UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D. C. 20549
FORM N-CSRS
Investment Company Act file number 811-07347
DWS Advisor Funds II
(Exact Name of Registrant as Specified in Charter)
One South Street
Baltimore, MD 21202
(Address of principal executive offices) (Zip code)
Registrant’s Telephone Number, including Area Code: (212) 454-7190
Paul Schubert
345 Park Avenue
New York, NY 10154
(Name and Address of Agent for Service)
Date of fiscal year end: | 12/31 |
Date of reporting period: | 06/30/06 |
ITEM 1. REPORT TO STOCKHOLDERS
JUNE 30, 2006
Semiannual Report
to Shareholders
DWS U.S. Bond Index Fund
Contents
Click Here Performance Summary
Click Here Information About Your Fund's Expenses
Click Here Portfolio Management Review
Click Here Portfolio Summary
Click Here Investment Portfolio
Click Here Financial Statements
Click Here Financial Highlights
Click Here Notes to Financial Statements
Click Here Other Information
Click Here Shareholder Meeting Results
Click Here Account Management Resources
Click Here Privacy Statement
This report must be preceded or accompanied by a prospectus. To obtain a prospectus for any of our funds, refer to the Account Management Resources information provided in the back of this booklet. We advise you to consider the fund's objectives, risks, charges and expenses carefully before investing. The prospectus contains this and other important information about the fund. Please read the prospectus carefully before you invest.
Investments in mutual funds involve risk. The fund may not be able to replicate the Lehman Brothers Aggregate Bond Index closely enough to track its performance for several reasons, including the fund's cost to buy and sell securities, the flow of money into and out of the fund and the potential underperformance of securities selected. Additionally, the fund invests in individual bonds whose yields and market values fluctuate so that your investment may be worth more or less than its original cost. Bond investments are subject to interest-rate risk such that when interest rates rise, the prices of the bonds, and thus the value of the bond fund, can decline and the investor can lose principal value. Please read this fund's prospectus for specific details regarding its investments and risk profile.
DWS Scudder is part of Deutsche Asset Management, which is the marketing name in the US for the asset management activities of Deutsche Bank AG, Deutsche Bank Trust Company Americas, Deutsche Asset Management, Inc., Deutsche Investment Management Americas Inc. and DWS Trust Company.
NOT FDIC/NCUA INSURED NO BANK GUARANTEE MAY LOSE VALUE NOT A DEPOSIT NOT INSURED BY ANY FEDERAL GOVERNMENT AGENCY
Performance Summary June 30, 2006
All performance shown is historical, assumes reinvestment of all dividend and capital gain distributions, and does not guarantee future results. Investment return and principal value fluctuate with changing market conditions so that, when redeemed, shares may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted. Please visit www.dws-scudder.com for the Fund's most recent month-end performance.
To discourage short-term trading, the Fund imposes a 2% redemption fee on shareholders redeeming shares held less than 15 days, which has the effect of lowering total return.
Returns and rankings during all periods shown reflect a fee waiver and/or expense reimbursement. Without this waiver/reimbursement, returns and rankings would have been lower.
Performance figures do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Returns and rankings may differ by share class.
Average Annual Total Returns as of 6/30/06 |
DWS U.S. Bond Index Fund | 6-Month* | 1-Year | 3-Year | 5-Year | Life of Fund* |
Institutional Class | -.67% | -.97% | 1.90% | 4.83% | 5.87% |
Lehman Brothers Aggregate Bond Index+ | -.72% | -.81% | 2.05% | 4.97% | 6.01% |
Sources: Lipper Inc. and Deutsche Asset Management, Inc.
* Total returns shown for periods less than one year are not annualized.
* The Fund commenced operations on June 30, 1997. Index returns began June 30, 1997.
Net Asset Value and Distribution Information |
| Institutional Class |
Net Asset Value: 6/30/06 | $ 9.86 |
12/31/05 | $ 10.18 |
Distribution Information: Six Months: Income Dividends as of 6/30/06 | $ .25 |
Capital Gains Distributions as of 6/30/06 | $ .006 |
June Income Dividend | $ .0424 |
SEC 30-day Yield as of 6/30/06++ | 5.37% |
Current Annualized Distribution Rate as of 6/30/06++ | 5.23% |
++ The SEC yield is net investment income per share earned over the month ended June 30, 2006, shown as an annualized percentage of the maximum offering price per share on the last day of the period. The SEC yield is computed in accordance with a standardized method prescribed by the Securities and Exchange Commission. The SEC yield would have been 4.90% had certain expenses not been reduced. Current annualized distribution rate is the latest monthly dividend shown as an annualized percentage of net asset value on June 30, 2006. Distribution rate simply measures the level of dividends and is not a complete measure of performance. The current annualized distribution rate would have been 4.76% had certain expenses not been reduced. Yields and distribution rates are historical, not guaranteed and will fluctuate.
Institutional Class Lipper Rankings — Intermediate Investment Grade Debt Funds Category as of 6/30/06 |
Period | Rank | | Number of Funds Tracked | Percentile Ranking (%) |
1-Year | 232 | of | 477 | 49 |
3-Year | 159 | of | 411 | 39 |
5-Year | 92 | of | 323 | 29 |
Source: Lipper Inc. Rankings are historical and do not guarantee future results. Rankings are based on total returns with distributions reinvested.
Growth of an Assumed $1,000,000 Investment |
[] DWS U.S. Bond Index Fund — Institutional Class [] Lehman Brothers Aggregate Bond Index+ |
 |
Yearly periods ended June 30 |
Comparative Results as of 6/30/06 |
DWS U.S. Bond Index Fund | 1-Year | 3-Year | 5-Year | Life of Fund* |
Institutional Class | Growth of $1,000,000 | $990,300 | $1,058,200 | $1,265,700 | $1,670,800 |
Average annual total return | -.97% | 1.90% | 4.83% | 5.87% |
Lehman Brothers Aggregate Bond Index+ | Growth of $1,000,000 | $991,900 | $1,062,800 | $1,274,600 | $1,690,200 |
Average annual total return | -.81% | 2.05% | 4.97% | 6.01% |
The growth of $1,000,000 is cumulative.
The minimum initial investment for the Institutional Class is $1,000,000.
* The Fund commenced operations on June 30, 1997. Index returns began June 30, 1997.
+ The Lehman Brothers Aggregate Bond Index is an unmanaged index representing domestic taxable investment grade bonds, with index components for government and corporate securities, mortgage pass-through securities, and asset-backed securities with an average maturity of one year or more. Index returns assume reinvestment of dividends and, unlike Fund returns, do not reflect any fees or expenses. It is not possible to invest directly into an index.
Information About Your Fund's Expenses
As an investor of the Fund, you incur two types of costs: ongoing expenses and transaction costs. Ongoing expenses include management fees and other Fund expenses. Examples of transaction costs include redemption fees and account maintenance fees, which are not shown in this section. The following tables are intended to help you understand your ongoing expenses (in dollars) of investing in the Fund and to help you compare these expenses with the ongoing expenses of investing in other mutual funds. In the most recent six-month period, the Fund limited these expenses; had it not done so, expenses would have been higher. The example in the table is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2006 to June 30, 2006).
The tables illustrate your Fund's expenses in two ways:
Actual Fund Return. This helps you estimate the actual dollar amount of ongoing expenses (but not transaction costs) paid on a $1,000 investment in the Fund using the Fund's actual return during the period. To estimate the expenses 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 "Expenses Paid per $1,000" line under the share class you hold.
Hypothetical 5% Fund Return. This helps you to compare your Fund's ongoing expenses (but not transaction costs) with those of other mutual funds using the Fund's actual expense ratio and a hypothetical rate of return of 5% per year before expenses. Examples using a 5% hypothetical fund return may be found in the shareholder reports of other mutual funds. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period.
Please note that the expenses shown in these tables are meant to highlight your ongoing expenses only and do not reflect any transaction costs. The "Expenses Paid per $1,000" line of the tables is useful in comparing ongoing expenses only and will not help you determine the relative total expense of owning different funds. If these transaction costs had been included, your costs would have been higher.
Expenses and Value of a $1,000 Investment for the six months ended June 30, 2006 |
Actual Fund Return | Institutional Class |
Beginning Account Value 1/1/06 | $ 1,000.00 |
Ending Account Value 6/30/06 | $ 993.30 |
Expenses Paid per $1,000* | $ .79 |
Hypothetical 5% Fund Return | Institutional Class |
Beginning Account Value 1/1/06 | $ 1,000.00 |
Ending Account Value 6/30/06 | $ 1,024.00 |
Expenses Paid per $1,000* | $ .80 |
* Expenses are equal to the Fund's annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by 365.
Annualized Expense Ratios | Institutional Class |
DWS U.S. Bond Index Fund | .16% |
For more information, please refer to the Fund's prospectus.
Portfolio Management Review
In the following interview, Lead Portfolio Manager Louis R. D'Arienzo discusses the market environment and fund performance for DWS US Bond Index Fund during the six-month period ended June 30, 2006.
Q: How did DWS US Bond Index Fund perform during its most recent semiannual period?
A: DWS US Bond Index Fund closely tracked the performance of its benchmark, the Lehman Brothers Aggregate Bond Index, for the six months ended June 30, 2006.1 The fund produced a return of -0.67% (Institutional Class shares) for the semiannual period, as compared with -0.72% for the benchmark. The fund also outperformed the -0.73% average return of the 487 funds in its Lipper category, Intermediate Investment Grade Debt Funds.2 (Past performance is no guarantee of future results. Please see pages 4 through 5 for more complete performance information.)
1 The Lehman Brothers Aggregate Bond Index is an unmanaged index representing domestic taxable investment-grade bonds, with index components for government and corporate securities, mortgage pass-through securities, and asset-backed securities with an average maturity of one year or more. Index returns assume reinvestment of dividends and, unlike fund returns, do not reflect any fees or expenses. It is not possible to invest directly into an index.
2 The Lipper Intermediate Investment Grade Debt Funds category comprises funds that invest primarily in investment-grade debt issues (rated in the top four grades) with dollar-weighted average maturities of five to 10 years. Lipper figures represent the average of the total returns reported by all of the mutual funds designated by Lipper Inc. as falling into the Intermediate Investment Grade Debt Funds category. For the one-, three- and five-year periods this category's average was -0.92% (477 funds), and 1.76% (411 funds), and 4.39% (323 funds) respectively, as of 6/30/06. It is not possible to invest directly in a Lipper category.
Q: Will you characterize conditions for the bond market in the first half of 2006?
A: The US bond market followed up a disastrous first quarter with a tepid second quarter. Combined, this constituted the worst first-half market performance in seven years (as measured by the - -0.72% return of the Lehman Brothers Aggregate Bond Index). In the second quarter, the Lehman Index fell 0.08%. As was the case during the first quarter, changes to monetary policy — and market expectations for future changes — were the focus of attention. Following the late March meeting of the Federal Open Market Committee (FOMC), US Federal Reserve Board (the Fed) Chairman Ben Bernanke disappointed the markets with a statement suggesting that short-term interest rates would continue to climb. This provided the impetus for an upward march in yields from April through mid-May. Bernanke's subsequent remarks to the press suggesting that the March statement should have been taken as neutral in terms of predicting future policy actions touched off a rally that lasted until mid-June. Numerous Fed officials (Mr. Bernanke included) then embarked on a public campaign to burnish their inflation-fighting credentials. Their statements pushed market sentiment back in favor of still tighter monetary policy.
Over the course of the first half of 2006, the federal funds rate was raised by 25 basis points (100 basis points equals 1.00%) at each of the four scheduled FOMC meetings, pushing the rate to 5.25% and leaving the market uncertain about the future course of monetary policy.
Q: How did market interest rates respond to this backdrop?
A: For the first half of 2006, two- and 10-year Treasury bond yields each rose 75 basis points, maintaining the same flat Treasury yield curve from year-end 2005.3 Since a bond's price moves in the opposite direction of its yield, this meant that bond prices generally fell. The short end of the yield curve moved higher following continuing credit tightening by the Fed during the six-month period, while the long end of the curve was reacting to higher commodity prices and worries over possible increases in inflation.
3 The yield curve is a graph with a left-to-right line that shows how high or low yields are, from the shortest to the longest maturities. Typically the line rises from left to right as investors who are willing to tie up their money for a longer period are rewarded with higher yields. Yield curve "flattening" means that the "spread", or difference between short- and long-term interest rates, is declining.
US Treasury Bond Yield Curve (12/31/05 and 6/30/06) |
 |
Past performance is no guarantee of future results.
Source: Bloomberg
Q: How did the various sectors within the US bond market perform?
A: Only two sectors of the market were able to generate positive returns: US agencies at 0.20% and asset-backed bonds at 0.44%. For the six-month period, all sectors provided negative returns compared with Treasury securities of similar maturity, although in relatively modest proportions.
Q: How do you expect to manage the fund in the coming months?
A: As an index fund, the fund seeks to replicate as closely as possible (before deduction of expenses) the investment performance of the benchmark, the Lehman Brothers Aggregate Bond Index. Thus, we neither evaluate short-term fluctuations in the fund's performance nor manage according to a given outlook for the bond market or the economy in general. Still, we will continue to monitor economic conditions and the way they affect the financial markets as the fund seeks to closely track the performance of the broad US bond market.
The views expressed in this report reflect those of the portfolio managers only through the end of the period of the report as stated on the cover. The management team's views are subject to change at any time based on market and other conditions and should not be construed as a recommendation.
Portfolio Summary
Asset Allocation (Excludes Securities Lending Collateral) | 6/30/06 | 12/31/05 |
| | |
US Government Agency Sponsored Pass-Throughs | 32% | 34% |
US Treasury Obligations | 25% | 16% |
Corporate Bonds | 17% | 19% |
US Government Sponsored Agencies | 9% | 12% |
Foreign Bonds — US$ Denominated | 5% | 6% |
Commercial and Non-Agency Mortgage-Backed Securities | 4% | 5% |
Government National Mortgage Association | 4% | 4% |
Cash Equivalents & Other, net | 3% | 2% |
Asset Backed | 1% | 2% |
| 100% | 100% |
Corporate and Foreign Bonds Diversification (Excludes Cash Equivalents and Securities Lending Collateral) | 6/30/06 | 12/31/05 |
| | |
Financials | 44% | 45% |
Consumer Discretionary | 9% | 9% |
Sovereign Bonds | 8% | 8% |
Telecommunication Services | 7% | 7% |
Utilities | 7% | 7% |
Consumer Staples | 6% | 5% |
Energy | 6% | 6% |
Industrials | 5% | 5% |
Materials | 3% | 3% |
Health Care | 3% | 3% |
Information Technology | 2% | 2% |
| 100% | 100% |
Quality | 6/30/06 | 12/31/05 |
| | |
US Government Obligations | 70% | 66% |
AAA | 10% | 11% |
AA | 5% | 5% |
A | 8% | 10% |
BBB | 7% | 8% |
| 100% | 100% |
Asset allocation, corporate and foreign bonds diversification and quality are subject to change.
The quality ratings represent the lower of Moody's Investors Service, Inc. ("Moody's") or Standard & Poor's Corporation ("S&P") credit ratings. The ratings of Moody's and S&P represent their opinions as to the quality of the securities they rate. Ratings are relative and subjective and are not absolute standards of quality. The Fund's credit quality does not remove market risk.
Effective Maturity | 6/30/06 | 12/31/05 |
| | |
Under 1 year | 3% | 4% |
1-4.99 years | 35% | 33% |
5-9.99 years | 52% | 52% |
10-14.99 years | 5% | 4% |
15 years or greater | 5% | 7% |
| 100% | 100% |
Weighted average effective maturity: 7.03 years and 6.99 years, respectively.
Effective maturity is subject to change.
For more complete details about the Fund's investment portfolio, see page 14. A quarterly Fact Sheet is available upon request. Information concerning portfolio holdings of the Fund as of month end will be posted to www.dws-scudder.com on or after the last day of the following month. Please see the Account Management Resources section for contact information.
Following the Fund's fiscal first and third quarter-end, a complete portfolio holdings listing is filed with the SEC on Form N-Q. The form will be available on the SEC's Web site at www.sec.gov, and it also may be reviewed and copied at the SEC's Public Reference Room in Washington, D.C. Information on the operation of the SEC's Public Reference Room may be obtained by calling (800) SEC-0330.
Investment Portfolio as of June 30, 2006 (Unaudited)
| Principal Amount ($) | Value ($) |
| |
Corporate Bonds 16.7% |
Consumer Discretionary 1.8% |
Comcast Cable Communications Holdings, Inc.: | | |
6.2%, 11/15/2008 | 100,000 | 100,990 |
6.875%, 6/15/2009 | 60,000 | 61,735 |
8.375%, 3/15/2013 | 90,000 | 99,958 |
Comcast Corp., 5.85%, 1/15/2010 | 25,000 | 24,976 |
Cox Communications, Inc., 7.875%, 8/15/2009 | 50,000 | 52,531 |
DaimlerChrysler NA Holding Corp.: | | |
7.2%, 9/1/2009 | 150,000 | 154,721 |
8.0%, 6/15/2010 | 150,000 | 159,248 |
Federated Department Stores, Inc., 7.45%, 7/15/2017 | 150,000 | 161,456 |
Gannett Co., Inc., 6.375%, 4/1/2012 | 50,000 | 50,597 |
Gillette Co., 2.5%, 6/1/2008 | 50,000 | 47,248 |
Home Depot, Inc., 4.625%, 8/15/2010 | 100,000 | 96,318 |
Kimberly-Clark Corp., 5.625%, 2/15/2012 | 50,000 | 50,024 |
Knight-Ridder, Inc., 5.75%, 9/1/2017 | 25,000 | 22,570 |
News America Holdings, Inc., 9.25%, 2/1/2013 | 100,000 | 115,784 |
News America, Inc., 5.3%, 12/15/2014 (a) | 25,000 | 23,724 |
R.R. Donnelley & Sons Co., 5.5%, 5/15/2015 (a) | 25,000 | 23,033 |
Target Corp., 5.875%, 3/1/2012 | 200,000 | 202,070 |
TCI Communications, Inc., 7.125%, 2/15/2028 | 100,000 | 98,675 |
Time Warner Entertainment Co. LP, 7.25%, 9/1/2008 | 100,000 | 102,858 |
Time Warner, Inc.: | | |
6.625%, 5/15/2029 | 10,000 | 9,608 |
6.75%, 4/15/2011 | 150,000 | 153,781 |
6.875%, 5/1/2012 | 100,000 | 103,347 |
6.95%, 1/15/2028 | 30,000 | 29,903 |
7.7%, 5/1/2032 | 25,000 | 27,171 |
Viacom, Inc.: | | |
144A, 6.875%, 4/30/2036 | 100,000 | 96,506 |
7.7%, 7/30/2010 | 200,000 | 212,762 |
Walt Disney Co., 6.2%, 6/20/2014 (a) | 75,000 | 76,231 |
| 2,357,825 |
Consumer Staples 1.3% |
Anheuser Busch Companies, Inc., 4.95%, 1/15/2014 | 100,000 | 94,869 |
Bottling Group LLC, 5.0%, 11/15/2013 | 50,000 | 47,549 |
Coca-Cola Co., 5.75%, 3/15/2011 | 25,000 | 25,110 |
Coca-Cola Enterprises, Inc., 8.5%, 2/1/2022 | 75,000 | 92,020 |
ConAgra Foods, Inc., 7.125%, 10/1/2026 | 100,000 | 103,206 |
Coors Brewing Co., 6.375%, 5/15/2012 | 10,000 | 10,176 |
CVS Corp., 4.0%, 9/15/2009 | 50,000 | 47,315 |
Fortune Brands, Inc., 4.875%, 12/1/2013 | 50,000 | 45,478 |
Fred Meyer, Inc., 7.45%, 3/1/2008 | 50,000 | 51,227 |
General Mills, Inc., 6.0%, 2/15/2012 | 48,000 | 48,282 |
H.J. Heinz Finance Co.: | | |
6.0%, 3/15/2012 | 25,000 | 24,887 |
6.625%, 7/15/2011 (a) | 25,000 | 25,571 |
Kellogg Co., Series B, 6.6%, 4/1/2011 | 50,000 | 51,651 |
Kraft Foods, Inc.: | | |
4.0%, 10/1/2008 | 100,000 | 96,360 |
5.625%, 11/1/2011 | 50,000 | 49,249 |
6.25%, 6/1/2012 | 40,000 | 40,467 |
Kroger Co.: | | |
7.5%, 4/1/2031 | 50,000 | 52,488 |
7.8%, 8/15/2007 | 50,000 | 50,890 |
Procter & Gamble Co., 6.875%, 9/15/2009 | 200,000 | 207,482 |
Safeway, Inc.: | | |
6.5%, 11/15/2008 | 90,000 | 91,074 |
6.5%, 3/1/2011 (a) | 80,000 | 80,852 |
Unilever Capital Corp., 7.125%, 11/1/2010 | 50,000 | 52,498 |
Wal-Mart Stores, Inc.: | | |
4.375%, 7/12/2007 | 20,000 | 19,753 |
5.25%, 9/1/2035 | 200,000 | 174,505 |
6.875%, 8/10/2009 | 100,000 | 103,556 |
| 1,686,515 |
Energy 0.9% |
Alabama Power Co.: | | |
5.5%, 10/15/2017 | 100,000 | 95,944 |
5.7%, 2/15/2033 (a) | 50,000 | 46,703 |
Amoco Co., 6.5%, 8/1/2007 | 50,000 | 50,376 |
Anadarko Petroleum Corp., 7.5%, 10/15/2026 | 60,000 | 63,957 |
Burlington Resources, Inc., 7.375%, 3/1/2029 | 50,000 | 57,027 |
ChevronTexaco Capital Co., 3.5%, 9/17/2007 | 20,000 | 19,511 |
Conoco Funding Co., 6.35%, 10/15/2011 | 100,000 | 102,882 |
Conoco, Inc., 6.95%, 4/15/2029 | 150,000 | 163,222 |
Devon Financing Corp., 6.875%, 9/30/2011 | 100,000 | 103,970 |
Duke Capital Corp., 7.5%, 10/1/2009 | 50,000 | 52,511 |
Duke Energy Field Services Corp., 8.125%, 8/16/2030 | 25,000 | 29,266 |
Enterprise Products Operating LP: | | |
Series B, 5.6%, 10/15/2014 | 50,000 | 47,333 |
Series B, 6.875%, 3/1/2033 | 25,000 | 24,445 |
Exelon Generation Co. LLC, 6.95%, 6/15/2011 | 25,000 | 26,066 |
Kinder Morgan Energy Partners LP, 6.75%, 3/15/2011 | 60,000 | 61,294 |
MidAmerican Energy Holdings Co.: | | |
3.5%, 5/15/2008 | 75,000 | 71,956 |
5.875%, 10/1/2012 | 25,000 | 24,800 |
PPL Energy Supply LLC, 6.4%, 11/1/2011 | 25,000 | 25,322 |
Valero Energy Corp., 6.875%, 4/15/2012 | 50,000 | 51,828 |
XTO Energy, Inc., 5.3%, 6/30/2015 | 50,000 | 46,479 |
| 1,164,892 |
Financials 7.7% |
Allstate Corp.: | | |
5.35%, 6/1/2033 | 50,000 | 42,352 |
7.2%, 12/1/2009 | 100,000 | 104,650 |
American Express Credit Corp., 3.0%, 5/16/2008 | 50,000 | 47,703 |
American General Finance Corp.: | | |
Series I, 3.875%, 10/1/2009 | 100,000 | 94,573 |
Series H, 5.375%, 10/1/2012 | 75,000 | 72,971 |
American International Group, Inc.: | | |
2.875%, 5/15/2008 | 50,000 | 47,648 |
4.25%, 5/15/2013 | 100,000 | 90,902 |
Archstone-Smith Operating Trust, (REIT), 5.25%, 5/1/2015 | 75,000 | 70,506 |
Assurant, Inc., 5.625%, 2/15/2014 | 25,000 | 23,981 |
Avalonbay Communities, 6.125%, 11/1/2012 (a) | 30,000 | 30,249 |
AXA Financial, Inc., 7.75%, 8/1/2010 | 100,000 | 106,416 |
Bank of America Corp.: | | |
5.125%, 11/15/2014 | 100,000 | 95,053 |
5.875%, 2/15/2009 | 50,000 | 50,353 |
6.625%, 8/1/2007 | 100,000 | 100,796 |
7.8%, 2/15/2010 | 200,000 | 213,565 |
Bank of New York Co., Inc.: | | |
5.2%, 7/1/2007 | 25,000 | 24,865 |
7.3%, 12/1/2009 | 65,000 | 68,191 |
Bank One Corp.: | | |
7.625%, 10/15/2026 | 50,000 | 56,281 |
7.875%, 8/1/2010 | 50,000 | 53,802 |
BB&T Corp., 5.2%, 12/23/2015 | 100,000 | 94,433 |
Bear Stearns Companies, Inc., 4.0%, 1/31/2008 | 150,000 | 146,484 |
Boeing Capital Corp.: | | |
6.1%, 3/1/2011 (a) | 110,000 | 111,736 |
6.35%, 11/15/2007 (a) | 50,000 | 50,373 |
Boston Properties, Inc., 6.25%, 1/15/2013 | 50,000 | 50,444 |
Caterpillar Financial Services Corp., Series F, 4.75%, 2/17/2015 | 25,000 | 23,143 |
Charter One Bank NA, 6.375%, 5/15/2012 | 10,000 | 10,350 |
Chubb Corp., 6.0%, 11/15/2011 (a) | 10,000 | 10,059 |
CIT Group, Inc.: | | |
5.0%, 11/24/2008 | 75,000 | 73,975 |
7.75%, 4/2/2012 | 100,000 | 108,403 |
Citigroup, Inc.: | | |
5.0%, 9/15/2014 | 150,000 | 140,395 |
5.3%, 1/7/2016 | 100,000 | 95,248 |
5.875%, 2/22/2033 | 100,000 | 93,321 |
6.0%, 10/31/2033 | 100,000 | 94,734 |
6.5%, 1/18/2011 | 150,000 | 154,654 |
6.625%, 6/15/2032 | 50,000 | 51,477 |
7.25%, 10/1/2010 | 50,000 | 52,872 |
Countrywide Home Loans, Inc., 4.0%, 3/22/2011 | 100,000 | 92,003 |
Credit Suisse First Boston USA, Inc.: | | |
6.125%, 11/15/2011 | 100,000 | 101,337 |
6.5%, 1/15/2012 | 100,000 | 103,185 |
Donaldson, Lufkin & Jenrette, Inc.: | | |
4.875%, 1/15/2015 | 150,000 | 138,692 |
5.125%, 8/15/2015 | 25,000 | 23,366 |
EOP Operating LP: | | |
7.0%, 7/15/2011 | 100,000 | 103,886 |
7.75%, 11/15/2007 | 45,000 | 46,114 |
ERP Operating LP, 6.625%, 3/15/2012 | 50,000 | 51,750 |
FleetBoston Financial Corp.: | | |
6.875%, 1/15/2028 | 45,000 | 47,449 |
7.375%, 12/1/2009 | 65,000 | 68,432 |
Fund American Co., Inc., 5.875%, 5/15/2013 | 50,000 | 47,975 |
General Electric Capital Corp.: | | |
Series A, 4.625%, 9/15/2009 | 63,000 | 61,240 |
5.45%, 1/15/2013 | 200,000 | 196,586 |
Series A, 5.875%, 2/15/2012 | 200,000 | 201,061 |
6.0%, 6/15/2012 | 200,000 | 202,297 |
Series A, 6.75%, 3/15/2032 | 50,000 | 53,371 |
6.875%, 11/15/2010 | 50,000 | 52,331 |
Hartford Financial Services Group, Inc., 4.625%, 7/15/2013 | 50,000 | 46,039 |
HSBC Bank USA, 4.625%, 4/1/2014 (a) | 50,000 | 45,843 |
HSBC Finance Corp.: | | |
4.75%, 7/15/2013 | 100,000 | 92,966 |
5.0%, 6/30/2015 | 50,000 | 46,141 |
5.5%, 1/19/2016 | 50,000 | 47,618 |
5.875%, 2/1/2009 | 100,000 | 100,615 |
6.375%, 10/15/2011 | 50,000 | 51,097 |
6.4%, 6/17/2008 | 100,000 | 101,330 |
6.75%, 5/15/2011 | 125,000 | 129,668 |
7.0%, 5/15/2012 | 100,000 | 105,233 |
International Lease Finance Corp., 3.5%, 4/1/2009 | 25,000 | 23,590 |
iStar Financial, Inc., 5.15%, 3/1/2012 | 75,000 | 71,310 |
John Deere Capital Corp.: | | |
6.0%, 2/15/2009 | 35,000 | 35,250 |
7.0%, 3/15/2012 | 100,000 | 105,574 |
John Hancock Financial Services, Inc., 5.625%, 12/1/2008 | 25,000 | 25,030 |
JPMorgan Chase & Co.: | | |
6.375%, 4/1/2008 | 100,000 | 100,893 |
6.75%, 2/1/2011 | 100,000 | 103,939 |
7.125%, 6/15/2009 | 100,000 | 103,584 |
KeyCorp., Series G, 4.7%, 5/21/2009 | 100,000 | 97,377 |
KFW International Finance, Inc., 7.0%, 3/1/2013 | 275,000 | 297,166 |
Lehman Brothers Holdings, Inc.: | | |
3.5%, 8/7/2008 | 50,000 | 47,861 |
4.0%, 1/22/2008 | 50,000 | 48,694 |
Series G, 4.8%, 3/13/2014 | 200,000 | 184,904 |
Marsh & McLennan Companies, Inc., 5.375%, 7/15/2014 (a) | 50,000 | 46,554 |
Marshall & Ilsley Corp., 4.375%, 8/1/2009 | 50,000 | 48,185 |
MBIA, Inc., 9.375%, 2/15/2011 | 125,000 | 142,944 |
MBNA America Bank NA, 4.625%, 8/3/2009 | 50,000 | 48,613 |
Merrill Lynch & Co., Inc.: | | |
5.0%, 2/3/2014 | 25,000 | 23,377 |
Series C, 5.0%, 1/15/2015 | 25,000 | 23,271 |
6.0%, 2/17/2009 | 250,000 | 251,659 |
MetLife, Inc.: | | |
5.0%, 6/15/2015 | 100,000 | 92,506 |
6.125%, 12/1/2011 | 25,000 | 25,429 |
Morgan Stanley, 4.75%, 4/1/2014 | 325,000 | 297,966 |
Morgan Stanley Dean Witter & Co.: | | |
5.3%, 3/1/2013 | 100,000 | 96,726 |
6.6%, 4/1/2012 | 50,000 | 51,903 |
Nationwide Financial Services, 5.9%, 7/1/2012 | 25,000 | 24,974 |
PNC Funding Corp., 6.875%, 7/15/2007 | 100,000 | 100,772 |
Principal Life Income Fundings, 5.1%, 4/15/2014 | 25,000 | 23,895 |
ProLogis, 5.5%, 3/1/2013 | 20,000 | 19,409 |
Protective Life Secured Trust, Series 2004-A, 4.0%, 4/1/2011 | 25,000 | 23,167 |
Prudential Financial, Inc., Series B, 5.1%, 9/20/2014 | 100,000 | 94,218 |
Regions Financial Corp., 6.375%, 5/15/2012 | 50,000 | 51,384 |
Sanwa Bank Ltd., 7.4%, 6/15/2011 | 10,000 | 10,613 |
Simon Property Group LP, 6.35%, 8/28/2012 | 100,000 | 101,463 |
SLM Corp.: | | |
Series A, 4.0%, 1/15/2009 | 150,000 | 144,131 |
Series A, 5.0%, 10/1/2013 | 25,000 | 23,560 |
Swiss Bank Corp., 7.0%, 10/15/2015 (a) | 100,000 | 107,951 |
The Goldman Sachs Group, Inc.: | | |
5.125%, 1/15/2015 | 50,000 | 46,744 |
5.15%, 1/15/2014 | 100,000 | 94,779 |
5.5%, 11/15/2014 | 200,000 | 191,947 |
6.45%, 5/1/2036 | 25,000 | 23,951 |
6.6%, 1/15/2012 | 50,000 | 51,603 |
6.65%, 5/15/2009 | 15,000 | 15,385 |
6.875%, 1/15/2011 | 50,000 | 51,954 |
7.35%, 10/1/2009 | 50,000 | 52,391 |
Toyota Motor Credit Corp., 5.5%, 12/15/2008 | 30,000 | 29,908 |
US Bancorp: | | |
Series N, 3.95%, 8/23/2007 | 20,000 | 19,575 |
Series N, 5.1%, 7/15/2007 (a) | 20,000 | 19,871 |
US Bank National Association: | | |
4.8%, 4/15/2015 | 100,000 | 92,537 |
6.375%, 8/1/2011 | 100,000 | 102,915 |
Verizon Global Funding Corp.: | | |
7.75%, 12/1/2030 | 50,000 | 53,927 |
7.75%, 6/15/2032 | 100,000 | 107,662 |
Wachovia Bank NA: | | |
4.875%, 2/1/2015 (a) | 75,000 | 69,407 |
5.0%, 8/15/2015 (a) | 200,000 | 186,358 |
Wachovia Corp., 4.875%, 2/15/2014 | 50,000 | 46,789 |
Washington Mutual, Inc.: | | |
4.375%, 1/15/2008 (a) | 150,000 | 146,951 |
5.25%, 9/15/2017 | 20,000 | 18,270 |
Wells Fargo & Co.: | | |
4.95%, 10/16/2013 | 50,000 | 47,058 |
5.0%, 11/15/2014 | 50,000 | 47,064 |
6.45%, 2/1/2011 | 75,000 | 77,226 |
7.55%, 6/21/2010 | 200,000 | 213,573 |
Wells Fargo Financial, Inc., 5.5%, 8/1/2012 | 25,000 | 24,632 |
| 10,066,902 |
Health Care 0.6% |
Amgen, Inc., 4.85%, 11/18/2014 | 25,000 | 23,253 |
Bristol-Myers Squibb Co., 5.75%, 10/1/2011 | 150,000 | 149,600 |
Merck & Co, Inc., 6.4%, 3/1/2028 | 250,000 | 249,103 |
Schering-Plough Corp.: | | |
5.55%, 12/1/2013 | 50,000 | 48,468 |
6.75%, 12/1/2033 | 25,000 | 25,634 |
UnitedHealth Group, Inc.: | | |
4.875%, 4/1/2013 | 25,000 | 23,570 |
5.0%, 8/15/2014 | 50,000 | 46,762 |
WellPoint Health Networks, Inc., 6.375%, 1/15/2012 | 100,000 | 101,671 |
Wyeth, 4.375%, 3/1/2008 | 100,000 | 97,973 |
| 766,034 |
Industrials 1.0% |
Archer-Daniels-Midland Co., 5.935%, 10/1/2032 | 75,000 | 71,964 |
Burlington North Santa Fe, 5.9%, 7/1/2012 | 100,000 | 100,548 |
Caterpillar, Inc., 7.3%, 5/1/2031 | 70,000 | 80,662 |
Cendant Corp., 6.25%, 1/15/2008 | 25,000 | 25,225 |
CRH America, Inc., 5.3%, 10/15/2013 | 100,000 | 94,695 |
FedEx Corp., 9.65%, 6/15/2012 | 50,000 | 58,868 |
General Dynamics Corp., 5.375%, 8/15/2015 (a) | 100,000 | 97,088 |
Honeywell International, Inc., 7.5%, 3/1/2010 | 25,000 | 26,491 |
M.D.C. Holdings, Inc., 5.375%, 7/1/2015 (a) | 25,000 | 21,854 |
Norfolk Southern Corp.: | | |
5.64%, 5/17/2029 | 96,000 | 89,149 |
6.2%, 4/15/2009 | 50,000 | 50,534 |
7.8%, 5/15/2027 | 4,000 | 4,655 |
Northrop Grumman Corp., 7.125%, 2/15/2011 | 100,000 | 105,228 |
Pulte Homes, Inc., 6.375%, 5/15/2033 | 100,000 | 86,399 |
Raytheon Co., 6.75%, 8/15/2007 | 117,000 | 118,136 |
Republic Services, Inc., 7.125%, 5/15/2009 | 10,000 | 10,384 |
Union Pacific Corp.: | | |
6.65%, 1/15/2011 | 50,000 | 51,702 |
6.79%, 11/9/2007 | 16,000 | 16,207 |
United Technologies Corp.: | | |
6.1%, 5/15/2012 | 50,000 | 50,688 |
7.125%, 11/15/2010 | 50,000 | 52,750 |
Waste Management, Inc.: | | |
6.5%, 11/15/2008 | 50,000 | 50,781 |
7.0%, 7/15/2028 | 50,000 | 51,830 |
| 1,315,838 |
Information Technology 0.4% |
First Data Corp., 4.85%, 10/1/2014 (a) | 100,000 | 92,972 |
Hewlett-Packard Co., 6.5%, 7/1/2012 (a) | 50,000 | 51,850 |
International Business Machines Corp.: | | |
4.75%, 11/29/2012 | 100,000 | 94,764 |
6.5%, 1/15/2028 (a) | 125,000 | 128,518 |
Motorola, Inc., 7.625%, 11/15/2010 | 8,000 | 8,567 |
Pitney Bowes, Inc., 3.875%, 6/15/2013 | 100,000 | 88,813 |
ProLogis, 5.75%, 4/1/2016 | 25,000 | 24,100 |
Scana Corp.: | | |
6.25%, 2/1/2012 | 60,000 | 60,757 |
6.875%, 5/15/2011 | 25,000 | 26,057 |
| 576,398 |
Materials 0.6% |
Alcoa, Inc.: | | |
6.0%, 1/15/2012 | 25,000 | 25,169 |
7.375%, 8/1/2010 | 100,000 | 105,705 |
Dow Chemical Co., 6.0%, 10/1/2012 | 100,000 | 100,737 |
E.I. du Pont de Nemours & Co., 6.875%, 10/15/2009 | 150,000 | 155,481 |
International Paper Co.: | | |
5.5%, 1/15/2014 | 100,000 | 94,570 |
6.75%, 9/1/2011 | 40,000 | 41,330 |
Meadwestvaco Corp., 6.85%, 4/1/2012 | 70,000 | 71,240 |
Praxair, Inc., 3.95%, 6/1/2013 (a) | 50,000 | 44,704 |
Weyerhaeuser Co., 6.75%, 3/15/2012 | 150,000 | 153,249 |
| 792,185 |
Telecommunication Services 1.0% |
Ameritech Capital Funding, 6.55%, 1/15/2028 (a) | 100,000 | 94,607 |
AT&T Wireless Services, Inc., 7.875%, 3/1/2011 | 100,000 | 107,712 |
BellSouth Corp.: | | |
5.2%, 9/15/2014 | 50,000 | 46,521 |
5.2%, 12/15/2016 (a) | 50,000 | 45,518 |
6.0%, 11/15/2034 (a) | 100,000 | 88,863 |
Cingular Wireless, 6.5%, 12/15/2011 | 75,000 | 76,855 |
Clear Channel Communications, Inc.: | | |
4.4%, 5/15/2011 | 50,000 | 45,313 |
7.65%, 9/15/2010 | 50,000 | 52,148 |
Embarq Corp.: | | |
7.082%, 6/1/2016 | 75,000 | 74,588 |
7.995%, 6/1/2036 | 25,000 | 25,128 |
GTE North, Inc., 5.65%, 11/15/2008 | 100,000 | 98,993 |
SBC Communications, Inc.: | | |
5.1%, 9/15/2014 | 25,000 | 23,193 |
5.875%, 8/15/2012 | 150,000 | 148,364 |
Sprint Capital Corp.: | | |
6.875%, 11/15/2028 | 195,000 | 196,444 |
8.375%, 3/15/2012 | 75,000 | 82,867 |
Verizon New York, Inc., Series A, 6.875%, 4/1/2012 | 25,000 | 25,332 |
Verizon Virginia, Inc., 4.625%, 3/15/2013 | 100,000 | 89,851 |
| 1,322,297 |
Utilities 1.4% |
American Electric Power Co., Inc., 5.25%, 6/1/2015 | 100,000 | 93,316 |
Arizona Public Service, 6.5%, 3/1/2012 | 25,000 | 25,315 |
Atmos Energy Corp., 4.95%, 10/15/2014 | 25,000 | 22,788 |
Boston Edison Co., 4.875%, 4/15/2014 | 25,000 | 23,583 |
Cleveland Electric Illuminating Co., Series D, 7.88%, 11/1/2017 | 75,000 | 84,226 |
Consolidated Edison Co. of New York, Inc., 4.875%, 2/1/2013 | 50,000 | 47,399 |
Consolidated Natural Gas Corp., 6.625%, 12/1/2008 | 200,000 | 203,185 |
Constellation Energy Group, Inc., 7.0%, 4/1/2012 | 25,000 | 26,060 |
Dominion Resources, Inc., Series A, 8.125%, 6/15/2010 | 90,000 | 96,588 |
DTE Energy Co., 7.05%, 6/1/2011 | 50,000 | 51,940 |
Exelon Corp., 6.75%, 5/1/2011 | 50,000 | 51,670 |
Florida Power & Light Co., 4.95%, 6/1/2035 | 50,000 | 41,474 |
General Electric Co., 5.0%, 2/1/2013 | 100,000 | 95,784 |
KeySpan Corp.: | | |
7.875%, 2/1/2010 | 25,000 | 26,542 |
8.0%, 11/15/2030 | 50,000 | 58,425 |
Kinder Morgan, Inc., 6.5%, 9/1/2012 | 50,000 | 47,510 |
National Rural Utilities, 8.0%, 3/1/2032 | 100,000 | 120,759 |
Pacific Gas & Electric Co., 6.05%, 3/1/2034 | 125,000 | 117,977 |
Potomac Electric Power, 6.25%, 10/15/2007 | 100,000 | 100,555 |
Progress Energy, Inc.: | | |
5.85%, 10/30/2008 | 25,000 | 25,001 |
6.85%, 4/15/2012 | 35,000 | 36,276 |
7.1%, 3/1/2011 | 90,000 | 93,884 |
PSI Energy, Inc., 5.0%, 9/15/2013 | 50,000 | 46,973 |
Public Service Co. of Colorado, 4.875%, 3/1/2013 | 75,000 | 71,254 |
Sempra Energy: | | |
6.0%, 2/1/2013 | 25,000 | 24,880 |
7.95%, 3/1/2010 | 25,000 | 26,625 |
Southern California Edison Co., 6.0%, 1/15/2034 | 50,000 | 47,742 |
Wisconsin Energy Corp., 6.5%, 4/1/2011 | 50,000 | 51,197 |
| 1,758,928 |
Total Corporate Bonds (Cost $22,365,869) | 21,807,814 |
|
Foreign Bonds — US$ Denominated 4.9% |
Consumer Discretionary 0.0% |
British Sky Broadcasting Group PLC, 6.875%, 2/23/2009 | 50,000 | 51,190 |
Energy 0.4% |
Alberta Energy Co., Ltd., 7.65%, 9/15/2010 | 10,000 | 10,675 |
Canadian National Resources Ltd., 5.45%, 10/1/2012 | 25,000 | 24,267 |
EnCana Corp., 4.75%, 10/15/2013 | 50,000 | 46,190 |
Pemex Project Funding Master Trust: | | |
7.375%, 12/15/2014 | 100,000 | 103,200 |
7.875%, 2/1/2009 | 50,000 | 51,875 |
9.125%, 10/13/2010 | 150,000 | 164,250 |
Petro-Canada, 5.95%, 5/15/2035 | 100,000 | 91,426 |
| 491,883 |
Financials 1.9% |
Apache Finance Canada, 7.75%, 12/15/2029 (a) | 25,000 | 29,340 |
Asian Development Bank, 4.5%, 9/4/2012 | 250,000 | 237,946 |
Axa, 8.6%, 12/15/2030 | 50,000 | 59,505 |
Barclays Bank PLC, 7.4%, 12/15/2009 | 60,000 | 63,179 |
British Transco Finance, Inc., 6.625%, 6/1/2018 (a) | 100,000 | 105,351 |
China Development Bank, 5.0%, 10/15/2015 (a) | 50,000 | 46,650 |
Corp. Andina De Fomento: | | |
5.2%, 5/21/2013 | 75,000 | 71,133 |
6.875%, 3/15/2012 | 10,000 | 10,460 |
Deutsche Telekom International Finance BV: | | |
5.25%, 7/22/2013 | 100,000 | 93,940 |
8.0%, 6/15/2010 | 50,000 | 53,678 |
Dow Capital BV, 9.2%, 6/1/2010 | 50,000 | 55,689 |
European Investment Bank: | | |
4.0%, 3/3/2010 | 250,000 | 238,826 |
4.625%, 5/15/2014 | 50,000 | 47,484 |
HSBC Holding PLC, 7.5%, 7/15/2009 | 150,000 | 157,363 |
Koninklijke (Royal) KPN NV: | | |
8.0%, 10/1/2010 | 25,000 | 26,517 |
8.375%, 10/1/2030 | 50,000 | 53,677 |
Korea Development Bank, 4.625%, 9/16/2010 | 100,000 | 95,386 |
Kreditanstalt fuer Wiederaufbau: | | |
3.5%, 3/14/2008 | 200,000 | 193,615 |
4.25%, 6/15/2010 | 110,000 | 105,314 |
Landwirtschaftliche Rentenbank, 3.875%, 3/15/2010 | 250,000 | 237,137 |
National Australia Bank Ltd., Series A, 8.6%, 5/19/2010 | 50,000 | 54,796 |
National Westminster Bank PLC, 7.375%, 10/1/2009 | 50,000 | 52,944 |
Royal Bank of Scotland Group PLC: | | |
5.05%, 1/8/2015 | 100,000 | 94,402 |
7.648%, 8/31/2049 | 50,000 | 53,812 |
Santander Central Hispano Issuances, 7.625%, 9/14/2010 | 50,000 | 53,442 |
Svensk Exportkredit AB, Series C, 4.0%, 6/15/2010 (a) | 100,000 | 94,929 |
The International Bank for Reconstruction & Development, 8.625%, 10/15/2016 | 100,000 | 122,144 |
| 2,508,659 |
Industrials 0.1% |
Canadian National Railway Co., 4.4%, 3/15/2013 | 50,000 | 46,214 |
Tyco International Group SA: | | |
6.0%, 11/15/2013 | 20,000 | 19,814 |
6.375%, 10/15/2011 | 40,000 | 40,815 |
7.0%, 6/15/2028 | 50,000 | 52,180 |
| 159,023 |
Materials 0.1% |
Alcan, Inc.: | | |
4.5%, 5/15/2013 | 100,000 | 91,568 |
4.875%, 9/15/2012 | 10,000 | 9,497 |
5.2%, 1/15/2014 | 25,000 | 23,685 |
| 124,750 |
Sovereign Bonds 1.6% |
Canadian Government, 5.25%, 11/5/2008 (a) | 100,000 | 100,101 |
Government of Malaysia, 8.75%, 6/1/2009 | 10,000 | 10,751 |
Kingdom of Sweden, 12.0%, 2/1/2010 | 220,000 | 266,407 |
Province of British Columbia, 5.375%, 10/29/2008 | 50,000 | 49,968 |
Province of Manitoba, 5.5%, 10/1/2008 | 200,000 | 200,148 |
Province of Nova Scotia, 5.75%, 2/27/2012 | 50,000 | 50,381 |
Province of Ontario: | | |
4.375%, 2/15/2013 | 100,000 | 93,943 |
4.5%, 2/3/2015 (a) | 150,000 | 139,469 |
Province of Quebec, 5.75%, 2/15/2009 | 50,000 | 50,285 |
Republic of Chile, 6.875%, 4/28/2009 | 10,000 | 10,264 |
Republic of Italy: | | |
3.625%, 9/14/2007 | 20,000 | 19,565 |
4.5%, 1/21/2015 | 250,000 | 231,381 |
6.875%, 9/27/2023 (a) | 200,000 | 220,909 |
Republic of Korea, 8.875%, 4/15/2008 | 50,000 | 52,868 |
United Mexican States: | | |
4.625%, 10/8/2008 | 25,000 | 24,375 |
6.375%, 1/16/2013 (a) | 350,000 | 350,875 |
8.625%, 3/12/2008 | 40,000 | 42,000 |
Series A, 9.875%, 2/1/2010 | 190,000 | 213,750 |
| 2,127,440 |
Telecommunication Services 0.6% |
British Telecommunications PLC: | | |
8.375%, 12/15/2010 | 50,000 | 54,894 |
8.875%, 12/15/2030 | 70,000 | 86,030 |
France Telecom SA: | | |
7.75%, 3/1/2011 | 75,000 | 80,565 |
8.5%, 3/1/2031 | 75,000 | 90,246 |
Nippon Telegraph & Telephone Corp., 6.0%, 3/25/2008 (a) | 10,000 | 10,057 |
Telecom Italia Capital: | | |
5.25%, 10/1/2015 | 50,000 | 45,256 |
6.375%, 11/15/2033 | 75,000 | 67,812 |
Telefonica Europe BV, 7.75%, 9/15/2010 | 125,000 | 132,606 |
Vodafone Group PLC: | | |
5.0%, 12/16/2013 | 100,000 | 92,426 |
7.75%, 2/15/2010 | 50,000 | 52,846 |
| 712,738 |
Utilities 0.2% |
Hydro-Quebec, Series HY, 8.4%, 1/15/2022 | 100,000 | 125,909 |
Ontario Electricity Financial Corp., 6.1%, 1/30/2008 | 35,000 | 35,286 |
United Utilities PLC, 5.375%, 2/1/2019 | 30,000 | 27,156 |
| 188,351 |
Total Foreign Bonds — US$ Denominated (Cost $6,456,655) | 6,364,034 |
|
Asset Backed 1.4% |
Automobile Receivables 0.4% |
Capital One Prime Auto Receivables Trust, "A3", Series 2006-1, 4.99%, 9/15/2010 | 100,000 | 99,041 |
Chase Manhattan Auto Owner Trust, "A3", Series 2005-B, 4.84%, 7/15/2009 | 100,000 | 99,182 |
Honda Auto Receivables Owner Trust, "A4", Series 2004-2, 3.81%, 10/15/2009 | 100,000 | 97,443 |
Household Automotive Trust, "A3", Series 2005-3, 4.8%, 10/18/2010 | 100,000 | 98,848 |
Nissan Auto Receivables Owner Trust, "A4", Series 2005-C, 4.31%, 3/15/2011 | 100,000 | 96,793 |
| 491,307 |
Credit Card Receivables 0.6% |
Capital One Multi-Asset Execution Trust, "A7", Series 2005-A7, 4.7%, 6/15/2015 | 100,000 | 95,327 |
Citibank Credit Card Issuance Trust, "A10", Series 2003-A10, 4.75%, 12/10/2015 | 100,000 | 94,229 |
Citibank Credit Card Master Trust I, "A", Series 1999-2, 5.875%, 3/10/2011 | 100,000 | 100,779 |
MBNA Credit Card Master Note Trust: | | |
"A1", Series 2005-A1, 4.2%, 9/15/2010 | 100,000 | 97,780 |
"A1", Series 2006-A1, 4.9%, 7/15/2011 | 200,000 | 197,107 |
MBNA Master Credit Card Trust: | | |
"A", Series 1999-B, 5.9%, 8/15/2011 | 50,000 | 50,512 |
"A", Series 1999-J, 7.0%, 2/15/2012 | 200,000 | 208,732 |
| 844,466 |
Home Equity Loans 0.2% |
Chase Funding Mortgage Loan, "1A4", Series 2004-2, 5.323%, 5/25/2031 | 100,000 | 99,134 |
GMAC Mortgage Corp. Loan Trust, "A5", Series 2004-HE5, 4.865%, 9/25/2034 | 100,000 | 96,969 |
| 196,103 |
Miscellaneous 0.2% |
Centerpoint Energy Transition II, "A4", Series 2005-A, 5.17%, 8/1/2019 | 100,000 | 95,560 |
Detroit Edison Securitization, "A3", Series 2001-1, 5.875%, 3/1/2010 | 68,724 | 68,915 |
Oncor Electric Delivery Transition Bond Co., "A3", Series 2003-1, 4.95%, 2/15/2015 | 100,000 | 97,038 |
PECO Energy Transition Trust, "A7", Series 1999-A, 6.13%, 3/1/2009 | 50,000 | 50,341 |
| 311,854 |
Total Asset Backed (Cost $1,878,007) | 1,843,730 |
|
US Government Sponsored Agencies 9.2% |
Federal Home Loan Bank: | | |
2.75%, 3/14/2008 | 625,000 | 597,600 |
3.875%, 6/14/2013 (a) | 1,000,000 | 906,674 |
4.5%, 11/15/2012 (a) | 1,000,000 | 946,638 |
Federal Home Loan Mortgage Corp.: | | |
4.125%, 7/12/2010 (a) | 1,000,000 | 951,275 |
4.25%, 7/15/2009 | 2,000,000 | 1,934,638 |
4.5%, 1/15/2013 (a) | 500,000 | 472,571 |
6.75%, 9/15/2029 | 3,000 | 3,421 |
7.0%, 3/15/2010 (a) | 450,000 | 472,694 |
Federal National Mortgage Association: | | |
4.25%, 5/15/2009 (a) | 750,000 | 726,754 |
4.375%, 10/15/2006 (a) | 1,600,000 | 1,595,374 |
5.25%, with various maturities from 4/15/2007 until 1/15/2009 (a) | 1,500,000 | 1,495,296 |
6.25%, 5/15/2029 | 450,000 | 486,659 |
6.96%, 4/2/2007 | 500,000 | 505,032 |
7.125%, 1/15/2030 (a) | 50,000 | 59,721 |
7.25%, 5/15/2030 (a) | 650,000 | 788,117 |
Total US Government Sponsored Agencies (Cost $12,290,660) | 11,942,464 |
|
US Government Agency Sponsored Pass-Throughs 32.5% |
Federal Home Loan Mortgage Corp.: | | |
4.0%, 1/1/2020 | 816,427 | 752,675 |
4.5%, 11/1/2020 | 1,904,910 | 1,798,448 |
5.0%, with various maturities from 9/17/2007 until 9/1/2035 | 7,534,002 | 7,176,175 |
5.5%, with various maturities from 11/1/2013 until 6/1/2035 | 5,596,839 | 5,394,336 |
6.0%, with various maturities from 10/1/2034 until 6/1/2036 | 1,878,723 | 1,851,279 |
6.5%, with various maturities from 12/1/2014 until 9/1/2034 | 840,424 | 845,979 |
7.0%, with various maturities from 12/1/2024 until 12/1/2026 | 87,746 | 90,084 |
7.5%, with various maturities from 5/1/2024 until 7/1/2027 | 25,528 | 26,497 |
Federal National Mortgage Association: | | |
4.5%, with various maturities from 2/1/2020 until 7/1/2035 | 2,926,945 | 2,729,581 |
5.0%, with various maturities from 11/1/2020 until 4/1/2036 | 8,616,762 | 8,172,355 |
5.5%, with various maturities from 1/1/2018 until 6/1/2036** | 7,650,561 | 7,374,961 |
6.0%, with various maturities from 10/1/2009 until 6/1/2036 | 4,055,308 | 4,013,127 |
6.5%, with various maturities from 1/1/2018 until 10/1/2034 | 1,131,913 | 1,142,494 |
7.0%, with various maturities from 6/1/2012 until 12/1/2033 | 816,033 | 836,188 |
7.5%, with various maturities from 1/1/2024 until 4/1/2028 | 44,388 | 46,056 |
8.0%, with various maturities from 12/1/2021 until 11/1/2031 | 77,710 | 81,997 |
8.5%, with various maturities from 12/1/2025 until 8/1/2031 | 32,472 | 34,861 |
Total US Government Agency Sponsored Pass-Throughs (Cost $43,917,119) | 42,367,093 |
|
Commercial and Non-Agency Mortgage-Backed Securities 4.3% |
Banc of America Commercial Mortgage, Inc.: | | |
"A4", Series 2004-1, 4.76%, 11/10/2039 | 200,000 | 186,604 |
"A3", Series 2003-2, 4.873%, 3/11/2041 | 300,000 | 286,399 |
Bear Stearns Commercial Mortgage Securities, Inc.: | | |
"A2", Series 1999-WF2, 7.08%, 7/15/2031 | 400,000 | 413,489 |
"A1", Series 2000-WF2, 7.11%, 10/15/2032 | 180,434 | 183,140 |
"A2", Series 2000-WF1, 7.78%, 2/15/2032 | 150,000 | 158,656 |
Capco America Securitization Corp., "A1B", Series 1998-D7, 6.26%, 10/15/2030 | 100,000 | 101,170 |
Citigroup Commercial Mortgage Trust, "A4", Series 2004-C1, 5.356%*, 4/15/2040 | 100,000 | 97,268 |
Commercial Mortgage Pass-Through Certificate, "A2", Series 2004-LB4A, 4.049%, 10/15/2037 | 200,000 | 190,486 |
Countrywide Asset-Backed Certificates, "AF3", Series 2005-1, 4.575%, 7/25/2035 | 100,000 | 98,744 |
Credit Suisse Mortgage Capital Certificates, "A4", Series 2006-C1, 5.609%, 2/15/2039 | 180,000 | 175,633 |
CS First Boston Mortgage Securities Corp.: | | |
"A2", Series 2003-CPN1, 4.597%, 3/15/2035 | 215,000 | 201,018 |
"A3", Series 2001-CF2, 6.238%, 2/15/2034 | 197,355 | 198,127 |
DLJ Commercial Mortgage Corp., "A1B", Series 1998-CG1, 6.41%, 6/10/2031 | 83,917 | 84,727 |
First Union National Bank Commercial Mortgage: | | |
"A2", Series 2001-C4, 6.223%, 12/12/2033 | 150,000 | 153,127 |
"A1", Series 1999-C4, 7.184%, 12/15/2031 | 20,049 | 20,135 |
GE Capital Commercial Mortgage Corp., "A4", Series 2003-C2, 5.145%, 7/10/2037 | 337,000 | 323,825 |
GMAC Commercial Mortgage Securities, Inc., "A4", Series 2003-C3, 5.023%, 4/10/2040 | 200,000 | 190,155 |
Greenwich Capital Commercial Funding Corp., "A7", Series 2004-GG1, 5.317%, 6/10/2036 | 200,000 | 193,136 |
GS Mortgage Securities Corp. II: | | |
"A4A", Series 2005-GG4, 4.751%, 7/10/2039 | 100,000 | 92,421 |
"A6", Series 2004-GG2, 5.396%, 8/10/2038 | 100,000 | 96,734 |
JPMorgan Chase Commercial Mortgage Securities: | | |
"A2", Series 2004-C1, 4.302%, 1/15/2038 | 300,000 | 281,238 |
"A2", Series 2002-CIB5, 5.161%, 10/12/2037 | 200,000 | 193,428 |
LB Commercial Conduit Mortgage Trust, "A1", Series 1999-C2, 7.105%, 10/15/2032 | 34,714 | 34,794 |
LB-UBS Commercial Mortgage Trust: | | |
"A4", Series 2002-C1, 6.462%, 3/15/2031 | 200,000 | 206,376 |
"A2", Series 2001-C2, 6.653%, 11/15/2027 | 100,000 | 103,557 |
Merrill Lynch Mortgage Trust: | | |
"A4", Series 2005-MCP1, 4.747%, 6/12/2043 | 200,000 | 184,294 |
"A6", Series 2005-CKI1, 5.244%, 11/12/2037 | 100,000 | 95,929 |
Merrill Lynch/Countrywide Commercial Mortgage Trust, "A4", Series 2006-1, 5.62%, 2/12/2039 | 200,000 | 194,721 |
Morgan Stanley Capital I, "A4", Series 2005-HQ5, 5.168%, 1/14/2042 | 250,000 | 238,087 |
Morgan Stanley Dean Witter Capital I: | | |
"A2", Series 2002-TOP7, 5.98%, 1/15/2039 | 185,000 | 186,227 |
"A2", Series 1999-LIFE, 7.11%, 4/15/2033 | 100,000 | 103,579 |
Wachovia Bank Commercial Mortgage Trust: | | |
"A3", Series 2003-C9, 4.608%, 12/15/2035 | 100,000 | 95,135 |
"A4", Series 2004-C15, 4.803%, 10/15/2041 | 200,000 | 185,493 |
Total Commercial and Non-Agency Mortgage-Backed Securities (Cost $5,689,846) | 5,547,852 |
|
Municipal Bonds and Notes 0.1% |
Illinois, State General Obligation, Taxable Pension, 5.1%, 6/1/2033 | 75,000 | 67,380 |
Oregon, State General Obligation, Taxable Pension, 5.892%, 6/1/2027 | 25,000 | 24,850 |
Total Municipal Bonds and Notes (Cost $94,457) | 92,230 |
|
Government National Mortgage Association 3.5% |
Government National Mortgage Association: | | |
5.5%, with various maturities from 9/15/2033 until 3/15/2035 | 2,501,726 | 2,423,149 |
6.0%, with various maturities from 2/15/2029 until 8/15/2035 | 1,115,340 | 1,107,189 |
6.5%, with various maturities from 11/15/2023 until 8/15/2034 | 685,417 | 693,529 |
7.5%, with various maturities from 8/15/2029 until 6/15/2032 | 104,216 | 108,951 |
8.0%, with various maturities from 7/15/2022 until 3/15/2032 | 152,414 | 161,712 |
8.5%, 11/15/2029 | 23,788 | 25,537 |
9.0%, 1/15/2023 | 29,087 | 31,432 |
Total Government National Mortgage Association (Cost $4,695,203) | 4,551,499 |
|
US Treasury Obligations 25.6% |
US Treasury Bonds: | | |
4.5%, 2/15/2036 (a) | 350,000 | 313,824 |
5.375%, 2/15/2031 (a) | 1,670,000 | 1,698,834 |
6.0%, 2/15/2026 (a) | 810,000 | 877,394 |
6.25%, 8/15/2023 (a) | 700,000 | 772,024 |
7.25%, 8/15/2022 (a) | 900,000 | 1,085,836 |
7.625%, 11/15/2022 (a) | 90,000 | 112,423 |
7.875%, 2/15/2021 (a) | 300,000 | 377,484 |
8.0%, 11/15/2021 (a) | 565,000 | 722,582 |
8.75%, 5/15/2020 | 300,000 | 400,758 |
8.75%, 8/15/2020 (a) | 450,000 | 602,649 |
US Treasury Notes: | | |
3.0%, 11/15/2007 (a) | 1,500,000 | 1,456,347 |
3.5%, 8/15/2009 (a) | 1,500,000 | 1,430,684 |
3.5%, 11/15/2009 (a) | 1,750,000 | 1,663,389 |
3.625%, 7/15/2009 (a) | 500,000 | 479,121 |
3.875%, 9/15/2010 (a) | 2,500,000 | 2,385,547 |
4.125%, 5/15/2015 (a) | 540,000 | 501,420 |
4.25%, 11/30/2007 (a) | 3,650,000 | 3,601,809 |
4.25%, 1/15/2011 (a) | 2,700,000 | 2,607,082 |
4.25%, 8/15/2013 (a) | 650,000 | 616,688 |
4.375%, 11/15/2008 (a) | 1,650,000 | 1,621,770 |
4.5%, 2/15/2009 (a) | 2,900,000 | 2,854,122 |
4.5%, 11/15/2015 (a) | 4,375,000 | 4,167,187 |
4.5%, 2/15/2016 (a) | 1,660,000 | 1,579,334 |
4.625%, 2/29/2008 (a) | 1,500,000 | 1,486,347 |
Total US Treasury Obligations (Cost $34,240,783) | 33,414,655 |
|
Shares
| Value ($) |
| |
Securities Lending Collateral 29.9% |
Daily Assets Fund Institutional, 5.10% (b) (c) (Cost $38,981,266) | 38,981,266 | 38,981,266 |
|
Cash Equivalents 3.2% |
Cash Management QP Trust, 5.07% (d) (Cost $4,161,968) | 4,161,968 | 4,161,968 |
| % of Net Assets | Value ($) |
| |
Total Investment Portfolio (Cost $174,771,833)+ | 131.3 | 171,074,605 |
Other Assets and Liabilities, Net | (31.3) | (40,758,131) |
Net Assets | 100.0 | 130,316,474 |
* Floating rate notes are securities whose yields vary with a designated market index or maturity rate, such as the coupon-equivalent of the US Treasury bill rate. These securities are shown at their current rate as of June 30, 2006.
** When-issued security
+ The cost for federal income tax purposes was $174,771,833. At June 30, 2006, net unrealized depreciation for all securities based on tax cost was $3,697,228. This consisted of aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost of $650,155 and aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value of $4,347,383.
(a) All or a portion of these securities were on loan (see Notes to Financial Statements). The value of all securities loaned at June 30, 2006 amounted to $38,381,541 which is 29.5% of net assets.
(b) Daily Assets Fund Institutional, an affiliated fund, is managed by Deutsche Asset Management, Inc. The rate shown is the annualized seven-day yield at period end.
(c) Represents collateral held in connection with securities lending.
(d) Cash Management QP Trust, an affilated fund, is managed by Deutsche Investment Management Americas Inc. The rate shown is the annualized seven-day yield at period end.
144A: Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
REIT: Real Estate Investment Trust
Included in the portfolio are investments in mortgage or asset-backed securities which are interests in separate pools of mortgages or assets. Effective maturities of these investments may be shorter than stated maturities due to prepayments. Some separate investments in the Federal Home Loan Mortgage Corp, Federal National Mortgage Association and Government National Mortgage Association issues which have similar coupon rates have been aggregated for presentation purposes in this investment portfolio.
The accompanying notes are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities as of June 30, 2006 (Unaudited) |
Investments: Investments in securities, at value (cost $131,628,599) — including $38,381,541 of securities loaned | $ 127,931,371 |
Investment in Cash Management QP Trust (cost $4,161,968) | 4,161,968 |
Investment in Daily Assets Fund Institutional (cost $38,981,266)* | 38,981,266 |
Total investments in securities, at value (cost $174,771,833) | 171,074,605 |
Cash | 10,000 |
Receivable for Fund shares sold | 498,132 |
Interest receivable | 1,340,291 |
Other assets | 22,772 |
Total assets | 172,945,800 |
Liabilities |
Distributions payable | 76,578 |
Payable upon return of securities loaned | 38,981,266 |
Payable for investments purchased | 2,511,656 |
Payable for when issued and forward delivery securities | 691,045 |
Payable for Fund shares redeemed | 264,383 |
Other accrued expenses and payables | 104,398 |
Total liabilities | 42,629,326 |
Net assets, at value | $ 130,316,474 |
Net Assets |
Net assets consist of: Undistributed net investment income | 4,050 |
Net unrealized appreciation (depreciation) on investment securities | (3,697,228) |
Accumulated net realized gain (loss) | (75,855) |
Paid-in capital | 134,085,507 |
Net assets, at value | $ 130,316,474 |
Net Asset Value |
Net Asset Value, offering and redemption price(a) per share ($130,316,474 ÷ 13,222,812 outstanding shares of beneficial interest, $.01 par value, unlimited number of shares authorized) | $ 9.86 |
* Represents collateral on securities loaned.
(a) Redemption price per share for shares held less than 15 days is equal to net asset value less a 2% redemption fee.
The accompanying notes are an integral part of the financial statements.
Statement of Operations for the six months ended June 30, 2006(a) (Unaudited) |
Investment Income |
Net investment income allocated from the U.S. Bond Index Portfolio: Interest | $ 247,465 |
Interest — Cash Management QP Trust | 4,980 |
Securities lending income, including income from Daily Assets Fund Institutional, net of borrower rebates | 3,464 |
Expenses allocated from the Portfolio(b) | (4,347) |
Net investment income (loss) allocated from the U.S. Bond Index Portfolio | 251,562 |
Interest | 2,801,324 |
Interest — Cash Management QP Trust | 91,796 |
Securities lending income, including income from Daily Assets Fund Institutional, net of borrower rebates | 30,024 |
Total Income | 3,174,706 |
Expenses: Investment advisory fee | 85,318 |
Administrative service fee | 103,025 |
Administration fee | 10,649 |
Custodian fee | 6,121 |
Auditing | 15,816 |
Legal | 25,110 |
Trustees' fees and expenses | 3,590 |
Reports to shareholders | 28,839 |
Registration fees | 11,765 |
Services to shareholders | 3,056 |
Pricing service fee | 35,554 |
Other | 9,159 |
Total expenses before expense reductions | 338,002 |
Expense reductions | (239,888) |
Total expenses after expense reductions | 98,114 |
Net investment income | 3,076,592 |
(a) On January 13, 2006, the U.S. Bond Index Portfolio, a master portfolio for a master-feeder structure, closed. The Statement of Operations includes the DWS U.S. Bond Index Fund's information as a stand-alone and feeder fund for the respective periods (see Note A in the Notes to Financial Statements).
(b) For the period from January 1, 2006 through January 13, 2006, the Advisor of the U.S. Bond Index Portfolio waived/reimbursed fees in the amount of $29,093, which was allocated to the Fund.
The accompanying notes are an integral part of the financial statements.
Statement of Operations for the six months ended June 30, 2006(a) (Unaudited) (continued) |
Realized and Unrealized Gain (Loss) on Investment Transactions |
Net realized gain (loss) allocated from the U.S. Bond Index Portfolio from investments | (75,921) |
Net realized gain (loss) from investments | (71,833) |
| (147,754) |
Net unrealized appreciation (depreciation) during the period allocated from the U.S. Bond Index Portfolio on investments | 517,684 |
Net unrealized appreciation (depreciation) during the period on investments | (4,331,510) |
| (3,813,826) |
Net gain (loss) on investment transactions | (3,961,580) |
Net increase (decrease) in net assets resulting from operations | $ (884,988) |
(a) On January 13, 2006, the U.S. Bond Index Portfolio, a master portfolio for a master-feeder structure, closed. The Statement of Operations includes the DWS U.S. Bond Index Fund's information as a stand-alone and feeder fund for the respective periods (see Note A in the Notes to Financial Statements).
The accompanying notes are an integral part of the financial statements.
Statement of Changes in Net Assets |
Increase (Decrease) in Net Assets | Six Months Ended June 30, 2006(a) (Unaudited) | Year Ended December 31, 2005 |
Operations: Net investment income | $ 3,076,592 | $ 6,845,881 |
Net realized gain (loss) on investment transactions | (147,754) | 187,957 |
Net unrealized appreciation (depreciation) during the period on investment transactions | (3,813,826) | (3,470,654) |
Net increase (decrease) in net assets resulting from operations | (884,988) | 3,563,184 |
Distributions to shareholders from: Net investment income | (3,081,503) | (6,837,606) |
Net realized gains | (74,461) | (285,778) |
Fund share transactions: Proceeds from shares sold | 21,106,702 | 32,369,863 |
Reinvestment of distributions | 2,521,221 | 6,024,824 |
Cost of shares redeemed | (9,750,320) | (74,141,912) |
Redemption fees | 348 | 826 |
Net increase (decrease) in net assets from Fund share transactions | 13,877,951 | (35,746,399) |
Increase (decrease) in net assets | 9,836,999 | (39,306,599) |
Net assets at beginning of period | 120,479,475 | 159,786,074 |
Net assets at end of period (including undistributed net investment income of $4,050 and $8,961, respectively) | $ 130,316,474 | $ 120,479,475 |
a On January 13, 2006, the U.S. Bond Index Portfolio, a master portfolio for a master-feeder structure, closed. The Statement of Changes in Net Assets includes the DWS U.S. Bond Index Fund's information as a stand-alone and feeder fund for the respective periods (See Note A in the Notes to Financial Statements).
The accompanying notes are an integral part of the financial statements.
Financial Highlights
Years Ended December 31, | 2006a | 2005 | 2004 | 2003 | 2002 | 2001 |
Selected Per Share Data |
Net asset value, beginning of period | $ 10.18 | $ 10.41 | $ 10.46 | $ 10.60 | $ 10.42 | $ 10.24 |
Income (loss) from investment operations: Net investment income (loss) | .24b | .43b | .37b | .44b | .52b | .59 |
Net realized and unrealized gain (loss) on investment transactions | (.30) | (.20) | .06 | (.05) | .50 | .23 |
Total from investment operations | (.06) | .23 | .43 | .39 | 1.02 | .82 |
Less distributions from: Net investment income | (.25) | (.44) | (.37) | (.42) | (.52) | (.59) |
Net realized gain on investment transactions | (.01) | (.02) | (.11) | (.11) | (.32) | (.05) |
Total distributions | (.26) | (.46) | (.48) | (.53) | (.84) | (.64) |
Redemption fees | .00*** | .00*** | — | — | — | — |
Net asset value, end of period | $ 9.86 | $ 10.18 | $ 10.41 | $ 10.46 | $ 10.60 | $ 10.42 |
Total Return (%)c | (.67)** | 2.22 | 4.27 | 3.75 | 10.04 | 8.19 |
Ratios to Average Net Assets and Supplemental Data |
Net assets, end of period ($ millions) | 130 | 120 | 160 | 143 | 100 | 110 |
Ratio of expenses before expense reductions, including expenses allocated from the U.S. Bond Index Portfolio (%) | .60* | .57 | .48 | .50 | .52 | .53 |
Ratio of expenses after expense reductions, including expenses allocated from the U.S. Bond Index Portfolio (%) | .16* | .15 | .15 | .15 | .15 | .15 |
Ratio of net investment income (loss) (%) | 4.95* | 4.24 | 3.57 | 4.27 | 4.94 | 5.68 |
Portfolio turnover rate | 21e* | 45d | 71d | 173d | 235d | 232 |
a For the six months ended June 30, 2006 (Unaudited). b Based on average shares outstanding during the period. c Total return would have been lower had certain expenses not been reduced. d The portfolio turnover rates including mortgage dollar roll transactions were 203%, 341%, 271% and 266% for the periods ended December 31, 2005, December 31, 2004, December 31, 2003 and December 31, 2002, respectively. e On January 13, 2006, the U.S. Bond Index Portfolio was closed (See Note A in the Notes to Financial Statements). This ratio includes the purchase and sale of portfolio securities of the DWS U.S. Bond Index Fund as a stand-alone fund in addition to the U.S. Bond Index Portfolio. * Annualized. ** Not annualized. *** Amount is less than $.005. |
Notes to Financial Statements (Unaudited)
A. Significant Accounting Policies
DWS U.S. Bond Index Fund (the "Fund") is a diversified series of the DWS Advisor Funds II (the "Trust"), which is registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as an open-end management investment company organized as a Massachusetts business trust.
On August 8, 2005, the Board of Directors approved dissolving the DWS U.S. Bond Index Fund master-feeder structure, and converting the Fund to a stand-alone fund. On January 13, 2006, the Fund received net assets with a value of $121,508,592 which included net unrealized appreciation of $669,128 from the U.S. Bond Index Portfolio (the "Portfolio") in a tax free exchange for its beneficial ownership in the Portfolio. Activity prior to this conversion is included in the Financial Statements.
The Fund's financial statements are prepared in accordance with accounting principles generally accepted in the United States of America which require the use of management estimates. Actual results could differ from those estimates. The policies described below are followed consistently by the Fund in the preparation of its financial statements.
Security Valuation. Investments are stated at value determined as of the close of regular trading on the New York Stock Exchange on each day the exchange is open for trading. Debt securities are valued by independent pricing services approved by the Trustees of the Fund. If the pricing services are unable to provide valuations, securities are valued at the most recent bid quotation or evaluated price, as applicable, obtained from a broker-dealer. Such services may use various pricing techniques which take into account appropriate factors such as yield, quality, coupon rate, maturity, type of issue, trading characteristics and other data, as well as broker quotes.
Money market instruments purchased with an original or remaining maturity of sixty days or less, maturing at par, are valued at amortized cost. Investments in open-end investments companies and Cash Management QP Trust are valued at their net asset value each business day.
Securities and other assets for which market quotations are not readily available or for which the above valuation procedures are deemed not to reflect fair value are valued in a manner that is intended to reflect their fair value as determined in accordance with procedures approved by the Trustees.
Securities Lending. The Fund may lend securities to financial institutions. The Fund retains beneficial ownership of the securities it has loaned and continues to receive interest and dividends paid by the securities and to participate in any changes in their market value. The Fund requires the borrowers of the securities to maintain collateral with the Fund consisting of liquid, unencumbered assets having a value at least equal to the value of the securities loaned. The Fund may invest the cash collateral into a joint trading account in an affiliated money market fund pursuant to Exemptive Orders issued by the SEC. The Fund receives compensation for lending its securities either in the form of fees or by earning interest on invested cash collateral net of fees paid to a lending agent. Either the Fund or the borrower may terminate the loan. The Fund is subject to all investment risks associated with the value of any cash collateral received, including, but not limited to, interest rate, credit and liquidity risk associated with such investments.
Mortgage Dollar Rolls. The Fund may enter into mortgage dollar rolls in which the Fund sells mortgage-backed securities for delivery in the current month and simultaneously contracts to repurchase similar, but not identical, securities at an agreed upon price and date. During the period between the sale and repurchase, the Fund will not be entitled to earn interest and receive principal payment on securities sold. The Fund receives compensation as consideration for entering into the commitment to repurchase. The compensation is paid in the form of a lower price for the security upon its repurchase or, alternatively, a fee. Mortgage dollar rolls may be renewed with a new sale and repurchase price and a cash settlement made at each renewal without physical delivery of the securities subject to the contract.
Certain risks may arise upon entering into mortgage dollar rolls from the potential inability of counterparties to meet the terms of their commitments. Additionally, the value of the securities sold by the Fund may decline below the repurchase price of those securities.
When-Issued/Delayed Delivery Securities. The Fund may purchase securities with delivery or payment to occur at a later date beyond the normal settlement period. At the time the Fund enters into a commitment to purchase a security, the transaction is recorded and the value of the security is reflected in the net asset value. The price of such security and the date when the security will be delivered and paid for are fixed at the time the transaction is negotiated. The value of the security may vary with market fluctuations. No interest accrues to the Fund until payment takes place. At the time the Fund enters into this type of transaction it is required to segregate cash or other liquid assets at least equal to the amount of the commitment.
Certain risks may arise upon entering into when-issued or delayed delivery securities from the potential inability of counterparties to meet the terms of their contracts or if the issuer does not issue the securities due to political, economic, or other factors. Additionally, losses may arise due to changes in the value of the underlying securities.
Federal Income Taxes. The Fund's policy is to comply with the requirements of the Internal Revenue Code, as amended, which are applicable to regulated investment companies, and to distribute all of its taxable income to its shareholders. Accordingly, the Fund paid no federal income taxes and no federal income tax provision was required.
In July 2006, the Financial Accounting Standards Board (FASB) issued Interpretation No. 48, "Accounting for Uncertainty in Income Taxes — an interpretation of FASB Statement No. 109" (the "Interpretation"). The Interpretation establishes for the Fund a minimum threshold for financial statement recognition of the benefit of positions taken in filing tax returns (including whether the Fund is taxable in certain jurisdictions), and requires certain expanded tax disclosures. The Interpretation is effective for fiscal years beginning after December 15, 2006. Management will begin to evaluate the application of the Interpretation to the Fund and is not in a position at this time to estimate the significance of its impact, if any, on the Fund's financial statements.
Distribution of Income and Gains. Net investment income is declared as a daily dividend and distributed to shareholders monthly. Net realized gains from investment transactions, in excess of available capital loss carryforwards, would be taxable to the Fund if not distributed, and, therefore, will be distributed to shareholders at least annually.
The timing and characterization of certain income and capital gains distributions are determined annually in accordance with federal tax regulations which may differ from accounting principles generally accepted in the United States of America. These differences primarily relate to certain securities sold at a loss. As a result, net investment income (loss) and net realized gain (loss) on investment transactions for a reporting period may differ significantly from distributions during such period. Accordingly, the Fund may periodically make reclassifications among certain of its capital accounts without impacting the net asset value of the Fund.
The tax character of current year distributions will be determined at the end of the current fiscal year.
Redemption Fees. The Fund imposes a redemption fee of 2% of the total redemption amount on the Fund shares redeemed or exchanged within 15 days of buying them, either by purchase or exchange. This fee is assessed and retained by the Fund for the benefit of the remaining shareholders. The redemption fee is accounted for as an addition to paid-in capital.
Contingencies. In the normal course of business, the Fund may enter into contracts with service providers that contain general indemnification clauses. The Fund's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet been made. However, based on experience, the Fund expects the risk of loss to be remote.
Other. Investment transactions are accounted for on a trade date plus one basis for daily net asset value calculations. However, for financial reporting purposes, investment security transactions are reported on trade date. Interest income is recorded on the accrual basis. Dividend income is recorded on the ex-dividend date. Realized gains and losses from investment transactions are recorded on an identified cost basis. All premiums and discounts are amortized/accreted for both tax and financial reporting purposes.
B. Purchases and Sales of Securities
During the six months ended June 30, 2006, purchases and sales of investment securities (excluding short-term investments and US Treasury obligations, including the purchases and sales of securities as a stand-alone fund and the U.S. Bond Index Portfolio) aggregated $10,875,801 and $12,541,959, respectively. Purchases and sales of US Treasury obligations aggregated $14,244,748 and $0, respectively.
C. Related Parties
DWS Scudder is part of Deutsche Asset Management, which is the marketing name in the US for the asset management activities of Deutsche Bank AG. Deutsche Asset Management, Inc. ("DeAM, Inc." or the "Advisor"), an indirect, wholly owned subsidiary of Deutsche Bank AG, is the Advisor for the Fund.
Investment Advisory Agreement. Under the Investment Advisory Agreement, the Advisor directs the investments of the Fund in accordance with its investment objectives, policies and restrictions. The advisory fee payable under the Investment Advisory Agreement is equal to an annual rate of 0.15% of the Fund's average daily net assets, computed and accrued daily and payable monthly. Northern Trust Investments, N.A. ("NTI") serves as sub-advisor to the Fund and is paid by the Advisor for its services. NTI is responsible for the day to day management of the Fund.
For the period January 1, 2006 through May 31, 2006, the Advisor and the Administrator have contractually agreed to waive a portion of their fees and/or reimburse expenses of the Fund to the extent necessary to maintain the annualized expenses at 0.15% including expenses allocated from the Portfolio.
Effective June 1, 2006 through September 30, 2006, the Advisor and Administrator have contractually agreed to waive a portion of their fees and/or reimburse expenses of the Fund necessary to maintain the total operating expenses at 0.147% (excluding certain expenses such as extraordinary expenses, taxes, brokerage, interest and organizational and offering expenses).
For the period January 1, 2006 through January 13, 2006, the Investment Advisory Fee charged to the Portfolio was $7,939, all of which was waived. In addition, the Advisor and Administrator reimbursed the Portfolio $18,508 of other expenses.
For the period from January 14, 2006 through June 30, 2006, the Investment Advisory Fee charged to the Fund was $85,318, all of which was waived.
In addition, under this arrangement the Advisor and Administrator reimbursed the Fund $50,735 of other expenses.
Administrative Service Fee. Prior to June 1, 2006, Investment Company Capital Corp. ("ICCC" or the "Administrator"), an indirect, wholly owned subsidiary of Deutsche Bank AG, was the Fund's Administrator. For its services as Administrator, ICCC received a fee (the "Administrative Service Fee") of 0.20% of the Fund's average daily net assets, computed and accrued daily and paid monthly.
For the period January 1, 2006 through May 31, 2006, the Administrative Service Fee charged to the Fund was $103,025, all of which was waived.
Effective June 1, 2006, the Administration Agreement with ICCC was terminated and the Fund entered into an Administrative Services Agreement with Deutsche Investment Management Americas Inc. ("DeIM"), an indirect, wholly owned subsidiary of Deutsche Bank AG, pursuant to which DeIM provided most administrative services to the Fund. For all services provided under the Administrative Services Agreement, the Fund pays DeIM a fee of 0.10% of the Fund's average daily net assets, computed and accrued daily and payable monthly. For the period June 1, 2006 through June 30, 2006, the administration fee charged to the Fund was $10,649, all of which was waived.
For the period January 1, 2006 through January 13, 2006, ICCC served as Administrator for the Portfolio and received a fee of 0.05% of the average daily net assets, computed and accrued daily and payable monthly. For the period January 1, 2006 through January 13, 2006, the Administrative Service Fee charged to the Portfolio was $2,646, all of which was waived.
Service Provider Fees. DWS Scudder Investments Service Company ("DWS-SISC"), an affiliate of the Advisor, is the transfer agent, dividend-paying agent and shareholder service agent for the Fund. Pursuant to a sub-transfer agency agreement between DWS-SISC and DST Systems, Inc. ("DST"), DWS-SISC has delegated certain transfer agent and dividend paying agent functions to DST. DWS-SISC compensates DST out of the shareholder servicing fee it receives from the Fund. Prior to June 1, 2006, the fees were paid under the Administrative Service Agreement with ICCC. For the period June 1, 2006 through June 30, 2006, the amount charged to the Fund by DWS-SISC aggregated $2,982, all of which was waived by the Advisor.
Typesetting and Filing Service Fees. Under an agreement with DeIM, DeIM is compensated for providing typesetting and certain regulatory filing services to the Fund. For the six months ended June 30, 2006, the amount charged to the Fund by DeIM included in reports to shareholders aggregated $11,040, of which $8,520 is unpaid.
Trustees' Fees and Expenses. As compensation for his or her services, each Independent Trustee receives an aggregated annual fee, plus a fee for each meeting attended (plus reimbursement for reasonable out-of-pocket expenses incurred in connection with his or her attendance at board and committee meetings) from each fund in the Fund Complex for which he or she serves. In addition, the Chairman of the Board and the Chairman of each committee of the Board receive additional compensation for their services. Payment of such fees and expenses is allocated among all such funds described above in direct proportion to their relative net assets.
Cash Management QP Trust. Pursuant to an Exemptive Order issued by the SEC, the Fund may invest in the Cash Management QP Trust (the "QP Trust") and other affiliated funds managed by its Advisor. The QP Trust seeks to provide as high a level of current income as is consistent with the preservation of capital and the maintenance of liquidity. The QP Trust does not pay its Advisor a management fee for the affiliated funds' investments in the QP Trust.
D. Expense Reductions
For the six months ended June 30, 2006, the Advisor agreed to reimburse the Fund $2,133, which represents a portion of the fee savings expected to be realized by the Advisor related to the outsourcing by the Advisor of certain administrative services to an unaffiliated service provider.
In addition, the Fund has entered into an arrangement with its custodian whereby credits realized as a result of uninvested cash balances are used to reduce a portion of the Fund's custodian expenses. During the six months ended June 30, 2006, the Fund's custodian fees were reduced by $46 for custody credits earned.
E. Line of Credit
The Fund and several other affiliated funds (the "Participants") share in a $750 million revolving credit facility administered by JPMorgan Chase Bank N.A. for temporary emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities. The Participants are charged an annual commitment fee which is allocated, based upon net assets, among each of the Participants. Interest is calculated at the Federal Funds Rate plus 0.5 percent. The Fund may borrow up to a maximum of 33 percent of its net assets under this agreement.
F. Share Transactions
The following table summarizes share and dollar activity in the Fund:
| Six Months Ended June 30, 2006 | Year Ended December 31, 2005 |
| Shares | Dollars | Shares | Dollars |
Shares sold | 2,110,921 | $ 21,106,702 | 3,143,650 | $ 32,369,863 |
Shares issued to shareholders in reinvestment of distributions | 252,332 | $ 2,521,221 | 586,077 | $ 6,024,824 |
Shares redeemed | (974,342) | $ (9,750,320) | (7,251,945) | $ (74,141,912) |
Redemption fees | | $ 348 | | $ 826 |
Net increase (decrease) | 1,388,911 | $ 13,877,951 | (3,522,218) | $ (35,746,399) |
G. Regulatory Matters and Litigation
Market Timing Related Regulatory and Litigation Matters. Since at least July 2003, federal, state and industry regulators have been conducting ongoing inquiries and investigations ("inquiries") into the mutual fund industry, and have requested information from numerous mutual fund companies, including DWS Scudder. The DWS funds' advisors have been cooperating in connection with these inquiries and are in discussions with the regulators concerning proposed settlements. Publicity about mutual fund practices arising from these industry-wide inquiries serves as the general basis of a number of private lawsuits against the DWS funds. These lawsuits, which previously have been reported in the press, involve purported class action and derivative lawsuits, making various allegations and naming as defendants various persons, including certain DWS funds, the funds' investment advisors and their affiliates, and certain individuals, including in some cases fund Trustees/Directors, officers, and other parties. Each DWS fund's investment advisor has agreed to indemnify the applicable DWS funds in connection with these lawsuits, or other lawsuits or regulatory actions that may be filed making allegations similar to these lawsuits regarding market timing, revenue sharing, fund valuation or other subjects arising from or related to the pending inquiries. It is not possible to determine with certainty what the outcome of these inquiries will be or what the effect, if any, would be on the funds or their advisors.
With respect to the lawsuits, based on currently available information, the funds' investment advisors believe the likelihood that the pending lawsuits will have a material adverse financial impact on a DWS fund is remote and such actions are not likely to materially affect their ability to perform under their investment management agreements with the DWS funds.
With respect to the regulatory matters, Deutsche Asset Management ("DeAM") has advised the funds as follows:
DeAM expects to reach final agreements with regulators in 2006 regarding allegations of improper trading in the DWS funds. DeAM expects that it will reach settlement agreements with the Securities and Exchange Commission, the New York Attorney General and the Illinois Secretary of State providing for payment of disgorgement, penalties, and investor education contributions totaling approximately $134 million. Approximately $127 million of this amount would be distributed to shareholders of the affected DWS funds in accordance with a distribution plan to be developed by an independent distribution consultant. DeAM does not believe that any of the DWS funds will be named as respondents or defendants in any proceedings. The funds' investment advisors do not believe these amounts will have a material adverse financial impact on them or materially affect their ability to perform under their investment management agreements with the DWS funds. The above-described amounts are not material to Deutsche Bank, and they have already been reserved.
Based on the settlement discussions thus far, DeAM believes that it will be able to reach a settlement with the regulators on a basis that is generally consistent with settlements reached by other advisors, taking into account the particular facts and circumstances of market timing at DeAM and at the legacy Scudder and Kemper organizations prior to their acquisition by DeAM in April 2002. Among the terms of the expected settled orders, DeAM would be subject to certain undertakings regarding the conduct of its business in the future, including maintaining existing management fee reductions for certain funds for a period of five years. DeAM expects that these settlements would resolve regulatory allegations that it violated certain provisions of federal and state securities laws (i) by entering into trading arrangements that permitted certain investors to engage in market timing in certain DWS funds and (ii) by failing more generally to take adequate measures to prevent market timing in the DWS funds, primarily during the 1999-2001 period. With respect to the trading arrangements, DeAM expects that the settlement documents will include allegations related to one legacy DeAM arrangement, as well as three legacy Scudder and six legacy Kemper arrangements. All of these trading arrangements originated in businesses that existed prior to the current DeAM organization, which came together in April 2002 as a result of the various mergers of the legacy Scudder, Kemper and Deutsche fund groups, and all of the arrangements were terminated prior to the start of the regulatory investigations that began in the summer of 2003. No current DeAM employee approved the trading arrangements.
There is no certainty that the final settlement documents will contain the foregoing terms and conditions. The independent Trustees/Directors of the DWS funds have carefully monitored these regulatory investigations with the assistance of independent legal counsel and independent economic consultants.
Other Regulatory Matters. DeAM is also engaged in settlement discussions with the Enforcement Staffs of the SEC and the NASD regarding DeAM's practices during 2001-2003 with respect to directing brokerage commissions for portfolio transactions by certain DWS funds to broker-dealers that sold shares in the DWS funds and provided enhanced marketing and distribution for shares in the DWS funds. In addition, DWS Scudder Distributors, Inc. is in settlement discussions with the Enforcement Staff of the NASD regarding DWS Scudder Distributors' payment of non-cash compensation to associated persons of NASD member firms, as well as DWS Scudder Distributors' procedures regarding non-cash compensation regarding entertainment provided to such associated persons.
H. Subsequent Event
On July 10, 2006, DWS U.S. Bond Index Fund became a series of DWS Institutional Funds, an open-end investment management company. Prior to July 10, 2006, DWS U.S. Bond Index Fund was a series of DWS Advisor Funds II, an open-end investment management company.
Other Information
Additional information announced by Deutsche Asset Management regarding the terms of the expected settlements referred to in the Market Timing Related Regulatory and Litigation Matters and Other Regulatory Matters in the Notes to Financial Statements will be made available at www.dws-scudder.com/regulatory_settlements, which will also disclose the terms of any final settlement agreements once they are announced.
Shareholder Meeting Results
A Special Meeting of shareholders (the "Meeting") of DWS U.S. Bond Index Fund (the "Fund") was held on May 5, 2006, at the offices of Deutsche Asset Management, 345 Park Avenue, New York, New York 10154. At the Meeting, the following matters were voted upon by the shareholders (the resulting votes are presented below).
I. Election of Trustees. ("Number of Votes" represents all Funds that are series of DWS Advisor Funds II.)
| Number of Votes: |
| For | Withheld |
Henry P. Becton, Jr. | 24,443,160.842 | 314,924.000 |
Dawn-Marie Driscoll | 24,442,894.842 | 315,190.000 |
Keith R. Fox | 24,443,320.842 | 314,764.000 |
Kenneth C. Froewiss | 24,443,320.842 | 314,764.000 |
Martin J. Gruber | 24,443,320.842 | 314,764.000 |
Richard J. Herring | 24,443,320.842 | 314,764.000 |
Graham E. Jones | 24,443,320.842 | 314,764.000 |
Rebecca W. Rimel | 24,442,894.842 | 315,190.000 |
Philip Saunders, Jr. | 24,443,160.842 | 314,924.000 |
William N. Searcy, Jr. | 24,443,160.842 | 314,924.000 |
Jean Gleason Stromberg | 24,442,894.842 | 315,190.000 |
Carl W. Vogt | 24,443,320.842 | 314,764.000 |
Axel Schwarzer | 24,443,160.842 | 314,924.000 |
II-A. Approval of an Amended and Restated Investment Management Agreement with the Fund's Current Investment Advisor:
Number of Votes: |
For | Against | Abstain | Broker Non-Votes* |
7,746,980.837 | 47,666.238 | 28,227.000 | 1,546,735.000 |
II-B. Approval of an Amended and Restated Investment Management Agreement with Deutsche Investment Management Americas Inc.:
Number of Votes: |
For | Against | Abstain | Broker Non-Votes* |
7,749,232.075 | 45,406.000 | 28,236.000 | 1,546,735.000 |
II-C. Approval of a Subadvisor Approval Policy:
Number of Votes: |
For | Against | Abstain | Broker Non-Votes* |
7,748,137.075 | 44,499.000 | 30,238.000 | 1,546,735.000 |
III. Approval of revised fundamental investment restrictions on:
III-A. Borrowing Money
Number of Votes: |
For | Against | Abstain | Broker Non-Votes* |
7,762,578.075 | 51,202.000 | 9,094.000 | 1,546,735.000 |
III-B. Pledging Assets
Number of Votes: |
For | Against | Abstain | Broker Non-Votes* |
7,762,747.075 | 51,033.000 | 9,094.000 | 1,546,735.000 |
III-C. Senior Securities
Number of Votes: |
For | Against | Abstain | Broker Non-Votes* |
7,762,747.075 | 51,033.000 | 9,094.000 | 1,546,735.000 |
III-D. Concentration
Number of Votes: |
For | Against | Abstain | Broker Non-Votes* |
7,762,747.075 | 51,033.000 | 9,094.000 | 1,546,735.000 |
III-E. Underwriting of Securities
Number of Votes: |
For | Against | Abstain | Broker Non-Votes* |
7,762,747.075 | 51,033.000 | 9,094.000 | 1,546,735.000 |
III-F. Real Estate Investments
Number of Votes: |
For | Against | Abstain | Broker Non-Votes* |
7,762,747.075 | 51,033.000 | 9,094.000 | 1,546,735.000 |
III-G. Commodities
Number of Votes: |
For | Against | Abstain | Broker Non-Votes* |
7,762,578.075 | 51,202.000 | 9,094.000 | 1,546,735.000 |
III-H. Lending
Number of Votes: |
For | Against | Abstain | Broker Non-Votes* |
7,762,747.075 | 51,033.000 | 9,094.000 | 1,546,735.000 |
III-I Portfolio Diversification for Diversified Funds
Number of Votes: |
For | Against | Abstain | Broker Non-Votes* |
7,762,747.075 | 51,033.000 | 9,094.000 | 1,546,735.000 |
III-U. Oil, Gas and Mineral Programs
Number of Votes: |
For | Against | Abstain | Broker Non-Votes* |
7,762,747.075 | 51,033.000 | 9,094.000 | 1,546,735.000 |
V. Approval of Amended and Restated Agreements and Declaration of Trust. ("Number of Votes" represents all Funds that are series of DWS Advisor Funds II.)
Number of Votes: |
For | Against | Abstain | Broker Non-Votes* |
18,337,453.842 | 74,369.000 | 97,082.000 | 6,249,180.000 |
IX. Approval of Reorganization into Another Trust. ("Number of Votes" represents all Funds that are series of DWS Advisor Funds II.)
Number of Votes: |
For | Against | Abstain | Broker Non-Votes* |
7,751,392.075 | 42,550.000 | 28,932.000 | 1,546,735.000 |
* Broker non-votes are proxies received by the fund from brokers or nominees when the broker or nominee neither has received instructions from the beneficial owner or other persons entitled to vote nor has discretionary power to vote on a particular matter.
Account Management Resources
For shareholders of Institutional Class |
Automated Information Lines | InvestorACCESS (800) 621-1048 Personalized account information, information on other DWS funds and services via touchtone telephone and for Classes A, B, and C only, the ability to exchange or redeem shares. |
Web Site | www.dws-scudder.com View your account transactions and balances, trade shares, monitor your asset allocation, and change your address, 24 hours a day. Obtain prospectuses and applications, blank forms, interactive worksheets, news about DWS funds, subscription to fund updates by e-mail, retirement planning information, and more. |
For More Information | (800) 621-1048 To speak with a DWS Scudder service representative. |
Written Correspondence | DWS Scudder PO Box 219356
Kansas City, MO 64121-9356 |
Proxy Voting | A description of the fund's policies and procedures for voting proxies for portfolio securities and information about how the fund voted proxies related to its portfolio securities during the 12-month period ended June 30 is available on our Web site — www.dws-scudder.com (click on "proxy voting"at the bottom of the page) — or on the SEC's Web site — www.sec.gov. To obtain a written copy of the fund's policies and procedures without charge, upon request, call us toll free at 1-800-621-1048. |
Principal Underwriter | If you have questions, comments or complaints, contact: DWS Scudder Distributors, Inc. 222 South Riverside Plaza
Chicago, IL 60606-5808 (800) 621-1148 |
| Institutional Class |
Nasdaq Symbol | BTUSX |
CUSIP Number | 23339C 750 |
Fund Number | 548 |
Privacy Statement
This privacy statement is issued by DWS Scudder Distributors, Inc., Deutsche Investment Management Americas Inc., Deutsche Asset Management, Inc., Investment Company Capital Corporation, DeAM Investor Services, Inc., DWS Trust Company and the DWS Funds.
We never sell customer lists or individual client information. We consider privacy fundamental to our client relationships and adhere to the policies and practices described below to protect current and former clients' information. Internal policies are in place to protect confidentiality, while allowing client needs to be served. Only individuals who need to do so in carrying out their job responsibilities may access client information. We maintain physical, electronic and procedural safeguards that comply with federal and state standards to protect confidentiality. These safeguards extend to all forms of interaction with us, including the Internet.
In the normal course of business, clients give us nonpublic personal information on applications and other forms, on our websites, and through transactions with us or our affiliates. Examples of the nonpublic personal information collected are name, address, Social Security number and transaction and balance information. To be able to serve our clients, certain of this client information is shared with affiliated and nonaffiliated third party service providers such as transfer agents, custodians, and broker-dealers to assist us in processing transactions and servicing your account with us. In addition, we may disclose all of the information we collect to companies that perform marketing services on our behalf or to other financial institutions with which we have joint marketing agreements. The organizations described above that receive client information may only use it for the purpose designated by the companies listed above.
We may also disclose nonpublic personal information about you to other parties as required or permitted by law. For example, we are required or we may provide information to government entities or regulatory bodies in response to requests for information or subpoenas, to private litigants in certain circumstances, to law enforcement authorities, or any time we believe it necessary to protect the firm.
Questions on this policy may be sent to:
DWS Scudder
Attention: Correspondence — Chicago
P.O. Box 219415
Kansas City, MO 64121-9415
February 2006
Notes
Notes
Notes
| ITEM 3. | AUDIT COMMITTEE FINANCIAL EXPERT. |
| ITEM 4. | PRINCIPAL ACCOUNTANT FEES AND SERVICES. |
| ITEM 5. | AUDIT COMMITTEE OF LISTED REGISTRANTS |
| ITEM 6. | SCHEDULE OF INVESTMENTS |
ITEM 7. | DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
ITEM 8. | PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
ITEM 9. | PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS |
| ITEM 10. | SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. |
The Committee on Independent Trustees/Directors selects and nominates Independent Trustees/Directors. Fund shareholders may also submit nominees that will be considered by the committee when a Board vacancy occurs. Submissions should be mailed to: c/o Dawn-Marie Driscoll, PO Box 100176, Cape Coral, FL 33910.
| ITEM 11. | CONTROLS AND PROCEDURES. |
(a) | The Chief Executive and Financial Officers concluded that the Registrant's Disclosure Controls and Procedures are effective based on the evaluation of the Disclosure Controls and Procedures as of a date within 90 days of the filing date of this report. |
(b) | There have been no changes in the registrant's internal control over financial reporting that occurred during the registrant's last half-year (the registrant's second fiscal half-year in the case of the annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal controls over financial reporting. |
(a)(1) | Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT. |
(b) | Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)) is furnished and attached hereto as Exhibit 99.906CERT. |
Form N-CSRS Item F
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.
Registrant: | DWS US Bond Index Fund, a series of DWS Advisor Funds II |
By: | /s/Michael G. Clark |
| Michael G. Clark | |
President
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.
Registrant: | DWS US Bond Index Fund, a series of DWS Advisor Funds II |
By: | /s/Michael G. Clark |
| Michael G. Clark | |
President
By: | /s/Paul Schubert |
| Paul Schubert | |
Chief Financial Officer and Treasurer
