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. |
SPECIAL FOCUS FIXED INCOME FUNDS | Semiannual Report April 30, 2006 |
Current income potential from portfolios that invest in a variety of fixed income securities. |
Goldman Sachs Special Focus Fixed Income Funds
n GOLDMAN SACHS GLOBAL INCOME FUND
n GOLDMAN SACHS HIGH YIELD FUND
n GOLDMAN SACHS EMERGING MARKETS DEBT FUND
The Goldman Sachs Global Income Fund’s investments in fixed income securities are subject to the risks associated with debt securities including credit and interest rate risk. The Fund may invest in foreign and emerging market securities, which may be more volatile and less liquid than its investments in U.S. securities and will be subject to the risks of currency fluctuations and sudden economic or political developments. The Fund 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. 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 Fund is nondiversified and may invest more of its assets in fewer issuers than diversified funds, may be more susceptible to adverse developments affecting any single issuer held in its portfolio and may be susceptible to greater losses because of these developments. At times, the Fund may be unable to sell certain of its portfolio securities without a substantial drop in price, if at all.
The Goldman Sachs High Yield Fund invests in high yield, fixed income securities that, at the time of purchase, are noninvestment grade. High yield, lower rated securities involve greater price volatility and present greater risks than higher rated fixed income securities. The Fund may also invest in foreign issuers who are denominated in currencies other than the U.S. dollar and in securities of issuers located in emerging countries denominated in any currency. The Fund’s foreign and emerging market investments may be more volatile and less liquid than its investments in U.S. securities and will be subject to the risks of currency fluctuations and sudden economic or political developments. At times, the Fund may be unable to sell certain of its portfolio securities without a substantial drop in price, if at all. The Fund may also engage in foreign currency transactions for hedging purposes including cross hedging or for speculative purposes. 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 Emerging Markets Debt Fund’s investments in fixed income securities are subject to the risks associated with debt securities including credit and interest rate risk. The majority of the countries in which the Fund invests have sovereign ratings that are below investment grade or are unrated. High yield, lower rated securities involve greater price volatility and present greater risks than higher rated fixed income securities. Fixed income securities of emerging countries are less liquid and are subject to greater price volatility and will be subject to the risks of currency fluctuations and sudden economic or political developments. The securities markets of emerging countries have less government regulation and are subject to less extensive accounting and financial reporting requirements than the markets of more developed countries. The Fund 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. The Fund is subject to concentration risk and it may subject the Fund to greater losses than if it were less concentrated in a particular country or region. The Fund is also subject to the risk that the issuers of sovereign debt or the government authorities that control the payment of debt may be unable or unwilling to repay principal or interest when due. 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 Fund is nondiversified and may invest more of its assets in fewer issuers than diversified funds, may be more susceptible to adverse developments affecting any single issuer held in its portfolio and may be susceptible to greater losses because of these developments. At times, the Fund may be unable to sell certain of its portfolio securities without a substantial drop in price, if at all.
NOT FDIC-INSURED | May Lose Value | No Bank Guarantee | ||
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 securities and 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 |
Global Income Fund
Dear Shareholder,
This report provides an overview on the performance of the Goldman Sachs Global Income Fund during the six-month reporting period that ended April 30, 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 -0.25%, -0.57%, -0.65%, -0.06% and -0.31%, respectively. These returns compare to the -0.13% cumulative total return of the Fund’s benchmark, the J.P. Morgan Global Government Bond Index (hedged), over the same time period. |
Market Review
In the United States, the yield curve began the period by flattening further, but then experienced some steepening as the period progressed. The Federal Reserve Board (the “Fed”) kept steady upward pressure on short-term yields, raising its target federal funds rate four times from 3.75% to 4.75% by the end of April. Longer-term yields declined a bit in November and December, resulting in intervals of yield curve inversion, but from mid-January through the end of April they rose steadily, ending the period above the psychologically important 5.00% level. In large part, the increase was due to a strong rebound in the U.S. economy during the first quarter from its meager 1.7% growth rate in the fourth quarter of 2005, following last fall’s devastating hurricane season. Persistently high crude oil prices also kept inflation on bond investors’ minds, although the core inflation numbers, excluding food and energy, remained benign. | |
Europe also saw yields rise at the short end of the curve, as the European Central Bank (the “ECB”) hiked its benchmark refinancing rate by 0.25% in December and March, leaving it at 2.50% by period end. The December adjustment was the ECB’s first rate increase since October 2000. Stronger economic data and improving business sentiment surveys prompted the ECB’s rate hikes, although gross domestic product growth in the region was expected to remain well below that of the United States. Toward the end of the period, the Eurozone yield curve steepened, as comments by ECB officials steadied short-term yields while strong economic data pushed yields higher at the long end of the curve. | |
Japan continued to show signs of a sustained economic recovery, with improving employment data, healthy growth in corporate profits and growing demand for the nation’s exports. Even the long-depressed real estate market showed signs of turning up, as vacancies declined and prices began to firm. Accordingly, the Bank of Japan announced in March that it would slash the requirements for the levels of reserves financial institutions are required to keep in current account deposits at the central bank, widely seen as the first step toward raising its overnight call rate— perhaps as early as July. Near the end of the period, longer bond yields rose and the yield curve steepened, as improving economic data increased the probability that the banking authorities might increase short-term rates sooner rather than later. |
Investment Objective
The Fund seeks a high total return, emphasizing current income, and, to a lesser extent, providing opportunities for capital appreciation. |
Investment Strategies
The Fund holds a global portfolio of high quality bonds that represents our best ideas in the world’s developed country bond markets. Strategies employed include the active management of interest rates, yield curve, country allocation, sector, security selection and currency management. To the extent we find them effective instruments to manage the duration of the portfolio, the Fund may employ the use of derivatives, including financial futures, Eurodollar futures contracts and swaps. The Fund also makes use of currency forwards for the purpose of hedging non U.S. dollar exposures, as well as implementing active currency views. | |
We believe that using derivatives, including both futures and swaps, in the portfolio has been an effective portfolio management tool. Futures have been efficiently employed to hedge duration (interest rate sensitivity) drift that may occur due to the passage of time, or changing interest rates. In addition, futures allowed us to optimize security selection by giving us the flexibility to select the most attractive securities for the portfolio, regardless of the securities’ maturity/duration. Finally, futures and swaps were important tools in implementing certain interest rate and spread views. |
Factors Affecting Performance
The Fund’s performance was hampered by its currency positioning. In addition to investing in the securities of government and corporate issuers in the United States, Japan, Germany and other developed countries, the Fund engages in currency transactions designed to enhance returns and seeks to hedge its portfolio against currency exchange rate fluctuations. That said, a short position in the Japanese yen hurt us near the beginning of 2006, when the yen rallied against the U.S. dollar and other major currencies. Additionally, a short position in the appreciating British pound was detrimental to the Fund’s results. | |
Conversely, the Fund’s performance was aided by short duration positions in the United States and Japan. Duration strategy is used to adjust the portfolio’s sensitivity to the overall level of interest rates. Thus, if the portfolio’s duration is shorter relative to that of the benchmark, the expectation is for outperformance to occur in a rising yield environment, which is what occurred in both countries. However, as the markets moved more in line with our expectations, we moderated this position considerably, ending the period with the Fund’s duration only slightly shorter than the benchmark’s in both Japan and the United States. |
Outlook
Globally, a recent trend is for central banks to raise interest rates, which generally acts as a headwind for fixed income investments. However, a lot depends on the pace of rate hikes, and so far central banks have taken a gradualist approach, which should be less disruptive to the markets than sudden rate increases. Volatility in interest rates, in parallel with equity volatility, has been muted for quite some time. However, we believe that may change soon, as the Fed’s actions become more dependent on current economic data and less driven by the desire to raise interest rates to a more neutral level. Also fueling an increase in volatility could be Japan’s move away from its zero-interest-rate policy. Greater volatility would present greater risk but also the possibility for enhanced profits. We will approach the rest of 2006 with these considerations in mind as we search for the most attractive investment opportunities for our shareholders. | |
We thank you for your investment and look forward to your continued confidence. | |
Goldman Sachs Global Fixed Income Investment Management Team | |
May 22, 2006 |
Global Income Fund
PERFORMANCE REVIEW |
November 1, 2005– | Fund Total Return | J.P. Morgan Global | 30-Day | |||||||||||
April 30, 2006 | (based on NAV)1 | Government Bond Index2 | Standardized Yield3 | |||||||||||
Class A | -0.25 | % | -0.13 | % | 2.76 | % | ||||||||
Class B | -0.57 | -0.13 | 2.12 | |||||||||||
Class C | -0.65 | -0.13 | 2.12 | |||||||||||
Institutional | -0.06 | -0.13 | 3.25 | |||||||||||
Service | -0.31 | -0.13 | 2.74 | |||||||||||
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 reflects the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. |
2 | The J.P. Morgan Global Government Bond Index (hedged), an unmanaged index, does not reflect any deduction for fees, expenses or taxes. 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 | -2.23 | % | 2.77 | % | 5.25 | % | 5.93 | % | 8/2/91 | |||||||||||
Class B | -3.50 | 2.69 | n/a | 5.10 | 5/1/96 | |||||||||||||||
Class C | 0.64 | 3.11 | n/a | 4.47 | 8/15/97 | |||||||||||||||
Institutional | 2.76 | 4.29 | 6.36 | 6.72 | 8/1/95 | |||||||||||||||
Service | 2.24 | 3.78 | 5.82 | 5 | 6.32 | 5 | 8/2/91 | |||||||||||||
4 | The Standardized Total Returns are average annual total returns as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 4.5% for Class A Shares, the assumed contingent deferred sales charge for Class B Shares (5% maximum declining to 0% after six years) and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional and Service Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. The Fund will charge a 2% redemption fee on the redemption of shares (including by exchange) held for 30 calendar days or less. The performance figures do not reflect the deduction of the redemption fee. If reflected, the redemption fee would reduce the performance quoted. |
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. |
5 | Performance data for Service Shares prior to 3/12/97 (commencement of operations) is that of Class A Shares (excluding the impact of front-end sales charges applicable to Class A Shares since Service Shares are not subject to any sales charges). Performance of Class A Shares in the Fund reflects the expenses applicable to the Fund’s Class A Shares. The fees applicable to Service Shares are different from those applicable to Class A Shares which impact performance ratings and rankings for a class of shares. |
TOP 5 CURRENCY ALLOCATIONS6 |
% of Portfolio | % of Portfolio | |||||||||||
Currency | as of 4/30/06 | Currency | as of 10/31/05 | |||||||||
Euro | 40.6 | % | Euro | 48.2 | % | |||||||
U.S. Dollar | 24.1 | U.S. Dollar | 26.3 | |||||||||
Japanese Yen | 23.1 | Japanese Yen | 14.6 | |||||||||
British Pound | 5.4 | British Pound | 4.0 | |||||||||
Mexican Peso | 1.8 | Australian Dollar | 2.1 | |||||||||
6 | Figures represent a percentage of total market value. The Fund is actively managed and, as such, its composition may differ over time. |
High Yield Fund
Dear Shareholder:
This report provides an overview on the performance of the Goldman Sachs High Yield Fund during the six-month reporting period that ended April 30, 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 6.20%, 5.81%, 5.81%, 6.39%, and 6.28%, respectively. These returns surpassed the 5.00% cumulative total return of the Fund’s benchmark, the Lehman Brothers U.S. Corporate High Yield Bond Index, 2% Issuer Capped and the 4.95% cumulative total return of the Fund’s previous benchmark, the Lehman Brothers U.S. Corporate High Yield Bond Index, over the same time period. |
Market Review
As measured by the Fund’s benchmark, the high-yield market recorded positive results in the period’s six months, reflecting a growing U.S. economy and robust corporate profitability. Additionally, default rates were at their lowest levels in ten years, further adding to market strength. The market’s monthly returns ranged from a high of 1.19% in January to a low of 0.42% in March. | |
As happened for much of 2005, the automotive sector dictated the direction of the high yield market during the period. January’s surge was due in part to a rebound in automotive securities, as Ford Motor announced a comprehensive restructuring plan that included laying off at least 25,000 workers and closing a minimum of 10 factories. However, high yield bond prices held up well even in the face of auto parts manufacturer Dana Corp.’s bankruptcy filing in March. | |
BB rated bonds, which represent the high yield group closest to investment grade and therefore tend to correlate most directly with the Treasury market, underperformed due to their sensitivity to rising interest rates. Conversely, strong company results and equity markets benefited the high yield market’s riskier credits. |
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 the Fund’s investment objective, we invest, under normal circumstances, at least 80% of the Fund’s net assets plus any borrowings for investment purposes in high yield, fixed income securities that, at the time of purchase, are non-investment grade. The Fund may invest in obligations of domestic and foreign issuers, which are denominated in currencies other than the U.S. dollar. The Fund typically uses derivatives, including |
currency forwards, primarily for the purpose of hedging currency exposure back to the base U.S. dollar currency. While the Fund can use swaps, it does not generally do so. |
Factors Affecting Performance
The Fund posted consistently strong returns, outperforming the benchmark in each month of the period. Our results were particularly aided by overweighting B rated securities and underweighting bonds with BB ratings. At period end, the Fund’s B rated holdings accounted for almost 60% of its assets, versus approximately 46% for the benchmark. Meanwhile, securities in the BB category accounted for just under 19% for the Fund, compared with about 37% for the benchmark. | |
An overweighting in Europe also had a positive impact on the Fund’s performance, as robust earnings growth helped the region’s high yield credits, particularly near the end of 2005. On a sector basis, results in the Building Materials sector were favorable compared with the benchmark. One holding in this industry, Nortek Holdings, Inc., was a notable contributor. The company filed for an IPO (initial public offering) amid strong demand for building materials and record first-quarter financial results. Another security worthy of mention was KRATON Polymers LLC, which announced plans to redeem its 12% notes at a significant premium to where they had been trading. | |
Factors that held back the Fund’s gains included a modest underweighting in CCC rated securities, which performed well during the period. Performance also was curbed by a smaller-than-benchmark exposure to Charter Communications Holdings. The cable television operator’s bonds gained almost 10% in April, as the company’s performance showed signs of improvement. |
Outlook
Based on market technicals and our fundamental credit research, we believe high yield returns will be driven primarily by coupon payments in the medium term, offset by moderately rising default rates and potentially higher interest rates. Rating agencies initially projected 2006 default rates around 3%, which implies an issuer default loss of about 1.5%. However, default rate expectations have been reduced in response to the strength of the economy and the stock market. | |
We thank you for your investment and look forward to your continued confidence. | |
Goldman Sachs High Yield Investment Management Team | |
May 22, 2006 |
High Yield Fund
PERFORMANCE REVIEW |
Lehman Brothers | ||||||||||||||||||
U.S. Corporate | Lehman Brothers | 30-Day | ||||||||||||||||
November 1, 2005– | Fund Total Return | High Yield Bond Index | U.S. Corporate | Standardized | ||||||||||||||
April 30, 2006 | (based on NAV)1 | 2% Issuer Capped2 | High Yield Bond Index2 | Yield3 | ||||||||||||||
Class A | 6.20 | % | 5.00 | % | 4.95 | % | 6.57 | % | ||||||||||
Class B | 5.81 | 5.00 | 4.95 | 6.12 | ||||||||||||||
Class C | 5.81 | 5.00 | 4.95 | 6.12 | ||||||||||||||
Institutional | 6.39 | 5.00 | 4.95 | 7.26 | ||||||||||||||
Service | 6.28 | 5.00 | 4.95 | 6.75 | ||||||||||||||
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 | Effective June 1, 2005, the Lehman Brothers U.S. Corporate High Yield Bond Index, 2% Issuer Capped replaced the Lehman Brothers U.S. Corporate High Yield Bond Index as the Fund’s benchmark. The Lehman Brothers U.S. Corporate High Yield Bond Index, 2% Issuer Capped, an unmanaged index, covers the universe of U.S. dollar denominated, non-convertible, fixed rate, non-investment grade debt. Index holdings must have at least one year to final maturity, at least $150 million par amount outstanding, and be publicly issued with a rating of Ba1 or lower. The Lehman Brothers U.S. Corporate High Yield Bond Index is an unmanaged, total return performance benchmark for fixed income securities having a maximum quality rating of Ba1 (as determined by Moody’s Investors Service). In the Investment Adviser’s opinion, the Lehman Brothers U.S. Corporate High Yield Bond Index, 2% Issuer Capped is a more appropriate benchmark against which to measure the performance of the Fund. 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 | Since Inception | Inception Date | ||||||||||||
Class A | 3.16 | % | 8.22 | % | 6.06 | % | 8/1/97 | |||||||||
Class B | 1.89 | 7.96 | 5.84 | 8/1/97 | ||||||||||||
Class C | 6.19 | 8.41 | 5.88 | 8/15/97 | ||||||||||||
Institutional | 8.46 | 9.64 | 7.03 | 8/1/97 | ||||||||||||
Service | 7.67 | 9.05 | 6.48 | 8/1/97 |
4 | The Standardized Total Returns are average annual total returns as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 4.5% for Class A Shares, the assumed contingent deferred sales charge for Class B Shares (5% maximum declining to 0% after six years) and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional and Service Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. The Fund will charge a 2% redemption fee on the redemption of shares (including by exchange) held for 30 calendar days or less. The performance figures do not reflect the deduction of the redemption fee. If reflected, the redemption fee would reduce the performance quoted. |
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. |
TOP 10 HOLDINGS AS OF 4/30/065 |
Company | Line of Business | % of Portfolio | ||||||||
Ray Acquisition SCA | Services Cyclical | 1.6 | % | |||||||
WDAC Subsidiary Corp | Publishing | 1.0 | ||||||||
Graham Packaging Co., Inc. | Packaging | 0.9 | ||||||||
MGM Mirage, Inc. | Gaming | 0.8 | ||||||||
Grohe Holdings | Building Materials | 0.7 | ||||||||
General Motors Acceptance Corp. | Automotive | 0.7 | ||||||||
Nextel Communications, Inc. | Telecommunications | 0.7 | ||||||||
Lighthouse International Co. | Publishing | 0.6 | ||||||||
Rockwood Specialties Group, Inc. | Chemicals | 0.6 | ||||||||
Nortek, Inc. | Building Materials | 0.6 | ||||||||
5 | The top 10 holdings may not be representative of the Fund’s future investments. |
SECTOR ALLOCATION AS OF 4/30/066 |
Sector | % of Portfolio | |||
Chemicals | 7.5 | % | ||
Gaming | 5.7 | |||
Publishing | 4.6 | |||
Telecommunications– Cellular | 4.5 | |||
Media– Cable | 4.0 | |||
Utilities– Pipelines | 3.9 | |||
Packaging | 3.6 | |||
Utilities– Electric | 3.6 | |||
Building Materials– Fixtures & Fittings | 3.4 | |||
Consumer Products–Household & Leisure | 3.3 | |||
Short-term Investment | 3.3 | |||
Health Care– Services | 3.0 | |||
Paper | 2.6 | |||
Conglomerates | 2.3 | |||
Automotive | 2.2 | |||
Automotive Parts | 2.1 | |||
Sovereign | 2.1 | |||
Services Cyclical–Distribution/ Logistics | 2.0 | |||
Food | 2.0 | |||
Aerospace | 1.9 | |||
Services Cyclical– Rental Equipment | 1.9 | |||
Energy– Exploration & Production | 1.8 | |||
Health Care– Pharmaceutical | 1.8 | |||
Capital Goods– Others | 1.7 | |||
Telecommunications | 1.7 | |||
Technology– Hardware | 1.4 | |||
Entertainment & Leisure | 1.4 | |||
Metals | 1.4 | |||
Technology– Software/ Services | 1.4 | |||
Retailers– Food & Drug | 1.1 | |||
Consumer Products– Industrial | 1.1 | |||
Health Care– Medical Products | 1.0 | |||
Environmental | 1.0 | |||
Defense | 1.0 | |||
Other | 12.7 |
6 | Figures represent a percentage of total market value. The Fund is actively managed and, as such, its composition may differ over time. |
Emerging Markets Debt Fund
Dear Shareholder,
This report provides an overview on the performance of the Goldman Sachs Emerging Markets Debt Fund during the six-month reporting period that ended April 30, 2006.
Performance Review
Over the six-month period that ended April 30, 2006, the Fund’s Class A and Institutional Shares generated cumulative total returns, without sales charges, of 6.07% and 6.17%, respectively. These returns compare to the 4.83% cumulative total return of the Fund’s benchmark, the J.P. Morgan EMBI Global Diversified Index, over the same time period. | |
Argentina, the portfolio’s largest overweight, was the most significant contributor to excess returns over the six-month period. Security selection of local debt and defaulted debt contributed meaningfully to returns. Conversely, an overweight position in Turkey was the most significant detractor from returns over the same period. |
Market Review
The J.P. Morgan EMBI Global Diversified Index returned 4.83% over the six-month period ended April 30, 2006. Spreads tightened 59 basis points to close the period at 187 basis points, one basis point above the Index’s all-time low of 186. The market performed particularly well, aided by the ongoing improvement in emerging market fundamentals, favorably low global interest rates, and strong commodity returns. Latin America outperformed all emerging regions, returning 6.61%. This was due to improving fundamentals, an increase in reserves, and the 20% increase in oil prices, as many Latin emergers are exporters of the commodity. |
Investment Objective
The Fund seeks a high level of total return consisting of income and capital appreciation. |
Investment Strategies
In seeking to meet the Fund’s investment objective, we invest, under normal circumstances, at least 80% of the Fund’s net assets plus any borrowings for investment purposes in fixed income securities of issuers located in emerging countries. To the extent we find them effective instruments with which to manage certain of the portfolio’s risk exposures (e.g., duration and currency), the Fund may employ the use of derivatives, including options, futures, forwards, swaps and Eurodollar futures contracts. The Fund typically makes use of currency forwards for the purpose of hedging select currency exposure back to the base U.S. dollar currency. Since its inception, we believe the Fund’s exposure to derivatives has been an effective risk management tool for hedging duration and currency exposures as desired. |
Portfolio Composition
At the end of the reporting period, relative to its benchmark, the Fund held sizable underweight positions in Asia, Africa, and the Middle East, neutral weight in Europe, and an overweight in Latin America. The Fund remains well diversified across 27 countries and across all emerging market regions. At the end of the reporting period, relative to its benchmark, the portfolio’s largest overweight was Argentina and largest underweight was Malaysia. | |
We continue to focus on relative value across countries but believe overall valuations are tight. Fundamentally, we continue to see a fairly favorable external environment and healthy developments in key credits and across the broader market in general. We believe sustained or rising oil price levels, which closed at $72 per barrel at the end of April, should continue to support oil exporting countries, which comprise over 40% of the emerging market debt index. The technical picture also continues to shine favorably on the asset class. We believe inflows remain strong as investor demand is high and broadening. Furthermore, we believe the need for new issuance is decreasing. Many emerging market economies are running current account surpluses due to high commodity prices and strong export demand. |
Portfolio Highlights
Argentina, the portfolio’s largest overweight, was the most significant contributor to excess returns over the six-month period. Security selection of local debt and high beta defaulted debt contributed meaningfully to returns. Argentine fundamentals continue to improve, coupled with strong investor demand for higher yielding emerging market securities. The Fund’s active currency positioning, primarily the Brazilian real, contributed meaningfully to returns, as the currency appreciated 7% over the reporting period. An overweight to and security selection within Turkey were the most significant detractors from returns for the period, as Turkey underperformed the benchmark over the six months ended April 30, 2006. | |
We thank you for your investment and look forward to your continued confidence. | |
Goldman Sachs Global Fixed Income Investment Management Team | |
May 22, 2006 |
Emerging Markets Debt Fund
PERFORMANCE REVIEW |
November 1, 2005– | Fund Total Return | J.P. Morgan EMBI Global | 30-Day | |||||||||||
April 30, 2006 | (based on NAV)1 | Diversified Index2 | Standardized Yield3 | |||||||||||
Class A | 6.07 | % | 4.83 | % | 5.83 | % | ||||||||
Institutional | 6.17 | 4.83 | 6.49 | |||||||||||
1 | The net asset value (NAV) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance assumes the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. |
2 | The J.P. Morgan EMBI Global Diversified Index is an unmanaged index of debt instruments of 31 Emerging Countries. The Index figures do not reflect any deduction for fees, expenses or taxes. 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 | 12.89 | % | 14.05 | % | 8/29/03 | |||||||
Institutional | 18.61 | 16.56 | 8/29/03 | |||||||||
4 | The Standardized Total Returns are average annual total returns as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 4.5% for Class A Shares. Because Institutional Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. The Fund will charge a 2% redemption fee on the redemption of shares (including by exchange) held for 30 calendar days or less. The performance figures do not reflect the deduction of the redemption fee. If reflected, the redemption fee would reduce the performance quoted. |
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. |
TOP 10 COUNTRY ALLOCATION5 |
% of Portfolio | % of Portfolio | |||||||||
Country | as of 4/30/06 | Country | as of 10/31/05 | |||||||
Brazil | 11.1 | % | U.S. (Short-term investments) | 18.0 | % | |||||
Russia | 9.2 | Argentina | 12.0 | |||||||
Venezuela | 9.1 | Brazil | 8.8 | |||||||
Argentina | 8.0 | Russia | 7.1 | |||||||
Turkey | 7.6 | Turkey | 6.9 | |||||||
Peru | 6.4 | Germany | 5.8 | |||||||
Philippines | 5.8 | Venezuela | 5.5 | |||||||
Mexico | 5.8 | Philippines | 4.6 | |||||||
U.S. (Short-term Investments) | 4.4 | Peru | 4.0 | |||||||
Guatemala | 3.6 | Guatemala | 3.4 | |||||||
5 | Figures represent a percentage of market value. The Fund is actively managed and, as such, its composition may differ over time. |
Statement of Investments
Principal | Interest | Maturity | ||||||||||||||
Amount* | Rate | Date | Value | |||||||||||||
Foreign Sovereign Debt Obligations – 72.8% | ||||||||||||||||
Australian Dollar – 0.2% | ||||||||||||||||
Australia Government Bond | ||||||||||||||||
AUD1,100,000 | 6.000 | % | 02/15/17 | $ | 854,952 | |||||||||||
British Pound – 5.4% | ||||||||||||||||
United Kingdom Treasury | ||||||||||||||||
GBP1,500,000 | 5.000 | 03/07/08 | 2,754,472 | |||||||||||||
2,650,000 | 4.750 | 06/07/10 | 4,848,455 | |||||||||||||
40,000 | 8.000 | 09/27/13 | 88,097 | |||||||||||||
1,300,000 | 8.750 | 08/25/17 | 3,223,460 | |||||||||||||
650,000 | 5.000 | 03/07/25 | 1,267,550 | |||||||||||||
6,350,001 | 4.250 | 06/07/32 | 11,440,588 | |||||||||||||
1,500,000 | 4.250 | 03/07/36 | 2,720,989 | |||||||||||||
700,000 | 4.250 | 12/07/55 | 1,314,396 | |||||||||||||
27,658,007 | ||||||||||||||||
Canadian Dollar – 1.3% | ||||||||||||||||
Government of Canada | ||||||||||||||||
CAD1,100,000 | 3.000 | 06/01/06 | 983,118 | |||||||||||||
3,600,000 | 6.000 | 06/01/08 | 3,339,157 | |||||||||||||
2,500,000 | 5.750 | 06/01/29 | 2,614,820 | |||||||||||||
6,937,095 | ||||||||||||||||
Danish Krone – 0.7% | ||||||||||||||||
Kingdom of Denmark | ||||||||||||||||
DKK20,000,000 | 6.000 | 11/15/09 | 3,641,286 | |||||||||||||
Euro – 38.4% | ||||||||||||||||
Federal Republic of Germany | ||||||||||||||||
EUR14,250,000 | 5.250 | 01/04/08 | 18,517,212 | |||||||||||||
12,900,000 | 3.500 | 04/08/11 | 16,103,794 | |||||||||||||
24,400,000 | 3.750 | 01/04/15 | 30,338,851 | |||||||||||||
3,450,000 | 3.250 | 07/04/15 | 4,118,482 | |||||||||||||
2,000,000 | 6.250 | 01/04/24 | 3,179,261 | |||||||||||||
3,900,000 | 4.750 | 07/04/28 | 5,303,711 | |||||||||||||
50,000 | 4.000 | 01/04/37 | 61,020 | |||||||||||||
Government of France | ||||||||||||||||
7,300,000 | 5.250 | 04/25/08 | 9,534,085 | |||||||||||||
32,200,000 | 5.500 | 04/25/10 | 43,375,900 | |||||||||||||
18,100,000 | 5.000 | 04/25/12 | 24,301,224 | |||||||||||||
3,400,000 | 3.500 | 04/25/15 | 4,139,718 | |||||||||||||
5,300,000 | 5.500 | 04/25/29 | 7,951,899 | |||||||||||||
Kingdom of Spain | ||||||||||||||||
3,000,000 | 6.000 | 01/31/08 | 3,947,355 | |||||||||||||
2,950,000 | 4.200 | 07/30/13 | 3,792,735 | |||||||||||||
Kingdom of The Netherlands | ||||||||||||||||
2,850,000 | 3.750 | 07/15/09 | 3,615,121 | |||||||||||||
1,800,000 | 4.250 | 07/15/13 | 2,323,517 | |||||||||||||
Republic of Italy | ||||||||||||||||
3,650,000 | 5.500 | 11/01/10 | 4,921,231 | |||||||||||||
7,500,000 | 6.000 | 05/01/31 | 11,497,904 | |||||||||||||
197,023,020 | ||||||||||||||||
Japanese Yen – 23.0% | ||||||||||||||||
Government of Japan | ||||||||||||||||
JPY3,295,000,000 | 0.900 | 12/22/08 | 29,015,909 | |||||||||||||
600,000,000 | 0.800 | 09/20/09 | 5,227,738 | |||||||||||||
4,290,000,000 | 0.800 | 12/20/10 | 36,842,158 | |||||||||||||
JPY1,000,000,000 | 1.300 | 06/20/12 | 8,648,083 | |||||||||||||
2,605,000,000 | 1.400 | 12/20/15 | 21,861,753 | |||||||||||||
1,825,000,000 | 1.900 | 03/20/24 | 15,363,386 | |||||||||||||
120,000,000 | 2.500 | 09/20/34 | 1,063,102 | |||||||||||||
118,022,129 | ||||||||||||||||
Mexican Peso – 1.8% | ||||||||||||||||
United Mexican States | ||||||||||||||||
MXN104,400,000 | 8.000 | 12/19/13 | 9,152,227 | |||||||||||||
Polish Zloty – 1.7% | ||||||||||||||||
Poland Government Bond | ||||||||||||||||
PLN25,900,000 | 5.750 | 03/24/10 | 8,707,729 | |||||||||||||
Swedish Krona – 0.3% | ||||||||||||||||
Kingdom of Sweden | ||||||||||||||||
SEK11,000,000 | 6.750 | 05/05/14 | 1,795,043 | |||||||||||||
TOTAL FOREIGN SOVEREIGN DEBT OBLIGATIONS | ||||||||||||||||
(Cost $369,714,028) | $ | 373,791,488 | ||||||||||||||
Corporate Bonds – 7.1% | ||||||||||||||||
Banks – 2.8% | ||||||||||||||||
Banca Popolare di Bergamo Capital Trust(a)(b) | ||||||||||||||||
EUR1,180,000 | 8.364 | % | 02/05/11 | $ | 1,731,345 | |||||||||||
Bank of America Corp. | ||||||||||||||||
$ | 150,000 | 7.250 | 10/15/25 | 165,580 | ||||||||||||
BCI US Funding Trust II(a)(b) | ||||||||||||||||
EUR870,000 | 4.360 | 07/15/08 | 1,125,032 | |||||||||||||
Citicorp | ||||||||||||||||
$ | 100,000 | 7.200 | 06/15/07 | 102,003 | ||||||||||||
DEM4,500,000 | 6.250 | 09/19/09 | 3,098,106 | |||||||||||||
Credit Suisse First Boston London(a)(b)(c) | ||||||||||||||||
$ | 1,330,000 | 7.900 | 05/01/07 | 1,359,443 | ||||||||||||
HSBC Holdings PLC | ||||||||||||||||
1,080,000 | 6.500 | 05/02/36 | 1,088,545 | |||||||||||||
Instituto de Credito Oficial MTN | ||||||||||||||||
2,100,000 | 4.625 | 10/26/10 | 2,049,791 | |||||||||||||
Merita Bank Ltd. | ||||||||||||||||
1,010,000 | 6.500 | 04/01/09 | 1,038,496 | |||||||||||||
National Westminster Bank PLC(a)(b) | ||||||||||||||||
370,000 | 7.750 | 10/16/07 | 381,503 | |||||||||||||
Resona Bank Ltd. MTN(a) | ||||||||||||||||
EUR1,180,000 | 3.750 | 04/15/15 | 1,459,250 | |||||||||||||
Schieneninfrastructurfinanzierungs-Gesellschaft mBH MTN | ||||||||||||||||
$ | 760,000 | 4.625 | 11/21/13 | 719,059 | ||||||||||||
14,318,153 | ||||||||||||||||
Capital Goods – 0.4% | ||||||||||||||||
Bombardier, Inc.(c) | ||||||||||||||||
250,000 | 6.300 | 05/01/14 | 229,375 | |||||||||||||
360,000 | 7.450 | 05/01/34 | 324,900 |
14
Principal | Interest | Maturity | ||||||||||||||
Amount* | Rate | Date | Value | |||||||||||||
Corporate Bonds – (continued) | ||||||||||||||||
Capital Goods – (continued) | ||||||||||||||||
Tyco International Group SA | ||||||||||||||||
EUR1,440,000 | 6.125 | % | 04/04/07 | $ | 1,854,855 | |||||||||||
2,409,130 | ||||||||||||||||
Consumer Noncyclical – 0.3% | ||||||||||||||||
Imperial Tobacco Overseas BV | ||||||||||||||||
$ | 1,410,000 | 7.125 | % | 04/01/09 | 1,465,168 | |||||||||||
Energy – 0.8% | ||||||||||||||||
FirstEnergy Corp. | ||||||||||||||||
170,000 | 5.500 | 11/15/06 | 169,987 | |||||||||||||
NGG Finance PLC | ||||||||||||||||
EUR1,520,000 | 5.250 | 08/23/06 | 1,929,593 | |||||||||||||
TXU Corp. Series O | ||||||||||||||||
$ | 2,060,000 | 4.800 | 11/15/09 | 1,984,884 | ||||||||||||
4,084,464 | ||||||||||||||||
Financial Companies – 0.4% | ||||||||||||||||
Countrywide Home Loan MTN | ||||||||||||||||
710,000 | 4.250 | 12/19/07 | 697,169 | |||||||||||||
PHH Corp. | ||||||||||||||||
1,233,000 | 6.000 | 03/01/08 | 1,233,311 | |||||||||||||
1,930,480 | ||||||||||||||||
Insurance – 0.6% | ||||||||||||||||
CNA Financial Corp. | ||||||||||||||||
420,000 | 6.600 | 12/15/08 | 429,798 | |||||||||||||
Endurance Specialty Holdings Ltd. | ||||||||||||||||
20,000 | 7.000 | 07/15/34 | 19,284 | |||||||||||||
Prudential Insurance Co. of America | ||||||||||||||||
1,900,000 | 6.375 | 07/23/06 | 1,903,576 | |||||||||||||
SL Finance PLC(a) | ||||||||||||||||
EUR540,000 | 6.375 | 07/12/22 | 750,072 | |||||||||||||
3,102,730 | ||||||||||||||||
Telecommunications – 1.7% | ||||||||||||||||
AT&T Corp.(a) | ||||||||||||||||
230,000 | 6.000 | 11/21/06 | 294,347 | |||||||||||||
Bell Atlantic New Jersey, Inc. | ||||||||||||||||
$ | 65,000 | 8.000 | 06/01/22 | 69,482 | ||||||||||||
Clear Channel Communications, Inc. | ||||||||||||||||
900,000 | 8.000 | 11/01/08 | 944,647 | |||||||||||||
Comcast Cable Communications | ||||||||||||||||
1,900,000 | 8.375 | 05/01/07 | 1,953,765 | |||||||||||||
Comcast Cable Communications Holdings, Inc. | ||||||||||||||||
170,000 | 9.455 | 11/15/22 | 211,763 | |||||||||||||
Cox Communications, Inc. | ||||||||||||||||
1,460,000 | 4.625 | 01/15/10 | 1,401,146 | |||||||||||||
Deutsche Telekom International Finance BV | ||||||||||||||||
230,000 | 8.250 | 06/15/30 | 272,798 | |||||||||||||
Olivetti Finance NV | ||||||||||||||||
EUR510,000 | 7.750 | 01/24/33 | 802,983 | |||||||||||||
Sprint Capital Corp. | ||||||||||||||||
$ | 1,260,000 | 4.780 | 08/17/06 | 1,257,834 | ||||||||||||
Verizon Global Funding Corp. | ||||||||||||||||
1,380,000 | 6.125 | 06/15/07 | 1,391,703 | |||||||||||||
8,600,468 | ||||||||||||||||
Transportation – 0.1% | ||||||||||||||||
OeBB Infrastruktur Bau AG | ||||||||||||||||
810,000 | 4.750 | 10/28/13 | 773,265 | |||||||||||||
TOTAL CORPORATE BONDS | ||||||||||||||||
(Cost $36,103,452) | $ | 36,683,858 | ||||||||||||||
Asset-Backed Securities(a) – 0.7% | ||||||||||||||||
Mortgage – 0.7% | ||||||||||||||||
Countrywide Home Equity Loan Trust Series 2004-Q, Class 2A | ||||||||||||||||
$ | 1,326,934 | 5.201 | % | 12/15/33 | $ | 1,330,678 | ||||||||||
First Horizon ABS Trust Series 2004-HE3, Class A | ||||||||||||||||
1,225,752 | 5.249 | 10/25/34 | 1,229,342 | |||||||||||||
Fremont Home Loan Trust Series 2004-4, Class 2A2 | ||||||||||||||||
832,033 | 5.239 | 03/25/35 | 833,189 | |||||||||||||
TOTAL ASSET-BACKED SECURITIES | ||||||||||||||||
(Cost $3,384,720) | $ | 3,393,209 | ||||||||||||||
Mortgage-Backed Obligations(a) – 2.1% | ||||||||||||||||
CMOs – 0.5% | ||||||||||||||||
Countrywide Alternative Loan Trust Series 2006-OA1, Class 2A1 | ||||||||||||||||
$ | 2,536,880 | 5.133 | % | 03/20/46 | $ | 2,534,829 | ||||||||||
Home Equity – 1.6% | ||||||||||||||||
American Home Mortgage Investment Trust Series 2004-3, Class 1A | ||||||||||||||||
479,154 | 5.329 | 10/25/34 | 479,831 | |||||||||||||
Countrywide Alternative Loan Trust Series 2005-82, Class A1 | ||||||||||||||||
6,372,951 | 5.229 | 02/25/36 | 6,372,951 | |||||||||||||
Sequoia Mortgage Trust Series 2004-10, Class A3A | ||||||||||||||||
1,595,786 | 5.550 | 11/20/34 | 1,597,400 | |||||||||||||
8,450,182 | ||||||||||||||||
TOTAL MORTGAGE-BACKED OBLIGATIONS | ||||||||||||||||
(Cost $10,984,770) | $ | 10,985,011 | ||||||||||||||
U.S. Treasury Obligations – 10.4% | ||||||||||||||||
Sovereign – 10.4% | ||||||||||||||||
United States Treasury Bonds | ||||||||||||||||
$ | 6,700,000 | 4.500 | % | 11/15/10 | $ | 6,588,244 | ||||||||||
6,150,000 | 7.500 | 11/15/24 | 7,724,338 | |||||||||||||
United States Treasury Inflation Protected Securities(d) | ||||||||||||||||
5,107,350 | 1.875 | 07/15/15 | 4,902,699 | |||||||||||||
4,454,673 | 2.000 | 01/15/16 | 4,306,590 |
15
Statement of Investments (continued)
Principal | Interest | Maturity | ||||||||||||||
Amount* | Rate | Date | Value | |||||||||||||
U.S. Treasury Obligations – (continued) | ||||||||||||||||
Sovereign – (continued) | ||||||||||||||||
United States Treasury Notes | ||||||||||||||||
$ | 850,000 | 3.000 | % | 11/15/07 | $ | 826,293 | ||||||||||
19,650,000 | 2.625 | 05/15/08 | 18,801,061 | |||||||||||||
10,800,000 | 4.000 | 02/15/15 | 10,006,870 | |||||||||||||
TOTAL U.S. TREASURY OBLIGATIONS | ||||||||||||||||
(Cost $54,284,812) | $ | 53,156,095 | ||||||||||||||
Agency Debentures – 4.8% | ||||||||||||||||
FHLB | ||||||||||||||||
$ | 12,000,000 | 3.750 | % | 09/28/06 | $ | 11,931,384 | ||||||||||
FHLMC | ||||||||||||||||
11,600,000 | 4.125 | 07/12/10 | 11,129,072 | |||||||||||||
FNMA | ||||||||||||||||
1,450,000 | 3.550 | 11/16/07 | 1,415,867 | |||||||||||||
TOTAL AGENCY DEBENTURES | ||||||||||||||||
(Cost $24,759,729) | $ | 24,476,323 | ||||||||||||||
Short-Term Obligation – 1.4% | ||||||||||||||||
State Street Bank & Trust Euro – Time Deposit | ||||||||||||||||
$ | 7,209,000 | 4.450 | % | 05/01/06 | $ | 7,209,000 | ||||||||||
(Cost $7,209,000) | ||||||||||||||||
TOTAL INVESTMENTS – 99.3% | ||||||||||||||||
(Cost $506,440,511) | $ | 509,694,984 | ||||||||||||||
Other Assets in Excess of Liabilities – 0.7% | 3,406,147 | |||||||||||||||
Net Assets – 100.0% | $ | 513,101,131 | ||||||||||||||
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
* | The principal/contract amount of each security is stated in the currency in which the bond/option is denominated. See below. |
Currency Description | ||||
AUD | = | Australian Dollar | ||
CAD | = | Canadian Dollar | ||
DEM | = | Deutsche Mark | ||
DKK | = | Danish Krone | ||
EUR | = | Euro Currency | ||
GBP | = | British Pound | ||
JPY | = | Japanese Yen | ||
MXN | = | Mexican Peso | ||
PLN | = | Polish Zloty | ||
SEK | = | Swedish Krona |
(a) | Variable rate security. Interest rate disclosed is that which is in effect at April 30, 2006. | |
(b) | Perpetual Maturity. Maturity date presented represents the next call date. | |
(c) | Securities are exempt from registration under Rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the Investment Adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $1,913,718, which represents approximately 0.4% of net assets as of April 30, 2006. | |
(d) | Treasury Inflation Protected Securities — a U.S. Treasury note or bond that offers protection from inflation by paying a fixed rate of interest on a principal amount that is adjusted for inflation based on the Consumer Price Index. |
Investment Abbreviations: | ||||||
CMOs | — | Collateralized Mortgage Obligations | ||||
FHLB | — | Federal Home Loan Bank | ||||
FHLMC | — | Federal Home Loan Mortgage Corp. | ||||
FNMA | — | Federal National Mortgage Association | ||||
MTN | — | Medium-Term Note | ||||
16
ADDITIONAL INVESTMENT INFORMATION |
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 | Current | Unrealized | ||||||||||||
Purchase Contracts | Date | Settlement Date | Value | Gain (Loss) | ||||||||||||
Australian Dollar | 06/21/2006 | $ | 16,632,371 | $ | 17,255,796 | $ | 623,425 | |||||||||
Canadian Dollar | 06/21/2006 | 34,732,000 | 35,610,804 | 878,804 | ||||||||||||
Chilean Peso | 05/15/2006 | 90,677 | 93,773 | 3,096 | ||||||||||||
Chilean Peso | 06/02/2006 | 1,357,000 | 1,376,211 | 19,211 | ||||||||||||
Chilean Peso | 06/23/2006 | 1,340,000 | 1,374,635 | 34,635 | ||||||||||||
Chilean Peso | 06/30/2006 | 868,000 | 895,952 | 27,952 | ||||||||||||
Chilean Peso | 07/18/2006 | 219,314 | 219,326 | 12 | ||||||||||||
Czech Koruna | 06/21/2006 | 1,319,377 | 1,403,922 | 84,545 | ||||||||||||
Euro | 05/24/2006 | 4,355,700 | 4,378,778 | 23,078 | ||||||||||||
Euro | 06/21/2006 | 35,158,175 | 36,217,056 | 1,058,881 | ||||||||||||
British Pound | 05/15/2006 | 11,639,335 | 11,949,472 | 310,137 | ||||||||||||
British Pound | 06/21/2006 | 24,025,000 | 25,066,135 | 1,041,135 | ||||||||||||
Hungarian Forint | 06/21/2006 | 1,235,611 | 1,289,758 | 54,147 | ||||||||||||
Israeli Shekel | 06/21/2006 | 1,207,828 | 1,269,529 | 61,701 | ||||||||||||
Japanese Yen | 06/21/2006 | 8,130,546 | 8,300,823 | 170,277 | ||||||||||||
Mexican Peso | 06/21/2006 | 1,697,000 | 1,699,094 | 2,094 | ||||||||||||
Mexican Peso | 06/21/2006 | 4,982,024 | 4,869,764 | (112,260 | ) | |||||||||||
New Zealand Dollar | 06/21/2006 | 1,559,058 | 1,626,749 | 67,691 | ||||||||||||
New Zealand Dollar | 06/21/2006 | 1,596,637 | 1,594,291 | (2,346 | ) | |||||||||||
Norwegian Krone | 06/21/2006 | 31,280,485 | 33,124,561 | 1,844,076 | ||||||||||||
Polish Zloty | 06/21/2006 | 1,559,547 | 1,644,979 | 85,432 | ||||||||||||
Russian Ruble | 05/30/2006 | 898,000 | 915,101 | 17,101 | ||||||||||||
Russian Ruble | 06/07/2006 | 2,826,551 | 2,891,434 | 64,883 | ||||||||||||
Russian Ruble | 06/09/2006 | 1,188,049 | 1,220,138 | 32,089 | ||||||||||||
Russian Ruble | 06/27/2006 | 2,488,646 | 2,536,350 | 47,704 | ||||||||||||
Russian Ruble | 06/29/2006 | 898,000 | 915,925 | 17,925 | ||||||||||||
Russian Ruble | 07/12/2006 | 690,801 | 701,895 | 11,094 | ||||||||||||
Russian Ruble | 07/17/2006 | 1,594,051 | 1,632,036 | 37,985 | ||||||||||||
Russian Ruble | 07/28/2006 | 911,964 | 915,074 | 3,110 | ||||||||||||
Singapore Dollar | 06/21/2006 | 44,818,993 | 45,908,303 | 1,089,310 | ||||||||||||
Slovakian Koruna | 06/21/2006 | 1,755,578 | 1,823,654 | 68,076 | ||||||||||||
South African Rand | 05/03/2006 | 251,000 | 257,318 | 6,318 | ||||||||||||
South African Rand | 06/21/2006 | 4,009,693 | 4,147,184 | 137,491 | ||||||||||||
South Korean Won | 05/08/2006 | 1,275,000 | 1,298,716 | 23,716 | ||||||||||||
South Korean Won | 05/17/2006 | 1,593,492 | 1,637,364 | 43,872 | ||||||||||||
South Korean Won | 05/23/2006 | 721,439 | 741,619 | 20,180 | ||||||||||||
South Korean Won | 05/24/2006 | 859,980 | 887,281 | 27,301 | ||||||||||||
South Korean Won | 05/30/2006 | 1,554,740 | 1,559,232 | 4,492 | ||||||||||||
South Korean Won | 06/16/2006 | 660,000 | 683,165 | 23,165 | ||||||||||||
South Korean Won | 07/06/2006 | 297,000 | 303,173 | 6,173 | ||||||||||||
South Korean Won | 07/07/2006 | 1,266,000 | 1,284,891 | 18,891 | ||||||||||||
South Korean Won | 07/27/2006 | 101,000 | 101,141 | 141 | ||||||||||||
South Korean Won | 07/27/2006 | 1,736,385 | 1,733,834 | (2,551 | ) |
17
Statement of Investments (continued)
ADDITIONAL INVESTMENT INFORMATION (continued) |
Open Forward Foreign Currency | Expiration | Value on | Current | Unrealized | ||||||||||||
Purchase Contracts | Date | Settlement Date | Value | Gain (Loss) | ||||||||||||
South Korean Won | 08/08/2006 | $ | 419,319 | $ | 419,250 | $ | (69 | ) | ||||||||
Swedish Krona | 06/21/2006 | 11,954,000 | 12,467,869 | 513,869 | ||||||||||||
Swiss Franc | 06/21/2006 | 29,700,805 | 30,768,638 | 1,067,833 | ||||||||||||
Taiwan Dollar | 05/08/2006 | 534,000 | 541,391 | 7,391 | ||||||||||||
Taiwan Dollar | 05/16/2006 | 1,508,722 | 1,527,327 | 18,605 | ||||||||||||
Taiwan Dollar | 06/16/2006 | 3,302,000 | 3,347,642 | 45,642 | ||||||||||||
Taiwan Dollar | 06/23/2006 | 1,577,000 | 1,594,911 | 17,911 | ||||||||||||
Taiwan Dollar | 07/11/2006 | 473,541 | 477,873 | 4,332 | ||||||||||||
Taiwan Dollar | 07/18/2006 | 1,494,445 | 1,520,077 | 25,632 | ||||||||||||
Taiwan Dollar | 08/08/2006 | 547,206 | 546,259 | (947 | ) | |||||||||||
Thailand Baht | 05/02/2006 | 910,000 | 944,231 | 34,231 | ||||||||||||
Thailand Baht | 06/06/2006 | 476,194 | 494,389 | 18,195 | ||||||||||||
Thailand Baht | 06/20/2006 | 1,232,246 | 1,285,472 | 53,226 | ||||||||||||
Thailand Baht | 07/05/2006 | 474,622 | 484,659 | 10,037 | ||||||||||||
Thailand Baht | 07/18/2006 | 1,346,833 | 1,362,656 | 15,823 | ||||||||||||
Thailand Baht | 07/24/2006 | 1,325,376 | 1,333,918 | 8,542 | ||||||||||||
Thailand Baht | 08/02/2006 | 942,794 | 943,429 | 635 | ||||||||||||
Yuan Renminbi | 07/10/2006 | 1,297,000 | 1,280,255 | (16,745 | ) | |||||||||||
Yuan Renminbi | 08/09/2006 | 1,307,143 | 1,313,685 | 6,542 | ||||||||||||
Yuan Renminbi | 08/16/2006 | 1,827,195 | 1,846,676 | 19,481 | ||||||||||||
Yuan Renminbi | 09/22/2006 | 2,657,000 | 2,661,320 | 4,320 | ||||||||||||
TOTAL OPEN FORWARD FOREIGN CURRENCY PURCHASE CONTRACTS | $ | 322,689,488 | $ | 332,518,163 | $ | 9,828,675 | ||||||||||
Open Forward Foreign Currency | Expiration | Value on | Current | Unrealized | ||||||||||||
Sale Contracts | Date | Settlement Date | Value | Gain (Loss) | ||||||||||||
Australian Dollar | 06/21/2006 | $ | 16,468,000 | $ | 17,253,746 | $ | (785,746 | ) | ||||||||
Australian Dollar | 07/18/2006 | 788,497 | 818,432 | (29,935 | ) | |||||||||||
Canadian Dollar | 06/21/2006 | 18,952,683 | 19,612,837 | (660,154 | ) | |||||||||||
Canadian Dollar | 07/12/2006 | 6,676,876 | 6,982,791 | (305,915 | ) | |||||||||||
Chilean Peso | 05/15/2006 | 557,906 | 573,865 | (15,959 | ) | |||||||||||
Chilean Peso | 05/22/2006 | 721,580 | 738,895 | (17,315 | ) | |||||||||||
Chilean Peso | 06/02/2006 | 697,380 | 716,951 | (19,571 | ) | |||||||||||
Chilean Peso | 06/20/2006 | 1,205,000 | 1,239,014 | (34,014 | ) | |||||||||||
Chilean Peso | 06/23/2006 | 1,330,000 | 1,379,123 | (49,123 | ) | |||||||||||
Chilean Peso | 06/30/2006 | 1,692,000 | 1,702,070 | (10,070 | ) | |||||||||||
Danish Krone | 06/23/2006 | 3,873,248 | 4,017,622 | (144,374 | ) | |||||||||||
Euro | 05/24/2006 | 212,312,451 | 216,031,347 | (3,718,896 | ) | |||||||||||
Euro | 06/21/2006 | 56,489,516 | 58,738,255 | (2,248,739 | ) | |||||||||||
British Pound | 05/15/2006 | 39,253,586 | 41,136,979 | (1,883,393 | ) | |||||||||||
British Pound | 06/21/2006 | 46,362,986 | 48,494,908 | (2,131,922 | ) | |||||||||||
Hong Kong Dollar | 06/21/2006 | 3,179,411 | 3,179,909 | (498 | ) | |||||||||||
Japanese Yen | 05/30/2006 | 117,496,067 | 118,711,160 | (1,215,093 | ) | |||||||||||
Japanese Yen | 06/21/2006 | 18,342,637 | 18,892,504 | (549,867 | ) | |||||||||||
Mexican Peso | 06/21/2006 | 3,029,000 | 3,022,989 | 6,011 |
18
ADDITIONAL INVESTMENT INFORMATION (continued) |
Open Forward Foreign Currency | Expiration | Value on | Current | Unrealized | ||||||||||||
Sale Contracts | Date | Settlement Date | Value | Gain (Loss) | ||||||||||||
Mexican Peso | 06/21/2006 | $ | 1,692,000 | $ | 1,711,428 | $ | (19,428 | ) | ||||||||
Mexican Peso | 07/12/2006 | 8,799,670 | 8,844,994 | (45,324 | ) | |||||||||||
Norwegian Krone | 06/21/2006 | 9,242,000 | 9,544,205 | (302,205 | ) | |||||||||||
New Zealand Dollar | 06/21/2006 | 2,815,240 | 2,792,238 | 23,002 | ||||||||||||
New Zealand Dollar | 06/21/2006 | 17,978,686 | 18,767,403 | (788,717 | ) | |||||||||||
Polish Zloty | 06/13/2006 | 8,527,260 | 9,000,442 | (473,182 | ) | |||||||||||
Singapore Dollar | 06/21/2006 | 23,642,000 | 24,199,247 | (557,247 | ) | |||||||||||
Slovakian Koruna | 06/21/2006 | 811,178 | 845,913 | (34,735 | ) | |||||||||||
South African Rand | 05/03/2006 | 251,449 | 257,318 | (5,869 | ) | |||||||||||
South African Rand | 06/21/2006 | 2,518,000 | 2,596,227 | (78,227 | ) | |||||||||||
South Korean Won | 05/08/2006 | 1,265,185 | 1,298,716 | (33,531 | ) | |||||||||||
South Korean Won | 05/17/2006 | 1,428,450 | 1,440,891 | (12,441 | ) | |||||||||||
South Korean Won | 05/23/2006 | 466,000 | 485,297 | (19,297 | ) | |||||||||||
South Korean Won | 05/24/2006 | 590,890 | 597,297 | (6,407 | ) | |||||||||||
South Korean Won | 07/05/2006 | 76,412 | 78,036 | (1,624 | ) | |||||||||||
Swedish Krona | 06/20/2006 | 1,475,333 | 1,552,237 | (76,904 | ) | |||||||||||
Swedish Krona | 06/21/2006 | 11,233,091 | 11,927,998 | (694,907 | ) | |||||||||||
Swiss Franc | 06/21/2006 | 11,282,000 | 11,848,935 | (566,935 | ) | |||||||||||
Thailand Baht | 05/02/2006 | 942,983 | 944,231 | (1,248 | ) | |||||||||||
Thailand Baht | 06/06/2006 | 919,100 | 958,677 | (39,577 | ) | |||||||||||
Taiwan Dollar | 05/08/2006 | 541,370 | 541,391 | (21 | ) | |||||||||||
Taiwan Dollar | 05/16/2006 | 636,000 | 646,331 | (10,331 | ) | |||||||||||
Taiwan Dollar | 06/23/2006 | 101,489 | 103,517 | (2,028 | ) | |||||||||||
Taiwan Dollar | 07/25/2006 | 66,469 | 67,182 | (713 | ) | |||||||||||
TOTAL OPEN FORWARD FOREIGN CURRENCY SALE CONTRACTS | $ | 656,731,079 | $ | 674,293,548 | $ | (17,562,469 | ) | |||||||||
19
Statement of Investments (continued)
ADDITIONAL INVESTMENT INFORMATION (continued) |
Open Forward Foreign Currency | Expiration | Purchase | Sale | Unrealized | ||||||||||||
Cross Contracts (Purchase/Sale) | Date | Current Value | Current Value | Gain (Loss) | ||||||||||||
Czech Koruna/Euro | 06/21/2006 | $ | 6,673,524 | $ | 7,025,748 | $ | 352,224 | |||||||||
06/21/2006 | 7,005,480 | 6,673,524 | (331,956 | ) | ||||||||||||
Euro/Czech Koruna | 06/21/2006 | 5,846,550 | 6,116,633 | 270,083 | ||||||||||||
06/21/2006 | 6,155,562 | 5,846,550 | (309,012 | ) | ||||||||||||
Euro/Hungarian Forint | 06/21/2006 | 2,894,377 | 3,000,051 | 105,674 | ||||||||||||
06/21/2006 | 3,031,780 | 2,894,377 | (137,403 | ) | ||||||||||||
Euro/Polish Zloty | 06/21/2006 | 5,924,556 | 6,143,143 | 218,587 | ||||||||||||
06/21/2006 | 6,193,476 | 5,924,556 | (268,920 | ) | ||||||||||||
Euro/Slovakian Koruna | 06/21/2006 | 2,182,508 | 2,225,354 | 42,846 | ||||||||||||
06/21/2006 | 2,213,031 | 2,182,508 | (30,523 | ) | ||||||||||||
Hungarian Forint/Euro | 06/21/2006 | 1,589,710 | 1,626,140 | 36,430 | ||||||||||||
06/21/2006 | 1,654,383 | 1,589,710 | (64,673 | ) | ||||||||||||
Polish Zloty/Euro | 06/21/2006 | 7,543,060 | 8,002,192 | 459,132 | ||||||||||||
06/21/2006 | 7,945,030 | 7,543,060 | (401,970 | ) | ||||||||||||
Slovakian Koruna/Euro | 06/21/2006 | 3,801,990 | 4,053,503 | 251,513 | ||||||||||||
06/21/2006 | 4,031,780 | 3,801,990 | (229,790 | ) | ||||||||||||
TOTAL OPEN FORWARD FOREIGN CURRENCY CROSS CONTRACTS (PURCHASE/SALE) | $ | 74,686,797 | $ | 74,649,039 | $ | (37,758 | ) | |||||||||
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) | ||||||||||||
Eurodollar | (734 | ) | June 2006 | $ | (101,343,049 | ) | $ | 638,799 | ||||||||
2 Year U.S. Treasury Notes | 262 | June 2006 | 53,378,406 | (7,219 | ) | |||||||||||
5 Year U.S. Treasury Notes | (278 | ) | June 2006 | (28,955,438 | ) | 65,609 | ||||||||||
10 Year Canadian Bonds | (72 | ) | June 2006 | (7,099,861 | ) | 160,995 | ||||||||||
10 Year U.S. Treasury Notes | (234 | ) | June 2006 | (24,705,281 | ) | 83,719 | ||||||||||
U.S. Long Bonds | 296 | June 2006 | 31,625,750 | (418,678 | ) | |||||||||||
$ | (77,099,473 | ) | $ | 523,225 | ||||||||||||
20
ADDITIONAL INVESTMENT INFORMATION (continued) |
SWAP CONTRACTS — At April 30, 2006, the Fund had outstanding interest rate swap contracts with the following terms:
Rate Type | ||||||||||||||
Notional | Payments | Payments | ||||||||||||
Swap | Amount | Termination | received by | made by | Unrealized | |||||||||
Counterparty | (000s) | Date | the Fund | the Fund | Gain (Loss) | |||||||||
Merrill Lynch Capital Markets Bank Ltd. (Dublin) | CAD 10,300 | 07/15/2010 | 3 month CDOR | 3.64% | $ | 334,319 | ||||||||
Merrill Lynch Capital Markets Bank Ltd. (Dublin) | USD 6,600 | 07/19/2010 | 4.40% | 3 month LIBOR | (167,360 | ) | ||||||||
Merrill Lynch Capital Markets Bank Ltd. (Dublin) | USD 6,600 | 07/15/2010 | 4.40% | 3 month LIBOR | (166,299 | ) | ||||||||
Merrill Lynch Capital Markets Bank Ltd. (Dublin) | CAD 10,200 | 07/15/2010 | 3 month CDOR | 3.64% | 332,930 | |||||||||
Merrill Lynch Capital Markets Bank Ltd. (Dublin) | CAD 10,150 | 03/08/2011 | 4.40% | 3 month CDOR | (86,287 | ) | ||||||||
Merrill Lynch Capital Markets Bank Ltd. (Dublin) | USD 7,050 | 03/10/2011 | 3 month LIBOR | 5.24% | 42,483 | |||||||||
Merrill Lynch Deutsche Bank | CAD 7,450 | 04/12/2011 | 4.59% | 3 month CDOR | 2,670 | |||||||||
Credit Suisse First Boston International (London) | USD 4,350 | 04/18/2011 | 3 month LIBOR | 5.37% | 18,167 | |||||||||
Merrill Lynch Capital Markets Bank Ltd. (Dublin) | GBP 8,600 | 04/06/2016 | 4.75% | 6 month BP | (267,021 | ) | ||||||||
Credit Suisse First Boston International (London) | GBP 2,750 | 12/06/2035 | 6 month BP | 4.34% | 186,564 | |||||||||
Credit Suisse First Boston International (London) | EUR 4,200 | 12/10/2035 | 3.90% | 3 month EURO | (429,692 | ) | ||||||||
Credit Suisse First Boston International (London) | EUR 1,350 | 12/24/2035 | 3.84% | 6 month EURO | (158,312 | ) | ||||||||
Credit Suisse First Boston International (London) | GBP 950 | 12/24/2035 | 6 month BP | 4.27% | 84,925 | |||||||||
Merrill Lynch Capital Markets Bank Ltd. (Dublin) | GBP 4,600 | 04/07/2036 | 6 month BP | 4.40% | 209,383 | |||||||||
Merrill Lynch Capital Markets Bank Ltd. (Dublin) | GBP 1,530 | 04/10/2036 | 6 month BP | 4.43% | 61,110 | |||||||||
Merrill Lynch Capital Markets Bank Ltd. (Dublin) | GBP 1,520 | 04/10/2036 | �� | 6 month BP | 4.45% | 52,730 | ||||||||
Merrill Lynch Capital Markets Bank Ltd. (Dublin) | EUR 2,180 | 04/14/2036 | 4.44% | 6 month EURO | 7,850 | |||||||||
Merrill Lynch Capital Markets Bank Ltd. (Dublin) | EUR 2,170 | 04/14/2036 | 4.45% | 6 month EURO | 11,452 | |||||||||
TOTAL | $ | 69,612 | ||||||||||||
CDOR | — | Canadian Dollar Offered Rate | ||
LIBOR | — | London Interbank Offered Rate | ||
BP | — | British Pound Offered Rate | ||
EURO | — | Euro Offered Rate |
WRITTEN OPTIONS — For the six months ended April 30, 2006, the Fund had the following written options activity:
Number of | Premiums | |||||||
Contracts | Received | |||||||
Contracts Outstanding October 31, 2005 | 170,583 | $ | 164,498 | |||||
Contracts written | 156,089 | 271,675 | ||||||
Contracts expired | (317,154 | ) | (413,806 | ) | ||||
Contracts bought back | (9,518 | ) | (22,367 | ) | ||||
Contracts Outstanding April 30, 2006 | — | $ | — | |||||
21
Statement of Investments
Principal | Interest | Maturity | ||||||||||||||
Amount• | Rate | Date | Value | |||||||||||||
Corporate Bonds – 93.3% | ||||||||||||||||
Aerospace – 1.9% | ||||||||||||||||
Aero Invest 1 S.A. (B+/Ba3)(a)(c) | ||||||||||||||||
EUR3,478,997 | 11.269 | % | 03/01/15 | $ | 4,537,236 | |||||||||||
Argo-Tech Corp. (B/B3) | ||||||||||||||||
$ | 4,000,000 | 9.250 | 06/01/11 | 4,220,000 | ||||||||||||
Aspropulsion Capital B.V. (CCC+) | ||||||||||||||||
EUR5,000,000 | 9.625 | 10/01/13 | 7,206,892 | |||||||||||||
BE Aerospace, Inc. (B/B3) | ||||||||||||||||
$ | 2,000,000 | 8.875 | 05/01/11 | 2,087,500 | ||||||||||||
BE Aerospace, Inc. (BB-/B1) | ||||||||||||||||
1,000,000 | 8.500 | 10/01/10 | 1,066,250 | |||||||||||||
FastenTech, Inc. (B-/B3) | ||||||||||||||||
1,250,000 | 11.500 | 05/01/11 | 1,275,000 | |||||||||||||
K&F Acquisition, Inc. (B-/Caa1) | ||||||||||||||||
7,000,000 | 7.750 | 11/15/14 | 7,157,500 | |||||||||||||
MTU Aero Engines (B+/Ba3) | ||||||||||||||||
EUR1,800,000 | 8.250 | 04/01/14 | 2,543,387 | |||||||||||||
Sequa Corp. (BB-/B1) | ||||||||||||||||
$ | 4,000,000 | 9.000 | 08/01/09 | 4,300,000 | ||||||||||||
Standard Aero Holdings, Inc. (B-/Caa1) | ||||||||||||||||
3,500,000 | 8.250 | 09/01/14 | 3,097,500 | |||||||||||||
TD Funding Corp. (B-/B3) | ||||||||||||||||
4,000,000 | 8.375 | 07/15/11 | 4,190,000 | |||||||||||||
Vought Aircraft Industries, Inc. (B-/B2) | ||||||||||||||||
2,500,000 | 8.000 | 07/15/11 | 2,368,750 | |||||||||||||
44,050,015 | ||||||||||||||||
Agriculture – 0.5% | ||||||||||||||||
Land O’ Lakes, Inc. (B/B2) | ||||||||||||||||
320,000 | 8.750 | 11/15/11 | 333,600 | |||||||||||||
Land O’ Lakes, Inc. (BB-/B1) | ||||||||||||||||
1,500,000 | 9.000 | 12/15/10 | 1,597,500 | |||||||||||||
Swift & Co. (B-/B3) | ||||||||||||||||
3,000,000 | 10.125 | 10/01/09 | 3,105,000 | |||||||||||||
Swift & Co. (CCC+/Caa1) | ||||||||||||||||
5,000,000 | 12.500 | 01/01/10 | 5,000,000 | |||||||||||||
United Agri Products, Inc. (B/B1) | ||||||||||||||||
1,808,000 | 8.250 | 12/15/11 | 1,907,440 | |||||||||||||
11,943,540 | ||||||||||||||||
Airlines – 0.1% | ||||||||||||||||
Continental Airlines, Inc. (B/B3) | ||||||||||||||||
3,000,000 | 7.568 | 12/01/06 | 2,981,752 | |||||||||||||
Northwest Airlines Corp. (D/C)(d) | ||||||||||||||||
518,000 | 10.000 | 02/01/09 | 217,560 | |||||||||||||
3,199,312 | ||||||||||||||||
Automotive — Distributor – 0.1% | ||||||||||||||||
Keystone Automotive Operations, Inc. (B-/Caa1) | ||||||||||||||||
4,000,000 | 9.750 | 11/01/13 | 3,630,000 | |||||||||||||
Automotive – 2.2% | ||||||||||||||||
FCE Bank Plc (BB-/B2)(c) | ||||||||||||||||
EUR2,000,000 | 3.772 | 09/30/09 | 2,244,387 | |||||||||||||
Ford Motor Co. (BB-/Ba3) | ||||||||||||||||
$ | 5,000,000 | 7.450 | 07/16/31 | 3,650,000 | ||||||||||||
1,000,000 | 8.900 | 01/15/32 | 772,500 | |||||||||||||
Ford Motor Credit Co. (BB-/Ba2) | ||||||||||||||||
11,000,000 | 7.250 | 10/25/11 | 9,857,765 | |||||||||||||
3,000,000 | 7.000 | 10/01/13 | 2,618,333 | |||||||||||||
General Motors Acceptance Corp. (BB/Ba1) | ||||||||||||||||
EUR1,500,000 | 4.750 | 09/14/09 | 1,775,827 | |||||||||||||
General Motors Acceptance Corp. (BB/Ba1) | ||||||||||||||||
$ | 3,000,000 | 7.250 | 03/02/11 | 2,856,830 | ||||||||||||
17,000,000 | 6.875 | 09/15/11 | 15,930,635 | |||||||||||||
1,250,000 | 6.750 | 12/01/14 | 1,133,260 | |||||||||||||
6,500,000 | 8.000 | 11/01/31 | 6,142,500 | |||||||||||||
General Motors Corp. (B/B3) | ||||||||||||||||
EUR1,000,000 | 7.250 | 07/03/13 | 970,297 | |||||||||||||
$ | 2,000,000 | 8.375 | 07/15/33 | 1,500,000 | ||||||||||||
GMAC Canada Ltd. (BB/Ba1) | ||||||||||||||||
GBP500,000 | 6.625 | 12/17/10 | 868,466 | |||||||||||||
50,320,800 | ||||||||||||||||
Automotive Parts – 2.1% | ||||||||||||||||
Accuride Corp. (B-/B3) | ||||||||||||||||
$ | 3,000,000 | 8.500 | 02/01/15 | 2,977,500 | ||||||||||||
Advanced Accesory Systems (CCC-/Caa2) | ||||||||||||||||
3,000,000 | 10.750 | 06/15/11 | 2,235,000 | |||||||||||||
Affinia Group, Inc. (CCC+/Caa2) | ||||||||||||||||
3,500,000 | 9.000 | 11/30/14 | 3,075,625 | |||||||||||||
Dana Corp.(d) | ||||||||||||||||
500,000 | 5.850 | 01/15/15 | 380,000 | |||||||||||||
Dana Credit Corp.(e) | ||||||||||||||||
3,000,000 | 8.375 | 08/15/07 | 2,895,000 | |||||||||||||
Delco Remy International, Inc. (CCC-/Ca) | ||||||||||||||||
1,500,000 | 11.000 | 05/01/09 | 780,000 | |||||||||||||
1,000,000 | 9.375 | 04/15/12 | 480,000 | |||||||||||||
Schefenacker AG (Caa1) | ||||||||||||||||
EUR2,750,000 | 9.500 | 02/11/14 | 3,209,196 | |||||||||||||
Teksid Aluminium (Caa1) | ||||||||||||||||
$ | 500,000 | 11.375 | 07/15/11 | 495,178 | ||||||||||||
Tenneco Automotive, Inc. (B/B2) | ||||||||||||||||
2,000,000 | 10.250 | 07/15/13 | 2,217,500 | |||||||||||||
Tenneco Automotive, Inc. (B/B3) | ||||||||||||||||
3,250,000 | 8.625 | 11/15/14 | 3,290,625 | |||||||||||||
The Goodyear Tire & Rubber Co. (B-/B3) | ||||||||||||||||
3,000,000 | 9.000 | 07/01/10 | 3,105,000 | |||||||||||||
4,000,000 | 11.000 | 03/01/11 | 4,500,000 | |||||||||||||
5,000,000 | 7.857 | 08/15/11 | 4,925,000 | |||||||||||||
TRW Automotive, Inc. (BB-/B1) | ||||||||||||||||
3,250,000 | 11.000 | 02/15/13 | 3,599,375 | |||||||||||||
EUR2,838,000 | 11.750 | 02/15/13 | 4,144,338 | |||||||||||||
TRW Automotive, Inc. (BB-/Ba3) | ||||||||||||||||
$ | 1,250,000 | 9.375 | 02/15/13 | 1,351,563 | ||||||||||||
United Components, Inc. (B-/Caa1) | ||||||||||||||||
5,500,000 | 9.375 | 06/15/13 | 5,396,875 | |||||||||||||
49,057,775 | ||||||||||||||||
Building Materials — Consumer – 0.5% | ||||||||||||||||
Collins & Aikman Floor Cover (B-/Caa1) | ||||||||||||||||
1,750,000 | 9.750 | 02/15/10 | 1,666,875 |
22
Principal | Interest | Maturity | ||||||||||||||
Amount• | Rate | Date | Value | |||||||||||||
Corporate Bonds – (continued) | ||||||||||||||||
Building Materials — Consumer – (continued) | ||||||||||||||||
Culligan Finance Corp. B.V. (B-/B3) | ||||||||||||||||
EUR2,500,000 | 8.000 | % | 10/01/14 | $ | 3,382,666 | |||||||||||
Heating Finance PLC (B-/B2) | ||||||||||||||||
GBP1,750,000 | 7.875 | 03/31/14 | 3,015,695 | |||||||||||||
Interface, Inc. (CCC/Caa1) | ||||||||||||||||
$ | 2,000,000 | 9.500 | 02/01/14 | 2,052,500 | ||||||||||||
Werner Holdings Co., Inc. (CC/Caa3) | ||||||||||||||||
3,000,000 | 10.000 | 11/15/07 | 945,000 | |||||||||||||
11,062,736 | ||||||||||||||||
Building Materials — Fixtures & Fittings – 3.4% | ||||||||||||||||
ACIH, Inc. (CCC+/Caa1)(e)(f) | ||||||||||||||||
4,000,000 | 11.500 | 12/15/12 | 3,290,000 | |||||||||||||
Associated Materials, Inc. (CCC/Caa2) | ||||||||||||||||
1,000,000 | 9.750 | 04/15/12 | 1,040,000 | |||||||||||||
Associated Materials, Inc. (CCC/Caa3)(f) | ||||||||||||||||
9,000,000 | 11.250 | 03/01/14 | 5,546,250 | |||||||||||||
Compression Polymers Holdings Corp. (B-/B2)(e) | ||||||||||||||||
500,000 | 10.500 | 07/01/13 | 512,500 | |||||||||||||
Goodman Global Holdings Co., Inc. (B-/B3) | ||||||||||||||||
11,500,000 | 7.875 | 12/15/12 | 11,528,750 | |||||||||||||
Grohe Holdings (CCC+/B3) | ||||||||||||||||
EUR13,500,000 | 8.625 | 10/01/14 | 17,031,606 | |||||||||||||
Jacuzzi Brands, Inc. (B/B3) | ||||||||||||||||
$ | 3,000,000 | 9.625 | 07/01/10 | 3,217,500 | ||||||||||||
Legrand S.A. (BB+/Baa3) | ||||||||||||||||
5,050,000 | 8.500 | 02/15/25 | 6,161,000 | |||||||||||||
Nortek, Inc. (CCC+/Caa1) | ||||||||||||||||
13,000,000 | 8.500 | 09/01/14 | 13,390,000 | |||||||||||||
NTK Holdings, Inc. (CCC+/Caa2)(f) | ||||||||||||||||
9,000,000 | 10.750 | 03/01/14 | 6,772,500 | |||||||||||||
Panolam Industries International, Inc. (CCC+/Caa1)(e) | ||||||||||||||||
4,625,000 | 10.750 | 10/01/13 | 4,532,500 | |||||||||||||
PLY Gem Industries, Inc. (B-/B3) | ||||||||||||||||
5,000,000 | 9.000 | 02/15/12 | 4,837,500 | |||||||||||||
77,860,106 | ||||||||||||||||
Building Materials — Materials – 0.7% | ||||||||||||||||
Carmeuse Lime B.V. (B+/Ba3) | ||||||||||||||||
EUR5,625,000 | 10.750 | 07/15/12 | 8,072,271 | |||||||||||||
RMCC Acquisition Co. (CCC+/Caa1)(e) | ||||||||||||||||
$ | 3,000,000 | 9.500 | 11/01/12 | 3,150,000 | ||||||||||||
Texas Industries, Inc. (BB-/Ba3) | ||||||||||||||||
500,000 | 7.250 | 07/15/13 | 512,500 | |||||||||||||
USG Corp.(d) | ||||||||||||||||
1,500,000 | 9.250 | 09/15/01 | 2,223,750 | |||||||||||||
2,000,000 | 8.500 | 08/01/05 | 2,885,000 | |||||||||||||
16,843,521 | ||||||||||||||||
Capital Goods — Others – 1.7% | ||||||||||||||||
Altra Industrial Motion, Inc. (CCC+/B3) | ||||||||||||||||
1,750,000 | 9.000 | 12/01/11 | 1,745,625 | |||||||||||||
Briggs & Stratton Corp. (BBB-/Ba1) | ||||||||||||||||
2,500,000 | 8.875 | 03/15/11 | 2,750,000 | |||||||||||||
Coleman Cable, Inc. (B-/B3) | ||||||||||||||||
750,000 | 9.875 | 10/01/12 | 687,187 | |||||||||||||
General Cable Corp. (B/B2) | ||||||||||||||||
2,500,000 | 9.500 | 11/15/10 | 2,693,750 | |||||||||||||
Metaldyne Corp. (CCC+/Caa2) | ||||||||||||||||
2,000,000 | 11.000 | 06/15/12 | 1,720,000 | |||||||||||||
Mueller Group, Inc. (B-/Caa1) | ||||||||||||||||
4,000,000 | 10.000 | 05/01/12 | 4,385,000 | |||||||||||||
Mueller Holdings, Inc. (B-)(f) | ||||||||||||||||
8,750,000 | 14.750 | 04/15/14 | 7,218,750 | |||||||||||||
Rexnord Corp. (B-/B3) | ||||||||||||||||
11,250,000 | 10.125 | 12/15/12 | 12,346,875 | |||||||||||||
Sensata Technologies BV (B-/Caa1)(e) | ||||||||||||||||
EUR1,500,000 | 9.000 | 05/01/16 | 1,934,980 | |||||||||||||
Thermadyne Holdings Corp.(d) | ||||||||||||||||
$ | 4,000,000 | 12.500 | 06/01/08 | — | ||||||||||||
VAC Finanzierung GmbH (CCC+/B3)(e) | ||||||||||||||||
EUR2,750,000 | 9.250 | 04/15/16 | 3,580,075 | |||||||||||||
39,062,242 | ||||||||||||||||
Chemicals – 7.3% | ||||||||||||||||
Basell AF SCA (B-/B2) | ||||||||||||||||
$ | 1,500,000 | 8.375 | 08/15/15 | 1,942,076 | ||||||||||||
BCP Crystal Holdings Corp. (B/B3) | ||||||||||||||||
650,000 | 9.625 | 06/15/14 | 715,000 | |||||||||||||
BCP Crystal Holdings Corp. (B/Caa2)(f) | ||||||||||||||||
650,000 | 10.000 | 10/01/14 | 513,500 | |||||||||||||
BCP Crystal Holdings Corp. Series B (B/Caa2)(f) | ||||||||||||||||
11,924,000 | 10.500 | 10/01/14 | 9,360,340 | |||||||||||||
Compass Minerals International, Inc. (B-/B3)(f) | ||||||||||||||||
7,750,000 | 12.000 | 06/01/13 | 7,052,500 | |||||||||||||
Compass Minerals International, Inc. (B-)(f) | ||||||||||||||||
8,750,000 | 12.750 | 12/15/12 | 8,268,750 | |||||||||||||
Crompton Corp. (BB+/Ba1) | ||||||||||||||||
2,500,000 | 9.875 | 08/01/12 | 2,809,375 | |||||||||||||
Equistar Chemical/Funding (BB-/B2) | ||||||||||||||||
2,750,000 | 10.125 | 09/01/08 | 2,949,375 | |||||||||||||
3,000,000 | 10.625 | 05/01/11 | 3,262,500 | |||||||||||||
Equistar Chemicals LP (BB-/B2) | ||||||||||||||||
2,000,000 | 7.550 | 02/15/26 | 1,820,000 | |||||||||||||
Ethyl Corp. (BB-/B2) | ||||||||||||||||
4,250,000 | 8.875 | 05/01/10 | 4,430,625 | |||||||||||||
Ferro Corp. (B) | ||||||||||||||||
3,000,000 | 9.125 | 01/01/09 | 3,120,000 | |||||||||||||
6,000,000 | 7.625 | 05/01/13 | 5,925,000 | |||||||||||||
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance ULC (B-/B3) | ||||||||||||||||
6,000,000 | 9.000 | 07/15/09 | 6,195,000 | |||||||||||||
Huntsman ICI Chemicals (B/B3) | ||||||||||||||||
EUR2,715,000 | 10.125 | 07/01/09 | 3,510,876 | |||||||||||||
Huntsman ICI Holdings LLC (B/B2) | ||||||||||||||||
$ | 3,000,000 | 9.875 | 03/01/09 | 3,146,250 | ||||||||||||
IMC Global, Inc. (BB/Ba3) | ||||||||||||||||
4,500,000 | 10.875 | 08/01/13 | 5,085,000 | |||||||||||||
Ineos Group Holdings PLC (B-/B2)(e) | ||||||||||||||||
EUR3,500,000 | 7.875 | 02/15/11 | 4,238,977 | |||||||||||||
$ | 7,500,000 | 8.500 | 02/15/11 | 7,096,875 |
23
Statement of Investments (continued)
Principal | Interest | Maturity | ||||||||||||||
Amount• | Rate | Date | Value | |||||||||||||
Corporate Bonds – (continued) | ||||||||||||||||
Chemicals – (continued) | ||||||||||||||||
Invista (B+/B1)(e) | ||||||||||||||||
$ | 5,000,000 | 9.250 | % | 05/01/12 | $ | 5,337,500 | ||||||||||
KRATON Polymers LLC/Capital Corp. (B-/B3) | ||||||||||||||||
6,750,000 | 8.125 | 01/15/14 | 6,766,875 | |||||||||||||
LBC Luxembourg (CCC+/Caa1) | ||||||||||||||||
EUR3,250,000 | 11.000 | 05/15/14 | 4,735,733 | |||||||||||||
Lucite International Finance PLC (B+/B2) | ||||||||||||||||
4,500,000 | 10.250 | 05/15/10 | 5,918,483 | |||||||||||||
Lyondell Chemical Co. (BB-/B1) | ||||||||||||||||
$ | 884,000 | 9.500 | 12/15/08 | 919,360 | ||||||||||||
4,000,000 | 10.500 | 06/01/13 | 4,480,000 | |||||||||||||
Nell AF SARL (B-/B2)(e) | ||||||||||||||||
EUR3,500,000 | 8.375 | 08/15/15 | 4,531,511 | |||||||||||||
$ | 6,000,000 | 8.375 | 08/15/15 | 5,940,000 | ||||||||||||
Polymer Holdings LLC/Capital Corp. (B-/Caa2)(f) | ||||||||||||||||
5,750,000 | 12.000 | 07/15/09 | 4,945,000 | |||||||||||||
PQ Corp. (B-/B3)(e) | ||||||||||||||||
5,500,000 | 8.000 | 02/15/09 | 5,280,000 | |||||||||||||
Resolution Performance Products Capital (B-/B3) | ||||||||||||||||
1,000,000 | 9.500 | 04/15/10 | 1,050,510 | |||||||||||||
Rhodia S.A. (CCC+/B3) | ||||||||||||||||
EUR2,000,000 | 8.000 | 06/01/10 | 2,687,209 | |||||||||||||
$ | 2,500,000 | 10.250 | 06/01/10 | 2,793,750 | ||||||||||||
Rhodia S.A. (CCC+/Caa1) | ||||||||||||||||
3,322,000 | 8.875 | 06/01/11 | 3,446,575 | |||||||||||||
EUR6,641,000 | 9.250 | 06/01/11 | 8,985,714 | |||||||||||||
Rockwood Specialties Group, Inc. (B-/B3) | ||||||||||||||||
10,500,000 | 7.625 | 11/15/14 | 13,644,209 | |||||||||||||
Rockwood Specialties, Inc. (B-/B3) | ||||||||||||||||
$ | 3,645,000 | 10.625 | 05/15/11 | 3,954,825 | ||||||||||||
166,859,273 | ||||||||||||||||
Conglomerates – 2.3% | ||||||||||||||||
Blount, Inc. (B/B2) | ||||||||||||||||
4,500,000 | 8.875 | 08/01/12 | 4,680,000 | |||||||||||||
Bombardier, Inc. (BB/Ba2)(e) | ||||||||||||||||
6,250,000 | 6.750 | 05/01/12 | 5,953,125 | |||||||||||||
Invensys PLC (B-/B3) | ||||||||||||||||
1,000,000 | 6.500 | 01/15/10 | 955,000 | |||||||||||||
3,000,000 | 6.500 | (e) | 01/15/10 | 2,797,500 | ||||||||||||
2,250,000 | 9.875 | (e) | 03/15/11 | 2,407,500 | ||||||||||||
Mark IV Industries, Inc. (B-/Caa1) | ||||||||||||||||
10,007,000 | 7.500 | 09/01/07 | 9,281,492 | |||||||||||||
Noma Luxembourg S.A. (B-/B1) | ||||||||||||||||
EUR2,000,000 | 9.750 | 07/15/11 | 2,870,141 | |||||||||||||
Park-Ohio Industries, Inc. (CCC+/Caa1) | ||||||||||||||||
$ | 5,000,000 | 8.375 | 11/15/14 | 4,725,000 | ||||||||||||
Polypore International, Inc. (CCC+/Ca)(f) | ||||||||||||||||
3,250,000 | 10.500 | 10/01/12 | 2,153,125 | |||||||||||||
Polypore, Inc. (CCC+/Caa2) | ||||||||||||||||
EUR4,750,000 | 8.750 | 05/15/12 | 4,888,255 | |||||||||||||
The Manitowoc Co., Inc. (B+/B2) | ||||||||||||||||
4,500,000 | 10.375 | 05/15/11 | 6,017,834 | |||||||||||||
Trimas Corp. (CCC+/Caa1) | ||||||||||||||||
$ | 7,250,000 | 9.875 | 06/15/12 | 6,851,250 | ||||||||||||
53,580,222 | ||||||||||||||||
Consumer Products — Household & Leisure – 3.3% | ||||||||||||||||
Affinion Group, Inc. (B-/B3)(e) | ||||||||||||||||
4,500,000 | 10.125 | 10/15/13 | 4,646,250 | |||||||||||||
Affinion Group, Inc. (B-/Caa1)(e) | ||||||||||||||||
1,375,000 | 11.500 | 10/15/15 | 1,409,375 | |||||||||||||
Ames True Temper (CCC-/Caa2) | ||||||||||||||||
3,250,000 | 10.000 | 07/15/12 | 2,681,250 | |||||||||||||
FTD Group, Inc. (B-/B3) | ||||||||||||||||
2,194,000 | 7.750 | 02/15/14 | 2,161,090 | |||||||||||||
Harry & David Holdings, Inc. (B-/B3) | ||||||||||||||||
2,750,000 | 9.000 | 03/01/13 | 2,564,375 | |||||||||||||
Safilo Capital International S.A. (B/B2) | ||||||||||||||||
EUR7,475,000 | 9.625 | 05/15/13 | 10,514,966 | |||||||||||||
Sealy Mattress Co. (B-/B3) | ||||||||||||||||
$ | 1,000,000 | 8.250 | 06/15/14 | 1,050,000 | ||||||||||||
Simmons Bedding Co. (B-/Caa1) | ||||||||||||||||
2,000,000 | 7.875 | 01/15/14 | 1,970,000 | |||||||||||||
Simmons Bedding Co. (B-/Caa2)(f) | ||||||||||||||||
3,750,000 | 10.000 | 12/15/14 | 2,587,500 | |||||||||||||
Solo Cup Co. (B-/Caa1) | ||||||||||||||||
7,500,000 | 8.500 | 02/15/14 | 7,125,000 | |||||||||||||
Spectrum Brands, Inc. (CCC/Caa1) | ||||||||||||||||
13,500,000 | 7.375 | 02/01/10 | 11,205,000 | |||||||||||||
5,000,000 | 8.500 | 10/01/13 | 4,387,500 | |||||||||||||
True Temper Sports, Inc. (CCC+/Caa1) | ||||||||||||||||
2,375,000 | 8.375 | 03/15/08 | 2,196,875 | |||||||||||||
Vertrue, Inc. (B/B2) | ||||||||||||||||
3,000,000 | 9.250 | 04/01/14 | 3,105,000 | |||||||||||||
Visant Corp. (B-/B3) | ||||||||||||||||
5,500,000 | 7.625 | 10/01/12 | 5,458,750 | |||||||||||||
Visant Holding Corp. (B-/Caa2)(e) | ||||||||||||||||
7,000,000 | 8.750 | 12/01/13 | 6,842,500 | |||||||||||||
Visant Holding Corp. (B-/Caa2)(f) | ||||||||||||||||
7,000,000 | 10.250 | 12/01/13 | 5,442,500 | |||||||||||||
75,347,931 | ||||||||||||||||
Consumer Products — Industrial – 1.1% | ||||||||||||||||
Bombardier Recreational Products, Inc. (B/B3) | ||||||||||||||||
6,000,000 | 8.375 | 12/15/13 | 6,300,000 | |||||||||||||
Johnsondiversey Holdings, Inc. (CCC+/Caa1)(f) | ||||||||||||||||
6,000,000 | 10.670 | 05/15/13 | 5,085,000 | |||||||||||||
Johnsondiversey, Inc. (CCC+/Caa1) | ||||||||||||||||
2,250,000 | 9.625 | 05/15/12 | 2,286,563 | |||||||||||||
EUR3,500,000 | 9.625 | 05/15/12 | 4,503,913 | |||||||||||||
Norcross Safety Products (B-/B3) | ||||||||||||||||
$ | 4,250,000 | 9.875 | 08/15/11 | 4,441,250 | ||||||||||||
Safety Products Holdings, Inc. Series B (B-/Caa1)(a) | ||||||||||||||||
1,678,316 | 11.750 | 07/01/06 | 1,753,840 | |||||||||||||
Texon International PLC(d) | ||||||||||||||||
DEM2,250,000 | 10.000 | 02/01/10 | — | |||||||||||||
24,370,566 | ||||||||||||||||
24
Principal | Interest | Maturity | ||||||||||||||
Amount• | Rate | Date | Value | |||||||||||||
Corporate Bonds – (continued) | ||||||||||||||||
Consumer Products — Non Durable – 0.9% | ||||||||||||||||
Del Laboratories, Inc. (CCC/Caa2) | ||||||||||||||||
$ | 3,375,000 | 8.000 | % | 02/01/12 | $ | 2,632,500 | ||||||||||
Jafra Cosmetics International, Inc. (B-/B3) | ||||||||||||||||
1,303,000 | 10.750 | 05/15/11 | 1,410,498 | |||||||||||||
Leiner Health Products, Inc. (CCC+/Caa1) | ||||||||||||||||
1,500,000 | 11.000 | 06/01/12 | 1,464,375 | |||||||||||||
Playtex Products, Inc. (CCC+/Caa1) | ||||||||||||||||
6,500,000 | 9.375 | 06/01/11 | 6,800,625 | |||||||||||||
Prestige Brands, Inc. (B-/B3) | ||||||||||||||||
2,100,000 | 9.250 | 04/15/12 | 2,131,500 | |||||||||||||
Reddy Ice Holdings, Inc. (B-/Caa1)(f) | ||||||||||||||||
3,750,000 | 10.500 | 11/01/12 | 3,056,250 | |||||||||||||
WH Holdings (B+/B1) | ||||||||||||||||
3,600,000 | 9.500 | 04/01/11 | 3,861,000 | |||||||||||||
21,356,748 | ||||||||||||||||
Defense – 0.9% | ||||||||||||||||
Alliant Techsystems, Inc. (B+/B2) | ||||||||||||||||
1,625,000 | 6.750 | 04/01/16 | 1,600,625 | |||||||||||||
DRS Technologies, Inc. (B/B3) | ||||||||||||||||
1,000,000 | 6.875 | 11/01/13 | 992,500 | |||||||||||||
2,000,000 | 7.625 | 02/01/18 | 2,040,000 | |||||||||||||
Heckler Koch GMBH (B-/B1) | ||||||||||||||||
EUR2,000,000 | 9.250 | 07/15/11 | 2,781,829 | |||||||||||||
L-3 Communications Corp. (BB+/Ba3) | ||||||||||||||||
$ | 8,500,000 | 6.375 | 10/15/15 | 8,202,500 | ||||||||||||
3,500,000 | 6.125 | 01/15/14 | 3,368,750 | |||||||||||||
3,000,000 | 5.875 | 01/15/15 | 2,820,000 | |||||||||||||
21,806,204 | ||||||||||||||||
Energy — Coal – 0.3% | ||||||||||||||||
Massey Energy Co. (BB-/B1)(e) | ||||||||||||||||
4,000,000 | 6.875 | 12/15/13 | 3,865,000 | |||||||||||||
Peabody Energy Corp. (BB-/Ba2) | ||||||||||||||||
2,500,000 | 6.875 | 03/15/13 | 2,537,575 | |||||||||||||
6,402,575 | ||||||||||||||||
Energy — Exploration & Production – 1.8% | ||||||||||||||||
Chesapeake Energy Corp. (BB/Ba2) | ||||||||||||||||
4,500,000 | 6.375 | 06/15/15 | 4,342,500 | |||||||||||||
7,500,000 | 6.875 | 01/15/16 | 7,481,250 | |||||||||||||
1,000,000 | 6.625 | 07/15/16 | 975,000 | |||||||||||||
6,000,000 | 6.500 | 08/15/17 | 5,775,000 | |||||||||||||
2,500,000 | 6.500 | (e) | 08/15/17 | 2,406,250 | ||||||||||||
El Paso Production Holding Co. (B/B3) | ||||||||||||||||
6,000,000 | 7.750 | 06/01/13 | 6,165,000 | |||||||||||||
Encore Acquisition Co. (B/B2) | ||||||||||||||||
6,000,000 | 6.000 | 07/15/15 | 5,550,000 | |||||||||||||
2,250,000 | 7.250 | 12/01/17 | 2,227,500 | |||||||||||||
KCS Energy, Inc. (B-/B3) | ||||||||||||||||
2,000,000 | 7.125 | 04/01/12 | 2,015,000 | |||||||||||||
Vintage Petroleum, Inc. (A-/A3) | ||||||||||||||||
1,500,000 | 7.875 | 05/15/11 | 1,559,082 | |||||||||||||
2,000,000 | 8.250 | 05/01/12 | 2,129,660 | |||||||||||||
40,626,242 | ||||||||||||||||
Energy — Services – 0.2% | ||||||||||||||||
Aker Kvaerner ASA (Ba1) | ||||||||||||||||
EUR2,750,000 | 8.375 | 06/15/11 | 3,842,362 | |||||||||||||
Entertainment & Leisure – 1.4% | ||||||||||||||||
AMC Entertainment, Inc. (B-/B2) | ||||||||||||||||
$ | 1,875,000 | 8.625 | 08/15/12 | 1,959,375 | ||||||||||||
Festival Fun Parks LLC (B/B2)(e) | ||||||||||||||||
2,000,000 | 10.875 | 04/15/14 | 2,010,000 | |||||||||||||
French Lick Resorts & Casino LLC (B-/B3)(e) | ||||||||||||||||
3,000,000 | 10.750 | 04/15/14 | 2,955,000 | |||||||||||||
HRP Myrtle Beach Operations LLC (B/B3)(c)(e) | ||||||||||||||||
1,750,000 | 9.818 | 04/01/12 | 1,750,000 | |||||||||||||
Six Flags, Inc. (CCC/Caa1) | ||||||||||||||||
4,500,000 | 9.750 | 04/15/13 | 4,578,750 | |||||||||||||
Universal City Development Partners (B-/B2) | ||||||||||||||||
8,750,000 | 11.750 | 04/01/10 | 9,625,000 | |||||||||||||
Warner Music Group (B-/B2) | ||||||||||||||||
5,500,000 | 7.375 | 04/15/14 | 5,451,875 | |||||||||||||
WMG Holdings Corp. (B-/B3)(f) | ||||||||||||||||
4,550,000 | 9.500 | 12/15/14 | 3,389,750 | |||||||||||||
31,719,750 | ||||||||||||||||
Environmental – 1.0% | ||||||||||||||||
Allied Waste North America, Inc. (BB-/B2) | ||||||||||||||||
2,375,000 | 8.875 | 04/01/08 | 2,487,813 | |||||||||||||
2,500,000 | 8.500 | 12/01/08 | 2,631,250 | |||||||||||||
6,500,000 | 7.250 | 03/15/15 | 6,613,750 | |||||||||||||
2,000,000 | 6.500 | 11/15/10 | 1,965,000 | |||||||||||||
1,250,000 | 6.375 | 04/15/11 | 1,221,875 | |||||||||||||
2,250,000 | 7.875 | 04/15/13 | 2,334,375 | |||||||||||||
2,500,000 | 6.125 | 02/15/14 | 2,387,500 | |||||||||||||
Waste Services (CCC/Caa2) | ||||||||||||||||
3,500,000 | 9.500 | 04/15/14 | 3,631,250 | |||||||||||||
23,272,813 | ||||||||||||||||
Finance – 0.2% | ||||||||||||||||
E*Trade Financial Corp. (B+/B1) | ||||||||||||||||
4,000,000 | 7.375 | 09/15/13 | 4,100,000 | |||||||||||||
Refco Finance Holdings LLC(D)(d) | ||||||||||||||||
344,000 | 9.000 | 08/01/12 | 267,460 | |||||||||||||
4,367,460 | ||||||||||||||||
Food – 1.7% | ||||||||||||||||
Barry Callebaut Services N.V. (BB-/B1) | ||||||||||||||||
EUR3,000,000 | 9.250 | 03/15/10 | 4,134,895 | |||||||||||||
Dole Food Co. (B/B3) | ||||||||||||||||
$ | 3,000,000 | 8.625 | 05/01/09 | 2,985,000 | ||||||||||||
3,000,000 | 8.875 | 03/15/11 | 2,943,750 | |||||||||||||
Eagle Family Foods (CCC/Caa2) | ||||||||||||||||
3,500,000 | 8.750 | 01/15/08 | 2,598,750 | |||||||||||||
Michael Foods, Inc. (B-/B3) | ||||||||||||||||
4,250,000 | 8.000 | 11/15/13 | 4,239,375 | |||||||||||||
Pinnacle Foods Holding Corp. (B-/B3) | ||||||||||||||||
8,500,000 | 8.250 | 12/01/13 | 8,563,750 |
25
Statement of Investments (continued)
Principal | Interest | Maturity | ||||||||||||||
Amount• | Rate | Date | Value | |||||||||||||
Corporate Bonds – (continued) | ||||||||||||||||
Food – (continued) | ||||||||||||||||
United Biscuits Finance (CCC+/B3) | ||||||||||||||||
EUR5,500,000 | 10.625 | % | 04/15/11 | $ | 7,337,783 | |||||||||||
GBP3,000,000 | 10.750 | 04/15/11 | 5,737,617 | |||||||||||||
38,540,920 | ||||||||||||||||
Gaming – 5.7% | ||||||||||||||||
Boyd Gaming Corp. (B+/B1) | ||||||||||||||||
$ | 1,000,000 | 7.125 | 02/01/16 | 1,000,000 | ||||||||||||
2,000,000 | 8.750 | 04/15/12 | 2,125,000 | |||||||||||||
2,000,000 | 6.750 | 04/15/14 | 1,980,000 | |||||||||||||
Caesars Entertainment, Inc. (BBB-/Baa3) | ||||||||||||||||
1,500,000 | 7.500 | 09/01/09 | 1,579,772 | |||||||||||||
CCM Merger, Inc. (B-/B3)(e) | ||||||||||||||||
2,000,000 | 8.000 | 08/01/13 | 1,960,000 | |||||||||||||
Chukchansi Economic Development Authority (BB-/B2)(e) | ||||||||||||||||
3,000,000 | 8.000 | 11/15/13 | 3,082,500 | |||||||||||||
Circus & Eldorado (B/B2) | ||||||||||||||||
3,500,000 | 10.125 | 03/01/12 | 3,736,250 | |||||||||||||
Cirsa Finance Luxembourg SA (B+/B1) | ||||||||||||||||
EUR5,000,000 | 8.750 | 05/15/14 | 6,875,722 | |||||||||||||
Codere Finance Luxembourg SA (B/B2) | ||||||||||||||||
6,500,000 | 8.250 | 06/15/10 | 8,774,431 | |||||||||||||
Galaxy Entertainment Finance Co., Ltd. (B+/B1)(e) | ||||||||||||||||
$ | 1,250,000 | 9.875 | 12/15/12 | 1,293,750 | ||||||||||||
Greektown Holdings LLC (CCC+/B3)(e) | ||||||||||||||||
2,750,000 | 10.750 | 12/01/13 | 2,880,625 | |||||||||||||
Herbst Gaming, Inc. (B-/B3) | ||||||||||||||||
2,000,000 | 8.125 | 06/01/12 | 2,082,500 | |||||||||||||
Isle of Capri Casinos, Inc. (B/B2) | ||||||||||||||||
3,250,000 | 7.000 | 03/01/09 | 3,193,125 | |||||||||||||
1,000,000 | 9.000 | 03/15/12 | 1,060,000 | |||||||||||||
Kerzner International Ltd. (B/B2) | ||||||||||||||||
3,500,000 | 6.750 | 10/01/15 | 3,640,000 | |||||||||||||
Mandalay Resort Group (B+/Ba3) | ||||||||||||||||
3,250,000 | 10.250 | 08/01/07 | 3,408,438 | |||||||||||||
2,000,000 | 9.375 | 02/15/10 | 2,155,000 | |||||||||||||
MGM Mirage, Inc. (B+/Ba3) | ||||||||||||||||
5,125,000 | 8.375 | 02/01/11 | 5,394,062 | |||||||||||||
MGM Mirage, Inc. (BB/Ba2) | ||||||||||||||||
2,000,000 | 8.500 | 09/15/10 | 2,130,000 | |||||||||||||
2,000,000 | 6.750 | (e) | 04/01/13 | 1,980,000 | ||||||||||||
2,000,000 | 5.875 | 02/27/14 | 1,860,000 | |||||||||||||
18,375,000 | 6.625 | 07/15/15 | 17,869,687 | |||||||||||||
Mirage Resorts, Inc. (BB/Ba2) | ||||||||||||||||
3,125,000 | 7.250 | 08/01/17 | 3,109,375 | |||||||||||||
Mohegan Tribal Gaming Authority (B+/Ba3) | ||||||||||||||||
3,000,000 | 8.000 | 04/01/12 | 3,120,000 | |||||||||||||
MTR Gaming Group, Inc. (B+/B2) | ||||||||||||||||
3,000,000 | 9.750 | 04/01/10 | 3,187,500 | |||||||||||||
Park Place Entertainment Corp. (BB+/Ba1) | ||||||||||||||||
5,000,000 | 7.875 | 03/15/10 | 5,287,500 | |||||||||||||
2,500,000 | 8.125 | 05/15/11 | 2,693,750 | |||||||||||||
Penn National Gaming, Inc. (B+/B1) | ||||||||||||||||
2,000,000 | 6.750 | 03/01/15 | 1,960,000 | |||||||||||||
Pinnacle Entertainment, Inc. (B-/Caa1) | ||||||||||||||||
4,000,000 | 8.250 | 03/15/12 | 4,180,000 | |||||||||||||
1,500,000 | 8.750 | 10/01/13 | 1,612,500 | |||||||||||||
Poster Financial Group, Inc. (B/B2) | ||||||||||||||||
2,000,000 | 8.750 | 12/01/11 | 2,110,000 | |||||||||||||
River Rock Entertainment (B+/B2) | ||||||||||||||||
2,000,000 | 9.750 | 11/01/11 | 2,157,500 | |||||||||||||
San Pasqual Casino (B+/B2)(e) | ||||||||||||||||
1,500,000 | 8.000 | 09/15/13 | 1,515,000 | |||||||||||||
Station Casinos, Inc. (B+/Ba3) | ||||||||||||||||
1,000,000 | 6.500 | 02/01/14 | 970,000 | |||||||||||||
9,000,000 | 6.875 | 03/01/16 | 8,865,000 | |||||||||||||
Wynn Las Vegas LLC (B+/B2) | ||||||||||||||||
10,000,000 | 6.625 | 12/01/14 | 9,700,000 | |||||||||||||
130,528,987 | ||||||||||||||||
Health Care — Medical Products – 1.0% | ||||||||||||||||
CDRV Investors, Inc. (B-/Caa2)(f) | ||||||||||||||||
13,750,000 | 9.630 | 01/01/15 | 9,728,125 | |||||||||||||
Fisher Scientific International, Inc. (BB+/Ba2) | ||||||||||||||||
2,250,000 | 6.125 | 07/01/10 | 2,148,750 | |||||||||||||
Sybron Dental Specialties, Inc. (BB-/B1) | ||||||||||||||||
4,000,000 | 8.125 | 06/15/12 | 4,220,000 | |||||||||||||
VWR International, Inc. (B-/Caa1) | ||||||||||||||||
7,250,000 | 8.000 | 04/15/14 | 7,259,063 | |||||||||||||
23,355,938 | ||||||||||||||||
Health Care — Pharmaceutical – 1.8% | ||||||||||||||||
Angiotech Pharmaceuticals, Inc. (B/B2)(e) | ||||||||||||||||
3,000,000 | 7.750 | 04/01/14 | 3,015,000 | |||||||||||||
Athena Neurosciences Finance LLC (B/B3) | ||||||||||||||||
1,500,000 | 7.250 | 02/21/08 | 1,492,500 | |||||||||||||
Biovail Corp. (BB-/B2) | ||||||||||||||||
3,000,000 | 7.875 | 04/01/10 | 3,037,500 | |||||||||||||
Elan Finance PLC/Elan Finance Corp. (B/B3) | ||||||||||||||||
2,000,000 | 7.750 | 11/15/11 | 1,915,000 | |||||||||||||
Mylan Laboratories, Inc. (BB+/Ba1) | ||||||||||||||||
1,000,000 | 6.375 | 08/15/15 | 982,500 | |||||||||||||
NYCO Holdings 2 APS (CCC+/B3) | ||||||||||||||||
EUR9,000,000 | 11.500 | 03/31/13 | 13,199,494 | |||||||||||||
Nycomed S.A. | ||||||||||||||||
8,182,515 | 11.750 | 09/15/13 | 10,916,641 | |||||||||||||
Warner Chilcott Corp. (CCC+/Caa1)(e) | ||||||||||||||||
$ | 6,000,000 | 8.750 | 02/01/15 | 5,970,000 | ||||||||||||
40,528,635 | ||||||||||||||||
Health Care — Services – 3.0% | ||||||||||||||||
Accellent, Inc. (B-/Caa1) | ||||||||||||||||
6,250,000 | 10.500 | 12/01/13 | 6,656,250 | |||||||||||||
Alliance Imaging, Inc. (B-/B3) | ||||||||||||||||
3,000,000 | 7.250 | 12/15/12 | 2,625,000 | |||||||||||||
AmeriPath, Inc. (B-/B3) | ||||||||||||||||
6,000,000 | 10.500 | 04/01/13 | 6,390,000 | |||||||||||||
CRC Health Corp. (CCC+/Caa1)(e) | ||||||||||||||||
2,125,000 | 10.750 | 02/01/16 | 2,178,125 |
26
Principal | Interest | Maturity | ||||||||||||||
Amount• | Rate | Date | Value | |||||||||||||
Corporate Bonds – (continued) | ||||||||||||||||
Health Care — Services – (continued) | ||||||||||||||||
DaVita, Inc. (B/B3) | ||||||||||||||||
$ | 4,000,000 | 7.250 | % | 03/15/15 | $ | 4,010,000 | ||||||||||
HCA, Inc. (BB+/Ba2) | ||||||||||||||||
10,000,000 | 6.250 | 02/15/13 | 9,645,262 | |||||||||||||
5,000,000 | 6.375 | 01/15/15 | 4,822,978 | |||||||||||||
Omnicare, Inc. (BB+/Ba3) | ||||||||||||||||
2,000,000 | 6.875 | 12/15/15 | 1,980,000 | |||||||||||||
Psychiatric Solutions, Inc. (B-/B3) | ||||||||||||||||
1,666,000 | 10.625 | 06/15/13 | 1,857,590 | |||||||||||||
1,500,000 | 7.750 | 07/15/15 | 1,533,750 | |||||||||||||
Select Medical Corp. (B-/B3) | ||||||||||||||||
4,250,000 | 7.625 | 02/01/15 | 3,878,125 | |||||||||||||
Senior Housing Properties Trust (BB+/Ba2) | ||||||||||||||||
1,950,000 | 7.875 | 04/15/15 | 2,037,750 | |||||||||||||
Tenet Healthcare Corp. (B/B3) | ||||||||||||||||
9,250,000 | 7.375 | 02/01/13 | 8,695,000 | |||||||||||||
1,000,000 | 9.500 | (e) | 02/01/15 | 1,020,000 | ||||||||||||
U.S. Oncology, Inc. (B-/B2) | ||||||||||||||||
4,000,000 | 9.000 | 08/15/12 | 4,270,000 | |||||||||||||
U.S. Oncology, Inc. (B-/B3) | ||||||||||||||||
500,000 | 10.750 | 08/15/09 | 561,250 | |||||||||||||
Vanguard Health Holding Co. I (CCC+/Caa2)(f) | ||||||||||||||||
3,500,000 | 11.250 | 10/01/15 | 2,581,250 | |||||||||||||
Vanguard Health Holding Co. II (CCC+/Caa1) | ||||||||||||||||
3,000,000 | 9.000 | 10/01/14 | 3,101,250 | |||||||||||||
Ventas Realty LP (BB+/Ba2) | ||||||||||||||||
2,000,000 | 9.000 | 05/01/12 | 2,210,000 | |||||||||||||
70,053,580 | ||||||||||||||||
Home Construction – 0.4% | ||||||||||||||||
K. Hovnanian Enterprises, Inc. (BB/Ba1) | ||||||||||||||||
1,500,000 | 6.250 | 01/15/15 | 1,378,125 | |||||||||||||
3,000,000 | 7.500 | 05/15/16 | 2,951,250 | |||||||||||||
Kimball Hill, Inc. (B/B3)(e) | ||||||||||||||||
1,000,000 | 10.500 | 12/15/09 | 985,000 | |||||||||||||
Meritage Homes Corp. (BB-/Ba2) | ||||||||||||||||
4,000,000 | 6.250 | 03/15/15 | 3,610,000 | |||||||||||||
8,924,375 | ||||||||||||||||
Lodging – 0.6% | ||||||||||||||||
Gaylord Entertainment Co. (B-/B3) | ||||||||||||||||
3,000,000 | 8.000 | 11/15/13 | 3,090,000 | |||||||||||||
Host Marriott LP (BB-/Ba2) | ||||||||||||||||
1,875,000 | 9.500 | 01/15/07 | 1,917,188 | |||||||||||||
198,000 | 7.875 | 08/01/08 | 200,629 | |||||||||||||
5,250,000 | 7.125 | 11/01/13 | 5,315,625 | |||||||||||||
Starwood Hotels & Resorts Worldwide, Inc. (BB+/Ba1) | ||||||||||||||||
1,500,000 | 7.875 | 05/01/12 | 1,608,750 | |||||||||||||
2,000,000 | 7.375 | 11/15/15 | 2,125,000 | |||||||||||||
14,257,192 | ||||||||||||||||
Machinery – 0.8% | ||||||||||||||||
Case New Holland, Inc. (BB-/Ba3)(e) | ||||||||||||||||
3,000,000 | 7.125 | 03/01/14 | 2,977,500 | |||||||||||||
Columbus Mckinnon Corp. (B/B2) | ||||||||||||||||
1,787,000 | 10.000 | 08/01/10 | 1,952,298 | |||||||||||||
Dresser, Inc. (B-/B2) | ||||||||||||||||
4,000,000 | 9.375 | 04/15/11 | 4,195,000 | |||||||||||||
Dresser-Rand Group, Inc. (B-/B3)(e) | ||||||||||||||||
2,885,000 | 7.375 | 11/01/14 | 2,971,550 | |||||||||||||
NMHG Holding Co. (B+/B3) | ||||||||||||||||
3,750,000 | 10.000 | 05/15/09 | 3,937,500 | |||||||||||||
Terex Corp. (B/Caa1) | ||||||||||||||||
1,000,000 | 10.375 | 04/01/11 | 1,053,750 | |||||||||||||
2,000,000 | 9.250 | 07/15/11 | 2,130,000 | |||||||||||||
19,217,598 | ||||||||||||||||
Media – 0.7% | ||||||||||||||||
DIRECTV Holdings LLC (BB-/Ba2) | ||||||||||||||||
500,000 | 6.375 | 06/15/15 | 488,750 | |||||||||||||
3,500,000 | 8.375 | 03/15/13 | 3,736,250 | |||||||||||||
Echostar DBS Corp. (BB-/Ba3) | ||||||||||||||||
5,000,000 | 6.375 | 10/01/11 | 4,875,000 | |||||||||||||
4,500,000 | 7.125 | (e) | 02/01/16 | 4,387,500 | ||||||||||||
Lamar Media Corp. (B/Ba3) | ||||||||||||||||
2,500,000 | 7.250 | 01/01/13 | 2,512,500 | |||||||||||||
500,000 | 7.250 | (e) | 01/01/13 | 427,500 | ||||||||||||
16,427,500 | ||||||||||||||||
Media — Broadcasting & Radio – 0.5% | ||||||||||||||||
Clear Channel Communications, Inc. (BBB-/Baa3) | ||||||||||||||||
3,000,000 | 8.000 | 11/01/08 | 3,148,822 | |||||||||||||
Emmis Operating Co. (B-/B2) | ||||||||||||||||
5,000,000 | 6.875 | 05/15/12 | 4,850,000 | |||||||||||||
LIN Television Corp. (B-/B1) | ||||||||||||||||
3,000,000 | 6.500 | 05/15/13 | 2,775,000 | |||||||||||||
Radio One, Inc. (B/B2) | ||||||||||||||||
2,000,000 | 6.375 | 02/15/13 | 1,880,000 | |||||||||||||
12,653,822 | ||||||||||||||||
Media — Cable – 3.9% | ||||||||||||||||
Adelphia Communications Corp.(d) | ||||||||||||||||
1,000,000 | 9.375 | 11/15/09 | 500,000 | |||||||||||||
2,000,000 | 10.250 | 06/15/11 | 1,025,000 | |||||||||||||
Atlantic Broadband Finance LLC (CCC+/Caa1) | ||||||||||||||||
3,250,000 | 9.375 | 01/15/14 | 3,091,562 | |||||||||||||
Cablevision Systems Corp. (B+/B3) | ||||||||||||||||
5,000,000 | 8.000 | 04/15/12 | 5,000,000 | |||||||||||||
CCH I Holdings LLC (CCC-/Ca) | ||||||||||||||||
3,250,000 | 9.920 | 04/01/14 | 1,982,500 | |||||||||||||
5,500,000 | 11.750 | (f) | 05/15/14 | 3,492,500 | ||||||||||||
CCH I LLC (CCC-/Caa3) | ||||||||||||||||
8,178,000 | 11.000 | 10/01/15 | 7,237,530 | |||||||||||||
Century Communications Corp.(d)(g) | ||||||||||||||||
2,750,000 | 0.000 | 01/15/08 | 1,388,750 | |||||||||||||
Charter Communications Holdings II (CCC-/Caa1) | ||||||||||||||||
5,000,000 | 10.250 | 09/15/10 | 5,050,000 | |||||||||||||
CSC Holdings, Inc. (B+/B2) | ||||||||||||||||
8,250,000 | 8.125 | 07/15/09 | 8,559,375 | |||||||||||||
1,250,000 | 8.125 | 08/15/09 | 1,296,875 |
27
Statement of Investments (continued)
Principal | Interest | Maturity | ||||||||||||||
Amount• | Rate | Date | Value | |||||||||||||
Corporate Bonds – (continued) | ||||||||||||||||
Media — Cable – (continued) | ||||||||||||||||
FrontierVision Holdings LP(d) | ||||||||||||||||
$ | 2,000,000 | 11.000 | % | 10/15/06 | $ | 2,700,000 | ||||||||||
2,250,000 | 11.875 | 09/15/07 | 2,610,000 | |||||||||||||
Kabel Deutschland GMBH (B-/B2)(e) | ||||||||||||||||
1,000,000 | 10.625 | 07/01/14 | 1,066,250 | |||||||||||||
Kabel Deutschland Vertrieb and Service GmbH (B-)(a)(c) | ||||||||||||||||
EUR1,750,000 | 11.084 | 12/15/14 | 2,345,788 | |||||||||||||
Mediacom Broadband LLC (B/B2) | ||||||||||||||||
$ | 1,500,000 | 11.000 | 07/15/13 | 1,597,500 | ||||||||||||
Mediacom LLC (B/B3) | ||||||||||||||||
3,000,000 | 9.500 | 01/15/13 | 3,067,500 | |||||||||||||
Ono Finance II (CCC+/B3) | ||||||||||||||||
EUR2,375,000 | 8.000 | (e) | 05/15/14 | 2,943,866 | ||||||||||||
2,500,000 | 8.000 | 05/16/14 | 3,039,669 | |||||||||||||
Ono Finance PLC (CCC+/B3) | ||||||||||||||||
3,500,000 | 10.500 | 05/15/14 | 4,790,928 | |||||||||||||
Tele Columbus AG & Co. (CCC+/B3) | ||||||||||||||||
7,500,000 | 9.375 | 04/15/12 | 9,793,173 | |||||||||||||
Telenet Communications N.V. (B-/B2) | ||||||||||||||||
2,054,250 | 9.000 | 12/15/13 | 2,876,723 | |||||||||||||
Telenet Group Holding N.V. (CCC+/Caa1)(e)(f) | ||||||||||||||||
$ | 11,121,000 | 11.500 | 06/15/14 | 9,230,430 | ||||||||||||
UPC Holding BV (CCC+/B3) | ||||||||||||||||
EUR4,000,000 | 7.750 | 01/15/14 | 4,863,470 | |||||||||||||
89,549,389 | ||||||||||||||||
Metals – 1.4% | ||||||||||||||||
AK Steel Corp. (B+/B1) | ||||||||||||||||
$ | 1,000,000 | 7.875 | 02/15/09 | 1,002,500 | ||||||||||||
5,500,000 | 7.750 | 06/15/12 | 5,568,750 | |||||||||||||
GrafTech International Ltd. (CCC+/B2) | ||||||||||||||||
1,500,000 | 1.625 | 01/15/24 | 1,106,146 | |||||||||||||
Kloeckner Investment S.C.A. (B-/B2) | ||||||||||||||||
EUR4,250,000 | 10.500 | 05/15/15 | 6,367,140 | |||||||||||||
New Reclamation Group Ltd. (B/B1) | ||||||||||||||||
250,000 | 8.125 | 02/01/13 | 322,102 | |||||||||||||
Novelis, Inc. (B/B1)(e) | ||||||||||||||||
$ | 9,000,000 | 7.250 | 02/15/15 | 8,730,000 | ||||||||||||
UCAR Finance, Inc. (B-/B2) | ||||||||||||||||
8,000,000 | 10.250 | 02/15/12 | 8,540,000 | |||||||||||||
31,636,638 | ||||||||||||||||
Mining – 0.3% | ||||||||||||||||
OM Group, Inc. (B-/Caa1) | ||||||||||||||||
6,000,000 | 9.250 | 12/15/11 | 6,277,500 | |||||||||||||
Packaging – 3.6% | ||||||||||||||||
Consolidated Container Co. LLC (CCC/B3)(f) | ||||||||||||||||
1,500,000 | 10.750 | 06/15/09 | 1,406,250 | |||||||||||||
Consolidated Container Co. LLC (CCC/Caa2) | ||||||||||||||||
3,000,000 | 10.125 | 07/15/09 | 2,752,500 | |||||||||||||
Constar International, Inc. (CCC/Caa3) | ||||||||||||||||
1,125,000 | 11.000 | 12/01/12 | 866,250 | |||||||||||||
Covalence Specialty Materials Corp. (CCC+/B3)(e) | ||||||||||||||||
5,000,000 | 10.250 | 03/01/16 | 5,175,000 | |||||||||||||
Crown Americas LLC (B/B1)(e) | ||||||||||||||||
7,000,000 | 7.750 | 11/15/15 | 7,157,500 | |||||||||||||
Gerresheimer Holdings GMBH (B-/Caa1) | ||||||||||||||||
EUR4,500,000 | 7.875 | 03/01/15 | 5,677,202 | |||||||||||||
Graham Packaging Co., Inc. (CCC+/Caa2) | ||||||||||||||||
$ | 19,000,000 | 9.875 | 10/15/14 | 19,617,500 | ||||||||||||
Graphic Packaging International, Inc. (B-/B3) | ||||||||||||||||
6,500,000 | 9.500 | 08/15/13 | 6,313,125 | |||||||||||||
Impress Group B.V. (B-/B2) | ||||||||||||||||
EUR3,000,000 | 10.500 | 05/25/07 | 3,903,076 | |||||||||||||
Impress Metal Pack Holdings (CCC+/B3) | ||||||||||||||||
DEM7,000,000 | 9.875 | 05/29/07 | 4,537,899 | |||||||||||||
Owens Brockway Glass Container (B/B2) | ||||||||||||||||
$ | 2,500,000 | 8.250 | 05/15/13 | 2,562,500 | ||||||||||||
1,000,000 | 6.750 | 12/01/14 | 965,000 | |||||||||||||
Owens Brockway Glass Container (BB-/B1) | ||||||||||||||||
8,000,000 | 8.875 | 02/15/09 | 8,320,000 | |||||||||||||
Pliant Corp.(D)(d) | ||||||||||||||||
3,375,000 | 13.000 | 09/01/09 | 1,586,250 | |||||||||||||
2,000,000 | 11.125 | 06/01/10 | 2,100,000 | |||||||||||||
Portola Packaging, Inc. (CCC/Caa1) | ||||||||||||||||
1,500,000 | 8.250 | 02/01/12 | 1,321,875 | |||||||||||||
Pregis Corp. (CCC+/Caa1)(e) | ||||||||||||||||
5,000,000 | 12.375 | 10/15/13 | 5,250,000 | |||||||||||||
Tekni-Plex, Inc. (C/Caa2)(e) | ||||||||||||||||
1,500,000 | 8.750 | 11/15/13 | 1,417,500 | |||||||||||||
Tekni-Plex, Inc. (CCC-/B3)(e) | ||||||||||||||||
1,000,000 | 10.875 | 08/15/12 | 1,120,000 | |||||||||||||
82,049,427 | ||||||||||||||||
Paper – 2.6% | ||||||||||||||||
Abitibi-Consolidated, Inc. (B+/B1) | ||||||||||||||||
4,968,000 | 8.550 | 08/01/10 | 5,092,200 | |||||||||||||
Ainsworth Lumber Co. Ltd. (B+/B2) | ||||||||||||||||
4,000,000 | 7.250 | 10/01/12 | 3,630,000 | |||||||||||||
2,500,000 | 6.750 | 03/15/14 | 2,143,750 | |||||||||||||
Boise Cascade LLC (B+/B2)(e) | ||||||||||||||||
2,750,000 | 7.125 | 10/15/14 | 2,619,375 | |||||||||||||
Georgia-Pacific Corp. (B/B2) | ||||||||||||||||
8,000,000 | 8.125 | 05/15/11 | 8,340,000 | |||||||||||||
1,000,000 | 9.500 | 12/01/11 | 1,092,500 | |||||||||||||
1,500,000 | 7.700 | 06/15/15 | 1,500,000 | |||||||||||||
2,750,000 | 7.750 | 11/15/29 | 2,670,938 | |||||||||||||
Jefferson Smurfit Corp. (CCC+/B2) | ||||||||||||||||
5,000,000 | 8.250 | 10/01/12 | 4,862,500 | |||||||||||||
1,000,000 | 7.500 | 06/01/13 | 932,500 | |||||||||||||
JSG Funding PLC (B-/B3) | ||||||||||||||||
5,375,000 | 9.625 | 10/01/12 | 5,684,062 | |||||||||||||
EUR4,125,000 | 10.125 | 10/01/12 | 5,789,563 | |||||||||||||
JSG Funding PLC (B-/Caa1) | ||||||||||||||||
$ | 2,000,000 | 7.750 | 04/01/15 | 1,840,000 | ||||||||||||
JSG Funding PLC (B-/Caa1) | ||||||||||||||||
EUR1,000,000 | 7.750 | 04/01/15 | 1,230,060 | |||||||||||||
JSG Holding PLC (B-/Caa2)(a) | ||||||||||||||||
3,949,042 | 11.500 | 10/01/15 | 5,206,309 |
28
Principal | Interest | Maturity | ||||||||||||||
Amount• | Rate | Date | Value | |||||||||||||
Corporate Bonds – (continued) | ||||||||||||||||
Paper – (continued) | ||||||||||||||||
NewPage Corp. (CCC+/B3) | ||||||||||||||||
$ | 3,000,000 | 10.000 | % | 05/01/12 | $ | 3,217,500 | ||||||||||
Port Townsend Paper Corp. (CCC/Caa1)(e) | ||||||||||||||||
4,500,000 | 12.000 | 04/15/11 | 3,690,000 | |||||||||||||
59,541,257 | ||||||||||||||||
Printing(e) – 0.2% | ||||||||||||||||
SGS International, Inc. (B-/Caa1) | ||||||||||||||||
4,750,000 | 12.000 | 12/15/13 | 5,023,125 | |||||||||||||
Publishing – 4.6% | ||||||||||||||||
Advanstar Communications, Inc. (B/B3) | ||||||||||||||||
5,000,000 | 10.750 | 08/15/10 | 5,431,250 | |||||||||||||
Advanstar Communications, Inc. (CCC/Caa2) | ||||||||||||||||
2,000,000 | 12.000 | 02/15/11 | 2,107,500 | |||||||||||||
Advanstar, Inc. (CCC/Caa2)(f) | ||||||||||||||||
2,500,000 | 15.000 | 10/15/11 | 2,631,250 | |||||||||||||
American Media Operations, Inc. (CCC/Caa1) | ||||||||||||||||
2,000,000 | 8.875 | 01/15/11 | 1,770,000 | |||||||||||||
Dex Media East LLC (B/B1) | ||||||||||||||||
3,087,000 | 12.125 | 11/15/12 | 3,499,886 | |||||||||||||
Dex Media West LLC (B/B2) | ||||||||||||||||
6,744,000 | 9.875 | 08/15/13 | 7,418,400 | |||||||||||||
Dex Media, Inc. (B/B3) | ||||||||||||||||
1,250,000 | 8.000 | 11/15/13 | 1,289,063 | |||||||||||||
12,750,000 | 9.000 | 11/15/13 | 10,837,500 | |||||||||||||
Houghton Mifflin Co. (CCC+/B3) | ||||||||||||||||
1,750,000 | 8.250 | 02/01/11 | 1,806,875 | |||||||||||||
Houghton Mifflin Co. (CCC+/Caa1) | ||||||||||||||||
3,000,000 | 9.875 | 02/01/13 | 3,217,500 | |||||||||||||
Houghton Mifflin Co. (CCC+/Caa2)(f) | ||||||||||||||||
3,000,000 | 11.500 | 10/15/13 | 2,557,500 | |||||||||||||
Lighthouse International Co. SA (B/B3) | ||||||||||||||||
EUR10,750,000 | 8.000 | 04/30/14 | 14,545,464 | |||||||||||||
Primedia, Inc. (B/B2) | ||||||||||||||||
$ | 4,000,000 | 8.875 | 05/15/11 | 3,870,000 | ||||||||||||
3,000,000 | 8.000 | 05/15/13 | 2,737,500 | |||||||||||||
RH Donnelley Corp. (B/Caa1) | ||||||||||||||||
1,000,000 | 6.875 | 01/15/13 | 928,750 | |||||||||||||
2,000,000 | 6.875 | (e) | 01/15/13 | 1,857,500 | ||||||||||||
5,875,000 | 8.875 | (e) | 01/15/16 | 6,043,906 | ||||||||||||
WDAC Subsidiary Corp. (CCC+/Caa1) | ||||||||||||||||
EUR17,000,000 | 8.500 | (a) | 12/01/14 | 21,876,151 | ||||||||||||
WDAC Subsidiary Corp. (CCC+/Caa1) | ||||||||||||||||
$ | 1,000,000 | 8.375 | (e) | 12/01/14 | 992,500 | |||||||||||
Yell Finance B.V. (B+/B1) | ||||||||||||||||
GBP1,913,000 | 10.750 | 08/01/11 | 3,715,200 | |||||||||||||
$ | 5,638,000 | 13.500 | 08/01/11 | 5,800,093 | ||||||||||||
Ziff Davis Media, Inc. (CC)(a) | ||||||||||||||||
459,485 | 12.000 | 08/12/09 | 67,778 | |||||||||||||
105,001,566 | ||||||||||||||||
Real Estate – 0.3% | ||||||||||||||||
CB Richard Ellis Services, Inc. (BB+/Ba1) | ||||||||||||||||
650,000 | 9.750 | 05/15/10 | 700,375 | |||||||||||||
CB Richard Ellis Services, Inc. (BB-/Ba2) | ||||||||||||||||
4,000,000 | 11.250 | 06/15/11 | 4,230,000 | |||||||||||||
Crescent Real Estate Equities Ltd. (B/B1) | ||||||||||||||||
2,000,000 | 9.250 | 04/15/09 | 2,092,500 | |||||||||||||
7,022,875 | ||||||||||||||||
Restaurants – 0.6% | ||||||||||||||||
Domino’s, Inc. (B/B2) | ||||||||||||||||
4,011,000 | 8.250 | 07/01/11 | 4,151,385 | |||||||||||||
Landry’s Restaurants, Inc. (B/B2) | ||||||||||||||||
9,000,000 | 7.500 | 12/15/14 | 8,685,000 | |||||||||||||
12,836,385 | ||||||||||||||||
Retailers – 0.8% | ||||||||||||||||
General Nutrition Center (CCC+/Caa1) | ||||||||||||||||
4,000,000 | 8.500 | 12/01/10 | 3,890,000 | |||||||||||||
Neiman-Marcus Group, Inc. (B-/B2)(e) | ||||||||||||||||
5,000,000 | 9.000 | 10/15/15 | 5,300,000 | |||||||||||||
Neiman-Marcus Group, Inc. (B-/B3)(e) | ||||||||||||||||
4,250,000 | 10.375 | 10/15/15 | 4,536,875 | |||||||||||||
Victoria Acquisition III B.V. (B-/B2) | ||||||||||||||||
EUR3,625,000 | 7.875 | 10/01/14 | 5,047,782 | |||||||||||||
18,774,657 | ||||||||||||||||
Retailers — Food & Drug – 1.1% | ||||||||||||||||
Ahold Lease USA, Inc. (BB+/Ba1) | ||||||||||||||||
$ | 895,760 | 7.820 | (h) | 01/02/20 | 927,112 | |||||||||||
2,000,000 | 8.620 | 01/02/25 | 2,080,000 | |||||||||||||
Brake Bros. Finance PLC (B-/B3) | ||||||||||||||||
GBP6,000,000 | 12.000 | 12/15/11 | 12,418,373 | |||||||||||||
Ingles Markets, Inc. (B/B3) | ||||||||||||||||
$ | 4,000,000 | 8.875 | 12/01/11 | 4,180,000 | ||||||||||||
Jean Coutu Group, Inc. (B-/Caa2) | ||||||||||||||||
4,000,000 | 8.500 | 08/01/14 | 3,760,000 | |||||||||||||
Rite Aid Corp. (B+/B2) | ||||||||||||||||
2,000,000 | 9.500 | 02/15/11 | 2,110,000 | |||||||||||||
25,475,485 | ||||||||||||||||
Services Cyclical — Business Services – 0.6% | ||||||||||||||||
Cornell Co., Inc. (CCC+/B3) | ||||||||||||||||
1,500,000 | 10.750 | 07/01/12 | 1,575,000 | |||||||||||||
Corrections Corp. of America (BB-/Ba3) | ||||||||||||||||
500,000 | 6.750 | 01/31/14 | 488,750 | |||||||||||||
2,000,000 | 7.500 | 05/01/11 | 2,035,000 | |||||||||||||
Dycom Industries, Inc. (B+/Ba3) | ||||||||||||||||
2,000,000 | 8.125 | 10/15/15 | 2,055,000 | |||||||||||||
Iron Mountain, Inc. (B/Caa1) | ||||||||||||||||
4,000,000 | 8.625 | 04/01/13 | 4,170,000 | |||||||||||||
Savcio Holdings Property Ltd. (B+/B2)(e) | ||||||||||||||||
EUR2,000,000 | 8.000 | 02/15/13 | 2,661,977 | |||||||||||||
12,985,727 | ||||||||||||||||
Services Cyclical — Consumer Services – 0.3% | ||||||||||||||||
APCOA, Inc. (B-) | ||||||||||||||||
$ | 3,000,000 | 9.250 | 03/15/08 | 2,932,500 |
29
Statement of Investments (continued)
Principal | Interest | Maturity | ||||||||||||||
Amount• | Rate | Date | Value | |||||||||||||
Corporate Bonds – (continued) | ||||||||||||||||
Services Cyclical — Consumer Services – (continued) | ||||||||||||||||
Brickman Group Ltd. (B/B2) | ||||||||||||||||
$ | 2,000,000 | 11.750 | % | 12/15/09 | $ | 2,172,500 | ||||||||||
Service Corp. International (BB/Ba3) | ||||||||||||||||
1,000,000 | 7.700 | 04/15/09 | 1,026,250 | |||||||||||||
6,131,250 | ||||||||||||||||
Services Cyclical — Distribution/Logistics – 2.0% | ||||||||||||||||
ACCO Brands Corp. (B/B2) | ||||||||||||||||
6,000,000 | 7.625 | 08/15/15 | 5,730,000 | |||||||||||||
Interline Brands, Inc. (B/B3) | ||||||||||||||||
3,250,000 | 11.500 | 05/15/11 | 3,599,375 | |||||||||||||
Ray Acquisition SCA (CCC+/Caa1) | ||||||||||||||||
EUR27,000,000 | 9.375 | 03/15/15 | 36,788,268 | |||||||||||||
46,117,643 | ||||||||||||||||
Services Cyclical — Rental Equipment – 1.8% | ||||||||||||||||
Ahern Rentals, Inc. (B-/B3) | ||||||||||||||||
$ | 3,000,000 | 9.250 | 08/15/13 | 3,120,000 | ||||||||||||
Ashtead Holdings PLC (B/B2) | ||||||||||||||||
GBP1,625,000 | 12.000 | 05/01/14 | 3,526,289 | |||||||||||||
Ashtead Holdings PLC (B/B2)(e) | ||||||||||||||||
$ | 1,000,000 | 8.625 | 08/01/15 | 1,047,500 | ||||||||||||
H&E Equipment Services LLC (B+/B3) | ||||||||||||||||
2,250,000 | 11.125 | 06/15/12 | 2,486,250 | |||||||||||||
Hertz Corp. (B/B1)(e) | ||||||||||||||||
10,000,000 | 8.875 | 01/01/14 | 10,637,500 | |||||||||||||
Hertz Corp. (B/B3)(e) | ||||||||||||||||
5,750,000 | 10.500 | 01/01/16 | 6,346,563 | |||||||||||||
United Rentals North America, Inc. (B/Caa1) | ||||||||||||||||
4,750,000 | 7.750 | 11/15/13 | 4,773,750 | |||||||||||||
5,000,000 | 7.000 | 02/15/14 | 4,812,500 | |||||||||||||
Williams Scotsman, Inc. (B+/B3) | ||||||||||||||||
5,500,000 | 8.500 | 10/01/15 | 5,610,000 | |||||||||||||
42,360,352 | ||||||||||||||||
Technology — Hardware – 1.4% | ||||||||||||||||
Amkor Technology, Inc. (CCC/Caa3) | ||||||||||||||||
1,500,000 | 5.750 | 06/01/06 | 1,499,700 | |||||||||||||
Avago Technologies Finance (B/B3)(e) | ||||||||||||||||
4,500,000 | 10.125 | 12/01/13 | 4,871,250 | |||||||||||||
Lucent Technologies, Inc. (B/B1) | ||||||||||||||||
4,000,000 | 5.500 | 11/15/08 | 3,920,000 | |||||||||||||
6,500,000 | 6.450 | 03/15/29 | 5,752,500 | |||||||||||||
MagnaChip Semiconductor (B+/Ba3) | ||||||||||||||||
1,500,000 | 6.875 | 12/15/11 | 1,432,500 | |||||||||||||
MagnaChip Semiconductor (B-/B2) | ||||||||||||||||
3,000,000 | 8.000 | 12/15/14 | 2,790,000 | |||||||||||||
Nortel Networks Corp. (B-/B3) | ||||||||||||||||
2,000,000 | 4.250 | 09/01/08 | 1,892,000 | |||||||||||||
Xerox Capital Trust I (B+/Ba3) | ||||||||||||||||
2,250,000 | 8.000 | 02/01/27 | 2,317,500 | |||||||||||||
Xerox Corp. (BB+/Ba2) | ||||||||||||||||
EUR2,000,000 | 9.750 | 01/15/09 | 2,876,449 | |||||||||||||
$ | 2,250,000 | 9.750 | 01/15/09 | 2,444,062 | ||||||||||||
2,000,000 | 7.625 | 06/15/13 | 2,080,000 | |||||||||||||
31,875,961 | ||||||||||||||||
Technology — Software/Services – 1.4% | ||||||||||||||||
Activant Solutions, Inc. (B/B2) | ||||||||||||||||
3,000,000 | 10.500 | 06/15/11 | 3,311,250 | |||||||||||||
Activant Solutions, Inc. (CCC+/Caa1)(e) | ||||||||||||||||
750,000 | 9.500 | 05/01/16 | 750,000 | |||||||||||||
Serena Software, Inc. (CCC+/Caa1)(e) | ||||||||||||||||
3,500,000 | 10.375 | 03/15/16 | 3,727,500 | |||||||||||||
Sungard Data Systems, Inc. (B-/B3)(e) | ||||||||||||||||
11,500,000 | 9.125 | 08/15/13 | 12,305,000 | |||||||||||||
Sungard Data Systems, Inc. (B-/Caa1)(e) | ||||||||||||||||
10,500,000 | 10.250 | 08/15/15 | 11,235,000 | |||||||||||||
31,328,750 | ||||||||||||||||
Telecommunications – 1.7% | ||||||||||||||||
Citizens Communications Co. (BB+/Ba3) | ||||||||||||||||
7,125,000 | 9.250 | 05/15/11 | 7,855,312 | |||||||||||||
Eircom Funding (BB-/B1) | ||||||||||||||||
EUR2,000,000 | 8.250 | 08/15/13 | 2,775,521 | |||||||||||||
Exodus Communications, Inc.(d) | ||||||||||||||||
2,500,000 | 10.750 | 07/17/06 | 47,310 | |||||||||||||
$ | 1,500,000 | 11.250 | 07/01/08 | 1 | ||||||||||||
2,000,000 | 11.625 | 07/15/10 | 2 | |||||||||||||
Nordic Telephone Co. Holdings (B/B2)(e) | ||||||||||||||||
EUR750,000 | 8.352 | (c) | 05/01/07 | 972,221 | ||||||||||||
$ | 1,500,000 | 8.875 | 05/01/16 | 1,556,250 | ||||||||||||
EUR6,250,000 | 8.250 | 05/01/16 | 8,121,553 | |||||||||||||
PSINet, Inc.(d) | ||||||||||||||||
$ | 3,225,361 | 10.000 | 02/15/05 | 2,016 | ||||||||||||
854,862 | 11.500 | 11/01/08 | 534 | |||||||||||||
859,073 | 11.000 | 08/01/09 | 537 | |||||||||||||
Qwest Capital Funding, Inc. (B/B3) | ||||||||||||||||
750,000 | 7.000 | 08/03/09 | 751,875 | |||||||||||||
6,750,000 | 7.900 | 08/15/10 | 6,935,625 | |||||||||||||
Qwest Communications International, Inc. (B/B2) | ||||||||||||||||
2,000,000 | 7.500 | 02/15/14 | 2,020,000 | |||||||||||||
Qwest Corp. (BB/Ba3) | ||||||||||||||||
4,000,000 | 8.875 | 03/15/12 | 4,390,000 | |||||||||||||
3,000,000 | 6.875 | 09/15/33 | 2,760,000 | |||||||||||||
38,188,757 | ||||||||||||||||
Telecommunications — Cellular – 4.4% | ||||||||||||||||
AirGate PCS, Inc. (BBB+/Caa1) | ||||||||||||||||
2,133,300 | 9.375 | 09/01/09 | 2,226,001 | |||||||||||||
Alamosa Delaware, Inc. (A-/Caa1) | ||||||||||||||||
5,250,000 | 12.000 | (f) | 07/31/09 | 5,633,979 | ||||||||||||
1,787,000 | 11.000 | 07/31/10 | 1,980,925 | |||||||||||||
1,500,000 | 8.500 | 01/31/12 | 1,614,771 | |||||||||||||
American Cellular Corp. (B-/B3) | ||||||||||||||||
5,500,000 | 10.000 | 08/01/11 | 5,974,375 | |||||||||||||
American Tower Corp. (BB-/B1) | ||||||||||||||||
4,750,000 | 7.125 | 10/15/12 | 4,845,000 | |||||||||||||
American Towers, Inc. (BB-/Ba2) | ||||||||||||||||
1,000,000 | 7.250 | 12/01/11 | 1,022,500 | |||||||||||||
Cell C Ltd. (BB-) | ||||||||||||||||
EUR2,000,000 | 8.625 | 07/01/12 | 2,731,365 | |||||||||||||
Centennial Cellular Communications (CCC/B3) | ||||||||||||||||
$ | 1,500,000 | 10.125 | 06/15/13 | 1,640,625 |
30
Principal | Interest | Maturity | ||||||||||||||
Amount• | Rate | Date | Value | |||||||||||||
Corporate Bonds – (continued) | ||||||||||||||||
Telecommunications — Cellular – (continued) | ||||||||||||||||
Digicel Ltd. (B3)(e) | ||||||||||||||||
$ | 2,250,000 | 9.250 | % | 09/01/12 | $ | 2,370,937 | ||||||||||
Dobson Communications Corp. (CCC/Caa2) | ||||||||||||||||
2,000,000 | 8.875 | 10/01/13 | 2,040,000 | |||||||||||||
Hellas Telecommunications Finance (B-)(a)(e) | ||||||||||||||||
EUR1,875,000 | 11.013 | 04/15/14 | 2,371,415 | |||||||||||||
Hellas Telecommunications III (B-/B3)(e) | ||||||||||||||||
7,125,000 | 8.500 | 04/15/09 | 9,561,946 | |||||||||||||
Horizon PCS, Inc. (B-/B3) | ||||||||||||||||
$ | 1,125,000 | 11.375 | 07/15/12 | 1,285,313 | ||||||||||||
Nextel Communications, Inc. (A-/Baa2) | ||||||||||||||||
3,500,000 | 5.950 | 03/15/14 | 3,434,900 | |||||||||||||
15,000,000 | 7.375 | 08/01/15 | 15,633,186 | |||||||||||||
Nextel Partners, Inc. (BB-/Ba3) | ||||||||||||||||
4,000,000 | 8.125 | 07/01/11 | 4,240,000 | |||||||||||||
Rogers Wireless Communications, Inc. (BB/Ba2) | ||||||||||||||||
2,000,000 | 7.500 | 03/15/15 | 2,090,000 | |||||||||||||
Rogers Wireless, Inc. (B+/Ba3) | ||||||||||||||||
2,000,000 | 8.000 | 12/15/12 | 2,097,500 | |||||||||||||
Rural Cellular Corp. (CCC/Caa1) | ||||||||||||||||
4,000,000 | 9.875 | 02/01/10 | 4,270,000 | |||||||||||||
Rural Cellular Corp. (CCC/Caa2) | ||||||||||||||||
1,500,000 | 9.750 | 01/15/10 | 1,545,000 | |||||||||||||
Triton PCS, Inc. (CCC-/Caa2) | ||||||||||||||||
1,000,000 | 8.500 | 06/01/13 | 961,250 | |||||||||||||
Wind Acquisition Finance SA (B-/B3)(e) | ||||||||||||||||
EUR5,125,000 | 9.750 | 12/01/15 | 7,079,944 | |||||||||||||
Wind Acquisition Finance SA (B-/B3)(e) | ||||||||||||||||
$ | 11,250,000 | 10.750 | 12/01/15 | 12,346,875 | ||||||||||||
Wind Acquisition Finance SA (B-/B3) | ||||||||||||||||
EUR750,000 | 9.750 | 12/01/15 | 1,036,089 | |||||||||||||
100,033,896 | ||||||||||||||||
Telecommunications — Satellites – 0.9% | ||||||||||||||||
Inmarsat Finance II PLC (B+/B2)(f) | ||||||||||||||||
$ | 6,000,000 | 10.375 | 11/15/12 | 5,167,500 | ||||||||||||
Inmarsat Finance PLC (B+/B1) | ||||||||||||||||
1,000,000 | 7.625 | 06/30/12 | 1,025,000 | |||||||||||||
Intelsat Ltd. (B/Caa1) | ||||||||||||||||
6,000,000 | 7.625 | 04/15/12 | 5,130,000 | |||||||||||||
Intelsat Subsidiary Holding Co. Ltd. (B+/B2) | ||||||||||||||||
4,000,000 | 8.250 | 01/15/13 | 4,080,000 | |||||||||||||
PanAmSat Corp. (B+/B1) | ||||||||||||||||
4,000,000 | 9.000 | 08/15/14 | 4,210,000 | |||||||||||||
PanAmSat Corp. (B+/B3)(f) | ||||||||||||||||
2,750,000 | 10.375 | 11/01/14 | 1,993,750 | |||||||||||||
21,606,250 | ||||||||||||||||
Textiles & Apparel – 0.8% | ||||||||||||||||
Oxford Industries, Inc. (B/B2) | ||||||||||||||||
3,500,000 | 8.875 | 06/01/11 | 3,622,500 | |||||||||||||
Propex Fabrics, Inc. (B-/B3) | ||||||||||||||||
4,500,000 | 10.000 | 12/01/12 | 4,230,000 | |||||||||||||
Quiksilver, Inc. (BB-/B1) | ||||||||||||||||
6,250,000 | 6.875 | 04/15/15 | 6,031,250 | |||||||||||||
Russell Corp. (B/B2) | ||||||||||||||||
2,000,000 | 9.250 | 05/01/10 | 2,095,000 | |||||||||||||
Warnaco, Inc. (B+/B1) | ||||||||||||||||
2,000,000 | 8.875 | 06/15/13 | 2,100,000 | |||||||||||||
18,078,750 | ||||||||||||||||
Tobacco – 0.2% | ||||||||||||||||
Alliance One International, Inc. (B-/B3) | ||||||||||||||||
5,000,000 | 11.000 | 05/15/12 | 4,725,000 | |||||||||||||
Transportation – 0.2% | ||||||||||||||||
Petroleum Helicopters, Inc. | ||||||||||||||||
1,250,000 | 9.375 | 05/01/09 | 1,308,600 | |||||||||||||
Stena AB (BB-/Ba3) | ||||||||||||||||
2,000,000 | 9.625 | 12/01/12 | 2,175,000 | |||||||||||||
1,000,000 | 7.500 | 11/01/13 | 995,000 | |||||||||||||
4,478,600 | ||||||||||||||||
Utilities — Distribution – 0.6% | ||||||||||||||||
AmeriGas Partners L.P. (B-/B1) | ||||||||||||||||
2,000,000 | 7.250 | 05/20/15 | 1,990,000 | |||||||||||||
AmeriGas Partners LP/AmeriGas Eagle Finance Corp. (B1) | ||||||||||||||||
2,750,000 | 7.125 | 05/20/16 | 2,732,813 | |||||||||||||
Inergy LP/Inergy Finance Corp. (B/B1) | ||||||||||||||||
2,500,000 | 6.875 | 12/15/14 | 2,356,250 | |||||||||||||
2,750,000 | 8.250 | (e) | 03/01/16 | 2,818,750 | ||||||||||||
Suburban Propane Partners LP (B-/B1) | ||||||||||||||||
2,000,000 | 6.875 | 12/15/13 | 1,900,000 | |||||||||||||
TransMontaigne, Inc. (B-/B3) | ||||||||||||||||
2,405,000 | 9.125 | 06/01/10 | 2,601,416 | |||||||||||||
14,399,229 | ||||||||||||||||
Utilities — Electric – 3.6% | ||||||||||||||||
AES Corp. (B/B1) | ||||||||||||||||
5,250,000 | 9.500 | 06/01/09 | 5,643,750 | |||||||||||||
5,250,000 | 9.375 | 09/15/10 | 5,735,625 | |||||||||||||
Allegheny Energy Supply Co. LLC (BB-/Ba3)(e) | ||||||||||||||||
5,000,000 | 8.250 | 04/15/12 | 5,425,000 | |||||||||||||
Calpine Canada Energy Finance (D)(d) | ||||||||||||||||
6,250,000 | 8.500 | 05/01/08 | 3,593,750 | |||||||||||||
Calpine Corp. (D)(d) | ||||||||||||||||
1,250,000 | 8.500 | (e) | 07/15/10 | 1,153,125 | ||||||||||||
500,000 | 8.500 | 02/15/11 | 177,500 | |||||||||||||
1,750,000 | 9.875 | (e) | 12/01/11 | 1,605,625 | ||||||||||||
3,000,000 | 8.750 | (e) | 07/15/13 | 2,767,500 | ||||||||||||
Dynegy Holdings, Inc. (B-/B2) | ||||||||||||||||
3,000,000 | 8.750 | 02/15/12 | 3,120,000 | |||||||||||||
1,250,000 | 8.375 | (e) | 05/01/16 | 1,246,875 | ||||||||||||
1,500,000 | 7.125 | 05/15/18 | 1,357,500 | |||||||||||||
Edison Mission Energy (B+/B1) | ||||||||||||||||
1,000,000 | 9.875 | 04/15/11 | 1,127,500 | |||||||||||||
Edison Mission Energy (B1/B1) | ||||||||||||||||
2,000,000 | 10.000 | 08/15/08 | 2,140,000 | |||||||||||||
Elwood Energy LLC (B+/Ba2) | ||||||||||||||||
2,496,750 | 8.159 | 07/05/26 | 2,634,071 |
31
Statement of Investments (continued)
Principal | Interest | Maturity | ||||||||||||||
Amount• | Rate | Date | Value | |||||||||||||
Corporate Bonds – (continued) | ||||||||||||||||
Utilities — Electric – (continued) | ||||||||||||||||
Ipalco Enterprises, Inc. (BB-/Ba1) | ||||||||||||||||
$ | 1,500,000 | 8.625 | % | 11/14/11 | $ | 1,635,000 | ||||||||||
Midwest Generation LLC (B/B1) | ||||||||||||||||
7,250,000 | 8.750 | 05/01/34 | 7,830,000 | |||||||||||||
Midwest Generation LLC (B+/B1) | ||||||||||||||||
1,000,000 | 8.300 | 07/02/09 | 1,025,000 | |||||||||||||
4,449,908 | 8.560 | 01/02/16 | 4,783,651 | |||||||||||||
Mirant Mid-Atlantic LLC (BB/Ba2) | ||||||||||||||||
2,185,471 | 9.125 | 06/30/17 | 2,535,147 | |||||||||||||
Mirant North America LLC (B-/B1)(e) | ||||||||||||||||
3,000,000 | 7.375 | 12/31/13 | 3,007,500 | |||||||||||||
Mission Energy Holding Co. (B-/B2) | ||||||||||||||||
4,000,000 | 13.500 | 07/15/08 | 4,550,000 | |||||||||||||
NRG Energy, Inc. (B-/B1) | ||||||||||||||||
2,500,000 | 7.250 | 02/01/14 | 2,512,500 | |||||||||||||
6,500,000 | 7.375 | 02/01/16 | 6,548,750 | |||||||||||||
Orion Power Holdings, Inc. (B-/B3) | ||||||||||||||||
1,500,000 | 12.000 | 05/01/10 | 1,704,375 | |||||||||||||
Reliant Resources, Inc. (B/B2) | ||||||||||||||||
3,000,000 | 9.250 | 07/15/10 | 3,052,500 | |||||||||||||
1,250,000 | 9.500 | 07/15/13 | 1,271,875 | |||||||||||||
South Point Energy Center LLC(D)(d)(e) | ||||||||||||||||
3,000,000 | 9.825 | 05/30/19 | 2,850,000 | |||||||||||||
South Point Energy Center LLC (D/Caa2)(d)(e) | ||||||||||||||||
1,263,366 | 8.400 | 05/30/12 | 1,219,148 | |||||||||||||
82,253,267 | ||||||||||||||||
Utilities — Pipelines – 3.9% | ||||||||||||||||
El Paso Corp. (B-/Caa1) | ||||||||||||||||
2,000,000 | 7.625 | (e) | 09/01/08 | 2,027,500 | ||||||||||||
EUR7,000,000 | 7.125 | 05/06/09 | 9,272,763 | |||||||||||||
$ | 4,250,000 | 7.750 | (e) | 06/15/10 | 4,372,187 | |||||||||||
1,000,000 | 10.750 | (e) | 10/01/10 | 1,112,500 | ||||||||||||
2,000,000 | 7.875 | 06/15/12 | 2,080,000 | |||||||||||||
3,000,000 | 7.375 | 12/15/12 | 3,041,250 | |||||||||||||
8,000,000 | 7.800 | 08/01/31 | 7,920,000 | |||||||||||||
3,750,000 | 7.750 | 01/15/32 | 3,721,875 | |||||||||||||
2,000,000 | 7.420 | (e) | 02/15/37 | 1,917,500 | ||||||||||||
El Paso Natural Gas Co. (B/B1) | ||||||||||||||||
2,875,000 | 8.625 | 01/15/22 | 3,216,406 | |||||||||||||
2,375,000 | 7.500 | 11/15/26 | 2,401,030 | |||||||||||||
4,250,000 | 8.375 | 06/15/32 | 4,680,606 | |||||||||||||
Sonat, Inc. (B-/Caa1) | ||||||||||||||||
1,000,000 | 7.625 | 07/15/11 | 1,025,000 | |||||||||||||
Southern Natural Gas Co. (B/B1) | ||||||||||||||||
3,000,000 | 8.875 | 03/15/10 | 3,176,250 | |||||||||||||
3,000,000 | 7.350 | 02/15/31 | 2,994,420 | |||||||||||||
3,000,000 | 8.000 | 03/01/32 | 3,210,000 | |||||||||||||
Southern Star Central Corp. (BB+/Ba3)(e) | ||||||||||||||||
1,000,000 | 6.750 | 03/01/16 | 1,005,000 | |||||||||||||
Tennessee Gas Pipeline Co. (B/B1) | ||||||||||||||||
3,000,000 | 7.000 | 10/15/28 | 2,910,000 | |||||||||||||
3,750,000 | 8.375 | 06/15/32 | 4,143,840 | |||||||||||||
1,500,000 | 7.625 | 04/01/37 | 1,525,010 | |||||||||||||
The Williams Cos., Inc. (BB-/B1) | ||||||||||||||||
6,500,000 | 8.125 | 03/15/12 | 6,955,000 | |||||||||||||
3,000,000 | 7.625 | 07/15/19 | 3,165,000 | |||||||||||||
11,000,000 | 7.875 | 09/01/21 | 11,715,000 | |||||||||||||
1,000,000 | 7.500 | 01/15/31 | 1,020,000 | |||||||||||||
88,608,137 | ||||||||||||||||
TOTAL CORPORATE BONDS | ||||||||||||||||
(Cost $2,071,692,134) | $ | 2,141,430,613 | ||||||||||||||
Emerging Market Debt – 2.1% | ||||||||||||||||
Federal Republic of Brazil (BB/Ba3) | ||||||||||||||||
$ | 770,000 | 10.125 | % | 05/15/27 | $ | 985,600 | ||||||||||
3,670,000 | 12.250 | 03/06/30 | 5,505,000 | |||||||||||||
3,700,000 | 11.000 | 08/17/40 | 4,765,600 | |||||||||||||
Republic of Argentina (B/B3)(c) | ||||||||||||||||
14,000,000 | 4.889 | 08/03/12 | 13,137,104 | |||||||||||||
Republic of Peru (BB/Ba3) | ||||||||||||||||
2,500,000 | 9.125 | 02/21/12 | 2,777,500 | |||||||||||||
EUR2,000,000 | 7.500 | 10/14/14 | 2,766,690 | |||||||||||||
$ | 700,000 | 8.375 | 05/03/16 | 762,300 | ||||||||||||
700,000 | 7.350 | 07/21/25 | 693,000 | |||||||||||||
1,300,000 | 8.750 | 11/21/33 | 1,465,750 | |||||||||||||
Republic of Venezuela (BB-/B2) | ||||||||||||||||
3,700,000 | 9.375 | 01/13/34 | 4,695,300 | |||||||||||||
Russian Federation (BBB/Baa2)(f) | ||||||||||||||||
9,800,000 | 5.000 | 03/31/30 | 10,633,000 | |||||||||||||
TOTAL EMERGING MARKET DEBT | ||||||||||||||||
(Cost $44,907,901) | $ | 48,186,844 | ||||||||||||||
Shares | Description | Value | ||||||||
Common Stocks* – 0.8% | ||||||||||
38,750 | American Tower Corp. | $ | 1,322,925 | |||||||
2,731 | APP China Group Ltd. | 95,585 | ||||||||
24,334 | Axiohm Transaction Solutions, Inc. | 243 | ||||||||
3,157 | Crunch Equity Holding, LLC | 2,999,125 | ||||||||
79,976 | Dobson Communications Corp. | 719,784 | ||||||||
538 | General Chemical Industrial Product, Inc. | 149,860 | ||||||||
45,251 | Hayes Lemmerz International, Inc. | 151,138 | ||||||||
195,700 | Huntsman Corp. | 3,845,505 | ||||||||
8,366 | iPCS, Inc. | 421,479 | ||||||||
7,393 | JSG Funding PLC | 3,171 | ||||||||
11,243 | Mattress Discounters | — | ||||||||
18,042 | New World Pasta | 202,431 | ||||||||
96,747 | NTL, Inc. | 2,658,608 | ||||||||
1,656 | Nycomed | 21 | ||||||||
1,067,500 | Parmalat SpA(e) | 3,580,182 | ||||||||
33,975 | Polymer Group, Inc. | 917,325 |
32
Shares | Description | Value | ||||||||
Common Stocks* – (continued) | ||||||||||
14,135 | Thermadyne Holdings Corp. | $ | 245,949 | |||||||
103,389 | Viasystems Group, Inc. | 97,186 | ||||||||
3,044 | WRC Media, Inc.(e) | 61 | ||||||||
TOTAL COMMON STOCKS | ||||||||||
(Cost $33,324,825) | $ | 17,410,578 | ||||||||
Dividend | Maturity | |||||||||||||||
Shares | Rate | Date | Value | |||||||||||||
Preferred Stocks – 0.3% | ||||||||||||||||
Dobson Communications Corp.(e) | ||||||||||||||||
3,876 | 6.000 | % | 08/19/16 | $ | 688,889 | |||||||||||
Eagle-Picher Holdings, Inc.* | ||||||||||||||||
200 | 11.750 | 03/01/08 | — | |||||||||||||
GNC Corp.(a) | ||||||||||||||||
2,750 | 12.000 | 12/01/11 | 2,681,250 | |||||||||||||
HLI Operating Co., Inc.* | ||||||||||||||||
184 | 8.000 | 12/31/49 | 9,200 | |||||||||||||
Lucent Technologies Capital Trust I(e) | ||||||||||||||||
1,000 | 7.750 | 03/15/17 | 1,026,150 | |||||||||||||
Spanish Broadcasting Systems, Inc.(a) | ||||||||||||||||
2,994 | 10.750 | 10/15/13 | 3,262,712 | |||||||||||||
Ziff Davis Holdings, Inc.* | ||||||||||||||||
120 | 10.000 | 03/31/10 | 18,000 | |||||||||||||
TOTAL PREFERRED STOCKS | ||||||||||||||||
(Cost $8,589,666) | $ | 7,686,201 | ||||||||||||||
Expiration | ||||||||||||||||
Units | Date | Value | ||||||||||||||
Warrants* — 0.0% | ||||||||||||||||
Advanstar Holdings Corp.(e) | ||||||||||||||||
2,875 | 10/15/11 | $ | 29 | |||||||||||||
ASAT Finance LLC(e) | ||||||||||||||||
2,000 | 11/01/06 | 260 | ||||||||||||||
Avecia Group PLC (Ordinary)(e) | ||||||||||||||||
40,000 | 07/01/10 | 400 | ||||||||||||||
Avecia Group PLC (Preferred)(e) | ||||||||||||||||
40,000 | 07/01/10 | 400 | ||||||||||||||
General Chemical Industrial Product, Inc. | ||||||||||||||||
311 | 04/30/11 | — | ||||||||||||||
General Chemical Industrial Product, Inc. Series B | ||||||||||||||||
231 | 04/30/11 | — | ||||||||||||||
Hayes Lemmerz International, Inc. | ||||||||||||||||
5,598 | 06/30/06 | 280 | ||||||||||||||
IWO Holdings, Inc.(e) | ||||||||||||||||
3,000 | 01/15/11 | 30 | ||||||||||||||
Knology, Inc.(e) | ||||||||||||||||
1,750 | 10/15/07 | 3,123 | ||||||||||||||
Mattress Discounters Holding Corp.(e) | ||||||||||||||||
750 | 07/15/07 | 7 | ||||||||||||||
MDP Acquisitions PLC(e) | ||||||||||||||||
2,500 | 10/01/13 | 50,000 | ||||||||||||||
Merrill Corp. Class A(e) | ||||||||||||||||
1,500 | 05/01/09 | 15 | ||||||||||||||
New World Pasta Co. Class A | ||||||||||||||||
13,364 | 01/01/49 | — | ||||||||||||||
New World Pasta Co. Class B | ||||||||||||||||
14,849 | 01/01/49 | — | ||||||||||||||
Ono Finance PLC | ||||||||||||||||
5,000 | 05/31/09 | 167,162 | ||||||||||||||
1,250 | 05/31/09 | (e) | 86,250 | |||||||||||||
Parmalat SpA(e) | ||||||||||||||||
650 | 12/31/15 | 1,530 | ||||||||||||||
Pliant Corp.(e) | ||||||||||||||||
7,000 | 06/01/10 | 70 | ||||||||||||||
Thermadyne Holdings Corp. | ||||||||||||||||
13,526 | 05/23/06 | 14 | ||||||||||||||
Ziff Davis Holdings, Inc. | ||||||||||||||||
22,000 | 08/12/12 | 2,200 | ||||||||||||||
TOTAL WARRANTS | ||||||||||||||||
(Cost $361,342) | $ | 311,770 | ||||||||||||||
TOTAL INVESTMENTS BEFORE REPURCHASE AGREEMENT — 96.5% | ||||||||||||||||
(Cost $2,158,875,868) | $ | 2,215,026,006 | ||||||||||||||
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Repurchase Agreement(b) – 3.3% | ||||||||||||||||
Joint Repurchase Agreement Account II | ||||||||||||||||
$ | 74,700,000 | 4.784 | % | 05/01/06 | $ | 74,700,000 | ||||||||||
Maturity Value: $74,729,780 | ||||||||||||||||
(Cost $74,700,000) | ||||||||||||||||
TOTAL INVESTMENTS – 99.8% | ||||||||||||||||
(Cost $2,233,575,868) | $ | 2,289,726,006 | ||||||||||||||
Other Assets in Excess of Liabilities – 0.2% | 4,984,028 | |||||||||||||||
Net Assets – 100.0% | $ | 2,294,710,034 | ||||||||||||||
33
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. |
* | Non-income producing security. | |
• | The principal amount of each security is stated in the currency in which the bond is denominated. See below. |
As a% of Total | ||||||||
Currency Description | Market Value | |||||||
DEM | = | German Mark | 0.2 | |||||
EUR | = | Euro Currency | 16.8 | |||||
GBP | = | British Pounds | 1.3 | |||||
USD | = | United States Dollar | 81.7 |
(a) | Pay-in-kind securities. | |
(b) | Joint repurchase agreement was entered into on April 28, 2006. Additional information appears on page 39. | |
(c) | Variable rate security. Interest rate disclosed is that which is in effect at April 30, 2006. | |
(d) | Security is currently in default/non-income producing. | |
(e) | 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 $334,089,332, which represents approximately 14.6% of net assets as of April 30, 2006. | |
(f) | These securities are issued with a zero coupon or dividend rate which increases to the stated rate at a set date in the future. | |
(g) | Security issued with a zero coupon. Income is recognized through the accretion of discount. | |
(h) | Prefunded security. Maturity date disclosed is prefunding date. |
Security ratings disclosed, if any, are issued by Standard & Poor’s/Moody’s Investors Service. A brief description of the ratings is available in the Fund’s Statement of Additional Information. |
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 | Current | Unrealized | ||||||||||||
Purchase Contracts | Date | Settlement Date | Value | Gain | ||||||||||||
British Pound | 05/16/2006 | $ | 41,429 | $ | 43,388 | $ | 1,959 | |||||||||
Euro | 05/16/2006 | 7,592,174 | 7,945,992 | 353,818 | ||||||||||||
TOTAL OPEN FORWARD FOREIGN CURRENCY PURCHASE CONTRACTS | $ | 7,633,603 | $ | 7,989,380 | $ | 355,777 | ||||||||||
Open Forward Foreign Currency | Expiration | Value on | Current | Unrealized | ||||||||||||
Sale Contracts | Date | Settlement Date | Value | Loss | ||||||||||||
British Pound | 05/16/2006 | $ | 29,200,775 | $ | 30,713,002 | $ | 1,512,227 | |||||||||
Euro | 05/16/2006 | 379,973,748 | 400,428,276 | 20,454,528 | ||||||||||||
TOTAL OPEN FORWARD FOREIGN CURRENCY SALE CONTRACTS | $ | 409,174,523 | $ | 431,141,278 | $ | 21,966,755 | ||||||||||
34
Statement of Investments
Principal | Interest | Maturity | ||||||||||||||
Amount• | Rate | Date | Value | |||||||||||||
Sovereign Debt Obligations – 80.1% | ||||||||||||||||
Argentina – 7.8% | ||||||||||||||||
Central Bank of Argentina(a) | ||||||||||||||||
ARS509,760 | 2.000 | % | 02/04/18 | $ | 234,779 | |||||||||||
Republic of Argentina(b) | ||||||||||||||||
7,543,005 | 0.000 | 12/15/35 | 220,198 | |||||||||||||
Republic of Argentina(B) | ||||||||||||||||
2,999,644 | 2.000 | 01/03/16 | 1,621,094 | |||||||||||||
7,411,360 | 5.830 | (a) | 12/31/33 | 2,479,876 | ||||||||||||
EUR645,640 | 1.200 | (c) | 12/31/38 | 305,452 | ||||||||||||
Republic of Argentina (B/B3)(a) | ||||||||||||||||
$ | 4,650,625 | 4.889 | 08/03/12 | 4,363,982 | ||||||||||||
Republic of Argentina(D)(d) | ||||||||||||||||
DEM225,000 | 7.000 | 03/18/49 | 43,359 | |||||||||||||
EUR400,000 | 9.000 | 05/24/49 | 150,761 | |||||||||||||
DEM540,000 | 10.500 | 11/14/49 | 99,708 | |||||||||||||
Republic of Argentina (D/Ca)(d) | ||||||||||||||||
270,000 | 11.750 | 11/13/26 | 50,072 | |||||||||||||
$ | 1,500,000 | 9.750 | 09/19/27 | 465,000 | ||||||||||||
572,400 | 12.000 | 06/19/31 | 184,599 | |||||||||||||
Republic of Argentina (Ca)(d) | ||||||||||||||||
DEM800,000 | 11.750 | 05/20/11 | 157,391 | |||||||||||||
10,376,271 | ||||||||||||||||
Brazil – 2.4% | ||||||||||||||||
Federal Republic of Brazil (BB/Ba3) | ||||||||||||||||
$ | 2,860,000 | 8.750 | 02/04/25 | 3,231,800 | ||||||||||||
Colombia – 2.2% | ||||||||||||||||
Republic of Colombia (BB/Ba2) | ||||||||||||||||
COP2,256,000,000 | 12.000 | 10/22/15 | 1,131,297 | |||||||||||||
$ | 1,550,000 | 8.375 | 02/15/27 | 1,736,000 | ||||||||||||
2,867,297 | ||||||||||||||||
Croatia(a) – 0.0% | ||||||||||||||||
Republic of Croatia (BBB/Baa3) | ||||||||||||||||
28,636 | 5.625 | 07/31/10 | 28,708 | |||||||||||||
Dominican Republic – 1.8% | ||||||||||||||||
Dominican Republic (B/B3) | ||||||||||||||||
53,619 | 9.500 | 09/27/11 | 57,640 | |||||||||||||
1,442,317 | 9.040 | 01/23/18 | 1,572,126 | |||||||||||||
710,000 | 8.625 | (e) | 04/20/27 | 731,300 | ||||||||||||
2,361,066 | ||||||||||||||||
Ecuador – 2.3% | ||||||||||||||||
Republic of Ecuador (CCC+/Caa1)(c) | ||||||||||||||||
1,545,000 | 9.000 | 08/15/30 | 1,599,075 | |||||||||||||
Republic of Ecuador (Caa1) | ||||||||||||||||
1,310,000 | 9.375 | 12/15/15 | 1,414,800 | |||||||||||||
3,013,875 | ||||||||||||||||
El Salvador – 1.7% | ||||||||||||||||
Republic of El Salvador (BB+/Baa3) | ||||||||||||||||
2,130,000 | 8.250 | 04/10/32 | 2,300,400 | |||||||||||||
Guatemala – 3.5% | ||||||||||||||||
Republic of Guatemala (BB-/Ba2) | ||||||||||||||||
1,730,000 | 10.250 | 11/08/11 | 2,050,050 | |||||||||||||
1,430,000 | 9.250 | 08/01/13 | 1,637,350 | |||||||||||||
350,000 | 8.125 | (f) | 10/06/19 | 390,250 | ||||||||||||
535,000 | 8.125 | (e)(f) | 10/06/19 | 589,837 | ||||||||||||
4,667,487 | ||||||||||||||||
Indonesia – 2.4% | ||||||||||||||||
Republic of Indonesia (B+/B2) | ||||||||||||||||
370,000 | 7.500 | (e) | 01/15/16 | 383,875 | ||||||||||||
1,370,000 | 7.500 | 01/15/16 | 1,421,375 | |||||||||||||
1,330,000 | 6.875 | (e) | 03/09/17 | 1,316,700 | ||||||||||||
3,121,950 | ||||||||||||||||
Ivory Coast – 0.1% | ||||||||||||||||
Ivory Coast | ||||||||||||||||
465,500 | 2.000 | 03/30/18 | 116,375 | |||||||||||||
Jamaica – 0.6% | ||||||||||||||||
Government of Jamaica (B/B1) | ||||||||||||||||
703,000 | 9.000 | 06/02/15 | 738,150 | |||||||||||||
Lebanon(a) – 1.4% | ||||||||||||||||
Republic of Lebanon MTN (B-) | ||||||||||||||||
550,000 | 7.830 | (e) | 11/30/09 | 574,750 | ||||||||||||
1,180,000 | 7.830 | 11/30/09 | 1,233,100 | |||||||||||||
1,807,850 | ||||||||||||||||
Mexico – 5.7% | ||||||||||||||||
United Mexican States (A/Baa1) | ||||||||||||||||
MXN71,600,000 | 8.000 | 12/19/13 | 6,270,782 | |||||||||||||
United Mexican States (BBB/Baa1) | ||||||||||||||||
$ | 1,060,000 | 8.300 | 08/15/31 | 1,258,750 | ||||||||||||
7,529,532 | ||||||||||||||||
Nigeria(c) – 1.9% | ||||||||||||||||
Central Bank of Nigeria | ||||||||||||||||
2,500,000 | 6.250 | 11/15/20 | 2,487,500 | |||||||||||||
Panama – 2.7% | ||||||||||||||||
Republic of Panama (BB/Ba1) | ||||||||||||||||
1,690,000 | 7.125 | 01/29/26 | 1,706,900 | |||||||||||||
1,470,000 | 9.375 | 04/01/29 | 1,835,295 | |||||||||||||
3,542,195 | ||||||||||||||||
Peru – 6.3% | ||||||||||||||||
Peruvian Government Bond (BB+) | ||||||||||||||||
PEN6,640,000 | 7.840 | 08/12/20 | 1,975,793 | |||||||||||||
Republic of Peru (BB/Ba3) | ||||||||||||||||
EUR180,000 | 7.500 | 10/14/14 | 249,002 | |||||||||||||
$ | 1,865,000 | 8.375 | 05/03/16 | 2,030,985 | ||||||||||||
4,130,000 | 7.350 | 07/21/25 | 4,088,700 | |||||||||||||
8,344,480 | ||||||||||||||||
35
Statement of Investments (continued)
Principal | Interest | Maturity | ||||||||||||||
Amount• | Rate | Date | Value | |||||||||||||
Sovereign Debt Obligations – (continued) | ||||||||||||||||
Philippines – 5.7% | ||||||||||||||||
Republic of Philippines (BB-/B1) | ||||||||||||||||
$ | 5,685,000 | 9.375 | %(f) | 01/18/12 | $ | 6,615,634 | ||||||||||
80,000 | 9.000 | 02/15/13 | 90,200 | |||||||||||||
510,000 | 10.625 | 03/16/25 | 659,175 | |||||||||||||
200,000 | 7.750 | 01/14/31 | 201,500 | |||||||||||||
7,566,509 | ||||||||||||||||
Poland – 2.1% | ||||||||||||||||
Republic of Poland (A-/A2) | ||||||||||||||||
PLN8,080,000 | 6.000 | % | 05/24/09 | 2,733,772 | ||||||||||||
Russia – 9.1% | ||||||||||||||||
Ministry Finance of Russia (BBB/Baa2) | ||||||||||||||||
$ | 3,900,000 | 3.000 | 05/14/08 | 3,695,250 | ||||||||||||
Russian Federation (BBB/Baa2)(c) | ||||||||||||||||
7,675,000 | 5.000 | 03/31/30 | $ | 8,327,375 | ||||||||||||
12,022,625 | ||||||||||||||||
Serbia(c) – 0.5% | ||||||||||||||||
Republic of Serbia (BB-) | ||||||||||||||||
740,000 | 3.750 | 11/01/24 | 660,450 | |||||||||||||
Turkey – 7.5% | ||||||||||||||||
Republic of Turkey (BB-/Ba3) | ||||||||||||||||
2,440,000 | 11.750 | 06/15/10 | 2,918,240 | |||||||||||||
320,000 | 11.875 | 01/15/30 | 487,200 | |||||||||||||
6,050,000 | 8.000 | 02/14/34 | 6,473,500 | |||||||||||||
9,878,940 | ||||||||||||||||
Ukraine – 1.1% | ||||||||||||||||
Ukraine Government (BB-/B1) | ||||||||||||||||
780,000 | 8.235 | (a) | 08/05/09 | 832,650 | ||||||||||||
650,000 | 7.650 | 06/11/13 | 679,250 | |||||||||||||
1,511,900 | ||||||||||||||||
Uruguay – 2.8% | ||||||||||||||||
Republic of Uruguay (B/B3) | ||||||||||||||||
3,260,000 | 9.250 | 05/17/17 | 3,732,700 | |||||||||||||
Venezuela – 8.1% | ||||||||||||||||
Republic of Venezuela (BB-/B2) | ||||||||||||||||
2,590,000 | 10.750 | 09/19/13 | 3,218,075 | |||||||||||||
7,000,000 | 5.750 | 02/26/16 | 6,499,500 | |||||||||||||
1,100,000 | 6.000 | 12/09/20 | 1,003,750 | |||||||||||||
10,721,325 | ||||||||||||||||
Vietnam – 0.4% | ||||||||||||||||
Socialist Republic of Vietnam (BB-/Ba3) | ||||||||||||||||
50,000 | 6.875 | 01/15/16 | 51,500 | |||||||||||||
430,000 | 6.875 | (e) | 01/15/16 | 442,900 | ||||||||||||
494,400 | ||||||||||||||||
TOTAL SOVEREIGN DEBT OBLIGATIONS | ||||||||||||||||
(Cost $105,985,936) | $ | 105,857,557 | ||||||||||||||
Corporate Debt Obligations – 14.0% | ||||||||||||||||
Brazil – 8.5% | ||||||||||||||||
Brazil Inflation Linked Credit Linked Notes | ||||||||||||||||
$ | 2,900,000 | 0.000 | %(b)(e) | 04/05/07 | $ | 2,678,440 | ||||||||||
BRL4,265,000 | 6.000 | 05/15/09 | 2,152,119 | |||||||||||||
$ | 2,940,000 | 6.000 | 05/15/45 | 1,125,990 | ||||||||||||
5,860,000 | 6.000 | 05/17/45 | 5,246,324 | |||||||||||||
11,202,873 | ||||||||||||||||
Egypt(b) – 2.8% | ||||||||||||||||
Egyptian Pound Credit Linked Note | ||||||||||||||||
130,000 | 0.000 | % | 01/04/07 | 130,052 | ||||||||||||
510,000 | 0.000 | 03/01/07 | 435,688 | |||||||||||||
1,850,000 | 0.000 | 06/08/06 | 1,907,628 | |||||||||||||
1,200,000 | 0.000 | 12/21/06 | 1,201,130 | |||||||||||||
3,674,498 | ||||||||||||||||
Germany – 0.5% | ||||||||||||||||
Aries Vermogensverwaltng (BBB/Baa3) | ||||||||||||||||
500,000 | 9.600 | 10/25/14 | 622,500 | |||||||||||||
Trinidad And Tobago(e) – 0.6% | ||||||||||||||||
National Gas Co. of Trinidad & Tobago Ltd. (BBB+/A3) | ||||||||||||||||
880,000 | 6.050 | 01/15/36 | 799,779 | |||||||||||||
Ukraine – 0.7% | ||||||||||||||||
Nak Naftogaz Ukrainy (Ba2) | ||||||||||||||||
1,000,000 | 8.125 | 09/30/09 | 973,750 | |||||||||||||
Venezuela(e) – 0.9% | ||||||||||||||||
Petrozuata Finance, Inc. (B+/Ba3) | ||||||||||||||||
1,173,520 | 7.630 | 04/01/09 | 1,173,520 | |||||||||||||
TOTAL CORPORATE DEBT OBLIGATIONS | ||||||||||||||||
(Cost $18,653,267) | $ | 18,446,920 | ||||||||||||||
TOTAL INVESTMENTS BEFORE REPURCHASE AGREEMENT – 94.1% | ||||||||||||||||
(Cost $124,639,203) | $ | 124,304,477 | ||||||||||||||
Repurchase Agreement(g) – 4.3% | ||||||||||||||||
United States – 4.3% | ||||||||||||||||
Joint Repurchase Agreement Account II | ||||||||||||||||
$ | 5,700,000 | 4.784 | % | 05/01/06 | $ | 5,700,000 | ||||||||||
Maturity Value: $5,702,272 | ||||||||||||||||
(Cost $5,700,000) | ||||||||||||||||
TOTAL INVESTMENTS – 98.4% | ||||||||||||||||
(Cost $130,339,203) | $ | 130,004,477 | ||||||||||||||
Other Assets in Excess of Liabilities – 1.6% | 2,132,547 | |||||||||||||||
Net Assets – 100.0% | $ | 132,137,024 | ||||||||||||||
36
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) | Security issued with a zero coupon. Income is recognized through the accretion of discount. | |
(c) | Coupon increases periodically based upon a predetermined schedule. Interest rate disclosed is that which is in effect at April 30, 2006. | |
(d) | Security is currently in default/ non-income producing. | |
(e) | 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 $8,691,101, which represents approximately 6.6% of net assets as of April 30, 2006. | |
(f) | Securities with “Call” or “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 39. | |
• | The principal amount of each security is stated in the currency in which bond is denominated. See below. |
Currency Description | ||||||||||
ARS | = | Argentine Peso | EUR | = | Euro Currency | |||||
BRL | = | Brazilian Real | MXN | = | Mexican Peso | |||||
COP | = | Colombian Peso | PEN | = | Peruvian Nuevo Sol | |||||
DEM | = | German Mark | PLN | = | Polish Zloty |
Security ratings disclosed, if any, are issued by Standard & Poor’s/Moody’s Investors Service. A brief description of the ratings is available in the Fund’s Statement of Additional Information. |
Investment Abbreviation: | ||||||
MTN | — | Medium-Term Note | ||||
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 | Current | Unrealized | ||||||||||||
Purchase Contracts | Date | Settlement Date | Value | Gain | ||||||||||||
Euro | 05/24/2006 | $ | 1,004,154 | $ | 1,009,474 | $ | 5,320 | |||||||||
Hungarian Forint | 06/14/2006 | 86,119 | 90,122 | 4,003 | ||||||||||||
TOTAL OPEN FORWARD FOREIGN CURRENCY PURCHASE CONTRACTS | $ | 1,090,273 | $ | 1,099,596 | $ | 9,323 | ||||||||||
Open Forward Foreign Currency | Expiration | Value on | Current | Unrealized | ||||||||||||
Sale Contracts | Date | Settlement Date | Value | Gain (Loss) | ||||||||||||
Brazilian Real | 05/15/2006 | $ | 1,030,000 | $ | 1,083,070 | $ | (53,070 | ) | ||||||||
Euro | 05/24/2006 | 1,958,995 | 1,993,309 | (34,314 | ) | |||||||||||
Mexican Peso | 07/12/2006 | 6,412,173 | 6,398,051 | 14,122 | ||||||||||||
Polish Zloty | 06/13/2006 | 2,672,401 | 2,820,820 | (148,419 | ) | |||||||||||
TOTAL OPEN FORWARD FOREIGN CURRENCY SALE CONTRACTS | $ | 12,073,569 | $ | 12,295,250 | $ | (221,681 | ) | |||||||||
37
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 | ||||||||||||||
Swap | Amount | Termination | received by | made by | Unrealized | |||||||||||
Counterparty | (000s) | Date | the Fund | the Fund | Gain (Loss) | |||||||||||
Salomon Smith Barney | MXN86,000 | 03/10/2008 | 7.98 | % | Mexican Interbank Equilibrium | $ | 3,952 | |||||||||
Salomon Smith Barney | BRL12,000 | 07/01/2008 | 14.66 | % | Brazilian Interbank Lending Rate | (14,184 | ) | |||||||||
Salomon Smith Barney | CLP758,000 | 02/10/2011 | 3.32 | % | Brazilian Interbank Lending Rate | 5,537 | ||||||||||
TOTAL | $ | (4,695 | ) | |||||||||||||
TOTAL RETURN SWAP CONTRACTS
Upfront | ||||||||||||||||||
Payment | ||||||||||||||||||
Notional | Payments | made by | ||||||||||||||||
Swap | Amount | Termination | Reference | received by | the Fund | Unrealized | ||||||||||||
Counterparty | (000s) | Date | Security | the Fund | (000s) | Gain | ||||||||||||
Merrill Lynch | BRL2,203 | 5/15/2045 | Brazilian Sovereign Bond* | Inflation Linked Brazilian Local Bonds Index + 6.00% | $1,030 | $ | 68,575 | |||||||||||
38
ADDITIONAL INVESTMENT INFORMATION (continued) |
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 | |||
High Yield | $ | 74,700,000 | ||
Emerging Markets Debt | 5,700,000 | |||
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 | ||||||||||
39
Statements of Assets and Liabilities
Global | High Yield | Emerging Markets | |||||||||||||||
Income Fund | Fund | Debt Fund | |||||||||||||||
Assets: | |||||||||||||||||
Investment in securities, at value (identified cost $506,440,511, $2,233,575,868 and $130,339,203, respectively) | $ | 509,694,984 | $ | 2,289,726,006 | $ | 130,004,477 | |||||||||||
Cash | 59 | — | — | ||||||||||||||
Foreign currencies, at value (identified cost $4,370,187, $3,876,083 and $91,065, respectively)(b) | 4,402,571 | 3,904,713 | 91,049 | ||||||||||||||
Receivables: | |||||||||||||||||
Interest and dividends, at value (net of allowances) | 5,147,705 | 45,411,788 | 3,522,734 | ||||||||||||||
Forward foreign currency exchange contracts, at value | 11,729,095 | 355,777 | 23,445 | ||||||||||||||
Fund shares sold | 2,667,590 | 8,746,041 | 598,115 | ||||||||||||||
Investment securities sold, at value | 123,255 | 2,807,859 | 3,367,183 | ||||||||||||||
Swap contracts, at value | 1,344,583 | — | 78,064 | ||||||||||||||
Variation margin, at value | 895,689 | — | — | ||||||||||||||
Reimbursement from investment adviser | 37,695 | 43,653 | 79,725 | ||||||||||||||
Other assets | 10,347 | 163,754 | 9,321 | ||||||||||||||
Total assets | 536,053,573 | 2,351,159,591 | 137,774,113 | ||||||||||||||
Liabilities: | |||||||||||||||||
Due to custodian | — | �� | 689,075 | 781,245 | |||||||||||||
Payables: | |||||||||||||||||
Forward foreign currency exchange contracts, at value | 19,500,647 | 21,966,755 | 235,803 | ||||||||||||||
Investment securities purchased, at value | 1,215,571 | 21,187,527 | 4,153,943 | ||||||||||||||
Fund shares repurchased | 431,749 | 7,355,857 | 167,317 | ||||||||||||||
Income distribution | — | 3,033,152 | 45,253 | ||||||||||||||
Amounts owed to affiliates | 350,501 | 1,904,356 | 108,872 | ||||||||||||||
Swap contracts, at value | 1,274,971 | — | 14,184 | ||||||||||||||
Due to swap counterparty | 4,058 | — | — | ||||||||||||||
Accrued expenses | 174,945 | 312,835 | 130,472 | ||||||||||||||
Total liabilities | 22,952,442 | 56,449,557 | 5,637,089 | ||||||||||||||
Net Assets: | |||||||||||||||||
Paid-in capital | 577,978,751 | 2,245,890,873 | 129,732,544 | ||||||||||||||
Accumulated undistributed (distributions in excess of) net investment income | 854,224 | 2,341,269 | (249,782 | ) | |||||||||||||
Accumulated net realized gain (loss) on investment, options, futures, swaps and foreign currency related transactions | (61,938,045 | ) | 11,601,640 | 3,116,073 | |||||||||||||
Net unrealized gain (loss) on investments, options, futures, swaps and translation of assets and liabilities denominated in foreign currencies | (3,793,799 | ) | 34,876,252 | (461,811 | ) | ||||||||||||
NET ASSETS | $ | 513,101,131 | $ | 2,294,710,034 | $ | 132,137,024 | |||||||||||
Net Assets: | |||||||||||||||||
Class A | $ | 189,321,165 | $ | 1,175,534,306 | $ | 68,878,217 | |||||||||||
Class B | 20,344,593 | 101,001,829 | — | ||||||||||||||
Class C | 6,592,920 | 80,014,276 | — | ||||||||||||||
Institutional | 296,372,788 | 935,853,424 | 63,258,807 | ||||||||||||||
Service | 469,665 | 2,306,199 | — | ||||||||||||||
Shares outstanding: | |||||||||||||||||
Class A | 14,955,352 | 147,062,700 | 5,920,118 | ||||||||||||||
Class B | 1,612,946 | 12,619,906 | — | ||||||||||||||
Class C | 523,760 | 10,008,133 | — | ||||||||||||||
Institutional | 23,447,176 | 116,943,491 | 5,430,774 | ||||||||||||||
Service | 37,187 | 288,780 | — | ||||||||||||||
Total shares outstanding, $.001 par value (unlimited number of shares authorized) | 40,576,421 | 286,923,010 | 11,350,892 | ||||||||||||||
Net asset value, offering and redemption price per share:(a) | |||||||||||||||||
Class A | $12.66 | $ | 7.99 | $ | 11.63 | ||||||||||||
Class B | 12.61 | 8.00 | — | ||||||||||||||
Class C | 12.59 | 7.99 | — | ||||||||||||||
Institutional | 12.64 | 8.00 | 11.65 | ||||||||||||||
Service | 12.63 | 7.99 | — | ||||||||||||||
(a) | Maximum public offering price per share for Class A shares of the Global Income, High Yield and Emerging Markets Debt Funds (NAV per share multiplied by 1.0471) is $13.26, $8.37 and $12.18, 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. |
(b) | Includes restricted cash of $999,418 related to initial margin requirements and collateral on futures transactions for the Global Income Fund. |
40
Statements of Operations
Global | High Yield | Emerging Markets | |||||||||||||||
Income Fund | Fund | Debt Fund | |||||||||||||||
Investment income: | |||||||||||||||||
Interest (net of allowances)(a) | $ | 7,487,703 | $ | 90,317,007 | $ | 3,393,955 | |||||||||||
Dividends | 10,201 | 221,633 | — | ||||||||||||||
Total income | $ | 7,497,904 | 90,538,640 | 3,393,955 | |||||||||||||
Expenses: | |||||||||||||||||
Management fees | 1,346,074 | 7,411,036 | 418,624 | ||||||||||||||
Distribution and Service fees(b) | 359,048 | 2,190,496 | 68,182 | ||||||||||||||
Transfer Agent fees(b) | 201,899 | 1,157,846 | 53,659 | ||||||||||||||
Custody and accounting fees | 176,148 | 249,845 | 88,192 | ||||||||||||||
Professional fees | 37,857 | 40,863 | 32,006 | ||||||||||||||
Registration fees | 37,811 | 71,113 | 41,288 | ||||||||||||||
Printing fees | 31,957 | 66,229 | 23,054 | ||||||||||||||
Trustee fees | 4,318 | 4,318 | 4,318 | ||||||||||||||
Service share fees | 1,170 | 4,915 | — | ||||||||||||||
Other | 20,760 | 85,141 | 75,057 | ||||||||||||||
Total expenses | 2,217,042 | 11,281,802 | 804,380 | ||||||||||||||
Less — expense reductions | (309,272 | ) | (319,732 | ) | (259,582 | ) | |||||||||||
Net Expenses | 1,907,770 | 10,962,070 | 544,798 | ||||||||||||||
NET INVESTMENT INCOME | 5,590,134 | 79,576,570 | 2,849,157 | ||||||||||||||
Realized and unrealized gain (loss) on investment, options, futures, swap and foreign currency related transactions: | |||||||||||||||||
Net realized gain (loss) from: | |||||||||||||||||
Investment transactions | (749,318 | ) | 6,421,311 | 3,030,551 | |||||||||||||
Options written | 219,688 | — | — | ||||||||||||||
Futures transactions | 1,761,554 | — | 70,854 | ||||||||||||||
Swap contracts | 56,547 | — | 97,848 | ||||||||||||||
Foreign currency related transactions | (6,028,580 | ) | 21,662,887 | 13,246 | |||||||||||||
Net change in unrealized gain (loss) on: | |||||||||||||||||
Investments | 4,624,193 | 57,629,810 | (1,247,259 | ) | |||||||||||||
Options written | 130,858 | — | — | ||||||||||||||
Futures | (23,912 | ) | — | (55,966 | ) | ||||||||||||
Swap contracts | 2,147 | — | 73,123 | ||||||||||||||
Translation of assets and liabilities denominated in foreign currencies | (5,938,721 | ) | (34,286,061 | ) | (207,399 | ) | |||||||||||
Net realized and unrealized gain (loss) on investment, options, futures, swap and foreign currency related transactions | (5,945,544 | ) | 51,427,947 | 1,774,998 | |||||||||||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | (355,410 | ) | $ | 131,004,517 | $ | 4,624,155 | ||||||||||
(a) | Net of $2,454 in foreign withholding tax for the High Yield Fund. |
(b) | Class specific Distribution and Service and Transfer Agent fees were as follows: |
Distribution and Service Fees | Transfer Agent Fees | |||||||||||||||||||||||||||||||
Fund | Class A | Class B | Class C | Class A | Class B | Class C | Institutional | Service | ||||||||||||||||||||||||
Global Income | $ | 211,048 | $ | 112,540 | $ | 35,460 | $ | 135,071 | $ | 18,006 | $ | 5,674 | $ | 43,054 | $ | 94 | ||||||||||||||||
High Yield | 1,304,296 | 510,616 | 375,584 | 834,749 | 81,698 | 60,094 | 180,912 | 393 | ||||||||||||||||||||||||
Emerging Markets Debt | 68,182 | — | — | 43,637 | — | — | 10,022 | — |
41
Statements of Changes in Net Assets
Global Income Fund | |||||||||||
For the Six | |||||||||||
Months Ended | For the | ||||||||||
April 30, 2006 | Year Ended | ||||||||||
(Unaudited) | October 31, 2005 | ||||||||||
From operations: | |||||||||||
Net investment income | $ | 5,590,134 | $ | 8,503,204 | |||||||
Net realized gain (loss) on investment, options, futures, swap and foreign currency related transactions | (4,740,109 | ) | 29,826,002 | ||||||||
Net change in unrealized gain (loss) on investments, options, futures, swaps and translation of assets and liabilities denominated in foreign currencies | (1,205,435 | ) | (23,407,913 | ) | |||||||
Net increase (decrease) in net assets resulting from operations | (355,410 | ) | 14,921,293 | ||||||||
Distributions to shareholders: | |||||||||||
From net investment income | |||||||||||
Class A Shares | (7,589,807 | ) | (12,637,043 | ) | |||||||
Class B Shares | (916,461 | ) | (1,906,896 | ) | |||||||
Class C Shares | (275,130 | ) | (615,553 | ) | |||||||
Institutional Shares | (9,682,049 | ) | (10,092,583 | ) | |||||||
Service Shares | (20,199 | ) | (39,718 | ) | |||||||
From net realized gains | |||||||||||
Class A Shares | — | — | |||||||||
Institutional Shares | — | — | |||||||||
Total distributions to shareholders | (18,483,646 | ) | (25,291,793 | ) | |||||||
From share transactions: | |||||||||||
Proceeds from sales of shares | 204,769,839 | 294,640,539 | |||||||||
Reinvestment of dividends and distributions | 16,539,291 | 21,891,808 | |||||||||
Cost of shares repurchased(a) | (111,142,724 | ) | (210,384,450 | ) | |||||||
Net increase (decrease) in net assets resulting from share transactions | 110,166,406 | 106,147,897 | |||||||||
TOTAL INCREASE (DECREASE) | 91,327,350 | 95,777,397 | |||||||||
Net assets: | |||||||||||
Beginning of period | 421,773,781 | 325,996,384 | |||||||||
End of period | $ | 513,101,131 | $ | 421,773,781 | |||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | 854,224 | $ | 13,747,736 | |||||||
(a) | Net of redemption fees, remitted to the Funds as follows: |
For the Six | ||||||||
Months Ended | For the | |||||||
April 30, 2006 | Year Ended | |||||||
Fund | (Unaudited) | October 31, 2005 | ||||||
Global Income | $ | 3,779 | $ | 6,229 | ||||
High Yield | 38,496 | 63,737 | ||||||
Emerging Markets Debt | 18,788 | 2,083 | ||||||
42
High Yield Fund | Emerging Markets Debt Fund | |||||||||||||||
For the Six | For the Six | |||||||||||||||
Months Ended | Months Ended | For the | ||||||||||||||
April 30, 2006 | For the Year Ended | April 30, 2006 | Year Ended | |||||||||||||
(Unaudited) | October 31, 2005 | (Unaudited) | October 31, 2005 | |||||||||||||
$ | 79,576,570 | $ | 158,592,451 | $ | 2,849,157 | $ | 2,662,733 | |||||||||
28,084,198 | 45,239,247 | 3,212,499 | 3,264,243 | |||||||||||||
23,343,749 | (102,730,743 | ) | (1,437,501 | ) | 96,790 | |||||||||||
131,004,517 | 101,100,955 | 4,624,155 | 6,023,766 | |||||||||||||
(39,410,534 | ) | (89,921,358 | ) | (1,692,311 | ) | (880,892 | ) | |||||||||
(3,489,833 | ) | (8,286,780 | ) | — | — | |||||||||||
(2,560,371 | ) | (4,972,722 | ) | — | — | |||||||||||
(35,915,899 | ) | (68,948,809 | ) | (1,676,383 | ) | (1,670,378 | ) | |||||||||
(73,030 | ) | (125,665 | ) | — | — | |||||||||||
— | — | (1,535,731 | ) | (297,553 | ) | |||||||||||
— | — | (1,540,548 | ) | (948,324 | ) | |||||||||||
(81,449,667 | ) | (172,255,334 | ) | (6,444,973 | ) | (3,797,147 | ) | |||||||||
626,493,201 | 1,034,540,842 | 77,110,314 | 52,373,706 | |||||||||||||
60,822,536 | 122,358,326 | 5,856,530 | 3,703,776 | |||||||||||||
(453,226,622 | ) | (1,178,657,417 | ) | (24,297,745 | ) | (8,812,947 | ) | |||||||||
234,089,115 | (21,758,249 | ) | 58,669,099 | 47,264,535 | ||||||||||||
283,643,965 | (92,912,628 | ) | 56,848,281 | 49,491,154 | ||||||||||||
2,011,066,069 | 2,103,978,697 | 75,288,743 | 25,797,589 | |||||||||||||
$ | 2,294,710,034 | $ | 2,011,066,069 | $ | 132,137,024 | $ | 75,288,743 | |||||||||
$ | 2,341,269 | $ | 4,214,366 | $ | (249,782 | ) | $ | 269,755 | ||||||||
43
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 the Goldman Sachs Global Income Fund (“Global Income”), Goldman Sachs High Yield Fund (“High Yield”) and Goldman Sachs Emerging Markets Debt Fund (“Emerging Markets Debt”), (collectively, the “Funds” or individually a “Fund”). High Yield is a diversified portfolio of the Trust whereas Global Income and Emerging Markets Debt are registered as non-diversified portfolios. The Global Income and High Yield Funds offer five classes of shares — Class A, Class B, Class C, Institutional and Service. Emerging Markets Debt offers two classes of shares — Class A and Institutional. Class A shares of Global Income, High Yield and Emerging Markets Debt are sold with front-end sales charges of up to 4.50%. Class B shares of Global Income and High Yield are sold with contingent deferred sales charges that decline from 5.00% to zero, depending upon the period of time the shares are held. Class C shares of Global Income and High Yield are sold with a contingent deferred sales charge of 1% during the first 12 months. Such sales loads are paid directly to Goldman, Sachs & Co. (“Goldman Sachs”) as distributor of the Funds. Institutional Class shares of Global Income, High Yield and Emerging Markets Debt, and Service Class Shares of Global Income and High Yield, are not subject to a sales charge.
2. SIGNIFICANT ACCOUNTING POLICIES |
The following is a summary of 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. Investments in securities traded on a U.S. or foreign securities exchange (or the Nasdaq system) are valued daily at their last sales price or official closing price on the principal exchange or system on which they are traded. If no sale occurs, securities are valued at the last bid price. Portfolio securities for which market quotations are not readily available or are deemed not to reflect market value by the investment adviser are valued based on yield equivalents, pricing matrices or other sources, under valuation procedures established by the Trust’s Board of Trustees.
B. Security Transactions and Investment Income — Security transactions are reflected as of the trade date. Realized gains and losses on sales of portfolio securities are calculated using the identified-cost basis. Interest income is recorded on the basis of interest accrued (net of foreign withholding taxes, if any, which are reduced by any amounts reclaimable by the Funds, where applicable), premium amortized and discount accreted. Dividend income is recorded on the ex-dividend date,
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
net of foreign withholding taxes if any, which are reduced by any amounts reclaimable by the Funds, where applicable. 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.
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 Distribution 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 income and capital gains to its shareholders. Accordingly, no federal tax provisions are required. Dividends and distributions to shareholders are recorded on the ex-dividend date. Income distributions for High Yield and Emerging Markets Debt are declared daily and paid monthly. Income distributions for Global Income are declared and paid monthly. Capital gain distributions, if any, are declared and paid annually for all Funds.
E. Foreign Currency Translations — The books and records of the Funds are maintained in U.S. dollars. Amounts denominated in foreign currencies are translated into U.S. dollars on the following basis: (i) investment valuations, foreign currency and other assets and liabilities initially expressed in foreign currencies are converted each business day into U.S. dollars based upon current exchange rates; and (ii) purchases and sales of foreign investments, income and expenses are converted into U.S. dollars based upon currency exchange rates prevailing on the respective dates of such transactions.
Notes to Financial Statements (continued)
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
F. Segregation Transactions — As set forth in the prospectus, the Funds may enter into certain derivative transactions to seek to increase total return. Forward foreign currency exchange contracts, futures contracts, written options, swap contracts, mortgage dollar rolls, when-issued securities and forward commitments represent examples of such transactions. As a result of entering into those transactions, the Funds are 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.
G. Repurchase Agreements — Repurchase agreements involve the purchase of securities subject to the seller’s agreement to repurchase them at a mutually agreed upon date and price. During the term of a repurchase agreement, the value of the underlying securities held as collateral on behalf of the Funds, including accrued interest, is required to exceed the value of the repurchase agreement, including accrued interest. If the seller defaults or becomes insolvent, realization of the collateral by the Funds may be delayed or limited and there may be a decline in the value of the collateral during the period while the Funds seek to assert their rights. The underlying securities for all repurchase agreements are held in safekeeping at the Funds’ custodian or designated subcustodians under triparty repurchase agreements.
H. Options — When Global Income writes call or put options, an amount equal to the premium received is recorded as a liability and is subsequently marked-to-market to reflect the current market value of the option written. When a written option expires on its stipulated expiration date or the Fund enters into a closing purchase transaction, the Fund realizes a gain or loss without regard to any unrealized gain or loss on the underlying security, and the liability related to such option is extinguished. When a written call option is exercised, the Fund realizes a gain or loss from the sale of the underlying security, and the proceeds of the sale are increased by the premium originally received. When a written put option is exercised, the amount of the premium originally received will reduce the cost of the security which the Fund purchases upon exercise. There is a risk of loss from a change in value of such options which may exceed the related premiums received.
I. Futures Contracts — The Funds may enter into futures transactions to hedge against changes in interest rates, securities prices, currency exchange rates or to seek to increase total return. Futures contracts are valued at the last settlement price, or in absence of a sale, the last bid at the end of each day on the board of trade or exchange upon which they are traded. Upon entering into a futures contract, the Funds are required to deposit with a broker or the Funds’ custodian bank on behalf of the broker an amount of cash or securities equal to the minimum “initial margin” requirement of the associated futures exchange. Subsequent payments for futures contracts (“variation margin”) are paid or received by the Funds, dependent on the daily fluctuations in the value of the contracts, and are recorded for financial reporting purposes as unrealized gains or losses. When contracts are closed, the Funds realize a gain or loss which is reported in the Statement of Operations.
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
directly correlate with changes in the value of the underlying securities. This risk may decrease the effectiveness of the Funds’ strategies and potentially result in a loss.
J. Forward Foreign Currency Exchange Contracts — The Funds may enter into forward foreign currency exchange contracts for the purchase or sale of a specific foreign currency at a fixed price on a future date as a hedge or cross-hedge against either specific transactions or portfolio positions. The Funds may also purchase and sell forward contracts to seek to increase total return. All commitments are “marked-to-market” daily at the applicable translation rates and any resulting unrealized gains or losses are recorded in the Funds’ financial statements. The Funds record realized gains or losses at the time a forward contract is offset by entry into a closing transaction or extinguished by delivery of the currency. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar.
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 swap 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.
L. 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.
3. AGREEMENTS |
GSAM, an affiliate of Goldman Sachs, serves as investment adviser pursuant to an Investment Management Agreement with the Trust on behalf of High Yield and Emerging Markets Debt, and Goldman Sachs Asset Management International (“GSAMI”), an affiliate of Goldman Sachs serves as investment adviser pursuant to an Investment Management Agreement with the Trust on behalf of Global Income (the Investment Management Agreements with GSAM and GSAMI are collectively referred to herein as the “Agreements”). Under the Agreements, the respective investment adviser manages the Funds, subject to the general supervision of the Trust’s Board of Trustees.
Notes to Financial Statements (continued)
3. AGREEMENTS (continued) |
As compensation for the services rendered pursuant to the Agreements, the assumption of the expenses related thereto and administering the Funds’ business affairs, including providing facilities, the investment advisers are entitled to a fee (“Management fee”), computed daily and payable monthly, equal to an annual percentage rate of each Fund’s average daily net assets.
Average Daily | ||||||
Fund | Net Assets | Fee | ||||
Global Income | Up to $1 billion | 0.65 | % | |||
Next $1 billion | 0.59 | |||||
Over $2 billion | 0.56 | |||||
High Yield | Up to $2 billion | 0.70 | ||||
Over $2 billion | 0.63 | |||||
Emerging Markets Debt | Up to $2 billion | 0.80 | ||||
Over $2 billion | 0.72 | |||||
Prior to July 1, 2005, the Funds’ Management fees, as an annual percentage rate of average daily net assets, were as follows:
Management | ||||
Fund | Fee | |||
Global Income | 0.65 | % | ||
High Yield | 0.70 | |||
Emerging Markets Debt | 0.80 | |||
3. AGREEMENTS (continued) |
Goldman Sachs serves as Distributor of the shares of the Funds pursuant to a Distribution Agreement. Goldman Sachs may retain a portion of the Class A sales load and Class B and Class C contingent deferred sales charges. During the six months ended April 30, 2006, Goldman Sachs advised the Funds that it retained the following approximate amounts:
Contingent Deferred | ||||||||||||
Sales Load | Sales Charge | |||||||||||
Fund | Class A | Class B | Class C | |||||||||
Global Income | $ | 7,600 | $ | — | $ | — | ||||||
High Yield | 139,500 | — | 1,200 | |||||||||
Emerging Markets Debt | 13,500 | — | — | |||||||||
All Shares of the Funds charge a 2% redemption fee on the redemption of shares (including by exchange) held for 30 calendar days or less. Redemption fees are reimbursed to the Funds and reflected as a reduction in share redemptions on the Statement of Changes in Net Assets. Redemption fees increase to Paid in Capital and are allocated to each share class of the Fund on a pro rata basis.
Management | Other Expense | Custody Fee | Total Expense | |||||||||||||
Fund | Fee Waiver | Reimbursement | Reduction | Reductions | ||||||||||||
Global Income | $ | — | $ | 300 | $ | 9 | $ | 309 | ||||||||
High Yield | 16 | 262 | 42 | 320 | ||||||||||||
Emerging Markets Debt | — | 241 | 19 | 260 | ||||||||||||
As of 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 | ||||||||||||
Global Income | $ | 257 | $ | 58 | $ | 36 | $ | 351 | ||||||||
High Yield | 1,304 | 390 | 210 | 1,904 | ||||||||||||
Emerging Markets Debt | 84 | 14 | 11 | 109 | ||||||||||||
Notes to Financial Statements (continued)
4. PORTFOLIO SECURITIES TRANSACTIONS |
The cost of purchases and proceeds from sales and maturities of long-term securities for the six months ended April 30, 2006, were as follows:
Sales and | Sales and Maturities | |||||||||||||||
Purchases of | Purchases | Maturities of | (Excluding | |||||||||||||
U.S. Government | (Excluding | U.S. Government | U.S. Government | |||||||||||||
and Agency | U.S. Government and | and Agency | and Agency | |||||||||||||
Fund | Obligations | Agency Obligations) | Obligations | Obligations) | ||||||||||||
Global Income | $ | 48,413,535 | $ | 231,702,225 | $ | 29,124,997 | $ | 107,297,361 | ||||||||
High Yield | — | 702,627,319 | — | 456,733,047 | ||||||||||||
Emerging Markets Debt | 2,741,754 | 131,412,971 | 1,519,725 | 73,944,421 | ||||||||||||
For the six months ended April 30, 2006, the Emerging Markets Debt Fund paid commissions of approximately $200 in connection with futures contracts entered into with Goldman Sachs.
5. LINE OF CREDIT FACILITY |
The Funds participate in a $350,000,000 committed, unsecured revolving line of credit facility together with other registered investment companies having management of investment advisory agreements with GSAM. Under the most restrictive arrangement, the Funds must own securities having a market value in excess of 300% of each fund’s total bank borrowings. This facility is to be used solely for temporary or emergency purposes. The interest rate on borrowings is based on the federal funds rate. The committed facility also requires a fee to be paid by the Funds based on the amount of the commitment that has not been utilized. During the six months ended April 30, 2006, the Funds did not have any borrowings under this facility.
6. TAX INFORMATION |
As of the Funds’ most recent fiscal year end, October 31, 2005, the Funds’ capital loss carryforwards and certain timing differences on a tax basis were as follows:
Global Income | High Yield | Emerging Markets Debt | |||||||||||
Capital loss carryforward:* | |||||||||||||
Expiring 2010 | $ | (26,255,374 | ) | $ | — | $ | — | ||||||
Expiring 2011 | (28,737,453 | ) | (3,216,115 | ) | — | ||||||||
Expiring 2012 | (1,611,665 | ) | — | — | |||||||||
Total capital loss carryforward | $ | (56,604,492 | ) | $ | (3,216,115 | ) | $ | — | |||||
Timing differences (income distribution payable and swaps receivable) | $ | (673,365 | ) | $ | (5,400,373 | ) | $ | (31,902 | ) | ||||
* | Expiration occurs on October 31 of the year indicated. |
6. TAX INFORMATION (continued) |
At April 30, 2006, the Funds’ aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
Global Income | High Yield | Emerging Markets Debt | ||||||||||
Tax cost | $ | 510,790,137 | $ | 2,233,725,516 | $ | 130,341,531 | ||||||
Gross unrealized gain | 114,231,641 | 130,024,964 | 16,970,534 | |||||||||
Gross unrealized loss | (115,326,794 | ) | (74,024,474 | ) | (17,307,588 | ) | ||||||
Net unrealized security gain (loss) | $ | (1,095,153 | ) | $ | 56,000,490 | $ | (337,054 | ) | ||||
The difference between book-basis and tax-basis unrealized gains (losses) is attributable primarily to wash sales, net mark to market gain on futures and forward foreign currency contracts recognized for tax purposes and differing treatment of market premium amortization and discount accretion.
7. OTHER MATTERS |
As of April 30, 2006, the Goldman Sachs Balanced Strategy Portfolio, Goldman Sachs Growth Strategy Portfolio and the Goldman Sachs Growth and Income Strategy Portfolio were beneficial owners of approximately 6%, 12% and 33% of the Global Income Fund, respectively.
Legal Proceedings — Purported class and derivative action lawsuits were filed in April and May 2004 in the United States District Court for the Southern District of New York against 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, GSAMI, Goldman Sachs and certain related parties including certain Goldman Sachs Funds and the Trustees and Officers of the Trust. These Funds along with certain 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 |
Global Income Fund | ||||||||||||||||
For the Six Months Ended | ||||||||||||||||
April 30, 2006 | For the Year Ended | |||||||||||||||
(Unaudited) | October 31, 2005 | |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 4,238,085 | $ | 54,310,667 | 5,506,979 | $ | 74,333,167 | ||||||||||
Reinvestment of dividends and distributions | 532,833 | 6,883,347 | 838,199 | 11,271,419 | ||||||||||||
Shares converted from Class B(a) | 26,855 | 354,496 | 35,018 | 472,887 | ||||||||||||
Shares repurchased | (2,949,187 | ) | (38,220,984 | ) | (5,602,085 | ) | (75,652,596 | ) | ||||||||
1,848,586 | 23,327,526 | 778,111 | 10,424,877 | |||||||||||||
Class B Shares | ||||||||||||||||
Shares sold | 31,218 | 402,009 | 126,039 | 1,694,577 | ||||||||||||
Reinvestment of dividends and distributions | 57,052 | 734,775 | 115,459 | 1,547,652 | ||||||||||||
Shares converted to Class A(a) | (26,978 | ) | (354,496 | ) | (35,172 | ) | (472,887 | ) | ||||||||
Shares repurchased | (328,017 | ) | (4,232,406 | ) | (623,523 | ) | (8,390,953 | ) | ||||||||
(266,725 | ) | (3,450,118 | ) | (417,197 | ) | (5,621,611 | ) | |||||||||
Class C Shares | ||||||||||||||||
Shares sold | 81,274 | 1,044,624 | 227,163 | 3,067,526 | ||||||||||||
Reinvestment of dividends and distributions | 16,150 | 207,590 | 37,222 | 498,032 | ||||||||||||
Shares repurchased | (208,759 | ) | (2,719,700 | ) | (252,443 | ) | (3,388,520 | ) | ||||||||
(111,335 | ) | (1,467,486 | ) | 11,942 | 177,038 | |||||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 11,619,749 | 148,968,814 | 16,030,460 | 215,416,614 | ||||||||||||
Reinvestment of dividends and distributions | 675,292 | 8,706,314 | 638,411 | 8,557,970 | ||||||||||||
Shares repurchased | (5,048,662 | ) | (65,946,479 | ) | (9,082,740 | ) | (122,816,175 | ) | ||||||||
7,246,379 | 91,728,649 | 7,586,131 | 101,158,409 | |||||||||||||
Service Shares | ||||||||||||||||
Shares sold | 3,386 | 43,725 | 9,461 | 128,655 | ||||||||||||
Reinvestment of dividends and distributions | 563 | 7,265 | 1,247 | 16,735 | ||||||||||||
Shares repurchased | (1,811 | ) | (23,155 | ) | (10,154 | ) | (136,206 | ) | ||||||||
2,138 | 27,835 | 554 | 9,184 | |||||||||||||
NET INCREASE (DECREASE) | 8,719,043 | $ | 110,166,406 | 7,959,541 | $ | 106,147,897 | ||||||||||
(a) | Class B Shares automatically convert into Class A Shares at the end of the calendar quarter that is eight years after the initial purchase date of either the Fund or another Goldman Sachs Fund. |
High Yield Fund | Emerging Markets Debt Fund | |||||||||||||||||||||||||||||||
For the Six Months Ended | For the Six Months Ended | |||||||||||||||||||||||||||||||
April 30, 2006 | For the Year Ended | April 30, 2006 | For the Year Ended | |||||||||||||||||||||||||||||
(Unaudited) | October 31, 2005 | (Unaudited) | October 31, 2005 | |||||||||||||||||||||||||||||
Shares | Dollars | Shares | Dollars | Shares | Dollars | Shares | Dollars | |||||||||||||||||||||||||
43,334,849 | $ | 343,431,349 | 59,918,904 | $ | 482,923,803 | 4,705,541 | $ | 55,822,339 | 2,559,829 | $ | 29,690,378 | |||||||||||||||||||||
3,942,001 | 31,253,514 | 8,288,463 | 66,555,057 | 227,824 | 2,651,604 | 95,808 | 1,090,595 | |||||||||||||||||||||||||
205,640 | 1,632,070 | 215,394 | 1,716,843 | — | — | — | — | |||||||||||||||||||||||||
(29,354,630 | ) | (231,943,364 | ) | (76,783,213 | ) | (614,605,307 | ) | (1,935,488 | ) | (22,647,988 | ) | (217,414 | ) | (2,465,633 | ) | |||||||||||||||||
18,127,860 | 144,373,569 | (8,360,452 | ) | (63,409,604 | ) | 2,997,877 | 35,825,955 | 2,438,223 | 28,315,340 | |||||||||||||||||||||||
1,110,034 | 8,794,342 | 3,339,129 | 26,994,815 | — | — | — | — | |||||||||||||||||||||||||
310,074 | 2,460,158 | 703,838 | 5,657,069 | — | — | — | — | |||||||||||||||||||||||||
(205,381 | ) | (1,632,070 | ) | (215,124 | ) | (1,716,843 | ) | — | — | — | — | |||||||||||||||||||||
(1,977,828 | ) | (15,660,920 | ) | (3,438,905 | ) | (27,602,836 | ) | — | — | — | — | |||||||||||||||||||||
(763,101 | ) | (6,038,490 | ) | 338,938 | 3,332,205 | — | — | — | — | |||||||||||||||||||||||
1,880,535 | 14,874,136 | 4,483,137 | 36,110,747 | — | — | — | — | |||||||||||||||||||||||||
214,158 | 1,697,429 | 424,989 | 3,409,990 | — | — | — | — | |||||||||||||||||||||||||
(1,380,544 | ) | (10,908,090 | ) | (2,566,081 | ) | (20,585,642 | ) | — | — | — | — | |||||||||||||||||||||
714,149 | 5,663,475 | 2,342,045 | 18,935,095 | — | — | — | — | |||||||||||||||||||||||||
32,702,406 | 258,708,332 | 60,952,919 | 487,770,294 | 1,813,663 | 21,287,975 | 1,980,002 | 22,683,328 | |||||||||||||||||||||||||
3,197,203 | 25,377,139 | 5,806,502 | 46,697,529 | 275,011 | 3,204,926 | 231,745 | 2,613,181 | |||||||||||||||||||||||||
(24,514,810 | ) | (194,657,904 | ) | (64,058,550 | ) | (515,581,178 | ) | (141,203 | ) | (1,649,757 | ) | (550,280 | ) | (6,347,314 | ) | |||||||||||||||||
11,384,799 | 89,427,567 | 2,700,871 | 18,886,645 | 1,947,471 | 22,843,144 | 1,661,467 | 18,949,195 | |||||||||||||||||||||||||
86,860 | 685,042 | 91,663 | 741,183 | — | — | — | — | |||||||||||||||||||||||||
4,327 | 34,296 | 4,827 | 38,681 | — | — | — | — | |||||||||||||||||||||||||
(7,146 | ) | (56,344 | ) | (35,156 | ) | (282,454 | ) | — | — | — | — | |||||||||||||||||||||
84,041 | 662,994 | 61,334 | 497,410 | — | — | — | — | |||||||||||||||||||||||||
29,547,748 | $ | 234,089,115 | (2,867,264 | ) | $ | (21,758,249 | ) | 4,945,348 | $ | 58,669,099 | 4,099,690 | $ | 47,264,535 | |||||||||||||||||||
(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. |
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 | $ | 13.25 | $ | 0.16 | $ | (0.18 | ) | $ | (0.02 | ) | $ | (0.57 | ) | |||||||||||
2006 - B | 13.20 | 0.11 | (0.18 | ) | (0.07 | ) | (0.52 | ) | ||||||||||||||||
2006 - C | 13.18 | 0.11 | (0.18 | ) | (0.07 | ) | (0.52 | ) | ||||||||||||||||
2006 - Institutional | 13.23 | 0.19 | (0.18 | ) | 0.01 | (0.60 | ) | |||||||||||||||||
2006 - Service | 13.22 | 0.15 | (0.18 | ) | (0.03 | ) | (0.56 | ) | ||||||||||||||||
FOR THE YEARS ENDED OCTOBER 31, | ||||||||||||||||||||||||
2005 - A | 13.65 | 0.32 | 0.28 | 0.60 | (1.00 | ) | ||||||||||||||||||
2005 - B | 13.61 | 0.22 | 0.27 | 0.49 | (0.90 | ) | ||||||||||||||||||
2005 - C | 13.58 | 0.22 | 0.28 | 0.50 | (0.90 | ) | ||||||||||||||||||
2005 - Institutional | 13.64 | 0.37 | 0.28 | 0.65 | (1.06 | ) | ||||||||||||||||||
2005 - Service | 13.63 | 0.30 | 0.28 | 0.58 | (0.99 | ) | ||||||||||||||||||
2004 - A | 14.39 | 0.36 | 0.19 | 0.55 | (1.29 | ) | ||||||||||||||||||
2004 - B | 14.34 | 0.28 | 0.19 | 0.47 | (1.20 | ) | ||||||||||||||||||
2004 - C | 14.32 | 0.28 | 0.18 | 0.46 | (1.20 | ) | ||||||||||||||||||
2004 - Institutional | 14.37 | 0.43 | 0.20 | 0.63 | (1.36 | ) | ||||||||||||||||||
2004 - Service | 14.36 | 0.37 | 0.19 | 0.56 | (1.29 | ) | ||||||||||||||||||
2003 - A | 14.34 | 0.46 | 0.32 | 0.78 | (0.73 | ) | ||||||||||||||||||
2003 - B | 14.30 | 0.39 | 0.30 | 0.69 | (0.65 | ) | ||||||||||||||||||
2003 - C | 14.27 | 0.38 | 0.32 | 0.70 | (0.65 | ) | ||||||||||||||||||
2003 - Institutional | 14.33 | 0.56 | 0.30 | 0.86 | (0.82 | ) | ||||||||||||||||||
2003 - Service | 14.31 | 0.49 | 0.31 | 0.80 | (0.75 | ) | ||||||||||||||||||
2002 - A | 14.72 | 0.50 | (d) | (0.35 | )(d) | 0.15 | (0.53 | ) | ||||||||||||||||
2002 - B | 14.68 | 0.41 | (d) | (0.33 | )(d) | 0.08 | (0.46 | ) | ||||||||||||||||
2002 - C | 14.65 | 0.41 | (d) | (0.33 | )(d) | 0.08 | (0.46 | ) | ||||||||||||||||
2002 - Institutional | 14.70 | 0.58 | (d) | (0.33 | )(d) | 0.25 | (0.62 | ) | ||||||||||||||||
2002 - Service | 14.69 | 0.50 | (d) | (0.33 | )(d) | 0.17 | (0.55 | ) | ||||||||||||||||
2001 - A | 14.68 | 0.55 | 0.85 | 1.40 | (1.36 | ) | ||||||||||||||||||
2001 - B | 14.65 | 0.48 | 0.84 | 1.32 | (1.29 | ) | ||||||||||||||||||
2001 - C | 14.63 | 0.47 | 0.84 | 1.31 | (1.29 | ) | ||||||||||||||||||
2001 - Institutional | 14.67 | 0.65 | 0.84 | 1.49 | (1.46 | ) | ||||||||||||||||||
2001 - Service | 14.66 | 0.57 | 0.84 | 1.41 | (1.38 | ) | ||||||||||||||||||
(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. |
(d) | As required, effective November 1, 2001, the Fund has adopted the provisions of the AICPA Audit and Accounting Guide for Investment Companies and began amortizing all premiums and discounts on debt securities. The effect of this change for the year ended October 31, 2002 was to decrease net investment income per share by $0.06, increase net realized and unrealized gains and losses per share by $0.06, and decrease the ratio of net investment income to average net assets with and without expense reductions by 0.43%. Per share ratios and supplemental data for periods prior to November 1, 2001 have not been restated to reflect this change in presentation. |
54
Ratios assuming no | ||||||||||||||||||||||||||||||||||
expense reductions | ||||||||||||||||||||||||||||||||||
Ratio of | Ratio of | Ratio of | ||||||||||||||||||||||||||||||||
Net assets, | Ratio of | net investment | total | net investment | ||||||||||||||||||||||||||||||
Net asset | end of | net expenses | income | expenses | income | Portfolio | ||||||||||||||||||||||||||||
value, end | Total | period | to average | to average | to average | to average | turnover | |||||||||||||||||||||||||||
of period | return(b) | (in 000s) | net assets | net assets | net assets | net assets | rate | |||||||||||||||||||||||||||
$ | 12.66 | (0.25 | )% | $ | 189,321 | 1.06 | %(c) | 2.54 | %(c) | 1.21 | %(c) | 2.39 | %(c) | 35 | % | |||||||||||||||||||
12.61 | (0.57 | ) | 20,344 | 1.81 | (c) | 1.77 | (c) | 1.96 | (c) | 1.62 | (c) | 35 | ||||||||||||||||||||||
12.59 | (0.65 | ) | 6,593 | 1.81 | (c) | 1.78 | (c) | 1.96 | (c) | 1.63 | (c) | 35 | ||||||||||||||||||||||
12.64 | (0.06 | ) | 296,373 | 0.69 | (c) | 2.95 | (c) | 0.84 | (c) | 2.80 | (c) | 35 | ||||||||||||||||||||||
12.63 | (0.31 | ) | 470 | 1.19 | (c) | 2.41 | (c) | 1.34 | (c) | 2.26 | (c) | 35 | ||||||||||||||||||||||
13.25 | 4.56 | 173,712 | 1.08 | 2.36 | 1.32 | 2.12 | 137 | |||||||||||||||||||||||||||
13.20 | 3.72 | 24,819 | 1.83 | 1.61 | 2.07 | 1.37 | 137 | |||||||||||||||||||||||||||
13.18 | 3.80 | 8,370 | 1.83 | 1.61 | 2.07 | 1.37 | 137 | |||||||||||||||||||||||||||
13.23 | 4.90 | 214,410 | 0.69 | 2.70 | 0.91 | 2.48 | 137 | |||||||||||||||||||||||||||
13.22 | 4.38 | 463 | 1.19 | 2.26 | 1.43 | 2.02 | 137 | |||||||||||||||||||||||||||
13.65 | 4.01 | 168,340 | 1.25 | 2.60 | 1.67 | 2.18 | 109 | |||||||||||||||||||||||||||
13.61 | 3.47 | 31,252 | 1.84 | 2.00 | 2.26 | 1.58 | 109 | |||||||||||||||||||||||||||
13.58 | 3.40 | 8,463 | 1.84 | 2.01 | 2.26 | 1.59 | 109 | |||||||||||||||||||||||||||
13.64 | 4.66 | 117,471 | 0.69 | 3.12 | 1.11 | 2.70 | 109 | |||||||||||||||||||||||||||
13.63 | 4.13 | 470 | 1.19 | 2.65 | 1.61 | 2.23 | 109 | |||||||||||||||||||||||||||
14.39 | 5.45 | 224,553 | 1.35 | 3.15 | 1.74 | 2.76 | 106 | |||||||||||||||||||||||||||
14.34 | 4.87 | 37,118 | 1.85 | 2.64 | 2.24 | 2.25 | 106 | |||||||||||||||||||||||||||
14.32 | 4.96 | 11,238 | 1.85 | 2.64 | 2.24 | 2.25 | 106 | |||||||||||||||||||||||||||
14.37 | 6.07 | 90,368 | 0.70 | 3.82 | 1.09 | 3.43 | 106 | |||||||||||||||||||||||||||
14.36 | 5.61 | 609 | 1.20 | 3.37 | 1.59 | 2.98 | 106 | |||||||||||||||||||||||||||
14.34 | 1.08 | 255,821 | 1.34 | 3.36 | (d) | 1.72 | 2.98 | (d) | 146 | |||||||||||||||||||||||||
14.30 | 0.59 | 37,986 | 1.84 | 2.88 | (d) | 2.22 | 2.50 | (d) | 146 | |||||||||||||||||||||||||
14.27 | 0.59 | 11,533 | 1.84 | 2.88 | (d) | 2.22 | 2.50 | (d) | 146 | |||||||||||||||||||||||||
14.33 | 1.82 | 143,127 | 0.69 | 4.00 | (d) | 1.07 | 3.62 | (d) | 146 | |||||||||||||||||||||||||
14.31 | 1.24 | 1,184 | 1.19 | 3.49 | (d) | 1.57 | 3.11 | (d) | 146 | |||||||||||||||||||||||||
14.72 | 10.08 | 286,718 | 1.34 | 3.80 | 1.70 | 3.44 | 222 | |||||||||||||||||||||||||||
14.68 | 9.50 | 31,969 | 1.84 | 3.28 | 2.20 | 2.92 | 222 | |||||||||||||||||||||||||||
14.65 | 9.44 | 8,679 | 1.84 | 3.28 | 2.20 | 2.92 | 222 | |||||||||||||||||||||||||||
14.70 | 10.73 | 181,869 | 0.69 | 4.47 | 1.05 | 4.11 | 222 | |||||||||||||||||||||||||||
14.69 | 10.18 | 1,394 | 1.19 | 3.96 | 1.55 | 3.60 | 222 | |||||||||||||||||||||||||||
55
Financial Highlights
Income (loss) from | ||||||||||||||||||||||||||||||||
investment operations | ||||||||||||||||||||||||||||||||
Distributions | ||||||||||||||||||||||||||||||||
Net asset | to 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 | period | return(b) | |||||||||||||||||||||||||
FOR THE SIX MONTHS ENDED APRIL 30, (Unaudited) | ||||||||||||||||||||||||||||||||
2006 - A | $ | 7.81 | $ | 0.29 | $ | 0.19 | $ | 0.48 | $ | (0.30 | ) | $ | 7.99 | 6.20 | % | |||||||||||||||||
2006 - B | 7.82 | 0.26 | 0.19 | 0.45 | (0.27 | ) | 8.00 | 5.81 | ||||||||||||||||||||||||
2006 - C | 7.81 | 0.26 | 0.19 | 0.45 | (0.27 | ) | 7.99 | 5.81 | ||||||||||||||||||||||||
2006 - Institutional | 7.82 | 0.30 | 0.19 | 0.49 | (0.31 | ) | 8.00 | 6.39 | ||||||||||||||||||||||||
2006 - Service | 7.80 | 0.28 | 0.20 | 0.48 | (0.29 | ) | 7.99 | 6.28 | ||||||||||||||||||||||||
FOR THE YEARS ENDED OCTOBER 31, | ||||||||||||||||||||||||||||||||
2005 - A | 8.08 | 0.62 | (0.22 | ) | 0.40 | (0.67 | ) | 7.81 | 5.10 | |||||||||||||||||||||||
2005 - B | 8.09 | 0.56 | (0.22 | ) | 0.34 | (0.61 | ) | 7.82 | 4.31 | |||||||||||||||||||||||
2005 - C | 8.08 | 0.56 | (0.22 | ) | 0.34 | (0.61 | ) | 7.81 | 4.32 | |||||||||||||||||||||||
2005 - Institutional | 8.09 | 0.65 | (0.21 | ) | 0.44 | (0.71 | ) | 7.82 | 5.50 | |||||||||||||||||||||||
2005 - Service | 8.09 | 0.62 | (0.24 | ) | 0.38 | (0.67 | ) | 7.80 | 4.72 | |||||||||||||||||||||||
2004 - A | 7.79 | 0.65 | 0.32 | 0.97 | (0.68 | ) | 8.08 | 12.94 | ||||||||||||||||||||||||
2004 - B | 7.80 | 0.60 | 0.31 | 0.91 | (0.62 | ) | 8.09 | 12.09 | ||||||||||||||||||||||||
2004 - C | 7.79 | 0.60 | 0.31 | 0.91 | (0.62 | ) | 8.08 | 12.10 | ||||||||||||||||||||||||
2004 - Institutional | 7.81 | 0.69 | 0.30 | 0.99 | (0.71 | ) | 8.09 | 13.23 | ||||||||||||||||||||||||
2004 - Service | 7.80 | 0.65 | 0.31 | 0.96 | (0.67 | ) | 8.09 | 12.81 | ||||||||||||||||||||||||
2003 - A | 6.38 | 0.65 | 1.40 | 2.05 | (0.64 | ) | 7.79 | 33.34 | ||||||||||||||||||||||||
2003 - B | 6.39 | 0.60 | 1.39 | 1.99 | (0.58 | ) | 7.80 | 32.31 | ||||||||||||||||||||||||
2003 - C | 6.38 | 0.59 | 1.40 | 1.99 | (0.58 | ) | 7.79 | 32.36 | ||||||||||||||||||||||||
2003 - Institutional | 6.39 | 0.68 | 1.41 | 2.09 | (0.67 | ) | 7.81 | 33.98 | ||||||||||||||||||||||||
2003 - Service | 6.39 | 0.64 | 1.40 | 2.04 | (0.63 | ) | 7.80 | 33.16 | ||||||||||||||||||||||||
2002 - A | 7.24 | 0.68 | (d) | (0.86 | )(d) | (0.18 | ) | (0.68 | ) | 6.38 | (2.98 | ) | ||||||||||||||||||||
2002 - B | 7.24 | 0.63 | (d) | (0.85 | )(d) | (0.22 | ) | (0.63 | ) | 6.39 | (3.56 | ) | ||||||||||||||||||||
2002 - C | 7.24 | 0.62 | (d) | (0.85 | )(d) | (0.23 | ) | (0.63 | ) | 6.38 | (3.57 | ) | ||||||||||||||||||||
2002 - Institutional | 7.25 | 0.70 | (d) | (0.85 | )(d) | (0.15 | ) | (0.71 | ) | 6.39 | (2.59 | ) | ||||||||||||||||||||
2002 - Service | 7.24 | 0.67 | (d) | (0.84 | )(d) | (0.17 | ) | (0.68 | ) | 6.39 | (2.93 | ) | ||||||||||||||||||||
2001 - A | 8.18 | 0.83 | (0.93 | ) | (0.10 | ) | (0.84 | ) | 7.24 | (1.54 | ) | |||||||||||||||||||||
2001 - B | 8.18 | 0.77 | (0.93 | ) | (0.16 | ) | (0.78 | ) | 7.24 | (2.28 | ) | |||||||||||||||||||||
2001 - C | 8.17 | 0.77 | (0.92 | ) | (0.15 | ) | (0.78 | ) | 7.24 | (2.28 | ) | |||||||||||||||||||||
2001 - Institutional | 8.19 | 0.86 | (0.93 | ) | (0.07 | ) | (0.87 | ) | 7.25 | (1.14 | ) | |||||||||||||||||||||
2001 - Service | 8.19 | 0.82 | (0.94 | ) | (0.12 | ) | (0.83 | ) | 7.24 | (1.65 | ) | |||||||||||||||||||||
(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. |
(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. For the year ended October 31, 2002 this change had no impact on net investment and unrealized gains and losses per share and no impact on the ratio of net investment income to average net assets with and without expense reductions. Per share ratios and supplemental data for periods prior to November 1, 2001 have not been restated to reflect this change in presentation. |
56
Ratios assuming no | ||||||||||||||||||||||||||
expense reductions | ||||||||||||||||||||||||||
Ratio of | Ratio of | |||||||||||||||||||||||||
Net assets, | Ratio of | net investment | Ratio of total | net investment | ||||||||||||||||||||||
end of | net expenses | income | expenses | income | Portfolio | |||||||||||||||||||||
period | to average | to average | to average | to average | turnover | |||||||||||||||||||||
(in 000s) | net assets | net assets | net assets | net assets | rate | |||||||||||||||||||||
$ | 1,175,534 | 1.13 | %(c) | 7.38 | %(c) | 1.16 | %(c) | 7.35 | %(c) | 23 | % | |||||||||||||||
101,002 | 1.88 | (c) | 6.65 | (c) | 1.91 | (c) | 6.62 | (c) | 23 | |||||||||||||||||
80,014 | 1.88 | (c) | 6.64 | (c) | 1.91 | (c) | 6.61 | (c) | 23 | |||||||||||||||||
935,854 | 0.76 | (c) | 7.76 | (c) | 0.79 | (c) | 7.73 | (c) | 23 | |||||||||||||||||
2,306 | 1.26 | (c) | 7.27 | (c) | 1.29 | (c) | 7.23 | (c) | 23 | |||||||||||||||||
1,006,734 | 1.15 | 7.74 | 1.17 | 7.72 | 52 | |||||||||||||||||||||
104,637 | 1.90 | 6.98 | 1.92 | 6.96 | 52 | |||||||||||||||||||||
72,590 | 1.90 | 6.95 | 1.92 | 6.93 | 52 | |||||||||||||||||||||
825,508 | 0.76 | 8.11 | 0.79 | 8.08 | 52 | |||||||||||||||||||||
1,597 | 1.26 | 7.62 | 1.29 | 7.59 | 52 | |||||||||||||||||||||
1,109,364 | 1.16 | 8.31 | 1.18 | 8.29 | 47 | |||||||||||||||||||||
105,106 | 1.91 | 7.54 | 1.93 | 7.52 | 47 | |||||||||||||||||||||
56,174 | 1.91 | 7.53 | 1.93 | 7.51 | 47 | |||||||||||||||||||||
832,175 | 0.76 | 8.73 | 0.78 | 8.71 | 47 | |||||||||||||||||||||
1,160 | 1.26 | 8.18 | 1.28 | 8.16 | 47 | |||||||||||||||||||||
1,821,032 | 1.17 | 8.97 | 1.19 | 8.95 | 54 | |||||||||||||||||||||
97,894 | 1.92 | 8.25 | 1.94 | 8.23 | 54 | |||||||||||||||||||||
46,812 | 1.92 | 8.21 | 1.94 | 8.19 | 54 | |||||||||||||||||||||
1,119,417 | 0.77 | 9.42 | 0.79 | 9.40 | 54 | |||||||||||||||||||||
958 | 1.27 | 8.86 | 1.29 | 8.84 | 54 | |||||||||||||||||||||
770,011 | 1.16 | 9.54 | (d) | 1.19 | 9.51 | (d) | 36 | |||||||||||||||||||
54,065 | 1.91 | 8.83 | (d) | 1.94 | 8.80 | (d) | 36 | |||||||||||||||||||
20,107 | 1.91 | 8.81 | (d) | 1.94 | 8.78 | (d) | 36 | |||||||||||||||||||
726,140 | 0.76 | 9.95 | (d) | 0.79 | 9.92 | (d) | 36 | |||||||||||||||||||
494 | 1.26 | 9.50 | (d) | 1.29 | 9.47 | (d) | 36 | |||||||||||||||||||
493,739 | 1.16 | 10.55 | 1.22 | 10.49 | 57 | |||||||||||||||||||||
45,514 | 1.91 | 9.83 | 1.97 | 9.77 | 57 | |||||||||||||||||||||
12,494 | 1.91 | 9.82 | 1.97 | 9.76 | 57 | |||||||||||||||||||||
460,253 | 0.76 | 10.96 | 0.82 | 10.90 | 57 | |||||||||||||||||||||
384 | 1.26 | 10.49 | 1.32 | 10.43 | 57 | |||||||||||||||||||||
57
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 | ||||||||||||||||||||||||||
Period - Share Class | of period | income(a) | gain | operations | income | gains | distributions | |||||||||||||||||||||||||
FOR THE SIX MONTHS ENDED APRIL 30, (Unaudited) | ||||||||||||||||||||||||||||||||
2006 - A | $ | 11.75 | $ | 0.30 | $ | 0.36 | $ | 0.66 | $ | (0.37 | ) | $ | (0.41 | ) | $ | (0.78 | ) | |||||||||||||||
2006 - Institutional | 11.76 | 0.33 | 0.37 | 0.70 | (0.40 | ) | (0.41 | ) | (0.81 | ) | ||||||||||||||||||||||
FOR THE YEARS ENDED OCTOBER 31, | ||||||||||||||||||||||||||||||||
2005 - A | 11.18 | 0.74 | 1.00 | 1.74 | (0.64 | ) | (0.53 | ) | (1.17 | ) | ||||||||||||||||||||||
2005 - Institutional | 11.19 | 0.77 | 1.02 | 1.79 | (0.69 | ) | (0.53 | ) | (1.22 | ) | ||||||||||||||||||||||
2004 - A | 10.22 | 0.59 | 0.97 | 1.56 | (0.57 | ) | (0.03 | ) | (0.60 | ) | ||||||||||||||||||||||
2004 - Institutional | 10.23 | 0.62 | 0.98 | 1.60 | (0.61 | ) | (0.03 | ) | (0.64 | ) | ||||||||||||||||||||||
2003 - A (commenced August 29, 2003) | 10.00 | 0.08 | 0.26 | 0.34 | (0.12 | ) | — | (0.12 | ) | |||||||||||||||||||||||
2003 - Institutional (commenced August 29, 2003) | 10.00 | 0.11 | 0.24 | 0.35 | (0.12 | ) | — | (0.12 | ) | |||||||||||||||||||||||
(a) | 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. |
58
Ratios assuming no | ||||||||||||||||||||||||||||||||||
expense reductions | ||||||||||||||||||||||||||||||||||
Ratio of | Ratio of | |||||||||||||||||||||||||||||||||
Net assets, | Ratio of | net investment | Ratio of | net investment | ||||||||||||||||||||||||||||||
Net asset | end of | net expenses | income | total expenses | income | Portfolio | ||||||||||||||||||||||||||||
value, end | Total | period | to average | to average | to average | to average | turnover | |||||||||||||||||||||||||||
of period | return(b) | (in 000s) | net assets | net assets | net assets | net assets | rate | |||||||||||||||||||||||||||
$ | 11.63 | 6.07 | % | $ | 68,878 | 1.22 | %(c) | 5.25 | %(c) | 1.71 | %(c) | 4.76 | %(c) | 85 | % | |||||||||||||||||||
11.65 | 6.17 | 63,259 | 0.85 | (c) | 5.66 | (c) | 1.35 | (c) | 5.16 | (c) | 85 | |||||||||||||||||||||||
11.75 | 16.48 | 34,327 | 1.26 | 6.13 | 1.82 | 5.57 | 207 | |||||||||||||||||||||||||||
11.76 | 17.01 | 40,962 | 0.88 | 6.58 | 1.52 | 5.94 | 207 | |||||||||||||||||||||||||||
11.18 | 15.78 | 5,411 | 1.28 | 5.43 | 3.09 | 3.62 | 273 | |||||||||||||||||||||||||||
11.19 | 16.22 | 20,387 | 0.88 | 5.90 | 2.57 | 4.21 | 273 | |||||||||||||||||||||||||||
10.22 | 3.36 | 1,088 | 1.28 | (c) | 5.35 | (c) | 5.53 | (c) | 1.10 | (c) | 49 | |||||||||||||||||||||||
10.23 | 3.52 | 11,688 | 0.88 | (c) | 5.96 | (c) | 4.88 | (c) | 1.96 | (c) | 49 | |||||||||||||||||||||||
Fund Expenses — Six Month Period Ended April 30, 2006 (Unaudited)
As a shareholder of Class A, Class B, Class C, Institutional or Service Shares of the Funds you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments (with respect to Class A Shares), contingent deferred sales charges (loads) on redemptions (with respect to Class B and Class C Shares), and redemption fees (if any); and (2) ongoing costs, including management fees; distribution and service (12b-1) fees (with respect to Class A, Class B and Class C Shares); and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in Class A, Class B, Class C, Institutional and Service Shares of the 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 are not the Funds’ actual returns. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Global Income Fund | High Yield Fund | Emerging Markets Debt 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 | $ | 997.50 | $ | 5.26 | $ | 1,000 | $ | 1,062.00 | $ | 5.78 | $ | 1,000 | $ | 1,060.70 | $ | 6.22 | ||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,019.53 | + | 5.31 | 1,000 | 1,019.24 | + | 5.66 | 1,000 | 1,018.76 | + | 6.09 | ||||||||||||||||||||||||
Class B | ||||||||||||||||||||||||||||||||||||
Actual | 1,000 | 994.30 | 8.94 | 1,000 | 1,058.10 | 9.57 | N/A | N/A | N/A | |||||||||||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,015.83 | + | 9.03 | 1,000 | 1,015.49 | + | 9.37 | N/A | N/A | N/A | |||||||||||||||||||||||||
Class C | ||||||||||||||||||||||||||||||||||||
Actual | 1,000 | 993.50 | 8.93 | 1,000 | 1,058.10 | 9.57 | N/A | N/A | N/A | |||||||||||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,015.83 | + | 9.03 | 1,000 | 1,015.50 | + | 9.37 | N/A | N/A | N/A | |||||||||||||||||||||||||
Institutional | ||||||||||||||||||||||||||||||||||||
Actual | 1,000 | 999.40 | 3.43 | 1,000 | 1,063.90 | 3.90 | 1,000 | 1,061.70 | 4.34 | |||||||||||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,021.37 | + | 3.46 | 1,000 | 1,021.02 | + | 3.82 | 1,000 | 1,020.58 | + | 4.25 | ||||||||||||||||||||||||
Service | ||||||||||||||||||||||||||||||||||||
Actual | 1,000 | 996.90 | 5.89 | 1,000 | 1,062.80 | 6.42 | N/A | N/A | N/A | |||||||||||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,018.90 | + | 5.95 | 1,000 | 1,018.57 | + | 6.28 | N/A | N/A | N/A | |||||||||||||||||||||||||
* | Expenses for each share class are calculated using each Fund’s annualized expense ratio for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended April 30, 2006. Expenses are calculated by multiplying the annualized expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the fiscal year. The annualized net expense ratios for the period were as follows: |
Fund | Class A | Class B | Class C | Institutional | Service | |||||||||||||||
Global Income | 1.06 | % | 1.81 | % | 1.81 | % | 0.69 | % | 1.19 | % | ||||||||||
High Yield | 1.13 | 1.88 | 1.88 | 0.76 | 1.26 | |||||||||||||||
Emerging Markets Debt | 1.22 | N/A | N/A | 0.85 | N/A | |||||||||||||||
+ | Hypothetical expenses are based on each Fund’s actual expense ratios and an assumed rate of return of 5% per year before expenses. |
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 | GOLDMAN SACHS INTERNATIONAL Christchurch Court 10-15 Newgate Street London, England EC1 A7HD |
Visit our Web site at www.goldmansachsfunds.com to obtain the most recent month-end return.
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).
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. 06-876 | SFFISAR / 77.9K / 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 |