |||||||||||||
Reddy Ice Holdings, Inc. (B-/ Caa1)(a)(e) | ||||||||||||||||
3,500,000 | 0.00/10.50 | 11/01/2012 | 2,485,000 | |||||||||||||
Remington Arms Co., Inc. (CCC+/ B3) | ||||||||||||||||
2,500,000 | 10.50 | 02/01/2011 | 2,375,000 | |||||||||||||
Safilo Capital International S.A. (CCC+/ Caa2) | ||||||||||||||||
EUR13,375,000 | 9.63 | 05/15/2013 | 17,211,627 | |||||||||||||
Simmons Bedding Co. (B-/ Caa2)(a)(e) | ||||||||||||||||
USD 3,750,000 | 0.00/10.00 | 12/15/2014 | 2,156,250 | |||||||||||||
24
Principal | Interest | Maturity | ||||||||||||||
Amount• | Rate | Date | Value | |||||||||||||
Corporate Bonds – (continued) | ||||||||||||||||
Consumer Products – (continued) | ||||||||||||||||
Texon International PLC | ||||||||||||||||
DEM 2,250,000 | 10.00 | % | 02/01/2010 | $ | 296,080 | |||||||||||
Vertrue, Inc. (B/ B2) | ||||||||||||||||
USD 3,000,000 | 9.25 | 04/01/2014 | 2,985,000 | |||||||||||||
WH Holdings (B+/ B2) | ||||||||||||||||
3,600,000 | 9.50 | 04/01/2011 | 3,888,000 | |||||||||||||
$ | 84,276,166 | |||||||||||||||
Defense – 0.4% | ||||||||||||||||
Alliant Techsystems, Inc. (B/ B2) | ||||||||||||||||
USD 1,500,000 | 8.50 | % | 05/15/2011 | $ | 1,593,750 | |||||||||||
Heckler Koch GMBH (B/ B-) | ||||||||||||||||
EUR 2,000,000 | 9.25 | 07/15/2011 | 2,818,203 | |||||||||||||
L-3 Communications Corp. (BB+/ Ba3) | ||||||||||||||||
USD 3,500,000 | 6.13 | 01/15/2014 | 3,421,250 | |||||||||||||
$ | 7,833,203 | |||||||||||||||
Electric – 4.5% | ||||||||||||||||
AES Corp. (B-/ B1) | ||||||||||||||||
USD 5,250,000 | 9.50 | % | 06/01/2009 | $ | 5,683,125 | |||||||||||
5,250,000 | 9.38 | 09/15/2010 | 5,722,500 | |||||||||||||
Allegheny Energy Supply Co. LLC (B/ B2)(a) | ||||||||||||||||
5,750,000 | 8.25 | 04/15/2012 | 6,123,750 | |||||||||||||
Calpine Canada Energy Finance (CCC/ Caa1) | ||||||||||||||||
7,750,000 | 8.50 | 05/01/2008 | 3,855,625 | |||||||||||||
Calpine Corp. (B-)(a) | ||||||||||||||||
3,000,000 | 8.75 | 07/15/2013 | 2,047,500 | |||||||||||||
1,750,000 | 9.88 | 12/01/2011 | 1,190,000 | |||||||||||||
Calpine Corp. (CCC/ Caa1) | ||||||||||||||||
1,250,000 | 8.63 | 08/15/2010 | 612,500 | |||||||||||||
3,000,000 | 8.50 | 02/15/2011 | 1,440,000 | |||||||||||||
Dynegy Holdings, Inc. (B-/ B3)(a) | ||||||||||||||||
5,000,000 | 10.13 | 07/15/2013 | 5,137,500 | |||||||||||||
Dynegy Holdings, Inc. (CCC+/ Caa2) | ||||||||||||||||
3,500,000 | 8.75 | 02/15/2012 | 3,123,750 | |||||||||||||
1,500,000 | 7.13 | 05/15/2018 | 1,117,500 | |||||||||||||
Edison Mission Energy (B+/ B1) | ||||||||||||||||
1,500,000 | 10.00 | 08/15/2008 | 1,627,500 | |||||||||||||
1,000,000 | 9.88 | 04/15/2011 | 1,122,500 | |||||||||||||
Elwood Energy LLC (B+/ Ba2) | ||||||||||||||||
2,630,430 | 8.16 | 07/05/2026 | 2,959,234 | |||||||||||||
Ipalco Enterprises, Inc. (BB-/ Ba1) | ||||||||||||||||
2,000,000 | 8.63 | 11/14/2011 | 2,275,000 | |||||||||||||
Midwest Generation LLC (B/ B1)(c) | ||||||||||||||||
3,000,000 | 8.75 | 05/01/2014 | 3,255,000 | |||||||||||||
Midwest Generation LLC (B+/ B1) | ||||||||||||||||
1,000,000 | 8.30 | 07/02/2009 | 1,050,000 | |||||||||||||
5,000,000 | 8.56 | % | 01/02/2016 | 5,450,000 | ||||||||||||
Mirant Americas Generation LLC (Caa3)(d) | ||||||||||||||||
2,500,000 | 7.63 | 05/01/2006 | 2,850,000 | |||||||||||||
Mirant Mid-Atlantic LLC (B3)(d) | ||||||||||||||||
2,170,393 | 9.13 | 06/30/2017 | 2,490,526 | |||||||||||||
Noteco Ltd. (Drax) A2(i) | ||||||||||||||||
GBP 1,521,000 | 8.18 | 06/15/2015 | 7,107,083 | |||||||||||||
Noteco Ltd. (Drax) A3(i) | ||||||||||||||||
287,000 | 9.18 | 06/30/2020 | — | |||||||||||||
NRG Energy, Inc. (B/ B1)(a) | ||||||||||||||||
USD 2,738,000 | 8.00 | 12/15/2013 | 2,772,225 | |||||||||||||
Portland General Electric (BBB+/ Baa2) | ||||||||||||||||
5,000,000 | 9.31 | 08/11/2021 | 6,331,655 | |||||||||||||
Reliant Resources, Inc. (B+/ B1) | ||||||||||||||||
3,000,000 | 9.25 | 07/15/2010 | 3,060,000 | |||||||||||||
1,750,000 | 9.50 | 07/15/2013 | 1,802,500 | |||||||||||||
South Point Energy Center LLC (B-/ B2)(a) | ||||||||||||||||
1,390,594 | 8.40 | 05/30/2012 | 1,265,441 | |||||||||||||
4,000,000 | 9.83 | 05/30/2019 | 3,180,000 | |||||||||||||
$ | 84,652,414 | |||||||||||||||
Energy – 1.9% | ||||||||||||||||
Aker Kvaerner ASA (B2) | ||||||||||||||||
EUR 3,750,000 | 8.38 | % | 06/15/2011 | $ | 5,428,901 | |||||||||||
AmeriGas Partners LP (BB-/ B2) | ||||||||||||||||
USD 2,000,000 | 8.88 | 05/20/2011 | 2,188,000 | |||||||||||||
El Paso Production Holding Co. (B-/ B3) | ||||||||||||||||
8,000,000 | 7.75 | 06/01/2013 | 7,980,000 | |||||||||||||
Grant Prideco Escrow, Inc. (BB-/ Ba3) | ||||||||||||||||
500,000 | 9.00 | 12/15/2009 | 545,000 | |||||||||||||
Grant Prideco, Inc. (BB-/ Ba3) | ||||||||||||||||
1,500,000 | 9.63 | 12/01/2007 | 1,635,000 | |||||||||||||
Inergy LP (B-/ B1)(a) | ||||||||||||||||
2,000,000 | 6.88 | 12/15/2014 | 1,900,000 | |||||||||||||
Paramount Resources Ltd. (CCC/ B3)(c) | ||||||||||||||||
1,523,000 | 8.50 | 01/31/2007 | 1,507,770 | |||||||||||||
Peabody Energy Corp. (BB-/ Ba3) | ||||||||||||||||
2,500,000 | 6.88 | 03/15/2013 | 2,581,250 | |||||||||||||
Premcor Refining Group, Inc. (B/ B2) | ||||||||||||||||
2,500,000 | 7.75 | 02/01/2012 | 2,687,500 | |||||||||||||
Tesoro Petroleum Corp. (BB-/ B2) | ||||||||||||||||
5,000,000 | 9.63 | 04/01/2012 | 5,525,000 | |||||||||||||
Vintage Petroleum, Inc. (B/ B1) | ||||||||||||||||
1,500,000 | 7.88 | 05/15/2011 | 1,567,500 | |||||||||||||
Vintage Petroleum, Inc. (BB-/ Ba3) | ||||||||||||||||
2,000,000 | 8.25 | 05/01/2012 | 2,130,000 | |||||||||||||
$ | 35,675,921 | |||||||||||||||
Entertainment – 1.5% | ||||||||||||||||
Imax Corp. (B-/ B3) | ||||||||||||||||
USD 1,250,000 | 9.63 | % | 12/01/2010 | $ | 1,312,500 | |||||||||||
Marquee, Inc. (B-/ B2)(a) | ||||||||||||||||
1,875,000 | 8.63 | 08/15/2012 | 1,931,250 | |||||||||||||
Six Flags, Inc. (CCC/ Caa1) | ||||||||||||||||
3,750,000 | 9.75 | 04/15/2013 | 3,281,250 | |||||||||||||
Universal City Development Partners (B-/ B2) | ||||||||||||||||
8,750,000 | 11.75 | 04/01/2010 | 9,887,500 | |||||||||||||
Warner Music Group (B-/ B3)(c) | ||||||||||||||||
5,000,000 | 7.38 | 04/15/2009 | 4,981,250 | |||||||||||||
WMG Holdings Corp. (B-/ Caa2)(a) | ||||||||||||||||
1,500,000 | 9.76 | 12/15/2009 | 1,490,625 | |||||||||||||
WMG Holdings Corp. (B-/ Caa2)(a)(e) | ||||||||||||||||
7,000,000 | 0.00/9.50 | 12/15/2014 | 4,786,250 | |||||||||||||
$ | 27,670,625 | |||||||||||||||
25
Principal | Interest | Maturity | ||||||||||||||
Amount• | Rate | Date | Value | |||||||||||||
Corporate Bonds – (continued) | ||||||||||||||||
Environmental – 0.9% | ||||||||||||||||
Allied Waste North America, Inc. (BB-/ B2) | ||||||||||||||||
USD 2,375,000 | 8.88 | % | 04/01/2008 | $ | 2,434,375 | |||||||||||
1,500,000 | 8.50 | 12/01/2008 | 1,528,125 | |||||||||||||
3,500,000 | 7.25 | (a)(c) | 03/15/2010 | 3,185,000 | ||||||||||||
2,000,000 | 6.50 | 11/15/2010 | 1,885,000 | |||||||||||||
2,250,000 | 7.88 | 04/15/2013 | 2,182,500 | |||||||||||||
1,750,000 | 6.13 | 02/15/2014 | 1,518,125 | |||||||||||||
Waste Services (CCC/ Ca)(a) | ||||||||||||||||
3,125,000 | 9.50 | 04/15/2014 | 3,117,187 | |||||||||||||
$ | 15,850,312 | |||||||||||||||
Finance – 0.4% | ||||||||||||||||
Refco Finance Holdings LLC (B/ B3)(a) | ||||||||||||||||
USD 7,250,000 | 9.00 | % | 08/01/2012 | $ | 7,830,000 | |||||||||||
Food – 4.2% | ||||||||||||||||
American Seafoods Group LLC (B-/ B3) | ||||||||||||||||
USD 4,000,000 | 10.13 | % | 04/15/2010 | $ | 4,280,000 | |||||||||||
Barry Callebaut Services N.V. (BB-/ B1) | ||||||||||||||||
EUR 3,000,000 | 9.25 | 03/15/2010 | 4,285,212 | |||||||||||||
Burns Philp Capital Party Ltd. (B/ B3) | ||||||||||||||||
USD 4,000,000 | 10.75 | 02/15/2011 | 4,440,000 | |||||||||||||
3,000,000 | 9.75 | 07/15/2012 | 3,270,000 | |||||||||||||
Dole Food Co. (B+/ B2) | ||||||||||||||||
3,000,000 | 8.63 | 05/01/2009 | 3,157,500 | |||||||||||||
3,000,000 | 8.88 | 03/15/2011 | 3,165,000 | |||||||||||||
Domino’s, Inc. (B-/ B2) | ||||||||||||||||
4,011,000 | 8.25 | 07/01/2011 | 4,171,440 | |||||||||||||
Eagle Family Foods (CCC/ Caa2) | ||||||||||||||||
3,500,000 | 8.75 | 01/15/2008 | 2,905,000 | |||||||||||||
Land O’ Lakes, Inc. (B/ B2) | ||||||||||||||||
1,000,000 | 9.00 | 12/15/2010 | 1,040,000 | |||||||||||||
Land O’ Lakes, Inc. (B-/ B3) | ||||||||||||||||
6,000,000 | 8.75 | 11/15/2011 | 5,820,000 | |||||||||||||
Landry’s Restaurants, Inc. (B/ B2)(a) | ||||||||||||||||
9,000,000 | 7.50 | 12/15/2014 | 8,595,000 | |||||||||||||
Michael Foods, Inc. (B-/ B3) | ||||||||||||||||
4,250,000 | 8.00 | 11/15/2013 | 4,313,750 | |||||||||||||
New World Pasta Co. (Caa3)(d) | ||||||||||||||||
3,000,000 | 9.25 | 02/15/2009 | 180,000 | |||||||||||||
Parmalat Finance Corp. B.V.(d) | ||||||||||||||||
EUR 9,750,000 | 6.13 | 09/29/2010 | 2,953,164 | |||||||||||||
Pinnacle Foods Holding Corp. (B-/ B3)(c) | ||||||||||||||||
USD 4,000,000 | 8.25 | 12/01/2008 | 3,380,000 | |||||||||||||
Swift & Co. (B/ B2) | ||||||||||||||||
5,000,000 | 12.50 | 01/01/2010 | 5,550,000 | |||||||||||||
Swift & Co. (B+/ B1) | ||||||||||||||||
3,000,000 | 10.13 | 10/01/2009 | 3,225,000 | |||||||||||||
United Biscuits Finance (CCC+/ B3) | ||||||||||||||||
EUR 5,500,000 | 10.63 | 04/15/2011 | 7,254,620 | |||||||||||||
GBP 3,000,000 | 10.75 | 04/15/2011 | 5,635,775 | |||||||||||||
$ | 77,621,461 | |||||||||||||||
Gaming – 3.6% | ||||||||||||||||
Ameristar Casinos, Inc. (B+/ B2) | ||||||||||||||||
USD 4,000,000 | 10.75 | % | 02/15/2009 | $ | 4,350,000 | |||||||||||
Boyd Gaming Corp. (B+/ B1) | ||||||||||||||||
USD 2,000,000 | 8.75 | 04/15/2012 | 2,160,000 | |||||||||||||
Caesars Entertainment, Inc. (BB+/ Ba1) | ||||||||||||||||
1,500,000 | 7.50 | 09/01/2009 | 1,631,250 | |||||||||||||
Chukchansi Economic Development Authority(a) | ||||||||||||||||
2,000,000 | 14.50 | 06/15/2009 | 2,430,000 | |||||||||||||
Circus & Eldorado (B+/ B1) | ||||||||||||||||
3,500,000 | 10.13 | 03/01/2012 | 3,762,500 | |||||||||||||
Inn of the Mountain Gods (B/ B3) | ||||||||||||||||
5,000,000 | 12.00 | 11/15/2010 | 5,862,500 | |||||||||||||
Kerzner International Ltd. (B/ B2) | ||||||||||||||||
3,750,000 | 8.88 | 08/15/2011 | 4,003,125 | |||||||||||||
Mandalay Resort Group (B+/ Ba3) | ||||||||||||||||
3,250,000 | 10.25 | 08/01/2007 | 3,566,875 | |||||||||||||
2,000,000 | 9.38 | 02/15/2010 | 2,200,000 | |||||||||||||
Mandalay Resort Group (BB/ Ba2) | ||||||||||||||||
250,000 | 6.45 | 02/01/2006 | 255,000 | |||||||||||||
MGM Mirage, Inc. (B+/ Ba3) | ||||||||||||||||
5,125,000 | 8.38 | 02/01/2011 | 5,458,125 | |||||||||||||
Mirage Resorts, Inc. (BB/ Ba2) | ||||||||||||||||
3,125,000 | 7.25 | 08/01/2017 | 3,195,312 | |||||||||||||
Mohegan Tribal Gaming Authority (B+/ Ba3) | ||||||||||||||||
3,000,000 | 8.00 | 04/01/2012 | 3,180,000 | |||||||||||||
MTR Gaming Group, Inc. (B+/ B2) | ||||||||||||||||
3,000,000 | 9.75 | 04/01/2010 | 3,270,000 | |||||||||||||
Park Place Entertainment Corp. (BB-/ Ba2) | ||||||||||||||||
6,125,001 | 7.88 | 03/15/2010 | 6,706,875 | |||||||||||||
2,500,000 | 8.13 | 05/15/2011 | 2,800,000 | |||||||||||||
Pinnacle Entertainment, Inc. (B-/ Caa1) | ||||||||||||||||
2,000,000 | 8.25 | 03/15/2012 | 1,960,000 | |||||||||||||
Poster Financial Group, Inc. (B/ B2) | ||||||||||||||||
2,000,000 | 8.75 | 12/01/2011 | 2,030,000 | |||||||||||||
River Rock Entertainment (B+/ B2) | ||||||||||||||||
2,000,000 | 9.75 | 11/01/2011 | 2,145,000 | |||||||||||||
Station Casinos, Inc. (B+/ B1) | ||||||||||||||||
2,500,000 | 6.88 | 03/01/2016 | 2,500,000 | |||||||||||||
Wynn Las Vegas LLC Corp. (B+/ B2)(a) | ||||||||||||||||
5,000,000 | 6.63 | 12/01/2014 | 4,637,500 | |||||||||||||
$ | 68,104,062 | |||||||||||||||
Health Care – 5.0% | ||||||||||||||||
Alliance Imaging, Inc. (B-/ B3)(a) | ||||||||||||||||
USD 3,000,000 | 7.25 | % | 12/15/2012 | $ | 2,865,000 | |||||||||||
AmeriPath, Inc. (B-/ Caa1) | ||||||||||||||||
6,000,000 | 10.50 | 04/01/2013 | 6,000,000 | |||||||||||||
Biovail Corp. (BB-/ B2) | ||||||||||||||||
3,000,000 | 7.88 | 04/01/2010 | 2,985,000 | |||||||||||||
CDRV Investors, Inc. (B-/ Caa2)(a)(e) | ||||||||||||||||
12,500,000 | 0.00/9.63 | 01/01/2015 | 6,500,000 | |||||||||||||
Dade Behring, Inc. (BB+/ Ba3) | ||||||||||||||||
561,832 | 11.91 | 10/03/2010 | 609,588 | |||||||||||||
Davita, Inc. (B/ B3)(a)(c) | ||||||||||||||||
4,000,000 | 7.25 | 03/15/2010 | 3,920,000 | |||||||||||||
Medical Device Manufacturing, Inc. (B-/ Caa1)(c) | ||||||||||||||||
2,000,000 | 10.00 | 07/15/2012 | 2,155,000 | |||||||||||||
26
Principal | Interest | Maturity | ||||||||||||||
Amount• | Rate | Date | Value | |||||||||||||
Corporate Bonds – (continued) | ||||||||||||||||
Health Care – (continued) | ||||||||||||||||
NDCHealth Corp. (CCC+/ B3) | ||||||||||||||||
USD 3,500,000 | 10.50 | % | 12/01/2012 | $ | 3,675,000 | |||||||||||
NYCO Holdings 2 APS (CCC+/ B3) | ||||||||||||||||
EUR 9,000,000 | 11.50 | 03/31/2013 | 13,087,270 | |||||||||||||
3,132,845 | 16.00 | 09/30/2013 | 4,031,503 | |||||||||||||
Nycomed S.A.(a) | ||||||||||||||||
2,000,000 | 11.75 | 09/15/2013 | 2,432,148 | |||||||||||||
PerkinElmer, Inc. (BB-/ Ba3) | ||||||||||||||||
USD 8,000,000 | 8.88 | 01/15/2013 | 8,880,000 | |||||||||||||
Psychiatric Solutions, Inc. (B-/ B3) | ||||||||||||||||
1,666,000 | 10.63 | 06/15/2013 | 1,838,848 | |||||||||||||
Quintiles Transnational Corp. (B/ B3) | ||||||||||||||||
6,000,000 | 10.00 | 10/01/2013 | 6,480,000 | |||||||||||||
Select Medical Corp. (B-/ B3)(a)(c) | ||||||||||||||||
2,500,000 | 7.63 | 02/01/2015 | 2,450,000 | |||||||||||||
Senior Housing Properties Trust (BB+/ Ba2) | ||||||||||||||||
3,000,000 | 7.88 | 04/15/2015 | 3,150,000 | |||||||||||||
Service Corp. International (BB/ Ba3) | ||||||||||||||||
500,000 | 6.88 | 10/01/2007 | 506,875 | |||||||||||||
1,000,000 | 7.70 | 04/15/2009 | 1,033,750 | |||||||||||||
Sybron Dental Specialties, Inc. (BB-/ B1) | ||||||||||||||||
4,000,000 | 8.13 | 06/15/2012 | 4,230,000 | |||||||||||||
Tenet Healthcare Corp. (B/ B3) | ||||||||||||||||
9,250,000 | 7.38 | 02/01/2013 | 8,695,000 | |||||||||||||
US Oncology, Inc. (B-/ B2)(c) | ||||||||||||||||
4,000,000 | 9.00 | 08/15/2008 | 4,180,000 | |||||||||||||
Vanguard Health Holding Co. I (CCC+/ Caa2)(c)(e) | ||||||||||||||||
2,500,000 | 0.00/11.25 | 10/01/2009 | 1,700,000 | |||||||||||||
Ventas Realty LP (BB/ Ba3) | ||||||||||||||||
2,000,000 | 9.00 | 05/01/2012 | 2,230,000 | |||||||||||||
$ | 93,634,982 | |||||||||||||||
Home Construction – 0.1% | ||||||||||||||||
Standard Pacific Corp. (B+/ Ba3) | ||||||||||||||||
USD 1,000,000 | 9.25 | % | 04/15/2012 | $ | 1,115,000 | |||||||||||
Lodging – 0.9% | ||||||||||||||||
Cornell Co., Inc. (B-/ B3) | ||||||||||||||||
USD 1,500,000 | 10.75 | % | 07/01/2012 | $ | 1,560,000 | |||||||||||
Corrections Corp. of America (BB-/ B1) | ||||||||||||||||
2,000,000 | 7.50 | 05/01/2011 | 2,062,500 | |||||||||||||
Gaylord Entertainment Co. (B-/ B3) | ||||||||||||||||
3,000,000 | 8.00 | 11/15/2013 | 3,015,000 | |||||||||||||
Host Marriott LP (B+/ Ba3) | ||||||||||||||||
1,875,000 | 9.50 | 01/15/2007 | 1,987,500 | |||||||||||||
198,000 | 7.88 | 08/01/2008 | 201,960 | |||||||||||||
4,999,999 | 7.13 | 11/01/2013 | 5,050,000 | |||||||||||||
Starwood Hotels & Resorts Worldwide, Inc. (BB+/ Ba1) | ||||||||||||||||
1,000,000 | 7.88 | 05/01/2012 | 1,093,750 | |||||||||||||
2,000,000 | 7.38 | 11/15/2015 | 2,137,500 | |||||||||||||
$ | 17,108,210 | |||||||||||||||
Media – Broadcast Towers – 0.5% | ||||||||||||||||
American Tower Corp. (CCC/ B3) | ||||||||||||||||
USD 859,000 | 9.38 | % | 02/01/2009 | $ | 898,729 | |||||||||||
American Tower Escrow Corp. (CCC/ B2)(f) | ||||||||||||||||
USD 2,750,000 | 0.00 | 08/01/2008 | 2,076,250 | |||||||||||||
Crown Castle International Corp. (CCC+/ B3) | ||||||||||||||||
6,000,000 | 7.50 | 12/01/2013 | 6,420,000 | |||||||||||||
$ | 9,394,979 | |||||||||||||||
Media – Broadcasting & Radio – 0.3% | ||||||||||||||||
Clear Channel Communications, Inc. (BBB-/ Baa3) | ||||||||||||||||
USD 3,000,000 | 8.00 | % | 11/01/2008 | $ | 3,240,420 | |||||||||||
Radio One, Inc. (B/ B2)(a) | ||||||||||||||||
2,000,000 | 6.38 | 02/15/2013 | 1,940,000 | |||||||||||||
$ | 5,180,420 | |||||||||||||||
Media – Cable – 4.8% | ||||||||||||||||
Adelphia Communications Corp. (Ca)(c)(d) | ||||||||||||||||
USD 2,000,000 | 3.25 | % | 05/01/2007 | $ | 130,000 | |||||||||||
Adelphia Communications Corp. (Caa2)(d) | ||||||||||||||||
2,000,000 | 9.38 | 11/15/2009 | 1,775,000 | |||||||||||||
2,000,000 | 10.25 | 06/15/2011 | 1,810,000 | |||||||||||||
Atlantic Broadband Finance LLC (CCC+/ Caa1)(a) | ||||||||||||||||
4,250,000 | 9.38 | 01/15/2014 | 3,995,000 | |||||||||||||
Cablevision Systems New York Group (B+/ B3)(a) | ||||||||||||||||
4,000,000 | 8.00 | 04/15/2012 | 3,990,000 | |||||||||||||
Century Communications Corp. (Ca)(d)(f) | ||||||||||||||||
2,750,000 | 0.00 | 01/15/2008 | 1,581,250 | |||||||||||||
Charter Communications Holdings II (CCC-/ Caa1) | ||||||||||||||||
4,000,000 | 10.25 | 09/15/2010 | 4,000,000 | |||||||||||||
Charter Communications Holdings LLC (CCC-/ Ca) | ||||||||||||||||
7,000,000 | 10.75 | 10/01/2009 | 5,302,500 | |||||||||||||
3,500,000 | 9.63 | 11/15/2009 | 2,572,500 | |||||||||||||
750,000 | 11.34 | 01/15/2010 | 592,500 | |||||||||||||
3,250,000 | 9.92 | 04/01/2011 | 2,307,500 | |||||||||||||
6,000,000 | 0.00/11.75 | (e) | 05/15/2011 | 3,825,000 | ||||||||||||
CSC Holdings, Inc. (BB-/ B1) | ||||||||||||||||
7,250,000 | 8.13 | 07/15/2009 | 7,485,625 | |||||||||||||
FrontierVision Holdings LP (Caa1)(d) | ||||||||||||||||
3,000,000 | 11.00 | 10/15/2006 | 3,975,000 | |||||||||||||
5,000,000 | 11.88 | 09/15/2007 | 6,750,000 | |||||||||||||
Mediacom Broadband LLC (B/ B2) | ||||||||||||||||
1,500,000 | 11.00 | 07/15/2013 | 1,575,000 | |||||||||||||
Mediacom LLC (B/ B3) | ||||||||||||||||
3,000,000 | 9.50 | 01/15/2013 | 2,872,500 | |||||||||||||
Ono Finance PLC (CCC/ Caa2) | ||||||||||||||||
EUR 2,500,000 | 14.00 | 07/15/2010 | 3,490,582 | |||||||||||||
3,500,000 | 10.50 | 05/15/2014 | 4,684,136 | |||||||||||||
Tele Columbus AG & Co. (B-/ B3) | ||||||||||||||||
7,500,000 | 9.38 | 04/15/2012 | 9,458,352 | |||||||||||||
Telenet Communications N.V. (B-/ B3) | ||||||||||||||||
2,750,000 | 9.00 | 12/15/2013 | 3,875,029 | |||||||||||||
Telenet Group Holding N.V. (CCC+/ Caa2)(a)(e) | ||||||||||||||||
17,000,000 | 0.00/11.50 | 06/15/2014 | 12,750,000 | |||||||||||||
$ | 88,797,474 | |||||||||||||||
Media – Non Cable – 1.0% | ||||||||||||||||
DIRECTV Holdings LLC (BB-/ Ba2) | ||||||||||||||||
USD 5,000,000 | 8.38 | % | 03/15/2013 | $ | 5,412,500 | |||||||||||
27
Principal | Interest | Maturity | ||||||||||||||
Amount• | Rate | Date | Value | |||||||||||||
Corporate Bonds – (continued) | ||||||||||||||||
Media – Non Cable – (continued) | ||||||||||||||||
Echostar DBS Corp. (BB-/ Ba3) | ||||||||||||||||
USD 4,500,000 | 6.38 | % | 10/01/2011 | $ | 4,432,500 | |||||||||||
Lamar Media Corp. (B/ Ba3) | ||||||||||||||||
2,500,000 | 7.25 | 01/01/2013 | 2,575,000 | |||||||||||||
500,000 | 7.25 | (a) | 01/01/2013 | 440,000 | ||||||||||||
PanAmSat Corp. (B+/ B1)(c) | ||||||||||||||||
3,250,000 | 9.00 | 08/15/2009 | 3,396,250 | |||||||||||||
PanAmSat Holding Corp. (B+/ B3)(a)(c)(e) | ||||||||||||||||
2,750,000 | 0.00/10.38 | 11/01/2009 | 1,753,125 | |||||||||||||
$ | 18,009,375 | |||||||||||||||
Metals – 1.5% | ||||||||||||||||
AK Steel Corp. (B+/ B1) | ||||||||||||||||
USD 500,000 | 7.88 | % | 02/15/2009 | $ | 463,750 | |||||||||||
4,000,000 | 7.75 | 06/15/2012 | 3,560,000 | |||||||||||||
Almatis Holdings B.V. (B-/ B3) | ||||||||||||||||
EUR 1,500,000 | 9.00 | 07/15/2012 | 2,135,078 | |||||||||||||
Earle M Jorgensen Co. (B/ B2) | ||||||||||||||||
USD 2,250,000 | 9.75 | 06/01/2012 | 2,385,000 | |||||||||||||
Novelis, Inc. (B/ B1)(a) | ||||||||||||||||
2,250,000 | 7.25 | 02/15/2015 | 2,165,625 | |||||||||||||
OM Group, Inc. (B-/ Caa1) | ||||||||||||||||
6,000,000 | 9.25 | 12/15/2011 | 6,105,000 | |||||||||||||
UCAR Finance, Inc. (B-/ B2) | ||||||||||||||||
8,000,000 | 10.25 | 02/15/2012 | 8,480,000 | |||||||||||||
Wolverine Tube, Inc. (B/ B3) | ||||||||||||||||
2,000,000 | 10.50 | 04/01/2009 | 2,040,000 | |||||||||||||
$ | 27,334,453 | |||||||||||||||
Packaging – 4.2% | ||||||||||||||||
Consolidated Container Co. LLC (CCC/ B3)(e) | ||||||||||||||||
USD 1,500,000 | 0.00/10.75 | % | 06/15/2009 | $ | 1,215,000 | |||||||||||
Consolidated Container Co. LLC (CCC/ Caa2) | ||||||||||||||||
4,250,000 | 10.13 | 07/15/2009 | 3,718,750 | |||||||||||||
Constar International, Inc. (B-/ Caa1) | ||||||||||||||||
3,000,000 | 11.00 | 12/01/2012 | 2,647,500 | |||||||||||||
Crown Euro Holdings S.A. (B/ B2) | ||||||||||||||||
5,000,000 | 10.88 | 03/01/2013 | 5,750,000 | |||||||||||||
Crown Euro Holdings S.A. (B+) | ||||||||||||||||
EUR 7,000,000 | 10.25 | 03/01/2011 | 10,066,388 | |||||||||||||
Crown Euro Holdings S.A. (B+/ B1) | ||||||||||||||||
USD 2,000,000 | 9.50 | 03/01/2011 | 2,190,000 | |||||||||||||
Gerresheimer Holdings GMBH(a)(c) | ||||||||||||||||
EUR 3,750,000 | 7.88 | 02/15/2010 | 4,512,020 | |||||||||||||
Graham Packaging Co., Inc. (CCC+/ Caa2)(a) | ||||||||||||||||
USD16,500,000 | 9.88 | 10/15/2014 | 15,592,500 | |||||||||||||
Impress Group B.V. (B-/ B2) | ||||||||||||||||
EUR 3,000,000 | 10.50 | 05/25/2007 | 4,043,928 | |||||||||||||
Impress Metal Pack Holdings (CCC+/ B3) | ||||||||||||||||
DEM 7,000,000 | 9.88 | 05/29/2007 | 4,617,208 | |||||||||||||
Owens Brockway Glass Container (B/ B2) | ||||||||||||||||
USD2,500,000 | 8.25 | 05/15/2013 | 2,656,250 | |||||||||||||
1,000,000 | 6.75 | 12/01/2014 | (a) | 985,000 | ||||||||||||
Owens Brockway Glass Container (BB-/ B1) | ||||||||||||||||
8,000,000 | 8.88 | 02/15/2009 | 8,460,000 | |||||||||||||
Pliant Corp. (CCC+/ B3) | ||||||||||||||||
USD 4,500,000 | 11.13 | 09/01/2009 | 4,095,000 | |||||||||||||
Pliant Corp. (CCC+/ Caa2) | ||||||||||||||||
5,500,000 | 13.00 | 06/01/2010 | 4,166,250 | |||||||||||||
Portola Packaging, Inc. (CCC/ Caa1) | ||||||||||||||||
1,500,000 | 8.25 | 02/01/2012 | 997,500 | |||||||||||||
Tekni-Plex, Inc. (CCC-/ Caa1)(a) | ||||||||||||||||
1,500,000 | 8.75 | 11/15/2013 | 1,395,000 | |||||||||||||
Tekni-Plex, Inc. (CCC-/ Caa2) | ||||||||||||||||
2,500,000 | 12.75 | 06/15/2010 | 2,050,000 | |||||||||||||
$ | 79,158,294 | |||||||||||||||
Paper – 2.8% | ||||||||||||||||
Ainsworth Lumber Co., Ltd. (B+/ B2) | ||||||||||||||||
USD 3,500,000 | 7.25 | %(a) | 10/01/2012 | $ | 3,351,250 | |||||||||||
2,500,000 | 6.75 | 03/15/2014 | 2,312,500 | |||||||||||||
Boise Cascade LLC (B+/ B2)(a) | ||||||||||||||||
2,250,000 | 7.13 | 10/15/2014 | 2,151,562 | |||||||||||||
Georgia-Pacific Corp. (BB+/ Ba2) | ||||||||||||||||
5,000,000 | 9.38 | 02/01/2013 | 5,575,000 | |||||||||||||
Georgia-Pacific Corp. (BB+/ Ba3) | ||||||||||||||||
5,000,000 | 8.13 | 05/15/2011 | 5,456,250 | |||||||||||||
1,000,000 | 9.50 | 12/01/2011 | 1,167,500 | |||||||||||||
1,500,000 | 7.70 | 06/15/2015 | 1,631,250 | |||||||||||||
JSG Funding PLC (B-/ B3) | ||||||||||||||||
2,500,000 | 9.63 | 10/01/2012 | 2,562,500 | |||||||||||||
EUR 6,000,000 | 10.13 | 10/01/2012 | 8,145,764 | |||||||||||||
JSG Holding PLC (B-/ Caa2)(a)(b)(c) | ||||||||||||||||
3,058,458 | 11.50 | 01/31/2007 | 3,512,682 | |||||||||||||
Kappa Beheer B.V. (B/ B2) | ||||||||||||||||
2,750,000 | 10.63 | 07/15/2009 | 3,671,546 | |||||||||||||
5,000,000 | 12.50 | 07/15/2009 | 6,788,137 | |||||||||||||
Port Townsend Paper Corp. (B-/ B3)(a) | ||||||||||||||||
USD 4,500,000 | 12.00 | 04/15/2011 | 4,387,500 | |||||||||||||
Tembec Industries, Inc. (B/ B2) | ||||||||||||||||
3,000,000 | 8.50 | 02/01/2011 | 2,295,000 | |||||||||||||
$ | 53,008,441 | |||||||||||||||
Pipelines – 4.2% | ||||||||||||||||
El Paso CGP Co. (CCC+/ Caa1) | ||||||||||||||||
USD 2,000,000 | 7.63 | % | 09/01/2008 | $ | 1,982,500 | |||||||||||
1,000,000 | 10.75 | 10/01/2010 | 1,037,500 | |||||||||||||
1,000,000 | 7.75 | 10/15/2035 | 917,500 | |||||||||||||
2,000,000 | 7.42 | 02/15/2037 | 1,715,000 | |||||||||||||
El Paso Corp. (CCC+/ Caa1) | ||||||||||||||||
EUR 7,000,000 | 7.13 | 05/06/2009 | 9,143,073 | |||||||||||||
USD 2,000,000 | 7.88 | 06/15/2012 | 1,935,000 | |||||||||||||
3,000,000 | 7.38 | 12/15/2012 | 2,820,000 | |||||||||||||
7,000,000 | 7.80 | 08/01/2031 | 6,230,000 | |||||||||||||
3,750,000 | 7.75 | 01/15/2032 | 3,450,000 | |||||||||||||
El Paso Natural Gas Co. (B-/ B1) | ||||||||||||||||
2,875,000 | 8.63 | 01/15/2022 | 3,293,537 | |||||||||||||
2,375,000 | 7.50 | 11/15/2026 | 2,440,313 | |||||||||||||
4,250,000 | 8.38 | 06/15/2032 | 4,830,516 | |||||||||||||
Sonat, Inc. (CCC+/ Caa1) | ||||||||||||||||
USD 1,000,000 | 7.63 | 07/15/2011 | 956,250 | |||||||||||||
28
Principal | Interest | Maturity | ||||||||||||||
Amount• | Rate | Date | Value | |||||||||||||
Corporate Bonds – (continued) | ||||||||||||||||
Pipelines – (continued) | ||||||||||||||||
Southern Natural Gas Co. (B-/ B1) | ||||||||||||||||
3,000,000 | 8.88 | % | 03/15/2010 | $ | 3,240,000 | |||||||||||
3,000,000 | 7.35 | 02/15/2031 | 3,067,500 | |||||||||||||
1,500,000 | 8.00 | 03/01/2032 | 1,638,750 | |||||||||||||
Tennessee Gas Pipeline Co. (B-/ B1) | ||||||||||||||||
3,000,000 | 7.00 | 10/15/2028 | 2,970,000 | |||||||||||||
3,750,000 | 8.38 | 06/15/2032 | 4,301,842 | |||||||||||||
1,500,000 | 7.63 | 04/01/2037 | 1,571,250 | |||||||||||||
The Williams Cos., Inc. (B+/ B1) | ||||||||||||||||
6,500,000 | 8.13 | 03/15/2012 | 7,117,500 | |||||||||||||
9,000,000 | 7.88 | 09/01/2021 | 9,652,500 | |||||||||||||
1,000,000 | 7.50 | 01/15/2031 | 1,027,500 | |||||||||||||
TransMontaigne, Inc. (B/ B3) | ||||||||||||||||
3,000,000 | 9.13 | 06/01/2010 | 3,120,000 | |||||||||||||
$ | 78,458,031 | |||||||||||||||
Publishing – 5.8% | ||||||||||||||||
Advanstar Communications, Inc. (B-/ B3) | ||||||||||||||||
USD 4,000,000 | 10.75 | % | 08/15/2010 | $ | 4,400,000 | |||||||||||
Advanstar Communications, Inc. (CCC+/ Caa2) | ||||||||||||||||
3,750,000 | 12.00 | 02/15/2011 | 4,003,125 | |||||||||||||
Advanstar, Inc.(e) | ||||||||||||||||
2,500,000 | 0.00/15.00 | 10/15/2011 | 2,337,500 | |||||||||||||
Advertising Directory Solution (B-/ Caa1)(a) | ||||||||||||||||
4,000,000 | 9.25 | 11/15/2012 | 4,180,000 | |||||||||||||
American Media Operations, Inc. (B-/ B3) | ||||||||||||||||
2,000,000 | 8.88 | 01/15/2011 | 2,050,000 | |||||||||||||
Dex Media East LLC (B/ B2) | ||||||||||||||||
3,087,000 | 12.13 | 11/15/2012 | 3,642,660 | |||||||||||||
Dex Media West LLC (B/ B2) | ||||||||||||||||
9,744,000 | 9.88 | 08/15/2013 | 10,888,920 | |||||||||||||
Dex Media, Inc. (B/ B3) | ||||||||||||||||
1,250,000 | 8.00 | 11/15/2013 | 1,289,062 | |||||||||||||
14,000,000 | 0.00/9.00(e) | 11/15/2013 | 10,500,000 | |||||||||||||
Houghton Mifflin Co. (B-/ Caa1)(e) | ||||||||||||||||
2,000,000 | 0.00/9.88 | 02/01/2013 | 2,025,000 | |||||||||||||
Houghton Mifflin Co. (B-/ Caa2)(e) | ||||||||||||||||
2,000,000 | 0.00/11.50 | 10/15/2013 | 1,360,000 | |||||||||||||
Lighthouse International Co. S.A. (B/ B3) | ||||||||||||||||
EUR11,750,000 | 8.00 | 04/30/2014 | 14,969,289 | |||||||||||||
Merrill Corp. (CCC+/ Caa1)(g) | ||||||||||||||||
USD 1,617,104 | 12.00 | 05/01/2009 | 1,714,131 | |||||||||||||
Odyssee Financing S.A. (B/ B3)(c) | ||||||||||||||||
EUR 3,125,000 | 8.38 | 10/15/2008 | 4,443,656 | |||||||||||||
Polestar Corp. PLC (B/ B2) | ||||||||||||||||
GBP 68,885 | 10.50 | 05/30/2008 | 13,138 | |||||||||||||
Polestar Corp. PLC | ||||||||||||||||
316,836 | 12.50 | 06/30/2011 | 60,427 | |||||||||||||
Primedia, Inc. (B/ B2) | ||||||||||||||||
USD 2,750,000 | 7.63 | 04/01/2008 | 2,750,000 | |||||||||||||
4,000,000 | 8.88 | 05/15/2011 | 4,150,000 | |||||||||||||
1,000,000 | 8.00 | 05/15/2013 | 1,000,000 | |||||||||||||
Visant Corp. (B-/ B3)(c) | ||||||||||||||||
USD 5,000,000 | 7.63 | 10/01/2008 | 4,975,000 | |||||||||||||
WDAC Subsidiary Corp. (CCC+/ B2)(a) | ||||||||||||||||
EUR12,000,000 | 8.50 | 12/01/2014 | 13,589,142 | |||||||||||||
WDAC Subsidiary Corp. (CCC+/ Caa1)(a) | ||||||||||||||||
USD 2,500,000 | 8.38 | 12/01/2014 | 2,312,500 | |||||||||||||
WRC Media Corp. (CCC/ Caa2) | ||||||||||||||||
2,500,000 | 12.75 | 11/15/2009 | 2,425,000 | |||||||||||||
Yell Finance B.V. (BB-/ B1) | ||||||||||||||||
GBP 1,913,000 | 10.75 | 08/01/2011 | 4,004,199 | |||||||||||||
USD 5,638,000 | 0.00/13.50(e) | 08/01/2011 | 5,539,335 | |||||||||||||
Ziff Davis Media, Inc. (CCC-)(b) | ||||||||||||||||
459,485 | 13.00 | 08/12/2009 | 505,433 | |||||||||||||
$ | 109,127,517 | |||||||||||||||
Real Estate – 0.4% | ||||||||||||||||
CB Richard Ellis Services, Inc. (B+/ Ba3) | ||||||||||||||||
USD 650,000 | 9.75 | % | 05/15/2010 | $ | 721,500 | |||||||||||
CB Richard Ellis Services, Inc. (B-/ B1) | ||||||||||||||||
4,000,000 | 11.25 | 06/15/2011 | 4,460,000 | |||||||||||||
Crescent Real Estate Equities Ltd. (B/ B1) | ||||||||||||||||
2,000,000 | 9.25 | 04/15/2009 | 2,100,338 | |||||||||||||
$ | 7,281,838 | |||||||||||||||
Retailers – 0.3% | ||||||||||||||||
General Nutrition Center (CCC+/ Caa1) | ||||||||||||||||
USD 2,500,000 | 8.50 | % | 12/01/2010 | $ | 1,962,500 | |||||||||||
Toys R US, Inc. (BB/ Ba2) | ||||||||||||||||
2,000,000 | 7.88 | 04/15/2013 | 1,750,000 | |||||||||||||
Victoria Acquisition III B.V. (B/ B3)(c) | ||||||||||||||||
EUR 2,000,000 | 7.88 | 10/01/2008 | 2,393,542 | |||||||||||||
$ | 6,106,042 | |||||||||||||||
Retailers – Food & Drug – 1.3% | ||||||||||||||||
Brake Bros. Finance PLC (B-/ B3) | ||||||||||||||||
GBP 6,500,000 | 12.00 | % | 12/15/2011 | $ | 14,008,380 | |||||||||||
Ingles Markets, Inc. (B/ B3) | ||||||||||||||||
USD 4,000,000 | 8.88 | 12/01/2011 | 4,000,000 | |||||||||||||
Jean Coutu Group, Inc. (B/ B3) | ||||||||||||||||
4,000,000 | 8.50 | 08/01/2014 | 3,770,000 | |||||||||||||
Rite Aid Corp. (B+/ B2) | ||||||||||||||||
2,000,000 | 9.50 | 02/15/2011 | 2,035,000 | |||||||||||||
$ | 23,813,380 | |||||||||||||||
Technology – 2.2% | ||||||||||||||||
Activant Solutions, Inc. (B+/ B2) | ||||||||||||||||
USD 3,000,000 | 10.50 | % | 06/15/2011 | $ | 3,157,500 | |||||||||||
Amkor Technology, Inc. (B-/ B3) | ||||||||||||||||
2,000,000 | 9.25 | 02/15/2008 | 1,835,000 | |||||||||||||
1,000,000 | 7.75 | 05/15/2013 | 785,000 | |||||||||||||
Amkor Technology, Inc. (CCC/ Caa1) | ||||||||||||||||
1,500,000 | 5.75 | 06/01/2006 | 1,350,900 | |||||||||||||
DDI Capital Corp.(b) | ||||||||||||||||
2,286,342 | 16.00 | 01/01/2009 | 1,371,805 | |||||||||||||
Global eXchange Services (CCC+/ B3)(g) | ||||||||||||||||
USD 4,000,000 | 12.00 | 07/15/2008 | 4,000,000 | |||||||||||||
Globix Corp.(b) | ||||||||||||||||
321,664 | 11.00 | 05/01/2008 | 308,797 | |||||||||||||
29
Principal | Interest | Maturity | ||||||||||||||
Amount• | Rate | Date | Value | |||||||||||||
Corporate Bonds – (continued) | ||||||||||||||||
Technology – (continued) | ||||||||||||||||
Lucent Technologies, Inc. (B/ B2) | ||||||||||||||||
4,000,000 | 5.50 | % | 11/15/2008 | $ | 3,900,000 | |||||||||||
4,250,000 | 6.45 | 03/15/2029 | 3,580,625 | |||||||||||||
Nortel Networks Corp. (B-/ B3) | ||||||||||||||||
2,000,000 | 4.25 | 09/01/2008 | 1,799,400 | |||||||||||||
Riverdeep Group (B-/ B3) | ||||||||||||||||
EUR 3,750,000 | 9.25 | 04/15/2011 | 5,163,488 | |||||||||||||
Syniverse Technology (B-/ B2) | ||||||||||||||||
USD 1,301,000 | 12.75 | 02/01/2009 | 1,444,110 | |||||||||||||
Xerox Capital Trust I (B-/ Ba3) | ||||||||||||||||
4,500,000 | 8.00 | 02/01/2027 | 4,590,000 | |||||||||||||
Xerox Corp. (BB-/ Ba2) | ||||||||||||||||
EUR 2,000,000 | 9.75 | 01/15/2009 | 3,014,448 | |||||||||||||
USD 2,250,000 | 9.75 | 01/15/2009 | 2,542,500 | |||||||||||||
2,000,000 | 7.63 | 06/15/2013 | 2,145,000 | |||||||||||||
$ | 40,988,573 | |||||||||||||||
Telecommunications – 1.5% | ||||||||||||||||
Alaska Communications System Holdings (B-/ B2) | ||||||||||||||||
USD 507,000 | 9.88 | % | 08/15/2011 | $ | 536,152 | |||||||||||
Dobson Communications Corp. (CCC/ Ca) | ||||||||||||||||
1,375,000 | 8.88 | 10/01/2008 | 1,124,062 | |||||||||||||
Eircom Funding (BB-/ B1) | ||||||||||||||||
EUR 2,000,000 | 8.25 | 08/15/2013 | 2,876,111 | |||||||||||||
Exodus Communications, Inc.(d) | ||||||||||||||||
2,500,000 | 10.75 | 12/15/2009 | — | |||||||||||||
Exodus Communications, Inc. (Ca)(d) | ||||||||||||||||
USD 1,500,000 | 11.25 | 07/01/2008 | 2 | |||||||||||||
625,000 | 10.75 | 12/15/2009 | 1 | |||||||||||||
2,000,000 | 11.63 | 07/15/2010 | 2 | |||||||||||||
Inmarsat Finance II PLC (CCC+/ Caa1)(e) | ||||||||||||||||
6,000,000 | 0.00/10.38 | 11/15/2012 | 4,500,000 | |||||||||||||
PSINet, Inc. (D)(d) | ||||||||||||||||
1,000,000 | 11.00 | 08/01/2009 | 625 | |||||||||||||
PSINet, Inc. (Ca)(d) | ||||||||||||||||
3,750,000 | 10.00 | 08/01/2009 | 2,344 | |||||||||||||
1,000,000 | 11.50 | 11/01/2008 | 625 | |||||||||||||
Qwest Capital Funding, Inc. (B/ Caa2) | ||||||||||||||||
6,500,000 | 7.90 | 08/15/2010 | 5,980,000 | |||||||||||||
Qwest Corp. (BB-/ Ba3) | ||||||||||||||||
4,000,000 | 9.13 | (a) | 03/15/2012 | 4,240,000 | ||||||||||||
3,500,000 | 6.88 | 09/15/2033 | 2,887,500 | |||||||||||||
Qwest Services Corp. (B/ Caa1)(a) | ||||||||||||||||
2,000,000 | 14.00 | 12/15/2010 | 2,260,000 | |||||||||||||
3,088,000 | 14.50 | 12/15/2014 | 3,612,960 | |||||||||||||
$ | 28,020,384 | |||||||||||||||
Telecommunications-Cellular – 3.5% | ||||||||||||||||
AirGate PCS, Inc. (CCC/ Caa1) | ||||||||||||||||
USD 2,133,300 | 9.38 | % | 09/01/2009 | $ | 2,266,631 | |||||||||||
Alamosa Delaware, Inc. (CCC+/ Caa1) | ||||||||||||||||
USD 5,250,000 | 0.00/12.00%(e) | 07/31/2009 | 5,722,500 | |||||||||||||
1,787,000 | 11.00 | 07/31/2010 | 2,014,842 | |||||||||||||
1,500,000 | 8.50 | 01/31/2012 | 1,552,500 | |||||||||||||
American Cellular Corp. (B-/ Caa1) | ||||||||||||||||
4,000,000 | 10.00 | 08/01/2011 | 3,760,000 | |||||||||||||
Centennial Cellular Communications (CCC/ Caa1) | ||||||||||||||||
3,500,000 | 10.13 | 06/15/2013 | 3,815,000 | |||||||||||||
Horizon PCS, Inc. (CCC/ B3)(a) | ||||||||||||||||
1,125,000 | 11.38 | 07/15/2012 | 1,248,750 | |||||||||||||
Nextel Communications, Inc. (BB/ Ba3) | ||||||||||||||||
2,500,000 | 5.95 | 03/15/2014 | 2,537,500 | |||||||||||||
15,000,000 | 7.38 | 08/01/2015 | 15,975,000 | |||||||||||||
Nextel Partners, Inc. (B/ B3) | ||||||||||||||||
1,709,000 | 12.50 | 11/15/2009 | 1,875,628 | |||||||||||||
4,000,000 | 8.13 | 07/01/2011 | 4,300,000 | |||||||||||||
Oskar Mobil A.S. (B/ B1)(c) | ||||||||||||||||
EUR 2,000,000 | 7.50 | 10/15/2008 | 2,946,888 | |||||||||||||
Partner Communications Co. Ltd. (BB-/ Ba3) | ||||||||||||||||
USD 4,000,000 | 13.00 | 08/15/2010 | 4,380,000 | |||||||||||||
Qwest Communications International, Inc. (B/B3)(a) | ||||||||||||||||
2,000,000 | 7.50 | 02/15/2014 | 1,890,000 | |||||||||||||
Rogers Wireless Communications, Inc. (BB/ Ba3) | ||||||||||||||||
2,000,000 | 7.50 | 03/15/2015 | 2,055,000 | |||||||||||||
Rogers Wireless, Inc. (B+/ B2) | ||||||||||||||||
2,000,000 | 8.00 | 12/15/2012 | 2,055,000 | |||||||||||||
Rural Cellular Corp. (CCC/ Caa1) | ||||||||||||||||
4,000,000 | 9.88 | 02/01/2010 | 4,040,000 | |||||||||||||
Rural Cellular Corp. (CCC/ Caa2) | ||||||||||||||||
1,500,000 | 9.75 | 01/15/2010 | 1,365,000 | |||||||||||||
Triton PCS, Inc. (CCC-/ Ca) | ||||||||||||||||
1,875,000 | 9.38 | 02/01/2011 | 1,125,000 | |||||||||||||
$ | 64,925,239 | |||||||||||||||
Textiles – 0.9% | ||||||||||||||||
Collins & Aikman Floor Cover (B-/ Caa1) | ||||||||||||||||
USD 1,750,000 | 9.75 | % | 02/15/2010 | $ | 1,837,500 | |||||||||||
Day International Group, Inc. (CCC+/ Caa1) | ||||||||||||||||
2,500,000 | 9.50 | 03/15/2008 | 2,531,250 | |||||||||||||
Oxford Industries, Inc. (B/ B2) | ||||||||||||||||
3,500,000 | 8.88 | 06/01/2011 | 3,631,250 | |||||||||||||
Propex Fabrics, Inc. (B-/ Caa1)(c) | ||||||||||||||||
4,500,000 | 10.00 | 12/01/2008 | 4,275,000 | |||||||||||||
Russell Corp. (B+/ B1) | ||||||||||||||||
2,000,000 | 9.25 | 05/01/2010 | 2,095,000 | |||||||||||||
Warnaco, Inc. (B-/ B1) | ||||||||||||||||
2,000,000 | 8.88 | 06/15/2013 | 2,140,000 | |||||||||||||
$ | 16,510,000 | |||||||||||||||
Transportation – 0.2% | ||||||||||||||||
Petroleum Helicopters, Inc. (BB-/ B1) | ||||||||||||||||
USD 1,250,000 | 9.38 | % | 05/01/2009 | $ | 1,306,250 | |||||||||||
Stena AB (BB-/ Ba3) | ||||||||||||||||
USD 2,000,000 | 9.63 | 12/01/2012 | 2,200,000 | |||||||||||||
1,000,000 | 7.50 | 11/01/2013 | 1,002,500 | |||||||||||||
$ | 4,508,750 | |||||||||||||||
TOTAL CORPORATE BONDS | ||||||||||||||||
(Cost $1,658,569,256) | $ | 1,729,692,748 | ||||||||||||||
30
Principal | Interest | Maturity | ||||||||||||||
Amount• | Rate | Date | Value | |||||||||||||
Emerging Market Debt – 1.4% | ||||||||||||||||
Federal Republic of Brazil (BB-/ B1) | ||||||||||||||||
USD 770,000 | 10.13 | % | 05/15/2027 | $ | 830,445 | |||||||||||
3,670,000 | 12.25 | 03/06/2030 | 4,532,450 | |||||||||||||
5,700,000 | 11.00 | 08/17/2040 | 6,455,250 | |||||||||||||
Republic of Argentina (CCC+/ Caa1)(g) | ||||||||||||||||
4,000,000 | 3.01 | 08/03/2012 | 3,336,000 | |||||||||||||
Republic of Argentina (D/ Ca) | ||||||||||||||||
3,063,400 | 12.00 | 06/19/2031 | 915,052 | |||||||||||||
Republic of Peru (BB/ Ba3) | ||||||||||||||||
2,500,000 | 9.13 | 02/21/2012 | 2,862,500 | |||||||||||||
EUR 2,000,000 | 7.50 | 10/14/2014 | 2,756,434 | |||||||||||||
Russian Federation (BBB-/ Baa3) | ||||||||||||||||
USD 4,000,000 | 5.00 | 03/31/2030 | 4,255,000 | |||||||||||||
TOTAL EMERGING MARKET DEBT | ||||||||||||||||
(Cost $25,289,731) | $ | 25,943,131 | ||||||||||||||
Shares | Description | Value | ||||||||
Common Stocks* – 1.4% | ||||||||||
2,731 | App China Group Ltd. | $ | 133,999 | |||||||
24,334 | Axiohm Transaction Solutions, Inc. | 243 | ||||||||
4,064 | Brunner Mond | 265,854 | ||||||||
37,947 | Chelys Ltd. Ordinary GDR | 18,093 | ||||||||
60,370 | Cheyls Ltd. Preference GDR | 11,514 | ||||||||
113,664 | Colt Telecom Group PLC | 107,306 | ||||||||
3,157 | Crunch Equity Holding, LLC | 4,104,066 | ||||||||
225,274 | Dobson Communications Corp. | 450,548 | ||||||||
287,000 | Drax Group Ltd.(i) | — | ||||||||
538 | General Chemical Industrial Product, Inc. | 149,860 | ||||||||
51,605 | Globix Corp. | 172,877 | ||||||||
45,251 | Hayes Lemmerz International, Inc. | 242,998 | ||||||||
102,857 | Haynes International, Inc. | 1,928,569 | ||||||||
219 | Horizon PCS, Inc. | 5,749 | ||||||||
195,700 | Huntsman Corp. | 4,117,528 | ||||||||
1,952 | Ionex Telecom, Inc. | — | ||||||||
51,241 | iPCS, Inc. | 1,806,245 | ||||||||
62,500 | IWO Holdings, Inc. | 2,062,500 | ||||||||
11,243 | Mattress Discounters | — | ||||||||
5,384 | NeighborCare, Inc. | 154,628 | ||||||||
202 | Polestar Co. | 4 | ||||||||
33,975 | Polymer Group, Inc. | 755,944 | ||||||||
559,866 | Telewest Global, Inc. | 10,379,916 | ||||||||
14,135 | Thermadyne Holdings Corp. | 175,274 | ||||||||
103,389 | Viasystems Group, Inc. | 97,186 | ||||||||
13,068 | WKI Holding Co., Inc. | 124,146 | ||||||||
3,044 | WRC Media, Inc.(a) | 61 | ||||||||
TOTAL COMMON STOCKS | ||||||||||
(Cost $48,003,713) | $ | 27,265,108 | ||||||||
Interest | Maturity | |||||||||||||||
Shares | Rate | Date | Value | |||||||||||||
Preferred Stocks – 0.7% | ||||||||||||||||
Dobson Communications Corp.(a) | ||||||||||||||||
3,500 | 6.00 | % | 08/19/2016 | $ | 269,318 | |||||||||||
Eagle-Picher Holdings, Inc. | ||||||||||||||||
200 | 11.75 | 03/01/2008 | 20,000 | |||||||||||||
GNC Corp.(b)(c) | ||||||||||||||||
2,750 | 12.00 | 12/01/2011 | 2,007,500 | |||||||||||||
HLI Operating Co., Inc. | ||||||||||||||||
184 | 8.00 | 12/31/2049 | 6,440 | |||||||||||||
Lucent Technologies Capital Trust I(a) | ||||||||||||||||
1,000 | 7.75 | 03/15/2017 | 895,955 | |||||||||||||
Primedia, Inc. | ||||||||||||||||
58,980 | 10.00 | 02/01/2008 | 6,102,189 | |||||||||||||
Rural Cellular Corp.(b) | ||||||||||||||||
1,221 | 12.25 | 05/15/2011 | 702,075 | |||||||||||||
Spanish Broadcasting Systems Incorporated(b)(c) | ||||||||||||||||
2,916 | 10.75 | 10/15/2013 | 3,134,700 | |||||||||||||
Ziff Davis Holdings, Inc. | ||||||||||||||||
120 | 10.00 | 03/31/2010 | 82,800 | |||||||||||||
TOTAL PREFERRED STOCKS | ||||||||||||||||
(Cost $14,243,818) | $ | 13,220,977 | ||||||||||||||
Expiration | ||||||||||||||||
Units | Date | Value | ||||||||||||||
Warrants* – 0.1% | ||||||||||||||||
Advanstar Holdings Corp.(a) | ||||||||||||||||
2,875 | 10/15/2011 | $ | 57 | |||||||||||||
American Tower Escrow Corp.(a) | ||||||||||||||||
2,750 | 08/01/2008 | 662,830 | ||||||||||||||
ASAT Finance LLC(a) | ||||||||||||||||
2,000 | 11/01/2006 | 250 | ||||||||||||||
Avecia Group PLC (Ordinary)(a) | ||||||||||||||||
40,000 | 07/01/2010 | 400 | ||||||||||||||
Avecia Group PLC (Preferred)(a) | ||||||||||||||||
40,000 | 07/01/2010 | 400 | ||||||||||||||
General Chemical Industrial Product, Inc. | ||||||||||||||||
311 | 04/30/2011 | — | ||||||||||||||
General Chemical Industrial Product, Inc. Series B | ||||||||||||||||
231 | 04/30/2011 | — | ||||||||||||||
Hayes Lemmerz International, Inc. | ||||||||||||||||
5,598 | 06/03/2006 | 1,008 | ||||||||||||||
IWO Holdings, Inc.(a) | ||||||||||||||||
3,000 | 01/15/2011 | 30 | ||||||||||||||
Knology, Inc.(a) | ||||||||||||||||
1,750 | 10/15/2007 | 700 | ||||||||||||||
Mattress Discounters Holding Corp.(a) | ||||||||||||||||
750 | 07/15/2007 | 8 | ||||||||||||||
MDP Acquisitions PLC | ||||||||||||||||
2,500 | 09/30/2013 | 3,217 | ||||||||||||||
2,500 | 10/01/2013 | (a) | 62,500 | |||||||||||||
Merrill Corp. Class A(a) | ||||||||||||||||
1,500 | 05/01/2009 | 15 | ||||||||||||||
Merrill Corp. Class B | ||||||||||||||||
2,728 | 05/01/2009 | 27 |
31
Expiration | ||||||||||||||||
Units | Date | Value | ||||||||||||||
Warrants* – (continued) | ||||||||||||||||
Mueller Holdings, Inc.(a) | ||||||||||||||||
8,000 | 04/15/2014 | $ | 640,000 | |||||||||||||
Nycomed Holding | ||||||||||||||||
2,229 | 09/18/2013 | 29 | ||||||||||||||
Ono Finance PLC | ||||||||||||||||
5,000 | 05/31/2009 | 64 | ||||||||||||||
1,250 | 05/31/2009 | (a) | 12 | |||||||||||||
Pliant Corp.(a) | ||||||||||||||||
7,000 | 06/01/2010 | 70 | ||||||||||||||
Thermadyne Holdings Corp. | ||||||||||||||||
13,526 | 05/23/2009 | 1,353 | ||||||||||||||
Ziff Davis Holdings, Inc. | ||||||||||||||||
22,000 | 08/12/2012 | 2,200 | ||||||||||||||
TOTAL WARRANTS | ||||||||||||||||
(Cost $716,517) | $ | 1,375,170 | ||||||||||||||
TOTAL INVESTMENTS BEFORE REPURCHASE AGREEMENT — 96.1% | ||||||||||||||||
(Cost $1,746,823,035) | $ | 1,797,497,134 | ||||||||||||||
Principal | Interest | Maturity | ||||||||||||||
Amount* | Rate | Date | Value | |||||||||||||
Repurchase Agreement(h) – 2.3% | ||||||||||||||||
Joint Repurchase Agreement Account II | ||||||||||||||||
USD 42,300,000 | 2.97 | % | 05/02/2005 | $ | 42,300,000 | |||||||||||
Maturity Value: $42,309,507 | ||||||||||||||||
(Cost $42,300,000) | ||||||||||||||||
TOTAL INVESTMENTS – 98.4% | ||||||||||||||||
(Cost $1,789,123,035) | $ | 1,839,797,134 | ||||||||||||||
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
* | Non-income producing security. | |
• | The principal amount of each security is stated in the currency in which the bond is denominated. See below. |
Currency | Description | |||
DEM | = | German Mark | ||
EUR | = | Euro | ||
GBP | = | Great Britain Pound | ||
USD | = | U.S. Dollar |
(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 $303,826,211, which represents approximately 16.1% of net assets as of April 30, 2005. | |
(b) | Pay-in-kind securities. | |
(c) | Securities with “Put” or “Call” features. Maturity dates disclosed are the next “Put” or “Call” dates. | |
(d) | Security is currently in default. | |
(e) | These securities are issued with a zero coupon or dividend rate which increases to the stated rate at a set date in the future. | |
(f) | Security issued with a zero coupon. Income is recognized through the accretion of discount. | |
(g) | Variable rate security. Interest rate disclosed is that which is in effect at April 30, 2005. | |
(h) | Joint repurchase agreement was entered into on April 29, 2005. | |
(i) | Security priced as a unit. |
Security ratings disclosed, if any, are issued by Standard & Poor’s/Moody’s Investors Service. A brief description of the ratings is available in the Fund’s Statement of Additional Information. |
Investment Abbreviation: | ||||||
GDR | — | Global Depository Receipt | ||||
32
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 $42,300,000 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. |
33
ADDITIONAL INVESTMENT INFORMATION (continued) |
FORWARD FOREIGN CURRENCY CONTRACTS — At April 30, 2005, the 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 | |||||||||||||
Euro | 05/12/2005 | $ | 13,831,695 | $ | 13,897,507 | $ | 65,812 | $ | — | |||||||||
Euro | 05/12/2005 | 48,936,135 | 48,498,050 | — | 438,085 | |||||||||||||
Great Britain Pound | 05/12/2005 | 1,567,040 | 1,581,991 | 14,951 | — | |||||||||||||
Great Britain Pound | 05/12/2005 | 1,183,900 | 1,181,739 | — | 2,161 | |||||||||||||
TOTAL OPEN FORWARD FOREIGN CURRENCY PURCHASE CONTRACTS | $ | 65,518,770 | $ | 65,159,287 | $ | 80,763 | $ | 440,246 | ||||||||||
Unrealized | ||||||||||||||||||
Open Forward Foreign Currency | Expiration | Value on | ||||||||||||||||
Sale Contracts | Date | Settlement Date | Current Value | Gain | Loss | |||||||||||||
Euro | 05/12/2005 | $ | 33,532,871 | $ | 32,600,703 | $ | 932,168 | $ | — | |||||||||
Euro | 05/12/2005 | 415,003,068 | 415,469,626 | — | 466,558 | |||||||||||||
Great Britain Pound | 05/12/2005 | 55,713,258 | 57,190,693 | — | 1,477,435 | |||||||||||||
TOTAL OPEN FORWARD FOREIGN CURRENCY SALE CONTRACTS | $ | 504,249,197 | $ | 505,261,022 | $ | 932,168 | $ | 1,943,993 | ||||||||||
34
Statement of Investments
Principal | Interest | Maturity | ||||||||||||||
Amount* | Rate | Date | Value | |||||||||||||
Sovereign Debt Obligations – 86.1% | ||||||||||||||||
Argentina – 9.5% | ||||||||||||||||
Republic of Argentina | ||||||||||||||||
ARS 500,000 | 5.83 | % | 12/31/2033 | $ | 155,333 | |||||||||||
EUR 1,323,000 | 8.50 | 07/01/2049 | 489,209 | |||||||||||||
Republic of Argentina (Ca) | ||||||||||||||||
800,000 | 8.00 | 02/26/2008 | 335,909 | |||||||||||||
Republic of Argentina (CCC+/Caa1)(a) | ||||||||||||||||
USD 905,000 | 3.01 | 08/03/2012 | 754,770 | |||||||||||||
Republic of Argentina (D/ Ca) | ||||||||||||||||
DEM 1,200,000 | 11.25 | 04/10/2006 | 260,946 | |||||||||||||
USD 340,000 | 11.38 | 01/30/2017 | 112,048 | |||||||||||||
1,920,863 | 12.25 | 06/19/2018 | 644,017 | |||||||||||||
EUR 980,000 | 9.25 | 10/21/2049 | 353,857 | |||||||||||||
DEM 1,100,000 | 10.50 | 11/14/2049 | 224,194 | |||||||||||||
Republic of Argentina (D) | ||||||||||||||||
EUR 900,000 | 9.25 | 07/20/2049 | 368,618 | |||||||||||||
$ | 3,698,901 | |||||||||||||||
Brazil – 9.0% | ||||||||||||||||
Federal Republic of Brazil (BB-/ B1) | ||||||||||||||||
USD 200,000 | 10.50 | % | 07/14/2014 | $ | 224,500 | |||||||||||
610,000 | 8.75 | 02/04/2025 | 585,600 | |||||||||||||
240,000 | 10.13 | 05/15/2027 | 258,840 | |||||||||||||
2,170,000 | 11.00 | 08/17/2040 | 2,457,525 | |||||||||||||
$ | 3,526,465 | |||||||||||||||
Bulgaria(a) – 3.0% | ||||||||||||||||
Republic of Bulgaria (BBB-/ Ba1) | ||||||||||||||||
USD 1,178,571 | 3.75 | % | 07/28/2012 | $ | 1,181,518 | |||||||||||
Colombia – 3.4% | ||||||||||||||||
Republic of Colombia (BB/ Ba2) | ||||||||||||||||
COP348,000,000 | 12.00 | % | 10/22/2015 | $ | 147,851 | |||||||||||
USD 1,085,000 | 10.38 | 01/28/2033 | 1,169,088 | |||||||||||||
$ | 1,316,939 | |||||||||||||||
Croatia(a) – 0.1% | ||||||||||||||||
Republic of Croatia (BBB/ Baa3) | ||||||||||||||||
USD 35,000 | 3.81 | % | 07/31/2010 | $ | 35,053 | |||||||||||
Dominican Republic – 0.8% | ||||||||||||||||
Dominican Republic (D/ B3) | ||||||||||||||||
USD 50,000 | 9.50 | % | 09/27/2006 | $ | 49,125 | |||||||||||
280,000 | 9.04 | 01/23/2013 | 258,300 | |||||||||||||
$ | 307,425 | |||||||||||||||
Ecuador(b) – 1.9% | ||||||||||||||||
Republic of Ecuador (B-/ Caa1) | ||||||||||||||||
USD 925,000 | 8.00 | % | 08/15/2030 | $ | 749,250 | |||||||||||
El Salvador – 2.1% | ||||||||||||||||
Republic of El Salvador (BB+/ Baa3) | ||||||||||||||||
USD 810,000 | 8.25 | % | 04/10/2032 | $ | 834,300 | |||||||||||
Guatemala – 1.4% | ||||||||||||||||
Republic of Guatemala (BB-/Ba2) | ||||||||||||||||
USD 180,000 | 10.25 | % | 11/08/2011 | $ | 211,050 | |||||||||||
60,000 | 9.25 | 08/01/2013 | 68,700 | |||||||||||||
265,000 | 8.13 | (c)(d) | 10/06/2019 | 275,600 | ||||||||||||
$ | 555,350 | |||||||||||||||
Indonesia(a) – 0.5% | ||||||||||||||||
Republic of Indonesia | ||||||||||||||||
USD 200,000 | 3.25 | % | 01/25/2006 | $ | 197,500 | |||||||||||
Israel – 2.1% | ||||||||||||||||
Government of Israel (A2) | ||||||||||||||||
ILS 570,000 | 10.00 | % | 05/31/2012 | $ | 158,627 | |||||||||||
2,680,000 | 7.50 | 03/31/2014 | 653,372 | |||||||||||||
$ | 811,999 | |||||||||||||||
Ivory Coast – 0.4% | ||||||||||||||||
Ivory Coast | ||||||||||||||||
USD 845,500 | 2.00 | % | 03/30/2018 | $ | 150,076 | |||||||||||
Lebanon(a)(c) – 1.2% | ||||||||||||||||
Republic of Lebanon MTN (B-) | ||||||||||||||||
USD 500,000 | 5.88 | % | 11/30/2009 | $ | 479,500 | |||||||||||
Mexico – 6.2% | ||||||||||||||||
United Mexican States (Baa1) | ||||||||||||||||
MXN30,355,000 | 8.00 | % | 12/19/2013 | $ | 2,425,505 | |||||||||||
Nigeria(b) – 2.4% | ||||||||||||||||
Central Bank of Nigeria | ||||||||||||||||
USD 1,000,000 | 6.25 | % | 11/15/2020 | $ | 940,000 | |||||||||||
Panama – 2.7% | ||||||||||||||||
Republic of Panama (BB/ Ba1) | ||||||||||||||||
USD 605,000 | 9.38 | % | 01/16/2023 | $ | 710,875 | |||||||||||
300,000 | 8.88 | 09/30/2027 | 336,000 | |||||||||||||
$ | 1,046,875 | |||||||||||||||
Peru – 4.9% | ||||||||||||||||
Republic of Peru (BB/ Ba3) | ||||||||||||||||
USD 295,000 | 9.13 | % | 02/21/2012 | $ | 337,775 | |||||||||||
EUR 480,000 | 7.50 | 10/14/2014 | 661,544 | |||||||||||||
USD 735,000 | 8.38 | 05/03/2016 | 784,613 | |||||||||||||
100,000 | 8.75 | 11/21/2033 | 105,500 | |||||||||||||
$ | 1,889,432 | |||||||||||||||
Philippines – 4.1% | ||||||||||||||||
Republic of Philippines (BB-/ B1) | ||||||||||||||||
USD 395,000 | 9.38 | %(d) | 01/18/2012 | $ | 418,700 | |||||||||||
80,000 | 9.00 | 02/15/2013 | 82,896 | |||||||||||||
160,000 | 8.88 | 03/17/2015 | 161,600 | |||||||||||||
330,000 | 9.88 | 01/15/2019 | 345,675 | |||||||||||||
50,000 | 9.50 | (d) | 10/21/2024 | 53,000 | ||||||||||||
485,000 | 10.63 | 03/16/2025 | 523,169 | |||||||||||||
$ | 1,585,040 | |||||||||||||||
35
Principal | Interest | Maturity | ||||||||||||||
Amount* | Rate | Date | Value | |||||||||||||
Sovereign Debt Obligations – (continued) | ||||||||||||||||
Poland – 1.4% | ||||||||||||||||
Republic of Poland (A-/ A2) | ||||||||||||||||
PLN 1,800,000 | 6.00 | % | 05/24/2009 | $ | 548,036 | |||||||||||
Russia – 13.0% | ||||||||||||||||
Ministry Finance of Russia (BBB-/Ba2) | ||||||||||||||||
USD 1,195,000 | 3.00 | % | 05/14/2008 | $ | 1,111,350 | |||||||||||
Russian Federation (BBB-/ Baa3)(b) | ||||||||||||||||
3,735,000 | 5.00 | 03/31/2030 | 3,973,106 | |||||||||||||
$ | 5,084,456 | |||||||||||||||
Turkey – 6.4% | ||||||||||||||||
Republic of Turkey (BB-/ B1) | ||||||||||||||||
USD 1,200,000 | 11.75 | % | 06/15/2010 | $ | 1,434,000 | |||||||||||
800,000 | 11.88 | 01/15/2030 | 1,048,000 | |||||||||||||
$ | 2,482,000 | |||||||||||||||
Ukraine – 1.3% | ||||||||||||||||
Ukraine Government (B+/ B1) | ||||||||||||||||
USD 93,338 | 11.00 | % | 03/15/2007 | $ | 99,638 | |||||||||||
340,000 | 6.37 | (a) | 08/05/2009 | 363,800 | ||||||||||||
30,000 | 7.65 | 06/11/2013 | 32,100 | |||||||||||||
$ | 495,538 | |||||||||||||||
Venezuela – 8.3% | ||||||||||||||||
Republic of Venezuela (B/ B2) | ||||||||||||||||
USD 2,090,000 | 10.75 | % | 09/19/2013 | $ | 2,340,800 | |||||||||||
EUR 350,000 | 7.00 | 03/16/2015 | 425,626 | |||||||||||||
USD 480,000 | 9.25 | 09/15/2027 | 473,040 | |||||||||||||
$ | 3,239,466 | |||||||||||||||
TOTAL SOVEREIGN DEBT OBLIGATIONS | ||||||||||||||||
(Cost $33,376,966) | $ | 33,580,624 | ||||||||||||||
Corporate Debt Obligation – 0.2% | ||||||||||||||||
Kazakhstan – 0.2% | ||||||||||||||||
Kazkommerts International BV (BB-/Baa2) | ||||||||||||||||
USD 80,000 | 8.50 | % | 04/16/2013 | $ | 82,520 | |||||||||||
(Cost $84,350) | ||||||||||||||||
TOTAL INVESTMENTS BEFORE REPURCHASE AGREEMENT – 86.3% | ||||||||||||||||
(Cost $33,461,316) | $ | 33,663,144 | ||||||||||||||
Repurchase Agreement(e) – 12.3% | ||||||||||||||||
United States – 12.3% | ||||||||||||||||
Joint Repurchase Agreement Account II | ||||||||||||||||
USD 4,800,000 | 2.97 | % | 05/02/2005 | $ | 4,800,000 | |||||||||||
Maturity Value: $4,801,187 | ||||||||||||||||
(Cost $4,800,000) | ||||||||||||||||
TOTAL INVESTMENTS – 98.6% | ||||||||||||||||
(Cost $38,261,316) | $ | 38,463,144 | ||||||||||||||
36
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
* | The principal amount of each security is stated in the currency in which the bond is denominated. See below. |
Currency | Description | |||
ARS | = | Argentine Peso | ||
COP | = | Colombian Peso | ||
DEM | = | German Mark | ||
EUR | = | Euro | ||
ILS | = | Israeli Shekel | ||
MXN | = | Mexican Peso | ||
PLN | = | Polish Zloty | ||
USD | = | U.S. Dollar |
(a) | Variable rate security. Interest rate disclosed is that which is in effect at April 30, 2005. | |
(b) | Coupon increases periodically based upon a predetermined schedule. Stated interest rate in effect at April 30, 2005. | |
(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 $755,100, which represents approximately 1.9% of net assets as of April 30, 2005. | |
(d) | Securities with “Call” or “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. |
Security ratings disclosed, if any, are issued by Standard & Poor’s/ Moody’s Investors Service. A brief description of the ratings is available in the Fund’s Statement of Additional Information. |
Investment Abbreviation: | ||||||
MTN | — | Medium-Term Note | ||||
37
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 $4,800,000 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. |
38
ADDITIONAL INVESTMENT INFORMATION (continued) |
FUTURES CONTRACTS — At April 30, 2005, the following futures contract was open as follows:
Number of Contracts | Unrealized | |||||||||||||
Type | Short | Settlement Month | Market Value | Loss | ||||||||||
5 Year U.S. Treasury Notes | 45 | June 2005 | $ | 4,880,391 | $ | (39,501 | ) |
FORWARD FOREIGN CURRENCY CONTRACTS — At April 30, 2005, the 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 Contract | Date | Settlement Date | Current Value | Gain | Loss | |||||||||||||||
South African Rand | 07/20/2005 | $ | 356,702 | $ | 355,101 | $ | — | $ | 1,601 | |||||||||||
Unrealized | ||||||||||||||||||||
Open Forward Foreign Currency | Expiration | Value on | ||||||||||||||||||
Sale Contracts | Date | Settlement Date | Current Value | Gain | Loss | |||||||||||||||
Euro | 05/27/2005 | $ | 3,098,521 | $ | 3,068,823 | $ | 29,698 | $ | — | |||||||||||
Israeli Shekel | 07/21/2005 | 820,002 | 819,943 | 59 | — | |||||||||||||||
Mexican Peso | 07/15/2005 | 2,331,452 | 2,349,096 | — | 17,644 | |||||||||||||||
Polish Zloty | 06/17/2005 | 596,109 | 579,979 | 16,130 | — | |||||||||||||||
South African Rand | 07/20/2005 | 334,650 | 342,726 | — | 8,076 | |||||||||||||||
TOTAL OPEN FORWARD FOREIGN CURRENCY SALE CONTRACTS | $ | 7,180,734 | $ | 7,160,567 | $ | 45,887 | $ | 25,720 | ||||||||||||
39
Statements of Assets and Liabilities
Global | High Yield | Emerging Markets | |||||||||||||
Income Fund | Fund | Debt Fund | |||||||||||||
Assets: | |||||||||||||||
Investment in securities, at value (identified cost $329,600,825, $1,746,823,035 and $33,461,316, respectively) | $ | 346,409,494 | $ | 1,797,497,134 | $ | 33,663,144 | |||||||||
Repurchase agreements, at value based on amortized cost | — | 42,300,000 | 4,800,000 | ||||||||||||
Cash, at value(a) | 804 | 391,875 | 231,718 | ||||||||||||
Foreign currencies, at value (identified cost $1,671,369, $1,269,585 and $18,913, respectively) | 1,664,896 | 1,260,535 | 18,908 | ||||||||||||
Receivables: | |||||||||||||||
Interest and Dividends, at value (net of allowances) | 4,460,981 | 41,313,008 | 608,462 | ||||||||||||
Forward foreign currency exchange contracts, at value | 8,430,017 | 1,012,931 | 45,887 | ||||||||||||
Investment securities sold, at value | 2,833,002 | 1,806,601 | 296,231 | ||||||||||||
Fund shares sold | 505,678 | 2,154,935 | 75,067 | ||||||||||||
Variation margin | 2,506,105 | — | 38,499 | ||||||||||||
Reimbursement from investment adviser | 51,974 | — | 29,109 | ||||||||||||
Other assets | 21,606 | 42,113 | 18,191 | ||||||||||||
Total assets | 366,884,557 | 1,887,779,132 | 39,825,216 | ||||||||||||
Liabilities: | |||||||||||||||
Payables: | |||||||||||||||
Forward foreign currency exchange contracts, at value | 8,193,037 | 2,384,239 | 27,321 | ||||||||||||
Fund shares repurchased | 259,113 | 8,627,083 | 15 | ||||||||||||
Income distribution | — | 3,537,441 | — | ||||||||||||
Investment securities purchased, at value | 207,364 | 2,322,534 | 700,786 | ||||||||||||
Amounts owed to affiliates | 296,960 | 1,696,454 | 29,449 | ||||||||||||
Accrued expenses | 102,377 | 113,110 | 71,554 | ||||||||||||
Total liabilities | 9,058,851 | 18,680,861 | 829,125 | ||||||||||||
Net Assets: | |||||||||||||||
Paid-in capital | 397,955,436 | 1,860,669,915 | 37,590,929 | ||||||||||||
Accumulated undistributed (distributions in excess of) net investment income | (5,781,294 | ) | 11,635,748 | 21,899 | |||||||||||
Accumulated net realized gain (loss) on investment, options, futures and foreign currency related transactions | (50,609,230 | ) | (52,530,711 | ) | 1,204,515 | ||||||||||
Net unrealized gain on investments, options, futures and translation of assets and liabilities denominated in foreign currencies | 16,260,794 | 49,323,319 | 178,748 | ||||||||||||
NET ASSETS | $ | 357,825,706 | $ | 1,869,098,271 | $ | 38,996,091 | |||||||||
Net Assets: | |||||||||||||||
Class A | $ | 172,450,950 | $ | 1,021,027,908 | $ | 11,783,904 | |||||||||
Class B | 28,382,307 | 107,384,595 | — | ||||||||||||
Class C | 9,245,579 | 63,806,443 | — | ||||||||||||
Institutional | 147,191,000 | 675,450,751 | 27,212,187 | ||||||||||||
Service | 555,870 | 1,428,574 | — | ||||||||||||
Shares outstanding: | |||||||||||||||
Class A | 12,817,848 | 130,517,422 | 1,076,480 | ||||||||||||
Class B | 2,117,344 | 13,711,531 | — | ||||||||||||
Class C | 691,009 | 8,155,977 | — | ||||||||||||
Institutional | 10,954,954 | 86,227,424 | 2,483,684 | ||||||||||||
Service | 41,408 | 182,401 | — | ||||||||||||
Total shares outstanding, $0.001 par value (unlimited number of shares authorized) | 26,622,563 | 238,794,755 | 3,560,164 | ||||||||||||
Net asset value, offering and redemption price per share:(b) | |||||||||||||||
Class A | $13.45 | $7.82 | $10.95 | ||||||||||||
Class B | 13.40 | 7.83 | — | ||||||||||||
Class C | 13.38 | 7.82 | — | ||||||||||||
Institutional | 13.44 | 7.83 | 10.96 | ||||||||||||
Service | 13.42 | 7.83 | — |
(a) | Includes restricted cash of $140,250 for segregation purposes for the High Yield Fund. |
(b) | Maximum public offering price per share for Class A shares of the Global Income, High Yield and Emerging Markets Debt Funds (NAV per share multiplied by 1.0471) is $14.08, $8.19 and $11.47, respectively. At redemption, Class B and Class C shares may be subject to a contingent deferred sales charge, assessed on the amount equal to the lesser of the current net asset value or the original purchase price of the shares. |
40
Statements of Operations
Global | High Yield | Emerging Markets | |||||||||||||
Income Fund | Fund | Debt Fund | |||||||||||||
Investment income: | |||||||||||||||
Interest (net of allowances) | $ | 5,955,050 | $ | 93,373,942 | $ | 1,029,312 | |||||||||
Dividends | 21,362 | 670,944 | — | ||||||||||||
Total income | 5,976,412 | 94,044,886 | 1,029,312 | ||||||||||||
Expenses: | |||||||||||||||
Management fees | 1,358,392 | 7,210,570 | 124,858 | ||||||||||||
Distribution and Service fees(a) | 409,910 | 2,255,928 | 10,637 | ||||||||||||
Transfer Agent fees(a) | 225,926 | 1,381,490 | 12,625 | ||||||||||||
Custody and accounting fees | 151,519 | 240,763 | 49,021 | ||||||||||||
Registration fees | 29,042 | 47,700 | 12,395 | ||||||||||||
Printing fees | 28,530 | 28,530 | 28,530 | ||||||||||||
Professional fees | 22,627 | 33,089 | 21,156 | ||||||||||||
Trustee fees | 4,593 | 4,593 | 4,593 | ||||||||||||
Service Share fees | 1,389 | 3,524 | — | ||||||||||||
Other | 30,035 | 61,707 | 21,977 | ||||||||||||
Total expenses | 2,261,963 | 11,267,894 | 285,792 | ||||||||||||
Less — expense reductions | (522,168 | ) | (191,155 | ) | (132,403 | ) | |||||||||
Net Expenses | 1,739,795 | 11,076,739 | 153,389 | ||||||||||||
NET INVESTMENT INCOME | 4,236,617 | 82,968,147 | 875,923 | ||||||||||||
Realized and unrealized gain (loss) on investment, options, futures and foreign currency related transactions: | |||||||||||||||
Net realized gain (loss) from: | |||||||||||||||
Investment transactions | 2,651,664 | 17,526,657 | 1,263,482 | ||||||||||||
Options written | 51,187 | — | — | ||||||||||||
Futures transactions | 1,037,636 | — | 120,299 | ||||||||||||
Foreign currency related transactions | 6,581,421 | (6,066,775 | ) | (51,118 | ) | ||||||||||
Net change in unrealized gain (loss) on: | |||||||||||||||
Investments | (5,389,612 | ) | (77,838,675 | ) | (678,289 | ) | |||||||||
Options written | (6,616 | ) | — | — | |||||||||||
Futures | (136,795 | ) | — | (39,501 | ) | ||||||||||
Translation of assets and liabilities denominated in foreign currencies | 974,268 | 12,898,748 | 17,638 | ||||||||||||
Net realized and unrealized gain (loss) on investment, options, futures and foreign currency related transactions | 5,763,153 | (53,480,045 | ) | 632,511 | |||||||||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 9,999,770 | $ | 29,488,102 | $ | 1,508,434 | |||||||||
(a) | Class specific Distribution and Service, Transfer Agent fees were as follows: |
Distribution and Service Fees | Transfer Agent Fees | |||||||||||||||||||||||||||||||
Fund | Class A | Class B | Class C | Class A | Class B | Class C | Institutional | Service | ||||||||||||||||||||||||
Global Income | $ | 215,284 | $ | 147,990 | $ | 46,636 | $ | 163,616 | $ | 28,118 | $ | 8,861 | $ | 25,220 | $ | 111 | ||||||||||||||||
High Yield | 1,402,374 | 544,630 | 308,924 | 1,065,804 | 103,480 | 58,695 | 153,229 | 282 | ||||||||||||||||||||||||
Emerging Markets Debt | 10,637 | — | — | 8,084 | — | — | 4,541 | — |
41
Statements of Changes in Net Assets
Global Income Fund | |||||||||||
For the | |||||||||||
Six Months | |||||||||||
Ended | For the | ||||||||||
April 30, 2005 | Year Ended | ||||||||||
(Unaudited) | October 31, 2004 | ||||||||||
From operations: | |||||||||||
Net investment income | $ | 4,236,617 | $ | 8,999,380 | |||||||
Net realized gain on investment, options, futures and foreign currency related transactions | 10,321,908 | 10,097,810 | |||||||||
Net increase from payment by affiliates and net gains realized on the disposal of investments in violation of restrictions | — | �� | — | ||||||||
Net change in unrealized gain (loss) on investments, options, futures and translation of assets and liabilities denominated in foreign currencies | (4,558,755 | ) | (5,133,032 | ) | |||||||
Net increase in net assets resulting from operations | 9,999,770 | 13,964,158 | |||||||||
Distributions to shareholders: | |||||||||||
From net investment income | |||||||||||
Class A Shares | (7,735,368 | ) | (18,204,247 | ) | |||||||
Class B Shares | (1,239,095 | ) | (3,018,479 | ) | |||||||
Class C Shares | (392,913 | ) | (862,900 | ) | |||||||
Institutional Shares | (5,068,821 | ) | (9,468,960 | ) | |||||||
Service Shares | (25,239 | ) | (52,549 | ) | |||||||
From net realized gains | |||||||||||
Class A Shares | — | — | |||||||||
Institutional Shares | — | — | |||||||||
Total distributions to shareholders | (14,461,436 | ) | (31,607,135 | ) | |||||||
From share transactions: | |||||||||||
Proceeds from sales of shares | 156,510,288 | 62,259,461 | |||||||||
Reinvestment of dividends and distributions | 12,385,314 | 26,707,499 | |||||||||
Cost of shares repurchased(a) | (132,604,614 | ) | (109,213,156 | ) | |||||||
Net increase (decrease) in net assets resulting from share transactions | 36,290,988 | (20,246,196 | ) | ||||||||
TOTAL INCREASE (DECREASE) | 31,829,322 | (37,889,173 | ) | ||||||||
Net assets: | |||||||||||
Beginning of period | 325,996,384 | 363,885,557 | |||||||||
End of period | $ | 357,825,706 | $ | 325,996,384 | |||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | (5,781,294 | ) | $ | 4,443,525 | ||||||
(a) | Redemption fees remitted were as follows: |
For the | ||||||||
Six Months | ||||||||
Ended | For the Year | |||||||
April 30, 2005 | Ended | |||||||
Fund | (Unaudited) | October 31, 2004 | ||||||
Global Income | $ | 1,282 | $ | 274 | ||||
High Yield | 16,466 | 94,167 | ||||||
Emerging Markets Debt | 991 | 9 | ||||||
42
High Yield Fund | Emerging Markets Debt Fund | |||||||||||||||
For the | For the | |||||||||||||||
Six Months | Six Months | |||||||||||||||
Ended | For the | Ended | For the | |||||||||||||
April 30, 2005 | Year Ended | April 30, 2005 | Year Ended | |||||||||||||
(Unaudited) | October 31, 2004 | (Unaudited) | October 31, 2004 | |||||||||||||
$ | 82,968,147 | $ | 208,620,457 | $ | 875,923 | $ | 1,063,447 | |||||||||
11,459,882 | 138,156,617 | 1,332,663 | 1,068,301 | |||||||||||||
— | — | — | 525 | |||||||||||||
(64,939,927 | ) | (42,478,857 | ) | (700,152 | ) | 678,350 | ||||||||||
29,488,102 | 304,298,217 | 1,508,434 | 2,810,623 | |||||||||||||
(49,272,562 | ) | (116,133,970 | ) | (219,200 | ) | (199,225 | ) | |||||||||
(4,360,683 | ) | (7,784,551 | ) | — | — | |||||||||||
(2,470,713 | ) | (3,926,637 | ) | — | — | |||||||||||
(35,313,820 | ) | (85,237,365 | ) | (636,874 | ) | (831,857 | ) | |||||||||
(60,658 | ) | (90,732 | ) | — | — | |||||||||||
— | — | (297,553 | ) | (4,378 | ) | |||||||||||
— | — | (948,324 | ) | (39,398 | ) | |||||||||||
(91,478,436 | ) | (213,173,255 | ) | (2,101,951 | ) | (1,074,858 | ) | |||||||||
474,985,755 | 977,232,910 | 15,492,542 | 15,599,364 | |||||||||||||
64,389,454 | 145,984,629 | 2,094,334 | 1,065,695 | |||||||||||||
(712,265,301 | ) | (2,196,477,093 | ) | (3,794,857 | ) | (5,379,594 | ) | |||||||||
(172,890,092 | ) | (1,073,259,554 | ) | 13,792,019 | 11,285,465 | |||||||||||
(234,880,426 | ) | (982,134,592 | ) | 13,198,502 | 13,021,230 | |||||||||||
2,103,978,697 | 3,086,113,289 | 25,797,589 | 12,776,359 | |||||||||||||
$ | 1,869,098,271 | $ | 2,103,978,697 | $ | 38,996,091 | $ | 25,797,589 | |||||||||
$ | 11,635,748 | $ | 20,146,037 | $ | 21,899 | $ | 2,050 | |||||||||
43
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, which approximates market value. Investments in securities traded on a U.S. or foreign securities exchange (or the Nasdaq system) are valued daily at their last price or official closing price on the principal exchange or system on which they are traded. If no sale occurs, securities are valued at the last bid price. Portfolio securities for which accurate market quotations are not readily available or are deemed inaccurate by the Funds’ respective investment adviser are valued based on yield equivalents, pricing matrices or other sources, under valuation procedures established by the Trust’s Board of Trustees.
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, if any, which are reduced by any amounts reclaimable by the Funds, where applicable), premium amortized and discount accreted. Dividend income is recorded on the ex-dividend date, net of foreign withholding taxes which are reduced by any amounts reclaimable by the Funds. Net investment income (other than class specific expenses) and unrealized and realized gains or losses are allocated daily to each class of shares of the Funds based upon the relative proportion of net assets of each class.
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
C. 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.
D. Federal Taxes — It is each Fund’s policy to comply with the requirements of the Internal Revenue Code (the “Code”) applicable to regulated investment companies and to distribute each year substantially all of its investment company taxable income and capital gains to its shareholders. Accordingly, no federal tax provisions are required. Dividends and distributions to shareholders are recorded on ex-dividend date. Income distributions for the High Yield and Emerging Markets Debt Funds are declared daily and paid monthly. Income distributions for the Global Income Fund are declared and paid monthly. Capital gain distributions, if any, are declared and paid annually for all funds.
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. 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.
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
G. 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 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.
H. Option Accounting Principles — When Global Income writes call or put options, an amount equal to the premium received is recorded as an asset and as an equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the current market value of the option written. When a written option expires on its stipulated expiration date or the Fund enters into a closing purchase transaction, the Fund realizes a gain or loss without regard to any unrealized gain or loss on the underlying security, and the liability related to such option is extinguished. When a written call option is exercised, the Fund realizes a gain or loss from the sale of the underlying security, and the proceeds of the sale are increased by the premium originally received. When a written put option is exercised, the amount of the premium originally received will reduce the cost of the security which the Fund purchases upon exercise. There is a risk of loss from a change in value of such options which may exceed the related premiums received.
I. Futures Contracts — The Funds may enter into futures transactions to hedge against changes in interest rates, securities prices, currency exchange rates or to seek to increase total return. Futures contracts are valued at the last settlement price at the end of each day on the board of trade or exchange upon which they are traded. Upon entering into a futures contract, the Funds are required to deposit with a broker 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, dependent on the 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) |
J. Forward Foreign Currency Exchange Contracts — The Funds may enter into forward foreign currency exchange contracts for the purchase or sale of a specific foreign currency at a fixed price on a future date as a hedge or cross-hedge against either specific transactions or portfolio positions. The Funds may also purchase and sell forward contracts to seek to increase total return. All commitments are “marked-to-market” daily at the applicable translation rates and any resulting unrealized gains or losses are recorded in the Funds’ financial statements. The Funds record realized gains or losses at the time a forward contract is offset by entry into a closing transaction or extinguished by delivery of the currency. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar.
3. AGREEMENTS |
Management Fee | Other | |||||||
Contractual | Expense | |||||||
Fund | Annual Rate | Limit | ||||||
Global Income | 0.65% | 0.004% | ||||||
High Yield | 0.70 | 0.024 | ||||||
Emerging Markets Debt | 0.80 | 0.044 | ||||||
3. AGREEMENTS (continued) |
Contingent Deferred | ||||||||||||
Sales Charge | ||||||||||||
Sales Load | ||||||||||||
Fund | Class A | Class B | Class C | |||||||||
Global Income | $ | 8,300 | $ | — | $ | — | ||||||
High Yield | 295,300 | 1,100 | 300 | |||||||||
Emerging Markets Debt | 7,400 | N/A | N/A | |||||||||
3. AGREEMENTS (continued) |
Other | Custody | Total | ||||||||||||||
Management | Expense | Fee | Expense | |||||||||||||
Fund | Fee Waiver | Reimbursement | Reduction | Reductions | ||||||||||||
Global Income | $ | 260 | $ | 260 | $ | 2 | $ | 522 | ||||||||
High Yield | — | 169 | 22 | 191 | ||||||||||||
Emerging Markets Debt | — | 131 | 1 | 132 | ||||||||||||
Distribution | Transfer | Over | ||||||||||||||||||
Management | and Service | Agent | Reimbursement of | |||||||||||||||||
Fund | Fees | Fees | Fees | “Other Expenses” | Total | |||||||||||||||
Global Income | $ | 192 | $ | 67 | $ | 38 | $ | — | $ | 297 | ||||||||||
High Yield | 1,106 | 363 | 217 | 10 | 1,696 | |||||||||||||||
Emerging Markets Debt | 24 | 2 | 3 | — | 29 | |||||||||||||||
4. PORTFOLIO SECURITIES TRANSACTIONS |
Sales and | Sales and maturities | |||||||||||||||
Purchases of | Purchases | maturities of | (excluding | |||||||||||||
U.S. Government | (excluding | U.S. Government | U.S. Government | |||||||||||||
and agency | U.S. Government and | and agency | and agency | |||||||||||||
Fund | obligations | agency obligations) | obligations | obligations) | ||||||||||||
Global Income | $ | 60,873,754 | $ | 214,505,872 | $ | 75,636,201 | $ | 189,929,699 | ||||||||
High Yield | — | 394,402,975 | — | 535,474,584 | ||||||||||||
Emerging Markets Debt | — | 42,896,499 | — | 32,801,406 | ||||||||||||
5. LINE OF CREDIT FACILITY |
Notes to Financial Statements (continued)
6. ADDITIONAL TAX INFORMATION |
Global Income | High Yield | Emerging Markets Debt | |||||||||||
Capital loss carryforward: | |||||||||||||
Expiring 2010 | $ | (28,737,453 | ) | $ | (14,409,032 | ) | $ | — | |||||
Expiring 2011 | (30,750,749 | ) | (49,431,867 | ) | — | ||||||||
Expiring 2012 | (1,611,665 | ) | — | — | |||||||||
Total capital loss carryforward | $ | (61,099,867 | ) | $ | (63,840,899 | ) | $ | — | |||||
Timing differences (deferred straddle losses, taxable interest on defaulted securities and income distribution payable) | $ | (7,638,180 | ) | $ | (10,042,825 | ) | $ | (7,591 | ) | ||||
Global Income | High Yield | Emerging Markets Debt | ||||||||||
Tax cost | $ | 332,681,338 | $ | 1,789,272,729 | $ | 38,342,615 | ||||||
Gross unrealized gain | 15,941,300 | 154,704,162 | 571,429 | |||||||||
Gross unrealized loss | (2,213,144 | ) | (104,179,757 | ) | (450,900 | ) | ||||||
Net unrealized security gain | $ | 13,728,156 | $ | 50,524,405 | $ | 120,529 | ||||||
The difference between book-basis and tax-basis unrealized gains (losses) is attributable primarily to wash sales, net marked-to-market gain on futures and foreign currency contracts recognized for tax purposes and differing treatment of the amortization of market premium.
7. OTHER MATTERS |
As of April 30, 2005, the Goldman Sachs Growth Strategy Portfolio and the Goldman Sachs Growth and Income Strategy Portfolio were beneficial owners of approximately 27% and 33% of the Emerging Markets Debt Fund, respectively.
Legal Proceedings — Purported class and derivative action lawsuits were filed in April and May 2004 in the United States District Court for the Southern District of New York against GSAM and certain related parties, including certain Goldman Sachs Funds and the Trustees and Officers of the Trust. In June 2004, these lawsuits were consolidated into one action and in November 2004 a consolidated and amended complaint was filed against GSAM, Goldman Sachs and certain related parties including certain Goldman Sachs Funds and the Trustees and Officers of the Trust. The amended complaint alleges violations of the Act and the Investment Advisers Act of 1940. The consolidated and amended complaint also asserts claims involving common law breach of fiduciary duty and unjust enrichment. The consolidated and amended complaint alleges, among other things, that between April 2, 1999 and January 9, 2004 (the “Class Period”), GSAM and other defendants made improper and excessive brokerage commission and other payments to brokers that sold shares of the Goldman Sachs Funds; and omitted statements of fact in registration statements and reports filed pursuant to the Act which were necessary to prevent such registration statements and reports from being materially false and misleading. The consolidated and amended complaint further alleges that the Trust’s Officers and Trustees breached their fiduciary duties by, among other things, permitting the payments to occur. The consolidated and amended complaint also alleges that GSAM used 12b-1 fees for improper purposes
7. OTHER MATTERS (continued) |
During the reporting period, the Emerging Markets Debt Fund met the asset diversification tests of section 851(b)(3) of the Internal Revenue Code. However, the Fund’s investments were not “diversified” as defined under Section 5(b) of the Investment Company Act of 1940, as amended. Potential measures to address this situation are under review.
8. SUBSEQUENT EVENTS |
Fund | Asset Level | Fee | ||||||
Global Income | Up to $1 billion | 0.65 | % | |||||
Next $1 billion | 0.59 | |||||||
Over $2 billion | 0.56 | |||||||
High Yield | Up to $2 billion | 0.70 | ||||||
Over $2 billion | 0.63 | |||||||
Emerging Markets Debt | Up to $2 billion | 0.80 | ||||||
Over $2 billion | 0.72 | |||||||
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.
9. SUMMARY OF SHARE TRANSACTIONS |
Global 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 | 3,177,601 | $ | 43,085,515 | 1,705,932 | $ | 23,677,353 | ||||||||||
Reinvestment of dividends and distributions | 508,444 | 6,856,512 | 1,156,825 | 16,008,172 | ||||||||||||
Shares converted from Class B(a) | 12,246 | 165,469 | 4,259 | 58,372 | ||||||||||||
Shares repurchased | (3,209,098 | ) | (43,460,621 | ) | (6,147,586 | ) | (85,526,397 | ) | ||||||||
489,193 | 6,646,875 | (3,280,570 | ) | $ | (45,782,500 | ) | ||||||||||
Class B Shares | ||||||||||||||||
Shares sold | 66,422 | 895,868 | 144,753 | 2,013,543 | ||||||||||||
Reinvestment of dividends and distributions | 75,216 | 1,010,722 | 179,557 | 2,477,114 | ||||||||||||
Shares converted to Class A(a) | (12,298 | ) | (165,469 | ) | (4,275 | ) | (58,372 | ) | ||||||||
Shares repurchased | (308,864 | ) | (4,175,032 | ) | (611,637 | ) | (8,437,586 | ) | ||||||||
(179,524 | ) | (2,433,911 | ) | (291,602 | ) | (4,005,301 | ) | |||||||||
Class C Shares | ||||||||||||||||
Shares sold | 175,293 | 2,373,978 | 99,892 | 1,378,991 | ||||||||||||
Reinvestment of dividends and distributions | 23,973 | 321,566 | 49,049 | 675,636 | ||||||||||||
Shares repurchased | (131,410 | ) | (1,771,376 | ) | (310,803 | ) | (4,294,118 | ) | ||||||||
67,856 | 924,168 | (161,862 | ) | (2,239,491 | ) | |||||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 8,166,064 | 110,027,362 | 2,540,203 | 34,927,716 | ||||||||||||
Reinvestment of dividends and distributions | 311,065 | 4,185,315 | 544,249 | 7,507,345 | ||||||||||||
Shares repurchased | (6,136,841 | ) | (83,153,123 | ) | (758,876 | ) | (10,546,829 | ) | ||||||||
2,340,288 | 31,059,554 | 2,325,576 | 31,888,232 | |||||||||||||
Service Shares | ||||||||||||||||
Shares sold | 9,380 | 127,565 | 18,847 | 261,858 | ||||||||||||
Reinvestment of dividends and distributions | 832 | 11,199 | 2,836 | 39,232 | ||||||||||||
Shares repurchased | (3,299 | ) | (44,462 | ) | (29,626 | ) | (408,226 | ) | ||||||||
6,913 | 94,302 | (7,943 | ) | (107,136 | ) | |||||||||||
NET INCREASE (DECREASE) | 2,724,726 | $ | 36,290,988 | (1,416,401 | ) | $ | (20,246,196 | ) | ||||||||
(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. |
High Yield Fund | Emerging Markets Debt 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 | |||||||||||||||||||||||||
33,042,804 | $ | 269,697,644 | 60,786,968 | $ | 482,296,132 | 655,856 | $ | 7,254,892 | 628,921 | $ | 6,736,000 | |||||||||||||||||||||
4,396,788 | 35,651,521 | 10,070,907 | 79,914,528 | 46,694 | 512,193 | 18,679 | 197,409 | |||||||||||||||||||||||||
27,258 | 221,162 | 6,610 | 51,945 | — | — | — | — | |||||||||||||||||||||||||
(44,244,720 | ) | (358,571,666 | ) | (167,256,507 | ) | (1,327,821,970 | ) | (110,088 | ) | (1,213,910 | ) | (270,069 | ) | (2,853,120 | ) | |||||||||||||||||
(6,777,870 | ) | (53,001,339 | ) | (96,392,022 | ) | (765,559,365 | ) | 592,462 | 6,553,175 | 377,531 | 4,080,289 | |||||||||||||||||||||
2,118,034 | 17,303,160 | 2,918,454 | 23,192,938 | — | — | — | — | |||||||||||||||||||||||||
364,615 | 2,959,449 | 588,398 | 4,672,437 | — | — | — | — | |||||||||||||||||||||||||
(27,224 | ) | (221,162 | ) | (6,602 | ) | (51,945 | ) | — | — | — | — | |||||||||||||||||||||
(1,737,963 | ) | (14,118,812 | ) | (3,057,110 | ) | (24,220,565 | ) | — | — | — | — | |||||||||||||||||||||
717,462 | 5,922,635 | 443,140 | 3,592,865 | — | — | — | — | |||||||||||||||||||||||||
2,380,531 | 19,401,688 | 2,790,975 | 22,173,898 | — | — | — | — | |||||||||||||||||||||||||
210,559 | 1,706,633 | 322,817 | 2,560,358 | — | — | — | — | |||||||||||||||||||||||||
(1,387,052 | ) | (11,261,055 | ) | (2,169,365 | ) | (17,137,950 | ) | — | — | — | — | |||||||||||||||||||||
1,204,038 | 9,847,266 | 944,427 | 7,596,306 | — | — | — | — | |||||||||||||||||||||||||
20,710,045 | 168,090,913 | 56,425,341 | 448,752,747 | 746,820 | 8,237,650 | 835,831 | 8,863,364 | |||||||||||||||||||||||||
2,960,210 | 24,053,410 | 7,402,859 | 58,825,581 | 144,048 | 1,582,141 | 82,127 | 868,286 | |||||||||||||||||||||||||
(40,300,652 | ) | (328,123,824 | ) | (104,379,407 | ) | (826,639,453 | ) | (229,020 | ) | (2,580,947 | ) | (239,256 | ) | (2,526,474 | ) | |||||||||||||||||
(16,630,397 | ) | (135,979,501 | ) | (40,551,207 | ) | (319,061,125 | ) | 661,848 | 7,238,844 | 678,702 | 7,205,176 | |||||||||||||||||||||
60,210 | 492,350 | 101,799 | 817,195 | — | — | — | — | |||||||||||||||||||||||||
2,278 | 18,441 | 1,474 | 11,725 | — | — | — | — | |||||||||||||||||||||||||
(23,492 | ) | (189,944 | ) | (82,610 | ) | (657,155 | ) | — | — | — | — | |||||||||||||||||||||
38,996 | 320,847 | 20,663 | 171,765 | — | — | — | — | |||||||||||||||||||||||||
(21,447,771 | ) | $ | (172,890,092 | ) | (135,534,999 | ) | $ | (1,073,259,554 | ) | 1,254,310 | $ | 13,792,019 | 1,056,233 | $ | 11,285,465 | |||||||||||||||||
Financial Highlights
Income (loss) from | ||||||||||||||||||||||||
investment operations | ||||||||||||||||||||||||
Distributions to | ||||||||||||||||||||||||
Net asset | shareholders | |||||||||||||||||||||||
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 | $ | 13.65 | $ | 0.17 | $ | 0.24 | $ | 0.41 | $ | (0.61 | ) | |||||||||||||
2005 - B | 13.61 | 0.12 | 0.23 | 0.35 | (0.56 | ) | ||||||||||||||||||
2005 - C | 13.58 | 0.12 | 0.24 | 0.36 | (0.56 | ) | ||||||||||||||||||
2005 - Institutional | 13.64 | 0.19 | 0.25 | 0.44 | (0.64 | ) | ||||||||||||||||||
2005 - Service | 13.63 | 0.16 | 0.24 | 0.40 | (0.61 | ) | ||||||||||||||||||
FOR THE YEARS ENDED OCTOBER 31, | ||||||||||||||||||||||||
2004 - A | 14.39 | 0.36 | 0.19 | 0.55 | (1.29 | ) | ||||||||||||||||||
2004 - B | 14.34 | 0.28 | 0.19 | 0.47 | (1.20 | ) | ||||||||||||||||||
2004 - C | 14.32 | 0.28 | 0.18 | 0.46 | (1.20 | ) | ||||||||||||||||||
2004 - Institutional | 14.37 | 0.43 | 0.20 | 0.63 | (1.36 | ) | ||||||||||||||||||
2004 - Service | 14.36 | 0.37 | 0.19 | 0.56 | (1.29 | ) | ||||||||||||||||||
2003 - A | 14.34 | 0.46 | 0.32 | 0.78 | (0.73 | ) | ||||||||||||||||||
2003 - B | 14.30 | 0.39 | 0.30 | 0.69 | (0.65 | ) | ||||||||||||||||||
2003 - C | 14.27 | 0.38 | 0.32 | 0.70 | (0.65 | ) | ||||||||||||||||||
2003 - Institutional | 14.33 | 0.56 | 0.30 | 0.86 | (0.82 | ) | ||||||||||||||||||
2003 - Service | 14.31 | 0.49 | 0.31 | 0.80 | (0.75 | ) | ||||||||||||||||||
2002 - A | 14.72 | 0.50 | (d) | (0.35 | )(d) | 0.15 | (0.53 | ) | ||||||||||||||||
2002 - B | 14.68 | 0.41 | (d) | (0.33 | )(d) | 0.08 | (0.46 | ) | ||||||||||||||||
2002 - C | 14.65 | 0.41 | (d) | (0.33 | )(d) | 0.08 | (0.46 | ) | ||||||||||||||||
2002 - Institutional | 14.70 | 0.58 | (d) | (0.33 | )(d) | 0.25 | (0.62 | ) | ||||||||||||||||
2002 - Service | 14.69 | 0.50 | (d) | (0.33 | )(d) | 0.17 | (0.55 | ) | ||||||||||||||||
2001 - A | 14.68 | 0.55 | 0.85 | 1.40 | (1.36 | ) | ||||||||||||||||||
2001 - B | 14.65 | 0.48 | 0.84 | 1.32 | (1.29 | ) | ||||||||||||||||||
2001 - C | 14.63 | 0.47 | 0.84 | 1.31 | (1.29 | ) | ||||||||||||||||||
2001 - Institutional | 14.67 | 0.65 | 0.84 | 1.49 | (1.46 | ) | ||||||||||||||||||
2001 - Service | 14.66 | 0.57 | 0.84 | 1.41 | (1.38 | ) | ||||||||||||||||||
2000 - A | 14.49 | 0.59 | 0.20 | 0.79 | (0.60 | ) | ||||||||||||||||||
2000 - B | 14.45 | 0.51 | 0.22 | 0.73 | (0.53 | ) | ||||||||||||||||||
2000 - C | 14.43 | 0.51 | 0.22 | 0.73 | (0.53 | ) | ||||||||||||||||||
2000 - Institutional | 14.48 | 0.68 | 0.21 | 0.89 | (0.70 | ) | ||||||||||||||||||
2000 - Service | 14.47 | 0.61 | 0.20 | �� | 0.81 | (0.62 | ) | |||||||||||||||||
(a) | Assumes investment at the net asset value at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges. Total return would be reduced if a sales or redemption charge were taken into account. Total returns for periods less than one full year are not annualized. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of Fund shares. |
(b) | Annualized. |
(c) | Calculated based on the average shares outstanding methodology. |
(d) | As required, effective November 1, 2001, the Fund has adopted the provisions of the AICPA Audit and Accounting Guide for Investment Companies and began amortizing all premiums and discounts on debt securities. The effect of this change for the year ended October 31, 2002 was to decrease net investment income per share by $0.06, increase net realized and unrealized gains and losses per share by $0.06, and decrease the ratio of net investment income to average net assets with and without expense reductions by 0.43%. Per share ratios and supplemental data for periods prior to November 1, 2001 have not been restated to reflect this change in presentation. |
54
Ratios assuming no | ||||||||||||||||||||||||||||||||||
expense reductions | ||||||||||||||||||||||||||||||||||
Ratio of | Ratio of | |||||||||||||||||||||||||||||||||
Net assets, | Ratio of | net investment | Ratio of total | net investment | ||||||||||||||||||||||||||||||
Net asset | end of | net expenses | income | expenses | income | Portfolio | ||||||||||||||||||||||||||||
value, end | Total | period | to average | to average | to average | to average | turnover | |||||||||||||||||||||||||||
of period | return(a) | (in 000s) | net assets | net assets | net assets | net assets | rate | |||||||||||||||||||||||||||
$ | 13.45 | 3.10 | % | $ | 172,451 | 1.09 | %(b) | 2.47 | %(b) | 1.40 | %(b) | 2.16 | %(b) | 80 | % | |||||||||||||||||||
13.40 | 2.65 | 28,382 | 1.84 | (b) | 1.73 | (b) | 2.15 | (b) | 1.42 | (b) | 80 | |||||||||||||||||||||||
13.38 | 2.73 | 9,246 | 1.84 | (b) | 1.73 | (b) | 2.15 | (b) | 1.42 | (b) | 80 | |||||||||||||||||||||||
13.44 | 3.31 | 147,191 | 0.69 | (b) | 2.80 | (b) | 1.00 | (b) | 2.49 | (b) | 80 | |||||||||||||||||||||||
13.42 | 2.98 | 556 | 1.19 | (b) | 2.38 | (b) | 1.50 | (b) | 2.07 | (b) | 80 | |||||||||||||||||||||||
13.65 | 4.01 | 168,340 | 1.25 | 2.60 | 1.67 | 2.18 | 109 | |||||||||||||||||||||||||||
13.61 | 3.47 | 31,252 | 1.84 | 2.00 | 2.26 | 1.58 | 109 | |||||||||||||||||||||||||||
13.58 | 3.40 | 8,463 | 1.84 | 2.01 | 2.26 | 1.59 | 109 | |||||||||||||||||||||||||||
13.64 | 4.66 | 117,471 | 0.69 | 3.12 | 1.11 | 2.70 | 109 | |||||||||||||||||||||||||||
13.63 | 4.13 | 470 | 1.19 | 2.65 | 1.61 | 2.23 | 109 | |||||||||||||||||||||||||||
14.39 | 5.45 | 224,553 | 1.35 | 3.15 | 1.74 | 2.76 | 106 | |||||||||||||||||||||||||||
14.34 | 4.87 | 37,118 | 1.85 | 2.64 | 2.24 | 2.25 | 106 | |||||||||||||||||||||||||||
14.32 | 4.96 | 11,238 | 1.85 | 2.64 | 2.24 | 2.25 | 106 | |||||||||||||||||||||||||||
14.37 | 6.07 | 90,368 | 0.70 | 3.82 | 1.09 | 3.43 | 106 | |||||||||||||||||||||||||||
14.36 | 5.61 | 609 | 1.20 | 3.37 | 1.59 | 2.98 | 106 | |||||||||||||||||||||||||||
14.34 | 1.08 | 255,821 | 1.34 | 3.36 | (d) | 1.72 | 2.98 | (d) | 146 | |||||||||||||||||||||||||
14.30 | 0.59 | 37,986 | 1.84 | 2.88 | (d) | 2.22 | 2.50 | (d) | 146 | |||||||||||||||||||||||||
14.27 | 0.59 | 11,533 | 1.84 | 2.88 | (d) | 2.22 | 2.50 | (d) | 146 | |||||||||||||||||||||||||
14.33 | 1.82 | 143,127 | 0.69 | 4.00 | (d) | 1.07 | 3.62 | (d) | 146 | |||||||||||||||||||||||||
14.31 | 1.24 | 1,184 | 1.19 | 3.49 | (d) | 1.57 | 3.11 | (d) | 146 | |||||||||||||||||||||||||
14.72 | 10.08 | 286,718 | 1.34 | 3.80 | 1.70 | 3.44 | 222 | |||||||||||||||||||||||||||
14.68 | 9.50 | 31,969 | 1.84 | 3.28 | 2.20 | 2.92 | 222 | |||||||||||||||||||||||||||
14.65 | 9.44 | 8,679 | 1.84 | 3.28 | 2.20 | 2.92 | 222 | |||||||||||||||||||||||||||
14.70 | 10.73 | 181,869 | 0.69 | 4.47 | 1.05 | 4.11 | 222 | |||||||||||||||||||||||||||
14.69 | 10.18 | 1,394 | 1.19 | 3.96 | 1.55 | 3.60 | 222 | |||||||||||||||||||||||||||
14.68 | 5.58 | 294,738 | 1.34 | 4.03 | 1.70 | 3.67 | 185 | |||||||||||||||||||||||||||
14.65 | 5.14 | 22,008 | 1.84 | 3.53 | 2.20 | 3.17 | 185 | |||||||||||||||||||||||||||
14.63 | 5.13 | 5,954 | 1.84 | 3.54 | 2.20 | 3.18 | 185 | |||||||||||||||||||||||||||
14.67 | 6.27 | 287,145 | 0.69 | 4.69 | 1.05 | 4.33 | 185 | |||||||||||||||||||||||||||
14.66 | 5.76 | 1,934 | 1.19 | 4.17 | 1.55 | 3.81 | 185 | |||||||||||||||||||||||||||
Financial Highlights
Income (loss) from | ||||||||||||||||||||||||||||||||
investment operations | ||||||||||||||||||||||||||||||||
Distributions to | ||||||||||||||||||||||||||||||||
Net asset | shareholders | |||||||||||||||||||||||||||||||
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 | $ | 8.08 | $ | 0.32 | $ | (0.23 | ) | $ | 0.09 | $ | (0.35 | ) | $ | 7.82 | 1.09 | % | ||||||||||||||||
2005 - B | 8.09 | 0.29 | (0.23 | ) | 0.06 | (0.32 | ) | 7.83 | 0.72 | |||||||||||||||||||||||
2005 - C | 8.08 | 0.29 | (0.23 | ) | 0.06 | (0.32 | ) | 7.82 | 0.72 | |||||||||||||||||||||||
2005 - Institutional | 8.09 | 0.34 | (0.23 | ) | 0.11 | (0.37 | ) | 7.83 | 1.29 | |||||||||||||||||||||||
2005 - Service | 8.09 | 0.32 | (0.23 | ) | 0.09 | (0.35 | ) | 7.83 | 1.04 | |||||||||||||||||||||||
FOR THE YEARS ENDED OCTOBER 31, | ||||||||||||||||||||||||||||||||
2004 - A | 7.79 | 0.65 | 0.32 | 0.97 | (0.68 | ) | 8.08 | 12.94 | ||||||||||||||||||||||||
2004 - B | 7.80 | 0.60 | 0.31 | 0.91 | (0.62 | ) | 8.09 | 12.09 | ||||||||||||||||||||||||
2004 - C | 7.79 | 0.60 | 0.31 | 0.91 | (0.62 | ) | 8.08 | 12.10 | ||||||||||||||||||||||||
2004 - Institutional | 7.81 | 0.69 | 0.30 | 0.99 | (0.71 | ) | 8.09 | 13.23 | ||||||||||||||||||||||||
2004 - Service | 7.80 | 0.65 | 0.31 | 0.96 | (0.67 | ) | 8.09 | 12.81 | ||||||||||||||||||||||||
2003 - A | 6.38 | 0.65 | 1.40 | 2.05 | (0.64 | ) | 7.79 | 33.34 | ||||||||||||||||||||||||
2003 - B | 6.39 | 0.60 | 1.39 | 1.99 | (0.58 | ) | 7.80 | 32.31 | ||||||||||||||||||||||||
2003 - C | 6.38 | 0.59 | 1.40 | 1.99 | (0.58 | ) | 7.79 | 32.36 | ||||||||||||||||||||||||
2003 - Institutional | 6.39 | 0.68 | 1.41 | 2.09 | (0.67 | ) | 7.81 | 33.98 | ||||||||||||||||||||||||
2003 - Service | 6.39 | 0.64 | 1.40 | 2.04 | (0.63 | ) | 7.80 | 33.16 | ||||||||||||||||||||||||
2002 - A | 7.24 | 0.68 | (0.86 | ) | (0.18 | ) | (0.68 | ) | 6.38 | (2.98 | ) | |||||||||||||||||||||
2002 - B | 7.24 | 0.63 | (0.85 | ) | (0.22 | ) | (0.63 | ) | 6.39 | (3.56 | ) | |||||||||||||||||||||
2002 - C | 7.24 | 0.62 | (0.85 | ) | (0.23 | ) | (0.63 | ) | 6.38 | (3.57 | ) | |||||||||||||||||||||
2002 - Institutional | 7.25 | 0.70 | (0.85 | ) | (0.15 | ) | (0.71 | ) | 6.39 | (2.59 | ) | |||||||||||||||||||||
2002 - Service | 7.24 | 0.67 | (0.84 | ) | (0.17 | ) | (0.68 | ) | 6.39 | (2.93 | ) | |||||||||||||||||||||
2001 - A | 8.18 | 0.83 | (0.93 | ) | (0.10 | ) | (0.84 | ) | 7.24 | (1.54 | ) | |||||||||||||||||||||
2001 - B | 8.18 | 0.77 | (0.93 | ) | (0.16 | ) | (0.78 | ) | 7.24 | (2.28 | ) | |||||||||||||||||||||
2001 - C | 8.17 | 0.77 | (0.92 | ) | (0.15 | ) | (0.78 | ) | 7.24 | (2.28 | ) | |||||||||||||||||||||
2001 - Institutional | 8.19 | 0.86 | (0.93 | ) | (0.07 | ) | (0.87 | ) | 7.25 | (1.14 | ) | |||||||||||||||||||||
2001 - Service | 8.19 | 0.82 | (0.94 | ) | (0.12 | ) | (0.83 | ) | 7.24 | (1.65 | ) | |||||||||||||||||||||
2000 - A | 9.07 | 0.84 | (0.78 | ) | 0.06 | (0.95 | ) | 8.18 | 0.38 | |||||||||||||||||||||||
2000 - B | 9.08 | 0.78 | (0.80 | ) | (0.02 | ) | (0.88 | ) | 8.18 | (0.48 | ) | |||||||||||||||||||||
2000 - C | 9.07 | 0.78 | (0.80 | ) | (0.02 | ) | (0.88 | ) | 8.17 | (0.48 | ) | |||||||||||||||||||||
2000 - Institutional | 9.08 | 0.88 | (0.79 | ) | 0.09 | (0.98 | ) | 8.19 | 0.77 | |||||||||||||||||||||||
2000 - Service | 9.08 | 0.83 | (0.78 | ) | 0.05 | (0.94 | ) | 8.19 | 0.15 | |||||||||||||||||||||||
(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. |
56
Ratios assuming no | ||||||||||||||||||||||||||
expense reductions | ||||||||||||||||||||||||||
Ratio of | Ratio of | |||||||||||||||||||||||||
Net assets, | Ratio of | net investment | Ratio of total | net investment | ||||||||||||||||||||||
end of | net expenses | income | expenses | income | Portfolio | |||||||||||||||||||||
period | to average | to average | to average | to average | turnover | |||||||||||||||||||||
(in 000s) | net assets | net assets | net assets | net assets | rate | |||||||||||||||||||||
$ | 1,021,028 | 1.16 | %(b) | 7.97 | %(b) | 1.18 | %(b) | 7.95 | %(b) | 20 | % | |||||||||||||||
107,384 | 1.91 | (b) | 7.22 | (b) | 1.93 | (b) | 7.20 | (b) | 20 | |||||||||||||||||
63,806 | 1.91 | (b) | 7.21 | (b) | 1.93 | (b) | 7.19 | (b) | 20 | |||||||||||||||||
675,451 | 0.76 | (b) | 8.36 | (b) | 0.78 | (b) | 8.34 | (b) | 20 | |||||||||||||||||
1,429 | 1.26 | (b) | 7.89 | (b) | 1.28 | (b) | 7.87 | (b) | 20 | |||||||||||||||||
1,109,364 | 1.16 | 8.31 | 1.18 | 8.29 | 47 | |||||||||||||||||||||
105,106 | 1.91 | 7.54 | 1.93 | 7.52 | 47 | |||||||||||||||||||||
56,174 | 1.91 | 7.53 | 1.93 | 7.51 | 47 | |||||||||||||||||||||
832,175 | 0.76 | 8.73 | 0.78 | 8.71 | 47 | |||||||||||||||||||||
1,160 | 1.26 | 8.18 | 1.28 | 8.16 | 47 | |||||||||||||||||||||
1,821,032 | 1.17 | 8.97 | 1.19 | 8.95 | 54 | |||||||||||||||||||||
97,894 | 1.92 | 8.25 | 1.94 | 8.23 | 54 | |||||||||||||||||||||
46,812 | 1.92 | 8.21 | 1.94 | 8.19 | 54 | |||||||||||||||||||||
1,119,417 | 0.77 | 9.42 | 0.79 | 9.40 | 54 | |||||||||||||||||||||
958 | 1.27 | 8.86 | 1.29 | 8.84 | 54 | |||||||||||||||||||||
770,011 | 1.16 | 9.54 | 1.19 | 9.51 | 36 | |||||||||||||||||||||
54,065 | 1.91 | 8.83 | 1.94 | 8.80 | 36 | |||||||||||||||||||||
20,107 | 1.91 | 8.81 | 1.94 | 8.78 | 36 | |||||||||||||||||||||
726,140 | 0.76 | 9.95 | 0.79 | 9.92 | 36 | |||||||||||||||||||||
494 | 1.26 | 9.50 | 1.29 | 9.47 | 36 | |||||||||||||||||||||
493,739 | 1.16 | 10.55 | 1.22 | 10.49 | 57 | |||||||||||||||||||||
45,514 | 1.91 | 9.83 | 1.97 | 9.77 | 57 | |||||||||||||||||||||
12,494 | 1.91 | 9.82 | 1.97 | 9.76 | 57 | |||||||||||||||||||||
460,253 | 0.76 | 10.96 | 0.82 | 10.90 | 57 | |||||||||||||||||||||
384 | 1.26 | 10.49 | 1.32 | 10.43 | 57 | |||||||||||||||||||||
409,224 | 1.16 | 9.54 | 1.21 | 9.49 | 55 | |||||||||||||||||||||
37,085 | 1.91 | 8.79 | 1.96 | 8.74 | 55 | |||||||||||||||||||||
8,933 | 1.91 | 8.78 | 1.96 | 8.73 | 55 | |||||||||||||||||||||
420,284 | 0.76 | 9.99 | 0.81 | 9.94 | 55 | |||||||||||||||||||||
396 | 1.26 | 9.39 | 1.31 | 9.34 | 55 | |||||||||||||||||||||
Financial Highlights
Income 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 | operations | income | gains | distributions | |||||||||||||||||||||||||
FOR THE SIX MONTHS ENDED APRIL 30, (Unaudited) | ||||||||||||||||||||||||||||||||
2005 - A | $ | 11.18 | $ | 0.29 | $ | 0.30 | $ | 0.59 | $ | (0.29 | ) | $ | (0.53 | ) | $ | (0.82 | ) | |||||||||||||||
2005 - Institutional | 11.19 | 0.32 | 0.29 | 0.61 | (0.31 | ) | (0.53 | ) | (0.84 | ) | ||||||||||||||||||||||
FOR THE YEAR ENDED OCTOBER 31, | ||||||||||||||||||||||||||||||||
2004 - A | 10.22 | 0.59 | 0.97 | 1.56 | (0.57 | ) | (0.03 | ) | (0.60 | ) | ||||||||||||||||||||||
2004 - Institutional | 10.23 | 0.62 | 0.98 | 1.60 | (0.61 | ) | (0.03 | ) | (0.64 | ) | ||||||||||||||||||||||
FOR THE PERIOD ENDED OCTOBER 31, | ||||||||||||||||||||||||||||||||
2003 - A (commenced August 29, 2003) | 10.00 | 0.08 | 0.26 | 0.34 | (0.12 | ) | — | (0.12 | ) | |||||||||||||||||||||||
2003 - Institutional (commenced August 29, 2003) | 10.00 | 0.11 | 0.24 | 0.35 | (0.12 | ) | — | (0.12 | ) | |||||||||||||||||||||||
(a) | Assumes investment at the net asset value at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges. Total return would be reduced if a sales or redemption charge were taken into account. Total returns for periods less than one full year are not annualized. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of Fund shares. |
(b) | Annualized. |
(c) | Calculated based on the average shares outstanding methodology. |
58
Ratios assuming no | ||||||||||||||||||||||||||||||||||
expense reductions | ||||||||||||||||||||||||||||||||||
Ratio of | Ratio of | |||||||||||||||||||||||||||||||||
Net assets, | Ratio of | net investment | Ratio of | net investment | ||||||||||||||||||||||||||||||
Net asset | end of | net expenses | income | total expenses | income | Portfolio | ||||||||||||||||||||||||||||
value, end | Total | period | to average | to average | to average | to average | turnover | |||||||||||||||||||||||||||
of period | return(a) | (in 000s) | net assets | net assets | net assets | net assets | rate | |||||||||||||||||||||||||||
$ | 10.95 | 5.38 | % | $ | 11,784 | 1.27 | %(b) | 5.25 | %(b) | 2.12 | %(b) | 4.40 | %(b) | 115 | % | |||||||||||||||||||
10.96 | 5.59 | 27,212 | 0.87 | (b) | 5.75 | (b) | 1.72 | (b) | 4.90 | (b) | 115 | |||||||||||||||||||||||
11.18 | 15.78 | 5,411 | 1.28 | 5.43 | 3.09 | 3.62 | 273 | |||||||||||||||||||||||||||
11.19 | 16.22 | 20,387 | 0.88 | 5.90 | 2.57 | 4.21 | 273 | |||||||||||||||||||||||||||
10.22 | 3.36 | 1,088 | 1.28 | (b) | 5.35 | (b) | 5.53 | (b) | 1.10 | (b) | 49 | |||||||||||||||||||||||
10.23 | 3.52 | 11,688 | 0.88 | (b) | 5.96 | (b) | 4.88 | (b) | 1.96 | (b) | 49 | |||||||||||||||||||||||
Fund Expenses (Unaudited) — Six Month Period Ended April 30, 2005
As a shareholder of Class A, Class B, Class C, Institutional or Service 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 Class C Shares), and redemption fees (with respect to Class A, Class B, Class C, Institutional and Service Shares, 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 and Service 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 ratio 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.
Global Income Fund | High Yield Fund | |||||||||||||||||||||||
Expenses | Expenses | |||||||||||||||||||||||
Beginning | Ending | Paid for the | Beginning | Ending | Paid for the | |||||||||||||||||||
Account Value | Account Value | 6 months ended | Account Value | Account Value | 6 months ended | |||||||||||||||||||
Share Class | 11/1/04 | 4/30/05 | 4/30/05* | 11/1/04 | 4/30/05 | 4/30/05* | ||||||||||||||||||
Class A | ||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 1,031.00 | $ | 5.50 | $ | 1,000 | $ | 1,010.90 | $ | 5.79 | ||||||||||||
Hypothetical 5% return | 1,000 | 1,019.37 | + | 5.47 | 1,000 | 1,019.03 | + | 5.82 | ||||||||||||||||
Class B | ||||||||||||||||||||||||
Actual | 1,000 | 1,026.50 | 9.26 | 1,000 | 1,007.20 | 9.51 | ||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,015.66 | + | 9.21 | 1,000 | 1,015.32 | + | 9.55 | ||||||||||||||||
Class C | ||||||||||||||||||||||||
Actual | 1,000 | 1,027.30 | 9.26 | 1,000 | 1,007.20 | 9.51 | ||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,015.66 | + | 9.21 | 1,000 | 1,015.32 | + | 9.55 | ||||||||||||||||
Institutional | ||||||||||||||||||||||||
Actual | 1,000 | 1,033.10 | 3.49 | 1,000 | 1,012.90 | 3.80 | ||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,021.36 | + | 3.47 | 1,000 | 1,021.02 | + | 3.82 | ||||||||||||||||
Service | ||||||||||||||||||||||||
Actual | 1,000 | 1,029.80 | 6.01 | 1,000 | 1,010.40 | 6.29 | ||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,018.87 | + | 5.98 | 1,000 | 1,018.53 | + | 6.32 | ||||||||||||||||
[Additional columns below]
[Continued from above table, first column(s) repeated]
Emerging Markets Debt Fund | ||||||||||||
Expenses | ||||||||||||
Beginning | Ending | Paid for the | ||||||||||
Account Value | Account Value | 6 months ended | ||||||||||
Share Class | 11/1/04 | 4/30/05 | 4/30/05* | |||||||||
Class A | ||||||||||||
Actual | $ | 1,000 | $ | 1,053.80 | $ | 6.45 | ||||||
Hypothetical 5% return | 1,000 | 1,018.51 | + | 6.34 | ||||||||
Class B | ||||||||||||
Actual | N/A | N/A | N/A | |||||||||
Hypothetical 5% return | N/A | N/A | N/A | |||||||||
Class C | ||||||||||||
Actual | N/A | N/A | N/A | |||||||||
Hypothetical 5% return | N/A | N/A | N/A | |||||||||
Institutional | ||||||||||||
Actual | 1,000 | 1,055.90 | 4.42 | |||||||||
Hypothetical 5% return | 1,000 | 1,020.50 | + | 4.34 | ||||||||
Service | ||||||||||||
Actual | N/A | N/A | N/A | |||||||||
Hypothetical 5% return | N/A | N/A | N/A | |||||||||
* | Expenses for each share class are calculated using the Fund’s 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 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 | |||||||||||||||
Global Income | 1.09 | % | 1.84 | % | 1.84 | % | 0.69 | % | 1.19 | % | ||||||||||
High Yield | 1.16 | 1.91 | 1.91 | 0.76 | 1.26 | |||||||||||||||
Emerging Markets Debt | 1.27 | N/A | N/A | 0.87 | N/A | |||||||||||||||
+ | Hypothetical expenses are based on each Fund’s actual annualized expense ratios and an assumed rate of return of 5% per year before expenses. |
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. G O L D M A N S AC H S F U N D S 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. MONEY MARKET FIXED INCOME SPECIALTY Lower Risk/Return H igher R i sk/R et urn 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 Fund seeks to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in the Fund. The Goldman Sachs Research Select Fund SM , Tollkeeper Fund SM and CORE SM 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 CORE SM International Equity Fund Domestic Equity Funds Small Cap Value Fund CORE SM Small Cap Equity Fund Mid Cap Value Fund Concentrated Growth Fund Growth Opportunities Fund Research Select Fund SM Strategic Growth Fund Capital Growth Fund Large Cap Value Fund Growth and Income Fund CORE SM Large Cap Growth Fund CORE SM Large Cap Value Fund CORE SM U.S. Equity Fund Specialty Funds Tollkeeper Fund SM CORE SM Tax-Managed Equity Fund Real Estate Securities Fund Asset Al location 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 Funds 1 |
GOLDMAN SACHS ASSET MANAGEMENT, L.P. 32 OLD SLIP, 32ND FLOOR, NEW YORK, NEW YORK 10005 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 Copyright 2005 Goldman, Sachs & Co. All rights reserved. Date of first use: June 29, 2005 / 05-1042 SFFISAR /50K / 6-05 Visit our Web site at www.gs.com/funds to obtain the most recent month-end returns. The reports concerning the Fund included in this shareholder report may contain certain forward-looking statements about the factors that may affect the performance of the Fund in the future. These statements are based on Fund management’s predictions and expectations concerning certain future events and their expected impact on the Fund, such as performance of the economy as a whole and of specific industry sectors, changes in the levels of interest rates, the impact of developing world events, and other factors that may influence the future performance of the Fund.Management believes these forward-looking statements to be reasonable, although they are inherently uncertain and difficult to predict. Actual events may cause adjustments in portfolio management strategies from those currently expected to be employed. A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities 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 Funds 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 High Yield Fund invests primarily in high yield, lower rated securities which involve greater price volatility and present greater risks than higher rated fixed income securities. At times, the Fund may be unable to sell certain of its portfolio securities without a substantial drop in price, if at all. The Goldman Sachs Global Income, Emerging Markets De bt and High Yield Funds’ foreign investments may be more volatile than an investment in U.S. securities and are subject to the risks of currency fluctuations and political developments. The fixed income securities of emerging countries are less liquid and are subject to greater price volatility. The securities markets of emerging countries have less governmental regulation and are subject to less extensive accounting and financial reporting requirements than the markets of more developed countries. 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. GOLDMAN, SACHS & CO. Distributor and Transfer Agent GOLDMAN SACHS ASSET MANAGEMENT, L.P. Investment Adviser GOLDMAN SACHS INTERNATIONAL Christchurch Court 10-15 Newgate Street London, England EC1 A7HD |
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 |