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 Drive, Suite 500, Chicago, Illinois 60606
(Address of principal executive offices) (Zip code)
Peter V. Bonanno, Esq. | Copies to: | |
Goldman, Sachs & Co. | Jeffrey A. Dalke, Esq. | |
One New York Plaza | Drinker Biddle & Reath LLP | |
New York, New York 10004 | One Logan Square | |
18th and Cherry Streets | ||
Philadelphia, PA 19103 | ||
(Name and address of agents for service) |
Registrant’s telephone number, including area code: (312) 655-4400
Date of fiscal year end: October 31
Date of reporting period: April 30, 2006
ITEM 1. | REPORTS TO STOCKHOLDERS. | |
The Semi–Annual Report to Stockholders is filed herewith. |
TAXABLE FIXED INCOME FUNDS | Semiannual Report April 30, 2006 |
Current income potential from portfolios that invest in a variety of fixed income securities. |
Goldman Sachs Taxable Fixed Income Funds
n GOLDMAN SACHS ENHANCED INCOME FUND | |
n GOLDMAN SACHS ULTRA-SHORT DURATION GOVERNMENT FUND | |
n GOLDMAN SACHS SHORT DURATION GOVERNMENT FUND | |
n GOLDMAN SACHS GOVERNMENT INCOME FUND | |
n GOLDMAN SACHS U.S. MORTGAGES FUND | |
n GOLDMAN SACHS CORE FIXED INCOME FUND | |
n GOLDMAN SACHS INVESTMENT GRADE CREDIT FUND | |
The Goldman Sachs Enhanced Income Fund is not a money market fund. Investors in this Fund should understand that the net asset value of the Fund will fluctuate, which may result in a loss of the principal amount invested. Investments in fixed income securities are subject to the risks associated with debt securities including credit and interest rate risk. The Fund may make substantial investments in derivative instruments, including options, financial futures, Eurodollar futures contracts, swaps, options on swaps, structured securities and other derivative investments. Derivative instruments may involve a high degree of financial risk. These risks include the risk that a small movement in the price of the underlying security or benchmark may result in a disproportionately large movement, unfavorable or favorable, in the price of the derivative instrument; risks of default by a counterparty, and the risks that transactions may not be liquid. |
The Goldman Sachs Ultra-Short Duration Government Fund is not a money market fund. Investors in this Fund should understand that the net asset value of the Fund will fluctuate, which may result in a loss of the principal amount invested. The Fund’s net asset value and yield are not guaranteed by the U.S. government or by its agencies, instrumentalities or sponsored enterprises. Investments in fixed income securities are subject to the risks associated with debt securities including credit and interest rate risk. The guarantee on U.S. government securities applies only to the underlying securities of the Fund if held to maturity and not to the value of the Fund’s shares. The Fund’s investments in mortgage-backed securities are subject to prepayment risks. These risks may result in greater share price volatility. The Fund may make substantial investments in derivative instruments, including options, financial futures, Eurodollar futures contracts, swaps, options on swaps, structured securities and other derivative investments. Derivative instruments may involve a high degree of financial risk. These risks include the risk that a small movement in the price of the underlying security or benchmark may result in a disproportionately large movement, unfavorable or favorable, in the price of the derivative instrument; risks of default by a counterparty, and the risks that transactions may not be liquid.
The Goldman Sachs Short Duration Government Fund is not a money market fund. Investors in this Fund should understand that the net asset value of the Fund will fluctuate, which may result in a loss of the principal amount invested. The Fund’s net asset value and yield are not guaranteed by the U.S. government or by its agencies, instrumentalities or sponsored enterprises. Investments in fixed income securities are subject to the risks associated
NOT FDIC-INSURED | May Lose Value | No Bank Guarantee | ||
with debt securities including credit and interest rate risk. The guarantee on U.S. government securities applies only to the underlying securities of the Fund if held to maturity and not to the value of the Fund’s shares. The Fund’s investments in mortgage-backed securities are subject to prepayment risks. These risks may result in greater share price volatility. The Fund may make substantial investments in derivative instruments, including options, financial futures, Eurodollar futures contracts, swaps, options on swaps, structured securities and other derivative investments.
Derivative instruments may involve a high degree of financial risk. These risks include the risk that a small movement in the price of the underlying security or benchmark may result in a disproportionately large movement, unfavorable or favorable, in the price of the derivative instrument; risks of default by a counterparty, and the risks that transactions may not be liquid.
The Goldman Sachs Government Income Fund’s net asset value and yield are not guaranteed by the U.S. government or by its agencies, instrumentalities or sponsored enterprises. Investments in fixed income securities are subject to the risks associated with debt securities including credit and interest rate risk. The guarantee on U.S. government securities applies only to the underlying securities of the Fund if held to maturity and not to the value of the Fund’s shares. The Fund’s investments in mortgage-backed securities are subject to prepayment risks. These risks may result in greater share price volatility. The Fund may make substantial investments in derivative instruments, including options, financial futures, Eurodollar futures contracts, swaps, options on swaps, structured securities and other derivative investments. Derivative instruments may involve a high degree of financial risk. These risks include the risk that a small movement in the price of the underlying security or benchmark may result in a disproportionately large movement, unfavorable or favorable, in the price of the derivative instrument; risks of default by a counterparty, and the risks that transactions may not be liquid.
The Goldman Sachs U.S. Mortgages Fund’s investment in mortgage-backed securities (MBS) is subject to prepayment risk, the risk that in a declining interest rate environment the Fund’s underlying mortgages may be prepaid, causing the Fund to have to reinvest at lower interest rates. This risk may result in greater share price volatility than a fixed income fund not invested in MBS. The guarantee on U.S. government securities applies only to the underlying securities of the Fund if held to maturity and not to the value of the Fund’s shares. The Fund may make substantial investments in derivative instruments, including options, financial futures, Eurodollar futures contracts, swaps, options on swaps, structured securities and other derivative investments. Derivative instruments may involve a high degree of financial risk. These risks include the risk that a small movement in the price of the underlying security or benchmark may result in a disproportionately large movement, unfavorable or favorable, in the price of the derivative instrument; risks of default by a counterparty, and the risks that transactions may not be liquid. Investments in fixed income securities are subject to the risks associated with debt securities including credit and interest rate risk.
The Goldman Sachs Core Fixed Income Fund’s investments in fixed income securities are subject to the risks associated with debt securities including credit and interest rate risk. The guarantee on U.S. government securities applies only to the underlying securities of the Fund if held to maturity and not to the value of the Fund’s shares. The Fund’s investments in mortgage-backed securities are subject to prepayment risks. These risks may result in greater share price volatility. The Fund may make substantial investments in derivative instruments, including options, financial futures, Eurodollar futures contracts, swaps, options on swaps, structured securities and other derivative investments. Derivative instruments may involve a high degree of financial risk. These risks include the risk that a small movement in the price of the underlying security or benchmark may result in a disproportionately large movement, unfavorable or favorable, in the price of the derivative instrument; risks of default by a counterparty, and the risks that transactions may not be liquid.
The Goldman Sachs Investment Grade Credit Fund’s investments in fixed income securities are subject to the risks associated with debt securities including credit and interest rate risk. The guarantee on U.S. government securities applies only to the underlying securities of the Fund if held to maturity and not to the value of the Fund’s shares. The Fund’s investments in mortgage-backed securities are subject to prepayment risks. These risks may result in greater share price volatility. The Fund may make substantial investments in derivative instruments, including options, financial futures, Eurodollar futures contracts, swaps, options on swaps, structured securities and other derivative investments. Derivative instruments may involve a high degree of financial risk. These risks include the risk that a small movement in the price of the underlying security or benchmark may result in a disproportionately large movement, unfavorable or favorable, in the price of the derivative instrument; risks of default by a counterparty, and the risks that transactions may not be liquid.
What Distinguishes Goldman Sachs’
Fixed Income Investment Process?
At Goldman Sachs Asset Management (GSAM), the goal of our fixed income investment process is to provide consistent, strong performance by actively managing our portfolios within a research-intensive, risk-managed framework.
A key element of our fixed income investment philosophy is to evaluate the broadest global opportunity set to capture relative value across sectors and instruments. Our globally integrated investment process involves managing dynamically along the risk/return spectrum, as we continue to develop value-added strategies through: n Assess relative value among sectors (such as mortgages and corporates) and sub-sectors n Leverage the vast resources of Goldman Sachs in selecting securities for each portfolio n Team approach to decision making n Manage risk by avoiding significant sector and interest rate bets n Careful management of yield curve strategies — while closely managing portfolio duration | ||
Fixed Income portfolios that: n Include domestic and global investment options, income opportunities, and access to areas of specialization such as high yield n Capitalize on GSAM’s industry-renowned credit research capabilities n Use a risk-managed framework to seek total return, recognizing the importance of investors’ capital accumulation goals as well as their need for income |
Enhanced Income Fund
Dear Shareholder,
This report provides an overview on the performance of the Goldman Sachs Enhanced Income Fund during the six-month reporting period that ended April 30, 2006.
Performance Review
Over the six-month period that ended April 30, 2006, the Fund’s Class A, Institutional and Administration Shares generated cumulative total returns, without sales charges, of 1.94%, 2.03% and 1.90%, respectively. These returns compare to the 2.06% and 1.80% cumulative total returns of the Fund’s benchmarks, the Six-Month U.S. Treasury Bill Index and the One-Year U.S. Treasury Note Index, respectively, over the same time period. | |
A combination of top-down and bottom-up strategies impacted performance over the period. The Fund continued to emphasize shorter-term, higher credit quality securities which helped to enhance results. The Fund’s exposures were primarily in the agency, corporate and asset-backed sectors, which all performed well over the period. Although select securities within the corporate financial and asset-backed auto subsectors underperformed, positive selection of agency debentures was a mitigating factor. Within agencies, the Fund held a bias towards short-dated paper, where we have been finding attractive relative values. Higher short-term interest rates were a drag on the Fund’s total return and relative performance versus the Six-Month Treasury Bill Index over the reporting period. The Fund held a short duration position in anticipation of higher interest rates; this strategy helped enhance results relative to the One-Year Treasury Note. |
Market Review
The U.S. Treasury yield curve continued to flatten over the reporting period as yields rose, primarily at the short and intermediate regions of the curve. The primary driver of increasing short-term interest rates was the Federal Reserve Board’s (the “Fed”) four 25 basis point rate increases that brought the federal funds rate to 4.75% by the end of April 2006. The transition from Alan Greenspan to the new Fed Chairman Ben Bernanke proved uneventful, although Mr. Bernanke suggested that further tightening may be necessary. Rate increases during the period were the result of stronger-than-expected consumer confidence, an increase in existing and new home sales, solid manufacturing output, and soaring commodity prices, all of which suggested that inflation may be accelerating. Investment grade sectors outperformed Treasuries over the reporting period, with the mortgage sector generating the best results. Within corporates, lower quality credits outperformed their higher quality counterparts over the period. |
Investment Objective
The Fund seeks to generate return in excess of traditional money market products while maintaining an emphasis on preservation of capital and liquidity. | |
It is important to note that the Fund is not a money market fund and its net asset value will fluctuate. |
Investment Strategies
In seeking to meet the Fund’s objective, we diversify our exposure across high credit quality sectors. Although securities held in this portfolio may have maturities greater than one year, the portfolio duration can be hedged to approximate the interest rate sensitivity of the 9-month Treasury bill by investing in floating rate debt and through the use of interest rate futures contracts. The Fund uses derivatives, including, but not limited to, Treasury futures, Eurodollar futures and swaps, primarily as a tool to manage interest rate exposure, volatility, term structure, convexity (the rate of change in the portfolio’s duration as yields change), and sector exposure. The Fund may also use derivatives to express our interest rate outlook. | |
We believe that using derivatives, including both futures and swaps, in the portfolio has been an effective portfolio management tool. Futures have been efficiently employed to hedge duration (interest rate sensitivity) drift that may occur due to the passage of time, or changing interest rates. In addition, futures allowed us to optimize security selection by giving us the flexibility to select the most attractive securities for the portfolio, regardless of the securities’ maturity/duration. Finally, futures and swaps were important tools in implementing certain interest rate and spread views. |
Portfolio Composition
The Fund targets a duration of nine months, with diversified holdings in high credit quality sectors including U.S. Treasuries, agency, corporate, asset-backed, and money market instruments. The Fund invests in securities with a minimum credit quality of “A” by a Nationally Recognized Statistical Rating Organization at the time of purchase or, if unrated, determined by the investment adviser to be of comparable quality. | |
The Fund was defensively positioned for much of the reporting period, maintaining a short duration position. The Fund continued to emphasize shorter-term, higher quality securities that we believed had the potential to enhance results. The Fund’s largest exposure was to quasi-government securities, specifically agency debentures, where we have been finding value. In addition, the Fund maintained a meaningful exposure to corporate bonds, although we trimmed the allocation to this sector as valuations changed. | |
We thank you for your investment and look forward to your continued confidence. | |
Goldman Sachs U.S. Fixed Income Management Team | |
May 17, 2006 |
Enhanced Income Fund
PERFORMANCE REVIEW |
Six-Month | One-Year | |||||||||||||||||
November 1, 2005– | Fund Total Return | U.S. Treasury | U.S. Treasury | 30-Day | ||||||||||||||
April 30, 2006 | (based on NAV)1 | Bill Index2 | Note Index2 | Standardized Yield3 | ||||||||||||||
Class A | 1.94 | % | 2.06 | % | 1.80 | % | 4.22 | % | ||||||||||
Institutional | 2.03 | 2.06 | 1.80 | 4.66 | ||||||||||||||
Administration | 1.90 | 2.06 | 1.80 | 4.40 | ||||||||||||||
1 | The net asset value (NAV) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance assumes the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. |
2 | The Six-Month U.S. Treasury Bill Index and One-Year U.S. Treasury Note Index, as reported by Merrill Lynch, do not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an unmanaged index. |
3 | The 30-Day Standardized Yield of the Fund is calculated by dividing the net investment income per share (as defined by securities industry regulations) earned by the Fund over a 30-day period (ending on the stated month-end date) by the maximum public offering price per share of the Fund on the last day of the period. This number is then annualized. This yield does not necessarily reflect income actually earned and distributed by the Fund and, therefore, may not be correlated with the dividends or other distributions paid to shareholders. |
STANDARDIZED TOTAL RETURNS4 |
For the period ended 3/31/06 | One Year | Five Years | Since Inception | Inception Date | ||||||||||||
Class A | 1.38 | % | 2.15 | % | 2.90 | % | 8/2/00 | |||||||||
Institutional | 3.34 | 2.84 | 3.56 | 8/2/00 | ||||||||||||
Administration | 2.87 | 2.54 | 3.27 | 8/2/00 | ||||||||||||
4 | The Standardized Total Returns are average annual total returns as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 1.5% for Class A Shares. Because Institutional and Administration Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. |
SECTOR ALLOCATION5 |
5 | The percentage shown for each investment sector reflects the value of investments in that sector as a percentage of total market value. Due to multiple valid methodologies the percentages calculated above may differ to the percentages in the Schedule of Investments. Short-term investments include repurchase agreements. |
6 | “Quasi-governments” include agency securities offered by companies such as Fannie Mae and Freddie Mac, which operate under a government charter. While they have to report to a government regulator, their assets are not explicitly guaranteed by the government and they otherwise operate like any other publicly traded company. |
Ultra-Short Duration Government Fund
Dear Shareholder:
This report provides an overview on the performance of the Goldman Sachs Ultra-Short Duration Government Fund during the six-month reporting period that ended April 30, 2006.
Performance Review
Over the six-month period that ended April 30, 2006, the Fund’s Class A, Institutional, and Service Shares generated cumulative total returns, without sales charges, of 2.19%, 2.26% and 2.00%, respectively. These returns compare to the 2.06% and 1.80% cumulative total returns of the Fund’s benchmarks, the Six-Month U.S. Treasury Bill Index and the One-Year U.S. Treasury Note Index, respectively, over the same time period. | |
A combination of top-down and bottom-up strategies impacted performance over the period. Within our sector strategies, the Fund’s exposures to the collateralized and government sectors were important contributors to returns as they performed well over the period. Within our bottom-up strategies, security selection and relative value plays were also important drivers of returns. Within mortgages, we focused on securities with less sensitivity to changes in volatility. In particular, we favored 15-year pass-throughs, premium 30-year pass-throughs, adjustable-rate mortgages (ARMs), and shorter duration collateralized mortgage obligations (CMOs). Within agencies, selection of short-dated agency debentures contributed to results. Select asset-backed securities (ABS) holdings detracted from results; however, this was mitigated by the overall positive impact from our security selection strategies. | |
The Fund held a short duration position over the period in anticipation of higher interest rates. While this strategy helped enhance relative results, meaningfully higher short-term interest rates were a drag on the Fund’s total return. |
Market Review
The U.S. Treasury yield curve continued to flatten over the reporting period as yields rose, primarily at the short and intermediate regions of the curve. The primary driver of increasing short-term interest rates was the Federal Reserve Board’s (the “Fed”) four 25 basis point rate increases that brought the federal funds rate to 4.75% by the end of April 2006. The transition from Alan Greenspan to the new Fed Chairman Ben Bernanke proved uneventful, although Mr. Bernanke suggested that further tightening may be necessary. Rate increases during the period were the result of stronger-than-expected consumer confidence, an increase in existing and new home sales, solid manufacturing output, and soaring commodity prices, all of which suggested that inflation may be accelerating. Investment grade sectors outperformed Treasuries over the reporting period, with the mortgage sector generating the best results. Within corporates, lower quality credits outperformed their higher quality counterparts over the period. |
Investment Objective
The Fund seeks a high level of current income, consistent with low volatility of principal. |
Investment Strategies
The Fund seeks to meet its objective by investing at least 80% of its net assets in U.S. government securities including securities representing an interest in or collateralized by adjustable rate and fixed rate mortgage loans. The Fund uses derivatives, including, but not limited to, Treasury futures, Eurodollar futures and swaps, primarily as a tool to manage interest rate exposure, volatility, term structure, convexity (the rate of change in the portfolio’s duration as yields change), and sector exposure. The Fund may also use derivatives to express our interest rate outlook. | |
We believe that using derivatives, including both futures and swaps, in the portfolio has been an effective portfolio management tool. Futures have been efficiently employed to hedge duration (interest rate sensitivity) drift that may occur due to the passage of time, changing interest rates or changing mortgage durations. In addition, futures allowed us to optimize security selection by giving us the flexibility to select the most attractive securities for the portfolio, regardless of the securities’ maturity/duration. Finally, futures and swaps were important tools in implementing certain interest rate and spread views. |
Portfolio Composition
Over the period, the Fund continued to focus on security selection and sub-sector strategies to enhance results. Within mortgages, the Fund’s primary exposures were to ARMs, CMOs, and pass-through sub-sectors. We tactically adjusted the Fund’s exposures to take advantage of changing relative opportunities within the market. For example, we decreased the Fund’s allocation to quasi-government securities in favor of the mortgage sector as we found attractively priced securities within the pass-through and ARMs subsectors. We also modestly decreased the Fund’s bias to home equity asset-backed securities, as valuations within the sector became less compelling. We positioned the Fund defensively for much of the period and maintained a short duration. This was due to our belief that interest rates would move higher. | |
We thank you for your investment and look forward to your continued confidence. | |
Goldman Sachs U.S. Fixed Income Investment Management Team | |
May 17, 2006 |
Ultra-Short Duration Government Fund
PERFORMANCE REVIEW |
Six-Month | One-Year | |||||||||||||||||
November 1, 2005– | Fund Total Return | U.S. Treasury | U.S. Treasury | 30-Day | ||||||||||||||
April 30, 2006 | (based on NAV)1 | Bill Index2 | Note Index2 | Standardized Yield3 | ||||||||||||||
Class A | 2.19 | % | 2.06 | % | 1.80 | % | 3.37 | % | ||||||||||
Institutional | 2.26 | 2.06 | 1.80 | 3.79 | ||||||||||||||
Service | 2.00 | 2.06 | 1.80 | 3.29 | ||||||||||||||
1 | The net asset value (NAV) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance assumes the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. |
2 | The Six-Month U.S. Treasury Bill Index and One-Year U.S. Treasury Note Index, as reported by Merrill Lynch, do not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an unmanaged index. |
3 | The 30-Day Standardized Yield of the Fund is calculated by dividing the net investment income per share (as defined by securities industry regulations) earned by the Fund over a 30-day period (ending on the stated month-end date) by the maximum public offering price per share of the Fund on the last day of the period. This number is then annualized. This yield does not necessarily reflect income actually earned and distributed by the Fund and, therefore, may not be correlated with the dividends or other distributions paid to shareholders. |
STANDARDIZED TOTAL RETURNS4 |
For the period ended 3/31/06 | One Year | Five Years | Ten Years | Since Inception | Inception Date | |||||||||||||||
Class A | 1.29 | % | 2.36 | % | 3.95 | % | 4.12 | % | 5/15/95 | |||||||||||
Institutional | 3.08 | 3.08 | 4.49 | 4.69 | 7/17/91 | |||||||||||||||
Service | 2.67 | 2.62 | N/A | 3.76 | 3/27/97 | |||||||||||||||
4 | The Standardized Total Returns are average annual total returns as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 1.5% for Class A Shares. Because Institutional and Service Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. |
The returns represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our Web site at: www.goldmansachsfunds.com to obtain the most recent month-end returns. Performance reflects expense limitations in effect. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. |
SECTOR ALLOCATION5 |
5 | The percentage shown for each investment sector reflects the value of investments in that sector as a percentage of total market value. Due to multiple valid methodologies the percentages calculated above may differ to the percentages in the Schedule of Investments. Short-term investments include repurchase agreements. |
6 | “Quasi-governments” include agency securities offered by companies such as Fannie Mae and Freddie Mac, which operate under a government charter. While they have to report to a government regulator, their assets are not explicitly guaranteed by the government and they otherwise operate like any other publicly traded company. |
Short Duration Government Fund
Dear Shareholder:
This report provides an overview on the performance of the Goldman Sachs Short Duration Government Fund during the six-month reporting period that ended April 30, 2006.
Performance Review
Over the six-month period that ended April 30, 2006, the Fund’s Class A, B, C, Institutional and Service Shares generated cumulative total returns, without sales charges, of 1.40%, 1.21%, 1.14%, 1.59% and 1.44%, respectively. These returns compare to the 1.28% cumulative total return of the Fund’s benchmark, the Two-Year U.S. Treasury Note Index, over the same time period. | |
A combination of top-down and bottom-up strategies impacted relative performance over the reporting period. Top-down strategies that impacted performance included our short duration strategy and cross-sector exposures. We maintained a defensive posture over the period, positioning the Fund to have a shorter duration relative to the Index based on our belief that interest rates would move higher. This positioning contributed to relative returns as Treasury yields rose. Within our sector strategies, exposure to mortgages and governments was an important driver of returns as they performed well over the period. Both the mortgage and agency sectors outperformed Treasuries and spreads tightened. Within our bottom-up strategies, while selection of short-dated agency paper positively impacted returns, select securities within the pass-through subsector detracted from performance. However, overall, security selection was a positive contributor to returns. |
Market Review
The U.S. Treasury yield curve continued to flatten over the reporting period as yields rose, primarily at the short and intermediate regions of the curve. The primary driver of increasing short-term interest rates was the Federal Reserve Board’s (the “Fed”) four 25 basis point rate increases that brought the federal funds rate to 4.75% by the end of April 2006. The transition from Alan Greenspan to the new Fed Chairman Ben Bernanke proved uneventful, although Mr. Bernanke suggested that further tightening may be necessary. Rate increases during the period were the result of stronger-than-expected consumer confidence, an increase in existing and new home sales, solid manufacturing output, and soaring commodity prices, which suggested that inflation may be accelerating. Investment grade sectors outperformed Treasuries over the reporting period, with the mortgage sector generating the best results. Within corporates, lower quality credits outperformed their higher quality counterparts over the period. |
Investment Objective
The Fund seeks a high level of current income and may also consider the potential for capital appreciation. |
Investment Strategies
In seeking to meet its objective, the Fund invests in a diversified portfolio of U.S. government securities. The Fund uses derivatives, including, but not limited to, Treasury futures, Eurodollar futures and swaps, primarily as a tool to manage interest rate exposure, volatility, term structure, convexity (the rate of change in the portfolio’s duration as yields change) and sector exposure. The Fund may also use derivatives to express our interest rate outlook. | |
We believe that using derivatives, including both futures and swaps, in the portfolio has been an effective portfolio management tool. Futures have been efficiently employed to hedge duration (interest rate sensitivity) drift that may occur due to the passage of time, changing interest rates or changing mortgage durations. In addition, futures allowed us to optimize security selection by giving us the flexibility to select the most attractive securities for the portfolio, regardless of the securities’ maturity/duration. Finally, futures and swaps were important tools in implementing certain interest rate and spread views. |
Portfolio Composition
Over the period, the Fund continued to focus on security selection and sub-sector strategies to enhance results. Within mortgages, the Fund’s primary exposures were to the ARMs, CMOs, and pass-through sub-sectors. We tactically adjusted the Fund’s exposures to take advantage of changing relative opportunities within the market. For example, we decreased the Fund’s allocation to quasi-government securities in favor of the mortgage sector as we found attractively priced securities within the pass-through and ARMs subsectors. However, we continue to find value within short-dated agency paper and the Fund still has an exposure to quasi-government securities. We positioned the Fund defensively for much of the period and maintained a short duration position relative to the Index. This was due to our belief that interest rates would move higher. | |
We thank you for your investment and look forward to your continued confidence. | |
Goldman Sachs U.S. Fixed Income Investment Management Team | |
May 17, 2006 |
Short Duration Government Fund
PERFORMANCE REVIEW |
November 1, 2005– | Fund Total Return | Two-Year U.S. | 30-Day | |||||||||||
April 30, 2006 | (based on NAV)1 | Treasury Note Index2 | Standardized Yield3 | |||||||||||
Class A | 1.40 | % | 1.28 | % | 3.35 | % | ||||||||
Class B | 1.21 | 1.28 | 2.72 | |||||||||||
Class C | 1.14 | 1.28 | 2.67 | |||||||||||
Institutional | 1.59 | 1.28 | 3.79 | |||||||||||
Service | 1.44 | 1.28 | 3.29 | |||||||||||
1 | The net asset value (NAV) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance assumes the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. |
2 | The Two-Year U.S. Treasury Note Index, as reported by Merrill Lynch, does not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an unmanaged index. |
3 | The 30-Day Standardized Yield of the Fund is calculated by dividing the net investment income per share (as defined by securities industry regulations) earned by the Fund over a 30-day period (ending on the stated month-end date) by the maximum public offering price per share of the Fund on the last day of the period. This number is then annualized. This yield does not necessarily reflect income actually earned and distributed by the Fund and, therefore, may not be correlated with the dividends or other distributions paid to shareholders. |
STANDARDIZED TOTAL RETURNS4 |
For the period ended 3/31/06 | One Year | Five Years | Ten Years | Since Inception | Inception Date | |||||||||||||||
Class A | -0.31 | % | 2.90 | % | N/A | 4.29 | % | 5/1/97 | ||||||||||||
Class B | -0.78 | 2.72 | N/A | 3.91 | 5/1/97 | |||||||||||||||
Class C | 0.09 | 2.55 | N/A | 3.58 | 8/15/97 | |||||||||||||||
Institutional | 2.24 | 3.74 | 5.10 | % | 6.01 | 8/15/88 | ||||||||||||||
Service | 1.73 | 3.23 | N/A | 4.62 | 4/10/96 | |||||||||||||||
4 | The Standardized Total Returns are average annual total returns as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 2% for Class A Shares, the assumed contingent deferred sales charge for Class B Shares (2% maximum declining to 0% after three years) and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional and Service Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. |
The returns represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our Web site at: www.goldmansachsfunds.com to obtain the most recent month-end returns. Performance reflects expense limitations in effect. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. |
SECTOR ALLOCATION5 |
5 | The percentage shown for each investment sector reflects the value of investments in that sector as a percentage of total market value. Due to multiple valid methodologies the percentages calculated above may differ to the percentages in the Schedule of Investments. Short-term investments include repurchase agreements. |
6 | “Quasi-governments” include agency securities offered by companies such as Fannie Mae and Freddie Mac, which operate under a government charter. While they have to report to a government regulator, their assets are not explicitly guaranteed by the government and they otherwise operate like any other publicly traded company. |
Government Income Fund
Dear Shareholder:
This report provides an overview on the performance of the Goldman Sachs Government Income Fund during the six-month reporting period that ended April 30, 2006.
Performance Review
Over the six-month period that ended April 30, 2006, the Fund’s Class A, B, C, Institutional and Service Shares generated cumulative total returns, without sales charges, of 0.65%, 0.28%, 0.35%, 0.91% and 0.66%, respectively. These returns compare to the 0.70% cumulative total return of the Fund’s benchmark, the Lehman Brothers Government/ Mortgage Index, over the same time period. | |
Within asset-backed securities (ABS), a preference for home equity ABS contributed to performance as the sector performed well over the period. However, an underweight to the mortgage sector detracted from results, as sector spreads tightened modestly. In particular, an underweight position in mortgage-backed security pass-throughs detracted over the period. We felt that negative fundamentals, such as low spreads and low implied volatility, warranted a reduction to mortgages in the Fund. This strategy modestly detracted from returns overall as mortgage pass-throughs outperformed Treasuries over the period. However, our security selection within mortgages, specifically in pass-throughs and adjustable rate mortgages, helped to offset negative returns. An underweight position in the agency sector also slightly detracted from returns, as agencies outperformed Treasuries and sector spreads slightly tightened over the six-month period. However, our selection of agency debentures benefited returns. |
Market Review
The U.S. Treasury yield curve continued to flatten over the reporting period as yields rose, primarily at the short and intermediate regions of the curve. The primary driver of increasing short-term interest rates was the Federal Reserve Board’s (the “Fed”) four 25 basis point rate increases that brought the federal funds rate to 4.75% by the end of April 2006. The transition from Alan Greenspan to the new Fed Chairman Ben Bernanke proved uneventful, although Mr. Bernanke suggested that further tightening may be necessary. Rate increases during the period were the result of stronger-than-expected consumer confidence, an increase in existing and new home sales, solid manufacturing output, and soaring commodity prices, which suggested that inflation may be accelerating. Investment grade sectors outperformed Treasuries over the reporting period, with the mortgage sector generating the best results. Within corporates, lower quality credits outperformed their higher quality counterparts over the period. |
Investment Objective
The Fund seeks a high level of current income, consistent with safety of principal. |
Investment Strategies
The Fund seeks to meet its objective by investing at least 80% of its net assets in U.S. government securities and in repurchase agreements collateralized by these securities, and in other securities of the highest credit quality. The Fund uses derivatives, including, but not limited to, Treasury futures, Eurodollar futures and swaps, primarily, as a tool to manage interest rate exposure, volatility, term structure, convexity (the rate of change in the portfolio’s duration as yields change), and sector exposure. The Fund may also use derivatives to express our interest rate outlook. | |
We believe that using derivatives, including both futures and swaps, in the portfolio has been an effective portfolio management tool. Futures have been efficiently employed to hedge duration (interest rate sensitivity) drift that may occur due to the passage of time, changing interest rates or changing mortgage durations. In addition, futures allowed us to optimize security selection by giving us the flexibility to select the most attractive securities for the portfolio, regardless of the securities maturity/duration. Finally, futures and swaps were important tools in implementing certain interest rate and spread views. |
Portfolio Composition
Over the period, the Fund’s investment strategy continued to focus on sectors and securities that we believed would generate a competitive total rate of return relative to the benchmark. For example, we tactically adjusted the Fund’s exposures to take advantage of changing relative opportunities within the market. We reduced the Fund’s asset-backed exposure in favor of mortgage-backed securities that we felt offered more compelling relative values. Within mortgages, we took advantage of opportunities to add value in security-specific trades. In particular, we increased the Fund’s exposure to fixed-rate pass-throughs and collateralized mortgage obligations (CMOs), while maintaining a meaningful exposure to adjustable-rate mortgages and collateralized mortgage-backed securities. At the end of the reporting period, the Fund’s largest sector weight was in mortgage-backed securities. During the period, we maintained a short duration position relative to the Index on the belief that interest rates would rise due to continued economic strength. | |
We thank you for your investment and look forward to your continued confidence. | |
Goldman Sachs U.S. Fixed Income Investment Management Team | |
May 17, 2006 |
Government Income Fund
PERFORMANCE REVIEW |
November 1, 2005– | Fund Total Return | Lehman Govt./ | 30-Day | |||||||||||
April 30, 2006 | (based on NAV)1 | Mortgage Index2 | Standardized Yield3 | |||||||||||
Class A | 0.65 | % | 0.70 | % | 3.68 | % | ||||||||
Class B | 0.28 | 0.70 | 3.10 | |||||||||||
Class C | 0.35 | 0.70 | 3.10 | |||||||||||
Institutional | 0.91 | 0.70 | 4.22 | |||||||||||
Service | 0.66 | 0.70 | 3.72 | |||||||||||
1 | The net asset value (NAV) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance assumes the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. |
2 | The Lehman Brothers Government/ Mortgage Index, an unmanaged index, does not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an unmanaged index. |
3 | The 30-Day Standardized Yield of the Fund is calculated by dividing the net investment income per share (as defined by securities industry regulations) earned by the Fund over a 30-day period (ending on the stated month-end date) by the maximum public offering price per share of the Fund on the last day of the period. This number is then annualized. This yield does not necessarily reflect income actually earned and distributed by the Fund and, therefore, may not be correlated with the dividends or other distributions paid to shareholders. |
STANDARDIZED TOTAL RETURNS4 |
For the period ended 3/31/06 | One Year | Five Years | Ten Years | Since Inception | Inception Date | |||||||||||||||
Class A | -2.67 | % | 3.50 | % | 5.30 | % | 5.58 | % | 2/10/93 | |||||||||||
Class B | -3.90 | 3.26 | N/A | 5.10 | 5/1/96 | |||||||||||||||
Class C | 0.15 | 3.70 | N/A | 4.71 | 8/15/97 | |||||||||||||||
Institutional | 2.30 | 4.89 | N/A | 5.89 | 8/15/97 | |||||||||||||||
Service | 1.80 | 4.36 | 5.685 | 5.865 | 2/10/93 | |||||||||||||||
4 | The Standardized Total Returns are average annual total returns as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 4.5% for Class A Shares, the assumed contingent deferred sales charge for Class B Shares (5% maximum declining to 0% after six years), and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional and Service Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. |
5 | Performance data for Service Shares prior to 8/15/97 (commencement of operations) is that of Class A Shares (excluding the impact of front-end sales charges applicable to Class A Shares since Service Shares are not subject to any sales charges). Performance of Class A Shares in the Fund reflects the expenses applicable to the Fund’s Class A Shares. The fees applicable to Service Shares are different from those applicable to Class A Shares which impact performance ratings and rankings for a class of shares. |
The returns represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our Web site at: www.goldmansachsfunds.com to obtain the most recent month-end returns. Performance reflects expense limitations in effect. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. |
SECTOR ALLOCATION6 |
6 | The percentage shown for each investment sector reflects the value of investments in that sector as a percentage of total market value. Due to multiple valid methodologies the percentages calculated above may differ to the percentages in the Schedule of Investments. Short-term investments include repurchase agreements. |
7 | “Quasi-governments” include agency securities offered by companies such as Fannie Mae and Freddie Mac, which operate under a government charter. While they have to report to a government regulator, their assets are not explicitly guaranteed by the government and they otherwise operate like any other publicly traded company. |
U.S. Mortgages Fund
Dear Shareholder,
This report provides an overview on the performance of the Goldman Sachs U.S. Mortgages Fund during the six-month reporting period that ended April 30, 2006.
Performance Review
Over the six-month period that ended April 30, 2006, the Fund’s Class A, Institutional and Separate Account Institutional Shares generated cumulative total returns, without sales charges, of 1.33%, 1.50% and 1.52%, respectively. These returns compare to the 1.20% cumulative total return of the Fund’s benchmark, the Lehman Brothers Securitized Index, over the same time period. | |
The Fund remained underweight mortgage pass-throughs throughout the reporting period, a continuation of our 2005 strategy. Due to tight valuations and low implied volatility in the market, we held onto this view in hopes that spreads would widen. As mortgages outperformed the market during the reporting period, this sector position detracted from performance. The Fund’s security selection, however, offset this underperformance. In particular, our pass-through selection of 30-year pass-throughs enhanced performance over the period, as 30-year mortgage-backed securities outperformed their 15-year counterparts. A short duration bias also contributed to the Fund’s returns, as yields rose across the entire curve. |
Market Review
Although mortgages underperformed Treasuries at the start of the reporting period, the sector had a strong start in 2006, offsetting the underperformance of late 2005. Mortgages ended the period ahead of equal duration Treasuries, while spreads finished slightly tighter. MBS Index option adjusted spread levels remained tight relative to their long-term averages, and implied volatility continued to hover at their low historical averages. |
Investment Objective
The Fund seeks a high level of total return consisting of income and capital appreciation. |
Investment Strategies
In seeking to meet the Fund’s investment objective, we invest at least 80% of its net assets in fixed income securities, including U.S. government and collateralized securities. Collateralized securities may include fixed rate pass-throughs, CMOs, ARMs, mortgage derivatives, and asset-backed securities (“ABS”). To the extent we find them effective instruments to manage the duration of the portfolio, the Fund may employ the use of derivatives, including Treasury futures, swaps and Eurodollar futures contracts. |
We believe that using derivatives, including both futures and swaps, in the portfolio has been an effective portfolio management tool. Futures have been efficiently employed to hedge duration (interest rate sensitivity) drift that may occur due to the passage of time, changing interest rates or changing mortgage durations. In addition, futures allowed us to optimize security selection by giving us the flexibility to select the most attractive securities for the portfolio, regardless of the securities’ maturity/duration. Finally, futures and swaps were important tools in implementing certain interest rate and spread views. |
Portfolio Composition
The Fund maintained a short duration position relative to its benchmark during most of the reporting period. Given its underweight position in mortgage pass-throughs, the Fund invested in other collateralized sectors, such as adjustable-rate mortgages and collateralized mortgage obligations. The Fund added to its government security allocation as a tactical substitute for pass-through exposure. The Fund continues to underweight exposure to fixed rate mortgage-backed security pass-throughs on the back of negative fundamentals. | |
We thank you for your investment and look forward to your continued confidence. | |
Goldman Sachs Fixed Income Investment Management Team | |
May 17, 2006 |
U.S. Mortgages Fund
PERFORMANCE REVIEW |
November 1, 2005– | Fund Total Return | Lehman Brothers | 30-Day | |||||||||||
April 30, 2006 | (based on NAV)1 | Securitized Index2 | Standardized Yield3 | |||||||||||
Class A | 1.33 | % | 1.20 | % | 3.43 | % | ||||||||
Institutional | 1.50 | 1.20 | 3.98 | |||||||||||
Separate Account Institutional | 1.52 | 1.20 | 4.01 | |||||||||||
1 | The net asset value (NAV) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance assumes the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. |
2 | The Lehman Brothers Securitized Index is an unmanaged composite of asset-backed securities, collateralized mortgage-backed securities and fixed rate mortgage-backed securities. The Index figures do not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an unmanaged index. |
3 | The 30-Day Standardized Yield of the Fund is calculated by dividing the net investment income per share (as defined by securities industry regulations) earned by the Fund over a 30-day period (ending on the stated month-end date) by the maximum public offering price per share of the Fund on the last day of the period. This number is then annualized. This yield does not necessarily reflect income actually earned and distributed by the Fund and, therefore, may not be correlated with the dividends or other distributions paid to shareholders. |
STANDARDIZED TOTAL RETURNS |
For the period ended 3/31/06 | One Year | Since Inception | Inception Date | |||||||||
Class A | -2.33 | % | 1.26 | % | 11/3/03 | |||||||
Institutional | 2.68 | 3.67 | 11/3/03 | |||||||||
Separate Account Institutional | 2.73 | 3.68 | 11/3/03 | |||||||||
4 | The Standardized Total Returns are average annual total returns as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 4.5% for Class A Shares. Because Institutional and Separate Account Institutional Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. |
The returns represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our Web site at: www.goldmansachsfunds.com to obtain the most recent month-end returns. Performance reflects expense limitations in effect. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. |
SECTOR ALLOCATION5 |
5 | The percentage shown for each investment sector reflects the value of investments in that sector as a percentage of total market value. Due to multiple valid methodologies the percentages calculated above may differ to the percentages in the Schedule of Investments. Short-term investments include repurchase agreements. |
6 | “Quasi-governments” include agency securities offered by companies such as Fannie Mae and Freddie Mac, which operate under a government charter. While they have to report to a government regulator, their assets are not explicitly guaranteed by the government and they otherwise operate like any other publicly traded company. |
Core Fixed Income Fund
Dear Shareholder,
This report provides an overview on the performance of the Goldman Sachs Core Fixed Income Fund during the six-month reporting period that ended April 30, 2006.
Performance Review
Over the six-month period that ended April 30, 2006, the Fund’s Class A, B, C, Institutional and Service Shares generated cumulative total returns, without sales charges, of 0.48%, 0.11%, 0.11%, 0.66% and 0.41%, respectively. These returns compare to the 0.56% cumulative total return of the Fund’s benchmark, the Lehman Brothers Aggregate Bond Index, over the same time period. | |
Positive contributions to the Fund’s performance during the reporting period included our short duration strategy as interest rates rose, primarily at the short and intermediate portions of the curve. Our security selection within corporates also contributed significantly, particularly within the property and casualty insurance sector and in corporate bonds with longer maturities. Mortgage security selection also enhanced results, particularly our selection of pass-throughs and adjustable rate mortgages. Security selection within home equity asset-backed securities also benefited returns. In contrast, our currency strategy was a significant detractor over the period, particularly our positioning within the euro and pound. Our cross-sector strategies also negatively impacted returns. In particular, underweights to the corporate and collateralized sectors detracted as these sectors outperformed Treasuries over the period. |
Market Review
The U.S. Treasury yield curve continued to flatten over the reporting period as yields rose, primarily at the short and intermediate regions of the curve. The primary driver of increasing short-term interest rates was the Federal Reserve Board’s (the “Fed”) four 25 basis point rate increases that brought the federal funds rate to 4.75% by the end of April 2006. The transition from Alan Greenspan to the new Fed Chairman Ben Bernanke proved uneventful, although Mr. Bernanke suggested that further tightening may be necessary. Rate increases during the period were the result of stronger-than-expected consumer confidence, an increase in existing and new home sales, solid manufacturing output, and soaring commodity prices, which suggested that inflation may be accelerating. During the reporting period, the 10-year Treasury yield rose 59 basis points, ending the period at 5.14%. Asset-backed spreads modestly widened while all other investment grade sector spreads tightened versus Treasuries over the past six months. |
Investment Objective
The Fund seeks a total return consisting of capital appreciation and income that exceeds the total return of the Lehman Brothers Aggregate Bond Index. |
Investment Strategies
In seeking to meet the Fund’s investment objective, we invest at least 80% of its net assets in fixed income securities, including U.S. government, corporate securities, mortgage-backed securities, asset-backed securities and investment grade emerging market debt securities. In addition, to the extent we find them effective instruments to manage the overall duration of the portfolio, the Fund may employ the use of derivatives, including Treasury futures, swaps and Eurodollar futures contracts. | |
We believe that using derivatives, including both futures and swaps, in the portfolio has been an effective portfolio management tool. Futures have been efficiently employed to hedge duration (interest rate sensitivity) drift that may occur due to the passage of time, changing interest rates or changing mortgage durations. In addition, futures allowed us to optimize security selection by giving us the flexibility to select the most attractive securities for the portfolio, regardless of the securities’ maturity/duration. Finally, futures and swaps were important tools in implementing certain interest rate and spread views. |
Portfolio Composition
During the period, the Fund continued to hold a short duration position relative to the benchmark due to our belief that interest rates would rise on the back of continued economic strength. The Fund increased its underweight exposure to the agency sector from the beginning of the period, as we felt that longer dated agencies were fully valued versus swaps and Treasuries. However, we have been opportunistically adding to 2-3 year agencies as these securities appear attractive on a relative value basis. The Fund continued to hold an underweight in the mortgage sector due to low spreads and low implied volatility. We have therefore focused on finding value in mortgages through security selection, favoring bonds with less exposure to volatility such as adjustable rate mortgages (“ARMs”), 15-year and premium 30-year pass-through securities, and select collateralized mortgage obligations. Over the latter half of the reporting period, we meaningfully increased the Fund’s exposure to ARMs and collateralized mortgage-backed securities (CMBS), while decreasing its exposure to mortgage pass-throughs. This reflected our view that ARMs and CMBS offer greater protection from a slowdown in housing turnover or an increase in volatility. We continued to hold a preference for asset-backed securities through home equity floaters during the period. Select home equity floaters still appear more attractive relative to other sectors. Finally, we increased the Fund’s allocation to government securities as we felt the sector offered compelling relative values. | |
We thank you for your investment and look forward to your continued confidence. | |
Goldman Sachs U.S. Fixed Income Investment Management Team | |
May 17, 2006 |
Core Fixed Income Fund
PERFORMANCE REVIEW |
November 1, 2005– | Fund Total Return | Lehman Aggregate | 30-Day | |||||||||||
April 30, 2006 | (based on NAV)1 | Bond Index2 | Standardized Yield3 | |||||||||||
Class A | 0.48 | % | 0.56 | % | 3.94 | % | ||||||||
Class B | 0.11 | 0.56 | 3.38 | |||||||||||
Class C | 0.11 | 0.56 | 3.38 | |||||||||||
Institutional | 0.66 | 0.56 | 4.50 | |||||||||||
Service | 0.41 | 0.56 | 4.00 | |||||||||||
1 | The net asset value (NAV) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance assumes the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. |
2 | The Lehman Brothers Aggregate Bond Index represents an unmanaged diversified portfolio of fixed income securities, including U.S. Treasuries, investment-grade corporate bonds, and mortgage-backed and asset-backed securities. The Index figures do not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an unmanaged index. |
3 | The 30-Day Standardized Yield of the Fund is calculated by dividing the net investment income per share (as defined by securities industry regulations) earned by the Fund over a 30-day period (ending on the stated month-end date) by the maximum public offering price per share of the Fund on the last day of the period. This number is then annualized. This yield does not necessarily reflect income actually earned and distributed by the Fund and, therefore, may not be correlated with the dividends or other distributions paid to shareholders. |
STANDARDIZED TOTAL RETURNS4 |
For the period ended 3/31/06 | One Year | Five Years | Ten Years | Since Inception | Inception Date | |||||||||||||||
Class A | -2.45 | % | 4.14 | % | N/A | 5.47 | % | 5/1/97 | ||||||||||||
Class B | -3.69 | 3.91 | N/A | 5.24 | 5/1/97 | |||||||||||||||
Class C | 0.37 | 4.33 | N/A | 4.96 | 8/15/97 | |||||||||||||||
Institutional | 2.53 | 5.53 | 6.43 | % | 6.31 | 1/5/94 | ||||||||||||||
Service | 2.02 | 5.00 | 5.91 | 5.88 | 3/13/96 | |||||||||||||||
4 | The Standardized Total Returns are average annual total returns as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 4.5% for Class A Shares, the assumed contingent deferred sales charge for Class B Shares (5% maximum declining to 0% after six years) and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional and Service Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. |
The returns represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our Web site at: www.goldmansachsfunds.com to obtain the most recent month-end returns. Performance reflects expense limitations in effect. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. |
SECTOR ALLOCATION5 |
5 | The percentage shown for each investment sector reflects the value of investments in that sector as a percentage of total market value. Due to multiple valid methodologies the percentages calculated above may differ to the percentages in the Schedule of Investments. Short-term investments include repurchase agreements. |
6 | “Quasi-governments” include agency securities offered by companies such as Fannie Mae and Freddie Mac, which operate under a government charter. While they have to report to a government regulator, their assets are not explicitly guaranteed by the government and they otherwise operate like any other publicly traded company. |
Investment Grade Credit Fund
Dear Shareholder:
This report provides an overview on the performance of the Goldman Sachs Investment Grade Credit Fund during the six-month reporting period that ended April 30, 2006.
Performance Review
Over the six-month period that ended April 30, 2006, the Fund’s Class A, Institutional and Separate Account Institutional Shares generated cumulative total returns, without sales charges, of -0.06%, 0.24%, and 0.17%, respectively. These returns compare to the 0.04% cumulative total return of the Fund’s benchmark, the Lehman Brothers U.S. Credit Index, over the same time period. | |
The Fund held a low credit quality bias over the period, which contributed meaningfully to excess returns as investors favored lower quality securities due to favorable earnings announcements, strong growth prospects, and the potential for a pause in Federal Reserve Board (the “Fed”) interest rate hikes. The Fund’s sector exposures also contributed to excess returns over the period. An overweight to Insurance and underweight to Automotives were the primary sector contributors. The primary detractor from returns for the period was an underweight to investment grade emerging market corporates, which posted very strong returns over the six-month period ended April 30, 2006. |
Market Review
The Lehman Brothers U.S. Credit Index returned 0.04% over the trailing six-month period ended April 30, 2006, outperforming equal duration Treasuries by 47 basis points. Lower quality credits outperformed higher quality credits, with A rated and BBB rated securities returning -0.18% and 0.12%, respectively. Risk appetite returned as investors searched for yield due to strong fourth quarter 2005 and first quarter 2006 earnings and the potential for a pause in the Fed’s tightening campaign. Cyclical industries performed best over the period, with Airlines, Consumer Services, Lodging, and Gaming posting positive returns. |
Investment Objective
The Fund seeks a high level total return consisting of capital appreciation and income that exceeds the total return of the Lehman Brothers U.S. Credit Index. |
Investment Strategies
In seeking to meet the Fund’s investment objective, we invest at least 80% of its net assets in investment grade fixed income securities, primarily corporate securities. The Fund may also invest in U.S. government securities, mortgage-backed securities, asset-backed securities, emerging market securities and non-U.S. dollar securities. In addition, to the extent we find them effective instruments to manage the overall duration of the portfolio, the Fund may employ the use of derivatives, including Treasury futures, swaps and Eurodollar futures contracts. The Fund also makes use of currency forwards for the purpose of hedging all non-U.S. dollar exposure back to the base U.S. dollar currency. |
We believe that using derivatives, including both futures and swaps, in the portfolio has been an effective portfolio management tool. Futures have been efficiently employed to hedge duration (interest rate sensitivity) drift that may occur due to the passage of time, or changing interest rates. In addition, futures allowed us to optimize security selection by giving us the flexibility to select the most attractive securities for the portfolio, regardless of the securities’ maturity/duration. Finally, futures and swaps were important tools in implementing certain interest rate and spread views. |
Portfolio Composition
From a credit quality perspective, the Fund held a down-in-quality bias, reflected through its overweight to BBB rated bonds versus the benchmark. The Fund continues to hold this position on the belief that lower quality credits still have the potential to benefit from balance sheet deleveraging and, in turn, remain less susceptible to equity shareholder-friendly activities (such as stock repurchases and one-time dividend payouts, which adversely impact bond prices). However, we have recently begun to trim this position somewhat, as valuations are beginning to appear rich. In terms of sector positioning, the Fund had overweights in the Insurance and Media-Cable securities, while holding underweights in Consumer Products, Brokerage, Retail, and Technology. | |
We thank you for your investment and look forward to your continued confidence. | |
Goldman Sachs Fixed Income Investment Management Team | |
May 17, 2006 |
Investment Grade Credit Fund
PERFORMANCE REVIEW |
November 1, 2005- | Fund Total Return | Lehman Brothers | 30-Day | |||||||||||
April 30, 2006 | (based on NAV)1 | U.S. Credit Index2 | Standardized Yield3 | |||||||||||
Class A | -0.06 | % | 0.04 | % | 4.57 | % | ||||||||
Institutional | 0.24 | 0.04 | 5.19 | |||||||||||
Separate Account Institutional | 0.17 | 0.04 | 5.24 | |||||||||||
1 | The net asset value (NAV) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance assumes the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. |
2 | The Lehman Brothers U.S. Credit Index is an unmanaged index which is unbundled into pure corporates (industrial, utility, and finance, including both U.S. and Non-U.S. corporations) and non-corporates (sovereign, supranational, foreign agencies, and foreign local governments). The Index figures do not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an unmanaged index. |
3 | The 30-Day Standardized Yield of the Fund is calculated by dividing the net investment income per share (as defined by securities industry regulations) earned by the Fund over a 30-day period (ending on the stated month-end date) by the maximum public offering price per share of the Fund on the last day of the period. This number is then annualized. This yield does not necessarily reflect income actually earned and distributed by the Fund and, therefore, may not be correlated with the dividends or other distributions paid to shareholders. |
STANDARDIZED TOTAL RETURNS4 |
For the period ended 3/31/06 | One Year | Since Inception | Inception Date | |||||||||
Class A | -2.84 | % | 1.32 | % | 11/3/03 | |||||||
Institutional | 2.10 | 3.78 | 11/3/03 | |||||||||
Separate Account Institutional | 2.15 | 3.79 | 11/3/03 | |||||||||
4 | The Standardized Total Returns are average annual total returns as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 4.5% for Class A Shares. Because Institutional and Separate Account Institutional Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. |
The returns represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our Web site at: www.goldmansachsfunds.com to obtain the most recent month-end returns. Performance reflects expense limitations in effect. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. |
PORTFOLIO COMPOSITION AS OF 4/30/065 |
Sector Allocation | ||||||
Corporates | 94.6 | % | ||||
Short-term Investments | 1.6 | |||||
High Yield | 1.6 | |||||
Governments | 1.3 | |||||
Emerging Market Debt | 0.9 | |||||
5 | The percentage shown for each investment sector reflects the value of investments in that sector as a percentage of total market value. Due to multiple valid methodologies the percentages calculated above may differ to the percentages in the Schedule of Investments. |
INDUSTRY ALLOCATION6 |
% of Portfolio | ||||||||||
Industry | as of 4/30/06 | as of 10/31/05 | ||||||||
Banks | 22.5 | % | 23.3 | % | ||||||
Insurance | 15.0 | 10.9 | ||||||||
Communications | 13.4 | 12.8 | ||||||||
REITs | 10.3 | 8.0 | ||||||||
Financial | 9.0 | 7.4 | ||||||||
Electric | 6.4 | 5.4 | ||||||||
Consumer Cyclical | 5.7 | 8.7 | ||||||||
Natural Gas | 3.8 | 4.1 | ||||||||
Consumer Noncyclical | 3.1 | 2.6 | ||||||||
Capital Goods | 2.6 | 2.3 | ||||||||
Technology | 2.6 | 0.9 | ||||||||
Brokerage | 2.3 | 2.4 | ||||||||
Treasury | 2.1 | 0.0 | ||||||||
Transportation | 1.0 | 1.7 | ||||||||
Basic Industry | 0.2 | 0.5 | ||||||||
Emerging Market Debt | 0.2 | 0.2 | ||||||||
Short-term Investments | 0.0 | 5.0 | ||||||||
Energy | 0.0 | 1.9 | ||||||||
Governments | 0.0 | 1.9 | ||||||||
6 | The percentage shown for each investment sector reflects the value of investments in that sector as a percentage of total market value. |
Statement of Investments
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Corporate Bonds – 29.2% | ||||||||||||||||
Banks – 7.7% | ||||||||||||||||
Credit Suisse First Boston New York(a) | ||||||||||||||||
$ | 2,000,000 | 6.500 | % | 05/01/08 | $ | 2,037,280 | ||||||||||
Credit Suisse First Boston USA, Inc. | ||||||||||||||||
2,975,000 | 4.125 | 01/15/10 | 2,838,543 | |||||||||||||
Golden West Financial Corp. | ||||||||||||||||
3,200,000 | 5.500 | 08/08/06 | 3,202,240 | |||||||||||||
Huntington National Bank | ||||||||||||||||
1,750,000 | 4.650 | 06/30/09 | 1,707,024 | |||||||||||||
Keybank National Association | ||||||||||||||||
1,100,000 | 7.300 | 05/01/11 | 1,183,888 | |||||||||||||
Santander Financial Issuances | ||||||||||||||||
2,565,000 | 7.250 | 05/30/06 | 2,568,460 | |||||||||||||
Union Planters Corp. | ||||||||||||||||
1,500,000 | 7.750 | 03/01/11 | 1,633,602 | |||||||||||||
Washington Mutual, Inc. | ||||||||||||||||
1,985,000 | 7.500 | 08/15/06 | 1,997,577 | |||||||||||||
2,000,000 | 4.000 | 01/15/09 | 1,930,118 | |||||||||||||
Wells Fargo & Co. | ||||||||||||||||
3,325,000 | 6.750 | 10/01/06 | 3,342,839 | |||||||||||||
22,441,571 | ||||||||||||||||
Brokerage – 1.6% | ||||||||||||||||
Morgan Stanley | ||||||||||||||||
5,000,000 | 4.000 | 01/15/10 | 4,748,372 | |||||||||||||
Life Insurance – 6.7% | ||||||||||||||||
AXA Financial, Inc. | ||||||||||||||||
2,125,000 | 7.750 | 08/01/10 | 2,292,829 | |||||||||||||
ING Security Life Institutional Funding(a) | ||||||||||||||||
2,500,000 | 4.250 | 01/15/10 | 2,403,835 | |||||||||||||
Jackson National Life Insurance Co.(a) | ||||||||||||||||
2,000,000 | 5.250 | 03/15/07 | 1,989,248 | |||||||||||||
Monumental Global Funding(a) | ||||||||||||||||
4,390,000 | 5.200 | 01/30/07 | 4,387,357 | |||||||||||||
Prudential Insurance Co.(a) | ||||||||||||||||
8,450,000 | 6.375 | 07/23/06 | 8,469,850 | |||||||||||||
19,543,119 | ||||||||||||||||
Noncaptive-Consumer – 5.4% | ||||||||||||||||
American General Finance Corp. | ||||||||||||||||
1,500,000 | 4.875 | 05/15/10 | 1,456,397 | |||||||||||||
Countrywide Home Loans, Inc.(b) | ||||||||||||||||
5,500,000 | 5.303 | 06/02/06 | 5,500,467 | |||||||||||||
HSBC Finance Corp. | ||||||||||||||||
7,000,000 | 4.125 | 11/16/09 | 6,698,609 | |||||||||||||
John Deere Capital Corp. | ||||||||||||||||
2,000,000 | 5.400 | 04/07/10 | 1,990,146 | |||||||||||||
15,645,619 | ||||||||||||||||
Property/ Casualty Insurance – 2.2% | ||||||||||||||||
ACE Ltd. | ||||||||||||||||
6,487,000 | 6.000 | 04/01/07 | 6,516,424 | |||||||||||||
Wireless Telecommunications – 3.2% | ||||||||||||||||
Verizon Wireless Capital LLC | ||||||||||||||||
9,250,000 | 5.375 | 12/15/06 | 9,254,681 | |||||||||||||
Wirelines Telecommunications – 2.4% | ||||||||||||||||
Alltel Corp. | ||||||||||||||||
$ | 750,000 | 4.656 | 05/17/07 | 744,916 | ||||||||||||
Ameritech Capital Funding | ||||||||||||||||
375,000 | 6.250 | 05/18/09 | 379,336 | |||||||||||||
Deutsche Telekom International Finance BV | ||||||||||||||||
1,500,000 | 8.000 | 06/15/10 | 1,630,474 | |||||||||||||
GTE California, Inc. | ||||||||||||||||
2,875,000 | 7.650 | 03/15/07 | 2,928,041 | |||||||||||||
SBC Communications, Inc. | ||||||||||||||||
1,375,000 | 4.125 | 09/15/09 | 1,314,264 | |||||||||||||
6,997,031 | ||||||||||||||||
TOTAL CORPORATE BONDS | ||||||||||||||||
(Cost $86,100,413) | $ | 85,146,817 | ||||||||||||||
Agency Debentures – 48.2% | ||||||||||||||||
Dexia Municipal Agency | ||||||||||||||||
$ | 5,000,000 | 5.125 | % | 09/11/06 | $ | 4,994,760 | ||||||||||
FFCB | ||||||||||||||||
6,500,000 | 6.600 | 07/07/06 | 6,516,452 | |||||||||||||
FHLB | ||||||||||||||||
12,000,000 | 4.770 | (b) | 12/13/06 | 11,998,296 | ||||||||||||
5,500,000 | 3.800 | 12/29/06 | 5,449,263 | |||||||||||||
6,600,000 | 3.500 | 01/18/07 | 6,522,311 | |||||||||||||
5,100,000 | 3.625 | 02/16/07 | 5,037,673 | |||||||||||||
3,000,000 | 4.250 | 04/16/07 | 2,973,792 | |||||||||||||
6,730,000 | 4.500 | 08/24/07 | 6,671,631 | |||||||||||||
7,000,000 | 4.000 | (b) | 12/03/07 | 6,826,960 | ||||||||||||
10,000,000 | 4.500 | (b) | 03/07/08 | 9,985,886 | ||||||||||||
FHLMC | ||||||||||||||||
4,000,000 | 4.830 | (b) | 12/27/06 | 3,998,668 | ||||||||||||
11,628,000 | 0.000 | (c) | 01/15/07 | 11,225,194 | ||||||||||||
5,000,000 | 4.500 | 04/18/07 | 4,962,175 | |||||||||||||
15,000,000 | 4.250 | 06/23/08 | 14,731,080 | |||||||||||||
FNMA | ||||||||||||||||
4,000,000 | 4.805 | (b) | 12/22/06 | 3,998,652 | ||||||||||||
5,000,000 | 2.750 | 02/06/07 | 4,908,580 | |||||||||||||
14,750,000 | 2.650 | 02/23/07 | 14,453,156 | |||||||||||||
7,750,000 | 3.740 | 06/14/07 | 7,629,503 | |||||||||||||
Government Loan Trust Series 1-Z(c) | ||||||||||||||||
7,644,000 | 0.000 | 04/01/07 | 7,301,480 | |||||||||||||
TOTAL AGENCY DEBENTURES | ||||||||||||||||
(Cost $140,765,466) | $ | 140,185,512 | ||||||||||||||
Asset-Backed Securities – 8.0% | ||||||||||||||||
Autos – 4.6% | ||||||||||||||||
Capital One Auto Finance Trust Series 2006-A, Class A3 | ||||||||||||||||
$ | 3,500,000 | 4.810 | % | 11/15/10 | $ | 3,499,758 | ||||||||||
Honda Auto Receivables Owner Trust Series 2005-4, Class A2 | ||||||||||||||||
9,721,842 | 4.320 | 01/21/08 | 9,691,952 | |||||||||||||
13,191,710 | ||||||||||||||||
31
Statement of Investments (continued)
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Asset-Backed Securities – (continued) | ||||||||||||||||
Lease(a) – 3.4% | ||||||||||||||||
AESOP Funding II LLC Series 2003-3A, Class A1 | ||||||||||||||||
$ | 10,000,000 | 2.750 | % | 07/20/07 | $ | 9,970,516 | ||||||||||
TOTAL ASSET-BACKED SECURITIES | ||||||||||||||||
(Cost $23,219,993) | $ | 23,162,226 | ||||||||||||||
U.S. Treasury Obligation – 4.1% | ||||||||||||||||
United States Treasury Notes | ||||||||||||||||
$ | 12,000,000 | 4.375 | % | 12/31/07 | $ | 11,900,160 | ||||||||||
(Cost $11,894,531) | ||||||||||||||||
TOTAL INVESTMENTS BEFORE REPURCHASE AGREEMENT - 89.5% | ||||||||||||||||
(Cost $261,980,403) | $ | 260,394,715 | ||||||||||||||
Repurchase Agreement(d) – 10.3% | ||||||||||||||||
Joint Repurchase Agreement Account II | ||||||||||||||||
$ | 30,000,000 | 4.784 | % | 05/01/06 | $ | 30,000,000 | ||||||||||
Maturity Value: $30,011,960 | ||||||||||||||||
(Cost $30,000,000) | ||||||||||||||||
TOTAL INVESTMENTS - 99.8% | ||||||||||||||||
(Cost $291,980,403) | $ | 290,394,715 | ||||||||||||||
Other Assets in Excess of Liabilities — 0.2% | 652,781 | |||||||||||||||
Net Assets — 100.0% | $ | 291,047,496 | ||||||||||||||
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
(a) | Securities are exempt from registration under Rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the Investment Adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $29,258,086, which represents approximately 10.1% of net assets as of April 30, 2006. | |
(b) | Variable rate security. Interest rate disclosed is that which is in effect at April 30, 2006. | |
(c) | Security issued with a zero coupon. Income is recognized through the accretion of discount. | |
(d) | Joint repurchase agreement was entered into on April 28, 2006. Additional information appears on page 75. |
Investment Abbreviations: | ||||
FFCB | — | Federal Farm Credit Bank | ||
FHLB | — | Federal Home Loan Bank | ||
FHLMC | — | Federal Home Loan Mortgage Corp. | ||
FNMA | — | Federal National Mortgage Association | ||
32
Statement of Investments (continued)
ADDITIONAL INVESTMENT INFORMATION |
FUTURES CONTRACTS — At April 30, 2006, the following futures contracts were open as follows:
Number of | ||||||||||||||
Contracts | Settlement | Market | Unrealized | |||||||||||
Type | Long (Short) | Month | Value | Gain (Loss) | ||||||||||
Eurodollars | 217 | June 2006 | $ | 51,434,425 | $ | (93,498 | ) | |||||||
Eurodollars | 53 | September 2006 | 12,555,700 | (44,480 | ) | |||||||||
Eurodollars | (52 | ) | December 2006 | (12,318,150 | ) | 116,942 | ||||||||
2 Year U.S. Treasury Notes | (121 | ) | June 2006 | (24,651,859 | ) | 25,882 | ||||||||
5 Year U.S. Treasury Notes | (190 | ) | June 2006 | (19,789,688 | ) | 62,126 | ||||||||
10 Year U.S. Treasury Notes | 28 | June 2006 | 2,956,188 | (34,784 | ) | |||||||||
$ | 10,186,616 | $ | 32,188 | |||||||||||
SWAP CONTRACT — At April 30, 2006, the Fund had an outstanding swap contract with the following terms:
INTEREST RATE SWAP
Rate Type | ||||||||||||||
Notional | Payments | Payments | ||||||||||||
Amount | Termination | received by | made by | Unrealized | ||||||||||
Swap Counterparty | (000s) | Date | the Fund | the Fund | Gain | |||||||||
J.P. Morgan Securities | $ | 20,000 | 02/17/2011 | 3 month LIBOR | 5.09% | $ | 239,897 | |||||||
LIBOR—London Interbank Offered Rate
33
Statement of Investments
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Mortgage-Backed Obligations – 81.8% | ||||||||||||||||
Adjustable Rate FHLMC(a) – 6.3% | ||||||||||||||||
$ | 123,605 | 4.324 | % | 08/01/16 | $ | 123,300 | ||||||||||
170,309 | 4.775 | 08/01/18 | 169,796 | |||||||||||||
162,287 | 4.462 | 11/01/18 | 163,369 | |||||||||||||
850,168 | 5.764 | 11/01/18 | 841,150 | |||||||||||||
40,864 | 4.853 | 02/01/19 | 40,707 | |||||||||||||
81,936 | 6.245 | 02/01/19 | 81,965 | |||||||||||||
132,935 | 4.440 | 03/01/19 | 132,424 | |||||||||||||
77,992 | 5.022 | 03/01/19 | 77,916 | |||||||||||||
128,476 | 4.180 | 06/01/19 | 128,868 | |||||||||||||
154,336 | 4.971 | 07/01/19 | 154,251 | |||||||||||||
2,361,704 | 5.027 | 11/01/19 | 2,381,498 | |||||||||||||
1,667,338 | 6.870 | 11/01/19 | 1,720,564 | |||||||||||||
178,968 | 4.746 | 01/01/20 | 178,504 | |||||||||||||
183,747 | 4.440 | 05/01/21 | 182,813 | |||||||||||||
68,668 | 6.096 | 01/01/25 | 68,553 | |||||||||||||
145,209 | 4.445 | 10/01/26 | 144,885 | |||||||||||||
1,451,942 | 6.597 | 08/01/28 | 1,478,758 | |||||||||||||
826,347 | 7.260 | 01/01/29 | 833,797 | |||||||||||||
910,418 | 6.360 | 05/01/29 | 931,114 | |||||||||||||
295,600 | 7.233 | 05/01/29 | 301,312 | |||||||||||||
114,603 | 4.440 | 06/01/29 | 114,262 | |||||||||||||
92,529 | 5.450 | 09/01/29 | 93,841 | |||||||||||||
1,794,552 | 7.210 | 02/01/30 | 1,833,769 | |||||||||||||
239,065 | 6.782 | 03/01/30 | 241,410 | |||||||||||||
910,261 | 7.204 | 03/01/30 | 925,203 | |||||||||||||
155,668 | 4.222 | 04/01/30 | 155,178 | |||||||||||||
186,861 | 4.685 | 06/01/30 | 187,379 | |||||||||||||
912,506 | 6.619 | 12/01/30 | 935,647 | |||||||||||||
28,410 | 5.673 | 01/01/31 | 28,997 | |||||||||||||
196,305 | 4.227 | 02/01/31 | 195,519 | |||||||||||||
57,851 | 6.393 | 05/01/31 | 57,619 | |||||||||||||
55,887 | 4.975 | 06/01/31 | 55,871 | |||||||||||||
50,463 | 5.633 | 11/01/31 | 51,074 | |||||||||||||
5,908,133 | 7.405 | 12/01/31 | 6,059,139 | |||||||||||||
4,392,178 | 7.599 | 12/01/31 | 4,443,461 | |||||||||||||
138,759 | 5.692 | 10/01/32 | 139,690 | |||||||||||||
31,287 | 5.971 | 02/01/33 | 31,776 | |||||||||||||
2,753,817 | 3.941 | 07/01/33 | 2,659,993 | |||||||||||||
3,849,288 | 3.885 | 09/01/33 | 3,715,402 | |||||||||||||
163,044 | 4.401 | 11/01/33 | 160,052 | |||||||||||||
210,117 | 6.295 | 11/01/33 | 208,506 | |||||||||||||
1,326,722 | 5.620 | 05/01/35 | 1,323,333 | |||||||||||||
7,444,912 | 4.583 | 08/01/35 | 7,326,178 | |||||||||||||
41,078,843 | ||||||||||||||||
Adjustable Rate FNMA(a) – 26.3% | ||||||||||||||||
234,782 | 5.723 | 03/01/17 | 236,013 | |||||||||||||
1,103,961 | 6.671 | 04/01/17 | 1,139,150 | |||||||||||||
146,668 | 4.546 | 08/01/17 | 146,466 | |||||||||||||
275,318 | 4.546 | 09/01/17 | 274,915 | |||||||||||||
252,036 | 4.597 | 09/01/17 | 251,646 | |||||||||||||
93,535 | 5.925 | 11/01/17 | 94,998 | |||||||||||||
83,355 | 4.125 | 12/01/17 | 83,117 | |||||||||||||
70,980 | 4.875 | 12/01/17 | 70,996 | |||||||||||||
639,962 | 4.420 | 03/01/18 | 636,542 | |||||||||||||
202,314 | 4.593 | 03/01/18 | 201,985 | |||||||||||||
2,139,725 | 4.353 | 07/01/18 | 2,128,219 | |||||||||||||
412,403 | 6.240 | 08/01/18 | 417,584 | |||||||||||||
217,532 | 4.440 | 10/01/18 | 217,069 | |||||||||||||
97,788 | 4.491 | 10/01/18 | 97,285 | |||||||||||||
219,322 | 4.546 | 10/01/18 | 218,781 | |||||||||||||
343,736 | 4.547 | 10/01/18 | 345,729 | |||||||||||||
708,544 | 4.559 | 10/01/18 | 711,493 | |||||||||||||
68,487 | 4.605 | 11/01/18 | 68,492 | |||||||||||||
16,833 | 5.259 | 11/01/18 | 16,875 | |||||||||||||
81,372 | 4.375 | 12/01/18 | 80,945 | |||||||||||||
310,096 | 4.303 | 01/01/19 | 308,991 | |||||||||||||
80,898 | 4.500 | 01/01/19 | 80,628 | |||||||||||||
52,490 | 4.431 | 04/01/19 | 52,335 | |||||||||||||
872,040 | 4.694 | 04/01/19 | 872,382 | |||||||||||||
2,269,496 | 4.403 | 05/01/19 | 2,271,624 | |||||||||||||
1,037,396 | 4.546 | 05/01/19 | 1,034,149 | |||||||||||||
458,085 | 4.668 | 06/01/19 | 456,533 | |||||||||||||
416,592 | 4.715 | 06/01/19 | 416,221 | |||||||||||||
365,550 | 6.491 | 07/01/19 | 374,068 | |||||||||||||
753,701 | 4.647 | 08/01/19 | 753,096 | |||||||||||||
779,859 | 4.738 | 08/01/19 | 780,165 | |||||||||||||
97,102 | 5.041 | 09/01/19 | 97,122 | |||||||||||||
42,556 | 6.570 | 09/01/19 | 43,121 | |||||||||||||
108,792 | 4.690 | 11/01/19 | 108,842 | |||||||||||||
3,429,872 | 6.156 | 11/01/19 | 3,514,403 | |||||||||||||
29,360 | 4.599 | 04/01/20 | 29,504 | |||||||||||||
1,052,278 | 6.191 | 05/01/20 | 1,078,164 | |||||||||||||
896,609 | 4.248 | 06/01/20 | 895,621 | |||||||||||||
280,018 | 4.547 | 06/01/20 | 280,473 | |||||||||||||
526,252 | 4.517 | 11/01/20 | 525,817 | |||||||||||||
1,000,696 | 4.791 | 12/25/20 | 997,499 | |||||||||||||
603,129 | 4.661 | 03/01/21 | 606,095 | |||||||||||||
211,515 | 5.653 | 09/01/21 | 216,381 | |||||||||||||
119,092 | 4.830 | 12/01/21 | 119,752 | |||||||||||||
2,004,082 | 4.807 | 01/01/22 | 2,024,787 | |||||||||||||
84,318 | 6.514 | 02/01/22 | 86,917 | |||||||||||||
221,675 | 4.775 | 05/20/22 | 218,574 | |||||||||||||
7,490,060 | 5.877 | 12/01/22 | 7,618,177 | |||||||||||||
592,670 | 5.867 | 02/01/23 | 607,266 | |||||||||||||
20,791 | 6.219 | 12/01/23 | 20,779 | |||||||||||||
1,185,232 | 6.018 | 01/01/24 | 1,218,418 | |||||||||||||
1,379,509 | 6.473 | 03/01/24 | 1,408,882 | |||||||||||||
10,769,654 | 4.411 | 04/01/24 | 10,714,106 | |||||||||||||
1,119,055 | 4.700 | 06/20/24 | 1,103,244 | |||||||||||||
51,860 | 5.954 | 08/01/24 | 51,796 | |||||||||||||
443,295 | 5.850 | 01/01/25 | 452,958 | |||||||||||||
2,787,284 | 4.314 | 03/25/27 | 2,780,125 | |||||||||||||
88,814 | 4.137 | 06/01/27 | 89,082 | |||||||||||||
62,913 | 4.546 | 12/01/27 | 63,094 | |||||||||||||
122,378 | 4.638 | 01/01/28 | 122,798 | |||||||||||||
22,266 | 6.590 | 01/01/28 | 22,115 | |||||||||||||
356,562 | 6.293 | 05/01/28 | 363,866 | |||||||||||||
92,688 | 5.968 | 06/01/28 | 95,722 | |||||||||||||
76,106 | 5.733 | 09/01/28 | 77,612 | |||||||||||||
27,580,967 | 5.009 | 11/25/28 | 27,601,559 |
34
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Mortgage-Backed Obligations – (continued) | ||||||||||||||||
Adjustable Rate FNMA(a) – (continued) | ||||||||||||||||
$ | 991,831 | 4.688 | % | 01/01/29 | $ | 995,716 | ||||||||||
50,488 | 4.242 | 06/01/29 | 50,343 | |||||||||||||
84,879 | 4.423 | 06/01/29 | 84,655 | |||||||||||||
94,301 | 5.776 | 06/01/29 | 96,813 | |||||||||||||
1,853,323 | 4.979 | 05/01/30 | 1,861,822 | |||||||||||||
92,405 | 6.532 | 02/01/31 | 94,019 | |||||||||||||
207,492 | 6.744 | 05/01/31 | 208,452 | |||||||||||||
527,602 | 5.500 | 06/01/31 | 542,321 | |||||||||||||
2,242,170 | 5.685 | 07/01/31 | 2,241,492 | |||||||||||||
723,572 | 5.507 | 08/01/31 | 732,289 | |||||||||||||
80,027 | 6.070 | 08/01/31 | 81,746 | |||||||||||||
422,213 | 6.155 | 08/01/31 | 420,935 | |||||||||||||
1,262,417 | 5.640 | 11/01/31 | 1,276,810 | |||||||||||||
530,582 | 5.580 | 12/01/31 | 538,908 | |||||||||||||
190,162 | 5.490 | 01/01/32 | 193,360 | |||||||||||||
405,196 | 7.043 | 01/01/32 | 419,875 | |||||||||||||
43,566 | 5.475 | 02/01/32 | 43,684 | |||||||||||||
572,427 | 6.101 | 02/01/32 | 576,345 | |||||||||||||
49,548 | 5.535 | 03/01/32 | 50,609 | |||||||||||||
188,293 | 5.607 | 03/01/32 | 188,350 | |||||||||||||
2,602,214 | 6.115 | 03/01/32 | 2,658,472 | |||||||||||||
1,269,805 | 5.519 | 04/01/32 | 1,272,140 | |||||||||||||
251,635 | 6.500 | 04/01/32 | 255,358 | |||||||||||||
420,460 | 5.243 | 05/01/32 | 428,777 | |||||||||||||
163,648 | 5.888 | 05/01/32 | 163,844 | |||||||||||||
328,857 | 6.368 | 07/01/32 | 330,676 | |||||||||||||
35,719 | 4.400 | 08/01/32 | 35,748 | |||||||||||||
74,933 | 4.786 | 09/01/32 | 74,975 | |||||||||||||
636,418 | 4.810 | 09/01/32 | 642,636 | |||||||||||||
1,657,326 | 5.191 | 09/01/32 | 1,641,413 | |||||||||||||
209,127 | 5.360 | 09/01/32 | 212,883 | |||||||||||||
90,592 | 5.580 | 09/01/32 | 91,879 | |||||||||||||
177,952 | 5.358 | 10/01/32 | 180,043 | |||||||||||||
195,306 | 6.403 | 10/01/32 | 199,578 | |||||||||||||
768,224 | 4.889 | 12/01/32 | 767,215 | |||||||||||||
38,275 | 5.784 | 12/01/32 | 38,984 | |||||||||||||
1,592,866 | 4.650 | 01/01/33 | 1,587,180 | |||||||||||||
1,041,898 | 4.960 | 01/01/33 | 1,048,582 | |||||||||||||
2,707,053 | 4.886 | 02/01/33 | 2,687,537 | |||||||||||||
2,864,833 | 4.488 | 03/01/33 | 2,853,409 | |||||||||||||
12,038,580 | 4.719 | 03/01/33 | 11,958,264 | |||||||||||||
9,317,801 | 4.744 | 03/01/33 | 9,247,868 | |||||||||||||
178,330 | 4.029 | 04/01/33 | 175,051 | |||||||||||||
1,092,592 | 4.817 | 04/01/33 | 1,088,284 | |||||||||||||
1,859,533 | 4.701 | 05/01/33 | 1,846,717 | |||||||||||||
4,897,863 | 3.879 | 07/01/33 | 4,803,624 | |||||||||||||
1,339,221 | 3.928 | 07/01/33 | 1,312,640 | |||||||||||||
2,718,643 | 4.001 | 07/01/33 | 2,651,777 | |||||||||||||
275,236 | 4.853 | 08/01/33 | 277,839 | |||||||||||||
3,874,923 | 3.854 | 10/01/33 | 3,803,980 | |||||||||||||
10,356,566 | 3.964 | 12/01/33 | 10,206,476 | |||||||||||||
449,045 | 4.368 | 01/01/34 | 440,240 | |||||||||||||
85,385 | 6.353 | 02/01/34 | 87,405 | |||||||||||||
5,606,305 | 4.711 | 10/01/34 | 5,527,691 | |||||||||||||
2,788,402 | 4.364 | 04/01/35 | 2,701,326 | |||||||||||||
3,760,576 | 4.675 | 10/01/35 | 3,717,238 | |||||||||||||
61,191 | 4.689 | 05/01/36 | 61,434 | |||||||||||||
26,568 | 6.008 | 11/01/38 | 27,191 | |||||||||||||
328,279 | 5.151 | 06/01/40 | 324,069 | |||||||||||||
82,008 | 5.288 | 06/01/40 | 82,767 | |||||||||||||
1,624,788 | 6.100 | 07/01/40 | 1,641,273 | |||||||||||||
53,158 | 4.951 | 02/01/41 | 53,725 | |||||||||||||
169,999,915 | ||||||||||||||||
Adjustable Rate GNMA(a) – 11.4% | ||||||||||||||||
8,070,964 | 4.000 | 11/20/33 | 7,937,061 | |||||||||||||
6,054,643 | 3.750 | 01/20/34 | 5,887,592 | |||||||||||||
10,716,324 | 3.750 | 02/20/34 | 10,420,707 | |||||||||||||
5,949,611 | 3.750 | 04/20/34 | 5,773,315 | |||||||||||||
29,330,826 | 4.500 | 08/20/34 | 29,136,208 | |||||||||||||
5,412,618 | 4.750 | 08/20/34 | 5,376,803 | |||||||||||||
9,046,024 | 4.500 | 12/20/34 | 8,925,609 | |||||||||||||
73,457,295 | ||||||||||||||||
Adjustable Rate Non-Agency(a) – 8.4% | ||||||||||||||||
Bank of America Mortgage Securities Series 2002-J, Class A2 | ||||||||||||||||
1,120,262 | 4.879 | 09/25/32 | 1,108,767 | |||||||||||||
Bear Stearns Adjustable Rate Mortgage Trust Series 2003-5, Class 1A1 | ||||||||||||||||
372,237 | 4.384 | 08/25/33 | 373,557 | |||||||||||||
Bear Stearns Adjustable Rate Mortgage Trust Series 2004-12, Class 1A1 | ||||||||||||||||
9,384,312 | 5.309 | 01/25/35 | 9,430,317 | |||||||||||||
Countrywide Home Loans Series 2003-37, Class 1A1 | ||||||||||||||||
273,621 | 3.896 | 08/25/33 | 276,769 | |||||||||||||
CS First Boston Mortgage Securities Corp. Series 2003-AR9, Class 2A2 | ||||||||||||||||
3,616,397 | 5.100 | 03/25/33 | 3,592,746 | |||||||||||||
Indy Mac Index Mortgage Loan Trust Series 2004-AR4, Class 1A | ||||||||||||||||
2,668,181 | 4.583 | 08/25/34 | 2,652,639 | |||||||||||||
Sequoia Mortgage Trust Series 2004-10, Class A3A | ||||||||||||||||
5,941,758 | 5.550 | 11/20/34 | 5,947,767 | |||||||||||||
Sequoia Mortgage Trust Series 8, Class 3A | ||||||||||||||||
4,201,395 | 6.226 | 08/20/32 | 4,240,839 | |||||||||||||
Washington Mutual Series 2005-AR15, Class A1A1 | ||||||||||||||||
8,645,021 | 5.219 | 11/25/45 | 8,665,318 | |||||||||||||
Wells Fargo Mortgage Backed Securities Trust Series 2005-AR16, Class 1A1 | ||||||||||||||||
7,498,947 | 4.978 | 10/25/35 | 7,461,155 | |||||||||||||
Wells Fargo Mortgage Backed Securities Trust Series 2006-AR2, Class 2A3 | ||||||||||||||||
10,801,670 | 5.094 | 03/25/36 | 10,656,032 | |||||||||||||
54,405,906 | ||||||||||||||||
CMBS – 1.4% | ||||||||||||||||
Interest Only(a)(b)(c) – 1.4% | ||||||||||||||||
Bear Stearns Commercial Mortgage Securities, Inc. Series 2001-TOP2, Class X2 | ||||||||||||||||
142,041,083 | 1.299 | 02/15/35 | 3,124,549 |
35
Statement of Investments (continued)
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Mortgage-Backed Obligations – (continued) | ||||||||||||||||
Interest Only(a)(b)(c) – (continued) | ||||||||||||||||
Salomon Brothers Mortgage Securities VII Series 2002-Key2, Class X2 | ||||||||||||||||
$ | 88,598,000 | 2.240 | % | 03/18/36 | $ | 5,800,599 | ||||||||||
TOTAL CMBS | 8,925,148 | |||||||||||||||
CMOs – 10.5% | ||||||||||||||||
Interest Only(c) – 0.1% | ||||||||||||||||
FHLMC Series 2586, Class NX | ||||||||||||||||
3,338,904 | 4.500 | 08/15/16 | 371,345 | |||||||||||||
FNMA REMIC Trust Series 1990-145, Class B | ||||||||||||||||
2,459 | 1,004.961 | 12/25/20 | 54,675 | |||||||||||||
426,020 | ||||||||||||||||
Inverse Floaters(a) – 0.3% | ||||||||||||||||
FHLMC Series 1606, Class SC | ||||||||||||||||
1,594,060 | 11.897 | 11/15/08 | 1,680,547 | |||||||||||||
FNMA REMIC Trust Series 1996-20, Class SB | ||||||||||||||||
1,432,801 | 10.781 | 10/25/08 | 131,691 | |||||||||||||
1,812,238 | ||||||||||||||||
Inverse Floating Rate — Interest Only(a)(c) – 0.0% | ||||||||||||||||
FNMA Series 1996-40, Class SG | ||||||||||||||||
1,624,238 | 10.059 | 03/25/09 | 166,290 | |||||||||||||
PAC – 1.0% | ||||||||||||||||
FHLMC Series 1364, Class K | ||||||||||||||||
90,193 | 5.000 | 09/15/07 | 89,992 | |||||||||||||
FHLMC Series 1377, Class H | ||||||||||||||||
754,257 | 6.000 | 09/15/07 | 752,759 | |||||||||||||
FHLMC Series 1692, Class PJ | ||||||||||||||||
123,438 | 6.500 | 04/15/23 | 123,239 | |||||||||||||
FHLMC Series 2113, Class TE | ||||||||||||||||
3,476,978 | 6.000 | 01/15/14 | 3,478,257 | |||||||||||||
FNMA REMIC Trust Series 1992-193, Class HD | ||||||||||||||||
1,012,079 | 7.000 | 11/25/07 | 1,017,915 | |||||||||||||
FNMA REMIC Trust Series 1993-225, Class WC | ||||||||||||||||
1,380,264 | 6.500 | 12/25/13 | 1,409,143 | |||||||||||||
6,871,305 | ||||||||||||||||
Regular Floater(a) – 4.2% | ||||||||||||||||
Collateralized Mortgage Securities Corp. Series N, Class 2 | ||||||||||||||||
447,077 | 5.400 | 08/25/17 | 444,859 | |||||||||||||
FHLMC Series 1509, Class F | ||||||||||||||||
4,466,755 | 5.938 | 04/15/08 | 4,491,336 | |||||||||||||
FHLMC Series 1606, Class FC | ||||||||||||||||
5,852,155 | 4.524 | 11/15/08 | 5,794,787 | |||||||||||||
FHLMC Series 1612, Class FD | ||||||||||||||||
605,850 | 4.524 | 11/15/08 | 600,270 | |||||||||||||
FHLMC Series 1661, Class FD | ||||||||||||||||
4,698,847 | 6.375 | 01/15/09 | 4,744,083 | |||||||||||||
FHLMC Series 1665, Class FA | ||||||||||||||||
193,518 | 4.520 | 06/15/23 | 192,090 | |||||||||||||
FHLMC Series 1826, Class F | ||||||||||||||||
271,846 | 5.338 | 09/15/21 | 273,440 | |||||||||||||
FNMA REMIC Trust Series 1993-190, Class F | ||||||||||||||||
3,586,112 | 4.674 | 10/25/08 | 3,553,754 | |||||||||||||
FNMA REMIC Trust Series 1993-196, Class FD | ||||||||||||||||
311,485 | 4.524 | 10/25/08 | 308,223 | |||||||||||||
FNMA REMIC Trust Series 1993-214, Class FA | ||||||||||||||||
897,362 | 5.769 | 12/25/08 | 903,562 | |||||||||||||
FNMA REMIC Trust Series 1993-233, Class FA | ||||||||||||||||
766,465 | 4.504 | 12/25/08 | 760,595 | |||||||||||||
FNMA Series 1993-231, Class FE | ||||||||||||||||
2,168,643 | 5.869 | 12/25/08 | 2,186,958 | |||||||||||||
FNMA Series 1998-66, Class FC | ||||||||||||||||
500,813 | 5.410 | 11/17/28 | 505,406 | |||||||||||||
FNMA Series 2001-70, Class OF | ||||||||||||||||
2,469,104 | 5.909 | 10/25/31 | 2,532,020 | |||||||||||||
27,291,383 | ||||||||||||||||
Sequential Fixed Rate – 4.4% | ||||||||||||||||
FHLMC Series 1216, Class GC | ||||||||||||||||
554,272 | 7.000 | 03/15/07 | 554,611 | |||||||||||||
FHLMC Series 1246, Class J | ||||||||||||||||
141,385 | 7.500 | 05/15/07 | 141,312 | |||||||||||||
FHLMC Series 1423, Class FF | ||||||||||||||||
2,733,001 | 7.000 | 12/15/07 | 2,726,853 | |||||||||||||
FHLMC Series 1720, Class PJ | ||||||||||||||||
1,802,332 | 7.250 | 01/15/24 | 1,836,863 | |||||||||||||
First Nationwide Trust Series 2001-4, Class 1A1 | ||||||||||||||||
2,983,661 | 6.750 | 09/21/31 | 2,984,556 | |||||||||||||
FNMA REMIC Trust Series 1993-014, Class A | ||||||||||||||||
8,434 | 6.000 | 02/25/08 | 8,420 | |||||||||||||
FNMA REMIC Trust Series 1993-121, Class Z | ||||||||||||||||
9,359,465 | 7.000 | 07/25/23 | 9,656,383 | |||||||||||||
FNMA REMIC Trust Series 1993-135, Class PG | ||||||||||||||||
1,000,108 | 6.250 | 07/25/08 | 1,000,796 | |||||||||||||
FNMA REMIC Trust Series 1993-212, Class PC | ||||||||||||||||
1,400,027 | 4.500 | 09/25/08 | 1,393,998 | |||||||||||||
FNMA REMIC Trust Series 1996-14, Class J | ||||||||||||||||
435,306 | 6.150 | 03/25/09 | 436,707 | |||||||||||||
FNMA Series 1994-72, Class J | ||||||||||||||||
7,455,000 | 6.000 | 06/25/23 | 7,506,480 | |||||||||||||
GNMA REMIC Trust 2001-27, Class VD | ||||||||||||||||
379,950 | 6.500 | 06/16/17 | 379,328 | |||||||||||||
28,626,307 | ||||||||||||||||
Support – 0.5% | ||||||||||||||||
FHLMC Series 1639, Class M | ||||||||||||||||
3,043,584 | 6.000 | 12/15/08 | 3,056,278 | |||||||||||||
TOTAL CMOS | 68,249,821 | |||||||||||||||
FHLMC – 4.8% | ||||||||||||||||
2,216,164 | 7.000 | 02/01/09 | 2,243,715 | |||||||||||||
1,297,787 | 7.000 | 03/01/09 | 1,317,412 | |||||||||||||
2,856,523 | 7.000 | 04/01/09 | 2,889,610 | |||||||||||||
1,260,815 | 7.000 | 05/01/09 | 1,281,601 | |||||||||||||
1,178,832 | 7.000 | 06/01/09 | 1,198,266 | |||||||||||||
958,148 | 7.500 | 06/01/09 | 973,865 | |||||||||||||
231,818 | 6.500 | 03/01/13 | 235,846 | |||||||||||||
470,607 | 6.500 | 04/01/13 | 478,783 | |||||||||||||
252,710 | 6.500 | 05/01/13 | 257,099 |
36
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Mortgage-Backed Obligations – (continued) | ||||||||||||||||
FHLMC – (continued) | ||||||||||||||||
$ | 533,498 | 6.500 | % | 06/01/13 | $ | 542,768 | ||||||||||
1,203,472 | 5.000 | 12/01/13 | 1,187,571 | |||||||||||||
1,265,689 | 4.000 | 01/01/14 | 1,207,661 | |||||||||||||
4,279,481 | 8.000 | 12/01/15 | 4,487,303 | |||||||||||||
665,173 | 6.000 | 05/01/17 | 671,954 | |||||||||||||
868,454 | 7.000 | 04/01/21 | 895,822 | |||||||||||||
470,937 | 7.000 | 08/01/21 | 485,779 | |||||||||||||
3,189,863 | 7.000 | 03/01/22 | 3,288,608 | |||||||||||||
1,360,437 | 7.000 | 05/01/22 | 1,402,551 | |||||||||||||
5,088,813 | 7.000 | 06/01/22 | 5,246,341 | |||||||||||||
66,949 | 7.000 | 12/01/25 | 68,871 | |||||||||||||
513,471 | 6.500 | 03/01/33 | 521,926 | |||||||||||||
30,883,352 | ||||||||||||||||
FNMA – 12.7% | ||||||||||||||||
7,337,631 | 4.000 | 05/01/10 | 7,015,569 | |||||||||||||
8,331,626 | 4.000 | 06/01/10 | 7,965,936 | |||||||||||||
1,877,562 | 6.000 | 09/01/11 | 1,903,317 | |||||||||||||
2,240,527 | 6.500 | 04/01/12 | 2,282,565 | |||||||||||||
4,495,435 | 6.000 | 05/01/12 | 4,544,371 | |||||||||||||
1,118,355 | 6.500 | 05/01/12 | 1,139,594 | |||||||||||||
3,689,753 | 6.000 | 06/01/12 | 3,730,303 | |||||||||||||
1,165,002 | 6.500 | 06/01/12 | 1,187,384 | |||||||||||||
14,878,484 | 5.500 | 01/01/13 | 14,789,121 | |||||||||||||
3,416,373 | 4.500 | 08/01/13 | 3,314,013 | |||||||||||||
14,735,404 | 4.500 | 09/01/13 | 14,315,957 | |||||||||||||
1,771,566 | 8.000 | 01/01/16 | 1,874,264 | |||||||||||||
1,001,543 | 7.000 | 03/01/17 | 1,030,071 | |||||||||||||
441,755 | 7.000 | 05/01/17 | 454,338 | |||||||||||||
11,527,777 | 5.500 | 03/01/18 | 11,462,133 | |||||||||||||
1,466,763 | 5.500 | 04/01/18 | 1,458,411 | |||||||||||||
447,950 | 7.000 | 07/01/21 | 462,378 | |||||||||||||
668,393 | 7.000 | 11/01/21 | 689,922 | |||||||||||||
479,656 | 7.000 | 12/01/21 | 495,106 | |||||||||||||
530,271 | 7.000 | 01/01/22 | 547,351 | |||||||||||||
125,979 | 7.000 | 02/01/22 | 130,037 | |||||||||||||
426,438 | 7.000 | 01/01/28 | 438,996 | |||||||||||||
746,197 | 6.500 | 04/01/33 | 758,661 | |||||||||||||
81,989,798 | ||||||||||||||||
GNMA – 0.0% | ||||||||||||||||
50,300 | 7.000 | 12/15/25 | 52,287 | |||||||||||||
203,745 | 7.000 | 04/15/26 | 211,599 | |||||||||||||
263,886 | ||||||||||||||||
TOTAL MORTGAGE-BACKED OBLIGATIONS | ||||||||||||||||
(Cost $539,906,134) | $ | 529,253,964 | ||||||||||||||
Agency Debentures – 7.6% | ||||||||||||||||
FHLMC – 7.6% | ||||||||||||||||
$ | 35,000,000 | 4.500 | % | 04/18/07 | $ | 34,735,225 | ||||||||||
15,000,000 | 4.500 | 08/22/07 | 14,855,130 | |||||||||||||
TOTAL AGENCY DEBENTURES | ||||||||||||||||
(Cost $49,623,815) | $ | 49,590,355 | ||||||||||||||
Asset-Backed Securities – 1.7% | ||||||||||||||||
Auto – 0.4% | ||||||||||||||||
AmeriCredit Automobile Receivable Trust Series 2002-A, Class A4 | ||||||||||||||||
$ | 2,720,621 | 4.610 | % | 01/12/09 | $ | 2,712,151 | ||||||||||
Home Equity(a) – 1.3% | ||||||||||||||||
Countrywide Home Equity Loan Trust Series 2004-G, Class 2A | ||||||||||||||||
4,916,368 | 5.121 | 12/15/29 | 4,929,782 | |||||||||||||
Impac CMB Trust Series 2003-6, Class A | ||||||||||||||||
3,397,436 | 5.599 | 07/25/33 | 3,398,263 | |||||||||||||
8,328,045 | ||||||||||||||||
TOTAL ASSET-BACKED SECURITIES | ||||||||||||||||
(Cost $11,132,518) | $ | 11,040,196 | ||||||||||||||
U.S. Treasury Obligations – 4.8% | ||||||||||||||||
United States Treasury Inflation Protected Securities | ||||||||||||||||
$ | 8,784,642 | 1.875 | % | 07/15/15 | $ | 8,432,641 | ||||||||||
12,012,260 | 2.000 | 01/15/16 | 11,612,948 | |||||||||||||
United States Treasury Notes | ||||||||||||||||
10,000,000 | 4.375 | 12/31/07 | 9,916,800 | |||||||||||||
United States Treasury Principal-Only STRIPS(d) | ||||||||||||||||
800,000 | 0.000 | 11/15/24 | 297,909 | |||||||||||||
1,100,000 | 0.000 | 08/15/25 | 394,318 | |||||||||||||
600,000 | 0.000 | 08/15/26 | 203,942 | |||||||||||||
TOTAL U.S. TREASURY OBLIGATIONS | ||||||||||||||||
(Cost $30,433,419) | $ | 30,858,558 | ||||||||||||||
TOTAL INVESTMENTS BEFORE REPURCHASE AGREEMENT – 95.9% | ||||||||||||||||
(Cost $631,095,886) | $ | 620,743,073 | ||||||||||||||
Repurchase Agreement(e) – 1.0% | ||||||||||||||||
Joint Repurchase Agreement Account II | ||||||||||||||||
$ | 6,300,000 | 4.784 | % | 05/01/06 | $ | 6,300,000 | ||||||||||
Maturity Value: $6,302,511 | ||||||||||||||||
(Cost $6,300,000) | ||||||||||||||||
TOTAL INVESTMENTS – 96.9% | ||||||||||||||||
(Cost $637,395,886) | $ | 627,043,073 | ||||||||||||||
Other Assets in Excess of Liabilities — 3.1% | 19,766,424 | |||||||||||||||
Net Assets — 100.0% | $ | 646,809,497 | ||||||||||||||
37
Statement of Investments (continued)
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
(a) | Variable rate security. Interest rate disclosed is that which is in effect at April 30, 2006. | |
(b) | Securities are exempt from registration under Rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the Investment Adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $ 8,925,148, which represents approximately 1.4% of net assets as of April 30, 2006. | |
(c) | Represents security with notional or nominal principal amount. The actual effective yield of this security is different than the stated interest rate due to the amortization of related premiums or accretion of discounts. | |
(d) | Security issued with a zero coupon. Income is recognized through the accretion of discount. | |
(e) | Joint repurchase agreement was entered into on April 28, 2006. Additional information appears on page 75. |
Investment Abbreviations: | ||||||
CMBS | — | Commercial Mortgage Backed Securities | ||||
CMOs | — | Collateralized Mortgage Obligations | ||||
FHLMC | — | Federal Home Loan Mortgage Corp. | ||||
FNMA | — | Federal National Mortgage Association | ||||
GNMA | — | Government National Mortgage Association | ||||
PAC | — | Planned Amortization Class | ||||
REMIC | — | Real Estate Mortgage Investment Conduit | ||||
STRIPS | — | Separate Trading of Registered Interest and Principal of Securities | ||||
ADDITIONAL INVESTMENT INFORMATION |
FUTURES CONTRACTS — At April 30, 2006, the following futures contracts were open as follows:
Number of | ||||||||||||||||
Contracts | Settlement | Market | Unrealized | |||||||||||||
Type | Long (Short) | Month | Value | Gain (Loss) | ||||||||||||
Eurodollars | 502 | June 2006 | $ | 118,986,550 | $ | (235,382 | ) | |||||||||
Eurodollars | 217 | September 2006 | 51,407,300 | (68,550 | ) | |||||||||||
Eurodollars | (13 | ) | December 2006 | (3,079,538 | ) | 32,850 | ||||||||||
U.S. Treasury Bonds | 59 | June 2006 | 6,303,781 | (343,651 | ) | |||||||||||
2 Year U.S. Treasury Notes | 176 | June 2006 | 35,857,250 | 13,257 | ||||||||||||
5 Year U.S. Treasury Notes | (1,171 | ) | June 2006 | (121,966,969 | ) | 712,555 | ||||||||||
10 Year U.S. Treasury Notes | (275 | ) | June 2006 | (29,033,984 | ) | 361,346 | ||||||||||
$ | 58,474,390 | $ | 472,425 | |||||||||||||
38
ADDITIONAL INVESTMENT INFORMATION (continued) |
SWAP CONTRACTS — At April 30, 2006, the Fund had outstanding swap contracts with the following terms:
INTEREST RATE SWAP CONTRACTS
Rate Type | ||||||||||||||
Notional | Payments | Payments | ||||||||||||
Amount | Termination | received by | made by | Unrealized | ||||||||||
Swap Counterparty | (000s) | Date | the Fund | the Fund | Gain (Loss) | |||||||||
Banc of America Securities LLC(a) | $ | 28,220 | 02/16/2009 | 3 month LIBOR | 5.05% | $ | 136,625 | |||||||
Banc of America Securities LLC(a) | 32,280 | 02/17/2009 | 3 month LIBOR | 5.10% | 126,859 | |||||||||
JP Morgan Securities | 30,000 | 02/17/2011 | 3 month LIBOR | 5.09% | 363,804 | |||||||||
Banc of America Securities LLC(a) | 30,390 | 02/17/2014 | 5.10% | 3 month LIBOR | (721,719 | ) | ||||||||
Banc of America Securities LLC(a) | 34,720 | 02/17/2014 | 5.14% | 3 month LIBOR | (748,323 | ) | ||||||||
Banc of America Securities LLC | 41,000 | 11/12/2019 | 3 month LIBOR | 5.07% | 1,665,538 | |||||||||
Banc of America Securities LLC(a) | 12,810 | 02/15/2022 | 3 month LIBOR | 5.16% | 677,868 | |||||||||
Banc of America Securities LLC(a) | 14,620 | 02/17/2022 | 3 month LIBOR | 5.19% | 731,530 | |||||||||
TOTAL | $ | 2,232,182 | ||||||||||||
(a) Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur in February 2007.
LIBOR—London Interbank Offered Rate
39
Statement of Investments
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Mortgage-Backed Obligations – 60.7% | ||||||||||||||||
Adjustable Rate FHLMC(a) – 5.7% | ||||||||||||||||
$ | 268,695 | 5.495 | % | 05/01/18 | $ | 264,182 | ||||||||||
191,864 | 5.816 | 10/01/25 | 190,711 | |||||||||||||
16,406,249 | 4.175 | 09/01/34 | 16,202,150 | |||||||||||||
17,739,011 | 4.456 | 06/01/35 | 17,345,644 | |||||||||||||
8,185,688 | 4.896 | 08/01/35 | 8,101,763 | |||||||||||||
3,867,740 | 4.547 | 11/01/35 | 3,749,377 | |||||||||||||
45,853,827 | ||||||||||||||||
Adjustable Rate FNMA(a) – 21.9% | ||||||||||||||||
547,673 | 5.338 | 11/01/17 | 550,665 | |||||||||||||
614,499 | 4.764 | 02/01/18 | 617,657 | |||||||||||||
318,119 | 1.571 | 02/25/18 | 292,962 | |||||||||||||
402,951 | 10.000 | 02/25/18 | 452,815 | |||||||||||||
303,730 | 5.675 | 06/01/18 | 309,605 | |||||||||||||
708,403 | 5.702 | 03/01/19 | 715,920 | |||||||||||||
521,877 | 6.154 | 05/01/20 | 534,716 | |||||||||||||
681,547 | 5.574 | 12/01/20 | 687,031 | |||||||||||||
269,683 | 5.905 | 01/01/23 | 274,748 | |||||||||||||
23,132,424 | 5.009 | 11/25/28 | 23,149,695 | |||||||||||||
13,636,993 | 5.098 | 08/01/29 | 13,588,676 | |||||||||||||
847,839 | 5.581 | 07/01/32 | 846,167 | |||||||||||||
488,404 | 5.586 | 07/01/32 | 492,398 | |||||||||||||
1,758,278 | 5.314 | 01/01/33 | 1,753,700 | |||||||||||||
12,476,782 | 4.234 | 05/01/33 | 12,293,549 | |||||||||||||
2,255,930 | 3.976 | 08/01/33 | 2,205,204 | |||||||||||||
7,155,556 | 4.616 | 08/01/33 | 7,183,550 | |||||||||||||
4,843,653 | 3.854 | 10/01/33 | 4,754,975 | |||||||||||||
8,987,858 | 4.420 | 02/01/34 | 8,881,298 | |||||||||||||
4,919,593 | 4.264 | 03/01/34 | 4,813,709 | |||||||||||||
6,042,826 | 2.961 | 05/01/34 | 5,890,441 | |||||||||||||
2,886,989 | 3.031 | 05/01/34 | 2,816,693 | |||||||||||||
7,540,734 | 4.214 | 06/01/34 | 7,476,765 | |||||||||||||
5,435,414 | 4.287 | 07/01/34 | 5,406,641 | |||||||||||||
9,081,860 | 4.709 | 10/01/34 | 8,954,510 | |||||||||||||
7,376,274 | 4.788 | 10/01/34 | 7,341,756 | |||||||||||||
7,882,464 | 4.816 | 11/01/34 | 7,826,360 | |||||||||||||
4,746,801 | 4.600 | 12/01/34 | 4,706,689 | |||||||||||||
7,210,733 | 5.044 | 03/01/35 | 7,119,340 | |||||||||||||
8,898,546 | 4.364 | 04/01/35 | 8,620,664 | |||||||||||||
7,817,868 | 4.684 | 04/01/35 | 7,638,801 | |||||||||||||
2,447,075 | 4.335 | 05/01/35 | 2,422,067 | |||||||||||||
9,496,275 | 4.743 | 08/01/35 | 9,287,657 | |||||||||||||
6,736,975 | 4.730 | 10/01/35 | 6,585,002 | |||||||||||||
133,438 | 4.512 | 11/01/35 | 129,155 | |||||||||||||
176,621,581 | ||||||||||||||||
Adjustable Rate GNMA(a) – 8.6% | ||||||||||||||||
4,035,482 | 4.000 | 11/20/33 | 3,968,531 | |||||||||||||
2,102,595 | 3.750 | 01/20/34 | 2,044,583 | |||||||||||||
4,991,925 | 3.750 | 02/20/34 | 4,854,219 | |||||||||||||
8,842,470 | 3.750 | 05/20/34 | 8,580,488 | |||||||||||||
2,821,156 | 4.500 | 05/20/34 | 2,812,119 | |||||||||||||
6,319,949 | 4.500 | 07/20/34 | 6,278,414 | |||||||||||||
4,739,041 | 4.750 | 08/20/34 | 4,707,683 | |||||||||||||
16,600,970 | 4.500 | 09/20/34 | 16,490,226 | |||||||||||||
10,625,502 | 4.750 | 09/20/34 | 10,491,918 | |||||||||||||
3,603,556 | 4.750 | 10/20/34 | 3,570,252 | |||||||||||||
5,356,131 | 4.750 | 12/20/34 | 5,357,986 | |||||||||||||
69,156,419 | ||||||||||||||||
CMOs – 10.4% | ||||||||||||||||
Interest Only(b) – 0.1% | ||||||||||||||||
FHLMC Series 2575, Class IB | ||||||||||||||||
2,808,139 | 5.500 | 08/15/30 | 343,849 | |||||||||||||
FHLMC Series 2586, Class NX | ||||||||||||||||
1,864,108 | 4.500 | 08/15/16 | 207,321 | |||||||||||||
551,170 | ||||||||||||||||
Inverse Floaters(a) – 0.0% | ||||||||||||||||
FNMA REMIC Trust Series 1990-134, Class SC | ||||||||||||||||
71,763 | 14.147 | 11/25/20 | 88,674 | |||||||||||||
GNMA Series 2001-59, Class SA | ||||||||||||||||
25,862 | 10.368 | 11/16/24 | 27,794 | |||||||||||||
116,468 | ||||||||||||||||
IOette(b) – 0.0% | ||||||||||||||||
FHLMC Series 1161, Class U | ||||||||||||||||
1,830 | 1,172.810 | 11/15/21 | 3,283 | |||||||||||||
PAC – 4.6% | ||||||||||||||||
FHLMC Series 1327, Class HA | ||||||||||||||||
368,147 | 7.500 | 07/15/07 | 367,529 | |||||||||||||
FHLMC Series 1377, Class H | ||||||||||||||||
1,775,608 | 6.000 | 09/15/07 | 1,772,080 | |||||||||||||
FHLMC Series 1475, Class K | ||||||||||||||||
587,727 | 7.000 | 02/15/08 | 587,588 | |||||||||||||
FHLMC Series 1556, Class H | ||||||||||||||||
1,788,961 | 6.500 | 08/15/13 | 1,816,795 | |||||||||||||
FHLMC Series 1601, Class PL | ||||||||||||||||
993,939 | 6.000 | 10/15/08 | 996,418 | |||||||||||||
FHLMC Series 1606, Class H | ||||||||||||||||
1,675,042 | 6.000 | 11/15/08 | 1,679,099 | |||||||||||||
FHLMC Series 1703, Class GB | ||||||||||||||||
5,443,405 | 6.500 | 02/15/09 | 5,456,833 | |||||||||||||
FHLMC Series 1916, Class PC | ||||||||||||||||
3,700,000 | 6.750 | 12/15/11 | 3,772,424 | |||||||||||||
FHLMC Series 2812, Class OA | ||||||||||||||||
1,706,556 | 5.000 | 08/15/20 | 1,700,435 | |||||||||||||
FHLMC Series 3028, Class MB | ||||||||||||||||
8,994,781 | 5.000 | 12/15/26 | 8,943,487 | |||||||||||||
FNMA Series 1993-118, Class J | ||||||||||||||||
582,341 | 6.500 | 06/25/08 | 581,676 | |||||||||||||
FNMA Series 1993-207, Class G | ||||||||||||||||
1,774,370 | 6.150 | 04/25/23 | 1,783,261 | |||||||||||||
FNMA Series 1994-23, Class PE | ||||||||||||||||
52,527 | 6.000 | 08/25/22 | 52,365 | |||||||||||||
FNMA Series 2005-87, Class CL | ||||||||||||||||
7,149,315 | 5.000 | 10/25/35 | 7,090,836 | |||||||||||||
GNMA REMIC Trust Series 2002-45, Class QD | ||||||||||||||||
757,466 | 6.500 | 06/20/31 | 758,722 | |||||||||||||
37,359,548 | ||||||||||||||||
40
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Mortgage-Backed Obligations – (continued) | ||||||||||||||||
Planned Amortization — Interest Only(b) – 0.0% | ||||||||||||||||
FHLMC Series 1587, Class HA | ||||||||||||||||
$ | 122,772 | 6.500 | % | 10/15/08 | $ | 7,089 | ||||||||||
Principal Only(c) – 0.0% | ||||||||||||||||
FNMA REMIC Trust Series G92-28, Class A | ||||||||||||||||
9,374 | 0.000 | 05/25/07 | 9,249 | |||||||||||||
Regular Floater(a) – 0.7% | ||||||||||||||||
FNMA Series 2001-60, Class OF | ||||||||||||||||
3,703,657 | 5.909 | 10/25/31 | 3,803,649 | |||||||||||||
FNMA Series 2001-70, Class OF | ||||||||||||||||
1,851,828 | 5.909 | 10/25/31 | 1,899,015 | |||||||||||||
5,702,664 | ||||||||||||||||
Sequential Fixed Rate – 4.5% | ||||||||||||||||
FHLMC Series 108, Class G | ||||||||||||||||
842,065 | 8.500 | 12/15/20 | 839,791 | |||||||||||||
FHLMC Series 1429, Class G | ||||||||||||||||
487,382 | 7.000 | 11/15/07 | 486,290 | |||||||||||||
FHLMC Series 1564, Class H | ||||||||||||||||
1,853,543 | 6.500 | 08/15/08 | 1,864,391 | |||||||||||||
FHLMC Series 1655, Class K | ||||||||||||||||
10,623,662 | 6.500 | 01/15/09 | 10,677,865 | |||||||||||||
FHLMC Series 1980, Class Z | ||||||||||||||||
3,033,253 | 7.000 | 07/15/27 | 3,122,379 | |||||||||||||
FHLMC Series 2019, Class Z | ||||||||||||||||
3,042,031 | 6.500 | 12/15/27 | 3,107,459 | |||||||||||||
FNMA REMIC Trust Series 1989-66, Class J | ||||||||||||||||
1,071,812 | 7.000 | 09/25/19 | 1,108,269 | |||||||||||||
FNMA REMIC Trust Series 1990-16, Class E | ||||||||||||||||
667,767 | 9.000 | 03/25/20 | 710,451 | |||||||||||||
FNMA REMIC Trust Series 1992-142, Class K | ||||||||||||||||
908,259 | 7.000 | 08/25/07 | 912,521 | |||||||||||||
FNMA REMIC Trust Series 1992-33, Class K | ||||||||||||||||
1,900,677 | 8.500 | 03/25/18 | 1,995,115 | |||||||||||||
FNMA REMIC Trust Series 1993-028, Class PJ | ||||||||||||||||
486,560 | 7.000 | 03/25/08 | 487,587 | |||||||||||||
FNMA REMIC Trust Series 1993-052, Class J | ||||||||||||||||
2,003,377 | 6.500 | 04/25/08 | 2,007,537 | |||||||||||||
FNMA REMIC Trust Series 1993-121, Class Z | ||||||||||||||||
5,199,703 | 7.000 | 07/25/23 | 5,364,657 | |||||||||||||
FNMA REMIC Trust Series 1993-126, Class PG | ||||||||||||||||
1,979,299 | 6.500 | 07/25/08 | 1,990,619 | |||||||||||||
FNMA REMIC Trust Series 1993-135, Class PG | ||||||||||||||||
1,142,981 | 6.250 | 07/25/08 | 1,143,767 | |||||||||||||
GNMA REMIC Trust Series 1995-3, Class DQ | ||||||||||||||||
132,992 | 8.050 | 06/16/25 | 139,281 | |||||||||||||
35,957,979 | ||||||||||||||||
TAC – 0.5% | ||||||||||||||||
FNMA REMIC Trust Series 1994-18, Class D | ||||||||||||||||
4,450,133 | 6.750 | 02/25/24 | 4,492,716 | |||||||||||||
TOTAL CMOs | $ | 84,200,166 | ||||||||||||||
FHLMC – 6.2% | ||||||||||||||||
6,300,359 | 4.500 | 05/01/08 | 6,144,130 | |||||||||||||
26,466 | 7.000 | 01/01/09 | 26,903 | |||||||||||||
47,963 | 7.000 | 02/01/09 | 48,754 | |||||||||||||
23,520 | 7.000 | 03/01/09 | 23,793 | |||||||||||||
47,144 | 7.000 | 04/01/09 | 47,852 | |||||||||||||
60,398 | 7.000 | 05/01/09 | 61,394 | |||||||||||||
4,330 | 6.500 | 05/01/10 | 4,403 | |||||||||||||
46,109 | 6.500 | 06/01/10 | 46,747 | |||||||||||||
624,302 | 6.500 | 07/01/10 | 632,943 | |||||||||||||
95,700 | 7.000 | 07/01/10 | 97,278 | |||||||||||||
990 | 6.500 | 08/01/10 | 1,004 | |||||||||||||
126,488 | 7.000 | 01/01/11 | 127,953 | |||||||||||||
57,277 | 7.000 | 12/01/12 | 58,471 | |||||||||||||
208,197 | 6.500 | 01/01/13 | 211,814 | |||||||||||||
147,985 | 6.500 | 04/01/13 | 150,556 | |||||||||||||
286,368 | 6.500 | 05/01/13 | 291,343 | |||||||||||||
142,496 | 6.500 | 06/01/13 | 144,972 | |||||||||||||
105,115 | 6.500 | 10/01/13 | 106,942 | |||||||||||||
9,473,152 | 4.000 | 11/01/13 | 9,035,807 | |||||||||||||
1,805,209 | 5.000 | 12/01/13 | 1,781,357 | |||||||||||||
1,898,533 | 4.000 | 01/01/14 | 1,811,491 | |||||||||||||
8,482,602 | 5.000 | 10/01/14 | 8,363,815 | |||||||||||||
17,350,781 | 4.500 | 03/01/15 | 16,649,090 | |||||||||||||
116,263 | 8.500 | 10/01/15 | 122,637 | |||||||||||||
1,480,789 | 8.000 | 12/01/15 | 1,552,700 | |||||||||||||
58,762 | 7.000 | 03/01/16 | 60,451 | |||||||||||||
2,461,434 | 7.000 | 04/01/22 | 2,537,630 | |||||||||||||
53,476 | 7.500 | 01/01/31 | 55,560 | |||||||||||||
50,197,790 | ||||||||||||||||
FNMA – 7.8% | ||||||||||||||||
2,527 | 7.000 | 11/01/07 | 2,541 | |||||||||||||
53,235 | 7.000 | 12/01/07 | 53,520 | |||||||||||||
1,506 | 7.000 | 05/01/08 | 1,538 | |||||||||||||
8,981 | 7.000 | 08/01/08 | 9,168 | |||||||||||||
429,898 | 7.000 | 09/01/08 | 438,867 | |||||||||||||
10,726 | 7.000 | 12/01/09 | 10,950 | |||||||||||||
8,909,980 | 4.000 | 05/01/10 | 8,518,905 | |||||||||||||
77,892 | 8.500 | 05/01/10 | 80,064 | |||||||||||||
9,442,510 | 4.000 | 06/01/10 | 9,028,061 | |||||||||||||
1,263 | 7.000 | 06/01/10 | 1,277 | |||||||||||||
6,818 | 7.000 | 08/01/10 | 6,962 | |||||||||||||
4,113 | 7.000 | 01/01/11 | 4,159 | |||||||||||||
63,739 | 7.000 | 07/01/11 | 65,045 | |||||||||||||
1,142 | 7.000 | 11/01/11 | 1,155 | |||||||||||||
6,048,256 | 5.500 | 01/01/13 | 6,011,942 | |||||||||||||
3,416,373 | 4.500 | 08/01/13 | 3,314,013 | |||||||||||||
17,802,287 | 4.500 | 09/01/13 | 17,295,438 | |||||||||||||
82,325 | 6.000 | 01/01/14 | 82,776 | |||||||||||||
245,902 | 6.000 | 03/01/14 | 247,249 | |||||||||||||
28,932 | 5.500 | 04/01/14 | 28,453 | |||||||||||||
12,132 | 8.500 | 09/01/15 | 12,843 | |||||||||||||
289,412 | 8.500 | 10/01/15 | 306,380 | |||||||||||||
83,127 | 8.500 | 12/01/15 | 87,897 | |||||||||||||
1,433,821 | 5.500 | 07/01/18 | 1,425,656 | |||||||||||||
755,198 | 5.500 | 08/01/18 | 750,898 | |||||||||||||
1,032,198 | 5.500 | 09/01/18 | 1,026,320 | |||||||||||||
133,092 | 5.500 | 12/01/18 | 132,334 |
41
Statement of Investments (continued)
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Mortgage-Backed Obligations – (continued) | ||||||||||||||||
FNMA – (continued) | ||||||||||||||||
$ | 214,256 | 7.000 | % | 11/01/19 | $ | 221,320 | ||||||||||
219,042 | 8.000 | 02/01/31 | 231,689 | |||||||||||||
4,925,603 | 6.000 | 03/01/33 | 4,912,221 | |||||||||||||
8,337,428 | 6.500 | 04/01/33 | 8,476,700 | |||||||||||||
62,786,341 | ||||||||||||||||
GNMA – 0.1% | ||||||||||||||||
86,350 | 6.500 | 06/15/08 | 87,094 | |||||||||||||
37,139 | 6.500 | 07/15/08 | 37,460 | |||||||||||||
114,985 | 6.500 | 08/15/08 | 115,974 | |||||||||||||
66,647 | 6.500 | 09/15/08 | 67,222 | |||||||||||||
14,956 | 6.500 | 10/15/08 | 15,085 | |||||||||||||
3,778 | 6.500 | 11/15/08 | 3,811 | |||||||||||||
13,133 | 9.000 | 12/15/08 | 13,554 | |||||||||||||
12,405 | 6.500 | 01/15/09 | 12,561 | |||||||||||||
32,619 | 9.000 | 01/15/09 | 34,045 | |||||||||||||
1,098 | 6.500 | 03/15/09 | 1,108 | |||||||||||||
4,668 | 6.500 | 04/15/09 | 4,727 | |||||||||||||
64,348 | 6.500 | 05/15/09 | 65,161 | |||||||||||||
7,368 | 6.500 | 07/15/09 | 7,461 | |||||||||||||
14,284 | 6.500 | 11/15/09 | 14,464 | |||||||||||||
6,649 | 9.000 | 01/15/10 | 6,996 | |||||||||||||
66,016 | 9.000 | 07/15/12 | 70,364 | |||||||||||||
557,087 | ||||||||||||||||
TOTAL MORTGAGE-BACKED OBLIGATIONS | ||||||||||||||||
(Cost $499,403,584) | $ | 489,373,211 | ||||||||||||||
Agency Debentures – 28.2% | ||||||||||||||||
FFCB | ||||||||||||||||
$ | 2,000,000 | 5.400 | % | 05/10/06 | $ | 2,000,054 | ||||||||||
FHLB | ||||||||||||||||
10,000,000 | 2.900 | (a) | 06/11/07 | 9,755,940 | ||||||||||||
9,000,000 | 4.125 | 09/06/07 | 8,877,951 | |||||||||||||
15,000,000 | 3.808 | (a) | 09/07/07 | 14,770,694 | ||||||||||||
23,880,000 | 4.250 | 09/26/07 | 23,575,029 | |||||||||||||
21,500,000 | 4.000 | (a) | 12/03/07 | 20,968,520 | ||||||||||||
7,000,000 | 3.790 | 11/28/08 | 6,768,475 | |||||||||||||
FHLMC | ||||||||||||||||
4,380,000 | 3.000 | 12/15/06 | 4,320,695 | |||||||||||||
13,200,000 | 4.125 | 04/02/07 | 13,074,046 | |||||||||||||
10,000,000 | 2.415 | 04/12/07 | 9,744,780 | |||||||||||||
40,900,000 | 4.500 | 04/18/07 | 40,590,591 | |||||||||||||
9,500,000 | 2.550 | 04/19/07 | 9,264,771 | |||||||||||||
5,000,000 | 3.500 | 04/15/08 | 4,849,070 | |||||||||||||
19,000,000 | 4.480 | 09/19/08 | 18,695,006 | |||||||||||||
FNMA | ||||||||||||||||
19,000,000 | 3.550 | 01/12/07 | 18,783,818 | |||||||||||||
10,000,000 | 3.550 | 11/16/07 | 9,764,600 | |||||||||||||
9,700,000 | 3.650 | 11/30/07 | 9,480,867 | |||||||||||||
Small Business Administration | ||||||||||||||||
461,726 | 7.200 | 06/01/17 | 479,151 | |||||||||||||
855,292 | 6.300 | 05/01/18 | 873,549 | |||||||||||||
987,611 | 6.300 | 06/01/18 | 1,008,865 | |||||||||||||
TOTAL AGENCY DEBENTURES | ||||||||||||||||
(Cost $229,710,948) | $ | 227,646,472 | ||||||||||||||
U.S. Treasury Obligations – 6.9% | ||||||||||||||||
United States Treasury Inflation Protected Securities | ||||||||||||||||
$ | 11,134,023 | 1.875 | % | 07/15/15 | $ | 10,687,883 | ||||||||||
13,714,385 | 2.000 | 01/15/16 | 13,258,491 | |||||||||||||
United States Treasury Principal-Only STRIPS(c)(d) | ||||||||||||||||
30,000,000 | 0.000 | 05/15/11 | 29,942,249 | |||||||||||||
4,900,000 | 0.000 | 02/15/25 | 1,802,465 | |||||||||||||
TOTAL U.S. TREASURY OBLIGATIONS | ||||||||||||||||
(Cost $56,256,288) | $ | 55,691,088 | ||||||||||||||
TOTAL INVESTMENTS BEFORE REPURCHASE AGREEMENT – 95.8% | ||||||||||||||||
(Cost $785,370,820) | $ | 772,710,771 | ||||||||||||||
Repurchase Agreement(e) – 2.4% | ||||||||||||||||
Joint Repurchase Agreement Account II | ||||||||||||||||
$ | 19,300,000 | 4.784 | % | 05/01/06 | $ | 19,300,000 | ||||||||||
Maturity Value: $19,302,565 | ||||||||||||||||
(Cost $19,300,000) | ||||||||||||||||
TOTAL INVESTMENTS – 98.2% | ||||||||||||||||
(Cost $804,670,820) | $ | 792,010,771 | ||||||||||||||
Other Assets in Excess of Liabilities — 1.8% | 14,476,717 | |||||||||||||||
Net Assets — 100.0% | $ | 806,487,488 | ||||||||||||||
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
(a) | Variable rate security. Interest rate disclosed is that which is in effect at April 30, 2006. | |
(b) | Represents security with notional or nominal principal amount. The actual effective yield of this security is different than the stated interest rate due to the amortization of related premiums or accretion of discounts. | |
(c) | Security issued with a zero coupon. Income is recognized through the accretion of discount. | |
(d) | A portion of this security is segregated as collateral for initial margin requirement on futures transactions. | |
(e) | Joint repurchase agreement was entered into on April 28, 2006. Additional information appears on page 75. |
42
Investment Abbreviations: | ||||||
CMOs | — | Collateralized Mortgage Obligations | ||||
FFCB | — | Federal Farm Credit Bank | ||||
FHLB | — | Federal Home Loan Bank | ||||
FHLMC | — | Federal Home Loan Mortgage Corp. | ||||
FNMA | — | Federal National Mortgage Association | ||||
GNMA | — | Government National Mortgage Association | ||||
PAC | — | Planned Amortization Class | ||||
REMIC | — | Real Estate Mortgage Investment Conduit | ||||
STRIPS | — | Separate Trading of Registered Interest and Principal of Securities | ||||
TAC | — | Target Amortization Class | ||||
ADDITIONAL INVESTMENT INFORMATION |
FUTURES CONTRACTS — At April 30, 2006, the following futures contracts were open as follows:
Number of | ||||||||||||||
Contracts | Settlement | Market | Unrealized | |||||||||||
Type | Long (Short) | Month | Value | Gain (Loss) | ||||||||||
Eurodollars | 292 | March 2007 | $ | 69,196,700 | $ | (336,093 | ) | |||||||
Eurodollars | 438 | June 2007 | 103,816,950 | (422,202 | ) | |||||||||
Eurodollars | 88 | December 2007 | 20,857,100 | (53,099 | ) | |||||||||
Eurodollars | 398 | September 2007 | 94,340,925 | (375,344 | ) | |||||||||
2 Year U.S. Treasury Notes | 1823 | June 2006 | 371,407,767 | (460,011 | ) | |||||||||
5 Year U.S. Treasury Notes | (803 | ) | June 2006 | (83,637,469 | ) | 562,769 | ||||||||
10 Year U.S. Treasury Notes | (161 | ) | June 2006 | (16,998,078 | ) | 85,830 | ||||||||
$ | 558,983,895 | $ | (998,150 | ) | ||||||||||
43
Statement of Investments (continued)
ADDITIONAL INVESTMENT INFORMATION (continued) |
SWAP CONTRACTS — At April 30, 2006, the Fund had outstanding swap contracts with the following terms:
INTEREST RATE SWAP CONTRACTS
Rate Type | ||||||||||||||
Notional | Payments | Payments | ||||||||||||
Amount | Termination | received by | made by | Unrealized | ||||||||||
Swap Counterparty | (000s) | Date | the Fund | the Fund | Gain (Loss) | |||||||||
Banc of America Securities LLC(a) | $ | 36,390 | 02/16/2009 | 3 month LIBOR | 5.05% | $ | 176,179 | |||||||
Banc of America Securities LLC(a) | 41,710 | 02/17/2009 | 3 month LIBOR | 5.10% | 163,919 | |||||||||
Banc of America Securities LLC | 55,000 | 02/17/2011 | 3 month LIBOR | 5.09% | 666,975 | |||||||||
Banc of America Securities LLC(a) | 44,870 | 02/17/2014 | 5.14% | 3 month LIBOR | (967,086 | ) | ||||||||
Banc of America Securities LLC(a) | 39,180 | 02/17/2014 | 5.10% | 3 month LIBOR | (930,469 | ) | ||||||||
JP Morgan Securities | 50,000 | 03/07/2016 | 3 month LIBOR | 5.18% | 1,423,438 | |||||||||
Banc of America Securities LLC(a) | 16,520 | 02/15/2022 | 3 month LIBOR | 5.16% | 874,190 | |||||||||
Banc of America Securities LLC(a) | 18,900 | 02/17/2022 | 3 month LIBOR | 5.19% | 945,685 | |||||||||
TOTAL | $ | 2,352,831 | ||||||||||||
(a) | Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur in February 2007. |
LIBOR—London Interbank Offered Rate
44
Statement of Investments
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Mortgage-Backed Obligations – 57.7% | ||||||||||||||||
Adjustable Rate FHLMC(a) – 1.6% | ||||||||||||||||
$ | 9,401,577 | 3.508 | % | 09/01/33 | $ | 9,015,847 | ||||||||||
6,350,342 | 4.583 | 08/01/35 | 6,249,065 | |||||||||||||
15,264,912 | ||||||||||||||||
Adjustable Rate FNMA(a) – 3.6% | ||||||||||||||||
23,132,424 | 5.009 | 11/25/28 | 23,149,695 | |||||||||||||
280,909 | 4.490 | 03/01/33 | 279,789 | |||||||||||||
4,843,653 | 3.854 | 10/01/33 | 4,754,975 | |||||||||||||
7,003,662 | 4.331 | (f) | 01/01/35 | 6,771,813 | ||||||||||||
34,956,272 | ||||||||||||||||
Adjustable Rate GNMA(a) – 1.8% | ||||||||||||||||
279,341 | 4.375 | 06/20/23 | 279,345 | |||||||||||||
134,014 | 4.750 | 07/20/23 | 134,467 | |||||||||||||
139,136 | 4.750 | 08/20/23 | 139,611 | |||||||||||||
360,832 | 4.750 | 09/20/23 | 362,064 | |||||||||||||
107,060 | 4.375 | 03/20/24 | 107,681 | |||||||||||||
976,090 | 4.375 | 04/20/24 | 974,291 | |||||||||||||
129,458 | 4.375 | 05/20/24 | 129,314 | |||||||||||||
987,924 | 4.375 | 06/20/24 | 988,251 | |||||||||||||
523,435 | 4.750 | 07/20/24 | 526,724 | |||||||||||||
730,618 | 4.750 | 08/20/24 | 735,234 | |||||||||||||
250,709 | 4.750 | 09/20/24 | 252,162 | |||||||||||||
281,190 | 5.125 | 11/20/24 | 283,264 | |||||||||||||
243,421 | 5.125 | 12/20/24 | 245,034 | |||||||||||||
205,760 | 4.375 | 01/20/25 | 207,679 | |||||||||||||
108,587 | 4.375 | 02/20/25 | 109,605 | |||||||||||||
345,852 | 4.375 | 05/20/25 | 346,678 | |||||||||||||
218,123 | 4.750 | 07/20/25 | 219,961 | |||||||||||||
157,642 | 4.375 | 02/20/26 | 158,666 | |||||||||||||
6,734 | 4.750 | 07/20/26 | 6,781 | |||||||||||||
192,219 | 4.375 | 01/20/27 | 193,652 | |||||||||||||
217,993 | 4.375 | 01/20/27 | 220,177 | |||||||||||||
149,848 | 4.375 | 02/20/27 | 150,859 | |||||||||||||
1,182,795 | 4.375 | 04/20/27 | 1,183,351 | |||||||||||||
129,454 | 4.375 | 05/20/27 | 129,268 | |||||||||||||
156,389 | 4.375 | 06/20/27 | 156,153 | |||||||||||||
40,667 | 5.125 | 11/20/27 | 40,828 | |||||||||||||
173,067 | 5.125 | 12/20/27 | 173,740 | |||||||||||||
357,155 | 4.375 | 01/20/28 | 360,157 | |||||||||||||
139,705 | 4.250 | 02/20/28 | 140,345 | |||||||||||||
147,491 | 4.375 | 03/20/28 | 148,517 | |||||||||||||
1,106,986 | 4.500 | 07/20/29 | 1,107,492 | |||||||||||||
369,052 | 4.500 | 08/20/29 | 369,234 | |||||||||||||
168,999 | 4.500 | 09/20/29 | 168,965 | |||||||||||||
461,482 | 5.125 | 10/20/29 | 464,435 | |||||||||||||
528,584 | 5.125 | 11/20/29 | 531,820 | |||||||||||||
161,893 | 5.125 | 12/20/29 | 162,913 | |||||||||||||
217,335 | 4.250 | 01/20/30 | 218,211 | |||||||||||||
108,177 | 4.250 | 02/20/30 | 108,619 | |||||||||||||
389,905 | 4.250 | 03/20/30 | 391,500 | |||||||||||||
718,929 | 4.375 | 04/20/30 | 720,454 | |||||||||||||
1,748,365 | 4.375 | 05/20/30 | 1,753,562 | |||||||||||||
170,819 | 4.375 | 06/20/30 | 171,032 | |||||||||||||
1,356,676 | 4.500 | 07/20/30 | 1,362,962 | |||||||||||||
177,282 | 4.500 | 09/20/30 | 178,121 | |||||||||||||
403,465 | 4.875 | 10/20/30 | 403,398 | |||||||||||||
17,216,577 | ||||||||||||||||
Adjustable Rate Non-Agency(a) – 12.3% | ||||||||||||||||
Bear Stearns Adjustable Rate Mortgage Trust Series 2003-5, Class 1A1 | ||||||||||||||||
186,119 | 4.384 | 08/25/33 | 186,779 | |||||||||||||
Countrywide Alternative Loan Trust Series 2005-59, Class 1A1 | ||||||||||||||||
5,389,443 | 5.253 | 11/20/35 | 5,421,981 | |||||||||||||
Countrywide Home Loans Series 2003-37, Class 1A1 | ||||||||||||||||
273,621 | 3.896 | 08/25/33 | 276,769 | |||||||||||||
CS First Boston Mortgage Securities Corp. Series 2003-AR9, Class 2A2 | ||||||||||||||||
630,767 | 5.100 | 03/25/33 | 626,642 | |||||||||||||
Harborview Mortgage Loan Trust Series 2005-10, Class 2A1A | ||||||||||||||||
1,933,652 | 5.220 | 11/19/35 | 1,938,694 | |||||||||||||
Harborview Mortgage Loan Trust Series 2005-16, Class 2A1A | ||||||||||||||||
2,495,775 | 5.015 | 01/19/36 | 2,501,993 | |||||||||||||
Harborview Mortgage Loan Trust Series 2005-16, Class 3A1A | ||||||||||||||||
9,913,740 | 5.160 | 01/19/36 | 9,906,493 | |||||||||||||
Master Adjustable Rate Mortgages Trust Series 2004-9, Class 2A1 | ||||||||||||||||
868,096 | 5.339 | 11/25/34 | 871,153 | |||||||||||||
MLCC Mortgage Investors, Inc. Series 2004-E, Class A2B | ||||||||||||||||
4,587,542 | 5.439 | 11/25/29 | 4,588,498 | |||||||||||||
Sequoia Mortgage Trust Series 2004-09, Class A2 | ||||||||||||||||
2,812,348 | 5.416 | 10/20/34 | 2,817,685 | |||||||||||||
Structured Adjustable Rate Mortgage Loan Series 2004-1, Class 3A3 | ||||||||||||||||
301,434 | 4.655 | 02/25/34 | 308,025 | |||||||||||||
Structured Adjustable Rate Mortgage Loan Series 2004-5, Class 1A | ||||||||||||||||
2,712,355 | 4.433 | 05/25/34 | 2,674,688 | |||||||||||||
Structured Asset Mortgage Investments, Inc. Series 2006-AR1, Class 3A1 | ||||||||||||||||
9,930,083 | 5.189 | 02/25/36 | 9,976,631 | |||||||||||||
Structured Asset Securities Corp. Series 2003-24A, Class 1A3 | ||||||||||||||||
1,306,409 | 5.000 | 07/25/33 | 1,289,906 | |||||||||||||
Structured Asset Securities Corp. Series 2003-34A, Class 3A3 | ||||||||||||||||
2,040,879 | 4.700 | 11/25/33 | 2,041,342 | |||||||||||||
Washington Mutual Series 2005-AR11, Class A1A | ||||||||||||||||
6,238,809 | 5.279 | 08/25/45 | 6,254,872 | |||||||||||||
Washington Mutual Series 2005-AR13, Class A1A1 | ||||||||||||||||
9,212,405 | 5.249 | 10/25/45 | 9,264,475 | |||||||||||||
Washington Mutual Series 2005-AR15, Class A1A1 | ||||||||||||||||
10,566,136 | 5.219 | 11/25/45 | 10,590,944 | |||||||||||||
Washington Mutual Series 2005-AR19, Class A1A1 | ||||||||||||||||
8,697,776 | 5.229 | 12/25/45 | 8,712,019 | |||||||||||||
Washington Mutual Series 2005-AR8, Class 2A1A | ||||||||||||||||
9,671,375 | 5.249 | 07/25/45 | 9,700,873 | |||||||||||||
Wells Fargo Mortgage Backed Securities Trust Series 2005-AR16, Class 1A1 | ||||||||||||||||
6,665,731 | 4.978 | 10/25/35 | 6,632,138 | |||||||||||||
Wells Fargo Mortgage Backed Securities Trust Series 2005-AR16, Class 6A3 | ||||||||||||||||
9,219,320 | 4.999 | 10/25/35 | 9,073,168 |
45
Statement of Investments (continued)
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Mortgage-Backed Obligations – (continued) | ||||||||||||||||
Adjustable Rate Non-Agency(a) – (continued) | ||||||||||||||||
Wells Fargo Mortgage Backed Securities Trust Series 2006-AR2, Class 2A3 | ||||||||||||||||
$ | 13,747,580 | 5.094 | % | 03/25/36 | $ | 13,562,222 | ||||||||||
119,217,990 | ||||||||||||||||
CMBS – 4.4% | ||||||||||||||||
Interest Only(a)(b) – 0.4% | ||||||||||||||||
Bear Stearns Commercial Mortgage Securities, Inc. Series 2003-T10, Class X2(c) | ||||||||||||||||
19,672,042 | 1.434 | 03/13/40 | 887,601 | |||||||||||||
CS First Boston Mortgage Securities Corp. Series 2003-C3, Class ASP(c) | ||||||||||||||||
13,476,559 | 1.818 | 05/15/38 | 667,173 | |||||||||||||
JP Morgan Chase Commercial Mortgage Securities Corp. Series 2004-C1, Class X2(c) | ||||||||||||||||
21,988,469 | 1.174 | 01/15/38 | 778,996 | |||||||||||||
Prudential Commercial Mortgage Trust Series 2003-PWR1, Class X2(c) | ||||||||||||||||
23,010,567 | 1.480 | 02/11/36 | 1,204,994 | |||||||||||||
3,538,764 | ||||||||||||||||
Sequential Fixed Rate – 4.0% | ||||||||||||||||
Banc of America Commercial Mortgage, Inc. Series 2005-6, Class A4 | ||||||||||||||||
10,000,000 | 5.182 | 09/10/47 | 9,656,448 | |||||||||||||
Citigroup/Deutsche Bank Commercial Mortgage Trust | ||||||||||||||||
10,000,000 | 5.400 | 07/15/44 | 9,702,138 | |||||||||||||
CS First Boston Mortgage Securities Corp. Series 1997-C2, Class A3 | ||||||||||||||||
597,387 | 6.550 | 01/17/35 | 606,088 | |||||||||||||
First Union National Bank Commercial Mortgage Trust Series 2000-C2, Class A2 | ||||||||||||||||
9,500,000 | 7.202 | 10/15/32 | 10,067,076 | |||||||||||||
GMAC Commercial Mortgage Securities Inc. Series 2002-C1, Class A2 | ||||||||||||||||
8,000,000 | 6.278 | 11/15/39 | 8,253,731 | |||||||||||||
38,285,481 | ||||||||||||||||
TOTAL CMBS | $ | 41,824,245 | ||||||||||||||
CMOs – 2.3% | ||||||||||||||||
Interest Only(b) – 0.1% | ||||||||||||||||
Countrywide Home Loan Trust Series 2003-42, Class 2X1(a) | ||||||||||||||||
1,077,693 | 0.370 | 10/25/33 | 6,707 | |||||||||||||
CS First Boston Mortgage Securities Corp. Series 2003-11, Class 1A2 | ||||||||||||||||
193,053 | 5.500 | 06/25/33 | 12,720 | |||||||||||||
CS First Boston Mortgage Securities Corp. Series 2003-AR18, Class 2X(a) | ||||||||||||||||
324,066 | 0.782 | 07/25/33 | 3,013 | |||||||||||||
CS First Boston Mortgage Securities Corp. Series 2003-AR20, Class 2X(a) | ||||||||||||||||
367,207 | 0.605 | 08/25/33 | 3,067 | |||||||||||||
FNMA Series 151, Class 2 | ||||||||||||||||
33,182 | 9.500 | 07/25/22 | 9,198 | |||||||||||||
FNMA Series 2004-47, Class EI(a)(d) | ||||||||||||||||
4,140,584 | 0.000 | 06/25/34 | 194,090 | |||||||||||||
FNMA Series 2004-62, Class DI(a)(d) | ||||||||||||||||
1,809,664 | 0.000 | 07/25/33 | 91,049 | |||||||||||||
FNMA Series 2004-71, Class DI(a)(d) | ||||||||||||||||
3,009,901 | 0.000 | 04/25/34 | 167,388 | |||||||||||||
Master Adjustable Rate Mortgages Trust Series 2003-2, Class 3AX(a) | ||||||||||||||||
118,182 | 0.679 | 08/25/33 | 1,581 | |||||||||||||
Master Adjustable Rate Mortgages Trust Series 2003-2, Class 4AX(a) | ||||||||||||||||
42,436 | 1.158 | 07/25/33 | 836 | |||||||||||||
Washington Mutual Series 2003-AR04, Class X1(a) | ||||||||||||||||
2,609,353 | 1.181 | 01/25/08 | 38,768 | |||||||||||||
Washington Mutual Series 2003-AR07, Class X(a) | ||||||||||||||||
1,475,832 | 0.943 | 06/25/08 | 19,518 | |||||||||||||
Washington Mutual Series 2003-AR12, Class X(a) | ||||||||||||||||
6,730,621 | 0.489 | 02/25/34 | 54,250 | |||||||||||||
602,185 | ||||||||||||||||
Inverse Floaters(a) – 0.1% | ||||||||||||||||
FHLMC Series 1760, Class ZB | ||||||||||||||||
317,271 | 4.090 | 05/15/24 | 308,871 | |||||||||||||
GNMA Series 2001-48, Class SA | ||||||||||||||||
109,149 | 10.530 | 10/16/31 | 117,443 | |||||||||||||
GNMA Series 2001-51, Class SA | ||||||||||||||||
86,564 | 11.223 | 10/16/31 | 94,606 | |||||||||||||
GNMA Series 2001-51, Class SB | ||||||||||||||||
108,630 | 10.530 | 10/16/31 | 117,248 | |||||||||||||
GNMA Series 2001-59, Class SA | ||||||||||||||||
91,987 | 10.368 | 11/16/24 | 98,858 | |||||||||||||
GNMA Series 2002-13, Class SB | ||||||||||||||||
376,673 | 14.653 | 02/16/32 | 447,073 | |||||||||||||
1,184,099 | ||||||||||||||||
PAC – 0.2% | ||||||||||||||||
FHLMC Series 2590, Class NV | ||||||||||||||||
2,000,000 | 5.000 | 03/15/18 | 1,919,518 | |||||||||||||
Principal Only(d) – 0.8% | ||||||||||||||||
FHLMC Series 235, Class PO | ||||||||||||||||
4,942,744 | 0.000 | 02/01/36 | 3,415,127 | |||||||||||||
FNMA REMIC Trust Series G-35, Class N | ||||||||||||||||
28,339 | 0.000 | 10/25/21 | 23,410 | |||||||||||||
FNMA Series 363, Class 1 | ||||||||||||||||
5,410,977 | 0.000 | 11/01/35 | 3,774,701 | |||||||||||||
7,213,238 | ||||||||||||||||
Sequential Fixed Rate – 1.1% | ||||||||||||||||
FHLMC Series 2329, Class ZA | ||||||||||||||||
6,111,108 | 6.500 | 06/15/31 | 6,248,743 | |||||||||||||
FNMA REMIC Trust Series 1993-78, Class H | ||||||||||||||||
51,914 | 6.500 | 06/25/08 | 52,223 | |||||||||||||
FNMA REMIC Trust Series 1994-42, Class ZQ | ||||||||||||||||
3,585,159 | 7.000 | 04/25/24 | 3,695,091 |
46
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Mortgage-Backed Obligations – (continued) | ||||||||||||||||
Sequential Fixed Rate – (continued) | ||||||||||||||||
FNMA Series 2001-53, Class GH | ||||||||||||||||
$ | 912,726 | 8.000 | % | 09/25/16 | $ | 958,940 | ||||||||||
10,954,997 | ||||||||||||||||
TOTAL CMOs | $ | 21,874,037 | ||||||||||||||
FHLMC – 8.2% | ||||||||||||||||
2,300,751 | 5.500 | 12/01/08 | 2,297,577 | |||||||||||||
206,296 | 7.000 | 06/01/09 | 209,697 | |||||||||||||
1,529,644 | 6.500 | 12/01/13 | 1,556,218 | |||||||||||||
40,303 | 6.500 | 02/01/14 | 41,004 | |||||||||||||
5,837,524 | 7.500 | 11/01/14 | 6,112,736 | |||||||||||||
23,735 | 7.000 | 02/01/15 | 24,424 | |||||||||||||
2,702,539 | 5.500 | 07/01/15 | 2,685,016 | |||||||||||||
265,798 | 8.000 | 07/01/15 | 280,902 | |||||||||||||
36,773 | 7.000 | 01/01/16 | 37,830 | |||||||||||||
91,712 | 7.000 | 02/01/16 | 94,348 | |||||||||||||
610,717 | 4.500 | 04/01/18 | 582,290 | |||||||||||||
605,379 | 5.000 | 04/01/18 | 589,883 | |||||||||||||
3,913,272 | 4.500 | 05/01/18 | 3,732,193 | |||||||||||||
595,363 | 5.500 | 05/01/18 | 591,124 | |||||||||||||
527,481 | 4.500 | 06/01/18 | 502,928 | |||||||||||||
3,454,708 | 5.500 | 06/01/18 | 3,430,108 | |||||||||||||
87,612 | 5.000 | 07/01/18 | 85,348 | |||||||||||||
8,157,990 | 4.500 | 08/01/18 | 7,778,717 | |||||||||||||
806,108 | 5.000 | 10/01/18 | 785,308 | |||||||||||||
123,891 | 5.000 | 11/01/18 | 120,689 | |||||||||||||
38,310 | 5.000 | 12/01/18 | 37,320 | |||||||||||||
1,390,954 | 4.500 | 01/01/19 | 1,326,208 | |||||||||||||
8,106,999 | 4.500 | 02/01/19 | 7,730,097 | |||||||||||||
65,254 | 5.000 | 04/01/19 | 63,515 | |||||||||||||
231,881 | 5.000 | 07/01/19 | 225,702 | |||||||||||||
7,463,405 | 5.000 | 11/01/19 | 7,270,539 | |||||||||||||
34,125 | 6.500 | 08/01/22 | 34,731 | |||||||||||||
1,940,193 | 4.500 | 10/01/23 | 1,810,918 | |||||||||||||
7,682,776 | 5.500 | 11/01/23 | 7,535,757 | |||||||||||||
23,180 | 7.500 | 03/01/27 | 24,121 | |||||||||||||
1,336,627 | 6.500 | 07/01/28 | 1,359,623 | |||||||||||||
7,071,299 | 6.500 | 12/01/29 | 7,220,728 | |||||||||||||
26,907 | 8.000 | 07/01/30 | 28,769 | |||||||||||||
58,956 | 7.500 | 12/01/30 | 61,253 | |||||||||||||
6,205 | 7.500 | 01/01/31 | 6,446 | |||||||||||||
562,419 | 7.000 | 04/01/31 | 578,505 | |||||||||||||
331,225 | 6.500 | 07/01/31 | 338,225 | |||||||||||||
2,079,272 | 6.000 | 05/01/33 | 2,075,924 | |||||||||||||
5,545,557 | 6.500 | 12/01/33 | 5,636,866 | |||||||||||||
1,552,396 | 6.500 | 03/01/34 | 1,577,957 | |||||||||||||
3,000,000 | 5.000 | (e) | TBA-15yr | 2,915,625 | ||||||||||||
79,397,169 | ||||||||||||||||
FNMA – 23.5% | ||||||||||||||||
5,487,443 | 6.311 | 12/01/08 | 5,550,308 | |||||||||||||
869,148 | 5.500 | 05/01/09 | 863,768 | |||||||||||||
676,495 | 4.500 | 03/01/13 | 657,316 | |||||||||||||
301,507 | 4.500 | 05/01/13 | 292,770 | |||||||||||||
390,533 | 4.000 | 06/01/13 | 373,273 | |||||||||||||
630,204 | 4.500 | 06/01/13 | 611,736 | |||||||||||||
521,125 | 4.000 | 07/01/13 | 497,882 | |||||||||||||
654,329 | 4.500 | 07/01/13 | 634,930 | |||||||||||||
721,931 | 4.000 | 08/01/13 | 689,481 | |||||||||||||
307,559 | 4.500 | 08/01/13 | 298,344 | |||||||||||||
1,055,416 | 4.000 | 09/01/13 | 1,007,596 | |||||||||||||
1,280,874 | 4.500 | 09/01/13 | 1,242,189 | |||||||||||||
2,134,391 | 4.000 | 10/01/13 | 2,036,789 | |||||||||||||
1,035,223 | 4.000 | 04/01/14 | 985,391 | |||||||||||||
5,178,668 | 5.500 | 09/01/14 | 5,152,389 | |||||||||||||
153,224 | 7.000 | 03/01/15 | 156,567 | |||||||||||||
52,430 | 8.000 | 01/01/16 | 55,557 | |||||||||||||
834,794 | 5.000 | 11/01/17 | 814,626 | |||||||||||||
27,793,355 | 5.000 | 12/01/17 | 27,121,916 | |||||||||||||
5,086,416 | 5.000 | 01/01/18 | 4,963,538 | |||||||||||||
6,307,056 | 5.000 | 02/01/18 | 6,154,538 | |||||||||||||
5,543,505 | 5.000 | 03/01/18 | 5,408,231 | |||||||||||||
333,066 | 4.500 | 04/01/18 | 317,856 | |||||||||||||
2,030,361 | 5.000 | 04/01/18 | 1,980,816 | |||||||||||||
729,669 | 5.000 | 05/01/18 | 711,863 | |||||||||||||
1,640,672 | 4.500 | 06/01/18 | 1,565,751 | |||||||||||||
3,504,762 | 5.000 | 06/01/18 | 3,419,287 | |||||||||||||
151,586 | 5.000 | 07/01/18 | 147,887 | |||||||||||||
139,346 | 5.000 | 08/01/18 | 135,946 | |||||||||||||
1,937,953 | 5.000 | 09/01/18 | 1,892,023 | |||||||||||||
9,945,289 | 5.000 | 10/01/18 | 9,709,578 | |||||||||||||
4,744,117 | 5.000 | 11/01/18 | 4,628,350 | |||||||||||||
3,795,771 | 5.000 | 04/01/19 | 3,703,145 | |||||||||||||
6,812,140 | 4.500 | 10/01/23 | 6,323,668 | |||||||||||||
63,776 | 6.500 | 10/01/28 | 65,194 | |||||||||||||
67,152 | 6.500 | 11/01/28 | 68,646 | |||||||||||||
27,592 | 7.500 | 07/01/29 | 28,702 | |||||||||||||
1,877 | 7.500 | 08/01/29 | 1,952 | |||||||||||||
13,400 | 7.500 | 10/01/29 | 13,939 | |||||||||||||
133 | 7.500 | 01/01/30 | 138 | |||||||||||||
4,572 | 7.500 | 02/01/30 | 4,750 | |||||||||||||
1,063,393 | 7.000 | 07/01/31 | 1,093,310 | |||||||||||||
16,247 | 6.500 | 01/01/34 | 16,575 | |||||||||||||
17,000,000 | 4.500 | (e) | TBA-15yr | 16,181,875 | ||||||||||||
113,000,000 | 5.000 | (e) | TBA-15yr | 109,998,494 | ||||||||||||
227,578,880 | ||||||||||||||||
TOTAL MORTGAGE-BACKED OBLIGATIONS | ||||||||||||||||
(Cost $564,659,356) | $ | 557,330,082 | ||||||||||||||
Agency Debentures – 19.0% | ||||||||||||||||
FFCB | ||||||||||||||||
$ | 3,000,000 | 6.600 | % | 07/07/06 | $ | 3,007,593 | ||||||||||
6,838,000 | 4.100 | 07/21/08 | 6,687,954 | |||||||||||||
10,000,000 | 4.200 | 02/23/09 | 9,751,130 | |||||||||||||
11,000,000 | 4.450 | 06/11/09 | 10,774,621 | |||||||||||||
7,000,000 | 7.375 | 02/09/10 | 7,523,831 | |||||||||||||
9,000,000 | 4.750 | 11/06/12 | 8,742,753 |
47
Statement of Investments (continued)
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Agency Debentures – (continued) | ||||||||||||||||
FHLB | ||||||||||||||||
$ | 5,000,000 | 3.000 | % | 05/15/06 | $ | 4,995,670 | ||||||||||
2,700,000 | 5.375 | 05/15/06 | 2,700,092 | |||||||||||||
4,510,000 | 2.100 | 10/13/06 | 4,448,384 | |||||||||||||
1,000,000 | 5.680 | (f) | 12/30/07 | 1,007,318 | ||||||||||||
2,000,000 | 3.375 | 02/15/08 | 1,939,110 | |||||||||||||
15,560,000 | 4.100 | 06/13/08 | 15,233,645 | |||||||||||||
3,900,000 | 3.500 | 02/13/09 | 3,728,698 | |||||||||||||
1,500,000 | 7.625 | 05/14/10 | 1,623,977 | |||||||||||||
8,400,000 | 4.500 | 09/14/12 | 8,023,756 | |||||||||||||
FHLMC | ||||||||||||||||
29,811,000 | 4.500 | 04/18/07 | 29,585,480 | |||||||||||||
10,390,000 | 4.250 | 06/23/08 | 10,203,728 | |||||||||||||
11,000,000 | 4.480 | 09/19/08 | 10,823,425 | |||||||||||||
FNMA | ||||||||||||||||
7,000,000 | 3.250 | 06/28/06 | 6,978,370 | |||||||||||||
8,000,000 | 6.160 | 12/18/07 | 8,124,032 | |||||||||||||
6,500,000 | 3.125 | 03/16/09 | 6,143,852 | |||||||||||||
5,000,000 | 6.625 | 09/15/09 | 5,218,774 | |||||||||||||
1,200,000 | 6.000 | 05/15/11 | 1,237,175 | |||||||||||||
3,500,000 | 4.750 | 02/21/13 | 3,350,351 | |||||||||||||
New Valley Generation II | ||||||||||||||||
3,533,005 | 5.572 | 05/01/20 | 3,443,151 | |||||||||||||
Small Business Administration | ||||||||||||||||
635,896 | 6.700 | 12/01/16 | 652,603 | |||||||||||||
502,301 | 7.150 | 03/01/17 | 520,527 | |||||||||||||
362,944 | 7.500 | 04/01/17 | 378,786 | |||||||||||||
212,587 | 7.300 | 05/01/17 | 220,897 | |||||||||||||
154,742 | 6.800 | 08/01/17 | 159,475 | |||||||||||||
427,646 | 6.300 | 05/01/18 | 436,774 | |||||||||||||
395,044 | 6.300 | 06/01/18 | 403,546 | |||||||||||||
Tennessee Valley Authority(f) | ||||||||||||||||
6,000,000 | 4.875 | 12/15/06 | 5,999,274 | |||||||||||||
TOTAL AGENCY DEBENTURES | ||||||||||||||||
(Cost $187,098,931) | $ | 184,068,752 | ||||||||||||||
Asset-Backed Securities – 4.1% | ||||||||||||||||
Home Equity(a) – 4.0% | ||||||||||||||||
Carrington Mortgage Loan Trust Series 2005-OPT2, Class A1B | ||||||||||||||||
$ | 3,000,000 | 5.109 | % | 05/25/35 | $ | 3,001,407 | ||||||||||
Citigroup Mortgage Loan Trust, Inc. Series 2004-OPT1, Class A2 | ||||||||||||||||
2,894,894 | 5.319 | 10/25/34 | 2,895,361 | |||||||||||||
Countrywide Alternative Loan Trust Series 2005-38, Class A3 | ||||||||||||||||
6,783,761 | 5.309 | 09/25/35 | 6,821,843 | |||||||||||||
Countrywide Alternative Loan Trust Series 2005-62, Class 1A1 | ||||||||||||||||
7,827,444 | 5.259 | 12/25/35 | 7,862,358 | |||||||||||||
Countrywide Home Equity Loan Trust Series 2004-I, Class A | ||||||||||||||||
2,101,972 | 5.191 | 02/15/34 | 2,107,555 | |||||||||||||
Countrywide Home Equity Loan Trust Series 2004-Q, Class 2A | ||||||||||||||||
2,442,210 | 5.201 | 12/15/33 | 2,449,100 | |||||||||||||
Countrywide Home Equity Loan Trust Series 2005-B, Class 2A | ||||||||||||||||
2,626,531 | 5.081 | 05/15/35 | 2,628,173 | |||||||||||||
Impac CMB Trust Series 2004-8, Class 1A | ||||||||||||||||
1,939,936 | 5.319 | 10/25/34 | 1,948,804 | |||||||||||||
Master Asset Backed Securities Trust Series 2005-WMC1, Class A4 | ||||||||||||||||
6,000,000 | 5.149 | 03/25/35 | 6,003,036 | |||||||||||||
Popular ABS Mortgage Pass-Through Trust Series 2004-5, Class AV2 | ||||||||||||||||
1,628,860 | 5.299 | 12/25/34 | 1,634,714 | |||||||||||||
Securitized Asset Backed Receivables LLC Trust Series 2004-OP2, Class A2 | ||||||||||||||||
1,094,468 | 5.309 | 08/25/34 | 1,097,214 | |||||||||||||
38,449,565 | ||||||||||||||||
Lease – 0.1% | ||||||||||||||||
CPS Auto Trust Series 2002-A, Class A2 | ||||||||||||||||
741,764 | 4.814 | 12/15/08 | 739,910 | |||||||||||||
Manufactured Housing – 0.0% | ||||||||||||||||
Mid-State Trust Series 4, Class A | ||||||||||||||||
324,992 | 8.330 | 04/01/30 | 342,572 | |||||||||||||
TOTAL ASSET-BACKED SECURITIES | ||||||||||||||||
(Cost $39,426,085) | $ | 39,532,047 | ||||||||||||||
U.S. Treasury Obligations – 19.1% | ||||||||||||||||
United States Treasury Bonds | ||||||||||||||||
$ | 4,000,000 | 3.875 | % | 05/15/09 | $ | 3,886,876 | ||||||||||
26,900,000 | 4.750 | 03/31/11 | 26,687,732 | |||||||||||||
United States Treasury Inflation Protected Securities | ||||||||||||||||
12,359,787 | 1.875 | 07/15/15 | 11,864,530 | |||||||||||||
19,120,055 | 2.000 | 01/15/16 | 18,484,466 | |||||||||||||
United States Treasury Interest-Only STRIPS(b)(d) | ||||||||||||||||
4,000,000 | 0.000 | 08/15/13 | 2,777,920 | |||||||||||||
United States Treasury Notes | ||||||||||||||||
21,300,000 | 4.375 | 12/31/07 | 21,122,784 | |||||||||||||
38,000,000 | 4.375 | 11/15/08 | 37,540,960 | |||||||||||||
8,600,000 | 4.500 | 02/15/16 | 8,225,092 | |||||||||||||
United States Treasury Principal-Only STRIPS(d) | ||||||||||||||||
38,000,000 | 0.000 | 02/15/19 | �� | 19,415,340 | ||||||||||||
21,300,000 | 0.000 | 05/15/20 | 10,123,251 | |||||||||||||
12,000,000 | 0.000 | 08/15/20 | 5,619,948 | |||||||||||||
30,150,000 | 0.000 | 11/15/21 | 13,182,183 | |||||||||||||
6,100,000 | 0.000 | 11/15/22 | 2,529,548 | |||||||||||||
7,500,000 | 0.000 | 11/15/24 | 2,792,895 | |||||||||||||
TOTAL U.S. TREASURY OBLIGATIONS | ||||||||||||||||
(Cost $189,238,419) | $ | 184,253,525 | ||||||||||||||
Insured Revenue Bonds – 0.8% | ||||||||||||||||
New Jersey Economic Development Authority Series A | ||||||||||||||||
$ | 2,000,000 | 7.425 | % | 02/15/29 | $ | 2,359,280 |
48
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Insured Revenue Bonds – (continued) | ||||||||||||||||
Sales Tax Asset Receivable Taxable Series B | ||||||||||||||||
$ | 5,500,000 | 3.600 | % | 10/15/08 | $ | 5,288,910 | ||||||||||
TOTAL INSURED REVENUE BONDS | ||||||||||||||||
(Cost $7,500,000) | $ | 7,648,190 | ||||||||||||||
TOTAL INVESTMENTS BEFORE REPURCHASE AGREEMENT – 100.7% | ||||||||||||||||
(Cost $987,922,791) | $ | 972,832,596 | ||||||||||||||
Repurchase Agreement(g) – 12.7% | ||||||||||||||||
Joint Repurchase Agreement Account II | ||||||||||||||||
$ | 123,000,000 | 4.784 | % | 05/01/06 | $ | 123,000,000 | ||||||||||
Maturity Value: $123,016,345 | ||||||||||||||||
(Cost $123,000,000) | ||||||||||||||||
TOTAL INVESTMENTS – 113.4% | ||||||||||||||||
(Cost $1,110,922,791) | $ | 1,095,832,596 | ||||||||||||||
Liabilities in Excess of Other Assets — (13.4)% | (129,818,899 | ) | ||||||||||||||
Net Assets — 100.0% | $ | 966,013,697 | ||||||||||||||
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
(a) | Variable rate security. Interest rate disclosed is that which is in effect at April 30, 2006. | |
(b) | Represents security with notional or nominal principal amount. The actual effective yield of this security is different than the stated interest rate due to the amortization of related premiums or accretion of discounts. | |
(c) | Securities are exempt from registration under Rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the Investment Adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $3,791,137, which represents approximately 0.4% of net assets as of April 30, 2006. | |
(d) | Security issued with a zero coupon. Income is recognized through the accretion of discount. | |
(e) | TBA (To Be Announced) Securities are purchased on a forward commitment basis with an approximate principal amount and no defined maturity date. The actual principal and maturity date will be determined upon settlement when the specific mortgage pools are assigned. Total market value of TBA securities amounts to $129,095,994 which represents approximately 13.4% of net assets as of April 30, 2006. | |
(f) | Securities with “Put” features with resetting interest rates. Maturity dates disclosed are the next interest reset dates. | |
(g) | Joint repurchase agreement was entered into on April 28, 2006. Additional information appears on page 75. |
Investment Abbreviations: | ||||||
CMBS | — | Commercial Mortgage Backed Securities | ||||
CMOs | — | Collateralized Mortgage Obligations | ||||
FFCB | — | Federal Farm Credit Bank | ||||
FHLB | — | Federal Home Loan Bank | ||||
FHLMC | — | Federal Home Loan Mortgage Corp. | ||||
FNMA | — | Federal National Mortgage Association | ||||
GNMA | — | Government National Mortgage Association | ||||
PAC | — | Planned Amortization Class | ||||
REMIC | — | Real Estate Mortgage Investment Conduit | ||||
STRIPS | — | Separate Trading of Registered Interest and Principal of Securities | ||||
ADDITIONAL INVESTMENT INFORMATION |
FUTURES CONTRACTS — At April 30, 2006, the following futures contracts were open as follows:
Number of | ||||||||||||||||
Contracts | Settlement | Unrealized | ||||||||||||||
Type | Long (Short) | Month | Market Value | Gain (Loss) | ||||||||||||
Eurodollars | 265 | June 2006 | $ | 62,811,625 | $ | (227,064 | ) | |||||||||
Eurodollars | 78 | December 2006 | 18,477,225 | (197,277 | ) | |||||||||||
U.S. Treasury Bonds | 662 | June 2006 | 70,730,563 | (3,491,774 | ) | |||||||||||
2 Year U.S. Treasury Notes | 916 | June 2006 | 186,620,688 | (359,852 | ) | |||||||||||
5 Year U.S. Treasury Notes | (751 | ) | June 2006 | (78,221,344 | ) | 272,892 | ||||||||||
10 Year U.S. Treasury Notes | 312 | June 2006 | 32,940,375 | (481,249 | ) | |||||||||||
$ | 293,359,132 | $ | (4,484,324 | ) | ||||||||||||
49
Statement of Investments (continued)
ADDITIONAL INVESTMENT INFORMATION (continued) |
SWAP CONTRACTS — At April 30, 2006, the Fund had outstanding swap contracts with the following terms:
INTEREST RATE SWAP CONTRACTS
Rate Type | ||||||||||||||
Notional | Payments | Payments | ||||||||||||
Amount | Termination | received by | made by | Unrealized | ||||||||||
Swap Counterparty | (000s) | Date | the Fund | the Fund | Gain(Loss) | |||||||||
Banc of America Securities LLC | $ | 20,000 | 12/25/2006 | 3.43% | 3 month LIBOR | $ | (101,821 | ) | ||||||
Banc of America Securities LLC | 30,000 | 04/07/2008 | 4.34% | 3 month LIBOR | (539,701 | ) | ||||||||
Banc of America Securities LLC(a) | 41,110 | 02/16/2009 | 3 month LIBOR | 5.05% | 199,030 | |||||||||
Banc of America Securities LLC(a) | 47,220 | 02/17/2009 | 3 month LIBOR | 5.10% | 185,573 | |||||||||
Banc of America Securities LLC | 35,000 | 09/02/2010 | 4.31% | 3 month LIBOR | (1,458,164 | ) | ||||||||
Banc of America Securities LLC | 25,000 | 10/06/2010 | 4.70% | 3 month LIBOR | (665,740 | ) | ||||||||
Banc of America Securities LLC(a) | 50,790 | 02/17/2014 | 5.14% | 3 month LIBOR | (1,094,681 | ) | ||||||||
Banc of America Securities LLC(a) | 44,270 | 02/17/2014 | 5.10% | 3 month LIBOR | (1,051,350 | ) | ||||||||
Banc of America Securities LLC | 30,000 | 12/09/2014 | 4.64% | 3 month LIBOR | (1,469,684 | ) | ||||||||
Banc of America Securities LLC | 9,000 | 05/25/2015 | 4.53% | 3 month LIBOR | (544,426 | ) | ||||||||
JP Morgan Securities | 30,000 | 03/07/2016 | 3 month LIBOR | 5.18% | 850,811 | |||||||||
Banc of America Securities LLC | 43,000 | 11/02/2019 | 3 month LIBOR | 4.87% | 2,606,325 | |||||||||
Banc of America Securities LLC | 35,000 | 11/12/2019 | 3 month LIBOR | 5.07% | 1,421,801 | |||||||||
Banc of America Securities LLC(a) | 18,660 | 02/15/2022 | 3 month LIBOR | 5.16% | 987,433 | |||||||||
Banc of America Securities LLC(a) | 21,390 | 02/17/2022 | 3 month LIBOR | 5.19% | 1,070,276 | |||||||||
Banc of America Securities LLC | 13,200 | 04/09/2035 | 5.27% | 3 month LIBOR | (844,602 | ) | ||||||||
TOTAL | $ | (448,920 | ) | |||||||||||
(a) | Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur in February 2007. |
LIBOR—London Interbank Offered Rate
50
Statement of Investments
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Mortgage-Backed Obligations – 104.7% | ||||||||||||||||
Adjustable Rate FHLMC(a) – 0.2% | ||||||||||||||||
$ | 1,165,189 | 4.254 | % | 04/01/33 | $ | 1,140,299 | ||||||||||
Adjustable Rate FNMA(a) – 3.6% | ||||||||||||||||
48,401 | 4.440 | 07/01/22 | 48,665 | |||||||||||||
67,612 | 4.597 | 07/01/27 | 67,809 | |||||||||||||
113,752 | 4.597 | 11/01/27 | 114,083 | |||||||||||||
26,974 | 4.597 | 01/01/31 | 27,091 | |||||||||||||
31,804 | 4.597 | 06/01/32 | 31,935 | |||||||||||||
52,764 | 4.440 | 08/01/32 | 52,840 | |||||||||||||
129,092 | 4.440 | 05/01/33 | 129,299 | |||||||||||||
4,572,350 | 4.478 | 05/01/33 | 4,497,986 | |||||||||||||
864,545 | 4.853 | 06/01/33 | 857,659 | |||||||||||||
2,906,192 | 3.854 | 10/01/33 | 2,852,985 | |||||||||||||
1,116,035 | 4.381 | 12/01/33 | 1,098,252 | |||||||||||||
1,729,525 | 4.575 | 08/01/34 | 1,708,316 | |||||||||||||
6,706,736 | 4.581 | 02/01/35 | 6,506,297 | |||||||||||||
55,752 | 4.597 | 11/01/35 | 55,968 | |||||||||||||
242,911 | 4.597 | 12/01/37 | 243,867 | |||||||||||||
111,776 | 4.597 | 01/01/38 | 112,220 | |||||||||||||
97,608 | 4.597 | 11/01/40 | 98,000 | |||||||||||||
18,503,272 | ||||||||||||||||
Adjustable Rate GNMA(a) – 1.6% | ||||||||||||||||
120,625 | 4.375 | 06/20/23 | 120,626 | |||||||||||||
59,562 | 4.750 | 07/20/23 | 59,763 | |||||||||||||
61,838 | 4.750 | 08/20/23 | 62,049 | |||||||||||||
160,370 | 4.750 | 09/20/23 | 160,917 | |||||||||||||
46,230 | 4.375 | 03/20/24 | 46,499 | |||||||||||||
421,493 | 4.375 | 04/20/24 | 420,716 | |||||||||||||
55,902 | 4.375 | 05/20/24 | 55,840 | |||||||||||||
426,604 | 4.375 | 06/20/24 | 426,744 | |||||||||||||
232,638 | 4.750 | 07/20/24 | 234,099 | |||||||||||||
324,719 | 4.750 | 08/20/24 | 326,771 | |||||||||||||
111,426 | 4.750 | 09/20/24 | 112,072 | |||||||||||||
121,423 | 5.125 | 11/20/24 | 122,318 | |||||||||||||
105,113 | 5.125 | 12/20/24 | 105,810 | |||||||||||||
88,851 | 4.375 | 01/20/25 | 89,679 | |||||||||||||
46,890 | 4.375 | 02/20/25 | 47,330 | |||||||||||||
149,345 | 4.375 | 05/20/25 | 149,702 | |||||||||||||
96,944 | 4.750 | 07/20/25 | 97,761 | |||||||||||||
68,072 | 4.375 | 02/20/26 | 68,515 | |||||||||||||
2,993 | 4.750 | 07/20/26 | 3,014 | |||||||||||||
177,137 | 4.375 | 01/20/27 | 178,699 | |||||||||||||
64,707 | 4.375 | 02/20/27 | 65,144 | |||||||||||||
510,753 | 4.375 | 04/20/27 | 510,992 | |||||||||||||
55,901 | 4.375 | 05/20/27 | 55,820 | |||||||||||||
67,532 | 4.375 | 06/20/27 | 67,430 | |||||||||||||
17,179 | 5.125 | 11/20/27 | 17,246 | |||||||||||||
74,733 | 5.125 | 12/20/27 | 75,024 | |||||||||||||
154,226 | 4.375 | 01/20/28 | 155,522 | |||||||||||||
62,091 | 4.250 | 02/20/28 | 62,376 | |||||||||||||
63,689 | 4.375 | 03/20/28 | 64,132 | |||||||||||||
491,994 | 4.500 | 07/20/29 | 492,219 | |||||||||||||
164,023 | 4.500 | 08/20/29 | 164,104 | |||||||||||||
75,111 | 4.500 | 09/20/29 | 75,096 | |||||||||||||
199,277 | 5.125 | 10/20/29 | 200,551 | |||||||||||||
228,252 | 5.125 | 11/20/29 | 229,650 | |||||||||||||
69,908 | 5.125 | 12/20/29 | 70,349 | |||||||||||||
96,593 | 4.250 | 01/20/30 | 96,983 | |||||||||||||
48,079 | 4.250 | 02/20/30 | 48,275 | |||||||||||||
173,291 | 4.250 | 03/20/30 | 174,000 | |||||||||||||
310,447 | 4.375 | 04/20/30 | 311,105 | |||||||||||||
754,976 | 4.375 | 05/20/30 | 757,220 | |||||||||||||
73,762 | 4.375 | 06/20/30 | 73,855 | |||||||||||||
602,967 | 4.500 | 07/20/30 | 605,761 | |||||||||||||
78,792 | 4.500 | 09/20/30 | 79,165 | |||||||||||||
174,224 | 4.875 | 10/20/30 | 174,195 | |||||||||||||
769,874 | 4.500 | 12/20/34 | 759,626 | |||||||||||||
8,274,764 | ||||||||||||||||
Adjustable Rate Non-Agency(a) – 19.0% | ||||||||||||||||
American Home Mortgage Investment Trust Series 2004-3, Class 1A | ||||||||||||||||
299,471 | 5.329 | 10/25/34 | 299,894 | |||||||||||||
Bear Stearns Alt-A Trust Series 2004-3, Class A1 | ||||||||||||||||
290,735 | 5.279 | 04/25/34 | 292,410 | |||||||||||||
Countrywide Alternative Loan Trust Series 2005-38, Class A3 | ||||||||||||||||
4,239,851 | 5.309 | 09/25/35 | 4,263,652 | |||||||||||||
Countrywide Alternative Loan Trust Series 2005-51, Class 1A1 | ||||||||||||||||
2,747,907 | 5.243 | 11/20/35 | 2,761,315 | |||||||||||||
Countrywide Alternative Loan Trust Series 2005-59, Class 1A1 | ||||||||||||||||
2,449,747 | 5.253 | 11/20/35 | 2,464,537 | |||||||||||||
Countrywide Alternative Loan Trust Series 2005-62, Class 1A1 | ||||||||||||||||
4,892,153 | 5.259 | 12/25/35 | 4,913,974 | |||||||||||||
Harborview Mortgage Loan Trust Series 2005-10, Class 2A1A | ||||||||||||||||
4,834,129 | 5.220 | 11/19/35 | 4,846,735 | |||||||||||||
Harborview Mortgage Loan Trust Series 2005-15, Class 2A11 | ||||||||||||||||
2,668,444 | 5.193 | 10/20/45 | 2,675,893 | |||||||||||||
Harborview Mortgage Loan Trust Series 2005-16, Class 2A1A | ||||||||||||||||
1,663,850 | 5.150 | 01/19/36 | 1,667,995 | |||||||||||||
Harborview Mortgage Loan Trust Series 2005-16, Class 3A1A | ||||||||||||||||
5,947,682 | 5.160 | 01/19/36 | 5,943,335 | |||||||||||||
IMPAC Secured Assets Corp. Series 2004-3, Class 1A4 | ||||||||||||||||
710,756 | 5.359 | 11/25/34 | 713,499 | |||||||||||||
Lehman XS Trust Series 2005-5N, Class 3A1A | ||||||||||||||||
3,205,128 | 5.259 | 11/25/35 | 3,207,717 | |||||||||||||
Lehman XS Trust Series 2005-9N, Class 1A1 | ||||||||||||||||
5,405,802 | 5.229 | 02/25/36 | 5,411,694 | |||||||||||||
Lehman XS Trust Series 2006-2N, Class 1A1 | ||||||||||||||||
3,864,759 | 5.219 | 02/25/46 | 3,871,076 | |||||||||||||
Mortgage IT Trust Series 2005-5, Class A1 | ||||||||||||||||
1,898,749 | 5.219 | 12/25/35 | 1,900,219 | |||||||||||||
Mortgage IT Trust Series 2005-AR1, Class 1A1 | ||||||||||||||||
4,544,987 | 5.210 | 11/25/35 | 4,557,625 | |||||||||||||
Residential Accredit Loans, Inc. Series 2005-Q04, Class 2A1 | ||||||||||||||||
4,339,151 | 5.239 | 12/25/45 | 4,356,513 | |||||||||||||
Sequoia Mortgage Trust Series 2004-09, Class A2 | ||||||||||||||||
1,730,675 | 5.416 | 10/20/34 | 1,733,960 | |||||||||||||
Structured Adjustable Rate Mortgage Loan Series 2004-19, Class 2A2 | ||||||||||||||||
539,228 | 5.947 | 01/25/35 | 545,084 |
51
Statement of Investments (continued)
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Mortgage-Backed Obligations – (continued) | ||||||||||||||||
Adjustable Rate Non-Agency(a) – (continued) | ||||||||||||||||
Structured Adjustable Rate Mortgage Loan Series 2004-6, Class 3A2 | ||||||||||||||||
$ | 1,706,708 | 4.727 | % | 06/25/34 | $ | 1,665,080 | ||||||||||
Structured Asset Securities Corp. Series 2003-34A, Class 3A3 | ||||||||||||||||
102,044 | 4.700 | 11/25/33 | 102,067 | |||||||||||||
Structured Asset Securities Corp. Series 2003-37A, Class 3A7 | ||||||||||||||||
400,821 | 4.520 | 12/25/33 | 396,364 | |||||||||||||
Washington Mutual Series 2005-AR11, Class A1A | ||||||||||||||||
3,565,034 | 5.279 | 08/25/45 | 3,574,212 | |||||||||||||
Washington Mutual Series 2005-AR13, Class A1A1 | ||||||||||||||||
4,606,202 | 5.249 | 10/25/45 | 4,632,238 | |||||||||||||
Washington Mutual Series 2005-AR15, Class A1A1 | ||||||||||||||||
5,763,347 | 5.220 | 11/25/45 | 5,776,879 | |||||||||||||
Washington Mutual Series 2005-AR17, Series A1A1 | ||||||||||||||||
5,294,804 | 5.229 | 12/25/45 | 5,296,445 | |||||||||||||
Washington Mutual Series 2005-AR19, Class A1A1 | ||||||||||||||||
5,798,517 | 5.229 | 12/25/45 | 5,808,013 | |||||||||||||
Washington Mutual Series 2005-AR8, Class 2A1A | ||||||||||||||||
5,029,115 | 5.249 | 07/25/45 | 5,044,454 | |||||||||||||
Wells Fargo Mortgage Backed Securities Trust Series 2005-AR16, Class 1A1 | ||||||||||||||||
3,332,865 | 4.978 | 10/25/35 | 3,316,069 | |||||||||||||
Wells Fargo Mortgage Backed Securities Trust Series 2006-AR2, Class 2A3 | ||||||||||||||||
6,873,790 | 5.094 | 03/25/36 | 6,781,111 | |||||||||||||
98,820,059 | ||||||||||||||||
CMBS – 7.6% | ||||||||||||||||
Interest Only(a)(b)(c) – 0.2% | ||||||||||||||||
Bear Stearns Commercial Mortgage Securities, Inc. Series 2003-T10, Class X2 | ||||||||||||||||
5,559,490 | 1.434 | 03/13/40 | 250,844 | |||||||||||||
JP Morgan Chase Commercial Mortgage Securities Corp. Series 2004-C1, Class X2 | ||||||||||||||||
5,774,749 | 1.174 | 01/15/38 | 204,585 | |||||||||||||
Prudential Commercial Mortgage Trust Series 2003-PWR1, Class X2 | ||||||||||||||||
6,078,263 | 1.480 | 02/11/36 | 318,300 | |||||||||||||
773,729 | ||||||||||||||||
Sequential Fixed Rate – 7.4% | ||||||||||||||||
Banc of America Commercial Mortgage, Inc. Series 2005-5, Class A4 | ||||||||||||||||
4,000,000 | 5.115 | 10/10/45 | 3,823,334 | |||||||||||||
Banc of America Commercial Mortgage, Inc. Series 2005-6, Class A4 | ||||||||||||||||
5,000,000 | 5.182 | 09/10/47 | 4,828,224 | |||||||||||||
Bear Stearns Commercial Mortgage Securities, Inc. Series 2005-PW10, Class A4 | ||||||||||||||||
5,000,000 | 5.405 | 12/11/40 | 4,883,969 | |||||||||||||
Citigroup/Deutsche Bank Commercial Mortgage Trust Series 2006-C02, Class A4 | ||||||||||||||||
3,500,000 | 5.545 | 01/15/46 | 3,415,386 | |||||||||||||
CS First Boston Mortgage Securities Corp. Series 1997-C2, Class A3 | ||||||||||||||||
333,541 | 6.550 | 01/17/35 | 338,399 | |||||||||||||
GE Capital Commercial Mortgage Corp. Series 2005-C4, Class A4 | ||||||||||||||||
5,000,000 | 5.333 | 11/10/45 | 4,880,632 | |||||||||||||
LB-UBS Commercial Mortgage Trust Series 2002-C1, Class A2 | ||||||||||||||||
400,000 | 5.969 | 03/15/26 | 402,156 | |||||||||||||
LB-UBS Commercial Mortgage Trust Series 2005-C5, Class A4 | ||||||||||||||||
2,000,000 | 4.954 | 09/15/30 | 1,897,227 | |||||||||||||
LB-UBS Commercial Mortgage Trust Series 2005-C7, Class A4 | ||||||||||||||||
2,000,000 | 5.197 | 11/15/30 | 1,928,653 | |||||||||||||
LB-UBS Commercial Mortgage Trust Series 2006-C1, Class A4 | ||||||||||||||||
3,500,000 | 5.156 | 02/15/31 | 3,341,681 | |||||||||||||
Morgan Stanley Capital I Series 2006-T21, Class A4 | ||||||||||||||||
5,000,000 | 5.162 | 10/12/52 | 4,790,650 | |||||||||||||
Wachovia Bank Commercial Mortgage Trust Series 2005-C21, Class A4 | ||||||||||||||||
4,000,000 | 5.369 | 10/15/44 | 3,869,538 | |||||||||||||
38,399,849 | ||||||||||||||||
TOTAL CMBS | $ | 39,173,578 | ||||||||||||||
CMOs – 4.5% | ||||||||||||||||
Interest Only(b) – 0.1% | ||||||||||||||||
ABN AMRO Mortgage Corp. Series 2003-5, Class A2 | ||||||||||||||||
74,608 | 5.500 | 04/25/33 | 8,183 | |||||||||||||
ABN AMRO Mortgage Corp. Series 2003-8, Class A2 | ||||||||||||||||
459,009 | 5.500 | 06/25/33 | 52,905 | |||||||||||||
Countrywide Home Loan Trust Series 2003-42, Class 2X1(a) | ||||||||||||||||
702,844 | 0.370 | 10/25/33 | 4,374 | |||||||||||||
CS First Boston Mortgage Securities Corp. Series 2002-AR31, Class 5X(a) | ||||||||||||||||
515,641 | 0.000 | 11/25/32 | 309 | |||||||||||||
CS First Boston Mortgage Securities Corp. Series 2003-08, Class 3A2 | ||||||||||||||||
10,863 | 5.500 | 04/25/33 | 922 | |||||||||||||
CS First Boston Mortgage Securities Corp. Series 2003-10, Class 3A13 | ||||||||||||||||
10,820 | 5.750 | 05/25/33 | 568 | |||||||||||||
CS First Boston Mortgage Securities Corp. Series 2003-11, Class 1A2 | ||||||||||||||||
38,611 | 5.500 | 06/25/33 | 2,544 | |||||||||||||
CS First Boston Mortgage Securities Corp. Series 2003-19, Class 1A2 | ||||||||||||||||
509,971 | 5.250 | 07/25/33 | 55,726 | |||||||||||||
FHLMC Series 2575, Class IB | ||||||||||||||||
312,015 | 5.500 | 08/15/30 | 38,205 | |||||||||||||
FNMA Series 2004-47, Class EI(a)(d) | ||||||||||||||||
1,860,262 | 0.000 | 06/25/34 | 87,200 | |||||||||||||
FNMA Series 2004-62, Class DI(a)(d) | ||||||||||||||||
804,295 | 0.000 | 07/25/33 | 40,466 | |||||||||||||
FNMA Series E, Class E2 | ||||||||||||||||
1,658 | 506.000 | 09/01/10 | 14,893 |
52
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Mortgage-Backed Obligations – (continued) | ||||||||||||||||
Interest Only(b) – (continued) | ||||||||||||||||
Master Adjustable Rate Mortgages Trust Series 2003-2, Class 3AX(a) | ||||||||||||||||
$ | 78,788 | 0.679 | % | 08/25/33 | $ | 1,054 | ||||||||||
Master Adjustable Rate Mortgages Trust Series 2003-2, Class 4AX(a) | ||||||||||||||||
21,218 | 1.158 | 07/25/33 | 418 | |||||||||||||
Washington Mutual Series 2003-AR04, Class X1(a) | ||||||||||||||||
434,892 | 1.181 | 01/25/08 | 6,461 | |||||||||||||
Washington Mutual Series 2003-AR12, Class X(a) | ||||||||||||||||
1,136,929 | 0.489 | 02/25/34 | 9,164 | |||||||||||||
Washington Mutual Series 2003-S3, Class 1A41 | ||||||||||||||||
437,446 | 5.500 | 06/25/33 | 47,004 | |||||||||||||
370,396 | ||||||||||||||||
Inverse Floaters(a) – 0.1% | ||||||||||||||||
FHLMC Series 1544, Class M | ||||||||||||||||
16,096 | 11.206 | 07/15/08 | 16,567 | |||||||||||||
FNMA Series 1993-072, Class SA | ||||||||||||||||
3,685 | 11.378 | 05/25/08 | 3,868 | |||||||||||||
FNMA Series 1993-093, Class SA | ||||||||||||||||
8,331 | 13.905 | 05/25/08 | 8,846 | |||||||||||||
FNMA Series 1993-095, Class SE | ||||||||||||||||
8,514 | 14.461 | 06/25/08 | 9,179 | |||||||||||||
FNMA Series 1993-135, Class S | ||||||||||||||||
16,609 | 7.429 | 07/25/08 | 16,933 | |||||||||||||
GNMA Series 2001-48, Class SA | ||||||||||||||||
36,383 | 10.530 | 10/16/31 | 39,148 | |||||||||||||
GNMA Series 2001-51, Class SB | ||||||||||||||||
36,210 | 10.530 | 10/16/31 | 39,083 | |||||||||||||
GNMA Series 2001-59, Class SA | ||||||||||||||||
52,807 | 10.368 | 11/16/24 | 56,752 | |||||||||||||
190,376 | ||||||||||||||||
PAC – 0.9% | ||||||||||||||||
FNMA Series 1993-63, Class PK | ||||||||||||||||
40,061 | 6.500 | 05/25/08 | 40,280 | |||||||||||||
FNMA Series 2003-88, Class TH | ||||||||||||||||
5,000,000 | 4.500 | 09/25/18 | 4,610,507 | |||||||||||||
4,650,787 | ||||||||||||||||
Principal Only(d) – 0.6% | ||||||||||||||||
FHLMC Series 235, Class PO | ||||||||||||||||
2,273,662 | 0.000 | 02/01/36 | 1,570,959 | |||||||||||||
FNMA Series 363, Class 1 | ||||||||||||||||
2,415,615 | 0.000 | 11/01/35 | 1,685,134 | |||||||||||||
3,256,093 | ||||||||||||||||
Sequential Fixed Rate – 2.8% | ||||||||||||||||
CS First Boston Mortgage Securities Corp. Series 2002-5, Class PPA1 | ||||||||||||||||
233,920 | 6.500 | 03/25/32 | 229,490 | |||||||||||||
FHLMC Series 1703, Class GC | ||||||||||||||||
2,500,000 | 6.500 | 04/15/09 | 2,527,264 | |||||||||||||
FHLMC Series 1823, Class A | ||||||||||||||||
1,681,070 | 6.500 | 08/15/23 | 1,696,865 | |||||||||||||
FHLMC Series 2042, Class N | ||||||||||||||||
1,053,320 | 6.500 | 03/15/28 | 1,071,671 | |||||||||||||
FHLMC Series 2425, Class JG | ||||||||||||||||
16,370 | 6.000 | 09/15/15 | 16,341 | |||||||||||||
FHLMC Series 2458, Class OD | ||||||||||||||||
179,517 | 6.000 | 04/15/16 | 179,984 | |||||||||||||
FHLMC Series 2590, Class NV | ||||||||||||||||
1,000,000 | 5.000 | 03/15/18 | 959,759 | |||||||||||||
FNMA REMIC Trust Series 1993-101, Class PJ | ||||||||||||||||
462,491 | 7.000 | 06/25/08 | 466,502 | |||||||||||||
FNMA REMIC Trust Series 2002-24, Class AE | ||||||||||||||||
701,199 | 6.000 | 04/25/16 | 700,401 | |||||||||||||
FNMA Series 1993-76, Class PJ | ||||||||||||||||
111,351 | 6.000 | 06/25/08 | 111,595 | |||||||||||||
FNMA Series 1994-42, Class K | ||||||||||||||||
3,000,000 | 6.500 | 04/25/24 | 2,994,055 | |||||||||||||
FNMA Series 1994-75, Class J | ||||||||||||||||
79,209 | 7.000 | 10/25/23 | 79,320 | |||||||||||||
FNMA Series 2000-16, Class ZG | ||||||||||||||||
1,547,357 | 8.500 | 06/25/30 | 1,642,116 | |||||||||||||
Impac Secured Assets Corp. Series 2001-2, Class A5 | ||||||||||||||||
1,963,640 | 7.220 | 03/25/31 | 1,956,848 | |||||||||||||
14,632,211 | ||||||||||||||||
TOTAL CMOS | $ | 23,099,863 | ||||||||||||||
FHLMC – 9.2% | ||||||||||||||||
370,935 | 5.000 | 12/01/12 | 366,544 | |||||||||||||
30,586 | 7.000 | 04/01/15 | 31,280 | |||||||||||||
28,805 | 7.000 | 02/01/16 | 29,632 | |||||||||||||
155,178 | 6.000 | 03/01/16 | 156,177 | |||||||||||||
237,854 | 4.500 | 04/01/18 | 226,782 | |||||||||||||
1,948,428 | 4.500 | 05/01/18 | 1,857,844 | |||||||||||||
219,784 | 4.500 | 06/01/18 | 209,553 | |||||||||||||
525,669 | 5.000 | 07/01/18 | 512,085 | |||||||||||||
7,544,734 | 4.500 | 08/01/18 | 7,193,973 | |||||||||||||
4,570,976 | 5.000 | 10/01/18 | 4,453,034 | |||||||||||||
743,346 | 5.000 | 11/01/18 | 724,136 | |||||||||||||
579,564 | 4.500 | 01/01/19 | 552,587 | |||||||||||||
3,672,489 | 4.500 | 02/01/19 | 3,501,532 | |||||||||||||
691,418 | 4.500 | 03/01/19 | 658,757 | |||||||||||||
3,891,961 | 4.500 | 08/01/23 | 3,632,641 | |||||||||||||
3,841,388 | 5.500 | 11/01/23 | 3,767,879 | |||||||||||||
63,008 | 7.500 | 03/01/27 | 65,566 | |||||||||||||
3,394,077 | 6.500 | 01/01/29 | 3,468,850 | |||||||||||||
1,198,958 | 6.500 | 04/01/29 | 1,225,322 | |||||||||||||
599,263 | 6.500 | 12/01/29 | 611,926 | |||||||||||||
562,419 | 7.000 | 04/01/31 | 578,505 | |||||||||||||
3,989,338 | 7.000 | 09/01/31 | 4,103,442 | |||||||||||||
2,045,257 | 7.000 | 04/01/32 | 2,102,410 | |||||||||||||
3,308,963 | 7.000 | 05/01/32 | 3,401,428 | |||||||||||||
1,085,923 | 6.000 | 05/01/33 | 1,084,175 | |||||||||||||
545,136 | 6.500 | 08/01/33 | 555,480 | |||||||||||||
3,000,000 | 5.000 | TBA-15yr | (e) | 2,915,625 | ||||||||||||
47,987,165 | ||||||||||||||||
53
Statement of Investments (continued)
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Mortgage-Backed Obligations – (continued) | ||||||||||||||||
FNMA – 59.0% | ||||||||||||||||
$ | 130,177 | 4.000 | % | 06/01/13 | $ | 124,424 | ||||||||||
173,709 | 4.000 | 07/01/13 | 165,961 | |||||||||||||
240,644 | 4.000 | 08/01/13 | 229,827 | |||||||||||||
451,174 | 4.000 | 09/01/13 | 430,732 | |||||||||||||
933,956 | 4.000 | 10/01/13 | 891,248 | |||||||||||||
690,149 | 4.000 | 04/01/14 | 656,927 | |||||||||||||
11,300 | 5.500 | 04/01/16 | 11,243 | |||||||||||||
12,641 | 5.500 | 08/01/16 | 12,577 | |||||||||||||
136,737 | 5.500 | 11/01/16 | 136,043 | |||||||||||||
115,134 | 5.500 | 12/01/16 | 114,549 | |||||||||||||
162,117 | 5.500 | 01/01/17 | 161,294 | |||||||||||||
18,762,691 | 5.000 | 10/01/17 | 18,309,417 | |||||||||||||
4,660,738 | 5.000 | 11/01/17 | 4,548,142 | |||||||||||||
14,450,022 | 5.000 | 12/01/17 | 14,100,936 | |||||||||||||
5,766,314 | 5.000 | 01/01/18 | 5,627,009 | |||||||||||||
2,667,946 | 5.000 | 02/01/18 | 2,603,422 | |||||||||||||
7,729 | 6.000 | 02/01/18 | 7,740 | |||||||||||||
10,561,199 | 5.000 | 03/01/18 | 10,304,065 | |||||||||||||
5,484,507 | 5.000 | 04/01/18 | 5,350,673 | |||||||||||||
5,961,496 | 5.000 | 05/01/18 | 5,818,348 | |||||||||||||
104,354 | 6.000 | 05/01/18 | 104,501 | |||||||||||||
6,351,685 | 5.000 | 06/01/18 | 6,198,070 | |||||||||||||
746,100 | 5.000 | 07/01/18 | 727,902 | |||||||||||||
444,367 | 5.000 | 08/01/18 | 433,523 | |||||||||||||
38,515 | 5.000 | 09/01/18 | 37,575 | |||||||||||||
7,313,119 | 5.000 | 11/01/18 | 7,134,662 | |||||||||||||
523,006 | 6.000 | 11/01/18 | 523,742 | |||||||||||||
14,051 | 5.000 | 12/01/18 | 13,708 | |||||||||||||
984,550 | 6.000 | 12/01/18 | 985,937 | |||||||||||||
804,190 | 6.000 | 01/01/19 | 805,323 | |||||||||||||
241,804 | 5.000 | 02/01/19 | 235,904 | |||||||||||||
6,242,174 | 5.000 | 04/01/19 | 6,089,851 | |||||||||||||
281,441 | 6.000 | 04/01/19 | 281,838 | |||||||||||||
56,752 | 6.000 | 05/01/19 | 56,832 | |||||||||||||
206,892 | 7.000 | 09/01/21 | 213,556 | |||||||||||||
625,677 | 7.000 | 06/01/22 | 645,707 | |||||||||||||
278,180 | 7.000 | 07/01/22 | 287,085 | |||||||||||||
571,957 | 5.500 | 08/01/23 | 560,956 | |||||||||||||
13,624,280 | 4.500 | 10/01/23 | 12,647,336 | |||||||||||||
91,304 | 6.500 | 01/01/29 | 93,261 | |||||||||||||
140,763 | 6.500 | 04/01/29 | 143,654 | |||||||||||||
128,676 | 6.500 | 05/01/29 | 131,319 | |||||||||||||
1,175,447 | 6.500 | 06/01/29 | 1,199,588 | |||||||||||||
653,933 | 6.500 | 07/01/29 | 667,364 | |||||||||||||
76,599 | 6.500 | 09/01/29 | 78,172 | |||||||||||||
227,597 | 7.000 | 08/01/31 | 234,010 | |||||||||||||
9,909 | 6.500 | 08/01/32 | 10,100 | |||||||||||||
385,173 | 6.500 | 11/01/32 | 392,588 | |||||||||||||
299,990 | 6.000 | 01/01/33 | 299,314 | |||||||||||||
7,946 | 6.000 | 02/01/33 | 7,928 | |||||||||||||
170,532 | 6.000 | 06/01/33 | 170,069 | |||||||||||||
64,930 | 6.000 | 07/01/33 | 64,754 | |||||||||||||
156,135 | 6.000 | 09/01/33 | 155,711 | |||||||||||||
39,201 | 6.000 | 10/01/33 | 39,095 | |||||||||||||
1,034,532 | 5.500 | 02/01/34 | 1,006,619 | |||||||||||||
314,610 | 5.500 | 07/01/34 | 306,122 | |||||||||||||
80,248 | 6.000 | 11/01/34 | 79,994 | |||||||||||||
2,445,167 | 6.000 | 12/01/34 | 2,437,402 | |||||||||||||
15,000,000 | 4.500 | TBA-15yr | (e) | 14,278,125 | ||||||||||||
175,000,000 | 5.000 | TBA-15yr | (e) | 170,351,650 | ||||||||||||
7,000,000 | 5.500 | TBA-15yr | (e) | 6,793,276 | ||||||||||||
306,528,700 | ||||||||||||||||
GNMA – 0.0% | ||||||||||||||||
1,106 | 6.000 | 12/15/23 | 1,111 | |||||||||||||
36,258 | 6.000 | 03/15/26 | 36,498 | |||||||||||||
42,607 | 6.000 | 04/15/26 | 42,889 | |||||||||||||
80,498 | ||||||||||||||||
TOTAL MORTGAGE-BACKED OBLIGATIONS | ||||||||||||||||
(Cost $549,907,837) | $ | 543,608,198 | ||||||||||||||
Agency Debenture – 0.3% | ||||||||||||||||
Tennessee Valley Authority | ||||||||||||||||
$ | 1,600,000 | 5.375 | % | 04/01/56 | $ | 1,515,461 | ||||||||||
(Cost $1,590,912) | ||||||||||||||||
Asset-Backed Securities(a) – 9.0% | ||||||||||||||||
Home Equity – 9.0% | ||||||||||||||||
Carrington Mortgage Loan Trust Series 2005-OPT2, Class A1B | ||||||||||||||||
$ | 2,000,000 | 5.109 | % | 05/25/35 | $ | 2,000,938 | ||||||||||
ContiMortgage Home Equity Loan Trust Series 1999-1, Class A7(b) | ||||||||||||||||
173,909 | 6.970 | 12/25/13 | 172,934 | |||||||||||||
Countrywide Home Equity Loan Trust Series 2002-E, Class A | ||||||||||||||||
148,567 | 5.161 | 10/15/28 | 148,902 | |||||||||||||
Countrywide Home Equity Loan Trust Series 2003-A, Class A | ||||||||||||||||
1,907,082 | 5.251 | 03/15/29 | 1,912,349 | |||||||||||||
Countrywide Home Equity Loan Trust Series 2003-D, Class A | ||||||||||||||||
590,376 | 5.161 | 06/15/29 | 591,194 | |||||||||||||
Countrywide Home Equity Loan Trust Series 2004-G, Class 2A | ||||||||||||||||
491,637 | 5.121 | 12/15/29 | 492,978 | |||||||||||||
Countrywide Home Equity Loan Trust Series 2004-I, Class A | ||||||||||||||||
2,101,972 | 5.191 | 02/15/34 | 2,107,555 | |||||||||||||
Countrywide Home Equity Loan Trust Series 2004-J, Class 2A | ||||||||||||||||
308,130 | 5.191 | 12/15/33 | 308,708 | |||||||||||||
Countrywide Home Equity Loan Trust Series 2004-O, Class 1A | ||||||||||||||||
851,103 | 5.181 | 02/15/34 | 853,364 | |||||||||||||
Countrywide Home Equity Loan Trust Series 2004-Q, Class 2A | ||||||||||||||||
814,070 | 5.201 | 12/15/33 | 816,367 | |||||||||||||
Countrywide Home Equity Loan Trust Series 2004-S, Class 1A | ||||||||||||||||
418,316 | 5.141 | 02/15/30 | 418,882 |
54
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Asset-Backed Securities(a) – (continued) | ||||||||||||||||
Home Equity – (continued) | ||||||||||||||||
Countrywide Home Equity Loan Trust Series 2005-A, Class 2A | ||||||||||||||||
$ | 1,464,389 | 5.141 | % | 04/15/35 | $ | 1,466,906 | ||||||||||
Countrywide Home Equity Loan Trust Series 2005-I, Class 2A | ||||||||||||||||
4,478,345 | 5.131 | 02/15/36 | 4,482,544 | |||||||||||||
Countrywide Home Equity Loan Trust Series 2005-L, Class A | ||||||||||||||||
5,999,850 | 5.121 | 02/15/36 | 6,008,286 | |||||||||||||
First Franklin Mortgage Loan Asset Backed Certificates Series 2004-FF11, Class 2A2 | ||||||||||||||||
1,604,415 | 5.239 | 01/25/35 | 1,608,176 | |||||||||||||
Impac CMB Trust Series 2004-6, Class 1A2 | ||||||||||||||||
1,442,228 | 5.349 | 10/25/34 | 1,445,929 | |||||||||||||
Impac CMB Trust Series 2004-8, Class 1A | ||||||||||||||||
727,476 | 5.319 | 10/25/34 | 730,801 | |||||||||||||
Impac CMB Trust Series 2005-6, Class 1A1 | ||||||||||||||||
4,330,032 | 5.209 | 10/25/35 | 4,333,723 | |||||||||||||
Impac Secured Assets Corp. Series 2005-2, Class A1W | ||||||||||||||||
4,797,401 | 5.209 | 03/25/36 | 4,804,119 | |||||||||||||
Master Asset Backed Securities Trust Series 2005-WMC1, Class A4 | ||||||||||||||||
3,000,000 | 5.149 | 03/25/35 | 3,001,518 | |||||||||||||
Merrill Lynch Mortgage Investors, Inc. Series 2004-WMC5, Class A2B2 | ||||||||||||||||
1,388,631 | 5.309 | 07/25/35 | 1,390,347 | |||||||||||||
Morgan Stanley ABS Capital I Series 2004-HE1, Class A4 | ||||||||||||||||
1,985,050 | 5.329 | 01/25/34 | 1,985,351 | |||||||||||||
Ownit Mortgage Loan Asset-Backed Certificates Series 2005-4, Class A2A1 | ||||||||||||||||
4,236,154 | 5.079 | 08/25/36 | 4,236,815 | |||||||||||||
Popular ABS Mortgage Pass-Through Trust Series 2004-5, Class AV2 | ||||||||||||||||
428,647 | 5.299 | 12/25/34 | 430,188 | |||||||||||||
Residential Asset Mortgage Products, Inc. Series 2004-RZ1, Class AII | ||||||||||||||||
588,416 | 5.200 | 03/25/34 | 588,384 | |||||||||||||
Residential Funding Mortgage Securities, Inc. Series 2004-HS2, Class AII | ||||||||||||||||
645,919 | 5.189 | 06/25/29 | 646,694 | |||||||||||||
46,983,952 | ||||||||||||||||
TOTAL ASSET-BACKED SECURITIES | ||||||||||||||||
(Cost $46,929,874) | $ | 46,983,952 | ||||||||||||||
U.S. Treasury Obligations – 10.9% | ||||||||||||||||
United States Treasury Bonds | ||||||||||||||||
$ | 36,100,000 | 4.750 | % | 03/31/11 | $ | 35,815,135 | ||||||||||
United States Treasury Inflation Protected Securities | ||||||||||||||||
5,822,379 | 1.875 | 07/15/15 | 5,589,076 | |||||||||||||
10,110,605 | 2.000 | 01/15/16 | 9,774,508 | |||||||||||||
United States Treasury Notes | ||||||||||||||||
3,100,000 | 4.500 | 02/15/16 | 2,960,016 | |||||||||||||
United States Treasury Principal-Only STRIPS(d) | ||||||||||||||||
300,000 | 0.000 | 11/15/22 | 124,404 | |||||||||||||
2,500,000 | 0.000 | 11/15/24 | 930,965 | |||||||||||||
1,100,000 | 0.000 | 02/15/25 | 404,635 | |||||||||||||
700,000 | 0.000 | 08/15/25 | 250,930 | |||||||||||||
2,500,000 | 0.000 | 08/15/26 | 849,757 | |||||||||||||
TOTAL U.S. TREASURY OBLIGATIONS | ||||||||||||||||
(Cost $56,909,127) | $ | 56,699,426 | ||||||||||||||
TOTAL INVESTMENTS BEFORE REPURCHASE AGREEMENT — 124.9% | ||||||||||||||||
(Cost $655,337,750) | $ | 648,807,037 | ||||||||||||||
Repurchase Agreement(f) – 15.3% | ||||||||||||||||
Joint Repurchase Agreement Account II | ||||||||||||||||
$ | 79,200,000 | 4.784 | % | 05/01/06 | $ | 79,200,000 | ||||||||||
Maturity Value: $79,210,525 | ||||||||||||||||
(Cost $79,200,000) | ||||||||||||||||
TOTAL INVESTMENTS – 140.2% | ||||||||||||||||
(Cost $734,537,750) | $ | 728,007,037 | ||||||||||||||
Liabilities in Excess of Other Assets — (40.2)% | (208,735,781 | ) | ||||||||||||||
Net Assets — 100.0% | $ | 519,271,256 | ||||||||||||||
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
(a) | Variable rate security. Interest rate disclosed is that which is in effect at April 30, 2006. | |
(b) | Represents security with notional or nominal principal amount. The actual effective yield of this security is different than the stated interest rate due to the amortization of related premiums or accretion of discounts. | |
(c) | Securities are exempt from registration under rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the Investment Adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounted to $773,729, which represents approximately 0.2% of net assets as of April 30, 2006. | |
(d) | Security issued with a zero coupon. Income is recognized through the accretion of discount. | |
(e) | TBA (To Be Announced) Securities are purchased on a forward commitment basis with an approximate principal amount and no defined maturity date. The actual principal and maturity date will be determined upon settlement when the specific mortgage pools are assigned. Total market value of TBA securities amounts to $194,338,676 which represents approximately 37.5% of net assets as of April 30, 2006. | |
(f) | Joint repurchase agreement was entered into on April 28, 2006. Additional information appears on page 75. |
55
Statement of Investments (continued)
Investment Abbreviations: | ||||||
CMBS | — | Commercial Mortgage Backed Securities | ||||
CMOs | — | Collateralized Mortgage Obligations | ||||
FHLMC | — | Federal Home Loan Mortgage Corp. | ||||
FNMA | — | Federal National Mortgage Association | ||||
GNMA | — | Government National Mortgage Association | ||||
PAC | — | Planned Amortization Class | ||||
REMIC | — | Real Estate Mortgage Investment Conduit | ||||
STRIPS | — | Separate Trading of Registered Interest and Principal of Securities | ||||
ADDITIONAL INVESTMENT INFORMATION |
FUTURES CONTRACTS — At April 30, 2006, the following futures contacts were open as follows:
Number of | ||||||||||||||
Contracts | Settlement | Market | Unrealized | |||||||||||
Type | Long (Short) | Month | Value | Gain (Loss) | ||||||||||
Eurodollars | 110 | June 2006 | $ | 26,072,750 | $ | (27,549 | ) | |||||||
Eurodollars | 10 | September 2006 | 2,369,000 | (10,659 | ) | |||||||||
Eurodollars | 24 | December 2006 | 5,685,300 | (46,855 | ) | |||||||||
Eurodollars | (20 | ) | March 2007 | (4,739,500 | ) | 45,932 | ||||||||
U.S. Treasury Bonds | 48 | June 2006 | 5,128,500 | (205,822 | ) | |||||||||
2 Year U.S. Treasury Notes | 303 | June 2006 | 61,731,516 | (101,798 | ) | |||||||||
5 Year U.S. Treasury Notes | (499 | ) | June 2006 | (51,973,969 | ) | 323,320 | ||||||||
10 Year U.S. Treasury Notes | (163 | ) | June 2006 | (17,209,234 | ) | 155,253 | ||||||||
$ | 27,064,363 | $ | 131,822 | |||||||||||
56
ADDITIONAL INVESTMENT INFORMATION (continued) |
SWAP CONTRACTS — At April 30, 2006, the Fund had outstanding swap contracts with the following terms:
INTEREST RATE SWAP CONTRACTS
Rate Type | ||||||||||||||
Notional | Payments | Payments | ||||||||||||
Amount | Termination | received by | made by | Unrealized | ||||||||||
Swap Counterparty | (000s) | Date | the Fund | the Fund | Gain (Loss) | |||||||||
Banc of America Securities LLC(a) | $ | 15,670 | 02/16/2009 | 3 month LIBOR | 5.05% | $ | 75,865 | |||||||
Banc of America Securities LLC(a) | 17,930 | 02/17/2009 | 3 month LIBOR | 5.10% | 70,464 | |||||||||
Banc of America Securities LLC | 12,000 | 09/02/2010 | 4.31% | 3 month LIBOR | (499,942 | ) | ||||||||
Banc of America Securities LLC | 15,000 | 10/06/2010 | 4.70% | 3 month LIBOR | (399,444 | ) | ||||||||
Banc of America Securities LLC | 11,000 | 05/23/2012 | 4.37% | 3 month LIBOR | (479,748 | ) | ||||||||
Banc of America Securities LLC(a) | 19,290 | 02/17/2014 | 5.14% | 3 month LIBOR | (415,759 | ) | ||||||||
Banc of America Securities LLC(a) | 16,880 | 02/17/2014 | 5.10% | 3 month LIBOR | (400,876 | ) | ||||||||
Banc of America Securities LLC | 10,000 | 03/07/2016 | 3 month LIBOR | 5.18% | 284,688 | |||||||||
Banc of America Securities LLC | 5,000 | 11/12/2019 | 5.07% | 3 month LIBOR | 203,114 | |||||||||
Banc of America Securities LLC(a) | 7,110 | 02/15/2022 | 3 month LIBOR | 5.16% | 376,241 | |||||||||
Banc of America Securities LLC(a) | 8,130 | 02/17/2022 | 3 month LIBOR | 5.19% | 406,795 | |||||||||
TOTAL | $ | (778,602 | ) | |||||||||||
(a) Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur in February 2007.
TOTAL RETURN SWAP CONTRACTS
Upfront Payment | ||||||||||||||
Notional | made by | |||||||||||||
Amount | Termination | Reference | the Fund | Unrealized | ||||||||||
Swap Counterparty | (000s) | Date | Security | (000s) | Gain | |||||||||
Banc of America Securities LLC | $ | 6,250 | 7/31/2006 | Banc of America Securities LLC CMBS AAA 10 Yr Index | 3 month LIBOR less 0.05% | $ | 27,255 | |||||||
Banc of America Securities LLC | 5,500 | 1/31/2007 | Banc of America Securities LLC CMBS AAA 10 Yr Index | 1 month LIBOR plus 0.05% | 22,553 | |||||||||
TOTAL | $ | 49,808 | ||||||||||||
LIBOR—London Interbank Offered Rate
57
Statement of Investments
Principal | Interest | Maturity | ||||||||||||||
Amount* | Rate | Date | Value | |||||||||||||
Corporate Bonds – 15.4% | ||||||||||||||||
Automotive – 0.2% | ||||||||||||||||
Ford Motor Credit Co. | ||||||||||||||||
$ | 1,500,000 | 6.500 | % | 01/25/07 | $ | 1,489,086 | ||||||||||
General Motors Acceptance Corp. | ||||||||||||||||
2,900,000 | 6.875 | 09/15/11 | 2,717,579 | |||||||||||||
4,206,665 | ||||||||||||||||
Banks – 2.7% | ||||||||||||||||
ANZ Capital Trust I(a)(b) | ||||||||||||||||
3,500,000 | 5.360 | 12/15/13 | 3,323,593 | |||||||||||||
Associates Corp. NA | ||||||||||||||||
2,000,000 | 8.550 | 07/15/09 | 2,174,542 | |||||||||||||
Astoria Financial Corp. | ||||||||||||||||
4,600,000 | 5.750 | 10/15/12 | 4,499,386 | |||||||||||||
Citigroup, Inc. | ||||||||||||||||
2,000,000 | 7.250 | 10/15/11 | 2,147,648 | |||||||||||||
Commonwealth Bank of Australia(a)(b)(c) | ||||||||||||||||
2,875,000 | 6.024 | 03/15/16 | 2,803,044 | |||||||||||||
Fleet Boston Financial Corp. | ||||||||||||||||
1,000,000 | 6.500 | 03/15/08 | 1,019,980 | |||||||||||||
450,000 | 7.375 | 12/01/09 | 477,100 | |||||||||||||
Greater Bay Bancorp Series D | ||||||||||||||||
2,900,000 | 5.125 | 04/15/10 | 2,826,839 | |||||||||||||
GreenPoint Financial Corp. | ||||||||||||||||
2,400,000 | 3.200 | 06/06/08 | 2,292,974 | |||||||||||||
HBOS Capital Funding LP(a)(b)(c) | ||||||||||||||||
4,325,000 | 6.071 | 06/30/14 | 4,275,950 | |||||||||||||
Mizuho JGB Investment LLC(a)(b)(c) | ||||||||||||||||
1,600,000 | 9.870 | 06/30/08 | 1,730,808 | |||||||||||||
MUFG Capital Finance 1 Ltd.(b)(c) | ||||||||||||||||
5,250,000 | 6.346 | 07/25/16 | 5,144,296 | |||||||||||||
National Australia Bank Ltd. | ||||||||||||||||
2,000,000 | 8.600 | 05/19/10 | 2,217,822 | |||||||||||||
Popular North America, Inc. Series E | ||||||||||||||||
4,500,000 | 6.125 | 10/15/06 | 4,514,301 | |||||||||||||
Resona Bank Ltd.(a)(b)(c) | ||||||||||||||||
3,500,000 | 5.850 | 04/15/16 | 3,342,703 | |||||||||||||
EUR2,675,000 | 4.125 | 04/15/16 | 3,255,186 | |||||||||||||
Sovereign Bancorp, Inc.(c) | ||||||||||||||||
$ | 700,000 | 5.130 | 08/25/06 | 700,421 | ||||||||||||
Sovereign Bank | ||||||||||||||||
1,000,000 | 4.000 | 02/01/08 | 977,887 | |||||||||||||
375,000 | 5.125 | 03/15/13 | 357,828 | |||||||||||||
2,550,000 | 4.375 | (c) | 08/01/13 | 2,475,289 | ||||||||||||
Union Planters Bank | ||||||||||||||||
75,000 | 5.125 | 06/15/07 | 74,774 | |||||||||||||
Union Planters Corp. | ||||||||||||||||
150,000 | 7.750 | 03/01/11 | 163,420 | |||||||||||||
Wachovia Capital Trust III(b)(c) | ||||||||||||||||
4,000,000 | 5.800 | 03/15/11 | 3,921,508 | |||||||||||||
Wells Fargo Bank NA(c) | ||||||||||||||||
1,000,000 | 6.450 | 02/01/11 | 1,038,782 | |||||||||||||
55,756,081 | ||||||||||||||||
Brokerage – 0.2% | ||||||||||||||||
Lehman Brothers Holdings E-Capital Trust I(a)(b)(c) | ||||||||||||||||
1,675,000 | 5.550 | 08/19/10 | 1,679,918 | |||||||||||||
Morgan Stanley | ||||||||||||||||
3,000,000 | 5.050 | 01/21/11 | 2,928,075 | |||||||||||||
4,607,993 | ||||||||||||||||
Captive Financial – 0.1% | ||||||||||||||||
Nelnet, Inc. | ||||||||||||||||
2,580,000 | 5.125 | 06/01/10 | 2,478,607 | |||||||||||||
Chemicals – 0.0% | ||||||||||||||||
Lubrizol Corp. | ||||||||||||||||
875,000 | 7.250 | 06/15/25 | 911,900 | |||||||||||||
Consumer Cyclical Services – 0.2% | ||||||||||||||||
Cendant Corp. | ||||||||||||||||
4,125,000 | 7.375 | 01/15/13 | 4,511,665 | |||||||||||||
Diversified Manufacturing – 0.3% | ||||||||||||||||
Tyco International Group Participation Certificate(a) | ||||||||||||||||
3,525,000 | 4.436 | 06/15/07 | 3,467,377 | |||||||||||||
Tyco International Group SA | ||||||||||||||||
2,000,000 | 5.800 | 08/01/06 | 2,001,820 | |||||||||||||
5,469,197 | ||||||||||||||||
Electric – 1.2% | ||||||||||||||||
Calenergy, Inc. | ||||||||||||||||
1,500,000 | 7.630 | 10/15/07 | 1,543,624 | |||||||||||||
2,210,000 | 7.520 | 09/15/08 | 2,309,381 | |||||||||||||
CenterPoint Energy, Inc. Series B | ||||||||||||||||
550,000 | 7.250 | 09/01/10 | 578,319 | |||||||||||||
FirstEnergy Corp. Series C | ||||||||||||||||
4,050,000 | 7.375 | 11/15/31 | 4,411,030 | |||||||||||||
MidAmerican Energy Holdings Co.(a) | ||||||||||||||||
2,525,000 | 6.125 | 04/01/36 | 2,408,625 | |||||||||||||
Nisource Finance Corp.(c) | ||||||||||||||||
5,000,000 | 5.344 | 11/23/09 | 5,016,740 | |||||||||||||
Progress Energy, Inc. | ||||||||||||||||
3,025,000 | 7.750 | 03/01/31 | 3,428,345 | |||||||||||||
TXU Corp. | ||||||||||||||||
1,000,000 | 6.500 | 11/15/24 | 910,442 | |||||||||||||
TXU Corp. Series O | ||||||||||||||||
5,250,000 | 4.800 | 11/15/09 | 5,058,564 | |||||||||||||
25,665,070 | ||||||||||||||||
Entertainment – 0.1% | ||||||||||||||||
Time Warner Entertainment Co. | ||||||||||||||||
2,175,000 | 8.375 | 03/15/23 | 2,443,805 | |||||||||||||
Environmental – 0.1% | ||||||||||||||||
Waste Management, Inc. | ||||||||||||||||
2,000,000 | 7.375 | 08/01/10 | 2,117,028 | |||||||||||||
Food & Beverage – 0.0% | ||||||||||||||||
Tyson Foods, Inc. | ||||||||||||||||
350,000 | 7.250 | 10/01/06 | 352,361 | |||||||||||||
Gaming – 0.3% | ||||||||||||||||
Caesars Entertainment, Inc. | ||||||||||||||||
1,745,000 | 7.500 | 09/01/09 | 1,837,801 |
58
Principal | Interest | Maturity | ||||||||||||||
Amount* | Rate | Date | Value | |||||||||||||
Corporate Bonds – (continued) | ||||||||||||||||
Gaming – (continued) | ||||||||||||||||
Harrahs Operating Co., Inc. | ||||||||||||||||
$ | 2,475,000 | 5.500 | % | 07/01/10 | $ | 2,447,800 | ||||||||||
MGM Mirage, Inc. | ||||||||||||||||
850,000 | 8.500 | 09/15/10 | 905,250 | |||||||||||||
Park Place Entertainment Corp. | ||||||||||||||||
950,000 | 8.500 | 11/15/06 | 964,786 | |||||||||||||
6,155,637 | ||||||||||||||||
Home Construction – 0.2% | ||||||||||||||||
D. R. Horton, Inc. | ||||||||||||||||
3,425,000 | 6.875 | 05/01/13 | 3,488,431 | |||||||||||||
Life Insurance – 0.7% | ||||||||||||||||
AmerUs Group Co. | ||||||||||||||||
4,025,000 | 5.950 | 08/15/15 | 3,895,030 | |||||||||||||
Hartford Life, Inc. | ||||||||||||||||
200,000 | 7.100 | 06/15/07 | 203,525 | |||||||||||||
Phoenix Life Insurance Co.(a) | ||||||||||||||||
2,075,000 | 7.150 | 12/15/34 | 2,037,604 | |||||||||||||
Principal Financial Group Australia(a) | ||||||||||||||||
2,750,000 | 8.200 | 08/15/09 | 2,950,313 | |||||||||||||
Reinsurance Group of America, Inc. | ||||||||||||||||
550,000 | 6.750 | 12/15/11 | 563,853 | |||||||||||||
2,750,000 | 6.750 | (b)(c) | 12/15/15 | 2,571,670 | ||||||||||||
ZFS Finance USA Trust I(a)(b)(c) | ||||||||||||||||
2,975,000 | 6.150 | 12/15/10 | 2,884,131 | |||||||||||||
15,106,126 | ||||||||||||||||
Media — Cable – 0.8% | ||||||||||||||||
Comcast Cable Communications Holdings, Inc. | ||||||||||||||||
2,300,000 | 8.375 | 03/15/13 | 2,573,113 | |||||||||||||
2,050,000 | 9.455 | 11/15/22 | 2,553,608 | |||||||||||||
Comcast Cable Communications, Inc. | ||||||||||||||||
550,000 | 10.500 | 06/15/06 | 552,733 | |||||||||||||
Cox Communications, Inc. | ||||||||||||||||
7,211,000 | 4.625 | 01/15/10 | 6,920,318 | |||||||||||||
Cox Enterprises, Inc.(a) | ||||||||||||||||
2,825,000 | 4.375 | 05/01/08 | 2,744,530 | |||||||||||||
Rogers Cable, Inc. | ||||||||||||||||
1,575,000 | 5.500 | 03/15/14 | 1,450,969 | |||||||||||||
16,795,271 | ||||||||||||||||
Media — Non Cable – 0.7% | ||||||||||||||||
Clear Channel Communications, Inc. | ||||||||||||||||
5,325,000 | 8.000 | 11/01/08 | 5,589,158 | |||||||||||||
850,000 | 6.875 | 06/15/18 | 819,924 | |||||||||||||
1,875,000 | 7.250 | 10/15/27 | 1,822,392 | |||||||||||||
News America, Inc.(a) | ||||||||||||||||
2,750,000 | 6.400 | 12/15/35 | 2,599,096 | |||||||||||||
Viacom, Inc.(a) | ||||||||||||||||
1,975,000 | 5.750 | 04/30/11 | 1,961,290 | |||||||||||||
1,825,000 | 6.875 | 04/30/36 | 1,798,574 | |||||||||||||
14,590,434 | ||||||||||||||||
Noncaptive — Financial – 1.5% | ||||||||||||||||
American General Finance Corp. | ||||||||||||||||
2,000,000 | 6.100 | 05/22/06 | 2,001,100 | |||||||||||||
250,000 | 5.750 | 03/15/07 | 250,984 | |||||||||||||
200,000 | 2.750 | 06/15/08 | 189,505 | |||||||||||||
Countrywide Financial Corp.(c) | ||||||||||||||||
3,775,000 | 5.720 | 04/01/11 | 3,776,219 | |||||||||||||
GATX Financial Corp. | ||||||||||||||||
5,775,000 | 5.125 | 04/15/10 | 5,612,786 | |||||||||||||
General Electric Capital Corp. | ||||||||||||||||
3,000,000 | 7.375 | 01/19/10 | 3,190,722 | |||||||||||||
HSBC Finance Corp. | ||||||||||||||||
2,000,000 | 4.125 | 11/16/09 | 1,913,888 | |||||||||||||
1,000,000 | 6.375 | 10/15/11 | 1,034,153 | |||||||||||||
PHH Corp. | ||||||||||||||||
7,950,000 | 6.000 | 03/01/08 | 7,952,007 | |||||||||||||
2,600,000 | 7.125 | 03/01/13 | 2,614,941 | |||||||||||||
Wells Fargo Financial, Inc. | ||||||||||||||||
2,000,000 | 5.875 | 08/15/08 | 2,023,042 | |||||||||||||
30,559,347 | ||||||||||||||||
Paper – 0.2% | ||||||||||||||||
Westvaco Corp. | ||||||||||||||||
2,325,000 | 8.200 | 01/15/30 | 2,545,652 | |||||||||||||
675,000 | 7.950 | 02/15/31 | 727,262 | |||||||||||||
3,272,914 | ||||||||||||||||
Pipelines – 0.8% | ||||||||||||||||
CenterPoint Energy Resources Corp. Series B | ||||||||||||||||
100,000 | 7.875 | 04/01/13 | 110,093 | |||||||||||||
5,725,000 | 5.950 | 01/15/14 | 5,682,973 | |||||||||||||
Energy Transfer Partners | ||||||||||||||||
5,850,000 | 5.650 | 08/01/12 | 5,717,960 | |||||||||||||
2,775,000 | 5.950 | 02/01/15 | 2,707,351 | |||||||||||||
Panhandle Eastern Pipeline | ||||||||||||||||
1,350,000 | 4.800 | 08/15/08 | 1,326,179 | |||||||||||||
15,544,556 | ||||||||||||||||
Property/Casualty Insurance – 1.8% | ||||||||||||||||
ACE INA Holdings, Inc. | ||||||||||||||||
350,000 | 8.300 | 08/15/06 | 352,859 | |||||||||||||
ACE Ltd. | ||||||||||||||||
6,575,000 | 6.000 | 04/01/07 | 6,604,824 | |||||||||||||
AON Capital Trust A | ||||||||||||||||
1,852,000 | 8.205 | 01/01/27 | 2,049,201 | |||||||||||||
Arch Capital Group Ltd. | ||||||||||||||||
3,200,000 | 7.350 | 05/01/34 | 3,326,906 | |||||||||||||
Asif Global Financial XXIII(a) | ||||||||||||||||
1,875,000 | 3.900 | 10/22/08 | 1,811,282 | |||||||||||||
CNA Financial Corp. | ||||||||||||||||
1,375,000 | 6.750 | 11/15/06 | 1,382,711 | |||||||||||||
98,000 | 6.600 | 12/15/08 | 100,286 | |||||||||||||
500,000 | 5.850 | 12/15/14 | 478,279 | |||||||||||||
Endurance Specialty Holdings Ltd. | ||||||||||||||||
1,650,000 | 6.150 | 10/15/15 | 1,599,172 | |||||||||||||
750,000 | 7.000 | 07/15/34 | 723,146 |
59
Statement of Investments (continued)
Principal | Interest | Maturity | ||||||||||||||
Amount* | Rate | Date | Value | |||||||||||||
Corporate Bonds – (continued) | ||||||||||||||||
Property/ Casualty Insurance – (continued) | ||||||||||||||||
Hartford Financial Services Group, Inc. | ||||||||||||||||
$ | 2,000,000 | 7.900 | % | 06/15/10 | $ | 2,163,368 | ||||||||||
Liberty Mutual Group(a) | ||||||||||||||||
3,700,000 | 7.000 | 03/15/34 | 3,553,590 | |||||||||||||
550,000 | 6.500 | 03/15/35 | 493,048 | |||||||||||||
QBE Insurance Group Ltd.(a)(c) | ||||||||||||||||
3,150,000 | 5.647 | 07/01/23 | 3,006,609 | |||||||||||||
Royal & Sun Alliance Insurance Group PLC(b)(c) | ||||||||||||||||
GBP1,225,000 | 8.500 | 12/08/14 | 2,564,748 | |||||||||||||
SAFECO Corp. | ||||||||||||||||
$ | 5,000,000 | 6.875 | 07/15/07 | 5,037,950 | ||||||||||||
Zurich Capital Trust I(a) | ||||||||||||||||
2,500,000 | 8.376 | 06/01/37 | 2,668,625 | |||||||||||||
37,916,604 | ||||||||||||||||
Railroads – 0.1% | ||||||||||||||||
CSX Corp. | ||||||||||||||||
2,000,000 | 6.400 | 06/15/09 | 2,049,546 | |||||||||||||
REIT – 0.6% | ||||||||||||||||
Brandywine Operating Partnership LP | ||||||||||||||||
3,740,000 | 4.500 | 11/01/09 | 3,567,699 | |||||||||||||
EOP Operating LP | ||||||||||||||||
1,500,000 | 7.750 | 11/15/07 | 1,549,556 | |||||||||||||
iStar Financial, Inc. | ||||||||||||||||
2,200,000 | 5.650 | 09/15/11 | 2,164,145 | |||||||||||||
iStar Financial, Inc. Series B | ||||||||||||||||
3,275,000 | 5.700 | 03/01/14 | 3,165,651 | |||||||||||||
Liberty Property LP | ||||||||||||||||
1,100,000 | 7.250 | 03/15/11 | 1,159,691 | |||||||||||||
Simon Property Group LP | ||||||||||||||||
1,625,000 | 7.000 | 06/15/08 | 1,667,391 | |||||||||||||
13,274,133 | ||||||||||||||||
Technology – 0.4% | ||||||||||||||||
Computer Associates, Inc.(a) | ||||||||||||||||
4,975,000 | 5.250 | 12/01/09 | 4,838,188 | |||||||||||||
First Data Corp. | ||||||||||||||||
4,075,000 | 5.625 | 11/01/11 | 4,077,795 | |||||||||||||
8,915,983 | ||||||||||||||||
Tobacco – 0.2% | ||||||||||||||||
Altria Group, Inc. | ||||||||||||||||
475,000 | 7.000 | 11/04/13 | 503,516 | |||||||||||||
750,000 | 7.750 | 01/15/27 | 841,488 | |||||||||||||
2,550,000 | 6.950 | 06/01/06 | 2,552,861 | |||||||||||||
3,897,865 | ||||||||||||||||
Wireless Telecommunications – 0.5% | ||||||||||||||||
America Movil SA de CV | ||||||||||||||||
1,800,000 | 5.500 | 03/01/14 | 1,702,854 | |||||||||||||
1,600,000 | 6.375 | 03/01/35 | 1,459,216 | |||||||||||||
AT&T Wireless Services, Inc. | ||||||||||||||||
2,750,000 | 7.875 | 03/01/11 | 3,006,756 | |||||||||||||
Intelsat | ||||||||||||||||
3,850,000 | 5.250 | 11/01/08 | 3,715,250 | |||||||||||||
9,884,076 | ||||||||||||||||
Wirelines Telecommunications – 1.5% | ||||||||||||||||
Ameritech Capital Funding | ||||||||||||||||
775,000 | 6.250 | 05/18/09 | 783,961 | |||||||||||||
Deutsche Telekom International Finance BV | ||||||||||||||||
4,075,000 | 8.250 | 06/15/30 | 4,833,278 | |||||||||||||
France Telecom SA | ||||||||||||||||
5,750,000 | 7.750 | 03/01/11 | 6,255,367 | |||||||||||||
Qwest Capital Funding, Inc. | ||||||||||||||||
1,250,000 | 7.750 | 08/15/06 | 1,248,438 | |||||||||||||
500,000 | 7.900 | 08/15/10 | 513,750 | |||||||||||||
SBC Communications, Inc. | ||||||||||||||||
2,725,000 | 4.125 | 09/15/09 | 2,604,632 | |||||||||||||
1,000,000 | 5.875 | 02/01/12 | 1,000,368 | |||||||||||||
Sprint Capital Corp. | ||||||||||||||||
300,000 | 6.000 | 01/15/07 | 301,171 | |||||||||||||
3,100,000 | 7.625 | �� | 01/30/11 | 3,343,648 | ||||||||||||
3,850,000 | 6.875 | 11/15/28 | 3,970,918 | |||||||||||||
Telecom Italia Capital | ||||||||||||||||
1,025,000 | 4.000 | 01/15/10 | 965,188 | |||||||||||||
2,625,000 | 4.950 | 09/30/14 | 2,402,830 | |||||||||||||
Telecomunicaciones de Puerto Rico, Inc. | ||||||||||||||||
1,250,000 | 6.800 | 05/15/09 | 1,278,050 | |||||||||||||
TPSA Finance BV(a) | ||||||||||||||||
2,200,000 | 7.750 | 12/10/08 | 2,311,122 | |||||||||||||
31,812,721 | ||||||||||||||||
TOTAL CORPORATE BONDS | ||||||||||||||||
(Cost $327,220,825) | $ | 321,784,016 | ||||||||||||||
Emerging Market Debt – 0.4% | ||||||||||||||||
State of Qatar | ||||||||||||||||
$ | 5,060,000 | 9.750 | % | 06/15/30 | $ | 7,210,500 | ||||||||||
(Cost $7,477,603) | ||||||||||||||||
Mortgage-Backed Obligations – 47.4% | ||||||||||||||||
Adjustable Rate FNMA(c) – 0.6% | ||||||||||||||||
$ | 93,636 | 4.490 | % | 03/01/33 | $ | 93,263 | ||||||||||
11,624,768 | 3.854 | 10/01/33 | 11,411,941 | |||||||||||||
11,505,204 | ||||||||||||||||
Adjustable Rate Non-Agency(c) – 21.6% | ||||||||||||||||
Bear Stearns Adjustable Rate Mortgage Trust Series 2003-5, Class 1A1 | ||||||||||||||||
372,237 | 4.646 | 08/25/33 | 373,557 | |||||||||||||
Bear Stearns Alternative-A Trust Series 2005-8, Class 11A1 | ||||||||||||||||
4,687,695 | 5.229 | 10/25/35 | 4,702,889 |
60
Principal | Interest | Maturity | ||||||||||||||
Amount* | Rate | Date | Value | |||||||||||||
Mortgage-Backed Obligations – (continued) | ||||||||||||||||
Adjustable Rate Non-Agency(c) – (continued) | ||||||||||||||||
Countrywide Alternative Loan Trust Series 2005-51, Class 1A1 | ||||||||||||||||
$ | 10,204,232 | 5.243 | % | 11/20/35 | $ | 10,254,021 | ||||||||||
Countrywide Alternative Loan Trust Series 2005-51, Class 2A1 | ||||||||||||||||
13,841,393 | 5.223 | 11/20/35 | 13,893,555 | |||||||||||||
Countrywide Alternative Loan Trust Series 2005-51, Class 4A1 | ||||||||||||||||
11,637,396 | 5.243 | 11/20/35 | 11,691,642 | |||||||||||||
Countrywide Alternative Loan Trust Series 2005-59, Class 1A1 | ||||||||||||||||
11,758,786 | 5.253 | 11/20/35 | 11,829,777 | |||||||||||||
Countrywide Alternative Loan Trust Series 2005-59, Class 1A2A | ||||||||||||||||
9,798,988 | 5.303 | 11/20/35 | 9,832,336 | |||||||||||||
Countrywide Alternative Loan Trust Series 2005-62, Class 1A1 | ||||||||||||||||
16,633,319 | 5.259 | 12/25/35 | 16,707,511 | |||||||||||||
Countrywide Home Loan Mortgage Pass Through Trust Series 2006-3, Class 1A1 | ||||||||||||||||
9,445,145 | 5.199 | 03/25/36 | 9,449,366 | |||||||||||||
Countrywide Home Loans Series 2003-37, Class 1A1 | ||||||||||||||||
273,621 | 3.896 | 08/25/33 | 276,769 | |||||||||||||
CS First Boston Mortgage Securities Corp. Series 2003-AR9, Class 2A2 | ||||||||||||||||
238,290 | 5.100 | 03/25/33 | 236,731 | |||||||||||||
Downey Savings & Loan Association Mortgage Loan Trust Series 2005-AR6, Class 2A1A | ||||||||||||||||
13,915,100 | 5.200 | 10/19/45 | 13,967,895 | |||||||||||||
Harborview Mortgage Loan Trust Series 2005-10, Class 2A1A | ||||||||||||||||
20,303,341 | 5.220 | 11/19/35 | 20,356,288 | |||||||||||||
Harborview Mortgage Loan Trust Series 2005-16, Class 2A1A | ||||||||||||||||
4,991,549 | 5.150 | 01/19/36 | 5,003,986 | |||||||||||||
Harborview Mortgage Loan Trust Series 2005-16, Class 3A1A | ||||||||||||||||
21,810,229 | 5.160 | 01/19/36 | 21,794,285 | |||||||||||||
Indymac Index Mortgage Loan Trust Series 2006-AR2, Class 1A1A | ||||||||||||||||
12,856,839 | 5.179 | 04/25/46 | 12,856,839 | |||||||||||||
Indymac Index Mortgage Loan Trust Series 2006-AR4, Class A1A | ||||||||||||||||
14,956,772 | 5.169 | 05/25/46 | 14,956,772 | |||||||||||||
Lehman XS Trust Series 2005-5N, Class 3A1A | ||||||||||||||||
16,483,518 | 5.259 | 11/25/35 | 16,496,831 | |||||||||||||
Lehman XS Trust Series 2005-9N, Class 1A1 | ||||||||||||||||
15,725,969 | 5.229 | 02/25/36 | 15,743,110 | |||||||||||||
Luminent Mortgage Trust Series 2006-2, Class A1A | ||||||||||||||||
14,844,012 | 5.159 | 02/25/46 | 14,879,407 | |||||||||||||
Luminent Mortgage Trust Series 2006-2, Class A1B | ||||||||||||||||
2,968,803 | 5.239 | 02/25/46 | 2,971,093 | |||||||||||||
Master Adjustable Rate Mortgages Trust Series 2004-9, Class 2A1 | ||||||||||||||||
1,446,827 | 5.339 | 11/25/34 | 1,451,922 | |||||||||||||
MLCC Mortgage Investors, Inc. Series 2004-E, Class A2B | ||||||||||||||||
9,633,839 | 5.439 | 11/25/29 | 9,635,847 | |||||||||||||
Mortgage IT Trust Series 2005-AR1, Class 1A1 | ||||||||||||||||
16,361,954 | 5.209 | 11/25/35 | 16,407,449 | |||||||||||||
Sequoia Mortgage Trust Series 2003-4, Class 1A2 | ||||||||||||||||
5,860,122 | 5.050 | 07/20/33 | 5,866,089 | |||||||||||||
Structured Asset Mortgage Investments, Inc. Series 2006-AR1, Class 3A1 | ||||||||||||||||
19,860,167 | 5.189 | 02/25/36 | 19,953,261 | |||||||||||||
Structured Asset Mortgage Investments, Inc. Series 2006-AR2, Class A1 | ||||||||||||||||
13,715,297 | 5.189 | 02/25/36 | 13,726,012 | |||||||||||||
Structured Asset Securities Corp. Series 2003-37A, Class 3A7 | ||||||||||||||||
6,012,310 | 4.520 | 12/25/33 | 5,945,461 | |||||||||||||
Washington Mutual Series 2002-AR19, Class A7 | ||||||||||||||||
1,070,736 | 4.679 | 02/25/33 | 1,056,909 | |||||||||||||
Washington Mutual Series 2005-AR8, Class 2A1A | ||||||||||||||||
23,598,155 | 5.249 | 07/25/45 | 23,670,129 | |||||||||||||
Washington Mutual Series 2005-AR11, Class A1A | ||||||||||||||||
14,260,134 | 5.279 | 08/25/45 | 14,296,850 | |||||||||||||
Washington Mutual Series 2005-AR13, Class A1A1 | ||||||||||||||||
23,031,011 | 5.249 | 10/25/45 | 23,161,187 | |||||||||||||
Washington Mutual Series 2005-AR15, Class A1A1 | ||||||||||||||||
22,092,830 | 5.219 | 11/25/45 | 22,144,702 | |||||||||||||
Washington Mutual Series 2005-AR17, Class A1A1 | ||||||||||||||||
17,328,449 | 5.229 | 12/25/45 | 17,333,820 | |||||||||||||
Wells Fargo Mortgage Backed Securities Trust Series 2005-AR16, Class 1A1 | ||||||||||||||||
16,664,327 | 4.978 | 10/25/35 | 16,580,344 | |||||||||||||
Wells Fargo Mortgage Backed Securities Trust Series 2006-AR2, Class 2A3 | ||||||||||||||||
29,459,099 | 5.094 | 03/25/36 | 29,061,905 | |||||||||||||
448,566,547 | ||||||||||||||||
CMBS – 6.7% | ||||||||||||||||
Interest Only(a)(c)(d) – 0.1% | ||||||||||||||||
Bear Stearns Commercial Mortgage Securities, Inc. Series 2001-TOP2, Class X2 | ||||||||||||||||
38,000,000 | 1.070 | 02/15/35 | 835,905 | |||||||||||||
CS First Boston Mortgage Securities Corp. Series 2002-CKS4, Class ASP | ||||||||||||||||
26,177,440 | 1.590 | 11/15/36 | 1,214,165 | |||||||||||||
2,050,070 | ||||||||||||||||
Sequential Fixed Rate – 6.6% | ||||||||||||||||
Asset Securitization Corp. Series 1997-D4, Class A1D | ||||||||||||||||
767,454 | 7.490 | 04/14/29 | 779,490 | |||||||||||||
Banc of America Commercial Mortgage, Inc. Series 2005-6, Class A4 | ||||||||||||||||
20,000,000 | 5.182 | 09/10/47 | 19,312,896 | |||||||||||||
Citigroup/Deutsche Bank Commercial Mortgage Trust Series 2006-C02, Class A4 | ||||||||||||||||
15,000,000 | 5.545 | 01/15/46 | 14,637,370 | |||||||||||||
Commercial Mortgage Acceptance Corp. Series 1997-ML1, Class A3 | ||||||||||||||||
2,800,000 | 6.570 | 12/15/30 | 2,822,077 | |||||||||||||
CS First Boston Mortgage Securities Corp. Series 1997-C2, Class A3 | ||||||||||||||||
9,956,449 | 6.550 | 01/17/35 | 10,101,466 | |||||||||||||
First Union National Bank Commercial Mortgage Trust Series 2000-C2, Class A2 | ||||||||||||||||
17,000,000 | 7.202 | 10/15/32 | 18,014,767 |
61
Statement of Investments (continued)
Principal | Interest | Maturity | ||||||||||||||
Amount* | Rate | Date | Value | |||||||||||||
Mortgage-Backed Obligations – (continued) | ||||||||||||||||
Sequential Fixed Rate – (continued) | ||||||||||||||||
First Union-Lehman Brothers Commercial Mortgage Services Series 1997-C1, Class A3 | ||||||||||||||||
$ | 1,727,400 | 7.380 | % | 04/18/29 | $ | 1,740,637 | ||||||||||
GMAC Commercial Mortgage Securities Inc. Series 2002-C1, Class A2 | ||||||||||||||||
15,000,000 | 6.278 | 11/15/39 | 15,475,745 | |||||||||||||
LB-UBS Commercial Mortgage Trust Series 2005-C5, Class A4 | ||||||||||||||||
9,000,000 | 4.954 | 09/15/30 | 8,537,519 | |||||||||||||
LB-UBS Commercial Mortgage Trust Series 2005-C7, Class A4 | ||||||||||||||||
10,175,000 | 5.197 | 11/15/30 | 9,812,023 | |||||||||||||
LB-UBS Commercial Mortgage Trust Series 2006-C1, Class A4 | ||||||||||||||||
12,000,000 | 5.156 | 02/15/31 | 11,457,192 | |||||||||||||
Merrill Lynch Mortgage Investors, Inc. Series 1998-C2, Class A2 | ||||||||||||||||
1,730,696 | 6.390 | 02/15/30 | 1,751,294 | |||||||||||||
Merrill Lynch Mortgage Investors, Inc. Series 1999-C1, Class A2 | ||||||||||||||||
4,315,269 | 7.560 | 11/15/31 | 4,515,356 | |||||||||||||
Morgan Stanley Capital I Series 2006-T21, Class A4 | ||||||||||||||||
19,000,000 | 5.162 | 10/12/52 | 18,204,468 | |||||||||||||
137,162,300 | ||||||||||||||||
TOTAL CMBS | $ | 139,212,370 | ||||||||||||||
CMOs – 0.8% | ||||||||||||||||
Interest Only(d) – 0.1% | ||||||||||||||||
ABN AMRO Mortgage Corp. Series 2003-5, Class A2 | ||||||||||||||||
2,797,793 | 5.500 | 04/25/33 | 306,872 | |||||||||||||
Countrywide Home Loan Trust Series 2003-42, Class 2X1(c) | ||||||||||||||||
3,514,218 | 0.370 | 10/25/33 | 21,872 | |||||||||||||
CS First Boston Mortgage Securities Corp. Series 2002-AR31, Class 5X(c) | ||||||||||||||||
2,323,207 | 0.000 | 11/25/32 | 1,394 | |||||||||||||
CS First Boston Mortgage Securities Corp. Series 2003-08, Class 3A2 | ||||||||||||||||
564,856 | 5.500 | 04/25/33 | 47,942 | |||||||||||||
CS First Boston Mortgage Securities Corp. Series 2003-10, Class 3A13 | ||||||||||||||||
508,552 | 5.750 | 05/25/33 | 26,694 | |||||||||||||
CS First Boston Mortgage Securities Corp. Series 2003-11, Class 1A2 | ||||||||||||||||
398,976 | 5.500 | 06/25/33 | 26,288 | |||||||||||||
CS First Boston Mortgage Securities Corp. Series 2003-AR18, Class 2X(c) | ||||||||||||||||
3,726,763 | 0.782 | 07/25/33 | 34,653 | |||||||||||||
CS First Boston Mortgage Securities Corp. Series 2003-AR20, Class 2X(c) | ||||||||||||||||
4,222,885 | 0.605 | 08/25/33 | 35,274 | |||||||||||||
FNMA Series 1992-24, Class N | ||||||||||||||||
312 | 789.000 | 03/25/07 | 1,124 | |||||||||||||
FNMA Series 1993-11, Class M | ||||||||||||||||
7,871 | 7.500 | 02/25/08 | 45 | |||||||||||||
FNMA Series 2004-47, Class EI(c) | ||||||||||||||||
7,621,074 | 0.000 | 06/25/34 | 357,238 | |||||||||||||
FNMA Series 2004-62, Class DI(c) | ||||||||||||||||
3,351,230 | 0.000 | 07/25/33 | 168,609 | |||||||||||||
FNMA Series 2004-71, Class DI(c) | ||||||||||||||||
6,772,277 | 0.000 | 04/25/34 | 355,544 | |||||||||||||
Washington Mutual Series 2003-AR04, Class X1(c) | ||||||||||||||||
5,653,597 | 1.181 | 01/25/08 | 83,998 | |||||||||||||
Washington Mutual Series 2003-AR05, Class X1(c) | ||||||||||||||||
16,303,530 | 0.756 | 02/25/08 | 169,033 | |||||||||||||
Washington Mutual Series 2003-AR06, Class X2(c) | ||||||||||||||||
12,401,923 | 0.371 | 05/25/08 | 64,557 | |||||||||||||
Washington Mutual Series 2003-AR07, Class X(c) | ||||||||||||||||
20,108,215 | 0.943 | 06/25/08 | 265,925 | |||||||||||||
Washington Mutual Series 2003-AR12, Class X(c) | ||||||||||||||||
14,143,399 | 0.489 | 02/25/34 | 113,997 | |||||||||||||
Wells Fargo Mortgage Backed Securities Trust Series 2003-G, Class AI0(c) | ||||||||||||||||
14,164,951 | 0.762 | 06/25/33 | 356,009 | |||||||||||||
2,437,068 | ||||||||||||||||
Inverse Floaters(c) – 0.2% | ||||||||||||||||
FHLMC Series 1544, Class M | ||||||||||||||||
64,386 | 10.712 | 07/15/08 | 66,267 | |||||||||||||
FNMA Series 1993-072, Class SA | ||||||||||||||||
25,797 | 11.311 | 05/25/08 | 27,079 | |||||||||||||
FNMA Series 1993-093, Class SA | ||||||||||||||||
38,879 | 13.848 | 05/25/08 | 41,283 | |||||||||||||
FNMA Series 1993-095, Class SE | ||||||||||||||||
38,314 | 14.528 | 06/25/08 | 41,305 | |||||||||||||
FNMA Series 1993-135, Class S | ||||||||||||||||
66,436 | 7.429 | 07/25/08 | 67,734 | |||||||||||||
FNMA Series 1993-175, Class SA | ||||||||||||||||
294,520 | 11.938 | 09/25/08 | 308,878 | |||||||||||||
GNMA Series 2001-48, Class SA | ||||||||||||||||
254,682 | 10.530 | 10/16/31 | 274,033 | |||||||||||||
GNMA Series 2001-51, Class SA | ||||||||||||||||
490,531 | 11.223 | 10/16/31 | 536,100 | |||||||||||||
GNMA Series 2001-51, Class SB | ||||||||||||||||
506,938 | 10.530 | 10/16/31 | 547,156 | |||||||||||||
GNMA Series 2001-59, Class SA | ||||||||||||||||
88,270 | 10.368 | 11/16/24 | 94,864 | |||||||||||||
GNMA Series 2002-11, Class SA | ||||||||||||||||
258,707 | 14.653 | 02/16/32 | 307,092 | |||||||||||||
GNMA Series 2002-13, Class SB | ||||||||||||||||
605,282 | 14.653 | 02/16/32 | 718,409 | |||||||||||||
Morgan Stanley Mortgage Trust Series 40, Class 16 | ||||||||||||||||
834,940 | 9.280 | 01/20/22 | 838,826 | |||||||||||||
3,869,026 | ||||||||||||||||
PAC – 0.0% | ||||||||||||||||
FNMA Series 1999-51, Class LG | ||||||||||||||||
442,651 | 6.500 | 12/25/28 | 443,476 | |||||||||||||
62
Principal | Interest | Maturity | ||||||||||||||
Amount* | Rate | Date | Value | |||||||||||||
Mortgage-Backed Obligations – (continued) | ||||||||||||||||
Regular Floater(c) – 0.0% | ||||||||||||||||
FHLMC Series 1537, Class F | ||||||||||||||||
$ | 219,202 | 4.604 | % | 06/15/08 | $ | 218,414 | ||||||||||
FNMA REMIC Trust Series 1993-175, Class FA | ||||||||||||||||
636,163 | 4.040 | 09/25/08 | 627,619 | |||||||||||||
846,033 | ||||||||||||||||
Sequential Fixed Rate – 0.5% | ||||||||||||||||
FHLMC Series 2367, Class BC | ||||||||||||||||
1,140,935 | 6.000 | 04/15/16 | 1,141,749 | |||||||||||||
FNMA REMIC Trust Series 1993-78, Class H | ||||||||||||||||
657,574 | 6.500 | 06/25/08 | 661,496 | |||||||||||||
FNMA Series 1993-201, Class K | ||||||||||||||||
315,546 | 6.500 | 01/25/23 | 314,536 | |||||||||||||
FNMA Series 1999-1, Class PG | ||||||||||||||||
1,813,459 | 6.500 | 04/25/28 | 1,814,163 | |||||||||||||
FNMA Series 2001-M2, Class C | ||||||||||||||||
5,511,300 | 6.300 | 09/25/15 | 5,602,973 | |||||||||||||
9,534,917 | ||||||||||||||||
TOTAL CMOS | $ | 17,130,520 | ||||||||||||||
FHLMC – 2.8% | ||||||||||||||||
370,935 | 5.000 | 12/01/12 | 366,544 | |||||||||||||
34,304 | 5.500 | 07/01/13 | 34,082 | |||||||||||||
258,412 | 5.500 | 12/01/13 | 256,737 | |||||||||||||
3,013,398 | 6.500 | 12/01/13 | 3,065,750 | |||||||||||||
87,066 | 5.500 | 02/01/14 | 86,502 | |||||||||||||
31,499 | 5.500 | 06/01/14 | 31,294 | |||||||||||||
81,023 | 5.500 | 09/01/14 | 80,497 | |||||||||||||
4,856 | 7.000 | 10/01/14 | 4,967 | |||||||||||||
1,765,961 | 6.000 | 12/01/14 | 1,776,226 | |||||||||||||
45,996 | 7.000 | 05/01/15 | 47,041 | |||||||||||||
132,899 | 8.000 | 07/01/15 | 140,451 | |||||||||||||
20,052 | 7.000 | 02/01/16 | 20,623 | |||||||||||||
38,078 | 7.000 | 03/01/16 | 39,172 | |||||||||||||
956,526 | 7.500 | 05/01/16 | 1,000,020 | |||||||||||||
4,171 | 7.000 | 10/01/17 | 4,304 | |||||||||||||
570,850 | 4.500 | 04/01/18 | 544,279 | |||||||||||||
527,481 | 4.500 | 06/01/18 | 502,928 | |||||||||||||
1,093,304 | 4.500 | 08/01/18 | 1,042,475 | |||||||||||||
1,390,954 | 4.500 | 01/01/19 | 1,326,208 | |||||||||||||
8,106,999 | 4.500 | 02/01/19 | 7,730,097 | |||||||||||||
2,141,662 | 5.500 | 05/01/23 | 2,099,702 | |||||||||||||
1,273,282 | 5.500 | 06/01/23 | 1,248,335 | |||||||||||||
1,346,060 | 5.500 | 07/01/23 | 1,319,687 | |||||||||||||
3,880,387 | 4.500 | 10/01/23 | 3,621,837 | |||||||||||||
607,461 | 5.500 | 10/01/25 | 594,478 | |||||||||||||
1,090,532 | 5.500 | 11/01/25 | 1,067,225 | |||||||||||||
96,340 | 7.000 | 06/01/26 | 99,106 | |||||||||||||
63,901 | 7.500 | 03/01/27 | 66,495 | |||||||||||||
18,375 | 6.500 | 06/01/29 | 18,747 | |||||||||||||
2,816,534 | 6.500 | 12/01/29 | 2,876,053 | |||||||||||||
82,423 | 7.500 | 12/01/30 | 85,637 | |||||||||||||
59,681 | 7.500 | 01/01/31 | 62,007 | |||||||||||||
92,483 | 6.500 | 03/01/32 | 94,238 | |||||||||||||
23,527 | 6.500 | 04/01/32 | 23,974 | |||||||||||||
239,807 | 6.500 | 07/01/32 | 244,358 | |||||||||||||
369,797 | 6.500 | 06/01/33 | 375,886 | |||||||||||||
1,697,932 | 6.500 | 08/01/33 | 1,730,151 | |||||||||||||
601,559 | 6.500 | 10/01/33 | 611,463 | |||||||||||||
1,254,300 | 6.500 | 11/01/33 | 1,274,953 | |||||||||||||
16,082,115 | 6.500 | 12/01/33 | 16,346,911 | |||||||||||||
553,071 | 6.500 | 01/01/34 | 562,177 | |||||||||||||
505,769 | 6.500 | 03/01/34 | 514,097 | |||||||||||||
5,000,000 | 5.000 | (e) | TBA-15yr | 4,859,375 | ||||||||||||
57,897,089 | ||||||||||||||||
FNMA – 14.3% | ||||||||||||||||
1,280,974 | 7.040 | 08/01/15 | 1,387,635 | |||||||||||||
400,812 | 8.500 | 10/01/15 | 424,311 | |||||||||||||
16,896 | 7.000 | 01/01/16 | 17,265 | |||||||||||||
850,626 | 6.000 | 12/01/16 | 861,057 | |||||||||||||
10,376,470 | 5.000 | 10/01/17 | 10,125,793 | |||||||||||||
64,856,206 | 5.000 | 12/01/17 | 63,289,393 | |||||||||||||
1,875,353 | 5.000 | 01/01/18 | 1,830,048 | |||||||||||||
5,470,196 | 5.000 | 02/01/18 | 5,336,711 | |||||||||||||
1,952,775 | 5.000 | 04/01/18 | 1,905,123 | |||||||||||||
981,511 | 5.000 | 05/01/18 | 957,560 | |||||||||||||
993,953 | 4.500 | 07/01/18 | 948,565 | |||||||||||||
103,844 | 6.000 | 08/01/18 | 103,991 | |||||||||||||
3,321,743 | 5.000 | 11/01/18 | 3,240,685 | |||||||||||||
3,543,440 | 5.000 | 04/01/19 | 3,456,972 | |||||||||||||
970,138 | 5.000 | 12/01/19 | 946,464 | |||||||||||||
12,561,834 | 4.500 | 09/01/23 | 11,743,773 | |||||||||||||
2,035,128 | 4.500 | 10/01/23 | 1,889,197 | |||||||||||||
2,827,100 | 6.460 | 12/01/28 | 2,735,357 | |||||||||||||
12,148 | 7.500 | 03/01/29 | 12,637 | |||||||||||||
12,435 | 7.500 | 08/01/29 | 12,935 | |||||||||||||
4,356 | 7.500 | 11/01/29 | 4,531 | |||||||||||||
64,799 | 6.500 | 12/01/30 | 66,047 | |||||||||||||
107,397 | 7.500 | 12/01/30 | 111,260 | |||||||||||||
155,344 | 8.000 | 01/01/31 | 164,216 | |||||||||||||
106,283 | 8.000 | 02/01/31 | 112,730 | |||||||||||||
1,169,631 | 7.000 | 03/01/31 | 1,204,062 | |||||||||||||
20,546 | 6.500 | 09/01/33 | 20,889 | |||||||||||||
159,000,000 | 5.000 | (e) | TBA-15yr | 154,776,642 | ||||||||||||
31,000,000 | 4.500 | (e) | TBA-15yr | 29,508,125 | ||||||||||||
297,193,974 | ||||||||||||||||
Principal Only(f) – 0.6% | ||||||||||||||||
FHLMC Series 235, Class PO | ||||||||||||||||
9,391,214 | 0.000 | 02/01/36 | 6,488,742 | |||||||||||||
FNMA Series 363, Class 1 | ||||||||||||||||
9,662,459 | 0.000 | 11/01/35 | 6,740,536 | |||||||||||||
13,229,278 | ||||||||||||||||
TOTAL MORTGAGE-BACKED OBLIGATIONS | ||||||||||||||||
(Cost $993,018,327) | $ | 984,734,982 | ||||||||||||||
63
Statement of Investments (continued)
Principal | Interest | Maturity | ||||||||||||||
Amount* | Rate | Date | Value | |||||||||||||
Agency Debentures – 10.9% | ||||||||||||||||
FFCB | ||||||||||||||||
$ | 2,000,000 | 3.625 | % | 01/04/08 | $ | 1,951,152 | ||||||||||
9,000,000 | 4.830 | 12/22/14 | 8,678,952 | |||||||||||||
FHLB | ||||||||||||||||
10,000,000 | 2.750 | 05/15/06 | 9,990,390 | |||||||||||||
37,000,000 | 4.770 | (c) | 12/13/06 | 36,994,746 | ||||||||||||
1,500,000 | 5.800 | 09/02/08 | 1,519,744 | |||||||||||||
5,000,000 | 5.375 | (g) | 05/15/09 | 5,023,668 | ||||||||||||
10,000,000 | 6.715 | 06/29/09 | 10,468,010 | |||||||||||||
10,000,000 | 6.500 | 08/14/09 | 10,376,771 | |||||||||||||
2,500,000 | 4.000 | 02/15/11 | 2,365,973 | |||||||||||||
9,595,000 | 4.250 | 11/15/11 | 9,113,792 | |||||||||||||
17,360,000 | 4.500 | 09/14/12 | 16,582,428 | |||||||||||||
FHLMC | ||||||||||||||||
40,000,000 | 4.480 | 09/19/08 | 39,357,908 | |||||||||||||
FNMA | ||||||||||||||||
10,000,000 | 3.010 | 06/02/06 | 9,981,020 | |||||||||||||
16,000,000 | 3.250 | 06/28/06 | 15,950,560 | |||||||||||||
15,000,000 | 3.550 | 01/12/07 | 14,829,330 | |||||||||||||
19,000,000 | 6.160 | 12/18/07 | 19,294,576 | |||||||||||||
1,000,000 | 5.250 | 01/15/09 | 1,003,009 | |||||||||||||
13,000,000 | 4.750 | 02/21/13 | 12,444,160 | |||||||||||||
TOTAL AGENCY DEBENTURES | ||||||||||||||||
(Cost $229,850,916) | $ | 225,926,189 | ||||||||||||||
Asset-Backed Securities – 7.2% | ||||||||||||||||
Credit Card – 0.2% | ||||||||||||||||
MBNA Master Credit Card Trust II Series 1999-J, Class A | ||||||||||||||||
$ | 3,000,000 | 7.000 | % | 02/15/12 | $ | 3,166,289 | ||||||||||
Financials – 0.1% | ||||||||||||||||
Small Business Administration | ||||||||||||||||
987,611 | 6.300 | 06/01/18 | 1,008,865 | |||||||||||||
Home Equity(c) – 6.5% | ||||||||||||||||
Aames Mortgage Trust Series 2000-2, Class A6F | ||||||||||||||||
333,573 | 7.180 | 11/25/28 | 335,091 | |||||||||||||
Amortizing Residential Collateral Trust Series 2002-BC1M, Class A | ||||||||||||||||
1,658,352 | 5.239 | 01/01/32 | 1,655,761 | |||||||||||||
ContiMortgage Home Equity Loan Trust Series 1999-1, Class A7 | ||||||||||||||||
52,173 | 6.970 | 12/25/13 | 51,880 | |||||||||||||
Countrywide Asset-Backed Certificates Series 2004-BC5, Class A2 | ||||||||||||||||
9,244,705 | 5.229 | 10/25/34 | 9,262,435 | |||||||||||||
Countrywide Home Equity Loan Trust Series 2002-E, Class A | ||||||||||||||||
3,714,174 | 5.161 | 10/15/28 | 3,722,561 | |||||||||||||
Countrywide Home Equity Loan Trust Series 2003-A, Class A | ||||||||||||||||
11,442,492 | 5.251 | 03/15/29 | 11,474,092 | |||||||||||||
Countrywide Home Equity Loan Trust Series 2004-G, Class 2A | ||||||||||||||||
3,687,276 | 5.121 | 12/15/29 | 3,697,337 | |||||||||||||
Countrywide Home Equity Loan Trust Series 2004-S, Class 1A | ||||||||||||||||
9,621,278 | 5.141 | 02/15/30 | 9,634,291 | |||||||||||||
Countrywide Home Equity Loan Trust Series 2005-I, Class 2A | ||||||||||||||||
16,122,043 | 5.131 | 02/15/36 | 16,137,157 | |||||||||||||
First Franklin Mortgage Loan Asset Backed Certificates Series 2004-FF11, Class 2A2 | ||||||||||||||||
10,428,697 | 5.239 | 01/25/35 | 10,453,142 | |||||||||||||
FNMA Series 2005-T2, Class 1A1 | ||||||||||||||||
3,603,410 | 4.667 | 11/28/35 | 3,602,708 | |||||||||||||
Impac CMB Trust Series 2004-8, Class 1A | ||||||||||||||||
4,122,365 | 5.319 | 10/25/34 | 4,141,209 | |||||||||||||
Impac CMB Trust Series 2004-10, Class 2A | ||||||||||||||||
8,436,905 | 5.279 | 03/25/35 | 8,467,588 | |||||||||||||
Impac CMB Trust Series 2005-6, Class 1A1 | ||||||||||||||||
16,454,122 | 5.209 | 10/25/35 | 16,468,150 | |||||||||||||
Impac Secured Assets Corp. Series 2005-2, Class A1W | ||||||||||||||||
15,351,684 | 5.209 | 03/25/36 | 15,373,180 | |||||||||||||
Morgan Stanley ABS Capital I Series 2004-HE1, Class A4 | ||||||||||||||||
14,746,088 | 5.329 | 01/25/34 | 14,748,321 | |||||||||||||
Popular ABS Mortgage Pass-Through Trust Series 2004-5, Class AV2 | ||||||||||||||||
3,257,719 | 5.299 | 12/25/34 | 3,269,427 | |||||||||||||
Residential Asset Securities Corp. Series 2004-KS1, Class A2B2 | ||||||||||||||||
2,057,119 | 5.239 | 02/25/34 | 2,057,825 | |||||||||||||
134,552,155 | ||||||||||||||||
Manufactured Housing – 0.1% | ||||||||||||||||
Mid-State Trust Series 4, Class A | ||||||||||||||||
2,182,258 | 8.330 | 04/01/30 | 2,300,307 | |||||||||||||
Utilities – 0.3% | ||||||||||||||||
Massachusetts RRB Special Purpose Trust Series 1999-1, Class A5 | ||||||||||||||||
6,150,000 | 7.030 | 03/15/12 | 6,434,767 | |||||||||||||
TOTAL ASSET-BACKED SECURITIES | ||||||||||||||||
(Cost $147,415,792) | $ | 147,462,383 | ||||||||||||||
U.S. Treasury Obligations – 21.4% | ||||||||||||||||
United States Treasury Bonds | ||||||||||||||||
$ | 95,000,000 | 4.625 | % | 02/29/08 | $ | 94,569,555 | ||||||||||
47,700,000 | 4.500 | 02/15/09 | 47,230,441 | |||||||||||||
51,500,000 | 4.750 | 03/31/11 | 51,093,613 | |||||||||||||
1,900,000 | 7.125 | 02/15/23 | 2,280,133 | |||||||||||||
United States Treasury Inflation Protected Securities | ||||||||||||||||
24,208,839 | 1.875 | 07/15/15 | 23,238,791 | |||||||||||||
39,641,580 | 2.000 | 01/15/16 | 38,323,815 | |||||||||||||
United States Treasury Notes | ||||||||||||||||
150,000 | 7.000 | 07/15/06 | 150,609 | |||||||||||||
1,000,000 | 6.625 | 05/15/07 | 1,016,920 | |||||||||||||
2,500,000 | 6.125 | 08/15/07 | 2,537,305 | |||||||||||||
72,200,000 | 4.375 | 12/31/07 | 71,599,296 | |||||||||||||
20,000,000 | 4.375 | 01/31/08 | 19,827,340 | |||||||||||||
2,000,000 | 5.625 | 05/15/08 | 2,028,740 | |||||||||||||
1,000,000 | 6.500 | 02/15/10 | 1,054,670 | |||||||||||||
8,100,000 | 4.500 | 02/15/16 | 7,746,889 |
64
Principal | Interest | Maturity | ||||||||||||||
Amount* | Rate | Date | Value | |||||||||||||
U.S. Treasury Obligations – (continued) | ||||||||||||||||
United States Treasury Principal-Only STRIPS(f) | ||||||||||||||||
$ | 560,000 | 0.000 | % | 05/15/18 | $ | 298,861 | ||||||||||
16,700,000 | 0.000 | (g) | 02/15/19 | 8,532,531 | ||||||||||||
38,200,000 | 0.000 | 05/15/20 | 18,155,314 | |||||||||||||
1,800,000 | 0.000 | 08/15/20 | 842,992 | |||||||||||||
82,900,000 | 0.000 | 11/15/21 | 36,245,538 | |||||||||||||
3,250,000 | 0.000 | 11/15/22 | 1,347,710 | |||||||||||||
13,000,000 | 0.000 | 11/15/24 | 4,844,970 | |||||||||||||
32,800,000 | 0.000 | 02/15/25 | 12,065,480 | |||||||||||||
TOTAL U.S. TREASURY OBLIGATIONS | ||||||||||||||||
(Cost $454,949,977) | $ | 445,031,513 | ||||||||||||||
TOTAL INVESTMENTS BEFORE REPURCHASE AGREEMENT – 102.7% | ||||||||||||||||
(Cost $2,159,933,440) | $ | 2,132,149,583 | ||||||||||||||
Repurchase Agreement(h) – 3.9% | ||||||||||||||||
Joint Repurchase Agreement Account II | ||||||||||||||||
$ | 80,700,000 | 4.784 | % | 05/01/06 | $ | 80,700,000 | ||||||||||
Maturity Value: $80,732,172 | ||||||||||||||||
(Cost $80,700,000) | ||||||||||||||||
TOTAL INVESTMENTS – 106.6% | ||||||||||||||||
(Cost $2,240,633,440) | $ | 2,212,849,583 | ||||||||||||||
Liabilities in Excess of Other Assets — (6.6)% | (137,103,344 | ) | ||||||||||||||
Net Assets — 100.0% | $ | 2,075,746,239 | ||||||||||||||
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
* | The principal amount of each security is stated in the currency in which the bond is denominated. See below. |
Currency Description | ||||||||||
EUR | = | Euro | ||||||||
GBP | = | British Pound |
(a) | Securities are exempt from registration under Rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the Investment Adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $63,995,276, which represents approximately 3.1% of net assets as of April 30, 2006. | |
(b) | Perpetual maturity. Maturity date presented represents the next call date. | |
(c) | Variable rate security. Interest rate disclosed is that which is in effect at April 30, 2006. | |
(d) | Represents security with notional or nominal principal amount. The actual effective yield of this security is different than the stated interest rate due to the amortization of related premiums or accretion of discounts. | |
(e) | TBA (To Be Announced) Securities are purchased on a forward commitment basis with an approximate principal amount and no defined maturity date. The actual principal and maturity date will be determined upon settlement when the specific mortgage pools are assigned. Total market value of TBA securities amounts to $189,144,142 which represents approximately 9.1% of net assets as of April 30, 2006. | |
(f) | Security issued with a zero coupon. Income is recognized through the accretion of discount. | |
(g) | A portion of this security is segregated as collateral for initial margin requirement on futures transactions. | |
(h) | Joint repurchase agreement was entered into on April 28, 2006. Additional information appears on page 75. |
Investment Abbreviations: | ||||||
CMBS | — | Commercial Mortgage Backed Securities | ||||
CMOs | — | Collateralized Mortgage Obligations | ||||
FFCB | — | Federal Farm Credit Bank | ||||
FHLB | — | Federal Home Loan Bank | ||||
FHLMC | — | Federal Home Loan Mortgage Corp. | ||||
FNMA | — | Federal National Mortgage Association | ||||
GNMA | — | Government National Mortgage Association | ||||
PAC | — | Planned Amortization Class | ||||
REIT | — | Real Estate Investment Trust | ||||
REMIC | — | Real Estate Mortgage Investment Conduit | ||||
STRIPS | — | Separate Trading of Registered Interest and Principal of Securities | ||||
65
Statement of Investments (continued)
ADDITIONAL INVESTMENT INFORMATION |
FORWARD FOREIGN CURRENCY CONTRACTS — At April 30, 2006, the Fund had outstanding forward foreign currency exchange contracts, both to purchase and sell foreign currencies as follows:
Open Forward Foreign Currency | Expiration | Value on | Unrealized | |||||||||||||
Purchase Contracts | Date | Settlement Date | Current Value | Gain | ||||||||||||
Australian Dollar | 06/21/2006 | $ | 29,113,482 | $ | 30,130,049 | $ | 1,016,567 | |||||||||
British Pound | 06/21/2006 | 25,287,000 | 26,325,097 | 1,038,097 | ||||||||||||
Canadian Dollar | 06/21/2006 | 57,237,000 | 58,801,341 | 1,564,341 | ||||||||||||
Euro | 06/21/2006 | 37,518,000 | 38,786,573 | 1,268,573 | ||||||||||||
Norwegian Krone | 06/21/2006 | 43,173,189 | 46,291,638 | 3,118,449 | ||||||||||||
Swedish Krona | 06/21/2006 | 19,637,229 | 20,507,168 | 869,939 | ||||||||||||
Swiss Franc | 06/21/2006 | 35,600,725 | 36,648,778 | 1,048,053 | ||||||||||||
TOTAL OPEN FORWARD FOREIGN CURRENCY PURCHASE CONTRACTS | $ | 247,566,625 | $ | 257,490,644 | $ | 9,924,019 | ||||||||||
Open Forward Foreign Currency | Expiration | Value on | Unrealized | |||||||||||||
Sale Contracts | Date | Settlement Date | Current Value | Loss | ||||||||||||
Australian Dollar | 06/21/2006 | $ | 31,469,000 | $ | 32,921,629 | $ | (1,452,629 | ) | ||||||||
British Pound | 05/15/2006 | 2,481,091 | 2,600,141 | (119,050 | ) | |||||||||||
06/21/2006 | 66,014,156 | 68,781,619 | (2,767,463 | ) | ||||||||||||
Canadian Dollar | 06/21/2006 | 36,781,419 | 38,066,667 | (1,285,248 | ) | |||||||||||
Euro | 05/24/2006 | 4,051,040 | 4,121,999 | (70,959 | ) | |||||||||||
06/21/2006 | 55,735,688 | 58,004,056 | (2,268,368 | ) | ||||||||||||
Japanese Yen | 06/21/2006 | 5,752,771 | 5,926,010 | (173,239 | ) | |||||||||||
New Zealand Dollar | 06/21/2006 | 25,390,341 | 26,519,137 | (1,128,796 | ) | |||||||||||
Norwegian Krone | 06/21/2006 | 12,635,000 | 13,379,883 | (744,883 | ) | |||||||||||
Swedish Krona | 06/21/2006 | 18,711,000 | 19,781,279 | (1,070,279 | ) | |||||||||||
Swiss Franc | 06/21/2006 | 12,474,000 | 13,100,835 | (626,835 | ) | |||||||||||
TOTAL OPEN FORWARD FOREIGN CURRENCY SALE CONTRACTS | $ | 271,495,506 | $ | 283,203,255 | $ | (11,707,749 | ) | |||||||||
FUTURES CONTRACTS — At April 30, 2006, the following futures contacts were open as follows:
Number of | ||||||||||||||||
Contracts | Settlement | Unrealized | ||||||||||||||
Type | Long (Short) | Month | Market Value | Gain (Loss) | ||||||||||||
Eurodollars | 413 | June 2006 | $ | 97,891,325 | $ | (25,142 | ) | |||||||||
Eurodollars | 237 | September 2006 | 56,145,300 | (235,676 | ) | |||||||||||
Eurodollars | 250 | December 2006 | 59,221,875 | (345,017 | ) | |||||||||||
Eurodollars | 13 | March 2007 | 3,080,675 | (16,294 | ) | |||||||||||
Eurodollars | 203 | June 2007 | 48,116,075 | (232,413 | ) | |||||||||||
Eurodollars | 163 | September 2007 | 38,637,113 | (136,004 | ) | |||||||||||
U.S. Treasury Bonds | 868 | June 2006 | 92,740,375 | (4,941,806 | ) | |||||||||||
2 Year U.S. Treasury Notes | 1,297 | June 2006 | 264,243,486 | (508,512 | ) | |||||||||||
5 Year U.S. Treasury Notes | (1,132 | ) | June 2006 | (117,904,875 | ) | 73,422 | ||||||||||
10 Year U.S. Treasury Notes | 156 | June 2006 | 16,470,188 | (63,812 | ) | |||||||||||
$ | 558,641,537 | $ | (6,431,254 | ) | ||||||||||||
66
ADDITIONAL INVESTMENT INFORMATION (continued) |
SWAP CONTRACTS — At April 30, 2006, the Fund had outstanding swap contracts with the following terms:
INTEREST RATE SWAP CONTRACTS
Rate Type | ||||||||||||||||
Notional | Payments | Payments | ||||||||||||||
Amount | Termination | received by | made by | Unrealized | ||||||||||||
Swap Counterparty | (000s) | Date | the Fund | the Fund | Gain (Loss) | |||||||||||
Banc of America Securities LLC | $ | 60,000 | 12/27/2006 | 3.43% | 3 month LIBOR | $ | (303,329 | ) | ||||||||
Banc of America Securities LLC | 100,000 | 10/14/2008 | 3.51% | 3 month LIBOR | (4,130,212 | ) | ||||||||||
Banc of America Securities LLC(a) | 110,940 | 02/17/2009 | 3 month LIBOR | 5.05% | 537,106 | |||||||||||
Banc of America Securities LLC(a) | 127,180 | 02/17/2009 | 3 month LIBOR | 5.10% | 499,812 | |||||||||||
Banc of America Securities LLC | 80,000 | 09/02/2010 | 4.31% | 3 month LIBOR | (3,332,947 | ) | ||||||||||
Banc of America Securities LLC | 65,000 | 10/06/2010 | 4.70% | 3 month LIBOR | (1,730,924 | ) | ||||||||||
Banc of America Securities LLC | 65,000 | 04/19/2012 | 4.55% | 3 month LIBOR | (2,944,433 | ) | ||||||||||
Banc of America Securities LLC(a) | 119,460 | 02/18/2014 | 5.10% | 3 month LIBOR | (2,837,004 | ) | ||||||||||
Banc of America Securities LLC(a) | 136,790 | 02/18/2014 | 5.14% | 3 month LIBOR | (2,948,244 | ) | ||||||||||
Banc of America Securities LLC | 11,000 | 05/26/2015 | 4.53% | 3 month LIBOR | (665,409 | ) | ||||||||||
Banc of America Securities LLC | 25,000 | 10/19/2015 | 4.97% | 3 month LIBOR | (1,076,218 | ) | ||||||||||
Banc of America Securities LLC | 20,000 | 11/12/2019 | 3 month LIBOR | 5.07% | 812,458 | |||||||||||
Banc of America Securities LLC | 80,000 | 03/23/2020 | 3 month LIBOR | 5.11% | 4,124,449 | |||||||||||
Banc of America Securities LLC(a) | 50,360 | 02/15/2022 | 3 month LIBOR | 5.16% | 2,664,905 | |||||||||||
Banc of America Securities LLC(a) | 57,620 | 02/17/2022 | 3 month LIBOR | 5.19% | 2,883,089 | |||||||||||
Banc of America Securities LLC | 9,000 | 03/30/2035 | 5.32% | 3 month LIBOR | (504,309 | ) | ||||||||||
Banc of America Securities LLC | 10,000 | 04/09/2035 | 5.27% | 3 month LIBOR | (639,851 | ) | ||||||||||
$ | (9,591,061 | ) | ||||||||||||||
(a) | Represents forward starting interest rate swap whose effective dates of commencement of accruals and cash flows occur in February 2007. |
LIBOR—London Interbank Offered Rate
67
Statement of Investments (continued)
ADDITIONAL INVESTMENT INFORMATION (continued) |
CREDIT DEFAULT SWAP CONTRACTS
Notional | Rate | ||||||||||||||||||||
Amount | Paid by | Termination | Unrealized | ||||||||||||||||||
Referenced Obligation | Swap Counterparty | (000s) | the Fund | Date | Gain (Loss) | ||||||||||||||||
Protection Purchased: | |||||||||||||||||||||
Cendant Corp., | Banc of America Securities LLC | $ | 975 | 1.08 | % | 12/20/2010 | $ | (27,084 | ) | ||||||||||||
7.375%, 01/15/2013 | |||||||||||||||||||||
Cendant Corp., 7.375%, 01/15/2013 | Salomon Smith Barney, Inc. | 1,825 | 1.22 | % | 12/20/2010 | (54,747 | ) | ||||||||||||||
7.375%, 01/15/2013 | 975 | 1.05 | % | 12/20/2010 | (25,846 | ) | |||||||||||||||
7.375%, 01/15/2013 | 900 | 1.13 | % | 12/20/2010 | (26,904 | ) | |||||||||||||||
First Data Corp., 5.625%, 11/01/2011 | J.P. Morgan Securities, Inc. | 2,800 | 0.50 | % | 03/01/2011 | (47,090 | ) | ||||||||||||||
5.625%, 11/01/2011 | 1,525 | 0.25 | % | 06/20/2011 | 7,241 | ||||||||||||||||
iBoxx Core Investment Grade Bond Trust | Salomon Smith Barney, Inc. | 169,000 | 0.45 | % | 12/20/2010 | (867,313 | ) | ||||||||||||||
PHH Corp. | |||||||||||||||||||||
7.125%, 03/01/2013 | Bear Stearns & Co. | 2,600 | 1.15 | % | 06/20/2013 | (17,678 | ) | ||||||||||||||
TOTAL | $ | (1,059,421 | ) | ||||||||||||||||||
68
Statement of Investments
Principal | Interest | Maturity | ||||||||||||||
Amount* | Rate | Date | Value | |||||||||||||
Corporate Bonds – 96.0% | ||||||||||||||||
Aerospace/Defense(a) – 0.2% | ||||||||||||||||
Bombardier Capital, Inc. | ||||||||||||||||
$ | 450,000 | 6.125 | % | 06/29/06 | $ | 451,125 | ||||||||||
Automotive – 1.6% | ||||||||||||||||
DaimlerChrysler NA Holding Corp. | ||||||||||||||||
380,000 | 5.360 | (b) | 09/10/07 | 381,048 | ||||||||||||
400,000 | 8.500 | 01/18/31 | 463,692 | |||||||||||||
Ford Motor Credit Co. | ||||||||||||||||
1,700,000 | 5.700 | 01/15/10 | 1,489,123 | |||||||||||||
General Motors Acceptance Corp. | ||||||||||||||||
1,275,000 | 6.875 | 09/15/11 | 1,194,797 | |||||||||||||
3,528,660 | ||||||||||||||||
Banks – 22.1% | ||||||||||||||||
Abbey National PLC(b)(c) | ||||||||||||||||
2,500,000 | 7.350 | 10/15/06 | 2,526,023 | |||||||||||||
ANZ Capital Trust I(a)(c) | ||||||||||||||||
325,000 | 4.484 | 01/15/10 | 310,185 | |||||||||||||
800,000 | 5.360 | 12/15/13 | 759,678 | |||||||||||||
Astoria Financial Corp. | ||||||||||||||||
225,000 | 5.750 | 10/15/12 | 220,079 | |||||||||||||
Banca Popolare di Bergamo Capital Trust(b)(c) | ||||||||||||||||
EUR475,000 | 8.364 | 02/15/11 | 696,940 | |||||||||||||
Bank of America Corp. | ||||||||||||||||
$ | 2,000,000 | 7.400 | 01/15/11 | 2,151,298 | ||||||||||||
Bank United Corp. | ||||||||||||||||
250,000 | 8.875 | 05/01/07 | 256,408 | |||||||||||||
Citigroup, Inc. | ||||||||||||||||
589,000 | 7.250 | 10/15/11 | 632,482 | |||||||||||||
Commonwealth Bank of Australia(a)(b)(c) | ||||||||||||||||
1,325,000 | 6.024 | 03/15/16 | 1,291,838 | |||||||||||||
Credit Suisse (USA), Inc. | ||||||||||||||||
1,000,000 | 5.250 | 03/02/11 | 985,689 | |||||||||||||
Credit Suisse First Boston London(a)(b)(c) | ||||||||||||||||
1,625,000 | 7.900 | 05/01/07 | 1,660,974 | |||||||||||||
Danske Bank A/S(a)(b) | ||||||||||||||||
300,000 | 7.400 | 06/15/10 | 307,265 | |||||||||||||
Firstar Capital Trust I | ||||||||||||||||
2,500,000 | 8.320 | 12/15/26 | 2,642,263 | |||||||||||||
ForeningSparbanken AB (Swedbank)(a)(b)(c) | ||||||||||||||||
500,000 | 7.500 | 11/01/06 | 505,385 | |||||||||||||
Greater Bay Bancorp Series D | ||||||||||||||||
2,700,000 | 5.125 | 04/15/10 | 2,631,884 | |||||||||||||
GreenPoint Financial Corp. | ||||||||||||||||
600,000 | 3.200 | 06/06/08 | 573,244 | |||||||||||||
HBOS PLC(a)(b)(c) | ||||||||||||||||
1,750,000 | 5.375 | 11/01/13 | 1,668,569 | |||||||||||||
HSBC Capital Funding LP(a)(b)(c) | ||||||||||||||||
1,050,000 | 4.610 | 06/27/13 | 957,503 | |||||||||||||
HSBC USA, Inc. | ||||||||||||||||
250,000 | 6.625 | 03/01/09 | 260,618 | |||||||||||||
Huntington National Bank | ||||||||||||||||
1,000,000 | 8.000 | 04/01/10 | 1,078,856 | |||||||||||||
J.P. Morgan Chase & Co. | ||||||||||||||||
550,000 | 6.625 | 03/15/12 | 573,228 | |||||||||||||
850,000 | 5.150 | 10/01/15 | 804,165 | |||||||||||||
Key Bank N.A. | ||||||||||||||||
1,000,000 | 6.500 | 10/15/27 | 1,020,780 | |||||||||||||
Manufacturers & Traders Trust Co.(b) | ||||||||||||||||
1,495,000 | 5.585 | 12/28/20 | 1,453,595 | |||||||||||||
Mizuho JGB Investment LLC(a)(b)(c) | ||||||||||||||||
1,275,000 | 9.870 | 06/30/08 | 1,379,238 | |||||||||||||
MUFG Capital Finance 1 Ltd.(b)(c) | ||||||||||||||||
2,400,000 | 6.346 | 07/25/16 | 2,351,678 | |||||||||||||
Nordbanken AB(a)(b)(c) | ||||||||||||||||
2,380,000 | 8.950 | 11/12/09 | 2,615,696 | |||||||||||||
North Fork Bancorp.(b) | ||||||||||||||||
1,350,000 | 5.000 | 08/15/12 | 1,340,316 | |||||||||||||
PNC Funding Corp. | ||||||||||||||||
600,000 | 7.500 | 11/01/09 | 637,183 | |||||||||||||
Popular North America, Inc. | ||||||||||||||||
1,795,000 | 4.250 | 04/01/08 | 1,753,665 | |||||||||||||
RBS Capital Trust II(b)(c) | ||||||||||||||||
1,000,000 | 5.512 | 09/30/14 | 954,404 | |||||||||||||
Resona Bank Ltd.(a)(b)(c) | ||||||||||||||||
EUR925,000 | 4.125 | 09/27/12 | 1,125,625 | |||||||||||||
$ | 1,475,000 | 5.850 | 09/29/49 | 1,408,711 | ||||||||||||
Resona Preferred Global Securities Ltd.(a)(b)(c) | ||||||||||||||||
2,000,000 | 7.191 | 07/30/15 | 2,056,184 | |||||||||||||
Royal Bank of Scotland Group PLC(c) | ||||||||||||||||
400,000 | 9.118 | 03/31/10 | 445,902 | |||||||||||||
Sovereign Bank | ||||||||||||||||
1,000,000 | 4.000 | 02/01/08 | 977,887 | |||||||||||||
455,000 | 4.375 | (b) | 08/01/13 | 441,669 | ||||||||||||
300,000 | 5.125 | 03/15/13 | 286,262 | |||||||||||||
Tokai Preferred Capital Co. LLC(a)(b)(c) | ||||||||||||||||
650,000 | 9.980 | 06/30/08 | 704,300 | |||||||||||||
Unicredito Italiano Capital Trust(a)(b)(c) | ||||||||||||||||
500,000 | 9.200 | 10/05/10 | 563,739 | |||||||||||||
Wachovia Capital Trust III(b)(c) | ||||||||||||||||
1,825,000 | 5.800 | 03/15/11 | 1,789,188 | |||||||||||||
Washington Mutual, Inc. | ||||||||||||||||
1,000,000 | 5.000 | 03/22/12 | 961,776 | |||||||||||||
47,762,372 | ||||||||||||||||
Brokerage – 2.2% | ||||||||||||||||
Lehman Brothers Holdings E-Capital Trust I(a)(b)(c) | ||||||||||||||||
675,000 | 5.550 | 08/19/10 | 676,982 | |||||||||||||
Lehman Brothers Holdings, Inc. | ||||||||||||||||
1,500,000 | 5.000 | 01/14/11 | 1,465,683 | |||||||||||||
Morgan Stanley | ||||||||||||||||
2,200,000 | 5.050 | 01/21/11 | 2,147,255 | |||||||||||||
550,000 | 5.300 | 03/01/13 | 533,259 | |||||||||||||
4,823,179 | ||||||||||||||||
Captive Financial – 0.2% | ||||||||||||||||
Nelnet, Inc. | ||||||||||||||||
420,000 | 5.125 | 06/01/10 | 403,494 | |||||||||||||
69
Statement of Investments (continued)
Principal | Interest | Maturity | ||||||||||||||
Amount* | Rate | Date | Value | |||||||||||||
Corporate Bonds – (continued) | ||||||||||||||||
Consumer Cyclical Services – 2.1% | ||||||||||||||||
Cendant Corp. | ||||||||||||||||
$ | 250,000 | 6.250 | % | 01/15/08 | $ | 253,273 | ||||||||||
1,700,000 | 7.375 | 01/15/13 | 1,859,353 | |||||||||||||
Sabre Holdings Corp. | ||||||||||||||||
2,550,000 | 6.350 | 03/15/16 | 2,450,530 | |||||||||||||
4,563,156 | ||||||||||||||||
Consumer Products(c) – 0.3% | ||||||||||||||||
Fortune Brands, Inc. | ||||||||||||||||
800,000 | 5.875 | 01/15/36 | 721,930 | |||||||||||||
Diversified Manufacturing – 1.7% | ||||||||||||||||
Tyco International Group Participation Certificate(a) | ||||||||||||||||
2,350,000 | 4.436 | 06/15/07 | 2,311,584 | |||||||||||||
Tyco International Group SA | ||||||||||||||||
1,300,000 | 6.750 | 02/15/11 | 1,352,445 | |||||||||||||
3,664,029 | ||||||||||||||||
Electric – 6.3% | ||||||||||||||||
Calenergy, Inc. | ||||||||||||||||
1,575,000 | 7.630 | 10/15/07 | 1,620,805 | |||||||||||||
280,000 | 7.520 | 09/15/08 | 292,591 | |||||||||||||
Centerpoint Energy, Inc. | ||||||||||||||||
2,100,000 | 5.875 | 06/01/08 | 2,109,845 | |||||||||||||
CenterPoint Energy, Inc. Series B | ||||||||||||||||
350,000 | 7.250 | 09/01/10 | 368,021 | |||||||||||||
Columbus Southern Power Co. Series F | ||||||||||||||||
1,000,000 | 5.850 | 10/01/35 | 913,348 | |||||||||||||
FirstEnergy Corp. Series C | ||||||||||||||||
2,220,000 | 7.375 | 11/15/31 | 2,417,898 | |||||||||||||
MidAmerican Energy Holdings Co.(a) | ||||||||||||||||
1,150,000 | 6.125 | 04/01/36 | 1,096,998 | |||||||||||||
Nisource Finance Corp.(b) | ||||||||||||||||
500,000 | 5.344 | 11/23/09 | 501,674 | |||||||||||||
Progress Energy, Inc. | ||||||||||||||||
2,175,000 | 5.625 | 01/15/16 | 2,101,668 | |||||||||||||
1,000,000 | 7.000 | 10/30/31 | 1,047,114 | |||||||||||||
TXU Corp. Series O | ||||||||||||||||
1,225,000 | 4.800 | 11/15/09 | 1,180,331 | |||||||||||||
13,650,293 | ||||||||||||||||
Entertainment – 0.8% | ||||||||||||||||
Time Warner Entertainment Co. | ||||||||||||||||
1,290,000 | 8.375 | 03/15/23 | 1,449,429 | |||||||||||||
Time Warner Entertainment Co. LP | ||||||||||||||||
325,000 | 7.250 | 09/01/08 | 336,194 | |||||||||||||
1,785,623 | ||||||||||||||||
Environmental – 0.7% | ||||||||||||||||
Waste Management, Inc. | ||||||||||||||||
1,385,000 | 7.375 | 08/01/10 | 1,466,042 | |||||||||||||
Food & Beverage – 1.3% | ||||||||||||||||
ConAgra Foods, Inc. | ||||||||||||||||
1,275,000 | 7.000 | 10/01/28 | 1,286,420 | |||||||||||||
Nabisco, Inc. | ||||||||||||||||
929,000 | 7.050 | 07/15/07 | 946,669 | |||||||||||||
Tyson Foods, Inc. | ||||||||||||||||
645,000 | 7.250 | 10/01/06 | 649,351 | |||||||||||||
2,882,440 | ||||||||||||||||
Food & Drug Retailing(c) – 0.1% | ||||||||||||||||
Kroger Co. | ||||||||||||||||
250,000 | 7.450 | 03/01/08 | 258,235 | |||||||||||||
Gaming – 0.7% | ||||||||||||||||
Harrahs Operating Co., Inc. | ||||||||||||||||
1,425,000 | 7.500 | 01/15/09 | 1,487,622 | |||||||||||||
Home Construction – 0.4% | ||||||||||||||||
D. R. Horton, Inc. | ||||||||||||||||
825,000 | 6.875 | 05/01/13 | 840,279 | |||||||||||||
Life Insurance – 7.1% | ||||||||||||||||
AmerUs Group Co. | ||||||||||||||||
1,575,000 | 5.950 | 08/15/15 | 1,524,142 | |||||||||||||
AXA Financial, Inc. | ||||||||||||||||
805,000 | 7.750 | 08/01/10 | 868,031 | |||||||||||||
Lincoln National Corp. | ||||||||||||||||
1,000,000 | 6.200 | 12/15/11 | 1,031,947 | |||||||||||||
Phoenix Life Insurance Co.(a) | ||||||||||||||||
2,275,000 | 7.150 | 12/15/34 | 2,234,000 | |||||||||||||
PRICOA Global Funding I(a) | ||||||||||||||||
600,000 | 4.200 | 01/15/10 | 572,694 | |||||||||||||
Principal Financial Group Australia(a) | ||||||||||||||||
1,850,000 | 8.200 | 08/15/09 | 1,984,756 | |||||||||||||
Reinsurance Group of America, Inc. | ||||||||||||||||
625,000 | 6.750 | 12/15/11 | 640,742 | |||||||||||||
1,250,000 | 6.750 | (b)(c) | 12/15/15 | 1,168,941 | ||||||||||||
Reliastar Financial Corp. | ||||||||||||||||
1,550,000 | 6.500 | 11/15/08 | 1,585,125 | |||||||||||||
SL Finance PLC | ||||||||||||||||
EUR650,000 | 6.375 | 07/12/22 | 902,864 | |||||||||||||
The Mony Group, Inc. | ||||||||||||||||
$ | 1,000,000 | 8.350 | 03/15/10 | 1,092,326 | ||||||||||||
ZFS Finance USA Trust I(a)(b)(c) | ||||||||||||||||
1,875,000 | 6.150 | 12/15/10 | 1,817,730 | |||||||||||||
15,423,298 | ||||||||||||||||
Media — Cable – 3.3% | ||||||||||||||||
Comcast Cable Communications Holdings, Inc. | ||||||||||||||||
575,000 | 6.875 | 06/15/09 | 595,381 | |||||||||||||
1,350,000 | 9.455 | 11/15/22 | 1,681,644 | |||||||||||||
Cox Communications, Inc. | ||||||||||||||||
1,550,000 | 4.625 | 01/15/10 | 1,487,518 | |||||||||||||
150,000 | 6.950 | 01/15/28 | 147,833 | |||||||||||||
Cox Enterprises, Inc.(a) | ||||||||||||||||
3,275,000 | 4.375 | 05/01/08 | 3,181,712 | |||||||||||||
7,094,088 | ||||||||||||||||
Media — Non Cable – 1.8% | ||||||||||||||||
Clear Channel Communications, Inc. | ||||||||||||||||
1,700,000 | 8.000 | 11/01/08 | 1,784,332 |
70
Principal | Interest | Maturity | ||||||||||||||
Amount* | Rate | Date | Value | |||||||||||||
Corporate Bonds – (continued) | ||||||||||||||||
Media — Non Cable – (continued) | ||||||||||||||||
News America, Inc. | ||||||||||||||||
$ | 250,000 | 7.125 | % | 04/08/28 | $ | 252,417 | ||||||||||
325,000 | 6.400 | (a) | 12/15/35 | 307,166 | ||||||||||||
Viacom, Inc.(a) | ||||||||||||||||
850,000 | 5.750 | 04/30/11 | 844,099 | |||||||||||||
775,000 | 6.875 | 04/30/36 | 763,778 | |||||||||||||
3,951,792 | ||||||||||||||||
Noncaptive — Financial – 8.7% | ||||||||||||||||
American General Finance Corp. | ||||||||||||||||
1,825,000 | 8.450 | 10/15/09 | 1,994,269 | |||||||||||||
Capital One Bank | ||||||||||||||||
325,000 | 5.000 | 06/15/09 | 320,571 | |||||||||||||
Capital One Financial Corp. | ||||||||||||||||
935,000 | 8.750 | 02/01/07 | 957,468 | |||||||||||||
Countrywide Financial Corp.(b) | ||||||||||||||||
2,550,000 | 5.720 | 04/01/11 | 2,550,824 | |||||||||||||
GATX Financial Corp. | ||||||||||||||||
3,400,000 | 5.125 | 04/15/10 | 3,304,497 | |||||||||||||
HSBC Finance Corp. | ||||||||||||||||
1,669,000 | 4.125 | 11/16/09 | 1,597,140 | |||||||||||||
PHH Corp. | ||||||||||||||||
3,088,000 | 6.000 | 03/01/08 | 3,088,780 | |||||||||||||
1,900,000 | 7.125 | 03/01/13 | 1,910,918 | |||||||||||||
Waddell & Reed Financial, Inc. | ||||||||||||||||
3,250,000 | 5.600 | 01/15/11 | 3,183,778 | |||||||||||||
18,908,245 | ||||||||||||||||
Paper – 0.2% | ||||||||||||||||
Westvaco Corp. | ||||||||||||||||
250,000 | 8.200 | 01/15/30 | 273,726 | |||||||||||||
75,000 | 7.950 | 02/15/31 | 80,807 | |||||||||||||
354,533 | ||||||||||||||||
Pipelines – 3.7% | ||||||||||||||||
CenterPoint Energy Resources Corp. Series B | ||||||||||||||||
700,000 | 7.875 | 04/01/13 | 770,652 | |||||||||||||
550,000 | 5.950 | 01/15/14 | 545,963 | |||||||||||||
Energy Transfer Partners | ||||||||||||||||
2,875,000 | 5.650 | (a) | 08/01/12 | 2,810,109 | ||||||||||||
2,000,000 | 5.950 | 02/01/15 | 1,951,244 | |||||||||||||
Enterprise Products Partners LP | ||||||||||||||||
1,805,000 | 4.950 | 06/01/10 | 1,748,034 | |||||||||||||
Panhandle Eastern Pipeline | ||||||||||||||||
150,000 | 4.800 | 08/15/08 | 147,353 | |||||||||||||
7,973,355 | ||||||||||||||||
Property/Casualty Insurance – 7.6% | ||||||||||||||||
Ace Capital Trust II | ||||||||||||||||
250,000 | 9.700 | 04/01/30 | 321,309 | |||||||||||||
ACE INA Holdings, Inc. | ||||||||||||||||
535,000 | 8.300 | 08/15/06 | 539,370 | |||||||||||||
AON Capital Trust A | ||||||||||||||||
1,000,000 | 8.205 | 01/01/27 | 1,106,480 | |||||||||||||
Arch Capital Group Ltd. | ||||||||||||||||
1,245,000 | 7.350 | 05/01/34 | 1,294,375 | |||||||||||||
Aspen Insurance Holdings Ltd. | ||||||||||||||||
1,100,000 | 6.000 | 08/15/14 | 1,042,173 | |||||||||||||
CNA Financial Corp. | ||||||||||||||||
520,000 | 6.750 | 11/15/06 | 522,916 | |||||||||||||
350,000 | 6.600 | 12/15/08 | 358,165 | |||||||||||||
1,000,000 | 5.850 | 12/15/14 | 956,558 | |||||||||||||
Endurance Specialty Holdings Ltd. | ||||||||||||||||
500,000 | 6.150 | 10/15/15 | 484,598 | |||||||||||||
775,000 | 7.000 | 07/15/34 | 747,251 | |||||||||||||
GE Global Insurance Holding Corp. | ||||||||||||||||
2,000,000 | 7.500 | 06/15/10 | 2,129,474 | |||||||||||||
Liberty Mutual Group(a) | ||||||||||||||||
2,040,000 | 7.000 | 03/15/34 | 1,959,277 | |||||||||||||
Marsh & McLennan Cos., Inc. | ||||||||||||||||
1,000,000 | 5.150 | 09/15/10 | 970,675 | |||||||||||||
1,000,000 | 5.750 | 09/15/15 | 958,036 | |||||||||||||
QBE Insurance Group Ltd.(a)(b) | ||||||||||||||||
855,000 | 5.647 | 07/01/23 | 816,080 | |||||||||||||
Royal & Sun Alliance Insurance Group PLC(c) | ||||||||||||||||
GBP225,000 | 9.402 | 07/29/49 | 471,076 | |||||||||||||
Symetra Financial Corp.(a) | ||||||||||||||||
$ | 1,600,000 | 6.125 | 04/01/16 | 1,564,518 | ||||||||||||
Zurich Capital Trust I(a)(c) | ||||||||||||||||
125,000 | 8.376 | 06/01/07 | 133,431 | |||||||||||||
16,375,762 | ||||||||||||||||
Railroads – 1.0% | ||||||||||||||||
Union Pacific Corp. | ||||||||||||||||
2,000,000 | 7.375 | 09/15/09 | 2,111,104 | |||||||||||||
REIT – 10.1% | ||||||||||||||||
Arden Realty LP | ||||||||||||||||
320,000 | 7.000 | 11/15/07 | 328,523 | |||||||||||||
1,160,000 | 5.200 | 09/01/11 | 1,145,782 | |||||||||||||
Brandywine Operating Partnership LP | ||||||||||||||||
1,125,000 | 4.500 | 11/01/09 | 1,073,172 | |||||||||||||
BRE Properties Inc. | ||||||||||||||||
3,525,000 | 7.450 | 01/15/11 | 3,756,776 | |||||||||||||
Camden Property Trust | ||||||||||||||||
1,650,000 | 4.375 | 01/15/10 | 1,584,574 | |||||||||||||
EOP Operating LP | ||||||||||||||||
1,692,000 | 7.750 | 11/15/07 | 1,747,899 | |||||||||||||
945,000 | 8.100 | 08/01/10 | 1,026,933 | |||||||||||||
iStar Financial, Inc. Series B | ||||||||||||||||
3,200,000 | 5.700 | 03/01/14 | 3,093,155 | |||||||||||||
Liberty Property LP | ||||||||||||||||
225,000 | 7.750 | 04/15/09 | 236,885 | |||||||||||||
Pan Pacific Retail Properties, Inc. | ||||||||||||||||
1,350,000 | 5.950 | 06/01/14 | 1,325,897 | |||||||||||||
Post Apartment Homes LP | ||||||||||||||||
1,500,000 | 7.700 | 12/20/10 | 1,610,705 | |||||||||||||
ProLogis | ||||||||||||||||
2,250,000 | 5.500 | 04/01/12 | 2,214,677 | |||||||||||||
Shurgard Storage Centers, Inc. | ||||||||||||||||
2,050,000 | 7.750 | 02/22/11 | 2,202,241 |
71
Statement of Investments (continued)
Principal | Interest | Maturity | ||||||||||||||
Amount* | Rate | Date | Value | |||||||||||||
Corporate Bonds – (continued) | ||||||||||||||||
REIT – (continued) | ||||||||||||||||
Simon Property Group LP | ||||||||||||||||
$ | 200,000 | 7.000 | % | 06/15/08 | $ | 205,217 | ||||||||||
200,000 | 7.750 | 01/20/11 | 216,641 | |||||||||||||
21,769,077 | ||||||||||||||||
Software Technology(a) – 1.1% | ||||||||||||||||
Oracle Corp. and Ozark Holdings, Inc. | ||||||||||||||||
2,400,000 | 5.000 | 01/15/11 | 2,339,074 | |||||||||||||
Technology – 1.5% | ||||||||||||||||
Computer Associates, Inc.(a) | ||||||||||||||||
1,875,000 | 4.750 | 12/01/09 | 1,823,438 | |||||||||||||
First Data Corp. | ||||||||||||||||
1,375,000 | 5.625 | 11/01/11 | 1,375,943 | |||||||||||||
3,199,381 | ||||||||||||||||
Tobacco – 1.2% | ||||||||||||||||
Altria Group, Inc. | ||||||||||||||||
275,000 | 7.000 | 11/04/13 | 291,509 | |||||||||||||
993,000 | 7.750 | 01/15/27 | 1,114,130 | |||||||||||||
Imperial Tobacco Overseas BV | ||||||||||||||||
1,200,000 | 7.125 | 04/01/09 | 1,246,952 | |||||||||||||
2,652,591 | ||||||||||||||||
Wireless Telecommunications – 1.4% | ||||||||||||||||
America Movil SA de CV | ||||||||||||||||
800,000 | 5.500 | 03/01/14 | 756,824 | |||||||||||||
900,000 | 6.375 | 03/01/35 | 820,809 | |||||||||||||
AT&T Wireless Services, Inc. | ||||||||||||||||
900,000 | 8.750 | 03/01/31 | 1,126,158 | |||||||||||||
Intelsat | ||||||||||||||||
350,000 | 5.250 | 11/01/08 | 337,750 | |||||||||||||
3,041,541 | ||||||||||||||||
Wirelines Telecommunications – 6.6% | ||||||||||||||||
Ameritech Capital Funding | ||||||||||||||||
575,000 | 6.250 | 05/18/09 | 581,648 | |||||||||||||
Bellsouth Telecommunications, Inc. | ||||||||||||||||
426,000 | 6.125 | 09/23/08 | 430,573 | |||||||||||||
Deutsche Telekom International Finance BV | ||||||||||||||||
2,650,000 | 8.250 | 06/15/30 | 3,143,113 | |||||||||||||
France Telecom SA | ||||||||||||||||
2,375,000 | 7.750 | 03/01/11 | 2,583,739 | |||||||||||||
EUR175,000 | 8.125 | 01/28/33 | 298,362 | |||||||||||||
GTE Corp. | ||||||||||||||||
1,260,000 | 7.510 | 04/01/09 | 1,322,172 | |||||||||||||
Sprint Capital Corp. | ||||||||||||||||
1,750,000 | 6.875 | 11/15/28 | 1,804,963 | |||||||||||||
Telecom Italia Capital | ||||||||||||||||
700,000 | 4.000 | 01/15/10 | 659,153 | |||||||||||||
1,700,000 | 4.950 | 09/30/14 | 1,556,119 | |||||||||||||
TPSA Finance BV | ||||||||||||||||
350,000 | 7.750 | (a) | 12/10/08 | 367,679 | ||||||||||||
1,500,000 | 7.625 | 01/30/11 | 1,617,894 | |||||||||||||
14,365,415 | ||||||||||||||||
TOTAL CORPORATE BONDS | ||||||||||||||||
(Cost $214,423,454) | $ | 207,847,735 | ||||||||||||||
Emerging Markets Debt – 0.1% | ||||||||||||||||
Korea Development Bank | ||||||||||||||||
$ | 150,000 | 5.750 | % | 09/10/13 | $ | 149,303 | ||||||||||
State of Qatar | ||||||||||||||||
130,000 | 9.750 | 06/15/30 | 185,250 | |||||||||||||
TOTAL EMERGING MARKETS DEBT | ||||||||||||||||
(Cost $340,854) | $ | 334,553 | ||||||||||||||
U.S. Treasury Obligations – 2.1% | ||||||||||||||||
United States Treasury Inflation Protected Securities | ||||||||||||||||
$ | 4,004,200 | 2.000 | % | 01/15/16 | $ | 3,871,093 | ||||||||||
United States Treasury Principal-Only STRIPS(d) | ||||||||||||||||
2,100,000 | 0.000 | 08/15/26 | 710,829 | |||||||||||||
TOTAL U.S. TREASURY OBLIGATIONS | ||||||||||||||||
(Cost $4,569,774) | $ | 4,581,922 | ||||||||||||||
TOTAL INVESTMENTS – 98.2% | ||||||||||||||||
(Cost $219,334,082) | $ | 212,764,210 | ||||||||||||||
Other Assets in Excess of Liabilities — 1.8% | 3,803,574 | |||||||||||||||
Net Assets — 100.0% | $ | 216,567,784 | ||||||||||||||
72
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
* | The principal amount of each security is stated in the currency in which the bond is denominated. See below. |
Currency Description | ||
EUR | = Euro Currency | |
GBP | = British Pound |
(a) | Securities are exempt from registration under Rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the Investment Adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $ 42,580,921, which represents approximately 19.7% of net assets as of April 30, 2006. | |
(b) | Variable rate security. Interest rate disclosed is that which is in effect at April 30, 2006. | |
(c) | Perpetual maturity. Maturity date presented represents the next call date. | |
(d) | Security issued with a zero coupon. Income is recognized through the accretion of discount. |
Investment Abbreviation: | ||||||
REIT | — | Real Estate Investment Trust | ||||
STRIPS | — | Separate Trading of Registered Interest and Principal of Securities | ||||
ADDITIONAL INVESTMENT INFORMATION |
FORWARD FOREIGN CURRENCY CONTRACTS — At April 30, 2006, the Fund had outstanding forward foreign currency exchange contracts to sell foreign currencies as follows:
Open Forward Foreign Currency | Expiration | Value on | Current | Unrealized | ||||||||||||
Sale Contracts | Date | Settlement Date | Value | Loss | ||||||||||||
British Pound | 05/15/2006 | $ | 456,910 | $ | 478,834 | $ | (21,924 | ) | ||||||||
Euro | 05/24/2006 | 2,986,894 | 3,039,213 | (52,319 | ) | |||||||||||
TOTAL OPEN FORWARD FOREIGN CURRENCY SALE CONTRACTS | $ | 3,443,804 | $ | 3,518,047 | $ | (74,243 | ) | |||||||||
FUTURES CONTRACTS — At April 30, 2006, the following futures contracts were open as follows:
Number of | ||||||||||||||
Contracts | Settlement | Market | Unrealized | |||||||||||
Type | Long (Short) | Month | Value | Gain (Loss) | ||||||||||
Eurodollars | 10 | June 2006 | $ | 2,370,250 | $ | (6,366 | ) | |||||||
Eurodollars | (20 | ) | September 2006 | (4,738,000 | ) | 50,432 | ||||||||
Eurodollars | 16 | December 2006 | 3,790,200 | (40,698 | ) | |||||||||
Eurodollars | (20 | ) | March 2007 | (4,739,500 | ) | 45,932 | ||||||||
2 Year U.S. Treasury Notes | 125 | June 2006 | 25,466,797 | (69,285 | ) | |||||||||
5 Year U.S. Treasury Notes | (243 | ) | June 2006 | (25,309,969 | ) | 184,835 | ||||||||
10 Year German Federal Republic Bonds | (11 | ) | June 2006 | (1,271,380 | ) | 49,932 | ||||||||
10 Year U.S. Treasury Notes | 22 | June 2006 | 2,322,719 | (33,202 | ) | |||||||||
20 Year U.S. Treasury Bonds | (9 | ) | June 2006 | (961,594 | ) | 20,787 | ||||||||
$ | (3,070,477 | ) | $ | 202,367 | ||||||||||
73
Statement of Investments (continued)
ADDITIONAL INVESTMENT INFORMATION (continued) |
SWAP CONTRACTS — At April 30, 2006, the Fund had outstanding swap contracts with the following terms:
INTEREST RATE SWAP CONTRACTS
Rate Type | ||||||||||||||||||||
Notional | Payments | Payments | ||||||||||||||||||
Amount | Termination | received by | made by | Unrealized | ||||||||||||||||
Swap Counterparty | (000s) | Date | the Fund | the Fund | Loss | |||||||||||||||
Banc of America Securities LLC | $ | 8,000 | 09/02/2010 | 4.31 | % | 3 month LIBOR | $ | (333,295 | ) | |||||||||||
Banc of America Securities LLC | 5,000 | 05/23/2012 | 4.37 | % | 3 month LIBOR | (221,732 | ) | |||||||||||||
Banc of America Securities LLC | 7,000 | 10/19/2015 | 4.97 | % | 3 month LIBOR | (301,341 | ) | |||||||||||||
Banc of America Securities LLC | 4,000 | 03/19/2035 | 5.29 | % | 3 month LIBOR | (239,821 | ) | |||||||||||||
Banc of America Securities LLC | 2,800 | 04/09/2035 | 5.27 | % | 3 month LIBOR | (179,158 | ) | |||||||||||||
TOTAL | $ | (1,275,347 | ) | |||||||||||||||||
CREDIT DEFAULT SWAP CONTRACTS
Notional | |||||||||||||||||||||
Swap | Amount | Rate Paid | Termination | Unrealized | |||||||||||||||||
Referenced Obligation | Counterparty | (000s) | by the Fund | Date | Gain (Loss) | ||||||||||||||||
Purchased Protection | |||||||||||||||||||||
Cendant Corp. | Salomon Smith | ||||||||||||||||||||
7.38%, 01/15/2013 | Barney, Inc. | $ | 1,000 | 1.22 | % | 12/20/2010 | $ | (29,955 | ) | ||||||||||||
First Data Corp. | J.P. Morgan | ||||||||||||||||||||
5.63%, 11/01/2011 | Securities, Inc. | 1,300 | 0.50 | % | 03/21/2011 | (21,881 | ) | ||||||||||||||
First Data Corp. | J.P. Morgan | ||||||||||||||||||||
5.63%, 11/01/2011 | Securities, Inc. | 210 | 0.25 | % | 06/20/2011 | 997 | |||||||||||||||
iBoxx Core Investment Grade Bond Trust | J.P. Morgan | ||||||||||||||||||||
Securities, Inc. | 11,000 | 0.85 | % | 12/20/2010 | (194,857 | ) | |||||||||||||||
iBoxx Core Investment Grade Bond Trust | Banc of America | ||||||||||||||||||||
Securities LLC | 20,000 | 0.45 | % | 12/20/2010 | (119,447 | ) | |||||||||||||||
iBoxx Core Investment Grade Bond Trust | Salomon Smith | ||||||||||||||||||||
Barney, Inc. | 41,200 | 0.45 | % | 12/20/2010 | (210,777 | ) | |||||||||||||||
iBoxx Core Investment Grade Bond Trust | J.P. Morgan | ||||||||||||||||||||
Securities, Inc. | 25,000 | 0.55 | % | 06/20/2012 | (154,220 | ) | |||||||||||||||
TOTAL | $ | (730,140 | ) | ||||||||||||||||||
LIBOR—London Interbank Offered Rate
74
Statement of Investments
ADDITIONAL INVESTMENT INFORMATION |
JOINT REPURCHASE AGREEMENT ACCOUNT II — At April 30, 2006, the Funds had undivided interests in the Joint Repurchase Agreement Account II, as follows:
Fund | Principal Amount | |||
Enhanced Income | $ | 30,000,000 | ||
Ultra-Short Duration Government | 6,300,000 | |||
Short Duration Government | 19,300,000 | |||
Government Income | 123,000,000 | |||
U.S. Mortgages | 79,200,000 | |||
Core Fixed Income | 80,700,000 | |||
Principal | Interest | Maturity | Maturity | |||||||||||||
Repurchase Agreements | Amount | Rate | Date | Value | ||||||||||||
Banc of America Securities LLC | $ | 1,986,300,000 | 4.78 | % | 05/01/2006 | $ | 1,987,091,210 | |||||||||
Barclays Capital PLC | 1,670,000,000 | 4.79 | 05/01/2006 | 1,670,666,608 | ||||||||||||
Deutsche Bank Securities, Inc. | 1,000,000,000 | 4.79 | 05/01/2006 | 1,000,399,167 | ||||||||||||
Greenwich Capital Markets | 500,000,000 | 4.78 | 05/01/2006 | 500,199,167 | ||||||||||||
J.P. Morgan Securities, Inc. | 300,000,000 | 4.78 | 05/01/2006 | 300,119,500 | ||||||||||||
Morgan Stanley & Co. | 800,000,000 | 4.78 | 05/01/2006 | 800,318,666 | ||||||||||||
UBS Securities LLC | 50,000,000 | 4.77 | 05/01/2006 | 50,019,875 | ||||||||||||
Wachovia Capital Markets | 250,000,000 | 4.79 | 05/01/2006 | 250,099,792 | ||||||||||||
TOTAL | $ | 6,556,300,000 | $ | 6,558,913,985 | ||||||||||||
75
Statements of Assets and Liabilities
Enhanced Income | |||||||||
Fund | |||||||||
Assets: | |||||||||
Investment in securities, at value (identified cost $261,980,403, $631,095,886, $785,370,820, $987,922,791, $655,337,750, $2,159,933,440 and $219,334,082, respectively) | $ | 260,394,715 | |||||||
Repurchase Agreement, at value | 30,000,000 | ||||||||
Cash(a) | 3,207,568 | ||||||||
Foreign currencies, at value (Core Fixed Income only; identified cost $614) | — | ||||||||
Receivables: | |||||||||
Investment securities sold, at value | — | ||||||||
Interest, at value | 2,695,303 | ||||||||
Swap contracts, at value | 239,897 | ||||||||
Fund shares sold | 231,243 | ||||||||
Forward foreign currency exchange contracts, at value | — | ||||||||
Variation margin | — | ||||||||
Reimbursement from investment adviser | 36,309 | ||||||||
Other assets, at value | 4,361 | ||||||||
Total assets | 296,809,396 | ||||||||
Liabilities: | |||||||||
Due to Custodian | — | ||||||||
Payables: | |||||||||
Investment securities purchased, at value | 3,499,758 | ||||||||
Fund shares repurchased | 1,819,352 | ||||||||
Swap contracts, at value | — | ||||||||
Forward foreign currency exchange contracts, at value | — | ||||||||
Income distribution | 169,578 | ||||||||
Amounts owed to affiliates | 72,778 | ||||||||
Variation margin | 27,394 | ||||||||
Accrued expenses | 173,040 | ||||||||
Total liabilities | 5,761,900 | ||||||||
Net Assets: | |||||||||
Paid-in capital | 369,497,152 | ||||||||
Accumulated undistributed net investment income | 2,977,582 | ||||||||
Accumulated net realized loss on investment, futures, swaps and foreign currency related transactions | (80,113,635 | ) | |||||||
Net unrealized loss on investments, futures, swaps and translation of assets and liabilities denominated in foreign currencies | (1,313,603 | ) | |||||||
NET ASSETS | $ | 291,047,496 | |||||||
Net Assets: | |||||||||
Class A | $ | 49,718,665 | |||||||
Class B | — | ||||||||
Class C | — | ||||||||
Institutional | 239,159,820 | ||||||||
Administration | 2,169,011 | ||||||||
Service | — | ||||||||
Separate Account Institutional | — | ||||||||
Shares outstanding: | |||||||||
Class A | 5,122,212 | ||||||||
Class B | — | ||||||||
Class C | — | ||||||||
Institutional | 24,673,752 | ||||||||
Administration | 223,822 | ||||||||
Service | — | ||||||||
Separate Account Institutional | — | ||||||||
Total shares outstanding, $.001 par value (unlimited number of shares authorized) | 30,019,786 | ||||||||
Net asset value, offering and redemption price per share:(b) | |||||||||
Class A | $9.71 | ||||||||
Class B | — | ||||||||
Class C | — | ||||||||
Institutional | 9.69 | ||||||||
Administration | 9.69 | ||||||||
Service | — | ||||||||
Separate Account Institutional | — | ||||||||
(a) | Includes restricted cash of $1,100,000, $1,200,000, $2,626,193, $3,000,000, $450,000 and $275,000, relating to initial margin requirements and collateral on futures transactions for the Enhanced Income, Ultra-Short Duration Government, Short Duration Government, Government Income, U.S. Mortgages and Investment Grade Credit Funds, respectively, and includes restricted cash of $2,080,375, $18,190,920, $5,473,212, $18,243,315, $6,494,124, $50,585,134 and $2,039,000 on deposit with the swap counterparty as collateral for the Enhanced Income, Ultra-Short Duration Government, Short Duration Government, Government Income, U.S. Mortgages, Core Fixed Income and Investment Grade Credit Funds, respectively. |
(b) | Maximum public offering price per share for Class A shares of the Enhanced Income and Ultra-Short Duration Government (NAV per share multiplied by 1.0152), Short Duration Government (NAV per share multiplied by 1.0204), Government Income, U.S. Mortgages, Core Fixed Income and Investment Grade Credit Funds (NAV per share multiplied by 1.0471) is $9.86, $9.44, $9.84, $15.09, $10.21, $10.12, and $10.17, respectively. At redemption, Class B and Class C shares may be subject to a contingent deferred sales charge, assessed on the amount equal to the lesser of the current net asset value or the original purchase price of the shares. |
76
GOLDMAN SACHS TAXABLE FIXED INCOME FUNDS |
Ultra-Short Duration | Short Duration | Government | U.S. Mortgages | Core Fixed | Investment Grade | |||||||||||||||||||||
Government Fund | Government Fund | Income Fund | Fund | Income Fund | Credit Fund | |||||||||||||||||||||
$ | 620,743,073 | $ | 772,710,771 | $ | 972,832,596 | $ | 648,807,037 | $ | 2,132,149,583 | $ | 212,764,210 | |||||||||||||||
6,300,000 | 19,300,000 | 123,000,000 | 79,200,000 | 80,700,000 | — | |||||||||||||||||||||
19,390,048 | 8,144,570 | 20,971,757 | 7,999,848 | 50,585,134 | 3,465,632 | |||||||||||||||||||||
— | — | — | — | 665 | — | |||||||||||||||||||||
2,273,178 | 3,383,595 | 109,611,681 | 100,175,535 | 178,546,937 | — | |||||||||||||||||||||
3,056,323 | 3,876,001 | 5,362,772 | 1,643,530 | 14,183,022 | 3,657,635 | |||||||||||||||||||||
3,702,224 | 4,250,386 | 7,257,384 | 1,466,975 | 11,529,060 | 997 | |||||||||||||||||||||
884,205 | 1,821,898 | 1,150,711 | 2,000,000 | 7,926,372 | 1,485 | |||||||||||||||||||||
— | — | — | — | 9,924,019 | — | |||||||||||||||||||||
— | 247,228 | 215,759 | — | 309,844 | — | |||||||||||||||||||||
19,539 | 43,630 | 47,850 | 36,094 | — | 23,480 | |||||||||||||||||||||
8,487 | 11,266 | 15,897 | 6,935 | 36,860 | 185,179 | |||||||||||||||||||||
656,377,077 | 813,789,345 | 1,240,466,407 | 841,335,954 | 2,485,891,496 | 220,098,618 | |||||||||||||||||||||
— | — | — | — | 507,452 | — | |||||||||||||||||||||
1,411,665 | 2,074,252 | 236,508,565 | 319,087,946 | 365,223,595 | 935,028 | |||||||||||||||||||||
4,957,360 | 1,745,359 | 29,071,136 | 165,000 | 6,991,891 | 115,556 | |||||||||||||||||||||
1,470,042 | 1,897,555 | 7,706,304 | 2,195,769 | 22,179,542 | 2,006,484 | |||||||||||||||||||||
— | — | — | — | 11,707,749 | 74,243 | |||||||||||||||||||||
1,081,856 | 864,428 | 190,231 | 286,196 | 2,328,344 | 204,941 | |||||||||||||||||||||
287,803 | 544,680 | 783,193 | 138,467 | 961,767 | 63,848 | |||||||||||||||||||||
132,916 | — | — | 46,083 | — | 20,935 | |||||||||||||||||||||
225,938 | 175,583 | 193,281 | 145,237 | 244,917 | 109,799 | |||||||||||||||||||||
9,567,580 | 7,301,857 | 274,452,710 | 322,064,698 | 410,145,257 | 3,530,834 | |||||||||||||||||||||
795,838,488 | 844,494,825 | 986,270,581 | 528,871,214 | 2,134,808,342 | 227,029,888 | |||||||||||||||||||||
6,408,257 | 4,549,274 | 5,080,298 | 220,021 | 499,582 | 109,967 | |||||||||||||||||||||
(147,789,042 | ) | (31,251,243 | ) | (5,313,743 | ) | (2,692,295 | ) | (12,918,673 | ) | (2,129,213 | ) | |||||||||||||||
(7,648,206 | ) | (11,305,368 | ) | (20,023,439 | ) | (7,127,685 | ) | (46,643,012 | ) | (8,442,858 | ) | |||||||||||||||
$ | 646,809,497 | $ | 806,487,488 | $ | 966,013,697 | $ | 519,271,256 | $ | 2,075,746,239 | $ | 216,567,784 | |||||||||||||||
$ | 149,868,324 | $ | 325,643,160 | $ | 796,959,172 | $ | 8,103,062 | $ | 714,043,366 | $ | 3,596,707 | |||||||||||||||
— | 18,270,442 | 20,594,851 | — | 25,098,334 | — | |||||||||||||||||||||
— | 46,618,800 | 17,399,294 | — | 21,125,178 | — | |||||||||||||||||||||
465,423,857 | 403,138,578 | 113,012,893 | 97,704,822 | 1,273,801,388 | 3,661,305 | |||||||||||||||||||||
— | — | — | — | — | — | |||||||||||||||||||||
31,517,316 | 12,816,508 | 18,047,487 | — | 41,677,973 | — | |||||||||||||||||||||
— | — | — | 413,463,372 | — | 209,309,772 | |||||||||||||||||||||
16,121,742 | 33,805,446 | 55,303,457 | 831,269 | 73,934,061 | 370,601 | |||||||||||||||||||||
— | 1,902,478 | 1,429,057 | — | 2,588,276 | — | |||||||||||||||||||||
— | 4,868,584 | 1,208,015 | — | 2,177,564 | — | |||||||||||||||||||||
49,995,819 | 41,960,909 | 7,850,497 | 10,013,158 | 131,415,695 | 376,578 | |||||||||||||||||||||
— | — | — | — | — | — | |||||||||||||||||||||
3,373,227 | 1,335,653 | 1,254,735 | — | 4,297,541 | — | |||||||||||||||||||||
— | — | — | 42,405,884 | — | 21,544,350 | |||||||||||||||||||||
69,490,788 | 83,873,070 | 67,045,761 | 53,250,311 | 214,413,137 | 22,291,529 | |||||||||||||||||||||
$9.30 | $ | 9.63 | $ | 14.41 | $ | 9.75 | $ | 9.66 | $ | 9.71 | ||||||||||||||||
— | 9.60 | 14.41 | — | 9.70 | — | |||||||||||||||||||||
— | 9.58 | 14.40 | — | 9.70 | — | |||||||||||||||||||||
9.31 | 9.61 | 14.40 | 9.76 | 9.69 | 9.72 | |||||||||||||||||||||
— | — | — | — | — | — | |||||||||||||||||||||
9.34 | 9.60 | 14.38 | — | 9.70 | — | |||||||||||||||||||||
— | — | — | 9.75 | — | 9.72 | |||||||||||||||||||||
77
Statements of Operations
Enhanced | |||||||
Income Fund | |||||||
Investment income: | |||||||
Interest | $ | 5,463,004 | |||||
Total income | 5,463,004 | ||||||
Expenses: | |||||||
Management fees | 377,970 | ||||||
Distribution and Service fees(a) | 69,289 | ||||||
Transfer Agent fees(a) | 93,734 | ||||||
Custody and accounting fees | 49,770 | ||||||
Printing fees | 45,110 | ||||||
Professional fees | 42,781 | ||||||
Service share fees | — | ||||||
Registration fees | 10,000 | ||||||
Trustee fees | 7,805 | ||||||
Administration share fees | 2,914 | ||||||
Other | 8,766 | ||||||
Total expenses | 708,139 | ||||||
Less — expense reductions | (220,341 | ) | |||||
Net expenses | 487,798 | ||||||
NET INVESTMENT INCOME | 4,975,206 | ||||||
Realized and unrealized gain (loss) on investment, futures, swaps and foreign currency related transactions: | |||||||
Net realized gain (loss) from: | |||||||
Investment transactions | (56,605 | ) | |||||
Futures transactions | 51,086 | ||||||
Swap contracts | 152,397 | ||||||
Foreign currency related transactions | — | ||||||
Net change in unrealized gain (loss) on: | |||||||
Investments | 732,671 | ||||||
Futures | 206,560 | ||||||
Swap contracts | 77,165 | ||||||
Translation of assets and liabilities denominated in foreign currencies | — | ||||||
Net realized and unrealized gain (loss) on investment, futures, swaps and foreign currency related transactions: | 1,163,274 | ||||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 6,138,480 | |||||
(a) | Class specific Distribution and Service and Transfer Agent fees were as follows: |
Distribution and Service Fees | Transfer Agent Fees | |||||||||||||||||||||||||||||||||||||||
Separate | ||||||||||||||||||||||||||||||||||||||||
Account | ||||||||||||||||||||||||||||||||||||||||
Fund | Class A | Class B | Class C | Class A | Class B | Class C | Institutional | Administration | Service | Institutional | ||||||||||||||||||||||||||||||
Enhanced Income | $ | 69,289 | $ | — | $ | — | $ | 44,345 | $ | — | $ | — | $ | 48,923 | $ | 466 | $ | — | $ | — | ||||||||||||||||||||
Ultra-Short Duration | 217,920 | — | — | 139,468 | — | — | 101,042 | — | 7,441 | — | ||||||||||||||||||||||||||||||
Short Duration | 407,083 | 105,348 | 256,325 | 260,534 | 16,856 | 41,012 | 98,444 | — | 2,543 | — | ||||||||||||||||||||||||||||||
Government Income | 987,663 | 114,125 | 89,065 | 632,105 | 18,260 | 14,250 | 19,045 | — | 3,563 | — | ||||||||||||||||||||||||||||||
U.S. Mortgages | 9,872 | — | — | 6,318 | — | — | 16,264 | — | — | 80,720 | ||||||||||||||||||||||||||||||
Core Fixed Income | 845,332 | 134,465 | 110,633 | 541,013 | 21,515 | 17,701 | 232,083 | — | 7,305 | — | ||||||||||||||||||||||||||||||
Investment Grade Credit | 5,106 | — | — | 3,268 | — | — | 730 | — | — | 41,770 |
78
Ultra-Short Duration | Short Duration | Government | U.S. Mortgages | Core Fixed | Investment Grade | |||||||||||||||||||
Government Fund | Government Fund | Income Fund | Fund | Income Fund | Credit Fund | |||||||||||||||||||
$ | 14,689,039 | $ | 18,399,665 | $ | 20,790,370 | $ | 11,643,544 | $ | 48,287,979 | $ | 5,848,420 | |||||||||||||
14,689,039 | 18,399,665 | 20,790,370 | 11,643,544 | 48,287,979 | 5,848,420 | |||||||||||||||||||
1,433,500 | 2,257,351 | 2,546,272 | 985,635 | 3,774,835 | 433,173 | |||||||||||||||||||
217,920 | 768,756 | 1,190,853 | 9,872 | 1,090,430 | 5,106 | |||||||||||||||||||
247,951 | 419,389 | 687,223 | 103,302 | 819,617 | 45,768 | |||||||||||||||||||
142,964 | 146,142 | 198,239 | 216,291 | 287,972 | 80,146 | |||||||||||||||||||
72,755 | 72,945 | 68,169 | 53,775 | 115,616 | 41,454 | |||||||||||||||||||
42,177 | 42,876 | 42,176 | 42,175 | 60,176 | 42,176 | |||||||||||||||||||
93,010 | 31,812 | 44,533 | 22,304 | 91,316 | 1,934 | |||||||||||||||||||
33,204 | 57,847 | 87,743 | 23,439 | 53,983 | 22,434 | |||||||||||||||||||
7,805 | 7,805 | 7,805 | 7,805 | 7,805 | 7,805 | |||||||||||||||||||
— | — | — | — | — | — | |||||||||||||||||||
77,200 | 77,782 | 74,739 | 14,513 | 83,686 | 7,007 | |||||||||||||||||||
2,368,486 | 3,882,705 | 4,947,752 | 1,479,111 | 6,385,436 | 687,003 | |||||||||||||||||||
(188,256 | ) | (406,895 | ) | (468,333 | ) | (589,591 | ) | (145,028 | ) | (295,617 | ) | |||||||||||||
2,180,230 | 3,475,810 | 4,479,419 | 889,520 | 6,240,408 | 391,386 | |||||||||||||||||||
12,508,809 | 14,923,855 | 16,310,951 | 10,754,024 | 42,047,571 | 5,457,034 | |||||||||||||||||||
(963,520 | ) | (2,087,377 | ) | (2,438,718 | ) | (1,776,471 | ) | (5,060,455 | ) | (1,335,256 | ) | |||||||||||||
1,211,278 | (3,225,038 | ) | (910,664 | ) | 344,545 | (255,646 | ) | 498,550 | ||||||||||||||||
41,152 | 431,743 | (1,686,357 | ) | (467,407 | ) | (5,329,634 | ) | (568,599 | ) | |||||||||||||||
— | — | — | — | (1,776,342 | ) | (116,033 | ) | |||||||||||||||||
(106,286 | ) | (917,576 | ) | (5,610,722 | ) | (962,266 | ) | (12,324,041 | ) | (2,103,581 | ) | |||||||||||||
307,564 | 2,010,199 | (4,664,115 | ) | 304,781 | (6,496,008 | ) | 3,067 | |||||||||||||||||
2,623,830 | 2,345,717 | 3,915,104 | 531,906 | 1,757,785 | (1,399,422 | ) | ||||||||||||||||||
— | — | — | — | (3,009,759 | ) | (70,280 | ) | |||||||||||||||||
3,114,018 | (1,442,332 | ) | (11,395,472 | ) | (2,024,912 | ) | (32,494,100 | ) | (5,091,554 | ) | ||||||||||||||
$ | 15,622,827 | $ | 13,481,523 | $ | 4,915,479 | $ | 8,729,112 | $ | 9,553,471 | $ | 365,480 | |||||||||||||
79
Statements of Changes in Net Assets
Enhanced Income Fund | Ultra-Short Duration Government Fund | ||||||||||||||||||||
For the Six | For the | ||||||||||||||||||||
Months Ended | For the | Six Months Ended | For the | ||||||||||||||||||
April 30, 2006 | Year Ended | April 30, 2006 | Year Ended | ||||||||||||||||||
(Unaudited) | October 31, 2005 | (Unaudited) | October 31, 2005 | ||||||||||||||||||
From operations: | |||||||||||||||||||||
Net investment income | $ | 4,975,206 | $ | 15,404,397 | $ | 12,508,809 | $ | 27,491,068 | |||||||||||||
Net realized gain (loss) on investment, futures, swaps and foreign currency related transactions | 146,878 | 319,507 | 288,910 | (5,946,240 | ) | ||||||||||||||||
Net change in unrealized gain (loss) on investments, futures, swaps and translation of assets and liabilities denominated in foreign currencies | 1,016,396 | (6,054,751 | ) | 2,825,108 | 6,756,839 | ||||||||||||||||
Net increase in net assets resulting from operations | 6,138,480 | 9,669,153 | 15,622,827 | 28,301,667 | |||||||||||||||||
Distributions to shareholders: | |||||||||||||||||||||
From net investment income | |||||||||||||||||||||
Class A Shares | (901,271 | ) | (3,080,374 | ) | (3,039,876 | ) | (6,763,599 | ) | |||||||||||||
Class B Shares | — | — | — | — | |||||||||||||||||
Class C Shares | — | — | — | — | |||||||||||||||||
Institutional Shares | (4,439,172 | ) | (11,243,434 | ) | (9,736,901 | ) | (24,901,988 | ) | |||||||||||||
Administration Shares | (39,330 | ) | (1,077,520 | ) | — | — | |||||||||||||||
Service Shares | — | — | (618,635 | ) | (1,200,162 | ) | |||||||||||||||
Separate Account Institutional Shares | — | — | — | — | |||||||||||||||||
From net realized gains | |||||||||||||||||||||
Class A Shares | — | — | — | — | |||||||||||||||||
Class B Shares | — | — | — | — | |||||||||||||||||
Class C Shares | — | — | — | — | |||||||||||||||||
Institutional Shares | — | — | — | — | |||||||||||||||||
Service Shares | — | — | — | — | |||||||||||||||||
Total distributions to shareholders | (5,379,773 | ) | (15,401,328 | ) | (13,395,412 | ) | (32,865,749 | ) | |||||||||||||
From share transactions: | |||||||||||||||||||||
Proceeds from sales of shares | 60,559,932 | 194,684,640 | 78,053,009 | 304,348,452 | |||||||||||||||||
Reinvestment of dividends and distributions | 4,401,529 | 11,851,596 | 7,038,479 | 17,776,193 | |||||||||||||||||
Cost of shares repurchased | (144,247,449 | ) | (512,923,498 | ) | (257,989,362 | ) | (1,085,815,792 | ) | |||||||||||||
Net increase (decrease) in net assets resulting from share transactions | (79,285,988 | ) | (306,387,262 | ) | (172,897,874 | ) | (763,691,147 | ) | |||||||||||||
TOTAL INCREASE (DECREASE) | (78,527,281 | ) | (312,119,437 | ) | (170,670,459 | ) | (768,255,229 | ) | |||||||||||||
Net assets: | |||||||||||||||||||||
Beginning of period | 369,574,777 | 681,694,214 | 817,479,956 | 1,585,735,185 | |||||||||||||||||
End of period | $ | 291,047,496 | $ | 369,574,777 | $ | 646,809,497 | $ | 817,479,956 | |||||||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | 2,977,582 | $ | 3,382,149 | $ | 6,408,257 | $ | 7,294,860 | |||||||||||||
80
Short Duration Government Fund | Government Income Fund | U.S. Mortgages Fund | ||||||||||||||||||||||
For the Six | For the Six | For the Six | ||||||||||||||||||||||
Months Ended | For the | Months Ended | For the | Months Ended | For the | |||||||||||||||||||
April 30, 2006 | Year Ended | April 30, 2006 | Year Ended | April 30, 2006 | Year Ended | |||||||||||||||||||
(Unaudited) | October 31, 2005 | (Unaudited) | October 31, 2005 | (Unaudited) | October 31, 2005 | |||||||||||||||||||
$ | 14,923,855 | $ | 21,936,398 | $ | 16,310,951 | $ | 20,216,131 | $ | 10,754,024 | $ | 11,749,541 | |||||||||||||
(4,880,672 | ) | (6,752,840 | ) | (5,035,739 | ) | 4,302,059 | (1,899,333 | ) | 1,244,830 | |||||||||||||||
3,438,340 | (10,787,877 | ) | (6,359,733 | ) | (19,757,697 | ) | (125,579 | ) | (7,922,884 | ) | ||||||||||||||
13,481,523 | 4,395,681 | 4,915,479 | 4,760,493 | 8,729,112 | 5,071,487 | |||||||||||||||||||
(5,233,267 | ) | (8,341,407 | ) | (13,809,501 | ) | (15,966,212 | ) | (153,960 | ) | (315,229 | ) | |||||||||||||
(275,603 | ) | (622,550 | ) | (313,721 | ) | (533,992 | ) | — | — | |||||||||||||||
(635,622 | ) | (1,399,821 | ) | (245,003 | ) | (370,892 | ) | — | — | |||||||||||||||
(8,863,433 | ) | (12,590,303 | ) | (1,816,118 | ) | (1,564,131 | ) | (1,723,747 | ) | (3,367,214 | ) | |||||||||||||
— | — | — | — | — | — | |||||||||||||||||||
(197,271 | ) | (309,545 | ) | (300,888 | ) | (322,759 | ) | — | — | |||||||||||||||
— | — | — | — | (8,580,391 | ) | (9,159,690 | ) | |||||||||||||||||
— | — | (160,181 | ) | (5,845,096 | ) | — | (13,456 | ) | ||||||||||||||||
— | — | (5,062 | ) | (362,623 | ) | — | — | |||||||||||||||||
— | — | (3,803 | ) | (237,517 | ) | — | — | |||||||||||||||||
— | — | (12,822 | ) | (745,239 | ) | — | (2,109,001 | ) | ||||||||||||||||
— | — | (3,776 | ) | (116,638 | ) | — | (1,830,428 | ) | ||||||||||||||||
(15,205,196 | ) | (23,263,626 | ) | (16,670,875 | ) | (26,065,099 | ) | (10,458,098 | ) | (16,795,018 | ) | |||||||||||||
213,135,942 | 551,955,365 | 327,612,748 | 452,723,542 | 237,751,772 | 584,326,694 | |||||||||||||||||||
9,652,593 | 15,890,221 | 15,492,716 | 24,158,646 | 8,812,494 | 13,333,622 | |||||||||||||||||||
(353,123,404 | ) | (454,192,933 | ) | (215,813,307 | ) | (232,780,488 | ) | (195,401,480 | ) | (338,784,172 | ) | |||||||||||||
(130,334,869 | ) | 113,652,653 | 127,292,157 | 244,101,700 | 51,162,786 | 258,876,144 | ||||||||||||||||||
(132,058,542 | ) | 94,784,708 | 115,536,761 | 222,797,094 | 49,433,800 | 247,152,613 | ||||||||||||||||||
938,546,030 | 843,761,322 | 850,476,936 | 627,679,842 | 469,837,456 | 222,684,843 | |||||||||||||||||||
$ | 806,487,488 | $ | 938,546,030 | $ | 966,013,697 | $ | 850,476,936 | $ | 519,271,256 | $ | 469,837,456 | |||||||||||||
$ | 4,549,274 | $ | 4,830,615 | $ | 5,080,298 | $ | 5,254,578 | $ | 220,021 | $ | (75,905 | ) | ||||||||||||
81
Statements of Changes in Net Assets
Core Fixed Income Fund | Investment Grade Credit Fund | ||||||||||||||||||
For the Six | For the Six | ||||||||||||||||||
Months Ended | For the | Months Ended | For the | ||||||||||||||||
April 30, 2006 | Year Ended | April 30, 2006 | Year Ended | ||||||||||||||||
(Unaudited) | October 31, 2005 | (Unaudited) | October 31, 2005 | ||||||||||||||||
From operations: | |||||||||||||||||||
Net investment income | $ | 42,047,571 | $ | 56,281,074 | $ | 5,457,034 | $ | 6,144,224 | |||||||||||
Net realized gain (loss) on investment, futures, swaps and foreign currency related transactions | (12,422,077 | ) | 24,313,407 | (1,521,338 | ) | (506,457 | ) | ||||||||||||
Net change in unrealized loss on investments, futures, swaps and translation of assets and liabilities denominated in foreign currencies | (20,072,023 | ) | (58,064,406 | ) | (3,570,216 | ) | (5,666,468 | ) | |||||||||||
Net increase (decrease) in net assets resulting from operations | 9,553,471 | 22,530,075 | 365,480 | (28,701 | ) | ||||||||||||||
Distributions to shareholders: | |||||||||||||||||||
From net investment income | |||||||||||||||||||
Class A Shares | (13,705,476 | ) | (22,356,546 | ) | (93,901 | ) | (140,714 | ) | |||||||||||
Class B Shares | (443,095 | ) | (883,632 | ) | — | — | |||||||||||||
Class C Shares | (363,835 | ) | (672,754 | ) | — | — | |||||||||||||
Institutional Shares | (25,625,978 | ) | (40,113,425 | ) | (91,424 | ) | (95,385 | ) | |||||||||||
Service Shares | (714,371 | ) | (1,048,118 | ) | — | — | |||||||||||||
Separate Account Institutional Shares | — | — | (5,281,029 | ) | (5,873,577 | ) | |||||||||||||
From net realized gains | |||||||||||||||||||
Class A Shares | (4,057,820 | ) | (6,881,068 | ) | — | (8,899 | ) | ||||||||||||
Class B Shares | (173,446 | ) | (394,357 | ) | — | — | |||||||||||||
Class C Shares | (143,326 | ) | (302,043 | ) | — | — | |||||||||||||
Institutional Shares | (6,915,957 | ) | (10,458,548 | ) | — | (269,174 | ) | ||||||||||||
Service Shares | (198,051 | ) | (285,885 | ) | — | — | |||||||||||||
Separate Account Institutional Shares | — | — | — | (293 | ) | ||||||||||||||
Total distributions to shareholders | (52,341,355 | ) | (83,396,376 | ) | (5,466,354 | ) | (6,388,042 | ) | |||||||||||
From share transactions: | |||||||||||||||||||
Proceeds from sales of shares | 490,099,748 | 958,769,563 | 45,438,303 | 181,422,818 | |||||||||||||||
Proceeds in connection with merger | — | 73,493,151 | — | — | |||||||||||||||
Reinvestment of dividends and distributions | 35,947,973 | 57,569,645 | 4,287,310 | 5,592,276 | |||||||||||||||
Cost of shares repurchased | (248,117,666 | ) | (648,011,975 | ) | (27,513,045 | ) | (53,666,553 | ) | |||||||||||
Net increase in net assets resulting from share transactions | 277,930,055 | 441,820,384 | 22,212,568 | 133,348,541 | |||||||||||||||
TOTAL INCREASE | 235,142,171 | 380,954,083 | 17,111,694 | 126,931,798 | |||||||||||||||
Net assets: | |||||||||||||||||||
Beginning of period | 1,840,604,068 | 1,459,649,985 | 199,456,090 | 72,524,292 | |||||||||||||||
End of period | $ | 2,075,746,239 | $ | 1,840,604,068 | $ | 216,567,784 | $ | 199,456,090 | |||||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | 499,582 | $ | (695,234 | ) | $ | 109,967 | $ | 119,287 | ||||||||||
82
Notes to Financial Statements
1. ORGANIZATION |
Goldman Sachs Trust (the “Trust”) is a Delaware statutory trust registered under the Investment Company Act of 1940 (as amended) (the “Act”) as an open-end management investment company. The Trust includes Goldman Sachs Enhanced Income Fund (“Enhanced Income”), Goldman Sachs Ultra-Short Duration Government Fund (“Ultra-Short Duration Government”), Goldman Sachs Short Duration Government Fund (“Short Duration Government”), Goldman Sachs Government Income Fund (“Government Income”), Goldman Sachs U.S. Mortgages Fund (“U.S. Mortgages”), Goldman Sachs Core Fixed Income Fund (“Core Fixed Income”) and Goldman Sachs Investment Grade Credit Fund (“Investment Grade Credit”), (collectively, the “Funds” or individually a “Fund”). Each Fund is a diversified portfolio of the Trust. Enhanced Income offers three classes of shares — Class A, Institutional and Administration. Ultra-Short Duration Government offer three classes of shares — Class A, Institutional and Service. U.S. Mortgages and Investment Grade Credit offers three classes of shares — Class A, Institutional and Separate Account Institutional. Government Income, Short Duration Government and Core Fixed Income offer five classes of shares — Class A, Class B, Class C, Institutional and Service. Class A shares charge a maximum initial sales charge of 1.50% for Enhanced Income and Ultra-Short Duration Government, 2.00% for Short Duration Government, and 4.50% for Government Income, U.S. Mortgages, Core Fixed Income and Investment Grade Credit. The contingent deferred sales charge for Class B shares is 2.00% maximum declining to zero after three years for Short Duration Government and 5.00% maximum declining to zero after six years for the Government Income and Core Fixed Income. The Class C shares of Short Duration Government, Government Income and Core Fixed Income have a contingent deferred sales charge of 1.00% during the first 12 months. Such sales loads are paid directly to Goldman, Sachs & Co. (“Goldman Sachs”) as distributor of the Funds. Institutional, Administration, Service Class and Separate Account Institutional shares of the Funds are not subject to a sales charge.
2. SIGNIFICANT ACCOUNTING POLICIES |
The following is a summary of the significant accounting policies consistently followed by the Funds. The preparation of financial statements in conformity with U.S. generally accepted accounting principles requires management to make estimates and assumptions that may affect the reported amounts. Actual results could differ from those estimates.
A. Investment Valuation — Portfolio securities for which market quotations are readily available are valued at market value on the basis of quotations furnished by a pricing service or provided by dealers in such securities. Short-term debt obligations maturing in sixty days or less are valued at amortized cost, which approximates market value. Portfolio securities for which market quotations are not readily available or are deemed not to reflect market value by the investment advisor are valued based on yield equivalents, pricing matrices or other sources, under valuation procedures established by the Trust’s Board of Trustees.
B. Security Transactions and Investment Income — Security transactions are reflected as of the trade date. Realized gains and losses on sales of portfolio securities are calculated using the identified cost basis. Interest income is recorded on the basis of interest accrued (net of foreign withholding taxes, if any, which are reduced by any amounts reclaimable by the Funds, where applicable), premium amortized and discount accreted. Net investment income (other than class specific expenses) and unrealized and realized gains or losses of the Funds are allocated daily to each class of shares of the respective Fund based upon the relative proportion of net assets of each class.
Notes to Financial Statements (continued)
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
Pursuant to applicable law and procedures adopted by the Trust’s Board of Trustees, securities transactions in portfolio securities (including futures transactions) may be effected from time to time through Goldman Sachs or an affiliate. In order for Goldman Sachs or an affiliate, acting as agent, to effect securities or futures transactions for a Fund, the commissions, fees or other remuneration received by Goldman Sachs or an affiliate must be reasonable and fair compared to the commissions, fees or other remuneration received by other brokers in connection with comparable transactions involving similar securities or futures contracts.
C. Expenses — Expenses incurred by the Trust that do not specifically relate to an individual Fund of the Trust are allocated to the Funds on a straight-line and/or “pro-rata” basis depending upon the nature of the expense.
D. Federal Taxes and Distributions to Shareholders — It is each Fund’s policy to comply with the requirements of the Internal Revenue Code (the “Code”) applicable to regulated investment companies and to distribute each year substantially all of its investment company taxable and tax-exempt income and capital gains to its shareholders. Accordingly, no federal tax provisions are required. Dividends and distributions to shareholders are recorded on ex-dividend date. Income distributions are declared daily and paid monthly. Capital gain distributions, if any, are declared and paid annually for all Funds.
E. Foreign Currency Translations — The books and records of the Funds are maintained in U.S. dollars. Amounts denominated in foreign currencies are translated into U.S. dollars on the following basis: (i) investment valuations, foreign currency and other assets and liabilities initially expressed in foreign currencies are converted each business day into U.S. dollars based upon current exchange rates; and (ii) purchases and sales of foreign investments, income and expenses are converted into U.S. dollars based upon currency exchange rates prevailing on the respective dates of such transactions.
F. Mortgage Dollar Rolls — The Funds may enter into mortgage “dollar rolls” in which the Funds sell securities in the current month for delivery and simultaneously contract with the same counterparty to repurchase similar (same type, coupon and maturity) but not identical securities on a specified future date. For financial reporting and tax reporting purposes, the Funds treat mortgage dollar rolls as two separate transactions: one involving the purchase of a security, and a separate transaction involving a sale. The Funds do not currently intend to enter into mortgage dollar rolls for financing and do not treat them as borrowings.
G. Segregation Transactions — As set forth in the prospectus, the Funds may enter into certain derivative transactions to seek to increase total return. Forward foreign currency exchange contracts, futures contracts, written options, swap contracts,
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
mortgage dollar rolls, when-issued securities and forward commitments represent examples of such transactions. As a result of entering into these transactions, the Funds may be required to segregate or physically move liquid assets, on the books of their custodian or to respective counterparties, with a current value equal to or greater than the market value of the corresponding transactions.
H. Forward Sales Contracts — The Funds may enter into forward security sales of mortgage-backed securities in which the Funds sell securities in the current month for delivery of securities, defined by pool-stipulated characteristics, on a specified future date. The value of the contract is recorded as a liability on the Fund’s records with the difference between its market value and cash proceeds received being recorded as an unrealized gain or loss. Gains or losses are realized upon delivery of the security sold.
I. Repurchase Agreements — Repurchase agreements involve the purchase of securities subject to the seller’s agreement to repurchase them at a mutually agreed upon date and price. During the term of a repurchase agreement, the value of the underlying securities held as collateral on behalf of the Funds, including accrued interest, is required to equal or exceed the value of the repurchase agreement, including accrued interest. If the seller defaults or becomes insolvent, realization of the collateral by the Funds may be delayed or limited and there may be a decline in the value of the collateral during the period while the Funds seek to assert their rights. The underlying securities for all repurchase agreements are held in safekeeping at the Fund’s custodian or designated subcustodians under triparty repurchase agreements.
J. Futures Contracts — The Funds may enter into futures transactions to hedge against changes in interest rates, securities prices, currency exchange rates or to seek to increase total return. Futures contracts are valued at the last settlement price, or in absence of a sale, the last bid price at the end of each day on the board of trade or exchange upon which they are traded. Upon entering into a futures contract, the Funds are required to deposit with a broker or the Fund’s custodian bank on behalf of the broker an amount of cash or securities equal to the minimum “initial margin” requirement of the associated futures exchange. Subsequent payments for futures contracts (“variation margin”) are paid or received by the Funds, dependant on the fluctuations in the value of the contracts, and are recorded for financial reporting purposes as unrealized gains or losses. When contracts are closed, the Funds realize a gain or loss which is reported in the Statements of Operations.
K. Swap Contracts — The Funds may enter into swap transactions for hedging purposes or to seek to increase total return. Risks may arise as a result of the failure of the counterparty to the swap contract to comply with the terms of the swap contract. The loss incurred by the failure of a counterparty is generally limited to the net interest payment to be received by the Funds, and/or the termination value at the end of the contract. Therefore, the Funds consider the creditworthiness of each counterparty to a contract in evaluating potential credit risk. Additionally, risks may arise from unanticipated movements in interest rates or in the value of the underlying reference asset or index.
Notes to Financial Statements (continued)
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
A total return swap is an agreement that obligates one party to pay or receive an amount (either upfront or periodically) in exchange for payment by the other party of the total return generated by a security, a basket of securities, an index, or an index component. Either periodically or at the termination of the swap, the parties exchange payment(s) based on the economic returns of a specified notional amount of the underlying reference asset.
L. Forward Foreign Currency Exchange Contracts — Core Fixed Income and Investment Grade Credit may enter into forward foreign currency contracts for the purchase or sale of a specific foreign currency at a fixed price on a future date as a hedge or cross-hedge against either specific transactions or portfolio positions. Core Fixed Income and Investment Grade Credit may also purchase and sell forward contracts to seek to increase total return. All commitments are “marked-to-market” daily at the applicable translation rates and any resulting unrealized gains or losses are recorded in the Funds’ financial statements. The Funds record realized gains or losses at the time a forward contract is offset by entry into a closing transaction or extinguished by delivery of the currency. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar.
M. Inverse Floaters — The Funds may invest in inverse floating rate debt securities (“inverse floaters”). The interest rate on inverse floaters resets in the opposite direction from the market rate of interest to which the inverse floater is indexed. An inverse floater may be considered to be leveraged to the extent that its interest rate varies by a magnitude that exceeds the magnitude of the change in the index rate of interest. The higher the degree of leverage of an inverse floater, the greater the volatility of its market value.
N. Treasury Inflation-Protected Securities �� The Funds may invest in Treasury Inflation-Protected Securities (“TIPS”), specially structured bonds for which the principal amount is adjusted daily to keep pace with inflation, as measured by the U.S. Consumer Pricing Index (“CPI”). The adjustments for interest income due to inflation are reflected in interest income in the Statements of Operations. TIPS are backed by the full faith and credit of the U.S. Government.
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
O. Securities purchased on a when-issued or delayed-delivery basis — The Funds may purchase securities on a when-issued or delayed-delivery basis. Securities purchased or sold on a when-issued or delayed-delivery basis may be settled a month or more after trade date; interest income is not accrued until settlement date. At the time a Fund enters into such transactions, it is required to have segregated assets with a current value at least equal to the amount of its when-issued or delayed-delivery purchase commitments. Credit risks exist on these commitments to the extent of any unrealized gains on the underlying securities purchased and any unrealized losses on the underlying securities sold. Market risk exists on these commitments to the same extent as if the securities were owned on a settled basis and gains and losses are recorded and reported in the same manner. In addition to the normal credit and market risks, transactions with delayed settlement dates may expose the Funds to greater risk that such transactions may not be consummated.
3. AGREEMENTS |
Ultra-Short | Short | Investment | ||||||||||||||||||||||||||
Enhanced | Duration | Duration | Government | U.S. | Core Fixed | Grade | ||||||||||||||||||||||
Average Daily Net Assets | Income1 | Government | Government | Income | Mortgages1 | Income | Credit1 | |||||||||||||||||||||
Up to $1 billion | 0.25 | % | 0.40% | 0.50 | % | 0.54 | % | 0.40 | % | 0.40 | % | 0.40 | % | |||||||||||||||
Next $1 billion | 0.23 | 0.36 | 0.45 | 0.49 | 0.36 | 0.36 | 0.36 | |||||||||||||||||||||
Over $2 billion | 0.22 | 0.34 | 0.43 | 0.47 | 0.34 | 0.34 | 0.34 | |||||||||||||||||||||
1 | These Funds currently have management fee waivers in place, which will continue on a voluntary basis. Current management fees for Enhanced Income, U.S. Mortgages and Investment Grade Credit are 0.20%, 0.33% and 0.33%, respectively. |
The Funds’ investment advisor entered into the foregoing fee reduction commitment with respect to its Management fees on a voluntary basis beginning July 1, 2005 and on a contractual basis on February 28, 2006. Fee waiver for the six months ended April 30, 2006 are shown on page 89.
Management Fee | ||||||||||||
Contractual | ||||||||||||
Annual | Waiver | Net | ||||||||||
Fund | Rate | Annual Rate | Annual Rate | |||||||||
Enhanced Income | 0.25% | 0.05% | 0.20% | |||||||||
Ultra-Short Duration Government | 0.40 | — | 0.40 | |||||||||
Short Duration Government | 0.50 | — | 0.50 | |||||||||
Government Income | 0.54 | — | 0.54 | |||||||||
U.S. Mortgages | 0.40 | 0.07 | 0.33 | |||||||||
Core Fixed Income | 0.40 | — | 0.40 | |||||||||
Investment Grade Credit | 0.40 | 0.07 | 0.33 | |||||||||
Notes to Financial Statements (continued)
3. AGREEMENTS (continued) |
GSAM has voluntarily agreed to limit certain “Other expenses” of the Funds (excluding Management fees, Distribution and Service fees, Transfer Agency fees and expenses, Service Share fees, Account Service fees, taxes, interest, brokerage fees and litigation, indemnification, shareholder meeting and other extraordinary expenses exclusive of any expense offset arrangements) to the extent that such expenses exceed, on an annual basis, a percentage rate of the average daily net assets of each Fund. Such expense reimbursements, if any, are computed daily and paid monthly. In addition, the Funds are not obligated to reimburse GSAM for prior fiscal year expense reimbursements, if any. For the six months ended April 30, 2006, the Other Expense limitations for Enhanced Income, Ultra-Short Duration Government, Short Duration Government, Government Income, U.S. Mortgages, Core Fixed Income and Investment Grade Credit as an annual percentage rate of average daily net assets were 0.014%, 0.054%, 0.004%, 0.004%, 0.004%, 0.104% and 0.004%, respectively.
Contingent Deferred Sales Charge | ||||||||||||
Sales Load | ||||||||||||
Fund | Class A | Class B | Class C | |||||||||
Enhanced Income | $ | 200 | $ | — | $ | — | ||||||
Ultra-Short Duration Government | 5,900 | — | — | |||||||||
Short Duration Government | 3,400 | — | — | |||||||||
Government Income | 17,700 | 100 | 4,500 | |||||||||
U.S. Mortgages | — | — | — | |||||||||
Core Fixed Income | 65,100 | — | — | |||||||||
Investment Grade Credit | 400 | — | — | |||||||||
Goldman Sachs also serves as Transfer Agent of the Funds for a fee. Fees charged for such transfer agency services are calculated daily and payable monthly at an annual rate as follows: 0.04% of the average daily net assets for Administration (Enhanced Income only), Separate Account Institutional (U.S. Mortgages and Investment Grade Credit only), Institutional and Service shares, and 0.16% of the average daily net assets for Class A, Class B and Class C Shares. For the six months ended April 30, 2006, Goldman Sachs has voluntarily agreed to waive a portion of the Transfer Agent fees equal to 0.02% of the average daily net assets attributable to Institutional and Separate Account Institutional shares of U.S. Mortgages and Investment Grade Credit. Goldman Sachs may discontinue or modify this waiver in the future at its discretion.
3. AGREEMENTS (continued) |
administration and shareholder administration services to their customers who are beneficial owners of such shares. The Service Plan, Shareholder Administration Plan and Administration Plan provide for compensation to the service organizations in an amount equal to, on an annualized basis, 0.25%, 0.25% and 0.25%, respectively, of the average daily net assets of each share class. The Trust, on behalf of Class A and Institutional Class Shares of U.S. Mortgages and Investment Grade Credit Funds, has adopted Account Service Plans. Under these Plans, Goldman Sachs and/or Authorized Dealers are entitled to receive a fee for account service and account maintenance equal to, on an annual basis, 0.05% of the average daily net assets of U.S. Mortgages and Investment Grade Credit Funds attributable to Class A and Institutional Class shares.
Fee Waivers | ||||||||||||||||||||||||
Class B | ||||||||||||||||||||||||
Distribution | Other | Custody | Total | |||||||||||||||||||||
Management | and Service | Transfer | Expense | Fee | Expense | |||||||||||||||||||
Fund | Fees | Fees | Agent Fees | Reimbursement | Reductions | Reductions | ||||||||||||||||||
Enhanced Income | $ | 75 | $ | — | $ | — | $ | 143 | $ | 2 | $ | 220 | ||||||||||||
Ultra-Short Duration Government | — | — | — | 182 | 6 | 188 | ||||||||||||||||||
Short Duration Government | — | 16 | — | 387 | 4 | 407 | ||||||||||||||||||
Government Income | — | — | — | 460 | 8 | 468 | ||||||||||||||||||
U.S. Mortgages | 172 | — | 50 | 348 | 20 | 590 | ||||||||||||||||||
Core Fixed Income | 117 | — | — | — | 28 | 145 | ||||||||||||||||||
Investment Grade Credit | 76 | — | 21 | 197 | 2 | 296 | ||||||||||||||||||
At April 30, 2006, the amounts owed to affiliates of the Trust were as follows (in thousands):
Management | Distribution and | Transfer | ||||||||||||||
Fund | Fees | Service Fees | Agent Fees | Total | ||||||||||||
Enhanced Income | $ | 48 | $ | 10 | $ | 15 | $ | 73 | ||||||||
Ultra-Short Duration Government | 219 | 32 | 37 | 288 | ||||||||||||
Short Duration Government | 358 | 119 | 68 | 545 | ||||||||||||
Government Income | 455 | 207 | 121 | 783 | ||||||||||||
U.S. Mortgages | 128 | 1 | 9 | 138 | ||||||||||||
Core Fixed Income | 638 | 183 | 141 | 962 | ||||||||||||
Investment Grade Credit | 59 | 1 | 4 | 64 | ||||||||||||
Notes to Financial Statements (continued)
4. PORTFOLIO SECURITIES TRANSACTIONS |
Purchases | Sales and | Sales and Maturities | ||||||||||||||
Purchases of | (Excluding | Maturities of | (Excluding | |||||||||||||
U.S. Government and | U.S. Government and | U.S. Government and | U.S. Government and | |||||||||||||
Fund | Agency Obligations | Agency Obligations) | Agency Obligations | Agency Obligations) | ||||||||||||
Enhanced Income | $ | 94,297,377 | $ | 25,341,602 | $ | 115,886,824 | $ | 79,708,391 | ||||||||
Ultra-Short Duration Government | 189,824,953 | 19,926,094 | 252,136,743 | 15,560,797 | ||||||||||||
Short Duration Government | 479,418,104 | — | 513,890,370 | — | ||||||||||||
Government Income | 4,094,182,723 | 138,254,713 | 3,937,747,012 | 30,996,538 | ||||||||||||
U.S. Mortgages | 5,924,440,807 | 120,622,086 | 5,852,700,195 | 3,156,692 | ||||||||||||
Core Fixed Income | 6,836,666,672 | 523,369,706 | 6,862,339,834 | 74,149,209 | ||||||||||||
Investment Grade Credit | 16,084,915 | 97,235,544 | 15,332,437 | 68,937,696 | ||||||||||||
For the six months ended April 30, 2006, Enhanced Income, Ultra-Short Duration Government, Short Duration Government, Government Income, U.S. Mortgages, Core Fixed Income and Investment Grade Credit paid commissions of approximately $7,700, $49,500, $68,800, $28,200, $15,900, $72,600 and $10,200, respectively, in connection with futures contracts entered into with Goldman Sachs.
5. LINE OF CREDIT FACILITY |
6. TAX INFORMATION |
Ultra-Short | Investment | ||||||||||||||||||||||||||||
Enhanced | Duration | Short Duration | Government | Core Fixed | Grade | ||||||||||||||||||||||||
Income | Government | Government | Income | U.S. Mortgages | Income | Credit | |||||||||||||||||||||||
Capital loss carryforward:1 | |||||||||||||||||||||||||||||
Expiring 2006 | $ | — | $ | (304,645 | ) | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||
Expiring 2007 | — | (1,739,320 | ) | (3,752,449 | ) | — | — | — | — | ||||||||||||||||||||
Expiring 2008 | — | (2,563,050 | ) | (2,289,664 | ) | — | — | — | — | ||||||||||||||||||||
Expiring 2009 | (7,623,029 | ) | — | — | — | — | — | — | |||||||||||||||||||||
Expiring 2010 | (65,331,932 | ) | (55,038,717 | ) | — | — | — | — | — | ||||||||||||||||||||
Expiring 2011 | — | (55,920,321 | ) | (2,403,563 | ) | — | — | — | — | ||||||||||||||||||||
Expiring 2012 | (7,471,508 | ) | (24,528,394 | ) | (9,994,195 | ) | — | — | — | — | |||||||||||||||||||
Expiring 2013 | — | (7,818,636 | ) | (10,870,073 | ) | — | (936,116 | ) | — | (419,692 | ) | ||||||||||||||||||
Total capital loss carryforward | $ | (80,426,469 | ) | $ | (147,913,083 | ) | $ | (29,309,944 | ) | $ | — | $ | (936,116 | ) | $ | — | $ | (419,692 | ) | ||||||||||
Timing differences (income distribution payables, straddles and swap receivables) | 466,799 | (440,956 | ) | (822,826 | ) | 183,002 | (305,306 | ) | (3,043,188 | ) | (198,041 | ) | |||||||||||||||||
1 | Expiration occurs on October 31 of the year indicated. Utilization of these losses may be limited under the Code. |
At April 30, 2006, the Funds’ aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes was as follows:
Ultra-Short | ||||||||||||||||||||||||||||
Enhanced | Duration | Short Duration | Government | Core Fixed | Investment | |||||||||||||||||||||||
Income | Government | Government | Income | U.S. Mortgages | Income | Grade Credit | ||||||||||||||||||||||
Tax Cost | $ | 291,999,730 | $ | 637,071,075 | $ | 803,378,316 | $ | 1,109,639,247 | $ | 734,551,582 | $ | 2,241,065,952 | $ | 219,358,120 | ||||||||||||||
Gross unrealized gain | 111,665 | 2,959,612 | 4,410,073 | 4,111,883 | 628,766 | 3,618,557 | 86,512 | |||||||||||||||||||||
Gross unrealized loss | (1,716,680 | ) | (12,987,614 | ) | (15,777,618 | ) | (17,918,534 | ) | (7,173,311 | ) | (31,834,926 | ) | (6,680,422 | ) | ||||||||||||||
Net unrealized security loss | $ | (1,605,015 | ) | $ | (10,028,002 | ) | $ | (11,367,545 | ) | $ | (13,806,651 | ) | $ | (6,544,545 | ) | $ | (28,216,369 | ) | $ | (6,593,910 | ) | |||||||
7. OTHER MATTERS |
The following Goldman Sachs Asset Allocation Portfolios were beneficial owners of the Funds with amounts greater than 5% as of April 30, 2006 (as a percentage of outstanding Institutional shares):
Goldman Sachs | Goldman Sachs | |||||||
Balanced Strategy | Growth and Income | |||||||
Fund | Portfolio | Strategy Portfolio | ||||||
Core Fixed Income | — | 7% | ||||||
Short Duration Government | 16% | — | ||||||
Notes to Financial Statements (continued)
7. OTHER MATTERS (continued) |
Mergers and Reorganizations — At a meeting held on November 4, 2004, the Board of Trustees of the Trust approved an Agreement and Plan of Reorganization (the “Expedition Agreement”) providing for the tax-free acquisition of the Expedition Investment Grade Bond Fund by the Goldman Sachs Core Fixed Income Fund. The acquisition was completed on February 25, 2005.
Exchanged Shares | Acquired Fund’s | |||||||||||
of Survivor | Value of | Shares Outstanding | ||||||||||
Survivor Share Class/ Acquired Fund Share Class | Issued | Exchanged Shares | as of February 25, 2005 | |||||||||
Core Fixed Income Class A/ Expedition Investment Grade Bond Fund Class A | 443,072 | $ | 4,452,854 | 430,741 | ||||||||
Core Fixed Income Class B/ Expedition Investment Grade Bond Fund Class B | 168,369 | 1,698,846 | 163,996 | |||||||||
Core Fixed Income Institutional Class/ Expedition Investment Grade Bond Fund Institutional Class | 6,680,820 | 67,342,702 | 6,509,242 | |||||||||
The following chart shows the Survivor Fund’s and Acquired Fund’s aggregate net assets (immediately before and after the completion of the acquisition) and the Acquired Fund’s unrealized appreciation.
Survivor Fund’s | ||||||||||||||||
Survivor Fund’s | Acquired Fund’s | Aggregate | ||||||||||||||
Aggregate | Aggregate | Net Assets | ||||||||||||||
Net Assets | Net Assets | Acquired Fund’s | immediately | |||||||||||||
Before | Before | Unrealized | After | |||||||||||||
Survivor/Acquired Fund | Acquisition | Acquisition | Appreciation | Acquisition | ||||||||||||
Core Fixed Income/ Expedition Investment Grade Bond Fund | $ | 1,459,857,120 | $ | 73,494,402 | $ | 4,701,480 | $ | 1,533,351,522 | ||||||||
7. OTHER MATTERS (continued) |
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 the Goldman Sachs Group, Inc. (“GSG”), GSAM and certain related parties, including certain Goldman Sachs Funds including these 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. These Funds along with other investment portfolios of the Trust, were named as nominal defendants in the amended complaint. Plaintiffs filed a second amended consolidated complaint on April 15, 2005. The second amended consolidated complaint alleges violations of the Act and the Investment Advisers Act of 1940. The complaint also asserts claims involving common law breach of fiduciary duty and unjust enrichment. The 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 complaint further alleges that the Goldman Sachs Funds paid excessive and improper advisory fees to Goldman Sachs. The 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. On January 13, 2006, all claims against the defendants were dismissed by the U.S. District Court. On February 22, 2006, the plaintiffs appealed this decision.
Notes to Financial Statements (continued)
8. SUMMARY OF SHARE TRANSACTIONS |
Enhanced Income | ||||||||||||||||
For the Six Months Ended | For the Year Ended | |||||||||||||||
April 30, 2006 (Unaudited) | October 31, 2005 | |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 483,370 | $ | 4,684,527 | 3,273,708 | $ | 32,131,000 | ||||||||||
Shares converted from Class B(a) | — | — | — | — | ||||||||||||
Reinvestment of dividends and distributions | 82,143 | 796,204 | 255,998 | 2,487,587 | ||||||||||||
Shares repurchased | (2,224,633 | ) | (21,546,106 | ) | (12,140,930 | ) | (118,108,073 | ) | ||||||||
(1,659,120 | ) | (16,065,375 | ) | (8,611,224 | ) | (83,489,486 | ) | |||||||||
Class B Shares | ||||||||||||||||
Shares sold | — | — | — | — | ||||||||||||
Reinvestment of dividends and distributions | — | — | — | — | ||||||||||||
Shares converted to Class A(a) | — | — | — | — | ||||||||||||
Shares repurchased | — | — | — | — | ||||||||||||
— | — | — | — | |||||||||||||
Class C Shares | ||||||||||||||||
Shares sold | — | — | — | — | ||||||||||||
Reinvestment of dividends and distributions | — | — | — | — | ||||||||||||
Shares repurchased | — | — | — | — | ||||||||||||
— | — | — | — | |||||||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 5,772,985 | 55,875,405 | 16,755,467 | 162,548,083 | ||||||||||||
Reinvestment of dividends and distributions | 368,759 | 3,568,915 | 956,147 | 9,279,095 | ||||||||||||
Shares repurchased | (12,639,608 | ) | (122,260,442 | ) | (36,934,548 | ) | (358,792,517 | ) | ||||||||
(6,497,864 | ) | (62,816,122 | ) | (19,222,934 | ) | (186,965,339 | ) | |||||||||
Administration Shares | ||||||||||||||||
Shares sold | — | — | 571 | 5,557 | ||||||||||||
Reinvestment of dividends and distributions | 3,763 | 36,410 | 8,742 | 84,914 | ||||||||||||
Shares repurchased | (45,584 | ) | (440,901 | ) | (3,719,906 | ) | (36,022,908 | ) | ||||||||
(41,821 | ) | (404,491 | ) | (3,710,593 | ) | (35,932,437 | ) | |||||||||
Service Shares | ||||||||||||||||
Shares sold | — | — | — | — | ||||||||||||
Reinvestment of dividends and distributions | — | — | — | — | ||||||||||||
Shares repurchased | — | — | — | — | ||||||||||||
— | — | — | — | |||||||||||||
NET INCREASE (DECREASE) | (8,198,805 | ) | $ | (79,285,988 | ) | (31,544,751 | ) | $ | (306,387,262 | ) | ||||||
(a) | Class B Shares automatically convert into Class A Shares at the end of the calendar quarter that is eight years after the initial purchase date of either the Fund or another Goldman Sachs Fund. |
Ultra-Short Duration | Short Duration | |||||||||||||||||||||||||||||||
Government | Government | |||||||||||||||||||||||||||||||
For the Six Months Ended | For the Year Ended | For the Six Months Ended | For the Year Ended | |||||||||||||||||||||||||||||
April 30, 2006 (Unaudited) | October 31, 2005 | April 30,2006 (Unaudited) | October 31, 2005 | |||||||||||||||||||||||||||||
Shares | Dollars | Shares | Dollars | Shares | Dollars | Shares | Dollars | |||||||||||||||||||||||||
3,328,897 | $ | 30,844,912 | 7,090,046 | $ | 65,947,984 | 8,672,738 | $ | 83,621,993 | 16,119,801 | $ | 157,145,812 | |||||||||||||||||||||
— | — | — | — | 29,929 | 288,656 | 76,808 | 749,858 | |||||||||||||||||||||||||
283,732 | 2,631,572 | 605,691 | 5,629,485 | 402,496 | 3,880,378 | 636,497 | 6,200,433 | |||||||||||||||||||||||||
(8,020,870 | ) | (74,357,390 | ) | (27,221,342 | ) | (253,299,076 | ) | (9,224,405 | ) | (88,955,225 | ) | (15,539,948 | ) | (151,651,244 | ) | |||||||||||||||||
(4,408,241 | ) | (40,880,906 | ) | (19,525,605 | ) | (181,721,607 | ) | (119,242 | ) | (1,164,198 | ) | 1,293,158 | 12,444,859 | |||||||||||||||||||
— | — | — | — | 2,208 | 21,232 | 21,756 | 212,307 | |||||||||||||||||||||||||
— | — | — | — | 20,714 | 199,155 | 45,365 | 440,791 | |||||||||||||||||||||||||
— | — | — | — | (30,023 | ) | (288,656 | ) | (77,081 | ) | (749,858 | ) | |||||||||||||||||||||
— | — | — | — | (543,653 | ) | (5,226,847 | ) | (1,456,332 | ) | (14,154,775 | ) | |||||||||||||||||||||
— | — | — | — | (550,754 | ) | (5,295,116 | ) | (1,466,292 | ) | (14,251,535 | ) | |||||||||||||||||||||
— | — | — | — | 233,662 | 2,241,438 | 740,225 | 7,181,679 | |||||||||||||||||||||||||
— | — | — | — | 42,100 | 403,663 | 90,335 | 875,150 | |||||||||||||||||||||||||
— | — | — | — | (1,357,074 | ) | (13,013,158 | ) | (4,090,955 | ) | (39,666,616 | ) | |||||||||||||||||||||
— | — | — | — | (1,081,312 | ) | (10,368,057 | ) | (3,260,395 | ) | (31,609,787 | ) | |||||||||||||||||||||
5,055,386 | 46,940,417 | 25,001,463 | 230,212,155 | 13,086,310 | 125,905,329 | 39,169,692 | 380,331,180 | |||||||||||||||||||||||||
411,236 | 3,819,751 | 1,186,132 | 11,043,037 | 527,948 | 5,078,466 | 848,057 | 8,238,392 | |||||||||||||||||||||||||
(18,481,949 | ) | (171,535,977 | ) | (87,234,896 | ) | (812,931,349 | ) | (25,414,422 | ) | (244,321,584 | ) | (25,084,059 | ) | (243,720,363 | ) | |||||||||||||||||
(13,015,327 | ) | (120,775,809 | ) | (61,047,301 | ) | (571,676,157 | ) | (11,800,164 | ) | (113,337,789 | ) | 14,933,690 | 144,849,209 | |||||||||||||||||||
— | — | — | — | — | — | — | — | |||||||||||||||||||||||||
— | — | — | — | — | — | — | — | |||||||||||||||||||||||||
— | — | — | — | — | — | — | — | |||||||||||||||||||||||||
— | — | — | — | — | — | — | — | |||||||||||||||||||||||||
28,743 | 267,680 | 874,933 | 8,188,313 | 140,100 | 1,345,950 | 729,615 | 7,084,387 | |||||||||||||||||||||||||
62,979 | 587,156 | 118,204 | 1,103,671 | 9,464 | 90,931 | 13,967 | 135,455 | |||||||||||||||||||||||||
(1,297,997 | ) | (12,095,995 | ) | (2,094,203 | ) | (19,585,367 | ) | (167,180 | ) | (1,606,590 | ) | (514,727 | ) | (4,999,935 | ) | |||||||||||||||||
(1,206,275 | ) | (11,241,159 | ) | (1,101,066 | ) | (10,293,383 | ) | (17,616 | ) | (169,709 | ) | 228,855 | 2,219,907 | |||||||||||||||||||
(18,629,843 | ) | $ | (172,897,874 | ) | (81,673,972 | ) | $ | (763,691,147 | ) | (13,569,088 | ) | $ | (130,334,869 | ) | 11,729,016 | $ | 113,652,653 | |||||||||||||||
Notes to Financial Statements (continued)
8. SUMMARY OF SHARE TRANSACTIONS (continued) |
Share activity is as follows:
Government Income | ||||||||||||||||
For the Six Months Ended | For the Year Ended | |||||||||||||||
April 30, 2006 (Unaudited) | October 31, 2005 | |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 14,729,823 | $ | 214,649,686 | 25,751,238 | $ | 380,364,618 | ||||||||||
Shares issued in connection with merger | — | — | — | — | ||||||||||||
Shares converted from Class B(a) | 20,225 | 296,048 | 31,509 | 463,949 | ||||||||||||
Reinvestment of dividends and distributions | 914,949 | 13,314,756 | 1,408,483 | 20,800,018 | ||||||||||||
Shares repurchased | (10,468,617 | ) | (151,688,188 | ) | (10,066,631 | ) | (148,602,957 | ) | ||||||||
5,196,380 | 76,572,302 | 17,124,599 | 253,025,628 | |||||||||||||
Class B Shares | ||||||||||||||||
Shares sold | 41,477 | 605,108 | 138,121 | 2,040,240 | ||||||||||||
Shares issued in connection with merger | — | — | — | — | ||||||||||||
Reinvestment of dividends and distributions | 16,234 | 236,343 | 44,355 | 655,380 | ||||||||||||
Shares converted to Class A(a) | (20,220 | ) | (296,048 | ) | (31,509 | ) | (463,949 | ) | ||||||||
Shares repurchased | (316,320 | ) | (4,600,002 | ) | (627,907 | ) | (9,275,437 | ) | ||||||||
(278,829 | ) | (4,054,599 | ) | (476,940 | ) | (7,043,766 | ) | |||||||||
Class C Shares | ||||||||||||||||
Shares sold | 151,834 | 2,213,470 | 362,664 | 5,356,965 | ||||||||||||
Reinvestment of dividends and distributions | 13,185 | 191,855 | 33,061 | 488,032 | ||||||||||||
Shares repurchased | (240,764 | ) | (3,504,249 | ) | (497,938 | ) | (7,351,325 | ) | ||||||||
(75,745 | ) | (1,098,924 | ) | (102,213 | ) | (1,506,328 | ) | |||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 6,940,736 | 101,222,466 | 3,678,638 | 53,949,896 | ||||||||||||
Shares issued in connection with merger | — | — | — | — | ||||||||||||
Reinvestment of dividends and distributions | 111,078 | 1,613,162 | 129,590 | 1,911,519 | ||||||||||||
Shares repurchased | (3,374,974 | ) | (49,016,071 | ) | (4,293,634 | ) | (63,362,003 | ) | ||||||||
3,676,840 | 53,819,557 | (485,406 | ) | (7,500,588 | ) | |||||||||||
Service Shares | ||||||||||||||||
Shares sold | 613,287 | 8,922,018 | 745,365 | 11,011,823 | ||||||||||||
Reinvestment of dividends and distributions | 9,400 | 136,600 | 20,599 | 303,697 | ||||||||||||
Shares repurchased | (481,892 | ) | (7,004,797 | ) | (284,114 | ) | (4,188,766 | ) | ||||||||
140,795 | 2,053,821 | 481,850 | 7,126,754 | |||||||||||||
Separate Account Institutional Shares | ||||||||||||||||
Shares sold | — | — | — | — | ||||||||||||
Reinvestment of dividends and distributions | — | — | — | — | ||||||||||||
Shares repurchased | — | — | — | — | ||||||||||||
— | — | — | — | |||||||||||||
NET INCREASE | 8,659,441 | $ | 127,292,157 | 16,541,890 | $ | 244,101,700 | ||||||||||
(a) | Class B Shares automatically convert into Class A Shares at the end of the calendar quarter that is eight years after the initial purchase date of either the Fund or another Goldman Sachs Fund. |
U.S. Mortgages | Core Fixed Income | |||||||||||||||||||||||||||||||
For the Six Months Ended | For the Year Ended | For the Six Months Ended | For the Year Ended | |||||||||||||||||||||||||||||
April 30, 2006 (Unaudited) | October 31, 2005 | April 30, 2006 (Unaudited) | October 31, 2005 | |||||||||||||||||||||||||||||
Shares | Dollars | Shares | Dollars | Shares | Dollars | Shares | Dollars | |||||||||||||||||||||||||
73,319 | $ | 723,930 | 5,019,581 | $ | 50,101,170 | 18,407,648 | $ | 180,295,572 | 35,960,982 | $ | 361,963,182 | |||||||||||||||||||||
— | — | — | — | — | — | 443,072 | 4,452,854 | |||||||||||||||||||||||||
— | — | — | — | 46,186 | 452,906 | 46,202 | 464,412 | |||||||||||||||||||||||||
15,189 | 149,174 | 24,573 | 244,529 | 1,560,554 | 15,295,545 | 2,464,922 | 24,786,186 | |||||||||||||||||||||||||
(63,728 | ) | (625,182 | ) | (4,299,105 | ) | (42,967,447 | ) | (12,768,798 | ) | (125,054,335 | ) | (23,268,765 | ) | (233,859,094 | ) | |||||||||||||||||
24,780 | 247,922 | 745,049 | 7,378,252 | 7,245,590 | 70,989,688 | 15,646,413 | 157,807,540 | |||||||||||||||||||||||||
— | — | — | — | 172,044 | 1,691,600 | 415,966 | 4,202,378 | |||||||||||||||||||||||||
— | — | — | — | — | — | 168,245 | 1,697,595 | |||||||||||||||||||||||||
— | — | — | — | 48,760 | 480,122 | 95,011 | 959,791 | |||||||||||||||||||||||||
— | — | — | — | (45,998 | ) | (452,906 | ) | (46,019 | ) | (464,412 | ) | |||||||||||||||||||||
— | — | — | — | (523,405 | ) | (5,153,451 | ) | (811,301 | ) | (8,186,679 | ) | |||||||||||||||||||||
— | — | — | — | (348,599 | ) | (3,434,635 | ) | (178,098 | ) | (1,791,327 | ) | |||||||||||||||||||||
— | — | — | — | 438,680 | 4,321,677 | 941,827 | 9,522,000 | |||||||||||||||||||||||||
— | — | — | — | 45,978 | 452,864 | 86,409 | 872,871 | |||||||||||||||||||||||||
— | — | — | — | (671,187 | ) | (6,616,937 | ) | (1,028,149 | ) | (10,392,335 | ) | |||||||||||||||||||||
— | — | — | — | (186,529 | ) | (1,842,396 | ) | 87 | 2,536 | |||||||||||||||||||||||
3,156,768 | 30,996,500 | 4,946,142 | 49,304,140 | 29,392,009 | 288,587,084 | 55,776,185 | 561,484,946 | |||||||||||||||||||||||||
— | — | — | — | — | — | 6,680,820 | 67,342,702 | |||||||||||||||||||||||||
149,668 | 1,470,858 | 295,772 | 2,952,261 | 1,952,979 | 19,210,596 | 2,981,398 | 30,085,346 | |||||||||||||||||||||||||
(888,637 | ) | (8,806,136 | ) | (9,444,926 | ) | (93,957,727 | ) | (10,826,895 | ) | (106,466,644 | ) | (38,187,685 | ) | (385,523,566 | ) | |||||||||||||||||
2,417,799 | 23,661,222 | (4,203,012 | ) | (41,701,326 | ) | 20,518,093 | 201,331,036 | 27,250,718 | 273,389,428 | |||||||||||||||||||||||
— | — | — | — | 1,538,719 | 15,203,815 | 2,143,270 | 21,597,057 | |||||||||||||||||||||||||
— | — | — | — | 51,685 | 508,846 | 85,720 | 865,451 | |||||||||||||||||||||||||
— | — | — | — | (490,551 | ) | (4,826,299 | ) | (997,254 | ) | (10,050,301 | ) | |||||||||||||||||||||
— | — | — | — | 1,099,853 | 10,886,362 | 1,231,736 | 12,412,207 | |||||||||||||||||||||||||
21,036,966 | 206,031,342 | 48,765,071 | 484,921,384 | — | — | — | — | |||||||||||||||||||||||||
732,070 | 7,192,462 | 1,017,500 | 10,136,832 | — | — | — | — | |||||||||||||||||||||||||
(18,822,186 | ) | (185,970,162 | ) | (20,254,960 | ) | (201,858,998 | ) | — | — | — | — | |||||||||||||||||||||
2,946,850 | 27,253,642 | 29,527,611 | 293,199,218 | — | — | — | — | |||||||||||||||||||||||||
5,389,429 | $ | 51,162,786 | 43,950,856 | $ | 441,820,384 | 28,328,408 | $ | 277,930,055 | 43,950,856 | $ | 441,820,384 | |||||||||||||||||||||
Notes to Financial Statements (continued)
Investment Grade Credit | ||||||||||||||||
For the Six Months Ended | For the Year Ended | |||||||||||||||
April 30, 2006 (Unaudited) | October 31, 2005 | |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 93,120 | $ | 929,742 | 320,645 | $ | 3,263,617 | ||||||||||
Shares issued in connection with merger | — | — | — | — | ||||||||||||
Shares converted from Class B(a) | — | — | — | — | ||||||||||||
Reinvestment of dividends and distributions | 7,339 | 72,687 | 11,900 | 121,009 | ||||||||||||
Shares repurchased | (94,800 | ) | (924,676 | ) | (178,972 | ) | (1,810,430 | ) | ||||||||
5,659 | 77,753 | 153,573 | 1,574,196 | |||||||||||||
Class B Shares | ||||||||||||||||
Shares sold | — | — | — | — | ||||||||||||
Shares issued in connection with merger | — | — | — | — | ||||||||||||
Reinvestment of dividends and distributions | — | — | — | — | ||||||||||||
Shares converted to Class A(a) | — | — | — | — | ||||||||||||
Shares repurchased | — | — | — | — | ||||||||||||
— | — | — | — | |||||||||||||
Class C Shares | ||||||||||||||||
Shares sold | — | — | — | — | ||||||||||||
Reinvestment of dividends and distributions | — | — | — | — | ||||||||||||
Shares repurchased | — | — | — | — | ||||||||||||
— | — | — | — | |||||||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 3,834 | 38,000 | 470,899 | 4,733,479 | ||||||||||||
Shares issued in connection with merger | — | — | — | — | ||||||||||||
Reinvestment of dividends and distributions | 8,907 | 88,368 | 9,313 | 94,718 | ||||||||||||
Shares repurchased | (1,928 | ) | (19,022 | ) | (121,782 | ) | (1,237,372 | ) | ||||||||
10,813 | 107,346 | 358,430 | 3,590,825 | |||||||||||||
Service Shares | ||||||||||||||||
Shares sold | — | — | — | — | ||||||||||||
Reinvestment of dividends and distributions | — | — | — | — | ||||||||||||
Shares repurchased | — | — | — | — | ||||||||||||
— | — | — | — | |||||||||||||
Separate Account Institutional Shares | ||||||||||||||||
Shares sold | 4,460,698 | 44,470,561 | 16,984,506 | 173,425,722 | ||||||||||||
Reinvestment of dividends and distributions | 416,306 | 4,126,255 | 528,785 | 5,376,549 | ||||||||||||
Shares repurchased | (2,672,772 | ) | (26,569,347 | ) | (4,986,999 | ) | (50,618,751 | ) | ||||||||
2,204,232 | 22,027,469 | 12,526,292 | 128,183,520 | |||||||||||||
NET INCREASE | 2,220,704 | $ | 22,212,568 | 13,038,295 | $ | 133,348,541 | ||||||||||
(a) | Class B Shares automatically convert into Class A Shares at the end of the calendar quarter that is eight years after the initial purchase date of either the Fund or another Goldman Sachs Fund. |
9. SUBSEQUENT EVENT |
Mergers and Reorganizations — At a meeting held on December 14, 2005, the Trust’s Board of Trustees approved an Agreement and Plan of Reorganization which provided for the reorganization of the First Funds’ Intermediate Bond Portfolio into the Trust’s Core Fixed Income Fund. On April 7, 2006, the Board of Trustees approved certain amendments to the Agreement and Plan of Reorganization. The reorganization was completed on June 5, 2006.
Financial Highlights
Income (loss) from | ||||||||||||||||||||||||||||||||
investment operations | ||||||||||||||||||||||||||||||||
Distributions to | ||||||||||||||||||||||||||||||||
Net asset | Shareholders | |||||||||||||||||||||||||||||||
value, | Net | Net realized | Total from | from net | Net asset | |||||||||||||||||||||||||||
beginning | investment | and unrealized | investment | investment | value, end | Total | ||||||||||||||||||||||||||
Year - Share Class | of period | income(a) | gain (loss) | operations | income | of period | return(b) | |||||||||||||||||||||||||
FOR THE SIX MONTHS ENDED APRIL 30, (Unaudited) | ||||||||||||||||||||||||||||||||
2006 - A | $ | 9.68 | $ | 0.14 | $ | 0.05 | $ | 0.19 | $ | (0.16 | ) | $ | 9.71 | 1.94 | % | |||||||||||||||||
2006 - Institutional | 9.67 | 0.16 | 0.03 | 0.19 | (0.17 | ) | 9.69 | 2.03 | ||||||||||||||||||||||||
2006 - Administration | 9.67 | 0.15 | 0.03 | 0.18 | (0.16 | ) | 9.69 | 1.90 | ||||||||||||||||||||||||
FOR THE YEARS ENDED OCTOBER 31, | ||||||||||||||||||||||||||||||||
2005 - A | 9.78 | 0.28 | (0.10 | ) | 0.18 | (0.28 | ) | 9.68 | 1.88 | |||||||||||||||||||||||
2005 - Institutional | 9.77 | 0.32 | (0.10 | ) | 0.22 | (0.32 | ) | 9.67 | 2.28 | |||||||||||||||||||||||
2005 - Administration | 9.78 | 0.30 | (0.12 | ) | 0.18 | (0.29 | ) | 9.67 | 1.92 | |||||||||||||||||||||||
2004 - A | 9.99 | 0.25 | (0.19 | ) | 0.06 | (0.27 | ) | 9.78 | 0.63 | |||||||||||||||||||||||
2004 - Institutional | 9.98 | 0.30 | (0.20 | ) | 0.10 | (0.31 | ) | 9.77 | 1.04 | |||||||||||||||||||||||
2004 - Administration | 9.99 | 0.27 | (0.19 | ) | 0.08 | (0.29 | ) | 9.78 | 0.79 | |||||||||||||||||||||||
2003 - A | 10.13 | 0.33 | (0.15 | ) | 0.18 | (0.32 | ) | 9.99 | 1.77 | |||||||||||||||||||||||
2003 - Institutional | 10.12 | 0.37 | (0.15 | ) | 0.22 | (0.36 | ) | 9.98 | 2.18 | |||||||||||||||||||||||
2003 - Administration | 10.13 | 0.33 | (0.14 | ) | 0.19 | (0.33 | ) | 9.99 | 1.93 | |||||||||||||||||||||||
2002 - A | 10.26 | 0.38 | (0.13 | ) | 0.25 | (0.38 | ) | 10.13 | 2.48 | |||||||||||||||||||||||
2002 - Institutional | 10.26 | 0.42 | (0.14 | ) | 0.28 | (0.42 | ) | 10.12 | 2.79 | |||||||||||||||||||||||
2002 - Administration | 10.27 | 0.40 | (0.14 | ) | 0.26 | (0.40 | ) | 10.13 | 2.53 | |||||||||||||||||||||||
2001 - A | 10.00 | 0.45 | 0.34 | 0.79 | (0.53 | ) | 10.26 | 8.10 | ||||||||||||||||||||||||
2001 - Institutional | 10.00 | 0.55 | 0.28 | 0.83 | (0.57 | ) | 10.26 | 8.53 | ||||||||||||||||||||||||
2001 - Administration | 10.00 | 0.49 | 0.32 | 0.81 | (0.54 | ) | 10.27 | 8.35 | ||||||||||||||||||||||||
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Assumes investment at the net asset value at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges. Total return would be reduced if a sales or redemption charge were taken into account. Total returns for periods less than one full year are not annualized. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of Fund shares. |
(c) | Annualized. |
100
Ratios assuming no | ||||||||||||||||||||||||||
expense reductions | ||||||||||||||||||||||||||
Ratio of | Ratio of | |||||||||||||||||||||||||
Net assets | Ratio of | net investment | Ratio of | net investment | ||||||||||||||||||||||
at end | net expenses | income to | total expenses | income to | Portfolio | |||||||||||||||||||||
of period | to average | average net | to average | average net | turnover | |||||||||||||||||||||
(in 000s) | net assets | assets | net assets | assets | rate | |||||||||||||||||||||
$ | 49,718 | 0.62 | %(c) | 2.99 | %(c) | 0.77 | %(c) | 2.84 | %(c) | 41 | % | |||||||||||||||
239,160 | 0.25 | (c) | 3.36 | (c) | 0.40 | (c) | 3.21 | (c) | 41 | |||||||||||||||||
2,169 | 0.50 | (c) | 3.10 | (c) | 0.65 | (c) | 2.95 | (c) | 41 | |||||||||||||||||
65,645 | 0.64 | 2.94 | 0.79 | 2.80 | 49 | |||||||||||||||||||||
301,362 | 0.25 | 3.34 | 0.40 | 3.19 | 49 | |||||||||||||||||||||
2,568 | 0.50 | 3.09 | 0.65 | 2.94 | 49 | |||||||||||||||||||||
150,537 | 0.65 | 2.61 | 0.73 | 2.53 | 51 | |||||||||||||||||||||
492,276 | 0.25 | 3.02 | 0.33 | 2.94 | 51 | |||||||||||||||||||||
38,881 | 0.50 | 2.75 | 0.58 | 2.67 | 51 | |||||||||||||||||||||
378,378 | 0.65 | 3.28 | 0.71 | 3.22 | 41 | |||||||||||||||||||||
1,106,956 | 0.25 | 3.65 | 0.31 | 3.59 | 41 | |||||||||||||||||||||
50,463 | 0.50 | 3.34 | 0.56 | 3.28 | 41 | |||||||||||||||||||||
810,768 | 0.65 | 3.70 | 0.72 | 3.63 | 65 | |||||||||||||||||||||
2,071,378 | 0.25 | 4.17 | 0.32 | 4.10 | 65 | |||||||||||||||||||||
18,965 | 0.50 | 3.91 | 0.57 | 3.84 | 65 | |||||||||||||||||||||
151,497 | 0.65 | 4.60 | 0.80 | 4.45 | 127 | |||||||||||||||||||||
807,871 | 0.25 | 5.40 | 0.40 | 5.25 | 127 | |||||||||||||||||||||
5,320 | 0.50 | 4.80 | 0.65 | 4.65 | 127 | |||||||||||||||||||||
Financial Highlights
Income (loss) from | ||||||||||||||||||||||||
investment operations | ||||||||||||||||||||||||
Distributions | ||||||||||||||||||||||||
Net asset | to shareholders | |||||||||||||||||||||||
value, | Net | Net realized | Total from | from net | ||||||||||||||||||||
beginning | investment | and unrealized | investment | investment | ||||||||||||||||||||
Year - Share Class | of period | income(a) | gain (loss) | operations | income | |||||||||||||||||||
FOR THE SIX MONTHS ENDED APRIL 30, (Unaudited) | ||||||||||||||||||||||||
2006 - A | $ | 9.27 | $ | 0.15 | $ | 0.04 | $ | 0.19 | $ | (0.16 | ) | |||||||||||||
2006 - Institutional | 9.28 | 0.17 | 0.04 | 0.21 | (0.18 | ) | ||||||||||||||||||
2006 - Service | 9.31 | 0.14 | 0.04 | 0.18 | (0.15 | ) | ||||||||||||||||||
FOR THE YEARS ENDED OCTOBER 31, | ||||||||||||||||||||||||
2005 - A | 9.33 | 0.20 | (0.01 | ) | 0.19 | (0.25 | ) | |||||||||||||||||
2005 - Institutional | 9.34 | 0.23 | — | (e) | 0.23 | (0.29 | ) | |||||||||||||||||
2005 - Service | 9.37 | 0.19 | (0.01 | ) | 0.18 | (0.24 | ) | |||||||||||||||||
2004 - A | 9.47 | 0.19 | (0.04 | ) | 0.15 | (0.29 | ) | |||||||||||||||||
2004 - Institutional | 9.48 | 0.23 | (0.04 | ) | 0.19 | (0.33 | ) | |||||||||||||||||
2004 - Service | 9.50 | 0.18 | (0.03 | ) | 0.15 | (0.28 | ) | |||||||||||||||||
2003 - A | 9.66 | 0.24 | (0.11 | ) | 0.13 | (0.32 | ) | |||||||||||||||||
2003 - Institutional | 9.68 | 0.28 | (0.12 | ) | 0.16 | (0.36 | ) | |||||||||||||||||
2003 - Service | 9.69 | 0.23 | (0.11 | ) | 0.12 | (0.31 | ) | |||||||||||||||||
2002 - A | 9.79 | 0.31 | (d) | (0.06 | )(d) | 0.25 | (0.38 | ) | ||||||||||||||||
2002 - Institutional | 9.81 | 0.35 | (d) | (0.06 | )(d) | 0.29 | (0.42 | ) | ||||||||||||||||
2002 - Service | 9.82 | 0.31 | (d) | (0.07 | )(d) | 0.24 | (0.37 | ) | ||||||||||||||||
2001 - A | 9.56 | 0.53 | 0.23 | 0.76 | (0.53 | ) | ||||||||||||||||||
2001 - Institutional | 9.58 | 0.56 | 0.24 | 0.80 | (0.57 | ) | ||||||||||||||||||
2001 - Service | 9.58 | 0.42 | 0.34 | 0.76 | (0.52 | ) | ||||||||||||||||||
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Assumes investment at the net asset value at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges. Total return would be reduced if a sales or redemption charge were taken into account. Total returns for periods less than one full year are not annualized. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of Fund shares. |
(c) | Includes the effect of mortgage dollar roll transactions. |
(d) | As required, effective November 1, 2001, the Fund has adopted the provisions of the AICPA Audit and Accounting Guide for Investment Companies and began amortizing all premiums and discounts on debt securities. The effect of this change for the year ended October 31, 2002 was to decrease net investment income per share by $0.05, increase net realized and unrealized gains and losses per share by $0.05, and decrease the ratio of net investment income to average net assets with and without expense reductions by 0.48%. Per share ratios and supplemental data for periods prior to November 1, 2001 have not been restated to reflect this change in presentation. |
(e) | Amount is less than $0.005 per share. |
(f) | Annualized. |
102
Ratios assuming no | ||||||||||||||||||||||||||||||||||
expense reductions | ||||||||||||||||||||||||||||||||||
Ratio of | Ratio of | Ratio of | ||||||||||||||||||||||||||||||||
Net assets | Ratio of | net investment | total | net investment | ||||||||||||||||||||||||||||||
Net asset | at end of | net expenses | income to | expenses | income to | Portfolio | ||||||||||||||||||||||||||||
value, end | Total | period | to average | average net | to average | average net | turnover | |||||||||||||||||||||||||||
of period | return(b) | (in 000s) | net assets | assets | net assets | assets | rate(c) | |||||||||||||||||||||||||||
$ | 9.30 | 2.19 | % | $ | 149,868 | 0.86 | %(f) | 3.24 | %(f) | 0.92 | %(f) | 3.18 | %(f) | 30 | % | |||||||||||||||||||
9.31 | 2.26 | 465,424 | 0.49 | (f) | 3.61 | (f) | 0.55 | (f) | 3.55 | (f) | 30 | |||||||||||||||||||||||
9.34 | 2.00 | 31,517 | 0.99 | (f) | 3.10 | (f) | 1.04 | (f) | 3.05 | (f) | 30 | |||||||||||||||||||||||
9.27 | 1.98 | 190,210 | 0.89 | 2.20 | 0.89 | 2.20 | 71 | |||||||||||||||||||||||||||
9.28 | 2.49 | 584,628 | 0.49 | 2.59 | 0.50 | 2.58 | 71 | |||||||||||||||||||||||||||
9.31 | 1.97 | 42,642 | 0.99 | 2.06 | 1.00 | 2.05 | 71 | |||||||||||||||||||||||||||
9.33 | 1.61 | 373,650 | 0.88 | 2.12 | 0.88 | 2.12 | 103 | |||||||||||||||||||||||||||
9.34 | 2.02 | 1,158,844 | 0.48 | 2.49 | 0.48 | 2.49 | 103 | |||||||||||||||||||||||||||
9.37 | 1.61 | 53,241 | 0.98 | 1.95 | 0.98 | 1.95 | 103 | |||||||||||||||||||||||||||
9.47 | 1.40 | 768,910 | 0.86 | 2.55 | 0.86 | 2.55 | 102 | |||||||||||||||||||||||||||
9.48 | 1.69 | 1,967,845 | 0.46 | 2.95 | 0.46 | 2.95 | 102 | |||||||||||||||||||||||||||
9.50 | 1.29 | 67,480 | 0.96 | 2.43 | 0.96 | 2.43 | 102 | |||||||||||||||||||||||||||
9.66 | 2.57 | 1,000,977 | 0.88 | 3.21 | (d) | 0.88 | 3.21 | (d) | 144 | |||||||||||||||||||||||||
9.68 | 2.98 | 2,646,847 | 0.48 | 3.65 | (d) | 0.48 | 3.65 | (d) | 144 | |||||||||||||||||||||||||
9.69 | 2.46 | 35,883 | 0.98 | 3.20 | (d) | 0.98 | 3.20 | (d) | 144 | |||||||||||||||||||||||||
9.79 | 8.21 | 59,209 | 0.89 | 5.48 | 0.97 | 5.40 | 87 | |||||||||||||||||||||||||||
9.81 | 8.62 | 278,316 | 0.49 | 5.79 | 0.57 | 5.71 | 87 | |||||||||||||||||||||||||||
9.82 | 8.19 | 31,698 | 0.99 | 4.52 | 1.07 | 4.44 | 87 | |||||||||||||||||||||||||||
103
Financial Highlights
Income (loss) from | Distributions | |||||||||||||||||||||||||||||||
investment operations | to shareholders | |||||||||||||||||||||||||||||||
Net asset | ||||||||||||||||||||||||||||||||
value, | Net | Net realized | Total from | From net | From | |||||||||||||||||||||||||||
beginning | investment | and unrealized | investment | investment | paid-in | Total | ||||||||||||||||||||||||||
Year - Share Class | of period | income(a) | gain (loss) | operations | income | capital | distributions | |||||||||||||||||||||||||
FOR THE SIX MONTHS ENDED APRIL 30, (Unaudited) | ||||||||||||||||||||||||||||||||
2006 - A | $ | 9.65 | $ | 0.15 | $ | (0.02 | ) | $ | 0.13 | $ | (0.15 | ) | $ | — | $ | (0.15 | ) | |||||||||||||||
2006 - B | 9.62 | 0.12 | (0.01 | ) | 0.11 | (0.13 | ) | — | (0.13 | ) | ||||||||||||||||||||||
2006 - C | 9.59 | 0.11 | — | 0.11 | (0.12 | ) | — | (0.12 | ) | |||||||||||||||||||||||
2006 - Institutional | 9.63 | 0.17 | (0.02 | ) | 0.15 | (0.17 | ) | — | (0.17 | ) | ||||||||||||||||||||||
2006 - Service | 9.61 | 0.14 | — | 0.14 | (0.15 | ) | — | (0.15 | ) | |||||||||||||||||||||||
FOR THE YEARS ENDED OCTOBER 31, | ||||||||||||||||||||||||||||||||
2005 - A | 9.86 | 0.24 | (0.19 | ) | 0.05 | (0.26 | ) | — | (0.26 | ) | ||||||||||||||||||||||
2005 - B | 9.83 | 0.19 | (0.20 | ) | (0.01 | ) | (0.20 | ) | — | (0.20 | ) | |||||||||||||||||||||
2005 - C | 9.81 | 0.17 | (0.20 | ) | (0.03 | ) | (0.19 | ) | — | (0.19 | ) | |||||||||||||||||||||
2005 - Institutional | 9.84 | 0.29 | (0.20 | ) | 0.09 | (0.30 | ) | — | (0.30 | ) | ||||||||||||||||||||||
2005 - Service | 9.82 | 0.23 | (0.19 | ) | 0.04 | (0.25 | ) | — | (0.25 | ) | ||||||||||||||||||||||
2004 - A | 9.99 | 0.24 | (0.06 | ) | 0.18 | (0.30 | ) | (0.01 | ) | (0.31 | ) | |||||||||||||||||||||
2004 - B | 9.95 | 0.19 | (0.06 | ) | 0.13 | (0.24 | ) | (0.01 | ) | (0.25 | ) | |||||||||||||||||||||
2004 - C | 9.93 | 0.17 | (0.06 | ) | 0.11 | (0.22 | ) | (0.01 | ) | (0.23 | ) | |||||||||||||||||||||
2004 - Institutional | 9.96 | 0.28 | (0.05 | ) | 0.23 | (0.33 | ) | (0.02 | ) | (0.35 | ) | |||||||||||||||||||||
2004 - Service | 9.95 | 0.22 | (0.05 | ) | 0.17 | (0.29 | ) | (0.01 | ) | (0.30 | ) | |||||||||||||||||||||
2003 - A | 10.12 | 0.35 | (0.14 | ) | 0.21 | (0.34 | ) | — | (0.34 | ) | ||||||||||||||||||||||
2003 - B | 10.09 | 0.29 | (0.15 | ) | 0.14 | (0.28 | ) | — | (0.28 | ) | ||||||||||||||||||||||
2003 - C | 10.07 | 0.27 | (0.14 | ) | 0.13 | (0.27 | ) | — | (0.27 | ) | ||||||||||||||||||||||
2003 - Institutional | 10.10 | 0.39 | (0.15 | ) | 0.24 | (0.38 | ) | — | (0.38 | ) | ||||||||||||||||||||||
2003 - Service | 10.09 | 0.34 | (0.15 | ) | 0.19 | (0.33 | ) | — | (0.33 | ) | ||||||||||||||||||||||
2002 - A | 10.04 | 0.37 | (d) | 0.14 | (d) | 0.51 | (0.43 | ) | — | (0.43 | ) | |||||||||||||||||||||
2002 - B | 10.01 | 0.31 | (d) | 0.14 | (d) | 0.45 | (0.37 | ) | — | (0.37 | ) | |||||||||||||||||||||
2002 - C | 9.99 | 0.28 | (d) | 0.16 | (d) | 0.44 | (0.36 | ) | — | (0.36 | ) | |||||||||||||||||||||
2002 - Institutional | 10.02 | 0.42 | (d) | 0.13 | (d) | 0.55 | (0.47 | ) | — | (0.47 | ) | |||||||||||||||||||||
2002 - Service | 10.01 | 0.37 | (d) | 0.13 | (d) | 0.50 | (0.42 | ) | — | (0.42 | ) | |||||||||||||||||||||
2001 - A | 9.49 | 0.51 | 0.60 | 1.11 | (0.56 | ) | — | (0.56 | ) | |||||||||||||||||||||||
2001 - B | 9.46 | 0.47 | 0.58 | 1.05 | (0.50 | ) | — | (0.50 | ) | |||||||||||||||||||||||
2001 - C | 9.45 | 0.44 | 0.58 | 1.02 | (0.48 | ) | — | (0.48 | ) | |||||||||||||||||||||||
2001 - Institutional | 9.47 | 0.57 | 0.58 | 1.15 | (0.60 | ) | — | (0.60 | ) | |||||||||||||||||||||||
2001 - Service | 9.46 | 0.53 | 0.57 | 1.10 | (0.55 | ) | — | (0.55 | ) | |||||||||||||||||||||||
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Assumes investment at the net asset value at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges. Total return would be reduced if a sales or redemption charge were taken into account. Total returns for periods less than one full year are not annualized. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of Fund shares. |
(c) | Includes the effect of mortgage dollar roll transactions. |
(d) | As required, effective November 1, 2001, the Fund has adopted the provisions of the AICPA Audit and Accounting Guide for Investment Companies and began amortizing all premiums and discounts on debt securities. The effect of this change for the year ended October 31, 2002 was to decrease net investment income per share by $0.06, increase net realized and unrealized gains and losses per share by $0.06, and decrease the ratio of net investment income to average net assets with and without expense reduction by 0.63%. Per share ratios and supplemental data for periods prior to November 1, 2001 have not been restated to reflect this change in presentation. |
(e) | Annualized. |
Ratios assuming no | ||||||||||||||||||||||||||||||||||
expense reductions | ||||||||||||||||||||||||||||||||||
Ratio of | Ratio of | |||||||||||||||||||||||||||||||||
Net assets | Ratio of | net investment | Ratio of | net investment | ||||||||||||||||||||||||||||||
Net asset | at end of | net expenses | income to | total expenses | income to | Portfolio | ||||||||||||||||||||||||||||
value, end | Total | period | to average | average | to average | average | turnover | |||||||||||||||||||||||||||
of period | return(b) | (in 000s) | net assets | net assets | net assets | net assets | rate(c) | |||||||||||||||||||||||||||
$ | 9.63 | 1.40 | % | $ | 325,643 | 0.91 | %(e) | 3.16 | %(e) | 1.00 | %(e) | 3.07 | %(e) | 55 | % | |||||||||||||||||||
9.60 | 1.21 | 18,270 | 1.51 | (e) | 2.56 | (e) | 1.75 | (e) | 2.32 | (e) | 55 | |||||||||||||||||||||||
9.58 | 1.14 | 46,619 | 1.66 | (e) | 2.41 | (e) | 1.75 | (e) | 2.32 | (e) | 55 | |||||||||||||||||||||||
9.61 | 1.59 | 403,138 | 0.54 | (e) | 3.54 | (e) | 0.63 | (e) | 3.45 | (e) | 55 | |||||||||||||||||||||||
9.60 | 1.44 | 12,817 | 1.04 | (e) | 3.03 | (e) | 1.13 | (e) | 2.94 | (e) | 55 | |||||||||||||||||||||||
9.65 | 0.50 | 327,365 | 0.93 | 2.50 | 0.99 | 2.44 | 98 | |||||||||||||||||||||||||||
9.62 | (0.10 | ) | 23,602 | 1.54 | 1.95 | 1.74 | 1.75 | 98 | ||||||||||||||||||||||||||
9.59 | (0.35 | ) | 57,078 | 1.69 | 1.80 | 1.74 | 1.75 | 98 | ||||||||||||||||||||||||||
9.63 | 0.89 | 517,492 | 0.54 | 2.87 | 0.60 | 2.81 | 98 | |||||||||||||||||||||||||||
9.61 | 0.39 | 13,009 | 1.04 | 2.38 | 1.10 | 2.32 | 98 | |||||||||||||||||||||||||||
9.86 | 1.81 | 321,863 | 0.94 | 2.41 | 1.00 | 2.35 | 249 | |||||||||||||||||||||||||||
9.83 | 1.31 | 38,526 | 1.54 | 1.85 | 1.75 | 1.64 | 249 | |||||||||||||||||||||||||||
9.81 | 1.16 | 90,317 | 1.69 | 1.71 | 1.75 | 1.65 | 249 | |||||||||||||||||||||||||||
9.84 | 2.33 | 382,008 | 0.54 | 2.79 | 0.60 | 2.73 | 249 | |||||||||||||||||||||||||||
9.82 | 1.72 | 11,047 | 1.04 | 2.22 | 1.10 | 2.16 | 249 | |||||||||||||||||||||||||||
9.99 | 2.11 | 317,379 | 0.95 | 3.46 | 1.01 | 3.40 | 184 | |||||||||||||||||||||||||||
9.95 | 1.41 | 50,580 | 1.55 | 2.87 | 1.76 | 2.66 | 184 | |||||||||||||||||||||||||||
9.93 | 1.26 | 130,087 | 1.70 | 2.71 | 1.76 | 2.65 | 184 | |||||||||||||||||||||||||||
9.96 | 2.43 | 415,210 | 0.55 | 3.86 | 0.61 | 3.80 | 184 | |||||||||||||||||||||||||||
9.95 | 1.92 | 6,156 | 1.05 | 3.36 | 1.11 | 3.30 | 184 | |||||||||||||||||||||||||||
10.12 | 5.26 | 246,763 | 0.94 | 3.69 | (d) | 1.04 | 3.59 | (d) | 194 | |||||||||||||||||||||||||
10.09 | 4.65 | 49,874 | 1.54 | 3.09 | (d) | 1.79 | 2.84 | (d) | 194 | |||||||||||||||||||||||||
10.07 | 4.50 | 95,458 | 1.69 | 2.84 | (d) | 1.79 | 2.74 | (d) | 194 | |||||||||||||||||||||||||
10.10 | 5.69 | 280,452 | 0.54 | 4.20 | (d) | 0.64 | 4.10 | (d) | 194 | |||||||||||||||||||||||||
10.09 | 5.17 | 11,471 | 1.04 | 3.70 | (d) | 1.14 | 3.60 | (d) | 194 | |||||||||||||||||||||||||
10.04 | 12.00 | 88,394 | 0.94 | 5.26 | 1.11 | 5.09 | 243 | |||||||||||||||||||||||||||
10.01 | 11.38 | 16,809 | 1.54 | 4.80 | 1.86 | 4.48 | 243 | |||||||||||||||||||||||||||
9.99 | 11.12 | 18,871 | 1.69 | 4.59 | 1.86 | 4.42 | 243 | |||||||||||||||||||||||||||
10.02 | 12.47 | 206,129 | 0.54 | 5.89 | 0.71 | 5.72 | 243 | |||||||||||||||||||||||||||
10.01 | 11.93 | 8,154 | 1.04 | 5.40 | 1.21 | 5.23 | 243 | |||||||||||||||||||||||||||
Financial Highlights
Income (loss) from | ||||||||||||||||||||||||||||||||
investment operations | Distributions to shareholders | |||||||||||||||||||||||||||||||
Net asset | ||||||||||||||||||||||||||||||||
value, | Net | Net realized | Total from | From net | From net | |||||||||||||||||||||||||||
beginning | investment | and unrealized | investment | investment | realized | Total | ||||||||||||||||||||||||||
Year - Share Class | of period | income(a) | gain (loss) | operations | income | gains | distributions | |||||||||||||||||||||||||
FOR THE SIX MONTHS ENDED APRIL 30, (Unaudited) | ||||||||||||||||||||||||||||||||
2006 - A | $ | 14.57 | $ | 0.26 | $ | (0.16 | ) | $ | 0.10 | $ | (0.26 | ) | $ | — | (f) | $ | (0.26 | ) | ||||||||||||||
2006 - B | 14.57 | 0.20 | (0.16 | ) | 0.04 | (0.20 | ) | — | (f) | (0.20 | ) | |||||||||||||||||||||
2006 - C | 14.56 | 0.20 | (0.16 | ) | 0.04 | (0.20 | ) | — | (f) | (0.20 | ) | |||||||||||||||||||||
2006 - Institutional | 14.55 | 0.28 | (0.15 | ) | 0.13 | (0.28 | ) | — | (f) | (0.28 | ) | |||||||||||||||||||||
2006 - Service | 14.54 | 0.25 | (0.16 | ) | 0.09 | (0.25 | ) | — | (f) | (0.25 | ) | |||||||||||||||||||||
FOR THE YEARS ENDED OCTOBER 31, | ||||||||||||||||||||||||||||||||
2005 - A | 15.00 | 0.43 | (0.30 | ) | 0.13 | (0.39 | ) | (0.17 | ) | (0.56 | ) | |||||||||||||||||||||
2005 - B | 15.00 | 0.30 | (0.28 | ) | 0.02 | (0.28 | ) | (0.17 | ) | (0.45 | ) | |||||||||||||||||||||
2005 - C | 14.99 | 0.31 | (0.29 | ) | 0.02 | (0.28 | ) | (0.17 | ) | (0.45 | ) | |||||||||||||||||||||
2005 - Institutional | 14.98 | 0.46 | (0.27 | ) | 0.19 | (0.45 | ) | (0.17 | ) | (0.62 | ) | |||||||||||||||||||||
2005 - Service | 14.98 | 0.41 | (0.31 | ) | 0.10 | (0.37 | ) | (0.17 | ) | (0.54 | ) | |||||||||||||||||||||
2004 - A | 14.88 | 0.39 | 0.33 | 0.72 | (0.47 | ) | (0.13 | ) | (0.60 | ) | ||||||||||||||||||||||
2004 - B | 14.88 | 0.28 | 0.32 | 0.60 | (0.35 | ) | (0.13 | ) | (0.48 | ) | ||||||||||||||||||||||
2004 - C | 14.87 | 0.28 | 0.32 | 0.60 | (0.35 | ) | (0.13 | ) | (0.48 | ) | ||||||||||||||||||||||
2004 - Institutional | 14.85 | 0.46 | 0.33 | 0.79 | (0.53 | ) | (0.13 | ) | (0.66 | ) | ||||||||||||||||||||||
2004 - Service | 14.85 | 0.37 | 0.34 | 0.71 | (0.45 | ) | (0.13 | ) | (0.58 | ) | ||||||||||||||||||||||
2003 - A | 14.95 | 0.41 | 0.05 | 0.46 | (0.51 | ) | (0.02 | ) | (0.53 | ) | ||||||||||||||||||||||
2003 - B | 14.95 | 0.31 | 0.04 | 0.35 | (0.40 | ) | (0.02 | ) | (0.42 | ) | ||||||||||||||||||||||
2003 - C | 14.94 | 0.31 | 0.04 | 0.35 | (0.40 | ) | (0.02 | ) | (0.42 | ) | ||||||||||||||||||||||
2003 - Institutional | 14.93 | 0.47 | 0.04 | 0.51 | (0.57 | ) | (0.02 | ) | (0.59 | ) | ||||||||||||||||||||||
2003 - Service | 14.92 | 0.41 | 0.04 | 0.45 | (0.50 | ) | (0.02 | ) | (0.52 | ) | ||||||||||||||||||||||
2002 - A | 14.96 | 0.63 | (d) | 0.19 | (d) | 0.82 | (0.67 | ) | (0.16 | ) | (0.83 | ) | ||||||||||||||||||||
2002 - B | 14.96 | 0.52 | (d) | 0.19 | (d) | 0.71 | (0.56 | ) | (0.16 | ) | (0.72 | ) | ||||||||||||||||||||
2002 - C | 14.95 | 0.51 | (d) | 0.20 | (d) | 0.71 | (0.56 | ) | (0.16 | ) | (0.72 | ) | ||||||||||||||||||||
2002 - Institutional | 14.94 | 0.69 | (d) | 0.19 | (d) | 0.88 | (0.73 | ) | (0.16 | ) | (0.89 | ) | ||||||||||||||||||||
2002 - Service | 14.93 | 0.62 | (d) | 0.19 | (d) | 0.81 | (0.66 | ) | (0.16 | ) | (0.82 | ) | ||||||||||||||||||||
2001 - A | 13.84 | 0.78 | 1.13 | 1.91 | (0.79 | ) | — | (0.79 | ) | |||||||||||||||||||||||
2001 - B | 13.85 | 0.68 | 1.11 | 1.79 | (0.68 | ) | — | (0.68 | ) | |||||||||||||||||||||||
2001 - C | 13.84 | 0.68 | 1.11 | 1.79 | (0.68 | ) | — | (0.68 | ) | |||||||||||||||||||||||
2001 - Institutional | 13.82 | 0.83 | 1.14 | 1.97 | (0.85 | ) | — | (0.85 | ) | |||||||||||||||||||||||
2001 - Service | 13.82 | 0.76 | 1.13 | 1.89 | (0.78 | ) | — | (0.78 | ) | |||||||||||||||||||||||
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Assumes investment at the net asset value at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges. Total return would be reduced if a sales or redemption charge were taken into account. Total returns for periods less than one full year are not annualized. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of Fund shares. |
(c) | Includes the effect of mortgage dollar roll transactions. |
(d) | As required, effective November 1, 2001, the Fund has adopted the provisions of the AICPA Audit and Accounting Guide for Investment Companies and began amortizing all premiums and discounts on debt securities. The effect of this change for the year ended October 31, 2002 was to decrease net investment income per share by $0.06, increase net realized and unrealized gains and losses per share by $0.06, and decrease the ratio of net investment income to average net assets with and without expense reductions by 0.44%. Per share ratios and supplemental data for periods prior to November 1, 2001 have not been restated to reflect this change in presentation. |
(e) | Annualized. |
(f) | Amount is less than $0.005 per share. |
106
Ratios assuming no | ||||||||||||||||||||||||||||||||||
expense reductions | ||||||||||||||||||||||||||||||||||
Ratio of | Ratio of | Ratio of | ||||||||||||||||||||||||||||||||
Net assets | Ratio of | net investment | total | net investment | ||||||||||||||||||||||||||||||
Net asset | at end of | net expenses | income to | expenses | income to | Portfolio | ||||||||||||||||||||||||||||
value, end | Total | period | to average | average net | to average | average net | turnover | |||||||||||||||||||||||||||
of period | return(b) | (in 000s) | net assets | assets | net assets | assets | rate(c) | |||||||||||||||||||||||||||
$ | 14.41 | 0.65 | % | $ | 796,959 | 0.95 | %(e) | 3.45 | %(e) | 1.05 | %(e) | 3.35 | %(e) | 462 | % | |||||||||||||||||||
14.41 | 0.28 | 20,595 | 1.70 | (e) | 2.71 | (e) | 1.80 | (e) | 2.61 | (e) | 462 | |||||||||||||||||||||||
14.40 | 0.35 | 17,399 | 1.70 | (e) | 2.71 | (e) | 1.80 | (e) | 2.61 | (e) | 462 | |||||||||||||||||||||||
14.40 | 0.91 | 113,013 | 0.58 | (e) | 3.82 | (e) | 0.69 | (e) | 3.71 | (e) | 462 | |||||||||||||||||||||||
14.38 | 0.66 | 18,048 | 1.08 | (e) | 3.33 | (e) | 1.18 | (e) | 3.23 | (e) | 462 | |||||||||||||||||||||||
14.57 | 0.80 | 729,958 | 0.97 | 2.83 | 1.07 | 2.73 | 256 | |||||||||||||||||||||||||||
14.57 | 0.04 | 24,882 | 1.72 | 2.08 | 1.83 | 1.97 | 256 | |||||||||||||||||||||||||||
14.56 | 0.11 | 18,692 | 1.72 | 2.08 | 1.83 | 1.97 | 256 | |||||||||||||||||||||||||||
14.55 | 1.26 | 60,747 | 0.58 | 3.20 | 0.69 | 3.08 | 256 | |||||||||||||||||||||||||||
14.54 | 0.69 | 16,198 | 1.08 | 2.74 | 1.18 | 2.64 | 256 | |||||||||||||||||||||||||||
15.00 | 4.99 | 494,883 | 0.98 | 2.60 | 1.17 | 2.41 | 609 | |||||||||||||||||||||||||||
15.00 | 4.21 | 32,782 | 1.73 | 1.93 | 1.92 | 1.74 | 609 | |||||||||||||||||||||||||||
14.99 | 4.14 | 20,778 | 1.73 | 1.91 | 1.92 | 1.72 | 609 | |||||||||||||||||||||||||||
14.98 | 5.35 | 69,770 | 0.58 | 3.12 | 0.77 | 2.93 | 609 | |||||||||||||||||||||||||||
14.98 | 4.90 | 9,467 | 1.08 | 2.55 | 1.27 | 2.36 | 609 | |||||||||||||||||||||||||||
14.88 | 3.11 | 358,058 | 0.99 | 2.78 | 1.18 | 2.59 | 520 | |||||||||||||||||||||||||||
14.88 | 2.34 | 44,120 | 1.74 | 2.06 | 1.93 | 1.87 | 520 | |||||||||||||||||||||||||||
14.87 | 2.34 | 23,720 | 1.74 | 2.05 | 1.93 | 1.86 | 520 | |||||||||||||||||||||||||||
14.85 | 3.60 | 151,111 | 0.59 | 3.16 | 0.78 | 2.97 | 520 | |||||||||||||||||||||||||||
14.85 | 3.01 | 10,491 | 1.09 | 2.72 | 1.28 | 2.53 | 520 | |||||||||||||||||||||||||||
14.95 | 5.77 | 248,719 | 0.98 | 4.26 | (d) | 1.24 | 4.00 | (d) | 226 | |||||||||||||||||||||||||
14.95 | 4.99 | 51,124 | 1.73 | 3.54 | (d) | 1.99 | 3.28 | (d) | 226 | |||||||||||||||||||||||||
14.94 | 4.99 | 24,095 | 1.73 | 3.49 | (d) | 1.99 | 3.23 | (d) | 226 | |||||||||||||||||||||||||
14.93 | 6.13 | 82,523 | 0.58 | 4.74 | (d) | 0.84 | 4.48 | (d) | 226 | |||||||||||||||||||||||||
14.92 | 5.68 | 10,762 | 1.08 | 4.25 | (d) | 1.34 | 3.99 | (d) | 226 | |||||||||||||||||||||||||
14.96 | 14.20 | 142,904 | 0.98 | 5.46 | 1.31 | 5.13 | 473 | |||||||||||||||||||||||||||
14.96 | 13.27 | 34,036 | 1.73 | 4.71 | 2.06 | 4.38 | 473 | |||||||||||||||||||||||||||
14.95 | 13.28 | 13,814 | 1.73 | 4.71 | 2.06 | 4.38 | 473 | |||||||||||||||||||||||||||
14.94 | 14.67 | 34,997 | 0.58 | 5.80 | 0.91 | 5.47 | 473 | |||||||||||||||||||||||||||
14.93 | 14.04 | 8,239 | 1.08 | 5.27 | 1.41 | 4.94 | 473 | |||||||||||||||||||||||||||
107
Financial Highlights
Income from | Distributions | |||||||||||||||||||||||||||||||
investment operations | to shareholders | |||||||||||||||||||||||||||||||
Net asset | ||||||||||||||||||||||||||||||||
value, | Net | Net realized | Total from | From net | From net | |||||||||||||||||||||||||||
beginning | investment | and unrealized | investment | investment | realized | Total | ||||||||||||||||||||||||||
Year - Share Class | of period | income(a) | gain (loss) | operations | income | gains | distributions | |||||||||||||||||||||||||
FOR THE SIX MONTHS ENDED APRIL 30, (Unaudited) | ||||||||||||||||||||||||||||||||
2006 - A | $ | 9.82 | $ | 0.19 | $ | (0.07 | ) | $ | 0.12 | $ | (0.19 | ) | $ | — | $ | (0.19 | ) | |||||||||||||||
2006 - Institutional | 9.82 | 0.21 | (0.07 | ) | 0.14 | (0.20 | ) | — | (0.20 | ) | ||||||||||||||||||||||
2006 - Separate Account Institutional | 9.82 | 0.21 | (0.07 | ) | 0.14 | (0.21 | ) | — | (0.21 | ) | ||||||||||||||||||||||
FOR THE YEAR ENDED OCTOBER 31, | ||||||||||||||||||||||||||||||||
2005 - A | 10.22 | 0.28 | (0.17 | ) | 0.11 | (0.33 | ) | (0.18 | ) | (0.51 | ) | |||||||||||||||||||||
2005 - Institutional | 10.22 | 0.33 | (0.18 | ) | 0.15 | (0.37 | ) | (0.18 | ) | (0.55 | ) | |||||||||||||||||||||
2005 - Separate Account Institutional | 10.21 | 0.36 | (0.20 | ) | 0.16 | (0.37 | ) | (0.18 | ) | (0.55 | ) | |||||||||||||||||||||
FOR THE PERIOD ENDED OCTOBER 31, | ||||||||||||||||||||||||||||||||
2004 - A (commenced November 3, 2003) | 10.00 | 0.22 | 0.33 | 0.55 | (0.33 | ) | — | (0.33 | ) | |||||||||||||||||||||||
2004 - Institutional (commenced November 3, 2003) | 10.00 | 0.29 | 0.31 | 0.60 | (0.38 | ) | — | (0.38 | ) | |||||||||||||||||||||||
2004 - Separate Account Institutional (commenced November 3, 2003) | 10.00 | 0.31 | 0.28 | 0.59 | (0.38 | ) | — | (0.38 | ) | |||||||||||||||||||||||
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Assumes investment at the net asset value at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges. Total return would be reduced if a sales or redemption charge were taken into account. Total returns for periods less than one full year are not annualized. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of Fund shares. |
(c) | Includes the effect of mortgage dollar roll transactions. |
(d) | Annualized. |
108
Ratios assuming no | ||||||||||||||||||||||||||||||||||
expense reductions | ||||||||||||||||||||||||||||||||||
Ratio of | Ratio of | Ratio of | ||||||||||||||||||||||||||||||||
Net assets | Ratio of | net investment | total | net investment | ||||||||||||||||||||||||||||||
Net asset | at end of | net expenses | income to | expenses | income to | Portfolio | ||||||||||||||||||||||||||||
value, end | Total | of period | to average | average net | to average | average net | turnover | |||||||||||||||||||||||||||
of period | return(b) | (in 000s) | net assets | assets | net assets | assets | rate(c) | |||||||||||||||||||||||||||
$ | 9.75 | 1.33 | % | $ | 8,103 | 0.79 | %(d) | 4.00 | %(d) | 1.02 | %(d) | 3.77 | %(d) | 997 | % | |||||||||||||||||||
9.76 | 1.50 | 97,705 | 0.39 | (d) | 4.38 | (d) | 0.65 | (d) | 4.12 | (d) | 997 | |||||||||||||||||||||||
9.75 | 1.52 | 413,463 | 0.35 | (d) | 4.37 | (d) | 0.58 | (d) | 4.14 | (d) | 997 | |||||||||||||||||||||||
9.82 | 1.00 | 7,916 | 0.81 | 2.88 | 0.98 | 2.71 | 2006 | |||||||||||||||||||||||||||
9.82 | 1.49 | 74,616 | 0.40 | 3.43 | 0.58 | 3.24 | 2006 | |||||||||||||||||||||||||||
9.82 | 1.54 | 387,306 | 0.35 | 3.42 | 0.53 | 3.24 | 2006 | |||||||||||||||||||||||||||
10.22 | 5.60 | 628 | 0.82 | (d) | 1.95 | (d) | 1.08 | (d) | 1.69 | (d) | 1953 | |||||||||||||||||||||||
10.22 | 6.07 | 120,628 | 0.40 | (d) | 2.86 | (d) | 0.68 | (d) | 2.58 | (d) | 1953 | |||||||||||||||||||||||
10.21 | 6.03 | 101,429 | 0.35 | (d) | 2.98 | (d) | 0.63 | (d) | 2.70 | (d) | 1953 | |||||||||||||||||||||||
109
Financial Highlights
Income (loss) from | Distributions | |||||||||||||||||||||||||||||||
investment operations | to shareholders | |||||||||||||||||||||||||||||||
Net asset | ||||||||||||||||||||||||||||||||
value, | Net | Net realized | Total from | From net | From net | |||||||||||||||||||||||||||
beginning | investment | and unrealized | investment | investment | realized | Total | ||||||||||||||||||||||||||
Year - Share Class | of period | income(a) | gain (loss) | operations | income | gains | distributions | |||||||||||||||||||||||||
FOR THE SIX MONTHS ENDED APRIL 30, (Unaudited) | ||||||||||||||||||||||||||||||||
2006 - A | $ | 9.87 | $ | 0.20 | $ | (0.15 | ) | $ | 0.05 | $ | (0.20 | ) | $ | (0.06 | ) | $ | (0.26 | ) | ||||||||||||||
2006 - B | 9.91 | 0.17 | (0.16 | ) | 0.01 | (0.16 | ) | (0.06 | ) | (0.22 | ) | |||||||||||||||||||||
2006 - C | 9.91 | 0.17 | (0.16 | ) | 0.01 | (0.16 | ) | (0.06 | ) | (0.22 | ) | |||||||||||||||||||||
2006 - Institutional | 9.90 | 0.22 | (0.15 | ) | 0.07 | (0.22 | ) | (0.06 | ) | (0.28 | ) | |||||||||||||||||||||
2006 - Service | 9.91 | 0.20 | (0.16 | ) | 0.04 | (0.19 | ) | (0.06 | ) | (0.25 | ) | |||||||||||||||||||||
FOR THE YEARS ENDED OCTOBER 31, | ||||||||||||||||||||||||||||||||
2005 - A | 10.25 | 0.32 | (0.20 | ) | 0.12 | (0.37 | ) | (0.13 | ) | (0.50 | ) | |||||||||||||||||||||
2005 - B | 10.29 | 0.24 | (0.20 | ) | 0.04 | (0.29 | ) | (0.13 | ) | (0.42 | ) | |||||||||||||||||||||
2005 - C | 10.29 | 0.24 | (0.20 | ) | 0.04 | (0.29 | ) | (0.13 | ) | (0.42 | ) | |||||||||||||||||||||
2005 - Institutional | 10.28 | 0.36 | (0.21 | ) | 0.15 | (0.40 | ) | (0.13 | ) | (0.53 | ) | |||||||||||||||||||||
2005 - Service | 10.29 | 0.31 | (0.21 | ) | 0.10 | (0.35 | ) | (0.13 | ) | (0.48 | ) | |||||||||||||||||||||
2004 - A | 10.31 | 0.30 | 0.32 | 0.62 | (0.33 | ) | (0.35 | ) | (0.68 | ) | ||||||||||||||||||||||
2004 - B | 10.35 | 0.23 | 0.31 | 0.54 | (0.25 | ) | (0.35 | ) | (0.60 | ) | ||||||||||||||||||||||
2004 - C | 10.35 | 0.23 | 0.31 | 0.54 | (0.25 | ) | (0.35 | ) | (0.60 | ) | ||||||||||||||||||||||
2004 - Institutional | 10.35 | 0.34 | 0.31 | 0.65 | (0.37 | ) | (0.35 | ) | (0.72 | ) | ||||||||||||||||||||||
2004 - Service | 10.35 | 0.29 | 0.32 | 0.61 | (0.32 | ) | (0.35 | ) | (0.67 | ) | ||||||||||||||||||||||
2003 - A | 10.07 | 0.40 | 0.28 | 0.68 | (0.40 | ) | (0.04 | ) | (0.44 | ) | ||||||||||||||||||||||
2003 - B | 10.10 | 0.33 | 0.28 | 0.61 | (0.32 | ) | (0.04 | ) | (0.36 | ) | ||||||||||||||||||||||
2003 - C | 10.10 | 0.33 | 0.28 | 0.61 | (0.32 | ) | (0.04 | ) | (0.36 | ) | ||||||||||||||||||||||
2003 - Institutional | 10.09 | 0.45 | 0.29 | 0.74 | (0.44 | ) | (0.04 | ) | (0.48 | ) | ||||||||||||||||||||||
2003 - Service | 10.09 | 0.40 | 0.29 | 0.69 | (0.39 | ) | (0.04 | ) | (0.43 | ) | ||||||||||||||||||||||
2002 - A | 10.25 | 0.50 | (0.13 | ) | 0.37 | (0.52 | ) | (0.03 | ) | (0.55 | ) | |||||||||||||||||||||
2002 - B | 10.29 | 0.43 | (0.15 | ) | 0.28 | (0.44 | ) | (0.03 | ) | (0.47 | ) | |||||||||||||||||||||
2002 - C | 10.29 | 0.43 | (0.15 | ) | 0.28 | (0.44 | ) | (0.03 | ) | (0.47 | ) | |||||||||||||||||||||
2002 - Institutional | 10.28 | 0.55 | (0.15 | ) | 0.40 | (0.56 | ) | (0.03 | ) | (0.59 | ) | |||||||||||||||||||||
2002 - Service | 10.28 | 0.51 | (0.16 | ) | 0.35 | (0.51 | ) | (0.03 | ) | (0.54 | ) | |||||||||||||||||||||
2001 - A | 9.52 | 0.56 | 0.75 | 1.31 | (0.58 | ) | — | (0.58 | ) | |||||||||||||||||||||||
2001 - B | 9.54 | 0.49 | 0.77 | 1.26 | (0.51 | ) | — | (0.51 | ) | |||||||||||||||||||||||
2001 - C | 9.55 | 0.49 | 0.76 | 1.25 | (0.51 | ) | — | (0.51 | ) | |||||||||||||||||||||||
2001 - Institutional | 9.54 | 0.60 | 0.76 | 1.36 | (0.62 | ) | — | (0.62 | ) | |||||||||||||||||||||||
2001 - Service | 9.54 | 0.55 | 0.76 | 1.31 | (0.57 | ) | — | (0.57 | ) | |||||||||||||||||||||||
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Assumes investment at the net asset value at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges. Total return would be reduced if a sales or redemption charge were taken into account. Total returns for periods less than one full year are not annualized. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of Fund shares. |
(c) | Includes the effect of mortgage dollar roll transactions. |
(d) | Annualized. |
110
Ratios assuming no | ||||||||||||||||||||||||||||||||||
expense reductions | ||||||||||||||||||||||||||||||||||
Ratio of | Ratio of | |||||||||||||||||||||||||||||||||
Net assets | Ratio of | net investment | Ratio of | net investment | ||||||||||||||||||||||||||||||
Net asset | at end of | net expenses | income to | total expenses | income to | Portfolio | ||||||||||||||||||||||||||||
value, end | Total | period | to average | average | to average | average | turnover | |||||||||||||||||||||||||||
of period | return(b) | (in 000s) | net assets | net assets | net assets | net assets | rate(c) | |||||||||||||||||||||||||||
$ | 9.66 | 0.48 | % | $ | 714,044 | 0.85 | %(d) | 4.17 | %(d) | 0.87 | %(d) | 4.15 | %(d) | 363 | % | |||||||||||||||||||
9.70 | 0.11 | 25,098 | 1.60 | (d) | 3.42 | (d) | 1.62 | (d) | 3.40 | (d) | 363 | |||||||||||||||||||||||
9.70 | 0.11 | 21,125 | 1.60 | (d) | 3.41 | (d) | 1.62 | (d) | 3.40 | (d) | 363 | |||||||||||||||||||||||
9.69 | 0.66 | 1,273,801 | 0.48 | (d) | 4.55 | (d) | 0.50 | (d) | 4.53 | (d) | 363 | |||||||||||||||||||||||
9.70 | 0.41 | 41,678 | 0.98 | (d) | 4.05 | (d) | 1.00 | (d) | 4.04 | (d) | 363 | |||||||||||||||||||||||
9.87 | 1.14 | 658,114 | 0.86 | 3.14 | 0.87 | 3.13 | 283 | |||||||||||||||||||||||||||
9.91 | 0.38 | 29,096 | 1.61 | 2.40 | 1.62 | 2.39 | 283 | |||||||||||||||||||||||||||
9.91 | 0.38 | 23,432 | 1.61 | 2.40 | 1.62 | 2.39 | 283 | |||||||||||||||||||||||||||
9.90 | 1.53 | 1,098,280 | 0.47 | 3.54 | 0.48 | 3.53 | 283 | |||||||||||||||||||||||||||
9.91 | 1.02 | 31,682 | 0.97 | 3.03 | 0.98 | 3.02 | 283 | |||||||||||||||||||||||||||
10.25 | 6.24 | 523,045 | 0.90 | 2.96 | 0.90 | 2.96 | 549 | |||||||||||||||||||||||||||
10.29 | 5.43 | 32,040 | 1.65 | 2.21 | 1.65 | 2.21 | 549 | |||||||||||||||||||||||||||
10.29 | 5.42 | 24,323 | 1.65 | 2.21 | 1.65 | 2.21 | 549 | |||||||||||||||||||||||||||
10.28 | 6.55 | 860,021 | 0.50 | 3.36 | 0.50 | 3.36 | 549 | |||||||||||||||||||||||||||
10.29 | 6.22 | 20,221 | 1.00 | 2.86 | 1.00 | 2.86 | 549 | |||||||||||||||||||||||||||
10.31 | 7.03 | 445,178 | 0.89 | 3.91 | 0.89 | 3.91 | 489 | |||||||||||||||||||||||||||
10.35 | 6.31 | 37,120 | 1.64 | 3.21 | 1.64 | 3.21 | 489 | |||||||||||||||||||||||||||
10.35 | 6.21 | 25,409 | 1.64 | 3.16 | 1.64 | 3.16 | 489 | |||||||||||||||||||||||||||
10.35 | 7.54 | 695,181 | 0.49 | 4.39 | 0.49 | 4.39 | 489 | |||||||||||||||||||||||||||
10.35 | 6.90 | 21,827 | 0.99 | 3.89 | 0.99 | 3.89 | 489 | |||||||||||||||||||||||||||
10.07 | 3.59 | 315,441 | 0.90 | 5.03 | 0.90 | 5.03 | 437 | |||||||||||||||||||||||||||
10.10 | 2.70 | 36,131 | 1.65 | 4.33 | 1.65 | 4.33 | 437 | |||||||||||||||||||||||||||
10.10 | 2.80 | 20,176 | 1.65 | 4.32 | 1.65 | 4.32 | 437 | |||||||||||||||||||||||||||
10.09 | 3.99 | 733,996 | 0.50 | 5.51 | 0.50 | 5.51 | 437 | |||||||||||||||||||||||||||
10.09 | 3.47 | 29,761 | 1.00 | 5.05 | 1.00 | 5.05 | 437 | |||||||||||||||||||||||||||
10.25 | 14.17 | 178,885 | 0.94 | 5.61 | 0.94 | 5.61 | 315 | |||||||||||||||||||||||||||
10.29 | 13.51 | 26,848 | 1.69 | 4.93 | 1.69 | 4.93 | 315 | |||||||||||||||||||||||||||
10.29 | 13.38 | 11,998 | 1.69 | 4.89 | 1.69 | 4.89 | 315 | |||||||||||||||||||||||||||
10.28 | 14.69 | 440,836 | 0.54 | 6.05 | 0.54 | 6.05 | 315 | |||||||||||||||||||||||||||
10.28 | 14.13 | 26,667 | 1.04 | 5.54 | 1.04 | 5.54 | 315 | |||||||||||||||||||||||||||
Financial Highlights
Income from | Distributions | |||||||||||||||||||||||||||||||
investment operations | to shareholders | |||||||||||||||||||||||||||||||
Net asset | ||||||||||||||||||||||||||||||||
value, | Net | Net realized | Total from | From net | From net | |||||||||||||||||||||||||||
beginning | investment | and unrealized | investment | investment | realized | Total | ||||||||||||||||||||||||||
Year - Share Class | of period | income(a) | gain (loss) | operations | income | gains | distributions | |||||||||||||||||||||||||
FOR THE SIX MONTHS ENDED APRIL 30, (Unaudited) | ||||||||||||||||||||||||||||||||
2006 - A | $ | 9.93 | $ | 0.22 | $ | (0.21 | ) | $ | 0.01 | $ | (0.23 | ) | $ | — | $ | (0.23 | ) | |||||||||||||||
2006 - Institutional | 9.95 | 0.24 | (0.22 | ) | 0.02 | (0.25 | ) | — | (0.25 | ) | ||||||||||||||||||||||
2006 - Separate Account Institutional | 9.94 | 0.24 | (0.21 | ) | 0.03 | (0.25 | ) | — | (0.25 | ) | ||||||||||||||||||||||
FOR THE YEAR ENDED OCTOBER 31, | ||||||||||||||||||||||||||||||||
2005 - A | 10.31 | 0.40 | (0.35 | ) | 0.05 | (0.39 | ) | (0.04 | ) | (0.43 | ) | |||||||||||||||||||||
2005 - Institutional | 10.32 | 0.52 | (0.42 | ) | 0.10 | (0.43 | ) | (0.04 | ) | (0.47 | ) | |||||||||||||||||||||
2005 - Separate Account Institutional | 10.31 | 0.46 | (0.35 | ) | 0.11 | (0.44 | ) | (0.04 | ) | (0.48 | ) | |||||||||||||||||||||
FOR THE PERIOD ENDED OCTOBER 31, | ||||||||||||||||||||||||||||||||
2004 - A (commenced November 3, 2003) | 10.00 | 0.38 | 0.31 | 0.69 | (0.38 | ) | — | (0.38 | ) | |||||||||||||||||||||||
2004 - Institutional (commenced November 3, 2003) | 10.00 | 0.44 | 0.30 | 0.74 | (0.42 | ) | — | (0.42 | ) | |||||||||||||||||||||||
2004 - Separate Account Institutional (commenced November 3, 2003) | 10.00 | 0.43 | 0.31 | 0.74 | (0.43 | ) | — | (0.43 | ) | |||||||||||||||||||||||
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Assumes investment at the net asset value at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges. Total return would be reduced if a sales or redemption charge were taken into account. Total returns for periods less than one full year are not annualized. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of Fund shares. |
(c) | Annualized. |
112
Ratios assuming no | ||||||||||||||||||||||||||||||||||
expense reductions | ||||||||||||||||||||||||||||||||||
Ratio of | Ratio of | Ratio of | ||||||||||||||||||||||||||||||||
Net assets | Ratio of | net investment | total | net investment | ||||||||||||||||||||||||||||||
Net asset | at end of | net expenses | income to | expenses | income to | Portfolio | ||||||||||||||||||||||||||||
value, end | Total | of period | to average | average net | to average | average net | turnover | |||||||||||||||||||||||||||
of period | return(b) | (in 000s) | net assets | assets | net assets | assets | rate | |||||||||||||||||||||||||||
$ | 9.71 | (0.06 | )% | $ | 3,597 | 0.79 | %(c) | 4.60 | %(c) | 1.05 | %(c) | 4.34 | %(c) | 39 | % | |||||||||||||||||||
9.72 | 0.24 | 3,661 | 0.40 | (c) | 5.00 | (c) | 0.67 | (c) | 4.73 | (c) | 39 | |||||||||||||||||||||||
9.72 | 0.17 | 209,310 | 0.35 | (c) | 5.05 | (c) | 0.63 | (c) | 4.77 | (c) | 39 | |||||||||||||||||||||||
9.93 | 0.50 | 3,622 | 0.81 | 3.88 | 1.07 | 3.62 | 88 | |||||||||||||||||||||||||||
9.95 | 0.89 | 3,638 | 0.40 | 4.40 | 0.66 | 4.14 | 88 | |||||||||||||||||||||||||||
9.94 | 1.04 | 192,196 | 0.35 | 4.34 | 0.62 | 4.07 | 88 | |||||||||||||||||||||||||||
10.31 | 7.00 | 2,179 | 0.82 | (c) | 3.66 | (c) | 1.85 | (c) | 2.63 | (c) | 78 | |||||||||||||||||||||||
10.32 | 7.57 | 76 | 0.40 | (c) | 4.28 | (c) | 1.45 | (c) | 3.23 | (c) | 78 | |||||||||||||||||||||||
10.31 | 7.52 | 70,269 | 0.35 | (c) | 4.26 | (c) | 1.40 | (c) | 3.21 | (c) | 78 | |||||||||||||||||||||||
113
Fund Expenses (Unaudited) — Six Month Period Ended April 30, 2006
As a shareholder of Class A, Class B, Class C, Institutional, Administration, Service or Separate Account Institutional Shares of the Funds you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments (with respect to Class A Shares), contingent deferred sales charges (loads) on redemptions (with respect to Class B and C shares), and redemption fees (if any); and (2) ongoing costs, including management fees; distribution and service (12b-1) fees (with respect to Class A, Class B and Class C Shares); and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in Class A, Class B, Class C, Institutional, Administration, Service and Separate Account Institutional Shares of the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from November 1, 2005 through April 30, 2006.
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 Funds’ actual expense ratios and an assumed rate of return of 5% per year before expenses, which is not the Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Enhanced Income Fund | Ultra-Short Duration Government Fund | Short Duration Government Fund | Government Income Fund | |||||||||||||||||||||||||||||||||||||||||||||
Expenses | Expense | Expenses | Expenses | |||||||||||||||||||||||||||||||||||||||||||||
Beginning | Ending | Paid for the | Beginning | Ending | Paid for the | Beginning | Ending | Paid for the | Beginning | Ending | Paid for the | |||||||||||||||||||||||||||||||||||||
Account Value | Account Value | 6 months ended | Account Value | Account Value | 6 months ended | Account Value | Account Value | 6 months ended | Account Value | Account Value | 6 months ended | |||||||||||||||||||||||||||||||||||||
Share Class | 11/1/05 | 4/30/06 | 4/30/06* | 11/1/05 | 4/30/06 | 4/30/06* | 11/1/05 | 4/30/06 | 4/30/06* | 11/1/05 | 4/30/06 | 4/30/06* | ||||||||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,019.40 | $ | 3.12 | $ | 1,000.00 | $ | 1,021.90 | $ | 4.33 | $ | 1,000.00 | $ | 1,014.00 | $ | 4.55 | $ | 1,000.00 | $ | 1,006.50 | $ | 4.74 | ||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,021.71 | + | 3.12 | 1,000.00 | 1,020.52 | + | 4.32 | 1,000.00 | 1,020.27 | + | 4.57 | 1,000.00 | 1,020.07 | + | 4.77 | ||||||||||||||||||||||||||||||||
Class B | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | N/A | N/A | N/A | N/A | N/A | N/A | 1,000.00 | 1,012.10 | 7.55 | 1,000.00 | 1,002.80 | 8.46 | ||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | N/A | N/A | N/A | N/A | N/A | N/A | 1,000.00 | 1,017.29 | + | 7.57 | 1,000.00 | 1,016.35 | + | 8.51 | ||||||||||||||||||||||||||||||||||
Class C | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | N/A | N/A | N/A | N/A | N/A | N/A | 1,000.00 | 1,011.40 | 8.30 | 1,000.00 | 1,003.50 | 8.46 | ||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | N/A | N/A | N/A | N/A | N/A | N/A | 1,000.00 | 1,016.54 | + | 8.32 | 1,000.00 | 1,016.35 | + | 8.51 | ||||||||||||||||||||||||||||||||||
Institutional | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 1,020.30 | 1.27 | 1,000.00 | 1,022.60 | 2.47 | 1,000.00 | 1,015.90 | 2.72 | 1,000.00 | 1,009.10 | 2.89 | ||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,023.54 | + | 1.27 | 1,000.00 | 1,022.35 | + | 2.47 | 1,000.00 | 1,022.10 | + | 2.73 | 1,000.00 | 1,021.91 | + | 2.91 | ||||||||||||||||||||||||||||||||
Administration | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 1,019.00 | 2.52 | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | ||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,022.30 | + | 2.52 | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | |||||||||||||||||||||||||||||||||||
Service | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | N/A | N/A | N/A | 1,000.00 | 1,020.00 | 4.97 | 1,000.00 | 1,014.40 | 5.21 | 1,000.00 | 1,006.60 | 5.38 | ||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | N/A | N/A | N/A | 1,000.00 | 1,019.88 | + | 4.97 | 1,000.00 | 1,019.62 | + | 5.22 | 1,000.00 | 1,019.43 | + | 5.42 | |||||||||||||||||||||||||||||||||
U.S. Mortgages Fund | Core Fixed Income Fund | Investment Grade Credit Fund | ||||||||||||||||||||||||||||||||||
Expenses | Expenses | Expenses | ||||||||||||||||||||||||||||||||||
Beginning | Ending | Paid for the | Beginning | Ending | Paid for the | Beginning | Ending | Paid for the | ||||||||||||||||||||||||||||
Account Value | Account Value | 6 months ended | Account Value | Account Value | 6 months ended | Account Value | Account Value | 6 months ended | ||||||||||||||||||||||||||||
Share Class | 11/1/05 | 4/30/06 | 4/30/06* | 11/1/05 | 4/30/06 | 4/30/06* | 11/1/05 | 4/30/06 | 4/30/06* | |||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,013.30 | $ | 3.92 | $ | 1,000.00 | $ | 1,004.80 | $ | 4.23 | $ | 1,000.00 | $ | 999.40 | $ | 3.92 | ||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,020.90 | + | 3.94 | 1,000.00 | 1,020.58 | + | 4.26 | 1,000.00 | 1,020.87 | + | 3.97 | ||||||||||||||||||||||||
Class B | ||||||||||||||||||||||||||||||||||||
Actual | N/A | N/A | N/A | 1,000.00 | 1,001.10 | 7.94 | N/A | N/A | N/A | |||||||||||||||||||||||||||
Hypothetical 5% return | N/A | N/A | N/A | 1,000.00 | 1,016.86 | + | 8.01 | N/A | N/A | N/A | ||||||||||||||||||||||||||
Class C | ||||||||||||||||||||||||||||||||||||
Actual | N/A | N/A | N/A | 1,000.00 | 1,001.10 | 7.94 | N/A | N/A | N/A | |||||||||||||||||||||||||||
Hypothetical 5% return | N/A | N/A | N/A | 1,000.00 | 1,016.86 | + | 8.00 | N/A | N/A | N/A | ||||||||||||||||||||||||||
Institutional | ||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 1,015.00 | 1.97 | 1,000.00 | 1,006.60 | 2.40 | 1,000.00 | 1,002.40 | 2.00 | |||||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,022.84 | + | 1.98 | 1,000.00 | 1,022.41 | + | 2.41 | 1,000.00 | 1,022.80 | + | 2.02 | ||||||||||||||||||||||||
Service | ||||||||||||||||||||||||||||||||||||
Actual | N/A | N/A | N/A | 1,000.00 | 1,004.10 | 4.88 | N/A | N/A | N/A | |||||||||||||||||||||||||||
Hypothetical 5% return | N/A | N/A | N/A | 1,000.00 | 1,019.93 | + | 4.91 | N/A | N/A | N/A | ||||||||||||||||||||||||||
Separate Account Institutional | ||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 1,015.20 | 1.73 | N/A | N/A | N/A | 1,000.00 | 1,001.70 | 1.75 | |||||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,023.08 | 1.74 | N/A | N/A | N/A | 1,000.00 | 1,023.05 | + | 1.77 | ||||||||||||||||||||||||||
* | Expenses for each share class are calculated using the Fund’s annualized expense ratio for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended 04/30/06. Expenses are calculated by multiplying the annualized expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the fiscal year. The annualized expense ratios for the period were as follows: |
Separate Account | ||||||||||||||||||||||||||||
Fund | Class A | Class B | Class C | Institutional | Service | Administration | Institutional | |||||||||||||||||||||
Enhanced Income | 0.62 | % | N/A | N/A | 0.25 | % | N/A | 0.50 | % | N/A | ||||||||||||||||||
Ultra-Short Duration Government | 0.86 | N/A | N/A | 0.49 | 0.99 | % | N/A | N/A | ||||||||||||||||||||
Short Duration Government | 0.91 | 1.51 | % | 1.66 | % | 0.54 | 1.04 | N/A | N/A | |||||||||||||||||||
Government Income | 0.95 | 1.70 | 1.70 | 0.58 | 1.08 | N/A | N/A | |||||||||||||||||||||
U.S. Mortgages | 0.79 | N/A | N/A | 0.39 | N/A | N/A | 0.35 | % | ||||||||||||||||||||
Core Fixed Income | 0.85 | 1.60 | 1.60 | 0.48 | 0.98 | N/A | N/A | |||||||||||||||||||||
Investment Grade Credit | 0.79 | N/A | N/A | 0.40 | N/A | N/A | 0.35 | |||||||||||||||||||||
+ | Hypothetical expenses are based on the Fund’s actual expense ratios and an assumed rate of return of 5% per year before expenses. |
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Goldman Sachs Funds
Goldman Sachs is a premier financial services firm, known since 1869 for creating thoughtful and customized investment solutions in complex global markets.
Today, the Investment Management Division of Goldman Sachs serves a diverse set of clients worldwide, including private institutions, public entities and individuals. With portfolio management teams located around the world — and $562.5 billion in assets under management as of March 31, 2006 — our investment professionals bring firsthand knowledge of local markets to every investment decision, making us one of the few truly global asset managers.
GOLDMAN SACHS FUNDS |
In building a globally diversified portfolio, you can select from more than 50 Goldman Sachs Funds and gain access to investment opportunities across borders, investment styles, asset classes and security capitalizations.
International Equity Funds ▪ Asia Equity Fund2 ▪ Emerging Markets Equity Fund ▪ International Small Cap Fund2 ▪ Japanese Equity Fund ▪ European Equity Fund ▪ International Equity Fund ▪ Structured International Equity Fund2 | Domestic Equity Funds ▪ Small Cap Value Fund ▪ Structured Small Cap Equity Fund2 ▪ Small/ Mid Cap Growth Fund ▪ Growth Opportunities Fund ▪ Mid Cap Value Fund ▪ Concentrated Growth Fund ▪ Research Select FundSM ▪ Strategic Growth Fund ▪ Capital Growth Fund ▪ Large Cap Value Fund ▪ Growth and Income Fund ▪ Structured Large Cap Growth Fund2 ▪ Structured Large Cap Value Fund2 ▪ Structured U.S. Equity Fund2 Asset Allocation Funds ▪ Balanced Fund ▪ Asset Allocation Portfolios | Specialty Funds ▪ Tollkeeper FundSM ▪ Structured Tax-Managed Equity Fund2 ▪ U.S. Equity Dividend and Premium Fund ▪ Real Estate Securities Fund Fixed Income Funds ▪ Emerging Markets Debt Fund ▪ High Yield Fund ▪ High Yield Municipal Fund ▪ Global Income Fund ▪ Investment Grade Credit Fund ▪ Core Fixed Income Fund ▪ Government Income Fund ▪ U.S. Mortgages Fund ▪ Municipal Income Fund ▪ California Intermediate AMT-Free Municipal Fund ▪ New York Intermediate AMT-Free Municipal Fund ▪ Short Duration Tax-Free Fund ▪ Short Duration Government Fund ▪ Ultra-Short Duration Government Fund ▪ Enhanced Income Fund Money Market Funds1 |
1 | An investment in a money market fund is neither insured nor guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although the Funds seek to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in the Funds. |
2 | Effective December 30, 2005, the Asia Growth Fund was renamed the Asia Equity Fund and the International Growth Opportunities Fund was renamed the International Small Cap Fund. Also effective December 30, 2005, the CORESM International Equity, CORESM Small Cap Equity, CORESM Large Cap Growth, CORESM Large Cap Value and CORESM U.S. Equity Funds were renamed, respectively, the Structured International Equity, Structured Small Cap Equity, Structured Large Cap Growth, Structured Large Cap Value and Structured U.S. Equity Funds. Effective January 6, 2006, the CORESM Tax-Managed Equity Fund was renamed the Structured Tax-Managed Equity Fund. |
The Goldman Sachs Research Select FundSM, CORESM and Tollkeeper FundSM are registered service marks of Goldman, Sachs & Co. |
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 Peter V. Bonanno, Secretary |
GOLDMAN, SACHS & CO. Distributor and Transfer Agent | GOLDMAN SACHS ASSET MANAGEMENT, L.P. Investment Adviser |
Visit our Web site at www.goldmansachsfunds.com to obtain the most recent month-end returns.
The reports concerning the Funds included in this shareholder report may contain certain forward-looking statements about the factors that may affect the performance of the Funds in the future. These statements are based on Fund management’s predictions and expectations concerning certain future events and their expected impact on the Funds, such as performance of the economy as a whole and of specific industry sectors, changes in the levels of interest rates, the impact of developing world events, and other factors that may influence the future performance of the Funds. Management believes these forward-looking statements to be reasonable, although they are inherently uncertain and difficult to predict. Actual events may cause adjustments in portfolio management strategies from those currently expected to be employed.
A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities and information regarding how a Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available (I) without charge, upon request by calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders); and (II) on the Securities and Exchange Commission Web site at http://www.sec.gov.
The Funds file their complete schedule of portfolio holdings with the Securities and Exchange Commission (“SEC”) for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Form N-Q will become available on the SEC’s website at http://www.sec.gov within 60 days after the Funds’ first and third fiscal quarters. When available, the Funds’ Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. and information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. When available, Form N-Q may be obtained upon request and without charge by calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders).
Foreign and emerging markets investments may be more volatile and less liquid than investment in U.S. securities and will be subject to the risks of currency fluctuations and political developments. At times, the Core Fixed Income and Investment Grade Credit Funds may be unable to sell certain of their portfolio securities without a substantial drop in price, if at all. The Core Fixed Income and Investment Grade Credit Funds may also engage in foreign currency transactions for hedging purposes including cross hedging or for speculative purposes. Forward foreign currency exchange contracts are subject to the risk that the counterparty to the contract will default on its obligations.
Holdings and allocations shown may not be representative of current or future investments. Holdings and allocations may not include the Fund’s entire investment portfolio, which may change at any time. Fund holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities.
This material is not authorized for distribution to prospective investors unless preceded or accompanied by a current Prospectus. Please consider a Fund’s objectives, risks, and charges and expenses, and read the Prospectus carefully before investing. The Prospectus contains this and other information about the Funds.
Copyright 2006 Goldman, Sachs & Co. All rights reserved. 06-854 | TFISAR / 66.6K / 06-06 |
ITEM 2. | CODE OF ETHICS. Not applicable to the Semi–Annual Report for the period ended April 30, 2006 |
ITEM 3. | AUDIT COMMITTEE FINANCIAL EXPERT. Not applicable to the Semi–Annual Report for the period ended April 30, 2006 |
ITEM 4. | PRINCIPAL ACCOUNTANT FEES AND SERVICES. Not applicable to the Semi–Annual Report for the period ended April 30, 2006 | |
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: | June 28, 2006 |
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: | June 28, 2006 | |||||
By: | /s/ John M. Perlowski | |||||
John M. Perlowski | ||||||
Treasurer/Principal Financial Officer | ||||||
Goldman Sachs Trust | ||||||
Date: | June 28, 2006 |