-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, Opp21kTDQ7Ft3MWZrgUOhHNeCzuvJEfvEeLmDASujGjj1JbRgyEVVx54BS4pHVv7 btgLwLdg2rbXGJuecaWfwg== 0000820027-98-000290.txt : 19980427 0000820027-98-000290.hdr.sgml : 19980427 ACCESSION NUMBER: 0000820027-98-000290 CONFORMED SUBMISSION TYPE: N-30D PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 19980228 FILED AS OF DATE: 19980424 SROS: NONE FILER: COMPANY DATA: COMPANY CONFORMED NAME: IDS LIFE INVESTMENT SERIES FUND INC CENTRAL INDEX KEY: 0000353968 STANDARD INDUSTRIAL CLASSIFICATION: UNKNOWN SIC - 0000 [0000] IRS NUMBER: 411409539 STATE OF INCORPORATION: MN FISCAL YEAR END: 0831 FILING VALUES: FORM TYPE: N-30D SEC ACT: SEC FILE NUMBER: 811-03218 FILM NUMBER: 98600202 BUSINESS ADDRESS: STREET 1: 80 SOUTH 8TH STREET STREET 2: IDS TOWER 10 CITY: MINNEAPOLIS STATE: MN ZIP: 55440 BUSINESS PHONE: 6126718626 MAIL ADDRESS: STREET 1: IDS FINANCIAL SERVICES INC STREET 2: IDS TOWER 10 CITY: MINNEAPOLIS STATE: MN ZIP: 55440 FORMER COMPANY: FORMER CONFORMED NAME: IDS LIFE CAPITAL RESOURCE FUND INC DATE OF NAME CHANGE: 19920703 FORMER COMPANY: FORMER CONFORMED NAME: IDS LIFE CAPITAL RESOURCE FUND II INC DATE OF NAME CHANGE: 19851104 N-30D 1 Funds with separate goals and objectives to provide investment flexibility with no initial sales charge. Retirement Annuity Mutual Funds 1998 SEMIANNUAL REPORT American Express Financial Advisors Managed by IDS Life Insurance Company The Retirement Annuity Mutual Funds provide several alternatives to consider for investment through your annuity contracts. Contents From the chairman 3 Capital Resource Fund From the portfolio manager 4 The Fund's ten largest holdings 5 Special Income Fund From the portfolio manager 6 The Fund's ten largest holdings 7 Managed Fund From the portfolio managers 8 The Fund's ten largest holdings 9 Moneyshare Fund From the portfolio manager 10 International Equity Fund From the portfolio manager 11 The Fund's ten largest holdings 12 Aggressive Growth Fund From the portfolio manager 13 The Fund's ten largest holdings 14 Global Yield Fund From the portfolio manager 15 The Fund's ten largest holdings 16 Growth Dimensions Fund From the portfolio manager 17 The Fund's ten largest holdings 18 Income Advantage Fund From the portfolio manager 19 The Fund's ten largest holdings 20 All Funds Financial statements 21 Notes to financial statements 32 Investments in securities 54 To our contract owners From the chairman The past six months was a positive period for financial assets, especially U.S. stocks and bonds. As a result, the IDS Life Retirement Annuity Mutual Funds that invest primarily in U.S. securities experienced gains during the period, which ran from September 1997 through February 1998. While the stock and bond markets can be volatile on a short-term basis, they historically have provided attractive returns over the long term. A focus on long-term financial objectives and a balanced investment program are good guidelines for investing in today's economic environment. The group of IDS Life Retirement Annuity Mutual Funds allow you to take advantage of long-term opportunities through a variety of investment avenues. Your American Express financial advisor can tell you about the role each fund can play in meeting your long-term financial objectives. Your advisor also can help make sure your investment and protection strategies continue to fit your financial situation. As your objectives and time horizons change, talk to your advisor about the broad range of American Express products and services designed to help you meet a variety of investment and protection needs. William R. Pearce (picture of) William R. Pearce William R. Pearce Chairman of the board To our contract owners Capital Resource Fund From the portfolio manager Thanks to a well-positioned portfolio, Capital Resource Fund registered a substantial gain during the first half of the fiscal year -- September 1997 through February 1998. For the six months, the Fund's value appreciated 12.7%, essentially matching a powerful performance by the stock market as a whole. (This figure does not reflect expenses that apply to the variable accounts, subaccounts, or the annuity contract.) Supported by the positive fundamentals of solid economic growth, low inflation, falling long-term interest rates and good corporate profits, the market got off to a strong start in September. The good times came to an abrupt end in October, though, when a financial crisis in Southeast Asia sent shock waves through stock markets worldwide. But within weeks the U.S. market had shrugged off the setback, then went on to record positive returns through the winter, finishing the period with a flourish in February. For much of the six months, large-capitalization stocks led the way for the market. Because such stocks comprised a sizable portion of the portfolio, the Fund's performance benefited accordingly. As for stock sectors, technology-related issues, although they were highly volatile, and financial services issues, including those of insurance and brokerage firms, enjoyed especially good gains. I maintained a heavy exposure to those sectors and, fortunately, held what turned out to be several of the top-performing stocks during the period. Retailing, another substantial area of investment for the Fund, also proved to be a big winner. Because I was basically optimistic about stocks' prospects heading into the period, I kept cash reserves at a low level. This strategy also worked in the Fund's favor, as stocks generated a far-better return than cash-equivalent investments. As for changes to the portfolio, they were modest. For example, I sold out of some technology companies that appeared particularly vulnerable to the Asian situation. In short, the changes amounted to shifts among stocks within certain sectors, rather than major asset moves in and out of sectors. Although the effect of the Asian situation may linger in the months ahead, I think the underlying investment environment remains favorable. I have increased the Fund's holdings among consumer products manufacturers and industrial companies, which I think may benefit most from what will likely continue to be a healthy economy. I'm also emphasizing companies that do the bulk of their business in the U.S. Joseph M. Barsky (picture of) Joseph M. Barsky Joseph M. Barsky Portfolio manager The Fund's ten largest holdings Capital Resource Fund Percent Value (of Fund's net assets) (as of Feb. 28, 1998) General Electric 2.49% $132,175,000 Microsoft 2.07 110,175,000 ACE 2.04 108,762,500 Merck & Co 2.04 108,428,125 Wal-Mart Stores 1.92 101,887,500 Tyco Intl 1.91 101,500,000 Carnival Cl A 1.88 100,087,500 CBS 1.74 92,812,500 Progressive Corp 1.74 92,700,000 USA Waste Services 1.72 91,575,000 (icon of) pie chart The ten holdings listed here make up 19.55% of the Fund's net assets To our contract owners Special Income Fund From the portfolio manager A strong U.S. bond market provided the foundation for a positive performance by the Fund during the past six months. For the first half of the fiscal year -- September 1997 through February 1998 -- the Fund's value increased 4.8%. (This figure does not reflect expenses that apply to the variable accounts, subaccounts, or the annuity contract.) Thanks to ongoing reports of remarkably low inflation, long-term interest rates in the U.S. declined through mid-January, boosting bond prices along the way. The trend was positive for the Fund, as the majority of its holdings consisted of U.S. Treasury and corporate bonds, including a healthy amount of high-yield "corporates." The latter group got additional support from the continued strength of the economy, and performed especially well. Also having a positive effect on Fund performance was the portfolio's longer-than-average duration, a strategy that increases the Fund's sensitivity to interest-rate swings. Investments in emerging markets (smaller markets in developing foreign countries) proved to be another matter, however. Sparked by financial turmoil in Southeast Asia last fall, emerging market bonds suffered a sharp decline. This was especially true in Russia and Latin America, which had previously been stellar performers for the Fund. Those markets began to rebound late in the period, though, and, over the longer term, I expect them to make a positive contribution to Fund performance. In a world characterized by generally low inflation and declining interest rates, the high interest paid by emerging market bonds clearly enhances the Fund's income level. As for changes to the Fund's portfolio, I reduced the exposure to certain U.S. mortgage-backed bonds, whose performance lags when interest rates come down. Most of that money went into U.S. Treasury bonds and corporate bonds, which perform better in a falling-rate environment. They also generally provide greater income. Looking toward the second half of the fiscal year, I expect little, if any, help from U.S. interest rates. My outlook is that long-term rates will experience only moderate moves up or down. Therefore, I'm continuing to emphasize investments that offer healthy income, as I believe that will be the chief contributor to Fund performance in the months ahead. Steven C. Merrell (picture of) Steven C. Merrell Steven C. Merrell Portfolio manager The Fund's ten largest holdings Special Income Fund Percent Value (of Fund's net assets) (as of Feb. 28, 1998) Resolution Funding 3.02% $58,791,054 8.125% 2019 Hydro-Quebec 1.22 23,858,199 8.50% 2029 Time Warner 1.09 21,252,800 7.57% 2024 Republic of Brazil 1.08 21,092,499 10.125% 2027 Republic of Argentina 1.03 20,129,999 8.75% 2002 United Kingdom Treasury .86 16,837,268 13.17% 2003 Univision Network .79 15,361,325 15.18% 2002 Wal-Mart CRAVE Trust .71 13,821,195 7.00% 2006 Govt of Canada .70 13,646,564 7.37% 2001 Tenet Healthcare .67 12,980,000 10.125% 2005 Excludes U.S. Treasury and government agency holdings. (icon of) pie chart The ten holdings listed here make up 11.17% of the Fund's net assets To our contract owners Managed Fund From the portfolio managers Taking advantage of a generally good period for U.S. stocks and bonds, the Fund produced a double-digit gain during the past six months. For the first half of the fiscal year -- September 1997 through February 1998, the Fund's value appreciated 10.7%. (This figure does not reflect expenses that apply to the variable accounts, subaccounts, or the annuity contract.) Buoyed by ongoing low inflation, falling long-term interest rates and solid economic growth, the stock market responded with a sharp rally in September. Although that strong start was reversed in October by fallout from financial turmoil in Asia, stocks recovered over the winter and finished the period with another positive spurt in February. The U.S. bond market enjoyed more consistent performance, as a steady decline in long-term interest rates drove up bond values through mid-January. However, bonds issued in emerging markets, especially Southeast Asia, were hard hit last fall. While the Fund had only modest holdings in that region, the severity of the downturn did hurt performance in the ensuing months. On the other hand, the long duration structure of our bond holdings in the U.S. (a long duration makes the value of the Fund's bonds more sensitive to interest-rate swings) enhanced performance for most of the six months. Most of the Fund's stock investments focused on the technology, financial services, health care and consumer products sectors. Technology stocks lost considerable value during the Asian crisis, during which time we pared back those holdings. Encouragingly, they did rebound late in the period. The other sectors experienced relatively little volatility, and provided very good overall performance. Given our belief that the prospects for U.S. stock gains may prove less positive in 1998, we gradually shifted more money into U.S. bonds, especially Treasury issues, during January and February. At the end of the period, the asset mix stood at approximately 65% stocks and 35% bonds. Our stock emphasis remained on U.S. companies with consistent earnings growth and little vulnerability to potential problems stemming from Asia. Unless there's a marked change in the investment environment, we plan to stay with that strategy in the months ahead. Alfred Henderson (Picture of) Alfred Henderson Alfred Henderson Portfolio manager Deborah L. Pederson (picture of) Deborah L. Pederson Deborah L. Pederson Portfolio manager The Fund's ten largest holdings Managed Fund Percent Value (of Fund's net assets) (as of Feb. 28, 1998) Merck & Co 2.32% $114,168,437 Intel 2.27 111,660,937 General Electric 1.82 89,412,500 Washington Mutual 1.71 83,906,249 Travelers Group 1.68 82,649,375 Compaq Computer 1.65 81,220,724 Tyco Intl 1.34 65,975,000 Morgan Stanley, Dean Witter, Discover & Co 1.32 64,809,375 Microsoft 1.16 57,019,799 AirTouch Communications 1.03 50,397,406 Excludes U.S. Treasury and government agency holdings. (icon of) pie chart The ten holdings listed here make up 16.30% of the Fund's net assets To our contract owners Moneyshare Fund From the portfolio manager Moneyshare Fund's yield was little changed during the past six months (September 1997 through February 1998), reflecting largely stable short-term interest rates over the period. For the seven-day period ended Feb. 28, 1998, the Fund's compound annualized yield was 5.18%, and the simple annualized yield was 5.05%. In keeping with its objective, the Fund maintained a $1 per share price throughout the six months. (Although the Fund seeks to maintain a stable $1 per share price, there is no assurance that it will be able to do so. An investment in the fund is neither insured nor guaranteed by the U.S. government.) With inflation remaining subdued and the economy showing no signs of either overheating or falling into recession, the Federal Reserve Board (the Fed) elected to leave short-term interest rates unchanged through last fall and winter. Concern about potentially higher inflation was also eased by the financial crisis in Asia, which many observers believed would restrain U.S. economic growth and, thus, temper a possible increase in consumer prices. Short-term interest rates did rise briefly in early January without prompting by the Fed, but quickly returned to former levels. Because I was expecting the Fed to raise rates, I kept the average maturity of the Fund's investments somewhat short -- generally around 40 days. This strategy is based on the fact that the longer the Fund's average maturity, the longer it takes the Fund's yield to respond to a change in interest rates. Therefore, when rates rise, a shorter maturity allows me to more quickly add new, higher-yielding investments, which modestly increases the income paid to shareholders. On the other hand, should rates decline, a shorter maturity results in slightly less income. As always, the entire portfolio remained invested in first-rated commercial paper, bank letters of credit and certificates of deposit. As for the rest of the fiscal year, at this point (mid-March) I continue to believe that the Fed is more likely to raise short-term interest rates than to lower them, though it may take some time before it decides any adjustment is necessary. In light of that outlook, I plan to stay with a moderately short portfolio maturity until action by the Fed merits a change. Terry Fettig (picture of) Terry Fettig Terry Fettig Portfolio manager To our contract owners International Equity Fund From the portfolio manager In a highly volatile environment for foreign stocks, the Fund managed to generate positive results during the past six months. For the first half of the fiscal year -- September 1997 through February 1998 -- the Fund's value appreciated 6.9%. (This figure does not reflect expenses that apply to the variable accounts, subaccounts, or the annuity contract.) The period got off to a very strong start, as several markets, including those in Europe, Hong Kong and Southeast Asia, rallied sharply. In fact, the Fund's gain in September essentially equaled the return for the entire six months. The environment changed abruptly the next month, as a currency crisis in Southeast Asia ultimately led to major downturns in financial markets worldwide, especially in the so-called emerging markets of Asia, Latin America and Eastern Europe. Although the Fund's investments in these markets was relatively modest, the severity of the declines erased the Fund's September gain and actually put it in negative territory for the first two months. From that point, the "Asian flu" dissipated somewhat, allowing some emerging markets to recover their footing and, in certain cases, even regain some lost ground. By February, the worst of the situation seemed to have passed, enabling the Fund to finish the period with a healthy gain and put it solidly in the plus column for the six months. Fortunately for the Fund's performance, most of its holdings were concentrated in Europe over the period, including United Kingdom, Italy, France, the Netherlands and Germany. Those markets weathered last fall's upheaval better than most, and were the Fund's most consistent contributors over the six months. The primary investment theme in Europe was corporate restructuring -- focusing on companies that were strengthening their business positions through cost reduction and other streamlining efforts. As the second half of the fiscal year begins, I think the outlook for foreign investing is still bright, although volatility is likely to stay with us. The Fund's primary emphasis remains on Europe, where I still see ample opportunity for longer-term gain. John O'Brien (picture of) John O'Brien John O'Brien Portfolio manager The Fund's ten largest holdings International Equity Fund Percent Value (of Fund's net assets) (as of Feb. 28, 1998) Telecom Italia (Italy) 4.23% $90,643,094 Rhone-Poulenc Cl A (France) 4.10 87,758,710 Novartis (Switzerland) 3.78 80,866,190 ING Groep (Netherlands) 3.50 75,020,033 Banque Natl de Paris (France) 3.27 70,045,268 Bayerische Vereinsbank (Germany) 2.86 61,141,400 Instituto Bancario San Paolo di Torino (Italy)2.69 57,496,505 Schweizer Bankgesellschaft (Switzerland) 2.51 53,682,069 Great Universal Stores (United Kingdom) 2.49 53,269,048 Banca Intesa (Italy) 2.28 48,888,003 (icon of) pie chart The ten holdings listed here make up 31.71% of the Fund's net assets To our contract owners Aggressive Growth Fund From the portfolio manager It was a highly volatile six months for small-capitalization stocks, but, in the end, the Fund recorded a positive return for the period. For the first half of the fiscal year -- September 1997 through February 1998 -- the Fund's value appreciated 9.9%. (This figure does not reflect expenses that apply to the variable accounts, subaccounts, or the annuity contract.) The period began on a resoundingly strong note, as small-cap stocks powered their way to a big gain in September. Unfortunately, the trend was short-lived, as, in late October, financial turmoil in Asia raised concerns that U.S. companies doing business in those markets would experience a drop-off in earnings. Most vulnerable, it was assumed, were technology-related companies, a substantial component of the small-cap sector and the largest area of investment for the Fund. With this cloud hanging over their heads, small stocks in general and technology stocks in particular suffered sharp price declines. The difficult environment lingered through most of the winter. February brought a welcome relief, though, as small stocks and the Fund reacted quite positively to renewed optimism in the market. In response to last fall's upheaval in the market, I reduced the Fund's holdings of stocks representing companies, both foreign and domestic, with ties to Asia, especially in the technology and electronics areas. By January, all foreign stocks had been eliminated from the portfolio. In addition, prior to that, I substantially raised the cash reserves in the Fund, again to provide a buffer against further fallout from the Asian situation. Looking toward the second half of the fiscal year, I expect the market volatility we've seen during the past six months to continue. In light of that, I'm maintaining the higher-then-normal cash level in the portfolio, which will allow me to add stocks of promising companies should they experience price declines. In the long run, I believe that strategy will yield rewards in what I still see as a fundamentally positive environment for stocks. Martin G. Hurwitz (picture of) Martin G. Hurwitz Martin G. Hurwitz Portfolio manager The Fund's ten largest holdings Aggressive Growth Fund Percent Value (of Fund's net assets) (as of Feb. 28, 1998) HBO & Co 2.96% $78,914,250 Chancellor Media 1.51 40,275,000 Outdoor Systems 1.51 40,246,875 Family Dollar Stores 1.34 35,624,999 Guidant 1.23 32,821,875 Rexall Sundown 1.15 30,525,000 Network Associates 1.09 29,081,249 CBS 1.05 27,843,750 Steiner Leisure .99 26,400,000 Watson Pharmaceuticals .94 25,112,500 (icon of) pie chart The ten holdings listed here make up 13.77% of the Fund's net assets To our contract owners Global Yield Fund From the portfolio manager Generally good bond markets in the U.S. and Europe set the stage for a healthy gain by the Fund during the past six months. For the first half of the fiscal year -- September 1997 through February 1998 -- the Fund's value appreciated 4.9%. (This figure does not reflect expenses that apply to the variable accounts, subaccounts, or the annuity contact.) With low inflation prevailing in the U.S. and Europe, long-term interest rates followed an overall declining path through much of the period, boosting bond values in the process. Because the portfolio was concentrated in those markets and had a longer-than-average duration -- an investment strategy that increases its sensitivity to interest-rate changes -- the Fund enjoyed especially good performance from the rate drop. The only real trouble spot was the emerging markets, where 10%-15% of the portfolio was invested. A financial crisis in Southeast Asia last fall sent many emerging markets into a nose dive. Although the Fund's emerging-market investments were relatively small and were largely confined to Latin America, the downturn did detract somewhat from performance over the winter. It is encouraging to note, however, that these markets began to rebound late in the period and continue to offer above-average return potential. As has been the case for some time, I kept the majority of assets invested in U.S. bonds and foreign bonds denominated in dollars or hedged back into dollars. This strategy lessens the portfolio's exposure to changes in currency values, which can help or hurt the Fund's return. Because I expected the dollar to remain strong against most foreign currencies, which it did, I wanted to limit any potential erosion of the Fund's gain. Also beneficial to performance was a decision to virtually eliminate exposure to bonds issued in Japan, whose economic malaise continued during the past six months. Given that inflation remains quite low throughout much of the world, I continue to be optimistic about the outlook for global bond investing. While we may not enjoy the same boost provided by falling interest rates during the past six months, bonds in most markets should fare reasonably well. At this point (mid-March), I am maintaining the emphasis on U.S. dollar investments, both here and in Europe. Ray Goodner (picture of) Ray Goodner Ray Goodner Portfolio manager The Fund's ten largest holdings Global Yield Fund Percent Value (of Fund's net assets) (as of Feb. 28, 1998) U.S. Treasury 8.83% $13,991,111 7.50% 2016 U.S. Treasury 3.90 6,175,120 7.50% 2005 Federal Republic of Germany 3.30 5,236,140 6.50% 2027 Federal Republic of Germany 3.13 4,953,723 6.00% 2016 U.S. Treasury 2.85 4,524,885 5.875% 2000 Govt of Canada 2.40 3,802,226 8.00% 2023 United Kingdom Treasury 2.35 3,721,922 8.00% 2003 Govt of Italy 2.20 3,493,375 8.50% 2004 Govt of Norway 2.17 3,432,646 9.0% 1999 United Kingdom Treasury 2.16 3,424,302 9.00% 2000 Note: Certain foreign investment risks include: changes in currency exchange rates, adverse political or economic order, and lack of similar regulatory requirements followed by U.S. companies. (icon of) pie chart The ten holdings listed here make up 33.29% of the Fund's net assets To our contract owners Growth Dimensions Fund From the portfolio manager Despite a sharp decline last fall, the Fund recorded a double-digit gain during the past six months. For the September 1997 through February 1998 period, the Fund's value increased 13.9%. (This figure does not reflect expenses that apply to the variable accounts, subaccounts, or the annuity contract.) The period got off to a strong start, as falling long-term interest rates enhanced what was already a positive environment for stocks. But in October, currencies and stocks markets in Asia went into a virtual free-fall. The result was severely weakened economies in many countries that had been substantial buyers of U.S. goods, particularly technology-related products. This unstable situation immediately cast doubt on American companies' ability to sustain their earnings growth and soon spawned a wave of stock-selling. Although that cloud of concern hung over the U.S. stock market in the ensuing months, a steady decline in long-term interest rates and ongoing reports of tame inflation and solid economic growth provided support for stocks through the winter. In fact, February proved to the Fund's strongest month of the period. As has been the case for some time, I kept most of the Fund's assets invested in large-capitalization stocks in the technology/telecommunications, health care and financial/ business services sectors, which continued to generate much of corporate America's greatest earnings growth. I also continued to avoid foreign stocks, which proved to be beneficial last fall. I did moderately reduce holdings in the technology sector in light of the Asian turmoil, but that was the only notable change to the portfolio during the six months. Although the stock market's strength in the first two months of 1998 has been gratifying, I suspect that the year won't be all smooth sailing. The fallout from the Asian situation may well resurface at some point, and there could be more upward pressure on inflation and, thus, interest rates in the months ahead. That notwithstanding, the resilience the market has demonstrated in recent years can't be ignored. Therefore, I plan to maintain the Fund's emphasis on large-capitalization stocks in the sectors that I think continue to offer the best potential: technology/ telecommunications, financial/ business services and health care. Gordon Fines (picture of) Gordon Fines Gordon Fines Portfolio manager The Fund's ten largest holdings Growth Dimensions Fund Percent Value (of Fund's net assets) (as of Feb. 28, 1998) General Electric 3.72% $70,674,750 Pfizer 2.89 55,038,149 Norwest 2.83 53,865,562 Cisco Systems 2.28 43,332,575 Intel 2.14 40,771,937 Travelers Group 2.10 40,022,924 Deere & Co 2.08 39,596,188 Compaq Computer 2.02 38,349,956 Microsoft 1.81 34,459,350 BellSouth 1.76 33,574,399 (icon of) pie chart The ten holdings listed here make up 23.63% of the Fund's net assets To our contract owners Income Advantage Fund From the portfolio manager Falling interest rates and solid demand for high-yield bonds resulted in a productive six months for the Fund. For the first of the fiscal year -- September 1997 through February 1998 -- the Fund's value appreciated 6.3%. (This figure does not reflect expenses that apply to the variable accounts, subaccounts, or the annuity contract.) Sparked mainly by ongoing reports of low inflation and the prospect of a balanced federal budget, long-term interest rates moved steadily lower through mid-January. Bond prices responded, as they naturally do when rates fall, by moving higher, augmenting the Fund's return. For high-yield bonds, the already positive environment was complemented by solid, ongoing economic growth and generally healthy corporate profits. As it has for some time, demand for high-yield bonds remained robust for much of the six months. The only slowdown came last fall, in the wake of the financial crisis in Asia, which drove some investors toward the perceived safe haven offered by U.S. Treasury bonds. By January, though, demand picked up and remained strong through the end of the period. Although the Fund's holdings were spread over a wide range of business sectors, three substantial areas of investment -- media, telecommunications and gaming -- provided particularly good performance. Conversely, the Fund's small exposure to what proved to be ill-fated bond markets in emerging, or developing, countries (including Asia and Latin America) also worked to its benefit. With the U.S. economy appearing to still be on solid ground and inflation yet to become a threat, I think high-yield bonds should be able to provide a relatively good return in the months ahead. Therefore, I plan to keep the Fund essentially fully invested in wide range of bonds issued almost exclusively by U.S. companies. Jack Utter (picture of) Jack Utter Jack Utter Portfolio manager The Fund's ten largest holdings Income Advantage Fund Percent Value (of Fund's net assets) (as of Feb. 28, 1998) Cablevision Systems 1.16% $5,534,535 11.125% Pay-in-kind Series M Comcast Cellular Holdings 1.10 5,275,000 9.50% 2007 Adelphia Communications .94 4,499,999 8.375% 2008 Outdoor Systems .84 4,004,250 8.875% 2007 Tenet Healthcare .75 3,575,000 10.125% 2005 Crown Paper .72 3,428,750 11.00% 2005 Paracelsus Healthcare .71 3,404,375 10.00% 2006 Pathmark Stores .71 3,395,000 11.625% 2002 Riverwood Intl .70 3,363,750 10.25% 2006 First Nationwide Holdings .68 3,281,600 10.625% 2003 (icon of) pie chart The ten holdings listed here make up 8.31% of the Fund's net assets
Financial statements Statements of assets and liabilities Retirement Annuity Mutual Funds Feb. 28, 1998 (Unaudited) Assets Capital Special Managed Resource Income Fund Fund Fund Investments in securities, at value (Note 1): (identified cost, $4,059,189,209; $1,919,793,396 and $3,854,346,218, respectively) $5,373,396,309 $1,993,521,625 $4,977,747,514 Receivable for investment securities sold 59,670,470 4,221,487 31,162,772 Dividends and accrued interest receivable 4,331,688 30,866,644 29,081,394 Unrealized appreciation on foreign currency contracts held, at value (Notes 1 and 4) -- 52,357 -- U.S. government securities held as collateral for securities loaned (Note 5) -- 25,954,135 12,565,009 Receivable for capital stock sold -- 9,589,187 17,853,753 ------------- --------- ---------- Total assets 5,437,398,467 2,064,205,435 5,068,410,442 ============= ============= ============= Liabilities Disbursements in excess of cash on demand deposit 6,164,656 167,141 209,067 Dividends payable to shareholders (Note 1) 5,662,291 10,956,438 28,706,774 Payable for investment securities purchased 89,250,567 15,129,256 52,026,140 Accrued investment management and services fee 2,539,357 971,018 2,276,369 Payable upon return of securities loaned (Note 5) 11,966,000 85,860,135 70,518,689 Payable for capital stock redeemed 2,317,242 1,522,997 43,661 Other accrued expenses 555,979 204,143 480,367 ------- ------- ------- Total liabilities 118,456,092 114,811,128 154,261,067 ----------- ----------- ----------- Net assets applicable to outstanding capital stock 5,318,942,375 1,949,394,307 4,914,149,375 ============= ============= ============= Represented by Capital stock-- $.01 par value ($.001 for Managed Fund) (Note 1) 1,729,800 1,642,901 257,958 Additional paid-in capital 3,861,119,701 1,872,434,429 3,571,267,409 Undistributed (excess of distributions over) net investment income (61,479) 2,564,200 (2,928,862) Accumulated net realized gain (loss) 141,947,223 (834,673) 222,151,751 Unrealized appreciation (depreciation) on investments and on translation of assets and liabilities in foreign currencies (Notes 4 and 7) 1,314,207,130 73,587,450 1,123,401,119 ------------- ---------- ------------- Total-- representing net assets applicable to outstanding capital stock $5,318,942,375 $1,949,394,307 $4,914,149,375 ============== ============== ============== Shares outstanding 172,979,959 164,290,133 257,957,665 Net asset value per share of outstanding capital stock $ 30.75 $ 11.87 $ 19.05 See accompanying notes to financial statements.
Financial statements Statements of assets and liabilities (continued) Retirement Annuity Mutual Funds Feb. 28, 1998 (Unaudited) Assets Moneyshare International Aggressive Fund Equity Growth Fund Fund Investments in securities, at value (Note 1): Investments in securities of unaffiliated issuers (identified cost, $386,998,289; $2,023,140,167 and $2,161,938,798, respectively) $386,998,289 $2,387,507,490 $2,657,458,554 Investments in securities of affiliated issuers (identified cost, $17,471,260 for Aggressive Growth) -- -- 37,455,000 Cash in bank on demand deposit -- 459,829 74,035 Receivable for investment securities sold -- 68,546,285 37,087,777 Dividends and accrued interest receivable 463,103 2,127,518 919,203 Unrealized appreciation on foreign currency contracts held, at value (Notes 1 and 4) -- 40,946 -- U.S. government securities held as collateral for securities loan (Note 5) -- 8,981,438 8,113,574 Receivable for capital stock sold 2,369,330 207,782 -- --------- ------- --------- Total assets 389,830,722 2,467,871,288 2,741,108,143 =========== ============= ============= Liabilities Disbursements in excess of cash on demand deposit 26,127 -- -- Dividends payable to shareholders (Note 1) 1,518,512 1,909,488 2,918,279 Payable for investment securities purchased -- 83,041,709 51,936,739 Accrued investment management and services fee 162,303 1,330,115 1,272,133 Unrealized depreciation on foreign currency contracts held, at value (Notes 1 and 4) -- 95,105 -- Payable upon return of securities loaned (Note 5) -- 235,745,938 18,038,574 Payable for capital stock redeemed 3,111,331 4,629,522 3,428,816 Other accrued expenses 43,213 300,957 218,115 ------ ------- ------- Total liabilities 4,861,486 327,052,834 77,812,656 --------- ----------- ---------- Net assets applicable to outstanding capital stock $384,969,236 $2,140,818,454 $2,663,295,487 ============ ============== ============== Represented by Capital stock-- $.01 par value (Note 1) $ 3,850,010 $ 1,451,685 $ 1,546,677 Additional paid-in capital 381,120,743 1,773,530,834 2,008,798,905 Undistributed (excess of distributions over) net investment income 80 (9,262,965) 17,449 Accumulated net realized gain (loss) (1,597) 10,654,955 137,428,960 Unrealized appreciation (depreciation) on investments and on translation of assets and liabilities in foreign currencies (Note 4) -- 364,443,945 515,503,496 --------- ----------- ----------- Total-- representing net assets applicable to outstanding capital stock $384,969,236 $2,140,818,454 $2,663,295,487 ============ ============== ============== Shares outstanding 385,001,033 145,168,483 154,667,685 Net asset value per share of outstanding capital stock $ 1.00 $ 14.75 $ 17.22 See accompanying notes to financial statements.
Statements of assets and liabilities (continued) Retirement Annuity Mutual Funds Feb. 28, 1998 (Unaudited) Assets Global Growth Income Yield Dimensions Advantage Fund Fund Fund Investments in securities, at value (Note 1): (identified cost, $159,797,829; $1,547,202,115 and $462,550,681, respectively) $162,852,183 $1,909,671,286 $474,682,763 Cash in bank on demand deposit 179,332 -- -- Receivable for investment securities sold -- 4,253,056 1,210,127 Dividends and accrued interest receivable 3,014,215 1,704,914 8,338,355 Unrealized appreciation on foreign currency contracts held, at value (Notes 1 and 4) 36,008 -- -- U.S. government securities held as collateral for securities loaned (Note 5) -- 2,923,127 -- Receivable for capital stock sold 978,758 5,459,509 4,284,590 ------- --------- --------- Total assets 167,060,496 1,924,011,892 488,515,835 =========== ============= =========== Liabilities Disbursements in excess of cash on demand deposit -- 71,674 7,717 Dividends payable to shareholders (Note 1) 521,078 3,092,299 3,325,080 Payable for investment securities purchased 4,710,815 6,482,218 6,249,094 Accrued investment management and services fee 107,163 935,375 237,459 Unrealized depreciation on foreign currency contracts held, at value (Notes 1 and 4) 16,022 -- -- Payable upon return of securities loaned (Note 5) 3,220,000 10,168,127 -- Other accrued expenses 11,913 107,092 38,325 Open option contracts written at value (Premium received, $226,496 for Growth Dimensions Fund) (Note 8) -- 251,562 -- -------- ------- ------- Total liabilities 8,586,991 21,108,347 9,857,675 --------- ---------- --------- Net assets applicable to outstanding capital stock $158,473,505 $1,902,903,545 $478,658,160 ============ ============== ============ Represented by Capital stock-- $.01 par value (Note 1) $ 151,187 $ 1,294,867 $ 454,256 Additional paid-in capital 155,393,341 1,531,310,193 462,545,436 Undistributed (excess of distributions over) net investment income 165,923 (8) (65,666) Accumulated net realized gain (loss) (Note 9) (292,497) 7,854,388 3,592,052 Unrealized appreciation (depreciation)on investments and on translation of assets and liabilities in foreign currencies 3,055,551 362,444,105 12,132,082 --------- ----------- ---------- Total-- representing net assets applicable to outstanding capital stock $158,473,505 $1,902,903,545 $478,658,160 ============ ============== ============ Shares outstanding 15,118,710 129,486,735 45,525,566 Net asset value per share of outstanding capital stock $ 10.48 $ 14.70 $ 10.51 See accompanying notes to financial statements.
Financial statements Statements of operations Retirement Annuity Mutual Funds Six months ended Feb. 28, 1998 (Unaudited) Investment income Capital Special Managed Resource Income Fund Fund Fund Income: Dividends (including $1,076,510 earned from affiliates for Managed Fund) $ 24,071,068 $ 795,849 $ 15,470,075 Interest 5,568,378 73,713,608 54,720,190 Less foreign taxes withheld (107,361) -- (187,094) -------- -------- Total income 29,532,085 74,509,457 70,003,171 ---------- ---------- ---------- Expenses (Note 2): Investment management services fee 15,165,347 5,880,643 13,540,383 Administrative services fees and expenses 883,859 397,774 745,884 Custodian fees and expenses 225,304 109,220 247,850 Compensation of board members and officers 17,933 10,244 15,461 Printing and postage 215,955 69,547 193,573 Audit fees 10,750 11,250 10,000 Other 10,741 38,947 14,341 ------ ------ ------ Total expenses 16,529,889 6,517,625 14,767,492 ---------- --------- ---------- Investment income (loss)-- net 13,002,196 67,991,832 55,235,679 ---------- ---------- ---------- Realized and unrealized gain (loss) -- net Net realized gain (loss) on: Security transactions (Note 3) 190,916,998 6,487,312 226,653,448 Financial futures contracts (Note 7) -- (544,319) -- Foreign currency transactions -- (47,395) (6,314) Option contracts written (Note 8) -- -- 105,167 ------- Net realized gain (loss) on investments 190,916,998 5,895,598 226,752,301 Net change in unrealized appreciation (depreciation) on investments and on translation of assets and liabilities in foreign currencies 403,507,766 16,874,394 195,441,988 ----------- ---------- ----------- Net gain (loss) on investments and foreign currencies 594,424,764 22,769,992 422,194,289 ----------- ---------- ----------- Net increase (decrease) in net assets resulting from operations $607,426,960 $ 90,761,824 $477,429,968 ------------ ------------- ------------ See accompanying notes to financial statements.
Statements of operations (continued) Retirement Annuity Mutual Funds Six months ended Feb. 28, 1998 (Unaudited) Investment income Moneyshare International Aggressive Fund Equity Growth Fund Fund Income: Dividends $ -- $ 8,311,374 $ 3,545,776 Interest 11,431,036 5,891,048 8,021,359 Less foreign taxes withheld -- (854,405) (7,270) -------- ------ Total income 11,431,036 13,348,017 11,559,865 ---------- ---------- ---------- Expenses (Note 2): Investment management services fee 1,034,156 8,630,558 7,626,687 Administrative services fees and expenses 51,584 488,304 472,941 Custodian fees and expenses 29,600 483,100 101,194 Compensation of board members and officers 5,230 24,937 10,975 Printing and postage 7,114 102,188 63,930 Audit fees 8,000 9,750 8,250 Other -- -- 10,616 ------ Total expenses 1,135,684 9,738,837 8,294,593 --------- --------- --------- Investment income (loss)-- net 10,295,352 3,609,180 3,265,272 ---------- --------- --------- Realized and unrealized gain (loss) -- net Net realized gain (loss) on: Security transactions (including $736,344 realized gain on investments of affiliated issuers for Aggressive Growth Fund) (Note 3) (957) 1,892,241 143,135,229 Foreign currency transactions -- 9,973,675 (17,409) Option contracts written (Note 8) -- -- (3,551,587) ---------- Net realized gain (loss) on investments (957) 11,865,916 139,566,233 Net change in unrealized appreciation (depreciation) on investments and on translation of assets and liabilities in foreign currencies -- 124,025,327 98,101,875 ----------- ---------- Net gain (loss) on investments and foreign currencies (957) 135,891,243 237,668,108 ---- ----------- ----------- Net increase (decrease) in net assets resulting from operations $10,294,395 $139,500,423 $240,933,380 ----------- ------------ ------------ See accompanying notes to financial statements.
Financial statements Section continued title Statements of operations (continued) Retirement Annuity Mutual Funds Six months ended Feb. 28, 1998 (Unaudited) Investment income Global Growth Income Yield Dimensions Advantage Fund Fund Fund Income: Dividends $ -- $ 7,141,440 $ 1,445,605 Interest 4,696,985 4,475,068 16,878,559 --------- --------- ---------- Total income 4,696,985 11,616,508 18,324,164 --------- ---------- ---------- Expenses (Note 2): Investment management services fee 593,955 5,020,524 1,252,197 Administrative services fees and expenses 35,538 250,423 71,875 Custodian fees and expenses 12,335 216,217 16,673 Compensation of board members and officers 4,778 5,753 4,917 Printing and postage 1,287 16,421 7,116 Audit fees 6,500 7,500 7,000 Other 1,725 2,363 9,591 ----- ----- ----- Total expenses 656,118 5,519,201 1,369,369 ------- --------- --------- Investment income (loss)-- net 4,040,867 6,097,307 16,954,795 --------- --------- ---------- Realized and unrealized gain (loss) -- net Net realized gain (loss) on: Security transactions (Note 3) (262,071) 19,587,230 3,595,167 Foreign currency transactions 100,798 -- -- ------- ---------- -------- Net realized gain (loss) on investments (161,273) 19,587,230 3,595,167 Net change in unrealized appreciation (depreciation) on investments and on translation of assets and liabilities in foreign currencies 2,605,880 186,344,261 3,116,104 --------- ----------- --------- Net gain (loss) on investments and foreign currencies 2,444,607 205,931,491 6,711,271 --------- ----------- --------- Net increase (decrease) in net assets resulting from operations $6,485,474 $212,028,798 $23,666,066 ========== ============ =========== See accompanying notes to financial statements.
Statements of changes in net assets Retirement Annuity Mutual Funds Operations and distributions Capital Resource Fund Special Income Fund Six months ended Year ended Six months ended Year ended Feb. 28, 1998 Aug. 31, 1997 Feb. 28, 1998 Aug. 31, 1997 (Unaudited) (Unaudited) Investment income (loss)-- net $ 13,002,196 $ 27,736,768 $ 67,991,832 $ 138,447,393 Net realized gain (loss) on investments 190,916,998 64,476,008 5,895,598 36,389,635 Net change in unrealized appreciation (depreciation) on investments and on translation of assets and liabilities in foreign currencies 403,507,766 1,057,213,832 16,874,394 48,544,163 ----------- ------------- ---------- ---------- Net increase (decrease) in net assets resulting from operations 607,426,960 1,149,426,608 90,761,824 223,381,191 ----------- ------------- ---------- ----------- Distributions to shareholders from: Net investment income (14,513,937) (25,649,850) (68,085,677) (136,327,556) Net realized gain (108,000,072) (671,576,858) (42,097,397) (11,869,083) Excess distributions of net investment income (Note 1) (61,479) (2,087,182) -- (1,098,015) ------- ---------- ---------- Total distributions (122,575,488) (699,313,890) (110,183,074) (149,294,654) ------------ ------------ ------------ ------------ Capital share transactions (Note 6) Proceeds from sales 47,128,593 93,527,775 44,882,644 80,830,509 Reinvested distributions at net asset value 122,575,488 699,313,890 110,183,074 149,294,654 Payments for redemptions (202,204,255) (748,232,170) (109,567,775) (292,741,712) ------------ ------------ ------------ ------------ Increase (decrease) in net assets from capital share transactions (32,500,174) 44,609,495 45,497,943 (62,616,549) ----------- ---------- ---------- ----------- Total increase (decrease) in net assets 452,351,298 494,722,213 26,076,693 11,469,988 Net assets at beginning of period 4,866,591,077 4,371,868,864 1,923,317,614 1,911,847,626 ------------- ------------- ------------- ------------- Net assets at end of period $5,318,942,375 $4,866,591,077 $1,949,394,307 $1,923,317,614 ============== ============== ============== ============== Undistributed (excess of distributions over) net investment income (61,479) 1,511,741 2,564,200 2,658,045 ------- --------- --------- --------- See accompanying notes to financial statements.
Financial statements Section continued title Statements of changes in net assets (continued) Retirement Annuity Mutual Funds Operations and distributions Managed Fund Moneyshare Fund Six months ended Year ended Six months ended Year ended Feb. 28, 1998 Aug. 31, 1997 Feb. 28, 1998 Aug. 31, 1997 (Unaudited) (Unaudited) Investment income (loss)-- net $ 55,235,679 $ 106,188,571 $ 10,295,352 $ 18,045,404 Net realized gain (loss) on investments 226,752,301 349,723,816 (957) 75 Net change in unrealized appreciation (depreciation) on investments and on translation of assets and liabilities in foreign currencies 195,441,988 533,911,315 -- -- ----------- ----------- --------- --------- Net increase (decrease) in net assets resulting from operations 477,429,968 989,823,702 10,294,395 18,045,479 ----------- ----------- ---------- ---------- Distributions to shareholders from: Net investment income (52,316,649) (103,963,520) (10,295,352) (18,045,405) Net realized gain (354,443,189) (229,851,535) -- -- Excess distributions of net investment income (Note 1) (2,928,862) (2,233,237) -- -- ---------- ---------- ---------- ---------- Total distributions (409,688,700) (336,048,292) (10,295,352) (18,045,405) ------------ ------------ ----------- ----------- Capital share transactions (Note 6) Proceeds from sales 86,184,189 165,143,091 166,001,765 381,728,848 Reinvested distributions at net asset value 409,688,700 336,048,292 10,295,352 18,045,405 Payments for redemptions (94,067,094) (192,281,775) (212,675,702) (266,545,406) ----------- ------------ ------------ ------------ Increase (decrease) in net assets from capital share transactions 401,805,795 308,909,608 (36,378,585) 133,228,847 ----------- ----------- ----------- ----------- Total increase (decrease) in net assets 469,547,063 962,685,018 (36,379,542) 133,228,921 Net assets at beginning of period 4,444,602,312 3,481,917,294 421,348,778 288,119,857 ------------- ------------- ----------- ----------- Net assets at end of period $4,914,149,375 $4,444,602,312 $384,969,236 $421,348,778 ============== ============== ============ ============ Undistributed (excess of distributions over) net investment income $ (2,928,862) $ (2,919,030) $ 80 $ 80 -------------- -------------- ------------ ------------ See accompanying notes to financial statements.
Statements of changes in net assets (continued) Retirement Annuity Mutual Funds Operations and distributions International Equity Fund Aggressive Growth Fund Six months ended Year ended Six months ended Year ended Feb. 28, 1998 Aug. 31, 1997 Feb. 28, 1998 Aug. 31, 1997 (Unaudited) (Unaudited) Investment income (loss)-- net $ 3,609,180 $ 26,417,287 $ 3,265,272 $ 10,202,090 Net realized gain (loss) on investments 11,865,916 28,172,219 139,566,233 211,414,428 Net change in unrealized appreciation (depreciation) of investments and on translation of assets and liabilities in foreign currencies 124,025,327 124,342,284 98,101,875 167,575,911 ----------- ----------- ---------- ----------- Net increase (decrease) in net assets resulting from operations 139,500,423 178,931,790 240,933,380 389,192,429 ----------- ----------- ----------- ----------- Distributions to shareholders from: Net investment income (4,319,890) (24,686,010) (3,247,868) (10,201,144) Net realized gain (28,337,541) (39,674,522) (212,438,792) (213,792,618) Excess distributions of net investment income (Note 1) (9,262,965) (611,057) -- -- ---------- -------- ----------- ----------- Total distributions (41,920,396) (64,971,589) (215,686,660) (223,993,762) Capital share transactions (Note 6) Proceeds from sales 51,317,004 187,607,054 78,450,416 221,900,102 Reinvested distributions at net asset value 41,920,396 64,971,589 215,686,660 223,993,762 Payments for redemptions (154,974,205) (136,014,005) (83,515,734) (124,759,988) ------------ ------------ ----------- ------------ Increase (decrease) in net assets from capital share transactions (61,736,805) 116,564,638 210,621,342 321,133,876 ----------- ----------- ----------- ----------- Total increase (decrease) in net assets 35,843,222 230,524,839 235,868,062 486,332,543 Net assets at beginning of period 2,104,975,232 1,874,450,393 2,427,427,425 1,941,094,882 ------------- ------------- ------------- ------------- Net assets at end of period $2,140,818,454 $2,104,975,232 $2,663,295,487 $2,427,427,425 ============== ============== ============== ============== Undistributed (excess of distributions over) net investment income $ (9,262,965) $ 710,710 $ 17,449 $ 45 -------------- -------------- -------------- -------------- See accompanying notes to financial statements.
Financial statements Statements of changes in net assets (continued) Retirement Annuity Mutual Funds Operations and distributions Global Yield Growth Dimensions Fund Six months ended Year ended Six months ended Year ended Feb. 28, 1998 Aug. 31, 1997 Feb. 28, 1998 Aug. 31, 1997 (Unaudited) (Unaudited) Investment income (loss)-- net $ 4,040,867 $ 3,905,294 $ 6,097,307 $ 7,598,882 Net realized gain (loss) on investments (161,273) (728,768) 19,587,230 (11,294,834) Net change in unrealized appreciation (depreciation) on investments and on translation of assets and liabilities in foreign currencies 2,605,880 320,947 186,344,261 176,292,119 --------- ------- ----------- ----------- Net increase (decrease) in net assets resulting from operations 6,485,474 3,497,473 212,028,798 172,596,167 --------- --------- ----------- ----------- Distributions to shareholders from: Net investment income (3,881,221) (2,750,769) (6,097,307) (7,598,890) Net realized gains on securities (557,107) -- -- -- -------- --------- --------- --------- Total distributions (4,438,328) (2,750,769) (6,097,307) (7,598,890) ---------- ---------- ---------- ---------- Capital share transactions (Note 6) Proceeds from sales 35,470,634 95,993,878 393,148,379 971,525,218 Reinvested distributions at net asset value 4,438,328 2,750,769 6,097,307 7,598,890 Payments for redemptions (2,660,326) (1,244,579) (9,100,616) (8,114,944) ---------- ---------- ---------- ---------- Increase (decrease) in net assets from capital share transactions 37,248,636 97,500,068 390,145,070 971,009,164 ---------- ---------- ----------- ----------- Total increase (decrease) in net assets 39,295,782 98,246,772 596,076,561 1,136,006,441 Net assets at beginning of period 119,177,723 20,930,951 1,306,826,984 170,820,543 ----------- ---------- ------------- ----------- Net assets at end of period $158,473,505 $119,177,723 $1,902,903,545 $1,306,826,984 ============ ============ ============== ============== Undistributed (excess of distributions over) net investment income $ 165,923 $ 6,277 $ (8) $ (8) ------------ ------------ -------------- -------------- See accompanying notes to financial statements.
Statements of changes in net assets (continued) Retirement Annuity Mutual Funds Operations and distributions Income Advantage Fund Six months ended Year ended Feb. 28, 1998 Aug. 31, 1997 (Unaudited) Investment income (loss)-- net $ 16,954,795 $ 15,331,448 Net realized gain (loss) on investments 3,595,167 1,950,076 Net change in unrealized appreciation (depreciation) on investments and on translation of assets and liabilities in foreign currencies 3,116,104 9,362,691 --------- --------- Net increase (decrease) in net assets resulting from operations 23,666,066 26,644,215 ---------- ---------- Distributions to shareholders from: Net investment income (16,954,795) (15,331,448) Net realized gain (1,952,622) -- ---------- ---------- Total distributions (18,907,417) (15,331,448) ----------- ----------- Capital share transactions (Note 6) Proceeds from sales 138,561,061 247,490,767 Reinvested distributions at net asset value 18,907,417 15,331,448 Payments for redemptions (3,886,263) (2,655,838) ---------- ---------- Increase (decrease) in net assets from capital share transactions 153,582,215 260,166,377 Total increase (decrease) in net assets 158,340,864 271,479,144 Net assets at beginning of period 320,317,296 48,838,152 ----------- ---------- Net assets at end of period $478,658,160 $320,317,296 ============ ============ Undistributed (excess of distributions over) net investment income $ (65,666) $ (65,666) ------------- ------------- See accompanying notes to financial statements.
Notes to financial statements Retirement Annuity Mutual Funds (Unaudited as to Feb. 28, 1998) 1 Summary of significant accounting policies Each Fund is registered under the Investment Company Act of 1940 (as amended) as a diversified, (non-diversified for Global Yield) open-end management investment company. Each Fund has 10 billion authorized shares of capital stock. The investment objectives of each Fund are as follows: Capital Resource invests primarily in U.S. common stocks; Special Income invests primarily in investment grade bonds; Managed invests in stocks, convertible securities, bonds and money market instruments; Moneyshare invests in money market securities; International Equity invests primarily in common stocks of foreign issuers; Aggressive Growth invests primarily in stocks of small- and medium-sized companies; Global Yield invests primarily in debt securities of U.S. and foreign issuers; Growth Dimensions invests primarily in common stocks of U.S. and foreign companies showing potential for significant growth; and Income Advantage invests primarily in long-term, high-yielding, high-risk debt securities below investment grade issued by U.S. and foreign corporations. Shares of each Fund are sold through the purchase of an annuity contract offered by IDS Life Insurance Company (IDS Life) or its affiliates. The significant accounting policies followed by the Funds are summarized as follows: Use of estimates The preparation of financial statements in conformity with generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increase and decrease in net assets from operations during the period. Actual results could differ from those estimates. Valuation of securities All securities are valued at the close of each business day. Securities traded on national securities exchanges or included in national market systems are valued at the last quoted sales price. Debt securities are generally traded in the over-the-counter market and are valued at a price deemed best to reflect fair value as quoted by dealers who make markets in these securities or by an independent pricing service. Securities for which market quotations are not readily available are valued at fair value according to methods selected in good faith by the board. Short-term securities in all Funds, except Moneyshare Fund, maturing in more than 60 days from the valuation date are valued at the market price or approximate market value based on the current interest rates; those maturing in 60 days or less are valued at amortized cost. Pursuant to Rule 2a-7 of the 1940 Act, all securities in Moneyshare Fund are valued at amortized cost which approximates market value in order to maintain a constant net asset value of $1 per share. Option transactions In order to produce incremental earnings, protect gains and facilitate buying and selling of securities for investment purposes, the Funds, except Moneyshare Fund, may buy and sell put and call options and write covered call options on portfolio securities and write cash-secured puts. The risk in writing a call option is that the Funds give up the opportunity for profit if the market price of the security increases. The risk in writing a put option is that the Funds may incur a loss if the market price of the security decreases and the option is exercised. The risk in buying an option is that the Funds pay a premium whether or not the option is exercised. The Funds also have the additional risk of not being able to enter into a closing transaction if a liquid secondary market does not exist. The Funds also may write over-the-counter options where the completion of the obligation is dependent upon the credit standing of the other party. Option contracts are valued daily and unrealized appreciation or depreciation is recorded. The Funds will realize a gain or loss upon expiration or closing of the option transaction. When an option is exercised, the proceeds on sales for a written call option, the purchase cost for a written put option or the cost of a security for a purchased put or call option is adjusted by the amount of premium received or paid. Futures transactions In order to gain exposure to or protect itself from changes in the market, the Funds, except Moneyshare Fund, may buy and sell financial futures contracts. The Funds also may buy or write put and call options on futures contracts. Risks of entering into futures contracts and related options include the possibility that there may be an illiquid market and a change in the value of the contract or option may not correlate with changes in the value of the underlying securities. Upon entering into a futures contract, the Funds may be required to deposit either cash or securities in an amount (initial margin) equal to a certain percentage of the contract value. Subsequent payments (variation margin) are made or received by the Funds each day. The variation margin payments are equal to the daily changes in the contract value and recorded as unrealized gains and losses. The Funds recognize a realized gain or loss when the contract is closed or expires. Foreign currency translations and foreign currency contracts Securities and other assets and liabilities denominated in foreign currencies are translated daily into U.S. dollars at the closing rate of exchange. Foreign currency amounts related to the purchase or sale of securities and income and expenses are translated at the exchange rate on the transaction date. In the statement of operations, net realized gains or losses from foreign currency transactions may arise from sales of foreign currency, closed forward contracts, exchange gains or losses realized between the trade date and settlement dates on securities transactions, and other translation gains or losses on dividends, interest income and foreign withholding taxes. The Funds, except Moneyshare Fund, also may enter into forward foreign currency exchange contracts for operational purposes. The net U.S. dollar value of foreign currency underlying all contractual commitments held by the Funds and the resulting unrealized appreciation and/or depreciation are determined using foreign currency exchange rates from an independent pricing service. The Funds are subject to the credit risk that the other party will not complete the obligations of the contract. Illiquid securities At Feb. 28, 1998, investments in securities for Special Income Fund, Managed Fund, and Income Advantage Fund included issues that are illiquid. The Funds currently limit investments in illiquid securities to 10% of the net assets, at market value, at the time of purchase. The aggregate value of such securities at Feb. 28, 1998, was $11,519,500, $15,271,275, and $3,000,000 that represents 0.59%, 0.31%, and 0.63% of net assets for Special Income Fund, Managed Fund and Income Advantage Fund respectively. Pursuant to guidelines adopted by the board, certain unregistered securities are determined to be liquid and are not included within the limitations specified above. Securities purchased on a when-issued basis Delivery and payment for securities that have been purchased by Special Income Fund on a forward-commitment or when-issued basis can take place one month or more after the transaction date. During this period, such securities are subject to market fluctuations and they may affect the Fund's net assets the same as owned securities. The Fund designates cash or liquid high-grade short-term debt securities at least equal to the amount of its commitment. As of Feb. 28, 1998, the Fund had entered into outstanding when-issued or forward commitments of $9,579,684. Federal taxes Since each Fund intends to comply with the requirements of the Internal Revenue Code applicable to regulated investment companies and to distribute all of its taxable income to the Variable Accounts, no provision for income or excise taxes is required. Each Fund is treated as a separate entity for federal income tax purposes. Net investment income (loss) and net realized gains (losses) may differ for financial statement and tax purposes primarily because of the deferral of losses on certain futures contracts, the recognition of certain foreign currency gains (losses) as ordinary income (loss) for tax purposes, the timing and amount of market discount recognized as ordinary income, foreign tax credits and losses deferred due to "wash sale" transactions. The character of distributions made during the year from net investment income or net realized gains may differ from their ultimate characterization for federal income tax purposes. The effect on dividend distributions of certain book-to-tax differences is presented as "excess distributions" in the statement of changes in net assets. Also, due to the timing of dividend distributions, the fiscal year in which amounts are distributed may differ from the year that the income or realized gains (losses) are recorded by the Funds. Dividends At Feb. 28, 1998, dividends declared for each Fund payable March 2, 1998 are as follows: Capital Resource $0.033 Special Income $0.067 Managed $0.112 Moneyshare $0.004 International Equity $0.013 Aggressive Growth $0.019 Global Yield $0.035 Growth Dimensions $0.024 Income Advantage $0.076 Distributions to the Variable Accounts are recorded as of the close of business on the record date and are payable on the first business day following the record date. Dividends from net investment income are declared daily and paid monthly for Special Income, Moneyshare, Global Yield and Income Advantage Funds and declared and paid quarterly for Capital Resource, Managed, International Equity, Aggressive Growth and Growth Dimensions Funds. Capital gain distributions, if any, will be made annually. However, an additional capital gain distribution may be made during the fiscal year in order to comply with the Internal Revenue Code, as applicable to regulated investment companies. Other Security transactions are accounted for on the date the securities are purchased or sold. Dividend income is recognized on the ex-dividend date and interest income, including amortization of premium and discount on a level yield basis, is accrued daily. 2 Investment management and service agreement The Funds have entered into an agreement with IDS Life for managing investments, record keeping and other services that are based solely on the assets of each Fund. The management fee is a percentage of each Fund's average daily net assets in reducing percentages annually as follows: Fund Percentage Range Capital Resource 0.630% to 0.570% Special Income 0.610% to 0.535% Managed 0.630% to 0.550% Moneyshare 0.510% to 0.440% International Equity 0.870% to 0.795% Aggressive Growth 0.650% to 0.575% Global Yield 0.840% to 0.780% Growth Dimensions 0.630% to 0.570% Income Advantage 0.620% to 0.545% IDS Life, in turn, pays to American Express Financial Corporation (AEFC) a fee based on a percentage of each Fund's average daily net assets for the year. This fee is equal to 0.35% for International Equity Fund and 0.25% for each remaining Fund. In addition to paying its own management fee, brokerage commissions, taxes and costs of certain legal services, each Fund will reimburse IDS Life an amount equal to the cost of certain expenses incurred and paid by IDS Life in connection with each Fund's operations. The Funds also pay custodian fees to American Express Trust Company, an affiliate of IDS Life. The reimbursement paid by Moneyshare Fund will be limited to 0.25% of the Fund's average daily net assets. AEFC has a Sub-investment Advisory Agreement with American Express Asset International Inc. (International), a wholly-owned subsidiary of AEFC. The Funds have also entered into an Administrative Services Agreement with AEFC. Under this agreement, each Fund pays AEFC a fee for administration and accounting services at a percentage of each Fund's average daily net assets in reducing percentages annually as follows: Fund Percentage Range Capital Resource 0.050% to 0.030% Special Income 0.050% to 0.025% Managed 0.040% to 0.020% Moneyshare 0.030% to 0.020% International Equity 0.060% to 0.035% Aggressive Growth 0.060% to 0.035% Global Yield 0.060% to 0.040% Growth Dimensions 0.050% to 0.030% Income Advantage 0.050% to 0.025% Additional administrative service expenses paid by the Funds are office expenses, consultants' fees and compensation of officers and employees. Under this agreement, the Funds also pay taxes, audit and certain legal fees, registration fees for shares, compensation of board members, corporate filing fees, organizational expenses and any other expenses properly payable by the Funds and approved by the board. 3 Securities transactions For the six months ended Feb. 28, 1998, cost of purchases and proceeds from sales of securities aggregated, respectively, $1,190,905,054 and $1,228,348,137 for Moneyshare Fund. Cost of purchases and proceeds from sales of securities (other than short-term obligations) aggregated for each Fund are as follows: Fund Purchases Proceeds Capital Resource $1,853,779,773 $1,921,428,009 Special Income 588,764,134 382,523,865 Managed 1,385,511,057 1,226,230,331 International Equity 1,024,375,006 1,127,648,778 Aggressive Growth 2,144,431,178 2,219,831,225 Global Yield 57,404,663 10,293,517 Growth Dimensions 641,857,399 254,536,577 Income Advantage 263,442,868 127,222,141 Net realized gains and losses on investment sales are determined on an identified cost basis. Brokerage commissions paid to brokers affiliated with IDS Life for the six months ended Feb. 28, 1998 are as follows: Capital Resource $343,011 Managed 77,016 Aggressive Growth 286,941 Growth Dimensions 38,376
4 Foreign currency contracts At Feb. 28, 1998, Special Income, International Equity Fund and Global Yield Fund had entered into foreign currency exchange contracts that obligate the Funds to deliver currencies at a specified future date. The unrealized appreciation and/or depreciation on these contracts is included in the accompanying financial statements. See Summary of significant accounting policies. The terms of the open contracts are as follows: Special Income Fund Exchange date Currency to Currency to Unrealized Unrealized be delivered be received appreciation depreciation March 16, 1998 4,730,779 600,000,000 $24,521 $ -- U.S. Dollar Japanese Yen March 20, 1998 33,189,506 5,485,869 Russian Ruble U.S. Dollar 27,836 -- ------ ----- $52,357 $ -- International Equity Fund Exchange date Currency to Currency to Unrealized Unrealized be delivered be received appreciation depreciation March 2, 1998 12,726,400 8,972,363 $34,343 $ -- Canadian Dollar U.S. Dollar March 2, 1998 3,313,861 2,010,350 -- 4,222 U.S. Dollar British Pound March 2, 1998 3,855 6,279 20 -- U.S. Dollar Singapore Dollar March 2, 1998 8,406,890 1,291,298,335 -- 8,748 U.S. Dollar Spanish Peseta March 2, 1998 14,378,631 21,076,197 -- 21,548 U.S. Dollar Swiss Franc March 3, 1998 16,198,494 26,620,606 -- 46,976 British Pound U.S. Dollar March 3, 1998 9,777,456 17,744,127 -- 7,806 U.S. Dollar Deutsche Mark March 3, 1998 5,568,453 855,871,181 -- 2,173 U.S. Dollar Spanish Peseta March 3, 1998 3,554,533 5,212,723 -- 3,632 U.S. Dollar Swiss Franc March 4, 1998 7,413,064 4,505,409 4,190 -- U.S. Dollar British Pound March 5, 1998 2,127,381 1,293,673 2,393 -- ----- ----- U.S. Dollar British Pound $40,946 $95,105 Global Yield Fund Exchange date Currency to Currency to Unrealized Unrealized be delivered be received appreciation depreciation March 3, 1998 3,218,895 5,837,417 $ -- $ 4,900 U.S. Dollar Deutsche Mark March 3, 1998 12,000,000 6,648,199 35,682 -- Deutsche Mark U.S. Dollar March 20, 1998 2,700,000,000 1,503,090 -- 7,148 Italian Lira U.S. Dollar March 20, 1998 155,000,000 1,004,537 -- 3,974 Spanish Peseta U.S. Dollar March 20, 1998 45,000,000 357,827 326 -- --- ----- Japanese Yen U.S. Dollar $36,008 $16,022
5 Lending of portfolio securities Presented below is information regarding securities on loan at Feb. 28, 1998. Capital Special Resource Income Managed Value of securities on loan to brokers $12,546,957 $83,669,700 $69,019,623 Collateral received for securities loaned: Cash $11,966,000 $59,906,000 $57,953,680 U.S. government securities, at value -- 25,954,135 12,565,009 Total collateral received for securities loaned $13,000,000 $85,860,135 $70,518,689 International Aggressive Global Growth Equity Growth Yield Dimensions Value of securities on loan to brokers $230,925,244 $22,392,150 $3,125,620 $10,240,230 Collateral received for securities loaned: Cash $226,764,500 $9,925,000 $3,220,000 $7,245,000 U.S. government securities, at value 8,981,438 8,113,574 -- 2,923,127 Total collateral received for securities loaned $235,745,938 $22,500,000 $3,220,000 $10,500,000 Income from securities lending amounted to $348,251, $252,361, $359,358, $652,824, $74,299, $4,893 and $29,283 for Capital Resource, Special Income, Managed, International Equity, Aggressive Growth, Global Yield, and Growth Dimensions, respectively, for the six months ended Feb. 28, 1998. The risks to each Fund of securities lending are that the borrower may not provide additional collateral when required or return the securities when due.
6 Capital share transactions Transactions in shares of each Fund for the six months ended Feb. 28, 1998 and the year ended Aug. 31, 1997 were as follows: Six months ended Feb. 28, 1998 Capital Special Resource Income Managed Sold 1,639,594 3,754,831 4,637,162 Issued for reinvested distributions 4,372,384 9,288,850 22,824,383 Redeemed (7,020,195) (9,151,722) (5,039,417) ---------- ---------- ---------- Net increase (decrease) (1,008,217) 3,891,959 22,422,128 ---------- --------- ---------- Six months ended Feb. 28, 1998 International Aggressive Moneyshare Equity Growth Sold 166,015,792 3,666,925 4,625,839 Issued for reinvested distributions 10,296,252 3,162,559 13,658,450 Redeemed (212,694,036) (11,108,812) (5,020,084) ------------ ----------- ---------- Net increase (decrease) (36,381,992) (4,279,328) 13,264,205 ----------- ---------- ---------- Six months ended Feb. 28, 1998 Global Growth Income Yield Dimensions Advantage Sold 3,394,430 28,811,546 13,171,686 Issued for reinvested distributions 425,194 426,706 1,804,132 Redeemed (254,628) (638,540) (370,157) -------- -------- -------- Net increase (decrease) 3,564,996 28,599,712 14,605,661 --------- ---------- ---------- Year ended Aug. 31, 1997 Capital Special Resource Income Managed Sold 3,671,546 6,809,483 9,338,045 Issued for reinvested distributions 28,934,823 12,551,003 19,555,272 Redeemed (29,616,371) (24,673,816) (10,968,268) ----------- ----------- ----------- Net increase (decrease) 2,989,998 (5,313,330) 17,925,049 --------- ---------- ---------- Year ended Aug. 31, 1997 International Aggressive Moneyshare Equity Growth Sold 381,761,377 13,555,355 13,876,397 Issued for reinvested distributions 18,046,948 4,698,005 14,394,788 Redeemed (266,568,205) (9,718,319) (7,863,764) ------------ ---------- ---------- Net increase (decrease) 133,240,120 8,535,041 20,407,421 ----------- --------- ---------- Year ended Aug. 31, 1997 Global Growth Income Yield Dimensions Advantage Sold 9,330,407 83,748,124 24,570,862 Issued for reinvested distributions 267,366 622,770 1,512,556 Redeemed (120,645) (663,937) (261,858) -------- -------- -------- Net increase (decrease) 9,477,128 83,706,957 25,821,560 --------- ---------- ----------
7 Interest rate futures contracts At Feb. 28, 1998, investments in securities for Special Income Fund included securities valued at $6,944,781 that were pledged as collateral to cover initial margin deposits on 100 open sales contracts. The market value of the open sales contracts at Feb. 28, 1998 was $11,268,750 with a net unrealized loss of $151,563. See summary of significant accounting policies. 8 Options contracts written The number of contracts and premium amounts associated with option contracts written by Aggressive Growth Fund during the six months ended Feb. 28, 1998 is as follows: Calls Contracts Premium Balance Aug. 31, 1997 6,350 $ 1,388,808 Opened 14,490 4,597,593 Closed or expired (15,840) (5,469,024) Exercised (5,000) (517,377) ------ -------- Balance Feb. 28, 1998 -- $ -- ------ ------------ See summary of significant accounting policies. The number of contracts and premium amounts associated with option contracts written by Growth Dimensions Fund during the six months ended Feb. 28, 1998 is as follows: Calls Contracts Premium Balance Aug. 31, 1997 -- $ -- Opened 2,300 226,496 Closed or expired -- -- Exercised -- -- ----- ------- Balance Feb. 28, 1998 2,300 $226,496 ----- -------- See summary of significant accounting policies. 9 Capital loss carryover For federal income tax purposes, Growth Dimensions Fund had a capital loss carryover at Aug. 31, 1997 of $11,186,489 that will expire in 2004 to 2006 if not offset by subsequent capital gains. It is unlikely the board will authorize a distribution of any net realized capital gains for a Fund until its capital loss carryover has been offset or expires.
10 Financial highlights Capital Resource Fund Financial Highlights The tables below show certain important financial information for evaluating each Fund's results. Fiscal period ended Aug. 31, Per share income and capital changes(a) 1998(b) 1997 1996 1995 1994 1993 1992 1991 1990 1989 Net asset value, $27.97 $25.57 $24.42 $23.43 $24.58 $23.90 $23.15 $17.54 $20.17 $15.06 beginning of period Income from investment operations: Net investment income (loss) .08 .16 .30 .29 .29 .23 .21 .40 .52 .39 Net gains (losses) on securities (both 3.41 6.45 1.22 3.70 1.56 1.89 1.75 6.61 (2.06) 5.38 realized and unrealized) Total from investment operations 3.49 6.61 1.52 3.99 1.85 2.12 1.96 7.01 (1.54) 5.77 Less distributions: Dividends from net investment income (.08) (.15) (.29) (.29) (.29) (.23) (.21) (.40) (.52) (.39) Distributions from realized gains (.63) (4.05) (.07) (2.71) (2.71) (1.21) (1.00) (1.00) (.57) (.27) Excess distributions from net investment -- (.01) (.01) -- -- -- -- -- -- -- income Total distributions (.71) (4.21) (.37) (3.00) (3.00) (1.44) (1.21) (1.40) (1.09) (.66) Net asset value, end of period $30.75 $27.97 $25.57 $24.42 $23.43 $24.58 $23.90 $23.15 $17.54 $20.17 Ratios/supplemental data 1998(b) 1997 1996 1995 1994 1993 1992 1991 1990 1989 Net assets, end of $5,319 $4,867 $4,372 $3,845 $2,899 $2,308 $1,681 $1,191 $702 $660 period (in millions) Ratio of expenses to .66%c .67% .68% .69% .68% .68% .70% .70% .70% .73% average daily net assets Ratio of net income (loss) to .52%c .61% 1.15% 1.22% 1.20% .94% .91% 1.94% 2.69% 2.22% average daily net assets Portfolio turnover rate (excluding 39% 110% 131% 88% 85% 65% 63% 74% 82% 42% short-term securities) Total returnd 12.7% 28.5% 6.2% 17.2% 7.6% 8.9% 8.5% 40.7% (7.8)% 38.7% Average brokerage commission rate(e) $.0552 $.0492 $.0565 -- -- -- -- -- -- -- a For a share outstanding throughout the period.Rounded to the nearest cent. b Six months ended Feb. 28, 1998 (Unaudited). c Adjusted to an annual basis. d Total return does not reflect payment of the expenses that apply to the variable accounts or any annuity charges. e Effective fiscal year 1996, the Fund is required to disclose an average brokerage commission rate per share for security trades on which commissions are charged. The comparability of this information may be affected by the fact that commission rates per share vary significantly among foreign countries.
Special Income Fund Financial highlights Fiscal period ended Aug. 31, Per share income and capital changes(a) 1998(b) 1997 1996 1995 1994 1993 1992 1991 1990 1989 Net asset value, beginning of period $11.99 $11.54 $11.58 $11.05 $12.08 $11.26 $10.72 $10.10 $11.11 $10.88 Income from investment operations: Net investment income (loss) .42 .85 .88 .88 .84 .85 .90 .97 .99 1.03 Net gains (losses) on securities (both realized and unrealized) .15 .52 (.07) .56 (.99) .82 .54 .62 (1.01) .23 Total from investment operations .57 1.37 .81 1.44 (.15) 1.67 1.44 1.59 (.02) 1.26 Less distributions: Dividends from net investment income (.42) (.84) (.85) (.87) (.85) (.85) (.90) (.97) (.99) (1.03) Distributions from realized gains (.27) (.07) -- (.02) (.02) -- -- -- -- -- Excess distributions from net investment income -- (.01) -- (.02) (.01) -- -- -- -- -- Total distributions (.69) (.92) (.85) (.91) (.88) (.85) (.90) (.97) (.99) (1.03) Net asset value, end of period $11.87 $11.99 $11.54 $11.58 $11.05 $12.08 $11.26 $10.72 $10.10 $11.11 Ratios/supplemental data: 1998(b) 1997 1996 1995 1994 1993 1992 1991 1990 1989 Net assets, end of period (in millions) $1,949 $1,923 $1,912 $1,703 $1,559 $1,551 $1,136 $800 $641 $565 Ratio of expenses to average daily net assets .68%d .68% .68% .68% .67% .69% .71% .70% .71% .73% Ratio of net income (loss) to average daily net assets 7.05%d 7.18% 7.47% 8.08% 7.20% 7.41% 8.22% 9.31% 9.42% 9.37% Portfolio turnover rate (excluding short-term securities) 21% 73% 56% 56% 57% 77% 92% 97% 118% 132% Total return(c) 4.8% 12.2% 7.1% 13.8% (1.3%) 15.5% 14.0% 16.5% (.1%) 12.2% a For a share outstanding throughout the period. Rounded to the nearest cent. b Six months ended Feb. 28, 1998 (Unaudited). c Total return does not reflect payment of the expenses that apply to the variable accounts or any annuity charges. d Adjusted to an annual basis.
Managed Fund Financial highlights Fiscal period ended Aug. 31, Per share income and capital changes(a) 1998(b) 1997 1996 1995 1994 1993 1992 1991 1990 1989 Net asset value, beginning of period $18.87 $16.00 $14.85 $13.65 $14.32 $13.08 $12.59 $10.93 $12.08 $9.87 Income from investment operations: Net investment income (loss) .23 .46 .46 .40 .47 .49 .56 .58 .65 .48 Net gains (losses) on securities (both realized and unrealized) 1.67 3.93 1.15 1.20 (.26) 1.60 .95 2.11 (.67) 2.25 Total from investment operations 1.90 4.39 1.61 1.60 .21 2.09 1.51 2.69 (.02) 2.73 Less distributions: Dividends from net investment income (.21) (.45) (.46) (.40) (.47) (.49) (.56) (.58) (.65) (.48) Distributions from realized gains (1.50) (1.06) -- -- (.41) (.36) (.46) (.45) (.48) (.04) Excess distributions from net investment income (.01) (.01) -- -- -- -- -- -- -- -- Total distributions (1.72) (1.52) (.46) (.40) (.88) (.85) (1.02) (1.03) (1.13) (.52) Net asset value, end of period $19.05 $18.87 $16.00 $14.85 $13.65 $14.32 $13.08 $12.59 $10.93 $12.08 Ratios/supplemental data 1998(b) 1997 1996 1995 1994 1993 1992 1991 1990 1989 Net assets, end of period (in millions) $4,914 $4,445 $3,482 $3,044 $2,499 $1,858 $1,169 $810 $545 $462 Ratio of expenses to average daily net assets .64%c .64% .65% .68% .68% .69% .71% .70% .71% .73% Ratio of net income (loss) to average daily net assets 2.39%c 2.65% 2.94% 2.96% 3.46% 3.70% 4.35% 4.86% 5.42% 5.06% Portfolio turnover rate (excluding short-term securities) 27% 72% 85% 72% 79% 58% 50% 52% 37% 69% Total returnd 10.7% 28.5% 11.0% 11.9% 1.5% 16.3% 12.1% 25.2% (.2%) 28.5% Average brokerage commission rate(e) $.0221 $.0334 $.0606 -- -- -- -- -- -- -- a For a share outstanding throughout the period. Rounded to the nearest cent. b Six months ended Feb. 28, 1998 (Unaudited). c Adjusted to an annual basis. d Total return does not reflect payment of the expenses that apply to the variable accounts or any annuity charges. e Effective fiscal year 1996, the Fund is required to disclose an average brokerage commission rate per share for security trades on which commissions are charged. The comparability of this information may be affected by the fact that commission rates per share vary significantly among foreign countries.
Moneyshare Fund Financial highlights Fiscal period ended Aug. 31, Per share income and capital changes(a) 1998(b) 1997 1996 1995 1994 1993 1992 1991 1990 1989 Net asset value, $1.00 $1.00 $1.00 $1.00 $1.00 $1.00 $1.00 $1.00 $1.00 $1.00 beginning of period Income from investment operations: Net investment income (loss) .03 .05 .05 .05 .03 .03 .04 .07 .08 .09 Less distributions: Dividends from net (.03) (.05) (.05) (.05) (.03) (.03) (.04) (.07) (.08) (.09) investment income Net asset value, $1.00 $1.00 $1.00 $1.00 $1.00 $1.00 $1.00 $1.00 $1.00 $1.00 end of period Ratios/supplemental data 1998b 1997 1996 1995 1994 1993 1992 1991 1990 1989 Net assets, end of period $385 $421 $288 $227 $179 $180 $246 $285 $274 $160 (in millions) Ratio of expenses to .56%c .57% .56% .59% .57% .60% .60% .57% .62% .54% average daily net assets Ratio of net income (loss) to 5.12%c 4.97% 5.02% 5.23% 3.12% 2.67% 3.93% 6.55% 7.85% 8.68% average daily net assets Total return(d) 2.6% 5.1% 5.2% 5.3% 3.2% 2.7% 4.0% 6.8% 8.2% 9.0% a For a share outstanding throughout the period. Rounded to the nearest cent. b Six months ended Feb. 28, 1998 (Unaudited). c Adjusted to annual basis. d Total return does not reflect payment of the expenses that apply to the variable accounts or any annuity charges.
International Equity Fund Financial highlights Fiscal period ended Aug. 31, Per share income and capital changes(a) 1998(b) 1997 1996 1995 1994 1993 1992(c) Net asset value, $14.09 $13.30 $12.55 $12.91 $11.60 $10.01 $10.00 beginning of period Income from investment operations: Net investment income (loss) .03 .18 .20 .17 .14 .15 .05 Net gains (losses) on securities .91 1.06 1.01 (.37) 1.61 1.81 .01 (both realized and unrealized) Total from investment operations .94 1.24 1.21 (.20) 1.75 1.96 .06 Less distributions: Dividends from net investment income (.03) (.17) (.44) (.16) (.08) (.15) (.05) Distributions from realized gains (.19) (.28) (.02) -- (.29) (.22) -- Excess distributions from realized gains (.06) -- -- -- (.07) -- -- Total distributions (.28) (.45) (.46) (.16) (.44) (.37) (.05) Net asset value, end of period $14.75 $14.09 $13.30 $12.55 $12.91 $11.60 $10.01 Ratios/supplemental data 1998b 1997 1996 1995 1994 1993 1992c Net assets, end of period $2,141 $2,105 $1,874 $1,442 $1,111 $291 $39 (in millions) Ratio of expenses to .93%f .97% .96% 1.03% .98% 1.10% 1.57%f average daily net assets Ratio of net income (loss) to .35%f 1.30% 1.28% 1.56% 1.09% 1.37% .93%f average daily net assets Portfolio turnover rate 54% 91% 58% 38% 51% 62% 22% (excluding short-term securities) Total returnd 6.9% 9.3% 9.6% (1.8%) 15.1% 19.8% .6% Average brokerage commission $.0228 $.0187 $.0186 -- -- -- -- rate(e) a For a share outstanding throughout the period. Rounded to the nearest cent. b Six months ended Feb. 28, 1998 (Unaudited). c Commencement of operations. Period from Jan. 13, 1992 to Aug. 31, 1992. d Total return does not reflect payment of the expenses that apply to the variable accounts or any annuity charges. e Effective fiscal year 1996, the Fund is required to disclose an average brokerage commission rate per share for security trades on which commissions are charged. The comparability of this information may be affected by the fact that commission rates per share vary significantly among foreign countries. f Adjusted to an annual basis.
Aggressive Growth Fund Financial highlights Fiscal period ended Aug. 31, Per share income and capital changes(a) 1998(c) 1997 1996 1995 1994 1993 1992(b) Net asset value, beginning of period $17.17 $16.04 $14.44 $11.46 $11.68 $9.00 $10.00 Income from investment operations: Net investment income (loss) .02 .08 .10 .08 .01 .02 .02 Net gains (losses) on securities (both realized and unrealized) 1.54 2.84 1.60 2.98 (.22) 2.68 (1.00) Total from investment operations 1.56 2.92 1.70 3.06 (.21) 2.70 (.98) Less distributions: Dividends from net investment income (.02) (.08) (.10) (.08) (.01) (.02) (.02) Distributions from realized gains (1.49) (1.71) -- -- -- -- -- Total distributions (1.51) (1.79) (.10) (.08) (.01) (.02) (.02) Net asset value, end of period $17.22 $17.17 $16.04 $14.44 $11.46 $11.68 $9.00 Ratios/supplemental data 1998c 1997 1996 1995 1994 1993 1992b Net assets, end of period (in millions) $2,663 $2,427 $1,941 $1,412 $763 $299 $57 Ratio of expenses to average daily net assets .66%d .68% .69% .70% .69% .75% .98%d Ratio of net income (loss) to average daily net assets .26%d .47% .65% .72% .14% .28% .21%d Portfolio turnover rate (excluding short-term 97% 18% 189% 116% 59% 55% 28% securities) Total return (e) 9.9% 18.6% 11.8% 26.8% (1.8%) 30.0% (9.8%) Average brokerage commission rate(f) $.0551 $.0430 $.0531 -- -- -- -- a For a share outstanding throughout the period. Rounded to the nearest cent. b Commencement of operations. Period from Jan. 13, 1992 to Aug. 31, 1992. c Six months ended Feb. 28, 1998 (Unaudited). d Adjusted to an annual basis. e Total return does not reflect payment of the expenses that apply to the variable accounts or any annuity charges. f Effective fiscal year 1996, the Fund is required to disclose an average brokerage commission rate per share for security trades on which commissions are charged. The comparability of this information may be affected by the fact that commission rates per share vary significantly among foreign countries.
Global Yield Fund Financial highlights Fiscal period ended Aug. 31, Per share income and capital changes(a) 1998(b) 1997 1996(c) Net asset value, beginning of period $10.32 $10.08 $10.00 Income from investment operations: Net investment income (loss) .30 .51 .12 Net gains on securities (both realized and unrealized) .19 .14 .07 Total from investment operations .49 .65 .19 Less distributions: Dividends from net investment income (.29) (.41) (.11) Distributions from realized gains (.04) -- -- Total distributions (.33) (.41) (.11) Net asset value, end of period $10.48 $10.32 $10.08 Ratios/supplemental data 1998b 1997 1996c Net assets, end of period $158 $119 $21 (in millions) Ratio of expenses to .94%d .97% 1.77%d average daily net assets Ratio of net income (loss) to 5.78%d 5.66% 4.96%d average daily net assets Portfolio turnover rate 8% 36% 4% (excluding short-term securities) Total return(e) 4.9% 6.5% 2.0% a For a share outstanding throughout the period. Rounded to the nearest cent. b Six months ended Feb. 28, 1998 (Unaudited). c Commencement of operations. Period from May 1, 1996 to Aug. 31, 1996. d Adjusted to an annual basis. e Total return does not reflect payment of the expenses that apply to the variable accounts or any annuity charges. Growth Dimensions Fund Financial highlights Fiscal period ended Aug. 31, Per share income and capital changes(a) 1998(c) 1997 1996(b) Net asset value, beginning of period $12.95 $9.94 $10.00 Income from investment operations: Net investment income (loss) .05 .10 .03 Net gains (losses) on securities (both realized and unrealized) 1.75 3.01 (.06) Total from investment operations 1.80 3.11 (.03) Less distributions: Dividends from net investment income (.05) (.10) (.03) Net asset value, end of period $14.70 $12.95 $9.94 Ratios/supplemental data 1998c 1997 1996b Net assets, end of period (in millions) $1,903 $1,307 $171 Ratio of expenses to average daily net assets .71%d .72% 1.04%d Ratio of net income (loss) to average daily net assets .78%d 1.04% 1.69%d Portfolio turnover rate (excluding short-term securities) 18% 29% 4% Total return(e) 13.9% 31.4% (.2%) Average brokerage commission rate(f) $.0373 $.0321 $.0559 a For a share outstanding throughout the period. Rounded to the nearest cent. b Commencement of operations. Period from May 1, 1996 to Aug. 31, 1996. c Six months ended Feb. 28, 1998 (Unaudited). d Adjusted to an annual basis. e Total return does not reflect payment of the expenses that apply to the variable accounts or any annuity charges. f The Fund is required to disclose an average brokerage commission rate per share for security trades on which commissions are charged. The comparability of this information may be affected by the fact that commission rates per share vary significantly among foreign countries. Income Advantage Fund Financial highlights Fiscal period ended Aug. 31, Per share income and capital changes(a) 1998(c) 1997 1996(b) Net asset value, beginning of period 10.39 $9.77 $10.00 Income from investment operations: Net investment income (loss) .45 .88 .18 Net gains (losses) on securities (both realized and unrealized) .17 .62 (.23) Total from investment operations .62 1.50 (.05) Less distributions: Dividends from net investment income (.45) (.88) (.18) Distributions from realzied gains (.05) -- -- Total distributions (.50) (.88) (.18) Net asset value, end of period $10.51 $10.39 $9.77 Ratios/supplemental data 1998c 1997 1996b Net assets, end of period (in millions) $479 $320 $49 Ratio of expenses to average daily net assets .69%e .69% 1.53%e Ratio of net income (loss) to average daily net assets 8.59%e 8.88% 8.14%e Portfolio turnover rate (excluding short-term 34% 104% 22% securities) Total return(d) 6.3% 16.8% (.5%) a For a share outstanding throughout the period. Rounded to the nearest cent. b Commencement of operations. Period from May 1, 1996 to Aug. 31, 1996. c Six months ended Feb. 28, 1998 (Unaudited). d Total return does not reflect payment of the expenses that apply to the variable accounts or any annuity charges. e Adjusted to an annual basis. Investments in securities Retirement Annuity Mutual Funds Capital Resource Fund Feb. 28, 1998 (Unaudited) (Percentages represent value of investments compared to net assets) Common stocks - 96.9% Issuer Shares Value(a) Airlines - 0.4% AMR 150,000(b) $18,984,375 Automotive & related - 1.0% Lear 1,000,000(b) 52,875,000 Banks and savings & loans - 5.3% First Union 1,000,000 52,687,500 Norwest 1,800,000 73,687,500 State Street 1,400,000 86,537,500 Washington Mutual 1,000,000 67,125,000 Total 280,037,500 Building materials & construction - 4.8% Masco 1,300,000 70,687,500 Sherwin-Williams 2,500,000 83,593,750 Tyco Intl 2,000,000 101,500,000 Total 255,781,250 Chemicals - 4.3% BetzDearborn 1,250,000 80,234,375 Du Pont (EI) de Nemours 400,000 24,525,000 Monsanto 600,000 30,525,000 USA Waste Services 2,200,000(b) 91,575,000 Total 226,859,375 Communications equipment & services - 1.1% Lucent Technologies 400,000 43,350,000 Motorola 300,000 16,725,000 Total 60,075,000 Computers & office equipment - 11.7% Automatic Data Processing 500,000 30,531,250 Bay Networks 743,560(b) 25,188,095 BMC Software 200,000(b) 15,300,000 Cambridge Technology Partners 1,000,000(b) 45,500,000 Cisco Systems 900,000(b) 59,287,500 Compaq Computer 1,300,000 41,681,250 Hewlett-Packard 450,000 30,150,000 Microsoft 1,300,000(b) 110,175,000 Network Associates 800,000(b) 51,700,000 Parametric Technology 900,000(b) 54,506,250 PeopleSoft 1,200,000(b) 53,625,000 Platinum Technology 1,300,000(b) 32,987,500 Solectron 1,500,000(b) 72,562,500 Total 623,194,345 Electronics - 4.2% Analog Devices 1,500,000(b) $48,375,000 Intel 800,000 71,750,000 Molex 1,500,000 45,375,000 Thomas & Betts 1,000,000 56,687,500 Total 222,187,500 Energy - 3.8% Anadarko Petroleum 550,000 35,475,000 Exxon 1,200,000 76,650,000 Mobil 500,000 36,218,750 Tosco 1,500,000 55,687,500 Total 204,031,250 Energy equipment & services - 0.5% Transocean Offshore 600,000 25,800,000 Financial services - 7.0% Associates First Capital Cl A 475,000 38,000,000 Fannie Mae 1,000,000 63,812,500 Franklin Resources 1,200,000 61,200,000 MBNA 1,000,000 35,812,500 Morgan Stanley, Dean Witter, Discover & Co 1,300,000 90,593,750 Travelers Group 1,500,000 83,625,000 Total 373,043,750 Food - 0.8% General Mills 600,000 43,162,500 Foreign - 3.9%(e) ACE 1,100,000 108,762,500 Royal Dutch Petroleum 1,000,000 54,312,500 Schlumberger 575,000 43,340,625 Total 206,415,625 Health care - 8.2% American Home Products 550,000 51,562,500 Arterial Vascular Engineering 400,000(b) 32,750,000 Bristol-Myers Squibb 800,000 80,150,000 Guidant 800,000 58,350,000 Lilly (Eli) 450,000 29,615,625 Merck & Co 850,000 108,428,125 Pfizer 850,000 75,225,000 Total 436,081,250 Health care services - 1.7% Tenet Healthcare 1,800,000(b) 67,162,500 United Healthcare 400,000 24,275,000 Total 91,437,500 Household products - 3.5% Colgate-Palmolive 500,000 40,593,750 Gillette 800,000 86,300,000 Proctor & Gamble 700,000 59,456,250 Total 186,350,000 Industrial equipment & services - 3.6% Deere & Co 1,400,000 78,575,000 Illinois Tool Works 1,500,000 89,906,250 Ingersoll-Rand 433,000 20,621,625 Total 189,102,875 Insurance - 3.5% American Intl Group 500,000 60,093,750 Progressive Corp 800,000 92,700,000 SunAmerica 750,000 33,984,375 Total 186,778,125 Leisure time & entertainment - 2.5% Brunswick 1,000,000 31,750,000 Carnival Cl A 1,700,000 100,087,500 Total 131,837,500 Media - 3.5% CBS 3,000,000 92,812,500 Clear Channel Communications 400,000(b) 36,250,000 Univision Communications Cl A 700,000(b) 26,862,500 US WEST Media Group 1,000,000(b) 32,187,500 Total 188,112,500 Multi-industry conglomerates - 3.4% Emerson Electric 400,000 25,525,000 General Electric 1,700,000 132,175,000 Minnesota Mining & Mfg 250,000 21,328,125 Total 179,028,125 Paper & packaging - 2.8% Crown Cork & Seal 1,200,000 64,800,000 Sealed Air 400,000(b,d)26,925,000 Willamette Inds 1,600,000 59,100,000 Total 150,825,000 Retail - 14.3% American Stores 1,600,000 40,300,000 Cendant 1,000,000(b) 37,500,000 Circuit City Stores 1,839,000 71,031,374 CVS 500,000 37,031,250 Dayton Hudson 900,000 69,581,250 Gap 1,500,000 67,031,250 Kohl's 900,000(b) 72,168,750 Meyer (Fred) 700,000(b) 31,106,250 Office Depot 2,200,000(b) 60,500,000 Rite Aid 2,500,000 80,937,500 Safeway 2,600,000(b) 90,675,000 Wal-Mart Stores 2,200,000 101,887,500 Total 759,750,124 Utilities -- telephone - 1.1% AT&T 1,000,000 60,875,000 Total common stocks (Cost: $3,838,418,369) $5,152,625,469 Short-term securities - 4.2% U.S. government agencies - 0.3% Federal Home Loan Bank Disc Nt 03-18-98 5.41% $15,000,000 $14,959,574 Federal Home Loan Mtge Corp Disc Nt 03-24-98 5.43 1,000,000 996,400 Total 15,955,974 Commercial paper - 3.4% BBV Finance (Delaware) 04-01-98 5.53 12,400,000 12,339,268 Bell Atlantic 03-16-98 5.57 10,000,000 9,975,289 CAFCO 04-02-98 5.53 10,000,000(c) 9,949,583 Campbell Soup 03-27-98 5.56 12,600,000(c)12,547,647 Delaware Funding 03-17-98 5.52 9,000,000(c) 8,976,625 Dresdner US Finance 03-02-98 5.50 4,100,000 4,098,750 Fleet Funding 03-13-98 5.53 10,000,000(c) 9,980,139 Gateway Fuel 03-20-98 5.50 6,400,000 6,380,516 General Electric 03-30-98 5.51 10,000,000 9,954,333 Goldman Sachs Group 03-24-98 5.50 5,700,000 5,679,176 Heinz (HJ) 04-22-98 5.54 10,000,000 9,919,028 Natl Australia Funding (Delaware) 04-01-98 5.53 10,000,000 9,951,022 Natl Rural Utilities Cooperative 04-14-98 5.52 13,000,000 12,910,950 Paccar Financial 03-05-98 5.49% $3,200,000 $3,197,569 Pacific Life Insurance 03-02-98 5.68 3,000,000 2,999,053 03-04-98 5.51 12,000,000 11,992,667 03-06-98 5.51 2,900,000 2,897,347 Reed Elsevier 03-06-98 5.53 3,800,000(c) 3,796,517 SBC Communications Capital 03-23-98 5.50 7,500,000(c) 7,473,742 04-20-98 5.53 12,500,000(c)12,402,781 Toyota Motor Credit 03-26-98 5.50 6,300,000 6,275,066 Xerox Credit 04-01-98 5.51 3,200,000 3,184,413 Total 176,881,481 Letters of credit - 0.5% Bank of America- AES Hawaii 03-06-98 5.52 13,000,000 12,988,082 Student Loan Marketing Assn - Nebraska Higher Education 03-13-98 5.52 6,000,000 5,988,083 03-31-98 5.54 9,000,000 8,957,220 Total 27,933,385 Total short-term securities (Cost: $220,770,840) $220,770,840 Total investments in securities (Cost $4,059,189,209)(f) $5,373,396,309 Notes to investments in securities (a) Securities are valued by procedures described in Note 1 to the financial statements. (b) Non-income producing. (c) Commercial paper sold within terms of a private placement memorandum, exempt under Section 4(2) of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other "accredited investors." This security has been determined to be liquid under guidelines established by the board. (d) Security is partially or fully on loan. See Note 5 to the financial statements. (e) Foreign security values are stated in U.S. dollars. (f) At Feb. 28, 1998, the cost of securities for federal income tax purposes was approximately $4,059,189,000 and the approximate aggregate gross unrealized appreciation and depreciation based on that cost was: Unrealized appreciation.....................................$1,327,463,000 Unrealized depreciation........................................(13,256,000) Net unrealized appreciation.................................$1,314,207,000 See accompanying notes to investments in securities. Investments in securities Retirement Annuity Mutual Funds Special Income Fund Feb. 28, 1998 (Unaudited) (Percentages represent value of investments compared to net assets) Bonds - 93.0% Issuer Coupon Principal Value(a) rate amount U.S. government obligations - 19.3% U.S. Treasury 11-15-00 5.75% $5,000,000 $5,020,550 05-15-02 7.50 6,170,000 6,598,075 06-30-02 6.25 17,000,000 17,398,140 08-15-02 6.375 10,900,000 11,219,806 08-15-04 7.25 23,200,000 25,182,904 11-15-05 5.875 50,000,000 50,503,000 05-15-16 7.25 12,700,000 14,472,666 11-15-16 7.50 46,750,000 54,620,829 07-15-06 7.00 30,000,000 32,502,300 08-15-19 8.125 42,200,000 52,879,132 02-15-21 7.875 3,700,000 4,553,035 08-15-27 6.375 40,000,000(f) 42,405,200 Resolution Funding 10-15-19 8.125 48,059,000 58,791,054 Total 376,146,691 Mortgage-backed securities - 7.7% Federal Home Loan Mtge Corp 05-01-07 9.00 7,055,633 7,334,824 03-01-10 5.50 5,000,000(l) 4,828,125 08-01-24 8.00 3,200,345 3,329,799 08-01-24 8.00 3,897,742 4,055,406 01-01-25 9.00 2,027,871 2,162,948 10-01-26 8.50 15,199,824 15,889,287 01-01-27 8.50 8,231,183 8,604,550 Collateralized Mtge Obligation 03-15-22 7.00 10,455,000 10,761,018 04-15-22 8.50 10,000,000 11,075,900 07-15-22 7.00 12,940,000 13,213,034 Federal Natl Mtge Assn 09-01-07 8.50 7,706,000 8,003,683 11-01-21 8.00 590,600 616,261 04-01-22 8.00 4,183,813 4,362,964 04-01-23 8.50 7,301,088 7,712,139 06-01-24 9.00 7,460,429 8,018,021 02-01-27 7.50 18,415,164 18,930,788 Collateralized Mtge Obligation 05-18-26 5.00 10,000,000 9,050,000 Govt Natl Mtge Assn 06-20-24 7.00 5,650,399 5,788,128 07-20-27 6.50 9,568,276 9,733,902 Total 153,470,777 Aerospace & defense - 0.5% BE Aerospace Sr Sub Nts Series B 02-01-06 9.875 5,000,000 5,306,250 K&F Inds Sr Sub Nts 10-15-07 9.25 2,000,000(d) 2,120,000 L-3 Communications Sr Sub Nts Series B 05-01-07 10.375 1,710,000(d) 1,885,275 Newport News Shipbuilding Sr Nts 12-01-06 8.625 1,250,000 1,334,375 Total 10,645,900 Airlines - 0.2% AMR 05-15-01 9.50% $4,500,000 $4,928,040 Automotive & related - 1.3% Arvin Capital Company Guaranty 02-01-27 9.50 5,000,000 5,575,550 Ford Motor Credit 01-15-03 7.50 5,000,000 5,285,950 GMAC Medium-term Nts 12-14-98 5.95 10,000,000 10,016,200 Hayes Lemmerz Intl Company Guaranty Series B 07-15-07 9.125 3,000,000 3,187,500 Tower Automotive 08-01-04 5.00 1,000,000(d) 1,100,000 Total 25,165,200 Banks and savings & loans - 2.7% Banca Commercial Italian 07-15-07 8.25 5,000,000 5,563,600 BankBoston Capital Company Guaranty Series B 12-15-26 8.25 5,000,000 5,395,250 Crestar Capital Company Guaranty 12-15-26 8.16 5,000,000 5,417,500 Cullen/Frost Capital Series A 02-01-27 8.42 5,000,000 5,281,625 First Nationwide Holdings Sr Sub Nts 10-01-03 10.625 2,940,000 3,292,800 Fleet/Norstar Financial Group Sub Nts 06-15-01 9.90 5,000,000 5,551,600 12-01-01 9.00 5,000,000 5,472,500 Greenpoint Capital Company Guaranty 06-01-27 9.10 2,500,000 2,765,675 Mellon Capital Company Guaranty Series A 12-01-26 7.72 2,000,000 2,085,220 US Trust Capital 02-01-27 8.41 3,500,000(d) 3,822,280 Washington Mutual Capital Company Guaranty 06-01-27 8.375 3,000,000(d) 3,274,560 Wilshire Financial Services 08-15-04 13.00 6,000,000(d) 6,390,000 Total 54,312,610 Building materials & construction - 0.5% AAF-McQuay Sr Nts 02-15-03 8.875% $5,080,000 $5,029,200 Masco 10-01-01 9.00 5,000,000 5,464,050 Total 10,493,250 Chemicals - 0.5% General Chemical Sr Sub Nts 08-15-03 9.25 5,000,000 5,200,000 ISP Holdings Sr Nts Series B 02-15-02 9.75 1,733,000 1,858,643 USA Waste Services Cv Sub Nts 02-01-02 4.00 2,700,000 3,088,125 Total 10,146,768 Communications equipment & services - 1.6% Comcast Cellular Holdings Sr Nts Series B 05-01-07 9.50 3,000,000 3,165,000 Facilicom Intl Sr Nts 01-15-08 10.50 4,250,000 4,345,625 Interamericas Communications 10-27-07 14.00 1,250,000(d) 1,262,500 Nextel Communications Zero Coupon Sr Disc Nts 01-15-04 22.79 4,000,000(k) 3,880,000 NTL Zero Coupon Sr Nts Series B 02-01-06 11.48 5,000,000(d,k)4,012,500 PhoneTel Technologies Sr Nts 12-15-06 12.00 3,500,000 3,683,750 Price Communications Cellular Holdings Zero Coupon Sr Disc Nts 08-01-07 13.50 6,700,000(d,k)4,455,500 RCN Zero Coupon Sr Disc Nts 02-15-03 9.80 2,870,000(d,k)1,761,463 Unifi Communications Sr Nts 03-01-04 14.00 7,000,000(d) 4,550,000 Total 31,116,338 Computers & office equipment - 0.7% Hewlett-Packard Zero Coupon Cv Sub Nts 10-15-17 3.12% $10,000,000(d,j)$5,387,500 Learning Cv Sr Nts 11-01-00 5.50 5,000,000 4,487,500 Read-Rite Sub Nts 09-01-04 6.50 2,450,000 2,021,250 Solectron Cv Sub Nts 03-01-06 6.00 1,200,000 1,861,500 Total 13,757,750 Electronics - 0.2% Thomas & Betts 01-15-06 6.50 4,500,000 4,504,995 Energy - 1.7% Forcenergy Sr Sub Nts 11-01-06 9.50 2,100,000 2,231,250 Occidental Petroleum Medium-term Nts 06-01-00 10.98 5,000,000 5,509,750 Medium-term Nts with attached put 08-01-19 9.25 8,725,000 10,931,116 Oryx Energy 04-01-01 10.00 5,000,000 5,493,300 PDV America Sr Nts 08-01-03 7.875 7,500,000 7,791,150 Transamerica Energy Zero Coupon 06-15-02 13.00 2,100,000(k) 1,764,000 Transamerican Energy 06-15-02 11.50 1,000,000 1,010,000 Total 34,730,566 Energy equipment & services - 0.8% DI Inds Sr Nts 07-01-07 8.875 2,250,000 2,368,125 Diamond Offshore Drilling Cv Sr Sub Nts 09-15-07 3.125 4,000,000 3,915,000 Global Marine 09-01-07 7.125 10,000,000(d) 10,358,700 Total 16,641,825 Financial services - 2.0% Arcadia Financial Sr Nts 03-15-07 11.50% $3,645,000 $3,626,775 Beneficial Medium-term Nts 02-18-13 6.25 10,000,000 9,922,900 Ford Capital 05-15-02 9.88 5,000,000 5,680,950 Household Finance 04-01-00 9.55 6,500,000 6,949,865 Ohio Savings Capital Company Guaranty 06-03-27 9.50 5,000,000 5,588,550 Salomon Medium-term Sr Nts Series D 10-06-99 6.99 5,000,000 5,069,800 Sasco 02-25-28 6.76 2,500,000 2,519,531 Total 39,358,371 Food - 0.2% Ameriserve Food Company Guaranty 07-15-07 10.125 2,500,000 2,700,000 Fine Host Cv Sub Nts 11-01-04 5.00 2,000,000(d) 1,310,000 Total 4,010,000 Foreign - 24.7%(c) Airplanes GPA Cl D (U.S. Dollar) Series 1 03-15-19 10.875 2,750,000 3,075,353 Alcan Aluminum (U.S. Dollar) 01-15-22 8.875 6,750,000 7,376,063 APP Finance VI Mauritius (U.S. Dollar) Zero Coupon Cv 11-18-12 10.50 8,350,000(j) 1,920,500 APP Intl Finance (U.S. Dollar) 10-01-05 11.75 5,000,000 4,437,500 Australis Media (U.S. Dollar) 11-01-00 14.00 916,899 640,954 (U.S. Dollar) Zero Coupon 05-15-03 5.30 10,081,000(k) 3,024,300 Azteca Holdings (U.S. Dollar) 06-15-02 11.00 3,500,000 3,679,375 Celcaribe Zero Coupon Sr Nts 03-15-98 16.23 1,700,000(k) 1,751,000 Zero Coupon Units 03-15-98 5.96 1,450,000(d,k)2,682,500 City of Moscow (Russian Ruble) Zero Coupon 07-01-98 22.80% $4,461,260(j) $4,150,756 12-31-98 21.80 6,153,151(j) 5,193,259 Dao Heng Bank (U.S. Dollar) Sub Nts 01-24-07 7.75 9,000,000(d) 7,432,200 Daya Guna (U.S. Dollar) Company Guaranty 06-01-07 10.00 4,750,000(d) 3,942,500 Delphes 2 (U.S. Dollar) 05-05-09 7.75 4,500,000 4,494,375 Equador (U.S. Dollar) 02-27-15 6.69 14,216,280 9,080,649 Espirito Santo Centrais (U.S. Dollar) Sr Nts 07-15-07 10.00 3,000,000(d) 2,797,500 Govt of Algeria (U.S. Dollar) 09-04-06 7.06 6,000,000 4,980,000 (U.S. Dollar) Zero Coupon 12-31-20 1.27 6,700,000 4,028,375 Govt of Bulgaria (U.S. Dollar) 07-28-11 6.31 3,000,000(i) 2,302,500 Govt of Canada (Canadian Dollar) 03-01-01 7.37 17,000,000 13,646,564 Govt of Poland (Polish Zloty) 06-12-02 12.00 18,900,000(i) 4,425,624 (U.S. Dollar) 10-27-24 2.75 10,000,000 6,337,500 Govt of Russia (Russian Ruble) 09-27-00 2.31 25,337,218 3,046,666 (Russian Ruble) Zero Coupon 03-04-98 28.22 37,164,000(j) 6,137,574 03-18-98 16.23 33,189,506(j) 5,481,193 (U.S. Dollar) 07-28-00 10.375 10,000,000 8,600,000 (U.S. Dollar) Zero Coupon 12-29-49 6.60 4,750,000(j) 3,265,625 Greater Beijing (U.S. Dollar) Sr Nts 06-15-04 9.25 3,500,000(d) 2,821,245 06-15-07 9.50 5,000,000(d) 3,994,100 Groupe Videotron (U.S. Dollar) Sr Nts 02-15-05 10.625% 2,000,000 2,245,000 Grupo Industrial Durango (U.S. Dollar) 08-01-03 12.625 4,000,000 4,560,000 Grupo Iusacell Sa De (U.S. Dollar) 07-15-04 10.00 1,500,000 1,563,750 Grupo Televisa (U.S. Dollar) Sr Nts Series A 05-15-03 11.375 250,000 276,875 Guangdong Enterprises (U.S. Dollar) Sr Nts 05-22-07 8.875 3,600,000(d) 2,939,184 Gulf Canada Resources (U.S. Dollar) 08-15-99 9.00 5,000,000 5,195,550 Honam Oil Refinery (U.S. Dollar) 10-15-05 7.125 9,000,000(d) 7,425,000 Hutchison Whampo Finance (U.S. Dollar) Company Guaranty 08-01-17 7.45 2,000,000(d) 1,799,360 08-01-27 7.50 3,850,000(d) 3,370,598 Hydro-Quebec (U.S. Dollar) Local Govt Guaranty Series HH 12-01-29 8.50 20,000,000 23,858,199 Hyundai Semiconductor (U.S. Dollar) Sr Nts 05-15-07 8.625 10,000,000(d) 7,862,900 Imexsa Export Trust (U.S. Dollar) 05-31-03 10.125 5,000,000(d) 5,225,000 Jasmine Submarine Telecom (U.S. Dollar) Sr Nts 05-30-11 8.48 3,894,308(d) 3,139,513 Korea Electric Power (U.S. Dollar) 02-01-27 7.00 6,200,000 5,228,708 MDC Communications (U.S. Dollar) Sr Sub Nts 12-01-06 10.50 1,700,000 1,836,000 Mexican Cetes (Mexican Peso) Zero Coupon 06-04-98 20.59 42,580,000(j) 5,035,085 07-02-98 19.05 48,250,000(j) 5,277,103 Ministry Finance Russia (U.S. Dollar) 11-27-01 9.25 12,100,000(d) 11,676,500 06-26-07 10.00 12,500,000(d) 11,546,875 Morgan (JP) (U.S. Dollar) Sr Sub Nts Series A 02-15-12 4.00 13,400,000 12,451,280 Natl Power (U.S. Dollar) Foreign Govt Guaranty 12-15-16 8.40 7,500,000 6,824,775 Nationwide CSN Trust (U.S. Dollar) 02-15-25 9.875% 10,500,000(d) 12,609,030 Navigator Gas Transportation (U.S. Dollar) 06-30-0710.50 3,000,000(d) 3,195,000 Netia Holdings (U.S. Dollar) Company Guaranty 11-01-0710.25 2,000,000(d) 2,027,500 Philippine Long Distance Telephone (U.S. Dollar) 03-06-07 7.85 3,000,000(d) 2,704,950 (U.S. Dollar) Medium-term Nts Series E 03-06-17 8.35 3,000,000(d) 2,662,020 Pindo Deli Finance Mauritius (U.S. Dollar) Company Guaranty 10-01-0710.75 2,200,000(d) 1,716,000 PLD Telekom (U.S. Dollar) Zero Coupon 06-01-04 3.73 5,000,000(j) 5,000,000 Plitt Theatres (U.S. Dollar) Sr Sub Nts 06-15-0410.875 5,000,000 5,475,000 Province of Mendoza (U.S. Dollar) 09-04-0710.00 4,000,000(d) 3,880,000 PTC Intl Finance (U.S. Dollar) Zero Coupon Company Guaranty 07-01-0710.75 6,000,000(j) 4,102,500 Repap New Brunswick (U.S. Dollar) Sr Nts 07-15-00 9.875 2,000,000 2,045,000 Republic of Argentina (Argentine Peso) 07-10-02 8.75 22,000,000 20,129,999 02-12-0711.75 4,500,000 4,758,750 (U.S. Dollar) 07-10-02 8.75 5,000,000(d) 4,575,000 Republic of Brazil (U.S. Dollar) 04-15-14 8.00 5,701,300 4,607,363 05-15-2710.125 22,000,000(f) 21,092,499 Republic of Panama (U.S. Dollar) 02-13-02 7.875 2,500,000(d) 2,508,725 Republic of South Africa (South African Rand) 02-28-05 2.43 48,500,000 9,270,813 Rogers Cablesystems (Canadian Dollar) 01-15-14 6.78 2,700,000 2,011,746 Rogers Cantel (U.S. Dollar) Deb 06-01-08 9.375 4,650,000 4,963,875 Southern Peru Copper (U.S. Dollar) 05-30-07 7.90 2,000,000 2,050,920 Tarkett Intl (U.S. Dollar) Sr Sub Nts 03-01-02 9.00% 4,000,000 4,060,000 Tatneft Finance (U.S. Dollar) Company Guaranty 10-29-02 9.00 7,400,000(d) 6,419,500 Telekom Malaysia (U.S. Dollar) 08-01-25 7.875 10,000,000(d) 8,339,200 Telesystem Intl Wireless (U.S.Dollar) Zero Coupon Sr Disc Nts 06-30-07 12.19 11,000,000(d,k)7,480,000 Texon Intl (Deutsche Mark) Sr Nts 02-01-08 5.61 4,000,000 2,279,422 Tjiwi Kimia (U.S. Dollar) 08-01-04 10.00 4,350,000(d) 3,349,500 TU Electric Capital (U.S. Dollar) Company Guaranty 01-30-37 8.175 10,000,000 10,534,500 TV Azteca (U.S. Dollar) 02-15-07 10.50 2,500,000 2,687,500 United Kingdom Treasury (British Pound) 06-10-03 13.17 9,500,000 16,837,268 United Mexican States (U.S. Dollar) 05-15-26 11.50 8,000,000(f) 9,785,000 Veninfotel (U.S. Dollar) Cv Pay-in-kind 03-01-02 10.00 5,000,000(d,e,o)7,500,000 03-01-02 10.00 750,000(d,e,o)1,125,000 Veritas Holdings (U.S. Dollar) Sr Nts 12-15-03 9.625 2,545,000 2,732,694 WMC Finance USA (U.S. Dollar) 11-15-13 7.25 10,000,000 10,587,700 Zhuhai Highway (U.S. Dollar) Sub Nts 07-01-08 11.50 10,000,000(d) 9,115,400 Zurich Capital (U.S. Dollar) Company Guaranty 06-01-37 8.38 3,750,000(d) 4,132,013 Total 492,434,392 Furniture & appliances - 0.3% Interface Sr Sub Nts Series B 11-15-05 9.50 5,000,000 5,368,750 Health care - 0.6% Dura Pharmaceuticals Cv Sub Nts 07-15-02 3.50 1,700,000 1,496,000 Lilly (Eli) 01-01-36 6.77% 10,000,000 10,305,300 Total 11,801,300 Health care services - 1.6% Columbia/HCA Healthcare 06-15-25 7.69 4,260,000 3,800,942 Magellan Health Services Sr Sub Nts 02-15-08 9.00 2,500,000(d) 2,537,500 Novacare Cv Sub Deb 01-15-00 5.50 3,000,000 2,872,500 Owens & Minor Company Guaranty 06-01-06 10.875 4,550,000 5,096,000 Tenet Healthcare Sr Sub Nts 03-01-05 10.125 11,800,000 12,980,000 Vencor Sr Sub Nts 07-15-07 8.625 4,000,000 4,440,000 Total 31,726,942 Household products - 0.6% Revlon Consumer Products Sr Nts 02-01-06 8.125 4,250,000(d) 4,250,000 Revlon Consumer Products Sr Nts Series B 04-01-01 9.375 2,500,000 2,600,000 Revlon Worldwide Zero Coupon Sr Disc Nts Series B 03-15-98 12.00 5,000,000(j) 4,987,500 Total 11,837,500 Industrial equipment & services - 1.2% AGCO Sr Sub Nts 03-15-06 8.50 2,800,000 2,915,500 Borg-Warner Security 03-15-07 9.63 2,200,000 2,285,250 Case 08-01-05 7.25 5,475,000 5,722,744 Clark Equipment 03-01-01 9.75 5,000,000 5,444,500 IDEX Sr Sub Nts 09-15-02 9.75 3,000,000 3,112,500 Thermo Electron Cv Sub Deb 01-01-03 4.25 1,400,000(d) 1,660,750 Tyco Intl Zero Coupon Cv Sub Nts 07-06-10 6.50 1,350,000(j) 1,812,375 Total 22,953,619 Insurance - 1.2% Americo Life Sr Sub Nts 06-01-05 9.25% 4,500,000 4,623,750 Executive Risk Capital Company Guaranty Series B 02-01-27 8.68 3,500,000 3,888,430 New England Mutual 02-15-24 7.875 5,000,000(d) 5,494,200 SAFECO Capital Company Guaranty 07-15-37 8.07 10,000,000 10,560,400 Total24,566,780 Leisure time & entertainment - 2.7% Coast Hotels & Casino Company Guaranty Series B 12-15-02 13.00 1,600,000 1,844,000 Hammons (JQ) Hotels 1st Mtge 02-15-04 8.875 3,400,000 3,493,500 HMH Properties 07-15-07 8.875 4,600,000 4,893,250 Icon Fitness Zero Coupon Sr Disc Nts Series B 11-15-06 15.76 8,130,000(j) 4,766,213 Speedway Motorsports 08-15-07 8.50 4,000,000 4,180,000 Time Warner 02-01-24 7.57 20,000,000 21,252,800 01-15-28 6.95 5,000,000 4,894,750 Trump Holdings & Funding Sr Nts 06-15-05 15.50 2,500,000 2,912,500 United Artists Theatre Series 1995A 07-01-15 9.30 4,823,446 4,968,149 Total 53,205,162 Media - 4.3% Ackerly Communications Sr Nts Series B 10-01-03 10.75 2,500,000 2,668,750 American Telecasting Zero Coupon Sr Disc Nts Series B 08-15-05 9.66 3,700,000(k) 994,375 Cablevision Systems Sr Sub Deb 05-15-16 10.50 5,000,000 5,812,500 Cox Communications 06-15-25 7.625 10,000,000 10,831,900 Heritage Media Sr Sub Nts 02-15-06 8.75 2,000,000 2,135,000 Jacor Communications Zero Coupon Cv 02-09-18 4.49 5,500,000(j) 2,399,375 Lamar Advertising Company Guaranty 12-01-06 9.625% $1,350,000 $1,473,188 Liberty Group Sr Sub Nts 02-01-08 9.375 3,750,000 3,825,000 News America Holdings 10-15-12 10.125 10,000,000 11,679,500 TCI Communications 08-01-15 8.75 10,000,000 11,644,000 Time Warner 08-15-04 7.98 1,500,000 1,617,390 08-15-06 8.11 3,000,000 3,291,600 08-15-07 8.18 3,000,000 3,326,880 Time Warner Entertainment Sr Nts 07-15-33 8.375 2,500,000 2,895,875 Univision Network Holdings LP Zero Coupon 12-17-02 15.18 14,390,000(k) 15,361,325 Viacom Sub Deb 07-07-06 8.00 3,000,000 3,067,500 Viacom Intl 07-01-03 7.00 2,500,000 2,449,850 Total 85,474,008 Metals - 0.4% Bar Technologies Company Guaranty 04-01-01 13.50 4,500,000(d) 4,938,750 EnviroSource Sr Nts 06-15-03 9.75 2,100,000 2,139,375 06-15-03 9.75 890,000 906,688 Total 7,984,813 Miscellaneous - 2.9% Adams Outdoor Advertising Sr Nts 03-15-06 10.75 4,500,000 5,006,250 Alliance Imaging Sr Sub Nts 12-15-05 9.625 3,000,000 3,135,000 Bistro Trust 12-31-02 9.50 10,000,000(d) 10,018,999 BTI Telecommunications Sr Nts 09-15-07 10.50 2,675,000 2,902,375 California Infrastructure Series 1997-1 03-25-02 6.14 9,235,000 9,254,394 Colonial Capital Company Guaranty Series A 01-15-27 8.92 3,000,000 3,301,320 Doskocil Mfg Sr Sub Nts 09-15-07 10.125 5,000,000 5,250,000 Holt Group Sr Nts 01-15-06 9.75% $2,490,000 $2,533,575 Imperial Holly Sr Sub Nts 12-15-07 9.75 2,250,000(d) 2,320,313 MSX Intl Sr Sub Nts 01-15-08 11.375 2,450,000 2,535,750 Outsourcing Solutions Sr Sub Nts Series B 11-01-06 11.00 1,775,000 1,956,938 Packaged Ice Sr Nt 02-01-05 9.75 4,600,000(d) 4,715,000 Roche Holdings Zero Coupon 05-16-12 4.95 3,300,000(j) 1,670,625 SFX Entertainment Sr Sub Nts 02-01-08 9.125 2,400,000 2,400,000 Total 57,000,539 Multi-industry conglomerates - 1.1% Corestaff Cv Sub Nts 08-15-04 2.94 2,000,000 1,825,000 Pierce Leahy Sr Sub Nts 07-15-06 11.13 812,000(d) 931,770 Prime Succession Sr Sub Nts 08-15-04 10.75 2,125,000 2,342,813 Tenneco 06-15-07 7.625 6,000,000 6,472,380 USI American Holdings Sr Nts Series B 12-01-06 7.25 5,000,000 5,066,900 Westinghouse Electric 06-01-01 8.875 5,000,000 5,321,750 Total 21,960,613 Municipal bond - 0.4%(n) New Jersey Economic Development Authority State Pension Funding Revenue Bond (MBIA Insured) 02-15-29 7.43 7,000,000 7,664,300 Paper & packaging - 2.3% Chesapeake 05-01-03 9.875 5,000,000 5,745,000 Crown Cork & Seal 04-15-23 8.00 5,000,000 5,315,600 Gaylord Container Sr Nts 06-15-07 9.375 5,000,000(d) 4,937,500 06-15-07 9.75 2,200,000(d) 2,222,000 Graham Packaging/GPC Capital Sr Sub Nts 01-15-08 8.75% 2,500,000 2,550,000 Owens-Illinois Sr Nts 05-15-04 7.85 5,000,000 5,238,000 Riverwood Intl Company Guaranty 08-01-07 10.625 3,750,000 3,975,000 Scotia Pacific Holding Collateralized Mtge Obligation 07-20-15 7.95 6,023,220 6,337,210 Silgan Holdings 06-01-09 9.00 4,125,000 4,300,313 Stone Container Sr Nts 07-15-98 12.625 1,500,000 1,556,250 Stone Container Sr Sub Deb 04-01-02 12.25 3,000,000 3,075,000 Total 45,251,873 Real estate investment trust - 0.2% First Union RE Eq SBI Sr Nts 10-01-03 8.875 4,000,000 4,130,000 Retail - 1.5% Costco Zero Coupon Cv Sub Nts 08-01-17 14.37 2,475,000(d,j)1,577,813 Dayton Hudson 12-01-22 8.50 3,000,000 3,253,920 Eye Care Centers Sr Nts 10-01-03 12.00 3,000,000 3,240,000 Kroger Sr Nts 07-15-06 8.15 3,000,000 3,270,000 Office Depot Zero Coupon Cv Nt 11-01-08 3.79 4,400,000(j) 3,157,000 Rite Aid Cv Sub Nts 09-15-02 5.25 1,400,000 1,613,500 Wal-Mart CRAVE Trust 07-17-06 7.00 13,442,258(d) 13,821,195 Total 29,933,428 Textiles & apparel - 0.4% VF Corp 05-01-01 9.50 5,000,000 5,496,000 WestPoint Stevens 12-15-01 8.75 2,500,000 2,625,000 Total 8,121,000 Utilities -- electric - 4.4% AEP Generating Series F 12-07-22 9.82% 2,484,422 2,995,841 AES Sr Sub Nts 11-01-07 8.50 3,200,000 3,304,000 Boston Edison 06-01-20 9.875 5,000,000 5,593,700 Cleveland Electric Illuminating 07-01-00 7.19 5,000,000 5,089,900 07-01-04 7.67 2,000,000 2,060,000 1st Mtge Series B 05-15-05 9.50 6,000,000 6,713,460 CMS Energy Sr Nts 05-15-02 8.125 5,000,000 5,153,200 Connecticut Light & Power 1st Mtge Series C 06-01-02 7.75 5,000,000 5,087,200 Indiana & Michigan Power Sale Lease-backed Obligation Series F 12-07-22 9.82 2,484,419 2,995,837 Long Island Lighting Gen Ref Mtge 04-15-04 8.625 3,000,000 3,221,820 07-01-24 9.625 6,000,000 6,107,460 Midland Cogeneration Series 1991-C 07-23-02 10.33 1,423,125 1,531,639 Midland Funding Series 1994-C 07-23-02 10.33 1,225,918 1,319,394 Series A 07-23-05 11.75 5,000,000 5,893,750 Niagara Mohawk Power 1st Mtge 05-15-06 7.75 10,500,000 11,124,120 Sithe Independence Funding Series A 12-30-13 9.00 7,500,000 8,821,500 Texas Utilities Electric Medium-term Nts 1st Mtge Series B 03-01-02 9.70 6,000,000 6,730,260 Texas-New Mexico Power 1st Mtge Series U 09-15-00 9.25 3,500,000 3,675,000 Total 87,418,081 Utilities -- telephone - 3.2% Bell Atlantic 08-01-31 9.00 7,500,000 8,603,250 Bell Telephone of Pennsylvania 03-15-33 7.375 10,000,000 10,081,300 CCPR Services Company Guaranty 02-01-07 10.00% 1,500,000 1,505,625 Geotek Communications Cv Sr Sub Nts 02-15-01 12.00 4,135,000(e) 2,894,500 Geotek Communications Zero Coupon Sr Disc Nts Series B 07-15-05 18.71 5,000,000(k) 2,500,000 GTE 11-01-20 10.25 7,000,000 7,856,940 Intermedia Communications Sr Nts 11-01-07 8.875 1,600,000(d) 1,692,000 Metrocall Sr Sub Nts 10-01-07 10.375 3,000,000 3,090,000 Omnipoint Sr Nts 08-15-06 11.625 10,000,000 10,975,000 U S WEST Communications 11-10-26 7.20 6,000,000 6,064,800 Worldcom 04-01-07 7.75 7,000,000 7,567,280 Total 62,830,695 Total bonds (Cost: $1,787,470,964) $1,861,092,876 Common stocks - 0.1% Issuer Shares Value(a) BayCorp Holdings 28(b) $180 Celcaribe 276,420(b,c,d)1,105,680 Intermedia Communications 508(b) 38,799 Methanex 200,000(b) 1,625,000 Nextel Communications Cl A 6,197(b) 183,199 Specialty Foods 15,000(b) 5,625 Total common stocks (Cost: $3,283,425) $2,958,483 Preferred stocks & other - 1.9% Issuer Shares Value(a) Airtouch Communications 44,000 $2,959,000 Cv Series C Bar Technologies 4,500(d) 247,500 Warrants California Federal Bank 25,000 2,834,375 11.50% Cendant 60,000(g) 3,007,500 Cv PRIDES Cooper Inds 107,100 1,880,944 Cv Dairy Mart 10,000(d) $5,000 Warrants Eye Care Center 3,000(d) 15,000 Warrants Finova Finance Trust 1,450 112,013 5.50% Cv Geotek Communications 250,000(d) 250,000 Warrants Glenborough Realty Trust 57,375 1,520,438 Cv Series A Houston Inds 27,200(r) 1,683,000 7% Cv ACES Intermedia Communication 50,000 1,743,750 Cv Series E KMC Telecomm Holdings 3,000 1,672,500 Warrants Loral Space & Communication 25,000 1,753,125 Cv Martin Media 25,000(d) 2,500,000 Occidental Petroleum 21,200 1,568,800 Cv Paxson Communications 38,250(o) 3,920,624 12.50% Pay-in-kind Price Communications 23,048 230,480 Warrants Sanwa Bank 200,000(d,l) 4,849,045 Sinclair Broadcast Group 1,700 114,113 Cv Sprint 18,125 996,875 Cv TCI Communications 23,000 1,569,750 Cv Series A Unifi Communications 7,000 105,000 Warrants WBK Strypes Trust 85,000 2,879,375 Cv Total preferred stocks & other (Cost: $37,986,948) $38,418,207 Short-term securities - 4.6% Issuer Annualized Amount Value(a) yield on payable at date of maturity purchase U.S. government agencies - 0.5% Federal Home Loan Mtge Corp Disc Nts 03-12-98 5.42% $4,300,000 $4,292,253 03-20-98 5.46 4,700,000 4,685,769 Total 8,978,022 Commercial paper - 3.6% Bell Atlantic 03-09-98 5.50 5,000,000 4,993,150 Ciesco LP 03-19-98 5.53 5,400,000 5,384,325 Colgate-Palmolive 03-20-98 5.50 2,300,000(p) 2,292,998 Kredietbank North America Finance 03-09-98 5.49 6,700,000 6,690,838 Natl Australia Funding (Delaware) 04-01-98 5.53 5,700,000 5,672,083 Paccar Financial 03-05-98 5.49 5,000,000 4,996,201 03-05-98 5.52 4,500,000 4,496,562 Pacific Life Insurance 03-12-98 5.51 2,500,000 2,495,425 Toyota Motor Credit 03-09-98 5.48 5,200,000 5,192,902 03-26-98 5.50 11,700,000 11,653,694 Xerox Credit 03-24-98 5.49 11,400,000 11,358,428 04-01-98 5.51 6,600,000 6,567,851 Total 71,794,457 Letter of credit - 0.5% Bank of America- AES Hawaii 03-13-98 5.51 10,300,000 10,279,580 Total short-term securities (Cost: $91,052,059) $91,052,059 Total investments in securities (Cost: $1,919,793,396)(s) $1,993,521,625 See accompanying notes to investments in securities. Notes to investments in securities (a) Securities are valued by procedures described in Note 1 to the financial statements. (b) Non-income producing. For long-term debt securities, items identified are in default as to payment of interest or principal. (c) Foreign securities values are stated in U.S. dollars. For debt securities, principal amounts are denominated in the currency indicated. (d) Represents a security sold under Rule 144A, which is exempt from registration under the Securities Act of 1933, as amended. This security has been determined to be liquid under guidelines established by the board. (e) Identifies issues considered to be illiquid as to their marketability (see Note 1 to the financial statements). Information concerning such security holdings at Feb. 28, 1998, is as follows: Acquisition Purchase Security date cost Geotek Communications* 12.00% Cv 2001 03-04-96 $4,135,000 Veninfotel* (U.S. Dollar) 10.00% Cv Pay-in-kind 2002 03-05-97 thru 07-23-97 5,750,000 *Represents a security sold under Rule 144A, which is exempt from registration under the Securities Act of 1933, as amended. (f) Security is partially or fully on loan. See Note 5 to the financial statements. (g) Partially pledged as initial margin deposit on the following open interest rate futures contract (See Note 7 to the financial statements): Type of security Notional amount Sales contracts U.S. Treasury Notes March 1998 $10,000,000 (h) Adjustable rate mortgage; interest rate varies to reflect current market conditions; rate shown is the effective rate on Feb. 28, 1998. (i) Interest rate varies either based on a predetermined schedule or to reflect current market conditions; rate shown is the effective rate on Feb. 28, 1998. (j) For zero coupon bonds, the interest rate disclosed represents the annualized effective yield on the date of acquisition. (k) For those zero coupon bonds that become coupon paying at a future date, the interest rate disclosed represents the annualized effective yield from the date of acquisition to interest reset date disclosed. (l) At Feb. 28, 1998, the cost securities purchased, including interest purchased, on a when-issued basis was $9,579,684. (m) U.S. Treasury inflation-protection securities (TIPS) are securities in which the principal amount is adjusted for inflation and the semi-annual interest payments equal a fixed percentage of the inflation-adjusted principal amount. (n) The following abbreviation is used in portfolio descriptions to identify the issuer or issue: MBIA-Municipal Bond Investors Assurance (o) Pay-in-kind securities are securities in which the issuer has the options to make interest or dividend payments in cash or in additional securities. These securities issued as interest or dividends, usually have the same terms, including maturity date, as the pay-in-kind securities. (p) Commercial paper sold within terms of a private placement memorandum, exempt from registration under Section 4(2) of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other "accredited investors." This security has been determined to be liquid under guidelines established by the board. (q) PRIDES (Preferred Redeemable Increased Dividend Equity Securities ) are structured as convertible preferred securities. Investors receive an enhanced yield but based upon a specific formula, potential appreciation is limited. PRIDES pay dividends, have voting rights, are noncallable for three years and upon maturity, convert into shares of common stock. (r) ACES are automatically convertible equity securities. (s) At Feb. 28, 1998, the cost of securities for federal income tax purposes was approximately $1,914,337,000 and the approximate aggregate gross unrealized appreciation and depreciation based on that cost was: Unrealized appreciation......................................... $117,425,000 Unrealized depreciation...........................................(38,240,000) Net unrealized appreciation.......................................$79,185,000 Investments in securities Retirement Annuity Mutual Funds Managed Fund Feb. 28, 1998 (Unaudited) (Percentages represent value of investments compared to net assets) Common stocks - 62.4% Issuer Shares Value(a) Aerospace & defense - 1.5% Allied Signal 450,000 $19,153,125 Boeing 325,000 17,631,250 Lockheed Martin 132,802 15,496,333 United Technologies 225,000 20,095,313 Total 72,376,021 Airlines - 0.7% Southwest Airlines 1,260,000 36,146,250 Automotive & related - 0.8% Tower Automotive 836,300(b) 37,999,381 Banks and savings & loans - 4.3% Citicorp 230,000 30,475,000 Corestates Financial 150,000 12,665,625 First Union 737,850 38,875,472 Norwest 1,050,000 42,984,375 Washington Mutual 1,250,000 83,906,249 Total 208,906,721 Beverages & tobacco - 1.7% Coca-Cola 680,000 46,707,500 Philip Morris 845,000 36,704,688 Total 83,412,188 Building materials & construction - 2.8% American Standard 750,000(b) 33,375,000 Clayton Homes 623,750 12,397,031 Masco450,000 24,468,750 Tyco Intl 1,300,000 65,975,000 Total 136,215,781 Communications equipment & services - 1.2% ADC Telecommunications 1,450,000(b) 37,428,125 Loral Space & Communications 871,800(b) 22,285,388 Total 59,713,513 Computers & office equipment - 7.5% American Power Conversion 1,500,000(b) 43,500,000 Cisco Systems 562,500(b) 37,054,688 Compaq Computer 2,533,200 81,220,724 Computer Associates Intl 837,500 39,467,188 Hewlett-Packard 685,000 45,895,000 IKON Office Solutions 1,000 32,688 Learning Co 769,500(b) 13,081,500 Microsoft 672,800(b) 57,019,799 Paymentech 628,900(b) 10,376,850 Solectron 900,000(b) 43,537,500 Total 371,185,937 Electronics - 3.8% Analog Devices 900,000(b) 29,025,000 Applied Materials 325,000(b) 11,964,063 Intel 1,245,000 111,660,937 KLA-Tencor 235,000(b) 10,846,719 Maxim Integrated Products 600,000(b) 24,225,000 Total 187,721,719 Energy - 0.8% Anadarko Petroleum 350,000 22,575,000 Apache 440,000 14,960,000 Total 37,535,000 Energy equipment & services - 0.4% ENSCO Intl 675,000 19,659,375 Financial services - 4.2% Fannie Mae 525,000 33,501,563 MBNA 700,000 25,068,750 Morgan Stanley, Dean Witter, Discover & Co 930,000 64,809,375 Travelers Group 1,482,500 82,649,375 Total 206,029,063 Food - 0.6% JP Foodservice 868,955(b) 28,729,825 Foreign - 5.7%(c) Asia Pulp & Paper 1,000(b) 11,938 BCE 1,150,000 40,896,875 Companhia Paranaense 1,500,000 19,125,000 de Energia ADR Elan ADR 737,200(b,d)45,752,474 Ericsson (LM) 750,000 33,984,375 Kimberly-Clark de Mexico 2,000,000 9,076,518 Northern Telecom 670,000 35,719,375 Petroleo Brasileiro- 530,000(b) 12,005,402 Petrobras ADR Royal Dutch Petroleum 700,000 38,018,750 SmithKline Beecham ADR 475,000 29,390,625 Telecomunicacoes Brasileiras-Telebras ADR 130,000 15,916,875 Total 279,898,207 Furniture & appliances - 0.5% Leggett & Platt 500,000 25,093,750 Health care - 3.9% Amgen125,000(b) 6,640,625 Boston Scientific 336,000(b) 20,076,000 Bristol-Myers Squibb 175,000 17,532,813 Merck & Co 895,000 114,168,437 Pfizer 400,000 35,400,000 Total 193,817,875 Health care services - 3.0% AmeriSource Health Cl A 485,400(b) 28,395,900 Cardinal Health 175,000 14,328,125 HEALTHSOUTH Rehabilitation 1,350,000(b) 36,450,000 Service Corp Intl 850,000 32,193,750 United Healthcare 575,000 34,895,313 Total 146,263,088 Household products - 2.1% Gillette 355,000 38,295,625 Kimberly-Clark 345,000 19,212,188 Procter & Gamble 540,030 45,868,798 Total 103,376,611 Industrial equipment & services - 1.3% Deere & Co 400,000 22,450,000 Illinois Tool Works 660,000 39,558,750 Total 62,008,750 Insurance - 0.8% Travelers Property Casualty Cl A 903,300 37,035,300 UNUM 1,000 51,438 Total 37,086,738 Leisure time & entertainment - 1.4% Disney (Walt) 290,000 32,461,875 Mattel 900,000 38,081,250 Total 70,543,125 Media - 1.0% Time Warner 550,000 37,125,000 Univision Communications Cl A 325,000(b) 12,471,875 Total 49,596,875 Metals - 1.0% Martin Marietta Materials 1,294,622 49,276,550 Miscellaneous - 0.2% Century Business Services 750,000(b,d,j)11,531,250 Multi-industry conglomerates - 2.4% Emerson Electric 475,000 30,310,938 General Electric 1,150,000 89,412,500 Total 119,723,438 Restaurants & lodging - 0.6% Extended Stay America 2,200,000(b) 30,800,000 Retail - 5.3% Cendant 950,000(b) 35,625,000 Dollar General 294,218 13,570,805 Home Depot 697,500 44,509,218 Nordstrom 500,000 28,671,875 OfficeMax 1,287,300(b) 21,481,819 Republic Inds 1,774,915(b) 41,932,367 Rite Aid 1,060,000 34,317,500 U.S. Office Products 1,000(b) 18,500 Wal-Mart Stores 830,000 38,439,375 Total 258,566,459 Utilities -- telephone - 2.9% AirTouch Communications 1,121,500(b) 50,397,406 MCI Communications 550,000 26,296,875 US WEST Communications Group 398,400 20,741,700 WorldCom 1,225,000(b,e)46,779,688 Total 144,215,669 Total common stocks (Cost: $2,001,141,883) $3,067,429,159 Preferred stocks & other - 2.6% Issuer Shares Value(a) Allegiance Telecommunications 2,450 1,310,750 Warrants California Federal Bank 20,000 2,267,500 11.50% Globalstar Telecommunications 170,000 19,252,500 6.50% Cv IKON Office Solutions 349,250 26,499,344 $5.04 Cv Series BB ACES KMC Telecommunications Holdings 2,800 1,561,000 Warrants Loral Space & Communications 400,000(b,d)27,900,000 6.00% Cv Mexico Value 1,000(k) -- Rights Pinto Totta Intl Finance 50,000(b,d) 4,846,280 Primus Telecommunications 2,300 64,400 Warrants Sinclair Capital 30,000 3,285,000 11.625% Time Warner 7,136(i) 8,108,280 10.25% Pay-in-kind Series M Unifi Communications 2,000(d) 30,000 Warrants UNUM 632,602(b) 31,709,175 Total preferred stocks & other (Cost: $110,510,766) $126,834,229
Bonds - 34.4% Issuer Maturity Coupon Principal Value(a) date rate amount U.S. government obligations - 12.3% Govt Trust Certs Israel 11-15-01 9.25% $ 2,237,409 $ 2,320,887 Resolution Funding 07-15-20 6.55 5,000,000 1,264,800 U.S. Treasury 04-30-98 5.88 25,000,000 25,019,000 05-31-98 5.38 33,000,000 32,994,390 02-28-99 5.88 103,000,000 103,365,650 01-31-00 5.38 25,000,000 24,922,750 02-15-00 8.50 40,000,000 42,138,400 03-31-01 6.38 126,000,000 128,720,340 08-15-03 5.75 63,300,000 63,679,167 02-15-04 5.88 12,500,000(e) 12,677,750 11-15-04 7.88 5,000,000 5,604,100 05-15-05 6.46 18,000,000 11,990,880 05-15-05 6.50 9,000,000(e) 9,424,890 10-15-06 6.50 22,000,000 23,137,840 08-15-22 7.25 1,000,000 1,156,360 02-15-23 7.13 21,500,000 24,577,510 08-15-23 6.25 2,000,000 2,064,740 11-15-24 7.50 35,000,000 41,940,500 08-15-27 6.38 8,000,000(f) 8,481,040 U.S. Treasury (U.S. Dollar) 11-15-16 7.50 22,000,000 25,703,920 TIPS 07-15-02 3.63 10,000,000(l) 10,020,464 Total 601,205,378 Mortgage-backed securities - 4.3% Federal Home Loan Mtge Corp 08-01-24 8.00 4,268,015 4,446,802 11-01-25 6.50 8,162,009 8,142,012 10-01-26 8.50 7,599,912 7,944,644 Federal Home Loan Mtge Corp Trust Series Z 05-15-23 6.50 6,089,658(g) 5,857,521 Federal Natl Mtge Assn 07-01-04 7.40 10,000,000 10,842,000 01-01-09 5.50 15,266,039 14,907,287 01-01-09 5.50 7,890,872 7,705,437 06-01-10 6.50 8,335,682 8,394,031 08-01-11 8.50 8,842,106 9,289,737 04-01-22 8.00 4,538,373 4,732,706 04-01-23 8.50 4,867,560 5,141,604 05-01-23 6.50 2,250,958 2,249,674 05-01-24 6.00 5,832,191 5,699,684 06-01-24 9.00 2,888,718 3,104,621 01-01-25 8.50 1,603,524 1,681,776 02-01-25 8.50 3,281,558 3,441,698 05-01-25 8.50 4,230,397 4,436,840 09-01-25 6.50 5,214,114 5,193,205 11-01-25 7.50 8,054,896 8,298,073 02-01-26 7.00 8,716,020 8,834,819 07-01-26 7.50 7,998,355 8,222,309 02-01-27 7.50 9,115,506 9,370,740 Federal Natl Mtge Assn Collateralized Mtge Obligation Trust Series Z 02-25-24 6.00 7,582,861(g) 6,758,073 Govt Natl Mtge Assn 12-01-08 7.00 15,592,980 15,953,489 05-15-24 7.00 21,204,829 21,527,354 Merrill Lynch Mtge Investors 06-15-21 8.17 1,444,613 1,445,065 Standard Credit Card Trust 10-07-04 5.95 3,000,000 2,970,900 Total 212,347,688 Aerospace & defense - 0.2% BE Aerospace Sr Sub Nts Series B 02-01-06 9.88 2,500,000 2,653,125 L-3 Communications Sr Sub Nts Series B 05-01-07 10.38 690,000 760,725 Newport News Shipbuilding Sr Nts 12-01-06 8.63 1,000,000 1,067,500 Northrop-Grumman 03-01-06 7.00 3,750,000 3,896,138 Total 8,377,488 Airlines - 0.3% Continental Airlines Series 1996A 04-15-15 6.94 4,901,592 5,019,769 Continental Airlines Series 974B 01-02-17 6.90 5,000,000 5,062,100 Northwest Airlines Company Guaranty 1st Series 1991 01-02-15 8.07 1,967,172 2,140,047 01-02-15 8.97 977,052 1,068,563 Total 13,290,479 Automotive & related - 0.2% Arvin Capital Company Guaranty 02-01-27 9.50 3,000,000 3,345,330 GMAC 07-16-98 5.95 7,000,000 7,004,340 Walbro Sr Nts 12-15-07 10.13 1,500,000 1,530,000 Total 11,879,670 Banks and savings & loans - 1.4% BankAmerica Series B 12-31-26 7.70 3,700,000(d) 3,804,007 CAF 02-01-03 7.10 5,200,000 5,363,592 Crestar Capital Company Guaranty 12-15-26 8.16 7,000,000 7,584,500 Cullen/Frost Capital Series A 02-01-27 8.42 3,200,000 3,380,240 First Nationwide Holdings Sr Sub Nts 10-01-03 10.63 2,970,000 3,326,400 Firstar Capital (U.S. Dollar) Company Guaranty Series B 12-15-26 8.32 3,000,000 3,242,970 Fleet Financial Group Sub Deb 01-15-28 6.88 2,200,000 2,203,916 Greenpoint Capital Company Guaranty 06-01-27 9.10 2,000,000 2,212,540 Mellon Capital Company Guaranty Series A 12-01-26 7.72 1,800,000 1,876,698 Norwest Sr Nts 09-15-02 6.38 5,800,000 5,859,856 Riggs Natl Sub Nts 02-01-06 8.50 4,900,000 5,194,000 Socgen Real Estate LLC 12-29-49 7.64 10,000,000(d) 9,934,599 Union Planters Capital Company Guaranty 12-15-26 8.20 5,000,000 5,335,400 US Capital 02-01-27 8.41 3,000,000(d) 3,276,240 Washington Mutual Capital Company Guaranty 06-01-27 8.38 2,900,000(d) 3,165,408 Wilshire Financial Services Nts 08-15-04 13.00 1,500,000(d) 1,597,500 Total 67,357,866 Building materials & construction - 0.1% AAF-McQuay Sr Nts 02-15-03 8.88 2,285,000 2,262,150 Owens-Corning Fiberglass 06-01-12 9.38 1,500,000 1,770,990 Southdown Sr Sub Nts Series B 03-01-06 10.00 1,400,000 1,550,500 Total 5,583,640 Chemicals - 0.1% USA Waste Services Sr Nts 10-01-07 7.13 4,500,000 4,688,055 Communications equipment & services - 0.2% Facilicom Intl Sr Nts 01-15-08 10.50 1,000,000 1,022,500 Iridium LLC/Capital Sr Nts 07-15-05 11.25 1,600,000(d) 1,640,000 Jordan Telecommunications Products Sr Nts Series B 08-01-07 9.88 1,600,000 1,696,000 Jordan Telecommunications Products Zero Coupon Sr Disc Nts Series B 08-01-07 11.75 2,000,000(f) 1,695,000 RCN Zero Coupon Sr Disc Nts 02-15-08 9.88 2,400,000(d,f) 1,473,000 Unifi Communications Sr Nts 03-01-04 14.00 2,000,000 1,300,000 Total 8,826,500 Computers & office equipment - 0.3% Cooperative Computing Sr Sub Nts 02-01-08 9.00 2,000,000(d) 1,975,000 Learning Cv Sr Nts 11-01-00 5.50 15,000,000 13,462,500 Total 15,437,500 Electronics - 0.1% Prestolite Electric 02-01-08 9.63 6,000,000(d) 6,165,000 Energy - 0.1% Forcenergy Sr Sub Nts 11-01-06 9.50 1,000,000 1,062,500 Parker & Parsley Petroleum Sr Nts 08-15-07 8.25 4,200,000 4,712,568 Total 5,775,068 Energy equipment & services - 0.3% DI Inds Sr Nts 07-01-07 8.88 1,500,000 1,578,750 Foster Wheeler 11-15-05 6.75 6,100,000 6,219,987 Global Marine 09-01-07 7.13 4,500,000(d) 4,661,415 Total 12,460,152 Financial services - 0.8% Arcadia Financial Sr Nts 03-15-07 11.50 1,575,000 1,567,125 Associates Corp of North America Sr Nts 10-15-02 6.38 10,000,000 10,100,299 Avco Financial Services Sr Nts 07-15-99 7.25 4,750,000 4,841,058 Bat-Crave-800 08-12-00 6.68 5,000,000(d) 5,047,650 08-12-00 6.86 3,000,000 3,028,500 KFW Intl Finance 02-15-10 8.00 4,000,000 4,574,480 Merrill Lynch Mtge Investors Cl D Series 1996-C2 12-21-28 6.96 7,500,000 7,467,188 Salomon Sr Nts 01-15-06 6.75 4,000,000 4,089,960 Total 40,716,260 Food - 0.1% Ameriserve Food Company Guaranty 07-15-07 10.13 1,750,000 1,890,000 Ameriserve Food Distributions Company Guaranty 10-15-06 8.88 1,000,000 1,035,000 Total 2,925,000 Foreign - 4.7%(e) Airplanes GPA Cl D (U.S. Dollar) Series 1 03-15-19 10.88 1,750,000 1,957,043 APP Finance VI Mauritius (U.S. Dollar) Zero Coupon Cv 11-18-12 11.03 150,000,000(f) 34,500,000 APP Intl Finance (U.S. Dollar) 10-01-05 11.75 3,000,000 2,662,500 Argentina Govt Natl (U.S. Dollar) 09-19-27 9.75 4,000,000(g) 3,975,000 Banco General (U.S. Dollar) 08-01-02 7.70 3,750,000(d) 3,723,338 Celcaribe (U.S. Dollar) Zero Coupon Cv 03-15-04 13.50 1,450,000(d,h) 2,682,500 City of Moscow (Russian Ruble) Zero Coupon 07-01-98 22.92 1,672,973(f) 1,556,534 12-31-98 21.80 3,691,890(f) 3,115,955 (U.S. Dollar) 05-31-00 9.50 5,000,000(d) 4,818,750 Comp Paranaense De Energ (U.S. Dollar) 05-02-05 9.75 2,000,000(d) 1,977,500 Dao Heng Bank (U.S. Dollar) Sub Nts 01-24-07 7.75 8,500,000(d) 7,019,300 Daya Guna (U.S. Dollar) Company Guaranty 06-01-07 10.00 1,200,000(d) 996,000 Delphes 2 (U.S. Dollar) 05-05-09 7.75 9,000,000 8,988,750 Espirito Santo Centrais (U.S. Dollar) Sr Nts 07-15-07 10.00 2,400,000(d) 2,238,000 Govt of Algeria (U.S. Dollar) 09-04-06 7.06 2,000,000 1,660,000 (U.S. Dollar) Zero Coupon 12-31-20 1.28 1,300,000(f) 781,625 Govt of Poland (U.S. Dollar) 10-27-24 6.69 3,000,000 2,932,500 Govt of Russia (U.S. Dollar) 07-28-00 10.38 3,000,000 2,580,000 Greater Beijing (U.S. Dollar) Sr Nts 06-15-04 9.25 6,120,000(d) 4,933,148 06-15-07 9.50 2,500,000(d) 1,997,050 Grupo Iusacell (U.S. Dollar) 07-15-04 10.00 1,250,000 1,303,125 Grupo Televisa (U.S. Dollar) Sr Nts 05-15-06 11.88 1,250,000 1,443,750 Guangdong Enterprises (U.S. Dollar) Sr Nts 05-22-07 8.88 4,000,000(d) 3,265,760 Honam Oil Refinery (U.S. Dollar) 10-15-05 7.13 5,750,000(d) 4,743,750 Hutchison Whampo Finance (U.S. Dollar) Company Guaranty 08-01-17 7.45 1,275,000(d) 1,147,092 08-01-27 7.50 1,250,000(d) 1,094,350 Hyundai Semiconductor (U.S. Dollar) Sr Nts 05-15-07 8.63 4,000,000(d) 3,145,160 Imexsa Export Trust (U.S. Dollar) 05-31-03 10.13 3,000,000(d) 3,135,000 Israel Electric (U.S. Dollar) Sr Nts 12-15-06 7.25 2,700,000 2,756,808 Jasmine Submarine Telecom (U.S. Dollar) Sr Nts 05-30-11 8.48 2,841,130(d) 2,290,462 Korea Electric Power (U.S. Dollar) 12-01-03 6.38 4,000,000 3,443,000 MDC Communications (U.S. Dollar) Sr Sub Nts 12-01-06 10.50 1,350,000 1,458,000 Mexican Cetes (Mexican Peso) Zero Coupon 06-04-98 20.44 17,030,000(f) 2,013,798 Microcell Telecommunications (U.S. Dollar) Zero Coupon Sr Disc Nts10-15-07 18.05 3,040,000(d,f) 1,281,670 Ministry Finance Russia (U.S. Dollar) 11-27-01 9.25 2,050,000(d) 1,978,250 06-26-07 10.00 5,000,000(d) 4,618,750 Morgan (JP) (U.S. Dollar) Sr Sub Nts Series A 02-15-12 4.00 5,000,000(e) 4,646,000 Nationwide CSN Trust (U.S. Dollar) 02-15-25 9.88 9,000,000(d) 10,807,740 Netia Holdings (U.S. Dollar) Company Guaranty 11-01-07 10.25 1,600,000(d) 1,622,000 People's Republic of China (U.S. Dollar) 07-03-01 7.38 2,000,000 2,037,500 01-15-96 9.00 2,500,000 2,770,375 Petrozuata Finance (U.S. Dollar) 04-01-17 8.22 7,000,000(d) 7,315,210 Philippine Long Distance Telephone (U.S. Dollar) 03-06-07 7.85 1,500,000(d) 1,352,475 (U.S. Dollar) Medium-term Nts Series E 03-06-17 8.35 1,500,000(d) 1,331,010 Plitt Theatres (U.S. Dollar) Sr Sub Nts 06-15-04 10.88 3,000,000 3,285,000 Quno Corp (U.S. Dollar) Sr Nts 05-15-05 9.13 2,500,000 2,618,750 Ras Laffan (U.S. Dollar) 03-15-14 8.29 6,000,000 6,138,360 Repap New Brunswick (U.S. Dollar) Sr Nts 04-15-05 10.63 3,000,000 2,955,000 Republic of Argentina (Argentine Peso) 07-10-02 8.75 1,000,000(d) 915,000 02-12-07 11.75 1,000,000 1,057,500 Republic of Brazil (U.S. Dollar) 04-15-14 8.00 7,411,690 5,989,572 Republic of Panama (U.S. Dollar) 02-13-02 7.88 1,000,000(d) 1,003,490 09-30-27 8.88 2,000,000 1,981,180 Rogers Cablesystems (Canadian Dollar) 01-15-14 6.78 5,000,000 3,725,455 Rogers Cantel (U.S. Dollar) 06-01-08 9.38 2,800,000 2,989,000 Russia Federal Loan Bond 09-27-00 2.31 30,008,878 3,608,408 Tatneft Finance (U.S. Dollar) Company Guaranty 10-29-02 9.00 2,600,000(d) 2,255,500 Texas Utilities Electric (U.S. Dollar) 08-01-07 7.17 5,000,000 5,221,850 TU Electric Capital (U.S. Dollar) Company Guaranty 01-30-37 8.18 5,000,000 5,267,250 United Mexican States (U.S. Dollar) 12-31-19 6.25 4,000,000 3,365,000 Venezuela DCB Trust (U.S. Dollar) 12-18-07 6.75 1,904,762 1,698,810 Veritas Holdings (U.S. Dollar) Sr Nts 12-15-03 9.63 2,386,000 2,561,968 Zhuhai Highway (U.S. Dollar) Sub Nts 07-01-08 11.50 5,000,000(d) 4,557,700 Zurich Capital (U.S. Dollar) Company Guaranty 06-01-37 8.38 3,750,000(d) 4,132,013 Total 231,423,334 Furniture & appliances - 0.1% Interface Sr Sub Nts Series B 11-15-05 9.50 1,500,000 1,610,625 Lifestyle Furnishings Company Guaranty 08-01-06 10.88 2,150,000 2,413,375 Total 4,024,000 Health care - 0.0% Alaris Medical Systems Company Guaranty 12-01-06 9.75 1,600,000 1,700,000 Health care services - 0.5% Extendicare Health Services 12-15-07 9.35 2,000,000(d) 2,085,000 La Petite Holdings Sr Nts 08-01-01 9.63 2,185,000 2,283,325 Magellan Health Services Sr Sub Nts 02-15-08 9.00 2,000,000(d) 2,030,000 Manor Care Sr Nts 06-15-06 7.50 6,000,000 6,394,440 Owens & Minor Company Guaranty 06-01-06 10.88 1,200,000 1,344,000 Paracelsus Healthcare Sr Sub Nts 08-15-06 10.00 1,000,000 1,047,500 Physician Sales & Service Company Guaranty 10-01-07 8.50 1,050,000 1,084,125 Tenet Healthcare Sr Nts 12-01-03 8.63 2,500,000 2,637,500 Sr Sub Nts 03-01-05 10.13 2,000,000 2,200,000 Vencor Sr Sub Nts 07-15-07 8.63 2,500,000 2,775,000 Total 23,880,890 Household products - 0.1% Revlon Consumer Products Sr Nts 02-01-06 8.13 2,750,000(d) 2,750,000 Industrial equipment & services - 0.2% AGCO Sr Sub Nts 03-15-06 8.50 2,200,000 2,290,750 Borg-Warner Security 03-15-07 9.63 1,300,000 1,350,375 Case 08-01-05 7.25 5,000,000 5,226,250 Total 8,867,375 Insurance - 0.9% American United Life Insurance 03-30-26 7.75 2,500,000(d,j) 2,581,525 Americo Life Sr Sub Nts 06-01-05 9.25 1,600,000 1,644,000 Arkwright CSN Trust 08-15-26 9.63 3,000,000(d) 3,626,040 Conseco Financing Trust Company Guaranty 11-15-26 8.70 3,800,000 4,241,066 Executive Risk Capital Company Guaranty Series B 02-01-27 8.68 3,000,000 3,332,940 Leucadia Natl Sr Sub Nts 10-15-06 7.88 5,000,000 5,239,350 Metropolitan Life Insurance 11-01-25 7.80 6,900,000(d) 7,315,035 Minnesota Mutual Life 09-15-25 8.25 2,700,000(d) 3,105,810 New England Mutual 02-15-24 7.88 2,000,000(d) 2,197,680 Principal Mutual 03-01-44 8.00 2,500,000(d) 2,698,975 SAFECO Capital Company Guaranty 07-15-37 8.07 5,000,000 5,280,200 SunAmerica 08-30-05 7.34 5,000,000 5,282,200 Total 46,544,821 Leisure time & entertainment - 0.4% AMC Entertainment Sr Sub Nts 03-15-09 9.50 2,000,000 2,100,000 Riviera Holdings Company Guaranty 08-15-04 10.00 2,250,000(e) 2,317,500 Time Warner 02-01-24 7.57 5,900,000 6,269,576 01-15-28 6.95 5,000,000 4,894,750 Trump Atlantic City Assn/Funding Company Guaranty 05-01-06 11.25 1,000,000 1,036,250 United Artists Theatres Series 1995A 07-01-15 9.30 1,929,378 1,987,260 Venetian Casino/LV Sands Mtge 11-15-04 12.25 2,410,000(d) 2,452,175 Total 21,057,511 Media - 1.5% Adelphia Communications Sr Nts 02-01-08 8.38 3,000,000 3,000,000 Antenna TV 08-01-07 9.00 3,000,000 3,063,750 Cablevision Systems Sr Sub Nts 11-01-05 9.25 2,000,000 2,145,000 Cox Communications 11-15-15 7.25 5,000,000 5,239,350 06-15-25 7.63 5,000,000 5,415,950 Lamar Advertising Company Guaranty 12-01-06 9.63 1,100,000 1,200,375 News America Holdings 03-01-00 7.50 4,000,000 4,110,280 Outdoor Systems Company Guaranty 10-15-06 9.38 2,500,000 2,687,500 TCI Communications 08-01-15 8.75 20,000,000 23,288,000 Tele-Communications 02-15-23 8.75 3,500,000 3,773,490 Time Warner Entertainment Sr Nts 07-15-33 8.38 10,000,000 11,583,500 Viacom Sub Deb 07-07-06 8.00 4,000,000 4,090,000 Viacom Intl 07-01-03 7.00 2,000,000 1,959,880 Total 71,557,075 Miscellaneous - 1.6% Adams Outdoor Advertising Sr Nts 03-15-06 10.75 2,000,000 2,225,000 American General Institute Capital Company Guaranty Series A 12-01-45 7.57 14,350,000(d) 14,880,663 Bayou Steel 1st Mtge 03-01-01 10.25 2,750,000 2,835,938 Bistro Trust 12-31-02 9.50 5,000,000(d) 5,009,500 12-31-02 9.50 7,000,000(d) 7,013,300 BTI Telecommunications Sr Nts 09-15-07 10.50 2,200,000 2,387,000 Coty Sr Sub Nts 05-01-05 10.25 1,500,000 1,601,250 DTI Holdings 03-01-08 12.50 4,760,000(d) 2,594,200 ESI Tractebel Acquisitions 12-30-11 7.99 1,250,000 1,254,688 First Empire Capital Company Guaranty 02-01-27 8.23 4,000,000 4,309,440 Grant Geophysical Sr Nts 02-15-08 9.75 1,925,000 1,915,375 Hyperion Telecommunications Sr Nts Series B 09-01-04 12.25 1,500,000 1,706,250 M & I Capital Trust A Company Guaranty 12-01-26 7.65 5,700,000 5,923,440 MSX Intl Sr Sub Nts 01-15-08 11.38 1,485,000 1,536,975 Nationwide Credit Sr Nts 01-15-08 10.25 1,000,000(d) 1,032,500 Norcal Waste Systems Company Guaranty Series B 11-15-05 13.50 2,000,000 2,327,500 Oshkosh Truck 03-01-08 8.75 3,000,000(d) 3,030,000 Outsourcing Solutions Sr Sub Nts Series B 11-01-06 11.00 1,125,000 1,240,313 Packaged Ice Sr Nt 02-01-05 9.75 3,400,000(d) 3,485,000 SC Intl 09-01-07 9.25 2,000,000 2,100,000 SFX Entertainment Sr Sub Nts 02-01-08 9.13 2,400,000 2,400,000 Stellex Inds Sr Sub Nts 11-01-07 9.50 2,000,000(d) 2,055,000 Vesta Capital 01-15-27 8.53 5,000,000(d) 5,639,850 Total 78,503,182 Multi-industry conglomerates - 0.4% American Banknote 12-01-07 11.25 2,000,000 2,030,000 Crane 06-15-99 7.25 2,000,000 2,032,840 Pierce Leahy Sr Sub Nts 07-15-06 11.13 812,000(d) 931,770 Prime Succession Sr Sub Nts 08-15-04 10.75 1,275,000 1,405,688 USI American Holdings Sr Nts Series B 12-01-06 7.25 3,350,000 3,394,823 Westinghouse Electric 06-01-01 8.88 9,750,000 10,377,412 Total 20,172,533 Paper & packaging - 0.3% Gaylord Container Sr Nts 06-15-07 9.38 3,250,000(d) 3,209,375 06-15-07 9.75 1,750,000 1,767,500 Graham Packaging/GPC Capital Sr Sub Nts 01-15-08 8.75 2,000,000 2,040,000 Owens-Illinois Sr Nts 05-15-07 8.10 4,350,000 4,642,407 Riverwood Intl Company Guaranty 04-01-06 10.25 2,000,000 2,070,000 Silgan Holdings 06-01-09 9.00 1,650,000 1,720,125 Tekni-Plex Sr Sub Nts 03-01-08 9.25 1,375,000 1,392,188 Total 16,841,595 Retail - 0.5% Maxim Group Company Guaranty Series B 10-15-07 9.25 2,500,000 2,531,250 Pep Boys-Manny, Moe & Jack 06-01-05 7.00 4,200,000 4,341,204 Pueblo Xtra Intl Sr Nts 08-01-03 9.50 1,000,000 942,500 U.S. Office Products 05-15-03 5.50 16,000,000 13,760,000 Wal-Mart CRAVE Trust 07-17-06 7.00 4,480,753(d) 4,607,065 Total 26,182,019 Textiles & apparel - 0.1% Galey & Lord Sr Sub Nts 03-01-08 9.13 3,000,000(d) 3,015,000 Loomis Fargo 01-15-04 10.00 500,000 502,500 Total 3,517,500 Transportation - 0.2% Atlas Air 01-02-10 8.01 10,000,000 10,002,800 Utilities -- electric - 1.6% AES Sr Sub Nts 11-01-07 8.50 2,500,000 2,581,250 Alabama Power 1st Mtge 12-01-24 9.00 2,200,000 2,438,128 Arizona Public Service 12-30-15 8.00 3,600,000 3,974,076 CalEnergy Sr Nts 09-15-06 9.50 1,325,000 1,437,625 Cleveland Electric Illuminating 07-01-04 7.67 6,500,000 6,695,000 1st Mtge Series B 05-15-05 9.50 7,000,000 7,832,369 CMS Energy Sr Nts 05-15-02 8.13 5,000,000 5,153,200 11-15-04 7.63 2,500,000 2,526,250 Connecticut Light & Power 1st Mtge Series C 06-01-02 7.75 5,000,000 5,087,200 El Paso Electric 1st Mtge Series D 02-01-06 8.90 2,750,000 3,062,813 First PV Funding Series 1986B 01-15-16 10.15 1,121,000 1,188,260 Jersey Central Power & Light 1st Mtge 11-01-25 6.75 7,200,000 6,971,760 Long Island Lighting Gen Ref Mtge 05-01-21 9.75 2,500,000 2,544,525 Niagara Mohawk Power 1st Mtge 05-15-06 7.75 5,500,000 5,826,920 Public Services Electric & Gas 1st & Ref Mtge 01-01-16 6.75 2,600,000 2,637,466 Salton Sea Funding Series C 05-30-10 7.84 1,325,000 1,408,753 Sithe Independence Funding Series A 12-30-13 9.00 1,500,000 1,764,300 Texas Utilities Electric 04-01-98 5.88 5,000,000 4,999,550 Virginia Electric & Power 02-01-07 6.75 5,000,000 5,123,850 Western Massachusetts Electric 1st Mtge Series B 07-01-01 7.38 2,750,000 2,769,223 Wisconsin Electric Power 12-01-95 6.88 2,800,000 2,847,152 Total 78,869,670 Utilities -- gas - 0.1% Columbia Gas System Series E 11-28-10 7.32 7,000,000 7,240,520 Utilities -- telephone - 0.4% 360 Communications 04-01-09 7.60 3,000,000 3,196,410 Geotek Communications Cv Sr Sub Nts 02-15-01 12.00 1,655,000(d,j) 1,158,500 Intermedia Communications Sr Nts 11-01-07 8.88 1,000,000(d) 1,057,500 Metrocall Sr Sub Nts 11-01-07 9.75 1,000,000(d) 1,010,000 Primus Telecommunications Group Sr Nts 08-01-04 11.75 2,300,000 2,564,500 U S WEST Communications 11-10-26 7.20 5,000,000 5,054,000 WorldCom 04-01-07 7.75 4,000,000 4,324,160 Sr Nts 01-15-04 9.38 2,614,000 2,803,513 Total 21,168,583 Total bonds (Cost: $1,650,542,381) $1,691,339,158 Short-term securities - 1.9% Issuer Maturity Annualized Amount Value(a) date yield on payable at date of maturity purchase U.S. government agencies - 0.3% Federal Home Loan Mtge Corp Disc Nts 03-18-98 5.42% $1,600,000 $1,595,680 03-20-98 5.44 10,000,000 9,969,833 03-20-98 5.46 2,400,000 2,392,733 Total 13,958,246 Certificate of deposit - 0.6% ABN Amro Yankee 04-21-98 6.22 30,000,000 29,992,563 Commercial paper - 1.0% Bell Atlantic 03-17-98 5.51 5,800,000 5,784,991 Ciesco LP 04-20-98 5.54 4,500,000 4,464,937 Commerzbank U.S. Finance 03-13-98 5.50 4,200,000 4,191,689 Michigan Consolidated Gas 03-17-98 5.51 5,200,000 5,186,519 NBD Bank Canada 03-10-98 5.52 9,600,000 9,585,333 Paccar Financial 03-03-98 5.50 9,000,000 8,995,890 Xerox Credit 03-10-98 5.49 10,000,000 9,984,806 Total 48,194,165 Total short-term securities (Cost: $92,151,188) $92,144,974 Total investments in securities (Cost: $3,854,346,218)(m) $4,977,747,514 See accompanying notes to investments in securities.
Notes to investments in securities (a) Securities are valued by procedures described in Note 1 to the financial statements. (b) Non-income producing. (c) Foreign security values are stated in U.S. dollars. For debt securities, principal amounts are denominated in the currency indicated. (d) Represents a security sold under Rule 144A, which is exempt from registration under the Securities Act of 1933, as amended. This security has been determined to be liquid under guidelines established by the board. (e) Security is partially or fully on loan. See Note 5 to the financial statements. (f) For those zero coupon bonds that become coupon paying at a future date, the interest rate disclosed represents the annualized effective yield from the date of acquisition to interest reset date disclosed. (g) This security is a collateralized mortgage obligation that pays no interest or principal during its initial accrual period until payment of a previous series within the trust have been paid off. Interest is accrued at an effective yield. (h) Interest rate varies either based on a predetermined schedule or to reflect current market conditions; rate shown is the effective rate on Feb. 28, 1998. (i) Pay-in-kind securities are securities in which the issuer has the option to make interest payments in cash or in additional securities. The securities issued as interest usually have the same terms, including maturity date, as the pay-in-kind securities. (j) Identifies issues considered to be illiquid as to their marketability (see Note 1 to the financial statements). Information concerning such security holdings at Feb. 28, 1998, is as follows: Security Acquisition Purchase date cost American United Life Insurance* 7.75% 2026 02-13-96 $2,500,000 Geotek Telecommunications 12% Cv Sr Sub Nts 2001 03-04-96 2,000,000 Century Business Services 02-04-98 9,937,500 *Represents a security sold under Rule 144A, which is exempt from registration under the Securities Act of 1933, as amended. (k) Negligible market value. (l) U.S. Treasury inflation-protection securities (TIPS) are securities in which the principal amount is adjusted for inflation and the semi-annual interest payments equal a fixed percentage of the inflation-adjusted principal amount. (m) At Feb. 28, 1998, the cost of securities for federal income tax purposes was approximately $3,851,760,000 and the approximate aggregate gross unrealized appreciation and depreciation based on that cost was: Unrealized appreciation......................................$1,169,366,000 Unrealized depreciation.........................................(43,378,000) Net unrealized appreciation..................................$1,125,988,000 Investments in securities Retirement Annuity Mutual Funds Moneyshare Fund Feb. 28, 1998 (Unaudited) (Percentages represent value of investments compared to net assets) Issuer Annualized Amount Value(a) yield on payable at date of maturity purchase Certificates of deposit - 1.0% ABN Amro Yankee 05-15-98 6.08% $1,000,000 $999,960 Bank of New York 03-03-98 5.83 3,000,000 2,999,993 Total certificates of deposit (Cost: $3,999,953) $3,999,953 Commercial paper - 79.9% Automotive & related - 8.3% Daimler-Benz 05-07-98 5.52 5,800,000 5,740,183 05-08-98 5.53 5,000,000 4,947,579 Ford Motor Credit 03-06-98 5.57 7,000,000 6,993,560 04-09-98 5.55 9,300,000 9,243,373 Toyota Motor Credit 03-25-98 5.51 5,000,000 4,980,938 Total 31,905,633 Banks and savings & loans - 11.7% Bank of America 10-22-98 6.00 2,000,000 1,999,382 02-26-99 5.67 1,000,000 999,619 BBV Finance (Delaware) 04-07-98 5.56 10,900,000 10,836,835 04-08-98 5.49 6,200,000 6,163,596 First Bank Minneapolis 03-06-98 5.30 2,000,000(c) 1,999,987 Harris Trust 03-05-98 5.50 12,300,000 12,299,999 Morgan Guaranty 06-22-98 6.01 2,000,000 1,999,791 Societe Generale North America 03-16-98 5.48 8,600,000 8,579,245 Total 44,878,454 Commercial finance - 7.9% CAFCO 03-19-98 5.50 5,000,000(b) 4,985,592 03-23-98 5.52 6,900,000(b) 6,875,930 Ciesco LP 03-12-98 5.50 10,000,000(b) 9,981,800 New Center Asset Trust 04-13-98 5.50 8,500,000 8,443,588 Total 30,286,910 Financial services - 23.8% Associates Corp North America 03-03-98 5.50 6,000,000 5,997,265 03-12-98 5.54 4,700,000 4,691,368 Avco Financial Services 05-14-98 5.53% $2,200,000 $2,175,021 Beneficial 03-02-98 5.49 6,800,000 6,797,937 03-05-98 5.50 6,000,000 5,995,442 CIT Group Holdings 03-27-98 5.63 6,200,000 6,174,146 Commercial Credit 03-13-98 5.51 15,000,000 14,970,425 Goldman Sachs Group 04-06-98 5.53 3,000,000 2,983,165 04-09-98 5.64 15,900,000 15,801,773 Household Finance 03-11-98 5.51 10,400,000 10,382,586 Intl Lease Finance 04-02-98 5.52 2,700,000 2,686,437 Merrill Lynch 05-26-98 5.59 2,000,000(c) 2,000,000 11-27-98 5.58 2,000,000(c) 2,000,000 01-19-99 5.57 1,000,000(c) 1,000,000 01-25-99 5.58 2,000,000(c) 2,000,000 Morgan Stanley, Dean Witter, Discover & Co 05-06-98 5.53 4,900,000 4,850,117 Natl Rural Utilities Cooperative 05-12-98 5.56 1,700,000 1,681,040 Total 92,186,722 Health care - 0.9% Glaxo Wellcome PLC 03-04-98 5.50 3,300,000(b) 3,297,983 Household products - 2.2% Clorox 04-17-98 5.49 8,500,000 8,438,573 Industrial equipment & services - 1.2% ABB Treasury Center USA 03-25-98 5.51 4,700,000(b) 4,682,081 Insurance - 4.8% American General 03-03-98 5.50 5,000,000 4,997,721 03-13-98 5.50 5,000,000 4,990,142 American General Finance 03-11-98 5.53 8,500,000 8,485,715 Total 18,473,578 Metals - 5.0% BHP Finance 03-04-98 5.50 13,300,000 13,291,916 05-12-98 5.54 6,000,000 5,933,327 Total 19,225,243 Miscellaneous - 3.1% Delaware Funding 04-07-98 5.53% $3,900,000(b)$3,877,441 Natl Australia Funding (Delaware) 04-15-98 5.50 8,000,000 7,944,493 Total 11,821,934 Multi-industry conglomerates - 5.4% BOC Group 03-02-98 5.83 10,000,000 9,996,800 General Electric 03-20-98 5.53 2,700,000 2,691,750 General Electric Capital 03-05-98 5.50 5,000,000 4,996,201 05-12-98 5.53 3,000,000 2,966,785 Total 20,651,536 Utilities -- telephone - 5.6% Bell Atlantic Finance 03-09-98 5.54 10,000,000 9,986,225 SBC Communications Capital 04-21-98 5.53 11,500,000(b)11,408,806 Total 21,395,031 Total commercial paper (Cost: $307,243,678) $307,243,678 Letters of credit - 19.6% ABN Amro- US Prime Property 03-31-98 5.50 4,000,000 3,981,056 Bank of New York- River Fuel Trust 2 04-14-98 5.53 5,000,000(b) 4,965,812 Canadian Imperial Bank- Commed Fuel 04-24-98 5.49 3,600,000 3,569,805 Credit Agricole- Louis Dreyfus II 04-06-98 5.53 10,000,000 9,943,164 Dresdner Bank- Contifinancial 03-03-98 5.52 10,000,000 9,995,417 03-13-98 5.52 8,000,000 7,984,053 First Bank - Midwest Commercial Paper 04-03-98 5.57 4,500,000 4,476,455 First Chicago- Commed Fuel 04-16-98 5.54 3,100,000 3,077,821 Societe Generale- Nafinsa 04-17-98 5.65 5,000,000 4,962,333 Union Bank of Switzerland- River Fuel Trust 3 04-14-98 5.50 12,900,000(b)12,812,442 Westpac Banking- US Prime 03-09-98 5.48 10,000,000 9,986,300 Total 75,754,658 Total letters of credit (Cost: $75,754,658) $75,754,658 Total investments in securities (Cost $386,998,289)(d) $386,998,289 See accompanying notes to investments in securities. Notes to investments in securities (a) Securities are valued by procedures described in Note 1 to the financial statements. (b) Commercial paper sold within terms of a private placement memorandum, exempt from registration under Section 4(2) of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other "accredited investors." This security has been determined to be liquid under guidelines established by the board. (c) Interest rate varies to reflect current market conditions; rate shown is the effective rate on Feb. 28, 1998. (d) Also represents the cost of securities for federal income tax purposes at Feb. 28, 1998. Investments in securities Retirement Annuity Mutual Funds International Equity Fund Feb. 28, 1998 (Unaudited) (Percentages represent value of investments compared to net assets) Common stocks - 93.4% Issuer Shares Value(a) Argentina - 0.5% Utilities -- telephone - 0.5% Telefonica de Argentina ADR 309,000(c) $11,124,000 Australia - 2.4% Banks and savings & loans - 1.5% Westpac Banking 4,592,000 31,757,280 Metals - 0.3% MIM Holdings 11,469,709 6,389,396 Multi-industry conglomerates - 0.4% Pacific Dunlop 4,363,000(b) 7,706,411 Paper & packaging - 0.2% Amcor 925,000 4,028,036 Brazil - 0.8% Energy - 0.4% Petroleo Brasileiro ADR 425,000(c) 9,626,974 Utilities -- electric - 0.4% Centrais Eletricas Brasileiras 366,000(c)8,225,774 Canada - 6.7% Airlines - 0.2% Air Canada 406,300(b) 3,723,858 Banks and savings & loans - 1.7% Toronto-Dominion Bank 861,500 36,423,992 Communications equipment & services - 1.9% Newbridge Networks 214,600(b) 5,026,449 Northern Telecom 676,000(c) 36,039,250 Total 41,065,699 Energy - 1.9% Canadian Occidental 441,000 8,796,151 Petroleum Petro-Canada 1,743,000 32,317,449 Total 41,113,600 Multi-industry conglomerates - 1.0% Bombardier Cl B 988,800 21,250,301 Chile - 0.2% Utilities -- telephone - 0.2% Cia de Telecomunicaciones de Chile ADR 150,000(c) 4,106,250 France - 12.4% Automotive & related - 1.4% Michelin Cl B 481,996 29,867,273 Banks and savings & loans - 3.3% Banque Natl de Paris 1,158,031 70,045,268 Energy - 1.7% TOTAL Cl B 338,807 37,199,716 Household products - 4.1% Rhone-Poulenc Cl A 1,902,794(b) 87,758,710 Leisure time & entertainment - 1.9% Accor178,153 41,170,795 Germany - 8.1% Banks and savings & loans - 2.9% Bayerische Vereinsbank 980,990(c) 61,141,400 Chemicals - 1.9% Henkel KGaA 643,000 41,598,072 Industrial equipment - 0.5% Mannesmann 16,900 10,142,326 Metals - 1.0% SGL Carbon 185,000 21,899,518 Textiles & apparel - 1.8% Adidas 250,139 39,113,270 Hong Kong - 2.1% Communications equipment & services - 0.5% China Telecom 6,300,000(b) 11,432,352 Financial services - 1.1% Cheung Kong Holdings 1,700,000 11,911,526 Sun Hung Kai Properties 1,650,000 12,360,348 Total 24,271,874 Utilities -- telephone - 0.5% Hong Kong Telecommunications 5,100,000 $10,736,841 Italy - 11.4% Banks and savings & loans - 7.2% Banca Intesa 10,662,896(c) 48,888,003 Credito Italiano 12,552,100(c) 48,244,888 Instituto Bancario San Paolo di Torino 4,893,774(c) 57,496,505 Total 154,629,396 Utilities -- telephone - 4.2% Telecom Italia 16,680,400(c) 90,643,094 Japan - 8.1% Banks and savings & loans - 1.0% Sakura Bank 5,370,000(c) 22,471,646 Computers & office equipment - 1.0% Fujitsu 1,840,000 20,707,746 Electronics - 3.5% Fujikura 2,290,000(c) 16,134,811 NEC 1,930,000 21,567,663 Rohm 226,000 22,389,538 Tokyo Electron 435,000 15,652,070 Total 75,744,082 Financial services - 1.2% Sumitomo Realty & Development 3,733,000 24,704,218 Media - 1.4% Sony 330,000 29,815,732 Malaysia - 0.1% Energy - 0.1% Petronas Gas Berhad 598,000 1,658,224 Mexico - 1.6% Beverages & tobacco - 1.2% Coca-Cola Femsa ADR 494,400 9,455,400 Fomento Economico Mexicano Cl B 1,225,000 9,121,959 Panamerican Beverages Cl A 180,000 6,558,750 Total 25,136,109 Financial services - 0.4% Grupo Financiero Bancomer Cl B 13,435,800(b) $7,783,386 Netherlands - 10.7% Chemicals - 0.5% Akzo Nobel 50,886 10,326,137 Computers & office equipment - 0.9% Baan 430,302(b,c)19,448,797 Household products - 1.7% Unilever 3,999,892 36,563,317 Industrial equipment - 2.1% Philips Electronics 590,833 45,902,835 Insurance - 3.5% ING Groep 1,417,657 75,020,033 Retail - 2.0% Vendex Intl 687,620 43,309,090 Russia - 0.9% Energy - 0.4% Lukoil Holding ADR 125,000(c) 9,054,012 Utilities -- electric - 0.5% Mosenergo ADR 275,000(b) 10,587,500 Singapore - 1.1% Banks and savings & loans - 0.8% Oversea-Chinese Banking 1,236,000 7,360,321 United Overseas Bank 1,685,000(b) 9,150,261 Total 16,510,582 Building materials & construction - 0.3% Singapore Technologies Engineering 5,746,000(b) 5,673,307 Financial services - 0.0% City Developments 179,000 811,879 South Korea - 0.6% Electronics - 0.6% Samsung Electronics 204,000(b) 11,805,266 Spain - 2.1% Banks and savings & loans - 2.1% Argentaria 602,753(b) 44,924,228 Sweden - 2.0% Banks and savings & loans - 0.9% Nordbanken Holding 3,183,828(c) 20,077,586 Communications equipment & services - 1.1% Ericsson (LM) Cl B 501,515 22,795,851 Switzerland - 7.9% Banks and savings & loans - 4.1% Credit Suisse Group 188,892 34,098,351 Schweizer Bankgesellschaft 34,473(b) 53,682,069 Total 87,780,420 Health care - 3.8% Novartis 44,345 80,866,190 Taiwan - 0.5% Chemicals - 0.2% Nan Ya Plastics 1,971,360 3,875,059 Electronics - 0.3% Compal Electronics 1,340,000(b) 5,686,114 United Kingdom - 13.2% Airlines - 1.0% British Airways ADR 2,170,943 20,532,753 Banks and savings & loans - 1.3% Barclays 963,466 28,804,544 Chemicals - 1.3% Imperial Chemical Inds 1,556,692 28,164,960 Energy - 1.2% Shell Transport & Trading 3,716,828 26,571,804 Financial services - 1.8% General Electric 5,885,592(b) 38,733,558 Health care - 1.5% SmithKline Beecham 2,629,277 32,983,751 Retail - 2.5% Great Universal Stores 4,172,385 53,269,048 Utilities -- gas - 1.6% BG 6,969,518(b) 34,880,688 Utilities -- telephone - 1.0% Vodafone Group 2,313,600(b) 20,625,073 Total common stocks (Cost: $1,653,548,796) $2,001,797,001 Other - 1.0% Issuer Shares Value(a) Rhone-Poulenc Warrants 404,814 $1,706,688 Banca Intesa Warrants 10,662,896 9,336,144 Banque Natl de Paris Warrants 347,900 9,366,540 Total other (Cost: $4,281,689) $20,409,372 Short-term securities - 17.1% Issuer Annualized Amount Value(a) yield on payable at date of maturity purchase U.S. government agencies - 1.0% Federal Natl Mtge Assn Disc Nt 03-18-98 5.43% $2,100,000 $2,094,319 Federal Home Loan Mtge Corp Disc Nts 03-12-98 5.43 10,500,000 10,481,065 03-27-98 5.44 9,500,000 9,461,383 Total 22,036,767 Commercial paper - 14.5% Associates Corp North America 03-26-98 5.50 16,300,000 16,235,489 Bell Atlantic 03-02-98 5.53 7,000,000 6,997,853 03-11-98 5.53 10,000,000 9,983,133 BellSouth Telecommunications 04-08-98 5.58 15,000,000 14,909,813 BOC Group 03-13-98 5.52 4,400,000 4,391,261 Commerzbank U.S. Finance 03-13-98 5.50 15,400,000 15,369,525 Daimler-Benz 04-23-98 5.52 5,000,000 4,958,900 Delaware Funding 03-25-98 5.52 11,600,000(d)11,555,775 Deutsche Bank Financial 03-19-98 5.52 10,000,000 9,970,972 03-23-98 5.52 13,300,000 13,253,265 Dresdner U.S. Finance 03-02-98 5.50 9,000,000 8,997,255 Emerson Electric 04-13-98 5.56 8,900,000 8,839,846 Fleet Funding 04-17-98 5.57 12,800,000(d)12,705,621 Household Finance 04-06-98 5.57 10,000,000 9,943,061 Kredietbank North America Finance 04-27-98 5.52 8,600,000 8,520,834 Morgan Stanley, Dean Witter, Discover & Co 03-06-98 5.50 7,000,000 6,993,618 Motorola 03-26-98 5.58 8,900,000 8,864,262 Natl Australia Funding (Delaware) 04-02-98 5.51 3,600,000 3,581,916 Natl Rural Utilities 03-06-98 5.53 5,200,000 5,195,233 NBD Bank Canada 03-10-98 5.52 5,900,000 5,890,986 03-11-98 5.52 12,000,000 11,979,833 Paccar Financial 03-26-98 5.55 8,100,000 8,067,649 Pacific Life Insurance 03-12-98 5.51 15,400,000 15,371,819 Pfizer 03-09-98 5.53 8,100,000(d) 8,088,863 Reed Elsevier 04-02-98 5.56 10,000,000(d) 9,949,217 SBC Communications Capital 04-23-98 5.53 13,000,000(d)12,892,945 Societe Generale North America 03-17-98 5.50 10,400,000 10,367,977 Toyota Motor Credit 03-02-98 5.49 13,900,000 13,895,776 UBS Finance (Delaware) 03-09-98 5.51 10,000,000 9,986,275 Xerox Credit 04-01-98 5.51 7,100,000 7,065,415 04-09-98 5.52 15,000,000 14,908,500 Total 309,732,887 Letters of credit - 1.6% Bank of America- AES Hawaii 03-06-98 5.52 8,200,000 8,192,483 04-03-98 5.51 10,100,000 10,047,727 First Chicago- Commed Fuel 03-11-98 5.51 15,000,000 14,974,883 Student Loan Marketing Assn- Nebraska Higher Education 03-13-98 5.52 317,000 316,370 Total 33,531,463 Total short-term securities (Cost: $365,309,682) $365,301,117 Total investments in securities (Cost: $2,023,140,167)(e) $2,387,507,490 See accompanying notes to investments in securities. Notes to investments in securities (a) Securities are valued by procedures described in Note 1 to the financial statements. (b) Non-income producing. (c) Security is partially or fully on loan. See Note 5 to the financial statements. (d) Commercial paper sold within terms of a private placement memorandum, exempt from registration under Section 4(2) of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other "accredited investors." This security has been determined to be liquid under guidelines established by the board. (e) At Feb. 28, 1998, the cost of securities for federal income tax purposes was approximately $2,023,140,000 and the approximate aggregate gross unrealized appreciation and depreciation based on that cost was: Unrealized appreciation.................................$423,923,000 Unrealized depreciation..................................(59,556,000) Net unrealized appreciation.............................$364,367,000 Investments in securities Retirement Annuity Mutual Funds Aggressive Growth Fund Feb. 28, 1998 (Unaudited) (Percentages represent value of investments compared to net assets) Common stocks - 88.2% Issuer Shares Value(a) Aerospace & defense - 0.9% Hexcel 425,100(b) $11,185,444 Howmet Intl 750,000(b) 13,500,000 Total 24,685,444 Airlines - 0.9% Comair Holdings 450,000 11,981,250 Northwest Airlines Cl A 200,000(b) 11,775,000 Total 23,756,250 Automotive & related - 0.2% Dollar Thrifty Automotive Group 220,000(b) 4,400,000 Banks and savings & loans - 1.8% Franchise Mtge Acceptance 400,000(b) 7,200,000 LINC Capital 125,000(b) 2,187,500 TCF Financial 660,000 21,821,250 Washington Mutual 260,000 17,452,500 Total 48,661,250 Building materials & construction - 1.8% Lennar 500,000 13,968,750 Toll Brothers 400,000(b) 12,000,000 Tyco Intl 440,000 22,330,000 Total 48,298,750 Chemicals - 0.6% Crompton & Knowles 520,000 15,665,000 Commercial finance - 0.7% Finova Group 319,900 17,594,500 Communications equipment & services - 2.4% ADC Telecommunications 625,000(b) 16,132,813 Advanced Fibre Communications 500,000(b) 14,968,750 ANTEC 170,000(b) 2,008,125 Ascend Communications 310,000(b) 11,605,625 IDT 97,800(b) 3,386,325 P-COM 750,000(b) 15,187,500 Total 63,289,138 Computers & office equipment - 16.5% American Management Systems 600,000(b) 15,675,000 Bay Networks 297,400(b) 10,074,425 BEA Systems 510,000(b) 13,706,250 BMC Software 190,000(b) 14,535,000 Cambridge Technology Partners 420,000(b) 19,110,000 Cisco Systems 225,000(b) 14,821,875 Comdisco 300,000 12,506,250 Computer Sciences 135,000(b) 14,132,813 Computer Task Group 450,000 18,365,625 Compuware 415,000(b) 17,481,875 DAOU Systems 465,000(b) 12,264,375 Fiserv 330,000(b) 18,067,500 GeoTel Communications 250,000(b) 5,718,750 Information Advantage 290,000(b) 2,265,625 Intuit 275,000(b) 12,787,500 Legato Systems 340,000(b) 16,660,000 Metzler Group 206,150(b) 8,812,913 Network Associates 450,000(b) 29,081,249 PeopleSoft 360,000(b) 16,087,500 Pervasive Software 400,000(b) 4,450,000 Platinum Software 425,000(b) 8,075,000 Platinum Technology 600,000(b) 15,225,000 Policy Management Systems 250,000(b) 18,093,750 Renaissance Worldwide 325,000(b) 19,296,875 Safeguard Scientifics 117,100(b) 4,215,600 Secure Computing 650,000(b) 7,475,000 Sterling Commerce 410,000(b) 18,706,250 Storage Technology 250,000(b) 17,062,500 Technology Solutions 600,000(b) 19,499,999 Transition Systems 130,000(b) 2,535,000 Viasoft 240,000(b) 6,480,000 Whittman-Hart 400,000(b) 13,200,000 Xylan 625,000(b,e)15,078,125 Total 441,547,624 Electronics - 2.1% CIENA 330,000(b) 13,839,375 Maxim Integrated Products 300,000(b) 12,112,500 Sawtek 300,000(b) 7,687,500 Transcrypt Intl 660,000(b,d)11,055,000 Uniphase 300,000(b) 12,018,750 Total 56,713,125 Energy - 0.6% Anadarko Petroleum 230,600 14,873,700 Energy equipment & services - 0.4% Tidewater 225,000 10,012,500 Financial services - 4.1% Allmerica Financial 225,000 13,837,500 Apartment Investment & Management 200,000 7,287,500 Associates First Capital Cl A300,000 24,000,000 Boston Properties 350,000 11,900,000 Glenborough Realty Trust 350,000 9,975,000 H&R Block 450,000 21,178,125 Providian Financial 235,700(b) 13,375,975 Vornado Realty Trust 186,000 7,893,375 Total 109,447,475 Food - 1.8% American Italian Pasta Cl A 300,000(b) 8,981,250 Hormel Foods 250,000 9,281,250 JP Foodservice 425,000(b) 14,051,563 Suiza Foods 250,000(b) 16,203,125 Total 48,517,188 Foreign - 4.8%(g) ACE 100,000 9,887,500 BioChem Pharma 550,000(b) 12,340,625 Check Point Software Technologies 538,000(b) 20,746,625 Elan ADR 400,000(b,e)24,825,000 EXEL 225,000 14,892,188 Petroleum Geo-Services ADR 224,700(b) 12,751,725 Steiner Leisure 660,000(b,d)26,400,000 Tefron 230,000(b) 5,261,250 Total 127,104,913 Furniture & appliances - 2.0% Chicago Miniature Lamp 170,000(b) 7,947,500 Ethan Allen Interiors 125,000 6,968,750 Leggett & Platt 500,000 25,093,749 Sunbeam 350,000 14,481,250 Total 54,491,249 Health care - 5.1% Arterial Vascular Engineering225,000(b) 18,421,875 ChiRex 450,000(b) 6,918,750 Dura Pharmaceuticals 500,000(b) 12,562,500 ESC Medical Systems 250,000(b) 8,531,250 Guidant 450,000 32,821,875 Protein Design Labs 225,000(b) 9,675,000 Respironics 350,000(b) 9,493,750 Sofamor Danek Group 150,000(b) 11,287,500 Watson Pharmaceuticals 700,000(b) 25,112,500 Total 134,825,000 Health care services - 4.7% HBO & Co 1,458,000 78,914,250 Health Management Associates Cl A 900,000(b) 25,031,250 Health Management Systems 290,000(b) 3,135,625 Province Healthcare 75,000(b) 1,556,250 Shared Medical Systems 220,000 16,816,250 Total 125,453,625 Industrial equipment & services - 0.7% JLG Inds 400,000 6,250,000 Terex 550,000(b) 13,131,250 Total 19,381,250 Insurance - 2.4% Nationwide Financial Services Cl A 450,000 19,800,000 Provident Cos 480,000 17,280,000 SunAmerica 400,000 18,125,000 UICI 300,000(b) 9,637,500 Total 64,842,500 Leisure time & entertainment - 1.2% Carnival Cl A 240,000 14,130,000 Harley-Davidson 460,000 13,340,000 Royal Olympic Cruise Lines 250,000 3,750,000 Total 31,220,000 Media - 7.4% CBS 900,000 27,843,750 Chancellor Media 900,000(b) 40,275,000 Clear Channel Communications 206,000(b) 18,668,750 Gartner Group Cl A 300,000(b) 11,962,500 Outdoor Systems 1,350,000(b) 40,246,875 Sinclair Broadcast Group Cl A 350,000(b) 19,796,875 Snyder Communications 550,000(b) 22,584,375 Univision Communications Cl A 400,000(b) 15,350,000 Total 196,728,125 Metals - 0.5% Reynolds Metals 200,000 12,462,500 Multi-industry conglomerates - 1.9% AccuStaff 573,700(b) 16,207,025 Apollo Group Cl A 250,000(b) 10,593,750 ImageMAX 194,000(b) 1,600,500 NCO Group 388,750(b) 9,815,938 Robert Half Intl 300,000(b) 13,575,000 Total 51,792,213 Restaurants & lodging - 1.1% CapStar Hotel 348,400(b) 11,758,500 Promus Hotel 338,367(b) 16,326,208 Total 28,084,708 Retail - 13.2% Best Buy 239,500(b) 14,280,188 BJ's Wholesale Club 400,000(b) 13,550,000 CDW Computer Centers 85,000(b) 5,822,500 Costco Cos 400,000(b) 19,550,000 DM Management 90,000(b) 1,698,750 Dollar General 425,000 19,603,125 Family Dollar Stores 1,000,000 35,624,999 Food Lion Cl A 1,315,000 13,273,281 Kohl's 250,000(b) 20,046,875 Lowe's Cos 300,000 17,531,250 Meyer (Fred) 500,000(b) 22,218,750 Movado Group 202,000 4,343,000 Office Depot 900,000(b) 24,750,000 OfficeMax 800,000(b) 13,350,000 Pier 1 Imports 450,000 12,037,500 Reade (Duane) 43,300(b) 968,838 Rexall Sundown 825,000(b,e)30,525,000 Rite Aid 770,000 24,928,750 Safeway 550,000(b) 19,181,250 Stage Stores 440,000(b) 18,480,000 Stein Mart 332,500(b) 10,743,906 USA Floral Products 425,000(b) 10,146,875 Total 352,654,837 Textiles & apparel - 0.8% Abercrombie & Fitch 440,000(b) 15,180,000 Ashworth 350,000(b) 4,878,125 Total 20,058,125 Utilities -- electric - 0.2% Northeast Utilities 400,000(b) 5,000,000 Utilities -- telephone - 7.4% American Communications Services 300,000(b) 4,200,000 Cincinnati Bell 425,000 13,600,000 Frontier 400,000 11,075,000 Global TeleSystems Group 370,000(b,e)13,551,250 ICG Communications 500,000(b) 16,812,500 Intermedia Communications 225,000(b) 17,184,375 MetroNet Communications 325,000(b) 7,759,375 Mobile Telecommunication Technologies 500,000(b) 11,250,000 Nextel Communications Cl A 575,000(b) 16,998,438 Orbital Sciences 200,000(b) 7,625,000 Premiere Technologies 500,000(b) 15,687,500 Primus Telecommunications Group 40,000(b) $1,040,000 STARTEC Global Communications 250,000(b) 6,203,125 Telephone & Data Systems 275,000 11,979,688 WinStar Communications 500,000(b) 21,031,249 WorldCom 550,000(b) 21,003,124 Total197,000,624 Total common stocks (Cost: $1,834,101,375) $2,348,561,613 Preferred stock & other - 0.3% Issuer Shares Value(a) DocuCorp Intl Rights 15,000(b) 58,125 EVI 5.00% 200,000(b) 9,250,000 Total preferred stock & other (Cost: $9,150,050) $9,308,125 Bonds - 1.1% Issuer Maturity Coupon Principal Value(a) date rate amount Altera Cv Sr Sub Nts 06-15-02 5.75% $4,000,000 $6,820,000 Continucare Cv Sr Sub Nts 10-31-02 8.00 4,000,000 3,510,000 Diamond Offshore Drilling Cv Sr Sub Nts 09-15-07 3.13 12,400,000 12,136,500 Xilinx Cv Sr Sub Nts 11-01-02 5.25 6,000,000 6,442,500 Total bonds (Cost: $28,020,356) $28,909,000 Short-term securities - 11.6% Issuer Annualized Amount Value(a) yield on payable at date of maturity purchase U.S. government agencies - 0.6% Federal Home Loan Bank Disc Nt 03-18-98 5.41% $9,200,000 $9,175,206 Federal Natl Mtge Assn Disc Nts 03-18-98 5.43 500,000 498,648 03-18-98 5.44 6,400,000 6,382,656 Total 16,056,510 Certificate of deposit - 0.4% US Bank Minneapolis 03-25-98 5.52 11,000,000 11,000,000 Commercial paper - 10.0% Abbott Laboratories 03-25-98 5.52 12,000,000 11,954,166 American General Finance 03-11-98 5.53 10,000,000 9,983,194 Bell Atlantic 03-11-98 5.53 10,000,000 9,983,133 BellSouth Telecommunications 03-03-98 5.52 1,800,000 1,799,175 Beneficial 03-02-98 5.49 9,100,000 9,097,240 BOC Group 03-16-98 5.53 10,000,000(c) 9,975,556 Ciesco LP 03-25-98 5.53 10,800,000 10,758,675 Commercial Credit 04-16-98 5.53 10,000,000 9,928,325 Commerzbank U.S. Finance 03-25-98 5.51 10,000,000 9,961,875 Delaware Funding 03-17-98 5.52 9,000,000(c) 8,976,625 Emerson Electric 04-13-98 5.56 3,400,000 3,377,020 Fleet Funding 04-17-98 5.57 12,800,000(c)12,705,620 Gateway Fuel 03-10-98 5.50 10,000,000 9,984,806 General Electric 03-20-98 5.53 6,300,000 6,280,750 03-30-98 5.51 10,000,000 9,954,333 Heinz (HJ) 04-22-98 5.54 6,700,000 6,645,749 Household Finance 03-11-98 5.51 10,000,000 9,983,256 Kredietbank North America Finance 04-27-98 5.52 9,000,000 8,917,152 Merrill Lynch 03-16-98 5.52 10,000,000 9,975,644 Morgan Stanley, Dean Witter, Discover & Co 03-02-98 5.50 10,000,000 9,996,961 03-05-98 5.50 10,800,000 10,791,795 Natl Australia Funding (Delaware) 04-02-98 5.51 9,100,000 9,054,288 Novartis Finance 03-03-98 5.50 6,900,000(c) 6,896,849 Paccar Financial 03-27-98 5.54 7,000,000 6,971,020 Pfizer 03-09-98 5.53 2,400,000(c) 2,396,700 Reed Elsevier 03-27-98 5.51 2,800,000(c) 2,788,492 SBC Communications Capital 03-23-98 5.50 8,000,000(c) 7,971,991 04-23-98 5.53 10,000,000(c) 9,917,650 Toyota Motor Credit 03-20-98 5.57 10,000,000 9,969,111 USAA Capital 03-04-98 5.50 10,000,000 9,993,922 Xerox Credit 04-09-98 5.52 10,000,000 9,939,000 Total 266,930,073 Letters of credit - 0.6% Bank of America- AES Hawaii 03-06-98 5.52 4,100,000 4,096,242 Student Loan Marketing Assn- Nebraska Higher Education 03-31-98 5.54 10,100,000 10,051,991 Total 14,148,233 Total short-term securities (Cost: $308,138,277) $308,134,816 Total investments in securities (Cost $2,179,410,058)(g) $2,694,913,554 See accompanying notes to investments in securities. Notes to investments in securities (a) Securities are valued by procedures described in Note 1 to the financial statements. (b) Non-income producing. (c) Commercial paper sold within terms of a private placement memorandum, exempt from registration under Section 4(2) of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other "accredited investors." This security has been determined to be liquid under guidelines established by the board. (d) Investments representing 5% or more of the outstanding voting securities of the issuer. Transactions with companies that are or were affiliates during the period ended Feb. 28, 1998 are as follows:
Issuer Beginning Purchases Sales Ending Dividend Value(a) cost cost cost cost income Dave & Buster's* $11,941,176 $ -- $11,941,176 $ -- $-- $ -- Steiner Leisure 7,506,250 -- 325,000 7,181,250 -- 26,400,000 Transcrypt Intl* 2,595,010 7,695,000 -- 10,290,010 -- 11,055,000 Total $22,042,436 $7,695,000 $12,266,176 $17,471,260 $-- $37,455,000 *Issuer was not an affiliate for the entire period. (e) Security is partially or fully on loan. See Note 5 to the financial statements. (f) Foreign security values are stated in U.S. dollars. (g) At Feb. 28, 1998, the cost of securities for federal income tax purposes was approximately $2,179,410,000 and the approximate aggregate gross unrealized appreciation and depreciation based on that cost was: Unrealized appreciation ...................................... $545,915,000 Unrealized depreciation..........................................(30,411,000) Net unrealized appreciation.....................................$515,504,000
Investments in securities Retirement Annuity Mutual Funds Global Yield Fund Feb. 28, 1998 (Unaudited) (Percentages represent value of investments compared to net assets) Bonds - 93.3%(b) Issuer Coupon Principal Value(a) rate amount Argentina - 3.4% Argentina Republic (Japenese Yen) 03-27-01 5.50% $110,000,000 $887,933 (U.S. Dollar) 03-31-05 6.69 1,440,000 1,308,960 01-30-17 11.375 1,000,000 1,135,630 Comp Nav Perez Companc (U.S. Dollar) 01-30-04 9.00 1,000,000(d) 1,045,000 Province of Mendoza (U.S. Dollar) 09-04-07 10.00 1,000,000(d) 970,000 Total 5,347,523 Brazil - 1.5% Espirito Santo Centrais (U.S. Dollar) Sr Nts 07-15-07 10.00 1,000,000(d) 932,500 Republic of Brazil (U.S. Dollar) 05-15-27 10.125 1,500,000(f) 1,438,125 Total 2,370,625 Canada - 3.2% Govt of Canada (Canadian Dollar) 06-01-23 8.00 4,200,000 3,802,226 Rogers Communication (Canadian Dollar) Sr Nts 07-24-07 8.75 2,000,000 1,346,701 Total 5,148,927 Denmark - 3.2% Govt of Denmark (Danish Krone) 05-15-03 8.00 7,700,000 1,274,540 03-15-06 8.00 7,500,000 1,286,105 11-10-24 7.00 15,000,000 2,541,417 Total 5,102,062 France - 0.3% Govt of France (European Currency Unit) 04-25-05 7.50 400,000 503,784 Germany - 7.9% Federal Republic of Germany (Deutsche Mark) 11-11-04 7.50 3,430,000 2,186,135 06-20-16 6.00 8,300,000 4,953,723 07-04-27 6.50 8,300,000 5,236,140 Total 12,375,998 Hong Kong - 1.6% Dao Heng Bank (U.S. Dollar) Sub Nts 01-24-07 7.75 1,000,000(d) 825,800 Hutchison Whampo Finance (U.S. Dollar) Company Guaranty 08-01-27 7.50 2,000,000(d) 1,750,960 Total 2,576,760 Indonesia - 0.6% Tjiwi Kimia (U.S. Dollar) 08-01-04 10.00 1,300,000(d) 1,001,000 Israel - 0.7% Israel Electric (U.S. Dollar) 12-15-26 7.875 1,000,000(d) 1,037,530 Italy - 4.4% Govt of Italy (Italian Lira) 09-15-01 7.75 2,450,000,000 1,498,714 01-01-04 8.50 5,340,000,000 3,493,375 11-01-26 7.25 3,050,000,000 2,049,356 Total 7,041,445 Japan - 0.9% Sony Global (U.S. Dollar) 03-04-03 6.125 1,500,000 1,499,670 Malaysia - 1.2% Petronas (U.S. Dollar) 08-15-15 7.75 2,000,000 1,878,440 Mexico - 2.6% Banco Nacional de Comercio Exterior (U.S. Dollar) 02-02-04 7.25 2,000,000(g) 1,902,500 United Mexican States (Japenese Yen) 08-17-98 5.00 30,000,000 240,879 (U.S. Dollar) 09-15-16 11.375 550,000 653,469 05-15-26 11.50 1,050,000(f,g)1,284,281 Total 4,081,129 Norway - 2.2% Govt of Norway (Norwegian Krone) 01-31-99 9.00 25,000,000 3,432,646 Panama - 0.6% Banco General (U.S. Dollar) 08-01-02 7.70 1,000,000(d) 992,890 Peru - 0.6% Southern Peru Copper (U.S. Dollar) 05-30-07 7.90 1,000,000 1,025,460 Philippines - 0.7% Philippine Long Distance Telephone (U.S. Dollar) 03-06-07 7.85 1,200,000(d) 1,081,980 Russia - 1.0% Ministry Finance Russia (U.S. Dollar) 11-27-01 9.25 1,000,000(d) 965,000 Tatneft Finance (U.S. Dollar) Company Guaranty 10-29-02 9.00 800,000(d) 694,000 Total 1,659,000 Slovenia - 1.9% Republic of Slovenia (Deutsche Mark) 06-16-04 5.75 5,500,000 3,083,740 South Africa - 1.2% Escom (South Africa Rand) 09-01-01 8.00 11,200,000 1,934,977 South Korea - 0.9% Korea Development Bank (U.S. Dollar) 05-15-06 7.25 1,500,000 1,381,500 Spain - 1.7% Govt of Spain (Spanish Peseta) 04-30-99 9.40 200,000,000 1,370,966 04-30-06 8.80 170,000,000 1,337,798 Total 2,708,764 Sweden - 3.4% Govt of Sweden (Swedish Krona) 02-09-05 6.00 15,000,000 1,952,804 08-15-07 8.00 16,600,000 2,457,569 Paulson Enteprenad (Swedish Krona) 12-15-00 8.29 9,000,000 1,043,064 Total 5,453,437 United Kingdom - 9.2% United Kingdom Treasury (British Pound) 03-03-00 9.00 2,000,000 3,424,302 06-07-02 7.00 1,000,000 1,687,457 06-10-03 8.00 2,100,000 3,721,922 12-07-05 8.50 1,500,000 2,815,943 09-08-06 7.75 1,500,000 2,715,622 Total 14,365,246 United States - 36.7% EES Coke Battery (U.S. Dollar) Sr Nts 04-15-02 7.125 1,413,750(d) 1,427,704 Federal Natl Mtge Assn (U.S. Dollar) 02-01-27 7.50 914,782 940,396 03-01-27 7.50 1,887,628 1,940,482 06-01-27 7.50 1,873,680 1,926,143 Federated Dept Stores (U.S. Dollar) 02-15-28 7.00 1,500,000 1,485,060 First Union- Lehman Brothers Commercial Mtge Trust (U.S. Dollar) Series 1997-C1 04-18-29 7.50 1,150,000 1,187,016 Firstar Capital (U.S. Dollar) Company Guaranty Series B 12-15-26 8.32 1,000,000 1,080,990 Ford Motor Credit Global (U.S. Dollar) 09-10-02 6.55 3,000,000 3,045,450 GTE North (U.S. Dollar) 02-15-10 6.375 2,000,000 1,994,120 MGM Grand (U.S. Dollar) 02-01-05 6.95 1,500,000 1,476,525 Morgan (JP) (U.S. Dollar) Sr Sub Nts Series A 02-15-12 4.00 1,000,000(e) 929,200 Nationwide CSN Trust (U.S. Dollar) 02-15-25 9.875% $1,500,000(d)$1,801,290 New York Life Insurance (U.S. Dollar) 12-15-23 7.50 1,000,000(d) 1,043,200 Pacific Gas & Electric (U.S. Dollar) 06-25-03 6.16 1,050,000 1,055,906 Railcar Leasing (U.S. Dollar) 01-15-13 7.125 3,000,000(d) 3,158,670 Texas Utilities Electric (U.S. Dollar) 08-01-07 7.17 2,000,000 2,088,740 TU Electric Capital (U.S. Dollar) Company Guaranty 01-30-37 8.175 1,000,000(e) 1,053,450 U.S. Treasury (U.S. Dollar) 02-15-00 5.875 4,500,000 4,524,885 11-15-01 7.50 1,650,000 1,752,762 02-15-05 7.50 5,600,000 6,175,120 11-15-16 7.50 11,975,000 13,991,111 (U.S. Dollar) TIPS 01-15-07 3.375 3,000,000(f) 2,981,488 Zurich Capital (U.S. Dollar) Company Guaranty 06-01-37 8.38 1,000,000(d) 1,101,870 Total 58,161,578 Venezuela - 1.7% Govt of Venezuela (U.S. Dollar) Series A 03-31-07 6.75 904,762(e) 810,893 (U.S. Dollar) Series B 03-31-07 6.75 452,381(e) 405,446 (U.S. Dollar) Series DM 03-31-07 2.42 2,980,000(e) 1,419,255 Total 2,635,594 Total bonds (Cost: $144,827,351) $147,881,705 Short-term securities - 9.4% Issuer Annualized Amount Value(a) yield on payable at date of maturity purchase U.S. government agencies - 6.8% Federal Home Loan Mtge Corp Disc Nts 03-12-98 5.43% $4,400,000 $4,392,065 03-20-98 5.44 2,900,000 2,891,252 03-24-98 5.43 600,000 597,840 Federal Natl Mtge Assn Disc Nt 03-18-98 5.44 2,900,000 2,892,141 Total 10,773,298 Commercial paper - 2.6% Reed Elsevier 03-11-98 5.50 1,100,000(c) 1,098,158 UBS Finance (Delaware) 03-02-98 5.68 3,100,000 3,099,022 Total 7,881,157 Total short-term securities (Cost: $14,970,478) $14,970,478 Total investments in securities (Cost $159,797,829)(h) $162,852,183 See accompanying notes to investments in securities. Notes to investments in securities (a) Securities are valued by procedures described in Note 1 to the financial statements. (b) Foreign securities values are stated in U.S. dollars. For debt securities, principal amounts are denominated in the currency indicated. (c) Commercial paper sold within terms of a private placement memorandum, exempt under Section 4(2) of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other "accredited investors." This security has been determined to be liquid under guidelines established by the board. (d) Represents a security sold under Rule 144A, which is exempt from registration under the Securities Act of 1933, as amended. This security has been determined to be liquid under guidelines established by the board. (e) Interest rate varies either based on a predetermined schedule or to reflect current market conditions; rate shown is the effective rate on Feb. 28, 1998. (f) U.S. Treasury inflation-protection securities (TIPS) are securities in which the principal amount is adjusted for inflation and the semi-annual interest payments equal a fixed percentage of the inflation-adjusted principal amount. (g) Security is partially or fully on loan. See Note 5 to the financial statements. (h) At Feb. 28, 1998, the cost of securities for federal income tax purposes was approximately $159,700,000 and the approximate aggregate gross unrealized appreciation and depreciation based on that cost was: Unrealized appreciation......................................$5,255,000 Unrealized depreciation......................................(2,103,000) Net unrealized appreciation..................................$3,152,000 Retirement Annuity Mutual Funds Growth Dimensions Fund Feb. 28, 1998 (Unaudited) (Percentages represent value of investments compared to net assets) Common stocks - 92.4% Issuer Shares Value(a) Aerospace & defense - 1.6% Boeing 158,900 $8,620,325 United Technologies 239,200 21,363,550 Total 29,983,875 Airlines - 2.1% AMR 239,200(b) 30,273,750 Southwest Airlines 311,000 8,921,813 Total 39,195,563 Banks and savings & loans - 7.2% BankAmerica 167,450 12,977,375 Citicorp 239,400 31,720,499 Norwest 1,315,800 53,865,562 State Street 478,700 29,589,644 Wachovia 119,500 9,500,250 Total 137,653,330 Beverages & tobacco - 1.3% Coca-Cola 299,100 20,544,431 Fortune Brands 119,800 4,754,563 Total 25,298,994 Building materials & construction - 1.3% Tyco Intl 478,472 24,282,454 Chemicals - 2.1% Air Products & Chemicals 110,100 9,241,519 Monsanto 211,900 10,780,413 USA Waste Services 478,400(b) 19,913,399 Total 39,935,331 Communications equipment & services - 3.1% ADC Telecommunications 254,100(b) 6,558,956 Lucent Technologies 157,200 17,036,550 Motorola 61,200 3,411,900 Northern Telecom 309,800 16,516,213 Tellabs 263,000(b) 15,878,625 Total 59,402,244 Computers & office equipment - 11.2% Automatic Data Processing 77,700 4,744,556 BMC Software 155,613(b) 11,904,395 Cisco Systems 657,800(b) 43,332,575 Compaq Computer 1,196,100(f) 38,349,956 Computer Associates Intl 243,850 11,491,431 Hewlett-Packard 393,600 26,371,200 Intl Business Machines 239,200 24,981,450 Microsoft 406,600(b) 34,459,350 PeopleSoft 119,500(b) 5,340,156 Xerox 119,500 10,598,156 Total 211,573,225 Electronics - 3.0% AMP 111,200 4,913,650 Applied Materials 119,800(b) 4,410,138 Intel 454,600 40,771,937 Texas Instruments 119,400 6,910,275 Total 57,006,000 Energy - 1.8% Exxon 275,200 17,578,400 Mobil 239,200 17,327,050 Total 34,905,450 Energy equipment & services - 0.6% Baker Hughes 276,900 11,335,594 Financial services - 5.9% Associates First Capital Cl A119,500 9,560,000 Fannie Mae 191,300 12,207,331 MBNA 598,000 21,415,875 Morgan Stanley, Dean Witter, Discover & Co 358,990 25,017,116 Paychex 95,700 4,940,513 Travelers Group 717,900 40,022,924 Total 113,163,759 Food - 1.1% ConAgra 557,400 16,722,000 General Mills 60,000 4,316,250 Total 21,038,250 Foreign - 6.1%(e) ACE 287,000 28,377,125 Elan ADR 179,300(b,f)11,127,806 Royal Dutch Petroleum 478,500 25,988,531 Schlumberger 274,300 20,675,363 SmithKline Beecham ADR 496,000 30,690,000 Total 116,858,825 Health care - 9.0% Bristol-Myers Squibb 251,100 25,157,081 Genentech 3,400(b) 229,713 Johnson & Johnson 358,600 27,074,300 Medtronic 367,600 19,528,750 Merck & Co 239,100 30,500,194 Pfizer 621,900 55,038,149 Schering-Plough 143,700 10,930,181 Total 168,458,368 Health care services - 3.3% Cardinal Health 203,400 16,653,375 HBO & Co 334,900 18,126,462 HEALTHSOUTH Rehabilitation 322,800(b) 8,715,600 Service Corp Intl 239,200 9,059,700 United Healthcare 167,400 10,159,088 Total 62,714,225 Household products - 2.3% Gillette 215,400 23,236,275 Procter & Gamble 239,300 20,325,544 Total 43,561,819 Industrial equipment & services - 2.6% Deere & Co 705,500 39,596,188 Illinois Tool Works 179,600 10,764,775 Total 50,360,963 Insurance - 2.1% Allstate 107,600 10,033,700 American Intl Group 179,475 21,570,652 UNUM 179,500 9,233,031 Total 40,837,383 Leisure time & entertainment - 1.7% Marriott Intl 358,900 27,186,675 Mirage Resorts 219,833(b) 5,028,680 Total 32,215,355 Media - 2.8% CBS 550,240 17,023,050 Clear Channel Communications 99,400(b) 9,008,125 Gannett 323,186 20,865,696 Univision Communications Cl A 174,000(b) 6,677,250 Total 53,574,121 Metals - 0.5% Aluminum Co of America 128,700 9,443,363 Multi-industry conglomerates - 6.3% AccuStaff 322,700(b) 9,116,275 Emerson Electric 442,500 28,237,031 General Electric 909,000 70,674,750 Minnesota Mining & Mfg 138,800 11,841,375 Total 119,869,431 Restaurants & lodging - 0.5% Promus Hotel 203,400(b) 9,814,050 Retail - 6.0% Cendant 490,383(b) 18,389,363 CVS 215,200 15,938,250 Dayton Hudson 191,400 14,797,613 Kroger 143,700(b) 6,071,325 Safeway 957,200(b) 33,382,349 Wal-Mart Stores 550,200 25,481,138 Total 114,060,038 Transportation - 0.4% CNF Transportation 179,200 7,011,200 Utilities -- electric - 0.8% CMS Energy 358,900 15,881,325 Utilities -- gas - 0.9% El Paso Natural Gas 263,000 17,456,625 Utilities -- telephone - 4.8% AirTouch Communications 239,000(b) 10,740,063 Ameritech 119,700 4,989,994 AT&T 167,600 10,202,650 BellSouth 550,400 33,574,399 Cincinnati Bell 239,000 7,648,000 U S WEST Communications Group 255,500 13,301,969 WorldCom 263,300(b) 10,054,769 Total 90,511,844 Total common stocks (Cost: $1,394,930,752) $1,757,403,004 Short-term securities - 8.0% Issuer Annualized Amount Value(a) yield on payable at date of maturity purchase U.S. government agencies - 0.7% Federal Home Loan Bank Disc Nt 03-18-98 5.41% $3,600,000 $3,590,298 Federal Home Loan Mtge Corp Disc Nt 03-12-98 5.43 10,000,000 9,981,983 Total 13,572,281 Commercial paper - 6.20% AIG Funding 03-02-98 5.51 6,500,000 6,498,010 Bell Atlantic 03-11-98 5.53 10,000,000 9,983,133 03-17-98 5.51 2,500,000 2,493,531 BellSouth Capital Funding 03-16-98 5.51 10,100,000 10,075,311 Ciesco LP 03-17-98 5.50 2,700,000 2,693,026 Commerzbank U.S. Finance 03-13-98 5.50 3,000,000 2,994,063 Consolidated Natural Gas 03-03-98 5.54 8,100,000 8,096,267 Delaware Funding 03-25-98 5.52 2,900,000(c) 2,888,944 Fleet Funding 03-05-98 5.52 5,200,000(c) 5,196,028 Gateway Fuel 04-28-98 5.55 3,100,000 3,071,591 Kredietbank North America Finance 04-27-98 5.52 6,800,000 6,737,404 Natl Australia Funding 04-02-98 5.51 8,000,000 7,959,813 Natl Rural Utilities Cooperative 03-06-98 5.53 6,000,000 5,994,500 Paccar Financial 03-12-98 5.50 4,000,000 3,992,693 Pacific Life Insurance 03-06-98 5.51 4,000,000 3,996,340 03-10-98 5.51 8,200,000 8,187,495 Reed Elsevier 03-06-98 5.53 2,200,000(c) 2,197,983 Toyota Motor Credit 03-26-98 5.55 9,600,000 9,561,659 UBS Finance (Delaware) 03-09-98 5.50 7,000,000 6,990,410 Xerox Credit 03-19-98 5.50 7,600,000 7,578,019 Total 117,186,220 Letters of credit - 1.1% Student Loan Marketing Assn- Nebraska Higher Education 03-13-98 5.52 4,500,000 4,491,062 03-31-98 5.54 17,100,000 17,018,719 Total 21,509,781 Total short-term securities (Cost: $152,271,362) $152,268,282 Total investments in securities (Cost $1,547,202,115)(g) $1,909,671,286 See accompanying notes to investments in securities. Notes to investments in securities (a) Securities are valued by procedures described in Note 1 to the financial statements. (b) Non-income producing. (c) Commercial paper sold within terms of a private placement memorandum, exempt under Section 4(2) of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other "accredited investors." This security has been determined to be liquid under guidelines established by the board. (d) Security is partially or fully on loan. See Note 5 to the financial statements. (e) Foreign security values are stated in U.S. dollars. (f) At Feb. 28, 1998, securities valued at $7,374,375 were held to cover open call options written as follows: Issuer Shares Exercise Expiration Value price date Compaq Computer 1,196,100 $35 April 1998 $251,562 (g) At Feb. 28, 1998, the cost of securities for federal income tax purposes was approximately $1,547,202,000 and the approximate aggregate gross unrealized appreciation and depreciation based on that cost was: Unrealized appreciation.......................................$371,750,000 Unrealized depreciation.........................................(9,281,000) Net unrealized appreciation...................................$362,469,000
Retirement Annuity Mutual Funds Income Advantage Fund Feb. 28, 1998 (Unaudited) (Percentages represent value of investments compared to net assets) Bonds - 84.1% Issuer Maturity Coupon Principal Value(a) date rate amount Aerospace & defense - 1.0% K&F Inds Sr Sub Nts 10-15-07 9.25% $500,000(d) $530,000 L-3 Communications Sr Sub Nts Series B 05-01-07 10.375 1,560,000 1,719,900 Sequa 10-15-99 9.625 2,500,000 2,581,250 Total 4,831,150 Automotive & related - 0.8% Hayes Lemmerz Intl Company Guaranty Series B 07-15-07 9.125 1,000,000 1,062,500 Oxford Automotive Company Guaranty 06-15-07 10.125 2,000,000 2,140,000 Walbro Sr Nts 12-15-07 10.125 750,000 765,000 Total 3,967,500 Banks and savings & loans - 1.1% First Nationwide Holdings Sr Sub Nts 10-01-03 10.625 2,930,000 3,281,600 Wilshire Financial Services Nts 01-01-04 13.00 1,500,000 1,597,500 08-15-04 13.00 450,000(d) 479,250 Total 5,358,350 Chemicals - 0.7% Freedom Chemicals Sr Sub Nts 10-15-06 10.625 900,000 1,057,500 ISP Holdings Sr Nts Series B 02-15-02 9.75 2,000,000 2,145,000 Total 3,202,500 Communications equipment & services - 7.9% 21st Century Telecom Group Zero Coupon Sr Disc Nts 02-15-03 12.25 1,500,000(f) 804,375 Comcast Cellular Holdings Sr Nts Series B 05-01-07 9.50 5,000,000 5,275,000 EchoStar DBS Company Guaranty 07-01-02 12.50 2,000,000 2,230,000 Facilicom Intl Sr Nts 01-15-08 10.50 500,000 511,250 Focal Communications Zero Coupon Sr Disc Nts 02-15-08 5.97 1,150,000(e) 628,188 Globalstar LP/Capital Sr Nts 02-15-04 11.375 1,500,000 1,552,500 06-15-04 11.25 1,250,000 1,290,625 GST Equipment Funding Sr Nts 05-01-07 13.25 750,000 888,750 GST Telecommunications Sr Sub Nts 11-15-07 12.75 750,000 896,250 IMPSAT Company Guaranty 07-15-03 12.125 1,000,000 1,063,750 Intl Wireless Communications Zero Coupon Sr Disc Nts 08-15-01 13.43 1,500,000(e) 596,250 Iridium LLC/Capital Company Guaranty Series A 07-15-05 13.00 2,200,000 2,403,500 Sr Nts 07-15-05 11.25 300,000(d) 307,500 Jordan Telecommunications Products Sr Nts Series B 08-01-07 9.875 800,000 848,000 Zero Coupon Sr Disc Nts Series B 08-01-00 9.72 1,250,000(f) 1,059,375 Mastec Sr Sub Nts 02-01-08 7.75 500,000 506,250 Nextel Communications Zero Coupon Sr Disc Nts 01-15-99 8.67 2,500,000(f) 2,425,000 02-15-99 11.84 500,000(f) 478,750 NEXTLINK Communications Sr Nts 04-15-06 12.50 1,000,000 1,152,500 NTL Sr Nts Series B 02-15-07 10.00 2,000,000 2,170,000 Zero Coupon Sr Nts Series B 02-01-01 9.30 4,000,000(f) 3,210,000 PhoneTel Technologies Sr Nts 12-15-06 12.00 2,130,000 2,241,825 Price Communications Cellular Holdings Zero Coupon Sr Disc Nts 08-01-02 13.50 1,300,000(d,f) 864,500 RCN Zero Coupon Sr Disc Nts 02-15-08 4.85 1,200,000(d,e) 736,500 Unifi Communications Sr Nts 03-01-04 14.00 1,000,000 650,000 Unisite Zero Coupon Sub Nts 12-15-00 0.00 1,000,000(d,f) 1,000,000 Vialog Company Guaranty 11-15-01 12.75 2,075,000(d) 2,116,500 Total 37,907,138 Computers & office equipment - 1.8% Anacomp Sr Sub Nts Series B 04-01-04 10.875 2,000,000 2,112,500 Cooperative Computing Sr Sub Nts 02-01-08 9.00 2,250,000(d) 2,221,875 Decisionone Holdings Zero Coupon 08-01-08 4.18 2,000,000(e) 1,220,000 Unisys Sr Nts 10-15-04 11.75 2,525,000 2,941,625 Total 8,496,000 Consumer finance -- personal loans - 0.7% Crown Paper Sr Sub Nts 09-01-05 11.00 3,250,000 3,428,750 Energy - 2.9% Belco Oil & Gas Sr Sub Nts Series B 09-15-07 8.875 600,000 611,250 Clark R&M Sr Sub Nts 11-15-07 8.875 1,500,000(d) 1,530,000 Costilla Energy Sr Nts 10-01-06 10.25 3,000,000 3,090,000 Energy Corp of America Sr Sub Nts Series A 05-15-07 9.50 1,000,000 1,007,500 Forcenergy Sr Sub Nts 11-01-06 9.50 500,000 531,250 Sr Sub Nts Series B 02-15-07 8.50 1,500,000 1,528,125 HarCor Energy Sr Secured Nts Series B 07-15-02 14.875 500,000 600,000 Houston Exploration Sr Sub Nts 01-01-08 8.625 1,500,000(d) 1,488,750 HS Resources Sr Sub Nts 12-01-03 9.875 1,400,000 1,454,250 Rayovac Sr Sub Nts Series B 11-01-06 10.25 1,137,000 1,253,543 Transamerican Energy 06-15-02 11.50 600,000 606,000 Total 13,700,668 Energy equipment & services - 0.7% Dailey Intl Sr Nts 02-15-08 9.50 1,000,000 1,015,000 DI Inds Sr Nts 07-01-07 8.875 500,000 526,250 Plains Resources Company Guaranty Series D 03-15-06 10.25 1,000,000 1,082,500 Pride Intl Sr Nts 05-01-07 9.375 750,000 810,000 Total 3,433,750 Financial services - 0.6% Arcadia Financial Sr Nts 03-15-07 11.50 1,380,000 1,373,100 Gemini 12-23-01 13.50 1,500,000(d,i,j) 1,500,000 Total 2,873,100 Food - 3.0% Ameriserve Food Company Guaranty 07-15-07 10.13 800,000 864,000 Aurora Foods Sr Sub Nts Series B 02-15-07 9.875 400,000 429,000 Sr Sub Nts Series D 02-15-07 9.875 2,000,000 2,145,000 CFP Holdings Sr Nts Series B 01-15-04 11.625 1,250,000(d) 1,237,500 Chiquita Brands Intl Sr Nts 01-15-04 9.625 1,000,000 1,063,750 Gorges/Quik to Fix Food Sr Sub Nts Series B 12-01-06 11.50 2,250,000 2,385,000 Specialty Foods Sr Nts Series B 08-15-01 10.25 1,100,000 1,106,875 Stroh Brewery Sr Sub Nts 07-01-06 11.10 3,261,000 2,934,900 Twin Laboratories Sr Sub Nts 05-15-06 10.25 2,150,000 2,354,250 Total 14,520,275 Foreign - 15.0%(c) Australis Holdings (U.S. Dollar) Zero Coupon Sr Disc Nts11-01-00 13.55 2,260,000(f) 1,130,000 Australis Media (U.S. Dollar) 11-01-00 14.00 616,647 431,064 (U.S. Dollar) Zero Coupon 05-15-00 12.26 4,536,000(f) 1,360,800 05-15-03 8.65 11,162(e) 3,320 Autopistas Del Sol (U.S. Dollar) Sr Nts 08-01-09 10.25 1,500,000(d) 1,458,750 Call-Net Enterprises (U.S. Dollar) Zero Coupon Sr Disc Nts08-15-02 9.27 500,000(f) 353,125 Canadian Forest Oil (U.S. Dollar) Company Guaranty 09-15-07 8.75 1,000,000 1,017,500 CEI Citicorp Holdings (Argentine Peso) 02-14-07 11.25 500,000(d) 450,000 Centaur Mining & Exploration (U.S. Dollar) Company Guaranty 12-01-07 11.00 1,000,000(d) 1,017,500 City of Moscow (Russian Ruble) Zero Coupon 07-01-98 22.80 1,115,315(e) 1,037,689 (U.S. Dollar) 05-31-00 9.50 1,000,000(d) 963,750 COLT Telecommunications Group (U.S. Dollar) Zero Coupon 12-15-01 5.72 1,000,000(f) 880,000 Daya Guna (U.S. Dollar) Company Guaranty 06-01-07 10.00 1,250,000(d) 1,037,500 Doman Inds (U.S. Dollar) 03-15-04 8.75 1,000,000 982,500 (U.S. Dollar) Sr Nts 11-15-07 9.25 350,000(d) 346,500 Espirito Santo Centrais (U.S. Dollar) Sr Nts 07-15-07 10.00 900,000(d) 839,250 Esprit Telecom Group (U.S. Dollar) Sr Nts 12-15-07 11.50 1,250,000 1,365,625 Fresh Del Monte Produce (U.S. Dollar) Sr Nts Series B 05-01-03 10.00 3,100,000 3,270,499 Govt of Russia (U.S. Dollar) 07-28-00 10.375 500,000 430,000 Greater Beijing (U.S. Dollar) Sr Nts 06-15-04 9.25 350,000(d) 282,125 06-15-07 9.50 500,000(d) 399,410 Grupo Industrial Durango (U.S. Dollar) 08-01-03 12.625 1,000,000 1,140,000 Grupo Iusacell (U.S. Dollar) 07-15-04 10.00 600,000 625,500 Grupo Televisa (U.S. Dollar) Sr Nts 05-15-06 11.875 2,250,000 2,598,750 Guangdong Enterprises (U.S. Dollar) Sr Nts 05-22-07 8.875 400,000(d) 326,576 Gulf Canada Resources (U.S. Dollar) Sr Sub Debs 01-15-04 9.25 1,500,000 1,575,000 Hurricane Hydrocarbons (U.S. Dollar) Sr Nts 11-01-04 11.75 2,250,000(d) 2,210,625 Hutchison Whampo Finance (U.S. Dollar) Company Guaranty 08-01-17 7.45 250,000(d) 224,920 Hyundai Semiconductor (U.S. Dollar) Sr Nts 05-15-07 8.625 1,500,000(d) 1,179,435 Imexsa Export Trust (U.S. Dollar) 05-31-03 10.125 1,000,000(d) 1,045,000 Ionica (U.S. Dollar) Sr Nts 08-15-06 13.50 1,000,000 820,000 MDC Communications (U.S. Dollar) Sr Sub Nts 12-01-06 10.50 1,750,000 1,890,000 MetroNet Communications (U.S. Dollar) Sr Nts 08-15-07 12.00 750,000 871,875 (U.S. Dollar) Zero Coupon Sr Disc Nts11-01-02 10.74 1,300,000(d,f) 856,375 Mexican Cetes (Mexican Peso) Zero Coupon06-04-98 9.258,520,800(e)1,007,585 Microcell Telecommunications (U.S. Dollar) Zero Coupon Sr Disc Nts10-15-02 17.90 1,210,000(d,f) 510,138 (U.S. Dollar) Zero Coupon Sr Disc Nts Series B 06-01-06 5.15 1,000,000(e) 703,750 Netia Holdings (U.S. Dollar) Company Guaranty 11-01-07 10.25 1,725,000(d) 1,748,719 Newsquest Capital (U.S. Dollar) Sr Sub Nts Series B 05-01-06 11.00 900,000 1,012,500 Panda Global Energy (U.S. Dollar) Company Guaranty 04-15-04 12.50 2,745,000(d) 2,556,281 Philippine Long Distance Telephone (U.S. Dollar) 03-06-07 7.85 750,000(d) 676,238 (U.S. Dollar) Medium-term Nt Series E03-06-17 8.35 750,000(d) 665,505 PLD Telekom (U.S. Dollar) Zero Coupon 06-01-01 3.85 100,000(f) 100,000 Plitt Theatres (U.S. Dollar) Sr Sub Nts 06-15-04 10.875 2,250,000 2,463,750 Poland Telecom Finance (U.S. Dollar) 12-01-07 14.00 222,500(d) 2,380,750 Polysindo Intl Finance (U.S. Dollar) Company Guaranty 06-15-06 11.375 1,495,000 822,250 07-30-07 9.375 700,000 385,000 Repap New Brunswick (U.S. Dollar) Sr Nts 07-15-00 9.875 1,200,000 1,227,000 04-15-05 10.625 3,250,000 3,201,249 Republic of Argentina (Argentine Peso) 07-10-02 8.75 1,000,000(d) 915,000 Rogers Cablesystems (U.S. Dollar) Sr Secured Nts 08-01-02 9.625 1,000,000 1,085,000 RSL Communications (U.S. Dollar) Company Guaranty 11-15-06 12.25 1,750,000 1,995,000 Satelites Mexicanos (U.S. Dollar) Sr Nts 11-01-04 10.125 2,000,000(d) 2,076,280 Stone Container (U.S. Dollar) Sr Nts 08-01-16 12.58 2,000,000 2,175,000 Stone Container Finance-Canada (U.S. Dollar) Company Guaranty 08-15-06 11.50 1,500,000(d) 1,580,625 Telewest Communication (U.S. Dollar) Debs 10-01-06 9.625 1,500,000 1,612,500 Tjiwi Kimia (U.S. Dollar) 08-01-04 10.00 3,000,000(d) 2,310,000 Tri Polyta Finance BV (U.S. Dollar) Company Guaranty 12-01-03 11.375 1,000,000 580,000 United Mexican States (U.S. Dollar) 05-15-26 11.50 500,000 611,563 Veninfotel (U.S. Dollar) Cv Pay-in-kind 03-01-02 10.00 1,000,000(d,h,j) 1,500,000 Veritas Holdings (U.S. Dollar) Sr Nts 12-15-03 9.625 1,591,000 1,708,336 Total 72,030,982 Furniture & appliances - 0.2% Lifestyle Furnishings Company Guaranty 08-01-06 10.875 1,000,000 1,122,500 Health care services - 2.9% La Petite Holdings Sr Nts 08-01-01 9.625 1,100,000 1,149,500 Magellan Health Services Sr Sub Nts 02-15-08 9.00 1,500,000(d) 1,522,500 Paracelsus Healthcare Sr Sub Nts 08-15-06 10.00 3,250,000 3,404,375 Tenet Healthcare Sr Nts 01-15-05 8.00 1,500,000 1,544,295 Sr Sub Nts 03-01-05 10.125 3,250,000 3,575,000 Vencor Sr Sub Nts 07-15-07 8.625 2,250,000 2,497,500 Total 13,693,170 Household products - 0.3% Revlon Worldwide Zero Coupon Sr Disc Nts Series B 03-15-01 10.59 2,000,000(e) 1,480,000 Industrial equipment & services - 1.9% Borg-Warner Security 03-15-07 9.625 1,900,000 1,973,625 Clark Materials Handling Company Guaranty 11-15-06 10.75 1,500,000 1,620,000 Motors & Gears Sr Nts 11-15-06 10.75 500,000 546,250 Sr Nts Series B 11-15-06 10.75 2,250,000 2,458,125 Specialty Equipment Sr Sub Nts 12-01-03 11.375 2,500,000 2,693,750 Total 9,291,750 Insurance - 0.3% Americo Life Sr Sub Nts 06-01-05 9.25 1,500,000 1,541,250 Leisure time & entertainment - 5.9% Affinity Group Holding Sr Nts 04-01-07 11.00 1,000,000 1,080,000 AMC Entertainment Sr Sub Nts 03-15-09 9.50 2,500,000 2,624,999 CLN Holdings Zero Coupon Company Guaranty 05-15-01 11.05 3,750,000(e) 2,732,812 Zero Coupon Sr Disc Nts 05-15-01 12.87 500,000(e) 340,000 Coast Hotels & Casino Company Guaranty Series B 12-15-02 13.00 1,900,000 2,189,750 Hammons (JQ) Hotels 1st Mtge 02-15-04 8.875 1,500,000 1,541,250 HMH Properties 07-15-07 8.875 700,000 744,625 Hollywood Theaters Sr Sub Nts 08-01-07 10.625 600,000(d) 654,000 Icon Fitness Zero Coupon Sr Disc Nts Series B 11-15-01 14.00 2,250,000(f) 1,319,063 IHF Holdings Zero Coupon Sr Disc Nts Series B 11-15-99 6.56 3,000,000(f) 2,580,000 Lodgenet Entertainment Sr Nts 12-15-06 10.25 2,000,000 2,070,000 Riviera Holdings Company Guaranty 08-15-04 10.00 1,250,000 1,287,500 Trump Atlantic City Assn/Funding Company Guaranty 05-01-06 11.25 2,550,000 2,642,437 Trump Holdings & Funding Sr Secured Nts 06-15-05 15.50 1,200,000 1,398,000 United Artists Theatres Series 1995A 07-01-15 9.30 1,688,213 1,738,860 Venetian Casino/LV Sands Mtge 11-15-04 12.25 1,525,000(d) 1,551,688 Sr Sub Nts 11-15-05 10.00 600,000(d,i) 567,000 Waterford Gaming/LLC Sr Nts 11-15-03 12.75 1,230,000 1,357,613 Total 28,419,597 Media - 8.5% Ackerly Communications Sr Secured Nts Series B 10-01-03 10.75 1,500,000 1,601,250 Adelphia Communications Sr Nts 02-01-08 8.375 4,500,000 4,499,999 Sr Nts Pay-in-kind Series B 02-15-04 9.50 356,875(h) 373,827 Benedek Communications Zero Coupon Sr Disc Nts 05-15-01 11.89 1,250,000(f) 987,500 Big Flower Press Sr Sub Nts 07-01-07 8.875 500,000 520,000 Big Flower Press Holdings Sr Sub Nts 07-01-07 8.875 500,000(d) 520,000 CBS 08-01-12 8.625 500,000 539,325 Sr Deb 06-01-22 8.875 750,000 820,470 Chancellor Media Sr Sub Nts 10-01-04 9.375 1,500,000 1,565,625 12-15-07 8.125 1,250,000(d) 1,268,750 EchoStar Satellite Broadcasting Zero Coupon Sr Disc Nts 03-15-00 12.66 2,150,000(f) 1,905,438 Garden State Newspapers Sr Sub Nts Series B 10-01-09 8.75 1,000,000 1,027,500 Jacor Communications Company Guaranty 12-15-06 9.75 2,250,000 2,475,000 James Cable Partners LP Sr Nts Series B 08-15-04 10.75 2,000,000 2,150,000 Marcus Cable Operating Zero Coupon Sr Disc Nts 08-01-99 5.44 2,600,000(f) 2,463,500 OpTel Sr Nts Series B 02-15-05 13.00 2,250,000 2,469,375 Outdoor Systems Company Guaranty 06-15-07 8.875 3,800,000 4,004,250 Paxson Communications Sr Sub Nts 10-01-02 11.625 1,750,000 1,907,500 Pegasus Communications Sr Nts 10-15-05 9.625 750,000(d) 783,750 Pegasus Media & Communications Series B 07-01-05 12.50 1,500,000 1,710,000 Price Communications Wireless Sr Sub Nts 07-15-07 11.75 2,500,000 2,756,250 Spanish Broadcasting Systems Zero Coupon Sr Nts 06-15-02 12.50 1,000,000 1,145,000 TransWestern Publishing/Capital Sr Sub Nts 11-15-07 9.625 500,000(d) 528,750 Viacom Sub Deb 07-07-06 8.00 2,500,000 2,556,250 Total 40,579,309 Metals - 1.7% Bar Technologies Company Guaranty 04-01-01 13.50 1,500,000(d) 1,646,250 EnviroSource Sr Nts 06-15-03 9.75 3,000,000 3,056,250 Maxxam Group Holdings Sr Nts Series B 08-01-03 12.00 1,000,000 1,105,000 Renco Steel Holdings Sr Nts 02-01-05 10.875 2,000,000 2,040,000 WCI Steel Sr Nts Series B 12-01-04 10.00 400,000 420,000 Total 8,267,500 Miscellaneous - 9.1% Adams Outdoor Advertising Sr Nts 03-15-06 10.75 2,000,000 2,225,000 Axiohm Transaction Solutions Sr Sub Nts 10-01-07 9.75 500,000(d) 510,000 Bistro Trust 12-31-02 9.50 1,000,000(d) 1,001,900 Booth Creek Ski Holdings Sr Nts Series B 03-15-07 12.50 1,343,000 1,373,218 BTI Telecommunications Sr Nts 09-15-07 10.50 1,100,000 1,193,500 Comforce Operating Sr Nts 12-01-07 12.00 900,000(d) 963,000 Concentric Network 12-15-07 12.75 600,000 690,000 Coty Sr Sub Nts 05-01-05 10.25 1,000,000 1,067,500 Crown Castle Intl Zero Coupon Sr Disc Nts 11-15-07 5.23 1,500,000(d,e) 1,001,250 DeepTech Intl Sr Nts 12-15-00 12.00 1,000,000 1,066,250 DTI Holdings 03-01-08 12.50 2,380,000(d) 1,297,100 ESI Tractebel Acquisitions 12-30-11 7.99 500,000 501,875 Grant Geophysical Sr Nts 02-15-08 9.75 725,000 721,375 Holt Group Sr Nts 01-15-06 9.75 640,000 651,200 Hyperion Telecommunications Sr Nts Series B 09-01-04 12.25 1,500,000 1,706,250 Imperial Holly Sr Sub Nts 12-15-07 9.75 850,000(d) 876,563 Isle of Capri/Capital 1st Mtge Series B 08-31-04 13.00 1,750,000 1,789,375 Knology Holdings Zero Coupon 10-15-02 11.87 100,000(d,f) 555,000 Magnaquench Pay-in-kind 12-30-06 12.00 1,000,000(d,h,i) 1,020,000 MSX Intl Sr Sub Nts 01-15-08 11.375 1,225,000 1,267,875 Nationwide Credit Sr Nts 01-15-08 10.25 1,000,000(d) 1,032,500 Norcal Waste Systems Company Guaranty Series B 11-15-05 13.50 2,475,000 2,880,280 Omnipoint Communications Sr Nts 02-17-06 8.875 1,500,000(d,i) 1,498,500 Outsourcing Solutions Sr Sub Nts Series B 11-01-06 11.00 2,575,000 2,838,938 Packard Bioscience Sr Sub Nts 03-01-07 9.375 500,000 487,500 Park-Ohio Inds Sr Sub Nts 12-01-07 9.25 1,500,000(d) 1,571,250 Resource America 08-01-04 12.00 1,000,000(d) 1,027,500 SC Intl 09-01-07 9.25 2,250,000 2,362,500 SFX Entertainment Sr Sub Nts 02-01-08 9.125 975,000 975,000 Sheffield Steel 1st Mtge 12-01-05 11.50 1,000,000(d) 1,042,500 Stellex Inds Sr Sub Nts 11-01-07 9.50 1,300,000(d) 1,335,750 Talton Holdings Company Guaranty 06-30-07 11.00 750,000(d) 826,875 Viasystems Sr Sub Nts 06-01-07 9.75 600,000 630,000 Wells Aluminum Sr Nts Series B 06-01-05 10.125 2,250,000 2,430,000 XCL05-01-04 13.50 1,000,000(d) 1,200,000 Total 43,617,324 Multi-industry conglomerates - 1.7% American Banknote 12-01-07 11.25 750,000 761,250 Communications & Power Inds Sr Sub Nts Series B 08-01-05 12.00 1,000,000 1,118,750 Jordan Inds Zero Coupon Sr Sub Debs Series B 04-01-02 11.75 1,608,386(f) 979,105 Pierce Leahy Sr Sub Nts 07-15-07 9.125 2,000,000 2,145,000 Prime Succession Sr Sub Nts 08-15-04 10.75 2,675,000 2,949,187 Total 7,953,292 Paper & packaging - 3.1% Bear Island LLC/Finance Sr Nts 12-01-07 10.00 1,550,000(d) 1,584,875 BPC Holding Sr Secured Nts Pay-in-kind Series B 06-15-06 12.50 1,600,000(h) 1,760,000 Bway Sr Sub Nts 04-15-07 10.25 500,000(d) 544,375 Gaylord Container Sr Nts 06-15-07 9.75 800,000 808,000 Sr Sub Nts 02-15-08 9.875 2,000,000(d) 1,955,000 Graham Packaging Capital Zero Coupon Sr Disc Nts 01-15-09 4.79 500,000(d,e) 312,500 Riverwood Intl Company Guaranty 04-01-06 10.25 3,250,000 3,363,750 08-01-07 10.625 500,000 530,000 Silgan Holdings 06-01-09 9.00 825,000 860,063 Tekni-Plex Sr Sub Nts 03-01-08 9.25 690,000 698,625 Warren (SD) Sr Sub Nts Series B 12-15-04 12.00 2,000,000 2,237,500 Total 14,654,688 Restaurants & lodging - 0.6% American Restaurant Group Sr Nts 02-15-03 11.50 1,000,000(d) 1,010,000 Prime Hospitality Sr Sub Nts Series B 04-01-07 9.75 1,550,000 1,681,750 Total 2,691,750 Retail - 2.6% Dairy Mart Convenience Stores Sr Sub Nts 03-15-04 10.25 2,500,000 2,481,250 Food 4 Less Sr Sub Debs Pay-in-kind 06-15-07 13.625 1,388,569(h) 1,687,111 Maxim Group Company Guaranty Series B 10-15-07 9.25 1,500,000 1,518,750 Pathmark Stores Sr Sub Nts 05-01-03 9.625 1,500,000 1,470,000 Sub Nts 06-15-02 11.625 3,500,000 3,395,000 Pueblo Xtra Intl Sr Nts 08-01-03 9.50 900,000 848,250 Sr Nts Series C 08-01-03 9.50 1,000,000 942,500 Total 12,342,861 Textiles & apparel - 1.3% Anvil Knitwear Sr Nts Series B 03-15-07 10.875 1,500,000 1,582,500 Galey & Lord Sr Sub Nts 03-01-08 9.125 1,000,000(d) 1,005,000 GFSI Sr Sub Nts Series B 03-01-07 9.625 1,000,000(d) 1,045,000 GFSI Holdings Zero Coupon Sr Disc Nts Series B 09-15-09 11.375 700,000 749,000 Hosiery Corp of America Sr Sub Nts 08-01-02 13.75 1,000,000 1,100,000 Pillowtex Sr Sub Nts 12-15-07 9.00 500,000(d) 523,750 Total 6,005,250 Transportation - 0.7% Global Ocean Carriers Sr Nts 07-15-07 10.25 2,500,000 2,287,500 Trico Marine Services Company Guaranty Series 14 08-01-05 8.50 1,000,000(d) 1,012,500 Total 3,300,000 Utilities -- electric - 0.5% AES Sr Sub Nts 11-01-07 8.50 1,280,000 1,321,600 Niagara Mohawk Power 1st Mtge 07-01-05 6.625 1,000,000 985,950 Total 2,307,550 Utilities -- gas - 0.4% Bellwether Exploration Sr Nts 04-01-07 10.875 1,000,000 1,080,000 Empire Gas Zero Coupon Sr Nts 07-15-04 7.00 1,000,000(i) 911,250 Total 1,991,250 Utilities -- telephone - 6.2% CCPR Services Company Guaranty 02-01-07 10.00 2,250,000 2,258,438 Geotek Communications Cv Sr Sub Nts 02-15-01 12.00 500,000(d) 350,000 Zero Coupon Sr Disc Nts Series B 07-15-00 11.82 1,250,000(f) 625,000 Intermedia Communications Sr Nts 11-01-07 8.875 1,475,000(d) 1,559,813 Zero Coupon Sr Disc Nts Series B 07-15-02 11.25 1,625,000(f) 1,190,313 ITC Deltacom Sr Nts 06-01-07 11.00 2,350,000 2,620,249 03-01-08 8.875 1,600,000(d) 1,608,000 Metrocall Sr Sub Nts 10-01-07 10.375 1,750,000 1,802,500 Omnipoint Sr Nts 08-15-06 11.625 2,750,000 3,018,124 Sr Nts Series A 08-15-06 11.625 1,000,000 1,097,500 Pagemart Nationwide Zero Coupon Sr Disc Nts 02-01-00 12.51 2,500,000(f) 2,175,000 Peoples Telephone Sr Nts 07-15-02 12.25 1,250,000 1,331,250 PriCellular Wireless Sr Disc Nts Series B 11-15-01 14.00 1,500,000 1,676,250 Zero Coupon Sr Disc Nts 10-01-98 12.25 1,000,000(f) 1,030,000 Primus Telecommunications Group Sr Nts 08-01-04 11.75 1,175,000 1,310,125 Pronet Sr Sub Nts 06-15-05 11.875 2,000,000 2,160,000 Qwest Communications Intl Zero Coupon Sr Disc Nts 02-01-08 4.10 3,000,000(d,e) 1,998,750 WorldCom Sr Nts 01-15-04 9.375 1,699,000 1,822,178 Total 29,633,490 Total bonds (Cost: $392,145,265) $402,642,694
Common stocks - 0.2% Issuer Shares Value(a) CORE Cap 22,223(d) $444,459 Global TeleSystems Group 5,900(b) 216,088 HarCor Energy 20,000(b) 27,500 Imperial Credit Commercial Mtge Investment 7,800 119,925 Nextel Communications Cl A 2,323(b) 68,674 OpTel 2,250(b,d) 23 Total common stocks (Cost: $908,531) $876,669 Preferred stocks & other - 8.7% Issuer Shares Value(a) 21st Century Telecom Group 400(g) $419,000 13.75% Pay-in-kind Allegiance Telecom 2,400 1,284,000 Warrants American Radio Systems 10,528(g) 1,263,360 11.375% Pay-in-kind Series B American Restaurant Group 500(g) 507,500 12.00% Pay-in-kind Asia Pulp & Paper 4,075 3,117,374 12.00% Australis Holdings 1,760 18 Warrants Benedek Communications 8,000(h) 1,096,000 15.00% Pay-in-kind Cablevision Systems 48,022(h) 5,534,535 11.125% Pay-in-kind Series M California Federal Bank 16,000 1,814,000 11.50% Communications & Power Inds 26,780(g) 2,905,630 14.00% Pay-in-kind Series B CORE Cap 22,223(d) 564,242 10.00% Cv Series A/I EchoStar Communications 1,287(h) 1,422,135 12.125% Pay-in-kind Series B Fairfield Mfg 1,300(h) 1,423,500 11.25% Pay-in-kind Geotek Communications 40,000 40,000 Warrants Globalstar Telecommunications 1,500(d) 161,250 Warrants Hyperion Telecommunications 517(g) 585,503 12.875% Pay-in-kind Series B Intermedia Communications 13,720(h) 1,680,700 13.50% Pay-in-kind Series B Iridium World Communications 1,700 272,000 Warrants IXC Communications 531(g) 610,650 12.50% Pay-in-kind Series B KMC Telecomm Holdings 1,500 836,250 Warrants Liberty Group Publishing 35,000 910,000 14.75% Martin Media 15,000(d) 1,500,000 14.00% MetroNet Communications 750 1,875 Warrants Nebco Evans Holding 15,000(h) 1,500,000 11.25% Pay-in-kind Nextel Communications 1,000(g) 1,030,000 11.125% Pay-in-kind NTL 532(d,g) 627,760 13.00% Pay-in-kind Series B Paxson Communications 22,730(h) 2,329,825 12.50% Pay-in-kind Pegasus Communications 7,450(h) 864,200 12.75% Pay-in-kind 12.75% Pay-in-kind Series A 79(g) 88,875 Price Communications 4,472 44,720 Warrants Primus Telecommunications 1,175 32,900 Warrants RSL Communications 1,250 112,500 Warrants SFX Broadcasting 2,657(g) 314,855 12.625% Pay-in-kind Series E SGW Holding 10,602(d,g) 181,400 12.50% Pay-in-kind Series B 12.75% Cv Series A 9,677(d) 99,996 Warrants 250(d) 78,900 Sinclair Capital 20,000 2,190,000 11.625% Time Warner 1,025 1,164,656 10.25% Series M Unifi Communications 1,000 15,000 Warrants Unisite 500(d,k) -- Warrants Unisite CI C 540(d) 250,090 Vialog 2,075 124,500 Warrants Warren (SD) 49,500 2,450,250 14.00% Series B Total preferred stocks & other (Cost: $39,783,434) $41,449,949
Short-term securities - 6.2% Issuer Maturity Annualized Amount Value(a) date yield on payable at date of maturity purchase U.S. government agencies - 3.7% Federal Home Loan Bank Disc Nt 03-18-98 5.41% $2,100,000 $2,094,341 Federal Home Loan Mtge Corp Disc Nts 03-12-98 5.42 1,900,000 1,896,577 03-20-98 5.44 6,400,000 6,380,693 03-24-98 5.43 6,200,000 6,177,680 Federal Natl Mtge Assn Disc Nt 03-18-98 5.43 1,200,000 1,196,754 Total 17,746,045 Commercial paper - 2.5% Cargill 03-05-98 5.52 1,700,000 1,698,699 Delaware Funding 03-17-98 5.52 2,000,000(l) 1,994,805 Fleet Funding 04-17-98 5.57 1,600,000(l) 1,588,203 Paccar Financial 03-23-98 5.51 1,100,000 1,096,143 UBS Finance (Delaware) 03-02-98 5.68 4,100,000 4,098,706 Xerox Credit 04-09-98 5.52 1,500,000 1,490,850 Total 11,967,406 Total short-term securities (Cost: $29,713,451) $29,713,451 Total investments in securities (Cost: $462,550,681)(m) $474,682,763 See accompanying notes to investments in securities.
Notes to investments in securities (a) Securities are valued by procedures described in Note 1 to the financial statements. (b) Non-income producing. For long-term debt securities, item identified is in default as to payment of interest and/or principal. (c) Foreign security values are stated in U.S. dollars. For debt securities, principal amounts are denominated in the currency indicated. (d) Represents a security sold under Rule 144A, which is exempt from registration under the Securities Act of 1933, as amended. This security has been determined to be liquid under guidelines established by the board. (e) For zero coupon bonds, the interest rate disclosed represents the annualized effective yield on the date of acquisition. (f) For those zero coupon bonds that become coupon paying at a future date, the interest rate disclosed represents the annualized effective yield from the date of acquisition to interest reset date disclosed. (g) Pay-in-kind securities are securities in which the issuer has the option to make interest payments in cash or in additional securities. The securities issued as interest usually have the same terms, including maturity date, as the pay-in-kind securities. (h) Pay-in-kind securities are securities in which the issuer makes interest payments in additional securities. These securities usually have the same terms as the original holdings. (i) Interest rate varies either based on a predetermined schedule or to reflect current market conditions; rate shown is the effective rate on Feb. 28, 1998. (j) Identifies issues considered to be illiquid as to their marketability (see Note 1 to the financial statements). Information concerning such security holdings at Feb. 28, 1998, is as follows: Security Acquisition Purchase date cost Gemini* 13.50% 2001 12-23-96 $1,500,000 Veninfotel* 10.00% Cv Pay-in-Kind 2002 03-05-97 1,000,000 *Represents a security sold under Rule 144A, which is exempt from registration under the Securities Act of 1933, as amended. (k) Negligible market value. (l) Commercial paper sold within terms of a private placement memorandum, exempt from registration under Section 4(2) of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other "accredited investors." This security has been determined to be liquid under guidelines established by the board. (m) At Feb. 28, 1998, the cost of securities for federal income tax purposes was approximately $461,988,000 and the approximate aggregate gross unrealized appreciation and depreciation based on that cost was: Unrealized appreciation......................................$20,120,000 Unrealized depreciation.......................................(7,425,000) Net unrealized appreciation..................................$12,695,000 AMERICAN EXPRESS Financial Advisors Retirement Annuity Mutual Funds IDS Tower 10 Minneapolis, MN 55440-0010 -----END PRIVACY-ENHANCED MESSAGE-----