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)
71 South Wacker, Suite 500, Chicago, Illinois 60606
(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: December 31
Date of reporting period: June 30, 2005
ITEM 1. | REPORTS TO STOCKHOLDERS. | |
The Semi-Annual Report to Stockholders is filed herewith. |
Goldman Sachs Trust | |
Institutional Liquid Assets |
4 Prime Obligations Portfolio | |
4 Money Market Portfolio | |
4 Government Portfolio | |
4 Treasury Obligations Portfolio | |
4 Treasury Instruments Portfolio | |
4 Federal Portfolio | |
4 Tax-Exempt Diversified Portfolio | |
4 Tax-Exempt California Portfolio | |
4 Tax-Exempt New York Portfolio |
SEMIANNUAL REPORT | |
June 30, 2005 |
Taxable Portfolios*
Prime Obligations Portfolio. The Portfolio invests in securities of the U.S. government, its agencies, authorities and instrumentalities, obligations of U.S. banks, commercial paper and other short-term obligations of U.S. companies, states, municipalities and other entities, and repurchase agreements.
Money Market Portfolio. The Portfolio invests in securities of the U.S. government, its agencies, authorities and instrumentalities, U.S. dollar denominated obligations of U.S. and foreign banks, U.S. dollar denominated commercial paper and other short-term obligations of U.S. and foreign companies, foreign governments, states, municipalities and other entities, and repurchase agreements.
Government Portfolio. The Portfolio invests, directly or indirectly, only in securities of the U.S. government, its agencies, authorities and instrumentalities, and repurchase agreements relating to such securities.
Treasury Obligations Portfolio. The Portfolio invests only in securities issued by the U.S. Treasury which are backed by the full faith and credit of the U.S. government, and repurchase agreements relating to such securities.
Treasury Instruments Portfolio. The Portfolio invests only in certain U.S. Treasury Obligations, the interest income from which is generally exempt from state income taxation.
Federal Portfolio. The Portfolio invests only in certain securities of the U.S. government and certain of its agencies, authorities and instrumentalities, the interest income from which is generally exempt from state income taxation.
Tax-Exempt Portfolios*
Tax-Exempt Diversified Portfolio. The Portfolio invests in municipal obligations issued by or on behalf of states, territories and possessions of the United States and their political subdivisions, agencies, authorities and instrumentalities, and the District of Columbia, the interest from which, if any, is exempt from federal income tax, and not an item of tax preference under the federal alternative minimum tax.
Tax-Exempt California Portfolio. The Portfolio is a non-diversified portfolio consisting primarily of municipal obligations issued by or on behalf of the State of California and its political subdivisions, agencies and instrumentalities and other obligations that are exempt from federal and California state income taxes, and not an item of tax preference under the federal alternative minimum tax.
Tax-Exempt New York Portfolio. The Portfolio is a non-diversified portfolio consisting primarily of municipal obligations issued by or on behalf of the State of New York and its political subdivisions, agencies and instrumentalities and other obligations that are exempt from federal, New York State and New York City income taxes, and generally not an item of tax preference under the federal alternative minimum tax.
* Past performance is no guarantee of future results. Yields will vary. An investment in any of the ILA Portfolios is neither insured nor guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although the Portfolios seek to preserve the value of your investment at $1.00 per unit/share, it is possible to lose money by investing in the Portfolios. More complete information, including management fees and expenses, is included in the ILA Portfolios’ Prospectus and/or Statement of Additional Information, or may be obtained by calling Goldman Sachs Funds at 1-800-621-2550.
Sector Allocation as of June 30, 2005†
Taxable Portfolios
Security Type | Prime | Money | Treasury | Treasury | ||||||||||||||||||||
(Percentage of Portfolio) | Obligations | Market | Government | Obligations | Instruments | Federal | ||||||||||||||||||
Certificates of Deposit | 8.9 | % | 0.6 | % | — | — | — | — | ||||||||||||||||
Certificates of Deposit – Eurodollar | — | 6.9 | — | — | — | — | ||||||||||||||||||
Certificates of Deposit – Yankeedollar | — | 6.0 | — | — | — | — | ||||||||||||||||||
Commercial Paper & Corporate Obligations | 34.8 | 30.1 | — | — | — | — | ||||||||||||||||||
Master Demand Notes | 1.9 | 1.4 | — | — | — | — | ||||||||||||||||||
Repurchase Agreements | 21.7 | 24.5 | 37.8 | % | 96.0 | % | — | — | ||||||||||||||||
US Government Agency Obligations | 17.4 | 10.7 | 62.2 | — | — | 98.7 | % | |||||||||||||||||
US Treasury Obligations | — | — | — | 4.0 | 100.0 | % | 1.3 | |||||||||||||||||
Variable Rate Obligations | 15.3 | 19.8 | — | — | — | — |
Tax-Exempt Portfolios
Tax-Exempt | Tax-Exempt | Tax-Exempt | ||||||||||
Security Type | Diversified | California | New York | |||||||||
Commercial Paper | 15.4 | % | 15.2 | % | 16.1 | % | ||||||
General Obligation Bonds | 0.5 | — | — | |||||||||
Put Bonds | 1.1 | 0.9 | 1.4 | |||||||||
Revenue Anticipation Notes | 0.2 | — | — | |||||||||
Revenue Bonds | 0.3 | — | 2.0 | |||||||||
Tax and Revenue Anticipation Notes | 5.2 | 7.1 | — | |||||||||
Tax Anticipation Notes | 1.2 | — | 1.0 | |||||||||
Variable Rate Obligations | 76.1 | 76.8 | 79.5 |
† | The Funds are actively managed and, as such, their composition may differ over time. The percentage shown for each sector reflects the value of investments in that sector as a percentage of total portfolio investments. |
Principal | Interest | Maturity | Amortized | |||||||||||
Amount | Rate | Date | Cost | |||||||||||
Commercial Paper and Corporate Obligations—34.1% | ||||||||||||||
Asset-Backed | ||||||||||||||
Chariot Funding LLC | ||||||||||||||
$ | 15,000,000 | 3.04 | % | 07/15/2005 | $ | 14,982,267 | ||||||||
Citibank Credit Card Issuance Trust (Dakota Corp.) | ||||||||||||||
8,000,000 | 3.25 | 07/20/2005 | 7,986,278 | |||||||||||
10,000,000 | 3.39 | 09/22/2005 | 9,921,842 | |||||||||||
Clipper Receivables Co. LLC | ||||||||||||||
5,000,000 | 3.07 | 07/05/2005 | 4,998,295 | |||||||||||
CRC Funding LLC | ||||||||||||||
15,000,000 | 3.18 | 08/19/2005 | 14,935,075 | |||||||||||
5,000,000 | 3.19 | 08/22/2005 | 4,976,961 | |||||||||||
Edison Asset Securitization Corp. | ||||||||||||||
5,000,000 | 3.24 | 09/01/2005 | 4,972,100 | |||||||||||
5,000,000 | 3.12 | 09/07/2005 | 4,970,533 | |||||||||||
Falcon Asset Securitization Corp. | ||||||||||||||
6,878,000 | 3.32 | 09/15/2005 | 6,829,793 | |||||||||||
FCAR Owner Trust Series I | ||||||||||||||
5,000,000 | 3.24 | 09/06/2005 | 4,969,850 | |||||||||||
10,000,000 | 3.32 | 09/07/2005 | 9,937,289 | |||||||||||
Ford Credit Floorplan Master Owner Trust (Motown) | ||||||||||||||
10,000,000 | 3.25 | 07/20/2005 | 9,982,847 | |||||||||||
Fountain Square Commercial Funding Corp. | ||||||||||||||
5,000,000 | 3.21 | 08/26/2005 | 4,975,033 | |||||||||||
Govco, Inc. | ||||||||||||||
5,000,000 | 3.06 | 07/21/2005 | 4,991,500 | |||||||||||
5,000,000 | 3.07 | 07/21/2005 | 4,991,472 | |||||||||||
10,000,000 | 3.17 | 08/16/2005 | 9,959,558 | |||||||||||
Kittyhawk Funding Corp. | ||||||||||||||
10,000,000 | 3.19 | 07/18/2005 | 9,984,936 | |||||||||||
Ranger Funding Co. LLC | ||||||||||||||
15,000,000 | 3.05 | 07/15/2005 | 14,982,209 | |||||||||||
Yorktown Capital LLC | ||||||||||||||
15,000,000 | 3.05 | 07/15/2005 | 14,982,208 | |||||||||||
Commercial Banks | ||||||||||||||
Bank of America Corp. | ||||||||||||||
5,000,000 | 2.93 | 08/16/2005 | 4,981,312 | |||||||||||
Financial Services | ||||||||||||||
General Electric Capital Corp. | ||||||||||||||
5,000,000 | 2.93 | 08/12/2005 | 4,982,908 | |||||||||||
5,000,000 | 3.30 | 09/12/2005 | 4,966,542 | |||||||||||
Total Commercial Paper and Corporate Obligations | $ | 179,260,808 | ||||||||||||
Certificates of Deposit—8.7% | ||||||||||||||
Bank of New York | ||||||||||||||
$ | 3,000,000 | 3.70 | % | 05/10/2006 | $ | 3,000,000 | ||||||||
Citibank, N.A | ||||||||||||||
7,000,000 | 3.34 | 09/14/2005 | 7,000,000 | |||||||||||
Marshall & Ilsley Bank | ||||||||||||||
4,000,000 | 3.77 | 06/19/2006 | 4,000,000 | |||||||||||
National City Bank of Indiana | ||||||||||||||
7,000,000 | 3.76 | 03/29/2006 | 7,000,254 | |||||||||||
Regions Bank | ||||||||||||||
10,000,000 | 3.36 | 10/31/2005 | 10,000,000 | |||||||||||
Suntrust Bank | ||||||||||||||
15,000,000 | 3.35 | 10/24/2005 | 15,000,000 | |||||||||||
Total Certificates of Deposit | $ | 46,000,254 | ||||||||||||
Master Demand Note—1.9% | ||||||||||||||
Bank of America Securities LLC | ||||||||||||||
$ | 10,000,000 | 3.52 | % | 08/02/2005 | $ | 10,000,000 | ||||||||
U.S. Government Agency Obligations—17.1% | ||||||||||||||
Federal Home Loan Bank (a) | ||||||||||||||
$ | 5,000,000 | 3.02 | % | 07/02/2005 | $ | 4,997,010 | ||||||||
5,000,000 | 3.01 | 07/03/2005 | 4,999,354 | |||||||||||
10,000,000 | 3.15 | 08/16/2005 | 9,994,326 | |||||||||||
Federal Home Loan Mortgage Corp.(a) | ||||||||||||||
5,000,000 | 3.08 | 07/07/2005 | 5,000,000 | |||||||||||
5,000,000 | 3.18 | 08/07/2005 | 5,000,000 | |||||||||||
Federal National Mortgage Association | ||||||||||||||
5,000,000 | 3.04 | (a) | 07/07/2005 | 4,995,692 | ||||||||||
15,000,000 | 3.21 | (a) | 07/29/2005 | 14,995,618 | ||||||||||
15,000,000 | 3.09 | (a) | 08/06/2005 | 14,993,229 | ||||||||||
5,000,000 | 3.18 | (a) | 08/22/2005 | 4,997,321 | ||||||||||
5,000,000 | 3.22 | (a) | 09/06/2005 | 4,999,447 | ||||||||||
10,000,000 | 3.24 | (a) | 09/07/2005 | 9,991,212 | ||||||||||
5,000,000 | 2.40 | 10/14/2005 | 4,965,000 | |||||||||||
Total U.S. Government Agency Obligations | $ | 89,928,209 | ||||||||||||
Variable Rate Obligations(a) —15.0% | ||||||||||||||
American Express Centurion Bank | ||||||||||||||
$ | 5,000,000 | 3.28 | % | 07/28/2005 | $ | 5,000,000 | ||||||||
American Express Credit Corp. | ||||||||||||||
10,000,000 | 3.34 | 08/01/2005 | 10,000,752 | |||||||||||
First Union National Bank | ||||||||||||||
5,000,000 | 3.59 | 07/15/2005 | 5,013,003 | |||||||||||
General Electric Capital Corp. | ||||||||||||||
5,000,000 | 3.28 | 07/11/2005 | 5,000,000 |
Principal | Interest | Maturity | Amortized | |||||||||||
Amount | Rate | Date | Cost | |||||||||||
Variable Rate Obligations(a) —(continued) | ||||||||||||||
Monumental Life Insurance Co.(b) | ||||||||||||||
$ | 20,000,000 | 3.27 | % | 07/01/2005 | $ | 20,000,000 | ||||||||
Morgan Stanley Group, Inc. | ||||||||||||||
5,000,000 | 3.13 | 07/05/2005 | 5,000,000 | |||||||||||
Wachovia Asset Securitization, Inc.(b) | ||||||||||||||
5,000,000 | 3.29 | 07/25/2005 | 5,000,000 | |||||||||||
8,785,478 | 3.30 | 07/25/2005 | 8,785,478 | |||||||||||
Wells Fargo & Co. | ||||||||||||||
15,000,000 | 3.45 | 09/06/2005 | 15,012,949 | |||||||||||
Total Variable Rate Obligations | $ | 78,812,182 | ||||||||||||
Total Investments before Repurchase Agreements | $ | 404,001,453 | ||||||||||||
Repurchase Agreements(c) | —21.2% | |||||||||||||
Citigroup Global Markets, Inc. | ||||||||||||||
$ | 10,000,000 | 3.54 | % | 07/01/2005 | $ | 10,000,000 | ||||||||
Maturity Value: $10,000,983 | ||||||||||||||
Collateralized by various corporate issues, 3.13% to 5.14%, due 6/12/2006 to 6/25/2035 | ||||||||||||||
Joint Repurchase Agreement Account II | ||||||||||||||
101,700,000 | 3.41 | 07/01/2005 | 101,700,000 | |||||||||||
Maturity Value: $101,709,633 | ||||||||||||||
Total Repurchase Agreements | $ | 111,700,000 | ||||||||||||
Total Investments—98.0% | $ | 515,701,453 | ||||||||||||
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
(a) | Variable or floating rate security index is based on the LIBOR rate. | |
(b) | Securities not registered under the Securities Act of 1933, as amended. Such securities have been determined to be illiquid by the Investment Adviser. At June 30, 2005, these securities amounted to $33,785,478 or approximately 6.4% of net assets. | |
(c) | Unless noted, all repurchase agreements were entered into on June 30, 2005. |
Interest rates represent either the stated coupon rate, annualized yield on date of purchase for discounted securities, or, for floating rate securities, the current reset rate, which is based upon current interest rate indices.
Maturity dates represent either the stated date on the security or the next interest reset date for floating rate securities.
ADDITIONAL INVESTMENT INFORMATION |
Joint Repurchase Agreement Account II—At June 30, 2005, the Portfolio had an undivided interest in the following Joint Repurchase Agreement Account II which equaled $101,700,000 in principal amount.
Principal | Interest | Maturity | Maturity | |||||||||||||
Repurchase Agreements | Amount | Rate | Date | Value | ||||||||||||
Banc of America Securities LLC | $ | 1,500,000,000 | 3.40 | % | 07/01/2005 | $ | 1,500,141,667 | |||||||||
Barclays Capital PLC | 700,000,000 | 3.40 | 07/01/2005 | 700,066,111 | ||||||||||||
Deutsche Bank Securities, Inc. | 1,000,000,000 | 3.40 | 07/01/2005 | 1,000,094,444 | ||||||||||||
Deutsche Bank Securities, Inc. | 300,000,000 | 3.45 | 07/01/2005 | 300,028,750 | ||||||||||||
Greenwich Capital Markets | 400,000,000 | 3.43 | 07/01/2005 | 400,038,111 | ||||||||||||
J.P. Morgan Securities, Inc. | 400,000,000 | 3.41 | 07/01/2005 | 400,037,889 | ||||||||||||
Morgan Stanley & Co. | 1,000,500,000 | �� | 3.40 | 07/01/2005 | 1,000,594,492 | |||||||||||
UBS Securities LLC | 250,000,000 | 3.40 | 07/01/2005 | 250,023,611 | ||||||||||||
Wachovia Capital Markets | 250,000,000 | 3.40 | 07/01/2005 | 250,023,611 | ||||||||||||
Westdeutsche Landesbank AG | 500,000,000 | 3.43 | 07/01/2005 | 500,047,639 | ||||||||||||
TOTAL | $ | 6,300,500,000 | $ | 6,301,096,325 | ||||||||||||
Statement of Investments
Principal | Interest | Maturity | Amortized | |||||||||||
Amount | Rate | Date | Cost | |||||||||||
Commercial Paper and Corporate Obligations—29.8% | ||||||||||||||
Asset-Backed | ||||||||||||||
Adirondack Corp. | ||||||||||||||
$ | 25,000,000 | 3.20 | % | 08/09/2005 | $ | 24,913,333 | ||||||||
Amstel Funding Corp. | ||||||||||||||
24,427,000 | 3.17 | 08/15/2005 | 24,330,208 | |||||||||||
20,000,000 | 3.24 | 08/31/2005 | 19,890,200 | |||||||||||
Aspen Funding Corp. | ||||||||||||||
10,000,000 | 3.18 | 08/18/2005 | 9,957,600 | |||||||||||
Atlantis One Funding Corp. | ||||||||||||||
12,000,000 | 3.34 | 09/16/2005 | 11,914,402 | |||||||||||
50,000,000 | 3.40 | 09/26/2005 | 49,589,771 | |||||||||||
Davis Square Funding III (Delaware) Corp. | ||||||||||||||
25,000,000 | 3.15 | 08/01/2005 | 24,932,187 | |||||||||||
Davis Square Funding IV (Delaware) Corp. | ||||||||||||||
25,000,000 | 3.06 | 07/05/2005 | 24,991,500 | |||||||||||
Gemini Securitization Corp. | ||||||||||||||
25,000,000 | 3.17 | 08/15/2005 | 24,900,937 | |||||||||||
Grampian Funding Ltd. | ||||||||||||||
33,000,000 | 3.06 | 07/21/2005 | 32,943,900 | |||||||||||
12,000,000 | 3.11 | 07/28/2005 | 11,972,010 | |||||||||||
Newport Funding Corp. | ||||||||||||||
13,000,000 | 3.20 | 08/23/2005 | 12,938,756 | |||||||||||
Old Line Funding Corp. | ||||||||||||||
12,247,000 | 3.19 | 08/22/2005 | 12,190,569 | |||||||||||
Sierra Madre Funding Ltd. | ||||||||||||||
25,000,000 | 3.22 | 07/29/2005 | 24,937,389 | |||||||||||
Thunder Bay Funding, Inc. | ||||||||||||||
25,000,000 | 3.07 | 07/25/2005 | 24,948,833 | |||||||||||
Commercial Banks | ||||||||||||||
Banco Santander Central Hispano SA | ||||||||||||||
30,000,000 | 2.98 | 08/17/2005 | 29,883,283 | |||||||||||
Skandinaviska Enskilda Banken AB | ||||||||||||||
50,000,000 | 3.27 | 09/07/2005 | 49,691,167 | |||||||||||
Financial Services | ||||||||||||||
Solitaire Funding LLC | ||||||||||||||
18,780,000 | 2.95 | 08/15/2005 | 18,710,749 | |||||||||||
Mortgage Bank | ||||||||||||||
Nationwide Building Society | ||||||||||||||
20,000,000 | 3.17 | 08/11/2005 | 19,927,908 | |||||||||||
Security and Commodity Brokers, Dealers and Services | ||||||||||||||
Citigroup Global Market Holdings, Inc. | ||||||||||||||
25,000,000 | 3.18 | 08/19/2005 | 24,891,792 | |||||||||||
Credit Suisse First Boston, Inc. | ||||||||||||||
40,000,000 | 3.06 | 07/20/2005 | 39,935,400 | |||||||||||
Total Commercial Paper and Corporate Obligations | $ | 518,391,894 | ||||||||||||
Certificates of Deposit-Eurodollar—6.9% | ||||||||||||||
Alliance & Leicester PLC | ||||||||||||||
$ | 15,000,000 | 2.51 | % | 10/12/2005 | $ | 15,000,209 | ||||||||
10,000,000 | 3.79 | 03/29/2006 | 10,000,000 | |||||||||||
Barclays Bank PLC | ||||||||||||||
25,000,000 | 3.39 | 09/20/2005 | 24,998,552 | |||||||||||
Calyon | ||||||||||||||
5,000,000 | 3.41 | 03/21/2006 | 5,000,000 | |||||||||||
5,000,000 | 3.78 | 03/29/2006 | 5,000,000 | |||||||||||
HSBC Bank PLC | ||||||||||||||
35,000,000 | 3.34 | 09/14/2005 | 34,999,277 | |||||||||||
National Australia Bank Ltd. | ||||||||||||||
15,000,000 | 2.52 | 11/08/2005 | 15,000,000 | |||||||||||
Societe Generale | ||||||||||||||
10,000,000 | 3.00 | 12/21/2005 | 10,000,000 | |||||||||||
Total Certificates of Deposit-Eurodollar | $ | 119,998,038 | ||||||||||||
Certificates of Deposit-Yankeedollar—6.6% | ||||||||||||||
Barclays Bank PLC | ||||||||||||||
$ | 15,000,000 | 3.10 | % | 07/08/2005 | $ | 15,000,015 | ||||||||
Depfa Bank PLC | ||||||||||||||
25,000,000 | 3.07 | 07/14/2005 | 25,000,000 | |||||||||||
Fortis Bank | ||||||||||||||
5,000,000 | 3.70 | 05/10/2006 | 4,999,790 | |||||||||||
Toronto-Dominion Bank | ||||||||||||||
10,000,000 | 3.75 | 06/01/2006 | 10,000,224 |
Principal | Interest | Maturity | Amortized | |||||||||||
Amount | Rate | Date | Cost | |||||||||||
Certificates of Deposit-Yankeedollar (continued) | ||||||||||||||
Toronto-Dominion Bank | ||||||||||||||
$ | 5,000,000 | 3.70 | % | 05/10/2006 | $ | 5,000,000 | ||||||||
Toronto-Dominion Bank | ||||||||||||||
5,000,000 | 2.72 | 11/14/2005 | 4,999,815 | |||||||||||
UBS AG | ||||||||||||||
50,000,000 | 3.06 | 07/05/2005 | 50,000,000 | |||||||||||
Total Certificates of Deposit-Yankeedollar | $ | 114,999,844 | ||||||||||||
Master Demand Note—1.5% | ||||||||||||||
Bank of America Securities LLC | ||||||||||||||
$ | 25,000,000 | 3.52 | % | 08/02/2005 | $ | 25,000,000 | ||||||||
U.S. Government Agency Obligations(a) —10.6% | ||||||||||||||
Federal Home Loan Bank | ||||||||||||||
$ | 20,000,000 | 3.02 | % | 07/02/2005 | $ | 19,988,039 | ||||||||
Federal Home Loan Mortgage Corp. | ||||||||||||||
20,000,000 | 3.08 | 07/07/2005 | 20,000,000 | |||||||||||
Federal National Mortgage Association | ||||||||||||||
30,000,000 | 2.99 | 07/03/2005 | 29,994,959 | |||||||||||
35,000,000 | 3.21 | 07/29/2005 | 34,989,774 | |||||||||||
30,000,000 | 3.18 | 08/22/2005 | 29,983,925 | |||||||||||
25,000,000 | 3.22 | 09/06/2005 | 24,997,236 | |||||||||||
25,000,000 | 3.24 | 09/07/2005 | 24,978,031 | |||||||||||
Total U.S. Government Agency Obligations | $ | 184,931,964 | ||||||||||||
Variable Rate Obligations(a)—20.0% | ||||||||||||||
Australia New Zealand Banking Group Ltd. | ||||||||||||||
$ | 4,000,000 | 3.28 | % | 07/21/2006 | $ | 4,000,000 | ||||||||
Barclays Bank PLC | ||||||||||||||
10,000,000 | 3.21 | 07/21/2005 | 9,998,306 | |||||||||||
BellSouth Telecommunications, Inc. | ||||||||||||||
50,000,000 | 3.41 | 09/06/2005 | 50,000,000 | |||||||||||
BNP Paribas SA | ||||||||||||||
70,000,000 | 3.18 | 07/19/2005 | 69,984,837 | |||||||||||
Caixa Geral De Depositos SA | ||||||||||||||
20,000,000 | 3.37 | 09/19/2005 | 19,995,463 | |||||||||||
Fairway Finance Corp. | ||||||||||||||
5,000,000 | 3.21 | 07/20/2005 | 4,999,848 | |||||||||||
General Electric Capital Corp. | ||||||||||||||
15,000,000 | 3.28 | 07/11/2005 | 15,000,000 | |||||||||||
HBOS Treasury Services PLC | ||||||||||||||
30,000,000 | 3.17 | 07/11/2005 | 29,999,219 | |||||||||||
25,000,000 | 3.23 | 07/29/2005 | 25,001,433 | |||||||||||
25,000,000 | 3.33 | 08/22/2005 | 25,000,000 | |||||||||||
Merrill Lynch & Co., Inc. | ||||||||||||||
14,300,000 | 3.74 | 09/21/2005 | 14,310,168 | |||||||||||
Monumental Life Insurance Co.(b) | ||||||||||||||
25,000,000 | 3.27 | 07/01/2005 | 25,000,000 | |||||||||||
New York Life Insurance Co.(b) | ||||||||||||||
10,000,000 | 3.17 | 07/01/2005 | 10,000,000 | |||||||||||
25,000,000 | 3.53 | 09/30/2005 | 25,000,000 | |||||||||||
Unicredito Italiano SPA | ||||||||||||||
10,000,000 | 3.31 | 09/09/2005 | 9,998,115 | |||||||||||
10,000,000 | 3.43 | 09/30/2005 | 9,996,531 | |||||||||||
Total Variable Rate Obligations | $ | 348,283,920 | ||||||||||||
Total Investments before Repurchase Agreements | $ | 1,311,605,660 | ||||||||||||
Repurchase Agreements(c)—24.4% | ||||||||||||||
Citigroup Global Markets, Inc. | ||||||||||||||
$ | 40,000,000 | 3.54 | % | 07/01/2005 | $ | 40,000,000 | ||||||||
Maturity Value: $40,003,933 | ||||||||||||||
Collateralized by Wells Fargo Mortgage Backed Securities Trust, 4.36%, due 5/25/2035 | ||||||||||||||
Joint Repurchase Agreement Account II | ||||||||||||||
384,900,000 | 3.41 | 07/01/2005 | 384,900,000 | |||||||||||
Maturity Value: $384,936,459 | ||||||||||||||
Total Repurchase Agreements | $ | 424,900,000 | ||||||||||||
Total Investments—99.8% | $ | 1,736,505,660 | ||||||||||||
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
(a) | Variable or floating rate security index is based on the LIBOR rate. |
(b) | Securities not registered under the Securities Act of 1933, as amended. Such securities have been determined to be illiquid by the Investment Adviser. At June 30, 2005, these securities amounted to $60,000,000 or approximately 3.4% of net assets. |
(c) | Unless noted, all repurchase agreements were entered into on June 30, 2005. |
Interest rates represent either the stated coupon rate, annualized yield on date of purchase for discounted securities, or, for floating rate securities, the current reset rate, which is based upon current interest rate indices.
Maturity dates represent either the stated date on the security or the next interest reset date for floating rate securities.
ADDITIONAL INVESTMENT INFORMATION |
Joint Repurchase Agreement Account II— At June 30, 2005, the Portfolio had an undivided interest in the following Joint Repurchase Agreement Account II which equaled $384,900,000 in principal amount.
Principal | Interest | Maturity | Maturity | |||||||||||||
Repurchase Agreements | Amount | Rate | Date | Value | ||||||||||||
Banc of America Securities LLC | $ | 1,500,000,000 | 3.40 | % | 07/01/2005 | $ | 1,500,141,667 | |||||||||
Barclays Capital PLC | 700,000,000 | 3.40 | 07/01/2005 | 700,066,111 | ||||||||||||
Deutsche Bank Securities, Inc. | 1,000,000,000 | 3.40 | 07/01/2005 | 1,000,094,444 | ||||||||||||
Deutsche Bank Securities, Inc. | 300,000,000 | 3.45 | 07/01/2005 | 300,028,750 | ||||||||||||
Greenwich Capital Markets | 400,000,000 | 3.43 | 07/01/2005 | 400,038,111 | ||||||||||||
J.P. Morgan Securities, Inc. | 400,000,000 | 3.41 | 07/01/2005 | 400,037,889 | ||||||||||||
Morgan Stanley & Co. | 1,000,500,000 | 3.40 | 07/01/2005 | 1,000,594,492 | ||||||||||||
UBS Securities LLC | 250,000,000 | 3.40 | 07/01/2005 | 250,023,611 | ||||||||||||
Wachovia Capital Markets | 250,000,000 | 3.40 | 07/01/2005 | 250,023,611 | ||||||||||||
Westdeutsche Landesbank AG | 500,000,000 | 3.43 | 07/01/2005 | 500,047,639 | ||||||||||||
TOTAL | $ | 6,300,500,000 | $ | 6,301,096,325 | ||||||||||||
At June 30, 2005, the Joint Repurchase Agreement Account II was fully collateralized by Federal Farm Credit Bank, 2.50% to 6.70%, due 09/13/2005 to 06/15/2007; Federal Home Loan Bank, 4.37% to 5.49%, due 12/22/2008 to 08/15/2011; Federal Home Loan Mortgage Association, 0.00% to 8.00%, due 07/06/2005 to 07/01/2035; Federal National Mortgage Association, 0.00% to 9.50%, due 08/24/2005 to 07/01/2035 and Government National Mortgage Association, 5.50% to 6.50%, due 04/15/2032 to 06/15/2035. |
Statement of Investments
Principal | Interest | Maturity | Amortized | |||||||||||
Amount | Rate | Date | Cost | |||||||||||
U.S. Government Agency Obligations— 62.1% | ||||||||||||||
Federal Home Loan Bank(a) | ||||||||||||||
$ | 2,000,000 | 3.16 | % | 07/21/2005 | $ | 1,998,642 | ||||||||
5,000,000 | 3.10 | 08/02/2005 | 4,996,771 | |||||||||||
Federal Home Loan Mortgage Corp. | ||||||||||||||
10,000,000 | 3.08 | (a) | 07/07/2005 | 10,000,000 | ||||||||||
3,000,000 | 3.10 | 09/13/2005 | 2,980,883 | |||||||||||
750,000 | 3.58 | 03/17/2006 | 730,710 | |||||||||||
Federal National Mortgage Association | ||||||||||||||
2,000,000 | 3.04 | (a) | 07/07/2005 | 1,998,277 | ||||||||||
5,000,000 | 3.05 | (a) | 07/07/2005 | 4,998,372 | ||||||||||
5,000,000 | 3.21 | (a) | 07/29/2005 | 4,999,614 | ||||||||||
2,000,000 | 3.21 | (a) | 07/29/2005 | 1,999,416 | ||||||||||
8,800,000 | 3.18 | (a) | 08/22/2005 | 8,795,030 | ||||||||||
2,000,000 | 3.17 | 08/31/2005 | 1,989,274 | |||||||||||
7,000,000 | 3.22 | 09/06/2005 | 6,999,205 | |||||||||||
2,000,000 | 3.24 | (a) | 09/07/2005 | 1,998,242 | ||||||||||
2,000,000 | 3.31 | (a) | 09/22/2005 | 1,998,254 | ||||||||||
1,000,000 | 3.28 | 11/02/2005 | 988,702 | |||||||||||
1,000,000 | 3.15 | 02/06/2006 | 999,853 | |||||||||||
1,000,000 | 2.50 | 06/15/2006 | 988,599 | |||||||||||
Total U.S. Government Agency Obligations | $ | 59,459,844 | ||||||||||||
Total Investments before Repurchase Agreements | $ | 59,459,844 | ||||||||||||
Repurchase Agreements(b)— 37.7% | ||||||||||||||
Joint Repurchase Agreement Account II | ||||||||||||||
$ | 32,100,000 | 3.41 | % | 07/01/2005 | $ | 32,100,000 | ||||||||
Maturity Value: $32,103,041 | ||||||||||||||
UBS Securities LLC | ||||||||||||||
4,000,000 | 3.05 | 07/05/2005 | 4,000,000 | |||||||||||
Maturity Value: $4,000,339 | ||||||||||||||
Collateralized by Federal Home Loan Mortgage Corp., 6.50%, due 05/01/2031 and Federal National Mortgage Association, 5.00%, due 10/01/2033 | ||||||||||||||
Total Repurchase Agreements | $ | 36,100,000 | ||||||||||||
Total Investments— 99.8% | $ | 95,559,844 | ||||||||||||
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
(a) | Variable or floating rate security index is based on the LIBOR rate. | |
(b) | Unless noted, all repurchase agreements were entered into on June 30, 2005. |
Interest rates represent either the stated coupon rate, annualized yield on date of purchase for discounted securities, or, for floating rate securities, the current reset rate, which is based upon current interest rate indices.
Maturity dates represent either the stated date on the security or the next interest reset date for floating rate securities.
ADDITIONAL INVESTMENT INFORMATION |
Joint Repurchase Agreement Account II— At June 30, 2005, the Portfolio had an undivided interest in the following Joint Repurchase Agreement Account II which equaled $32,100,000 in principal amount.
Principal | Interest | Maturity | Maturity | |||||||||||||
Repurchase Agreements | Amount | Rate | Date | Value | ||||||||||||
Banc of America Securities LLC | $ | 1,500,000,000 | 3.40 | % | 07/01/2005 | $ | 1,500,141,667 | |||||||||
Barclays Capital PLC | 700,000,000 | 3.40 | 07/01/2005 | 700,066,111 | ||||||||||||
Deutsche Bank Securities, Inc. | 1,000,000,000 | 3.40 | 07/01/2005 | 1,000,094,444 | ||||||||||||
Deutsche Bank Securities, Inc. | 300,000,000 | 3.45 | 07/01/2005 | 300,028,750 | ||||||||||||
Greenwich Capital Markets | 400,000,000 | 3.43 | 07/01/2005 | 400,038,111 | ||||||||||||
J.P. Morgan Securities, Inc. | 400,000,000 | 3.41 | 07/01/2005 | 400,037,889 | ||||||||||||
Morgan Stanley & Co. | 1,000,500,000 | 3.40 | 07/01/2005 | 1,000,594,492 | ||||||||||||
UBS Securities LLC | 250,000,000 | 3.40 | 07/01/2005 | 250,023,611 | ||||||||||||
Wachovia Capital Markets | 250,000,000 | 3.40 | 07/01/2005 | 250,023,611 | ||||||||||||
Westdeutsche Landesbank AG | 500,000,000 | 3.43 | 07/01/2005 | 500,047,639 | ||||||||||||
TOTAL | $ | 6,300,500,000 | $ | 6,301,096,325 | ||||||||||||
At June 30, 2005, the Joint Repurchase Agreement Account II was fully collateralized by Federal Farm Credit Bank, 2.50% to 6.70%, due 09/13/2005 to 06/15/2007; Federal Home Loan Bank, 4.37% to 5.49%, due 12/22/2008 to 08/15/2011; Federal Home Loan Mortgage Association, 0.00% to 8.00%, due 07/06/2005 to 07/01/2035; Federal National Mortgage Association, 0.00% to 9.50%, due 08/24/2005 to 07/01/2035 and Government National Mortgage Association, 5.50% to 6.50%, due 04/15/2032 to 06/15/2035. |
Principal | Interest | Maturity | Amortized | |||||||||||
Amount | Rate | Date | Cost | |||||||||||
U.S. Treasury Obligations—4.0% | ||||||||||||||
United States Treasury Notes | ||||||||||||||
$ | 19,000,000 | 1.88 | % | 11/30/2005 | $ | 18,945,914 | ||||||||
5,000,000 | 1.50 | 03/31/2006 | 4,926,899 | |||||||||||
10,000,000 | 2.00 | 05/15/2006 | 9,878,125 | |||||||||||
10,000,000 | 2.50 | 05/31/2006 | 9,909,045 | |||||||||||
Total U.S. Treasury Obligations | $ | 43,659,983 | ||||||||||||
Total Investments before Repurchase Agreements | $ | 43,659,983 | ||||||||||||
Repurchase Agreements(a)—96.2% | ||||||||||||||
Joint Repurchase Agreement Account I | ||||||||||||||
$ | 951,900,000 | 2.91 | % | 07/01/2005 | $ | 951,900,000 | ||||||||
Maturity Value: $951,976,945 | ||||||||||||||
Lehman Brothers Holdings, Inc. | ||||||||||||||
54,700,000 | 2.90 | 07/01/2005 | 54,700,000 | |||||||||||
Maturity Value: $54,704,406 Collateralized by U.S. Treasury Notes, 1.63% to 5.63%, due 10/31/2005 to 5/15/2014. | ||||||||||||||
UBS Securities LLC | ||||||||||||||
50,000,000 | 2.93 | 07/01/2005 | 50,000,000 | |||||||||||
Maturity Value: $50,004,069 Collateralized by United States Treasury Note, 4.25%, due 11/15/2013. | ||||||||||||||
Total Repurchase Agreements | $ | 1,056,600,000 | ||||||||||||
Total Investments—100.2% | $ | 1,100,259,983 | ||||||||||||
(a) | Unless noted, all repurchase agreements were entered into on June 30, 2005. |
Interest rates represent either the stated coupon rate or annualized yield on date of purchase for discounted securities.
ADDITIONAL INVESTMENT INFORMATION |
JOINT REPURCHASE AGREEMENT ACCOUNT I— At June 30, 2005, the Portfolio had an undivided interest in the following Joint Repurchase Agreement Account I which equaled $951,900,000 in principal amount.
Principal | Interest | Maturity | Maturity | |||||||||||||
Repurchase Agreements | Amount | Rate | Date | Value | ||||||||||||
ABN AMRO, Inc. | $ | 1,200,000,000 | 2.90 | % | 07/01/2005 | $ | 1,200,096,667 | |||||||||
Banc of America Securities LLC | 400,000,000 | 2.87 | 07/01/2005 | 400,031,889 | ||||||||||||
Deutsche Bank Securities, Inc. | 500,000,000 | 2.98 | 07/01/2005 | 500,041,389 | ||||||||||||
Greenwich Capital Markets | 200,000,000 | 2.90 | 07/01/2005 | 200,016,111 | ||||||||||||
J.P. Morgan Securities, Inc. | 500,000,000 | 2.85 | 07/01/2005 | 500,039,583 | ||||||||||||
Merrill Lynch | 400,000,000 | 2.75 | 07/01/2005 | 400,030,556 | ||||||||||||
Morgan Stanley & Co. | 1,199,800,000 | 2.90 | 07/01/2005 | 1,199,896,650 | ||||||||||||
UBS Securities LLC | 1,100,000,000 | 2.98 | 07/01/2005 | 1,100,091,056 | ||||||||||||
TOTAL | $ | 5,499,800,000 | $ | 5,500,243,901 | ||||||||||||
At June 30, 2005, the Joint Repurchase Agreement Account I was fully collateralized by U.S. Treasury Bills, 0.00%, due 07/14/2005 to 12/29/05; U.S. Treasury Bonds, 10.37% to 13.88%, due 05/15/2011 to 02/15/2015; U.S. Treasury Bonds Callable, 0.00% to 14.00%, due 11/15/2010 to 11/15/2014; U.S. Treasury Interest-Only Stripped Securities, 0.00%, due 08/15/2005 to 05/15/2015; U.S. Treasury Notes, 1.50% to 6.88%, due 07/31/2005 to 05/15/2015 and U.S. Treasury Principal-Only Stripped Securities, 0.00% to 11.25%, due 08/15/2005 to 02/15/2015. |
Statement of Investments
Principal | Interest | Maturity | Amortized | |||||||||||
Amount | Rate | Date | Cost | |||||||||||
U.S. Treasury Obligations— 100.2% | ||||||||||||||
United States Treasury Bills | ||||||||||||||
$ | 12,000,000 | 2.70 | % | 07/07/2005 | $ | 11,994,600 | ||||||||
70,000,000 | 2.73 | 07/07/2005 | 69,968,150 | |||||||||||
60,100,000 | 2.74 | 07/07/2005 | 60,072,604 | |||||||||||
50,000,000 | 2.72 | 07/14/2005 | 49,950,979 | |||||||||||
2,300,000 | 2.83 | 07/14/2005 | 2,297,650 | |||||||||||
5,000,000 | 2.90 | 07/21/2005 | 4,991,945 | |||||||||||
35,000,000 | 2.87 | 07/28/2005 | 34,924,663 | |||||||||||
50,000,000 | 2.90 | 07/28/2005 | 49,891,438 | |||||||||||
1,400,000 | 2.75 | 08/11/2005 | 1,395,615 | |||||||||||
25,000,000 | 2.81 | 08/11/2005 | 24,920,135 | |||||||||||
5,000,000 | 2.82 | 08/11/2005 | 4,983,970 | |||||||||||
10,000,000 | 2.83 | 08/11/2005 | 9,967,826 | |||||||||||
23,100,000 | 2.83 | 08/18/2005 | 23,012,836 | |||||||||||
55,000,000 | 2.94 | 09/08/2005 | 54,690,075 | |||||||||||
100,000,000 | 2.95 | 09/08/2005 | 99,435,542 | |||||||||||
1,000,000 | 2.96 | 09/22/2005 | 993,187 | |||||||||||
20,000,000 | 2.97 | 09/22/2005 | 19,863,050 | |||||||||||
1,400,000 | 2.99 | 09/22/2005 | 1,390,341 | |||||||||||
37,300,000 | 3.00 | 09/22/2005 | 37,042,008 | |||||||||||
20,000,000 | 3.04 | 09/22/2005 | 19,860,053 | |||||||||||
Total U.S. Treasury Obligations | $ | 581,646,667 | ||||||||||||
Total Investments— 100.2% | $ | 581,646,667 | ||||||||||||
Interest rates represent the annualized yield on date of purchase for discounted securities.
Principal | Interest | Maturity | Amortized | |||||||||||
Amount | Rate | Date | Cost | |||||||||||
U.S. Government Agency Obligations—97.6% | ||||||||||||||
Federal Farm Credit Bank | ||||||||||||||
$ | 25,000,000 | 2.50 | % | 07/01/2005 | $ | 25,000,000 | ||||||||
18,000,000 | 3.00 | (a) | 07/01/2005 | 17,999,075 | ||||||||||
80,000,000 | 3.01 | (a) | 07/01/2005 | 79,987,993 | ||||||||||
25,000,000 | 3.04 | (a) | 07/01/2005 | 24,999,711 | ||||||||||
100,000,000 | 3.27 | (a) | 07/01/2005 | 99,992,456 | ||||||||||
30,000,000 | 3.05 | (a) | 07/02/2005 | 29,997,531 | ||||||||||
5,000,000 | 3.05 | (a) | 07/04/2005 | 4,999,547 | ||||||||||
30,000,000 | 3.07 | (a) | 07/04/2005 | 29,994,786 | ||||||||||
10,000,000 | 3.10 | 07/08/2005 | 9,993,972 | |||||||||||
20,000,000 | 3.12 | 07/11/2005 | 19,982,667 | |||||||||||
50,000,000 | 3.12 | (a) | 07/11/2005 | 50,000,000 | ||||||||||
25,000,000 | 3.13 | 07/12/2005 | 24,976,090 | |||||||||||
20,000,000 | 3.13 | (a) | 07/12/2005 | 19,997,308 | ||||||||||
25,000,000 | 3.13 | 07/14/2005 | 24,971,743 | |||||||||||
15,000,000 | 3.13 | 07/15/2005 | 14,981,742 | |||||||||||
9,650,000 | 3.15 | 07/15/2005 | 9,638,179 | |||||||||||
12,500,000 | 3.14 | (a) | 07/17/2005 | 12,497,790 | ||||||||||
25,000,000 | 3.17 | (a) | 07/17/2005 | 24,998,225 | ||||||||||
12,500,000 | 3.16 | (a) | 07/20/2005 | 12,497,882 | ||||||||||
40,000,000 | 3.20 | (a) | 07/22/2005 | 39,992,675 | ||||||||||
10,000,000 | 2.99 | 01/11/2006 | 9,969,071 | |||||||||||
Federal Home Loan Bank | ||||||||||||||
110,000,000 | 2.60 | 07/01/2005 | 110,000,000 | |||||||||||
50,000,000 | 2.65 | 07/01/2005 | 50,000,000 | |||||||||||
50,000,000 | 2.85 | 07/01/2005 | 50,000,000 | |||||||||||
25,000,000 | 2.95 | 07/01/2005 | 25,000,000 | |||||||||||
40,000,000 | 3.15 | 07/01/2005 | 40,000,000 | |||||||||||
30,000,000 | 3.01 | (a) | 07/03/2005 | 29,996,122 | ||||||||||
80,000,000 | 3.00 | (a) | 07/05/2005 | 79,987,669 | ||||||||||
8,150,000 | 3.08 | 07/13/2005 | 8,141,633 | |||||||||||
32,700,000 | 3.09 | 07/13/2005 | 32,666,319 | |||||||||||
12,000,000 | 3.15 | 07/15/2005 | 11,985,300 | |||||||||||
48,000,000 | 3.17 | 07/15/2005 | 47,940,827 | |||||||||||
26,100,000 | 2.95 | 07/20/2005 | 26,059,364 | |||||||||||
25,000,000 | 3.16 | (a) | 07/21/2005 | 24,983,032 | ||||||||||
5,700,000 | 3.18 | 07/22/2005 | 5,689,427 | |||||||||||
50,441,000 | 3.21 | 07/27/2005 | 50,324,061 | |||||||||||
50,000,000 | 3.21 | (b) | 07/29/2005 | 49,875,556 | ||||||||||
50,000,000 | 3.22 | (b) | 07/29/2005 | 49,875,167 | ||||||||||
100,000,000 | 3.10 | (a) | 08/02/2005 | 99,957,657 | ||||||||||
10,000,000 | 3.08 | 08/03/2005 | 9,971,767 | |||||||||||
40,000,000 | 3.08 | 08/10/2005 | 39,863,111 | |||||||||||
75,000,000 | 3.21 | 08/10/2005 | 74,732,500 | |||||||||||
25,000,000 | 3.15 | (a) | 08/16/2005 | 24,985,816 | ||||||||||
25,000,000 | 2.85 | 08/17/2005 | 24,906,979 | |||||||||||
100,000,000 | 3.11 | 08/17/2005 | 99,594,299 | |||||||||||
50,000,000 | 3.15 | 08/24/2005 | 49,764,125 | |||||||||||
25,000,000 | 3.14 | 08/26/2005 | 24,877,889 | |||||||||||
100,000,000 | 3.17 | (a) | 08/26/2005 | 99,991,400 | ||||||||||
30,000,000 | 3.21 | (a) | 09/01/2005 | 29,982,231 | ||||||||||
50,000,000 | 3.16 | 09/02/2005 | 49,723,500 | |||||||||||
28,000,000 | 3.27 | (a) | 09/13/2005 | 27,981,520 | ||||||||||
50,000,000 | 3.12 | 09/14/2005 | 49,675,000 | |||||||||||
25,000,000 | 3.25 | 09/14/2005 | 24,830,990 | |||||||||||
20,000,000 | 3.29 | (a) | 09/15/2005 | 19,988,222 | ||||||||||
35,000,000 | 3.14 | 09/16/2005 | 34,764,936 | |||||||||||
21,000,000 | 3.14 | 09/21/2005 | 20,850,043 | |||||||||||
40,000,000 | 3.31 | 09/21/2005 | 39,698,422 | |||||||||||
8,800,000 | 3.35 | 09/28/2005 | 8,727,119 | |||||||||||
25,000,000 | 3.36 | (a) | 09/28/2005 | 24,990,751 | ||||||||||
25,000,000 | 3.36 | (a) | 09/29/2005 | 24,980,825 | ||||||||||
13,000,000 | 3.18 | 10/07/2005 | 12,887,463 | |||||||||||
25,000,000 | 3.21 | 10/12/2005 | 24,770,396 | |||||||||||
15,000,000 | 3.22 | 10/12/2005 | 14,861,808 | |||||||||||
4,802,000 | 3.25 | 10/21/2005 | 4,753,446 | |||||||||||
20,000,000 | 2.38 | 11/04/2005 | 19,977,227 | |||||||||||
14,000,000 | 2.21 | 02/27/2006 | 13,866,053 | |||||||||||
14,000,000 | 5.13 | 03/06/2006 | 14,137,105 | |||||||||||
17,450,000 | 2.50 | 03/13/2006 | 17,306,367 | |||||||||||
12,990,000 | 5.38 | 05/15/2006 | 13,176,399 | |||||||||||
Total U.S. Government Agency Obligations | $ | 2,320,568,286 | ||||||||||||
U.S. Treasury Obligation— 1.3% | ||||||||||||||
United States Treasury Bills | ||||||||||||||
$ | 30,000,000 | 2.90 | % | 07/21/2005 | $ | 29,951,667 | ||||||||
Total Investments— 98.9% | $ | 2,350,519,953 | ||||||||||||
(a) | Variable or floating rate security index is based on either LIBOR or Prime lending rate. | |
(b) | All or portion represents a forward commitment. |
Interest rates represent either the stated coupon rate, annualized yield on date of purchase for discounted securities, or, for floating rate securities, the current reset rate, which is based upon current interest rate indices.
Maturity dates represent either the stated date on the security or the next interest reset date for floating rate securities.
Principal | Interest | Maturity | Amortized | |||||||||||
Amount | Rate | Date | Cost | |||||||||||
Alabama—2.4% | ||||||||||||||
Birmingham GO VRDN Capital Improvement Series 1998 A (Regions Bank LOC) (A-1/ VMIG1) | ||||||||||||||
$ | 2,680,000 | 2.30 | % | 07/07/2005 | $ | 2,680,000 | ||||||||
Birmingham GO VRDN Capital Improvement Series 2004 A (AMBAC) (Southtrust Bank N.A. SPA) (A-1+/ P-1) | ||||||||||||||
4,840,000 | 2.39 | 07/06/2005 | 4,840,000 | |||||||||||
Columbia IDB VRDN PCRB Refunding for Alabama Power Co. Project Series 1996 A (A-1/ VMIG1) | ||||||||||||||
9,300,000 | 2.30 | 07/01/2005 | 9,300,000 | |||||||||||
Columbia IDB VRDN PCRB Refunding for Alabama Power Co. Project Series 1999 B (A-1/ VMIG1) | ||||||||||||||
10,600,000 | 2.30 | 07/01/2005 | 10,600,000 | |||||||||||
Mobile City IDB VRDN PCRB for Alabama Power Co. Project Series 1993 A (A-1/ VMIG1) | ||||||||||||||
7,000,000 | 2.32 | 07/07/2005 | 7,000,000 | |||||||||||
Mobile City IDB VRDN PCRB Refunding for Alabama Power Co. Project Series 1994 (A-1/ VMIG1) | ||||||||||||||
5,400,000 | 2.30 | 07/01/2005 | 5,400,000 | |||||||||||
Montgomery IDB VRDN PCRB Refunding for General Electric Co. Project Series 2005 (A-1+/ VMIG1) | ||||||||||||||
2,100,000 | 2.35 | 07/01/2005 | 2,100,000 | |||||||||||
University of Alabama VRDN RB Series 2004 C (MBIA) (Southtrust Bank N.A. SPA) (A-1+/ VMIG1) | ||||||||||||||
3,980,000 | 2.29 | 07/07/2005 | 3,980,000 | |||||||||||
West Jefferson IDB VRDN PCRB Refunding for Alabama Power Co. Project Series 1998 (A-1/ VMIG1) | ||||||||||||||
3,900,000 | 2.38 | 07/01/2005 | 3,900,000 | |||||||||||
$ | 49,800,000 | |||||||||||||
Alaska—1.0% | ||||||||||||||
Alaska State Housing Finance Corp. VRDN RB for Housing Development Series 2000 B (A-1+/ VMIG1) | ||||||||||||||
$ | 6,405,000 | 2.30 | % | 07/06/2005 | $ | 6,405,000 | ||||||||
Alaska State Housing Finance Corp. VRDN RB Spears Series 2005 DB-131 (FGIC) (Deutsche Bank A.G.) (A-1+)(a) | ||||||||||||||
4,975,000 | 2.31 | 07/07/2005 | 4,975,000 | |||||||||||
Alaska State Housing Finance Corp. VRDN RB Spears Series 2005 DB-140 (MBIA) (Deutsche Bank) (F1+)(a) | ||||||||||||||
10,685,000 | 2.31 | 07/07/2005 | 10,685,000 | |||||||||||
$ | 22,065,000 | |||||||||||||
Arizona—0.4% | ||||||||||||||
Arizona School Facilities Board VRDN COPS Putters Series 2005-940 (MBIA) (JP Morgan Chase & Co.) (A-1+)(a) | ||||||||||||||
4,900,000 | 2.32 | 07/07/2005 | 4,900,000 | |||||||||||
Arizona School Facilities Board VRDN COPS ROCS RR-II-R 7001 Series 2005 (FGIC) (Citibank N.A.) (A-1+/ VMIG1)(a) | ||||||||||||||
4,000,000 | 2.32 | 07/07/2005 | 4,000,000 | |||||||||||
$ | 8,900,000 | |||||||||||||
California—2.1% | ||||||||||||||
California Statewide Communities Development Authority RB Series 2005 A-4 (SP-1+/ MIG1) | ||||||||||||||
$ | 11,500,000 | 4.00 | % | 06/30/2006 | $ | 11,654,215 | ||||||||
Los Angeles County TRANS Series 2005 A (SP-1+/ MIG1) | ||||||||||||||
3,500,000 | 4.00 | 06/30/2006 | 3,549,665 | |||||||||||
Los Angeles Department of Water & Power VRDN RB for Power System Subseries 2002 A-8 (National Australia Bank, Lloyds TSB Bank PLC and Fortis Bank) (A-1+/ VMIG1) | ||||||||||||||
2,600,000 | 2.27 | 07/07/2005 | 2,600,000 | |||||||||||
Los Angeles Unified School District GO VRDN Merlots Series 2003 B12 (MBIA) (Wachovia Bank N.A. SPA) (VMIG1)(a)(b) | ||||||||||||||
3,980,000 | 2.31 | 07/06/2005 | 3,980,000 | |||||||||||
Sacramento County TRANS Series 2004 A (SP-1+/ MIG1) | ||||||||||||||
2,000,000 | 3.00 | 07/11/2005 | 2,000,727 | |||||||||||
Sacramento County TRANS Series 2005 A (SP-1+/ MIG1) | ||||||||||||||
16,000,000 | 4.00 | 07/10/2006 | 16,233,280 | |||||||||||
San Diego County Regional Transportation Commission CP Series 2003 A (JP Morgan Chase & Co. SPA) (A-1+/ P-1) | ||||||||||||||
4,389,000 | 2.37 | 07/12/2005 | 4,389,000 | |||||||||||
$ | 44,406,887 | |||||||||||||
Colorado—2.5% | ||||||||||||||
Colorado Department of Transportation VRDN RB Series 2005-1009 (FGIC) ( Morgan Stanley) (F1+)(a) | ||||||||||||||
$ | 9,462,500 | 2.31 | % | 07/07/2005 | $ | 9,462,500 | ||||||||
Colorado Health Facilities Authority VRDN RB Refunding for Catholic Health Series 2004 B-1 (Bayerische Landesbank SPA) (A-1+/ VMIG1) | ||||||||||||||
9,220,000 | 2.25 | 07/06/2005 | 9,220,000 | |||||||||||
Colorado Health Facilities Authority VRDN RB Refunding for Catholic Health Series 2004 B-2 (Bayerische Landesbank SPA) (A-1+/ VMIG1) | ||||||||||||||
9,870,000 | 2.32 | 07/06/2005 | 9,870,000 |
Principal | Interest | Maturity | Amortized | |||||||||||
Amount | Rate | Date | Cost | |||||||||||
Colorado (continued) | ||||||||||||||
Colorado Health Facilities Authority VRDN RB Refunding for Catholic Health Series 2004 B-4 (Wells Fargo Bank N.A. SPA) (A-1+/ VMIG1) | ||||||||||||||
$ | 7,955,000 | 2.25 | % | 07/06/2005 | $ | 7,955,000 | ||||||||
Colorado Regional Transportation District CP Series 2001 A (Westdeutsche Landesbank LOC) (A-1+) | ||||||||||||||
8,500,000 | 2.30 | 08/08/2005 | 8,500,000 | |||||||||||
Colorado State General Fund TRANS Series 2005 (SP-1+/ MIG1) | ||||||||||||||
5,000,000 | 3.75 | 06/27/2006 | 5,053,450 | |||||||||||
Denver City & County VRDN P-Floats-PT-2043 Series 2003 (Merrill Lynch Capital Services SPA) (A-1)(a) | ||||||||||||||
3,485,000 | 2.31 | 07/07/2005 | 3,485,000 | |||||||||||
$ | 53,545,950 | |||||||||||||
Connecticut—0.2% | ||||||||||||||
Connecticut State Health & Educational Facilities Authority VRDN RB Eagle Tax Exempt Trust Series 2002-6027 Class A (Citibank N.A.) (A-1+)(a) | ||||||||||||||
$ | 4,000,000 | 2.32 | % | 07/07/2005 | $ | 4,000,000 | ||||||||
Florida—4.5% | ||||||||||||||
Broward County GO VRDN Merlots Series 2004 B09 (Wachovia Bank N.A. SPA) (A-1)(a)(b) | ||||||||||||||
$ | 5,620,000 | 2.32 | % | 07/06/2005 | $ | 5,620,000 | ||||||||
Broward County Housing Finance Authority VRDN MF Hsg. RB for Sanctuary Apartments Project Series 1985 (FNMA) (VMIG1) | ||||||||||||||
5,500,000 | 2.39 | 07/07/2005 | 5,500,000 | |||||||||||
Broward County Housing Finance Authority VRDN MF Hsg. RB Refunding for Island Club Apartments Series 2001 A (FHLMC) (A-1+) | ||||||||||||||
2,500,000 | 2.28 | 07/07/2005 | 2,500,000 | |||||||||||
Florida Local Government Pooled CP (Wachovia Bank N.A. LOC) (A-1) | ||||||||||||||
5,000,000 | 2.55 | 09/12/2005 | 5,000,000 | |||||||||||
Florida State Department Transportation Turnpike VRDN RB Series 2005-1128 (Morgan Stanley SPA) (VMIG1)(a) | ||||||||||||||
5,211,000 | 2.31 | 07/07/2005 | 5,211,000 | |||||||||||
Jacksonville Electric Authority CP Series 2000 A (Westdeutsche Landesbank SPA) (A-1+) | ||||||||||||||
6,500,000 | 2.90 | 07/14/2005 | 6,500,000 | |||||||||||
Jacksonville Electric Authority CP Series 2000 S-B (Landesbank Hessen-Thueringen SPA) (A-1+) | ||||||||||||||
9,000,000 | 2.90 | 07/11/2005 | 9,000,000 | |||||||||||
Jacksonville Electric Authority CP Series 2001 C (Dexia Credit Local SPA) (A-1+) | ||||||||||||||
5,000,000 | 2.02 | 07/19/2005 | 5,000,000 | |||||||||||
Jacksonville Electric Authority VRDN RB Subordinated Electric System Series 2001 B (Bank of America N.A. SPA) (A-1/VMIG1) | ||||||||||||||
8,450,000 | 2.30 | 07/01/2005 | 8,450,000 | |||||||||||
Jacksonville Electric Authority Water & Sewer Systems VRDN RB P-Floats-PT 2173 Series 2004 (FGIC) (Merrill Lynch Capital Services SPA) (F1+)(a) | ||||||||||||||
4,180,000 | 2.31 | 07/07/2005 | 4,180,000 | |||||||||||
Kissimmee Utility Authority CP (JP Morgan Chase & Co. SPA) (P-1) | ||||||||||||||
7,500,000 | 2.48 | 07/06/2005 | 7,500,000 | |||||||||||
Lakeland Energy System VRDN RB Refunding Series 2003 (SunTrust Bank SPA) (A-1+/ VMIG1) | ||||||||||||||
6,500,000 | 2.31 | 07/06/2005 | 6,500,000 | |||||||||||
Orange County Educational Facilities Authority VRDN RB for Rollins College Project Series 2001 (Bank of America N.A. LOC) (VMIG1) | ||||||||||||||
3,305,000 | 2.28 | 07/01/2005 | 3,305,000 | |||||||||||
Orange County School Board VRDN ROCS RR-II-R 2182 Refunding Series 2005 (AMBAC) (Citigroup Global Markets) (A-1+/ VMIG1)(a) | ||||||||||||||
7,600,000 | 2.32 | 07/07/2005 | 7,600,000 | |||||||||||
Orlando Utilities Commission VRDN RB Refunding Eagle Tax-Exempt Trust Series 2004-1015 Class A (Citibank N.A. SPA) (A-1+)(a) | ||||||||||||||
5,000,000 | 2.32 | 07/07/2005 | 5,000,000 | |||||||||||
Palm Beach County School District CP Series 2005 (A-1+) | ||||||||||||||
4,400,000 | 2.45 | 09/12/2005 | 4,400,000 | |||||||||||
2,000,000 | 2.65 | 09/12/2005 | 2,000,000 | |||||||||||
Sunshine State Government Finance CP Series 2005 H (JP Morgan SPA) (A-1+) | ||||||||||||||
2,510,000 | 2.88 | 08/12/2005 | 2,510,000 | |||||||||||
$ | 95,776,000 | |||||||||||||
Georgia—2.8% | ||||||||||||||
Burke County Development Authority VRDN PCRB for Georgia Power Co. Plant Vogtle Series 1992 (A-1/ VMIG1) | ||||||||||||||
$ | 2,500,000 | 2.28 | % | 07/01/2005 | $ | 2,500,000 | ||||||||
Dekalb County Hospital Authority Anticipation Certificates VRDN RB for Dekalb Medical Center, Inc. Project Series 2005 (SunTrust Bank LOC) (VMIG1) | ||||||||||||||
3,310,000 | 2.29 | 07/06/2005 | 3,310,000 | |||||||||||
Dekalb County Water & Sewer Systems VRDN RB Series 2005-1003 (Morgan Stanley) (A-1)(a) | ||||||||||||||
18,306,000 | 2.31 | 07/07/2005 | 18,306,000 |
Principal | Interest | Maturity | Amortized | |||||||||||
Amount | Rate | Date | Cost | |||||||||||
Georgia (continued) | ||||||||||||||
Fulco Hospital Authority VRDN RANS for Peidmont Hospital Project Series 1999 (SunTrust Bank LOC) (A-1+/ VMIG1) | ||||||||||||||
$ | 8,255,000 | 2.28 | % | 07/06/2005 | $ | 8,255,000 | ||||||||
Fulton Hospital Authority VRDN RB P-Floats-PT 093 Series 2005 (FSA) (Merrill Lynch Capital Services SPA) (F1+)(a) | ||||||||||||||
5,000,000 | 2.31 | 07/07/2005 | 5,000,000 | |||||||||||
Georgia State GO VRDN P-Floats-PT 2227 Series 2004 (Merrill Lynch Capital Services SPA) (F1+)(a)(b) | ||||||||||||||
9,465,000 | 2.31 | 07/07/2005 | 9,465,000 | |||||||||||
Municipal Electric Authority of Georgia Project One CP Series 1997 B (Bayerische Landesbank, Wachovia Bank N.A. and Westdeutsche Landesbank SPA) (A-1+) | ||||||||||||||
5,000,000 | 2.45 | 07/13/2005 | 5,000,000 | |||||||||||
Putnam County Development Authority VRDN PCRB for Georgia Power Co. Pollution Branch Project Series 1998 (A-1) | ||||||||||||||
5,000,000 | 2.28 | 07/01/2005 | 5,000,000 | |||||||||||
Savannah Economic Development Authority VRDN PCRB Refunding for Savannah Electric & Power Project Series 1993 (A-1/ VMIG1) | ||||||||||||||
1,300,000 | 2.28 | 07/01/2005 | 1,300,000 | |||||||||||
$ | 58,136,000 | |||||||||||||
Hawaii—0.3% | ||||||||||||||
Honolulu City & County GO VRDN Spears Series 2005 DB-155 (MBIA) (Deutsche Bank Trust Company SPA) (F1+)(a) | ||||||||||||||
$ | 7,000,000 | 2.31 | % | 07/07/2005 | $ | 7,000,000 | ||||||||
Illinois—8.5% | ||||||||||||||
Chicago GO Tender Notes Series 2005 (Bank of America N.A. LOC) (SP-1+/ VMIG1) | ||||||||||||||
$ | 4,000,000 | 2.30 | % | 12/08/2005 | $ | 4,000,000 | ||||||||
Chicago GO VRDN Series 2002 B (FGIC) (Landesbank-Baden Wurttemberg SPA) (A-1+/ VMIG1) | ||||||||||||||
6,000,000 | 2.30 | 07/07/2005 | 6,000,000 | |||||||||||
Chicago VRDN Merlots Series 2003 A43 (AMBAC) (Wachovia Bank N.A. SPA) (VMIG1)(a) | ||||||||||||||
6,995,000 | 2.32 | 07/06/2005 | 6,995,000 | |||||||||||
Chicago Wastewater Transmission VRDN RB Merlots Series 2001 A 125 (MBIA) (Wachovia Bank N.A. SPA) (VMIG1)(a) | ||||||||||||||
1,000,000 | 2.32 | 07/06/2005 | 1,000,000 | |||||||||||
Cook County GO VRDN Capital Improvement Series 2002 B (Landesbank Hessen-Thueringen LOC) (A-1+/ VMIG1) | ||||||||||||||
26,000,000 | 2.29 | 07/07/2005 | 26,000,000 | |||||||||||
Cook County GO VRDN P-Floats-PT 2574 Series 2005 (AMBAC) (Merrill Lynch Capital Services SPA) (A-1)(a) | ||||||||||||||
5,410,000 | 2.31 | 07/07/2005 | 5,410,000 | |||||||||||
Cook County Munitops Certificate Trust GO VRDN Non-AMT Series 2004-47 (MBIA) (ABN AMRO Bank N.V. SPA) (VMIG1)(a) | ||||||||||||||
4,000,000 | 2.34 | 07/07/2005 | 4,000,000 | |||||||||||
Evanston GO VRDN for Recreation Center Project Series 2000 C (Bank of America N.A. SPA) (VMIG1) | ||||||||||||||
5,000,000 | 2.29 | 07/07/2005 | 5,000,000 | |||||||||||
Illinois Development Finance Authority VRDN RB for Bradley University Project Series 2002 (FGIC) (National City Bank SPA) (A-1) | ||||||||||||||
3,880,000 | 2.31 | 07/07/2005 | 3,880,000 | |||||||||||
Illinois Finance Authority VRDN RB for Ressurection Health Series 2005 C (Lasalle Bank N.A. LOC) (A-1/ VMIG1) | ||||||||||||||
5,000,000 | 2.21 | 07/07/2005 | 5,000,000 | |||||||||||
Illinois Finance Authority VRDN RB for University of Chicago Series 2004 B (A-1+/ VMIG1) | ||||||||||||||
15,600,000 | 2.22 | 07/07/2005 | 15,600,000 | |||||||||||
Illinois Finance Authority VRDN RB ROCS RR-II-R 6015 Series 2004 (Citibank N.A.) (A-1+)(a) | ||||||||||||||
5,640,000 | 2.32 | 07/07/2005 | 5,640,000 | |||||||||||
Illinois Health Facilities Authority VRDN RB for Riverside Health System Series 2002 B (LaSalle Bank N.A. SPA) (A-1/VMIG1) | ||||||||||||||
4,700,000 | 2.25 | 07/07/2005 | 4,700,000 | |||||||||||
Illinois Health Facilities Authority VRDN RB for The Revolving Fund Pooled Finance Program Series 1985 C (JP Morgan Chase LOC) (A-1+/VMIG1) | ||||||||||||||
3,050,000 | 2.35 | 07/06/2005 | 3,050,000 | |||||||||||
Illinois Health Facilities Authority VRDN RB for The Revolving Fund Pooled Finance Program Series 1985 D (JP Morgan Chase LOC) (A-1+/VMIG1) | ||||||||||||||
12,075,000 | 2.35 | 07/06/2005 | 12,075,000 | |||||||||||
Illinois Health System Evanston Hospital CP Series 2005 S-A (A-1+) | ||||||||||||||
10,800,000 | 2.77 | 10/06/2005 | 10,800,000 | |||||||||||
5,000,000 | 2.60 | 10/20/2005 | 5,000,000 | |||||||||||
Illinois State GO VRDN Eagle Tax-Exempt Trust Series 1996-C-1301 Class A (Citibank N.A. SPA) (A-1+)(a) | ||||||||||||||
4,900,000 | 2.32 | 07/07/2005 | 4,900,000 | |||||||||||
Illinois State GO VRDN P-Floats-PT 1832 Series 2003 (FSA) (Merrill Lynch Capital Services SPA) (F1+)(a) | ||||||||||||||
4,215,000 | 2.31 | 07/07/2005 | 4,215,000 | |||||||||||
Illinois State GO VRDN ROCS RR-II-R 4529 Series 2003 (MBIA) (Citigroup Global Markets SPA) (A-1+)(a)(c) | ||||||||||||||
1,995,000 | 1.70 | 07/01/2005 | 1,995,000 |
Principal | Interest | Maturity | Amortized | |||||||||||
Amount | Rate | Date | Cost | |||||||||||
Illinois (continued) | ||||||||||||||
Illinois State GO VRDN Series 2003 B (Depfa Bank PLC SPA) (A-1+/ VMIG1) | ||||||||||||||
$ | 5,500,000 | 2.40 | % | 07/06/2005 | $ | 5,500,000 | ||||||||
Illinois State Sales Tax Revenue P-Floats-PT 1929 Series 2003 (Merrill Lynch Capital Services SPA) (F1+)(a) | ||||||||||||||
3,960,000 | 2.31 | 07/07/2005 | 3,960,000 | |||||||||||
Illinois State Sales Tax Revenue P-Floats-PT 896 Series 2003 (Merrill Lynch Capital Services SPA) (F1+)(a) | ||||||||||||||
4,100,000 | 2.31 | 07/07/2005 | 4,100,000 | |||||||||||
Regional Transportation Authority GO VRDN P-Floats-PT 2394 Series 2004 (FGIC) (Dexia Credit Local SPA) (A-1)(a) | ||||||||||||||
3,995,000 | 2.31 | 07/07/2005 | 3,995,000 | |||||||||||
Regional Transportation Authority VRDN RB P-Floats-PT 2424 Series 2004 (FSA) (Merrill Lynch Capital Services SPA) (F1+)(a) | ||||||||||||||
4,500,000 | 2.31 | 07/07/2005 | 4,500,000 | |||||||||||
Regional Transportation Authority VRDN RB Stars Certificates Series 2003 03-21 (FGIC) (BNP Paribas LOC) (VMIG1)(a) | ||||||||||||||
6,000,000 | 2.31 | 07/07/2005 | 6,000,000 | |||||||||||
Regional Transportation Authority VRDN RB Stars Certificates Series 2005 119 (AMBAC) (BNP Paribas LOC) (VMIG1)(a) | ||||||||||||||
9,545,000 | 2.31 | 07/07/2005 | 9,545,000 | |||||||||||
Schaumburg GO VRDN Eagle Tax-Exempt Trust Series 2004-0045 Class A (FGIC) (Citibank N.A.) (A-1+)(a) | ||||||||||||||
6,000,000 | 2.32 | 07/07/2005 | 6,000,000 | |||||||||||
$ | 178,860,000 | |||||||||||||
Indiana—2.3% | ||||||||||||||
ABN AMRO Munitops VRDN RB Non-AMT Trust Certificates (Indiana Bond Bank for Special Program Columbus Learning) Series 2003-21 (MBIA) (ABN AMRO Bank N.V. SPA) (F1+)(a) | ||||||||||||||
$ | 5,000,000 | 2.33 | % | 07/06/2005 | $ | 5,000,000 | ||||||||
ABN AMRO Munitops VRDN RB Non-AMT Trust Certificates (Indiana Transportation Finance Authority) Series 2004-28 (FGIC) (ABN AMRO Bank N.V. SPA) (F1+)(a) | ||||||||||||||
5,000,000 | 2.33 | 07/06/2005 | 5,000,000 | |||||||||||
Indiana Health Facilities Financing Authority RB Refunding for Ascension Health Credit GP-A-3 Series 2001 (A-1+/ VMIG1) | ||||||||||||||
4,000,000 | 2.50 | 02/01/2006 | 4,000,000 | |||||||||||
Indiana Health Facilities Financing Authority VRDN RB for Ascension Health Credit GP-A-2 Series 2001 (A-1+/ VMIG1) | ||||||||||||||
2,300,000 | 2.72 | 06/01/2006 | 2,300,000 | |||||||||||
Indiana TFA Highway VRDN RB Merlots Series 2004 B 18 (FGIC) (Wachovia Bank N.A. SPA) (A-1)(a) | ||||||||||||||
5,105,000 | 2.32 | 07/06/2005 | 5,105,000 | |||||||||||
Indiana TFA Highway VRDN RB P-Floats-PT 2245 Series 2004 (FGIC) (Merrill Lynch Capital Services SPA) (F1+)(a) | ||||||||||||||
5,170,000 | 2.31 | 07/07/2005 | 5,170,000 | |||||||||||
Indiana TFA Highway VRDN RB P-Floats-PT 2296 Series 2004 (FGIC) (Merrill Lynch Capital Services SPA) (F1+)(a) | ||||||||||||||
5,325,000 | 2.31 | 07/07/2005 | 5,325,000 | |||||||||||
Indiana TFA Highway VRDN RB P-Floats-PT 2330 Series 2004 (FGIC) (Merrill Lynch Capital Services SPA) (F1+)(a) | ||||||||||||||
5,530,000 | 2.31 | 07/07/2005 | 5,530,000 | |||||||||||
Noblesville VRDN RB for Multi-School Building Corp. P-Floats-PT 2612 Series 2005 (FGIC) (Merrill Lynch Capital Services) (F1+)(a) | ||||||||||||||
5,230,000 | 2.31 | 07/07/2005 | 5,230,000 | |||||||||||
Wayne Township VRDN RB for School Building Corp. P-Floats-PT 2016 Series 2003 (FGIC) (Merrill Lynch Capital Services SPA) (A-1)(a) | ||||||||||||||
5,225,000 | 2.31 | 07/07/2005 | 5,225,000 | |||||||||||
$ | 47,885,000 | |||||||||||||
Iowa—1.2% | ||||||||||||||
Chillicothe City VRDN PCRB Refunding for Midwest Power Systems, Inc. Series 1993 A (A-1/ VMIG1) | ||||||||||||||
$ | 900,000 | 2.40 | % | 07/06/2005 | $ | 900,000 | ||||||||
Iowa Higher Education Loan Authority VRDN RB for Grinnell Private College Facility (A-1+/ VMIG1) | ||||||||||||||
12,500,000 | 2.27 | 07/07/2005 | 12,500,000 | |||||||||||
Salix City VRDN PCRB for Midwest Power Systems, Inc. Project Series 1993 (A-1/ VMIG1) | ||||||||||||||
12,695,000 | 2.40 | 07/06/2005 | 12,695,000 | |||||||||||
$ | 26,095,000 | |||||||||||||
Kansas—1.1% | ||||||||||||||
ABN-AMRO Munitops VRDN RB Non-AMT Trust Certificates Series 2004-42 (FSA) (ABN AMRO Bank N.V. SPA) (F1+) | ||||||||||||||
$ | 5,000,000 | 2.34 | % | 07/07/2005 | $ | 5,000,000 | ||||||||
Kansas Development Finance Authority VRDN RB ROCS RR-II-R 6518 Series 2005 (Citibank N.A. SPA) (VMIG1)(a) | ||||||||||||||
5,725,000 | 2.32 | 07/07/2005 | 5,725,000 | |||||||||||
Kansas State Department of Highway Transportation VRDN RB Series 2000 C-2 (Kansas State Pooled Money Investment Board) (A-1+/ VMIG1) | ||||||||||||||
12,000,000 | 2.27 | 07/06/2005 | 12,000,000 | |||||||||||
$ | 22,725,000 | |||||||||||||
Kentucky—1.2% | ||||||||||||||
Kentucky Asset/ Liability Commission General Fund TRANS Series 2005 A (SP-1+/ MIG1) | ||||||||||||||
$ | 5,600,000 | 4.00 | % | 06/28/2006 | $ | 5,671,904 | ||||||||
Kentucky Association of Counties TRANS COPS Series 2005 (JP Morgan Chase) (SP-1+) | ||||||||||||||
12,500,000 | 4.00 | 06/30/2006 | 12,651,975 |
Principal | Interest | Maturity | Amortized | |||||||||||
Amount | Rate | Date | Cost | |||||||||||
Kentucky (continued) | ||||||||||||||
Kentucky Economic Development Finance Authority VRDN RB for Catholic Health Services Series 2004 C (A-1+/ VMIG1) | ||||||||||||||
$ | 4,000,000 | 2.32 | % | 07/06/2005 | $ | 4,000,000 | ||||||||
Louisville & Jefferson County COPS Eagle Tax-Exempt Trust Series 2001-1701 Class A (MBIA) (Citibank N.A. SPA) (A-1+)(a) | ||||||||||||||
2,500,000 | 2.32 | 07/07/2005 | 2,500,000 | |||||||||||
$ | 24,823,879 | |||||||||||||
Louisiana—0.9% | ||||||||||||||
Louisiana Offshore Terminal Authority Deepwater Port VRDN RB Refunding for First Stage A Loop LLC Series 1992 (SunTrust Bank LOC) (A-1+/ VMIG1) | ||||||||||||||
$ | 5,000,000 | 2.29 | % | 07/06/2005 | $ | 5,000,000 | ||||||||
New Orleans Aviation Board VRDN RB Refunding Series 1993 B (MBIA) (Dexia Credit Local SPA) (A-1+/VMIG1) | ||||||||||||||
10,000,000 | 2.35 | 07/06/2005 | 10,000,000 | |||||||||||
New Orleans Aviation Board VRDN RB Refunding Series 1995 A (MBIA) (Dexia Credit Local SPA) (A-1+/VMIG1) | ||||||||||||||
4,295,000 | 2.35 | 07/06/2005 | 4,295,000 | |||||||||||
$ | 19,295,000 | |||||||||||||
Maryland—0.6% | ||||||||||||||
Anne Arundel County CP Series 2005 (Westdeutsche Landesbank SPA) (A-1+) | ||||||||||||||
$ | 2,000,000 | 2.40 | % | 08/08/2005 | $ | 2,000,000 | ||||||||
John Hopkins University Health System CP Series B (A-1+) | ||||||||||||||
5,100,000 | 2.00 | 07/20/2005 | 5,100,000 | |||||||||||
University of Maryland System Auxiliary Facility & Tuition VRDN P-Floats-PT 428 Series 2000 (Merrill Lynch Capital Services SPA) (A-1)(a) | ||||||||||||||
4,945,000 | 2.31 | 04/01/2008 | 4,945,000 | |||||||||||
$ | 12,045,000 | |||||||||||||
Massachusetts—4.2% | ||||||||||||||
Massachusetts Bay Transportation Authority VRDN TRANS Merlot Series 2004 B (Wachovia Bank N.A. SPA) (A-1)(a)(b) | ||||||||||||||
$ | 10,925,000 | 2.31 | % | 07/06/2005 | $ | 10,925,000 | ||||||||
Massachusetts Development Finance Agency VRDN RB Refunding for Phillips Academy (Bank of New York SPA) (A-1+/ VMIG1) | ||||||||||||||
13,000,000 | 2.27 | 07/07/2005 | 13,000,000 | |||||||||||
Massachusetts Health & Educational Facilities Harvard University CP Series EE (A-1+) | ||||||||||||||
3,758,000 | 2.05 | 07/21/2005 | 3,758,000 | |||||||||||
4,000,000 | 2.80 | 09/08/2005 | 4,000,000 | |||||||||||
2,550,000 | 2.57 | 10/21/2005 | 2,550,000 | |||||||||||
Massachusetts State GO Prerefunded Construction Loan Series 2004 C (AA/ Aa2) | ||||||||||||||
130,000 | 5.00 | 08/01/2005 | 130,331 | |||||||||||
Massachusetts State GO Unrefunded Balance on Construction Loan Series 2004 C (AA/ Aa2) | ||||||||||||||
3,785,000 | 5.00 | 08/01/2005 | 3,794,637 | |||||||||||
Massachusetts State GO VRDN P-Floats-PT 392 Series 2000 (Merrill Lynch Capital Services SPA) (A-1)(a)(c) | ||||||||||||||
2,500,000 | 2.70 | 07/07/2005 | 2,500,000 | |||||||||||
Massachusetts State GO VRDN Series 1998 A (Westdeutsche Landesbank AG SPA) (A-1+/ VMIG1) | ||||||||||||||
8,500,000 | 2.22 | 07/06/2005 | 8,500,000 | |||||||||||
Massachusetts State GO VRDN Series 1998 B (Depfa Bank PLC SPA) (A-1+/ VMIG1) | ||||||||||||||
22,400,000 | 2.22 | 07/07/2005 | 22,400,000 | |||||||||||
Massachusetts State Health & Educational Facilities Authority VRDN RB for Partners Healthcare System Series 2005 F4 (Bank of America N.A. SPA) (A-1+/ VMIG1) | ||||||||||||||
14,300,000 | 2.28 | 07/07/2005 | 14,300,000 | |||||||||||
Massachusetts Water Resources Authority CP Series S-94 (Bayersiche Landesbank LOC) (A-1+/ P-1) | ||||||||||||||
3,500,000 | 2.15 | 07/22/2005 | 3,500,000 | |||||||||||
$ | 89,357,968 | |||||||||||||
Michigan—3.8% | ||||||||||||||
Detroit City School District GO VRDN P-Floats-PT 2158 Series 2004 (FGIC) (Merrill Lynch Capital Services SPA) (F1+)(a) | ||||||||||||||
$ | 4,460,000 | 2.31 | % | 07/07/2005 | $ | 4,460,000 | ||||||||
Detroit Water Supply System VRDN RB Refunding Second Lien Series 2004 A (MBIA) (Dexia Credit Local SPA) (VMIG1) | ||||||||||||||
15,000,000 | 2.30 | 07/07/2005 | 15,000,000 | |||||||||||
Detroit Water Supply System VRDN RB Refunding Senior Lien Series 2004 B (MBIA) (Dexia Credit Local SPA) (VMIG1) | ||||||||||||||
5,000,000 | 2.30 | 07/07/2005 | 5,000,000 | |||||||||||
Michigan Municipal Bond Authority RANS Series 2004 B-1 (SP-1+) | ||||||||||||||
4,000,000 | 3.00 | 08/19/2005 | 4,007,663 | |||||||||||
Michigan Municipal Bond Authority VRDN P-Floats-PT 396 Series 2000 (BNP Paribas SPA) (A-1+) (a) | ||||||||||||||
8,600,000 | 2.31 | 07/07/2005 | 8,600,000 |
Principal | Interest | Maturity | Amortized | |||||||||||
Amount | Rate | Date | Cost | |||||||||||
Michigan (continued) | ||||||||||||||
Michigan State Building Authority VRDN RB P-Floats-PT 398 Series 2000 (BNP Paribas SPA) (A-1+)(a) | ||||||||||||||
$ | 6,600,000 | 2.31 | % | 04/15/2005 | $ | 6,600,000 | ||||||||
Michigan State CP Series 2004-A (JP Morgan Chase & Co. LOC) (Depfa Bank PLC SPA) (A-1+) | ||||||||||||||
3,500,000 | 2.67 | 10/04/2005 | 3,500,000 | |||||||||||
15,000,000 | 2.20 | 10/05/2005 | 15,000,000 | |||||||||||
Michigan State GO Series 2004-A (JP Morgan Chase & Co. LOC) (Depfa Bank PLC SPA) (SP-1+/ MIG1) | ||||||||||||||
10,000,000 | 3.50 | 09/30/2005 | 10,036,779 | |||||||||||
Michigan State University VRDN RB Series 2005 (Landesbank Hessen-Thueringen SPA) (A-1+/ VMIG1) | ||||||||||||||
3,500,000 | 2.22 | 07/06/2005 | 3,500,000 | |||||||||||
University of Michigan Hospital VRDN RB Series 2005 B (A-1+/ VMIG1) | ||||||||||||||
5,000,000 | 2.21 | 07/07/2005 | 5,000,000 | |||||||||||
$ | 80,704,442 | |||||||||||||
Minnesota—1.3% | ||||||||||||||
Minnesota State Higher Education Facilities VRDN RB for Carleton College Series 2005 D (Wells Fargo Bank N.A. SPA) (VMIG1) | ||||||||||||||
$ | 9,000,000 | 2.25 | % | 07/07/2005 | $ | 9,000,000 | ||||||||
Minnesota State P-Floats-PT 1941 Series 2003 (Merrill Lynch Capital Services SPA) (F1+)(a) | ||||||||||||||
5,000,000 | 2.31 | 07/07/2005 | 5,000,000 | |||||||||||
Rochester Mayo Medical Center CP Series 2000 B (U.S. Bank National SPA) (SP-1+) | ||||||||||||||
3,000,000 | 2.50 | 08/22/2005 | 3,000,000 | |||||||||||
University of Minnesota VRDN RB Series 1999 A (Landesbank Hessen-Thueringen SPA) (A-1+/ VMIG1) | ||||||||||||||
10,550,000 | 2.43 | 07/06/2005 | 10,550,000 | |||||||||||
$ | 27,550,000 | |||||||||||||
Mississippi—1.8% | ||||||||||||||
Mississippi Development Bank Special Obligation VRDN RB for Municipal Gas Authority Natural Gas Project Series 2005 (Societe Generale SPA) (A-1+/ VMIG1) | ||||||||||||||
$ | 5,000,000 | 2.29 | % | 07/07/2005 | $ | 5,000,000 | ||||||||
Mississippi State GO VRDN Eagle Tax-Exempt Trust Series 2001-2402 Class A (Citibank N.A. SPA) (A-1+)(a) | ||||||||||||||
10,655,000 | 2.32 | 07/07/2005 | 10,655,000 | |||||||||||
Mississippi State GO VRDN for Capital Improvements Series 2003 E (Dexia Credit Local SPA) (A-1+/VMIG1) | ||||||||||||||
11,750,000 | 2.35 | 07/06/2005 | 11,750,000 | |||||||||||
Mississippi State GO VRDN Merlots Series 2003 B08 (FSA) (Wachovia Bank N.A. SPA) (VMIG1)(a) | ||||||||||||||
4,985,000 | 2.32 | 07/06/2005 | 4,985,000 | |||||||||||
Mississippi State GO VRDN Series 2005-1150 (Morgan Stanley SPA) (F1+)(a) | ||||||||||||||
5,000,000 | 2.31 | 07/07/2005 | 5,000,000 | |||||||||||
$ | 37,390,000 | |||||||||||||
Missouri—1.5% | ||||||||||||||
Kansas City IDA VRDN RB for Kansas City Downtown Redevelopment Series 2005 A (AMBAC) (Depfa Bank PLC SPA) (A-1+/ VMIG1) | ||||||||||||||
$ | 11,000,000 | 2.31 | % | 07/06/2005 | $ | 11,000,000 | ||||||||
Missouri State Health & Educational Facilities Authority VRDN BJC Health Series 2005B (JP Morgan Chase LOC and Bank of Nova Scotia) (A-1+/VMIG1)(a) | ||||||||||||||
10,000,000 | 2.30 | 07/01/2005 | 10,000,000 | |||||||||||
Missouri State Health & Educational Facilities Authority VRDN RB Floaters Series 2005 1049 (VMIG1)(a) | ||||||||||||||
5,000,000 | 2.31 | 07/07/2005 | 5,000,000 | |||||||||||
Missouri State Health & Educational Facilities Authority VRDN RB for Washington University Series 2004 A (Dexia Credit Local SPA) (A-1+/ VMIG1) | ||||||||||||||
3,700,000 | 2.30 | 07/01/2005 | 3,700,000 | |||||||||||
University of Missouri VRDN RB System Facilities Revenue (A-1+/ VMIG1) | ||||||||||||||
1,600,000 | 2.29 | 07/01/2005 | 1,600,000 | |||||||||||
$ | 31,300,000 | |||||||||||||
Nebraska—0.2% | ||||||||||||||
Omaha GO VRDN Eagle Tax-Exempt Trust Series 2004-011 Class A (Citibank N.A. SPA) (A-1+) (a) | ||||||||||||||
$ | 4,000,000 | 2.32 | % | 07/07/2005 | $ | 4,000,000 | ||||||||
Nevada—2.9% | ||||||||||||||
Clark County Airport VRDN RB Sub Lien Series 2001 C (FGIC) (Landesbank Baden-Wurtt SPA) (A-1+/ VMIG1) | ||||||||||||||
$ | 5,000,000 | 2.26 | % | 07/06/2005 | $ | 5,000,000 | ||||||||
Clark County CP Series 2003 (BNP Paribas and Bayerische Landesbank SPA) (A-1+) | ||||||||||||||
5,000,000 | 2.40 | 07/29/2005 | 5,000,000 | |||||||||||
5,000,000 | 2.83 | 08/11/2005 | 5,000,000 | |||||||||||
3,000,000 | 2.55 | 10/06/2005 | 3,000,000 | |||||||||||
Clark County School District GO VRDN RB P-Floats-PT 2555 Series 2005 (FGIC) (Merrill Lynch Capital Services SPA) (A-1)(a) | ||||||||||||||
5,490,000 | 2.31 | 07/07/2005 | 5,490,000 |
Principal | Interest | Maturity | Amortized | |||||||||||
Amount | Rate | Date | Cost | |||||||||||
Nevada (continued) | ||||||||||||||
Clark County VRDN Eagle Tax-Exempt Trust Series 2000-2801 Class A (Citibank N.A. SPA) (A-1+)(a) | ||||||||||||||
$ | 6,920,000 | 2.32 | % | 07/07/2005 | $ | 6,920,000 | ||||||||
Las Vegas Valley Water District CP (BNP Paribas and Lloyds TSB Bank PLC SPA) (A-1+) | ||||||||||||||
5,000,000 | 2.50 | 07/08/2005 | 5,000,000 | |||||||||||
4,000,000 | 2.80 | 07/08/2005 | 4,000,000 | |||||||||||
5,500,000 | 2.35 | 07/12/2005 | 5,500,000 | |||||||||||
9,200,000 | 2.10 | 07/26/2005 | 9,200,000 | |||||||||||
3,000,000 | 2.62 | 10/11/2005 | 3,000,000 | |||||||||||
Nevada State Highway Improvement VRDN RB Series 2005-1039 (MBIA) (Morgan Stanley) (VMIG1)(a) | ||||||||||||||
5,050,000 | 2.31 | 07/07/2005 | 5,050,000 | |||||||||||
$ | 62,160,000 | |||||||||||||
New Hampshire—0.3% | ||||||||||||||
New Hampshire Health & Educational Facilities Authority VRDN RB for Phillips Exeter Academy Series 2003 (A-1+/VMIG1) | ||||||||||||||
$ | 6,000,000 | 2.27 | % | 07/07/2005 | $ | 6,000,000 | ||||||||
New Jersey—2.1% | ||||||||||||||
New Jersey State Economic Development Authority VRDN RB Merlots Series 2003 A 41 (FGIC) (Wachovia Bank N.A. SPA) (VMIG1)(a) | ||||||||||||||
$ | 3,985,000 | 2.31 | % | 07/06/2005 | $ | 3,985,000 | ||||||||
New Jersey State Transportation Trust Fund Authority VRDN RB Eagle Tax-Exempt Trust Series 2005-0001 Class 2005 A (MBIA/ FGIC) (Citibank N.A. SPA) (A-1+)(a) | ||||||||||||||
15,000,000 | 2.32 | 07/07/2005 | 15,000,000 | |||||||||||
New Jersey State Transportation Trust Fund Authority VRDN RB Merlots Series 2002 A05 (FSA) (Wachovia Bank N.A. SPA) (VMIG1)(a) | ||||||||||||||
5,240,000 | 2.31 | 07/06/2005 | 5,240,000 | |||||||||||
New Jersey State Transportation Trust Fund Authority VRDN RB P-Floats-PT 2402 Series 2004 (MBIA) (Dexia Credit Local SPA) (F1+)(a) | ||||||||||||||
4,955,000 | 2.31 | 07/07/2005 | 4,955,000 | |||||||||||
New Jersey State Transportation Trust Fund Authority VRDN RB P-Floats-PT 2491 Series 2005 (FGIC) (Merrill Lynch Capital Services SPA) (F1+)(a) | ||||||||||||||
10,700,000 | 2.31 | 07/07/2005 | 10,700,000 | |||||||||||
New Jersey State Transportation Trust Fund Authority VRDN RB P-Floats-PT 2617 Series 2005 (MBIA) (Dexia Credit Local SPA) (A-1+)(a) | ||||||||||||||
4,990,000 | 2.31 | 07/07/2005 | 4,990,000 | |||||||||||
$ | 44,870,000 | |||||||||||||
New Mexico—1.9% | ||||||||||||||
Albuquerque VRDN RB Refunding for Affordable Housing Projects Series 2000 (MBIA) (Bank of America N.A. SPA) (A-1+/ VMIG1) | ||||||||||||||
5,325,000 | 2.30 | 07/06/2005 | 5,405,000 | |||||||||||
Bernalillo County Gross Tax Receipts VRDN RB P-Floats-PT 2202 Series 2004 (MBIA-IBC) (Merrill Lynch Capital Services SPA) (F1+)(a) | ||||||||||||||
5,410,000 | 2.31 | 07/07/2005 | 5,410,000 | |||||||||||
Farmington VRDN PCRB Refunding for Arizona Public Service Co. Series 1994 A (Barclays Bank PLC LOC) (A-1+/ P-1) | ||||||||||||||
10,000,000 | 2.33 | 07/01/2005 | 10,000,000 | |||||||||||
New Mexico State Severance Tax VRDN P-Floats-PT 1428 Series 2002 (Merrill Lynch Capital Services SPA) (A-1)(a)(b) | ||||||||||||||
4,920,000 | 2.31 | 07/07/2005 | 4,920,000 | |||||||||||
New Mexico State University VRDN RB P-Floats-PT 2342 Series 2004 (AMBAC) (Merrill Lynch Capital Services SPA) (A-1)(a) | ||||||||||||||
3,985,000 | 2.31 | 07/07/2005 | 3,985,000 | |||||||||||
University of New Mexico VRDN RB Refunding for Sub Lien Systems Improvements Series 2001 (Westdeutsche Landesbank SPA) (A-1+/ VMIG1) | ||||||||||||||
7,420,000 | 2.32 | 07/06/2005 | 7,420,000 | |||||||||||
University of New Mexico VRDN RB Refunding for Sub Lien Systems Improvements Series 2003 B (Westdeutsche Landesbank SPA) (A-1+/ VMIG1) | ||||||||||||||
2,500,000 | 2.35 | 07/06/2005 | 2,500,000 | |||||||||||
$ | 39,640,000 | |||||||||||||
New York—3.2% | ||||||||||||||
ABN AMRO Munitops Certificates VRDN RB Non-AMT Series 2004-46 (FSA) (ABN AMRO Bank N.V. SPA) (VMIG1)(a) | ||||||||||||||
$ | 7,000,000 | 2.32 | % | 07/07/2005 | $ | 7,000,000 | ||||||||
New York City GO VRDN ROCS RR-II-R 251A Series 2003 (Citigroup Global Markets LOC) (Citibank N.A. SPA) (VMIG1)(a) | ||||||||||||||
5,000,000 | 2.35 | 07/07/2005 | 5,000,000 | |||||||||||
New York City Housing Development Corp. VRDN MF Hsg. RB Mortgage for 90 West Street Series 2004 A (HSBC Bank USA LOC) (A-1+) | ||||||||||||||
4,000,000 | 2.26 | 07/06/2005 | 4,000,000 | |||||||||||
New York City Municipal Water Finance Authority CP Series 2005 (Westdeutsche Landesbank and Bayerische Landesbank SPA) (A-1+/ P-1) | ||||||||||||||
3,000,000 | 2.17 | 07/14/2005 | 3,000,000 | |||||||||||
New York State Environmental Facilities Corp. VRDN RB Clean Water & Drinking Series 2005-1121 (Morgan Stanley LOC) (F1+)(a)(b) | ||||||||||||||
5,000,000 | 2.29 | 07/07/2005 | 5,000,000 |
Principal | Interest | Maturity | Amortized | |||||||||||
Amount | Rate | Date | Cost | |||||||||||
New York (continued) | ||||||||||||||
New York State Housing Finance Agency VRDN RB for 10 Liberty Street Series 2003 A (FHLMC) (VMIG1) | ||||||||||||||
$ | 24,200,000 | 2.20 | % | 07/06/2005 | $ | 24,200,000 | ||||||||
New York State Power Authority CP Series 2 (Bank of Novia Scotia, JP Morgan Chase & Co., State Street Corp., Bayerische Landesbank, Landesbank Baden-Wurttemberg, Wachovia Bank and Bank of New York SPA) (A-1/ P-1) | ||||||||||||||
7,000,000 | 2.37 | 07/12/2005 | 7,000,000 | |||||||||||
New York State Urban Development Corp. VRDN RB Merlots Series 2005 C-01 (MBIA) (Wachovia Bank N.A. SPA) (VMIG1)(a) | ||||||||||||||
4,300,000 | 2.31 | 07/06/2005 | 4,300,000 | |||||||||||
New York State Urban Development Corp. VRDN RB Series 2003 SG-164 (FGIC) (Societe Generale SPA) (A-1+)(a) | ||||||||||||||
5,000,000 | 2.31 | 07/07/2005 | 5,000,000 | |||||||||||
Triborough Bridge & Tunnel Authority VRDN RB Merlots Series 2004 A-08 (Wachovia Bank N.A. SPA) (VMIG1)(a)(b) | ||||||||||||||
2,985,000 | 2.31 | 07/06/2005 | 2,985,000 | |||||||||||
$ | 67,485,000 | |||||||||||||
North Carolina—4.9% | ||||||||||||||
Charlotte Water & Sewer CP Series 2004 (Wachovia Bank N.A. SPA) (A-1/ P-1) | ||||||||||||||
$ | 2,000,000 | 2.10 | % | 09/09/2005 | $ | 2,000,000 | ||||||||
Charlotte Water & Sewer CP Series 2005 (Wachovia Bank N.A. SPA) (A-1/ P-1) | ||||||||||||||
3,000,000 | 2.20 | 10/14/2005 | 3,000,000 | |||||||||||
3,000,000 | �� | 2.90 | 02/14/2006 | 3,000,000 | ||||||||||
Greensboro Enterprise System VRDN RB Series 2005 B (Bank of America N.A. SPA) (A-1+/ VMIG1) | ||||||||||||||
5,000,000 | 2.30 | 07/07/2005 | 5,000,000 | |||||||||||
Guilford County GO VRDN Series 2005 B (Wachovia Bank N.A. SPA) (A-1+/ VMIG1) | ||||||||||||||
3,500,000 | 2.30 | 07/07/2005 | 3,500,000 | |||||||||||
Mecklenburg County GO VRDN Series 2004 B (Landesbank Hessen-Thueringen SPA) (A-1+/ VMIG1) | ||||||||||||||
5,000,000 | 2.27 | 07/07/2005 | 5,000,000 | |||||||||||
North Carolina Medical Care Community Health Care Facilities VRDN RB for Duke University Health System Series 2005 C (SunTrust Bank SPA) (A-1+/ VMIG1) | ||||||||||||||
5,000,000 | 2.26 | 07/07/2005 | 5,000,000 | |||||||||||
North Carolina Medical Care Community Health Care Facilities VRDN RB for Novant Health Group Series 2004 A (JP Morgan Chase Bank SPA) (A-1+) | ||||||||||||||
10,750,000 | 2.28 | 07/07/2005 | 10,750,000 | |||||||||||
North Carolina State GO VRDN P-Floats-PT 1962 Series 2003 (Merrill Lynch Capital Services SPA) (F1+)(a) | ||||||||||||||
4,950,000 | 2.31 | 07/07/2005 | 4,950,000 | |||||||||||
North Carolina State GO VRDN P-Floats-PT 2483 Series 2005 (Merrill Lynch Capital Services SPA) (F1+)(a) | ||||||||||||||
11,125,000 | 2.31 | 07/07/2005 | 11,125,000 | |||||||||||
Union County GO VRDN Series 2005 A (Depfa Bank PLC SPA) (A-1+/ VMIG1) | ||||||||||||||
8,900,000 | 2.26 | 07/07/2005 | 8,900,000 | |||||||||||
University of North Carolina for Chapel Hill Hospital VRDN RB Refunding Series 2003 A (Bank of America N.A. SPA) (A-1+/ VMIG1) | ||||||||||||||
9,755,000 | 2.30 | 07/07/2005 | 9,755,000 | |||||||||||
University of North Carolina for Chapel Hill Hospital VRDN RB Series 2001 B (Landesbank Hessen-Thueringen SPA) (A-1+/ VMIG1) | ||||||||||||||
19,550,000 | 2.28 | 07/01/2005 | 19,550,000 | |||||||||||
Wake County GO VRDN for Public Improvements Series 2003 B (Lloyds TSB Bank PLC SPA) (A-1+/ VMIG1) | ||||||||||||||
7,500,000 | 4.00 | 04/01/2006 | 7,571,858 | |||||||||||
Wilmington GO VRDN Refunding Series 2002 (Wachovia Bank N.A. SPA) (A-1+/ VMIG1) | ||||||||||||||
5,140,000 | 2.28 | 07/06/2005 | 5,140,000 | |||||||||||
$ | 104,241,858 | |||||||||||||
Ohio—2.4% | ||||||||||||||
Columbus GO VRDN for Public Improvements Series 2005-2 Class A (IXIS Municipal Products SPA) (A-1+)(a) | ||||||||||||||
$ | 5,000,000 | 2.31 | % | 07/07/2005 | $ | 5,000,000 | ||||||||
Franklin County VRDN RB for Trinity Health Credit Series 2000 F (JP Morgan Chase & Co. and Bayerische Landesbank SPA) (A-1+/ VMIG1) | ||||||||||||||
40,000,000 | 2.28 | 07/07/2005 | 40,000,000 | |||||||||||
Ohio State Building Authority RB Refunding for State Correctional Facilities Series 1996 A (Aa2/ AA) | ||||||||||||||
5,600,000 | 6.00 | 10/01/2005 | 5,656,612 | |||||||||||
$ | 50,656,612 | |||||||||||||
Oklahoma—0.8% | ||||||||||||||
Payne County Economic Development Authority Student Housing VRDN RB for Osuf Phase III Project Series 2002 (AMBAC) (Dexia Credit Local SPA) (VMIG1) | ||||||||||||||
$ | 17,275,000 | 2.31 | % | 07/07/2005 | $ | 17,275,000 | ||||||||
Principal | Interest | Maturity | Amortized | |||||||||||
Amount | Rate | Date | Cost | |||||||||||
Oregon—2.6% | ||||||||||||||
Oregon State GO VRDN Series 1985 73-G (JP Morgan Chase & Co. SPA) (A-1+) | ||||||||||||||
$ | 12,700,000 | 2.30 | % | 07/06/2005 | $ | 12,700,000 | ||||||||
Oregon State GO VRDN Veteran’s Welfare Series 1985 73-H (Bayerische Landesbank SPA) (A-1+) | ||||||||||||||
40,000,000 | 2.30 | 07/06/2005 | 40,000,000 | |||||||||||
Tri-County Metropolitan Transportation District VRDN RB for Interstate Maximum Project Series 2001 A (Bayerische Landesbank LOC) (A-1+) | ||||||||||||||
3,025,000 | 2.25 | 07/07/2005 | 3,025,000 | |||||||||||
$ | 55,725,000 | |||||||||||||
Pennsylvania—4.1% | ||||||||||||||
Allegheny County Hospital Development Authority VRDN RB for Health Center Presbyterian University Health Systems Series 1990 A (MBIA) (JP Morgan Chase & Co. SPA) (A-1+/VMIG1) | ||||||||||||||
$ | 8,245,000 | 2.32 | % | 07/07/2005 | $ | 8,245,000 | ||||||||
Delaware Valley Regional Finance Authority Local Government VRDN RB Series 1985 B (National Australia Bank LOC) (A-1+/VMIG1) | ||||||||||||||
17,800,000 | 2.28 | 07/06/2005 | 17,800,000 | |||||||||||
Delaware Valley Regional Finance Authority Local Government VRDN RB Series 1985 C (National Australia Bank LOC) (A-1+/VMIG1) | ||||||||||||||
24,300,000 | 2.28 | 07/06/2005 | 24,300,000 | |||||||||||
Delaware Valley Regional Finance Authority Local Government VRDN RB Series 1986 (National Australia Bank LOC) (A-1+/VMIG1) | ||||||||||||||
10,050,000 | 2.28 | 07/06/2005 | 10,050,000 | |||||||||||
Pennsylvania GO VRDN Merlots Series 2004 B-15 (FSA) (Wachovia Bank N.A. SPA) (A-1)(a) | ||||||||||||||
4,990,000 | 2.32 | 07/06/2005 | 4,990,000 | |||||||||||
Pennsylvania Intergovernmental Cooperative Authority VRDN Special Tax Revenue Refunding for Philadelphia Funding Series 2003 (AMBAC) (JP Morgan Chase & Co. SPA) (A-1+/VMIG1) | ||||||||||||||
11,200,000 | 2.31 | 07/07/2005 | 11,200,000 | |||||||||||
Pennsylvania Turnpike Commission VRDN RB Series 2002 A-1 (Westdeutsche Landesbank SPA) (A-1+/VMIG1) | ||||||||||||||
10,000,000 | 2.32 | 07/06/2005 | 10,000,000 | |||||||||||
$ | 86,585,000 | |||||||||||||
South Carolina—0.8% | ||||||||||||||
South Carolina Public Service Authority Santee Cooper CP (Dexia Credit Local BNP Paribas) (A-1+) | ||||||||||||||
5,809,000 | 2.40 | 07/29/2005 | 5,809,000 | |||||||||||
South Carolina Public Service Authority VRDN RB Eagle Tax-Exempt Trust Series 2004-0017 Class A (AMBAC) (Citibank N.A. SPA) (A-1+)(a) | ||||||||||||||
5,000,000 | 2.32 | 07/07/2005 | 5,000,000 | |||||||||||
South Carolina VRDN RB Transportation Infrastructure Bank Eagle Tax-Exempt Trust Series 2001-4001 Class A (MBIA) (Citibank N.A. SPA) (A-1+) (a) | ||||||||||||||
6,760,000 | 2.32 | 07/07/2005 | 6,760,000 | |||||||||||
$ | 17,569,000 | |||||||||||||
Tennessee—3.4% | ||||||||||||||
Chattanooga Health Educational & Housing Facilities Board VRDN RB Refunding for Catholic Health Series 2004 C (A-1+/ VMIG1) | ||||||||||||||
$ | 8,700,000 | 2.25 | % | 07/06/2005 | $ | 8,700,000 | ||||||||
Memphis Electric System VRDN RB Series 2003-880 (MBIA) (Morgan Stanley) (VMIG1)(a) | ||||||||||||||
12,100,000 | 2.31 | 07/07/2005 | 12,100,000 | |||||||||||
Memphis GO CP Series 2001 (MBIA) (A-1+) | ||||||||||||||
4,000,000 | 2.30 | 08/12/2005 | 4,000,000 | |||||||||||
5,000,000 | 2.55 | 11/09/2005 | 5,000,000 | |||||||||||
Metropolitan Government Nashville & Davidson County Health & Education Facilities Board VRDN RB Refunding for Vanderbilt University Series 2000 B (A-1+/ VMIG1) | ||||||||||||||
12,000,000 | 2.28 | 07/07/2005 | 12,000,000 | |||||||||||
Metropolitan Government Nashville & Davidson County Health & Education Facilities Board VRDN RB Refunding for Vanderbilt University Series 2003 A (A-1+/ VMIG1) | ||||||||||||||
7,565,000 | 2.28 | 07/07/2005 | 7,565,000 | |||||||||||
Metropolitan Government of Nashville County CP Series 2005 (A-1+) | ||||||||||||||
4,500,000 | 2.27 | 08/24/2005 | 4,500,000 | |||||||||||
2,000,000 | 2.80 | 09/30/2005 | 2,000,000 | |||||||||||
2,500,000 | 2.60 | 11/14/2005 | 2,500,000 | |||||||||||
Sevier County Public Building Authority VRDN RB for Local Government Public Improvement Series 1999 III-F (AMBAC) (Landesbank Hessen-Thueringen) (VMIG1) | ||||||||||||||
13,560,000 | 2.30 | 07/07/2005 | 13,560,000 | |||||||||||
$ | 71,925,000 | |||||||||||||
Principal | Interest | Maturity | Amortized | |||||||||||
Amount | Rate | Date | Cost | |||||||||||
Texas—15.6% | ||||||||||||||
City of Houston CP Series D (Depfa Bank) (A-1+/ P-1) | ||||||||||||||
$ | 5,000,000 | 2.35 | % | 07/12/2005 | $ | 5,000,000 | ||||||||
7,000,000 | 2.40 | 07/29/2005 | 7,000,000 | |||||||||||
3,000,000 | 2.50 | 09/09/2005 | 3,000,000 | |||||||||||
3,000,000 | 2.57 | 10/24/2005 | 3,000,000 | |||||||||||
Cypress Fairbanks Independent School District VRDN RB Merlots Series 2004 C-16 (PSF-GTD) (Wachovia Bank N.A. SPA) (VMIG1)(a) | ||||||||||||||
4,395,000 | 2.32 | 07/06/2005 | 4,395,000 | |||||||||||
Cypress Fairbanks Independent School District VRDN RMerlots Series 2001 A129 (PSF-GTD) (Wachovia Bank N.A. SPA) (A-1)(a)(c) | ||||||||||||||
2,995,000 | 1.80 | 07/07/2005 | 2,995,000 | |||||||||||
Dallas Area Rapid Transit CP (Bayerische Landesbank, Landesbank Baden-Wurttemberg, State Street Corp. and Westdeutsche Landesbank SPA) (A-1+/P-1) | ||||||||||||||
2,500,000 | 2.50 | 09/08/2005 | 2,500,000 | |||||||||||
Garland GO CP Series 2002 (Landesbank Hessen-Thueringen SPA) (A-1+) | ||||||||||||||
2,000,000 | 2.50 | 09/07/2005 | 2,000,000 | |||||||||||
Harris County GO Refunding for Permanent Improvement Series 2002 (AA+/ Aa1) | ||||||||||||||
4,500,000 | 5.00 | 10/01/2005 | 4,524,371 | |||||||||||
Harris County GO TANS Series 2005 (SP-1+/ MIG1) | ||||||||||||||
17,000,000 | 3.75 | 02/28/2006 | 17,115,982 | |||||||||||
Harris County Health Facilities Development Corp. VRDN RB Refunding for The Methodist Health System Series 2005 B (A-1+) | ||||||||||||||
6,800,000 | 2.30 | 07/01/2005 | 6,800,000 | |||||||||||
Harris County Health Facilities Development VRDN RB Refunding for St. Luke’s Episcopal Hospital (JPMorgan Chase Bank, Bayerische Landesbank, Bank of America N.A. SPA, and Northern Trust Company SPA) (A-1+) | ||||||||||||||
11,300,000 | 2.30 | 07/01/2005 | 11,300,000 | |||||||||||
Harris County Toll Road CP Series 2005 E01 (Dexia Credit Local SPA) (A-1/ P-1) | ||||||||||||||
5,000,000 | 2.55 | 09/07/2005 | 5,000,000 | |||||||||||
Harris County VRDN RB P-Floats-PT 971 Series 2004 (FGIC) (Merrill Lynch Capital Services SPA) (F1+)(a) | ||||||||||||||
8,995,000 | 2.31 | 07/07/2005 | 8,995,000 | |||||||||||
Houston Airport System CP Series 2005 (Dexia Credit Local LOC) (A1+/ P-1) | ||||||||||||||
4,000,000 | 2.55 | 10/06/2005 | 4,000,000 | |||||||||||
Houston Independent School District GO VRDN Refunding for School Building Series 2003 (JP Morgan Chase and State Street Corp. SPA) (PSF-GTD) (A-1+/ VMIG1) | ||||||||||||||
10,000,000 | 2.35 | 07/06/2005 | 10,000,000 | |||||||||||
Houston Utility Systems Revenue VRDN RB Merlots Series 2004 B-17 (FGIC) (MBIA) (Wachovia Bank N.A. SPA) (A-1)(a) | ||||||||||||||
12,150,000 | 2.32 | 07/06/2005 | 12,150,000 | |||||||||||
Houston Water & Sewer CP Series A (Bayerische Landesbank, Dexia Credit Local, Landesbank Baden-Wurttemberg and Westdeutsche Landesbank SPA) (A-1/ P-1) | ||||||||||||||
2,000,000 | 2.85 | 07/14/2005 | 2,000,000 | |||||||||||
3,000,000 | 2.45 | 08/24/2005 | 3,000,000 | |||||||||||
5,000,000 | 2.60 | 09/13/2005 | 5,000,000 | |||||||||||
8,500,000 | 2.93 | 07/13/2005 | 8,500,000 | |||||||||||
Jefferson County GO P-Floats-PT 1414 Series 2002 (FGIC) (Merrill Lynch Capital Services SPA) (A-1+)(a) | ||||||||||||||
6,500,000 | 2.31 | 07/07/2005 | 6,500,000 | |||||||||||
Lewisville Independent School District GO VRDN P-Floats-PT 2089 Series 2004 (PSF-GTD) (Merrill Lynch Capital Services SPA) (F1+)(a) | ||||||||||||||
5,630,000 | 2.31 | 07/07/2005 | 5,630,000 | |||||||||||
North Texas Tollway Authority VRDN RB Dallas North Tollway Systems Series 2003 SG-167 (AMBAC) (Societe Generale SPA) (A-1+)(a) | ||||||||||||||
4,000,000 | 2.31 | 07/07/2005 | 4,000,000 | |||||||||||
Plano Independent School District GO VRDN P-Floats-PT 2429 Series 2004 (PSF-GTD) (Merrill Lynch Capital Services SPA) (A-1)(a) | ||||||||||||||
5,265,000 | 2.31 | 07/07/2005 | 5,265,000 | |||||||||||
San Antonio Electric & Gas Systems CP Series A (Bank of America and State Street Corp. SPA) (A-1+/ P-1) | ||||||||||||||
8,000,000 | 2.82 | 08/11/2005 | 8,000,000 | |||||||||||
6,000,000 | 2.80 | 08/12/2005 | 6,000,000 | |||||||||||
5,500,000 | 2.50 | 08/22/2005 | 5,500,000 | |||||||||||
San Antonio Electric & Gas Systems VRDN RB Series 1997 SG 104 (Societe Generale SPA) (A-1+)(a) | ||||||||||||||
34,930,000 | 2.31 | 07/07/2005 | 34,930,000 | |||||||||||
San Antonio Water System CP (Bank of America N.A. SPA) (A-1+/ P-1) | ||||||||||||||
6,500,000 | 2.40 | 07/29/2005 | 6,500,000 | |||||||||||
3,000,000 | 2.78 | 09/07/2005 | 3,000,000 | |||||||||||
5,500,000 | 2.80 | 09/08/2005 | 5,500,000 | |||||||||||
Texas A&M University System Building Registration CP (A-1+/P-1) | ||||||||||||||
5,420,000 | 2.10 | 07/21/2005 | 5,420,000 | |||||||||||
6,000,000 | 2.10 | 07/26/2005 | 6,000,000 | |||||||||||
Texas Public Finance Authority CP Series 2002 (A-1+/P-1) | ||||||||||||||
3,700,000 | 2.75 | 08/24/2005 | 3,700,000 | |||||||||||
Texas State GO VRDN for Mobility Fund Series 2005 B (Depfa Bank PLC SPA) (A-1+/ VMIG1) | ||||||||||||||
4,000,000 | 2.22 | 07/06/2005 | 4,000,000 |
Principal | Interest | Maturity | Amortized | |||||||||||
Amount | Rate | Date | Cost | |||||||||||
Texas (continued) | ||||||||||||||
Texas State GO VRDN Spears Series 2005 DB-154 (Deutche Bank A.G.) (F1+)(a) | ||||||||||||||
$ | 5,000,000 | 2.31 | % | 07/07/2005 | $ | 5,000,000 | ||||||||
Texas State Public Finance Authority CP Series 2002 (A-1+) | ||||||||||||||
2,500,000 | 2.46 | 07/12/2005 | 2,500,000 | |||||||||||
7,000,000 | 2.78 | 09/08/2005 | 7,000,000 | |||||||||||
Texas State TRANS Series 2004 (SP-1+/ MIG1) | ||||||||||||||
57,500,000 | 3.00 | 08/31/2005 | 57,623,718 | |||||||||||
Texas State University Systems Financing VRDN RB Refunding ROCS RR-II-R 3028 Series 2004 (FSA) (Citigroup Global Markets) (VMIG1)(a) | ||||||||||||||
5,260,000 | 2.32 | 07/07/2005 | 5,260,000 | |||||||||||
University of Texas CP Series 2005 (A-1+) | ||||||||||||||
6,000,000 | 2.45 | 07/13/2005 | 6,000,000 | |||||||||||
4,000,000 | 2.45 | 08/09/2005 | 4,000,000 | |||||||||||
Williamson County GO VRDN Stars Certificates Series 2005-114 (MBIA) (BNP Paribas SPA) (VMIG1)(a) | ||||||||||||||
5,000,000 | 2.31 | 07/07/2005 | 5,000,000 | |||||||||||
$ | 330,604,071 | |||||||||||||
Utah—3.8% | ||||||||||||||
Central Water Conservancy District GO VRDN Refunding Series 2004 C (AMBAC) (Landesbank Hessen-Thueringen SPA) (VMIG1) | ||||||||||||||
$ | 10,000,000 | 2.27 | % | 07/06/2005 | $ | 10,000,000 | ||||||||
Central Water Conservancy District GO VRDN Refunding for Tender Option Series 1998 E (AMBAC) (Landesbank Hessen-Thueringen SPA) (A-1+/ VMIG1) | ||||||||||||||
13,500,000 | 2.27 | 07/06/2005 | 13,500,000 | |||||||||||
Central Water Conservancy District GO VRDN Refunding for Tender Option Series 1998 F (AMBAC) (Landesbank Hessen-Thueringen SPA) (A-1+/ VMIG1) | ||||||||||||||
10,140,000 | 2.27 | 07/06/2005 | 10,140,000 | |||||||||||
Central Water Conservancy District GO VRDN Refunding Series 2002 A (AMBAC) (Landesbank Hessen-Thueringen SPA) (VMIG1) | ||||||||||||||
4,925,000 | 2.27 | 07/06/2005 | 4,925,000 | |||||||||||
Murray City Hospital VRDN RB for IHC Health Services, Inc. Series 2003 B (A-1+) | ||||||||||||||
4,000,000 | 2.30 | 07/07/2005 | 4,000,000 | |||||||||||
Orem Water & Storm Sewer VRDN RB ROCS RR-II-R 7506 Series 2005 (MBIA) (Citibank N.A. LOC) (A-1+)(a) | ||||||||||||||
6,275,000 | 2.32 | 07/07/2005 | 6,275,000 | |||||||||||
Salt Lake County Sales Tax Revenue VRDN RB P-Floats-PT 2921 Series 2005 (Merrill Lynch Capital Services SPA) (A-1)(a) | ||||||||||||||
5,960,000 | 2.31 | 07/07/2005 | 5,960,000 | |||||||||||
Utah Water Finance Agency VRDN RB for Tender Options Series 2005 A-11 (AMBAC) (JP Morgan Chase & Co. SPA) (VMIG1) | ||||||||||||||
4,000,000 | 2.32 | 07/06/2005 | 4,000,000 | |||||||||||
Utah Water Finance Agency VRDN RB for Tender Options Series 2005 A-12 (AMBAC) (JP Morgan Chase & Co. SPA) (VMIG1) | ||||||||||||||
4,000,000 | 2.32 | 07/06/2005 | 4,000,000 | |||||||||||
Utah Water Finance Agency VRDN RB Series 2002 A-1 (AMBAC) (JP Morgan Chase & Co. SPA) (VMIG1) | ||||||||||||||
2,975,000 | 2.32 | 07/06/2005 | 2,975,000 | |||||||||||
Utah Water Finance Agency VRDN RB Series 2004 A-9 (AMBAC) (JP Morgan Chase & Co. SPA) (VMIG1) | ||||||||||||||
5,000,000 | 2.32 | 07/06/2005 | 5,000,000 | |||||||||||
Weber County Hospital VRDN RB for IHC Health Services, Inc. Series 2000 B (Westdeutsche Landesbank SPA) (A-1+/ VMIG1) | ||||||||||||||
6,500,000 | 2.30 | 07/01/2005 | 6,500,000 | |||||||||||
Weber County Hospital VRDN RB for IHC Health Services, Inc. Series 2000 C (Landesbank Hessen-Thueringen SPA) (A-1+/VMIG1) | ||||||||||||||
3,530,000 | 2.30 | 07/01/2005 | 3,530,000 | |||||||||||
$ | 80,805,000 | |||||||||||||
Virginia—1.6% | ||||||||||||||
Fairfax County GO Refunding for Public Improvements Series 2004 B (Aaa/ AAA) | ||||||||||||||
$ | 2,270,000 | 6.00 | % | 10/01/2005 | $ | 2,292,948 | ||||||||
Fairfax County IDA VRDN RB for Inova Health Systems Project Series 2005 A-2 (A-1+/ VMIG1) | ||||||||||||||
10,500,000 | 2.29 | 07/06/2005 | 10,500,000 | |||||||||||
Reid Hospital & Health Care Service, Inc. VRDN RB for Reid Hospital Project Series 2005 A (FSA) (JP Morgan Chase & Co. SPA) (A-1+) | ||||||||||||||
8,700,000 | 2.28 | 07/06/2005 | 8,700,000 | |||||||||||
Roanoke IDA VRDN RB for Carilion Health System Series 2002 B (JP Morgan Chase & Co. SPA) (A-1+/ VMIG1) | ||||||||||||||
3,780,000 | 2.30 | 07/01/2005 | 3,780,000 | |||||||||||
Virginia College Building Authority Educational Facilities VRDN RB for The University of Richmond Project Series 1999 (SunTrust Bank SPA) (VMIG1) | ||||||||||||||
2,900,000 | 2.29 | 07/06/2005 | 2,900,000 | |||||||||||
Virginia College Building Authority Educational Facilities VRDN RB for University of Richmond Project Series 2004 (SunTrust Bank SPA) (VMIG1) | ||||||||||||||
5,000,000 | 2.29 | 07/06/2005 | 5,000,000 | |||||||||||
$ | 33,172,948 | |||||||||||||
Principal | Interest | Maturity | Amortized | |||||||||||
Amount | Rate | Date | Cost | |||||||||||
Washington—6.3% | ||||||||||||||
Chelan County Public Utility District Number 001 Conservancy VRDN RB P-Floats-PT 950 Series 2004 (FGIC) (Merrill Lynch Capital Services SPA) (F1+)(a) | ||||||||||||||
$ | 5,000,000 | 2.31 | % | 07/07/2005 | $ | 5,000,000 | ||||||||
Grant County Public Utility District VRDN Eagle Tax-Exempt Trust Series 2001-4702 Class A (FSA) (Citibank N.A. SPA) (A-1+)(a) | ||||||||||||||
4,000,000 | 2.32 | 07/07/2005 | 4,000,000 | |||||||||||
King County School District No 401 Highline Public Schools GO VRDN ROCS RR-II-R 2151 Series 2004 (FSA) (Citigroup Global Markets SPA) (A-1+)(a) | ||||||||||||||
5,305,000 | 2.32 | 07/07/2005 | 5,305,000 | |||||||||||
King County Water & Sewer Systems CP Series 2005 (Bayerische Landesbank SPA) (A-1/ P-1) | ||||||||||||||
6,000,000 | 2.10 | 07/20/2005 | 6,000,000 | |||||||||||
6,000,000 | 2.10 | 07/26/2005 | 6,000,000 | |||||||||||
5,300,000 | 2.75 | 09/07/2005 | 5,300,000 | |||||||||||
3,700,000 | 2.75 | 10/14/2005 | 3,700,000 | |||||||||||
King County Water & Sewer Systems VRDN RB Series 2001 B (Landesbank Hessen) (A-1+/ VMIG1) | ||||||||||||||
7,435,000 | 2.40 | 07/06/2005 | 7,435,000 | |||||||||||
Port Seattle VRDN RB Series 2003 849-D (MBIA) (Morgan Stanley SPA) (A-1)(a)(b) | ||||||||||||||
7,963,500 | 2.31 | 07/07/2005 | 7,963,500 | |||||||||||
Tacoma GO VRDN P-Floats-PT 2322 Series 2004 (MBIA) (Merrill Lynch Capital Services SPA) (F1+)(a) | ||||||||||||||
5,800,000 | 2.31 | 07/07/2005 | 5,800,000 | |||||||||||
Tacoma Regional Water Supply Systems VRDN RB Merlots Series 2003-B05 (MBIA) (Wachovia Bank N.A. SPA) (VMIG1)(a) | ||||||||||||||
4,995,000 | 2.32 | 07/06/2005 | 4,995,000 | |||||||||||
Washington State COPS Eagle Tax-Exempt Trust Series 2000 Class A (Citibank N.A. SPA) (A-1+)(a) | ||||||||||||||
12,000,000 | 2.32 | 07/07/2005 | 12,000,000 | |||||||||||
Washington State Eagle GO VRDN Tax-Exempt-Trust Series 2005-0032 Class A (FSA) (Citibank N.A. SPA) (A-1+)(a) | ||||||||||||||
5,000,000 | 2.32 | 07/07/2005 | 5,000,000 | |||||||||||
Washington State Eagle Tax-Exempt Trust Series 2002-4703 Class A (MBIA) (Citibank N.A. SPA) (A-1+)(a) | ||||||||||||||
2,000,000 | 2.32 | 07/07/2005 | 2,000,000 | |||||||||||
Washington State Economic Development Finance Authority VRDN RB P-Floats-PT 2333 Series 2004 (FGIC) (Merrill Lynch Capital Services SPA) (F1+)(a) | ||||||||||||||
6,780,000 | 2.31 | 07/07/2005 | 6,780,000 | |||||||||||
Washington State GO Eagle Tax-Exempt Trust Series 1996C-4704 Class A (Citibank N.A. SPA) (A-1+)(a) | ||||||||||||||
8,500,000 | 2.32 | 07/07/2005 | 8,500,000 | |||||||||||
Washington State GO P-Floats-PT 854 Series 2003 (Merrill Lynch Capital Services SPA) (A-1)(a) | ||||||||||||||
7,495,000 | 2.31 | 07/07/2005 | 7,495,000 | |||||||||||
Washington State GO VRDN Eagle Tax-Exempt Trust Series 1998-4702 Class A (Citibank N.A. SPA) (A-1+)(a) | ||||||||||||||
6,000,000 | 2.32 | 07/07/2005 | 6,000,000 | |||||||||||
Washington State GO VRDN Eagle Tax-Exempt Trust Series 2002-4701 Class A (FSA) (Citibank N.A. SPA) (A-1+)(a) | ||||||||||||||
5,000,000 | 2.32 | 07/07/2005 | 5,000,000 | |||||||||||
Washington State GO VRDN Merlots Series 2002 A-57 (MBIA) (Wachovia Bank N.A. SPA) (VMIG1) (a)(b) | ||||||||||||||
6,910,000 | 2.32 | 07/06/2005 | 6,910,000 | |||||||||||
Washington State GO VRDN Merlots Series 2003 B-23 (MBIA) (Wachovia Bank N.A. SPA) (VMIG1)(a) | ||||||||||||||
5,000,000 | 2.32 | 07/06/2005 | 5,000,000 | |||||||||||
Washington State GO VRDN Merlots Series 2004 C-03 (AMBAC) (Wachovia Bank N.A. SPA) (VMIG1) (a)(b) | ||||||||||||||
7,080,000 | 2.32 | 07/06/2005 | 7,080,000 | |||||||||||
$ | 133,263,500 | |||||||||||||
Wisconsin—2.6% | ||||||||||||||
Milwaukee Metropolitan Sewage District GO Capital Purpose Bonds Series 1992 A Eagle Tax-Exempt Trust Series 1994-4905 Class A (Citibank N.A. SPA) (A-1)(a) | ||||||||||||||
$ | 15,085,000 | 2.32 | % | 07/07/2005 | $ | 15,085,000 | ||||||||
Milwaukee Metropolitan Sewage District GO VRDN P-Floats-PT 2678 Series 2005 (Dexia Credit Local SPA) (F1+)(a) | ||||||||||||||
5,000,000 | 2.31 | 07/07/2005 | 5,000,000 | |||||||||||
Wisconsin State GO VRDN ROCS RR-II-R 2171 Series 2005 (MBIA) (Citigroup Global Markets SPA) (VMIG1)(a) | ||||||||||||||
5,590,000 | 2.32 | 07/07/2005 | 5,590,000 | |||||||||||
Wisconsin State Health & Educational Facilities Authority VRDN RB for Aurora Health Care, Inc. Series 1999 C (KBC Bank N.V. and Bank of Nova Scotia) (A-1) | ||||||||||||||
8,450,000 | 2.24 | 07/06/2005 | 8,450,000 | |||||||||||
Wisconsin State Health & Educational Facilities Authority VRDN RB for Froedtert & Community Health Series 2005 B (AMBAC) (Morgan Stanley Bank SPA) (A-1) | ||||||||||||||
5,000,000 | 2.23 | 07/07/2005 | 5,000,000 | |||||||||||
Wisconsin State Health & Educational Facilities Authority VRDN RB for Froedtert & Community Health Series 2005 C (AMBAC) (Morgan Stanley Bank SPA) (A-1) | ||||||||||||||
4,000,000 | 2.27 | 07/07/2005 | 4,000,000 |
�� | ||||||||||||||
Principal | Interest | Maturity | Amortized | |||||||||||
Amount | Rate | Date | Cost | |||||||||||
Wisconsin (continued) | ||||||||||||||
Wisconsin State Health & Educational Facilities Authority VRDN RB P-Floats-PT 917 Series 2004 (MBIA) (Landesbank Hessen-Thueringen SPA) (F1+) (a) | ||||||||||||||
$ | 5,000,000 | 2.31 | % | 07/07/2005 | $ | 5,000,000 | ||||||||
Wisconsin State Transportation Board VRDN RB Eagle Tax-Exempt Trust Series 2000-4901 Class A (Citibank N.A. SPA) (A-1+)(a) | ||||||||||||||
7,500,000 | 2.32 | 07/07/2005 | 7,500,000 | |||||||||||
$ | 55,625,000 | |||||||||||||
Total Investments—104.1% | $ | 2,203,264,115 | ||||||||||||
(a) | Securities not registered under the Securities Act of 1933, as amended. Such securities have been determined to be liquid by the Investment Adviser. At June 30, 2005, these securities amounted to $728,818,000 or approximately 34.3% of net assets. | |
(b) | All or portion represents a forward commitment. | |
(c) | Securities not registered under the Securities Act of 1933, as amended. Such securities have been determined to be illiquid by the Investment Adviser. At June 30, 2005, these securities amounted to $7,490,000 or approximately 0.3% of net assets. |
Interest rates represent either the stated coupon rate, or for floating rate securities, the current reset rate, which is based upon current interest rate indices.
Maturity dates represent either the stated date on the security, the next interest reset date for floating rate securities or the prerefunded date for those types of securities.
Security ratings disclosed are issued by Standard & Poor’s/ Moody’s Investors Service/ Fitch. A description of the ratings is available in the Portfolio’s Statement of Additional Information.
AMBAC | — | Insured by American Municipal Bond Assurance Corp. | ||
COPS | — | Certificates of Participation | ||
CP | — | Commercial Paper | ||
FGIC | — | Insured by Financial Guaranty Insurance Co. | ||
FHLMC | — | Insured by Federal Home Loan Mortgage Corp. | ||
FNMA | — | Insured by Federal National Mortgage Association | ||
FSA | — | Insured by Financial Security Assurance Co. | ||
GO | — | General Obligation | ||
IDA | — | Industrial Development Authority | ||
IDB | — | Industrial Development Bond | ||
LOC | — | Letter of Credit | ||
MBIA | — | Insured by Municipal Bond Investors Assurance | ||
MBIA-IBC | — | Insured by Municipal Bond Investors Assurance—Insured Bond Certificates | ||
MF Hsg. | — | Multi-Family Housing | ||
PCRB | — | Pollution Control Revenue Bond | ||
PSF-GTD | — | Guaranteed by Permanent School Fund | ||
RANS | — | Revenue Anticipation Notes | ||
RB | — | Revenue Bond | ||
ROCS | — | Reset Option Certificates | ||
SPA | — | Stand-by Purchase Agreement | ||
TANS | — | Tax Anticipation Notes | ||
TFA | — | Transportation Finance Authority | ||
TRANS | — | Tax Revenue Anticipation Notes | ||
VRDN | — | Variable Rate Demand Notes |
Principal | Interest | Maturity | Amortized | |||||||||||
Amount | Rate | Date | Cost | |||||||||||
California—103.5% | ||||||||||||||
Abag Finance Authority VRDN RB for Menlo School Series 2003 (Allied Irish Bank PLC LOC) (VMIG1) | ||||||||||||||
$ | 13,700,000 | 2.30 | % | 07/07/2005 | $ | 13,700,000 | ||||||||
ABN Amro Munitops GO VRDN Non-AMT Trust Certificates (Chabot-Las Positas) Series 2004-12 (MBIA) (ABN Amro Bank N.V. SPA) (VMIG1)(a) | ||||||||||||||
7,950,000 | 2.31 | 07/06/2005 | 7,950,000 | |||||||||||
Cabrillo Community College District GO ROCS RR-II-R-300 Series 2004 (MBIA) (Citibank N.A. SPA) (VMIG1)(a) | ||||||||||||||
1,000,000 | 2.31 | 07/07/2005 | 1,000,000 | |||||||||||
California Educational Facilities Authority VRDN RB for California institute of Technology ROCS RR-II-R-354 Series 2005 (Citibank N.A. SPA) (VMIG1)(a) | ||||||||||||||
2,000,000 | 2.32 | 07/07/2005 | 2,000,000 | |||||||||||
California Educational Facilities Authority VRDN RB for Pomona College Series 2005 B (A-1+/ VMIG1) | ||||||||||||||
2,500,000 | 2.23 | 07/07/2005 | 2,500,000 | |||||||||||
California Educational Facilities Authority VRDN RB for University of Southern California Series 2005-1126 (VMIG1)(a) | ||||||||||||||
7,000,000 | 2.31 | 07/07/2005 | 7,000,000 | |||||||||||
California Educational Facilities Authority VRDN RB Stars Certificates Series 2005-135 (BNP Paribas LOC) (VMIG1)(a) | ||||||||||||||
7,280,000 | 2.30 | 07/06/2005 | 7,280,000 | |||||||||||
California Health Facilities Authority VRDN RB for Adventist Health System Series 2002 B (Wachovia Bank N.A. LOC) (VMIG1) | ||||||||||||||
5,700,000 | 2.27 | 07/01/2005 | 5,700,000 | |||||||||||
California Health Facilities Financing Authority VRDN RB for Adventist Health Systems Series 2002 A (Wachovia Bank N.A. LOC) (VMIG1) | ||||||||||||||
7,100,000 | 2.27 | 07/01/2005 | 7,100,000 | |||||||||||
California Health Facilities Financing Authority VRDN RB for Scripps Health Series 2005 A (AMBAC) (JP Morgan Chase & Co.) (A-1+/ VMIG1) | ||||||||||||||
15,575,000 | 2.23 | 07/06/2005 | 15,575,000 | |||||||||||
California Health Facilities Financing Authority VRDN RB for Sisters Charity Health System Series 2003 (A-1+/ VMIG1) | ||||||||||||||
11,720,000 | 2.30 | 07/06/2005 | 11,720,000 | |||||||||||
California Infrastructure & Economic Development Bank VRDN RB for Bay Area Toll Authority Floating Rate Receipts Series 2004 SG-172 (AMBAC) (Societe Generale SPA) (A-1+)(a) | ||||||||||||||
3,000,000 | 2.30 | 07/06/2005 | 3,000,000 | |||||||||||
California Infrastructure & Economic Development Bank VRDN RB for J Paul Getty Trust Series 2003 D (A-1+/ VMIG1) | ||||||||||||||
2,800,000 | 2.25 | 02/02/2006 | 2,800,000 | |||||||||||
California Municipal Finance Authority VRDN RB Refunding for Chevron USA Inc Project Series 2005 (A-1+/ P-1) | ||||||||||||||
4,360,000 | 2.20 | 07/01/2005 | 4,360,000 | |||||||||||
California State Department of Water Resources CP (Landesbank Hessen-Thueringen SPA) (A-1+) | ||||||||||||||
1,759,000 | 2.90 | 07/14/2005 | 1,759,000 | |||||||||||
California State Economic Recovery VRDN RB Series 2004 C-2 (Bank of America N.A. SPA) (A-1+/ VMIG1) | ||||||||||||||
3,750,000 | 2.30 | 07/01/2005 | 3,750,000 | |||||||||||
California State Economic Recovery VRDN RB Series 2004 C-21 (XL Capital Assurance) (Dexia Credit Local SPA) (A-1+/ VMIG1) | ||||||||||||||
4,000,000 | 2.28 | 07/06/2005 | 4,000,000 | |||||||||||
California State Economic Recovery VRDN RB Series 2004 C-3 (Landesbank Hessen-Thueringen SPA) (A-1+/ VMIG1) | ||||||||||||||
4,300,000 | 2.30 | 07/01/2005 | 4,300,000 | |||||||||||
California State Economic Recovery VRDN RB Series 2004 C-8 (Lloyds TSB Bank PLC LOC) (A-1+/ VMIG1) | ||||||||||||||
2,700,000 | 2.15 | 07/01/2005 | 2,700,000 | |||||||||||
California State GO VRDN for Daily Kindergarten University Series 2004 A-5 (California State Teachers Retirement and Citibank N.A. LOC) (A-1+/ VMIG1) | ||||||||||||||
3,930,000 | 2.15 | 07/01/2005 | 3,930,000 | |||||||||||
California State GO VRDN for Kindergarten University Public Series 2004 A-9 (California State Teachers Retirement and Citibank N.A. LOC) (A-1+/ VMIG1) | ||||||||||||||
4,000,000 | 2.27 | 07/07/2005 | 4,000,000 | |||||||||||
California State GO VRDN for Kindergarten University Series 2004 A-3 (California State Teachers Retirement and Citibank N.A. LOC) (A-1+/ VMIG1) | ||||||||||||||
2,710,000 | 2.48 | 07/01/2005 | 2,710,000 | |||||||||||
California State GO VRDN Series 2003 A-1 (Westdeutsche Landesbank LOC and JP Morgan Chase & Co.) (A-1+/ VMIG1) | ||||||||||||||
600,000 | 2.48 | 07/01/2005 | 600,000 | |||||||||||
California State GO VRDN Series 2003 B-1 (BNP Paribas, Bank of New York and California State Teachers Retirement LOC) (A-1+/ VMIG1) | ||||||||||||||
1,200,000 | 2.30 | 07/06/2005 | 1,200,000 | |||||||||||
California State GO VRDN Series 2003 C-1 (Bank of America N.A., Bank of Nova Scotia and Landesbank Hessen-Thueringen LOC) (A-1+/ VMIG1) | ||||||||||||||
700,000 | 2.25 | 07/07/2005 | 700,000 | |||||||||||
California State GO VRDN Series 2003 C-2 (Bank of America N.A., Bank of Nova Scotia and Landesbank Hessen-Thueringen LOC) (A-1+/ VMIG1) | ||||||||||||||
1,200,000 | 2.20 | 07/07/2005 | 1,200,000 | |||||||||||
California Statewide Communities Development Authority CP for Kaiser Permanente Series 2005 (F1) | ||||||||||||||
5,000,000 | 2.78 | 09/07/2005 | 5,000,000 | |||||||||||
5,000,000 | 2.78 | 09/08/2005 | 5,000,000 | |||||||||||
4,000,000 | 2.60 | 10/25/2005 | 4,000,000 | |||||||||||
California Statewide Communities Development Authority RB Series 2005 A-4 (SP-1+/ MIG1)(b) | ||||||||||||||
2,000,000 | 4.00 | 06/30/2006 | 2,026,820 | |||||||||||
California Statewide Communities Development Authority VRDN RB for Kaiser Permanente Series 2003 B (A-1) | ||||||||||||||
4,300,000 | 2.26 | 07/06/2005 | 4,300,000 |
Principal | Interest | Maturity | Amortized | |||||||||||
Amount | Rate | Date | Cost | |||||||||||
California (continued) | ||||||||||||||
California Statewide Communities Development Authority VRDN RB for Kaiser Permanente Series 2003 C (F1+) | ||||||||||||||
$ | 2,600,000 | 2.30 | % | 07/06/2005 | $ | 2,600,000 | ||||||||
California Statewide Communities Development Authority VRDN RB Series 2004 L (A-1) | ||||||||||||||
3,800,000 | 2.26 | 07/06/2005 | 3,800,000 | |||||||||||
City of Fremont VRDN COPS for Family Resources Center Financing Project Series 1998 (KBC Bank N.V. LOC) (A-1) | ||||||||||||||
4,880,000 | 2.35 | 07/07/2005 | 4,880,000 | |||||||||||
City of Glendale California VRDN COPS for Police Building Project Series 2000 (JP Morgan Chase & Co. SPA) (A-1+/VMIG1) | ||||||||||||||
5,500,000 | 2.25 | 07/07/2005 | 5,500,000 | |||||||||||
Clovis Unified School District (SP-1+/ MIG1)(b) | ||||||||||||||
5,000,000 | 4.00 | 07/05/2006 | 5,061,150 | |||||||||||
East Bay Municipal Utility District CP (A-1+) | ||||||||||||||
2,600,000 | 2.53 | 09/08/2005 | 2,600,000 | |||||||||||
East Bay Municipal Utility District CP (JP Morgan Chase & Co and Westdeutsche Landesbank SPA) (A-1+) | ||||||||||||||
3,000,000 | 2.75 | 08/05/2005 | 3,000,000 | |||||||||||
East Bay Municipal Utility District Water Systems VRDN RB Refunding Series 2005 B-2 (XLCA) (Dexia Credit Local SPA) (A-1+/ VMIG1) | ||||||||||||||
5,000,000 | 2.25 | 07/06/2005 | 5,000,000 | |||||||||||
East Bay Municipal Utility District Water Systems VRDN RB Refunding Series 2005 B-3 (XLCA) (Dexia Credit Local SPA) (A-1+/ VMIG1) | ||||||||||||||
6,000,000 | 2.35 | 07/06/2005 | 6,000,000 | |||||||||||
Fremont Unified High School District Santa Clara County GO VRDN P-Floats-PT 2510 Series 2005 (FGIC) (Merrill Lynch Capital Services SPA) (F1+)(a) | ||||||||||||||
3,535,000 | 2.30 | 07/06/2005 | 3,535,000 | |||||||||||
Fresno County VRDN RB for Trinity Health System Series 2000 C (Chase Manhattan Bank and Landesbank Hessen-Thueringen SPA) (A-1+/ VMIG1) | ||||||||||||||
7,240,000 | 2.17 | 07/07/2005 | 7,240,000 | |||||||||||
Fresno Water Sewer & Systems VRDN RB Series 2000 A (FGIC) (State Street Bank & Trust Co. SPA) (A-1+/ VMIG1) | ||||||||||||||
3,000,000 | 2.20 | 07/06/2005 | 3,000,000 | |||||||||||
Golden Gate Bridge Highway & Transportation Authority CP Series A (JP Morgan Chase & Co. SPA) (A-1+) | ||||||||||||||
7,700,000 | 2.42 | 08/10/2005 | 7,700,000 | |||||||||||
Grossmont-Cuyamaca Community College GO VRDN ROCS RR-II-R 6520 Series 2005 (FGIC) (Citibank N.A. SPA) (VMIG1)(a) | ||||||||||||||
2,460,000 | 2.32 | 07/07/2005 | 2,460,000 | |||||||||||
Huntington Beach MF Hsg. VRDN RB for Essex Huntington Breakers Series 1996 A (FHLMC) (VMIG1) | ||||||||||||||
14,100,000 | 2.25 | 07/06/2009 | 14,100,000 | |||||||||||
Irvine Ranch Water District GO VRDN Refunding Series 1993 B (Landesbank Baden-Wurttm SPA) (A-1+/ VMIG1) | ||||||||||||||
1,200,000 | 2.48 | 07/01/2005 | 1,200,000 | |||||||||||
Los Angeles Community College GO VRDN ROCS RR-II-R 7002 Series 2005 (FSA) (Citibank N.A. SPA) (VMIG1)(a) | ||||||||||||||
10,000,000 | 2.31 | 07/07/2005 | 10,000,000 | |||||||||||
Los Angeles County Housing Authority MF Hsg. VRDN RB Refunding for Malibu Meadows Project Series 1998 B (FNMA) (A-1+) | ||||||||||||||
11,861,000 | 2.20 | 07/07/2005 | 11,861,000 | |||||||||||
Los Angeles County Housing Authority VRDN RB for Malibu Canyon Apartments Project Series 1985 B (FHLMC) (A-1+) | ||||||||||||||
5,700,000 | 2.30 | 07/05/2005 | 5,700,000 | |||||||||||
Los Angeles County TRANS Series 2005 A (SP-1+/ MIG1)(b) | ||||||||||||||
5,000,000 | 4.00 | 06/30/2006 | 5,070,950 | |||||||||||
Los Angeles Department of Water & Power VRDN RB for Power System Subseries 2001 B-1 (Bank of America N.A., Bayerische Landesbank, Dexia Credit Local, JP Morgan Chase & Co., Landesbank Baden-Wurttm, State Street Bank & Trust Co., and Westdeutsche Landesbank SPA) (A-1+/ VMIG1) | ||||||||||||||
2,400,000 | 2.21 | 07/07/2005 | 2,400,000 | |||||||||||
Los Angeles Department of Water & Power VRDN RB for Power System Subseries 2002 A-2 (Westdeutsche Landesbank, BNP Paribas, Dexia Credit Local, JP Morgan Chase & Co., and Bayerische Landesbank SPA) (A-1+/ VMIG1) | ||||||||||||||
2,100,000 | 2.20 | 07/07/2005 | 2,100,000 | |||||||||||
Los Angeles Department of Water & Power VRDN RB for Power System Subseries 2002 A-3 (Westdeutsche Landesbank, BNP Paribas, Dexia Credit Local, JP Morgan Chase Morgan Chase SPA, and Westdeutsche Landesbank SPA) (A-1+/ VMIG1) | ||||||||||||||
3,575,000 | 2.23 | 07/07/2005 | 3,575,000 | |||||||||||
Los Angeles Department of Water & Power VRDN RB for Power System Subseries 2002 A-5 (Bayerische Landesbank, BNP Paribas, Dexia Credit Local, JP Morgan Chase & Co. and Westdeutsche Landesbank SPA) (A-1+/ VMIG1) | ||||||||||||||
4,700,000 | 2.20 | 07/07/2005 | 4,700,000 | |||||||||||
Los Angeles Department of Water & Power VRDN RB for Power System Subseries 2002 A-7 (Bayerische Landesbank, BNP Paribas, Dexia Credit Local, JP Morgan Chase & Co. and Westdeutsche Landesbank SPA) (A-1+/ VMIG1) | ||||||||||||||
2,000,000 | 2.23 | 07/07/2005 | 2,000,000 | |||||||||||
Los Angeles Department of Water & Power VRDN RB for Power System Subseries 2002 A-8 (National Australia Bank, Lloyds TSB Bank PLC and Fortis Bank) (A-1+/ VMIG1) | ||||||||||||||
6,600,000 | 2.27 | 07/07/2005 | 6,600,000 | |||||||||||
Los Angeles Department of Water & Power VRDN RB Series 2005-1103 (Morgan Stanley) (VMIG1) (a) | ||||||||||||||
3,775,000 | 2.28 | 07/07/2005 | 3,775,000 | |||||||||||
Los Angeles Department Water & Power VRDN RB Merlots Series 2003 A 24 (MBIA) (Wachovia Bank N.A. SPA) (VMIG1)(a) | ||||||||||||||
3,100,000 | 2.31 | 07/06/2005 | 3,100,000 | |||||||||||
Los Angeles GO VRDN P-Floats-PT B 2324 Series 2004 (MBIA) (Merrill Lynch Capital Services SPA) (F1+)(a) | ||||||||||||||
4,975,000 | 2.30 | 07/06/2005 | 4,975,000 |
Principal | Interest | Maturity | Amortized | |||||||||||
Amount | Rate | Date | Cost | |||||||||||
California (continued) | ||||||||||||||
Los Angeles Unified School District GO TRANS Series 2004 (SP-1+/ MIG1) | ||||||||||||||
$ | 5,000,000 | 5.00 | % | 09/01/2005 | $ | 5,023,454 | ||||||||
Los Angeles Unified School District GO VRDN Merlots Series 2003 B34 (FSA) (Wachovia Bank N.A. SPA) (VMIG1)(a)(b) | ||||||||||||||
10,980,000 | 2.31 | 07/06/2005 | 10,980,000 | |||||||||||
Los Angeles Unified School District GO VRDN Eagle Series 2003-0049 A (MBIA) (Citibank N.A. SPA) (A-1+)(a) | ||||||||||||||
5,100,000 | 2.31 | 07/07/2005 | 5,100,000 | |||||||||||
Los Angeles Unified School District GO VRDN Merlots Series 2003 B12 (MBIA) (Wachovia Bank N.A. SPA) (VMIG1)(a)(b) | ||||||||||||||
9,565,000 | 2.31 | 07/06/2005 | 9,565,000 | |||||||||||
Los Angeles Unified School District GO VRDN Merlots Series 2004 B07 (MBIA) (Wachovia Bank N.A. SPA) (A-1)(a) | ||||||||||||||
4,995,000 | 2.31 | 07/06/2005 | 4,995,000 | |||||||||||
Los Angeles Wastewater Systems CP Series 2003 (California State Teachers Retirement, State Street Bank & Trust Co. and Westdeutsche Landesbank SPA) (A-1+) | ||||||||||||||
10,000,000 | 2.45 | 09/12/2005 | 10,000,000 | |||||||||||
Los Angeles Wastewater Systems VRDN RB Refunding Subseries 2001 B (FGIC) (FGIC Securities SPA) (A-1+/ VMIG1) | ||||||||||||||
2,000,000 | 2.15 | 12/15/2005 | 2,000,000 | |||||||||||
Metropolitan Water District Southern California Waterworks Revenue VRDN RB Refunding Series 2000 B-2 (Westdeutsche Landesbank SPA) (A-1+/ VMIG1)(b) | ||||||||||||||
4,600,000 | 2.17 | 07/06/2005 | 4,600,000 | |||||||||||
Metropolitan Water District Southern California Waterworks Revenue VRDN RB Refunding Series 2003 C-1 (Dexia Credit Local SPA) (A-1+/ VMIG1) | ||||||||||||||
3,000,000 | 2.17 | 07/07/2005 | 3,000,000 | |||||||||||
Metropolitan Water District Southern California Waterworks Revenue VRDN RB Refunding Series 1996 A (AMBAC) (Lloyds TSB Bank PLC SPA) (A-1+/ VMIG1) | ||||||||||||||
3,710,000 | 2.20 | 07/07/2005 | 3,710,000 | |||||||||||
Metropolitan Water District Southern California Waterworks Revenue VRDN RB Refunding Series 2002 A (Landesbank Baden-Wurttm SPA) (A-1+/ VMIG1) | ||||||||||||||
4,600,000 | 2.22 | 07/07/2005 | 4,600,000 | |||||||||||
Metropolitan Water District Southern California Waterworks Revenue VRDN RB Refunding Series 2004 A-1 (JP Morgan Chase & Co. SPA) (A-1+/ VMIG1)(b) | ||||||||||||||
5,670,000 | 2.20 | 07/07/2005 | 5,670,000 | |||||||||||
Metropolitan Water District Southern California Waterworks Revenue VRDN RB Series 2001 C-1 (Lloyds TSB Bank PLC SPA) (A-1+/ VMIG1) | ||||||||||||||
1,900,000 | 2.45 | 07/01/2005 | 1,900,000 | |||||||||||
MSR Public Power Agency Subordinate Lien VRDN RB for San Juan Project Series 1998 F (MBIA) (JP Morgan Chase & Co. SPA) (A-1+/ VMIG1) | ||||||||||||||
2,500,000 | 2.22 | 07/01/2005 | 2,500,000 | |||||||||||
MSR Public Power Agency VRDN RB for San Juan Project ROCS RR-II-R 335 Series 2005 (MBIA) (Citibank N.A. SPA) (VMIG1)(a) | ||||||||||||||
2,000,000 | 2.31 | 07/07/2005 | 2,000,000 | |||||||||||
Newport Beach VRDN RB for Hoag Memorial Hospital Series 1999 A (A-1+/ VMIG1) | ||||||||||||||
800,000 | 2.24 | 07/06/2005 | 800,000 | |||||||||||
Newport Beach VRDN RB for Hoag Memorial Hospital Series 1999 B (A-1+/ VMIG1) | ||||||||||||||
1,700,000 | 2.24 | 07/06/2005 | 1,700,000 | |||||||||||
Newport Mesa California Unified School District GO VRDN P-Floats-PT 2490 Series 2005 (FGIC) (Merrill Lynch Capital Services SPA) (F1+)(a) | ||||||||||||||
6,690,000 | 2.30 | 07/06/2005 | 6,690,000 | |||||||||||
Oakland Joint Powers Financing Authority VRDN RB P-Floats-PT 2873 Series 2005 (AMBAC) (Merrill Lynch Capital Services SPA) (A-1)(a) | ||||||||||||||
7,200,000 | 2.31 | 07/06/2025 | 7,200,000 | |||||||||||
Orange County Apartment Development VRDN RB for Niguel Summit Series 1985 A (FHLMC) (VMIG1) | ||||||||||||||
3,000,000 | 2.30 | 07/05/2005 | 3,000,000 | |||||||||||
Orange County Apartment Development VRDN RB Refunding for Larkspur Canyon Apartments Series 1997 A (FNMA) (A-1+) | ||||||||||||||
4,635,000 | 2.25 | 07/05/2005 | 4,635,000 | |||||||||||
Orange County Apartment Development VRDN RB Refunding for Riverbend Apartments Series 1999 B (FHLMC) (VMIG1) | ||||||||||||||
7,600,000 | 2.20 | 07/07/2005 | 7,600,000 | |||||||||||
Orange County Sanitation District VRDN COPS Series 2005-1032 (FGIC) (Morgan Stanley SPA) (VMIG1)(a) | ||||||||||||||
1,500,000 | 2.28 | 07/07/2005 | 1,500,000 | |||||||||||
Palo Alto Unified School District VRDN Municipal Sectors Trust Receipts Series 1997 SGA 53 (Societe Generale SPA) (A-1+)(a) | ||||||||||||||
9,830,000 | 2.27 | 07/06/2005 | 9,830,000 | |||||||||||
Pasadena COPS for City Hall & Park Improvement Projects Series 2003 (AMBAC) (California State Teachers Retirement and State Street Bank & Trust Co. SPA) (VMIG1) | ||||||||||||||
3,890,000 | 2.27 | 07/07/2005 | 3,890,000 | |||||||||||
Placentia-Yorba Linda University School District P-Floats-PT 1437 Series 2002 (FGIC) (Merrill Lynch Capital Services SPA) (A-1)(a) | ||||||||||||||
5,165,000 | 2.30 | 07/07/2005 | 5,165,000 | |||||||||||
Rancho Santiago Community College Unified District GO ROCS RR II-R 2181 Series 2005 (FSA) (Citigroup Global Markets SPA) (A-1+)(a) | ||||||||||||||
2,815,000 | 2.31 | 07/07/2005 | 2,815,000 | |||||||||||
Sacramento County Housing Authority VRDN RB Refunding for River Terrace Apartments Series 1996 (FNMA) (A-1+) | ||||||||||||||
6,000,000 | 2.20 | 07/07/2005 | 6,000,000 |
Principal | Interest | Maturity | Amortized | |||||||||||
Amount | Rate | Date | Cost | |||||||||||
California (continued) | ||||||||||||||
Sacramento County Housing Authority VRDN RB Refunding for Stone Creek Apartments Series 1997 (FNMA) (A-1+) | ||||||||||||||
$ | 7,650,000 | 2.20 | % | 07/07/2005 | $ | 7,650,000 | ||||||||
Sacramento County Sanitation District Financing Authority VRDN RB Eagle Series 2004-0047 Class A (AMBAC) (Citibank N.A. SPA) (A-1+)(a) | ||||||||||||||
4,000,000 | 2.31 | 07/07/2005 | 4,000,000 | |||||||||||
Sacramento County Sanitation District Financing Authority VRDN RB Sublien for Sacramento Regional Series 2000 C (Bank of America N.A. LOC) (A-1+/ VMIG1) | ||||||||||||||
5,870,000 | 2.25 | 07/06/2005 | 5,870,000 | |||||||||||
Sacramento County TRANS Series 2004 A (SP-1+/ MIG1) | ||||||||||||||
6,815,000 | 3.00 | 07/11/2005 | 6,817,499 | |||||||||||
Sacramento County TRANS Series 2005 A (SP-1+/ MIG1)(b) | ||||||||||||||
8,000,000 | 4.00 | 07/10/2006 | 8,116,640 | |||||||||||
Sacramento County VRDN COPS for Administration Center & Courthouse Project Series 1990 (Bayerische Landesbank LOC) (A-1+/ VMIG1) | ||||||||||||||
1,895,000 | 2.35 | 07/07/2005 | 1,895,000 | |||||||||||
San Bernardino County VRDN RB Refunding for Evergreen Apartments Series 1999 A (FNMA) (A-1+) | ||||||||||||||
16,600,000 | 2.20 | 07/07/2005 | 16,600,000 | |||||||||||
San Diego County & School District GO TRANS Series 2004 A (SP-1+/ MIG1) | ||||||||||||||
8,180,000 | 3.25 | 07/25/2005 | 8,187,362 | |||||||||||
San Diego County Transportation Commission Sales Tax CP (JP Morgan Chase & Co. SPA) (A-1+) | ||||||||||||||
3,500,000 | 2.48 | 10/11/2005 | 3,500,000 | |||||||||||
3,000,000 | 2.50 | 11/09/2005 | 3,000,000 | |||||||||||
San Diego County Water Authority CP (Bayerische Landesbank SPA) (A-1) | ||||||||||||||
7,000,000 | 2.75 | 09/08/2005 | 7,000,000 | |||||||||||
4,000,000 | 2.45 | 09/09/2005 | 4,000,000 | |||||||||||
3,500,000 | 2.52 | 09/13/2005 | 3,500,000 | |||||||||||
5,000,000 | 2.75 | 09/29/2005 | 5,000,000 | |||||||||||
San Francisco City & County GO VRDN ROCS RR-II-R 6502 Series 2004 (MBIA) (Citibank N.A. LOC) (VMIG1)(a) | ||||||||||||||
5,825,000 | 2.31 | 07/07/2005 | 5,825,000 | |||||||||||
San Francisco Transportation Authority CP (Landesbank Baden-Wurttm SPA) (A-1+) | ||||||||||||||
8,250,000 | 2.50 | 11/07/2005 | 8,250,000 | |||||||||||
Santa Clara Valley Water Authority CP (Westdeutsche Landesbank SPA) (A-1+) | ||||||||||||||
5,000,000 | 2.53 | 09/07/2005 | 5,000,000 | |||||||||||
Santa Clara Valley Water Authority CP (Westdeutsche Landesbank SPA) (A-1+) | ||||||||||||||
2,595,000 | 2.52 | 09/09/2005 | 2,595,000 | |||||||||||
Triunfo County Sanitation District VRDN RB Series 1994 (BNP Paribas LOC) (A-1) | ||||||||||||||
3,610,000 | 2.43 | 07/06/2005 | 3,610,000 | |||||||||||
University of California Regents CP (A-1+) | ||||||||||||||
5,000,000 | 2.81 | 08/11/2005 | 5,000,000 | |||||||||||
University of California VRDN RB Municipal Sectors Trust Receipts SGB-57 Series 2005 A (AMBAC) (Societe Generale SPA) (A-1+)(a) | ||||||||||||||
12,815,000 | 2.31 | 07/07/2005 | 12,815,000 | |||||||||||
University of California VRDN RB P-Floats-PT 1859 Series 2003 (FSA) (Merrill Lynch Capital Services SPA) (A-1)(a) | ||||||||||||||
6,615,000 | 2.30 | 07/06/2005 | 6,615,000 | |||||||||||
Yosemite Community College District VRDN P-Floats-PT 2748 Series 2005 (FGIC) (Merrill Lynch Capital Services SPA) (F1+)(a) | ||||||||||||||
5,870,000 | 2.30 | 07/07/2005 | 5,870,000 | |||||||||||
$ | 563,578,875 | |||||||||||||
Puerto Rico—0.2% | ||||||||||||||
Puerto Rico Commonwealth Highway & Transportation Authority VRDN RB Series 1998 A (AMBAC) (Bank of Nova Scotia SPA) (A-1+/ VMIG1) | ||||||||||||||
$ | 1,000,000 | 2.20 | % | 07/06/2005 | $ | 1,000,000 | ||||||||
Total Investments—103.7% | $ | 564,578,875 | ||||||||||||
(a) | Securities not registered under the Securities Act of 1933, as amended. Such securities have been determined to be liquid by the Investment Adviser. At June 30, 2005, these securities amounted to $157,040,000 or approximately 28.8% of net assets. |
(b) | All or portion represents a forward commitment. |
Interest rates represent either the stated coupon rate, or for floating rate securities, the current reset rate, which is based upon current interest rate indices.
Maturity dates represent either the stated date on the security, the next interest reset date for floating rate securities or the prerefunded date for those types of securities.
Security ratings disclosed are issued by Standard & Poor’s/ Moody’s Investors Service/ Fitch. A description of the ratings is available in the Portfolio’s Statement of Additional Information.
AMBAC | — | Insured by American Municipal Bond Assurance Corp. | ||
COPS | — | Certificates of Participation | ||
CP | — | Commercial Paper | ||
FGIC | — | Insured by Financial Guaranty Insurance Co. | ||
FHLMC | — | Insured by Federal Home Loan Mortgage Corp. | ||
FNMA | — | Insured by Federal National Mortgage Association | ||
FSA | — | Insured by Financial Security Assurance Co. | ||
GO | — | General Obligation | ||
LOC | — | Letter of Credit | ||
MBIA | — | Insured by Municipal Bond Investors Assurance | ||
MF Hsg. | — | Multi-Family Housing | ||
RB | — | Revenue Bond | ||
ROCS | — | Reset Option Certificates | ||
SPA | — | Stand-by Purchase Agreement | ||
TRANS | — | Tax Revenue Anticipation Notes | ||
VRDN | — | Variable Rate Demand Notes | ||
XLCA | — | Insured by XL Capital Assurance |
Principal | Interest | Maturity | Amortized | |||||||||||
Amount | Rate | Date | Cost | |||||||||||
New York—97.6% | ||||||||||||||
ABN AMRO Munitops Certificates VRDN RB Non-AMT Series 2004-46 (FSA) (ABN AMRO Bank N.V. SPA) (VMIG1)(a) | ||||||||||||||
$ | 3,000,000 | 2.32 | % | 07/07/2005 | $ | 3,000,000 | ||||||||
Great Neck North Water Authority Water System VRDN RB Series 1993 A (FGIC) (State Street Corp. SPA) (A-1+/ VMIG1) | ||||||||||||||
5,020,000 | 2.35 | 07/06/2005 | 5,020,000 | |||||||||||
Jay Street Development Corporation Certificates Facilities Lease VRDN RB Series 2001-A1 (Fleet National Bank LOC) (A-1+/ VMIG1) | ||||||||||||||
8,400,000 | 2.20 | 07/06/2005 | 8,400,000 | |||||||||||
Long Island Power Authority Electric System CP Series 2002 (Landesbank SC LOC) (A-1+) | ||||||||||||||
5,000,000 | 2.68 | 09/08/2005 | 5,000,000 | |||||||||||
Long Island Power Authority Electric System VRDN RB Subseries 1998 1A (Bayerische Landesbank/ Landesbank Baden-Wurttemberg LOC) (A-1+/ VMIG1) | ||||||||||||||
4,100,000 | 2.31 | 07/06/2005 | 4,100,000 | |||||||||||
Metropolitan Transportation Authority VRDN RB Eagle Tax-Exempt Trust Series 2002 A2303 (FSA) (Citibank N.A. SPA) (A-1+)(a) | ||||||||||||||
5,000,000 | 2.31 | 07/07/2005 | 5,000,000 | |||||||||||
Metropolitan Transportation Authority VRDN RB Eagle Tax-Exempt Trust Series 2002 A2305 (FSA) (Citibank N.A. SPA) (A-1+)(a) | ||||||||||||||
3,000,000 | 2.31 | 07/07/2005 | 3,000,000 | |||||||||||
Metropolitan Transportation Authority VRDN RB Eagle Tax-Exempt Trust Series 2002 A6023 (MBIA) (Citibank N.A. SPA) (A-1+)(a) | ||||||||||||||
5,000,000 | 2.31 | 07/07/2005 | 5,000,000 | |||||||||||
Metropolitan Transportation Authority VRDN RB Merlots Series 2003 B25 (FGIC) (Wachovia Bank N.A. SPA) (VMIG1)(a) | ||||||||||||||
2,980,000 | 2.31 | 07/06/2005 | 2,980,000 | |||||||||||
Metropolitan Transportation Authority VRDN RB Series 2005 P2533 (AMBAC) (Merrill Lynch Capital Services SPA) (F1+)(a) | ||||||||||||||
3,515,000 | 2.31 | 07/06/2005 | 3,515,000 | |||||||||||
Metropolitan Transportation Authority VRDN RB Series 2005-1042 (AMBAC) (Morgan Stanley LOC) (F1+)(a) | ||||||||||||||
2,000,000 | 2.29 | 07/07/2005 | 2,000,000 | |||||||||||
Municipal Assistance Corp. RB Series 1997 H (Aaa/ AAA) | ||||||||||||||
1,395,000 | 6.00 | 07/01/2005 | 1,395,000 | |||||||||||
Municipal Assistance Corp. RB Series 1997 L (Aaa/ AAA) | ||||||||||||||
1,530,000 | 6.00 | 07/01/2006 | 1,580,999 | |||||||||||
Municipal Assistance Corp. RB Series 2005 G (Aaa/ AAA) | ||||||||||||||
1,325,000 | 6.00 | 07/01/2005 | 1,325,000 | |||||||||||
Nassau County IDA Civic Facility & Improvement VRDN RB for Cold Spring Harbor Laboratory Series 1999 (JP Morgan Chase & Co. SPA) (A-1+) | ||||||||||||||
10,600,000 | 2.26 | 07/01/2005 | 10,600,000 | |||||||||||
New York City Civic Facility IDA VRDN RB for Ethical Culture School Project Series 2005 A (XLCA) (Dexia Credit Local SPA) (A-1+) | ||||||||||||||
4,165,000 | 2.35 | 07/07/2005 | 4,165,000 | |||||||||||
New York City Civic Facility IDA VRDN RB for National Audubon Society Series 1989 (Citibank N.A. LOC) (A-1+) | ||||||||||||||
1,200,000 | 2.25 | 07/01/2005 | 1,200,000 | |||||||||||
New York City GO VRDN Merlots Series 2004 C-09 (MBIA-IBC) (Wachovia Bank N.A. SPA) (VMIG1)(a) | ||||||||||||||
6,320,000 | 2.31 | 07/06/2005 | 6,320,000 | |||||||||||
New York City GO VRDN ROC II-R-22 Series 2000 (FGIC) (Citigroup Global Markets SPA) (A-1+)(a) | ||||||||||||||
4,000,000 | 2.31 | 07/07/2005 | 4,000,000 | |||||||||||
New York City GO VRDN ROCS RR-II-R 251A Series 2003 (Citigroup Global Markets Holding Inc LOC) (Citibank N.A. SPA) (VMIG1)(a) | ||||||||||||||
2,000,000 | 2.35 | 07/07/2005 | 2,000,000 | |||||||||||
New York City GO VRDN Series 1993 Subseries E-5 (JP Morgan Chase Bank LOC) (A-1+/ VMIG1) | ||||||||||||||
1,200,000 | 2.48 | 07/01/2005 | 1,200,000 | |||||||||||
New York City GO VRDN Series 2002 Subseries C-4 (BNP Paribas LOC) (A-1+/ VMIG1) | ||||||||||||||
3,000,000 | 2.18 | 07/06/2005 | 3,000,000 | |||||||||||
New York City GO VRDN Series 2004 Subseries H-7 (KBC Bank NV LOC) (A-1/ VMIG1) | ||||||||||||||
2,000,000 | 2.21 | 07/01/2005 | 2,000,000 | |||||||||||
New York City Housing Development Corp. VRDN MF Hsg. RB Mortgage for 90 West Street Series 2004 A (HSBC Bank USA LOC) (A-1+) | ||||||||||||||
18,200,000 | 2.26 | 07/06/2005 | 18,200,000 | |||||||||||
New York City Housing Development Corporation Multifamily VRDN RB for Mortgage-2 Gold Street Series 2003 A (Fleet National Bank LOC) (A-1+) | ||||||||||||||
16,000,000 | 2.26 | 07/06/2005 | 16,000,000 | |||||||||||
New York City Municipal Water Finance Authority CP Series 5 (Westdeutsche Landesbank/ Bayersiche Landesbank SPA) (A-1+/ P-1) | ||||||||||||||
2,000,000 | 2.17 | 07/14/2005 | 2,000,000 | |||||||||||
3,500,000 | 2.50 | 09/09/2005 | 3,500,000 | |||||||||||
New York City Municipal Water Finance Authority CP Series 6 (Landesbank Baden-Wurttemberg/ Landesbank Hessen-Thueringen SPA) (A-1+/ P-1) | ||||||||||||||
2,000,000 | 2.88 | 07/14/2005 | 2,000,000 |
Principal | Interest | Maturity | Amortized | |||||||||||
Amount | Rate | Date | Cost | |||||||||||
New York (continued) | ||||||||||||||
New York City Municipal Water Finance Authority VRDN RB for Water and Sewer System Series 2005 (Morgan Stanley SPA) (A-1)(a) | ||||||||||||||
$ | 2,000,000 | 2.29 | % | 07/07/2005 | $ | 2,000,000 | ||||||||
New York City Municipal Water Finance Authority VRDN RB for Water and Sewer System Series 2005 P (MBIA) (Merrill Lynch Capital Services SPA) (VMIG1)(a) | ||||||||||||||
2,000,000 | 2.31 | 07/06/2005 | 2,000,000 | |||||||||||
New York City Municipal Water Finance Authority Water and Sewer System VRDN RB for Municipal Securities Trust Receipts SGB 27 Series 1997 (FSA) (Societe Generale SPA) (A-1+)(a) | ||||||||||||||
2,500,000 | 2.31 | 07/07/2005 | 2,500,000 | |||||||||||
New York City Municipal Water Finance Authority Water and Sewer System VRDN RB P-Floats-PT 2443 Series 2004 (AMBAC) (Merrill Lynch Capital Services SPA) (A-1)(a) | ||||||||||||||
3,895,000 | 2.31 | 07/06/2005 | 3,895,000 | |||||||||||
New York City Transitional Finance Authority Eagle Trust VRDN Class A (Citibank N.A. SPA) (A-1+)(a) | ||||||||||||||
3,890,000 | 2.31 | 07/07/2005 | 3,890,000 | |||||||||||
New York City Transitional Finance Authority RB for Prerefunded Future Tax Secured Series 1997 A (Aa1/ AAA) | ||||||||||||||
1,105,000 | 4.50 | 08/15/2005 | 1,108,328 | |||||||||||
New York City Transitional Finance Authority RB for Unrefunded Future Tax Secured Series 1997 A (Aa1/ AAA) | ||||||||||||||
1,115,000 | 4.50 | 08/15/2005 | 1,118,358 | |||||||||||
New York City Transitional Finance Authority VRDN RB for Future Tax Secured Series 1998 A-2 (Bank of Nova Scotia SPA) (A-1+/ VMIG1) | ||||||||||||||
2,840,000 | 2.23 | 07/06/2005 | 2,840,000 | |||||||||||
New York City Transitional Finance Authority VRDN RB for Recovery Series 2002 3E (Bank of New York SPA) (A-1+/ VMIG1) | ||||||||||||||
3,000,000 | 2.25 | 07/01/2005 | 3,000,000 | |||||||||||
New York City Transitional Finance Authority VRDN RB for Recovery Series 2002 3F (Bank of New York SPA) (A-1+/ VMIG1) | ||||||||||||||
2,400,000 | 2.26 | 07/01/2005 | 2,400,000 | |||||||||||
New York City Transitional Finance Authority VRDN RB Merlots Series 2003 B29 (Wachovia Bank N.A. SPA) (VMIG1)(a) | ||||||||||||||
1,895,000 | 2.31 | 07/06/2005 | 1,895,000 | |||||||||||
New York City Transitional Finance Authority VRDN RB Series 2002 2A (Dexia Credit LOC) (A-1+/ VMIG1) | ||||||||||||||
1,500,000 | 2.17 | 07/01/2005 | 1,500,000 | |||||||||||
New York City Trust Cultural Resources VRDN RB for Pierpont Morgan Library Series 2004 (JP Morgan Chase & Co. SPA) (A-1+) | ||||||||||||||
4,500,000 | 2.25 | 07/07/2005 | 4,500,000 | |||||||||||
New York State Dormitory Authority CP for Columbia University Series 2002 C (VMIG1) | ||||||||||||||
1,000,000 | 2.50 | 11/07/2005 | 1,000,000 | |||||||||||
New York State Dormitory Authority CP for Cornell University Series 2005 (Morgan Stanley SPA) (A-1+) | ||||||||||||||
5,000,000 | 2.40 | 08/22/2005 | 5,000,000 | |||||||||||
New York State Dormitory Authority VRDN RB for Cornell University Series 1990 B (JP Morgan Chase & Co. SPA) (A-1+/ VMIG1) | ||||||||||||||
1,935,000 | 2.26 | 07/01/2005 | 1,935,000 | |||||||||||
New York State Dormitory Authority VRDN RB for Cornell University Series 2000 A (JP Morgan Chase & Co. SPA) (A-1+/ VMIG1)(b) | ||||||||||||||
1,220,000 | 2.18 | 07/07/2005 | 1,220,000 | |||||||||||
New York State Dormitory Authority VRDN RB ROCS RR II R 4558 for Yeshiva University Series 2004 (AMBAC) (Citigroup Global Markets SPA) (VMIG1)(a)(b) | ||||||||||||||
2,490,000 | 2.31 | 07/07/2005 | 2,490,000 | |||||||||||
New York State Energy Research & Development Authority VRDN RB for Con Edison Series 2005 A-1 (Wachovia Bank N.A. LOC) (A-1+/ VMIG1) | ||||||||||||||
6,000,000 | 2.24 | 07/06/2005 | 6,000,000 | |||||||||||
New York State Energy Research & Development Authority VRDN RB for Con Edison Series A-2 (Wachovia Bank N.A. LOC) (A-1+/ VMIG1)(a) | ||||||||||||||
3,600,000 | 2.31 | 07/06/2005 | 3,600,000 | |||||||||||
New York State Environmental CP Series 1997 A (Bayerische Landesbank and Landesbank Hessen-Thueringen LOC) (A-1+/ P-1) | ||||||||||||||
4,000,000 | 2.33 | 07/13/2005 | 4,000,000 | |||||||||||
4,000,000 | 2.05 | 07/20/2005 | 4,000,000 | |||||||||||
4,500,000 | 2.05 | 07/21/2005 | 4,500,000 | |||||||||||
3,500,000 | 2.12 | 07/26/2005 | 3,500,000 | |||||||||||
4,000,000 | 2.57 | 10/25/2005 | 4,000,000 | |||||||||||
New York State Environmental Facilities Corp. VRDN RB Clean Water & Drinking Series 2005-1121 (Morgan Stanley SPA) (F1+)(b) | ||||||||||||||
2,000,000 | 2.29 | 07/07/2005 | 2,000,000 | |||||||||||
New York State Environmental Facilities Corp. VRDN RB Eagle Tax-Exempt Trust Series 1996 C3204 COPS (Citibank N.A. SPA) (A-1+)(a) | ||||||||||||||
700,000 | 2.31 | 07/07/2005 | 700,000 | |||||||||||
New York State Environmental Facilities Corp. VRDN RB for Clean Water & Drinking Merlots Series 2004 B-20 (Wachovia Bank N.A. SPA) (A-1) (a) | ||||||||||||||
5,390,000 | 2.31 | 07/06/2005 | 5,390,000 |
Principal | Interest | Maturity | Amortized | |||||||||||
Amount | Rate | Date | Cost | |||||||||||
New York (continued) | ||||||||||||||
New York State GO VRDN for Environmental Quality Series 1998 G (Westdeutsche Landesbank LOC) (A-1+/VMIG1)(a) | ||||||||||||||
$ | 1,900,000 | 1.75 | % | 08/04/2005 | $ | 1,900,000 | ||||||||
New York State GO VRDN Series 2000 A (Dexia Credit LOC) (A-1+/ VMIG1) | ||||||||||||||
1,890,000 | 1.80 | 10/07/2005 | 1,890,000 | |||||||||||
New York State GO VRDN Series 2000 B (Dexia Credit LOC) (A-1+/ VMIG1) | ||||||||||||||
1,450,000 | 1.58 | 08/04/2005 | 1,450,000 | |||||||||||
New York State GO VRDN Series 2004 Subseries H-1 (Bank of New York LOC) (A-1+/ VMIG1) (a) | ||||||||||||||
3,000,000 | 2.17 | 07/01/2005 | 3,000,000 | |||||||||||
New York State Housing Finance Agency VRDN RB AMT for Tribeca Park Series 1997 A (FNMA) (VMIG1) | ||||||||||||||
3,700,000 | 2.25 | 07/06/2005 | 3,700,000 | |||||||||||
New York State Housing Finance Agency VRDN RB for 10 Barclay Street Series 2004 A (FNMA) (VMIG1) | ||||||||||||||
15,040,000 | 2.35 | 07/06/2005 | 15,040,000 | |||||||||||
New York State Housing Finance Agency VRDN RB for 10 Liberty Street Series 2003 A (FHLMC) (VMIG1) | ||||||||||||||
15,000,000 | 2.20 | 07/06/2005 | 15,000,000 | |||||||||||
New York State Housing Finance Agency VRDN RB for 100 Maiden Lane Housing Authority Series 2004 A (Bank of New York LOC) (VMIG1) | ||||||||||||||
8,500,000 | 2.29 | 07/06/2005 | 8,500,000 | |||||||||||
New York State Housing Finance Agency VRDN RB for 20 River Terrace Housing Series 2002 A RMKT (FNMA) (VMIG1) | ||||||||||||||
11,250,000 | 2.31 | 07/06/2005 | 11,250,000 | |||||||||||
New York State Housing Finance Agency VRDN RB for Historic Front Street Housing Series 2003 A (Bank of New York LOC) (VMIG1) | ||||||||||||||
13,720,000 | 2.27 | 07/06/2005 | 13,720,000 | |||||||||||
New York State Housing Finance Agency VRDN RB for Liberty View Apartments Housing Series 1997 A (FNMA) (A-1+) | ||||||||||||||
5,600,000 | 2.20 | 07/06/2005 | 5,600,000 | |||||||||||
New York State Housing Finance Agency VRDN RB for North End Avenue Housing Authority Series 2004 A (Landesbank Hessen-Thueringen LOC) (VMIG1) | ||||||||||||||
4,700,000 | 2.31 | 07/06/2005 | 4,700,000 | |||||||||||
New York State Housing Finance Agency VRDN RB for Tribeca Green Housing Series 2003 A (Landesbank Hessen-Thueringen LOC) (VMIG1) | ||||||||||||||
8,700,000 | 2.18 | 07/06/2005 | 8,700,000 | |||||||||||
New York State Local Government Assistance Corp. VRDN RB Merlots Series 2003 A06 (MBIA-IBC) (Wachovia Bank N.A. SPA) (VMIG1)(a) | ||||||||||||||
5,125,000 | 2.31 | 07/06/2005 | 5,125,000 | |||||||||||
New York State Power Authority CP Series 2 (Bank of New York, Bank of Nova Scotia, Bayersiche Landesbank, JP Morgan Chase & Co., Landesbank Baden-Wurttemberg, State Street Bank and Wachovia Bank LOC) (A-1/ P-1) | ||||||||||||||
4,000,000 | 2.52 | 09/09/2005 | 4,000,000 | |||||||||||
4,000,000 | 2.50 | 11/07/2005 | 4,000,000 | |||||||||||
New York State Thruway Authority CP Series 01 (Landesbank Hessen-Thueringen SPA) (A-1+/ P-1) | ||||||||||||||
3,000,000 | 2.75 | 08/05/2005 | 3,000,000 | |||||||||||
New York State Thruway Authority RB Series 2002 A (AA/ A1) | ||||||||||||||
1,000,000 | 5.00 | 03/15/2006 | 1,014,819 | |||||||||||
New York State Thruway Authority VRDN RB Series 2005 CL-A (AMBAC) (Citibank N.A.) (A-1+) (a) | ||||||||||||||
3,000,000 | 2.31 | 07/07/2005 | 3,000,000 | |||||||||||
New York State Urban Development Corp. VRDN RB Series 2003 SG-164 (FGIC) (Societe Generale SPA) (A-1+)(a) | ||||||||||||||
1,600,000 | 2.31 | 07/07/2005 | 1,600,000 | |||||||||||
Oneida County IDA VRDN RB for Civic Facility-Hamilton College Series 2002 (MBIA) (Bank of New York SPA) (VMIG1) | ||||||||||||||
1,405,000 | 2.35 | 07/06/2005 | 1,405,000 | |||||||||||
Orange County GO VRDN Series 2005-885 (JP Morgan Chase & Co. SPA) (VMIG1)(a) | ||||||||||||||
2,700,000 | 2.31 | 07/07/2005 | 2,700,000 | |||||||||||
Port Authority of New York & New Jersey CP Series 2005 B (Bank of Nova Scotia, JP Morgan Chase & Co. and Lloyds TSB Bank SPA) (A-1+/ P-1) | ||||||||||||||
3,000,000 | 2.30 | 08/12/2005 | 3,000,000 | |||||||||||
5,000,000 | 2.50 | 11/07/2005 | 5,000,000 | |||||||||||
3,110,000 | 2.57 | 11/08/2005 | 3,110,000 | |||||||||||
1,615,000 | 2.50 | 11/09/2005 | 1,615,000 | |||||||||||
Port Authority of New York & New Jersey VRDN RB ROCS RR II R 319 Series 2004 (Citibank N.A.) (A-1+/ VMIG1)(a) | ||||||||||||||
3,000,000 | 2.31 | 07/07/2005 | 3,000,000 | |||||||||||
Rensselaer County IDA VRDN RB for Rensselaer Polytechnic Institute Civic Facilities Project Series 1997 A (A-1+/ VMIG1) | ||||||||||||||
3,425,000 | 2.35 | 07/07/2005 | 3,425,000 | |||||||||||
Three Village Central School District of Brookhaven & Smithtown GO Tax Anticipation Notes Series 2005 (MIG1) | ||||||||||||||
2,000,000 | 3.75 | 06/30/2006 | 2,020,920 | |||||||||||
Tompkins County IDA VRDN RB for Ithaca College Project Series 2004 (XCLA) (Bank of America SPA) (VMIG1) | ||||||||||||||
4,000,000 | 2.35 | 07/07/2005 | 4,000,000 | |||||||||||
Triborough Bridge & Tunnel Authority VRDN RB Floaters Series 2004 922 (Morgan Stanley SPA) (F1+)(a) | ||||||||||||||
5,600,000 | 2.29 | 07/07/2005 | 5,600,000 |
Principal | Interest | Maturity | Amortized | |||||||||||
Amount | Rate | Date | Cost | |||||||||||
New York (continued) | ||||||||||||||
Triborough Bridge & Tunnel Authority VRDN RB Merlots Series 2004 A-08 (Wachovia Bank N.A. SPA) (VMIG1)(a)(b) | ||||||||||||||
$ | 2,990,000 | 2.31 | % | 07/06/2005 | $ | 2,990,000 | ||||||||
Triborough Bridge & Tunnel Authority VRDN RB Refunding Series 2002 C (AMBAC) (Westdeutsche Landesbank AG SPA) (A-1+/ VMIG1) | ||||||||||||||
1,100,000 | 2.19 | 07/07/2005 | 1,100,000 | |||||||||||
Triborough Bridge & Tunnel Authority VRDN RB Series 2001 C (AMBAC) (Bayerische Landesbank SPA) (A-1+/ VMIG1) | ||||||||||||||
2,350,000 | 2.23 | 07/07/2005 | 2,350,000 | |||||||||||
Triborough Bridge & Tunnel Authority VRDN RB Series 2003 F (ABN Amro Bank N.V. SPA) (A-1+/ VMIG1) | ||||||||||||||
2,400,000 | 2.23 | 07/07/2005 | 2,400,000 | |||||||||||
Westchester County New York Individual Development Agency Levister Redevelopment Co., LLC. VRDN RB AMT Series 2001 B (Bank of New York LOC) (VMIG1) | ||||||||||||||
3,000,000 | 2.25 | 07/07/2005 | 3,000,000 | |||||||||||
William Floyd Union Free School District of the Mastics-Moriches-Shirley Tax Anticipation Notes Series 2005 (SP-1+) | ||||||||||||||
2,000,000 | 4.00 | 06/27/2006 | 2,025,023 | |||||||||||
$ | 374,413,447 | |||||||||||||
Puerto Rico—3.1% | ||||||||||||||
Puerto Rico Commonwealth Highway & Transportation Authority VRDN RB Series 1998 A (AMBAC) (Bank of Nova Scotia SPA) (A-1+/ VMIG1) | ||||||||||||||
$ | 3,700,000 | 2.20 | % | 07/06/2005 | $ | 3,700,000 | ||||||||
Puerto Rico Industrial Tourist Educational VRDN RB AMT for Bristol-Myers Squibb Project Series 2000 (P-1) | ||||||||||||||
8,300,000 | 2.25 | 07/07/2005 | 8,300,000 | |||||||||||
$ | 12,000,000 | |||||||||||||
Total Investments—100.7% | $ | 386,413,447 | ||||||||||||
The percentage shown for each category reflects the value of investments in that category as a percentage of net assets.
(a) | Securities not registered under the Securities Act of 1933, as amended. Such securities have been determined to be liquid by the Investment Adviser. At June 30, 2005, these securities amounted to $94,090,000 or approximately 24.6% of net assets. |
(b) All or a portion represents a forward commitment.
Interest rates represent either the stated coupon rate, or for floating rate securities, the current reset rate, which is based upon current interest rate indices.
Maturity dates represent either the stated date on the security, the next interest reset date for floating rate securities, or the prerefunded date for those types of securities.
Security ratings disclosed are issued by Standard & Poor’s/ Moody’s Investors Service/ Fitch. A description of the ratings is available in the Portfolio’s Statement of Additional Information.
AMBAC | — | Insured by American Municipal Bond Assurance Corp. | ||
AMT | — | Alternative Minimum Tax | ||
COPS | — | Certificates of Participation | ||
CP | — | Commercial Paper | ||
FGIC | — | Insured by Financial Guaranty Insurance Co. | ||
FHLMC | — | Insured by Federal Home Loan Mortgage Corp. | ||
FNMA | — | Insured by Federal National Mortgage Association | ||
FSA | — | Insured by Financial Security Assurance Co. | ||
GO | — | General Obligation | ||
IDA | — | Industrial Development Authority | ||
LOC | — | Letter of Credit | ||
MBIA | — | Insured by Municipal Bond Investors Assurance | ||
MBIA-IBC | — | Insured by Municipal Bond Investors Assurance — Insured Bond Certificates | ||
MF Hsg. | — | Multi-Family Housing | ||
RB | — | Revenue Bond | ||
RMKT | — | Remarketed | ||
ROCS | — | Reset Option Certificates | ||
SPA | — | Stand-by Purchase Agreement | ||
VRDN | — | Variable Rate Demand Notes | ||
XLCA | — | Insured by XL Capital Assurance |
Prime | Money | ||||||||||||
Obligations | Market | Government | |||||||||||
Portfolio | Portfolio | Portfolio | |||||||||||
Assets: | |||||||||||||
Investment in unaffiliated securities, based on amortized cost | $ | 404,001,453 | $ | 1,311,605,660 | $ | 59,459,844 | |||||||
Repurchase agreements-unaffiliated issuers, based on amortized cost | 111,700,000 | 424,900,000 | 36,100,000 | ||||||||||
Cash | 5,436 | 58,493 | 98,557 | ||||||||||
Receivables: | |||||||||||||
Investment securities sold | — | — | — | ||||||||||
Interest | 738,207 | 3,211,307 | 209,100 | ||||||||||
Fund shares sold | 10,063,876 | 358,211 | — | ||||||||||
Reimbursement from investment adviser | 19,272 | — | 17,846 | ||||||||||
Other | 28,164 | 3,808 | — | ||||||||||
Total assets | 526,556,408 | 1,740,137,479 | 95,885,347 | ||||||||||
Liabilities: | |||||||||||||
Payables: | |||||||||||||
Investment securities purchased | — | — | — | ||||||||||
Income distribution | 111,529 | 257,888 | 17,455 | ||||||||||
Fund shares repurchased | — | 356,385 | — | ||||||||||
Amounts owed to affiliates | 251,902 | 726,241 | 35,049 | ||||||||||
Accrued expenses and other liabilities | 125,234 | 152,503 | 64,000 | ||||||||||
Total liabilities | 488,665 | 1,493,017 | 116,504 | ||||||||||
Net Assets: | |||||||||||||
Paid-in capital | 526,067,743 | 1,738,644,462 | 95,768,843 | ||||||||||
Accumulated net realized gain (loss) on investment transactions | — | — | — | ||||||||||
Net assets | $ | 526,067,743 | $ | 1,738,644,462 | $ | 95,768,843 | |||||||
Net asset value, offering and redemption price per unit/share | $1.00 | $1.00 | $1.00 | ||||||||||
Net assets: | |||||||||||||
ILA Units | $ | 163,433,469 | $ | 504,542,172 | $ | 24,948,658 | |||||||
ILA Administration Units | 76,662,338 | 840,427,075 | 11,743,027 | ||||||||||
ILA Service Units | 246,516,171 | 265,524,881 | 54,452,584 | ||||||||||
ILA Class B Units | 16,231,243 | — | — | ||||||||||
ILA Class C Units | 20,702,284 | — | — | ||||||||||
ILA Cash Management Shares | 2,522,238 | 128,150,334 | 4,624,574 | ||||||||||
Units/ Shares outstanding: | |||||||||||||
ILA Units | 163,433,469 | 504,542,172 | 24,906,253 | ||||||||||
ILA Administration Units | 76,662,338 | 840,427,075 | 11,742,597 | ||||||||||
ILA Service Units | 246,516,171 | 265,524,881 | 54,439,787 | ||||||||||
ILA Class B Units | 16,231,243 | — | — | ||||||||||
ILA Class C Units | 20,702,284 | — | — | ||||||||||
ILA Cash Management Shares | 2,522,238 | 128,150,334 | 4,624,574 | ||||||||||
Total units/ shares of beneficial interest outstanding, $0.001 par value (unlimited number of units/ shares authorized) | 526,067,743 | 1,738,644,462 | 95,713,211 | ||||||||||
Treasury | Treasury | Tax-Exempt | Tax-Exempt | Tax-Exempt | ||||||||||||||||||
Obligations | Instruments | Federal | Diversified | California | New York | |||||||||||||||||
Portfolio | Portfolio | Portfolio | Portfolio | Portfolio | Portfolio | |||||||||||||||||
$ | 43,659,983 | $ | 581,646,667 | $ | 2,350,519,953 | $ | 2,203,264,115 | $ | 564,578,875 | $ | 386,413,447 | |||||||||||
1,056,600,000 | — | — | — | — | — | |||||||||||||||||
26,609 | 12,068 | 15,111 | 62,683 | 7,031,976 | 3,646,778 | |||||||||||||||||
— | — | 124,754,080 | 1,086,339 | 90,000 | 90,000 | |||||||||||||||||
182,072 | — | 3,894,380 | 10,225,677 | — | — | |||||||||||||||||
— | — | 4 | 183 | — | 4 | |||||||||||||||||
— | 13,650 | — | — | — | 21,698 | |||||||||||||||||
9,318 | 2,854 | 4,259 | 7,897 | 4,054 | 2,791 | |||||||||||||||||
1,100,477,982 | 581,675,239 | 2,479,187,787 | 2,214,646,894 | 571,704,905 | 390,174,718 | |||||||||||||||||
— | — | 99,750,722 | 98,324,517 | 26,745,839 | 6,335,463 | |||||||||||||||||
1,509,920 | 845,213 | 495,849 | 387,515 | 55,113 | 47,497 | |||||||||||||||||
— | — | — | 11 | — | — | |||||||||||||||||
331,621 | 191,269 | 978,937 | 888,998 | 212,285 | 174,328 | |||||||||||||||||
334,495 | 233,767 | 134,919 | 77,896 | 45,880 | 64,957 | |||||||||||||||||
2,176,036 | 1,270,249 | 101,360,427 | 99,678,937 | 27,059,117 | 6,622,245 | |||||||||||||||||
1,098,301,946 | 580,404,990 | 2,377,829,322 | 2,114,962,331 | 544,676,905 | 383,552,391 | |||||||||||||||||
— | — | (1,962 | ) | 5,626 | (31,117 | ) | 82 | |||||||||||||||
$ | 1,098,301,946 | $ | 580,404,990 | $ | 2,377,827,360 | $ | 2,114,967,957 | $ | 544,645,788 | $ | 383,552,473 | |||||||||||
$1.00 | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | |||||||||||||||||
$ | 185,315,897 | $ | 33,816,947 | $ | 773,789,436 | $ | 579,990,350 | $ | 201,123,915 | $ | 108,647,109 | |||||||||||
14,972,346 | 31,918,426 | 1,272,717,073 | 1,368,646,555 | 325,596,999 | 201,685,688 | |||||||||||||||||
871,052,700 | 492,848,060 | 221,214,284 | 20,935,121 | 1,688 | 175,716 | |||||||||||||||||
— | — | — | — | — | — | |||||||||||||||||
— | — | — | — | — | — | |||||||||||||||||
26,961,003 | 21,821,557 | 110,106,567 | 145,395,931 | 17,923,186 | 73,043,960 | |||||||||||||||||
185,315,897 | 33,816,947 | 773,790,076 | 579,891,750 | 201,093,488 | 108,644,819 | |||||||||||||||||
14,972,346 | 31,918,426 | 1,272,718,115 | 1,368,583,865 | 325,585,042 | 201,681,993 | |||||||||||||||||
871,052,700 | 492,848,060 | 221,214,473 | 20,927,493 | 1,688 | 175,696 | |||||||||||||||||
— | — | — | — | — | — | |||||||||||||||||
— | — | — | — | — | — | |||||||||||||||||
26,961,003 | 21,821,557 | 110,106,658 | 145,349,125 | 17,915,700 | 73,041,775 | |||||||||||||||||
1,098,301,946 | 580,404,990 | 2,377,829,322 | 2,114,752,233 | 544,595,918 | 383,544,283 | |||||||||||||||||
Prime | Money | |||||||||||||
Obligations | Market | Government | ||||||||||||
Portfolio | Portfolio | Portfolio | ||||||||||||
Investment income: | ||||||||||||||
Interest income—unaffiliated | $ | 7,125,551 | $ | 25,132,038 | $ | 1,504,823 | ||||||||
Interest income—affiliated | — | — | 3,875 | |||||||||||
Total income | 7,125,551 | 25,132,038 | 1,508,698 | |||||||||||
Expenses: | ||||||||||||||
Non-Class Specific Expenses: | ||||||||||||||
Management fees | 894,425 | 3,171,964 | 193,367 | |||||||||||
Transfer Agent fees | 102,220 | 362,510 | 22,099 | |||||||||||
Custody and accounting fees | 54,696 | 108,340 | 32,886 | |||||||||||
Registration fees | 37,801 | 27,152 | 14,105 | |||||||||||
Professional fees | 31,648 | 30,006 | 29,385 | |||||||||||
Printing fees | 23,655 | 13,211 | 14,443 | |||||||||||
Trustee fees | 7,823 | 7,823 | 7,823 | |||||||||||
Other | 22,785 | 4,318 | 12,739 | |||||||||||
Subtotal | 1,175,053 | 3,725,324 | 326,847 | |||||||||||
Class Specific Expenses: | ||||||||||||||
Service Share fees | 466,093 | 502,178 | 107,383 | |||||||||||
Distribution and Service fees—Cash Management Shares | 8,804 | 374,632 | 14,770 | |||||||||||
Distribution and Service fees—Class B and Class C units | 183,500 | — | — | |||||||||||
Cash Management Share fees | 8,804 | 374,632 | 14,770 | |||||||||||
Administration Share fees | 54,100 | 642,449 | 8,553 | |||||||||||
Total expenses | 1,896,354 | 5,619,215 | 472,323 | |||||||||||
Less—expense reductions | (77,714 | ) | (322,728 | ) | (100,286 | ) | ||||||||
Net expenses | 1,818,640 | 5,296,487 | 372,037 | |||||||||||
Net investment income | 5,306,911 | 19,835,551 | 1,136,661 | |||||||||||
Net realized gain (loss) on investment transactions | (4,673 | ) | — | (2,242 | ) | |||||||||
Net increase in net assets resulting from operations | $ | 5,302,238 | $ | 19,835,551 | $ | 1,134,419 | ||||||||
Treasury | Treasury | Tax-Exempt | Tax-Exempt | Tax-Exempt | ||||||||||||||||||
Obligations | Instruments | Federal | Diversified | California | New York | |||||||||||||||||
Portfolio | Portfolio | Portfolio | Portfolio | Portfolio | Portfolio | |||||||||||||||||
$ | 11,474,795 | $ | 7,369,994 | $ | 35,146,799 | $ | 24,355,771 | $ | 5,537,233 | $ | 4,183,290 | |||||||||||
142,813 | — | — | — | — | — | |||||||||||||||||
11,617,608 | 7,369,994 | 35,146,799 | 24,355,771 | 5,537,233 | 4,183,290 | |||||||||||||||||
1,505,794 | 996,185 | 4,583,780 | 3,965,357 | 905,906 | 677,586 | |||||||||||||||||
172,091 | 113,850 | 523,861 | 453,184 | 103,535 | 77,438 | |||||||||||||||||
65,158 | 58,190 | 133,609 | 123,636 | 50,165 | 47,264 | |||||||||||||||||
15,400 | 20,509 | 28,483 | 26,152 | 8,405 | 8,701 | |||||||||||||||||
32,101 | 30,614 | 28,720 | 28,431 | 25,964 | 31,379 | |||||||||||||||||
12,648 | 15,313 | 13,491 | 19,480 | 13,442 | 15,447 | |||||||||||||||||
7,823 | 7,823 | 7,823 | 7,823 | 7,823 | 7,823 | |||||||||||||||||
5,273 | 26,107 | 23,073 | 6,647 | 5,756 | 10,790 | |||||||||||||||||
1,816,288 | 1,268,591 | 5,342,840 | 4,630,710 | 1,120,996 | 876,428 | |||||||||||||||||
1,284,243 | 953,906 | 420,186 | 40,787 | 4 | 5,913 | |||||||||||||||||
30,946 | 58,094 | 400,947 | 413,648 | 45,654 | 208,377 | |||||||||||||||||
— | — | — | — | — | — | |||||||||||||||||
30,946 | 58,094 | 400,947 | 413,648 | 45,654 | 208,376 | |||||||||||||||||
10,358 | 23,132 | 1,014,455 | 1,053,402 | 240,246 | 142,296 | |||||||||||||||||
3,172,781 | 2,361,817 | 7,579,375 | 6,552,195 | 1,452,554 | 1,441,390 | |||||||||||||||||
(27,183 | ) | (83,828 | ) | (345,435 | ) | (356,012 | ) | (39,262 | ) | (215,505 | ) | |||||||||||
3,145,598 | 2,277,989 | 7,233,940 | 6,196,183 | 1,413,292 | 1,225,885 | |||||||||||||||||
8,472,010 | 5,092,005 | 27,912,859 | 18,159,588 | 4,123,941 | 2,957,405 | |||||||||||||||||
(28,369 | ) | 13,539 | (26,634 | ) | 40,615 | 4,424 | 717 | |||||||||||||||
$ | 8,443,641 | $ | 5,105,544 | $ | 27,886,225 | $ | 18,200,203 | $ | 4,128,365 | $ | 2,958,122 | |||||||||||
Prime Obligations Portfolio | Money Market Portfolio | ||||||||||||||||
For the Six | For the Six | ||||||||||||||||
Months | For the Year | Months | For the Year | ||||||||||||||
Ended | Ended | Ended | Ended | ||||||||||||||
June 30, 2005 | December 31, | June 30, 2005 | December 31, | ||||||||||||||
(Unaudited) | 2004 | (Unaudited) | 2004 | ||||||||||||||
From operations: | |||||||||||||||||
Net investment income | $ | 5,306,911 | $ | 3,532,949 | $ | 19,835,551 | $ | 14,121,771 | |||||||||
Net realized gain (loss) on investment transactions | (4,673 | ) | 7,235 | — | 19,513 | ||||||||||||
Net increase in net assets resulting from operations | 5,302,238 | 3,540,184 | 19,835,551 | 14,141,284 | |||||||||||||
Distributions to unit/shareholders: | |||||||||||||||||
From net investment income | |||||||||||||||||
ILA Units | (1,984,742 | ) | (1,687,714 | ) | (6,552,040 | ) | (5,167,932 | ) | |||||||||
ILA Administration Units | (805,287 | ) | (599,037 | ) | (9,459,137 | ) | (6,625,070 | ) | |||||||||
ILA Service Units | (2,337,298 | ) | (985,089 | ) | (2,478,457 | ) | (1,690,342 | ) | |||||||||
ILA Class B Units | (117,971 | ) | (74,703 | ) | — | — | |||||||||||
ILA Class C Units | (141,530 | ) | (54,615 | ) | — | — | |||||||||||
ILA Cash Management Shares | (31,637 | ) | (22,799 | ) | (1,345,917 | ) | (657,940 | ) | |||||||||
Total distributions to unit/shareholders | (5,418,465 | ) | (3,423,957 | ) | (19,835,551 | ) | (14,141,284 | ) | |||||||||
From units/share transactions (at $1.00 per unit/share): | |||||||||||||||||
Proceeds from sales of units/shares | 708,028,803 | 1,184,362,904 | 5,673,295,789 | 10,771,860,575 | |||||||||||||
Reinvestment of dividends and distributions | 4,817,533 | 2,969,822 | 18,580,572 | 13,403,334 | |||||||||||||
Cost of units/shares repurchased | (658,301,092 | ) | (1,174,689,576 | ) | (5,687,621,865 | ) | (10,769,820,561 | ) | |||||||||
Net increase (decrease) in net assets resulting from unit/share transactions | 54,545,244 | 12,643,150 | 4,254,496 | 15,443,348 | |||||||||||||
Total increase (decrease) | 54,429,017 | 12,759,377 | 4,254,496 | 15,443,348 | |||||||||||||
Net assets: | |||||||||||||||||
Beginning of period | 471,638,726 | 458,879,349 | 1,734,389,966 | 1,718,946,618 | |||||||||||||
End of period | $ | 526,067,743 | $ | 471,638,726 | $ | 1,738,644,462 | $ | 1,734,389,966 | |||||||||
Government Portfolio | Treasury Obligations Portfolio | Treasury Instruments Portfolio | ||||||||||||||||||||
For the Six | For the Six | For the Six | ||||||||||||||||||||
Months | For the Year | Months | For the Year | Months | For the Year | |||||||||||||||||
Ended | Ended | Ended | Ended | Ended | Ended | |||||||||||||||||
June 30, 2005 | December 31, | June 30, 2005 | December 31, | June 30, 2005 | December 31, | |||||||||||||||||
(Unaudited) | 2004 | (Unaudited) | 2004 | (Unaudited) | 2004 | |||||||||||||||||
$ | 1,136,661 | $ | 1,028,681 | $ | 8,472,010 | $ | 4,468,577 | $ | 5,092,005 | $ | 2,556,479 | |||||||||||
(2,242 | ) | — | (28,369 | ) | (59,972 | ) | 13,539 | 104,586 | ||||||||||||||
1,134,419 | 1,028,681 | 8,443,641 | 4,408,605 | 5,105,544 | 2,661,065 | |||||||||||||||||
(448,084 | ) | (568,546 | ) | (2,141,811 | ) | (1,433,769 | ) | (404,845 | ) | (345,518 | ) | |||||||||||
(121,474 | ) | (111,196 | ) | (142,953 | ) | (114,016 | ) | (302,648 | ) | (217,525 | ) | |||||||||||
(513,377 | ) | (321,814 | ) | (5,995,126 | ) | (2,872,359 | ) | (4,215,426 | ) | (2,039,324 | ) | |||||||||||
— | — | — | — | — | — | |||||||||||||||||
— | — | — | — | — | — | |||||||||||||||||
(51,484 | ) | (27,125 | ) | (112,475 | ) | (39,737 | ) | (183,458 | ) | (57,865 | ) | |||||||||||
(1,134,419 | ) | (1,028,681 | ) | (8,392,365 | ) | (4,459,881 | ) | (5,106,377 | ) | (2,660,232 | ) | |||||||||||
253,716,093 | 306,414,468 | 1,259,590,552 | 1,590,906,592 | 757,262,167 | 1,379,176,152 | |||||||||||||||||
1,077,542 | 984,227 | 2,078,192 | 1,324,281 | 796,418 | 591,045 | |||||||||||||||||
(287,721,385 | ) | (338,381,979 | ) | (894,720,006 | ) | (1,767,900,554 | ) | (632,662,895 | ) | (1,399,388,920 | ) | |||||||||||
(32,927,750 | ) | (30,983,284 | ) | 366,948,738 | (175,669,681 | ) | 125,395,690 | (19,621,723 | ) | |||||||||||||
(32,927,750 | ) | (30,983,284 | ) | 367,000,014 | (175,720,957 | ) | 125,394,857 | (19,620,890 | ) | |||||||||||||
128,696,593 | 159,679,877 | 731,301,932 | 907,022,889 | 455,010,133 | 474,631,023 | |||||||||||||||||
$ | 95,768,843 | $ | 128,696,593 | $ | 1,098,301,946 | $ | 731,301,932 | $ | 580,404,990 | $ | 455,010,133 | |||||||||||
Federal Portfolio | Tax-Exempt Diversified Portfolio | ||||||||||||||||
For the Six | For the Six | ||||||||||||||||
Months | For the Year | Months | For the Year | ||||||||||||||
Ended | Ended | Ended | Ended | ||||||||||||||
June 30, 2005 | December 31, | June 30, 2005 | December 31, | ||||||||||||||
(Unaudited) | 2004 | (Unaudited) | 2004 | ||||||||||||||
From operations: | |||||||||||||||||
Net investment income | $ | 27,912,859 | $ | 22,531,498 | $ | 18,159,588 | $ | 14,631,417 | |||||||||
Net realized gain (loss) on investment transactions | (26,634 | ) | 38,848 | 40,615 | (23,049 | ) | |||||||||||
Net increase in net assets resulting from operations | 27,886,225 | 22,570,346 | 18,200,203 | 14,608,368 | |||||||||||||
Distributions to unit/shareholders: | |||||||||||||||||
From net investment income | |||||||||||||||||
ILA Units | (10,219,411 | ) | (10,114,532 | ) | (5,861,412 | ) | (6,132,774 | ) | |||||||||
ILA Administration Units | (14,329,580 | ) | (10,289,303 | ) | (11,175,000 | ) | (7,864,286 | ) | |||||||||
ILA Service Units | (1,978,570 | ) | (1,370,442 | ) | (136,270 | ) | (55,607 | ) | |||||||||
ILA Class B Units | — | — | — | — | |||||||||||||
ILA Class C Units | — | — | — | — | |||||||||||||
ILA Cash Management Shares | (1,360,626 | ) | (796,069 | ) | (986,906 | ) | (578,750 | ) | |||||||||
Total distributions to unit/shareholders | (27,888,187 | ) | (22,570,346 | ) | (18,159,588 | ) | (14,631,417 | ) | |||||||||
From units/share transactions (at $1.00 per unit/share): | |||||||||||||||||
Proceeds from sales of units/shares | 8,535,348,391 | 16,955,585,386 | 8,456,225,313 | 14,494,443,892 | |||||||||||||
Reinvestment of dividends and distributions | 25,143,444 | 20,710,221 | 16,150,271 | 13,460,400 | |||||||||||||
Cost of units/shares repurchased | (8,914,767,655 | ) | (17,271,422,195 | ) | (8,556,217,949 | ) | (14,200,547,800 | ) | |||||||||
Net increase (decrease) in net assets resulting from unit/share transactions | (354,275,820 | ) | (295,126,588 | ) | (83,842,365 | ) | 307,356,492 | ||||||||||
Total increase (decrease) | (354,277,782 | ) | (295,126,588 | ) | (83,801,750 | ) | 307,333,443 | ||||||||||
Net assets: | |||||||||||||||||
Beginning of period | 2,732,105,142 | 3,027,231,730 | 2,198,769,707 | 1,891,436,264 | |||||||||||||
End of period | $ | 2,377,827,360 | $ | 2,732,105,142 | $ | 2,114,967,957 | $ | 2,198,769,707 | |||||||||
Tax-Exempt California Portfolio | Tax-Exempt New York Portfolio | |||||||||||||
For the Six | For the Six | |||||||||||||
Months | For the Year | Months | For the Year | |||||||||||
Ended | Ended | Ended | Ended | |||||||||||
June 30, 2005 | December 31, | June 30, 2005 | December 31, | |||||||||||
(Unaudited) | 2004 | (Unaudited) | 2004 | |||||||||||
$ | 4,123,941 | $ | 3,087,106 | $ | 2,957,405 | $ | 1,953,848 | |||||||
4,424 | (1,170 | ) | 717 | (635 | ) | |||||||||
4,128,365 | 3,085,936 | 2,958,122 | 1,953,213 | |||||||||||
(1,531,793 | ) | (1,593,169 | ) | (953,006 | ) | (777,583 | ) | |||||||
(2,479,671 | ) | (1,426,687 | ) | (1,506,112 | ) | (970,880 | ) | |||||||
(11 | ) | (6 | ) | (19,625 | ) | (442 | ) | |||||||
— | — | — | — | |||||||||||
— | — | — | — | |||||||||||
(112,466 | ) | (67,244 | ) | (478,662 | ) | (204,943 | ) | |||||||
(4,123,941 | ) | (3,087,106 | ) | (2,957,405 | ) | (1,953,848 | ) | |||||||
2,385,519,085 | 2,701,214,326 | 1,138,451,584 | 1,712,228,079 | |||||||||||
3,832,737 | 2,940,213 | 2,727,976 | 1,838,854 | |||||||||||
(2,341,491,230 | ) | (2,748,068,153 | ) | (1,091,354,856 | ) | (1,660,392,807 | ) | |||||||
47,860,592 | (43,913,614 | ) | 49,824,704 | 53,674,126 | ||||||||||
47,865,016 | (43,914,784 | ) | 49,825,421 | 53,673,491 | ||||||||||
496,780,772 | 540,695,556 | 333,727,052 | 280,053,561 | |||||||||||
$ | 544,645,788 | $ | 496,780,772 | $ | 383,552,473 | $ | 333,727,052 | |||||||
2. Significant Accounting Policies
A. Investment Valuation—
B. Security Transactions and Interest Income—
C. Federal Taxes—
Tax-Exempt | Tax-Exempt | Tax-Exempt | ||||||||||
Year | Diversified | California | New York | |||||||||
2007 | $ | — | $ | 5,000 | $ | — | ||||||
2008 | — | 4,400 | — | |||||||||
2011 | 11,900 | 14,300 | — | |||||||||
2012 | 23,100 | 11,800 | 600 | |||||||||
Total | $ | 35,000 | $ | 35,500 | $ | 600 | ||||||
The above amounts are available to be carried forward to offset future capital gains to the extent permitted by applicable laws or regulations. Expiration occurs on December 31 of the year indicated.
D. Expenses—
E. Forward Commitment Transactions—
F. Repurchase Agreements—
3. Agreements
Other | B&C Units | CMS | ||||||||||||||||||
Expense | Custody | Distribution | Share | |||||||||||||||||
Reimburse- | Fee | and Service | Distribution | |||||||||||||||||
Portfolio | ments | Reductions | Fee Waiver | Fee Waiver | Total | |||||||||||||||
Prime Obligations | $ | 66 | $ | 1 | $ | 4 | $ | 7 | $ | 78 | ||||||||||
Money Market | — | 1 | N/A | 322 | 323 | |||||||||||||||
Government | 86 | 1 | N/A | 13 | 100 | |||||||||||||||
Treasury Obligations | — | 1 | N/A | 26 | 27 | |||||||||||||||
Treasury Instruments | 33 | 1 | N/A | 50 | 84 | |||||||||||||||
Federal | — | 1 | N/A | 344 | 345 | |||||||||||||||
Tax-Exempt Diversified | — | — | † | N/A | 356 | 356 | ||||||||||||||
Tax-Exempt California | — | — | N/A | 39 | 39 | |||||||||||||||
Tax-Exempt New York | 36 | — | N/A | 180 | 216 | |||||||||||||||
† | Only amounts greater than $500 are disclosed. |
The Trust, on behalf of each Portfolio that offers Class B Units and Class C Units, has adopted a Distribution and Service Plan. Under the respective Distribution and Service Plan, Goldman Sachs and/or Authorized Dealers are entitled to a monthly fee from each Portfolio for distribution services and personal and account maintenance fees equal to, on an annual basis, 0.75% and 0.25%, respectively, of the average daily net assets attributable to Class B and Class C Units. GSAM voluntarily waived a portion of the Distribution and Service Fees equal to 0.13% of the average daily net assets attributable to Class B and Class C units in the Prime Obligations Portfolio, for the one month ended January 31, 2005. Effective February 1, 2005, GSAM removed the voluntary fee waivers on its Distribution and Service Fees attributable to Class B and Class C Units in the Prime Obligations Portfolio.
At June 30, 2005, the amounts owed to affiliates were as follows (in thousands):
Distribution | Transfer | |||||||||||||||||||
Management | and Service | Agent | Affiliated | |||||||||||||||||
Portfolio | Fees | Fees | Fees | Dealers | Total | |||||||||||||||
Prime Obligations | $ | 155 | $ | 30 | $ | 18 | $ | 49 | $ | 252 | ||||||||||
Money Market | 503 | 8 | 57 | 158 | 726 | |||||||||||||||
Government | 30 | 1 | 3 | 1 | 35 | |||||||||||||||
Treasury Obligations | 296 | 1 | 34 | 1 | 332 | |||||||||||||||
Treasury Instruments | 167 | 1 | 19 | 4 | 191 | |||||||||||||||
Federal | 687 | 7 | 79 | 206 | 979 | |||||||||||||||
Tax-Exempt Diversified | 596 | 8 | 68 | 217 | 889 | |||||||||||||||
Tax-Exempt California | 147 | 1 | 17 | 47 | 212 | |||||||||||||||
Tax-Exempt New York | 110 | 4 | 13 | 47 | 174 | |||||||||||||||
Goldman Sachs also serves as the Transfer Agent for the Portfolios and is entitled to a fee calculated daily and payable monthly at an annual rate of 0.04% of the average daily net assets of each class.
4. Line of Credit Facility
5. Portfolio Concentrations
6. Other Matters
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 Goldman Sachs Group, Inc. (“GSG”), 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 GSG, GSAM, Goldman Sachs Asset Management International (“GSAMI”), Goldman Sachs and certain related parties including certain Goldman Sachs Funds and the Trustees and Officers of the Trust. Certain investment portfolios of the Trust were named as nominal defendants in the amended complaint. The amended complaint alleges violations of the Act are 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 Goldman Sachs Funds paid excessive and improper advisory fees to Goldman Sachs. The consolidated and amended complaint also alleges that GSAM and GSAMI used 12b-1 fees for improper purposes and made improper use of soft dollars.
The complaint further alleges that the Trust’s officers and trustees breached their fiduciary duties in connection with the foregoing. In addition, in March 2005, Jeanne and Don Masden fled a purported class action lawsuit in the United States District Court for the Southern District of New York against GSG, GSAM, Goldman Sachs, the Trustees of the Trust, the Trust, and certain other related parties. The lawsuit amends a previously filed complaint, and alleges breaches of fiduciary duties and duties of care owed under federal and state law resulting from a failure to
7. Summary of Unit/ Share Transactions (at $1.00 per unit/share)
Prime Obligations Portfolio | Money Market Portfolio | |||||||||||||||
For the | For the | |||||||||||||||
Six Months Ended | For the | Six Months Ended | For the | |||||||||||||
June 30, 2005 | Year Ended | June 30, 2005 | Year Ended | |||||||||||||
(Unaudited) | December 31, 2004 | (Unaudited) | December 31, 2004 | |||||||||||||
ILA Units: | ||||||||||||||||
Units sold | 245,201,780 | 514,120,948 | 899,616,854 | 1,702,920,271 | ||||||||||||
Reinvestment of dividends and distributions | 1,515,488 | 1,304,342 | 6,294,823 | 4,971,198 | ||||||||||||
Units repurchased | (244,118,314 | ) | (523,331,027 | ) | (947,894,666 | ) | (1,663,771,061 | ) | ||||||||
2,598,954 | 7,905,737 | (41,982,989 | ) | 44,120,408 | ||||||||||||
ILA Administration Units: | ||||||||||||||||
Units sold | 165,717,766 | 274,577,711 | 2,966,996,504 | 4,991,040,266 | ||||||||||||
Reinvestment of dividends and distributions | 768,128 | 580,909 | 8,541,802 | 6,152,499 | ||||||||||||
Units repurchased | (154,855,126 | ) | (276,362,224 | ) | (2,967,367,617 | ) | (4,763,149,575 | ) | ||||||||
11,630,768 | (1,203,604 | ) | 8,170,689 | 234,043,190 | ||||||||||||
ILA Service Units: | ||||||||||||||||
Units sold | 243,247,403 | 313,613,349 | 1,375,976,321 | 3,191,066,801 | ||||||||||||
Units converted from ILA Class B(a) | 244,594 | 110,981 | — | — | ||||||||||||
Reinvestment of dividends and distributions | 2,254,101 | 942,014 | 2,452,611 | 1,673,674 | ||||||||||||
Units repurchased | (204,275,362 | ) | (281,419,311 | ) | (1,356,528,769 | ) | (3,243,141,032 | ) | ||||||||
41,470,736 | 33,247,033 | 21,900,163 | (50,400,557 | ) | ||||||||||||
ILA Class B Units: | ||||||||||||||||
Units sold | 5,485,620 | 13,466,341 | — | — | ||||||||||||
Units converted to ILA Service(a) | (244,594 | ) | (110,981 | ) | — | — | ||||||||||
Reinvestment of dividends and distributions | 108,817 | 67,412 | — | — | ||||||||||||
Units repurchased | (7,345,452 | ) | (21,705,766 | ) | — | — | ||||||||||
(1,995,609 | ) | (8,282,994 | ) | — | — | |||||||||||
ILA Class C Units: | ||||||||||||||||
Units sold | 19,957,462 | 19,875,646 | — | — | ||||||||||||
Reinvestment of dividends and distributions | 139,419 | 53,102 | — | — | ||||||||||||
Units repurchased | (14,458,798 | ) | (21,209,831 | ) | — | — | ||||||||||
5,638,083 | (1,281,083 | ) | — | — | ||||||||||||
ILA Cash Management Shares: | ||||||||||||||||
Shares sold | 28,418,772 | 48,708,909 | 430,706,110 | 886,833,237 | ||||||||||||
Reinvestment of dividends and distributions | 31,580 | 22,043 | 1,291,336 | 605,963 | ||||||||||||
Shares repurchased | (33,248,040 | ) | (50,661,417 | ) | (415,830,813 | ) | (1,099,758,893 | ) | ||||||||
(4,797,688 | ) | (1,930,465 | ) | 16,166,633 | (212,319,693 | ) | ||||||||||
Net increase (decrease) in units/shares | 54,545,244 | 12,643,150 | 4,254,496 | 15,443,348 | ||||||||||||
(a) | Class B Units will automatically convert into Service Units 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. |
Government Portfolio | Treasury Obligations Portfolio | Treasury Instruments Portfolio | ||||||||||||||||||||||
For the | For the | For the | ||||||||||||||||||||||
Six Months Ended | For the | Six Months Ended | For the | Six Months Ended | For the | |||||||||||||||||||
June 30, 2005 | Year Ended | June 30, 2005 | Year Ended | June 30, 2005 | Year Ended | |||||||||||||||||||
(Unaudited) | December 31, 2004 | (Unaudited) | December 31, 2004 | (Unaudited) | December 31, 2004 | |||||||||||||||||||
52,075,983 | 127,470,174 | 387,189,881 | 676,949,955 | 84,564,932 | 142,450,104 | |||||||||||||||||||
421,381 | 542,850 | 1,943,566 | 1,215,940 | 343,687 | 320,227 | |||||||||||||||||||
(78,834,201 | ) | (162,436,383 | ) | (359,845,010 | ) | (659,817,458 | ) | (84,927,655 | ) | (160,198,291 | ) | |||||||||||||
(26,336,837 | ) | (34,423,359 | ) | 29,288,437 | 18,348,437 | (19,036 | ) | (17,427,960 | ) | |||||||||||||||
28,419,129 | 63,264,753 | 43,066,338 | 98,289,242 | 106,268,418 | 233,937,626 | |||||||||||||||||||
120,707 | 110,648 | 128,693 | 101,864 | 276,336 | 210,568 | |||||||||||||||||||
(29,405,383 | ) | (63,630,863 | ) | (41,122,251 | ) | (103,214,673 | ) | (107,729,510 | ) | (232,320,336 | ) | |||||||||||||
(865,547 | ) | (255,462 | ) | 2,072,780 | (4,823,567 | ) | (1,184,756 | ) | 1,827,858 | |||||||||||||||
19,644,377 | 61,499,299 | 803,477,344 | 789,309,385 | 529,103,185 | 958,349,325 | |||||||||||||||||||
— | — | — | — | — | — | |||||||||||||||||||
499,138 | 311,646 | 3,115 | 4,960 | — | 2,908 | |||||||||||||||||||
(22,644,012 | ) | (57,029,210 | ) | (486,819,124 | ) | (944,791,872 | ) | (408,550,567 | ) | (948,493,029 | ) | |||||||||||||
(2,500,497 | ) | 4,781,735 | 316,661,335 | (155,477,527 | ) | 120,552,618 | 9,859,204 | |||||||||||||||||
— | — | — | — | — | — | |||||||||||||||||||
— | — | — | — | — | — | |||||||||||||||||||
— | — | — | — | — | — | |||||||||||||||||||
— | — | — | — | — | — | |||||||||||||||||||
— | — | — | — | — | — | |||||||||||||||||||
— | — | — | — | — | — | |||||||||||||||||||
— | — | — | — | — | — | |||||||||||||||||||
— | — | — | — | — | — | |||||||||||||||||||
— | — | — | — | — | — | |||||||||||||||||||
153,576,604 | 54,180,242 | 25,856,989 | 26,358,010 | 37,325,632 | 44,439,097 | |||||||||||||||||||
36,316 | 19,083 | 2,818 | 1,517 | 176,395 | 57,342 | |||||||||||||||||||
(156,837,789 | ) | (55,285,523 | ) | (6,933,621 | ) | (60,076,551 | ) | (31,455,163 | ) | (58,377,264 | ) | |||||||||||||
(3,224,869 | ) | (1,086,198 | ) | 18,926,186 | (33,717,024 | ) | 6,046,864 | (13,880,825 | ) | |||||||||||||||
(32,927,750 | ) | (30,983,284 | ) | 366,948,738 | (175,669,681 | ) | 125,395,690 | (19,621,723 | ) | |||||||||||||||
7. Summary of Unit/ Share Transactions (at $1.00 per unit/share) (continued)
Federal Portfolio | Tax-Exempt Diversified Portfolio | |||||||||||||||
For the | For the | |||||||||||||||
Six Months Ended | For the | Six Months Ended | For the | |||||||||||||
June 30, 2005 | Year Ended | June 30, 2005 | Year Ended | |||||||||||||
(Unaudited) | December 31, 2004 | (Unaudited) | December 31, 2004 | |||||||||||||
ILA Units: | ||||||||||||||||
Units sold | 1,940,486,600 | 4,142,423,150 | 1,535,593,224 | 3,357,315,327 | ||||||||||||
Reinvestment of dividends and distributions | 8,980,150 | 9,069,857 | 5,179,989 | 5,595,098 | ||||||||||||
Units repurchased | (2,113,230,030 | ) | (4,361,073,856 | ) | (1,658,168,509 | ) | (3,387,535,831 | ) | ||||||||
(163,763,280 | ) | (209,580,849 | ) | (117,395,296 | ) | (24,625,406 | ) | |||||||||
ILA Administration Units: | ||||||||||||||||
Units sold | 5,014,709,763 | 8,796,108,628 | 6,235,242,991 | 9,545,773,328 | ||||||||||||
Reinvestment of dividends and distributions | 13,358,319 | 9,819,486 | 10,014,014 | 7,303,061 | ||||||||||||
Units repurchased | (5,168,017,014 | ) | (8,422,373,189 | ) | (6,215,294,629 | ) | (9,006,625,768 | ) | ||||||||
(139,948,932 | ) | 383,554,925 | 29,962,376 | 546,450,621 | ||||||||||||
ILA Service Units: | ||||||||||||||||
Units sold | 1,119,723,147 | 2,426,010,394 | 32,425,143 | 35,306,307 | ||||||||||||
Reinvestment of dividends and distributions | 1,539,306 | 1,099,473 | 55,722 | 42,207 | ||||||||||||
Units repurchased | (1,130,274,529 | ) | (2,482,172,525 | ) | (35,197,927 | ) | (25,981,701 | ) | ||||||||
(9,012,076 | ) | (55,062,658 | ) | (2,717,062 | ) | 9,366,813 | ||||||||||
ILA Cash Management Shares: | ||||||||||||||||
Shares sold | 460,428,881 | 1,591,043,214 | 652,963,955 | 1,556,048,930 | ||||||||||||
Reinvestment of dividends and distributions | 1,265,669 | 721,405 | 900,546 | 520,034 | ||||||||||||
Shares repurchased | (503,246,082 | ) | (2,005,802,625 | ) | (647,556,884 | ) | (1,780,404,500 | ) | ||||||||
(41,551,532 | ) | (414,038,006 | ) | 6,307,617 | (223,835,536 | ) | ||||||||||
Net increase (decrease) in units/shares | (354,275,820 | ) | (295,126,588 | ) | (83,842,365 | ) | 307,356,492 | |||||||||
Tax-Exempt California Portfolio | Tax-Exempt New York Portfolio | |||||||||||||||
For the | For the | |||||||||||||||
Six Months Ended | For the | Six Months Ended | For the | |||||||||||||
June 30, 2005 | Year Ended | June 30, 2005 | Year Ended | |||||||||||||
(Unaudited) | December 31, 2004 | (Unaudited) | December 31, 2004 | |||||||||||||
517,505,443 | 806,693,227 | 269,640,645 | 456,998,964 | |||||||||||||
1,427,272 | 1,497,252 | 819,400 | 712,937 | |||||||||||||
(525,948,901 | ) | (844,160,717 | ) | (261,556,002 | ) | (447,486,745 | ) | |||||||||
(7,016,186 | ) | (35,970,238 | ) | 8,904,043 | 10,225,156 | |||||||||||
1,706,629,785 | 1,716,162,188 | 662,121,215 | 940,709,598 | |||||||||||||
2,300,077 | 1,383,276 | 1,437,956 | 932,964 | |||||||||||||
(1,657,254,915 | ) | (1,676,996,473 | ) | (636,009,425 | ) | (891,619,892 | ) | |||||||||
51,674,947 | 40,548,991 | 27,549,746 | 50,022,670 | |||||||||||||
— | — | 3,000,000 | 50,000 | |||||||||||||
11 | 6 | 19,625 | 442 | |||||||||||||
— | — | (3,000,000 | ) | (18,000 | ) | |||||||||||
11 | 6 | 19,625 | 32,442 | |||||||||||||
161,383,857 | 178,358,911 | 203,689,724 | 314,469,517 | |||||||||||||
105,377 | 59,679 | 450,995 | 192,511 | |||||||||||||
(158,287,414 | ) | (226,910,963 | ) | (190,789,429 | ) | (321,268,170 | ) | |||||||||
3,201,820 | (48,492,373 | ) | 13,351,290 | (6,606,142 | ) | |||||||||||
47,860,592 | (43,913,614 | ) | 49,824,704 | 53,674,126 | ||||||||||||
Ratios assuming no | ||||||||||||||||||||||||||||||||||||||||
expense reductions | ||||||||||||||||||||||||||||||||||||||||
Ratio of net | Ratio of | Ratio of net | ||||||||||||||||||||||||||||||||||||||
Net asset | Net asset | Net assets, | Ratio of net | investment | total | investment | ||||||||||||||||||||||||||||||||||
value, | Net | Distributions | value, | end of | expenses to | income to | expenses to | income (loss) | ||||||||||||||||||||||||||||||||
beginning | investment | to unit/ | end of | Total | period | average net | average | average net | to average | |||||||||||||||||||||||||||||||
Year—Share Class | of period | income(a) | shareholders | period | return(b) | (in 000’s) | assets | net assets | assets | net assets | ||||||||||||||||||||||||||||||
For the Six Months Ended June 30, (Unaudited) | ||||||||||||||||||||||||||||||||||||||||
2005-ILA Units | $ | 1.00 | $ | 0.012 | $ | (0.012) | $ | 1.00 | 1.19 | % | $ | 163,434 | 0.43 | %(d) | 2.35 | %(d) | 0.46 | %(d) | 2.32 | %(d) | ||||||||||||||||||||
2005-ILA Administration Units | 1.00 | 0.011 | (0.011) | 1.00 | 1.11 | 76,663 | 0.58 | (d) | 2.19 | (d) | 0.61 | (d) | 2.16 | (d) | ||||||||||||||||||||||||||
2005-ILA Service Units | 1.00 | 0.010 | (0.010) | 1.00 | 0.99 | 246,516 | 0.83 | (d) | 1.96 | (d) | 0.86 | (d) | 1.93 | (d) | ||||||||||||||||||||||||||
2005-ILA B Units | 1.00 | 0.007 | (0.007) | 1.00 | 0.70 | 16,231 | 1.41 | (d) | 1.35 | (d) | 1.46 | (d) | 1.30 | (d) | ||||||||||||||||||||||||||
2005-ILA C Units | 1.00 | 0.007 | (0.007) | 1.00 | 0.70 | 20,702 | 1.41 | (d) | 1.39 | (d) | 1.46 | (d) | 1.34 | (d) | ||||||||||||||||||||||||||
2005-ILA Cash Management Shares | 1.00 | 0.009 | (0.009) | 1.00 | 0.90 | 2,522 | 1.00 | (d) | 1.75 | (d) | 1.46 | (d) | 1.29 | (d) | ||||||||||||||||||||||||||
For the Years Ended December 31, | ||||||||||||||||||||||||||||||||||||||||
2004-ILA Units | 1.00 | 0.010 | (0.010) | 1.00 | 1.00 | 160,780 | 0.43 | 1.00 | 0.47 | 0.96 | ||||||||||||||||||||||||||||||
2004-ILA Administration Units | 1.00 | 0.008 | (0.008) | 1.00 | 0.85 | 65,049 | 0.58 | 0.86 | 0.62 | 0.82 | ||||||||||||||||||||||||||||||
2004-ILA Service Units | 1.00 | 0.006 | (0.006) | 1.00 | 0.60 | 205,341 | 0.83 | 0.63 | 0.87 | 0.59 | ||||||||||||||||||||||||||||||
2004-ILA B Units | 1.00 | 0.003 | (0.003) | 1.00 | 0.35 | 18,080 | 1.07 | 0.35 | 1.47 | (0.05 | ) | |||||||||||||||||||||||||||||
2004-ILA C Units | 1.00 | 0.003 | (0.003) | 1.00 | 0.35 | 15,068 | 1.07 | 0.36 | 1.47 | (0.04 | ) | |||||||||||||||||||||||||||||
2004-ILA Cash Management Shares | 1.00 | 0.004 | (0.004) | 1.00 | 0.45 | 7,321 | 0.97 | 0.40 | 1.47 | (0.10 | ) | |||||||||||||||||||||||||||||
2003-ILA Units | 1.00 | 0.008 | (0.008) | 1.00 | 0.79 | 168,536 | 0.44 | 0.81 | 0.44 | 0.81 | ||||||||||||||||||||||||||||||
2003-ILA Administration Units | 1.00 | 0.006 | (0.006) | 1.00 | 0.64 | 66,235 | 0.59 | 0.65 | 0.59 | 0.65 | ||||||||||||||||||||||||||||||
2003-ILA Service Units | 1.00 | 0.004 | (0.004) | 1.00 | 0.39 | 172,154 | 0.84 | 0.39 | 0.84 | 0.39 | ||||||||||||||||||||||||||||||
2003-ILA B Units | 1.00 | 0.002 | (0.002) | 1.00 | 0.24 | 26,359 | 0.99 | 0.24 | 1.44 | (0.21 | ) | |||||||||||||||||||||||||||||
2003-ILA C Units | 1.00 | 0.002 | (0.002) | 1.00 | 0.24 | 16,345 | 0.99 | 0.24 | 1.44 | (0.21 | ) | |||||||||||||||||||||||||||||
2003-ILA Cash Management Shares | 1.00 | 0.003 | (0.003) | 1.00 | 0.27 | 9,250 | 0.96 | 0.26 | 1.44 | (0.22 | ) | |||||||||||||||||||||||||||||
2002-ILA Units | 1.00 | 0.01 | (0.01) | 1.00 | 1.45 | 573,280 | 0.43 | 1.42 | 0.44 | 1.41 | ||||||||||||||||||||||||||||||
2002-ILA Administration Units | 1.00 | 0.01 | (0.01) | 1.00 | 1.30 | 77,988 | 0.58 | 1.29 | 0.59 | 1.28 | ||||||||||||||||||||||||||||||
2002-ILA Service Units | 1.00 | 0.01 | (0.01) | 1.00 | 1.05 | 179,945 | 0.83 | 1.03 | 0.84 | 1.02 | ||||||||||||||||||||||||||||||
2002-ILA B Units | 1.00 | — | (c) | — | (c) | 1.00 | 0.48 | 39,904 | 1.39 | 0.46 | 1.44 | 0.41 | ||||||||||||||||||||||||||||
2002-ILA C Units | 1.00 | — | (c) | — | (c) | 1.00 | 0.48 | 18,241 | 1.39 | 0.47 | 1.44 | 0.42 | ||||||||||||||||||||||||||||
2002-ILA Cash Management Shares | 1.00 | 0.01 | (0.01) | 1.00 | 0.87 | 9,917 | 1.00 | 0.90 | 1.44 | 0.46 | ||||||||||||||||||||||||||||||
2001-ILA Units | 1.00 | 0.04 | (0.04) | 1.00 | 3.79 | 443,213 | 0.43 | 3.70 | 0.43 | 3.70 | ||||||||||||||||||||||||||||||
2001-ILA Administration Units | 1.00 | 0.04 | (0.04) | 1.00 | 3.63 | 123,869 | 0.58 | 3.38 | 0.58 | 3.38 | ||||||||||||||||||||||||||||||
2001-ILA Service Units | 1.00 | 0.03 | (0.03) | 1.00 | 3.38 | 152,735 | 0.83 | 3.25 | 0.83 | 3.25 | ||||||||||||||||||||||||||||||
2001-ILA B Units | 1.00 | 0.03 | (0.03) | 1.00 | 2.76 | 32,731 | 1.43 | 2.51 | 1.43 | 2.51 | ||||||||||||||||||||||||||||||
2001-ILA C Units | 1.00 | 0.03 | (0.03) | 1.00 | 2.76 | 15,396 | 1.43 | 2.56 | 1.43 | 2.56 | ||||||||||||||||||||||||||||||
2001-ILA Cash Management Shares | 1.00 | 0.03 | (0.03) | 1.00 | 3.20 | 24,547 | 1.00 | 3.34 | 1.43 | 2.91 | ||||||||||||||||||||||||||||||
2000-ILA Units | 1.00 | 0.06 | (0.06) | 1.00 | 6.14 | 584,448 | 0.43 | 5.94 | 0.43 | 5.94 | ||||||||||||||||||||||||||||||
2000-ILA Administration Units | 1.00 | 0.06 | (0.06) | 1.00 | 5.98 | 71,230 | 0.58 | 5.87 | 0.58 | 5.87 | ||||||||||||||||||||||||||||||
2000-ILA Service Units | 1.00 | 0.06 | (0.06) | 1.00 | 5.72 | 170,446 | 0.83 | 5.63 | 0.83 | 5.63 | ||||||||||||||||||||||||||||||
2000-ILA B Units | 1.00 | 0.05 | (0.05) | 1.00 | 5.09 | 20,333 | 1.43 | 4.97 | 1.43 | 4.97 | ||||||||||||||||||||||||||||||
2000-ILA C Units | 1.00 | 0.05 | (0.05) | 1.00 | 5.09 | 10,806 | 1.43 | 5.02 | 1.43 | 5.02 | ||||||||||||||||||||||||||||||
2000-ILA Cash Management Shares | 1.00 | 0.05 | (0.05) | 1.00 | 5.54 | 39,081 | 1.00 | 5.46 | 1.43 | 5.03 | ||||||||||||||||||||||||||||||
(a) | Calculated based on the average units/shares outstanding methodology. |
(b) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a unitholder/shareholder would pay on portfolio distributions. Total returns for periods less than one full year are not annualized. |
(c) | Less than $0.005 per unit. |
(d) | Annualized. |
Ratios assuming no expense | ||||||||||||||||||||||||||||||||||||||||
reductions | ||||||||||||||||||||||||||||||||||||||||
Ratio of net | Ratio of net | |||||||||||||||||||||||||||||||||||||||
Net asset | Net asset | Net assets, | Ratio of net | investment | Ratio of total | investment | ||||||||||||||||||||||||||||||||||
value, | Net | Distributions | value, | end of | expenses to | income to | expenses to | income (loss) | ||||||||||||||||||||||||||||||||
Year—Share | beginning | investment | to unit/ | end of | Total | period | average net | average net | average net | to average | ||||||||||||||||||||||||||||||
Class | of period | income(a) | shareholders | period | return(b) | (in 000’s) | assets | assets | assets | net assets | ||||||||||||||||||||||||||||||
For the Six Months Ended June 30, (Unaudited) | ||||||||||||||||||||||||||||||||||||||||
2005-ILA Units | $ | 1.00 | $ | 0.012 | $ | (0.012) | $ | 1.00 | 1.18 | % | $ | 504,542 | 0.41 | %(c) | 2.36 | %(c) | 0.41 | %(c) | 2.36 | %(c) | ||||||||||||||||||||
2005-ILA Administration Units | 1.00 | 0.011 | (0.011) | 1.00 | 1.11 | 840,427 | 0.56 | (c) | 2.21 | (c) | 0.56 | (c) | 2.21 | (c) | ||||||||||||||||||||||||||
2005-ILA Service Units | 1.00 | 0.010 | (0.010) | 1.00 | 0.98 | 265,525 | 0.81 | (c) | 1.97 | (c) | 0.81 | (c) | 1.97 | (c) | ||||||||||||||||||||||||||
2005-ILA Cash Management Shares | 1.00 | 0.009 | (0.009) | 1.00 | 0.90 | 128,150 | 0.98 | (c) | 1.80 | (c) | 1.41 | (c) | 1.37 | (c) | ||||||||||||||||||||||||||
For the Years Ended December 31, | ||||||||||||||||||||||||||||||||||||||||
2004-ILA Units | 1.00 | 0.010 | (0.010) | 1.00 | 1.03 | 546,525 | 0.42 | 1.02 | 0.42 | 1.02 | ||||||||||||||||||||||||||||||
2004-ILA Administration Units | 1.00 | 0.009 | (0.009) | 1.00 | 0.88 | 832,256 | 0.57 | 0.91 | 0.57 | 0.91 | ||||||||||||||||||||||||||||||
2004-ILA Service Units | 1.00 | 0.006 | (0.006) | 1.00 | 0.62 | 243,625 | 0.82 | 0.61 | 0.82 | 0.61 | ||||||||||||||||||||||||||||||
2004-ILA Cash Management Shares | 1.00 | 0.005 | (0.005) | 1.00 | 0.48 | 111,984 | 0.95 | 0.36 | 1.42 | (0.11 | ) | |||||||||||||||||||||||||||||
2003-ILA Units | 1.00 | 0.008 | (0.008) | 1.00 | 0.84 | 502,405 | 0.41 | 0.85 | 0.41 | 0.85 | ||||||||||||||||||||||||||||||
2003-ILA Administration Units | 1.00 | 0.007 | (0.007) | 1.00 | 0.69 | 598,213 | 0.56 | 0.67 | 0.56 | 0.67 | ||||||||||||||||||||||||||||||
2003-ILA Service Units | 1.00 | 0.004 | (0.004) | 1.00 | 0.44 | 294,025 | 0.81 | 0.44 | 0.81 | 0.44 | ||||||||||||||||||||||||||||||
2003-ILA Cash Management Shares | 1.00 | 0.003 | (0.003) | 1.00 | 0.32 | 324,304 | 0.93 | 0.31 | 1.41 | (0.17 | ) | |||||||||||||||||||||||||||||
2002-ILA Units | 1.00 | 0.02 | (0.02) | 1.00 | 1.53 | 825,207 | 0.41 | 1.53 | 0.41 | 1.53 | ||||||||||||||||||||||||||||||
2002-ILA Administration Units | 1.00 | 0.01 | (0.01) | 1.00 | 1.37 | 429,751 | 0.56 | 1.36 | 0.56 | 1.36 | ||||||||||||||||||||||||||||||
2002-ILA Service Units | 1.00 | 0.01 | (0.01) | 1.00 | 1.12 | 302,354 | 0.81 | 1.12 | 0.81 | 1.12 | ||||||||||||||||||||||||||||||
2002-ILA Cash Management Shares | 1.00 | 0.01 | (0.01) | 1.00 | 0.95 | 250,759 | 0.98 | 0.98 | 1.41 | 0.55 | ||||||||||||||||||||||||||||||
2001-ILA Units | 1.00 | 0.04 | (0.04) | 1.00 | 4.02 | 1,156,176 | 0.41 | 4.13 | 0.41 | 4.13 | ||||||||||||||||||||||||||||||
2001-ILA Administration Units | 1.00 | 0.04 | (0.04) | 1.00 | 3.87 | 394,078 | 0.56 | 3.73 | 0.56 | 3.73 | ||||||||||||||||||||||||||||||
2001-ILA Service Units | 1.00 | 0.04 | (0.04) | 1.00 | 3.61 | 312,776 | 0.81 | 3.55 | 0.81 | 3.55 | ||||||||||||||||||||||||||||||
2001-ILA Cash Management Shares | 1.00 | 0.03 | (0.03) | 1.00 | 3.43 | 419,362 | 0.98 | 3.33 | 1.41 | 2.90 | ||||||||||||||||||||||||||||||
2000-ILA Units | 1.00 | 0.06 | (0.06) | 1.00 | 6.18 | 1,753,668 | 0.41 | 6.05 | 0.41 | 6.05 | ||||||||||||||||||||||||||||||
2000-ILA Administration Units | 1.00 | 0.06 | (0.06) | 1.00 | 6.02 | 321,440 | 0.56 | 6.12 | 0.56 | 6.12 | ||||||||||||||||||||||||||||||
2000-ILA Service Units | 1.00 | 0.06 | (0.06) | 1.00 | 5.76 | 346,427 | 0.81 | 5.63 | 0.81 | 5.63 | ||||||||||||||||||||||||||||||
2000-ILA Cash Management Shares | 1.00 | 0.06 | (0.06) | 1.00 | 5.60 | 315,194 | 0.98 | 5.72 | 1.41 | 5.29 | ||||||||||||||||||||||||||||||
(a) | Calculated based on the average units/ shares outstanding methodology. |
(b) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a unitholder/ shareholder would pay on portfolio distributions. Total returns for periods less than one full year are not annualized. |
(c) | Annualized. |
57
Ratios assuming no expense | ||||||||||||||||||||||||||||||||||||||||
reductions | ||||||||||||||||||||||||||||||||||||||||
Ratio of net | Ratio of net | |||||||||||||||||||||||||||||||||||||||
Net asset | Net asset | Net assets, | Ratio of net | investment | Ratio of total | investment | ||||||||||||||||||||||||||||||||||
value, | Net | Distributions | value, | end of | expenses to | income to | expenses to | income (loss) | ||||||||||||||||||||||||||||||||
beginning | investment | to unit/ | end of | Total | period | average net | average net | average net | to average | |||||||||||||||||||||||||||||||
Year—Share Class | of period | income(a) | shareholders | period | return(b) | (in 000’s) | assets | assets | assets | net assets | ||||||||||||||||||||||||||||||
For the Six Months Ended June 30, (Unaudited) | ||||||||||||||||||||||||||||||||||||||||
2005-ILA Units | $ | 1.00 | $ | 0.011 | $ | (0.011) | $ | 1.00 | 1.15 | % | $ | 24,949 | 0.43 | %(c) | 2.27 | %(c) | 0.59 | %(c) | 2.11 | %(c) | ||||||||||||||||||||
2005-ILA Administration Units | 1.00 | 0.011 | (0.011) | 1.00 | 1.08 | 11,743 | 0.58 | (c) | 2.13 | (c) | 0.74 | (c) | 1.97 | (c) | ||||||||||||||||||||||||||
2005-ILA Service Units | 1.00 | 0.009 | (0.009) | 1.00 | 0.95 | 54,453 | 0.83 | (c) | 1.92 | (c) | 0.99 | (c) | 1.76 | (c) | ||||||||||||||||||||||||||
2005-ILA Cash Management Shares | 1.00 | 0.009 | (0.009) | 1.00 | 0.87 | 4,624 | 1.00 | (c) | 1.75 | (c) | 1.59 | (c) | 1.16 | (c) | ||||||||||||||||||||||||||
For the Years Ended December 31, | ||||||||||||||||||||||||||||||||||||||||
2004-ILA Units | 1.00 | 0.010 | (0.010) | 1.00 | 0.97 | 51,286 | 0.43 | 0.92 | 0.56 | 0.79 | ||||||||||||||||||||||||||||||
2004-ILA Administration Units | 1.00 | 0.008 | (0.008) | 1.00 | 0.82 | 12,609 | 0.58 | 0.82 | 0.71 | 0.69 | ||||||||||||||||||||||||||||||
2004-ILA Service Units | 1.00 | 0.006 | (0.006) | 1.00 | 0.57 | 56,953 | 0.83 | 0.60 | 0.96 | 0.47 | ||||||||||||||||||||||||||||||
2004-ILA Cash Management Shares | 1.00 | 0.004 | (0.004) | 1.00 | 0.45 | 7,849 | 0.95 | 0.46 | 1.56 | (0.15 | ) | |||||||||||||||||||||||||||||
2003-ILA Units | 1.00 | 0.007 | (0.007) | 1.00 | 0.73 | 85,709 | 0.44 | 0.72 | 0.53 | 0.63 | ||||||||||||||||||||||||||||||
2003-ILA Administration Units | 1.00 | 0.006 | (0.006) | 1.00 | 0.58 | 12,864 | 0.59 | 0.56 | 0.68 | 0.47 | ||||||||||||||||||||||||||||||
2003-ILA Service Units | 1.00 | 0.003 | (0.003) | 1.00 | 0.33 | 52,171 | 0.84 | 0.34 | 0.93 | 0.25 | ||||||||||||||||||||||||||||||
2003-ILA Cash Management Shares | 1.00 | 0.003 | (0.003) | 1.00 | 0.26 | 8,936 | 0.92 | 0.28 | 1.53 | (0.33 | ) | |||||||||||||||||||||||||||||
2002-ILA Units | 1.00 | 0.01 | (0.01) | 1.00 | 1.33 | 81,790 | 0.43 | 1.34 | 0.53 | 1.24 | ||||||||||||||||||||||||||||||
2002-ILA Administration Units | 1.00 | 0.01 | (0.01) | 1.00 | 1.18 | 11,398 | 0.58 | 1.15 | 0.68 | 1.05 | ||||||||||||||||||||||||||||||
2002-ILA Service Units | 1.00 | 0.01 | (0.01) | 1.00 | 0.93 | 81,178 | 0.83 | 0.91 | 0.93 | 0.81 | ||||||||||||||||||||||||||||||
2002-ILA Cash Management Shares | 1.00 | 0.01 | (0.01) | 1.00 | 0.76 | 18,608 | 1.00 | 0.76 | 1.53 | 0.23 | ||||||||||||||||||||||||||||||
2001-ILA Units | 1.00 | 0.04 | (0.04) | 1.00 | 3.69 | 124,757 | 0.43 | 3.61 | 0.49 | 3.55 | ||||||||||||||||||||||||||||||
2001-ILA Administration Units | 1.00 | 0.03 | (0.03) | 1.00 | 3.53 | 6,027 | 0.58 | 2.84 | 0.64 | 2.78 | ||||||||||||||||||||||||||||||
2001-ILA Service Units | 1.00 | 0.03 | (0.03) | 1.00 | 3.28 | 57,800 | 0.83 | 3.15 | 0.89 | 3.09 | ||||||||||||||||||||||||||||||
2001-ILA Cash Management Shares | 1.00 | 0.03 | (0.03) | 1.00 | 3.10 | 22,106 | 1.00 | 3.24 | 1.49 | 2.75 | ||||||||||||||||||||||||||||||
2000-ILA Units | 1.00 | 0.06 | (0.06) | 1.00 | 6.05 | 126,034 | 0.43 | 5.84 | 0.48 | 5.79 | ||||||||||||||||||||||||||||||
2000-ILA Administration Units | 1.00 | 0.06 | (0.06) | 1.00 | 5.89 | 562 | 0.58 | 5.57 | 0.63 | 5.52 | ||||||||||||||||||||||||||||||
2000-ILA Service Units | 1.00 | 0.05 | (0.05) | 1.00 | 5.63 | 50,733 | 0.83 | 5.42 | 0.88 | 5.37 | ||||||||||||||||||||||||||||||
2000-ILA Cash Management Shares | 1.00 | 0.05 | (0.05) | 1.00 | 5.50 | 44,533 | 1.00 | 5.60 | 1.48 | 5.12 | ||||||||||||||||||||||||||||||
(a) | Calculated based on the average units/shares outstanding methodology. |
(b) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a unitholder/shareholder would pay on portfolio distributions. Total returns for periods less than one full year are not annualized. |
(c) | Annualized. |
58
Ratios assuming no | ||||||||||||||||||||||||||||||||||||||||
expense reductions | ||||||||||||||||||||||||||||||||||||||||
Ratio of net | Ratio of net | |||||||||||||||||||||||||||||||||||||||
Net asset | Net asset | Net assets, | Ratio of net | investment | Ratio of total | investment | ||||||||||||||||||||||||||||||||||
value, | Net | Distributions | value, | end of | expenses to | income to | expenses to | income (loss) | ||||||||||||||||||||||||||||||||
beginning | investment | to unit/ | end of | Total | period | average net | average net | average net | to average | |||||||||||||||||||||||||||||||
Year—Share Class | of period | income(a) | shareholders | period | return(b) | (in 000’s) | assets | assets | assets | net assets | ||||||||||||||||||||||||||||||
For the Six Months Ended June 30, (Unaudited) | ||||||||||||||||||||||||||||||||||||||||
2005-ILA Units | $ | 1.00 | $ | 0.011 | $ | (0.011) | $ | 1.00 | 1.11 | % | $ | 185,316 | 0.42 | %(c) | 2.25 | %(c) | 0.42 | %(c) | 2.25 | %(c) | ||||||||||||||||||||
2005-ILA Administration Units | 1.00 | 0.010 | (0.010) | 1.00 | 1.03 | 14,972 | 0.57 | (c) | 2.09 | (c) | 0.57 | (c) | 2.09 | (c) | ||||||||||||||||||||||||||
2005-ILA Service Units | 1.00 | 0.009 | (0.009) | 1.00 | 0.91 | 871,053 | 0.82 | (c) | 1.89 | (c) | 0.82 | (c) | 1.89 | (c) | ||||||||||||||||||||||||||
2005-ILA Cash Management Shares | 1.00 | 0.008 | (0.008) | 1.00 | 0.82 | 26,961 | 0.99 | (c) | 1.83 | (c) | 1.42 | (c) | 1.40 | (c) | ||||||||||||||||||||||||||
For the Periods Ended December 31, | ||||||||||||||||||||||||||||||||||||||||
2004-ILA Units | 1.00 | 0.009 | (0.009) | 1.00 | 0.91 | 156,027 | 0.43 | 0.92 | 0.43 | 0.92 | ||||||||||||||||||||||||||||||
2004-ILA Administration Units | 1.00 | 0.008 | (0.008) | 1.00 | 0.76 | 12,900 | 0.58 | 0.74 | 0.58 | 0.74 | ||||||||||||||||||||||||||||||
2004-ILA Service Units | 1.00 | 0.005 | (0.005) | 1.00 | 0.51 | 554,391 | 0.83 | 0.47 | 0.83 | 0.47 | ||||||||||||||||||||||||||||||
2004-ILA Cash Management Shares | 1.00 | 0.004 | (0.004) | 1.00 | 0.40 | 8,035 | 0.92 | 0.26 | 1.43 | (0.25 | ) | |||||||||||||||||||||||||||||
2003-ILA Units | 1.00 | 0.007 | (0.007) | 1.00 | 0.74 | 137,679 | 0.42 | 0.73 | 0.42 | 0.73 | ||||||||||||||||||||||||||||||
2003-ILA Administration Units | 1.00 | 0.006 | (0.006) | 1.00 | 0.59 | 17,723 | 0.57 | 0.55 | 0.57 | 0.55 | ||||||||||||||||||||||||||||||
2003-ILA Service Units | 1.00 | 0.003 | (0.003) | 1.00 | 0.34 | 709,869 | 0.82 | 0.36 | 0.82 | 0.36 | ||||||||||||||||||||||||||||||
2003-ILA Cash Management Shares | 1.00 | 0.003 | (0.003) | 1.00 | 0.26 | 41,752 | 0.91 | 0.23 | 1.42 | (0.28 | ) | |||||||||||||||||||||||||||||
2002-ILA Units | 1.00 | 0.01 | (0.01) | 1.00 | 1.42 | 297,858 | 0.41 | 1.36 | 0.41 | 1.36 | ||||||||||||||||||||||||||||||
2002-ILA Administration Units | 1.00 | 0.01 | (0.01) | 1.00 | 1.27 | 19,567 | 0.56 | 1.19 | 0.56 | 1.19 | ||||||||||||||||||||||||||||||
2002-ILA Service Units | 1.00 | 0.01 | (0.01) | 1.00 | 1.02 | 2,222,340 | 0.81 | 0.93 | 0.81 | 0.93 | ||||||||||||||||||||||||||||||
2002-ILA Cash Management Shares | 1.00 | 0.01 | (0.01) | 1.00 | 0.85 | 90,681 | 0.98 | 0.77 | 1.41 | 0.34 | ||||||||||||||||||||||||||||||
2001-ILA Units | 1.00 | 0.04 | (0.04) | 1.00 | 3.61 | 423,561 | 0.43 | 3.43 | 0.44 | 3.42 | ||||||||||||||||||||||||||||||
2001-ILA Administration Units | 1.00 | 0.03 | (0.03) | 1.00 | 3.46 | 16,595 | 0.58 | 3.39 | 0.59 | 3.38 | ||||||||||||||||||||||||||||||
2001-ILA Service Units | 1.00 | 0.03 | (0.03) | 1.00 | 3.20 | 1,379,621 | 0.83 | 2.70 | 0.84 | 2.69 | ||||||||||||||||||||||||||||||
2001-ILA Cash Management Shares | 1.00 | 0.03 | (0.03) | 1.00 | 3.03 | 2,532 | 1.00 | 3.09 | 1.44 | 2.65 | ||||||||||||||||||||||||||||||
2000-ILA Units | 1.00 | 0.06 | (0.06) | 1.00 | 5.95 | 384,023 | 0.42 | 5.77 | 0.42 | 5.77 | ||||||||||||||||||||||||||||||
2000-ILA Administration Units | 1.00 | 0.06 | (0.06) | 1.00 | 5.79 | 15,095 | 0.57 | 5.51 | 0.57 | 5.51 | ||||||||||||||||||||||||||||||
2000-ILA Service Units | 1.00 | 0.05 | (0.05) | 1.00 | 5.52 | 493,259 | 0.82 | 5.49 | 0.82 | 5.49 | ||||||||||||||||||||||||||||||
2000-ILA Cash Management Shares (commenced August 1) | 1.00 | 0.02 | (0.02) | 1.00 | 2.33 | 2,598 | 0.99 | (c) | 5.53 | (c) | 1.42 | (c) | 5.10 | (c) | ||||||||||||||||||||||||||
(a) | Calculated based on the average units/shares outstanding methodology. |
(b) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a unitholder/shareholder would pay on portfolio distributions. Returns for periods less than one full year are not annualized. |
(c) | Annualized. |
59
Ratios assuming no | ||||||||||||||||||||||||||||||||||||||||
expense reductions | ||||||||||||||||||||||||||||||||||||||||
Ratio of net | Ratio of net | |||||||||||||||||||||||||||||||||||||||
Net asset | Net asset | Net assets, | Ratio of net | investment | Ratio of total | investment | ||||||||||||||||||||||||||||||||||
value, | Net | Distributions | value, | end of | expenses to | income to | expenses to | income (loss) | ||||||||||||||||||||||||||||||||
beginning | investment | to unit/ | end of | Total | period | average net | average | average | to average | |||||||||||||||||||||||||||||||
Year—Share Class | of period | income(a) | shareholders | period | return(b) | (in 000’s) | assets | net assets | net assets | net assets | ||||||||||||||||||||||||||||||
For the Six Months Ended June 30, (Unaudited) | ||||||||||||||||||||||||||||||||||||||||
2005-ILA Units | $ | 1.00 | $ | 0.011 | $ | (0.011) | $ | 1.00 | 1.06 | % | $ | 33,817 | 0.43 | %(c) | 2.12 | %(c) | 0.44 | %(c) | 2.11% | (c) | ||||||||||||||||||||
2005-ILA Administration Units | 1.00 | 0.010 | (0.010) | 1.00 | 0.98 | 31,918 | 0.58 | (c) | 1.96 | (c) | 0.59 | (c) | 1.95( | c) | ||||||||||||||||||||||||||
2005-ILA Service Units | 1.00 | 0.009 | (0.009) | 1.00 | 0.86 | 492,848 | 0.83 | (c) | 1.76 | (c) | 0.84 | (c) | 1.75( | c) | ||||||||||||||||||||||||||
2005-ILA Cash Management Shares | 1.00 | 0.008 | (0.008) | 1.00 | 0.77 | 21,822 | 1.00 | (c) | 1.59 | (c) | 1.44 | (c) | 1.15( | c) | ||||||||||||||||||||||||||
For the Periods Ended December 31, | ||||||||||||||||||||||||||||||||||||||||
2004-ILA Units | 1.00 | 0.008 | (0.008) | 1.00 | 0.85 | 33,836 | 0.43 | 0.79 | 0.44 | 0.78 | ||||||||||||||||||||||||||||||
2004-ILA Administration Units | 1.00 | 0.007 | (0.007) | 1.00 | 0.70 | 33,103 | 0.58 | 0.68 | 0.59 | 0.67 | ||||||||||||||||||||||||||||||
2004-ILA Service Units | 1.00 | 0.004 | (0.004) | 1.00 | 0.44 | 372,296 | 0.83 | 0.40 | 0.84 | 0.39 | ||||||||||||||||||||||||||||||
2004-ILA Cash Management Shares | 1.00 | 0.004 | (0.004) | 1.00 | 0.38 | 15,775 | 0.88 | 0.31 | 1.44 | (0.25) | ||||||||||||||||||||||||||||||
2003-ILA Units | 1.00 | 0.007 | (0.007) | 1.00 | 0.65 | 51,264 | 0.44 | 0.63 | 0.45 | 0.62 | ||||||||||||||||||||||||||||||
2003-ILA Administration Units | 1.00 | 0.005 | (0.005) | 1.00 | 0.50 | 31,275 | 0.59 | 0.44 | 0.60 | 0.43 | ||||||||||||||||||||||||||||||
2003-ILA Service Units | 1.00 | 0.003 | (0.003) | 1.00 | 0.25 | 362,436 | 0.84 | 0.21 | 0.85 | 0.20 | ||||||||||||||||||||||||||||||
2003-ILA Cash Management Shares | 1.00 | 0.002 | (0.002) | 1.00 | 0.23 | 29,656 | 0.86 | 0.18 | 1.45 | (0.41) | ||||||||||||||||||||||||||||||
2002-ILA Units | 1.00 | 0.01 | (0.01) | 1.00 | 1.33 | 103,658 | 0.43 | 1.26 | 0.44 | 1.25 | ||||||||||||||||||||||||||||||
2002-ILA Administration Units | 1.00 | 0.01 | (0.01) | 1.00 | 1.17 | 25,910 | 0.58 | 1.09 | 0.59 | 1.08 | ||||||||||||||||||||||||||||||
2002-ILA Service Units | 1.00 | 0.01 | (0.01) | 1.00 | 0.92 | 430,601 | 0.83 | 0.84 | 0.84 | 0.83 | ||||||||||||||||||||||||||||||
2002-ILA Cash Management Shares | 1.00 | 0.01 | (0.01) | 1.00 | 0.75 | 11,602 | 1.00 | 0.68 | 1.44 | 0.24 | ||||||||||||||||||||||||||||||
2001-ILA Units | 1.00 | 0.04 | (0.04) | 1.00 | 3.59 | 203,239 | 0.43 | 3.49 | 0.47 | 3.45 | ||||||||||||||||||||||||||||||
2001-ILA Administration Units | 1.00 | 0.03 | (0.03) | 1.00 | 3.43 | 18,842 | 0.58 | 3.23 | 0.62 | 3.19 | ||||||||||||||||||||||||||||||
2001-ILA Service Units | 1.00 | 0.03 | (0.03) | 1.00 | 3.18 | 247,064 | 0.83 | 2.67 | 0.87 | 2.63 | ||||||||||||||||||||||||||||||
2001-ILA Cash Management Shares | 1.00 | 0.03 | (0.03) | 1.00 | 3.00 | 20,312 | 1.00 | 2.63 | 1.47 | 2.16 | ||||||||||||||||||||||||||||||
2000-ILA Units | 1.00 | 0.05 | (0.05) | 1.00 | 5.62 | 201,088 | 0.43 | 5.49 | 0.45 | 5.47 | ||||||||||||||||||||||||||||||
2000-ILA Administration Units | 1.00 | 0.05 | (0.05) | 1.00 | 5.46 | 21,875 | 0.58 | 5.20 | 0.60 | 5.18 | ||||||||||||||||||||||||||||||
2000-ILA Service Units | 1.00 | 0.05 | (0.05) | 1.00 | 5.20 | 104,076 | 0.83 | 4.96 | 0.85 | 4.94 | ||||||||||||||||||||||||||||||
2000-ILA Cash Management Shares (commenced August 1) | 1.00 | 0.02 | (0.02) | 1.00 | 2.21 | 11,577 | 1.00 | (c) | 5.22 | (c) | 1.45 | (c) | 4.77( | c) | ||||||||||||||||||||||||||
(a) | Calculated based on the average units/ shares outstanding methodology. |
(b) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a unitholder/shareholder would pay on portfolio distributions. Returns for periods less than one full year are not annualized. |
(c) | Annualized. |
60
Ratios assuming no | ||||||||||||||||||||||||||||||||||||||||
expense reductions | ||||||||||||||||||||||||||||||||||||||||
Ratio of net | Ratio of net | Ratio of | Ratio of net | |||||||||||||||||||||||||||||||||||||
Net asset | Net asset | Net assets, | expenses to | investment | total | investment | ||||||||||||||||||||||||||||||||||
value, | Net | Distributions | value, | end of | average | income to | expenses to | income (loss) | ||||||||||||||||||||||||||||||||
beginning | investment | to unit/ | end of | Total | period | net | average net | average net | to average | |||||||||||||||||||||||||||||||
Year—Share Class | of period | income(a) | shareholders | period | return(b) | (in 000’s) | assets | assets | assets | net assets | ||||||||||||||||||||||||||||||
For the Six Months Ended June 30, (Unaudited) | ||||||||||||||||||||||||||||||||||||||||
2005-ILA Units | $ | 1.00 | $ | 0.011 | $ | (0.011) | $ | 1.00 | 1.14 | % | $ | 773,789 | 0.41 | %(c) | 2.28 | %(c) | 0.41 | %(c) | 2.28 | %(c) | ||||||||||||||||||||
2005-ILA Administration Units | 1.00 | 0.011 | (0.011) | 1.00 | 1.07 | 1,272,717 | 0.56 | (c) | 2.12 | (c) | 0.56 | (c) | 2.12 | (c) | ||||||||||||||||||||||||||
2005-ILA Service Units | 1.00 | 0.009 | (0.009) | 1.00 | 0.94 | 221,214 | 0.81 | (c) | 1.89 | (c) | 0.81 | (c) | 1.89 | (c) | ||||||||||||||||||||||||||
2005-ILA Cash Management Shares | 1.00 | 0.009 | (0.009) | 1.00 | 0.86 | 110,107 | 0.98 | (c) | 1.70 | (c) | 1.41 | (c) | 1.27 | (c) | ||||||||||||||||||||||||||
For the Periods Ended December 31, | ||||||||||||||||||||||||||||||||||||||||
2004-ILA Units | 1.00 | 0.010 | (0.010) | 1.00 | 0.97 | 937,553 | 0.41 | 0.94 | 0.41 | 0.94 | ||||||||||||||||||||||||||||||
2004-ILA Administration Units | 1.00 | 0.008 | (0.008) | 1.00 | 0.82 | 1,412,667 | 0.56 | 0.84 | 0.56 | 0.84 | ||||||||||||||||||||||||||||||
2004-ILA Service Units | 1.00 | 0.006 | (0.006) | 1.00 | 0.57 | 230,227 | 0.81 | 0.54 | 0.81 | 0.54 | ||||||||||||||||||||||||||||||
2004-ILA Cash Management Shares | 1.00 | 0.004 | (0.004) | 1.00 | 0.42 | 151,658 | 0.94 | 0.26 | 1.41 | (0.21 | ) | |||||||||||||||||||||||||||||
2003-ILA Units | 1.00 | 0.008 | (0.008) | 1.00 | 0.79 | 1,147,134 | 0.41 | 0.79 | 0.41 | 0.79 | ||||||||||||||||||||||||||||||
2003-ILA Administration Units | 1.00 | 0.006 | (0.006) | 1.00 | 0.64 | 1,029,112 | 0.56 | 0.62 | 0.56 | 0.62 | ||||||||||||||||||||||||||||||
2003-ILA Service Units | 1.00 | 0.004 | (0.004) | 1.00 | 0.39 | 285,290 | 0.81 | 0.37 | 0.81 | 0.37 | ||||||||||||||||||||||||||||||
2003-ILA Cash Management Shares | 1.00 | 0.003 | (0.003) | 1.00 | 0.27 | 565,696 | 0.93 | 0.26 | 1.41 | (0.22 | ) | |||||||||||||||||||||||||||||
2002-ILA Units | 1.00 | 0.01 | (0.01) | 1.00 | 1.47 | 1,814,911 | 0.41 | 1.47 | 0.41 | 1.47 | ||||||||||||||||||||||||||||||
2002-ILA Administration Units | 1.00 | 0.01 | (0.01) | 1.00 | 1.32 | 964,512 | 0.56 | 1.31 | 0.56 | 1.31 | ||||||||||||||||||||||||||||||
2002-ILA Service Units | 1.00 | 0.01 | (0.01) | 1.00 | 1.06 | 279,916 | 0.81 | 1.05 | 0.81 | 1.05 | ||||||||||||||||||||||||||||||
2002-ILA Cash Management Shares | 1.00 | 0.01 | (0.01) | 1.00 | 0.89 | 700,184 | 0.98 | 0.90 | 1.41 | 0.47 | ||||||||||||||||||||||||||||||
2001-ILA Units | 1.00 | 0.04 | (0.04) | 1.00 | 3.90 | 3,095,942 | 0.41 | 3.96 | 0.41 | 3.96 | ||||||||||||||||||||||||||||||
2001-ILA Administration Units | 1.00 | 0.04 | (0.04) | 1.00 | 3.74 | 1,044,722 | 0.56 | 3.45 | 0.56 | 3.45 | ||||||||||||||||||||||||||||||
2001-ILA Service Units | 1.00 | 0.03 | (0.03) | 1.00 | 3.48 | 291,750 | 0.81 | 3.38 | 0.81 | 3.38 | ||||||||||||||||||||||||||||||
2001-ILA Cash Management Shares | 1.00 | 0.03 | (0.03) | 1.00 | 3.31 | 1,176,092 | 0.98 | 3.23 | 1.41 | 2.80 | ||||||||||||||||||||||||||||||
2000-ILA Units | 1.00 | 0.06 | (0.06) | 1.00 | 6.03 | 4,221,684 | 0.40 | 5.90 | 0.40 | 5.90 | ||||||||||||||||||||||||||||||
2000-ILA Administration Units | 1.00 | 0.06 | (0.06) | 1.00 | 5.87 | 620,138 | 0.55 | 6.01 | 0.55 | 6.01 | ||||||||||||||||||||||||||||||
2000-ILA Service Units | 1.00 | 0.05 | (0.05) | 1.00 | 5.61 | 278,002 | 0.80 | 5.48 | 0.80 | 5.48 | ||||||||||||||||||||||||||||||
2000-ILA Cash Management Shares (commenced August 1) | 1.00 | 0.02 | (0.02) | 1.00 | 2.36 | 778,826 | 1.00 | (c) | 5.59 | (c) | 1.43 | (c) | 5.16 | (c) | ||||||||||||||||||||||||||
(a) | Calculated based on the average units/shares outstanding methodology. |
(b) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a unitholder/ shareholder would pay on portfolio distributions. Returns for periods less than one full year are not annualized. |
(c) | Annualized. |
61
Ratios assuming no | ||||||||||||||||||||||||||||||||||||||||
expense reductions | ||||||||||||||||||||||||||||||||||||||||
Ratio of net | Ratio of net | |||||||||||||||||||||||||||||||||||||||
Net asset | Net asset | Net assets, | Ratio of net | investment | Ratio of total | investment | ||||||||||||||||||||||||||||||||||
value, | Net | Distributions | value, | end of | expenses to | income to | expenses to | income (loss) | ||||||||||||||||||||||||||||||||
beginning | investment | to unit/ | end of | Total | period | average net | average net | average net | to average | |||||||||||||||||||||||||||||||
Year—Share Class | of period | income(a) | shareholders | period | return(b) | (in 000’s) | assets | assets | assets | net assets | ||||||||||||||||||||||||||||||
For the Six Months Ended June 30, (Unaudited) | ||||||||||||||||||||||||||||||||||||||||
2005-ILA Units | $ | 1.00 | $ | 0.009 | $ | (0.009) | $ | 1.00 | 0.88 | % | $ | 579,990 | 0.41 | %(c) | 1.74 | %(c) | 0.41 | %(c) | 1.74 | %(c) | ||||||||||||||||||||
2005-ILA Administration Units | 1.00 | 0.008 | (0.008) | 1.00 | 0.81 | 1,368,647 | 0.56 | (c) | 1.59 | (c) | 0.56 | (c) | 1.59 | (c) | ||||||||||||||||||||||||||
2005-ILA Service Units | 1.00 | 0.007 | (0.007) | 1.00 | 0.68 | 20,935 | 0.81 | (c) | 1.34 | (c) | 0.81 | (c) | 1.34 | (c) | ||||||||||||||||||||||||||
2005-ILA Cash Management Shares | 1.00 | 0.006 | (0.006) | 1.00 | 0.60 | 145,396 | 0.98 | (c) | 1.19 | (c) | 1.41 | (c) | 0.76 | (c) | ||||||||||||||||||||||||||
For the Years Ended December 31, | ||||||||||||||||||||||||||||||||||||||||
2004-ILA Units | 1.00 | 0.008 | (0.008) | 1.00 | 0.82 | 697,374 | 0.41 | 0.80 | 0.41 | 0.80 | ||||||||||||||||||||||||||||||
2004-ILA Administration Units | 1.00 | 0.007 | (0.007) | 1.00 | 0.67 | 1,338,658 | 0.56 | 0.69 | 0.56 | 0.69 | ||||||||||||||||||||||||||||||
2004-ILA Service Units | 1.00 | 0.004 | (0.004) | 1.00 | 0.42 | 23,652 | 0.81 | 0.43 | 0.81 | 0.43 | ||||||||||||||||||||||||||||||
2004-ILA Cash Management Shares | 1.00 | 0.003 | (0.003) | 1.00 | 0.33 | 139,086 | 0.87 | 0.28 | 1.41 | (0.26 | ) | |||||||||||||||||||||||||||||
2003-ILA Units | 1.00 | 0.007 | (0.007) | 1.00 | 0.68 | 722,008 | 0.41 | 0.68 | 0.41 | 0.68 | ||||||||||||||||||||||||||||||
2003-ILA Administration Units | 1.00 | 0.005 | (0.005) | 1.00 | 0.52 | 792,220 | 0.56 | 0.50 | 0.56 | 0.50 | ||||||||||||||||||||||||||||||
2003-ILA Service Units | 1.00 | 0.003 | (0.003) | 1.00 | 0.33 | 14,285 | 0.75 | 0.36 | 0.81 | 0.30 | ||||||||||||||||||||||||||||||
2003-ILA Cash Management Shares | 1.00 | 0.003 | (0.003) | 1.00 | 0.33 | 362,923 | 0.75 | 0.32 | 1.41 | (0.34 | ) | |||||||||||||||||||||||||||||
2002-ILA Units | 1.00 | 0.01 | (0.01) | 1.00 | 1.11 | 1,022,037 | 0.41 | 1.11 | 0.42 | 1.10 | ||||||||||||||||||||||||||||||
2002-ILA Administration Units | 1.00 | 0.01 | (0.01) | 1.00 | 0.96 | 401,548 | 0.56 | 0.96 | 0.57 | 0.95 | ||||||||||||||||||||||||||||||
2002-ILA Service Units | 1.00 | 0.01 | (0.01) | 1.00 | 0.71 | 34,183 | 0.81 | 0.70 | 0.82 | 0.69 | ||||||||||||||||||||||||||||||
2002-ILA Cash Management Shares | 1.00 | 0.01 | (0.01) | 1.00 | 0.79 | 261,051 | 0.73 | 0.78 | 1.42 | 0.09 | ||||||||||||||||||||||||||||||
2001-ILA Units | 1.00 | 0.02 | (0.02) | 1.00 | 2.44 | 1,339,898 | 0.40 | 2.43 | 0.41 | 2.42 | ||||||||||||||||||||||||||||||
2001-ILA Administration Units | 1.00 | 0.02 | (0.02) | 1.00 | 2.28 | 357,182 | 0.55 | 2.03 | 0.56 | 2.02 | ||||||||||||||||||||||||||||||
2001-ILA Service Units | 1.00 | 0.02 | (0.02) | 1.00 | 2.03 | 74,461 | 0.80 | 1.83 | 0.81 | 1.82 | ||||||||||||||||||||||||||||||
2001-ILA Cash Management Shares | 1.00 | 0.02 | (0.02) | 1.00 | 1.85 | 290,372 | 0.97 | 1.82 | 1.41 | 1.38 | ||||||||||||||||||||||||||||||
2000-ILA Units | 1.00 | 0.04 | (0.04) | 1.00 | 3.74 | 1,732,707 | 0.41 | 3.67 | 0.42 | 3.66 | ||||||||||||||||||||||||||||||
2000-ILA Administration Units | 1.00 | 0.04 | (0.04) | 1.00 | 3.58 | 130,767 | 0.56 | 3.64 | 0.57 | 3.63 | ||||||||||||||||||||||||||||||
2000-ILA Service Units | 1.00 | 0.03 | (0.03) | 1.00 | 3.33 | 51,389 | 0.81 | 3.26 | 0.82 | 3.25 | ||||||||||||||||||||||||||||||
2000-ILA Cash Management Shares | 1.00 | 0.03 | (0.03) | 1.00 | 3.19 | 227,089 | 0.98 | 3.32 | 1.42 | 2.88 | ||||||||||||||||||||||||||||||
(a) | Calculated based on the average units/shares outstanding methodology. |
(b) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a unitholder/shareholder would pay on portfolio distributions. Total returns for periods less than one full year are not annualized. |
(c) | Annualized. |
62
Ratios assuming no | ||||||||||||||||||||||||||||||||||||||||
expense reductions | ||||||||||||||||||||||||||||||||||||||||
Ratio of net | Ratio of net | |||||||||||||||||||||||||||||||||||||||
Net asset | Net asset | Net assets, | Ratio of net | investment | Ratio of total | investment | ||||||||||||||||||||||||||||||||||
value, | Net | Distributions | value, | end of | expenses to | income to | expenses to | income (loss) | ||||||||||||||||||||||||||||||||
beginning | investment | to unit/ | end of | Total | period | average net | average net | average net | to average | |||||||||||||||||||||||||||||||
Year—Share Class | of period | income(a) | shareholders | period | return(b) | (in 000’s) | assets | assets | assets | net assets | ||||||||||||||||||||||||||||||
For the Six Months Ended June 30, (Unaudited) | ||||||||||||||||||||||||||||||||||||||||
2005-ILA Units | $ | 1.00 | $ | 0.009 | $ | (0.009) | $ | 1.00 | 0.86 | % | $ | 201,124 | 0.43 | %(c) | 1.71 | %(c) | 0.43 | %(c) | 1.71 | %(c) | ||||||||||||||||||||
2005-ILA Administration Units | 1.00 | 0.008 | (0.008) | 1.00 | 0.79 | 325,597 | 0.58 | (c) | 1.52 | (c) | 0.58 | (c) | 1.52 | (c) | ||||||||||||||||||||||||||
2005-ILA Service Units | 1.00 | 0.007 | (0.007) | 1.00 | 0.66 | 2 | 0.83 | (c) | 1.32 | (c) | 0.83 | (c) | 1.32 | (c) | ||||||||||||||||||||||||||
2005-ILA Cash Management Shares | 1.00 | 0.006 | (0.006) | 1.00 | 0.58 | 17,923 | 1.00 | (c) | 1.23 | (c) | 1.43 | (c) | 0.80 | (c) | ||||||||||||||||||||||||||
For the Years Ended December 31, | ||||||||||||||||||||||||||||||||||||||||
2004-ILA Units | 1.00 | 0.008 | (0.008) | 1.00 | 0.78 | 208,139 | 0.43 | 0.74 | 0.45 | 0.72 | ||||||||||||||||||||||||||||||
2004-ILA Administration Units | 1.00 | 0.006 | (0.006) | 1.00 | 0.62 | 273,919 | 0.58 | 0.64 | 0.60 | 0.62 | ||||||||||||||||||||||||||||||
2004-ILA Service Units | 1.00 | 0.004 | (0.004) | 1.00 | 0.39 | 2 | 0.83 | 0.36 | 0.85 | 0.34 | ||||||||||||||||||||||||||||||
2004-ILA Cash Management Shares | 1.00 | 0.003 | (0.003) | 1.00 | 0.32 | 14,721 | 0.82 | 0.23 | 1.45 | (0.40 | ) | |||||||||||||||||||||||||||||
2003-ILA Units | 1.00 | 0.006 | (0.006) | 1.00 | 0.61 | 244,109 | 0.42 | 0.61 | 0.43 | 0.60 | ||||||||||||||||||||||||||||||
2003-ILA Administration Units | 1.00 | 0.005 | (0.005) | 1.00 | 0.46 | 233,371 | 0.57 | 0.41 | 0.58 | 0.40 | ||||||||||||||||||||||||||||||
2003-ILA Service Units | 1.00 | 0.003 | (0.003) | 1.00 | 0.34 | 2 | 0.66 | 0.47 | 0.83 | 0.30 | ||||||||||||||||||||||||||||||
2003-ILA Cash Management Shares | 1.00 | 0.003 | (0.003) | 1.00 | 0.33 | 63,214 | 0.71 | 0.32 | 1.43 | (0.40 | ) | |||||||||||||||||||||||||||||
2002-ILA Units | 1.00 | 0.01 | (0.01) | 1.00 | 1.00 | 359,166 | 0.43 | 0.99 | 0.44 | 0.98 | ||||||||||||||||||||||||||||||
2002-ILA Administration Units | 1.00 | 0.01 | (0.01) | 1.00 | 0.85 | 98,643 | 0.58 | 0.84 | 0.59 | 0.83 | ||||||||||||||||||||||||||||||
2002-ILA Service Units | 1.00 | 0.01 | (0.01) | 1.00 | 0.60 | 284 | 0.83 | 0.61 | 0.84 | 0.60 | ||||||||||||||||||||||||||||||
2002-ILA Cash Management Shares | 1.00 | 0.01 | (0.01) | 1.00 | 0.68 | 53,050 | 0.75 | 0.67 | 1.44 | (0.02 | ) | |||||||||||||||||||||||||||||
2001-ILA Units | 1.00 | 0.02 | (0.02) | 1.00 | 2.08 | 305,626 | 0.43 | 2.13 | 0.45 | 2.11 | ||||||||||||||||||||||||||||||
2001-ILA Administration Units | 1.00 | 0.02 | (0.02) | 1.00 | 1.92 | 70,281 | 0.58 | 1.82 | 0.60 | 1.80 | ||||||||||||||||||||||||||||||
2001-ILA Service Units | 1.00 | 0.02 | (0.02) | 1.00 | 1.67 | 84 | 0.83 | 1.84 | 0.85 | 1.82 | ||||||||||||||||||||||||||||||
2001-ILA Cash Management Shares | 1.00 | 0.01 | (0.01) | 1.00 | 1.50 | 62,986 | 1.00 | 1.53 | 1.45 | 1.08 | ||||||||||||||||||||||||||||||
2000-ILA Units | 1.00 | 0.03 | (0.03) | 1.00 | 3.17 | 650,980 | 0.42 | 3.08 | 0.43 | 3.07 | ||||||||||||||||||||||||||||||
2000-ILA Administration Units | 1.00 | 0.03 | (0.03) | 1.00 | 3.02 | 27,490 | 0.56 | 2.99 | 0.57 | 2.98 | ||||||||||||||||||||||||||||||
2000-ILA Service Units | 1.00 | 0.03 | (0.03) | 1.00 | 2.76 | 63 | 0.82 | 2.22 | 0.83 | 2.21 | ||||||||||||||||||||||||||||||
2000-ILA Cash Management Shares | 1.00 | 0.03 | (0.03) | 1.00 | 2.63 | 71,162 | 0.98 | 2.74 | 1.42 | 2.30 | ||||||||||||||||||||||||||||||
(a) | Calculated based on the average units/shares outstanding methodology. |
(b) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a unitholder/shareholder would pay on portfolio distributions. Total returns for periods less than one full year are not annualized. |
(c) | Annualized. |
63
Ratios assuming no | ||||||||||||||||||||||||||||||||||||||||
expense reductions | ||||||||||||||||||||||||||||||||||||||||
Ratio of net | Ratio of net | |||||||||||||||||||||||||||||||||||||||
Net asset | Net asset | Net assets, | Ratio of net | investment | Ratio of total | investment | ||||||||||||||||||||||||||||||||||
value, | Net | Distributions | value, | end of | expenses to | income to | expenses to | income (loss) | ||||||||||||||||||||||||||||||||
beginning | investment | to unit/ | end of | Total | period | average net | average net | average net | to average | |||||||||||||||||||||||||||||||
Year—Share Class | of period | income(a) | shareholders | period | return(b) | (in 000’s) | assets | assets | assets | net assets | ||||||||||||||||||||||||||||||
For the Six Months Ended June 30, (Unaudited) | ||||||||||||||||||||||||||||||||||||||||
2005-ILA Units | $ | 1.00 | $ | 0.009 | $ | (0.009) | $ | 1.00 | 0.86 | % | $ | 108,647 | 0.43 | %(c) | 1.71 | %(c) | 0.45 | %(c) | 1.69 | %(c) | ||||||||||||||||||||
2005-ILA Administration Units | 1.00 | 0.008 | (0.008) | 1.00 | 0.79 | 201,685 | 0.58 | (c) | 1.59 | (c) | 0.60 | (c) | 1.57 | (c) | ||||||||||||||||||||||||||
2005-ILA Service Units | 1.00 | 0.007 | (0.007) | 1.00 | 0.66 | 176 | 0.83 | (c) | 1.33 | (c) | 0.85 | (c) | 1.31 | (c) | ||||||||||||||||||||||||||
2005-ILA Cash Management Shares | 1.00 | 0.006 | (0.006) | 1.00 | 0.58 | 73,044 | 1.00 | (c) | 1.14 | (c) | 1.45 | (c) | 0.69 | (c) | ||||||||||||||||||||||||||
For the Years Ended December 31, | ||||||||||||||||||||||||||||||||||||||||
2004-ILA Units | 1.00 | 0.008 | (0.008) | 1.00 | 0.78 | 99,743 | 0.43 | 0.78 | 0.46 | 0.75 | ||||||||||||||||||||||||||||||
2004-ILA Administration Units | 1.00 | 0.006 | (0.006) | 1.00 | 0.63 | 174,135 | 0.58 | 0.65 | 0.61 | 0.62 | ||||||||||||||||||||||||||||||
2004-ILA Service Units | 1.00 | 0.004 | (0.004) | 1.00 | 0.40 | 156 | 0.82 | 0.41 | 0.86 | 0.37 | ||||||||||||||||||||||||||||||
2004-ILA Cash Management Shares | 1.00 | 0.003 | (0.003) | 1.00 | 0.33 | 59,693 | 0.87 | 0.30 | 1.46 | (0.29 | ) | |||||||||||||||||||||||||||||
2003-ILA Units | 1.00 | 0.006 | (0.006) | 1.00 | 0.62 | 89,518 | 0.44 | 0.62 | 0.47 | 0.59 | ||||||||||||||||||||||||||||||
2003-ILA Administration Units | 1.00 | 0.005 | (0.005) | 1.00 | 0.47 | 124,113 | 0.59 | 0.47 | 0.62 | 0.44 | ||||||||||||||||||||||||||||||
2003-ILA Service Units | 1.00 | 0.003 | (0.003) | 1.00 | 0.32 | 124 | 0.74 | 0.32 | 0.87 | 0.19 | ||||||||||||||||||||||||||||||
2003-ILA Cash Management Shares | 1.00 | 0.003 | (0.003) | 1.00 | 0.31 | 66,299 | 0.75 | 0.31 | 1.47 | (0.41 | ) | |||||||||||||||||||||||||||||
2002-ILA Units | 1.00 | 0.01 | (0.01) | 1.00 | 0.99 | 128,959 | 0.43 | 0.98 | 0.47 | 0.94 | ||||||||||||||||||||||||||||||
2002-ILA Administration Units | 1.00 | 0.01 | (0.01) | 1.00 | 0.83 | 99,406 | 0.58 | 0.83 | 0.62 | 0.79 | ||||||||||||||||||||||||||||||
2002-ILA Service Units | 1.00 | 0.01 | (0.01) | 1.00 | 0.59 | 123 | 0.83 | 0.58 | 0.87 | 0.54 | ||||||||||||||||||||||||||||||
2002-ILA Cash Management Shares | 1.00 | 0.01 | (0.01) | 1.00 | 0.66 | 56,104 | 0.75 | 0.66 | 1.47 | (0.06 | ) | |||||||||||||||||||||||||||||
2001-ILA Units | 1.00 | 0.02 | (0.02) | 1.00 | 2.23 | 122,610 | 0.43 | 2.27 | 0.47 | 2.23 | ||||||||||||||||||||||||||||||
2001-ILA Administration Units | 1.00 | 0.02 | (0.02) | 1.00 | 2.07 | 116,028 | 0.58 | 2.04 | 0.62 | 2.00 | ||||||||||||||||||||||||||||||
2001-ILA Service Units | 1.00 | 0.02 | (0.02) | 1.00 | 1.81 | 315 | 0.83 | 2.08 | 0.87 | 2.04 | ||||||||||||||||||||||||||||||
2001-ILA Cash Management Shares | 1.00 | 0.02 | (0.02) | 1.00 | 1.64 | 42,440 | 1.00 | 1.50 | 1.47 | 1.03 | ||||||||||||||||||||||||||||||
2000-ILA Units | 1.00 | 0.04 | (0.04) | 1.00 | 3.57 | 176,618 | 0.43 | 3.51 | 0.47 | 3.47 | ||||||||||||||||||||||||||||||
2000-ILA Administration Units | 1.00 | 0.03 | (0.03) | 1.00 | 3.41 | 82,019 | 0.58 | 3.44 | 0.62 | 3.40 | ||||||||||||||||||||||||||||||
2000-ILA Service Units | 1.00 | 0.03 | (0.03) | 1.00 | 3.15 | 303 | 0.83 | 3.33 | 0.87 | 3.29 | ||||||||||||||||||||||||||||||
2000-ILA Cash Management Shares | 1.00 | 0.03 | (0.03) | 1.00 | 3.02 | 13,758 | 1.00 | 3.15 | 1.47 | 2.68 | ||||||||||||||||||||||||||||||
(a) | Calculated based on the average units/shares outstanding methodology. |
(b) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a unitholder/shareholder would pay on portfolio distributions. Total returns for periods less than one full year are not annualized. |
(c) | Annualized. |
64
Statement Regarding Basis for Approval of Management Agreement (Unaudited)
The Trustees oversee the management of Goldman Sachs Trust (the “Trust”), and review the investment performance and expenses of the investment portfolios covered by this Report (the “Portfolios”) at regularly scheduled meetings held during the Portfolios’ fiscal year. In addition, the Trustees determine annually whether to approve and continue the Trust’s investment management agreement (the “Management Agreement”) with Goldman Sachs Asset Management, L.P. (the “Investment Adviser”) for the Portfolios.
regard, the Trustees considered both the investment advisory services, and the other non-advisory services, that are provided to the Portfolios by the Investment Adviser and its affiliates. These services include services as the Portfolios’ transfer agent and distributor. The Trustees concluded that the Investment Adviser was both able to commit substantial financial and other resources to the operations of the Portfolios and had, in fact, committed those resources in multiple areas including portfolio management, trading, technology, human resources, tax, treasury, legal, compliance and risk management. The Trustees also believed that the Investment Adviser had made significant commitments to address new regulatory compliance requirements applicable to the Portfolios and the Investment Adviser, including education and training initiatives.
Fund Expenses (Unaudited) — Six Month Period Ended June 30, 2005
As a shareholder of ILA, ILA Administration, ILA Service, ILA B, ILA C Units or ILA Cash Management Shares of the Portfolios you incur two types of costs: (1) transaction costs, including contingent deferred sales charges (load) (with respect to ILA B and C Units); and (2) ongoing costs, including management fees; distribution and service (12b-1) fees (with respect to ILA B Units, ILA C Units and Cash Management Shares); and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in ILA, ILA Administration, ILA Service, ILA B, ILA C Units or ILA Cash Management Shares of the Portfolio 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 January 1, 2005 through June 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 for 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 Portfolios’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Portfolios’ 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 Portfolios 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), 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.
Prime Obligations Portfolio | Money Market Portfolio | |||||||||||||||||||||||
Expenses | Expense | |||||||||||||||||||||||
Beginning | Ending | Paid for the | Beginning | Ending | Paid for the | |||||||||||||||||||
Account | Account | 6 months | Account | Account | 6 months | |||||||||||||||||||
Value | Value | ended | Value | Value | ended | |||||||||||||||||||
Unit/Share Class | 1/1/05 | 6/30/05 | 6/30/05* | 1/1/05 | 6/30/05 | 6/30/05* | ||||||||||||||||||
ILA Units | ||||||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,011.90 | $ | 2.16 | $ | 1,000.00 | $ | 1,011.80 | $ | 2.05 | ||||||||||||
Hypothetical 5% return | 1,000.00 | 1,022.64 | + | 2.18 | 1,000.00 | 1,022.76 | + | 2.06 | ||||||||||||||||
ILA Administration Units | ||||||||||||||||||||||||
Actual | 1,000.00 | 1,011.10 | 2.91 | 1,000.00 | 1,011.10 | 2.80 | ||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,021.90 | + | 2.93 | 1,000.00 | 1,022.01 | + | 2.81 | ||||||||||||||||
ILA Service Units | ||||||||||||||||||||||||
Actual | 1,000.00 | 1,009.90 | 4.16 | 1,000.00 | 1,009.80 | 4.04 | ||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,020.66 | + | 4.18 | 1,000.00 | 1,020.77 | + | 4.06 | ||||||||||||||||
ILA B Units | ||||||||||||||||||||||||
Actual | 1,000.00 | 1,007.00 | 7.04 | |||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,017.78 | + | 7.09 | N/A | N/A | N/A | |||||||||||||||||
ILA C Units | ||||||||||||||||||||||||
Actual | 1,000.00 | 1,007.00 | 7.04 | |||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,017.77 | + | 7.09 | N/A | N/A | N/A | |||||||||||||||||
ILA Cash Management Shares | ||||||||||||||||||||||||
Actual | 1,000.00 | 1,009.00 | 5.00 | 1,000.00 | 1,009.00 | 4.89 | ||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,019.82 | + | 5.03 | 1,000.00 | 1,019.93 | + | 4.91 | ||||||||||||||||
[Additional columns below]
[Continued from above table, first column(s) repeated]
Government Portfolio | Treasury Obligations Portfolio | |||||||||||||||||||||||
Expenses | Expenses | |||||||||||||||||||||||
Beginning | Ending | Paid for the | Beginning | Ending | Paid for the | |||||||||||||||||||
Account | Account | 6 months | Account | Account | 6 months | |||||||||||||||||||
Value | Value | ended | Value | Value | ended | |||||||||||||||||||
Unit/Share Class | 1/1/05 | 6/30/05 | 6/30/05* | 1/1/05 | 6/30/05 | 6/30/05* | ||||||||||||||||||
ILA Units | ||||||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,011.50 | $ | 2.16 | $ | 1,000.00 | $ | 1,011.10 | $ | 2.10 | ||||||||||||
Hypothetical 5% return | 1,000.00 | 1,022.65 | + | 2.17 | 1,000.00 | 1,022.70 | + | 2.11 | ||||||||||||||||
ILA Administration Units | ||||||||||||||||||||||||
Actual | 1,000.00 | 1,010.80 | 2.91 | 1,000.00 | 1,010.30 | 2.85 | ||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,021.90 | + | 2.92 | 1,000.00 | 1,021.96 | + | 2.86 | ||||||||||||||||
ILA Service Units | ||||||||||||||||||||||||
Actual | 1,000.00 | 1,009.50 | 4.15 | 1,000.00 | 1,009.10 | 4.10 | ||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,020.66 | + | 4.17 | 1,000.00 | 1,020.72 | + | 4.12 | ||||||||||||||||
ILA B Units | ||||||||||||||||||||||||
Actual | ||||||||||||||||||||||||
Hypothetical 5% return | N/A | N/A | N/A | N/A | N/A | N/A | ||||||||||||||||||
ILA C Units | ||||||||||||||||||||||||
Actual | ||||||||||||||||||||||||
Hypothetical 5% return | N/A | N/A | N/A | N/A | N/A | N/A | ||||||||||||||||||
ILA Cash Management Shares | ||||||||||||||||||||||||
Actual | 1,000.00 | 1,008.70 | 5.00 | 1,000.00 | 1,008.20 | 4.94 | ||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,019.82 | + | 5.02 | 1,000.00 | 1,019.87 | + | 4.97 | ||||||||||||||||
[Additional columns below]
[Continued from above table, first column(s) repeated]
Treasury Instruments Portfolio | Federal Portfolio | |||||||||||||||||||||||
Expenses | Expenses | |||||||||||||||||||||||
Beginning | Ending | Paid for the | Beginning | Ending | Paid for the | |||||||||||||||||||
Account | Account | 6 months | Account | Account | 6 months | |||||||||||||||||||
Value | Value | ended | Value | Value | ended | |||||||||||||||||||
Unit/Share Class | 1/1/05 | 6/30/05 | 6/30/05* | 1/1/05 | 6/30/05 | 6/30/05* | ||||||||||||||||||
ILA Units | ||||||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,010.60 | $ | 2.16 | $ | 1,000.00 | $ | 1,011.40 | $ | 2.03 | ||||||||||||
Hypothetical 5% return | 1,000.00 | 1,022.64 | + | 2.18 | 1,000.00 | 1,022.77 | + | 2.05 | ||||||||||||||||
ILA Administration Units | ||||||||||||||||||||||||
Actual | 1,000.00 | 1,009.80 | 2.91 | 1,000.00 | 1,010.70 | 2.78 | ||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,021.90 | + | 2.93 | 1,000.00 | 1,022.03 | + | 2.80 | ||||||||||||||||
ILA Service Units | ||||||||||||||||||||||||
Actual | 1,000.00 | 1,008.60 | 4.15 | 1,000.00 | 1,009.40 | 4.03 | ||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,020.66 | + | 4.18 | 1,000.00 | 1,020.79 | + | 4.05 | ||||||||||||||||
ILA B Units | ||||||||||||||||||||||||
Actual | ||||||||||||||||||||||||
Hypothetical 5% return | N/A | N/A | N/A | N/A | N/A | N/A | ||||||||||||||||||
ILA C Units | ||||||||||||||||||||||||
Actual | ||||||||||||||||||||||||
Hypothetical 5% return | N/A | N/A | N/A | N/A | N/A | N/A | ||||||||||||||||||
ILA Cash Management Shares | ||||||||||||||||||||||||
Actual | 1,000.00 | 1,007.70 | 5.00 | 1,000.00 | 1,008.60 | 4.87 | ||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,019.82 | + | 5.03 | 1,000.00 | 1,019.95 | + | 4.90 | ||||||||||||||||
67
Fund Expenses (Unaudited) — Six Month Period Ended June 30, 2005
Tax-Exempt Diversified Portfolio | Tax-Exempt California Portfolio | Tax-Exempt New York Portfolio | ||||||||||||||||||||||||||||||||||
Expenses | Expense | Expenses | ||||||||||||||||||||||||||||||||||
Beginning | Ending | Paid for the | Beginning | Ending | Paid for the | Beginning | Ending | Paid for the | ||||||||||||||||||||||||||||
Account | Account | 6 months | Account | Account | 6 months | Account | Account | 6 months | ||||||||||||||||||||||||||||
Value | Value | ended | Value | Value | ended | Value | Value | ended | ||||||||||||||||||||||||||||
Unit/Share Class | 1/1/05 | 6/30/05 | 6/30/05* | 1/1/05 | 6/30/05 | 6/30/05* | 1/1/05 | 6/30/05 | 6/30/05* | |||||||||||||||||||||||||||
ILA Units | ||||||||||||||||||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,008.80 | $ | 2.03 | $ | 1,000.00 | $ | 1,008.60 | $ | 2.16 | $ | 1,000.00 | $ | 1,008.60 | $ | 2.16 | ||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,022.77 | + | 2.05 | 1,000.00 | 1,022.65 | + | 2.17 | 1,000.00 | 1,022.64 | + | 2.18 | ||||||||||||||||||||||||
ILA Administration Units | ||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 1,008.10 | 2.78 | 1,000.00 | 1,007.90 | 2.90 | 1,000.00 | 1,007.90 | 2.91 | |||||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,022.03 | + | 2.80 | 1,000.00 | 1,021.90 | + | 2.92 | 1,000.00 | 1,021.90 | + | 2.93 | ||||||||||||||||||||||||
ILA Service Units | ||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 1,006.80 | 4.02 | 1,000.00 | 1,006.60 | 4.15 | 1,000.00 | 1,006.60 | 4.15 | |||||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,020.79 | + | 4.05 | 1,000.00 | 1,020.66 | + | 4.18 | 1,000.00 | 1,020.66 | + | 4.18 | ||||||||||||||||||||||||
ILA B Units | ||||||||||||||||||||||||||||||||||||
Actual | ||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | |||||||||||||||||||||||||||
ILA C Units | ||||||||||||||||||||||||||||||||||||
Actual | ||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | |||||||||||||||||||||||||||
ILA Cash Management Shares | ||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 1,006.00 | 4.86 | 1,000.00 | 1,005.80 | 4.99 | 1,000.00 | 1,005.80 | 4.99 | |||||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,019.95 | + | 4.90 | 1,000.00 | 1,019.82 | + | 5.02 | 1,000.00 | 1,019.82 | + | 5.03 | ||||||||||||||||||||||||
* | Expenses for each share class are calculated using the Portfolios’ annualized expense ratios for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended June 30, 2005. Expenses are calculated by multiplying the annualized expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the fiscal year. The annualized net expense ratios for the period were as follows: |
ILA Administration | ILA Cash Management | |||||||||||||||||||||||
Portfolio | ILA Units | Units | ILA Service Units | ILA B Units | ILA C Units | Shares | ||||||||||||||||||
Prime Obligations Portfolio | 0.43 | % | 0.58 | % | 0.83 | % | 1.41 | % | 1.41 | % | 1.00 | % | ||||||||||||
Money Market Portfolio | 0.41 | 0.56 | 0.81 | N/A | N/A | 0.98 | ||||||||||||||||||
Government Portfolio | 0.43 | 0.58 | 0.83 | N/A | N/A | 1.00 | ||||||||||||||||||
Treasury Obligations Portfolio | 0.42 | 0.57 | 0.82 | N/A | N/A | 0.99 | ||||||||||||||||||
Treasury Instruments Portfolio | 0.43 | 0.58 | 0.83 | N/A | N/A | 1.00 | ||||||||||||||||||
Federal Portfolio | 0.41 | 0.56 | 0.81 | N/A | N/A | 0.98 | ||||||||||||||||||
Tax-Exempt Diversified Portfolio | 0.41 | 0.56 | 0.81 | N/A | N/A | 0.98 | ||||||||||||||||||
Tax-Exempt California Portfolio | 0.43 | 0.58 | 0.83 | N/A | N/A | 1.00 | ||||||||||||||||||
Tax-Exempt New York Portfolio | 0.43 | 0.58 | 0.83 | N/A | N/A | 1.00 | ||||||||||||||||||
+ | Hypothetical expenses are based on the Portfolios’ actual annualized expense ratios and an assumed rate of return of 5% per year before expenses. |
68
The Portfolios file their complete schedule of portfolio holdings with the Securities and Exchange Commission (“the Commission”) for the first and third quarters of each fiscal year on Form N-Q. The Portfolios’ Form N-Q are available on the Commission’s website at http://www.sec.gov. The Portfolios’ Form N-Q may be reviewed and copied at the Commission’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. Form N-Q may be obtained upon request and without charge by calling 1-800-621-2550.
A description of the policies and procedures that the Portfolios use to determine how to vote proxies relating to portfolio securities is available (i) without charge, upon request by calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders); and (ii) on the Securities and Exchange Commission Web site at http:/www.sec.gov.
This Semiannual Report is authorized for distribution to prospective investors only when preceded or accompanied by a Goldman Sachs Trust Institutional Liquid Assets Prospectus which contains facts concerning each Portfolio’s objectives and policies, management, expenses and other information.
TRUSTEES | |
Ashok N. Bakhru, Chairman | |
John P. Coblentz, Jr. | |
Patrick T. Harker | |
Mary Patterson McPherson | |
Alan A. Shuch | |
Wilma J. Smelcer | |
Richard P. Strubel | |
Kaysie P. Uniacke | |
OFFICERS | |
Kaysie P. Uniacke, President | |
James A. Fitzpatrick, Vice President | |
James A. McNamara, Vice President | |
John M. Perlowski, Treasurer | |
Howard B. Surloff, Secretary | |
GOLDMAN, SACHS & CO. | |
Distributor and Transfer Agent | |
GOLDMAN SACHS ASSET MANAGEMENT, L.P. | |
Investment Adviser |
ILA/SAR 6/05 | Goldman Sachs Funds 32 Old Slip New York, NY 10005 |
ITEM 2. | CODE OF ETHICS. — Not applicable to the Semi-Annual Report for the period ended June 30, 2005 |
ITEM 3. | AUDIT COMMITTEE FINANCIAL EXPERT. — Not applicable to the Semi-Annual Report for the period ended June 30, 2005 |
ITEM 4. | PRINCIPAL ACCOUNTANT FEES AND SERVICES. — Not applicable to the Semi-Annual Report for the period ended June 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: | August 19, 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: | August 19, 2005 | |||||
By: | /s/ John M. Perlowski | |||||
John M. Perlowski | ||||||
Treasurer/Principal Financial Officer | ||||||
Goldman Sachs Trust | ||||||
Date: | August 19, 2005 |