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The Funds may invest in derivatives as permitted by guidelines established by the Board of Trustees.
Compliance with these guidelines is monitored by Fund staff. At times, the Funds invest in foreign currency
forward contracts, options, futures, collateralized mortgage obligations, mortgage backed securities, interest only
securities, and principal only securities. No derivatives were purchased with borrowed funds.
Derivatives are used to hedge against foreign currency risk, improve yield, adjust the duration of the fixed
income portfolio, or hedge against changes in interest rates. These securities are subject to changes in value due to
changes in interest rates or currency valuations. The mortgage backed securities are subject to prepayment risk
when interest rates are falling. Credit risk for derivatives held by the Funds result from the same considerations as
other counterparty risk assumed by the Funds, which is the risk that the counterparty will be unable to meet its
obligations.
The Funds invest in foreign currency forward contracts to hedge the currency risk in its international and
global portfolios. The following summary shows the foreign currency forward contracts outstanding as of June 30,
1996 (amounts expressed in thousands).
|
Purchases
|
|
|
|
Currency
|
Purchase Amount
(In Local Currency)
|
Market Value
as of June 30, 1996
|
|
Australian dollars..........................................................................................................................................
|
47,182
|
$ 37,045
|
|
Belgian francs................................................................................................................................................
|
427,467
|
13,704
|
|
Canadian dollars............................................................................................................................................
|
29,487
|
21,629
|
|
Danish krones....................... .........................................................................................................................
|
311,131
|
53,190
|
|
Deutsche marks.............................................................................................................................................
|
315,635
|
208,172
|
|
European currency.......................................................................................................................................
|
406
|
506
|
|
French francs.................................................................................................................................................
|
268,233
|
52,227
|
|
Indonesian rupish...................................... ....................................................................................................
|
16,365,000
|
7,031
|
|
Italian lire.......................................................................................................................................................
|
95,566,311
|
61,996
|
|
Japanese yen..................................................................................................................................................
|
34,237,149
|
314,488
|
|
Malaysian ringgit ...........................................................................................................................................
|
27,019
|
10,828
|
|
Netherlands guilders.....................................................................................................................................
|
13,699
|
8,061
|
|
New Zealand dollars.....................................................................................................................................
|
10,406
|
7,109
|
|
Norwegian krones.........................................................................................................................................
|
51,687
|
7,960
|
|
Pound sterling............................................................................................ ....................................................
|
91,575
|
142,235
|
|
Singapore dollar............................................................................................................................................
|
17,219
|
12,200
|
|
Spanish pesatas .............................................................................................................................................
|
5,818,730
|
45,309
|
|
Swedish kronor....................................................................... ......................................................................
|
126,376
|
19,037
|
|
Swiss francs...................................................................................................................................................
|
85,064
|
68,314
|
|
Thai baht.................................................................................
|
94,170
|
3,707
|
|
U.S. dollare.....................................................................................................................................?
|
2,087,149
|
2,087,149
|
|
Total purchases.....................................................................................................................................
|
|
$3,181,897
|
|
Sale's
|
|
|
|
Currency
|
Sale Amount
(In Local Currency)
|
Market Value
as of June 30, 1996
|
|
Australian dollars..........................................................................................................................................
|
68,858
|
$ 53,963
|
|
Austrian schilling...........................................................................................................................................
|
8,250
|
775
|
|
Belgian francs................................................................................................................................................
|
1,628,818
|
52,408
|
|
Canadian dollars............................................................................................................................................
|
58,320
|
42,798
|
|
Danish krones................................................................................................................................................
|
458,776
|
78,408
|
|
Deutsche marks.............................................................................................................................................
|
593,191
|
391,275
|
|
European currency.......................................................................................................................................
|
4,172
|
5,208
|
|
French francs.................................................................................................................................................
|
792,419
|
154,342
|
|
Italian lire.......................................................................................................................................................
|
127,139,791
|
82,543
|
|
Japanese yen..................................................................................................................................................
|
58,099,319
|
534,514
|
|
Netherlands guilders.....................................................................................................................................
|
474,882
|
279,231
|
|
New Zealand dollars.....................................................................................................................................
|
4,511
|
3,071
|
|
Norwegian krones.......... ................................................................................................... ............................
|
23,711
|
3,654
|
|
Pound sterling................. ...............................................................................................................................
|
110,115
|
171,029
|
|
Spanish pesatas. ............................................................................................................................................
|
5,786,723
|
45,029
|
|
Swedish kronor.............................................................................................................................................
|
276,137
|
41,598
|
|
Swiss francs...................................................................................................................................................
|
169,025
|
135,563
|
|
U.S. dollars.........................................................
|
1,096,410
|
1,096,410
|
|
Total sales...............................................................................................................................................
|
|
$3,171,819
|
50
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