Certified Annual Shareholder Report of a Management Investment Company — Form N-CSR
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1: N-CSR Certified Annual Shareholder Report of a 171± 863K
Management Investment Company
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3: EX-99.CERT Miscellaneous Exhibit 2 16K
2: EX-99.CODE ETH Miscellaneous Exhibit 2± 10K
N-CSR — Certified Annual Shareholder Report of a Management Investment Company
Document Table of Contents
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
Certified Shareholder Report of
Registered Management Investment Companies
Investment Company Act File Number: 811-3857
AMERICAN FUNDS INSURANCE SERIES
(Exact Name of Registrant as specified in charter)
333 South Hope Street
Los Angeles, California 90071
(Address of principal executive offices)
Registrant's telephone number, including area code: (213) 486-9200
Date of fiscal year end: December 31, 2003
Date of reporting period: December 31, 2003
Chad L. Norton
Capital Research and Management Company
333 South Hope Street
Los Angeles, California 90071
(name and address of agent for service)
Copies to:
Robert E. Carlson, Esq.
Paul, Hastings, Janofsky & Walker LLP
515 S. Flower Street
Los Angeles, California 90071
(Counsel for the Registrant)
ITEM 1 - Reports to Stockholders
[logo - American Funds(R)]
The right choice for the long term(R)
AMERICAN FUNDS INSURANCE SERIES
[front cover - photograph of lighthouse with rocks all around and reflection in
the water]
GUIDING A PATH TO YOUR FINANCIAL FUTURE
Annual report for the year ended December 31, 2003
American Funds Insurance Series(R) is the underlying investment vehicle for
several variable annuities and insurance products. The investment adviser for
American Funds Insurance Series is Capital Research and Management Company. For
more than seven decades, Capital Research has invested with a long-term focus
based on thorough research and attention to risk.
PORTFOLIO LISTINGS PAGE
Global Discovery Fund 22
Global Growth Fund 25
Global Small Capitalization Fund 28
Growth Fund 32
International Fund 35
New World Fund 38
Blue Chip Income and Growth Fund 41
Growth-Income Fund 43
Asset Allocation Fund 47
Bond Fund 54
High-Income Bond Fund 64
U.S. Government/AAA-Rated Securities Fund 71
Cash Management Fund 75
This report shows investment results for Class 1 and Class 2 shares of the funds
in American Funds Insurance Series. Class 2 shares began operations on April 30,
1997. Results encompassing periods prior to that date assume a hypothetical
investment in Class 1 shares and include deduction of the additional 0.25%
annual expense for Class 2 shares under the series' plan of distribution.
Results discussed in the letter to investors are for Class 2 shares. The
mountain charts on pages 2-13 illustrate the growth of a $10,000 investment in
each of the investment portfolios in American Funds Insurance Series (with the
exception of Cash Management Fund, which is managed to provide preservation of
principal) over the past 10 years -- or lifetime of the fund, if shorter than 10
years. The charts reflect results for Class 2 shares. The investment results
tables show the average annual total returns over various periods for both Class
1 and Class 2 shares. The variable annuities and life insurance contracts that
use the series' funds contain certain fees and expenses not reflected here.
FIGURES SHOWN ARE PAST RESULTS AND ARE NOT PREDICTIVE OF FUTURE PERIODS. CURRENT
AND FUTURE RESULTS MAY BE LOWER OR HIGHER THAN THOSE SHOWN. BECAUSE UNIT PRICES
MAY DECLINE, THE VALUE OF YOUR HOLDINGS MAY DECREASE. INVESTING FOR SHORT
PERIODS MAKES LOSSES MORE LIKELY. INVESTMENTS ARE NOT FDIC-INSURED, NOR ARE THEY
DEPOSITS OF OR GUARANTEED BY A BANK OR ANY OTHER ENTITY. FOR THE MOST CURRENT
INFORMATION AND MONTH-END RESULTS, VISIT AMERICANFUNDS.COM.
Investments outside the United States, especially those in developing countries,
involve additional risks, such as currency fluctuations. Small-company stocks
involve additional risks, and they can fluctuate in price more than larger
company stocks. High-yield bonds are subject to greater fluctuations in value
and risk of loss of income and principal, as more fully described in the
prospectus.
[photo - lighthouse with rocks all around and clouds in background]
FELLOW INVESTORS:
The year just ended was a strong period for American Funds Insurance Series.
Every fund in the series gained ground in calendar year 2003, and many of the
investment options outpaced their relative indexes, while posting their highest
gains in years.
The equity funds, especially those that focus on growth, generally had the
strongest returns, but fixed-income funds also rose. Many investment
professionals had expected 2003 to be a positive year, but few had anticipated
the strength and breadth of the stock market's rebound. After losing value for
three consecutive years, the unmanaged Standard and Poor's 500 Composite Index
gained 28.7% in 2003.
The market was poised for a rebound after the longest downturn since the Great
Depression, and several factors combined to boost stock prices. The relatively
quick end to the initial stage of hostilities in Iraq, low interest rates and
the growing strength of the economy played important roles in the market's
recovery.
The rally was broad-based with stocks in a number of unrelated industries
gaining ground. Technology stocks, which had led the market decline following
the bursting of the Internet bubble, rebounded strongly. The over-the-counter
Nasdaq Composite Index, home of many of the nation's technology companies, rose
50.0% in 2003. At the other end of the spectrum, stock prices also rose sharply
for companies in more basic industries such as metals and mining as the outlook
for the U.S. economy improved and demand from fast-growing economies such as
China rose. As an indication of the breadth of the market's rally, 460 of the
companies in the S&P 500 for the entire year gained ground in 2003.
Funds in the series that invest outside the United States also produced solid
returns, in part because the weaker dollar provided a strong tailwind. In Japan,
for example, the Nikkei 225 Stock Average gained 24.5% in local currency in 2003
but was up 37.7% when measured in U.S. dollars. Similarly, the German DAX rose
37.1% in local currency but gained 64.0% when measured in U.S. dollars.
Fixed-income investors, especially those who focused on the high-yield market,
saw the value of their funds rise in 2003 as well. The investment-grade bond
market, as measured by the Citigroup Broad Investment-Grade (BIG) Bond Index,
gained 4.2%, while the high-yield market, as measured by the Credit Suisse First
Boston High Yield Bond Index, gained 27.9%. Low interest rates and an improving
economy contributed to higher prices in the high-yield bond market. During the
year, many high-yield issuers took advantage of lower rates to reduce their debt
burden, which helped boost the price of their bonds. Meanwhile, with the economy
improving, the outlook for their businesses also improved. Improving business
prospects lessen the risk of default and boost the prices of high-yield bonds.
The market also benefited as investors regained confidence after the accounting
scandals and bankruptcies of companies such as Enron and WorldCom.
While we are naturally pleased with the past year's returns of all the funds in
American Funds Insurance Series, we must also caution our investors not to
expect such gains to be repeated. While we believe the equity markets could gain
ground again in 2004, we hasten to remind our investors that it is unlikely that
we are back to the bubble years of the late 1990s when 20% or higher annual
returns were prevalent. We expect more modest long-term returns, and we expect
that our approach to investing, based on in-depth fundamental analysis, will
continue to be successful.
We look forward to reporting to you again in six months.
Cordially,
/s/ James K. Dunton /s/ Donald D. O'Neal
James K. Dunton Donald D. O'Neal
Chairman of the Board President
February 6, 2004
GLOBAL DISCOVERY FUND
GLOBAL DISCOVERY FUND rose 37.1% in 2003, outpacing two of the three indexes
that form its benchmark. The S&P 500 rose 28.7%, while the Lipper Multi-Cap
Growth Funds Index gained 35.4%. The MSCI(R) EAFE(R) (Europe, Australasia, Far
East) Index rose 39.2%.
Global Discovery Fund was designed to take advantage of opportunities in the
services and information industries around the world. During 2003, the fund's
investments in information-related industries, especially its holdings of
diversified telecommunication services stocks, helped boost returns. Media and
semiconductors and semiconductor equipment stocks, which were two of the largest
single industry concentrations, rallied strongly in 2003 after suffering
severely during the market downturn.
The fund also benefited from the global rebound in equities. While the largest
portion of the fund's assets -- 56.8% -- was invested in the United States,
Japan accounted for 7.7%. With the Japanese economy showing signs of shaking off
a long slump, its stock market rebounded. The Nikkei 225 Stock Average rose
24.5% when measured in yen.
FIGURES SHOWN ARE PAST RESULTS AND ARE NOT PREDICTIVE OF FUTURE PERIODS. CURRENT
AND FUTURE RESULTS MAY BE LOWER OR HIGHER THAN THOSE SHOWN. BECAUSE UNIT PRICES
MAY DECLINE, THE VALUE OF YOUR HOLDINGS MAY DECREASE. FOR THE MOST CURRENT
INFORMATION AND MONTH-END RESULTS, VISIT AMERICANFUNDS.COM.
Where the fund's assets were invested based on total net assets for the 12
months ended December 31, 2003
[begin pie chart]
The Americas 58.0 %
Asia/Pasific Basin 14.3 %
Europe 9.9 %
Other .6 %
Cash & Equivalents 17.2 %
[end pie chart]
THE AMERICAS
United States 56.8 %
Mexico 1.0
Canada .2
58.0
ASIA/PACIFIC BASIN
Japan 7.7
Indonesia 2.0
Taiwan 1.8
Malaysia 1.4
South Korea 1.0
China .4
14.3
EUROPE
Netherlands 4.1
United Kingdom 1.4
Ireland 1.2
Spain 1.1
Germany 1.0
France 1.0
Italy .1
9.9
OTHER
Polynational .6
.6
Cash & Equivalents 17.2
Total 100.0 %
LARGEST INDIVIDUAL EQUITY SECURITIES PERCENT OF NET ASSETS
InterActiveCorp 3.4
Cisco Systems 2.6
American International Group 2.5
KPN 2.4
Time Warner 2.4
Express Scripts 1.8
Gap 1.7
Wells Fargo 1.7
AT&T Wireless Services 1.6
First Data 1.6
[begin mountain chart]
[Download Table]
MONTH GLOBAL LIPPER
ENDED DISCOVERY MULTI-CAP CONSUMER
FUND, MSCI EAFE GROWTH S&P 500 PRICE
CLASS 2 INDEX(1) INDEX (3) INDEX INDEX (2)
7/5/01 $10,000 $10,000 $10,000 $10,000 $10,000
9/30/01 8,310 8,791 9,696 8,569 10,017
12/31/01 9,329 9,404 8,999 9,485 9,927
3/31/02 9,429 9,458 8,691 9,511 10,045
6/30/02 8,256 9,275 7,187 8,237 10,107
9/30/02 6,801 7,449 5,962 6,815 10,169
12/31/02 7,307 7,932 6,315 7,389 10,163
3/31/03 7,156 7,287 6,267 7,157 10,348
6/30/03 8,466 8,713 7,302 8,258 10,320
9/30/03 9,021 9,426 7,679 8,476 10,404
12/31/03 10,019 11,038 8,550 9,508 10,354
[end mountain chart]
PERIOD ENDED DECEMBER 31, 2003 CLASS 1 CLASS 2
1 year - 37.41% - 37.11%
Lifetime (since 7/5/01) + 0.32 + 0.08
The indexes are unmanaged; do not reflect sales charges, commissions or
expenses; and cannot be invested in directly.
(1) MSCI EAFE (Europe, Australasia, Far East) Index.
(2) Computed from data supplied by the U.S. Department of Labor, Bureau of
Labor Statistics.
(3) This index tracks 30 U.S. growth funds representing a variety of market
capitalizations.
GLOBAL GROWTH FUND
GLOBAL GROWTH FUND gained 35.3% in 2003 as markets around the world rebounded.
With its strong return, the fund surpassed the MSCI World Index, which gained
33.8%.
The U.S. stock market began gaining momentum in the spring, and many of the
stocks that had lost value during the long, severe bear market rebounded
strongly in 2003. Global Growth Fund's pharmaceuticals stocks, which accounted
for 6.5% of the fund's portfolio at the end of the year, helped the fund when
prices recovered. Media stocks, which comprise the fund's third-largest industry
holding with 5.8% of assets, also gained ground.
While the fund invested around the world, its largest single country
concentration continued to be the United States with 23.6% of assets. But the
fund also invested 33.6% in Europe and 20.0% in the Asia/Pacific Basin region.
Investments outside the United States were aided by the dollar's slide. During
2003, the dollar lost 20% of its value against the euro and 10% against the
Japanese yen.
FIGURES SHOWN ARE PAST RESULTS AND ARE NOT PREDICTIVE OF FUTURE PERIODS. CURRENT
AND FUTURE RESULTS MAY BE LOWER OR HIGHER THAN THOSE SHOWN. BECAUSE UNIT PRICES
MAY DECLINE, THE VALUE OF YOUR HOLDINGS MAY DECREASE. FOR THE MOST CURRENT
INFORMATION AND MONTH-END RESULTS, VISIT AMERICANFUNDS.COM.
Where the fund's assets were invested based on total net assets for the 12
months ended December 31, 2003
[begin pie chart]
Europe 33.6 %
The Americas 31.8 %
Asia/Pacific Basin 20.0 %
Other countries 0.1 %
Cash and Equivalents 14.5 %
[end pie chart]
EUROPE
United Kingdom 8.5 %
Switzerland 4.6
Germany 4.5
Netherlands 3.9
France 3.0
Austria 2.8
Norway 2.2
Spain 1.3
Denmark 1.0
Other 1.8
33.6
THE AMERICAS
U.S. 23.6
Canada 5.0
Mexico 1.8
Brazil 1.4
31.8
ASIA/PACIFIC
Japan 11.1
South Korea 3.6
Australia 3.0
Taiwan 1.5
Other 0.8
20.0
OTHER
South Africa 0.1
0.1
Cash and Equivalents 14.5
Total 100.0 %
LARGEST INDIVIDUAL EQUITY SECURITIES PERCENT OF NET ASSETS
Vodafone 2.3 %
Time Warner 2.1
Telekom Austria 1.7
Societe Generale 1.7
AstraZeneca 1.6
Shionogi 1.5
Alcan 1.3
Orkla 1.2
Nestle 1.2
KPN 1.2
[begin mountain chart]
[Download Table]
MONTH GLOBAL GROWTH MSCI WORLD CONSUMER PRICE
ENDED FUND, CLASS 2 INDEX INDEX *
04/30/97 $10,000 $10,000 $10,000
06/30/97 $10,650 $11,150 $10,006
12/31/97 $10,834 $11,209 $10,069
06/30/98 $12,880 $13,098 $10,175
12/31/98 $13,948 $13,988 $10,231
06/30/99 $16,631 $15,203 $10,375
12/31/99 $23,666 $17,532 $10,506
06/30/00 $24,145 $17,109 $10,762
12/31/00 $19,200 $15,267 $10,861
06/30/01 $17,652 $13,686 $11,111
12/31/01 $16,471 $12,745 $11,030
06/30/02 $15,153 $11,649 $11,230
12/31/02 $14,060 $10,254 $11,292
6/30/2003 $15,564 $11,429 $11,467
12/31/2003 $19,019 $13,717 $11,504
[end mountain chart]
PERIOD ENDED DECEMBER 31, 2003 CLASS 1 CLASS 2
1 year +35.63% +35.27%
5 years + 6.64 + 6.40
Lifetime (since 4/30/97) +10.38 +10.12
The indexes are unmanaged; do not reflect sales charges, commissions or
expenses; and cannot be invested in directly.
* Computed from data supplied by the U.S. Department of Labor, Bureau of
Labor Statistics.
GLOBAL SMALL CAPITALIZATION FUND
GLOBAL SMALL CAPITALIZATION FUND had the strongest return of any fund in
American Funds Insurance Series, gaining 53.5% in 2003 and narrowly surpassing
the S&P/Citigroup World Smallcap Index, which rose 53.4%.
The strong return helped offset three years of declines and boosted the fund's
five-year average annual total return -- which encompasses the entire market
slump -- to 11.6%, easily outpacing the 8.8% five-year return of the
S&P/Citigroup World Smallcap Index.
In 2003, stock markets around the world were poised to rebound after one of the
longest and most severe downturns since the Great Depression. The equities of
media and technology companies, which were among the fund's largest industry
concentrations at the end of the year, were some of the hardest hit during the
downturn. When the market rallied, however, some of these same stocks were among
the leaders, helping the fund's results.
The fund had more assets invested in the United States than any other country.
The fund's non-U.S. holdings, which were aided by a weaker dollar, contributed
to the strongly positive return.
FIGURES SHOWN ARE PAST RESULTS AND ARE NOT PREDICTIVE OF FUTURE PERIODS. CURRENT
AND FUTURE RESULTS MAY BE LOWER OR HIGHER THAN THOSE SHOWN. BECAUSE UNIT PRICES
MAY DECLINE, THE VALUE OF YOUR HOLDINGS MAY DECREASE. FOR THE MOST CURRENT
INFORMATION AND MONTH-END RESULTS, VISIT AMERICANFUNDS.COM.
Where the fund's assets were invested based on total net assets for the 12
months ended December 31, 2003
[begin pie chart]
The Americas 55.9 %
Asia/Pacific Basin 25.4 %
Europe 14.7 %
Cash and Equivalents 4.0 %
[end pie chart]
THE AMERICAS
United States 47.0 %
Canada 8.9
55.9
ASIA/PACIFIC BASIN
Japan 3.6
India 3.4
South Korea 3.3
China 3.1
Taiwan 3.0
Hong Kong 2.5
Australia 2.3
Thailand 1.5
Singapore 1.2
Indonesia 1.0
Other .5
25.4
EUROPE
United Kingdom 4.4
Germany 2.6
Ireland 2.2
Switzerland 1.5
Sweden .9
Norway .8
Finland .6
Luxembourg .6
Other 1.1
14.7
Cash and Equivalents 4.0
Total 100.0 %
LARGEST INDIVIDUAL EQUITY SECURITIES PERCENT OF NET ASSETS
Amylin Pharmaceuticals 1.9 %
Performance Food Group 1.4
Sharper Image 1.3
Kingboard Chemical Holdings 1.2
PMC-Sierra 1.2
Education Management 1.2
CarMax 1.2
Lions Gate Entertainment 1.1
School Specialty 1.1
Wheaton River Minerals 1.0
[begin mountain chart]
[Download Table]
MONTH GLOBAL SMALL S&P/CITIGROUP CONSUMER
ENDED CAPITALIZATION WORLD SMALLCAP PRICE
FUND, CLASS 2 INDEX INDEX *
04/30/98 $10,000 $10,000 $10,000
06/30/98 $ 9,543 $ 9,536 $10,031
12/31/98 $10,247 $ 8,902 $10,086
06/30/99 $13,983 $ 9,927 $10,228
12/31/99 $19,609 $10,891 $10,357
06/30/00 $20,070 $11,402 $10,609
12/31/00 $16,368 $10,376 $10,708
06/30/01 $15,445 $10,628 $10,954
12/31/01 $14,265 $ 9,946 $10,874
06/30/02 $13,787 $10,256 $11,071
12/31/02 $11,547 $ 8,838 $11,132
6/30/03 $13,661 $10,528 $11,305
12/31/03 $17,728 $13,555 $11,342
[end mountain chart]
PERIOD ENDED DECEMBER 31, 2003 CLASS 1 CLASS 2
1 year + 53.92% + 53.53%
5 years + 11.86 + 11.59
Lifetime (since 4/30/98) + 10.89 + 10.62
The indexes are unmanaged; do not reflect sales charges, commissions or
expenses; and cannot be invested in directly.
* Computed from data supplied by the U.S. Department of Labor, Bureau of
Labor Statistics.
GROWTH FUND
GROWTH FUND gained 36.8% in 2003, by far the best result that the fund has
produced in several years. The fund handily outpaced its benchmark, the S&P 500,
which rose 28.7%.
The year didn't begin with great hope. War with Iraq was on the horizon, and the
U.S. economy showed few signs of life. But when the initial stage of hostilities
in Iraq ended quickly and the economy began to recover, the stage was set for a
rebound.
Growth stocks, such as those which make up the majority of the fund's portfolio,
typically are more volatile than the broader market, and when the market
recovered, many growth stocks were in the vanguard.
During 2003, the stocks of semiconductors and semiconductor equipment and media
companies, which made up 25.3% of the fund's portfolio at year-end, rebounded
after losing ground in the long market slump. Both technology and media were
major industry concentrations during 2003, and the higher prices for their
stocks helped the fund. The fund's holdings in oil stocks and some basic
industries, such as metals, also helped.
FIGURES SHOWN ARE PAST RESULTS AND ARE NOT PREDICTIVE OF FUTURE PERIODS. CURRENT
AND FUTURE RESULTS MAY BE LOWER OR HIGHER THAN THOSE SHOWN. BECAUSE UNIT PRICES
MAY DECLINE, THE VALUE OF YOUR HOLDINGS MAY DECREASE. FOR THE MOST CURRENT
INFORMATION AND MONTH-END RESULTS, VISIT AMERICANFUNDS.COM.
Where the fund's assets are invested based on total net assets for the period
ending December 31, 2003
[begin pie chart]
Equity securities 91.8 %
Cash and equivalents 8.2 %
[end pie chart]
LARGEST INDIVIDUAL EQUITY SECURITIES PERCENT OF NET ASSETS
Time Warner 3.9 %
InterActiveCorp 3.7
Altria 2.7
American International Group 2.7
Applied Materials 2.1
Microsoft 1.9
Comcast 1.9
News Corp 1.7
Target 1.7
Taiwan Semiconductor Manufacturing 1.7
[begin mountain chart]
[Download Table]
YEAR ENDED GROWTH FUND, S&P 500 CONSUMER PRICE
DEC. 31 CLASS 2 INDEX INDEX *
12/31/93 $10,000 $10,000 $10,000
12/31/94 $10,023 $10,132 $10,267
12/31/95 $13,321 $13,934 $10,528
12/31/96 $15,061 $17,131 $10,878
12/31/97 $19,549 $22,845 $11,063
12/31/98 $26,438 $29,373 $11,241
12/31/99 $41,580 $35,553 $11,543
12/31/00 $43,439 $32,317 $11,934
12/31/01 $35,555 $28,479 $12,119
12/31/02 $26,860 $22,187 $12,407
12/31/03 $36,746 $28,548 $12,641
[end mountain chart]
PERIOD ENDED DECEMBER 31, 2003 CLASS 1 CLASS 2
1 year + 37.15% + 36.80%
5 years + 7.07 + 6.81
10 years + 14.18 + 13.90
Lifetime (since 2/8/84) + 14.99 + 14.68
The indexes are unmanaged; do not reflect sales charges, commissions or
expenses; and cannot be invested in directly.
* Computed from data supplied by the U.S. Department of Labor, Bureau of
Labor Statistics.
INTERNATIONAL FUND
INTERNATIONAL FUND rose 34.9% during 2003 as markets in Asia and Europe gained
ground. The fund also benefited significantly from the decline of the U.S.
dollar. Despite the fund's strength, it trailed the MSCI EAFE (Europe,
Australasia, Far East) Index, which rose 39.2%.
The fund's holdings in Japan, accounting for 18.0% of the total assets at
year-end, helped as the nation's stock market showed signs of ending its 13-year
slump.
Europe remained International Fund's largest area of concentration in 2003, and
the fund benefited from the strength of the markets there. London's FTSE 100
gained 13.6% and Germany's DAX rose 37.1% when measured in local currencies.
While markets in Asia and Europe were strong, the U.S. dollar's weakness was one
of the biggest factors in the fund's rise. The U.S. dollar lost 20% against the
euro and 10% against the Japanese yen during 2003. The 24.5% gain of Japan's
Nikkei 225 Stock Average turned into a 37.7% gain when translated into U.S.
dollars, and Germany's DAX's 37.1% gain translated into a 64.0% gain in dollars.
FIGURES SHOWN ARE PAST RESULTS AND ARE NOT PREDICTIVE OF FUTURE PERIODS. CURRENT
AND FUTURE RESULTS MAY BE LOWER OR HIGHER THAN THOSE SHOWN. BECAUSE UNIT PRICES
MAY DECLINE, THE VALUE OF YOUR HOLDINGS MAY DECREASE. FOR THE MOST CURRENT
INFORMATION AND MONTH-END RESULTS, VISIT AMERICANFUNDS.COM.
Where the fund's assets were invested based on total net assets for the period
ending December 31, 2003
[begin pie chart]
Europe 48.9 %
Asia/Pacific Rim 30.9 %
The Americas 10.3 %
Other 1.0 %
Cash & Equivalents 8.9 %
[end pie chart]
EUROPE
United Kingdom 10.8 %
Netherlands 9.9
Switzerland 4.9
Germany 4.4
France 3.4
Norway 3.0
Austria 2.7
Spain 1.9
Ireland 1.7
Finland 1.7
Denmark 1.7
Sweden 1.2
Italy 1.0
Belgium 0.4
Greece 0.2
Poland 0.0
48.9
ASIA/PACIFIC
Japan 18.0
Australia 4.8
South Korea 2.9
Taiwan 2.1
India 1.1
Malaysia 0.9
People's Republic of China 0.3
Hong Kong 0.2
Philippines 0.2
Indonesia 0.2
Thailand 0.2
30.9
THE AMERICAS
Canada 5.4
Mexico 2.8
Brazil 2.1
10.3
OTHER
Polynational 0.9
Israel 0.1
1.0
Cash and Equivalents 8.9
Total 100.0 %
LARGEST INDIVIDUAL EQUITY SECURITIES:
Telekom Austria 2.7 %
Koninklijke Numico 2.5
Richemont 2.2
Nestle 2.0
KPN 2.0
AstraZeneca 1.7
Shionogi 1.6
Telefonica 1.6
Rohm 1.5
Kookmin Bank 1.5
[begin mountain chart]
[Download Table]
YEAR ENDED INTERNATIONAL CONSUMER PRICE
DEC. 31 FUND, CLASS 2 MSCI EAFE (1) INDEX (2)
12/31/93 $10,000 $10,000 $10,000
12/31/94 $10,164 $10,806 $10,267
12/31/95 $11,422 $12,054 $10,528
12/31/96 $13,390 $12,821 $10,878
12/31/97 $14,571 $13,085 $11,063
12/31/98 $17,620 $15,746 $11,241
12/31/99 $31,005 $20,044 $11,543
12/31/00 $24,165 $17,246 $11,934
12/31/01 $19,360 $13,589 $12,119
12/31/02 $16,486 $11,461 $12,407
12/31/03 $22,232 $15,950 $12,641
[end mountain chart]
PERIOD ENDED DECEMBER 31, 2003 CLASS 1 CLASS 2
1 year + 35.12% + 34.85%
5 years + 5.02 + 4.76
10 years + 8.59 + 8.32
Lifetime (since 5/1/90) + 8.99 + 8.70
The indexes are unmanaged; do not reflect sales charges, commissions or
expenses; and cannot be invested in directly.
(1) MSCI EAFE (Europe, Australasia, Far East) Index.
(2) Computed from data supplied by the U.S. Department of Labor, Bureau of
Labor Statistics.
NEW WORLD FUND
NEW WORLD FUND rose 39.2%, surpassing the MSCI All Country World Free Index,
which gained 34.6% in 2003.
This was a good year for stock markets around the world. In Asia, the Chinese
economy continued to grow as exports increased -- during 2003, China replaced
Mexico as the second-largest exporter to the United States behind Canada -- and
the country took in more imports. China's growing demand for natural resources,
combined with higher commodity prices, helped a number of nations, including
Brazil. New World Fund had 8.5% of its assets invested in Brazil at the end of
2003.
A global economic recovery is particularly important to New World Fund because
many of its largest holdings are based in the United States but derive much of
their revenue from sales in developing markets. Again this year, the fund had
more assets invested in the United States than in any other single country. The
fund also had substantial investments in Brazil, India, South Korea and Mexico.
Stock markets in these countries posted substantial gains.
FIGURES SHOWN ARE PAST RESULTS AND ARE NOT PREDICTIVE OF FUTURE PERIODS. CURRENT
AND FUTURE RESULTS MAY BE LOWER OR HIGHER THAN THOSE SHOWN. BECAUSE UNIT PRICES
MAY DECLINE, THE VALUE OF YOUR HOLDINGS MAY DECREASE. FOR THE MOST CURRENT
INFORMATION AND MONTH-END RESULTS, VISIT AMERICANFUNDS.COM.
Where the fund's assets were invested based on total net assets for the 12
months ended December 31, 2003
[begin pie chart]
Asia/Pacific Basin 34.9 %
The Americas 31.1 %
Europe 19.7 %
Other Countries 1.8 %
Cash & Equivalents 12.5 %
[end pie chart]
ASIA/PACIFIC BASIN
South Korea 8.5 %
India 8.3
Philippines 3.7
Hong Kong 2.7
Japan 2.3
Malaysia 2.1
China 1.9
Thailand 1.5
Taiwan 1.5
Indonesia 1.3
Singapore .7
Australia .4
34.9
THE AMERICAS
United States 10.9
Brazil 8.5
Mexico 6.4
Panama 1.5
Canada 1.3
Chile 1.0
Peru .8
Other .7
31.1
EUROPE
United Kingdom 3.3
Russian 3.1
Netherlands 1.9
Turkey 1.8
Spain 1.4
Portugal 1.1
Hungary 1.0
Austria .9
France .9
Switzerland .8
Norway .8
Denmark .7
Poland .6
Ireland .6
Other .8
19.7
OTHER COUNTRIES
South Africa .9
Israel .9
1.8
Cash & Equivalents 12.5
Total 100.0 %
LARGEST INDIVIDUAL EQUITY SECURITIES PERCENT OF NET ASSETS
Housing Development Finance 2.3 %
Coca-Cola 2.0
Vale do Rio Doce 1.6
Avon Products 1.6
Votorantim Celulose e Papel 1.5
Astro All Asia Networks 1.5
Phelps Dodge 1.4
Shinhan Financial Group 1.3
Philippine Long Distance Telephone 1.2
Daelim Industrial 1.1
[begin mountain chart]
[Download Table]
MONTH ENDED NEW WORLD FUND, MSCI AC WORLD CONSUMER PRICE
CLASS 2 FREE INDEX (2) INDEX (1)
06/17/99 $10,000 $10,000 $10,000
06/30/99 $10,030 $10,000 $10,000
09/30/99 $ 9,549 $ 9,840 $10,102
12/31/99 $11,835 $11,548 $10,126
03/31/00 $12,485 $11,682 $10,301
06/30/00 $11,638 $11,237 $10,373
09/30/00 $10,902 $10,628 $10,451
12/31/00 $10,332 $ 9,938 $10,469
03/31/01 $ 9,744 $ 8,704 $10,602
06/30/01 $10,340 $ 8,951 $10,710
09/30/01 $ 8,678 $ 7,637 $10,728
12/31/01 $ 9,898 $ 8,357 $10,632
03/31/02 $10,677 $ 8,432 $10,758
06/30/02 $10,044 $ 7,678 $10,824
09/30/02 $ 8,760 $ 6,279 $10,890
12/31/02 $ 9,338 $ 6,771 $10,884
03/31/2003 $ 9,049 $ 6,434 $11,083
06/30/2003 $10,449 $ 7,558 $11,053
09/30/2003 $11,407 $ 7,960 $11,143
12/31/2003 $12,996 $ 9,116 $11,089
[end mountain chart]
PERIOD ENDED DECEMBER 31, 2003 CLASS 1 CLASS 2
1 year + 39.56% +39.18%
Lifetime (since 6/17/99) + 6.21 + 5.94
The indexes are unmanaged; do not reflect sales charges, commissions or
expenses; and cannot be invested in directly.
(1) Computed from data supplied by the U.S. Department of Labor, Bureau of
Labor Statistics.
(2) MSCI All Country World Free Index.
BLUE CHIP INCOME AND GROWTH FUND
BLUE CHIP INCOME AND GROWTH FUND gained 30.7% in 2003, surpassing the S&P 500,
which rose 28.7%.
The fund was launched on July 5, 2001, about halfway through the longest and
most severe market downturn since the 1920s. The fund is designed to have at
least 90% of its assets invested in high-quality equities at all times. Because
the fund was launched in the midst of a market downturn, the fund's initial
portfolio was assembled when equity prices were declining or already low. When
the market rallied this past year, many of the investments made over the fund's
short lifetime rose in value.
Over the last year, the fund has experienced rapid growth. During 2003, assets
in the fund tripled to $1.6 billion, requiring the fund's investment
professionals to pursue investments in a rapidly rising stock market. The fund
is meeting this challenge by relying on fundamental research to find good
opportunities.
At the end of 2003, the fund held 8.7% in cash, an increase from the 7.1% a year
earlier.
FIGURES SHOWN ARE PAST RESULTS AND ARE NOT PREDICTIVE OF FUTURE PERIODS. CURRENT
AND FUTURE RESULTS MAY BE LOWER OR HIGHER THAN THOSE SHOWN. BECAUSE UNIT PRICES
MAY DECLINE, THE VALUE OF YOUR HOLDINGS MAY DECREASE. FOR THE MOST CURRENT
INFORMATION AND MONTH-END RESULTS, VISIT AMERICANFUNDS.COM.
Where the fund's assets were invested based on total net assets for the 12
months ended December 31, 2003
[begin pie chart]
Equity securities 91.3 %
Cash & Equivalents 8.7 %
[end pie chart]
LARGEST INDIVIDUAL EQUITY SECURITIES PERCENT OF NET ASSETS
Fannie Mae 4.5 %
Unilever 4.3
General Motors 3.2
ChevronTexaco 3.1
Target 3.0
Hewlett-Packard 3.0
International Business Machines 2.7
General Electric 2.5
American International Group 2.4
AstraZeneca 2.3
[begin mountain chart]
MONTH ENDED BLUE CHIP INCOME AND S&P 500 CONSUMER PRICE
GROWTH FUND, CLASS 2 INDEX INDEX *
07/05/01 $10,000 $10,000 $10,000
09/30/01 $ 8,690 $ 8,569 $10,017
12/31/01 $ 9,462 $ 9,485 $ 9,927
03/31/02 $ 9,663 $ 9,511 $10,045
06/30/02 $ 8,478 $ 8,237 $10,107
09/30/02 $ 6,740 $ 6,815 $10,169
12/31/02 $ 7,279 $ 7,389 $10,163
03/31/03 $ 6,964 $ 7,157 $10,348
06/30/03 $ 8,153 $ 8,258 $10,320
09/30/03 $ 8,519 $ 8,476 $10,404
12/31/03 $ 9,516 $ 9,508 $10,354
[end mountain chart]
PERIOD ENDED DECEMBER 31, 2003 CLASS 1 CLASS 2
1 year + 31.24% + 30.73%
Lifetime (since 7/5/01) - 1.68 - 1.97
The indexes are unmanaged; do not reflect sales charges, commissions or
expenses; and cannot be invested in directly.
* Computed from data supplied by the U.S. Department of Labor, Bureau of
Labor Statistics.
GROWTH-INCOME FUND
GROWTH-INCOME FUND rose 32.4% during 2003, outpacing the S&P 500, which gained
28.7%.
The groundwork for the strong return was laid much earlier. During the long,
severe market downturn, the prices of many stocks issued by well-established
companies fell to attractive levels. The fund invested in many of these
companies and was rewarded when their stock prices rebounded.
Growth-Income Fund is the largest investment option in American Funds Insurance
Series as measured by assets, and its holdings are diversified among a variety
of industry groups. That diversity helped fuel the fund's gain in 2003.
Investments in diversified financial services and technology holdings were
especially beneficial to the fund's results for the year just ended.
At the end of 2003, the fund's cash position was 12.8%, essentially unchanged
from 12.3% of assets at the end of 2002.
FIGURES SHOWN ARE PAST RESULTS AND ARE NOT PREDICTIVE OF FUTURE PERIODS. CURRENT
AND FUTURE RESULTS MAY BE LOWER OR HIGHER THAN THOSE SHOWN. BECAUSE UNIT PRICES
MAY DECLINE, THE VALUE OF YOUR HOLDINGS MAY DECREASE. FOR THE MOST CURRENT
INFORMATION AND MONTH-END RESULTS, VISIT AMERICANFUNDS.COM.
Where the fund's assets were invested based on total net assets for the 12
months ended December 31, 2003
[begin pie chart]
Equity securities 87.2 %
Cash & Equivalents 12.8 %
[end pie chart]
LARGEST INDIVIDUAL EQUITY SECURITIES PERCENT OF NET ASSETS
J.P. Morgan Chase 1.9 %
Fannie Mae 1.8
Petro-Canada 1.7
Lowe's Companies, Inc. 1.5
Kohl's Corp. 1.4
Cisco Systems, Inc. 1.3
Hewlett-Packard 1.2
Avon Products 1.2
American International Group 1.2
Time Warner Inc. 1.2
[begin mountain chart]
[Download Table]
GROWTH-INCOME S&P 500 CONSUMER PRICE
FUND, CLASS 2 INDEX INDEX *
12/31/93 $10,000 $10,000 $10,000
12/31/94 $10,179 $10,132 $10,267
12/31/95 $13,500 $13,934 $10,528
12/31/96 $15,986 $17,131 $10,878
12/31/97 $20,068 $22,845 $11,063
12/31/98 $23,698 $29,373 $11,241
12/31/99 $26,352 $35,553 $11,543
12/31/00 $28,447 $32,317 $11,934
12/31/01 $29,175 $28,479 $12,119
12/31/02 $23,823 $22,187 $12,407
12/31/03 $31,548 $28,548 $12,641
[end mountain chart]
PERIOD ENDED DECEMBER 31, 2003 CLASS 1 CLASS 2
1 year + 32.76% + 32.43%
5 years + 6.15 + 5.89
10 years + 12.46 + 12.17
Lifetime (since 2/8/84) + 13.57 + 13.24
The indexes are unmanaged; do not reflect sales charges, commissions or
expenses; and cannot be invested in directly.
* Computed from data supplied by the U.S. Department of Labor, Bureau of
Labor Statistics.
ASSET ALLOCATION FUND
ASSET ALLOCATION FUND rose 21.7% during 2003. The fund's return was well above
the midpoint between the stock market, which rose 28.7% as measured by the S&P
500, and the bond market, which gained 4.2% as measured by Citigroup Broad
Investment-Grade (BIG) Bond Index.
In many ways, the fund's return encapsulates the securities markets in 2003. The
fund's equity holdings, which accounted for 63.5% of the fund's assets at the
end of the year, were largely responsible for the gain, while its investments in
high-quality bonds provided stability and income.
Oil and gas stocks, which accounted for 5.7% of the fund's assets at the end of
the year, were among the leaders during 2003.
The fund's holdings of high-yield bonds, which often rebound in much the same
way equities do when the economy strengthens, also helped boost returns. At the
end of the year, 23.4% of the fund's portfolio was invested in fixed income and
13.1% held in cash.
FIGURES SHOWN ARE PAST RESULTS AND ARE NOT PREDICTIVE OF FUTURE PERIODS. CURRENT
AND FUTURE RESULTS MAY BE LOWER OR HIGHER THAN THOSE SHOWN. BECAUSE UNIT PRICES
MAY DECLINE, THE VALUE OF YOUR HOLDINGS MAY DECREASE. FOR THE MOST CURRENT
INFORMATION AND MONTH-END RESULTS, VISIT AMERICANFUNDS.COM.
Where the fund's assets were invested based on total net assets for the 12
months ended December 31, 2003
[begin pie chart]
Equity securities 63.5 %
Corporate bonds 14.6 %
Mortgage-backed obligations 4.0 %
U.S. Treasury bonds & notes 2.7 %
Asset-backed obligations 1.8 %
Municipal obligations 0.2 %
Non-U.S. government obligations 0.1 %
Cash & equivalents 13.1 %
[end pie chart]
LARGEST INDIVIDUAL EQUITY SECURITIES PERCENT OF NET ASSETS
General Electric 2.2 %
Carnival 2.1
ChevronTexaco 2.0
Petro-Canada 1.9
CenturyTel 1.8
Unilever 1.8
Bristol-Myers Squibb 1.8
Eli Lilly 1.7
J.P. Morgan Chase 1.7
Walgreen 1.6
[begin mountain chart]
[Download Table]
ASSET CONSUMER
ALLOCATION S&P 500 CITIGROUP PRICE
FUND, CLASS 2 INDEX BIG INDEX (1) INDEX (2)
12/31/93 $10,000 $10,000 $10,000 $10,000
12/31/94 $ 9,943 $10,132 $ 9,715 $10,267
12/31/95 $12,847 $13,934 $11,515 $10,528
12/31/96 $14,835 $17,131 $11,932 $10,878
12/31/97 $17,824 $22,845 $13,082 $11,063
12/31/98 $20,130 $29,373 $14,222 $11,241
12/31/99 $21,523 $35,553 $14,104 $11,543
12/31/00 $22,469 $32,317 $15,738 $11,934
12/31/01 $22,585 $28,479 $17,079 $12,119
12/31/02 $19,790 $22,187 $18,802 $12,407
12/31/03 $24,092 $28,548 $19,593 $12,641
[end mountain chart]
PERIOD ENDED DECEMBER 31, 2003 CLASS 1 CLASS 2
1 year + 22.14% + 21.74%
5 years + 3.93 + 3.66
10 years + 9.48 + 9.19
Lifetime (since 8/1/89) + 9.44 + 9.14
The indexes are unmanaged; do not reflect sales charges, commissions or
expenses; and cannot be invested in directly.
(1) Citigroup Broad Investment-Grade (BIG) Bond Index.
(2) Computed from data supplied by the U.S. Department of Labor, Bureau of
Labor Statistics.
BOND FUND
BOND FUND gained 12.8% in 2003, handily outpacing the unmanaged Citigroup Broad
Investment-Grade (BIG) Bond Index, which rose 4.2%.
The bond market last year was divided. While government bonds gained little,
corporate bonds produced strong returns and accounted for most of the fund's
gain. Lower rated corporate bonds increased more than higher rated bonds.
When the U.S. economy strengthened, the outlook for the companies issuing bonds
improved and the prices of bonds rose. Increased demand for high-yield bonds
also pushed prices higher. Investors who wanted higher income than that offered
in the government bond market, turned to the corporate market, increasing
demand. The fund's holdings of bonds issued by telecommunications and cable
companies, as well as some bonds issued by gaming and lodging firms, had the
biggest impact on the return.
FIGURES SHOWN ARE PAST RESULTS AND ARE NOT PREDICTIVE OF FUTURE PERIODS. CURRENT
AND FUTURE RESULTS MAY BE LOWER OR HIGHER THAN THOSE SHOWN. BECAUSE UNIT PRICES
MAY DECLINE, THE VALUE OF YOUR HOLDINGS MAY DECREASE. FOR THE MOST CURRENT
INFORMATION AND MONTH-END RESULTS, VISIT AMERICANFUNDS.COM.
Where the fund's assets were invested based on total net assets for the 12
months ended December 31, 2003
[begin pie chart]
Non-U.S. government obligations 1.6 %
Corporate bonds 58.9 %
Asset-backed obligations 2.5 %
U.S. Treasury bonds & notes 13.1 %
Cash & equivalents 11.6 %
Mortgage-backed obligations 5.5 %
Equity securities 3.9 %
Federal agency obligations 2.0 %
Municipal obligations 0.9 %
[end pie chart]
LARGEST INDIVIDUAL EQUITY SECURITIES PERCENT OF NET ASSETS
U.S. Treasury bonds & notes 13.1 %
Freddie Mac 1.5
Fannie Mae 1.5
General Motors 1.4
Sprint 1.2
Ford Motor 1.2
Nextel Communications 1.0
AT&T Wireless Services 1.0
Government National Mortgage Assn. 0.9
HCA 0.8
[begin mountain chart]
[Download Table]
MONTH BOND FUND, CITIGROUP CONSUMER PRICE
ENDED CLASS 2 BIG INDEX (1) INDEX (2)
01/02/96 $10,000 $10,000 $10,000
06/30/96 $ 9,848 $ 9,874 $10,208
12/31/96 $10,557 $10,362 $10,332
06/30/97 $10,990 $10,680 $10,443
12/31/97 $11,601 $11,360 $10,508
06/30/98 $12,033 $11,810 $10,619
12/31/98 $12,078 $12,350 $10,678
06/30/99 $12,171 $12,179 $10,827
12/31/99 $12,386 $12,248 $10,964
06/30/00 $12,583 $12,728 $11,231
12/31/00 $13,005 $13,667 $11,336
06/30/01 $13,632 $14,161 $11,596
12/31/01 $14,064 $14,832 $11,511
06/30/02 $13,871 $15,364 $11,720
12/31/02 $14,633 $16,328 $11,785
06/30/03 $15,935 $16,982 $11,967
12/31/03 $16,506 $17,014 $12,007
[end mountain chart]
PERIOD ENDED DECEMBER 31, 2003 CLASS 1 CLASS 2
1 year + 13.07% + 12.80%
5 years + 6.71 + 6.45
Lifetime (since 1/2/96) + 6.73 + 6.47
The indexes are unmanaged; do not reflect sales charges, commissions or
expenses; and cannot be invested in directly.
(1) Citigroup Broad Investment-Grade (BIG) Bond Index.
(2) Computed from data supplied by the U.S. Department of Labor, Bureau of
Labor Statistics.
HIGH-INCOME BOND FUND
HIGH-INCOME BOND FUND gained 29.5%, outpacing the Credit Suisse First Boston
High Yield Bond Index, which rose 27.9%, and the Citigroup Broad
Investment-Grade (BIG) Bond Index which gained 4.2%.
During 2003, interest rates remained low and the economy strengthened, providing
the fund with a strong tailwind.
The high-yield market was also helped by a very basic economic tenet -- the law
of supply and demand. With interest rates on high-quality debt low, investors
seeking higher income turned to the high-yield market, increasing demand and
boosting prices.
The fund's investments in bonds issued by telecommunications companies were an
important factor in the fund's overall results. When the sector rallied this
year, the fund benefited.
Not all the fund's holdings fared as well, of course. Its investments in bonds
issued by steel companies suffered when President Bush announced that he would
lift tariffs he'd placed on imported steel.
FIGURES SHOWN ARE PAST RESULTS AND ARE NOT PREDICTIVE OF FUTURE PERIODS. CURRENT
AND FUTURE RESULTS MAY BE LOWER OR HIGHER THAN THOSE SHOWN. BECAUSE UNIT PRICES
MAY DECLINE, THE VALUE OF YOUR HOLDINGS MAY DECREASE. FOR THE MOST CURRENT
INFORMATION AND MONTH-END RESULTS, VISIT AMERICANFUNDS.COM.
Where the fund's assets were invested based on total net assets for the 12
months ended December 31, 2003
[begin pie chart]
Corporate bonds 72.2 %
Non-U.S. government obligations 1.0 %
U.S. Treasury bonds & notes 0.7 %
Asset-backed obligations 0.6 %
Municipal obligations 0.4 %
Cash & equivalents 13.3 %
Equity securities 11.8 %
[end pie chart]
LARGEST HOLDINGS (by issuer) PERCENT OF NET ASSETS
American Tower 2.3 %
Solectron 2.0
Dobson Communications 1.8
Nextel Communications 1.7
Allied Waste Industries 1.5
Edison International 1.4
SpectraSite 1.3
Amazon.com 1.3
Qwest Communications International 1.2
J.C. Penney 1.2
[begin mountain chart]
[Download Table]
YEAR ENDED CREDIT SUISSE HIGH-INCOME CONSUMER
DEC. 31 FIRST BOSTON HIGH BOND FUND, CITIGROUP PRICE
YIELD BOND INDEX CLASS 2 BIG INDEX (1) INDEX (2)
12/31/93 $10,000 $10,000 $10,000 $10,000
12/31/94 $ 9,903 $ 9,317 $ 9,715 $10,267
12/31/95 $11,624 $11,312 $11,515 $10,528
12/31/96 $13,068 $12,772 $11,932 $10,878
12/31/97 $14,718 $14,316 $13,082 $11,063
12/31/98 $14,803 $14,354 $14,222 $11,241
12/31/99 $15,289 $15,148 $14,104 $11,543
12/31/00 $14,492 $14,647 $15,738 $11,934
12/31/01 $15,333 $15,779 $17,079 $12,119
12/31/02 $15,809 $15,490 $18,802 $12,407
12/31/03 $20,225 $20,062 $19,593 $12,641
[end mountain chart]
PERIOD ENDED DECEMBER 31, 2003 CLASS 1 CLASS 2
1 year + 29.79% + 29.51%
5 years + 7.21 + 6.93
10 years + 7.49 + 7.21
Lifetime (since 2/8/84) + 10.87 + 10.49
The indexes are unmanaged; do not reflect sales charges, commissions or
expenses; and cannot be invested in directly.
(1) Citigroup Broad Investment-Grade (BIG) Bond Index.
(2) Computed from data supplied by the U.S. Department of Labor, Bureau of
Labor Statistics.
U.S. GOVERNMENT / AAA-RATED SECURITIES FUND
U.S. GOVERNMENT/AAA-RATED SECURITIES FUND gained 2.3% and kept pace with the
broader investment-grade bond market, which rose 2.8% as measured by the
Citigroup Treasury/Government Sponsored/Mortgage Index.
The year just ended was notable for stable prices and low interest rates. This
differed from the previous year when interest rates declined and the fund gained
9.1%. In 2003, interest rates remained low so fixed-income investors earned
little income. During the year, a slight increase in rates reduced bond prices.
Where the fund's assets were invested based on total net assets for the 12
months ended December 31, 2003
[begin pie chart]
U.S. Treasury bonds & notes 30.3 %
Federal agency mortgage pass-through obligations 24.2 %
Asset-backed obligations 12.9 %
Commercial mortgage-backed obligations 9.6 %
Non-pass-through agency obligations 5.8 %
Federal agency collateralized mortgage obligations 4.0 %
Private issue collateralized mortgage obligations 3.6 %
Other bonds 5.2 %
Cash & equivalents 4.4 %
[end pie chart]
[begin mountain chart]
[Download Table]
YEAR ENDED CITIGROUP TREASURY/ U.S. GOVT./AAA- CONSUMER
DEC. 31 GOVT.-SPONSORED RATED SECURITIES PRICE
MORTGAGE INDEX FUND, CLASS 2 INDEX *
12/31/93 $10,000 $10,000 $10,000
12/31/94 $ 9,731 $ 9,538 $10,267
12/31/95 $11,466 $10,975 $10,528
12/31/96 $11,889 $11,286 $10,878
12/31/97 $13,018 $12,212 $11,063
12/31/98 $14,158 $13,180 $11,241
12/31/99 $14,075 $13,078 $11,543
12/31/00 $15,811 $14,567 $11,934
12/31/01 $17,027 $15,589 $12,119
12/31/02 $18,762 $17,015 $12,407
12/31/03 $19,280 $17,403 $12,641
PERIOD ENDED DECEMBER 31, 2003 CLASS 1 CLASS 2
1 year + 2.51% + 2.28%
5 years + 5.98 + 5.72
10 years + 5.97 + 5.70
Lifetime (since 12/2/85) + 7.63 + 7.30
The indexes are unmanaged; do not reflect sales charges, commissions or
expenses; and cannot be invested in directly.
* Computed from data supplied by the U.S. Department of Labor, Bureau of
Labor Statistics.
CASH MANAGEMENT FUND
CASH MANAGEMENT FUND generated a positive return during 2003, increasing 0.5% in
value. The value of a cash reserve was amply demonstrated during the three-year
market downturn and again during last year's strong market rebound. During the
severe market slump, holdings in Cash Management Fund offered stability to
well-diversified portfolios and mitigated losses sustained in other funds. When
the market turned up, holdings in the fund provided a reserve so investors could
take advantage of buying opportunities.
The fund is not managed to maintain a stable net asset value of $1 per share.
PERIOD ENDED DECEMBER 31, 2003 CLASS 1 CLASS 2
1 year + 0.67% + 0.47%
5 years + 3.27 + 3.02
10 years + 4.11 + 3.85
Lifetime (since 2/8/84) + 5.23 + 4.91
AS OF DECEMBER 31, 2003, THE FUND'S ANNUALIZED SEVEN-DAY YIELD WAS 0.29% FOR
CLASS 2 SHARES, WHICH MORE ACCURATELY REFLECTS THE FUND'S CURRENT EARNINGS THAN
DO THE FUND'S RETURNS.
FIGURES SHOWN ARE PAST RESULTS AND ARE NOT PREDICTIVE OF FUTURE PERIODS. CURRENT
AND FUTURE RESULTS MAY BE LOWER OR HIGHER THAN THOSE SHOWN. BECAUSE UNIT PRICES
MAY DECLINE, THE VALUE OF YOUR HOLDINGS MAY DECREASE. INVESTMENTS ARE NOT
FDIC-INSURED, NOR ARE THEY DEPOSITS OF OR GUARANTEED BY A BANK OR ANY OTHER
ENTITY. FOR THE MOST CURRENT INFORMATION AND MONTH-END RESULTS, VISIT
AMERICANFUNDS.COM.
GUIDING A PATH TO YOUR FINANCIAL FUTURE
This year marks the 200th anniversary of one of the greatest journeys in our
nation's history. In May 1804, Meriwether Lewis and William Clark launched their
historic exploration of the American West. As the explorers made their way to
the Pacific Ocean, they relied on countless people to help and guide them.
In many ways, your financial journey is similar. It is a long-term undertaking,
the landscape ahead is unknown and you're relying on the experience and guidance
of a group of people who know and understand the territory. But if you're like
most investors, you probably don't know much about the men and women guiding
your investments.
In the next few pages, we'll introduce you to a few of the people behind
American Funds Insurance Series, including some of the most experienced
portfolio counselors in the business and some of our newer research analysts.
We'll also tell you about a few of the key characteristics that we believe set
the funds in American Funds Insurance Series apart -- diversity, experience and
in-depth global research -- and how these qualities have helped the investment
professionals make better decisions.
THE "MULTIPLE-BRAIN ADVANTAGE"
You may be surprised to learn just how many people make investment decisions for
investors in American Funds Insurance Series. In all, 86 investment
professionals around the world ultimately decide which stocks and bonds offer
the best opportunities for investors. These investment professionals include 23
portfolio counselors and 63 research analysts. Portfolio counselors are
generalists and can invest in any industry, while research analysts are
specialists and invest only in the industries that they follow. Generally, the
assets of each fund are divided like slices of a pie, with each portfolio
counselor managing a single slice and the final slice further divided among
analysts.
"We call it the multiple-brain advantage," says Don O'Neal, a portfolio
counselor and president of the series. "No one person ever has all the answers.
So we think that having more brains on a problem helps the outcome."
Having some of the most experienced investment professionals in the business
also helps.
[photo - David Daigle speaking with an airplane technician standing in front of
a plane]
[Begin Sidebar]
"GAINING CONFIDENCE IN A COMPANY IS VERY DIFFICULT, AND IT TAKES A LONG TIME.
YOU HAVE TO WATCH AND GET TO KNOW THE MANAGEMENT TEAM, KNOW THEM ON A PERSONAL
LEVEL." -- DAVID DAIGLE
[End Sidebar]
[Begin Photo Caption]
DAVID DAIGLE
Analyst based in New York
Years of experience: 8
When he's not spending time with his family or playing golf, David travels for
his work as an analyst, spending almost half his time on the road to research
industries. Over the years, he's followed industries as diverse as airlines,
wireless telecommunications and health care.
"Making an informed decision about a company means that you need to make sure
that you've been as comprehensive and as thorough as possible in your research.
I look at and rely on cash-flow models -- how much cash is generated relative to
debt. If I see a company with weak equity returns, I am not going to invest."
[End Photo Caption]
[photo - Donald O'Neal]
[Begin Photo Caption]
DONALD O'NEAL
Portfolio counselor
18 years of investment experience
[End Photo Caption]
[photo - Paul White walking with another man through a construction site of
tract homes]
[photo - Paul White speaking with another man]
[Begin Photo Caption]
PAUL WHITE
Analyst based in Los Angeles
Years of experience: 14
Paul White knows there's no substitute for direct involvement, whether he's
coaching his daughter's basketball team or his son's baseball team or
interviewing a company's president.
"You get an added level of confidence when you're able to engage in a healthy
dialogue with management. That's when you really get a feel for the amount of
experience that they have and whether they have the knowledge of what's
important for them as a company. For me, it's also important that they have
respect for their competition. A company that's aware of what the competition is
doing is one that's aware of its challenges -- it probably knows what it needs
to do to be successful."
[End Photo Caption]
[photo - James Dunton]
[Begin Photo Caption]
James Dunton
Portfolio counselor
41 years of investment experience
[End Photo Caption]
[Begin Sidebar]
"A COMPANY THAT'S AWARE OF WHAT THE COMPETITION IS DOING IS ONE THAT'S AWARE OF
ITS CHALLENGES -- IT PROBABLY KNOWS WHAT IT NEEDS TO DO TO BE SUCCESSFUL." --
PAUL WHITE
[End Sidebar]
THE VALUE OF EXPERIENCE
If you were to measure the experience of American Funds Insurance Series
investment professionals, you would use decades, not months or years, as your
yardstick. After all, the 23 portfolio counselors have an average of 21 years of
experience. Some of them were investing when the baby boomers were still in high
school or even elementary school. That amount of experience is invaluable for
investors with a long-term time horizon, as most variable annuity investors are.
When the three-year bear market began in March 2000, it wasn't a new phenomenon
for these experienced portfolio counselors. Some were managing investments
during the previous long bear market from 1973 to 1974, even more experienced
the 1987 crash and many went through the bear market of 1990.
"We've always had a number of very experienced professionals making investment
decisions for these funds. Some of us have been here since day one. I've been
with the insurance series since it started in 1984," says Jim Dunton, a
portfolio counselor on two funds and chairman of the series who has more than 40
years of investment experience with the adviser.
The depth of experience can be especially valuable for younger analysts who may
not have witnessed a 1990s-style bubble or such a deep bear market before.
"There's really so much history here. I can go to people who've been here for
decades and get perspective on any given industry or market. It's invaluable,"
says Paul White, an analyst who has almost 15 years of experience himself.
"Our investment professionals have seen so many cycles in the market. They've
been there before," adds O'Neal. "You can talk to them and they can keep you
from making quick, emotional decisions. I've got 18 years of experience and
that's less than half of what some of these people have. They can really help
you stay focused on the long term."
GAINING CONFIDENCE SLOWLY
The key to maintaining a long-term focus, American Funds Insurance Series
research analysts say, is making an investment you expect to own for many years,
not just for a few weeks or months. Not surprisingly, that sometimes means
spending years studying a company.
"Gaining confidence in a company is very difficult, and it takes a long time,"
says David Daigle, a fixed-income analyst in the New York office. "You have to
watch and get to know the management team, know them on a personal level, listen
to them, see if they end up doing what they say they're going to do, see if they
have a good sense of what their competitors are doing and what's happening to
their own company. Sometimes it may take years of just watching before we decide
to invest."
Analysts often spend more than a decade following the same industry. "I've been
following the North American paper industry for 20 years," says Jeanne Carroll,
an analyst based in New York. "All those years of experience give me a better
perspective on the changes that have gone on in the industry -- on what's
happening in the current environment versus what's happened in the past."
Of course, you can't get to know a company by watching it from afar, says White,
who's based in Los Angeles and covers companies in Latin America and Canada. "I
spend about a quarter of my time traveling because visiting a company's
management is extremely important. It's really difficult to analyze the
prospects for a company without getting to know its management team personally."
[Begin Sidebar]
"MOST OF THE PEOPLE WHO OWN AND WORK AT THE COMPANIES I VISIT DO NOT SPEAK
ENGLISH, SO BEING ABLE TO SPEAK MANDARIN AND CANTONESE IS A GREAT ADVANTAGE FOR
ME." -- WINNIE KWAN
[End Sidebar]
IT'S A VERY SMALL WORLD
It's probably not surprising that American Funds Insurance Series investment
professionals are stationed around the world. After all, three of the funds have
"Global" in their names and two others invest a good portion of their assets
outside the United States. (American Funds Insurance Series investment
professionals are based in offices in Los Angeles, San Francisco, London,
Geneva, Hong Kong, New York, Tokyo and Washington, D.C.) But global research is
important no matter where you're investing -- the United States, Europe, Latin
America or Asia -- says O'Neal. "If you're following a U.S. semiconductor
company, you have to understand the Taiwanese semiconductor companies who are
among its biggest competitors. And you can't really know a company just by
looking at the numbers. We like to get to know the management of a company and
try to understand where they're going to take the business. A good portion of
our research is to understand people, and you have to do that locally."
Of course, having investment professionals based around the world can give you
an advantage over other investors, says Rob Lovelace, a portfolio counselor in
New World Fund, International Fund and Global Growth Fund.
"Look at Japan over the past 13 years. It's been in a relentless bear market,
but there have been good companies there that have been profitable whose stock
prices have gone up. When you have research analysts who live there and know the
culture and speak the language, they can help you identify and understand these
companies. You can't do that if you just fly in twice a year and stay a couple
of days," says Lovelace.
Winnie Kwan, an analyst based in Hong Kong, appreciates the value of working
locally. "Most of the people who own and work at the companies I visit do not
speak English, so being able to speak Mandarin and Cantonese is a great
advantage for me. I am able to establish a certain level of communication,
understanding and trust that would be nearly impossible to establish otherwise."
When you consider the added risks associated with investing outside the United
States, such as currency fluctuations, having someone based in the country that
you're investing in can provide knowledge, insight and understanding.
[photo - Winnie Kwan and Jamling Tenzing Norgay, her trekking guide, talking in
front of a glass wall overlooking a shipyard]
[photo - Winnie Kwan and Jamling Tenzing Norgay, her trekking guide, in a
shipyard]
[photo - Robert Lovelace]
[Begin Photo Caption]
ROBERT LOVELACE
Portfolio counselor
18 years of investment experience
[End Photo Caption]
[Begin Photo Caption]
Winnie Kwan
Analyst based in Hong Kong
Years of experience: 6
Winnie Kwan, who recently returned from a trekking trip in Bhutan, says she
appreciates the long-term view of her fellow investment professionals. It's a
view that was reinforced by her trekking guide, Jamling Tenzing Norgay, who, as
son of the man who climbed Mount Everest with Edmund Hillary, knows a thing or
two about the long term.
"Some of my colleagues have been investing for a really long time. They're true
long-term investors. They're not jittery or trade-oriented about their
investments, and it shows when you look at their results."
[End Photo Caption]
[Begin Photo Caption]
Jeanne Carroll
Analyst based in New York
Years of experience: 24
When Jeanne Carroll isn't visiting companies and interviewing CEOs, you might
find her kayaking or hiking in the woods with her family. The time away gives
her an opportunity to reflect.
"As an analyst, having cumulative years of experience gives you a better
perspective on the changes that have gone on in your respective industries to
what's happening in the current environment. When things are changing, you have
to take a deep breath, step back and put what's happening today in the context
of history. Having perspective helps you weather the current storm, and
conversely, when things are going well, it puts you ahead of the trend."
[End Photo Caption]
[photo - Abner Goldstine]
[Begin Photo Caption]
ABNER GOLDSTINE
Portfolio counselor
51 years of investment experience
[End Photo Caption]
[photo - Jeanne Carroll in a greenhouse speaking with a man]
[photo - Jeanne Carroll talking with a man and a woman in a warehouse]
[Begin Sidebar]
"HAVING PERSPECTIVE HELPS YOU WEATHER THE CURRENT STORM." -- JEANNE CARROLL
[End Sidebar]
WHEN ONE SIZE DOESN'T FIT ALL
With 86 investment professionals coming from different cultures and backgrounds,
it's not surprising that they all have their own investment style. This
diversity, says Claudia Huntington, a portfolio counselor with 30 years of
experience, is a key strength of American Funds Insurance Series investment
management system. "You have a diversity of management styles. Some styles work
great in a bear market, some work great in a bull market and others work great
in a bumpy market."
Kwan, for example, says she's a "value driven" investor. "I'm not a momentum
investor at all. I typically like to focus on long-term prospects. I focus on
cash-flow models. It's very important to me that the companies I invest in are
generating cash to pay back their investors."
White says, "I look for companies that have a competitive advantage within their
industries, companies that are leaders in their markets. I also look for a
healthy balance sheet. Valuation is very important to me."
THE REAL TEST OF CONVICTION
The real test of conviction for both analysts and portfolio counselors comes
when it's time to invest.
"When an analyst recommends a stock to me, one of the first things I might ask
is, `How much of the money you manage have you invested in that stock?'" says
Abner Goldstine, a portfolio counselor in Bond Fund and High-Income Bond Fund.
"If an analyst invests the money in an issue, it shows the strength of their
conviction. That's a good way to judge the strength of their commitment and is
an essential part of our investment management system."
Most variable annuity owners know what their long-term financial goals are and
have some idea of how they'll get there. And, like those famous explorers Lewis
and Clark, the investors in American Funds Insurance Series will have a lot of
help and guidance along the way.
[Begin Sidebar]
AMERICAN FUNDS INSURANCE SERIES' REACH IS WORLDWIDE
American Funds Insurance Series investment professionals, including more than 60
analysts and 20 portfolio counselors, work from offices around the world. They
bring to their job of researching companies and finding good investment
opportunities a wide variety of backgrounds, educations and cultural outlooks --
among them, they speak more than a dozen languages. The ability to speak the
local language and understand the culture can help them discern nuances and gain
insights that might otherwise be lost when researching a company.
The diversity extends to investment styles, with some investment professionals
working better in strong markets and others in weak markets. The portfolio
counselors and analysts make their own investment decisions, based on their
strongest convictions and in keeping with the variable fund's investment
objectives. Over the years, these differing investment styles, when blended
together, have tended to reduce volatility by providing restraint during
exuberant times and resilience during tough times.
AMERICAN FUNDS NUMBER OF AVERAGE
INSURANCE SERIES INVESTMENT YEARS OF
OFFICE (CITY) PROFESSIONALS EXPERIENCE
Geneva 4 9
Hong Kong 6 11
London 12 10
Los Angeles 34 17
New York 8 12
San Francisco 16 13
Tokyo 3 12
Washington, D.C. 3 18
[End Sidebar]
GLOBAL DISCOVERY FUND Investment portfolio as of December 31, 2003
[Enlarge/Download Table]
MARKET
VALUE
STOCKS - 80.93% SHARES (000)
(common & preferred)
COMMERCIAL BANKS - 6.77%
Wells Fargo & Co. 11,650 $ 685
SMFG Finance (Cayman) Ltd. 2.25% mandatorily exchangeable preferred 2005, units (Japan) 24,000,000 418
Societe Generale (France) 4,500 395
ABN AMRO Holding NV (Netherlands) 15,827 368
Chinatrust Financial Holding Co. Ltd. (Taiwan) 240,000 241
Kookmin Bank (South Korea) 6,350 238
HSBC Holdings PLC (United Kingdom) 13,653 215
Malayan Banking Bhd. (Malaysia) 76,500 194
DIVERSIFIED TELECOMMUNICATION SERVICES - 6.76%
Royal KPN NV (Netherlands) (1) 129,900 998
Perusahaan Perseroan (Persero) PT Telekomunikasi Indonesia Tbk, Class B (Indonesia) 787,000 632
Telefonica, SA (Spain) 30,000 438
Deutsche Telekom AG (Germany) (1) 23,000 419
CenturyTel, Inc. 7,000 228
Telecom Italia SpA, nonvoting (Italy) (1) 18,300 37
MEDIA - 5.52%
Time Warner Inc. (1) (formerly AOL Time Warner, Inc.) 53,500 963
Liberty Media Corp., Class A (1) 47,000 559
VNU NV (Netherlands) 10,000 314
Interpublic Group of Companies, Inc. (1) 20,000 312
Clear Channel Communications, Inc. 2,125 100
HEALTH CARE PROVIDERS & SERVICES - 4.95%
Express Scripts, Inc. (1) 11,000 731
HCA Inc. 13,500 580
Caremark Rx, Inc. (1) 15,000 380
Aetna Inc. 2,900 196
Service Corp. International (1) 23,600 127
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 4.73%
Texas Instruments Inc. 16,000 470
Applied Materials, Inc. (1) 12,000 269
Xilinx, Inc. (1) 6,000 232
Taiwan Semiconductor Manufacturing Co. Ltd. (Taiwan) (1) 113,400 212
Nikon Corp. (Japan) (1) 14,000 211
Maxim Integrated Products, Inc. 4,000 199
Rohm Co., Ltd. (Japan) 1,500 175
Altera Corp. (1) 7,000 159
INTERNET & CATALOG RETAIL - 4.54%
InterActiveCorp (1) 41,200 1398
eBay Inc. (1) 7,000 452
COMMUNICATIONS EQUIPMENT - 4.31%
Cisco Systems, Inc. (1) 43,100 1047
QUALCOMM Inc. 8,200 442
CIENA Corp. (1) 40,000 266
INSURANCE - 4.16%
American International Group, Inc. 15,375 1019
PartnerRe Holdings Ltd. (Polynational) 4,100 238
XL Capital Ltd., Class A 2,200 171
Berkshire Hathaway Inc., Class A (1) 2 169
Manulife Financial Corp. (Canada) 3,000 97
WIRELESS TELECOMMUNICATION SERVICES - 4.02%
AT&T Wireless Services, Inc. (1) 83,300 666
KDDI Corp. (Japan) 70 400
Maxis Communications Bhd. (Malaysia) 185,000 368
Vodafone Group PLC (United Kingdom) 82,000 203
IT SERVICES - 3.67%
First Data Corp. 16,100 662
Paychex, Inc. 13,200 491
Concord EFS, Inc. (1) 14,000 208
Automatic Data Processing, Inc. 2,000 79
Electronic Data Systems Corp. 2,100 52
FOOD & STAPLES RETAILING - 3.44%
Walgreen Co. 11,500 418
Wal-Mart de Mexico, SA de CV, Series V (Mexico) 139,300 398
Costco Wholesale Corp. (1) 8,000 297
Performance Food Group Co. (1) 8,000 289
COMPUTERS & PERIPHERALS - 3.35%
NEC Corp. (Japan) 45,000 331
Fujitsu Ltd. (Japan) (1) 53,000 312
Quanta Computer Inc. (GDR) (Taiwan) (1) (2) 23,000 278
EMC Corp. (1) 20,000 258
International Business Machines Corp. 2,000 185
SPECIALTY RETAIL - 2.39%
Gap, Inc. 30,000 696
Lowe's Companies, Inc. 5,000 277
MULTILINE RETAIL - 2.31%
Target Corp. 11,500 442
Dollar General Corp. 13,000 273
Kohl's Corp. (1) 5,000 225
COMMERCIAL SERVICES & SUPPLIES - 1.72%
Robert Half International Inc. (1) 18,000 420
ServiceMaster Co. 24,000 280
HOTELS, RESTAURANTS & LEISURE - 1.62%
Carnival Corp., units 10,000 397
Skylark Co., Ltd. (Japan) 16,000 264
SOFTWARE - 1.56%
Microsoft Corp. 19,500 537
Oracle Corp. (1) 7,500 99
INTERNET SOFTWARE & SERVICES - 1.52%
Yahoo Japan Corp. (Japan) (1) 26 349
Yahoo! Inc. (1) 6,000 271
THRIFTS & MORTGAGE FINANCE - 1.36%
Freddie Mac 7,500 437
Fannie Mae 1,550 116
AIRLINES - 1.21%
Southwest Airlines Co. 20,800 336
Ryanair Holdings PLC (ADR) (Ireland) (1) 3,100 157
ELECTRONIC EQUIPMENT & INSTRUMENTS - 1.21%
Symbol Technologies, Inc. 25,000 422
Murata Manufacturing Co., Ltd. (Japan) 1,300 70
CHEMICALS - 1.17%
Nitto Denko Corp. (Japan) 9,000 478
CONSUMER FINANCE - 1.05%
Capital One Financial Corp. 7,000 429
MULTI-UTILITIES & UNREGULATED POWER - 0.72%
El Paso Corp. 33,000 270
AES Corp. (1) 2,300 22
CAPITAL MARKETS - 0.61%
J.P. Morgan Chase & Co. 5,000 184
Investment Technology Group, Inc. (1) 4,000 65
ENERGY EQUIPMENT & SERVICES - 0.40%
Schlumberger Ltd. 3,000 164
ELECTRIC UTILITIES - 0.38%
Scottish Power PLC (United Kingdom) 23,500 156
HOUSEHOLD DURABLES - 0.38%
LG Electronics Inc. (South Korea) 3,100 153
AIR FREIGHT & LOGISTICS - 0.35%
Yamato Transport Co., Ltd. (Japan) 12,000 141
DIVERSIFIED FINANCIAL SERVICES - 0.02%
Hong Kong Exchanges and Clearing Ltd. (Hong Kong) 4,000 9
Miscellaneous - 4.73%
Other stocks in initial period of acquisition 1,926
--------------
Total stocks (cost: $28,420,000) 32,954
--------------
Principal Market
amount value
CONVERTIBLE DEBENTURES - 1.86% (000) (000)
COMMUNICATIONS EQUIPMENT - 1.32%
Lucent Technologies Inc. 8.00% convertible subordinated notes 2031 $500 539
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 0.54%
Agere Systems Inc. 6.50% convertible notes 2009 160 220
Total convertible debentures (cost: $699,000) 759
Total equity securities (cost: $29,119,000) 33,713
PRINCIPAL MARKET
AMOUNT VALUE
SHORT-TERM SECURITIES - 16.94% (000) (000)
CORPORATE SHORT-TERM NOTES - 11.29%
CAFCO, LLC 1.07% due 1/29/2004 (2) 1,000 999
Medtronic Inc. 1.03% due 1/21/2004 (2) 900 899
Preferred Receivables Funding Corp. 1.06% due 1/6/2004 (2) 700 700
USAA Capital Corp. 1.02% due 1/12/2004 600 600
Coca-Cola Co. 1.00% due 3/5/2004 600 599
BellSouth Corp. 1.01% due 1/6/2004 (2) 400 400
Pfizer Inc 1.01% due 1/21/2004 (2) 400 400
U.S. TREASURIES - 4.42%
U.S. Treasury Bills 0.845%-0.9275% due 1/2-3/11/2004 1,800 1,799
FEDERAL AGENCY DISCOUNT NOTES - 1.23%
Student Loan Marketing Assn. 0.99% due 1/6/2004 500 500
Total short-term securities (cost: $6,896,000) 6,896
Total investment securities (cost: $36,015,000) 40,609
New Taiwanese Dollar (cost: $10,000) NT$327 10
Other assets less liabilities 102
Net assets 40,721
(1) Security did not produce income during the last 12 months.
(2) Purchased in a private placement transaction; resale may be limited to
qualified institutional buyers; resale to the public may require
registration.
ADR = American Depository Receipts
GDR = Global Depositary Receipts
See Notes to Financial Statements
GLOBAL GROWTH FUND Investment portfolio as of December 31, 2003
[Enlarge/Download Table]
MARKET
EQUITY SECURITIES - 85.51% SHARES VALUE
(common & preferred stocks) (000)
PHARMACEUTICALS - 6.52%
AstraZeneca PLC (Sweden) 207,405 $ 10,089
AstraZeneca PLC (United Kingdom) 203,960 9,748
AstraZeneca PLC (ADR) 3,000 145
Shionogi & Co., Ltd. (Japan) 1,036,000 19,252
Novo Nordisk A/S, Class B (Denmark) 263,500 10,682
Eli Lilly and Co. (USA) 135,000 9,495
Forest Laboratories, Inc. (USA) (1) 144,800 8,949
Sanofi-Synthelabo (France) 51,000 3,822
UCB NV (Belgium) 82,320 3,088
H. Lundbeck A/S (Denmark) 145,350 2,401
Aventis, Class A (France) 35,000 2,302
Pfizer Inc (USA) 56,000 1,979
Elan Corp., PLC (ADR) (Ireland) (1) 115,000 792
DIVERSIFIED TELECOMMUNICATION SERVICES - 6.17%
Telekom Austria AG (Austria) (1) 1,806,000 22,216
Royal KPN NV (Netherlands) (1) 2,038,300 15,658
Telefonica, SA (Spain) 1,052,771 15,382
Swisscom AG (Switzerland) 31,000 10,186
Deutsche Telekom AG (Germany) (1) 452,500 8,241
Telefonos de Mexico, SA de CV, Class L (ADR) (Mexico) 70,000 2,312
Telecom Italia SpA, nonvoting (Italy) (1) 1,120,000 2,270
AT&T Corp. (USA) 100,000 2,030
MEDIA - 5.81%
Time Warner Inc. (formerly AOL Time Warner Inc.) (USA) (1) 1,467,000 26,391
News Corp. Ltd., preferred (Australia) 822,594 6,186
News Corp. Ltd., preferred (ADR) 200,000 6,050
News Corp. Ltd. 213,498 1,925
Clear Channel Communications, Inc. (USA) 170,000 7,961
Comcast Corp., Class A (USA) (1) 225,000 7,396
Grupo Televisa, SA, ordinary participation certificates (ADR) (Mexico) 120,000 4,783
Fox Entertainment Group, Inc., Class A (USA) (1) 125,000 3,644
Univision Communications Inc., Class A (USA) (1) 70,000 2,778
Viacom Inc., Class B, nonvoting (USA) 50,000 2,219
Cox Communications, Inc., Class A (USA) (1) 60,000 2,067
Thomson Corp. (Canada) 40,000 1,454
SET Satellite (Singapore) Pte. Ltd. (India) (1)(2)(3) 155,973 429
Liberty Media Corp., Class A (USA) (1) 25,000 297
SET India Ltd. (India) (1)(2)(3) 6,400 225
KirchMedia GmbH & Co. KGaA, nonvoting (Germany) (1)(2)(3) 42,000 -
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 5.77%
Taiwan Semiconductor Manufacturing Co. Ltd. (Taiwan) (1) 8,311,557 15,564
Applied Materials, Inc. (USA) (1) 525,000 11,786
Texas Instruments Inc. (USA) 330,600 9,713
Samsung Electronics Co., Ltd. (South Korea) 21,600 8,179
Xilinx, Inc. (USA) (1) 120,000 4,649
ASML Holding NV (New York registered) (Netherlands) (1) 230,000 4,612
Altera Corp. (USA) (1) 195,000 4,427
Micron Technology, Inc. (USA) (1) 295,000 3,974
Rohm Co., Ltd. (Japan) 33,300 3,894
Tokyo Electron Ltd. (Japan) 50,000 3,789
Maxim Integrated Products, Inc. (USA) 55,000 2,739
COMMERCIAL BANKS - 5.35%
Societe Generale (France) 240,500 21,131
Kookmin Bank (South Korea) 350,060 13,124
SMFG Finance (Cayman) Ltd. 2.25% mandatorily exchangeable preferred 2005, units (Japan) 504,000,000 8,787
HSBC Holdings PLC (United Kingdom) 516,439 8,087
Bank of Nova Scotia (Canada) 126,000 6,400
Royal Bank of Canada (Canada) 114,000 5,439
Westpac Banking Corp. (Australia) 214,348 2,577
Shinhan Financial Group Co., Ltd. (South Korea) 152,000 2,431
FOOD PRODUCTS - 4.63%
Nestle SA (Switzerland) 63,000 15,678
Nissin Food Products Co., Ltd. (Japan) 402,700 10,010
Unilever NV (Netherlands) 145,500 9,469
Unilever PLC (United Kingdom) 772,317 7,173
Kraft Foods Inc., Class A (USA) 140,000 4,511
Groupe Danone (France) 22,000 3,573
Lindt & Sprungli AG, participation certificate (Switzerland) 2,000 1,659
Lindt & Sprungli AG 175 1,557
Nestle India Ltd. (India) 192,832 2,925
Sara Lee Corp. (USA) 105,000 2,280
OIL & GAS - 4.53%
Norsk Hydro AS (Norway) 205,700 12,626
Husky Energy Inc. (Canada) 675,000 12,230
"Shell" Transport and Trading Co., PLC (United Kingdom) 1,000,000 7,410
"Shell" Transport and Trading Co., PLC (ADR) 100,000 4,503
Canadian Natural Resources, Ltd. (Canada) 104,200 5,258
Petroleo Brasileiro SA - Petrobras, ordinary nominative (ADR) (Brazil) 150,000 4,386
ENI SpA (Italy) 210,000 3,943
Imperial Oil Ltd. (Canada) 76,776 3,410
BG Group PLC (United Kingdom) 400,000 2,046
Apache Corp. (USA) 20,750 1,683
METALS & MINING - 4.10%
Alcan Inc. (Canada) 350,000 16,432
Cia. Vale do Rio Doce, preferred nominative, Class A (Brazil) 185,000 9,423
Cia. Vale do Rio Doce, ordinary nominative (ADR) 75,000 4,388
WMC Resources Ltd (Australia) (1) 2,955,000 12,511
Alumina Ltd. (Australia) 1,155,000 5,706
JSC MMC "Norilsk Nickel" (ADR) (Russia) 40,000 2,660
Anglogold Ltd. (South Africa) 21,000 989
WIRELESS TELECOMMUNICATION SERVICES - 3.23%
Vodafone Group PLC (United Kingdom) 8,095,000 19,995
Vodafone Group PLC (ADR) 375,000 9,390
America Movil SA de CV, Series L (ADR) (Mexico) 175,500 4,798
KDDI Corp. (Japan) 480 2,744
Bouygues SA (France) 75,000 2,609
NTT DoCoMo, Inc. (Japan) 625 1,414
ELECTRONIC EQUIPMENT & INSTRUMENTS - 2.75%
Samsung Electro-Mechanics Co., Ltd. (South Korea) 399,200 13,223
Murata Manufacturing Co., Ltd. (Japan) 222,000 11,967
Venture Corp. Ltd. (Singapore) 580,000 6,831
Hon Hai Precision Industry Co., Ltd. (Taiwan) 745,200 2,934
SPECIALTY RETAIL - 2.54%
Michaels Stores, Inc. (USA) 195,000 8,619
Lowe's Companies, Inc. (USA) 140,000 7,755
Limited Brands, Inc. (USA) 370,000 6,671
Dixons Group PLC (United Kingdom) 1,691,929 4,194
Kingfisher PLC (United Kingdom) 514,361 2,555
FAST RETAILING CO., LTD. (Japan) 40,000 2,424
INDUSTRIAL CONGLOMERATES - 2.13%
Tyco International Ltd. (USA) 520,000 13,780
General Electric Co. (USA) 260,000 8,055
Siemens AG (Germany) 66,000 5,260
HEALTH CARE PROVIDERS & SERVICES - 2.04%
Fresenius Medical Care AG, preferred (Germany) 269,000 13,489
Rhon-Klinikum AG, (Germany) 122,662 6,851
Rhon-Klinikum AG, nonvoting preferred 108,400 5,579
BEVERAGES - 1.98%
Orkla AS (Norway) 712,285 15,870
Heineken NV (Netherlands) 121,000 4,585
Anheuser-Busch Companies, Inc. (USA) 50,000 2,634
PepsiCo, Inc. (USA) 45,000 2,098
AUTOMOBILES - 1.90%
Honda Motor Co., Ltd. (Japan) 125,000 5,540
Suzuki Motor Corp. (Japan) 370,000 5,463
Bayerische Motoren Werke AG (Germany) 95,000 4,382
Renault SA (France) 60,450 4,150
Hyundai Motor Co. (South Korea) 76,000 3,223
DaimlerChrysler AG (Germany) 28,600 1,328
CHEMICALS - 1.57%
Dow Chemical Co. (USA) 330,000 13,718
Nitto Denko Corp. (Japan) 90,000 4,776
Valspar Corp. (USA) 30,000 1,483
COMMUNICATIONS EQUIPMENT - 1.52%
QUALCOMM Inc. (USA) 175,000 9,438
Motorola, Inc. (USA) 400,000 5,628
Cisco Systems, Inc. (USA) (1) 175,000 4,251
COMPUTERS & PERIPHERALS - 1.50%
Fujitsu Ltd. (Japan) (1) 1,540,000 9,061
NEC Corp. (Japan) 1,110,000 8,154
Anoto Group AB (Sweden) (1) 799,200 1,886
SOFTWARE - 1.32%
Microsoft Corp. (USA) 397,000 10,933
Cadence Design Systems, Inc. (USA) (1) 217,000 3,902
Mentor Graphics Corp. (USA) (1) 132,000 1,919
CAPITAL MARKETS - 1.24%
Deutsche Bank AG (Germany) 101,600 8,379
J.P. Morgan Chase & Co. (USA) 200,000 7,346
HOTELS, RESTAURANTS & LEISURE - 1.22%
Carnival Corp., units (USA) 208,000 8,264
Starbucks Corp. (USA) (1) 220,000 7,273
PERSONAL PRODUCTS - 1.22%
Shiseido Co., Ltd. (Japan) 1,011,000 12,264
Avon Products, Inc. (USA) 47,900 3,233
HEALTH CARE EQUIPMENT & SUPPLIES - 1.17%
Synthes-Stratec Inc. (Switzerland) 9,500 9,365
Nycomed Amersham PLC (United Kingdom) 403,400 5,507
ELECTRIC UTILITIES - 1.13%
Scottish Power PLC (United Kingdom) 1,716,100 11,393
E.ON AG (Germany) 45,000 2,922
FOOD & STAPLES RETAILING - 1.09%
Wal-Mart de Mexico, SA de CV, Series V (ADR) (Mexico) 228,000 6,384
Koninklijke Ahold NV (Netherlands) (1) 625,000 4,738
Woolworths Ltd. (Australia) 300,675 2,668
INTERNET & CATALOG RETAIL - 1.03%
InterActiveCorp (USA) (1) 260,000 8,822
eBay Inc. (USA) (1) 65,800 4,250
INSURANCE - 1.01%
American International Group, Inc. (USA) 150,000 9,942
Mitsui Sumitomo Insurance Co., Ltd. (Japan) 350,000 2,868
TEXTILES, APPAREL & LUXURY GOODS - 0.90%
Cie. Financiere Richemont AG, units, Class A (Switzerland) 478,000 11,433
TOBACCO - 0.75%
Altria Group, Inc. (USA) 175,000 9,524
AIR FREIGHT & LOGISTICS - 0.53%
United Parcel Service, Inc., Class B (USA) 37,000 2,758
FedEx Corp. (USA) 40,000 2,700
TPG NV (Netherlands) 53,693 1,252
CONSUMER FINANCE - 0.52%
Capital One Financial Corp. (USA) 68,000 4,168
ORIX Corp. (Japan) 30,000 2,474
ELECTRICAL EQUIPMENT - 0.46%
ABB Ltd (Switzerland) (1) 1,122,000 5,665
ABB Ltd (Sweden) (1) 40,052 201
HOUSEHOLD DURABLES - 0.45%
Koninklijke Philips Electronics NV (Netherlands) 150,000 4,359
Sony Corp. (Japan) 39,200 1,354
DIVERSIFIED FINANCIAL SERVICES - 0.39%
ING Groep NV (Netherlands) 215,172 4,994
BUILDING PRODUCTS - 0.38%
Asahi Glass Co., Ltd. (Japan) 585,000 4,793
OFFICE ELECTRONICS - 0.38%
Canon, Inc. (Japan) 103,000 4,785
MACHINERY - 0.36%
Volvo AB, Class B (Sweden) 149,450 4,563
HOUSEHOLD PRODUCTS - 0.31%
Kimberly-Clark de Mexico, SA de CV, Class A, ordinary participation certificates (Mexico) 1,540,000 3,953
PAPER & FOREST PRODUCTS - 0.29%
Stora Enso Oyj, Class R (Finland) 150,000 2,011
Weyerhaeuser Co. (USA) 25,000 1,600
OTHER INDUSTRIES - 1.30%
Target Corp. (USA) 80,000 3,072
National Grid Transco PLC (United Kingdom) 400,000 2,855
Schlumberger Ltd. (USA) 50,900 2,785
Ryanair Holdings PLC (ADR) (Ireland) (1) 33,000 1,671
Ryanair Holdings PLC (1) 67,300 557
Holcim Ltd. (Switzerland) 47,500 2,203
Sabre Holdings Corp., Class A (USA) 100,000 2,159
Brambles Industries Ltd. (Australia) 287,358 1,141
MISCELLANEOUS - 4.02%
Other equity securities in initial period of acquisition 51,000
Total equity securities (cost: $873,064,000) 1,085,792
PRINCIPAL MARKET
AMOUNT VALUE
SHORT-TERM SECURITIES - 14.67% (000) (000)
CORPORATE SHORT-TERM NOTES - 13.51%
Asset Securitization Cooperative Corp. 1.08% due 1/6-2/6/2004 (2)(4) $ 25,600 $ 25,578
National Australia Funding (DE) Inc. 1.07% due 1/9/2004 20,000 19,994
HSBC USA Inc. 1.08% due 1/12/2004 20,000 19,993
Bank of Ireland 1.08% due 1/26/2004 (2) 20,000 19,984
CBA (Delaware) Finance Inc. 1.07%-1.08% due 1/9-1/20/04 19,350 19,342
Shell Finance (U.K.) PLC 1.04%-1.05% due 2/6-2/12/2004 19,100 19,078
Bank of Montreal 1.04% due 1/16/04 15,500 15,493
Toyota Motor Credit Corp. 1.05%-1.06% due 1/27-2/11/2004 (2) 15,000 14,986
Bank of Nova Scotia 1.08% due 1/5/2004 10,000 9,998
Variable Funding Capital Corp. 0.97% due 1/2/2004 (2) 4,700 4,700
UBS Finance (Delaware) LLC 0.95% due 1/2/2004 2,400 2,400
U.S. TREASURIES - 1.16%
U.S. Treasury Bills 0.80% -0.905% due 1/2-2/5/2004 14,800 14,793
Total short-term securities (cost: $186,339,000) 186,339
Total investment securities (cost: $1,059,403,000) 1,272,131
New Taiwanese Dollar (cost: $441,000) NT$15,184 448
Other assets less liabilities (2,779)
Net assets $ 1,269,800
(1) Security did not produce income during the last 12 months.
(2) Purchased in a private placement transaction; resale may be limited to
qualified institutional buyers; resale to the public may require
registration.
(3) Valued under fair value procedures adopted by authority of the Board of
Trustees.
(4) This security, or a portion of this security, has been segregated to cover
funding requirments on investment transactions settling in the future.
ADR = American Depositary Receipts
See Notes to Financial Statements
GLOBAL SMALL CAPITALIZATION FUND Investment portfolio as of December 31, 2003
[Enlarge/Download Table]
MARKET
VALUE
Equity securities - 96.03% SHARES (000)
(common & preferred stocks)
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 9.85%
PMC-Sierra, Inc. (USA) (1) 500,000 $ 10,075
ASE Test Ltd. (Taiwan) (1) 550,000 8,233
PDF Solutions, Inc. (USA) (1) 540,000 8,046
Cymer, Inc. (USA) (1) 170,000 7,852
Micrel, Inc. (USA) (1) 350,000 5,453
Advanced Energy Industries, Inc. (USA) (1) 200,000 5,210
Axcelis Technologies, Inc. (USA) (1) 500,000 5,110
Integrated Circuit Systems, Inc. (USA) (1) 175,000 4,986
Faraday Technology Corp. (Taiwan) 1,999,250 4,540
Varian Semiconductor Equipment Associates, Inc. (USA) (1) 90,000 3,932
Brooks Automation, Inc. (USA) (1) 150,000 3,625
Applied Micro Circuits Corp. (USA) (1) 500,000 2,990
Semtech Corp. (USA) (1) 125,000 2,841
Micronas Semiconductor Holding AG (Switzerland) (1) 58,333 2,487
Xicor, Inc. (USA) (1) 147,765 1,676
KEC Corp. (South Korea) 45,070 1,536
O2Micro International Ltd. (USA) (1) 50,000 1,120
QuickLogic Corp. (USA) (1) 200,000 994
Fairchild Semiconductor International, Inc. (USA) (1) 30,000 749
Tessera Technologies, Inc. (USA) (1) 3,000 56
COMMERCIAL SERVICES & SUPPLIES - 7.07%
Education Management Corp. (USA) (1) 320,000 9,933
School Specialty, Inc. (USA) (1) 257,900 8,771
Techem AG (Germany) (1) 333,850 6,432
Sylvan Learning Systems, Inc. (USA) (1) 190,000 5,470
Sumitomo Real Estate Sales Co., Ltd. (Japan) 155,000 5,137
Downer EDI Ltd. (Australia) 1,764,999 5,137
PARK 24 Co., Ltd. (Japan) 156,900 3,586
Hudson Highland Group, Inc. (USA) (1) 150,000 3,577
John H. Harland Co. (USA) 125,000 3,412
Informatics Holdings Ltd. (Singapore) 5,757,000 3,356
Portfolio Recovery Associates, Inc. (USA) (1) 100,000 2,655
Kroll Inc. (USA) (1) 40,000 1,040
HOTELS, RESTAURANTS & LEISURE - 6.55%
J D Wetherspoon PLC (United Kingdom) 1,550,000 7,740
Sonic Corp. (USA) (1) 195,000 5,971
Extended Stay America, Inc. (USA) 350,000 5,068
Pinnacle Entertainment, Inc. (USA) (1) 500,000 4,660
IHOP Corp. (USA) 118,400 4,556
California Pizza Kitchen, Inc. (USA) (1) 200,000 4,026
Reins International Inc. (Japan) 880 4,006
Luminar PLC (United Kingdom) 500,000 3,629
Orient-Express Hotels Ltd., Class A (USA) (1) 185,000 3,040
Choice Hotels International, Inc. (USA) (1) 75,000 2,644
Orbitz, Inc., Class A (USA) (1) 100,000 2,320
Stanley Leisure PLC (United Kingdom) 305,000 2,157
O'Charley's Inc. (USA) (1) 100,000 1,795
Paddy Power PLC (Ireland) 145,800 1,309
Aristocrat Leisure Ltd. (Australia) 808,263 1,045
Cedar Fair, L.P. (USA) 7,600 234
INTERNET SOFTWARE & SERVICES - 6.38%
InfoSpace.com, Inc. (USA) (1) 342,400 7,892
CNET Networks, Inc. (USA) (1) 900,000 6,138
Ask Jeeves, Inc. (USA) (1) 300,000 5,436
EarthLink, Inc. (USA) (1) 535,000 5,350
SmartForce PLC (ADR) (Ireland) (1) 600,000 5,190
RealNetworks, Inc. (USA) (1) 725,000 4,140
DoubleClick Inc. (USA) (1) 350,000 3,577
Ctrip.com International, Ltd. (ADR) (China) (1) 80,000 2,721
iVillage Inc. (USA) (1) 663,200 2,374
Cybird Co., Ltd. (Japan) (1) 780 2,084
Retek Inc. (USA) (1) 200,000 1,856
Homestore, Inc. (USA) (1) 300,000 1,419
FindWhat.com (USA) (1) 75,000 1,406
Autobytel Inc. (USA) (1) 150,000 1,362
Switchboard Inc. (USA) (1) 135,000 933
Knot, Inc. (USA) (1) (2) (3) 100,000 360
Knot, Inc. (USA) (1) 42,000 168
LookSmart, Ltd. (USA) (1) 250,000 387
Muse Prime Software, Inc., Series B, convertible preferred (USA) (1) (2) (3) 246,129 32
MEDIA - 6.01%
Lions Gate Entertainment Corp., USD denominated (Canada) (1) 1,100,000 4,928
Lions Gate Entertainment Corp., Series A, 5.25% convertible preferred (2) (3) (4) 572 2,835
Lions Gate Entertainment Corp. (1) 180,200 805
Lions Gate Entertainment Corp., warrants, expire 2005 (1) (2) (3) 237,150 246
Schibsted ASA (Norway) 354,000 6,061
SBS Broadcasting SA (Luxembourg) (1) 150,000 4,890
Clear Media Ltd. (Hong Kong) (1) 7,500,000 4,831
Gemstar-TV Guide International, Inc. (formerly Gemstar International Group Ltd. (USA) (1) 950,000 4,797
Sanctuary Group PLC (United Kingdom) 4,850,000 4,212
Corus Entertainment Inc., Class B, nonvoting (Canada) 170,000 3,609
Astral Media Inc., Class A (Canada) 160,000 3,465
UnitedGlobalCom, Inc., Class A (USA) (1) 300,000 2,544
CanWest Global Communications Corp. (Canada) (1) 175,000 1,871
Woongjin.com Co., Ltd. (South Korea) 490,900 1,290
Toei Animation Co., Ltd. (Japan) 20,000 1,020
Alma Media Oyj (Finland) 28,000 1,019
BKN International AG (Germany) (1) 107,093 288
BKN International AG (1) (2) (3) 47,010 126
BKN International AG (Germany) (1) (3) 45,897 123
Fox Kids Europe NV (Netherlands) (1) 52,233 397
Torstar Corp., Class B, nonvoting (Canada) 17,500 392
SPECIALTY RETAIL - 3.96%
Sharper Image Corp. (USA) (1) 325,000 10,611
CarMax, Inc. (USA) (1) 310,000 9,588
Culture Convenience Club Co., Ltd. (Japan) 430,000 3,895
Restoration Hardware, Inc. (USA) (1) 512,000 2,432
Restoration Hardware, Inc. (1) (2) 282,051 1,340
Casual Male Retail Group, Inc. (USA) (1) 400,000 2,776
Valora Holding AG (Switzerland) 8,538 2,118
METALS & MINING - 3.86%
Wheaton River Minerals Ltd. (Canada) (1) (2) 2,053,000 6,134
Wheaton River Minerals Ltd., warrants, expire 2007 (1) (2) 937,500 1,665
Wheaton River Minerals Ltd., Series A, warrants, expire 2007 (1) (2) 204,250 364
Wheaton River Minerals Ltd., Series B, warrants, expire 2008 (1) (2) 193,750 277
First Quantum Minerals Ltd. (Canada) (1) 600,000 6,517
Gabriel Resources Ltd. (Canada) (1) 1,400,000 5,296
Kenmare Resources PLC (Ireland) (1) 13,100,000 3,528
Northern Orion Resources Inc. (formerly Northern Orion Explorations Ltd.) (Canada) (1) (2) 666,600 1,585
Northern Orion Resources Inc., warrants, expire 2008 (1) (2) 333,000 416
Yanzhou Coal Mining Co. Ltd., Class H (China) 1,850,000 1,871
American Mineral Fields Inc. (Canada) (1) 1,050,000 1,013
American Mineral Fields Inc. (1) (2) 875,000 844
Thistle Mining Inc. (Canada) (1) 3,945,455 1,127
Thistle Mining Inc., GBP denominated (1) 2,100,000 627
Thistle Mining Inc., warrants, expire 2004 (1) (2) (3) 1,050,000 0
Ivanhoe Mines Ltd. (Canada) (1) 83,600 665
Namibian Minerals Corp., warrants, expire 2006 (Canada) (1) (3) 950,000 -
ELECTRONIC EQUIPMENT & INSTRUMENTS - 3.61%
Kingboard Chemical Holdings Ltd. (Hong Kong) 6,660,000 10,253
National Instruments Corp. (USA) 108,500 4,933
Micronic Laser Systems AB (Sweden) (1) 390,000 4,520
Venture Corp. Ltd. (Singapore) 258,000 3,039
Citizen Electronics Co., Ltd. (Japan) 30,000 2,723
TTM Technologies, Inc. (USA) (1) 100,000 1,688
Renishaw PLC (United Kingdom) 132,988 1,293
Rotork PLC (United Kingdom) 115,719 756
Hana Microelectronics PCL (Thailand) 230,000 726
BIOTECHNOLOGY - 3.50%
Amylin Pharmaceuticals, Inc. (USA) (1) 715,100 15,890
IDEXX Laboratories, Inc. (USA) (1) 155,000 7,173
ILEX Oncology, Inc. (USA) (1) 97,300 2,068
OSI Pharmaceuticals, Inc. (USA) (1) 60,000 1,933
Q-Med AB (Sweden) (1) 80,600 1,907
SOFTWARE - 3.21%
Mentor Graphics Corp. (USA) (1) 460,000 6,688
Lawson Software, Inc. (USA) (1) 700,000 5,761
Borland Software Corp. (USA) (1) 545,000 5,303
Novell, Inc. (USA) (1) 400,000 4,208
Manhattan Associates, Inc. (USA) (1) 90,000 2,488
Creo Inc. (Canada) (1) 200,000 2,060
Infoteria Corp. (Japan) (1) (2) (3) 128 74
OIL & GAS - 3.10%
First Calgary Petroleums Ltd. (Canada) (1) 1,135,000 6,834
Patina Oil & Gas Corp. (USA) 125,000 6,124
Regal Petroleum PLC (United Kingdom) (1) 2,233,000 4,779
Oilexco Inc. (Canada) (1) 2,900,000 2,955
Oilexco Inc., warrants, expire 2008 (1) (2) (3) 725,000 122
Tullow Oil PLC (Ireland) 1,526,399 2,335
Sibir Energy PLC (United Kingdom) (1) 5,129,891 1,601
OPTI Canada Inc., Class C (Canada) (1) (2) (3) 77,350 911
COMMERCIAL BANKS - 3.05%
Cathay General Bancorp, Inc. (USA) 144,000 8,018
ICICI Bank Ltd. (India) 934,200 6,073
ICICI Bank Ltd. (ADR) 4,000 69
Aareal Bank AG (Germany) 170,000 5,292
Pusan Bank (South Korea) 575,000 3,220
HDFC Bank Ltd. (India) 326,300 2,621
HEALTH CARE PROVIDERS & SERVICES - 2.58%
ICON PLC (ADR) (Ireland) (1) 140,000 6,104
Rhon-Klinikum AG (Germany) 76,000 4,245
Rhon-Klinikum AG, nonvoting preferred 21,000 1,081
Centene Corp. (USA) (1) 145,000 4,061
Odyssey HealthCare, Inc. (USA) (1) 120,000 3,511
American Healthways, Inc. (USA) (1) 100,000 2,387
TRANSPORTATION INFRASTRUCTURE - 2.09%
Zhejiang Expressway Co. Ltd., Class H (China) 8,000,000 5,617
Jiangsu Expressway Co. Ltd., Class H (China) 9,000,000 4,783
International Container Terminal Services, Inc. (Philippines) 47,285,000 2,813
Anhui Expressway Co. Ltd., Class H (China) 5,600,000 2,146
SembCorp Logistics Ltd. (Singapore) 1,634,000 1,924
ROAD & RAIL - 2.01%
Overnite Corp. (USA) (1) 324,500 7,382
Northgate PLC (United Kingdom) 500,000 4,637
Container Corp. of India Ltd. (India) 217,100 3,059
SIRVA, Inc. (USA) (1) 79,400 1,551
PHARMACEUTICALS - 2.00%
Medicis Pharmaceutical Corp., Class A (USA) 75,000 5,347
Eon Labs, Inc (USA) (1) 100,000 5,095
Recordati SpA (Italy) 230,000 4,453
Inspire Pharmaceuticals, Inc. (USA) (1) 116,000 1,643
COMPUTERS & PERIPHERALS - 1.90%
Moser Baer India Ltd. (India) 820,000 6,186
Hutchinson Technology Inc. (USA) (1) 150,000 4,611
Infortrend Technology, Inc. (Taiwan) 950,000 3,124
Anoto Group AB (Sweden) (1) 536,453 1,266
MegaChips Corp. (Japan) 58,000 577
FOOD & STAPLES RETAILING - 1.87%
Performance Food Group Co. (USA) (1) 315,000 11,394
Cawachi Ltd. (Japan) 31,000 2,064
Migros Turk TA? (Turkey) 139,998,000 2,007
REAL ESTATE - 1.70%
Central Pattana Public Co., Ltd. (Thailand) 3,148,100 3,976
Corrections Corporation of America (formerly CCA Prison Realty Trust) (USA) (1) 125,000 3,604
Golden Land Property Development PLC, nonvoting depositary receipt (Thailand) (1) 9,600,000 2,862
Hung Poo Real Estate Development Corp. (Taiwan) (1) 3,850,000 2,078
Innkeepers USA Trust (USA) 102,200 855
Ascendas Real Estate Investment Trust (Singapore) 1,100,000 745
BUILDING PRODUCTS - 1.57%
Royal Group Technologies Ltd. (Canada) (1) 470,000 4,463
Masonite International Corp. (Canada) (1) 80,000 2,137
Uponor Oyj (Finland) 60,000 1,883
Geberit AG (Switzerland) 3,600 1,763
Ultraframe PLC (United Kingdom) 350,000 1,567
Noritz Corp. (Japan) 85,000 1,185
INTERNET & CATALOG RETAIL - 1.37%
Internet Auction Co. Ltd. (South Korea) (1) 74,000 4,163
Global Sports, Inc. (USA) (1) 400,000 3,904
drugstore.com, inc. (USA) (1) 347,300 1,914
Provide Commerce, Inc. (USA) (1) 90,000 1,365
HEALTH CARE EQUIPMENT & SUPPLIES - 1.33%
Tecan Group Ltd., Mannedorf (Switzerland) 110,370 5,315
Cochlear Ltd. (Australia) 215,700 3,481
Nakanishi Inc. (Japan) 24,000 1,073
TriPath Imaging, Inc. (USA) (1) 94,836 740
Lumenis Ltd. (Israel) (1) 300,000 405
InSite Vision Inc., warrants, expire 2004 (USA) (1) (2) (3) 9,150 0
TEXTILES, APPAREL & LUXURY GOODS - 1.25%
Pantaloon Retail (India) Ltd. (India) (5) 1,057,300 6,009
Columbia Sportswear Co. (USA) (1) 45,000 2,452
Cheil Industries Inc. (South Korea) 95,000 1,380
Nien Hsing Textile Co., Ltd. (Taiwan) 500,000 479
HOUSEHOLD DURABLES - 1.18%
Yankee Candle Company, Inc. (USA) (1) 295,000 8,062
Rational AG (Germany) 30,000 1,695
CONSTRUCTION & ENGINEERING - 0.97%
LG Engineering & Construction Co., Ltd. (South Korea) 350,000 5,246
Corus Group PLC (Netherlands) (1) 53,500 1,404
Taeyoung Corp. (South Korea) 40,000 1,377
INSURANCE - 0.94%
China Insurance International Holdings Co. Ltd. (Hong Kong) 6,400,000 3,257
Hilb, Rogal and Hamilton Co. (USA) 90,000 2,886
LG Insurance Co., Ltd. (South Korea) 350,000 1,625
GAS UTILITIES - 0.91%
Xinao Gas Holdings Ltd. (Hong Kong) (1) 9,475,000 5,279
International Energy Group Ltd. (United Kingdom) 870,000 2,226
AIRLINES - 0.90%
WestJet Airlines Ltd. (Canada) (1) 340,000 7,467
WIRELESS TELECOMMUNICATION SERVICES - 0.82%
Nextel Partners, Inc., Class A (USA) (1) 468,700 6,304
TeraBeam Networks (USA) (1) (2) (3) 533,332 507
DIVERSIFIED FINANCIAL SERVICES - 0.79%
PT Bank Rakyat Indonesia (Indonesia) (1) 40,096,500 5,959
Hong Kong Exchanges and Clearing Ltd. (Hong Kong) 274,000 595
COMMUNICATIONS EQUIPMENT - 0.78%
Polycom, Inc. (USA) (1) 150,000 2,928
Brocade Communications Systems, Inc. (USA) (1) 440,000 2,543
Taiwan Green Point Enterprises Co., Ltd. (Taiwan) 424,000 963
IT SERVICES - 0.72%
Baycorp Advantage Ltd. (Australia) (1) 2,600,000 5,475
iPayment, Inc. (USA) (1) 15,000 510
Socratic Technologies, Inc., Series A, convertible preferred (formerly Lone Star
Research, Inc.) (USA) (1) (2) (3) 125,000 -
CONSTRUCTION MATERIALS - 0.67%
Hanil Cement Co., Ltd. (South Korea) 52,000 2,681
PT Indocement Tunggal Prakarsa (Indonesia) (1) 8,283,500 2,093
Zhejiang Glass Co. Ltd., Class H (China) 2,113,600 749
TRADING COMPANIES & DISTRIBUTORS - 0.58%
MSC Industrial Direct Co., Inc., Class A (USA) 175,000 4,812
MULTILINE RETAIL - 0.50%
Fred's, Inc. (USA) 80,000 2,478
Warehouse Group Ltd. (New Zealand) 485,000 1,624
ELECTRIC UTILITIES - 0.48%
BSES Ltd. (GDR) (India) (2) 69,100 2,280
Tata Power Co. Ltd. (India) (1) 250,000 1,724
THRIFTS & MORTGAGE FINANCE - 0.44%
Federal Agricultural Mortgage Corp., Class C (USA) (1) 75,000 2,397
Saxon Capital, Inc. (USA) (1) 60,000 1,257
ELECTRICAL EQUIPMENT - 0.44%
Moatech Co., Ltd. (South Korea) 304,000 3,344
BYD Co. Ltd., Class H (China) 102,000 269
FOOD PRODUCTS - 0.41%
Binggrae Co., Ltd. (South Korea) 100,000 1,679
Yantai North Andre Juice Co., Ltd., Class H (China) (1) 11,000,000 1,162
Nutreco Holding NV (Netherland) 19,900 544
DIVERSIFIED TELECOMMUNICATION SERVICES - 0.35%
Unwired Group Ltd. (Australia) (1) 4,433,334 2,867
BEVERAGES - 0.30%
Robert Mondavi Corp., Class A (USA) (1) 65,000 2,525
MARINE - 0.30%
Regional Container Lines PCL (Thailand) 4,044,000 2,115
China Shipping Development Co. Ltd., Class H (China) 514,000 381
PAPER & FOREST PRODUCTS - 0.27%
M-real Oyj, Class B (Finland) 257,000 2,268
OFFICE ELECTRONICS - 0.26%
BoWE SYSTEC AG (Germany) 41,200 2,146
OTHER INDUSTRIES - 0.90%
American Capital Strategies, Ltd. (USA) 50,000 1,487
China Oilfield Services Ltd., Class H (China) 3,099,900 1,098
ZENON Environmental Inc. (Canada) (1) 75,000 1,086
Largan Precision Co., Ltd. (Taiwan) 110,000 1,070
Munchener Ruckversicherungs-Gesellschaft AG (USA) (1) 46,000 826
Singapore Post Private Ltd. (Singapore) 1,500,000 614
Cheng Shin Rubber (Xiamen) Ind., Ltd. (Taiwan) 410,000 524
Kaulin Manufacturing Co. Ltd. (Taiwan) 320,000 464
Nelnet, Inc., Class A (USA) (1) 14,700 329
MISCELLANEOUS - 2.30%
Other equity securities in initial period of acquisition 19,042
Total equity securities (cost: $615,043,000) 795,027
PRINCIPAL MARKET
AMOUNT VALUE
SHORT-TERM SECURITIES - 4.54% (000) (000)
CORPORATE SHORT-TERM NOTES - 4.54%
Royal Bank of Scotland PLC 1.06%-1.12% due 1/6-1/22/2004 (6) $ 10,000 $ 9,997
Dexia Delaware LLC 1.06% due 1/8/2004 9,800 9,798
Asset Securitization Cooperative Corp. 1.08% due 1/6/2004 (2) 9,400 9,398
Variable Funding Capital Corp. 0.97% due 1/2/2004 (2) 5,000 5,000
UBS Finance (Delaware) LLC 0.95% due 1/2/2004 3,400 3,400
Total short-term securities (cost: $37,592,000) 37,593
Total investment securities (cost: $652,635,000) 832,620
New Taiwanese Dollar (cost: $386,000) NT$13,132 387
Other assets less liabilities (5,119)
Net assets $ 827,888
(1) Security did not produce income during the last 12 months.
(2) Purchased in a private placement transaction; resale may be limited to
qualified institutional buyers; resale to the public may require
registration.
(3) Valued under fair value procedures adopted by authority of the Board of
Trustees.
(4) Payment in kind; the issuer has the option of paying additional securities
in lieu of cash.
(5) The fund owns 5.81% of the outstanding voting securities of Pantaloon
Retail (India) Ltd. and thus is considered an affiliate of this company
under the Investment Company Act of 1940.
(6) This security, or a portion of this secury, has been segregated to cover
funding requirements on investment transactions settling in the future.
ADR = American Depositary Receipts
GDR = Global Depositary Receipts
See Notes to Financial Statements
GROWTH FUND Investment portfolio as of December 31, 2003
[Enlarge/Download Table]
SHARES MARKET
VALUE
EQUITY SECURITIES - 91.83% (000)
(common & preferred stocks)
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 13.61%
Applied Materials, Inc. (1) 10,348,400 $ 232,322
Taiwan Semiconductor Manufacturing Co. Ltd. (Taiwan) (1) 99,790,400 186,868
Texas Instruments Inc. 6,175,000 181,421
Broadcom Corp., Class A (1) 4,100,000 139,769
Microchip Technology Inc. 3,575,000 119,262
Micron Technology, Inc. (1) 7,120,500 95,913
Linear Technology Corp. 2,125,000 89,399
Altera Corp. (1) 3,650,000 82,855
Samsung Electronics Co., Ltd. (South Korea) 192,000 72,705
Xilinx, Inc. (1) 1,845,000 71,475
KLA-Tencor Corp. (1) 1,050,000 61,604
Maxim Integrated Products, Inc. 1,100,400 54,800
Analog Devices, Inc. 775,000 35,379
VIA Technologies, Inc. (Taiwan) 16,300,000 21,150
PMC-Sierra, Inc. (1) 1,000,000 20,150
Applied Micro Circuits Corp. (1) 3,275,000 19,585
Teradyne, Inc. (1) 400,000 10,180
MEDIA - 11.68%
Time Warner Inc. (formerly AOL Time Warner Inc.) (1) 23,957,725 430,999
Comcast Corp., Class A, special stock, nonvoting (1) 3,618,300 113,180
Comcast Corp., Class A (1) 2,860,000 94,008
News Corp. Ltd., preferred (ADR) (Australia) 6,325,000 191,331
Liberty Media Corp., Class A (1) 11,370,000 135,189
UnitedGlobalCom, Inc., Class A (1) 11,665,000 98,919
Fox Entertainment Group, Inc., Class A (1) 3,050,000 88,908
Cox Communications, Inc., Class A (1) 1,700,000 58,565
Viacom Inc., Class B, nonvoting 875,000 38,833
Clear Channel Communications, Inc. 700,000 32,781
PHARMACEUTICALS - 5.52%
Forest Laboratories, Inc. (1) 2,650,000 163,770
AstraZeneca PLC (United Kingdom) 1,750,000 83,641
AstraZeneca PLC (Sweden) 1,225,000 59,591
AstraZeneca PLC (ADR) (United Kingdom) 200,000 9,676
Eli Lilly and Co. 1,820,000 128,001
Barr Laboratories, Inc. (1) 700,000 53,865
Shionogi & Co., Ltd. (Japan) 2,300,000 42,741
Sepracor Inc. (1) 1,500,000 35,895
Pfizer Inc 490,000 17,312
Allergan, Inc. 160,000 12,290
INTERNET & CATALOG RETAIL - 4.86%
InterActiveCorp (1) 12,070,000 409,535
eBay Inc. (1) 1,933,600 124,891
INSURANCE - 3.58%
American International Group, Inc. 4,425,000 293,289
XL Capital Ltd., Class A 1,140,000 88,407
Marsh & McLennan Companies, Inc. 253,600 12,145
SOFTWARE - 3.58%
Microsoft Corp. 7,545,000 207,789
PeopleSoft, Inc. (1) 2,927,628 66,750
Cadence Design Systems, Inc. (1) 3,000,000 53,940
SAP AG (ADR) (Germany) 950,000 39,482
Oracle Corp. (1) 950,000 12,540
Mentor Graphics Corp. (1) 850,000 12,359
WIRELESS TELECOMMUNICATION SERVICES - 3.34%
AT&T Wireless Services, Inc. (1) 22,095,000 176,539
Vodafone Group PLC (ADR) (United Kingdom) 5,275,000 132,086
Vodafone Group PLC 12,500,000 30,875
China Unicom Ltd. (China) 29,104,000 27,182
HOTELS, RESTAURANTS & LEISURE - 3.07%
Carnival Corp., units 3,910,000 155,344
Harrah's Entertainment, Inc. 1,694,900 84,355
Starbucks Corp. (1) 2,030,000 67,112
MGM Mirage, Inc. (1) 800,000 30,088
OIL & GAS - 2.69%
Murphy Oil Corp. 1,319,400 86,170
EOG Resources, Inc. 1,135,000 52,403
Devon Energy Corp. 679,536 38,910
Pogo Producing Co. 700,000 33,810
Petro-Canada (Canada) 600,000 29,602
Exxon Mobil Corp. 550,000 22,550
Premcor Inc. (1) 625,000 16,250
BG Group PLC (United Kingdom) 3,050,000 15,597
TOBACCO - 2.68%
Altria Group, Inc. 5,410,000 294,412
INTERNET SOFTWARE & SERVICES - 2.65%
Yahoo! Inc. (1) 3,666,200 165,602
T-Online International AG (Germany) (1) 5,200,000 67,229
Yahoo Japan Corp. (Japan) (1) 2,432 32,605
SINA.com (Hong Kong) (1) 440,000 14,850
Homestore, Inc. (1) 2,400,000 11,352
SPECIALTY RETAIL - 2.65%
Lowe's Companies, Inc. 2,591,500 143,543
Michaels Stores, Inc. 1,800,000 79,560
Limited Brands, Inc. 2,200,000 39,666
Yamada Denki Co., Ltd. (Japan) 838,000 28,087
MULTILINE RETAIL - 2.63%
Target Corp. 4,915,000 188,736
Kohl's Corp. (1) 2,225,000 99,992
INDUSTRIAL CONGLOMERATES - 2.11%
Tyco International Ltd. 5,875,000 155,688
General Electric Co. 2,440,000 75,591
COMMUNICATIONS EQUIPMENT - 2.09%
QUALCOMM Inc. 2,450,000 132,129
Cisco Systems, Inc. (1) 2,283,000 55,454
Corning Inc. (1) 4,000,000 41,720
BIOTECHNOLOGY - 1.84%
Amgen Inc. (1) 1,725,000 106,605
Biogen Idec Inc. (formerly Biogen, Inc.) (1) 930,000 34,205
Celgene Corp. (1) 485,100 21,839
Gilead Sciences, Inc. (1) 350,000 20,349
Millennium Pharmaceuticals, Inc. (1) 1,000,000 18,670
THRIFTS & MORTGAGE FINANCE - 1.82%
Fannie Mae 2,010,000 150,871
Freddie Mac 850,000 49,572
BEVERAGES - 1.80%
Anheuser-Busch Companies, Inc. 1,150,000 60,582
PepsiCo, Inc. 1,270,000 59,207
Coca-Cola Co. 1,157,000 58,718
Adolph Coors Co., Class B 350,000 19,635
AIRLINES - 1.45%
Southwest Airlines Co. 6,747,443 108,904
Ryanair Holdings PLC (ADR) (Ireland) (1) 1,005,000 50,893
AIR FREIGHT & LOGISTICS - 1.43%
FedEx Corp. 1,413,900 95,438
United Parcel Service, Inc., Class B 821,200 61,220
FOOD & STAPLES RETAILING - 1.19%
Walgreen Co. 1,750,000 63,665
Whole Foods Market, Inc. (1) 525,000 35,243
Performance Food Group Co. (1) 875,000 31,649
COMMERCIAL SERVICES & SUPPLIES - 1.16%
Monster Worldwide Inc. (1) 2,600,000 57,096
Allied Waste Industries, Inc. (1) 3,073,400 42,659
Robert Half International Inc. (1) 800,000 18,672
United Rentals, Inc. (1) 450,000 8,667
IT SERVICES - 1.14%
Paychex, Inc. 1,125,000 41,850
Sabre Holdings Corp., Class A 1,593,917 34,413
Automatic Data Processing, Inc. 720,000 28,519
Ceridian Corp. (1) 1,000,000 20,940
HEALTH CARE PROVIDERS & SERVICES - 1.12%
Express Scripts, Inc. (1) 1,724,000 114,525
Lincare Holdings Inc. (1) 270,000 8,108
AEROSPACE & DEFENSE - 1.00%
Boeing Co. 1,165,000 49,093
Northrop Grumman Corp. 320,000 30,592
Bombardier Inc., Class B (Canada) 4,000,000 16,891
General Dynamics Corp. 150,000 13,559
MACHINERY - 0.94%
Illinois Tool Works Inc. 934,800 78,439
Deere & Co. 375,000 24,394
COMPUTERS & PERIPHERALS - 0.86%
Maxtor Corp. (1) 3,400,000 37,740
Fujitsu Ltd. (Japan) (1) 4,180,000 24,595
Sun Microsystems, Inc. (1) 4,453,600 19,997
Hewlett-Packard Co. 284,625 6,538
Dell Inc. (formerly Dell Computer Corp.) (1) 160,000 5,434
DIVERSIFIED TELECOMMUNICATION SERVICES - 0.85%
Telefonica, SA (ADR) (Spain) 1,142,965 50,508
Deutsche Telekom AG (Germany) (1) 1,350,000 24,587
Royal KPN NV (Netherlands) (1) 2,140,000 16,439
AT&T Corp. 50,000 1,015
NTL Inc., Series A, warrants, expire 2011 (1) 43,375 423
ENERGY EQUIPMENT & SERVICES - 0.82%
Halliburton Co. 2,250,000 58,500
Schlumberger Ltd. 300,000 16,416
Nabors Industries Ltd. (1) 200,000 8,300
Patterson-UTI Energy, Inc. (1) 220,000 7,242
DIVERSIFIED FINANCIAL SERVICES - 0.80%
CIT Group Inc. 1,400,000 50,330
CapitalSource Inc. (1) 1,746,300 37,860
METALS & MINING - 0.74%
Freeport-McMoRan Copper & Gold Inc., Class B 1,000,000 42,130
Ivanhoe Mines Ltd. (Canada) (1) 2,728,200 21,692
Rio Tinto PLC (United Kingdom) 625,000 17,199
COMMERCIAL BANKS - 0.67%
SMFG Finance (Cayman) Ltd. 2.25% mandatorily exchangeable preferred 2005, units (Japan) 2,856,000,000 49,789
Wells Fargo & Co. 400,000 23,556
CONSUMER FINANCE - 0.61%
Capital One Financial Corp. 685,000 41,984
MBNA Corp. 1,000,000 24,850
FOOD PRODUCTS - 0.56%
Unilever NV (New York registered) (Netherlands) 760,000 49,324
General Mills, Inc. 265,000 12,005
CAPITAL MARKETS - 0.53%
Bank of New York Co., Inc. 900,000 29,808
Allied Capital Corp. 1,027,000 28,633
ELECTRONIC EQUIPMENT & INSTRUMENTS - 0.47%
Solectron Corp. (1) 5,000,000 29,550
Flextronics International Ltd. (Singapore) (1) 1,500,000 22,260
HOUSEHOLD DURABLES - 0.40%
Yankee Candle Company, Inc. (1) 1,600,000 43,728
HEALTH CARE EQUIPMENT & SUPPLIES - 0.34%
St. Jude Medical, Inc. (1) 615,000 37,730
OTHER INDUSTRIES - 0.40%
Valspar Corp. 466,100 23,035
Questar Corp. 600,000 21,090
MISCELLANEOUS - 2.15%
Other equity securities in initial period of acquisition 235,922
Total equity securities (cost: $8,025,063,000) 10,086,439
Principal
amount
BONDS & NOTES - 0.02% (000)
MEDIA - 0.02%
AOL Time Warner Inc. 5.625% 2005 $ 1,960 2,053
Total bonds & notes (cost: $1,894,000) 2,053
PRINCIPAL MARKET
AMOUNT VALUE
SHORT-TERM SECURITIES - 8.15% (000) (000)
CORPORATE SHORT-TERM NOTES - 7.00%
Preferred Receivables Funding Corp. 1.08%-1.09% due 1/9-2/3/2004 (2) 75,000 74,953
Pfizer Inc 1.02%-1.04% due 1/14-2/23/2004 (2) 75,000 74,913
Three Pillars Funding Corp. 1.08% due 1/14-3/17/2004 (2) 74,800 74,737
CAFCO, LLC 1.07%-1.10% due 1/6-2/17/2004 (2) 63,000 62,940
Triple-A One Funding Corp. 1.09% due 1/8/2004 (2) 57,100 57,086
Park Avenue Receivables Corp. 1.08%-1.09% due 1/9-2/4/2004 (2) 50,000 49,972
Coca-Cola Co. 1.01%-1.03% due 1/23-2/6/2004 44,600 44,558
E.I. DuPont de Nemours & Co. 1.03%-1.04% due 3/2-3/4/2004 42,650 42,569
Caterpillar Financial Services Corp. 1.02% due 1/13/2004 40,000 39,985
Receivables Capital Corp. 1.07%-1.09% due 1/7-2/10/2004 (2) 40,000 39,977
Netjets Inc. 1.06% due 2/3-2/18/2004 (2) 40,000 39,951
BellSouth Corp. 1.01%-1.03% due 1/5-1/20/2004 (2) 29,300 29,289
Household Finance Corp. 1.10% due 1/12/2004 25,000 24,991
Minnesota Mining and Manufacturing Co. 1.02% due 1/21/2004 25,000 24,985
Harley-Davidson Funding Corp. 1.02%-1.03% due 2/17-2/25/2004 (2) 25,000 24,964
SBC International Inc. 1.03% due 1/22/2004 (2) 20,700 20,687
Clorox Co. 1.04% due 1/16/2004 20,000 19,991
Golden Peanut Co., LLC 1.06%-1.07% due 1/16-2/9/2004 10,100 10,091
Archer Daniels Midland Co. 1.08% due 1/21/2004 (2) 10,000 9,994
Variable Funding Capital Corp. 0.97% due 1/2/2004 (2) 2,400 2,400
CERTIFICATES OF DEPOSIT - 0.59%
State Street Bank & Trust 1.05%-1.06% due 1/8-2/4/2004 65,000 65,000
U.S. TREASURIES - 0.56%
U.S. Treasury Bills 0.90%-0.92% due 1/22-2/12/2004 61,500 61,453
Total short-term securities (cost: $895,487,000) 895,486
Total investment securities (cost: $8,922,444,000) 10,983,978
New Taiwanese Dollar (cost: $2,769,000) NT$93,141 2,747
Other assets less liabilities (2,782)
Net assets $10,983,943
(1) Security did not produce income during the last 12 months.
(2) Purchased in a private placement transaction; resale may be limited to
qualified institutional buyers; resale to the public may require
registration.
ADR = American Depositary Receipts
See Notes to Financial Statements
INTERNATIONAL FUND Investment portfolio as of December 31, 2003
[Enlarge/Download Table]
MARKET
VALUE
STOCKS - 90.96% SHARES (000)
COMMERCIAL BANKS - 9.14%
Kookmin Bank (South Korea) 1,147,850 43,032
Allied Irish Banks, PLC (Ireland) 1,829,515 29,233
Societe Generale (France) 332,500 29,215
ABN AMRO Holding NV (Netherlands) 1,236,666 28,794
HSBC Holdings PLC (United Kingdom) 1,685,322 26,389
Malayan Banking Bhd. (Malaysia) 9,500,000 24,125
Svenska Handelsbanken Group, Class A (Sweden) 1,165,000 23,769
Bank of Nova Scotia (Canada) 300,000 15,239
Shinhan Financial Group Co., Ltd. (South Korea) 634,670 10,152
Unibanco-Uniao de Bancos Brasileiros SA units, (GDR) (Brazil) 360,000 8,982
Royal Bank of Scotland Group PLC (United Kingdom) 250,000 7,339
SMFG Finance (Cayman) Ltd. 2.25% mandatorily exchangeable preferred 2005, units (Japan) 360,000,000 6,276
Westpac Banking Corp. (Australia) 403,900 4,857
DIVERSIFIED TELECOMMUNICATION SERVICES - 8.09%
Telekom Austria AG (Austria) (1) 6,215,000 76,450
Royal KPN NV (Netherlands) (1) 7,192,300 55,250
Telefonica, SA (Spain) 3,053,402 44,612
Telefonos de Mexico, SA de CV, Class L (ADR) (Mexico) 574,000 18,959
Deutsche Telekom AG (Germany) (1) 670,000 12,203
BCE Inc. (Canada) 347,398 7,750
Philippine Long Distance Telephone Co. (Philippines) (1) 205,000 3,585
Philippine Long Distance Telephone Co. (ADR) (1) 154,000 2,683
Telecom Italia SpA, nonvoting (Italy) (1) 3,000,000 6,081
Telewest Communications PLC (United Kingdom) (1) 8,136,200 276
Bayan Telecommunications Holdings Corp., Class A (Philippines) (1)(2)(3) 43,010
Bayan Telecommunications Holdings Corp., Class B (1)(2)(3) 14,199
FOOD PRODUCTS - 6.91%
Koninklijke Numico NV, Class C (Netherlands) (1) 2,585,000 71,091
Nestle SA (Switzerland) 224,020 55,748
Unilever NV (Netherlands) 364,000 23,690
Unilever NV (New York registered) 200,000 12,980
Groupe Danone (France) 121,200 19,686
Unilever PLC (United Kingdom) 1,223,171 11,360
PHARMACEUTICALS - 6.76%
AstraZeneca PLC (Sweden) 707,500 34,417
AstraZeneca PLC (United Kingdom) 288,000 13,765
Shionogi & Co., Ltd. (Japan) 2,423,000 45,027
Novo Nordisk A/S, Class B (Denmark) 974,000 39,485
Sanofi-Synthelabo (France) 251,800 18,869
Aventis, Class A (France) 271,600 17,864
UCB NV (Belgium) 306,924 11,515
H. Lundbeck A/S (Denmark) 420,953 6,954
Elan Corp., PLC (ADR) (Ireland) (1) 370,000 2,549
OIL & gas - 6.22%
Husky Energy Inc. (Canada) 2,250,000 40,765
Petro-Canada (Canada) 740,000 36,509
Norsk Hydro AS (Norway) 487,560 29,927
Canadian Natural Resources, Ltd. (Canada) 400,000 20,185
"Shell" Transport and Trading Co., PLC (ADR) (United Kingdom) 320,000 14,410
"Shell" Transport and Trading Co., PLC 540,000 4,001
Nexen Inc. (Canada) 423,622 15,344
Petroleo Brasileiro SA - Petrobras, ordinary nominative (ADR) (Brazil) 255,000 7,456
ENI SpA (Italy) 350,000 6,572
METALS & mining - 4.57%
Cia. Vale do Rio Doce, ordinary nominative, (ADR) (Brazil) 448,500 26,237
Cia. Vale do Rio Doce, preferred nominative, Class A 298,000 15,178
Alumina Ltd. (Australia) 5,327,223 26,320
WMC Resources Ltd (Australia)(1) 5,777,223 24,459
Xstrata PLC (United Kingdom) 1,708,500 19,195
BHP Billiton PLC (United Kingdom) 1,500,000 13,054
JFE Holdings, Inc. (Japan) 156,200 4,254
BEVERAGES - 4.22%
Orkla AS (Norway) 1,877,942 41,840
Heineken NV (Netherlands) 960,000 36,379
Southcorp Ltd. (Australia) 17,444,222 35,419
Coca-Cola HBC SA (Greece) 250,000 5,184
AUTOMOBILES - 3.80%
Honda Motor Co., Ltd. (Japan) 931,000 41,258
Suzuki Motor Corp. (Japan) 2,030,000 29,975
Toyota Motor Corp. (Japan) 528,500 17,812
Bayerische Motoren Werke AG (Germany) 245,000 11,301
Renault SA (France) 60,650 4,164
Fuji Heavy Industries Ltd. (Japan) 500,000 2,421
ELECTRONIC EQUIPMENT & instruments - 3.60%
Murata Manufacturing Co., Ltd. (Japan) 518,700 27,961
Hirose Electric Co., Ltd. (Japan) 171,000 19,582
Hoya Corp. (Japan) 175,000 16,032
Samsung Electro-Mechanics Co., Ltd. (South Korea) 410,000 13,581
Hon Hai Precision Industry Co., Ltd. (Taiwan) 2,400,000 9,449
TDK Corp. (Japan) 90,000 6,469
Samsung SDI Co., Ltd. (South Korea) 50,000 5,898
Orbotech Ltd. (Israel) (1) 100,000 2,392
SEMICONDUCTORS & semiconductor equipment - 3.45%
Rohm Co., Ltd. (Japan) 369,700 43,231
Taiwan Semiconductor Manufacturing Co. Ltd. (Taiwan) (1) 17,239,843 32,283
Tokyo Electron Ltd. (Japan) 131,000 9,928
Samsung Electronics Co., Ltd. (South Korea) 25,000 9,467
Nikon Corp. (Japan) (1) 141,000 2,121
WIRELESS TELECOMMUNICATION SERVICES - 3.01%
Vodafone Group PLC (United Kingdom) 17,300,000 42,731
KDDI Corp. (Japan) 2,723 15,566
America Movil SA de CV, Series L (ADR) (Mexico) 480,000 13,123
China Unicom Ltd. (China) 7,478,200 6,984
Bouygues SA (France) 180,000 6,263
MEDIA - 2.88%
VNU NV (Netherlands) 680,000 21,381
News Corp. Ltd. (ADR) (Australia) 362,000 13,068
News Corp. Ltd., preferred 206,331 1,552
News Corp. Ltd. 100,281 904
Mediaset SpA (Italy) 1,250,000 14,780
Grupo Televisa, SA, ordinary participation certificates (ADR) (Mexico) 360,000 14,350
Nippon Television Network Corp. (Japan) 42,000 6,229
Pearson PLC (United Kingdom) 500,000 5,546
SET Satellite (Singapore) Pte. Ltd. (India) (1)(2)(3) 800,276 2,198
SET India Ltd. (India) (1)(2)(3) 32,200 1,131
KirchMedia GmbH & Co. KGaA, nonvoting (Germany) (1)(2)(3) 675,511 -
COMPUTERS & peripherals - 2.60%
NEC Corp. (Japan) 3,800,000 27,913
Fujitsu Ltd. (Japan) (1) 4,550,000 26,772
Quanta Computer Inc. (Taiwan) 4,078,415 10,043
Quanta Computer Inc. (GDR) (1)(2) 716,000 8,664
TEXTILES, APPAREL & luxury goods - 2.24%
Cie. Financiere Richemont AG, units, Class A (Switzerland) 2,635,406 63,036
CHEMICALS - 2.23%
Nitto Denko Corp. (Japan) 726,200 38,538
Potash Corp. of Saskatchewan Inc. (Canada) 185,000 15,999
Linde AG (Germany) 155,300 8,324
SPECIALTY RETAIL - 1.88%
Kingfisher PLC (United Kingdom) 3,404,158 16,908
Dixons Group PLC (United Kingdom) 6,342,341 15,722
FAST RETAILING CO., LTD. (Japan) 165,400 10,025
INDITEX SA (Spain) 492,777 9,959
Kesa Electricals PLC (United Kingdom) 96,950 445
FOOD & staples retailing - 1.61%
Wal-Mart de Mexico, SA de CV, Series C (Mexico) 7,080,000 18,968
Coles Myer Ltd. (Australia) 2,480,578 14,102
Koninklijke Ahold NV (Netherlands) (1) 930,700 7,056
Woolworths Ltd. (Australia) 580,126 5,148
PAPER & forest products - 1.41%
UPM-Kymmene Corp. (Finland) 2,090,000 39,665
AUTO COMPONENTS - 1.18%
Continental AG (Germany) 879,250 33,186
CAPITAL MARKETS - 1.05%
Deutsche Bank AG (Germany) 359,000 29,606
ELECTRIC UTILITIES - 0.96%
Scottish Power PLC (United Kingdom) 4,070,984 27,026
THRIFTS & mortgage finance - 0.94%
Housing Development Finance Corp. Ltd. (India) (2) 1,866,000 26,504
HEALTH CARE PROVIDERS & services - 0.92%
Fresenius Medical Care AG, preferred (Germany) 519,000 26,025
INSURANCE - 0.86%
PartnerRe Holdings Ltd. (Polynational) 416,300 24,166
CONSTRUCTION MATERIALS - 0.77%
Holcim Ltd. (Switzerland) 250,000 11,597
Cemex, SA de CV, ordinary participation certificates, units (ADR) (Mexico) 381,836 10,004
Cemex, SA de CV, warrants, expire 2004 92,038 244
AIR FREIGHT & logistics - 0.67%
Yamato Transport Co., Ltd. (Japan) 1,600,000 18,799
AIRLINES - 0.67%
Ryanair Holdings PLC (ADR) (Ireland) (1) 260,000 13,166
Ryanair Holdings PLC (1) 346,200 2,864
Qantas Airways Ltd. (Australia) 1,114,100 2,756
DIVERSIFIED FINANCIAL SERVICES - 0.63%
ING Groep NV (Netherlands) 759,310 17,623
HEALTH CARE EQUIPMENT & supplies - 0.61%
Smith & Nephew PLC (United Kingdom) 2,000,000 16,737
Lumenis Ltd. (Israel) (1) 355,000 479
OFFICE ELECTRONICS - 0.58%
Canon, Inc. (Japan) 350,000 16,260
HOUSEHOLD DURABLES - 0.53%
Daiwa House Industry Co., Ltd. (Japan) 759,000 8,056
Sony Corp. (Japan) 200,000 6,908
HOTELS, RESTAURANTS & leisure - 0.52%
Hilton Group PLC (United Kingdom) 3,648,100 14,622
COMMERCIAL SERVICES & supplies - 0.50%
Brambles Industries Ltd. (Australia) 2,000,000 7,941
Vedior NV (Netherlands) 270,200 4,206
Securitas AB, Class B (Sweden) 155,000 2,087
MACHINERY - 0.38%
Metso Oyj (Finland) 630,000 7,655
Volvo AB, Class B (Sweden) 100,950 3,082
BUILDING PRODUCTS - 0.37%
Asahi Glass Co., Ltd. (Japan) 1,260,000 10,323
MULTILINE RETAIL - 0.26%
Marui Co., Ltd. (Japan) 585,000 7,353
OTHER INDUSTRIES - 0.58%
Johnson Electric Holdings Ltd. (Hong Kong) 5,000,000 6,377
National Grid Transco PLC (United Kingdom) 800,000 5,710
Kimberly-Clark de Mexico, SA de CV, Class A, ordinary participation certificates (Mexico) 1,600,000 4,107
Zhejiang Expressway Co. Ltd., Class H (China) 248,000 174
MISCELLANEOUS - 3.36%
Other stocks in initial period of acquisition 94,717
Total stocks (cost: $2,028,557,000) 2,561,717
PRINCIPAL MARKET
AMOUNT VALUE
CONVERTIBLE DEBENTURES - .11% (000)
DIVERSIFIED TELECOMMUNICATION SERVICES - 0.11%
COLT Telecom Group PLC 2.00% 2006 (United Kingdom) Euro 2,400 3,193
Total convertible debentures (cost: $3,894,000) 3,193
Total equity securities (cost: $2,032,451,000) 2,564,910
PRINCIPAL MARKET
AMOUNT VALUE
BONDS & notes - 0.03% (000)
ELECTRICAL EQUIPMENT - 0.03%
Elektrim Finance BV 2.00% 2005 (Poland)(3) Euro 842 899
Total bonds & notes (cost: $623,000) 899
PRINCIPAL MARKET
AMOUNT VALUE
SHORT-TERM SECURITIES - 8.44% (000)
CORPORATE SHORT-TERM NOTES - 8.44%
Dexia Delaware LLC 1.06%-1.07% due 1/16-1/26/2004 (4) 35,000,000 34,980
Bank of Ireland 1.06%-1.08% due 1/26/2004 (2) 35,000,000 34,973
Asset Securitization Cooperative Corp. 1.08%-1.10% due 1/6/2004 (2) 29,200,000 29,195
CBA (Delaware) Finance Inc. 1.07%-1.08% due 1/5-1/12/2004 25,000,000 24,993
Danske Corp. 1.07% due 2/18/2004 25,000,000 24,963
Toronto-Dominion Holdings USA Inc. 1.075% due 1/8/2004 24,800,000 24,794
National Australia Funding (DE) Inc. 1.07% due 1/12/2004 20,000,000 19,993
Bank of Nova Scotia 1.08% due 1/5/2004 15,000,000 14,998
Abbey National North America LLC 1.03% due 1/21/2004 15,000,000 14,991
UBS Finance (Delaware) LLC .98% due 1/2/2004 13,700,000 13,699
Total short-term securities (cost: $237,580,000) 237,579
Total investment securities (cost: $2,270,654,000) 2,803,388
Non-U.S. currency - 0.06%
New Taiwanese Dollar (cost: $1,723,000) NT$571,685
Other assets less liabilities 11,216
Net assets $2,816,289
(1) Security did not produce income during the last 12 months.
(2) Purchased in a private placement transaction; resale may be limited to
qualified institutional buyers; resale to the public may require
registration.
(3) Valued under fair value procedures adopted by authority of the Board of
Directors.
(4) This security, or a portion of this security, has been segregated to cover
funding requirements on investment transactions settling in the future.
ADR = American Depositary Receipts
GDR = Global Depositary Receipts
See Notes to Financial Statements
NEW WORLD FUND Investment portfolio, as of December 31, 2003
[Enlarge/Download Table]
MARKET
VALUE
STOCKS - 76.06% SHARES (000)
(common & preferred)
COMMERCIAL BANKS - 8.08%
Shinhan Financial Group Co., Ltd. (South Korea) 228,230 $3,650
Erste Bank der oesterreichischen Sparkassen AG (Austria) 20,692 2,545
HSBC Holdings PLC (United Kingdom) 117,177 1,849
OTP Bank Rt. (Hungary) 129,000 1,653
Allied Irish Banks, PLC (Ireland) 101,675 1,625
Bank Zachodni WBK SA (Poland) 75,697 1,536
HDFC Bank Ltd. (India) 186,500 1,498
Unibanco-Uniao de Bancos Brasileiros SA, units (GDR) (Brazil) 60,000 1,497
Australia and New Zealand Banking Group Ltd. (Australia) 80,000 1,064
Itausa - Investimentos Itau SA, preferred nominative (Brazil) 896,838 1,059
ICICI Bank Ltd. (India) 125,074 813
ICICI Bank Ltd. (ADR) 8,000 137
Banco Itau Holding Financeira SA, preferred nominative (Brazil) 9,000,000 894
Kookmin Bank (South Korea) 23,000 862
United Overseas Bank Ltd. (Singapore) 100,000 777
Bank of the Philippine Islands (Philippines) 537,180 450
METALS & MINING - 6.60%
Cia. Vale do Rio Doce, preferred nominative, Class A (Brazil) 61,000 3,107
Cia. Vale do Rio Doce, ordinary nominative (ADR) 21,900 1,281
Phelps Dodge Corp. (USA) (1) 50,000 3,805
Ivanhoe Mines Ltd. (Canada) (1) 303,100 2,410
Xstrata PLC (United Kingdom) 205,000 2,303
Freeport-McMoRan Copper & Gold Inc., Class B (USA) 31,000 1,306
Hindalco Industries Ltd. (India) 42,000 1,301
BHP Billiton PLC (United Kingdom) 142,664 1,242
Anglo American PLC (South Africa) 29,467 632
POSCO (South Korea) 3,700 506
BEVERAGES - 6.45%
Coca-Cola Co. (USA) 104,500 5,303
Cia. de Bebidas das Americas - AmBev, preferred nominative (ADR) (Brazil) 94,000 2,398
Orkla AS (Norway) 96,142 2,142
Fomento Economico Mexicano, SA de CV (ADR) (Mexico) 52,000 1,918
Heineken NV (Netherlands) 46,000 1,743
PepsiCo, Inc. (USA) 33,900 1,580
Anheuser-Busch Companies, Inc. (USA) 30,000 1,580
Coca-Cola HBC SA (Greece) 40,000 829
DIVERSIFIED TELECOMMUNICATION SERVICES - 5.98%
Philippine Long Distance Telephone Co. (Philippines) (1) 190,000 3,323
Portugal Telecom, SGPS, SA (Portugal) 290,000 2,905
Cia. de Telecomunicaciones de Chile SA (ADR) (Chile) 184,100 2,752
Perusahaan Perseroan (Persero) PT Telekomunikasi Indonesia Tbk, Class B (Indonesia) 3,020,000 2,424
Telefonica, SA (Spain) (1) 157,161 2,296
Magyar Tavkozlesi Rt. (ADR) (Hungary) 60,000 1,123
Telefonos de Mexico, SA de CV, Class L (ADR) (Mexico) 25,000 826
KT Corp. (ADR) (South Korea) 30,000 572
PHARMACEUTICALS - 4.80%
Dr. Reddy's Laboratories Ltd. (India) 88,000 2,767
Ranbaxy Laboratories Ltd. (India) 97,000 2,337
Novo Nordisk A/S, Class B (Denmark) 50,900 2,063
Teva Pharmaceutical Industries Ltd. (ADR) (Israel) 32,000 1,815
AstraZeneca PLC (Sweden) 31,800 1,547
PLIVA DD (GDR) (Croatia) 80,000 1,304
Aventis (France) 18,000 1,184
OIL & GAS - 4.32%
Petroleo Brasileiro SA - Petrobras, ordinary nominative (ADR) (Brazil) 90,000 2,632
PTT Exploration and Production PCL (Thailand) 335,000 2,234
LUKoil Holding (ADR) (Russia) 21,400 1,992
Pogo Producing Co. (USA) 32,000 1,546
Nexen Inc. (Canada) 31,260 1,132
Noble Energy, Inc. (USA) 23,000 1,022
Sasol Ltd. (South Africa) 50,000 713
"Shell" Transport and Trading Co., PLC (ADR) (United Kingdom) 10,000 450
FOOD PRODUCTS - 3.79%
Nestle India Ltd. (India) 171,550 2,602
Unilever NV (Netherlands) 31,500 2,050
Nestle SA (Switzerland) 6,655 1,656
Unilever PLC (United Kingdom) 173,282 1,609
Groupe Danone (France) 7,491 1,217
Sara Lee Corp. (USA) 53,000 1,151
ELECTRONIC EQUIPMENT & INSTRUMENTS - 3.60%
Kingboard Chemical Holdings Ltd. (Hong Kong) 1,690,000 2,602
Hon Hai Precision Industry Co., Ltd. (Taiwan) 647,910 2,551
Samsung SDI Co., Ltd. (South Korea) 17,360 2,048
Venture Corp. Ltd. (Singapore) 101,000 1,190
Samsung Electro-Mechanics Co., Ltd. (South Korea) 26,000 861
Orbotech Ltd. (Israel) (1) 22,000 526
CONSTRUCTION MATERIALS - 3.34%
Associated Cement Companies Ltd. (India) 470,000 2,533
Cheung Kong Infrastructure Holdings Ltd. (Hong Kong) 940,000 2,107
Cemex, SA de CV, ordinary participation certificates, units (ADR) (Mexico) 72,150 1,890
Siam Cement Co. Ltd. (Thailand) 245,000 1,708
Holcim Ltd. (Switzerland) 14,000 649
Siam City Cement PCL (Thailand) 29,600 171
WIRELESS TELECOMMUNICATION SERVICES - 2.96%
China Unicom Ltd. (China) 2,838,000 2,651
Maxis Communications Bhd. (Malaysia) 794,000 1,578
America Movil SA de CV, Series L (ADR) (Mexico) 55,500 1,517
GLOBE TELECOM, Inc. (Philippines) 82,000 1,271
China Mobile (Hong Kong) Ltd. (China) 330,000 1,014
AUTOMOBILES - 2.57%
Suzuki Motor Corp. (Japan) 193,000 2,850
Honda Motor Co., Ltd. (Japan) 57,000 2,526
Kia Motors Corp. (South Korea) 173,000 1,583
MEDIA - 2.45%
Astro All Asia Networks PLC (Malaysia) (1) 3,478,100 4,046
Grupo Televisa, SA, ordinary participation certificates (ADR) (Mexico) 39,500 1,574
ABS-CBN Holdings Corp. (PDR) (Philippines) (1) 2,250,000 1,014
THRIFTS & MORTGAGE FINANCE - 2.28%
Housing Development Finance Corp. Ltd. (India) 407,100 5,782
Housing Development Finance Corp. Ltd. (2) 28,000 398
PAPER & FOREST PRODUCTS - 1.88%
Votorantim Celulose e Papel SA, preferred nominative (ADR) (Brazil) 130,000 4,075
Sappi Ltd. (South Africa) 76,000 1,037
PERSONAL PRODUCTS - 1.56%
Avon Products, Inc. (USA) 62,800 4,238
CONSTRUCTION & ENGINEERING - 1.42%
Daelim Industrial Co., Ltd. (South Korea) 88,500 3,121
Hyundai Development Co. (South Korea) 70,000 726
FOOD & STAPLES RETAILING - 1.35%
Wal-Mart de Mexico, SA de CV, Series V (ADR) (Mexico) 62,000 1,736
Wal-Mart de Mexico, SA de CV, Series V 200,000 571
Migros Turk TA? (Turkey) 94,858,800 1,360
COMMUNICATIONS EQUIPMENT - 1.17%
Motorola, Inc. (USA) 144,500 2,033
QUALCOMM Inc. (USA) 21,000 1,133
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 1.13%
Samsung Electronics Co., Ltd. (South Korea) 8,100 3,067
ELECTRICAL EQUIPMENT - 1.00%
Bharat Heavy Electricals Ltd. (India) 168,000 1,867
Johnson Electric Holdings Ltd. (Hong Kong) 667,000 851
BUILDING PRODUCTS - 0.76%
Kumgang Korea Chemical Co., Ltd. (South Korea) 13,370 1,229
Asahi Glass Co., Ltd. (Japan) 100,000 819
MULTI-UTILITIES & UNREGULATED POWER - 0.70%
AES Corp. (USA) (1) 200,000 1,888
AEROSPACE & DEFENSE - 0.64%
EMBRAER - Empresa Brasileira de Aeronautica SA, preferred nominative (ADR) (Brazil) 49,784 1,744
HOUSEHOLD PRODUCTS - 0.58%
Kimberly-Clark de Mexico, SA de CV, Class A, ordinary participation certificates (Mexico) 609,000 1,563
ELECTRIC UTILITIES - 0.56%
Korea Electric Power Corp. (South Korea) 83,990 1,509
HOUSEHOLD DURABLES - 0.54%
LG Electronics Inc. (South Korea) 29,680 1,460
GAS UTILITIES - 0.52%
Gas Natural SDG, SA (Spain) 60,000 1,397
DISTRIBUTORS - 0.51%
Li & Fung Ltd. (Hong Kong) 806,000 1,381
INTERNET SOFTWARE & SERVICES - 0.50%
Sohu.com Inc. (USA) (1) 16,000 480
NetEase.com, Inc. (ADR) (China) (1) 12,000 443
SINA.com (Hong Kong) (1) 13,000 439
COMMERCIAL SERVICES & SUPPLIES - 0.42%
Sylvan Learning Systems, Inc. (USA) (1) 40,000 1,152
IT SERVICES - 0.38%
Sabre Holdings Corp., Class A (USA) 24,155 522
Infosys Technologies Ltd. (India) 4,236 519
REAL ESTATE - 0.35%
SM Prime Holdings, Inc. (Philippines) 8,110,000 950
COMPUTERS & PERIPHERALS - 0.31%
Quanta Computer Inc. (Taiwan) 213,400 525
Quanta Computer Inc. (GDR) (2) 25,000 303
CONSUMER FINANCE - 0.30%
LG Card Co., Ltd., 3.00% convertible bond-warrants, expire 2009 (South Korea) (1) 19,400 units 823
CHEMICALS - 0.29%
Hyosung Corp. (South Korea) 64,896 774
Asian Paints (India) Ltd. (India) 3,525 26
INSURANCE - 0.29%
American International Group, Inc. (USA) 12,000 795
OTHER INDUSTRIES - 0.20%
Largan Precision Co., Ltd. (Taiwan) 27,500 268
China Oilfield Services Ltd., Class H (China) 739,300 262
Lumenis Ltd. (Israel) (1) 13,000 18
MISCELLANEOUS - 1.48%
Other stocks in initial period of acquisition 4,022
Total stocks (cost: $152,932,000) 206,305
PRINCIPAL
AMOUNT
BONDS & Notes - 11.43% (000)
WIRELESS TELECOMMUNICATION SERVICES - 0.14%
Cellco Finance NV 12.75% 2005 $350 390
ELECTRICAL EQUIPMENT - 0.08%
Elektrim Finance BV 2.00% 2005 (3) 198 211
OIL & GAS - 0.07%
Petrozuata Finance, Inc., Series B, 8.22% 2017 (2) (4) 200 185
NON-U.S. GOVERNMENT OBLIGATIONS - 11.14%
Russian Federation:
5.00% 2030 (2) (5) 2,656 2,570
8.25% 2010 2,250 2,521
5.00% 2030 (5) 1,000 967
8.25% 2010 (2) 366 410
United Mexican States Government Eurobonds, Global:
6.375% 2013 2,000 2,080
8.625% 2008 1,154 1,362
11.375% 2016 908 1,289
10.375% 2009 750 952
9.875% 2010 125 158
Panama (Republic of):
8.25% 2008 2,000 2,210
Global 9.375% 2029 835 944
Global 9.375% 2023 392 429
Interest Reduction Bond 1.938% 2014 (5) 393 371
Brazil (Federal Republic of):
Global 9.25% 2010 1,200 1,296
Global 10.125% 2027 1,175 1,251
14.50% 2009 450 591
2.063% 2009 (5) 320 305
Bearer 8.00% 2014 (6) 308 304
Turkey (Republic of):
Treasury Bill 0% 2004 TRL2,467,870,000 1,729
11.875% 2030 $1,225 1,666
Philippines (Republic of):
8.375% 2009 1,665 1,763
Global 10.625% 2025 750 838
8.875% 2008 335 363
Peru (Republic of) 9.125% 2012 2,000 2,240
Colombia (Republic of):
Global 10.75% 2013 560 640
10.00% 2012 300 330
Argentina (Republic of):
12.25% 2018 (6) (7) 1,050 268
7.00%/15.50% 2008 (7) (8) 389 107
12.00% 2031 (6) (7) 305 77
Venezuela (Republic of) 9.25% 2027 200 183
Total bonds & notes (cost: $27,775,000) 31,000
SHORT-TERM SECURITIES - 13.06%
CORPORATE SHORT-TERM NOTES - 10.52%
Danske Corp. 1.07% due 2/17/2004 5,400 5,392
Rio Tinto PLC 1.07% due 1/08/2004 (2) 5,000 4,999
National Australia Funding (DE) Inc. 1.07% due 1/09/2004 5,000 4,999
Rabobank Nederland NV 1.06% due 1/13/2004 4,245 4,243
Aventis S.A. 0.85% due 1/02/2004 (2) 3,000 3,000
Toyota Motor Credit Corp. 1.05% due 2/12/2004 (2) 3,000 2,996
Siemens Capital Corp. 1.05% due 1/05/2004 2,900 2,900
U.S. TREASURIES - 2.54%
U.S. Treasury Bills 0.89% due 1/02/2004 2,000 2,000
U.S. Treasury Bills 0.83% - 0.845% due 3/11/2004 4,900 4,892
Total short-term securities (cost: $35,421,000) 35,421
Total investment securities (cost: $216,128,000) 272,726
New Taiwanese Dollar (cost: $100,000) NT$3,389 100
Other assets less liabilities (1,580)
Net assets $271,246
(1) Security did not produce income during the last 12 months.
(2) Purchased in a private placement transaction; resale may be limited to
qualified institutional buyers; resale to the public may require
registration.
(3) Valued under fair value procedures adopted by authority of the Board of
Trustees.
(4) Pass-through security backed by a pool of mortgages or other loans on which
principal payments are periodically made. Therefore, the effective maturity
is shorter than the stated maturity.
(5) Coupon rate may change periodically.
(6) Payment in kind; the issuer has the option of paying additional securities
in lieu of cash.
(7) Company not making scheduled interest payments; bankruptcy proceedings
pending.
(8) Step bond; coupon rate will increase at a later date.
ADR = American Depositary Receipts
GDR = Global Depositary Receipts
PDR = Philippine Depositary Receipts
See Notes to Financial Statements
BLUE CHIP INCOME AND GROWTH FUND Investment portfolio as of December 31, 2003
[Enlarge/Download Table]
EQUITY SECURITIES - 91.25% MARKET
(common & preferred stocks) VALUE
SHARES (000)
OIL & GAS - 7.30%
ChevronTexaco Corp. 575,000 $49,674
Royal Dutch Petroleum Co., (New York registered) (Netherlands) 380,000 19,908
Exxon Mobil Corp. 480,000 19,680
ConocoPhillips 150,000 9,836
Unocal Corp. 250,000 9,207
Marathon Oil Corp. 250,000 8,273
COMPUTER & PERIPHERALS - 6.02%
Hewlett-Packard Co. 2,050,000 47,088
International Business Machines Corp. 460,000 42,633
EMC Corp. (1) 500,000 6,460
PHARMACEUTICALS - 5.44%
AstraZeneca PLC (ADR) (United Kingdom) 750,000 36,285
Eli Lilly and Co. 250,000 17,583
Schering-Plough Corp. 750,000 13,042
Bristol-Myers Squibb Co. 450,000 12,870
Pfizer Inc 200,000 7,066
HEALTH CARE PROVIDERS & SERVICES - 4.94%
Cardinal Health, Inc. 575,000 35,167
HCA Inc. 750,000 32,220
CIGNA Corp. 200,000 11,500
FOOD PRODUCTS - 4.81%
Unilever NV, (New York registered) (Netherlands) 1,050,000 68,145
Kraft Foods Inc., Class A 180,000 5,800
H.J. Heinz Co. 80,000 2,914
MULTILINE RETAIL - 4.72%
Target Corp. 1,250,000 48,000
Kohl's Corp. (1) 610,000 27,413
THRIFTS & MORTGAGE FINANCE - 4.47%
Fannie Mae 950,000 71,307
DIVERSIFIED TELECOMMUNICATION SERVICES - 4.42%
Sprint Corp. - FON Group 1,925,000 31,608
AT&T Corp. 870,000 17,661
Verizon Communications Inc. 420,000 14,734
SBC Communications Inc. 250,000 6,518
CONSUMER FINANCE - 4.32%
Capital One Financial Corp. 525,000 32,177
MBNA Corp. 950,000 23,608
SLM Corp. 350,000 13,188
SPECIALTY RETAIL - 3.62%
Lowe's Companies, Inc. 625,000 34,619
TJX Companies, Inc. 625,000 13,781
Limited Brands, Inc. 525,000 9,466
INSURANCE - 3.20%
American International Group, Inc. 580,000 38,442
Jefferson-Pilot Corp. 250,000 12,662
AUTOMOBILES - 3.18%
General Motors Corp. 950,000 50,730
HOTELS, RESTAURANTS & LEISURE - 2.56%
McDonald's Corp. 825,000 20,485
Carnival Corp. 515,000 20,461
INDUSTRIAL CONGLOMERATES - 2.47%
General Electric Co. 1,275,000 39,500
CAPITAL MARKETS - 2.35%
J.P. Morgan Chase & Co. 780,000 28,649
Bank of New York Co., Inc. 270,000 8,942
IT SERVICES - 2.29%
Electronic Data Systems Corp. 925,000 22,700
Automatic Data Processing, Inc. 350,000 13,863
CHEMICALS - 2.22%
Dow Chemical Co. 600,000 24,942
Air Products and Chemicals, Inc. 200,000 10,566
AEROSPACE & DEFENSE - 2.00%
General Dynamics Corp. 180,000 16,270
United Technologies Corp. 165,000 15,637
COMMERCIAL BANKS - 1.90%
FleetBoston Financial Corp. 220,000 9,603
HSBC Holdings PLC (ADR) (United Kingdom) 120,375 9,488
Bank of America Corp. 100,000 8,043
Wells Fargo & Co. 54,300 3,198
MACHINERY - 1.70%
Caterpillar Inc. 170,000 14,113
Deere & Co. 200,000 13,010
FOOD & STAPLES RETAILING - 1.62%
Albertson's, Inc. 710,000 16,081
Walgreen Co. 270,000 9,823
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 1.48%
Texas Instruments Inc. 535,000 15,718
Applied Materials, Inc. (1) 350,000 7,858
METALS & MINING - 1.13%
Alcoa Inc. 475,000 18,050
ENERGY EQUIPMENT & SERVICES - 1.10%
Schlumberger Ltd. 320,100 17,516
ELECTRIC UTILITIES - 1.06%
FPL Group, Inc. 179,600 11,749
Xcel Energy Inc. 250,000 4,245
FirstEnergy Corp. 25,901 912
AIRLINES - 0.81%
Southwest Airlines Co. 800,000 12,912
PAPER & FOREST PRODUCTS - 0.80%
Weyerhaeuser Co. 200,000 12,800
HOUSEHOLD PRODUCTS - 0.76%
Kimberly-Clark Corp. 205,000 12,113
MEDIA - 0.70%
Time Warner Inc.(formerly AOL Time Warner Inc.) (1) 450,000 8,096
Interpublic Group of Companies, Inc. (1) 200,000 3,120
MULTI-UTILITIES & UNREGULATED POWER - 0.63%
Duke Energy Corp. 495,000 10,123
ELECTRICAL EQUIPMENT - 0.61%
Emerson Electric Co. 150,000 9,713
AIR FREIGHT & LOGISTICS - 0.47%
United Parcel Service, Inc., Class B 100,000 7,455
HEALTH CARE EQUIPMENT & SUPPLIES - 0.39%
Applera Corp. - Applied Biosystems Group 300,000 6,213
SOFTWARE - 0.35%
Microsoft Corp. 200,000 5,508
ELECTRONIC EQUIPMENT & INSTRUMENTS - 0.31%
Solectron Corp. (1) 834,300 4,931
COMMERCIAL SERVICES & SUPPLIES - 0.23%
Pitney Bowes Inc. 90,000 3,656
MISCELLANEOUS - 4.87%
Other equity securities in initial period of acquisition 77,844
Total equity securities (cost: $1,246,620,000) 1,457,171
SHORT-TERM SECURITIES - 8.57%
PRINCIPAL
AMOUNT
(000)
CORPORATE SHORT-TERM NOTES - 5.36%
Pfizer Inc 1.01%-1.04% due 1/6-1/21/2004 (2) 15,700 15,694
Preferred Receivables Funding Corp. 1.09% due 1/8-2/3/2004 (2) 14,000 13,989
CAFCO, LLC 1.04% due 2/12/2004 (2) 14,000 13,983
SBC International Inc. 1.05% due 1/13/2004 (2) 10,000 9,996
Bellsouth Corp. 1.01% due 1/6/2004 (2) 9,000 8,998
Coca-Cola Co. 1.00% due 3/5/2004 7,500 7,486
Harley-Davidson Funding Corp. 1.02% due 2/25/2004 (2) 5,000 4,992
Merck & Co. Inc. 1.01% due 1/8/2004 4,200 4,199
IBM Credit Corp. 1.02% due 1/14/2004 4,100 4,098
Three Pillars Funding Corp. 1.10% due 1/12/2004 (2) 2,100 2,099
U.S. TREASURIES - 2.72%
U.S. Treasury Bills 0.795%-0.928% due 1/2-3/11/2004 43,500 43,455
FEDERAL AGENCY DISCOUNT NOTES - 0.49%
Federal Home Loan Bank 1.00% due 1/5/2004 7,900 7,899
Total short-term securities (cost: $136,888,000) 136,888
Total investment securities (cost: $1,383,508,000) 1,594,059
Other assets less liabilities 2,916
Net assets $1,596,975
(1) Security did not produce income during the last 12 months.
(2) Purchased in a private placement transaction; resale may be limited to
qualified institutional buyers; resale to the public may require
registration.
ADR = American Depositary Receipts
See Notes to Financial Statements
GROWTH - INCOME FUND Investment portfolio as of December 31, 2003
[Enlarge/Download Table]
MARKET
VALUE
STOCKS - 86.31% SHARES (000)
(common & preferred)
OIL & gas - 6.76%
Petro-Canada (Canada) 4,100,000 202,278
Royal Dutch Petroleum Co. (New York registered) (Netherlands) 1,700,000 89,063
"Shell" Transport and Trading Co., PLC (ADR) (United Kingdom) 568,900 25,618
"Shell" Transport and Trading Co., PLC 486,600 3,606
Marathon Oil Corp. 3,450,000 114,160
ChevronTexaco Corp. 1,070,000 92,437
Devon Energy Corp. 1,600,000 91,616
Husky Energy Inc. (Canada) 2,742,800 49,694
Exxon Mobil Corp. 1,200,000 49,200
Unocal Corp. 700,000 25,781
Sunoco, Inc. 500,000 25,575
Noble Energy, Inc. 500,000 22,215
Ashland Inc. 450,000 19,827
ConocoPhillips 231,511 15,180
PHARMACEUTICALS - 4.85%
Eli Lilly and Co. 1,685,000 118,506
AstraZeneca PLC (ADR) (United Kingdom) 2,175,550 105,253
AstraZeneca PLC (Sweden) 242,000 11,772
Pfizer Inc 3,191,500 112,756
Bristol-Myers Squibb Co. 2,460,000 70,356
Forest Laboratories, Inc. (1) 1,134,800 70,131
Johnson & Johnson 900,000 46,494
Merck & Co., Inc. 900,000 41,580
Schering-Plough Corp. 944,800 16,430
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 3.61%
Texas Instruments Inc. 3,690,400 108,424
Applied Materials, Inc. (1) 4,300,000 96,535
Teradyne, Inc. (1) 1,925,000 48,991
ASML Holding NV (New York registered)(Netherlands) (1) 1,200,000 24,060
ASML Holding NV (1) 800,000 15,785
Intel Corp. 850,000 27,370
Maxim Integrated Products, Inc. 480,600 23,934
Analog Devices, Inc. 500,000 22,825
Altera Corp. (1) 1,000,000 22,700
Taiwan Semiconductor Manufacturing Co. Ltd. (Taiwan) (1) 11,850,000 22,190
KLA-Tencor Corp. (1) 300,000 17,601
LSI Logic Corp. (1) 1,200,000 10,644
INSURANCE - 3.55%
American International Group, Inc. 2,250,000 149,130
Manulife Financial Corp. (Canada) 2,500,000 80,750
XL Capital Ltd., Class A 780,000 60,489
Allstate Corp. 1,100,000 47,322
Marsh & McLennan Companies, Inc. 900,000 43,101
Jefferson-Pilot Corp. 600,000 30,390
UnumProvident Corp. 1,000,000 15,770
Royal & Sun Alliance Insurance Group PLC (United Kingdom) 4,500,000 7,082
COMMERCIAL BANKS - 3.54%
Wells Fargo & Co. 1,920,000 113,069
HSBC Holdings PLC (ADR) (United Kingdom) 1,043,250 82,229
Bank of America Corp. 815,000 65,550
FleetBoston Financial Corp. 950,000 41,467
PNC Financial Services Group, Inc. 550,000 30,101
City National Corp. 475,000 29,507
SunTrust Banks, Inc. 350,000 25,025
Wachovia Corp. 430,000 20,034
SMFG Finance (Cayman) Ltd. 2.25% mandatorily exchangeable preferred 2005, units Japan) 720,000,000 12,552
BANK ONE CORP. 183,012 8,344
Mitsubishi Tokyo Financial Group, Inc. (ADR) (Japan) 600,000 4,698
MULTILINE RETAIL - 3.50%
Kohl's Corp. (1) 3,850,000 173,019
Target Corp. 2,700,000 103,680
Dollar General Corp. 4,600,000 96,554
Federated Department Stores, Inc. 950,000 44,773
May Department Stores Co. 350,000 10,174
MEDIA - 3.29%
Time Warner Inc. (formerly AOL Time Warner Inc.) (1) 7,950,000 143,020
Interpublic Group of Companies, Inc. (1) 4,787,600 74,687
News Corp. Ltd., preferred (ADR) (Australia) 2,375,000 71,844
Gannett Co., Inc. 300,000 26,748
Comcast Corp., Class A, special nonvoting stock (1) 800,000 25,024
Clear Channel Communications, Inc. 500,000 23,415
Dow Jones & Co., Inc. 450,000 22,432
Fox Entertainment Group, Inc., Class A (1) 500,000 14,575
HEALTH CARE PROVIDERS & SERVICES - 3.12%
HCA Inc. 2,655,000 114,059
WellPoint Health Networks Inc., Class A (1) ` 1,100,000 106,689
Cardinal Health, Inc. 900,000 55,044
CIGNA Corp. 800,000 46,000
Aetna Inc. 555,100 37,514
Service Corp. International (1) 4,000,000 21,560
COMMERCIAL SERVICES & SUPPLIES - 2.90%
Allied Waste Industries, Inc. (1) 9,641,800 133,828
Pitney Bowes Inc. 1,382,200 56,145
ServiceMaster Co. 4,800,000 55,920
Avery Dennison Corp. 900,000 50,418
Robert Half International Inc. (1) 1,500,000 35,010
IKON Office Solutions, Inc. 2,000,000 23,720
COMPUTERS & PERIPHERALS - 2.73%
Hewlett-Packard Co. 6,600,000 151,602
International Business Machines Corp. 1,400,000 129,752
EMC Corp. (1) 2,300,000 29,716
Dell Inc. (formerly Dell Computer Corp.) (1) 650,000 22,074
CAPITAL MARKETS - 2.67%
J.P. Morgan Chase & Co. 6,300,000 231,399
Bank of New York Co., Inc. 2,000,000 66,240
Deutsche Bank AG (Germany) 350,000 28,863
SPECIALTY RETAIL - 2.37%
Lowe's Companies, Inc. 3,250,000 180,017
Gap, Inc. 2,500,000 58,025
Limited Brands, Inc. 1,500,000 27,045
Circuit City Stores, Inc. 2,400,000 24,312
AEROSPACE & DEFENSE - 2.35%
General Dynamics Corp. 950,000 85,870
Northrop Grumman Corp. 834,990 79,825
United Technologies Corp. 623,200 59,061
Lockheed Martin Corp. 700,000 35,980
Raytheon Co. 900,000 27,036
THRIFTS & MORTGAGE FINANCE - 2.35%
Fannie Mae 2,900,000 217,674
Freddie Mac 810,000 47,239
MGIC Investment Corp. 400,000 22,776
FOOD & STAPLES RETAILING - 2.22%
Walgreen Co. 3,100,000 112,778
Wal-Mart Stores, Inc. 1,600,000 84,880
Albertson's, Inc. 3,240,000 73,386
IT SERVICES - 2.06%
Electronic Data Systems Corp. 2,660,000 65,276
Ceridian Corp. (1) 2,000,000 41,880
First Data Corp. 1,000,000 41,090
Concord EFS, Inc. (1) 2,000,000 29,680
Computer Sciences Corp. (1) 650,000 28,749
Automatic Data Processing, Inc. 650,000 25,747
Sabre Holdings Corp., Class A 900,000 19,431
INDUSTRIAL CONGLOMERATES - 1.90%
General Electric Co. 4,500,000 139,410
Tyco International Ltd. 3,500,000 92,750
DIVERSIFIED TELECOMMUNICATION SERVICES - 1.69%
AT&T Corp. 3,865,000 78,460
Sprint Corp. - FON Group 4,600,000 75,532
BellSouth Telecommunications, Inc. 1,200,000 33,960
SBC Communications Inc. 700,000 18,249
COMMUNICATIONS EQUIPMENT - 1.65%
Cisco Systems, Inc. (1) 6,742,600 163,778
Nokia Corp. (ADR) (Finland) 2,250,000 38,250
CONSUMER FINANCE - 1.57%
Capital One Financial Corp. 1,250,000 76,613
MBNA Corp. 2,000,000 49,700
American Express Co. 700,000 33,761
Providian Financial Corp. (1) 2,750,000 32,010
FOOD PRODUCTS - 1.55%
Sara Lee Corp. 3,000,000 65,130
Del Monte Foods Co. (1) 3,985,276 41,447
Unilever NV (New York registered) (Netherlands) 500,000 32,450
General Mills, Inc. 700,000 31,710
H.J. Heinz Co. 500,000 18,215
SOFTWARE - 1.54%
Microsoft Corp. 4,090,000 112,639
Oracle Corp. (1) 4,370,000 57,684
PeopleSoft, Inc. (1) 800,000 18,240
ELECTRONIC EQUIPMENT & INSTRUMENTS - 1.35%
Sanmina-SCI Corp. (1) 5,000,000 63,050
Flextronics International Ltd. (Singapore) (1) 3,550,000 52,682
Solectron Corp. (1) 5,750,000 33,983
Jabil Circuit, Inc. (1) 550,000 15,565
ROAD & RAIL - 1.35%
Norfolk Southern Corp. 4,275,500 101,116
Burlington Northern Santa Fe Corp. 1,659,500 53,685
Union Pacific Corp. 150,000 10,422
PERSONAL PRODUCTS - 1.30%
Avon Products, Inc. 2,225,000 150,165
Estee Lauder Companies Inc., Class A 225,000 8,834
CHEMICALS - 1.20%
Dow Chemical Co. 1,590,000 66,096
Air Products and Chemicals, Inc. 1,250,000 66,038
Millennium Chemicals Inc. 1,150,000 14,582
WIRELESS TELECOMMUNICATION SERVICES - 1.17%
Sprint Corp. - PCS Group, Series 1 (1) 10,600,000 59,572
AT&T Wireless Services, Inc. (1) 7,000,000 55,930
Nextel Communications, Inc., Class A (1) 1,000,000 28,060
TOBACCO - 1.15%
Altria Group, Inc. 2,575,000 140,132
AUTO COMPONENTS - 1.06%
Magna International Inc., Class A (Canada) 1,220,000 97,661
Dana Corp. 1,731,800 31,779
PAPER & forest products - 1.00%
Bowater Inc. 945,000 43,763
International Paper Co. 850,000 36,644
Weyerhaeuser Co. 350,000 22,400
Georgia-Pacific Corp., Georgia-Pacific Group 439,660 13,484
MeadWestvaco Corp. 200,000 5,950
ELECTRIC UTILITIES - 0.99%
Dominion Resources, Inc. 675,000 43,085
Progress Energy, Inc. 450,000 20,367
FirstEnergy Corp. 400,000 14,080
Xcel Energy Inc. 750,000 12,735
TECO Energy, Inc. 750,000 10,808
American Electric Power Co., Inc. 345,900 10,553
FPL Group, Inc. 150,000 9,813
INTERNET & catalog retail - 0.83%
eBay Inc. (1) 1,200,000 77,508
InterActiveCorp (1) 700,000 23,751
METALS & MINING - 0.77%
Rio Tinto PLC (United Kingdom) 2,300,000 63,291
Phelps Dodge Corp. (1) 400,000 30,436
DIVERSIFIED FINANCIAL SERVICES - 0.75%
Citigroup Inc. 1,550,050 75,239
Principal Financial Group, Inc. 500,000 16,535
HEALTH CARE EQUIPMENT & SUPPLIES - 0.75%
Applera Corp. - Applied Biosystems Group 3,284,600 68,024
Becton, Dickinson and Co. 570,000 23,450
MULTI-UTILITIES & UNREGULATED POWER - 0.71%
Duke Energy Corp. 3,200,000 65,440
Calpine Corp. (1) 4,500,000 21,645
HOTELS, RESTAURANTS & LEISURE - 0.71%
Carnival Corp., units 1,300,000 51,649
McDonald's Corp. 1,400,000 34,762
ENERGY EQUIPMENT & SERVICES - 0.70%
Schlumberger Ltd. 1,400,000 76,608
Halliburton Co. 350,000 9,100
TEXTILES, APPAREL & LUXURY GOODS - 0.66%
VF Corp. 700,000 30,268
Jones Apparel Group, Inc. 750,000 26,423
NIKE, Inc., Class B 350,000 23,961
AUTOMOBILES - 0.61%
General Motors Corp. 1,400,000 74,760
HOUSEHOLD PRODUCTS - 0.60%
Kimberly-Clark Corp. 640,000 37,818
Procter & Gamble Co. 350,000 34,958
MACHINERY - 0.57%
Ingersoll-Rand Co. Ltd., Class A 525,000 35,637
Illinois Tool Works Inc. 400,000 33,564
INTERNET SOFTWARE & SERVICES - 0.55%
Yahoo! Inc. (1) 1,500,000 67,755
CONTAINERS & PACKAGING - 0.52%
Sonoco Products Co. 1,000,000 24,620
Packaging Corp. of America 750,000 16,395
Temple-Inland Inc. 200,000 12,534
Crown Cork & Seal Co., Inc. (1) 1,150,000 10,419
BIOTECHNOLOGY - 0.46%
Biogen Idec Inc. (formerly Biogen Inc.) (1) 1,522,250 55,988
REAL ESTATE - 0.42%
Boston Properties, Inc. 500,000 24,095
Equity Residential 700,000 20,657
Plum Creek Timber Co., Inc. 205,500 6,258
BEVERAGES - 0.29%
Coca-Cola Co. 700,000 35,525
OTHER INDUSTRIES - 0.43%
Southwest Airlines Co. 1,500,000 24,210
Emerson Electric Co. 350,000 22,663
United Parcel Service, Inc., Class B 100,000 7,455
MISCELLANEOUS - 3.64%
Other stocks in initial period of acquisition 444,832
Total stocks (cost: $8,647,413,000) 10,551,707
PRINCIPAL MARKET
AMOUNT VALUE
CONVERTIBLE DEBENTURES - .90% (000) (000)
COMMUNICATIONS EQUIPMENT - 0.74%
Lucent Technologies Inc. 8.00% 2031 84,123 90,537
PHARMACEUTICALS - 0.16%
Sepracor Inc. 5.00% 2007 20,000 19,275
Total convertible securities (cost: $111,387,000) 109,812
Total equity securities (cost: 8,758,800,000) 10,661,519
PRINCIPAL MARKET
AMOUNT VALUE
SHORT-TERM SECURITIES - 12.97% (000) (000)
CORPORATE SHORT-TERM NOTES - 10.70%
CAFCO, LLC 1.04%-1.10% due 1/6-2/17/2004 (2) 108,600 108,506
BellSouth Corp. 1.03%-1.04% due 1/5-1/15/2004 (2) 96,575 96,541
Three Pillars Funding Corp. 1.08% due 1/14-2/17/2004 (2) 88,200 88,143
E.I. DuPont de Nemours & Co. 1.02% -1.05% due 1/14-2/10/2004 75,000 74,933
Preferred Receivables Funding Corp. 1.08%-1.09% due 1/6-3/22/2004 (2) 75,000 74,919
Coca-Cola Co. 1.02%-1.03% due 1/23-2/19/2004 75,000 74,918
Gannett Co. 1.02%-1.03% due 1/8-1/29/2004 (2) 73,400 73,373
SBC International Inc. 1.03%-1.05% due 1/13-2/12/2004 (2) 68,000 67,971
Pfizer Inc 1.03%-1.04% due 1/9-1/27/2004 (2) 62,200 62,163
Netjets Inc. 1.06% due 1/15-2/3/2004 (2) 55,000 54,955
Receivables Capital Corp. 1.08% due 1/12-1/15/2004 (2) 50,000 49,980
Triple-A One Funding Corp. 1.08%-1.10% due 1/5-1/21/2004 (2) 45,000 44,986
IBM Credit Corp. 1.02% due 1/14/2004 45,000 44,982
Procter & Gamble Co. 1.01%-1.02% due 1/16-1/23/2004 (2) 41,000 40,979
Caterpillar Financial Serivces Corp. 1.02%-1.04% due 1/20-3/11/2004 40,800 40,760
Verizon Network Funding Corp. 1.03% due 1/23-2/4/2004 36,000 35,973
ChevronTexaco Corp. 1.02%-1.03% due 1/6-1/12/2004 35,000 34,993
Johnson & Johnson 1.00% due 1/9/2004 (2) 25,000 24,993
New Center Asset Trust 1.07% due 1/12/2004 25,000 24,991
Merck & Co. Inc. 1.01% due 1/21/2004 25,000 24,985
FCAR Owner Trust I 1.09% due 1/26/2004 25,000 24,980
Medtronic Inc. 1.03% due 1/16/2004 (2) 20,000 19,991
Clorox Co. 1.04% due 1/16/2004 20,000 19,991
Golden Peanut Co., LLC 1.06%-1.07% due 1/7-2/9/2004 20,000 19,983
Harvard University 1.03% due 1/29/2004 20,000 19,982
Harley-Davidson Funding Corp. 1.04% due 1/8/2004 (2) 15,000 14,996
Archer Daniels Midland Co. 1.08% due 1/21/2004 (2) 15,000 14,991
Variable Funding Capital Corp. 0.97% due 1/2/2004 (2) 14,300 14,299
AIG Funding, Inc. 1.05% due 1/9/2004 10,000 9,997
Yale University 1.09% due 1/13/2004 5,000 4,998
CERTIFICATES OF DEPOSIT - 1.23%
State Street Bank & Trust 1.05% -1.06% due 1/8-2/4/2004 100,000 99,999
Wells Fargo & Co. 1.04% due 1/7/2004 50,000 50,000
U.S. TREASURIES - 1.04%
U.S. Treasury Bills 0.835% - 0.915% due 1/22-2/26/2004 127,500 127,401
Total short-term securities (cost: $1,585,650,000) 1,585,652
Total investment securities (cost: $10,344,450,000) 12,247,171
New Taiwanese Dollar (cost: 4,045,000) NT $139,371 4,110
Other assets less liabilities -25,495
Net assets $12,225,786
(1) Security did not produce income during the last 12 months.
(2) Purchased in a private placement transaction; resale may be limited to
qualified institutional buyers; resale to the public may require
registration.
ADR = American Depositary Receipts
See Notes to Financial Statements
ASSET ALLOCATION FUND Investment portfolio as of, December 31, 2003
[Enlarge/Download Table]
SHARES MARKET
VALUE
STOCKS - 63.40% (000)
(common & preferred)
OIL & GAS - 5.74%
ChevronTexaco Corp. 750,000 $ 64,792
Petro-Canada (Canada) 1,250,000 61,670
Marathon Oil Corp. 1,200,000 39,708
Royal Dutch Petroleum Co. (New York registered) (Netherlands) 360,000 18,860
PHARMACEUTICALS - 5.29%
Bristol-Myers Squibb Co. 2,000,000 57,200
Eli Lilly and Co. 789,100 55,497
AstraZeneca PLC (ADR) (United Kingdom) 850,000 41,123
AstraZeneca PLC (Sweden) 75,000 3,648
Schering-Plough Corp. 750,000 13,042
COMMERCIAL BANKS - 4.55%
Bank of America Corp. 600,000 48,258
Societe Generale (France) 465,000 40,857
BANK ONE CORP. 700,000 31,913
FleetBoston Financial Corp. 550,000 24,008
NB Capital Corp., Series A, 8.35% exchangeable preferred depositary shares 60,000 1,686
DIVERSIFIED TELECOMMUNICATION SERVICES - 4.30%
CenturyTel, Inc. 1,800,000 58,716
ALLTEL Corp. 375,000 17,468
ALLTEL Corp. 7.75% 2005 300,000 units 14,910
AT&T Corp. 1,250,000 25,375
Sprint Corp. - FON Group 1,250,000 20,525
NTELOS, Inc. (1) (2) (3) 67,782 1,365
COLT Telecom Group PLC (ADR) (United Kingdom) (2) 38,400 259
GT Group Telecom Inc., warrants, expire 2010 (Canada) (1) (2) (3) 2,250 0
MULTILINE RETAIL - 3.40%
Kohl's Corp. (2) 1,100,000 49,434
May Department Stores Co. 1,150,000 33,431
Target Corp. 700,000 26,880
METALS & MINING - 3.39%
Alcan Inc. (Canada) 875,000 41,081
Alcoa Inc. 1,000,000 38,000
Rio Tinto PLC (United Kingdom) 1,100,000 30,270
FOOD PRODUCTS - 2.57%
Unilever NV (New York registered) (Netherlands) 900,000 58,410
General Mills, Inc. 300,000 13,590
Sara Lee Corp. 500,000 10,855
FOOD & STAPLES RETAILING - 2.34%
Walgreen Co. 1,450,000 52,751
Albertson's, Inc. 1,000,000 22,650
THRIFTS & MORTGAGE FINANCE - 2.20%
Freddie Mac 700,000 40,824
Fannie Mae 400,000 30,024
INDUSTRIAL CONGLOMERATES - 2.16%
General Electric Co. 2,250,000 69,705
AEROSPACE & DEFENSE - 2.12%
Raytheon Co. 1,000,000 30,040
United Technologies Corp. 250,000 23,693
Honeywell International Inc. 400,000 13,372
DigitalGlobe, Inc. (1) (2) (3) 1,225,858 1,226
HOTELS, RESTAURANTS & LEISURE - 2.09%
Carnival Corp., units 1,700,000 67,541
MEDIA - 2.04%
Time Warner Inc. (formerly AOL Time Warner) (2) 2,600,000 46,774
Comcast Corp., Class A (2) 291,150 9,570
Interpublic Group of Companies, Inc. (2) 600,000 9,360
CAPITAL MARKETS - 1.77%
J.P. Morgan Chase & Co. 1,500,000 55,095
IBJ Preferred Capital Co. LLC, Series A, 8.79% noncumulative preferred (undated) (Japan) (1) (4) 1,750,000 1,916
COMPUTERS & PERIPHERALS - 1.54%
Hewlett-Packard Co. 1,500,000 34,455
International Business Machines Corp. 165,000 15,292
INSURANCE - 1.28%
Allstate Corp. 500,000 21,510
American International Group, Inc. 300,000 19,884
CHEMICALS - 1.28%
Dow Chemical Co. 750,000 31,177
Millennium Chemicals Inc. 800,000 10,144
IT SERVICES - 1.28%
Automatic Data Processing, Inc. 800,000 31,688
Ceridian Corp. (2) 457,000 9,570
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 1.24%
Texas Instruments Inc. 723,700 21,262
Micron Technology, Inc. (2) 1,400,000 18,858
ENERGY EQUIPMENT & SERVICES - 1.19%
Schlumberger Ltd. 700,000 38,304
COMMERCIAL SERVICES & SUPPLIES - 1.13%
Pitney Bowes Inc. 900,000 36,558
SOFTWARE - 1.08%
PeopleSoft, Inc. (2) 800,000 18,240
Microsoft Corp. 600,000 16,524
MACHINERY - 0.98%
Deere & Co. 300,000 19,515
Dover Corp. 300,000 11,925
PAPER & FOREST PRODUCTS - 0.89%
Weyerhaeuser Co. 450,000 28,800
BEVERAGES - 0.87%
PepsiCo, Inc. 600,000 27,972
AUTOMOBILES - 0.85%
General Motors Corp. 500,000 26,700
Ford Motor Co. Capital Trust II 6.50% cumulative convertible trust preferred 2032 14,100 787
MULTI-UTILITIES & UNREGULATED POWER - 0.82%
El Paso Corp. 2,000,000 16,380
Duke Energy Corp. 500,000 10,225
TEXTILES, APPAREL & LUXURY GOODS - 0.82%
Jones Apparel Group, Inc. 750,000 26,423
DISTRIBUTORS - 0.77%
Genuine Parts Co. 750,000 24,900
SPECIALTY RETAIL - 0.56%
Limited Brands, Inc. 1,000,000 18,030
HEALTH CARE PROVIDERS & SERVICES - 0.27%
CIGNA Corp. 150,000 8,625
OTHER INDUSTRIES - 0.34%
American Electric Power Co., Inc. 205,900 6,282
SpectraSite, Inc. (1) (2) (3) 136,939 4,045
Dobson Communications Corp. 13.00% senior exchangeable preferred 2009 (5) 500 535
Miscellaneous - 2.25%
Other stocks in initial period of acquisition 72,506
Total stocks (cost: $1,742,282,000) 2,044,488
PRINCIPAL MARKET
AMOUNT VALUE
CONVERTIBLE DEBENTURES - 0.14% (000) (000)
ELECTRONIC EQUIPMENT & INSTRUMENTS - 0.09%
Solectron Corp. 0% LYON 2020 $5,000 2,863
DIVERSIFIED TELECOMMUNICATION SERVICES - 0.02%
NTELOS, Inc. 9.00% 2013 (1) (3) 790 805
Miscellaneous - 0.03%
Other convertible debentures in initial period of acquisition 930
Total convertible debentures (cost: $4,369,000) 4,598
Total equity securities (cost: $1,746,651,000) 2,049,086
PRINCIPAL MARKET
AMOUNT VALUE
BONDS & NOTES - 23.40% (000) (000)
MEDIA - 1.76%
Liberty Media Corp.:
7.875% 2009 5,000 5,800
8.25% 2030 325 390
Cox Communications, Inc. 7.875% 2009 4,000 4,732
Quebecor Media Inc. 11.125% 2011 2,200 2,557
Sun Media Corp. 7.625% 2013 2,000 2,150
Young Broadcasting Inc.:
10.00% 2011 2,867 3,104
Series B, 8.75% 2007 1,020 1,051
Comcast Cable Communications, Inc. 6.875% 2009 3,000 3,387
AOL Time Warner Inc. 6.875% 2012 3,000 3,382
Clear Channel Communications, Inc. 6.625% 2008 3,000 3,336
Antenna TV SA 9.75% 2008 2,500 3,232
Cinemark USA, Inc. 9.00% 2013 2,750 3,107
Univision Communications Inc.:
2.875% 2006 2,000 1,994
7.85% 2011 830 988
Hollinger Participation Trust 12.125% 2010 (1) (4) (5) 1,926 2,297
Gray Communications Systems, Inc. 9.25% 2011 2,000 2,240
Viacom Inc. 5.625% 2007 2,000 2,164
AMC Entertainment Inc.:
9.50% 2011 1,500 1,582
9.875% 2012 500 559
Dex Media, Inc. 8.00% 2013 (1) 1,750 1,846
CCO Holdings, LLC and CCO Holdings Capital Corp. 8.75% 2013 (1) 1,500 1,534
Regal Cinemas Corp., Series B, 9.375% 2012 1,120 1,271
Emmis Communications Corp. 0%/12.50% 2011 (6) 934 870
NextMedia Operating, Inc. 10.75% 2011 750 855
Radio One, Inc., Series B, 8.875% 2011 750 831
Telenet Group Holding NV 0%/11.50% 2014 (1) (6) 1,290 819
LBI Media, Inc. 10.125% 2012 650 741
WIRELESS TELECOMMUNICATION SERVICES - 1.28%
American Tower Corp.:
9.375% 2009 6,425 6,875
7.25% 2011 (1) 250 256
American Towers, Inc. 0% 2008 500 347
AT&T Wireless Services, Inc. 8.125% 2012 4,500 5,302
Nextel Partners, Inc.:
8.125% 2011 3,050 3,263
11.00% 2010 1,000 1,110
American Cellular Corp. 10.00% 2011 (1) 2,250 2,520
Dobson Communications Corp. 8.875% 2013 (1) 1,760 1,791
Crown Castle International Corp.:
Series B, 7.50% 2013 (1) 2,200 2,222
7.50% 2013 (1) 1,500 1,515
9.375% 2011 250 279
9.00% 2011 250 268
Verizon Wireless Capital LLC and Cellco Partnership 5.375% 2006 4,000 4,272
Nextel Communications, Inc.:
7.375% 2015 1,650 1,782
6.875% 2013 1,000 1,062
Western Wireless Corp. 9.25% 2013 2,450 2,597
Triton PCS, Inc.:
9.375% 2011 1,000 1,025
8.75% 2011 825 817
8.50% 2013 225 243
Vodafone Group PLC 7.75% 2010 1,500 1,780
Centennial Communications Corp. and Centennial Cellular Operating Co. LLC 10.125% 2013 1,475 1,626
Cricket Communications, Inc.: (4) (7)
6.188% 2007 280 179
6.375% 2007 165 106
DIVERSIFIED TELECOMMUNICATION SERVICES - 0.90%
Qwest Services Corp. 13.00% 2007 (1) 3,925 4,631
Qwest Capital Funding, Inc. 7.75% 2006 1,000 1,040
Sprint Capital Corp.:
6.90% 2019 3,000 3,073
7.625% 2011 1,500 1,684
Deutsche Telekom International Finance BV 8.25% 2005 (4) 3,500 3,798
AT&T Corp. 7.00% 2006 (4) 3,000 3,320
PCCW-HKT Capital Ltd. 7.75% 2011 (1) 2,550 2,998
Koninklijke KPN NV 8.00% 2010 2,000 2,396
Cincinnati Bell Inc. 7.25% 2013 (1) 2,225 2,347
British Telecommunications PLC 8.375% 2010 (4) 1,500 1,828
France Telecom 9.00% 2011 (4) 1,000 1,203
FairPoint Communications, Inc. 11.875% 2010 750 877
HOTELS, RESTAURANTS & LEISURE - 0.82%
Six Flags, Inc.:
9.75% 2013 1,375 1,454
9.50% 2009 1,000 1,052
9.625% 2014 (1) 1,000 1,050
8.875% 2010 950 980
Premier Parks Inc. 9.75% 2007 1,100 1,154
Royal Caribbean Cruises Ltd.:
7.00% 2007 4,000 4,260
8.75% 2011 1,000 1,135
MGM Mirage, Inc. 8.50% 2010 3,000 3,457
Circus and Eldorado Joint Venture and Silver Legacy Resort Casino 10.125% 2012 2,250 2,346
Hyatt Equities, LLC 6.875% 2007 (1) 2,000 2,150
Perkins Family Restaurants, LP, Perkins Finance Corp., Series B, 10.125% 2007 1,500 1,537
Sbarro, Inc. 11.00% 2009 1,750 1,391
CKE Restaurants, Inc. 9.125% 2009 1,250 1,287
Buffets, Inc. 11.25% 2010 1,000 1,077
Boyd Gaming Corp. 7.75% 2012 1,000 1,075
Eldorado Resorts LLC 10.50% 2006 879 892
INSURANCE - 0.79%
Monumental Global Funding Trust II-2001-B, Series B, 6.05% 2006 (1) 2,000 2,150
Transamerica Corp. 9.375% 2008 1,600 1,903
Prudential Holdings, LLC, Series C, 8.695% 2023 (1) (8) 3,000 3,714
International Lease Finance Corp.:
4.50% 2008 2,000 2,067
4.35% 2008 1,500 1,532
Mangrove Bay Pass Through Trust 6.102% 2033 (1) (4) 2,980 2,956
Allstate Financial Global Funding LLC 4.25% 2008 (1) 2,000 2,048
Principal Life Global Funding I 4.40% 2010 (1) 2,000 2,016
Travelers Property Casualty Corp. 3.75% 2008 2,000 2,011
Jackson National Life Global Funding, Series 2002-1, 5.25% 2007 (1) 1,500 1,610
MetLife, Inc. 3.911% 2005 1,505 1,548
CNA Financial Corp. 7.25% 2023 1,000 1,004
ACE Capital Trust II 9.70% 2030 750 981
ELECTRIC UTILITIES - 0.68%
Edison Mission Energy:
7.73% 2009 3,000 2,872
10.00% 2008 2,250 2,346
Homer City Funding LLC 8.734% 2026 (8) 200 216
Dominion Resources, Inc., Series 2000-A, 8.125% 2010 3,089 3,711
Virginia Electric and Power Co., Series 2002-A, 5.375% 2007 1,535 1,638
Progress Energy, Inc. 5.85% 2008 2,305 2,475
Israel Electric Corp. Ltd. 7.70% 2018 (1) 1,750 1,922
Exelon Generation Co., LLC 6.95% 2011 1,680 1,890
Cilcorp Inc. 9.375% 2029 1,185 1,598
PacifiCorp, First Mortgage Bonds, 5.45% 2013 1,500 1,559
Tri-State Generation and Transmission Association, Inc., Series 2003-A, 6.04% 2018 (1) 1,500 1,542
MULTI-UTILITIES & UNREGULATED POWER - 0.57%
Dynegy Holdings Inc. 10.125% 2013 (1) 4,600 5,313
AES Corp.:
8.75% 2013 (1) 2,200 2,469
9.50% 2009 1,300 1,448
10.00% 2005 (1) (8) 673 688
9.375% 2010 112 125
Northwest Pipeline Corporation 8.125% 2010 1,850 2,063
Transcontinental Gas Pipe Line Corp. 7.25% 2026 1,875 1,931
El Paso Corp. 7.75% 2032 3,000 2,573
Constellation Energy Group, Inc. 6.125% 2009 1,000 1,100
Nevada Power Co. 9.00% 2013 (1) 725 806
OIL & GAS - 0.56%
Premcor Refining Group Inc.:
7.75% 2012 (1) 3,000 3,105
7.50% 2015 1,500 1,545
Western Oil Sands Inc. 8.375% 2012 2,700 3,088
General Maritime Corp. 10.00% 2013 2,300 2,608
Pemex Finance Ltd., Series 1999-2, Class A-3, 10.61% 2017 (8) 1,870 2,456
Petrozuata Finance, Inc., Series B: (8)
8.22% 2017 (1) 2,180 2,017
8.22% 2017 350 324
ConocoPhillips 3.625% 2007 1,500 1,513
Newfield Exploration Co. 8.375% 2012 1,175 1,322
AUTOMOBILES - 0.53%
Ford Motor Credit Co.:
7.375% 2011 3,000 3,274
7.25% 2011 2,000 2,172
7.875% 2010 1,250 1,398
6.875% 2006 500 534
General Motors Acceptance Corp.:
6.875% 2011 4,000 4,315
6.125% 2006 2,000 2,142
DaimlerChrysler North America Holding Corp.:
6.40% 2006 2,000 2,144
7.75% 2011 1,000 1,145
HEALTH CARE PROVIDERS & SERVICES - 0.47%
HCA Inc.:
6.25% 2013 2,415 2,476
7.125% 2006 1,335 1,447
Concentra Operating Corp.:
9.50% 2010 2,250 2,441
9.50% 2010 (1) 500 543
Aetna Inc. 7.375% 2006 2,650 2,917
Humana Inc. 7.25% 2006 2,500 2,733
Tenet Healthcare Corp. 7.375% 2013 2,500 2,525
PAPER & FOREST PRODUCTS - 0.44%
Weyerhaeuser Co. 5.95% 2008 3,000 3,228
Georgia-Pacific Corp.:
9.50% 2022 1,500 1,568
8.125% 2011 1,250 1,381
Abitibi-Consolidated Co. of Canada 6.00% 2013 2,500 2,404
Norske Skogindustrier ASA 7.125% 2033 (1) 2,000 2,082
Potlatch Corp. 10.00% 2011 1,655 1,854
Scotia Pacific Co. LLC, Series B, Class A-2, 7.11% 2028 (8) 2,000 1,548
METALS & MINING - 0.41%
Allegheny Technologies, Inc. 8.375% 2011 3,000 2,955
Oregon Steel Mills, Inc. 10.00% 2009 3,000 2,648
Earle M. Jorgensen Co. 9.75% 2012 2,100 2,342
Freeport-McMoRan Copper & Gold Inc. 10.125% 2010 1,825 2,112
Steel Dynamics, Inc. 9.50% 2009 1,000 1,115
Gerdau Ameristeel Corp. 10.375% 2011 (1) 1,000 1,110
AK Steel Corp.:
7.75% 2012 750 645
7.875% 2009 325 287
REAL ESTATE - 0.38%
United Dominion Realty Trust, Inc. 6.50% 2009 3,000 3,310
EOP Operating LP:
7.75% 2007 1,000 1,147
7.25% 2018 1,000 1,128
Host Marriott, LP:
Series G, 9.25% 2007 1,250 1,403
Series E, 8.375% 2006 400 429
Series I, 9.50% 2007 350 391
Hospitality Properties Trust 6.75% 2013 1,725 1,810
Rouse Co. 7.20% 2012 1,500 1,694
Federal Realty Investment Trust 6.125% 2007 1,000 1,069
CONSUMER FINANCE - 0.37%
SLM Corp., Series A:
3.625% 2008 2,500 2,492
3.95% 2008 1,000 1,011
Capital One Financial Corp.:
7.125% 2008 2,000 2,163
8.75% 2007 1,155 1,302
MBNA Corp., Series B, 1.963% 2027 (4) 3,000 2,610
Advanta Capital Trust I, Series B, 8.99% 2026 3,000 2,355
COMMERCIAL BANKS - 0.37%
Household Finance Corp. 7.875% 2007 4,500 5,146
UFJ Finance Aruba AEC 6.75% 2013 2,325 2,484
National Westminster Bank PLC 7.75% (undated) (4) 2,000 2,288
HBOS PLC 5.375% (undated) (1) 2,000 2,004
COMMERCIAL SERVICES & SUPPLIES - 0.37%
KinderCare Learning Centers, Inc., Series B, 9.50% 2009 4,000 4,080
Cendant Corp.:
6.25% 2008 2,000 2,184
6.875% 2006 1,000 1,098
Allied Waste North America, Inc.:
8.50% 2008 875 978
Series B, 8.875% 2008 750 844
Synagro Technologies, Inc. 9.50% 2009 1,500 1,635
WMX Technologies, Inc. 8.00% 2004 1,000 1,018
CONTAINERS & PACKAGING - 0.35%
Owens-Brockway Glass Container Inc. 7.75% 2011 2,000 2,158
Owens-Illinois, Inc. 7.35% 2008 750 773
Jefferson Smurfit Corp. (U.S.) 7.50% 2013 2,000 2,100
Norampac Inc. 6.75% 2013 1,650 1,728
Longview Fibre Co. 10.00% 2009 1,250 1,378
Graphic Packaging International, Inc. 9.50% 2013 (1) 1,000 1,110
Tekni-Plex, Inc., Series B, 12.75% 2010 1,000 1,095
Temple-Inland Inc. 7.875% 2012 815 947
CHEMICALS - 0.30%
Dow Chemical Co.:
5.75% 2009 1,500 1,608
6.00% 2012 1,500 1,582
Lyondell Chemical Co.:
11.125% 2012 1,250 1,394
Series A, 9.625% 2007 625 666
Series B, 9.875% 2007 500 530
Equistar Chemicals, LP and Equistar Funding Corp.:
10.625% 2011 (1) 125 139
10.625% 2011 75 83
ICI Wilmington, Inc. 5.625% 2013 2,500 2,517
Nalco Co. 7.75% 2011 (1) 1,190 1,279
INDUSTRIAL CONGLOMERATES - 0.30%
Tyco International Group SA:
6.125% 2008 2,000 2,150
6.375% 2011 1,500 1,611
General Electric Capital Corp., Series A, 5.00% 2007 3,500 3,731
Hutchison Whampoa International Ltd. 7.00% 2011 (1) 2,000 2,201
HOUSEHOLD DURABLES - 0.29%
William Lyon Homes, Inc. 10.75% 2013 2,000 2,285
K. Hovnanian Enterprises, Inc.:
7.75% 2013 1,250 1,327
8.875% 2012 780 862
Salton, Inc. 12.25% 2008 1,750 1,873
Beazer Homes USA, Inc. 8.375% 2012 1,500 1,661
WCI Communities, Inc.:
10.625% 2011 775 880
9.125% 2012 500 553
MACHINERY - 0.27%
Terex Corp.:
Class B, 10.375% 2011 2,350 2,644
7.375% 2014 (1) 1,500 1,541
John Deere Capital Corp. 3.90% 2008 2,000 2,034
NMHG Holding Co. 10.00% 2009 1,500 1,665
Cummins Inc. 9.50% 2010 (1) 825 953
FOOD PRODUCTS - 0.26%
Burns Philp Capital Pty Ltd.: (1)
9.75% 2012 3,175 3,413
10.75% 2011 1,925 2,108
9.50% 2010 500 545
Del Monte Corp., Series B, 8.625% 2012 1,075 1,183
Fage Dairy Industry SA 9.00% 2007 1,000 1,026
AUTO COMPONENTS - 0.25%
Stoneridge, Inc. 11.50% 2012 2,850 3,377
ArvinMeritor, Inc. 8.75% 2012 1,500 1,725
Dana Corp. 10.125% 2010 1,250 1,463
Tenneco Automotive Inc., Series B, 11.625% 2009 1,000 1,085
TRW Automotive Acquisition Inc.:
9.375% 2013 300 344
11.00% 2013 175 207
AEROSPACE & DEFENSE - 0.24%
BAE SYSTEMS 2001 Asset Trust, Series 2001, Class B, 7.156% 2011 (1) (8) 4,180 4,565
Raytheon Co. 4.85% 2011 2,000 2,006
General Dynamics Corp. 4.50% 2010 1,000 1,024
OTHER INDUSTRIES - 1.68%
Electronic Data Systems Corp.:
Series B, 6.00% 2013 (4) 3,360 3,309
7.125% 2009 1,600 1,710
J.C. Penney Co., Inc. 8.25% 2022 (8) 4,165 4,326
Motorola, Inc. 8.00% 2011 2,500 2,962
Technical Olympic USA, Inc. 10.375% 2012 2,500 2,813
CIT Group Inc. 6.875% 2009 2,500 2,812
Solectron Corp. 9.625% 2009 2,500 2,800
Jacuzzi Brands, Inc. 9.625% 2010 (1) 2,250 2,486
NiSource Finance Corp. 7.625% 2005 2,000 2,186
Payless ShoeSource, Inc. 8.25% 2013 2,225 2,153
ON Semiconductor Corp. 13.00% 2008 (4) 1,825 2,131
CVS Corp. 6.117% 2013 (1) (8) 1,934 2,082
Amkor Technology, Inc.:
7.75% 2013 1,100 1,185
9.25% 2008 725 827
Saks Inc.:
7.50% 2010 1,000 1,090
9.875% 2011 550 657
7.375% 2019 120 123
Sanmina-SCI Corp. 10.375% 2010 1,500 1,763
Washington Mutual, Inc. 7.50% 2006 1,500 1,677
Koppers Inc. 9.875% 2013 (1) 1,500 1,661
Pathmark Stores, Inc. 8.75% 2012 1,500 1,575
Gap, Inc. 6.90% 2007 1,415 1,569
Burlington Northern and Santa Fe Railway Co. Pass-Through Trust, Series 2002-2, 5.14% 2021 (8) 1,500 1,482
TFM, SA de CV:
10.25% 2007 475 499
12.50% 2012 435 498
11.75% 2009 430 444
Toys "R" Us, Inc.:
7.875% 2013 740 797
7.375% 2018 640 641
Constellation Brands, Inc. 8.125% 2012 1,250 1,375
RailAmerica Transportation Corp. 12.875% 2010 1,000 1,166
Nortek, Inc. 0%/10.00% 2011 (1) (6) 1,500 1,091
Citigroup Inc. 3.50% 2008 1,000 1,005
Winn-Dixie Stores, Inc. 8.875% 2008 950 969
Ahold Finance U.S.A., Inc. 8.25% 2010 230 252
MORTGAGE-BACKED OBLIGATIONS (8) - 3.99%
Agency pass-throughs:
Freddie Mac:
6.00% 2033 - 2034 12,674 13,093
5.00% 2019 - 2034 10,000 10,029
6.50% 2016 2,955 3,133
Fannie Mae:
5.50% 2017 - 2034 17,899 18,288
6.00% 2013 - 2016 2,697 2,843
6.50% 2016 - 2032 2,570 2,715
7.00% 2009 - 2032 1,706 1,818
Government National Mortgage Assn.:
6.00% 2034 1,840 1,906
7.00% 2022 - 2024 1,759 1,888
7.50% 2029 1,496 1,614
6.50% 2029 1,505 1,592
8.00% 2020 - 2030 1,294 1,408
8.50% 2021 - 2029 389 429
Private label mortgage obligations: (4)
WaMu Mortgage Pass-Through Certificates Trust:
Series 2003-AR8, Class A, 4.03% 2033 4,653 4,695
Series 2003-AR7, Class A-7, 3.84% 2033 2,672 2,623
Banc of America Mortgage Securities Trust:
Series 2003-G, Class 2-A-1, 4.088% 2033 4,540 4,559
Series 2003-D, Class 2-A-1, 4.183% 2033 2,350 2,361
Bear Stearns ARM Trust:
Series 2003-9, Class III-A-2, 5.082% 2034 4,897 4,984
Series 2003-3, Class II-A-2, 4.211% 2033 1,773 1,785
Wells Fargo Mortgage Backed Securities Trust, Series 2003-K, Class I-A-1, 4.522% 2033 4,973 4,897
CHL Mortgage Pass-Through Trust, Series 2003-27, Class A-1, 3.842% 2033 2,491 2,477
Commercial mortgage-backed obligations:
Morgan Stanley Capital I, Inc.:
Series 1998-HF2, Class A-2, 6.48% 2030 3,000 3,343
Series 2003-KIDS, Class A, 1.843% 2016 (1) (4) 2,973 2,973
DLJ Mortgage Acceptance Corp., Class A-1B:
Series 1998-CF1, 6.41% 2031 5,000 5,529
Series 1996-CF2, 7.29% 2021 (1) 757 778
Freddie Mac, Series T-041, Class 3-A, 7.50% 2032 3,120 3,419
Fannie Mae, Series 2001-T10, Class A-1, 7.00% 2041 2,716 2,932
CS First Boston Mortgage Securities Corp., Series 2001-CF2, Class A-3, 6.238% 2034 2,165 2,378
L.A. Arena Funding, LLC, Series 1, Class A, 7.656% 2026 (1) 1,881 1,980
Opryland Hotel Trust, Series 2001-OPRA, Class C, 2.11% 2011 (1) (4) 2,000 1,956
GMAC Commercial Mortgage Securities, Inc., Series 1999-C3, Class C, 7.786% 2036 1,000 1,162
Private issue pass-through obligations:
Wells Fargo Mortgage Backed Securities Trust, Class A-1:
Series 2003-13, 4.50% 2018 4,942 4,947
Series 2003-12, 4.75% 2018 2,468 2,463
Residential Funding Mortgage Securities I, Inc., Series 2003-S15, Class A-1, 4.50% 2018 2,403 2,377
Structured Asset Securities Corp., Series 1998-RF2, Class A, 8.541% 2027 (1) (4) 1,388 1,533
Private issue collateralized mortgage obligations:
Security National Mortgage Loan Trust, Series 2001-2A, Class M, 8.10% 2024 (1) 1,830 1,875
ASSET-BACKED OBLIGATIONS (8) - 1.85%
MMCA Auto Owner Trust:
Series 2000-1, Class B, 7.55% 2005 3,000 3,061
Series 2000-2, Class B, 7.42% 2005 2,000 2,044
Series 2000-2, Class A-4, 4.30% 2010 2,000 2,024
Ameriquest Mortgage Securities Inc., Asset-Backed Pass-Through Certificates, Series 2003-5,
Class A-2, 2.43% 2033 5,000 5,013
Continental Airlines, Inc.:
Series 2001-1, Class B, 7.373% 2017 2,410 2,095
Series 1998-3, Class C-2, 7.25% 2005 1,500 1,432
Series 1996-2C, 10.22% 2016 1,594 1,261
Tobacco Settlement Financing Corp., Tobacco Settlement Asset-Backed Bonds, Series 2001-A,
Class A, 6.36% 2025 3,770 3,689
MBNA Credit Card Master Note Trust, Series 2002-1, Class B-1, 5.15% 2009 3,000 3,171
Hyundai Auto Receivables Trust 2001-A, Class C, 5.57% 2006 (1) 3,000 3,119
Triad Automobile Receivables Owner Trust, Series 2002-1, Class A-3, AMBAC insured, 3.00% 2009 (1) 3,000 3,044
First Investors Auto Owner Trust, Series 2003-A, Class A, MBIA insured, 2.58% 2011 (1) 2,926 2,948
CPS Auto Receivables Trust, Series 2003-A, Class A-2, XLCA insured, 2.89% 2009 (1) 2,570 2,566
AmeriCredit Automobile Receivables Trust, Series 2003-CF, Class A-4, FSA insured, 3.48% 2010 2,500 2,549
Delta Air Lines, Inc.:
Series 1993-A2, 10.50% 2016 2,000 1,520
Series 1992-A2, 9.20% 2014 1,000 740
NextCard Credit Card Master Note Trust, Series 2000-1, Class B, 1.963% 2006 (1) (4) 2,750 2,255
Drivetime Auto Owner Trust, Series 2003-A, Class A-3, XLCA insured, 2.524% 2008 (1) 2,000 2,016
Residential Asset Mortgage Products Trust, Series 2003-RS11, Class A-I-7, 4.828% 2033 2,000 1,993
Residential Asset Securities Corp. Trust, Series 2003-KS2, Class A-I-2, 2.15% 2024 1,800 1,800
Providian Master Trust, Series 2000-1, Class C, 2.291% 2009 (1) (4) 1,500 1,479
California Infrastructure and Economic Development Bank, Special Purpose Trust, SCE-1,
Series 1997-1, Class A-6, 6.38% 2008 1,313 1,400
United Air Lines, Inc.: (7)
Series 1996-A2, 7.87% 2019 2,500 911
Series 1995-A1, 9.02% 2012 1,196 467
Pass-Through Amortizing Credit Card Trusts, Series 2002-1A, Class A-3FX, 6.298% 2012 (1) 1,277 1,295
First Investors Auto Owner Trust, Series 2002-A, Class A, MBIA insured, 3.46% 2008 (1) 1,068 1,080
Consumer Credit Reference Index Securities Program Trust, Series 2002-2A, Class FX, 10.421% 2007 (1) 1,000 1,053
Prestige Auto Receivables Trust, Series 2001-1A, Class A, FSA insured, 5.26% 2009 (1) 884 904
Duck Auto Owner Trust, Series 2002-B, Class A, XLCA insured, 2.985% 2007 (1) 821 824
First Consumer Master Trust, Series 1999-A, Class A, 5.80% 2005 (1) 816 812
NPF XII, Inc., Series 2001-3, Class A, 5.52% 2007 (1) (3) (7) 5,000 600
Drive Auto Receivables Trust, Series 2000-1, Class A, MBIA insured, 6.672% 2006 (1) 282 286
Jet Equipment Trust, Series 1995-B, Class B, 7.83% 2015 (1) 2,014 141
U.S. TREASURY BONDS AND NOTES - 2.65%
7.00% 2006 (9) 25,000 28,008
6.50% 2005 20,000 21,372
3.375% 2007 (10) 11,677 12,649
3.625% 2008 (10) 5,726 6,333
3.50% 2011 (10) 5,315 5,977
5.75% 2010 5,000 5,608
2.625% 2008 5,000 4,925
11.75% 2010 500 557
MUNICIPAL OBLIGATIONS - 0.19%
Tobacco Settlement Financing Corp., Tobacco Settlement Asset-Backed Bonds, Series 2002, 5.75% 2032 3,065 2,818
Golden State Tobacco Securitization Corp., Tobacco Settlement Asset-backed Bonds, Series 2003-A1,
6.25% 2033 (8) 1,500 1,916
State of California Dept. of Water Resources, Power Supply Revenue Bonds, Series 2002-E, 3.585% 2004 1,500 1,508
Non-U.S. GOVERNMENT OBLIGATIONS - 0.08%
Brazil (Federal Republic of) 10.25% 2013 2,250 2,537
Total bonds & notes (cost: $722,081,000) 754,736
SHORT-TERM SECURITIES - 15.67%
CORPORATE SHORT-TERM NOTES - 13.05%
Pfizer Inc 1.02%-1.03% due 1/8-2/4/2004 (1) 37,800 37,776
Ciesco LLP 1.08% due 1/20/2004 (1) 8,700 8,695
Ciesco LLP 1.09% due 1/15/2004 20,000 19,991
Harley-Davidson Funding Corp. 1.02% due 1/14-2/25/2004 (1) 26,000 25,975
Gannett Co. 1.01% due 1/7/2004 (1) 25,000 24,995
Caterpillar Financial Services Corp. 1.02%-1.05% due 1/5-1/20/2004 25,000 24,990
Johnson & Johnson 1.00% due 1/21/2004 (1) 25,000 24,985
Merck & Co. Inc. 1.01% due 1/22/2004 25,000 24,985
Verizon Network Funding Corp. 1.03% due 1/23/2004 25,000 24,984
Medtronic Inc. 1.02%-1.03% due 1/23-1/30/2004 (1) 25,000 24,981
Park Avenue Receivables Corp. 1.08% due 1/14/2004 (1) 23,600 23,590
Triple-A One Funding Corp. 1.08%-1.09% due 1/2-1/12/2004 (1) 22,170 22,165
BellSouth Corp. 1.01%-1.02% due 1/6-1/9/2004 (1) (9) 20,000 19,996
SBC International Inc. 1.05% due 1/12/2004 (1) 20,000 19,993
Kimberly-Clark Worldwide Inc. 1.00% due 2/6/2004 (1) 15,200 15,184
FCAR Owner Trust I 1.07% due 1/28/2004 15,000 14,988
Preferred Receivables Funding Corp. 1.08% due 2/5/2004 (1) 14,600 14,584
Variable Funding Capital Corp. 0.97% due 1/2/2004 (1) 13,600 13,599
Netjets Inc. 1.05%-1.06% due 1/15-1/23/2004 (1) 12,250 12,243
Procter & Gamble Co. 1.02% due 1/23/2004 (1) 12,200 12,192
Archer Daniels Midland Co. 1.08% due 1/21/2004 (1) 10,000 9,994
U.S. TREASURIES - 2.00%
U.S. Treasury Bills 0.855%-0.91% due 1/22-2/5/2004 64,600 64,554
CERTIFICATES OF DEPOSIT - 0.62%
State Street Bank & Trust 1.06% due 1/16/2004 20,000 20,000
Total short-term securities (cost: $505,438,000) 505,439
Total investment securities (cost: $2,974,170,000) 3,309,261
Other assets less liabilities (84,175)
Net assets $3,225,086
(1) Purchased in a private placement transaction; resale may be limited to
qualified institutional buyers; resale to the public may require
registration.
(2) Security did not produce income during the last 12 months.
(3) Valued under fair value procedures adopted by authority of the Board of
Trustees.
(4) Coupon rate may change periodically.
(5) Payment in kind; the issuer has the option of paying additional securities
in lieu of cash.
(6) Step bond; coupon rate will increase at a later date.
(7) Company not making scheduled interest payments; bankruptcy proceedings
pending.
(8) Pass-through securities backed by a pool of mortgages or other loans on
which principal payments are periodically made. Therefore, the effective
maturities are shorter than the stated maturities.
(9) This security, or a portion of this security, has been segregated to cover
funding requirements on investment transactions settling in the future.
(10) Index-linked bond whose principal amount moves with a government retail
price index.
ADR = American Depositary Receipts
See Notes to Financial Statements
BOND FUND Investment portfolio as of, December 31, 2003
[Enlarge/Download Table]
PRINCIPAL MARKET
AMOUNT VALUE
Bonds & notes - 84.49% (000) (000)
MEDIA - 5.88%
Liberty Media Corp.:
7.875% 2009 $3,500 $4,060
8.25% 2030 2,600 3,122
8.50% 2029 1,000 1,216
7.75% 2009 750 861
5.70% 2013 500 507
AOL Time Warner Inc.:
6.125% 2006 2,250 2,424
6.875% 2012 2,000 2,255
7.625% 2031 1,000 1,158
Time Warner Inc. 7.75% 2005 500 540
Young Broadcasting Inc.:
10.00% 2011 2,716 2,940
Series B, 8.75% 2007 1,529 1,575
8.50% 2008 (1) 1,000 1,080
Series B, 9.00% 2006 594 596
Viacom Inc.:
6.625% 2011 2,000 2,274
5.625% 2007 1,200 1,298
CBS Corp. 7.15% 2005 2,000 2,144
News America Holdings Inc. 7.75% 2045 2,000 2,373
News America, Inc.:
4.75% 2010 2,000 2,054
6.75% 2038 1,000 1,118
Chancellor Media Corp. of Los Angeles 8.00% 2008 2,250 2,616
Clear Channel Communications, Inc.:
4.625% 2008 875 904
6.625% 2008 750 834
5.75% 2013 750 785
Tele-Communications, Inc. 9.80% 2012 2,000 2,613
Comcast Cable Communications, Inc. 8.375% 2007 750 870
Comcast Corp. 6.50% 2015 750 816
Univision Communications Inc.:
7.85% 2011 1,925 2,292
3.875% 2008 2,000 1,981
Videotron Ltee 6.875% 2014 (1) 3,500 3,631
Charter Communications Holdings, LLC: (2)
0%/11.75% 2011 3,100 2,092
0%/13.50% 2011 425 319
CCO Holdings, LLC and CCO Holdings Capital Corp. 8.75% 2013 (1) 725 741
DIRECTV Holdings LLC and DIRECTV Financing Co., Inc. 8.375% 2013 2,500 2,912
EchoStar DBS Corp. 9.125% 2009 2,475 2,781
Telenet Communications NV 9.00% 2013 (1) Euro 1,000 1,305
Telenet Group Holding NV 0%/11.50% 2014 (1) (2) $2,000 1,270
Dex Media, Inc.: (1)
8.00% 2013 1,250 1,319
0%/9.00% 2013 (2) 1,400 994
Adelphia Communications Corp.: (3)
10.25% 2011 1,450 1,348
10.25% 2006 1,000 935
RH Donnelley Inc. 8.875% 2010 (1) 2,000 2,260
PanAmSat Corp. 6.125% 2005 2,000 2,057
Emmis Communications Corp. 0%/12.50% 2011 (2) 2,050 1,909
Antenna TV SA 9.75% 2008 Euro 1,425 1,842
Carmike Cinemas, Inc., Series B, 10.375% 2009 $1,225 1,292
Hollinger Participation Trust 12.125% 2010 (1) (4) (5) 973 1,161
Regal Cinemas Corp., Series B, 9.375% 2012 1,000 1,135
Cinemark USA, Inc. 9.00% 2013 1,000 1,130
Radio One, Inc., Series B, 8.875% 2011 1,000 1,107
Cox Radio, Inc. 6.625% 2006 1,000 1,082
Entravision Communications Corp. 8.125% 2009 1,000 1,075
AMC Entertainment Inc. 9.50% 2009 1,000 1,035
Gray Communications Systems, Inc. 9.25% 2011 875 980
CSC Holdings, Inc., Series B, 8.125% 2009 750 810
Gannett Co., Inc. 4.95% 2005 750 780
British Sky Broadcasting Group PLC 8.20% 2009 625 745
LBI Media, Inc. 10.125% 2012 250 285
RBS Participacoes SA 11.00% 2007 (1) 250 189
WIRELESS TELECOMMUNICATION SERVICES - 5.52%
AT&T Wireless Services, Inc.:
8.125% 2012 3,110 3,664
7.875% 2011 3,140 3,640
7.50% 2007 3,000 3,366
8.75% 2031 500 619
Tritel PCS, Inc. 10.375% 2011 2,987 3,576
Nextel Communications, Inc.:
7.375% 2015 12,250 13,230
6.875% 2013 1,350 1,434
American Tower Corp.:
9.375% 2009 3,775 4,039
7.25% 2011 (1) 3,825 3,911
0% 2008 3,000 2,085
Crown Castle International Corp.:
10.75% 2011 2,000 2,260
9.375% 2011 1,750 1,951
7.50% 2013 (1) 1,800 1,818
Series B, 7.50% 2013 (1) 1,750 1,767
9.00% 2011 1,250 1,341
American Cellular Corp. 10.00% 2011 (1) 4,750 5,320
Dobson Communications Corp.:
8.875% 2013 (1) 1,375 1,399
10.875% 2010 1,000 1,095
Nextel Partners, Inc.:
8.125% 2011 4,300 4,601
12.50% 2009 684 797
Western Wireless Corp. 9.25% 2013 4,450 4,717
Verizon Wireless Capital LLC and Cellco Partnership 5.375% 2006 3,090 3,300
Vodafone Group PLC:
5.375% 2015 1,500 1,518
7.75% 2010 1,125 1,335
Triton PCS, Inc.:
8.50% 2013 1,250 1,350
9.375% 2011 1,000 1,025
Mobile Telesystems Finance 5.17% 2004 (1) (4) 2,000 2,005
Centennial Communications Corp. and Centennial Cellular Operating Co. LLC 10.125% 2013 1,000 1,102
Centennial Cellular Corp. 10.75% 2008 750 795
Cricket Communications, Inc.: (3) (4)
6.188% 2007 1,440 922
6.375% 2007 1,350 864
Cingular Wireless LLC 5.625% 2006 1,000 1,073
Rogers Cantel Inc. 9.75% 2016 500 605
DIVERSIFIED TELECOMMUNICATION SERVICES - 4.36%
Sprint Capital Corp.:
8.375% 2012 4,000 4,681
7.90% 2005 3,655 3,895
7.625% 2011 2,495 2,801
6.00% 2007 2,615 2,795
6.90% 2019 2,000 2,049
6.875% 2028 1,250 1,224
7.125% 2006 605 655
Qwest Services Corp.: (1)
13.50% 2010 3,192 3,894
13.00% 2007 2,891 3,411
14.00% 2014 1,080 1,380
Qwest Corp. 8.875% 2012 (1) 1,250 1,441
Qwest Capital Funding, Inc. 7.75% 2006 625 650
France Telecom: (4)
9.00% 2011 4,000 4,812
8.45% 2006 2,000 2,235
Orange PLC 8.75% 2006 2,000 2,255
AT&T Corp. 7.80% 2011 (4) 5,400 6,226
Telecom Italia SpA, Series B, 5.25% 2013 (1) 4,750 4,770
Cincinnati Bell Inc. 7.25% 2013 (1) 3,750 3,956
British Telecommunications PLC: (4)
8.875% 2030 1,500 1,968
8.375% 2010 1,000 1,219
Comcast UK Cable Partners Ltd. 11.20% 2007 1,900 1,928
Deutsche Telekom International Finance BV: (4)
9.25% 2032 900 1,239
8.50% 2010 250 303
VoiceStream Wireless Corp. 10.375% 2009 - 0
PCCW-HKT Capital Ltd. 7.75% 2011 (1) 1,000 1,176
Verizon Virginia Inc., Series A, 4.625% 2013 1,000 966
Koninklijke KPN NV 8.00% 2010 750 899
Singapore Telecommunications Ltd. 7.375% 2031 (1) 750 889
TELUS Corp. 8.00% 2011 750 878
Telewest Communications PLC 11.25% 2008 (3) 750 486
TeleWest PLC 11.00% 2007 (3) 375 246
GT Group Telecom Inc. 0%/13.25% 2010 (2) (3) 1,000 2
COMMERCIAL BANKS - 3.50%
HBOS PLC 5.375% (undated) (1) 4,500 4,509
HBOS Treasury Services PLC 3.75% 2008 (1) 1,500 1,503
Bank of Scotland 7.00% (undated) (1) (4) 480 532
Royal Bank of Scotland Group PLC:
7.648% (undated) (4) 2,250 2,695
Series 3, 7.816% (undated) 1,500 1,650
RBS Capital Trust I noncumulative trust preferred 4.709% (undated) 1,500 1,437
National Westminster Bank PLC 7.75% (undated) (4) 250 286
Abbey National PLC: (4)
7.35% (undated) 3,000 3,313
6.70% (undated) 1,300 1,439
UFJ Finance Aruba AEC 6.75% 2013 4,150 4,434
Household Finance Corp.:
6.75% 2011 1,850 2,086
7.00% 2012 1,000 1,142
6.375% 2011 1,000 1,103
SocGen Real Estate Co. LLC, Series A, 7.64% (undated) (1) (4) 3,000 3,393
Bank of America Corp. 4.375% 2010 3,000 3,012
J.P. Morgan Chase & Co. 5.75% 2013 2,750 2,905
Barclays Bank PLC: (1) (4)
6.86% callable perpetual core tier one notes (undated) 2,000 2,177
7.375% (undated) 500 583
Popular North America, Inc., Series E, 3.875% 2008 2,000 1,998
Development Bank of Singapore Ltd. 7.875% 2009 (1) 1,500 1,780
Bayer Hypo-Vereinsbank 8.741% 2031 (1) 1,330 1,574
Chevy Chase Bank, FSB:
6.875% 2013 1,000 1,030
9.25% 2008 500 518
Bayerische Landesbank, Series F, 2.50% 2006 1,500 1,519
City National Corp. 5.125% 2013 1,500 1,486
Zions Bancorp. 6.00% 2015 1,000 1,051
US Bank National Association 2.85% 2006 1,000 1,006
AB Spintab 7.50% (undated) (1) (4) 750 833
State Street Capital Trust II 1.68% 2008 (4) 750 753
Comerica, Inc., Imperial Capital Trust I, Imperial Bancorp, Series B, 9.98% 2026 350 431
AUTOMOBILES - 3.16%
General Motors Acceptance Corp.:
6.125% 2007 10,500 11,287
7.75% 2010 2,750 3,121
8.00% 2031 2,500 2,816
6.875% 2011 2,000 2,157
General Motors Corp. 7.20% 2011 1,875 2,064
Ford Motor Credit Co.:
7.375% 2011 6,800 7,422
6.50% 2007 4,500 4,797
7.25% 2011 1,500 1,629
7.375% 2009 750 825
7.875% 2010 375 420
Ford Motor Co. 7.45% 2031 1,000 1,013
DaimlerChrysler North America Holding Corp.:
6.50% 2013 4,000 4,221
7.75% 2011 3,000 3,435
7.30% 2012 1,750 1,952
HOTELS, RESTAURANTS & LEISURE - 3.12%
Starwood Hotels & Resorts Worldwide, Inc.:
7.375% 2007 2,730 2,962
7.875% 2012 2,575 2,910
IT&T Corp. 6.75% 2005 500 527
Royal Caribbean Cruises Ltd.:
8.75% 2011 2,625 2,979
8.00% 2010 1,875 2,053
7.00% 2007 1,175 1,251
Mohegan Tribal Gaming Authority:
6.375% 2009 2,500 2,594
8.125% 2006 1,500 1,624
8.375% 2011 1,000 1,095
Mirage Resorts, Inc. 6.625% 2005 2,000 2,085
MGM Mirage, Inc.:
6.00% 2009 2,000 2,065
8.50% 2010 875 1,008
Hilton Hotels Corp.:
8.25% 2011 2,522 2,919
7.20% 2009 825 907
7.625% 2008 695 776
Six Flags, Inc.:
9.625% 2014 (1) 1,000 1,050
8.875% 2010 1,000 1,031
9.50% 2009 500 526
Premier Parks Inc. 9.75% 2007 1,000 1,049
Extended Stay America, Inc. 9.875% 2011 2,000 2,250
Boyd Gaming Corp.:
9.25% 2009 750 842
7.75% 2012 750 806
Hyatt Equities, LLC 6.875% 2007 (1) 1,500 1,613
Horseshoe Gaming Holding Corp., Series B, 8.625% 2009 1,500 1,592
Carnival Corp.:
6.15% 2008 750 817
3.75% 2007 (1) 500 501
Harrah's Operating Co., Inc. 8.00% 2011 1,000 1,176
YUM Brands, Inc. 7.70% 2012 1,000 1,156
Station Casinos, Inc.:
8.375% 2008 750 807
9.875% 2010 250 276
Buffets, Inc. 11.25% 2010 1,000 1,077
Florida Panthers Holdings, Inc. 9.875% 2009 1,000 1,070
International Game Technology:
7.875% 2004 500 510
8.375% 2009 250 300
Argosy Gaming Co. 9.00% 2011 250 278
ELECTRIC UTILITIES - 2.42%
Edison Mission Energy:
7.73% 2009 1,500 1,436
10.00% 2008 1,000 1,043
9.875% 2011 875 914
Midwest Generation, LLC, Series B, 8.56% 2016 (6) 1,900 1,983
Mission Energy Holding Co. 13.50% 2008 1,825 1,798
Homer City Funding LLC 8.734% 2026 (6) 1,000 1,080
Edison International 6.875% 2004 760 785
Southern Power Co., Series B, 6.25% 2012 6,000 6,494
Virginia Electric and Power Co., Series 2002-A, 5.375% 2007 2,750 2,935
Dominion Resources, Inc.:
Series 2002-D, 5.125% 2009 1,500 1,568
Series 2002-C, 5.70% 2012 (4) 675 713
Louis Dreyfus Natural Gas Corp. 9.25% 2004 500 514
Cilcorp Inc.:
9.375% 2029 2,000 2,698
8.70% 2009 1,000 1,208
Commonwealth Edison Co., Series 99, 3.70% 2008 1,500 1,507
Exelon Generation Co., LLC 6.95% 2011 1,300 1,462
American Electric Power Co., Inc., Series A, 6.125% 2006 2,200 2,372
SP PowerAssets Ltd. 3.80% 2008 (1) 2,000 2,010
Israel Electric Corp. Ltd.: (1)
7.70% 2018 1,000 1,098
7.75% 2027 620 648
Progress Energy, Inc. 6.05% 2007 1,000 1,075
Oncor Electric Delivery Co. 6.375% 2012 800 881
HEALTH CARE PROVIDERS & SERVICES - 2.15%
Columbia/HCA Healthcare Corp.:
6.91% 2005 (7) 4,500 4,742
7.00% 2007 2,500 2,739
8.85% 2007 2,000 2,263
HCA - The Healthcare Co. 8.75% 2010 1,250 1,490
HCA Inc. 6.25% 2013 1,250 1,282
Aetna Inc.:
7.875% 2011 2,350 2,782
7.375% 2006 1,650 1,816
Concentra Operating Corp.:
9.50% 2010 (1) 2,000 2,170
9.50% 2010 2,000 2,170
Universal Hospital Services, Inc. 10.125% 2011 (1) 3,000 3,165
Triad Hospitals, Inc. 7.00% 2013 (1) 2,500 2,531
Humana Inc. 7.25% 2006 1,500 1,640
Quintiles Transnational Corp. 10.00% 2013 (1) 1,250 1,356
UnitedHealth Group Inc. 5.20% 2007 1,000 1,071
Tenet Healthcare Corp. 6.375% 2011 1,000 965
MULTI-UTILITIES & UNREGULATED POWER - 1.97%
AES Corp.:
8.75% 2013 (1) 3,000 3,368
9.375% 2010 2,019 2,249
9.50% 2009 695 774
9.00% 2015 (1) 350 397
AES Red Oak, LLC, Series B, 9.20% 2029 (6) 2,500 2,613
AES Ironwood, LLC 8.857% 2025 (6) 1,223 1,308
Dynegy Holdings Inc.: (1)
9.875% 2010 3,225 3,644
10.125% 2013 2,750 3,176
Williams Companies, Inc.:
8.125% 2012 1,830 2,040
8.625% 2010 500 564
Williams Holdings of Delaware, Inc. 6.25% 2006 500 515
Nevada Power Co. 9.00% 2013 (1) 2,750 3,056
Constellation Energy Group, Inc. 6.125% 2009 2,550 2,804
Southern Natural Gas Co. 8.00% 2032 1,750 1,816
Drax Group Ltd.: (1) (4)
Class A-1, 6.066% 2015 Lira 242 402
Class B, 5.566% 2025 205 303
Drax Group Ltd., Class A-2, unit 7.566% 2015 (1) (4) (8) 278 521
PAPER & FOREST PRODUCTS - 1.86%
Georgia-Pacific Corp.:
9.50% 2022 $2,000 2,090
7.50% 2006 1,380 1,466
8.125% 2011 1,000 1,105
7.70% 2015 650 679
Fort James Corp. 6.875% 2007 1,625 1,723
Abitibi-Consolidated Co. of Canada:
5.25% 2008 2,500 2,460
6.00% 2013 2,500 2,404
Abitibi-Consolidated Inc. 7.875% 2009 1,500 1,624
Packaging Corp. of America 5.75% 2013 6,250 6,325
Norske Skogindustrier ASA: (1)
7.125% 2033 2,500 2,602
6.125% 2015 500 508
Weyerhaeuser Co.:
6.75% 2012 1,000 1,093
5.95% 2008 1,000 1,076
Potlatch Corp. 10.00% 2011 1,250 1,400
Scotia Pacific Co. LLC, Series B, Class A-2, 7.11% 2028 (6) 1,000 774
Kappa Beheer BV 10.625% 2009 Euro 250 337
Pindo Deli Finance Mauritius Ltd. 10.25% 2002 (9) $1,500 315
HOUSEHOLD DURABLES - 1.70%
D.R. Horton, Inc.:
8.00% 2009 3,700 4,200
7.875% 2011 1,400 1,596
6.875% 2013 600 642
Schuler Homes, Inc. 10.50% 2011 250 291
NVR, Inc. 5.00% 2010 5,000 4,925
Centex Corp. 4.75% 2008 3,675 3,795
Pulte Homes, Inc.:
7.875% 2032 1,750 2,039
8.125% 2011 1,395 1,659
MDC Holdings, Inc. 5.50% 2013 3,250 3,263
Beazer Homes USA, Inc. 8.375% 2012 1,000 1,108
Toll Brothers, Inc. 6.875% 2012 750 828
Lennar Corp. 7.625% 2009 500 578
Ryland Group, Inc. 9.75% 2010 500 570
INSURANCE - 1.70%
International Lease Finance Corp.:
Series O, 4.55% 2009 5,000 4,995
3.75% 2007 1,700 1,735
AIG SunAmerica Global Financing VII 5.85% 2008 (1) 1,000 1,091
CNA Financial Corp.:
6.60% 2008 1,736 1,830
6.95% 2018 1,000 1,005
6.75% 2006 230 245
Prudential Holdings, LLC, Series C, 8.695% 2023 (1) (6) 2,250 2,786
Monumental Global Funding Trust II: (1)
3.45% 2007 1,800 1,811
2002-A, Series A, 5.20% 2007 750 801
Allstate Financial Global Funding LLC: (1)
4.25% 2008 1,250 1,280
5.25% 2007 750 807
Nationwide Life Insurance Co. 5.35% 2007 (1) 1,000 1,077
Nationwide Mutual Insurance Co. 7.875% 2033 (1) 750 870
Travelers Property Casualty Corp. 5.00% 2013 1,750 1,754
MetLife, Inc. 3.911% 2005 1,130 1,162
Hartford Financial Services Group, Inc. 2.375% 2006 1,000 996
Mangrove Bay Pass Through Trust 6.102% 2033 (1) (4) 750 744
ReliaStar Financial Corp. 8.00% 2006 250 283
FOOD & STAPLES RETAILING - 1.60%
Delhaize America, Inc.:
7.375% 2006 5,645 6,097
8.125% 2011 4,100 4,736
9.00% 2031 660 805
Ahold Finance U.S.A., Inc.:
8.25% 2010 2,295 2,513
6.25% 2009 1,530 1,541
6.50% 2017 Lira 525 852
Ahold Lease Pass Through Trust: (6)
Series 2001-A-2, 8.62% 2025 $950 955
Series 2001-A-1, 7.82% 2020 24 24
Winn-Dixie Stores, Inc. 8.875% 2008 2,000 2,040
SUPERVALU INC 7.50% 2012 1,500 1,707
CVS Corp. 6.117% 2013 (1) (6) 1,450 1,561
Rite Aid Corp. 6.875% 2013 1,250 1,206
INDUSTRIAL CONGLOMERATES - 1.57%
Tyco International Group SA:
6.375% 2011 3,770 4,048
6.125% 2008 2,375 2,553
6.00% 2013 (1) 1,875 1,941
6.125% 2009 1,000 1,075
Hutchison Whampoa International Ltd.: (1)
6.50% 2013 3,250 3,392
6.25% 2014 2,500 2,544
7.00% 2011 1,000 1,101
Hutchison Whampoa Finance Ltd., Series B, 7.45% 2017 (1) 500 546
General Electric Capital Corp., Series A:
5.375% 2007 1,250 1,346
6.00% 2012 1,000 1,086
3.50% 2008 1,000 1,002
General Electric Co. 5.00% 2013 2,750 2,786
METALS & MINING - 1.57%
Freeport-McMoRan Copper & Gold Inc. 10.125% 2010 5,375 6,222
Luscar Coal Ltd. 9.75% 2011 2,750 3,128
Steel Dynamics, Inc. 9.50% 2009 2,750 3,066
United States Steel Corp. 9.75% 2010 2,500 2,825
Inco Ltd.:
7.20% 2032 2,000 2,193
7.75% 2012 500 584
Alcan, Inc. 5.20% 2014 2,000 2,025
Oregon Steel Mills, Inc. 10.00% 2009 1,000 883
AK Steel Corp. 7.75% 2012 1,000 860
Kaiser Aluminum & Chemical Corp. 12.75% 2003 (9) 2,500 550
Corporacion Nacional del Cobre de Chile 6.375% 2012 (1) 500 542
Allegheny Technologies, Inc. 8.375% 2011 500 493
REAL ESTATE - 1.49%
Host Marriott, LP:
Series J, 7.125% 2013 (1) 4,500 4,613
Series E, 8.375% 2006 1,500 1,607
ProLogis Trust:
5.50% 2013 2,000 2,060
7.05% 2006 250 279
iStar Financial, Inc.:
7.00% 2008 950 1,031
6.00% 2010 750 769
8.75% 2008 450 522
Rouse Co. 7.20% 2012 1,500 1,694
United Dominion Realty Trust, Inc.:
6.50% 2009 1,000 1,103
4.50% 2008 500 509
Hospitality Properties Trust 6.75% 2013 1,500 1,574
EOP Operating LP:
6.75% 2012 750 830
8.10% 2010 500 589
First Industrial, LP 6.875% 2012 1,250 1,368
FelCor Lodging LP 9.00% 2011 1,000 1,090
Simon Property Group, LP 4.875% 2010 1,000 1,021
Developers Diversified Realty Corp. 4.625% 2010 1,000 996
Kimco Realty Corp. 6.00% 2012 500 532
COMMERCIAL SERVICES & SUPPLIES - 1.43%
Allied Waste North America, Inc.:
10.00% 2009 2,500 2,713
6.50% 2010 (1) 2,250 2,318
8.50% 2008 1,750 1,956
Series B, 8.875% 2008 1,500 1,688
Series B, 7.625% 2006 1,500 1,586
Cendant Corp.:
7.375% 2013 3,500 4,020
6.25% 2008 3,000 3,276
6.875% 2006 500 549
Waste Management, Inc.:
7.375% 2010 1,400 1,620
7.00% 2006 1,000 1,103
WMX Technologies, Inc. 7.10% 2026 500 543
OIL & GAS - 1.26%
Premcor Refining Group Inc.:
9.25% 2010 3,750 4,219
6.75% 2011 (1) 2,700 2,747
9.50% 2013 650 744
7.50% 2015 275 283
Newfield Exploration Co. 8.375% 2012 3,000 3,375
Petrozuata Finance, Inc., Series B, 8.22% 2017 (1) (6) 2,500 2,313
ConocoPhillips 4.75% 2012 2,000 2,012
Teekay Shipping Corp. 8.875% 2011 1,000 1,140
Devon Financing Corp., ULC 6.875% 2011 750 852
General Maritime Corp. 10.00% 2013 500 567
Reliance Industries Ltd., Series B, 10.25% 2097 (1) 500 546
SPECIALTY RETAIL - 1.17%
Toys "R" Us, Inc.:
7.875% 2013 2,580 2,780
7.375% 2018 1,500 1,502
7.625% 2011 1,000 1,072
Office Depot, Inc.:
10.00% 2008 2,000 2,390
6.25% 2013 1,875 1,972
Gap, Inc.:
10.55% 2008 (4) 1,955 2,419
6.90% 2007 500 554
Boise Cascade Corp. 6.50% 2010 2,500 2,611
Staples, Inc. 7.375% 2012 2,000 2,306
CONSUMER FINANCE - 1.11%
Capital One Bank:
6.65% 2004 2,250 2,272
6.875% 2006 1,500 1,623
6.50% 2013 1,500 1,575
Capital One Financial Corp.:
7.125% 2008 1,500 1,622
8.75% 2007 800 902
Capital One Capital I 2.713% 2027 (1) (4) 250 213
USA Education, Inc. 5.625% 2007 3,250 3,525
SLM Corp., Series A:
5.00% 2015 1,000 989
3.95% 2008 500 505
4.00% 2009 500 504
MBNA Corp., Series F, 6.125% 2013 1,500 1,613
Providian Financial Corp., Series A, 9.525% 2027 (1) 750 707
Advanta Capital Trust I, Series B, 8.99% 2026 500 393
ROAD & RAIL - 1.08%
TFM, SA de CV:
10.25% 2007 3,335 3,502
12.50% 2012 1,730 1,981
11.75% 2009 445 459
Kansas City Southern Railway Co.:
7.50% 2009 2,650 2,730
9.50% 2008 1,100 1,227
RailAmerica Transportation Corp. 12.875% 2010 2,075 2,420
Union Pacific Railroad Co. Pass Through Trust: (6)
Series 2003-1, 4.698% 2024 1,500 1,445
Series 2002-1, 6.061% 2023 500 541
Burlington Northern and Santa Fe Railway Co. Pass-Through Trust, Series 2002-2, 5.14% 2021 (6) 1,000 988
Southern Capital Corp. Pass Through Trust, Series 2002-1, Class G, MBIA insured, 5.70% 2023 (1) (6) 827 863
ELECTRONIC EQUIPMENT & INSTRUMENTS - 0.97%
Sanmina-SCI Corp. 10.375% 2010 3,750 4,406
Solectron Corp.:
9.625% 2009 2,825 3,164
Series B, 7.375% 2006 1,025 1,066
Flextronics International Ltd. 9.75% 2010 Euro 2,000 2,761
Viasystems, Inc. 10.50% 2011 (1) $1,500 1,609
Jabil Circuit, Inc. 5.875% 2010 1,500 1,567
BUILDING PRODUCTS - 0.96%
Nortek, Inc. 0%/10.00% 2011 (1) (2) 12,000 8,730
American Standard Inc.:
7.625% 2010 3,300 3,762
8.25% 2009 1,700 1,972
CONTAINERS & PACKAGING - 0.96%
Jefferson Smurfit Corp. (U.S.):
8.25% 2012 2,000 2,180
7.50% 2013 2,050 2,153
Stone Container Corp.:
9.75% 2011 950 1,055
9.25% 2008 650 722
Owens-Brockway Glass Container Inc.:
8.75% 2012 2,250 2,517
8.875% 2009 1,500 1,652
Norampac Inc. 6.75% 2013 1,975 2,069
Graphic Packaging International, Inc. 8.50% 2011 (1) 1,750 1,925
AUTO COMPONENTS - 0.84%
ArvinMeritor, Inc.:
8.75% 2012 3,475 3,996
6.625% 2007 1,250 1,319
Delphi Trust II, trust preferred securities, 6.197% 2033 (4) 3,000 3,032
TRW Automotive Acquisition Inc. 9.375% 2013 1,250 1,434
Tenneco Automotive Inc., Series B, 11.625% 2009 1,000 1,085
Dura Operating Corp., Series B, 8.625% 2012 750 803
Visteon Corp. 8.25% 2010 650 721
R.J. Tower Corp. 12.00% 2013 125 123
COMMUNICATIONS EQUIPMENT - 0.84%
Motorola, Inc.:
8.00% 2011 4,500 5,331
7.625% 2010 1,500 1,727
5.22% 2097 1,000 756
7.50% 2025 500 545
6.50% 2028 250 248
Nortel Networks Ltd. 6.125% 2006 2,750 2,798
Lucent Technologies Inc. 7.25% 2006 1,000 1,020
DIVERSIFIED FINANCIAL SERVICES - 0.66%
CIT Group Inc.:
6.875% 2009 2,500 2,812
7.375% 2007 1,500 1,695
5.75% 2007 1,500 1,620
5.91% 2005 1,000 1,061
7.75% 2012 750 887
Newcourt Credit Group Inc., Series B, 6.875% 2005 1,700 1,794
MULTILINE RETAIL - 0.65%
J.C. Penney Co., Inc.:
8.25% 2022 (6) 2,295 2,384
7.40% 2037 1,585 1,730
8.00% 2010 1,250 1,439
9.75% 2021 (6) 824 862
7.95% 2017 500 571
7.60% 2007 500 554
7.65% 2016 500 551
7.125% 2023 500 533
Dillard's, Inc. 6.30% 2008 700 711
Saks Inc. 7.375% 2019 400 409
MACHINERY - 0.63%
Terex Corp.:
7.375% 2014 (1) 6,000 6,165
9.25% 2011 1,250 1,381
John Deere Capital Corp. 3.90% 2008 1,500 1,526
Deere & Co. 8.95% 2019 250 309
OFFICE ELECTRONICS - 0.60%
Xerox Corp.:
7.125% 2010 5,000 5,375
7.15% 2004 1,000 1,028
Xerox Capital (Europe) PLC 5.875% 2004 2,500 2,538
CHEMICALS - 0.50%
Lyondell Chemical Co. 9.50% 2008 2,300 2,415
Equistar Chemicals, LP and Equistar Funding Corp. 10.625% 2011 1,500 1,665
Equistar Chemicals, LP 8.75% 2009 750 788
Dow Chemical Co. 6.00% 2012 1,800 1,898
ICI Wilmington, Inc. 5.625% 2013 750 755
THRIFTS & MORTGAGE FINANCE - 0.45%
Washington Mutual, Inc.:
4.00% 2009 3,500 3,510
5.625% 2007 750 809
4.375% 2008 750 772
Washington Mutual Bank, FA 6.875% 2011 1,250 1,420
BankUnited Capital Trust, BankUnited Financial Corp. 10.25% 2026 250 274
AIRLINES - 0.34%
Northwest Airlines, Inc.:
9.875% 2007 2,000 1,830
7.875% 2008 1,000 838
Delta Air Lines, Inc. 7.70% 2005 1,500 1,423
Continental Airlines, Inc. 8.00% 2005 1,000 978
Jet Equipment Trust: (1) (3)
Series 1994-A, 11.79% 2013 250 8
Series 1995-D, 11.44% 2014 300 2
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 0.30%
Fairchild Semiconductor Corp. 10.50% 2009 2,425 2,716
ON Semiconductor Corp. and Semiconductor Components Industries, LLC 12.00% 2010 1,500 1,796
OTHER INDUSTRIES - 0.58%
Electronic Data Systems Corp.:
Series B, 6.00% 2013 (4) 2,000 1,970
7.125% 2009 750 802
BAE SYSTEMS 2001 Asset Trust, Series 2001: (1) (6)
Class B, 7.156% 2011 1,161 1,268
Class G, MBIA insured, 6.664% 2013 992 1,097
NiSource Finance Corp. 7.625% 2005 1,250 1,366
Burns Philp Capital Pty Ltd. 9.50% 2010 (1) 1,000 1,090
Schering-Plough Corp. 5.30% 2013 1,000 1,020
Exodus Communications, Inc. 11.625% 2010 (3) 391 6
MORTGAGE-BACKED OBLIGATIONS (6) - 5.51%
Commercial mortgage-backed obligations:
CS First Boston Mortgage Securities Corp.:
Series 1999-C1, Class A-1, 6.91% 2041 1,736 1,891
Series 1998-C1, Class A-1B, 6.48% 2040 1,250 1,385
Series 2001-CK6, Class A-2, 6.103% 2036 1,230 1,346
Series 2001-CF2, Class A-2, 5.935% 2034 1,000 1,063
Series 2002-CKP1, Class A-1, 4.627% 2035 671 695
Series 1998-C1, Class A-1A, 6.26% 2040 426 445
Bear Stearns Commercial Mortgage Securities Inc.:
Series 2000-WF2, Class A-2, 7.32% 2032 1,520 1,771
Series 2001-TOP2, Class A-2, 6.48% 2035 750 840
Series 2002-HOME, Class A, 1.77% 2013 (1) (4) 735 733
L.A. Arena Funding, LLC, Series 1, Class A, 7.656% 2026 (1) 2,633 2,773
GS Mortgage Securities Corp. II, Series 1998-C1: (4)
Class E, 7.208% 2030 1,250 1,297
Class D, 7.208% 2030 1,000 1,100
Morgan Stanley Capital I, Inc.:
Series 1997-HF1, Class B, 7.33% 2029 (1) 1,000 1,119
Series 1998-HF2, Class A-2, 6.48% 2030 1,000 1,114
Chase Commercial Mortgage Securities Corp.,:
Series 1998-1, Class A-2, 6.56% 2030 1,250 1,390
Series 1998-2, Class A-2, 6.39% 2030 750 834
Merrill Lynch Mortgage Investors, Inc.:
Series 1999-C1, Class A-2, 7.56% 2031 1,500 1,702
Series 1995-C3, Class A-3, 7.117% 2025 (4) 410 419
Morgan Stanley Dean Witter Capital I Trust:
Series 2001-TOP5, Class A-3, 6.16% 2035 1,250 1,375
Series 2002-HQ, Class A-1, 4.59% 2034 378 392
Salomon Brothers Commercial Mortgage Trust, Series 2000-C3, Class A-2, 6.592% 2033 1,250 1,403
First Union National Bank Commercial Mortgage Trust, Series 2002-C1, Class A-1, 5.585% 2034 1,108 1,185
Banc of America Commercial Mortgage Inc., Series 2001-1, Class A-2, 6.503% 2036 1,000 1,116
Salomon Brothers Commercial Mortgage Trust, Series 2000-C1, Class A-1, 7.46% 2008 912 1,019
Nomura Asset Securities Corp., Series 1998-D6, Class A-1A, 6.28% 2030 947 1,011
Chase Manhattan Bank - First Union National Bank, Commercial Mortgage Trust, Series 1999-1,
Class B, 7.619% 2031 750 877
GGP Mall Properties Trust, Series 2001-C1A, Class A-2, 5.007% 2011 (1) 737 775
LB-UBS Commercial Mortgage Trust, Series 2000-C3, Class A-2, 7.95% 2010 500 597
DLJ Commercial Mortgage Corp., Series 1999-CG1, Class A-1B, 6.46% 2032 500 556
First Union-Lehman Brothers-Bank of America Commercial Mortgage Trust, Series 1998-C2,
Class A-1, 6.28% 2035 455 478
Agency pass-throughs:
Government National Mortgage Assn.:
6.00% 2034 7,380 7,645
7.50% 2023 - 2032 1,743 1,877
8.00% 2023 - 2031 1,029 1,121
5.50% 2017 1,112 1,161
7.00% 2023 - 2029 1,001 1,076
6.50% 2025 - 2028 353 374
Fannie Mae:
6.50% 2016 - 2031 3,781 4,021
5.00% 2033 3,975 3,942
6.00% 2013 - 2017 2,149 2,260
5.50% 2016 1,096 1,145
7.00% 2026 163 174
7.50% 2031 119 127
10.00% 2018 38 44
Freddie Mac:
5.00% 2019 2,750 2,801
6.00% 2032 989 1,024
Small Business Administration, Series 2001-20J, 5.76% 2021 709 750
Private label mortgages:
Bear Stearns ARM Trust: (4)
Series 2003-3, Class III-A-1, 5.185% 2033 2,416 2,445
Series 2003-9, Class III-A-2, 5.082% 2034 1,959 1,994
Citigroup Mortgage Loan Trust, Inc., Series 2004-HYB1, Class II-A-1, 4.55% 2014 (4) 2,500 2,526
WaMu Mortgage Pass-Through Certificates Trust, Series 2003-AR5, Class A-7, 4.21% 2033 (4) 1,289 1,292
Private Issue pass-thru:
Wells Fargo Mortgage Backed Securities Trust, Series 2003-12, Class A-1, 4.75% 2018 3,949 3,940
Residential Funding Mortgage Securities I, Inc., Series 2003-S15, Class A-1, 4.50% 2018 3,844 3,803
Agency collaterized mortgage obligations:
Fannie Mae:
Series 2002-W1, Class 2A, 7.50% 2042 612 668
Series 2002-W3, Class A-5, 7.50% 2028 605 661
Series 2001-4, Class GA, 10.198% 2025 (4) 392 450
Series 2001-T10, Class A-1, 7.00% 2041 407 440
Series 2001-50, Class BA, 7.00% 2041 402 429
Series 2001-20, Class C, 11.884% 2031 (4) 266 314
Freddie Mac, Series T-042, Class A-2, 5.50% 2042 657 666
Private issue pass-through obligations:
Structured Asset Securities Corp., Series 1998-RF2, Class A, 8.541% 2027 (1) (4) 245 271
ASSET-BACKED OBLIGATIONS (6) - 2.54%
Continental Airlines, Inc.:
Series 2000-2, Class A-1, 7.487% 2012 2,070 2,113
Series 2000-1, Class A-1, 8.048% 2022 1,320 1,353
Series 1998-3, Class C-2, 7.25% 2005 500 477
Series 1999-1, Class B, 6.795% 2020 485 409
MBNA Credit Card Master Note Trust, Series 2002-1, Class C, 6.80% 2014 2,500 2,722
Conseco Finance Home Loan Trust, Series 1999-G, Class B-2, 10.96% 2029 1,750 963
Conseco Finance Manufactured Housing Contract Trust, Series 2001-3, Class A-2, 5.16% 2033 592 599
Green Tree Financial Corp.:
Series 1995-6, Class B-2, 8.00% 2026 938 282
Series 1996-5, Class B-2, 8.45% 2027 966 203
Series 1997-8, Class B-2, 7.75% 2028 492 98
Conseco Finance Home Equity Loan Trust:
Series 2002-B, Class A-2, 5.31% 2033 284 286
Series 2000-A, Class BV-2, 3.963% 2031 (4) 247 169
Series 2001-C, Class A-3, 5.39% 2025 49 49
Delta Air Lines, Inc.:
Series 2003-1, Class G, AMBAC insured, 1.911% 2008 (4) 1,431 1,440
Series 2002-1, Class C, 7.779% 2013 461 394
Educational Enhancement Funding Corp. Tobacco Settlement Asset-backed Bonds, Series 2002-A, 6.72% 2025 1,698 1,619
Residential Asset Securities Corp. Trust, Series 2003-KS10, Class A-I-2, 2.71% 2026 1,600 1,601
MMCA Auto Owner Trust:
Series 2002-2, Class A-4, 4.30% 2010 1,500 1,518
Series 2002-1, Class A-3, 4.15% 2006 81 81
Consumer Credit Reference Index Securities Program Trust, Series 2002-2A, Class FX, 10.421% 2007 (1) 1,500 1,579
Banco Itau SA, Series 2002, XLCA insured, 1.878% 2007 (1) (4) 1,500 1,493
CitiFinancial Mortgage Securities Inc., Series 2003-3, Class AF-5, 4.553% 2033 1,500 1,479
First Investors Auto Owner Trust, Series 2003-A, Class A, MBIA insured, 2.58% 2011 (1) 1,463 1,474
United Air Lines, Inc.: (3)
Series 2000-1, Class A-2, 7.73% 2012 1,675 1,387
1991 Equipment Trust Certificates, Series A, 10.11% 2006 386 85
Hyundai Auto Receivables Trust 2002-A, Class B, 3.54% 2009 (1) 1,250 1,271
AmeriCredit Automobile Receivables Trust, Series 2002-D, Class A-3, FSA insured, 2.72% 2007 1,250 1,262
Chase Funding Trust, Series 2003-5, Class IA-2, 2.451% 2018 1,250 1,246
Pass-through Amortizing Credit Card Trusts, Series 2002-1A: (1)
Class A-3FX, 6.298% 2012 852 863
Class A-2FX, 4.685% 2012 319 322
Southwest Airlines Co., Series 2001-1, Class B, 6.126% 2006 1,000 1,065
Franklin Auto Trust, Series 2002-1, Class A-4, MBIA insured, 4.51% 2010 1,000 1,043
Household Automotive Trust, Series 2001-3, Class A-4, 4.37% 2008 1,000 1,032
CPS Auto Receivables Trust, Series 2002-B, Class A-2, XLCA insured, 3.50% 2009 (1) 953 971
PF Export Receivables Master Trust, Series 2001-B, MBIA insured, 6.60% 2011 (1) 750 815
Nordstrom Credit Card Master Note Trust, Series 2002-1A, Class B, 1.863% 2010 (1) (4) 750 755
Metris Master Trust, Series 2001-1, Class A, 1.369% 2007 (4) 750 750
ACLC Business Loan Receivables Trust, Series 2002-1, Class A-1, 5.408% 2022 (1) 614 621
Tobacco Settlement Financing Corp., Tobacco Settlement Asset-backed Bonds, Series 2001-A, 6.36% 2025 603 590
America West Airlines, Inc., Series 2000-1, Class G, AMBAC insured, 8.057% 2022 449 489
Northwest Airlines, Inc., Series 1999-3, Class G, 7.935% 2020 449 476
Residential Funding Mortgage Securities II, Inc., Series 2001-HS2, Class A-4, AMBAC insured,
5.135% 2016 (4) 352 356
Jet Equipment Trust, Series 1995-A, Class C, 10.69% 2015 (1) (3) 250 25
U.S. TREASURY BONDS & NOTES - 13.08%
3.00% 2007 34,000 34,292
5.75% 2005 31,000 33,281
6.75% 2005 20,000 21,434
8.875% 2017 11,750 16,652
6.25% 2007 11,500 12,824
7.50% 2016 9,000 11,462
5.625% 2008 10,000 11,078
6.00% 2004-2009 19,750 21,349
3.25% 2007 7,000 7,141
3.375% 2007 (10) 4,963 5,376
4.75% 2008 4,000 4,282
3.625% 2008 (10) 3,435 3,800
6.875% 2025 3,000 3,671
7.875% 2021 2,750 3,660
5.00% 2011 2,000 2,148
10.375% 2012 (7) 1,000 1,277
7.25% 2004 1,000 1,038
10.375% 2009 500 539
FEDERAL AGENCY OBLIGATIONS - 1.99%
Freddie Mac:
5.25% 2006 4,750 5,051
4.75% 2012 5,000 4,936
5.00% 2004 4,750 4,817
4.25% 2005 2,750 2,854
Fannie Mae:
7.00% 2005 3,500 3,780
6.00% 2005 3,250 3,500
Federal Home Loan Bank 4.875% 2004 4,655 4,705
NON-U.S. GOVERNMENT OBLIGATIONS - 1.56%
United Mexican States Government :
Global 8.625% 2008 2,500 2,950
Global 4.625% 2008 2,735 2,776
9.875% 2010 1,000 1,265
Eurobonds 11.375% 2016 750 1,065
Global 10.375% 2009 500 635
Deutschland Republic 5.25% 2008 Euro 5,650 7,589
Panama (Republic of):
Global 9.375% 2023 $1,833 2,007
Global 9.375% 2029 1,000 1,130
Interest Reduction Bond 1.938% 2014 (4) 103 97
Canadian Government 4.25% 2026 (10) C $1,168 1,132
Brazil (Federal Republic of):
14.50% 2009 $500 656
10.25% 2013 375 423
Dominican Republic 9.04% 2013 (1) 1,000 765
State of Qatar 9.75% 2030 (1) 500 708
MUNICIPAL OBLIGATIONS - 0.91%
Tobacco Settlement Financing Corp., Tobacco Settlement Asset-backed Bonds:
Series 2003, 4.375% 2019 1,500 1,422
Series 2002, 5.75% 2032 1,500 1,379
Series 2003, 6.125% 2024 750 718
Golden State Tobacco Securitization Corp., Tobacco Settlement Asset-backed Bonds, Series 2003-A1:
5.00% 2021 2,000 1,994
6.25% 2033 1,500 1,437
Badger Tobacco Asset Securitization Corp., Tobacco Settlement Asset-backed Bonds, 6.125% 2027 3,450 3,378
Eastern Municipal Power Agency, Power System Rev. Ref. Bonds, Federally Taxable, Series 2003-E,
5.55% 2014 1,625 1,587
State of California Dept. of Water Resources, Power Supply Revenue Bonds, Series 2002-E, 4.33% 2006 1,500 1,542
Total bonds & notes (cost: $1,195,954,000) 1,261,858
SHARES OR
PRINCIPAL
AMOUNT
STOCKS (common & preferred) - 2.34%
COMMERCIAL BANKS - 1.40%
Fuji JGB Investment LLC, Series A, 9.87% noncumulative preferred (undated) (Japan) (1) $6,430,000 7,276
IBJ Preferred Capital Co. LLC, Series A, 8.79% noncumulative preferred (undated) (Japan)(1) (4) $3,575,000 3,915
BNP U.S. Funding LLC, Series A, 7.738% noncumulative preferred (undated) (France) (1) (4) $1,175,000 1,344
BNP Paribas Capital Trust 9.003% noncumulative trust preferred (undated) (France) (1) $850,000 1,066
HSBC Capital Funding LP, Series 1, 9.547% noncumulative step-up perpetual preferred (undated)
(United Kingdom) (1) ($1,500,000 1,909
Tokai Preferred Capital Co. LLC, Series A, 9.98%/11.091% noncumulative preferred
(undated) (Japan) (1) (4) $1,500,000 1,713
SB Treasury Co. LLC, Series A, 9.40%/10.925% noncumulative preferred (undated) (Japan) (1) (4) $750,000 865
DBS Capital Funding Corp., Series A, 7.657% noncumulative guaranteed preference shares
(undated) (Singapore) (1) (4) $750,000 865
First Republic Capital Corp., Series A, 10.50% preferred (1) 750 788
BCI U.S. Funding Trust I 8.01% noncumulative preferred (undated) (1) (4) $500,000 576
NB Capital Corp., Series A, 8.35% exchangeable preferred depositary shares 20,000 562
WIRELESS TELECOMMUNICATION SERVICES - 0.34%
SpectraSite, Inc. (1) (11) (12) 64,755 1,913
Dobson Communications Corp. 13.00% senior exchangeable preferred 2009 (5) 1,751 1,874
Nextel Communications, Inc., Class A (1) (11) 26,609 747
American Tower Corp., warrants, expire 2008 (1) (11) 3,000 390
OTHER INDUSTRIES - 0.60%
ING Capital Funding Trust III 8.439% noncumulative preferred (undated) (Netherlands) (4) $1,500,000 1,819
Swire Pacific Capital Ltd. 8.84% cumulative guaranteed perpetual capital securities
(Hong Kong) (1) 65,000 1,723
ACE Ltd., Series C, preferred depositary shares 60,000 1,654
Ford Motor Co. Capital Trust II 6.50% cumulative convertible trust preferred 2032 24,400 1,363
NTELOS, Inc. (1) (11) (12) 42,364 853
ZiLOG, Inc. (11) 95,000 494
ZiLOG, Inc. - MOD III Inc., units (11) (12) 95 51
ProLogis, Series D, 7.92% preferred 18,400 461
DigitalGlobe, Inc. (1) (11) (12) 306,464 306
Adelphia Communications Corp., Series B, 13.00% preferred 2009 (11) 5,000 76
Clarent Hospital Corp. (11) 16,114 26
GT Group Telecom Inc., warrants, expire 2010 (Canada) (1) (11) (12) 1,000 0
MISCELLANEOUS - 0.00%
Other stocks in initial period of acquisition 11
Total stocks (cost: $29,603,000) 34,640
PRINCIPAL
AMOUNT
CONVERTIBLE DEBENTURES - 1.56% (000)
ELECTRONIC EQUIPMENT & INSTRUMENTS - 0.47%
Solectron Corp. 0% LYON 2020 $9,150 5,239
SCI Systems, Inc. 3.00% 2007 1,000 950
Celestica Inc. 0% 2020 (Canada) 1,700 907
INTERNET & CATALOG RETAIL - 0.41%
Amazon.com, Inc. 6.875% PEACS 2010 Euro 4,300 5,391
Amazon.com, Inc. 4.75% 2009 $756 768
OTHER INDUSTRIES - 0.68%
Providian Financial Corp. 3.25% 2005 3,000 2,857
Hellenic Exchangeable Finance SCA 2.00% 2005 (Greece) (1) Euro 1,750 2,389
American Tower Corp. 5.00% 2010 $2,000 1,915
Conexant Systems, Inc. 4.00% 2007 1,500 1,436
Juniper Networks, Inc. 4.75% 2007 655 671
NTELOS, Inc. 9.00% 2013 (1) (12) 495 504
TriQuint Semiconductor, Inc. 4.00% 2007 250 241
Cypress Semiconductor Corp. 3.75% 2005 163 163
Total convertible denbentures (cost: $17,966,000) 23,431
Total equity securities (cost: $47,570,000) 58,071
SHORT-TERM SECURITIES - 10.98%
Corporate short-term notes - 7.84%
Corporate Asset Funding Co. Inc., 1.07%-1.085% due 1/14-2/17/04 (1) (7) $ 33,900 $ 33,873
BellSouth Corp. 1.01% due 1/6/04 (1) 17,900 17,897
Coca-Cola Co. 1.00%-1.03% due 1/13-3/5/04 17,000 16,972
Preferred Receivables Funding Corp. 1.09% due 1/6-2/3/04 (1) 14,800 14,794
Medtronic Inc. 0.95%-1.03% due 1/7-1/21/04 (1) 11,600 11,595
Triple-A One Funding Corp. 1.09% due 1/7/04 (1) 7,510 7,508
IBM Credit Corp. 1.02% due 1/14/04 5,000 4,998
Three Pillars Funding Corp. 1.10% due 1/12/04 (1) 4,600 4,598
Clorox Co. 1.03% due 1/5/04 (7) 3,400 3,399
Merck & Co. Inc. 1.01% due 1/8/04 1,300 1,300
U.S. TREASURIES - 2.93%
U.S. Treasury Bills 0.795%-0.89% due 1/2-3/11/04 (7) 43,800 43,768
OTHER - 0.21%
Student Loan Marketing Assn. 0.99% due 1/6/04 3,200 3,199
Total short-term securities (cost: $163,902,000) 163,901
Total investment securities (cost: $1,407,425,000) 1,483,830
Other assets less liabilities 9,408
Net assets $1,493,238
(1) Purchased in a private placement transaction; resale may be limited to
qualified institutional buyers; resale to the public may require
registration.
(2) Step bond; coupon rate will increase at a later date.
(3) Company not making scheduled interest payments; bankruptcy proceedings
pending.
(4) Coupon rate may change periodically.
(5) Payment in kind; the issuer has the option of paying additional securities
in lieu of cash.
(6) Pass-through securities backed by a pool of mortgages or other loans on
which principal payments are periodically made. Therefore, the effective
maturities are shorter than the stated maturities.
(7) This security, or a portion of this security, has been segregated to cover
funding requirements on investment transactions settling in the future.
(8) This unit also contains 52,000 par of Drax Group Ltd., Class A-3, 8.5666%
2020 and 52,000 shares of Drax Group Ltd. common stock.
(9) Company did not make principal payment upon scheduled maturity date;
reorganization pending.
(10) Index-linked bond whose principal amount moves with a government retail
price index.
(11) Security did not produce income during the last 12 months.
(12) Valued under fair value procedures adopted by authority of the Board of
Trustees.
See Notes to Financial Statements
HIGH INCOME BOND FUND Investment portfolio, December 31, 2003
[Enlarge/Download Table]
PRINCIPAL MARKET
AMOUNT VALUE
BONDS & NOTES - 74.87% (000) (000)
MEDIA - 10.20%
Young Broadcasting Inc.:
10.00% 2011 $ 5,843 $ 6,325
Series B, 9.00% 2006 1,639 1,645
Series B, 8.75% 2007 85 88
Emmis Communications Corp. 0%/12.50% 2011 (1) 6,963 6,484
Hollinger Participation Trust 12.125% 2010 (2) (3) (4) 2,556 3,048
CanWest Media Inc., Series B:
7.625% 2013 1,650 1,815
10.625% 2011 500 574
Quebecor Media Inc. 11.125% 2011 2,300 2,674
Sun Media Corp. 7.625% 2013 2,000 2,150
FrontierVision 11.00% 2006 (5) 2,500 2,688
Century Communications Corp. 0% 2003 (6) 1,000 890
Adelphia Communications Corp. 10.25% 2011 (5) 450 418
Cinemark USA, Inc. 9.00% 2013 3,525 3,983
RH Donnelley Inc.: (2)
10.875% 2012 2,125 2,531
8.875% 2010 1,000 1,130
TransWestern Publishing Co. LLC, Series F, 9.625% 2007 3,250 3,380
Telenet Communications NV 9.00% 2013 (2) Euro 12,089
Telenet Group Holding NV 0%/11.50% 2014 (1) (2) $ 1,950 1,238
CCO Holdings, LLC and CCO Holdings Capital Corp. 8.75% 2013 (2) 1,475 1,508
Charter Communications Holdings, LLC:
0%/13.50% 2011 (1) 1,050 787
Charter Communications Holdings Capital Corp. 0%/12.125% 2012 (1) 1,000 620
10.25% 2010 (2) 375 396
Dex Media, Inc.: (2)
8.00% 2013 2,200 2,321
0%/9.00% 2013 (1) 250 177
Dex Media East LLC, Dex Media East Finance Co., Series B, 9.875% 2009 500 575
Radio One, Inc., Series B, 8.875% 2011 2,500 2,769
Antenna TV SA 9.00% 2007 2,750 2,767
Liberty Media Corp.:
8.25% 2030 1,225 1,471
8.50% 2029 500 608
5.70% 2013 500 507
Regal Cinemas Corp., Series B, 9.375% 2012 2,000 2,270
AMC Entertainment Inc.:
9.50% 2011 1,000 1,055
9.50% 2009 750 776
9.875% 2012 250 279
Carmike Cinemas, Inc., Series B, 10.375% 2009 1,850 1,952
DIRECTV Holdings LLC and DIRECTV Financing Co., Inc. 8.375% 2013 1,500 1,747
EchoStar DBS Corp. 9.125% 2009 1,200 1,348
Univision Communications Inc. 7.85% 2011 1,000 1,191
Chancellor Media Corp. of Los Angeles 8.00% 2008 1,000 1,162
Videotron Ltee 6.875% 2014 (2) 1,000 1,037
LBI Media, Inc. 10.125% 2012 750 855
Gray Communications Systems, Inc. 9.25% 2011 750 840
RBS Participacoes SA 11.00% 2007 (2) 1,000 755
NextMedia Operating, Inc. 10.75% 2011 500 570
AOL Time Warner Inc. 6.875% 2012 500 564
Globo Comunicacoes e Participacoes Ltda., Series B: (5)
10.50% 2006 (2) 630 283
10.50% 2006 360 162
WIRELESS TELECOMMUNICATION SERVICES - 8.64%
American Tower Corp.:
9.375% 2009 11,625 12,439
7.25% 2011 (2) 1,850 1,892
Nextel Communications, Inc.:
7.375% 2015 6,400 6,912
6.875% 2013 2,500 2,656
Dobson Communications Corp. 8.875% 2013 (2) 5,680 5,779
American Cellular Corp. 10.00% 2011 (2) 2,750 3,080
Crown Castle International Corp.:
Series B, 7.50% 2013 (2) 3,125 3,156
7.50% 2013 (2) 2,400 2,424
10.75% 2011 850 960
9.375% 2011 750 836
9.00% 2011 500 536
Triton PCS, Inc.:
8.50% 2013 2,200 2,376
9.375% 2011 2,140 2,193
8.75% 2011 1,375 1,361
Nextel Partners, Inc.:
8.125% 2011 2,050 2,193
11.00% 2010 1,773 1,968
12.50% 2009 684 797
11.00% 2010 500 555
Western Wireless Corp. 9.25% 2013 3,550 3,763
Centennial Cellular Corp. 10.75% 2008 1,625 1,722
Centennial Communications Corp. and Centennial Cellular Operating Co. LLC 10.125% 2013 1,400 1,543
AT&T Wireless Services, Inc. 8.125% 2012 800 943
TeleCorp PCS, Inc. 10.625% 2010 650 760
Cricket Communications, Inc.: (3) (5)
6.188% 2007 2,090 1,338
6.375% 2007 560 358
Millicom International Cellular SA 10.00% 2013 (2) 500 530
AirGate PCS, Inc. 0%/13.50% 2009 (1) 50 35
HOTELS, RESTAURANTS & LEISURE - 4.78%
Six Flags, Inc.:
9.50% 2009 1,875 1,973
9.75% 2013 1,850 1,956
9.625% 2014 (2) 1,500 1,575
8.875% 2010 250 258
Premier Parks Inc. 9.75% 2007 1,350 1,416
MGM Mirage, Inc.:
8.50% 2010 2,000 2,305
6.00% 2009 500 516
Mirage Resorts, Inc.:
6.75% 2008 500 536
6.75% 2007 500 535
Horseshoe Gaming Holding Corp., Series B, 8.625% 2009 3,375 3,582
Royal Caribbean Cruises Ltd.:
8.00% 2010 1,250 1,369
7.00% 2007 600 639
6.75% 2008 500 523
8.75% 2011 250 284
Mohegan Tribal Gaming Authority:
8.375% 2011 1,000 1,095
6.375% 2009 860 892
8.125% 2006 500 541
Buffets, Inc. 11.25% 2010 1,900 2,047
Station Casinos, Inc. 8.375% 2008 1,875 2,018
Circus and Eldorado Joint Venture and Silver Legacy Resort Casino 10.125% 2012 1,650 1,720
Boyd Gaming Corp.:
7.75% 2012 1,000 1,075
8.75% 2012 500 551
IT&T Corp. 6.75% 2005 1,075 1,134
Perkins Family Restaurants, LP, Perkins Finance Corp., Series B, 10.125% 2007 850 871
Hilton Hotels Corp.:
7.20% 2009 560 616
7.625% 2008 190 212
Sbarro, Inc. 11.00% 2009 1,000 795
Extended Stay America, Inc. 9.875% 2011 625 703
International Game Technology 8.375% 2009 500 599
YUM Brands, Inc. 7.70% 2012 500 578
Florida Panthers Holdings, Inc. 9.875% 2009 500 535
Eldorado Resorts LLC 10.50% 2006 440 447
Argosy Gaming Co. 9.00% 2011 400 445
Mandalay Resort Group, Series B, 10.25% 2007 250 290
Harrah's Operating Co., Inc. 7.125% 2007 250 279
DIVERSIFIED TELECOMMUNICATION SERVICES - 3.91%
Qwest Services Corp.: (2)
13.00% 2007 3,458 4,080
13.50% 2010 3,312 4,041
Qwest Capital Funding, Inc. 7.75% 2006 750 780
Sprint Capital Corp.:
7.90% 2005 2,500 2,664
6.00% 2007 1,075 1,149
6.90% 2019 1,000 1,024
8.375% 2012 500 585
7.125% 2006 230 249
7.625% 2011 135 152
British Telecommunications PLC 7.125% 2011 (3) Euro 3,500 5,056
Cincinnati Bell Inc. 7.25% 2013 (2) $ 3,100 3,270
France Telecom 9.00% 2011 (3) 1,875 2,256
Comcast UK Cable Partners Ltd. 11.20% 2007 1,250 1,269
Telewest Communications PLC: (5)
9.875% 2010 825 516
11.25% 2008 375 243
FairPoint Communications, Inc. 11.875% 2010 550 643
PCCW-HKT Capital Ltd. 7.75% 2011 (2) 500 588
GT Group Telecom Inc. 0%/13.25% 2010 (1) (5) 4,000 8
VoiceStream Wireless Corp. 10.375% 2009 0 -
METALS & MINING - 3.22%
Freeport-McMoRan Copper & Gold Inc. 10.125% 2010 4,830 5,591
Earle M. Jorgensen Co. 9.75% 2012 2,750 3,066
United States Steel Corp. 9.75% 2010 2,500 2,825
Oregon Steel Mills, Inc. 10.00% 2009 2,700 2,383
AK Steel Corp.:
7.75% 2012 1,750 1,505
7.875% 2009 750 662
Luscar Coal Ltd. 9.75% 2011 1,900 2,161
Steel Dynamics, Inc. 9.50% 2009 1,750 1,951
Gerdau Ameristeel Corp. 10.375% 2011 (2) 1,750 1,942
Kaiser Aluminum & Chemical Corp. 12.75% 2003 (6) 4,100 902
Allegheny Technologies, Inc. 8.375% 2011 500 492
MULTI-UTILITIES & UNREGULATED POWER - 2.91%
AES Corp.;
8.75% 2013 (2) 4,500 5,051
10.00% 2005 (2) (7) 1,167 1,193
9.50% 2009 578 644
9.375% 2010 347 386
Dynegy Holdings Inc.: (2)
10.125% 2013 2,775 3,205
9.875% 2010 2,000 2,260
Northwest Pipeline Corporation 8.125% 2010 1,200 1,338
Transcontinental Gas Pipe Line Corp. 7.25% 2026 1,200 1,236
Williams Companies, Inc. 8.625% 2010 500 564
Nevada Power Co. 9.00% 2013 (2) 2,225 2,473
Drax Group Ltd.: (2) (3)
Class A-1, 6.066% 2015 Lira 404 672
Class B, 5.566% 2025 341 505
Drax Group Ltd., Class A-2, unit 7.566% 2015 (2) (3) (8) 464 869
Duke Capital Corp. 7.50% 2009 $ 750 859
OIL & GAS - 2.80%
Premcor Refining Group Inc.:
7.75% 2012 (2) 3,450 3,571
6.75% 2011 (2) 1,425 1,450
9.25% 2010 1,200 1,350
9.50% 2013 425 487
7.50% 2015 175 180
Port Arthur Finance Corp. 12.50% 2009 (7) 278 331
Petrozuata Finance, Inc., Series B: (7)
8.22% 2017 (2) 3,505 3,242
8.22% 2017 350 324
Western Oil Sands Inc. 8.375% 2012 2,950 3,374
General Maritime Corp. 10.00% 2013 2,175 2,466
Pogo Producing Co. 10.375% 2009 1,250 1,331
Newfield Exploration Co.:
7.625% 2011 500 560
8.375% 2012 250 281
XTO Energy Inc. 6.25% 2013 750 793
Teekay Shipping Corp. 8.875% 2011 375 427
Overseas Shipholding Group, Inc. 8.25% 2013 250 269
ELECTRONIC EQUIPMENT & INSTRUMENTS - 2.55%
Solectron Corp.:
9.625% 2009 6,135 6,871
Series B, 7.375% 2006 700 728
Sanmina-SCI Corp. 10.375% 2010 5,500 6,462
Viasystems, Inc. 10.50% 2011 (2) 2,250 2,413
Flextronics International Ltd. 9.75% 2010 Euro 875 1,208
Jabil Circuit, Inc. 5.875% 2010 $ 875 914
HEALTH CARE PROVIDERS & SERVICES - 2.51%
Concentra Operating Corp.:
Series A, 13.00% 2009 1,630 1,826
9.50% 2010 1,375 1,492
9.50% 2010 (2) 1,000 1,085
Quintiles Transnational Corp. 10.00% 2013 (2) 4,000 4,340
Tenet Healthcare Corp.:
6.375% 2011 2,875 2,774
7.375% 2013 725 732
5.00% 2007 500 486
Columbia/HCA Healthcare Corp.:
6.91% 2005 1,875 1,976
7.00% 2007 250 274
HCA Inc. 6.25% 2013 1,000 1,025
Universal Hospital Services, Inc. 10.125% 2011 (2) 1,475 1,556
Triad Hospitals, Inc. 7.00% 2013 (2) 750 759
CONTAINERS & PACKAGING - 2.51%
Owens-Brockway Glass Container Inc.:
7.75% 2011 2,425 2,616
8.75% 2012 1,400 1,566
8.875% 2009 1,075 1,184
Owens-Illinois, Inc.:
7.50% 2010 1,275 1,315
8.10% 2007 250 265
Jefferson Smurfit Corp. (U.S.) 7.50% 2013 2,600 2,730
Stone Container Corp.:
9.25% 2008 1,000 1,110
9.75% 2011 900 999
Longview Fibre Co. 10.00% 2009 2,000 2,205
Graphic Packaging International, Inc.: (2)
8.50% 2011 1,000 1,100
9.50% 2013 750 832
Tekni-Plex, Inc., Series B, 12.75% 2010 1,000 1,095
Norampac Inc. 6.75% 2013 750 786
Smurfit Capital Funding PLC 6.75% 2005 500 520
FOOD PRODUCTS - 2.34%
Burns Philp Capital Pty Ltd.: (2)
9.75% 2012 4,775 5,133
10.75% 2011 1,500 1,642
9.50% 2010 1,250 1,363
Fage Dairy Industry SA 9.00% 2007 6,000 6,158
Del Monte Corp., Series B, 8.625% 2012 2,150 2,365
Dole Food Co., Inc. 8.875% 2011 375 413
COMMERCIAL SERVICES & SUPPLIES - 2.14%
Allied Waste North America, Inc.:
10.00% 2009 7,625 8,273
Series B, 8.875% 2008 1,250 1,406
6.50% 2010 (2) 1,000 1,030
8.50% 2008 500 559
United Rentals (North America), Inc.:
Series B, 10.75% 2008 1,000 1,130
7.75% 2013 (2) 500 513
Cendant Corp. 6.25% 2008 1,000 1,092
KinderCare Learning Centers, Inc., Series B, 9.50% 2009 850 867
Stericycle, Inc., Series B, 12.375% 2009 650 751
PAPER & FOREST PRODUCTS - 2.06%
Georgia-Pacific Corp.:
8.125% 2011 2,750 3,039
9.50% 2022 2,450 2,560
7.50% 2006 250 266
Fort James Corp. 6.625% 2004 1,000 1,025
Abitibi-Consolidated Inc.:
8.55% 2010 1,000 1,115
7.875% 2009 1,000 1,083
Abitibi-Consolidated Co. of Canada:
5.25% 2008 875 861
6.00% 2013 750 721
Potlatch Corp. 10.00% 2011 1,904 2,132
Kappa Beheer BV 10.625% 2009 Euro 1,000 1,349
Indah Kiat International Finance Co. BV 11.875% 2002 (6) $ 2,000 870
MULTILINE RETAIL - 1.75%
J.C. Penney Co., Inc.:
7.625% 2097 2,300 2,372
6.875% 2015 2,000 2,113
7.65% 2016 1,400 1,542
8.25% 2022 (7) 765 795
9.00% 2012 505 607
8.00% 2010 500 576
7.95% 2017 500 571
7.375% 2008 250 279
Kmart Corp. Pass Through Trust, Series 1995 K-2, 9.78% 2020 (7) (9) 1,731 797
DR Securitized Lease Trust, Series 1994 K-2, 9.35% 2019 (7) (9) 1,384 776
Saks Inc.:
7.375% 2019 1,090 1,115
9.875% 2011 250 299
Dillard's, Inc. 6.30% 2008 700 711
Dillard Department Stores, Inc. 7.875% 2023 250 256
FOOD & STAPLES RETAILING - 1.74%
Delhaize America, Inc.:
9.00% 2031 2,000 2,440
7.375% 2006 1,450 1,566
8.125% 2011 625 722
Ahold Finance U.S.A., Inc.:
6.25% 2009 2,215 2,232
8.25% 2010 1,010 1,106
6.50% 2017 Lira 100 162
Ahold Lease Pass Through Trust: (7)
Series 2001-A-2, 8.62% 2025 $ 500 503
Series 2001-A-1, 7.82% 2020 189 191
Pathmark Stores, Inc.:
8.75% 2012 1,250 1,313
8.75% 2012 (2) 500 525
Rite Aid Corp. 6.875% 2013 1,000 965
Winn-Dixie Stores, Inc. 8.875% 2008 800 816
Great Atlantic & Pacific Tea Co., Inc. 9.125% 2011 200 184
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 1.73%
ON Semiconductor Corp.:
13.00% 2008 (3) 2,475 2,890
Semiconductor Components Industries, LLC 12.00% 2010 1,750 2,096
Amkor Technology, Inc.:
7.75% 2013 2,060 2,220
9.25% 2008 1,810 2,063
Micron Technology, Inc. 6.50% 2005 (2) 2,000 1,990
Fairchild Semiconductor Corp. 10.50% 2009 1,200 1,344
HOUSEHOLD DURABLES - 1.53%
D.R. Horton, Inc.:
8.00% 2009 1,750 1,986
7.875% 2011 200 228
6.875% 2013 50 54
Schuler Homes, Inc. 10.50% 2011 250 291
Boyds Collection, Ltd., Series B, 9.00% 2008 2,389 2,425
Salton/Maxim Housewares, Inc. 10.75% 2005 1,025 1,051
Salton, Inc. 12.25% 2008 250 268
William Lyon Homes, Inc. 10.75% 2013 1,000 1,143
Beazer Homes USA, Inc. 8.375% 2012 1,000 1,108
WCI Communities, Inc.:
10.625% 2011 850 965
9.125% 2012 125 138
Ryland Group, Inc.:
5.375% 2008 500 518
9.75% 2010 250 285
K. Hovnanian Enterprises, Inc. 10.50% 2007 625 732
ELECTRIC UTILITIES - 1.53%
Edison Mission Energy:
7.73% 2009 3,075 2,944
10.00% 2008 1,500 1,564
9.875% 2011 1,125 1,176
Edison International 6.875% 2004 2,750 2,839
Mission Energy Holding Co. 13.50% 2008 1,925 1,896
Israel Electric Corp. Ltd. 7.75% 2027 (2) 500 522
Dominion Resources, Inc., Series 2002-C, 5.70% 2012 (3) 225 238
AUTO COMPONENTS - 1.52%
Stoneridge, Inc. 11.50% 2012 2,250 2,666
Lear Corp., Series B, 8.11% 2009 2,000 2,363
Visteon Corp. 8.25% 2010 2,000 2,220
Dana Corp. 10.125% 2010 950 1,112
TRW Automotive Acquisition Inc.:
9.375% 2013 725 832
11.00% 2013 125 148
Tenneco Automotive Inc., Series B, 11.625% 2009 750 814
R.J. Tower Corp. 12.00% 2013 375 369
Dura Operating Corp., Series B, 8.625% 2012 250 268
ArvinMeritor, Inc. 6.625% 2007 250 264
Key Plastics Holdings, Inc., Series B, 10.25% 2007 (5) (10) 3,000 38
CHEMICALS - 1.39%
Lyondell Chemical Co.:
10.50% 2013 2,600 2,847
9.50% 2008 2,000 2,100
11.125% 2012 1,000 1,115
Series A, 9.625% 2007 500 533
Series B, 9.875% 2007 250 265
Nalco Co. 7.75% 2011 (2) 3,030 3,257
MACHINERY - 1.25%
Terex Corp.:
9.25% 2011 1,875 2,072
7.375% 2014 (2) 2,000 2,055
Class B, 10.375% 2011 1,760 1,980
AGCO Corp. 9.50% 2008 1,750 1,925
NMHG Holding Co. 10.00% 2009 1,000 1,110
CONSUMER FINANCE - 1.13%
Capital One Financial Corp. 8.75% 2007 3,430 3,866
Capital One Bank 6.50% 2013 1,000 1,050
Providian Financial Corp., Series A, 9.525% 2027 (2) 3,500 3,299
AUTOMOBILES - 1.07%
General Motors Acceptance Corp.:
6.875% 2011 2,000 2,157
6.125% 2007 1,500 1,612
General Motors Corp. 7.20% 2011 250 275
Ford Motor Credit Co.:
7.875% 2010 2,375 2,657
7.375% 2009 1,000 1,099
OFFICE ELECTRONICS - 0.90%
Xerox Corp.:
7.125% 2010 3,200 3,440
7.625% 2013 1,000 1,085
Xerox Capital (Europe) PLC 5.875% 2004 2,000 2,030
COMMUNICATIONS EQUIPMENT - 0.88%
Motorola, Inc.:
8.00% 2011 850 1,007
7.625% 2010 500 576
6.50% 2028 500 497
5.22% 2097 600 453
7.50% 2025 150 163
Lucent Technologies Inc. 7.25% 2006 2,000 2,040
Nortel Networks Ltd. 6.125% 2006 1,625 1,653
BUILDING PRODUCTS - 0.73%
Nortek, Inc. 0%/10.00% 2011 (1) (2) 3,000 2,183
American Standard Inc.:
8.25% 2009 1,250 1,450
7.625% 2010 500 570
Koppers Inc. 9.875% 2013 (2) 1,000 1,108
SPECIALTY RETAIL - 0.65%
Office Depot, Inc. 10.00% 2008 1,000 1,195
Boise Cascade Corp. 6.50% 2010 1,000 1,045
PETCO Animal Supplies, Inc. 10.75% 2011 750 881
Gap, Inc.:
6.90% 2007 655 726
10.55% 2008 (3) 95 118
Toys "R" Us, Inc. 7.875% 2013 750 808
AIRLINES - 0.59%
Northwest Airlines, Inc.:
9.875% 2007 1,500 1,373
7.875% 2008 665 557
8.52% 2004 500 505
8.875% 2006 500 456
Continental Airlines, Inc. 8.00% 2005 1,000 978
Delta Air Lines, Inc. 7.70% 2005 500 474
REAL ESTATE - 0.58%
Host Marriott, LP:
Series J, 7.125% 2013 (2) 2,000 2,050
Series E, 8.375% 2006 150 161
Series I, 9.50% 2007 100 112
FelCor Suites LP 7.375% 2004 1,000 1,029
FelCor Lodging LP 9.00% 2011 815 888
COMMERCIAL BANKS - 0.48%
UFJ Finance Aruba AEC 6.75% 2013 2,200 2,350
Bayer Hypo-Vereinsbank 8.741% 2031 (2) 555 657
Chevy Chase Bank, FSB 6.875% 2013 500 515
INDUSTRIAL CONGLOMERATES - 0.47%
Tyco International Group SA:
6.00% 2013 (2) 1,500 1,553
6.125% 2008 1,250 1,344
6.125% 2009 500 538
ROAD & RAIL - 0.40%
TFM, SA de CV:
12.50% 2012 720 824
10.25% 2007 365 383
11.75% 2009 45 46
RailAmerica Transportation Corp. 12.875% 2010 750 875
Kansas City Southern Railway Co.:
7.50% 2009 615 633
9.50% 2008 135 151
IT SERVICES - 0.30%
Iron Mountain Inc.:
7.75% 2015 800 842
6.625% 2016 500 489
Electronic Data Systems Corp., Series B, 6.00% 2013 (3) 870 857
CONSTRUCTION & ENGINEERING - 0.27%
Technical Olympic USA, Inc.:
10.375% 2012 1,250 1,406
9.00% 2010 500 540
BEVERAGES - 0.26%
Constellation Brands, Inc. 8.125% 2012 1,750 1,925
INSURANCE - 0.26%
ACE Capital Trust II 9.70% 2030 750 981
Prudential Holdings, LLC, Series C, 8.695% 2023 (2) (7) 750 929
OTHER INDUSTRIES - 0.22%
Sovereign Capital Trust I 9.00% 2027 500 552
Bombardier Capital Inc., Series A, 6.125% 2006 (2) 500 534
Warnaco Inc. 8.875% 2013 (2) 500 518
ASSET-BACKED OBLIGATIONS (7) - 0.54%
Consumer Credit Reference Index Securities Program Trust, Series 2002-2A, Class FX, 10.421% 2007 (2) 2,750 2,895
Continental Airlines, Inc., Series 2000-1, Class A-1, 8.048% 2022 564 578
USAir, Inc. Pass Through Trust, Series 1993-A3, 10.375% 2013 (5) 1,418 454
U.S. TREASURY BONDS & NOTES - 0.70%
7.50% 2016 4,000 5,094
NON-U.S. GOVERNMENT OBLIGATIONS - 1.03%
Brazil (Federal Republic of):
10.25% 2013 1,500 1,691
14.50% 2009 500 656
11.00% 2040 250 276
United Mexican States Government:
Eurobonds 11.375% 2016 1,015 1,441
Global 8.625% 2008 500 590
Panama (Republic of):
Interest Reduction Bond 1.938% 2014 (3) 1,234 1,167
Global 9.375% 2029 250 283
Bulgaria (Republic of) 8.25% 2015 372 441
Dominican Republic 9.04% 2013 (2) 500 383
Turkey (Republic of) 12.375% 2009 250 321
Colombia (Republic of) Global 10.75% 2013 250 286
MUNICIPAL OBLIGATIONS - 0.40%
Badger Tobacco Asset Securitization Corp., Tobacco Settlement Asset-backed Bonds,
6.125% 2027 (expected maturity 2014) 1,500 1,469
Tobacco Settlement Financing Corp., Tobacco Settlement Asset-backed Bonds, Series 2003,
6.125% 2024 (expected maturity 2012) 1,500 1,436
Total bonds & notes (cost: $511,752,000) 546,611
SHARES OR MARKET
PRINCIPAL VALUE
STOCKS - 7.81% AMOUNT (000)
(common & preferred)
WIRELESS TELECOMMUNICATION SERVICES - 2.23%
SpectraSite, Inc. (2) (10) (11) 318,815 9,417
Dobson Communications Corp.:
Class A (2) (11) 408,711 2,685
13.00% senior exchangeable preferred 2009 (4) 1,109 1,187
Series F, 6.00% convertible preferred (2) 850 144
Nextel Communications, Inc., Class A (2) (11) 100,499 2,820
COMMERCIAL BANKS - 1.76%
Fuji JGB Investment LLC, Series A, 9.87% noncumulative preferred (undated) (Japan) (2) $ 5,250,000 5,940
First Republic Capital Corp., Series A, 10.50% preferred (2) 2,000 2,103
Tokai Preferred Capital Co. LLC, Series A, 9.98%/11.091% noncumulative preferred
(undated) (Japan) (2) (3) $ 1,750,000 1,998
IBJ Preferred Capital Co. LLC, Series A, 8.79% noncumulative preferred (undated) (Japan) (2) (3) $ 1,500,000 1,643
SB Treasury Co. LLC, Series A, 9.40%/10.925% noncumulative preferred (undated) (Japan) (2) (3) $ 1,000,000 1,154
MEDIA - 0.84%
Gray Communications Systems, Inc., Series C, 8.00% convertible preferred 2012 (2) (4) (10) 300 3,674
Clear Channel Communications, Inc. 25,506 1,194
Radio One, Inc.: (11)
Class D, nonvoting 34,000 656
Class A 17,000 332
Adelphia Communications Corp., Series B, 13.00% preferred 2009 (11) 10,000 153
ACME Communications, Inc. (11) 13,100 115
DIVERSIFIED TELECOMMUNICATION SERVICES - 0.67%
NTELOS, Inc. (2) (10) (11) 216,055 4,351
VersaTel Telecom International NV (Netherlands) Euro 257,807 560
GT Group Telecom Inc., warrants, expire 2010 (Canada) (2) (10) (11) 4,000 0
KMC Telecom Holdings, Inc., warrants, expire 2008 (2) (10) (11) 9,500 -
INDUSTRIAL CONGLOMERATES - 0.58%
Swire Pacific Capital Ltd. 8.84% cumulative guaranteed perpetual capital securities (Hong Kong) (2) 160,000 4,240
AEROSPACE & DEFENSE - 0.50%
DigitalGlobe, Inc. (2) (10) (11) 3,677,578 3,678
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 0.35%
ZiLOG, Inc. (11) 445,000 2,314
ZiLOG, Inc. - MOD III Inc., units (10) (11) 445 238
MACHINERY - 0.35%
Cummins Capital Trust I 7.00% QUIPS convertible preferred 2031 (2) 40,000 2,530
OTHER INDUSTRIES - 0.36%
Six Flags, Inc. Series B, 7.25% PIERS convertible preferred 2009 68,225 1,562
Wilshire Financial Services Group Inc. (11) 155,212 930
Clarent Hospital Corp. (11) 80,522 131
Protection One, Inc., warrants, expire 2005 (2) (10) (11) 6,400 1
MISCELLANEOUS - 0.17%
Other stocks in initial period of acquisition 1,241
Total stocks (cost: $51,567,000) 56,991
Principal Market
amount value
CONVERTIBLE DEBENTURES - 4.05% (000) (000)
INTERNET & CATALOG RETAIL - 1.26%
Amazon.com, Inc. 6.875% PEACS 2010 Euro 7,350 $ 9,214
ELECTRONIC EQUIPMENT & INSTRUMENTS - 1.25%
Solectron Corp. 0% LYON 2020 $ 12,000 6,870
SCI Systems, Inc. 3.00% 2007 2,000 1,900
Celestica Inc. 0% 2020 700 374
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 0.57%
Conexant Systems, Inc. 4.00% 2007 3,600 3,447
Cypress Semiconductor Corp. 3.75% 2005 275 275
TriQuint Semiconductor, Inc. 4.00% 2007 260 251
Fairchild Semiconductor Corp. 5.00% 2008 150 166
WIRELESS TELECOMMUNICATION SERVICES - 0.36%
American Tower Corp.:
5.00% 2010 2,500 2,394
6.25% 2009 250 252
DIVERSIFIED TELECOMMUNICATION SERVICES - 0.35%
NTELOS, Inc. 9.00% 2013 (2) (10) 2,520 2,567
OTHER INDUSTRIES - 0.26%
Providian Financial Corp. 3.25% 2005 1,500 1,429
Juniper Networks, Inc. 4.75% 2007 459 470
Total convertible debentures (cost: $22,559,000) 29,609
Total equity securities (cost: $74,126,000) 86,600
PRINCIPAL MARKET
AMOUNT VALUE
SHORT-TERM SECURITIES - 11.64% (000) (000)
CORPORATE SHORT-TERM NOTES (2) - 11.64%
Variable Funding Capital Corp. 0.97%-1.07% due 1/2-1/6/2004 $ 18,000 $ 17,998
Netjets Inc. 1.07% due 1/20/2004 15,000 14,991
Preferred Receivables Funding Corp. 1.08%-1.09% due 1/6-1/14/2004 13,100 13,095
Three Pillars Funding Corp. 1.08% due 1/15/2004 11,700 11,695
BellSouth Corp. 1.01% due 1/8/2004 10,000 9,998
Pfizer Inc 1.03% due 1/14-2/4/2004 10,000 9,992
Park Avenue Receivables Corp. 1.08% due 1/12/2004 7,200 7,197
Total short-term securities (cost: $84,966,000) 84,966
Total investment securities (cost: $670,844,000) 718,177
Other assets less liabilities 11,932
Net assets $730,109
(1) Step bond; coupon rate will increase at a later date.
(2) Purchased in a private placement transaction; resale may be limited to
qualified institutional buyers; resale to the public may require
registration.
(3) Coupon rate may change periodically.
(4) Payment in kind; the issuer has the option of paying additional securities
in lieu of cash.
(5) Company not making scheduled interest payments; bankruptcy proceedings
pending.
(6) Company did not make principal payment upon scheduled maturity date;
reorganization pending.
(7) Pass-through securities backed by a pool of mortgages or other loans on
which principal payments are periodically made. Therefore, the effective
maturities are shorter than the stated maturities.
(8) This unit also contains 87,000 par of Drax Group Ltd., Class A-3, 8.566%
2015 and 87,000 shares of Drax Group Ltd. common stock.
(9) Scheduled interest payments not made; reorganization pending.
(10) Valued under fair value procedures adopted by authority of the Board of
Trustees.
(11) Security did not produce income during the last 12 months.
See Notes to Financial Statements
U.S. GOVERNMENT / AAA-RATED SECURITIES FUND
Investment portfolio as of December 31, 2003
[Enlarge/Download Table]
PRINCIPAL MARKET
AMOUNT VALUE
BONDS & notes - 95.62% (000) (000)
U.S. TREASURY BONDS & NOTES - 30.28%
5.75% 2005-2010 $ 36,350 39,557
3.25% 2007 28,600 29,177
6.00% 2004-2009 14,500 15,094
5.25% 2029 13,500 13,620
8.875% 2017-2019 9,285 13,230
5.00% 2011 10,875 11,641
6.875% 2006-2025 9,250 11,039
3.625% 2008 (1) 9,734 10,767
3.375% 2007 (1) 9,926 10,752
5.625% 2008 8,500 9,416
4.375% 2007 7,375 7,812
5.875% 2004 7,500 7,801
6.625% 2007 5,000 5,659
6.25% 2007 3,900 4,349
8.125% 2019 3,000 4,054
7.875% 2021 1,250 1,664
FEDERAL AGENCY MORTGAGE PASS-THROUGH OBLIGATIONS (2) - 24.25%
Government National Mortgage Assn.:
6.00% 2013 - 2034 27,111 28,208
5.50% 2017 - 2034 27,379 27,777
7.00% 2017 - 2031 4,521 4,853
6.50% 2028 4,107 4,349
8.00% 2023 - 2030 1,962 2,135
7.50% 2022 - 2031 1,307 1,413
8.50% 2021 - 2023 1,025 1,129
9.50% 2020 335 380
Fannie Mae:
5.50% 2016 - 2018 (3) 11,528 11,999
6.00% 2013 - 2017 10,526 11,085
6.50% 2016 - 2032 10,169 10,710
5.00% 2018 (3) 7,563 7,729
4.22% 2033 (4) 6,163 6,256
7.00% 2015 - 2032 3,930 4,191
3.965% 2033 (4) 2,499 2,524
7.50% 2029 - 2031 1,775 1,904
4.066% 2033 (4) 971 982
3.993% 2033 (4) 942 951
8.00% 2024 705 764
8.50% 2027 588 642
10.00% 2018 379 438
12.00% 2015 188 222
9.00% 2018 68 76
Freddie Mac:
6.00% 2014 - 2034 13,607 14,109
7.20% 2006 4,312 4,779
4.50% 2019 2,500 2,500
6.50% 2017 2,036 2,161
9.00% 2030 659 735
8.25% 2008 - 2009 541 573
7.00% 2008 - 2015 493 527
8.00% 2012 - 2017 358 388
8.50% 2018 - 2027 192 210
11.00% 2018 149 174
ASSET-BACKED OBLIGATIONS (2) - 12.92%
World Omni Auto Receivables Trust 2002-A, Class A-4, 4.05% 2009 6,000 6,197
California Infrastructure and Economic Development Bank, Special Purpose Trust, Series 1997-1:
SCE-1, Class A-6, 6.38% 2008 3,397 3,620
PG&E-1, Class A-7, 6.42% 2008 1,756 1,869
Green Tree Financial Corp., Series 1997-6:
Class A-7, 7.14% 2029 2,106 2,186
Class A-6, 6.90% 2029 1,267 1,277
Conseco Finance Home Equity Loan Trust:
Series 2000-B, Class AF-6, 7.80% 2020 839 870
Series 2000-F, Class AF-4, 7.67% 2026 464 492
Conseco Finance Manufactured Housing Contract Trust, Series 2001-3, Class A-2, 5.16% 2033 394 399
Green Tree Recreational, Equipment & Consumer Trust, Series 1999-A, Class A-6, 6.84% 2010 199 201
ComEd Transitional Funding Trust, Transitional Funding Trust Note, Series 1998:
Class A-6, 5.63% 2009 2,500 2,686
Class A-5, 5.44% 2007 1,146 1,180
MMCA Auto Owner Trust, Class A-4:
Series 2002-4, 3.05% 2009 2,000 2,014
Series 2002-2, 4.30% 2010 1,325 1,341
Saxon Asset Securities Trust, Series 2002-2:
Class AF-5, 5.99% 2031 2,000 2,066
Class AF-3, 4.61% 2024 1,143 1,160
PP&L Transition Bond Co. LLC, Series 1999-1, Class A-8, 7.15% 2009 2,750 3,161
WFS Financial Owner Trust, Series 2002-3, Class A-4, 3.50% 2010 3,000 3,070
Drive Auto Receivables Trust, MBIA insured: (5)
Series 2002-1, Class A-4, 4.09% 2008 1,500 1,546
Series 2003-1, Class A-3, 2.41% 2007 1,500 1,510
Ameriquest Mortgage Securities Inc., Asset-Backed Pass-Through Certificates, Series 2003-5,
Class A-2,2.43% 2033 3,025 3,033
AESOP Funding II LLC, Series 2002-A, Class A-1, AMBAC insured, 3.85% 2006 (5) 2,750 2,816
Peco Energy Transition Trust, Series 1999-A, Class A-6, 6.05% 2009 2,475 2,683
Banco Itau SA, XLCA insured: (4) (5)
Series 2002-2, 1.828% 2006 1,500 1,493
Series 2002, 1.878% 2007 1,100 1,095
SLM Private Credit Student Loan Trust, Series 2002-A, Class A-2, 1.713% 2030 (4) 2,550 2,565
CPS Auto Receivables Trust, Class A-2, XLCA insured: (5)
Series 2003-A, 2.89% 2009 1,071 1,069
Series 2002-B, 3.50% 2009 762 777
Series 2002-C, 3.52% 2009 588 593
Nordstrom Private Label Credit Card Master Note Trust, Series 2001-1, Class A, 4.82% 2010 (5) 2,000 2,105
SeaWest Securitization LLC, Series 2003-A, Class A-2, XLCA insured, 2.84% 2009 (5) 1,983 2,007
Illinois Power Special Purpose Trust, Series 1998-1, Class A-7, 5.65% 2010 1,835 1,997
Household Automotive Trust, Series 2001-3, Class A-4, 4.37% 2008 1,650 1,703
Duck Auto Owner Trust, Series 2002-B, Class A, XLCA insured, 2.985% 2007 (5) 1,643 1,647
Amresco Residential Securities Corp. Mortgage Loan Trust, Series 1997-2, Class A-7, 7.57% 2027 1,515 1,544
Long Beach Acceptance Auto Receivables Trust, Series 2002-A, Class A-3, FSA insured, 3.175% 2006 1,500 1,519
Capital One Master Trust, Series 1998-1, Class A, 6.31% 2011 1,325 1,451
Vanderbilt Acquisition Loan Trust, Series 2002-1, Class A-3, 5.70% 2023 1,275 1,315
Residential Asset Mortgage Products Trust, Series 2003-RS1, Class A-I-3, 3.495% 2028 1,250 1,262
Chase Funding Trust, Series 2003-2, Class IA-3, 2.864% 2024 1,235 1,232
PF Export Receivables Master Trust, Series 2001-B, MBIA insured, 6.60% 2011 (5) 1,125 1,222
Delta Air Lines, Inc., Series 2003-1, Class G, AMBAC insured, 1.911% 2008 (4) 1,193 1,200
Franklin Auto Trust, Series 2002-1, Class A-4, MBIA insured, 4.51% 2010 1,150 1,199
Onyx Acceptance Owner Trust, Series 2002-C, Class A-4, MBIA insured, 4.07% 2009 1,000 1,031
GRCT Consumer Loan Trust, Series 2001-1A, Class 2BRV, 6.251% 2020 (5) 995 1,021
AmeriCredit Automobile Receivables Trust, Series 2002-C, Class A-4, FSA insured, 3.55% 2009 1,000 1,019
Capital One Auto Finance Trust, Series 2002-A, Class A-3, MBIA insured, 4.03% 2006 1,001 1,016
Triad Automobile Receivables Trust, Series 2002-A, Class A-3, AMBAC insured, 2.62% 2007 750 758
ACLC Business Loan Receivables Trust, Series 2002-1, Class A-1, 5.408% 2022 (5) 676 683
Financial Pacific Funding II, LLC, Series 2003-A, Class A, FSA insured, 2.29% 2009 (5) 632 632
Continental Auto Receivables Owner Trust, Series 2000-B, Class A-4, MBIA insured, 6.91% 2005 (5) 616 628
Chase Manhattan Auto Owner Trust, Series 2002-A, Class A-3, 3.49% 2006 597 602
Pass-through Amortizing Credit Card Trusts, Series 2002-1, Class A-1FL, 1.90% 2012 (4) (5) 532 532
Coast-to-Coast Motor Vehicle Owner Trust, Series 2000-A, Class A-4, MBIA insured, 7.33% 2006 (5) 508 510
Residential Funding Mortgage Securities II, Inc., AMBAC insured:
Series 2001-HS2, Class A-4, 5.135% 2016, (4) 232 235
Series 2001-H13, Class A-I-4, 6.09% 2015 191 191
COMMERCIAL MORTGAGE-BACKED OBLIGATIONS (2) - 9.62%
Morgan Stanley Capital I, Inc.:
Series 1998-HF2, Class A-2, 6.48% 2030 5,980 6,663
Series 1998-HF2, Class A-1, 6.01% 2030 1,624 1,719
Series 2003-KIDS, Class A, 1.843% 2016 (4) (5) 1,709 1,709
Fannie Mae:
Series 1997-M6, Class ZA, 6.85% 2026 7,706 8,450
Series 1998-M6, Class A-2, ACES, 6.32% 2008 994 1,083
CS First Boston Mortgage Securities Corp.:
Series 2002-CKN2, Class A-1, 4.637% 2037 2,116 2,200
Series 2001-CF2, Class A-2, 5.935% 2034 1,750 1,860
Series 2001-CK6, Class A-2, 6.103% 2036 1,500 1,642
Series 1998-C1, Class A-1A, 6.26% 2040 1,431 1,496
Series 1999-C1, Class A-1, 6.91% 2041 1,140 1,242
Series 2002-FL2, Class A-2, 1.50% 2010 (4) (5) 927 926
Chase Commercial Mortgage Securities Corp.:
Series 1998-2, Class A-2, 6.39% 2030 3,000 3,335
Series 2000-2, Class A-1, 7.543% 2032 1,189 1,321
Series 2000-1, Class A-1, 7.656% 2032 831 862
Series 1998-1, Class A-1, 6.34% 2030 122 124
Salomon Brothers Commercial Mortgage Trust, Series 2001-C1, Class A-3, 6.428% 2035 3,050 3,391
Nomura Asset Securities Corp., Series 1998-D6, Class A-1A, 6.28% 2030 3,078 3,284
Banc of America Commercial Mortgage Inc., Series 2001-1, Class A-2, 6.503% 2036 2,700 3,014
GMAC Commercial Mortgage Securities, Inc.:
Series 1997-C1, Class A-3, 6.869% 2029 1,500 1,660
Series 1999-C1, Class A-1, 5.83% 2033 1,139 1,203
Bear Stearns Commercial Mortgage Securities Inc.:
Series 2001-TOP2, Class A-1, 6.08% 2035 1,136 1,227
Series 1998-C1, Class A-1, 6.34% 2030 801 859
DLJ Commercial Mortgage Corp., Class A-1B:
Series 1998-CF2, 6.24% 2031 1,250 1,382
Series 1999-CG1, 6.46% 2032 500 556
Deutsche Mortgage & Asset Receiving Corp., Series 1998-C1, Class A-1, 6.22% 2031 1,736 1,759
Morgan Stanley Dean Witter Capital I Trust, Series 2001-TOP5, Class A-3, 6.16% 2035 1,500 1,649
LB-UBS Commercial Mortgage Trust:
Series 2001-C7, Class A-3, 5.642% 2025 942 1,011
Series 2000-C3, Class A-2, 7.95% 2010 500 597
First Union National Bank Commercial Mortgage Trust, Series 2002-C1, Class A-1, 5.585% 2034 1,357 1,451
Mortgage Capital Funding, Inc., Series 1998-MC1, Class A-1, 6.417% 2030 1,342 1,410
Merrill Lynch Mortgage Investors, Inc.:
Series 1998-C3, Class A-1, 5.65% 2030 739 759
Series 1995-C3, Class A-3, 7.117% 2025 (4) 220 224
Commercial Mortgage Acceptance Corp., Class A-1:
Series 1998-C2, 5.80% 2030 496 514
Series 1998-C1, 6.23% 2031 315 332
GGP Mall Properties Trust, Series 2001-C1A, Class A-2, 5.007% 2011 (5) 737 775
GE Capital Commercial Mortgage Corp., Series 2001-1, Class A-1, 6.079% 2033 555 599
NON-PASS-THROUGH AGENCY OBLIGATIONS - 5.77%
Fannie Mae:
6.00% 2008 7,000 7,748
4.75% 2007 6,400 6,500
7.25% 2030 4,125 5,040
4.25% 2007 2,125 2,218
Federal Home Loan Bank :
3.75% 2007 (3) 9,710 10,005
4.50% 2012 2,500 2,488
Freddie Mac 3.50% 2007 3,250 3,305
FEDERAL AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS (2) - 3.98%
Fannie Mae:
Series 2002-W7, Class A-2, 4.80% 2022 3,912 4,028
Series 2002-W3, Class A-5, 7.50% 2028 2,267 2,477
Series 2001-T10, Class A-1, 7.00% 2041 1,494 1,613
Series 1999-T2, Class A-1, 7.50% 2039 1,444 1,578
Series 2001-50, Class BA, 7.00% 2041 1,475 1,572
Series 2002-T11, Class A, 4.769% 2012 1,453 1,520
Series 2001-4, Class NA, 11.79% 2025 (4) 1,235 1,430
Series 2002-W7, Class A-5, 7.50% 2029 1,287 1,406
Series 2002-W4, Class A-2, 5.10% 2042 1,194 1,202
Series 2001-4, Class GB, 10.148% 2018 (4) 978 1,119
Series 2002-W3, Class A-2, 5.50% 2041 1,078 1,094
Series 2001-20, Class C, 11.884% 2031 (4) 692 816
Series 2002-W1, Class 2A, 7.50% 2042 306 334
Freddie Mac:
Series T-042, Class A-2, 5.50% 2042 1,871 1,899
Series 1567, Class A, 1.588% 2023 (4) 1,060 980
Series T-041, Class 1A-2, 4.76% 2021 878 884
Series H009, Class A-2, 1.876% 2008 (4) 777 769
Series 2489, Class A, 5.50% 2013 215 216
Government National Mortgage Assn., Series 2002-28, Class A, 4.776% 2018 796 835
PRIVATE ISSUE COLLATERALIZED MORTGAGE OBLIGATIONS (2) - 3.63%
WaMu Mortgage Pass-Through Certificates Trust: (4)
Series 2003-AR7, Class A-7, 3.84% 2033 1,781 1,749
Series 2003-AR6, Class A-1, 4.38% 2033 1,662 1,661
Series 2003-AR3, Class A-3, 3.57% 2033 1,250 1,254
Series 2003-AR1, Class A-6, 4.537% 2033 702 711
Series 2003-AR3, Class A-2, 2.83% 2033 330 329
Bear Stearns ARM Trust: (4)
Series 2003-3, Class II-A-2, 4.211% 2033 2,115 2,130
Series 2003-9, Class III-A-3, 4.457% 2034 980 990
Series 2003-2, Class A-3, 3.703% 2033 (5) 762 765
Ocwen Residential MBS Corp., Series 1998-R1, Class AWAC, 4.969% 2040 (4) (5) 3,136 2,980
CHL Mortgage Pass-Through Trust: (4)
Series 2003-HYB3, Class 4-A-1, 3.551% 2033 1,584 1,582
Series 2003-27, Class A-1, 3.842% 2033 1,245 1,238
CS First Boston Mortgage Securities Corp., Series 2003-AR12, Class II-A-2, 4.378% 2033 (4) 2,308 2,310
Banc of America Mortgage Securities, Inc. Trust, Series 2003-F, Class 1-A-1, 2.969% 2033 (4) 2,071 2,073
Structured Asset Securities Corp., Series 2003-17A, Class 3-A1, 4.01% 2033 (4) 1,065 1,075
Wells Fargo Mortgage Backed Securities Trust, Series 2003-B, Class A-1, 4.15% 2033 (4) 942 948
Security National Mortgage Loan Trust, Series 2000-1, Class A-2, 8.75% 2024 (5) 701 746
First Nationwide Trust, Series 1999-2, Class 1PA-1, 6.50% 2029 626 650
Nationsbanc Montgomery Funding Corp., Series 1998-5, Class A-1, 6.00% 2013 224 226
OTHER PASS-THROUGH AGENCY OBLIGATIONS (2) - 2.94%
Small Business Administration:
Series 2001-20F, 6.44% 2021 3,977 4,338
Series 2003-20B, 4.84% 2023 3,196 3,200
Series 2002-20J, 4.75% 2022 2,117 2,112
Series 2001-20K, 5.34% 2021 1,426 1,483
Series 2001-20G, 6.625% 2021 1,194 1,313
Series 2002-20C, 6.07% 2022 1,039 1,114
Series 2002-20K, 5.08% 2022 1,092 1,109
Series 2001-20J, 5.76% 2021 886 937
United States Government Guaranteed Ship Financing Obligations, Rowan Companies, Inc.
(Title XI) 5.88% 2012 3,015 3,334
PRIVATE ISSUE PASS-THROUGH OBLIGATIONS - 0.66%
Structured Asset Securities Corp., Class A: (2) (4) (5)
Series 1998-RF1, 8.712% 2027 1,914 2,115
Series 1998-RF2, 8.541% 2027 1,034 1,142
Series 1999-RF1, 7.897% 2028 906 981
AEROSPACE & DEFENSE - 0.46%
BAE SYSTEMS 2001 Asset Trust, Series 2001, Class G, MBIA insured, 6.664% 2013 (2) (5) 2,661 2,943
INDUSTRIAL CONGLOMERATES - 0.34%
General Electric Capital Corp., Series A, 6.75% 2032 2,000 2,222
ROAD & RAIL - 0.27%
Southern Capital Corp. Pass Through Trust, Series 2002-1, Class G, MBIA insured, 5.70% 2023 (2) (5) 1,675 1,748
OTHER INDUSTRIES - 0.50%
Chilquinta Energia Finance Co. LLC, MBIA insured, 6.47% 2008 (5) 1,250 1,365
KFW International Finance Inc. 2.50% 2005 1,000 1,013
AIG SunAmerica Global Financing II 7.60% 2005 (5) 750 815
Total bonds & notes (cost: $599,664,000) 617,800
PRINCIPAL MARKET
AMOUNT VALUE
SHORT-TERM SECURITIES - 12.32% (000) (000)
CORPORATE SHORT-TERM NOTES - 10.08%
Preferred Receivables Funding Corp. 1.08% due 1/14/2004 (3) (5) $ 13,600 13,594
Variable Funding Capital Corp. 0.97%-1.07% due 1/2-1/6/2004 (3) (5) 13,500 13,498
Merck & Co. Inc. 1.01% due 1/5/2004 (3) 10,000 9,998
BellSouth Corp. CP 1.01%-1.02% due 1/6-1/8/2004 (3) (5) 10,000 9,998
Pfizer Inc 1.03% due 2/4/2004 (3) (5) 10,000 9,990
Park Avenue Receivables Corp. 1.08% due 1/14/2004 (5) 8,000 7,997
U.S. TREASURIES - 2.24%
U.S. Treasury Bills 0.855%-0.90% due 2/5/2004 14,500 14,488
Total short-term securities (cost: $79,563,000) 79,563
Total investment securities (cost: $679,227,000) 697,363
Other assets less liabilities (51,310)
Net assets $ 646,053
(1) Index-linked bond whose principal amount moves with a government retail
price index.
(2) Pass-through securities backed by a pool of mortgages or other loans on
which principal payments are periodically made. Therefore, the effective
maturities are shorter than the stated maturities.
(3) This security, or a portion of this security, has been segregated to cover
funding requirements on investment transactions settling in the future.
(4) Coupon rate may change periodically.
(5) Purchased in a private placement transaction; resale may be limited to
qualified institutional buyers; resale to the public may require
registration.
See Notes to Financial Statements
CASH MANAGEMENT FUND Investment portfolio as of December 31, 2003
[Enlarge/Download Table]
PRINCIPAL MARKET
AMOUNT VALUE
SHORT-TERM SECURITIES - 100.77% (000) (000)
CORPORATE SHORT-TERM NOTES - 65.41%
Three Pillars Funding Corp. 1.10% due 1/14/2004 (1) $7,961 $7,958
Preferred Receivables Funding Corp. 1.09% due 1/14-1/16/2004 (1) 7,700 7,696
Triple-A One Funding Corp. 1.08% due 1/7/2004 (1) 7,300 7,298
Gannett Co. 1.01% due 1/8/2004 (1) 7,000 6,998
IBM Credit Corp. 1.01% due 1/9/2004 7,000 6,998
Pfizer Inc 1.03% due 1/9/2004 (1) 7,000 6,998
Harley-Davidson Funding Corp. 1.02% due 1/20/2004 (1) 7,000 6,996
Household Finance Corp. 1.08% due 1/20/2004 7,000 6,996
Medtronic Inc. 1.03% due 1/21/2004 (1) 7,000 6,996
Variable Funding Capital Corp. 1.07% due 1/21/2004 (1) 7,000 6,996
Caterpillar Financial Services Corp. 1.02% due 2/2/2004 7,000 6,993
CAFCO, LLC 1.07%-1.08% due 1/29-2/17/2004 (1) 7,000 6,992
Coca-Cola Co. 1.00%-1.02% due 2/17-3/5/2004 7,000 6,989
USAA Capital Corp. 1.02% due 1/12/2004 6,900 6,898
Procter & Gamble Co. 1.01%-1.02% 1/7-1/14/2004 (1) 5,700 5,699
FCAR Owner Trust I 1.09% due 1/6/2004 5,400 5,399
Motiva Enterprises LLC 1.01% due 1/23/2004 4,000 3,997
Receivables Capital Corp. 1.08% due 1/13/2004 (1) 3,500 3,499
SBC International Inc. 1.02% due 1/13/2004 (1) 3,300 3,299
American Express Credit Corp. 1.04% due 1/7/2004 3,000 2,999
ChevronTexaco Funding Corp. 1.01% due 2/24/2004 3,000 2,995
Park Avenue Receivables Corp. 1.07% due 1/26/2004 (1) 2,800 2,798
Merck & Co. Inc. 1.01% due 1/12/2004 1,200 1,200
E.I. du Pont de Nemours & Co. 1.07% due 1/16/2004 500 500
U.S. TREASURIES - 19.24%
U.S. Treasury Bills 0.83%-0.90% due 1/2-3/11/2004 38,900 38,878
FEDERAL AGENCY DISCOUNT NOTES - 16.12%
International Bank for Reconstruction and Development 0.96%-1.01% due 1/9-2/19/2004 15,500 15,485
Federal Farm Credit Banks 1.00% due 1/5/2004 10,000 9,999
Federal Home Loan Bank 1.00% due 1/5/2004 7,100 7,099
Total investment securities (cost: $203,648,000) 203,648
Other assets less liabilities (1,566)
Net assets $202,082
(1) Purchased in a private placement transaction; resale may be limited to
qualified institutional buyers; resale to the public may require
registration.
See Notes to Financial Statements
FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
(dollars and shares in thousands, except per-share amounts)
at December 31, 2003
[Enlarge/Download Table]
GLOBAL GLOBAL GLOBAL SMALL
DISCOVERY GROWTH CAPITALIZATION GROWTH INTERNATIONAL
FUND FUND FUND FUND FUND
ASSETS:
Investment securities at market $ 40,609 $ 1,272,131 $ 832,620 $ 10,983,978 $ 2,803,388
Cash denominated in non-U.S. currencies 10 448 387 2,747 1,685
Cash 94 87 17 102 54
Receivables for:
Sales of investments - 309 1,111 17,480 14,890
Sales of fund's shares 40 847 1,874 10,797 2,261
Open forward currency contracts - - - - -
Dividends and interest 19 2,033 721 7,666 3,851
Other assets - - 46 1 -
40,772 1,275,855 836,776 11,022,771 2,826,129
LIABILITIES:
Payables for:
Purchases of investments 23 4,861 4,674 28,398 6,171
Repurchases of fund's shares 3 243 856 5,308 1,103
Open forward currency contracts - - - - -
Investment advisory services 19 657 526 3,185 1,275
Services provided by affiliates 5 219 133 1,428 277
Deferred Trustees' compensation - 19 8 366 178
Other fees and expenses 1 56 2,691 143 836
51 6,055 8,888 38,828 9,840
NET ASSETS AT DECEMBER 31, 2003 (Total:$ 36,329,216) $ 40,721 $ 1,269,800 $ 827,888 $ 10,983,943 $ 2,816,289
Investment securities and cash denominated in
non-U.S. currencies at cost $ 36,025 $ 1,059,844 $ 653,021 $ 8,925,213 $ 2,272,377
NET ASSETS CONSIST OF:
Capital paid in on shares of beneficial interest $ 37,025 $ 1,268,020 $ 809,728 $ 9,915,766 $ 2,703,347
Undistributed (distributions in excess of)
net investment income (11) 6,162 (2,617) 6,089 (9,732)
Accumulated net realized loss (887) (217,142) (156,553) (999,439) (409,482)
Net unrealized appreciation 4,594 212,760 177,330 2,061,527 532,156
NET ASSETS AT DECEMBER 31, 2003 $ 40,721 $ 1,269,800 $ 827,888 $ 10,983,943 $ 2,816,289
Shares of beneficial interest issued and
outstanding - unlimited shares authorized:
Class 1:
Net assets (Total: $12,243,173) $ 17,327 $ 188,116 $ 163,340 $ 3,877,129 $ 1,431,221
Shares outstanding 1,743 12,295 11,545 84,765 106,751
Net asset value per share $ 9.94 $ 15.30 $ 14.15 $ 45.74 $ 13.41
Class 2:
Net assets (Total: $24,086,043) $ 23,394 $ 1,081,684 $ 664,548 $ 7,106,814 $ 1,385,068
Shares outstanding 2,358 70,946 47,185 156,177 103,402
Net asset value per share $ 9.92 $ 15.25 $ 14.08 $ 45.50 $ 13.39
BLUE CHIP ASSET
NEW WORLD INCOME AND GROWTH-INCOME ALLOCATION
FUND GROWTH FUND FUND FUND BOND FUND
ASSETS:
Investment securities at market $ 272,726 $ 1,594,059 $ 12,247,171 $ 3,309,261 $ 1,483,830
Cash denominated in non-U.S. currencies 100 - 4,110 - -
Cash 58 194 69 117 60
Receivables for:
Sales of investments 457 2,083 27,764 9,957 2,511
Sales of fund's shares 69 3,055 11,409 2,905 433
Open forward currency contracts - - - 935 -
Dividends and interest 1,284 1,665 13,820 14,976 20,391
Other assets - - 2 - -
274,694 1,601,056 12,304,345 3,338,151 1,507,225
LIABILITIES:
Payables for:
Purchases of investments 1,196 3,170 68,226 110,190 12,937
Repurchases of fund's shares 156 - 5,204 287 212
Open forward currency contracts - - - 1,001 -
Investment advisory services 186 607 3,074 1,011 552
Services provided by affiliates 45 297 1,578 468 266
Deferred Trustees' compensation 2 3 431 95 14
Other fees and expenses 1,863 4 46 13 6
3,448 4,081 78,559 113,065 13,987
NET ASSETS AT DECEMBER 31, 2003 (Total:$ 36,329,216) $ 271,246 $ 1,596,975 $ 12,225,786 $ 3,225,086 $ 1,493,238
Investment securities and cash denominated in
non-U.S. currencies at cost $ 216,228 $ 1,383,508 $ 10,348,495 $ 2,974,170 $ 1,407,425
NET ASSETS CONSIST OF:
Capital paid in on shares of beneficial interest $ 241,147 $ 1,398,996 $ 10,614,208 $ 2,943,505 $ 1,379,533
Undistributed (distributions in excess of)
net investment income 2,968 13,422 23,162 13,442 59,912
Accumulated net realized loss (27,633) (25,994) (314,372) (66,874) (22,700)
Net unrealized appreciation 54,764 210,551 1,902,788 335,013 76,493
NET ASSETS AT DECEMBER 31, 2003 $ 271,246 $ 1,596,975 $ 12,225,786 $ 3,225,086 $ 1,493,238
Shares of beneficial interest issued and
outstanding - unlimited shares authorized:
Class 1:
Net assets (Total: $12,243,173) $ 47,159 $ 106,850 $ 4,401,792 $ 911,274 $ 212,711
Shares outstanding 3,934 11,357 130,962 62,518 18,756
Net asset value per share $ 11.99 $ 9.41 $ 33.61 $ 14.58 $ 11.34
Class 2:
Net assets (Total: $24,086,043) $ 224,087 $ 1,490,125 $ 7,823,994 $ 2,313,812 $ 1,280,527
Shares outstanding 18,772 159,128 233,709 159,428 113,663
Net asset value per share $ 11.94 $ 9.36 $ 33.48 $ 14.51 $ 11.27
U.S.
GOVERNMENT/
AAA-RATED
SECURITIES CASH
HIGH-INCOME FUND MANAGEMENT
BOND FUND FUND FUND
ASSETS:
Investment securities at market $ 718,177 $ 697,363 $ 203,648
Cash denominated in non-U.S. currencies - - -
Cash 42 93 8
Receivables for:
Sales of investments 421 7,136 -
Sales of fund's shares 196 20 172
Open forward currency contracts - - -
Dividends and interest 12,310 4,807 -
Other assets 1 1 -
731,147 709,420 203,828
LIABILITIES:
Payables for:
Purchases of investments 502 62,209 -
Repurchases of fund's shares 119 808 1,626
Open forward currency contracts - - -
Investment advisory services 302 252 80
Services provided by affiliates 66 58 21
Deferred Trustees' compensation 46 38 19
Other fees and expenses 3 2 -
1,038 63,367 1,746
NET ASSETS AT DECEMBER 31, 2003 (Total:$ 36,329,216) $ 730,109 $ 646,053 $ 202,082
Investment securities and cash denominated in
non-U.S. currencies at cost $ 670,844 $ 679,227 $ 203,648
NET ASSETS CONSIST OF:
Capital paid in on shares of beneficial interest $ 793,908 $ 609,866 $ 200,614
Undistributed (distributions in excess of)
net investment income 46,096 28,861 1,468
Accumulated net realized loss (157,314) (10,810) -
Net unrealized appreciation 47,419 18,136 -
NET ASSETS AT DECEMBER 31, 2003 $ 730,109 $ 646,053 $ 202,082
Shares of beneficial interest issued and
outstanding - unlimited shares authorized:
Class 1:
Net assets (Total: $12,243,173) $ 410,654 $ 372,941 $ 102,659
Shares outstanding 32,744 30,464 9,275
Net asset value per share $ 12.54 $ 12.24 $ 11.07
Class 2:
Net assets (Total: $24,086,043) $ 319,455 $ 273,112 $ 99,423
Shares outstanding 25,609 22,443 9,014
Net asset value per share $ 12.47 $ 12.17 $ 11.03
See Notes to Financial Statements
STATEMENT OF OPERATIONS for the year ended December 31, 2003
[Enlarge/Download Table]
GLOBAL GLOBAL GLOBAL SMALL
DISCOVERY GROWTH CAPITALIZATION GROWTH INTERNATIONAL
FUND FUND FUND FUND FUND
INVESTMENT INCOME:
Income (net of non-U.S. withholding tax):
Interest $ 82 $ 2,320 $ 551 $ 9,499 $ 5,048
Dividends 232 12,589 3,742 54,634 37,489
314 14,909 4,293 64,133 42,537
Fees and expenses:
Investment advisory services 158 5,992 4,277 29,609 12,178
Distribution services - Class 2 35 1,892 1,032 11,452 2,213
Transfer agent services - 2 1 15 4
Reports to shareholders 1 30 17 262 69
Registration statement and prospectus 1 15 9 132 33
Postage, stationery and supplies 1 15 9 135 37
Trustees' compensation - 13 7 165 63
Auditing and legal - 14 9 100 31
Custodian 4 266 119 606 896
State and local taxes - 11 6 91 26
Other 2 9 15 29 22
Expense waiver - - - - -
202 8,259 5,501 42,596 15,572
Net investment income (loss) 112 6,650 (1,208) 21,537 26,965
NET REALIZED GAIN (LOSS) AND UNREALIZED
APPRECIATION (DEPRECIATION) ON INVESTMENTS
AND NON-U.S. CURRENCY:
Net realized gain (loss) on:
Investments 347 (38,122) (1,493) 213,484 (122,835)
Non-U.S. currency transactions (10) (279) (123) (143) (1,571)
337 (38,401) (1,616) 213,341 (124,406)
Net unrealized appreciation (depreciation) on:
Investments 8,358 327,436 242,948 2,320,993 786,550
Non-U.S. currency translations - 1 (6) 18 1
8,358 327,437 242,942 2,321,011 786,551
Net realized gain (loss) and
unrealized appreciation (depreciation)
on investments and non-U.S. currency 8,695 289,036 241,326 2,534,352 662,145
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS $ 8,807 $ 295,686 $ 240,118 $ 2,555,889 $ 689,110
BLUE CHIP ASSET
NEW WORLD INCOME AND GROWTH-INCOME ALLOCATION
FUND GROWTH FUND FUND FUND BOND FUND
INVESTMENT INCOME:
Income (net of non-U.S. withholding tax):
Interest $ 2,593 $ 957 $ 14,474 $ 46,489 $ 67,879
Dividends 3,379 19,259 147,231 36,749 774
5,972 20,216 161,705 83,238 68,653
Fees and expenses:
Investment advisory services 1,653 4,707 29,648 9,628 5,537
Distribution services - Class 2 392 2,162 12,978 3,897 2,498
Transfer agent services - 2 17 4 2
Reports to shareholders 6 29 299 79 41
Registration statement and prospectus 4 14 151 38 21
Postage, stationery and supplies 3 14 155 40 21
Trustees' compensation 3 9 192 46 16
Auditing and legal 3 9 117 29 21
Custodian 109 19 212 58 30
State and local taxes 2 8 108 28 16
Other 11 1 59 44 3
Expense waiver - (181) - - -
2,186 6,793 43,936 13,891 8,206
Net investment income (loss) 3,786 13,423 117,769 69,347 60,447
NET REALIZED GAIN (LOSS) AND UNREALIZED
APPRECIATION (DEPRECIATION) ON INVESTMENTS
AND NON-U.S. CURRENCY:
Net realized gain (loss) on:
Investments (1,187) (19,257) (201,125) (5,989) (860)
Non-U.S. currency transactions (50) - 86 (339) 74
(1,237) (19,257) (201,039) (6,328) (786)
Net unrealized appreciation (depreciation) on:
Investments 66,197 291,026 2,763,216 438,644 84,057
Non-U.S. currency translations (4) - 4 (42) 29
66,193 291,026 2,763,220 438,602 84,086
Net realized gain (loss) and
unrealized appreciation (depreciation)
on investments and non-U.S. currency 64,956 271,769 2,562,181 432,274 83,300
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS $ 68,742 $ 285,192 $ 2,679,950 $ 501,621 $ 143,747
U.S.
GOVERNMENT/
AAA-RATED CASH
HIGH-INCOME SECURITIES FUND MANAGEMENT
BOND FUND FUND FUND
INVESTMENT INCOME:
Income (net of non-U.S. withholding tax): $ 48,698 $ 31,934 $ 3,066
Interest 3,253 - -
Dividends 51,951 31,934 3,066
Fees and expenses:
Investment advisory services 3,141 3,428 1,207
Distribution services - Class 2 619 752 288
Transfer agent services 1 1 1
Reports to shareholders 21 27 10
Registration statement and prospectus 11 14 5
Postage, stationery and supplies 11 15 5
Trustees' compensation 17 18 8
Auditing and legal 9 14 5
Custodian 17 17 5
State and local taxes 8 13 5
Other 2 2 1
Expense waiver - - -
3,857 4,301 1,540
Net investment income (loss) 48,094 27,633 1,526
NET REALIZED GAIN (LOSS) AND UNREALIZED
APPRECIATION (DEPRECIATION) ON INVESTMENTS
AND NON-U.S. CURRENCY:
Net realized gain (loss) on:
Investments (24,171) 4,691 2
Non-U.S. currency transactions 73 - -
(24,098) 4,691 2
Net unrealized appreciation (depreciation) on:
Investments 136,890 (14,043) -
Non-U.S. currency translations 22 - -
136,912 (14,043) -
Net realized gain (loss) and
unrealized appreciation (depreciation)
on investments and non-U.S. currency 112,814 (9,352) 2
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS $ 160,908 $ 18,281 $ 1,528
See Notes to Financial Statements
STATEMENT OF CHANGES IN NET ASSETS (dollars in thousands)
[Enlarge/Download Table]
GLOBAL SMALL
GLOBAL DISCOVERY FUND GLOBAL GROWTH FUND CAPITALIZATION FUND
Year ended Year ended Year ended Year ended Year ended Year ended
December 31, December 31, December 31, December 31, December 31,December 31,
2003 2002 2003 2002 2003 2002
OPERATIONS:
Net investment income (loss) $ 112 $ 107 $ 6,650 $ 4,112 $ (1,208) $ (537)
Net realized gain (loss) on investments and
non-U.S. currency transactions 337 (1,140) (38,401) (67,220) (1,616) (42,222)
Net unrealized appreciation (depreciation)
on investments and non-U.S. currency translations 8,358 (3,203) 327,437 (61,702) 242,942 (49,037)
Net increase (decrease) in net assets
resulting from operations 8,807 (4,236) 295,686 (124,810) 240,118 (91,796)
DIVIDENDS AND DISTRIBUTIONS PAID TO
SHAREHOLDERS:
Dividends from net investment income:
Class 1 (61) (69) (944) (2,097) (987) (1,247)
Class 2 (46) (42) (3,011) (5,278) (2,385) (2,110)
Total dividends from net investment income (107) (111) (3,955) (7,375) (3,372) (3,357)
Distributions from net realized gain
on investments:
Short-term net realized gains:
Class 1 - - - - - -
Class 2 - - - - - -
Total distributions from net realized gain on
investments - - - - - -
Total dividends and distributions paid
to shareholders (107) (111) (3,955) (7,375) (3,372) (3,357)
CAPITAL SHARE TRANSACTIONS:
Class 1:
Proceeds from shares sold 10,715 3,465 7,365 9,896 18,764 22,483
Proceeds from reinvestment of dividends
and distributions 61 69 944 2,097 987 1,247
Cost of shares repurchased (7,995) (1,972) (19,824) (43,292) (18,216) (35,574)
Net increase (decrease) from Class 1 transactions 2,781 1,562 (11,515) (31,299) 1,535 (11,844)
Class 2:
Proceeds from shares sold 13,297 10,424 275,010 184,819 234,453 238,713
Proceeds from reinvestment of dividends
and distributions 46 42 3,011 5,278 2,385 2,110
Cost of shares repurchased (3,319) (4,019) (32,091) (97,599) (44,802) (159,310)
Net increase (decrease) from Class 2 transactions 10,024 6,447 245,930 92,498 192,036 81,513
Net increase (decrease) in net assets resulting from
capital share transactions 12,805 8,009 234,415 61,199 193,571 69,669
TOTAL INCREASE (DECREASE) IN NET ASSETS 21,505 3,662 526,146 (70,986) 430,317 (25,484)
NET ASSETS:
Beginning of period 19,216 15,554 743,654 814,640 397,571 423,055
End of period $ 40,721 $ 19,216 $ 1,269,800 $ 743,654 $ 827,888 $ 397,571
Undistributed (distributions
in excess of) net investment income $ (11) $ (6) $ 6,162 $ 3,812 $ (2,617) $ 1,823
SHARES OF BENEFICIAL INTEREST:
Class 1:
Shares sold 1,274 431 546 786 1,550 1,972
Shares issued on reinvestment of dividends
and distributions 6 9 75 174 92 113
Shares repurchased (966) (242) (1,671) (3,649) (1,751) (3,386)
Net increase (decrease) in shares outstanding 314 198 (1,050) (2,689) (109) (1,301)
Class 2:
Shares sold 1,525 1,285 21,120 15,330 19,995 21,928
Shares issued on reinvestment of dividends
and distributions 5 6 239 438 222 192
Shares repurchased (392) (512) (2,717) (8,278) (4,388) (14,599)
Net increase (decrease) in shares outstanding 1,138 779 18,642 7,490 15,829 7,521
GROWTH FUND INTERNATIONAL FUND NEW WORLD FUND
Year ended Year ended Year ended Year ended Year ended Year ended
December 31, December 31, December 31, December 31, December 31,December 31,
2003 2002 2003 2002 2003 2002
OPERATIONS:
Net investment income (loss) $ 21,537 $ 14,211 $ 26,965 $ 27,076 $ 3,786 3,180
Net realized gain (loss) on investments and
non-U.S. currency transactions 213,341 (842,068) (124,406) (105,154) (1,237) (6,375)
Net unrealized appreciation (depreciation)
on investments and non-U.S. currency translations 2,321,011 (1,219,011) 786,551 (261,456) 66,193 (6,279)
Net increase (decrease) in net assets
resulting from operations 2,555,889 (2,046,868) 689,110 (339,534) 68,742 (9,474)
DIVIDENDS AND DISTRIBUTIONS PAID TO
SHAREHOLDERS:
Dividends from net investment income:
Class 1 (13,122) (7,669) (19,844) (24,823) (709) (777)
Class 2 (6,452) (980) (14,770) (9,015) (2,605) (2,122)
Total dividends from net investment income (19,574) (8,649) (34,614) (33,838) (3,314) (2,899)
Distributions from net realized gain
on investments:
Short-term net realized gains:
Class 1 - - - - - -
Class 2 - - - - - -
Total distributions from net realized gain on
investments - - - - - -
Total dividends and distributions paid
to shareholders (19,574) (8,649) (34,614) (33,838) (3,314) (2,899)
CAPITAL SHARE TRANSACTIONS:
Class 1:
Proceeds from shares sold 14,458 25,892 4,120 47,701 6,491 15,823
Proceeds from reinvestment of dividends
and distributions 13,122 7,669 19,844 24,823 709 777
Cost of shares repurchased (426,449) (840,654) (192,939) (346,153) (6,970) (15,159)
Net increase (decrease) from Class 1 transactions (398,869) (807,093) (168,975) (273,629) 230 1,441
Class 2:
Proceeds from shares sold 2,696,826 1,134,072 764,198 1,637,336 69,838 298,187
Proceeds from reinvestment of dividends
and distributions 6,452 980 14,770 9,015 2,605 2,122
Cost of shares repurchased (60,699) (212,930) (320,176) (1,527,470) (25,948) (282,801)
Net increase (decrease) from Class 2 transactions 2,642,579 922,122 458,792 118,881 46,495 17,508
Net increase (decrease) in net assets resulting from
capital share transactions 2,243,710 115,029 289,817 (154,748) 46,725 18,949
TOTAL INCREASE (DECREASE) IN NET ASSETS 4,780,025 (1,940,488) 944,313 (528,120) 112,153 6,576
NET ASSETS:
Beginning of period 6,203,918 8,144,406 1,871,976 2,400,096 159,093 152,517
End of period 10,983,943 $ 6,203,918 $ 2,816,289 $ 1,871,976 $ 271,246 $ 159,093
Undistributed (distributions
in excess of) net investment income $ 6,089 $ 4,287 $ (9,732) $ (315) $ 2,968 $ 2,544
SHARES OF BENEFICIAL INTEREST:
Class 1:
Shares sold 361 683 370 4,022 623 1,602
Shares issued on reinvestment of dividends
and distributions 306 226 1,562 2,373 74 83
Shares repurchased (11,358) (23,009) (17,949) (31,122) (724) (1,614)
Net increase (decrease) in shares outstanding (10,691) (22,100) (16,017) (24,727) (27) 71
Class 2:
Shares sold 67,355 29,920 70,421 146,437 7,066 31,801
Shares issued on reinvestment of dividends
and distributions 144 29 1,134 875 271 226
Shares repurchased (1,703) (6,180) (31,470) (136,433) (2,810) (30,086)
Net increase (decrease) in shares outstanding 65,796 23,769 40,085 10,879 4,527 1,941
BLUE CHIP
INCOME AND GROWTH FUND GROWTH-INCOME FUND ASSET ALLOCATION FUND
Year ended Year ended Year ended Year ended Year ended Year ended
December 31, December 31, December 31, December 31, December 31,December 31,
2003 2002 2003 2002 2003 2002
OPERATIONS:
Net investment income (loss) $13,423 $ 5,608 $117,769 $ 107,409 $ 69,347 57,343
Net realized gain (loss) on investments and
non-U.S. currency transactions (19,257) (5,736) (201,039) (1,040) (6,328) (44,140)
Net unrealized appreciation (depreciation)
on investments and non-U.S. currency translations 291,026 (82,437) 2,763,220 (1,759,090) 438,602 (249,438)
Net increase (decrease) in net assets
resulting from operations 285,192 (82,565) 2,679,950 (1,652,721) 501,621 (236,235)
DIVIDENDS AND DISTRIBUTIONS PAID TO
SHAREHOLDERS:
Dividends from net investment income:
Class 1 - (731) (52,064) (46,371) (21,401) (20,853)
Class 2 - (4,919) (65,963) (37,421) (45,402) (25,444)
Total dividends from net investment income - (5,650) (118,027) (83,792) (66,803) (46,297)
Distributions from net realized gain
on investments:
Short-term net realized gains:
Class 1 - - - - - -
Class 2 - - - - - -
Total distributions from net realized gain on
investments - - - - - -
Total dividends and distributions paid
to shareholders - (5,650) (118,027) (83,792) (66,803) (46,297)
CAPITAL SHARE TRANSACTIONS:
Class 1:
Proceeds from shares sold 36,427 36,948 11,989 20,166 16,548 22,833
Proceeds from reinvestment of dividends
and distributions - 731 52,064 46,371 21,401 20,853
Cost of shares repurchased (5,660) (16,264) (476,758) (768,415) (69,895) (120,247)
Net increase (decrease) from Class 1 transactions 30,767 21,415 (412,705) (701,878) (31,946) (76,561)
Class 2:
Proceeds from shares sold 805,425 388,357 2,707,263 1,352,002 946,786 482,358
Proceeds from reinvestment of dividends
and distributions - 4,919 65,963 37,421 45,402 25,444
Cost of shares repurchased (4,287) (6,269) (70,106) (192,299) (23,135) (37,169)
Net increase (decrease) from Class 2 transactions 801,138 387,007 2,703,120 1,197,124 969,053 470,633
Net increase (decrease) in net assets resulting from
capital share transactions 831,905 408,422 2,290,415 495,246 937,107 394,072
TOTAL INCREASE (DECREASE) IN NET ASSETS 1,117,097 320,207 4,852,338 (1,241,267) 1,371,925 111,540
NET ASSETS:
Beginning of period 479,878 159,671 7,373,448 8,614,715 1,853,161 1,741,621
End of period $ 1,596,975 $ 479,878 $ 12,225,786$ 7,373,448 $ 3,225,086 $ 1,853,161
Undistributed (distributions
in excess of) net investment income $ 13,422 $ (1) $ 23,162 $ 23,334 $ 13,442 $ 10,829
SHARES OF BENEFICIAL INTEREST:
Class 1:
Shares sold 4,515 4,441 416 694 1,242 1,713
Shares issued on reinvestment of dividends
and distributions - 101 1,632 1,797 1,510 1,705
Shares repurchased (739) (2,094) (17,052) (27,712) (5,371) (9,051)
Net increase (decrease) in shares outstanding 3,776 2,448 (15,004) (25,221) (2,619) (5,633)
Class 2:
Shares sold 100,260 47,771 91,949 47,358 71,343 36,311
Shares issued on reinvestment of dividends
and distributions - 685 2,040 1,457 3,200 2,091
Shares repurchased (571) (838) (2,646) (7,370) (1,835) (2,897)
Net increase (decrease) in shares outstanding 99,689 47,618 91,343 41,445 72,708 35,505
BOND FUND HIGH-INCOME BOND FUND
Year ended Year ended Year ended Year ended
December 31, December 31, December 31, December 31,
2003 2002 2003 2002
OPERATIONS:
Net investment income (loss) $ 60,447 $ 45,067 $ 48,094 48,835
Net realized gain (loss) on investments and
non-U.S. currency transactions (786) (16,665) (24,098) (55,818)
Net unrealized appreciation (depreciation)
on investments and non-U.S. currency translations 84,086 7,998 136,912 (5,040)
Net increase (decrease) in net assets
resulting from operations 143,747 36,400 160,908 (12,023)
DIVIDENDS AND DISTRIBUTIONS PAID TO
SHAREHOLDERS:
Dividends from net investment income:
Class 1 (8,856) (8,386) (30,181) (35,097)
Class 2 (36,565) (20,697) (18,769) (16,126)
Total dividends from net investment income (45,421) (29,083) (48,950) (51,223)
Distributions from net realized gain
on investments:
Short-term net realized gains:
Class 1 - - - -
Class 2 - - - -
Total distributions from net realized gain on
investments - - - -
Total dividends and distributions paid
to shareholders (45,421) (29,083) (48,950) (51,223)
CAPITAL SHARE TRANSACTIONS:
Class 1:
Proceeds from shares sold 19,014 50,951 47,737 22,929
Proceeds from reinvestment of dividends
and distributions 8,856 8,386 30,181 35,097
Cost of shares repurchased (51,797) (36,190) (71,421) (81,442)
Net increase (decrease) from Class 1 transactions (23,927) 23,147 6,497 (23,416)
Class 2:
Proceeds from shares sold 495,365 339,972 104,759 49,450
Proceeds from reinvestment of dividends
and distributions 36,565 20,697 18,769 16,126
Cost of shares repurchased (27,981) (18,768) (30,197) (19,699)
Net increase (decrease) from Class 2 transactions 503,949 341,901 93,331 45,877
Net increase (decrease) in net assets resulting from
capital share transactions 480,022 365,048 99,828 22,461
TOTAL INCREASE (DECREASE) IN NET ASSETS 578,348 372,365 211,786 (40,785)
NET ASSETS:
Beginning of period 914,890 542,525 518,323 559,108
End of period $ 1,493,238 $ 914,890 $ 730,109 $ 518,323
Undistributed (distributions
in excess of) net investment income $ 59,912 $ 44,449 $ 46,096 $ 46,888
SHARES OF BENEFICIAL INTEREST:
Class 1:
Shares sold 1,765 5,076 4,084 2,194
Shares issued on reinvestment of dividends
and distributions 807 839 2,647 3,563
Shares repurchased (4,742) (3,555) (6,121) (7,863)
Net increase (decrease) in shares outstanding (2,170) 2,360 610 (2,106)
Class 2:
Shares sold 45,595 33,543 8,976 4,635
Shares issued on reinvestment of dividends
and distributions 3,348 2,078 1,654 1,642
Shares repurchased (2,588) (1,864) (2,629) (1,935)
Net increase (decrease) in shares outstanding 46,355 33,757 8,001 4,342
U.S. GOVERNMENT/AAA-RATED
SECURITIES FUND CASH MANAGEMENT FUND
Year ended Year ended Year ended Year ended
December 31, December 31, December 31, December 31,
2003 2002 2003 2002
OPERATIONS:
Net investment income (loss) $ 27,633 $ 27,809 $ 1,526 3,760
Net realized gain (loss) on investments and
non-U.S. currency transactions 4,691 2,910 2 (2)
Net unrealized appreciation (depreciation)
on investments and non-U.S. currency translations (14,043) 25,400 - -
Net increase (decrease) in net assets
resulting from operations 18,281 56,119 1,528 3,758
DIVIDENDS AND DISTRIBUTIONS PAID TO
SHAREHOLDERS:
Dividends from net investment income:
Class 1 (17,176) (18,187) (2,307) (5,923)
Class 2 (10,668) (8,137) (1,435) (4,462)
Total dividends from net investment income (27,844) (26,324) (3,742) (10,385)
Distributions from net realized gain
on investments:
Short-term net realized gains:
Class 1 - - - (16)
Class 2 - - - (12)
Total distributions from net realized gain on
investments - - - (28)
Total dividends and distributions paid
to shareholders (27,844) (26,324) (3,742) (10,413)
CAPITAL SHARE TRANSACTIONS:
Class 1:
Proceeds from shares sold 23,036 164,863 43,713 150,300
Proceeds from reinvestment of dividends
and distributions 17,176 18,187 2,307 5,939
Cost of shares repurchased (178,442) (72,321) (145,373) (167,545)
Net increase (decrease) from Class 1 transactions (138,230) 110,729 (99,353) (11,306)
Class 2:
Proceeds from shares sold 68,855 249,288 182,427 996,887
Proceeds from reinvestment of dividends
and distributions 10,668 8,137 1,435 4,474
Cost of shares repurchased (90,400) (116,117) (216,376) (992,719)
Net increase (decrease) from Class 2 transactions (10,877) 141,308 (32,514) 8,642
Net increase (decrease) in net assets resulting from
capital share transactions (149,107) 252,037 (131,867) (2,664)
TOTAL INCREASE (DECREASE) IN NET ASSETS (158,670) 281,832 (134,081) (9,319)
NET ASSETS:
Beginning of period 804,723 522,891 336,163 345,482
End of period $ 646,053 $ 804,723 $ 202,082 $ 336,163
Undistributed (distributions
in excess of) net investment income $ 28,861 $ 27,676 $ 1,468 $ 3,684
SHARES OF BENEFICIAL INTEREST:
Class 1:
Shares sold 1,853 13,743 3,936 13,366
Shares issued on reinvestment of dividends
and distributions 1,397 1,550 209 535
Shares repurchased (14,567) (5,986) (13,070) (14,815)
Net increase (decrease) in shares outstanding (11,317) 9,307 (8,925) (914)
Class 2:
Shares sold 5,594 20,773 16,424 88,127
Shares issued on reinvestment of dividends
and distributions 871 696 130 404
Shares repurchased (7,425) (9,687) (19,485) (87,799)
Net increase (decrease) in shares outstanding (960) 11,782 (2,931) 732
See Notes to Financial Statements
NOTES TO FINANCIAL STATEMENTS
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
ORGANIZATION - American Funds Insurance Series (the "series") is registered
under the Investment Company Act of 1940 as an open-end, diversified management
investment company with 13 different funds. The assets of each fund are
segregated, with each fund accounted for separately. The funds' investment
objectives are as follows:
[Download Table]
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GLOBAL Long-term growth of capital by investing
DISCOVERY FUND primarily in stocks of companies in the
services and information area of the global
economy.
--------------------------------------------------------------------------------
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GLOBAL Long-term growth of capital by investing
GROWTH FUND primarily in common stocks of companies
located around the world.
--------------------------------------------------------------------------------
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GLOBAL SMALL Long-term growth of capital by investing
CAPITALIZATION FUND primarily in stocks of smaller companies
located around the world.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
GROWTH FUND Long-term growth of capital by investing
primarily in common stocks of companies that
offer opportunities for growth of capital.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
INTERNATIONAL FUND Long-term growth of capital by investing
primarily in common stocks of companies located
outside the United States.
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NEW WORLD FUND Long-term growth of capital by investing
primarily in stocks of companies with
significant exposure to countries with
developing economies and/or markets.
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BLUE CHIP INCOME To produce income exceeding the average
AND GROWTH FUND yield on U.S. stocks and to provide an
opportunity for growth of principal.
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GROWTH-INCOME Growth of capital and income by investing
FUND primarily in common stocks or other securities
that demonstrate the potential for appreciation
and/or dividends.
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ASSET ALLOCATION FUND High total return (including income and
capital gains) consistent with long-term
preservation of capital.
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BOND FUND As high a level of current income as is
consistent with the preservation of capital by
investing primarily in fixed-income securities.
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HIGH-INCOME High current income and, secondarily,
BOND FUND capital appreciation by investing primarily in
intermediate and long-term corporate
obligations, with emphasis on higher yielding,
higher risk, lower rated or unrated securities.
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U.S. GOVERNMENT/ A high level of current income consistent with
AAA-RATED prudent investment risk and preservation of
SECURITIES FUND capital by investing primarily in a combination
of securities guaranteed by the U.S. government
and other debt securities rated AAA or Aaa.
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CASH High current yield while preserving capital
MANAGEMENT FUND by investing in a diversified selection of
high-quality money market instruments.
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Each fund offers two share classes (1 and 2). Holders of each share class have
equal pro rata rights to assets, dividends and liquidation. Each share class has
identical voting rights, except for the exclusive right to vote on matters
affecting only its class. Class 2 shares have different fees and expenses
("class-specific fees and expenses"), primarily due to arrangements for certain
distribution expenses. Differences in class-specific fees and expenses will
result in differences in net investment income and, therefore, the payment of
different per-share dividends by each class.
SUBSEQUENT ACTIVITY - On January 16, 2004, pursuant to exemptive relief granted
by the Securities and Exchange Commission, the series acquired all of the net
assets of Anchor Pathway Fund. The series is the surviving entity for purposes
of maintaining the financial statements and performance history in the
postreorganization.
In connection with the substitution, the series issued a new share class, Class
3, for each fund listed on the next page. The Class 3 shares will have different
class- specific fees and expenses than the existing shares, primarily due to
arrangements for certain distribution expenses. The substitution did not affect
the existing two share classes (1 and 2) of the series.
(shares and dollar amounts in thousands)
[Enlarge/Download Table]
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Total net assets
American Funds Anchor Pathway Class 3 shares Total net assets of acquiring
Insurance Series Fund issued by Total net assets of acquiring fund fund after
("acquiring fund") ("acquired fund") acquiring fund of acquired fund before substiution substitution
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Growth Fund Growth Series 12,057 $575,620 $11,643,913 $12,219,533
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International Fund International 8,456 116,357 2,935,099 3,051,456
Series
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Growth-Income Fund Growth-Income 17,364 601,476 12,781,355 13,382,831
Series
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Asset Allocation Asset Allocation 5,720 84,937 3,334,368 3,419,305
Fund Series
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High-Income Bond High-Yield Bond 4,239 54,221 744,996 799,217
Fund Series
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U.S. Government/ U.S. Government/
AAA-Rated AAA-Rated 4,449 54,895 631,994 686,889
Securities Fund Securities Series
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Cash Management Cash Management 2,068 22,897 197,620 220,517
Fund Series
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SIGNIFICANT ACCOUNTING POLICIES - The financial statements have been prepared to
comply with accounting principles generally accepted in the United States of
America. These principles require management to make estimates and assumptions
that affect reported amounts and disclosures. Actual results could differ from
those estimates. The following is a summary of the significant accounting
policies followed by the series:
SECURITY VALUATION - Equity securities are valued at the official closing
price of, or the last reported sale price on, the exchange or market on
which such securities are traded, as of the close of business on the day
the securities are being valued or, lacking any sales, at the last
available bid price. Prices for each security are taken from the principal
exchange or market in which the security trades. Fixed-income securities
are valued at prices obtained from an independent pricing service, when
such prices are available. However, where the investment adviser deems it
appropriate, such securities will be valued at the mean quoted bid and
asked prices for securities of comparable maturity, quality and type.
Short-term securities maturing within 60 days are valued at amortized cost,
which approximates market value. The ability of the issuers of the debt
securities held by the funds to meet their obligations may be affected by
economic developments in a specific industry, state or region. Forward
currency contracts are valued at the mean of their representative quoted
bid and asked prices. Securities and other assets for which representative
market quotations are not readily available are fair valued as determined
in good faith by authority of the Board of Trustees. Various factors may be
reviewed in order to make a good faith determination of a security's fair
value. These factors include, but are not limited to, the type and cost of
a security; contractual or legal restrictions on resale of the security;
relevant financial or business developments of the issuer; actively traded
similar or related securities; conversion or exchange rights on the
security; related corporate actions; and changes in overall market
conditions. If events occur that materially affect the value of securities
(particularly non-U.S. securities) between the close of trading in those
securities and the close of regular trading on the New York Stock Exchange,
the securities are fair valued.
SECURITY TRANSACTIONS AND RELATED INVESTMENT INCOME - Security transactions
are recorded by the series as of the date the trades are executed with
brokers. Realized gains and losses from security transactions are
determined based on the specific identified cost of the securities. In the
event a security is purchased with a delayed payment date, the series will
segregate liquid assets sufficient to meet its payment obligations.
Dividend income is recognized on the ex-dividend date and interest income
is recognized on an accrual basis. Market discounts, premiums and original
issue discounts on fixed-income securities are amortized daily over the
expected life of the security.
CLASS ALLOCATIONS - Income, fees and expenses (other than class-specific
fees and expenses) and realized and unrealized gains and losses are
allocated daily between classes based on their relative net assets.
Class-specific fees and expenses, such as distribution expenses, are
accrued daily and charged directly to the respective share class.
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS - Dividends and distributions
paid to shareholders are recorded on the ex-dividend date.
NON-U.S. CURRENCY TRANSLATION - Assets and liabilities, including
investment securities, denominated in non-U.S. currencies are translated
into U.S. dollars at the exchange rates in effect at the end of the
reporting period. Purchases and sales of investment securities and income
and expenses are translated into U.S. dollars at the exchange rates on the
dates of such transactions. In the accompanying financial statements, the
effects of changes in non-U.S. exchange rates on investment securities are
included with the net realized gain or loss and net unrealized appreciation
or depreciation on investments. The realized gain or loss and unrealized
appreciation or depreciation resulting from all other transactions
denominated in non-U.S. currencies are disclosed separately.
FORWARD CURRENCY CONTRACTS - The series may enter into forward currency
contracts, which represent agreements to exchange non-U.S. currencies on
specific future dates at predetermined rates. The series enters into these
contracts to manage its exposure to changes in non-U.S. exchange rates
arising from investments denominated in non-U.S. currencies. Upon entering
into these contracts, risks may arise from the potential inability of
counterparties to meet the terms of their contracts and from possible
movements in non-U.S. exchange rates. Due to these risks, the series could
incur losses up to the entire contract amount, which may exceed the net
unrealized value shown in the accompanying financial statements. On a daily
basis, the series values forward currency contracts based on the applicable
exchange rates and records unrealized gains or losses. The series records
realized gains or losses at the time the forward contract is closed or
offset by another contract with the same broker for the same settlement
date and currency.
MORTGAGE DOLLAR ROLLS - The series may enter into mortgage dollar roll
transactions in which a fund in the series sells a mortgage-backed security
to a counterparty and simultaneously enters into an agreement with the same
counterparty to buy back a similar security on a specific future date at a
predetermined price. Each mortgage dollar roll is treated as a financing
transaction; therefore, any realized gain or loss is deferred until the
roll reaches completion. Risks may arise due to the delayed payment date
and the potential inability of counterparties to complete the transaction.
Income is generated as consideration for entering into these transactions
and is included in interest income in the accompanying financial
statements.
SECURITIES LENDING - The series may lend portfolio securities from time to
time in order to earn additional income; however, it does not currently
intend to engage in an ongoing or regular securities lending program. When
a fund lends securities, it receives collateral in an amount not less than
100% of the market value of the loaned securities throughout the period of
the loan. The market value of the loaned securities is determined at the
close of business of the fund and any additional required collateral is
delivered on the next business day. If the borrower defaults on its
obligation to return the securities loaned, the fund could experience
delays and costs in recovering the securities loaned or in gaining access
to the collateral. Income earned is included in interest income in the
accompanying financial statements.
2. NON-U.S. INVESTMENTS
INVESTMENT RISK - The risks of investing in securities of non-U.S. issuers may
include, but are not limited to, investment and repatriation restrictions;
revaluation of currencies; adverse political, social and economic developments;
government involvement in the private sector; limited and less reliable investor
information; lack of liquidity; certain local tax law considerations; and
limited regulation of the securities markets.
TAXATION - Dividend and interest income is recorded net of non-U.S. taxes paid.
Gains realized by the funds on the sale of securities in certain countries are
subject to non-U.S. taxes. The funds record a liability based on unrealized
gains to provide for potential non-U.S. taxes payable upon the sale of these
securities.
3. FEDERAL INCOME TAXATION AND DISTRIBUTIONS
The series complies with the requirements under Subchapter M of the Internal
Revenue Code applicable to mutual funds and intends to distribute substantially
all of its net taxable income and net capital gains each year. The series is not
subject to income taxes to the extent such distributions are made.
DISTRIBUTIONS - Distributions paid to shareholders are based on net investment
income and net realized gains determined on a tax basis, which may differ from
net investment income and net realized gains for financial reporting purposes.
These differences are due primarily to differing treatment for items such as
non-U.S. currency gains and losses; short-term capital gains and losses; capital
losses related to sales of securities within 30 days of purchase; unrealized
appreciation of certain investments in non-U.S. securities; expenses deferred
for tax purposes; cost of investments sold; paydowns on investments; net capital
losses; and net operating losses. The fiscal year in which amounts are
distributed may differ from the year in which the net investment income and net
realized gains are recorded by the funds.
The funds indicated in the following table had capital loss carryforwards
available at December 31, 2003. These amounts may be used to offset capital
gains realized in subsequent years expiring December 31, 2004, through December
31, 2011. The funds will not make distributions from capital gains while a
capital loss carryforward remains.
Additional tax basis disclosures as of December 31, 2003, are as follows:
(dollars in thousands)
[Enlarge/Download Table]
Global Global Global Small
Discovery Growth Capitalization Growth International
Fund Fund Fund Fund Fund
Undistributed net investment income
and currency gains $ 35 $ 6,974 $ - $ 6,520 $ 6,399
Loss deferrals related to non-U.S. currency
that were realized during the period
November 1, 2003, through December 31, 2003 (9) (126) (18) (65) (340)
Short-term and long-term capital loss deferrals (887) (216,752) (156,553) (992,319) (409,482)
Gross unrealized appreciation on investment securities 5,305 250,001 212,940 2,401,268 651,762
Gross unrealized depreciation on investment securities (711) (38,323) (35,544) (346,876) (134,679)
Cost of portfolio securities and cash denominated in non-U.S.
currencies, excluding forward currency contracts 36,025 1,060,901 655,611 8,932,333 2,287,990
Reclassification to (from) undistributed net investment
income from (to) undistributed net realized gai (10) (345) (120) (161) (1,768)
Reclassification to (from) undistributed net investment
income from (to) paid-in capital - - 260 - -
Capital loss carryforward expires in:
2004 $ - $ - $ - $ - $ -
2006 - - - - -
2007 - - - - -
2008 - - - - -
2009 100 101,126 94,473 147,918 147,937
2010 737 56,984 52,175 844,401 121,367
2011 50 56,140 9,869 - 140,178
$ 887 $ 214,250 $ 156,517 $ 992,319 $ 409,482
*Amount less than one thousand.
New Blue Chip Growth- Asset
World Income and Income Allocation Bond
Fund Growth Fund Fund Fund Fund
Undistributed net investment income
and currency gains $ 6,533 $ 13,425 $ 23,636 $ 13,660 $ 60,551
Loss deferrals related to non-U.S. currency
that were realized during the period
November 1, 2003, through December 31, 2003 (12) - (43) (188) -
Short-term and long-term capital loss deferrals (27,633) (24,168) (304,530) (63,663) (22,700)
Gross unrealized appreciation on investment securities 61,621 223,194 2,372,110 429,498 88,942
Gross unrealized depreciation on investment securities (8,574) (14,469) (479,166) (97,619) (12,925)
Cost of portfolio securities and cash denominated in non-U.S.
currencies, excluding forward currency contracts 219,779 1,385,334 10,358,337 2,977,382 1,407,813
Reclassification to (from) undistributed net investment
income from (to) undistributed net realized gain (48) - 86 69 437
Reclassification to (from) undistributed net investment
income from (to) paid-in capital - - - - -
Capital loss carryforward expires in:
2004 $ - $ - $ - $ - $ -
2006 - - - - 1,346
2007 - - - - 154
2008 - - - - 2,909
2009 16,564 1,001 18,842 14,729 534
2010 4,880 3,625 - 28,538 11,748
2011 6,189 15,769 285,688 11,172 5,664
$ 27,633 $ 20,395 $ 304,530 $ 54,439 $ 22,355
*Amount less than one thousand.
U.S.
Government/
AAA-Rated Cash
High-Income Securities Management
Bond Fund Fund Fund
Undistributed net investment income
and currency gains $ 47,471 $ 28,898 $ 1,487
Loss deferrals related to non-U.S. currency
that were realized during the period
November 1, 2003, through December 31, 2003 -* - -
Short-term and long-term capital loss deferrals (157,314) (10,810) -*
Gross unrealized appreciation on investment securities 68,946 19,422 -
Gross unrealized depreciation on investment securities (22,505) (1,286) -
Cost of portfolio securities and cash denominated in non-U.S.
currencies, excluding forward currency contracts 671,736 679,227 203,648
Reclassification to (from) undistributed net investment
income from (to) undistributed net realized gain 64 1,396 -
Reclassification to (from) undistributed net investment
income from (to) paid-in capital - - -
Capital loss carryforward expires in:
2004 $ - $ 2,439 $ -
2006 11,417 3,594 -
2007 973 737 -
2008 - 4,040 -
2009 54,476 - -
2010 50,900 - -
2011 35,517 - -*
$ 153,283 $ 10,810 $ -*
*Amount less than one thousand.
4. FEES AND TRANSACTIONS WITH RELATED PARTIES
Capital Research and Management Company ("CRMC"), the series' investment
adviser, is the parent company of American Funds Distributors, Inc. ("AFD"), the
principal underwriter of the series' shares, and American Funds Service Company
("AFS"), the series' transfer agent.
INVESTMENT ADVISORY SERVICES - The aggregate fee of $110,982,000 for management
services was incurred by the series pursuant to an agreement with CRMC. The
Investment Advisory and Service Agreement provides for monthly fees, accrued
daily, based on annual rates that decrease as average net asset levels increase.
The Board of Trustees approved an amended Investment Advisory and Service
Agreement for Blue Chip Income and Growth Fund, effective January 1, 2004, that
provided for reduced annual rates as reflected in the chart below. During the
year ended December 31, 2003, CRMC voluntarily reduced investment advisory fees
to the rates provided by the amended agreement. As a result, for the year ended
December 31, 2003, the fee shown on the accompanying financial statements was
voluntarily reduced by $181,000 to $4,526,000, which is equivalent to an
annualized rate of 0.48%. Had CRMC not reduced such fee, the annualized rate for
the year ended December 31, 2003, would have been 0.50% for the fund.
The range of rates and asset levels and the current annualized rates of average
net assets for the series are as follows:
[Enlarge/Download Table]
Rates Net Asset Level (in billions)
Beginning Ending For the year ended
Fund with with Up to In excess of December 31, 2003
Global Discovery .580 % all .58 %
Global Growth .690 .530 % $ .6 $ 1.2 .66
Global Small Capitalization .800 .740 .6 .6 .80
Growth .500 .300 .6 13.0 .37
International .690 .450 .5 10.5 .57
New World .850 all .85
Blue Chip Income and Growth .500 .400 .6 1.5 .48
Growth-Income .500 .242 .6 10.5 .33
Asset Allocation .500 .320 .6 2.0 .40
Bond .480 .400 .6 1.0 .45
High-Income Bond .500 .450 .6 1.0 .50
U.S. Government/AAA-Rated Securities .460 .360 .6 1.0 .45
Cash Management .500 .380 .1 .4 .45
DISTRIBUTION SERVICES - The series has adopted a plan of distribution for Class
2 shares. Under the plan, the Board of Trustees approves certain categories of
expenses that are used to finance activities primarily intended to sell fund
shares. The plan provides for annual expenses, based on average daily net
assets, of 0.25% to pay service fees, or to compensate AFD for paying service
fees, to firms that have entered into agreements with AFD for providing certain
shareholder services. During the year ended December 31, 2003, distribution
expenses under the plan for the series aggregated $40,210,000. Class 1 shares
have not adopted a plan of distribution to cover any distribution expenses.
TRANSFER AGENT SERVICES - The aggregate fee of $50,000 was incurred during the
year ended December 31, 2003, pursuant to an agreement with AFS. Under this
agreement, the series compensates AFS for transfer agent services, including
shareholder recordkeeping, communications and transaction processing.
DEFERRED TRUSTEES' COMPENSATION - Since the adoption of the deferred
compensation plan in 1993, Trustees who are unaffiliated with CRMC may elect to
defer the cash payment of part or all of their compensation. These deferred
amounts, which remain as liabilities of the series, are treated as if invested
in shares of the series or other American Funds. These amounts represent
general, unsecured liabilities of the series and vary according to the total
returns of the selected funds. Trustees' compensation in the accompanying
financial statements includes $283,000 in current fees (either paid in cash or
deferred) and a net increase of $274,000 in the value of the deferred amounts.
AFFILIATED OFFICERS AND TRUSTEES - Officers and certain Trustees of the series
are or may be considered to be affiliated with CRMC, AFD and AFS. No affiliated
officers or Trustees received any compensation directly from the series.
5. INVESTMENT TRANSACTIONS AND OTHER DISCLOSURES
Pursuant to the custodian agreement, each fund receives a reduction in its
custodian fee equal to the amount of interest calculated on certain balances
with the custodian bank. For the year ended December 31, 2003, custodian fees
for the series aggregated $2,358,000, which includes $35,000 that was offset by
this reduction, rather than paid in cash.
As of December 31, 2003, Asset Allocation Fund had outstanding forward currency
contracts to sell non-U.S. currencies as follows:
(dollars in thousands)
Contract amount U.S. valuation
Unrealized
Non-U.S. Currency Sale Contracts Non-U.S. U.S. Amount depreciation
Euro, expiring 2/3-3/10/2004 Euro 851 $1,001 $1,067 ($66)
The following table presents additional information as of the year ended
December 31, 2003:
(dollars in thousands)
[Enlarge/Download Table]
Global Global Global Small
Discovery Growth Capitalization Growth International
Fund Fund Fund Fund Fund
Purchases of investment securities (1) $ 17,002 $ 356,627 $ 448,400 $ 4,478,510 $ 934,739
Sales of investment securities (1) 6,572 206,789 255,209 2,498,888 769,386
Non-U.S taxes withheld on dividend income 11 1,329 450 1,604 4,916
Non-U.S taxes withheld on interest income - - (2) - - 1
Non-U.S taxes paid (refunded) on realized gains - 277 (12) - -
Non-U.S taxes provided on unrealized gains
as of December 31, 2003 - - 2,657 - 654
Restricted securities as of December 31, 2003: (3)
Market value 3,676 65,902 34,516 561,863 102,665
Percent of net assets 9% 5% 4% 5% 4%
New Blue Chip Growth- Asset
World Income and Income Allocation Bond
Fund Growth Fund Fund Fund Fund
Purchases of investment securities (1) $ 70,360 $ 842,495 $3,317,180 $ 1,233,391 $ 645,283
Sales of investment securities (1) 31,912 103,066 1,681,395 425,062 201,629
Non-U.S taxes withheld on dividend income 307 - 2,096 665 -
Non-U.S taxes withheld on interest income - - - - -
Non-U.S taxes paid (refunded) on realized gains 201 - - - -
Non-U.S taxes provided on unrealized gains
as of December 31, 2003 1,838 - - - -
Restricted securities as of December 31, 2003: (3)
Market value 14,861 69,751 851,786 447,066 297,937
Percent of net assets 5% 4% 7% 14% 20%
U.S.
Government/
AAA-Rated Cash
High-Income Securities Management
Bond Fund Fund Fund
Purchases of investment securities (1) $ 321,589 $ 456,730 $ 2,722,744
Sales of investment securities (1) 260,626 516,228 2,859,409
Non-U.S taxes withheld on dividend income - - -
Non-U.S taxes withheld on interest income - - -
Non-U.S taxes paid (refunded) on realized gains - - -
Non-U.S taxes provided on unrealized gains
as of December 31, 2003 - - -
Restricted securities as of December 31, 2003: (3)
Market value 253,496 95,973 80,223
Percent of net assets 35% 15% 40%
(1) Excludes short-term securities, except for the Cash Management Fund.
(2) Amount less than one thousand.
(3) The funds have invested in certain securities for which resale may be
limited to qualified buyers or which are otherwise restricted. These
securities include restricted short-term notes, which in practice are as
liquid as unrestricted securities in the portfolios. These securities are
identified in the investment portfolios.
FINANCIAL HIGHLIGHTS (1)
[Enlarge/Download Table]
Income (loss) from investment operations (2)
Net
Net asset gains (losses)
value, Net on securities Total from
Period beginning investment (both realized investment
Ended of period income (loss) and unrealized) operations
GLOBAL DISCOVERY FUND (4)
CLASS 1
12/31/03 $7.26 $.05 $2.67 $2.72
12/31/02 9.30 .06 (2.05) (1.99)
12/31/01 10.00 .04 (.70) (0.66)
CLASS 2
12/31/03 7.25 .02 2.67 2.69
12/31/02 9.30 .04 (2.05) (2.01)
12/31/01 10.00 .02 (.69) (0.67)
GLOBAL GROWTH FUND
CLASS 1
12/31/03 $11.35 $.12 $3.91 $4.03
12/31/02 13.42 .09 (2.02) (1.93)
12/31/01 17.25 .18 (2.50) (2.32)
12/31/00 21.42 .20 (4.15) (3.95)
12/31/99 18.99 .01 3.43 3.44
11/30/99 13.02 .14 6.39 6.53
CLASS 2
12/31/03 11.32 .09 3.89 3.98
12/31/02 13.38 .06 (2.01) (1.95)
12/31/01 17.21 .13 (2.49) (2.36)
12/31/00 21.41 .15 (4.13) (3.98)
12/31/99 18.98 .01 3.42 3.43
11/30/99 13.02 .11 6.37 6.48
GLOBAL SMALL CAPITALIZATION FUND
CLASS 1
12/31/03 $9.27 $ - (5) $4.97 $4.97
12/31/02 11.52 - (5) (2.15) (2.15)
12/31/01 14.28 .03 (1.81) (1.78)
12/31/00 17.37 .09 (2.81) (2.72)
12/31/99 17.16 - (5) 1.92 1.92
11/30/99 9.11 .06 8.20 8.26
CLASS 2
12/31/03 9.23 (.03) 4.95 4.92
12/31/02 11.48 (.02) (2.15) (2.17)
12/31/01 14.24 - (5) (1.80) (1.80)
12/31/00 17.36 .04 (2.80) (2.76)
12/31/99 17.14 - (5) 1.92 1.92
11/30/99 9.10 .04 8.19 8.23
GROWTH FUND
CLASS 1
12/31/03 $33.47 $.16 $12.26 $12.42
12/31/02 44.30 .12 (10.87) (10.75)
12/31/01 73.51 .18 (11.99) (11.81)
12/31/00 70.62 .41 2.97 3.38
12/31/99 72.12 .01 9.64 9.65
11/30/99 54.91 .11 25.35 25.46
CLASS 2
12/31/03 33.29 .06 12.19 12.25
12/31/02 44.09 .03 (10.82) (10.79)
12/31/01 73.28 .04 (11.94) (11.90)
12/31/00 70.57 .25 2.95 3.20
12/31/99 72.04 - (5) 9.63 9.63
11/30/99 54.88 (.02) 25.33 25.31
INTERNATIONAL FUND
CLASS 1
12/31/03 $10.07 $.15 $3.38 $3.53
12/31/02 12.02 .15 (1.90) (1.75)
12/31/01 20.59 .22 (3.79) (3.57)
12/31/00 26.74 .18 (5.90) (5.72)
12/31/99 25.08 .01 4.34 4.35
11/30/99 16.57 .25 8.87 9.12
CLASS 2
12/31/03 10.05 .12 3.37 3.49
12/31/02 11.97 .12 (1.89) (1.77)
12/31/01 20.54 .15 (3.76) (3.61)
12/31/00 26.73 .13 (5.89) (5.76)
12/31/99 25.07 .01 4.33 4.34
11/30/99 16.56 .10 8.98 9.08
NEW WORLD FUND (7)
CLASS 1
12/31/03 $8.76 $.21 $3.21 $3.42
12/31/02 9.44 .20 (.70) (.50)
12/31/01 9.85 .24 (.63) (.39)
12/31/00 11.77 .24 (1.70) (1.46)
12/31/99 10.56 .01 1.25 1.26
11/30/99 10.00 .07 .51 .58
CLASS 2
12/31/03 8.73 .19 3.19 3.38
12/31/02 9.41 .18 (.70) (.52)
12/31/01 9.84 .21 (.62) (.41)
12/31/00 11.77 .20 (1.69) (1.49)
12/31/99 10.55 .02 1.25 1.27
11/30/99 10.00 .06 .51 .57
BLUE CHIP INCOME AND GROWTH FUND (4)
CLASS 1
12/31/03 $7.17 $.13 $2.11 $2.24
12/31/02 9.43 .16 (2.32) (2.16)
12/31/01 10.00 .09 (.61) (.52)
CLASS 2
12/31/03 7.16 .11 2.09 2.20
12/31/02 9.41 .14 (2.30) (2.16)
12/31/01 10.00 .08 (.63) (.55)
GROWTH-INCOME FUND
CLASS 1
12/31/03 $25.63 $.42 $7.96 $8.38
12/31/02 31.70 .41 (6.16) (5.75)
12/31/01 35.23 .51 .49 1.00
12/31/00 33.08 .72 1.98 2.70
12/31/99 38.70 .06 .88 .94
11/30/99 40.73 .69 3.94 4.63
CLASS 2
12/31/03 25.52 .34 7.92 8.26
12/31/02 31.58 .35 (6.14) (5.79)
12/31/01 35.13 .41 .52 .93
12/31/00 33.07 .65 1.96 2.61
12/31/99 38.67 .07 .87 .94
11/30/99 40.70 .59 3.94 4.53
ASSET ALLOCATION FUND
CLASS 1
12/31/03 $12.23 $.41 $2.29 $2.70
12/31/02 14.30 .45 (2.19) (1.74)
12/31/01 15.71 .49 (.37) .12
12/31/00 15.07 .56 .13 .69
12/31/99 16.03 .05 .15 .20
11/30/99 16.57 .58 .60 1.18
CLASS 2
12/31/03 12.18 .37 2.27 2.64
12/31/02 14.25 .42 (2.18) (1.76)
12/31/01 15.67 .45 (.36) .09
12/31/00 15.06 .53 .13 .66
12/31/99 16.02 .05 .14 .19
11/30/99 16.56 .53 .61 1.14
BOND FUND
CLASS 1
12/31/03 $10.41 $.57 $.78 $1.35
12/31/02 10.44 .67 (.24) .43
12/31/01 10.18 .77 .08 .85
12/31/00 9.74 .80 (.29) .51
12/31/99 9.86 .07 (.01) .06
11/30/99 10.37 .73 (.50) .23
CLASS 2
12/31/03 10.36 .53 .78 1.31
12/31/02 10.40 .64 (.24) .40
12/31/01 10.16 .73 .08 .81
12/31/00 9.74 .78 (.30) .48
12/31/99 9.85 .06 - .06
11/30/99 10.36 .67 (.47) .20
HIGH-INCOME BOND FUND
CLASS 1
12/31/03 $10.44 $.90 $2.12 $3.02
12/31/02 11.78 1.01 (1.25) (.24)
12/31/01 12.25 1.17 (.23) .94
12/31/00 12.75 1.24 (1.63) (.39)
12/31/99 12.81 .11 .12 .23
11/30/99 13.77 1.26 (.72) .54
CLASS 2
12/31/03 10.39 .86 2.12 2.98
12/31/02 11.74 .97 (1.25) (.28)
12/31/01 12.22 1.13 (.23) .90
12/31/00 12.75 1.22 (1.64) (.42)
12/31/99 12.80 .11 .12 .23
11/30/99 13.76 1.18 (.67) .51
U.S. GOVERNMENT/AAA-RATED SECURITIES FUND
CLASS 1
12/31/03 $12.37 $.46 $(.15) $.31
12/31/02 11.87 .54 .55 1.09
12/31/01 11.73 .66 .17 .83
12/31/00 10.56 .68 .55 1.23
12/31/99 10.78 .06 (.10) (.04)
11/30/99 11.43 .69 (.67) .02
CLASS 2
12/31/03 12.31 .42 (.14) .28
12/31/02 11.83 .50 .55 1.05
12/31/01 11.70 .62 .18 .80
12/31/00 10.56 .65 .55 1.20
12/31/99 10.78 .05 (.10) (.05)
11/30/99 11.42 .65 (.64) .01
CASH MANAGEMENT FUND
CLASS 1
12/31/03 $11.17 $.07 $ - (5) $.07
12/31/02 11.41 .14 - (5) .14
12/31/01 11.65 .41 .01 .42
12/31/00 11.05 .65 .01 .66
12/31/99 11.13 .05 - (5) .05
11/30/99 11.13 .49 .02 .51
CLASS 2
12/31/03 11.12 .05 - (5) .05
12/31/02 11.37 .11 - (5) .11
12/31/01 11.62 .34 .05 .39
12/31/00 11.04 .63 .01 .64
12/31/99 11.12 .05 - (5) .05
11/30/99 11.12 .48 - (5) .48
[Enlarge/Download Table]
Dividends and distributions
Dividends
(from net Distributions Total Net asset
investment (from capital dividends and value, end Total
income) gains) distributions of period return (3)
GLOBAL DISCOVERY FUND (4)
CLASS 1
12/31/03 $(.04) - $(.04) $9.94 37.41
12/31/02 (.05) - (.05) 7.26 (21.41)
12/31/01 (.04) - (.04) 9.30 (6.65)
CLASS 2
12/31/03 (.02) - (.02) 9.92 37.11
12/31/02 (.04) - (.04) 7.25 (21.67)
12/31/01 (.03) - (.03) 9.30 (6.71)
GLOBAL GROWTH FUND
CLASS 1
12/31/03 $(.08) $ - $(.08) $15.30 35.63
12/31/02 (.14) - (.14) 11.35 (14.46)
12/31/01 (.15) (1.36) (1.51) 13.42 (13.99)
12/31/00 (.02) (.20) (.22) 17.25 (18.71)
12/31/99 (.11) (.90) (1.01) 21.42 18.53
11/30/99 (.12) (.44) (.56) 18.99 51.90
CLASS 2
12/31/03 (.05) - (.05) 15.25 35.27
12/31/02 (.11) - (.11) 11.32 (14.64)
12/31/01 (.11) (1.36) (1.47) 13.38 (14.22)
12/31/00 (.02) (.20) (.22) 17.21 (18.87)
12/31/99 (.10) (.90) (1.00) 21.41 18.47
11/30/99 (.08) (.44) (.52) 18.98 51.45
GLOBAL SMALL CAPITALIZATION FUND
CLASS 1
12/31/03 $(.09) $ - $(.09) $14.15 53.92
12/31/02 (.10) - (.10) 9.27 (18.83)
12/31/01 (.13) (.85) (.98) 11.52 (12.63)
12/31/00 (.05) (.32) (.37) 14.28 (16.33)
12/31/99 (.01) (1.70) (1.71) 17.37 11.70
11/30/99 (.08) (.13) (.21) 17.16 92.15
CLASS 2
12/31/03 (.07) - (.07) 14.08 53.53
12/31/02 (.08) - (.08) 9.23 (19.05)
12/31/01 (.11) (.85) (.96) 11.48 (12.85)
12/31/00 (.04) (.32) (.36) 14.24 (16.53)
12/31/99 - (1.70) (1.70) 17.36 11.69
11/30/99 (.06) (.13) (.19) 17.14 91.86
GROWTH FUND
CLASS 1
12/31/03 $(.15) $ - $(.15) $45.74 37.15
12/31/02 (.08) - (.08) 33.47 (24.27)
12/31/01 (.41) (16.99) (17.40) 44.30 (17.93)
12/31/00 - (.49) (.49) 73.51 4.72
12/31/99 (.05) (11.10) (11.15) 70.62 14.45
11/30/99 (.14) (8.11) (8.25) 72.12 52.56
CLASS 2
12/31/03 (.04) - (.04) 45.50 36.80
12/31/02 (.01) - (.01) 33.29 (24.46)
12/31/01 (.30) (16.99) (17.29) 44.09 (18.15)
12/31/00 - (.49) (.49) 73.28 4.47
12/31/99 - (11.10) (11.10) 70.57 14.44
11/30/99 (.04) (8.11) (8.15) 72.04 52.22
INTERNATIONAL FUND
CLASS 1
12/31/03 $(.19) $ - $(.19) $13.41 35.12
12/31/02 (.20) - (.20) 10.07 (14.58)
12/31/01 (.20) (4.80) (5.00) 12.02 (19.73)
12/31/00 (.01) (.42) (.43) 20.59 (21.85)
12/31/99 (.10) (2.59) (2.69) 26.74 18.18
11/30/99 (.30) (.31) (.61) 25.08 56.48
CLASS 2
12/31/03 (.15) - (.15) 13.39 34.85
12/31/02 (.15) - (.15) 10.05 (14.84)
12/31/01 (.16) (4.80) (4.96) 11.97 (19.89)
12/31/00 (.01) (.42) (.43) 20.54 (22.06)
12/31/99 (.09) (2.59) (2.68) 26.73 18.16
11/30/99 (.26) (.31) (.57) 25.07 56.16
NEW WORLD FUND (7)
CLASS 1
12/31/03 $(.19) $ - $(.19) $11.99 39.56
12/31/02 (.18) - (.18) 8.76 (5.45)
12/31/01 (.02) - (.02) 9.44 (3.99)
12/31/00 (.20) (.26) (.46) 9.85 (12.43)
12/31/99 (.04) (.01) (.05) 11.77 11.88
11/30/99 (.02) - (.02) 10.56 5.87
CLASS 2
12/31/03 (.17) - (.17) 11.94 39.18
12/31/02 (.16) - (.16) 8.73 (5.66)
12/31/01 (.02) - (.02) 9.41 (4.19)
12/31/00 (.18) (.26) (.44) 9.84 (12.70)
12/31/99 (.04) (.01) (.05) 11.77 11.87
11/30/99 (.02) - (.02) 10.55 5.71
BLUE CHIP INCOME AND GROWTH FUND (4)
CLASS 1
12/31/03 $ - - $ - $9.41 31.24
12/31/02 (.10) - (.10) 7.17 (22.93)
12/31/01 (.05) - (.05) 9.43 (5.23)
CLASS 2
12/31/03 - - - 9.36 30.73
12/31/02 (.09) - (.09) 7.16 (23.07)
12/31/01 (.04) - (.04) 9.41 (5.38)
GROWTH-INCOME FUND
CLASS 1
12/31/03 $(.40) $ - $(.40) $33.61 32.76
12/31/02 (.32) - (.32) 25.63 (18.15)
12/31/01 (.73) (3.80) (4.53) 31.70 2.78
12/31/00 (.06) (.49) (.55) 35.23 8.24
12/31/99 (.18) (6.38) (6.56) 33.08 3.21
11/30/99 (.66) (6.00) (6.66) 38.70 12.86
CLASS 2
12/31/03 (.30) - (.30) 33.48 32.43
12/31/02 (.27) - (.27) 25.52 (18.34)
12/31/01 (.68) (3.80) (4.48) 31.58 2.56
12/31/00 (.06) (.49) (.55) 35.13 7.95
12/31/99 (.16) (6.38) (6.54) 33.07 3.19
11/30/99 (.56) (6.00) (6.56) 38.67 12.59
ASSET ALLOCATION FUND
CLASS 1
12/31/03 $(.35) $ - $(.35) $14.58 22.14
12/31/02 (.33) - (.33) 12.23 (12.19)
12/31/01 (.59) (.94) (1.53) 14.30 .77
12/31/00 (.05) - (.05) 15.71 4.62
12/31/99 (.14) (1.02) (1.16) 15.07 1.45
11/30/99 (.57) (1.15) (1.72) 16.03 7.65
CLASS 2
12/31/03 (.31) - (.31) 14.51 21.74
12/31/02 (.31) - (.31) 12.18 (12.38)
12/31/01 (.57) (.94) (1.51) 14.25 .52
12/31/00 (.05) - (.05) 15.67 4.40
12/31/99 (.13) (1.02) (1.15) 15.06 1.42
11/30/99 (.53) (1.15) (1.68) 16.02 7.39
BOND FUND
CLASS 1
12/31/03 $(.42) $ - $(.42) $11.34 13.07
12/31/02 (.46) - (.46) 10.41 4.26
12/31/01 (.59) - (.59) 10.44 8.48
12/31/00 (.07) - (.07) 10.18 5.22
12/31/99 (.18) - (.18) 9.74 .61
11/30/99 (.69) (.05) (.74) 9.86 2.33
CLASS 2
12/31/03 (.40) - (.40) 11.27 12.80
12/31/02 (.44) - (.44) 10.36 4.05
12/31/01 (.57) - (.57) 10.40 8.15
12/31/00 (.06) - (.06) 10.16 4.99
12/31/99 (.17) - (.17) 9.74 .59
11/30/99 (.66) (.05) (.71) 9.85 2.07
HIGH-INCOME BOND FUND
CLASS 1
12/31/03 $(.92) - $(.92) $12.54 29.79
12/31/02 (1.10) - (1.10) 10.44 (1.51)
12/31/01 (1.41) - (1.41) 11.78 8.02
12/31/00 (.11) - (.11) 12.25 (3.06)
12/31/99 (.29) - (.29) 12.75 1.83
11/30/99 (1.31) (.19) (1.50) 12.81 4.22
CLASS 2
12/31/03 (.90) - (.90) 12.47 29.51
12/31/02 (1.07) - (1.07) 10.39 (1.83)
12/31/01 (1.38) - (1.38) 11.74 7.73
12/31/00 (.11) - (.11) 12.22 (3.31)
12/31/99 (.28) - (.28) 12.75 1.81
11/30/99 (1.28) (.19) (1.47) 12.80 3.96
U.S. GOVERNMENT/AAA-RATED SECURITIES FUND
CLASS 1
12/31/03 $(.44) - $(.44) $12.24 2.51
12/31/02 (.59) - (.59) 12.37 9.45
12/31/01 (.69) - (.69) 11.87 7.24
12/31/00 (.06) - (.06) 11.73 11.69
12/31/99 (.18) - (.18) 10.56 (.41)
11/30/99 (.67) - (.67) 10.78 .24
CLASS 2
12/31/03 (.42) - (.42) 12.17 2.28
12/31/02 (.57) - (.57) 12.31 9.15
12/31/01 (.67) - (.67) 11.83 7.02
12/31/00 (.06) - (.06) 11.70 11.39
12/31/99 (.17) - (.17) 10.56 (.43)
11/30/99 (.65) - (.65) 10.78 .08
CASH MANAGEMENT FUND
CLASS 1
12/31/03 $(.17) - $(.17) $11.07 .67
12/31/02 (.38) - (.38) 11.17 1.24
12/31/01 (.66) - (.66) 11.41 3.66
12/31/00 (.06) - (.06) 11.65 6.04
12/31/99 (.13) - (.13) 11.05 .46
11/30/99 (.51) - (.51) 11.13 4.73
CLASS 2
12/31/03 (.14) - (.14) 11.03 .47
12/31/02 (.36) - (.36) 11.12 1.00
12/31/01 (.64) - (.64) 11.37 3.43
12/31/00 (.06) - (.06) 11.62 5.83
12/31/99 (.13) - (.13) 11.04 .43
11/30/99 (.48) - (.48) 11.12 4.47
[Enlarge/Download Table]
Ratio of Ratio of net
Net assets, expenses income (loss) Portfolio
end of period to average to average turnover
(in millions) net assets net assets rate
GLOBAL DISCOVERY FUND (4)
CLASS 1
12/31/03 $17 .61 % .55 % 30 %
12/31/02 10 .61 .69 25
12/31/01 12 .31 .42 4
CLASS 2
12/31/03 24 .86 .28 30
12/31/02 9 .86 .48 25
12/31/01 4 .42 .21 4
GLOBAL GROWTH FUND
CLASS 1
12/31/03 $188 .70 % .94 % 27 %
12/31/02 152 .71 .73 30
12/31/01 215 .70 1.24 38
12/31/00 317 .70 .97 41
12/31/99 327 .06 .06 3
11/30/99 272 .72 1.01 26
CLASS 2
12/31/03 1,082 .95 .68 27
12/31/02 592 .96 .48 30
12/31/01 600 .95 .88 38
12/31/00 562 .95 .73 41
12/31/99 399 .08 .04 3
11/30/99 316 .96 .77 26
GLOBAL SMALL CAPITALIZATION FUND
CLASS 1
12/31/03 $163 .83 % (.03)% 51 %
12/31/02 108 .84 .04 66
12/31/01 149 .83 .21 65
12/31/00 213 .86 .52 62
12/31/99 178 .07 - (6) 7
11/30/99 150 .82 .53 81
CLASS 2
12/31/03 665 1.08 (.28) 51
12/31/02 290 1.09 (.20) 66
12/31/01 274 1.08 (.05) 65
12/31/00 234 1.11 .25 62
12/31/99 111 .09 (.02) 7
11/30/99 88 1.06 .25 81
GROWTH FUND
CLASS 1
12/31/03 $3,877 .39 % .41 % 34 %
12/31/02 3,195 .40 .30 34
12/31/01 5,207 .38 .34 31
12/31/00 7,677 .38 .53 48
12/31/99 8,224 .03 .01 3
11/30/99 7,270 .39 .19 37
CLASS 2
12/31/03 $7,107 .64 .16 34
12/31/02 3,009 .65 .07 34
12/31/01 2,937 .63 .07 31
12/31/00 2,356 .63 .33 48
12/31/99 1,149 .05 (.01) 3
11/30/99 937 .64 (.06) 37
INTERNATIONAL FUND
CLASS 1
12/31/03 $1,431 .63 % 1.40 % 40 %
12/31/02 1,236 .63 1.35 30
12/31/01 1,772 .61 1.41 40
12/31/00 2,750 .59 .72 42
12/31/99 4,113 .05 .03 1
11/30/99 3,526 .61 1.18 42
CLASS 2
12/31/03 1,385 .88 1.08 40
12/31/02 636 .88 1.05 30
12/31/01 628 .86 1.04 40
12/31/00 581 .84 .50 42
12/31/99 391 .07 .01 1
11/30/99 311 .85 .84 42
NEW WORLD FUND (7)
CLASS 1
12/31/03 $47 .92 % 2.15 % 19 %
12/31/02 35 .91 2.14 22
12/31/01 37 .91 2.54 31
12/31/00 45 .92 2.14 43
12/31/99 45 .08 .18 3
11/30/99 37 .43 1.02 1
CLASS 2
12/31/03 224 1.17 1.90 19
12/31/02 124 1.16 1.89 22
12/31/01 116 1.16 2.25 31
12/31/00 102 1.17 1.83 43
12/31/99 38 .10 .16 3
11/30/99 28 .57 .95 1
BLUE CHIP INCOME AND GROWTH FUND (4)
CLASS 1
12/31/03 $107 .50 % (8) 1.67 % 12 %
12/31/02 54 .52 1.89 8
12/31/01 49 .25 .93 12
CLASS 2
12/31/03 1,490 .74 (8) 1.41 12
12/31/02 426 .77 1.76 8
12/31/01 111 .37 .82 12
GROWTH-INCOME FUND
CLASS 1
12/31/03 $4,402 .34 % 1.45 % 21 %
12/31/02 3,741 .35 1.43 26
12/31/01 5,428 .35 1.53 34
12/31/00 6,022 .35 2.16 47
12/31/99 6,632 .03 .18 3
11/30/99 6,537 .35 1.75 41
CLASS 2
12/31/03 7,824 .59 1.18 21
12/31/02 3,632 .60 1.22 26
12/31/01 3,187 .60 1.25 34
12/31/00 1,972 .60 1.92 47
12/31/99 1,203 .05 .16 3
11/30/99 1,109 .60 1.50 41
ASSET ALLOCATION FUND
CLASS 1
12/31/03 $911 .42 % 3.12 % 20 %
12/31/02 797 .45 3.31 25
12/31/01 1,012 .45 3.30 32
12/31/00 1,136 .45 3.77 32
12/31/99 1,387 .04 .31 1
11/30/99 1,394 .44 3.50 36
CLASS 2
12/31/03 2,314 .67 2.81 20
12/31/02 1,056 .70 3.11 25
12/31/01 730 .70 3.03 32
12/31/00 453 .70 3.53 32
12/31/99 341 .06 .29 1
11/30/99 321 .69 3.24 36
BOND FUND
CLASS 1
12/31/03 $213 .47 % 5.19 % 20 %
12/31/02 218 .49 6.60 29
12/31/01 194 .49 7.38 59
12/31/00 151 .51 8.03 55
12/31/99 169 .05 .65 5
11/30/99 173 .53 7.17 38
CLASS 2
12/31/03 1,280 .72 4.88 20
12/31/02 697 .74 6.34 29
12/31/01 349 .74 7.06 59
12/31/00 144 .76 7.87 55
12/31/99 85 .07 .63 5
11/30/99 80 .78 6.94 38
HIGH-INCOME BOND FUND
CLASS 1
12/31/03 $411 .51 % 7.74 % 48 %
12/31/02 335 .52 9.55 45
12/31/01 403 .51 9.60 42
12/31/00 436 .52 9.87 50
12/31/99 586 .04 .79 1
11/30/99 589 .51 9.13 31
CLASS 2
12/31/03 319 .76 7.41 48
12/31/02 183 .77 9.28 45
12/31/01 156 .76 9.37 42
12/31/00 117 .77 9.76 50
12/31/99 99 .07 .77 1
11/30/99 95 .76 8.86 31
U.S. GOVERNMENT/AAA-RATED SECURITIES FUND
CLASS 1
12/31/03 $373 .46 % 3.71 % 63 %
12/31/02 517 .47 4.45 53
12/31/01 386 .47 5.58 84
12/31/00 362 .49 6.16 54
12/31/99 421 .05 .52 2
11/30/99 431 .52 6.06 58
CLASS 2
12/31/03 273 .71 3.43 63
12/31/02 288 .72 4.14 53
12/31/01 137 .72 5.27 84
12/31/00 70 .74 5.89 54
12/31/99 48 .07 .51 2
11/30/99 47 .77 5.83 58
CASH MANAGEMENT FUND
CLASS 1
12/31/03 $103 .47 % .68 % -
12/31/02 203 .46 1.25 -
12/31/01 218 .46 3.52 -
12/31/00 211 .46 5.80 -
12/31/99 317 .04 .45 -
11/30/99 306 .46 4.65 -
CLASS 2
12/31/03 99 .72 .42 -
12/31/02 133 .71 1.00 -
12/31/01 127 .71 2.99 -
12/31/00 49 .71 5.60 -
12/31/99 48 .06 .42 -
11/30/99 48 .71 4.40 -
(1) The periods ended 2000 through 2003 represent the fiscal years ended
December 31. The period ended December 31, 1999, represents the one month
ended December 31. The period ended November 30, 1999, represents the
fiscal year ended November 30.
(2) Periods ended 1999 are based on shares outstanding on the last day of the
period; all other periods are based on average shares outstanding.
(3) Total returns exclude all sales charges.
(4) Commenced operations July 5, 2001.
(5) Amount less than one cent.
(6) Amount less than .01 percent.
(7) Commenced operations June 17, 1999.
(8) During the year ended December 31, 2003, Capital Research and Management
Company voluntarily reduced investment advisory fees to rates provided by
the amended agreement effective January 1, 2004. Had Capital Research and
Management Company not reduced such fees, expense ratios would have been
.52% and .76% for classes 1 and 2, respectively.
See Notes to Financial Statements
REPORT OF INDEPENDENT AUDITORS
To the Board of Trustees and Shareholders of American Funds Insurance Series:
In our opinion, the accompanying statements of assets and liabilities, including
the investment portfolios, and the related statements of operations and changes
in net assets and the financial highlights present fairly, in all material
respects, the financial position of the Global Discovery Fund, the Global Growth
Fund, the Global Small Capitalization Fund, the Growth Fund, the International
Fund, the New World Fund, the Blue Chip Income and Growth Fund, the
Growth-Income Fund, the Asset Allocation Fund, the Bond Fund, the High-Income
Bond Fund, the U.S. Government /AAA-Rated Securities Fund and the Cash
Management Fund (constituting the American Funds Insurance Series, hereafter
referred to as the "Series") at December 31, 2003, and the results of each of
their operations, the changes in each of their net assets and the financial
highlights for each of the periods presented, in conformity with accounting
principles generally accepted in the United States of America. These financial
statements and financial highlights (hereafter referred to as "financial
statements") are the responsibility of the Series' management; our
responsibility is to express an opinion on these financial statements based on
our audits. We conducted our audits of these financial statements in accordance
with auditing standards generally accepted in the United States of America,
which require that we plan and perform the audits to obtain reasonable assurance
about whether the financial statements are free of material misstatement. An
audit includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, and evaluating the overall
financial statement presentation. We believe that our audits, which included
confirmation of securities owned at December 31, 2003 by correspondence with the
custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Los Angeles, California
January 30, 2004
BOARD OF TRUSTEES
"NON-INTERESTED" TRUSTEES
[Enlarge/Download Table]
YEAR FIRST
ELECTED
A TRUSTEE
NAME AND AGE OF THE SERIES (1) PRINCIPAL OCCUPATION(S) DURING PAST FIVE YEARS
LEE A. AULT III, 67 1999 Chairman of the Board, In-Q-Tel, Inc. (information technology);
former Chairman of the Board, President and CEO, Telecredit, Inc.
H. FREDERICK CHRISTIE, 70 1994 Private investor; former President and CEO, The Mission Group
(non-utility holding company, subsidiary of Southern California
Edison Company)
JOE E. DAVIS, 69 1991 Private investor; former Chairman of the Board, Linear Corporation;
former President and CEO, National Health Enterprises, Inc.
MARTIN FENTON, 68 1995 Chairman of the Board and CEO, Senior Resource Group LLC
(development and management of senior living communities)
LEONARD R. FULLER, 57 1999 President and CEO, Fuller Consulting (financial management
consulting firm)
MARY MYERS KAUPPILA, 49 1994 Private investor; Chairman of the Board and CEO, Ladera Management
Company (venture capital and agriculture); former owner and
President, Energy Investment, Inc.
KIRK P. PENDLETON, 64 1996 Chairman of the Board and CEO, Cairnwood, Inc. (venture capital
investment)
"NON-INTERESTED" TRUSTEES
NUMBER OF
BOARDS WITHIN
THE FUND
COMPLEX (2)
ON WHICH
NAME AND AGE TRUSTEE SERVES OTHER DIRECTORSHIPS (3) HELD BY TRUSTEE
LEE A. AULT III, 67 1 Anworth Mortgage Asset Corporation;
Equifax, Inc.; Office Depot, Inc.
H. FREDERICK CHRISTIE, 70 19 Ducommun Incorporated; IHOP Corporation;
Southwest Water Company; Valero L.P.
JOE E. DAVIS, 69 1 Anworth Mortgage Asset Corporation;
Natural Alternatives Inc.; Wilshire
Technologies, Inc.
MARTIN FENTON, 68 16 None
LEONARD R. FULLER, 57 14 None
MARY MYERS KAUPPILA, 49 5 None
KIRK P. PENDLETON, 64 6 None
"INTERESTED" TRUSTEES (4)
[Enlarge/Download Table]
YEAR FIRST
ELECTED A
TRUSTEE OR PRINCIPAL OCCUPATION(S) DURING PAST FIVE YEARS
NAME, AGE AND OFFICER OF AND POSITIONS HELD WITH AFFILIATED ENTITIES OR THE
POSITION WITH SERIES THE SERIES (1) PRINCIPAL UNDERWRITER OF THE SERIES
JAMES K. DUNTON, 66 1993 Senior Vice President and Director, Capital
Chairman of the Board and Research and Management Company
Principal Executive Officer
DONALD D. O'NEAL, 43 1998 Senior Vice President, Capital Research and
President Management Company
MICHAEL J. DOWNER, 49 1991 Vice President and Secretary, Capital Research
Senior Vice President and Management Company; Secretary, American
Funds Distributors, Inc. (5); Director,
Capital Bank and Trust Company (5)
"INTERESTED" TRUSTEES (4)
NUMBER OF
BOARDS
WITHIN THE
FUND COMPLEX (2)
NAME, AGE AND ON WHICH
POSITION WITH SERIES TRUSTEE SERVES OTHER DIRECTORSHIPS (3) HELD BY TRUSTEE
JAMES K. DUNTON, 66 2 None
Chairman of the Board and
Principal Executive Officer
DONALD D. O'NEAL, 43 2 None
President
MICHAEL J. DOWNER, 49 1 None
Senior Vice President
THE STATEMENT OF ADDITIONAL INFORMATION INCLUDES ADDITIONAL INFORMATION ABOUT
THE SERIES' TRUSTEES AND IS AVAILABLE WITHOUT CHARGE UPON REQUEST BY CALLING
AMERICAN FUNDS SERVICE COMPANY AT 800/421-0180. THE ADDRESS FOR ALL TRUSTEES AND
OFFICERS OF THE SERIES IS 333 SOUTH HOPE STREET, LOS ANGELES, CA 90071,
ATTENTION: FUND SECRETARY.
OTHER OFFICERS
[Enlarge/Download Table]
YEAR FIRST
ELECTED AN PRINCIPAL OCCUPATION(S) DURING PAST FIVE YEARS AND
NAME, AGE AND OFFICER OF POSITIONS HELD WITH AFFILIATED ENTITIES OR THE
POSITION WITH SERIES THE SERIES (1) PRINCIPAL UNDERWRITER OF THE SERIES
ALAN N. BERRO, 43 1998 Senior Vice President, Capital Research Company (5)
Senior Vice President
ABNER D. GOLDSTINE, 74 1993 Senior Vice President and Director, Capital Research
Senior Vice President and Management Company
JOHN H. SMET, 47 1994 Senior Vice President, Capital Research and
Senior Vice President Management Company
CLAUDIA P. HUNTINGTON, 51 1994 Senior Vice President, Capital Research and
Vice President Management Company
ROBERT W. LOVELACE, 41 1997 Senior Vice President, Capital Research and
Vice President Management Company; Chairman of the Board and
Principal Executive Officer, Capital Research Company (5);
Director, American Funds Distributors, Inc. (5);
Director, The Capital Group Companies, Inc. (5)
SUSAN M. TOLSON, 41 1999 Senior Vice President, Capital Research
Vice President Company (5)
CHAD L. NORTON, 43 1994 Vice President-- Fund Business Management
Secretary Group, Capital Research and Management Company
DAVID A. PRITCHETT, 37 1999 Vice President-- Fund Business Management
Treasurer Group, Capital Research and Management Company
STEVEN I. KOSZALKA, 39 2003 Fund Boards Specialist, Capital Research
Assistant Secretary and Management Company
SHERYL F. JOHNSON, 35 1997 Vice President-- Fund Business Management
Assistant Treasurer Group, Capital Research and Management Company
JEFFREY P. REGAL, 32 2004 Vice President-- Fund Business Management
Assistant Treasurer Group, Capital Research and Management Company
(1) Trustees and officers of the series serve until their resignation, removal
or retirement.
(2) Capital Research and Management Company manages the American Funds,
consisting of 29 funds, and Endowments, whose shareholders are limited to
certain nonprofit organizations.
(3) This includes all directorships (other than those in the American Funds)
that are held by each Trustee as a director of a public company or a
registered investment company.
(4) "Interested persons" within the meaning of the 1940 Act on the basis of
their affiliation with the series' investment adviser, Capital Research and
Management Company, or affiliated entities (including the series' principal
underwriter).
(5) Company affiliated with Capital Research and Management Company.
[logo American Funds(R)]
The right choice for the long term(R)
OFFICES OF THE SERIES AND OF THE INVESTMENT ADVISER
Capital Research and
Management Company
333 South Hope Street
Los Angeles, CA 90071-1406
135 South State College Boulevard
Brea, CA 92821-5823
CUSTODIAN OF ASSETS
State Street Bank and Trust Company
225 Franklin Street
Boston, MA 02105-1713
COUNSEL
Paul, Hastings, Janofsky & Walker LLP
515 South Flower Street
Los Angeles, CA 90071-2228
INDEPENDENT AUDITORS
PricewaterhouseCoopers LLP
350 South Grand Avenue
Los Angeles, CA 90071-2889
"AMERICAN FUNDS PROXY VOTING GUIDELINES" -- WHICH DESCRIBES HOW WE VOTE PROXIES
RELATING TO PORTFOLIO SECURITIES -- IS AVAILABLE UPON REQUEST, FREE OF CHARGE,
BY CALLING AMERICAN FUNDS SERVICE COMPANY AT 800/421-0180, VISITING THE AMERICAN
FUNDS WEBSITE AT AMERICANFUNDS.COM OR ACCESSING THE U.S. SECURITIES AND EXCHANGE
COMMISSION WEBSITE AT WWW.SEC.GOV.
This report is for the information of American Funds Insurance Series investors,
but it may also be used as sales literature when preceded or accompanied by the
current prospectus for American Funds Insurance Series and the prospectus for
the applicable insurance contract, which give details about charges, expenses,
investment objectives and operating policies. If used as sales material after
March 31, 2004, this report must be accompanied by an American Legacy III
statistical update for the most recently completed calendar quarter.
THE CAPITAL GROUP COMPANIES
American Funds
Capital Research and Management
Capital International
Capital Guardian
Capital Bank and Trust
Lit. No. INAFAR-001-0204
Litho in USA RCG/AL/8074
Printed on recycled paper
ITEM 2 - Code of Ethics
This Registrant has adopted a Code of Ethics that applies to its Principal
Executive Officer and Principal Financial Officer. The Registrant undertakes to
provide to any person without charge, upon request, a copy of the Code of
Ethics. Such request can be made to American Funds Service Company at
800/421-0180 or to the Secretary of the Registrant, 333 South Hope Street, Los
Angeles, California 90071.
ITEM 3 - Audit Committee Financial Expert
The Registrant's Board has determined that Joe E. Davis, a member of the
Registrant's Audit Committee, is an "audit committee financial expert" and
"independent," as such terms are defined in this Item. This designation will not
increase the designee's duties, obligations or liability as compared to his
duties, obligations and liability as a member of the Audit Committee and of the
Board; nor will it reduce the responsibility of the other Audit Committee
members. There may be other individuals who, through education or experience,
would qualify as "audit committee financial experts" if the Board had designated
them as such. Most importantly, the Board believes each member of the Audit
Committee contributes significantly to the effective oversight of the
Registrant's financial statements and condition.
ITEM 4 - Principal Accountant Fees and Services
Fees paid to the registrant's auditors for each of the last two fiscal years,
including fees for non-audit services billed to the adviser and affiliates for
engagements that relate directly to the operations and financial reporting of
the registrant, and a description of the nature of the services comprising the
fees, are listed below:
Registrant:
a) Audit Fees:
2002 $264,000
2003 $260,000
b) Audit- Related Fees:
2002 none
2003 none
c) Tax Fees:
2002 $59,000
2003 $57,000
The tax fees consist of professional services relating to
the preparation of the fund's tax returns including returns
relating to the fund's investments in a non-U.S
jurisdiction.
d) All Other Fees:
2002 none
2003 none
Adviser and affiliates (includes only fees for non-audit
services billed to the adviser and affiliates for
engagements that relate directly to the operations and
financial reporting of the registrant and were subject to
the pre-approval policies described below):
b) Audit- Related Fees:
2002 none
2003 none
c) Tax Fees:
2002 none
2003 none
d) All Other Fees:
2002 none
2003 none
The registrant's Audit Committee will pre-approve all audit and permissible
non-audit services that the Committee considers compatible with maintaining the
auditors' independence. The pre-approval requirement will extend to all
non-audit services provided to the registrant, the investment adviser, and any
entity controlling, controlled by, or under common control with the investment
adviser that provides ongoing services to the registrant, if the engagement
relates directly to the operations and financial reporting of the registrant.
The Committee will not delegate its responsibility to pre-approve these services
to the investment adviser. The Committee may delegate to one or more Committee
members the authority to review and pre-approve audit and permissible non-audit
services. Actions taken under any such delegation will be reported to the full
Committee at its next meeting. The pre-approval requirement is waived with
respect to non-audit services if certain conditions are met. The pre-approval
requirement was not waived for any of the services listed above under paragraphs
b, c and d.
Aggregate non-audit fees paid to the registrant's auditors, including fees for
all services billed to the adviser and affiliates were $2,135,000 for fiscal
year 2002 and $57,000 for fiscal year 2003. The non-audit services represented
by these amounts were brought to the attention of the Committee and considered
to be compatible with maintaining the auditors' independence.
ITEM 5 - Audit Committee Disclosure for Listed Companies
Not applicable.
ITEM 6 - Reserved
ITEM 7 - Disclosure of Proxy Voting Policies and Procedures for Closed-End
Management Investment Companies
Not applicable to this Registrant, insofar as the Registrant is not a closed-end
management investment company.
ITEM 8 - Reserved
ITEM 9 - Controls and Procedures
(a) The officers providing the certifications in this report in accordance with
rule 30a-2 under the Investment Company Act of 1940 have concluded, based
on their evaluation of the Registrant's disclosure controls and procedures
(as such term is defined in such rule), that such controls and procedures
are adequate and reasonably designed to achieve the purposes described in
paragraph (c) of such rule.
(b) There were no changes in the Registrant's internal controls over financial
reporting (as defined in Rule 30a-3(d) under the Investment Company Act of
1940) that occurred during the Registrant's last fiscal half-year (the
Registrant's second fiscal half-year in the case of an annual report) that
has materially affected, or is reasonably likely to materially affect, the
Registrant's internal control over financial reporting.
ITEM 10 - Exhibits
(a) The Code of Ethics that is the subject of the disclosure required by Item 2
is attached as an exhibit hereto.
(b) The certifications required by Rule 30a-2 of the Investment Company Act of
1940, as amended, and Sections 302 and 906 of the Sarbanes-Oxley Act of
2002 are attached as exhibits hereto.
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.
AMERICAN FUNDS INSURANCE SERIES
By /s/ James K. Dunton
---------------------------------
James K. Dunton, Chairman and PEO
Date: March 8, 2004
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By /s/ James K. Dunton
----------------------------------
James K. Dunton, Chairman and PEO
Date: March 8, 2004
By /s/ David A. Pritchett
------------------------------
David A. Pritchett, Treasurer
Date: March 8, 2004
Dates Referenced Herein and Documents Incorporated by Reference
| Referenced-On Page |
|---|
| This ‘N-CSR’ Filing | | Date | | First | | Last | | | Other Filings |
|---|
| |  |
| | 12/31/11 | | 2 | | | | | 24F-2NT, N-CSR, N-MFP, NSAR-B |
| | 12/31/04 | | 2 | | | | | 24F-2NT, N-CSR, NSAR-B |
| | 3/31/04 | | 2 |
| Filed on / Effective on: | | 3/10/04 |
| | 3/8/04 | | 3 |
| | 2/6/04 | | 2 |
| | 1/30/04 | | 2 |
| | 1/16/04 | | 2 | | | | | 485BPOS |
| | 1/1/04 | | 2 |
| For Period End: | | 12/31/03 | | 1 | | 2 | | | 24F-2NT, NSAR-B, NSAR-B/A |
| | 11/1/03 | | 2 |
| | 7/5/01 | | 2 |
| | 12/31/99 | | 2 | | | | | NSAR-B, NSAR-B/A |
| | 11/30/99 | | 2 | | | | | 24F-2NT, N-30D, NSAR-B |
| | 6/17/99 | | 2 |
| | 4/30/97 | | 2 |
| List all Filings |
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