N-Q

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number: 811-05028

PIMCO Funds

(Exact name of registrant as specified in charter)

840 Newport Center Drive, Newport Beach, CA 92660

(Address of principal executive offices)

John P. Hardaway

Treasurer and Principal Financial Officer

PIMCO Funds

840 Newport Center Drive

Newport Beach, CA 92660

(Name and address of agent for service)

Copies to:

Brendan C. Fox

Dechert LLP

1775 I Street, N.W.

Washington, D.C. 20006

Registrant’s telephone number, including area code: (866) 746-2606

Date of fiscal year end: March 31

Date of reporting period: December 31, 2007

Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5(§§ 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-Q unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to the Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.

Item1. Schedule of Investments

PIMCO Fund Name
All Asset All Authority Fund	Low Duration Fund III
All Asset Fund	Moderate Duration Fund
California Intermediate Municipal Bond Fund	Money Market Fund
California Short Duration Municipal Income Fund	Mortgage-Backed Securities Fund
CommodityRealReturn Strategy Fund®	Municipal Bond Fund
Convertible Fund	New York Municipal Bond Fund
Developing Local Markets Fund	Real Return Asset Fund
Diversified Income Fund	Real Return Fund
Emerging Local Bond Fund	RealEstateRealReturn Strategy Fund
Emerging Markets Bond Fund	Short Duration Municipal Income Fund
European StocksPLUS® TR Strategy Fund	Short-Term Fund
Extended Duration Fund	Small Cap StocksPLUS® TR Fund
Far East (ex-Japan) StocksPLUS® TR Strategy Fund	StocksPLUS® Fund
Floating Income Fund	StocksPLUS® Long Duration Fund
Foreign Bond Fund (Unhedged)	StocksPLUS® Total Return Fund
Foreign Bond Fund (U.S. Dollar-Hedged)	StocksPLUS® TR Short Strategy Fund
Fundamental IndexPLUSTM Fund	Total Return Fund
Fundamental IndexPLUSTM TR Fund	Total Return Fund II
Global Bond Fund (Unhedged)	Total Return Fund III
Global Bond Fund (U.S. Dollar-Hedged)	Asset-Backed Securities Portfolio
GNMA Fund	Developing Local Markets Portfolio
High Yield Fund	Emerging Markets Portfolio
High Yield Municipal Bond Fund	High Yield Portfolio
Income Fund	International Portfolio
International StocksPLUS® TR Strategy Fund (Unhedged)	Investment Grade Corporate Portfolio
International StocksPLUS® TR Strategy Fund (U.S. Dollar-Hedged)	Mortgage Portfolio
Investment Grade Corporate Bond Fund	Municipal Sector Portfolio
Japanese StocksPLUS® TR Strategy Fund	Real Return Portfolio
Long Duration Total Return Fund	Short-Term Portfolio
Long-Term U.S. Government Fund	Short-Term II Portfolio
Low Duration Fund	U.S. Government Sector Portfolio
Low Duration Fund II

Schedule of Investments

All Asset All Authority Fund

December 31, 2007 (Unaudited)

	Shares		Value (000s)
PIMCO FUNDS (a)(b) 115.1%
CommodityRealReturn Strategy Fund®		1,953,261	$	31,701
Convertible Fund		2,156,557		30,106
Developing Local Markets Fund		4,364,531		46,089
Diversified Income Fund		4,686,409		50,893
Emerging Local Bond Fund		3,840,472		37,637
Emerging Markets Bond Fund		4,236,581		45,247
European StocksPLUS® TR Strategy Fund		717,299		7,761
Far East (ex-Japan) StocksPLUS® TR Strategy Fund		1,480,376		18,934
Floating Income Fund		7,342,871		72,254
Foreign Bond Fund (Unhedged)		2,416,628		25,399
Fundamental IndexPLUSTM Fund		2,465,903		26,188
Fundamental IndexPLUSTM TR Fund		1,887,556		19,423
Global Bond Fund (Unhedged)		25,371		258
GNMA Fund		58		1
High Yield Fund		4,183,622		39,912
Income Fund		1,820,927		18,355
Japanese StocksPLUS® TR Strategy Fund		1,608,867		18,904
Long-Term U.S. Government Fund		2,114,156		23,319
Low Duration Fund		1,459,238		14,753
Mortage-Backed Securities Fund		17,683		191
Real Return Asset Fund		5,411,112		62,390
Real Return Fund		4,931,936		54,054
RealEstateRealReturn Strategy Fund		1,025,793		5,765
Short-Term Fund		64		1
Small Cap StocksPLUS® TR Strategy Fund		217,387		2,161
StocksPLUS® Fund		134,679		1,523
StocksPLUS® Total Return Fund		147,444		1,625
StocksPLUS® TR Short Strategy Fund		18,786,698		156,117
Total Return Fund		174,363		1,864
Total PIMCO Funds (Cost $813,115)				812,825
	Principal Amount (000s)
SHORT-TERM INSTRUMENTS 0.2%
REPURCHASE AGREEMENTS 0.2%
State Street Bank and Trust Co.
3.900% due 01/02/2008	$	1,653		1,653
(Dated 12/31/2007. Collateralized by Federal Home Loan Bank 3.625% due 01/15/2008 valued at $1,687. Repurchase proceeds are $1,653.)
Total Short-Term Instruments (Cost $1,653)				1,653
Total Investments 115.3% (Cost $814,768)			$	814,478
Other Assets and Liabilities (Net) (15.3%)				(108,325	)
Net Assets 100.0%			$	706,153

Notes to Schedule of Investments:

(a) The All Asset All Authority Fund is investing in shares of affiliated Funds.

(b) Institutional Class Shares of each PIMCO Fund.

See accompanying notes

Schedule of Investments

All Asset Fund

December 31, 2007 (Unaudited)

	Shares	Value (000s)
PIMCO FUNDS (a)(b) 100.1%
CommodityRealReturn Strategy Fund®	29,783,202	$	483,381
Convertible Fund	30,266,071		422,514
Developing Local Markets Fund	104,587,104		1,104,440
Diversified Income Fund	56,309,965		611,526
Emerging Local Bond Fund	97,350,247		954,031
Emerging Markets Bond Fund	55,334,385		590,971
Floating Income Fund	289,894,177		2,852,559
Foreign Bond Fund (Unhedged)	20,633,880		216,862
Fundamental IndexPLUS™ Fund	35,684,843		378,973
Fundamental IndexPLUS™ TR Fund	37,166,075		382,439
Global Bond Fund (Unhedged)	15,436,462		156,989
GNMA Fund	10,802,038		120,875
High Yield Fund	58,836,784		561,303
Income Fund	12,741,438		128,434
International StocksPLUS® TR Strategy Fund (Unhedged)	6,336,472		64,885
International StocksPLUS® TR Strategy Fund (U.S. Dollar-Hedged)	36,544,786		440,730
Long-Term U.S. Government Fund	22,190,142		244,757
Low Duration Fund	94,373,948		954,121
Mortage-Backed Securities Fund	18,968,658		204,862
Real Return Asset Fund	109,825,722		1,266,291
Real Return Fund	63,339,856		694,205
RealEstateRealReturn Strategy Fund	18,001,917		101,171
Short-Term Fund	12,329,839		121,819
Small Cap StocksPLUS® TR Strategy Fund	1,331,666		13,237
StocksPLUS® Fund	1,264,622		14,303
StocksPLUS® Total Return Fund	6,361,034		70,099
Total Return Fund	48,309,859		516,432
Total PIMCO Funds (Cost $13,598,562)			13,672,209
Total Investments 100.1% (Cost $13,598,562)		$	13,672,209
Other Assets and Liabilities (Net) (0.1%)			(8,252	)
Net Assets 100.0%		$	13,663,957

Notes to Schedule of Investments:

(a) The All Asset Fund is investing in shares of affiliated Funds.

(b) Institutional Class Shares of each PIMCO Fund.

See accompanying notes

Schedule of Investments

California Intermediate Municipal Bond Fund

December 31, 2007 (Unaudited)

	Principal Amount (000s)		Value (000s)
MUNICIPAL BONDS & NOTES 96.9%
California 80.9%
Alameda, California Business Park Assessment Revenue Bonds, Series 1998
5.500% due 09/02/2012	$	1,180	$	1,205
Anaheim, California Public Financing Authority Revenue Bonds, (FSA Insured), Series 1997
0.000% due 09/01/2022		2,000		1,005
Antioch, California Public Financing Authority Revenue Notes, Series 1998
5.500% due 09/02/2008		465		471
Burbank, California Community Facilities District Special Tax Notes, Series 2006
4.000% due 12/01/2009		100		99
California State Association of Bay Area Governments Financing Authority for Non-Profit Corporations Revenue Bonds, (California Mortgage Insured), Series 2001
5.250% due 04/01/2026		2,000		2,063
California State Association of Bay Area Governments Financing Authority for Non-Profit Corporations Revenue Bonds, Series 2003
5.200% due 11/15/2022		2,000		2,071
California State Department of Water Resources Revenue Bonds, Series 1997
5.000% due 12/01/2022		60		61
California State Educational Facilities Authority Revenue Bonds, (MBIA Insured), Series 2001
0.000% due 10/01/2014		500		386
California State Educational Facilities Authority Revenue Notes, Series 2005
5.000% due 10/01/2012		540		574
5.000% due 10/01/2013		570		610
California State Educational Facilities Authority Revenue Notes, Series 2006
5.000% due 11/01/2014		750		798
California State Encinitas Union School District General Obligation Bonds, (MBIA Insured), Series 1996
0.000% due 08/01/2018		1,500		954
California State for Precious Veterans General Obligation Bonds, Series 2000
5.700% due 12/01/2032		160		161
California State Health Facilities Financing Authority Revenue Notes, (California Mortgage Insured), Series 2000
5.000% due 09/01/2010		350		360
California State Health Facilities Financing Authority Revenue Notes, Series 2005
5.000% due 07/01/2010		500		514
California State Housing Finance Agency Revenue Bonds, (AMBAC FHA Insured), Series 1996
5.950% due 02/01/2011		35		35
California State Housing Finance Agency Revenue Notes, (FGIC Insured), Series 2006
4.500% due 08/01/2012		1,400		1,421
California State Mobilehome Park Financing Authority Revenue Bonds, Series 2006
5.500% due 12/15/2041		165		148
California State Mountain House Public Financing Authority Revenue Bonds, Series 2007
5.000% due 12/01/2015		640		687
California State Pollution Control Financing Authority Revenue Bonds, (FGIC Insured), Series 2004
4.750% due 12/01/2023		3,000		2,967
California State Pollution Control Financing Authority Revenue Bonds, Series 2002
5.000% due 01/01/2022		2,000		1,920
California State Public Works Board Lease Revenue Bonds, Series 2005
5.000% due 04/01/2017		2,000		2,149
California State Public Works Board Lease Revenue Notes, (FGIC Insured), Series 2006
5.000% due 10/01/2016		2,500		2,729
California State Sierra Kings Health Care District Revenue Bonds, Series 2006
6.000% due 12/01/2036		540		485
California State Tobacco Securitization Agency Revenue Bonds, Series 2002
6.125% due 06/01/2043		1,000		999
California State Tobacco Securitization Agency Revenue Bonds, Series 2006
0.000% due 06/01/2028 (b)		4,500		3,497
California Statewide Communities Development Authority Revenue Bonds, (California Mortgage Insured), Series 2001
5.000% due 10/01/2018		2,000		2,058
California Statewide Communities Development Authority Revenue Bonds, (XLCA Insured), Series 2006
4.100% due 04/01/2028		1,000		1,012
California Statewide Communities Development Authority Revenue Bonds, Series 1998
5.100% due 05/15/2025		2,000		2,033
5.250% due 05/15/2025		1,000		1,017
California Statewide Communities Development Authority Revenue Bonds, Series 2002
5.500% due 08/15/2034		1,000		1,029
6.750% due 07/01/2032 (c)		1,300		1,370
California Statewide Communities Development Authority Revenue Bonds, Series 2006
4.875% due 11/15/2036		400		355
California Statewide Communities Development Authority Revenue Bonds, Series 2007
5.125% due 07/15/2031		600		525
5.150% due 07/01/2030		650		579
California Statewide Communities Development Authority Revenue Notes, Series 2005
5.000% due 07/01/2013		850		895
California Statewide Communities Development Authority Revenue Bonds, Series 2007
5.500% due 11/01/2038		500		477
California Statewide Financing Authority Revenue Notes, Series 2002
4.600% due 05/01/2012		1,030		1,031
Campbell, California Redevelopment Agency Tax Allocation Notes, Series 2002
4.700% due 10/01/2011		505		517
Capistrano, California Unified School District Special Tax Bonds, Series 1999
5.700% due 09/01/2020		1,500		1,594
Capistrano, California Unified School District Special Tax Bonds, Series 2003
5.250% due 09/01/2016		700		695
5.375% due 09/01/2017		800		791
Chula Vista, California Special Tax Bonds, Series 2000
6.350% due 09/01/2017		230		239
6.400% due 09/01/2018		120		125
Contra Costa County, California Public Financing Authority Tax Allocation Bonds, Series 2003
5.625% due 08/01/2033		2,000		2,200
Corona, California Community Facilities District Special Tax Bonds, Series 1998
5.875% due 09/01/2023		1,000		1,004
Desert Sands, California Unified School District General Obligation Notes, (AMBAC Insured), Series 2006
0.000% due 06/01/2014		3,000		2,360
El Monte, California School District General Obligation Notes, (FGIC Insured), Series 2005
0.000% due 05/01/2012		1,555		1,323
El Monte, California School District General Obligation Notes, (FGIC Insured), Series 2006
0.000% due 06/01/2013		1,195		971
Golden State, California Tobacco Securitization Corporations Revenue Bonds, Series 2003
5.000% due 06/01/2021		535		539
6.250% due 06/01/2033		2,000		2,195
Golden State, California Tobacco Securitization Corporations Revenue Bonds, Series 2007
5.125% due 06/01/2047		2,650		2,228
Highland, California Redevelopment Agency Tax Allocation Bonds, (AMBAC Insured), Series 2007
4.750% due 12/01/2032		2,000		1,991
Inland Empire, California Tobacco Securitization Authority Revenue Bonds, Series 2007
4.625% due 06/01/2021		1,000		954
Long Beach, California Bond Finance Authority Revenue Bonds, Series 2007
5.000% due 11/15/2029		1,000		951
5.250% due 11/15/2018		1,000		1,030
Los Altos, California School District General Obligation Bonds, Series 2001
5.000% due 08/01/2016		200		213
Los Angeles, California Department of Airports Revenue Notes, (MBIA Insured), Series 2006
5.000% due 05/15/2016		1,000		1,068
Los Angeles, California Unified School District General Obligation Bonds, (FSA Insured), Series 2003
5.000% due 07/01/2016		2,285		2,476
Los Angeles, California Unified School District General Obligation Bonds, (MBIA Insured), Series 1999
4.750% due 07/01/2010		30		31
Lucia Mar, California Unified School District General Obligation Bonds, (FSA Insured), Series 2002
5.000% due 08/01/2022		1,215		1,279
Modesto, California Irrigation District Certificates of Participation Notes, (AMBAC Insured), Series 2006
5.000% due 10/01/2015		3,545		3,875
Modesto, California Wastewater Revenue Bonds, (FSA Insured), Series 2005
5.000% due 11/01/2015		1,270		1,403
Moreno Valley, California Unified School District General Obligation Bonds, (MBIA Insured), Series 2007
0.000% due 08/01/2023		1,000		479
Morgan Hill, California Unified School District General Obligation Notes, (AMBAC Insured), Series 2006
0.000% due 08/01/2016		500		355
Murrieta Valley, California Unified School District Public Financing Authority Special Tax Bonds, (Assured Guarantee Insured), Series 2006
4.750% due 09/01/2036		2,100		2,106
Orange County, California Community Facilities District Special Tax Bonds, Series 2000
5.600% due 08/15/2011		455		462
5.700% due 08/15/2012		485		493
5.800% due 08/15/2013		600		611
Orange County, California Local Transportation Authority Revenue Bonds, (AMBAC-TCRS Insured), Series 1992
6.200% due 02/14/2011		3,250		3,494
Poway, California Unified School District Special Tax Bonds, Series 2005
5.125% due 09/01/2028		500		471
Redding, California Redevelopment Agency Tax Allocation Bonds, Series 2006
5.000% due 09/01/2036		1,250		1,191
Rio Vista, California Community Facilities District Special Tax Notes, Series 2006
4.000% due 09/01/2009		170		168
Riverbank Redevelopment Agency of California State Tax Allocation Bonds, Series 2007
4.100% due 08/01/2013		255		252
Sacramento, California County Sanitation District Revenue Bonds, (FGIC Insured), Series 2006
5.000% due 12/01/2017		1,000		1,084
Sacramento, California Municipal Utility District Revenue Bonds, Series 1983
9.000% due 04/01/2013		675		774
San Diego County, California Certificates of Participation Notes, Series 2006
5.000% due 09/01/2013		1,340		1,344
San Fernando, California Redevelopment Agency Tax Allocation Bonds, Series 2006
4.500% due 09/15/2017		1,425		1,412
San Francisco, California City & County Airport Commission Revenue Bonds, (FSA Insured), Series 1998
5.500% due 05/01/2015		300		305
San Francisco, California City & County Unified School District General Obligation Notes, (FSA Insured), Series 2005
5.000% due 06/15/2015		1,100		1,197
San Joaquin, California Delta Community College District General Obligation Notes, (AMBAC Insured), Series 2006
0.000% due 08/01/2014		2,000		1,558
San Jose, California Multi-Family Housing Revenue Bonds, Series 1999
4.950% due 06/01/2039		930		943
San Jose, California Redevelopment Agency Tax Allocation Bonds, (MBIA Insured), Series 1993
6.000% due 08/01/2010		195		209
San Jose, California Redevelopment Agency Tax Allocation Bonds, (MBIA Insured), Series 2002
5.000% due 08/01/2022		2,000		2,117
San Jose, California Redevelopment Agency Tax Allocation Bonds, (MBIA Insured), Series 2005
5.000% due 08/01/2017		1,000		1,061
San Luin Obispo County, California Financing Authority Revenue Bonds, (MBIA Insured), Series 2007
5.000% due 09/01/2018		750		822
San Pablo, California Redevelopment Agency Revenue Bonds, Series 1979
8.000% due 10/01/2011		70		75
San Ramon Valley, California Unified School District General Obligation Bonds, (FGIC Insured), Series 1998
0.000% due 07/01/2018		6,500		4,105
Sonoma County, California Junior College District General Obligation Bonds, (MBIA Insured), Series 2007
5.000% due 08/01/2018		1,250		1,380
Turlock, California Certificates of Participation Bonds, Series 2007
5.000% due 10/15/2010		360		364
University of California Regents Medical Center Revenue Bonds, (MBIA Insured), Series 2007
4.750% due 05/15/2031		1,000		1,002
University of California Revenue Bonds, (FSA Insured), Series 2005
5.000% due 05/15/2016		3,240		3,499
				106,135
Louisiana 0.7%
Louisiana State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2001
5.875% due 05/15/2039		1,000		964
Montana 0.4%
Hardin, Montana Tax Increment Infrastructure Development Tax Allocation Bonds, Series 2006
0.000% due 09/01/2031 (b)		830		500
New Jersey 0.2%
New Jersey State Economic Development Authority Revenue Bonds, Series 1998
6.800% due 04/01/2018		240		258
New York 0.8%
New York City, New York Industrial Development Agency Revenue Bonds, Series 2005
5.500% due 01/01/2016		1,000		1,066
Puerto Rico 10.3%
Commonwealth of Puerto Rico General Obligation Bonds, (Assured Guarantee Insured), Series 2006
5.231% due 07/01/2020		1,000		997
Commonwealth of Puerto Rico General Obligation Bonds, Series 2006
5.000% due 07/01/2035		500		524
Commonwealth of Puerto Rico Government Development Bank Revenue Notes, Series 2006
5.000% due 12/01/2014		2,500		2,599
Commonwealth of Puerto Rico Highway & Transportation Authority Revenue Bonds, Series 2007
5.500% due 07/01/2021		2,500		2,647
Commonwealth of Puerto Rico Infrastructure Financing Authority Revenue Bonds, (AMBAC Insured), Series 1998
5.250% due 07/01/2010		150		153
Commonwealth of Puerto Rico Public Buildings Authority Revenue Bonds, (Commonwealth Insured), Series 2004
5.000% due 07/01/2028		2,150		2,204
Commonwealth of Puerto Rico Public Finance Corporations Revenue Bonds, Series 2004
5.750% due 08/01/2027		3,250		3,396
Puerto Rico Children's Trust Fund Revenue Notes, Series 2002
5.000% due 05/15/2009		1,000		1,010
				13,530
Texas 0.3%
Arlington, Texas Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 2000
6.270% due 02/15/2024		250		255
Houston, Texas Apartment System Revenue Bonds, Series 1997
6.125% due 07/15/2017		100		99
				354
Virgin Islands 3.3%
Virgin Islands Public Finance Authority Revenue Bonds, Series 1998
5.500% due 10/01/2008		3,000		3,039
Virgin Islands Public Finance Authority Revenue Bonds, Series 2003
6.125% due 07/01/2022		1,250		1,275
				4,314
Total Municipal Bonds & Notes (Cost $126,035)				127,121
SHORT-TERM INSTRUMENTS 2.2%
Repurchase Agreements 2.1%
State Street Bank and Trust Co.
3.900% due 01/02/2008		2,768		2,768
(Dated 12/31/2007. Collateralized by Fannie Mae 6.000% due 05/15/2008 valued at $2,827. Repurchase proceeds are $2,769.)
U.S. Treasury Bills 0.1%
3.010% due 03/13/2008 (a)		130		129
Total Short-Term Instruments (Cost $2,897)				2,897
Total Investments 99.1% (Cost $128,932)			$	130,018
Other Assets and Liabilities (Net) 0.9%				1,212
Net Assets 100.0%			$	131,230

Notes to Schedule of Investments:

(a) Coupon represents a weighted average rate.

(b) Security becomes interest bearing at a future date.

(c) Restricted securities as of December 31, 2007:

Issuer Description	Coupon		Maturity Date	Acquisition Date	Cost		Market Value		Market Value as Percentage of Net Assets
California Statewide Communities Development Authority Revenue Bonds, Series 2002	6.750	%	07/01/2032	02/07/2002	$	1,300	$	1,370	1.04	%

See accompanying notes

Schedule of Investments

California Short Duration Municipal Income Fund

December 31, 2007 (Unaudited)

	Principal Amount (000s)		Value (000s)
MUNICIPAL BONDS & NOTES 89.8%
California 89.3%
Alameda County, California Certificates of Participation Bonds, (AMBAC Insured), Series 2007
5.000% due 12/01/2017	$	495	$	543
Brentwood Union School District, California General Obligation Bonds, (FGIC Insured), Series 2007
5.250% due 08/01/2017		110		123
Brentwood Union School District, California General Obligation Notes, (FGIC Insured), Series 2007
5.250% due 08/01/2016		135		151
California State Association of Bay Area Governments Financing Authority for Non-Profit Corporations Certificates of Participation Bonds, (AMBAC Insured), Series 1993
3.300% due 08/01/2023		1,000		1,000
California State Bay Area Toll Authority Revenue Bonds, (AMBAC Insured), Series 2001
3.220% due 04/01/2036		100		100
California State Department of Water Resources Revenue Bonds, (AMBAC Insured), Series 2002
3.350% due 05/01/2022		100		100
California State Department of Water Resources Revenue Bonds, (FSA Insured), Series 2002
3.280% due 05/01/2022		100		100
California State Department of Water Resources Revenue Bonds, (FSA Insured), Series 2005
3.280% due 05/01/2016		400		400
California State Department of Water Resources Revenue Notes, Series 2005
3.350% due 05/01/2011		100		100
California State Economic Recovery Revenue Bonds, (XLCA-ST-GTD Insured), Series 2004
3.100% due 07/01/2023		110		110
California State Educational Facilities Authority Revenue Bonds, Series 1995
3.200% due 10/01/2015 (a)		500		500
California State Health Facilities Financing Authority Revenue Bonds, (MBIA Insured), Series 1998
3.330% due 09/01/2028		500		500
California State Health Facilities Financing Authority Revenue Bonds, Series 2004
3.300% due 07/01/2033		500		500
3.350% due 07/01/2033		100		100
California State Housing Finance Agency Revenue Bonds, (FSA Insured), Series 2000
3.100% due 08/01/2015		100		100
California State Infrastructure & Economic Development Bank Revenue Bonds, Series 2001
3.300% due 11/15/2037		500		500
California State Infrastructure & Economic Development Bank Revenue Bonds, Series 2007
3.350% due 04/01/2033		500		500
California State Public Works Board Lease Revenue Bonds, (FGIC Insured), Series 2006
5.250% due 10/01/2017		380		423
California State Revenue Bonds, (ST GTD Insured), Series 2004
3.250% due 07/01/2023		610		610
California Statewide Communities Development Authority Revenue Bonds, Series 2007
5.150% due 07/01/2030		100		89
California Statewide Communities Development Authority Revenue Notes, (MBIA Insured), Series 2005
5.000% due 05/01/2015		150		163
East Bay, California Municipal Utility District Water System Revenue Bonds, (XLCA Insured), Series 2005
3.280% due 06/01/2038		500		500
Fresno, California Revenue Bonds, Series 2000
3.350% due 12/01/2030		150		150
Golden State, California Tobacco Securitization Corporations Revenue Bonds, (FGIC-TCRS Insured), Series 2003
5.625% due 06/01/2038		100		111
Golden State, California Tobacco Securitization Corporations Revenue Bonds, Series 2003
5.500% due 06/01/2043		1,000		1,100
6.250% due 06/01/2033		500		549
6.750% due 06/01/2039		710		821
Golden State, California Tobacco Securitization Corporations Revenue Bonds, Series 2007
5.125% due 06/01/2047		200		168
Hesperia, California Unified School District Certificates of Participation Bonds, (FSA Insured), Series 2004
3.350% due 02/01/2028		250		250
Lincoln, California Unified School District Special Tax Notes, (AMBAC Insured), Series 2006
5.000% due 09/01/2015		185		202
Los Angeles, California Department of Water & Power Revenue Bonds, Series 2001
3.280% due 07/01/2034		500		500
Metropolitan Water District of Southern California State Revenue Bonds, Series 2001
3.370% due 07/01/2036		900		900
Metropolitan Water District of Southern California State Revenue Bonds, Series 2004
3.310% due 07/01/2023		150		150
Orange County, California Sanitation District, Certificates of Participation Bonds, Series 2000
3.280% due 08/01/2030		795		795
Pasadena, California Certificates of Participation Bonds, (AMBAC Insured), Series 2003
3.280% due 02/01/2033		500		500
Pittsburg, California Redevelopment Agency Tax Allocation Bonds, (MBIA Insured), Series 2002
5.250% due 08/01/2013		100		109
Pleasanton, California Unified School District General Obligation Bonds, (MBIA Insured), Series 2004
5.000% due 08/01/2015		150		164
Rio Vista, California Community Facilities District Special Tax Notes, Series 2006
4.000% due 09/01/2009		100		99
Riverbank Redevelopment Agency of California State Tax Allocation Bonds, Series 2007
4.000% due 08/01/2012		145		143
Roseville, California Natural Gas Finance Authority Revenue Notes, Series 2007
5.000% due 02/15/2012		100		103
San Francisco County, California General Obligation Bonds, (MBIA Insured), Series 2005
3.280% due 06/15/2030		250		250
San Luin Obispo County, California Financing Authority Revenue Bonds, (MBIA Insured), Series 2007
5.000% due 09/01/2018		250		274
Santa Ana, California Certificates of Participation Bonds, (AMBAC Insured), Series 2003
5.000% due 06/01/2015		195		208
Santa Clara County, California Financing Authority Revenue Bonds, Series 1994
3.240% due 11/15/2025		500		500
Santa Clara Valley, California Water District Certificate Participation Notes, Series 2007
5.000% due 02/01/2016		150		164
Santa Monica, California Community College District General Obligation Notes, (FGIC Insured), Series 2007
0.000% due 08/01/2013		225		182
Sunnyvale, California Certificates of Participation Bonds, (AMBAC Insured), Series 2001
3.300% due 04/01/2031		500		500
Turlock, California Certificates of Participation Bonds, Series 2007
5.000% due 10/15/2008		355		357
Upland, California Sate Public Financing Authority Revenue Bonds, (AMBAC Insured), Series 2002
4.600% due 10/01/2016		100		105
Westminister, California Certificates of Participation Bonds, (AMBAC Insured), Series 1998
3.350% due 06/01/2022		90		90
				16,656
Delaware 0.5%
Delaware State Economic Development Authority Revenue Bonds, Series 1985
3.400% due 12/01/2015		100		100
Total Municipal Bonds & Notes				16,756
(Cost $16,774)
SHORT-TERM INSTRUMENTS 9.7%
Repurchase Agreements 9.7%
State Street Bank and Trust Co.
3.900% due 01/02/2008		1,801		1,801
(Dated 12/31/2007. Collateralized by Federal Home Loan Bank 3.625% due 01/15/2008 valued at $1,840. Repurchase proceeds are $1,801.)
Total Short-Term Instruments (Cost $1,801)				1,801
Total Investments 99.5%			$	18,557
(Cost $18,575)
Other Assets and Liabilities (Net) 0.5%				85
Net Assets 100.0%			$	18,642

Notes to Schedule of Investments:

(a) Restricted securities as of December 31, 2007:

Issuer Description	Coupon		Maturity Date	Acquisition Date	Cost		Market Value		Market Value as Percentage of Net Assets
California State Educational Facilities Authority Revenue Bonds, Series 1995	3.200	%	10/01/2015	08/10/2007	$	500	$	500	2.68	%

See accompanying notes

Consolidated Schedule of Investments

CommodityRealReturn Strategy Fund^®

December 31, 2007 (Unaudited)

		Principal Amount (000s)		Value (000s)
BANK LOAN OBLIGATIONS 1.0%
Daimler Finance North America LLC
9.000% due 08/03/2012	$	59,800	$	57,653
Georgia-Pacific Corp.
6.580% due 12/20/2012		855		816
6.831% due 12/20/2012		1,047		1,000
6.896% due 12/20/2012		8,905		8,499
HCA, Inc.
7.080% due 11/16/2013		19,751		19,059
Shackleton Re Ltd.
12.875% due 08/01/2008		5,000		4,975
13.000% due 08/01/2008		3,000		2,985
SLM Corp.
7.000% due 06/30/2008		16,000		15,942
Tribune Co.
7.396% due 05/30/2009		7,000		6,774
Total Bank Loan Obligations (Cost $118,299)				117,703
CORPORATE BONDS & NOTES 8.2%
Banking & Finance 6.2%
Allstate Life Global Funding Trusts CPI Linked Bond
3.810% due 03/01/2010		7,000		6,736
American Express Bank FSB
6.000% due 09/13/2017		23,900		24,077
American Express Centurion Bank
5.250% due 05/07/2008		7,000		6,994
6.000% due 09/13/2017		24,800		24,984
American International Group, Inc.
5.850% due 01/16/2018		22,500		22,690
Atlantic & Western Re Ltd.
11.481% due 01/09/2009		15,000		15,157
Bank of America Corp.
4.875% due 11/06/2009		9,600		9,571
Bank of Scotland PLC
5.254% due 07/17/2009		4,600		4,595
Barclays Bank PLC
6.050% due 12/04/2017		41,300		41,692
7.434% due 09/29/2049		8,500		8,848
Bear Stearns Cos., Inc.
6.950% due 08/10/2012		26,500		27,274
C5 Capital SPV Ltd.
6.196% due 12/31/2049		5,000		4,950
C10 Capital SPV Ltd.
6.722% due 12/31/2049		1,000		923
Calabash Re II Ltd.
13.391% due 01/08/2010		4,900		5,060
14.591% due 01/08/2010		2,500		2,676
15.891% due 01/08/2010		2,400		2,516
Caterpillar Financial Services Corp.
4.965% due 05/18/2009		2,400		2,394
CIT Group, Inc.
5.000% due 11/24/2008		24,000		23,759
Citigroup Capital XXI
8.300% due 12/21/2057		15,100		15,812
Citigroup Funding, Inc.
4.896% due 04/23/2009		5,000		4,971
Citigroup, Inc.
4.872% due 12/28/2009		49,400		48,523
5.024% due 01/30/2009		4,600		4,563
Danske Bank A/S
5.914% due 12/29/2049		3,000		2,842
East Lane Re Ltd.
11.911% due 05/06/2011		4,300		4,321
Export-Import Bank of Korea
5.460% due 10/04/2011		15,200		15,222
Ford Motor Credit Co. LLC
7.250% due 10/25/2011		15,825		13,718
7.800% due 06/01/2012		1,000		877
7.875% due 06/15/2010		5,400		4,985
8.000% due 12/15/2016		200		170
Foundation Re I Ltd.
9.005% due 11/24/2008		4,500		4,415
Foundation Re II Ltd.
11.655% due 11/26/2010		10,500		10,885
General Electric Capital Corp.
5.065% due 10/24/2008		8,800		8,786
5.095% due 10/26/2009		10,700		10,678
5.172% due 12/12/2008		10,200		10,198
5.280% due 10/21/2010		4,500		4,501
Goldman Sachs Group, Inc.
6.750% due 10/01/2037		63,000		61,921
HSBC Finance Corp.
4.982% due 05/21/2008		400		400
5.240% due 10/21/2009		600		597
Kamp Re 2005 Ltd.
4.419% due 12/14/2010		4,217		3
Lehman Brothers Holdings, Inc.
4.934% due 12/23/2008		5,500		5,408
Longpoint Re Ltd.
10.241% due 05/08/2010		11,900		12,215
Merna Reinsurance Ltd.
5.480% due 07/07/2010 (k)		27,000		26,462
Merrill Lynch & Co., Inc.
5.191% due 10/23/2008		26,300		25,951
6.400% due 08/28/2017		24,100		24,528
Morgan Stanley
4.972% due 11/21/2008		3,100		3,078
5.420% due 01/22/2009		3,000		2,968
Mystic Re Ltd.
11.381% due 12/05/2008		6,600		6,680
14.081% due 12/05/2008		1,000		1,018
Osiris Capital PLC
10.242% due 01/15/2010		1,700		1,721
Phoenix Quake Wind I Ltd.
7.680% due 07/03/2008		2,000		2,002
Phoenix Quake Wind II Ltd.
8.730% due 07/03/2008		240		234
Rabobank Nederland
5.262% due 01/15/2009		9,200		9,190
Redwood Capital IX Ltd.
7.643% due 01/09/2008		2,400		2,399
11.993% due 01/09/2008		4,300		4,295
12.993% due 01/09/2008		300		300
Residential Reinsurance 2007 Ltd.
12.374% due 06/07/2010		14,100		14,557
15.374% due 06/07/2010		12,400		12,927
Rockies Express Pipeline LLC
5.776% due 08/20/2009		11,600		11,609
Royal Bank of Scotland Group PLC
5.230% due 07/21/2008		4,000		3,999
Santander Perpetual S.A. Unipersonal
6.671% due 10/29/2049		7,300		7,333
Santander U.S. Debt S.A. Unipersonal
4.970% due 09/19/2008		4,900		4,884
Shackleton Re Ltd.
12.960% due 02/07/2008		5,500		5,521
Travelers Property Casualty Corp.
3.750% due 03/15/2008		100		100
UBS AG
5.875% due 12/20/2017		13,700		13,822
Unicredit Luxembourg Finance S.A.
5.142% due 10/24/2008		20,000		19,965
Vita Capital II Ltd.
6.131% due 01/01/2010		3,500		3,455
6.631% due 01/01/2010		5,500		5,470
Vita Capital III Ltd.
6.331% due 01/01/2011		300		296
6.351% due 01/01/2012		8,000		7,882
VTB Capital S.A.
5.494% due 08/01/2008		19,000		18,834
Wachovia Bank N.A.
5.194% due 12/02/2010		27,200		27,007
World Savings Bank FSB
5.249% due 03/02/2009		2,700		2,709
				752,103
Industrials 0.9%
C8 Capital SPV Ltd.
6.640% due 12/29/2049		6,500		6,180
Caesars Entertainment, Inc.
8.875% due 09/15/2008		9,800		10,183
CSC Holdings, Inc.
7.250% due 07/15/2008		1,400		1,405
EchoStar DBS Corp.
5.750% due 10/01/2008		7,800		7,810
6.375% due 10/01/2011		8,000		7,924
El Paso Corp.
6.375% due 02/01/2009		5,600		5,656
HCA, Inc.
9.250% due 11/15/2016		5,000		5,262
Kraft Foods, Inc.
6.000% due 02/11/2013		11,350		11,682
6.125% due 02/01/2018		13,000		13,124
Mandalay Resort Group
6.500% due 07/31/2009		2,000		2,010
9.500% due 08/01/2008		1,100		1,128
Service Corp. International
6.500% due 03/15/2008		3,455		3,468
Valero Energy Corp.
6.625% due 06/15/2037		10,000		10,103
Williams Cos., Inc.
6.375% due 10/01/2010		20,000		20,325
				106,260
Utilities 1.1%
BellSouth Corp.
4.240% due 04/26/2021		59,500		59,293
Cleveland Electric Illuminating Co.
6.860% due 10/01/2008		100		101
Dominion Resources, Inc.
5.050% due 11/14/2008		1,800		1,797
Embarq Corp.
7.082% due 06/01/2016		4,200		4,335
Enel Finance International S.A.
5.700% due 01/15/2013		57,000		57,934
Midwest Generation LLC
8.300% due 07/02/2009		10,109		10,260
Mobile Telesystems Finance S.A.
9.750% due 01/30/2008		4,711		4,712
Qwest Capital Funding, Inc.
6.375% due 07/15/2008		1,500		1,500
Qwest Corp.
5.625% due 11/15/2008		1,000		1,000
				140,932
Total Corporate Bonds & Notes (Cost $997,921)				999,295
CONVERTIBLE BONDS & NOTES 0.4%
Chesapeake Energy Corp.
2.500% due 05/15/2037		44,950		50,176
Total Convertible Bonds & Notes (Cost $45,406)				50,176
MUNICIPAL BONDS & NOTES 0.5%
Badger, Wisconsin Tobacco Asset Securitization Corporations Revenue Bonds, Series 2002
6.375% due 06/01/2032		1,200		1,235
California State Tobacco Securitization Agency Revenue Bonds, Series 2002
5.625% due 06/01/2023		1,275		1,276
Chicago, Illinois General Obligation Bonds, (FSA Insured), Series 2006
6.728% due 01/01/2014		1,270		1,318
6.809% due 01/01/2014		730		752
Golden State, California Tobacco Securitization Corporations Revenue Bonds, Series 2007
5.125% due 06/01/2047		700		589
5.750% due 06/01/2047		1,900		1,774
Louisiana State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2001
5.875% due 05/15/2039		1,140		1,100
New Jersey State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2007
5.000% due 06/01/2041		1,200		998
New York City, New York Municipal Water Finance Authority Revenue Bonds, Series 2007
5.000% due 06/15/2038		8,000		8,317
New York City, New York Municipal Water Finance Authority Revenue Notes, Series 2006
6.869% due 12/15/2013		1,270		1,302
Ohio State Buckeye Tobacco Settlement Financing Authority Revenue Bonds, Series 2007
5.875% due 06/01/2030		2,100		2,043
5.875% due 06/01/2047		16,000		15,281
6.000% due 06/01/2042		300		294
Puerto Rico Sales Tax Financing Corp. Revenue Bonds, (AMBAC Insured), Series 2007
0.000% due 08/01/2054		42,500		3,769
Rhode Island State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2002
6.125% due 06/01/2032		1,200		1,201
South Carolina State Tobacco Settlement Revenue Management Authority Revenue Bonds, Series 2001
6.375% due 05/15/2028		1,000		1,011
Washington State Tobacco Settlement Authority Revenue Bonds, Series 2002
6.500% due 06/01/2026		3,095		3,223
West Virginia State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2007
7.467% due 06/01/2047		11,000		10,578
Total Municipal Bonds & Notes (Cost $54,660)				56,061
COMMODITY INDEX-LINKED NOTES 28.6%
Dow Jones-AIG Commodity Index 4.6%
American International Group, Inc.
4.931% due 03/20/2008		114,000		142,638
Morgan Stanley
4.765% due 02/06/2008 (k)		150,000		220,675
Svensk ExportKredit AB
4.830% due 11/25/2008 (k)		150,000		161,755
Swiss Re Treasury US Corp.
0.000% due 01/07/2009		29,000		31,685
				556,753
Dow Jones-AIG Commodity Index Total Return 23.5%
ABN AMRO Bank NV
5.058% due 03/07/2008		106,800		144,127
Barclays Bank PLC
4.930% due 09/24/2008		235,000		324,587
Calyon Financial, Inc.
5.024% due 08/16/2008		97,000		119,389
Commonwealth Bank of Australia
4.831% due 09/30/2008		122,000		174,311
Credit Suisse NY
5.255% due 01/14/2008 (k)		94,700		144,678
Eksportfinans ASA
4.692% due 06/18/2008		196,500		235,580
JPMorgan & Co., Inc.
0.000% due 02/27/2008		100,000		143,051
Landesbank Baden-Wurttemberg
4.904% due 11/25/2008		231,500		249,645
Lehman Brothers Treasury Co. BV
4.744% due 05/15/2008		100,000		120,013
Merrill Lynch & Co., Inc.
5.360% due 03/24/2008		98,000		132,081
5.360% due 05/30/2008		50,000		60,020
Natixis Financial Products, Inc.
4.696% due 05/09/2008		86,000		106,471
4.881% due 05/30/2008		75,000		89,877
Rabobank Nederland
4.480% due 07/22/2008 (k)		200,000		253,612
Svensk ExportKredit AB
4.979% due 05/19/2008		88,000		104,857
TD NY LLC
5.014% due 01/17/2008		217,000		342,069
UBS AG
5.410% due 03/12/2008		81,000		113,532
				2,857,900
Goldman Sachs Commodity Index Total Return 0.5%
Goldman Sachs Group, Inc.
4.831% due 12/01/2008		50,000		57,231
Total Commodity Index-Linked Notes (Cost $2,671,500)				3,471,884
U.S. GOVERNMENT AGENCIES 35.7%
Fannie Mae
4.641% due 04/01/2035		581		583
4.653% due 05/01/2035		1,154		1,146
4.995% due 03/25/2036		2,805		2,797
5.000% due 07/01/2035 - 11/01/2037		39,935		38,988
5.500% due 07/01/2033 - 01/01/2038		2,494,188		2,491,756
5.500% due 06/01/2037 (f)		140,255		140,119
5.950% due 02/25/2044		9,203		9,269
6.000% due 06/01/2031 - 01/01/2038		585,974		595,177
6.063% due 07/01/2044 - 10/01/2044		3,436		3,450
6.064% due 09/01/2044		2,075		2,086
Freddie Mac
5.000% due 01/15/2018 - 06/01/2037		14,960		15,064
5.258% due 02/15/2019		108,754		108,220
5.428% due 11/15/2016 - 03/15/2017		3,099		3,110
5.500% due 05/15/2016 - 02/01/2038		109,764		109,631
6.000% due 07/01/2032 - 11/01/2037		759,472		770,951
Ginnie Mae
5.500% due 04/15/2037 - 08/15/2037 (f)		18,631		18,771
5.500% due 05/15/2037 - 01/01/2038		18,126		18,259
Total U.S. Government Agencies (Cost $4,283,322)				4,329,377
U.S. TREASURY OBLIGATIONS 99.9%
Treasury Inflation Protected Securities (b)
0.875% due 04/15/2010		2,057,766		2,051,498
1.625% due 01/15/2015		213,389		214,306
1.875% due 07/15/2013		702,496		724,120
1.875% due 07/15/2015		809,707		825,585
2.000% due 04/15/2012		221,878		230,025
2.000% due 01/15/2014		523,594		540,980
2.000% due 07/15/2014		792,734		819,303
2.000% due 01/15/2016		343,267		352,385
2.000% due 01/15/2026		350,730		349,415
2.375% due 01/15/2017		110,799		116,954
2.375% due 01/15/2025		1,215,815		1,276,797
2.375% due 01/15/2027		166,953		176,605
2.500% due 07/15/2016		342,751		365,619
2.625% due 07/15/2017		165,520		178,646
3.000% due 07/15/2012		642,178		695,710
3.375% due 01/15/2012		5,589		6,098
3.375% due 04/15/2032		58,128		74,467
3.500% due 01/15/2011		280,105		301,332
3.625% due 04/15/2028		834,957		1,058,047
3.875% due 01/15/2009		100,593		103,595
3.875% due 04/15/2029		664,791		879,810
4.250% due 01/15/2010		433,628		462,831
U.S. Treasury Notes
4.625% due 02/29/2012		306,600		321,834
Total U.S. Treasury Obligations (Cost $12,009,728)				12,125,962
MORTGAGE-BACKED SECURITIES 2.4%
American Home Mortgage Investment Trust
5.015% due 09/25/2035		665		665
Bear Stearns Adjustable Rate Mortgage Trust
4.125% due 03/25/2035		37,302		36,871
4.550% due 08/25/2035		20,402		20,095
4.876% due 01/25/2035		9,384		9,383
Citigroup Commercial Mortgage Trust
5.098% due 08/15/2021		2,244		2,172
Citigroup Mortgage Loan Trust, Inc.
4.098% due 08/25/2035		1,598		1,561
4.248% due 08/25/2035		9,527		9,341
4.748% due 08/25/2035		9,926		9,793
4.900% due 12/25/2035		2,199		2,171
Commercial Mortgage Pass-Through Certificates
6.455% due 05/15/2032		5,681		5,698
Countrywide Alternative Loan Trust
5.029% due 09/20/2046		4,123		4,111
5.045% due 05/25/2047		6,147		5,805
5.129% due 02/20/2047		14,288		13,490
5.145% due 12/25/2035		958		930
Countrywide Home Loan Mortgage Pass-Through Trust
5.205% due 06/25/2035		6,926		6,779
Deutsche ALT-A Securities, Inc. Alternate Loan Trust
4.883% due 10/25/2036		7,608		7,591
4.945% due 02/25/2037		1,245		1,221
Greenpoint Mortgage Funding Trust
4.945% due 10/25/2046		6,083		5,958
GSR Mortgage Loan Trust
4.539% due 09/25/2035		22,717		22,548
Harborview Mortgage Loan Trust
5.055% due 01/19/2038		3,557		3,515
5.185% due 05/19/2035		2,652		2,510
Impac Secured Assets CMN Owner Trust
4.945% due 01/25/2037		3,140		3,082
Indymac Index Mortgage Loan Trust
4.955% due 11/25/2046		7,802		7,609
Residential Accredit Loans, Inc.
5.165% due 08/25/2035		3,617		3,418
Securitized Asset Sales, Inc.
7.511% due 11/26/2023		101		101
Structured Asset Mortgage Investments, Inc.
4.935% due 08/25/2036		4,864		4,841
Structured Asset Securities Corp.
4.915% due 05/25/2036		599		583
5.331% due 10/25/2035		6,068		6,013
TBW Mortgage-Backed Pass-Through Certificates
4.965% due 09/25/2036		913		903
Thornburg Mortgage Securities Trust
4.975% due 03/25/2046		1,112		1,108
4.975% due 11/25/2046		1,564		1,529
4.985% due 09/25/2046		21,674		21,196
Wachovia Bank Commercial Mortgage Trust
5.118% due 09/15/2021		41,348		40,725
Washington Mutual, Inc.
5.598% due 12/25/2046		3,708		3,492
5.883% due 07/25/2046		16,299		15,570
5.988% due 11/25/2042		914		886
6.288% due 11/25/2046		2,923		2,884
Wells Fargo Mortgage-Backed Securities Trust
3.541% due 09/25/2034		5,386		5,304
4.109% due 06/25/2035		3,938		3,923
Total Mortgage-Backed Securities (Cost $298,799)				295,375
ASSET-BACKED SECURITIES 1.5%
Aames Mortgage Investment Trust
4.925% due 04/25/2036		140		140
ACE Securities Corp.
4.915% due 07/25/2036		3,512		3,453
Argent Securities, Inc.
4.915% due 10/25/2036		7,581		7,442
Asset-Backed Funding Certificates
4.925% due 11/25/2036		1,451		1,406
5.215% due 06/25/2034		8,571		8,260
Asset-Backed Securities Corp. Home Equity
4.915% due 11/25/2036		1,124		1,108
Bank One Issuance Trust
5.138% due 12/15/2010		1,700		1,701
Bear Stearns Asset-Backed Securities Trust
4.915% due 11/25/2036		1,115		1,094
4.945% due 10/25/2036		1,368		1,352
5.195% due 01/25/2036		1,105		1,084
5.315% due 03/25/2043		166		165
Chase Issuance Trust
5.038% due 12/15/2010		3,960		3,960
Citigroup Mortgage Loan Trust, Inc.
4.915% due 11/25/2036		2,268		2,251
Countrywide Asset-Backed Certificates
4.895% due 01/25/2046		8,271		8,166
4.915% due 01/25/2037		4,508		4,451
4.915% due 03/25/2037		5,169		5,045
4.925% due 09/25/2046		2,922		2,890
4.975% due 10/25/2046		7,365		7,206
First Franklin Mortgage Loan Asset-Backed Certificates
4.915% due 11/25/2036		18,144		17,410
Fremont Home Loan Trust
4.915% due 10/25/2036		1,377		1,360
4.925% due 01/25/2037		1,349		1,315
5.035% due 01/25/2036		933		931
GSAMP Trust
4.905% due 10/25/2046		2,528		2,474
4.935% due 10/25/2036		610		574
GSR Mortgage Loan Trust
4.965% due 11/25/2030		140		139
HSI Asset Securitization Corp. Trust
4.915% due 10/25/2036		1,812		1,730
Indymac Residential Asset-Backed Trust
4.915% due 11/25/2036		2,524		2,492
JPMorgan Mortgage Acquisition Corp.
4.905% due 08/25/2036		1,361		1,339
4.915% due 07/25/2036		2,903		2,851
4.915% due 08/25/2036		7,929		7,794
4.935% due 11/25/2036		1,991		1,956
5.075% due 06/25/2035		48		48
Lehman XS Trust
4.945% due 07/25/2046		4,348		4,312
4.945% due 11/25/2046		8,900		8,524
Long Beach Mortgage Loan Trust
4.895% due 06/25/2036		260		259
4.905% due 11/25/2036		1,371		1,348
MASTR Asset-Backed Securities Trust
4.925% due 10/25/2036		199		197
MBNA Credit Card Master Note Trust
5.128% due 12/15/2011		1,300		1,298
MBNA Master Credit Card Trust
5.388% due 09/15/2010		2,000		2,001
Merrill Lynch Mortgage Investors, Inc.
4.915% due 05/25/2037		5,382		5,308
4.925% due 04/25/2037		505		500
4.935% due 07/25/2037		5,256		5,109
Morgan Stanley ABS Capital I
4.895% due 06/25/2036		312		307
4.905% due 06/25/2036		672		663
4.905% due 10/25/2036		5,288		5,216
4.915% due 09/25/2036		4,637		4,517
Morgan Stanley IXIS Real Estate Capital Trust
4.915% due 11/25/2036		1,242		1,209
Option One Mortgage Loan Trust
4.905% due 02/25/2037		712		689
4.915% due 07/25/2036		484		480
Park Place Securities, Inc.
5.125% due 09/25/2035		443		434
Residential Asset Mortgage Products, Inc.
4.935% due 11/25/2036		1,792		1,761
Residential Asset Securities Corp.
4.935% due 04/25/2036		197		197
4.935% due 11/25/2036		14,756		14,413
Securitized Asset-Backed Receivables LLC Trust
4.915% due 09/25/2036		1,998		1,937
Soundview Home Equity Loan Trust
4.915% due 10/25/2036		5,512		5,407
4.925% due 11/25/2036		3,936		3,889
4.965% due 10/25/2036		1,653		1,630
Specialty Underwriting & Residential Finance
4.895% due 06/25/2037		674		664
4.910% due 11/25/2037		848		830
Structured Asset Investment Loan Trust
4.915% due 07/25/2036		834		799
Structured Asset Securities Corp.
4.915% due 10/25/2036		8,853		8,698
WFS Financial Owner Trust
3.590% due 10/19/2009		1,306		1,304
Total Asset-Backed Securities (Cost $191,628)				187,487
FOREIGN CURRENCY-DENOMINATED ISSUES 4.2%
Brazil Notas do Tesouro Nacional Series B
6.000% due 08/15/2010	BRL	5,511		5,066
Brazilian Government International CPI Linked Bond
10.000% due 01/01/2012		41,600		21,295
Canadian Government Bond
3.000% due 12/01/2036 (b)	CAD	21,946		27,593
Credit Logement S.A.
5.080% due 06/23/2015	EUR	1,400		2,001
France Government Bond
3.000% due 07/25/2012 (b)		11,247		17,232
3.150% due 07/25/2032 (b)		1,103		1,889
General Electric Capital Corp.
5.500% due 09/15/2067		34,400		48,837
6.500% due 09/15/2067	GBP	9,400		18,906
Green Valley Ltd.
8.376% due 01/10/2011	EUR	5,400		7,911
Italy Buoni Poliennali Del Tesoro
2.150% due 09/15/2014 (b)		4,381		6,443
2.350% due 09/15/2035 (b)		10,749		15,203
4.250% due 10/15/2012		3,000		4,383
Japanese Government CPI Linked Bond
0.800% due 12/10/2015	JPY	5,511,960		48,830
1.100% due 12/10/2016		10,659,330		96,000
1.200% due 06/10/2017		9,063,000		81,812
Pylon Ltd.
6.224% due 12/29/2008	EUR	3,700		5,405
8.841% due 12/29/2008		4,300		6,348
Republic of Germany
5.625% due 01/04/2028		8,400		13,858
Royal Bank of Scotland Group PLC
7.092% due 10/29/2049		5,200		7,573
Svenska Handelsbanken AB
4.910% due 03/16/2015		2,900		4,167
Sweden Government CPI Linked Bond
3.500% due 12/01/2015	SEK	12,000		2,409
United Kingdom Gilt Inflation Linked Bond
2.500% due 05/20/2009	GBP	12,000		63,277
Total Foreign Currency-Denominated Issues (Cost $477,820)				506,438
		Shares
PREFERRED STOCKS 0.0%
Fresenius Medical Care Capital Trust II
7.875% due 02/01/2008		2,700		2,707
Total Preferred Stocks (Cost $2,775)				2,707
		Principal Amount (000s)
SHORT-TERM INSTRUMENTS 12.3%
Certificates of Deposit 1.2%
Abbey National Treasury Services PLC
5.175% due 07/02/2008	$	91,300		91,329
Calyon Financial, Inc.
5.204% due 01/16/2009		11,300		11,284
Fortis Bank NY
4.745% due 04/28/2008		7,200		7,198
4.790% due 06/30/2008		900		899
Nordea Bank Finland PLC
4.788% due 03/31/2008		3,600		3,599
5.188% due 12/01/2008		5,500		5,495
Skandinaviska Enskilda Banken AB
4.611% due 02/04/2008		7,700		7,702
Unicredito Italiano NY
5.358% due 05/06/2008		13,200		13,192
				140,698
Commercial Paper 4.2%
Abbey National Treasury Services PLC
4.250% due 01/07/2008		3,900		3,898
4.680% due 02/01/2008		22,400		22,313
ABN AMRO N.A. Finance
4.700% due 02/01/2008		22,400		22,312
ANZ National International Ltd.
4.700% due 02/01/2008		5,400		5,379
5.100% due 01/22/2008		19,800		19,744
Bank of Scotland PLC
5.050% due 01/28/2008		13,000		12,953
Barclays U.S. Funding Corp.
4.810% due 01/25/2008		1,500		1,495
4.820% due 02/06/2008		2,900		2,887
5.110% due 01/17/2008		17,600		17,563
Caisse d’Amortissement de la Dette Sociale
4.730% due 02/01/2008		22,400		22,312
Calyon Financial, Inc.
5.010% due 01/18/2008		20,500		20,454
CBA (de) Finance
4.920% due 03/17/2008		21,500		21,285
Danske Corp.
4.740% due 02/08/2008		22,300		22,191
DnB NORBank ASA
4.930% due 03/04/2008		8,900		8,827
5.050% due 01/25/2008		3,900		3,888
Freddie Mac
3.000% due 01/02/2008		23,800		23,796
General Electric Capital Corp.
3.750% due 01/02/2008		71,900		71,900
Intesa Funding LLC
5.010% due 01/22/2008		20,500		20,443
Rabobank Financial Co.
3.980% due 01/02/2008		1,800		1,800
4.430% due 01/04/2008		24,200		24,194
Royal Bank of Scotland Group PLC
4.720% due 02/29/2008		2,200		2,183
4.730% due 02/08/2008		3,200		3,184
4.740% due 01/28/2008		20,900		20,828
5.000% due 01/18/2008		800		798
5.080% due 01/18/2008		9,700		9,678
Skandinaviska Enskilda Banken AB
4.720% due 02/01/2008		2,000		1,992
4.980% due 01/18/2008		19,000		18,958
5.050% due 01/25/2008		4,200		4,186
Swedbank AB
4.730% due 02/01/2008		2,100		2,092
4.800% due 02/05/2008		900		896
5.015% due 01/24/2008		3,000		2,991
5.130% due 01/18/2008		18,700		18,657
UBS Finance Delaware LLC
4.000% due 01/02/2008		5,400		5,400
4.690% due 01/28/2008		20,900		20,829
Unicredito Italiano SpA
4.940% due 03/17/2008		17,800		17,622
5.140% due 01/18/2008		3,500		3,492
Westpac Banking Corp.
4.670% due 02/01/2008		3,500		3,486
Westpac Trust Securities NZ Ltd.
4.810% due 01/25/2008		1,900		1,894
5.100% due 01/15/2008		17,800		17,767
				506,567
Repurchase Agreements 4.7%
Fixed Income Clearing Corp.
1.750% due 01/02/2008		185,500		185,500
(Dated 12/31/2007. Collateralized by Fannie Mae 6.375% due 06/15/2009 valued at $145,600 and Freddie Mac 5.000% - 5.400% due 06/11/2009 - 07/16/2009 valued at $43,612. Repurchase proceeds are $185,518.)
2.250% due 01/02/2008		11,000		11,000
(Dated 12/31/2007. Collateralized by Freddie Mac 5.000% due 01/16/2009 valued at $11,221. Repurchase proceeds are $11,001.)
3.900% due 01/02/2008		54,497		54,497
(Dated 12/31/2007. Collateralized by Fannie Mae 0.000% due 01/15/2008 valued at $55,590. Repurchase proceeds are $54,509.)
Lehman Brothers, Inc.
1.000% due 01/02/2008		244,000		244,000
(Dated 12/31/2007. Collateralized by U.S. Treasury Inflation Protected Securities 2.375% due 01/15/2025 valued at $248,673. Repurchase proceeds are $244,014.)
State Street Bank and Trust Co.
3.900% due 01/02/2008		79,567		79,567
(Dated 12/31/2007. Collateralized by U.S. Treasury Bonds 6.125% due 11/15/2027 valued at $81,159. Repurchase proceeds are $79,584.)
				574,564
U.S. Treasury Bills 2.2%
2.929% due 02/28/2008 - 03/13/2008 (a)(c)(d)(g)		272,580		270,755
Total Short-Term Instruments (Cost $1,492,971)				1,492,584
Purchased Options (i) 0.4% (Cost $27,745)				48,795
Total Investments 195.1% (Cost $22,672,574)			$	23,683,844
Written Options (j) (0.7%) (Premiums $60,215)				(82,510	)
Other Assets and Liabilities (Net) (94.4%)				(11,463,628	)
Net Assets (e) 100.0%			$	12,137,706

Notes to Schedule of Investments (amounts in thousands*, except number of contracts):

* A zero balance may reflect actual amounts rounding to less than one thousand.

(a) Coupon represents a weighted average rate.

(b) Principal amount of security is adjusted for inflation.

(c) Securities with an aggregate market value of $90,278 have been pledged as collateral for swap and swaption contracts on December 31, 2007.

(d) Securities with an aggregate market value of $115,208 have been pledged as collateral for delayed-delivery securities on December 31, 2007.

(e) As of December 31, 2007, portfolio securities with an aggregate value of $3,518,188 and derivative instruments with an aggregate depreciation of ($8,548) were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(f) The average amount of borrowings outstanding during the period ended December 31, 2007 was $138,531 at a weighted average interest rate of 5.320%. On December 31, 2007, securities valued at $112,094 were pledged as collateral for reverse repurchase agreements.

(g) Securities with an aggregate market value of $17,293 and cash of $50,280 have been segregated with the custodian to cover margin requirements for the following open futures contracts on December 31, 2007:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Euribor December Futures	Long	12/2008	3,236	$	1,917
90-Day Euribor June Futures	Long	06/2009	557		815
90-Day Euribor March Futures	Long	03/2009	706		725
90-Day Euribor September Futures	Short	09/2008	217		148
90-Day Eurodollar December Futures	Long	12/2008	4,046		13,067
90-Day Eurodollar December Futures	Long	12/2009	1,035		(31	)
90-Day Eurodollar June Futures	Short	06/2008	2,193		(5,568	)
90-Day Eurodollar June Futures	Long	06/2009	5,942		17,418
90-Day Eurodollar March Futures	Short	03/2008	1,680		(2,024	)
90-Day Eurodollar March Futures	Long	03/2009	9,335		28,859
90-Day Eurodollar September Futures	Long	09/2008	21		97
90-Day Eurodollar September Futures	Short	09/2008	1,839		(5,936	)
90-Day Eurodollar September Futures	Long	09/2009	3,928		7,762
Euro-Bund 10-Year Bond March Futures	Short	03/2008	2,000		6,189
Japan Government 10-Year Bond March Futures	Long	03/2008	188		1,007
U.S. Treasury 5-Year Note March Futures	Short	03/2008	9,534		(7,223	)
U.S. Treasury 10-Year Note March Futures	Short	03/2008	2,770		(437	)
U.S. Treasury 30-Year Bond March Futures	Short	03/2008	7,554		5,751
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2008	1,603		1,976
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2008	5,148		4,890
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2009	944		1,035
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2008	3,911		(64	)
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2009	816		1,003
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2008	3,302		4,213
				$	75,589

(h) Swap agreements outstanding on December 31, 2007:

Commodity Swaps

Counterparty	Type	Commodity Exchange	Receive Commodity Exchange	Fixed Price Per Unit		Expiration Date	Units	Unrealized Appreciation/ (Depreciation)
JPMorgan Chase & Co.	Long	NYMEX Natural Gas November Futures	Receive	$	8.390	10/28/2009	7,230	$	(1,627	)
JPMorgan Chase & Co.	Long	NYMEX Natural Gas December Futures	Receive		8.720	11/24/2009	7,230		1,672
								$	45

Credit Default Swaps on Securities

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Bank of America	GMAC LLC 6.875% due 08/28/2012	Sell	3.100	%	06/20/2011	$	3,500	$	(381	)
Bank of America	GMAC LLC 6.875% due 08/28/2012	Sell	7.000	%	09/20/2012		6,300		(79	)
Bank of America	Masco Corp. 5.875% due 07/15/2012	Buy	(0.870	%)	12/20/2012		6,700		180
Bank of America	Sherwin-Williams Co. 7.375% due 02/01/2027	Buy	(0.430	%)	12/20/2012		7,100		(1	)
Barclays Bank PLC	Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	3.800	%	09/20/2012		3,000		(266	)
Barclays Bank PLC	GMAC LLC 6.875% due 08/28/2012	Sell	1.400	%	09/20/2008		9,100		(401	)
Barclays Bank PLC	GMAC LLC 6.875% due 08/28/2012	Sell	3.050	%	09/20/2012		3,200		(365	)
Barclays Bank PLC	Masco Corp. 5.875% due 07/15/2012	Buy	(0.870	%)	12/20/2012		3,800		102
Barclays Bank PLC	Merrill Lynch & Co., Inc. 5.000% due 01/15/2015	Buy	(0.930	%)	12/20/2012		200		3
Barclays Bank PLC	Panama Government International Bond 8.875% due 09/30/2027	Sell	0.300	%	12/20/2008		26,000		(38	)
Barclays Bank PLC	Peru Government International Bond 8.750% due 11/21/2033	Sell	0.350	%	12/20/2008		17,700		(16	)
Barclays Bank PLC	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.330	%	12/20/2008		17,700		(41	)
Barclays Bank PLC	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.710	%	12/20/2008		3,000		(9	)
Barclays Bank PLC	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.780	%	12/20/2008		17,700		(43	)
Barclays Bank PLC	Vnesheconom 0.000% due 07/12/2009	Sell	0.650	%	11/20/2008		9,600		(84	)
Bear Stearns & Co., Inc.	Chesapeake Energy Corp. 6.875% due 01/15/2016	Sell	1.450	%	09/20/2012		1,200		(19	)
Bear Stearns & Co., Inc.	Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.750	%	09/20/2012		7,100		26
BNP Paribas Bank	Kroger Co. 5.500% due 02/01/2013	Buy	(0.360	%)	12/20/2012		7,800		(5	)
BNP Paribas Bank	Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	0.900	%	09/20/2012		3,600		(34	)
BNP Paribas Bank	Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	1.120	%	09/20/2012		2,700		2
BNP Paribas Bank	Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	1.200	%	09/20/2012		2,900		13
BNP Paribas Bank	Safeway, Inc. 5.800% due 08/15/2012	Buy	(0.340	%)	12/20/2012		8,100		(7	)
BNP Paribas Bank	Whirlpool Corp. 7.750% due 07/15/2016	Buy	(0.680	%)	12/20/2012		7,100		4
Citibank N.A.	Anheuser-Busch Cos., Inc. 5.625% due 10/01/2010	Buy	(0.250	%)	12/20/2012		7,400		5
Citibank N.A.	Bear Stearns Cos., Inc. 5.300% due 10/30/2015	Sell	0.720	%	09/20/2012		5,800		(256	)
Citibank N.A.	Chesapeake Energy Corp. 6.875% due 01/15/2016	Sell	1.370	%	09/20/2012		5,000		(96	)
Citibank N.A.	Clorox Co. 6.125% due 02/01/2011	Buy	(0.470	%)	12/20/2012		6,300		2
Citibank N.A.	GMAC LLC 6.875% due 08/28/2012	Buy	(5.000	%)	09/20/2012		200		13
Citibank N.A.	RH Donnelley Corp. 8.875% due 01/15/2016	Sell	3.400	%	09/20/2012		100		(5	)
Credit Suisse USA, Inc.	Chesapeake Energy Corp. 6.875% due 01/15/2016	Sell	0.970	%	06/20/2012		3,100		(101	)
Credit Suisse USA, Inc.	Chesapeake Energy Corp. 6.875% due 01/15/2016	Sell	1.010	%	06/20/2012		4,200		(129	)
Credit Suisse USA, Inc.	Chesapeake Energy Corp. 6.875% due 01/15/2016	Sell	1.040	%	06/20/2012		3,700		(110	)
Credit Suisse USA, Inc.	Chesapeake Energy Corp. 6.875% due 01/15/2016	Sell	1.550	%	09/20/2012		2,300		(27	)
Credit Suisse USA, Inc.	Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.740	%	09/20/2012		6,100		20
Credit Suisse USA, Inc.	Marriott International, Inc. 4.625% due 06/15/2012	Buy	(0.640	%)	12/20/2012		8,500		10
Credit Suisse USA, Inc.	Multiple Reference Entities of Gazprom	Sell	1.000	%	11/20/2008		12,000		(16	)
Deutsche Bank AG	GMAC LLC 6.875% due 08/28/2012	Buy	(4.250	%)	09/20/2008		2,800		67
Deutsche Bank AG	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.510	%	12/20/2008		36,000		(93	)
Deutsche Bank AG	Masco Corp. 5.875% due 07/15/2012	Buy	(0.840	%)	12/20/2012		14,400		405
Deutsche Bank AG	Morgan Stanley 6.600% due 04/01/2012	Sell	0.140	%	06/20/2008		50,000		(227	)
Deutsche Bank AG	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.325	%	12/20/2008		18,800		(45	)
Deutsche Bank AG	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.720	%	12/20/2008		7,000		(21	)
Deutsche Bank AG	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.790	%	12/20/2008		18,800		(44	)
Goldman Sachs & Co.	AutoZone, Inc. 5.875% due 10/15/2012	Buy	(0.529	%)	12/20/2012		4,100		(22	)
Goldman Sachs & Co.	Bear Stearns Cos., Inc. 5.300% due 10/30/2015	Buy	(1.780	%)	12/20/2012		8,200		10
Goldman Sachs & Co.	Chesapeake Energy Corp. 6.875% due 01/15/2016	Sell	1.380	%	09/20/2012		2,000		(31	)
Goldman Sachs & Co.	ConAgra Foods, Inc. 7.000% due 10/01/2028	Buy	(0.299	%)	12/20/2012		4,400		(3	)
Goldman Sachs & Co.	Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	1.400	%	09/20/2008		22,600		(754	)
Goldman Sachs & Co.	GMAC LLC 6.875% due 08/28/2012	Buy	(5.200	%)	09/20/2008		6,000		104
Goldman Sachs & Co.	GMAC LLC 6.875% due 08/28/2012	Sell	3.050	%	09/20/2012		11,300		(1,288	)
Goldman Sachs & Co.	Marriott International, Inc. 4.625% due 06/15/2012	Buy	(0.640	%)	12/20/2012		14,400		17
Goldman Sachs & Co.	Newell Rubbermaid, Inc. 6.350% until 07/15/2008 and variable thereafter, due 07/15/2028	Buy	(0.319	%)	12/20/2012		4,200		4
Goldman Sachs & Co.	Nordstrom, Inc. 6.950% due 03/15/2028	Buy	(0.270	%)	09/20/2012		17,900		187
Goldman Sachs & Co.	Nordstrom, Inc. 6.950% due 03/15/2028	Buy	(0.260	%)	09/20/2012		11,100		121
HSBC Bank USA	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.240	%	02/20/2008		17,000		9
JPMorgan Chase & Co.	Bear Stearns Cos., Inc. 5.300% due 10/30/2015	Sell	0.720	%	09/20/2012		8,500		(375	)
JPMorgan Chase & Co.	Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	3.850	%	09/20/2012		3,300		(287	)
JPMorgan Chase & Co.	GMAC LLC 6.875% due 08/28/2012	Sell	5.400	%	09/20/2012		3,000		(161	)
JPMorgan Chase & Co.	GMAC LLC 6.875% due 08/28/2012	Sell	5.450	%	09/20/2012		3,000		(157	)
JPMorgan Chase & Co.	GMAC LLC 6.875% due 08/28/2012	Sell	7.550	%	09/20/2012		10,000		15
JPMorgan Chase & Co.	Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	0.700	%	09/20/2012		8,600		(174	)
JPMorgan Chase & Co.	Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	0.950	%	09/20/2012		3,700		(36	)
JPMorgan Chase & Co.	Merrill Lynch & Co., Inc. 5.000% due 01/15/2015	Buy	(0.930	%)	12/20/2012		3,500		51
JPMorgan Chase & Co.	Merrill Lynch & Co., Inc. 5.000% due 01/15/2015	Buy	(0.920	%)	12/20/2012		9,500		142
Lehman Brothers, Inc.	Chesapeake Energy Corp. 6.875% due 01/15/2016	Sell	1.380	%	09/20/2012		500		(9	)
Lehman Brothers, Inc.	GMAC LLC 6.875% due 08/28/2012	Sell	1.425	%	09/20/2008		13,500		(593	)
Lehman Brothers, Inc.	GMAC LLC 6.875% due 08/28/2012	Sell	7.500	%	09/20/2012		10,000		2
Lehman Brothers, Inc.	Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.720	%	09/20/2012		7,000		17
Lehman Brothers, Inc.	Merrill Lynch & Co., Inc. 5.000% due 01/15/2015	Buy	(0.900	%)	12/20/2012		5,000		79
Lehman Brothers, Inc.	Peru Government International Bond 8.750% due 11/21/2033	Sell	0.320	%	12/20/2008		2,000		(2	)
Lehman Brothers, Inc.	Peru Government International Bond 9.125% due 02/21/2012	Sell	0.370	%	12/20/2008		17,100		(12	)
Lehman Brothers, Inc.	VF Corp. 8.500% due 10/01/2010	Buy	(0.449	%)	12/20/2012		3,100		(6	)
Merrill Lynch & Co., Inc.	GMAC LLC 6.875% due 08/28/2012	Buy	(4.800	%)	09/20/2012		9,400		649
Merrill Lynch & Co., Inc.	Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.750	%	09/20/2012		4,000		15
Morgan Stanley	Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	3.800	%	09/20/2012		8,500		(753	)
Morgan Stanley	GMAC LLC 6.875% due 08/28/2012	Sell	6.850	%	06/20/2012		5,200		(95	)
Morgan Stanley	GMAC LLC 6.875% due 08/28/2012	Sell	7.500	%	09/20/2012		10,000		3
Morgan Stanley	Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.800	%	09/20/2012		6,800		40
Morgan Stanley	Marriott International, Inc. 4.625% due 06/15/2012	Buy	(0.630	%)	12/20/2012		13,600		22
Morgan Stanley	Masco Corp. 5.875% due 07/15/2012	Buy	(0.860	%)	12/20/2012		15,000		409
Morgan Stanley	Nordstrom, Inc. 6.950% due 03/15/2028	Buy	(0.610	%)	12/20/2012		6,600		(24	)
Morgan Stanley	Panama Government International Bond 8.875% due 09/30/2027	Sell	0.300	%	12/20/2008		8,800		(13	)
Morgan Stanley	Staples, Inc. 7.375% due 10/01/2012	Buy	(0.700	%)	12/20/2012		6,400		(17	)
Morgan Stanley	TJX Cos., Inc. 7.450% due 12/15/2009	Buy	(0.460	%)	12/20/2012		6,900		(2	)
Royal Bank of Scotland Group PLC	Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.780	%	09/20/2012		2,000		10
Royal Bank of Scotland Group PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.400	%	12/20/2008		5,000		(18	)
Royal Bank of Scotland Group PLC	Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	0.660	%	09/20/2012		6,400		(140	)
UBS Warburg LLC	GMAC LLC 6.875% due 08/28/2012	Sell	3.620	%	06/20/2011		1,000		(98	)
								$	(5,271	)

Credit Default Swaps on Credit Indices

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Bank of America	Dow Jones CDX N.A. HY8 Index	Buy	(2.750	%)	06/20/2012	$	55,400	$	673
Bank of America	Dow Jones CDX N.A. IG8 Index	Buy	(0.350	%)	06/20/2012		37,200		241
Bank of America	Dow Jones CDX N.A. IG9 Index	Buy	(0.800	%)	12/20/2017		38,100		(48	)
Bank of America	Dow Jones CDX N.A. XO8 Index	Buy	(1.400	%)	06/20/2012		6,300		34
Barclays Bank PLC	Dow Jones CDX N.A. HY8 Index	Buy	(2.750	%)	06/20/2012		13,000		52
Barclays Bank PLC	Dow Jones CDX N.A. IG9 Index	Buy	(0.800	%)	12/20/2017		87,800		(130	)
Bear Stearns & Co., Inc.	Dow Jones CDX N.A. HY8 Index	Buy	(2.750	%)	06/20/2012		91,600		1,258
Goldman Sachs & Co.	Dow Jones CDX N.A. IG9 Index	Buy	(0.800	%)	12/20/2017		50,400		(72	)
JPMorgan Chase & Co.	Dow Jones CDX N.A. IG9 Index	Sell	0.600	%	12/20/2012		37,000		(105	)
JPMorgan Chase & Co.	Dow Jones CDX N.A. IG9 Index	Buy	(0.800	%)	12/20/2017		17,600		(26	)
Lehman Brothers, Inc.	Dow Jones CDX N.A. HY8 Index	Buy	(2.750	%)	06/20/2012		20,000		55
Lehman Brothers, Inc.	Dow Jones CDX N.A. HY9 Index	Sell	3.330	%	12/20/2012		88,400		513
Lehman Brothers, Inc.	Dow Jones CDX N.A. IG9 Index	Buy	(0.600	%)	12/20/2012		27,100		(108	)
Lehman Brothers, Inc.	Dow Jones CDX N.A. IG9 Index	Buy	(0.800	%)	12/20/2017		34,000		(62	)
Lehman Brothers, Inc.	Home Equity Index A Rating 2007-1	Sell	0.640	%	08/25/2037		4,000		(299	)
Merrill Lynch & Co., Inc.	Dow Jones CDX N.A. HY8 Index	Buy	(2.750	%)	06/20/2012		56,400		(181	)
Merrill Lynch & Co., Inc.	Dow Jones CDX N.A. IG9 Index	Buy	(0.600	%)	12/20/2012		134,300		1,630
Morgan Stanley	Dow Jones CDX N.A. HY8 Index	Buy	(2.750	%)	06/20/2012		6,400		45
Morgan Stanley	Dow Jones CDX N.A. IG9 Index	Buy	(0.600	%)	12/20/2012		134,300		1,630
Morgan Stanley	Dow Jones CDX N.A. IG9 Index	Buy	(0.800	%)	12/20/2017		59,400		(83	)
UBS Warburg LLC	Dow Jones CDX N.A. HY8 Index	Buy	(2.750	%)	06/20/2012		45,300		38
								$	5,055

⁽¹⁾ If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will pay to the buyer of the protection an amount up to the notional value of the swap and in certain instances, take delivery of the security. As a buyer of protection, the Fund will generally receive from the seller of protection an amount up to the notional amount of the swap if a credit event occurs.

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Barclays Bank PLC	6-Month Australian Bank Bill	Pay	7.000	%	12/15/2009	AUD	156,400	$	(914	)
Barclays Bank PLC	6-Month Australian Bank Bill	Receive	6.750	%	12/15/2017		19,300		551
Citibank N.A.	3-Month Australian Bank Bill	Pay	7.000	%	06/15/2009		143,700		(702	)
Citibank N.A.	6-Month Australian Bank Bill	Pay	6.500	%	01/15/2010		6,600		(113	)
Citibank N.A.	6-Month Australian Bank Bill	Receive	6.500	%	06/15/2017		20,600		711
Deutsche Bank AG	6-Month Australian Bank Bill	Pay	6.500	%	01/15/2010		197,500		(3,352	)
Deutsche Bank AG	6-Month Australian Bank Bill	Pay	7.000	%	06/15/2010		606,900		(6,060	)
Deutsche Bank AG	6-Month Australian Bank Bill	Receive	6.500	%	06/15/2017		14,300		468
JPMorgan Chase & Co.	6-Month Australian Bank Bill	Pay	6.500	%	01/15/2010		33,400		(576	)
Morgan Stanley	6-Month Australian Bank Bill	Pay	7.000	%	12/15/2009		163,800		(963	)
Morgan Stanley	6-Month Australian Bank Bill	Receive	6.750	%	12/15/2017		20,400		591
Royal Bank of Canada	6-Month Australian Bank Bill	Pay	6.500	%	01/15/2010		105,900		(1,772	)
Barclays Bank PLC	BRL-CDI-Compounded	Pay	10.680	%	01/02/2012	BRL	157,500		(2,795	)
Barclays Bank PLC	BRL-CDI-Compounded	Pay	12.540	%	01/02/2012		5,000		0
Merrill Lynch & Co., Inc.	BRL-CDI-Compounded	Pay	12.540	%	01/02/2012		53,000		(65	)
Morgan Stanley	BRL-CDI-Compounded	Pay	10.115	%	01/02/2012		46,000		(1,565	)
Morgan Stanley	BRL-CDI-Compounded	Pay	12.540	%	01/02/2012		56,000		(100	)
UBS Warburg LLC	BRL-CDI-Compounded	Pay	12.410	%	01/04/2010		61,000		(88	)
UBS Warburg LLC	BRL-CDI-Compounded	Pay	10.575	%	01/02/2012		274,400		(8,962	)
Bank of America	3-Month Canadian Bank Bill	Pay	5.000	%	06/20/2012	CAD	92,200		952
Bank of America	3-Month Canadian Bank Bill	Receive	5.500	%	06/20/2017		65,400		(661	)
Merrill Lynch & Co., Inc.	3-Month Canadian Bank Bill	Pay	4.500	%	06/15/2025		9,000		(112	)
Royal Bank of Canada	3-Month Canadian Bank Bill	Receive	5.500	%	06/20/2017		4,200		(82	)
Barclays Bank PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.103	%	10/15/2010	EUR	4,900		48
Barclays Bank PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.948	%	03/15/2012		6,000		(118	)
Barclays Bank PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.960	%	04/05/2012		3,500		(65	)
Barclays Bank PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.980	%	04/30/2012		9,200		(176	)
Barclays Bank PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.238	%	06/20/2012		40,000		(80	)
Barclays Bank PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.138	%	01/19/2016		32,700		(100	)
Barclays Bank PLC	6-Month EUR-LIBOR	Receive	5.000	%	03/19/2018		34,400		315
BNP Paribas Bank	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.103	%	09/14/2010		30,000		224
BNP Paribas Bank	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.090	%	10/15/2010		32,700		277
BNP Paribas Bank	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.040	%	02/21/2011		21,200		6
BNP Paribas Bank	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.988	%	12/15/2011		71,500		(977	)
BNP Paribas Bank	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.983	%	03/15/2012		5,500		(101	)
BNP Paribas Bank	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.150	%	01/19/2016		45,000		(98	)
Deutsche Bank AG	6-Month EUR-LIBOR	Pay	4.500	%	03/19/2010		181,200		(35	)
Goldman Sachs & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.976	%	12/15/2011		66,900		(804	)
Goldman Sachs & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.995	%	03/15/2012		42,900		(647	)
Goldman Sachs & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.960	%	03/30/2012		6,600		(121	)
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.028	%	10/15/2011		25,900		(60	)
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.973	%	12/15/2011		46,200		(667	)
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.948	%	03/15/2012		8,500		(167	)
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.958	%	04/10/2012		42,400		(890	)
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.353	%	10/15/2016		25,000		24
Lehman Brothers, Inc.	6-Month EUR-LIBOR	Receive	4.000	%	06/15/2017		32,400		2,798
Morgan Stanley	6-Month EUR-LIBOR	Pay	4.500	%	03/19/2010		181,100		(34	)
Royal Bank of Scotland Group PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.955	%	03/28/2012		5,700		(103	)
Royal Bank of Scotland Group PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.950	%	03/30/2012		13,600		(254	)
UBS Warburg LLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.146	%	10/15/2010		23,700		222
UBS Warburg LLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.095	%	10/15/2011		39,400		112
UBS Warburg LLC	Eurostat Eurozone HICP Ex Tobacco Unrevised Series NSA Index	Receive	2.275	%	10/15/2016		26,000		187
UBS Warburg LLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.350	%	10/15/2016		26,000		33
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	5.000	%	06/15/2008	GBP	7,000		(24	)
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	5.000	%	06/15/2009		4,400		(56	)
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	5.000	%	06/15/2009		188,800		(445	)
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	5.000	%	12/19/2009		234,600		1,188
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2010		41,300		(1,025	)
Barclays Bank PLC	United Kingdom RPI Index	Pay	3.250	%	12/14/2017		7,500		53
Barclays Bank PLC	6-Month GBP-LIBOR	Receive	5.000	%	03/20/2018		9,400		(766	)
Barclays Bank PLC	United Kingdom RPI Index	Pay	3.425	%	10/17/2027		4,250		(56	)
Barclays Bank PLC	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035		56,700		3,386
Deutsche Bank AG	6-Month GBP-LIBOR	Pay	6.000	%	03/20/2010		62,000		1,104
Goldman Sachs & Co.	6-Month GBP-LIBOR	Receive	5.000	%	09/15/2015		45,500		(1,295	)
Goldman Sachs & Co.	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035		4,600		331
HSBC Bank USA	6-Month GBP-LIBOR	Receive	4.250	%	06/12/2036		29,500		3,145
Morgan Stanley	6-Month GBP-LIBOR	Pay	5.000	%	12/19/2009		45,300		230
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2010		22,000		431
Royal Bank of Scotland Group PLC	United Kingdom RPI Index	Pay	3.183	%	12/19/2017		24,200		(48	)
Royal Bank of Scotland Group PLC	United Kingdom RPI Index	Pay	3.381	%	06/14/2027		8,000		(223	)
Royal Bank of Scotland Group PLC	United Kingdom RPI Index	Pay	3.440	%	09/10/2027		11,800		(137	)
Royal Bank of Scotland Group PLC	United Kingdom RPI Index	Pay	3.488	%	12/06/2027		4,500		32
UBS Warburg LLC	6-Month GBP-LIBOR	Pay	5.000	%	06/15/2008		8,800		(28	)
UBS Warburg LLC	United Kingdom RPI Index	Pay	2.548	%	11/14/2016		35,000		(732	)
Barclays Bank PLC	6-Month JPY-LIBOR	Receive	2.000	%	06/20/2017	JPY	10,440,000		(137	)
Deutsche Bank AG	6-Month JPY-LIBOR	Receive	2.000	%	06/20/2017		2,730,000		(27	)
Goldman Sachs & Co.	6-Month JPY-LIBOR	Receive	2.000	%	06/20/2017		2,260,000		(26	)
Morgan Stanley	6-Month JPY-LIBOR	Pay	1.000	%	03/18/2009		34,100,000		957
Royal Bank of Scotland Group PLC	6-Month JPY-LIBOR	Receive	2.000	%	06/20/2017		6,150,000		(349	)
Barclays Bank PLC	28-Day Mexico Interbank TIIE Banxico	Pay	8.720	%	09/05/2016	MXN	167,000		181
Barclays Bank PLC	28-Day Mexico Interbank TIIE Banxico	Pay	8.330	%	02/14/2017		124,500		(161	)
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.170	%	11/04/2016		497,500		(1,157	)
Goldman Sachs & Co.	28-Day Mexico Interbank TIIE Banxico	Pay	8.170	%	11/04/2016		1,014,500		(2,025	)
Merrill Lynch & Co., Inc.	28-Day Mexico Interbank TIIE Banxico	Pay	8.170	%	11/04/2016		257,800		(483	)
Bank of America	3-Month USD-LIBOR	Pay	5.000	%	06/20/2027	$	18,000		549
Barclays Bank PLC	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010		581,500		1,125
Barclays Bank PLC	3-Month USD-LIBOR	Pay	5.000	%	06/18/2010		140,000		436
Barclays Bank PLC	3-Month USD-LIBOR	Pay	4.000	%	06/18/2013		226,500		1,737
Barclays Bank PLC	3-Month USD-LIBOR	Receive	5.000	%	06/18/2018		141,300		(464	)
Deutsche Bank AG	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010		331,600		662
Deutsche Bank AG	3-Month USD-LIBOR	Receive	5.000	%	06/18/2015		75,800		44
Deutsche Bank AG	3-Month USD-LIBOR	Receive	5.000	%	12/20/2021		72,500		(5,933	)
Deutsche Bank AG	3-Month USD-LIBOR	Receive	5.000	%	12/20/2026		76,800		(7,285	)
Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	06/18/2038		24,700		582
Goldman Sachs & Co.	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010		230,900		698
JPMorgan Chase & Co.	3-Month USD-LIBOR	Pay	4.000	%	06/18/2013		15,600		4
Merrill Lynch & Co., Inc.	3-Month USD-LIBOR	Receive	5.000	%	06/18/2018		277,400		(2,743	)
Morgan Stanley	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010		294,800		670
Morgan Stanley	3-Month USD-LIBOR	Pay	4.000	%	06/18/2013		24,900		186
Morgan Stanley	3-Month USD-LIBOR	Receive	5.000	%	06/18/2015		27,700		(184	)
Morgan Stanley	3-Month USD-LIBOR	Receive	5.000	%	06/18/2018		229,461		(4,078	)
Morgan Stanley	3-Month USD-LIBOR	Receive	5.000	%	06/18/2018		3,700		(69	)
Morgan Stanley	3-Month USD-LIBOR	Pay	5.000	%	06/18/2038		88,800		2,511
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010		235,900		7
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.000	%	06/18/2013		144,200		1,597
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	06/18/2015		152,000		(1,910	)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	06/18/2018		275,800		(691	)
UBS Warburg LLC	3-Month USD-LIBOR	Pay	5.000	%	06/18/2009		793,000		12,987
								$	(24,584	)

Total Return Swaps

Counterparty	Type	Receive Total Return	Pay	Expiration Date	# of Contracts	Unrealized Appreciation/ (Depreciation)
American International Group, Inc.	Long	3-Month U.S. Treasury Bill rate plus a specified spread	Dow Jones - AIG Commodity Index Total Return	06/26/2008	6,660,405	$	38,865
American International Group, Inc.	Short	3-Month U.S. Treasury Bill rate plus a specified spread	Dow Jones - AIG Commodity Index Total Return	06/26/2008	311,651		(3,791	)
Barclays Bank PLC	Long	3-Month U.S. Treasury Bill rate plus a specified spread	Dow Jones - AIG Commodity Index Total Return	06/26/2008	3,370,649		18,371
Goldman Sachs & Co.	Long	3-Month U.S. Treasury Bill rate plus a specified spread	Dow Jones - AIG Commodity Index Total Return	01/03/2008	2,232,199		15,899
JPMorgan Chase & Co.	Long	3-Month U.S. Treasury Bill rate plus a specified spread	Dow Jones - AIG Commodity Index Total Return	01/03/2008	10,653		116
Lehman Brothers, Inc.	Long	3-Month U.S. Treasury Bill rate plus a specified spread	Dow Jones - AIG Commodity Index Total Return	01/03/2008	1,307,036		14,215
Morgan Stanley	Long	3-Month U.S. Treasury Bill rate plus a specified spread	Dow Jones - AIG Commodity Index Total Return	01/03/2008	11,912,935		136,622
Morgan Stanley	Short	3-Month U.S. Treasury Bill rate plus a specified spread	Dow Jones - AIG Commodity Index Total Return	01/03/2008	10,824,837		(104,408	)
Morgan Stanley	Long	3-Month U.S. Treasury Bill rate plus a specified spread	S&P GSCI Commodity Index	01/03/2008	589,909		1,513
Morgan Stanley	Short	3-Month U.S. Treasury Bill rate plus a specified spread	S&P GSCI Commodity Index	01/03/2008	403,128		(979	)
Morgan Stanley	Long	3-Month U.S. Treasury Bill rate plus a specified spread	Dow Jones - AIG Commodity Index Total Return	01/29/2008	9,634,265		(12,724	)
Morgan Stanley	Short	3-Month U.S. Treasury Bill rate plus a specified spread	Dow Jones - AIG Commodity Index Total Return	01/29/2008	262,969		299
						$	103,998

Variance Swaps

Counterparty	Underlying Asset	Pay/Receive Variance(2)	Strike Price		Expiration Date	Notional Amount		Unrealized Appreciation
JPMorgan Chase & Co.	NYMEX WTI Crude Oil Futures 2008	Pay	$	0.114	1/16/2008	$	6,400	$	195

⁽²⁾ At the expiration date, a net cash flow is exchanged, where the payoff amount is equivalent to the difference between the realized price variance of the underlying asset and the strike price multiplied by the notional amount. As a receiver of the realized price variance, the Subfund would receive the payoff amount when the realized price variance of the underlying asset is greater than the strike price and would owe the payoff amount when the variance is less than the strike price. As a payer of the realized price variance, the Subfund would owe the payoff amount when the realized price variance of the underlying asset is greater than the strike price and would receive the payoff amount when the variance is less than the strike price.

(i) Purchased options outstanding on December 31, 2007:

Options on Commodity Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Cost		Value
Call - OTC NYBEX Sugar March Futures	$	12.500	02/12/2010	1,354	$	1,805	$	2,196
Call - OTC NYMEX Natural Gas December Futures		9.000	11/21/2014	482		3,832		7,292
					$	5,637	$	9,488

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Cost		Value
Call - CBOT U.S. Treasury 5-Year Note March Futures	$	126.000	02/22/2008	742	$	14	$	11
Call - CBOT U.S. Treasury 5-Year Note March Futures		127.000	02/22/2008	6,040		114		94
Call - CBOT U.S. Treasury 10-Year Note March Futures		136.000	02/22/2008	1,503		28		24
Call - CBOT U.S. Treasury 10-Year Note March Futures		137.000	02/22/2008	4,767		90		75
Call - CBOT U.S. Treasury 10-Year Note March Futures		138.000	02/22/2008	2,261		43		35
Call - CBOT U.S. Treasury 30-Year Bond March Futures		139.000	02/22/2008	3,227		61		50
					$	350	$	289

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Cost		Value
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	03/31/2008	$	499,000	$	2,794	$	10,098
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	09/26/2008		95,600		483		1,985
									$	3,277	$	12,083

Foreign Currency Options

Description	Exercise Price		Expiration Date	Notional Amount		Cost		Value
Call - OTC Euro versus U.S. dollar	$	1.353	06/26/2008	EUR	55,300	$	1,740	$	6,340
Put - OTC Euro versus U.S. dollar		1.353	06/26/2008		55,300		1,740		419
Call - OTC Euro versus U.S. dollar		1.392	07/08/2010		56,200		2,961		5,243
Put - OTC Euro versus U.S. dollar		1.392	07/08/2010		56,200		2,961		2,573
Call - OTC U.S. dollar versus Japanese yen	JPY	118.150	06/23/2008	$	148,400		3,906		559
Put - OTC U.S. dollar versus Japanese yen		118.150	06/23/2008		148,400		3,907		11,578
Call - OTC U.S. dollar versus Japanese yen		111.000	12/01/2008		31,000		561		217
						$	17,776	$	26,929

Options on Securities

Description	Strike Price		Expiration Date	Notional Amount		Cost		Value
Put - OTC Ginnie Mae 5.500% due 02/01/2038	$	86.000	02/13/2008	$	15,000	$	2	$	0
Put - OTC Treasury Inflation Protected Securities 0.875% due 04/15/2010		91.000	01/18/2008		500,000		117		0
Put - OTC Treasury Inflation Protected Securities 1.875% due 07/15/2015		94.500	01/22/2008		800,000		62		1
Put - OTC Treasury Inflation Protected Securities 2.000% due 01/15/2014		96.500	01/07/2008		500,000		39		0
Put - OTC Treasury Inflation Protected Securities 2.000% due 07/15/2014		96.500	01/22/2008		750,000		59		1
Put - OTC Treasury Inflation Protected Securities 2.375% due 01/15/2025		63.250	01/04/2008		500,000		117		1
Put - OTC Treasury Inflation Protected Securities 2.375% due 01/15/2025		91.000	01/07/2008		600,000		47		1
Put - OTC Treasury Inflation Protected Securities 3.000% due 07/15/2012		102.500	01/07/2008		750,000		59		1
Put - OTC Treasury Inflation Protected Securities 3.625% due 04/15/2028		111.500	01/22/2008		800,000		63		1
Put - OTC Treasury Inflation Protected Securities 3.875% due 04/15/2029		88.000	01/18/2008		300,000		70		0
Put - OTC Treasury Inflation Protected Securities 4.250% due 01/15/2010		86.438	01/04/2008		300,000		70		0
						$	705	$	6

(j) Written options outstanding on December 31, 2007:

Options on Commodity Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Value
Call - OTC NYBEX Sugar March Futures	$	15.000	02/12/2010	1,354	$	966	$	1,286
Call - OTC NYMEX Natural Gas December Futures		12.000	11/21/2014	482		2,169		5,041
					$	3,135	$	6,327

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Value
Call - CBOT U.S. Treasury 10-Year Note March Futures	$	111.000	02/22/2008	2,456	$	889	$	6,984
Call - CBOT U.S. Treasury 10-Year Note March Futures		115.000	02/22/2008	186		145		148
Call - OTC Dow Jones - AIG Commodity Index Total Return Futures		195.000	01/09/2008	10,000,000		232		4
Call - OTC Dow Jones - AIG Commodity Index Total Return Futures		191.000	01/22/2008	7,000,000		160		48
Call - OTC Dow Jones - AIG Commodity Index Total Return Futures		230.000	10/19/2010	68,000,000		3,401		3,365
Put - CBOT U.S. Treasury 10-Year Note March Futures		106.000	02/22/2008	1,463		628		23
Put - OTC Dow Jones - AIG Commodity Index Total Return Futures		150.000	01/09/2008	10,000,000		309		0
Put - OTC Dow Jones - AIG Commodity Index Total Return Futures		144.000	01/22/2008	7,000,000		223		0
Put - OTC Dow Jones - AIG Commodity Index Total Return Futures		150.000	10/19/2010	68,000,000		5,656		2,789
Put - OTC Goldman Sachs - Commodity Index Total Return Futures		82.000	12/19/2008	89,000,000		178		83
					$	11,821	$	13,444

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Value
Call - OTC 30-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Receive	5.670	%	08/07/2008	$	27,000	$	1,303	$	2,932
Put - OTC 30-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Pay	5.670	%	08/07/2008		27,000		986		375
Call - OTC 10-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Receive	5.250	%	09/15/2008		71,000		1,890		3,702
Put - OTC 10-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Pay	5.250	%	09/15/2008		71,000		1,890		879
Call - OTC 30-Year Interest Rate Swap	Citibank N.A.	3-Month USD-LIBOR	Receive	5.670	%	08/07/2008		33,300		1,392		3,616
Put - OTC 30-Year Interest Rate Swap	Citibank N.A.	3-Month USD-LIBOR	Pay	5.670	%	08/07/2008		33,300		1,405		463
Call - OTC 10-Year Interest Rate Swap	Goldman Sachs & Co.	3-Month USD-LIBOR	Receive	5.250	%	09/15/2008		52,000		1,305		2,711
Put - OTC 10-Year Interest Rate Swap	Goldman Sachs & Co.	3-Month USD-LIBOR	Pay	5.250	%	09/15/2008		52,000		1,258		644
Call - OTC 7-Year Interest Rate Swap	Goldman Sachs & Co.	3-Month USD-LIBOR	Receive	5.365	%	09/20/2010		64,000		2,058		2,886
Put - OTC 7-Year Interest Rate Swap	Goldman Sachs & Co.	3-Month USD-LIBOR	Pay	5.365	%	09/20/2010		64,000		2,058		1,712
Call - OTC 30-Year Interest Rate Swap	JPMorgan Chase & Co.	3-Month USD-LIBOR	Receive	5.670	%	08/07/2008		55,800		1,958		6,059
Put - OTC 30-Year Interest Rate Swap	JPMorgan Chase & Co.	3-Month USD-LIBOR	Pay	5.670	%	08/07/2008		55,800		2,740		776
Call - OTC 10-Year Interest Rate Swap	JPMorgan Chase & Co.	3-Month USD-LIBOR	Receive	5.250	%	09/15/2008		94,900		2,809		4,948
Put - OTC 10-Year Interest Rate Swap	JPMorgan Chase & Co.	3-Month USD-LIBOR	Pay	5.250	%	09/15/2008		94,900		1,907		1,175
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.950	%	03/31/2008		215,000		2,644		7,851
Call - OTC 10-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.250	%	09/15/2008		37,200		934		1,939
Put - OTC 10-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.250	%	09/15/2008		37,200		900		460
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.950	%	09/26/2008		42,000		475		1,530
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.365	%	09/20/2010		191,000		5,478		8,615
Put - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.365	%	09/20/2010		191,000		6,782		5,110
									$	42,172	$	58,383

Foreign Currency Options

Description	Exercise Price		Expiration Date	Notional Amount		Premium		Value
Call - OTC U.S. dollar versus Japanese yen	JPY	118.150	06/23/2008	$	44,100	$	552	$	166
Put - OTC U.S. dollar versus Japanese yen		118.150	06/23/2008		44,100		2,022		3,443
Put - OTC U.S. dollar versus Japanese yen		100.000	12/01/2008		31,000		513		747
						$	3,087	$	4,356

(k) Restricted securities as of December 31, 2007:

Issuer Description	Coupon		Maturity Date	Acquisition Date	Cost		Market Value		Market Value as Percentage of Net Assets
Credit Suisse NY	5.255	%	01/14/2008	01/05/2007	$	94,700	$	144,678	1.20	%
Merna Reinsurance Ltd.	5.480	%	07/07/2010	09/21/2007		26,730		26,462	0.20	%
Morgan Stanley	4.765	%	02/06/2008	01/25/2007		150,000		220,675	1.80	%
Rabobank Nederland	4.480	%	07/22/2008	06/08/2007		200,000		253,612	2.10	%
Svensk ExportKredit AB	4.830	%	11/25/2008	10/19/2007		150,000		161,755	1.30	%
					$	621,430	$	807,182	6.60	%

(l) Short sales outstanding on December 31, 2007:

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Value(3)
Fannie Mae	5.000	%	01/01/2038	$	13,000	$	12,805	$	12,685
Freddie Mac	5.000	%	01/01/2038		500		491		488
Freddie Mac	6.000	%	01/01/2038		764,500		776,406		775,848
Treasury Inflation Protected Securities	2.375	%	04/15/2011		95,706		98,537		99,789
Treasury Inflation Protected Securities	2.375	%	01/15/2017		3,751		3,948		3,960
Treasury Inflation Protected Securities	2.625	%	07/15/2017		4,056		4,368		4,377
U.S. Treasury Bonds	4.750	%	08/15/2017		72,300		75,819		76,384
U.S. Treasury Bonds	4.750	%	02/15/2037		39,000		40,289		40,828
U.S. Treasury Notes	3.375	%	02/15/2008		125,000		125,000		125,049
U.S. Treasury Notes	4.125	%	08/31/2012		49,100		50,280		50,569
U.S. Treasury Notes	4.750	%	05/15/2014		61,700		65,119		65,629
U.S. Treasury Notes	5.125	%	05/15/2016		168,300		183,409		182,211
						$	1,436,471	$	1,437,817

⁽³⁾ Market value includes $7,999 of interest payable on short sales.

(m) Foreign currency contracts outstanding on December 31, 2007:

Type	Currency	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	AUD	347	01/2008	$	0	$	0		$	0
Sell		334	02/2008		0		(7	)		(7	)
Buy	BRL	258,625	03/2008		9,557		0			9,557
Buy		280,080	07/2008		2,434		(206	)		2,228
Buy	CAD	192	01/2008		0		(1	)		(1	)
Sell		24,742	01/2008		1		(554	)		(553	)
Sell	CHF	11,295	03/2008		54		0			54
Buy	CNY	756,371	01/2008		2,184		0			2,184
Sell		756,371	01/2008		0		(1,254	)		(1,254	)
Buy		959,825	03/2008		2,100		0			2,100
Sell		959,825	03/2008		0		(2,129	)		(2,129	)
Buy	EUR	714	01/2008		0		(7	)		(7	)
Sell		135,600	01/2008		301		(136	)		165
Buy	GBP	259	01/2008		0		0			0
Sell		137,410	01/2008		3,493		0			3,493
Buy	JPY	20,426,708	02/2008		628		0			628
Sell		52,195,546	02/2008		288		(922	)		(634	)
Buy	KRW	2,100,158	01/2008		0		(56	)		(56	)
Buy		39,078,714	05/2008		145		0			145
Buy	MXN	1,352,400	03/2008		67		(483	)		(416	)
Sell		995,902	03/2008		475		0			475
Buy		1,484,190	07/2008		1,400		(2	)		1,398
Sell		284,569	07/2008		169		0			169
Buy	MYR	49,245	05/2008		352		0			352
Buy	PLN	148,523	07/2008		5,631		0			5,631
Buy	RUB	1,731,580	01/2008		2,763		0			2,763
Sell		1,731,580	01/2008		90		(656	)		(566	)
Buy		14,028	07/2008		15		0			15
Buy		821,575	11/2008		5		(108	)		(103	)
Sell	SEK	474	01/2008		1		0			1
Buy		474	03/2008		0		(1	)		(1	)
Sell		15,255	03/2008		25		0			25
Buy	SGD	2,963	02/2008		75		0			75
Buy		64,519	05/2008		1,983		0			1,983
Buy	BRL	347	07/2008		18		0			18
Buy	CNY	29,128	01/2008		90		0			90
Sell		29,128	01/2008		0		(49	)		(49	)
Buy		38,973	03/2008		100		0			100
Sell		38,973	03/2008		0		(79	)		(79	)
Buy		46,765	03/2009		404		0			404
Sell		46,765	03/2009		0		(339	)		(339	)
Buy	EUR	63	01/2008		0		(1	)		(1	)
Sell		4,316	01/2008		10		0			10
Buy	JPY	497,951	02/2008		35		0			35
Sell		516,018	02/2008		10		0			10
Buy	KRW	169,062	05/2008		1		0			1
Buy	MXN	1,997	07/2008		2		0			2
Buy	PLN	503	07/2008		20		0			20
Buy	RUB	4,675	01/2008		6		0			6
Sell		4,675	01/2008		0		0			0
Buy		4,675	11/2008		0		0			0
Buy	SGD	275	05/2008		9		0			9
				$	34,941	$	(6,990	)	$	27,951

See accompanying notes

Schedule of Investments

Convertible Fund

December 31, 2007 (Unaudited)

	Principal Amount (000s)			Value (000s)
BANK LOAN OBLIGATIONS 0.9%
Berry Plastics Holding Corp.
11.646% due 06/15/2014	$	177		$	166
Daimler Finance North America LLC
9.000% due 08/03/2012		1,997			1,926
Mylan Laboratories, Inc.
9.750% due 10/02/2008		57			57
Telesat Canada
9.000% due 10/31/2008		1,700			1,624
10.500% due 10/31/2008		1,300			1,241
Verso Paper Holdings LLC and Verson Paper, Inc.
11.161% due 02/01/2013		300			286
Total Bank Loan Obligations (Cost $5,463)					5,300
CORPORATE BONDS & NOTES 10.2%
Banking & Finance 1.8%
Ajax Re Ltd.
11.241% due 05/08/2009		125			126
Citigroup Funding, Inc.
2.080% due 08/31/2012		2,000			1,994
Ford Motor Credit Co. LLC
7.992% due 01/13/2012		500			420
GMAC LLC
6.119% due 05/15/2009		5,000			4,659
LVB Acquisition Merger Sub, Inc.
11.625% due 10/15/2017		2,500			2,475
Nuveen Investments, Inc.
10.500% due 11/15/2015		750			751
Yankee Acquisition Corp.
8.500% due 02/15/2015		175			162
					10,587
Industrials 7.4%
Albertson’s LLC
6.950% due 08/01/2009		6,000			6,106
Allison Transmission
11.000% due 11/01/2015		2,750			2,516
Berry Plastics Holding Corp.
8.875% due 09/15/2014		150			143
Bon-Ton Stores, Inc.
10.250% due 03/15/2014		1,750			1,330
CCH I Holdings LLC
9.920% due 04/01/2014		125			74
CCO Holdings LLC
8.750% due 11/15/2013		400			384
Charter Communications Operating LLC
8.375% due 04/30/2014		250			243
Community Health Systems, Inc.
8.875% due 07/15/2015		2,000			2,048
Continental Airlines, Inc.
9.798% due 04/01/2021		230			241
Digicel Group Ltd.
8.875% due 01/15/2015		175			161
First Data Corp.
9.875% due 09/24/2015		2,675			2,491
Freescale Semiconductor, Inc.
8.866% due 12/15/2014		425			363
9.125% due 12/15/2014 (a)		500			428
10.125% due 12/15/2016		750			622
Great Lakes Chemical Corp.
7.000% due 07/15/2009		6,000			6,120
HCA, Inc.
8.750% due 09/01/2010		6,000			6,082
Intelsat Bermuda Ltd.
8.886% due 01/15/2015		500			504
JetBlue Airways Corp.
9.241% due 03/15/2008		128			128
Nortel Networks Ltd.
9.492% due 07/15/2011		3,500			3,430
NPC International, Inc.
9.500% due 05/01/2014		300			270
Qwest Communications International, Inc.
8.369% due 02/15/2009		575			578
Spansion, Inc.
8.249% due 06/01/2013		500			452
Tenet Healthcare Corp.
9.250% due 02/01/2015		175			163
Tesoro Corp.
6.250% due 11/01/2012		2,500			2,512
TL Acquisitions, Inc.
10.500% due 01/15/2015		300			290
Verso Paper Holdings LLC and Verson Paper, Inc.
11.375% due 08/01/2016		500			510
West Corp.
9.500% due 10/15/2014		500			492
Williams Cos., Inc.
6.375% due 10/01/2010		6,000			6,098
					44,779
Utilities 1.0%
MetroPCS Wireless, Inc.
9.250% due 11/01/2014		250			236
Qwest Capital Funding, Inc.
7.900% due 08/15/2010		5,513			5,596
					5,832
Total Corporate Bonds & Notes (Cost $62,612)					61,198
CONVERTIBLE BONDS & NOTES 66.2%
Banking & Finance 7.0%
American Equity Investment Life Holding Co.
5.250% due 12/06/2024		250			236
Citigroup Funding, Inc.
1.080% due 08/31/2012		2,000			2,106
Countrywide Financial Corp.
1.742% due 04/15/2037		1,250			981
Deutsche Bank AG
0.000% due 09/29/2008		600			523
0.000% due 03/23/2009		5,000			4,830
0.450% due 08/31/2012		2,000			2,157
ERP Operating LP
3.850% due 08/15/2026		250			241
Forest City Enterprises, Inc.
3.625% due 10/15/2011		2,730			2,567
Morgan Stanley
1.700% due 10/15/2012		1,000			1,065
3.350% due 10/01/2012		5,000			4,799
ProLogis
1.875% due 11/15/2037		2,500			2,338
Prudential Financial, Inc.
3.516% due 12/15/2037		6,000			5,864
U.S. Bancorp
3.115% due 02/06/2037		3,000			2,996
3.176% due 09/20/2036		5,500			5,495
Vornado Realty Trust
3.625% due 11/15/2026		725			670
Wells Fargo & Co.
4.661% due 05/01/2033		5,321			5,323
					42,191
Industrials 55.8%
Actuant Corp.
2.000% due 11/15/2023		340			590
Advanced Micro Devices, Inc.
6.000% due 05/01/2015		13,550			9,705
Alliant Techsystems, Inc.
2.750% due 09/15/2011		2,025			2,681
American Tower Corp.
3.000% due 08/15/2012		1,190			2,529
Amgen, Inc.
0.125% due 02/01/2011		5,950			5,452
0.375% due 02/01/2013		8,500			7,512
AMR Corp.
4.500% due 02/15/2024		400			417
Amylin Pharmaceuticals, Inc.
3.000% due 06/15/2014		2,500			2,366
Anixter International, Inc.
1.000% due 02/15/2013		1,600			1,834
Archer-Daniels-Midland Co.
0.875% due 02/15/2014		5,925			7,177
ArvinMeritor, Inc.
4.625% due 03/01/2026		3,700			3,210
BioMarin Pharmaceuticals, Inc.
1.875% due 04/23/2017		1,350			2,506
Bristol-Myers Squibb Co.
4.491% due 09/15/2023		7,150			7,204
Cameron International Corp.
2.500% due 06/15/2026		1,900			2,936
Carnival Corp.
2.000% due 04/15/2021		2,550			2,993
Cephalon, Inc.
0.000% due 06/15/2033		1,675			2,241
Ceradyne, Inc.
2.875% due 12/15/2035		750			801
Charter Communications, Inc.
6.500% due 10/01/2027		300			180
Chesapeake Energy Corp.
2.500% due 05/15/2037		7,700			8,595
Ciena Corp.
0.875% due 06/15/2017		1,150			1,218
Comcast Holdings Corp.
2.000% due 11/15/2029		6			233
Devon Energy Corp.
4.900% due 08/15/2008		1,150			2,011
DST Systems, Inc.
4.125% due 08/15/2023		1,200			2,130
Edwards Lifesciences Corp.
3.875% due 05/15/2033		2,125			2,154
Electronic Data Systems Corp.
3.875% due 07/15/2023		650			649
EMC Corp.
1.750% due 12/01/2011		6,200			8,409
Fisher Scientific International, Inc.
2.500% due 10/01/2023		255			631
3.250% due 03/01/2024		3,610			5,663
Fluor Corp.
1.500% due 02/15/2024		1,075			2,798
Ford Motor Co.
4.250% due 12/15/2036		11,275			11,261
Gannett Co., Inc.
4.798% due 07/15/2037		11,000			10,964
General Cable Corp.
1.000% due 10/15/2012		2,500			2,828
General Mills, Inc.
5.168% due 04/11/2037		5,324			5,337
Genzyme Corp.
1.250% due 12/01/2023		3,000			3,472
Gilead Sciences, Inc.
0.625% due 05/01/2013		2,700			3,638
Halliburton Co.
3.125% due 07/15/2023		2,275			4,621
Hanover Compressor Co.
4.750% due 01/15/2014		200			380
Hilton Hotels Corp.
3.375% due 04/15/2023		277			585
Host Hotels & Resorts, Inc.
2.625% due 04/15/2027		10,450			8,974
ImClone Systems, Inc.
1.375% due 05/15/2024		200			189
Integra LifeSciences Holdings Corp.
2.750% due 06/01/2010		2,450			2,321
Intel Corp.
2.950% due 12/15/2035		3,500			3,793
International Game Technology, Inc.
2.600% due 12/15/2036		7,200			7,344
Interpublic Group of Cos., Inc.
4.250% due 03/15/2023		2,700			2,657
4.500% due 03/15/2023		225			230
Invitrogen Corp.
2.000% due 08/01/2023		1,050			1,520
Juniper Networks, Inc.
0.000% due 06/15/2008		1,050			1,750
L-1 Identity Solutions, Inc.
3.750% due 05/15/2027		2,000			1,950
L-3 Communications Corp.
3.000% due 08/01/2035		3,600			4,370
Lamar Advertising Co.
2.875% due 12/31/2010		2,260			2,636
Level 3 Communications, Inc.
3.500% due 06/15/2012		500			441
10.000% due 05/01/2011		125			142
LifePoint Hospitals, Inc.
3.500% due 05/15/2014		6,850			6,122
Linear Technology Corp.
3.000% due 05/01/2027		4,825			4,614
Lockheed Martin Corp.
4.619% due 08/15/2033		2,725			4,016
Macrovision Corp.
2.625% due 08/15/2011		1,450			1,374
Magnum Hunter Resources, Inc.
4.991% due 12/15/2023		200			305
Manor Care, Inc.
2.125% due 08/01/2035		300			450
2.625% due 04/15/2023		325			701
Medtronic, Inc.
1.250% due 09/15/2021		550			551
1.625% due 04/15/2013		10,275			11,020
Microchip Technology, Inc.
2.125% due 12/15/2037		2,000			2,108
Micron Technology, Inc.
1.875% due 06/01/2014		1,700			1,362
Millipore Corp.
3.750% due 06/01/2026		4,460			4,806
Mylan, Inc.
1.250% due 03/15/2012		9,000			8,212
Nabors Industries, Inc.
0.000% due 06/15/2023		250			252
0.940% due 05/15/2011		13,250			12,521
Nortel Networks Corp.
1.750% due 04/15/2012		3,100			2,507
2.125% due 04/15/2014		6,950			5,421
NovaMed, Inc.
1.000% due 06/15/2012		1,800			1,498
Novell, Inc.
0.500% due 07/15/2024		150			142
Omnicare, Inc.
3.250% due 12/15/2035		2,000			1,468
ON Semiconductor Corp.
2.625% due 12/15/2026		150			164
Peabody Energy Corp.
4.750% due 12/15/2066		2,910			3,703
Placer Dome, Inc.
2.750% due 10/15/2023		1,120			1,994
Pride International, Inc.
3.250% due 05/01/2033		1,525			2,063
Qwest Communications International, Inc.
3.500% due 11/15/2025		8,000			10,710
Rayonier TRS Holdings, Inc.
3.750% due 10/15/2012		4,500			4,731
Red Hat, Inc.
0.500% due 01/15/2024		2,650			2,696
Roper Industries, Inc.
1.481% due 01/15/2034 (i)		2,450			1,932
SanDisk Corp.
1.000% due 05/15/2013		4,500			3,639
Schlumberger Ltd.
1.500% due 06/01/2023		300			816
2.125% due 06/01/2023		1,850			4,576
Scientific Games Corp.
0.750% due 12/01/2024		1,000			1,247
Sinclair Broadcast Group, Inc.
3.000% due 05/15/2027		450			405
Spansion, Inc.
2.250% due 06/15/2016		2,000			1,165
St. Jude Medical, Inc.
1.220% due 12/15/2008		4,700			4,735
2.800% due 12/15/2035		250			250
Symantec Corp.
1.000% due 06/15/2013		5,800			6,068
Synaptics, Inc.
0.750% due 12/01/2024		250			268
Tektronix, Inc.
1.625% due 07/15/2012		2,200			2,354
Teva Pharmaceutical Finance Co. BV
1.750% due 02/01/2026		9,350			10,425
Transocean, Inc.
1.500% due 12/15/2037		3,000			3,274
Ventas, Inc.
3.875% due 11/15/2011		3,350			3,664
VeriFone Holdings, Inc.
1.625% due 06/15/2012		2,150			1,854
Walt Disney Co.
2.125% due 04/15/2023		2,775			3,177
Wyeth
4.886% due 01/15/2024		4,301			4,559
Xilinx, Inc.
3.125% due 03/15/2037		3,300			2,854
YRC Worldwide, Inc.
3.375% due 11/25/2023		5,304			4,376
					335,377
Utilities 3.4%
CenterPoint Energy, Inc.
3.750% due 05/15/2023		1,625			2,497
CMS Energy Corp.
2.875% due 12/01/2024		3,000			4,028
3.375% due 07/15/2023		450			750
Covanta Holding Corp.
1.000% due 02/01/2027		1,600			1,792
Lucent Technologies, Inc.
2.875% due 06/15/2023		5,089			4,669
NII Holdings, Inc.
3.125% due 06/15/2012		3,000			2,588
PPL Energy Supply LLC
2.625% due 05/15/2023		1,200			2,502
Time Warner Telecom, Inc.
2.375% due 04/01/2026		1,200			1,533
					20,359
Total Convertible Bonds & Notes (Cost $399,734)					397,927
MUNICIPAL BONDS & NOTES 0.1%
Illinois State Finance Authority Sports Facilities Revenue Notes, Series 2007
9.000% due 03/01/2014		320			326
Total Municipal Bonds & Notes (Cost $320)					326
	Shares
COMMON STOCKS 4.2%
Allied Waste
Industries, Inc. (b)(i)		167,400			1,845
Bank of America Corp. (i)		30,000			1,238
Celgene Corp. (b)		64,300			2,971
Citigroup, Inc.		25,000			736
Citizens
Communications Co.		60,000			764
Cleveland-Cliffs, Inc.		18,100			1,824
CSX Corp.		26,600			1,170
DaVita, Inc. (b)		5,700			321
El Paso Pipeline
Partners LP (b)		40,000			1,002
Ferrellgas Partners-LP		7,400			162
Motorola, Inc.		115,000			1,845
News Corp. ‘B’		48,600			1,033
Public Service Enterprise
Group, Inc.		4,090			402
Reliant Energy, Inc. (b)		14,149			371
Suburban Propane
Partners LP		6,200			252
TECO Energy, Inc.		20,000			344
Time Warner, Inc.		169,000			2,790
Transocean, Inc. (b)		4,581			686
U.S. Bancorp		30,000			952
Williams Cos., Inc.		54,600			1,954
Windstream Corp.		34,800			453
Xerox Corp.		35,500			575
Yahoo! Inc. (b)		72,800			1,693
Total Common Stocks (Cost $26,688)					25,383
CONVERTIBLE PREFERRED STOCKS 13.7%
Consumer Discretionary 2.8%
Celanese Corp.
4.250% due 12/31/2049		58,000			3,161
General Motors Corp.
6.250% due 07/15/2033		682,000			13,347
Huntsman Corp.
5.000% due 02/16/2008		5,500			273
					16,781
Consumer Services 3.9%
Affiliated Managers Group, Inc.
5.100% due 04/15/2036		45,600			2,405
AMG Capital Trust II
5.150% due 10/15/2037		50,000			2,219
Fannie Mae
5.375% due 12/31/2049		49			4,155
MetLife, Inc.
6.375% due 08/15/2008		177,600			5,483
Simon Property Group, Inc.
6.000% due 12/31/2049		5,400			385
SLM Corp.
7.250% due 12/15/2010		2,000			2,074
Vale Capital Ltd.
5.500% due 06/15/2010		15,400			988
Washington Mutual Capital Trust
5.375% due 05/03/2041		135,400			3,825
Washington Mutual, Inc.
7.750% due 12/31/2049		2,000			1,721
					23,255
Energy 2.9%
Chesapeake Energy Corp.
4.500% due 12/31/2049		35,500			3,838
CMS Energy Corp.
4.500% due 12/31/2049		5,000			454
El Paso Corp.
4.990% due 12/31/2049		4,500			6,338
Entergy Corp.
7.625% due 02/17/2009		23,000			1,650
NRG Energy, Inc.
4.000% due 12/31/2049		2,285			5,070
5.750% due 03/16/2009		1,000			375
					17,725
Healthcare 0.9%
Schering-Plough Corp.
6.000% due 08/13/2010		22,000			5,343
Industrials 3.2%
Allied Waste Industries, Inc.
6.250% due 03/01/2008		2,665			761
Bunge Ltd.
5.125% due 12/01/2010		1,500			1,662
Freeport-McMoRan Copper & Gold, Inc.
6.750% due 05/01/2010		110,500			16,677
					19,100
Total Convertible Preferred Stocks (Cost $84,687)					82,204
PREFERRED STOCKS 0.5%
Freddie Mac
8.375% due 12/31/2049		145,000			3,824
Total Preferred Stocks (Cost $ 3,625)					3,824
		Principal Amount (000s	)
SHORT-TERM INSTRUMENTS 3.8%
Commercial Paper 3.2%
Skandinaviska Enskilda Banken AB
5.050% due 01/25/2008	$	5,300			5,283
UBS Finance Delaware LLC
4.000% due 01/02/2008		14,200			14,200
					19,483
Repurchase Agreements 0.3%
State Street Bank and Trust Co.
3.900% due 01/02/2008		1,855			1,855
(Dated 12/31/2007. Collateralized by Federal Home Loan Bank 4.125% due 02/15/2008 valued at $1,893. Repurchase proceeds are $1,855.)
U.S. Treasury Bills 0.3%
2.940% due 03/13/2008 (c)(d)		1,500			1,486
Total Short-Term Instruments (Cost $22,829)					22,824
Purchased Options (h) 0.0% (Cost $14)					1
Total Investments 99.6% (Cost $605,972)				$	598,987
Other Assets and Liabilities (Net) 0.4%					2,123
Net Assets (e) 100.0%				$	601,110

Notes to Schedule of Investments (amounts in thousands*, except number of contracts):

* A zero balance may reflect actual amounts rounding to less than one thousand.

(a) Payment in-kind bond security.

(b) Non-income producing security.

(c) Coupon represents a weighted average rate.

(d) Securities with an aggregate market value of $1,238 have been pledged as collateral for swap and swaption contracts on December 31, 2007.

(e) As of December 31, 2007, portfolio securities with an aggregate value of $2,074 and derivative instruments with an aggregate depreciation of ($555) were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(f) The average amount of borrowings outstanding during the period ended December 31, 2007 was $3,849 at a weighted average interest rate of 5.140%. On December 31, 2007, there were no open reverse repurchase agreements.

(g) Swap agreements outstanding on December 31, 2007:

Credit Default Swaps on Securities

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date		National Amount		Unrealized Appreciation/ (Depreciation	)
Bank of America	HCA, Inc. 8.750% due 09/01/2010	Buy	(3.730%	)	09/01/2010	$	6,000	$	(123	)
Bank of America	SLM Corp. 5.125% due 08/27/2012	Sell	1.350%		06/20/2010		1,400		(54	)
Bank of America	SUPERVALU, Inc. 0.000% convertible until 11/02/2031	Sell	0.400%		09/20/2008		1,000		(1	)
Barclays Bank PLC	Intelsat Ltd. 6.500% due 11/01/2013	Buy	(1.300%	)	03/20/2010		500		45
Barclays Bank PLC	Intelsat Ltd. 6.500% due 11/01/2013	Sell	2.500%		03/20/2012		500		(85	)
Citibank N.A.	Celestica, Inc. 7.875% due 07/01/2011	Sell	4.400%		06/20/2012		150		(3	)
Citibank N.A.	Gannett Co., Inc. 6.375% due 04/01/2012	Buy	(0.150%	)	08/20/2008		3,000		5
Citibank N.A.	Gannett Co., Inc. 6.375% due 04/01/2012	Buy	(0.150%	)	09/20/2008		3,000		5
Citibank N.A.	GMAC LLC 6.875% due 08/28/2012	Sell	1.120%		12/20/2008		250		(15	)
Citibank N.A.	GMAC LLC 6.875% due 08/28/2012	Sell	5.300%		12/20/2012		2,600		(145	)
Citibank N.A.	HCA, Inc. 9.125% due 11/15/2014	Sell	2.000%		09/20/2012		600		(28	)
Citibank N.A.	HCA, Inc. 9.125% due 11/15/2014	Sell	2.400%		06/20/2014		400		(27	)
Citibank N.A.	Nortel Networks Corp. 4.250% due 09/01/2008	Buy	(3.670%	)	07/15/2011		3,500		58
Citibank N.A.	Nortel Networks Corp. 4.250% due 09/01/2008	Sell	3.950%		09/20/2012		1,500		(51	)
Citibank N.A.	Nortel Networks Corp. 4.250% due 09/01/2008	Buy	(4.550%	)	09/20/2014		750		27
Citibank N.A.	Sanmina-SCI Corp. 8.125% due 03/01/2016	Sell	4.600%		06/20/2012		150		(7	)
Citibank N.A.	Sungard Data Systems, Inc. 9.125% due 08/15/2013	Sell	2.500%		06/20/2012		150		(8	)
Citibank N.A.	Tesoro Corp. 6.625% due 11/01/2015	Buy	(1.250%	)	12/20/2012		2,500		(3	)
Citibank N.A.	Williams Cos., Inc. 6.375% due 10/01/2010	Buy	(0.770%	)	10/01/2010		6,000		(53	)
Credit Suisse USA, Inc.	Freescale Semiconductor, Inc. 7.125% due 07/15/2014	Buy	(2.250%	)	12/20/2009		1,000		41
Credit Suisse USA, Inc.	Lear Corp. 5.750% due 08/01/2014	Buy	(2.250%	)	03/20/2010		300		8
Credit Suisse USA, Inc.	Lear Corp. 5.750% due 08/01/2014	Sell	3.500%		03/20/2012		600		(22	)
Credit Suisse USA, Inc.	Lear Corp. 5.750% due 08/01/2014	Buy	(4.200%	)	03/20/2014		300		9
Credit Suisse USA, Inc.	Pride International, Inc. 3.125% convertible until 05/01/2033	Sell	0.700%		09/20/2008		1,000		0
Credit Suisse USA, Inc.	Univision Communiciations, Inc. 7.850% due 07/15/2011	Buy	(1.550%	)	03/20/2010		900		62
Credit Suisse USA, Inc.	Univision Communiciations, Inc. 7.850% due 07/15/2011	Sell	2.850%		03/20/2012		600		(65	)
Deutsche Bank AG	Chrysler Financial 9.360% due 08/03/2012	Sell	5.250%		09/20/2012		2,000		40
Deutsche Bank AG	Freescale Semiconductor, Inc. 7.125% due 07/15/2014	Sell	2.600%		12/20/2009		1,000		(34	)
Deutsche Bank AG	General Motors Corp. 7.125% due 07/15/2013	Buy	(5.300%	)	12/20/2012		2,600		152
Deutsche Bank AG	JetBlue Airways Corp. 3.500% due 07/15/2033	Buy	(3.300%	)	03/20/2008		250		0
Goldman Sachs & Co.	HCA, Inc. 6.950% due 05/01/2012	Buy	(1.870%	)	03/20/2010		1,000		16
Goldman Sachs & Co.	HCA, Inc. 6.950% due 05/01/2012	Sell	3.320%		03/20/2012		1,000		(19	)
Lehman Brothers, Inc.	Ford Motor Credit Co. LLC 7.250% due 10/25/2011	Sell	4.000%		12/20/2008		2,000		(42	)
Lehman Brothers, Inc.	HCA, Inc. 7.858% due 11/16/2012	Sell	1.250%		09/20/2008		2,500		(7	)
Lehman Brothers, Inc.	Nortel Networks Corp. 4.250% due 09/01/2008	Buy	(1.520%	)	06/20/2010		750		36
Lehman Brothers, Inc.	NRG Energy, Inc. 7.250% due 02/01/2014	Sell	0.750%		03/20/2008		650		0
Lehman Brothers, Inc.	Qwest Capital Funding, Inc. 7.900% due 08/15/2010	Buy	(2.650%	)	08/15/2010		5,500		(54	)
Merrill Lynch & Co., Inc.	Countrywide Financial Corp. floating rate based on 3-Month USD-LIBOR plus 3.500% due 04/15/2037	Buy	(3.400%	)	12/20/2008		1,250		136
Merrill Lynch & Co., Inc.	GMAC LLC 6.875% due 08/28/2012	Sell	4.650%		09/20/2008		450		(11	)
Merrill Lynch & Co., Inc.	GMAC LLC 6.875% due 08/28/2012	Buy	(2.800%	)	05/15/2009		4,667		283
Morgan Stanley	Albertsons LLC 6.950% due 08/01/2009	Buy	(0.850%	)	08/01/2009		6,000		(40	)
Morgan Stanley	CSC Holdings, Inc. 7.625% due 04/01/2011	Sell	2.010%		06/20/2012		450		(32	)
Morgan Stanley	Great Lakes Chemical Corp. 7.000% due 07/15/2009	Buy	(0.370%	)	07/15/2009		6,000		(21	)
UBS Warburg LLC	Tenet Healthcare Corp. 7.375% due 02/01/2013	Buy	(1.150%	)	03/20/2009		50		2
								$	(25	)

Credit Default Swaps on Credit Indices

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Goldman Sachs & Co.	Dow Jones CDX N.A. HY9 Index	Sell	1.750	%	12/20/2010	$	12,000	$	32
JPMorgan Chase & Co.	Dow Jones CDX N.A. HY9 Index	Sell	3.200	%	12/20/2012		7,500		(5	)
Lehman Brothers, Inc.	Dow Jones CDX N.A. HY9 Index	Sell	3.330	%	12/20/2012		7,800		45
Merrill Lynch & Co., Inc.	Dow Jones CDX N.A. HY9 Index	Buy	(3.750	%)	12/20/2012		4,000		37
Merrill Lynch & Co., Inc.	Dow Jones CDX N.A. HY9 Index	Sell	3.080	%	12/20/2012		700		(5	)
								$	104

⁽¹⁾ If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will pay to the buyer of the protection an amount up to the notional value of the swap and in certain instances, take delivery of the security. As a buyer of protection, the Fund will generally receive from the seller of protection an amount up to the notional amount of the swap if a credit event occurs.

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Barclays Bank PLC	BRL-CDI-Compounded	Pay	10.680	%	01/02/2012	BRL	7,200	$	(219	)
Goldman Sachs & Co.	BRL-CDI-Compounded	Pay	10.150	%	01/02/2012		800		(27	)
Morgan Stanley	BRL-CDI-Compounded	Pay	10.115	%	01/02/2012		8,200		(309	)
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	7.910	%	05/14/2009	MXN	5,000		(1	)
Morgan Stanley	28-Day Mexico Interbank TIIE Banxico	Pay	7.910	%	05/14/2009		6,000		(2	)
Barclays Bank PLC	3-Month USD-LIBOR	Pay	4.000	%	06/18/2013	$	32,500		234
JPMorgan Chase & Co.	3-Month USD-LIBOR	Pay	4.000	%	06/18/2013		1,500		0
								$	(324	)

Total Return Swaps

Counterparty	Type	Receive Total Return	Pay		Expiration Date	# of Contracts	Unrealized Appreciation/ (Depreciation)
Merrill Lynch & Co., Inc.	Long	Financial Select Sector SPDR Fund	5.102	%	01/23/2008	30,000	$	(56	)
Merrill Lynch & Co., Inc.	Long	Financial Select Sector SPDR Fund	5.186	%	01/23/2008	385,000		(1,053	)
Merrill Lynch & Co., Inc.	Long	Neveen Floating Rate Income Opportunity Fund	5.334	%	01/23/2008	22,800		(17	)
Merrill Lynch & Co., Inc.	Long	S&P Depositary Receipts Trust Series 1	5.350	%	01/23/2008	165,000		(573	)
Merrill Lynch & Co., Inc.	Long	SandRidge Energy, Inc.	5.441	%	01/23/2008	52,600		173
Merrill Lynch & Co., Inc.	Long	TECO Energy, Inc.	5.334	%	01/23/2008	6,100		7
Merrill Lynch & Co., Inc.	Long	Financial Select Sector SPDR Fund	5.019	%	01/28/2008	20,000		(10	)
							$	(1,529	)

(h) Purchased options outstanding on December 31, 2007:

Options on Securities

Description	Strike Price		Expiration Date	Notional Amount		Cost		Value
Call - AMEX JetBlue Airways Corp.	$	23.375	01/19/2008	$	1,800	$	14	$	1

(i) Restricted securities as of December 31, 2007:

Issuer Description	Coupon		Maturity Date	Acquisition Date	Cost		Market Value		Market Value as Percentage of Net Assets
Allied Waste Industries, Inc.	N/A		N/A	08/08/2007-10/16/2007	$	2,143	$	1,845	0.31	%
Bank of America Corp.	N/A		N/A	10/18/2007-10/25/2007		1,442		1,238	0.20	%
Roper Industries, Inc.	1.481	%	01/15/2034	03/08/2005-10/01/2007		1,863		1,932	0.32	%
					$	5,448	$	5,015	0.83	%

(j) Foreign currency contracts outstanding on December 31, 2007:

Type	Currency	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	BRL	4,751	03/2008	$	226	$	0		$	226
Sell	GBP	1,453	01/2008		37		0			37
Buy	INR	70,444	05/2008		43		0			43
Buy	KRW	1,077,412	05/2008		4		0			4
Buy		504,749	08/2008		0		(12	)		(12	)
Buy	MXN	11,476	03/2008		0		(3	)		(3	)
Buy		7,560	07/2008		18		0			18
Buy	RUB	53,849	01/2008		63		0			63
Sell		53,849	01/2008		10		0			10
Buy		10,125	07/2008		10		0			10
Buy		53,849	11/2008		0		(10	)		(10	)
				$	411	$	(25	)	$	386

See accompanying notes

Schedule of Investments

Developing Local Markets Fund

December 31, 2007 (Unaudited)

		Principal Amount (000s)		Value (000s)
BANK LOAN OBLIGATIONS 0.2%
Lukoil Finance Ltd.
5.545% due 01/11/2009	$	4,830	$	4,805
OAO Rosneft Oil Co.
5.505% due 09/17/2009		3,548		3,460
Total Bank Loan Obligations (Cost $8,340)				8,265
CORPORATE BONDS & NOTES 47.6%
Banking & Finance 33.1%
American Express Bank FSB
4.956% due 06/22/2009		2,900		2,892
5.252% due 06/12/2009		4,750		4,735
American Express Centurion Bank
5.056% due 04/17/2009		10,000		9,971
5.188% due 12/17/2009		1,400		1,387
5.250% due 05/07/2008		1,700		1,699
American Express Credit Corp.
5.025% due 05/19/2009		1,400		1,383
American Honda Finance Corp.
5.206% due 03/09/2009		1,100		1,101
American International Group, Inc.
4.884% due 06/23/2008		2,300		2,301
5.078% due 06/16/2009		6,100		6,100
Banco Nacional de Comercio Exterior SNC
3.875% due 01/21/2009		6,780		6,602
Banco Santander Chile
5.496% due 12/09/2009		12,000		11,975
Bank of America Corp.
4.852% due 09/25/2009		23,000		22,954
4.875% due 11/06/2009		3,200		3,190
Bank of America N.A.
4.966% due 12/18/2008		5,650		5,648
5.040% due 02/27/2009		4,500		4,493
5.132% due 06/12/2009		6,000		5,988
Bank of Ireland
4.951% due 12/19/2008		2,000		1,999
5.016% due 12/18/2009		43,450		43,345
Bank of Scotland PLC
5.028% due 07/17/2008		1,500		1,500
5.206% due 12/08/2010		20,100		20,032
5.254% due 07/17/2009		15,300		15,285
Bear Stearns Cos., Inc.
4.920% due 03/30/2009		10,750		10,480
5.190% due 01/31/2011		13,500		12,197
5.284% due 01/30/2009		9,900		9,799
5.599% due 07/19/2010		30,800		28,966
Caterpillar Financial Services Corp.
4.929% due 08/11/2009		9,000		8,953
4.965% due 05/18/2009		13,200		13,168
5.216% due 03/10/2009		7,100		7,088
5.293% due 10/09/2009		23,900		23,699
Charter One Bank N.A.
5.115% due 04/24/2009		9,000		8,966
CIT Group Holdings, Inc.
5.134% due 01/30/2009		29,750		27,956
CIT Group, Inc.
5.019% due 08/15/2008		1,400		1,389
Citigroup Funding, Inc.
5.304% due 03/02/2009		31,600		31,391
Citigroup, Inc.
4.872% due 12/28/2009		19,000		18,663
4.898% due 12/26/2008		2,900		2,888
4.995% due 05/18/2011		8,900		8,701
5.055% due 05/18/2010		12,800		12,685
Colvis Finance Ltd.
8.000% due 02/02/2009		10,710		10,719
Commonwealth Bank of Australia
5.282% due 06/08/2009		1,600		1,600
Credit Agricole S.A.
5.053% due 05/28/2009		3,900		3,903
5.103% due 05/28/2010		32,900		32,913
DnB NORBank ASA
5.312% due 10/13/2009		1,500		1,501
El Paso Performance-Linked Trust
7.750% due 07/15/2011		300		309
Export-Import Bank of Korea
4.125% due 02/10/2009		2,900		2,871
4.250% due 11/06/2008		1,404		1,395
4.500% due 08/12/2009		12,600		12,473
5.214% due 06/01/2009		15,800		15,830
Ford Motor Credit Co. LLC
5.625% due 10/01/2008		2,000		1,942
5.800% due 01/12/2009		1,200		1,139
Fortis Bank NY
4.882% due 09/28/2009		16,400		16,344
Gazinvest Luxembourg S.A. for Gazprombank
7.250% due 10/30/2008		600		603
General Electric Capital Corp.
4.939% due 08/15/2011		2,800		2,753
5.091% due 06/15/2009		1,200		1,199
5.095% due 10/26/2009		2,600		2,595
5.111% due 12/15/2009		13,400		13,356
5.162% due 03/12/2010		8,900		8,852
5.303% due 10/06/2010		6,100		6,052
5.373% due 04/10/2012		24,000		23,705
GMAC LLC
6.034% due 09/23/2008		27,700		26,765
6.119% due 05/15/2009		6,700		6,243
Goldman Sachs Group, Inc.
4.924% due 12/23/2008		3,000		2,992
4.958% due 11/16/2009		6,300		6,187
4.969% due 11/10/2008		11,700		11,676
4.974% due 12/22/2008		21,600		21,544
4.974% due 06/23/2009		9,000		8,859
5.108% due 11/16/2009		15,300		15,062
5.111% due 07/29/2008		18,900		18,878
5.324% due 03/02/2010		14,500		14,327
HSBC Bank USA N.A.
5.188% due 12/14/2009		1,750		1,741
HSBC Finance Corp.
4.982% due 05/21/2008		1,700		1,700
5.121% due 09/15/2008		14,400		14,396
5.158% due 11/16/2009		8,700		8,570
5.212% due 03/12/2010		1,300		1,276
5.240% due 10/21/2009		2,400		2,390
5.281% due 12/05/2008		1,500		1,497
IBM International Group Capital LLC
4.929% due 02/13/2009		31,600		31,586
ICICI Bank Ltd.
5.788% due 01/12/2010		6,300		6,222
Industry & Construction Bank St. Petersburg OJSC
6.875% due 07/29/2008		4,700		4,720
Intergas Finance BV
6.875% due 11/04/2011		1,800		1,746
International Lease Finance Corp.
5.250% due 05/24/2010		9,000		8,882
5.520% due 04/20/2009		3,900		3,896
5.642% due 01/15/2010		5,000		5,000
John Deere Capital Corp.
5.038% due 09/25/2008		20,600		20,610
5.292% due 04/15/2008		12,010		12,017
5.292% due 07/15/2008		9,000		8,996
5.514% due 10/16/2009		9,500		9,512
JPMorgan Chase & Co.
4.915% due 06/26/2009		1,500		1,494
4.938% due 06/25/2010		19,700		19,453
5.300% due 05/07/2010		8,400		8,293
5.384% due 01/17/2011		7,000		6,937
5.419% due 10/02/2009		8,100		8,057
Lehman Brothers Holdings, Inc.
4.905% due 11/24/2008		1,700		1,674
4.934% due 12/23/2008		11,585		11,390
4.978% due 11/16/2009		6,300		6,140
5.082% due 08/21/2009		22,000		21,387
5.094% due 12/23/2010		5,900		5,502
5.241% due 01/23/2009		9,000		8,827
5.270% due 10/22/2008		7,900		7,844
5.320% due 04/03/2009		4,400		4,304
Merrill Lynch & Co., Inc.
4.914% due 12/22/2008		1,600		1,579
4.960% due 08/14/2009		11,700		11,454
5.074% due 01/30/2009		9,500		9,438
5.091% due 06/16/2008		3,000		2,992
5.191% due 10/23/2008		3,500		3,453
Metropolitan Life Global Funding I
4.945% due 05/17/2010		2,600		2,582
Mirage Resorts, Inc.
6.750% due 02/01/2008		1,350		1,357
Morgan Stanley
4.925% due 05/07/2009		1,100		1,087
4.972% due 11/21/2008		1,400		1,390
5.006% due 02/09/2009		10,400		10,274
5.332% due 01/15/2010		8,800		8,706
5.420% due 01/22/2009		8,900		8,804
National Australia Bank Ltd.
5.181% due 09/11/2009		23,400		23,385
5.231% due 10/01/2008		1,500		1,499
Pemex Finance Ltd.
9.690% due 08/15/2009		4,423		4,555
Petroleum Export Ltd.
4.623% due 06/15/2010		7,818		7,700
4.633% due 06/15/2010		767		755
5.265% due 06/15/2011		9,738		9,675
Royal Bank of Scotland Group PLC
5.230% due 07/21/2008		1,900		1,900
Santander U.S. Debt S.A. Unipersonal
4.925% due 02/06/2009		15,000		14,919
4.970% due 09/19/2008		1,800		1,794
5.201% due 11/20/2009		9,000		8,893
Sistema Finance S.A.
10.250% due 04/14/2008		6,850		6,911
SLM Corp.
5.224% due 07/27/2009		31,700		29,830
5.284% due 01/26/2009		4,300		4,154
Spinnaker Capital Ltd.
16.491% due 06/15/2008		1,000		1,043
UBS AG
5.141% due 07/23/2009		18,400		18,387
Unicredit Luxembourg Finance S.A.
5.142% due 10/24/2008		16,085		16,056
Universal City Florida Holding Co. I
9.661% due 05/01/2010		6,500		6,532
Ventas Realty LP
8.750% due 05/01/2009		1,800		1,854
VTB Capital S.A.
5.494% due 08/01/2008		32,600		32,275
6.660% due 11/02/2009		66,700		66,718
Wachovia Bank N.A.
5.015% due 02/23/2009		4,250		4,241
5.090% due 05/25/2010		9,000		8,952
5.194% due 12/02/2010		9,000		8,936
5.200% due 10/03/2008		2,300		2,296
Wachovia Corp.
5.034% due 10/28/2008		6,000		5,985
5.111% due 03/15/2011		9,000		8,840
5.174% due 12/01/2009		19,500		19,343
5.372% due 10/15/2011		22,800		22,313
Wells Fargo & Co.
4.944% due 03/23/2010		26,400		26,210
5.091% due 09/15/2009		3,700		3,676
5.182% due 01/24/2012		3,700		3,634
Westpac Banking Corp.
5.212% due 06/06/2008		3,500		3,498
World Savings Bank FSB
4.938% due 05/08/2009		500		501
4.976% due 06/20/2008		1,600		1,601
5.249% due 03/02/2009		5,650		5,668
				1,399,860
Industrials 11.1%
Albertson’s LLC
6.950% due 08/01/2009		500		509
America Movil SAB de C.V.
4.958% due 06/27/2008		36,900		36,900
Amgen, Inc.
5.133% due 11/28/2008		16,300		16,285
Anadarko Petroleum Corp.
5.391% due 09/15/2009		22,900		22,555
Cablevision Systems Corp.
9.644% due 04/01/2009		5,000		5,081
Cisco Systems, Inc.
5.095% due 02/20/2009		2,700		2,698
Citigroup Global Markets Deutschland AG for OAO Gazprom
10.500% due 10/21/2009		155,534		168,622
Comcast Corp.
5.542% due 07/14/2009		9,000		8,971
ConocoPhillips Australia Funding Co.
5.343% due 04/09/2009		1,368		1,366
CSC Holdings, Inc.
7.250% due 07/15/2008		500		502
CSN Islands VII Corp.
10.750% due 09/12/2008		14,950		15,436
CVS Caremark Corp.
5.441% due 06/01/2010		2,600		2,574
Daimler Finance North America LLC
5.328% due 08/03/2009		9,300		9,240
5.461% due 03/13/2009		2,100		2,089
5.541% due 03/13/2009		8,500		8,443
EchoStar DBS Corp.
5.750% due 10/01/2008		9,350		9,362
General Mills, Inc.
5.310% due 01/22/2010		3,700		3,677
HJ Heinz Co.
6.428% due 12/01/2008		4,300		4,379
Home Depot, Inc.
5.116% due 12/16/2009		1,800		1,764
Kimberly-Clark Corp.
5.060% due 07/30/2010		12,400		12,385
Kraft Foods, Inc.
5.387% due 08/11/2010		3,100		3,076
Mandalay Resort Group
6.500% due 07/31/2009		3,450		3,467
9.500% due 08/01/2008		500		512
MMK Finance S.A.
8.000% due 10/21/2008		4,992		5,042
Pemex Project Funding Master Trust
5.724% due 12/03/2012		5,245		5,178
6.125% due 08/15/2008		241		242
7.042% due 10/15/2009		15,888		16,086
8.500% due 02/15/2008		20,533		20,610
9.375% due 12/02/2008		152		158
Qwest Communications International, Inc.
8.369% due 02/15/2009		1,966		1,976
Roseton
7.270% due 11/08/2010		1,136		1,150
Safeway, Inc.
5.208% due 03/27/2009		2,000		1,997
Salomon Brothers AG for OAO Siberian Oil Co.
10.750% due 01/15/2009		3,800		3,980
Siemens Financieringsmaatschappij NV
4.920% due 08/14/2009		5,600		5,604
Time Warner, Inc.
5.109% due 11/13/2009		8,000		7,807
Transocean, Inc.
5.341% due 09/05/2008		9,000		8,957
United Technologies Corp.
5.194% due 06/01/2009		1,700		1,690
Wal-Mart Stores, Inc.
4.891% due 06/16/2008		3,800		3,801
Walt Disney Co.
5.246% due 09/10/2009		24,450		24,344
5.294% due 07/16/2010		6,200		6,140
Weyerhaeuser Co.
5.884% due 09/24/2009		9,500		9,529
Xerox Corp.
5.716% due 12/18/2009		3,600		3,608
				467,792
Utilities 3.4%
AT&T, Inc.
4.959% due 05/15/2008		6,200		6,195
4.978% due 02/05/2010		4,700		4,660
5.080% due 11/14/2008		10,700		10,688
BellSouth Corp.
4.240% due 04/26/2021		11,250		11,211
4.969% due 08/15/2008		15,300		15,278
Deutsche Telekom International Finance BV
5.064% due 03/23/2009		3,300		3,286
8.000% due 06/15/2010		500		534
Dominion Resources, Inc.
5.050% due 11/14/2008		1,600		1,597
Empresa Brasileira de Telecom S.A.
11.000% due 12/15/2008		6,398		6,718
Empresa Nacional de Electricidad S.A.
7.750% due 07/15/2008		100		101
Entergy Gulf States, Inc.
5.896% due 12/08/2008		6,300		6,321
Florida Power Corp.
5.279% due 11/14/2008		22,700		22,674
Mobile Telesystems Finance S.A.
9.750% due 01/30/2008		19,611		19,615
Ohio Power Co.
5.424% due 04/05/2010		5,750		5,703
Qwest Capital Funding, Inc.
6.375% due 07/15/2008		500		500
Qwest Corp.
5.625% due 11/15/2008		2,900		2,900
Ras Laffan Liquefied Natural Gas Co. Ltd.
3.437% due 09/15/2009		5,314		5,312
Telefonica Emisones SAU
5.226% due 06/19/2009		5,000		4,965
Telefonos de Mexico SAB de C.V.
4.500% due 11/19/2008		16,877		16,837
UBS Luxembourg S.A. for OJSC Vimpel Communications
8.250% due 05/23/2016		700		702
				145,797
Total Corporate Bonds & Notes (Cost $2,030,588)				2,013,449
U.S. GOVERNMENT AGENCIES 3.0%
Fannie Mae
4.774% due 11/01/2035		699		700
4.925% due 12/25/2036 - 07/25/2037		6,547		6,324
5.000% due 02/25/2017		302		303
6.063% due 06/01/2043 - 07/01/2044		1,358		1,359
6.064% due 09/01/2044		2,630		2,644
Freddie Mac
4.479% due 08/01/2035		124		124
5.000% due 08/15/2016 - 11/15/2029		4,093		4,100
5.125% due 08/25/2031		498		499
5.145% due 09/25/2031		480		480
5.258% due 02/15/2019		73,496		73,135
5.378% due 12/15/2030		1,097		1,097
6.000% due 06/01/2037 - 10/01/2037		30,362		30,820
6.063% due 02/25/2045		3,345		3,339
Total U.S. Government Agencies (Cost $125,190)				124,924
MORTGAGE-BACKED SECURITIES 8.5%
Adjustable Rate Mortgage Trust
5.132% due 09/25/2035		1,687		1,675
American Home Mortgage Investment Trust
5.015% due 09/25/2035		301		301
Arran Residential Mortgages Funding PLC
5.252% due 04/12/2036		560		560
Banc of America Funding Corp.
6.144% due 01/20/2047		2,495		2,459
Banc of America Mortgage Securities, Inc.
5.660% due 07/25/2034		1,418		1,424
Bear Stearns Adjustable Rate Mortgage Trust
4.125% due 03/25/2035		41,227		40,752
4.486% due 02/25/2034		2,556		2,524
4.550% due 08/25/2035		22,245		21,913
4.614% due 07/25/2033		29,266		28,974
4.848% due 04/25/2034		1,611		1,600
Bear Stearns Alt-A Trust
5.025% due 02/25/2034		981		932
5.527% due 09/25/2035		10,891		10,731
5.902% due 01/25/2036		4,041		3,942
Bear Stearns Commercial Mortgage Securities
6.440% due 06/16/2030		1,361		1,363
Bear Stearns Mortgage Funding Trust
4.935% due 02/25/2037		1,586		1,576
Bear Stearns Structured Products, Inc.
4.989% due 01/25/2037		11,197		11,082
5.684% due 01/26/2036		9,271		9,189
5.787% due 12/26/2046		5,080		5,019
CC Mortgage Funding Corp.
4.995% due 05/25/2048		1,762		1,593
Citigroup Commercial Mortgage Trust
5.098% due 08/15/2021		216		209
Citigroup Mortgage Loan Trust, Inc.
4.098% due 08/25/2035		1,566		1,530
4.248% due 08/25/2035		9,449		9,265
4.679% due 08/25/2035		1,729		1,707
4.748% due 08/25/2035		10,874		10,728
Commercial Mortgage Pass-Through Certificates
5.128% due 04/15/2017		366		364
6.455% due 05/15/2032		1,360		1,364
Countrywide Alternative Loan Trust
4.935% due 10/25/2046		38		38
5.045% due 05/25/2047		2,078		1,962
5.129% due 02/20/2047		2,464		2,326
5.788% due 02/25/2036		701		674
Countrywide Home Loan Mortgage Pass-Through Trust
4.854% due 04/20/2035		6,549		6,536
CS First Boston Mortgage Securities Corp.
4.250% due 06/25/2033		4,164		4,144
Deutsche ALT-A Securities, Inc. Alternate Loan Trust
4.935% due 01/25/2047		1,012		992
4.945% due 02/25/2037		996		977
4.945% due 03/25/2037		956		947
4.955% due 08/25/2037		2,361		2,339
First Horizon Asset Securities, Inc.
4.737% due 07/25/2033		1,273		1,267
5.372% due 08/25/2035		1,867		1,860
First Union-Lehman Brothers-Bank of America
6.560% due 11/18/2035		3,820		3,817
Greenpoint Mortgage Funding Trust
4.945% due 10/25/2046		2,028		1,986
4.945% due 01/25/2047		1,299		1,274
5.135% due 11/25/2045		384		361
Greenpoint Mortgage Pass-Through Certificates
4.381% due 10/25/2033		2,918		2,894
GS Mortgage Securities Corp. II
5.342% due 03/06/2020		1,785		1,707
5.352% due 06/06/2020		13		13
Harborview Mortgage Loan Trust
4.995% due 04/19/2038		1,126		1,054
5.055% due 01/19/2038		933		922
5.155% due 01/19/2038		3,866		3,627
5.205% due 03/19/2037		3,649		3,430
5.222% due 07/19/2035		5,087		5,040
Impac Secured Assets CMN Owner Trust
4.945% due 01/25/2037		976		958
Indymac Index Mortgage Loan Trust
4.955% due 11/25/2046		1,033		1,007
5.047% due 12/25/2034		1,172		1,160
JPMorgan Mortgage Trust
5.023% due 02/25/2035		6,758		6,626
Lehman Brothers Floating Rate Commercial Mortgage Trust
5.108% due 09/15/2021		1,509		1,507
MASTR Adjustable Rate Mortgages Trust
3.786% due 11/21/2034		3,561		3,527
4.975% due 05/25/2047		321		319
Merrill Lynch Floating Trust
5.098% due 06/15/2022		1,515		1,471
Merrill Lynch Mortgage Investors, Inc.
5.075% due 02/25/2036		7,597		7,317
MLCC Mortgage Investors, Inc.
4.250% due 10/25/2035		12,868		12,414
5.115% due 11/25/2035		3,625		3,505
5.865% due 10/25/2035		2,078		2,042
Morgan Stanley Capital I
5.088% due 10/15/2020		1,821		1,780
Provident Funding Mortgage Loan Trust
3.799% due 08/25/2033		2,747		2,743
Residential Accredit Loans, Inc.
4.965% due 09/25/2046		1,060		1,046
5.165% due 08/25/2035		1,067		1,008
Residential Funding Mortgage Securities I, Inc.
5.216% due 09/25/2035		1,529		1,507
Sequoia Mortgage Trust
4.080% due 04/20/2035		873		868
Structured Adjustable Rate Mortgage Loan Trust
4.881% due 07/25/2034		4,646		4,635
5.357% due 01/25/2035		1,763		1,753
5.535% due 08/25/2035		1,253		1,245
Structured Asset Mortgage Investments, Inc.
4.935% due 08/25/2036		2,515		2,503
4.965% due 09/25/2047		3,601		3,572
4.995% due 03/25/2037		502		478
5.055% due 06/25/2036		873		829
5.085% due 05/25/2036		3,621		3,417
5.215% due 07/19/2035		9,250		8,859
Structured Asset Securities Corp.
4.080% due 06/25/2033		4,388		4,362
5.331% due 10/25/2035		1,138		1,127
TBW Mortgage-Backed Pass-Through Certificates
4.965% due 09/25/2036		485		479
4.975% due 01/25/2037		955		936
Thornburg Mortgage Securities Trust
4.975% due 11/25/2046		2,268		2,217
4.985% due 03/25/2046		1,500		1,474
4.985% due 09/25/2046		11,659		11,401
Wachovia Bank Commercial Mortgage Trust
5.118% due 09/15/2021		23,063		22,716
Washington Mutual, Inc.
4.208% due 06/25/2033		1,709		1,699
4.229% due 03/25/2034		1,945		1,925
5.155% due 08/25/2045		100		99
5.518% due 01/25/2047		1,316		1,239
5.598% due 12/25/2046		1,391		1,310
5.788% due 02/25/2046		1,415		1,378
5.883% due 10/25/2046		2,022		1,978
5.988% due 11/25/2042		662		641
6.288% due 09/25/2046		3,822		3,738
Wells Fargo Mortgage-Backed Securities Trust
4.998% due 12/25/2034		1,723		1,699
Total Mortgage-Backed Securities (Cost $362,641)				361,477
ASSET-BACKED SECURITIES 8.3%
Accredited Mortgage Loan Trust
4.915% due 02/25/2037		1,051		988
ACE Securities Corp.
4.915% due 08/25/2036		2,193		2,088
4.915% due 12/25/2036		1,019		989
4.935% due 12/25/2035		222		221
4.945% due 10/25/2036		2,225		2,165
4.955% due 06/25/2037		1,065		1,040
American Express Credit Account Master Trust
5.028% due 01/18/2011		1,350		1,350
5.138% due 09/15/2010		2,900		2,901
5.528% due 02/15/2012		2,667		2,667
Argent Securities, Inc.
4.905% due 06/25/2036		163		162
4.915% due 09/25/2036		1,953		1,925
4.915% due 10/25/2036		4,241		4,163
4.935% due 04/25/2036		95		95
4.945% due 03/25/2036		212		212
Asset-Backed Funding Certificates
4.905% due 09/25/2036		2,350		2,315
4.925% due 10/25/2036		1,730		1,710
4.925% due 11/25/2036		907		878
4.925% due 01/25/2037		2,754		2,711
5.215% due 06/25/2034		4,859		4,682
Asset-Backed Securities Corp. Home Equity
4.915% due 11/25/2036		667		657
4.915% due 12/25/2036		894		876
4.945% due 05/25/2037		998		960
Atrium CDO Corp.
5.441% due 06/27/2015		1,189		1,181
Aurum CLO 2002-1 Ltd.
5.672% due 04/15/2014		4,048		4,078
Bank One Issuance Trust
5.138% due 02/15/2011		700		700
Bear Stearns Asset-Backed Securities Trust
4.915% due 11/25/2036		925		908
4.945% due 10/25/2036		1,095		1,082
4.955% due 04/25/2036		377		374
5.065% due 09/25/2034		272		271
5.865% due 10/25/2037		5,457		5,247
Carrington Mortgage Loan Trust
4.905% due 05/25/2036		396		392
4.915% due 01/25/2037		880		861
4.965% due 06/25/2037		4,273		4,177
5.103% due 10/25/2035		771		716
Chase Credit Card Master Trust
5.138% due 10/15/2010		1,600		1,601
5.138% due 02/15/2011		1,500		1,500
Chase Issuance Trust
5.038% due 12/15/2010		1,700		1,700
5.048% due 02/15/2012		1,155		1,152
Citibank Credit Card Issuance Trust
2.900% due 05/17/2010		1,800		1,788
5.045% due 02/07/2010		1,100		1,100
5.342% due 01/15/2010		1,400		1,400
Citibank Credit Card Master Trust I
6.050% due 01/15/2010		1,100		1,101
Citibank Omni Master Trust
5.962% due 12/23/2013		30,500		30,481
Citigroup Mortgage Loan Trust, Inc.
4.905% due 08/25/2036		1,480		1,467
4.905% due 12/25/2036		1,132		1,099
4.915% due 11/25/2036		680		675
4.925% due 05/25/2037		1,940		1,847
4.935% due 01/25/2037		1,149		1,105
Countrywide Asset-Backed Certificates
4.895% due 01/25/2046		4,839		4,778
4.915% due 01/25/2037		1,276		1,260
4.915% due 03/25/2037		2,787		2,720
4.915% due 05/25/2037		8,995		8,786
4.915% due 07/25/2037		1,203		1,165
4.915% due 08/25/2037		1,928		1,880
4.915% due 12/25/2046		1,974		1,948
4.915% due 03/25/2047		2,883		2,836
4.925% due 03/25/2037		2,716		2,643
4.925% due 09/25/2046		529		523
4.935% due 06/25/2036		129		129
4.935% due 07/25/2036		301		299
4.935% due 06/25/2037		1,009		984
4.945% due 06/25/2037		1,120		1,093
4.945% due 10/25/2037		894		879
4.965% due 09/25/2047		1,113		1,077
4.975% due 10/25/2046		4,462		4,366
4.995% due 07/25/2036		112		111
5.025% due 02/25/2036		831		807
5.045% due 09/25/2036		1,061		986
Credit-Based Asset Servicing & Securitization LLC
4.925% due 11/25/2036		1,002		968
4.955% due 12/25/2037		849		828
DaimlerChrysler Auto Trust
5.250% due 05/08/2009		673		673
First Franklin Mortgage Loan Asset-Backed Certificates
4.895% due 07/25/2036		537		531
4.905% due 09/25/2036		630		608
4.905% due 01/25/2038		1,051		1,017
4.915% due 11/25/2036		12,992		12,466
4.915% due 12/25/2036		694		678
4.935% due 12/25/2037		1,014		991
4.955% due 01/25/2036		551		549
First NLC Trust
4.935% due 08/25/2037		2,808		2,754
First USA Credit Card Master Trust
5.156% due 04/18/2011		1,100		1,101
Fremont Home Loan Trust
4.915% due 10/25/2036		881		871
4.925% due 01/25/2037		1,136		1,108
4.935% due 02/25/2037		3,581		3,511
5.035% due 01/25/2036		560		559
GE-WMC Mortgage Securities LLC
4.905% due 08/25/2036		1,583		1,525
GS Auto Loan Trust
5.344% due 07/15/2008		598		599
GSAA Trust
4.975% due 06/25/2035		340		339
GSAMP Trust
4.935% due 09/25/2036		2,378		2,332
4.935% due 10/25/2036		358		337
4.935% due 12/25/2036		1,126		1,096
HFC Home Equity Loan Asset-Backed Certificates
5.019% due 03/20/2036		597		588
5.749% due 11/20/2036		2,325		2,315
Home Equity Asset Trust
4.925% due 05/25/2037		1,174		1,127
HSBC Asset Loan Obligation
4.925% due 12/25/2036		1,117		1,072
HSI Asset Securitization Corp. Trust
4.915% due 10/25/2036		1,185		1,131
4.915% due 12/25/2036		6,664		6,433
4.925% due 05/25/2037		1,806		1,725
4.945% due 12/25/2035		463		459
Indymac Residential Asset-Backed Trust
4.905% due 08/25/2036		348		346
4.915% due 11/25/2036		1,362		1,345
4.925% due 04/25/2037		879		860
4.945% due 07/25/2037		966		946
4.955% due 03/25/2036		483		482
4.995% due 04/25/2037		799		767
IXIS Real Estate Capital Trust
4.925% due 08/25/2036		854		849
JPMorgan Mortgage Acquisition Corp.
4.915% due 07/25/2036		857		841
4.915% due 08/25/2036		4,113		4,043
4.915% due 10/25/2036		1,132		1,104
4.925% due 04/01/2037		858		822
4.935% due 03/25/2036		501		499
4.935% due 11/25/2036		943		927
4.945% due 08/25/2036		2,176		2,115
4.945% due 03/25/2037		848		816
4.975% due 08/25/2036		5,200		4,787
5.075% due 06/25/2035		66		66
Lehman ABS Mortgage Loan Trust
4.955% due 06/25/2037		969		951
Lehman XS Trust
4.935% due 05/25/2046		447		444
4.945% due 04/25/2046		1,558		1,545
4.945% due 08/25/2046		2,338		2,323
4.945% due 11/25/2046		4,219		4,040
4.955% due 05/25/2046		2,051		2,028
4.985% due 11/25/2036		2,567		2,564
Long Beach Mortgage Loan Trust
4.895% due 06/25/2036		260		259
4.905% due 07/25/2036		1,061		1,041
4.905% due 11/25/2036		932		916
4.925% due 10/25/2036		1,574		1,537
4.925% due 05/25/2046		340		339
4.955% due 01/25/2046		328		327
5.145% due 10/25/2034		835		803
MASTR Asset-Backed Securities Trust
4.905% due 08/25/2036		704		689
4.915% due 03/25/2036		746		739
4.915% due 01/25/2037		691		669
4.925% due 10/25/2036		275		273
4.925% due 11/25/2036		1,022		995
4.945% due 01/25/2036		367		364
4.945% due 05/25/2037		830		814
5.015% due 11/25/2035		675		674
MBNA Credit Card Master Note Trust
5.148% due 08/16/2010		3,300		3,301
Merrill Lynch First Franklin Mortgage Loan Trust
4.925% due 07/25/2037		1,319		1,274
Merrill Lynch Mortgage Investors, Inc.
4.895% due 06/25/2037		464		459
4.915% due 05/25/2037		2,911		2,872
4.935% due 08/25/2036		5,881		5,801
4.935% due 02/25/2037		700		695
4.935% due 07/25/2037		2,994		2,911
4.945% due 09/25/2037		4,688		4,595
Morgan Stanley ABS Capital I
4.905% due 06/25/2036		457		451
4.905% due 10/25/2036		1,023		1,010
4.905% due 01/25/2037		1,136		1,111
4.915% due 09/25/2036		1,987		1,936
4.915% due 10/25/2036		941		899
4.915% due 11/25/2036		1,887		1,808
4.925% due 03/25/2036		549		547
4.925% due 05/25/2037		1,951		1,882
4.935% due 02/25/2036		625		624
4.985% due 02/25/2036		1,400		1,377
Morgan Stanley IXIS Real Estate Capital Trust
4.915% due 11/25/2036		908		884
Nationstar Home Equity Loan Trust
4.925% due 03/25/2037		1,037		1,018
4.925% due 06/25/2037		947		922
Nelnet Student Loan Trust
5.182% due 09/25/2012		65		65
New Century Home Equity Loan Trust
4.935% due 08/25/2036		1,561		1,548
5.045% due 05/25/2036		1,400		1,350
Newcastle Mortgage Securities Trust
4.935% due 03/25/2036		220		219
Option One Mortgage Loan Trust
4.915% due 07/25/2036		411		408
4.915% due 01/25/2037		955		940
Popular ABS Mortgage Pass-Through Trust
4.955% due 06/25/2047		1,014		983
Residential Asset Mortgage Products, Inc.
4.935% due 11/25/2036		733		720
4.935% due 02/25/2037		903		885
4.945% due 10/25/2036		3,052		2,971
4.965% due 08/25/2046		786		773
Residential Asset Securities Corp.
4.905% due 06/25/2036		1,215		1,199
4.905% due 08/25/2036		1,566		1,547
4.925% due 04/25/2036		1,147		1,138
4.925% due 01/25/2037		1,089		1,054
4.935% due 07/25/2036		1,927		1,912
4.935% due 11/25/2036		2,774		2,708
4.945% due 10/25/2036		2,319		2,268
4.975% due 04/25/2037		1,076		1,054
4.985% due 04/25/2036		3,700		3,615
Saxon Asset Securities Trust
4.925% due 10/25/2046		3,848		3,799
Securitized Asset-Backed Receivables LLC Trust
4.905% due 01/25/2037		1,118		1,083
4.915% due 09/25/2036		978		948
4.925% due 03/25/2036		559		552
4.925% due 12/25/2036		1,427		1,340
4.945% due 11/25/2036		1,069		1,041
SLC Student Loan Trust
4.849% due 02/15/2015		3,840		3,834
SLM Student Loan Trust
3.800% due 12/15/2038		750		735
5.064% due 04/25/2014		1,500		1,498
5.074% due 10/27/2014		808		806
5.074% due 10/25/2016		547		547
5.074% due 07/25/2017		689		689
5.074% due 10/25/2018		904		896
5.124% due 10/25/2016		5,000		5,002
5.234% due 01/25/2017		684		684
Soundview Home Equity Loan Trust
4.915% due 10/25/2036		2,929		2,874
4.925% due 11/25/2036		2,180		2,154
4.925% due 12/25/2036		588		580
4.945% due 01/25/2037		818		802
4.945% due 06/25/2037		893		876
4.965% due 10/25/2036		607		599
5.665% due 10/25/2037		3,070		3,022
Specialty Underwriting & Residential Finance
4.895% due 06/25/2037		674		664
4.910% due 11/25/2037		899		880
4.925% due 02/25/2037		298		297
Structured Asset Investment Loan Trust
4.915% due 07/25/2036		695		665
Structured Asset Securities Corp.
4.900% due 04/25/2035		645		631
4.915% due 10/25/2036		4,002		3,932
4.945% due 01/25/2037		969		936
USAA Auto Owner Trust
5.337% due 07/11/2008		286		286
Wachovia Auto Owner Trust
5.340% due 07/18/2008		324		324
Washington Mutual Asset-Backed Certificates
4.915% due 01/25/2037		1,061		1,017
4.925% due 10/25/2036		1,133		1,093
Wells Fargo Home Equity Trust
4.915% due 01/25/2037		921		904
4.965% due 03/25/2037		1,050		1,028
Total Asset-Backed Securities (Cost $357,097)				350,020
SOVEREIGN ISSUES 8.4%
Banco Nacional de Desenvolvimento Economico e Social
5.330% due 06/16/2008		36,815		36,686
Chile Government International Bond
5.411% due 01/28/2008		27,035		27,036
Korea Development Bank
3.875% due 03/02/2009		14,970		14,742
4.750% due 07/20/2009		26,500		26,360
5.080% due 10/31/2008		28,500		28,402
5.380% due 04/03/2010		38,100		37,999
5.580% due 10/20/2009		39,613		39,657
Mexico Government International Bond
4.625% due 10/08/2008		1,500		1,494
5.942% due 01/13/2009		41,295		41,429
Panama Government International Bond
8.250% due 04/22/2008		7,283		7,349
Russia Government International Bond
8.250% due 03/31/2010		27,446		28,519
Ukraine Government International Bond
8.693% due 08/05/2009		62,075		63,942
Total Sovereign Issues (Cost $354,183)				353,615
FOREIGN CURRENCY-DENOMINATED ISSUES 8.1%
America Movil SAB de C.V.
8.460% due 12/18/2036	MXN	42,900		3,708
Brazil Notas do Tesouro Nacional Series F
10.000% due 01/01/2017	BRL	196,876		92,605
Brazilian Government International CPI Linked Bond
6.000% due 05/15/2017		3,000		2,570
6.000% due 05/15/2045		11,250		9,819
10.000% due 01/01/2012		324,880		166,252
Colombia Government International Bond
9.850% due 06/28/2027	COP	28,145,000		13,919
12.000% due 10/22/2015		28,500,000		15,781
Poland Government International Bond
5.750% due 03/24/2010	PLN	7,995		3,218
South Africa Government International Bond
7.500% due 01/15/2014	ZAR	13,905		1,923
Telefonos de Mexico SAB de C.V.
8.750% due 01/31/2016	MXN	224,500		20,619
Uruguay Government International Bond
3.700% due 06/26/2037	UYU	249,377		10,682
Total Foreign Currency-Denominated Issues (Cost $333,636)				341,096
SHORT-TERM INSTRUMENTS 9.0%
Certificates of Deposit 2.2%
Abbey National Treasury Services PLC
5.175% due 07/02/2008	$	2,600		2,601
Barclays Bank PLC
5.490% due 08/10/2009		15,800		15,818
Calyon Financial, Inc.
5.204% due 01/16/2009		7,500		7,489
Dexia S.A.
4.759% due 09/29/2008		4,100		4,101
Fortis Bank NY
4.745% due 04/28/2008		1,800		1,799
4.790% due 06/30/2008		6,300		6,295
5.148% due 09/30/2008		4,100		4,092
HSBC Bank USA N.A.
5.426% due 07/28/2008		1,400		1,402
Nordea Bank Finland PLC
4.695% due 03/31/2008		1,800		1,800
4.991% due 05/28/2008		4,500		4,501
5.230% due 04/09/2009		8,300		8,292
Royal Bank of Scotland Group PLC
4.734% due 03/26/2008		8,700		8,697
Skandinaviska Enskilda Banken AB
4.869% due 02/13/2009		4,600		4,596
5.330% due 02/04/2008		1,800		1,800
5.340% due 08/21/2008		1,500		1,499
Societe Generale NY
4.768% due 06/30/2008		2,800		2,801
5.270% due 03/26/2008		8,700		8,702
Unicredito Italiano NY
5.062% due 05/29/2008		4,400		4,400
5.358% due 05/06/2008		4,800		4,797
				95,482
Commercial Paper 6.1%
Abbey National Treasury Services PLC
4.680% due 02/01/2008		102,200		101,801
Bank of America Corp.
4.735% due 03/20/2008		20,000		19,791
Citibank N.A.
5.900% due 01/25/2008		12,500		12,453
5.940% due 02/01/2008		31,800		31,643
DnB NORBank ASA
5.080% due 01/04/2008		64,500		64,482
Fortis Funding LLC
4.000% due 01/02/2008		26,300		26,300
				256,470
Repurchase Agreements 0.1%
Fixed Income Clearing Corp.
3.900% due 01/02/2008		3,227		3,227
(Dated 12/31/2007. Collateralized by Fannie Mae 6.060% due 06/06/2017 valued at $3,296. Repurchase proceeds are $3,228.)
Egypt Treasury Bills 0.2%
9.690% due 02/05/2008	EGP	40,000		7,191
U.S. Treasury Bills 0.4%
2.976% due 02/28/2008 - 03/13/2008 (a)(b)	$	15,750		15,623
Total Short-Term Instruments (Cost $377,822)				377,993
Total Investments 93.1% (Cost $3,949,497)			$	3,930,839
Other Assets and Liabilities (Net) 6.9%				292,135
Net Assets (c) 100.0%			$	4,222,974

Notes to Schedule of Investments (amounts in thousands*):

* A zero balance may reflect actual amounts rounding to less than one thousand.

(a) Coupon represents a weighted average rate.

(b) Securities with an aggregate market value of $15,125 have been pledged as collateral for swap and swaption contracts on December 31, 2007.

(c) As of December 31, 2007, portfolio securities with an aggregate value of $74,412 and derivative instruments with an aggregate depreciation of ($14,376) were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(d) Swap agreements outstanding on December 31, 2007:

Credit Default Swaps on Securities

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Notional Amount		Unrealized (Depreciation)
HSBC Bank USA	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.730	%	04/20/2009	$	7,500	$	(38	)

⁽¹⁾ If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will pay to the buyer of the protection an amount up to the notional value of the swap and in certain instances, take delivery of the security.

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Barclays Bank PLC	BRL-CDI-Compounded	Pay	14.120	%	01/04/2010	BRL	17,000	$	343
Barclays Bank PLC	BRL-CDI-Compounded	Pay	14.190	%	01/04/2010		34,000		697
Barclays Bank PLC	BRL-CDI-Compounded	Pay	10.680	%	01/02/2012		127,700		(3,764	)
Goldman Sachs & Co.	BRL-CDI-Compounded	Pay	10.150	%	01/02/2012		293,200		(7,330	)
Morgan Stanley	BRL-CDI-Compounded	Pay	12.780	%	01/04/2010		70,200		(485	)
Morgan Stanley	BRL-CDI-Compounded	Pay	10.115	%	01/02/2012		148,500		(2,615	)
UBS Warburg LLC	BRL-CDI-Compounded	Pay	10.575	%	01/02/2012		56,300		(1,223	)
Citibank N.A.	6-Month CZK-LIBOR	Pay	3.340	%	01/10/2012	CZK	47,690		(44	)
Barclays Bank PLC	Korea Securities Dealers Association National Housing Index	Pay	4.895	%	02/07/2012	KRW	4,683,000		(101	)
Barclays Bank PLC	Korea Securities Dealers Association National Housing Index	Pay	4.880	%	02/08/2012		4,666,667		(104	)
Barclays Bank PLC	28-Day Mexico Interbank TIIE Banxico	Pay	8.780	%	08/03/2016	MXN	17,100		24
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	10.160	%	06/02/2016		80,000		730
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.770	%	08/03/2016		17,100		24
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.170	%	11/04/2016		1,000		(2	)
Goldman Sachs & Co.	28-Day Mexico Interbank TIIE Banxico	Pay	8.865	%	09/12/2016		200,000		377
Goldman Sachs & Co.	28-Day Mexico Interbank TIIE Banxico	Pay	8.170	%	11/04/2016		140,000		(300	)
JPMorgan Chase & Co.	28-Day Mexico Interbank TIIE Banxico	Pay	8.410	%	04/17/2009		80,700		24
Merrill Lynch & Co., Inc.	28-Day Mexico Interbank TIIE Banxico	Pay	10.280	%	06/07/2016		57,000		566
Morgan Stanley	28-Day Mexico Interbank TIIE Banxico	Pay	9.920	%	08/12/2015		7,000		52
Citibank N.A.	3-Month ZAR-Johannesburg Interbank Agreed Rate	Pay	9.990	%	11/09/2010	ZAR	46,850		(67	)
HSBC Bank USA	3-Month ZAR-Johannesburg Interbank Agreed Rate	Pay	9.990	%	11/09/2010		46,850		(67	)
								$	(13,265	)

(e) Short sales outstanding on December 31, 2007:

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Value
Freddie Mac	6.00	%	01/01/2038	$	30,800	$	31,267	$	31,257

(f) Foreign currency contracts outstanding on December 31, 2007:

Type	Currency	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	AED	47,368	05/2008	$	117	$	0		$	117
Buy	BRL	379,016	03/2008		30,906		0			30,906
Sell		350,692	03/2008		145		(11,467	)		(11,322	)
Buy		111,992	07/2008		3,106		0			3,106
Sell		152,533	07/2008		350		(571	)		(221	)
Buy	CLP	47,345,317	03/2008		4,633		0			4,633
Sell		6,086,400	03/2008		0		(204	)		(204	)
Buy		52,080,704	07/2008		0		(762	)		(762	)
Sell		2,793,449	07/2008		0		(106	)		(106	)
Buy	CNY	503,421	01/2008		1,214		0			1,214
Sell		503,421	01/2008		0		(349	)		(349	)
Buy		162,077	07/2008		727		0			727
Sell		191,497	07/2008		27		(165	)		(138	)
Buy		448,402	10/2008		65		(9	)		56
Buy		335,468	03/2009		2,860		0			2,860
Sell		141,898	03/2009		0		(175	)		(175	)
Buy	COP	222,742,801	03/2008		5,179		(1,688	)		3,491
Sell		93,181,473	03/2008		198		(1,349	)		(1,151	)
Buy	CZK	3,711,614	03/2008		23,520		0			23,520
Sell		454,281	03/2008		70		(602	)		(532	)
Buy		4,470,786	07/2008		25,233		0			25,233
Sell		2,059,657	07/2008		12		(11,628	)		(11,616	)
Buy	EUR	64	01/2008		0		(1	)		(1	)
Sell		857	01/2008		2		0			2
Buy	GBP	70	01/2008		0		(2	)		(2	)
Buy	HKD	2,407,572	01/2008		0		(841	)		(841	)
Sell		1,556	01/2008		0		0			0
Buy	HUF	23,425,661	07/2008		2,077		0			2,077
Sell		10,048,849	07/2008		4		(308	)		(304	)
Buy	IDR	719,004,000	01/2008		163		(998	)		(835	)
Sell		187,750,000	01/2008		154		0			154
Buy		684,084,200	05/2008		1,069		(235	)		834
Sell		46,675,000	05/2008		87		0			87
Buy	ILS	368,810	11/2008		1,641		0			1,641
Sell		23,400	11/2008		0		(118	)		(118	)
Buy	INR	2,430,933	05/2008		2,205		0			2,205
Sell		230,615	05/2008		8		0			8
Buy		2,576,365	08/2008		124		(187	)		(63	)
Sell		478,560	08/2008		0		(27	)		(27	)
Buy	JPY	324,430	02/2008		0		(7	)		(7	)
Buy	KRW	7,620,287	01/2008		0		(213	)		(213	)
Sell		4,624,500	01/2008		48		0			48
Buy		55,924,695	05/2008		84		(229	)		(145	)
Sell		32,020,500	05/2008		548		0			548
Buy		8,973,758	08/2008		0		(133	)		(133	)
Sell		9,096,500	08/2008		203		0			203
Buy	KWD	3,711	05/2008		709		0			709
Buy	MXN	2,848,597	03/2008		6,265		(75	)		6,190
Sell		975,863	03/2008		328		(537	)		(209	)
Buy		2,830,115	07/2008		4,443		(469	)		3,974
Sell		256,907	07/2008		0		(196	)		(196	)
Buy	MYR	239,027	05/2008		2,565		0			2,565
Buy		179,789	08/2008		1,672		0			1,672
Buy	PHP	5,604,541	05/2008		10,552		0			10,552
Buy		1,611,483	08/2008		1,289		0			1,289
Buy	PLN	273,836	03/2008		13,428		0			13,428
Sell		184,821	03/2008		141		(751	)		(610	)
Buy		1,172,043	07/2008		57,512		0			57,512
Sell		27,588	07/2008		0		(273	)		(273	)
Buy	RON	362,733	01/2008		0		(6,398	)		(6,398	)
Sell		362,733	01/2008		4,148		(48	)		4,100
Buy		70,452	11/2008		71		0			71
Sell		36,848	11/2008		0		(17	)		(17	)
Buy	RUB	2,068,984	01/2008		4,956		0			4,956
Sell		2,068,984	01/2008		135		(342	)		(207	)
Buy		4,341,679	07/2008		4,242		0			4,242
Sell		1,586,053	07/2008		0		(345	)		(345	)
Buy		1,016,087	11/2008		0		(138	)		(138	)
Sell		6,211	11/2008		0		(1	)		(1	)
Buy	SAR	48,427	05/2008		53		0			53
Buy	SGD	186,423	02/2008		4,706		0			4,706
Sell		21,601	02/2008		0		(59	)		(59	)
Buy		295,161	05/2008		8,479		0			8,479
Sell		331	05/2008		0		0			0
Buy		252,081	08/2008		2,045		0			2,045
Buy	SKK	3,418,420	03/2008		10,060		0			10,060
Buy		186,390	07/2008		0		(174	)		(174	)
Buy	TRY	452,723	03/2008		58,237		0			58,237
Sell		160,749	03/2008		105		(4,244	)		(4,139	)
Buy	TWD	1,326,995	01/2008		0		(146	)		(146	)
Sell		801,025	01/2008		181		0			181
Buy	UAH	208,464	10/2008		0		(1,484	)		(1,484	)
Sell		50,725	10/2008		317		0			317
Buy	ZAR	829,578	03/2008		4,360		(487	)		3,873
Sell		228,097	03/2008		155		(282	)		(127	)
Buy		1,235,519	07/2008		8,251		(472	)		7,779
Sell		139,001	07/2008		40		(117	)		(77	)
				$	316,224	$	(49,429	)	$	266,795

See accompanying notes

Schedule of Investments

Diversified Income Fund

December 31, 2007 (Unaudited)

	Principal Amount (000s)		Value (000s)
BANK LOAN OBLIGATIONS 4.7%
Allied Waste North America, Inc.
4.600% due 03/28/2014	$	1,206	$	1,156
6.150% due 03/28/2014		430		412
6.360% due 03/28/2014		76		73
6.420% due 03/28/2014		72		69
6.480% due 03/28/2014		433		415
6.500% due 03/28/2014		722		692
6.880% due 03/28/2014		719		690
Amadeus Global Travel Distribution S.A.
6.846% due 04/08/2013		2,500		2,372
7.096% due 04/08/2014		2,500		2,376
Appleton Papers, Inc.
6.293% due 05/21/2014		333		316
6.580% due 05/21/2014		331		313
6.648% due 05/21/2014		333		315
Berry Plastics Holding Corp.
11.646% due 06/15/2014		4,548		4,263
Biomet, Inc.
7.000% due 03/08/2008		2,500		2,446
7.776% due 03/25/2015		5,000		4,953
Boc Group, Inc.
7.081% due 05/31/2014		2,494		2,251
Community Health Corp.
7.331% due 07/25/2014		3,743		3,608
Community Health Systems, Inc.
4.000% due 07/02/2014		248		239
7.072% due 07/02/2014		9		9
CSC Holdings, Inc.
6.595% due 02/24/2013		4,960		4,696
Daimler Finance North America LLC
9.000% due 08/03/2012		12,968		12,502
Dex Media West LLC
6.330% due 09/09/2010		390		381
6.520% due 09/09/2010		375		367
6.640% due 09/09/2010		188		183
6.650% due 09/09/2010		281		275
FCI Connectors
6.224% due 03/09/2013		2,472		2,369
Ford Motor Co.
8.000% due 12/15/2013		990		919
General Motors Corp.
7.056% due 11/29/2013		992		930
Georgia-Pacific Corp.
6.580% due 12/20/2012		622		594
6.831% due 12/20/2012		762		727
6.896% due 12/20/2012		6,476		6,181
Goodyear Tire & Rubber Co.
6.430% due 04/20/2014		3,000		2,823
Hawaiian Telcom Communications, Inc.
7.080% due 06/01/2014		1,696		1,600
HCA, Inc.
7.080% due 11/16/2013		2,481		2,394
Health Management Associates, Inc.
6.580% due 02/28/2014		3,928		3,675
6.595% due 02/28/2014		52		49
Hertz Corp.
6.750% due 12/21/2012		3		3
Ineos Group Holdings PLC
7.357% due 10/07/2012		1,707		1,625
7.357% due 10/07/2013		2,460		2,379
7.451% due 10/07/2012		131		125
7.451% due 10/07/2013		25		24
7.857% due 10/07/2014		2,460		2,390
7.951% due 10/07/2014		25		25
Las Vegas Sands Corp.
3.000% due 05/15/2014		1,000		940
6.580% due 05/23/2014		3,990		3,752
Lukoil Finance Ltd.
5.545% due 01/11/2009		2,415		2,402
Metro-Goldwyn-Mayer, Inc.
8.080% due 04/08/2012		995		924
8.108% due 04/08/2012		6,935		6,443
MGM Mirage
6.114% due 10/03/2011		400		379
6.187% due 10/03/2011		400		379
6.495% due 10/03/2011		1,200		1,126
Mylan Laboratories, Inc.
8.312% due 10/02/2014		2,800		2,776
NRG Energy, Inc.
6.580% due 02/01/2013		2,111		2,018
Orbitz Worldwide, Inc.
7.830% due 07/20/2014		3,000		2,842
Polypore, Inc.
7.100% due 05/15/2014		4,489		4,354
RH Donnelley Corp.
6.590% due 06/30/2011		56		55
RH Donnelley, Inc.
6.460% due 06/30/2011		226		220
6.500% due 06/30/2011		378		367
6.520% due 06/30/2011		113		110
6.590% due 06/30/2011		314		305
6.630% due 09/09/2010		112		110
6.660% due 06/30/2011		64		62
6.700% due 09/09/2010		188		184
Shackleton Re Ltd.
12.875% due 08/01/2008		1,500		1,493
13.000% due 08/01/2008		500		498
SLM Corp.
0.000% due 02/16/2008		2,000		1,993
Thompson Learning, Inc.
7.600% due 06/27/2014		6,000		5,688
Travelport
7.080% due 08/23/2013		4,988		4,748
Tribune Co.
7.910% due 05/30/2014		4,738		4,046
TXU Technology
8.396% due 10/10/2014		3,900		3,836
Total Bank Loan Obligations (Cost $131,695)				126,254
CORPORATE BONDS & NOTES 50.0%
Banking & Finance 16.5%
AES Red Oak LLC
8.540% due 11/30/2019		2,569		2,762
AIG SunAmerica Global Financing X
6.900% due 03/15/2032		220		242
American General Finance Corp.
6.900% due 12/15/2017		5,000		5,014
American Honda Finance Corp.
4.500% due 05/26/2009		500		501
American International Group, Inc.
2.875% due 05/15/2008		1,000		990
4.884% due 06/23/2008		1,000		1,001
5.850% due 01/16/2018		13,600		13,715
Banco Mercantil del Norte S.A.
5.875% due 02/17/2014		1,980		1,967
Banco Santander Chile
5.496% due 12/09/2009		5,000		4,990
Bank of America Corp.
3.875% due 01/15/2008		920		920
4.750% due 08/01/2015		1,400		1,349
5.750% due 12/01/2017		8,000		8,033
BankAmerica Instit-A
8.070% due 12/31/2026		500		525
Barclays Bank PLC
5.450% due 09/12/2012		11,600		11,902
Bear Stearns Cos., Inc.
4.500% due 10/28/2010		1,000		960
6.400% due 10/02/2017		13,500		13,066
6.950% due 08/10/2012		4,000		4,117
Berkshire Hathaway Finance Corp.
4.625% due 10/15/2013		500		502
C5 Capital SPV Ltd.
6.196% due 12/31/2049		200		198
C10 Capital SPV Ltd.
6.722% due 12/31/2049		3,600		3,326
Calabash Re II Ltd.
15.891% due 01/08/2010		1,000		1,048
Citicorp
6.375% due 11/15/2008		400		405
Citigroup Capital XXI
8.300% due 12/21/2057		10,675		11,177
Citigroup, Inc.
5.300% due 10/17/2012		275		279
6.000% due 02/21/2012		650		673
Columbia University
6.875% due 12/15/2015		500		554
Colvis Finance Ltd.
8.000% due 02/02/2009		4,000		4,003
Commonwealth Bank of Australia
6.024% due 03/29/2049		3,400		3,174
ConocoPhillips Canada Funding Co.
5.300% due 04/15/2012		2,800		2,878
Credit Agricole S.A.
5.053% due 05/28/2009		2,000		2,002
DBS Bank Ltd.
5.098% due 05/16/2017		5,000		4,759
Desarrolladora Homex SAB de C.V.
7.500% due 09/28/2015		7,032		7,120
East Lane Re Ltd.
11.911% due 05/06/2011		1,000		1,005
Export-Import Bank of China
4.875% due 07/21/2015		2,050		2,010
5.250% due 07/29/2014		6,625		6,708
Ferrellgas Escrow LLC
6.750% due 05/01/2014		1,825		1,800
First Empire Capital Trust II
8.277% due 06/01/2027		500		522
Ford Motor Credit Co. LLC
5.800% due 01/12/2009		5,740		5,450
6.625% due 06/16/2008		1,000		986
7.375% due 02/01/2011		3,440		3,083
10.241% due 06/15/2011		3,640		3,453
Forest City Enterprises, Inc.
6.500% due 02/01/2017		1,000		910
7.625% due 06/01/2015		375		364
Foundation Re II Ltd.
11.655% due 11/26/2010		1,800		1,866
Gazinvest Luxembourg S.A. for Gazprombank
7.250% due 10/30/2008		1,400		1,407
General Electric Capital Corp.
5.031% due 03/16/2009		700		700
5.250% due 10/19/2012		3,540		3,624
5.373% due 04/10/2012		18,000		17,779
5.450% due 01/15/2013		5,000		5,159
5.875% due 02/15/2012		500		521
General RE Corp.
9.000% due 09/12/2009		500		543
GMAC LLC
6.034% due 09/23/2008		900		870
8.000% due 11/01/2031		3,190		2,682
Goldman Sachs Group, Inc.
4.750% due 07/15/2013		1,225		1,201
5.250% due 10/15/2013		2,400		2,404
5.481% due 07/23/2009		2,150		2,149
5.700% due 09/01/2012		165		170
6.125% due 02/15/2033		45		44
6.750% due 10/01/2037		18,300		17,987
7.350% due 10/01/2009		500		523
GPB Eurobond Finance PLC for Gazprombank
6.500% due 09/23/2015		1,500		1,410
HBOS PLC
5.920% due 09/29/2049		7,500		6,551
HCP, Inc.
6.700% due 01/30/2018		5,000		4,893
Hexion U.S. Finance Corp.
9.750% due 11/15/2014		4,435		4,812
Hipotecaria Su Casita S.A.
8.500% due 10/04/2016		2,900		2,914
HSBC Bank USA N.A.
4.625% due 04/01/2014		400		384
HSBC Capital Funding LP
4.610% due 12/31/2049		4,700		4,338
HSBC Finance Corp.
4.125% due 12/15/2008		500		496
4.750% due 07/15/2013		120		116
6.400% due 06/17/2008		950		955
HSBC Holdings PLC
6.500% due 05/02/2036		5,300		5,169
6.500% due 09/15/2037		125		122
ICICI Bank Ltd.
5.750% due 01/12/2012		2,100		2,022
Industrial Bank of Korea
4.000% due 05/19/2014		30		30
Intergas Finance BV
6.375% due 05/14/2017		2,700		2,430
6.875% due 11/04/2011		1,800		1,746
International Lease Finance Corp.
5.642% due 01/15/2010		3,000		3,000
JPMorgan Chase & Co.
4.908% due 06/26/2009		500		498
6.000% due 01/15/2018		5,000		5,096
KRATON Polymers LLC
8.125% due 01/15/2014		2,000		1,890
Lehman Brothers Holdings, Inc.
5.270% due 10/22/2008		2,000		1,986
Longpoint Re Ltd.
10.241% due 05/08/2010		1,600		1,642
LVB Acquisition Merger Sub, Inc.
10.000% due 10/15/2017		3,475		3,562
10.375% due 10/15/2017 (b)		750		752
11.625% due 10/15/2017		4,550		4,504
MBNA Capital B
5.711% due 02/01/2027		3,000		2,646
Merna Reinsurance Ltd.
5.480% due 07/07/2010 (m)		10,000		9,800
Merrill Lynch & Co., Inc.
6.050% due 08/15/2012		8,000		8,162
MetLife, Inc.
5.375% due 12/15/2012		45		45
Mirage Resorts, Inc.
7.250% due 08/01/2017		1,400		1,330
Mizuho JGB Investment LLC
9.870% due 12/29/2049		600		606
Mizuho Preferred Capital Co. LLC
8.790% due 12/29/2049		3,450		3,479
Morgan Stanley
5.006% due 02/09/2009		700		691
5.334% due 01/18/2008		300		300
5.750% due 08/31/2012		4,400		4,496
5.950% due 12/28/2017		2,400		2,403
MUFG Capital Finance 1 Ltd.
6.346% due 07/29/2049		2,400		2,277
Mystic Re Ltd.
11.381% due 12/05/2008		1,100		1,113
14.081% due 12/05/2008		850		866
15.081% due 06/07/2011		1,000		1,054
National Rural Utilities Cooperative Finance Corp.
4.750% due 03/01/2014		750		728
7.250% due 03/01/2012		4,815		5,222
NSG Holdings LLC
7.750% due 12/15/2025		1,510		1,521
Pemex Finance Ltd.
9.690% due 08/15/2009		466		479
Petroleum Export Ltd.
4.623% due 06/15/2010		2,222		2,188
5.265% due 06/15/2011		6,643		6,600
Petroleum Export Ltd. II
6.340% due 06/20/2011		3,518		3,549
Rabobank Capital Funding II
5.260% due 12/29/2049		860		802
Residential Reinsurance 2007 Ltd.
12.374% due 06/07/2010		5,600		5,781
Royal Bank of Scotland Group PLC
9.118% due 03/31/2049		500		535
RSHB Capital S.A. for OJSC Russian
Agricultural Bank
6.299% due 05/15/2017		7,420		7,049
6.875% due 11/29/2010		8,000		8,154
7.175% due 05/16/2013		2,350		2,418
Russell Investment Group
5.625% due 01/15/2009		500		504
Santander Perpetual S.A. Unipersonal
6.671% due 10/29/2049		12,900		12,958
Shackleton Re Ltd.
12.960% due 02/07/2008		500		502
Spinnaker Capital Ltd.
16.491% due 06/15/2008		2,000		2,086
Sumitomo Mitsui Banking Corp.
5.625% due 07/29/2049		2,100		1,964
Swiss Bank Corp. NY
7.000% due 10/15/2015		500		546
Teco Finance, Inc.
6.750% due 05/01/2015		7,050		7,413
Tenneco, Inc.
8.625% due 11/15/2014		3,150		3,111
10.250% due 07/15/2013		617		660
Textron Financial Corp.
5.349% due 01/11/2010		15,000		14,908
TNB Capital L Ltd.
5.250% due 05/05/2015		570		569
TNK-BP Finance S.A.
6.125% due 03/20/2012		1,000		955
6.625% due 03/20/2017		4,400		4,026
7.500% due 07/18/2016		7,050		6,852
TransCapitalInvest Ltd. for OJSC AK Transneft
6.103% due 06/27/2012		3,300		3,323
UBS AG
5.875% due 12/20/2017		5,400		5,448
UBS Luxembourg S.A. for Sberbank
6.230% due 02/11/2015		1,500		1,491
UBS Preferred Funding Trust V
6.243% due 05/29/2049		2,500		2,411
UFJ Finance Aruba AEC
6.750% due 07/15/2013		250		272
Universal City Development Partners
11.750% due 04/01/2010		500		519
Universal City Florida Holding Co. I
8.375% due 05/01/2010		500		505
Ventas Realty LP
6.500% due 06/01/2016		400		394
6.750% due 04/01/2017		2,635		2,622
8.750% due 05/01/2009		500		515
9.000% due 05/01/2012		800		864
Vita Capital III Ltd.
6.331% due 01/01/2011		3,150		3,112
Wachovia Corp.
5.250% due 08/01/2014		500		490
Wells Fargo & Co.
5.250% due 10/23/2012		15,780		16,059
Wells Fargo Capital X
5.950% due 12/15/2036		2,800		2,622
Wind Acquisition Finance S.A.
10.750% due 12/01/2015		1,000		1,095
				444,480
Industrials 25.4%
Abitibi-Consolidated, Inc.
8.550% due 08/01/2010		3,000		2,640
ABN AMRO Bank for OAO Gazprom
9.625% due 03/01/2013		37,450		42,631
AES El Salvador Trust
6.750% due 02/01/2016		11,800		11,759
Albertson’s LLC
6.570% due 02/23/2028		800		640
7.450% due 08/01/2029		5,100		4,934
7.750% due 06/15/2026		2,150		2,137
Alcoa, Inc.
5.550% due 02/01/2017		5,000		4,859
Allied Waste North America, Inc.
7.250% due 03/15/2015		3,500		3,500
Allison Transmission
11.000% due 11/01/2015		600		549
America Movil SAB de C.V.
5.500% due 03/01/2014		3,380		3,375
5.750% due 01/15/2015		15,400		15,447
American Greetings Corp.
7.375% due 06/01/2016		3,500		3,421
AmeriGas Partners LP
7.125% due 05/20/2016		5,500		5,362
7.250% due 05/20/2015		500		492
Anheuser-Busch Cos., Inc.
6.000% due 04/15/2011		500		524
ARAMARK Corp.
8.500% due 02/01/2015		4,470		4,548
ArvinMeritor, Inc.
8.125% due 09/15/2015		6,410		5,577
8.750% due 03/01/2012		1,760		1,650
Atlantic Richfield Co.
8.530% due 02/27/2012		500		578
Barrick Gold Finance Co.
4.875% due 11/15/2014		1,000		956
BHP Billiton Finance USA Ltd.
5.250% due 12/15/2015		7,300		7,076
6.750% due 11/01/2013		1,500		1,619
Bon-Ton Stores, Inc.
10.250% due 03/15/2014		5,910		4,492
Bowater Canada Finance Corp.
7.950% due 11/15/2011		125		102
Buhrmann U.S., Inc.
7.875% due 03/01/2015		700		663
8.250% due 07/01/2014		1,850		1,776
BW Group Ltd.
6.625% due 06/28/2017		760		797
C8 Capital SPV Ltd.
6.640% due 12/29/2049		29,000		27,533
Caesars Entertainment, Inc.
7.000% due 04/15/2013		500		573
7.500% due 09/01/2009		5,000		5,314
8.875% due 09/15/2008		335		348
CBS Corp.
5.625% due 08/15/2012		3,500		3,493
Celestica, Inc.
7.875% due 07/01/2011		1,100		1,064
CenterPoint Energy Resources Corp.
7.750% due 02/15/2011		1,500		1,610
Chart Industries, Inc.
9.125% due 10/15/2015		1,300		1,339
Charter Communications Holdings II LLC
10.250% due 09/15/2010		1,000		985
Charter Communications Operating LLC
8.375% due 04/30/2014		2,900		2,820
Chemtura Corp.
6.875% due 06/01/2016		2,700		2,551
Chesapeake Energy Corp.
6.625% due 01/15/2016		2,250		2,211
Cisco Systems, Inc.
5.500% due 02/22/2016		500		509
Citic Resources Finance Ltd.
6.750% due 05/15/2014		600		564
Citigroup Global Markets Deutschland AG for OAO Gazprom
10.500% due 10/21/2009		500		542
Coca-Cola Enterprises, Inc.
4.250% due 09/15/2010		500		499
Colorado Interstate Gas Co.
6.800% due 11/15/2015		2,300		2,406
Comcast Cable Communications Holdings, Inc.
8.375% due 03/15/2013		315		354
Comcast Cable Communications LLC
6.200% due 11/15/2008		100		101
6.875% due 06/15/2009		1,095		1,127
7.125% due 06/15/2013		2,130		2,280
Comcast Corp.
5.300% due 01/15/2014		2,000		1,964
5.500% due 03/15/2011		500		505
5.900% due 03/15/2016		2,900		2,922
6.500% due 01/15/2015		100		105
7.050% due 03/15/2033		200		219
Communications & Power Industries, Inc.
8.000% due 02/01/2012		500		502
Community Health Systems, Inc.
8.875% due 07/15/2015		9,200		9,418
Compagnie Générale de Géophysique-Veritas
7.750% due 05/15/2017		550		558
Cooper-Standard Automotive, Inc.
7.000% due 12/15/2012		2,400		2,091
Cox Communications, Inc.
7.125% due 10/01/2012		725		774
Crown Americas LLC & Crown Americas Capital Corp.
7.625% due 11/15/2013		425		437
7.750% due 11/15/2015		525		543
CSC Holdings, Inc.
7.625% due 04/01/2011		3,150		3,158
7.875% due 02/15/2018		5,389		5,066
8.125% due 08/15/2009		25		25
CSX Corp.
5.600% due 05/01/2017		5,000		4,822
CVS Caremark Corp.
5.441% due 06/01/2010		2,000		1,980
DaVita, Inc.
7.250% due 03/15/2015		3,400		3,425
Delhaize America, Inc.
8.050% due 04/15/2027		600		635
9.000% due 04/15/2031		3,695		4,291
Delta Air Lines, Inc.
7.379% due 05/18/2010		3,759		3,778
Dex Media West LLC
9.875% due 08/15/2013		2,980		3,107
Dow Chemical Co.
5.750% due 12/15/2008		105		106
6.000% due 10/01/2012		250		260
Dresser-Rand Group, Inc.
7.375% due 11/01/2014		100		100
DRS Technologies, Inc.
7.625% due 02/01/2018		1,775		1,806
Dynegy Holdings, Inc.
7.750% due 06/01/2019		650		603
8.375% due 05/01/2016		9,420		9,255
EchoStar DBS Corp.
5.750% due 10/01/2008		3,900		3,905
7.125% due 02/01/2016		5,025		5,151
El Paso Corp.
7.000% due 06/15/2017		9,500		9,557
7.750% due 06/15/2010		300		315
Embraer Overseas Ltd.
6.375% due 01/24/2017		1,400		1,332
Energy Transfer Partners LP
5.650% due 08/01/2012		4,400		4,361
Enterprise Products Operating LP
4.625% due 10/15/2009		1,100		1,099
4.950% due 06/01/2010		600		601
Ferrellgas Partners LP
8.750% due 06/15/2012		4,120		4,254
First Data Corp.
9.875% due 09/24/2015		5,615		5,229
Ford Motor Co.
7.450% due 07/16/2031		2,300		1,719
Freeport-McMoRan Copper & Gold, Inc.
8.375% due 04/01/2017		304		327
Freescale Semiconductor, Inc.
8.875% due 12/15/2014		5,545		4,977
9.125% due 12/15/2014 (b)		2,610		2,232
Fund American Cos., Inc.
5.875% due 05/15/2013		1,000		1,003
Gaz Capital for Gazprom
6.212% due 11/22/2016		6,750		6,497
7.288% due 08/16/2037		10,000		10,143
8.625% due 04/28/2034		4,740		5,949
Gazprom International S.A.
7.201% due 02/01/2020		5,756		5,890
Gazstream S.A. for OAO Gazprom
5.625% due 07/22/2013		2,379		2,354
General Motors Corp.
7.700% due 04/15/2016		1,220		1,037
8.250% due 07/15/2023		3,325		2,660
8.800% due 03/01/2021		4,950		4,183
Georgia-Pacific Corp.
7.000% due 01/15/2015		800		782
7.125% due 01/15/2017		4,250		4,154
8.000% due 01/15/2024		3,970		3,712
Goodyear Tire & Rubber Co.
8.625% due 12/01/2011		602		631
Greif, Inc.
6.750% due 02/01/2017		3,800		3,733
GTL Trade Finance, Inc.
7.250% due 10/20/2017		3,300		3,355
HCA, Inc.
6.750% due 07/15/2013		4,450		3,983
7.190% due 11/15/2015		1,700		1,466
9.125% due 11/15/2014		6,000		6,255
9.250% due 11/15/2016		5,000		5,262
9.625% due 11/15/2016 (b)		4,000		4,240
Health Management Associates, Inc.
6.125% due 04/15/2016		2,120		1,848
Hertz Corp.
8.875% due 01/01/2014		1,300		1,324
Hess Corp.
6.650% due 08/15/2011		810		856
Hewlett-Packard Co.
6.500% due 07/01/2012		500		541
HJ Heinz Co.
6.428% due 12/01/2008		5,100		5,193
Hospira, Inc.
4.950% due 06/15/2009		500		502
Hyundai Motor Manufacturing Alabama LLC
5.300% due 12/19/2008		3,000		3,011
Ineos Group Holdings PLC
8.500% due 02/15/2016		1,800		1,611
Ingles Markets, Inc.
8.875% due 12/01/2011		2,525		2,575
Intelsat Bermuda Ltd.
9.250% due 06/15/2016		5,400		5,454
Invensys PLC
9.875% due 03/15/2011		96		102
ISA Capital do Brasil S.A.
7.875% due 01/30/2012		900		920
8.800% due 01/30/2017		2,200		2,272
Jefferson Smurfit Corp. U.S.
8.250% due 10/01/2012		679		672
Kansas City Southern de Mexico S.A. de C.V.
9.375% due 05/01/2012		600		632
Kohl’s Corp.
6.250% due 12/15/2017		5,000		5,033
Kraft Foods, Inc.
6.500% due 08/11/2017		2,000		2,073
Kroger Co.
7.000% due 05/01/2018		5,000		5,390
Limited Brands, Inc.
6.900% due 07/15/2017		2,000		1,936
Mandalay Resort Group
9.375% due 02/15/2010		1,534		1,595
9.500% due 08/01/2008		750		769
Marathon Oil Corp.
6.000% due 07/01/2012		500		519
Marks & Spencer PLC
6.250% due 12/01/2017		5,000		4,946
Masco Corp.
6.125% due 10/03/2016		5,000		4,940
McKesson Corp.
5.700% due 03/01/2017		5,000		4,980
MGM Mirage
7.500% due 06/01/2016		2,940		2,925
Miller Brewing Co.
5.500% due 08/15/2013		1,000		1,015
Nalco Co.
7.750% due 11/15/2011		2,825		2,874
8.875% due 11/15/2013		400		419
Norampac Industries, Inc.
6.750% due 06/01/2013		1,170		1,073
Nortel Networks Ltd.
10.125% due 07/15/2013		7,675		7,944
10.750% due 07/15/2016		2,100		2,216
Northwest Airlines, Inc.
7.626% due 10/01/2011		1,331		1,319
Northwest Pipeline Corp.
7.000% due 06/15/2016		5,000		5,350
Novelis, Inc.
7.250% due 02/15/2015		2,843		2,687
OPTI Canada, Inc.
8.250% due 12/15/2014		2,640		2,627
Oracle Corp. and Ozark Holding, Inc.
5.000% due 01/15/2011		15,000		15,209
Peabody Energy Corp.
7.375% due 11/01/2016		890		917
Pemex Project Funding Master Trust
5.724% due 12/03/2012		7,100		7,009
6.291% due 06/15/2010		700		702
6.625% due 06/15/2035		420		445
7.042% due 10/15/2009		2,600		2,632
9.125% due 10/13/2010		110		122
9.375% due 12/02/2008		103		107
Petrobras International Finance Co.
6.125% due 10/06/2016		500		512
Petroleos de Venezuela S.A.
5.250% due 04/12/2017		6,000		4,275
Petronas Capital Ltd.
7.000% due 05/22/2012		250		272
Pilgrim’s Pride Corp.
7.625% due 05/01/2015		855		844
Premark International, Inc.
6.875% due 11/15/2008		500		508
Premcor Refining Group, Inc.
6.750% due 02/01/2011		400		425
Quebecor Media, Inc.
7.750% due 03/15/2016		2,800		2,702
Quiksilver, Inc.
6.875% due 04/15/2015		2,335		2,014
Qwest Communications International, Inc.
7.500% due 02/15/2014		11,225		11,253
RH Donnelley Corp.
8.875% due 01/15/2016		2,850		2,679
8.875% due 10/15/2017		600		558
Rockwood Specialties Group, Inc.
7.500% due 11/15/2014		1,000		995
Rogers Cable, Inc.
6.750% due 03/15/2015		1,800		1,896
Rowan Cos., Inc.
5.880% due 03/15/2012		2,861		3,005
Salomon Brothers AG for OAO Siberian Oil Co.
10.750% due 01/15/2009		5,000		5,237
Sanmina-SCI Corp.
8.125% due 03/01/2016		3,125		2,785
SEACOR Holdings, Inc.
5.875% due 10/01/2012		500		510
SemGroup LP
8.750% due 11/15/2015		5,150		4,918
Sensata Technologies BV
8.000% due 05/01/2014		2,940		2,778
Sino-Forest Corp.
9.125% due 08/17/2011		1,000		1,059
Smurfit-Stone Container Enterprises, Inc.
8.000% due 03/15/2017		690		670
8.375% due 07/01/2012		5,150		5,137
Spansion, Inc.
8.249% due 06/01/2013		400		362
Station Casinos, Inc.
6.875% due 03/01/2016		2,913		2,141
7.750% due 08/15/2016		1,450		1,316
Sungard Data Systems, Inc.
9.125% due 08/15/2013		3,400		3,476
Superior Essex Communications LLC
9.000% due 04/15/2012		1,000		965
Tengizchevroil Finance Co. SARL
6.124% due 11/15/2014		3,400		3,222
Tesco PLC
5.500% due 11/15/2017		9,250		9,243
Tesoro Corp.
6.250% due 11/01/2012		640		643
6.500% due 06/01/2017		2,300		2,288
Time Warner Cable, Inc.
5.850% due 05/01/2017		1,350		1,356
Time Warner, Inc.
6.750% due 04/15/2011		4,000		4,169
6.875% due 05/01/2012		2,625		2,767
TransDigm, Inc.
7.750% due 07/15/2014		2,400		2,448
Transocean, Inc.
5.341% due 09/05/2008		300		299
TRW Automotive, Inc.
7.000% due 03/15/2014		5,735		5,305
7.250% due 03/15/2017		2,200		1,986
Tyco International Group S.A.
6.375% due 10/15/2011		445		461
6.750% due 02/15/2011		500		525
United Airlines, Inc.
6.201% due 09/01/2008		386		384
7.336% due 01/02/2021		500		472
10.850% due 02/19/2015 (a)		1,081		519
United Rentals North America, Inc.
6.500% due 02/15/2012		43		39
Vale Overseas Ltd.
6.250% due 01/11/2016		3,200		3,221
6.250% due 01/23/2017		2,900		2,924
8.250% due 01/17/2034		20,500		23,838
Valero Energy Corp.
6.125% due 06/15/2017		8,045		8,190
6.875% due 04/15/2012		1,550		1,655
Verso Paper Holdings LLC and Verson Paper, Inc.
9.125% due 08/01/2014		2,400		2,436
11.375% due 08/01/2016		1,985		2,025
Viacom, Inc.
5.750% due 04/30/2011		5,300		5,371
6.250% due 04/30/2016		5,000		5,038
Vitro SAB de C.V.
8.625% due 02/01/2012		3,500		3,308
9.125% due 02/01/2017		8,873		8,208
Wal-Mart Stores, Inc.
4.125% due 02/15/2011		1,000		994
8.800% due 12/30/2014		500		593
Walt Disney Co.
6.200% due 06/20/2014		500		532
6.375% due 03/01/2012		640		680
Waste Management, Inc.
7.375% due 08/01/2010		900		951
7.650% due 03/15/2011		270		296
Williams Cos., Inc.
6.375% due 10/01/2010		1,500		1,524
7.625% due 07/15/2019		1,275		1,388
7.875% due 09/01/2021		4,575		5,095
Williams Partners LP
7.250% due 02/01/2017		2,300		2,380
Wyeth
6.450% due 02/01/2024		300		319
Wynn Las Vegas Capital Corp.
6.625% due 12/01/2014		3,070		3,032
Xerox Corp.
9.750% due 01/15/2009		300		314
XTO Energy, Inc.
7.500% due 04/15/2012		3,500		3,830
Yum! Brands, Inc.
6.250% due 03/15/2018		5,000		5,073
				685,049
Utilities 8.1%
AES Corp.
8.000% due 10/15/2017		3,575		3,673
AT&T Corp.
6.000% due 03/15/2009		260		264
7.300% due 11/15/2011		947		1,027
Beaver Valley II Funding
9.000% due 06/01/2017		319		360
BellSouth Corp.
4.969% due 08/15/2008		300		300
6.875% due 10/15/2031		2,500		2,673
British Telecommunications PLC
8.625% due 12/15/2010		2,240		2,460
Carolina Power & Light Co.
5.125% due 09/15/2013		750		752
CenturyTel, Inc.
6.000% due 04/01/2017		5,000		5,032
Cincinnati Bell, Inc.
8.375% due 01/15/2014		5,050		4,949
Citizens Communications Co.
7.000% due 11/01/2025		400		335
7.875% due 01/15/2027		1,750		1,676
Complete Production Services, Inc.
8.000% due 12/15/2016		600		584
Constellation Energy Group, Inc.
7.000% due 04/01/2012		655		701
Consumers Energy Co.
5.000% due 02/15/2012		1,500		1,490
Dayton Power & Light Co.
5.125% due 10/01/2013		1,480		1,474
Dominion Resources, Inc.
5.687% due 05/15/2008		2,600		2,606
5.700% due 09/17/2012		260		267
Duke Energy LLC
5.300% due 10/01/2015		1,500		1,499
5.625% due 11/30/2012		225		234
Edison Mission Energy
7.000% due 05/15/2017		260		257
7.200% due 05/15/2019		3,600		3,555
7.625% due 05/15/2027		2,090		1,975
Empresa Nacional de Electricidad S.A.
8.625% due 08/01/2015		9,000		10,398
Enel Finance International S.A.
5.700% due 01/15/2013		4,850		4,929
Energy Future Holdings Corp.
10.875% due 11/01/2017		2,025		2,045
Entergy Arkansas, Inc.
4.500% due 06/01/2010		4,500		4,423
Entergy Gulf States, Inc.
5.524% due 12/01/2009		2,600		2,584
5.700% due 06/01/2015		100		98
5.896% due 12/08/2008		3,500		3,512
France Telecom S.A.
7.750% due 03/01/2011		2,500		2,689
Hawaiian Telcom Communications, Inc.
9.750% due 05/01/2013		5,050		5,037
Homer City Funding LLC
8.734% due 10/01/2026		3,759		4,116
Idearc, Inc.
8.000% due 11/15/2016		4,025		3,713
IPALCO Enterprises, Inc.
8.375% due 11/14/2008		5,600		5,726
8.625% due 11/14/2011		4,125		4,331
KT Corp.
4.875% due 07/15/2015		3,000		2,861
Majapahit Holding BV
7.250% due 10/17/2011		8,200		8,241
7.250% due 06/28/2017		400		385
7.750% due 10/17/2016		600		604
7.875% due 06/29/2037		400		385
MidAmerican Energy Holdings Co.
5.875% due 10/01/2012		300		311
Midwest Generation LLC
8.560% due 01/02/2016		355		379
Mobile Telesystems Finance S.A.
8.000% due 01/28/2012		1,000		1,029
Nevada Power Co.
5.875% due 01/15/2015		450		449
6.500% due 05/15/2018		6,050		6,224
New Cingular Wireless Services, Inc.
8.125% due 05/01/2012		2,175		2,421
Nextel Communications, Inc.
7.375% due 08/01/2015		4,625		4,557
NRG Energy, Inc.
7.250% due 02/01/2014		700		684
7.375% due 02/01/2016		5,675		5,547
7.375% due 01/15/2017		1,330		1,300
NSTAR Electric Co.
7.800% due 05/15/2010		500		538
Ohio Edison Co.
5.647% due 06/15/2009		1,500		1,516
Pedernales Electric Cooperative
5.952% due 11/15/2022		500		538
Petroleum Co. of Trinidad & Tobago Ltd.
6.000% due 05/08/2022		3,600		3,595
Progress Energy, Inc.
7.100% due 03/01/2011		4,796		5,108
PSEG Energy Holdings LLC
8.500% due 06/15/2011		1,200		1,257
PSEG Power LLC
3.750% due 04/01/2009		3,000		2,966
5.500% due 12/01/2015		900		883
6.950% due 06/01/2012		270		288
7.750% due 04/15/2011		1,000		1,077
Qwest Corp.
6.500% due 06/01/2017		1,000		962
7.250% due 09/15/2025		2,250		2,126
7.250% due 10/15/2035		1,550		1,461
7.500% due 06/15/2023		1,800		1,732
8.875% due 03/15/2012		5,190		5,579
Ras Laffan Liquefied Natural Gas Co. Ltd.
3.437% due 09/15/2009		1,358		1,356
Ras Laffan Liquefied Natural Gas Co. Ltd. III
5.838% due 09/30/2027		470		445
6.332% due 09/30/2027		11,800		11,215
Reliant Energy, Inc.
6.750% due 12/15/2014		3,850		3,879
7.625% due 06/15/2014		3,725		3,706
7.875% due 06/15/2017		5,450		5,423
Rural Cellular Corp.
9.875% due 02/01/2010		9,820		10,237
Sierra Pacific Power Co.
6.000% due 05/15/2016		1,700		1,694
South Point Energy Center LLC
8.400% due 05/30/2012 (g)		1,004		994
Sprint Capital Corp.
8.375% due 03/15/2012		850		921
Sprint Nextel Corp.
6.000% due 12/01/2016		5,200		4,989
Telefonos de Mexico SAB de C.V.
5.500% due 01/27/2015		1,850		1,826
UBS Luxembourg S.A. for OJSC Vimpel Communications
8.250% due 05/23/2016		13,050		13,083
Verizon Communications, Inc.
5.550% due 02/15/2016		400		405
Verizon Global Funding Corp.
4.375% due 06/01/2013		500		484
Verizon New England, Inc.
6.500% due 09/15/2011		625		657
Verizon New York, Inc.
6.875% due 04/01/2012		25		27
Verizon Pennsylvania, Inc.
5.650% due 11/15/2011		500		513
Virginia Electric and Power Co.
4.750% due 03/01/2013		245		238
				218,839
Total Corporate Bonds & Notes (Cost $1,371,139)				1,348,368
MUNICIPAL BONDS & NOTES 0.5%
Adams County, Pennsylvania General Obligation Bonds, (FGIC Insured), Series 2002
4.750% due 11/15/2028		1,000		1,009
Chicago, Illinois Board of Education General Obligation Bonds, (FGIC Insured), Series 1998
0.000% due 12/01/2027		2,000		747
Connecticut State Housing Finance Authority Revenue Bonds, Series 1997
6.880% due 11/15/2011		500		505
Kentucky State Property & Buildings Commission Revenue Bonds, (MBIA Insured), Series 2003
5.020% due 10/01/2014		500		504
New York State Urban Development Corporations Revenue Notes, Series 2003
4.970% due 12/15/2012		500		508
Ohio State Buckeye Tobacco Settlement Financing Authority Revenue Bonds, Series 2007
5.875% due 06/01/2047		3,700		3,534
Texas State General Obligation Bonds, Series 2007
5.000% due 04/01/2037		7,400		7,705
Total Municipal Bonds & Notes (Cost $14,347)				14,512
U.S. GOVERNMENT AGENCIES 18.4%
Fannie Mae
4.000% due 08/01/2018 - 08/01/2020		4,197		4,037
4.500% due 02/01/2035 - 08/01/2035		2,190		2,075
4.552% due 02/01/2035		493		496
5.000% due 12/01/2013 - 02/01/2036		10,231		10,213
5.141% due 04/01/2036		491		494
5.235% due 03/01/2036		496		499
5.365% due 03/25/2017		109		111
5.446% due 10/18/2030		17		17
5.500% due 12/01/2032 - 01/01/2038		219,354		219,226
5.500% due 04/01/2037 (h)		67,472		67,407
6.000% due 04/01/2016 - 05/01/2037		160,224		162,761
6.063% due 03/01/2044		185		185
6.260% due 03/01/2011		382		400
6.341% due 12/01/2036		252		255
6.500% due 08/01/2011 - 12/01/2029		271		283
6.850% due 12/18/2027		247		260
7.086% due 09/01/2031		28		29
8.000% due 06/01/2008		5		5
Federal Farm Credit Bank
7.561% due 11/29/2049		500		523
Federal Home Loan Bank
4.060% due 08/25/2009		285		284
Freddie Mac
4.000% due 04/15/2022		505		503
5.000% due 06/15/2016 - 09/15/2024		1,502		1,504
5.258% due 02/15/2019		7,629		7,591
5.500% due 03/15/2017 - 09/15/2017		3,824		3,886
5.528% due 09/15/2030		59		59
6.063% due 10/25/2044 - 02/25/2045		348		349
6.263% due 07/25/2044		536		536
6.500% due 07/25/2043		21		22
7.000% due 06/15/2013		33		34
7.260% due 05/01/2023		35		35
7.500% due 06/01/2024		7		8
Ginnie Mae
3.956% due 09/16/2021		467		462
4.045% due 07/16/2020		706		699
4.385% due 08/16/2030		1,479		1,471
4.500% due 08/15/2033		46		44
5.130% due 06/16/2023		248		249
5.625% due 07/20/2026		41		42
6.125% due 11/20/2023 - 11/20/2027		105		106
6.375% due 03/20/2026 - 05/20/2026		90		91
6.569% due 09/16/2026		1,000		1,048
8.000% due 03/20/2030		96		103
8.500% due 07/20/2030 - 03/20/2031		25		27
9.000% due 10/15/2008 -11/15/2008		2		2
9.250% due 12/20/2019 - 06/20/2021		21		23
9.500% due 07/15/2009 - 12/20/2020		8		9
10.000% due 07/15/2013		15		17
New Valley Generation
7.299% due 03/15/2019		822		926
Private Export Funding Corp.
4.550% due 05/15/2015		750		767
5.750% due 01/15/2008		500		500
Small Business Administration
4.340% due 03/01/2024		279		268
4.504% due 02/01/2014		113		109
5.130% due 09/01/2023		54		54
5.886% due 09/01/2011		307		313
6.030% due 02/01/2012		2,058		2,104
6.900% due 12/01/2020		1,053		1,113
7.150% due 03/01/2017		530		551
7.300% due 05/01/2017		345		360
7.640% due 03/10/2010		53		55
Vendee Mortgage Trust
6.000% due 12/15/2030		1,000		1,043
Total U.S. Government Agencies (Cost $491,638)				496,643
MORTGAGE-BACKED SECURITIES 4.7%
Adjustable Rate Mortgage Trust
5.005% due 01/25/2035		10,563		10,576
Banc of America Mortgage Securities, Inc.
5.660% due 07/25/2034		834		838
Bear Stearns Adjustable Rate Mortgage Trust
4.125% due 03/25/2035		11,117		11,016
4.609% due 01/25/2034		53		53
4.779% due 01/25/2034		23		23
5.608% due 02/25/2033		114		114
5.789% due 02/25/2033		20		20
Bear Stearns Alt-A Trust
5.368% due 05/25/2035		147		145
5.527% due 09/25/2035		2,851		2,809
Chase Commercial Mortgage Securities Corp.
7.631% due 07/15/2032		500		532
Citicorp Mortgage Securities, Inc.
5.500% due 10/25/2033		104		104
Citigroup Mortgage Loan Trust, Inc.
4.679% due 08/25/2035		752		742
Commercial Mortgage Pass-Through Certificates
6.455% due 05/15/2032		240		241
Countrywide Alternative Loan Trust
6.000% due 10/25/2032		6		6
Countrywide Home Loan Mortgage Pass-Through Trust
4.728% due 02/25/2034		2,931		2,852
4.854% due 04/20/2035		1,735		1,731
5.095% due 05/25/2035		381		350
7.214% due 10/19/2032		12		12
Credit Suisse Mortgage Capital Certificates
5.555% due 02/15/2039		5,000		5,078
CS First Boston Mortgage Securities Corp.
4.250% due 06/25/2033		1,616		1,608
4.666% due 03/15/2036		11,500		11,447
5.435% due 09/15/2034		521		532
Denver Arena Trust
6.940% due 11/15/2019		278		281
First Horizon Asset Securities, Inc.
4.737% due 07/25/2033		503		500
General Electric Capital Assurance Co.
5.254% due 05/12/2035		1,000		1,015
GMAC Commercial Mortgage Securities, Inc.
5.713% due 10/15/2038		12,000		12,405
Greenpoint Mortgage Pass-Through Certificates
4.381% due 10/25/2033		1,895		1,879
GS Mortgage Securities Corp. II
5.342% due 03/06/2020		2,927		2,799
6.620% due 10/18/2030		321		322
6.624% due 05/03/2018		600		648
JPMorgan Chase Commercial Mortgage Securities Corp.
5.050% due 12/12/2034		14,800		14,938
5.506% due 12/12/2044		4,985		5,040
Lehman Brothers Floating Rate Commercial Mortgage Trust
5.198% due 10/15/2017		2,609		2,605
MASTR Adjustable Rate Mortgages Trust
5.043% due 11/25/2033		100		103
5.197% due 08/25/2034		224		224
Merrill Lynch Mortgage Investors, Inc.
5.075% due 02/25/2036		3,501		3,372
MLCC Mortgage Investors, Inc.
4.250% due 10/25/2035		5,330		5,142
Morgan Stanley Capital I
5.332% due 12/15/2043		10,000		10,004
Provident Funding Mortgage Loan Trust
3.799% due 08/25/2033		995		994
Residential Funding Mortgage Securities I, Inc.
5.216% due 09/25/2035		728		718
Salomon Brothers Mortgage Securities VII, Inc.
5.365% due 05/25/2032		105		104
Structured Adjustable Rate Mortgage Loan Trust
5.357% due 01/25/2035		1,125		1,119
Structured Asset Mortgage Investments, Inc.
5.085% due 05/25/2036		3,863		3,644
Structured Asset Securities Corp.
4.080% due 06/25/2033		1,791		1,781
Wachovia Bank Commercial Mortgage Trust
5.108% due 06/15/2020		2,781		2,663
Washington Mutual MSC Mortgage Pass-Through Certificates
5.967% due 02/25/2033		15		15
Washington Mutual, Inc.
4.208% due 06/25/2033		649		645
5.405% due 12/25/2027		598		572
5.483% due 02/27/2034		25		25
5.788% due 08/25/2046		1,151		1,130
6.188% due 06/25/2042		30		29
Wells Fargo Mortgage-Backed Securities Trust
4.998% due 12/25/2034		1,326		1,307
Total Mortgage-Backed Securities (Cost $126,214)				126,852
ASSET-BACKED SECURITIES 0.6%
ACE Securities Corp.
4.945% due 02/25/2036		125		124
Aurum CLO 2002-1 Ltd.
5.672% due 04/15/2014		5,904		5,947
Carrington Mortgage Loan Trust
5.115% due 06/25/2035		1,466		1,459
CPL Transition Funding LLC
6.250% due 01/15/2017		750		793
Detroit Edison Securitization Funding LLC
6.420% due 03/01/2015		750		793
JCP&L Transition Funding LLC
6.160% due 06/05/2019		650		682
JPMorgan Mortgage Acquisition Corp.
4.925% due 04/01/2037		429		411
Long Beach Mortgage Loan Trust
4.955% due 01/25/2046		107		107
Massachusetts RRB Special Purpose Trust
3.780% due 09/15/2010		265		264
Morgan Stanley ABS Capital I
4.935% due 02/25/2036		197		196
NPF XII, Inc.
2.232% due 10/01/2003 (a)		1,000		5
Public Service New Hampshire Funding LLC
5.730% due 11/01/2010		116		116
Residential Asset Securities Corp.
4.935% due 07/25/2036		470		466
SLM Student Loan Trust
5.064% due 04/25/2014		2,222		2,219
5.234% due 01/25/2017		741		741
Structured Asset Securities Corp.
4.995% due 12/25/2035		80		80
USAA Auto Owner Trust
5.337% due 07/11/2008		895		895
West Penn Funding LLC Transition Bonds
6.980% due 12/26/2008		199		200
Total Asset-Backed Securities (Cost $15,416)				15,498
SOVEREIGN ISSUES 7.4%
Argentina Bonos
5.389% due 08/03/2012		35,255		19,963
Banque Centrale de Tunisie
7.375% due 04/25/2012		3,375		3,685
8.250% due 09/19/2027		570		710
Brazilian Government International Bond
8.750% due 02/04/2025		2,830		3,594
8.875% due 10/14/2019		8,400		10,416
8.875% due 04/15/2024		2,157		2,756
Chile Government International Bond
5.500% due 01/15/2013		635		664
China Development Bank
5.000% due 10/15/2015		500		494
Colombia Government International Bond
7.375% due 01/27/2017		2,400		2,640
7.375% due 09/18/2037		3,900		4,348
8.250% due 12/22/2014		5,200		5,954
10.000% due 01/23/2012		941		1,099
10.375% due 01/28/2033		275		412
10.750% due 01/15/2013		8,800		10,846
11.750% due 02/25/2020		725		1,082
Croatia Government International Bond
6.125% due 07/31/2010		83		83
Guatemala Government Bond
9.250% due 08/01/2013		1,845		2,130
10.250% due 11/08/2011		1,000		1,157
Hong Kong Government International Bond
5.125% due 08/01/2014		750		768
Indonesia Government International Bond
6.875% due 03/09/2017		5,700		5,928
Korea Development Bank
4.750% due 07/20/2009		2,250		2,238
5.080% due 10/31/2008		500		498
5.295% due 11/22/2012		7,500		7,473
5.580% due 10/20/2009		1,800		1,802
5.750% due 09/10/2013		385		391
Korea Expressway Corp.
4.875% due 04/07/2014		1,540		1,508
5.125% due 05/20/2015		750		738
Malaysia Government International Bond
8.750% due 06/01/2009		255		270
Mexico Government International Bond
5.625% due 01/15/2017		444		451
8.000% due 09/24/2022		45		55
9.875% due 02/01/2010		115		128
Pakistan Government International Bond
7.125% due 03/31/2016		3,200		2,717
Panama Government International Bond
7.250% due 03/15/2015		2,325		2,575
8.875% due 09/30/2027		2,600		3,393
9.375% due 07/23/2012		1,843		2,156
9.375% due 04/01/2029		75		103
9.625% due 02/08/2011		442		498
Peru Government International Bond
6.550% due 03/14/2037		320		335
8.375% due 05/03/2016		3,870		4,557
8.750% due 11/21/2033		1,000		1,330
Philippine Government International Bond
7.750% due 01/14/2031		1,100		1,275
Poland Government International Bond
4.000% due 10/27/2024		55		53
Republic of Korea
4.875% due 09/22/2014		2,100		2,112
Russia Government International Bond
7.500% due 03/31/2030		9,579		10,990
8.250% due 03/31/2010		3,611		3,752
11.000% due 07/24/2018		500		715
Socialist Republic of Vietnam
4.000% due 03/12/2028		10,000		8,422
6.875% due 01/15/2016		3,000		3,185
South Africa Government International Bond
5.875% due 05/30/2022		750		765
6.500% due 06/02/2014		7,500		7,950
7.375% due 04/25/2012		2,730		2,962
Ukraine Government International Bond
6.875% due 03/04/2011		780		797
7.650% due 06/11/2013		9,975		10,572
8.693% due 08/05/2009		11,700		12,052
Uruguay Government International Bond
7.625% due 03/21/2036		1,000		1,095
8.000% due 11/18/2022		9,471		10,655
9.250% due 05/17/2017		100		121
Venezuela Government International Bond
6.000% due 12/09/2020		6,200		4,696
6.180% due 04/20/2011		1,500		1,363
8.500% due 10/08/2014		2,000		1,935
10.750% due 09/19/2013		1,980		2,124
Total Sovereign Issues (Cost $195,028)				199,536
FOREIGN CURRENCY-DENOMINATED ISSUES 14.2%
America Movil SAB de C.V.
8.460% due 12/18/2036	MXN	10,900		942
Atlas Reinsurance PLC
8.786% due 01/10/2010	EUR	1,500		2,226
Banque Centrale de Tunisie
6.250% due 02/20/2013		2,820		4,336
BCM Ireland Finance Ltd.
9.575% due 08/15/2016		1,900		2,757
BNP Paribas Capital Trust VI
5.868% due 01/29/2049		4,870		7,048
Brazil Notas do Tesouro Nacional Series F
10.000% due 01/01/2017	BRL	31,740		14,940
Brazilian Government International Bond
12.500% due 01/05/2016		1,000		615
12.500% due 01/05/2022		5,200		3,272
Brazilian Government International CPI Linked Bond
6.000% due 05/15/2017		4,000		3,427
6.000% due 08/15/2024		26,700		23,029
6.000% due 05/15/2045		4,000		3,492
10.000% due 01/01/2012		74,475		38,151
Canadian Government Bond
4.500% due 06/01/2015	CAD	4,700		4,930
Chesapeake Energy Corp.
6.250% due 01/15/2017	EUR	1,925		2,639
Codere Finance Luxembourg S.A.
8.250% due 06/15/2015		1,500		2,133
Colombia Government International Bond
12.000% due 10/22/2015	COP	10,000,000		5,537
Deutsche Telekom International Finance BV
8.125% due 05/29/2012	EUR	2,334		3,753
Eircom Group PLC
6.625% due 08/15/2014		1,750		2,458
6.875% due 08/15/2015		1,750		2,471
Enterprise Inns PLC
6.500% due 12/06/2018	GBP	900		1,852
France Telecom S.A.
6.750% due 03/14/2008	EUR	2,414		3,540
Gaz Capital for Gazprom
5.440% due 11/02/2017		200		260
5.875% due 06/01/2015		14,000		19,263
7.800% due 09/27/2010		3,500		5,313
General Electric Capital Corp.
4.625% due 09/15/2066		5,700		7,462
Green Valley Ltd.
8.376% due 01/10/2011		1,300		1,904
HBOS Capital Funding LP
6.461% due 11/29/2049	GBP	1,560		2,923
HBOS PLC
4.875% due 03/29/2049	EUR	3,480		4,617
HSBC Holdings PLC
5.375% due 12/20/2012		2,298		3,392
Ineos Group Holdings PLC
7.875% due 02/15/2016		1,900		2,333
International Endesa BV
6.125% due 07/05/2012	GBP	1,080		2,185
JSG Holding PLC
6.308% due 11/29/2013	EUR	2,000		2,805
6.558% due 11/29/2014		2,000		2,806
Lighthouse International Co. S.A.
8.000% due 04/30/2014		2,250		3,314
Mexican Bonos
7.250% due 12/15/2016	MXN	52,000		4,494
8.000% due 12/17/2015		121,000		10,979
Mitchells & Butlers Finance PLC
6.469% due 09/15/2030	GBP	1,700		3,755
Mizuho Bank Ltd.
1.317% due 11/24/2049	JPY	100,000		906
Mizuho Finance Aruba AEC
1.883% due 12/31/2049		100,000		910
Nordic Telephone Co. Holdings ApS
6.675% due 11/30/2013	EUR	2,991		4,290
6.925% due 11/30/2014		3,606		5,193
8.250% due 05/01/2016		3,300		4,897
OI European Group BV
6.875% due 03/31/2017		820		1,151
PagesJaunes Groupe
6.677% due 01/11/2014		4,000		5,605
Pemex Project Funding Master Trust
5.500% due 02/24/2025		14,000		19,062
Punch Taverns Finance PLC
6.468% due 04/15/2033	GBP	7,300		15,543
Pylon Ltd.
6.224% due 12/29/2008	EUR	1,500		2,191
QBE International Holdings PLC
9.015% due 08/03/2020	AUD	3,000		2,672
Republic of Germany
4.750% due 07/04/2028	EUR	7,900		11,736
Rogers Cable, Inc.
7.250% due 12/15/2011	CAD	3,000		3,243
Royal Bank of Scotland Group PLC
0.000% due 04/06/2011	GBP	4,000		7,596
6.000% due 06/29/2049		1,620		3,108
South Africa Government International Bond
5.250% due 05/16/2013	EUR	1,050		1,520
Sumitomo Mitsui Banking Corp.
0.970% due 05/25/2011	JPY	100,000		896
1.340% due 06/02/2049		100,000		893
4.375% due 10/27/2014	EUR	3,500		5,023
Telecom Italia Finance S.A.
6.575% due 07/30/2009		4,870		7,245
Telefonos de Mexico SAB de C.V.
8.750% due 01/31/2016	MXN	138,600	$	12,729
United Kingdom Gilt
5.250% due 06/07/2012	GBP	3,900		8,010
UPC Broadband Holding BV
6.296% due 12/31/2014	EUR	6,456		8,927
UPC Holding BV
7.750% due 01/15/2014		2,300		3,216
Uruguay Government International Bond
3.700% due 06/26/2037	UYU	21,200		908
5.000% due 09/14/2018 (d)		30,451		1,530
6.875% due 01/19/2016	EUR	13,000		19,715
Veolia Environnement
4.875% due 05/28/2013		3,460		4,941
Virgin Media Finance PLC
8.750% due 04/15/2014		2,300		3,295
Wind Acquisition Finance S.A.
9.750% due 12/01/2015		2,300		3,602
Total Foreign Currency-Denominated Issues (Cost $364,406)				381,906
	Shares
PREFERRED STOCKS 0.1%
Fresenius Medical Care Capital Trust II
7.875% due 02/01/2008		2,335		2,341
Total Preferred Stocks (Cost $2,453)				2,341
	Principal Amount (000s)
SHORT-TERM INSTRUMENTS 2.9%
Commercial Paper 1.0%
Freddie Mac
3.000% due 01/02/2008	$	28,000		28,000
Repurchase Agreements 0.2%
Fixed Income Clearing Corp.
2.250% due 01/02/2008		5,000		5,000
(Dated 12/31/2007. Collateralized by Freddie Mac 5.000% due 01/16/2009 valued at $5,102. Repurchase proceeds are $5,001.)
3.900% due 01/02/2008		432		432
(Dated 12/31/2007. Collateralized by Fannie Mae 3.250% due 01/15/2008 valued at $444. Repurchase proceeds are $432.)
				5,432
U.S. Treasury Bills 1.7%
2.948% due 02/28/2008 - 03/13/2008 (c)(e)(i)		46,790		46,382
Total Short-Term Instruments (Cost $79,959)				79,814
Purchased Options (k) 0.8% (Cost $5,824)				20,595
Total Investments 104.3% (Cost $2,798,119)			$	2,812,319
Written Options (l) (0.9%) (Premiums $7,979)				(23,640	)
Other Assets and Liabilities (Net) (3.5%)				(93,591	)
Net Assets (f) 100.0%			$	2,695,088

Notes to Schedule of Investments (amounts in thousands*, except number of contracts):

* A zero balance may reflect actual amounts rounding to less than one thousand.

(a) Security is in default.

(b) Payment in-kind bond security.

(c) Coupon represents a weighted average rate.

(d) Principal amount of security is adjusted for inflation.

(e) Securities with an aggregate market value of $41,141 have been pledged as collateral for swap and swaption contracts on December 31, 2007.

(f) As of December 31, 2007, portfolio securities with an aggregate value of $31,019 and derivative instruments with an aggregate depreciation of ($135) were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(g) Security is subject to a forbearance agreement entered into by the Fund which forbears the Fund from taking action to, among other things, accelerate and collect payments on the subject note with respect to specified events of default.

(h) The average amount of borrowings outstanding during the period ended December 31, 2007 was $109,919 at a weighted average interest rate of 5.020%. On December 31, 2007, securities valued at $50,119 were pledged as collateral for reverse repurchase agreements.

(i) Securities with an aggregate market value of $5,241 and cash of $23,330 have been segregated with the custodian to cover margin requirements for the following open futures contracts on December 31, 2007:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Euribor June Futures	Short	06/2008	103	$	121
90-Day Eurodollar June Futures	Long	06/2009	7,167		16,169
Euro-Bund 10-Year Bond March Futures	Long	03/2008	334		(1,140	)
U.S. Treasury 2-Year Note March Futures	Short	03/2008	812		(768	)
U.S. Treasury 10-Year Note March Futures	Long	03/2008	2,029		566
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2008	2,136		4,199
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2008	214		137
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2009	444		932
				$	20,216

(j) Swap agreements outstanding on December 31, 2007:

Credit Default Swaps on Securities

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Goldman Sachs & Co.	Codere Finance S.A. 8.250% due 06/15/2015	Sell	3.920	%	12/20/2012	EUR	1,700	$	(8	)
JPMorgan Chase & Co.	Codere Finance S.A. 8.250% due 06/15/2015	Sell	4.150	%	12/20/2012		1,500		15
UBS Warburg LLC	France Telecom S.A. 7.250% due 01/28/2013	Sell	0.330	%	09/20/2011		3,900		(8	)
UBS Warburg LLC	Telecom Italia Finance S.A. 6.250% due 02/01/2012	Sell	0.520	%	09/20/2011		3,900		(4	)
Wachovia Bank N.A.	France Telecom S.A. 7.250% due 01/28/2013	Sell	0.325	%	09/20/2011		3,900		(9	)
Wachovia Bank N.A.	Telecom Italia Finance S.A. 6.250% due 02/01/2012	Sell	0.525	%	09/20/2011		3,900		(3	)
Bank of America	Alcoa, Inc. 5.550% due 02/01/2017	Buy	(0.560	%)	03/20/2017	$	5,000		16
Bank of America	CenturyTel, Inc. 6.000% due 04/01/2017	Buy	(0.595	%)	06/20/2017		5,000		77
Bank of America	Freeport-McMoRan Copper & Gold, Inc. 8.375% due 04/01/2017	Sell	0.910	%	06/20/2012		1,800		(29	)
Bank of America	HCP, Inc. 6.700% due 01/30/2018	Buy	(1.227	%)	03/20/2018		5,000		100
Bank of America	Kohl’s Corp. 6.250% due 12/15/2007	Buy	(0.786	%)	12/20/2017		5,000		102
Bank of America	McKesson Corp. 5.700% due 03/01/2017	Buy	(0.380	%)	03/20/2017		5,000		(14	)
Bank of America	SLM Corp. 5.125% due 08/27/2012	Sell	0.820	%	06/20/2012		4,500		(369	)
Barclays Bank PLC	Argentina Government International Bond 8.280% due 12/31/2033	Buy	(0.940	%)	08/20/2008		2,000		(1	)
Barclays Bank PLC	Argentina Government International Bond 8.280% due 12/31/2033	Sell	2.540	%	08/20/2011		4,000		(135	)
Barclays Bank PLC	Argentina Government International Bond 8.280% due 12/31/2033	Buy	(3.700	%)	08/20/2016		2,000		160
Barclays Bank PLC	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.360	%	08/20/2011		1,800		43
Barclays Bank PLC	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.370	%	08/20/2011		1,800		44
Barclays Bank PLC	Celestica, Inc. 7.875% due 07/01/2011	Sell	2.850	%	09/20/2011		2,100		(89	)
Barclays Bank PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	2.320	%	12/20/2016		3,000		87
Barclays Bank PLC	Petroleos Mexicanos 9.500% due 09/15/2027	Sell	0.880	%	04/20/2011		11,500		158
Barclays Bank PLC	Petroleos Mexicanos 9.500% due 09/15/2027	Sell	1.200	%	04/20/2016		3,900		100
Barclays Bank PLC	Phillipines Government International Bond 10.625% due 03/16/2025	Sell	1.920	%	09/20/2012		2,500		56
Barclays Bank PLC	Phillipines Government International Bond 10.625% due 03/16/2025	Sell	2.510	%	09/20/2017		1,000		39
Barclays Bank PLC	Phillipines Government International Bond 10.625% due 03/16/2025	Sell	2.530	%	09/20/2017		1,000		41
Barclays Bank PLC	Russia Government International Bond 7.500% due 03/31/2030	Sell	1.650	%	07/20/2011		3,900		(7	)
Barclays Bank PLC	Vnesheconom 0.000% due 07/12/2009	Sell	0.650	%	11/20/2008		3,100		(17	)
Bear Stearns & Co., Inc.	GMAC LLC 6.875% due 08/28/2012	Sell	1.480	%	06/20/2009		4,000		(336	)
Bear Stearns & Co., Inc.	GMAC LLC 6.875% due 08/28/2012	Sell	6.550	%	09/20/2012		4,700		(11	)
Bear Stearns & Co., Inc.	Sprint Nextel Corp. 6.000% due 12/01/2016	Buy	(1.125	%)	12/20/2016		5,000		116
BNP Paribas Bank	JPMorgan Chase & Co. 6.000% due 01/15/2018	Buy	(0.500	%)	12/20/2017		1,000		0
BNP Paribas Bank	Wachovia Corp. 5.625% due 12/15/2008	Sell	0.160	%	06/20/2011		17,200		(464	)
Citibank N.A.	Ford Motor Credit Co. LLC 7.250% due 10/25/2011	Sell	6.000	%	09/20/2012		4,000		(96	)
Citibank N.A.	Phillipines Government International Bond 10.625% due 03/16/2025	Sell	1.770	%	12/20/2017		5,200		(115	)
Credit Suisse USA, Inc.	Chesapeake Energy Corp. 6.875% due 01/15/2016	Sell	1.000	%	06/20/2012		3,700		(115	)
Credit Suisse USA, Inc.	Chesapeake Energy Corp. 6.875% due 01/15/2016	Sell	1.710	%	09/20/2012		5,650		(29	)
Credit Suisse USA, Inc.	Forest Oil Corp. 7.750% due 05/01/2014	Sell	2.100	%	09/20/2012		1,000		(6	)
Credit Suisse USA, Inc.	General Motors Corp. 7.125% due 07/15/2013	Sell	6.600	%	12/20/2012		1,000		(13	)
Credit Suisse USA, Inc.	Masco Corp. 6.125% due 10/03/2016	Buy	(0.915	%)	12/20/2016		5,000		179
Credit Suisse USA, Inc.	Multiple Reference Entities of Gazprom	Sell	1.000	%	11/20/2008		11,000		(14	)
Credit Suisse USA, Inc.	Russia Government International Bond 7.500% due 03/31/2030	Sell	1.870	%	10/20/2012		1,400		(9	)
Deutsche Bank AG	General Motors Corp. 7.125% due 07/15/2013	Sell	6.700	%	12/20/2012		2,000		(20	)
Deutsche Bank AG	JPMorgan Chase & Co. 6.000% due 01/15/2018	Buy	(0.540	%)	12/20/2017		4,000		23
Deutsche Bank AG	Kraft Foods, Inc. 6.500% due 08/11/2017	Buy	(0.590	%)	09/20/2017		2,000		23
Deutsche Bank AG	Multiple Reference Entities of Gazprom	Sell	1.490	%	09/20/2017		5,000		(133	)
Deutsche Bank AG	Petroleos Mexicanos 9.500% due 09/15/2027	Sell	1.000	%	09/20/2017		5,000		22
Deutsche Bank AG	Phillipines Government International Bond 10.625% due 03/16/2025	Sell	2.500	%	09/20/2017		4,500		142
Deutsche Bank AG	Uruguay Government International Bond 7.875% due 01/15/2033	Sell	1.050	%	01/20/2012		3,000		(24	)
Deutsche Bank AG	Yum! Brands, Inc. 6.250% due 03/15/2018	Buy	(0.820	%)	03/20/2018		5,000		10
Goldman Sachs & Co.	GMAC LLC 6.875% due 08/28/2012	Sell	5.400	%	09/20/2012		9,000		(483	)
Goldman Sachs & Co.	GMAC LLC 6.875% due 08/28/2012	Sell	7.000	%	09/20/2012		4,200		(53	)
Goldman Sachs & Co.	Limited Brands, Inc. 6.125% due 12/01/2012	Buy	(2.410	%)	09/20/2017		2,000		(19	)
Goldman Sachs & Co.	Mexico Government International Bond 7.500% due 04/08/2033	Sell	2.050	%	09/20/2013		210		15
Goldman Sachs & Co.	Russia Government International Bond 7.500% due 03/31/2030	Sell	3.000	%	09/04/2013		810		93
Goldman Sachs & Co.	Russia Government International Bond 7.500% due 03/31/2030	Sell	2.950	%	09/05/2013		350		39
Goldman Sachs & Co.	Russia Government International Bond 7.500% due 03/31/2030	Sell	2.750	%	09/17/2013		200		20
HSBC Bank USA	Multiple Reference Entities of Gazprom	Sell	0.970	%	11/20/2008		7,900		(11	)
JPMorgan Chase & Co.	CEMEX SAB de C.V. 9.625% due 10/01/2009	Sell	1.050	%	12/20/2016		1,500		(73	)
JPMorgan Chase & Co.	Ford Motor Credit Co. LLC 7.250% due 10/25/2011	Sell	6.000	%	09/20/2012		4,000		(96	)
JPMorgan Chase & Co.	Kroger Co. 7.000% due 05/01/2018	Buy	(0.550	%)	06/20/2018		5,000		(8	)
JPMorgan Chase & Co.	Mexico Government International Bond 7.500% due 04/08/2033	Sell	0.920	%	03/20/2016		650		6
JPMorgan Chase & Co.	Russia Government International Bond 7.500% due 03/31/2030	Sell	3.150	%	08/19/2013		200		25
JPMorgan Chase & Co.	Time Warner, Inc. 5.875% due 11/15/2016	Buy	(0.830	%)	12/20/2016		5,000		31
JPMorgan Chase & Co.	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	1.450	%	02/20/2012		5,000		(88	)
Lehman Brothers, Inc.	Bank of America Corp. 7.400% due 01/15/2011	Sell	0.170	%	06/20/2011		4,200		(39	)
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	0.960	%	01/20/2012		4,500		37
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.510	%	08/20/2016		3,500		75
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.780	%	08/20/2017		10,000		411
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.470	%	09/20/2017		1,000		15
Lehman Brothers, Inc.	Citigroup, Inc. 7.250% due 10/01/2010	Sell	0.170	%	06/20/2011		7,300		(119	)
Lehman Brothers, Inc.	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.390	%	12/20/2011		5,500		8
Lehman Brothers, Inc.	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.520	%	12/20/2011		3,000		19
Lehman Brothers, Inc.	JPMorgan Chase & Co. 6.750% due 02/01/2011	Sell	0.220	%	06/20/2011		5,600		(60	)
Lehman Brothers, Inc.	Mexico Government International Bond 7.500% due 04/08/2033	Sell	0.750	%	04/20/2011		9,200		69
Lehman Brothers, Inc.	Nalco Co. 7.750% due 11/15/2011	Sell	2.850	%	12/20/2012		1,800		(97	)
Lehman Brothers, Inc.	Qwest Capital Funding, Inc. 7.250% due 02/15/2011	Sell	1.500	%	03/20/2012		500		(28	)
Lehman Brothers, Inc.	Telefonos de Mexico S.A. de C.V. 4.500% due 11/19/2008	Buy	(0.550	%)	04/20/2011		9,200		(33	)
Lehman Brothers, Inc.	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	1.400	%	05/20/2012		3,000		(82	)
Merrill Lynch & Co., Inc.	American General Finance Corp. 6.900% due 12/15/2017	Buy	(1.370	%)	12/20/2017		2,500		(7	)
Merrill Lynch & Co., Inc.	Ford Motor Credit Co. LLC 7.250% due 10/25/2011	Sell	6.000	%	09/20/2012		4,000		(96	)
Merrill Lynch & Co., Inc.	General Motors Corp. 7.125% due 07/15/2013	Sell	6.700	%	12/20/2012		1,300		(13	)
Merrill Lynch & Co., Inc.	GMAC LLC 6.875% due 08/28/2012	Sell	7.000	%	09/20/2012		8,000		(101	)
Merrill Lynch & Co., Inc.	Russia Government International Bond 7.500% due 03/31/2030	Sell	2.310	%	01/21/2014		4,500		377
Merrill Lynch & Co., Inc.	Tesoro Corp. 6.625% due 11/01/2015	Sell	0.710	%	06/20/2012		4,000		(73	)
Merrill Lynch & Co., Inc.	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	1.500	%	01/20/2012		2,000		(26	)
Morgan Stanley	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.470	%	02/20/2017		700		12
Morgan Stanley	Citigroup, Inc. 7.250% due 10/01/2010	Sell	0.163	%	06/20/2011		12,000		(199	)
Morgan Stanley	Freeport-McMoRan Copper & Gold, Inc. 8.375% due 04/01/2017	Sell	0.890	%	06/20/2012		5,950		(101	)
Morgan Stanley	Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.235	%	06/20/2012		4,000		(71	)
Morgan Stanley	JC Penney Corp., Inc. 8.000% due 03/01/2010	Sell	0.720	%	03/20/2011		5,000		(72	)
Morgan Stanley	MeadWestvaco Corp. 6.850% due 04/01/2012	Buy	(0.585	%)	06/20/2012		4,000		10
Morgan Stanley	Mexico Government International Bond 11.500% due 05/15/2026	Sell	1.280	%	02/20/2009		900		15
Morgan Stanley	Mexico Government International Bond 11.500% due 05/15/2026	Sell	2.070	%	09/20/2013		530		39
Morgan Stanley	Mexico Government International Bond 11.500% due 05/15/2026	Sell	2.170	%	09/20/2013		120		9
Morgan Stanley	Multiple Reference Entities of Gazprom	Sell	1.380	%	12/20/2008		33,800		43
Morgan Stanley	Peru Government International Bond 8.750% due 11/21/2033	Sell	1.960	%	10/20/2016		600		25
Morgan Stanley	Phillipines Government International Bond 10.625% due 03/16/2025	Sell	2.440	%	09/20/2017		300		8
Morgan Stanley	RSHB Capital S.A. for OJSC Russian Agricultural Bank 7.175% due 05/16/2013	Sell	2.000	%	10/20/2012		3,000		(38	)
Morgan Stanley	Textron Financial Corp. floating rate based on 3-Month USD-LIBOR plus .100% due 01/11/2010	Buy	(0.090	%)	03/20/2010		15,000		41
Morgan Stanley	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	1.590	%	04/20/2012		11,700		(201	)
Morgan Stanley	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	1.380	%	05/20/2012		5,400		(111	)
Morgan Stanley	Viacom, Inc. 6.250% due 04/30/2016	Buy	(0.900	%)	06/20/2016		5,000		0
Royal Bank of Scotland Group PLC	American General Finance Corp. 6.900% due 12/15/2017	Buy	(1.300	%)	12/20/2017		2,500		6
Royal Bank of Scotland Group PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.390	%	12/20/2011		5,000		25
Royal Bank of Scotland Group PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.525	%	12/20/2011		3,000		19
Royal Bank of Scotland Group PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	2.385	%	09/20/2016		700		20
Royal Bank of Scotland Group PLC	Marks & Spencer PLC 6.250% due 12/01/2017	Buy	(0.950	%)	12/20/2017		5,000		(25	)
UBS Warburg LLC	Bank of America Corp. 7.400% due 01/15/2011	Sell	0.160	%	06/20/2011		12,000		(115	)
UBS Warburg LLC	Colombia Government International Bond 10.375% due 01/28/2033	Sell	1.070	%	01/20/2012		1,000		4
UBS Warburg LLC	CSX Corp. 5.600% due 05/01/2017	Buy	(0.880	%)	06/20/2017		5,000		0
UBS Warburg LLC	JPMorgan Chase & Co. 6.750% due 02/01/2011	Sell	0.210	%	06/20/2011		12,000		(132	)
UBS Warburg LLC	Mexico Government International Bond 7.500% due 04/08/2033	Sell	0.695	%	01/20/2017		500		(4	)
								$	(1,683	)
Credit Default Swaps on Credit Indices
Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Deutsche Bank AG	Dow Jones iTraxx Europe 7X0V Index	Sell	2.300	%	06/20/2012	EUR	3,000	$	(155	)
Deutsche Bank AG	Dow Jones iTraxx Europe X05 Index	Sell	2.900	%	06/20/2011		4,900		70
JPMorgan Chase & Co.	Dow Jones iTraxx Europe X05 Index	Sell	2.900	%	06/20/2011		6,975		94
Lehman Brothers, Inc.	Dow Jones iTraxx Europe 7X0V Index	Sell	2.300	%	06/20/2012		26,000		(1,281	)
Morgan Stanley	Dow Jones iTraxx Europe 4 Index	Sell	0.350	%	12/20/2010		43,600		(94	)
Morgan Stanley	Dow Jones iTraxx Europe 5 Index	Sell	0.400	%	06/20/2011		2,500		(19	)
Bank of America	Dow Jones CDX N.A. HY8 Index	Sell	1.750	%	06/20/2012	$	1,500		(64	)
Barclays Bank PLC	Dow Jones CDX N.A. EM8 Index	Sell	1.750	%	12/20/2012		18,000		81
BNP Paribas Bank	Dow Jones CDX N.A. IG8 Index	Sell	0.350	%	06/20/2012		30,000		(503	)
Citibank N.A.	Dow Jones CDX N.A. HY8 Index	Sell	0.360	%	06/20/2012		9,000		(168	)
Citibank N.A.	Home Equity Index A Rating 2006-1	Sell	0.540	%	07/25/2045		9,000		(3,260	)
Citibank N.A.	Home Equity Index A Rating 2006-2	Sell	0.440	%	05/25/2046		9,500		(5,094	)
Deutsche Bank AG	Dow Jones CDX N.A. EM8 Index	Sell	1.750	%	12/20/2012		8,500		(37	)
Deutsche Bank AG	Dow Jones CDX N.A. IG6 Index	Sell	0.400	%	06/20/2011		17,000		(275	)
Deutsche Bank AG	Home Equity Index A Rating 2006-2	Sell	0.440	%	05/25/2046		4,900		(2,263	)
Goldman Sachs & Co.	Dow Jones CDX N.A. EM8 Index	Sell	1.750	%	12/20/2012		40,500		(481	)
Goldman Sachs & Co.	Dow Jones CDX N.A. IG5 Index	Sell	0.450	%	12/20/2010		15,000		(123	)
Goldman Sachs & Co.	Home Equity Index A Rating 2006-2	Sell	0.440	%	05/25/2046		9,000		(4,828	)
JPMorgan Chase & Co.	Dow Jones CDX N.A. EM2 Index	Sell	2.600	%	12/20/2009		3,300		104
JPMorgan Chase & Co.	Dow Jones CDX N.A. EM3 Index	Sell	2.100	%	06/20/2010		6,900		403
JPMorgan Chase & Co.	Dow Jones CDX N.A. IG9 Index	Sell	0.600	%	12/20/2012		22,700		(64	)
Lehman Brothers, Inc.	Dow Jones CDX N.A. EM3 Index	Sell	2.100	%	06/20/2010		3,000		138
Lehman Brothers, Inc.	Dow Jones CDX N.A. IG4 Index	Sell	0.650	%	06/20/2015		1,500		1
Merrill Lynch & Co., Inc.	Dow Jones CDX N.A. HY9 Index	Sell	3.750	%	12/20/2012		200		(4	)
Morgan Stanley	Dow Jones CDX N.A. IG6 Index	Sell	0.400	%	06/20/2011		1,000		(15	)
Morgan Stanley	Home Equity Index A Rating 2006-2	Sell	0.440	%	05/25/2046		18,500		(9,913	)
UBS Warburg LLC	Home Equity Index A Rating 2006-2	Sell	0.440	%	05/25/2046		9,500		(5,098	)
								$	(32,848	)
(1)      If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will pay to the buyer of the protection an amount up to the notional value of the swap and in certain instances, take delivery of the security. As a buyer of protection, the Fund will generally receive from the seller of protection an amount up to the notional amount of the swap if a credit event occurs. Interest Rate Swaps
Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Credit Suisse USA, Inc.	6-Month Australian Bank Bill	Pay	7.250	%	06/15/2013	AUD	26,800	$	(342	)
Deutsche Bank AG	6-Month Australian Bank Bill	Pay	6.500	%	01/15/2010		41,000		(635	)
JPMorgan Chase & Co.	6-Month Australian Bank Bill	Pay	6.500	%	01/15/2010		6,800		(117	)
Barclays Bank PLC	BRL-CDI-Compounded	Pay	10.680	%	01/02/2012	BRL	500		(8	)
Morgan Stanley	BRL-CDI-Compounded	Pay	10.115	%	01/02/2012		7,500		(128	)
Barclays Bank PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.948	%	03/15/2012	EUR	8,000		(155	)
Barclays Bank PLC	6-Month EUR-LIBOR	Pay	4.000	%	09/19/2017		4,100		(34	)
Citibank N.A.	6-Month EUR-LIBOR	Pay	4.000	%	06/17/2010		40,200		(2,648	)
Goldman Sachs & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.976	%	12/15/2011		56,400		(795	)
Goldman Sachs & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.995	%	03/15/2012		6,000		(90	)
Goldman Sachs & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.960	%	03/30/2012		3,200		(59	)
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.973	%	12/15/2011		23,000		(332	)
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.948	%	03/15/2012		1,100		(21	)
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.958	%	04/10/2012		14,800		(309	)
Lehman Brothers, Inc.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.965	%	03/15/2012		3,000		(48	)
Morgan Stanley	6-Month EUR-LIBOR	Receive	4.000	%	12/15/2011		11,700		340
Royal Bank of Scotland Group PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.955	%	03/28/2012		2,500		(45	)
Royal Bank of Scotland Group PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.950	%	03/30/2012		2,500		(47	)
Deutsche Bank AG	6-Month JPY-LIBOR	Pay	2.000	%	12/20/2011	JPY	3,650,000		174
Deutsche Bank AG	6-Month JPY-LIBOR	Pay	2.000	%	12/20/2016		3,300,000		517
Barclays Bank PLC	Korea Securities Dealers Association National Housing Index	Pay	4.895	%	02/07/2012	KRW	936,600		(20	)
Barclays Bank PLC	Korea Securities Dealers Association National Housing Index	Pay	4.880	%	02/08/2012		933,333		(21	)
Barclays Bank PLC	28-Day Mexico Interbank TIIE Banxico	Pay	8.780	%	08/03/2016	MXN	52,500		75
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.770	%	08/03/2016		52,500		68
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.170	%	11/04/2016		14,000		(17	)
Goldman Sachs & Co.	28-Day Mexico Interbank TIIE Banxico	Pay	8.865	%	09/12/2016		262,000		477
Goldman Sachs & Co.	28-Day Mexico Interbank TIIE Banxico	Pay	8.170	%	11/04/2016		34,000		(96	)
JPMorgan Chase & Co.	28-Day Mexico Interbank TIIE Banxico	Pay	8.410	%	04/17/2009		82,700		30
JPMorgan Chase & Co.	28-Day Mexico Interbank TIIE Banxico	Pay	8.910	%	07/26/2016		45,000		107
Citibank N.A.	6-Month PLN-LIBOR	Pay	5.248	%	04/20/2017	PLN	96,600		(1,475	)
Bank of America	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010	$	33,500		224
Bank of America	3-Month USD-LIBOR	Pay	5.000	%	06/18/2010		124,000		814
Barclays Bank PLC	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010		22,100		99
Barclays Bank PLC	3-Month USD-LIBOR	Pay	5.000	%	06/18/2010		300		1
Deutsche Bank AG	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010		128,800		185
Merrill Lynch & Co., Inc.	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010		75,900		461
Morgan Stanley	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010		22,300		101
Morgan Stanley	3-Month USD-LIBOR	Receive	5.000	%	06/18/2018		14,900		(279	)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010		982,900		(604	)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	06/18/2018		132,800		(210	)
Citibank N.A.	3-Month ZAR-Johannesburg Interbank Agreed Rate	Pay	9.990	%	11/09/2010	ZAR	196,650		(230	)
HSBC Bank USA	3-Month ZAR-Johannesburg Interbank Agreed Rate	Pay	9.990	%	11/09/2010		173,050		(237	)
								$	(5,329	)

(k) Purchased options outstanding on December 31, 2007:

Interest Rate Swaptions

Description

Counterparty

Floating Rate Index

Pay/Receive Floating Rate

Exercise Rate

Expiration Date

Notional Amount

Cost

Value

Call - OTC 2-Year Interest Rate Swap

Lehman Brothers, Inc.

3-Month USD-LIBOR

Pay

4.750

%

09/26/2008

$

941,000

$

4,901

$

19,532

Foreign Currency Options

Description	Exercise Price		Expiration Date	Notional Amount		Cost		Value
Call - OTC U.S. dollar versus Japanese yen	JPY	105.400	03/31/2010	$	11,000	$	461	$	500
Put - OTC U.S. dollar versus Japanese yen		105.400	03/31/2010		11,000		462		563
						$	923	$	1,063

(l) Written options outstanding on December 31, 2007:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Value
Call - CBOT U.S. Treasury 10-Year Note March Futures	$	111.000	02/22/2008	2,698	$	1,538	$	7,672
Call - CBOT U.S. Treasury 10-Year Note March Futures		113.000	02/22/2008	607		358		949
Put - CBOT U.S. Treasury 10-Year Note March Futures		106.000	02/22/2008	1,687		724		26
Put - CBOT U.S. Treasury 10-Year Note March Futures		107.000	02/22/2008	1,089		371		51
Put - CBOT U.S. Treasury 10-Year Note March Futures		108.000	02/22/2008	607		282		38
					$	3,273	$	8,736

Interest Rate Swaptions

Description

Counterparty

Floating Rate Index

Pay/Receive Floating Rate

Exercise Rate

Expiration Date

Notional Amount

Premium

Value

Call -OTC 5-Year Interest Rate Swap

Lehman Brothers, Inc.

3-Month USD-LIBOR

Receive

4.950

%

09/26/2008

$

409,000

$

4,706

$

14,904

(m) Restricted securities as of December 31, 2007:

Issuer Description	Coupon		Maturity Date	Acquisition Date	Cost		Market Value		Market Value as Percentage of Net Assets
Merna Reinsurance Ltd.	5.480	%	07/07/2010	09/21/2007	$	9,909	$	9,800	0.36	%

(n) Short sales outstanding on December 31, 2007:

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Value
Fannie Mae	6.000	%	01/01/2038	$	102,000	$	103,666	$	103,578

(o) Foreign currency contracts outstanding on December 31, 2007:

Type	Currency	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Sell	AUD	2,824	02/2008	$	0	$	(59	)	$	(59	)
Buy	BRL	38,983	03/2008		3,071		0			3,071
Sell		141,646	03/2008		0		(5,489	)		(5,489	)
Buy		12,991	07/2008		408		(63	)		345
Sell		29,310	07/2008		120		(235	)		(115	)
Buy	CAD	227	01/2008		0		(1	)		(1	)
Sell		6,514	01/2008		1		(142	)		(141	)
Buy	CLP	2,433,405	03/2008		269		0			269
Buy		2,512,709	07/2008		0		(44	)		(44	)
Buy	CNY	326,733	01/2008		508		0			508
Sell		326,733	01/2008		0		(200	)		(200	)
Buy		227,981	07/2008		679		0			679
Buy		315,516	10/2008		46		(6	)		40
Buy	COP	10,333,635	03/2008		384		0			384
Sell		10,333,635	03/2008		0		(43	)		(43	)
Buy	CZK	8,181	03/2008		52		0			52
Buy	EUR	486	01/2008		0		(5	)		(5	)
Sell		140,002	01/2008		331		(33	)		298
Buy	GBP	545	01/2008		0		0			0
Sell		38,072	01/2008		956		0			956
Buy	HKD	311	01/2008		0		0			0
Buy	IDR	252,005,122	05/2008		7		(978	)		(971	)
Buy	ILS	888	11/2008		4		0			4
Buy	INR	24,380	05/2008		28		0			28
Sell		24,380	05/2008		0		(8	)		(8	)
Sell	JPY	588,547	02/2008		12		0			12
Buy	KRW	2,779,520	05/2008		9		(2	)		7
Buy		14,567,748	08/2008		0		(312	)		(312	)
Buy	MXN	294,272	03/2008		601		0			601
Sell		270,391	03/2008		50		0			50
Buy		240,167	07/2008		220		(50	)		170
Buy	MYR	1,673	08/2008		16		0			16
Buy	PLN	32,919	03/2008		1,648		0			1,648
Buy		34,552	07/2008		1,077		0			1,077
Buy	RUB	295,626	01/2008		593		0			593
Sell		295,626	01/2008		49		0			49
Buy		632,712	07/2008		492		0			492
Sell		137,435	07/2008		0		(196	)		(196	)
Buy		747,118	11/2008		101		(47	)		54
Buy	SGD	5,048	02/2008		128		0			128
Buy		3,857	05/2008		115		0			115
Buy		8,375	08/2008		68		0			68
Buy	SKK	10,523	03/2008		33		0			33
Buy	TRY	824	03/2008		132		0			132
Buy	ZAR	292,117	03/2008		0		(1,335	)		(1,335	)
Buy		125,159	07/2008		0		(263	)		(263	)
Sell		28,346	07/2008		0		(226	)		(226	)
				$	12,208	$	(9,737	)	$	2,471

See accompanying notes

Schedule of Investments

Emerging Local Bond Fund

December 31, 2007 (Unaudited)

	Principal Amount (000s)		Value (000s)
BRAZIL 20.6%
Brazil Notas do Tesouro Nacional Series F
10.000% due 01/01/2017	BRL	142,190	$	67,145
Brazilian Government International CPI Linked Bond
6.000% due 05/15/2017		3,500		3,003
10.000% due 01/01/2012		348,279		178,562
ISA Capital do Brasil S.A.
7.875% due 01/30/2012	$	200		204
Total Brazil (Cost $242,657)				248,914
COLOMBIA 5.8%
Colombia Government International Bond
9.850% due 06/28/2027	COP	31,765,000		15,709
11.750% due 03/01/2010		1,000		0
12.000% due 10/22/2015		70,076,000		38,803
Santa Fe de Bogota DC
9.750% due 07/26/2028		31,200,000		15,613
Total Colombia (Cost $74,710)				70,125
CZECH REPUBLIC 8.7%
Czech Republic Government Bond
2.550% due 10/18/2010	CZK	385,000		20,237
3.700% due 06/16/2013		2,400		128
3.750% due 09/12/2020		36,000		1,778
6.400% due 04/14/2010		1,448,000		83,198
Total Czech Republic (Cost $92,964)				105,341
EGYPT 1.0%
Egypt Government Bond
8.750% due 07/18/2012	EGP	60,000		11,344
Total Egypt (Cost $10,484)				11,344
HUNGARY 6.3%
Hungary Government Bond
5.500% due 02/12/2014	HUF	9,868,240		52,033
5.500% due 02/12/2016		4,701,000		24,446
Total Hungary (Cost $74,320)				76,479
MEXICO 9.3%
America Movil SAB de C.V.
8.460% due 12/18/2036	MXN	87,700		7,580
9.000% due 01/15/2016		35,000		3,294
Mexican Bonos
7.250% due 12/15/2016		297,300		25,692
7.500% due 06/03/2027		29,000		2,465
8.000% due 12/17/2015		773,730		70,207
Telefonos de Mexico SAB de C.V.
8.750% due 01/31/2016		35,000		3,215
Vitro SAB de C.V.
8.625% due 02/01/2012	$	100		95
9.125% due 02/01/2017		50		46
Total Mexico (Cost $116,465)				112,594
PERU 0.8%
Peru Government International Bond
7.840% due 08/12/2020	PEN	4,750		1,782
9.910% due 05/05/2015		19,044		7,720
Total Peru (Cost $9,181)				9,502
POLAND 9.2%
Poland Government International Bond
4.250% due 05/24/2011	PLN	320		123
4.750% due 04/25/2012		109,290		42,218
5.750% due 03/24/2010		101,580		40,892
5.750% due 09/23/2022		69,092		27,921
Total Poland (Cost $100,998)				111,154
SLOVAKIA 0.1%
Slovakia Government Bond
4.800% due 04/14/2009	SKK	40,000		1,749
Total Slovakia (Cost $1,545)				1,749
SOUTH AFRICA 1.2%
South Africa Government International Bond
7.500% due 01/15/2014	ZAR	68,080		9,415
8.000% due 12/21/2018		25,000		3,569
10.000% due 02/28/2009		10,000		1,459
Total South Africa (Cost $14,055)				14,443
SWITZERLAND 0.4%
UBS AG
5.141% due 07/23/2009	$	5,000		4,997
Total Switzerland (Cost $4,986)				4,997
TURKEY 8.1%
Turkey Government Bond
0.000% due 08/13/2008	TRY	630		489
0.000% due 11/26/2008		11,160		8,293
14.000% due 01/19/2011		106,713		86,290
15.000% due 02/10/2010		1,055		879
16.000% due 03/07/2012		2,900		2,469
Total Turkey (Cost $84,724)				98,420
UNITED STATES 0.2%
Fannie Mae
5.500% due 06/01/2037 - 08/01/2037	$	2,000		1,998
Total United States (Cost $1,991)				1,998
URUGUAY 0.4%
Uruguay Government International Bond
5.000% due 09/14/2018 (b)	UYU	103,039		5,178
Total Uruguay (Cost $4,871)				5,178
SHORT-TERM INSTRUMENTS 22.6%
Commercial Paper 21.6%
ANZ National International Ltd.
5.100% due 01/22/2008	$	7,600		7,578
Barclays U.S. Funding Corp.
5.100% due 01/25/2008		3,300		3,289
DnB NORBank ASA
5.050% due 01/25/2008		61,100		60,903
General Electric Capital Corp.
3.750% due 01/02/2008		30,200		30,200
Skandinaviska Enskilda Banken AB
5.050% due 01/25/2008		2,300		2,293
Swedbank AB
4.730% due 02/01/2008		53,300		53,090
UBS Finance Delaware LLC
4.690% due 01/28/2008		54,700		54,515
Unicredito Italiano SpA
5.140% due 01/18/2008		13,000		12,970
Westpac Trust Securities NZ Ltd.
4.810% due 01/25/2008		36,900		36,787
				261,625
Repurchase Agreements 0.8%
Fixed Income Clearing Corp.
3.900% due 01/02/2008		9,647		9,647
(Dated 12/31/2007. Collateralized by Fannie Mae 3.250% due 01/15/2008 valued at $9,843. Repurchase proceeds are $9,649.)
Egypt Treasury Bills 0.1%
9.205% due 02/05/2008 - 04/01/2008	EGP	6,725		1,202
U.S. Treasury Bills 0.1%
2.920% due 03/13/2008 (a)(c)	$	1,000		990
Total Short-Term Instruments (Cost $273,428)				273,464
Total Investments 94.7% (Cost $1,107,379)			$	1,145,702
Other Assets and Liabilities (Net) 5.3%				64,468
Net Assets (d) 100.0%			$	1,210,170

Notes to Schedule of Investments (amounts in thousands*, except number of contracts):

* A zero balance may reflect actual amounts rounding to less than one thousand.

(a) Coupon represents a weighted average rate.

(b) Principal amount of security is adjusted for inflation.

(c) Securities with an aggregate market value of $990 have been pledged as collateral for swap and swaption contracts on December 31, 2007.

(d) As of December 31, 2007, portfolio securities with an aggregate value of $38,803 and derivative instruments with an aggregate depreciation of ($4,719) were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(e) Cash of $60 has been segregated with the custodian to cover margin requirements for the following open futures contracts on December 31, 2007:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation
90-Day Eurodollar December Futures	Long	12/2008	40	$	101
90-Day Eurodollar June Futures	Long	06/2009	8		13
90-Day Eurodollar March Futures	Long	03/2008	11		0
90-Day Eurodollar March Futures	Long	03/2009	26		75
90-Day Eurodollar September Futures	Long	09/2009	6		4
				$	193

(f) Swap agreements outstanding on December 31, 2007:

Asset Swaps

Counterparty	Pay Floating Rate	Underlying Asset	Receive	Notional Amount		Unrealized Appreciation/ (Depreciation)
Barclays Bank PLC	6-Month USD-LIBOR	Indonesia Government International Bond 10.000% due 07/15/2017	Cash Flow from Underlying Asset	$	20,637	$	(2,413	)
Barclays Bank PLC	6-Month USD-LIBOR	Indonesia Government International Bond 11.000% due 12/15/2012	Cash Flow from Underlying Asset		8,017		(461	)
Barclays Bank PLC	6-Month USD-LIBOR	Indonesia Government International Bond 11.000% due 10/15/2014	Cash Flow from Underlying Asset		67,470		(1,741	)
Barclays Bank PLC	6-Month USD-LIBOR	Malaysian Government International Bond 3.756% due 04/28/2011	Cash Flow from Underlying Asset		61,746		2,945
Citibank N.A.	6-Month USD-LIBOR	Malaysian Government International Bond 4.262% due 09/15/2016	Cash Flow from Underlying Asset		30,052		(432	)
Deutsche Bank AG	6-Month USD-LIBOR	Indonesia Government International Bond 10.000% due 07/15/2017	Cash Flow from Underlying Asset		58,555		(2,363	)
Deutsche Bank AG	6-Month USD-LIBOR	Malaysian Government International Bond 3.756% due 04/28/2011	Cash Flow from Underlying Asset		401		19
Deutsche Bank AG	6-Month USD-LIBOR	Malaysian Government International Bond 4.262% due 09/15/2016	Cash Flow from Underlying Asset		7,411		(41	)
						$	(4,487	)

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Barclays Bank PLC	BRL-CDI-Compounded	Pay	10.680	%	01/02/2012	BRL	109,900	$	(3,175	)
JPMorgan Chase & Co.	BRL-CDI-Compounded	Pay	12.360	%	01/04/2010		700		1
Morgan Stanley	BRL-CDI-Compounded	Pay	12.780	%	01/04/2010		180,000		(528	)
UBS Warburg LLC	BRL-CDI-Compounded	Pay	10.575	%	01/02/2012		52,300		(1,016	)
Barclays Bank PLC	6-Month CZK-LIBOR	Pay	3.400	%	01/03/2012	CZK	69,550		(60	)
Barclays Bank PLC	6-Month CZK-LIBOR	Pay	3.340	%	02/23/2012		40,000		(40	)
Citibank N.A.	6-Month CZK-LIBOR	Pay	3.340	%	01/10/2012		156,120		(134	)
Barclays Bank PLC	Korea Securities Dealers Association National Housing Index	Pay	4.895	%	02/07/2012	KRW	936,600		(20	)
Barclays Bank PLC	Korea Securities Dealers Association National Housing Index	Pay	4.880	%	02/08/2012		933,333		(21	)
Barclays Bank PLC	Korea Securities Dealers Association National Housing Index	Pay	4.805	%	03/05/2012		3,100,000		(79	)
Morgan Stanley	28-Day Mexico Interbank TIIE Banxico	Pay	8.170	%	11/04/2016	MXN	131,000		(247	)
Barclays Bank PLC	6-Month SKK-Bratislava Interbank Bid Offered Rates	Pay	4.150	%	01/03/2012	SKK	15,550		7
Barclays Bank PLC	6-Month SKK-Bratislava Interbank Bid Offered Rates	Pay	4.180	%	03/02/2012		223,000		72
Barclays Bank PLC	6-Month SKK-Bratislava Interbank Bid Offered Rates	Pay	4.580	%	07/31/2012		920		0
Citibank N.A.	6-Month SKK-Bratislava Interbank Bid Offered Rates	Pay	4.160	%	01/10/2012		63,000		27
Barclays Bank PLC	3-Month ZAR-Johannesburg Interbank Agreed Rate	Pay	9.155	%	10/19/2014	ZAR	228,100		(980	)
Citibank N.A.	3-Month ZAR-Johannesburg Interbank Agreed Rate	Pay	9.990	%	11/09/2010		130,449		(193	)
HSBC Bank USA	3-Month ZAR-Johannesburg Interbank Agreed Rate	Pay	9.990	%	11/09/2010		130,450		(193	)
HSBC Bank USA	3-Month ZAR-Johannesburg Interbank Agreed Rate	Pay	9.155	%	10/19/2014		172,000		(470	)
								$	(7,049	)

(g) Foreign currency contracts outstanding on December 31, 2007:

Type	Currency	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	AED	15,134	05/2008	$	37	$	0		$	37
Buy	BRL	135,214	03/2008		9,805		0			9,805
Sell		124,100	03/2008		157		(3,424	)		(3,267	)
Buy		21,716	07/2008		1,062		0			1,062
Sell		171,814	07/2008		431		(1,244	)		(813	)
Buy	CLP	13,176,885	03/2008		1,104		0			1,104
Sell		15,555,475	03/2008		0		(689	)		(689	)
Buy		11,679,432	07/2008		0		(100	)		(100	)
Sell		1,029,796	07/2008		0		(39	)		(39	)
Buy		1,581,269	11/2010		151		0			151
Buy	CNY	43,848	03/2008		75		0			75
Sell		43,848	03/2008		0		(67	)		(67	)
Buy		41,475	07/2008		186		0			186
Sell		35,838	07/2008		0		(103	)		(103	)
Buy	COP	35,505,544	03/2008		903		(124	)		779
Sell		163,259,250	03/2008		676		(1,625	)		(949	)
Buy	CZK	1,663,721	03/2008		11,116		0			11,116
Sell		1,455,220	03/2008		534		(4,324	)		(3,790	)
Buy		76,666	07/2008		413		0			413
Sell		175,920	07/2008		304		0			304
Buy	EUR	320	01/2008		0		(1	)		(1	)
Buy	HUF	6,447,275	07/2008		409		0			409
Sell		4,173,833	07/2008		6		(85	)		(79	)
Buy	IDR	136,602,250	01/2008		0		(410	)		(410	)
Sell		365,541,000	01/2008		495		(38	)		457
Buy		58,349,550	05/2008		0		(264	)		(264	)
Sell		100,925,000	05/2008		378		0			378
Sell	ILS	7,967	11/2008		0		(40	)		(40	)
Buy	KRW	654,624	01/2008		0		(18	)		(18	)
Sell		654,624	01/2008		17		0			17
Buy	KWD	1,186	05/2008		226		0			226
Buy	MXN	360,447	03/2008		244		(36	)		208
Sell		585,571	03/2008		111		(366	)		(255	)
Buy		556,989	07/2008		353		(194	)		159
Sell		163,002	07/2008		37		(87	)		(50	)
Buy	MYR	181,728	05/2008		2,517		0			2,517
Sell		179,174	05/2008		0		(873	)		(873	)
Buy		183,246	08/2008		1,899		0			1,899
Sell		49,428	08/2008		20		(41	)		(21	)
Buy	PLN	330,470	03/2008		15,512		0			15,512
Sell		297,195	03/2008		0		(6,967	)		(6,967	)
Buy		104,339	07/2008		4,556		0			4,556
Sell		64,065	07/2008		0		(841	)		(841	)
Buy	RON	9,684	01/2008		7		0			7
Sell		9,684	01/2008		97		0			97
Sell		9,684	11/2008		0		(10	)		(10	)
Buy	RUB	1,593,276	01/2008		3,256		0			3,256
Sell		1,593,276	01/2008		73		(444	)		(371	)
Buy		733,895	07/2008		878		0			878
Sell		183,446	07/2008		0		(51	)		(51	)
Buy		452,339	11/2008		12		(73	)		(61	)
Buy	SAR	15,472	05/2008		17		0			17
Buy	SKK	1,643,598	03/2008		4,804		0			4,804
Sell		888,652	03/2008		275		(391	)		(116	)
Buy		88,642	07/2008		0		(83	)		(83	)
Sell		112,148	07/2008		111		0			111
Buy	TRY	40,700	03/2008		5,464		0			5,464
Sell		76,744	03/2008		0		(6,061	)		(6,061	)
Buy	ZAR	754,146	03/2008		977		(2,691	)		(1,714	)
Sell		165,585	03/2008		0		(1,153	)		(1,153	)
Buy		376,998	07/2008		538		(462	)		76
Sell		130,848	07/2008		15		(188	)		(173	)
				$	70,258	$	(33,607	)	$	36,651

See accompanying notes

Schedule of Investments

Emerging Markets Bond Fund

December 31, 2007 (Unaudited)

	Principal Amount (000s)		Value (000s)
ARGENTINA 1.7%
Argentina Bonos
5.389% due 08/03/2012	$	82,530	$	46,733
Total Argentina (Cost $47,615)				46,733
BERMUDA 0.2%	$
BW Group Ltd.
6.625% due 06/28/2017		5,730		6,011
Total Bermuda (Cost $5,700)				6,011
BRAZIL 16.5%
Brazil Notas do Tesouro Nacional Series F
10.000% due 01/01/2017	BRL	122,425		57,687
Brazilian Government International Bond
7.125% due 01/20/2037	$	2,105		2,384
7.875% due 03/07/2015		3,709		4,197
8.250% due 01/20/2034		41,080		52,069
8.500% due 09/24/2012	EUR	1,500		2,426
8.750% due 02/04/2025	$	17,175		21,812
8.875% due 10/14/2019		15,476		19,190
8.875% due 04/15/2024		21,160		27,010
10.125% due 05/15/2027		36,210		52,323
10.250% due 01/10/2028	BRL	6,100		3,329
10.500% due 07/14/2014	$	1,874		2,389
12.500% due 01/05/2016	BRL	2,000		1,230
12.750% due 01/15/2020	$	3,750		5,897
Brazilian Government International CPI Linked Bond
6.000% due 05/15/2017	BRL	6,600		5,653
6.000% due 05/15/2045		6,000		5,238
10.000% due 01/01/2012		152,675		78,186
Centrais Eletricas Brasileiras S.A.
7.750% due 11/30/2015	$	2,000		2,115
Cia de Saneamento Basico do Estado de Sao Paulo
7.500% due 11/03/2016		8,925		9,148
CSN Islands VII Corp.
10.750% due 09/12/2008		9,975		10,299
CSN Islands VIII Corp.
9.750% due 12/16/2013		8,000		8,980
Embraer Overseas Ltd.
6.375% due 01/24/2017		3,800		3,615
GTL Trade Finance, Inc.
7.250% due 10/20/2017		34,200		34,772
ISA Capital do Brasil S.A.
7.875% due 01/30/2012		3,350		3,425
8.800% due 01/30/2017		3,600		3,717
Petrobras International Finance Co.
5.875% due 03/01/2018		13,100		13,094
Vale Overseas Ltd.
6.250% due 01/11/2016		700		705
6.250% due 01/23/2017		6,200		6,250
6.875% due 11/21/2036		14,425		14,665
8.250% due 01/17/2034		750		872
Total Brazil (Cost $401,518)				452,677
CHILE 1.0%
AES Gener S.A.
7.500% due 03/25/2014	$	1,000		1,057
Banco Santander Chile
5.375% due 12/09/2014		3,000		3,050
Chile Government International Bond
5.411% due 01/28/2008		24		24
CODELCO, Inc.
5.625% due 09/21/2035		6,800		6,270
6.150% due 10/24/2036		7,300		7,242
Empresa Nacional de Electricidad S.A.
8.350% due 08/01/2013		5,800		6,578
Enersis S.A.
7.375% due 01/15/2014		1,098		1,177
7.400% due 12/01/2016		1,850		2,008
Total Chile (Cost $27,564)				27,406
CHINA 0.7%
Citic Resources Finance Ltd.
6.750% due 05/15/2014	$	3,200		3,008
Export-Import Bank of China
5.250% due 07/29/2014		9,958		10,083
Sino-Forest Corp.
9.125% due 08/17/2011		5,700		6,035
Total China (Cost $19,073)				19,126
COLOMBIA 3.3%
Colombia Government International Bond
7.375% due 01/27/2017	$	5,100		5,610
7.375% due 09/18/2037		5,640		6,288
8.250% due 12/22/2014		32,030		36,674
9.850% due 06/28/2027	COP	600,000		297
10.000% due 01/23/2012	$	10		12
10.375% due 01/28/2033		1,850		2,770
10.750% due 01/15/2013		15,535		19,147
11.750% due 02/25/2020		3,047		4,548
12.000% due 10/22/2015	COP	25,375,000		14,051
Total Colombia (Cost $86,619)				89,397
EGYPT 0.2%
Petroleum Export Ltd.
5.265% due 06/15/2011	$	6,590		6,548
Total Egypt (Cost $6,497)				6,548
EL SALVADOR 0.5%
AES El Salvador Trust
6.750% due 02/01/2016	$	10,260		10,224
El Salvador Government International Bond
8.500% due 07/25/2011		4,515		4,944
Total El Salvador (Cost $14,902)				15,168
GUATEMALA 0.4%
Guatemala Government Bond
9.250% due 08/01/2013	$	7,581		8,752
10.250% due 11/08/2011		771		893
Total Guatemala (Cost $9,529)				9,645
INDIA 0.7%
ICICI Bank Ltd.
5.750% due 01/12/2012	$	8,300		7,991
NTPC Ltd.
5.875% due 03/02/2016		2,736		2,681
Vedanta Resources PLC
6.625% due 02/22/2010		7,400		7,418
Total India (Cost $18,244)				18,090
INDONESIA 2.3%
Indonesia Government International Bond
6.875% due 03/09/2017	$	21,000		21,836
Majapahit Holding BV
7.250% due 10/17/2011		8,105		8,145
7.250% due 06/28/2017		10,600		10,082
7.750% due 10/17/2016		950		957
7.875% due 06/29/2037		23,600		22,265
Total Indonesia (Cost $64,181)				63,285
KAZAKHSTAN 1.0%
Intergas Finance BV
6.375% due 05/14/2017	$	9,100		8,190
6.875% due 11/04/2011		2,980		2,891
Tengizchevroil Finance Co. SARL
6.124% due 11/15/2014		16,895		16,009
Total Kazakhstan (Cost $28,953)				27,090
MALAYSIA 1.3%
Petroliam Nasional Bhd.
7.625% due 10/15/2026	$	16,850		20,410
7.750% due 08/15/2015		1,690		1,981
Petronas Capital Ltd.
7.000% due 05/22/2012		100		109
7.875% due 05/22/2022		3,000		3,721
TNB Capital L Ltd.
5.250% due 05/05/2015		8,300		8,309
Total Malaysia (Cost $34,105)				34,530
MEXICO 7.4%
America Movil SAB de C.V.
5.500% due 03/01/2014	$	14,481		14,460
5.625% due 11/15/2017		8,400		8,250
5.750% due 01/15/2015		11,700		11,736
8.460% due 12/18/2036	MXN	10,900		942
C5 Capital SPV Ltd.
6.196% due 12/31/2049	$	6,935		6,848
C8 Capital SPV Ltd.
6.640% due 12/29/2049		13,900		13,199
C10 Capital SPV Ltd.
6.722% due 12/31/2049		9,500		8,773
Cablemas S.A. de C.V.
9.375% due 11/15/2015		3,000		3,240
Desarrolladora Homex SAB de C.V.
7.500% due 09/28/2015		5,576		5,646
Hipotecaria Su Casita S.A.
8.500% due 10/04/2016		1,350		1,398
Kansas City Southern de Mexico S.A. de C.V.
7.375% due 06/01/2014		1,000		975
9.375% due 05/01/2012		3,850		4,052
Mexican Bonos
7.250% due 12/15/2016	MXN	321,400		27,775
Mexico Government International Bond
6.750% due 09/27/2034	$	28,080		31,084
7.500% due 04/08/2033		24,685		29,498
8.000% due 09/24/2022		16,880		20,788
Pemex Finance Ltd.
9.030% due 02/15/2011		39		41
Pemex Project Funding Master Trust
6.625% due 06/15/2035		8,500		9,002
9.375% due 12/02/2008		253		263
Telefonos de Mexico SAB de C.V.
5.500% due 01/27/2015		1,000		987
8.750% due 01/31/2016	MXN	10,000		918
Vitro SAB de C.V.
8.625% due 02/01/2012	$	1,765		1,668
9.125% due 02/01/2017		1,950		1,804
Total Mexico (Cost $201,233)				203,347
PAKISTAN 0.2%
Pakistan Government International Bond
7.125% due 03/31/2016	$	6,985		5,931
Total Pakistan (Cost $6,925)				5,931
PANAMA 3.8%
AES Panama S.A.
6.350% due 12/21/2016	$	8,780		8,678
Panama Government International Bond
6.700% due 01/26/2036		16,008		16,968
7.125% due 01/29/2026		22,425		24,780
7.250% due 03/15/2015		120		133
8.875% due 09/30/2027		8,350		10,897
9.375% due 07/23/2012		18,523		21,672
9.625% due 02/08/2011		17,969		20,260
Total Panama (Cost $98,710)				103,388
PERU 0.7%
Peru Government International Bond
6.550% due 03/14/2037	$	2,075		2,173
8.375% due 05/03/2016		3,312		3,900
8.750% due 11/21/2033		4,795		6,377
Southern Copper Corp.
6.375% due 07/27/2015		1,000		1,011
7.500% due 07/27/2035		6,500		6,917
Total Peru (Cost $18,549)				20,378
PHILIPPINES 0.9%
Philippine Government International Bond
6.375% due 01/15/2032	$	2,400		2,400
7.750% due 01/14/2031		10,000		11,588
8.250% due 01/15/2014		2,300		2,587
8.375% due 02/15/2011		3,800		4,104
10.625% due 03/16/2025		2,400		3,468
Total Philippines (Cost $23,821)				24,147
QATAR 0.1%
Ras Laffan Liquefied Natural Gas Co. Ltd.
3.437% due 09/15/2009	$	349		349
Ras Laffan Liquefied Natural Gas Co. Ltd. III
5.832% due 09/30/2016		1,000		1,018
5.838% due 09/30/2027		470		445
Total Qatar (Cost $1,812)				1,812
RUSSIA 18.0%
ABN AMRO Bank for OAO Gazprom
9.625% due 03/01/2013	$	113,410		129,100
Citigroup Global Markets Deutschland AG for OAO Gazprom
10.500% due 10/21/2009		900		976
Gaz Capital for Gazprom
5.875% due 06/01/2015	EUR	7,550		10,388
6.212% due 11/22/2016	$	18,200		17,602
6.510% due 03/07/2022		36,300		35,714
7.288% due 08/16/2037		11,800		11,969
8.625% due 04/28/2034		41,290		51,819
Gazinvest Luxembourg S.A. for Gazprombank
7.250% due 10/30/2008		6,100		6,129
Gazprom International S.A.
7.201% due 02/01/2020		13,369		13,649
GPB Eurobond Finance PLC for Gazprombank
6.500% due 09/23/2015		5,200		4,887
Lukoil Finance Ltd.
5.545% due 01/11/2009		4,830		4,805
Mobile Telesystems Finance S.A.
8.000% due 01/28/2012		3,500		3,601
8.375% due 10/14/2010		1,000		1,034
RSHB Capital S.A. for OJSC Russian Agricultural Bank
6.299% due 05/15/2017		24,160		22,952
7.175% due 05/16/2013		6,400		6,584
Russia Government International Bond
7.500% due 03/31/2030		57,288		65,695
8.250% due 03/31/2010		5,556		5,773
11.000% due 07/24/2018		2,700		3,861
12.750% due 06/24/2028		13,275		24,131
Salomon Brothers AG for OAO Siberian Oil Co.
10.750% due 01/15/2009		1,000		1,047
TNK-BP Finance S.A.
6.125% due 03/20/2012		3,900		3,724
6.625% due 03/20/2017		31,000		28,365
6.875% due 07/18/2011		4,000		3,960
7.500% due 07/18/2016		11,850		11,520
TransCapitalInvest Ltd. for OJSC AK Transneft
6.103% due 06/27/2012		8,700		8,760
UBS Luxembourg S.A. for OJSC Vimpel Communications
8.250% due 05/23/2016		2,000		2,005
8.375% due 10/22/2011		450		461
UBS Luxembourg S.A. for Sberbank
6.230% due 02/11/2015		1,000		994
VTB Capital S.A.
5.494% due 08/01/2008		5,000		4,956
6.609% due 10/31/2012		6,300		6,215
Total Russia (Cost $491,785)				492,676
SOUTH AFRICA 1.7%
South Africa Government International Bond
5.250% due 05/16/2013	EUR	12,160		17,600
5.875% due 05/30/2022	$	5,690		5,803
6.500% due 06/02/2014		14,500		15,370
7.375% due 04/25/2012		5,950		6,456
Total South Africa (Cost $41,294)				45,229
SWITZERLAND 0.3%
UBS AG
5.875% due 12/20/2017	$	8,880		8,959
Total Switzerland (Cost $8,869)				8,959
TRINIDAD AND TOBAGO 0.4%
Petroleum Co. of Trinidad & Tobago Ltd.
6.000% due 05/08/2022	$	10,100		10,085
Total Trinidad And Tobago (Cost $10,059)				10,085
TUNISIA 1.1%
Banque Centrale de Tunisie
4.500% due 06/22/2020	EUR	5,500		7,291
4.750% due 04/07/2011		450		652
7.375% due 04/25/2012	$	17,812		19,447
8.250% due 09/19/2027		1,680		2,093
Total Tunisia (Cost $28,000)				29,483
UKRAINE 2.4%
Ukraine Government International Bond
4.950% due 10/13/2015	EUR	1,700		2,178
6.385% due 06/26/2012	$	2,550		2,601
6.580% due 11/21/2016		100		98
6.875% due 03/04/2011		30,850		31,542
7.650% due 06/11/2013		13,985		14,821
8.693% due 08/05/2009		13,150		13,546
Total Ukraine (Cost $63,899)				64,786
UNITED KINGDOM 0.0%
Vedanta Resources PLC
6.625% due 02/22/2010	$	1,250		1,250
Total United Kingdom (Cost $1,251)				1,250
UNITED STATES 21.9%
Corporate Bonds & Notes 3.5%
Bear Stearns Cos., Inc.
6.950% due 08/10/2012	$	20,000		20,584
Citigroup Capital XXI
8.300% due 12/21/2057		13,540		14,179
Citigroup, Inc.
6.125% due 11/21/2017		13,000		13,378
Goldman Sachs Group, Inc.
6.750% due 10/01/2037		21,125		20,763
Morgan Stanley
5.950% due 12/28/2017		26,100		26,130
				95,034
U.S. Government Agencies 17.7%
Fannie Mae
5.500% due 12/01/2033 - 01/01/2038		311,863		311,546
6.000% due 02/01/2036 - 01/01/2038		163,515		166,086
Freddie Mac
5.500% due 09/01/2037 - 11/01/2037		6,000		5,989
				483,621
U.S. Treasury Obligations 0.7%
U.S. Treasury Bonds
4.750% due 08/15/2017		15,610		16,492
5.000% due 05/15/2037		2,700		2,943
				19,435
Total United States (Cost $591,452)				598,090
URUGUAY 1.1%
Uruguay Government International Bond
3.700% due 06/26/2037	UYU	54,200		2,322
5.000% due 09/14/2018 (b)		77,743		3,907
8.000% due 11/18/2022	$	16,397		18,447
9.250% due 05/17/2017		3,900		4,719
Total Uruguay (Cost $27,751)				29,395
VENEZUELA 4.4%
Petroleos de Venezuela S.A.
5.250% due 04/12/2017	$	23,360		16,644
5.375% due 04/12/2027		12,000		7,302
Venezuela Government International Bond
5.375% due 08/07/2010		24,750		23,327
6.000% due 12/09/2020		46,750		35,413
6.180% due 04/20/2011		4,190		3,807
7.000% due 12/01/2018		5,000		4,287
7.650% due 04/21/2025		5,315		4,558
9.375% due 01/13/2034		11,200		11,172
10.750% due 09/19/2013		12,280		13,170
	Shares
Venezuela Government International Bond Warrants
0.000% due 09/19/2013		3,500		133
Total Venezuela (Cost $133,289)				119,813
	Principal Amount (000s)
VIETNAM 0.2%
Socialist Republic of Vietnam
4.000% due 03/12/2028	$	5,000		4,211
6.875% due 01/15/2016		1,000		1,062
Total Vietnam (Cost $5,246)				5,273
SHORT-TERM INSTRUMENTS 11.4%
Commercial Paper 9.9%
DnB NORBank ASA
4.770% due 01/25/2008	$	42,700		42,570
Freddie Mac
3.000% due 01/02/2008		30,300		30,300
Royal Bank of Scotland Group PLC
4.920% due 01/22/2008		64,755		64,578
Skandinaviska Enskilda Banken AB
5.050% due 01/25/2008		62,400		62,199
Swedbank AB
4.920% due 01/25/2008		8,400		8,373
5.100% due 01/17/2008		63,900		63,764
				271,784
Repurchase Agreements 1.2%
Fixed Income Clearing Corp.
2.250% due 01/02/2008		14,000		14,000
(Dated 12/31/2007. Collateralized by Freddie Mac 4.875% due 02/09/2010 valued at $14,284. Repurchase proceeds are $14,002.)
3.900% due 01/02/2008		19,470		19,470
(Dated 12/31/2007. Collateralized by Federal Home Loan Bank 4.875% due 03/05/2008 valued at $19,862. Repurchase proceeds are $19,474.)
				33,470
U.S. Treasury Bills 0.3%
2.955% due 02/28/2008 - 03/13/2008 (a)(c)(e)		9,275		9,226
Total Short-Term Instruments (Cost $314,480)				314,480
Total Investments 105.8% (Cost $2,832,925)			$	2,894,228
Other Assets and Liabilities (Net) (5.8%)				(158,319	)
Net Assets (d) 100.0%			$	2,735,909

Notes to Schedule of Investments (amounts in thousands*, except number of contracts):

* A zero balance may reflect actual amounts rounding to less than one thousand.

(a) Coupon represents a weighted average rate.

(b) Principal amount of security is adjusted for inflation.

(c) Securities with an aggregate market value of $8,207 have been pledged as collateral for swap and swaption contracts on December 31, 2007.

(d) As of December 31, 2007, portfolio securities with an aggregate value of $16,372 and derivative instruments with an aggregate depreciation of ($4,779) were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(e) Securities with an aggregate market value of $771 and cash of $4,670 have been segregated with the custodian to cover margin requirements for the following open futures contracts on December 31, 2007:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Eurodollar December Futures	Long	12/2008	345	$	12
90-Day Eurodollar June Futures	Long	06/2008	237		628
90-Day Eurodollar June Futures	Long	06/2009	3,609		7,116
90-Day Eurodollar March Futures	Long	03/2008	406		(10	)
90-Day Eurodollar March Futures	Long	03/2009	252		302
90-Day Eurodollar March Futures	Long	03/2010	217		757
90-Day Eurodollar September Futures	Long	09/2008	1,060		4,045
90-Day Eurodollar September Futures	Long	09/2009	230		161
U.S. Treasury 10-Year Note March Futures	Long	03/2008	554		496
				$	13,507

(f) Swap agreements outstanding on December 31, 2007:

Credit Default Swaps on Securities

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
ABN AMRO Bank, N.V.	Russia Government International Bond 7.500% due 03/31/2030	Sell	2.990	%	08/24/2014	$	8,125	$	1,032
Barclays Bank PLC	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.360	%	08/20/2011		6,500		155
Barclays Bank PLC	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.370	%	08/20/2011		8,000		193
Barclays Bank PLC	Colombia Government International Bond 10.375% due 01/28/2033	Sell	0.780	%	07/20/2012		4,500		(60	)
Barclays Bank PLC	Colombia Government International Bond 10.375% due 01/28/2033	Sell	0.790	%	07/20/2012		2,000		(26	)
Barclays Bank PLC	Peru Government International Bond 8.750% due 11/21/2033	Sell	1.920	%	03/20/2013		5,000		204
Barclays Bank PLC	Philippines Government International Bond 10.625% due 03/16/2025	Sell	1.770	%	09/20/2012		10,510		173
Barclays Bank PLC	Philippines Government International Bond 10.625% due 03/16/2025	Sell	1.920	%	09/20/2012		5,500		123
Barclays Bank PLC	Philippines Government International Bond 10.625% due 03/16/2025	Sell	2.250	%	09/20/2012		6,500		241
Barclays Bank PLC	Philippines Government International Bond 10.625% due 03/16/2025	Sell	2.510	%	09/20/2017		1,250		49
Barclays Bank PLC	Philippines Government International Bond 10.625% due 03/16/2025	Sell	2.530	%	09/20/2017		1,250		51
Barclays Bank PLC	Vnesheconom 0.000% due 07/12/2009	Sell	0.650	%	11/20/2008		4,600		(25	)
Citibank N.A.	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.540	%	12/20/2011		4,550		32
Citibank N.A.	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.580	%	12/20/2011		6,200		52
Citibank N.A.	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	2.290	%	12/20/2016		1,300		27
Citibank N.A.	Multiple Reference Entities of Gazprom	Sell	1.350	%	08/20/2016		10,000		(312	)
Citibank N.A.	Philippines Government International Bond 10.625% due 03/16/2025	Sell	1.770	%	12/20/2017		24,100		(531	)
Citibank N.A.	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	1.480	%	04/20/2012		750		(16	)
Citibank N.A.	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	2.320	%	08/20/2017		5,000		(177	)
Credit Suisse USA, Inc.	Multiple Reference Entities of Gazprom	Sell	1.000	%	11/20/2008		20,000		(26	)
Credit Suisse USA, Inc.	Multiple Reference Entities of Gazprom	Sell	1.450	%	06/20/2013		5,500		(29	)
Credit Suisse USA, Inc.	Russia Government International Bond 7.500% due 03/31/2030	Sell	1.870	%	10/20/2012		6,900		(44	)
Deutsche Bank AG	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.540	%	12/20/2011		2,650		18
Deutsche Bank AG	Uruguay Government International Bond 7.875% due 01/15/2033	Sell	1.050	%	01/20/2012		12,000		(98	)
Goldman Sachs & Co.	RSHB Capital S.A. for OJSC Russian Agricultural Bank 7.175% due 05/16/2013	Sell	1.380	%	10/20/2011		5,000		(116	)
HSBC Bank USA	Multiple Reference Entities of Gazprom	Sell	0.970	%	11/20/2008		25,000		(34	)
HSBC Bank USA	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.690	%	04/20/2009		4,000		(23	)
JPMorgan Chase & Co.	CEMEX SAB de C.V. 9.625% due 10/01/2009	Sell	1.050	%	12/20/2016		6,600		(323	)
JPMorgan Chase & Co.	Colombia Government International Bond 10.375% due 01/28/2033	Sell	1.060	%	01/20/2012		5,000		17
JPMorgan Chase & Co.	Petroleos Mexicanos 9.500% due 09/15/2027	Sell	1.130	%	04/20/2016		26,250		386
JPMorgan Chase & Co.	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	1.450	%	02/20/2012		6,000		(106	)
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	0.690	%	05/20/2012		2,000		(16	)
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	2.020	%	07/20/2013		870		49
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.510	%	08/20/2016		14,000		299
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.080	%	05/20/2017		1,000		(16	)
Lehman Brothers, Inc.	Colombia Government International Bond 10.375% due 01/28/2033	Sell	2.330	%	08/20/2017		9,000		497
Lehman Brothers, Inc.	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.390	%	12/20/2011		16,500		24
Lehman Brothers, Inc.	Multiple Reference Entities of Gazprom	Sell	1.330	%	03/20/2016		2,500		(78	)
Lehman Brothers, Inc.	Multiple Reference Entities of Gazprom	Sell	1.280	%	05/20/2016		7,400		(279	)
Lehman Brothers, Inc.	Peru Government International Bond 8.750% due 11/21/2033	Sell	1.090	%	11/20/2011		9,800		73
Lehman Brothers, Inc.	Peru Government International Bond 8.750% due 11/21/2033	Sell	1.840	%	08/20/2012		3,500		137
Lehman Brothers, Inc.	Petroleos Mexicanos 9.500% due 09/15/2027	Sell	1.250	%	06/20/2013		5,600		118
Lehman Brothers, Inc.	Petroleos Mexicanos 9.500% due 09/15/2027	Sell	1.220	%	04/20/2016		7,500		157
Lehman Brothers, Inc.	Russia Government International Bond 7.500% due 03/31/2030	Sell	2.550	%	03/20/2014		3,700		350
Lehman Brothers, Inc.	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	1.400	%	05/20/2012		14,000		(383	)
Lehman Brothers, Inc.	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	2.410	%	12/20/2016		3,950		(133	)
Lehman Brothers, Inc.	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	2.060	%	05/20/2017		5,500		(324	)
Merrill Lynch & Co., Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.950	%	04/20/2016		16,500		823
Merrill Lynch & Co., Inc.	Russia Government International Bond 7.500% due 03/31/2030	Sell	2.310	%	01/21/2014		1,350		113
Merrill Lynch & Co., Inc.	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	1.500	%	01/20/2012		2,000		(26	)
Morgan Stanley	Colombia Government International Bond 10.375% due 01/28/2033	Sell	1.640	%	08/20/2011		6,200		165
Morgan Stanley	Multiple Reference Entities of Gazprom	Sell	1.320	%	12/20/2008		46,000		59
Morgan Stanley	Multiple Reference Entities of Gazprom	Sell	1.040	%	10/20/2011		3,500		(61	)
Morgan Stanley	Multiple Reference Entities of Gazprom	Sell	1.480	%	04/20/2016		9,000		(209	)
Morgan Stanley	Multiple Reference Entities of Gazprom	Sell	1.350	%	08/20/2016		18,500		(577	)
Morgan Stanley	Peru Government International Bond 8.750% due 11/21/2033	Sell	1.220	%	10/20/2011		6,350		85
Morgan Stanley	Peru Government International Bond 8.750% due 11/21/2033	Sell	1.960	%	10/20/2016		3,000		123
Morgan Stanley	Philippines Government International Bond 10.625% due 03/16/2025	Sell	1.770	%	09/20/2012		1,900		21
Morgan Stanley	Philippines Government International Bond 10.625% due 03/16/2025	Sell	1.500	%	12/20/2012		20,000		(36	)
Morgan Stanley	Philippines Government International Bond 10.625% due 03/16/2025	Sell	2.440	%	09/20/2017		6,200		169
Morgan Stanley	RSHB Capital S.A. for OJSC Russian Agricultural Bank 7.175% due 05/16/2013	Sell	2.000	%	10/20/2012		13,000		(164	)
Morgan Stanley	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	1.410	%	11/20/2010		15,000		(10	)
Morgan Stanley	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	1.770	%	04/20/2011		10,000		4
Morgan Stanley	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	1.600	%	01/20/2012		2,500		(22	)
Morgan Stanley	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	1.590	%	04/20/2012		5,000		(86	)
Morgan Stanley	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	1.790	%	11/20/2012		20,000		(353	)
Morgan Stanley	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	2.030	%	11/20/2012		5,000		(39	)
Morgan Stanley	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	2.580	%	11/20/2017		20,000		(514	)
Royal Bank of Scotland Group PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.525	%	12/20/2011		7,000		72
Royal Bank of Scotland Group PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.620	%	12/20/2011		8,000		79
Royal Bank of Scotland Group PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	2.360	%	09/20/2016		14,900		398
Royal Bank of Scotland Group PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	2.385	%	09/20/2016		3,100		88
Royal Bank of Scotland Group PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	2.480	%	09/20/2016		2,000		70
Royal Bank of Scotland Group PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	2.345	%	12/20/2016		16,575		411
Royal Bank of Scotland Group PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	2.430	%	12/20/2016		2,000		61
UBS Warburg LLC	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.030	%	07/20/2017		3,875		(65	)
UBS Warburg LLC	Colombia Government International Bond 10.375% due 01/28/2033	Sell	1.070	%	01/20/2012		3,000		12
UBS Warburg LLC	Mexico Government International Bond 7.500% due 04/08/2033	Sell	0.695	%	01/20/2017		2,700		(20	)
UBS Warburg LLC	Philippines Government International Bond 10.625% due 03/16/2025	Sell	1.790	%	09/20/2012		7,960		97
UBS Warburg LLC	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	1.480	%	03/20/2012		6,000		(114	)
UBS Warburg LLC	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	1.950	%	06/20/2017		2,000		(138	)
								$	1,698

Credit Default Swaps on Credit Indices

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Barclays Bank PLC	Dow Jones CDX N.A. EM8 Index	Sell	1.750	%	12/20/2012	$	50,510	$	57
Deutsche Bank AG	Dow Jones CDX N.A. EM8 Index	Sell	1.750	%	12/20/2012		7,750		137
UBS Warburg LLC	Dow Jones CDX N.A. EM8 Index	Buy	(1.750	%)	12/20/2012		25,000		(116	)
								$	78

⁽¹⁾ If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will pay to the buyer of the protection an amount up to the notional value of the swap and in certain instances, take delivery of the security. As a buyer of protection, the Fund will generally receive from the seller of protection an amount up to the notional amount of the swap if a credit event occurs.

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Barclays Bank PLC	BRL-CDI-Compounded	Pay	10.680	%	01/02/2012	BRL	85,400	$	(2,455	)
Barclays Bank PLC	BRL-CDI-Compounded	Pay	12.540	%	01/02/2012		23,000		(105	)
Goldman Sachs & Co.	BRL-CDI-Compounded	Pay	10.150	%	01/02/2012		60,700		(1,300	)
Merrill Lynch & Co., Inc.	BRL-CDI-Compounded	Pay	13.840	%	01/04/2010		23,700		400
Merrill Lynch & Co., Inc.	BRL-CDI-Compounded	Pay	12.540	%	01/02/2012		123,000		(551	)
Morgan Stanley	BRL-CDI-Compounded	Pay	12.780	%	01/04/2010		93,700		364
Morgan Stanley	BRL-CDI-Compounded	Pay	10.115	%	01/02/2012		37,100		(564	)
UBS Warburg LLC	BRL-CDI-Compounded	Pay	10.575	%	01/02/2012		40,000		(567	)
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2010	GBP	5,900		78
Barclays Bank PLC	Korea Securities Dealers Association National Housing Index	Pay	4.895	%	02/07/2012	KRW	1,873,200		(40	)
Barclays Bank PLC	Korea Securities Dealers Association National Housing Index	Pay	4.880	%	02/08/2012		1,866,667		(41	)
Barclays Bank PLC	28-Day Mexico Interbank TIIE Banxico	Pay	8.780	%	08/03/2016	MXN	11,400		17
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.770	%	08/03/2016		11,400		17
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.720	%	09/05/2016		178,600		(220	)
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.900	%	09/22/2016		421,500		753
Goldman Sachs & Co.	28-Day Mexico Interbank TIIE Banxico	Pay	8.865	%	09/12/2016		20,000		39
Morgan Stanley	28-Day Mexico Interbank TIIE Banxico	Pay	9.920	%	08/12/2015		69,000		530
Goldman Sachs & Co.	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010	$	28,300		85
JPMorgan Chase & Co.	3-Month USD-LIBOR	Pay	4.000	%	06/18/2013		3,700		1
Merrill Lynch & Co., Inc.	3-Month USD-LIBOR	Receive	5.000	%	06/18/2018		10,300		67
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010		318,100		852
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.000	%	06/18/2013		79,900		860
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	06/18/2018		45,500		(71	)
								$	(1,851	)

(g) Short sales outstanding on December 31, 2007:

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Value(2)
U.S. Treasury Notes	4.250	%	11/15/2014	$	8,000	$	8,212	$	8,315

⁽²⁾ Market value includes $60 of interest payable on short sales.

(h) Foreign currency contracts outstanding on December 31, 2007:

Type	Currency	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	BRL	62,694	03/2008	$	3,925	$	0		$	3,925
Sell		217,386	03/2008		0		(9,418	)		(9,418	)
Buy		73,619	07/2008		3,213		0			3,213
Sell		48,726	07/2008		115		(582	)		(467	)
Buy	CLP	1,178,616	03/2008		128		0			128
Buy		1,239,857	07/2008		0		(11	)		(11	)
Buy	CNY	120,118	01/2008		220		0			220
Sell		120,118	01/2008		0		(74	)		(74	)
Buy		2,018	07/2008		4		0			4
Buy		115,994	10/2008		17		(3	)		14
Sell		22,170	10/2008		0		(32	)		(32	)
Buy	COP	16,806,752	03/2008		624		0			624
Sell		474,390	03/2008		2		0			2
Buy	CZK	10,334	03/2008		65		0			65
Buy	EUR	230	01/2008		0		(2	)		(2	)
Sell		31,062	01/2008		72		0			72
Buy	HKD	389	01/2008		0		0			0
Buy	IDR	110,619,000	01/2008		39		0			39
Buy		19,563,377	05/2008		33		0			33
Buy	ILS	1,142	11/2008		5		0			5
Buy	INR	163,869	05/2008		211		0			211
Buy		9,833	08/2008		1		0			1
Buy	JPY	637,214	02/2008		0		(13	)		(13	)
Buy	KRW	3,312,256	01/2008		0		(93	)		(93	)
Buy		8,435,673	05/2008		25		(11	)		14
Buy		3,474,216	08/2008		0		(30	)		(30	)
Buy	MXN	13,361	03/2008		31		0			31
Buy		8,535	07/2008		0		(10	)		(10	)
Buy	MYR	32,656	05/2008		295		0			295
Buy		7,618	08/2008		71		0			71
Buy	PHP	535,983	05/2008		170		0			170
Buy	PLN	30,702	03/2008		1,839		0			1,839
Sell		18,429	03/2008		0		(582	)		(582	)
Buy		8,343	07/2008		190		0			190
Buy	RUB	942,383	07/2008		931		0			931
Sell		168,109	07/2008		0		(239	)		(239	)
Buy		12,875	11/2008		3		0			3
Buy	SGD	4,390	02/2008		111		0			111
Buy		6,394	05/2008		169		0			169
Buy		3,790	08/2008		31		0			31
Buy	SKK	13,221	03/2008		41		0			41
Buy	ZAR	13,398	03/2008		0		(66	)		(66	)
Sell		53,260	03/2008		0		(215	)		(215	)
Buy		143,929	07/2008		586		(388	)		198
				$	13,167	$	(11,769	)	$	1,398

See accompanying notes

Schedule of Investments

European StocksPLUS^® TR Strategy Fund

December 31, 2007 (Unaudited)

	Principal Amount (000s)			Value (000s)
CORPORATE BONDS & NOTES 11.8%
Banking & Finance 7.6%
American International Group, Inc.
5.850% due 01/16/2018	$	100		$	101
Barclays Bank PLC
6.050% due 12/04/2017		300			303
Citigroup, Inc.
6.125% due 11/21/2017		100			103
Deutsche Bank AG
6.000% due 09/01/2017		100			104
Goldman Sachs Group, Inc.
6.750% due 10/01/2037		100			98
Merrill Lynch & Co., Inc.
4.960% due 08/14/2009		100			98
					807
Industrials 0.9%
Kraft Foods, Inc.
6.125% due 02/01/2018		100			101
Utilities 3.3%
BellSouth Corp.
4.969% due 08/15/2008		100			100
Embarq Corp.
6.738% due 06/01/2013		100			104
Progress Energy, Inc.
7.100% due 03/01/2011		100			106
PSEG Energy Holdings LLC
8.625% due 02/15/2008		41			41
					351
Total Corporate Bonds & Notes (Cost $1,237)					1,259
MUNICIPAL BONDS & NOTES 1.0%
New York City, New York Municipal Water Finance Authority Revenue Bonds, Series 2007
5.000% due 06/15/2038		100			104
Total Municipal Bonds & Notes (Cost $104)					104
U.S. GOVERNMENT AGENCIES 103.2%
Fannie Mae
4.000% due 08/01/2013		39			39
4.539% due 08/01/2035		52			53
4.633% due 10/01/2035		65			65
4.689% due 10/01/2035		58			58
4.704% due 12/01/2034		46			46
4.721% due 10/01/2035		62			62
4.850% due 02/01/2034		35			35
4.911% due 12/01/2035		65			64
5.000% due 03/01/2020 - 02/25/2025		934			936
5.000% due 10/01/2020 (d)		414			414
5.389% due 07/01/2032		17			18
5.432% due 05/01/2036		139			140
5.500% due 07/01/2022 - 12/01/2037		2,475			2,474
5.500% due 08/01/2022 - 12/01/2037 (d)		3,224			3,234
5.765% due 04/25/2032		14			14
5.875% due 11/25/2023		74			75
6.000% due 01/01/2037 - 11/01/2037		494			502
6.063% due 06/01/2043		21			21
6.500% due 03/01/2037 - 09/01/2037		950			977
Freddie Mac
3.000% due 05/15/2022		79			79
3.500% due 05/15/2022		29			29
4.000% due 06/15/2022		25			25
4.500% due 11/15/2013 - 10/15/2019		113			112
5.000% due 12/15/2015 - 12/15/2023		460			461
5.228% due 10/15/2020		27			27
5.500% due 08/15/2030 - 01/01/2038		1,001			999
6.263% due 07/25/2044		27			27
Total U.S. Government Agencies (Cost $10,852)					10,986
U.S. TREASURY OBLIGATIONS 2.1%
Treasury Inflation Protected Securities (b)
2.375% due 04/15/2011		105			110
U.S. Treasury Bonds
5.000% due 05/15/2037		100			109
Total U.S. Treasury Obligations (Cost $212)					219
MORTGAGE-BACKED SECURITIES 7.3%
Bear Stearns Adjustable Rate Mortgage Trust
4.125% due 03/25/2035		62			61
Citigroup Mortgage Loan Trust, Inc.
4.900% due 10/25/2035		78			77
Countrywide Alternative Loan Trust
5.029% due 09/20/2046		27			28
Harborview Mortgage Loan Trust
5.185% due 05/19/2035		60			57
Lehman Brothers Floating Rate Commercial Mortgage Trust
5.108% due 09/15/2021		17			18
Structured Asset Mortgage Investments, Inc.
4.935% due 08/25/2036		85			85
Washington Mutual, Inc.
5.125% due 11/25/2045		48			45
5.405% due 12/25/2027		34			33
5.768% due 06/25/2046		62			59
5.883% due 07/25/2046		66			63
5.883% due 08/25/2046		75			72
6.288% due 09/25/2046		78			76
Wells Fargo Mortgage-Backed Securities Trust
4.323% due 07/25/2035		100			99
Total Mortgage-Backed Securities (Cost $787)					773
ASSET-BACKED SECURITIES 4.9%
Carrington Mortgage Loan Trust
4.905% due 05/25/2036		20			20
Citigroup Mortgage Loan Trust, Inc.
4.935% due 08/25/2036		22			22
Countrywide Asset-Backed Certificates
4.915% due 12/25/2046		39			39
4.975% due 10/25/2046		48			47
GSAMP Trust
4.935% due 02/25/2036		11			11
JPMorgan Mortgage Acquisition Corp.
4.915% due 08/25/2036		50			49
Lehman XS Trust
4.945% due 07/25/2046		29			29
4.945% due 08/25/2046		29			29
Long Beach Mortgage Loan Trust
5.145% due 10/25/2034		5			4
Merrill Lynch Mortgage Investors, Inc.
4.925% due 04/25/2037		28			28
Morgan Stanley Home Equity Loans
4.915% due 12/25/2036		68			67
Newcastle Mortgage Securities Trust
4.935% due 03/25/2036		12			12
Residential Asset Securities Corp.
4.935% due 02/25/2037		78			76
Soundview Home Equity Loan Trust
4.915% due 10/25/2036		39			38
Structured Asset Securities Corp.
4.900% due 04/25/2035		50			48
Total Asset-Backed Securities (Cost $527)					519
SOVEREIGN ISSUES 0.2%
Banque Centrale de Tunisie
7.375% due 04/25/2012		12			13
Panama Government International Bond
9.625% due 02/08/2011		8			9
Total Sovereign Issues (Cost $21)					22
		Shares
PREFERRED STOCKS 0.2%
Fresenius Medical Care Capital Trust II
7.875% due 02/01/2008		17			17
Total Preferred Stocks (Cost $17)					17
EXCHANGE-TRADED FUNDS 0.7%
DJ Euro STOXX 50 Fund		1,108			69
Total Exchange-Traded Funds (Cost $50)					69
		Principal Amount (000s	)
SHORT-TERM INSTRUMENTS 1.4%
Repurchase Agreements 0.8%
Lehman Brothers, Inc.
1.000% due 01/02/2008	$	100			100
(Dated 12/31/2007. Collateralized by U.S. Treasury Inflation Protected Securities 3.625% due 04/15/2028 valued at $106. Repurchase proceeds are $100.)
U.S. Treasury Bills 0.6%
2.968% due 03/13/2008 (a)(e)		65			64
Total Short-Term Instruments (Cost $166)					164
Purchased Options (g) 0.5% (Cost $18)					53
Total Investments 133.3% (Cost $13,991)				$	14,185
Written Options (h) (0.5%) (Premiums $27)					(54	)
Other Assets and Liabilities (Net) (32.8%)					(3,488	)
Net Assets (c) 100.0%				$	10,643

Notes to Schedule of Investments (amounts in thousands*, except number of contracts):

* A zero balance may reflect actual amounts rounding to less than one thousand.

(a) Coupon represents a weighted average rate.

(b) Principal amount of security is adjusted for inflation.

(c) As of December 31, 2007, portfolio securities with an aggregate value of $59,471 and derivative instruments with an aggregate depreciation of ($39) were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(d) The average amount of borrowings outstanding during the period ended December 31, 2007 was $1,683 at a weighted average interest rate of 4.860%. On December 31, 2007, securities valued at $3,566 were pledged as collateral for reverse repurchase agreements.

(e) Securities with an aggregate market value of $64 and cash of $100 have been segregated with the custodian to cover margin requirements for the following open futures contracts on December 31, 2007:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Euribor December Futures	Long	12/2008	1	$	0
90-Day Euribor March Futures	Long	03/2008	4		(2	)
90-Day Euribor September Futures	Long	09/2008	3		(1	)
90-Day Eurodollar December Futures	Long	12/2008	18		52
90-Day Eurodollar June Futures	Long	06/2008	4		10
90-Day Eurodollar March Futures	Long	03/2009	12		45
90-Day Eurodollar September Futures	Long	09/2008	1		3
Euro-Bobl March Futures	Short	03/2008	1		2
Euro-Schatz March Futures	Short	03/2008	3		3
U.S. Treasury 2-Year Note March Futures	Short	03/2008	6		(4	)
U.S. Treasury 5-Year Note March Futures	Short	03/2008	13		(15	)
U.S. Treasury 10-Year Note March Futures	Long	03/2008	7		3
U.S. Treasury 30-Year Bond March Futures	Long	03/2008	2		(1	)
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2008	6		12
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2008	5		4
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2008	1		0
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2009	1		2
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2008	4		4
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2009	2		4
United Kingdom Government 10-Year Bond March Futures	Short	03/2008	1		0
				$	121

(f) Swap agreements outstanding on December 31, 2007:

Credit Default Swaps on Securities

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation
Goldman Sachs & Co.	American International Group, Inc. 5.600% due 10/18/2016	Sell	0.055	%	03/20/2008	$	100	$	0
Merrill Lynch & Co., Inc.	Progress Energy, Inc. 7.100% due 03/01/2011	Buy	(0.100	%)	03/20/2011		100		0
								$	0
Credit Default Swaps on Credit Indices
Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation
JPMorgan Chase & Co.	Dow Jones CDX N.A. IG9 Index	Sell	0.600	%	12/20/2012	$	100	$	0
Morgan Stanley	Dow Jones CDX N.A. IG8 Index	Buy	(0.170	%)	06/20/2012		300		0
								$	0

⁽¹⁾ If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will pay to the buyer of the protection an amount up to the notional value of the swap and in certain instances, take delivery of the security. As a buyer of protection, the Fund will generally receive from the seller of protection an amount up to the notional amount of the swap if a credit event occurs.

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Citibank N.A.	3-Month Australian Bank Bill	Pay	7.000	%	09/15/2009	AUD	600	$	(1	)
Deutsche Bank AG	6-Month Australian Bank Bill	Pay	7.000	%	06/15/2010		400		(5	)
Lehman Brothers, Inc.	3-Month Australian Bank Bill	Pay	7.000	%	09/15/2009		700		(3	)
Morgan Stanley	6-Month Australian Bank Bill	Pay	7.000	%	06/15/2010		200		(2	)
Barclays Bank PLC	BRL-CDI-Compounded	Pay	12.540	%	01/02/2012	BRL	300		(1	)
Goldman Sachs & Co.	BRL-CDI-Compounded	Pay	10.150	%	01/02/2012		500		(22	)
Merrill Lynch & Co., Inc.	BRL-CDI-Compounded	Pay	12.670	%	01/04/2010		200		1
Merrill Lynch & Co., Inc.	BRL-CDI-Compounded	Pay	12.540	%	01/02/2012		100		0
Morgan Stanley	BRL-CDI-Compounded	Pay	10.115	%	01/02/2012		600		(9	)
UBS Warburg LLC	BRL-CDI-Compounded	Pay	10.575	%	01/02/2012		800		(8	)
Citibank N.A.	6-Month EUR-LIBOR	Pay	4.800	%	07/11/2012	EUR	300		6
Citibank N.A.	6-Month EUR-LIBOR	Receive	5.000	%	07/11/2037		100		(4	)
Deutsche Bank AG	6-Month EUR-LIBOR	Pay	4.000	%	12/15/2011		200		(1	)
JPMorgan Chase & Co.	6-Month EUR-LIBOR	Pay	4.500	%	03/19/2010		180		0
Lehman Brothers, Inc.	6-Month EUR-LIBOR	Pay	4.500	%	03/19/2010		500		(1	)
Morgan Stanley	6-Month EUR-LIBOR	Pay	4.500	%	03/19/2010		120		0
Deutsche Bank AG	6-Month GBP-LIBOR	Pay	6.000	%	03/20/2009	GBP	1,000		19
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Pay	6.000	%	06/19/2009		500		11
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	7.910	%	05/14/2009	MXN	1,000		0
Merrill Lynch & Co., Inc.	28-Day Mexico Interbank TIIE Banxico	Pay	8.170	%	11/04/2016		100		0
Morgan Stanley	28-Day Mexico Interbank TIIE Banxico	Pay	7.910	%	05/14/2009		1,000		0
Bank of America	3-Month USD-LIBOR	Pay	5.000	%	06/18/2010	$	100		1
Barclays Bank PLC	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010		800		1
Barclays Bank PLC	3-Month USD-LIBOR	Pay	5.000	%	06/18/2010		300		1
Citibank N.A.	3-Month USD-LIBOR	Receive	5.000	%	03/18/2014		100		(3	)
Deutsche Bank AG	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010		100		0
Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	06/18/2015		800		0
JPMorgan Chase & Co.	3-Month USD-LIBOR	Pay	4.000	%	06/18/2013		300		0
JPMorgan Chase & Co.	3-Month USD-LIBOR	Receive	5.000	%	03/18/2014		100		(2	)
Merrill Lynch & Co., Inc.	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010		300		0
Merrill Lynch & Co., Inc.	3-Month USD-LIBOR	Pay	4.000	%	06/18/2013		100		0
Merrill Lynch & Co., Inc.	3-Month USD-LIBOR	Receive	5.000	%	06/18/2018		200		(3	)
Morgan Stanley	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010		200		1
Morgan Stanley	3-Month USD-LIBOR	Receive	5.000	%	06/18/2018		200		(4	)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010		400		0
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	06/20/2012		700		17
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	06/18/2015		100		0
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	06/18/2018		700		(2	)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	06/18/2038		300		8
UBS Warburg LLC	3-Month USD-LIBOR	Pay	5.000	%	06/18/2009		2,200		36
								$	31

Total Return Swaps

Counterparty	Type	Receive Total Return	Pay	Expiration Date	# of Contracts	Unrealized Appreciation/ (Depreciation)
Goldman Sachs & Co.	Long	Fresco Dow Jones Euro STOXX 50	1-Month USD-LIBOR less 0.250%	11/15/2008	195,547	$	392
Goldman Sachs & Co.	Short	Fresco Dow Jones Euro STOXX 50	1-Month USD-LIBOR less 0.250%	11/15/2008	32,134		(65	)
						$	327

(g) Purchased options outstanding on December 31, 2007:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Cost		Value
Call - CBOT U.S. Treasury 2-Year Note March Futures	$	116.000	02/22/2008	12	$	0	$	0
Call - CBOT U.S. Treasury 5-Year Note March Futures		125.000	02/22/2008	4		0		0
Call - CME 90-Day Eurodollar March Futures		95.250	03/17/2008	2		2		3
Put - CBOT U.S. Treasury 10-Year Note February Futures		103.000	01/25/2008	6		0		0
Put - CBOT U.S. Treasury 10-Year Note February Futures		104.000	01/25/2008	4		0		0
Put - CBOT U.S. Treasury 10-Year Note February Futures		105.000	01/25/2008	3		0		0
Put - CBOT U.S. Treasury 30-Year Bond March Futures		90.000	02/22/2008	6		0		0
					$	2	$	3

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Cost		Value
Call - OTC 2-Year Interest Rate Swap	Deutsche Bank AG	6-Month EUR-LIBOR	Pay	4.070	%	09/14/2009	EUR	600	$	3	$	3
Call - OTC 5-Year Interest Rate Swap	JPMorgan Chase & Co.	3-Month USD-LIBOR	Pay	4.363	%	06/16/2008	$	100		1		2
Call - OTC 2-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	4.750	%	09/26/2008		500		2		10
Call - OTC 2-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	5.300	%	08/03/2009		900		8		22
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	12/15/2008		300		1		6
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	12/15/2008		300		1		7
									$	16	$	50

Options on Securities

Description	Strike Price		Expiration Date	Notional Amount		Cost		Value
Put - OTC Fannie Mae 5.500% due 02/01/2038	$	86.375	02/05/2008	$	2,600	$	0	$	0
Put - OTC Fannie Mae 5.500% due 03/01/2038		87.000	03/05/2008		1,400		0		0
						$	0	$	0

(h) Written options outstanding on December 31, 2007:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Value
Call - CBOT U.S. Treasury 10-Year Note March Futures	$	111.000	02/22/2008	3	$	1	$	9
Call - CBOT U.S. Treasury 10-Year Note March Futures		117.000	02/22/2008	2		2		3
Call - CME 90-Day Eurodollar March Futures		95.750	03/17/2008	4		3		2
Call - CME 90-Day Eurodollar March Futures		96.000	03/17/2008	2		1		0
Put - CBOT U.S. Treasury 10-Year Note March Futures		106.000	02/22/2008	3		1		0
					$	8	$	14

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Value
Call - OTC 7-Year Interest Rate Swap	Deutsche Bank AG	6-Month EUR- LIBOR	Receive	4.250	%	09/14/2009	EUR	200	$	3	$	2
Put - OTC 5-Year Interest Rate Swap	Citibank N.A.	3-Month USD-LIBOR	Pay	5.400	%	03/16/2009	$	200		1		1
Put - OTC 5-Year Interest Rate Swap	JPMorgan Chase & Co.	3-Month USD-LIBOR	Pay	5.400	%	03/16/2009		200		3		1
Call - OTC 5-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	4.950	%	09/26/2008		200		2		7
Call - OTC 5-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	5.500	%	08/03/2009		400		8		19
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	12/15/2008		100		1		4
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.200	%	12/15/2008		100		1		6
									$	19	$	40

(i) Short sales outstanding on December 31, 2007:

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Value(2)
Fannie Mae	5.500	%	01/01/2038	$	1,000	$	1,003	$	999
U.S. Treasury Bonds	3.625	%	10/31/2009		3,000		3,024		3,030
U.S. Treasury Bonds	4.000	%	09/30/2009		200		203		203
U.S. Treasury Bonds	4.250	%	11/15/2017		400		405		407
U.S. Treasury Bonds	4.750	%	02/15/2037		500		516		523
U.S. Treasury Notes	4.250	%	11/15/2013		300		306		311
U.S. Treasury Notes	4.750	%	05/15/2014		200		211		214
						$	5,668	$	5,687

⁽²⁾ Market value includes $43 of interest payable on short sales.

(j) Foreign currency contracts outstanding on December 31, 2007:

Type	Currency	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	AUD	41	01/2008	$	0	$	0		$	0
Buy	BRL	45	01/2008		1		0			1
Sell		45	01/2008		0		(1	)		(1	)
Buy		310	03/2008		12		(1	)		12
Sell		57	03/2008		0		(3	)		(3	)
Buy		727	07/2008		25		0			25
Sell		52	07/2008		0		0			(1	)
Buy	CHF	5	03/2008		0		0			0
Buy	CNY	1,363	01/2008		3		0			3
Sell		1,363	01/2008		0		(2	)		(2	)
Buy		500	07/2008		2		0			2
Sell		500	07/2008		0		(1	)		(1	)
Buy		449	10/2008		0		0			0
Sell		449	10/2008		0		(1	)		(1	)
Buy	EUR	2,404	01/2008		46		0			46
Sell		9,476	01/2008		22		0			22
Sell	GBP	139	01/2008		4		0			4
Buy	KRW	33,778	01/2008		0		(1	)		(1	)
Buy		26,014	08/2008		0		0			0
Buy	MXN	727	03/2008		1		0			1
Sell		22	03/2008		0		0			0
Buy		325	07/2008		0		0			0
Buy	MYR	73	05/2008		0		0			0
Buy		21	08/2008		0		0			0
Sell	NZD	16	01/2008		0		0			0
Sell		16	02/2008		0		0			0
Buy	PLN	69	07/2008		3		0			3
Buy	RUB	862	01/2008		1		0			1
Sell		862	01/2008		0		0			0
Buy		1,415	07/2008		1		0			1
Buy		862	11/2008		0		0			0
Buy	SGD	5	02/2008		0		0			0
Buy		41	05/2008		1		0			1
				$	122	$	(10	)	$	112

See accompanying notes

Schedule of Investments

Extended Duration Fund

December 31, 2007 (Unaudited)

	Principal Amount (000s)		Value (000s)
CORPORATE BONDS & NOTES 0.5%
ABX Financing Co.
6.350% due 10/15/2036	$	10	$	10
American Express Centurion Bank
5.250% due 05/07/2008		30		30
American Express Credit Corp.
5.285% due 03/02/2009		10		10
Citigroup, Inc.
4.898% due 12/26/2008		10		10
General Electric Capital Corp.
4.939% due 08/15/2011		10		10
5.280% due 10/21/2010		10		10
Georgia-Pacific Corp.
7.750% due 11/15/2029		30		28
Goldman Sachs Group, Inc.
5.045% due 02/06/2012		20		18
6.750% due 10/01/2037		200		197
International Business Machines Corp.
5.700% due 09/14/2017		100		104
ONEOK Partners LP
6.850% due 10/15/2037		200		208
Williams Cos., Inc. Credit Linked Certificate Trust
6.750% due 04/15/2009		30		30
Total Corporate Bonds & Notes (Cost $658)				665
MUNICIPAL BONDS & NOTES 0.2%
Ohio State Buckeye Tobacco Settlement Financing Authority Revenue Bonds, Series 2007
5.875% due 06/01/2047		100		96
Puerto Rico Sales Tax Financing Corp. Revenue Bonds, (AMBAC Insured), Series 2007
0.000% due 08/01/2054		50		4
West Virginia State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2007
7.467% due 06/01/2047		100		96
Total Municipal Bonds & Notes (Cost $197)				196
U.S. GOVERNMENT AGENCIES 15.2%
Fannie Mae
0.000% due 01/15/2027 - 11/15/2030		13,432		5,097
4.000% due 02/25/2019		100		94
5.000% due 02/15/2023 - 08/25/2033		61		56
5.500% due 04/25/2033 - 12/01/2037		9,439		9,399
6.000% due 12/25/2034		120		119
6.210% due 08/06/2038		1,000		1,204
Federal Farm Credit Bank
5.750% due 12/07/2028		80		88
Federal Home Loan Bank
4.000% due 05/15/2009		10		10
Freddie Mac
0.000% due 01/15/2031 - 07/15/2032		5,700		1,738
5.000% due 07/15/2033 - 10/15/2033		105		97
5.428% due 01/15/2033		4		3
5.500% due 02/15/2024		37		36
6.000% due 06/15/2035		194		195
8.250% due 06/01/2016		30		38
Ginnie Mae
5.500% due 10/20/2037		100		93
Small Business Administration
5.290% due 12/01/2027		600		607
Total U.S. Government Agencies (Cost $18,240)				18,874
U.S. TREASURY OBLIGATIONS 82.5%
U.S. Treasury Bonds
5.000% due 05/15/2037		100		109
8.875% due 08/15/2017		200		275
U.S. Treasury Strips
0.000% due 02/15/2019		6,100		3,735
0.000% due 08/15/2019		3,570		2,128
0.000% due 02/15/2026		18,200		7,898
0.000% due 08/15/2026		800		338
0.000% due 11/15/2026		10,600		4,421
0.000% due 02/15/2027		1,000		414
0.000% due 08/15/2027		1,000		405
0.000% due 11/15/2027		48,400		19,424
0.000% due 08/15/2028		9,500		3,704
0.000% due 11/15/2028		20,500		7,918
0.000% due 08/15/2029		50,000		18,663
0.000% due 05/15/2030		14,400		5,230
0.000% due 02/15/2036		48,600		13,942
0.000% due 05/15/2037		50,600		13,732
Total U.S. Treasury Obligations (Cost $99,560)				102,336
MORTGAGE-BACKED SECURITIES 0.6%
Bear Stearns Adjustable Rate Mortgage Trust
4.125% due 03/25/2035		49		49
CS First Boston Mortgage Securities Corp.
4.918% due 07/25/2033		7		7
Deutsche ALT-A Securities, Inc. Alternate
Loan Trust
4.935% due 01/25/2047		7		7
JPMorgan Chase Commercial Mortgage
Securities Corp.
5.747% due 02/12/2049		20		21
Thornburg Mortgage Securities Trust
4.883% due 03/25/2037		93		89
Washington Mutual, Inc.
5.518% due 01/25/2047		8		8
5.883% due 10/25/2046		24		24
Wells Fargo Mortgage-Backed Securities Trust
4.515% due 11/25/2033		500		494
Total Mortgage-Backed Securities (Cost $699)				699
ASSET-BACKED SECURITIES 0.3%
Argent Securities, Inc.
4.915% due 10/25/2036		16		16
Asset-Backed Securities Corp. Home Equity
4.915% due 11/25/2036		13		12
4.915% due 12/25/2036		6		6
Bear Stearns Asset-Backed Securities Trust
5.819% due 07/25/2036		20		19
Chase Credit Card Master Trust
5.138% due 10/15/2010		20		20
HSI Asset Securitization Corp. Trust
4.915% due 12/25/2036		292		281
MBNA Credit Card Master Note Trust
5.148% due 08/16/2010		20		20
Total Asset-Backed Securities (Cost $383)				374
SHORT-TERM INSTRUMENTS 4.4%
Certificates of Deposit 0.0%
Abbey National Treasury Services PLC
5.175% due 07/02/2008		10		10
Barclays Bank PLC
4.619% due 03/17/2008		20		20
Fortis Bank NY
5.148% due 09/30/2008		10		10
Nordea Bank Finland PLC
5.230% due 04/09/2009		10		10
				50
Commercial Paper 1.0%
Societe Generale NY
5.270% due 03/26/2008		20		20
UBS Finance Delaware LLC
4.000% due 01/02/2008		1,100		1,100
				1,120
Repurchase Agreements 3.0%
State Street Bank and Trust Co.
3.900% due 01/02/2008		3,738		3,738
(Dated 12/31/2007. Collateralized by Federal Home Loan Bank     3.625% due 01/15/2008 valued at $3,817. Repurchase proceeds are $3,739.)
U.S. Treasury Bills 0.4%
3.129% due 02/28/2008 - 03/13/2008 (a)(b)		510		507
Total Short-Term Instruments (Cost $5,415)				5,415
Total Investments 103.7% (Cost $125,152)			$	128,559
Other Assets and Liabilities (Net) (3.7%)				(4,532	)
Net Assets 100.0%			$	124,027

Notes to Schedule of Investments (amounts in thousands*, except number of contracts):

* A zero balance may reflect actual amounts rounding to less than one thousand.

(a) Coupon represents a weighted average rate.

(b) Securities with an aggregate market value of $507 and cash of $65 have been segregated with the custodian to cover margin requirements for the following open futures contracts on December 31, 2007:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Eurodollar December Futures	Long	12/2008	123	$	371
90-Day Eurodollar June Futures	Long	06/2008	4		6
90-Day Eurodollar March Futures	Long	03/2008	9		22
90-Day Eurodollar March Futures	Long	03/2009	30		78
90-Day Eurodollar September Futures	Long	09/2009	75		87
U.S. Treasury 5-Year Note March Futures	Short	03/2008	10		(12	)
U.S. Treasury 30-Year Bond March Futures	Long	03/2008	191		(109	)
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2008	12		6
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2008	24		7
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2008	23		9
				$	465

(c) Swap agreements outstanding on December 31, 2007:

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Barclays Bank PLC	3-Month USD-LIBOR	Pay	0.000	%	12/19/2027	$	5,100	$	69
Barclays Bank PLC	3-Month USD-LIBOR	Pay	0.000	%	12/19/2037		5,800		63
Citibank N.A.	3-Month USD-LIBOR	Receive	5.000	%	06/18/2028		100		(3	)
Goldman Sachs & Co.	3-Month USD-LIBOR	Pay	5.000	%	06/20/2037		300		18
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	06/18/2038		5,100		133
								$	280

(d) Short sales outstanding on December 31, 2007:

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Value(1)
U.S. Treasury Bonds	4.500	%	02/15/2036	$	180	$	183	$	185
U.S. Treasury Bonds	4.750	%	02/15/2037		200		211		209
						$	394	$	394

⁽¹⁾ Market value includes $3,655 of interest payable on short sales.

(e) Foreign currency contracts outstanding on December 31, 2007:

Type	Currency	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	AUD	395	01/2008	$	2	$	(1	)	$	1
Sell		198	01/2008		0		(4	)		(4	)
Buy		198	02/2008		4		0			4
Buy	BRL	418	03/2008		18		0			18
Buy		374	07/2008		4		0			4
Buy	CNY	121	07/2008		0		0			0
Buy	EUR	28	01/2008		0		0			0
Sell	GBP	410	01/2008		10		0			10
Buy	JPY	38,160	02/2008		2		0			2
Buy	KRW	342,779	05/2008		0		(4	)		(4	)
Buy		73,504	08/2008		0		(2	)		(2	)
Buy	MXN	1,932	03/2008		4		0			4
Buy		2,201	07/2008		2		(1	)		1
Buy	PLN	214	01/2008		7		0			7
Buy		970	07/2008		30		0			30
Buy	RUB	5,381	01/2008		7		0			7
Sell		5,381	01/2008		0		0			0
Buy		2,012	07/2008		2		0			2
Buy		8,373	11/2008		1		0			1
Buy	SGD	610	05/2008		5		0			5
				$	98	$	(12	)	$	86

See accompanying notes

Schedule of Investments

Far East (ex-Japan) StocksPLUS^® TR Strategy Fund

December 31, 2007 (Unaudited)

	Principal Amount (000s)		Value (000s)
CORPORATE BONDS & NOTES 23.4%
Banking & Finance 18.9%
American Express Bank FSB
6.000% due 09/13/2017	$	200	$	200
American Express Centurion Bank
6.000% due 09/13/2017		200		200
American International Group, Inc.
5.850% due 01/16/2018		200		202
Barclays Bank PLC
5.450% due 09/12/2012		200		205
6.050% due 12/04/2017		700		707
Capital One Financial Corp.
6.750% due 09/15/2017		100		96
Citigroup, Inc.
6.125% due 11/21/2017		500		515
Deutsche Bank AG
6.000% due 09/01/2017		200		208
Ford Motor Credit Co. LLC
7.250% due 10/25/2011		100		87
7.800% due 06/01/2012		50		44
General Electric Capital Corp.
6.375% due 11/15/2067		300		309
GMAC LLC
6.625% due 05/15/2012		100		83
7.000% due 02/01/2012		100		85
Goldman Sachs Group, Inc.
4.974% due 12/22/2008		100		100
6.750% due 10/01/2037		300		295
HSBC Finance Corp.
5.240% due 10/21/2009		100		100
JPMorgan Chase & Co.
4.908% due 06/26/2009		100		100
JPMorgan Chase Bank N.A.
6.000% due 10/01/2017		200		204
Merrill Lynch & Co., Inc.
6.400% due 08/28/2017		100		102
Rabobank Nederland
5.262% due 01/15/2009		100		100
Royal Bank of Scotland Group PLC
7.640% due 03/31/2049		100		103
Santander U.S. Debt S.A. Unipersonal
4.925% due 02/06/2009		100		100
5.201% due 11/20/2009		100		99
Williams Cos., Inc. Credit Linked Certificate Trust
6.750% due 04/15/2009		100		102
				4,346
Industrials 2.2%
International Business Machines Corp.
5.700% due 09/14/2017		100		103
Kraft Foods, Inc.
6.125% due 02/01/2018		200		202
Omnicom Group, Inc.
5.900% due 04/15/2016		100		102
Xerox Capital Trust I
8.000% due 02/01/2027		100		100
				507
Utilities 2.3%
BellSouth Corp.
4.969% due 08/15/2008		200		200
Embarq Corp.
6.738% due 06/01/2013		200		207
NRG Energy, Inc.
7.375% due 02/01/2016		100		98
				505
Total Corporate Bonds & Notes (Cost $5,310)				5,358
MUNICIPAL BONDS & NOTES 0.9%
New York City, New York Municipal Water Finance Authority Revenue Bonds, Series 2007
5.000% due 06/15/2038		200		208
Total Municipal Bonds & Notes (Cost $208)				208
U.S. GOVERNMENT AGENCIES 120.9%
Fannie Mae
4.000% due 08/01/2013		79		78
4.186% due 11/01/2034		57		58
4.539% due 08/01/2035		52		53
4.633% due 10/01/2035		65		65
4.689% due 10/01/2035		58		59
4.710% due 09/01/2035		85		85
4.721% due 10/01/2035		62		62
4.850% due 02/01/2034		35		35
4.911% due 12/01/2035		131		131
5.000% due 01/01/2020 - 02/01/2038		1,592		1,568
5.215% due 05/25/2042 - 09/25/2042		138		136
5.389% due 07/01/2032		17		18
5.500% due 05/25/2027 - 01/01/2038		3,309		3,308
5.500% due 12/01/2036 - 01/01/2038 (d)		12,065		12,053
5.875% due 11/25/2023		74		75
6.000% due 03/25/2031 - 02/01/2037		1,261		1,281
6.063% due 10/01/2044		119		119
6.064% due 09/01/2044		117		118
Freddie Mac
3.500% due 01/15/2023		152		151
4.746% due 09/01/2035		72		72
5.000% due 12/15/2015 - 08/15/2020		1,046		1,051
5.228% due 10/15/2020		28		28
5.500% due 08/15/2030 - 01/01/2038		6,037		6,025
5.500% due 10/01/2035 - 04/01/2037 (d)		1,141		1,139
Total U.S. Government Agencies (Cost $27,541)				27,768
U.S. TREASURY OBLIGATIONS 10.3%
Treasury Inflation Protected Securities (b)
2.375% due 04/15/2011		212		221
U.S. Treasury Bonds
4.750% due 08/15/2017		600		634
5.000% due 05/15/2037		500		544
8.125% due 08/15/2019		100		135
8.875% due 08/15/2017		600		826
Total U.S. Treasury Obligations (Cost $2,342)				2,360
MORTGAGE-BACKED SECURITIES 10.5%
Bear Stearns Adjustable Rate Mortgage Trust
4.125% due 03/25/2035		124		123
4.625% due 10/25/2035		157		155
Bear Stearns Alt-A Trust
5.811% due 11/25/2036		76		75
Citigroup Mortgage Loan Trust, Inc.
4.900% due 10/25/2035		233		232
Countrywide Alternative Loan Trust
4.500% due 06/25/2035		39		39
5.025% due 02/25/2047		80		75
5.145% due 02/25/2037		73		68
5.159% due 03/20/2046		62		59
Countrywide Home Loan Mortgage Pass-Through Trust
5.250% due 02/20/2036		74		74
Deutsche ALT-A Securities, Inc. Alternate Loan Trust
4.955% due 08/25/2037		87		87
Downey Savings & Loan Association Mortgage Loan Trust
7.053% due 07/19/2044		14		14
GS Mortgage Securities Corp. II
5.352% due 06/06/2020		1		1
GSR Mortgage Loan Trust
5.500% due 11/25/2035		47		47
Harborview Mortgage Loan Trust
5.205% due 03/19/2037		66		62
Lehman Brothers Floating Rate Commercial Mortgage Trust
5.108% due 09/15/2021		34		34
Mellon Residential Funding Corp.
5.378% due 11/15/2031		82		78
5.468% due 12/15/2030		62		61
Morgan Stanley Capital I
5.088% due 10/15/2020		55		54
Structured Adjustable Rate Mortgage Loan Trust
6.188% due 01/25/2035		37		36
Structured Asset Mortgage Investments, Inc.
4.935% due 08/25/2036		85		85
5.085% due 05/25/2036		80		76
5.145% due 02/25/2036		70		67
Structured Asset Securities Corp.
4.080% due 06/25/2033		90		89
5.000% due 12/25/2034		93		92
Wachovia Bank Commercial Mortgage Trust
5.118% due 09/15/2021		70		69
Washington Mutual, Inc.
5.518% due 01/25/2047		82		78
5.768% due 06/25/2046		124		119
5.883% due 07/25/2046		133		127
5.883% due 08/25/2046		150		145
6.059% due 05/25/2041		22		22
Wells Fargo Mortgage-Backed Securities Trust
5.242% due 04/25/2036		70		70
Total Mortgage-Backed Securities (Cost $2,460)				2,413
ASSET-BACKED SECURITIES 13.1%
ACE Securities Corp.
4.935% due 12/25/2035		6		6
4.945% due 02/25/2036		9		9
5.015% due 12/25/2035		100		98
Argent Securities, Inc.
4.905% due 06/25/2036		23		23
4.945% due 03/25/2036		5		5
Asset-Backed Funding Certificates
4.925% due 01/25/2037		61		60
Carrington Mortgage Loan Trust
4.915% due 01/25/2037		63		62
4.965% due 06/25/2037		256		251
Centex Home Equity
4.915% due 06/25/2036		19		19
Citigroup Mortgage Loan Trust, Inc.
4.925% due 05/25/2037		176		168
4.935% due 08/25/2036		44		44
Countrywide Asset-Backed Certificates
4.895% due 01/25/2046		69		68
4.915% due 01/25/2037		57		56
4.915% due 05/25/2037		210		205
4.995% due 07/25/2036		4		4
5.025% due 02/25/2036		18		18
Credit-Based Asset Servicing & Securitization LLC
4.925% due 11/25/2036		73		70
CSAB Mortgage-Backed Trust
4.965% due 06/25/2036		42		42
First NLC Trust
4.935% due 08/25/2037		91		89
GSAMP Trust
4.935% due 01/25/2036		10		9
4.955% due 11/25/2035		20		19
GSR Mortgage Loan Trust
4.965% due 11/25/2030		7		7
HFC Home Equity Loan Asset-Backed Certificates
5.019% due 03/20/2036		43		42
5.299% due 09/20/2033		18		16
Home Equity Asset Trust
4.945% due 05/25/2036		16		16
HSI Asset Securitization Corp. Trust
4.915% due 12/25/2036		73		70
4.925% due 05/25/2037		92		88
4.945% due 12/25/2035		14		15
Indymac Residential Asset-Backed Trust
4.925% due 04/25/2037		63		62
4.955% due 03/25/2036		5		5
4.995% due 04/25/2037		73		70
JPMorgan Mortgage Acquisition Corp.
4.905% due 08/25/2036		68		67
4.915% due 10/25/2036		68		67
4.925% due 04/01/2037		86		82
4.945% due 03/25/2037		77		74
Lehman XS Trust
4.945% due 07/25/2046		58		57
4.955% due 05/25/2046		30		30
Long Beach Mortgage Loan Trust
4.925% due 05/25/2046		8		8
4.955% due 01/25/2046		15		15
5.145% due 10/25/2034		9		9
MASTR Asset-Backed Securities Trust
4.925% due 11/25/2036		64		62
4.945% due 05/25/2037		75		74
Merrill Lynch Mortgage Investors, Inc.
4.935% due 08/25/2036		34		34
Morgan Stanley ABS Capital I
4.905% due 07/25/2036		83		82
Nelnet Student Loan Trust
5.182% due 09/25/2012		40		40
Newcastle Mortgage Securities Trust
4.935% due 03/25/2036		24		24
Securitized Asset-Backed Receivables LLC Trust
4.995% due 05/25/2037		88		87
SLC Student Loan Trust
4.849% due 02/15/2015		82		82
SLM Student Loan Trust
5.084% due 10/25/2016		94		94
Soundview Home Equity Loan Trust
4.945% due 01/25/2037		55		54
4.945% due 06/25/2037		81		80
Structured Asset Securities Corp.
4.900% due 04/25/2035		50		49
USAA Auto Owner Trust
5.337% due 07/11/2008		36		36
Wachovia Auto Owner Trust
5.340% due 07/18/2008		34		34
Wells Fargo Home Equity Trust
4.915% due 01/25/2037		61		60
Total Asset-Backed Securities (Cost $3,084)				3,017
SOVEREIGN ISSUES 0.1%
Banque Centrale de Tunisie
7.375% due 04/25/2012		12		13
Panama Government International Bond
9.625% due 02/08/2011		8		9
Total Sovereign Issues (Cost $21)				22
FOREIGN CURRENCY-DENOMINATED ISSUES 1.0%
General Electric Capital Corp.
6.500% due 09/15/2067	GBP	100		201
Total Foreign Currency-Denominated Issues (Cost $200)				201
		Shares
PREFERRED STOCKS 0.5%
Fannie Mae
8.250% due 12/31/2049		3,000		77
Fresenius Medical Care Capital Trust II
7.875% due 02/01/2008		44		44
Total Preferred Stocks (Cost $120)				121
EXCHANGE-TRADED FUNDS 2.0%
iShares MSCI Hong Kong Index Fund		7,509		165
iShares MSCI Malaysia Index Fund		1,317		17
iShares MSCI Singapore Index Fund		835		12
iShares MSCI South Korea Index Fund		822		53
iShares MSCI Taiwan Index Fund		14,392		215
Total Exchange-Traded Funds (Cost $329)				462
SHORT-TERM INSTRUMENTS 0.6%
U.S. Treasury Bills 0.6%
2.941% due 02/28/2008 - 03/13/2008 (a)(e)	$	150		149
Total Short-Term Instruments (Cost $149)				149
Purchased Options (g) 0.6% (Cost $61)				131
Total Investments 183.9% (Cost $41,825)			$	42,211
Written Options (h) (0.6%) (Premiums $83)				(138	)
Other Assets and Liabilities (Net) (83.3%)				(19,114	)
Net Assets (c) 100.0%			$	22,959

Notes to Schedule of Investments (amounts in thousands*, except number of contracts):

* A zero balance may reflect actual amounts rounding to less than one thousand.

(a) Coupon represents a weighted average rate.

(b) Principal amount of security is adjusted for inflation.

(c) As of December 31, 2007, portfolio securities with an aggregate value of $119 and derivative instruments with an aggregate depreciation of ($117) were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(d) The average amount of borrowings outstanding during the period ended December 31, 2007 was $8,061 at a weighted average interest rate of 4.880%. On December 31, 2007, securities valued at $12,691 were pledged as collateral for reverse repurchase agreements.

(e) Securities with an aggregate market value of $149 and cash of $300 have been segregated with the custodian to cover margin requirements for the following open futures contracts on December 31, 2007:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Euribor December Futures	Long	12/2008	5	$	0
90-Day Euribor March Futures	Long	03/2008	11		(7	)
90-Day Euribor September Futures	Long	09/2008	8		(2	)
90-Day Eurodollar December Futures	Long	12/2008	55		137
90-Day Eurodollar June Futures	Long	06/2008	4		6
90-Day Eurodollar March Futures	Long	03/2009	33		111
90-Day Eurodollar September Futures	Long	09/2008	6		15
Euro-Bobl March Futures	Short	03/2008	3		6
Euro-Bobl March Futures Call Options Strike @ EUR 113.500	Long	03/2008	3		0
Euro-Bund 10-Year Bond March Futures	Long	03/2008	4		(12	)
Euro-Bund March Futures Put Options Strike @ EUR 104.000	Long	03/2008	4		0
Euro-Schatz March Futures	Short	03/2008	15		14
Euro-Schatz March Futures Call Options Strike @ EUR 105.500	Long	03/2008	15		0
U.S. Treasury 2-Year Note March Futures	Short	03/2008	18		(11	)
U.S. Treasury 5-Year Note March Futures	Short	03/2008	17		(14	)
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2008	16		30
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2008	27		28
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2009	1		2
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2008	4		2
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2009	5		9
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2008	8		6
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2009	7		14
United Kingdom Government 10-Year Bond March Futures	Short	03/2008	2		0
				$	334

(f) Swap agreements outstanding on December 31, 2007:

Credit Default Swaps on Securities

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Bank of America	Clorox Co. 6.125% due 02/01/2011	Buy	(0.330	%)	12/20/2012	$	100	$	1
Bank of America	Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.170	%	09/20/2008		100		0
Bank of America	Morgan Stanley 6.600% due 04/01/2012	Sell	0.190	%	09/20/2008		100		(1	)
Barclays Bank PLC	Pemex Project Funding Master Trust 9.500% due 09/15/2027	Sell	0.290	%	12/20/2008		100		0
Deutsche Bank AG	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.420	%	12/20/2008		100		0
Morgan Stanley	Omnicom Group, Inc. 5.900% due 04/15/2016	Buy	(0.390	%)	06/20/2016		100		1
Royal Bank of Scotland Group PLC	AutoZone, Inc. 5.875% due 10/15/2012	Buy	(0.665	%)	06/20/2017		100		(1	)
								$	0

Credit Default Swaps on Credit Indices

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Barclays Bank PLC	Dow Jones CDX N.A. HY8 Index	Sell	0.483	%	06/20/2012	$	100	$	(1	)
Credit Suisse USA, Inc.	Dow Jones CDX N.A. HV9 Index	Sell	1.400	%	12/20/2012		200		(3	)
Credit Suisse USA, Inc.	Dow Jones CDX N.A. HY8 Index	Buy	(2.750	%)	06/20/2012		100		4
JPMorgan Chase & Co.	Dow Jones CDX N.A. IG9 Index	Sell	0.600	%	12/20/2012		200		0
Lehman Brothers, Inc.	Dow Jones CDX N.A. HY8 Index	Buy	(2.750	%)	06/20/2012		100		2
Lehman Brothers, Inc.	Dow Jones CDX N.A. HY8 Index	Sell	2.750	%	06/20/2012		100		(4	)
Morgan Stanley	Dow Jones CDX N.A. IG5 Index	Buy	(0.143	%)	12/20/2012		300		9
Morgan Stanley	Dow Jones CDX N.A. IG5 Index	Sell	0.458	%	12/20/2015		200		(8	)
Morgan Stanley	Dow Jones CDX N.A. IG8 Index	Buy	(0.170	%)	06/20/2012		600		0
								$	(1	)

⁽¹⁾ If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will pay to the buyer of the protection an amount up to the notional value of the swap and in certain instances, take delivery of the security. As a buyer of protection, the Fund will generally receive from the seller of protection an amount up to the notional amount of the swap if a credit event occurs.

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Barclays Bank PLC	3-Month Australian Bank Bill	Pay	7.000	%	09/15/2009	AUD	100	$	(1	)
Citibank N.A.	3-Month Australian Bank Bill	Pay	7.000	%	09/15/2009		1,700		(5	)
Deutsche Bank AG	6-Month Australian Bank Bill	Pay	7.000	%	06/15/2010		1,200		(15	)
Lehman Brothers, Inc.	3-Month Australian Bank Bill	Pay	7.000	%	09/15/2009		1,900		(4	)
Morgan Stanley	6-Month Australian Bank Bill	Pay	7.000	%	06/15/2010		600		(6	)
UBS Warburg LLC	3-Month Australian Bank Bill	Pay	7.000	%	09/15/2009		100		(1	)
Barclays Bank PLC	BRL-CDI-Compounded	Pay	10.680	%	01/02/2012	BRL	1,000		(20	)
Barclays Bank PLC	BRL-CDI-Compounded	Pay	12.540	%	01/02/2012		500		(2	)
Goldman Sachs & Co.	BRL-CDI-Compounded	Pay	10.150	%	01/02/2012		800		(33	)
Morgan Stanley	BRL-CDI-Compounded	Pay	10.115	%	01/02/2012		2,800		(53	)
UBS Warburg LLC	BRL-CDI-Compounded	Pay	10.575	%	01/02/2012		1,200		(9	)
Barclays Bank PLC	6-Month EUR-LIBOR	Receive	4.000	%	12/15/2014	EUR	300		11
Citibank N.A.	6-Month EUR-LIBOR	Pay	4.800	%	07/11/2012		500		10
Deutsche Bank AG	6-Month EUR-LIBOR	Pay	4.000	%	12/15/2011		900		(7	)
JPMorgan Chase & Co.	6-Month EUR-LIBOR	Pay	4.500	%	03/19/2010		490		0
Lehman Brothers, Inc.	6-Month EUR-LIBOR	Pay	4.500	%	03/19/2010		1,900		(6	)
Morgan Stanley	6-Month EUR-LIBOR	Pay	4.500	%	03/19/2010		310		0
Deutsche Bank AG	6-Month GBP-LIBOR	Receive	5.000	%	09/20/2017	GBP	100		(6	)
Deutsche Bank AG	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035		100		10
Goldman Sachs & Co.	6-Month GBP-LIBOR	Receive	6.000	%	06/19/2009		500		(11	)
Lehman Brothers, Inc.	6-Month GBP-LIBOR	Pay	5.500	%	03/20/2013		100		4
Morgan Stanley	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035		200		0
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	7.910	%	05/14/2009	MXN	2,000		(1	)
Merrill Lynch & Co., Inc.	28-Day Mexico Interbank TIIE Banxico	Pay	8.170	%	11/04/2016		400		(1	)
Morgan Stanley	28-Day Mexico Interbank TIIE Banxico	Pay	7.910	%	05/14/2009		2,000		(1	)
Morgan Stanley	28-Day Mexico Interbank TIIE Banxico	Pay	8.170	%	11/04/2016		700		(1	)
Bank of America	3-Month USD-LIBOR	Pay	5.000	%	06/18/2010	$	400		4
Barclays Bank PLC	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010		3,100		4
Barclays Bank PLC	3-Month USD-LIBOR	Pay	5.000	%	06/18/2010		1,100		3
Barclays Bank PLC	3-Month USD-LIBOR	Receive	5.000	%	06/18/2018		1,900		13
Citibank N.A.	3-Month USD-LIBOR	Receive	5.000	%	03/18/2014		400		(10	)
Deutsche Bank AG	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010		700		2
Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	06/18/2015		800		0
JPMorgan Chase & Co.	3-Month USD-LIBOR	Receive	4.000	%	06/18/2013		1,000		(9	)
JPMorgan Chase & Co.	3-Month USD-LIBOR	Receive	5.000	%	03/18/2014		500		(11	)
Merrill Lynch & Co., Inc.	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010		900		(1	)
Merrill Lynch & Co., Inc.	3-Month USD-LIBOR	Pay	4.000	%	06/18/2013		1,400		2
Morgan Stanley	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010		800		3
Morgan Stanley	3-Month USD-LIBOR	Receive	5.000	%	06/18/2038		900		(14	)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010		1,300		0
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	06/20/2012		100		3
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	06/18/2015		900		13
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	06/18/2018		3,200		32
UBS Warburg LLC	3-Month USD-LIBOR	Pay	5.000	%	06/18/2009		3,600		59
								$	(55	)

Total Return Swaps

Counterparty	Type	Receive Total Return	Pay	Expiration Date	# of Contracts	Unrealized Appreciation/ (Depreciation)
Goldman Sachs & Co.	Long	iShares MSCI Hong Kong Index	1-Month USD-LIBOR less 0.250%	11/15/2008	406,280	$	648
Goldman Sachs & Co.	Short	iShares MSCI Hong Kong Index	1-Month USD-LIBOR less 0.250%	11/15/2008	114,517		(182	)
Goldman Sachs & Co.	Long	iShares MSCI Malaysia Index	1-Month USD-LIBOR less 0.250%	11/15/2008	227,883		170
Goldman Sachs & Co.	Short	iShares MSCI Malaysia Index	1-Month USD-LIBOR less 0.250%	11/15/2008	71,838		(53	)
Goldman Sachs & Co.	Long	iShares MSCI Singapore Index	1-Month USD-LIBOR less 0.250%	11/15/2008	307,892		278
Goldman Sachs & Co.	Short	iShares MSCI Singapore Index	1-Month USD-LIBOR less 0.250%	11/15/2008	93,434		(85	)
Goldman Sachs & Co.	Long	iShares MSCI South Korea Index	1-Month USD-LIBOR less 0.250%	11/15/2008	141,474		455
Goldman Sachs & Co.	Short	iShares MSCI South Korea Index	1-Month USD-LIBOR less 0.250%	11/15/2008	42,024		(135	)
Goldman Sachs & Co.	Long	iShares MSCI Taiwan Index	1-Month USD-LIBOR less 0.250%	11/15/2008	420,002		651
Goldman Sachs & Co.	Short	iShares MSCI Taiwan Index	1-Month USD-LIBOR less 0.250%	11/15/2008	143,336		(223	)
						$	1,524

(g) Purchased options outstanding on December 31, 2007:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Cost		Value
Call - CBOT U.S. Treasury 10-Year Note March Futures	$	135.000	02/22/2008	33	$	1	$	1
Call - CBOT U.S. Treasury 10-Year Note March Futures		138.000	02/22/2008	11		0		0
Call - CBOT U.S. Treasury 2-Year Note March Futures		114.000	02/22/2008	16		0		0
Call - CBOT U.S. Treasury 2-Year Note March Futures		117.500	02/22/2008	10		0		0
Call - CBOT U.S. Treasury 5-Year Note March Futures		122.000	02/22/2008	17		1		0
Call - CME 90-Day Eurodollar March Futures		95.250	03/17/2008	6		5		8
Put - CBOT U.S. Treasury 10-Year Note March Futures		103.000	02/22/2008	11		0		0
Put - CBOT U.S. Treasury 30-Year Bond March Futures		100.000	02/22/2008	5		0		0
					$	7	$	9

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Cost		Value
Call - OTC 2-Year Interest Rate Swap	Deutsche Bank AG	6-Month EUR-LIBOR	Pay	4.070	%	09/14/2009	EUR	2,300	$	12	$	10
Call - OTC 5-Year Interest Rate Swap	JPMorgan Chase & Co.	3-Month USD-LIBOR	Pay	4.363	%	06/16/2008	$	600		5		12
Call - OTC 2-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	4.750	%	09/26/2008		700		2		15
Call - OTC 2-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	5.300	%	08/03/2009		2,300		20		55
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	12/15/2008		300		1		6
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	12/15/2008		600		2		14
									$	42	$	112

Foreign Currency Options

Description	Exercise Price	Expiration Date	Notional Amount		Cost		Value
Call - OTC U.S. dollar versus Japanese yen	JPY121.000	01/18/2008	$	100	$	1	$	0
Call - OTC U.S. dollar versus Japanese yen	103.800	03/17/2010		100		5		5
Put - OTC U.S. dollar versus Japanese yen	103.800	03/17/2010		100		4		5
					$	10	$	10

Options on Securities

Description	Strike Price		Expiration Date	Notional Amount		Cost		Value
Put - OTC Fannie Mae 5.500% due 02/01/2038		$86.594	02/05/2008	$	3,000	$	0	$	0
Put - OTC Fannie Mae 5.500% due 03/01/2038		89.000	03/05/2008		5,900		1		0
Put - OTC Fannie Mae 6.000% due 03/01/2038		90.500	03/05/2008		5,000		1		0
Put - OTC Fannie Mae 6.000% due 03/01/2038		91.000	03/05/2008		2,000		0		0
Put - OTC Freddie Mac 5.500% due 01/01/2038		85.000	01/07/2008		3,200		0		0
Put - OTC Freddie Mac 5.500% due 03/01/2038		85.500	03/05/2008		1,600		0		0
Put - OTC Treasury Inflation Protected Securities 2.375% due 04/15/2011		97.000	03/28/2008		200		0		0
						$	2	$	0

(h) Written options outstanding on December 31, 2007:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Value
Call - CBOT U.S. Treasury 10-Year Note March Futures	$	111.000	02/22/2008	11	$	4	$	31
Call - CBOT U.S. Treasury 10-Year Note March Futures		117.000	02/22/2008	5		4		9
Call - CME 90-Day Eurodollar March Futures		95.750	03/17/2008	11		7		5
Call - CME 90-Day Eurodollar March Futures		96.000	03/17/2008	5		3		1
Put - CBOT U.S. Treasury 10-Year Note March Futures		106.000	02/22/2008	11		5		0
					$	23	$	46

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Value
Call - OTC 7-Year Interest Rate Swap	Deutsche Bank AG	6-Month EUR-LIBOR	Receive	4.250	%	09/14/2009	EUR	700	$	10	$	8
Put - OTC 5-Year Interest Rate Swap	Citibank N.A.	3-Month USD-LIBOR	Pay	5.400	%	03/16/2009	$	1,000		12		6
Put - OTC 5-Year Interest Rate Swap	JPMorgan Chase & Co.	3-Month USD-LIBOR	Pay	5.400	%	03/16/2009		1,000		13		6
Call - OTC 5-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	4.950	%	09/26/2008		300		2		11
Call - OTC 5-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	5.500	%	08/03/2009		1,000		20		48
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	12/15/2008		100		1		4
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.200	%	12/15/2008		200		2		9
									$	60	$	92

(i) Short sales outstanding on December 31, 2007:

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Value(2)
Fannie Mae	5.000	%	01/01/2038	$	2,000	$	1,943	$	1,952
Fannie Mae	5.500	%	01/01/2038		12,000		11,970		11,987
U.S. Treasury Bonds	3.625	%	10/31/2009		6,600		6,659		6,720
U.S. Treasury Bonds	4.000	%	09/30/2009		1,000		1,016		1,026
U.S. Treasury Bonds	4.250	%	11/15/2017		1,100		1,110		1,128
U.S. Treasury Bonds	4.750	%	08/15/2017		1,300		1,349		1,400
U.S. Treasury Bonds	4.750	%	02/15/2037		1,100		1,138		1,173
U.S. Treasury Notes	4.125	%	08/31/2012		200		205		209
U.S. Treasury Notes	4.250	%	11/15/2013		300		307		313
U.S. Treasury Notes	4.500	%	05/15/2017		600		610		626
U.S. Treasury Notes	4.750	%	05/15/2014		200		211		215
						$	26,518	$	26,749

⁽²⁾ Market value includes $131 of interest payable on short sales

(j) Foreign currency contracts outstanding on December 31, 2007:

Type	Currency	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	AUD	155	01/2008	$	0	$	(1	)	$	(1	)
Buy	BRL	1,014	03/2008		32		(4	)		28
Sell		352	03/2008		1		(11	)		(10	)
Buy		2,114	07/2008		81		0			81
Sell		68	07/2008		0		0			0
Buy	CNY	3,234	01/2008		6		0			6
Sell		3,234	01/2008		0		(6	)		(6	)
Buy		1,276	07/2008		5		0			5
Sell		1,276	07/2008		0		(1	)		(1	)
Buy		823	10/2008		0		0			0
Sell		823	10/2008		0		(1	)		(1	)
Sell	EUR	145	01/2008		0		0			0
Sell	GBP	497	01/2008		13		0			13
Buy	HKD	54,872	01/2008		1		(3	)		(2	)
Sell		103,668	01/2008		59		0			59
Buy	KRW	5,398,491	05/2008		4		(43	)		(39	)
Sell		11,235,480	05/2008		174		(1	)		173
Buy	MXN	2,682	03/2008		4		(1	)		3
Sell		386	03/2008		0		0			0
Buy		1,390	07/2008		1		0			1
Sell	MYR	6,836	08/2008		0		(64	)		(64	)
Sell	NZD	48	01/2008		0		(1	)		(1	)
Sell		48	02/2008		0		0			0
Buy	PLN	165	07/2008		7		0			7
Buy	RUB	1,744	01/2008		2		0			2
Sell		1,744	01/2008		0		0			0
Buy		6,060	07/2008		6		0			6
Buy		1,744	11/2008		0		0			0
Buy	SGD	187	02/2008		0		0			0
Buy		3,247	05/2008		13		(1	)		12
Sell		7,684	05/2008		1		(36	)		(35	)
Buy	TWD	118,117	01/2008		8		(9	)		(1	)
Sell		268,204	01/2008		38		0			38
				$	456	$	(183	)	$	273

See accompanying notes

Schedule of Investments

Floating Income Fund

December 31, 2007 (Unaudited)

		Principal Amount (000s	)		Value (000s	)
BANK LOAN OBLIGATIONS 5.6%
AES Corp.
7.000% due 04/30/2008	$	1,000		$	991
7.190% due 08/10/2011		1,000			991
8.390% due 04/30/2010		9,835			9,743
8.540% due 04/30/2010		5,165			5,126
Allied Waste North America, Inc.
4.600% due 03/28/2014		966			926
6.150% due 03/28/2014		107			102
6.360% due 03/28/2014		61			59
6.420% due 03/28/2014		58			56
6.480% due 03/28/2014		349			335
6.500% due 03/28/2014		582			559
6.880% due 03/28/2014		408			391
Appleton Papers, Inc.
6.293% due 05/21/2014		333			315
6.580% due 05/21/2014		331			313
6.648% due 05/21/2014		333			315
Aramark Corp.
5.198% due 01/26/2014		164			157
6.830% due 01/26/2014		2,403			2,290
Bausch & Lomb, Inc.
7.000% due 10/26/2015		400			399
8.080% due 10/26/2015		1,600			1,596
Biomet, Inc.
7.776% due 03/25/2015		5,000			4,953
Boc Group, Inc.
7.081% due 05/31/2014		2,494			2,251
Celanese Corp.
6.479% due 04/02/2014		4,975			4,810
Centennial Cellular Operating Co. LLC
6.830% due 02/09/2011		420			410
7.081% due 01/20/2011		66			65
Centennial Communications Corp.
6.830% due 02/09/2011		437			427
Community Health Corp.
7.331% due 07/25/2014		1,404			1,353
Community Health Systems, Inc.
4.000% due 07/02/2014		93			89
7.072% due 07/02/2014		3			3
Cooper-Standard Automotive, Inc.
7.375% due 12/31/2011		1,990			1,933
Covanta Energy Corp.
4.602% due 02/07/2014		1,649			1,574
6.250% due 02/07/2014		1,014			968
6.438% due 02/09/2014		1,289			1,230
7.062% due 02/07/2014		1,031			984
CSC Holdings, Inc.
6.595% due 02/24/2013		3,965			3,754
Daimler Finance North America LLC
9.000% due 08/03/2012		9,975			9,617
DaVita, Inc.
6.230% due 10/05/2012		545			527
6.350% due 10/05/2012		786			759
6.490% due 10/05/2012		53			51
6.520% due 10/05/2012		80			77
6.730% due 10/05/2012		262			253
6.750% due 10/05/2012		90			87
Dex Media West LLC
6.330% due 09/09/2010		78			76
6.520% due 09/09/2010		962			940
6.640% due 09/09/2010		481			470
6.650% due 09/09/2010		721			705
Dobson Communications Corp.
7.240% due 03/14/2014		717			713
7.240% due 03/15/2014		4,258			4,239
Energy Transfer Equity LP
6.648% due 11/01/2012		5,000			4,912
FCI Connectors
6.224% due 03/09/2013		2,472			2,369
Ford Motor Co.
8.000% due 12/15/2013		6,908			6,409
Freescale Semiconductor, Inc.
6.381% due 12/01/2013		2,970			2,759
Georgia-Pacific Corp.
6.580% due 12/20/2012		465			444
6.831% due 12/20/2012		570			544
6.896% due 12/20/2012		4,845			4,624
Goodyear Tire & Rubber Co.
6.430% due 04/20/2014		3,000			2,823
Hanesbrands, Inc.
6.606% due 10/15/2013		160			156
6.815% due 10/15/2013		1,446			1,413
Hawaiian Telcom Communications, Inc.
7.080% due 06/01/2014		2,992			2,823
HCA, Inc.
6.330% due 11/16/2012		969			922
7.080% due 11/16/2013		5,935			5,727
Headwaters, Inc.
6.790% due 04/30/2011		587			566
Health Management Associates, Inc.
6.580% due 02/28/2014		3,928			3,675
6.595% due 02/28/2014		52			49
HealthSouth Corp.
7.345% due 02/02/2013		11			10
7.750% due 03/10/2013		1,466			1,404
Hercules, Inc.
6.714% due 10/08/2010		394			393
Hertz Corp.
4.910% due 12/21/2012		1			1
6.890% due 12/21/2012		1			1
6.920% due 12/21/2012		1			1
Idearc, Inc.
6.830% due 11/17/2014		4,948			4,720
Ineos Group Holdings PLC
7.357% due 10/07/2013		2,205			2,133
7.451% due 10/07/2013		22			22
7.857% due 10/07/2014		2,205			2,143
7.951% due 10/07/2014		22			22
Jarden Corp.
6.580% due 01/24/2012		3,277			3,170
Kinder Morgan, Inc.
6.350% due 05/24/2014		4,461			4,440
Las Vegas Sands Corp.
3.000% due 05/15/2014		1,000			940
6.580% due 05/23/2014		4,000			3,762
Lukoil Finance Ltd.
5.545% due 01/11/2009		4,830			4,805
Mediacom Communications Corp.
6.690% due 02/28/2014		1,985			1,841
Metro-Goldwyn-Mayer, Inc.
8.108% due 04/08/2012		5,910			5,491
Nortek, Inc.
7.100% due 08/27/2011		1,945			1,813
NRG Energy, Inc.
6.848% due 02/01/2013		874			836
OAO Rosneft Oil Co.
5.505% due 09/17/2009		3,710			3,617
Orbitz Worldwide, Inc.
7.830% due 07/20/2014		3,000			2,842
PanAmSat Corp.
6.600% due 07/03/2012		713			700
6.600% due 01/03/2014		1,631			1,604
Penn National Gaming, Inc.
6.580% due 05/26/2012		30			30
6.600% due 05/26/2012		310			306
6.650% due 05/26/2012		855			846
6.760% due 05/26/2012		1,745			1,727
Reliant Energy, Inc.
4.511% due 06/12/2014		1,600			1,511
4.511% due 06/13/2014		400			378
Renal Advantage, Inc.
8.098% due 10/06/2012		3,960			3,796
Rental Service Corp.
6.400% due 11/21/2013		3,840			3,782
6.580% due 11/21/2013		120			118
RH Donnelley Corp.
6.590% due 06/30/2011		3			3
7.010% due 09/09/2010		240			233
RH Donnelley, Inc.
6.460% due 06/30/2011		56			54
6.500% due 06/30/2011		13			12
6.520% due 06/30/2011		6			6
6.590% due 06/30/2011		41			40
6.630% due 09/09/2010		41			40
6.660% due 06/30/2011		6			6
6.700% due 09/09/2010		481			471
6.710% due 06/30/2011		5			5
Roundy’s Supermarket, Inc.
7.910% due 10/27/2011		3,901			3,834
7.990% due 10/27/2011		10			10
SandRidge Energy, Inc.
8.354% due 04/01/2014		4,775			4,727
Shackleton Re Ltd.
12.875% due 08/01/2008		2,000			1,990
13.000% due 08/01/2008		500			498
SLM Corp.
1.000% due 02/16/2008		3,000			2,989
Smurfit-Stone Container Enterprises, Inc.
5.393% due 11/01/2010		87			86
6.688% due 11/01/2010		44			43
6.875% due 11/01/2011		42			42
7.125% due 11/01/2011		215			211
Telesat Canada
9.000% due 10/31/2008		5,700			5,444
10.500% due 10/31/2008		4,300			4,106
Thompson Learning, Inc.
7.600% due 06/27/2014		6,000			5,688
Travelport
7.080% due 08/23/2013		2,669			2,541
Tribune Co.
7.910% due 05/30/2014		3,741			3,194
TXU Technology
8.396% due 10/10/2014		6,600			6,491
VNU/Nielson Finance LLC
7.146% due 08/09/2013		1,975			1,877
Warner Chilcott Corp.
6.830% due 01/18/2012		847			822
6.845% due 01/18/2012		174			169
7.360% due 01/18/2012		290			282
Wimar Landco LLC
7.095% due 07/03/2008		5,000			4,908
WMG Acquisition Corp.
7.015% due 02/28/2011		505			484
7.092% due 02/28/2011		361			346
7.151% due 02/28/2011		139			133
7.541% due 02/28/2011		930			891
Xerium Technologies, Inc.
7.580% due 05/18/2012		1,342			1,243
Total Bank Loan Obligations (Cost $229,412)					221,321
CORPORATE BONDS & NOTES 49.6%
Banking & Finance 30.3%
American Express Bank FSB
4.956% due 06/22/2009		2,400			2,393
5.252% due 06/12/2009		16,500			16,447
American Express Centurion Bank
4.956% due 09/22/2009		2,500			2,489
5.188% due 12/17/2009		3,035			3,006
5.250% due 05/07/2008		3,500			3,497
American Express Credit Corp.
5.025% due 05/19/2009		4,950			4,889
American Honda Finance Corp.
4.868% due 08/05/2008		2,400			2,399
5.206% due 03/09/2009		2,000			2,001
American International Group, Inc.
4.884% due 06/23/2008		6,400			6,404
5.319% due 10/18/2011		12,800			12,494
ANZ National International Ltd.
4.938% due 08/07/2009		2,500			2,494
Banco Mercantil del Norte S.A.
5.875% due 02/17/2014		500			497
Banco Nacional de Comercio Exterior SNC
3.875% due 01/21/2009		2,630			2,561
Banco Santander Chile
5.496% due 12/09/2009		5,500			5,489
Bank of America Corp.
4.852% due 09/25/2009		11,000			10,978
4.875% due 11/06/2009		3,300			3,290
Bank of America N.A.
4.966% due 12/18/2008		12,900			12,894
5.132% due 06/12/2009		17,600			17,566
5.271% due 06/15/2016		12,000			11,733
Bank of Scotland PLC
5.028% due 07/17/2008		2,000			1,999
5.206% due 12/08/2010		35,000			34,881
Bear Stearns Cos., Inc.
4.920% due 03/30/2009		24,300			23,691
5.190% due 01/31/2011		7,500			6,776
5.416% due 09/09/2009		1,680			1,615
6.950% due 08/10/2012		10,000			10,292
BHP Billiton Finance Ltd.
4.872% due 03/27/2009		2,500			2,466
C5 Capital SPV Ltd.
6.196% due 12/31/2049		500			495
C10 Capital SPV Ltd.
6.722% due 12/31/2049		4,400			4,063
Calabash Re II Ltd.
15.891% due 01/08/2010		3,000			3,145
CIT Group Holdings, Inc.
5.134% due 01/30/2009		24,850			23,351
CIT Group, Inc.
5.019% due 08/15/2008		2,000			1,985
Citigroup, Inc.
4.872% due 12/28/2009		10,000			9,822
Colvis Finance Ltd.
8.000% due 02/02/2009		10,700			10,709
Credit Agricole S.A.
5.053% due 05/28/2009		5,000			5,004
5.103% due 05/28/2010		28,000			28,011
Credit Suisse USA, Inc.
5.498% due 04/12/2013		20,000			19,802
DBS Bank Ltd.
5.098% due 05/16/2017		11,000			10,469
DnB NORBank ASA
5.312% due 10/13/2009		5,800			5,805
East Lane Re Ltd.
11.911% due 05/06/2011		2,000			2,010
El Paso Performance-Linked Trust
7.750% due 07/15/2011		1,300			1,340
Export-Import Bank of Korea
4.125% due 02/10/2009		3,149			3,117
5.118% due 11/16/2010		7,500			7,525
5.214% due 06/01/2009		25,000			25,048
Ford Motor Credit Co. LLC
4.950% due 01/15/2008		2,000			1,999
5.800% due 01/12/2009		5,200			4,937
6.812% due 01/15/2010		2,500			2,278
7.375% due 10/28/2009		5,000			4,708
7.875% due 06/15/2010		5,500			5,077
7.992% due 01/13/2012		5,000			4,203
Foundation Re II Ltd.
11.655% due 11/26/2010		3,700			3,836
Gazinvest Luxembourg S.A. for Gazprombank
7.250% due 10/30/2008		7,000			7,034
General Electric Capital Corp.
5.031% due 03/16/2009		3,000			3,000
5.084% due 04/30/2009		1,500			1,500
5.091% due 06/15/2009		2,000			1,999
5.095% due 10/26/2009		4,700			4,690
5.162% due 11/21/2011		4,500			4,445
5.171% due 03/04/2008		2,500			2,502
5.181% due 07/27/2012		34,800			34,669
5.250% due 10/19/2012		2,225			2,278
5.251% due 09/15/2014		450			441
Genworth Global Funding Trusts
5.051% due 02/10/2009		2,400			2,377
GMAC LLC
6.034% due 09/23/2008		1,600			1,546
6.119% due 05/15/2009		1,000			932
7.000% due 02/01/2012		6,055			5,142
Goldman Sachs Group, Inc.
4.924% due 12/23/2008		8,500			8,477
4.958% due 11/16/2009		9,000			8,839
4.969% due 11/10/2008		4,000			3,992
4.974% due 12/22/2008		13,700			13,665
4.974% due 06/23/2009		4,700			4,626
5.108% due 11/16/2009		1,500			1,477
5.111% due 07/29/2008		6,300			6,293
5.324% due 03/02/2010		2,500			2,470
5.481% due 07/23/2009		4,135			4,133
5.643% due 10/07/2011		2,000			1,965
HCP, Inc.
6.000% due 01/30/2017		5,000			4,717
Hexion U.S. Finance Corp.
9.369% due 11/15/2014		3,000			3,075
9.750% due 11/15/2014		2,000			2,170
Hipotecaria Su Casita S.A.
8.500% due 10/04/2016		8,075			8,115
HSBC Finance Corp.
4.982% due 05/21/2008		6,300			6,300
5.121% due 09/15/2008		8,380			8,377
5.137% due 05/10/2010		10,000			9,751
5.158% due 11/16/2009		7,000			6,895
5.212% due 03/12/2010		4,900			4,808
5.240% due 10/21/2009		6,400			6,372
5.281% due 12/05/2008		4,000			3,991
ICICI Bank Ltd.
5.788% due 01/12/2010		8,500			8,394
Industry & Construction Bank St. Petersburg OJSC
6.875% due 07/29/2008		2,100			2,109
Intergas Finance BV
6.375% due 05/14/2017		7,000			6,300
6.875% due 11/04/2011		900			873
International Lease Finance Corp.
5.250% due 05/24/2010		10,000			9,869
5.561% due 07/11/2011		25,000			24,233
5.642% due 01/15/2010		4,500			4,500
John Deere Capital Corp.
5.038% due 09/25/2008		19,300			19,309
5.292% due 04/15/2008		5,300			5,303
JPMorgan Chase & Co.
5.105% due 02/22/2012		10,000			9,827
5.384% due 01/17/2011		7,000			6,937
5.419% due 10/02/2009		10,000			9,946
Lehman Brothers Holdings, Inc.
4.905% due 11/24/2008		2,000			1,969
4.934% due 12/23/2008		11,600			11,405
4.978% due 11/16/2009		7,000			6,822
5.082% due 08/21/2009		15,000			14,582
5.241% due 01/23/2009		4,400			4,315
5.270% due 10/22/2008		6,700			6,653
Longpoint Re Ltd.
10.241% due 05/08/2010		3,100			3,182
LVB Acquisition Merger Sub, Inc.
10.000% due 10/15/2017		2,250			2,306
10.375% due 10/15/2017 (b)		2,250			2,256
11.625% due 10/15/2017		3,000			2,970
Merna Reinsurance Ltd.
5.480% due 07/07/2010 (k)		15,800			15,485
Merrill Lynch & Co., Inc.
4.914% due 12/22/2008		4,900			4,836
4.960% due 08/14/2009		12,000			11,748
5.074% due 01/30/2009		4,900			4,868
5.191% due 10/23/2008		4,300			4,243
6.050% due 08/15/2012		11,000			11,222
Metropolitan Life Global Funding I
4.945% due 05/17/2010		2,650			2,632
Mirage Resorts, Inc.
6.750% due 02/01/2008		1,500			1,508
Morgan Stanley
4.925% due 05/07/2009		7,500			7,410
4.972% due 11/21/2008		5,500			5,461
5.006% due 02/09/2009		4,500			4,446
5.334% due 01/18/2008		2,000			2,000
5.420% due 01/22/2009		10,500			10,387
5.459% due 01/18/2011		5,000			4,843
5.522% due 01/15/2010		3,500			3,457
5.950% due 12/28/2017		2,900			2,903
Mystic Re Ltd.
11.381% due 12/05/2008		2,500			2,530
14.081% due 12/05/2008		1,900			1,935
15.081% due 06/07/2011		2,000			2,107
National Australia Bank Ltd.
4.980% due 08/19/2009		5,000			4,991
5.091% due 06/15/2011		10,000			9,963
5.181% due 09/11/2009		10,400			10,393
5.231% due 10/01/2008		2,000			1,998
Osiris Capital PLC
10.242% due 01/15/2010		2,000			2,025
Pemex Finance Ltd.
9.690% due 08/15/2009		455			469
Petroleum Export Ltd.
4.623% due 06/15/2010		3,889			3,830
5.265% due 06/15/2011		4,906			4,875
Petroleum Export Ltd. II
6.340% due 06/20/2011		2,399			2,420
RBS Capital Trust III
5.512% due 09/29/2049		3,700			3,406
Redwood Capital IX Ltd.
11.993% due 01/09/2008		4,100			4,095
Residential Reinsurance 2005 Ltd.
10.574% due 06/06/2008		3,700			3,701
Residential Reinsurance 2007 Ltd.
11.124% due 06/07/2010		3,500			3,593
12.374% due 06/07/2010		9,900			10,221
Royal Bank of Scotland Group PLC
9.118% due 03/31/2049		4,000			4,278
RSHB Capital S.A. for OJSC Russian Agricultural Bank
6.875% due 11/29/2010		14,000			14,269
Santander Perpetual S.A. Unipersonal
6.671% due 10/29/2049		15,600			15,670
Santander U.S. Debt S.A. Unipersonal
4.970% due 09/19/2008		1,100			1,096
5.201% due 11/20/2009		7,000			6,917
Shackleton Re Ltd.
12.960% due 02/07/2008		500			502
Sistema Finance S.A.
10.250% due 04/14/2008		1,500			1,513
SLM Corp.
5.164% due 01/25/2008		9,000			8,989
5.224% due 07/27/2009		21,250			19,997
5.284% due 01/26/2009		5,700			5,507
5.294% due 07/25/2008		500			490
TNK-BP Finance S.A.
6.625% due 03/20/2017		800			732
7.500% due 03/13/2013		10,300			10,326
TransCapitalInvest Ltd. for OJSC AK Transneft
6.103% due 06/27/2012		5,500			5,538
UBS AG
5.141% due 07/23/2009		5,000			4,997
UBS Luxembourg S.A. for Sberbank
6.230% due 02/11/2015		1,500			1,491
UBS Preferred Funding Trust I
8.622% due 10/29/2049		18,250			19,678
Unicredit Luxembourg Finance S.A.
5.142% due 10/24/2008		7,900			7,886
Universal City Florida Holding Co. I
9.661% due 05/01/2010		3,200			3,216
Ventas Realty LP
6.750% due 06/01/2010		3,000			3,038
8.750% due 05/01/2009		5,758			5,931
Vita Capital III Ltd.
6.331% due 01/01/2011		9,300			9,186
VTB Capital S.A.
5.494% due 08/01/2008		28,900			28,570
6.609% due 10/31/2012		3,500			3,453
Wachovia Bank N.A.
4.924% due 03/23/2009		22,500			22,454
Wachovia Corp.
5.034% due 10/28/2008		2,000			1,995
5.111% due 03/15/2011		5,000			4,911
5.372% due 10/15/2011		8,700			8,514
Wells Fargo & Co.
5.091% due 09/15/2009		10,000			9,935
5.250% due 10/23/2012		17,930			18,247
Wells Fargo Capital X
5.950% due 12/15/2036		1,700			1,592
Westpac Banking Corp.
5.212% due 06/06/2008		7,800			7,797
World Savings Bank FSB
4.976% due 06/20/2008		2,000			2,002
5.249% due 03/02/2009		5,800			5,819
					1,187,640
Industrials 13.7%
AbitibiBowater, Inc.
7.991% due 03/15/2010		2,500			2,191
9.000% due 08/01/2009		3,000			2,925
Abitibi-Consolidated Co. of Canada
5.250% due 06/20/2008		2,800			2,695
8.491% due 06/15/2011		1,550			1,232
ABN AMRO Bank for OAO Gazprom
9.625% due 03/01/2013		39,000			44,395
America Movil SAB de C.V.
4.958% due 06/27/2008		35,075			35,075
5.500% due 03/01/2014		875			874
5.625% due 11/15/2017		14,700			14,437
5.750% due 01/15/2015		1,600			1,605
Aramark Corp.
8.411% due 02/01/2015		3,000			2,940
8.500% due 02/01/2015		1,600			1,628
Berry Plastics Holding Corp.
8.866% due 09/15/2014		2,500			2,350
BW Group Ltd.
6.625% due 06/28/2017		1,240			1,301
C8 Capital SPV Ltd.
6.640% due 12/29/2049		9,700			9,223
Cablevision Systems Corp.
9.644% due 04/01/2009		6,600			6,707
Caesars Entertainment, Inc.
7.500% due 09/01/2009		5,000			5,314
8.875% due 09/15/2008		4,500			4,676
Celestica, Inc.
7.875% due 07/01/2011		2,000			1,935
Chemtura Corp.
6.875% due 06/01/2016		1,775			1,677
Citic Resources Finance Ltd.
6.750% due 05/15/2014		1,200			1,128
Citigroup Global Markets Deutschland AG for OAO Gazprom
10.500% due 10/21/2009		22,300			24,177
Compagnie Générale de Géophysique-Veritas
7.500% due 05/15/2015		1,000			1,018
ConocoPhillips Australia Funding Co.
5.343% due 04/09/2009		4,560			4,554
Cooper-Standard Automotive, Inc.
7.000% due 12/15/2012		800			697
CSC Holdings, Inc.
7.250% due 07/15/2008		2,570			2,580
CSN Islands VII Corp.
10.750% due 09/12/2008		8,786			9,072
CVS Caremark Corp.
5.441% due 06/01/2010		3,800			3,762
Daimler Finance North America LLC
5.328% due 08/03/2009		4,400			4,372
5.541% due 03/13/2009		4,300			4,271
Delta Air Lines, Inc.
7.379% due 05/18/2010		11,005			11,060
Dex Media West LLC
9.875% due 08/15/2013		2,600			2,710
Diageo Finance BV
4.950% due 03/30/2009		2,500			2,505
Dura Operating Corp.
8.625% due 04/15/2012 (a)		500			75
Dynegy Holdings, Inc.
6.875% due 04/01/2011		4,075			3,953
7.500% due 06/01/2015		2,075			1,950
EchoStar DBS Corp.
6.375% due 10/01/2011		7,100			7,033
El Paso Corp.
6.500% due 06/01/2008		5,065			5,113
7.750% due 06/15/2010		650			682
First Data Corp.
9.875% due 09/24/2015		350			326
Freeport-McMoRan Copper & Gold, Inc.
8.394% due 04/01/2015		4,000			4,070
Freescale Semiconductor, Inc.
8.866% due 12/15/2014		15,000			12,825
8.875% due 12/15/2014		1,600			1,436
9.125% due 12/15/2014 (b)		2,400			2,052
Fund American Cos., Inc.
5.875% due 05/15/2013		1,000			1,003
Gazstream S.A. for OAO Gazprom
5.625% due 07/22/2013		2,379			2,354
General Electric Co.
5.186% due 12/09/2008		6,000			6,011
Georgia-Pacific Corp.
7.000% due 01/15/2015		4,650			4,545
Goodyear Tire & Rubber Co.
8.662% due 12/01/2009		3,000			3,038
Hanesbrands, Inc.
8.204% due 12/15/2014		7,000			6,965
HCA, Inc.
7.875% due 02/01/2011		5,000			4,900
9.000% due 12/15/2014		540			523
9.250% due 11/15/2016		360			379
Health Management Associates, Inc.
6.125% due 04/15/2016		2,750			2,398
HJ Heinz Co.
6.428% due 12/01/2008		900			916
Home Depot, Inc.
5.116% due 12/16/2009		2,500			2,450
Intelsat Bermuda Ltd.
5.250% due 11/01/2008		5,000			4,962
JetBlue Airways Corp.
7.969% due 05/15/2010		1,903			1,893
9.241% due 03/15/2008		1,643			1,648
Kansas City Southern Railway
9.500% due 10/01/2008		11,562			11,851
Kohl’s Corp.
6.250% due 12/15/2017		5,000			5,033
Kraft Foods, Inc.
5.387% due 08/11/2010		5,000			4,962
Limited Brands, Inc.
6.900% due 07/15/2017		5,000			4,839
Mandalay Resort Group
9.500% due 08/01/2008		1,100			1,128
Meritor Automotive, Inc.
6.800% due 02/15/2009		1,609			1,565
MGM Mirage
8.375% due 02/01/2011		2,500			2,569
Nalco Co.
7.750% due 11/15/2011		4,805			4,889
8.875% due 11/15/2013		4,030			4,221
Nortel Networks Ltd.
9.492% due 07/15/2011		19,400			19,012
Northwest Airlines, Inc.
7.626% due 10/01/2011		4,242			4,203
Pemex Project Funding Master Trust
5.724% due 12/03/2012		1,200			1,185
6.291% due 06/15/2010		22,000			22,101
7.042% due 10/15/2009		3,600			3,700
8.500% due 02/15/2008		8,270			8,301
Qwest Communications International, Inc.
8.369% due 02/15/2009		2,616			2,629
Reynolds American, Inc.
5.691% due 06/15/2011		9,600			9,368
6.500% due 07/15/2010		10,000			10,288
Roseton
7.270% due 11/08/2010		1,217			1,232
Sanmina-SCI Corp.
7.741% due 06/15/2010		2,709			2,716
Seminole Hard Rock Entertainment, Inc.
7.491% due 03/15/2014		2,000			1,920
Service Corp. International
6.500% due 03/15/2008		825			828
Siemens Financieringsmaatschappij NV
4.920% due 08/14/2009		3,200			3,202
Spansion, Inc.
8.249% due 06/01/2013		900			814
Sungard Data Systems, Inc.
3.750% due 01/15/2009		5,144			5,015
Tengizchevroil Finance Co. SARL
6.124% due 11/15/2014		900			853
Tesco PLC
5.500% due 11/15/2017		14,700			14,689
Tesoro Corp.
6.250% due 11/01/2012		4,610			4,633
Transcontinental Gas Pipe Line Corp.
6.250% due 01/15/2008		7,000			7,000
6.522% due 04/15/2008		1,000			1,002
Transocean, Inc.
5.341% due 09/05/2008		3,300			3,284
TRW Automotive, Inc.
7.000% due 03/15/2014		3,500			3,238
United Airlines, Inc.
6.071% due 03/01/2013		635			632
6.201% due 09/01/2008		1,420			1,413
Vale Overseas Ltd.
6.250% due 01/23/2017		2,900			2,924
Valero Energy Corp.
6.125% due 06/15/2017		13,405			13,647
Verso Paper Holdings LLC and Verson Paper, Inc.
8.661% due 08/01/2014		6,000			5,880
Walt Disney Co.
5.246% due 09/10/2009		8,500			8,463
Williams Cos., Inc.
6.375% due 10/01/2010		22,250			22,612
Xerox Corp.
5.716% due 12/18/2009		3,000			3,006
XTO Energy, Inc.
7.500% due 04/15/2012		5,873			6,426
Yum! Brands, Inc.
8.875% due 04/15/2011		2,500			2,760
					538,619
Utilities 5.6%
AES Corp.
8.750% due 05/15/2013		9,811			10,289
AES Panama S.A.
6.350% due 12/21/2016		5,000			4,942
AT&T Corp.
7.300% due 11/15/2011		473			513
AT&T, Inc.
4.959% due 05/15/2008		6,000			5,995
BellSouth Corp.
4.240% due 04/26/2021		13,500			13,453
Cincinnati Bell, Inc.
7.250% due 07/15/2013		6,007			6,052
CMS Energy Corp.
6.192% due 01/15/2013		13,400			12,830
Deutsche Telekom International Finance BV
5.064% due 03/23/2009		3,500			3,485
Dominion Resources, Inc.
5.050% due 11/14/2008		2,000			1,996
5.687% due 05/15/2008		2,400			2,405
Empresa Brasileira de Telecom S.A.
11.000% due 12/15/2008		4,600			4,830
Entergy Gulf States, Inc.
3.600% due 06/01/2008		5,000			4,963
5.524% due 12/01/2009		7,400			7,354
5.896% due 12/08/2008		3,000			3,010
FirstEnergy Corp.
6.450% due 11/15/2011		2,500			2,584
Florida Power Corp.
5.279% due 11/14/2008		14,205			14,189
Homer City Funding LLC
8.734% due 10/01/2026		4,079			4,466
IPALCO Enterprises, Inc.
8.375% due 11/14/2008		14,140			14,458
8.625% due 11/14/2011		1,100			1,155
Majapahit Holding BV
7.250% due 10/17/2011		2,100			2,110
Midwest Generation LLC
8.300% due 07/02/2009		3,124			3,171
Mobile Telesystems Finance S.A.
9.750% due 01/30/2008		6,500			6,501
Ohio Power Co.
5.424% due 04/05/2010		2,000			1,984
Petroleum Co. of Trinidad & Tobago Ltd.
6.000% due 05/08/2022		5,500			5,492
Progress Energy, Inc.
7.100% due 03/01/2011		1,585			1,688
PSEG Energy Holdings LLC
8.500% due 06/15/2011		3,000			3,141
8.625% due 02/15/2008		8,824			8,885
10.000% due 10/01/2009		3,000			3,177
Qwest Capital Funding, Inc.
6.375% due 07/15/2008		6,520			6,520
7.000% due 08/03/2009		10,000			10,025
Qwest Corp.
5.625% due 11/15/2008		7,000			7,000
7.500% due 06/15/2023		1,500			1,444
8.241% due 06/15/2013		1,500			1,538
8.875% due 03/15/2012		2,000			2,150
Ras Laffan Liquefied Natural Gas Co. Ltd.
3.437% due 09/15/2009		776			775
Rural Cellular Corp.
9.875% due 02/01/2010		13,613			14,192
Sierra Pacific Power Co.
6.000% due 05/15/2016		1,800			1,793
Southern California Edison Co.
7.625% due 01/15/2010		2,500			2,655
Telefonos de Mexico SAB de C.V.
4.500% due 11/19/2008		15,000			14,964
5.500% due 01/27/2015		850			839
Verizon Communications, Inc.
5.350% due 02/15/2011		200			205
					219,218
Total Corporate Bonds & Notes (Cost $1,966,444)					1,945,477
U.S. GOVERNMENT AGENCIES 4.2%
Fannie Mae
4.552% due 02/01/2035		493			496
4.925% due 07/25/2037		4,491			4,323
5.000% due 07/25/2019		1,516			1,514
5.005% due 04/25/2035		80			80
5.215% due 09/25/2042		3,921			3,883
5.500% due 07/01/2033 - 01/01/2038		121,230			121,106
5.525% due 10/25/2023		7,461			7,539
6.063% due 06/01/2043		2,734			2,733
Freddie Mac
4.000% due 04/15/2022 - 12/15/2024		1,892			1,881
4.500% due 07/15/2018		2,401			2,397
5.000% due 06/15/2016 - 09/15/2024		3,358			3,369
5.500% due 03/15/2017		5,336			5,421
6.063% due 10/25/2044		6,070			6,084
Ginnie Mae
5.328% due 12/16/2026		266			267
5.500% due 02/15/2036 - 06/15/2037		3,148			3,172
Total U.S. Government Agencies (Cost $161,632)					164,265
U.S. TREASURY OBLIGATIONS 0.0%
Treasury Inflation Protected Securities (d)
2.000% due 04/15/2012		47			48
Total U.S. Treasury Obligations (Cost $46)					48
MORTGAGE-BACKED SECURITIES 8.4%
Adjustable Rate Mortgage Trust
5.005% due 01/25/2035		17,214			17,235
American Home Mortgage Investment Trust
5.015% due 09/25/2035		276			276
Arran Residential Mortgages Funding PLC
5.252% due 04/12/2036		1,058			1,057
Banc of America Mortgage Securities, Inc.
5.660% due 07/25/2034		1,313			1,320
Bear Stearns Adjustable Rate Mortgage Trust
4.125% due 03/25/2035		17,911			17,748
Bear Stearns Alt-A Trust
5.025% due 02/25/2034		2,812			2,672
5.527% due 09/25/2035		6,899			6,798
Bear Stearns Commercial Mortgage Securities
3.688% due 11/11/2041		549			545
Bear Stearns Structured Products, Inc.
4.989% due 01/25/2037		14,518			14,369
5.684% due 01/26/2036		7,758			7,689
5.787% due 12/26/2046		2,492			2,462
CC Mortgage Funding Corp.
4.995% due 05/25/2048		4,602			4,160
Citigroup Mortgage Loan Trust, Inc.
4.098% due 08/25/2035		2,473			2,415
4.248% due 08/25/2035		14,837			14,548
4.679% due 08/25/2035		1,954			1,930
Commercial Mortgage Pass-Through Certificates
5.128% due 04/15/2017		1,456			1,449
Countrywide Alternative Loan Trust
4.935% due 10/25/2046		27			27
5.025% due 02/25/2047		1,555			1,459
5.045% due 05/25/2047		4,502			4,251
5.129% due 02/20/2047		1,560			1,473
5.788% due 02/25/2036		1,002			963
Countrywide Home Loan Mortgage Pass-Through Trust
4.728% due 02/25/2034		3,697			3,597
4.854% due 04/20/2035		6,505			6,493
5.095% due 05/25/2035		381			350
CS First Boston Mortgage Securities Corp.
4.250% due 06/25/2033		2,610			2,598
4.666% due 03/15/2036		12,000			11,945
5.758% due 03/25/2032		61			59
Deutsche ALT-A Securities, Inc. Alternate Loan Trust
4.935% due 01/25/2047		1,552			1,521
4.945% due 02/25/2037		2,054			2,015
4.945% due 03/25/2037		2,357			2,335
First Horizon Asset Securities, Inc.
4.737% due 07/25/2033		1,005			1,000
GMAC Commercial Mortgage Securities, Inc.
5.713% due 10/15/2038		18,000			18,607
Greenpoint Mortgage Funding Trust
4.945% due 10/25/2046		4,200			4,114
Greenpoint Mortgage Pass-Through Certificates
4.381% due 10/25/2033		1,933			1,917
GS Mortgage Securities Corp. II
5.352% due 06/06/2020		252			252
Harborview Mortgage Loan Trust
4.995% due 04/19/2038		2,563			2,400
5.055% due 01/19/2038		1,193			1,179
5.155% due 01/19/2038		27,390			25,698
5.205% due 03/19/2037		7,364			6,920
Impac Secured Assets CMN Owner Trust
4.945% due 01/25/2037		2,068			2,029
Indymac Index Mortgage Loan Trust
4.955% due 11/25/2046		2,409			2,350
4.965% due 01/25/2037		1,029			1,020
LB-UBS Commercial Mortgage Trust
4.904% due 06/15/2026		1,354			1,352
Lehman Brothers Floating Rate Commercial Mortgage Trust
5.108% due 09/15/2021		2,281			2,277
MASTR Adjustable Rate Mortgages Trust
4.975% due 05/25/2047		876			870
Merrill Lynch Mortgage Investors, Inc.
5.075% due 02/25/2036		5,217			5,024
MLCC Mortgage Investors, Inc.
4.250% due 10/25/2035		7,614			7,345
Morgan Stanley Capital I
5.088% due 10/15/2020		8,717			8,523
Provident Funding Mortgage Loan Trust
3.799% due 08/25/2033		1,592			1,590
Residential Accredit Loans, Inc.
5.165% due 08/25/2035		464			438
6.148% due 09/25/2045		1,473			1,431
Residential Funding Mortgage Securities I, Inc.
5.216% due 09/25/2035		1,675			1,651
Sequoia Mortgage Trust
5.299% due 07/20/2033		564			550
Structured Adjustable Rate Mortgage Loan Trust
5.357% due 01/25/2035		1,688			1,678
Structured Asset Mortgage Investments, Inc.
4.965% due 09/25/2047		1,516			1,504
4.995% due 03/25/2037		2,097			1,995
5.085% due 05/25/2036		4,185			3,948
5.295% due 10/19/2034		659			647
5.315% due 03/19/2034		108			105
Structured Asset Securities Corp.
4.080% due 06/25/2033		2,507			2,493
5.331% due 10/25/2035		822			814
TBW Mortgage-Backed Pass-Through Certificates
4.965% due 09/25/2036		571			564
4.975% due 01/25/2037		3,597			3,523
Thornburg Mortgage Securities Trust
4.883% due 03/25/2037		7,039			6,862
4.889% due 03/25/2037		10,976			10,857
4.975% due 11/25/2046		9,619			9,402
4.985% due 09/25/2046		2,504			2,449
Wachovia Bank Commercial Mortgage Trust
5.118% due 09/15/2021		25,370			24,988
Washington Mutual, Inc.
4.208% due 06/25/2033		1,363			1,355
4.229% due 03/25/2034		778			770
4.551% due 03/25/2033		7,925			7,778
4.585% due 04/25/2035		3,625			3,595
5.175% due 01/25/2045		253			240
5.518% due 01/25/2047		1,728			1,626
5.598% due 12/25/2046		927			873
5.788% due 02/25/2046		3,075			2,993
5.988% due 11/25/2042		649			629
Wells Fargo Mortgage-Backed Securities Trust
4.596% due 12/25/2033		2,100			1,996
4.998% due 12/25/2034		1,326			1,307
Total Mortgage-Backed Securities (Cost $333,051)					329,287
ASSET-BACKED SECURITIES 8.1%
Accredited Mortgage Loan Trust
4.915% due 02/25/2037		2,102			1,976
ACE Securities Corp.
4.945% due 02/25/2036		104			104
4.955% due 06/25/2037		2,395			2,340
Argent Securities, Inc.
4.905% due 06/25/2036		313			312
4.915% due 09/25/2036		488			481
4.915% due 10/25/2036		1,908			1,873
4.935% due 04/25/2036		224			224
Asset-Backed Funding Certificates
4.905% due 09/25/2036		618			609
4.925% due 10/25/2036		389			385
5.215% due 06/25/2034		3,140			3,026
Asset-Backed Securities Corp. Home Equity
4.915% due 12/25/2036		2,205			2,161
4.945% due 05/25/2037		1,663			1,600
6.678% due 03/15/2032		2,165			2,103
Atrium CDO Corp.
5.441% due 06/27/2015		2,478			2,459
Bank One Issuance Trust
3.940% due 04/16/2012		300			299
5.138% due 12/15/2010		14,125			14,130
Bear Stearns Asset-Backed Securities Trust
4.935% due 12/25/2036		1,447			1,418
4.945% due 10/25/2036		1,368			1,352
5.865% due 10/25/2037		7,342			7,060
Carrington Mortgage Loan Trust
4.915% due 10/25/2036		2,262			2,229
4.915% due 01/25/2037		1,698			1,661
4.930% due 07/25/2036		273			271
4.965% due 06/25/2037		7,179			7,017
5.103% due 10/25/2035		1,818			1,687
5.115% due 06/25/2035		4,806			4,782
Chase Issuance Trust
5.038% due 02/15/2011		33,675			33,629
Citibank Credit Card Issuance Trust
5.045% due 02/07/2010		2,980			2,981
5.440% due 11/07/2011		300			300
Citibank Credit Card Master Trust I
5.875% due 03/10/2011		300			306
6.050% due 01/15/2010		3,000			3,002
Citigroup Mortgage Loan Trust, Inc.
4.905% due 08/25/2036		1,069			1,059
4.905% due 12/25/2036		1,859			1,806
4.925% due 01/25/2037		1,150			1,129
4.925% due 05/25/2037		2,625			2,492
4.935% due 01/25/2037		4,135			3,979
4.975% due 08/25/2036		2,000			1,884
4.975% due 03/25/2037		1,730			1,653
Countrywide Asset-Backed Certificates
4.915% due 01/25/2037		1,673			1,652
4.915% due 03/25/2037		1,166			1,138
4.915% due 05/25/2037		4,636			4,548
4.915% due 07/25/2037		3,128			3,029
4.915% due 08/25/2037		924			901
4.915% due 12/25/2046		1,974			1,948
4.915% due 03/25/2047		1,441			1,418
4.925% due 03/25/2037		1,171			1,140
4.925% due 09/25/2046		1,337			1,322
4.935% due 06/25/2036		309			307
4.935% due 07/25/2036		231			230
4.935% due 08/25/2036		178			178
4.935% due 06/25/2037		2,666			2,601
4.945% due 06/25/2037		1,867			1,822
4.945% due 10/25/2037		1,626			1,598
4.975% due 10/25/2046		2,783			2,723
5.055% due 06/25/2036		2,200			2,121
Credit-Based Asset Servicing & Securitization LLC
4.925% due 11/25/2036		2,005			1,936
4.955% due 12/25/2037		1,472			1,436
CSAB Mortgage-Backed Trust
4.965% due 06/25/2036		463			459
First Franklin Mortgage Loan Asset-Backed Certificates
4.895% due 07/25/2036		1,957			1,933
4.905% due 09/25/2036		1,832			1,767
4.905% due 01/25/2038		2,852			2,759
4.935% due 12/25/2037		2,226			2,175
Fremont Home Loan Trust
4.925% due 01/25/2037		2,272			2,215
4.935% due 02/25/2037		419			411
GE-WMC Mortgage Securities LLC
4.905% due 08/25/2036		1,172			1,130
GSAA Trust
4.975% due 06/25/2035		446			445
GSAMP Trust
4.905% due 10/25/2046		562			550
4.935% due 12/25/2036		751			731
4.965% due 01/25/2047		2,656			2,554
HFC Home Equity Loan Asset-Backed Certificates
5.019% due 03/20/2036		1,023			1,008
5.749% due 11/20/2036		3,906			3,889
Home Equity Asset Trust
4.925% due 05/25/2037		1,565			1,503
HSBC Asset Loan Obligation
4.925% due 12/25/2036		1,936			1,858
HSI Asset Securitization Corp. Trust
4.915% due 12/25/2036		1,443			1,409
4.945% due 12/25/2035		309			306
Indymac Residential Asset-Backed Trust
4.925% due 04/25/2037		2,888			2,827
4.995% due 04/25/2037		2,180			2,091
JPMorgan Mortgage Acquisition Corp.
4.905% due 08/25/2036		510			502
4.915% due 08/25/2036		595			585
4.975% due 08/25/2036		800			736
Lehman XS Trust
4.935% due 05/25/2046		1,520			1,508
4.945% due 08/25/2046		1,754			1,742
4.985% due 11/25/2036		933			933
Long Beach Mortgage Loan Trust
4.905% due 07/25/2036		758			744
4.955% due 01/25/2046		99			99
5.045% due 08/25/2035		178			175
5.145% due 10/25/2034		288			277
MASTR Asset-Backed Securities Trust
4.915% due 01/25/2037		1,123			1,087
4.925% due 11/25/2036		2,939			2,862
4.945% due 05/25/2037		2,415			2,367
5.015% due 11/25/2035		347			347
MBNA Credit Card Master Note Trust
5.158% due 02/15/2011		8,875			8,877
Merrill Lynch First Franklin Mortgage Loan Trust
5.565% due 10/25/2037		1,622			1,616
Merrill Lynch Mortgage Investors, Inc.
4.925% due 04/25/2037		561			556
4.935% due 02/25/2037		445			442
4.945% due 09/25/2037		3,468			3,399
Morgan Stanley ABS Capital I
4.905% due 07/25/2036		1,700			1,671
4.905% due 10/25/2036		512			505
4.905% due 01/25/2037		2,878			2,815
4.915% due 10/25/2036		2,763			2,641
4.915% due 11/25/2036		4,161			4,023
4.925% due 05/25/2037		2,836			2,737
4.935% due 02/25/2036		185			184
4.985% due 02/25/2036		3,300			3,245
Nationstar Home Equity Loan Trust
4.925% due 03/25/2037		2,074			2,035
4.925% due 06/25/2037		3,187			3,101
4.935% due 09/25/2036		884			875
Nelnet Student Loan Trust
4.934% due 06/22/2017		2,000			2,003
5.182% due 09/25/2012		207			207
New Century Home Equity Loan Trust
5.045% due 05/25/2036		1,300			1,253
Option One Mortgage Loan Trust
4.915% due 01/25/2037		1,401			1,379
4.925% due 07/25/2037		2,521			2,481
Popular ABS Mortgage Pass-Through Trust
4.955% due 06/25/2047		2,703			2,623
Quest Trust
4.985% due 08/25/2036		9,102			8,849
Residential Asset Mortgage Products, Inc.
4.935% due 02/25/2037		1,871			1,832
4.945% due 07/25/2036		813			799
4.965% due 08/25/2046		1,629			1,600
Residential Asset Securities Corp.
4.905% due 08/25/2036		1,133			1,119
4.925% due 01/25/2037		1,743			1,686
4.935% due 07/25/2036		940			933
4.935% due 11/25/2036		2,693			2,632
4.935% due 02/25/2037		1,561			1,529
4.975% due 04/25/2037		2,566			2,513
SACO I, Inc.
5.115% due 12/25/2035		2,057			1,990
Saxon Asset Securities Trust
4.925% due 10/25/2046		1,283			1,266
Securitized Asset-Backed Receivables LLC Trust
4.905% due 01/25/2037		2,980			2,888
4.945% due 11/25/2036		2,291			2,230
SLM Student Loan Trust
3.800% due 12/15/2038		4,300			4,215
5.054% due 04/25/2012		434			434
5.074% due 10/25/2018		1,808			1,791
5.084% due 01/25/2016		496			497
5.234% due 01/25/2017		684			684
Soundview Home Equity Loan Trust
4.905% due 11/25/2036		1,108			1,101
4.915% due 10/25/2036		1,002			983
4.925% due 12/25/2036		784			774
5.665% due 10/25/2037		5,391			5,307
Specialty Underwriting & Residential Finance
4.925% due 02/25/2037		266			265
4.925% due 01/25/2038		3,445			3,355
5.205% due 01/25/2034		17			17
Structured Asset Securities Corp.
4.915% due 10/25/2036		1,213			1,192
4.945% due 01/25/2037		1,385			1,338
4.995% due 12/25/2035		92			92
Washington Mutual Asset-Backed Certificates
4.915% due 01/25/2037		1,513			1,450
4.925% due 10/25/2036		1,586			1,530
Wells Fargo Home Equity Trust
4.915% due 01/25/2037		1,903			1,869
4.965% due 03/25/2037		1,615			1,582
5.135% due 11/25/2035		13,391			12,570
Total Asset-Backed Securities (Cost $321,472)					315,391
SOVEREIGN ISSUES 6.7%
Argentina Bonos
5.389% due 08/03/2012		92,500			52,378
Banco Nacional de Desenvolvimento Economico e Social
5.330% due 06/16/2008		40,977			40,834
Chile Government International Bond
5.411% due 01/28/2008		13,381			13,382
Korea Development Bank
5.295% due 11/22/2012		7,500			7,473
5.580% due 10/20/2009		23,950			23,977
Pakistan Government International Bond
7.125% due 03/31/2016		2,650			2,250
Republic of Korea
4.875% due 09/22/2014		2,000			2,012
Socialist Republic of Vietnam
6.875% due 01/15/2016		6,000			6,369
South Africa Government International Bond
5.875% due 05/30/2022		3,240			3,304
Ukraine Government International Bond
6.875% due 03/04/2011		250			256
8.693% due 08/05/2009		48,350			49,804
Venezuela Government International Bond
5.375% due 08/07/2010		2,500			2,356
6.180% due 04/20/2011		62,300			56,601
Total Sovereign Issues (Cost $267,839)					260,996
FOREIGN CURRENCY-DENOMINATED ISSUES 7.1%
Amadeus Global Travel Distribution S.A.
6.862% due 04/08/2014	EUR	2,000			2,787
6.959% due 04/08/2013		2,000			2,774
Atlas Reinsurance PLC
8.786% due 01/10/2010		3,100			4,600
Bombardier, Inc.
7.700% due 11/15/2013		3,250			4,746
Brazil Notas do Tesouro Nacional Series F
10.000% due 01/01/2017	BRL	32,420			15,275
Brazilian Government International Bond
12.500% due 01/05/2022		9,000			5,663
Brazilian Government International CPI Linked Bond
6.000% due 08/15/2024		28,300			24,637
6.000% due 05/15/2045		10,000			8,754
10.000% due 01/01/2012		77,790			39,837
Eircom Group PLC
6.625% due 08/15/2014	EUR	2,750			3,863
6.875% due 08/15/2015		2,750			3,883
Gaz Capital for Gazprom
5.440% due 11/02/2017		2,400			3,115
5.875% due 06/01/2015		15,000			20,639
7.800% due 09/27/2010		3,000			4,554
Green Valley Ltd.
8.376% due 01/10/2011		1,900			2,783
JSG Holding PLC
6.308% due 11/29/2013		2,000			2,805
6.558% due 11/29/2014		2,000			2,806
Mizuho Bank Ltd.
1.317% due 11/24/2049	JPY	500,000			4,531
Mizuho Finance Aruba AEC
1.883% due 12/31/2049		600,000			5,459
M-Real OYJ
9.323% due 12/15/2010	EUR	8,000			11,078
Nordic Telephone Co. Holdings ApS
6.675% due 11/30/2013		3,356			4,814
6.925% due 11/30/2014		4,018			5,786
8.250% due 05/01/2016		1,400			2,078
PagesJaunes Groupe
6.677% due 01/11/2014		6,000			8,407
Pylon Ltd.
6.224% due 12/29/2008		4,000			5,843
Rhodia S.A.
7.482% due 10/15/2013		10,000			14,196
Royal Bank of Scotland Group PLC
9.118% due 04/06/2011	GBP	4,000			7,596
Seat Pagine Gialle SpA
4.459% due 05/25/2012	EUR	1,799			2,551
SigmaKalon
7.219% due 09/19/2012		2,000			2,855
8.219% due 09/19/2013		1,221			1,731
Sumitomo Mitsui Banking Corp.
0.970% due 05/25/2011	JPY	700,000			6,272
1.340% due 06/02/2049		700,000			6,251
Telefonos de Mexico SAB de C.V.
8.750% due 01/31/2016	MXN	97,600			8,964
UPC Broadband Holding BV
6.296% due 12/31/2014	EUR	7,742			10,706
Uruguay Government International Bond
3.700% due 06/26/2037	UYU	36,186			1,550
5.000% due 09/14/2018 (d)		50,134			2,519
6.875% due 01/19/2016	EUR	6,500			9,857
Total Foreign Currency-Denominated Issues (Cost $260,173)					276,565
		Shares
PREFERRED STOCKS 0.2%
Fresenius Medical Care Capital Trust II
7.875% due 02/01/2008		6,110			6,125
Total Preferred Stocks (Cost $6,249)					6,125
EXCHANGE-TRADED FUNDS 0.1%
Western Asset 2008 Worldwide Dollar
Government Term Trust, Inc.		297,200			2,984
Total Exchange-Traded Funds (Cost $3,236)					2,984
		Principal Amount (000s)
SHORT-TERM INSTRUMENTS 10.6%
Commercial Paper 5.7%
Citibank N.A.
5.940% due 02/01/2008	$	15,000			14,926
Fannie Mae
3.808% due 01/15/2008		5,000			4,993
4.270% due 01/11/2008		54,000			53,942
4.284% due 02/21/2008		5,600			5,568
4.350% due 03/19/2008		3,600			3,569
4.364% due 03/26/2008		1,400			1,387
4.364% due 01/25/2008		7,700			7,681
4.365% due 01/23/2008		100,305			100,077
Federal Home Loan Bank
4.330% due 01/11/2008		1,600			1,598
4.335% due 01/18/2008		12,400			12,377
4.359% due 01/04/2008		2,300			2,300
4.372% due 02/01/2008		5,800			5,780
Freddie Mac
4.210% due 02/04/2008		5,600			5,578
4.337% due 03/03/2008		1,200			1,192
4.340% due 01/22/2008		4,000			3,966
					224,934
Repurchase Agreements 2.5%
Fixed Income Clearing Corp.
1.750% due 01/02/2008		56,400			56,400
(Dated 12/31/2007. Collateralized by Federal Home Loan Bank 3.900% due 12/30/2008 valued at $57,531. Repurchase proceeds are $56,405.)
3.900% due 01/02/2008		1,432			1,432
(Dated 12/31/2007. Collateralized by Fannie Mae 3.250% due 01/15/2008 valued at $1,464. Repurchase proceeds are $1,432.)
State Street Bank and Trust Co.
6.000% due 01/25/2008		41,000			41,000
(Dated 12/31/2007. Collateralized by Citigroup/Deutscge Bank CMT 5.398% due 12/11/2049 valued at $41,195. Repurchase proceeds are $41,014.)
					98,832
U.S. Treasury Bills 2.4%
2.949% due 02/28/2008 - 03/13/2008 (c)(e)(g)		93,550			92,785
Total Short-Term Instruments (Cost $416,626)					416,551
Purchased Options (i) 2.2% (Cost $24,438)					86,877
Total Investments 102.8% (Cost $3,990,618)				$	4,025,887
Written Options (j) (1.9%) (Premiums $24,551)					(73,312	)
Other Assets and Liabilities (Net) (0.9%)					(34,942	)
Net Assets (f) 100.0%				$	3,917,633

Notes to Schedule of Investments (amounts in thousands*, except number of contracts):

* A zero balance may reflect actual amounts rounding to less than one thousand.

(a) Security is in default.

(b) Payment in-kind bond security.

(c) Coupon represents a weighted average rate.

(d) Principal amount of security is adjusted for inflation.

(e) Securities with an aggregate market value of $88,507 have been pledged as collateral for swap and swaption contracts on December 31, 2007.

(f) As of December 31, 2007, portfolio securities with an aggregate value of $67,981 and derivative instruments with an aggregate depreciation of ($1,361) were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(g) Securities with an aggregate market value of $1,790 and cash of $19,385 have been segregated with the custodian to cover margin requirements for the following open futures contracts on December 31, 2007:

Description	Type	Expiration Month	# of Contracts		Unrealized Appreciation/ (Depreciation)
90-Day Euribor March Futures	Long	03/2009	703	$	(59	)
90-Day Eurodollar June Futures	Long	06/2009	398		741
Euro-Bund 10-Year Bond March Futures	Long	03/2008	636		(2,169	)
Euro-Bund March Futures Put Options Strike @ EUR 105.500	Long	03/2008	636		0
U.S. Treasury 2-Year Note March Futures	Short	03/2008	284		(298	)
U.S. Treasury 10-Year Note March Futures	Long	03/2008	1,392		619
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2008	1,897		3,316
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures Put Options Strike @ GBP 91.750	Long	12/2008	750		(10	)
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2008	445		286
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2009	700		1,103
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2009	890		1,848
				$	5,377

(h) Swap agreements outstanding on December 31, 2007:

Credit Default Swaps on Securities

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
Goldman Sachs & Co.	Codere Finance S.A. 8.250% due 06/15/2015	Sell	3.920	%	12/20/2012	EUR	3,100	$	(14	)
JPMorgan Chase & Co.	Codere Finance S.A. 8.250% due 06/15/2015	Sell	4.150	%	12/20/2012		4,500		44
UBS Warburg LLC	France Telecom S.A. 7.250% due 01/28/2013	Sell	0.330	%	09/20/2011		5,300		(11	)
UBS Warburg LLC	Telecom Italia Finance S.A. 6.250% due 02/01/2012	Sell	0.520	%	09/20/2011		5,300		(6	)
Wachovia Bank N.A.	France Telecom S.A. 7.250% due 01/28/2013	Sell	0.325	%	09/20/2011		5,700		(13	)
Wachovia Bank N.A.	Telecom Italia Finance S.A. 6.250% due 02/01/2012	Sell	0.525	%	09/20/2011		5,700		(5	)
ABN AMRO Bank, N. V.	Russia Government International Bond 7.500% due 03/31/2030	Sell	2.360	%	08/24/2009	$	100		4
Bank of America	Allied Waste North America, Inc. 6.500% due 11/15/2010	Sell	2.750	%	09/20/2009		400		6
Bank of America	Community Health Systems, Inc. 8.875% due 07/15/2015	Sell	3.800	%	09/20/2012		4,200		(32	)
Bank of America	Freeport-McMoRan Copper & Gold, Inc. 8.375% due 04/01/2017	Sell	0.910	%	06/20/2012		3,200		(52	)
Bank of America	General Motors Corp. 7.125% due 07/15/2013	Sell	4.950	%	12/20/2011		8,075		(388	)
Bank of America	SLM Corp. 5.125% due 08/27/2012	Sell	0.820	%	06/20/2012		9,200		(754	)
Bank of America	Williams Cos., Inc. 7.125% due 09/01/2011	Sell	2.050	%	09/20/2009		125		4
Barclays Bank PLC	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.360	%	08/20/2011		1,800		43
Barclays Bank PLC	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.370	%	08/20/2011		4,800		116
Barclays Bank PLC	Celestica, Inc. 7.875% due 07/01/2011	Sell	2.850	%	09/20/2011		3,200		(158	)
Barclays Bank PLC	HCP, Inc. 6.000% due 01/30/2017	Buy	(1.100	%)	03/20/2017		5,000		138
Barclays Bank PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	2.320	%	12/20/2016		7,500		173
Barclays Bank PLC	Multiple Reference Entities of Gazprom	Sell	0.830	%	06/20/2017		75		(6	)
Barclays Bank PLC	Multiple Reference Entities of Gazprom	Sell	1.310	%	08/20/2017		25,000		(973	)
Barclays Bank PLC	Petroleos Mexicanos 9.500% due 09/15/2027	Sell	0.880	%	04/20/2011		18,500		170
Barclays Bank PLC	Petroleos Mexicanos 9.500% due 09/15/2027	Sell	0.690	%	08/20/2011		25,000		77
Barclays Bank PLC	Phillipines Government International Bond 10.625% due 03/16/2025	Sell	1.920	%	09/20/2012		2,500		44
Barclays Bank PLC	Phillipines Government International Bond 10.625% due 03/16/2025	Sell	2.510	%	09/20/2017		1,500		48
Barclays Bank PLC	Phillipines Government International Bond 10.625% due 03/16/2025	Sell	2.530	%	09/20/2017		1,500		50
Barclays Bank PLC	Qwest Capital Funding, Inc. 7.250% due 02/15/2011	Sell	1.470	%	03/20/2012		2,000		(114	)
Barclays Bank PLC	Qwest Capital Funding, Inc. 7.250% due 02/15/2011	Sell	1.500	%	03/20/2012		3,000		(168	)
Barclays Bank PLC	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.760	%	02/20/2009		20,000		(161	)
Barclays Bank PLC	Russia Government International Bond 7.500% due 03/31/2030	Sell	1.650	%	07/20/2011		4,800		(8	)
Barclays Bank PLC	Vnesheconom 0.000% due 07/12/2009	Sell	0.650	%	11/20/2008		7,700		(42	)
Bear Stearns & Co., Inc.	Dynegy Holdings, Inc. 9.875% due 07/15/2010	Sell	2.350	%	12/20/2009		1,500		(3	)
Bear Stearns & Co., Inc.	El Paso Corp. 7.875% due 06/15/2012	Sell	1.780	%	09/20/2011		10,000		44
Bear Stearns & Co., Inc.	Georgia-Pacific LLC 8.125% due 05/15/2011	Sell	1.240	%	09/20/2009		300		(3	)
Bear Stearns & Co., Inc.	GMAC LLC 6.875% due 08/28/2012	Sell	3.250	%	12/20/2012		10,000		(1,097	)
Bear Stearns & Co., Inc.	Host Hotels & Resorts LP 7.125% due 11/01/2013	Sell	1.950	%	09/20/2009		300		3
Bear Stearns & Co., Inc.	Smurfit-Stone Container Enterprises, Inc. 9.750% due 02/01/2011	Sell	1.760	%	12/20/2009		1,500		(13	)
Bear Stearns & Co., Inc.	Wells Fargo & Co. 6.250% due 04/15/2008	Sell	0.160	%	06/20/2011		10,000		(125	)
BNP Paribas Bank	Wachovia Corp. 5.625% due 12/15/2008	Sell	0.160	%	06/20/2011		14,700		(402	)
Citibank N.A.	Ford Motor Co. 7.450% due 07/16/2031	Sell	4.700	%	03/20/2012		5,000		(426	)
Citibank N.A.	General Motors Corp. 7.125% due 07/15/2013	Sell	3.320	%	03/20/2012		25,000		(2,631	)
Citibank N.A.	GMAC LLC 6.875% due 08/28/2012	Sell	1.180	%	12/20/2011		16,300		(2,526	)
Citibank N.A.	GMAC LLC 6.875% due 08/28/2012	Sell	0.940	%	03/20/2012		18,000		(2,932	)
Citibank N.A.	GMAC LLC 6.875% due 08/28/2012	Sell	1.650	%	09/20/2012		4,750		(712	)
Credit Suisse USA, Inc.	AES Corp. 9.500% due 06/01/2009	Sell	3.850	%	09/20/2009		250		7
Credit Suisse USA, Inc.	Allied Waste North America, Inc. 6.125% due 02/15/2014	Sell	2.460	%	09/20/2009		125		1
Credit Suisse USA, Inc.	AT&T Corp. 9.050% due 11/15/2011	Sell	1.300	%	12/20/2009		1,000		22
Credit Suisse USA, Inc.	Chesapeake Energy Corp. 6.875% due 01/15/2016	Sell	1.000	%	06/20/2012		15,000		(468	)
Credit Suisse USA, Inc.	Delhaize America, Inc. 8.125% due 04/15/2011	Sell	1.400	%	09/20/2009		125		2
Credit Suisse USA, Inc.	Edison Mission Energy 7.730% due 06/15/2009	Sell	1.800	%	09/20/2011		10,000		(148	)
Credit Suisse USA, Inc.	Forest Oil Corp. 7.750% due 05/01/2014	Sell	2.100	%	09/20/2012		2,000		(11	)
Credit Suisse USA, Inc.	HCA, Inc. 9.125% due 11/15/2014	Sell	1.700	%	03/20/2012		10,000		(469	)
Credit Suisse USA, Inc.	Multiple Reference Entities of Gazprom	Sell	1.000	%	11/20/2008		11,000		(14	)
Credit Suisse USA, Inc.	Qwest Capital Funding, Inc. 7.250% due 02/15/2011	Sell	2.200	%	09/20/2011		15,000		(302	)
Credit Suisse USA, Inc.	Reynolds American, Inc. 7.625% due 06/01/2016	Sell	0.770	%	06/20/2012		10,000		91
Credit Suisse USA, Inc.	Select Aggregate Market Index (SAMI)	Sell	2.450	%	09/20/2008		300		6
Credit Suisse USA, Inc.	Select Aggregate Market Index (SAMI)	Sell	2.150	%	12/20/2009		270		4
Credit Suisse USA, Inc.	TECO Energy, Inc. 7.200% due 05/01/2011	Sell	2.050	%	09/20/2009		100		3
Deutsche Bank AG	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.340	%	08/20/2011		9,900		228
Deutsche Bank AG	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.710	%	11/20/2016		25,000		778
Deutsche Bank AG	CEMEX SAB de C.V. 9.625% due 10/01/2009	Sell	0.620	%	06/20/2012		6,700		(190	)
Deutsche Bank AG	El Paso Corp. 7.875% due 06/15/2012	Sell	1.820	%	09/20/2011		5,000		29
Deutsche Bank AG	Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	4.130	%	09/20/2011		25,000		(1,700	)
Deutsche Bank AG	General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.125	%	09/20/2011		1,000		(17	)
Deutsche Bank AG	Multiple Reference Entities of Gazprom	Sell	0.850	%	11/20/2011		25,000		(640	)
Deutsche Bank AG	NAK Naftogaz Ukrainy 8.125% due 09/30/2009	Sell	4.200	%	05/20/2009		10,000		(614	)
Deutsche Bank AG	Petroleos Mexicanos 9.500% due 09/15/2027	Sell	0.760	%	07/20/2011		1,000		7
Deutsche Bank AG	Phillipines Government International Bond 10.625% due 03/16/2025	Sell	2.050	%	09/20/2012		3,700		85
Deutsche Bank AG	Phillipines Government International Bond 10.625% due 03/16/2025	Sell	2.500	%	09/20/2017		3,000		95
Deutsche Bank AG	Uruguay Government International Bond 7.875% due 01/15/2033	Sell	1.050	%	01/20/2012		34,000		(278	)
Goldman Sachs & Co.	American International Group, Inc. 4.250% due 05/15/2013	Sell	0.095	%	09/20/2011		800		(15	)
Goldman Sachs & Co.	Host Hotels & Resorts LP 7.125% due 11/01/2013	Sell	1.770	%	12/20/2010		1,700		(8	)
Goldman Sachs & Co.	Kohl’s Corp. 6.250% due 12/15/2007	Buy	(0.720	%)	12/20/2017		5,000		127
Goldman Sachs & Co.	Ltd. Brands, Inc. 6.900% due 07/15/2017	Buy	(1.355	%)	09/20/2017		5,000		332
Goldman Sachs & Co.	Pride International, Inc. 7.375% due 07/15/2014	Sell	2.000	%	09/20/2012		2,000		13
Goldman Sachs & Co.	Qwest Capital Funding, Inc. 7.250% due 02/15/2011	Sell	2.200	%	09/20/2011		10,000		(201	)
Goldman Sachs & Co.	RSHB Capital S.A. for OJSC Russian Agricultural Bank 7.175% due 05/16/2013	Sell	0.700	%	06/20/2012		6,700		(364	)
Goldman Sachs & Co.	TECO Energy, Inc. 7.000% due 05/01/2012	Sell	1.690	%	09/20/2009		300		7
Goldman Sachs & Co.	TRW Automotive, Inc. 9.375% due 02/15/2013	Sell	2.150	%	09/20/2009		250		(1	)
HSBC Bank USA	Multiple Reference Entities of Gazprom	Sell	0.970	%	11/20/2008		12,900		(18	)
HSBC Bank USA	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.730	%	04/20/2009		7,500		(38	)
JPMorgan Chase & Co.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.420	%	04/20/2011		12,000		282
JPMorgan Chase & Co.	CEMEX SAB de C.V. 9.625% due 10/01/2009	Sell	1.050	%	12/20/2016		2,900		(142	)
JPMorgan Chase & Co.	Multiple Reference Entities of Gazprom	Sell	0.890	%	11/20/2011		5,000		(121	)
JPMorgan Chase & Co.	Stone Container Finance 7.375% due 07/15/2014	Sell	2.300	%	12/20/2009		300		0
Lehman Brothers, Inc.	ARAMARK Corp. 8.500 due 02/01/2015	Sell	3.900	%	09/20/2012		3,000		(11	)
Lehman Brothers, Inc.	Bank of America Corp. 7.400% due 01/15/2011	Sell	0.170	%	06/20/2011		4,600		(43	)
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.510	%	08/20/2016		4,500		96
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.720	%	11/20/2016		20,000		637
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.730	%	11/20/2016		50,000		1,628
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.550	%	01/20/2017		10,000		247
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.060	%	05/20/2017		1,000		(18	)
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.780	%	08/20/2017		40,000		1,645
Lehman Brothers, Inc.	Chesapeake Energy Corp. 6.875% due 01/15/2016	Sell	1.070	%	03/20/2012		5,000		(125	)
Lehman Brothers, Inc.	Citigroup, Inc. 7.250% due 10/01/2010	Sell	0.170	%	06/20/2011		4,700		(77	)
Lehman Brothers, Inc.	Colombia Government International Bond 10.375% due 01/28/2033	Sell	1.860	%	11/20/2016		10,000		164
Lehman Brothers, Inc.	Duke Energy Carolinas LLC 6.250% due 01/15/2012	Sell	0.290	%	09/20/2011		10,000		(3	)
Lehman Brothers, Inc.	General Motors Corp. 7.125% due 07/15/2013	Sell	4.850	%	12/20/2011		9,750		(498	)
Lehman Brothers, Inc.	Georgia-Pacific LLC 8.125% due 05/15/2011	Sell	2.420	%	09/20/2011		10,000		(150	)
Lehman Brothers, Inc.	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.390	%	12/20/2011		25,000		36
Lehman Brothers, Inc.	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.520	%	12/20/2011		8,000		50
Lehman Brothers, Inc.	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.840	%	12/20/2016		10,000		(100	)
Lehman Brothers, Inc.	JPMorgan Chase & Co. 6.750% due 02/01/2011	Sell	0.220	%	06/20/2011		4,900		(52	)
Lehman Brothers, Inc.	L-3 Communications Corp. 7.625% due 06/15/2012	Sell	2.600	%	09/20/2012		2,500		146
Lehman Brothers, Inc.	Mexico Government International Bond 7.500% due 04/08/2033	Sell	0.750	%	04/20/2011		7,900		60
Lehman Brothers, Inc.	MGM Mirage 5.875% due 02/27/2014	Sell	1.580	%	06/20/2012		10,000		(454	)
Lehman Brothers, Inc.	Multiple Reference Entities of Gazprom	Sell	1.200	%	11/20/2016		10,000		(461	)
Lehman Brothers, Inc.	Multiple Reference Entities of Gazprom	Sell	1.250	%	12/20/2016		25,000		(1,105	)
Lehman Brothers, Inc.	Nalco Co. 7.750% due 11/15/2011	Sell	2.850	%	12/20/2012		1,950		(106	)
Lehman Brothers, Inc.	Panama Government International Bond 8.875% due 09/30/2027	Sell	1.400	%	11/20/2016		10,000		(59	)
Lehman Brothers, Inc.	Panama Government International Bond 8.875% due 09/30/2027	Sell	1.530	%	08/20/2017		20,000		96
Lehman Brothers, Inc.	Pemex Project Funding Master Trust 9.500% due 09/15/2027	Sell	0.580	%	05/20/2017		1,500		(43	)
Lehman Brothers, Inc.	Peru Government International Bond 8.750% due 11/21/2033	Sell	1.600	%	11/20/2016		10,000		139
Lehman Brothers, Inc.	Qwest Capital Funding, Inc. 7.250% due 02/15/2011	Sell	1.500	%	03/20/2012		2,100		(118	)
Lehman Brothers, Inc.	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.620	%	01/20/2017		11,000		(287	)
Lehman Brothers, Inc.	Telefonos de Mexico S.A. de C.V. 4.500% due 11/19/2008	Buy	(0.550	%)	04/20/2011		7,900		(6	)
Lehman Brothers, Inc.	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	1.400	%	05/20/2012		5,000		(137	)
Lehman Brothers, Inc.	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	2.340	%	11/20/2016		10,000		(357	)
Merrill Lynch & Co., Inc.	ArvinMeritor, Inc. 8.750% due 03/01/2012	Sell	2.250	%	12/20/2009		500		(19	)
Merrill Lynch & Co., Inc.	Citigroup, Inc. 7.250% due 10/01/2010	Sell	0.160	%	06/20/2011		11,900		(198	)
Merrill Lynch & Co., Inc.	CMS Energy Corp. 6.875% due 12/15/2015	Sell	1.500	%	09/20/2011		10,000		123
Merrill Lynch & Co., Inc.	CMS Energy Corp. 7.500% due 01/15/2009	Sell	1.850	%	12/20/2009		1,500		32
Merrill Lynch & Co., Inc.	El Paso Corp. 7.875% due 06/15/2012	Sell	1.800	%	09/20/2011		15,000		76
Merrill Lynch & Co., Inc.	Forest Oil Corp. 7.750% due 05/01/2014	Sell	2.900	%	09/20/2012		3,500		94
Merrill Lynch & Co., Inc.	Georgia-Pacific LLC 7.750% due 11/15/2029	Sell	3.400	%	12/20/2012		1,900		(9	)
Merrill Lynch & Co., Inc.	PSEG Energy Holdings LLC 8.500% due 06/15/2011	Sell	1.300	%	06/20/2012		5,000		(6	)
Merrill Lynch & Co., Inc.	Tesoro Corp. 6.625% due 11/01/2015	Sell	0.710	%	06/20/2012		5,000		(92	)
Merrill Lynch & Co., Inc.	Wachovia Corp. 5.625% due 12/15/2008	Sell	0.160	%	06/20/2011		7,900		(216	)
Merrill Lynch & Co., Inc.	Williams Cos., Inc. 8.125% due 03/15/2012	Sell	1.710	%	09/20/2009		300		7
Morgan Stanley	Chesapeake Energy Corp. 6.875% due 01/15/2016	Sell	1.150	%	06/20/2012		10,000		(252	)
Morgan Stanley	Citigroup, Inc. 7.250% due 10/01/2010	Sell	0.163	%	06/20/2011		11,000		(183	)
Morgan Stanley	Colombia Government International Bond 10.375% due 01/28/2033	Sell	1.650	%	08/20/2011		20,000		539
Morgan Stanley	Freeport-McMoRan Copper & Gold, Inc. 8.375% due 04/01/2017	Sell	0.890	%	06/20/2012		5,000		(85	)
Morgan Stanley	Georgia-Pacific LLC 8.125% due 05/15/2011	Sell	1.630	%	09/20/2009		100		0
Morgan Stanley	Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.235	%	06/20/2012		6,000		(106	)
Morgan Stanley	MeadWestvaco Corp. 6.850% due 04/01/2012	Buy	(0.585	%)	06/20/2012		6,000		15
Morgan Stanley	Multiple Reference Entities of Gazprom	Sell	0.890	%	11/20/2011		4,200		(102	)
Morgan Stanley	Phillipines Government International Bond 10.625% due 03/16/2025	Sell	2.440	%	09/20/2017		4,300		117
Morgan Stanley	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	1.590	%	04/20/2012		11,500		(198	)
Royal Bank of Scotland Group PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.540	%	09/20/2011		20,000		158
Royal Bank of Scotland Group PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.350	%	12/20/2011		25,000		0
Royal Bank of Scotland Group PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.525	%	12/20/2011		7,000		45
UBS Warburg LLC	JPMorgan Chase & Co. 6.750% due 02/01/2011	Sell	0.210	%	06/20/2011		11,000		(115	)
UBS Warburg LLC	Vale Overseas Ltd. 8.250% due 01/17/2034	Sell	0.650	%	06/20/2014		21,700		(579	)
								$	(16,671	)

Credit Default Swaps on Credit Indices

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
Deutsche Bank AG	Dow Jones iTraxx Europe 7X0V Index	Sell	2.300	%	06/20/2012	EUR	7,000	$	(361	)
Deutsche Bank AG	Dow Jones iTraxx Europe X05 Index	Sell	2.900	%	06/20/2011		4,500		60
JPMorgan Chase & Co.	Dow Jones iTraxx Europe X05 Index	Sell	2.900	%	06/20/2011		62,425		391
JPMorgan Chase & Co.	Dow Jones iTraxx Europe X07 Index	Sell	2.300	%	06/20/2012		2,300		27
Bank of America	Dow Jones CDX N.A. HY8 Index	Sell	1.750	%	06/20/2012	$	3,500		(149	)
Barclays Bank PLC	Dow Jones CDX N.A. EM3 Index	Sell	2.100	%	06/20/2010		6,000		174
Barclays Bank PLC	Dow Jones CDX N.A. EM8 Index	Sell	1.750	%	12/20/2012		283,960		(2,928	)
Barclays Bank PLC	Dow Jones CDX N.A. HY9 Index	Buy	(3.750	%)	12/20/2012		5,000		(98	)
Barclays Bank PLC	Dow Jones CDX N.A. IG8 Index	Sell	0.350	%	06/20/2012		2,000		(35	)
BNP Paribas Bank	Dow Jones CDX N.A. IG8 Index	Sell	0.350	%	06/20/2012		2,000		(35	)
Citibank N.A.	Dow Jones CDX N.A. HY8 Index	Sell	0.360	%	06/20/2012		13,600		(253	)
Citibank N.A.	Home Equity Index A Rating 2006-1	Sell	0.540	%	07/25/2045		16,000		(5,811	)
Citibank N.A.	Home Equity Index A Rating 2006-2	Sell	0.440	%	05/25/2046		15,500		(8,318	)
Deutsche Bank AG	Dow Jones CDX N.A. EM8 Index	Sell	1.750	%	12/20/2012		115,285		(595	)
Deutsche Bank AG	Dow Jones CDX N.A. HY9 Index	Buy	(3.750	%)	12/20/2012		10,000		91
Deutsche Bank AG	Dow Jones CDX N.A. HY9 Index	Sell	2.750	%	12/20/2012		35,000		(1,327	)
Deutsche Bank AG	Dow Jones CDX N.A. HY9 Index	Sell	3.750	%	12/20/2012		55,000		47
Deutsche Bank AG	Home Equity Index A Rating 2006-2	Sell	0.440	%	05/25/2046		7,800		(3,600	)
Goldman Sachs & Co.	Dow Jones CDX N.A. EM3 Index	Sell	2.100	%	06/20/2010		15,000		498
Goldman Sachs & Co.	Dow Jones CDX N.A. HY9 Index	Sell	3.750	%	12/20/2012		10,000		(91	)
Goldman Sachs & Co.	Home Equity Index A Rating 2006-2	Sell	0.440	%	05/25/2046		16,000		(8,596	)
JPMorgan Chase & Co.	Dow Jones CDX N.A. EM2 Index	Sell	2.600	%	12/20/2009		5,850		92
JPMorgan Chase & Co.	Dow Jones CDX N.A. EM3 Index	Sell	2.100	%	06/20/2010		12,000		572
Lehman Brothers, Inc.	Dow Jones CDX N.A. EM3 Index	Sell	2.100	%	06/20/2010		6,350		293
Lehman Brothers, Inc.	Dow Jones CDX N.A. EM8 Index	Sell	1.750	%	12/20/2012		105,500		(616	)
Lehman Brothers, Inc.	Dow Jones CDX N.A. HY8 Index	Sell	2.500	%	06/20/2012		30,000		(1,143	)
Lehman Brothers, Inc.	Dow Jones CDX N.A. HY9 Index	Sell	2.750	%	12/20/2012		240,000		(8,500	)
Lehman Brothers, Inc.	Dow Jones CDX N.A. IG8 Index	Sell	0.350	%	06/20/2012		148,800		(2,670	)
Merrill Lynch & Co., Inc.	Dow Jones CDX N.A. HY9 Index	Sell	2.750	%	12/20/2012		33,000		(963	)
Merrill Lynch & Co., Inc.	Dow Jones CDX N.A. HY9 Index	Sell	3.750	%	12/20/2012		72,200		(9	)
Morgan Stanley	Dow Jones CDX N.A. EM2 Index	Sell	2.600	%	12/20/2009		41,500		877
Morgan Stanley	Dow Jones CDX N.A. EM3 Index	Sell	2.100	%	06/20/2010		37,500		1,857
Morgan Stanley	Home Equity Index A Rating 2006-2	Sell	0.440	%	05/25/2046		31,500		(16,908	)
UBS Warburg LLC	Dow Jones CDX N.A. EM2 Index	Sell	2.600	%	12/20/2009		8,300		229
UBS Warburg LLC	Home Equity Index A Rating 2006-2	Sell	0.440	%	05/25/2046		15,500		(8,318	)
								$	(66,116	)

⁽¹⁾ If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will pay to the buyer of the protection an amount up to the notional value of the swap and in certain instances, take delivery of the security. As a buyer of protection, the Fund will generally receive from the seller of protection an amount up to the notional amount of the swap if a credit event occurs.

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
Credit Suisse USA, Inc.	6-Month Australian Bank Bill	Pay	7.250	%	06/15/2013	AUD	41,600	$	(531	)
Deutsche Bank AG	6-Month Australian Bank Bill	Pay	6.500	%	01/15/2010		84,700		(1,311	)
JPMorgan Chase & Co.	6-Month Australian Bank Bill	Pay	6.500	%	01/15/2010		16,900		(291	)
Barclays Bank PLC	BRL-CDI-Compounded	Pay	10.680	%	01/02/2012	BRL	6,300		(76	)
Goldman Sachs & Co.	BRL-CDI-Compounded	Pay	10.150	%	01/02/2012		40,000		(602	)
Morgan Stanley	BRL-CDI-Compounded	Pay	10.115	%	01/02/2012		15,200		(252	)
UBS Warburg LLC	BRL-CDI-Compounded	Pay	10.575	%	01/02/2012		33,500		(432	)
Barclays Bank PLC	6-Month EUR-LIBOR	Pay	4.000	%	12/15/2011	EUR	93,800		(3,539	)
Barclays Bank PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.948	%	03/15/2012		10,000		(190	)
Barclays Bank PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.960	%	04/05/2012		4,000		(75	)
Barclays Bank PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.980	%	04/30/2012		9,200		(176	)
Barclays Bank PLC	6-Month EUR-LIBOR	Pay	4.000	%	09/19/2017		18,000		(150	)
Citibank N.A.	6-Month EUR-LIBOR	Pay	4.000	%	06/17/2010		13,300		(871	)
Deutsche Bank AG	6-Month EUR-LIBOR	Pay	4.000	%	06/15/2017		20,300		(1,685	)
Goldman Sachs & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.976	%	12/15/2011		127,900		(1,803	)
Goldman Sachs & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.995	%	03/15/2012		19,500		(306	)
Goldman Sachs & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.960	%	03/30/2012		5,000		(92	)
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.973	%	12/15/2011		52,200		(753	)
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.948	%	03/15/2012		11,200		(218	)
Lehman Brothers, Inc.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.965	%	03/15/2012		6,200		(100	)
Royal Bank of Scotland Group PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.955	%	03/28/2012		4,500		(81	)
Royal Bank of Scotland Group PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.950	%	03/30/2012		5,000		(93	)
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	6.000	%	09/18/2009	GBP	225,000		3,678
Deutsche Bank AG	6-Month JPY-LIBOR	Pay	2.000	%	12/20/2011	JPY	6,050,000		293
Deutsche Bank AG	6-Month JPY-LIBOR	Pay	2.000	%	12/20/2016		7,000,000		1,101
Barclays Bank PLC	Korea Securities Dealers Association National Housing Index	Pay	4.895	%	02/07/2012	KRW	2,809,800		(60	)
Barclays Bank PLC	Korea Securities Dealers Association National Housing Index	Pay	4.880	%	02/08/2012		2,800,000		(61	)
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.180	%	09/13/2011	MXN	280,000		(75	)
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.220	%	09/13/2011		550,000		(81	)
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.170	%	11/04/2016		675,000		(901	)
JPMorgan Chase & Co.	28-Day Mexico Interbank TIIE Banxico	Pay	8.410	%	04/17/2009		73,500		22
Merrill Lynch & Co., Inc.	28-Day Mexico Interbank TIIE Banxico	Pay	8.200	%	09/13/2011		250,000		(52	)
Morgan Stanley	28-Day Mexico Interbank TIIE Banxico	Pay	8.170	%	11/04/2016		37,900		(47	)
Citibank N.A.	6-Month PLN-LIBOR	Pay	5.248	%	04/20/2017	PLN	181,300		(2,642	)
Bank of America	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010	$	50,800		340
Credit Suisse USA, Inc.	3-Month USD-LIBOR	Pay	5.000	%	03/19/2009		16,000		51
Deutsche Bank AG	3-Month USD-LIBOR	Receive	4.000	%	06/18/2013		1,003,100		(3,084	)
Deutsche Bank AG	3-Month USD-LIBOR	Receive	5.000	%	06/18/2013		603,000		(21,575	)
JPMorgan Chase & Co.	3-Month USD-LIBOR	Receive	4.000	%	06/18/2013		71,200		(617	)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	06/20/2012		23,400		(1,017	)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	06/18/2018		1,900		12
Citibank N.A.	3-Month ZAR- Johannesburg Interbank Agreed Rate	Pay	9.990	%	11/09/2010	ZAR	381,050		(449	)
HSBC Bank USA	3-Month ZAR- Johannesburg Interbank Agreed Rate	Pay	9.990	%	11/09/2010		361,850		(495	)
								$	(39,286	)

(i) Purchased options outstanding on December 31, 2007:

Options on Exchange-Traded Futures Contracts

Description		Exercise Price	Expiration Date	# of Contracts		Cost		Value
Call - CBOT U.S. Treasury 10-Year Note March Futures	$	129.000	02/22/2008	1,800	$	34	$	28
Call - CBOT U.S. Treasury 10-Year Note March Futures		134.000	02/22/2008	200		4		3
Call - CBOT U.S. Treasury 2-Year Note March Futures		114.500	02/22/2008	284		5		5
Put - CBOT U.S. Treasury 10-Year Note March Futures		101.000	02/22/2008	997		13		16
Put - CBOT U.S. Treasury 10-Year Note March Futures		103.000	02/22/2008	2,748		52		43
Put - CBOT U.S. Treasury 10-Year Note March Futures		104.000	02/22/2008	1,046		20		16
Put - CME 90-Day Eurodollar June Futures		92.250	06/16/2008	75		0		0
					$	128	$	111

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date		Notional Amount		Cost		Value
Call - OTC 2-Year Interest Rate Swap	Goldman Sachs & Co.	3-Month USD-LIBOR	Pay	4.750	%	03/31/2008	$	640,000	$	3,440	$	12,952
Call - OTC 2-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	4.750	%	03/31/2008		2,352,000		13,073		47,597
Call - OTC 2-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	4.750	%	09/26/2008		1,156,000		5,867		23,995
									$	22,380	$	84,544

Foreign Currency Options

Description		Exercise Price	Expiration Date		Notional Amount		Cost		Value
Call - OTC U.S. dollar versus Japanese yen	JPY	105.400	03/31/2010	$	23,000	$	965	$	1,046
Put - OTC U.S. dollar versus Japanese yen		105.400	03/31/2010		23,000		965		1,176
						$	1,930	$	2,222

Options on Securities

Description		Strike Price	Expiration Date		Notional Amount		Cost		Value
Put - OTC Fannie Mae 5.500% due 02/01/2038	$	88.500	02/05/2008	$	2,000	$	0	$	0

(j) Written options outstanding on December 31, 2007:

Options on Exchange-Traded Futures Contracts

Description		Exercise Price	Expiration Date	# of Contracts		Premium		Value
Call - CBOT U.S. Treasury 10-Year Note March Futures	$	111.000	02/22/2008	1,643	$	688	$	4,672
Call - CBOT U.S. Treasury 10-Year Note March Futures		113.000	02/22/2008	1,756		1,037		2,744
Put - CBOT U.S. Treasury 10-Year Note March Futures		106.000	02/22/2008	1,643		705		25
Put - CBOT U.S. Treasury 10-Year Note March Futures		108.000	02/22/2008	1,756		817		110
					$	3,247	$	7,551

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date		Notional Amount		Premium		Value
Call - OTC 5-Year Interest Rate Swap	Goldman Sachs & Co.	3-Month USD-LIBOR	Receive	4.950	%	03/31/2008	$	280,000	$	3,290	$	10,225
Call - OTC 5-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	4.900	%	03/31/2008		20,000		242		691
Call - OTC 5-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	4.950	%	03/31/2008		1,000,000		12,088		36,516
Call - OTC 5-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	4.950	%	09/26/2008		503,000		5,684		18,329
									$	21,304	$	65,761

(k) Restricted securities as of December 31, 2007:

Issuer Description	Coupon		Maturity Date	Acquisition Date		Cost		Market Value	Market Value as Percentage of Net Assets
Merna Reinsurance Ltd.	5.480	%	07/07/2010	09/21/2007	$	15,656	$	15,485	0.40	%

(l) Short sales outstanding on December 31, 2007:

Description	Coupon		Maturity Date		Principal Amount		Proceeds		Value
Fannie Mae	5.500	%	01/01/2038	$	5,400	$	5,389	$	5,394

(m) Foreign currency contracts outstanding on December 31, 2007:

Type	Currency	Principal Amount Covered by Contract	Settlement Month		Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	BRL	93,893	03/2008	$	6,727	$	0		$	6,727
Sell		169,990	03/2008		0		(6,658	)		(6,658	)
Buy		36,678	07/2008		811		(267	)		544
Sell		44,647	07/2008		193		(342	)		(149	)
Buy	CLP	2,320,150	03/2008		258		0			258
Buy		3,965,200	07/2008		0		(72	)		(72	)
Buy	CNY	266,249	01/2008		396		0			396
Sell		266,249	01/2008		0		(507	)		(507	)
Buy		743,743	07/2008		2,320		0			2,320
Buy		113,156	10/2008		16		(2	)		14
Buy	COP	15,491,765	03/2008		579		0			579
Sell		15,491,765	03/2008		0		(64	)		(64	)
Buy	CZK	20,884	03/2008		132		0			132
Buy	EUR	648	01/2008		0		(6	)		(6	)
Sell		99,150	01/2008		227		(1	)		226
Buy	GBP	5,672	01/2008		0		(4	)		(4	)
Sell		39,420	01/2008		862		0			862
Buy	HKD	934	01/2008		0		(1	)		(1	)
Buy	IDR	413,808,803	05/2008		7		(1,615	)		(1,608	)
Buy	ILS	2,325	11/2008		10		0			10
Buy	INR	181,124	05/2008		261		0			261
Sell		181,124	05/2008		0		(58	)		(58	)
Sell	JPY	2,719,357	02/2008		55		0			55
Buy	KRW	27,758,282	05/2008		103		0			103
Buy		3,162,720	08/2008		0		(40	)		(40	)
Buy	MXN	182,984	03/2008		372		0			372
Buy		756,245	07/2008		455		(116	)		339
Buy	MYR	2,138	08/2008		20		0			20
Buy	PLN	25,784	03/2008		1,310		0			1,310
Buy		107,878	07/2008		3,289		0			3,289
Buy	RUB	524,840	01/2008		909		0			909
Sell		524,840	01/2008		96		0			96
Buy		1,259,170	07/2008		840		0			840
Buy		799,151	11/2008		60		(96	)		(36	)
Buy	SGD	3,829	02/2008		97		0			97
Buy		5,359	05/2008		166		0			166
Buy		6,413	08/2008		52		0			52
Buy	SKK	26,981	03/2008		85		0			85
Buy	TRY	2,133	03/2008		342		0			342
Buy	ZAR	602,865	03/2008		0		(2,753	)		(2,753	)
Buy		238,535	07/2008		0		(511	)		(511	)
Sell		326,373	07/2008		0		(2,600	)		(2,600	)
				$	21,050	$	(15,713	)	$	5,337

See accompanying notes

Schedule of Investments

Foreign Bond Fund (U.S. Dollar-Hedged)

December 31, 2007 (Unaudited)

	Principal Amount (000s)		Value (000s)
ARUBA 0.3%
Mizuho Finance Aruba AEC
2.560% due 05/29/2049	JPY	500,000	$	4,528
Mizuho Trust & Banking Co. Ltd.
2.405% due 04/27/2009		200,000		1,826
Total Aruba (Cost $6,122)				6,354
AUSTRALIA 1.7%
Australia Government Bond
8.750% due 08/15/2008	AUD	600		534
National Australia Bank Ltd.
5.060% due 06/29/2016	$	5,600		5,507
5.131% due 06/19/2017		500		481
New South Wales Treasury Corp.
6.000% due 05/01/2012	AUD	2,700		2,260
Queensland Treasury Corp.
6.000% due 06/14/2011		30,000		25,385
Seven Media Group
8.878% due 02/07/2013		6,095		5,272
9.348% due 02/07/2013		191		165
9.392% due 02/07/2013		1,524		1,318
Total Australia (Cost $40,677)				40,922
AUSTRIA 0.8%
Austria Government Bond
5.000% due 07/15/2012	EUR	12,700		19,169
Total Austria (Cost $13,709)				19,169
BELGIUM 0.6%
Belgium Government Bond
7.500% due 07/29/2008	EUR	10,500		15,640
Total Belgium (Cost $9,654)				15,640
BERMUDA 0.1%
Intelsat Bermuda Ltd.
5.250% due 11/01/2008	$	1,500		1,489
Total Bermuda (Cost $1,487)				1,489
CANADA 2.8%
Canada Housing Trust No. 1
4.550% due 12/15/2012	CAD	49,400		50,887
Province of Ontario Canada
6.200% due 06/02/2031		2,200		2,732
Province of Quebec Canada
5.000% due 12/01/2038		9,900		10,455
5.750% due 12/01/2036		2,600		3,052
Rogers Wireless, Inc.
7.625% due 12/15/2011		1,950		2,116
Total Canada (Cost $65,805)				69,242
CAYMAN ISLANDS 2.4%
Foundation Re II Ltd.
11.655% due 11/26/2010	$	1,650		1,710
Green Valley Ltd.
8.376% due 01/10/2011	EUR	2,400		3,516
Longpoint Re Ltd.
10.241% due 05/08/2010	$	2,900		2,977
Mizuho Finance Cayman Ltd.
1.060% due 09/28/2049	JPY	400,000		3,579
1.466% due 12/31/2049		300,000		2,720
Mizuho Financial Group Cayman Ltd.
8.375% due 01/29/2049	$	4,300		4,346
MUFG Capital Finance 1 Ltd.
6.346% due 07/29/2049		10,700		10,151
MUFG Capital Finance 2 Ltd.
4.850% due 07/29/2049	EUR	3,300		4,095
Mystic Re Ltd.
11.381% due 12/05/2008	$	750		759
Pylon Ltd.
8.841% due 12/29/2008	EUR	1,350		1,993
Redwood Capital IX Ltd.
11.493% due 01/09/2008	$	1,000		1,000
11.993% due 01/09/2008		2,000		1,997
Residential Reinsurance 2005 Ltd.
10.574% due 06/06/2008		1,000		1,000
Residential Reinsurance 2007 Ltd.
12.874% due 06/07/2010		6,300		6,489
SHL Corp. Ltd.
1.665% due 12/25/2024	JPY	7,229		66
SMFG Preferred Capital USD 1 Ltd.
6.078% due 01/29/2049	$	6,000		5,557
STB Finance Cayman
1.644% due 08/12/2049	JPY	300,000		2,674
Vita Capital III Ltd.
6.331% due 01/01/2011	$	4,000		3,951
Total Cayman Islands (Cost $58,809)				58,580
DENMARK 0.9%
Nordea Kredit Realkreditaktieselskab
6.000% due 07/01/2029	DKK	846		170
Nykredit Realkredit A/S
5.000% due 10/01/2038		11,998		2,217
6.000% due 10/01/2029		1,465		296
Realkredit Danmark A/S
5.000% due 10/01/2038		98,195		18,127
Total Denmark (Cost $19,229)				20,810
FRANCE 14.4%
AXA S.A.
3.750% due 01/01/2017	EUR	828		1,628
Caisse Nationale des Caisses d’Epargne et de Prevoyance
6.117% due 10/29/2049		6,500		8,879
Credit Agricole S.A.
5.053% due 05/28/2009	$	2,700		2,702
6.637% due 05/29/2049		6,400		5,948
France Government Bond
4.000% due 04/25/2009	EUR	8,050		11,753
4.000% due 10/25/2009		30,070		43,895
4.000% due 04/25/2014		39,675		57,287
4.000% due 10/25/2014		106,900		154,049
4.000% due 04/25/2055		600		775
4.750% due 04/25/2035		1,100		1,629
5.250% due 04/25/2008		26,800		39,321
5.750% due 10/25/2032		11,800		19,958
6.000% due 10/25/2025		3,400		5,800
Total France (Cost $358,332)				353,624
GERMANY 24.9%
Bundesobligation
4.000% due 04/13/2012	EUR	22,600		32,865
Deutsche Bank AG
5.375% due 10/12/2012	$	6,200		6,359
6.000% due 09/01/2017		5,700		5,922
LRP Landesbank Rheinland-Pfalz
4.750% due 04/04/2008	EUR	1,430		2,092
Republic of Germany
3.750% due 01/04/2017		11,300		15,872
4.000% due 07/04/2009		2,900		4,233
4.750% due 07/04/2034		4,300		6,404
5.000% due 07/04/2011		100		150
5.000% due 07/04/2012		167,000		252,374
5.375% due 01/04/2010		4,100		6,141
5.500% due 01/04/2031		23,150		37,879
5.625% due 01/04/2028		26,770		44,165
6.250% due 01/04/2024		7,600		13,219
6.250% due 01/04/2030		5,512		9,814
6.500% due 07/04/2027		95,560		173,053
Total Germany (Cost $599,336)				610,542
ICELAND 0.2%
Glitnir Banki HF
5.679% due 01/18/2012	$	3,700		3,583
Landsbanki Islands HF
5.730% due 08/25/2009		2,400		2,397
Total Iceland (Cost $6,122)				5,980
IRELAND 0.3%
Atlas Reinsurance PLC
8.786% due 01/10/2010	EUR	2,000		2,968
Celtic Residential Irish Mortgage Securitisation
4.366% due 06/13/2035		1,401		2,027
Emerald Mortgages PLC
5.198% due 04/15/2028		1,171		1,710
5.198% due 02/15/2035		347		502
Osiris Capital PLC
10.242% due 01/15/2010	$	1,000		1,012
Total Ireland (Cost $6,726)				8,219
ITALY 0.3%
Italy Buoni Poliennali Del Tesoro
5.250% due 08/01/2011	EUR	3,400		5,138
5.500% due 11/01/2010		1,700		2,572
Total Italy (Cost $7,741)				7,710
JAPAN 30.6%
Bank of Tokyo-Mitsubishi UFJ Ltd.
3.500% due 12/16/2015	EUR	300		414
Development Bank of Japan
4.250% due 06/09/2015	$	7,300		7,185
Japan Government Bond
1.500% due 03/20/2011	JPY	12,710,000		116,066
1.500% due 03/20/2014		6,760,000		61,866
1.500% due 03/20/2015		5,200,000		47,449
1.600% due 06/20/2014		2,540,000		23,379
1.800% due 06/20/2017		10,700,000		98,610
2.300% due 06/20/2035		7,380,000		65,640
2.400% due 03/20/2034		2,470,000		22,503
2.500% due 09/20/2035		2,030,000		18,816
2.500% due 06/20/2036		4,490,000		41,502
2.500% due 09/20/2036		4,840,000		44,734
Japanese Government CPI Linked Bond
0.800% due 12/10/2015		1,085,400		9,616
1.000% due 06/10/2016		3,484,220		31,148
1.100% due 12/10/2016		6,080,000		54,758
1.200% due 03/10/2017		50,150		455
1.200% due 06/10/2017		10,190,880		91,993
Resona Bank Ltd.
5.850% due 09/29/2049	$	5,700		5,307
Sumitomo Mitsui Banking Corp.
1.782% due 12/31/2049	JPY	400,000		3,591
1.874% due 09/29/2049		100,000		899
1.880% due 12/01/2049		600,000		5,421
5.625% due 07/29/2049	$	1,300		1,216
Total Japan (Cost $724,436)				752,568
JERSEY, CHANNEL ISLANDS 0.4%
Haus Ltd.
4.438% due 12/10/2037	EUR	2,198		3,207
Lloyds TSB Capital
7.375% due 12/29/2049		500		761
UBS Capital Ltd.
7.152% due 12/29/2049		4,100		6,186
Total Jersey, Channel Islands (Cost $8,556)				10,154
LIBERIA 0.1%
Royal Caribbean Cruises Ltd.
8.000% due 05/15/2010	$	1,700		1,766
Total Liberia (Cost $1,771)				1,766
LUXEMBOURG 0.0%
Unicredit Luxembourg Finance S.A.
5.142% due 10/24/2008	$	900		898
Total Luxembourg (Cost $900)				898
MEXICO 0.1%
C10 Capital SPV Ltd.
6.722% due 12/31/2049	$	3,200		2,955
Total Mexico (Cost $3,200)				2,955
NETHERLANDS 0.9%
Delphinus BV
4.910% due 04/25/2093	EUR	1,500		2,183
Deutsche Telekom International Finance BV
8.250% due 06/15/2030	$	1,900		2,377
Dutch Mortgage Portfolio Loans BV
4.834% due 11/20/2035	EUR	979		1,420
Dutch Mortgage-Backed Securities BV
5.072% due 10/02/2079		2,555		3,716
Generali Finance BV
5.479% due 02/28/2049		2,300		3,126
Holland Euro-Denominated Mortgage-Backed Series
4.925% due 04/18/2012		634		924
Netherlands Government Bond
3.750% due 07/15/2014		2,500		3,557
Siemens Financieringsmaatschappij NV
4.920% due 08/14/2009	$	4,400		4,403
Total Netherlands (Cost $19,968)				21,706
NETHERLANDS ANTILLES 0.1%
BTM Curacao Holdings NV
1.020% due 12/31/2049	JPY	200,000		1,799
Total Netherlands Antilles (Cost $1,703)				1,799
NEW ZEALAND 0.1%
New Zealand Government CPI Linked Bond
4.500% due 02/15/2016	NZD	2,006		2,027
Total New Zealand (Cost $1,232)				2,027
RUSSIA 0.3%
Gaz Capital for Gazprom
5.875% due 06/01/2015	EUR	700		963
Gazstream S.A. for OAO Gazprom
5.625% due 07/22/2013	$	5,312		5,257
Total Russia (Cost $6,139)				6,220
SPAIN 1.3%
Hipotebansa Mortgage Securitization Fund
4.775% due 07/18/2022	EUR	732		1,069
Santander Perpetual S.A. Unipersonal
6.671% due 10/29/2049	$	6,700		6,730
Spain Government Bond
4.200% due 07/30/2013	EUR	2,200		3,216
4.200% due 01/31/2037		2,300		3,085
5.350% due 10/31/2011		11,100		16,893
Total Spain (Cost $24,348)				30,993
SUPRANATIONAL 0.0%
European Investment Bank
6.250% due 04/15/2014	GBP	500		1,066
Total Supranational (Cost $1,058)				1,066
SWITZERLAND 0.2%
UBS AG
5.875% due 12/20/2017	$	6,000		6,054
Total Switzerland (Cost $5,993)				6,054
TUNISIA 0.2%
Banque Centrale de Tunisie
4.500% due 06/22/2020	EUR	4,600		6,098
Total Tunisia (Cost $5,564)				6,098
UNITED KINGDOM 8.4%
Barclays Bank PLC
6.050% due 12/04/2017	$	19,650		19,836
7.434% due 09/29/2049		3,300		3,435
Bauhaus Securities Ltd.
4.925% due 10/30/2052	EUR	1,725		2,505
HBOS PLC
5.920% due 09/29/2049	$	14,000		12,229
HSBC Holdings PLC
6.500% due 05/02/2036		12,400		12,093
National Grid PLC
4.980% due 06/22/2011 (k)	CAD	4,900		4,923
Royal Bank of Scotland Group PLC
7.092% due 10/29/2049	EUR	4,300		6,262
Tate & Lyle International Finance PLC
5.000% due 11/15/2014	$	1,500		1,457
United Kingdom Gilt
4.000% due 03/07/2009	GBP	14,900		29,512
4.750% due 06/07/2010		26,860		53,992
5.000% due 03/07/2012		12,830		26,127
8.000% due 09/27/2013		14,100		32,943
Total United Kingdom (Cost $201,830)				205,314
UNITED STATES 74.1%
Asset-Backed Securities 1.3%
Amortizing Residential Collateral Trust
5.155% due 07/25/2032	$	9		9
Amresco Residential Securities Mortgage Loan Trust
5.805% due 06/25/2029		221		214
Bear Stearns Asset-Backed Securities Trust
5.195% due 10/25/2032		105		103
5.265% due 10/27/2032		179		177
Citicorp Residential Mortgage Securities, Inc.
4.955% due 03/25/2037		9,321		8,930
Countrywide Asset-Backed Certificates
4.965% due 09/25/2047		10,553		10,210
CS First Boston Mortgage Securities Corp.
5.485% due 01/25/2032		92		90
First Alliance Mortgage Loan Trust
5.179% due 12/20/2027		17		16
Mesa Trust Asset-Backed Certificates
5.265% due 12/25/2031		415		410
Quest Trust
5.425% due 06/25/2034		5		5
Residential Asset Securities Corp.
5.365% due 07/25/2032		309		289
SLM Student Loan Trust
3.800% due 12/15/2038		3,000		2,941
5.074% due 10/27/2014		4,784		4,776
Wells Fargo Home Equity Trust
5.095% due 10/25/2035		4,241		4,108
				32,278
Bank Loan Obligations 1.2%
Daimler Finance North America LLC
9.000% due 08/03/2012		18,481		17,818
Ford Motor Co.
8.000% due 12/15/2013		2,183		2,026
Georgia-Pacific Corp.
6.580% due 12/20/2012		389		371
6.831% due 12/20/2012		476		454
6.896% due 12/20/2012		4,048		3,863
HCA, Inc.
7.080% due 11/16/2013		4,764		4,597
MGM Mirage
6.114% due 10/03/2011		200		189
6.187% due 10/03/2011		200		190
6.495% due 10/03/2011		600		563
				30,071
Commodity Index-Linked Notes 0.3%
Morgan Stanley
4.805% due 07/07/2008		7,000		7,013
Corporate Bonds & Notes 11.9%
ACE INA Holdings, Inc.
5.875% due 06/15/2014		1,400		1,436
American International Group, Inc.
4.875% due 03/15/2067	EUR	5,500		7,035
5.850% due 01/16/2018	$	6,400		6,454
Amgen, Inc.
5.133% due 11/28/2008		2,700		2,697
Anadarko Petroleum Corp.
6.125% due 03/15/2012		2,600		2,716
AT&T, Inc.
5.080% due 11/14/2008		500		499
AutoZone, Inc.
5.875% due 10/15/2012		2,000		2,063
Bank of America Corp.
4.875% due 11/06/2009		7,500		7,477
Bear Stearns Cos., Inc.
6.950% due 08/10/2012		12,000		12,350
BellSouth Corp.
5.200% due 09/15/2014		3,000		2,998
Boston Scientific Corp.
6.400% due 06/15/2016		4,300		4,064
Caesars Entertainment, Inc.
8.875% due 09/15/2008		400		416
Charter One Bank N.A.
5.115% due 04/24/2009		13,550		13,499
CIT Group, Inc.
5.025% due 08/17/2009		7,800		7,244
Citigroup Capital XXI
8.300% due 12/21/2057		8,500		8,901
Citigroup, Inc.
6.000% due 08/15/2017		7,000		7,155
CNA Financial Corp.
6.000% due 08/15/2011		3,600		3,692
Consumers Energy Co.
5.000% due 02/15/2012		1,500		1,490
CSX Corp.
6.750% due 03/15/2011		2,500		2,625
CVS Caremark Corp.
5.750% due 08/15/2011		900		923
Daimler Finance North America LLC
4.875% due 06/15/2010		1,000		996
5.461% due 03/13/2009		6,600		6,565
5.750% due 09/08/2011		1,500		1,524
East Lane Re Ltd.
11.911% due 05/06/2011		1,700		1,708
EchoStar DBS Corp.
5.750% due 10/01/2008		410		411
6.375% due 10/01/2011		700		693
Exelon Corp.
6.750% due 05/01/2011		900		941
Ford Motor Credit Co. LLC
5.625% due 10/01/2008		400		388
5.800% due 01/12/2009		600		570
6.625% due 06/16/2008		2,300		2,267
Freeport-McMoRan Copper & Gold, Inc.
8.394% due 04/01/2015		1,100		1,119
GATX Financial Corp.
5.125% due 04/15/2010		500		493
General Electric Capital Corp.
4.625% due 09/15/2066	EUR	700		916
5.172% due 12/12/2008	$	4,800		4,799
6.375% due 11/15/2067		7,900		8,172
Genworth Financial, Inc.
1.600% due 06/20/2011	JPY	520,000		4,577
GMAC LLC
6.000% due 04/01/2011	$	6,700		5,709
6.000% due 12/15/2011		4,300		3,609
7.000% due 02/01/2012		3,200		2,717
8.000% due 11/01/2031		2,800		2,354
Goldman Sachs Group, Inc.
5.334% due 03/22/2016		2,900		2,756
6.250% due 09/01/2017		19,200		20,010
Harrah’s Operating Co., Inc.
5.498% due 02/08/2008		4,600		4,602
HCP, Inc.
5.950% due 09/15/2011		1,000		1,003
International Lease Finance Corp.
5.350% due 03/01/2012		2,900		2,905
5.400% due 02/15/2012		2,700		2,725
JPMorgan & Co., Inc. CPI Linked Bond
10.481% due 02/15/2012		4,670		4,818
JPMorgan Chase & Co.
5.300% due 05/07/2010		8,900		8,786
JPMorgan Chase Bank N.A.
6.000% due 10/01/2017		1,900		1,936
JPMorgan Chase Capital
6.550% due 09/29/2036		4,800		4,344
JPMorgan Chase Capital XXII
6.450% due 02/02/2037		3,000		2,679
Kinder Morgan Energy Partners LP
6.950% due 01/15/2038		9,000		9,476
Lennar Corp.
5.950% due 10/17/2011		900		762
Loews Corp.
5.250% due 03/15/2016		1,200		1,200
Macys Retail Holdings, Inc.
4.800% due 07/15/2009		900		895
Marsh & McLennan Cos., Inc.
5.150% due 09/15/2010		2,200		2,199
Masco Corp.
5.875% due 07/15/2012		1,000		1,026
Merrill Lynch & Co., Inc.
4.960% due 08/14/2009		3,800		3,720
Mizuho JGB Investment LLC
9.870% due 12/29/2049		1,200		1,211
Mizuho Preferred Capital Co. LLC
8.790% due 12/29/2049		1,400		1,413
Morgan Stanley
4.925% due 05/07/2009		6,400		6,323
5.722% due 10/15/2015		5,100		4,787
6.250% due 08/28/2017		1,300		1,324
NGPL Pipe Co. LLC
7.768% due 12/15/2037		6,600		6,926
NiSource Finance Corp.
5.400% due 07/15/2014		1,200		1,177
Prudential Financial, Inc.
6.625% due 12/01/2037		7,000		7,082
Qwest Communications International, Inc.
8.369% due 02/15/2009		200		201
Rabobank Capital Funding Trust
5.254% due 12/29/2049		3,900		3,497
Reed Elsevier Capital, Inc.
4.625% due 06/15/2012		1,200		1,173
Reynolds American, Inc.
5.691% due 06/15/2011		800		781
6.750% due 06/15/2017		700		716
Ryder System, Inc.
3.500% due 03/15/2009		900		890
SB Treasury Co. LLC
9.400% due 12/29/2049		6,600		6,731
Southwest Airlines Co.
6.500% due 03/01/2012		500		518
Sprint Capital Corp.
8.750% due 03/15/2032		800		904
SUPERVALU, Inc.
7.500% due 11/15/2014		400		412
Time Warner, Inc.
5.109% due 11/13/2009		3,400		3,318
Tokai Preferred Capital Co. LLC
9.980% due 12/29/2049		3,530		3,577
Transcontinental Gas Pipe Line Corp.
6.250% due 01/15/2008		500		500
U.S. Bancorp
4.885% due 04/28/2009		8,200		8,172
Viacom, Inc.
5.750% due 04/30/2011		6,100		6,181
Xerox Corp.
9.750% due 01/15/2009		2,600		2,719
				292,637
Mortgage-Backed Securities 8.8%
Adjustable Rate Mortgage Trust
5.132% due 09/25/2035		750		744
Banc of America Funding Corp.
6.144% due 01/20/2047		980		966
Banc of America Mortgage Securities, Inc.
5.000% due 05/25/2034		4,783		4,568
Bear Stearns Adjustable Rate Mortgage Trust
4.125% due 03/25/2035		16,336		16,145
4.434% due 05/25/2034		1,741		1,711
4.486% due 02/25/2034		194		192
4.550% due 08/25/2035		13,500		13,316
4.652% due 10/25/2033		1,023		1,013
4.673% due 05/25/2034		916		891
Bear Stearns Alt-A Trust
5.527% due 09/25/2035		5,303		5,225
5.811% due 11/25/2036		7,256		7,159
5.949% due 02/25/2036		9,394		9,307
Bear Stearns Commercial Mortgage Securities
5.700% due 06/11/2050		6,100		6,244
Bear Stearns Structured Products, Inc.
4.989% due 01/25/2037		11,197		11,082
Citigroup Mortgage Loan Trust, Inc.
4.248% due 08/25/2035		3,905		3,828
4.748% due 08/25/2035		4,517		4,456
4.900% due 10/25/2035		15,532		15,447
4.900% due 12/25/2035		800		790
Citigroup/Deutsche Bank Commercial Mortgage Trust
5.322% due 12/11/2049		12,800		12,786
Commercial Mortgage Asset Trust
6.975% due 01/17/2032		2,800		3,049
Countrywide Home Loan Mortgage Pass-Through Trust
4.801% due 11/25/2034		1,495		1,485
5.185% due 03/25/2035		69		65
6.141% due 08/25/2034		472		469
CS First Boston Mortgage Securities Corp.
4.094% due 08/25/2033		931		934
4.918% due 07/25/2033		187		186
4.938% due 12/15/2040		474		473
5.639% due 05/25/2032		77		77
First Horizon Asset Securities, Inc.
4.402% due 12/25/2033		1,090		1,084
4.737% due 07/25/2033		251		250
5.372% due 08/25/2035		708		706
GE Capital Commercial Mortgage Corp.
5.333% due 11/10/2045		3,300		3,317
GMAC Mortgage Corp. Loan Trust
4.311% due 06/25/2034		179		175
5.500% due 09/25/2034		3,053		3,054
Greenpoint Mortgage Funding Trust
5.135% due 11/25/2045		414		389
Greenpoint Mortgage Pass-Through Certificates
4.381% due 10/25/2033		189		188
Greenwich Capital Commercial Funding Corp.
5.444% due 03/10/2039		4,100		4,132
GSR Mortgage Loan Trust
4.539% due 09/25/2035		1,968		1,954
4.603% due 03/25/2033		1,199		1,182
Harborview Mortgage Loan Trust
4.970% due 05/19/2033		1,765		1,738
5.148% due 07/19/2035		316		312
Impac CMB Trust
5.783% due 07/25/2033		177		177
Indymac Index Mortgage Loan Trust
5.047% due 12/25/2034		416		412
JPMorgan Chase Commercial Mortgage
Securities Corp.
5.429% due 12/12/2043		4,000		4,030
6.465% due 11/15/2035		10,100		10,674
JPMorgan Mortgage Trust
4.392% due 11/25/2033		1,007		993
5.023% due 02/25/2035		2,508		2,459
LB-UBS Commercial Mortgage Trust
4.990% due 11/15/2030		462		461
MASTR Adjustable Rate Mortgages Trust
4.139% due 07/25/2034		1,400		1,390
MASTR Asset Securitization Trust
5.500% due 11/25/2017		795		787
Merrill Lynch Countrywide Commercial
Mortgage Trust
5.414% due 07/12/2046		7,200		7,254
Merrill Lynch Mortgage Investors, Inc.
6.439% due 02/25/2033		1,065		1,061
MLCC Mortgage Investors, Inc.
4.250% due 10/25/2035		7,614		7,345
5.408% due 03/15/2025		530		519
Residential Funding Mortgage Securities I, Inc.
5.216% due 09/25/2035		728		718
6.500% due 03/25/2032		323		323
Structured Adjustable Rate Mortgage Loan Trust
4.180% due 02/25/2034		711		705
4.590% due 04/25/2034		965		962
Washington Mutual, Inc.
4.208% due 06/25/2033		541		538
5.125% due 11/25/2045		1,144		1,081
5.175% due 01/25/2045		1,393		1,319
5.405% due 12/25/2027		4,341		4,153
5.483% due 02/27/2034		1,302		1,276
6.059% due 05/25/2041		28		28
Wells Fargo Mortgage-Backed Securities Trust
4.617% due 06/25/2035		15,807		15,654
4.950% due 03/25/2036		11,869		11,743
				217,151
Municipal Bonds & Notes 0.9%
Chicago, Illinois General Obligation Bonds, (FSA Insured), Series 2006
6.728% due 01/01/2014		830		861
District of Columbia Tobacco Settlement Financing Corporations Revenue Bonds, Series 2001
6.500% due 05/15/2033		1,115		1,133
Golden State, California Tobacco Securitization Corporations Revenue Bonds, Series 2007
5.750% due 06/01/2047		1,200		1,121
Harris County, Texas Revenue Bonds, Series 2003
5.000% due 08/01/2033		820		830
Illinois State Educational Facilities Authority Revenue Bonds, Series 2003
5.000% due 07/01/2033		1,435		1,476
Illinois State Regional Transportation Authority Revenue Bonds, (FSA Insured), Series 1999
5.750% due 06/01/2014		20		23
Iowa State Tobacco Settlement Authority Revenue Bonds, Series 2001
5.300% due 06/01/2025		3,105		3,295
Iowa State Tobacco Settlement Authority Revenue Bonds, Series 2005
6.500% due 06/01/2023		1,725		1,646
Louisville & Jefferson Counties, Kentucky Metro Sewer District Revenue Bonds, (MBIA Insured), Series 2001
5.000% due 05/15/2036		200		206
Metropolitan Water District of Southern California State Revenue Bonds, (FGIC Insured), Series 2003
5.000% due 10/01/2036		530		546
New York City, New York Municipal Water Finance Authority Revenue Notes, Series 2006
6.869% due 12/15/2013		600		615
New York State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2003
5.500% due 06/01/2014		300		308
5.500% due 06/01/2017		600		631
New York State Tobacco Settlement Financing Corporations Revenue Notes, Series 2003
5.250% due 06/01/2013		3,500		3,525
Puerto Rico Sales Tax Financing Corp. Revenue Bonds, (AMBAC Insured), Series 2007
0.000% due 08/01/2054		1,980		176
West Virginia State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2007
7.467% due 06/01/2047		6,200		5,962
				22,354
	Shares
Preferred Stocks 0.4%
DG Funding Trust
6.979% due 12/31/2049		640		6,770
Fresenius Medical Care Capital Trust II
7.875% due 02/01/2008		2,150		2,155
				8,925
	Principal Amount (000s)
U.S. Government Agencies 46.1%
Fannie Mae
4.186% due 11/01/2034	$	9,461		9,553
4.925% due 12/01/2034		1,817		1,815
4.985% due 03/25/2034		253		249
5.000% due 11/25/2032 - 09/01/2035		9,856		9,489
5.000% due 03/01/2036 (f)		21,652		21,142
5.500% due 01/01/2023 - 01/01/2038		326,917		326,681
5.500% due 06/01/2033 - 10/01/2037 (f)		370,639		370,332
5.627% due 04/01/2032		141		145
6.000% due 07/01/2034 - 07/25/2044		56,853		57,830
6.000% due 01/01/2035 - 12/01/2037 (f)		136,140		138,312
6.500% due 02/01/2026 - 01/01/2038		94,802		97,477
6.500% due 08/01/2037 (f)		4,968		5,108
6.915% due 11/01/2022		18		19
7.069% due 08/01/2023		172		175
7.075% due 01/01/2023		61		61
7.149% due 12/01/2030		25		25
Federal Home Loan Bank
4.300% due 05/12/2008		10,000		9,990
Freddie Mac
4.364% due 09/01/2035		772		767
5.000% due 03/15/2016 - 08/15/2035		10,138		9,579
5.258% due 02/15/2019		17,770		17,682
5.378% due 12/15/2030		1,010		1,009
5.500% due 02/01/2038		19,000		18,949
6.063% due 10/25/2044		7,870		7,889
7.141% due 06/01/2022		291		293
9.050% due 06/15/2019		5		5
Ginnie Mae
5.625% due 07/20/2022 - 08/20/2027		663		667
6.000% due 08/20/2034		6,577		6,607
6.125% due 11/20/2021 - 11/20/2030		284		287
6.375% due 05/20/2022 - 05/20/2030		1,376		1,392
Small Business Administration
5.980% due 05/01/2022		4,924		5,192
6.344% due 08/01/2011		978		1,004
6.640% due 02/01/2011		515		531
Tennessee Valley Authority
5.880% due 04/01/2036		8,145		9,390
5.980% due 04/01/2036		1,855		2,117
				1,131,763
U.S. Treasury Obligations 3.2%
Treasury Inflation Protected Securities (b)
2.375% due 01/15/2027		19,485		20,612
2.625% due 07/15/2017		18,656		20,135
U.S. Treasury Bonds
4.500% due 02/15/2036		2,600		2,614
4.750% due 08/15/2017		28,700		30,321
8.125% due 05/15/2021		2,601		3,575
				77,257
Total United States (Cost $1,809,266)				1,819,449
SHORT-TERM INSTRUMENTS 3.7%
Commercial Paper 1.7%
Freddie Mac
3.000% due 01/02/2008		40,900		40,900
Repurchase Agreements 0.8%
Fixed Income Clearing Corp.
2.250% due 01/02/2008		19,000		19,000
(Dated 12/31/2007. Collateralized by Federal Home Loan Bank 3.900% due 12/30/2008 valued at $19,381. Repurchase proceeds are $19,002.)
3.900% due 01/02/2008		1,795		1,795
(Dated 12/31/2007. Collateralized by Federal Home Loan Bank 2.750% due 03/14/2008 valued at $1,834. Repurchase proceeds are $1,795.)
				20,795
U.S. Treasury Bills 1.2%
3.064% due 02/28/2008 - 03/13/2008 (a)(c)(d)(g)		30,390		30,148
Total Short-Term Instruments (Cost $91,920)				91,843
Purchased Options (i) 3.1% (Cost $34,462)				76,186
Total Investments 173.3% (Cost $4,136,095)			$	4,255,377
Written Options (j) (2.4%) (Premiums $24,083)				(57,994	)
Other Assets and Liabilities (Net) (70.9%)				(1,741,760	)
Net Assets (e) 100.0%			$	2,455,623

Notes to Schedule of Investments (amounts in thousands*, except number of contracts):

* A zero balance may reflect actual amounts rounding to less than one thousand.

(a) Coupon represents a weighted average rate.

(b) Principal amount of security is adjusted for inflation.

(c) Securities with an aggregate market value of $21,086 have been pledged as collateral for swap and swaption contracts on December 31, 2007.

(d) Securities with an aggregate market value of $1,189 have been pledged as collateral for delayed-delivery securities on December 31, 2007.

(e) As of December 31, 2007, portfolio securities with an aggregate value of $39,369 and derivative instruments with an aggregate depreciation of ($4,255) were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(f) The average amount of borrowings outstanding during the period ended December 31, 2007 was $372,021 at a weighted average interest rate of 5.060%. On December 31, 2007, securities valued at $556,231 were pledged as collateral for reverse repurchase agreements.

(g) Securities with an aggregate market value of $4,398 and cash of $21,550 have been segregated with the custodian to cover margin requirements for the following open futures contracts on December 31, 2007:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Euribor December Futures	Long	12/2008	303	$	57
90-Day Euribor June Futures	Long	06/2008	855		43
90-Day Euribor March Futures	Long	03/2008	333		(172	)
90-Day Euribor September Futures	Long	09/2008	719		99
90-Day Eurodollar December Futures	Long	12/2008	681		470
90-Day Eurodollar June Futures	Long	06/2008	211		517
90-Day Eurodollar June Futures	Long	06/2009	454		261
90-Day Eurodollar March Futures	Long	03/2009	1,056		678
90-Day Eurodollar September Futures	Long	09/2008	680		1,301
90-Day Eurodollar September Futures	Long	09/2009	371		183
Canada Government 10-Year Bond March Futures	Short	03/2008	68		14
Euro-Bobl March Futures	Short	03/2008	1,746		4,033
Euro-Bobl March Futures Call Options Strike @ EUR 117.000	Long	03/2008	677		0
Euro-Bobl March Futures Call Options Strike @ EUR 117.500	Long	03/2008	1,069		0
Euro-Bobl March Futures Put Options Strike @ EUR 103.000	Long	03/2008	1,670		0
Euro-Bund 10-Year Bond March Futures	Long	03/2008	1,359		(4,242	)
Euro-Bund 10-Year Bond March Futures Put Options Strike @ EUR 105.500	Long	03/2008	1,469		0
Euro-Schatz March Futures	Short	03/2008	1,138		1,028
Euro-Schatz March Futures Call Options Strike @ EUR 107.000	Long	03/2008	357		0
Euro-Schatz March Futures Call Options Strike @ EUR 107.200	Long	03/2008	102		0
Euro-Schatz March Futures Call Options Strike @ EUR 107.300	Long	03/2008	459		0
Euro-Schatz March Futures Call Options Strike @ EUR 107.500	Long	03/2008	179		0
Japan Government 10-Year Bond March Futures	Long	03/2008	78		(8	)
U.S. Treasury 2-Year Note March Futures	Short	03/2008	3,341		(908	)
U.S. Treasury 5-Year Note March Futures	Short	03/2008	6,525		(3,210	)
U.S. Treasury 10-Year Note March Futures	Long	03/2008	3,746		1,105
U.S. Treasury 30-Year Bond March Futures	Short	03/2008	34		(55	)
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2008	139		315
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2008	434		100
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2009	147		348
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2009	187		452
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2008	242		155
United Kingdom Government 10-Year Bond March Futures	Short	03/2008	215		(157	)
				$	2,407

(h) Swap agreements outstanding on December 31, 2007:

Credit Default Swaps on Securities

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Deutsche Bank AG	Akzo Nobel NV 4.250% due 06/14/2011	Buy	(0.290	%)	06/20/2012	EUR	1,700	$	3
Deutsche Bank AG	Reed Elsevier Capital, Inc. 4.625% due 06/15/2012	Buy	(0.280	%)	06/20/2012		1,600		0
Deutsche Bank AG	United Utilities PLC 6.875% due 08/15/2028	Buy	(0.235	%)	06/20/2012		1,900		35
Deutsche Bank AG	Wolters Kluwer NV 5.125% due 01/27/2014	Buy	(0.330	%)	06/20/2012		1,600		(2	)
Goldman Sachs & Co.	ICI Wilmington, Inc. 5.625% due 12/01/2013	Buy	(0.340	%)	06/20/2012		1,900		(17	)
Goldman Sachs & Co.	Koninklijke DSM NV 4.000% due 11/10/2015	Buy	(0.365	%)	06/20/2012		1,800		(2	)
Goldman Sachs & Co.	SCA Finans AB 4.500% due 07/15/2015	Buy	(0.250	%)	06/20/2012		1,900		24
Goldman Sachs & Co.	WPP Group PLC 6.000% due 06/18/2008	Buy	(0.260	%)	06/20/2012		1,600		29
Merrill Lynch & Co., Inc.	Compass Group PLC 6.375% due 05/29/2012	Buy	(0.390	%)	06/20/2012		1,800		(4	)
Bank of America	AutoZone, Inc. 5.875% due 10/15/2012	Buy	(0.600	%)	06/20/2017	$	2,000		(2	)
Bank of America	Consumers Energy Co. 5.000% due 02/15/2012	Buy	(0.090	%)	03/20/2012		1,500		63
Bank of America	Diamond Offshore Drilling, Inc. 4.875% due 07/01/2015	Buy	(0.485	%)	06/20/2017		1,500		3
Bank of America	Exelon Corp. 6.750% due 05/01/2011	Buy	(0.330	%)	06/20/2011		900		6
Bank of America	GlobalSantaFe Corp. 5.000% due 02/15/2013	Buy	(0.462	%)	06/20/2012		1,900		(19	)
Bank of America	Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	0.150	%	06/20/2008		7,700		(54	)
Bank of America	Macy’s Retail Holdings, Inc. 4.800% due 07/15/2009	Buy	(0.190	%)	09/20/2009		900		8
Bank of America	MeadWestvaco Corp. 6.850% due 04/01/2012	Buy	(1.080	%)	06/20/2017		2,100		(15	)
Bank of America	Merrill Lynch & Co., Inc. 6.000% due 02/17/2009	Sell	0.150	%	06/20/2008		6,500		(43	)
Bank of America	Noble Corp. 5.875% due 06/01/2013	Buy	(0.542	%)	06/20/2012		800		(3	)
Bank of America	Pampelonne CDO Ltd. floating rate based on 3-Month USD-LIBOR plus 1.400% due 11/11/2051	Buy	(1.750	%)	11/11/2051		4,071		3,654
Bank of America	Royal Caribbean Cruises Ltd. 8.000% due 05/15/2010	Buy	(0.480	%)	06/20/2010		1,700		33
Bank of America	SLM Corp. 5.125% due 08/27/2012	Sell	3.150	%	06/20/2009		3,400		4
Barclays Bank PLC	American Electric Power Co., Inc. 5.250% due 06/01/2015	Buy	(0.100	%)	06/20/2012		2,400		28
Barclays Bank PLC	Anadarko Petroleum Corp. 6.125% due 03/15/2012	Buy	(0.330	%)	03/20/2012		2,600		15
Barclays Bank PLC	Diamond Offshore Drilling, Inc. 4.875% due 07/01/2015	Buy	(0.470	%)	06/20/2017		1,100		4
Barclays Bank PLC	International Lease Finance Corp. 5.400% due 02/15/2012	Buy	(0.170	%)	03/20/2012		2,700		37
Barclays Bank PLC	National Grid PLC 5.000% due 07/02/2018	Buy	(0.208	%)	06/20/2011		4,300		36
Barclays Bank PLC	Noble Corp. 5.875% due 06/01/2013	Buy	(0.530	%)	06/20/2012		600		(2	)
Barclays Bank PLC	RSHB Capital S.A. for OJSC Russian Agricultural Bank 7.175% due 05/16/2013	Sell	0.740	%	06/20/2012		1,900		(108	)
Barclays Bank PLC	Wyeth 5.500% due 03/15/2013	Buy	(0.100	%)	06/20/2012		2,900		18
Bear Stearns & Co., Inc.	CNA Financial Corp. 6.000% due 08/15/2011	Buy	(0.440	%)	09/20/2011		3,800		33
Bear Stearns & Co., Inc.	CSX Corp. 6.750% due 03/15/2011	Buy	(0.165	%)	03/20/2011		2,700		21
Bear Stearns & Co., Inc.	Daimler Finance N.A. LLC 4.875% due 06/15/2010	Buy	(0.520	%)	06/20/2010		1,000		(4	)
Bear Stearns & Co., Inc.	GATX Financial Corp. 5.125% due 04/15/2010	Buy	(0.160	%)	06/20/2010		500		2
Bear Stearns & Co., Inc.	Goldman Sachs Group, Inc. floating rate based on 3-Month USD-LIBOR plus 0.450% due 03/22/2016	Buy	(0.330	%)	03/20/2016		2,900		52
Bear Stearns & Co., Inc.	Loews Corp. 5.250% due 03/15/2016	Buy	(0.330	%)	03/20/2016		1,150		6
Bear Stearns & Co., Inc.	MeadWestvaco Corp. 6.850% due 04/01/2012	Buy	(0.520	%)	06/20/2012		1,000		5
Bear Stearns & Co., Inc.	Morgan Stanley floating rate based on 3-Month USD-LIBOR plus 0.480% due 10/15/2015	Buy	(0.285	%)	12/20/2015		2,500		101
Bear Stearns & Co., Inc.	NiSource Finance Corp. 5.400% due 07/15/2014	Buy	(0.620	%)	09/20/2014		1,150		19
Bear Stearns & Co., Inc.	Viacom, Inc. 5.750% due 04/30/2011	Buy	(0.470	%)	06/20/2011		2,400		1
BNP Paribas Bank	SLM Corp. 5.125% due 08/27/2012	Sell	3.200	%	12/20/2008		4,600		11
Citibank N.A.	AutoZone, Inc. 5.875% due 10/15/2012	Buy	(0.680	%)	12/20/2012		2,100		(25	)
Citibank N.A.	Nabors Industries, Inc. 5.375% due 08/15/2012	Buy	(0.470	%)	06/20/2012		1,200		(1	)
Credit Suisse USA, Inc.	Multiple Reference Entities of Gazprom	Sell	1.330	%	12/20/2008		4,400		2
Credit Suisse USA, Inc.	Noble Corp. 5.875% due 06/01/2013	Buy	(0.530	%)	06/20/2012		900		(3	)
Deutsche Bank AG	Ace INA Holdings, Inc. 5.875% due 06/15/2014	Buy	(0.390	%)	06/20/2014		1,400		2
Deutsche Bank AG	Bear Stearns Cos., Inc. 5.300% due 10/30/2015	Sell	0.160	%	06/20/2008		6,500		(64	)
Deutsche Bank AG	Glitnir Banki HF floating rate based on 3-Month USD-LIBOR plus 0.470% due 01/18/2012	Buy	(0.365	%)	03/20/2012		500		31
Deutsche Bank AG	Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.120	%	06/20/2008		8,200		(24	)
Deutsche Bank AG	International Paper Co. 5.850% due 10/30/2012	Buy	(0.500	%)	06/20/2012		1,600		(1	)
Deutsche Bank AG	International Paper Co. 5.850% due 10/30/2012	Buy	(0.700	%)	06/20/2017		2,600		0
Deutsche Bank AG	Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	0.160	%	06/20/2008		10,400		(72	)
Deutsche Bank AG	Morgan Stanley 6.600% due 04/01/2012	Sell	0.140	%	06/20/2008		10,600		(48	)
Deutsche Bank AG	Nabors Industries, Inc. 5.375% due 08/15/2012	Buy	(0.470	%)	06/20/2012		700		0
Deutsche Bank AG	Ryder System, Inc. 3.500% due 03/15/2009	Buy	(0.150	%)	03/20/2009		900		1
Deutsche Bank AG	SLM Corp. 5.125% due 08/27/2012	Sell	3.050	%	03/20/2009		1,900		1
Deutsche Bank AG	Southwest Airlines Co. 6.500% due 03/01/2012	Buy	(0.420	%)	03/20/2012		500		3
Deutsche Bank AG	Tate & Lyle International Finance PLC 5.000% due 11/15/2014	Buy	(0.510	%)	12/20/2014		1,400		18
Deutsche Bank AG	VTB Capital S.A. 6.250% due 06/30/2035	Sell	1.700	%	12/20/2008		3,300		1
Goldman Sachs & Co.	Carnival Corp. 6.650% due 01/15/2028	Buy	(0.210	%)	06/20/2012		2,500		26
Goldman Sachs & Co.	Duke Energy Carolinas LLC 6.250% due 01/15/2012	Buy	(0.090	%)	06/20/2012		2,500		28
Goldman Sachs & Co.	GlobalSantaFe Corp. 5.000% due 02/15/2013	Buy	(0.445	%)	06/20/2012		2,200		(20	)
Goldman Sachs & Co.	JC Penney Corp., Inc. 8.000% due 03/01/2010	Sell	0.990	%	09/20/2010		500		(1	)
Goldman Sachs & Co.	Noble Corp. 5.875% due 06/01/2013	Buy	(0.530	%)	06/20/2012		4,300		(12	)
Goldman Sachs & Co.	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.630	%	12/20/2008		6,200		5
Goldman Sachs & Co.	SLM Corp. 5.125% due 08/27/2012	Sell	0.700	%	06/20/2012		1,600		(138	)
HSBC Bank USA	Multiple Reference Entities of Gazprom	Sell	1.250	%	12/20/2008		2,400		0
HSBC Bank USA	Multiple Reference Entities of Gazprom	Sell	1.300	%	12/20/2008		7,300		3
HSBC Bank USA	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.240	%	02/20/2008		7,500		4
HSBC Bank USA	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.730	%	04/20/2009		700		(4	)
JPMorgan Chase & Co.	AutoZone, Inc. 5.875% due 10/15/2012	Buy	(0.600	%)	06/20/2017		1,100		(1	)
JPMorgan Chase & Co.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.345	%	08/20/2011		19,900		462
JPMorgan Chase & Co.	HCP, Inc. 5.950% due 09/15/2011	Buy	(0.610	%)	09/20/2011		1,000		20
Lehman Brothers, Inc.	BellSouth Corp. 5.200% due 09/15/2014	Buy	(0.325	%)	09/20/2014		3,000		0
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.280	%	08/20/2011		29,600		616
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.370	%	08/20/2011		8,100		196
Lehman Brothers, Inc.	GMAC LLC 6.875% due 08/28/2012	Sell	4.900	%	09/20/2012		4,800		(319	)
Lehman Brothers, Inc.	MeadWestvaco Corp. 6.850% due 04/01/2012	Buy	(0.520	%)	06/20/2012		2,000		10
Lehman Brothers, Inc.	Weyerhaeuser Co. 6.750% due 03/15/2012	Buy	(0.990	%)	06/20/2017		1,100		16
Merrill Lynch & Co., Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.340	%	08/20/2011		15,600		360
Merrill Lynch & Co., Inc.	GMAC LLC 6.000% due 04/01/2011	Buy	(1.290	%)	06/20/2011		6,700		992
Merrill Lynch & Co., Inc.	International Lease Finance Corp. 5.350% due 03/01/2012	Buy	(0.130	%)	03/20/2012		2,900		45
Merrill Lynch & Co., Inc.	Lennar Corp. 5.950% due 10/17/2011	Buy	(5.750	%)	12/20/2012		900		16
Merrill Lynch & Co., Inc.	Multiple Reference Entities of Gazprom	Sell	0.610	%	05/20/2012		1,200		(47	)
Morgan Stanley	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.380	%	08/20/2011		21,700		532
Morgan Stanley	Diamond Offshore Drilling, Inc. 4.875% due 07/01/2015	Buy	(0.495	%)	06/20/2017		1,200		2
Morgan Stanley	International Paper Co. 5.850% due 10/30/2012	Buy	(0.475	%)	06/20/2012		1,000		0
Morgan Stanley	Masco Corp. 5.875% due 07/15/2012	Buy	(0.580	%)	09/20/2012		1,000		38
Morgan Stanley	Multiple Reference Entities of Gazprom	Sell	1.320	%	12/20/2008		500		0
Morgan Stanley	Multiple Reference Entities of Gazprom	Sell	1.330	%	12/20/2008		2,400		1
Morgan Stanley	Nucor Corp. 4.875% due 10/01/2012	Buy	(0.150	%)	06/20/2012		2,500		14
Morgan Stanley	Progress Energy, Inc. 5.625% due 01/15/2016	Buy	(0.105	%)	06/20/2012		2,100		19
Morgan Stanley	Reed Elsevier Capital, Inc. 4.625% due 06/15/2012	Buy	(0.280	%)	06/20/2012		1,200		0
Morgan Stanley	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.245	%	06/20/2008		1,200		(2	)
Morgan Stanley	Turkey Government International Bond 11.875% due 01/15/2030	Buy	(2.700	%)	09/20/2010		400		(20	)
Morgan Stanley	Viacom, Inc. 5.750% due 04/30/2011	Buy	(0.640	%)	06/20/2011		1,000		(5	)
Morgan Stanley	Xerox Corp. 9.750% due 01/15/2009	Buy	(0.290	%)	03/20/2009		2,800		(6	)
Royal Bank of Scotland Group PLC	CVS Caremark Corp. 5.750% due 08/15/2011	Buy	(0.240	%)	09/20/2011		1,000		2
Royal Bank of Scotland Group PLC	Daimler Finance N.A. LLC 5.750% due 09/08/2011	Buy	(0.620	%)	09/20/2011		1,500		(11	)
Royal Bank of Scotland Group PLC	Glitnir Banki HF floating rate based on 3-Month USD-LIBOR plus 0.470% due 01/18/2012	Buy	(0.290	%)	03/20/2012		3,200		206
Royal Bank of Scotland Group PLC	Landsbanki Islands HF floating rate based on 3-Month USD-LIBOR plus 0.700% due 08/25/2009	Buy	(0.330	%)	09/20/2009		2,400		60
Royal Bank of Scotland Group PLC	Morgan Stanley floating rate based on 3-Month USD-LIBOR plus 0.480% due 10/15/2015	Buy	(0.295	%)	12/20/2015		2,600		104
Royal Bank of Scotland Group PLC	SUPERVALU, Inc. 7.500% due 05/15/2012	Sell	2.450	%	09/20/2012		1,600		77
Royal Bank of Scotland Group PLC	Weyerhaeuser Co. 6.750% due 03/15/2012	Buy	(0.550	%)	06/20/2012		5,000		65
UBS Warburg LLC	American International Group, Inc. 4.250% due 05/15/2013	Sell	0.070	%	06/20/2008		11,700		(30	)
UBS Warburg LLC	Ford Motor Credit Co. LLC 7.250% due 10/25/2011	Sell	3.950	%	12/20/2012		3,000		(236	)
Wachovia Bank N.A.	GlobalSantaFe Corp. 5.000% due 02/15/2013	Buy	(0.530	%)	06/20/2012		800		(10	)
Wachovia Bank N.A.	GlobalSantaFe Corp. 5.000% due 02/15/2013	Buy	(0.520	%)	06/20/2012		1,500		(19	)
								$	6,835

Credit Default Swaps on Credit Indices

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Barclays Bank PLC	Dow Jones iTraxx Europe HV6 Index	Buy	(0.850	%)	12/20/2016	EUR	11,300	$	102
BNP Paribas Bank	Dow Jones iTraxx Europe HV6 Index	Buy	(0.850	%)	12/20/2016		5,200		49
Deutsche Bank AG	Dow Jones iTraxx Europe HV6 Index	Buy	(0.850	%)	12/20/2016		900		10
HSBC Bank USA	Dow Jones iTraxx Europe HV6 Index	Buy	(0.850	%)	12/20/2016		1,800		22
JPMorgan Chase & Co.	Dow Jones iTraxx Europe HV6 Index	Buy	(0.850	%)	12/20/2016		6,300		67
Bank of America	Dow Jones CDX N.A. IG8 Index	Buy	(0.600	%)	06/20/2017	$	38,400		871
Barclays Bank PLC	Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016		2,400		70
Barclays Bank PLC	Dow Jones CDX N.A. IG8 Index	Buy	(0.600	%)	06/20/2017		14,500		147
Citibank N.A.	Dow Jones CDX N.A. HY8 Index	Sell	3.297	%	06/20/2012		3,000		103
Deutsche Bank AG	Dow Jones CDX N.A. HY8 Index	Sell	4.221	%	06/20/2012		7,200		518
Goldman Sachs & Co.	Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016		43,700		1,275
Goldman Sachs & Co.	Dow Jones CDX N.A. IG8 Index	Buy	(0.350	%)	06/20/2012		384,700		2,107
Goldman Sachs & Co.	Dow Jones CDX N.A. IG8 Index	Buy	(0.600	%)	06/20/2017		76,600		488
JPMorgan Chase & Co.	Dow Jones CDX N.A. IG8 Index	Buy	(0.600	%)	06/20/2017		68,900		1,147
Lehman Brothers, Inc.	Dow Jones CDX N.A. HY8 Index	Sell	2.100	%	06/20/2012		22,900		(323	)
Lehman Brothers, Inc.	Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016		9,300		263
Merrill Lynch & Co., Inc.	Dow Jones CDX N.A. HY8 Index	Sell	2.090	%	06/20/2012		600		(7	)
Merrill Lynch & Co., Inc.	Dow Jones CDX N.A. HY8 Index	Sell	3.884	%	06/20/2012		2,400		140
Merrill Lynch & Co., Inc.	Dow Jones CDX N.A. IG3 Index	Sell	0.500	%	03/20/2010		2,976		(13	)
Morgan Stanley	Dow Jones CDX N.A. IG3 Index	Sell	0.500	%	03/20/2010		15,872		(71	)
Morgan Stanley	Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016		15,000		435
UBS Warburg LLC	Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016		12,000		348
								$	7,748

⁽¹⁾ If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will pay to the buyer of the protection an amount up to the notional value of the swap and in certain instances, take delivery of the security. As a buyer of protection, the Fund will generally receive from the seller of protection an amount up to the notional amount of the swap if a credit event occurs.

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Barclays Bank PLC	3-Month Australian Bank Bill	Pay	7.000	%	09/15/2009	AUD	3,500	$	(18	)
Citibank N.A.	3-Month Australian Bank Bill	Pay	6.500	%	01/15/2009		109,100		(843	)
Citibank N.A.	6-Month Australian Bank Bill	Pay	6.000	%	06/15/2010		70,250		(2,764	)
Citibank N.A.	6-Month Australian Bank Bill	Receive	6.000	%	06/15/2015		39,700		3,041
Credit Suisse USA, Inc.	6-Month Australian Bank Bill	Pay	7.250	%	06/15/2013		20,500		(155	)
Deutsche Bank AG	3-Month Australian Bank Bill	Pay	6.500	%	01/15/2009		97,490		(744	)
Deutsche Bank AG	6-Month Australian Bank Bill	Pay	7.000	%	06/15/2010		174,900		(1,632	)
Deutsche Bank AG	6-Month Australian Bank Bill	Pay	6.000	%	06/15/2012		9,800		(422	)
Deutsche Bank AG	6-Month Australian Bank Bill	Receive	6.000	%	06/15/2017		5,600		376
HSBC Bank USA	6-Month Australian Bank Bill	Pay	6.000	%	06/15/2012		9,000		(392	)
HSBC Bank USA	6-Month Australian Bank Bill	Receive	6.000	%	06/15/2017		5,200		352
JPMorgan Chase & Co.	3-Month Australian Bank Bill	Pay	7.000	%	09/15/2009		3,500		(17	)
Morgan Stanley	6-Month Australian Bank Bill	Pay	7.000	%	06/15/2010		91,800		(885	)
Morgan Stanley	6-Month Australian Bank Bill	Receive	6.500	%	06/15/2017		100,400		1,553
UBS Warburg LLC	6-Month Australian Bank Bill	Pay	6.000	%	06/15/2010		40,700		(1,571	)
UBS Warburg LLC	6-Month Australian Bank Bill	Receive	6.000	%	06/15/2015		27,400		2,153
Barclays Bank PLC	BRL-CDI-Compounded	Pay	10.680	%	01/02/2012	BRL	16,300		(475	)
Goldman Sachs & Co.	BRL-CDI-Compounded	Pay	10.150	%	01/02/2012		27,200		(919	)
Morgan Stanley	BRL-CDI-Compounded	Pay	10.115	%	01/02/2012		160,500		(5,136	)
UBS Warburg LLC	BRL-CDI-Compounded	Pay	10.575	%	01/02/2012		41,900		(1,379	)
Citibank N.A.	3-Month Canadian Bank Bill	Receive	5.000	%	06/15/2015	CAD	10,000		88
Deutsche Bank AG	3-Month Canadian Bank Bill	Receive	5.000	%	06/20/2017		3,300		(157	)
Deutsche Bank AG	3-Month Canadian Bank Bill	Pay	5.500	%	06/15/2035		1,900		102
Merrill Lynch & Co., Inc.	3-Month Canadian Bank Bill	Pay	5.000	%	06/15/2015		7,300		214
Royal Bank of Canada	3-Month Canadian Bank Bill	Receive	5.500	%	06/20/2017		3,700		(75	)
Barclays Bank PLC	6-Month EUR-LIBOR	Pay	4.000	%	03/19/2010	EUR	71,600		(107	)
Barclays Bank PLC	6-Month EUR-LIBOR	Pay	4.000	%	06/17/2010		2,300		(167	)
Barclays Bank PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.103	%	10/15/2010		19,000		204
Barclays Bank PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.948	%	03/15/2012		7,100		(134	)
Barclays Bank PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.980	%	04/30/2012		1,300		(25	)
Barclays Bank PLC	6-Month EUR-LIBOR	Pay	5.000	%	09/19/2012		124,400		1,144
Barclays Bank PLC	6-Month EUR-LIBOR	Pay	5.000	%	09/19/2017		20,600		170
Barclays Bank PLC	6-Month EUR-LIBOR	Receive	5.000	%	03/19/2018		8,400		77
BNP Paribas Bank	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.090	%	10/15/2010		16,000		121
BNP Paribas Bank	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.940	%	04/10/2012		1,300		(29	)
Citibank N.A.	6-Month EUR-LIBOR	Receive	5.000	%	06/17/2012		46,100		3,935
Credit Suisse USA, Inc.	6-Month EUR-LIBOR	Receive	4.000	%	06/15/2017		37,050		3,060
Deutsche Bank AG	6-Month EUR-LIBOR	Pay	4.000	%	12/15/2011		139,200		(227	)
Deutsche Bank AG	6-Month EUR-LIBOR	Pay	4.000	%	09/19/2012		20,100		120
Deutsche Bank AG	6-Month EUR-LIBOR	Receive	4.000	%	12/15/2014		91,330		3,214
Deutsche Bank AG	6-Month EUR-LIBOR	Receive	4.435	%	06/18/2034		6,900		832
Deutsche Bank AG	6-Month EUR-LIBOR	Pay	4.500	%	06/18/2034		6,600		(195	)
Deutsche Bank AG	6-Month EUR-LIBOR	Receive	5.000	%	03/19/2038		14,400		(626	)
Goldman Sachs & Co.	6-Month EUR-LIBOR	Pay	4.500	%	03/19/2010		15,000		(40	)
Goldman Sachs & Co.	6-Month EUR-LIBOR	Receive	5.000	%	12/15/2011		69,300		599
Goldman Sachs & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.995	%	03/15/2012		9,100		(147	)
Goldman Sachs & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.080	%	06/15/2012		20,500		(267	)
Goldman Sachs & Co.	6-Month EUR-LIBOR	Receive	4.000	%	12/15/2014		16,900		1,007
Goldman Sachs & Co.	6-Month EUR-LIBOR	Pay	4.000	%	06/21/2036		1,500		(114	)
Goldman Sachs & Co.	6-Month EUR-LIBOR	Receive	5.000	%	03/19/2038		23,200		(953	)
HSBC Bank USA	6-Month EUR-LIBOR	Receive	4.000	%	12/15/2014		13,620		464
JPMorgan Chase & Co.	6-Month EUR-LIBOR	Pay	4.000	%	06/17/2010		4,770		(310	)
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.958	%	04/10/2012		6,500		(137	)
JPMorgan Chase & Co.	6-Month EUR-LIBOR	Receive	5.000	%	06/17/2012		29,500		2,519
JPMorgan Chase & Co.	6-Month EUR-LIBOR	Pay	5.000	%	09/19/2012		16,700		129
Lehman Brothers, Inc.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.965	%	03/15/2012		3,600		(58	)
Lehman Brothers, Inc.	6-Month EUR-LIBOR	Pay	4.000	%	09/19/2012		87,300		521
Lehman Brothers, Inc.	6-Month EUR-LIBOR	Receive	4.000	%	12/15/2014		9,400		487
Merrill Lynch & Co., Inc.	6-Month EUR-LIBOR	Pay	4.000	%	06/17/2010		700		(51	)
Morgan Stanley	6-Month EUR-LIBOR	Pay	4.500	%	03/19/2010		97,700		(252	)
Morgan Stanley	6-Month EUR-LIBOR	Pay	4.000	%	06/17/2010		3,100		(203	)
Morgan Stanley	6-Month EUR-LIBOR	Receive	4.000	%	06/15/2017		66,750		5,258
Morgan Stanley	6-Month EUR-LIBOR	Pay	6.000	%	06/18/2034		24,500		(1,634	)
UBS Warburg LLC	6-Month EUR-LIBOR	Pay	4.000	%	06/17/2010		85,200		(3,112	)
UBS Warburg LLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.146	%	10/15/2010		20,500		216
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	5.000	%	03/20/2010	GBP	46,500		441
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2015		800		(9	)
Barclays Bank PLC	6-Month GBP-LIBOR	Receive	4.500	%	09/15/2017		27,900		125
Barclays Bank PLC	6-Month GBP-LIBOR	Receive	4.250	%	06/12/2036		6,900		742
Citibank N.A.	6-Month GBP-LIBOR	Pay	5.000	%	03/20/2013		2,800		90
Citibank N.A.	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2015		3,500		(62	)
Deutsche Bank AG	6-Month GBP-LIBOR	Pay	5.000	%	03/20/2013		28,500		1,037
Deutsche Bank AG	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2015		6,600		(100	)
Deutsche Bank AG	6-Month GBP-LIBOR	Pay	5.000	%	06/18/2034		6,100		(108	)
Deutsche Bank AG	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035		13,800		40
Deutsche Bank AG	6-Month GBP-LIBOR	Receive	4.250	%	06/12/2036		4,300		484
Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	6.000	%	09/20/2012		45,800		3,975
Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	5.000	%	03/20/2013		41,800		1,612
Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	5.500	%	03/20/2013		69,000		2,673
Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2015		36,300		(1	)
Goldman Sachs & Co.	6-Month GBP-LIBOR	Receive	4.250	%	06/12/2036		21,900		795
HSBC Bank USA	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2015		3,700		(77	)
HSBC Bank USA	6-Month GBP-LIBOR	Pay	5.000	%	06/18/2034		5,600		(245	)
JPMorgan Chase & Co.	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2015		10,500		(154	)
Merrill Lynch & Co., Inc.	6-Month GBP-LIBOR	Pay	5.000	%	03/20/2018		6,600		301
Morgan Stanley	6-Month GBP-LIBOR	Pay	5.000	%	06/15/2009		10,000		(40	)
Morgan Stanley	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2010		8,150		420
Morgan Stanley	6-Month GBP-LIBOR	Pay	5.000	%	03/20/2013		2,400		95
Morgan Stanley	6-Month GBP-LIBOR	Pay	5.000	%	03/20/2018		10,400		398
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Pay	6.000	%	06/19/2009		126,000		2,647
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Receive	5.322	%	09/14/2009		100		1
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2015		19,300		(161	)
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Receive	5.500	%	12/15/2036		8,500		(1,007	)
Barclays Bank PLC	6-Month JPY-LIBOR	Receive	2.000	%	06/20/2017	JPY	5,920,000		(77	)
Deutsche Bank AG	6-Month JPY-LIBOR	Pay	1.500	%	12/20/2012		5,740,000		65
Deutsche Bank AG	6-Month JPY-LIBOR	Receive	2.000	%	06/20/2017		3,490,000		(35	)
Goldman Sachs & Co.	6-Month JPY-LIBOR	Receive	1.300	%	09/21/2011		2,008,000		(134	)
Goldman Sachs & Co.	6-Month JPY-LIBOR	Receive	2.000	%	06/20/2017		20,260,000		(234	)
Goldman Sachs & Co.	6-Month JPY-LIBOR	Receive	3.000	%	06/20/2036		2,480,000		(1,541	)
JPMorgan Chase & Co.	6-Month JPY-LIBOR	Receive	1.000	%	06/24/2011		500,000		(50	)
Morgan Stanley	6-Month JPY-LIBOR	Pay	1.000	%	09/18/2008		200,000		(1	)
Morgan Stanley	6-Month JPY-LIBOR	Pay	1.500	%	12/20/2012		10,600,000		144
Morgan Stanley	6-Month JPY-LIBOR	Receive	1.980	%	09/27/2016		4,800,000		(1,562	)
Morgan Stanley	6-Month JPY-LIBOR	Receive	2.500	%	06/20/2036		4,840,000		(1,282	)
Royal Bank of Scotland Group PLC	6-Month JPY-LIBOR	Pay	1.500	%	06/20/2015		10,680,000		124
Royal Bank of Scotland Group PLC	6-Month JPY-LIBOR	Receive	2.000	%	06/20/2017		3,490,000		(198	)
UBS Warburg LLC	6-Month JPY-LIBOR	Pay	1.500	%	12/20/2012		13,390,000		184
UBS Warburg LLC	6-Month JPY-LIBOR	Pay	1.500	%	06/20/2015		5,440,000		151
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.720	%	09/05/2016	MXN	22,000		(26	)
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.900	%	09/22/2016		58,000		123
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.840	%	09/23/2016		21,000		36
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.170	%	11/04/2016		109,400		(423	)
JPMorgan Chase & Co.	28-Day Mexico Interbank TIIE Banxico	Pay	8.840	%	09/23/2016		14,000		24
Merrill Lynch & Co., Inc.	28-Day Mexico Interbank TIIE Banxico	Pay	8.720	%	09/05/2016		37,500		(45	)
Bank of America	3-Month USD-LIBOR	Pay	5.000	%	06/18/2009	$	36,900		431
Bank of America	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010		37,000		170
Bank of America	3-Month USD-LIBOR	Receive	5.000	%	06/20/2017		4,400		(177	)
Barclays Bank PLC	3-Month USD-LIBOR	Pay	5.000	%	06/18/2009		105,000		1,223
Barclays Bank PLC	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010		65,300		297
Barclays Bank PLC	3-Month USD-LIBOR	Receive	5.000	%	06/20/2017		16,700		(412	)
Barclays Bank PLC	3-Month USD-LIBOR	Pay	5.000	%	06/18/2018		19,570		298
Barclays Bank PLC	3-Month USD-LIBOR	Receive	5.000	%	06/20/2037		800		(94	)
Citibank N.A.	3-Month USD-LIBOR	Pay	4.000	%	06/18/2013		133,600		1,482
Citibank N.A.	3-Month USD-LIBOR	Receive	5.000	%	06/20/2017		8,200		(145	)
Credit Suisse USA, Inc.	3-Month USD-LIBOR	Receive	5.000	%	06/20/2017		29,700		(653	)
Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	06/18/2009		35,000		521
Deutsche Bank AG	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010		185,100		266
Deutsche Bank AG	3-Month USD-LIBOR	Receive	5.000	%	06/18/2015		266,500		153
Deutsche Bank AG	3-Month USD-LIBOR	Receive	5.000	%	06/18/2038		82,500		(2,310	)
Goldman Sachs & Co.	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010		74,800		226
Goldman Sachs & Co.	3-Month USD-LIBOR	Receive	5.000	%	06/20/2012		6,700		(282	)
JPMorgan Chase & Co.	3-Month USD-LIBOR	Pay	4.000	%	06/18/2013		581,900		144
JPMorgan Chase & Co.	3-Month USD-LIBOR	Receive	5.000	%	06/20/2017		24,500		(491	)
Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	5.000	%	06/20/2017		56,200		(1,801	)
Merrill Lynch & Co., Inc.	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010		178,800		203
Merrill Lynch & Co., Inc.	3-Month USD-LIBOR	Receive	5.000	%	06/20/2017		9,900		(448	)
Morgan Stanley	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010		63,900		277
Morgan Stanley	3-Month USD-LIBOR	Receive	5.000	%	06/20/2017		21,700		(623	)
Morgan Stanley	3-Month USD-LIBOR	Pay	5.000	%	06/18/2018		114,630		2,149
Morgan Stanley	3-Month USD-LIBOR	Receive	5.000	%	06/18/2038		34,100		(964	)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010		394,400		(115	)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	06/18/2015		37,300		(118	)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	06/20/2017		149,300		(5,926	)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	06/18/2018		141,400		1,414
UBS Warburg LLC	3-Month USD-LIBOR	Receive	5.000	%	06/20/2017		15,500		(545	)
UBS Warburg LLC	3-Month USD-LIBOR	Receive	5.000	%	12/20/2026		18,000		(1,710	)
								$	7,179

(i) Purchased options outstanding on December 31, 2007:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Cost		Value
Call - CBOT U.S. Treasury 2-Year Note March Futures	$	111.500	02/22/2008	300	$	10	$	5
Call - CBOT U.S. Treasury 2-Year Note March Futures		116.000	02/22/2008	548		10		8
Call - CBOT U.S. Treasury 2-Year Note March Futures		120.000	02/22/2008	3,591		68		56
Call - CBOT U.S. Treasury 5-Year Note March Futures		126.000	02/22/2008	6,557		124		102
Call - CBOT U.S. Treasury 5-Year Note March Futures		127.000	02/22/2008	496		9		8
Call - CBOT U.S. Treasury 10-Year Note March Futures		136.000	02/22/2008	6,390		121		100
Put - CBOT U.S. Treasury 10-Year Note March Futures		101.500	02/22/2008	1,230		23		0
Put - CBOT U.S. Treasury 10-Year Note March Futures		102.000	02/22/2008	2,536		48		40
Put - CBOT U.S. Treasury 30-Year Bond March Futures		99.000	02/22/2008	65		1		1
					$	414	$	320

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Cost		Value
Call - OTC 2-Year Interest Rate Swap	JPMorgan Chase & Co.	6-Month EUR-LIBOR	Pay	4.000	%	09/14/2009	EUR	122,000	$	650	$	477
Call - OTC 2-Year Interest Rate Swap	Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	5.300	%	03/14/2008	GBP	20,000		77		215
Call - OTC 2-Year Interest Rate Swap	Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	5.350	%	03/14/2008		5,600		27		67
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Pay	5.300	%	03/14/2008		76,000		295		816
Call - OTC 2-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Pay	5.000	%	02/01/2008	$	106,700		413		2,497
Call - OTC 2-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Pay	5.000	%	08/28/2009		66,400		651		1,297
Call - OTC 2-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	4.750	%	03/31/2008		33,000		183		668
Call - OTC 2-Year Interest Rate Swap	Merrill Lynch & Co., Inc.	3-Month USD-LIBOR	Pay	5.000	%	08/28/2009		134,600		1,351		2,630
Call - OTC 2-Year Interest Rate Swap	Morgan Stanley	3-Month USD-LIBOR	Pay	4.750	%	03/31/2008		28,500		151		577
Call - OTC 2-Year Interest Rate Swap	Morgan Stanley	3-Month USD-LIBOR	Pay	4.250	%	07/06/2009		259,500		3,043		3,108
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	02/01/2008		788,600		3,910		18,457
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	03/31/2008		675,500		4,209		13,670
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.300	%	08/03/2009		813,800		7,223		19,526
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	08/28/2009		34,100		347		666
									$	22,530	$	64,671

Foreign Currency Options

Description	Exercise Price		Expiration Date	Notional Amount		Cost		Value
Call - OTC Euro versus U.S. dollar	$	1.355	05/21/2008	EUR	4,600	$	136	$	516
Put - OTC Euro versus U.S. dollar		1.355	05/21/2008		4,600		136		28
Call - OTC Euro versus U.S. dollar		1.367	05/19/2010		5,300		254		575
Put - OTC Euro versus U.S. dollar		1.367	05/19/2010		5,300		254		197
Call - OTC Euro versus U.S. dollar		1.375	05/21/2010		4,300		202		443
Put - OTC Euro versus U.S. dollar		1.375	05/21/2010		4,300		202		170
Call - OTC U.S. dollar versus Japanese yen	JPY	114.650	01/18/2008	$	26,000		866		47
Put - OTC U.S. dollar versus Japanese yen		114.650	01/18/2008		26,000		866		773
Call - OTC U.S. dollar versus Japanese yen		120.000	01/18/2008		22,400		271		25
Call - OTC U.S. dollar versus Japanese yen		115.350	02/13/2008		58,100		2,034		190
Put - OTC U.S. dollar versus Japanese yen		115.350	02/13/2008		58,100		1,830		2,325
Call - OTC U.S. dollar versus Brazilian real	BRL	3.050	02/21/2008		250,000		13		2
Call - OTC U.S. dollar versus Japanese yen	JPY	115.950	06/09/2008		40,000		1,063		233
Put - OTC U.S. dollar versus Japanese yen		115.950	06/09/2008		40,000		1,062		2,371
Call - OTC U.S. dollar versus Japanese yen		118.150	06/23/2008		39,100		1,029		147
Put - OTC U.S. dollar versus Japanese yen		118.150	06/23/2008		39,100		1,029		3,051
Call - OTC U.S. dollar versus Japanese yen		104.000	03/17/2010		1,000		48		53
Put - OTC U.S. dollar versus Japanese yen		104.000	03/17/2010		1,000		37		45
						$	11,332	$	11,191

Options on Securities

Description	Strike Price		Expiration Date	Notional Amount		Cost		Value
Put - OTC Frontier Insurance Group 4.000% due 10/01/2014	EUR	87.500	02/22/2008	EUR	92,000	$	14	$	0
Put - OTC Frontier Insurance Group 4.000% due 10/01/2014		93.000	02/22/2008		15,000		2		0
Put - OTC WisdomTree International Healthcare 5.000% due 7/01/2012		97.000	02/22/2008		167,000		25		0
Put - OTC Fannie Mae 5.500% due 02/01/2038	$	88.500	02/05/2008	$	310,400		36		0
Put - OTC Fannie Mae 5.500% due 02/01/2038		89.000	02/05/2008		110,000		13		0
Put - OTC Treasury Inflation Protected Securities 2.375% due 01/15/2027		80.500	02/27/2008		19,000		4		0
Put - OTC Freddie Mac 5.500% due 03/01/2038		88.813	03/05/2008		19,000		2		0
Put - OTC Fannie Mae 5.500% due 03/01/2038		89.000	03/05/2008		301,000		35		2
Put - OTC Fannie Mae 6.000% due 03/01/2038		91.750	03/05/2008		86,750		10		2
Put - OTC Fannie Mae 6.500% due 03/01/2038		93.000	03/05/2008		30,000		4		0
Put - OTC Fannie Mae 6.500% due 03/01/2038		94.063	03/05/2008		22,600		3		0
Call - OTC Fannie Mae 5.000% due 03/01/2038		104.500	03/05/2008		324,000		38		0
						$	186	$	4

(j) Written options outstanding on December 31, 2007:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Value
Call - CBOT U.S. Treasury 10-Year Note March Futures	$	111.000	02/22/2008	476	$	190	$	1,353
Call - CBOT U.S. Treasury 10-Year Note March Futures		114.000	02/22/2008	399		336		449
Put - CBOT U.S. Treasury 10-Year Note March Futures		110.000	02/22/2008	399		215		100
					$	741	$	1,902

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Value
Call - OTC 7-Year Interest Rate Swap	JPMorgan Chase & Co.	6-Month EUR-LIBOR	Receive	4.230	%	09/14/2009	EUR	39,300	$	577	$	457
Call - OTC 10-Year Interest Rate Swap	Goldman Sachs & Co.	6-Month GBP-LIBOR	Receive	4.850	%	03/14/2008	GBP	1,400		26		16
Call - OTC 10-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Receive	4.850	%	03/14/2008		31,000		469		355
Call - OTC 7-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Receive	4.900	%	02/01/2008	$	127,900		521		3,897
Call - OTC 5-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Receive	5.100	%	02/01/2008		46,400		415		1,936
Call - OTC 7-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Receive	5.320	%	08/28/2009		22,100		585		1,055
Call - OTC 5-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	4.950	%	03/31/2008		13,500		163		493
Call - OTC 7-Year Interest Rate Swap	Merrill Lynch & Co., Inc.	3-Month USD-LIBOR	Receive	5.320	%	08/28/2009		43,600		1,182		2,081
Call - OTC 5-Year Interest Rate Swap	Morgan Stanley	3-Month USD-LIBOR	Receive	4.900	%	03/31/2008		12,400		148		429
Call - OTC 7-Year Interest Rate Swap	Morgan Stanley	3-Month USD-LIBOR	Receive	4.900	%	07/06/2009		86,500		2,910		3,003
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.100	%	02/01/2008		341,000		4,092		14,229
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.900	%	03/31/2008		282,100		3,869		9,752
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.500	%	08/03/2009		354,000		7,053		16,935
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.320	%	08/28/2009		11,400		316		544
									$	22,326	$	55,182

Foreign Currency Options

Description	Exercise Price		Expiration Date	Notional Amount		Premium		Value
Call - OTC Euro versus U.S. dollar	$	1.362	05/21/2008	EUR	600	$	38	$	64
Put- OTC Euro versus U.S. dollar		1.362	05/21/2008		600		38		4
Call - OTC U.S. dollar versus Japanese yen	JPY	117.000	02/15/2008	$	36,300		364		67
Put - OTC U.S. dollar versus Japanese yen		104.000	06/09/2008		24,300		192		287
Put - OTC U.S. dollar versus Japanese yen		104.000	06/09/2008		36,400		291		430
Put - OTC U.S. dollar versus Japanese yen		80.000	08/21/2008		10,000		51		19
Call - OTC U.S. dollar versus Japanese yen		104.000	03/17/2010		400		21		21
Put - OTC U.S. dollar versus Japanese yen		104.000	03/17/2010		400		21		18
						$	1,016	$	910

(k) Restricted securities as of December 31, 2007:

Issuer Description	Coupon		Maturity Date	Acquisition Date	Cost		Market Value		Market Value as Percentage of Net Assets
National Grid PLC	4.980	%	06/22/2011	11/03/2006	$	4,381	$	4,923	0.20	%

(l) Short sales outstanding on December 31, 2007:

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Value(2)
Fannie Mae	5.000	%	01/01/2038	$	287,100	$	282,793	$	280,147
U.S. Treasury Notes	3.000	%	02/15/2009		16,300		16,312		16,507
U.S. Treasury Notes	4.000	%	04/15/2010		25,000		25,257		25,764
U.S. Treasury Notes	4.000	%	02/15/2015		7,600		7,721		7,836
U.S. Treasury Notes	4.125	%	05/15/2015		5,000		5,125		5,142
U.S. Treasury Notes	4.250	%	11/15/2013		13,800		14,102		14,399
U.S. Treasury Notes	4.250	%	11/15/2014		25,100		25,767		26,090
U.S. Treasury Notes	4.500	%	02/15/2016		25,700		26,657		27,311
U.S. Treasury Notes	4.625	%	07/31/2012		15,000		15,812		16,096
U.S. Treasury Notes	4.625	%	11/15/2016		119,800		126,087		126,535
U.S. Treasury Notes	4.625	%	02/15/2017		84,000		88,419		89,609
U.S. Treasury Notes	4.875	%	08/15/2016		292,200		308,545		317,546
U.S. Treasury Notes	5.125	%	05/15/2016		79,590		86,735		86,964
						$	1,029,332	$	1,039,946

⁽²⁾ Market value includes $11,709 of interest payable on short sales.

(m) Foreign currency contracts outstanding on December 31, 2007:

Type	Currency	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	AUD	38,811	01/2008	$	228	$	(6	)	$	222
Sell		80,930	01/2008		378		(129	)		249
Buy		14,283	02/2008		297		0			297
Sell		11,736	02/2008		0		(228	)		(228	)
Buy	BRL	104,236	03/2008		5,608		0			5,608
Sell		55,595	03/2008		288		0			288
Buy		118,221	07/2008		1,017		(200	)		817
Sell		35,387	07/2008		215		0			215
Buy	CAD	569	01/2008		0		(3	)		(3	)
Sell		24,058	01/2008		0		(543	)		(543	)
Buy	CLP	499,300	03/2008		54		0			54
Buy	CNY	421,015	01/2008		647		0			647
Sell		421,015	01/2008		0		(1,084	)		(1,084	)
Buy		249,474	03/2008		433		0			433
Sell		249,474	03/2008		0		(628	)		(628	)
Buy		132,545	04/2008		145		0			145
Buy		205,361	07/2008		934		0			934
Sell		205,361	07/2008		0		(816	)		(816	)
Sell	DKK	112,944	03/2008		82		0			82
Buy	EUR	40,316	01/2008		916		0			916
Sell		189,014	01/2008		504		(166	)		338
Buy	GBP	93	01/2008		0		0			0
Sell		74,366	01/2008		1,919		(1	)		1,918
Sell	HKD	992	01/2008		1		0			1
Buy	INR	622,291	05/2008		529		0			529
Buy		28,658	08/2008		0		(4	)		(4	)
Sell	JPY	85,458,411	01/2008		14,719		0			14,719
Buy		843,991	02/2008		99		0			99
Sell		4,103,747	02/2008		83		0			83
Buy	KRW	1,969,163	01/2008		0		(30	)		(30	)
Sell		15,854,923	01/2008		343		0			343
Buy		24,355,571	05/2008		18		(217	)		(199	)
Sell		7,221,340	05/2008		136		0			136
Buy		791,138	08/2008		0		(6	)		(6	)
Buy	MXN	264,175	03/2008		581		(8	)		573
Sell		185,886	03/2008		0		(314	)		(314	)
Buy	MYR	160,499	05/2008		570		0			570
Sell	NZD	14,975	01/2008		0		(283	)		(283	)
Buy		12,600	02/2008		198		0			198
Sell		14,975	02/2008		69		0			69
Buy	PLN	484	07/2008		19		0			19
Buy	RUB	1,239,651	01/2008		3,001		0			3,001
Sell		1,239,651	01/2008		8		(1,420	)		(1,412	)
Buy		31,606	07/2008		33		0			33
Buy		353,753	11/2008		48		0			48
Buy	SGD	14,972	02/2008		244		0			244
Sell		756	02/2008		0		(5	)		(5	)
Buy		245	08/2008		0		0			0
Buy	TWD	166,214	01/2008		0		(18	)		(18	)
				$	34,364	$	(6,109	)	$	28,255

See accompanying notes

Schedule of Investments

Foreign Bond Fund (Unhedged)

December 31, 2007 (Unaudited)

		Principal Amount (000s	)		Value (000s	)
ARUBA 0.1%
Mizuho Trust & Banking Co. Ltd.
2.405% due 04/27/2009	JPY	200,000		$	1,826
Total Aruba (Cost $1,734)					1,826
AUSTRALIA 1.1%
New South Wales Treasury Corp.
6.000% due 05/01/2012	AUD	8,000			6,697
Queensland Treasury Corp.
6.000% due 06/14/2011		25,000			21,154
Seven Media Group
8.878% due 02/07/2013		6,257			5,412
9.392% due 02/07/2013		869			752
Total Australia (Cost $33,978)					34,015
BERMUDA 0.1%
Merna Reinsurance Ltd.
5.480% due 07/07/2010 (k)	$	4,000			3,920
Total Bermuda (Cost $3,963)					3,920
CANADA 3.2%
Alcan, Inc.
6.450% due 03/15/2011	$	2,400			2,541
Canada Housing Trust No. 1
4.550% due 12/15/2012	CAD	51,800			53,359
DaimlerChrysler Canada Finance, Inc.
4.850% due 03/30/2009		2,400			2,428
Honda Canada Finance, Inc.
4.997% due 03/26/2012		27,000			27,319
Province of Ontario Canada
6.200% due 06/02/2031		5,500			6,829
Province of Quebec Canada
5.750% due 12/01/2036		2,300			2,700
Total Canada (Cost $87,782)					95,176
CAYMAN ISLANDS 1.6%
Calabash Re II Ltd.
13.391% due 01/08/2010	$	3,100			3,201
Foundation Re II Ltd.
11.655% due 11/26/2010		1,500			1,555
Longpoint Re Ltd.
10.241% due 05/08/2010		3,300			3,387
Mizuho Finance Cayman Ltd.
1.060% due 09/28/2049	JPY	300,000			2,685
1.466% due 12/31/2049		100,000			907
Mizuho Financial Group Cayman Ltd.
8.375% due 01/29/2049	$	8,000			8,085
MUFG Capital Finance 1 Ltd.
6.346% due 07/29/2049		4,700			4,459
MUFG Capital Finance 2 Ltd.
4.850% due 07/29/2049	EUR	1,800			2,233
Mystic Re Ltd.
14.081% due 12/05/2008	$	500			509
Redwood Capital IX Ltd.
11.493% due 01/09/2008		1,000			1,000
11.993% due 01/09/2008		2,000			1,998
Residential Reinsurance 2005 Ltd.
10.574% due 06/06/2008		1,000			1,000
Residential Reinsurance 2007 Ltd.
12.874% due 06/07/2010		5,900			6,077
SMFG Preferred Capital USD 1 Ltd.
6.078% due 01/29/2049		5,600			5,187
STB Finance Cayman
1.644% due 08/12/2049	JPY	300,000			2,674
Vita Capital III Ltd.
6.331% due 01/01/2011	$	4,000		$	3,951
Total Cayman Islands (Cost $49,207)					48,908
DENMARK 0.5%
Nykredit Realkredit A/S
5.000% due 10/01/2038	DKK	22,996			4,250
Realkredit Danmark A/S
5.000% due 10/01/2038		59,241			10,926
Total Denmark (Cost $14,213)					15,176
FRANCE 6.4%
Caisse Nationale des Caisses d’Epargne et de Prevoyance
6.117% due 10/29/2049	EUR	7,600			10,381
Credit Agricole S.A.
5.053% due 05/28/2009	$	10,800			10,808
6.637% due 05/29/2049		5,900			5,483
France Government Bond
4.000% due 10/25/2009	EUR	4,500			6,569
4.000% due 04/25/2014		300			433
4.000% due 10/25/2014		92,900			133,874
4.000% due 04/25/2055		300			388
4.750% due 10/25/2012		100			150
5.500% due 04/25/2029		4,200			6,840
5.750% due 10/25/2032		10,100			17,083
Total France (Cost $190,143)					192,009
GERMANY 16.1%
Bundesobligation
4.000% due 04/13/2012	EUR	34,200			49,733
Deutsche Bank AG
5.375% due 10/12/2012	$	9,200			9,437
6.000% due 09/01/2017		5,600			5,818
Republic of Germany
3.750% due 01/04/2015	EUR	39,000			55,330
4.000% due 07/04/2009		300			438
4.250% due 01/04/2014		27,340			40,083
4.250% due 07/04/2014		21,500			31,489
4.750% due 07/04/2034		400			596
5.000% due 01/04/2012		2,000			3,014
5.000% due 07/04/2012		16,700			25,237
5.250% due 07/04/2010		5,000			7,510
5.250% due 01/04/2011		75,600			114,133
5.375% due 01/04/2010		300			449
5.500% due 01/04/2031		27,700			45,324
5.625% due 01/04/2028		41,700			68,796
6.250% due 01/04/2024		9,800			17,046
6.250% due 01/04/2030		4,740			8,440
6.500% due 07/04/2027		2,260			4,093
Total Germany (Cost $479,300)					486,966
ICELAND 0.2%
Glitnir Banki HF
5.620% due 01/21/2011	$	3,000			2,916
Kaupthing Bank HF
5.750% due 10/04/2011		2,900			2,729
Total Iceland (Cost $5,888)					5,645
IRELAND 0.4%
Atlas Reinsurance PLC
8.786% due 01/10/2010	EUR	2,000			2,967
Bank of Ireland
4.951% due 12/19/2008	$	7,000			6,997
Osiris Capital PLC
10.242% due 01/15/2010		1,000			1,013
Total Ireland (Cost $10,616)					10,977
ITALY 0.1%
Italy Buoni Poliennali Del Tesoro
3.000% due 04/15/2009	EUR	700			1,010
4.250% due 08/01/2014		1,100			1,606
4.500% due 05/01/2009		1,000			1,469
Total Italy (Cost $4,088)					4,085
JAPAN 23.7%
Bank of Tokyo-Mitsubishi UFJ Ltd.
3.500% due 12/16/2015	EUR	300			414
Japan Government Bond
1.500% due 03/20/2011	JPY	5,150,000			47,029
1.500% due 03/20/2014		1,590,000			14,551
1.500% due 03/20/2015		3,850,000			35,131
1.600% due 09/20/2013		1,660,000			15,298
1.600% due 06/20/2014		3,970,000			36,541
1.800% due 06/20/2017		10,500,000			96,767
2.300% due 06/20/2035		3,530,000			31,397
2.400% due 03/20/2034		580,000			5,284
2.500% due 09/20/2035		7,810,000			72,390
2.500% due 03/20/2036		210,000			1,941
2.500% due 06/20/2036		5,431,000			50,200
2.500% due 09/20/2036		11,510,000			106,382
2.500% due 09/20/2037		1,080,000			9,987
Japanese Government CPI Linked Bond
0.800% due 12/10/2015		994,950			8,814
1.000% due 06/10/2016		2,688,690			24,036
1.100% due 12/10/2016		5,970,000			53,767
1.200% due 03/10/2017		170,510			1,546
1.200% due 06/10/2017		10,513,440			94,905
Resona Bank Ltd.
5.850% due 09/29/2049	$	3,500			3,259
Sumitomo Mitsui Banking Corp.
1.782% due 12/31/2049	JPY	300,000			2,693
1.874% due 09/29/2049		300,000			2,698
1.880% due 12/01/2049		400,000			3,614
Total Japan (Cost $691,403)					718,644
JERSEY, CHANNEL ISLANDS 0.2%
HSBC Capital Funding LP
9.547% due 12/29/2049	$	4,852			5,306
Total Jersey, Channel Islands (Cost $5,331)					5,306
LUXEMBOURG 0.1%
Unicredit Luxembourg Finance S.A.
5.142% due 10/24/2008	$	3,100			3,094
Total Luxembourg (Cost $3,100)					3,094
MEXICO 0.1%
C5 Capital SPV Ltd.
6.196% due 12/31/2049	$	3,000			2,970
Total Mexico (Cost $3,000)					2,970
NETHERLANDS 0.3%
Deutsche Telekom International Finance BV
8.250% due 06/15/2030	$	1,600			2,002
Generali Finance BV
5.479% due 02/28/2049	EUR	2,000			2,718
Netherlands Government Bond
3.750% due 07/15/2014		1,200		$	1,708
4.250% due 07/15/2013		400			586
Siemens Financieringsmaatschappij NV
4.920% due 08/14/2009	$	1,400			1,401
Total Netherlands (Cost $7,975)					8,415
NETHERLANDS ANTILLES 0.1%
BTM Curacao Holdings NV
1.020% due 12/31/2049	JPY	300,000			2,698
Total Netherlands Antilles (Cost $2,554)					2,698
RUSSIA 0.7%
Gaz Capital for Gazprom
5.875% due 06/01/2015	EUR	600			825
Gazstream S.A. for OAO Gazprom
5.625% due 07/22/2013	$	15,700			15,535
VTB Capital S.A.
5.494% due 08/01/2008		6,400			6,344
Total Russia (Cost $22,698)					22,704
SPAIN 4.1%
Santander Perpetual S.A. Unipersonal
6.671% due 10/29/2049	$	7,000			7,031
Santander U.S. Debt S.A. Unipersonal
5.201% due 11/20/2009		4,000			3,953
Spain Government Bond
4.200% due 01/31/2037	EUR	600			805
4.400% due 01/31/2015		42,000			61,741
5.400% due 07/30/2011		20,800			31,633
5.750% due 07/30/2032		11,150			18,768
6.150% due 01/31/2013		1,000			1,591
Total Spain (Cost $126,973)					125,522
SUPRANATIONAL 0.1%
European Investment Bank
4.250% due 12/07/2010	GBP	1,600			3,140
Total Supranational (Cost $3,215)					3,140
SWITZERLAND 0.2%
UBS AG
5.875% due 12/20/2017	$	7,500			7,567
Total Switzerland (Cost $7,491)					7,567
TUNISIA 0.1%
Banque Centrale de Tunisie
4.500% due 06/22/2020	EUR	3,000			3,977
Total Tunisia (Cost $3,629)					3,977
UKRAINE 0.0%
Ukraine Government International Bond
4.950% due 10/13/2015	EUR	1,000			1,281
Total Ukraine (Cost $1,210)					1,281
UNITED KINGDOM 3.5%
Bank of Scotland PLC
5.028% due 07/17/2008	$	2,300			2,299
Barclays Bank PLC
6.050% due 12/04/2017		20,100			20,291
7.434% due 09/29/2049		7,500			7,807
HBOS PLC
5.920% due 09/29/2049		8,400			7,338
HSBC Holdings PLC
6.500% due 05/02/2036		6,300			6,144
Royal Bank of Scotland Group PLC
5.238% due 12/21/2007		3,500			3,500
Tate & Lyle International Finance PLC
5.000% due 11/15/2014		1,100			1,068
United Kingdom Gilt
4.000% due 03/07/2009	GBP	11,000			21,787
4.750% due 06/07/2010		140			282
5.000% due 03/07/2012		2,030			4,134
5.750% due 12/07/2009		2,000			4,084
9.000% due 07/12/2011		12,150			27,765
XL Capital Europe PLC
6.500% due 01/15/2012	$	500			523
Total United Kingdom (Cost $109,461)					107,022
UNITED STATES 70.7%
Asset-Backed Securities 5.0%
ACE Securities Corp.
4.925% due 10/25/2036	$	3,887			3,753
American Express Credit Account Master Trust
5.028% due 01/18/2011		2,900			2,900
Amortizing Residential Collateral Trust
5.155% due 07/25/2032		1			1
5.215% due 10/25/2031		5			4
Argent Securities, Inc.
4.915% due 10/25/2036		4,665			4,580
4.925% due 05/25/2036		25			25
Asset-Backed Funding Certificates
4.925% due 10/25/2036		3,287			3,250
5.215% due 06/25/2034		4,406			4,246
Bank One Issuance Trust
5.138% due 12/15/2010		1,100			1,100
Bear Stearns Asset-Backed Securities Trust
5.315% due 03/25/2043		8			8
Carrington Mortgage Loan Trust
4.930% due 07/25/2036		382			379
Chase Credit Card Master Trust
5.138% due 02/15/2011		1,450			1,450
CIT Group Home Equity Loan Trust
5.155% due 03/25/2033		10			9
Community Program Loan Trust
4.500% due 10/01/2018		632			628
Countrywide Asset-Backed Certificates
4.915% due 03/25/2047		3,964			3,900
4.925% due 09/25/2046		964			953
4.965% due 09/25/2047		7,832			7,578
5.345% due 12/25/2031		4			3
CS First Boston Mortgage Securities Corp.
5.485% due 01/25/2032		3			3
CSAB Mortgage-Backed Trust
4.965% due 06/25/2036		758			750
DaimlerChrysler Auto Trust
5.250% due 05/08/2009		922			923
Ford Credit Auto Owner Trust
5.048% due 12/15/2009		4,899			4,895
5.292% due 10/15/2008		10,311			10,326
Fremont Home Loan Trust
4.935% due 02/25/2037		4,572			4,482
GSAMP Trust
5.155% due 03/25/2034		31			31
HFC Home Equity Loan Asset-Backed Certificates
5.299% due 09/20/2033		747			729
HSI Asset Securitization Corp. Trust
4.975% due 04/25/2037		354			326
Indymac Residential Asset-Backed Trust
4.925% due 04/25/2037		314			307
IXIS Real Estate Capital Trust
4.925% due 08/25/2036		530			527
JPMorgan Mortgage Acquisition Corp.
4.935% due 03/25/2036		796			793
Lehman XS Trust
4.935% due 05/25/2046		328			325
4.945% due 06/25/2046		411			405
4.945% due 07/25/2046		2,215			2,197
4.945% due 11/25/2046		6,878			6,586
5.015% due 04/25/2037		10,476			10,214
Long Beach Mortgage Loan Trust
5.145% due 10/25/2034		360			347
Merrill Lynch Mortgage Investors, Inc.
4.915% due 05/25/2037		265			261
4.935% due 08/25/2036		3,727			3,676
4.935% due 07/25/2037		6,478			6,297
4.945% due 09/25/2037		6,679			6,546
Morgan Stanley Home Equity Loans
4.975% due 02/25/2036		5,700			5,615
Nelnet Student Loan Trust
5.174% due 07/25/2016		572			572
Newcastle Mortgage Securities Trust
4.935% due 03/25/2036		1,053			1,046
Quest Trust
5.305% due 09/25/2034		5			4
Renaissance Home Equity Loan Trust
5.215% due 08/25/2032		1			1
5.365% due 12/25/2033		1,116			1,099
Residential Asset Mortgage Products, Inc.
4.945% due 10/25/2036		7,171			6,980
Residential Asset Securities Corp.
4.905% due 06/25/2036		59			59
4.935% due 07/25/2036		1,151			1,143
4.945% due 10/25/2036		5,772			5,643
5.365% due 07/25/2032		16			15
SACO I, Inc.
4.925% due 05/25/2036		732			695
Saxon Asset Securities Trust
4.925% due 10/25/2046		6,779			6,693
5.385% due 08/25/2032		3			3
SBI HELOC Trust
5.035% due 08/25/2036		5,819			5,550
Securitized Asset-Backed Receivables LLC Trust
4.905% due 01/25/2037		1,129			1,094
4.925% due 03/25/2036		241			238
SLM Student Loan Trust
3.800% due 12/15/2038		2,700			2,647
5.074% due 07/25/2017		376			376
5.094% due 10/26/2015		434			434
Soundview Home Equity Loan Trust
4.925% due 06/25/2036		23			23
Structured Asset Investment Loan Trust
4.955% due 01/25/2036		1,263			1,262
Structured Asset Securities Corp.
5.265% due 05/25/2034		10			9
Washington Mutual Asset-Backed Certificates
4.925% due 10/25/2036		755			729
Wells Fargo Home Equity Trust
4.985% due 12/25/2035		1,944			1,943
5.095% due 10/25/2035		3,956			3,832
5.105% due 11/25/2035		7,056			6,808
					150,226
Bank Loan Obligations 1.0%
Daimler Finance North America LLC
9.000% due 08/03/2012		20,856			20,107
Ford Motor Co.
8.000% due 12/15/2013		1,089			1,010
Georgia-Pacific Corp.
6.580% due 12/20/2012		233			223
6.831% due 12/20/2012		286			273
6.896% due 12/20/2012		2,429			2,318
HCA, Inc.
7.080% due 11/16/2013		4,069			3,927
MGM Mirage
6.114% due 10/03/2011		200			190
6.187% due 10/03/2011		200			190
6.495% due 10/03/2011		600			563
Tell Group PLC
6.345% due 04/27/2011		26			24
					28,825
Commodity Index-Linked Notes 0.2%
Morgan Stanley
4.805% due 07/07/2008		7,000			7,013
Corporate Bonds & Notes 13.3%
ACE INA Holdings, Inc.
5.875% due 06/15/2014		1,000			1,026
American Express Centurion Bank
5.250% due 05/07/2008		6,500			6,494
American International Group, Inc.
4.875% due 03/15/2067	EUR	5,200			6,652
5.850% due 01/16/2018	$	7,900			7,967
Amgen, Inc.
5.133% due 11/28/2008		6,200			6,194
AT&T, Inc.
5.080% due 11/14/2008		1,000			999
AutoZone, Inc.
5.875% due 10/15/2012		1,600			1,650
Bank of America Corp.
4.875% due 11/06/2009		4,100			4,087
5.502% due 10/14/2016		1,600			1,550
Bear Stearns Cos., Inc.
6.950% due 08/10/2012		11,900			12,248
BellSouth Corp.
4.240% due 04/26/2021		2,300			2,292
4.969% due 08/15/2008		3,900			3,894
5.200% due 09/15/2014		1,400			1,399
Boston Scientific Corp.
6.400% due 06/15/2016		2,700			2,552
Caesars Entertainment, Inc.
8.875% due 09/15/2008		300			312
CenterPoint Energy, Inc.
5.875% due 06/01/2008		1,700			1,702
CenturyTel, Inc.
6.000% due 04/01/2017		2,800			2,818
Charter One Bank N.A.
5.115% due 04/24/2009		9,000			8,966
CIT Group, Inc.
5.225% due 05/23/2008		3,500			3,452
5.256% due 06/08/2009		7,500			7,020
Citigroup, Inc.
4.898% due 12/26/2008		5,200			5,179
6.000% due 08/15/2017		6,900			7,052
6.125% due 11/21/2017		19,800			20,376
Clorox Co.
5.450% due 10/15/2012		2,600			2,624
CNA Financial Corp.
6.000% due 08/15/2011		2,000			2,051
Comcast Corp.
5.542% due 07/14/2009		7,600			7,575
ConocoPhillips Australia Funding Co.
5.343% due 04/09/2009		5,548			5,541
Cox Communications, Inc.
6.750% due 03/15/2011		1,700			1,785
CVS Caremark Corp.
5.441% due 06/01/2010		5,900			5,841
5.750% due 08/15/2011		700			718
Daimler Finance North America LLC
4.875% due 06/15/2010		700			697
5.461% due 03/13/2009		5,800			5,769
5.750% due 09/08/2011		1,100			1,117
East Lane Re Ltd.
11.911% due 05/06/2011		1,600			1,608
EchoStar DBS Corp.
6.375% due 10/01/2011		800			792
Edison Mission Energy
7.000% due 05/15/2017		300			296
Entergy Gulf States, Inc.
5.896% due 12/08/2008		1,100			1,104
Erac USA Finance Co.
6.375% due 10/15/2017		1,300			1,258
Exelon Corp.
4.900% due 06/15/2015		2,300			2,168
Ford Motor Credit Co. LLC
5.625% due 10/01/2008		2,000			1,942
5.800% due 01/12/2009		4,000			3,798
6.625% due 06/16/2008		1,000			986
7.250% due 10/25/2011		2,100			1,820
7.800% due 06/01/2012		100			88
Freeport-McMoRan Copper & Gold, Inc.
8.394% due 04/01/2015		1,900			1,933
General Electric Capital Corp.
5.065% due 10/24/2008		3,200			3,195
5.091% due 06/15/2009		3,300			3,298
5.095% due 10/26/2009		5,400			5,389
5.172% due 12/12/2008		2,500			2,499
6.375% due 11/15/2067		5,100			5,275
GMAC LLC
6.000% due 12/15/2011		3,900			3,274
6.119% due 05/15/2009		3,400			3,168
7.000% due 02/01/2012		1,100			934
8.000% due 11/01/2031		2,700			2,270
Goldman Sachs Group, Inc.
5.250% due 06/01/2016 (k)	CAD	4,800			4,698
6.250% due 09/01/2017	$	22,500			23,449
Harrah’s Operating Co., Inc.
5.498% due 02/08/2008		2,400			2,401
HCP, Inc.
5.950% due 09/15/2011		700			702
6.700% due 01/30/2018		2,900			2,838
HJ Heinz Co.
6.428% due 12/01/2008		3,100			3,157
HJ Heinz Finance Co.
6.000% due 03/15/2012		3,700			3,799
Home Depot, Inc.
5.116% due 12/16/2009		5,700			5,587
International Lease Finance Corp.
5.400% due 02/15/2012		2,400			2,422
JC Penney Corp., Inc.
8.000% due 03/01/2010		2,200			2,292
JPMorgan Chase & Co.
5.058% due 02/22/2021	CAD	3,100			3,016
5.300% due 05/07/2010	$	12,000			11,847
JPMorgan Chase Bank N.A.
6.000% due 10/01/2017		1,800			1,834
JPMorgan Chase Capital
6.550% due 09/29/2036		3,000			2,715
JPMorgan Chase Capital XXII
6.450% due 02/02/2037		6,300			5,625
Kinder Morgan Energy Partners LP
6.950% due 01/15/2038		8,000			8,423
Lennar Corp.
5.950% due 10/17/2011		700			592
Loews Corp.
5.250% due 03/15/2016		800			800
Macys Retail Holdings, Inc.
4.800% due 07/15/2009		700			696
Mandalay Resort Group
9.500% due 08/01/2008		700			718
Marsh & McLennan Cos., Inc.
5.150% due 09/15/2010		1,900			1,899
Masco Corp.
5.875% due 07/15/2012		700			718
Maytag Corp.
5.000% due 05/15/2015		2,200			2,084
McKesson Corp.
5.700% due 03/01/2017		1,900			1,892
Merck & Co., Inc.
4.750% due 03/01/2015		2,200			2,191
Merrill Lynch & Co., Inc.
4.960% due 08/14/2009		1,000			979
5.191% due 10/23/2008		4,300			4,243
Metropolitan Life Global Funding I
4.945% due 05/17/2010		6,000			5,960
Midwest Generation LLC
8.300% due 07/02/2009		884			897
Mizuho JGB Investment LLC
9.870% due 12/29/2049		2,800			2,831
Mizuho Preferred Capital Co. LLC
8.790% due 12/29/2049		2,800			2,825
Morgan Stanley
4.925% due 05/07/2009		6,000			5,928
4.972% due 11/21/2008		3,100			3,078
5.334% due 01/18/2008		900			900
5.659% due 10/18/2016		2,200			2,056
6.250% due 08/28/2017		1,200			1,222
NGPL Pipe Co. LLC
7.119% due 12/15/2017		400			411
7.768% due 12/15/2037		7,700			8,080
NiSource Finance Corp.
5.400% due 07/15/2014		800			785
Prudential Financial, Inc.
6.625% due 12/01/2037		8,900			9,004
Qwest Capital Funding, Inc.
6.375% due 07/15/2008		400			400
Qwest Corp.
8.241% due 06/15/2013		1,500			1,538
Rabobank Capital Funding Trust
5.254% due 12/29/2049		2,000			1,793
Raychem Corp.
7.200% due 10/15/2008		200			201
Sara Lee Corp.
6.250% due 09/15/2011		1,600			1,663
SB Treasury Co. LLC
9.400% due 12/29/2049		5,100			5,208
Sealed Air Corp.
5.625% due 07/15/2013		2,300			2,300
Southwest Airlines Co.
5.125% due 03/01/2017		3,300			3,176
Sprint Capital Corp.
8.375% due 03/15/2012		2,900			3,144
8.750% due 03/15/2032		1,100			1,243
State Street Capital Trust IV
5.991% due 06/15/2037		5,900			4,594
SUPERVALU, Inc.
7.500% due 11/15/2014		400			412
Time Warner, Inc.
5.109% due 11/13/2009		8,500			8,295
Tokai Preferred Capital Co. LLC
9.980% due 12/29/2049		3,500			3,554
Transcontinental Gas Pipe Line Corp.
6.250% due 01/15/2008		500			500
6.522% due 04/15/2008		1,000			1,003
U.S. Bancorp
4.885% due 04/28/2009		4,300			4,285
United Airlines, Inc.
9.060% due 06/17/2015 (a)		175			10
Viacom, Inc.
5.750% due 04/30/2011		2,800			2,837
Wal-Mart Stores, Inc.
4.891% due 06/16/2008		5,600			5,602
Westpac Banking Corp.
5.212% due 06/06/2008		5,400			5,398
Wyeth
6.950% due 03/15/2011		1,900			2,026
Xerox Corp.
9.750% due 01/15/2009		2,400			2,510
					403,980
Mortgage-Backed Securities 9.3%
Adjustable Rate Mortgage Trust
5.132% due 09/25/2035		687			682
American Home Mortgage Investment Trust
4.290% due 10/25/2034		1,361			1,337
5.015% due 09/25/2035		339			339
Banc of America Funding Corp.
6.144% due 01/20/2047		980			966
Banc of America Mortgage Securities, Inc.
5.000% due 05/25/2034		2,989			2,855
Bear Stearns Adjustable Rate Mortgage Trust
4.125% due 03/25/2035		16,152			15,963
4.434% due 05/25/2034		2,614			2,569
4.486% due 02/25/2034		167			165
4.550% due 08/25/2035		13,219			13,039
4.625% due 10/25/2035		8,256			8,138
4.652% due 10/25/2033		1,104			1,094
4.673% due 05/25/2034		700			681
5.608% due 02/25/2033		172			171
Bear Stearns Alt-A Trust
5.527% due 09/25/2035		5,189			5,113
5.811% due 11/25/2036		10,482			10,338
5.949% due 02/25/2036		7,763			7,691
Bear Stearns Commercial Mortgage Securities
5.138% due 03/15/2019		153			148
5.540% due 09/11/2041		2,600			2,644
Bear Stearns Structured Products, Inc.
4.989% due 01/25/2037		11,143			11,029
Bella Vista Mortgage Trust
5.199% due 05/20/2045		101			95
Citigroup Commercial Mortgage Trust
5.098% due 08/15/2021		552			534
Citigroup Mortgage Loan Trust, Inc.
4.248% due 08/25/2035		3,905			3,828
4.748% due 08/25/2035		4,405			4,346
4.900% due 10/25/2035		11,494			11,431
Citigroup/Deutsche Bank Commercial Mortgage Trust
5.322% due 12/11/2049		11,800			11,787
Commercial Mortgage Pass-Through Certificates
5.466% due 02/05/2019		300			296
6.455% due 05/15/2032		3,200			3,210
Countrywide Alternative Loan Trust
5.075% due 05/25/2035		1,645			1,585
5.145% due 02/25/2037		147			139
5.159% due 03/20/2046		187			177
Countrywide Home Loan Mortgage Pass-Through Trust
5.155% due 04/25/2035		309			294
5.185% due 03/25/2035		2,953			2,801
5.195% due 02/25/2035		207			200
5.205% due 02/25/2035		314			296
5.250% due 02/20/2036		2,380			2,360
6.141% due 08/25/2034		442			440
Credit Suisse Mortgage Capital Certificates
5.311% due 12/15/2039		11,200			11,182
CS First Boston Mortgage Securities Corp.
4.094% due 08/25/2033		1,424			1,428
4.918% due 07/25/2033		172			172
Deutsche ALT-A Securities, Inc. Alternate Loan Trust
4.883% due 10/25/2036		3,915			3,907
4.935% due 01/25/2047		607			595
First Horizon Asset Securities, Inc.
4.402% due 12/25/2033		1,058			1,052
4.737% due 07/25/2033		234			233
5.372% due 08/25/2035		629			627
6.250% due 08/25/2017		2,180			2,200
GMAC Mortgage Corp. Loan Trust
4.311% due 06/25/2034		179			175
5.500% due 09/25/2034		1,883			1,884
Greenpoint Mortgage Funding Trust
5.085% due 06/25/2045		1,053			998
5.135% due 11/25/2045		207			194
Greenpoint Mortgage Pass-Through Certificates
4.381% due 10/25/2033		189			188
GS Mortgage Securities Corp. II
5.342% due 03/06/2020		71			68
6.620% due 10/18/2030		3,791			3,797
GSR Mortgage Loan Trust
4.539% due 09/25/2035		1,013			1,005
4.603% due 03/25/2033		1,102			1,085
Harborview Mortgage Loan Trust
4.970% due 05/19/2033		1,643			1,618
5.055% due 01/19/2038		3,611			3,569
5.148% due 07/19/2035		316			312
5.155% due 01/19/2038		9,164			8,598
5.185% due 05/19/2035		1,881			1,780
5.205% due 03/19/2037		165			155
5.335% due 02/19/2034		20			19
Indymac Index Mortgage Loan Trust
5.047% due 12/25/2034		454			449
JPMorgan Chase Commercial Mortgage Securities Corp.
5.429% due 12/12/2043		4,000			4,030
JPMorgan Mortgage Trust
4.392% due 11/25/2033		944			931
5.023% due 02/25/2035		3,004			2,945
LB-UBS Commercial Mortgage Trust
4.990% due 11/15/2030		264			264
MASTR Adjustable Rate Mortgages Trust
4.139% due 07/25/2034		1,300			1,291
MASTR Asset Securitization Trust
5.500% due 11/25/2017		437			433
Mellon Residential Funding Corp.
5.468% due 12/15/2030		20			20
Merrill Lynch Mortgage Investors, Inc.
5.075% due 02/25/2036		12,254			11,802
6.439% due 02/25/2033		1,204			1,199
Merrill Lynch Mortgage Trust
3.585% due 10/12/2041		198			196
MLCC Mortgage Investors, Inc.
4.250% due 10/25/2035		7,766			7,492
5.115% due 11/25/2035		3,136			3,032
5.865% due 10/25/2035		4,420			4,344
Nomura Asset Acceptance Corp.
5.050% due 10/25/2035		568			560
Residential Accredit Loans, Inc.
5.075% due 04/25/2046		213			200
Residential Funding Mortgage Securities I, Inc.
5.216% due 09/25/2035		655			646
Structured Adjustable Rate Mortgage Loan Trust
4.180% due 02/25/2034		688			683
4.590% due 04/25/2034		1,608			1,604
5.085% due 05/25/2037		272			260
6.188% due 01/25/2035		91			88
Structured Asset Mortgage Investments, Inc.
5.085% due 05/25/2036		6,599			6,226
5.095% due 05/25/2045		1,310			1,242
5.175% due 12/25/2035		88			84
5.215% due 07/19/2035		8,587			8,228
Thornburg Mortgage Securities Trust
4.985% due 09/25/2046		5,556			5,433
Wachovia Bank Commercial Mortgage Trust
5.118% due 09/15/2021		7,269			7,159
Washington Mutual MSC Mortgage Pass-Through Certificates
5.967% due 02/25/2033		30			30
Washington Mutual, Inc.
4.143% due 08/25/2034		4,210			4,124
4.208% due 06/25/2033		541			538
4.229% due 03/25/2034		2,879			2,848
5.095% due 04/25/2045		2,861			2,704
5.125% due 11/25/2045		620			585
5.135% due 12/25/2045		2,237			2,119
5.155% due 10/25/2045		268			252
5.175% due 01/25/2045		532			504
5.185% due 01/25/2045		392			372
5.405% due 12/25/2027		1,619			1,549
5.768% due 06/25/2046		4,460			4,282
5.788% due 02/25/2046		149			144
5.883% due 07/25/2046		1,590			1,519
5.883% due 10/25/2046		3,559			3,481
6.059% due 05/25/2041		77			77
6.188% due 06/25/2042		467			445
6.188% due 08/25/2042		183			176
Wells Fargo Mortgage-Backed Securities Trust
4.109% due 06/25/2035		1,969			1,962
4.950% due 03/25/2036		6,569			6,499
5.625% due 04/25/2036		2,157			2,096
					282,769
Municipal Bonds & Notes 0.1%
Chicago, Illinois General Obligation Bonds, (FSA Insured), Series 2006
6.728% due 01/01/2014		630			654
Iowa State Tobacco Settlement Authority Revenue Bonds, Series 2005
6.500% due 06/01/2023		960			916
New Jersey State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2007
5.000% due 06/01/2041		500			416
New York City, New York Municipal Water Finance Authority Revenue Notes, Series 2006
6.869% due 12/15/2013		330			338
Puerto Rico Sales Tax Financing Corp. Revenue Bonds, (AMBAC Insured), Series 2007
0.000% due 08/01/2054		2,000			177
South Carolina State Transportation Infrastructure Bank Revenue Bonds, (AMBAC Insured), Series 2001
5.000% due 10/01/2023		1,500			1,550
					4,051
		Shares
Preferred Stocks 0.1%
Fresenius Medical Care Capital Trust II
7.875% due 02/01/2008		3,200			3,208
		Principal Amount (000s	)
U.S. Government Agencies 39.5%
Fannie Mae
4.186% due 11/01/2034	$	5,734			5,789
4.925% due 12/01/2034 - 07/25/2037		6,153			5,948
4.985% due 03/25/2034		40			39
5.000% due 11/25/2032 - 06/01/2037		4,000			3,811
5.015% due 08/25/2034		40			39
5.115% due 06/25/2044		21			21
5.265% due 06/25/2029		41			41
5.500% due 05/25/2027 - 01/01/2038		484,018			483,544
5.500% due 07/01/2032 - 09/01/2037 (f)		301,817			301,670
5.527% due 03/01/2033		302			303
6.000% due 01/01/2023 - 07/25/2044		8,124			8,297
6.000% due 06/01/2031 - 01/01/2038 (f)		234,694			238,401
6.063% due 06/01/2043 - 10/01/2044		882			883
6.341% due 12/01/2036		428			434
6.500% due 04/01/2035 - 06/25/2044		33,291			34,225
6.500% due 07/01/2035 - 10/01/2037 (f)		13,207			13,582
7.203% due 05/01/2026		38			38
Federal Housing Administration
6.896% due 07/01/2020		1,206			1,219
7.430% due 09/01/2022 - 11/01/2022		87			88
Freddie Mac
4.364% due 09/01/2035		356			354
4.500% due 07/15/2018		2,893			2,889
5.000% due 11/15/2021 - 12/15/2031		12,230			12,168
5.125% due 08/25/2031		78			79
5.378% due 12/15/2030		571			571
5.478% due 12/15/2031		172			173
5.500% due 02/01/2038		15,500			15,459
6.000% due 02/01/2037 - 09/01/2037 (f)		57,756			58,628
7.214% due 06/01/2024		75			77
Ginnie Mae
4.500% due 09/15/2033		44			42
6.000% due 08/20/2034		4,273			4,292
6.125% due 10/20/2029		50			51
Small Business Administration
4.625% due 02/01/2025		987			974
4.754% due 08/10/2014		69			69
5.110% due 04/01/2025		2,092			2,103
					1,196,301
U.S. Treasury Obligations 2.2%
Treasury Inflation Protected Securities (c)
2.375% due 01/15/2027		18,548			19,620
2.625% due 07/15/2017		17,946			19,369
U.S. Treasury Bonds
4.500% due 02/15/2036		3,600			3,620
4.750% due 08/15/2017		21,600			22,820
					65,429
Total United States (Cost $2,141,043)					2,141,802
SHORT-TERM INSTRUMENTS 22.6%
Commercial Paper 21.4%
Bank of America Corp.
4.735% due 03/20/2008		57,500			56,899
Barclays U.S. Funding Corp.
5.085% due 03/14/2008		78,900			78,143
Calyon Financial, Inc.
4.760% due 02/21/2008		60,400			60,001
Citibank N.A.
5.940% due 02/01/2008		27,100			26,966
Danske Corp.
4.970% due 01/22/2008		79,000			78,782
DnB NORBank ASA
4.920% due 02/01/2008		34,600			34,458
4.930% due 03/03/2008		27,600			27,378
Fortis Funding LLC
4.000% due 01/02/2008		36,000			36,000
Royal Bank of Scotland Group PLC
4.875% due 03/17/2008		800			792
4.950% due 03/19/2008		2,400			2,375
4.970% due 03/18/2008		80,000			79,186
Swedbank AB
4.920% due 03/18/2008		79,600			78,791
Unicredito Italiano SpA
4.940% due 03/17/2008		83,300			82,465
5.000% due 03/25/2008		5,700			5,636
					647,872
Repurchase Agreements 0.5%
Fixed Income Clearing Corp.
2.250% due 01/02/2008		11,000			11,000
(Dated 12/31/2007. Collateralized by Federal Home Loan Bank 1.000% due 12/08/2008 valued at $11,223. Repurchase proceeds are $11,001.)
3.900% due 01/02/2008		4,190			4,190
(Dated 12/31/2007. Collateralized by Fannie Mae 3.250% due 01/15/2008 valued at $4,274. Repurchase proceeds are $4,191.)
					15,190
U.S. Treasury Bills 0.7%
2.914% due 02/28/2008 - 03/13/2008 (b)(d)(g)		20,220			20,043
Total Short-Term Instruments (Cost $683,059)					683,105
Purchased Options (i) 2.7% (Cost $36,340)					82,030
Total Investments 159.0% (Cost $4,729,394)				$	4,817,980
Written Options (j) (2.0%) (Premiums $27,235)					(61,871	)
Other Assets and Liabilities (Net) (57.0%)					(1,726,377	)
Net Assets (e) 100.0%				$	3,029,732

Notes to Schedule of Investments (amounts in thousands*, except number of contracts):

* A zero balance may reflect actual amounts rounding to less than one thousand.

(a) Security is in default.

(b) Coupon represents a weighted average rate.

(c) Principal amount of security is adjusted for inflation.

(d) Securities with an aggregate market value of $13,623 have been pledged as collateral for swap and swaption contracts on December 31, 2007.

(e) As of December 31, 2007, portfolio securities with an aggregate value of $64,535 and derivative instruments with an aggregate depreciation of ($2,918) were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(f) The average amount of borrowings outstanding during the period ended December 31, 2007 was $293,748 at a weighted average interest rate of 5.130%. On December 31, 2007, securities valued at $612,028 were pledged as collateral for reverse repurchase agreements.

(g) Securities with an aggregate market value of $6,171 and cash of $30,825 have been segregated with the custodian to cover margin requirements for the following open futures contracts on December 31, 2007:

Description	Type	Expiration Month	# of Contracts		Unrealized Appreciation/ (Depreciation	)
90-Day Euribor December Futures	Long	12/2008	478	$	42
90-Day Euribor December Futures	Long	12/2009	500		154
90-Day Euribor June Futures	Long	06/2008	1,040		77
90-Day Euribor June Futures	Long	06/2009	14		12
90-Day Euribor March Futures	Long	03/2008	858		(401	)
90-Day Euribor March Futures	Long	03/2009	328		231
90-Day Euribor September Futures	Long	09/2008	1,262		188
90-Day Eurodollar December Futures	Long	12/2008	368		240
90-Day Eurodollar December Futures	Long	12/2009	810		542
90-Day Eurodollar June Futures	Long	06/2008	179		467
90-Day Eurodollar June Futures	Long	06/2009	786		1,227
90-Day Eurodollar March Futures	Long	03/2009	1,158		1,619
90-Day Eurodollar September Futures	Long	09/2008	594		450
90-Day Eurodollar September Futures	Long	09/2009	314		155
Canada Government 10-Year Bond March Futures	Short	03/2008	38		7
Euro-Bobl March Futures	Long	03/2008	1,532		(3,564	)
Euro-Bobl March Futures Put Options Strike @ EUR 103.000	Long	03/2008	1,530		0
Euro-Bund 10-Year Bond March Futures	Long	03/2008	3,164		(10,656	)
Euro-Bund 10-Year Bond March Futures Put Options Strike @ EUR 105.500	Long	03/2008	3,273		0
Euro-Schatz March Futures	Short	03/2008	5,740		5,170
Euro-Schatz March Futures Call Options Strike @ EUR 106.400	Long	03/2008	1,760		0
Euro-Schatz March Futures Call Options Strike @ EUR 107.000	Long	03/2008	1,248		0
Euro-Schatz March Futures Call Options Strike @ EUR 107.200	Long	03/2008	356		0
Euro-Schatz March Futures Call Options Strike @ EUR 107.300	Long	03/2008	1,743		0
Japan Government 10-Year Bond March Futures	Long	03/2008	112		48
U.S. Treasury 2-Year Note March Futures	Short	03/2008	5,636		(3,561	)
U.S. Treasury 5-Year Note March Futures	Short	03/2008	7,070		(4,726	)
U.S. Treasury 10-Year Note March Futures	Long	03/2008	3,113		1,045
U.S. Treasury 30-Year Bond March Futures	Short	03/2008	220		129
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2008	122		276
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2008	300		36
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2009	129		305
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2009	269		437
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2008	952		975
United Kingdom Government 10-Year Bond March Futures	Short	03/2008	62		(18	)
				$	(9,094	)

(h) Swap agreements outstanding on December 31, 2007:

Credit Default Swaps on Securities

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation	)
Deutsche Bank AG	Akzo Nobel NV 4.250% due 06/14/2011	Buy	(0.290	%)	06/20/2012	EUR	1,700	$	3
Deutsche Bank AG	Reed Elsevier Capital, Inc. 4.625% due 06/15/2012	Buy	(0.280	%)	06/20/2012		1,500		0
Deutsche Bank AG	United Utilities PLC 6.875% due 08/15/2028	Buy	(0.235	%)	06/20/2012		1,800		33
Deutsche Bank AG	Wolters Kluwer NV 5.125% due 01/27/2014	Buy	(0.330	%)	06/20/2012		1,500		(2	)
Goldman Sachs & Co.	ICI Wilmington, Inc. 5.625% due 12/01/2013	Buy	(0.340	%)	06/20/2012		1,800		(16	)
Goldman Sachs & Co.	Koninklijke DSM NV 4.000% due 11/10/2015	Buy	(0.365	%)	06/20/2012		1,800		(2	)
Goldman Sachs & Co.	SCA Finans AB 4.500% due 07/15/2015	Buy	(0.250	%)	06/20/2012		1,300		16
Goldman Sachs & Co.	WPP Group PLC 6.000% due 06/18/2008	Buy	(0.260	%)	06/20/2012		1,500		27
Merrill Lynch & Co., Inc.	Compass Group PLC 6.375% due 05/29/2012	Buy	(0.390	%)	06/20/2012		1,600		(4	)
Bank of America	AutoZone, Inc. 5.875% due 10/15/2012	Buy	(0.600	%)	06/20/2017	$	1,100		(1	)
Bank of America	CenturyTel, Inc. 6.000% due 04/01/2017	Buy	(0.595	%)	06/20/2017		2,800		43
Bank of America	Diamond Offshore Drilling, Inc. 4.875% due 07/01/2015	Buy	(0.485	%)	06/20/2017		2,000		4
Bank of America	Ford Motor Credit Co. LLC 7.250% due 10/25/2011	Sell	3.950	%	12/20/2012		1,700		(148	)
Bank of America	GlobalSantaFe Corp. 5.000% due 02/15/2013	Buy	(0.462	%)	06/20/2012		500		(5	)
Bank of America	Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	0.150	%	06/20/2008		7,000		(49	)
Bank of America	Loews Corp. 8.875% due 04/15/2011	Buy	(0.120	%)	06/20/2012		500		2
Bank of America	Macy's Retail Holdings, Inc. 4.800% due 07/15/2009	Buy	(0.190	%)	09/20/2009		700		6
Bank of America	McKesson Corp. 5.700% due 03/01/2017	Buy	(0.380	%)	03/20/2017		1,900		(5	)
Bank of America	Noble Corp. 5.875% due 06/01/2013	Buy	(0.542	%)	06/20/2012		600		(2	)
Bank of America	Pampelonne CDO Ltd. floating rate based on 3-Month USD-LIBOR plus 1.400% due 11/11/2051	Buy	(1.750	%)	11/11/2051		4,000		3,573
Barclays Bank PLC	American Electric Power Co., Inc. 5.250% due 06/01/2015	Buy	(0.100	%)	06/20/2012		2,200		26
Barclays Bank PLC	Capital One Bank 5.125% due 02/15/2014	Buy	(0.160	%)	06/20/2012		1,500		118
Barclays Bank PLC	Diamond Offshore Drilling, Inc. 4.875% due 07/01/2015	Buy	(0.470	%)	06/20/2017		900		3
Barclays Bank PLC	HCP, Inc. 6.700% due 01/30/2018	Buy	(1.150	%)	03/20/2018		2,900		75
Barclays Bank PLC	International Lease Finance Corp. 5.400% due 02/15/2012	Buy	(0.170	%)	03/20/2012		2,400		33
Barclays Bank PLC	Noble Corp. 5.875% due 06/01/2013	Buy	(0.530	%)	06/20/2012		700		(2	)
Barclays Bank PLC	Southwest Airlines Co. 5.125% due 03/01/2017	Buy	(0.640	%)	03/20/2017		3,300		44
Barclays Bank PLC	Weyerhaeuser Co. 6.750% due 03/15/2012	Buy	(0.490	%)	06/20/2012		1,000		15
Barclays Bank PLC	Wyeth 5.500% due 03/15/2013	Buy	(0.100	%)	06/20/2012		2,700		17
Barclays Bank PLC	XL Capital Europe PLC 6.500% due 01/15/2012	Buy	(0.310	%)	03/20/2012		500		20
Bear Stearns & Co., Inc.	CNA Financial Corp. 6.000% due 08/15/2011	Buy	(0.440	%)	09/20/2011		2,000		17
Bear Stearns & Co., Inc.	Daimler Finance N.A. LLC 4.875% due 06/15/2010	Buy	(0.520	%)	06/20/2010		700		(2	)
Bear Stearns & Co., Inc.	H.J. Heinz Finance Co. 6.000% due 03/15/2012	Buy	(0.370	%)	03/20/2012		800		(3	)
Bear Stearns & Co., Inc.	Loews Corp. 5.250% due 03/15/2016	Buy	(0.330	%)	03/20/2016		800		4
Bear Stearns & Co., Inc.	Maytag Corp. 5.000% due 05/15/2015	Buy	(0.460	%)	06/20/2015		2,200		5
Bear Stearns & Co., Inc.	MeadWestvaco Corp. 6.850% due 04/01/2012	Buy	(0.520	%)	06/20/2012		1,000		5
Bear Stearns & Co., Inc.	NiSource Finance Corp. 5.400% due 07/15/2014	Buy	(0.620	%)	09/20/2014		800		13
Bear Stearns & Co., Inc.	Weyerhaeuser Co. 6.750% due 03/15/2012	Buy	(0.480	%)	06/20/2012		2,000		32
Citibank N.A.	AutoZone, Inc. 5.875% due 10/15/2012	Buy	(0.680	%)	12/20/2012		1,600		(19	)
Citibank N.A.	Bank of America Corp. floating rate based on 3-Month USD-LIBOR plus 0.260% due 10/14/2016	Buy	(0.170	%)	12/20/2016		1,600		47
Citibank N.A.	Nabors Industries, Inc. 5.375% due 08/15/2012	Buy	(0.470	%)	06/20/2012		1,100		(1	)
Citibank N.A.	Sara Lee Corp. 6.250% due 09/15/2011	Buy	(0.330	%)	09/20/2011		1,600		(4	)
Credit Suisse USA, Inc.	CenterPoint Energy, Inc. 5.875% due 06/01/2008	Buy	(0.170	%)	06/20/2008		1,800		0
Credit Suisse USA, Inc.	International Paper Co. 5.850% due 10/30/2012	Buy	(0.670	%)	06/20/2017		2,900		7
Credit Suisse USA, Inc.	Multiple Reference Entities of Gazprom	Sell	1.330	%	12/20/2008		5,000		2
Credit Suisse USA, Inc.	Noble Corp. 5.875% due 06/01/2013	Buy	(0.530	%)	06/20/2012		900		(3	)
Credit Suisse USA, Inc.	Sealed Air Corp. 5.625% due 07/15/2013	Buy	(0.500	%)	09/20/2013		2,300		33
Deutsche Bank AG	Ace INA Holdings, Inc. 5.875% due 06/15/2014	Buy	(0.390	%)	06/20/2014		1,000		1
Deutsche Bank AG	Bear Stearns Cos., Inc. 5.300% due 10/30/2015	Sell	0.160	%	06/20/2008		3,300		(33	)
Deutsche Bank AG	Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.120	%	06/20/2008		6,900		(20	)
Deutsche Bank AG	International Paper Co. 5.850% due 10/30/2012	Buy	(0.500	%)	06/20/2012		2,300		(2	)
Deutsche Bank AG	JC Penney Corp., Inc. 8.000% due 03/01/2010	Buy	(0.270	%)	03/20/2010		2,600		38
Deutsche Bank AG	Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	0.160	%	06/20/2008		9,500		(66	)
Deutsche Bank AG	Nabors Industries, Inc. 5.375% due 08/15/2012	Buy	(0.470	%)	06/20/2012		800		(1	)
Deutsche Bank AG	SLM Corp. 5.125% due 08/27/2012	Sell	3.050	%	03/20/2009		2,100		1
Deutsche Bank AG	Tate & Lyle International Finance PLC 5.000% due 11/15/2014	Buy	(0.510	%)	12/20/2014		1,000		13
Deutsche Bank AG	VTB Capital S.A. 6.250% due 06/30/2035	Sell	1.700	%	12/20/2008		7,400		2
Goldman Sachs & Co.	Carnival Corp. 6.650% due 01/15/2028	Buy	(0.210	%)	06/20/2012		2,300		24
Goldman Sachs & Co.	Duke Energy Carolinas LLC 6.250% due 01/15/2012	Buy	(0.090	%)	06/20/2012		2,300		26
Goldman Sachs & Co.	Erac USA Finance Co, 6.375% due 10/15/2017	Buy	(0.800	%)	12/20/2017		1,300		57
Goldman Sachs & Co.	GlobalSantaFe Corp. 5.000% due 02/15/2013	Buy	(0.445	%)	06/20/2012		3,000		(28	)
Goldman Sachs & Co.	JC Penney Corp., Inc. 8.000% due 03/01/2010	Sell	0.990	%	09/20/2010		500		(1	)
Goldman Sachs & Co.	Nabors Industries, Inc. 5.375% due 08/15/2012	Buy	(0.410	%)	06/20/2012		3,900		7
Goldman Sachs & Co.	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.630	%	12/20/2008		8,400		6
Goldman Sachs & Co.	SLM Corp. 5.125% due 08/27/2012	Sell	0.700	%	06/20/2012		1,400		(121	)
HSBC Bank USA	Multiple Reference Entities of Gazprom	Sell	1.250	%	12/20/2008		3,000		(1	)
HSBC Bank USA	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.240	%	02/20/2008		6,700		4
HSBC Bank USA	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.730	%	04/20/2009		5,800		(29	)
JPMorgan Chase & Co.	AutoZone, Inc. 5.875% due 10/15/2012	Buy	(0.600	%)	06/20/2017		1,900		(2	)
JPMorgan Chase & Co.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.260	%	08/20/2011		4,200		84
JPMorgan Chase & Co.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.345	%	08/20/2011		7,600		177
JPMorgan Chase & Co.	Glitnir Banki HF floating rate based on 3-Month USD-LIBOR plus 0.440% due 01/21/2011	Buy	(0.340	%)	03/20/2011		3,000		161
JPMorgan Chase & Co.	HCP, Inc. 5.950% due 09/15/2011	Buy	(0.610	%)	09/20/2011		700		14
Lehman Brothers, Inc.	Alcan, Inc. 6.450% due 03/15/2011	Buy	(0.140	%)	03/20/2011		2,600		4
Lehman Brothers, Inc.	BellSouth Corp. 5.200% due 09/15/2014	Buy	(0.325	%)	09/20/2014		1,400		0
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.280	%	08/20/2011		25,700		535
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.350	%	08/20/2011		11,700		274
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.370	%	08/20/2011		5,300		128
Lehman Brothers, Inc.	Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	3.650	%	12/20/2012		4,800		(462	)
Lehman Brothers, Inc.	Ford Motor Credit Co. LLC 7.875% due 06/15/2010	Buy	(2.310	%)	06/20/2010		2,200		193
Lehman Brothers, Inc.	GMAC LLC 6.875% due 08/28/2012	Sell	4.900	%	09/20/2012		5,200		(346	)
Lehman Brothers, Inc.	Merck & Co., Inc. 4.750% due 03/01/2015	Buy	(0.135	%)	03/20/2015		2,200		10
Lehman Brothers, Inc.	Weyerhaeuser Co. 6.750% due 03/15/2012	Buy	(0.990	%)	06/20/2017		2,900		43
Lehman Brothers, Inc.	Wyeth 6.950% due 03/15/2011	Buy	(0.100	%)	03/20/2011		2,100		6
Merrill Lynch & Co., Inc.	Exelon Corp. 4.900% due 06/15/2015	Buy	(0.520	%)	06/20/2015		2,300		50
Merrill Lynch & Co., Inc.	Lennar Corp. 5.950% due 10/17/2011	Buy	(5.750	%)	12/20/2012		700		13
Merrill Lynch & Co., Inc.	MeadWestvaco Corp. 6.850% due 04/01/2012	Buy	(0.580	%)	06/20/2012		2,100		6
Merrill Lynch & Co., Inc.	Multiple Reference Entities of Gazprom	Sell	0.610	%	05/20/2012		1,500		(54	)
Merrill Lynch & Co., Inc.	SLM Corp. 5.125% due 08/27/2012	Sell	3.100	%	12/20/2008		6,300		9
Merrill Lynch & Co., Inc.	Sprint Capital Corp. 8.375% due 03/15/2012	Buy	(0.460	%)	03/20/2012		3,700		96
Merrill Lynch & Co., Inc.	Xerox Corp. 9.750% due 01/15/2009	Buy	(0.130	%)	01/20/2009		2,700		(1	)
Morgan Stanley	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.380	%	08/20/2011		11,200		275
Morgan Stanley	Cox Communications, Inc. 6.750% due 03/15/2011	Buy	(0.200	%)	03/20/2011		1,700		14
Morgan Stanley	Diamond Offshore Drilling, Inc. 4.875% due 07/01/2015	Buy	(0.495	%)	06/20/2017		1,100		2
Morgan Stanley	Masco Corp. 5.875% due 07/15/2012	Buy	(0.580	%)	09/20/2012		700		27
Morgan Stanley	Multiple Reference Entities of Gazprom	Sell	1.320	%	12/20/2008		1,500		1
Morgan Stanley	Multiple Reference Entities of Gazprom	Sell	1.330	%	12/20/2008		2,700		1
Morgan Stanley	Nucor Corp. 4.875% due 10/01/2012	Buy	(0.150	%)	06/20/2012		2,300		13
Morgan Stanley	Progress Energy, Inc. 5.625% due 01/15/2016	Buy	(0.105	%)	06/20/2012		2,000		18
Morgan Stanley	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.245	%	06/20/2008		500		(1	)
Morgan Stanley	Turkey Government International Bond 11.875% due 01/15/2030	Buy	(2.700	%)	09/20/2010		100		(5	)
Morgan Stanley	Viacom, Inc. 5.750% due 04/30/2011	Buy	(0.640	%)	06/20/2011		700		(3	)
Royal Bank of Canada	DaimlerChrysler Canada Finance, Inc. 4.850% due 03/30/2009	Buy	(0.350	%)	06/20/2009		2,000		(1	)
Royal Bank of Canada	JPMorgan Chase & Co. 5.058% until 02/22/2016 and 1-Month CAD Offered Rate plus 1.000% thereafter, due 02/22/2021	Buy	(0.310	%)	03/20/2016		1,900		51
Royal Bank of Scotland Group PLC	CVS Caremark Corp. 5.750% due 08/15/2011	Buy	(0.240	%)	09/20/2011		700		2
Royal Bank of Scotland Group PLC	Daimler Finance N.A. LLC 5.750% due 09/08/2011	Buy	(0.620	%)	09/20/2011		1,100		(8	)
Royal Bank of Scotland Group PLC	H.J. Heinz Finance Co. 6.000% due 03/15/2012	Buy	(0.306	%)	03/20/2012		2,900		(3	)
Royal Bank of Scotland Group PLC	Kaupthing Bank HF 5.750% due 10/04/2011	Buy	(0.490	%)	12/20/2011		2,900		242
Royal Bank of Scotland Group PLC	Morgan Stanley floating rate based on 3-Month USD-LIBOR plus 0.450% due 10/18/2016	Buy	(0.320	%)	12/20/2016		2,200		89
Royal Bank of Scotland Group PLC	SUPERVALU, Inc. 7.500% due 05/15/2012	Sell	2.450	%	09/20/2012		2,100		101
UBS Warburg LLC	American International Group, Inc. 4.250% due 05/15/2013	Sell	0.070	%	06/20/2008		10,000		(27	)
UBS Warburg LLC	Ford Motor Credit Co. LLC 7.250% due 10/25/2011	Sell	3.950	%	12/20/2012		1,900		(166	)
UBS Warburg LLC	Goldman Sachs Group, Inc. 5.250% due 06/01/2016	Buy	(0.310	%)	06/20/2016		4,200		82
UBS Warburg LLC	MeadWestvaco Corp. 6.850% due 04/01/2012	Buy	(1.060	%)	06/20/2017		2,700		(15	)
Wachovia Bank N.A.	GlobalSantaFe Corp. 5.000% due 02/15/2013	Buy	(0.530	%)	06/20/2012		900		(11	)
Wachovia Bank N.A.	GlobalSantaFe Corp. 5.000% due 02/15/2013	Buy	(0.520	%)	06/20/2012		1,400		(17	)
								$	5,431

Credit Default Swaps on Credit Indices
Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation	)
Barclays Bank PLC	Dow Jones iTraxx Europe HV6 Index	Buy	(0.850	%)	12/20/2016	EUR	13,100	$	156
BNP Paribas Bank	Dow Jones iTraxx Europe HV6 Index	Buy	(0.850	%)	12/20/2016		4,400		55
HSBC Bank USA	Dow Jones iTraxx Europe HV6 Index	Buy	(0.850	%)	12/20/2016		1,600		20
JPMorgan Chase & Co.	Dow Jones iTraxx Europe HV6 Index	Buy	(0.850	%)	12/20/2016		4,400		47
Bank of America	Dow Jones CDX N.A. IG8 Index	Buy	(0.600	%)	06/20/2017	$	37,200		844
Barclays Bank PLC	Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016		2,900		85
Citibank N.A.	Dow Jones CDX N.A. HY8 Index	Sell	3.297	%	06/20/2012		1,200		41
Credit Suisse USA, Inc.	Dow Jones CDX N.A. IG8 Index	Buy	(0.600	%)	06/20/2017		100,000		36
Deutsche Bank AG	Dow Jones CDX N.A. HY8 Index	Sell	2.080	%	06/20/2012		600		(9	)
Deutsche Bank AG	Dow Jones CDX N.A. HY8 Index	Sell	4.221	%	06/20/2012		7,100		511
Deutsche Bank AG	Dow Jones CDX N.A. IG8 Index	Buy	(0.600	%)	06/20/2017		7,800		137
Goldman Sachs & Co.	Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016		58,300		1,701
Goldman Sachs & Co.	Dow Jones CDX N.A. IG8 Index	Buy	(0.350	%)	06/20/2012		80,200		439
Goldman Sachs & Co.	Dow Jones CDX N.A. IG8 Index	Buy	(0.600	%)	06/20/2017		191,500		1,264
Lehman Brothers, Inc.	Dow Jones CDX N.A. HY8 Index	Sell	2.100	%	06/20/2012		1,600		(22	)
Lehman Brothers, Inc.	Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016		16,400		463
Merrill Lynch & Co., Inc.	Dow Jones CDX N.A. HY8 Index	Sell	1.998	%	06/20/2012		23,400		(428	)
Merrill Lynch & Co., Inc.	Dow Jones CDX N.A. HY8 Index	Sell	3.884	%	06/20/2012		1,700		99
Merrill Lynch & Co., Inc.	Dow Jones CDX N.A. IG3 Index	Sell	0.500	%	03/20/2010		1,984		(9	)
Morgan Stanley	Dow Jones CDX N.A. IG3 Index	Sell	0.500	%	03/20/2010		9,920		(44	)
Morgan Stanley	Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016		4,900		142
UBS Warburg LLC	Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016		10,600		307
								$	5,835

⁽¹⁾      If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will pay to the buyer of the protection an amount up to the notional value of the swap and in certain instances, take delivery of the security. As a buyer of protection, the Fund will generally receive from the seller of protection an amount up to the notional amount of the swap if a credit event occurs.

Cross-Currency Swaps
Counterparty	Receive	Pay	Expiration Date	(2)		Notional Amount of Currency Received		Notional Amount of Currency Delivered		Unrealized Appreciation
Goldman Sachs & Co.	Floating rate equal to 3-Month JPY-LIBOR less 0.250% based on the notional amount of currency delivered	Floating rate equal to 3-Month USD-LIBOR based on the notional amount of currency received	09/10/2009		JPY	116,466,000	$	987,000	$	57,681
UBS Warburg LLC	Floating rate equal to 3-Month JPY-LIBOR based on the notional amount of currency delivered	Floating rate equal to 3-Month USD-LIBOR based on the notional amount of currency received	09/25/2009			44,722,000		379,000		22,887
									$	80,568

⁽²⁾ At the expiration date, the notional amount of the currency received will be exchanged back for the notional amount of the currency delivered.

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation	)
Barclays Bank PLC	3-Month Australian Bank Bill	Pay	7.000	%	09/15/2009	AUD	17,400	$	(92	)
Citibank N.A.	3-Month Australian Bank Bill	Pay	6.500	%	01/15/2009		117,500		(908	)
Citibank N.A.	6-Month Australian Bank Bill	Pay	6.000	%	12/15/2010		60,000		(3,141	)
Citibank N.A.	6-Month Australian Bank Bill	Receive	6.000	%	12/15/2015		34,200		3,230
Credit Suisse USA, Inc.	6-Month Australian Bank Bill	Pay	7.250	%	06/15/2013		2,000		(15	)
Credit Suisse USA, Inc.	6-Month Australian Bank Bill	Receive	6.500	%	06/15/2017		6,500		105
Deutsche Bank AG	3-Month Australian Bank Bill	Pay	6.500	%	01/15/2009		85,920		(652	)
Deutsche Bank AG	6-Month Australian Bank Bill	Pay	7.000	%	06/15/2010		123,400		(1,117	)
Deutsche Bank AG	6-Month Australian Bank Bill	Pay	6.000	%	06/15/2012		27,900		(1,186	)
Deutsche Bank AG	6-Month Australian Bank Bill	Pay	7.250	%	06/15/2013		40,200		(293	)
Deutsche Bank AG	6-Month Australian Bank Bill	Receive	6.000	%	06/15/2017		15,800		1,060
Deutsche Bank AG	6-Month Australian Bank Bill	Receive	6.500	%	06/15/2017		22,000		380
HSBC Bank USA	6-Month Australian Bank Bill	Pay	6.000	%	06/15/2012		26,600		(1,143	)
HSBC Bank USA	6-Month Australian Bank Bill	Receive	6.000	%	06/15/2017		15,300		1,036
JPMorgan Chase & Co.	3-Month Australian Bank Bill	Pay	7.000	%	09/15/2009		26,500		(127	)
Morgan Stanley	3-Month Australian Bank Bill	Pay	7.000	%	09/15/2009		11,200		(60	)
Morgan Stanley	6-Month Australian Bank Bill	Pay	7.000	%	06/15/2010		94,000		(907	)
Morgan Stanley	6-Month Australian Bank Bill	Receive	6.500	%	06/15/2017		78,200		1,219
Barclays Bank PLC	BRL-CDI-Compounded	Pay	10.680	%	01/02/2012	BRL	90,000		(2,624	)
Morgan Stanley	BRL-CDI-Compounded	Pay	10.115	%	01/02/2012		122,500		(3,867	)
Deutsche Bank AG	3-Month Canadian Bank Bill	Receive	5.000	%	06/20/2017	CAD	4,300		(206	)
Merrill Lynch & Co., Inc.	3-Month Canadian Bank Bill	Pay	5.000	%	06/15/2015		3,000		95
Barclays Bank PLC	6-Month EUR-LIBOR	Pay	4.000	%	03/19/2010	EUR	44,400		(66	)
Barclays Bank PLC	6-Month EUR-LIBOR	Pay	4.000	%	06/17/2010		200		(15	)
Barclays Bank PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.103	%	10/15/2010		15,000		163
Barclays Bank PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.948	%	03/15/2012		5,700		(108	)
Barclays Bank PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.980	%	04/30/2012		1,000		(19	)
Barclays Bank PLC	6-Month EUR-LIBOR	Pay	5.000	%	09/19/2012		97,000		893
Barclays Bank PLC	6-Month EUR-LIBOR	Pay	5.000	%	09/19/2017		58,500		481
BNP Paribas Bank	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.090	%	10/15/2010		10,000		72
BNP Paribas Bank	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.940	%	04/10/2012		3,300		(74	)
Citibank N.A.	6-Month EUR-LIBOR	Receive	4.000	%	06/16/2014		1,120		86
Deutsche Bank AG	6-Month EUR-LIBOR	Pay	4.000	%	12/15/2011		13,500		(83	)
Deutsche Bank AG	6-Month EUR-LIBOR	Receive	5.000	%	03/19/2038		8,900		(387	)
Goldman Sachs & Co.	6-Month EUR-LIBOR	Pay	4.473	%	06/12/2009		56,200		(431	)
Goldman Sachs & Co.	6-Month EUR-LIBOR	Pay	4.500	%	03/19/2010		282,500		(834	)
Goldman Sachs & Co.	6-Month EUR-LIBOR	Receive	5.000	%	12/15/2011		174,000		1,515
Goldman Sachs & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.995	%	03/15/2012		8,300		(134	)
Goldman Sachs & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.080	%	06/15/2012		18,700		(243	)
Goldman Sachs & Co.	6-Month EUR-LIBOR	Receive	4.000	%	12/15/2014		88,700		4,709
Goldman Sachs & Co.	6-Month EUR-LIBOR	Pay	4.000	%	06/21/2036		6,000		(458	)
Goldman Sachs & Co.	6-Month EUR-LIBOR	Receive	5.000	%	03/19/2038		20,300		(834	)
JPMorgan Chase & Co.	6-Month EUR-LIBOR	Pay	4.000	%	06/17/2010		400		(26	)
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.958	%	04/10/2012		6,100		(128	)
JPMorgan Chase & Co.	6-Month EUR-LIBOR	Pay	5.000	%	09/19/2012		13,500		102
Lehman Brothers, Inc.	6-Month EUR-LIBOR	Pay	4.500	%	03/19/2010		90,000		(241	)
Lehman Brothers, Inc.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.965	%	03/15/2012		3,300		(53	)
Lehman Brothers, Inc.	6-Month EUR-LIBOR	Receive	4.000	%	12/15/2014		109,800		5,626
Merrill Lynch & Co., Inc.	6-Month EUR-LIBOR	Pay	4.000	%	06/17/2010		46,700		(3,071	)
Merrill Lynch & Co., Inc.	6-Month EUR-LIBOR	Pay	6.000	%	06/18/2034		15,900		(1,396	)
Morgan Stanley	6-Month EUR-LIBOR	Pay	4.000	%	09/19/2009		1,400		(9	)
Morgan Stanley	6-Month EUR-LIBOR	Pay	4.500	%	03/19/2010		151,700		(392	)
Morgan Stanley	6-Month EUR-LIBOR	Pay	4.000	%	06/17/2010		200		(13	)
Morgan Stanley	6-Month EUR-LIBOR	Receive	4.000	%	12/15/2014		7,400		446
Morgan Stanley	6-Month EUR-LIBOR	Receive	4.000	%	06/15/2017		132,800		10,785
Morgan Stanley	6-Month EUR-LIBOR	Pay	6.000	%	06/18/2034		37,500		(2,636	)
Royal Bank of Scotland Group PLC	6-Month EUR-LIBOR	Pay	4.000	%	09/19/2012		17,100		(258	)
UBS Warburg LLC	6-Month EUR-LIBOR	Pay	4.000	%	06/17/2010		500		(35	)
UBS Warburg LLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.146	%	10/15/2010		17,300		179
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	5.000	%	03/20/2010	GBP	49,700		471
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2015		1,600		(9	)
Barclays Bank PLC	6-Month GBP-LIBOR	Receive	4.500	%	09/15/2017		9,900		44
Citibank N.A.	6-Month GBP-LIBOR	Pay	5.000	%	03/20/2013		9,800		369
Citibank N.A.	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2015		7,100		(78	)
Deutsche Bank AG	6-Month GBP-LIBOR	Pay	6.000	%	09/20/2012		7,700		669
Deutsche Bank AG	6-Month GBP-LIBOR	Pay	5.000	%	03/20/2013		15,500		589
Deutsche Bank AG	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2015		3,700		(20	)
Deutsche Bank AG	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035		15,900		47
Deutsche Bank AG	6-Month GBP-LIBOR	Receive	5.000	%	03/20/2038		1,000		(78	)
Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	6.000	%	09/20/2012		24,600		2,327
Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	5.000	%	03/20/2013		39,300		1,478
Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	5.500	%	03/20/2013		40,000		1,549
Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2015		16,000		(115	)
Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	5.000	%	03/20/2018		1,900		73
Goldman Sachs & Co.	6-Month GBP-LIBOR	Receive	4.250	%	06/12/2036		11,700		599
HSBC Bank USA	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2015		9,100		(326	)
HSBC Bank USA	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035		4,800		466
JPMorgan Chase & Co.	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2015		9,000		(72	)
Merrill Lynch & Co., Inc.	6-Month GBP-LIBOR	Pay	5.000	%	03/20/2018		4,500		205
Morgan Stanley	6-Month GBP-LIBOR	Pay	5.000	%	06/15/2009		33,200		(466	)
Morgan Stanley	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2010		37,650		2,192
Morgan Stanley	6-Month GBP-LIBOR	Pay	5.000	%	03/20/2013		35,000		1,357
Morgan Stanley	6-Month GBP-LIBOR	Pay	5.500	%	03/20/2013		10,000		401
Morgan Stanley	6-Month GBP-LIBOR	Pay	5.000	%	03/20/2018		28,200		1,080
Morgan Stanley	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035		3,400		288
Royal Bank of Canada	6-Month GBP-LIBOR	Pay	6.000	%	06/19/2009		25,000		237
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Pay	6.000	%	06/19/2009		107,300		2,254
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Receive	5.322	%	09/14/2009		100		1
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Pay	6.000	%	09/17/2009		19,000		293
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2015		14,200		448
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Receive	5.500	%	12/15/2036		7,200		(856	)
Barclays Bank PLC	6-Month JPY-LIBOR	Pay	1.000	%	03/18/2009	JPY	9,160,000		174
Barclays Bank PLC	6-Month JPY-LIBOR	Receive	2.000	%	06/20/2017		1,830,000		(24	)
Deutsche Bank AG	6-Month JPY-LIBOR	Pay	1.500	%	12/20/2012		8,100,000		91
Deutsche Bank AG	6-Month JPY-LIBOR	Receive	2.500	%	06/20/2036		1,350,000		(328	)
Goldman Sachs & Co.	6-Month JPY-LIBOR	Receive	2.000	%	06/20/2017		19,430,000		(225	)
Goldman Sachs & Co.	6-Month JPY-LIBOR	Receive	3.000	%	06/20/2036		2,350,000		(1,460	)
Morgan Stanley	6-Month JPY-LIBOR	Pay	1.000	%	09/18/2008		250,000		(1	)
Morgan Stanley	6-Month JPY-LIBOR	Receive	1.500	%	12/20/2010		10,200,000		(1,700	)
Morgan Stanley	6-Month JPY-LIBOR	Pay	1.500	%	12/20/2012		14,960,000		203
Morgan Stanley	6-Month JPY-LIBOR	Receive	1.980	%	09/27/2016		3,200,000		(1,068	)
Morgan Stanley	6-Month JPY-LIBOR	Receive	2.500	%	06/20/2036		9,940,000		(2,551	)
Royal Bank of Scotland Group PLC	6-Month JPY-LIBOR	Pay	1.500	%	06/20/2015		7,090,000		83
Royal Bank of Scotland Group PLC	6-Month JPY-LIBOR	Receive	2.000	%	06/20/2017		1,080,000		(61	)
UBS Warburg LLC	6-Month JPY-LIBOR	Pay	1.500	%	12/20/2012		18,880,000		260
UBS Warburg LLC	6-Month JPY-LIBOR	Pay	1.500	%	06/20/2015		3,200,000		89
UBS Warburg LLC	6-Month JPY-LIBOR	Receive	2.500	%	06/20/2036		1,420,000		(185	)
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.720	%	09/05/2016	MXN	26,000		(31	)
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.900	%	09/22/2016		45,000		94
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.840	%	09/23/2016		29,000		51
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.170	%	11/04/2016		99,500		(384	)
JPMorgan Chase & Co.	28-Day Mexico Interbank TIIE Banxico	Pay	8.840	%	09/23/2016		14,000		25
Merrill Lynch & Co., Inc.	28-Day Mexico Interbank TIIE Banxico	Pay	8.720	%	09/05/2016		36,000		(43	)
Bank of America	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010	$	193,100		1,074
Bank of America	3-Month USD-LIBOR	Receive	5.000	%	06/20/2022		13,000		(680	)
Barclays Bank PLC	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010		98,700		448
Barclays Bank PLC	3-Month USD-LIBOR	Receive	5.000	%	06/18/2018		23,700		(78	)
Citibank N.A.	3-Month USD-LIBOR	Pay	4.000	%	06/18/2013		191,200		2,121
Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	06/18/2009		313,600		3,746
Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	12/17/2009		51,300		571
Deutsche Bank AG	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010		272,700		392
Deutsche Bank AG	3-Month USD-LIBOR	Receive	5.000	%	06/18/2015		156,900		90
Deutsche Bank AG	3-Month USD-LIBOR	Receive	5.000	%	06/18/2038		76,400		(2,140	)
JPMorgan Chase & Co.	3-Month USD-LIBOR	Pay	4.000	%	06/18/2013		555,300		137
Merrill Lynch & Co., Inc.	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010		195,800		275
Merrill Lynch & Co., Inc.	3-Month USD-LIBOR	Receive	5.000	%	06/18/2018		41,000		(417	)
Morgan Stanley	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010		90,500		393
Morgan Stanley	3-Month USD-LIBOR	Receive	5.000	%	06/18/2018		141,800		(2,658	)
Morgan Stanley	3-Month USD-LIBOR	Receive	5.000	%	06/18/2038		11,700		(331	)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	3.750	%	03/19/2009		39,000		10
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010		629,500		1,127
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	06/18/2015		56,400		(178	)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	06/18/2018		51,500		(152	)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	06/18/2038		31,200		(815	)
UBS Warburg LLC	3-Month USD-LIBOR	Receive	5.000	%	12/20/2026		2,000		(188	)
								$	15,073

(i) Purchased options outstanding on December 31, 2007:

Options on Exchange-Traded Futures Contracts

Description		Exercise Price	Expiration Date	# of Contracts		Cost		Value
Call - CBOT U.S. Treasury 2-Year Note March Futures	$	111.500	02/22/2008	1,200	$	41	$	19
Call - CBOT U.S. Treasury 2-Year Note March Futures		114.000	02/22/2008	380		7		6
Call - CBOT U.S. Treasury 2-Year Note March Futures		116.000	02/22/2008	2,831		54		44
Call - CBOT U.S. Treasury 2-Year Note March Futures		117.000	02/22/2008	1,000		19		16
Call - CBOT U.S. Treasury 2-Year Note March Futures		120.000	02/22/2008	224		4		4
Call - CBOT U.S. Treasury 5-Year Note March Futures		122.000	02/22/2008	785		15		12
Call - CBOT U.S. Treasury 5-Year Note March Futures		123.000	02/22/2008	116		2		2
Call - CBOT U.S. Treasury 5-Year Note March Futures		124.000	02/22/2008	2,236		42		35
Call - CBOT U.S. Treasury 5-Year Note March Futures		126.000	02/22/2008	1,372		26		21
Call - CBOT U.S. Treasury 5-Year Note March Futures		127.000	02/22/2008	5,078		96		79
Call - CBOT U.S. Treasury 10-Year Note March Futures		136.000	02/22/2008	2,224		42		35
Call - CBOT U.S. Treasury 10-Year Note March Futures		137.000	02/22/2008	1,302		25		20
Call - CBOT U.S. Treasury 10-Year Note March Futures		138.000	02/22/2008	618		12		10
Call - CBOT U.S. Treasury 30-Year Bond March Futures		139.000	02/22/2008	19		0		0
Call - CME 90-Day Eurodollar March Futures		97.000	03/17/2008	340		5		2
					$	390	$	305

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date		Notional Amount		Cost		Value
Call - OTC 2- Year Interest Rate Swap	JPMorgan Chase & Co.	6-Month EUR-LIBOR	Pay	4.000	%	09/14/2009	EUR	172,500	$	916	$	675
Call - OTC 2- Year Interest Rate Swap	Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	5.350	%	03/14/2008	GBP	50,000		238		600
Call - OTC 2- Year Interest Rate Swap	Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Pay	5.300	%	03/14/2008		72,000		280		773
Call - OTC 2- Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Pay	5.000	%	02/01/2008	$	52,900		205		1,238
Call - OTC 2- Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Pay	5.000	%	08/28/2009		56,300		564		1,100
Call - OTC 5- Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	4.250	%	02/29/2008		150,000		540		1,771
Call - OTC 2- Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	4.750	%	03/31/2008		30,200		168		611
Call - OTC 2- Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	4.750	%	09/26/2008		79,800		295		1,656
Call - OTC 2- Year Interest Rate Swap	Merrill Lynch & Co., Inc.	3-Month USD-LIBOR	Pay	5.000	%	08/28/2009		139,700		1,402		2,730
Call - OTC 2- Year Interest Rate Swap	Morgan Stanley	3-Month USD-LIBOR	Pay	4.750	%	03/31/2008		182,100		963		3,685
Call - OTC 2- Year Interest Rate Swap	Morgan Stanley	3-Month USD-LIBOR	Pay	4.250	%	07/06/2009		246,900		2,895		2,957
Call - OTC 2- Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	02/01/2008		338,900		1,681		7,932
Call - OTC 2- Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	03/31/2008		786,500		4,957		15,917
Call - OTC 2- Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	09/26/2008		259,900		1,027		5,395
Call - OTC 2- Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.300	%	08/03/2009		783,600		6,955		18,801
Call - OTC 2- Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	08/28/2009		49,600		505		969
Call - OTC 2- Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	09/08/2009		81,300		858		1,341
									$	24,449	$	68,151

Foreign Currency Options

Description		Exercise Price	Expiration Date		Notional Amount		Cost		Value
Put - OTC Euro versus U.S. dollar	$	1.250	01/09/2008	EUR	169,000	$	25	$	0
Put - OTC Euro versus U.S. dollar		1.250	01/09/2008		320,000		23		0
Call - OTC Euro versus U.S. dollar		1.355	05/21/2008		15,500		466		1,737
Call - OTC Euro versus U.S. dollar		1.355	05/21/2008		1,600		47		179
Put - OTC Euro versus U.S. dollar		1.355	05/21/2008		1,600		47		10
Put - OTC Euro versus U.S. dollar		1.355	05/21/2008		15,500		466		94
Call - OTC Euro versus U.S. dollar		1.367	05/19/2010		5,000		240		543
Put - OTC Euro versus U.S. dollar		1.367	05/19/2010		5,000		240		186
Call - OTC Euro versus U.S. dollar		1.375	05/21/2010		4,100		193		422
Put - OTC Euro versus U.S. dollar		1.375	05/21/2010		4,100		193		162
Call - OTC U.S. dollar versus Japanese yen	JPY	114.650	01/18/2008	$	17,000		566		31
Put - OTC U.S. dollar versus Japanese yen		114.650	01/18/2008		17,000		566		506
Call - OTC U.S. dollar versus Japanese yen		120.000	01/18/2008		19,900		241		22
Call - OTC U.S. dollar versus Japanese yen		115.350	02/13/2008		40,900		1,432		134
Put - OTC U.S. dollar versus Japanese yen		115.350	02/13/2008		40,900		1,288		1,637
Call - OTC U.S. dollar versus Japanese yen		115.950	06/09/2008		11,300		300		66
Put - OTC U.S. dollar versus Japanese yen		115.950	06/09/2008		11,300		300		670
Call - OTC U.S. dollar versus Japanese yen		118.150	06/23/2008		80,500		2,119		303
Put - OTC U.S. dollar versus Japanese yen		118.150	06/23/2008		80,500		2,119		6,281
Call - OTC U.S. dollar versus Japanese yen		104.000	03/17/2010		6,000		288		318
Put - OTC U.S. dollar versus Japanese yen		104.000	03/17/2010		6,000		221		271
						$	11,380	$	13,572

Options on Securities

Description		Strike Price	Expiration Date		Notional Amount		Cost		Value
Put - OTC Fannie Mae 5.500% due 02/01/2038	$	87.781	02/05/2008	$	111,000	$	13	$	0
Put - OTC Fannie Mae 5.500% due 02/01/2038		88.500	02/05/2008		246,900		29		0
Call - OTC Freddie Mac 6.000% due 02/01/2038		104.000	02/05/2008		800		0		0
Put - OTC Fannie Mae 5.500% due 03/01/2038		89.000	03/05/2008		397,100		46		2
Put - OTC Fannie Mae 6.000% due 03/01/2038		91.750	03/05/2008		22,000		3		0
Put - OTC Fannie Mae 6.500% due 03/01/2038		93.000	03/05/2008		31,900		4		0
Call - OTC Fannie Mae 5.000% due 03/01/2038		104.500	03/05/2008		225,000		26		0
						$	121	$	2

(j) Written options outstanding on December 31, 2007:

Options on Exchange-Traded Futures Contracts

Description		Exercise Price	Expiration Date	# of Contracts		Premium		Value
Call - CBOT U.S. Treasury 5-Year Note March Futures	$	110.000	02/22/2008	1,595	$	743	$	1,794
Call - CBOT U.S. Treasury 10-Year Note March Futures		111.000	02/22/2008	472		188		1,342
Call - CBOT U.S. Treasury 10-Year Note March Futures		114.000	02/22/2008	443		372		499
Put - CBOT U.S. Treasury 10-Year Note March Futures		110.000	02/22/2008	443		239		111
					$	1,542	$	3,746

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date		Notional Amount		Premium		Value
Call - OTC 7-Year Interest Rate Swap	JPMorgan Chase & Co.	6-Month EUR-LIBOR	Receive	4.230	%	09/14/2009	EUR	55,900	$	822	$	650
Call - OTC 10-Year Interest Rate Swap	Goldman Sachs & Co.	6-Month GBP-LIBOR	Receive	4.850	%	03/14/2008	GBP	12,500		235		143
Call - OTC 10-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Receive	4.850	%	03/14/2008		18,000		272		206
Call - OTC 30-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Receive	5.530	%	01/30/2008	$	1,700		42		136
Call - OTC 7-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Receive	4.900	%	02/01/2008		118,000		481		3,595
Call - OTC 5-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Receive	5.100	%	02/01/2008		23,000		206		960
Call - OTC 7-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Receive	5.320	%	08/28/2009		18,300		495		874
Call - OTC 5-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	4.950	%	03/31/2008		13,900		168		508
Call - OTC 5-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	4.950	%	09/26/2008		34,700		301		1,265
Call - OTC 7-Year Interest Rate Swap	Merrill Lynch & Co., Inc.	3-Month USD-LIBOR	Receive	5.320	%	08/28/2009		45,500		1,233		2,172
Call - OTC 5-Year Interest Rate Swap	Morgan Stanley	3-Month USD-LIBOR	Receive	4.900	%	03/31/2008		79,200		944		2,738
Call - OTC 7-Year Interest Rate Swap	Morgan Stanley	3-Month USD-LIBOR	Receive	4.900	%	07/06/2009		82,700		2,782		2,871
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.100	%	02/01/2008		149,200		1,790		6,226
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.900	%	03/31/2008		323,100		4,491		11,169
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.950	%	09/26/2008		108,900		992		3,968
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.500	%	08/03/2009		340,700		6,789		16,298
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.320	%	08/28/2009		17,000		471		811
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.150	%	09/08/2009		27,200		790		1,136
									$	23,304	$	55,726

Foreign Currency Options

Description		Exercise Price	Expiration Date		Notional Amount		Premium		Value
Call - OTC Euro versus U.S. dollar	$	1.362	05/21/2008	EUR	13,300	$	840	$	1,409
Put - OTC Euro versus U.S. dollar		1.362	05/21/2008		13,300		840		90
Put - OTC U.S. dollar versus Japanese yen	JPY	104.000	06/09/2008	$	31,300		248		370
Put - OTC U.S. dollar versus Japanese yen		104.000	06/09/2008		32,500		260		384
Put - OTC U.S. dollar versus Japanese yen		80.000	08/21/2008		14,700		75		28
Call - OTC U.S. dollar versus Japanese yen		104.000	03/17/2010		1,200		63		64
Put - OTC U.S. dollar versus Japanese yen		104.000	03/17/2010		1,200		63		54
						$	2,389	$	2,399

(k) Restricted securities as of December 31, 2007:

Issuer Description	Coupon		Maturity Date	Acquisition Date		Cost		Market Value	Market Value as Percentage of Net Assets
Goldman Sachs Group, Inc.	5.250	%	06/01/2016	11/03/2006	$	4,338	$	4,698	0.15	%
Merna Reinsurance Ltd.	5.480	%	07/07/2010	09/21/2007		3,964		3,920	0.13	%
					$	8,302	$	8,618	0.28	%

(l) Short sales outstanding on December 31, 2007:

Description	Coupon		Maturity Date		Principal Amount		Proceeds		Value	(3)
Fannie Mae	5.000	%	01/01/2038	$	180,000	$	177,300	$	175,641
Fannie Mae	5.500	%	01/01/2038		42,500		42,453		42,453
Freddie Mac	6.000	%	01/01/2038		59,000		59,914		59,876
U.S. Treasury Bonds	6.250	%	08/15/2023		1,900		2,304		2,328
U.S. Treasury Notes	3.000	%	02/15/2009		100		100		101
U.S. Treasury Notes	4.125	%	05/15/2015		5,500		5,637		5,656
U.S. Treasury Notes	4.250	%	11/15/2013		31,850		32,548		33,233
U.S. Treasury Notes	4.250	%	11/15/2014		2,000		2,053		2,079
U.S. Treasury Notes	4.500	%	03/31/2012		2,400		2,491		2,545
U.S. Treasury Notes	4.500	%	02/15/2016		48,000		49,787		51,009
U.S. Treasury Notes	4.625	%	07/31/2012		15,000		15,812		16,096
U.S. Treasury Notes	4.625	%	11/15/2016		65,600		69,043		69,288
U.S. Treasury Notes	4.625	%	02/15/2017		42,400		44,631		45,231
U.S. Treasury Notes	4.875	%	01/31/2009		85,100		86,237		88,518
U.S. Treasury Notes	4.875	%	08/15/2016		239,100		252,405		259,842
U.S. Treasury Notes	5.125	%	05/15/2016		11,800		12,859		12,893
						$	855,574	$	866,789

⁽³⁾ Market value includes $10,346 of interest payable on short sales.

(m) Foreign currency contracts outstanding on December 31, 2007:

Type	Currency	Principal Amount Covered by Contract	Settlement Month		Unrealized Appreciation		Unrealized (Depreciation	)		Net Unrealized Appreciation/ (Depreciation	)
Buy	AUD	121,510	01/2008	$	1,526	$	(9	)	$	1,517
Sell		78,665	01/2008		525		(230	)		295
Buy		10,274	02/2008		214		0			214
Sell		78,665	02/2008		0		(1,529	)		(1,529	)
Buy	BRL	104,507	03/2008		5,640		0			5,640
Sell		64,249	03/2008		333		0			333
Buy		158,998	07/2008		1,409		(50	)		1,359
Sell		45,932	07/2008		313		0			313
Buy	CAD	810	01/2008		0		(5	)		(5	)
Sell		18,548	01/2008		5		(400	)		(395	)
Buy	CLP	479,200	03/2008		52		0			52
Buy	CNY	321,323	01/2008		485		0			485
Sell		321,323	01/2008		0		(827	)		(827	)
Buy		250,607	03/2008		435		0			435
Sell		250,607	03/2008		0		(631	)		(631	)
Buy		161,466	04/2008		176		0			176
Buy		218,904	07/2008		1,027		0			1,027
Sell		218,904	07/2008		0		(869	)		(869	)
Buy	DKK	51,897	03/2008		0		(38	)		(38	)
Buy	EUR	892,375	01/2008		326		(2,066	)		(1,740	)
Sell		73,126	01/2008		217		(935	)		(718	)
Buy	GBP	73,249	01/2008		0		(1,893	)		(1,893	)
Sell		1,658	01/2008		7		(1	)		6
Buy	INR	622,790	05/2008		530		0			530
Buy		260,245	08/2008		0		(12	)		(12	)
Sell	JPY	102,476,000	01/2008		17,628		0			17,628
Buy		6,960,256	02/2008		537		0			537
Sell		9,291,468	02/2008		115		(62	)		53
Buy	KRW	7,080,863	01/2008		0		(172	)		(172	)
Sell		13,279,382	01/2008		280		0			280
Buy		20,081,725	05/2008		27		(193	)		(166	)
Sell		8,940,359	05/2008		169		0			169
Buy		5,858,820	08/2008		0		(105	)		(105	)
Buy	MXN	225,120	03/2008		567		(5	)		562
Sell		153,483	03/2008		0		(256	)		(256	)
Buy	MYR	184,266	05/2008		1,690		0			1,690
Sell	NZD	13,523	01/2008		0		(255	)		(255	)
Buy		13,336	02/2008		209		0			209
Sell		13,523	02/2008		62		0			62
Buy	PLN	390	07/2008		16		0			16
Buy	RUB	1,275,588	01/2008		2,951		0			2,951
Sell		1,275,588	01/2008		0		(1,358	)		(1,358	)
Buy		332,538	07/2008		371		0			371
Buy		173,136	11/2008		30		0			30
Buy	SEK	201,226	03/2008		0		(334	)		(334	)
Buy	SGD	10,780	02/2008		102		0			102
Buy		697	05/2008		15		0			15
Buy		9,306	08/2008		0		0			0
Buy	TWD	93,504	01/2008		0		(10	)		(10	)
Buy	ZAR	8,983	07/2008		72		0			72
				$	38,061	$	(12,245	)	$	25,816

See accompanying notes

Schedule of Investments

Fundamental IndexPLUS^TM Fund

December 31, 2007 (Unaudited)

		Principal Amount (000s)		Value (000s)
BANK LOAN OBLIGATIONS 0.8%
Allied Waste North America, Inc.
4.600% due 03/28/2014	$	5	$	4
6.480% due 03/28/2014		124		119
Goodyear Tire & Rubber Co.
6.430% due 04/20/2014		1,000		941
HCA, Inc.
7.080% due 11/16/2013		1,786		1,724
Metro-Goldwyn-Mayer, Inc.
8.108% due 04/08/2012		597		555
SLM Corp.
0.000% due 02/16/2008		1,100		1,096
Total Bank Loan Obligations (Cost $4,615)				4,439
CORPORATE BONDS & NOTES 33.7%
Banking & Finance 22.9%
Ajax Re Ltd.
11.241% due 05/08/2009		2,500		2,511
Allstate Life Global Funding Trusts
4.924% due 03/23/2009		500		500
American Express Centurion Bank
5.056% due 04/17/2009		900		897
5.188% due 11/16/2009		1,000		997
5.250% due 05/07/2008		700		699
American Express Credit Corp.
5.285% due 03/02/2009		10		10
5.302% due 11/09/2009		800		787
American Honda Finance Corp.
5.206% due 03/09/2009		400		400
American International Group, Inc.
4.884% due 06/23/2008		2,400		2,402
5.078% due 06/16/2009		800		800
ANZ National International Ltd.
4.938% due 08/07/2009		700		698
Bank of America Corp.
4.875% due 11/06/2009		400		399
5.056% due 09/18/2009		300		300
Bank of America N.A.
5.040% due 02/27/2009		1,000		998
Bank of Ireland
4.951% due 12/19/2008		1,400		1,399
Bank of Scotland PLC
5.254% due 07/17/2009		500		499
Bear Stearns Cos., Inc.
4.920% due 03/30/2009		800		780
5.025% due 05/18/2010		2,900		2,742
5.072% due 08/21/2009		1,200		1,156
5.161% due 04/29/2008		500		495
5.284% due 01/30/2009		800		792
5.494% due 07/16/2009		800		770
Capital One Financial Corp.
5.426% due 09/10/2009		1,000		946
Caterpillar Financial Services Corp.
5.216% due 03/10/2009		1,200		1,198
CIT Group Holdings, Inc.
5.134% due 01/30/2009		100		94
CIT Group, Inc.
5.000% due 11/24/2008		100		99
5.225% due 05/23/2008		800		789
Citigroup Funding, Inc.
4.858% due 06/26/2009		700		690
4.896% due 04/23/2009		700		696
5.136% due 12/08/2008		200		198
5.304% due 03/02/2009		6,000		5,960
Citigroup Global Markets Holdings, Inc.
5.191% due 03/07/2008		1,075		1,076
Citigroup, Inc.
4.872% due 12/28/2009		2,700		2,652
5.286% due 06/09/2009		200		199
Credit Agricole S.A.
5.053% due 05/28/2009		900		901
5.103% due 05/28/2010		1,000		1,000
DnB NORBank ASA
5.072% due 02/25/2008		1,100		1,100
5.312% due 10/13/2009		800		801
East Lane Re Ltd.
10.911% due 05/06/2011		1,900		1,944
Export-Import Bank of Korea
5.460% due 10/04/2011		1,000		1,001
Ford Motor Credit Co. LLC
5.625% due 10/01/2008		2,000		1,942
5.800% due 01/12/2009		500		475
6.625% due 06/16/2008		100		99
Foundation Re II Ltd.
11.655% due 11/26/2010		1,000		1,037
General Electric Capital Corp.
5.095% due 10/26/2009		900		898
5.162% due 03/12/2010		2,500		2,486
5.250% due 01/20/2010		2,700		2,669
GMAC LLC
6.034% due 09/23/2008		400		386
Goldman Sachs Group, Inc.
4.880% due 03/30/2009		1,500		1,494
4.924% due 12/23/2008		400		399
4.958% due 11/16/2009		2,200		2,161
4.969% due 11/10/2008		600		599
4.974% due 12/22/2008		1,000		997
5.481% due 07/23/2009		3,300		3,298
HSBC Finance Corp.
5.121% due 09/15/2008		600		600
5.212% due 03/12/2010		2,600		2,551
5.240% due 10/21/2009		600		597
ICICI Bank Ltd.
5.788% due 01/12/2010		1,400		1,383
International Lease Finance Corp.
5.250% due 05/24/2010		1,200		1,184
John Deere Capital Corp.
5.292% due 04/15/2008		200		200
5.292% due 07/15/2008		200		200
JPMorgan Chase & Co.
4.908% due 06/26/2009		2,500		2,490
4.915% due 06/26/2009		600		597
4.934% due 12/22/2008		3,200		3,194
Lehman Brothers Holdings, Inc.
4.905% due 11/24/2008		100		98
4.978% due 11/16/2009		3,000		2,924
5.241% due 01/23/2009		600		588
5.270% due 10/22/2008		500		496
5.320% due 04/03/2009		800		783
5.429% due 07/18/2011		200		190
MBNA Corp.
5.308% due 05/05/2008		1,000		1,002
Merrill Lynch & Co., Inc.
4.914% due 12/22/2008		800		790
4.948% due 05/08/2009		600		584
4.960% due 08/14/2009		1,300		1,273
5.091% due 06/16/2008		1,200		1,197
5.191% due 10/23/2008		300		296
5.211% due 12/04/2009		1,000		970
Metropolitan Life Global Funding I
4.945% due 05/17/2010		1,800		1,788
Mirage Resorts, Inc.
6.750% due 02/01/2008		900		905
Mizuho Preferred Capital Co. LLC
8.790% due 12/29/2049		4,400		4,439
Morgan Stanley
4.925% due 05/07/2009		2,900		2,865
4.972% due 11/21/2008		700		695
5.006% due 02/09/2009		100		99
5.420% due 01/22/2009		1,200		1,187
5.459% due 01/18/2011		200		194
Mystic Re Ltd.
11.381% due 12/05/2008		1,200		1,215
National Australia Bank Ltd.
5.181% due 09/11/2009		300		300
Osiris Capital PLC
8.092% due 01/15/2010		1,400		1,403
Pricoa Global Funding I
5.164% due 01/25/2008		400		400
5.204% due 06/03/2008		700		700
Residential Capital LLC
7.615% due 05/22/2009		1,100		786
Rockies Express Pipeline LLC
5.776% due 08/20/2009		1,700		1,701
Royal Bank of Scotland Group PLC
5.230% due 07/21/2008		300		300
Santander U.S. Debt S.A. Unipersonal
4.970% due 09/19/2008		3,100		3,090
5.151% due 11/20/2008		300		299
SLM Corp.
5.164% due 01/26/2009		900		866
5.224% due 07/27/2009		1,150		1,082
5.284% due 01/26/2009		100		97
5.294% due 07/25/2008		1,500		1,469
5.824% due 12/15/2008		800		785
Tokai Preferred Capital Co. LLC
9.980% due 12/29/2049		2,700		2,736
U.S. Bank N.A.
5.185% due 03/31/2008		4,700		4,699
Unicredit Luxembourg Finance S.A.
5.142% due 10/24/2008		200		200
VTB Capital S.A.
5.494% due 08/01/2008		400		396
6.660% due 11/02/2009		1,900		1,901
Wachovia Bank N.A.
4.924% due 03/23/2009		400		399
Wachovia Corp.
5.034% due 10/28/2008		2,100		2,095
Wells Fargo & Co.
5.186% due 03/10/2008		800		801
Westpac Banking Corp.
5.212% due 06/06/2008		600		600
Williams Cos., Inc. Credit Linked Certificate Trust
6.750% due 04/15/2009		2,300		2,337
World Savings Bank FSB
4.938% due 05/08/2009		1,100		1,101
5.242% due 05/08/2008		900		900
				130,332
Industrials 8.5%
ABN AMRO Bank for OAO Gazprom
9.625% due 03/01/2013		10		11
America Movil SAB de C.V.
4.958% due 06/27/2008		1,200		1,200
Amgen, Inc.
5.133% due 11/28/2008		1,900		1,898
Anadarko Petroleum Corp.
5.391% due 09/15/2009		1,300		1,280
BP AMI Leasing, Inc.
4.868% due 06/26/2009		1,800		1,802
Citigroup Global Markets Deutschland AG for OAO Gazprom
10.500% due 10/21/2009		600		650
Comcast Corp.
5.542% due 07/14/2009		400		399
Constellation Brands, Inc.
8.000% due 02/15/2008		1,300		1,305
CSC Holdings, Inc.
7.250% due 07/15/2008		800		803
Daimler Finance North America LLC
5.328% due 08/03/2009		200		199
5.441% due 10/31/2008		4,000		3,993
5.461% due 03/13/2009		700		696
5.541% due 03/13/2009		300		298
Diageo Capital PLC
4.987% due 11/10/2008		500		499
El Paso Corp.
6.500% due 06/01/2008		400		404
7.625% due 09/01/2008		300		305
General Mills, Inc.
5.310% due 01/22/2010		800		795
Harrah’s Operating Co., Inc.
7.500% due 01/15/2009		900		935
Home Depot, Inc.
5.116% due 12/16/2009		6,400		6,273
Hospira, Inc.
5.310% due 03/30/2010		1,200		1,192
Kimberly-Clark Corp.
5.060% due 07/30/2010		1,900		1,898
Mandalay Resort Group
6.500% due 07/31/2009		800		804
9.500% due 08/01/2008		1,335		1,368
Pemex Project Funding Master Trust
5.724% due 12/03/2012		200		197
Reynolds American, Inc.
5.691% due 06/15/2011		700		683
SABMiller PLC
5.531% due 07/01/2009		5,000		5,018
Safeway, Inc.
5.208% due 03/27/2009		700		699
Siemens Financieringsmaatschappij NV
4.920% due 08/14/2009		600		600
Time Warner, Inc.
5.109% due 11/13/2009		5,100		4,977
Transcontinental Gas Pipe Line Corp.
6.522% due 04/15/2008		200		201
Transocean, Inc.
5.341% due 09/05/2008		300		299
Wal-Mart Stores, Inc.
4.891% due 06/16/2008		2,000		2,001
Walt Disney Co.
5.294% due 07/16/2010		2,900		2,872
Weyerhaeuser Co.
5.884% due 09/24/2009		1,700		1,705
Xerox Corp.
9.750% due 01/15/2009		100		105
				48,364
Utilities 2.3%
AT&T, Inc.
4.978% due 02/05/2010		500		496
5.080% due 11/14/2008		2,550		2,547
Dominion Resources, Inc.
5.050% due 11/14/2008		2,000		1,997
Entergy Gulf States, Inc.
5.896% due 12/08/2008		200		201
Florida Power Corp.
5.279% due 11/14/2008		100		100
NiSource Finance Corp.
5.585% due 11/23/2009		2,935		2,908
Qwest Capital Funding, Inc.
6.375% due 07/15/2008		1,300		1,300
Qwest Corp.
5.625% due 11/15/2008		1,300		1,300
Sierra Pacific Power Co.
8.000% due 06/01/2008		400		407
Southern California Edison Co.
4.994% due 02/02/2009		700		699
Telecom Italia Capital S.A.
5.391% due 02/01/2011		500		490
5.819% due 07/18/2011		400		391
Telefonica Emisones SAU
5.226% due 06/19/2009		400		397
				13,233
Total Corporate Bonds & Notes (Cost $193,418)				191,929
COMMODITY INDEX-LINKED NOTES 0.2%
Goldman Sachs Commodity Index Total Return 0.2%
Morgan Stanley
4.805% due 07/07/2008		1,000		1,002
Total Commodity Index-Linked Notes (Cost $1,000)				1,002
U.S. GOVERNMENT AGENCIES 8.6%
Fannie Mae
4.390% due 05/01/2035		93		93
4.482% due 05/01/2035		89		89
4.516% due 09/01/2035		118		118
4.557% due 07/01/2035		245		245
4.568% due 11/01/2035		183		183
4.640% due 09/01/2035		374		373
4.670% due 08/01/2035		1,688		1,692
4.711% due 12/01/2033		85		85
4.925% due 12/25/2036		477		469
4.965% due 01/25/2021		846		846
4.989% due 06/01/2035		407		409
5.000% due 09/01/2020 - 01/01/2038		3,743		3,672
5.215% due 09/25/2042		139		138
5.265% due 05/25/2031		181		180
5.701% due 07/01/2034		27		27
6.000% due 05/01/2037		2,969		3,017
6.063% due 06/01/2043 - 07/01/2044		721		721
6.187% due 11/01/2034		50		50
6.327% due 10/01/2034		24		24
6.407% due 07/01/2034		36		36
6.817% due 11/01/2035		39		40
7.252% due 09/01/2036		777		794
7.253% due 05/01/2036		754		766
7.308% due 07/01/2036		742		756
7.383% due 08/01/2036		781		796
Freddie Mac
4.364% due 09/01/2035		178		177
4.591% due 09/01/2035		253		253
4.704% due 06/01/2035		257		258
4.706% due 08/01/2035		351		350
4.905% due 12/25/2036		2,784		2,747
5.000% due 04/15/2012 - 07/15/2024		1,849		1,849
5.125% due 08/25/2031		46		46
5.178% due 07/15/2019 - 10/15/2020		15,609		15,549
5.258% due 02/15/2019		5,861		5,832
5.378% due 12/15/2030		44		44
5.428% due 06/15/2018		28		27
5.500% due 03/01/2037 - 11/01/2037		4,982		4,972
6.000% due 09/01/2037		993		1,008
6.063% due 02/25/2045		107		107
Total U.S. Government Agencies (Cost $48,604)				48,838
MORTGAGE-BACKED SECURITIES 14.7%
Arran Residential Mortgages Funding PLC
5.252% due 04/12/2036		264		264
Banc of America Funding Corp.
6.144% due 01/20/2047		1,158		1,141
Banc of America Mortgage Securities, Inc.
4.150% due 10/25/2033		655		648
4.341% due 05/25/2033		1,516		1,512
5.660% due 07/25/2034		917		922
Bear Stearns Adjustable Rate Mortgage Trust
4.125% due 03/25/2035		8,894		8,813
4.750% due 10/25/2035		290		288
5.073% due 11/25/2034		1,737		1,735
5.705% due 07/25/2034		750		753
Bear Stearns Alt-A Trust
4.996% due 12/25/2033		829		826
5.025% due 02/25/2034		719		683
5.527% due 09/25/2035		342		337
Bear Stearns Mortgage Funding Trust
4.935% due 02/25/2037		1,499		1,488
Bear Stearns Structured Products, Inc.
5.684% due 01/26/2036		1,230		1,219
5.787% due 12/26/2046		671		663
Citigroup Commercial Mortgage Trust
5.098% due 08/15/2021		192		186
Citigroup Mortgage Loan Trust, Inc.
4.900% due 12/25/2035		68		66
Countrywide Alternative Loan Trust
4.500% due 06/25/2035		233		231
5.025% due 02/25/2047		1,789		1,678
5.045% due 05/25/2047		606		572
5.145% due 02/25/2037		2,932		2,772
5.788% due 02/25/2036		1,453		1,397
Countrywide Home Loan Mortgage Pass-Through Trust
4.801% due 11/25/2034		1,091		1,084
5.105% due 04/25/2035		19		19
Deutsche ALT-A Securities, Inc. Alternate Loan Trust
4.945% due 02/25/2037		3,050		2,993
First Horizon Asset Securities, Inc.
5.372% due 08/25/2035		901		898
GMAC Mortgage Corp. Loan Trust
5.016% due 11/19/2035		63		63
Greenpoint Mortgage Funding Trust
4.945% due 10/25/2046		652		638
4.945% due 01/25/2047		866		849
5.135% due 11/25/2045		31		28
Greenpoint Mortgage Pass-Through Certificates
4.381% due 10/25/2033		909		902
GS Mortgage Securities Corp. II
5.342% due 03/06/2020		821		785
5.352% due 06/06/2020		43		43
Harborview Mortgage Loan Trust
3.941% due 06/19/2034		6,000		5,912
5.055% due 01/19/2038		363		359
5.155% due 01/19/2038		576		540
5.185% due 05/19/2035		60		57
Impac Secured Assets CMN Owner Trust
4.945% due 01/25/2037		402		395
Indymac Index Mortgage Loan Trust
4.955% due 11/25/2046		229		224
4.965% due 01/25/2037		309		306
5.047% due 12/25/2034		378		374
JPMorgan Mortgage Trust
5.023% due 02/25/2035		956		937
Lehman Brothers Floating Rate Commercial Mortgage Trust
5.108% due 09/15/2021		50		50
MASTR Adjustable Rate Mortgages Trust
3.786% due 11/21/2034		989		980
Mellon Residential Funding Corp.
5.468% due 12/15/2030		347		340
Merrill Lynch Floating Trust
5.098% due 06/15/2022		2,610		2,533
Merrill Lynch Mortgage Investors, Inc.
3.880% due 05/25/2033		1,372		1,360
5.075% due 02/25/2036		595		573
MLCC Mortgage Investors, Inc.
5.115% due 11/25/2035		216		209
5.865% due 10/25/2035		330		324
6.989% due 01/25/2029		383		386
Morgan Stanley Capital I
5.088% due 10/15/2020		386		378
Residential Funding Mortgage Securities I, Inc.
6.500% due 03/25/2032		208		208
Structured Adjustable Rate Mortgage Loan Trust
4.940% due 03/25/2034		826		818
5.357% due 01/25/2035		1,238		1,231
5.535% due 08/25/2035		537		533
Structured Asset Mortgage Investments, Inc.
4.965% due 09/25/2047		1,960		1,943
4.995% due 03/25/2037		1,388		1,321
5.145% due 02/25/2036		70		66
5.215% due 07/19/2035		268		255
Structured Asset Securities Corp.
4.915% due 05/25/2036		691		672
5.331% due 10/25/2035		311		308
TBW Mortgage-Backed Pass-Through Certificates
4.975% due 01/25/2037		2,585		2,532
Thornburg Mortgage Securities Trust
4.883% due 03/25/2037		2,965		2,889
4.919% due 06/25/2037		1,511		1,494
4.975% due 03/25/2046		2,053		2,047
4.975% due 11/25/2046		1,564		1,529
4.985% due 09/25/2046		469		459
Wachovia Bank Commercial Mortgage Trust
5.108% due 06/15/2020		1,264		1,211
5.118% due 09/15/2021		3,145		3,098
Washington Mutual, Inc.
5.055% due 04/25/2045		1		1
5.135% due 12/25/2045		37		35
5.155% due 10/25/2045		38		36
5.483% due 02/27/2034		584		572
5.505% due 12/25/2027		1,466		1,384
5.518% due 01/25/2047		411		387
5.788% due 02/25/2046		2,733		2,661
5.883% due 10/25/2046		485		475
5.883% due 12/25/2046		2,731		2,693
5.988% due 11/25/2042		88		87
6.059% due 05/25/2041		19		21
Wells Fargo Mortgage-Backed Securities Trust
4.950% due 03/25/2036		160		159
Total Mortgage-Backed Securities (Cost $84,664)				83,858
ASSET-BACKED SECURITIES 20.3%
ACE Securities Corp.
4.915% due 12/25/2036		318		309
4.925% due 05/25/2036		92		92
4.925% due 10/25/2036		259		250
4.945% due 10/25/2036		117		114
AmeriCredit Automobile Receivables Trust
5.318% due 08/06/2008		461		461
Argent Securities, Inc.
4.915% due 09/25/2036		266		262
Asset-Backed Funding Certificates
4.925% due 11/25/2036		544		527
4.925% due 01/25/2037		527		519
Asset-Backed Securities Corp. Home Equity
4.915% due 11/25/2036		375		370
4.915% due 12/25/2036		775		759
5.140% due 09/25/2034		46		45
Atrium CDO Corp.
5.441% due 06/27/2015		3,072		3,050
Bank One Issuance Trust
5.138% due 12/15/2010		6,600		6,602
Bear Stearns Asset-Backed Securities Trust
4.915% due 11/25/2036		740		726
4.945% due 10/25/2036		342		338
5.065% due 09/25/2034		4		4
Carrington Mortgage Loan Trust
4.915% due 01/25/2037		2,892		2,830
5.103% due 10/25/2035		937		869
5.115% due 06/25/2035		673		671
Chase Credit Card Master Trust
5.138% due 02/15/2011		1,300		1,300
Chase Issuance Trust
5.018% due 07/15/2011		1,300		1,297
5.038% due 12/15/2010		3,000		3,000
5.038% due 02/15/2011		2,300		2,297
Citibank Credit Card Issuance Trust
5.045% due 02/07/2010		5,300		5,301
Citigroup Mortgage Loan Trust, Inc.
4.915% due 11/25/2036		454		450
4.925% due 01/25/2037		977		960
Countrywide Asset-Backed Certificates
4.915% due 01/25/2037		794		784
4.915% due 05/25/2037		8,038		7,859
4.915% due 03/25/2047		135		133
4.925% due 03/25/2037		213		207
4.935% due 06/25/2037		1,009		984
4.945% due 06/25/2037		597		583
4.975% due 10/25/2046		144		141
Credit-Based Asset Servicing & Securitization LLC
4.925% due 11/25/2036		644		622
4.985% due 07/25/2037		1,292		1,227
DaimlerChrysler Auto Trust
5.250% due 05/08/2009		100		100
First Franklin Mortgage Loan Asset-Backed Certificates
4.905% due 01/25/2038		1,501		1,452
4.915% due 11/25/2036		992		952
4.915% due 12/25/2036		578		565
4.925% due 06/25/2036		655		637
4.935% due 12/25/2037		3,109		3,038
4.955% due 11/25/2036		6		6
Ford Credit Auto Owner Trust
5.048% due 12/15/2009		1,045		1,044
Fremont Home Loan Trust
4.915% due 10/25/2036		1,818		1,796
4.925% due 01/25/2037		568		554
4.935% due 02/25/2037		114		112
GS Auto Loan Trust
5.344% due 07/15/2008		324		324
GSAMP Trust
4.905% due 10/25/2046		393		385
4.935% due 09/25/2036		137		136
4.935% due 12/25/2036		826		804
GSR Mortgage Loan Trust
4.965% due 11/25/2030		7		7
HFC Home Equity Loan Asset-Backed Certificates
5.019% due 03/20/2036		852		840
5.219% due 01/20/2035		1,127		1,093
HSI Asset Securitization Corp. Trust
4.915% due 10/25/2036		1,533		1,464
4.915% due 12/25/2036		438		422
Indymac Residential Asset-Backed Trust
4.925% due 04/25/2037		440		430
4.945% due 07/25/2037		1,368		1,342
JPMorgan Mortgage Acquisition Corp.
4.915% due 08/25/2036		99		97
4.915% due 10/25/2036		3,063		2,987
4.935% due 11/25/2036		629		618
Lehman XS Trust
4.935% due 05/25/2046		209		207
4.985% due 11/25/2036		980		979
Long Beach Mortgage Loan Trust
4.895% due 06/25/2036		536		533
4.905% due 11/25/2036		2,175		2,138
4.955% due 01/25/2046		15		15
5.045% due 08/25/2035		160		159
5.145% due 10/25/2034		6		6
MASTR Asset-Backed Securities Trust
4.925% due 11/25/2036		767		747
MBNA Credit Card Master Note Trust
5.128% due 12/15/2011		2,100		2,097
5.148% due 08/16/2010		2,100		2,101
Merrill Lynch Mortgage Investors, Inc.
4.895% due 06/25/2037		387		382
4.935% due 08/25/2036		1,558		1,537
Morgan Stanley ABS Capital I
4.895% due 06/25/2036		360		355
4.905% due 10/25/2036		171		168
4.915% due 10/25/2036		294		281
4.915% due 11/25/2036		1,355		1,284
4.925% due 05/25/2037		2,963		2,859
Morgan Stanley IXIS Real Estate Capital Trust
4.915% due 11/25/2036		454		442
Nationstar Home Equity Loan Trust
4.925% due 03/25/2037		1,037		1,018
4.985% due 04/25/2037		3,415		3,311
Nelnet Student Loan Trust
5.182% due 09/25/2012		30		30
Newcastle Mortgage Securities Trust
4.935% due 03/25/2036		98		97
Option One Mortgage Loan Trust
4.905% due 02/25/2037		893		864
4.915% due 07/25/2036		242		240
4.915% due 01/25/2037		764		752
Park Place Securities, Inc.
5.125% due 09/25/2035		272		267
5.177% due 10/25/2034		236		204
Residential Asset Mortgage Products, Inc.
4.935% due 11/25/2036		529		520
4.945% due 10/25/2036		1,126		1,096
4.965% due 08/25/2046		2,584		2,538
Residential Asset Securities Corp.
4.905% due 08/25/2036		67		66
4.925% due 10/25/2036		411		405
4.935% due 11/25/2036		854		833
Residential Funding Mortgage Securities II, Inc.
4.985% due 05/25/2037		1,370		1,346
Saxon Asset Securities Trust
4.925% due 10/25/2046		92		90
SBI HELOC Trust
5.035% due 08/25/2036		113		108
Sears Credit Account Master Trust
5.248% due 04/16/2013		5,500		5,481
Securitized Asset-Backed Receivables LLC Trust
4.915% due 09/25/2036		542		527
4.925% due 12/25/2036		1,110		1,042
4.995% due 05/25/2037		1,143		1,130
SLC Student Loan Trust
4.849% due 02/15/2015		981		979
SLM Student Loan Trust
5.084% due 01/25/2016		79		79
5.084% due 10/25/2016		1,224		1,221
5.094% due 10/26/2015		338		337
Soundview Home Equity Loan Trust
4.915% due 10/25/2036		116		113
4.925% due 06/25/2036		58		58
4.925% due 12/25/2036		471		464
4.945% due 01/25/2037		2,508		2,460
4.965% due 10/25/2036		304		299
Specialty Underwriting & Residential Finance
4.910% due 11/25/2037		582		569
4.925% due 01/25/2038		1,464		1,426
Structured Asset Securities Corp.
4.915% due 10/25/2036		910		894
4.995% due 12/25/2035		12		12
Wells Fargo Home Equity Trust
4.915% due 01/25/2037		1,474		1,447
Total Asset-Backed Securities (Cost $117,646)				115,761
SOVEREIGN ISSUES 0.0%
Korea Development Bank
5.295% due 11/22/2012		100		100
Total Sovereign Issues (Cost $100)				100
FOREIGN CURRENCY-DENOMINATED ISSUES 0.4%
Brazilian Government International Bond
10.250% due 01/10/2028	BRL	2,300		1,255
Sumitomo Mitsui Banking Corp.
1.151% due 06/02/2049	JPY	100,000		894
Total Foreign Currency-Denominated Issues (Cost $2,225)				2,149
SHORT-TERM INSTRUMENTS 21.3%
Certificates of Deposit 4.0%
Bank of Ireland
5.282% due 01/15/2010	$	3,200		3,206
Barclays Bank PLC
5.021% due 03/17/2008		2,400		2,401
Calyon Financial, Inc.
5.204% due 01/16/2009		1,400		1,398
Fortis Bank NY
4.767% due 06/30/2008		1,800		1,797
5.148% due 09/30/2008		1,600		1,597
HSBC Bank USA N.A.
5.426% due 07/28/2008		100		100
Nordea Bank Finland PLC
4.695% due 03/31/2008		300		300
4.991% due 05/28/2008		700		700
5.230% due 04/09/2009		2,000		1,998
Royal Bank of Scotland Group PLC
4.734% due 03/26/2008		100		100
Skandinaviska Enskilda Banken AB
4.869% due 02/13/2009		1,100		1,099
Societe Generale NY
4.768% due 06/30/2008		3,000		3,001
4.806% due 03/26/2008		700		700
5.271% due 03/28/2008		300		300
Unicredito Italiano NY
5.062% due 05/29/2008		4,300		4,300
				22,997
Commercial Paper 15.7%
Abbey National Treasury Services PLC
4.250% due 01/07/2008		3,900		3,898
ANZ National International Ltd.
4.700% due 02/01/2008		17,100		17,033
Citibank N.A.
5.940% due 02/04/2008		11,500		11,437
Cox Communications, Inc.
6.002% due 01/15/2008		6,000		5,999
Rabobank Financial Co.
3.980% due 01/02/2008		15,900		15,900
Royal Bank of Scotland Group PLC
4.740% due 01/28/2008		2,900		2,890
UBS Finance Delaware LLC
4.000% due 01/02/2008		15,900		15,900
Westpac Banking Corp.
4.670% due 02/01/2008		16,000		15,938
				88,995
Repurchase Agreements 1.3%
State Street Bank and Trust Co.
3.900% due 01/02/2008		7,358		7,358
(Dated 12/31/2007. Collateralized by Federal Home Loan Bank 3.625% due 01/15/2008 valued at $7,506. Repurchase proceeds are $7,360.)
U.S. Treasury Bills 0.3%
3.025% due 02/28/2008 - 03/13/2008 (a)(b)(d)		1,780		1,764
Total Short-Term Instruments (Cost $121,120)				121,114
Purchased Options (f) 0.2% (Cost $233)				1,248
Total Investments 100.2% (Cost $573,625)			$	570,438
Written Options (g) (0.2%) (Premiums $263)				(970	)
Other Assets and Liabilities (Net) (0.0%)				(361	)
Net Assets (c) 100.0%			$	569,107

Notes to Schedule of Investments (amounts in thousands*, except number of contracts):

* A zero balance may reflect actual amounts rounding to less than one thousand.

(a) Coupon represents a weighted average rate.

(b) Securities with an aggregate market value of $991 have been pledged as collateral for swap and swaption contracts on December 31, 2007.

(c) As of December 31, 2007, portfolio securities with an aggregate value of $11,907 and derivative instruments with an aggregate depreciation of ($9,434) were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(d) Securities with an aggregate market value of $773 and cash of $2,530 have been segregated with the custodian to cover margin requirements for the following open futures contracts on December 31, 2007:

Description	Type	Expiration Month	# of Contracts		Unrealized Appreciation/ (Depreciation)
90-Day Eurodollar December Futures	Long	12/2008	1,104	$	3,591
90-Day Eurodollar June Futures	Long	06/2008	443		1,136
90-Day Eurodollar June Futures	Long	06/2009	308		713
90-Day Eurodollar March Futures	Long	03/2009	469		1,155
90-Day Eurodollar September Futures	Long	09/2008	565		1,918
90-Day Eurodollar September Futures	Long	09/2009	307		670
E-mini S&P 500 Index March Futures	Long	03/2008	10		(10	)
U.S. Treasury 2-Year Note March Futures	Short	03/2008	78		(61	)
U.S. Treasury 30-Year Bond March Futures	Short	03/2008	541		476
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2008	27		80
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2008	594		560
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2009	17		49
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2008	116		89
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2009	53		152
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2008	173		338
				$	10,856

(e) Swap agreements outstanding on December 31, 2007:

Credit Default Swaps on Securities

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
Bank of America	American International Group, Inc. 4.250% due 05/15/2013	Sell	0.910	%	12/20/2012	$	400	$	5
Bank of America	American International Group, Inc. 4.250% due 05/15/2013	Sell	0.930	%	12/20/2012		600		8
Bank of America	Daimler Finance N.A. LLC 6.500% due 11/15/2013	Sell	0.210	%	03/20/2008		900		0
Bank of America	MBIA, Inc.	Sell	2.800	%	12/20/2012		400		(6	)
Bank of America	MBIA, Inc. 6.625% due 10/01/2028	Sell	4.000	%	12/20/2012		400		(31	)
Bank of America	SLM Corp. 5.125% due 08/27/2012	Sell	3.000	%	12/20/2008		1,000		0
Bank of America	SLM Corp. 5.125% due 08/27/2012	Sell	2.860	%	12/20/2012		1,000		(5	)
Barclays Bank PLC	General Motors Corp. 7.125% due 07/15/2013	Sell	4.850	%	12/20/2012		2,400		(151	)
Barclays Bank PLC	GMAC LLC 6.875% due 08/28/2012	Sell	3.670	%	09/20/2012		1,000		(98	)
Barclays Bank PLC	Multiple Reference Entities of Gazprom	Sell	0.740	%	01/20/2012		800		(23	)
Barclays Bank PLC	Panama Government International Bond 8.875% due 09/30/2027	Sell	0.260	%	12/20/2008		4,000		(2	)
Barclays Bank PLC	SLM Corp. 5.125% due 08/27/2012	Sell	3.000	%	12/20/2008		800		0
Barclays Bank PLC	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.720	%	12/20/2008		2,000		1
Bear Stearns & Co., Inc.	Daimler Finance N.A. LLC 6.500% due 11/15/2013	Sell	0.200	%	03/20/2008		600		0
Bear Stearns & Co., Inc.	Daimler Finance N.A. LLC 6.500% due 11/15/2013	Sell	0.225	%	03/20/2008		1,900		0
Bear Stearns & Co., Inc.	General Motors Corp. 7.125% due 07/15/2013	Sell	1.810	%	09/20/2008		1,200		(21	)
BNP Paribas Bank	Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.830	%	09/20/2012		3,000		31
Credit Suisse USA, Inc.	Freddie Mac 5.875% due 03/21/2011	Sell	0.850	%	12/20/2012		400		2
Credit Suisse USA, Inc.	Mexico Government International Bond 7.500% due 04/08/2033	Sell	0.220	%	03/20/2009		1,000		0
Deutsche Bank AG	Bear Stearns Cos., Inc. 5.300% due 10/30/2015	Sell	0.140	%	06/20/2008		2,000		(20	)
Deutsche Bank AG	General Motors Corp. 7.125% due 07/15/2013	Sell	5.000	%	09/20/2009		2,300		(3	)
Deutsche Bank AG	Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	0.130	%	06/20/2008		2,000		(14	)
Deutsche Bank AG	MBIA, Inc.	Sell	3.400	%	12/20/2012		400		2
Deutsche Bank AG	Merrill Lynch & Co., Inc. 6.000% due 02/17/2009	Sell	0.120	%	06/20/2008		800		(5	)
Deutsche Bank AG	Morgan Stanley 6.600% due 04/01/2012	Sell	0.120	%	06/20/2008		2,000		(9	)
Deutsche Bank AG	Multiple Reference Entities of Gazprom	Sell	1.000	%	10/20/2011		400		(8	)
Deutsche Bank AG	Peru Government International Bond 8.750% due 11/21/2033	Sell	0.330	%	12/20/2008		4,000		(4	)
Goldman Sachs & Co.	American International Group, Inc. 5.600% due 10/18/2016	Sell	0.065	%	06/20/2008		3,100		(8	)
Goldman Sachs & Co.	Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	3.850	%	09/20/2012		100		(9	)
Goldman Sachs & Co.	GMAC LLC 6.875% due 08/28/2012	Sell	3.200	%	09/20/2012		300		(33	)
HSBC Bank USA	Multiple Reference Entities of Gazprom	Sell	0.970	%	11/20/2008		200		0
HSBC Bank USA	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.520	%	05/20/2009		1,000		(10	)
JPMorgan Chase & Co.	Citigroup, Inc. 6.500% due 01/18/2011	Sell	0.530	%	09/20/2012		3,700		(28	)
JPMorgan Chase & Co.	Multiple Reference Entities of Gazprom	Sell	1.430	%	12/20/2008		2,100		4
Lehman Brothers, Inc.	California State General Obligation Bonds 5.250% due 02/01/2018	Sell	0.470	%	12/20/2017		400		0
Lehman Brothers, Inc.	Fannie Mae 5.250% due 08/01/2012	Sell	0.670	%	12/20/2012		600		(2	)
Lehman Brothers, Inc.	Fannie Mae 5.250% due 08/01/2012	Sell	0.675	%	12/20/2012		300		(1	)
Lehman Brothers, Inc.	Fannie Mae 5.500% due 06/09/2033	Sell	0.440	%	12/20/2012		400		1
Lehman Brothers, Inc.	Fannie Mae 5.500% due 06/09/2033	Sell	0.445	%	12/20/2012		500		2
Lehman Brothers, Inc.	Ford Motor Credit Co. LLC 7.250% due 10/25/2011	Sell	4.000	%	12/20/2008		200		(4	)
Lehman Brothers, Inc.	Ford Motor Credit Co. LLC 7.250% due 10/25/2011	Sell	4.300	%	12/20/2008		200		(4	)
Lehman Brothers, Inc.	GMAC LLC 6.875% due 08/28/2012	Sell	1.350	%	06/20/2008		1,000		(27	)
Lehman Brothers, Inc.	Michigan State General Obligation Bonds, Series 2003 5.250% due 05/01/2020	Sell	0.400	%	12/20/2017		400		0
Lehman Brothers, Inc.	New York, New York General Obligation Bonds, Series 2007 5.000% due 01/01/2026	Sell	0.420	%	12/20/2017		400		1
Lehman Brothers, Inc.	Ohio State General Obligation Bonds, Series 2007 5.000% due 09/01/2020	Sell	0.300	%	12/20/2017		400		1
Lehman Brothers, Inc.	Pemex Project Funding Master Trust 9.500% due 09/15/2027	Sell	0.290	%	12/20/2008		500		0
Lehman Brothers, Inc.	Pemex Project Funding Master Trust 9.500% due 09/15/2027	Sell	0.320	%	03/20/2009		1,600		1
Lehman Brothers, Inc.	Residential Capital LLC 6.500% due 04/17/2013	Sell	1.150	%	06/20/2009		3,000		(819	)
Lehman Brothers, Inc.	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.310	%	12/20/2008		500		(1	)
Merrill Lynch & Co., Inc.	General Motors Corp. 7.125% due 07/15/2013	Sell	4.880	%	12/20/2012		1,900		(139	)
Merrill Lynch & Co., Inc.	GMAC LLC 6.875% due 08/28/2012	Sell	1.850	%	09/20/2009		1,100		(100	)
Royal Bank of Scotland Group PLC	American International Group, Inc. 4.250% due 05/15/2013	Sell	0.780	%	12/20/2012		400		3
Royal Bank of Scotland Group PLC	Fannie Mae 5.250% due 08/01/2012	Sell	0.700	%	12/20/2012		600		(1	)
Royal Bank of Scotland Group PLC	Fannie Mae 5.250% due 08/01/2012	Sell	0.785	%	12/20/2012		1,000		3
Royal Bank of Scotland Group PLC	Fannie Mae 5.250% due 08/01/2012	Sell	0.840	%	12/20/2012		1,900		11
Royal Bank of Scotland Group PLC	Fannie Mae 5.250% due 08/01/2012	Sell	0.950	%	12/20/2012		600		6
Royal Bank of Scotland Group PLC	Fannie Mae 5.500% due 06/09/2033	Sell	0.510	%	12/20/2012		1,000		7
Royal Bank of Scotland Group PLC	General Motors Corp. 7.125% due 07/15/2013	Sell	4.500	%	09/20/2008		2,300		32
Royal Bank of Scotland Group PLC	Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	0.300	%	09/20/2008		900		(8	)
UBS Warburg LLC	General Motors Corp. 7.125% due 07/15/2013	Sell	4.900	%	12/20/2012		1,500		(92	)
UBS Warburg LLC	GMAC LLC 6.875% due 08/28/2012	Sell	4.600	%	09/20/2008		4,200		(42	)
Wachovia Bank N.A.	MBIA, Inc. 6.625% due 10/01/2028	Sell	5.050	%	12/20/2012		400		(16	)
								$	(1,623	)

Credit Default Swaps on Credit Indices

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date		Notional Amount		Unrealized (Depreciation)
Citibank N.A.	Dow Jones CDX N.A. HY8 Index	Sell	0.360	%	06/20/2012	$	5,000	$	(93	)
Citibank N.A.	Dow Jones CDX N.A. HY8 Index	Sell	0.401	%	06/20/2012		1,000		(17	)
Citibank N.A.	Dow Jones CDX N.A. HY8 Index	Sell	2.144	%	06/20/2012		500		(7	)
Deutsche Bank AG	Dow Jones CDX N.A. EM8 Index	Sell	1.750	%	12/20/2012		1,300		(14	)
Merrill Lynch & Co., Inc.	Dow Jones CDX N.A. HY8 Index	Sell	1.833	%	06/20/2012		1,000		(25	)
								$	(156	)

⁽¹⁾ If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will pay to the buyer of the protection an amount up to the notional value of the swap and in certain instances, take delivery of the security.

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
Barclays Bank PLC	BRL-CDI-Compounded	Pay	11.360	%	01/04/2010	BRL	2,400	$	(19	)
Barclays Bank PLC	BRL-CDI-Compounded	Pay	12.540	%	01/02/2012		1,500		(7	)
Goldman Sachs & Co.	BRL-CDI-Compounded	Pay	11.465	%	01/04/2010		600		(3	)
Merrill Lynch & Co., Inc.	BRL-CDI-Compounded	Pay	11.430	%	01/04/2010		1,500		(12	)
Merrill Lynch & Co., Inc.	BRL-CDI-Compounded	Pay	12.948	%	01/04/2010		800		5
Morgan Stanley	BRL-CDI-Compounded	Pay	12.780	%	01/04/2010		900		3
UBS Warburg LLC	BRL-CDI-Compounded	Pay	10.575	%	01/02/2012		1,200		(18	)
UBS Warburg LLC	BRL-CDI-Compounded	Pay	12.540	%	01/02/2012		1,600		(7	)
Barclays Bank PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.960	%	04/05/2012	EUR	200		(4	)
Goldman Sachs & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.995	%	03/15/2012		16,200		(244	)
Goldman Sachs & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.960	%	03/30/2012		300		(6	)
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.948	%	03/15/2012		600		(12	)
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.958	%	04/10/2012		200		(4	)
Credit Suisse USA, Inc.	6-Month GBP-LIBOR	Pay	5.000	%	06/15/2009	GBP	9,900		(36	)
Credit Suisse USA, Inc.	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2036		1,200		40
Deutsche Bank AG	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2036		2,700		(161	)
Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	6.000	%	12/19/2009		800		30
Goldman Sachs & Co.	6-Month GBP-LIBOR	Receive	5.000	%	12/19/2037		100		(15	)
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Pay	6.000	%	03/20/2009		1,800		12
Bank of America	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010	$	5,900		39
Barclays Bank PLC	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010		55,000		83
Barclays Bank PLC	3-Month USD-LIBOR	Pay	5.000	%	06/18/2010		17,700		55
Merrill Lynch & Co., Inc.	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010		2,900		9
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010		9,500		39
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	06/18/2038		1,200		(31	)
								$	(264	)

Total Return Swaps

Counterparty	Type	Receive Total Return	Pay	Expiration Date	# of Contracts		Unrealized Appreciation/ (Depreciation)
Bear Stearns & Co., Inc.	Long	FTSE Research Affiliates 1000 Index	1-Month USD-LIBOR plus 0.300%	10/15/2008	592,475	$	398
Credit Suisse USA, Inc.	Long	FTSE Research Affiliates 1000 Index	1-Month USD-LIBOR plus 0.250%	10/15/2008	914,529		1,407
Merrill Lynch & Co., Inc.	Long	FTSE Research Affiliates 1000 Index	1-Month USD-LIBOR plus 0.250%	05/15/2008	594,300		(3,547	)
Merrill Lynch & Co., Inc.	Long	FTSE Research Affiliates 1000 Index	1-Month USD-LIBOR plus 0.250%	07/15/2008	317,787		(3,498	)
Merrill Lynch & Co., Inc.	Long	FTSE Research Affiliates 1000 Index	1-Month USD-LIBOR plus 0.250%	08/18/2008	448,976		(5,336	)
Merrill Lynch & Co., Inc.	Long	FTSE Research Affiliates 1000 Index	1-Month USD-LIBOR plus 0.200%	10/15/2008	1,726,321		1,113
Merrill Lynch & Co., Inc.	Short	FTSE Research Affiliates 1000 Index	1-Month USD-LIBOR plus 0.200%	10/15/2008	104,246		88
						$	(9,375	)

(f) Purchased options outstanding on December 31, 2007:

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date		Notional Amount		Cost		Value
Call - OTC 2-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Pay	4.750	%	09/26/2008	$	7,100	$	36	$	147
Call - OTC 1-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Pay	4.750	%	02/01/2008		14,000		40		107
Call - OTC 2-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	4.750	%	03/31/2008		2,300		13		47
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	02/01/2008		2,000		10		47
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	09/26/2008		7,200		26		149
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	12/15/2008		31,700		108		751
									$	233	$	1,248

(g) Written options outstanding on December 31, 2007:

Options on Exchange-Traded Futures Contracts

Description		Exercise Price	Expiration Date	# of Contracts		Premium		Value
Call - CBOT U.S. Treasury 10-Year Note March Futures	$	112.000	02/22/2008	18	$	15	$	39
Call - CBOT U.S. Treasury 10-Year Note March Futures		113.000	02/22/2008	18		13		28
Put - CBOT U.S. Treasury 10-Year Note March Futures		108.000	02/22/2008	18		7		1
					$	35	$	68

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date		Notional Amount		Premium		Value
Call - OTC 5-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Receive	4.950	%	09/26/2008	$	3,100	$	36	$	113
Call - OTC 5-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Receive	4.900	%	02/01/2008		3,000		37		99
Call - OTC 5-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	4.900	%	03/31/2008		1,000		12		35
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.100	%	02/01/2008		1,000		12		42
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.950	%	09/26/2008		3,100		26		113
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.200	%	12/15/2008		10,600		105		500
									$	228	$	902

(h) Short sales outstanding on December 31, 2007:

Description	Coupon		Maturity Date		Principal Amount		Proceeds		Value(2)
Fannie Mae	6.000	%	01/01/2038	$	1,000	$	1,016	$	1,015
Freddie Mac	5.500	%	01/01/2038		5,000		5,009		4,991
U.S. Treasury Bonds	3.125	%	11/30/2009		3,400		3,397		3,429
						$	9,422	$	9,435

⁽²⁾ Market value includes $25 of interest payable on short sales.

(i) Foreign currency contracts outstanding on December 31, 2007:

Type	Currency	Principal Amount Covered by Contract	Settlement Month		Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	AED	433	05/2008	$	0	$	0		$	0
Buy	AUD	1,591	01/2008		7		0			7
Sell		300	01/2008		2		0			2
Buy	BRL	39,853	03/2008		2,392		0			2,392
Buy		499	07/2008		3		0			3
Buy	CNY	604	01/2008		1		0			1
Sell		604	01/2008		0		(2	)		(2	)
Buy	GBP	163	01/2008		0		0			0
Sell		5,335	01/2008		120		(1	)		119
Buy	IDR	3,528,000	05/2008		0		(29	)		(29	)
Buy	INR	133,244	05/2008		192		0			192
Buy		6,728	08/2008		0		(1	)		(1	)
Sell	JPY	40,269	02/2008		1		0			1
Buy	KRW	250,192	01/2008		0		(6	)		(6	)
Buy		116,442	05/2008		0		(3	)		(3	)
Buy		2,863,513	08/2008		0		(14	)		(14	)
Buy	KWD	33	05/2008		1		0			1
Buy	MXN	33,924	03/2008		20		(3	)		17
Sell		9,977	03/2008		0		(7	)		(7	)
Buy		9,670	07/2008		6		(2	)		4
Buy	MYR	4,667	05/2008		23		0			23
Buy	PHP	39,051	05/2008		90		0			90
Buy	PLN	215	03/2008		1		0			1
Sell		215	03/2008		0		(1	)		(1	)
Buy		8,314	07/2008		320		0			320
Sell		8,314	07/2008		0		(35	)		(35	)
Buy	RUB	92,493	01/2008		173		0			173
Sell		92,493	01/2008		3		(1	)		2
Buy		38,923	07/2008		36		0			36
Sell		4,486	07/2008		0		(1	)		(1	)
Buy		39,680	11/2008		1		0			1
Buy	SAR	444	05/2008		0		(1	)		(1	)
Buy	SGD	2,417	02/2008		51		0			51
Sell		29	02/2008		0		0			0
Buy		4,127	05/2008		128		0			128
Buy	ZAR	590	07/2008		0		(4	)		(4	)
				$	3,571	$	(111	)	$	3,460

See accompanying notes

Schedule of Investments

Fundamental IndexPLUS^TM TR Fund

December 31, 2007 (Unaudited)

		Principal Amount (000s)		Value (000s)
BANK LOAN OBLIGATIONS 1.0%
HCA, Inc.
7.080% due 11/16/2013	$	2,481	$	2,394
Idearc, Inc.
6.830% due 11/17/2014		2,494		2,379
SLM Corp.
1.000% due 02/16/2008		1,400		1,395
Tell Group PLC
6.345% due 04/27/2011		72		69
Total Bank Loan Obligations (Cost $6,440)				6,237
CORPORATE BONDS & NOTES 18.6%
Banking & Finance 14.1%
Allstate Life Global Funding Trusts
4.924% due 03/23/2009		600		599
American General Finance Corp.
6.900% due 12/15/2017		1,600		1,604
American International Group, Inc.
5.050% due 10/01/2015		100		97
5.850% due 01/16/2018		4,000		4,034
Bank of America Corp.
5.056% due 09/18/2009		200		200
5.750% due 12/01/2017		1,100		1,105
Bank of America N.A.
6.000% due 10/15/2036		300		288
Bank of Ireland
5.016% due 12/18/2009		3,100		3,093
Barclays Bank PLC
6.050% due 12/04/2017		1,000		1,009
C10 Capital SPV Ltd.
6.722% due 12/31/2049		800		739
Calabash Re II Ltd.
13.391% due 01/08/2010		1,600		1,652
14.591% due 01/08/2010		1,600		1,712
CIT Group Holdings, Inc.
5.134% due 01/30/2009		600		564
CIT Group, Inc.
5.019% due 08/15/2008		1,000		992
5.025% due 08/17/2009		300		279
5.091% due 12/19/2008		500		472
Citigroup Capital XXI
8.300% due 12/21/2057		1,700		1,780
Citigroup, Inc.
4.872% due 12/28/2009		500		491
6.000% due 08/15/2017		6,700		6,848
DnB NORBank ASA
5.312% due 10/13/2009		1,000		1,001
Export-Import Bank of China
4.875% due 07/21/2015		100		98
Ford Motor Credit Co. LLC
6.625% due 06/16/2008		22,400		22,076
Foundation Re II Ltd.
11.655% due 11/26/2010		1,400		1,451
GMAC LLC
6.000% due 12/15/2011		200		168
Goldman Sachs Group, Inc.
5.111% due 07/29/2008		700		699
6.750% due 10/01/2037		10,900		10,713
HBOS PLC
5.920% due 09/29/2049		100		87
HSBC Holdings PLC
6.500% due 05/02/2036		1,900		1,853
ICICI Bank Ltd.
5.788% due 01/12/2010		1,800		1,778
JPMorgan Chase & Co.
6.000% due 01/15/2018		900		917
JPMorgan Chase Bank N.A.
6.000% due 10/01/2017		1,700		1,732
JPMorgan Chase Capital
6.550% due 09/29/2036		100		91
Lehman Brothers Holdings, Inc.
4.934% due 12/23/2008		200		197
5.094% due 12/23/2010		900		839
5.170% due 05/25/2010		100		96
6.200% due 09/26/2014		400		408
Merrill Lynch & Co., Inc.
6.050% due 08/15/2012		2,400		2,449
MetLife, Inc.
6.400% due 12/15/2036		400		368
Mystic Re Ltd.
11.381% due 12/05/2008		1,500		1,518
National Australia Bank Ltd.
5.181% due 09/11/2009		800		800
Petroleum Export Ltd.
5.265% due 06/15/2011		80		79
RBS Capital Trust III
5.512% due 09/29/2049		1,200		1,105
Resona Bank Ltd.
5.850% due 09/29/2049		200		186
Santander Perpetual S.A. Unipersonal
6.671% due 10/29/2049		900		904
SMFG Preferred Capital USD 1 Ltd.
6.078% due 01/29/2049		1,000		926
State Street Capital Trust IV
5.991% due 06/15/2037		200		156
TNK-BP Finance S.A.
6.125% due 03/20/2012		200		191
UBS AG
5.875% due 12/20/2017		700		706
USB Capital IX
6.189% due 04/15/2049		200		181
VTB Capital S.A.
5.494% due 08/01/2008		900		892
Westpac Banking Corp.
5.212% due 06/06/2008		800		800
ZFS Finance USA Trust I
5.875% due 05/09/2032		500		468
				83,491
Industrials 3.3%
AstraZeneca PLC
5.900% due 09/15/2017		400		421
6.450% due 09/15/2037		300		330
C8 Capital SPV Ltd.
6.640% due 12/29/2049		5,100		4,849
Citigroup Global Markets Deutschland AG for OAO Gazprom
10.500% due 10/21/2009		400		434
CODELCO, Inc.
6.150% due 10/24/2036		100		99
Comcast Corp.
5.875% due 02/15/2018		300		300
6.450% due 03/15/2037		300		306
Daimler Finance North America LLC
5.541% due 03/13/2009		200		199
Gaz Capital for Gazprom
6.212% due 11/22/2016		200		192
HJ Heinz Co.
6.428% due 12/01/2008		100		102
International Business Machines Corp.
5.700% due 09/14/2017		7,800		8,078
Kraft Foods, Inc.
6.125% due 02/01/2018		800		808
Peabody Energy Corp.
7.875% due 11/01/2026		300		306
Rohm & Haas Co.
6.000% due 09/15/2017		500		509
Time Warner, Inc.
5.875% due 11/15/2016		2,100		2,091
Williams Cos., Inc.
6.375% due 10/01/2010		700		711
				19,735
Utilities 1.2%
Dominion Resources, Inc.
5.050% due 11/14/2008		2,800		2,795
Enel Finance International S.A.
6.800% due 09/15/2037		2,900		2,923
MidAmerican Energy Holdings Co.
6.125% due 04/01/2036		600		600
NGPL Pipe Co. LLC
6.514% due 12/15/2012		800		813
Ras Laffan Liquefied Natural Gas Co. Ltd. III
5.838% due 09/30/2027		250		237
				7,368
Total Corporate Bonds & Notes (Cost $110,541)				110,594
MUNICIPAL BONDS 1.0%
Golden State, California Tobacco Securitization Corporations Revenue Bonds, Series 2007
5.750% due 06/01/2047		5,800		5,417
Iowa State Tobacco Settlement Authority Revenue Bonds, Series 2005
6.500% due 06/01/2023		285		272
Total Municipal Bonds (Cost $5,662)				5,689
COMMODITY INDEX-LINKED NOTES 0.3%
Goldman Sachs Commodity Index Total Return 0.3%
Morgan Stanley
4.805% due 07/07/2008		2,000		2,004
Total Commodity Index-Linked Notes (Cost $2,000)				2,004
U.S. GOVERNMENT AGENCIES 77.5%
Fannie Mae
4.382% due 03/01/2035		265		268
4.434% due 01/01/2035		1,264		1,253
4.441% due 07/01/2034		1,041		1,035
4.500% due 08/01/2035		1,759		1,750
4.516% due 09/01/2035		769		767
4.535% due 07/01/2035		995		996
4.557% due 07/01/2035		1,321		1,321
4.633% due 10/01/2035		702		703
4.640% due 09/01/2035		1,683		1,680
4.658% due 12/01/2033		691		705
4.669% due 05/25/2035		200		202
4.711% due 12/01/2033		442		442
4.831% due 06/01/2035		1,899		1,894
4.925% due 12/25/2036		652		641
4.989% due 06/01/2035		1,831		1,839
5.000% due 06/25/2027 - 02/01/2038		35,207		34,353
5.000% due 03/01/2036 (f)		26,925		26,290
5.215% due 09/25/2042		1,039		1,029
5.500% due 02/01/2014 - 02/01/2038		94,524		94,463
5.500% due 03/01/2037 (f)		24,927		24,903
6.000% due 05/01/2035 - 01/01/2038		188,043		191,012
6.063% due 06/01/2043 - 07/01/2044		1,038		1,039
6.327% due 10/01/2034		228		229
6.500% due 08/01/2029 - 09/01/2037		1,220		1,254
6.817% due 11/01/2035		311		320
Freddie Mac
4.364% due 09/01/2035		761		757
4.500% due 10/15/2022		837		836
4.704% due 06/01/2035		1,992		1,999
4.706% due 08/01/2035		1,642		1,638
4.814% due 10/01/2035		1,173		1,174
4.903% due 11/01/2034		1,141		1,159
5.000% due 04/15/2012 - 01/15/2024		1,074		1,074
5.125% due 08/25/2031		240		240
5.178% due 07/15/2019 - 08/15/2019		7,156		7,128
5.258% due 02/15/2019		7,815		7,776
5.428% due 06/15/2018		170		171
5.500% due 08/01/2037 - 02/01/2038		21,129		21,078
6.000% due 06/01/2037 - 10/01/2037		21,611		21,937
6.063% due 02/25/2045		111		111
Ginnie Mae
6.000% due 05/15/2037 - 07/15/2037		997		1,021
Small Business Administration
5.290% due 12/01/2027		700		709
Total U.S. Government Agencies (Cost $455,442)				459,196
U.S. TREASURY OBLIGATIONS 5.7%
Treasury Inflation Protected Securities (b)
2.000% due 01/15/2026		947		944
2.375% due 01/15/2025		554		582
2.375% due 01/15/2027		29,906		31,634
2.625% due 07/15/2017		406		438
Total U.S. Treasury Obligations (Cost $33,397)				33,598
MORTGAGE-BACKED SECURITIES 6.6%
American Home Mortgage Investment Trust
4.390% due 02/25/2045		294		282
Bear Stearns Adjustable Rate Mortgage Trust
4.750% due 10/25/2035		1,567		1,557
Bear Stearns Alt-A Trust
5.025% due 02/25/2034		981		932
5.527% due 09/25/2035		230		227
Citigroup Mortgage Loan Trust, Inc.
4.700% due 12/25/2035		319		313
4.900% due 12/25/2035		666		658
Countrywide Alternative Loan Trust
4.500% due 06/25/2035		1,826		1,807
5.045% due 05/25/2047		779		736
5.145% due 02/25/2037		3,372		3,188
Countrywide Home Loan Mortgage Pass-Through Trust
5.250% due 02/20/2036		223		221
CS First Boston Mortgage Securities Corp.
4.938% due 12/15/2040		542		540
Deutsche ALT-A Securities, Inc. Alternate Loan Trust
4.945% due 02/25/2037		3,797		3,725
Greenpoint Mortgage Funding Trust
4.945% due 10/25/2046		974		954
4.945% due 01/25/2047		1,161		1,138
GS Mortgage Securities Corp. II
5.352% due 06/06/2020		59		59
GSR Mortgage Loan Trust
4.539% due 09/25/2035		1,968		1,954
5.251% due 11/25/2035		1,393		1,347
Impac Secured Assets CMN Owner Trust
4.945% due 01/25/2037		592		581
Indymac Index Mortgage Loan Trust
4.955% due 11/25/2046		526		513
4.965% due 01/25/2037		422		418
5.189% due 01/25/2036		909		898
LB-UBS Commercial Mortgage Trust
4.990% due 11/15/2030		674		674
Mellon Residential Funding Corp.
5.468% due 12/15/2030		2,552		2,502
Merrill Lynch Floating Trust
5.098% due 06/15/2022		4,125		4,003
Structured Adjustable Rate Mortgage Loan Trust
5.305% due 08/25/2034		1,161		1,156
6.188% due 01/25/2035		590		573
Structured Asset Mortgage Investments, Inc.
5.145% due 02/25/2036		352		335
TBW Mortgage-Backed Pass-Through Certificates
4.975% due 01/25/2037		152		149
Thornburg Mortgage Securities Trust
4.975% due 03/25/2046		1,294		1,290
4.975% due 11/25/2046		1,026		1,003
4.985% due 09/25/2046		1,493		1,460
Wachovia Bank Commercial Mortgage Trust
5.118% due 09/15/2021		2,111		2,079
Washington Mutual, Inc.
5.155% due 10/25/2045		117		110
5.988% due 11/25/2042		140		136
6.059% due 05/25/2041		141		141
Wells Fargo Mortgage-Backed Securities Trust
4.950% due 03/25/2036		1,298		1,284
Total Mortgage-Backed Securities (Cost $39,687)				38,943
ASSET-BACKED SECURITIES 12.6%
ACE Securities Corp.
4.915% due 12/25/2036		382		371
4.945% due 10/25/2036		410		399
Asset-Backed Funding Certificates
4.925% due 11/25/2036		786		761
Asset-Backed Securities Corp. Home Equity
4.915% due 11/25/2036		542		534
5.140% due 09/25/2034		151		148
Bank One Issuance Trust
5.138% due 12/15/2010		7,800		7,803
5.148% due 09/15/2010		5,859		5,859
Bear Stearns Asset-Backed Securities Trust
4.915% due 11/25/2036		1,110		1,090
4.945% due 10/25/2036		411		406
5.065% due 09/25/2034		22		22
Chase Credit Card Master Trust
5.138% due 02/15/2011		1,800		1,800
Chase Issuance Trust
5.018% due 07/15/2011		1,800		1,796
Chase Manhattan Auto Owner Trust
5.280% due 10/15/2009		392		392
Citigroup Mortgage Loan Trust, Inc.
4.915% due 11/25/2036		227		225
Countrywide Asset-Backed Certificates
4.915% due 05/25/2037		6,484		6,326
4.915% due 03/25/2047		450		443
4.925% due 03/25/2037		692		674
4.935% due 06/25/2037		937		914
4.945% due 06/25/2037		821		802
4.975% due 10/25/2046		480		469
Credit-Based Asset Servicing & Securitization LLC
4.925% due 03/25/2036		68		68
4.925% due 11/25/2036		859		830
DaimlerChrysler Auto Trust
5.250% due 05/08/2009		249		249
First Franklin Mortgage Loan Asset-Backed Certificates
4.915% due 11/25/2036		1,452		1,393
4.915% due 12/25/2036		903		881
4.925% due 06/25/2036		2,014		1,960
Fremont Home Loan Trust
4.915% due 10/25/2036		2,867		2,832
4.925% due 01/25/2037		725		707
4.935% due 02/25/2037		324		318
GSAMP Trust
4.935% due 09/25/2036		503		493
GSR Mortgage Loan Trust
4.965% due 11/25/2030		78		78
HFC Home Equity Loan Asset-Backed Certificates
5.019% due 03/20/2036		678		669
HSI Asset Securitization Corp. Trust
4.915% due 12/25/2036		584		562
Indymac Residential Asset-Backed Trust
4.925% due 04/25/2037		654		640
JPMorgan Mortgage Acquisition Corp.
4.915% due 08/25/2036		257		252
4.915% due 10/25/2036		4,154		4,051
4.935% due 11/25/2036		215		212
Lehman XS Trust
4.935% due 05/25/2046		268		266
Long Beach Mortgage Loan Trust
4.895% due 06/25/2036		941		936
4.905% due 11/25/2036		3,329		3,273
4.955% due 01/25/2046		134		134
5.045% due 08/25/2035		245		241
5.145% due 10/25/2034		17		16
MBNA Credit Card Master Note Trust
5.128% due 12/15/2011		2,900		2,895
5.148% due 08/16/2010		3,150		3,151
Merrill Lynch Mortgage Investors, Inc.
4.895% due 06/25/2037		572		565
4.935% due 08/25/2036		2,134		2,105
Morgan Stanley ABS Capital I
4.895% due 06/25/2036		568		560
4.905% due 10/25/2036		353		348
4.915% due 10/25/2036		427		408
Morgan Stanley IXIS Real Estate Capital Trust
4.915% due 11/25/2036		680		662
Nelnet Student Loan Trust
5.182% due 09/25/2012		402		401
Option One Mortgage Loan Trust
4.905% due 02/25/2037		1,314		1,272
4.915% due 07/25/2036		363		360
Park Place Securities, Inc.
5.177% due 10/25/2034		728		632
Residential Asset Mortgage Products, Inc.
4.945% due 10/25/2036		740		720
Residential Asset Securities Corp.
4.925% due 10/25/2036		1,281		1,264
4.935% due 11/25/2036		716		699
Saxon Asset Securities Trust
4.925% due 10/25/2046		289		285
SBI HELOC Trust
5.035% due 08/25/2036		408		389
Soundview Home Equity Loan Trust
4.915% due 10/25/2036		369		362
4.945% due 01/25/2037		3,435		3,369
Specialty Underwriting & Residential Finance
4.910% due 11/25/2037		950		930
Structured Asset Securities Corp.
4.915% due 10/25/2036		813		799
4.995% due 12/25/2035		206		205
Total Asset-Backed Securities (Cost $75,856)				74,676
SOVEREIGN ISSUES 0.0%
China Development Bank
5.000% due 10/15/2015		100		99
Total Sovereign Issues (Cost $99)				99
FOREIGN CURRENCY-DENOMINATED ISSUES 2.3%
Brazilian Government International Bond
10.250% due 01/10/2028	BRL	600		327
General Electric Capital Corp.
5.500% due 09/15/2067	EUR	9,300		13,203
Total Foreign Currency-Denominated Issues (Cost $12,934)				13,530
		Shares
PREFERRED STOCKS 0.4%
DG Funding Trust
6.979% due 12/31/2049		243		2,571
Total Preferred Stocks (Cost $2,585)				2,571
		Principal Amount (000s)
SHORT-TERM INSTRUMENTS 3.4%
Repurchase Agreements 1.6%
State Street Bank and Trust Co.
3.900% due 01/02/2008	$	9,723		9,723
(Dated 12/31/2007. Collateralized by U.S. Treasury Bonds 3.625% due 04/15/2028 valued at $21,369. Repurchase proceeds are $9,725.)
U.S. Treasury Bills 1.8%
2.904% due 02/28/2008 - 03/13/2008 (a)(c)(d)(g)		10,565		10,469
Total Short-Term Instruments (Cost $20,229)				20,192
Purchased Options (i) 1.2% (Cost $1,468)				6,928
Total Investments 130.6% (Cost $766,340)			$	774,257
Written Options (j) (0.9%) (Premiums $1,632)				(5,408	)
Other Assets and Liabilities (Net) (29.7%)				(176,202	)
Net Assets (e) 100.0%			$	592,647

Notes to Schedule of Investments (amounts in thousands*, except number of contracts):

* A zero balance may reflect actual amounts rounding to less than one thousand.

(a) Coupon represents a weighted average rate.

(b) Principal amount of security is adjusted for inflation.

(c) Securities with an aggregate market value of $9,412 have been pledged as collateral for swap and swaption contracts on December 31, 2007.

(d) Securities with an aggregate market value of $483 have been pledged as collateral for delayed-delivery securities on December 31, 2007.

(e) As of December 31, 2007, portfolio securities with an aggregate value of $3,399 and derivative instruments with an aggregate depreciation of ($12,636) were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(f) The average amount of borrowings outstanding during the period ended December 31, 2007 was $81,344 at a weighted average interest rate of 5.070%. On December 31, 2007, securities valued at $48,886 were pledged as collateral for reverse repurchase agreements.

(g) Securities with an aggregate market value of $574 and cash of $3,525 have been segregated with the custodian to cover margin requirements for the following open futures contracts on December 31, 2007:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Eurodollar December Futures	Long	12/2008	1,241	$	4,510
90-Day Eurodollar June Futures	Long	06/2008	413		993
90-Day Eurodollar June Futures	Long	06/2009	67		172
90-Day Eurodollar March Futures	Long	03/2009	549		1,475
90-Day Eurodollar September Futures	Long	09/2008	242		872
90-Day Eurodollar September Futures	Long	09/2009	29		73
E-mini S&P 500 Index March Futures	Long	03/2008	5		(5	)
S&P 500 Index March Futures	Long	03/2008	4		(4	)
U.S. Treasury 2-Year Note March Futures	Short	03/2008	113		(93	)
U.S. Treasury 5-Year Note March Futures	Short	03/2008	149		(69	)
U.S. Treasury 10-Year Note March Futures	Long	03/2008	36		20
U.S. Treasury 30-Year Bond March Futures	Short	03/2008	17		43
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2008	62		188
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2008	407		384
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2009	36		106
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2008	165		127
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2009	98		292
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2008	167		375
				$	9,459

(h) Swap agreements outstanding on December 31, 2007:

Credit Default Swaps on Securities

Counterparty	Reference Entity	Sell Protection(1)	Receive Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
Barclays Bank PLC	General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.640	%	12/20/2012	$	1,500	$	2
Barclays Bank PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.370	%	03/20/2009		5,600		(32	)
Barclays Bank PLC	Multiple Reference Entities of Gazprom	Sell	1.600	%	12/20/2012		1,800		(5	)
BNP Paribas Bank	General Motors Corp. 7.125% due 07/15/2013	Sell	4.800	%	12/20/2012		100		(8	)
Credit Suisse USA, Inc.	Panama Government International Bond 8.875% due 09/30/2027	Sell	0.300	%	02/20/2009		5,780		(7	)
Credit Suisse USA, Inc.	Panama Government International Bond 8.875% due 09/30/2027	Sell	0.270	%	03/20/2009		600		(1	)
Goldman Sachs & Co.	Anadarko Petroleum Corp. 6.125% due 03/15/2012	Sell	0.150	%	03/20/2008		500		0
HSBC Bank USA	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.240	%	02/20/2008		600		0
JPMorgan Chase & Co.	General Motors Corp. 7.125% due 07/15/2013	Sell	4.550	%	12/20/2012		300		(25	)
JPMorgan Chase & Co.	GMAC LLC 6.875% due 08/28/2012	Sell	4.850	%	09/20/2012		500		(34	)
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.120	%	11/20/2011		4,100		70
Lehman Brothers, Inc.	GMAC LLC 6.875% due 08/28/2012	Sell	1.680	%	09/20/2008		3,100		(130	)
Lehman Brothers, Inc.	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.400	%	12/20/2008		400		(1	)
Merrill Lynch & Co., Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.950	%	04/20/2016		300		15
Merrill Lynch & Co., Inc.	GMAC LLC 6.875% due 08/28/2012	Sell	1.850	%	09/20/2009		1,600		(145	)
Morgan Stanley	Peru Government International Bond 8.750% due 11/21/2033	Sell	0.310	%	03/20/2009		3,000		(5	)
Morgan Stanley	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.610	%	02/20/2009		3,800		(14	)
Royal Bank of Scotland Group PLC	Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	0.300	%	09/20/2008		600		(6	)
								$	(326	)

Credit Default Swaps on Credit Indices

Counterparty	Reference Entity	Sell Protection(1)	Receive Fixed Rate		Expiration Date		Notional Amount		Unrealized (Depreciation	)
Citibank N.A.	Dow Jones CDX N.A. HY8 Index	Sell	0.360	%	06/20/2012	$	5,000	$	(93	)
Citibank N.A.	Dow Jones CDX N.A. HY8 Index	Sell	0.401	%	06/20/2012		1,000		(17	)
Citibank N.A.	Dow Jones CDX N.A. HY8 Index	Sell	2.144	%	06/20/2012		500		(6	)
Merrill Lynch & Co., Inc.	Dow Jones CDX N.A. HY8 Index	Sell	1.833	%	06/20/2012		1,000		(25	)
Morgan Stanley	Dow Jones CDX N.A. HY8 Index	Sell	2.080	%	06/20/2012		1,000		(15	)
								$	(156	)

⁽¹⁾ If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will pay to the buyer of the protection an amount up to the notional value of the swap and in certain instances, take delivery of the security.

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation	)
Deutsche Bank AG	6-Month Australian Bank Bill	Pay	7.000	%	03/20/2013	AUD	1,900	$	(49	)
Deutsche Bank AG	6-Month Australian Bank Bill	Receive	6.500	%	03/20/2018		2,600		34
UBS Warburg LLC	3-Month Australian Bank Bill	Pay	7.000	%	09/15/2009		18,400		(101	)
Barclays Bank PLC	BRL-CDI-Compounded	Pay	11.360	%	01/04/2010	BRL	3,000		(25	)
Goldman Sachs & Co.	BRL-CDI-Compounded	Pay	11.465	%	01/04/2010		800		(6	)
Merrill Lynch & Co., Inc.	BRL-CDI-Compounded	Pay	11.430	%	01/04/2010		1,900		(15	)
Merrill Lynch & Co., Inc.	BRL-CDI-Compounded	Pay	12.948	%	01/04/2010		1,100		7
Merrill Lynch & Co., Inc.	BRL-CDI-Compounded	Pay	11.980	%	01/02/2012		2,900		(35	)
Morgan Stanley	BRL-CDI-Compounded	Pay	12.780	%	01/04/2010		2,700		11
UBS Warburg LLC	BRL-CDI-Compounded	Pay	10.575	%	01/02/2012		4,100		(61	)
Barclays Bank PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.960	%	04/05/2012	EUR	200		(4	)
BNP Paribas Bank	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.090	%	10/15/2010		2,400		16
Deutsche Bank AG	6-Month EUR-LIBOR	Pay	5.000	%	12/19/2009		4,700		24
Goldman Sachs & Co.	6-Month EUR-LIBOR	Pay	4.000	%	03/20/2009		1,800		(10	)
Goldman Sachs & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.960	%	03/30/2012		400		(7	)
JPMorgan Chase & Co.	6-Month EUR-LIBOR	Pay	4.500	%	03/19/2010		2,400		0
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.948	%	03/15/2012		800		(16	)
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.958	%	04/10/2012		1,700		(36	)
Morgan Stanley	6-Month EUR-LIBOR	Pay	4.500	%	03/19/2010		1,300		0
Royal Bank of Scotland Group PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.955	%	03/28/2012		400		(7	)
Royal Bank of Scotland Group PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.950	%	03/30/2012		500		(9	)
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	6.000	%	12/20/2008	GBP	4,600		20
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	5.000	%	06/15/2009		2,700		20
Barclays Bank PLC	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2036		300		32
Credit Suisse USA, Inc.	6-Month GBP-LIBOR	Pay	5.000	%	06/15/2009		500		0
Deutsche Bank AG	6-Month GBP-LIBOR	Pay	6.000	%	12/20/2008		2,700		11
Deutsche Bank AG	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2036		1,400		(60	)
Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	5.000	%	06/15/2009		5,400		5
Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	6.000	%	06/19/2009		13,600		294
Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	6.000	%	12/19/2009		1,600		61
Goldman Sachs & Co.	6-Month GBP-LIBOR	Receive	5.500	%	12/15/2036		900		(100	)
Goldman Sachs & Co.	6-Month GBP-LIBOR	Receive	5.000	%	12/19/2037		200		(30	)
HSBC Bank USA	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2036		1,000		83
Merrill Lynch & Co., Inc.	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035		500		36
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Pay	6.000	%	03/20/2009		2,300		15
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Pay	6.000	%	06/19/2009		3,800		80
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2036		1,900		172
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Receive	5.500	%	12/15/2036		300		(36	)
Barclays Bank PLC	6-Month JPY-LIBOR	Pay	2.000	%	12/19/2017	JPY	80,000		17
Deutsche Bank AG	6-Month JPY-LIBOR	Pay	2.000	%	12/19/2017		140,000		30
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.170	%	11/04/2016	MXN	2,200		(4	)
Goldman Sachs & Co.	28-Day Mexico Interbank TIIE Banxico	Pay	7.780	%	04/03/2012		8,200		(65	)
Bank of America	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010	$	23,800		85
Bank of America	3-Month USD-LIBOR	Pay	5.000	%	06/18/2010		1,700		11
Bank of America	3-Month USD-LIBOR	Pay	4.000	%	06/18/2013		3,400		41
Bank of America	3-Month USD-LIBOR	Receive	5.000	%	06/18/2038		3,800		(68	)
Barclays Bank PLC	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010		9,300		37
Citibank N.A.	3-Month USD-LIBOR	Receive	5.000	%	06/18/2038		1,100		(33	)
Deutsche Bank AG	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010		15,600		26
Merrill Lynch & Co., Inc.	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010		7,000		34
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010		17,400		48
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	06/18/2038		2,300		(64	)
								$	409

Total Return Swaps

Counterparty	Type	Receive Total Return	Pay	Expiration Date	# of Contracts		Unrealized Appreciation/ (Depreciation	)
Bear Stearns & Co., Inc.	Long	FTSE Research Affiliates 1000 Index	1-Month USD-LIBOR plus 0.300%	10/15/2008	1,019,623	$	1,538
Credit Suisse USA, Inc.	Long	FTSE Research Affiliates 1000 Index	1-Month USD-LIBOR plus 0.250%	10/15/2008	1,215,708		1,859
Merrill Lynch & Co., Inc.	Long	FTSE Research Affiliates 1000 Index	1-Month USD-LIBOR plus 0.250%	05/15/2008	594,295		(3,583	)
Merrill Lynch & Co., Inc.	Long	FTSE Research Affiliates 1000 Index	1-Month USD-LIBOR plus 0.250%	07/15/2008	658,273		(7,245	)
Merrill Lynch & Co., Inc.	Long	FTSE Research Affiliates 1000 Index	1-Month USD-LIBOR plus 0.250%	08/18/2008	471,425		(5,603	)
Merrill Lynch & Co., Inc.	Long	FTSE Research Affiliates 1000 Index	1-Month USD-LIBOR plus 0.200%	10/15/2008	785,099		567
Merrill Lynch & Co., Inc.	Short	FTSE Research Affiliates 1000 Index	1-Month USD-LIBOR plus 0.200%	10/15/2008	62,698		(45	)
						$	(12,512	)

(i) Purchased options outstanding on December 31, 2007:

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay Floating Rate	Exercise Rate		Expiration Date		Notional Amount		Cost		Value
Call - OTC 2-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Pay	4.750	%	09/26/2008	$	39,000	$	187	$	810
Call - OTC 1-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Pay	4.750	%	02/01/2008		18,000		52		137
Call - OTC 2-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Pay	5.200	%	02/02/2009		18,000		135		468
Call - OTC 2-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	4.750	%	03/31/2008		9,200		51		186
Call - OTC 2-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	4.750	%	09/26/2008		57,100		202		1,185
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	02/01/2008		38,800		192		908
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	03/31/2008		52,500		307		1,063
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	09/26/2008		11,000		44		228
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	12/15/2008		18,000		64		358
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	12/15/2008		66,900		234		1,585
									$	1,468	$	6,928

(j) Written options outstanding on December 31, 2007:

Options on Exchange-Traded Futures Contracts

Description		Exercise Price	Expiration Date	# of Contracts		Premium		Value
Call - CBOT U.S. Treasury 5-Year Note March Futures	$	111.000	02/22/2008	35	$	21	$	25
Call - CBOT U.S. Treasury 10-Year Note March Futures		111.000	02/22/2008	15		6		43
Call - CBOT U.S. Treasury 10-Year Note March Futures		112.000	02/22/2008	18		15		39
Call - CBOT U.S. Treasury 10-Year Note March Futures		113.000	02/22/2008	17		13		27
Call - CBOT U.S. Treasury 10-Year Note March Futures		114.000	02/22/2008	68		56		76
Put - CBOT U.S. Treasury 5-Year Note March Futures		109.000	02/22/2008	35		25		15
Put - CBOT U.S. Treasury 10-Year Note March Futures		108.000	02/22/2008	17		7		1
Put - CBOT U.S. Treasury 10-Year Note March Futures		110.000	02/22/2008	68		37		17
					$	180	$	243

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Receive Floating Rate	Exercise Rate		Expiration Date		Notional Amount		Premium		Value
Call - OTC 5-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Receive	4.950	%	09/26/2008	$	16,500	$	184	$	601
Call - OTC 5-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Receive	4.900	%	02/01/2008		4,000		50		132
Call - OTC 5-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Receive	5.450	%	02/02/2009		8,000		137		407
Call - OTC 5-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	4.900	%	03/31/2008		4,000		49		138
Call - OTC 5-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	4.950	%	09/26/2008		25,100		207		914
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.100	%	02/01/2008		17,000		204		709
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.900	%	03/31/2008		12,900		171		446
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.950	%	03/31/2008		10,000		123		365
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.950	%	09/26/2008		4,500		40		164
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	12/15/2008		6,000		62		236
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.200	%	12/15/2008		22,300		225		1,053
									$	1,452	$	5,165

(k) Short sales outstanding on December 31, 2007:

Description	Coupon		Maturity Date		Principal Amount		Proceeds		Value	(2)
Fannie Mae	5.000	%	01/01/2038	$	800	$	781	$	781
Fannie Mae	5.500	%	01/01/2038		4,000		4,005		3,995
Freddie Mac	6.000	%	01/01/2038		12,000		12,182		12,178
U.S. Treasury Bonds	3.125	%	11/30/2009		3,500		3,497		3,505
U.S. Treasury Notes	4.500	%	05/15/2017		9,100		9,258		9,435
						$	29,723	$	29,894

⁽²⁾ Market value includes $92 of interest payable on short sales.

(l) Foreign currency contracts outstanding on December 31, 2007:

Type	Currency	Principal Amount Covered by Contract	Settlement Month		Unrealized Appreciation		Unrealized (Depreciation	)		Net Unrealized Appreciation/ (Depreciation	)
Buy	AED	417	05/2008	$	0	$	0		$	0
Buy	AUD	2,559	01/2008		8		0			8
Sell		460	01/2008		3		0			3
Buy	BRL	41,973	03/2008		2,797		0			2,797
Buy	CAD	87	01/2008		0		(1	)		(1	)
Buy	CNY	3,997	01/2008		6		0			6
Sell		3,997	01/2008		0		(10	)		(10	)
Sell	EUR	9,563	01/2008		22		0			22
Sell	GBP	4,923	01/2008		115		(1	)		113
Buy	IDR	4,321,800	05/2008		0		(35	)		(35	)
Buy	INR	210,347	05/2008		300		0			300
Sell	JPY	41,944	02/2008		1		0			1
Buy	KRW	752,096	01/2008		0		(21	)		(21	)
Buy		646,106	05/2008		2		(3	)		(1	)
Buy		1,295,647	08/2008		0		(6	)		(6	)
Buy	KWD	32	05/2008		1		0			1
Buy	MXN	32,931	03/2008		22		(2	)		20
Sell		9,685	03/2008		0		(7	)		(7	)
Buy		7,309	07/2008		7		0			7
Buy	MYR	6,066	05/2008		32		0			32
Buy	NZD	331	01/2008		6		0			6
Buy		331	02/2008		0		(2	)		(2	)
Buy	PHP	71,974	05/2008		166		0			166
Buy	PLN	1,394	03/2008		64		0			64
Sell		1,394	03/2008		0		(6	)		(6	)
Buy		5,553	07/2008		223		0			223
Sell		5,553	07/2008		0		(24	)		(24	)
Buy	RUB	80,001	01/2008		149		0			149
Sell		80,001	01/2008		2		(1	)		2
Buy		61,652	07/2008		56		0			56
Sell		7,105	07/2008		0		(1	)		(1	)
Buy		34,322	11/2008		0		0			0
Buy	SAR	427	05/2008		0		(1	)		(1	)
Buy	SEK	1,702	03/2008		0		(3	)		(3	)
Buy	SGD	1,979	02/2008		47		0			47
Buy		5,233	05/2008		160		0			160
Buy	ZAR	565	07/2008		0		(4	)		(4	)
				$	4,189	$	(128	)	$	4,061

See accompanying notes

Schedule of Investments

Global Bond Fund (U.S. Dollar-Hedged)

December 31, 2007 (Unaudited)

	Principal Amount (000s)		Value (000s)
AUSTRALIA 0.1%
BHP Billiton Finance Ltd.
5.125% due 03/29/2012	$	200	$	202
Total Australia (Cost $197)				202
BELGIUM 0.2%
Belgium Government Bond
7.500% due 07/29/2008	EUR	250		372
Total Belgium (Cost $230)				372
BERMUDA 0.3%
Merna Reinsurance Ltd.
5.480% due 07/07/2010 (j)	$	700		686
Total Bermuda (Cost $694)				686
CANADA 2.2%
Canada Housing Trust No. 1
4.550% due 12/15/2012	CAD	4,000		4,120
Rogers Wireless, Inc.
7.625% due 12/15/2011		300		326
Total Canada (Cost $4,247)				4,446
CAYMAN ISLANDS 1.1%
Mizuho Financial Group Cayman Ltd.
8.375% due 01/29/2049	$	700		708
MUFG Capital Finance 1 Ltd.
6.346% due 07/29/2049		800		759
MUFG Capital Finance 2 Ltd.
4.850% due 07/29/2049	EUR	300		372
Residential Reinsurance 2007 Ltd.
12.874% due 06/07/2010	$	500		515
SHL Corp. Ltd.
1.665% due 12/25/2024	JPY	476		4
Total Cayman Islands (Cost $2,400)				2,358
DENMARK 1.1%
Nordea Kredit Realkreditaktieselskab
6.000% due 07/01/2029	DKK	31		6
Nykredit Realkredit A/S
6.000% due 10/01/2029		206		42
Realkredit Danmark A/S
5.000% due 10/01/2038		12,228		2,258
Total Denmark (Cost $2,152)				2,306
FRANCE 10.6%
AXA S.A.
3.750% due 01/01/2017	EUR	50		98
Caisse Nationale des Caisses d’Epargne et de Prevoyance
6.117% due 10/29/2049		300		410
Credit Agricole S.A.
5.103% due 05/28/2010	$	900		900
6.637% due 05/29/2049		500		464
France Government Bond
4.000% due 10/25/2009	EUR	2,260		3,299
4.000% due 04/25/2014		9,300		13,428
4.000% due 10/25/2014		700		1,009
4.750% due 04/25/2035		100		148
5.750% due 10/25/2032		1,300		2,199
Total France (Cost $22,390)				21,955
GERMANY 26.7%
Bundesobligation
4.000% due 04/13/2012	EUR	1,800	$	2,618
Deutsche Bank AG
5.375% due 10/12/2012	$	500		513
LRP Landesbank Rheinland-Pfalz
4.750% due 04/04/2008	EUR	210		307
Republic of Germany
3.500% due 10/09/2009		1,000		1,448
4.000% due 07/04/2009		100		146
4.000% due 07/04/2016		2,900		4,154
4.250% due 01/04/2014		3,800		5,571
4.250% due 07/04/2014		6,900		10,106
4.750% due 07/04/2034		700		1,042
5.000% due 01/04/2012		100		151
5.250% due 01/04/2011		6,600		9,964
5.500% due 01/04/2031		1,500		2,454
5.625% due 01/04/2028		4,740		7,820
6.250% due 01/04/2024		600		1,044
6.500% due 07/04/2027		4,340		7,859
Total Germany (Cost $54,329)				55,197
ICELAND 0.4%
Glitnir Banki HF
5.679% due 01/18/2012	$	400		387
Kaupthing Bank HF
5.750% due 10/04/2011		200		188
Landsbanki Islands HF
5.730% due 08/25/2009		200		200
Total Iceland (Cost $801)				775
IRELAND 1.5%
Atlas Reinsurance PLC
8.786% due 01/10/2010	EUR	2,000		2,967
Emerald Mortgages PLC
5.198% due 02/15/2035		43		63
Lusitano Mortgages PLC
5.228% due 12/15/2035		111		161
Total Ireland (Cost $2,789)				3,191
ITALY 2.4%
Italy Buoni Poliennali Del Tesoro
4.250% due 08/01/2014	EUR	600		876
4.500% due 05/01/2009		1,280		1,880
5.500% due 11/01/2010		400		605
Siena Mortgages SpA
5.178% due 12/16/2038		1,162		1,681
Total Italy (Cost $4,784)				5,042
JAPAN 25.9%
Bank of Tokyo-Mitsubishi UFJ Ltd.
3.500% due 12/16/2015	EUR	200		276
Japan Government Bond
1.400% due 09/20/2011	JPY	270,000		2,463
1.500% due 03/20/2011		910,000		8,310
1.500% due 03/20/2014		160,000		1,464
1.500% due 03/20/2015		100,000		912
1.600% due 06/20/2014		460,000		4,234
2.300% due 06/20/2035		440,000		3,914
2.400% due 03/20/2034		180,000		1,640
2.500% due 09/20/2035		250,000		2,317
2.500% due 03/20/2036		20,000		185
2.500% due 06/20/2036		320,000		2,958
2.500% due 09/20/2036	JPY	760,000	$	7,024
2.500% due 09/20/2037		60,000		555
Japanese Government CPI Linked Bond
0.800% due 12/10/2015		90,450		801
1.000% due 06/10/2016		302,100		2,701
1.100% due 12/10/2016		370,000		3,332
1.188% due 02/28/2016		52,332		469
1.200% due 03/10/2017		100,300		909
1.200% due 06/10/2017		846,720		7,643
Resona Bank Ltd.
5.850% due 09/29/2049	$	500		466
Sumitomo Mitsui Banking Corp.
1.782% due 12/31/2049	JPY	100,000		898
5.625% due 07/29/2049	$	100		94
Total Japan (Cost $51,933)				53,565
JERSEY, CHANNEL ISLANDS 0.2%
Haus Ltd.
4.438% due 12/10/2037	EUR	351		512
Total Jersey, Channel Islands (Cost $339)				512
LIBERIA 0.1%
Royal Caribbean Cruises Ltd.
8.000% due 05/15/2010	$	100		104
Total Liberia (Cost $104)				104
NETHERLANDS 1.8%
Delphinus BV
4.910% due 04/25/2093	EUR	500		728
5.003% due 11/28/2031		325		474
5.044% due 06/25/2066		119		174
Deutsche Telekom International Finance BV
8.250% due 06/15/2030	$	100		125
Dutch Mortgage-Backed Securities BV
5.072% due 10/02/2079	EUR	852		1,238
Holland Euro-Denominated Mortgage-Backed Series
4.925% due 04/18/2012		90		132
Netherlands Government Bond
3.750% due 07/15/2014		200		285
5.000% due 07/15/2011		200		301
Siemens Financieringsmaatschappij NV
4.920% due 08/14/2009	$	200		200
Total Netherlands (Cost $3,166)				3,657
RUSSIA 0.0%
Gazstream S.A. for OAO Gazprom
5.625% due 07/22/2013	$	79		79
Total Russia (Cost $79)				78
SOUTH KOREA 0.5%
Export-Import Bank of Korea
5.214% due 06/01/2009	$	1,000		1,002
Total South Korea (Cost $1,000)				1,002
SPAIN 2.1%
Hipotebansa Mortgage Securitization Fund
4.775% due 07/18/2022	EUR	136		198
Santander Perpetual S.A. Unipersonal
6.671% due 10/29/2049	$	500		502
Spain Government Bond
4.200% due 07/30/2013	EUR	400	$	585
5.150% due 07/30/2009		1,990		2,957
Total Spain (Cost $4,164)				4,242
SWITZERLAND 0.2%
UBS AG
5.875% due 12/20/2017	$	500		505
Total Switzerland (Cost $499)				505
TUNISIA 0.2%
Banque Centrale de Tunisie
4.500% due 06/22/2020	EUR	300		398
Total Tunisia (Cost $363)				398
UNITED KINGDOM 5.0%
Barclays Bank PLC
6.050% due 12/04/2017	$	1,200		1,211
7.434% due 09/29/2049		600		624
Bauhaus Securities Ltd.
4.925% due 10/30/2052	EUR	216		313
HBOS PLC
5.920% due 09/29/2049	$	800		699
HSBC Holdings PLC
6.500% due 05/02/2036		900		878
Lloyds TSB Bank PLC
5.625% due 07/15/2049	EUR	590		863
Tate & Lyle International Finance PLC
5.000% due 11/15/2014	$	100		97
United Kingdom Gilt
4.000% due 03/07/2009	GBP	60		119
5.000% due 03/07/2008		800		1,593
5.000% due 03/07/2012		900		1,833
8.000% due 09/27/2013		790		1,846
XL Capital Europe PLC
6.500% due 01/15/2012	$	200		209
Total United Kingdom (Cost $10,109)				10,285
UNITED STATES 80.8%
Asset-Backed Securities 0.9%
AFC Home Equity Loan Trust
5.575% due 12/22/2027	$	15		15
American Express Credit Account Master Trust
5.138% due 09/15/2010		1,000		1,000
Amortizing Residential Collateral Trust
5.215% due 10/25/2031		11		11
Amresco Residential Securities Mortgage Loan Trust
5.805% due 06/25/2029		9		8
Bear Stearns Asset-Backed Securities Trust
5.195% due 10/25/2032		8		8
5.315% due 03/25/2043		25		25
CS First Boston Mortgage Securities Corp.
5.485% due 01/25/2032		10		9
First Alliance Mortgage Loan Trust
5.179% due 12/20/2027		44		43
GSAMP Trust
5.155% due 03/25/2034		118		118
Quest Trust
5.425% due 06/25/2034		1		1
Renaissance Home Equity Loan Trust
5.365% due 12/25/2033		46		45
Residential Asset Mortgage Products, Inc.
5.425% due 06/25/2032		10		10
Residential Asset Securities Corp.
5.365% due 07/25/2032		35		32
SLM Student Loan Trust
5.094% due 04/27/2015		140		140
Structured Asset Securities Corp.
5.265% due 05/25/2034		39		37
Wells Fargo Home Equity Trust
5.095% due 10/25/2035		336		326
				1,828
Bank Loan Obligations 0.9%
Daimler Finance North America LLC
9.000% due 08/03/2012		1,895		1,827
Commodity Index-Linked Notes 0.5%
Morgan Stanley
4.805% due 07/07/2008		1,000		1,002
Corporate Bonds & Notes 13.7%
ACE INA Holdings, Inc.
5.875% due 06/15/2014		100		103
American International Group, Inc.
4.875% due 03/15/2067	EUR	300		384
5.850% due 01/16/2018	$	500		504
Amgen, Inc.
5.133% due 11/28/2008		500		500
AutoZone, Inc.
5.875% due 10/15/2012		100		103
BAE Systems Holdings, Inc.
6.400% due 12/15/2011		200		211
Bank of America Corp.
4.875% due 11/06/2009		500		498
5.750% due 12/01/2017		500		502
Bank of America N.A.
5.132% due 06/12/2009		1,000		998
Bear Stearns Cos., Inc.
6.400% due 10/02/2017		200		194
6.950% due 08/10/2012		700		720
BellSouth Corp.
4.240% due 04/26/2021		1,300		1,295
5.200% due 09/15/2014		200		200
Boston Scientific Corp.
6.000% due 06/15/2011		200		194
6.400% due 06/15/2016		300		284
CenterPoint Energy, Inc.
5.875% due 06/01/2008		200		200
Charter One Bank N.A.
5.115% due 04/24/2009		1,000		996
CIT Group, Inc.
5.025% due 08/17/2009		600		557
Citigroup Capital XXI
8.300% due 12/21/2057		300		314
Citigroup Funding, Inc.
4.896% due 04/23/2009		1,200		1,193
Citigroup, Inc.
6.000% due 08/15/2017		500		511
CNA Financial Corp.
6.000% due 08/15/2011		300		308
ConocoPhillips Australia Funding Co.
5.343% due 04/09/2009		760		759
Consumers Energy Co.
5.000% due 02/15/2012		100		99
CVS Caremark Corp.
5.750% due 08/15/2011		200		205
Daimler Finance North America LLC
5.461% due 03/13/2009		500		497
5.750% due 09/08/2011		100		102
DR Horton, Inc.
6.000% due 04/15/2011		200		181
Ford Motor Credit Co. LLC
7.992% due 01/13/2012		500		420
Freeport-McMoRan Copper & Gold, Inc.
8.394% due 04/01/2015		100		102
General Electric Capital Corp.
5.172% due 12/12/2008		300		300
6.375% due 11/15/2067		500		517
Genworth Financial, Inc.
1.600% due 06/20/2011	JPY	90,000		792
GMAC LLC
6.000% due 04/01/2011	$	500		426
6.034% due 09/23/2008		400		386
6.119% due 05/15/2009		500		466
8.000% due 11/01/2031		200		168
Goldman Sachs Group, Inc.
5.250% due 06/01/2016 (j)	CAD	500		489
6.250% due 09/01/2017	$	1,500		1,563
HJ Heinz Finance Co.
6.000% due 03/15/2012		200		205
HSBC Finance Corp.
5.031% due 06/19/2009		500		493
International Lease Finance Corp.
5.350% due 03/01/2012		200		200
JPMorgan & Co., Inc. CPI Linked Bond
10.481% due 02/15/2012		100		103
JPMorgan Chase & Co.
5.058% due 02/22/2021	CAD	200		195
JPMorgan Chase Bank N.A.
6.000% due 10/01/2017	$	1,300		1,325
JPMorgan Chase Capital
6.550% due 09/29/2036		300		272
JPMorgan Chase Capital XXII
6.450% due 02/02/2037		200		179
Kinder Morgan Energy Partners LP
6.950% due 01/15/2038		700		737
Masco Corp.
6.125% due 10/03/2016		200		198
Merrill Lynch & Co., Inc.
4.960% due 08/14/2009		100		98
Mizuho JGB Investment LLC
9.870% due 12/29/2049		400		406
Mizuho Preferred Capital Co. LLC
8.790% due 12/29/2049		300		303
Morgan Stanley
4.925% due 05/07/2009		500		494
5.659% due 10/18/2016		200		187
NGPL Pipe Co. LLC
7.768% due 12/15/2037		500		525
Reynolds American, Inc.
5.691% due 06/15/2011		200		195
Sabre Holdings Corp.
7.350% due 08/01/2011		200		188
Sara Lee Corp.
6.250% due 09/15/2011		200		208
SB Treasury Co. LLC
9.400% due 12/29/2049		900		919
Sealed Air Corp.
5.625% due 07/15/2013		200		200
Sprint Nextel Corp.
6.000% due 12/01/2016		100		96
SUPERVALU, Inc.
7.500% due 11/15/2014		100		103
Tokai Preferred Capital Co. LLC
9.980% due 12/29/2049		300		305
U.S. Bancorp
4.885% due 04/28/2009		600		598
Viacom, Inc.
5.750% due 04/30/2011		200		203
Virginia Electric and Power Co.
6.350% due 11/30/2037		500		514
Wal-Mart Stores, Inc.
4.891% due 06/16/2008		500		500
Xerox Corp.
9.750% due 01/15/2009		200		209
				28,399
Mortgage-Backed Securities 5.7%
Banc of America Mortgage Securities, Inc.
5.000% due 05/25/2034		380		363
Bear Stearns Adjustable Rate Mortgage Trust
4.125% due 03/25/2035		741		734
4.434% due 05/25/2034		141		139
4.652% due 10/25/2033		82		81
4.673% due 05/25/2034		54		52
Bear Stearns Alt-A Trust
5.811% due 11/25/2036		792		781
5.949% due 02/25/2036		652		646
Bear Stearns Commercial Mortgage Securities
5.700% due 06/11/2050		500		512
Bear Stearns Structured Products, Inc.
5.684% due 01/26/2036		284		281
Citigroup Mortgage Loan Trust, Inc.
4.248% due 08/25/2035		234		230
4.748% due 08/25/2035		279		275
Commercial Mortgage Asset Trust
6.975% due 01/17/2032		300		327
Countrywide Home Loan Mortgage Pass-Through Trust
5.245% due 09/25/2034		136		131
6.141% due 08/25/2034		29		29
CS First Boston Mortgage Securities Corp.
4.094% due 08/25/2033		146		146
6.500% due 04/25/2033		21		21
First Horizon Asset Securities, Inc.
4.402% due 12/25/2033		64		64
4.737% due 07/25/2033		33		33
GMAC Commercial Mortgage Securities, Inc.
6.420% due 05/15/2035		538		540
GMAC Mortgage Corp. Loan Trust
5.500% due 09/25/2034		254		255
Greenpoint Mortgage Funding Trust
5.135% due 11/25/2045		30		28
GS Mortgage Securities Corp. II
5.342% due 03/06/2020		357		341
GSR Mortgage Loan Trust
4.603% due 03/25/2033		73		72
5.298% due 06/25/2034		141		140
Harborview Mortgage Loan Trust
4.970% due 05/19/2033		130		128
Impac CMB Trust
5.783% due 07/25/2033		30		30
JPMorgan Chase Commercial Mortgage Securities Corp.
5.429% due 12/12/2043		200		202
6.465% due 11/15/2035		600		634
JPMorgan Mortgage Trust
4.392% due 11/25/2033		63		62
MASTR Adjustable Rate Mortgages Trust
4.139% due 07/25/2034		100		99
Merrill Lynch Mortgage Investors, Inc.
6.439% due 02/25/2033		105		105
MLCC Mortgage Investors, Inc.
4.250% due 10/25/2035		381		367
5.408% due 03/15/2025		55		54
Morgan Stanley Capital I
5.388% due 03/12/2044		500		506
Residential Funding Mortgage Securities I, Inc.
6.500% due 03/25/2032		22		22
Sequoia Mortgage Trust
5.299% due 07/20/2033		254		248
Structured Adjustable Rate Mortgage Loan Trust
4.180% due 02/25/2034		46		46
4.590% due 04/25/2034		117		117
Structured Asset Mortgage Investments, Inc.
5.255% due 07/19/2034		55		54
Wachovia Bank Commercial Mortgage Trust
5.572% due 10/15/2048		800		814
Washington Mutual, Inc.
4.208% due 06/25/2033		65		65
5.175% due 01/25/2045		127		120
5.405% due 12/25/2027		413		396
5.483% due 02/27/2034		117		114
6.059% due 05/25/2041		33		33
Wells Fargo Mortgage-Backed Securities Trust
4.950% due 03/25/2036		882		873
5.625% due 04/25/2036		429		417
				11,727
Municipal Bonds & Notes 1.0%
Golden State, California Tobacco Securitization Corporations Revenue Bonds, Series 2007
5.000% due 06/01/2037		100		84
Harris County, Texas Revenue Bonds, Series 2003
5.000% due 08/01/2033		100		101
Illinois State Educational Facilities Authority Revenue Bonds, Series 2003
5.000% due 07/01/2033		380		391
Louisville & Jefferson Counties, Kentucky Metro Sewer District Revenue Bonds, (MBIA Insured), Series 2001
5.000% due 05/15/2036		100		103
New York City, New York Municipal Water Finance Authority Revenue Bonds, Series 2006
4.750% due 06/15/2038		200		202
New York State Tobacco Settlement Financing Corporations Revenue Notes, Series 2003
5.250% due 06/01/2013		400		403
Ohio State Buckeye Tobacco Settlement Financing Authority Revenue Bonds, Series 2007
5.875% due 06/01/2047		400		382
Puerto Rico Sales Tax Financing Corp. Revenue Bonds, (AMBAC Insured), Series 2007
0.000% due 08/01/2054		100		9
West Virginia State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2007
7.467% due 06/01/2047		500		481
				2,156
	Shares
Preferred Stocks 1.0%
DG Funding Trust
6.979% due 12/31/2049		172		1,819
Fresenius Medical Care Capital Trust II
7.875% due 02/01/2008		200		201
				2,020
	Principal Amount (000s)
U.S. Government Agencies 52.4%
Fannie Mae
4.186% due 11/01/2034	$	573		579
4.925% due 12/01/2034		216		216
4.965% due 01/25/2021		240		239
5.000% due 08/01/2035 - 01/01/2038		4,210		4,109
5.115% due 06/25/2044		86		85
5.500% due 10/01/2016 - 01/01/2038		18,404		18,402
5.500% due 12/01/2032 - 09/01/2037 (e)		59,277		59,235
6.000% due 07/01/2036 - 07/25/2044		4,779		4,860
6.000% due 10/01/2037 (e)		9,951		10,108
6.470% due 09/25/2012		1,000		1,107
6.500% due 09/01/2037 - 01/01/2038		4,195		4,313
Federal Home Loan Bank
5.750% due 08/15/2011		1,000		1,069
Freddie Mac
6.063% due 10/25/2044		419		420
Ginnie Mae
5.625% due 07/20/2022 - 09/20/2026		105		106
5.628% due 02/16/2030		77		78
5.678% due 02/16/2030		78		78
6.000% due 08/20/2034		608		610
6.125% due 11/20/2021 - 12/20/2026		45		46
6.250% due 01/20/2030		37		37
6.375% due 05/20/2028 - 06/20/2030		141		143
Small Business Administration
6.640% due 02/01/2011		70		72
Tennessee Valley Authority
5.880% due 04/01/2036		1,000		1,153
7.140% due 05/23/2012		1,000		1,123
				108,188
U.S. Treasury Obligations 4.7%
Treasury Inflation Protected Securities (b)
2.000% due 04/15/2012		4,555		4,723
2.375% due 01/15/2027		1,667		1,763
2.625% due 07/15/2017		1,217		1,313
U.S. Treasury Bonds
4.750% due 08/15/2017		900		951
5.000% due 05/15/2037		800		872
				9,622
Total United States (Cost $165,020)				166,769
SHORT-TERM INSTRUMENTS 10.1%
Commercial Paper 7.9%
Royal Bank of Scotland Group PLC
4.940% due 03/20/2008	$	5,300		5,245
Skandinaviska Enskilda Banken AB
4.770% due 03/20/2008		5,600		5,541
UBS Finance Delaware LLC
4.000% due 01/02/2008		5,600		5,600
				16,386
Repurchase Agreements 1.1%
Lehman Brothers, Inc.
1.000% due 01/02/2008		200		200
(Dated 12/31/2007. Collateralized by U.S. Treasury Inflation Protected Securities 3.625% due 04/15/2028 valued at $213. Repurchase proceeds are $200.)
State Street Bank and Trust Co.
3.900% due 01/02/2008		1,956		1,956
(Dated 12/31/2007. Collateralized by Federal Home Loan Bank 3.625% due 01/15/2008 valued at $1,997. Repurchase proceeds are $1,956.)
				2,156
U.S. Treasury Bills 1.1%
2.860% due 02/28/2008 - 03/13/2008 (a)(c)(f)		2,335		2,315
Total Short-Term Instruments (Cost $20,864)				20,857
Purchased Options (h) 3.3% (Cost $3,168)				6,783
Total Investments 176.8% (Cost $355,821)			$	365,287
Written Options (i) (2.7%) (Premiums $2,259)				(5,588	)
Other Assets and Liabilities (Net) (74.1%)				(153,083	)
Net Assets (d) 100.0%			$	206,616

Notes to Schedule of Investments (amounts in thousands*, except number of contracts):

* A zero balance may reflect actual amounts rounding to less than one thousand.

(a) Coupon represents a weighted average rate.

(b) Principal amount of security is adjusted for inflation.

(c) Securities with an aggregate market value of $1,983 have been pledged as collateral for swap and swaption contracts on December 31, 2007.

(d) As of December 31, 2007, portfolio securities with an aggregate value of $5,469 and derivative instruments with an aggregate depreciation of ($516) were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(e) The average amount of borrowings outstanding during the period ended December 31, 2007 was $55,813 at a weighted average interest rate of 4.890%. On December 31, 2007, securities valued at $45,699 were pledged as collateral for reverse repurchase agreements.

(f) Securities with an aggregate market value of $84 and cash of $1,745 have been segregated with the custodian to cover margin requirements for the following open futures contracts on December 31, 2007:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Euribor December Futures	Long	12/2008	107	$	(37	)
90-Day Euribor June Futures	Long	06/2008	43		4
90-Day Euribor March Futures	Long	03/2008	54		(28	)
90-Day Euribor September Futures	Long	09/2008	112		19
90-Day Eurodollar December Futures	Long	12/2008	116		72
90-Day Eurodollar June Futures	Short	06/2008	13		(4	)
90-Day Eurodollar June Futures	Long	06/2009	38		22
90-Day Eurodollar March Futures	Long	03/2009	172		201
90-Day Eurodollar September Futures	Long	09/2008	9		5
90-Day Eurodollar September Futures	Long	09/2009	13		6
Canada Government 10-Year Bond March Futures	Short	03/2008	3		1
Euro-Bobl March Futures	Short	03/2008	346		763
Euro-Bobl March Futures Call Options Strike @ EUR 117.000	Long	03/2008	134		0
Euro-Bobl March Futures Call Options Strike @ EUR 117.500	Long	03/2008	212		0
Euro-Bund 10-Year Bond March Futures	Long	03/2008	75		(281	)
Euro-Bund March Futures Put Options Strike @ EUR 105.500	Long	03/2008	80		0
Japan Government 10-Year Bond March Futures	Long	03/2008	1		6
U.S. Treasury 2-Year Note March Futures	Short	03/2008	116		47
U.S. Treasury 5-Year Note March Futures	Short	03/2008	486		(287	)
U.S. Treasury 10-Year Note March Futures	Long	03/2008	191		81
U.S. Treasury 30-Year Bond March Futures	Long	03/2008	78		(48	)
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2008	10		1
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2008	36		59
United Kingdom Government 10-Year Bond March Futures	Short	03/2008	29		(11	)
				$	591

(g) Swap agreements outstanding on December 31, 2007:

Credit Default Swaps on Securities

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Deutsche Bank AG	Akzo Nobel NV 4.250% due 06/14/2011	Buy	(0.290	%)	06/20/2012	EUR	200	$	0
Deutsche Bank AG	United Utilities PLC 6.875% due 08/15/2028	Buy	(0.235	%)	06/20/2012		200		4
Goldman Sachs & Co.	ICI Wilmington, Inc. 5.625% due 12/01/2013	Buy	(0.340	%)	06/20/2012		200		(2	)
Goldman Sachs & Co.	Koninklijke DSM NV 4.000% due 11/10/2015	Buy	(0.365	%)	06/20/2012		200		0
Goldman Sachs & Co.	SCA Finans AB 4.500% due 07/15/2015	Buy	(0.250	%)	06/20/2012		200		3
Merrill Lynch & Co., Inc.	Compass Group PLC 6.375% due 05/29/2012	Buy	(0.390	%)	06/20/2012		200		0
Bank of America	BHP Billiton Finance Ltd. 5.125% due 03/29/2012	Buy	(0.135	%)	03/20/2012	$	200		4
Bank of America	Consumers Energy Co. 5.000% due 02/15/2012	Buy	(0.090	%)	03/20/2012		100		4
Bank of America	Diamond Offshore Drilling, Inc. 4.875% due 07/01/2015	Buy	(0.485	%)	06/20/2017		400		1
Bank of America	Ford Motor Credit Co. LLC 7.250% due 10/25/2011	Sell	3.950	%	12/20/2012		200		(17	)
Bank of America	Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	0.150	%	06/20/2008		600		(4	)
Bank of America	Loews Corp. 8.875% due 04/15/2011	Buy	(0.120	%)	06/20/2012		100		1
Bank of America	Merrill Lynch & Co., Inc. 6.000% due 02/17/2009	Sell	0.150	%	06/20/2008		600		(4	)
Bank of America	Nabors Industries, Inc. 5.375% due 08/15/2012	Buy	(0.459	%)	06/20/2012		100		0
Bank of America	Nabors Industries, Inc. 5.375% due 08/15/2012	Buy	(0.452	%)	06/20/2012		100		0
Bank of America	Royal Caribbean Cruises Ltd. 8.000% due 05/15/2010	Buy	(0.480	%)	06/20/2010		100		2
Bank of America	SLM Corp. 5.125% due 08/27/2012	Sell	3.150	%	06/20/2009		500		1
Barclays Bank PLC	American Electric Power Co., Inc. 5.250% due 06/01/2015	Buy	(0.100	%)	06/20/2012		100		1
Barclays Bank PLC	Bear Stearns Cos., Inc. 6.400% due 10/02/2017	Buy	(0.820	%)	09/20/2017		200		8
Barclays Bank PLC	Capital One Bank 5.125% due 02/15/2014	Buy	(0.160	%)	06/20/2012		500		39
Barclays Bank PLC	Noble Corp. 5.875% due 06/01/2013	Buy	(0.530	%)	06/20/2012		100		0
Barclays Bank PLC	Weyerhaeuser Co. 6.750% due 03/15/2012	Buy	(0.895	%)	06/20/2017		100		2
Barclays Bank PLC	XL Capital Europe PLC 6.500% due 01/15/2012	Buy	(0.310	%)	03/20/2012		200		8
Bear Stearns & Co., Inc.	CNA Financial Corp. 6.000% due 08/15/2011	Buy	(0.440	%)	09/20/2011		100		1
Bear Stearns & Co., Inc.	Diamond Offshore Drilling, Inc. 0.000% due 06/06/2020	Buy	(0.230	%)	06/20/2012		100		0
Bear Stearns & Co., Inc.	H.J. Heinz Finance Co. 6.000% due 03/15/2012	Buy	(0.370	%)	03/20/2012		200		(1	)
Bear Stearns & Co., Inc.	Sprint Nextel Corp. 6.000% due 12/01/2016	Buy	(1.065	%)	12/20/2016		100		3
Bear Stearns & Co., Inc.	Viacom, Inc. 5.750% due 04/30/2011	Buy	(0.470	%)	06/20/2011		200		0
BNP Paribas Bank	SLM Corp. 5.125% due 08/27/2012	Sell	3.200	%	12/20/2008		400		1
Citibank N.A.	AutoZone, Inc. 5.875% due 10/15/2012	Buy	(0.680	%)	12/20/2012		100		(1	)
Credit Suisse USA, Inc.	CenterPoint Energy, Inc. 5.875% due 06/01/2008	Buy	(0.170	%)	06/20/2008		200		0
Credit Suisse USA, Inc.	Masco Corp. 6.125% due 10/03/2016	Buy	(0.907	%)	12/20/2016		200		7
Credit Suisse USA, Inc.	Multiple Reference Entities of Gazprom	Sell	1.330	%	12/20/2008		300		0
Credit Suisse USA, Inc.	Noble Corp. 5.875% due 06/01/2013	Buy	(0.530	%)	06/20/2012		100		0
Credit Suisse USA, Inc.	Sealed Air Corp. 5.625% due 07/15/2013	Buy	(0.500	%)	09/20/2013		200		3
Deutsche Bank AG	Ace INA Holdings, Inc. 5.875% due 06/15/2014	Buy	(0.390	%)	06/20/2014		100		0
Deutsche Bank AG	Bear Stearns Cos., Inc. 5.300% due 10/30/2015	Sell	0.160	%	06/20/2008		300		(3	)
Deutsche Bank AG	Glitnir Banki HF floating rate based on 3-Month USD-LIBOR plus 0.470% due 01/18/2012	Buy	(0.365	%)	03/20/2012		200		12
Deutsche Bank AG	Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.120	%	06/20/2008		600		(2	)
Deutsche Bank AG	International Paper Co. 5.850% due 10/30/2012	Buy	(0.700	%)	06/20/2017		400		0
Deutsche Bank AG	Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	0.160	%	06/20/2008		800		(6	)
Deutsche Bank AG	Merrill Lynch & Co., Inc. 6.000% due 02/17/2009	Sell	0.135	%	06/20/2008		1,000		(7	)
Deutsche Bank AG	Morgan Stanley 6.600% due 04/01/2012	Sell	0.140	%	06/20/2008		900		(4	)
Deutsche Bank AG	Nabors Industries, Inc. 5.375% due 08/15/2012	Buy	(0.470	%)	06/20/2012		100		0
Deutsche Bank AG	SLM Corp. 5.125% due 08/27/2012	Sell	3.050	%	03/20/2009		100		0
Deutsche Bank AG	Tate & Lyle International Finance PLC 5.000% due 11/15/2014	Buy	(0.510	%)	12/20/2014		100		1
Deutsche Bank AG	VTB Capital S.A. 6.250% due 06/30/2035	Sell	1.700	%	12/20/2008		200		0
Goldman Sachs & Co.	Carnival Corp. 6.650% due 01/15/2028	Buy	(0.210	%)	06/20/2012		200		2
Goldman Sachs & Co.	Duke Energy Carolinas LLC 6.250% due 01/15/2012	Buy	(0.090	%)	06/20/2012		200		2
Goldman Sachs & Co.	International Paper Co. 5.850% due 10/30/2012	Buy	(0.675	%)	06/20/2017		100		0
Goldman Sachs & Co.	MeadWestvaco Corp. 6.850% due 04/01/2012	Buy	(1.040	%)	06/20/2017		100		0
Goldman Sachs & Co.	Nabors Industries, Inc. 5.375% due 08/15/2012	Buy	(0.410	%)	06/20/2012		200		0
Goldman Sachs & Co.	RSHB Capital S.A. for OJSC Russian Agricultural Bank 7.175% due 05/16/2013	Sell	0.820	%	05/20/2012		400		(21	)
Goldman Sachs & Co.	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.630	%	12/20/2008		700		1
Goldman Sachs & Co.	SLM Corp. 5.125% due 08/27/2012	Sell	0.700	%	06/20/2012		100		(9	)
HSBC Bank USA	Multiple Reference Entities of Gazprom	Sell	1.300	%	12/20/2008		900		0
HSBC Bank USA	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.240	%	02/20/2008		500		0
HSBC Bank USA	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.730	%	04/20/2009		500		(3	)
JPMorgan Chase & Co.	AutoZone, Inc. 5.875% due 10/15/2012	Buy	(0.600	%)	06/20/2017		100		0
JPMorgan Chase & Co.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.345	%	08/20/2011		2,000		47
JPMorgan Chase & Co.	CNA Financial Corp. 6.000% due 08/15/2011	Buy	(0.440	%)	09/20/2011		200		2
JPMorgan Chase & Co.	Sabre Holdings Corp. 7.350% due 08/01/2011	Buy	(0.930	%)	09/20/2011		200		19
Lehman Brothers, Inc.	BellSouth Corp. 5.200% due 09/15/2014	Buy	(0.325	%)	09/20/2014		200		0
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.280	%	08/20/2011		3,600		75
Lehman Brothers, Inc.	CVS Caremark Corp. 5.750% due 08/15/2011	Buy	(0.210	%)	09/20/2011		200		1
Lehman Brothers, Inc.	DR Horton, Inc. 6.000% due 04/15/2011	Buy	(3.950	%)	06/20/2011		200		0
Lehman Brothers, Inc.	GMAC LLC 6.875% due 08/28/2012	Sell	4.900	%	09/20/2012		300		(20	)
Lehman Brothers, Inc.	MeadWestvaco Corp. 6.850% due 04/01/2012	Buy	(1.019	%)	06/20/2017		400		(1	)
Lehman Brothers, Inc.	Sara Lee Corp. 6.250% due 09/15/2011	Buy	(0.350	%)	09/20/2011		200		(1	)
Lehman Brothers, Inc.	Weyerhaeuser Co. 6.750% due 03/15/2012	Buy	(0.990	%)	06/20/2017		400		6
Merrill Lynch & Co., Inc.	Boston Scientific Corp. 6.000% due 06/15/2011	Buy	(0.510	%)	06/20/2011		200		6
Merrill Lynch & Co., Inc.	GMAC LLC 6.000% due 04/01/2011	Buy	(1.290	%)	06/20/2011		500		74
Merrill Lynch & Co., Inc.	International Lease Finance Corp. 5.350% due 03/01/2012	Buy	(0.130	%)	03/20/2012		200		3
Merrill Lynch & Co., Inc.	Multiple Reference Entities of Gazprom	Sell	0.610	%	05/20/2012		300		(12	)
Morgan Stanley	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.380	%	08/20/2011		2,100		52
Morgan Stanley	Lockheed Martin Corp. 7.650% due 05/01/2016	Buy	(0.089	%)	06/20/2012		200		1
Morgan Stanley	Multiple Reference Entities of Gazprom	Sell	1.320	%	12/20/2008		200		0
Morgan Stanley	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.245	%	06/20/2008		100		0
Morgan Stanley	Xerox Corp. 9.750% due 01/15/2009	Buy	(0.290	%)	03/20/2009		200		(1	)
Royal Bank of Canada	JPMorgan Chase & Co. 5.058% until 02/22/2016 and 1-Month CAD Offered Rate plus 1.000% thereafter, due 02/22/2021	Buy	(0.310	%)	03/20/2016		200		5
Royal Bank of Scotland Group PLC	Daimler Finance N.A. LLC 5.750% due 09/08/2011	Buy	(0.620	%)	09/20/2011		100		(1	)
Royal Bank of Scotland Group PLC	Glitnir Banki HF floating rate based on 3-Month USD-LIBOR plus 0.470% due 01/18/2012	Buy	(0.290	%)	03/20/2012		200		13
Royal Bank of Scotland Group PLC	Kaupthing Bank HF 5.750% due 10/04/2011	Buy	(0.490	%)	12/20/2011		200		17
Royal Bank of Scotland Group PLC	Landsbanki Islands HF floating rate based on 3-Month USD-LIBOR plus 0.700% due 08/25/2009	Buy	(0.330	%)	09/20/2009		200		5
Royal Bank of Scotland Group PLC	Morgan Stanley floating rate based on 3-Month USD-LIBOR plus 0.450% due 10/18/2016	Buy	(0.320	%)	12/20/2016		200		8
Royal Bank of Scotland Group PLC	SUPERVALU, Inc. 7.500% due 05/15/2012	Sell	2.450	%	09/20/2012		100		5
UBS Warburg LLC	American International Group, Inc. 4.250% due 05/15/2013	Sell	0.070	%	06/20/2008		900		(2	)
UBS Warburg LLC	BAE Systems Holdings, Inc. 6.400% due 12/15/2011	Buy	(0.140	%)	12/20/2011		200		2
UBS Warburg LLC	Goldman Sachs Group, Inc. 5.250% due 06/01/2016	Buy	(0.310	%)	06/20/2016		400		8
Wachovia Bank N.A.	GlobalSantaFe Corp. 5.000% due 02/15/2013	Buy	(0.530	%)	06/20/2012		100		(1	)
Wachovia Bank N.A.	GlobalSantaFe Corp. 5.000% due 02/15/2013	Buy	(0.520	%)	06/20/2012		100		(1	)
								$	336

Credit Default Swaps on Credit Indices

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Barclays Bank PLC	Dow Jones iTraxx Europe HV6 Index	Buy	(0.850	%)	12/20/2016	EUR	1,100	$	13
BNP Paribas Bank	Dow Jones iTraxx Europe HV6 Index	Buy	(0.850	%)	12/20/2016		500		6
HSBC Bank USA	Dow Jones iTraxx Europe HV6 Index	Buy	(0.850	%)	12/20/2016		100		1
JPMorgan Chase & Co.	Dow Jones iTraxx Europe HV6 Index	Buy	(0.850	%)	12/20/2016		300		4
Bank of America	Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016	$	6,200		181
Barclays Bank PLC	Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016		300		9
Barclays Bank PLC	Dow Jones CDX N.A. IG8 Index	Sell	0.600	%	06/20/2017		3,300		(6	)
Citibank N.A.	Dow Jones CDX N.A. HY8 Index	Sell	3.297	%	06/20/2012		400		14
Credit Suisse USA, Inc.	Dow Jones CDX N.A. IG8 Index	Buy	(0.600	%)	06/20/2017		1,700		31
Deutsche Bank AG	Dow Jones CDX N.A. HY8 Index	Sell	2.080	%	06/20/2012		1,500		(22	)
Deutsche Bank AG	Dow Jones CDX N.A. IG8 Index	Buy	(0.600	%)	06/20/2017		5,800		97
Goldman Sachs & Co.	Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016		1,600		45
Goldman Sachs & Co.	Dow Jones CDX N.A. IG8 Index	Buy	(0.600	%)	06/20/2017		19,800		15
JPMorgan Chase & Co.	Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016		700		20
Lehman Brothers, Inc.	Dow Jones CDX N.A. HY8 Index	Sell	3.920	%	06/20/2012		300		18
Lehman Brothers, Inc.	Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016		1,700		47
Merrill Lynch & Co., Inc.	Dow Jones CDX N.A. HY8 Index	Sell	3.884	%	06/20/2012		300		17
Morgan Stanley	Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016		1,500		44
UBS Warburg LLC	Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016		1,000		29
								$	563

⁽¹⁾ If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will pay to the buyer of the protection an amount up to the notional value of the swap and in certain instances, take delivery of the security. As a buyer of protection, the Fund will generally receive from the seller of protection an amount up to the notional amount of the swap if a credit event occurs.

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Barclays Bank PLC	3-Month Australian Bank Bill	Pay	7.000	%	09/15/2009	AUD	4,800	$	(25	)
Citibank N.A.	3-Month Australian Bank Bill	Pay	6.500	%	01/15/2009		4,800		(37	)
Citibank N.A.	6-Month Australian Bank Bill	Pay	6.000	%	06/15/2010		6,900		(270	)
Citibank N.A.	6-Month Australian Bank Bill	Receive	6.000	%	06/15/2015		3,900		296
Deutsche Bank AG	3-Month Australian Bank Bill	Pay	6.500	%	01/15/2009		10,540		(79	)
Deutsche Bank AG	6-Month Australian Bank Bill	Pay	7.000	%	06/15/2010		15,000		(144	)
Deutsche Bank AG	6-Month Australian Bank Bill	Pay	6.000	%	06/15/2012		1,400		(60	)
Deutsche Bank AG	6-Month Australian Bank Bill	Receive	6.000	%	06/15/2017		800		54
Deutsche Bank AG	6-Month Australian Bank Bill	Receive	6.500	%	06/15/2017		3,900		67
HSBC Bank USA	6-Month Australian Bank Bill	Pay	6.000	%	06/15/2012		1,000		(44	)
HSBC Bank USA	6-Month Australian Bank Bill	Receive	6.000	%	06/15/2017		600		41
JPMorgan Chase & Co.	3-Month Australian Bank Bill	Pay	7.000	%	09/15/2009		4,800		(23	)
Morgan Stanley	6-Month Australian Bank Bill	Pay	7.000	%	06/15/2010		6,000		(58	)
Morgan Stanley	6-Month Australian Bank Bill	Receive	6.500	%	06/15/2017		3,700		57
UBS Warburg LLC	6-Month Australian Bank Bill	Pay	6.000	%	06/15/2010		3,600		(143	)
UBS Warburg LLC	6-Month Australian Bank Bill	Receive	6.000	%	06/15/2015		2,300		183
Barclays Bank PLC	BRL-CDI-Compounded	Pay	10.680	%	01/02/2012	BRL	3,000		(87	)
Goldman Sachs & Co.	BRL-CDI-Compounded	Pay	10.150	%	01/02/2012		4,600		(129	)
Morgan Stanley	BRL-CDI-Compounded	Pay	10.115	%	01/02/2012		8,700		(274	)
UBS Warburg LLC	BRL-CDI-Compounded	Pay	10.575	%	01/02/2012		1,100		(25	)
Citibank N.A.	3-Month Canadian Bank Bill	Receive	5.000	%	06/15/2015	CAD	800		7
Merrill Lynch & Co., Inc.	3-Month Canadian Bank Bill	Pay	5.000	%	06/15/2015		600		18
Barclays Bank PLC	6-Month EUR-LIBOR	Pay	4.000	%	06/17/2010	EUR	200		(15	)
Barclays Bank PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.103	%	10/15/2010		6,300		68
Barclays Bank PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.948	%	03/15/2012		500		(9	)
Barclays Bank PLC	6-Month EUR-LIBOR	Receive	4.000	%	12/15/2014		300		11
Barclays Bank PLC	6-Month EUR-LIBOR	Receive	5.000	%	03/19/2018		1,000		9
BNP Paribas Bank	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.090	%	10/15/2010		3,000		21
Credit Suisse USA, Inc.	6-Month EUR-LIBOR	Pay	5.000	%	09/19/2012		15,400		141
Deutsche Bank AG	6-Month EUR-LIBOR	Pay	4.000	%	12/15/2011		9,200		(52	)
Deutsche Bank AG	6-Month EUR-LIBOR	Receive	4.000	%	12/15/2014		20,170		693
Deutsche Bank AG	6-Month EUR-LIBOR	Receive	5.000	%	03/19/2038		1,600		(70	)
Goldman Sachs & Co.	6-Month EUR-LIBOR	Pay	4.000	%	09/19/2009		7,800		(62	)
Goldman Sachs & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.995	%	03/15/2012		500		(8	)
Goldman Sachs & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.080	%	06/15/2012		1,600		(21	)
Goldman Sachs & Co.	6-Month EUR-LIBOR	Receive	4.000	%	12/15/2014		300		14
Goldman Sachs & Co.	6-Month EUR-LIBOR	Receive	5.000	%	03/19/2038		1,500		(62	)
JPMorgan Chase & Co.	6-Month EUR-LIBOR	Pay	4.000	%	06/17/2010		500		(33	)
Lehman Brothers, Inc.	6-Month EUR-LIBOR	Pay	5.000	%	12/15/2011		1,700		6
Lehman Brothers, Inc.	6-Month EUR-LIBOR	Pay	4.000	%	09/19/2012		6,500		39
Lehman Brothers, Inc.	6-Month EUR-LIBOR	Pay	6.000	%	06/18/2034		1,100		(83	)
Merrill Lynch & Co., Inc.	6-Month EUR-LIBOR	Pay	4.000	%	06/17/2010		100		(7	)
Merrill Lynch & Co., Inc.	6-Month EUR-LIBOR	Pay	6.000	%	06/18/2034		500		(34	)
Morgan Stanley	6-Month EUR-LIBOR	Pay	4.000	%	06/17/2010		300		(20	)
Morgan Stanley	6-Month EUR-LIBOR	Receive	4.000	%	06/15/2017		3,000		240
Morgan Stanley	6-Month EUR-LIBOR	Pay	6.000	%	06/18/2034		500		(40	)
Royal Bank of Scotland Group PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.950	%	03/30/2012		600		(11	)
Royal Bank of Scotland Group PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.940	%	04/10/2012		500		(10	)
Royal Bank of Scotland Group PLC	6-Month EUR-LIBOR	Pay	4.000	%	09/19/2012		2,100		(31	)
UBS Warburg LLC	6-Month EUR-LIBOR	Pay	4.000	%	06/17/2010		800		(55	)
UBS Warburg LLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.146	%	10/15/2010		3,500		37
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	5.000	%	06/15/2009	GBP	4,700		51
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	5.000	%	03/20/2010		6,100		58
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2010		1,100		(12	)
Barclays Bank PLC	6-Month GBP-LIBOR	Receive	4.500	%	09/15/2017		9,500		45
Barclays Bank PLC	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035		2,700		32
Barclays Bank PLC	6-Month GBP-LIBOR	Receive	4.250	%	06/12/2036		100		11
Citibank N.A.	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2015		100		(2	)
Citibank N.A.	6-Month GBP-LIBOR	Receive	5.000	%	12/16/2019		200		1
Deutsche Bank AG	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2010		1,100		(8	)
Deutsche Bank AG	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2015		400		(5	)
Deutsche Bank AG	6-Month GBP-LIBOR	Receive	4.250	%	06/12/2036		300		34
Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2010		100		(1	)
Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	6.000	%	09/20/2012		7,800		677
Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	5.000	%	03/20/2013		3,100		116
Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	5.500	%	03/20/2013		4,200		163
Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2015		1,800		25
HSBC Bank USA	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2010		7,800		(234	)
HSBC Bank USA	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2015		400		(8	)
HSBC Bank USA	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035		300		29
JPMorgan Chase & Co.	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2015		800		(12	)
Morgan Stanley	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2010		2,400		124
Morgan Stanley	6-Month GBP-LIBOR	Pay	5.000	%	03/20/2018		1,600		61
Morgan Stanley	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035		300		25
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Pay	6.000	%	06/19/2009		1,700		36
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Receive	5.322	%	09/14/2009		200		1
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2015		600		1
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Receive	5.500	%	12/15/2036		100		(12	)
Deutsche Bank AG	6-Month JPY-LIBOR	Pay	1.500	%	12/20/2012	JPY	400,000		4
Deutsche Bank AG	6-Month JPY-LIBOR	Receive	2.500	%	12/20/2027		60,000		(13	)
Deutsche Bank AG	6-Month JPY-LIBOR	Receive	2.500	%	06/20/2036		60,000		(14	)
Goldman Sachs & Co.	6-Month JPY-LIBOR	Receive	2.000	%	06/20/2010		200,000		(28	)
Goldman Sachs & Co.	6-Month JPY-LIBOR	Receive	1.300	%	09/21/2011		340,000		(20	)
Goldman Sachs & Co.	6-Month JPY-LIBOR	Receive	2.000	%	06/20/2017		1,130,000		(13	)
Goldman Sachs & Co.	6-Month JPY-LIBOR	Receive	3.000	%	06/20/2036		150,000		(93	)
Morgan Stanley	6-Month JPY-LIBOR	Pay	1.500	%	12/20/2012		730,000		10
Morgan Stanley	6-Month JPY-LIBOR	Receive	1.980	%	09/27/2016		500,000		(163	)
Morgan Stanley	6-Month JPY-LIBOR	Receive	2.500	%	06/20/2036		680,000		(175	)
Royal Bank of Scotland Group PLC	6-Month JPY-LIBOR	Pay	1.500	%	06/20/2015		550,000		6
Royal Bank of Scotland Group PLC	6-Month JPY-LIBOR	Receive	2.000	%	06/20/2017		110,000		(6	)
UBS Warburg LLC	6-Month JPY-LIBOR	Pay	1.500	%	12/20/2012		920,000		13
UBS Warburg LLC	6-Month JPY-LIBOR	Pay	1.500	%	06/20/2015		400,000		11
UBS Warburg LLC	6-Month JPY-LIBOR	Receive	2.500	%	06/20/2036		100,000		(13	)
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.720	%	09/05/2016	MXN	1,000		(1	)
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.900	%	09/22/2016		4,500		9
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.840	%	09/23/2016		3,000		5
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.170	%	11/04/2016		8,600		(33	)
JPMorgan Chase & Co.	28-Day Mexico Interbank TIIE Banxico	Pay	8.840	%	09/23/2016		1,000		2
Merrill Lynch & Co., Inc.	28-Day Mexico Interbank TIIE Banxico	Pay	8.720	%	09/05/2016		4,000		(5	)
Citibank N.A.	3-Month USD-LIBOR	Pay	4.000	%	06/18/2013	$	7,000		78
Credit Suisse USA, Inc.	3-Month USD-LIBOR	Receive	5.000	%	06/20/2017		2,700		(65	)
Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	06/18/2009		30,000		349
Deutsche Bank AG	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010		23,600		40
Deutsche Bank AG	3-Month USD-LIBOR	Receive	5.000	%	06/18/2015		20,200		12
JPMorgan Chase & Co.	3-Month USD-LIBOR	Pay	4.000	%	06/18/2013		37,600		9
JPMorgan Chase & Co.	3-Month USD-LIBOR	Receive	5.000	%	06/20/2017		1,000		(19	)
Merrill Lynch & Co., Inc.	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010		8,700		2
Merrill Lynch & Co., Inc.	3-Month USD-LIBOR	Receive	5.000	%	06/20/2017		1,400		(66	)
Morgan Stanley	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010		900		4
Morgan Stanley	3-Month USD-LIBOR	Receive	5.000	%	06/18/2038		100		(3	)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010		19,300		(7	)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	06/18/2015		2,800		(9	)
UBS Warburg LLC	3-Month USD-LIBOR	Receive	5.000	%	12/20/2026		300		(29	)
								$	956

(h) Purchased options outstanding on December 31, 2007:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Cost		Value
Call - CBOT U.S. Treasury 2-Year Note March Futures	$	116.000	02/22/2008	80	$	2	$	1
Call - CBOT U.S. Treasury 2-Year Note March Futures		118.500	02/22/2008	118		2		2
Call - CBOT U.S. Treasury 2-Year Note March Futures		120.000	02/22/2008	17		0		0
Call - CBOT U.S. Treasury 5-Year Note March Futures		126.000	02/22/2008	115		2		2
Call - CBOT U.S. Treasury 5-Year Note March Futures		126.500	02/22/2008	17		1		0
Call - CBOT U.S. Treasury 5-Year Note March Futures		127.000	02/22/2008	427		8		7
Call - CBOT U.S. Treasury 5-Year Note March Futures		128.000	02/22/2008	67		1		1
Call - CBOT U.S. Treasury 10-Year Note March Futures		136.000	02/22/2008	203		4		3
Call - CBOT U.S. Treasury 10-Year Note March Futures		140.000	02/22/2008	65		1		1
Put - CBOT U.S. Treasury 30-Year Bond March Futures		98.000	02/22/2008	16		0		0
					$	21	$	17

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Cost		Value
Call - OTC 2-Year Interest Rate Swap	JPMorgan Chase & Co.	6-Month EUR-LIBOR	Pay	4.000	%	09/14/2009	EUR	11,000	$	57	$	43
Call - OTC 2-Year Interest Rate Swap	Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	5.350	%	03/14/2008	GBP	4,800		23		58
Call - OTC 2-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Pay	5.000	%	02/01/2008	$	9,200		36		215
Call - OTC 2-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Pay	5.000	%	08/28/2009		18,700		186		365
Call - OTC 2-Year Interest Rate Swap	Deutsche Bank AG	3-Month USD-LIBOR	Pay	4.750	%	09/26/2008		3,200		17		66
Call - OTC 5-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	4.250	%	02/29/2008		9,700		35		115
Call - OTC 2-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	4.750	%	03/31/2008		18,900		105		383
Call - OTC 2-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	4.750	%	09/26/2008		6,900		25		143
Call - OTC 2-Year Interest Rate Swap	Merrill Lynch & Co., Inc.	3-Month USD-LIBOR	Pay	5.000	%	08/28/2009		9,300		93		182
Call - OTC 2-Year Interest Rate Swap	Morgan Stanley	3-Month USD-LIBOR	Pay	4.250	%	07/06/2009		21,500		252		258
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	02/01/2008		48,000		238		1,123
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	03/31/2008		26,700		161		540
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	09/26/2008		19,400		70		403
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.300	%	08/03/2009		52,200		463		1,253
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	08/28/2009		4,000		41		78
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	09/08/2009		23,000		243		379
									$	2,045	$	5,604

Foreign Currency Options

Description	Exercise Price		Expiration Date	Notional Amount		Cost		Value
Call - OTC Euro versus U.S. dollar	$	1.375	05/21/2010	EUR	2,400	$	116	$	247
Put - OTC Euro versus U.S. dollar		1.375	05/21/2010		2,400		116		95
Call - OTC Great British pound versus U.S. dollar		2.250	01/09/2008	GBP	2,300		0		0
Call - OTC U.S. dollar versus Japanese yen	JPY	114.650	01/18/2008	$	2,000		67		4
Put - OTC U.S. dollar versus Japanese yen		114.650	01/18/2008		2,000		67		59
Call - OTC U.S. dollar versus Japanese yen		120.000	01/18/2008		1,600		19		2
Call - OTC U.S. dollar versus Japanese yen		115.350	02/13/2008		5,200		182		17
Put - OTC U.S. dollar versus Japanese yen		115.350	02/13/2008		5,200		164		208
Call - OTC U.S. dollar versus Brazilian real		2.700	02/21/2008		10,000		1		2
Call - OTC U.S. dollar versus Brazilian real		3.050	02/21/2008		10,000		1		0
Call - OTC U.S. dollar versus Japanese yen		115.950	06/09/2008		1,700		45		10
Put - OTC U.S. dollar versus Japanese yen		115.950	06/09/2008		1,700		45		101
Call - OTC U.S. dollar versus Japanese yen		118.150	06/23/2008		5,100		134		19
Put - OTC U.S. dollar versus Japanese yen		118.150	06/23/2008		5,100		134		398
						$	1,091	$	1,162

Options on Securities

Description	Strike Price		Expiration Date	Notional Amount		Cost		Value
Put - OTC WisdomTree International Healthcare 4.250% due 1/01/2014	EUR	91.000	02/22/2008	EUR	3,800	$	1	$	0
Put - OTC WisdomTree International Healthcare 4.250% due 7/01/2014		93.500	02/22/2008		6,900		1		0
Put - OTC WisdomTree International Healthcare 5.250% due 1/01/2011		99.000	02/22/2008		6,600		1		0
Put - OTC Fannie Mae 6.500% due 01/01/2038	$	91.500	01/07/2008	$	4,200		0		0
Put - OTC Treasury Inflation Protected Securities 2.000% due 04/15/2012		90.500	01/28/2008		6,700		2		0
Put - OTC Treasury Inflation Protected Securities 2.625% due 07/15/2017		89.000	02/15/2008		1,200		0		0
Put - OTC Treasury Inflation Protected Securities 2.375% due 01/15/2027		80.000	02/19/2008		1,600		0		0
Put - OTC Treasury Inflation Protected Securities 2.000% due 04/15/2012		92.500	02/19/2008		2,000		0		0
Put - OTC Fannie Mae 5.500% due 03/01/2038		85.000	03/05/2008		8,900		1		0
Put - OTC Fannie Mae 5.500% due 03/01/2038		89.000	03/05/2008		7,000		1		0
Call - OTC Fannie Mae 5.000% due 03/01/2038		104.500	03/05/2008		32,000		4		0
						$	11	$	0

(i) Written options outstanding on December 31, 2007:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Value
Call - CBOT U.S. Treasury 5-Year Note March Futures	$	110.000	02/22/2008	103	$	48	$	116
Call - CBOT U.S. Treasury 10-Year Note March Futures		111.000	02/22/2008	40		16		113
					$	64	$	229

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Value
Call - OTC 7-Year Interest Rate Swap	JPMorgan Chase & Co.	6-Month EUR-LIBOR	Receive	4.230	%	09/14/2009	EUR	3,500	$	52	$	41
Call - OTC 10-Year Interest Rate Swap	Goldman Sachs & Co.	6-Month GBP-LIBOR	Receive	4.850	%	03/14/2008	GBP	1,200		23		14
Call - OTC 30-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Receive	5.530	%	01/30/2008	$	2,700		67		217
Call - OTC 7-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Receive	4.900	%	02/01/2008		10,900		44		332
Call - OTC 5-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Receive	5.100	%	02/01/2008		4,000		36		167
Call - OTC 30-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Receive	5.460	%	01/30/2008		4,900		112		343
Call - OTC 7-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Receive	5.320	%	08/28/2009		6,200		166		296
Call - OTC 5-Year Interest Rate Swap	Deutsche Bank AG	3-Month USD-LIBOR	Receive	4.950	%	09/26/2008		1,400		17		51
Call - OTC 5-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	4.950	%	03/31/2008		8,200		99		299
Call - OTC 5-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	4.950	%	09/26/2008		3,000		26		109
Call - OTC 7-Year Interest Rate Swap	Merrill Lynch & Co., Inc.	3-Month USD-LIBOR	Receive	5.320	%	08/28/2009		3,100		84		148
Call - OTC 7-Year Interest Rate Swap	Morgan Stanley	3-Month USD-LIBOR	Receive	4.900	%	07/06/2009		7,200		242		250
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.100	%	02/01/2008		20,800		250		868
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.900	%	03/31/2008		11,600		154		401
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.950	%	09/26/2008		8,100		68		295
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.500	%	08/03/2009		22,700		452		1,086
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.320	%	08/28/2009		1,300		36		62
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.150	%	09/08/2009		7,700		224		322
									$	2,152	$	5,301

Foreign Currency Options

Description	Exercise Price		Expiration Date	Notional Amount		Premium		Value
Put - OTC U.S. dollar versus Japanese yen	JPY	104.000	06/09/2008	$	1,900	$	15	$	23
Put - OTC U.S. dollar versus Japanese yen		104.000	06/09/2008		2,800		22		33
Put - OTC U.S. dollar versus Japanese yen		80.000	08/21/2008		1,100		6		2
						$	43	$	58

(j) Restricted securities as of December 31, 2007:

Issuer Description	Coupon		Maturity Date	Acquisition Date	Cost		Market Value		Market Value as Percentage of Net Assets
Goldman Sachs Group, Inc.	5.250	%	06/01/2016	11/03/2006	$	452	$	489	0.24	%
Merna Reinsurance Ltd.	5.480	%	07/07/2010	09/21/2007		694		686	0.33	%
					$	1,146	$	1,175	0.57	%

(k) Short sales outstanding on December 31, 2007:

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Value(2)
Fannie Mae	5.000	%	01/01/2038	$	32,000	$	31,520	$	31,225
Fannie Mae	5.500	%	01/01/2038		3,000		2,981		2,997
U.S. Treasury Bonds	4.500	%	02/15/2036		6,500		6,616		6,667
U.S. Treasury Notes	3.000	%	02/15/2009		300		300		304
U.S. Treasury Notes	4.500	%	05/15/2017		5,100		5,229		5,324
U.S. Treasury Notes	4.625	%	11/15/2016		9,100		9,578		9,611
U.S. Treasury Notes	5.125	%	05/15/2016		6,100		6,648		6,665
						$	62,872	$	62,793

⁽²⁾ Market value includes $311 of interest payable on short sales.

(l) Foreign currency contracts outstanding on December 31, 2007:

Type	Currency	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	AUD	5,027	01/2008	$	34	$	(1	)	$	33
Sell		6,023	01/2008		23		(19	)		4
Buy		2,936	02/2008		61		0			61
Sell		1,768	02/2008		0		(34	)		(34	)
Buy	BRL	5,852	03/2008		292		0			292
Sell		4,451	03/2008		23		0			23
Buy		12,271	07/2008		228		(16	)		212
Sell		2,723	07/2008		17		0			17
Buy	CAD	54	01/2008		0		0			0
Sell		1,140	01/2008		0		(26	)		(26	)
Buy	CLP	8,300	03/2008		1		0			1
Buy		18,098	07/2008		0		0			0
Buy	CNY	32,309	01/2008		52		0			52
Sell		32,309	01/2008		0		(83	)		(83	)
Buy		20,561	03/2008		36		0			36
Sell		20,561	03/2008		0		(52	)		(52	)
Buy		10,844	04/2008		12		0			12
Buy		8,337	07/2008		34		0			34
Sell		8,337	07/2008		0		(33	)		(33	)
Sell	DKK	12,766	03/2008		9		0			9
Buy	EUR	3,533	01/2008		60		(3	)		57
Sell		19,383	01/2008		37		(45	)		(8	)
Sell	GBP	3,447	01/2008		88		0			88
Buy	HKD	140	01/2008		0		0			0
Buy	INR	51,694	05/2008		44		0			44
Buy	JPY	54,482	02/2008		6		0			6
Sell		5,943,009	02/2008		120		0			120
Sell	KRW	1,125,148	01/2008		24		0			24
Buy		1,974,487	05/2008		2		(17	)		(15	)
Sell		588,230	05/2008		11		0			11
Buy		65,711	08/2008		0		0			0
Buy	MXN	19,571	03/2008		45		0			45
Sell		14,028	03/2008		0		(24	)		(24	)
Buy	MYR	13,167	05/2008		49		0			49
Sell	NZD	1,027	01/2008		0		(20	)		(20	)
Buy		1,000	02/2008		16		0			16
Sell		1,027	02/2008		5		0			5
Sell	PLN	80	03/2008		0		(5	)		(5	)
Buy		102	07/2008		4		0			4
Buy	RUB	100,616	01/2008		241		0			241
Sell		100,616	01/2008		0		(116	)		(116	)
Buy		2,431	07/2008		3		0			3
Buy		46,748	11/2008		8		0			8
Sell		15,984	11/2008		0		(4	)		(4	)
Buy	SGD	1,195	02/2008		19		0			19
Buy	TWD	15,056	01/2008		0		(2	)		(2	)
Buy	ZAR	216	07/2008		2		0			2
				$	1,606	$	(500	)	$	1,106

See accompanying notes

Schedule of Investments

Global Bond Fund (Unhedged)

December 31, 2007 (Unaudited)

	Principal Amount (000s)		Value (000s)
ARUBA 0.2%
Mizuho Finance Aruba AEC
2.005% due 04/27/2049	JPY	100,000	$	907
Mizuho Trust & Banking Co. Ltd.
2.405% due 04/27/2009		100,000		913
Total Aruba (Cost $1,744)				1,820
AUSTRALIA 1.3%
Queensland Treasury Corp.
6.000% due 06/14/2011	AUD	15,000		12,693
Seven Media Group
8.878% due 02/07/2013		2,437		2,108
9.348% due 02/07/2013		76		66
9.392% due 02/07/2013		610		527
Total Australia (Cost $15,394)				15,394
AUSTRIA 0.4%
Austria Government Bond
5.000% due 01/15/2008	EUR	3,000		4,387
5.500% due 01/15/2010		600		902
Total Austria (Cost $3,456)				5,289
BERMUDA 0.3%
Merna Reinsurance Ltd.
5.480% due 07/07/2010 (k)	$	3,800		3,724
Total Bermuda (Cost $3,765)				3,724
CANADA 2.9%
Canada Housing Trust No. 1
4.550% due 12/15/2012	CAD	19,000		19,572
DaimlerChrysler Canada Finance, Inc.
4.850% due 03/30/2009		1,100		1,113
Honda Canada Finance, Inc.
4.997% due 03/26/2012		12,000		12,142
Province of Ontario Canada
6.200% due 06/02/2031		200		248
Province of Quebec Canada
5.750% due 12/01/2036		900		1,056
Total Canada (Cost $31,283)				34,131
CAYMAN ISLANDS 1.7%
Foundation Re II Ltd.
11.655% due 11/26/2010	$	500		518
Longpoint Re Ltd.
10.241% due 05/08/2010		700		719
Mizuho Finance Cayman Ltd.
1.060% due 09/28/2049	JPY	100,000		895
1.466% due 12/31/2049		300,000		2,720
Mizuho Financial Group Cayman Ltd.
8.375% due 01/29/2049	$	1,500		1,516
MUFG Capital Finance 1 Ltd.
6.346% due 07/29/2049		2,900		2,751
MUFG Capital Finance 2 Ltd.
4.850% due 07/29/2049	EUR	1,100		1,365
Mystic Re Ltd.
11.381% due 12/05/2008	$	250		253
14.081% due 12/05/2008		350		357
Pylon Ltd.
8.841% due 12/29/2008	EUR	1,500		2,214
Residential Reinsurance 2005 Ltd.
10.574% due 06/06/2008	$	400		400
Residential Reinsurance 2007 Ltd.
12.874% due 06/07/2010		700		721
SHL Corp. Ltd.
1.665% due 12/25/2024	JPY	11,473		104
SMFG Preferred Capital USD 1 Ltd.
6.078% due 01/29/2049	$	2,100		1,945
STB Finance Cayman
1.644% due 08/12/2049	JPY	100,000		891
Vita Capital III Ltd.
6.331% due 01/01/2011	$	2,300		2,272
Total Cayman Islands (Cost $19,610)				19,641
DENMARK 0.6%
Nordea Kredit Realkreditaktieselskab
6.000% due 07/01/2029	DKK	109		22
Nykredit Realkredit A/S
5.000% due 10/01/2038		10,998		2,033
6.000% due 10/01/2029		771		155
Realkredit Danmark A/S
5.000% due 10/01/2038		25,641		4,730
Total Denmark (Cost $6,424)				6,940
FRANCE 3.6%
AXA S.A.
3.750% due 01/01/2017	EUR	397		781
Caisse Nationale des Caisses d’Epargne et de Prevoyance
6.117% due 10/29/2049		1,800		2,459
Credit Agricole S.A.
5.103% due 05/28/2010	$	4,300		4,302
France Government Bond
4.000% due 04/25/2009	EUR	560		818
4.000% due 10/25/2009		80		117
4.000% due 04/25/2014		600		866
4.000% due 10/25/2014		3,100		4,467
4.000% due 04/25/2055		400		517
4.750% due 04/25/2035		700		1,036
5.750% due 10/25/2032		4,100		6,935
French Treasury Notes
3.500% due 01/12/2009		13,800		20,056
Total France (Cost $41,582)				42,354
GERMANY 21.5%
Deutsche Bank AG
5.375% due 10/12/2012	$	2,300		2,359
6.000% due 09/01/2017		1,900		1,974
LRP Landesbank Rheinland-Pfalz
4.750% due 04/04/2008	EUR	530		775
Republic of Germany
4.000% due 07/04/2009		2,200		3,211
4.250% due 01/04/2014		26,500		38,851
4.250% due 07/04/2014		40,200		58,876
4.500% due 01/04/2013		3,040		4,519
4.750% due 07/04/2028		1,300		1,931
4.750% due 07/04/2034		4,100		6,106
5.000% due 01/04/2012		3,200		4,823
5.000% due 07/04/2012		5,900		8,916
5.250% due 01/04/2011		15,200		22,947
5.375% due 01/04/2010		1,900		2,846
5.500% due 01/04/2031		6,200		10,145
5.625% due 01/04/2028		35,800		59,063
6.250% due 01/04/2024		5,200		9,045
6.250% due 01/04/2030		3,100		5,520
6.500% due 07/04/2027		5,980		10,829
Total Germany (Cost $248,973)				252,736
ICELAND 0.2%
Glitnir Banki HF
5.679% due 01/18/2012	$	1,900		1,840
Kaupthing Bank HF
5.750% due 10/04/2011		900		847
Total Iceland (Cost $2,803)				2,687
IRELAND 0.8%
Atlas Reinsurance PLC
8.786% due 01/10/2010	EUR	2,000		2,968
Bank of Ireland
4.951% due 12/19/2008	$	2,400		2,399
Celtic Residential Irish Mortgage Securitisation
4.366% due 06/13/2035	EUR	2,173		3,143
Osiris Capital PLC
10.242% due 01/15/2010	$	500		506
Total Ireland (Cost $8,128)				9,016
ITALY 2.3%
Italy Buoni Poliennali Del Tesoro
4.250% due 11/01/2009	EUR	2,470		3,620
4.250% due 08/01/2014		6,900		10,074
4.500% due 05/01/2009		4,150		6,096
5.500% due 11/01/2010		1,400		2,118
Siena Mortgages SpA
5.178% due 12/16/2038		3,296		4,765
Total Italy (Cost $25,867)				26,673
JAPAN 21.7%
Development Bank of Japan
4.250% due 06/09/2015	$	2,300		2,264
Japan Government Bond
1.500% due 03/20/2011	JPY	6,530,000		59,631
1.600% due 09/20/2013		1,030,000		9,492
1.800% due 06/20/2017		4,000,000		36,864
2.300% due 06/20/2035		2,440,000		21,702
2.400% due 03/20/2034		590,000		5,375
2.500% due 09/20/2035		1,030,000		9,547
2.500% due 06/20/2036		1,770,000		16,361
2.500% due 09/20/2036		1,250,000		11,553
2.500% due 09/20/2037		290,000		2,682
Japanese Government CPI Linked Bond
0.800% due 12/10/2015		442,200		3,917
1.000% due 06/10/2016		1,520,570		13,593
1.100% due 12/10/2016		1,790,000		16,121
1.200% due 03/10/2017		170,510		1,546
1.200% due 06/10/2017		4,132,800		37,307
JLOC LLC
1.222% due 01/15/2015		105,424		945
Resona Bank Ltd.
5.850% due 09/29/2049	$	3,800		3,538
Sumitomo Mitsui Banking Corp.
1.782% due 12/31/2049	JPY	100,000		898
1.880% due 12/01/2049		200,000		1,807
5.625% due 07/29/2049	$	900		842
Total Japan (Cost $245,472)				255,985
JERSEY, CHANNEL ISLANDS 0.6%
Haus Ltd.
4.438% due 12/10/2037	EUR	1,018		1,484
HSBC Capital Funding LP
9.547% due 12/29/2049	$	5,400		5,906
Total Jersey, Channel Islands (Cost $6,916)				7,390
MEXICO 0.1%
C10 Capital SPV Ltd.
6.722% due 12/31/2049	$	1,200	$	1,108
Total Mexico (Cost $1,200)				1,108
NETHERLANDS 1.9%
Delphinus BV
4.910% due 04/25/2093	EUR	2,000		2,910
5.003% due 11/28/2031		3,251		4,742
Deutsche Telekom International Finance BV
8.250% due 06/15/2030	$	600		751
Dutch Mortgage Portfolio Loans BV
4.834% due 11/20/2035	EUR	1,958		2,840
Dutch Mortgage-Backed Securities BV
4.843% due 11/02/2035		169		247
5.059% due 07/02/2077		401		585
5.072% due 10/02/2079		852		1,239
Generali Finance BV
5.479% due 02/28/2049		900		1,223
Holland Euro-Denominated Mortgage-Backed Series
4.925% due 04/18/2012		362		528
Netherlands Government Bond
3.750% due 07/15/2014		2,700		3,842
5.000% due 07/15/2011		2,100		3,157
Siemens Financieringsmaatschappij NV
4.920% due 08/14/2009	$	800		800
Total Netherlands (Cost $19,323)				22,864
NETHERLANDS ANTILLES 0.1%
BTM Curacao Holdings NV
1.020% due 12/31/2049	JPY	100,000		899
Total Netherlands Antilles (Cost $851)				899
NEW ZEALAND 0.1%
New Zealand Government CPI Linked Bond
4.500% due 02/15/2016	NZD	907		916
Total New Zealand (Cost $420)				916
SPAIN 1.6%
Santander Perpetual S.A. Unipersonal
6.671% due 10/29/2049	$	2,500		2,511
Spain Government Bond
4.000% due 01/31/2010	EUR	980		1,431
4.200% due 07/30/2013		2,900		4,239
4.200% due 01/31/2037		1,300		1,744
5.150% due 07/30/2009		6,140		9,123
5.750% due 07/30/2032		30		51
Total Spain (Cost $14,823)				19,099
SWITZERLAND 0.2%
UBS AG
5.875% due 12/20/2017	$	2,900		2,926
Total Switzerland (Cost $2,897)				2,926
TUNISIA 0.3%
Banque Centrale de Tunisie
4.500% due 06/22/2020	EUR	2,600		3,446
Total Tunisia (Cost $3,145)				3,446
UNITED KINGDOM 2.3%
Barclays Bank PLC
6.050% due 12/04/2017	$	7,900		7,975
7.434% due 09/29/2049		2,500		2,602
Bauhaus Securities Ltd.
4.925% due 10/30/2052	EUR	4,457		6,471
HBOS PLC
5.920% due 09/29/2049	$	3,900		3,407
Lloyds TSB Bank PLC
5.625% due 07/15/2049	EUR	2,410		3,527
Royal Bank of Scotland Group PLC
5.238% due 12/21/2007	$	2,600		2,600
Tate & Lyle International Finance PLC
5.000% due 11/15/2014		400		388
XL Capital Europe PLC
6.500% due 01/15/2012		300		314
Total United Kingdom (Cost $25,273)				27,284
UNITED STATES 63.4%
Asset-Backed Securities 1.0%
AFC Home Equity Loan Trust
5.575% due 12/22/2027	$	31		30
Amortizing Residential Collateral Trust
5.215% due 10/25/2031		35		32
Amresco Residential Securities Mortgage Loan Trust
5.805% due 06/25/2029		54		52
Bear Stearns Asset-Backed Securities Trust
5.195% due 10/25/2032		49		48
5.265% due 10/27/2032		90		89
5.315% due 03/25/2043		67		66
Citibank Credit Card Issuance Trust
2.900% due 05/17/2010		2,300		2,285
CS First Boston Mortgage Securities Corp.
5.485% due 01/25/2032		30		30
HSI Asset Securitization Corp. Trust
4.925% due 05/25/2037		1,174		1,121
Quest Trust
5.425% due 06/25/2034		3		3
Residential Asset Mortgage Products, Inc.
5.425% due 06/25/2032		30		30
Residential Asset Securities Corp.
5.365% due 07/25/2032		130		122
Saxon Asset Securities Trust
5.135% due 01/25/2032		62		62
SLC Student Loan Trust
4.849% due 02/15/2015		3,840		3,834
SLM Student Loan Trust
3.800% due 12/15/2038		1,200		1,176
Wells Fargo Home Equity Trust
4.985% due 12/25/2035		18		18
5.095% due 10/25/2035		2,409		2,334
5.105% due 11/25/2035		430		415
				11,747
Bank Loan Obligations 1.1%
Daimler Finance North America LLC
9.000% due 08/03/2012		8,476		8,172
Ford Motor Co.
8.000% due 12/15/2013		990		919
Georgia-Pacific Corp.
6.580% due 12/20/2012		156		148
6.831% due 12/20/2012		190		182
6.896% due 12/20/2012		1,619		1,545
HCA, Inc.
7.080% due 11/16/2013		1,886		1,820
				12,786
Commodity Index-Linked Notes 0.3%
Morgan Stanley
4.805% due 07/07/2008		3,000		3,006
Corporate Bonds & Notes 9.0%
ACE INA Holdings, Inc.
5.875% due 06/15/2014		500		513
American International Group, Inc.
4.875% due 03/15/2067	EUR	1,400		1,791
5.850% due 01/16/2018	$	3,000		3,025
Amgen, Inc.
5.133% due 11/28/2008		2,400		2,398
Anadarko Petroleum Corp.
6.125% due 03/15/2012		1,000		1,045
AutoZone, Inc.
5.875% due 10/15/2012		800		825
Bear Stearns Cos., Inc.
6.950% due 08/10/2012		3,700		3,808
Boston Scientific Corp.
6.000% due 06/15/2011		1,000		970
6.400% due 06/15/2016		1,700		1,606
Charter One Bank N.A.
5.115% due 04/24/2009		4,500		4,483
Citigroup Capital XXI
8.300% due 12/21/2057		3,900		4,084
Citigroup, Inc.
6.000% due 08/15/2017		2,300		2,351
CNA Financial Corp.
6.000% due 08/15/2011		800		820
Cox Communications, Inc.
6.750% due 03/15/2011		700		735
CVS Caremark Corp.
5.750% due 08/15/2011		300		308
Daimler Finance North America LLC
4.875% due 06/15/2010		300		299
5.461% due 03/13/2009		3,300		3,283
5.750% due 09/08/2011		400		406
East Lane Re Ltd.
11.911% due 05/06/2011		600		603
Ford Motor Credit Co. LLC
5.625% due 10/01/2008		700		680
5.800% due 01/12/2009		1,300		1,234
7.250% due 10/25/2011		1,000		867
General Electric Capital Corp.
4.625% due 09/15/2066	EUR	1,000		1,309
5.172% due 12/12/2008	$	1,700		1,700
6.375% due 11/15/2067		2,400		2,482
General Motors Acceptance Corp.
7.430% due 12/01/2021		47		47
GMAC LLC
6.000% due 04/01/2011		2,600		2,215
6.119% due 05/15/2009		1,600		1,491
7.000% due 02/01/2012		1,200		1,019
8.000% due 11/01/2031		1,000		841
Goldman Sachs Group, Inc.
5.250% due 06/01/2016 (k)	CAD	2,200		2,153
6.250% due 09/01/2017	$	7,000		7,295
6.750% due 10/01/2037		1,100		1,081
Harrah’s Operating Co., Inc.
5.498% due 02/08/2008		2,000		2,001
HCP, Inc.
5.950% due 09/15/2011		300		301
HJ Heinz Finance Co.
6.000% due 03/15/2012		900		924
International Lease Finance Corp.
5.350% due 03/01/2012		1,000		1,002
Johnson Controls, Inc.
5.250% due 01/15/2011		900		903
JPMorgan & Co., Inc. CPI Linked Bond
10.481% due 02/15/2012		760		784
JPMorgan Chase & Co.
5.058% due 02/22/2021	CAD	1,800		1,751
JPMorgan Chase Bank N.A.
6.000% due 10/01/2017	$	5,500		5,604
JPMorgan Chase Capital
6.550% due 09/29/2036		1,300		1,177
JPMorgan Chase Capital XXII
6.450% due 02/02/2037		1,200		1,071
Kinder Morgan Energy Partners LP
6.950% due 01/15/2038		3,300		3,475
Kraft Foods, Inc.
6.250% due 06/01/2012		900		936
Lennar Corp.
5.950% due 10/17/2011		900		762
Loews Corp.
5.250% due 03/15/2016		300		300
Macys Retail Holdings, Inc.
4.800% due 07/15/2009		300		298
Masco Corp.
5.875% due 07/15/2012		300		308
Merrill Lynch & Co., Inc.
4.960% due 08/14/2009		400		392
Mizuho JGB Investment LLC
9.870% due 12/29/2049		400		404
Mizuho Preferred Capital Co. LLC
8.790% due 12/29/2049		500		504
Morgan Stanley
5.334% due 01/18/2008		2,100		2,099
6.250% due 08/28/2017		400		407
Nationwide Health Properties, Inc.
6.500% due 07/15/2011		900		941
Newell Rubbermaid, Inc.
4.000% due 05/01/2010		1,000		1,007
NiSource Finance Corp.
5.400% due 07/15/2014		300		294
Reynolds American, Inc.
5.691% due 06/15/2011		400		390
Ryder System, Inc.
3.500% due 03/15/2009		1,000		989
Sara Lee Corp.
6.250% due 09/15/2011		900		935
SB Treasury Co. LLC
9.400% due 12/29/2049		2,900		2,962
Sealed Air Corp.
6.950% due 05/15/2009		800		821
Sprint Capital Corp.
8.750% due 03/15/2032		200		226
Sprint Nextel Corp.
6.000% due 12/01/2016		700		672
State Street Capital Trust IV
5.991% due 06/15/2037		2,400		1,869
SUPERVALU, Inc.
7.500% due 11/15/2014		200		206
Tokai Preferred Capital Co. LLC
9.980% due 12/29/2049		2,800		2,843
Viacom, Inc.
5.750% due 04/30/2011		2,000		2,027
Wal-Mart Stores, Inc.
4.891% due 06/16/2008		2,400		2,401
World Savings Bank FSB
4.938% due 05/08/2009		4,700		4,706
				106,459
Mortgage-Backed Securities 8.8%
Adjustable Rate Mortgage Trust
5.132% due 09/25/2035		250		248
American Home Mortgage Investment Trust
4.290% due 10/25/2034		1,361		1,337
Banc of America Funding Corp.
6.144% due 01/20/2047		356		351
Banc of America Mortgage Securities, Inc.
5.000% due 05/25/2034		3,207		3,063
Bear Stearns Adjustable Rate Mortgage Trust
4.125% due 03/25/2035		7,075		6,998
4.434% due 05/25/2034		742		729
4.486% due 02/25/2034		56		55
4.550% due 08/25/2035		7,430		7,324
4.652% due 10/25/2033		368		365
4.673% due 05/25/2034		269		262
4.780% due 11/25/2034		541		539
Bear Stearns Alt-A Trust
5.527% due 09/25/2035		1,768		1,742
5.811% due 11/25/2036		5,384		5,311
5.949% due 02/25/2036		3,197		3,167
Bear Stearns Structured Products, Inc.
5.684% due 01/26/2036		2,554		2,532
Citicorp Real Estate, Inc.
7.430% due 01/01/2024		23		23
Citigroup Mortgage Loan Trust, Inc.
4.248% due 08/25/2035		1,328		1,302
4.748% due 08/25/2035		1,450		1,430
4.900% due 10/25/2035		7,300		7,260
Countrywide Home Loan Mortgage Pass-Through Trust
4.801% due 11/25/2034		485		482
4.854% due 04/20/2035		260		260
5.185% due 03/25/2035		3,352		3,179
5.195% due 02/25/2035		621		600
6.141% due 08/25/2034		162		161
CS First Boston Mortgage Securities Corp.
4.094% due 08/25/2033		749		751
4.918% due 07/25/2033		57		57
5.639% due 05/25/2032		30		30
6.500% due 04/25/2033		107		107
First Horizon Asset Securities, Inc.
4.402% due 12/25/2033		417		414
4.737% due 07/25/2033		201		200
5.372% due 08/25/2035		258		257
GMAC Mortgage Corp. Loan Trust
4.311% due 06/25/2034		71		70
5.500% due 09/25/2034		2,036		2,036
Greenpoint Mortgage Funding Trust
4.945% due 01/25/2047		520		510
Greenpoint Mortgage Pass-Through Certificates
4.381% due 10/25/2033		76		75
GSR Mortgage Loan Trust
4.603% due 03/25/2033		367		362
Harborview Mortgage Loan Trust
4.970% due 05/19/2033		622		613
5.148% due 07/19/2035		126		125
Indymac Index Mortgage Loan Trust
5.047% due 12/25/2034		151		150
JPMorgan Chase Commercial Mortgage Securities Corp.
5.429% due 12/12/2043		1,300		1,310
6.465% due 11/15/2035		2,300		2,431
JPMorgan Mortgage Trust
4.392% due 11/25/2033		377		372
5.023% due 02/25/2035		751		736
LB-UBS Commercial Mortgage Trust
4.990% due 11/15/2030		198		198
MASTR Adjustable Rate Mortgages Trust
4.139% due 07/25/2034		500		496
Mellon Residential Funding Corp.
5.468% due 12/15/2030		898		881
Merrill Lynch Mortgage Investors, Inc.
5.075% due 02/25/2036		4,551		4,384
6.439% due 02/25/2033		510		508
MLCC Mortgage Investors, Inc.
4.250% due 10/25/2035		1,903		1,836
Residential Accredit Loans, Inc.
5.075% due 04/25/2046		426		400
Residential Funding Mortgage Securities I, Inc.
5.216% due 09/25/2035		218		215
6.500% due 03/25/2032		100		100
Sequoia Mortgage Trust
5.299% due 07/20/2033		1,015		991
5.315% due 10/19/2026		498		487
Structured Adjustable Rate Mortgage Loan Trust
4.180% due 02/25/2034		252		250
4.590% due 04/25/2034		585		583
5.210% due 09/25/2034		1,180		1,174
Structured Asset Mortgage Investments, Inc.
5.215% due 07/19/2035		1,943		1,845
5.255% due 07/19/2034		273		272
Wachovia Bank Commercial Mortgage Trust
5.108% due 06/15/2020		8,577		8,215
5.572% due 10/15/2048		4,300		4,377
Washington Mutual, Inc.
4.143% due 08/25/2034		1,650		1,616
4.208% due 06/25/2033		281		279
4.229% due 03/25/2034		1,128		1,116
4.551% due 03/25/2033		2,361		2,317
5.095% due 04/25/2045		1,558		1,472
5.125% due 11/25/2045		668		631
5.175% due 01/25/2045		709		671
5.405% due 12/25/2027		2,446		2,340
Wells Fargo Mortgage-Backed Securities Trust
4.617% due 06/25/2035		7,018		6,950
				103,930
Municipal Bonds & Notes 0.4%
Chicago, Illinois General Obligation Bonds, (FSA Insured), Series 2006
6.728% due 01/01/2014		270		280
Harris County, Texas Revenue Bonds, Series 2003
5.000% due 08/01/2033		400		405
Illinois State Educational Facilities Authority Revenue Bonds, Series 2003
5.000% due 07/01/2033		285		293
Iowa State Tobacco Settlement Authority Revenue Bonds, Series 2005
6.500% due 06/01/2023		765		730
Los Angeles, California Wastewater System Revenue Bonds, (MBIA Insured), Series 2003
5.000% due 06/01/2027		900		931
Louisville & Jefferson Counties, Kentucky Metro Sewer District Revenue Bonds, (MBIA Insured), Series 2001
5.000% due 05/15/2036		100		103
New York City, New York Municipal Water Finance Authority Revenue Notes, Series 2006
6.869% due 12/15/2013		370		379
New York State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2003
5.500% due 06/01/2017		200		211
New York State Tobacco Settlement Financing Corporations Revenue Notes, Series 2003
5.250% due 06/01/2013		1,400		1,410
Puerto Rico Sales Tax Financing Corp. Revenue Bonds, (AMBAC Insured), Series 2007
0.000% due 08/01/2054		600		53
				4,795
	Shares
Preferred Stocks 0.2%
DG Funding Trust
6.979% due 12/31/2049		130		1,375
Fresenius Medical Care Capital Trust II
7.875% due 02/01/2008		900		902
				2,277
	Principal Amount (000s)
U.S. Government Agencies 39.7%
Fannie Mae
0.000% due 06/01/2017	$	30,300		19,687
4.186% due 11/01/2034		6,594		6,658
4.925% due 12/01/2034		1,038		1,037
5.000% due 07/01/2018 - 10/01/2035		10,167		9,843
5.000% due 03/01/2036 (f)		6,289		6,141
5.500% due 10/01/2017 - 01/01/2038		98,487		98,432
5.500% due 06/01/2033 - 10/01/2037 (f)		151,624		151,518
6.000% due 01/01/2036 - 01/01/2038		44,238		44,932
6.000% due 05/01/2037 - 11/01/2037 (f)		59,975		60,919
6.470% due 09/25/2012		1,000		1,107
6.500% due 06/01/2034 - 01/01/2038		20,800		21,383
6.952% due 11/01/2023		13		13
7.181% due 03/01/2024		23		23
9.000% due 04/01/2016		7		7
15.750% due 12/01/2011		1		1
Federal Farm Credit Bank
7.530% due 04/15/2009		475		497
Federal Home Loan Bank
4.300% due 05/12/2008		10,000		9,990
5.750% due 08/15/2011		500		534
Federal Housing Administration
7.400% due 02/01/2021		169		171
Freddie Mac
4.500% due 02/15/2020		9,472		9,407
5.000% due 12/15/2031		3,600		3,508
5.334% due 04/01/2037		2,411		2,423
5.378% due 12/15/2030		614		614
5.433% due 04/01/2037		167		169
5.500% due 01/01/2038		2,000		1,996
6.063% due 10/25/2044		4,786		4,798
7.171% due 02/01/2029		369		372
7.260% due 05/01/2023		77		77
Ginnie Mae
5.625% due 07/20/2022 - 09/20/2026		176		177
5.628% due 02/16/2030		269		273
6.000% due 08/20/2034		4,273		4,292
6.125% due 12/20/2023 - 12/20/2026		84		85
6.250% due 01/20/2030		91		92
6.375% due 05/20/2022 - 05/20/2030		402		407
8.500% due 01/15/2030 - 02/15/2031		195		212
Small Business Administration
6.640% due 02/01/2011		269		278
7.640% due 03/10/2010		35		37
Tennessee Valley Authority
5.880% due 04/01/2036		3,900		4,496
7.140% due 05/23/2012		1,000		1,123
				467,729
U.S. Treasury Obligations 2.9%
Treasury Inflation Protected Securities (b)
2.375% due 01/15/2027		7,148		7,561
2.625% due 07/15/2017		5,241		5,657
U.S. Treasury Bonds
4.500% due 02/15/2036		1,500		1,508
8.125% due 05/15/2021		1,690		2,323
8.875% due 02/15/2019		6,000		8,440
U.S. Treasury Strips
0.000% due 02/15/2019		11,200		6,857
0.000% due 08/15/2024		3,500		1,614
				33,960
Total United States (Cost $741,342)				746,689
SHORT-TERM INSTRUMENTS 23.7%
Certificates of Deposit 0.9%
Royal Bank of Scotland Group PLC
4.734% due 03/26/2008		10,200		10,197
Commercial Paper 21.0%
Abbey National Treasury Services PLC
4.250% due 01/07/2008		4,100		4,098
Barclays U.S. Funding Corp.
5.085% due 03/14/2008		30,000		29,712
Citibank N.A.
5.940% due 02/01/2008		11,700		11,642
Danske Corp.
4.970% due 01/22/2008		30,500		30,416
DnB NORBank ASA
5.050% due 01/16/2008		1,300		1,298
General Electric Capital Corp.
3.750% due 01/02/2008		30,300		30,300
Rabobank Financial Co.
3.990% due 01/02/2008		12,100		12,100
Royal Bank of Scotland Group PLC
4.950% due 03/19/2008		21,800		21,575
5.000% due 02/04/2008		10,000		9,954
Skandinaviska Enskilda Banken AB
4.770% due 03/20/2008		32,400		32,061
Unicredito Italiano SpA
4.930% due 03/19/2008		24,900		24,643
5.000% due 03/25/2008		10,500		10,383
Westpac Trust Securities NZ Ltd.
5.000% due 01/18/2008		28,700		28,636
				246,818
Repurchase Agreements 1.0%
Fixed Income Clearing Corp.
2.250% due 01/02/2008		7,000		7,000
(Dated 12/31/2007. Collateralized by Federal Home Loan Bank 3.750% due 01/08/2010 valued at $7,143. Repurchase proceeds are $7,001.)
3.900% due 01/02/2008		4,966		4,966
(Dated 12/31/2007. Collateralized by Federal Home Loan Bank 2.750% due 03/14/2008 valued at $5,070. Repurchase proceeds are $4,967.)
				11,966
U.S. Treasury Bills 0.8%
2.889% due 02/28/2008 - 03/13/2008 (a)(c)(d)(g)		9,330		9,246
Total Short-Term Instruments (Cost $278,232)				278,227
Purchased Options (i) 2.4% (Cost $13,612)				28,018
Total Investments 154.2% (Cost $1,762,535)			$	1,815,256
Written Options (j) (1.8%) (Premiums $9,348)				(20,774	)
Other Assets and Liabilities (Net) (52.4%)				(617,581	)
Net Assets (e) 100.0%			$	1,176,902

Notes to Schedule of Investments (amounts in thousands*, except number of contracts):

* A zero balance may reflect actual amounts rounding to less than one thousand.

(a) Coupon represents a weighted average rate.

(b) Principal amount of security is adjusted for inflation.

(c) Securities with an aggregate market value of $6,687 have been pledged as collateral for swap and swaption contracts on December 31, 2007.

(d) Securities with an aggregate market value of $597 have been pledged as collateral for delayed-delivery securities on December 31, 2007.

(e) As of December 31, 2007, portfolio securities with an aggregate value of $24,657 and derivative instruments with an aggregate depreciation of ($1,897) were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(f) The average amount of borrowings outstanding during the period ended December 31, 2007 was $106,049 at a weighted average interest rate of 5.050%. On December 31, 2007, securities valued at $214,451 were pledged as collateral for reverse repurchase agreements.

(g) Securities with an aggregate market value of $1,218 and cash of $7,325 have been segregated with the custodian to cover margin requirements for the following open futures contracts on December 31, 2007:

Description	Type	Expiration Month	# of Contracts		Unrealized Appreciation/ (Depreciation	)
90-Day Euribor December Futures	Long	12/2008	215	$	52
90-Day Euribor June Futures	Long	06/2008	72		13
90-Day Euribor March Futures	Long	03/2008	121		(15	)
90-Day Euribor September Futures	Long	09/2008	336		43
90-Day Eurodollar December Futures	Long	12/2008	320		220
90-Day Eurodollar December Futures	Long	12/2009	823		551
90-Day Eurodollar June Futures	Long	06/2009	211		121
90-Day Eurodollar March Futures	Long	03/2009	471		303
90-Day Eurodollar September Futures	Long	09/2008	340		716
Euro-Bobl March Futures	Long	03/2008	514		(125	)
Euro-Bobl March Futures Call Options Strike @ EUR 117.000	Long	03/2008	184		0
Euro-Bobl March Futures Call Options Strike @ EUR 117.500	Long	03/2008	211		0
Euro-Bund 10-Year Bond March Futures	Long	03/2008	667		(1,921	)
Euro-Bund 10-Year Bond March Futures Put Options Strike @ EUR 105.500	Long	03/2008	502		0
Euro-Schatz March Futures	Short	03/2008	1,846		1,663
Euro-Schatz March Futures Call Options Strike @ EUR 107.000	Long	03/2008	579		0
Euro-Schatz March Futures Call Options Strike @ EUR 107.500	Long	03/2008	1,267		0
Japan Government 10-Year Bond March Futures	Long	03/2008	34		4
U.S. Treasury 2-Year Note March Futures	Short	03/2008	525		(325	)
U.S. Treasury 5-Year Note March Futures	Short	03/2008	2,412		(1,042	)
U.S. Treasury 10-Year Note March Futures	Long	03/2008	855		361
U.S. Treasury 30-Year Bond March Futures	Long	03/2008	389		(550	)
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2008	175		287
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2008	148		49
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2009	38		90
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2009	47		113
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2008	11		21
United Kingdom Government 10-Year Bond March Futures	Short	03/2008	79		(8	)
				$	621

(h) Swap agreements outstanding on December 31, 2007:

Credit Default Swaps on Securities

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
Deutsche Bank AG	Akzo Nobel NV 4.250% due 06/14/2011	Buy	(0.290	%)	06/20/2012	EUR	600	$	1
Deutsche Bank AG	United Utilities PLC 6.875% due 08/15/2028	Buy	(0.235	%)	06/20/2012		600		11
Goldman Sachs & Co.	ICI Wilmington, Inc. 5.625% due 12/01/2013	Buy	(0.340	%)	06/20/2012		600		(5)
Goldman Sachs & Co.	Koninklijke DSM NV 4.000% due 11/10/2015	Buy	(0.365	%)	06/20/2012		900		(1)
Goldman Sachs & Co.	SCA Finans AB 4.500% due 07/15/2015	Buy	(0.250	%)	06/20/2012		1,000		13
Merrill Lynch & Co., Inc.	Compass Group PLC 6.375% due 05/29/2012	Buy	(0.390	%)	06/20/2012		800		(2)
Bank of America	AutoZone, Inc. 5.875% due 10/15/2012	Buy	(0.600	%)	06/20/2017	$	800		(1)
Bank of America	Diamond Offshore Drilling, Inc. 4.875% due 07/01/2015	Buy	(0.485	%)	06/20/2017		1,400		3
Bank of America	Ford Motor Credit Co. LLC 7.250% due 10/25/2011	Sell	3.950	%	12/20/2012		1,100		(96)
Bank of America	GlobalSantaFe Corp. 5.000% due 02/15/2013	Buy	(0.462	%)	06/20/2012		300		(3)
Bank of America	Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	0.150	%	06/20/2008		3,000		(21)
Bank of America	Loews Corp. 8.875% due 04/15/2011	Buy	(0.120	%)	06/20/2012		400		2
Bank of America	Macy’s Retail Holdings, Inc. 4.800% due 07/15/2009	Buy	(0.190	%)	09/20/2009		300		3
Bank of America	Merrill Lynch & Co., Inc. 6.000% due 02/17/2009	Sell	0.150	%	06/20/2008		2,900		(19)
Bank of America	Nabors Industries, Inc. 5.375% due 08/15/2012	Buy	(0.459	%)	06/20/2012		500		0
Bank of America	Noble Corp. 5.875% due 06/01/2013	Buy	(0.542	%)	06/20/2012		300		(1)
Barclays Bank PLC	American Electric Power Co., Inc. 5.250% due 06/01/2015	Buy	(0.100	%)	06/20/2012		600		7
Barclays Bank PLC	Anadarko Petroleum Corp. 6.125% due 03/15/2012	Buy	(0.330	%)	03/20/2012		1,000		6
Barclays Bank PLC	Diamond Offshore Drilling, Inc. 4.875% due 07/01/2015	Buy	(0.470	%)	06/20/2017		400		1
Barclays Bank PLC	Noble Corp. 5.875% due 06/01/2013	Buy	(0.530	%)	06/20/2012		300		(1)
Barclays Bank PLC	Ryder System, Inc. 3.500% due 03/15/2009	Buy	(0.110	%)	03/20/2009		1,000		1
Barclays Bank PLC	Sealed Air Corp. 6.950% due 05/15/2009	Buy	(0.200	%)	06/20/2009		900		1
Barclays Bank PLC	Weyerhaeuser Co. 6.750% due 03/15/2012	Buy	(0.895	%)	06/20/2017		600		13
Barclays Bank PLC	Wyeth 5.500% due 03/15/2013	Buy	(0.100	%)	06/20/2012		1,100		7
Barclays Bank PLC	XL Capital Europe PLC 6.500% due 01/15/2012	Buy	(0.310	%)	03/20/2012		400		16
Bear Stearns & Co., Inc.	CNA Financial Corp. 6.000% due 08/15/2011	Buy	(0.440	%)	09/20/2011		800		7
Bear Stearns & Co., Inc.	Daimler Finance N.A. LLC 4.875% due 06/15/2010	Buy	(0.520	%)	06/20/2010		300		(1)
Bear Stearns & Co., Inc.	Diamond Offshore Drilling, Inc. 0.000% due 06/06/2020	Buy	(0.230	%)	06/20/2012		700		2
Bear Stearns & Co., Inc.	H.J. Heinz Finance Co. 6.000% due 03/15/2012	Buy	(0.370	%)	03/20/2012		1,000		(4)
Bear Stearns & Co., Inc.	International Paper Co. 5.850% due 10/30/2012	Buy	(0.460	%)	06/20/2012		2,000		2
Bear Stearns & Co., Inc.	Kraft Foods, Inc. 6.250% due 06/01//2012	Buy	(0.170	%)	06/20/2012		1,000		12
Bear Stearns & Co., Inc.	Loews Corp. 5.250% due 03/15/2016	Buy	(0.330	%)	03/20/2016		300		1
Bear Stearns & Co., Inc.	NiSource Finance Corp. 5.400% due 07/15/2014	Buy	(0.620	%)	09/20/2014		300		5
Bear Stearns & Co., Inc.	Sprint Nextel Corp. 6.000% due 12/01/2016	Buy	(1.065	%)	12/20/2016		700		19
Bear Stearns & Co., Inc.	Viacom, Inc. 5.750% due 04/30/2011	Buy	(0.470	%)	06/20/2011		800		0
Citibank N.A.	AutoZone, Inc. 5.875% due 10/15/2012	Buy	(0.680	%)	12/20/2012		800		(10)
Credit Suisse USA, Inc.	Johnson Controls, Inc. 5.250% due 01/15/2011	Buy	(0.240	%)	03/20/2011		900		0
Credit Suisse USA, Inc.	Multiple Reference Entities of Gazprom	Sell	1.330	%	12/20/2008		1,500		1
Credit Suisse USA, Inc.	Noble Corp. 5.875% due 06/01/2013	Buy	(0.530	%)	06/20/2012		300		(1)
Deutsche Bank AG	Ace INA Holdings, Inc. 5.875% due 06/15/2014	Buy	(0.390	%)	06/20/2014		500		1
Deutsche Bank AG	Bear Stearns Cos., Inc. 5.300% due 10/30/2015	Sell	0.160	%	06/20/2008		1,400		(14)
Deutsche Bank AG	Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.120	%	06/20/2008		3,000		(9)
Deutsche Bank AG	International Paper Co. 5.850% due 10/30/2012	Buy	(0.700	%)	06/20/2017		400		0
Deutsche Bank AG	Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	0.160	%	06/20/2008		3,700		(26)
Deutsche Bank AG	Merrill Lynch & Co., Inc. 6.000% due 02/17/2009	Sell	0.135	%	06/20/2008		4,800		(32)
Deutsche Bank AG	Morgan Stanley 6.600% due 04/01/2012	Sell	0.140	%	06/20/2008		2,400		(11)
Deutsche Bank AG	Nabors Industries, Inc. 5.375% due 08/15/2012	Buy	(0.470	%)	06/20/2012		200		0
Deutsche Bank AG	Nationwide Health Properties, Inc. 6.500% due 07/15/2011	Buy	(0.620	%)	09/20/2011		1,100		11
Deutsche Bank AG	SLM Corp. 5.125% due 08/27/2012	Sell	3.050	%	03/20/2009		3,000		1
Deutsche Bank AG	Tate & Lyle International Finance PLC 5.000% due 11/15/2014	Buy	(0.510	%)	12/20/2014		400		5
Goldman Sachs & Co.	Carnival Corp. 6.650% due 01/15/2028	Buy	(0.210	%)	06/20/2012		900		9
Goldman Sachs & Co.	Duke Energy Carolinas LLC 6.250% due 01/15/2012	Buy	(0.090	%)	06/20/2012		900		10
Goldman Sachs & Co.	JC Penney Corp., Inc. 8.000% due 03/01/2010	Sell	0.990	%	09/20/2010		500		(1)
Goldman Sachs & Co.	Nabors Industries, Inc. 5.375% due 08/15/2012	Buy	(0.410	%)	06/20/2012		1,800		3
Goldman Sachs & Co.	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.630	%	12/20/2008		5,900		4
Goldman Sachs & Co.	SLM Corp. 5.125% due 08/27/2012	Sell	0.700	%	06/20/2012		600		(52)
HSBC Bank USA	Multiple Reference Entities of Gazprom	Sell	1.250	%	12/20/2008		2,100		0
HSBC Bank USA	Multiple Reference Entities of Gazprom	Sell	1.300	%	12/20/2008		5,900		2
HSBC Bank USA	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.240	%	02/20/2008		2,700		1
JPMorgan Chase & Co.	AutoZone, Inc. 5.875% due 10/15/2012	Buy	(0.600	%)	06/20/2017		400		0
JPMorgan Chase & Co.	HCP, Inc. 5.950% due 09/15/2011	Buy	(0.610	%)	09/20/2011		300		6
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.280	%	08/20/2011		8,100		168
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.350	%	08/20/2011		6,600		155
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.370	%	08/20/2011		3,100		75
Lehman Brothers, Inc.	Ford Motor Credit Co. LLC 7.875% due 06/15/2010	Buy	(2.310	%)	06/20/2010		1,000		88
Lehman Brothers, Inc.	GMAC LLC 6.875% due 08/28/2012	Sell	1.550	%	03/20/2008		1,000		(6)
Lehman Brothers, Inc.	GMAC LLC 6.875% due 08/28/2012	Sell	4.900	%	09/20/2012		2,300		(153)
Lehman Brothers, Inc.	Newell Rubbermaid, Inc. 4.000% due 05/01/2010	Buy	(0.190	%)	06/20/2010		1,000		0
Lehman Brothers, Inc.	Sara Lee Corp. 6.250% due 09/15/2011	Buy	(0.350	%)	09/20/2011		900		(3)
Lehman Brothers, Inc.	Weyerhaeuser Co. 6.750% due 03/15/2012	Buy	(0.990	%)	06/20/2017		1,900		28
Merrill Lynch & Co., Inc.	Boston Scientific Corp. 6.000% due 06/15/2011	Buy	(0.510	%)	06/20/2011		1,000		32
Merrill Lynch & Co., Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.340	%	08/20/2011		9,000		207
Merrill Lynch & Co., Inc.	GMAC LLC 6.000% due 04/01/2011	Buy	(1.290	%)	06/20/2011		2,600		385
Merrill Lynch & Co., Inc.	International Lease Finance Corp. 5.350% due 03/01/2012	Buy	(0.130	%)	03/20/2012		1,000		16
Merrill Lynch & Co., Inc.	Lennar Corp. 5.950% due 10/17/2011	Buy	(5.750	%)	12/20/2012		900		16
Merrill Lynch & Co., Inc.	MeadWestvaco Corp. 6.850% due 04/01/2012	Buy	(0.580	%)	06/20/2012		1,400		4
Merrill Lynch & Co., Inc.	Multiple Reference Entities of Gazprom	Sell	0.610	%	05/20/2012		1,200		(43)
Morgan Stanley	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.380	%	08/20/2011		6,500		160
Morgan Stanley	Cox Communications, Inc. 6.750% due 03/15/2011	Buy	(0.200	%)	03/20/2011		700		6
Morgan Stanley	Lockheed Martin Corp. 7.650% due 05/01/2016	Buy	(0.089	%)	06/20/2012		900		4
Morgan Stanley	Masco Corp. 5.875% due 07/15/2012	Buy	(0.580	%)	09/20/2012		300		11
Morgan Stanley	Multiple Reference Entities of Gazprom	Sell	1.330	%	12/20/2008		1,200		(5)
Morgan Stanley	Progress Energy, Inc. 5.625% due 01/15/2016	Buy	(0.105	%)	06/20/2012		800		7
Morgan Stanley	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.245	%	06/20/2008		200		0
Morgan Stanley	Turkey Government International Bond 11.875% due 01/15/2030	Buy	(2.700	%)	09/20/2010		200		(10)
Morgan Stanley	Viacom, Inc. 5.750% due 04/30/2011	Buy	(0.640	%)	06/20/2011		300		(1)
Royal Bank of Canada	DaimlerChrysler Canada Finance, Inc. 4.850% due 03/30/2009	Buy	(0.350	%)	06/20/2009		1,000		0
Royal Bank of Canada	JPMorgan Chase & Co. 5.058% until 02/22/2016 and 1-Month CAD Offered Rate plus 1.000% thereafter, due 02/22/2021	Buy	(0.310	%)	03/20/2016		1,600		43
Royal Bank of Scotland Group PLC	CVS Caremark Corp. 5.750% due 08/15/2011	Buy	(0.240	%)	09/20/2011		300		1
Royal Bank of Scotland Group PLC	Daimler Finance N.A. LLC 5.750% due 09/08/2011	Buy	(0.620	%)	09/20/2011		400		(3)
Royal Bank of Scotland Group PLC	Glitnir Banki HF floating rate based on 3-Month USD-LIBOR plus 0.470% due 01/18/2012	Buy	(0.290	%)	03/20/2012		1,900		122
Royal Bank of Scotland Group PLC	Kaupthing Bank HF 5.750% due 10/04/2011	Buy	(0.490	%)	12/20/2011		900		75
Royal Bank of Scotland Group PLC	SUPERVALU, Inc. 7.500% due 05/15/2012	Sell	2.450	%	09/20/2012		600		29
UBS Warburg LLC	American International Group, Inc. 4.250% due 05/15/2013	Sell	0.070	%	06/20/2008		1,100		(3)
UBS Warburg LLC	Goldman Sachs Group, Inc. 5.250% due 06/01/2016	Buy	(0.310	%)	06/20/2016		1,900		37
UBS Warburg LLC	MeadWestvaco Corp. 6.850% due 04/01/2012	Buy	(1.060	%)	06/20/2017		1,000		(6)
Wachovia Bank N.A.	GlobalSantaFe Corp. 5.000% due 02/15/2013	Buy	(0.530	%)	06/20/2012		300		(4)
Wachovia Bank N.A.	GlobalSantaFe Corp. 5.000% due 02/15/2013	Buy	(0.520	%)	06/20/2012		600		(7)
								$	1,301

Credit Default Swaps on Credit Indices

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
Barclays Bank PLC	Dow Jones iTraxx Europe HV6 Index	Buy	(0.850	%)	12/20/2016	EUR	5,300	$	62
BNP Paribas Bank	Dow Jones iTraxx Europe HV6 Index	Buy	(0.850	%)	12/20/2016		2,300		29
HSBC Bank USA	Dow Jones iTraxx Europe HV6 Index	Buy	(0.850	%)	12/20/2016		700		8
JPMorgan Chase & Co.	Dow Jones iTraxx Europe HV6 Index	Buy	(0.850	%)	12/20/2016		1,900		20
Bank of America	Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016	$	4,400		129
Barclays Bank PLC	Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016		2,000		58
Citibank N.A.	Dow Jones CDX N.A. HY8 Index	Sell	2.170	%	06/20/2012		9,300		(104)
Citibank N.A.	Dow Jones CDX N.A. HY8 Index	Sell	3.297	%	06/20/2012		1,100		38
Credit Suisse USA, Inc.	Dow Jones CDX N.A. IG8 Index	Buy	(0.600	%)	06/20/2017		13,700		253
Deutsche Bank AG	Dow Jones CDX N.A. HY8 Index	Sell	2.080	%	06/20/2012		600		(9)
Goldman Sachs & Co.	Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016		9,000		255
Goldman Sachs & Co.	Dow Jones CDX N.A. IG8 Index	Buy	(0.600	%)	06/20/2017		91,600		309
JPMorgan Chase & Co.	Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016		2,100		61
Lehman Brothers, Inc.	Dow Jones CDX N.A. HY8 Index	Sell	3.920	%	06/20/2012		1,200		72
Lehman Brothers, Inc.	Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016		8,900		248
Merrill Lynch & Co., Inc.	Dow Jones CDX N.A. HY8 Index	Sell	3.884	%	06/20/2012		1,200		70
Merrill Lynch & Co., Inc.	Dow Jones CDX N.A. IG3 Index	Sell	0.500	%	03/20/2010		1,984		(9)
Morgan Stanley	Dow Jones CDX N.A. IG3 Index	Sell	0.500	%	03/20/2010		10,912		(49)
Morgan Stanley	Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016		9,400		273
UBS Warburg LLC	Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016		4,700		136
								$	1,850

⁽¹⁾ If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will pay to the buyer of the protection an amount up to the notional value of the swap and in certain instances, take delivery of the security. As a buyer of protection, the Fund will generally receive from the seller of protection an amount up to the notional amount of the swap if a credit event occurs.

Cross-Currency Swaps

Counterparty	Receive	Pay	Expiration Date	(2)		Notional Amount of Currency Received		Notional Amount of Currency Delivered		Unrealized Appreciation
Goldman Sachs & Co.	Floating rate equal to 3-Month JPY-LIBOR less 0.250% based on the notional amount of currency delivered	Floating rate equal to 3-Month USD-LIBOR based on the notional amount of currency received	09/10/2009		JPY	39,176,000	$	332,000	$	19,402

⁽²⁾ At the expiration date, the notional amount of the currency received will be exchanged back for the notional amount of the currency delivered.

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation	)
Barclays Bank PLC	3-Month Australian Bank Bill	Pay	7.000	%	09/15/2009	AUD	16,800	$	(89	)
Citibank N.A.	3-Month Australian Bank Bill	Pay	6.500	%	01/15/2009		23,700		(183	)
Citibank N.A.	6-Month Australian Bank Bill	Pay	6.000	%	06/15/2010		38,900		(1,617	)
Citibank N.A.	6-Month Australian Bank Bill	Receive	6.000	%	06/15/2015		22,300		1,756
Credit Suisse USA, Inc.	6-Month Australian Bank Bill	Pay	7.250	%	06/15/2013		6,800		(52	)
Deutsche Bank AG	3-Month Australian Bank Bill	Pay	6.500	%	01/15/2009		52,430		(393	)
Deutsche Bank AG	6-Month Australian Bank Bill	Pay	7.000	%	06/15/2010		83,500		(842	)
Deutsche Bank AG	6-Month Australian Bank Bill	Receive	6.500	%	06/15/2017		18,500		319
JPMorgan Chase & Co.	3-Month Australian Bank Bill	Pay	7.000	%	09/15/2009		16,800		(80	)
Morgan Stanley	6-Month Australian Bank Bill	Pay	7.000	%	06/15/2010		23,700		(229	)
Morgan Stanley	6-Month Australian Bank Bill	Receive	6.500	%	06/15/2017		22,100		342
UBS Warburg LLC	6-Month Australian Bank Bill	Pay	6.000	%	06/15/2010		30,000		(1,203	)
UBS Warburg LLC	6-Month Australian Bank Bill	Receive	6.000	%	06/15/2015		20,000		1,600
Barclays Bank PLC	BRL-CDI-Compounded	Pay	10.680	%	01/02/2012	BRL	13,200		(385	)
Morgan Stanley	BRL-CDI-Compounded	Pay	10.115	%	01/02/2012		47,900		(1,512	)
Citibank N.A.	3-Month Canadian Bank Bill	Receive	5.000	%	06/15/2015	CAD	2,300		12
Barclays Bank PLC	6-Month EUR-LIBOR	Pay	4.000	%	03/19/2010	EUR	29,400		(44	)
Barclays Bank PLC	6-Month EUR-LIBOR	Pay	4.000	%	06/17/2010		1,400		(102	)
Barclays Bank PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.103	%	10/15/2010		17,000		183
Barclays Bank PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.948	%	03/15/2012		2,300		(44	)
Barclays Bank PLC	6-Month EUR-LIBOR	Pay	5.000	%	09/19/2012		5,400		50
Barclays Bank PLC	6-Month EUR-LIBOR	Receive	5.000	%	03/19/2018		3,600		33
BNP Paribas Bank	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.090	%	10/15/2010		9,000		69
Citibank N.A.	6-Month EUR-LIBOR	Receive	5.000	%	06/17/2012		27,100		2,358
Credit Suisse USA, Inc.	6-Month EUR-LIBOR	Pay	5.000	%	09/19/2012		46,100		413
Credit Suisse USA, Inc.	6-Month EUR-LIBOR	Receive	4.000	%	06/15/2017		27,700		2,288
Deutsche Bank AG	6-Month EUR-LIBOR	Pay	4.000	%	12/15/2011		15,500		(95	)
Deutsche Bank AG	6-Month EUR-LIBOR	Receive	4.000	%	12/15/2014		30,600		1,337
Deutsche Bank AG	6-Month EUR-LIBOR	Receive	5.000	%	03/19/2038		1,300		(8	)
Goldman Sachs & Co.	6-Month EUR-LIBOR	Pay	4.500	%	03/19/2010		65,200		(211	)
Goldman Sachs & Co.	6-Month EUR-LIBOR	Pay	4.000	%	06/17/2010		400		(14	)
Goldman Sachs & Co.	6-Month EUR-LIBOR	Receive	5.000	%	12/15/2011		14,200		61
Goldman Sachs & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.995	%	03/15/2012		3,000		(48	)
Goldman Sachs & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.080	%	06/15/2012		10,800		(140	)
Goldman Sachs & Co.	6-Month EUR-LIBOR	Receive	4.000	%	12/15/2014		20,500		1,028
Goldman Sachs & Co.	6-Month EUR-LIBOR	Receive	6.000	%	06/18/2034		500		(11	)
Goldman Sachs & Co.	6-Month EUR-LIBOR	Receive	5.000	%	03/19/2038		6,700		(275	)
JPMorgan Chase & Co.	6-Month EUR-LIBOR	Pay	4.500	%	03/19/2010		18,700		(145	)
JPMorgan Chase & Co.	6-Month EUR-LIBOR	Pay	4.000	%	06/17/2010		20		(1	)
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.958	%	04/10/2012		600		(12	)
Lehman Brothers, Inc.	6-Month EUR-LIBOR	Pay	4.500	%	03/19/2010		29,600		(170	)
Lehman Brothers, Inc.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.965	%	03/15/2012		1,400		(23	)
Merrill Lynch & Co., Inc.	6-Month EUR-LIBOR	Pay	4.000	%	06/17/2010		400		(29	)
Morgan Stanley	6-Month EUR-LIBOR	Pay	4.000	%	09/19/2009		6,300		(39	)
Morgan Stanley	6-Month EUR-LIBOR	Pay	4.500	%	03/19/2010		75,300		(194	)
Morgan Stanley	6-Month EUR-LIBOR	Receive	4.000	%	12/15/2014		1,900		115
Morgan Stanley	6-Month EUR-LIBOR	Receive	4.000	%	06/15/2017		7,100		385
Royal Bank of Scotland Group PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.950	%	03/30/2012		500		(9	)
UBS Warburg LLC	6-Month EUR-LIBOR	Pay	4.000	%	06/17/2010		3,400		(236	)
UBS Warburg LLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.146	%	10/15/2010		14,200		155
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	5.000	%	03/20/2010	GBP	29,800		283
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2010		5,900		(59	)
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2015		1,500		(18	)
Barclays Bank PLC	6-Month GBP-LIBOR	Receive	4.500	%	09/15/2017		41,600		186
Barclays Bank PLC	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035		13,900		702
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	4.250	%	06/12/2036		1,000		(87	)
Citibank N.A.	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2015		2,200		(37	)
Deutsche Bank AG	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2010		9,100		(40	)
Deutsche Bank AG	6-Month GBP-LIBOR	Pay	5.000	%	03/20/2013		11,600		416
Deutsche Bank AG	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2015		1,800		(20	)
Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	5.000	%	06/15/2009		27,400		(308	)
Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2010		12,300		(65	)
Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	6.000	%	09/20/2012		7,300		634
Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	5.000	%	03/20/2013		10,800		427
Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	5.500	%	03/20/2013		14,400		558
Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2015		6,400		(6	)
HSBC Bank USA	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2010		8,000		(68	)
HSBC Bank USA	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2015		700		(14	)
HSBC Bank USA	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035		1,600		155
JPMorgan Chase & Co.	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2015		3,900		(54	)
Merrill Lynch & Co., Inc.	6-Month GBP-LIBOR	Pay	5.000	%	03/20/2018		3,300		150
Morgan Stanley	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2010		18,700		981
Morgan Stanley	6-Month GBP-LIBOR	Pay	5.000	%	03/20/2018		5,300		203
Morgan Stanley	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035		1,500		133
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2015		10,200		390
Barclays Bank PLC	6-Month JPY-LIBOR	Receive	2.000	%	06/20/2017	JPY	1,090,000		(14	)
Deutsche Bank AG	6-Month JPY-LIBOR	Pay	1.000	%	09/18/2008		1,990,000		(31	)
Deutsche Bank AG	6-Month JPY-LIBOR	Pay	1.500	%	12/20/2012		1,900,000		21
Deutsche Bank AG	6-Month JPY-LIBOR	Receive	2.500	%	12/20/2027		250,000		(55	)
Goldman Sachs & Co.	6-Month JPY-LIBOR	Receive	2.035	%	05/18/2010		360,000		(85	)
Goldman Sachs & Co.	6-Month JPY-LIBOR	Receive	2.000	%	06/20/2010		2,000,000		(281	)
Goldman Sachs & Co.	6-Month JPY-LIBOR	Receive	1.300	%	09/21/2011		1,040,000		(70	)
Goldman Sachs & Co.	6-Month JPY-LIBOR	Receive	2.000	%	06/20/2017		8,310,000		(96	)
Goldman Sachs & Co.	6-Month JPY-LIBOR	Receive	3.000	%	06/20/2036		1,120,000		(696	)
Morgan Stanley	6-Month JPY-LIBOR	Pay	1.000	%	09/18/2008		4,200,000		(17	)
Morgan Stanley	6-Month JPY-LIBOR	Pay	1.500	%	12/20/2012		3,520,000		48
Morgan Stanley	6-Month JPY-LIBOR	Receive	1.980	%	09/27/2016		1,900,000		(618	)
Morgan Stanley	6-Month JPY-LIBOR	Receive	2.500	%	06/20/2036		1,110,000		(267	)
Royal Bank of Scotland Group PLC	6-Month JPY-LIBOR	Pay	1.500	%	06/20/2015		7,840,000		91
Royal Bank of Scotland Group PLC	6-Month JPY-LIBOR	Receive	2.000	%	06/20/2017		1,280,000		(73	)
UBS Warburg LLC	6-Month JPY-LIBOR	Pay	1.000	%	09/18/2008		860,000		(16	)
UBS Warburg LLC	6-Month JPY-LIBOR	Pay	1.500	%	12/20/2012		4,440,000		61
UBS Warburg LLC	6-Month JPY-LIBOR	Pay	1.500	%	06/20/2015		2,840,000		79
UBS Warburg LLC	6-Month JPY-LIBOR	Receive	2.000	%	06/20/2017		840,000		(47	)
UBS Warburg LLC	6-Month JPY-LIBOR	Receive	2.500	%	06/20/2036		450,000		(60	)
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.720	%	09/05/2016	MXN	7,500		(9	)
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.900	%	09/22/2016		22,000		46
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.840	%	09/23/2016		11,000		19
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.170	%	11/04/2016		46,600		(180	)
JPMorgan Chase & Co.	28-Day Mexico Interbank TIIE Banxico	Pay	8.840	%	09/23/2016		3,000		6
Merrill Lynch & Co., Inc.	28-Day Mexico Interbank TIIE Banxico	Pay	8.720	%	09/05/2016		16,000		(19	)
Bank of America	3-Month USD-LIBOR	Pay	5.000	%	06/18/2009	$	17,200		201
Bank of America	3-Month USD-LIBOR	Receive	5.000	%	06/20/2017		2,100		(83	)
Bank of America	3-Month USD-LIBOR	Pay	5.000	%	06/18/2018		21,500		86
Barclays Bank PLC	3-Month USD-LIBOR	Receive	5.000	%	12/18/2015		175,200		(429	)
Barclays Bank PLC	3-Month USD-LIBOR	Receive	5.000	%	06/20/2017		24,500		(393	)
Barclays Bank PLC	3-Month USD-LIBOR	Pay	5.000	%	06/18/2018		32,400		520
Citibank N.A.	3-Month USD-LIBOR	Receive	5.000	%	06/20/2017		22,000		(386	)
Credit Suisse USA, Inc.	3-Month USD-LIBOR	Receive	5.000	%	06/20/2017		5,800		(124	)
Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	06/18/2009		345,100		3,898
Deutsche Bank AG	3-Month USD-LIBOR	Receive	5.000	%	06/18/2015		144,700		83
Goldman Sachs & Co.	3-Month USD-LIBOR	Pay	4.000	%	06/18/2009		445,400		919
Goldman Sachs & Co.	3-Month USD-LIBOR	Receive	4.000	%	06/18/2010		7,400		(32	)
Goldman Sachs & Co.	3-Month USD-LIBOR	Receive	6.000	%	12/17/2031		13,400		(2,188	)
JPMorgan Chase & Co.	3-Month USD-LIBOR	Pay	4.000	%	06/18/2013		249,400		62
JPMorgan Chase & Co.	3-Month USD-LIBOR	Receive	5.000	%	06/20/2017		1,500		(85	)
Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	5.000	%	06/20/2017		7,800		(350	)
Merrill Lynch & Co., Inc.	3-Month USD-LIBOR	Receive	5.000	%	06/20/2017		6,100		(273	)
Morgan Stanley	3-Month USD-LIBOR	Pay	5.000	%	06/18/2018		74,700		1,400
Morgan Stanley	3-Month USD-LIBOR	Receive	6.000	%	12/17/2031		5,500		(1,109	)
Morgan Stanley	3-Month USD-LIBOR	Receive	5.000	%	06/18/2038		27,600		(780	)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	06/20/2017		41,000		(1,997	)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	06/18/2018		33,500		335
								$	5,523

(i) Purchased options outstanding on December 31, 2007:

Options on Exchange-Traded Futures Contracts

Description		Exercise Price	Expiration Date	# of Contracts		Cost		Value
Call - CBOT U.S. Treasury 2-Year Note March Futures	$	115.000	02/22/2008	16	$	0	$	0
Call - CBOT U.S. Treasury 2-Year Note March Futures		116.000	02/22/2008	565		10		9
Call - CBOT U.S. Treasury 2-Year Note March Futures		120.000	02/22/2008	45		1		1
Call - CBOT U.S. Treasury 5-Year Note March Futures		122.500	02/22/2008	45		1		1
Call -CBOT U.S. Treasury 5-Year Note March Futures		126.000	02/22/2008	627		12		10
Call - CBOT U.S. Treasury 5-Year Note March Futures		127.000	02/22/2008	2,318		44		36
Call - CBOT U.S. Treasury 10-Year Note March Futures		136.000	02/22/2008	323		6		5
Call - CBOT U.S. Treasury 10-Year Note March Futures		137.000	02/22/2008	888		17		14
Call - CBOT U.S. Treasury 10-Year Note March Futures		138.000	02/22/2008	421		8		6
Put - CBOT U.S. Treasury 10-Year Note March Futures		102.000	02/22/2008	435		8		7
					$	107	$	89

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date		Notional Amount		Cost		Value
Call - OTC 2-Year Interest Rate Swap	JPMorgan Chase & Co.	6-Month EUR-LIBOR	Pay	4.000	%	09/14/2009	EUR	27,000	$	144	$	106
Call - OTC 2-Year Interest Rate Swap	Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	5.350	%	03/14/2008	GBP	22,800		108		273
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Pay	5.300	%	03/14/2008		12,000		47		129
Call - OTC 2-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Pay	5.000	%	02/01/2008	$	62,100		241		1,453
Call - OTC 2-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Pay	5.000	%	08/28/2009		109,200		1,087		2,134
Call - OTC 2-Year Interest Rate Swap	Merrill Lynch & Co., Inc.	3-Month USD-LIBOR	Pay	5.000	%	08/28/2009		42,500		427		830
Call - OTC 2-Year Interest Rate Swap	Morgan Stanley	3-Month USD-LIBOR	Pay	4.250	%	07/06/2009		96,500		1,131		1,156
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	02/01/2008		216,400		1,073		5,065
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	03/31/2008		220,500		1,422		4,462
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.300	%	08/03/2009		243,600		2,162		5,845
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	08/28/2009		18,600		190		363
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	09/08/2009		53,100		560		876
									$	8,592	$	22,692

Foreign Currency Options

Description		Exercise Price	Expiration Date		Notional Amount		Cost		Value
Call - OTC Euro versus U.S. dollar	$	1.355	05/21/2008	EUR	5,100	$	151	$	572
Put - OTC Euro versus U.S. dollar		1.355	05/21/2008		5,100		151		31
Call - OTC Euro versus U.S. dollar		1.367	05/19/2010		2,100		101		228
Put - OTC Euro versus U.S. dollar		1.367	05/19/2010		2,100		101		78
Call - OTC Euro versus U.S. dollar		1.375	05/21/2010		1,700		80		175
Put - OTC Euro versus U.S. dollar		1.375	05/21/2010		1,700		80		67
Call - OTC U.S. dollar versus Japanese yen	JPY	114.650	01/18/2008	$	9,000		300		16
Put - OTC U.S. dollar versus Japanese yen		114.650	01/18/2008		9,000		300		268
Call - OTC U.S. dollar versus Japanese yen		120.000	01/18/2008		8,100		98		9
Call - OTC U.S. dollar versus Japanese yen		115.350	02/13/2008		22,900		801		75
Put - OTC U.S. dollar versus Japanese yen		115.350	02/13/2008		22,900		721		916
Call - OTC U.S. dollar versus Japanese yen		115.950	06/09/2008		11,100		295		65
Put - OTC U.S. dollar versus Japanese yen		115.950	06/09/2008		11,100		295		658
Call - OTC U.S. dollar versus Japanese yen		118.150	06/23/2008		20,600		542		78
Put - OTC U.S. dollar versus Japanese yen		118.150	06/23/2008		20,600		542		1,607
Call - OTC U.S. dollar versus Japanese yen		104.000	03/17/2010		4,000		191		212
Put - OTC U.S. dollar versus Japanese yen		104.000	03/17/2010		4,000		147		181
						$	4,896	$	5,236

Options on Securities

Description		Strike Price	Expiration Date		Notional Amount		Cost		Value
Put - OTC WisdomTree International Healthcare 5.250% due 1/01/2011	EUR	99.000	02/22/2008	EUR	15,500	$	2	$	0
Put - OTC Freddie Mac 5.500% due 02/01/2038	$	86.438	02/05/2008	$	2,000		0		0
Put - OTC Fannie Mae 5.500% due 02/01/2038		87.781	02/05/2008		12,000		1		0
Put - OTC Fannie Mae 6.500% due 02/01/2038		93.000	02/05/2008		5,050		1		0
Call - OTC Fannie Mae 5.000% due 02/01/2038		102.500	02/05/2008		9,600		1		0
Put - OTC Fannie Mae 5.500% due 03/01/2038		89.000	03/05/2008		33,000		4		0
Put - OTC Fannie Mae 6.000% due 03/01/2038		91.750	03/05/2008		38,700		4		1
Call - OTC Fannie Mae 5.000% due 03/01/2038		104.500	03/05/2008		34,000		4		0
						$	17	$	1

(j) Written options outstanding on December 31, 2007:

Options on Exchange-Traded Futures Contracts

Description		Exercise Price	Expiration Date	# of Contracts		Premium		Value
Call - CBOT U.S. Treasury 10-Year Note March Futures	$	111.000	02/22/2008	184	$	74	$	523
Call - CBOT U.S. Treasury 10-Year Note March Futures		114.000	02/22/2008	110		92		124
Put - CBOT U.S. Treasury 10-Year Note March Futures		110.000	02/22/2008	110		59		28
					$	225	$	675

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date		Notional Amount		Premium		Value
Call - OTC 7-Year Interest Rate Swap	JPMorgan Chase & Co.	6-Month EUR-LIBOR	Receive	4.230	%	09/14/2009	EUR	8,800	$	129	$	102
Call - OTC 10-Year Interest Rate Swap	Goldman Sachs & Co.	6-Month GBP-LIBOR	Receive	4.850	%	03/14/2008	GBP	5,700		107		65
Call - OTC 10-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Receive	4.850	%	03/14/2008		3,000		46		34
Call - OTC 7-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Receive	4.900	%	02/01/2008	$	49,300		201		1,502
Call - OTC 5-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Receive	5.100	%	02/01/2008		27,000		242		1,127
Call - OTC 7-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Receive	5.320	%	08/28/2009		36,400		978		1,737
Call - OTC 7-Year Interest Rate Swap	Merrill Lynch & Co., Inc.	3-Month USD-LIBOR	Receive	5.320	%	08/28/2009		14,200		385		678
Call - OTC 7-Year Interest Rate Swap	Morgan Stanley	3-Month USD-LIBOR	Receive	4.900	%	07/06/2009		32,200		1,083		1,118
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.100	%	02/01/2008		94,100		1,129		3,927
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.900	%	03/31/2008		87,500		1,251		3,025
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.500	%	08/03/2009		105,900		2,110		5,066
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.320	%	08/28/2009		6,200		172		296
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.150	%	09/08/2009		17,700		514		739
									$	8,347	$	19,416

Foreign Currency Options

Description		Exercise Price	Expiration Date		Notional Amount		Premium		Value
Call - OTC Euro versus U.S. dollar	$	1.362	05/21/2008	EUR	4,000	$	253	$	424
Put - OTC Euro versus U.S. dollar		1.362	05/21/2008		4,000		252		27
Call - OTC U.S. dollar versus Japanese yen	JPY	117.570	02/18/2008	$	3,900		44		6
Put - OTC U.S. dollar versus Japanese yen		104.000	06/09/2008		6,700		53		79
Put - OTC U.S. dollar versus Japanese yen		80.000	08/21/2008		5,200		26		10
Call - OTC U.S. dollar versus Japanese yen		104.000	03/17/2010		1,400		74		74
Put - OTC U.S. dollar versus Japanese yen		104.000	03/17/2010		1,400		74		63
						$	776	$	683

(k) Restricted securities as of December 31, 2007:

Issuer Description	Coupon		Maturity Date	Acquisition Date		Cost		Market Value	Market Value as Percentage of Net Assets
Goldman Sachs Group, Inc.	5.250	%	06/01/2016	11/03/2006	$	1,989	$	2,153	0.18	%
Merna Reinsurance Ltd.	5.480	%	07/07/2010	09/21/2007		3,765		3,724	0.32	%
					$	5,754	$	5,877	0.50	%

(l) Short sales outstanding on December 31, 2007:

Description	Coupon		Maturity Date		Principal Amount		Proceeds		Value	(3)
Fannie Mae	5.000	%	01/01/2038	$	38,000	$	37,430	$	37,080
Fannie Mae	5.500	%	01/01/2038		19,000		18,979		18,979
U.S. Treasury Notes	4.250	%	11/15/2013		25,200		25,752		26,294
U.S. Treasury Notes	4.500	%	11/15/2015		29,760		30,641		31,220
U.S. Treasury Notes	4.500	%	02/15/2016		2,500		2,593		2,657
U.S. Treasury Notes	4.500	%	05/15/2017		83,900		86,021		87,579
U.S. Treasury Notes	4.625	%	07/31/2012		6,000		6,325		6,438
U.S. Treasury Notes	4.625	%	02/15/2017		22,900		24,105		24,429
U.S. Treasury Notes	4.875	%	05/31/2011		100		106		106
U.S. Treasury Notes	5.125	%	05/15/2016		32,100		34,982		35,074
						$	266,934	$	269,856

⁽³⁾ Market value includes $1,945 of interest payable on short sales.

(m) Foreign currency contracts outstanding on December 31, 2007:

Type	Currency	Principal Amount Covered by Contract	Settlement Month		Unrealized Appreciation		Unrealized (Depreciation	)		Net Unrealized Appreciation/ (Depreciation	)
Buy	AUD	19,359	01/2008	$	150	$	(2	)	$	148
Sell		29,008	01/2008		116		(85	)		31
Buy		2,701	02/2008		56		0			56
Sell		7,751	02/2008		0		(151	)		(151	)
Buy	BRL	24,757	03/2008		1,349		0			1,349
Sell		24,354	03/2008		126		0			126
Buy		74,006	07/2008		1,163		(47	)		1,116
Sell		14,488	07/2008		84		0			84
Buy	CAD	5,626	01/2008		113		(2	)		111
Sell	CLP	83,585	03/2008		0		(9	)		(9	)
Buy		66,358	07/2008		0		0			0
Buy	CNY	149,632	01/2008		233		0			233
Sell		149,632	01/2008		0		(385	)		(385	)
Buy		106,826	03/2008		185		0			185
Sell		106,826	03/2008		0		(269	)		(269	)
Buy		50,970	04/2008		56		0			56
Buy		45,620	07/2008		187		0			187
Sell		45,620	07/2008		0		(181	)		(181	)
Buy	DKK	6,525	03/2008		0		(5	)		(5	)
Buy	EUR	238,534	01/2008		21		(613	)		(592	)
Sell		7,933	01/2008		0		(61	)		(61	)
Buy	GBP	19,488	01/2008		0		(503	)		(503	)
Sell	HKD	601	01/2008		0		0			0
Buy	INR	240,252	05/2008		204		0			204
Buy		29,643	08/2008		0		(2	)		(2	)
Buy	JPY	1,169,510	01/2008		0		(21	)		(21	)
Sell		727,971	01/2008		125		0			125
Buy		2,494,920	02/2008		122		0			122
Sell		33,127,510	02/2008		341		(4	)		337
Buy	KRW	1,221,185	01/2008		0		(25	)		(25	)
Sell		4,756,497	01/2008		101		0			101
Buy		9,529,688	05/2008		8		(109	)		(101	)
Sell		2,691,790	05/2008		51		0			51
Buy		937,693	08/2008		0		(12	)		(12	)
Buy	MXN	99,311	03/2008		231		(1	)		230
Sell		68,072	03/2008		0		(115	)		(115	)
Buy	MYR	60,008	05/2008		340		0			340
Sell	NZD	6,007	01/2008		0		(113	)		(113	)
Buy		4,600	02/2008		72		0			72
Sell		6,007	02/2008		28		0			28
Sell	PLN	226	03/2008		0		(14	)		(14	)
Buy		371	07/2008		15		0			15
Buy	RUB	486,902	01/2008		1,174		0			1,174
Sell		486,902	01/2008		25		(398	)		(373	)
Buy		18,874	07/2008		20		0			20
Buy		173,070	11/2008		7		(25	)		(18	)
Sell		38,454	11/2008		0		(9	)		(9	)
Buy	SEK	48,644	03/2008		0		(81	)		(81	)
Buy	SGD	9,250	02/2008		106		0			106
Sell		858	02/2008		0		(5	)		(5	)
Buy		919	08/2008		0		0			0
Buy	TWD	60,810	01/2008		0		(7	)		(7	)
Buy	ZAR	2,858	07/2008		23		0			23
				$	6,832	$	(3,254	)	$	3,578

See accompanying notes

Schedule of Investments

GNMA Fund

December 31, 2007 (Unaudited)

	Principal Amount (000s)		Value (000s)
U.S. GOVERNMENT AGENCIES 186.9%
Fannie Mae
4.500% due 02/01/2020	$	6,673	$	6,563
5.000% due 01/01/2018 - 02/01/2038		27,950		27,334
5.000% due 01/01/2037 (e)		3,901		3,807
5.500% due 07/01/2034 - 01/01/2038		49,316		49,256
5.500% due 05/01/2037 (e)		2,994		2,991
6.000% due 12/01/2037 - 01/01/2038		6,000		6,093
6.500% due 01/01/2038		5,500		5,654
6.797% due 03/01/2018		13		13
7.000% due 01/01/2038		1,000		1,040
9.000% due 07/01/2018		9		10
Federal Housing Administration
8.137% due 09/01/2040		47		48
Freddie Mac
5.000% due 12/01/2035		4,661		4,551
5.500% due 09/01/2037 (e)		13,510		13,484
5.500% due 11/01/2037		10,562		10,541
5.808% due 05/01/2019		11		12
6.000% due 11/01/2036 - 09/01/2037		17,659		17,926
6.000% due 08/01/2037 (e)		31,414		31,888
6.276% due 06/01/2030		16		17
6.825% due 05/01/2031		11		11
7.500% due 08/15/2029 (a)		32		5
Ginnie Mae
3.500% due 02/20/2026		4,004		3,987
4.500% due 08/20/2033		1,770		1,679
5.000% due 01/15/2037 - 01/01/2038		55,964		55,151
5.228% due 01/16/2031 - 02/16/2032		3,635		3,633
5.278% due 08/16/2032		1,720		1,723
5.328% due 12/16/2026 - 08/16/2031		760		761
5.428% due 06/16/2027		466		467
5.500% due 04/15/2025 - 01/01/2038		176,391		177,762
5.528% due 07/16/2028		147		148
5.562% due 05/16/2027		74		75
5.578% due 04/16/2032		283		286
5.599% due 06/20/2030		12		12
5.625% due 07/20/2018 - 09/20/2035		5,967		6,007
5.678% due 05/16/2029		501		504
6.000% due 06/15/2009 - 01/01/2038		133,388		136,601
6.125% due 12/20/2017 - 10/20/2030		15		15
6.250% due 02/20/2030		1,200		1,215
6.375% due 06/20/2021 - 05/20/2032		11,073		11,192
6.500% due 05/20/2016 - 02/01/2038		91,297		94,268
7.500% due 10/15/2022 - 06/15/2033		4,933		5,150
Small Business Administration
7.449% due 08/01/2010		30		31
Total U.S. Government Agencies (Cost $675,796)				681,911
U.S. TREASURY OBLIGATIONS 0.3%
U.S. Treasury Notes
4.500% due 05/15/2017		1,000		1,037
Total U.S. Treasury Obligations (Cost $1,037)				1,037
MORTGAGE-BACKED SECURITIES 1.4%
Bear Stearns Structured Products, Inc.
4.989% due 01/25/2037		2,882		2,852
CS First Boston Mortgage Securities Corp.
5.758% due 03/25/2032		81		78
MLCC Mortgage Investors, Inc.
4.250% due 10/25/2035		1,848		1,812
Structured Asset Mortgage Investments, Inc.
5.295% due 09/19/2032		168		163
Total Mortgage-Backed Securities (Cost $4,892)				4,905
ASSET-BACKED SECURITIES 1.3%
Amortizing Residential Collateral Trust
5.155% due 07/25/2032		19		19
Centex Home Equity
5.165% due 01/25/2032		32		32
CIT Group Home Equity Loan Trust
5.135% due 06/25/2033		48		44
Citibank Omni Master Trust
5.962% due 12/23/2013		3,300		3,298
Conseco Finance Securitizations Corp.
7.970% due 05/01/2032		1,670		1,250
Home Equity Asset Trust
5.465% due 11/25/2032		3		2
Saxon Asset Securities Trust
5.385% due 08/25/2032		16		15
Structured Asset Securities Corp.
5.155% due 01/25/2033		86		85
Total Asset-Backed Securities (Cost $4,884)				4,745
SHORT-TERM INSTRUMENTS 3.7%
Commercial Paper 0.2%
Rabobank Financial Co.
3.990% due 01/02/2008		600		600
Repurchase Agreements 1.9%
State Street Bank and Trust Co.
3.900% due 01/02/2008		6,917		6,917
(Dated 12/31/2007. Collateralized by Federal Home Loan Bank 4.125% due 02/15/2008 valued at $7,060. Repurchase proceeds are $6,918.)
U.S. Treasury Bills 1.6%
2.864% due 02/28/2008 - 03/13/2008 (b)(c)(f)		6,095		6,041
Total Short-Term Instruments (Cost $13,579)				13,558
Purchased Options (h) 0.0% (Cost $25)				10
Total Investments 193.6% (Cost $700,213)			$	706,166
Written Options (i) (0.0%) (Premiums $28)				0
Other Assets and Liabilities (Net) (93.6%)				(341,394	)
Net Assets (d) 100.0%			$	364,772

Notes to Schedule of Investments (amounts in thousands*, except number of contracts):

* A zero balance may reflect actual amounts rounding to less than one thousand.

(a) Interest only security.

(b) Coupon represents a weighted average rate.

(c) Securities with an aggregate market value of $5,947 have been pledged as collateral for swap and swaption contracts on December 31, 2007.

(d) As of December 31, 2007, portfolio securities with an aggregate value of $6,198 and derivative instruments with an aggregate appreciation of $2,762 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(e) The average amount of borrowings outstanding during the period ended December 31, 2007 was $46,675 at a weighted average interest rate of 5.130%. On December 31, 2007, securities valued at $32 were pledged as collateral for reverse repurchase agreements.

(f) Securities with an aggregate market value of $94 and cash of $235 have been segregated with the custodian to cover margin requirements for the following open futures contracts on December 31, 2007:

Description	Type	Expiration Month	# of Contracts		Unrealized Appreciation
90-Day Eurodollar June Futures	Long	06/2008	300	$	888
U.S. Treasury 10-Year Note March Futures	Short	03/2008	74		18
				$	906

(g) Swap agreements outstanding on December 31, 2007:

Credit Default Swaps on Securities

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
Bear Stearns & Co., Inc.	Bear Stearns Asset-Backed Securities Trust floating rate based on 1-Month USD-LIBOR plus 2.000% due 12/25/2035	Sell	2.550	%	12/25/2035	$	2,000	$	(1,583	)
Goldman Sachs & Co.	Telos CLO Ltd. floating rate based on 3-Month USD-LIBOR plus 1.700% due 10/11/2021	Buy	(2.500	%)	10/11/2021		500		86
Lehman Brothers, Inc.	Baldwin Segregated Portfolio floating rate based on 3-Month USD-LIBOR plus 0.750% due 06/25/2046	Buy	(0.800	%)	06/25/2046		1,500		1,358
Lehman Brothers, Inc.	Baldwin Segregated Portfolio floating rate based on 3-Month USD-LIBOR plus 2.000% due 06/25/2038	Buy	(2.500	%)	06/25/2038		1,500		1,318
UBS Warburg LLC	Bear Stearns Asset-Backed Securities Trust floating rate based on 1-Month USD-LIBOR plus 2.000% due 12/25/2035	Buy	(2.250	%)	12/25/2035		2,000		1,592
								$	2,771

Credit Default Swaps on Credit Indices

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
Bear Stearns & Co., Inc.	Home Equity Index A Rating 2006-1	Buy	(0.540	%)	07/25/2045	$	3,000	$	777
Deutsche Bank AG	Home Equity Index BBB Rating 2006-2	Sell	1.330	%	05/25/2046		4,000		(1,016	)
Goldman Sachs & Co.	Home Equity Index BBB Rating 2006-2	Sell	2.420	%	05/25/2046		2,500		(1,280	)
Lehman Brothers, Inc.	Home Equity Index BBB Rating 2006-2	Buy	(2.420	%)	05/25/2046		2,500		1,252
Royal Bank of Scotland Group PLC	Home Equity Index BBB Rating 2006-2	Sell	1.330	%	05/25/2046		2,500		(616	)
								$	(883	)

⁽¹⁾ If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will pay to the buyer of the protection an amount up to the notional value of the swap and in certain instances, take delivery of the security. As a buyer of protection, the Fund will generally receive from the seller of protection an amount up to the notional amount of the swap if a credit event occurs.

Interest Rate Swaps

Counterparty	Floating Rate Index	(Pay)/Receive Floating Rate		Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
Barclays Bank PLC	3-Month USD-LIBOR	Receive		5.000	%	06/18/2018	$	8,300	$	(27	)
Deutsche Bank AG	3-Month USD-LIBOR	Pay		5.000	%	06/18/2015		10,600		(6	)
Lehman Brothers, Inc.	3-Month USD-LIBOR with 6.940% interest rate cap	Pay	Premium amount of $	316		07/01/2011		8,000		(311	)
Merrill Lynch & Co., Inc.	3-Month USD-LIBOR	Pay		5.000	%	06/18/2015		1,350		8
Merrill Lynch & Co., Inc.	3-Month USD-LIBOR	Receive		5.000	%	06/18/2018		3,500		(49	)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive		5.000	%	06/18/2018		24,500		(91	)
									$	(476	)

(h) Purchased options outstanding on December 31, 2007:

Interest Rate Swaptions

Description

Counterparty

Floating Rate Index

Pay/Receive Floating Rate

Exercise Rate

Expiration Date

Notional Amount

Cost

Value

Put - OTC 7-Year Interest Rate Swap

Goldman Sachs & Co.

3-Month USD-LIBOR

Receive

4.750

%

01/31/2008

$

4,500

$

25

$

10

(i) Written options outstanding on December 31, 2007:

Options on Securities

Description		Strike Price	Expiration Date		Notional Amount		Premium		Value
Put - OTC Fannie Mae 5.500% due 01/01/2038	$	98.500	01/03/2008	$	10,000	$	28	$	0

(j) Short sales outstanding on December 31, 2007:

Description	Coupon		Maturity Date		Principal Amount		Proceeds		Value(2)
Fannie Mae	5.500	%	12/01/2037	$	19,000	$	18,938	$	18,943
Fannie Mae	5.500	%	01/01/2038		40,000		39,816		39,956
Fannie Mae	6.500	%	01/01/2038		1,000		1,028		1,028
Freddie Mac	5.500	%	01/01/2038		12,000		11,952		11,976
Freddie Mac	6.000	%	01/01/2038		50,000		50,750		50,742
Ginnie Mae	5.500	%	01/01/2038		52,000		52,400		52,382
Ginnie Mae	6.000	%	01/01/2038		45,000		45,823		46,076
Ginnie Mae	6.000	%	02/01/2038		9,000		9,153		9,207
U.S. Treasury Bonds	4.750	%	08/15/2017		1,300		1,363		1,403
U.S. Treasury Notes	4.500	%	05/15/2017		4,378		4,582		4,577
						$	235,805	$	236,290

⁽²⁾ Market value includes $68 of interest payable on short sales.

See accompanying notes

Schedule of Investments

High Yield Fund

December 31, 2007 (Unaudited)

	Principal Amount (000s)		Value (000s)
BANK LOAN OBLIGATIONS 7.8%
AES Corp.
7.120% due 04/30/2010	$	1,000	$	992
8.390% due 04/30/2010		2,698		2,673
8.540% due 04/30/2010		2,302		2,285
Amadeus Global Travel Distribution S.A.
6.752% due 04/08/2012		3,693		3,433
6.846% due 04/08/2013		1,902		1,804
7.096% due 04/08/2014		1,879		1,786
Biomet, Inc.
7.000% due 03/08/2008		39,000		38,120
7.776% due 03/25/2015		1,250		1,238
Centennial Cellular Operating Co. LLC
6.830% due 02/09/2011		1,366		1,334
7.081% due 01/20/2011		216		211
Centennial Communications Corp.
6.830% due 02/09/2011		1,423		1,390
Community Health Corp.
7.331% due 07/25/2014		9,358		9,022
Community Health Systems, Inc.
4.000% due 07/02/2014		1,036		999
7.072% due 07/02/2014		3,213		3,097
Daimler Finance North America LLC
9.000% due 08/03/2012		64,897		62,567
Delphi Corp.
8.562% due 07/01/2008		11,000		10,985
8.625% due 07/01/2008		1,000		998
Ferrellgas Partners LP
7.240% due 08/01/2010 (k)		26,000		27,031
Ford Motor Co.
8.000% due 12/15/2013		29,527		27,396
Harrah’s Entertainment, Inc.
7.500% due 03/09/2008		40,000		39,200
HCA, Inc.
7.080% due 11/16/2013		17,617		17,000
Headwaters, Inc.
6.790% due 04/30/2011		1,791		1,728
HealthSouth Corp.
7.345% due 02/02/2013		81		78
7.750% due 03/10/2013		11,148		10,674
Hertz Corp.
4.910% due 12/21/2012		795		780
6.750% due 12/21/2012		248		243
6.890% due 12/21/2012		2,431		2,385
6.920% due 12/21/2012		1,738		1,705
Ineos Group Holdings PLC
7.357% due 10/07/2012		12,136		11,552
7.451% due 10/07/2012		933		889
Intelsat Bermuda Ltd.
7.131% due 02/15/2014		20,750		20,491
Metro-Goldwyn-Mayer, Inc.
8.108% due 04/08/2012		15,841		14,717
Mylan Laboratories, Inc.
8.312% due 10/02/2014		8,250		8,180
9.750% due 10/02/2008		552		549
Northwest Airlines, Inc.
6.970% due 08/22/2008		4,455		4,208
NTL Investment
7.224% due 01/06/2013		2,832		2,709
Nuveen Investments, Inc.
7.830% due 11/13/2014		3,628		3,597
7.865% due 11/01/2014		3,371		3,342
Nycomed
7.123% due 12/20/2014		4,500		4,047
7.873% due 12/20/2015		4,500		4,069
Riverdeep Interactive
12.060% due 12/21/2014		5,506		5,492
Roundy’s Supermarket, Inc.
7.910% due 10/27/2011		10,563		10,381
SandRidge Energy, Inc.
8.354% due 04/01/2014		2,000		1,980
8.625% due 04/01/2015		59,100		58,952
SLM Corp.
0.000% due 02/16/2008		35,300		35,173
Telesat Canada
9.000% due 10/31/2008		8,693		8,302
10.500% due 10/31/2008		6,200		5,921
Thompson Learning, Inc.
7.600% due 06/27/2014		28,700		27,207
Tribune Co.
7.396% due 05/30/2009		10,337		10,003
7.910% due 05/30/2014		13,537		11,559
Univision Communications, Inc.
6.250% due 09/15/2014		638		583
7.095% due 09/15/2014		510		466
7.610% due 09/15/2014		17,852		16,313
Verso Paper Holdings LLC and Verson Paper, Inc.
11.161% due 02/01/2013		2,200		2,108
VNU/Nielson Finance LLC
7.146% due 08/09/2013		3,401		3,232
7.242% due 08/09/2013		2,044		1,942
Weather Investments II SARL
11.319% due 10/26/2014		3,000		3,143
Wind Acquisition Finance S.A.
12.459% due 12/21/2011		7,159		7,499
Total Bank Loan Obligations (Cost $572,490)				559,760
CORPORATE BONDS & NOTES 69.7%
Banking & Finance 13.5%
AES Ironwood LLC
8.857% due 11/30/2025		45,154		49,669
AES Red Oak LLC
8.540% due 11/30/2019		14,176		15,240
American General Finance Corp.
6.900% due 12/15/2017		8,200		8,223
American International Group, Inc.
5.850% due 01/16/2018		18,900		19,060
Barclays Bank PLC
6.050% due 12/04/2017		28,950		29,225
7.434% due 09/29/2049		5,100		5,309
Buffalo Thunder Development Authority
9.375% due 12/15/2014		2,650		2,372
C10 Capital SPV Ltd.
6.722% due 12/31/2049		5,000		4,617
Citigroup Capital XXI
8.300% due 12/21/2057		12,950		13,561
Citigroup Funding, Inc.
2.080% due 08/31/2012		8,000		7,977
Consolidated Communications Holdings, Inc.
9.750% due 04/01/2012		33		34
Ford Motor Credit Co. LLC
7.000% due 10/01/2013		5,325		4,453
7.250% due 10/25/2011		1,500		1,300
7.375% due 10/28/2009		375		353
7.375% due 02/01/2011		8,300		7,438
7.800% due 06/01/2012		48,459		42,520
7.875% due 06/15/2010		5,000		4,616
8.000% due 12/15/2016		48,695		41,424
Forest City Enterprises, Inc.
7.625% due 06/01/2015		10,025		9,724
GMAC LLC
5.125% due 05/09/2008		750		742
6.000% due 04/01/2011		9,412		8,019
6.625% due 05/15/2012		20,475		17,037
6.750% due 12/01/2014		1,750		1,413
6.875% due 08/28/2012		27,665		23,204
7.000% due 02/01/2012		24,700		20,974
7.250% due 03/02/2011		24,200		21,227
7.324% due 12/01/2014		500		402
8.000% due 11/01/2031		27,590		23,200
Goldman Sachs Group, Inc.
6.750% due 10/01/2037		42,700		41,969
Hexion U.S. Finance Corp.
9.750% due 11/15/2014		15,700		17,034
KRATON Polymers LLC
8.125% due 01/15/2014		21,795		20,596
Lehman Brothers Holdings, Inc.
6.750% due 12/28/2017		20,200		20,858
LVB Acquisition Merger Sub, Inc.
10.000% due 10/15/2017		33,372		34,206
10.375% due 10/15/2017 (b)		36,375		36,466
11.625% due 10/15/2017		59,467		58,872
Mirage Resorts, Inc.
7.250% due 08/01/2017		8,625		8,194
Morgan Stanley
5.950% due 12/28/2017		63,900		63,973
NSG Holdings LLC
7.750% due 12/15/2025		13,340		13,440
Petroleum Export Ltd. II
6.340% due 06/20/2011		14,505		14,632
Petroplus Finance Ltd.
6.750% due 05/01/2014		5,650		5,290
7.000% due 05/01/2017		4,770		4,388
Rabobank Capital Funding Trust
5.254% due 12/29/2049		8,035		7,204
Residential Capital LLC
7.625% due 11/21/2008		16,600		13,280
Royal Bank of Scotland Group PLC
7.640% due 03/31/2049		33,600		34,603
Santander Perpetual S.A. Unipersonal
6.671% due 10/29/2049		23,200		23,304
SLM Corp.
5.000% due 04/15/2015		2,000		1,708
5.000% due 06/15/2018		1,000		801
5.244% due 07/26/2010		5,950		5,480
5.294% due 07/25/2008		10,575		10,359
Tenneco, Inc.
8.125% due 11/15/2015		14,000		13,930
8.625% due 11/15/2014		9,829		9,706
10.250% due 07/15/2013		7,974		8,532
TNK-BP Finance S.A.
6.625% due 03/20/2017		9,200		8,418
7.500% due 07/18/2016		14,750		14,328
UBS AG
5.875% due 12/20/2017		15,800		15,941
UBS Preferred Funding Trust V
6.243% due 05/29/2049		9,200		8,872
Universal City Development Partners
11.750% due 04/01/2010		3,000		3,113
Universal City Florida Holding Co. I
8.375% due 05/01/2010		7,900		7,979
9.661% due 05/01/2010		1,133		1,139
Ventas Realty LP
6.750% due 04/01/2017		12,710		12,647
7.125% due 06/01/2015		9,475		9,617
Washington Mutual, Inc.
8.250% due 04/01/2010		18,175		17,365
Wilmington Trust Co.
10.210% due 01/01/2009 (k)		84		85
10.732% due 01/01/2013 (k)		4,961		5,383
Wind Acquisition Finance S.A.
10.750% due 12/01/2015		14,570		15,954
Yankee Acquisition Corp.
8.500% due 02/15/2015		450		417
				973,416
Industrials 45.0%
Abitibi-Consolidated Co. of Canada
5.250% due 06/20/2008		1,850		1,781
Abitibi-Consolidated, Inc.
8.550% due 08/01/2010		13,285		11,691
Actuant Corp.
6.875% due 06/15/2017		13,850		13,781
Albertson’s LLC
6.570% due 02/23/2028		500		400
7.450% due 08/01/2029		24,275		23,485
7.750% due 06/15/2026		900		895
Allied Waste North America, Inc.
7.250% due 03/15/2015		31,706		31,706
7.875% due 04/15/2013		211		217
Allison Transmission
11.000% due 11/01/2015		7,955		7,279
11.250% due 11/01/2015 (b)		7,150		6,346
American Stores Co.
8.000% due 06/01/2026		17,150		17,280
AmeriGas Partners LP
7.125% due 05/20/2016		37,145		36,216
7.250% due 05/20/2015		24,170		23,807
ARAMARK Corp.
8.500% due 02/01/2015		62,105		63,192
Arco Chemical Co.
10.250% due 11/01/2010		1,445		1,510
ArvinMeritor, Inc.
8.125% due 09/15/2015		32,265		28,071
8.750% due 03/01/2012		24,475		22,945
Berry Plastics Holding Corp.
8.875% due 09/15/2014		30,080		28,726
Bon-Ton Stores, Inc.
10.250% due 03/15/2014		46,484		35,328
Buhrmann U.S., Inc.
7.875% due 03/01/2015		13,790		13,066
8.250% due 07/01/2014		14,890		14,294
C8 Capital SPV Ltd.
6.640% due 12/29/2049		4,500		4,278
CanWest MediaWorks LP
9.250% due 08/01/2015		5,526		5,436
Cascades, Inc.
7.250% due 02/15/2013		22,210		20,933
CCO Holdings LLC
8.750% due 11/15/2013		91,791		88,119
Celestica, Inc.
7.625% due 07/01/2013		9,245		8,667
7.875% due 07/01/2011		41,425		40,079
Chart Industries, Inc.
9.125% due 10/15/2015		8,865		9,131
Charter Communications Operating LLC
8.000% due 04/30/2012		1,200		1,164
8.375% due 04/30/2014		3,000		2,918
Chemtura Corp.
6.875% due 06/01/2016		19,420		18,352
Chesapeake Energy Corp.
6.875% due 01/15/2016		7,675		7,637
7.000% due 08/15/2014		8,155		8,237
7.500% due 06/15/2014		6,550		6,697
Choctaw Resort Development Enterprise
7.250% due 11/15/2019		5,132		4,978
Citic Resources Finance Ltd.
6.750% due 05/15/2014		2,975		2,796
Community Health Systems, Inc.
8.875% due 07/15/2015		49,597		50,775
Compagnie Générale de Géophysique-Veritas
7.500% due 05/15/2015		6,600		6,716
7.750% due 05/15/2017		6,925		7,029
Continental Airlines, Inc.
6.920% due 04/02/2013 (k)		18,282		18,401
7.373% due 06/15/2017		1,048		1,010
7.566% due 09/15/2021		2,849		2,763
Cooper-Standard Automotive, Inc.
7.000% due 12/15/2012		21,345		18,597
Crown Americas LLC & Crown Americas Capital Corp.
7.625% due 11/15/2013		2,625		2,697
7.750% due 11/15/2015		20,945		21,678
CSC Holdings, Inc.
6.750% due 04/15/2012		12,425		11,944
7.625% due 04/01/2011		44,645		44,757
7.625% due 07/15/2018		28,650		26,465
DaVita, Inc.
7.250% due 03/15/2015		44,735		45,071
Delhaize America, Inc.
9.000% due 04/15/2031		22,147		25,717
Dex Media West LLC
9.875% due 08/15/2013		15,786		16,457
Dresser-Rand Group, Inc.
7.375% due 11/01/2014		4,241		4,252
Dynegy Holdings, Inc.
7.125% due 05/15/2018		9,860		8,775
7.500% due 06/01/2015		12,375		11,632
7.750% due 06/01/2019		18,000		16,695
8.375% due 05/01/2016		11,000		10,808
EchoStar DBS Corp.
7.000% due 10/01/2013		600		609
7.125% due 02/01/2016		55,165		56,544
El Paso Corp.
7.000% due 06/15/2017		41,855		42,108
7.420% due 02/15/2037		1,375		1,343
7.800% due 08/01/2031		29,497		30,083
8.050% due 10/15/2030		6,710		7,021
Enterprise Products Operating LP
7.034% due 01/15/2068		4,840		4,395
8.375% due 08/01/2066		5,625		5,768
Ferrellgas Partners LP
7.120% due 08/01/2008 (k)		11,000		11,170
8.750% due 06/15/2012		17,155		17,713
8.870% due 08/01/2009 (k)		7,300		7,740
First Data Corp.
9.875% due 09/24/2015		69,095		64,345
Ford Motor Co.
7.125% due 11/15/2025		8,722		6,018
7.500% due 08/01/2026		19,800		14,157
9.215% due 09/15/2021		1,225		1,029
Freeport-McMoRan Copper & Gold, Inc.
8.250% due 04/01/2015		12,325		13,095
8.375% due 04/01/2017		47,175		50,713
8.394% due 04/01/2015		2,000		2,035
Freescale Semiconductor, Inc.
8.875% due 12/15/2014		58,305		52,329
9.125% due 12/15/2014 (b)		25,525		21,824
Fresenius Medical Care Capital Trust
7.875% due 06/15/2011		31,080		32,323
General Motors Corp.
7.700% due 04/15/2016		9,505		8,079
8.250% due 07/15/2023		22,025		17,620
8.375% due 07/15/2033		1,000		810
8.800% due 03/01/2021		1,000		845
Georgia-Pacific Corp.
7.000% due 01/15/2015		2,990		2,923
7.125% due 01/15/2017		15,500		15,151
7.250% due 06/01/2028		12,525		11,085
7.375% due 12/01/2025		33,410		29,568
8.000% due 01/15/2024		56,745		53,057
Goodyear Tire & Rubber Co.
8.625% due 12/01/2011		12		13
9.000% due 07/01/2015		21,322		22,708
HCA, Inc.
6.750% due 07/15/2013		25,438		22,767
7.190% due 11/15/2015		31,122		26,838
7.690% due 06/15/2025		7,525		6,268
8.750% due 09/01/2010		7,500		7,603
9.000% due 12/15/2014		7,936		7,690
9.250% due 11/15/2016		132,555		139,514
9.625% due 11/15/2016 (b)		5,400		5,724
Health Management Associates, Inc.
6.125% due 04/15/2016		6,550		5,711
Herbst Gaming, Inc.
7.000% due 11/15/2014		18,570		11,049
8.125% due 06/01/2012		5,945		3,909
Hertz Corp.
8.875% due 01/01/2014		56,936		58,004
Ineos Group Holdings PLC
8.500% due 02/15/2016		42,031		37,618
Ingles Markets, Inc.
8.875% due 12/01/2011		18,110		18,472
Intelsat Bermuda Ltd.
8.886% due 01/15/2015		1,500		1,511
9.250% due 06/15/2016		22,200		22,422
Intelsat Corp.
9.000% due 06/15/2016		950		962
Intelsat Subsidiary Holding Co. Ltd.
8.250% due 01/15/2013		1,840		1,858
8.625% due 01/15/2015		14,195		14,337
Jefferson Smurfit Corp. U.S.
7.500% due 06/01/2013		3,425		3,297
8.250% due 10/01/2012		8,298		8,215
JET Equipment Trust
7.630% due 08/15/2012 (a)		1,431		830
9.410% due 06/15/2010 (a)		757		704
10.000% due 06/15/2012 (a)		5,628		5,375
Kansas City Southern de Mexico S.A. de C.V.
9.375% due 05/01/2012		15,814		16,644
Legrand France S.A.
8.500% due 02/15/2025		16,900		19,708
MGM Mirage
6.625% due 07/15/2015		9,548		8,999
6.875% due 04/01/2016		34,850		33,020
7.500% due 06/01/2016		35,540		35,362
Nalco Co.
7.750% due 11/15/2011		10,680		10,867
8.875% due 11/15/2013		24,340		25,496
Norampac Industries, Inc.
6.750% due 06/01/2013		13,879		12,734
Nordic Telephone Co. Holdings ApS
8.875% due 05/01/2016		15,800		16,274
Nortel Networks Ltd.
9.492% due 07/15/2011		6,000		5,880
10.125% due 07/15/2013		41,200		42,642
10.750% due 07/15/2016		6,095		6,430
Northwest Airlines, Inc.
7.691% due 10/01/2018		2,762		2,685
Northwest Pipeline Corp.
7.125% due 12/01/2025		4,300		4,472
Novelis, Inc.
7.250% due 02/15/2015		6,632		6,267
OPTI Canada, Inc.
8.250% due 12/15/2014		18,265		18,174
Pilgrim’s Pride Corp.
7.625% due 05/01/2015		13,746		13,574
Plains Exploration & Production Co.
7.750% due 06/15/2015		2,300		2,312
Quebecor Media, Inc.
7.750% due 03/15/2016		33,440		32,270
Quiksilver, Inc.
6.875% due 04/15/2015		15,560		13,420
Qwest Communications International, Inc.
7.500% due 02/15/2014		99,559		99,808
Reynolds American, Inc.
7.750% due 06/01/2018		14,130		15,152
RH Donnelley Corp.
6.875% due 01/15/2013		9,125		8,212
8.875% due 01/15/2016		75,620		71,083
8.875% due 10/15/2017		35,605		33,113
Rockwood Specialties Group, Inc.
7.500% due 11/15/2014		13,525		13,457
Roseton
7.270% due 11/08/2010		35,650		36,096
7.670% due 11/08/2016		21,385		21,278
Royal Caribbean Cruises Ltd.
7.250% due 03/15/2018		22,450		21,665
Sanmina-SCI Corp.
8.125% due 03/01/2016		23,325		20,788
SemGroup LP
8.750% due 11/15/2015		44,050		42,068
Sensata Technologies BV
8.000% due 05/01/2014		45,525		43,021
Service Corp. International
7.375% due 10/01/2014		4,095		4,161
7.625% due 10/01/2018		6,415		6,479
Smurfit Capital Funding PLC
7.500% due 11/20/2025		5,300		5,035
Smurfit Kappa Funding PLC
7.750% due 04/01/2015		1,650		1,576
Smurfit-Stone Container Enterprises, Inc.
8.000% due 03/15/2017		13,655		13,262
8.375% due 07/01/2012		17,925		17,880
Sonat, Inc.
7.000% due 02/01/2018		7,109		7,203
Station Casinos, Inc.
6.875% due 03/01/2016		13,175		9,684
7.750% due 08/15/2016		26,895		24,407
Suburban Propane Partners LP
6.875% due 12/15/2013		25,585		24,945
Sungard Data Systems, Inc.
9.125% due 08/15/2013		52,706		53,892
Superior Essex Communications LLC
9.000% due 04/15/2012		9,195		8,873
SUPERVALU, Inc.
7.500% due 11/15/2014		9,350		9,630
Tenet Healthcare Corp.
7.375% due 02/01/2013		17,746		15,616
9.875% due 07/01/2014		560		536
Terex Corp.
8.000% due 11/15/2017		8,425		8,572
Tesoro Corp.
6.500% due 06/01/2017		11,200		11,144
6.625% due 11/01/2015		1,000		995
Tesoro Petroleum Corp.
7.466% due 07/17/2012 (k)		10,000		10,230
TransDigm, Inc.
7.750% due 07/15/2014		6,420		6,548
TRW Automotive, Inc.
7.000% due 03/15/2014		18,000		16,650
7.250% due 03/15/2017		24,100		21,750
U.S. Airways Group, Inc.
9.330% due 01/01/2049		3,121		24
United Airlines, Inc.
6.071% due 03/01/2013		2,935		2,921
6.201% due 09/01/2008		2,161		2,150
6.602% due 03/01/2015		2,720		2,707
7.032% due 10/01/2010		1,229		1,229
Unity Media GmbH
10.375% due 02/15/2015		11,350		11,634
Verso Paper Holdings LLC and Verson Paper, Inc.
9.125% due 08/01/2014		36,685		37,235
West Corp.
9.500% due 10/15/2014		11,925		11,746
11.000% due 10/15/2016		6,500		6,484
Williams Cos., Inc.
6.375% due 10/01/2010		5,610		5,701
7.625% due 07/15/2019		18,980		20,664
7.875% due 09/01/2021		57,918		64,506
Williams Partners LP
7.250% due 02/01/2017		6,100		6,313
Wynn Las Vegas Capital Corp.
6.625% due 12/01/2014		44,355		43,801
Xerox Capital Trust I
8.000% due 02/01/2027		16,205		16,224
				3,243,954
Utilities 11.2%
AES Corp.
8.000% due 10/15/2017		17,055		17,524
Cincinnati Bell Telephone Co.
6.300% due 12/01/2028		2,000		1,745
Cincinnati Bell, Inc.
7.250% due 07/15/2013		6,135		6,181
8.375% due 01/15/2014		31,025		30,404
Citizens Communications Co.
7.000% due 11/01/2025		1,650		1,382
7.125% due 03/15/2019		36,470		34,829
7.450% due 07/01/2035		5,460		4,573
7.875% due 01/15/2027		875		838
9.000% due 08/15/2031		20,660		20,712
Complete Production Services, Inc.
8.000% due 12/15/2016		8,180		7,955
Edison Mission Energy
7.000% due 05/15/2017		6,900		6,814
7.200% due 05/15/2019		13,195		13,030
7.625% due 05/15/2027		2,240		2,117
7.750% due 06/15/2016		7,770		8,042
Energy Future Holdings Corp.
10.875% due 11/01/2017		31,575		31,891
Hawaiian Telcom Communications, Inc.
9.750% due 05/01/2013		28,385		28,314
10.318% due 05/01/2013		6,225		6,303
Homer City Funding LLC
8.734% due 10/01/2026		11,737		12,852
Idearc, Inc.
8.000% due 11/15/2016		27,230		25,120
Kinder Morgan Finance Co.
5.700% due 01/05/2016		23,930		21,781
Knight, Inc.
5.150% due 03/01/2015		750		664
6.500% due 09/01/2012		3,500		3,496
MetroPCS Wireless, Inc.
9.250% due 11/01/2014		17,325		16,372
Midwest Generation LLC
8.560% due 01/02/2016		60,151		64,212
Nevada Power Co.
6.650% due 04/01/2036		1,225		1,246
Nextel Communications, Inc.
7.375% due 08/01/2015		10,280		10,130
NGPL Pipe Co. LLC
7.119% due 12/15/2017		23,550		24,190
NRG Energy, Inc.
7.250% due 02/01/2014		9,450		9,237
7.375% due 02/01/2016		61,340		59,960
7.375% due 01/15/2017		16,275		15,909
PSEG Energy Holdings LLC
8.500% due 06/15/2011		53,705		56,235
Qwest Corp.
7.200% due 11/10/2026		9,976		9,452
7.500% due 06/15/2023		21,406		20,603
8.875% due 03/15/2012		18,720		20,124
Reliant Energy, Inc.
6.750% due 12/15/2014		52,804		53,200
7.625% due 06/15/2014		17,345		17,258
7.875% due 06/15/2017		22,095		21,984
Rural Cellular Corp.
9.875% due 02/01/2010		23,665		24,671
Sierra Pacific Resources
6.750% due 08/15/2017		10,505		10,679
7.803% due 06/15/2012		1,062		1,113
South Point Energy Center LLC
8.400% due 05/30/2012 (f)		22,038		21,818
Tenaska Alabama Partners LP
7.000% due 06/30/2021		19,925		19,986
Time Warner Telecom Holdings, Inc.
9.250% due 02/15/2014		37,424		38,453
UBS Luxembourg S.A. for OJSC
Vimpel Communications
8.250% due 05/23/2016		4,500		4,511
Wilmington Trust Co. - Tucson Electric
10.732% due
01/01/2013 (k)		3,046		3,305
				811,215
Total Corporate Bonds & Notes (Cost $5,139,625)				5,028,585
CONVERTIBLE BONDS & NOTES 1.9%
Advanced Micro Devices, Inc.
6.000% due 05/01/2015		11,950		8,559
ArvinMeritor, Inc.
4.000% due 02/15/2027		1,350		1,019
Chesapeake Energy Corp.
2.500% due 05/15/2037		13,750		15,348
2.750% due 11/15/2035		4,375		5,141
Citigroup Funding, Inc.
1.080% due 08/31/2012		5,000		5,265
CMS Energy Corp.
2.875% due 12/01/2024		14,290		19,184
Deutsche Bank AG
0.000% due 07/14/2008		4,900		4,242
0.000% due 09/29/2008		3,425		2,985
0.000% due 10/24/2008		4,525		4,139
0.450% due 08/31/2012		8,000		8,634
Host Hotels & Resorts, Inc.
2.625% due 04/15/2027		1,450		1,245
LifePoint Hospitals, Inc.
3.500% due 05/15/2014		1,000		894
Morgan Stanley
1.700% due 10/15/2012		7,200		7,677
3.350% due 10/01/2012		17,775		17,061
Nortel Networks Corp.
1.750% due 04/15/2012		2,500		2,022
2.125% due 04/15/2014		11,900		9,282
NovaMed, Inc.
1.000% due 06/15/2012		200		167
Pride International, Inc.
3.250% due 05/01/2033		2,500		3,381
Qwest Communications International, Inc.
3.500% due 11/15/2025		12,375		16,567
Ventas, Inc.
3.875% due 11/15/2011		4,300		4,703
Total Convertible Bonds & Notes (Cost $141,660)				137,515
MUNICIPAL BONDS & NOTES 0.0%
Puerto Rico Sales Tax Financing Corp. Revenue
Bonds, (AMBAC Insured), Series 2007
0.000% due 08/01/2054		3,200		284
Total Municipal Bonds & Notes (Cost $268)				284
U.S. GOVERNMENT AGENCIES 13.3%
Fannie Mae
5.000% due 10/01/2033 - 02/01/2038		197,519		192,618
5.500% due 09/01/2017 - 01/01/2038		637,574		636,877
6.000% due 01/01/2038		91,900		93,322
Freddie Mac
5.500% due 01/01/2038 - 02/01/2038		40,000		39,894
Total U.S. Government Agencies (Cost $962,638)				962,711
MORTGAGE-BACKED SECURITIES 0.0%
RMF Commercial Mortgage Pass-Through Certificates
9.150% due 11/28/2027		665		657
Total Mortgage-Backed Securities (Cost $633)				657
FOREIGN CURRENCY-DENOMINATED ISSUES 3.9%
Amadeus Global Travel Distribution S.A.
6.567% due 04/08/2013	EUR	2,022		2,804
6.862% due 04/08/2014		460		641
6.959% due 04/08/2013		3,228		4,477
6.959% due 04/08/2013		460		638
7.209% due 04/08/2014		5,250		7,315
Bombardier, Inc.
7.250% due 11/15/2016		15,225		22,315
Lighthouse International Co. S.A.
8.000% due 04/30/2014		8,000		11,784
M&G Finance Luxembourg S.A.
7.500% due 03/29/2049		5,000		6,205
Nordic Telephone Co. Holdings ApS
6.675% due 11/30/2013		4,385		6,290
6.925% due 11/30/2014		7,250		10,440
8.250% due 05/01/2016		18,275		27,120
OI European Group BV
6.875% due 03/31/2017		2,000		2,807
Rockwood Specialties Group, Inc.
7.625% due 11/15/2014		9,900		14,257
Royal Bank of Scotland Group PLC
0.000% due 04/06/2011	GBP	7,322		13,903
Sensata Technologies BV
9.113% due 10/27/2013	EUR	14,000		19,484
SigmaKalon
6.719% due 06/30/2012		1,433		2,032
Telenet Bidco
7.000% due 07/31/2015		20,000		28,917
UPC Broadband Holding BV
6.296% due 12/31/2014		13,916		19,242
UPC Financing Partnership
5.942% due 12/31/2014		3,964		5,481
5.982% due 12/31/2014		3,500		4,840
7.042% due 12/31/2014		5,500		7,605
UPC Holding BV
7.750% due 01/15/2014		8,025		11,220
8.625% due 01/15/2014		18,550		26,918
Virgin Media Finance PLC
8.750% due 04/15/2014		18,000		25,791
Total Foreign Currency-Denominated Issues (Cost $264,399)				282,526
		Shares
COMMON STOCKS 0.0%
Reliant Resources, Inc. - Warrants Exp. 08/25/2008 (k)		65,885		1,404
U.S. Airways Group, Inc. ‘A’		12,224		0
Total Common Stocks (Cost $0)				1,404
CONVERTIBLE PREFERRED STOCKS 0.7%
Chesapeake Energy Corp.
4.500% due 12/31/2049		37,600		4,065
5.000% due 12/31/2049		40,200		4,759
El Paso Corp.
4.990% due 12/31/2049		5,250		7,394
Fannie Mae
5.375% due 12/31/2049		9		763
Freeport-McMoRan Copper & Gold, Inc.
6.750% due 05/01/2010		45,800		6,912
General Motors Corp.
5.250% due 05/01/2010		226,000		4,375
Vale Capital Ltd.
5.500% due 06/15/2010		224,500		14,396
Washington Mutual Capital Trust
5.375% due 05/03/2041		156,800		4,430
Total Convertible Preferred Stocks (Cost $41,693)				47,094
PREFERRED STOCKS 0.4%
Fresenius Medical Care Capital Trust II
7.875% due 02/01/2008		25,808		25,873
Total Preferred Stocks (Cost $26,540)				25,873
	Principal Amount (000s)
SHORT-TERM INSTRUMENTS 16.9%
Commercial Paper 14.4%
Bank of America Corp.
4.695% due 01/28/2008	$	150,000		149,511
Barclays U.S. Funding Corp.
5.075% due 01/18/2008		46,600		46,501
5.110% due 01/17/2008		40,700		40,619
DnB NORBank ASA
4.770% due 01/25/2008		10,000		9,971
5.050% due 01/25/2008		135,900		135,481
5.080% due 01/04/2008		77,000		76,989
General Electric Capital Corp.
3.750% due 01/02/2008		199,300		199,300
Royal Bank of Scotland Group PLC
4.780% due 01/24/2008		199,900		199,342
Skandinaviska Enskilda Banken AB
5.050% due 01/25/2008		10,800		10,767
5.125% due 01/11/2008		68,600		68,522
Swedbank AB
5.100% due 01/17/2008		75,300		75,150
UBS Finance Delaware LLC
4.690% due 01/28/2008		30,800		30,700
				1,042,853
Repurchase Agreements 1.9%
Fixed Income Clearing Corp.
1.750% due 01/02/2008		108,000		108,000
(Dated 12/31/2007. Collateralized by Fannie Mae 5.250% due 01/15/2009 valued at $60,172 and Freddie Mac 5.000% due 01/16/2009 valued at $49,992. Repurchase proceeds are $108,010.)
2.250% due 01/02/2008		21,000		21,000
(Dated 12/31/2007. Collateralized by Fannie Mae 5.250% due 01/15/2009 valued at $21,423. Repurchase proceeds are $21,003.)
3.900% due 01/02/2008		8,005		8,005
(Dated 12/31/2007. Collateralized by Fannie Mae 0.000% due 01/15/2008 valued at $8,170. Repurchase proceeds are $8,007.)				137,005
U.S. Treasury Bills 0.6%
2.955% due 02/28/2008 - 03/13/2008 (c)(d)		42,000		41,623
Total Short-Term Instruments (Cost $1,221,622)				1,221,481
PURCHASED OPTIONS (i) 1.8% (Cost $68,980)				129,742
Total Investments 116.4% (Cost $8,440,548)			$	8,397,632
Written Options (j) (1.5%) (Premiums $65,802)				(112,066	)
Other Assets and Liabilities (Net) (14.9%)				(1,073,446	)
Net Assets (e) 100.0%			$	7,212,120

Notes to Schedule of Investments (amounts in thousands*, except number of contracts):

* A zero balance may reflect actual amounts rounding to less than one thousand.

(a) Security is in default.

(b) Payment in-kind bond security.

(c) Coupon represents a weighted average rate.

(d) Securities with an aggregate market value of $40,129 have been pledged as collateral for swap and swaption contracts on December 31, 2007.

(e) As of December 31, 2007, portfolio securities with an aggregate value of $168,273 and derivative instruments with an aggregate depreciation of ($31,598) were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(f) Security is subject to a forbearance agreement entered into by the Fund which forbears the Fund from taking action to, among other things, accelerate and collect payments on the subject note with respect to specified events of default.

(g) Cash of $9,915 has been segregated with the custodian to cover margin requirements for the following open futures contracts on December 31, 2007:

Description	Type	Expiration Month	# of Contracts		Unrealized Appreciation
90-Day Euribor March Futures	Long	03/2009	1,070	$	372
90-Day Eurodollar December Futures	Long	12/2009	259		626
90-Day Eurodollar June Futures	Long	06/2008	2,864		1,653
90-Day Eurodollar March Futures	Long	03/2008	1,618		472
90-Day Eurodollar March Futures	Long	03/2009	2,204		5,994
90-Day Eurodollar September Futures	Long	09/2008	2,425		3,253
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2009	1,710		4,817
				$	17,187

(h) Swap agreements outstanding on December 31, 2007:

Credit Default Swaps on Securities

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Bank of America	ARAMARK Corp. 8.500 due 02/01/2015	Sell	1.300	%	09/20/2008	$	4,800	$	(9	)
Bank of America	ARAMARK Corp. 8.500 due 02/01/2015	Sell	2.302	%	06/20/2012		2,700		(161	)
Bank of America	Community Health Systems, Inc. 8.875% due 07/15/2015	Sell	2.830	%	09/20/2012		5,000		(228	)
Bank of America	Community Health Systems, Inc. 8.875% due 07/15/2015	Sell	2.850	%	09/20/2012		2,350		(105	)
Bank of America	Forest Oil Corp. 7.750% due 05/01/2014	Sell	2.400	%	03/20/2013		4,000		9
Bank of America	General Motors Corp. 7.125% due 07/15/2013	Sell	6.750	%	12/20/2012		3,000		(25	)
Bank of America	GMAC LLC 6.875% due 08/28/2012	Sell	7.000	%	12/20/2012		2,500		(27	)
Bank of America	HCA, Inc. 8.750% due 09/01/2010	Buy	(3.730	%)	09/01/2010		7,500		(154	)
Bank of America	Nortel Networks Corp. 4.250% due 09/01/2008	Sell	2.320	%	06/20/2012		5,000		(437	)
Bank of America	Qwest Capital Funding, Inc. 7.250% due 02/15/2011	Sell	3.290	%	12/20/2014		3,000		(86	)
Bank of America	SLM Corp. 5.125% due 08/27/2012	Sell	1.730	%	06/20/2012		9,000		(428	)
Barclays Bank PLC	Allied Waste North America, Inc. 7.375% due 04/15/2014	Sell	2.030	%	06/20/2012		2,700		(148	)
Barclays Bank PLC	Community Health Systems, Inc. 8.875% due 07/15/2015	Sell	2.800	%	09/20/2012		3,000		(140	)
Barclays Bank PLC	CSC Holdings, Inc. 7.625% due 07/15/2018	Sell	1.250	%	09/20/2008		4,675		41
Barclays Bank PLC	Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	3.870	%	09/20/2011		5,000		(373	)
Barclays Bank PLC	Freescale Semiconductor, Inc. 8.875% due 12/15/2014	Sell	3.620	%	06/20/2012		2,700		(279	)
Barclays Bank PLC	Intelsat Ltd. 6.500% due 11/01/2013	Buy	(1.300	%)	03/20/2010		8,000		714
Barclays Bank PLC	Intelsat Ltd. 6.500% due 11/01/2013	Sell	2.500	%	03/20/2012		8,000		(1,409	)
Barclays Bank PLC	Nortel Networks Corp. 4.250% due 09/01/2008	Sell	2.360	%	06/20/2012		2,700		(232	)
Barclays Bank PLC	RSHB Capital S.A. for OJSC Russian Agricultural Bank 7.175% due 05/16/2013	Sell	0.740	%	03/20/2009		12,500		(133	)
Barclays Bank PLC	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.760	%	02/20/2009		21,500		(173	)
Barclays Bank PLC	Sungard Data Systems, Inc. 9.125% due 08/15/2013	Sell	2.600	%	06/20/2012		2,700		(133	)
Barclays Bank PLC	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	2.360	%	01/20/2013		25,550		65
Bear Stearns & Co., Inc.	Cedar Fair LP 0.000% due 08/30/2011	Sell	1.120	%	03/20/2012		2,000		(137	)
Bear Stearns & Co., Inc.	Community Health Systems, Inc. 8.875% due 07/15/2015	Sell	2.850	%	09/20/2012		3,700		(166	)
Bear Stearns & Co., Inc.	Forest Oil Corp. 7.750% due 05/01/2014	Sell	2.420	%	09/20/2012		4,000		29
Bear Stearns & Co., Inc.	Roundy’s Supermarket, Inc. 0.000% due 10/27/2010	Sell	1.550	%	03/20/2012		2,000		(60	)
Citibank N.A.	ARAMARK Corp. 8.500 due 02/01/2015	Sell	2.300	%	06/20/2012		7,000		(417	)
Citibank N.A.	Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	1.800	%	12/20/2008		10,000		(416	)
Citibank N.A.	Forest Oil Corp. 7.750% due 05/01/2014	Sell	2.250	%	12/20/2012		15,000		(19	)
Citibank N.A.	Freescale Semiconductor, Inc. 8.875% due 12/15/2014	Sell	3.500	%	06/20/2012		4,900		(526	)
Citibank N.A.	General Motors Corp. 7.125% due 07/15/2013	Sell	4.250	%	09/20/2008		1,600		0
Citibank N.A.	General Motors Corp. 7.125% due 07/15/2013	Sell	5.750	%	09/20/2012		2,000		(77	)
Citibank N.A.	General Motors Corp. 7.125% due 07/15/2013	Sell	7.100	%	09/20/2012		20,000		137
Citibank N.A.	GMAC LLC 6.875% due 08/28/2012	Sell	1.120	%	12/20/2008		10,650		(651	)
Citibank N.A.	GMAC LLC 6.875% due 08/28/2012	Sell	7.280	%	06/20/2012		15,500		(118	)
Citibank N.A.	HCA, Inc. 9.125% due 11/15/2014	Sell	2.000	%	09/20/2012		4,400		(206	)
Citibank N.A.	Nortel Networks Corp. 4.250% due 09/01/2008	Sell	2.050	%	06/20/2011		4,400		(282	)
Citibank N.A.	Nortel Networks Corp. 4.250% due 09/01/2008	Sell	2.300	%	06/20/2012		3,500		(309	)
Citibank N.A.	Nortel Networks Corp. 4.250% due 09/01/2008	Sell	2.400	%	06/20/2012		8,000		(676	)
Citibank N.A.	Nortel Networks Corp. 4.250% due 09/01/2008	Sell	2.600	%	09/20/2012		2,375		(203	)
Citibank N.A.	Qwest Capital Funding, Inc. 7.750% due 02/15/2031	Sell	3.350	%	12/20/2012		5,600		4
Citibank N.A.	Williams Cos., Inc. 6.375% due 10/01/2010	Buy	(0.770	%)	10/01/2010		5,000		(44	)
Credit Suisse USA, Inc.	Abitibi-Consolidated Co. of Canada 8.375% due 04/01/2015	Sell	0.650	%	03/20/2008		8,200		(186	)
Credit Suisse USA, Inc.	Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	0.750	%	03/20/2008		9,000		(78	)
Credit Suisse USA, Inc.	Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	1.450	%	12/20/2008		12,000		(538	)
Credit Suisse USA, Inc.	Qwest Capital Funding, Inc. 7.250% due 02/15/2011	Sell	3.100	%	12/20/2012		5,000		0
Credit Suisse USA, Inc.	Sanmina-SCI Corp. 8.125% due 03/01/2016	Sell	4.220	%	09/20/2012		1,000		(69	)
Deutsche Bank AG	Chrysler Financial 9.360% due 08/03/2012	Sell	5.250	%	09/20/2012		3,500		70
Deutsche Bank AG	GMAC LLC 6.875% due 08/28/2012	Sell	6.850	%	12/20/2008		3,650		(35	)
Deutsche Bank AG	GMAC LLC 6.875% due 08/28/2012	Sell	6.150	%	09/20/2012		5,250		(181	)
Deutsche Bank AG	GMAC LLC 6.875% due 08/28/2012	Sell	6.350	%	12/20/2012		3,650		(102	)
Goldman Sachs & Co.	ARAMARK Corp. 8.500 due 02/01/2015	Sell	3.150	%	09/20/2012		5,000		(167	)
Goldman Sachs & Co.	General Motors Corp. 7.125% due 07/15/2013	Sell	6.700	%	12/20/2012		3,000		(30	)
Goldman Sachs & Co.	GMAC LLC 6.875% due 08/28/2012	Sell	6.800	%	12/20/2012		5,000		0
HSBC Bank USA	NAK Naftogaz Ukrainy 8.125% due 09/30/2009	Sell	2.900	%	04/20/2008		10,000		30
HSBC Bank USA	NAK Naftogaz Ukrainy 8.125% due 09/30/2009	Sell	3.000	%	04/20/2008		10,000		(37	)
JPMorgan Chase & Co.	GMAC LLC 6.875% due 08/28/2012	Sell	2.110	%	03/20/2012		10,000		(1,346	)
JPMorgan Chase & Co.	Multiple Reference Entities of Gazprom	Sell	0.770	%	02/20/2012		20,000		(576	)
Lehman Brothers, Inc.	Abitibi-Consolidated Co. of Canada 8.375% due 04/01/2015	Sell	6.750	%	09/20/2008		3,200		(60	)
Lehman Brothers, Inc.	ARAMARK Corp. 8.500 due 02/01/2015	Sell	2.150	%	09/20/2008		2,500		11
Lehman Brothers, Inc.	ArvinMeritor, Inc. 8.750% due 03/01/2012	Sell	2.350	%	12/20/2009		2,000		(72	)
Lehman Brothers, Inc.	Bon-Ton Stores, Inc. 10.250% due 03/15/2014	Sell	3.500	%	09/20/2008		5,000		(172	)
Lehman Brothers, Inc.	Celestica, Inc. 7.625% due 07/01/2013	Sell	4.250	%	09/20/2012		1,000		(29	)
Lehman Brothers, Inc.	Chesapeake Energy Corp. 6.875% due 01/15/2016	Sell	2.000	%	03/20/2013		12,000		46
Lehman Brothers, Inc.	CSC Holdings, Inc. 7.625% due 07/15/2018	Sell	2.520	%	09/20/2012		1,000		(59	)
Lehman Brothers, Inc.	Ford Motor Credit Co. LLC 7.250% due 10/25/2011	Sell	4.000	%	12/20/2008		1,000		(21	)
Lehman Brothers, Inc.	Freescale Semiconductor, Inc. 8.875% due 12/15/2014	Sell	2.400	%	09/20/2008		4,875		(28	)
Lehman Brothers, Inc.	Freescale Semiconductor, Inc. 8.875% due 12/15/2014	Sell	2.750	%	09/20/2008		2,750		(9	)
Lehman Brothers, Inc.	GMAC LLC 6.875% due 08/28/2012	Sell	3.650	%	09/20/2008		2,000		(57	)
Lehman Brothers, Inc.	GMAC LLC 6.875% due 08/28/2012	Sell	6.800	%	12/20/2008		5,000		(51	)
Lehman Brothers, Inc.	GMAC LLC 6.875% due 08/28/2012	Sell	8.000	%	12/20/2012		1,000		16
Lehman Brothers, Inc.	GMAC LLC 6.875% due 08/28/2012	Sell	6.050	%	09/20/2017		5,000		(74	)
Lehman Brothers, Inc.	HCA, Inc. 6.950% due 05/01/2012	Sell	3.040	%	09/20/2012		3,000		(133	)
Lehman Brothers, Inc.	HCA, Inc. 7.858% due 11/16/2012	Sell	1.250	%	09/20/2008		4,900		(14	)
Lehman Brothers, Inc.	Nortel Networks Corp. 4.250% due 09/01/2008	Sell	1.400	%	09/20/2008		4,450		(24	)
Lehman Brothers, Inc.	Nortel Networks Corp. 4.250% due 09/01/2008	Buy	(1.520	%)	06/20/2010		4,400		211
Lehman Brothers, Inc.	NRG Energy, Inc. 7.250% due 02/01/2014	Sell	0.750	%	03/20/2008		24,200		(6	)
Lehman Brothers, Inc.	Qwest Capital Funding, Inc. 7.250% due 02/15/2011	Sell	3.000	%	12/20/2012		400		(6	)
Lehman Brothers, Inc.	RH Donnelley Corp. 8.875% due 01/15/2016	Sell	3.450	%	09/20/2012		3,000		(153	)
Lehman Brothers, Inc.	Sanmina-SCI Corp. 8.125% due 03/01/2016	Sell	3.000	%	09/20/2008		2,000		(1	)
Lehman Brothers, Inc.	Sanmina-SCI Corp. 8.125% due 03/01/2016	Sell	5.450	%	09/20/2012		1,000		(22	)
Lehman Brothers, Inc.	Tribune Co. 7.358% due 05/17/2013	Sell	3.000	%	03/20/2011		5,000		191
Lehman Brothers, Inc.	TRW Automotive, Inc. 9.375% due 02/15/2013	Sell	0.950	%	09/20/2008		1,975		(15	)
Merrill Lynch & Co., Inc.	CSC Holdings, Inc. 7.625% due 07/15/2018	Sell	2.080	%	06/20/2012		5,500		(379	)
Merrill Lynch & Co., Inc.	Dynegy Holdings, Inc. 6.875% due 04/01/2011	Sell	1.800	%	09/20/2008		2,700		2
Merrill Lynch & Co., Inc.	Ford Motor Co. 7.450% due 07/16/2031	Buy	(2.850	%)	12/20/2008		18,000		234
Merrill Lynch & Co., Inc.	Ford Motor Co. 7.450% due 07/16/2031	Sell	4.850	%	12/20/2010		18,000		(792	)
Merrill Lynch & Co., Inc.	General Motors Corp. 7.125% due 07/15/2013	Sell	6.700	%	12/20/2012		6,150		(62	)
Merrill Lynch & Co., Inc.	Georgia-Pacific LLC 7.750% due 11/15/2029	Sell	3.400	%	12/20/2012		3,000		(14	)
Merrill Lynch & Co., Inc.	Georgia-Pacific LLC 7.750% due 11/15/2029	Sell	3.600	%	12/20/2012		5,000		14
Merrill Lynch & Co., Inc.	GMAC LLC 6.875% due 08/28/2012	Sell	5.000	%	09/20/2008		2,000		(37	)
Merrill Lynch & Co., Inc.	GMAC LLC 6.875% due 08/28/2012	Sell	6.300	%	12/20/2012		30,500		(863	)
Merrill Lynch & Co., Inc.	GMAC LLC 6.875% due 08/28/2012	Sell	7.000	%	12/20/2012		25,000		(272	)
Merrill Lynch & Co., Inc.	Lyondell Chemical Co. 10.500% due 06/01/2013	Sell	2.950	%	12/20/2009		5,000		76
Morgan Stanley	Allied Waste North America, Inc. 7.375% due 04/15/2014	Buy	(1.120	%)	06/20/2010		4,400		118
Morgan Stanley	Allied Waste North America, Inc. 7.375% due 04/15/2014	Sell	2.020	%	06/20/2012		1,700		(94	)
Morgan Stanley	CSC Holdings, Inc. 7.625% due 04/01/2011	Sell	2.010	%	06/20/2012		1,000		(72	)
Morgan Stanley	GMAC LLC 6.875% due 08/28/2012	Sell	6.560	%	12/20/2012		11,500		(257	)
Morgan Stanley	Multiple Reference Entities of Gazprom	Sell	1.050	%	04/20/2011		15,500		(214	)
Morgan Stanley	Multiple Reference Entities of Gazprom	Sell	1.070	%	04/20/2011		25,000		(328	)
Morgan Stanley	Nortel Networks Corp. 4.250% due 09/01/2008	Sell	2.630	%	09/20/2012		2,375		(200	)
Morgan Stanley	Reliant Energy, Inc. 6.750% due 12/15/2014	Sell	2.200	%	06/20/2012		6,050		(368	)
Morgan Stanley	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.245	%	06/20/2008		4,900		(6	)
Royal Bank of Scotland Group PLC	NRG Energy, Inc. 7.250% due 02/01/2014	Sell	1.500	%	09/20/2008		4,950		6
UBS Warburg LLC	Tenet Healthcare Corp. 7.375% due 02/01/2013	Buy	(1.150	%)	03/20/2009		500		16
								$	(15,256	)

Credit Default Swaps on Credit Indices

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Deutsche Bank AG	Dow Jones CDX N.A. HY9 Index	Buy	(3.750	%)	12/20/2012	$	12,500	$	115
Goldman Sachs & Co.	Dow Jones CDX N.A. HY9 Index	Sell	3.750	%	12/20/2012		12,500		(115	)
Lehman Brothers, Inc.	Dow Jones CDX N.A. HY9 Index	Sell	3.330	%	12/20/2012		32,800		190
Lehman Brothers, Inc.	LCDX N.A. Series 9 Index	Sell	2.250	%	12/20/2012		5,000		(33	)
Merrill Lynch & Co., Inc.	Dow Jones CDX N.A. HY9 Index	Sell	3.080	%	12/20/2012		29,200		(196	)
Merrill Lynch & Co., Inc.	Dow Jones CDX N.A. HY9 Index	Sell	3.230	%	12/20/2012		35,600		(26	)
								$	(65	)

⁽¹⁾ If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will pay to the buyer of the protection an amount up to the notional value of the swap and in certain instances, take delivery of the security. As a buyer of protection, the Fund will generally receive from the seller of protection an amount up to the notional amount of the swap if a credit event occurs.

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date			Notional Amount	Unrealized Appreciation/ (Depreciation)
Barclays Bank PLC	BRL-CDI-Compounded	Pay	10.680	%	01/02/2012		BRL	370,500	$	(11,297	)
Goldman Sachs & Co.	BRL-CDI-Compounded	Pay	10.150	%	01/02/2012			45,100		(1,513	)
Morgan Stanley	BRL-CDI-Compounded	Pay	10.115	%	01/02/2012			478,100		(18,708	)
UBS Warburg LLC	BRL-CDI-Compounded	Pay	10.575	%	01/02/2012			2,600		(81	)
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	7.910	%	05/14/2009		MXN	373,000		(110	)
Morgan Stanley	28-Day Mexico Interbank TIIE Banxico	Pay	7.910	%	05/14/2009			455,000		(135	)
Barclays Bank PLC	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010	$		144,100		386
Barclays Bank PLC	3-Month USD-LIBOR	Pay	5.000	%	06/18/2010			29,500		92
Deutsche Bank AG	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010			406,600		584
Morgan Stanley	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010			70,300		317
Morgan Stanley	3-Month USD-LIBOR	Pay	5.000	%	06/18/2018			115,600		2,167
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010			159,900		9
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.000	%	06/18/2013			4,300		36
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	06/18/2018			64,800		648
									$	(27,605	)

Total Return Swaps

Counterparty	Type	Receive Total Return	Pay	Expiration Date	# of Contracts		Unrealized Appreciation/ (Depreciation	)
Merrill Lynch & Co., Inc.	Long	Financial Select Sector SPDR Fund		01/23/2008	515,000	$	(1,258	)
Merrill Lynch & Co., Inc.	Long	Motorola, Inc.		01/23/2008	146,500		(441	)
Merrill Lynch & Co., Inc.	Long	NRG Energy, Inc.		01/23/2008	255,400		(504	)
Merrill Lynch & Co., Inc.	Long	SandRidge Energy, Inc.		01/23/2008	254,900		840
Merrill Lynch & Co., Inc.	Long	Financial Select Sector SPDR Fund		01/28/2008	150,000		(112	)
						$	(1,475	)

(i) Purchased options outstanding on December 31, 2007:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Cost		Value
Call - CME 90-Day Eurodollar March Futures	$	95.750	03/17/2008	1,098	$	566	$	460

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Cost		Value
Call - OTC 2-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Pay	4.720	%	12/31/2008	$	447,000	$	3,654	$	8,599
Call - OTC 2-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Pay	4.250	%	07/06/2009		914,900		8,875		10,832
Call - OTC 2-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Pay	4.750	%	09/08/2009		1,356,000		12,068		22,360
Call - OTC 2-Year Interest Rate Swap	Credit Suisse USA, Inc.	3-Month USD-LIBOR	Pay	4.750	%	09/08/2009		244,800		2,678		4,037
Call - OTC 2-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	4.250	%	07/06/2009		885,100		8,873		10,479
Call - OTC 2-Year Interest Rate Swap	Merrill Lynch & Co., Inc.	3-Month USD-LIBOR	Pay	4.750	%	09/22/2008		1,223,000		9,234		25,457
Call - OTC 2-Year Interest Rate Swap	Morgan Stanley	3-Month USD-LIBOR	Pay	4.250	%	07/06/2009		699,300		6,678		8,375
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	09/22/2008		1,381,000		9,564		28,746
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	09/08/2009		630,500		6,790		10,397
									$	68,414	$	129,282

(j) Written options outstanding on December 31, 2007:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Value
Call - CME 90-Day Eurodollar March Futures	$	96.000	03/14/2008	1,098	$	628	$	1,908

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Value
Call - OTC 7-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Receive	5.220	%	12/31/2008	$	149,000	$	3,472	$	7,107
Call - OTC 7-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Receive	4.900	%	07/06/2009		305,100		8,512		10,467
Call - OTC 7-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Receive	5.150	%	09/08/2009		452,000		11,707		18,874
Call - OTC 7-Year Interest Rate Swap	Credit Suisse USA, Inc.	3-Month USD-LIBOR	Receive	5.150	%	09/08/2009		68,100		2,109		2,844
Call - OTC 7-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	4.900	%	07/06/2009		311,500		8,804		10,686
Call - OTC 7-Year Interest Rate Swap	Merrill Lynch & Co., Inc.	3-Month USD-LIBOR	Receive	5.230	%	09/22/2008		408,000		8,674		20,345
Call - OTC 7-Year Interest Rate Swap	Morgan Stanley	3-Month USD-LIBOR	Receive	4.900	%	07/06/2009		233,100		6,573		8,092
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.230	%	09/22/2008		460,300		8,815		22,953
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.150	%	09/08/2009		210,500		6,508		8,790
									$	65,174	$	110,158

(k) Restricted securities as of December 31, 2007:

Issuer Description	Coupon		Maturity Date	Acquisition Date		Cost		Market Value	Market Value as Percentage of Net Assets
Continental Airlines, Inc.	6.920	%	04/02/2013	07/01/2003	$	16,975	$	18,401	0.26	%
Ferrellgas Partners LP	7.120	%	08/01/2008	04/30/2002		5,009		5,077	0.07	%
Ferrellgas Partners LP	7.120	%	08/01/2008	01/15/2004		6,011		6,093	0.09	%
Ferrellgas Partners LP	7.240	%	08/01/2010	10/17/2001		2,998		3,119	0.04	%
Ferrellgas Partners LP	7.240	%	08/01/2010	04/30/2002		6,995		7,278	0.10	%
Ferrellgas Partners LP	7.240	%	08/01/2010	01/22/2004		9,993		10,397	0.14	%
Ferrellgas Partners LP	7.240	%	08/01/2010	04/24/2006		5,996		6,238	0.09	%
Ferrellgas Partners LP	8.870	%	08/01/2009	06/30/2003		7,580		7,740	0.11	%
Reliant Resources, Inc. - Warrants Exp. 08/25/2008	N/A		N/A	07/15/2004		0		1,404	0.02	%
Tesoro Petroleum Corp.	7.466	%	07/17/2012	11/17/2004		9,966		10,230	0.14	%
Wilmington Trust Co.	10.210	%	01/01/2009	06/29/1993		84		85	0.00	%
Wilmington Trust Co.	10.732	%	01/01/2013	01/07/1993		709		781	0.01	%
Wilmington Trust Co.	10.732	%	01/01/2013	05/09/1995		2,232		2,461	0.03	%
Wilmington Trust Co.	10.732	%	01/01/2013	07/28/1995		1,553		1,713	0.02	%
Wilmington Trust Co.	10.732	%	01/01/2013	05/16/2003		388		428	0.01	%
Wilmington Trust Co. - Tucson Electric	10.732	%	01/01/2013	05/09/1995		41		45	0.00	%
Wilmington Trust Co. - Tucson Electric	10.732	%	01/01/2013	07/28/1995		1,756		1,919	0.03	%
Wilmington Trust Co. - Tucson Electric	10.732	%	01/01/2013	02/15/2000		641		694	0.01	%
Wilmington Trust Co. - Tucson Electric	10.732	%	01/01/2013	05/16/2003		593		647	0.01	%
					$	79,520	$	84,750	1.18	%

(l) Foreign currency contracts outstanding on December 31, 2007:

Type	Currency	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Unrealized Appreciation/ (Depreciation)
Buy	BRL	54,437	03/2008	$	1,514	$	0		$	1,514
Buy		164,576	07/2008		5,956		0			5,956
Buy	CHF	697	03/2008		0		(3	)		(3	)
Buy	EUR	30,117	01/2008		0		(290	)		(290	)
Sell		186,743	01/2008		430		0			430
Sell	GBP	27,204	01/2008		693		0			693
Buy	INR	3,215,148	05/2008		1,976		0			1,976
Buy	JPY	506,416	02/2008		0		(10	)		(10	)
Buy	KRW	46,200,305	05/2008		171		0			171
Buy		25,138,685	08/2008		0		(589	)		(589	)
Buy	MXN	559,647	03/2008		0		(193	)		(193	)
Buy		301,854	07/2008		208		0			208
Buy	RUB	2,458,528	01/2008		2,958		0			2,958
Sell		2,458,528	01/2008		263		0			263
Buy		487,266	07/2008		463		0			463
Buy		2,458,528	11/2008		0		(304	)		(304	)
				$	14,632	$	(1,389	)	$	13,243

See accompanying notes

Schedule of Investments

High Yield Municipal Bond Fund

December 31, 2007 (Unaudited)

		Principal Amount (000s	)		Value (000s	)
MUNICIPAL BONDS & NOTES 92.2%
Alabama 1.2%
Butler, Alabama Industrial Development Board Revenue Bonds, Series 1993
5.900% due 12/01/2012	$	50		$	50
Montgomery, Alabama Medical Clinic Board Revenue Bonds, Series 2006
5.250% due 03/01/2031		250			231
Tuscaloosa, Alabama Educational Building Authority Revenue Bonds, Series 2007
5.000% due 06/01/2026		1,500			1,367
					1,648
Alaska 1.0%
Alaska State Industrial Development & Export Authority Revenue Bonds, Series 2007
6.000% due 12/01/2036		1,400			1,321
Arizona 2.5%
Arizona State Health Facilities Authority Revenue Bonds, Series 2007
5.200% due 10/01/2037		1,250			1,029
Pima County, Arizona Industrial Development Authority Revenue Bonds, Series 2006
6.375% due 06/01/2036		1,500			1,470
Pima County, Arizona Industrial Development Authority Revenue Bonds, Series 2007
5.625% due 07/01/2038		1,000			930
					3,429
California 5.7%
California State Sierra Kings Health Care District Revenue Bonds, Series 2006
6.000% due 12/01/2036		195			175
California Statewide Communities Development Authority Revenue Bonds, Series 2007
5.300% due 10/01/2037		1,070			986
5.500% due 11/01/2038		1,500			1,430
9.000% due 11/01/2017		500			521
Dinuba, California Financing Authority Revenue Bonds, Series 2007
5.375% due 09/01/2038		200			193
Golden State, California Tobacco Securitization Corporations Revenue Bonds, Series 2007
5.125% due 06/01/2047		5,000			4,205
Los Angeles, California Regional Airports Improvement Corp. Revenue Bonds, Series 2002
7.500% due 12/01/2024		250			264
					7,774
Colorado 7.1%
Colorado State Educational & Cultural Facilities Authority Revenue Bonds, Series 2007
5.700% due 05/01/2037		800			727
5.750% due 05/15/2037		855			795
5.750% due 12/01/2037		1,000			926
Colorado State Health Facilities Authority Revenue Bonds, Series 2007
5.300% due 07/01/2037		2,350			2,015
5.900% due 08/01/2037		1,000			914
Colorado State Housing & Finance Authority Revenue Bonds, Series 2007
5.875% due 06/01/2037		1,500			1,436
Confluence Metropolitan District, Colorado Revenue Bonds, Series 2007
5.400% due 12/01/2027		500			443
5.450% due 12/01/2034		1,000			864
Copperleaf, Colorado Metropolitan District No. 2 General Obligation Bonds, Series 2006
5.950% due 12/01/2036		500			418
Madre, Colorado Metropolitan District No. 2 General Obligation Bonds, Series 2007
5.500% due 12/01/2036		900			732
Tallyns Reach, Colorado Metropolitan District No. 3 General Obligation Bonds, Series 2007
5.200% due 12/01/2036		500			406
					9,676
Florida 5.6%
Beacon Lakes, Florida Community Development District Special Assessment Bonds, Series 2007
6.000% due 05/01/2038		500			440
Florida State Development Finance Corp. Revenue Bonds, Series 2007
6.000% due 02/15/2037		250			237
Hillsborough County, Florida Industrial Development Authority Revenue Bonds, Series 2007
5.125% due 05/15/2037		1,000			908
Jacksonville, Florida Economic Development Commission Revenue Bonds, Series 2007
5.300% due 05/01/2037		2,500			2,152
Lee County, Florida Industrial Development Authority Revenue Bonds, Series 2007
5.375% due 06/15/2037		1,500			1,335
Sarasota County, Florida Health Facility Authority Revenue Bonds, Series 2007
5.750% due 07/01/2037		1,680			1,526
University Square, Florida Community Development District Special Assessment Bonds, Series 2007
5.875% due 05/01/2038		1,250			1,084
					7,682
Georgia 1.1%
Fulton County, Georgia Revenue Bonds, Series 2006
5.125% due 07/01/2042		250			204
Georgia State Medical Center Hospital Authority Revenue Bonds, Series 2007
5.250% due 07/01/2037		1,500			1,281
					1,485
Illinois 8.3%
Belleville, Illinois Frank Scott Parkway Redevelopment Authority Tax Allocation Bonds, Series 2007
5.700% due 05/01/2036		1,000			937
Granite City, Illinois Revenue Bonds, Series 2007
5.125% due 04/01/2027		1,645			1,499
Illinois State Finance Authority Revenue Bonds, Series 2006
5.875% due 02/15/2038		200			182
Illinois State Finance Authority Revenue Bonds, Series 2007
5.000% due 12/01/2036		250			219
5.375% due 11/15/2039		1,600			1,359
5.500% due 05/15/2037		750			682
6.100% due 12/01/2041		1,650			1,524
7.000% due 12/01/2037		1,000			989
Illinois State Finance Authority Sports Facilities Revenue Bonds, Series 2007
6.000% due 03/01/2037		1,775			1,702
Southwestern Illinois State Development Authority Revenue Bonds, Series 2007
5.350% due 03/01/2031		1,250			1,145
6.625% due 06/01/2037		1,000			983
					11,221
Indiana 1.9%
East Chicago, Indiana Revenue Bonds, Series 1999
6.375% due 08/01/2029		100			100
Indiana State Health & Educational Facilities Financing Authority Revenue Bonds, Series 2007
5.500% due 03/01/2037		1,000			921
Vigo County, Indiana Hospital Authority Revenue Bonds, Series 2007
5.700% due 09/01/2037		1,650			1,493
					2,514
Iowa 3.0%
Iowa State Finance Authority Revenue Bonds, Series 2006
5.450% due 11/01/2026		175			160
Iowa State Finance Authority Revenue Bonds, Series 2007
5.500% due 11/15/2027		900			821
5.500% due 11/15/2037		1,150			990
5.625% due 12/01/2045		2,150			1,873
Iowa State Higher Education Loan Authority Revenue Bonds, Series 2006
5.100% due 10/01/2036		200			186
					4,030
Kansas 2.4%
Labette County, Kansas Revenue Bonds, Series 2007
5.750% due 09/01/2037		1,100			1,097
Lenexa, Kansas Revenue Bonds, Series 2007
5.500% due 05/15/2039		1,000			885
Manhattan, Kansas Revenue Bonds, Series 2007
5.125% due 05/15/2042		250			203
5.500% due 08/01/2021		500			467
Olathe, Kansas Tax Allocation Bonds, Series 2007
5.500% due 09/01/2026		690			644
					3,296
Maryland 0.8%
Maryland State Economic Development Corp. Revenue Bonds, Series 2006
5.000% due 12/01/2031		500			433
Maryland State Health & Higher Educational Facilities Authority Revenue Bonds, Series 2007
5.300% due 01/01/2037		800			692
					1,125
Massachusetts 2.4%
Massachusetts State Development Finance Agency Revenue Bonds, Series 2007
5.200% due 11/01/2041		1,000			797
5.750% due 11/15/2042		1,500			1,330
6.750% due 10/15/2037		1,250			1,180
					3,307
Michigan 5.7%
Corner Creek Academy East, Michigan Revenue Bonds, (GO OF INSTN Insured), Series 2007
5.250% due 11/01/2036		250			215
Crescent Academy, Michigan Certificates of Participation Bonds, Series 2006
5.750% due 12/01/2036		500			445
Doctor Charles Drew Academy, Michigan Certificates of Participation Bonds, Series 2006
5.700% due 11/01/2036		450			396
East Lansing, Michigan Economic Corp. Revenue Bonds, Series 2007
5.250% due 07/01/2037		800			671
Garden City, Michigan Hospital Finance Authority Revenue Bonds, Series 2007
5.000% due 08/15/2038		250			207
Hillsdale, Michigan Hospital Finance Authority Revenue Bonds, Series 1998
5.000% due 05/15/2013		100			100
Meridian, Michigan Economic Development Corp. Revenue Bonds, Series 2007
5.250% due 07/01/2026		995			902
Michigan State Grand Traverse Academy Revenue Bonds, Series 2007
5.000% due 11/01/2036		900			802
Michigan State Public Educational Facilities Authority Revenue Bonds, Series 2007
5.000% due 09/01/2036		2,500			2,212
6.500% due 09/01/2037		1,000			978
Michigan State Tobacco Settlement Finance Authority Revenue Bonds, Series 2007
6.000% due 06/01/2048		750			727
Royal Oak, Michigan Hospital Finance Authority Revenue Bonds, (AMBAC Insured), Series 2007
3.440% due 01/01/2020		150			150
					7,805
Minnesota 3.4%
Falcon Heights, Minnesota Revenue Bonds, Series 2007
6.000% due 11/01/2037		400			371
Minneapolis, Minnesota Revenue Bonds, Series 2007
5.400% due 04/01/2028		725			670
5.750% due 10/01/2037		1,500			1,397
Minneapolis, Minnesota Tax Allocation Bonds, Series 2006
5.350% due 02/01/2030		200			178
Mora, Minnesota Revenue Bonds, Series 2006
5.625% due 07/01/2033		500			460
North Oaks, Minnesota Revenue Bonds, Series 2007
6.125% due 10/01/2039		250			243
Orono, Minnesota Revenue Bonds, Series 2006
5.400% due 11/01/2041		300			267
St. Paul, Minnesota Housing & Redevelopment Authority Revenue Bonds, Series 2007
5.375% due 05/01/2043		650			537
Stillwater, Minnesota Revenue Bonds, Series 2007
5.375% due 02/01/2032		500			451
					4,574
Missouri 3.4%
Branson, Missouri Regional Airport Transportation Development District Revenue Bonds, Series 2007
6.000% due 07/01/2025		1,900			1,807
6.000% due 07/01/2037		750			709
Cottleville, Missouri Certificates of Participation Bonds, Series 2006
5.250% due 08/01/2031		250			251
Grindstone Plaza, Missouri Transportation Development District Sales Tax Revenue Bonds, Series 2006
5.500% due 10/01/2031		250			223
5.550% due 10/01/2036		250			221
Joplin, Missouri Industrial Development Authority Revenue Bonds, Series 2007
5.750% due 05/15/2031		1,485			1,384
					4,595
Montana 0.4%
Hardin, Montana Tax Increment Infrastructure Development Tax Allocation Bonds, Series 2006
0.000% due 09/01/2031 (c)		830			500
New Jersey 3.8%
Middlesex County, New Jersey Improvement Authority Revenue Bonds, Series 2005
6.125% due 01/01/2025		1,900			1,866
New Jersey State Economic Development Authority Revenue Bonds, Series 2000
7.000% due 11/15/2030		60			61
New Jersey State Economic Development Authority Revenue Bonds, Series 2006
5.375% due 11/01/2036		1,750			1,509
New Jersey State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2007
5.000% due 06/01/2041		2,000			1,663
					5,099
New Mexico 0.8%
New Mexico State Hospital Equipment Loan Council Revenue Bonds, Series 2007
5.250% due 08/15/2026		500			445
Otero County, New Mexico Revenue Bonds, Series 2007
6.000% due 04/01/2028		650			633
					1,078
New York 1.7%
Erie County, New York Industrial Development Agency Revenue Bonds, Series 2006
6.000% due 11/15/2036		150			134
Nassau County, New York Industrial Development Agency Revenue Bonds, Series 2007
6.700% due 01/01/2043		1,500			1,499
New York City, New York Industrial Development Agency Revenue Bonds, Series 2005
7.625% due 08/01/2025		500			544
7.750% due 08/01/2031		150			163
					2,340
North Carolina 0.2%
Charlotte, North Carolina Revenue Bonds, Series 1998
5.600% due 07/01/2027		150			138
Charlotte, North Carolina Revenue Bonds, Series 2000
7.750% due 02/01/2028		60			62
North Carolina State Medical Care Commission Revenue Bonds, Series 2006
5.100% due 10/01/2030		50			43
					243
Ohio 4.2%
Ohio State Buckeye Tobacco Settlement Financing Authority Revenue Bonds, Series 2007
5.875% due 06/01/2047		5,500			5,253
6.000% due 06/01/2042		450			441
					5,694
Pennsylvania 4.5%
Allegheny County, Pennsylvania Hospital Development Authority Revenue Bonds, Series 2007
5.375% due 11/15/2040		3,500			3,031
Harrisburg, Pennsylvania Authority Revenue Bonds, Series 2007
6.000% due 09/01/2036		500			490
Lancaster County, Pennsylvania Hospital Authority Revenue Bonds, Series 2008
6.250% due 07/01/2026 (a)		250			249
6.375% due 07/01/2030 (a)		1,000			991
Montgomery County, Pennsylvania Higher Education & Health Authority Revenue Bonds, Series 2006
5.250% due 01/01/2036		150			137
Pennsylvania State Economic Development Financing Authority Revenue Bonds, Series 2003
6.750% due 12/01/2036		250			255
Philadelphia, Pennsylvania Industrial Development Authority Revenue Bonds, Series 2007
5.500% due 09/15/2037		450			427
Washington County, Pennsylvania Redevelopment Authority Tax Allocation Bonds, Series 2006
5.450% due 07/01/2035		550			502
					6,082
Rhode Island 0.2%
Rhode Island State Health & Educational Building Corporations Revenue Bonds, Series 1998
5.400% due 07/01/2013		185			186
Rhode Island State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2002
6.125% due 06/01/2032		100			100
					286
South Carolina 2.5%
South Carolina State Jobs-Economic Development Authority Revenue Bonds, Series 2007
5.500% due 05/01/2028		1,500			1,357
6.000% due 11/15/2037		2,000			1,827
South Carolina State Tobacco Settlement Revenue Management Authority Revenue Bonds, Series 2001
6.375% due 05/15/2030		145			146
					3,330
Tennessee 0.1%
Maury County, Tennessee Industrial Development Board Revenue Bonds, (Guarantee Agreement GM Insured), Series 1994
6.500% due 09/01/2024		150			150
Texas 9.5%
Alliance, Texas Airport Authority Revenue Bonds, Series 2007
5.250% due 12/01/2029		2,500			1,985
Gulf Coast, Texas Industrial Development Authority Revenue Bonds, Series 2006
7.000% due 12/01/2036		500			488
HFDC of Central Texas, Inc. Revenue Bonds, Series 2006
5.500% due 02/15/2037		500			422
Houston, Texas Airport Systems Revenue Bonds, Series 1997
6.125% due 07/15/2027		45			44
Houston, Texas Airport Systems Revenue Bonds, Series 2001
6.750% due 07/01/2021		100			102
Houston, Texas Apartment System Revenue Bonds, Series 1997
6.125% due 07/15/2017		100			99
Lubbock, Texas Health Facilities Development Corp. Revenue Bonds, Series 2005
6.625% due 07/01/2036		265			268
Lubbock, Texas State Educational Facilities Authority Revenue Bonds, Series 2007
5.250% due 11/01/2037		1,500			1,428
Lufkin, Texas Health Facilities Development Corp. Revenue Bonds, Series 2007
5.500% due 02/15/2037		750			728
Maverick County, Texas Public Facility Corp. Revenue Bonds, Series 2007
6.250% due 02/01/2024		635			598
6.375% due 02/01/2029		220			206
Parmer County, Texas Hospital District General Obligation Bonds, Series 2007
5.500% due 02/15/2027		345			341
San Leanna, Texas Educational Facilities Corp. Revenue Bonds, Series 2007
4.750% due 06/01/2032		1,000			900
Texas State Public Finance Authority Revenue Bonds, Series 2007
5.375% due 02/15/2037		3,115			2,836
Trinity River Authority, Texas Revenue Bonds, Series 2000
6.250% due 05/01/2028		50			46
Tyler, Texas Health Facilities Development Corporations Revenue Bonds, Series 2007
5.375% due 11/01/2037		1,750			1,603
Willacy County, Texas Revenue Bonds, Series 2007
6.875% due 09/01/2028		750			783
					12,877
Utah 4.4%
Spanish Fork City, Utah Revenue Bonds, Series 2006
5.550% due 11/15/2026		500			470
5.700% due 11/15/2036		1,000			928
Utah County, Utah Charter School General Obligation Bonds, Series 2007
5.875% due 06/15/2037		1,650			1,571
Utah County, Utah Revenue Bonds, Series 2007
5.625% due 07/15/2037		2,550			2,332
Utah State Charter School Finance Authority Revenue Bonds, Series 2007
6.000% due 07/15/2037		675			651
					5,952
Virginia 2.1%
Bedford County, Virginia Industrial Development Authority Revenue Bonds, Series 1999
6.550% due 12/01/2025		100			97
James City County, Virginia Economic Development Authority Revenue Bonds, Series 2007
5.500% due 07/01/2037		750			666
Lewistown, Virginia Commerce Center Community Development Authority Revenue Bonds, Series 2007
6.050% due 03/01/2027		1,150			1,086
Peninsula Town Center, Virginia Community Development Authority Revenue Bonds, Series 2007
6.450% due 09/01/2037		1,000			980
					2,829
Washington 0.6%
Washington State Housing Finance Commission Revenue Bonds, Series 2007
5.625% due 01/01/2038		850			754
West Virginia 0.7%
West Virginia State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2007
7.467% due 06/01/2047		1,000			962
Wisconsin 1.0%
Milwaukee, Wisconsin Redevelopment Authority Revenue Bonds, Series 2007
5.650% due 08/01/2037		1,150			1,053
Waukesha, Wisconsin Redevelopment Authority Revenue Bonds, Series 2006
5.250% due 07/01/2026		150			134
Wisconsin State Health & Educational Facilities Authority Revenue Bonds, Series 2007
5.000% due 09/01/2033		250			226
					1,413
Total Municipal Bonds & Notes (Cost $135,311)					125,071
SHORT-TERM INSTRUMENTS 6.2%
Repurchase Agreements 5.9%
State Street Bank and Trust Co.
3.900% due 01/02/2008		7,992			7,992
(Dated 12/31/2007. Collateralized by Federal Home Loan Bank 3.625% due 01/15/2008 valued at $8,156. Repurchase proceeds are $7,994.)
U.S. Treasury Bills 0.3%
2.929% due 02/28/2008 - 03/13/2008 (b)(d)		350			347
Total Short-Term Instruments (Cost $8,340)					8,339
Total Investments 98.4% (Cost $143,651)				$	133,410
Other Assets and Liabilities (Net) 1.6%					2,212
Net Assets 100.0%				$	135,622

Notes to Schedule of Investments (amounts in thousands*, except number of contracts):

(a) When-issued security.

(b) Coupon represents a weighted average rate.

(c) Security becomes interest bearing at a future date.

(d) Securities with an aggregate market value of $347 and cash of $115 have been segregated with the custodian to cover margin requirements for the following open futures contracts on December 31, 2007:

Description	Type	Expiration Month	# of Contracts		Unrealized Appreciation
U.S. Treasury 30-Year Bond March Futures	Short	03/2008	176	$	46

See accompanying notes

Schedule of Investments

Income Fund

December 31, 2007 (Unaudited)

		Principal Amount (000s)		Value (000s)
BANK LOAN OBLIGATIONS 0.3%
Daimler Finance North America LLC
9.000% due 08/03/2012	$	499	$	481
Mylan Laboratories, Inc.
9.750% due 10/02/2008		2		2
Telesat Canada
9.000% due 10/31/2008		100		96
Total Bank Loan Obligations (Cost $576)				579
CORPORATE BONDS & NOTES 21.2%
Banking & Finance 6.6%
Ajax Re Ltd.
11.241% due 05/08/2009		85		85
American International Group, Inc.
5.850% due 01/16/2018		2,100		2,118
Bank of America Corp.
6.000% due 09/01/2017		500		512
Barclays Bank PLC
6.050% due 12/04/2017		150		151
7.434% due 09/29/2049		100		104
Bear Stearns Cos., Inc.
6.400% due 10/02/2017		1,000		968
6.950% due 08/10/2012		137		141
Chukchansi Economic Development Authority
8.000% due 11/15/2013		25		25
Citigroup Capital XXI
8.300% due 12/21/2057		75		79
Citigroup, Inc.
6.000% due 08/15/2017		500		511
Ferrellgas Escrow LLC
6.750% due 05/01/2014		67		66
Ford Motor Credit Co. LLC
5.800% due 01/12/2009		100		95
7.250% due 10/25/2011		615		533
7.800% due 06/01/2012		225		197
GMAC LLC
6.750% due 12/01/2014		60		49
6.875% due 08/28/2012		1,150		965
7.000% due 02/01/2012		50		43
7.250% due 03/02/2011		65		57
8.000% due 11/01/2031		230		193
Goldman Sachs Group, Inc.
6.250% due 09/01/2017		500		521
6.750% due 10/01/2037		200		197
KRATON Polymers LLC
8.125% due 01/15/2014		50		47
Lehman Brothers Holdings, Inc.
6.750% due 12/28/2017		100		103
LVB Acquisition Merger Sub, Inc.
10.000% due 10/15/2017		350		359
10.375% due 10/15/2017 (a)		75		75
11.625% due 10/15/2017		210		208
Morgan Stanley
5.950% due 12/28/2017		300		300
Petroplus Finance Ltd.
7.000% due 05/01/2017		30		28
Royal Bank of Scotland Group PLC
7.640% due 03/31/2049		400		412
Santander Perpetual S.A. Unipersonal
6.671% due 10/29/2049		100		100
SLM Corp.
5.164% due 01/25/2008		200		200
5.244% due 07/26/2010		50		46
5.294% due 07/25/2008		50		49
Tenneco, Inc.
8.125% due 11/15/2015		125		124
8.625% due 11/15/2014		45		44
10.250% due 07/15/2013		13		14
UBS AG
5.875% due 12/20/2017		1,775		1,791
UBS Preferred Funding Trust V
6.243% due 05/29/2049		100		96
Universal City Florida Holding Co. I
8.375% due 05/01/2010		50		51
Ventas Realty LP
6.750% due 04/01/2017		150		149
Yankee Acquisition Corp.
8.500% due 02/15/2015		15		14
				11,820
Industrials 11.0%
Abitibi-Consolidated Co. of Canada
7.750% due 06/15/2011		45		35
Abitibi-Consolidated, Inc.
8.550% due 08/01/2010		50		44
Actuant Corp.
6.875% due 06/15/2017		90		90
Albertson’s LLC
7.450% due 08/01/2029		125		121
Allied Waste North America, Inc.
7.250% due 03/15/2015		90		90
Allison Transmission
11.000% due 11/01/2015		75		69
11.250% due 11/01/2015 (a)		25		22
American Stores Co.
8.000% due 06/01/2026		250		252
AmeriGas Partners LP
7.125% due 05/20/2016		25		24
Anadarko Petroleum Corp.
5.950% due 09/15/2016		500		510
ARAMARK Corp.
8.500% due 02/01/2015		355		361
ArvinMeritor, Inc.
8.125% due 09/15/2015		300		261
Berry Plastics Holding Corp.
8.875% due 09/15/2014		190		181
Bon-Ton Stores, Inc.
10.250% due 03/15/2014		250		190
Buhrmann U.S., Inc.
7.875% due 03/01/2015		25		24
Canadian Natural Resources Ltd.
5.700% due 05/15/2017		500		498
Cascades, Inc.
7.250% due 02/15/2013		25		24
Celestica, Inc.
7.875% due 07/01/2011		275		266
Charter Communications Operating LLC
8.000% due 04/30/2012		350		340
8.375% due 04/30/2014		150		146
Chemtura Corp.
6.875% due 06/01/2016		100		94
Chesapeake Energy Corp.
7.000% due 08/15/2014		250		252
Comcast Corp.
5.900% due 03/15/2016		500		504
Community Health Systems, Inc.
8.875% due 07/15/2015		385		394
Compagnie Générale de Géophysique-Veritas
7.750% due 05/15/2017		140		142
Cooper-Standard Automotive, Inc.
7.000% due 12/15/2012		125		109
Crown Americas LLC & Crown Americas Capital Corp.
7.625% due 11/15/2013		5		5
CSC Holdings, Inc.
6.750% due 04/15/2012		85		82
7.625% due 07/15/2018		350		323
DaVita, Inc.
7.250% due 03/15/2015		35		35
Delhaize America, Inc.
8.050% due 04/15/2027		25		26
Devon Financing Corp. ULC
6.875% due 09/30/2011		500		536
Digicel Group Ltd.
8.875% due 01/15/2015		25		23
Dresser-Rand Group, Inc.
7.375% due 11/01/2014		50		50
Dynegy Holdings, Inc.
7.125% due 05/15/2018		175		156
7.500% due 06/01/2015		400		376
8.375% due 05/01/2016		100		98
Eaton Vance Corp.
6.500% due 10/02/2017		1,000		1,051
EchoStar DBS Corp.
7.000% due 10/01/2013		100		102
7.125% due 02/01/2016		190		195
El Paso Corp.
6.875% due 06/15/2014		50		51
7.000% due 06/15/2017		140		141
7.800% due 08/01/2031		325		331
First Data Corp.
9.875% due 09/24/2015		345		321
Ford Motor Co.
9.215% due 09/15/2021		25		21
Freeport-McMoRan Copper & Gold, Inc.
8.250% due 04/01/2015		25		27
8.375% due 04/01/2017		375		403
Freescale Semiconductor, Inc.
8.866% due 12/15/2014		25		21
8.875% due 12/15/2014		75		67
9.125% due 12/15/2014 (a)		25		21
10.125% due 12/15/2016		360		299
General Motors Corp.
7.700% due 04/15/2016		295		251
Georgia-Pacific Corp.
7.000% due 01/15/2015		550		538
7.125% due 01/15/2017		75		73
Goodyear Tire & Rubber Co.
9.000% due 07/01/2015		32		34
HCA, Inc.
9.250% due 11/15/2016		1,075		1,131
Herbst Gaming, Inc.
7.000% due 11/15/2014		20		12
Hertz Corp.
8.875% due 01/01/2014		325		331
Ineos Group Holdings PLC
8.500% due 02/15/2016		275		246
Intelsat Bermuda Ltd.
8.886% due 01/15/2015		100		101
9.250% due 06/15/2016		25		25
Intelsat Subsidiary Holding Co. Ltd.
8.250% due 01/15/2013		150		152
Jefferson Smurfit Corp. U.S.
7.500% due 06/01/2013		75		72
Kinder Morgan Energy Partners LP
6.000% due 02/01/2017		500		501
MGM Mirage
6.625% due 07/15/2015		450		424
Nalco Co.
7.750% due 11/15/2011		50		51
8.875% due 11/15/2013		75		79
Nortel Networks Ltd.
9.492% due 07/15/2011		650		637
10.125% due 07/15/2013		105		109
10.750% due 07/15/2016		25		26
NPC International, Inc.
9.500% due 05/01/2014		100		90
OPTI Canada, Inc.
8.250% due 12/15/2014		75		75
Quebecor Media, Inc.
7.750% due 03/15/2016		250		241
Qwest Communications International, Inc.
7.500% due 02/15/2014		75		75
RH Donnelley Corp.
8.875% due 01/15/2016		450		423
8.875% due 10/15/2017		335		312
Rockwood Specialties Group, Inc.
7.500% due 11/15/2014		25		25
Sanmina-SCI Corp.
8.125% due 03/01/2016		35		31
SemGroup LP
8.750% due 11/15/2015		210		201
Sensata Technologies BV
8.000% due 05/01/2014		50		47
Service Corp. International
7.625% due 10/01/2018		15		15
Smurfit-Stone Container Enterprises, Inc.
8.000% due 03/15/2017		150		146
Station Casinos, Inc.
7.750% due 08/15/2016		175		159
Suburban Propane Partners LP
6.875% due 12/15/2013		30		29
Sungard Data Systems, Inc.
9.125% due 08/15/2013		290		297
Tenet Healthcare Corp.
9.875% due 07/01/2014		25		24
Terex Corp.
8.000% due 11/15/2017		100		102
Tesoro Corp.
6.500% due 06/01/2017		250		249
Time Warner Cable, Inc.
5.850% due 05/01/2017		500		502
TRW Automotive, Inc.
7.000% due 03/15/2014		25		23
7.250% due 03/15/2017		300		271
Valero Energy Corp.
6.125% due 06/15/2017		500		509
Verso Paper Holdings LLC and Verson Paper, Inc.
9.125% due 08/01/2014		270		274
West Corp.
9.500% due 10/15/2014		105		103
Williams Cos., Inc.
7.625% due 07/15/2019		50		54
7.875% due 09/01/2021		75		84
Wynn Las Vegas Capital Corp.
6.625% due 12/01/2014		45		44
XTO Energy, Inc.
6.250% due 08/01/2017		500		525
				19,527
Utilities 3.6%
AES Corp.
8.000% due 10/15/2017		475		488
AT&T Corp.
8.000% due 11/15/2031		250		308
Cincinnati Bell, Inc.
8.375% due 01/15/2014		50		49
Citizens Communications Co.
7.125% due 03/15/2019		350		334
Complete Production Services, Inc.
8.000% due 12/15/2016		50		49
Deutsche Telekom International Finance BV
8.250% due 06/15/2030		250		313
Edison Mission Energy
7.000% due 05/15/2017		400		395
7.200% due 05/15/2019		35		34
7.750% due 06/15/2016		25		26
Energy Future Holdings Corp.
10.875% due 11/01/2017		175		177
Exelon Generation Co. LLC
6.200% due 10/01/2017		590		587
Hawaiian Telcom Communications, Inc.
9.750% due 05/01/2013		25		25
Idearc, Inc.
8.000% due 11/15/2016		145		134
Kinder Morgan Finance Co.
5.700% due 01/05/2016		225		205
Knight, Inc.
5.150% due 03/01/2015		50		44
Nevada Power Co.
6.650% due 04/01/2036		75		76
NGPL Pipe Co. LLC
7.119% due 12/15/2017		100		103
7.768% due 12/15/2037		1,000		1,049
NRG Energy, Inc.
7.375% due 02/01/2016		400		391
7.375% due 01/15/2017		100		98
PSEG Energy Holdings LLC
8.500% due 06/15/2011		250		262
Qwest Corp.
6.500% due 06/01/2017		500		481
7.875% due 09/01/2011		100		104
Reliant Energy, Inc.
6.750% due 12/15/2014		100		101
7.875% due 06/15/2017		450		448
Tenaska Alabama Partners LP
7.000% due 06/30/2021		47		47
Time Warner Telecom Holdings, Inc.
9.250% due 02/15/2014		20		20
				6,348
Total Corporate Bonds & Notes (Cost $38,116)				37,695
CONVERTIBLE BONDS & NOTES 0.1%
Chesapeake Energy Corp.
2.500% due 05/15/2037		100		112
Morgan Stanley
3.350% due 10/01/2012		100		96
Total Convertible Bonds & Notes (Cost $206)				208
U.S. GOVERNMENT AGENCIES 70.4%
Fannie Mae
3.470% due 04/25/2023		21		21
3.650% due 03/25/2022		33		33
3.700% due 09/25/2022		17		17
3.750% due 01/25/2022		101		101
4.042% due 08/01/2033		346		346
4.250% due 03/01/2034		122		124
4.310% due 12/01/2033		272		274
4.505% due 11/01/2033		197		200
4.606% due 09/01/2035		100		100
4.733% due 09/25/2022		18		18
4.795% due 10/01/2017		66		67
4.985% due 03/25/2034		40		39
5.000% due 01/01/2016		155		155
5.015% due 07/01/2018 - 08/25/2034		43		43
5.133% due 10/25/2008		24		24
5.215% due 11/25/2032 - 03/25/2044		164		163
5.265% due 06/25/2029 - 09/25/2032		101		101
5.275% due 11/25/2021		22		22
5.325% due 07/25/2021		39		39
5.396% due 04/18/2028 - 09/18/2031		37		37
5.500% due 01/01/2018 - 01/01/2038		18,609		18,590
5.527% due 09/01/2017 - 03/01/2033		200		200
5.539% due 03/01/2016		10		10
5.575% due 08/25/2022		17		17
5.591% due 05/01/2018		55		55
5.600% due 04/01/2017		8		9
5.607% due 03/01/2020		14		14
5.609% due 10/01/2017 - 12/01/2027		303		304
5.625% due 08/01/2018		44		44
5.633% due 07/01/2017		10		10
5.675% due 05/25/2022		19		19
5.685% due 01/01/2018 - 05/01/2034		592		606
5.695% due 10/25/2008		13		13
5.724% due 08/01/2017		34		34
5.725% due 05/25/2018 - 10/25/2020		71		72
5.750% due 09/01/2016 - 03/01/2034		375		382
5.775% due 04/25/2021 - 10/25/2021		148		150
5.783% due 10/25/2008		21		20
5.799% due 07/01/2017		10		10
5.882% due 11/01/2018		4		4
5.896% due 09/01/2017		20		20
5.899% due 01/01/2019		13		13
5.937% due 01/01/2029		239		241
5.971% due 01/01/2027		18		18
5.974% due 08/01/2017		21		21
5.991% due 10/01/2036		157		160
6.000% due 09/01/2036 - 01/01/2038		30,783		31,264
6.000% due 11/01/2037 (e)		3,599		3,656
6.063% due 10/01/2044		30		30
6.075% due 01/25/2024		50		51
6.080% due 03/01/2036		84		86
6.105% due 11/01/2020		17		17
6.107% due 12/01/2034		504		511
6.152% due 12/01/2027		8		8
6.175% due 05/01/2019 - 11/25/2021		91		92
6.221% due 02/01/2028		5		5
6.240% due 11/01/2032		46		46
6.250% due 11/01/2032		128		131
6.251% due 11/01/2029		105		106
6.254% due 07/01/2032		701		707
6.257% due 01/01/2028		5		5
6.263% due 10/01/2040		386		389
6.267% due 05/01/2028		20		20
6.297% due 12/01/2035		44		45
6.340% due 11/01/2029		2		2
6.395% due 09/01/2031		172		175
6.415% due 11/01/2028		1,245		1,258
6.500% due 06/25/2028 - 10/25/2031		880		915
6.564% due 04/01/2027		146		153
6.650% due 02/25/2022		10		10
6.679% due 06/01/2032		508		515
6.695% due 02/01/2032		80		81
6.729% due 12/01/2032		65		67
6.752% due 05/01/2038		537		545
6.754% due 01/01/2018		93		94
6.810% due 11/01/2029		112		114
6.845% due 07/01/2019		142		146
6.850% due 12/18/2027		61		64
6.854% due 09/01/2030		174		177
6.875% due 02/01/2033		98		99
6.889% due 12/01/2031		151		152
6.891% due 09/01/2033		88		90
6.900% due 05/25/2023		256		271
6.913% due 01/01/2033		136		137
6.914% due 04/01/2028		28		28
6.942% due 01/01/2033		157		158
6.945% due 05/01/2033		762		778
6.978% due 02/01/2032 - 08/01/2036		602		612
6.984% due 09/01/2022		34		34
6.986% due 06/01/2025		6		6
7.000% due 07/25/2022 - 09/01/2032		3,937		4,100
7.012% due 07/01/2025		4		4
7.033% due 10/01/2025		2		2
7.050% due 05/01/2018 - 08/01/2032		488		495
7.059% due 05/01/2033		84		86
7.061% due 07/01/2032		49		50
7.062% due 09/01/2031		6		6
7.063% due 09/01/2033		72		73
7.075% due 01/01/2018		7		7
7.079% due 10/01/2032		574		579
7.091% due 10/01/2025		100		102
7.095% due 07/01/2032 - 07/01/2035		533		541
7.105% due 03/01/2036		781		791
7.116% due 03/01/2038		15		15
7.125% due 07/01/2025 - 02/01/2033		240		244
7.145% due 08/01/2036		40		40
7.186% due 04/01/2024		23		23
7.188% due 02/01/2032		319		324
7.190% due 08/01/2032		34		34
7.206% due 08/01/2032		91		93
7.220% due 05/01/2024		126		129
7.225% due 03/01/2033		638		649
7.247% due 04/01/2033		121		122
7.248% due 05/01/2032		4		4
7.250% due 09/01/2024		223		227
7.275% due 09/01/2032		39		40
7.277% due 08/01/2031		316		321
7.290% due 06/01/2019		24		25
7.310% due 07/01/2032		145		147
7.315% due 05/01/2024		61		62
7.500% due 11/15/2021 - 06/25/2042		1,043		1,102
7.548% due 10/01/2025		5		5
7.660% due 05/01/2015		968		1,072
7.732% due 09/01/2024		98		99
8.000% due 04/25/2021 - 07/25/2022		180		188
Freddie Mac
4.000% due 02/15/2017		236		232
4.061% due 09/01/2033		934		945
4.960% due 08/01/2017		15		15
5.155% due 11/01/2017		55		56
5.265% due 08/25/2036		73		73
5.453% due 02/01/2015		89		91
5.500% due 08/01/2018 - 02/01/2038		14,175		14,141
5.527% due 03/01/2017		17		18
5.533% due 06/01/2019		50		50
5.625% due 01/01/2020		38		38
5.698% due 07/01/2037		878		893
5.808% due 05/01/2019		11		12
5.844% due 01/01/2037		594		604
5.906% due 02/01/2018		60		60
6.000% due 03/15/2017 - 01/01/2038		11,012		11,176
6.000% due 12/01/2019 (e)		1,860		1,902
6.211% due 06/01/2019		79		80
6.263% due 07/25/2044		55		55
6.289% due 01/01/2035		579		583
6.410% due 05/01/2019		614		621
6.500% due 11/15/2021 - 03/15/2024		542		567
6.522% due 10/01/2035		796		813
6.539% due 02/01/2037		136		140
6.652% due 12/01/2033		764		781
6.670% due 03/01/2025		100		103
6.750% due 01/15/2024		65		69
6.867% due 09/01/2018		47		48
6.868% due 06/01/2033		87		88
6.875% due 04/01/2017 - 01/01/2019		540		541
6.986% due 02/01/2033		15		15
7.000% due 10/15/2013 - 08/15/2023		722		756
7.015% due 08/01/2034		561		566
7.113% due 08/01/2030		64		65
7.125% due 07/01/2017		51		52
7.167% due 05/01/2029		211		213
7.170% due 09/01/2023		52		53
7.176% due 10/01/2026		10		10
7.204% due 08/01/2024		39		39
7.230% due 09/01/2031		370		371
7.232% due 07/01/2025		139		142
7.240% due 04/01/2033		11		11
7.250% due 09/01/2032		224		227
7.260% due 01/01/2033		47		47
7.310% due 09/01/2024		55		55
7.362% due 03/01/2031		203		204
7.377% due 11/01/2029		993		1,012
7.384% due 03/01/2032		1,197		1,223
7.389% due 11/01/2035		482		486
7.490% due 03/01/2025		4		4
7.500% due 09/01/2011 - 10/01/2024		1,408		1,460
7.637% due 07/01/2024		41		41
8.500% due 06/15/2031		589		679
9.000% due 09/15/2020 - 02/15/2021		567		610
9.500% due 03/15/2020		42		42
Ginnie Mae
5.000% due 01/20/2035		18		18
5.625% due 08/20/2027 - 10/20/2029		301		303
5.750% due 01/20/2032 - 03/20/2032		580		585
6.000% due 10/20/2030 - 12/20/2033		374		379
6.125% due 10/20/2025 - 08/20/2033		99		100
6.250% due 02/20/2029		72		73
6.375% due 06/20/2022 - 06/20/2032		1,380		1,394
Vendee Mortgage Trust
6.500% due 09/15/2024		350		371
Total U.S. Government Agencies (Cost $124,082)				125,012
U.S. TREASURY OBLIGATIONS 5.3%
U.S. Treasury Bonds
4.750% due 08/15/2017		8,000		8,452
U.S. Treasury Notes
4.625% due 02/29/2012		1,000		1,049
Total U.S. Treasury Obligations (Cost $9,132)				9,501
MORTGAGE-BACKED SECURITIES 17.3%
Banc of America Commercial Mortgage, Inc.
4.772% due 07/11/2043		416		417
5.634% due 07/10/2046		500		511
6.186% due 06/11/2035		255		268
Banc of America Funding Corp.
4.111% due 05/25/2035		119		115
4.621% due 02/20/2036		161		161
5.789% due 06/20/2035		219		219
Banc of America Mortgage Securities, Inc.
4.146% due 07/25/2034		180		179
4.704% due 04/25/2035		287		286
5.265% due 03/25/2034		219		218
5.315% due 01/25/2034		93		93
Bear Stearns Adjustable Rate Mortgage Trust
4.625% due 10/25/2035		1,981		1,953
4.649% due 01/25/2035		174		173
Bear Stearns Commercial Mortgage Securities
6.440% due 06/16/2030		290		291
7.000% due 05/20/2030		396		445
CC Mortgage Funding Corp.
4.995% due 05/25/2048		392		354
Citigroup Mortgage Loan Trust, Inc.
4.679% due 08/25/2035		305		301
Citigroup/Deutsche Bank Commercial Mortgage Trust
5.322% due 12/11/2049		500		500
Countrywide Alternative Loan Trust
6.098% due 07/20/2035		248		240
Countrywide Home Loan Mortgage Pass-Through Trust
3.553% due 07/19/2033		714		723
4.920% due 05/19/2033		531		530
5.095% due 05/25/2035		133		122
5.135% due 03/25/2035		292		277
5.185% due 03/25/2035		378		359
5.250% due 02/20/2036		223		221
5.962% due 02/25/2034		413		411
CS First Boston Mortgage Securities Corp.
4.940% due 12/15/2035		500		501
5.160% due 03/25/2034		306		304
5.603% due 07/15/2035		500		515
5.750% due 04/22/2033		1,570		1,549
Downey Savings & Loan Association Mortgage Loan Trust
5.365% due 11/19/2044		198		189
7.136% due 07/19/2044		124		127
First Horizon Asset Securities, Inc.
5.291% due 03/25/2033		326		325
5.365% due 03/25/2018		228		227
First Republic Mortgage Loan Trust
5.278% due 11/15/2030		138		129
5.378% due 11/15/2031		65		63
GMAC Commercial Mortgage Securities, Inc.
5.713% due 10/15/2038		500		517
Greenpoint Mortgage Funding Trust
5.125% due 10/25/2045		74		69
GSAA Trust
6.000% due 04/01/2034		1,058		1,064
GSR Mortgage Loan Trust
4.539% due 09/25/2035		434		430
5.251% due 11/25/2035		501		484
6.624% due 08/25/2034		582		583
6.710% due 04/25/2032		87		87
Harborview Mortgage Loan Trust
5.055% due 01/19/2038		821		811
5.275% due 08/19/2045		70		66
JPMorgan Chase Commercial Mortgage Securities Corp.
5.376% due 07/12/2037		500		511
LB-UBS Commercial Mortgage Trust
5.347% due 11/15/2038		500		501
5.430% due 02/15/2040		500		503
MASTR Adjustable Rate Mortgages Trust
3.786% due 11/21/2034		800		794
3.817% due 04/21/2034		80		80
MASTR Alternative Loans Trust
7.000% due 06/25/2034		144		145
MASTR Reperforming Loan Trust
6.000% due 08/25/2034		217		219
Mellon Residential Funding Corp.
5.398% due 09/15/2030		264		264
5.468% due 12/15/2030		62		61
Merrill Lynch Mortgage Investors, Inc.
6.350% due 09/25/2033		97		97
MLCC Mortgage Investors, Inc.
5.028% due 01/25/2030		127		122
5.205% due 04/25/2028		140		138
7.116% due 01/25/2029		689		694
Morgan Stanley Capital I
5.204% due 11/14/2042		500		498
5.328% due 11/12/2041		580		581
Provident Funding Mortgage Loan Trust
4.034% due 04/25/2034		253		251
Residential Asset Mortgage Products, Inc.
7.000% due 11/25/2031		604		623
Sequoia Mortgage Trust
5.299% due 07/20/2033		152		149
5.329% due 10/20/2027		58		55
5.329% due 04/20/2033		218		216
5.349% due 10/20/2027		297		277
5.399% due 12/20/2032		270		269
Structured Asset Mortgage Investments, Inc.
5.095% due 07/25/2036		142		130
5.305% due 05/19/2035		277		277
7.274% due 05/25/2045		99		99
Thornburg Mortgage Securities Trust
5.135% due 03/25/2044		270		265
5.235% due 09/25/2044		205		202
Washington Mutual, Inc.
3.795% due 06/25/2034		55		54
4.056% due 10/25/2033		1,500		1,491
4.322% due 06/25/2033		286		284
5.155% due 12/25/2045		223		211
5.175% due 01/25/2045		51		48
5.212% due 10/25/2044		258		248
5.252% due 11/25/2034		255		239
5.405% due 12/25/2027		431		412
5.788% due 02/25/2046		390		380
5.988% due 11/25/2042		22		21
Wells Fargo Mortgage Backed Securities Trust
5.500% due 12/25/2033		64		64
6.660% due 10/25/2034		418		418
Wells Fargo Mortgage-Backed Securities Trust
3.999% due 12/25/2034		174		172
4.235% due 09/25/2034		179		176
4.360% due 09/25/2034		276		275
4.494% due 01/25/2035		300		298
4.541% due 02/25/2035		440		437
Total Mortgage-Backed Securities (Cost $30,309)				30,656
ASSET-BACKED SECURITIES 8.7%
Aames Mortgage Investment Trust
4.925% due 04/25/2036		89		89
ACE Securities Corp.
8.115% due 04/25/2035		650		309
American Express Credit Account Master Trust
5.528% due 02/15/2012		259		259
Ameriquest Mortgage Securities, Inc.
8.390% due 11/25/2032		291		41
8.665% due 02/25/2033		200		64
Amortizing Residential Collateral Trust
5.155% due 07/25/2032		69		68
Bear Stearns Asset-Backed Securities Trust
5.065% due 09/25/2034		222		222
5.195% due 10/25/2032		138		135
5.195% due 01/25/2036		677		663
5.265% due 10/27/2032		90		89
5.355% due 06/25/2036		400		319
5.865% due 10/25/2037		215		207
Citibank Omni Master Trust
5.962% due 12/23/2013		2,000		1,999
Countrywide Asset-Backed Certificates
4.965% due 09/25/2047		643		622
First Franklin Mortgage Loan Asset-Backed Certificates
4.915% due 11/25/2036		638		612
Green Tree Financial Corp.
6.110% due 09/01/2023		778		786
6.870% due 01/15/2029		542		571
Greenpoint Manufactured Housing
8.300% due 10/15/2026		1,500		1,550
HFC Home Equity Loan Asset-Backed Certificates
5.239% due 01/20/2034		2,242		2,191
5.749% due 11/20/2036		651		648
Home Equity Asset Trust
4.925% due 08/25/2036		49		48
HSI Asset Securitization Corp. Trust
4.915% due 10/25/2036		627		599
4.915% due 12/25/2036		365		351
Irwin Home Equity Corp.
5.405% due 07/25/2032		11		11
JPMorgan Mortgage Acquisition Corp.
4.915% due 10/25/2036		599		585
Renaissance Home Equity Loan Trust
5.365% due 12/25/2033		296		291
SBI HELOC Trust
5.035% due 08/25/2036		226		216
Soundview Home Equity Loan Trust
5.665% due 10/25/2037		524		516
Structured Asset Securities Corp.
4.900% due 04/25/2035		1,192		1,165
TABS Ltd.
6.632% due 02/12/2047		280		11
Truman Capital Mortgage Loan Trust
5.205% due 01/25/2034		109		107
Wells Fargo Home Equity Trust
4.985% due 12/25/2035		45		45
Total Asset-Backed Securities (Cost $15,313)				15,389
FOREIGN CURRENCY-DENOMINATED ISSUES 1.0%
Japanese Government CPI Linked Bond
1.188% due 02/28/2016	JPY	8,722		78
Royal Bank of Scotland Group PLC
8.162% due 10/29/2049	GBP	800		1,643
Total Foreign Currency-Denominated Issues (Cost $1,686)				1,721
SHORT-TERM INSTRUMENTS 3.1%
Commercial Paper 1.7%
Royal Bank of Scotland Group PLC
5.030% due 01/22/2008	$	200	$	199
Swedbank AB
5.015% due 01/24/2008		100		100
UBS Finance Delaware LLC
4.000% due 01/02/2008		2,800		2,800
				3,099
Repurchase Agreements 0.7%
Lehman Brothers, Inc.
1.000% due 01/02/2008		400		400
(Dated 12/31/2007. Collateralized by U.S. Treasury Inflation Protected Securities 2.000% due 07/14/2015 valued at $407. Repurchase proceeds are $400.)
State Street Bank and Trust Co.
3.900% due 01/02/2007		820		820
(Dated 12/31/2007. Collateralized by Federal Home Loan Bank 3.625% due 01/15/2008 valued at $386 and U.S. Treasury Bonds 3.875% 04/15/2029 valued at $453. Repurchase proceeds are $820.)
				1,220
U.S. Treasury Bills 0.7%
2.784% due 03/13/2008 (b)(c)		1,250		1,238
Total Short-Term Instruments (Cost $5,562)				5,557
Total Investments 127.4% (Cost $224,982)			$	226,318
Other Assets and Liabilities (Net) (27.4%)				(48,702	)
Net Assets (d) 100.0%			$	177,616

Notes to Schedule of Investments (amounts in thousands*):

* A zero balance may reflect actual amounts rounding to less than one thousand.

(a) Payment in-kind bond security.

(b) Coupon represents a weighted average rate.

(c) Securities with an aggregate market value of $1,238 have been pledged as collateral for swap and swaption contracts on December 31, 2007.

(d) As of December 31, 2007, portfolio securities with an aggregate value of $2,088 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(e) The average amount of borrowings outstanding during the period ended December 31, 2007 was $21,700 at a weighted average interest rate of 5.150%. On December 31, 2007, securities valued at $5,558 were pledged as collateral for reverse repurchase agreements.

(f) Swap agreements outstanding on December 31, 2007:

Credit Default Swaps on Securities

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation
Bank of America	ARAMARK Corp. 8.500 due 02/01/2015	Sell	1.300	%	09/20/2008	$	50	$	0
Bank of America	Community Health Systems, Inc. 8.875% due 07/15/2015	Sell	2.850	%	09/20/2012		50		(2	)
Bank of America	New Century Home Equity Loan Trust floating rate based on 1-Month USD-LIBOR plus 1.750% due 06/25/2035	Buy	(5.000	%)	06/25/2035		2,500		733
Barclays Bank PLC	CSC Holdings, Inc. 7.625% due 07/15/2018	Sell	1.250	%	09/20/2008		25		0
Citibank N.A.	General Motors Corp. 7.125% due 07/15/2013	Sell	4.250	%	09/20/2008		50		0
Citibank N.A.	Georgia-Pacific LLC 7.750% due 11/15/2029	Sell	2.220	%	09/20/2012		50		(2	)
Citibank N.A.	Nortel Networks Corp. 4.250% due 09/01/2008	Buy	(3.670	%)	07/15/2011		350		6
Citibank N.A.	Sungard Data Systems, Inc. 9.125% due 08/15/2013	Sell	2.920	%	09/20/2012		50		(2	)
Credit Suisse USA, Inc.	Forest Oil Corp. 7.750% due 05/01/2014	Sell	3.060	%	09/20/2012		50		2
Credit Suisse USA, Inc.	Nalco Co. 7.750% due 11/15/2011	Sell	0.820	%	09/20/2008		75		(1	)
Deutsche Bank AG	SLM Corp. 5.125% due 08/27/2012	Sell	3.050	%	03/20/2009		2,000		1
HSBC Bank USA	Fannie Mae 5.500% due 06/09/2033	Sell	0.660	%	12/20/2012		1,000		14
JPMorgan Chase & Co.	New Century Home Equity Loan Trust floating rate based on 1-Month USD-LIBOR plus 1.750% due 06/25/2035	Sell	5.500	%	06/25/2035		2,500		(710	)
Lehman Brothers, Inc.	GMAC LLC 6.875% due 08/28/2012	Sell	3.650	%	09/20/2008		100		(3	)
Lehman Brothers, Inc.	HCA, Inc. 7.858% due 11/16/2012	Sell	1.250	%	09/20/2008		100		0
Lehman Brothers, Inc.	Nortel Networks Corp. 4.250% due 09/01/2008	Sell	1.400	%	09/20/2008		50		0
Lehman Brothers, Inc.	Qwest Capital Funding, Inc. 7.250% due 02/15/2011	Sell	3.000	%	12/20/2012		100		(2	)
Lehman Brothers, Inc.	TRW Automotive, Inc. 9.375% due 02/15/2013	Sell	0.950	%	09/20/2008		25		0
Merrill Lynch & Co., Inc.	Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	3.520	%	09/20/2008		25		0
Morgan Stanley	ARAMARK Corp. 8.500 due 02/01/2015	Sell	2.680	%	09/20/2012		50		(3	)
Morgan Stanley	CSC Holdings, Inc. 7.625% due 04/01/2011	Sell	2.010	%	06/20/2012		50		(4	)
Morgan Stanley	Freddie Mac 5.080% due 02/07/2019	Sell	0.670	%	12/20/2012		1,000		14
Morgan Stanley	Multiple Reference Entities of Gazprom	Sell	1.380	%	12/20/2008		3,000		4
Royal Bank of Scotland Group PLC	NRG Energy, Inc. 7.250% due 02/01/2014	Sell	1.500	%	09/20/2008		50		0
								$	45

Credit Default Swaps on Credit Indices

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date		Notional Amount		Unrealized (Depreciation)
Bank of America	Dow Jones CDX N.A. HV8 Index	Sell	0.750	%	06/20/2012	$	2,000	$	(33	)
Barclays Bank PLC	Dow Jones CDX N.A. EM8 Index	Sell	1.750	%	12/20/2012		1,000		(7	)
Credit Suisse USA, Inc.	Home Equity Index AA Rating 2007-1	Sell	0.150	%	08/25/2037		1,000		(175	)
Lehman Brothers, Inc.	Dow Jones CDX N.A. IG8 Index	Sell	0.350	%	06/20/2012		2,500		(48	)
Merrill Lynch & Co., Inc.	Dow Jones CDX N.A. HY9 Index	Sell	1.140	%	12/20/2012		2,000		(9	)
Merrill Lynch & Co., Inc.	Dow Jones CDX N.A. HY9 Index	Sell	3.750	%	12/20/2012		6,500		(254	)
Morgan Stanley	Dow Jones CDX N.A. EM8 Index	Sell	1.750	%	12/20/2012		7,000		(45	)
								$	(571	)

⁽¹⁾ If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will pay to the buyer of the protection an amount up to the notional value of the swap and in certain instances, take delivery of the security. As a buyer of protection, the Fund will generally receive from the seller of protection an amount up to the notional amount of the swap if a credit event occurs.

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation
Barclays Bank PLC	3-Month USD-LIBOR	Pay	5.000	%	06/18/2010	$	100	$	0
Barclays Bank PLC	3-Month USD-LIBOR	Pay	4.000	%	06/18/2013		5,100		37
JPMorgan Chase & Co.	3-Month USD-LIBOR	Pay	4.000	%	06/18/2013		1,800		0
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.000	%	06/18/2013		33,900		384
								$	421

(g) Short sales outstanding on December 31, 2007:

Description	Coupon		Maturity Date		Principal Amount		Proceeds		Value
Fannie Mae	6.000	%	01/01/2038	$	20,000	$	20,325	$	20,309

(h) Foreign currency contracts outstanding on December 31, 2007:

Type	Currency	Principal Amount Covered by Contract	Settlement Month		Unrealized Appreciation		Unrealized (Depreciation)		Net Unrealized Appreciation/ (Depreciation)
Sell	GBP	800	01/2008	$	21	$	0	$	21
Sell	JPY	10,000	02/2008		0		0		0
				$	21	$	0	$	21

See accompanying notes

Schedule of Investments

International StocksPLUS^® TR Strategy Fund (U.S. Dollar-Hedged)

December 31, 2007 (Unaudited)

	Principal Amount (000s)		Value (000s)
BANK LOAN OBLIGATIONS 1.5%
Daimler Finance North America LLC
9.000% due 08/03/2012	$	1,995	$	1,924
Georgia-Pacific Corp.
6.580% due 12/20/2012		427		407
6.831% due 12/20/2012		286		273
6.896% due 12/20/2012		3,233		3,085
HCA, Inc.
7.080% due 11/16/2013		2,580		2,490
Total Bank Loan Obligations (Cost $8,386)				8,179
CORPORATE BONDS & NOTES 30.1%
Banking & Finance 20.6%
American Express Bank FSB
6.000% due 09/13/2017		5,200		5,239
American Express Centurion Bank
6.000% due 09/13/2017		5,100		5,138
American Express Co.
6.150% due 08/28/2017		1,600		1,645
American International Group, Inc.
5.850% due 01/16/2018		3,000		3,025
Barclays Bank PLC
5.450% due 09/12/2012		4,500		4,617
6.050% due 12/04/2017		3,600		3,634
7.434% due 09/29/2049		1,000		1,041
C10 Capital SPV Ltd.
6.722% due 12/31/2049		1,600		1,479
Capital One Financial Corp.
6.750% due 09/15/2017		1,600		1,537
Citigroup Capital XXI
8.300% due 12/21/2057		1,500		1,571
Citigroup, Inc.
4.898% due 12/26/2008		2,800		2,789
6.125% due 11/21/2017		7,600		7,821
Deutsche Bank AG
6.000% due 09/01/2017		3,900		4,051
Ford Motor Credit Co. LLC
5.800% due 01/12/2009		500		475
7.000% due 10/01/2013		300		251
7.250% due 10/25/2011		1,850		1,604
General Electric Capital Corp.
5.162% due 03/12/2010		5,800		5,769
6.375% due 11/15/2067		200		207
GMAC LLC
6.625% due 05/15/2012		600		499
7.000% due 02/01/2012		3,300		2,802
Goldman Sachs Group, Inc.
6.250% due 09/01/2017		4,800		5,002
6.750% due 10/01/2037		7,400		7,273
HSBC Finance Corp.
4.982% due 05/21/2008		2,800		2,800
JPMorgan Chase Bank N.A.
6.000% due 10/01/2017		11,600		11,819
Lehman Brothers Holdings, Inc.
6.750% due 12/28/2017		1,800		1,859
Merrill Lynch & Co., Inc.
4.960% due 08/14/2009		4,000		3,916
6.050% due 08/15/2012		400		408
Morgan Stanley
4.925% due 05/07/2009		2,600		2,569
Rabobank Nederland
5.262% due 01/15/2009		1,900		1,898
Royal Bank of Scotland Group PLC
7.640% due 03/31/2049		1,900		1,957
Santander Perpetual S.A. Unipersonal
6.671% due 10/29/2049		1,100		1,105
Santander U.S. Debt S.A. Unipersonal
4.925% due 02/06/2009		2,300		2,287
5.201% due 11/20/2009		2,800		2,767
UBS AG
5.875% due 12/20/2017		2,600		2,623
VTB Capital S.A.
5.494% due 08/01/2008		1,200		1,189
Wells Fargo Bank N.A.
4.750% due 02/09/2015		5,000		4,783
Williams Cos., Inc. Credit Linked Certificate Trust
6.750% due 04/15/2009		3,000		3,049
				112,498
Industrials 6.7%
Allied Waste North America, Inc.
7.250% due 03/15/2015		100		100
7.875% due 04/15/2013		100		103
C8 Capital SPV Ltd.
6.640% due 12/29/2049		1,500		1,426
Chesapeake Energy Corp.
7.000% due 08/15/2014		100		101
CODELCO, Inc.
6.150% due 10/24/2036		1,200		1,189
Daimler Finance North America LLC
5.461% due 03/13/2009		1,400		1,393
Dynegy Holdings, Inc.
7.500% due 06/01/2015		200		188
El Paso Corp.
7.000% due 06/15/2017		100		101
Erac USA Finance Co.
6.375% due 10/15/2017		7,500		7,259
Goodrich Corp.
6.290% due 07/01/2016		2,100		2,189
HCA, Inc.
9.250% due 11/15/2016		200		210
International Business Machines Corp.
5.700% due 09/14/2017		2,900		3,003
Jefferson Smurfit Corp. U.S.
8.250% due 10/01/2012		100		99
Kohl’s Corp.
6.250% due 12/15/2017		10,000		10,066
Kraft Foods, Inc.
6.125% due 02/01/2018		2,600		2,625
6.875% due 02/01/2038		300		316
Loews Corp.
5.250% due 03/15/2016		2,800		2,799
Nortel Networks Ltd.
10.125% due 07/15/2013		100		103
Vale Overseas Ltd.
6.250% due 01/23/2017		1,500		1,512
Williams Cos., Inc.
6.375% due 10/01/2010		200		203
7.500% due 01/15/2031		100		108
Xerox Corp.
9.750% due 01/15/2009		1,100		1,150
				36,243
Utilities 2.8%
AT&T, Inc.
4.125% due 09/15/2009		500		497
BellSouth Corp.
4.969% due 08/15/2008		3,900		3,895
5.200% due 09/15/2014		1,200		1,199
Embarq Corp.
6.738% due 06/01/2013		2,000		2,071
Enel Finance International S.A.
6.250% due 09/15/2017		5,400		5,474
NRG Energy, Inc.
7.375% due 02/01/2016		1,200		1,173
PSEG Energy Holdings LLC
8.625% due 02/15/2008		1,144		1,152
				15,461
Total Corporate Bonds & Notes (Cost $163,276)				164,202
MUNICIPAL BONDS & NOTES 0.7%
Houston, Texas Utility System Revenue Bonds, (FSA Insured), Series 2007
5.000% due 11/15/2036		400		416
New York City, New York Municipal Water Finance Authority Revenue Notes, Series 2006
6.869% due 12/15/2013		2,265		2,321
Ohio State Buckeye Tobacco Settlement Financing Authority Revenue Bonds, Series 2007
5.875% due 06/01/2047		700		669
Palomar, California Community College District General Obligation Bonds, (FSA Insured), Series 2007
4.750% due 05/01/2032		100		102
Texas State General Obligation Bonds, Series 2005
4.750% due 04/01/2035		300		301
Total Municipal Bonds & Notes (Cost $3,791)				3,809
COMMODITY INDEX-LINKED NOTES 0.4%
Goldman Sachs Commodity Index Total Return 0.4%
Morgan Stanley
4.805% due 07/07/2008		2,000		2,004
Total Commodity Index-Linked Notes (Cost $2,000)				2,004
U.S. GOVERNMENT AGENCIES 102.2%
Fannie Mae
3.785% due 08/01/2010		368		364
4.186% due 11/01/2034		1,089		1,100
4.425% due 02/01/2035		676		678
4.500% due 06/01/2010 - 09/25/2020		5,414		5,412
4.539% due 08/01/2035		777		788
4.633% due 10/01/2035		905		904
4.645% due 07/01/2035		1,759		1,751
4.689% due 10/01/2035 (e)		818		819
4.721% due 10/01/2035		866		871
4.850% due 02/01/2034		771		766
4.899% due 09/01/2035		1,441		1,472
4.985% due 03/25/2034		27		26
4.995% due 03/25/2036		2,555		2,547
5.000% due 12/01/2018 - 02/01/2038		42,057		41,766
5.000% due 02/01/2021 - 12/01/2036 (e)		27,370		26,766
5.115% due 06/25/2044		75		75
5.156% due 03/01/2036		2,542		2,549
5.215% due 09/25/2042		812		804
5.243% due 02/01/2036 (e)		5,755		5,774
5.275% due 08/01/2036		1,461		1,470
5.389% due 07/01/2032		52		54
5.500% due 01/01/2023 - 01/01/2038		175,413		175,333
5.500% due 02/01/2035 - 05/01/2037 (e)		32,270		32,252
5.875% due 11/25/2023		259		264
6.000% due 05/01/2034 - 01/01/2038		26,241		26,650
6.000% due 10/01/2037 - 11/01/2037 (e)		19,610		19,918
6.063% due 10/01/2044		2,317		2,331
6.064% due 09/01/2044		2,601		2,615
6.375% due 04/25/2024		210		217
6.500% due 12/01/2036 - 01/01/2038		4,249		4,368
7.086% due 09/01/2031		2		2
7.500% due 12/01/2014		252		261
Freddie Mac
3.500% due 01/15/2022 - 01/15/2023		1,855		1,844
4.000% due 11/01/2013 (e)		4,524		4,494
4.000% due 05/15/2016		991		986
4.364% due 09/01/2035		2,137		2,126
4.500% due 02/15/2017 - 09/15/2020		13,221		13,216
5.000% due 12/15/2015 - 09/01/2035		50,947		51,161
5.228% due 10/15/2020		817		816
5.321% due 09/01/2035		2,308		2,319
5.378% due 06/15/2031		1,586		1,577
5.428% due 11/15/2016 - 03/15/2017		7,635		7,663
5.500% due 03/15/2017 - 02/01/2038		99,230		98,980
5.500% due 05/01/2037 (e)		11,494		11,472
6.063% due 10/25/2044		210		210
Ginnie Mae
5.428% due 03/16/2032		41		42
6.125% due 11/20/2024		108		109
Total U.S. Government Agencies (Cost $552,838)				557,982
U.S. TREASURY OBLIGATIONS 6.6%
Treasury Inflation Protected Securities (b)
2.375% due 04/15/2011		4,234		4,415
2.375% due 01/15/2027		1,251		1,323
U.S. Treasury Bonds
3.625% due 10/31/2009		15,000		15,152
5.000% due 05/15/2037		12,800		13,955
8.125% due 08/15/2019		900		1,213
Total U.S. Treasury Obligations (Cost $35,667)				36,058
MORTGAGE-BACKED SECURITIES 12.0%
Banc of America Funding Corp.
4.621% due 02/20/2036		1,130		1,125
6.144% due 01/20/2047		178		176
Banc of America Mortgage Securities, Inc.
5.000% due 05/25/2034		217		208
5.315% due 01/25/2034		212		212
Bear Stearns Adjustable Rate Mortgage Trust
4.125% due 03/25/2035		2,718		2,693
4.550% due 08/25/2035		638		626
4.625% due 10/25/2035		3,460		3,410
4.750% due 10/25/2035		406		404
Bear Stearns Alt-A Trust
5.368% due 05/25/2035		491		485
5.527% due 09/25/2035		570		562
5.811% due 11/25/2036		1,679		1,654
Bear Stearns Structured Products, Inc.
5.684% due 01/26/2036		568		563
Citigroup Mortgage Loan Trust, Inc.
4.248% due 08/25/2035		703		689
4.700% due 12/25/2035		1,513		1,486
4.900% due 10/25/2035		4,504		4,480
Countrywide Alternative Loan Trust
4.500% due 06/25/2035		505		500
5.145% due 02/25/2037		953		901
5.159% due 11/20/2035		96		95
5.159% due 03/20/2046		1,619		1,528
5.508% due 06/25/2037		2,953		2,931
Countrywide Home Loan Mortgage Pass-Through Trust
5.135% due 05/25/2034		1		1
5.155% due 04/25/2035		364		344
5.185% due 03/25/2035		307		291
CS First Boston Mortgage Securities Corp.
4.250% due 06/25/2033		447		445
Deutsche ALT-A Securities, Inc. Alternate Loan Trust
4.945% due 02/25/2037		1,743		1,710
Downey Savings & Loan Association Mortgage Loan Trust
5.225% due 08/19/2045		1,465		1,389
7.053% due 07/19/2044		136		138
First Horizon Alternative Mortgage Securities
4.481% due 03/25/2035		350		348
First Horizon Asset Securities, Inc.
5.372% due 08/25/2035		129		128
First Republic Mortgage Loan Trust
5.378% due 11/15/2031		128		125
GMAC Mortgage Corp. Loan Trust
5.500% due 09/25/2034		204		204
GS Mortgage Securities Corp. II
5.342% due 03/06/2020		1,142		1,092
GSR Mortgage Loan Trust
4.539% due 09/25/2035		506		503
5.500% due 11/25/2035		514		515
GSRPM Mortgage Loan Trust
5.565% due 01/25/2032		21		21
Harborview Mortgage Loan Trust
5.205% due 03/19/2037		1,368		1,286
Indymac Index Mortgage Loan Trust
4.965% due 01/25/2037		1,286		1,275
5.047% due 12/25/2034		76		75
JPMorgan Mortgage Trust
5.023% due 02/25/2035		478		468
Merrill Lynch Mortgage Investors, Inc.
5.075% due 02/25/2036		280		270
MLCC Mortgage Investors, Inc.
5.115% due 11/25/2035		81		78
5.865% due 10/25/2035		99		97
Morgan Stanley Capital I
5.088% due 10/15/2020		1,600		1,564
5.731% due 07/12/2044		2,500		2,574
Residential Accredit Loans, Inc.
5.075% due 04/25/2046		2,128		2,003
5.265% due 03/25/2033		166		164
Residential Asset Securitization Trust
5.265% due 05/25/2033		293		284
Structured Adjustable Rate Mortgage Loan Trust
6.188% due 01/25/2035		328		318
Structured Asset Mortgage Investments, Inc.
5.085% due 05/25/2036		2,334		2,202
5.145% due 02/25/2036		839		798
5.215% due 07/19/2035		398		381
Thornburg Mortgage Securities Trust
4.975% due 11/25/2046		2,190		2,140
Washington Mutual, Inc.
5.175% due 01/25/2045		253		240
5.185% due 01/25/2045		245		232
5.405% due 12/25/2027		758		725
5.883% due 07/25/2046		2,451		2,342
5.883% due 08/25/2046		2,847		2,751
Wells Fargo Mortgage-Backed Securities Trust
3.989% due 12/25/2034		725		718
4.323% due 07/25/2035		2,700		2,683
4.394% due 05/25/2035		404		399
4.500% due 11/25/2018		1,385		1,366
4.950% due 03/25/2036		3,609		3,571
5.242% due 04/25/2036		2,644		2,625
Total Mortgage-Backed Securities (Cost $66,577)				65,611
ASSET-BACKED SECURITIES 11.0%
ACE Securities Corp.
4.915% due 12/25/2036		1,783		1,732
4.935% due 12/25/2035		99		99
4.945% due 02/25/2036		291		290
5.015% due 12/25/2035		1,700		1,663
American Express Credit Account Master Trust
5.208% due 11/15/2010		2,800		2,802
Amortizing Residential Collateral Trust
5.155% due 07/25/2032		1		1
Argent Securities, Inc.
4.915% due 09/25/2036		1,731		1,706
4.925% due 05/25/2036		58		57
4.935% due 04/25/2036		204		203
4.945% due 03/25/2036		102		101
Aurum CLO 2002-1 Ltd.
5.672% due 04/15/2014		1,940		1,954
Bear Stearns Asset-Backed Securities Trust
4.945% due 10/25/2036		1,916		1,893
5.065% due 09/25/2034		87		87
5.563% due 10/25/2036		2,103		2,045
Carrington Mortgage Loan Trust
4.930% due 07/25/2036		273		271
Chase Credit Card Master Trust
5.148% due 01/17/2011		2,160		2,160
Citibank Omni Master Trust
5.962% due 12/23/2013		5,900		5,896
Citigroup Mortgage Loan Trust, Inc.
4.905% due 08/25/2036		1,069		1,059
Countrywide Asset-Backed Certificates
4.895% due 01/25/2046		1,270		1,254
4.915% due 01/25/2037		1,049		1,036
4.915% due 05/25/2037		3,958		3,856
4.915% due 12/25/2046		750		740
4.935% due 06/25/2036		376		374
4.935% due 07/25/2036		336		334
4.935% due 08/25/2036		258		257
4.995% due 07/25/2036		88		88
First Franklin Mortgage Loan Asset-Backed Certificates
4.895% due 07/25/2036		1,381		1,365
Fremont Home Loan Trust
4.925% due 01/25/2037		1,988		1,938
GE-WMC Mortgage Securities LLC
4.905% due 08/25/2036		410		396
GS Auto Loan Trust
5.344% due 07/15/2008		399		399
GSAMP Trust
4.935% due 01/25/2036		218		206
4.935% due 02/25/2036		444		442
4.955% due 11/25/2035		216		208
5.155% due 03/25/2034		109		109
Home Equity Asset Trust
4.945% due 05/25/2036		252		250
HSI Asset Securitization Corp. Trust
4.915% due 12/25/2036		2,043		1,968
4.945% due 12/25/2035		355		352
Indymac Residential Asset-Backed Trust
4.955% due 03/25/2036		135		135
4.995% due 04/25/2037		2,252		2,161
JPMorgan Mortgage Acquisition Corp.
4.905% due 08/25/2036		919		904
4.915% due 10/25/2036		2,264		2,208
Lehman XS Trust
4.945% due 04/25/2046		611		605
4.945% due 07/25/2046		1,093		1,084
4.945% due 08/25/2046		1,140		1,132
Long Beach Mortgage Loan Trust
4.955% due 01/25/2046		183		183
5.145% due 10/25/2034		186		179
MASTR Asset-Backed Securities Trust
4.945% due 01/25/2036		417		414
4.945% due 05/25/2037		2,339		2,293
Morgan Stanley ABS Capital I
4.905% due 07/25/2036		1,493		1,468
4.915% due 10/25/2036		1,646		1,573
4.935% due 03/25/2036		547		543
Nelnet Student Loan Trust
5.174% due 10/25/2016		187		187
5.182% due 09/25/2012		125		125
New Century Home Equity Loan Trust
4.935% due 08/25/2036		159		158
Quest Trust
5.425% due 06/25/2034		1		1
Residential Asset Securities Corp.
4.905% due 06/25/2036		1,037		1,023
4.935% due 03/25/2036		17		17
4.935% due 04/25/2036		211		211
4.935% due 07/25/2036		869		863
SLM Student Loan Trust
5.074% due 10/27/2014		1,429		1,427
Soundview Home Equity Loan Trust
4.905% due 11/25/2036		815		810
Structured Asset Securities Corp.
4.900% due 04/25/2035		794		776
Truman Capital Mortgage Loan Trust
5.205% due 01/25/2034		5		5
Total Asset-Backed Securities (Cost $60,967)				60,076
SOVEREIGN ISSUES 0.1%
Banque Centrale de Tunisie
7.375% due 04/25/2012		39		42
Panama Government International Bond
9.625% due 02/08/2011		258		291
Total Sovereign Issues (Cost $320)				333
FOREIGN CURRENCY-DENOMINATED ISSUES 0.9%
Brazilian Government International Bond
10.250% due 01/10/2028	BRL	1,400		764
General Electric Capital Corp.
6.500% due 09/15/2067	GBP	1,800		3,620
Republic of Germany
5.500% due 01/04/2031	EUR	200		327
Total Foreign Currency-Denominated Issues (Cost $4,547)				4,711
	Shares
PREFERRED STOCKS 0.2%
Fannie Mae
8.250% due 12/31/2049		48,000		1,225
Total Preferred Stocks (Cost $1,200)				1,225
EXCHANGE-TRADED FUNDS 2.5%
iShares MSCI EAFE Index Fund		172,236		13,521
Total Exchange-Traded Funds (Cost $10,076)				13,521
	Principal Amount (000s)
SHORT-TERM INSTRUMENTS 8.2%
Commercial Paper 1.1%
Citibank N.A.
5.940% due 02/04/2008	$	5,900		5,868
Repurchase Agreements 0.8%
State Street Bank and Trust Co.
3.900% due 01/02/2008		4,504		4,504
(Dated 12/31/2007. Collateralized by Federal Home Loan Bank 3.625% due 01/15/2008 valued at $4,599. Repurchase proceeds are $4,505.)
U.S. Treasury Bills 6.3%
2.973% due 02/28/2008 - 03/13/2008 (a)(c)(f)		34,610		34,285
Total Short-Term Instruments (Cost $44,781)				44,657
Purchased Options (h) 2.5% (Cost $4,703)				13,779
Total Investments 178.9% (Cost $959,129)			$	976,147
Written Options (i) (1.8%) (Premiums $3,745)				(9,567	)
Other Assets and Liabilities (Net) (77.1%)				(420,864	)
Net Assets (d) 100.0%			$	545,716

Notes to Schedule of Investments (amounts in thousands*, except number of contracts):

* A zero balance may reflect actual amounts rounding to less than one thousand.

(a) Coupon represents a weighted average rate.

(b) Principal amount of security is adjusted for inflation.

(c) Securities with an aggregate market value of $32,195 have been pledged as collateral for swap and swaption contracts on December 31, 2007.

(d) As of December 31, 2007, portfolio securities with an aggregate value of $9,854 and derivative instruments with an aggregate depreciation of ($2,356) were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(e) The average amount of borrowings outstanding during the period ended December 31, 2007 was $106,118 at a weighted average interest rate of 4.980%. On December 31, 2007, securities valued at $92,236 were pledged as collateral for reverse repurchase agreements.

(f) Securities with an aggregate market value of $2,090 and cash of $6,395 have been segregated with the custodian to cover margin requirements for the following open futures contracts on December 31, 2007:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Euribor December Futures	Long	12/2008	107	$	(2	)
90-Day Euribor June Futures	Long	06/2008	10		(7	)
90-Day Euribor March Futures	Long	03/2008	250		(157	)
90-Day Euribor September Futures	Long	09/2008	178		(43	)
90-Day Eurodollar December Futures	Long	12/2008	557		1,380
90-Day Eurodollar June Futures	Long	06/2008	165		347
90-Day Eurodollar March Futures	Long	03/2009	908		3,396
90-Day Eurodollar September Futures	Long	09/2008	131		337
Euro-Bobl March Futures	Short	03/2008	185		430
Euro-Bobl March Futures Call Options Strike @ EUR 118.000	Long	03/2008	185		0
Euro-Bund 10-Year Bond March Futures	Long	03/2008	55		(163	)
Euro-Bund 10-Year Bond March Futures Put Options Strike @ EUR 106.000	Long	03/2008	55		0
Euro-Schatz March Futures	Short	03/2008	333		267
Euro-Schatz March Futures Call Options Strike @ EUR 106.200	Long	03/2008	333		0
Japan Government 10-Year Bond March Futures	Long	03/2008	1		6
U.S. Treasury 2-Year Note March Futures	Short	03/2008	417		(224	)
U.S. Treasury 5-Year Note March Futures	Short	03/2008	1,136		(199	)
U.S. Treasury 10-Year Note March Futures	Long	03/2008	1,312		463
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2008	256		387
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2008	671		665
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2009	211		689
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2008	88		33
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2009	103		190
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2008	153		124
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2009	139		249
United Kingdom Government 10-Year Bond March Futures	Short	03/2008	41		2
				$	8,170

(g) Swap agreements outstanding on December 31, 2007:

Credit Default Swaps on Securities

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Bank of America	Clorox Co. 6.125% due 02/01/2011	Buy	(0.330	%)	12/20/2012	$	2,700	$	16
Bank of America	Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.170	%	09/20/2008		2,500		(9)
Bank of America	Morgan Stanley 6.600% due 04/01/2012	Sell	0.190	%	09/20/2008		2,400		(15)
Barclays Bank PLC	Panama Government International Bond 8.875% due 09/30/2027	Sell	0.260	%	12/20/2008		500		0
Barclays Bank PLC	Pemex Project Funding Master Trust 9.500% due 09/15/2027	Sell	0.290	%	12/20/2008		2,800		5
Bear Stearns & Co., Inc.	Loews Corp. 5.250% due 03/15/2016	Buy	(0.280	%)	03/20/2016		2,800		21
Citibank N.A.	Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.920	%	09/20/2012		700		9
Citibank N.A.	Merrill Lynch & Co., Inc. 5.000% due 01/15/2015	Sell	0.950	%	09/20/2012		700		(8)
Deutsche Bank AG	Goodrich Corp. 6.290% due 07/01/2016	Buy	(0.510	%)	09/20/2016		2,200		(30)
Deutsche Bank AG	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.420	%	12/20/2008		2,600		(6)
Deutsche Bank AG	Reynolds American, Inc. 7.625% due 06/01/2016	Sell	1.280	%	06/20/2017		1,000		21
Goldman Sachs & Co.	Erac USA Finance Co, 6.375% due 10/15/2017	Buy	(0.800	%)	12/20/2017		7,500		320
Goldman Sachs & Co.	Limited Brands, Inc. 6.125% due 12/01/2012	Buy	(1.030	%)	06/20/2017		5,000		422
Goldman Sachs & Co.	Wells Fargo Bank N.A. 4.750% due 02/09/2015	Buy	(0.140	%)	03/20/2015		5,000		147
Lehman Brothers, Inc.	BellSouth Corp. 5.200% due 09/15/2014	Buy	(0.325	%)	09/20/2014		1,200		(1)
Lehman Brothers, Inc.	Turkey Government International Bond 11.875% due 01/15/2030	Buy	(2.110	%)	10/20/2010		100		(3)
Morgan Stanley	Turkey Government International Bond 11.875% due 01/15/2030	Buy	(2.200	%)	10/20/2010		100		(3)
Royal Bank of Scotland Group PLC	AutoZone, Inc. 5.875% due 10/15/2012	Buy	(0.665	%)	06/20/2017		1,900		(15)
Royal Bank of Scotland Group PLC	Kohl’s Corp. 6.250% due 12/15/2007	Buy	(0.680	%)	12/20/2017		10,000		269
UBS Warburg LLC	Weyerhaeuser Co. 6.750% due 03/15/2012	Buy	(0.960	%)	06/20/2017		800		12
								$	1,152
Credit Default Swaps on Credit Indices
Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
Morgan Stanley	Dow Jones iTraxx Europe 8X0V Index	Buy	(4.600	%)	12/20/2017	EUR	3,100		(39)
Barclays Bank PLC	Dow Jones CDX N.A. HY8 Index	Sell	0.483	%	06/20/2012	$	3,800		(45)
Bear Stearns & Co., Inc.	Home Equity Index A Rating 2006-1	Buy	(0.540	%)	07/25/2045		2,200		857
Credit Suisse USA, Inc.	Dow Jones CDX N.A. HV9 Index	Sell	1.400	%	12/20/2012		3,500		(32)
Credit Suisse USA, Inc.	Dow Jones CDX N.A. HY8 Index	Buy	(2.750	%)	06/20/2012		2,500		79
Deutsche Bank AG	Home Equity Index A Rating 2006-1	Sell	0.540	%	07/25/2045		750		(242)
JPMorgan Chase & Co.	Dow Jones CDX N.A. IG9 Index	Sell	0.600	%	12/20/2012		4,600		(13)
Lehman Brothers, Inc.	Dow Jones CDX N.A. HY8 Index	Buy	(2.750	%)	06/20/2012		1,500		26
Lehman Brothers, Inc.	Dow Jones CDX N.A. HY8 Index	Sell	2.750	%	06/20/2012		2,500		(79)
Merrill Lynch & Co., Inc.	Home Equity Index A Rating 2006-1	Sell	0.540	%	07/25/2045		700		(223)
Morgan Stanley	Dow Jones CDX N.A. IG5 Index	Buy	(0.143	%)	12/20/2012		7,800		234
Morgan Stanley	Dow Jones CDX N.A. IG5 Index	Sell	0.463	%	12/20/2015		5,600		(224)
Morgan Stanley	Dow Jones CDX N.A. IG8 Index	Buy	(0.170	%)	06/20/2012		22,600		(9)
UBS Warburg LLC	Home Equity Index A Rating 2006-1	Sell	0.540	%	07/25/2045		750		(241)
								$	49

⁽¹⁾ If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will pay to the buyer of the protection an amount up to the notional value of the swap and in certain instances, take delivery of the security. As a buyer of protection, the Fund will generally receive from the seller of protection an amount up to the notional amount of the swap if a credit event occurs.

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate	Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Citibank N.A.	3-Month Australian Bank Bill	Pay	7.000%	09/15/2009	AUD	7,400	$	(17)
Deutsche Bank AG	6-Month Australian Bank Bill	Pay	7.000%	06/15/2010		30,600		(372)
Lehman Brothers, Inc.	3-Month Australian Bank Bill	Pay	7.000%	09/15/2009		9,800		(21)
Morgan Stanley	6-Month Australian Bank Bill	Pay	7.000%	06/15/2010		15,800		(172)
Barclays Bank PLC	BRL-CDI-Compounded	Pay	12.540%	01/02/2012	BRL	11,900		(52)
Goldman Sachs & Co.	BRL-CDI-Compounded	Pay	10.150%	01/02/2012		31,200		(1,284)
Merrill Lynch & Co., Inc.	BRL-CDI-Compounded	Pay	12.670%	01/04/2010		10,600		50
Merrill Lynch & Co., Inc.	BRL-CDI-Compounded	Pay	12.540%	01/02/2012		4,800		(15)
Morgan Stanley	BRL-CDI-Compounded	Pay	10.115%	01/02/2012		33,700		(671)
UBS Warburg LLC	BRL-CDI-Compounded	Pay	10.575%	01/02/2012		19,500		(386)
Barclays Bank PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.980%	04/30/2012	EUR	600		(11)
Barclays Bank PLC	6-Month EUR-LIBOR	Receive	4.000%	12/15/2014		1,900		67
Citibank N.A.	6-Month EUR-LIBOR	Pay	4.800%	07/11/2012		20,400		417
Citibank N.A.	6-Month EUR-LIBOR	Receive	5.000%	07/11/2037		2,000		(78)
Deutsche Bank AG	6-Month EUR-LIBOR	Pay	4.000%	12/15/2011		22,200		(205)
Deutsche Bank AG	6-Month EUR-LIBOR	Receive	4.000%	12/15/2014		1,000		32
JPMorgan Chase & Co.	6-Month EUR-LIBOR	Pay	4.500%	03/19/2010		9,210		0
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.958%	04/10/2012		200		(4)
Lehman Brothers, Inc.	6-Month EUR-LIBOR	Pay	4.500%	03/19/2010		42,300		(124)
Morgan Stanley	6-Month EUR-LIBOR	Pay	4.500%	03/19/2010		5,890		0
Royal Bank of Scotland Group PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.955%	03/28/2012		500		(9)
Barclays Bank PLC	6-Month GBP-LIBOR	Receive	6.000%	06/19/2009	GBP	18,000		(399)
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	5.000%	09/15/2010		4,600		83
Deutsche Bank AG	6-Month GBP-LIBOR	Pay	6.000%	03/20/2009		12,800		238
Deutsche Bank AG	6-Month GBP-LIBOR	Receive	5.000%	09/20/2017		1,100		(63)
Goldman Sachs & Co.	6-Month GBP-LIBOR	Receive	6.000%	06/19/2009		50,000		(1,114)
Lehman Brothers, Inc.	6-Month GBP-LIBOR	Pay	5.500%	03/20/2013		2,800		113
Morgan Stanley	6-Month GBP-LIBOR	Receive	4.000%	12/15/2035		3,500		(6)
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Pay	5.000%	09/15/2010		1,500		29
Morgan Stanley	6-Month JPY-LIBOR	Receive	1.500%	06/20/2015	JPY	110,000		(2)
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	7.910%	05/14/2009	MXN	89,000		(27)
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.860%	09/12/2016		6,700		12
Merrill Lynch & Co., Inc.	28-Day Mexico Interbank TIIE Banxico	Pay	8.170%	11/04/2016		5,500		(16)
Morgan Stanley	28-Day Mexico Interbank TIIE Banxico	Pay	7.910%	05/14/2009		57,000		(17)
Barclays Bank PLC	3-Month USD-LIBOR	Pay	4.000%	06/18/2010	$	66,100		90
Barclays Bank PLC	3-Month USD-LIBOR	Pay	5.000%	06/18/2010		23,100		72
Barclays Bank PLC	3-Month USD-LIBOR	Receive	5.000%	06/18/2018		7,200		(24)
Citibank N.A.	3-Month USD-LIBOR	Receive	5.000%	03/18/2014		8,200		(213)
Deutsche Bank AG	3-Month USD-LIBOR	Pay	4.000%	06/18/2010		31,300		73
Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000%	12/15/2035		9,600		(145)
JPMorgan Chase & Co.	3-Month USD-LIBOR	Pay	4.000%	06/18/2013		20,800		158
JPMorgan Chase & Co.	3-Month USD-LIBOR	Receive	5.000%	03/18/2014		11,300		(282)
JPMorgan Chase & Co.	3-Month USD-LIBOR	Pay	5.000%	06/18/2038		1,200		34
Merrill Lynch & Co., Inc.	3-Month USD-LIBOR	Pay	4.000%	06/18/2010		46,700		2
Merrill Lynch & Co., Inc.	3-Month USD-LIBOR	Pay	4.000%	06/18/2013		7,700		36
Merrill Lynch & Co., Inc.	3-Month USD-LIBOR	Receive	5.000%	06/18/2018		4,500		(62)
Merrill Lynch & Co., Inc.	3-Month USD-LIBOR	Receive	5.000%	06/18/2023		8,400		(184)
Morgan Stanley	3-Month USD-LIBOR	Pay	4.000%	06/18/2010		15,900		69
Morgan Stanley	3-Month USD-LIBOR	Pay	4.000%	06/18/2013		28,900		349
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.000%	06/18/2010		54,200		(13)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.000%	06/18/2013		6,700		72
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000%	06/18/2015		39,800		(617)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000%	06/18/2018		55,800		(89)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000%	12/19/2027		7,700		(245)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000%	06/18/2038		9,600		251
UBS Warburg LLC	3-Month USD-LIBOR	Pay	5.000%	06/18/2009		77,800		1,276
							$	(3,416)

Total Return Swaps

Counterparty	Type	Receive Total Return	Pay	Expiration Date	# of Contracts	Unrealized Appreciation/ (Depreciation)
Barclays Bank PLC	Long	iShares MSCI EAFE Index	1-Month USD-LIBOR less 0.200%	04/14/2008	3,946,083	$	(537	)
Barclays Bank PLC	Short	iShares MSCI EAFE Index	1-Month USD-LIBOR less 0.200%	04/14/2008	514,461		418
Goldman Sachs & Co.	Long	iShares MSCI EAFE Index	1-Month USD-LIBOR less 0.250%	11/15/2008	173,350		(486	)
Goldman Sachs & Co.	Short	iShares MSCI EAFE Index	1-Month USD-LIBOR less 0.250%	11/15/2008	272,754		(62	)
Goldman Sachs & Co.	Long	iShares MSCI EAFE Index Fund	1-Month USD-LIBOR less 0.250%	11/15/2008	31,279		(17	)
Merrill Lynch & Co., Inc.	Long	iShares MSCI EAFE Index	1-Month USD-LIBOR less 0.250%	04/14/2008	3,087,175		(7,864	)
						$	(8,548	)

(h) Purchased options outstanding on December 31, 2007:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Cost		Value
Call - CBOT U.S. Treasury 2-Year Note March Futures	$	118.500	02/22/2008	412	$	8	$	6
Call - CBOT U.S. Treasury 2-Year Note March Futures		120.000	02/22/2008	414		8		6
Call - CBOT U.S. Treasury 5-Year Note March Futures		122.000	02/22/2008	38		1		1
Call - CBOT U.S. Treasury 5-Year Note March Futures		126.500	02/22/2008	42		1		1
Call - CBOT U.S. Treasury 5-Year Note March Futures		127.000	02/22/2008	1,056		20		16
Call - CBOT U.S. Treasury 10-Year Note March Futures		130.000	01/25/2008	70		1		1
Call - CBOT U.S. Treasury 10-Year Note March Futures		132.000	01/25/2008	555		10		8
Call - CBOT U.S. Treasury 10-Year Note March Futures		136.000	02/22/2008	556		11		9
Call - CBOT U.S. Treasury 10-Year Note March Futures		150.000	02/22/2008	375		5		6
Call - CBOT U.S. Treasury 30-Year Bond March Futures		139.000	02/22/2008	63		1		1
Call - CME 90-Day Eurodollar March Futures		95.250	03/17/2008	226		190		297
Call - CME 90-Day Eurodollar March Futures		95.500	03/17/2008	88		45		70
Put - CBOT U.S. Treasury 10-Year Note February Futures		103.000	01/25/2008	105		2		2
Put - CBOT U.S. Treasury 10-Year Note February Futures		104.000	01/25/2008	85		2		1
Put - CBOT U.S. Treasury 10-Year Note February Futures		105.000	01/25/2008	57		1		1
Put - CBOT U.S. Treasury 10-Year Note March Futures		102.000	02/22/2008	603		11		9
Put - CBOT U.S. Treasury 10-Year Note March Futures		103.000	02/22/2008	247		5		4
Put - CBOT U.S. Treasury 30-Year Bond March Futures		93.000	02/22/2008	128		1		2
					$	323	$	441

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Cost		Value
Call - OTC 2-Year Interest Rate Swap	Deutsche Bank AG	6-Month EUR- LIBOR	Pay	4.070	%	09/14/2009	EUR	50,100	$	260	$	220
Call - OTC 2-Year Interest Rate Swap	Bank of America	3-Month USD- LIBOR	Pay	5.000	%	02/01/2008	$	3,000		12		70
Call - OTC 2-Year Interest Rate Swap	Bank of America	3-Month USD- LIBOR	Pay	4.750	%	09/26/2008		56,100		272		1,165
Call - OTC 1-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD- LIBOR	Pay	4.750	%	02/01/2008		16,800		48		128
Call - OTC 5-Year Interest Rate Swap	JPMorgan Chase & Co.	3-Month USD- LIBOR	Pay	4.363	%	06/16/2008		13,300		102		253
Call - OTC 2-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD- LIBOR	Pay	4.750	%	09/26/2008		29,900		104		621
Call - OTC 2-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD- LIBOR	Pay`	5.300	%	08/03/2009		77,300		681		1,855
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD- LIBOR	Pay	5.000	%	02/01/2008		17,500		87		410
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD- LIBOR	Pay	4.750	%	03/31/2008		59,800		343		1,210
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD- LIBOR	Pay	4.750	%	09/26/2008		20,700		74		430
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD- LIBOR	Pay	4.750	%	12/15/2008		15,300		54		304
Call -OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD- LIBOR	Pay	5.000	%	12/15/2008		189,600		751		4,492
									$	2,788	$	11,158

Foreign Currency Options

Description	Exercise Price		Expiration Date	Notional Amount		Cost		Value
Call - OTC Euro versus U.S. dollar	$	1.355	05/21/2008	EUR	3,100	$	94	$	347
Put - OTC Euro versus U.S. dollar		1.355	05/21/2008		3,100		94		19
Call - OTC Euro versus U.S. dollar		1.362	05/21/2008		2,000		61		212
Put - OTC Euro versus U.S. dollar		1.362	05/21/2008		2,000		61		14
Call - OTC Euro versus U.S. dollar		1.375	05/21/2010		2,800		136		289
Put - OTC Euro versus U.S. dollar		1.375	05/21/2010		2,800		136		111
Call - OTC Euro versus U.S. dollar		1.375	06/03/2010		1,400		67		144
Put - OTC Euro versus U.S. dollar		1.375	06/03/2010		1,400		67		56
Call - OTC Euro versus Japanese yen	JPY	148.400	06/03/2010		1,000		56		97
Put - OTC Euro versus Japanese yen		148.400	06/03/2010		1,000		56		78
Call - OTC U.S. dollar versus Japanese yen		121.000	01/18/2008	$	2,300		23		2
Call - OTC U.S. dollar versus Japanese yen		104.000	03/17/2010		3,100		139		164
Put - OTC U.S. dollar versus Japanese yen		104.000	03/17/2010		3,100		126		140
Call - OTC U.S. dollar versus Japanese yen		105.200	03/31/2010		1,200		51		56
Put - OTC U.S. dollar versus Japanese yen		105.200	03/31/2010		1,200		50		60
Call - OTC U.S. dollar versus Japanese yen		105.400	03/31/2010		4,000		168		182
Put - OTC U.S. dollar versus Japanese yen		105.400	03/31/2010		4,000		168		204
						$	1,553	$	2,175

Options on Securities

Description	Strike Price		Expiration Date	Notional Amount		Cost		Value
Call - OTC Treasury Inflation Protected Securities 3.625% due 10/31/2009	$	102.750	02/22/2008	$	27,000	$	4	$	4
Put - OTC Fannie Mae 5.000% due 03/01/2038		80.000	03/05/2008		11,000		1		0
Put - OTC Fannie Mae 5.500% due 03/01/2038		89.000	03/05/2008		127,300		15		1
Put - OTC Fannie Mae 6.000% due 03/01/2038		91.000	03/05/2008		66,000		8		0
Put - OTC Freddie Mac 5.500% due 02/01/2038		88.500	02/05/2008		82,000		10		0
Put - OTC Freddie Mac 5.500% due 03/01/2038		88.813	03/05/2008		11,000		1		0
						$	39	$	5

(i) Written options outstanding on December 31, 2007:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Value
Call - CBOT U.S. Treasury 10-Year Note March Futures	$	111.000	02/22/2008	247	$	84	$	702
Call - CBOT U.S. Treasury 10-Year Note March Futures		117.000	02/22/2008	112		90		196
Call - CME 90-Day Eurodollar March Futures		95.750	03/14/2008	44		25		100
Call - CME 90-Day Eurodollar March Futures		95.875	03/14/2008	44		20		88
Call - CME 90-Day Eurodollar March Futures		95.750	03/17/2008	273		186		114
Call - CME 90-Day Eurodollar March Futures		96.000	03/17/2008	133		76		27
Put - CBOT U.S. Treasury 10-Year Note March Futures		106.000	02/22/2008	247		115		4
					$	596	$	1,231

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Value
Call - OTC 7- Year Interest Rate Swap	Deutsche Bank AG	6-Month EUR-LIBOR	Receive	4.250	%	09/14/2009	EUR	16,200	$	239	$	195
Call - OTC 5- Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Receive	5.100	%	02/01/2008	$	1,300		12		54
Call - OTC 5- Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Receive	4.950	%	09/26/2008		24,400		275		889
Call - OTC 5- Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Receive	4.900	%	02/01/2008		3,700		46		122
Put - OTC 5- Year Interest Rate Swap	Citibank N.A.	3-Month USD-LIBOR	Pay	5.400	%	03/16/2009		22,200		268		133
Put - OTC 5- Year Interest Rate Swap	JPMorgan Chase & Co.	3-Month USD-LIBOR	Pay	5.400	%	03/16/2009		22,200		279		133
Call - OTC 5- Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	4.950	%	09/26/2008		13,000		105		474
Call - OTC 5- Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	5.500	%	08/03/2009		33,600		664		1,608
Call - OTC 5- Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.100	%	02/01/2008		7,600		91		317
Call - OTC 5- Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.900	%	03/31/2008		26,000		332		899
Call - OTC 5- Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.950	%	09/26/2008		9,000		74		328
Call - OTC 7- Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	12/15/2008		5,100		52		200
Call - OTC 7- Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.200	%	12/15/2008		63,200		712		2,984
									$	3,149	$	8,336

(j) Short sales outstanding on December 31, 2007:

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Value(2)
Fannie Mae	5.500	%	11/01/2037	$	11,000	$	10,810	$	10,850
Fannie Mae	5.500	%	01/01/2038		25,000		24,872		24,973
Fannie Mae	6.000	%	01/01/2038		2,000		2,022		2,031
U.S. Treasury Bonds	3.625	%	10/31/2009		234,000		235,659		236,377
U.S. Treasury Bonds	4.250	%	11/15/2017		9,700		9,723		9,872
U.S. Treasury Bonds	4.750	%	08/15/2017		32,300		34,042		34,125
U.S. Treasury Bonds	4.750	%	02/15/2037		43,800		45,259		45,853
U.S. Treasury Bonds	8.875	%	08/15/2017		2,600		3,546		3,578
U.S. Treasury Notes	4.125	%	08/31/2012		9,200		9,421		9,475
U.S. Treasury Notes	4.500	%	05/15/2017		23,300		23,683		24,157
U.S. Treasury Notes	4.750	%	05/15/2014		300		317		319
						$	399,354	$	401,610

⁽²⁾ Market value includes $3,861 of interest payable on short sales.

(k) Foreign currency contracts outstanding on December 31, 2007:

Type	Currency	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	AUD	16,975	01/2008	$	5	$	(9	)	$	(4	)
Sell		54,190	02/2008		0		(1,128	)		(1,128	)
Buy	BRL	1,179	01/2008		13		0			13
Sell		1,179	01/2008		0		(13	)		(13	)
Buy		51,342	03/2008		2,506		(47	)		2,459
Sell		8,499	03/2008		20		(236	)		(216	)
Buy		1,638	07/2008		25		0			25
Sell		4,879	07/2008		0		(62	)		(62	)
Sell	CAD	383	01/2008		0		(9	)		(9	)
Buy	CHF	1,050	03/2008		14		0			14
Sell		52,935	03/2008		252		0			252
Buy	CLP	8,500	03/2008		1		0			1
Buy	CNY	81,431	01/2008		151		0			151
Sell		81,431	01/2008		0		(114	)		(114	)
Buy		39,344	07/2008		173		0			173
Sell		39,344	07/2008		0		(45	)		(45	)
Buy		35,304	10/2008		5		(1	)		4
Sell		35,304	10/2008		0		(51	)		(51	)
Sell	DKK	21,583	03/2008		16		0			16
Buy	EUR	17,590	01/2008		116		(27	)		89
Sell		160,540	01/2008		370		0			370
Buy	GBP	7,067	01/2008		25		(12	)		13
Sell		74,305	01/2008		1,871		(3	)		1,868
Sell	HKD	83,448	01/2008		52		0			52
Buy	JPY	2,750,000	02/2008		148		(1	)		147
Sell		14,721,489	02/2008		296		0			296
Buy	KRW	2,783,074	01/2008		0		(97	)		(97	)
Buy		1,904,451	08/2008		0		(22	)		(22	)
Buy	MXN	57,581	03/2008		93		(23	)		70
Sell		26,853	03/2008		3		(11	)		(8	)
Buy		25,001	07/2008		24		0			24
Buy	MYR	5,401	05/2008		3		0			3
Buy		1,682	08/2008		16		0			16
Sell	NOK	36,045	03/2008		0		(124	)		(124	)
Sell	NZD	1,055	01/2008		0		(20	)		(20	)
Sell		1,055	02/2008		5		0			5
Buy	PLN	5,262	07/2008		211		0			211
Buy	RUB	69,176	01/2008		91		0			91
Sell		69,176	01/2008		5		0			5
Buy		108,382	07/2008		105		0			105
Buy		69,176	11/2008		1		0			1
Sell	SEK	109,630	03/2008		182		0			182
Sell	SGD	5,224	02/2008		0		(33	)		(33	)
				$	6,798	$	(2,088	)	$	4,710

See accompanying notes

Schedule of Investments

International StocksPLUS^® TR Strategy Fund (Unhedged)

December 31, 2007 (Unaudited)

	Principal Amount (000s)		Value (000s)
CORPORATE BONDS & NOTES 22.8%
Banking & Finance 19.3%
Allstate Life Global Funding Trusts
4.924% due 03/23/2009	$	100	$	100
American Express Centurion Bank
5.252% due 06/12/2009		600		598
American General Finance Corp.
6.900% due 12/15/2017		200		200
American Honda Finance Corp.
4.868% due 08/05/2008		130		130
American International Group, Inc.
5.850% due 01/16/2018		300		302
Bank of America Corp.
5.750% due 12/01/2017		200		201
Bank of Ireland
5.016% due 12/18/2009		300		299
Barclays Bank PLC
5.450% due 09/12/2012		900		923
6.050% due 12/04/2017		100		101
Bear Stearns Cos., Inc.
5.025% due 05/18/2010		500		473
5.494% due 07/16/2009		100		96
C10 Capital SPV Ltd.
6.722% due 12/31/2049		100		92
Caterpillar Financial Services Corp.
4.965% due 05/18/2009		200		200
CIT Group, Inc.
5.091% due 12/19/2008		500		472
Citigroup Capital XXI
8.300% due 12/21/2057		100		105
Citigroup Funding, Inc.
4.858% due 06/26/2009		100		99
5.136% due 12/08/2008		200		198
Citigroup, Inc.
5.055% due 05/18/2010		730		723
6.000% due 08/15/2017		200		204
Credit Agricole S.A.
5.053% due 05/28/2009		100		100
5.103% due 05/28/2010		100		100
Credit Suisse USA, Inc.
5.069% due 08/15/2010		600		594
Ford Motor Credit Co. LLC
6.625% due 06/16/2008		2,100		2,070
7.250% due 10/25/2011		500		433
General Electric Capital Corp.
5.250% due 01/20/2010		600		593
Goldman Sachs Group, Inc.
4.880% due 03/30/2009		100		100
4.958% due 11/16/2009		290		285
6.750% due 10/01/2037		1,200		1,179
HSBC Holdings PLC
6.500% due 05/02/2036		200		195
ICICI Bank Ltd.
5.788% due 01/12/2010		100		99
International Lease Finance Corp.
5.008% due 06/26/2009		370		369
JPMorgan Chase & Co.
4.915% due 06/26/2009		290		289
6.000% due 01/15/2018		100		102
Lehman Brothers Holdings, Inc.
5.170% due 05/25/2010		100		96
Merrill Lynch & Co., Inc.
4.948% due 05/08/2009		200		195
Metropolitan Life Global Funding I
4.945% due 05/17/2010		200		199
Morgan Stanley
4.925% due 05/07/2009		300		296
5.006% due 02/09/2009		340		336
Residential Capital LLC
7.615% due 05/22/2009		100		72
Royal Bank of Scotland Group PLC
6.990% due 10/29/2049		200		200
SLM Corp.
5.224% due 07/27/2009		30		28
5.294% due 07/25/2008		500		490
SMFG Preferred Capital USD 1 Ltd.
6.078% due 01/29/2049		100		93
U.S. Bank N.A.
5.185% due 03/31/2008		500		500
UBS AG
5.875% due 12/20/2017		100		101
Wachovia Corp.
5.174% due 12/01/2009		200		198
World Savings Bank FSB
4.976% due 06/20/2008		300		300
				15,128
Industrials 2.3%
Amgen, Inc.
5.133% due 11/28/2008		200		200
AstraZeneca PLC
5.900% due 09/15/2017		100		105
Citigroup Global Markets Deutschland AG for OAO Gazprom
10.500% due 10/21/2009		100		109
Daimler Finance North America LLC
5.461% due 03/13/2009		50		50
General Mills, Inc.
5.310% due 01/22/2010		100		99
Home Depot, Inc.
5.116% due 12/16/2009		100		98
International Business Machines Corp.
5.700% due 09/14/2017		900		932
Kraft Foods, Inc.
6.125% due 02/01/2018		100		101
Rohm & Haas Co.
6.000% due 09/15/2017		100		102
				1,796
Utilities 1.2%
AT&T, Inc.
6.300% due 01/15/2038		200		204
BellSouth Corp.
4.240% due 04/26/2021		300		299
Enel Finance International S.A.
6.800% due 09/15/2037		300		302
NGPL Pipe Co. LLC
6.514% due 12/15/2012		100		102
				907
Total Corporate Bonds & Notes (Cost $17,985)				17,830
MUNICIPAL BONDS & NOTES 1.0%
New York City, New York Municipal Water Finance Authority Revenue Bonds, Series 2006
4.750% due 06/15/2037		800		804
Total Municipal Bonds & Notes (Cost $806)				804
U.S. GOVERNMENT AGENCIES 65.5%
Fannie Mae
5.000% due 02/25/2017 - 02/01/2038		9,827		9,590
5.500% due 02/01/2018 - 01/01/2038		4,386		4,396
6.000% due 12/01/2035 - 12/01/2037		19,841		20,154
6.000% due 01/01/2037 (c)		3,793		3,853
6.063% due 06/01/2043		64		63
6.500% due 10/01/2035 - 01/01/2038		2,013		2,070
Freddie Mac
4.250% due 09/15/2024		315		313
5.000% due 07/15/2020		171		171
5.178% due 07/15/2019 - 10/15/2020		1,906		1,898
5.258% due 02/15/2019		744		741
5.500% due 01/01/2038		2,000		1,996
6.000% due 09/01/2037 (c)		3,897		3,956
6.000% due 11/01/2037		999		1,014
Ginnie Mae
6.000% due 08/15/2037		997		1,021
Small Business Administration
5.290% due 12/01/2027		100		101
Total U.S. Government Agencies (Cost $50,995)				51,337
U.S. TREASURY OBLIGATIONS 5.5%
Treasury Inflation Protected Securities (b)
2.000% due 01/15/2014		113		117
2.000% due 07/15/2014		669		691
2.375% due 01/15/2027		834		882
3.500% due 01/15/2011		2,414		2,597
Total U.S. Treasury Obligations (Cost $4,251)				4,287
MORTGAGE-BACKED SECURITIES 5.0%
Arran Residential Mortgages Funding PLC
5.252% due 04/12/2036		31		31
Bear Stearns Alt-A Trust
5.025% due 02/25/2034		327		311
Bear Stearns Mortgage Funding Trust
4.935% due 02/25/2037		176		175
Countrywide Alternative Loan Trust
5.025% due 02/25/2047		233		219
5.788% due 02/25/2036		150		144
Countrywide Home Loan Mortgage Pass-Through Trust
4.726% due 02/20/2035		212		211
4.801% due 11/25/2034		121		120
Deutsche ALT-A Securities, Inc. Alternate Loan Trust
4.935% due 01/25/2047		135		132
4.945% due 03/25/2037		64		63
Greenpoint Mortgage Funding Trust
4.945% due 01/25/2047		87		85
GS Mortgage Securities Corp. II
5.342% due 03/06/2020		143		137
5.352% due 06/06/2020		5		5
GSR Mortgage Loan Trust
5.251% due 11/25/2035		87		84
JPMorgan Mortgage Trust
5.023% due 02/25/2035		68		67
Lehman Brothers Floating Rate Commercial Mortgage Trust
5.108% due 09/15/2021		94		94
Merrill Lynch Mortgage Investors, Inc.
5.075% due 02/25/2036		35		34
MLCC Mortgage Investors, Inc.
5.115% due 11/25/2035		61		59
Morgan Stanley Capital I
5.088% due 10/15/2020		55		54
Residential Accredit Loans, Inc.
6.148% due 09/25/2045		246		238
Structured Asset Mortgage Investments, Inc.
4.995% due 03/25/2037		148		140
5.215% due 07/19/2035		61		59
TBW Mortgage-Backed Pass-Through Certificates
4.975% due 01/25/2037		281		275
Wachovia Bank Commercial Mortgage Trust
5.108% due 06/15/2020		181		173
5.681% due 04/15/2034		37		38
Washington Mutual, Inc.
5.505% due 12/25/2027		272		256
5.518% due 01/25/2047		82		77
5.788% due 02/25/2046		488		475
Wells Fargo Mortgage-Backed Securities Trust
4.949% due 01/25/2035		132		131
Total Mortgage-Backed Securities (Cost $3,991)				3,887
ASSET-BACKED SECURITIES 16.3%
Accredited Mortgage Loan Trust
4.985% due 04/25/2036		300		295
American Express Credit Account Master Trust
5.028% due 01/18/2011		400		400
5.528% due 02/15/2012		104		104
Asset-Backed Funding Certificates
4.925% due 01/25/2037		59		58
Bear Stearns Asset-Backed Securities Trust
4.925% due 01/25/2037		147		142
4.955% due 06/25/2047		78		75
BNC Mortgage Loan Trust
4.965% due 05/25/2037		175		166
Carrington Mortgage Loan Trust
4.915% due 01/25/2037		314		308
Chase Credit Card Master Trust
5.138% due 07/15/2010		600		600
Chase Issuance Trust
5.038% due 12/15/2010		300		300
5.038% due 02/15/2011		300		300
Citibank Credit Card Issuance Trust
3.100% due 03/10/2010		600		598
5.045% due 02/07/2010		670		670
Citigroup Mortgage Loan Trust, Inc.
4.905% due 12/25/2036		162		157
4.925% due 01/25/2037		172		169
4.975% due 08/25/2036		500		471
Countrywide Asset-Backed Certificates
4.915% due 05/25/2037		355		348
4.915% due 07/25/2037		401		388
4.935% due 06/25/2037		72		70
4.945% due 06/25/2037		373		364
4.945% due 10/25/2037		244		240
5.045% due 09/25/2036		550		511
Credit-Based Asset Servicing & Securitization LLC
4.925% due 11/25/2036		358		346
4.955% due 12/25/2037		283		276
First Franklin Mortgage Loan Asset-Backed Certificates
4.905% due 01/25/2038		150		145
First USA Credit Card Master Trust
5.156% due 04/18/2011		300		300
Fremont Home Loan Trust
4.965% due 05/25/2036		85		84
GSAMP Trust
4.935% due 12/25/2036		225		219
HFC Home Equity Loan Asset-Backed Certificates
5.019% due 03/20/2036		213		210
HSBC Asset Loan Obligation
4.925% due 12/25/2036		372		357
HSI Asset Securitization Corp. Trust
4.915% due 12/25/2036		289		282
MASTR Asset-Backed Securities Trust
4.915% due 01/25/2037		86		84
4.925% due 11/25/2036		256		249
4.945% due 05/25/2037		75		74
MBNA Credit Card Master Note Trust
4.200% due 09/15/2010		600		599
5.148% due 08/16/2010		100		100
Merrill Lynch Mortgage Investors, Inc.
4.935% due 08/25/2036		169		167
Morgan Stanley ABS Capital I
4.905% due 01/25/2037		76		74
4.915% due 11/25/2036		203		193
Option One Mortgage Loan Trust
4.915% due 01/25/2037		127		125
4.935% due 01/25/2036		30		30
Residential Asset Securities Corp.
4.935% due 02/25/2037		234		229
Securitized Asset-Backed Receivables LLC Trust
4.905% due 01/25/2037		447		433
4.925% due 12/25/2036		159		149
SLM Student Loan Trust
3.800% due 12/15/2038		500		490
Soundview Home Equity Loan Trust
4.925% due 12/25/2036		118		116
4.945% due 06/25/2037		162		159
Specialty Underwriting & Residential Finance
4.925% due 01/25/2038		172		168
Structured Asset Securities Corp.
4.965% due 01/25/2037		364		347
Total Asset-Backed Securities (Cost $13,010)				12,739
SOVEREIGN ISSUES 0.6%
Korea Development Bank
5.380% due 04/03/2010		500		499
Total Sovereign Issues (Cost $500)				499
FOREIGN CURRENCY-DENOMINATED ISSUES 0.5%
General Electric Capital Corp.
5.500% due 09/15/2067	EUR	300		426
Total Foreign Currency-Denominated Issues (Cost $406)				426
SHORT-TERM INSTRUMENTS 0.4%
Repurchase Agreements 0.3%
Lehman Brothers, Inc.
1.000% due 01/02/2008	$	200		200
(Dated 12/31/2007. Collateralized by U.S. Treasury Inflation Protected Securities 3.625% due 04/15/2028 valued at $213. Repurchase proceeds are $200.)
U.S. Treasury Bills 0.1%
2.960% due 03/13/2008 (a)(e)		110		109
Total Short-Term Instruments (Cost $309)				309
Purchased Options (g) 0.5% (Cost $89)				426
Total Investments 118.1% (Cost $92,342)			$	92,545
Written Options (h) (0.4%) (Premiums $115)				(351	)
Other Assets and Liabilities (Net) (17.7%)				(13,832	)
Net Assets (c) 100.0%			$	78,362

Notes to Schedule of Investments (amounts in thousands*, except number of contracts):

* A zero balance may reflect actual amounts rounding to less than one thousand.

(a) Coupon represents a weighted average rate.

(b) Principal amount of security is adjusted for inflation.

(c) As of December 31, 2007, derivative instruments with an aggregate depreciation of ($14) were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(d) The average amount of borrowings outstanding during the period ended December 31, 2007 was $9,909 at a weighted average interest rate of 4.960%. On December 31, 2007, securities valued at $4,068 were pledged as collateral for reverse repurchase agreements.

(e) Securities with an aggregate market value of $109 and cash of $505 have been segregated with the custodian to cover margin requirements for the following open futures contracts on December 31, 2007:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Eurodollar December Futures	Long	12/2008	110	$	359
90-Day Eurodollar June Futures	Long	06/2008	98		199
90-Day Eurodollar June Futures	Long	06/2009	17		42
90-Day Eurodollar March Futures	Long	03/2009	63		169
90-Day Eurodollar September Futures	Long	09/2008	137		390
90-Day Eurodollar September Futures	Long	09/2009	14		32
U.S. Treasury 2-Year Note March Futures	Short	03/2008	15		(12	)
U.S. Treasury 5-Year Note March Futures	Short	03/2008	16		(12	)
U.S. Treasury 10-Year Note March Futures	Long	03/2008	95		(45	)
U.S. Treasury 30-Year Bond March Futures	Short	03/2008	1		0
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2008	3		8
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2008	43		46
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2009	2		5
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2008	14		11
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2009	8		22
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2008	26		50
				$	1,264

(f) Swap agreements outstanding on December 31, 2007:

Credit Default Swaps on Securities

Counterparty	Reference Entity	Sell Protection(1)	Receive Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Bank of America	GMAC LLC 6.875% due 08/28/2012	Sell	1.000	%	09/20/2008	$	1,000	$	(47	)
Barclays Bank PLC	General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.620	%	03/20/2011		600		1
Barclays Bank PLC	General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.640	%	12/20/2012		500		1
Barclays Bank PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.370	%	03/20/2009		500		(3	)
Barclays Bank PLC	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.630	%	03/20/2009		100		0
Credit Suisse USA, Inc.	Panama Government International Bond 8.875% due 09/30/2027	Sell	0.300	%	02/20/2009		500		(1	)
Credit Suisse USA, Inc.	Panama Government International Bond 8.875% due 09/30/2027	Sell	0.270	%	03/20/2009		100		0
Deutsche Bank AG	Reynolds American, Inc. 7.625% due 06/01/2016	Sell	0.300	%	06/20/2008		300		0
HSBC Bank USA	Multiple Reference Entities of Gazprom	Sell	0.970	%	11/20/2008		100		0
HSBC Bank USA	Multiple Reference Entities of Gazprom	Sell	1.250	%	12/20/2008		300		0
HSBC Bank USA	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.240	%	02/20/2008		500		0
Lehman Brothers, Inc.	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.310	%	03/20/2009		100		0
Morgan Stanley	Peru Government International Bond 8.750% due 11/21/2033	Sell	0.310	%	03/20/2009		300		(1	)
Morgan Stanley	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.610	%	02/20/2009		500		(2	)
Royal Bank of Scotland Group PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.085	%	03/20/2012		100		(1	)
								$	(53	)

Credit Default Swaps on Credit Indices

Counterparty	Reference Entity	Sell Protection(1)	Receive Fixed Rate		Expiration Date		Notional Amount		Unrealized (Depreciation)
Citibank N.A.	Dow Jones CDX N.A. HY8 Index	Sell	2.144	%	06/20/2012	$	500	$	(6	)

⁽¹⁾ If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will pay to the buyer of the protection an amount up to the notional value of the swap and in certain instances, take delivery of the security.

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
UBS Warburg LLC	3-Month Australian Bank Bill	Pay	7.000	%	09/15/2009	AUD	1,900	$	(10	)
Barclays Bank PLC	BRL-CDI-Compounded	Pay	11.360	%	01/04/2010	BRL	300		(3	)
Goldman Sachs & Co.	BRL-CDI-Compounded	Pay	11.465	%	01/04/2010		100		(1	)
Merrill Lynch & Co., Inc.	BRL-CDI-Compounded	Pay	11.430	%	01/04/2010		200		(2	)
Merrill Lynch & Co., Inc.	BRL-CDI-Compounded	Pay	12.948	%	01/04/2010		100		1
Merrill Lynch & Co., Inc.	BRL-CDI-Compounded	Pay	11.980	%	01/02/2012		300		(4	)
UBS Warburg LLC	BRL-CDI-Compounded	Pay	10.575	%	01/02/2012		400		(6	)
Deutsche Bank AG	6-Month EUR-LIBOR	Pay	5.000	%	12/19/2009	EUR	400		2
Goldman Sachs & Co.	6-Month EUR-LIBOR	Pay	4.000	%	03/20/2009		200		(1	)
Goldman Sachs & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.995	%	03/15/2012		600		(11	)
JPMorgan Chase & Co.	6-Month EUR-LIBOR	Pay	4.500	%	03/19/2010		300		0
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.948	%	03/15/2012		100		(2	)
Morgan Stanley	6-Month EUR-LIBOR	Pay	4.500	%	03/19/2010		100		0
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	6.000	%	12/20/2008	GBP	400		2
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	5.000	%	06/15/2009		300		5
Deutsche Bank AG	6-Month GBP-LIBOR	Pay	6.000	%	12/20/2008		200		1
Deutsche Bank AG	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2036		400		(24	)
Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	5.000	%	06/15/2009		500		5
Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	6.000	%	06/19/2009		1,200		26
Goldman Sachs & Co.	6-Month GBP-LIBOR	Receive	5.500	%	12/15/2036		100		(11	)
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Pay	6.000	%	03/20/2009		200		1
Barclays Bank PLC	6-Month JPY-LIBOR	Pay	2.000	%	12/19/2017	JPY	10,000		2
Deutsche Bank AG	6-Month JPY-LIBOR	Pay	2.000	%	12/19/2017		10,000		2
Goldman Sachs & Co.	28-Day Mexico Interbank TIIE Banxico	Pay	7.780	%	04/03/2012	MXN	800		(1	)
Bank of America	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010	$	3,300		12
Bank of America	3-Month USD-LIBOR	Pay	5.000	%	06/18/2010		200		1
Bank of America	3-Month USD-LIBOR	Pay	4.000	%	06/18/2013		700		8
Bank of America	3-Month USD-LIBOR	Receive	5.000	%	06/18/2038		500		(9	)
Barclays Bank PLC	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010		1,300		5
Citibank N.A.	3-Month USD-LIBOR	Pay	4.000	%	06/18/2013		300		4
Citibank N.A.	3-Month USD-LIBOR	Receive	5.000	%	06/18/2038		100		(3	)
Merrill Lynch & Co., Inc.	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010		1,000		5
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010		2,600		8
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.000	%	06/18/2013		300		4
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	06/18/2038		300		(8	)
								$	(2	)

Total Return Swaps

Counterparty	Type	Receive Total Return	Pay	Expiration Date	# of Contracts		Unrealized Appreciation/ (Depreciation)
Goldman Sachs & Co.	Long	iShares MSCI EAFE Index	1-Month USD-LIBOR less 0.250%	11/15/2008	1,005,660	$	2,140
Goldman Sachs & Co.	Short	iShares MSCI EAFE Index	1-Month USD-LIBOR less 0.250%	11/15/2008	76,921		(167	)
						$	1,973

(g) Purchased options outstanding on December 31, 2007:

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay Floating Rate	Exercise Rate		Expiration Date		Notional Amount		Cost		Value
Call - OTC 2-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Pay	5.200	%	02/02/2009	$	2,000	$	15	$	52
Call - OTC 2-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	4.750	%	09/26/2008		5,000		17		104
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	02/01/2008		2,000		10		47
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	03/31/2008		4,600		28		93
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	12/15/2008		3,000		10		59
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	12/15/2008		3,000		9		71
									$	89	$	426

(h) Written options outstanding on December 31, 2007:

Options on Exchange-Traded Futures Contracts

Description		Exercise Price	Expiration Date	# of Contracts		Premium		Value
Call - CBOT U.S. Treasury 5-Year Note March Futures	$	111.000	02/22/2008	5	$	3	$	4
Call - CBOT U.S. Treasury 10-Year Note March Futures		111.000	02/22/2008	1		0		3
Call - CBOT U.S. Treasury 10-Year Note March Futures		112.000	02/22/2008	2		2		4
Call - CBOT U.S. Treasury 10-Year Note March Futures		113.000	02/22/2008	2		2		3
Call - CBOT U.S. Treasury 10-Year Note March Futures		114.000	02/22/2008	10		8		11
Put - CBOT U.S. Treasury 5-Year Note March Futures		109.000	02/22/2008	5		4		2
Put - CBOT U.S. Treasury 10-Year Note March Futures		108.000	02/22/2008	2		1		0
Put - CBOT U.S. Treasury 10-Year Note March Futures		110.000	02/22/2008	10		5		3
					$	25	$	30

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Receive Floating Rate	Exercise Rate		Expiration Date		Notional Amount		Premium		Value
Call - OTC 5- Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Receive	5.450	%	02/02/2009	$	1,000	$	17	$	51
Call -OTC 5 - Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	4.950	%	09/26/2008		2,000		16		73
Call -OTC 5 - Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.100	%	02/01/2008		1,000		12		42
Call - OTC 5- Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.900	%	03/31/2008		2,000		27		69
Call - OTC 7- Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	12/15/2008		1,000		10		39
Call -OTC 7 - Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.200	%	12/15/2008		1,000		8		47
									$	90	$	321

(i) Short sales outstanding on December 31, 2007:

Description	Coupon		Maturity Date		Principal Amount		Proceeds		Value	(2)
Fannie Mae	6.000	%	01/01/2038	$	1,000	$	1,009	$	1,016
U.S. Treasury Bonds	3.125	%	11/30/2009		500		500		501
U.S. Treasury Notes	4.500	%	05/15/2017		500		511		518
						$	2,020	$	2,035

⁽²⁾ Market value includes $7 of interest payable on short sales.

(j) Foreign currency contracts outstanding on December 31, 2007:

Type	Currency	Principal Amount Covered by Contract	Settlement Month		Unrealized Appreciation		Unrealized (Depreciation)		Net Unrealized Appreciation/ (Depreciation)
Buy	AED	56	05/2008	$	0	$	0	$	0
Buy	AUD	236	01/2008		0		0		0
Buy		37	02/2008		1		0		1
Buy	BRL	902	03/2008		79		0		79
Buy		11,858	07/2008		230		0		230
Buy	EUR	687	01/2008		0		(2)		(2)
Sell	GBP	1,464	01/2008		37		0		37
Buy	IDR	441,000	05/2008		0		(4)		(4)
Buy	INR	4,798	05/2008		7		0		7
Sell	JPY	201,717	02/2008		4		0		4
Buy	KRW	49,759	01/2008		0		(1)		(1)
Buy		18,498	05/2008		0		0		0
Buy		136,528	08/2008		0		(1)		(1)
Buy	KWD	4	05/2008		0		0		0
Buy	MXN	2,348	03/2008		2		0		2
Sell		691	03/2008		0		0		0
Buy		988	07/2008		1		0		1
Buy	MYR	610	05/2008		3		0		3
Buy	PHP	5,964	05/2008		14		0		14
Buy	PLN	805	01/2008		25		0		25
Sell		805	01/2008		0		(3)		(3)
Buy		73	03/2008		3		0		3
Sell		73	03/2008		0		0		0
Buy		659	07/2008		27		0		27
Sell		659	07/2008		0		(3)		(3)
Buy	RUB	13,278	01/2008		23		0		23
Sell		13,278	01/2008		0		0		0
Buy		3,508	07/2008		4		0		4
Sell		404	07/2008		0		0		0
Buy		5,696	11/2008		0		0		0
Buy	SAR	57	05/2008		0		0		0
Buy	SEK	382	03/2008		0		(1)		(1)
Buy	SGD	105	02/2008		3		0		3
Buy		287	05/2008		8		0		8
				$	471	$	(15)	$	456

See accompanying notes

Schedule of Investments

Investment Grade Corporate Bond Fund

December 31, 2007 (Unaudited)

	Principal Amount (000s)		Value (000s)
BANK LOAN OBLIGATIONS 2.6%
Daimler Finance North America LLC
9.000% due 08/03/2012	$	1,596	$	1,539
Kinder Morgan, Inc.
6.350% due 05/24/2014		97		96
SLM Corp.
6.000% due 02/16/2008		500		498
Total Bank Loan Obligations (Cost $2,111)				2,133
CORPORATE BONDS & NOTES 77.0%
Banking & Finance 37.0%
Allstate Corp.
6.125% due 05/15/2067		100		97
7.200% due 12/01/2009		200		211
American Express Co.
6.150% due 08/28/2017		300		308
American International Group, Inc.
5.050% due 10/01/2015		200		193
6.250% due 05/01/2036		200		202
Anadarko Finance Co.
6.750% due 05/01/2011		200		212
AvalonBay Communities, Inc.
6.125% due 11/01/2012		50		51
BAE Systems Holdings, Inc.
5.200% due 08/15/2015		200		195
Bank of America Corp.
3.875% due 01/15/2008		50		50
4.750% due 08/01/2015		200		193
5.625% due 10/14/2016		1,000		1,008
6.000% due 09/01/2017		300		307
Bank of America N.A.
6.000% due 10/15/2036		400		384
Bank One Corp.
5.250% due 01/30/2013		100		100
9.875% due 03/01/2009		50		53
Barclays Bank PLC
6.050% due 12/04/2017		600		606
BB&T Corp.
6.500% due 08/01/2011		30		31
Bear Stearns Cos., Inc.
5.599% due 07/19/2010		400		376
5.700% due 11/15/2014		200		190
6.950% due 08/10/2012		200		206
BellSouth Capital Funding Corp.
7.875% due 02/15/2030		200		234
BNP Paribas
5.186% due 06/29/2049		700		638
C10 Capital SPV Ltd.
6.722% due 12/31/2049		400		369
Canadian Oil Sands Ltd.
4.800% due 08/10/2009		245		247
Caterpillar Financial Services Corp.
5.081% due 10/28/2008		105		104
Citigroup, Inc.
5.000% due 09/15/2014		200		191
5.625% due 08/27/2012		400		406
6.000% due 02/21/2012		190		197
6.000% due 08/15/2017		240		245
6.125% due 11/21/2017		200		206
6.125% due 08/25/2036		800		760
Commonwealth Bank of Australia
6.024% due 03/29/2049		350		327
ConocoPhillips Canada Funding Co.
5.625% due 10/15/2016		300		310
Credit Agricole S.A.
6.637% due 05/29/2049		200		186
FIA Card Services N.A.
7.125% due 11/15/2012		145		158
Fleet National Bank
5.750% due 01/15/2009		175		176
Ford Motor Credit Co. LLC
7.875% due 06/15/2010		100		92
General Electric Capital Corp.
4.939% due 08/15/2011		150		147
5.000% due 01/08/2016		100		100
5.450% due 01/15/2013		350		361
6.375% due 11/15/2067		200		207
6.750% due 03/15/2032		500		569
GMAC LLC
6.034% due 09/23/2008		200		193
6.625% due 05/15/2012		100		83
6.875% due 09/15/2011		50		43
Goldman Sachs Group, Inc.
4.974% due 12/22/2008		200		199
5.250% due 10/15/2013		300		300
5.700% due 09/01/2012		300		309
6.125% due 02/15/2033		600		592
6.250% due 09/01/2017		200		208
6.600% due 01/15/2012		100		106
6.750% due 10/01/2037		200		197
Goldman Sachs Group LP
4.500% due 06/15/2010		250		249
HBOS Capital Funding LP
6.071% due 06/29/2049		800		750
HBOS PLC
5.920% due 09/29/2049		100		87
HSBC Capital Funding LP
4.610% due 12/29/2049		1,730		1,597
9.547% due 12/29/2049		100		109
HSBC Finance Corp.
4.125% due 03/11/2008		200		200
HSBC Holdings PLC
6.500% due 05/02/2036		200		195
6.500% due 09/15/2037		100		97
International Lease Finance Corp.
4.875% due 09/01/2010		150		150
JPMorgan & Co., Inc.
5.750% due 10/15/2008		100		101
JPMorgan Chase & Co.
4.750% due 03/01/2015		300		286
5.125% due 09/15/2014		100		98
6.625% due 03/15/2012		350		369
7.125% due 06/15/2009		100		103
JPMorgan Chase Bank N.A.
6.000% due 10/01/2017		300		306
JPMorgan Chase Capital
6.550% due 09/29/2036		400		362
JPMorgan Chase Capital XVIII
6.950% due 08/17/2036		300		286
KFW International Finance, Inc.
5.750% due 01/15/2008		30		30
Lehman Brothers Holdings, Inc.
4.800% due 03/13/2014		300		280
6.625% due 01/18/2012		30		31
6.750% due 12/28/2017		300		310
Merrill Lynch & Co., Inc.
4.250% due 02/08/2010		100		98
Mizuho Financial Group Cayman Ltd.
5.790% due 04/15/2014		150		157
Mizuho JGB Investment LLC
9.870% due 12/29/2049		100		101
Morgan Stanley
4.750% due 04/01/2014		900		844
5.300% due 03/01/2013		325		325
5.375% due 10/15/2015		250		243
5.950% due 12/28/2017		400		400
6.250% due 08/28/2017		100		102
6.600% due 04/01/2012		100		105
MUFG Capital Finance 1 Ltd.
6.346% due 07/29/2049		1,050		996
Natexis AMBS Co. LLC
8.440% due 12/29/2049		100		102
Preferred Term Securities XII
5.541% due 03/24/2034		100		96
Prudential Financial, Inc.
5.261% due 06/13/2008		100		100
Rabobank Capital Funding II
5.260% due 12/29/2049		150		140
Rabobank Capital Funding Trust
5.254% due 12/29/2049		1,100		986
RBS Capital Trust III
5.512% due 09/29/2049		200		184
Resona Bank Ltd.
5.850% due 09/29/2049		300		279
Royal Bank of Scotland Group PLC
9.118% due 03/31/2049		480		513
Santander Perpetual S.A. Unipersonal
6.671% due 10/29/2049		500		502
SB Treasury Co. LLC
9.400% due 12/29/2049		200		205
SLM Corp.
5.164% due 01/26/2009		200		192
Sumitomo Mitsui Banking Corp.
5.625% due 07/29/2049		300		281
Teco Finance, Inc.
6.750% due 05/01/2015		200		209
UBS Preferred Funding Trust V
6.243% due 05/29/2049		800		772
United Overseas Bank Ltd.
5.375% due 09/03/2019		100		97
USB Capital IX
6.189% due 04/15/2049		975		883
Ventas Realty LP
6.750% due 06/01/2010		200		202
Wachovia Bank N.A.
5.000% due 08/15/2015		300		284
7.800% due 08/18/2010		30		32
Wells Fargo & Co.
4.944% due 03/23/2010		75		74
5.348% due 01/12/2011		200		197
Wells Fargo Bank N.A.
5.950% due 08/26/2036		400		377
6.450% due 02/01/2011		30		32
Wells Fargo Capital X
5.950% due 12/15/2036		1,100		1,030
Xstrata Finance Canada Ltd.
5.800% due 11/15/2016		300		295
				30,864
Industrials 27.4%
Abitibi-Consolidated, Inc.
8.550% due 08/01/2010		100		88
ABN AMRO Bank for OAO Gazprom
9.625% due 03/01/2013		500		568
Allied Waste North America, Inc.
6.500% due 11/15/2010		300		301
American Airlines, Inc.
6.978% due 10/01/2012		62		63
7.858% due 04/01/2013		50		53
American Greetings Corp.
7.375% due 06/01/2016		100		98
Anadarko Petroleum Corp.
5.950% due 09/15/2016		200		204
Apache Corp.
6.000% due 01/15/2037		200		199
Barrick Gold Corp.
5.800% due 11/15/2034		100		97
Baxter International, Inc.
6.250% due 12/01/2037		100		103
Beckman Coulter, Inc.
6.875% due 11/15/2011		30		32
Boston Scientific Corp.
5.450% due 06/15/2014		100		92
C8 Capital SPV Ltd.
6.640% due 12/29/2049		100		95
Canadian National Railway Co.
4.400% due 03/15/2013		80		79
Canadian Natural Resources Ltd.
5.450% due 10/01/2012		100		101
5.850% due 02/01/2035		200		185
6.000% due 08/15/2016		100		101
Cardinal Health, Inc.
5.499% due 10/02/2009		200		200
CBS Corp.
5.625% due 08/15/2012		500		499
CenterPoint Energy Resources Corp.
7.875% due 04/01/2013		150		165
Chesapeake Energy Corp.
6.375% due 06/15/2015		300		292
6.875% due 01/15/2016		200		199
7.000% due 08/15/2014		23		23
7.500% due 06/15/2014		200		204
Cisco Systems, Inc.
5.095% due 02/20/2009		60		60
CODELCO, Inc.
6.150% due 10/24/2036		100		99
Comcast Cable Communications Holdings, Inc.
8.375% due 03/15/2013		100		112
Comcast Cable Communications LLC
8.875% due 05/01/2017		35		42
Comcast Corp.
5.300% due 01/15/2014		100		98
5.875% due 02/15/2018		100		100
6.450% due 03/15/2037		200		204
7.050% due 03/15/2033		100		110
Continental Airlines, Inc.
6.320% due 11/01/2008		50		50
6.503% due 06/15/2011		100		101
Covidien International Finance S.A.
6.550% due 10/15/2037		100		104
Cox Communications, Inc.
4.625% due 06/01/2013		160		153
6.750% due 03/15/2011		100		105
7.750% due 11/01/2010		130		139
CSC Holdings, Inc.
8.125% due 07/15/2009		50		51
8.125% due 08/15/2009		50		51
CSX Corp.
5.300% due 02/15/2014		250		246
Daimler Finance North America LLC
7.300% due 01/15/2012		100		107
DCP Midstream LLC
5.375% due 10/15/2015		100		97
Delta Air Lines, Inc.
6.619% due 03/18/2011		127		126
7.379% due 05/18/2010		57		57
Devon Financing Corp. ULC
7.875% due 09/30/2031		300		364
El Paso Natural Gas Co.
5.950% due 04/15/2017		500		496
Embraer Overseas Ltd.
6.375% due 01/24/2017		100		95
Enbridge Energy Partners LP
5.875% due 12/15/2016		500		497
EnCana Corp.
4.750% due 10/15/2013		100		97
6.500% due 08/15/2034		100		103
6.500% due 02/01/2038		400		415
Energy Transfer Partners LP
6.125% due 02/15/2017		500		487
Enterprise Products Operating LP
5.000% due 03/01/2015		200		191
EOG Resources, Inc.
5.875% due 09/15/2017		600		616
First Data Corp.
9.875% due 09/24/2015		200		186
Freeport-McMoRan Copper & Gold, Inc.
8.375% due 04/01/2017		100		108
Fund American Cos., Inc.
5.875% due 05/15/2013		150		150
Gaz Capital for Gazprom
8.625% due 04/28/2034		200		251
Gazprom International S.A.
7.201% due 02/01/2020		91		93
General Mills, Inc.
5.700% due 02/15/2017		200		198
Georgia-Pacific Corp.
7.000% due 01/15/2015		100		98
7.125% due 01/15/2017		700		684
HCA, Inc.
6.750% due 07/15/2013		200		179
Hess Corp.
7.875% due 10/01/2029		200		237
HJ Heinz Co.
6.428% due 12/01/2008		200		204
Hospira, Inc.
6.050% due 03/30/2017		100		101
Humana, Inc.
6.450% due 06/01/2016		200		202
Hutchison Whampoa International Ltd.
6.500% due 02/13/2013		140		147
Hyundai Motor Manufacturing Alabama LLC
5.300% due 12/19/2008		100		100
International Business Machines Corp.
5.700% due 09/14/2017		400		414
8.375% due 11/01/2019		30		37
JetBlue Airways Corp.
9.241% due 03/15/2008		37		37
Kellogg Co.
5.125% due 12/03/2012		100		101
Kern River Funding Corp.
4.893% due 04/30/2018		63		62
Kinder Morgan Energy Partners LP
5.000% due 12/15/2013		200		194
Kraft Foods, Inc.
6.500% due 08/11/2017		300		311
6.875% due 02/01/2038		400		421
Kroger Co.
5.500% due 02/01/2013		200		201
MGM Mirage
6.625% due 07/15/2015		100		94
Newmont Mining Corp.
5.875% due 04/01/2035		100		88
News America Holdings, Inc.
9.250% due 02/01/2013		400		468
Norfolk Southern Corp.
7.250% due 02/15/2031		100		111
Northrop Grumman Corp.
7.750% due 02/15/2031		100		123
Northwest Pipeline Corp.
5.950% due 04/15/2017		200		200
Phelps Dodge Corp.
8.750% due 06/01/2011		200		223
9.500% due 06/01/2031		200		267
Pioneer Natural Resources Co.
5.875% due 07/15/2016		200		185
Plains All American Pipeline LP
6.125% due 01/15/2017		400		406
Plains Exploration & Production Co.
7.000% due 03/15/2017		100		96
Premcor Refining Group, Inc.
6.750% due 02/01/2011		100		106
Qwest Communications International, Inc.
7.250% due 02/15/2011		200		201
Reynolds American, Inc.
7.750% due 06/01/2018		100		107
Rogers Cable, Inc.
5.500% due 03/15/2014		100		99
6.750% due 03/15/2015		200		211
Safeway, Inc.
5.208% due 03/27/2009		200		200
Salomon Brothers AG for OAO Siberian Oil Co.
10.750% due 01/15/2009		200		209
Suncor Energy, Inc.
6.500% due 06/15/2038		400		429
Systems 2001 Asset Trust LLC
6.664% due 09/15/2013		55		57
Time Warner Cable, Inc.
5.850% due 05/01/2017		240		241
6.550% due 05/01/2037		840		860
Time Warner, Inc.
6.750% due 04/15/2011		25		26
Transcontinental Gas Pipe Line Corp.
8.875% due 07/15/2012		30		34
Transocean, Inc.
6.800% due 03/15/2038		500		512
Union Pacific Corp.
6.625% due 02/01/2029		50		51
United Airlines, Inc.
10.125% due 03/22/2015 (a)		86		44
USX Corp.
6.850% due 03/01/2008		30		30
Vale Overseas Ltd.
6.250% due 01/11/2016		200		201
6.250% due 01/23/2017		100		101
Valero Energy Corp.
7.500% due 04/15/2032		400		441
Viacom, Inc.
6.250% due 04/30/2016		500		504
Wal-Mart Stores, Inc.
6.875% due 08/10/2009		30		31
Walt Disney Co.
6.375% due 03/01/2012		100		106
WEA Finance LLC
5.700% due 10/01/2016		100		96
WellPoint, Inc.
4.250% due 12/15/2009		100		99
Weyerhaeuser Co.
5.884% due 09/24/2009		300		301
Williams Cos., Inc.
6.375% due 10/01/2010		100		102
Wyeth
4.375% due 03/01/2008		100		100
Xerox Corp.
5.716% due 12/18/2009		100		100
XTO Energy, Inc.
6.100% due 04/01/2036		100		98
6.250% due 04/15/2013		100		105
7.500% due 04/15/2012		100		109
Yum! Brands, Inc.
6.875% due 11/15/2037		200		200
8.875% due 04/15/2011		140		155
				22,857
Utilities 12.6%
Appalachian Power Co.
3.600% due 05/15/2008		100		99
5.650% due 08/15/2012		300		305
AT&T Corp.
7.300% due 11/15/2011		447		485
AT&T, Inc.
5.100% due 09/15/2014		300		297
6.500% due 09/01/2037		500		525
AT&T Mobility LLC
6.500% due 12/15/2011		50		53
BellSouth Corp.
5.200% due 09/15/2014		300		300
5.200% due 12/15/2016		100		98
British Telecommunications PLC
8.625% due 12/15/2010		100		110
9.125% due 12/15/2030		100		133
Bruce Mansfield Unit
6.850% due 06/01/2034		100		103
CenturyTel, Inc.
8.375% due 10/15/2010		100		109
Constellation Energy Group, Inc.
7.000% due 04/01/2012		100		107
Consumers Energy Co.
5.000% due 02/15/2012		100		99
5.375% due 04/15/2013		100		100
5.500% due 08/15/2016		350		347
Deutsche Telekom International Finance BV
8.000% due 06/15/2010		330		353
Duke Energy LLC
6.450% due 10/15/2032		200		209
Energy East Corp.
6.750% due 07/15/2036		100		101
Entergy Gulf States, Inc.
3.600% due 06/01/2008		150		149
4.875% due 11/01/2011		100		97
Entergy Louisiana LLC
5.560% due 09/01/2015		50		49
Exelon Corp.
4.900% due 06/15/2015		200		189
Florida Power Corp.
5.279% due 11/14/2008		50		50
Indianapolis Power & Light
6.300% due 07/01/2013		150		157
IPALCO Enterprises, Inc.
8.375% due 11/14/2008		150		153
Kentucky Power Co.
6.000% due 09/15/2017		200		200
Nevada Power Co.
6.500% due 05/15/2018		150		154
NGPL Pipe Co. LLC
7.768% due 12/15/2037		200		210
Niagara Mohawk Power Corp.
7.750% due 10/01/2008		30		31
NiSource Finance Corp.
7.875% due 11/15/2010		100		106
Ohio Edison Co.
5.450% due 05/01/2015		100		98
5.647% due 06/15/2009		100		101
Pacific Gas & Electric Co.
6.050% due 03/01/2034		300		300
PPL Capital Funding Trust I
4.330% due 03/01/2009		200		199
Progress Energy, Inc.
6.850% due 04/15/2012		200		214
7.100% due 03/01/2011		94		100
PSEG Power LLC
6.950% due 06/01/2012		200		213
8.625% due 04/15/2031		100		123
Public Service Co. of Oklahoma
6.150% due 08/01/2016		150		151
Qwest Corp.
8.241% due 06/15/2013		100		103
Ras Laffan Liquefied Natural Gas Co. Ltd.
3.437% due 09/15/2009		29		29
Sierra Pacific Power Co.
6.000% due 05/15/2016		200		199
Southern California Edison Co.
5.000% due 01/15/2014		200		198
Sprint Capital Corp.
8.375% due 03/15/2012		500		542
TECO Energy, Inc.
7.000% due 05/01/2012		300		319
Telecom Italia Capital S.A.
4.000% due 01/15/2010		200		196
5.250% due 11/15/2013		100		99
5.819% due 07/18/2011		200		196
Telefonica Emisones SAU
5.984% due 06/20/2011		100		103
Telus Corp.
8.000% due 06/01/2011		30		33
Toledo Edison Co.
6.150% due 05/15/2037		200		187
Verizon Global Funding Corp.
7.750% due 12/01/2030		200		235
Verizon New England, Inc.
6.500% due 09/15/2011		200		210
Virginia Electric and Power Co.
5.400% due 01/15/2016		500		498
5.950% due 09/15/2017		300		310
Vodafone Group PLC
3.950% due 01/30/2008		30		30
7.750% due 02/15/2010		30		32
				10,496
Total Corporate Bonds & Notes (Cost $64,938)				64,217
CONVERTIBLE BONDS & NOTES 0.2%
ERP Operating LP
3.850% due 08/15/2026		200		193
Total Convertible Bonds & Notes (Cost $202)				193
U.S. GOVERNMENT AGENCIES 24.6%
Fannie Mae
5.500% due 09/01/2035 - 09/01/2037 (f)		6,709		6,702
5.500% due 10/01/2035 - 01/01/2038		9,021		9,011
6.000% due 04/01/2036 - 10/01/2036 (f)		1,424		1,447
6.000% due 01/01/2038		3,300		3,351
Total U.S. Government Agencies (Cost $20,308)				20,511
U.S. TREASURY OBLIGATIONS 0.3%
Treasury Inflation Protected Securities (c)
2.375% due 01/15/2025		111		116
U.S. Treasury Bonds
4.750% due 02/15/2037		100		105
Total U.S. Treasury Obligations (Cost $213)				221
SOVEREIGN ISSUES 0.9%
Croatia Government International Bond
6.125% due 07/31/2010		20		21
Korea Development Bank
4.750% due 07/20/2009		300		298
Mexico Government International Bond
6.750% due 09/27/2034		78		86
Panama Government International Bond
9.625% due 02/08/2011		100		113
Russia Government International Bond
7.500% due 03/31/2030		148		170
South Africa Government International Bond
7.375% due 04/25/2012		90		98
Total Sovereign Issues (Cost $755)				786
FOREIGN CURRENCY-DENOMINATED ISSUES 4.2%
BAT International Finance PLC
3.625% due 06/29/2012	EUR	325		443
Credit Logement S.A.
4.604% due 03/29/2049		300		418
Deutsche Telekom International Finance BV
8.125% due 05/29/2012		100		161
France Telecom S.A.
6.750% due 03/14/2008		90		132
General Electric Capital Corp.
5.500% due 09/15/2067		900		1,278
HSBC Holdings PLC
5.375% due 12/20/2012		60		88
RBS Capital Trust A
6.467% due 12/29/2049		325		475
Rogers Cable, Inc.
7.250% due 12/15/2011	CAD	50		54
Telefonica Europe BV
5.125% due 02/14/2013	EUR	325		470
Total Foreign Currency-Denominated Issues (Cost $3,144)				3,519
		Shares
PREFERRED STOCKS 0.1%
Goldman Sachs Group, Inc.
5.629% due 12/31/2049		4,000		85
Total Preferred Stocks (Cost $100)				85
	Principal Amount (000s)
SHORT-TERM INSTRUMENTS 9.5%
Commercial Paper 7.7%
Abbey National Treasury Services PLC
4.250% due 01/07/2008	$	1,900		1,899
Citibank N.A.
5.900% due 01/25/2008		600		598
National Australia Bank Ltd.
4.240% due 01/04/2008		2,200		2,199
UBS Finance Delaware LLC
4.000% due 01/02/2008		1,700		1,700
				6,396
Repurchase Agreements 1.2%
Lehman Brothers, Inc.
1.000% due 01/02/2008		400		400
(Dated 12/31/2007. Collateralized by U.S. Treasury Inflation Protected Securities 2.000% due 07/15/2014 valued at $407. Repurchase proceeds are $400.)
State Street Bank and Trust Co.
3.900% due 01/02/2008		581		581
(Dated 12/31/2007. Collateralized by Federal Home Loan Bank 4.125% due 02/15/2008 valued at $594. Repurchase proceeds are $581.)
				981
U.S. Treasury Bills 0.6%
2.807% due 03/13/2008 (b)(d)(g)		535		530
Total Short-Term Instruments (Cost $7,909)				7,907
Purchased Options (i) 1.4%
(Cost $675)				1,165
Total Investments 120.8% (Cost $100,355)			$	100,737
Written Options (j) (1.3%) (Premiums $610)				(1,082	)
Other Assets and Liabilities (Net) (19.5%)				(16,261	)
Net Assets (e) 100.0%			$	83,394

Notes to Schedule of Investments (amounts in thousands*, except number of contracts):

* A zero balance may reflect actual amounts rounding to less than one thousand.

(a) Security is in default.

(b) Coupon represents a weighted average rate.

(c) Principal amount of security is adjusted for inflation.

(d) Securities with an aggregate market value of $495 have been pledged as collateral for swap and swaption contracts on December 31, 2007.

(e) As of December 31, 2007, portfolio securities with an aggregate value of $691 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(f) The average amount of borrowings outstanding during the period ended December 31, 2007 was $3,067 at a weighted average interest rate of 5.090%. On December 31, 2007, securities valued at $6,798 were pledged as collateral for reverse repurchase agreements.

(g) Securities with an aggregate market value of $35 and cash of $695 have been segregated with the custodian to cover margin requirements for the following open futures contracts on December 31, 2007:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Euribor December Futures	Long	12/2008	25	$	6
90-Day Eurodollar December Futures	Long	12/2008	43		156
90-Day Eurodollar June Futures	Long	06/2009	20		61
90-Day Eurodollar March Futures	Long	03/2009	80		230
90-Day Eurodollar September Futures	Long	09/2009	64		182
U.S. Treasury 2-Year Note March Futures	Short	03/2008	24		(14	)
U.S. Treasury 5-Year Note March Futures	Short	03/2008	87		(68	)
U.S. Treasury 10-Year Note March Futures	Long	03/2008	5		1
U.S. Treasury 30-Year Bond March Futures	Short	03/2008	67		123
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2008	79		123
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2009	75		147
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2009	90		160
				$	1,107

(h) Swap agreements outstanding on December 31, 2007:

Credit Default Swaps on Securities

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Bank of America	Gannett Co., Inc. 6.375% due 04/01/2012	Buy	(0.680	%)	09/20/2012	$	400	$	1
Bank of America	Kohl’s Corp. 6.300% due 03/01/2011	Buy	(0.300	%)	09/20/2012		100		2
Bank of America	Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	0.750	%	09/20/2012		100		(2	)
Bank of America	Lowe’s Cos., Inc. 8.250% due 06/01/2010	Buy	(0.520	%)	12/20/2012		200		0
Bank of America	Sherwin-Williams Co. 7.375% due 02/01/2027	Buy	(0.230	%)	09/20/2012		200		1
Bank of America	TJX Cos., Inc. 7.450% due 12/15/2009	Buy	(0.330	%)	09/20/2012		200		1
Bank of America	Whirlpool Corp. 7.750% due 07/15/2016	Buy	(0.320	%)	09/20/2012		100		1
Barclays Bank PLC	General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.630	%	12/20/2012		600		0
Barclays Bank PLC	Masco Corp. 5.875% due 07/15/2012	Buy	(0.630	%)	06/20/2012		100		3
Barclays Bank PLC	Mattel, Inc. 6.125% due 06/15/2011	Buy	(0.330	%)	06/20/2012		100		2
Barclays Bank PLC	Nordstrom, Inc. 6.950% due 03/15/2028	Buy	(0.245	%)	12/20/2012		100		1
Barclays Bank PLC	Pulte Homes, Inc. 7.875% due 08/01/2011	Buy	(0.670	%)	03/20/2012		400		45
Barclays Bank PLC	Weyerhaeuser Co. 6.750% due 03/15/2012	Buy	(0.490	%)	06/20/2012		200		3
Bear Stearns & Co., Inc.	Black & Decker Corp. 7.125% due 06/01/2011	Buy	(0.400	%)	09/20/2012		200		3
Bear Stearns & Co., Inc.	CenturyTel, Inc. 7.875% due 08/15/2012	Buy	(0.355	%)	06/20/2010		100		0
Bear Stearns & Co., Inc.	Diamond Offshore Drilling, Inc. 0.000% due 06/06/2020	Buy	(0.210	%)	06/20/2012		500		2
Bear Stearns & Co., Inc.	EnCana Corp. 4.750% due 10/15/2013	Sell	0.530	%	09/20/2009		200		1
Bear Stearns & Co., Inc.	Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	5.600	%	06/20/2010		100		(1	)
Bear Stearns & Co., Inc.	International Paper Co. 5.850% due 10/30/2012	Buy	(0.490	%)	06/20/2012		300		0
Bear Stearns & Co., Inc.	MeadWestvaco Corp. 6.850% due 04/01/2012	Buy	(0.570	%)	06/20/2012		100		0
Bear Stearns & Co., Inc.	Weyerhaeuser Co. 6.750% due 03/15/2012	Buy	(0.520	%)	06/20/2012		300		4
BNP Paribas Bank	Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	0.265	%	03/20/2011		200		(6	)
BNP Paribas Bank	Masco Corp. 5.875% due 07/15/2012	Buy	(0.950	%)	03/20/2017		100		3
BNP Paribas Bank	Union Pacific Corp. 6.125% due 01/15/2012	Buy	(0.215	%)	06/20/2011		100		0
Citibank N.A.	Bear Stearns Cos., Inc. 5.300% due 10/30/2015	Sell	0.480	%	09/20/2012		200		(11	)
Citibank N.A.	Chesapeake Energy Corp. 6.875% due 01/15/2016	Buy	(1.170	%)	12/20/2011		200		4
Citibank N.A.	Clorox Co. 6.125% due 02/01/2011	Buy	(0.350	%)	09/20/2012		200		1
Citibank N.A.	Coca-Cola Enterprises, Inc. 6.125% due 08/15/2011	Buy	(0.140	%)	06/20/2012		100		0
Citibank N.A.	Dominion Resources, Inc. 5.200% due 01/15/2016	Sell	0.670	%	06/20/2015		100		1
Citibank N.A.	Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	1.350	%	09/20/2008		500		(15	)
Citibank N.A.	Freeport-McMoRan Copper & Gold, Inc. 6.875% due 02/01/2014	Sell	1.000	%	06/20/2012		300		(3	)
Citibank N.A.	Kohl’s Corp. 6.300% due 03/01/2011	Buy	(0.330	%)	09/20/2012		200		4
Citibank N.A.	Raytheon Co. 7.200% due 08/15/2027	Buy	(0.090	%)	06/20/2009		100		0
Credit Suisse USA, Inc.	Burlington Northern and Santa Fe Railway Co. 4.300% due 07/01/2013	Buy	(0.259	%)	09/20/2012		100		0
Credit Suisse USA, Inc.	Dow Chemical Co. 6.000% due 10/01/2012	Buy	(0.259	%)	09/20/2012		100		0
Credit Suisse USA, Inc.	GMAC LLC 6.875% due 08/28/2012	Sell	3.740	%	09/20/2009		200		(11	)
Credit Suisse USA, Inc.	International Game Technology 0.000% convertible until 01/29/2033	Sell	0.350	%	03/20/2010		200		0
Credit Suisse USA, Inc.	Multiple Reference Entities of Gazprom	Sell	1.000	%	11/20/2008		200		0
Credit Suisse USA, Inc.	Noble Corp. 5.875% due 06/01/2013	Buy	(0.460	%)	06/20/2012		500		(1	)
Credit Suisse USA, Inc.	Staples, Inc. 7.375% due 10/01/2012	Buy	(0.280	%)	06/20/2012		200		2
Deutsche Bank AG	American International Group, Inc. 4.250% due 05/15/2013	Sell	0.890	%	12/20/2012		100		1
Deutsche Bank AG	American International Group, Inc. 4.250% due 05/15/2013	Sell	0.900	%	12/20/2012		300		4
Deutsche Bank AG	CBS Corp. 4.625% due 05/15/2018	Buy	(0.610	%)	09/20/2012		400		0
Deutsche Bank AG	Chesapeake Energy Corp. 6.875% due 01/15/2016	Sell	1.050	%	06/20/2012		200		(5	)
Deutsche Bank AG	Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	4.700	%	09/20/2011		300		(12	)
Deutsche Bank AG	GlobalSantaFe Corp. 5.000% due 02/15/2013	Buy	(0.440	%)	06/20/2012		500		(5	)
Deutsche Bank AG	GMAC LLC 6.875% due 08/28/2012	Sell	1.500	%	09/20/2009		500		(46	)
Deutsche Bank AG	GMAC LLC 6.875% due 08/28/2012	Buy	(2.500	%)	09/20/2011		300		35
Deutsche Bank AG	Masco Corp. 5.875% due 07/15/2012	Buy	(0.540	%)	06/20/2012		100		4
Deutsche Bank AG	Toll Brothers Finance Corp. 6.875% due 11/15/2012	Buy	(1.155	%)	06/20/2012		100		5
Goldman Sachs & Co.	Anadarko Petroleum Corp. 6.125% due 03/15/2012	Sell	0.150	%	03/20/2008		100		0
Goldman Sachs & Co.	AutoZone, Inc. 5.875% due 10/15/2012	Buy	(0.340	%)	06/20/2012		100		0
Goldman Sachs & Co.	Centex Corp. 5.250% due 06/15/2015	Buy	(0.849	%)	03/20/2017		100		14
Goldman Sachs & Co.	Chesapeake Energy Corp. 6.875% due 01/15/2016	Sell	1.320	%	03/20/2014		100		(4	)
Goldman Sachs & Co.	ConAgra Foods, Inc. 7.000% due 10/01/2028	Buy	(0.299	%)	06/20/2012		100		0
Goldman Sachs & Co.	Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	1.700	%	03/20/2009		200		(10	)
Goldman Sachs & Co.	Kohl’s Corp. 6.300% due 03/01/2011	Buy	(0.220	%)	06/20/2012		100		2
Goldman Sachs & Co.	Lennar Corp. 5.950% due 03/01/2013	Buy	(0.780	%)	06/20/2012		100		17
Goldman Sachs & Co.	Newell Rubbermaid, Inc. 6.350% until 07/15/2008 and variable thereafter, due 07/15/2028	Buy	(0.319	%)	12/20/2012		100		0
Goldman Sachs & Co.	Nordstrom, Inc. 6.950% due 03/15/2028	Buy	(0.180	%)	06/20/2011		100		1
Goldman Sachs & Co.	Phelps Dodge Corp. 8.750% due 06/01/2011	Buy	(0.520	%)	09/20/2011		200		(2	)
Goldman Sachs & Co.	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.540	%	09/20/2008		200		0
Goldman Sachs & Co.	Southwest Airlines Co. 6.500% due 03/01/2012	Buy	(0.290	%)	06/20/2011		100		1
Goldman Sachs & Co.	VF Corp. 8.500% due 10/01/2010	Buy	(0.220	%)	06/20/2012		100		1
Goldman Sachs & Co.	VF Corp. 8.500% due 10/01/2010	Buy	(0.450	%)	12/20/2012		300		(1	)
Goldman Sachs & Co.	Weyerhaeuser Co. 6.750% due 03/15/2012	Buy	(1.018	%)	03/20/2017		100		1
Goldman Sachs & Co.	Whirlpool Corp. 7.750% due 07/15/2016	Buy	(0.630	%)	06/20/2012		100		0
JPMorgan Chase & Co.	Altria Group, Inc. 7.000% due 11/04/2013	Sell	1.100	%	09/20/2010		300		8
JPMorgan Chase & Co.	American International Group, Inc. 4.250% due 05/15/2013	Sell	0.350	%	06/20/2010		50		0
JPMorgan Chase & Co.	Centex Corp. 5.250% due 06/15/2015	Buy	(0.820	%)	06/20/2012		100		11
JPMorgan Chase & Co.	Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	2.650	%	03/20/2012		5,000		(532	)
JPMorgan Chase & Co.	GMAC LLC 6.875% due 08/28/2012	Sell	1.840	%	06/20/2012		500		(69	)
JPMorgan Chase & Co.	International Paper Co. 5.850% due 10/30/2012	Buy	(0.490	%)	06/20/2012		200		0
JPMorgan Chase & Co.	Panama Government International Bond 8.875% due 09/30/2027	Sell	0.300	%	03/20/2009		100		0
JPMorgan Chase & Co.	Weyerhaeuser Co. 6.750% due 03/15/2012	Buy	(0.530	%)	06/20/2012		100		1
Lehman Brothers, Inc.	Bear Stearns Cos., Inc. 5.300% due 10/30/2015	Sell	0.480	%	09/20/2012		200		(11	)
Lehman Brothers, Inc.	Chesapeake Energy Corp. 6.875% due 01/15/2016	Sell	1.160	%	03/20/2014		100		(5	)
Lehman Brothers, Inc.	Dow Chemical Co. 6.000% due 10/01/2012	Buy	(0.249	%)	09/20/2012		100		0
Lehman Brothers, Inc.	Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Buy	(2.620	%)	03/20/2012		5,000		537
Lehman Brothers, Inc.	Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.585	%	09/20/2012		200		0
Lehman Brothers, Inc.	Lennar Corp. 5.950% due 03/01/2013	Buy	(1.130	%)	06/20/2012		200		32
Lehman Brothers, Inc.	Morgan Stanley 6.600% due 04/01/2012	Sell	0.585	%	09/20/2012		100		(1	)
Lehman Brothers, Inc.	Nabors Industries, Inc. 0.000% due 02/05/2021	Buy	(0.410	%)	06/20/2012		500		0
Lehman Brothers, Inc.	Nordstrom, Inc. 6.950% due 03/15/2028	Buy	(0.280	%)	09/20/2012		100		1
Lehman Brothers, Inc.	Norfolk Southern Corp. 7.700% due 05/15/2017	Buy	(0.250	%)	12/20/2012		300		1
Lehman Brothers, Inc.	Proctor & Gamble Co. 4.950% due 08/15/2014	Sell	0.070	%	09/20/2008		500		0
Lehman Brothers, Inc.	Reynolds American, Inc. 7.625% due 06/01/2016	Sell	1.000	%	06/20/2012		500		11
Lehman Brothers, Inc.	Tesoro Corp. 6.250% due 11/01/2012	Sell	0.750	%	06/20/2012		500		(7	)
Lehman Brothers, Inc.	Union Pacific Corp. 6.650% due 01/15/2011	Sell	0.280	%	03/20/2010		100		0
Merrill Lynch & Co., Inc.	Burlington Northern and Santa Fe Railway Co. 4.300% due 07/01/2013	Buy	(0.270	%)	09/20/2012		100		0
Merrill Lynch & Co., Inc.	Burlington Northern and Santa Fe Railway Co. 4.300% due 07/01/2013	Buy	(0.250	%)	12/20/2012		100		0
Merrill Lynch & Co., Inc.	Burlington Northern and Santa Fe Railway Co. 4.300% due 07/01/2013	Buy	(0.230	%)	12/20/2012		200		1
Merrill Lynch & Co., Inc.	General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.300	%	06/20/2010		200		(1	)
Merrill Lynch & Co., Inc.	Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	0.720	%	09/20/2012		400		(7	)
Merrill Lynch & Co., Inc.	Norfolk Southern Corp. 7.700% due 05/15/2017	Buy	(0.240	%)	12/20/2012		200		1
Merrill Lynch & Co., Inc.	Union Pacific Corp. 6.625% due 02/01/2029	Buy	(0.270	%)	12/20/2012		100		0
Merrill Lynch & Co., Inc.	Union Pacific Corp. 6.625% due 02/01/2029	Buy	(0.250	%)	12/20/2012		200		1
Merrill Lynch & Co., Inc.	XTO Energy, Inc. 6.250% due 04/15/2013	Sell	0.380	%	03/20/2010		200		1
Morgan Stanley	Black & Decker Corp. 7.125% due 06/01/2011	Buy	(0.420	%)	12/20/2012		100		2
Morgan Stanley	Black & Decker Corp. 7.125% due 06/01/2011	Buy	(0.400	%)	12/20/2012		200		3
Morgan Stanley	Citigroup, Inc. 6.500% due 01/18/2011	Sell	0.280	%	09/20/2012		700		(12	)
Morgan Stanley	ConocoPhillips 4.750% due 10/15/2012	Sell	0.230	%	03/20/2011		300		0
Morgan Stanley	Darden Restaurants, Inc. 7.125% due 02/01/2016	Buy	(0.490	%)	06/20/2012		100		1
Morgan Stanley	Inco Ltd. 7.750% due 05/15/2012	Buy	(0.500	%)	12/20/2011		500		(6	)
Morgan Stanley	International Paper Co. 5.850% due 10/30/2012	Buy	(0.475	%)	06/20/2012		200		0
Morgan Stanley	Liz Claiborne, Inc. 5.000% due 07/08/2013	Buy	(0.480	%)	06/20/2012		100		4
Morgan Stanley	Lowe’s Cos., Inc. 8.250% due 06/01/2010	Buy	(0.540	%)	12/20/2012		100		0
Morgan Stanley	MeadWestvaco Corp. 6.850% due 04/01/2012	Buy	(0.540	%)	06/20/2012		100		0
Morgan Stanley	MeadWestvaco Corp. 6.850% due 04/01/2012	Buy	(0.530	%)	06/20/2012		100		0
Morgan Stanley	Office Depot, Inc. 6.250% due 08/15/2013	Buy	(0.450	%)	06/20/2012		100		5
Morgan Stanley	Sherwin-Williams Co. 7.375% due 02/01/2027	Buy	(0.230	%)	09/20/2012		200		1
Morgan Stanley	Sherwin-Williams Co. 7.375% due 02/01/2027	Buy	(0.280	%)	12/20/2012		100		1
Morgan Stanley	Sherwin-Williams Co. 7.375% due 02/01/2027	Buy	(0.260	%)	12/20/2012		100		1
Morgan Stanley	TJX Cos., Inc. 7.450% due 12/15/2009	Buy	(0.330	%)	09/20/2012		200		1
Morgan Stanley	Vale Overseas Ltd. 8.250% due 01/17/2034	Sell	0.700	%	12/20/2011		500		(1	)
Morgan Stanley	Walt Disney Co. 6.375% due 03/01/2012	Buy	(0.180	%)	06/20/2011		100		0
Morgan Stanley	Whirlpool Corp. 7.750% due 07/15/2016	Buy	(0.780	%)	03/20/2017		100		0
Royal Bank of Scotland Group PLC	AutoZone, Inc. 5.875% due 10/15/2012	Buy	(0.390	%)	09/20/2012		200		0
Royal Bank of Scotland Group PLC	AutoZone, Inc. 5.875% due 10/15/2012	Buy	(0.340	%)	12/20/2012		200		1
Royal Bank of Scotland Group PLC	AutoZone, Inc. 5.875% due 10/15/2012	Buy	(0.330	%)	12/20/2012		400		1
Royal Bank of Scotland Group PLC	ERP Operating LP 3.850% due 08/15/2026	Buy	(0.255	%)	09/20/2011		200		2
Royal Bank of Scotland Group PLC	Kohl’s Corp. 6.300% due 03/01/2011	Buy	(0.420	%)	12/20/2012		100		2
Royal Bank of Scotland Group PLC	Kohl’s Corp. 6.300% due 03/01/2011	Buy	(0.410	%)	12/20/2012		300		6
Royal Bank of Scotland Group PLC	MeadWestvaco Corp. 6.850% due 04/01/2012	Buy	(0.570	%)	06/20/2012		300		0
Royal Bank of Scotland Group PLC	Newell Rubbermaid, Inc. 6.350% until 07/15/2008 and variable thereafter, due 07/15/2028	Buy	(0.290	%)	09/20/2012		100		0
Royal Bank of Scotland Group PLC	Newell Rubbermaid, Inc. 6.750% due 03/15/2012	Buy	(0.230	%)	06/20/2012		200		1
Royal Bank of Scotland Group PLC	Nordstrom, Inc. 6.950% due 03/15/2028	Buy	(0.180	%)	06/20/2012		200		2
Royal Bank of Scotland Group PLC	Southwest Airlines Co. 6.500% due 03/01/2012	Buy	(0.480	%)	09/20/2012		200		1
Royal Bank of Scotland Group PLC	Staples, Inc. 7.375% due 10/01/2012	Buy	(0.330	%)	12/20/2012		200		3
Royal Bank of Scotland Group PLC	TJX Cos., Inc. 7.450% due 12/15/2009	Buy	(0.250	%)	12/20/2012		400		4
Royal Bank of Scotland Group PLC	Whirlpool Corp. 7.750% due 07/15/2016	Buy	(0.380	%)	12/20/2012		500		7
UBS Warburg LLC	Black & Decker Corp. 7.125% due 06/01/2011	Buy	(0.450	%)	09/20/2012		200		2
UBS Warburg LLC	Clorox Co. 6.125% due 02/01/2011	Buy	(0.330	%)	09/20/2012		200		1
UBS Warburg LLC	DR Horton, Inc. 5.375% due 06/15/2012	Buy	(1.370	%)	06/20/2012		300		25
UBS Warburg LLC	Nordstrom, Inc. 6.950% due 03/15/2028	Buy	(0.230	%)	12/20/2012		300		4
UBS Warburg LLC	Toll Brothers Finance Corp. 6.875% due 11/15/2012	Buy	(1.010	%)	06/20/2012		200		12
Wachovia Bank N.A.	Hess Corp. 6.650% due 08/15/2011	Sell	0.150	%	03/20/2008		100		0
								$	83

Credit Default Swaps on Credit Indices

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation
Bank of America	Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016	$	500	$	13
Citibank N.A.	Dow Jones CDX N.A. IG3 Index	Sell	0.500	%	03/20/2010		298		0
Goldman Sachs & Co.	Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016		250		7
Morgan Stanley	Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016		1,300		31
								$	51

⁽¹⁾ If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will pay to the buyer of the protection an amount up to the notional value of the swap and in certain instances, take delivery of the security. As a buyer of protection, the Fund will generally receive from the seller of protection an amount up to the notional amount of the swap if a credit event occurs.

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Credit Suisse USA, Inc.	3-Month Australian Bank Bill	Pay	7.000	%	09/15/2009	AUD	7,900	$	(16	)
UBS Warburg LLC	3-Month Australian Bank Bill	Pay	7.000	%	09/15/2009		5,600		(27	)
Citibank N.A.	6-Month EUR-LIBOR	Receive	5.000	%	06/17/2012	EUR	200		17
Goldman Sachs & Co.	6-Month GBP-LIBOR	Receive	5.500	%	12/15/2036	GBP	500		(61	)
HSBC Bank USA	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035		400		35
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2010		300		6
UBS Warburg LLC	6-Month JPY-LIBOR	Receive	2.000	%	06/20/2017	JPY	130,000		(8	)
Goldman Sachs & Co.	28-Day Mexico Interbank TIIE Banxico	Pay	8.170	%	11/04/2016	MXN	5,800		(22	)
Barclays Bank PLC	3-Month USD-LIBOR	Pay	4.000	%	06/18/2013	$	6,100		44
Citibank N.A.	3-Month USD-LIBOR	Pay	4.000	%	06/18/2013		1,100		(6	)
Deutsche Bank AG	3-Month USD-LIBOR	Pay	4.000	%	06/18/2009		10,000		26
Deutsche Bank AG	3-Month USD-LIBOR	Receive	5.000	%	06/18/2015		1,600		1
Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	06/18/2038		100		3
Goldman Sachs & Co.	3-Month USD-LIBOR	Pay	5.000	%	06/18/2009		4,300		71
JPMorgan Chase & Co.	3-Month USD-LIBOR	Pay	4.000	%	06/18/2013		3,100		19
Merrill Lynch & Co., Inc.	3-Month USD-LIBOR	Receive	5.000	%	06/18/2018		200		(3	)
Merrill Lynch & Co., Inc.	3-Month USD-LIBOR	Pay	6.000	%	06/15/2025		2,000		63
Morgan Stanley	3-Month USD-LIBOR	Pay	4.000	%	06/18/2009		1,900		5
Morgan Stanley	3-Month USD-LIBOR	Receive	5.000	%	06/18/2018		400		(8	)
Morgan Stanley	3-Month USD-LIBOR	Pay	5.000	%	06/18/2038		1,400		40
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	06/18/2009		200		0
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010		4,500		(1	)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.000	%	06/18/2013		4,700		40
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	06/18/2018		6,540		(18	)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	06/18/2038		1,100		29
UBS Warburg LLC	3-Month USD-LIBOR	Pay	5.000	%	06/18/2009		500		0
								$	229

(i) Purchased options outstanding on December 31, 2007:

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Cost		Value
Call - OTC 2-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Pay	5.000	%	08/28/2009	$	7,300	$	73	$	143
Call - OTC 2-Year Interest Rate Swap	JPMorgan Chase & Co.	3-Month USD-LIBOR	Pay	5.000	%	08/28/2009		5,700		54		111
Call - OTC 2-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	4.250	%	07/06/2009		8,400		84		99
Call - OTC 2-Year Interest Rate Swap	Merrill Lynch & Co., Inc.	3-Month USD-LIBOR	Pay	5.000	%	08/28/2009		3,400		34		66
Call - OTC 2-Year Interest Rate Swap	Merrill Lynch & Co., Inc.	3-Month USD-LIBOR	Pay	4.750	%	09/08/2009		7,200		74		119
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	12/15/2008		500		2		12
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.300	%	08/03/2009		8,000		112		192
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	08/28/2009		12,000		123		235
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	09/08/2009		7,400		78		122
									$	634	$	1,099

Foreign Currency Options

Description	Exercise Price		Expiration Date	Notional Amount		Cost		Value
Call - OTC Euro versus U.S. dollar	$	1.355	05/21/2008	EUR	200	$	6	$	22
Put - OTC Euro versus U.S. dollar		1.355	05/21/2008		200		6		1
Call - OTC Euro versus U.S. dollar		1.375	05/21/2010		200		10		21
Put - OTC Euro versus U.S. dollar		1.375	05/21/2010		200		10		8
Call - OTC Euro versus U.S. dollar		1.372	06/03/2010		100		5		10
Put - OTC Euro versus U.S. dollar		1.372	06/03/2010		100		4		4
						$	41	$	66

(j) Written options outstanding on December 31, 2007:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Value
Call - CBOT U.S. Treasury 10-Year Note March Futures	$	111.000	02/22/2008	45	$	17	$	128
Call - CBOT U.S. Treasury 10-Year Note March Futures		117.000	02/22/2008	15		20		26
Put - CBOT U.S. Treasury 10-Year Note March Futures		106.000	02/22/2008	15		8		0
					$	45	$	154

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Value
Call - OTC 7-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Receive	5.320	%	08/28/2009	$	2,500	$	67	$	119
Call - OTC 7-Year Interest Rate Swap	Citibank N.A.	3-Month USD-LIBOR	Receive	5.580	%	08/03/2009		2,700		72		158
Put - OTC 5-Year Interest Rate Swap	Goldman Sachs & Co.	3-Month USD-LIBOR	Pay	5.100	%	03/16/2009		3,300		26		30
Call - OTC 7-Year Interest Rate Swap	JPMorgan Chase & Co.	3-Month USD-LIBOR	Receive	5.320	%	08/28/2009		1,800		48		86
Call - OTC 7-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	4.900	%	07/06/2009		2,400		68		82
Call - OTC 7-Year Interest Rate Swap	Merrill Lynch & Co., Inc.	3-Month USD-LIBOR	Receive	5.320	%	08/28/2009		1,100		30		53
Call - OTC 7-Year Interest Rate Swap	Merrill Lynch & Co., Inc.	3-Month USD-LIBOR	Receive	5.150	%	09/08/2009		2,400		72		100
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.200	%	12/15/2008		200		2		10
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.320	%	08/28/2009		3,900		107		186
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.150	%	09/08/2009		2,500		73		104
									$	565	$	928

(k) Foreign currency contracts outstanding on December 31, 2007:

Type	Currency	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Sell	AUD	844	01/2008	$	0	$	0		$	0
Buy		1,794	02/2008		37		0			37
Buy	BRL	779	03/2008		70		0			70
Buy		2,158	07/2008		42		(15	)		27
Sell	CAD	58	01/2008		0		(2	)		(2	)
Buy	CLP	27,495	03/2008		3		0			3
Buy	CNY	10,884	07/2008		50		0			50
Sell		4,656	07/2008		0		(19	)		(19	)
Sell	EUR	2,749	01/2008		6		0			6
Buy	GBP	166	01/2008		0		0			0
Sell		1,216	01/2008		27		0			27
Buy	INR	14,491	05/2008		21		0			21
Buy		1,112	08/2008		0		0			0
Buy	KRW	331,844	05/2008		1		0			1
Buy		179,212	08/2008		0		(2	)		(2	)
Buy	MXN	6,003	03/2008		10		0			10
Buy		3,343	07/2008		1		0			1
Buy	NOK	1,111	03/2008		4		0			4
Buy	PLN	1,442	07/2008		58		0			58
Buy	RUB	5,155	01/2008		10		0			10
Sell		5,155	01/2008		0		0			0
Buy		8,062	07/2008		5		0			5
Buy		13,456	11/2008		2		0			2
Buy	SGD	70	02/2008		2		0			2
Buy		776	05/2008		21		0			21
Buy	TWD	574	01/2008		0		0			0
Buy	ZAR	153	03/2008		1		0			1
				$	371	$	(38	)	$	333

See accompanying notes

Schedule of Investments

Japanese StocksPLUS^® TR Strategy Fund

December 31, 2007 (Unaudited)

	Principal Amount (000s)		Value (000s)
CORPORATE BONDS & NOTES 25.9%
Banking & Finance 15.3%
American Express Bank FSB
6.000% due 09/13/2017	$	400	$	403
American Express Centurion Bank
6.000% due 09/13/2017		400		403
American International Group, Inc.
5.850% due 01/16/2018		200		202
Bank of Scotland PLC
5.028% due 07/17/2008		200		200
Barclays Bank PLC
6.050% due 12/04/2017		400		404
7.434% due 09/29/2049		100		104
C10 Capital SPV Ltd.
6.722% due 12/31/2049		100		92
Capital One Financial Corp.
6.750% due 09/15/2017		100		96
Citigroup, Inc.
5.875% due 05/29/2037		100		94
6.125% due 11/21/2017		300		309
Deutsche Bank AG
6.000% due 09/01/2017		300		312
DnB NORBank ASA
5.072% due 02/25/2008		100		100
Ford Motor Credit Co. LLC
5.800% due 01/12/2009		100		95
7.250% due 10/25/2011		50		43
7.800% due 06/01/2012		50		44
GMAC LLC
6.625% due 05/15/2012		100		83
7.000% due 02/01/2012		100		85
Goldman Sachs Group, Inc.
6.750% due 10/01/2037		400		393
Royal Bank of Scotland Group PLC
7.640% due 03/31/2049		100		103
Santander Perpetual S.A. Unipersonal
6.671% due 10/29/2049		100		100
Williams Cos., Inc. Credit Linked Certificate Trust
6.750% due 04/15/2009		200		203
				3,868
Industrials 5.6%
Boston Scientific Corp.
6.000% due 06/15/2011		100		97
C8 Capital SPV Ltd.
6.640% due 12/29/2049		100		95
EchoStar DBS Corp.
5.750% due 10/01/2008		100		100
El Paso Corp.
6.375% due 02/01/2009		100		101
International Business Machines Corp.
5.700% due 09/14/2017		200		207
Kraft Foods, Inc.
6.125% due 02/01/2018		200		202
Loews Corp.
5.250% due 03/15/2016		200		200
Mandalay Resort Group
6.500% due 07/31/2009		100		101
Reynolds American, Inc.
7.750% due 06/01/2018		100		107
Xerox Capital Trust I
8.000% due 02/01/2027		200		200
				1,410
Utilities 5.0%
BellSouth Corp.
4.240% due 04/26/2021		300		299
Embarq Corp.
6.738% due 06/01/2013		300		310
Enel Finance International S.A.
6.250% due 09/15/2017		200		203
Midwest Generation LLC
8.300% due 07/02/2009		69		70
NRG Energy, Inc.
7.375% due 02/01/2016		100		98
Ohio Power Co.
5.424% due 04/05/2010		200		198
Qwest Corp.
5.625% due 11/15/2008		100		100
				1,278
Total Corporate Bonds & Notes (Cost $6,530)				6,556
MUNICIPAL BONDS 1.2%
New York City, New York Municipal Water Finance Authority Revenue Bonds, Series 2007
5.000% due 06/15/2038		200		208
Ohio State Buckeye Tobacco Settlement Financing Authority Revenue Bonds, Series 2007
5.875% due 06/01/2047		100		95
Total Municipal Bonds (Cost $305)				303
U.S. GOVERNMENT AGENCIES 98.6%
Fannie Mae
4.000% due 05/01/2013 (e)		776		771
4.186% due 11/01/2034 (e)		57		58
4.344% due 08/01/2033 (e)		170		170
4.911% due 12/01/2035 (e)		196		196
4.965% due 01/25/2021 (e)		240		239
5.000% due 07/25/2019 - 02/01/2038		1,013		988
5.000% due 02/25/2025 - 10/01/2036 (e)		1,693		1,657
5.003% due 07/01/2035 (e)		232		234
5.215% due 05/25/2042 - 09/25/2042		206		203
5.389% due 07/01/2032 (e)		18		18
5.500% due 01/01/2023 - 01/01/2038		1,519		1,531
5.500% due 12/01/2036 - 04/01/2037 (e)		1,814		1,812
5.875% due 11/25/2023		74		75
6.000% due 12/01/2036 - 10/01/2037 (e)		1,990		2,022
6.063% due 06/01/2043 - 10/01/2044 (e)		553		554
6.064% due 09/01/2044 (e)		234		235
Freddie Mac
4.500% due 10/15/2013 - 07/15/2018		64		64
4.500% due 10/15/2019 (e)		188		188
4.746% due 09/01/2035 (e)		217		217
5.000% due 11/15/2024 - 03/15/2026		68		69
5.228% due 10/15/2020		27		27
5.500% due 08/15/2030 - 01/01/2038		13,024		12,998
5.500% due 05/01/2035 (e)		420		420
6.063% due 02/25/2045		229		228
Total U.S. Government Agencies (Cost $24,934)				24,974
U.S. TREASURY OBLIGATIONS 41.9%
Treasury Inflation Protected Securities (b)
2.375% due 04/15/2011		318		331
2.375% due 01/15/2027		104		110
U.S. Treasury Bonds
3.625% due 10/31/2009		8,600		8,687
5.000% due 05/15/2037		1,000		1,090
8.125% due 08/15/2019		300		405
Total U.S. Treasury Obligations (Cost $10,593)				10,623
MORTGAGE-BACKED SECURITIES 26.0%
Bear Stearns Adjustable Rate Mortgage Trust
4.125% due 03/25/2035		185		184
4.550% due 08/25/2035		71		70
4.625% due 10/25/2035		157		155
Bear Stearns Alt-A Trust
5.811% due 11/25/2036		76		75
Bear Stearns Commercial Mortgage Securities
6.440% due 06/16/2030		182		182
Citigroup Mortgage Loan Trust, Inc.
4.248% due 08/25/2035		78		77
Countrywide Alternative Loan Trust
5.025% due 02/25/2047		156		146
5.029% due 09/20/2046		119		118
5.065% due 05/25/2036		169		160
5.145% due 02/25/2037		147		139
5.159% due 03/20/2046		125		118
Countrywide Home Loan Mortgage Pass-Through Trust
5.250% due 02/20/2036		142		140
Deutsche ALT-A Securities, Inc. Alternate Loan Trust
4.945% due 02/25/2037		124		122
Downey Savings & Loan Association Mortgage Loan Trust
5.225% due 08/19/2045		103		97
Greenpoint Mortgage Funding Trust
4.945% due 01/25/2047		173		170
GS Mortgage Securities Corp. II
5.342% due 03/06/2020		71		68
5.352% due 06/06/2020		2		2
Harborview Mortgage Loan Trust
5.185% due 05/19/2035		154		146
5.205% due 03/19/2037		132		124
Impac Secured Assets CMN Owner Trust
4.945% due 01/25/2037		57		56
Mellon Residential Funding Corp.
5.378% due 11/15/2031		147		143
5.468% due 12/15/2030		82		80
Residential Accredit Loans, Inc.
4.965% due 09/25/2046		112		110
5.075% due 04/25/2046		213		200
Structured Adjustable Rate Mortgage Loan Trust
6.188% due 01/25/2035		37		36
Structured Asset Mortgage Investments, Inc.
4.935% due 08/25/2036		178		177
5.085% due 05/25/2036		161		152
5.145% due 02/25/2036		140		133
Structured Asset Securities Corp.
4.080% due 06/25/2033		179		178
TBW Mortgage-Backed Pass-Through Certificates
4.975% due 01/25/2037		117		114
Thornburg Mortgage Securities Trust
4.975% due 11/25/2046		156		153
Wachovia Bank Commercial Mortgage Trust
5.118% due 09/15/2021		210		207
Washington Mutual, Inc.
3.795% due 06/25/2034		400		393
4.046% due 09/25/2033		198		197
5.135% due 12/25/2045		74		70
5.405% due 12/25/2027		34		33
5.518% due 01/25/2047		168		158
5.733% due 05/25/2046		149		148
5.768% due 06/25/2046		186		178
5.788% due 02/25/2046		146		143
5.883% due 08/25/2046		225		217
6.059% due 05/25/2041		32		33
Wells Fargo Mortgage-Backed Securities Trust
4.323% due 07/25/2035		300		298
4.500% due 11/25/2018		99		98
4.950% due 03/25/2036		324		321
5.242% due 04/25/2036		209		207
5.387% due 08/25/2035		67		66
Total Mortgage-Backed Securities (Cost $6,716)				6,592
ASSET-BACKED SECURITIES 21.5%
ACE Securities Corp.
4.915% due 12/25/2036		127		124
Argent Securities, Inc.
4.905% due 06/25/2036		35		35
4.935% due 04/25/2036		27		27
4.945% due 03/25/2036		9		9
Asset-Backed Funding Certificates
4.925% due 11/25/2036		60		59
4.925% due 01/25/2037		117		115
Asset-Backed Securities Corp. Home Equity
4.915% due 11/25/2036		42		41
Basic Asset-Backed Securities Trust
4.945% due 04/25/2036		19		19
Bear Stearns Asset-Backed Securities Trust
4.915% due 11/25/2036		62		61
4.955% due 04/25/2036		36		36
5.563% due 10/25/2036		150		146
Carrington Mortgage Loan Trust
4.915% due 01/25/2037		126		123
5.025% due 01/25/2036		200		197
Citigroup Mortgage Loan Trust, Inc.
4.925% due 05/25/2037		529		504
Countrywide Asset-Backed Certificates
4.915% due 05/25/2037		279		274
4.935% due 06/25/2036		27		27
4.935% due 06/25/2037		144		141
5.025% due 02/25/2036		37		36
Credit-Based Asset Servicing & Securitization LLC
4.925% due 11/25/2036		143		138
CSAB Mortgage-Backed Trust
4.965% due 06/25/2036		63		63
First Franklin Mortgage Loan Asset-Backed Certificates
4.915% due 12/25/2036		64		63
Fremont Home Loan Trust
4.925% due 01/25/2037		142		138
GSAMP Trust
4.935% due 01/25/2036		19		18
4.955% due 11/25/2035		35		34
HFC Home Equity Loan Asset-Backed Certificates
5.019% due 03/20/2036		85		84
5.299% due 09/20/2033		18		17
Home Equity Asset Trust
4.945% due 05/25/2036		32		31
HSI Asset Securitization Corp. Trust
4.915% due 12/25/2036		146		141
4.945% due 12/25/2035		31		31
Indymac Residential Asset-Backed Trust
4.925% due 04/25/2037		126		123
4.955% due 03/25/2036		13		13
JPMorgan Mortgage Acquisition Corp.
4.925% due 04/01/2037		86		82
4.945% due 03/25/2037		231		222
Lehman XS Trust
4.935% due 05/25/2046		30		30
4.945% due 04/25/2046		67		66
4.945% due 07/25/2046		115		114
4.955% due 05/25/2046		91		89
Long Beach Mortgage Loan Trust
5.045% due 08/25/2035		53		53
MASTR Asset-Backed Securities Trust
4.915% due 11/25/2036		68		66
4.925% due 11/25/2036		128		124
Merrill Lynch First Franklin Mortgage Loan Trust
4.925% due 07/25/2037		268		259
Merrill Lynch Mortgage Investors, Inc.
4.895% due 06/25/2037		77		76
4.935% due 08/25/2036		68		67
Morgan Stanley ABS Capital I
4.915% due 10/25/2036		117		112
Morgan Stanley IXIS Real Estate Capital Trust
4.915% due 11/25/2036		57		55
Nelnet Student Loan Trust
5.182% due 09/25/2012		80		80
New Century Home Equity Loan Trust
5.045% due 05/25/2036		200		193
5.125% due 06/25/2035		24		22
Option One Mortgage Loan Trust
4.905% due 02/25/2037		52		51
Residential Asset Securities Corp.
4.905% due 06/25/2036		30		29
4.975% due 04/25/2037		248		243
Soundview Home Equity Loan Trust
4.925% due 12/25/2036		78		77
4.945% due 06/25/2037		243		239
Specialty Underwriting & Residential Finance
4.910% due 11/25/2037		53		52
Structured Asset Securities Corp.
4.900% due 04/25/2035		50		48
Wells Fargo Home Equity Trust
4.915% due 01/25/2037		123		120
Total Asset-Backed Securities (Cost $5,579)				5,437
SOVEREIGN ISSUES 0.1%
Banque Centrale de Tunisie
7.375% due 04/25/2012		12		13
Panama Government International Bond
9.625% due 02/08/2011		14		16
Total Sovereign Issues (Cost $28)				29
FOREIGN CURRENCY-DENOMINATED ISSUES 0.8%
General Electric Capital Corp.
6.500% due 09/15/2067	GBP	100		201
Total Foreign Currency-Denominated Issues (Cost $200)				201
	Shares
PREFERRED STOCKS 0.3%
Fannie Mae
8.250% due 12/31/2049		3,000		76
Total Preferred Stocks (Cost $75)				76
EXCHANGE-TRADED FUNDS 6.1%
iShares MSCI Japan Index Fund		116,689		1,551
Total Exchange-Traded Funds (Cost $1,728)				1,551
	Principal Amount (000s)
SHORT-TERM INSTRUMENTS 3.6%
U.S. Treasury Bills 3.6%
2.976% due 02/28/2008 - 03/13/2008 (a)(c)(f)	$	915		910
Total Short-Term Instruments (Cost $910)				910
PURCHASED OPTIONS (h) 2.2%
(Cost $194)				565
Total Investments 228.2% (Cost $57,792)			$	57,817
Written Options (i) (1.8%) (Premiums $212)				(470	)
Other Assets and Liabilities (Net) (126.4%)				(32,015	)
Net Assets (d) 100.0%			$	25,332

Notes to Schedule of Investments (amounts in thousands*, except number of contracts):

* A zero balance may reflect actual amounts rounding to less than one thousand.

(a) Coupon represents a weighted average rate.

(b) Principal amount of security is adjusted for inflation.

(c) Securities with an aggregate market value of $249 have been pledged as collateral for swap and swaption contracts on December 31, 2007.

(d) As of December 31, 2007, portfolio securities with an aggregate value of $178 and derivative instruments with an aggregate depreciation of ($181) were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(e) The average amount of borrowings outstanding during the period ended December 31, 2007 was $11,750 at a weighted average interest rate of 4.860%. On December 31, 2007, securities valued at $8,781 were pledged as collateral for reverse repurchase agreements.

(f) Securities with an aggregate market value of $163 and cash of $555 have been segregated with the custodian to cover margin requirements for the following open futures contracts on December 31, 2007:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Euribor December Futures	Long	12/2008	7	$	0
90-Day Euribor June Futures	Long	06/2008	1		(1)
90-Day Euribor March Futures	Long	03/2008	19		(12)
90-Day Euribor September Futures	Long	09/2008	15		(1)
90-Day Eurodollar December Futures	Long	12/2008	87		218
90-Day Eurodollar June Futures	Long	06/2008	3		5
90-Day Eurodollar June Futures	Short	06/2008	3		(6)
90-Day Eurodollar March Futures	Long	03/2009	73		278
Euro-Bobl March Futures	Short	03/2008	14		29
Euro-Bobl March Futures Call Options Strike @ EUR 115.750	Long	03/2008	14		0
Euro-Bund 10-Year Bond March Futures	Long	03/2008	5		(13)
Euro-Schatz March Futures	Short	03/2008	25		24
Euro-Schatz March Futures Call Options Strike @ EUR 106.200	Long	03/2008	25		0
U.S. Treasury 2-Year Note March Futures	Short	03/2008	66		6
U.S. Treasury 5-Year Note March Futures	Short	03/2008	60		(5)
U.S. Treasury 10-Year Note March Futures	Long	03/2008	34		22
U.S. Treasury 30-Year Bond March Futures	Long	03/2008	2		(1)
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2008	38		82
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2008	67		48
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2009	1		2
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2008	7		3
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2009	7		13
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2008	25		33
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2009	10		18
United Kingdom Government 10-Year Bond March Futures	Short	03/2008	3		0
				$	742

(g) Swap agreements outstanding on December 31, 2007:

Credit Default Swaps on Securities

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Bank of America	Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.170	%	09/20/2008	$	200	$	(1	)
Bank of America	Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.900	%	09/20/2012		100		1
Bank of America	Morgan Stanley 6.600% due 04/01/2012	Sell	0.190	%	09/20/2008		200		(1	)
Bank of America	Time Warner, Inc. 5.500% due 11/15/2011	Buy	(0.310	%)	12/20/2011		400		5
Barclays Bank PLC	Pemex Project Funding Master Trust 9.500% due 09/15/2027	Sell	0.290	%	12/20/2008		200		0
Bear Stearns & Co., Inc.	Loews Corp. 5.250% due 03/15/2016	Buy	(0.280	%)	03/20/2016		200		1
Deutsche Bank AG	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.420	%	12/20/2008		200		(1	)
Deutsche Bank AG	Reynolds American, Inc. 7.625% due 06/01/2016	Sell	1.280	%	06/20/2017		100		2
Goldman Sachs & Co.	American International Group, Inc. 5.600% due 10/18/2016	Sell	0.055	%	03/20/2008		500		(1	)
Lehman Brothers, Inc.	BellSouth Corp. 5.200% due 09/15/2014	Buy	(0.325	%)	09/20/2014		200		0
Lehman Brothers, Inc.	Kohl’s Corp. 6.300% due 03/01/2011	Buy	(0.440	%)	12/20/2012		200		4
Royal Bank of Scotland Group PLC	AutoZone, Inc. 5.875% due 10/15/2012	Buy	(0.665	%)	06/20/2017		200		(1	)
Royal Bank of Scotland Group PLC	Merrill Lynch & Co., Inc. 5.000% due 01/15/2015	Sell	0.920	%	09/20/2012		100		(1	)
UBS Warburg LLC	Boston Scientific Corp. 6.000% due 06/15/2011	Buy	(0.500	%)	06/20/2011		100		3
								$	10

Credit Default Swaps on Credit Indices

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
Morgan Stanley	Dow Jones iTraxx Europe 8X0V Index	Buy	(4.600	%)	12/20/2017	EUR	200	$	(2	)
Barclays Bank PLC	Dow Jones CDX N.A. HY8 Index	Sell	0.483	%	06/20/2012	$	300		(4	)
Credit Suisse USA, Inc.	Dow Jones CDX N.A. HV9 Index	Sell	1.400	%	12/20/2012		300		(4	)
Credit Suisse USA, Inc.	Dow Jones CDX N.A. HY8 Index	Buy	(2.750	%)	06/20/2012		200		8
JPMorgan Chase & Co.	Dow Jones CDX N.A. IG9 Index	Sell	0.600	%	12/20/2012		300		(1	)
Lehman Brothers, Inc.	Dow Jones CDX N.A. HY8 Index	Buy	(2.750	%)	06/20/2012		100		2
Lehman Brothers, Inc.	Dow Jones CDX N.A. HY8 Index	Sell	2.750	%	06/20/2012		200		(8	)
Morgan Stanley	Dow Jones CDX N.A. IG5 Index	Buy	(0.140	%)	12/20/2012		300		9
Morgan Stanley	Dow Jones CDX N.A. IG5 Index	Sell	0.460	%	12/20/2015		200		(8	)
Morgan Stanley	Dow Jones CDX N.A. IG8 Index	Buy	(0.170	%)	06/20/2012		1,800		0
								$	(8	)

⁽¹⁾ If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will pay to the buyer of the protection an amount up to the notional value of the swap and in certain instances, take delivery of the security. As a buyer of protection, the Fund will generally receive from the seller of protection an amount up to the notional amount of the swap if a credit event occurs.

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation	)
Citibank N.A.	3-Month Australian Bank Bill	Pay	7.000	%	09/15/2009	AUD	400	$	(1	)
Deutsche Bank AG	6-Month Australian Bank Bill	Pay	7.000	%	06/15/2010		2,500		(30	)
Lehman Brothers, Inc.	3-Month Australian Bank Bill	Pay	7.000	%	09/15/2009		500		(1	)
Morgan Stanley	6-Month Australian Bank Bill	Pay	7.000	%	06/15/2010		1,100		(12	)
Barclays Bank PLC	BRL-CDI-Compounded	Pay	10.680	%	01/02/2012	BRL	1,900		(38	)
Barclays Bank PLC	BRL-CDI-Compounded	Pay	12.540	%	01/02/2012		500		(2	)
Goldman Sachs & Co.	BRL-CDI-Compounded	Pay	10.150	%	01/02/2012		2,700		(111	)
Merrill Lynch & Co., Inc.	BRL-CDI-Compounded	Pay	12.540	%	01/02/2012		200		(1	)
Morgan Stanley	BRL-CDI-Compounded	Pay	10.115	%	01/02/2012		1,300		(24	)
UBS Warburg LLC	BRL-CDI-Compounded	Pay	10.575	%	01/02/2012		400		(6	)
Barclays Bank PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.980	%	04/30/2012	EUR	100		(2	)
Barclays Bank PLC	6-Month EUR-LIBOR	Receive	4.000	%	12/15/2014		300		11
Citibank N.A.	6-Month EUR-LIBOR	Pay	4.800	%	07/11/2012		1,600		33
Citibank N.A.	6-Month EUR-LIBOR	Receive	5.000	%	07/11/2037		200		(8	)
Deutsche Bank AG	6-Month EUR-LIBOR	Pay	4.000	%	12/15/2011		600		(6	)
Lehman Brothers, Inc.	6-Month EUR-LIBOR	Pay	4.500	%	03/19/2010		3,200		(9	)
Morgan Stanley	6-Month EUR-LIBOR	Pay	4.500	%	03/19/2010		310		0
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2010	GBP	500		9
Deutsche Bank AG	6-Month GBP-LIBOR	Receive	6.000	%	06/19/2009		2,000		(44	)
Deutsche Bank AG	6-Month GBP-LIBOR	Receive	5.000	%	09/20/2017		200		(12	)
Deutsche Bank AG	6-Month GBP-LIBOR	Receive	4.500	%	12/15/2035		400		(15	)
Goldman Sachs & Co.	6-Month GBP-LIBOR	Receive	6.000	%	06/19/2009		4,600		(102	)
Lehman Brothers, Inc.	6-Month GBP-LIBOR	Pay	5.500	%	03/20/2013		200		8
Morgan Stanley	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035		300		(1	)
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2010		100		2
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	7.910	%	05/14/2009	MXN	7,000		(2	)
Merrill Lynch & Co., Inc.	28-Day Mexico Interbank TIIE Banxico	Pay	8.170	%	11/04/2016		600		(2	)
Morgan Stanley	28-Day Mexico Interbank TIIE Banxico	Pay	7.910	%	05/14/2009		5,000		(2	)
Bank of America	3-Month USD-LIBOR	Pay	5.000	%	12/19/2009	$	100		1
Bank of America	3-Month USD-LIBOR	Receive	5.000	%	12/19/2022		1,600		9
Barclays Bank PLC	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010		4,900		7
Barclays Bank PLC	3-Month USD-LIBOR	Pay	5.000	%	06/18/2010		1,700		5
Citibank N.A.	3-Month USD-LIBOR	Receive	5.000	%	03/18/2014		700		(18	)
Deutsche Bank AG	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010		800		3
Deutsche Bank AG	3-Month USD-LIBOR	Receive	4.000	%	06/18/2013		2,200		(25	)
Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	06/18/2015		1,200		(1	)
JPMorgan Chase & Co.	3-Month USD-LIBOR	Receive	5.000	%	03/18/2014		900		(22	)
Merrill Lynch & Co., Inc.	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010		1,400		(1	)
Merrill Lynch & Co., Inc.	3-Month USD-LIBOR	Pay	4.000	%	06/18/2013		2,100		5
Morgan Stanley	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010		1,100		5
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010		3,400		(1	)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	06/18/2015		1,600		14
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	06/18/2018		1,500		15
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	06/18/2023		200		1
UBS Warburg LLC	3-Month USD-LIBOR	Pay	5.000	%	06/18/2009		6,500		106
								$	(265	)

Total Return Swaps

Counterparty	Type	Receive Total Return	Pay	Expiration Date	# of Contracts	Unrealized Appreciation/ (Depreciation)
Goldman Sachs & Co.	Long	iShares MSCI Japan Index	1-Month USD-LIBOR less 0.250%	11/15/2008	2,289,671	$	855
Goldman Sachs & Co.	Short	iShares MSCI Japan Index	1-Month USD-LIBOR less 0.250%	11/15/2008	504,490		(190	)
						$	665

(h) Purchased options outstanding on December 31, 2007:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Cost		Value
Call - CBOT U.S. Treasury 10-Year Note March Futures	$	128.000	02/22/2008	32	$	1	$	1
Call - CBOT U.S. Treasury 30-Year Bond March Futures		139.000	02/22/2008	4		0		0
Call - CBOT U.S. Treasury 2-Year Note March Futures		116.000	02/22/2008	143		3		2
Call - CBOT U.S. Treasury 2-Year Note March Futures		118.500	02/22/2008	44		1		1
Call - CBOT U.S. Treasury 2-Year Note March Futures		119.500	02/22/2008	22		0		0
Call - CBOT U.S. Treasury 2-Year Note March Futures		120.000	02/22/2008	33		1		1
Call - CBOT U.S. Treasury 2-Year Note March Futures		124.000	02/22/2008	23		0		0
Call - CBOT U.S. Treasury 2-Year Note March Futures		136.000	02/22/2008	33		1		1
Call - CBOT U.S. Treasury 5-Year Note March Futures		124.000	02/22/2008	18		0		0
Call - CBOT U.S. Treasury 5-Year Note March Futures		126.500	02/22/2008	2		0		0
Call - CBOT U.S. Treasury 5-Year Note March Futures		127.000	02/22/2008	37		1		1
Call - CME 90-Day Eurodollar March Futures		95.250	03/17/2008	18		15		24
Call - CME 90-Day Eurodollar March Futures		95.500	03/17/2008	4		2		3
Put - CBOT U.S. Treasury 10-Year Note March Futures		99.000	02/22/2008	19		0		0
Put - CBOT U.S. Treasury 10-Year Note March Futures		102.000	02/22/2008	19		0		0
Put - CBOT U.S. Treasury 10-Year Note March Futures		103.000	02/22/2008	30		1		0
					$	26	$	34

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Cost		Value
Call - OTC 2-Year Interest Rate Swap	Deutsche Bank AG	6-Month EUR-LIBOR	Pay	4.070	%	09/14/2009	EUR	3,600	$	19	$	16
Call - OTC 1-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Pay	4.750	%	02/01/2008	$	1,400		4		10
Call - OTC 5-Year Interest Rate Swap	JPMorgan Chase & Co.	3-Month USD-LIBOR	Pay	4.363	%	06/16/2008		1,100		8		21
Call - OTC 2-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	4.750	%	09/26/2008		2,500		9		52
Call - OTC 2-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	5.300	%	08/03/2009		6,200		55		149
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	12/15/2008		1,200		4		24
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	12/15/2008		9,600		37		227
									$	136	$	499

Foreign Currency Options

Description	Exercise Price		Expiration Date	Notional Amount		Cost		Value
Call - OTC U.S. dollar versus Japanese yen	JPY	121.000	01/18/2008	$	200	$	2	$	0
Call - OTC U.S. dollar versus Japanese yen		103.800	03/17/2010		300		13		16
Put - OTC U.S. dollar versus Japanese yen		103.800	03/17/2010		300		13		14
						$	28	$	30

Options on Securities

Description	Strike Price		Expiration Date	Notional Amount		Cost		Value
Call - OTC Treasury Inflation Protected Securities 3.625% due 10/31/2009	$	102.750	02/22/2008	$	9,800	$	1	$	2
Put - OTC Fannie Mae 5.000% due 03/01/2038		80.000	03/05/2008		1,000		0		0
Put - OTC Fannie Mae 5.000% due 03/01/2038		88.500	03/05/2008		1,000		0		0
Put - OTC Fannie Mae 5.500% due 03/01/2023		84.000	03/11/2008		1,000		0		0
Put - OTC Fannie Mae 5.500% due 03/01/2038		89.000	03/05/2008		4,700		1		0
Put - OTC Fannie Mae 6.000% due 03/01/2038		91.000	03/05/2008		5,000		1		0
Put - OTC Freddie Mac 5.500% due 01/01/2038		85.000	01/07/2008		9,000		1		0
Put - OTC Freddie Mac 5.500% due 03/01/2038		85.500	03/05/2008		4,000		0		0
						$	4	$	2

(i) Written options outstanding on December 31, 2007:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Value
Call - CBOT U.S. Treasury 10-Year Note March Futures	$	111.000	02/22/2008	19	$	7	$	54
Call - CBOT U.S. Treasury 10-Year Note March Futures		117.000	02/22/2008	8		6		14
Call - CME 90-Day Eurodollar March Futures		95.750	03/14/2008	2		1		5
Call - CME 90-Day Eurodollar March Futures		95.875	03/14/2008	2		1		4
Call - CME 90-Day Eurodollar March Futures		95.750	03/17/2008	22		15		9
Call - CME 90-Day Eurodollar March Futures		96.000	03/17/2008	10		6		2
Put - CBOT U.S. Treasury 10-Year Note March Futures		106.000	02/22/2008	19		9		0
					$	45	$	88

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Value
Call - OTC 7-Year Interest Rate Swap	Deutsche Bank AG	6-Month EUR-LIBOR	Receive	4.250	%	09/14/2009	EUR	1,200	$	18	$	14
Call - OTC 5-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Receive	4.900	%	02/01/2008	$	300		4		10
Put - OTC 5-Year Interest Rate Swap	Citibank N.A.	3-Month USD-LIBOR	Pay	5.400	%	03/16/2009		1,800		21		11
Put -OTC 5-Year Interest Rate Swap	JPMorgan Chase & Co.	3-Month USD-LIBOR	Pay	5.400	%	03/16/2009		1,800		23		11
Call -OTC 5-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	4.950	%	09/26/2008		1,100		9		40
Call -OTC 5-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	5.500	%	08/03/2009		2,700		53		129
Call -OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	12/15/2008		400		4		16
Call -OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.200	%	12/15/2008		3,200		35		151
									$	167	$	382

(j) Short sales outstanding on December 31, 2007:

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Value(2)
Fannie Mae	5.000	%	01/01/2038	$	1,000	$	976	$	976
Fannie Mae	5.500	%	01/01/2038		2,000		1,991		1,998
U.S. Treasury Bonds	3.625	%	10/31/2009		18,400		18,529		18,587
U.S. Treasury Bonds	4.000	%	09/30/2009		1,000		1,014		1,016
U.S. Treasury Bonds	4.250	%	11/15/2017		1,200		1,212		1,221
U.S. Treasury Bonds	4.750	%	08/15/2017		1,300		1,363		1,374
U.S. Treasury Bonds	4.750	%	02/15/2037		3,800		3,926		3,978
U.S. Treasury Notes	4.125	%	08/31/2012		300		307		309
U.S. Treasury Notes	4.500	%	05/15/2017		1,900		1,931		1,970
U.S. Treasury Notes	4.750	%	05/15/2014		100		105		106
						$	31,354	$	31,535

⁽²⁾ Market value includes $286 of interest payable on short sales.

(k) Foreign currency contracts outstanding on December 31, 2007:

Type	Currency	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	AUD	229	01/2008	$	0	$	(1	)	$	(1	)
Buy	BRL	1,980	03/2008		79		(9	)		70
Sell		1,002	03/2008		4		(14	)		(10	)
Buy		2,549	07/2008		129		0			129
Sell		600	07/2008		0		(8	)		(8	)
Buy	CNY	4,313	01/2008		8		0			8
Sell		4,313	01/2008		0		(7	)		(7	)
Buy		4,103	07/2008		16		0			16
Sell		4,103	07/2008		0		(5	)		(5	)
Buy		1,743	10/2008		0		0			0
Sell		1,743	10/2008		0		(2	)		(3	)
Sell	EUR	230	01/2008		0		0			0
Buy	GBP	77	01/2008		0		0			0
Sell		595	01/2008		15		0			15
Buy	JPY	1,858,000	02/2008		176		0			176
Sell		4,711,520	02/2008		95		0			95
Buy	KRW	175,228	01/2008		0		(6	)		(6	)
Buy		152,618	08/2008		0		(2	)		(2	)
Buy	MXN	4,140	03/2008		7		(1	)		6
Sell		1,596	03/2008		0		(1	)		0
Buy		1,693	07/2008		2		0			2
Buy	MYR	350	05/2008		0		0			0
Buy		154	08/2008		2		0			2
Sell	NZD	89	01/2008		0		(2	)		(2	)
Sell		89	02/2008		0		0			0
Buy	PLN	437	07/2008		18		0			18
Buy	RUB	4,922	01/2008		7		0			7
Sell		4,922	01/2008		0		0			0
Buy		8,577	07/2008		8		0			8
Buy		4,922	11/2008		0		0			0
Buy	SGD	46	02/2008		1		0			1
Buy		244	05/2008		4		0			4
				$	571	$	(58	)	$	513

See accompanying notes

Schedule of Investments

Long Duration Total Return Fund

December 31, 2007 (Unaudited)

	Principal Amount (000s)		Value (000s)
BANK LOAN OBLIGATIONS 0.3%
Daimler Finance North America LLC
9.000% due 08/03/2012	$	1,000	$	964
SLM Corp.
6.000% due 02/16/2008		400		399
Total Bank Loan Obligations (Cost $1,348)				1,363
CORPORATE BONDS & NOTES 34.3%
Banking & Finance 10.0%
ABX Financing Co.
6.350% due 10/15/2036		810		796
AIG SunAmerica Global Financing X
6.900% due 03/15/2032		200		220
American Express Centurion Bank
5.250% due 05/07/2008		30		30
American Express Credit Corp.
5.285% due 03/02/2009		10		10
American International Group, Inc.
6.250% due 05/01/2036		980		988
6.250% due 03/15/2087		300		269
Bank of America N.A.
5.132% due 06/12/2009		200		200
6.000% due 10/15/2036		4,500		4,318
Barclays Bank PLC
6.050% due 12/04/2017		900		909
Citigroup, Inc.
4.898% due 12/26/2008		10		10
5.875% due 05/29/2037		500		468
6.125% due 08/25/2036		2,400		2,279
6.625% due 06/15/2032		1,900		1,918
Credit Agricole S.A.
5.053% due 05/28/2009		200		200
Export-Import Bank of Korea
5.214% due 06/01/2009		200		200
General Electric Capital Corp.
4.939% due 08/15/2011		10		10
5.280% due 10/21/2010		10		10
6.375% due 11/15/2067		2,300		2,379
6.750% due 03/15/2032		3,650		4,157
Goldman Sachs Group, Inc.
5.045% due 02/06/2012		500		486
6.125% due 02/15/2033		1,500		1,479
6.450% due 05/01/2036		800		754
6.750% due 10/01/2037		2,500		2,457
HSBC Bank USA N.A.
5.625% due 08/15/2035		400		355
5.875% due 11/01/2034		60		55
HSBC Holdings PLC
6.500% due 05/02/2036		1,390		1,356
6.500% due 09/15/2037		1,900		1,847
JPMorgan Chase Capital
6.550% due 09/29/2036		1,010		914
JPMorgan Chase Capital XVIII
6.950% due 08/17/2036		2,400		2,286
Lehman Brothers Holdings, Inc.
6.875% due 07/17/2037		800		785
7.000% due 09/27/2027		200		204
Metropolitan Life Global Funding I
4.945% due 05/17/2010		100		99
Morgan Stanley
4.925% due 05/07/2009		500		494
7.250% due 04/01/2032		1,900		2,075
National Rural Utilities Cooperative Finance Corp.
8.000% due 03/01/2032		320		388
Prudential Financial, Inc.
6.625% due 12/01/2037		1,000		1,012
Rabobank Capital Funding Trust
5.254% due 12/29/2049		1,100		986
RBS Capital Trust II
6.425% due 12/29/2049		2,490		2,255
Santander Perpetual S.A. Unipersonal
6.671% due 10/29/2049		1,600		1,607
UBS Preferred Funding Trust V
6.243% due 05/29/2049		1,600		1,543
Wachovia Bank N.A.
5.850% due 02/01/2037		800		723
Wachovia Corp.
5.500% due 08/01/2035		10		9
Wells Fargo & Co.
5.375% due 02/07/2035		100		88
Wells Fargo Bank N.A.
5.950% due 08/26/2036		850		801
Wells Fargo Capital X
5.950% due 12/15/2036		1,700		1,592
Williams Cos., Inc. Credit Linked Certificate Trust
6.750% due 04/15/2009		30		31
				46,052
Industrials 12.2%
Amgen, Inc.
6.375% due 06/01/2037		2,700		2,747
Anadarko Petroleum Corp.
6.450% due 09/15/2036		3,025		3,091
AstraZeneca PLC
6.450% due 09/15/2037		3,000		3,298
Barrick Gold Corp.
5.800% due 11/15/2034		10		10
Burlington Northern Santa Fe Corp.
6.150% due 05/01/2037		450		439
Canadian National Railway Co.
6.375% due 11/15/2037		300		308
Canadian Natural Resources Ltd.
5.850% due 02/01/2035		1,790		1,658
6.250% due 03/15/2038		1,300		1,274
6.450% due 06/30/2033		100		102
6.500% due 02/15/2037		250		251
Comcast Corp.
6.450% due 03/15/2037		300		306
6.950% due 08/15/2037		200		217
7.050% due 03/15/2033		2,840		3,112
Conoco Funding Co.
7.250% due 10/15/2031		10		12
ConocoPhillips Canada Funding Co.
5.950% due 10/15/2036		2,500		2,568
Covidien International Finance S.A.
6.550% due 10/15/2037		500		521
CSX Corp.
6.150% due 05/01/2037		800		750
CVS Caremark Corp.
5.441% due 06/01/2010		100		99
Devon Energy Corp.
7.950% due 04/15/2032		400		491
Devon Financing Corp. ULC
7.875% due 09/30/2031		2,630		3,190
EnCana Corp.
6.500% due 08/15/2034		1,450		1,490
6.625% due 08/15/2037		300		313
Energy Transfer Partners LP
6.625% due 10/15/2036		1,300		1,250
Enterprise Products Operating LP
5.750% due 03/01/2035		400		365
Gaz Capital for Gazprom
8.625% due 04/28/2034		510		632
Georgia-Pacific Corp.
7.750% due 11/15/2029		30		28
International Business Machines Corp.
5.700% due 09/14/2017		700		725
Kinder Morgan Energy Partners LP
5.800% due 03/15/2035		850		772
6.500% due 02/01/2037		600		595
6.950% due 01/15/2038		3,710		3,906
Kraft Foods, Inc.
6.500% due 11/01/2031		530		521
6.875% due 02/01/2038		900		946
7.000% due 08/11/2037		800		843
Lockheed Martin Corp.
7.750% due 05/01/2026		7		8
Marathon Oil Corp.
6.600% due 10/01/2037		300		314
Norfolk Southern Corp.
7.250% due 02/15/2031		20		22
Nucor Corp.
6.400% due 12/01/2037		1,000		1,022
ONEOK Partners LP
6.850% due 10/15/2037		1,400		1,457
Pemex Project Funding Master Trust
6.625% due 06/15/2035		520		551
Suncor Energy, Inc.
6.500% due 06/15/2038		1,300		1,395
Target Corp.
6.500% due 10/15/2037		500		504
Teva Pharmaceutical Finance LLC
6.150% due 02/01/2036		1,000		996
Time Warner Cable, Inc.
6.550% due 05/01/2037		2,200		2,253
Time Warner, Inc.
7.700% due 05/01/2032		70		78
TransCanada Pipelines Ltd.
6.200% due 10/15/2037		300		299
Transocean, Inc.
6.800% due 03/15/2038		500		512
Union Pacific Corp.
6.150% due 05/01/2037		400		387
Vale Overseas Ltd.
6.875% due 11/21/2036		10		10
Valero Energy Corp.
6.625% due 06/15/2037		1,700		1,718
7.500% due 04/15/2032		950		1,047
8.750% due 06/15/2030		25		30
Viacom, Inc.
6.875% due 04/30/2036		450		453
Wal-Mart Stores, Inc.
6.500% due 08/15/2037		3,300		3,487
XTO Energy, Inc.
6.100% due 04/01/2036		1,250		1,224
6.750% due 08/01/2037		1,150		1,238
Yum! Brands, Inc.
6.875% due 11/15/2037		100		100
				55,935
Utilities 12.1%
AEP Texas Central Co.
6.650% due 02/15/2033		1,500		1,559
Appalachian Power Co.
6.700% due 08/15/2037		1,810		1,848
AT&T Corp.
8.000% due 11/15/2031		8,370		10,309
AT&T, Inc.
6.500% due 09/01/2037		450		472
BellSouth Corp.
6.550% due 06/15/2034		15		16
British Telecommunications PLC
9.125% due 12/15/2030		630		836
Deutsche Telekom International Finance BV
8.250% due 06/15/2030		3,700		4,630
Duke Energy LLC
6.450% due 10/15/2032		2,780		2,908
Enel Finance International S.A.
6.800% due 09/15/2037		1,300		1,310
FirstEnergy Corp.
7.375% due 11/15/2031		1,550		1,706
Florida Power Corp.
6.350% due 09/15/2037		200		211
France Telecom S.A.
8.500% due 03/01/2031		2,480		3,225
MidAmerican Energy Holdings Co.
6.125% due 04/01/2036		1,330		1,331
6.500% due 09/15/2037		3,400		3,563
NGPL Pipe Co. LLC
7.768% due 12/15/2037		300		315
Pacific Gas & Electric Co.
5.800% due 03/01/2037		1,000		968
6.050% due 03/01/2034		3,070		3,075
Progress Energy, Inc.
7.750% due 03/01/2031		1,500		1,776
Ras Laffan Liquefied Natural Gas Co. Ltd. III
5.838% due 09/30/2027		600		565
Southern California Edison Co.
5.550% due 01/15/2037		400		379
5.625% due 02/01/2036		1,400		1,344
6.000% due 01/15/2034		1,100		1,116
Sprint Capital Corp.
8.750% due 03/15/2032		1,900		2,147
Telecom Italia Capital S.A.
7.200% due 07/18/2036		2,170		2,400
Telefonica Emisones SAU
7.045% due 06/20/2036		2,200		2,467
Verizon Communications, Inc.
5.850% due 09/15/2035		1,812		1,778
Verizon Global Funding Corp.
7.750% due 12/01/2030		200		235
Virginia Electric and Power Co.
6.000% due 01/15/2036		20		20
6.000% due 05/15/2037		1,800		1,767
6.350% due 11/30/2037		1,000		1,029
				55,305
Total Corporate Bonds & Notes (Cost $156,651)				157,292
MUNICIPAL BONDS & NOTES 0.2%
Ohio State Buckeye Tobacco Settlement Financing Authority Revenue Bonds, Series 2007
5.875% due 06/01/2047		300		286
Puerto Rico Sales Tax Financing Corp. Revenue Bonds, (AMBAC Insured), Series 2007
0.000% due 08/01/2054		800		71
West Virginia State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2007
7.467% due 06/01/2047		500		481
Total Municipal Bonds & Notes (Cost $836)				838
U.S. GOVERNMENT AGENCIES 17.4%
Fannie Mae
4.000% due 02/25/2019		100		94
4.300% due 08/18/2010		10		10
4.925% due 07/25/2037		264		254
5.000% due 02/25/2017 - 08/25/2033		65		59
5.365% due 02/25/2032		28		28
5.500% due 09/25/2024 - 01/01/2038		17,810		17,663
6.000% due 12/25/2034 - 11/01/2037		22,507		22,851
6.050% due 02/25/2044		500		526
7.125% due 01/15/2030		200		260
Federal Farm Credit Bank
4.125% due 04/15/2010		15		15
5.750% due 12/07/2028		20		22
Federal Home Loan Bank
3.660% due 09/30/2010		10		10
4.000% due 05/15/2009		10		10
4.180% due 09/22/2010		15		15
5.250% due 09/12/2014		4,900		5,219
Freddie Mac
4.080% due 05/14/2009		25		25
5.000% due 04/15/2033 - 10/15/2033		74		68
5.258% due 02/15/2019		465		463
5.428% due 01/15/2033		3		3
5.500% due 11/15/2023 - 02/15/2024		327		327
6.000% due 06/15/2035 - 12/01/2037		29,193		29,633
8.250% due 06/01/2016		30		38
Small Business Administration
5.290% due 12/01/2027		2,000		2,025
Total U.S. Government Agencies (Cost $79,102)				79,618
U.S. TREASURY OBLIGATIONS 2.0%
Treasury Inflation Protected Securities (b)
2.375% due 01/15/2025		33		35
U.S. Treasury Bonds
4.500% due 02/15/2036		260		261
5.000% due 05/15/2037		4,000		4,361
6.000% due 02/15/2026		3,000		3,551
8.875% due 08/15/2017		600		826
Total U.S. Treasury Obligations (Cost $8,852)				9,034
MORTGAGE-BACKED SECURITIES 1.7%
American Home Mortgage Investment Trust
5.000% due 09/25/2035		300		295
Banc of America Commercial Mortgage, Inc.
7.226% due 10/11/2037		96		110
Bear Stearns Adjustable Rate Mortgage Trust
4.125% due 03/25/2035		926		918
4.486% due 02/25/2034		139		137
Bear Stearns Alt-A Trust
5.527% due 09/25/2035		855		843
CC Mortgage Funding Corp.
4.995% due 05/25/2048		196		177
CS First Boston Mortgage Securities Corp.
4.918% due 07/25/2033		172		172
Deutsche ALT-A Securities, Inc. Alternate Loan Trust
4.935% due 01/25/2047		7		7
First Horizon Asset Securities, Inc.
4.402% due 12/25/2033		160		159
GMAC Mortgage Corp. Loan Trust
4.311% due 06/25/2034		143		140
Harborview Mortgage Loan Trust
5.222% due 07/19/2035		268		265
JPMorgan Chase Commercial Mortgage Securities Corp.
5.747% due 02/12/2049		200		206
Residential Accredit Loans, Inc.
6.000% due 06/25/2036		371		362
Structured Asset Mortgage Investments, Inc.
4.965% due 09/25/2047		379		376
5.295% due 10/19/2034		94		92
Thornburg Mortgage Securities Trust
4.883% due 03/25/2037		278		271
Wachovia Bank Commercial Mortgage Trust
5.118% due 09/15/2021		210		207
Washington Mutual, Inc.
3.027% due 08/25/2033		500		497
4.229% due 03/25/2034		1,673		1,655
5.518% due 01/25/2047		8		8
5.883% due 10/25/2046		24		24
6.188% due 08/25/2042		10		10
Wells Fargo Mortgage-Backed Securities Trust
4.515% due 11/25/2033		1,000		988
Total Mortgage-Backed Securities (Cost $7,915)				7,919
ASSET-BACKED SECURITIES 1.6%
American Express Credit Account Master Trust
5.138% due 09/15/2010		200		200
Argent Securities, Inc.
4.915% due 10/25/2036		16		16
Asset-Backed Securities Corp. Home Equity
4.915% due 11/25/2036		13		12
4.915% due 12/25/2036		6		6
Bear Stearns Asset-Backed Securities Trust
5.819% due 07/25/2036		20		19
Chase Credit Card Master Trust
5.138% due 10/15/2010		20		20
5.198% due 09/15/2011		200		200
Citibank Credit Card Issuance Trust
2.900% due 05/17/2010		300		298
5.045% due 02/07/2010		100		100
Citigroup Mortgage Loan Trust, Inc.
4.925% due 05/25/2037		88		83
Countrywide Asset-Backed Certificates
4.975% due 10/25/2046		96		94
Credit-Based Asset Servicing & Securitization LLC
4.985% due 07/25/2037		277		263
First Franklin Mortgage Loan Asset-Backed Certificates
4.905% due 09/25/2036		115		110
First NLC Trust
4.935% due 08/25/2037		91		89
First USA Credit Card Master Trust
5.156% due 04/18/2011		300		300
Fremont Home Loan Trust
4.975% due 02/25/2036		600		567
HSI Asset Securitization Corp. Trust
4.915% due 12/25/2036		1,459		1,406
Indymac Residential Asset-Backed Trust
4.945% due 07/25/2037		161		158
Lehman ABS Mortgage Loan Trust
4.955% due 06/25/2037		88		86
MASTR Asset-Backed Securities Trust
4.945% due 05/25/2037		151		148
MBNA Credit Card Master Note Trust
5.148% due 08/16/2010		20		20
Merrill Lynch First Franklin Mortgage Loan Trust
4.925% due 07/25/2037		264		255
Morgan Stanley ABS Capital I
4.925% due 05/25/2037		258		249
Securitized Asset-Backed Receivables LLC Trust
4.995% due 05/25/2037		352		348
SLC Student Loan Trust
4.849% due 02/15/2015		490		489
SLM Student Loan Trust
5.064% due 04/25/2014		167		166
5.074% due 07/25/2013		549		549
5.074% due 10/25/2016		199		199
5.074% due 07/25/2017		188		188
5.074% due 10/25/2018		181		179
5.084% due 04/25/2017		255		254
Soundview Home Equity Loan Trust
4.945% due 06/25/2037		162		159
Wachovia Auto Owner Trust
5.340% due 07/18/2008		20		20
Total Asset-Backed Securities (Cost $7,388)				7,250
SOVEREIGN ISSUES 0.3%
Brazilian Government International Bond
7.125% due 01/20/2037		600		680
Colombia Government International Bond
7.375% due 09/18/2037		620		691
Total Sovereign Issues (Cost $1,380)				1,371
FOREIGN CURRENCY-DENOMINATED ISSUES 1.9%
Brazilian Government International Bond
10.250% due 01/10/2028	BRL	13,000		7,094
12.500% due 01/05/2016		2,000		1,230
General Electric Capital Corp.
5.500% due 09/15/2066	GBP	100		188
HBOS PLC
6.367% due 06/29/2049		50		89
Total Foreign Currency-Denominated Issues (Cost $8,428)				8,601
SHORT-TERM INSTRUMENTS 37.3%
Certificates of Deposit 0.0%
Abbey National Treasury Services PLC
5.175% due 07/02/2008	$	10	$	10
Barclays Bank PLC
4.619% due 03/17/2008		20		20
Fortis Bank NY
4.780% due 09/30/2008		10		10
Nordea Bank Finland PLC
5.230% due 04/09/2009		20		20
				60
Commercial Paper 35.1%
Abbey National Treasury Services PLC
4.250% due 01/07/2008		3,600		3,598
4.680% due 02/01/2008		8,100		8,068
ABN AMRO N.A. Finance
4.700% due 02/01/2008		8,100		8,068
ANZ National International Ltd.
4.700% due 02/01/2008		8,000		7,969
Bank of Scotland PLC
5.050% due 01/28/2008		1,200		1,196
Barclays U.S. Funding Corp.
4.810% due 01/25/2008		700		698
4.820% due 02/06/2008		2,500		2,488
5.100% due 01/25/2008		500		498
5.110% due 01/17/2008		5,100		5,089
Caisse d’Amortissement de la Dette Sociale
4.730% due 02/01/2008		8,100		8,068
Calyon Financial, Inc.
5.010% due 01/18/2008		6,300		6,286
Danske Corp.
4.740% due 02/08/2008		8,000		7,961
DnB NORBank ASA
5.010% due 01/11/2008		900		899
5.080% due 01/04/2008		2,800		2,799
Freddie Mac
3.000% due 01/02/2008		2,100		2,100
General Electric Capital Corp.
3.750% due 01/02/2008		6,500		6,500
Intesa Funding LLC
5.010% due 01/22/2008		6,300		6,282
Rabobank Financial Co.
4.430% due 01/04/2008		12,000		11,997
Royal Bank of Scotland Group PLC
4.740% due 01/28/2008		6,800		6,777
4.780% due 01/24/2008		1,400		1,396
4.920% due 01/22/2008		300		299
4.940% due 03/20/2008		7,100		7,026
5.000% due 01/18/2008		300		299
5.080% due 01/18/2008		2,400		2,395
Skandinaviska Enskilda Banken AB
4.720% due 02/01/2008		1,600		1,594
4.770% due 03/20/2008		8,500		8,411
4.980% due 01/18/2008		2,100		2,095
5.125% due 01/11/2008		900		899
Societe Generale NY
5.270% due 03/26/2008		20		20
Swedbank AB
4.730% due 02/01/2008		1,400		1,395
4.920% due 01/24/2008		300		299
5.015% due 01/24/2008		5,200		5,184
5.130% due 01/17/2008		2,000		1,996
UBS Finance Delaware LLC
4.000% due 01/02/2008		7,400		7,400
4.690% due 01/28/2008		4,400		4,385
Unicredito Italiano SpA
4.930% due 03/19/2008		8,200		8,115
5.140% due 01/18/2008		3,700		3,692
5.220% due 01/04/2008		1,000		1,000
Westpac Banking Corp.
4.670% due 02/01/2008		2,200		2,191
Westpac Trust Securities NZ Ltd.
4.810% due 01/25/2008		3,500		3,489
				160,921
Repurchase Agreements 1.6%
State Street Bank and Trust Co.
3.900% due 01/02/2008		7,289		7,289
(Dated 12/31/2007. Collateralized by U.S. Treasury Inflation Protected Securities 3.875% due 01/15/2009 valued at $7,440. Repurchase proceeds are $7,291.)
U.S. Treasury Bills 0.6%
2.980% due 02/28/2008 - 03/13/2008 (a)(d)		2,855		2,831
Total Short-Term Instruments (Cost $171,107)				171,101
Total Investments 97.0% (Cost $443,007)			$	444,387
Written Options (f) (0.0%) (Premiums $189)				(187	)
Other Assets and Liabilities (Net) 3.0%				13,948
Net Assets (c) 100.0%			$	458,148

Notes to Schedule of Investments (amounts in thousands*, except number of contracts):

* A zero balance may reflect actual amounts rounding to less than one thousand.

(a) Coupon represents a weighted average rate.

(b) Principal amount of security is adjusted for inflation.

(c) As of December 31, 2007, portfolio securities with an aggregate value of $399 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(d) Securities with an aggregate market value of $2,831 and cash of $1,890 have been segregated with the custodian to cover margin requirements for the following open futures contracts on December 31, 2007:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Eurodollar December Futures	Long	12/2008	226	$	595
90-Day Eurodollar June Futures	Long	06/2008	49		74
90-Day Eurodollar March Futures	Long	03/2008	188		362
90-Day Eurodollar March Futures	Long	03/2009	429		1,013
U.S. Treasury 5-Year Note March Futures	Short	03/2008	70		(43	)
U.S. Treasury 10-Year Note March Futures	Long	03/2008	294		128
U.S. Treasury 30-Year Bond March Futures	Long	03/2008	774		(196	)
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2008	43		20
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2008	82		22
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2008	80		30
				$	2,005

(e) Swap agreements outstanding on December 31, 2007:

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation
Citibank N.A.	3-Month USD-LIBOR	Pay	5.000	%	06/18/2028	$	10,000	$	251
Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	06/20/2027		500		15
Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	06/18/2038		5,500		130
Morgan Stanley	3-Month USD-LIBOR	Pay	5.000	%	06/18/2018		53,600		1,005
Morgan Stanley	3-Month USD-LIBOR	Pay	5.000	%	06/18/2038		13,800		390
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	06/18/2015		12,000		186
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	06/18/2038		22,300		583
								$	2,560

(f) Written options outstanding on December 31, 2007:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Value
Call - CBOT U.S. Treasury 5-Year Note March Futures	$	111.000	02/22/2008	6	$	4	$	4
Call - CBOT U.S. Treasury 10-Year Note March Futures		114.000	02/22/2008	131		110		147
Put - CBOT U.S. Treasury 5-Year Note March Futures		109.000	02/22/2008	6		4		3
Put - CBOT U.S. Treasury 10-Year Note March Futures		110.000	02/22/2008	131		71		33
					$	189	$	187

(g) Foreign currency contracts outstanding on December 31, 2007:

Type	Currency	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	AUD	1,669	01/2008	$	11	$	(3	)	$	8
Sell		1,042	01/2008		0		(20	)		(20	)
Buy		1,042	02/2008		20		0			20
Buy	BRL	2,057	03/2008		58		0			58
Buy		1,364	07/2008		16		0			16
Buy	CNY	118	07/2008		0		0			0
Buy	EUR	914	01/2008		0		(2	)		(2	)
Sell	GBP	1,832	01/2008		46		0			46
Buy	JPY	160,755	02/2008		7		(2	)		5
Buy	KRW	1,656,150	05/2008		4		(14	)		(10	)
Buy	MXN	11,868	03/2008		0		(2	)		(2	)
Buy		8,270	07/2008		0		(5	)		(5	)
Buy	PLN	5,393	07/2008		172		0			172
Buy	RUB	27,392	01/2008		31		0			31
Sell		27,392	01/2008		1		0			1
Buy		45,595	11/2008		5		0			5
Buy	SGD	2,687	05/2008		58		0			58
				$	429	$	(48	)	$	381

See accompanying notes

Schedule of Investments

Long-Term U.S. Government Fund

December 31, 2007 (Unaudited)

	Principal Amount (000s)		Value (000s)
CORPORATE BONDS & NOTES 11.6%
Banking & Finance 8.8%
Allstate Life Global Funding Trusts
5.144% due 01/25/2008	$	2,200	$	2,200
Bank of America Corp.
5.502% due 10/14/2016		5,000		4,843
CIT Group, Inc.
5.025% due 08/17/2009		6,000		5,572
Citigroup, Inc.
5.024% due 01/30/2009		9,500		9,424
Countrywide Financial Corp.
6.250% due 05/15/2016		5,000		2,882
General Electric Capital Corp.
5.095% due 10/26/2009		2,000		1,996
5.171% due 03/04/2008		10,000		10,006
Goldman Sachs Group, Inc.
5.045% due 02/06/2012		5,100		4,953
5.142% due 06/28/2010		2,300		2,264
HSBC Finance Corp.
5.121% due 09/15/2008		15,000		14,996
5.492% due 01/15/2014		5,000		4,748
5.554% due 06/01/2016		3,000		2,766
International Lease Finance Corp.
5.250% due 01/10/2013		2,900		2,861
JPMorgan Chase Capital
6.550% due 09/29/2036		4,200		3,801
Lehman Brothers Holdings, Inc.
5.241% due 01/23/2009		9,200		9,023
Morgan Stanley
5.006% due 02/09/2009		8,000		7,903
5.659% due 10/18/2016		9,400		8,785
5.722% due 10/15/2015		3,000		2,816
Pricoa Global Funding I
5.164% due 01/25/2008		2,200		2,200
RBS Capital Trust II
6.425% due 12/29/2049		600		543
Textron Financial Corp.
4.600% due 05/03/2010		3,000		3,058
U.S. Trade Funding Corp.
4.260% due 11/15/2014		5,971		6,062
Wells Fargo & Co.
4.944% due 03/23/2010		10,800		10,722
Wells Fargo Bank N.A.
4.750% due 02/09/2015		5,000		4,783
				129,207
Industrials 2.4%
Avon Products, Inc.
5.125% due 01/15/2011		2,800		2,820
Daimler Finance North America LLC
5.541% due 03/13/2009		11,800		11,721
Gannett Co., Inc.
5.750% due 06/01/2011		2,200		2,270
International Business Machines Corp.
5.700% due 09/14/2017		6,200		6,421
Johnson Controls, Inc.
5.250% due 01/15/2011		4,000		4,014
Kraft Foods, Inc.
5.625% due 11/01/2011		2,000		2,047
Loews Corp.
5.250% due 03/15/2016		3,000		2,999
Omnicom Group, Inc.
5.900% due 04/15/2016		1,500		1,524
Reed Elsevier Capital, Inc.
4.625% due 06/15/2012		900		880
				34,696
Utilities 0.4%
BellSouth Corp.
5.200% due 09/15/2014		6,000		5,996
GTE Corp.
7.510% due 04/01/2009		100		103
				6,099
Total Corporate Bonds & Notes (Cost $174,685)				170,002
MUNICIPAL BONDS & NOTES 0.0%
Puerto Rico Sales Tax Financing Corp. Revenue Bonds, (AMBAC Insured), Series 2007
0.000% due 08/01/2054		3,350		297
Total Municipal Bonds & Notes (Cost $268)				297
U.S. GOVERNMENT AGENCIES 55.4%
Fannie Mae
0.000% due 03/25/2009 (c)		140		136
0.000% due 05/15/2030		12,489		4,192
4.250% due 04/25/2037		329		276
4.500% due 10/25/2023 - 09/01/2035		8,180		7,545
4.557% due 07/01/2035		979		978
4.925% due 07/25/2037		2,553		2,458
5.000% due 11/25/2015 - 08/25/2036		19,133		17,732
5.125% due 07/16/2018		500		498
5.196% due 03/18/2031		1,065		1,065
5.380% due 07/01/2033		2,419		2,414
5.465% due 10/25/2017		229		232
5.500% due 09/25/2024 - 12/01/2037		141,926		141,523
5.765% due 04/25/2032		218		221
5.800% due 02/09/2026		15,000		15,506
6.000% due 05/17/2027		1,263		1,303
6.063% due 06/01/2043 - 03/01/2044		2,531		2,533
6.200% due 11/01/2034		579		584
6.210% due 08/06/2038		8,000		9,630
6.250% due 12/25/2013		6		7
6.500% due 11/25/2023 - 07/25/2031		5,951		6,223
6.625% due 11/15/2030		25,000		30,950
6.744% due 04/01/2028		108		110
6.750% due 06/25/2032		5,696		5,881
6.815% due 10/01/2024		113		114
6.900% due 05/25/2023		271		288
6.950% due 07/25/2020		76		81
6.970% due 08/01/2026		19		19
7.000% due 06/25/2022 - 05/18/2027		4,386		4,775
7.079% due 11/01/2023		304		305
7.156% due 05/01/2025		42		43
7.247% due 02/01/2028		22		23
7.416% due 12/01/2027		109		110
7.500% due 07/01/2032		11		12
7.732% due 10/01/2024		2		2
7.800% due 10/25/2022		37		40
9.000% due 08/01/2021 - 06/01/2027		104		114
Farmer Mac
7.282% due 07/25/2011		2,068		2,091
Federal Farm Credit Bank
4.375% due 06/16/2015		20,000		20,209
5.050% due 03/28/2019		1,000		1,037
5.125% due 07/09/2029		675		692
5.150% due 03/25/2020		1,000		1,041
5.750% due 12/07/2028		500		553
Federal Home Loan Bank
5.120% due 01/10/2013		6,500		6,501
5.125% due 12/29/2008		45,000		45,510
5.250% due 09/12/2014 - 07/24/2018		31,400		32,497
5.300% due 06/26/2023		2,000		1,981
Federal Housing Administration
6.896% due 07/01/2020		1,500		1,516
7.000% due 11/25/2019		389		393
7.430% due 11/01/2019 - 06/01/2024		847		859
Freddie Mac
0.000% due 12/11/2025		34,600		14,153
4.000% due 11/15/2018		12,632		11,860
4.500% due 12/15/2019 - 07/15/2035		42,371		38,704
4.750% due 01/19/2016		19,400		20,047
5.000% due 03/18/2014 - 09/15/2035		57,757		55,461
5.258% due 02/15/2019		13,205		13,140
5.400% due 03/17/2021		20,000		21,016
5.428% due 01/15/2033		629		631
5.500% due 08/23/2017 - 09/01/2037		58,911		60,129
5.528% due 06/15/2030 - 12/15/2032		866		873
5.550% due 10/25/2023		104		104
5.578% due 06/15/2031		285		288
5.625% due 11/23/2035		21,800		22,376
6.000% due 04/15/2034 - 05/15/2036		89,823		87,883
6.063% due 10/25/2044		10,185		10,210
6.250% due 09/15/2023		4,676		4,813
6.263% due 07/25/2044		2,755		2,755
6.500% due 11/15/2008 (b)		13		0
6.500% due 11/15/2023 - 10/25/2043		2,699		2,828
7.000% due 07/15/2022 - 01/15/2024		813		845
7.000% due 12/15/2023 (b)		28		1
7.112% due 10/01/2026		61		61
7.125% due 05/01/2022		7		7
7.136% due 09/01/2027		82		83
7.146% due 01/01/2028		23		23
7.147% due 01/01/2028		179		181
7.153% due 06/01/2022		8		8
7.460% due 02/01/2028		241		243
7.880% due 12/01/2024		62		63
Ginnie Mae
5.000% due 09/20/2035		26,875		23,331
5.500% due 02/20/2033		1,812		1,822
5.625% due 09/20/2017 - 09/20/2026		618		622
5.899% due 03/20/2031		1,407		1,420
6.000% due 08/20/2033		2,583		2,585
6.125% due 12/20/2017 - 11/20/2027		366		371
6.375% due 02/20/2017 - 05/20/2030		1,773		1,795
6.500% due 03/20/2021 - 05/20/2032		412		418
7.000% due 03/16/2029		455		454
Overseas Private Investment Corp.
4.736% due 03/15/2022		4,180		4,135
Private Export Funding Corp.
5.000% due 12/15/2016		7,200		7,491
Small Business Administration
5.240% due 08/01/2023		5,708		5,817
Tennessee Valley Authority
5.375% due 04/01/2056		18,000		19,234
Total U.S. Government Agencies (Cost $793,577)				811,084
U.S. TREASURY OBLIGATIONS 15.4%
Treasury Inflation Protected Securities (e)
2.000% due 01/15/2026		14,000		13,947
2.375% due 01/15/2025		11,084		11,640
U.S. Treasury Bonds
4.500% due 02/15/2036		4,400		4,424
6.000% due 02/15/2026		60,500		71,617
8.875% due 02/15/2019		30,000		42,199
U.S. Treasury Notes
4.000% due 08/31/2009		34,000		34,510
4.250% due 08/15/2014		500		517
U.S. Treasury Strips
0.000% due 08/15/2019		5,000		2,981
0.000% due 05/15/2021		30,000		16,224
0.000% due 02/15/2032		22,500		7,583
0.000% due 08/15/2032		22,500		7,414
0.000% due 02/15/2033		38,400		12,371
Total U.S. Treasury Obligations (Cost $216,897)				225,427
MORTGAGE-BACKED SECURITIES 9.7%
American Home Mortgage Investment Trust
5.000% due 09/25/2035		5,200		5,107
Banc of America Funding Corp.
4.621% due 02/20/2036		8,878		8,841
Bear Stearns Adjustable Rate Mortgage Trust
4.125% due 03/25/2035		7,486		7,417
4.486% due 02/25/2034		1,473		1,454
4.750% due 10/25/2035		10,435		10,368
4.779% due 01/25/2034		558		551
5.396% due 04/25/2033		594		593
5.789% due 02/25/2033		117		119
Bear Stearns Alt-A Trust
5.527% due 09/25/2035		1,711		1,686
Bear Stearns Mortgage Securities, Inc.
6.299% due 06/25/2030		46		47
Countrywide Alternative Loan Trust
5.045% due 05/25/2047		1,732		1,635
5.075% due 05/25/2035		1,645		1,585
5.500% due 10/25/2033		6,313		5,553
Countrywide Home Loan Mortgage Pass-Through Trust
5.155% due 04/25/2035		580		551
5.185% due 03/25/2035		2,990		2,836
5.205% due 06/25/2035		2,290		2,241
6.000% due 10/25/2034		4,996		4,389
CS First Boston Mortgage Securities Corp.
4.918% due 07/25/2033		1,659		1,653
5.415% due 04/25/2033		24		24
Deutsche ALT-A Securities, Inc. Alternate Loan Trust
4.935% due 01/25/2047		1,066		1,045
First Horizon Asset Securities, Inc.
4.402% due 12/25/2033		1,507		1,498
First Republic Mortgage Loan Trust
5.185% due 06/25/2030		310		303
GMAC Mortgage Corp. Loan Trust
4.311% due 06/25/2034		1,393		1,369
GS Mortgage Securities Corp. II
5.342% due 03/06/2020		1,071		1,024
Harborview Mortgage Loan Trust
5.055% due 01/19/2038		1,094		1,082
5.185% due 05/19/2035		1,326		1,255
5.205% due 03/19/2037		1,318		1,238
5.222% due 07/19/2035		2,544		2,520
Impac CMB Trust
5.115% due 10/25/2035		8,698		8,265
5.749% due 09/25/2034		3,019		2,847
JPMorgan Chase Commercial Mortgage Securities Corp.
5.747% due 02/12/2049		4,508		4,646
MASTR Asset Securitization Trust
5.500% due 09/25/2033		749		744
Nomura Asset Acceptance Corp.
5.050% due 10/25/2035		7,512		7,410
Residential Accredit Loans, Inc.
5.165% due 08/25/2035		1,206		1,139
5.265% due 01/25/2033		229		225
5.265% due 03/25/2033		582		572
6.000% due 06/25/2036		4,971		4,854
Sequoia Mortgage Trust
5.299% due 07/20/2033		1,410		1,376
Structured Adjustable Rate Mortgage Loan Trust
5.085% due 05/25/2037		4,472		4,277
Structured Asset Mortgage Investments, Inc.
4.965% due 09/25/2047		379		376
5.075% due 04/25/2036		7,562		7,179
5.085% due 05/25/2036		402		380
5.385% due 10/19/2033		332		327
Structured Asset Securities Corp.
4.975% due 04/25/2036		1,600		1,579
7.143% due 01/25/2032		4		4
TBW Mortgage-Backed Pass-Through Certificates
4.965% due 09/25/2036		607		600
Wachovia Bank Commercial Mortgage Trust
5.118% due 09/15/2021		839		826
Washington Mutual, Inc.
5.095% due 04/25/2045		1,077		1,017
5.125% due 11/25/2045		95		90
5.155% due 10/25/2045		1,915		1,801
5.175% due 01/25/2045		2,026		1,919
5.405% due 12/25/2027		1,550		1,483
5.598% due 12/25/2046		1,545		1,455
5.788% due 02/25/2046		2,684		2,613
5.788% due 08/25/2046		7,451		7,314
5.883% due 08/25/2046		974		941
6.059% due 05/25/2041		282		282
6.188% due 06/25/2042		161		153
6.188% due 08/25/2042		78		76
Wells Fargo Mortgage-Backed Securities Trust
5.102% due 03/25/2036		7,218		7,214
Total Mortgage-Backed Securities (Cost $144,876)				141,968
ASSET-BACKED SECURITIES 5.8%
Accredited Mortgage Loan Trust
4.915% due 02/25/2037		1,401		1,317
ACE Securities Corp.
4.915% due 07/25/2036		1,264		1,244
4.945% due 02/25/2036		208		207
4.945% due 10/25/2036		878		854
American Express Credit Account Master Trust
5.138% due 09/15/2010		1,100		1,100
Ameriquest Mortgage Securities, Inc.
5.005% due 03/25/2036		1,277		1,267
Amortizing Residential Collateral Trust
5.155% due 07/25/2032		23		22
Argent Securities, Inc.
4.905% due 06/25/2036		232		231
4.915% due 09/25/2036		1,154		1,137
4.915% due 10/25/2036		1,930		1,894
Asset-Backed Securities Corp. Home Equity
4.925% due 07/25/2036		622		613
4.975% due 05/25/2036		2,621		2,598
Bank One Issuance Trust
5.138% due 12/15/2010		2,000		2,001
Bear Stearns Asset-Backed Securities Trust
5.065% due 09/25/2034		305		304
5.135% due 09/25/2035		220		220
5.195% due 10/25/2032		329		322
5.365% due 11/25/2042		2,186		2,170
Carrington Mortgage Loan Trust
4.905% due 05/25/2036		396		392
4.930% due 07/25/2036		136		136
5.103% due 10/25/2035		1,102		1,023
Chase Credit Card Master Trust
5.198% due 09/15/2011		3,900		3,899
Chase Funding Mortgage Loan Asset-Backed Certificates
5.365% due 10/25/2031		94		93
CIT Group Home Equity Loan Trust
5.135% due 06/25/2033		60		55
Citigroup Mortgage Loan Trust, Inc.
4.935% due 08/25/2036		443		440
Countrywide Asset-Backed Certificates
4.895% due 01/25/2046		1,716		1,694
4.915% due 01/25/2037		219		216
4.915% due 03/25/2037		2,686		2,622
4.975% due 10/25/2046		480		469
5.025% due 02/25/2036		499		484
5.025% due 11/25/2036		441		435
5.075% due 10/25/2035		170		169
Credit-Based Asset Servicing & Securitization LLC
4.925% due 11/25/2036		430		415
4.955% due 12/25/2037		1,011		987
CS First Boston Mortgage Securities Corp.
5.115% due 01/25/2043		403		403
First Franklin Mortgage Loan Asset-Backed Certificates
4.915% due 11/25/2036		1,063		1,020
4.915% due 03/25/2037		4,010		3,873
First USA Credit Card Master Trust
5.156% due 04/18/2011		5,800		5,803
Fremont Home Loan Trust
4.925% due 01/25/2037		1,420		1,385
GSAMP Trust
4.985% due 12/25/2035		271		269
GSR Mortgage Loan Trust
4.965% due 11/25/2030		202		201
GSRPM Mortgage Loan Trust
4.985% due 03/25/2035		481		467
Home Equity Mortgage Trust
5.045% due 05/25/2036		10,892		9,456
HSI Asset Securitization Corp. Trust
4.915% due 12/25/2036		9,556		9,207
Indymac Residential Asset-Backed Trust
5.015% due 03/25/2036		7,000		6,844
LA Arena Funding LLC
7.656% due 12/15/2026		86		90
Long Beach Mortgage Loan Trust
4.925% due 10/25/2036		1,211		1,183
4.925% due 05/25/2046		264		264
MASTR Asset-Backed Securities Trust
4.925% due 10/25/2036		370		368
Merrill Lynch Mortgage Investors, Inc.
4.925% due 03/25/2037		6		6
Morgan Stanley ABS Capital I
4.965% due 04/25/2036		2,000		1,965
Nelnet Student Loan Trust
5.182% due 09/25/2012		883		883
NPF XII, Inc.
2.232% due 10/01/2003 (a)		3,000		14
Residential Asset Securities Corp.
4.935% due 07/25/2036		1,175		1,166
4.935% due 11/25/2036		839		818
SACO I, Inc.
5.245% due 11/25/2035		2,351		2,255
Soundview Home Equity Loan Trust
4.915% due 10/25/2036		385		378
4.925% due 11/25/2036		1,249		1,234
5.005% due 02/25/2036		2,404		2,391
Structured Asset Securities Corp.
4.915% due 10/25/2036		1,213		1,192
Washington Mutual Asset-Backed Certificates
4.925% due 10/25/2036		1,511		1,458
Total Asset-Backed Securities (Cost $90,380)				85,623
SHORT-TERM INSTRUMENTS 5.7%
Commercial Paper 0.4%
Freddie Mac
3.000% due 01/02/2008		5,800		5,800
Repurchase Agreements 4.4%
Deutsche Bank AG
6.000% due 01/02/2008 (f)		44,000		44,000
(Dated 12/31/2007. Collateralized by Citigroup/Deutsche Bank Commercial Mortgage Trust 5.398% due 12/11/2049 valued at $28,424 and Commercial Mortgage Pass-Through Certificates 5.306% due 12/10/2046 valued at $15,860. Repurchase proceeds are $44,015.)
Fixed Income Clearing Corp.
2.250% due 01/02/2008		15,000		15,000
(Dated 12/31/2007. Collateralized by Freddie Mac 4.875% due 02/09/2010 valued at $15,301. Repurchase proceeds are $15,002.)
3.900% due 01/02/2008		6,023		6,023
(Dated 12/31/2007. Collateralized by Federal Home Loan Bank 2.750% due 03/14/2008 valued at $6,146. Repurchase proceeds are $6,024.)
				65,023
U.S. Treasury Bills 0.9%
2.953% due 02/28/2008 - 03/13/2008 (d)(g)(h)(j)		12,565		12,448
Total Short-Term Instruments (Cost $83,315)				83,271
Purchased Options (l) 0.3% (Cost $712)				3,772
Total Investments 103.9% (Cost $1,504,710)			$	1,521,444
Written Options (m) (0.2%) (Premiums $2,084)				(3,391	)
Other Assets and Liabilities (Net) (3.7%)				(53,487	)
Net Assets (i) 100.0%			$	1,464,566

Note to Schedule of Investments (amounts in thousands*, except number of contracts):

* A zero balance may reflect actual amounts rounding to less than one thousand.

(a) Security is in default.

(b) Interest only security.

(c) Principal only security.

(d) Coupon represents a weighted average rate.

(e) Principal amount of security is adjusted for inflation.

(f) Security matures on demand. Interest rate resets daily. Interest rate shown is rate in effect at December 31, 2007.

(g) Securities with an aggregate market value of $7,430 have been pledged as collateral for swap and swaption contracts on December 31, 2007.

(h) Securities with an aggregate market value of $1,327 have been pledged as collateral for delayed-delivery securities on December 31, 2007.

(i) As of December 31, 2007, portfolio securities with an aggregate value of $9,008 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(j) Securities with an aggregate market value of $3,691 and cash of $5,235 have been segregated with the custodian to cover margin requirements for the following open futures contracts on December 31, 2007:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Eurodollar December Futures	Long	12/2008	259	$	800
90-Day Eurodollar June Futures	Long	06/2008	544		(34	)
90-Day Eurodollar March Futures	Long	03/2008	1,581		3,846
90-Day Eurodollar March Futures	Long	03/2009	2,830		6,653
90-Day Eurodollar March Futures	Short	03/2010	25		(15	)
90-Day Eurodollar September Futures	Long	09/2008	541		(42	)
U.S. Treasury 5-Year Note March Futures	Long	03/2008	260		31
U.S. Treasury 10-Year Note March Futures	Short	03/2008	554		(150	)
U.S. Treasury 30-Year Bond March Futures	Long	03/2008	1,614		(1,801	)
				$	9,288

(k) Swap agreements outstanding on December 31, 2007:

Credit Default Swaps on Securities

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Bear Stearns & Co., Inc.	Countrywide Financial Corp. 6.250% due 05/15/2016	Buy	(0.710	%)	06/20/2016	$	5,000	$	1,908
Bear Stearns & Co., Inc.	HSBC Finance Corp. floating rate based on 3-Month USD-LIBOR plus 0.430% due 06/01/2016	Buy	(0.220	%)	06/20/2016		3,000		36
Bear Stearns & Co., Inc.	Johnson Controls, Inc. 5.250% due 01/15/2011	Buy	(0.240	%)	03/20/2011		4,000		(2	)
Bear Stearns & Co., Inc.	Loews Corp. 5.250% due 03/15/2016	Buy	(0.280	%)	03/20/2016		3,000		23
Bear Stearns & Co., Inc.	Textron Financial Corp. 4.600% due 05/03/2010	Buy	(0.110	%)	06/20/2010		3,000		9
BNP Paribas Bank	HSBC Finance Corp. floating rate based on 3-Month USD-LIBOR plus 0.250% due 01/15/2014	Buy	(0.165	%)	12/20/2013		5,000		251
Credit Suisse USA, Inc.	Avon Products, Inc. 5.125% due 01/15/2011	Buy	(0.150	%)	03/20/2011		2,800		6
Goldman Sachs & Co.	International Lease Finance Corp. 5.250% due 01/10/2013	Buy	(0.200	%)	03/20/2013		2,900		48
Goldman Sachs & Co.	Wells Fargo Bank N.A. 4.750% due 02/09/2015	Buy	(0.140	%)	03/20/2015		5,000		147
JPMorgan Chase & Co.	Gannett Co., Inc. 5.750% due 06/01/2011	Buy	(0.330	%)	06/20/2011		2,350		26
Lehman Brothers, Inc.	BellSouth Corp. 5.200% due 09/15/2014	Buy	(0.325	%)	09/20/2014		6,000		(5	)
Lehman Brothers, Inc.	Morgan Stanley floating rate based on 3-Month USD-LIBOR plus 0.450% due 10/18/2016	Buy	(0.340	%)	12/20/2016		5,000		191
Merrill Lynch & Co., Inc.	Bank of America Corp. floating rate based on 3-Month USD-LIBOR plus 0.260% due 10/14/2016	Buy	(0.170	%)	12/20/2016		5,000		145
Morgan Stanley	Omnicom Group, Inc. 5.900% due 04/15/2016	Buy	(0.390	%)	06/20/2016		1,500		10
Morgan Stanley	Reed Elsevier Capital, Inc. 4.625% due 06/15/2012	Buy	(0.280	%)	06/20/2012		900		0
Royal Bank of Scotland Group PLC	Kraft Foods, Inc. 5.625% due 11/01/2011	Buy	(0.150	%)	12/20/2011		2,000		21
Royal Bank of Scotland Group PLC	Morgan Stanley floating rate based on 3-Month USD-LIBOR plus 0.450% due 10/18/2016	Buy	(0.320	%)	12/20/2016		4,400		175
Royal Bank of Scotland Group PLC	Morgan Stanley floating rate based on 3-Month USD-LIBOR plus 0.480% due 10/15/2015	Buy	(0.275	%)	12/20/2015		3,000		122
								$	3,111

⁽¹⁾ If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will generally receive from the seller of protection an amount up to the notional amount of the swap.

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation
Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	06/18/2038	$	15,400	$	363
JPMorgan Chase & Co.	3-Month USD-LIBOR	Pay	4.000	%	06/18/2013		13,400		3
Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	5.000	%	12/20/2026		75,000		6,580
Morgan Stanley	3-Month USD-LIBOR	Pay	4.000	%	06/18/2013		24,500		183
Morgan Stanley	3-Month USD-LIBOR	Pay	5.000	%	06/18/2038		41,000		1,159
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.000	%	06/18/2013		264,200		2,887
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	06/18/2038		81,000		2,117
								$	13,292

(l) Purchased options outstanding on December 31, 2007:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Cost		Value
Put - CME 90-Day Eurodollar March Futures	$	92.000	03/17/2008	37	$	0	$	0

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Cost		Value
Call - OTC 2-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Pay	4.750	%	09/26/2008	$	38,600	$	195	$	801
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	09/26/2008		38,700		138		803
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	12/15/2008		91,500		379		2,168
									$	712	$	3,772

(m) Written options outstanding on December 31, 2007:

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Value
Call - OTC 7-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Receive	4.500	%	05/02/2008	$	6,900	$	138	$	134
Put - OTC 7-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Pay	5.500	%	05/02/2008		6,900		164		9
Call - OTC 5-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Receive	4.950	%	09/26/2008		16,700		196		609
Call - OTC 7-Year Interest Rate Swap	JPMorgan Chase & Co.	3-Month USD-LIBOR	Receive	4.500	%	05/02/2008		14,400		318		279
Put - OTC 7-Year Interest Rate Swap	JPMorgan Chase & Co.	3-Month USD-LIBOR	Pay	5.500	%	05/02/2008		14,400		341		19
Call - OTC 7-Year Interest Rate Swap	Merrill Lynch & Co., Inc.	3-Month USD-LIBOR	Receive	4.500	%	05/02/2008		6,900		138		134
Put - OTC 7-Year Interest Rate Swap	Merrill Lynch & Co., Inc.	3-Month USD-LIBOR	Pay	5.500	%	05/02/2008		6,900		163		9
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.950	%	09/26/2008		16,800		138		612
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.200	%	12/15/2008		30,500		358		1,440
Call - OTC 7-Year Interest Rate Swap	UBS Warburg LLC	3-Month USD-LIBOR	Receive	5.420	%	08/28/2009		2,200		65		113
Put - OTC 7-Year Interest Rate Swap	UBS Warburg LLC	3-Month USD-LIBOR	Pay	5.420	%	08/28/2009		2,200		65		33
									$	2,084	$	3,391

(n) Short sales outstanding on December 31, 2007:

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Value(2)
Fannie Mae	6.000	%	01/01/2038	$	36,120	$	36,707	$	36,679
U.S. Treasury Bonds	7.250	%	08/15/2022		3,400		4,467		4,524
						$	41,174	$	41,203

⁽²⁾ Market value includes $109 of interest payable on short sales.

See accompanying notes

Schedule of Investments

Low Duration Fund

December 31, 2007 (Unaudited)

	Principal Amount (000s)		Value (000s)
BANK LOAN OBLIGATIONS 0.9%
Daimler Finance North America LLC
9.000% due 08/03/2012	$	48,000	$	46,276
Idearc, Inc.
6.830% due 11/17/2014		36,851		35,157
SLM Corp.
0.000% due 02/16/2008		21,200		21,124
Total Bank Loan Obligations (Cost $103,730)				102,557
CORPORATE BONDS & NOTES 18.0%
Banking & Finance 15.1%
American Express Bank FSB
5.009% due 10/20/2009		23,800		23,705
American Express Centurion Bank
5.250% due 05/07/2008		21,000		20,982
American Express Credit Corp.
5.302% due 11/09/2009		32,600		32,063
American Honda Finance Corp.
4.868% due 08/05/2008		18,670		18,663
ANZ National International Ltd.
4.938% due 08/07/2009		5,700		5,686
Bank of America Corp.
4.852% due 09/25/2009		61,900		61,777
4.875% due 11/06/2009		3,200		3,190
Bank of America N.A.
5.132% due 06/12/2009		12,000		11,977
Bank of Ireland
4.951% due 12/19/2008		4,100		4,098
Bear Stearns Cos., Inc.
4.920% due 03/30/2009		20,800		20,279
5.025% due 05/18/2010		64,800		61,273
5.072% due 08/21/2009		9,200		8,863
5.222% due 01/09/2008		1,300		1,300
Calabash Re II Ltd.
13.391% due 01/08/2010		6,500		6,713
14.591% due 01/08/2010		8,750		9,365
15.891% due 01/08/2010		4,500		4,718
Caterpillar Financial Services Corp.
5.081% due 10/28/2008		1,800		1,791
CIT Group, Inc.
5.025% due 08/17/2009		27,200		25,261
5.091% due 12/19/2008		31,200		29,457
5.225% due 05/23/2008		9,200		9,073
Citigroup Funding, Inc.
4.858% due 06/26/2009		17,975		17,706
4.896% due 04/23/2009		76,520		76,084
5.136% due 12/08/2008		23,100		22,915
Citigroup, Inc.
4.872% due 12/28/2009		22,100		21,708
4.944% due 05/02/2008		33,000		32,992
5.100% due 09/29/2011		1,500		1,510
Credit Agricole S.A.
5.053% due 05/28/2009		17,600		17,614
5.103% due 05/28/2010		24,400		24,409
DnB NORBank ASA
5.312% due 10/13/2009		18,900		18,917
Enron Credit Linked Notes Trust
8.000% due 08/15/2005 (a)		8,300		6,764
Ford Motor Credit Co. LLC
5.800% due 01/12/2009		11,200		10,633
7.250% due 10/25/2011		500		433
7.375% due 10/28/2009		13,000		12,241
General Electric Capital Corp.
5.031% due 03/16/2009		10,000		9,999
5.162% due 03/12/2010		35,400		35,209
5.171% due 03/04/2008		2,400		2,401
5.250% due 01/20/2010		39,800		39,350
5.284% due 01/05/2009		24,400		24,378
5.303% due 10/06/2010		12,200		12,103
General Motors Acceptance Corp.
7.430% due 12/01/2021		93		94
GMAC LLC
5.625% due 05/15/2009		30,439		28,727
6.000% due 12/15/2011		3,500		2,938
Goldman Sachs Group, Inc.
4.880% due 03/30/2009		20,800		20,719
4.969% due 11/10/2008		31,800		31,735
4.974% due 12/22/2008		36,400		36,306
4.974% due 06/23/2009		14,200		13,977
5.111% due 07/29/2008		21,600		21,574
5.481% due 07/23/2009		600		600
HSBC Bank USA N.A.
5.286% due 06/10/2009		9,200		9,168
HSBC Capital Funding LP
9.547% due 12/29/2049		20,046		21,946
HSBC Finance Capital Trust IX
5.911% due 11/30/2035		1,100		1,019
HSBC Finance Corp.
5.121% due 09/15/2008		16,600		16,595
8.000% due 07/15/2010		12,000		12,798
ICICI Bank Ltd.
5.788% due 01/12/2010		32,200		31,800
John Deere Capital Corp.
4.500% due 08/25/2008		900		898
Lehman Brothers Holdings, Inc.
5.082% due 08/21/2009		43,100		41,899
5.129% due 11/10/2009		15,000		14,569
5.170% due 05/25/2010		1,400		1,347
5.270% due 10/22/2008		29,970		29,759
5.320% due 04/03/2009		10,900		10,663
Longpoint Re Ltd.
10.241% due 05/08/2010		8,500		8,725
Merrill Lynch & Co., Inc.
4.960% due 08/14/2009		23,000		22,517
5.191% due 10/23/2008		25,500		25,161
5.211% due 12/04/2009		21,000		20,368
5.284% due 07/25/2011		32,700		30,488
Morgan Stanley
4.972% due 11/21/2008		16,460		16,343
5.006% due 02/09/2009		30,000		29,637
5.332% due 01/15/2010		30,900		30,569
5.334% due 01/18/2008		14,500		14,497
Mystic Re Ltd.
11.381% due 12/05/2008		26,900		27,227
15.081% due 06/07/2011		8,500		8,956
National Australia Bank Ltd.
5.181% due 09/11/2009		23,500		23,485
Osiris Capital PLC
8.092% due 01/15/2010		11,000		11,021
Phoenix Quake Ltd.
7.680% due 07/03/2008		6,500		6,515
Phoenix Quake Wind I Ltd.
7.680% due 07/03/2008		6,400		6,406
Phoenix Quake Wind II Ltd.
8.730% due 07/03/2008		3,000		2,928
Pricoa Global Funding I
5.184% due 03/03/2009		22,000		21,985
5.212% due 09/12/2008		10,000		10,001
Residential Reinsurance 2007 Ltd.
15.374% due 06/07/2010		2,800		2,919
Royal Bank of Scotland Group PLC
5.230% due 07/21/2008		49,100		49,091
9.118% due 03/31/2049		37,207		39,796
Santander U.S. Debt S.A. Unipersonal
4.925% due 02/06/2009		200		199
5.151% due 11/20/2008		4,700		4,680
SLM Corp.
5.224% due 07/27/2009		16,200		15,245
Tokai Preferred Capital Co. LLC
9.980% due 12/29/2049		9,945		10,078
VTB Capital S.A.
5.494% due 08/01/2008		20,500		20,321
Wachovia Bank N.A.
4.924% due 03/23/2009		17,850		17,814
5.200% due 10/03/2008		21,300		21,260
Wachovia Corp.
5.034% due 10/28/2008		21,900		21,847
5.174% due 12/01/2009		25,600		25,393
Westpac Banking Corp.
5.212% due 06/06/2008		13,300		13,294
				1,655,497
Industrials 1.7%
Altria Group, Inc.
7.650% due 07/01/2008		7,500		7,622
Cisco Systems, Inc.
5.095% due 02/20/2009		2,400		2,398
Citigroup Global Markets Deutschland AG for OAO Gazprom
10.500% due 10/21/2009		7,000		7,589
Daimler Finance North America LLC
4.050% due 06/04/2008		80		80
5.328% due 08/03/2009		23,000		22,852
5.461% due 03/13/2009		28,600		28,449
El Paso Corp.
7.625% due 09/01/2008		1,075		1,093
General Mills, Inc.
5.310% due 01/22/2010		17,700		17,590
Pemex Project Funding Master Trust
9.375% due 12/02/2008		4,492		4,666
Time Warner, Inc.
5.109% due 11/13/2009		17,400		16,979
Transocean, Inc.
5.341% due 09/05/2008		23,000		22,889
Wal-Mart Stores, Inc.
4.891% due 06/16/2008		47,000		47,017
				179,224
Utilities 1.2%
AT&T, Inc.
4.978% due 02/05/2010		11,700		11,601
BellSouth Corp.
4.969% due 08/15/2008		38,950		38,894
Pacific Gas & Electric Co.
4.200% due 03/01/2011		5,000		4,924
Southern California Edison Co.
4.994% due 02/02/2009		20,470		20,446
Telecom Italia Capital S.A.
5.819% due 07/18/2011		24,000		23,538
Telefonica Emisones SAU
5.226% due 06/19/2009		33,000		32,769
				132,172
Total Corporate Bonds & Notes (Cost $1,991,425)				1,966,893
COMMODITY INDEX-LINKED NOTES 0.3%
Goldman Sachs Commodity Index Total Return 0.3%
Morgan Stanley
4.805% due 07/07/2008		28,000		28,053
Total Commodity Index-Linked Notes (Cost $28,000)				28,053
U.S. GOVERNMENT AGENCIES 29.7%
Fannie Mae
0.950% due 03/25/2009 (b)		280		1
4.000% due 05/01/2011		230		227
4.250% due 05/25/2033		9,862		9,648
4.382% due 03/01/2035		7,698		7,783
4.469% due 04/01/2034		2,626		2,628
4.500% due 06/01/2011 - 08/01/2035		4,857		4,832
4.516% due 09/01/2035		12,187		12,145
4.639% due 07/01/2035		12,410		12,315
4.645% due 07/01/2035		14,875		14,800
4.653% due 05/01/2035		10,402		10,338
4.678% due 01/01/2035		16,617		16,560
4.718% due 03/01/2035		1,896		1,904
4.745% due 03/01/2035		20,562		20,584
4.915% due 10/01/2035		7,956		7,977
4.925% due 12/25/2036		11,058		10,866
5.000% due 12/01/2013 - 12/01/2037		1,224,807		1,225,783
5.019% due 06/01/2035		4,425		4,437
5.215% due 03/25/2044		931		922
5.265% due 05/25/2031 - 06/25/2032		3,257		3,243
5.429% due 09/01/2032		2,266		2,279
5.465% due 05/25/2030		761		761
5.475% due 04/25/2022		17		18
5.498% due 11/01/2017		38		37
5.500% due 10/01/2008 - 01/01/2038		291,053		291,912
5.515% due 05/25/2030		761		761
5.600% due 08/01/2017		7		7
5.609% due 07/01/2018 - 02/01/2028		145		146
5.610% due 12/01/2017		26		26
5.630% due 06/01/2017		18		18
5.733% due 04/01/2018		1,066		1,075
6.000% due 03/01/2009 - 12/01/2037		196,155		199,857
6.063% due 07/01/2042 - 07/01/2044		16,543		16,556
6.113% due 09/01/2041		23,686		23,631
6.214% due 01/01/2021		36		35
6.246% due 08/01/2029		1,023		1,041
6.253% due 07/25/2017		553		564
6.263% due 10/01/2030 - 11/01/2039		2,009		2,025
6.295% due 11/01/2018		4		4
6.426% due 11/01/2017		66		66
6.494% due 07/01/2017		59		59
6.500% due 03/25/2009 (b)		65		2
6.500% due 08/01/2029 - 12/25/2042		153,652		158,896
6.650% due 01/01/2024		11		11
6.961% due 11/01/2027		112		114
7.000% due 01/01/2008 - 01/01/2032		1,736		1,744
7.101% due 04/01/2024		237		241
7.164% due 06/01/2022		8		8
7.247% due 02/01/2028		301		304
7.326% due 01/01/2024		189		192
7.446% due 07/01/2023		92		94
7.500% due 02/01/2013		4		4
7.572% due 10/01/2024		250		253
8.000% due 02/01/2030 - 11/01/2031		3,368		3,596
8.500% due 02/01/2017 - 04/01/2025		160		172
8.800% due 01/25/2019		103		113
9.000% due 03/25/2021 - 01/01/2025		369		412
9.250% due 10/25/2018		6		7
9.500% due 03/25/2020 - 11/01/2025		827		908
10.000% due 10/01/2009 - 05/01/2022		37		38
10.500% due 07/01/2014 - 07/01/2021		3		4
11.000% due 11/01/2020		4		5
11.250% due 10/01/2015		7		8
11.500% due 11/01/2019 - 02/01/2020		3		3
11.750% due 02/01/2016		10		12
13.000% due 07/01/2015		3		3
13.250% due 09/01/2011		2		2
15.500% due 10/01/2012 - 12/01/2012		1		1
15.750% due 12/01/2011		2		3
16.000% due 09/01/2012 - 12/01/2012		2		2
Federal Housing Administration
7.430% due 11/01/2019 - 11/01/2025		4,951		5,018
Freddie Mac
3.000% due 02/15/2023		513		512
4.000% due 09/15/2015		214		212
4.000% due 01/15/2024 (b)		4,022		486
4.458% due 03/01/2035		6,248		6,089
4.500% due 02/15/2015 - 06/01/2018		51,256		51,325
4.601% due 04/01/2035		13,341		13,162
4.630% due 04/01/2035		10,212		10,118
4.704% due 06/01/2035		55,223		55,416
4.706% due 08/01/2035		93,722		93,492
4.727% due 03/01/2035		10,598		10,562
4.777% due 08/01/2035		21,588		21,669
4.883% due 04/01/2035		2,750		2,741
4.910% due 07/01/2035		24,310		24,273
4.960% due 03/01/2035		2,586		2,584
5.000% due 04/01/2013 - 07/15/2024		72,949		73,113
5.053% due 04/01/2035		4,949		4,994
5.125% due 08/25/2031		4,728		4,733
5.145% due 09/25/2031		8,024		8,025
5.178% due 07/15/2019 - 10/15/2020		324,513		323,266
5.258% due 02/15/2019		113,958		113,399
5.328% due 05/15/2036		17,408		17,366
5.378% due 12/15/2030		14,882		14,877
5.428% due 06/15/2018		4,878		4,887
5.478% due 11/15/2030		12		12
5.500% due 02/15/2014 - 11/01/2037		112,005		112,196
5.778% due 08/15/2032		867		864
6.000% due 03/01/2011 - 08/01/2037		56,014		56,994
6.012% due 10/15/2020		64		64
6.062% due 03/15/2021		37		37
6.263% due 07/25/2044		935		935
6.500% due 01/01/2017 - 07/25/2043		64,296		66,385
6.602% due 02/01/2020		332		336
7.000% due 01/01/2030 - 04/01/2032		83		87
7.065% due 07/01/2018		57		58
7.097% due 10/01/2027		35		35
7.149% due 11/01/2022		284		288
7.214% due 06/01/2024		75		77
7.240% due 01/01/2024		101		102
7.250% due 02/01/2023		1		1
7.262% due 12/01/2022		46		47
7.265% due 10/01/2023		133		134
7.287% due 09/01/2023		21		22
7.335% due 03/01/2024		1		1
7.336% due 11/01/2023		46		47
7.462% due 01/01/2024		128		131
7.500% due 07/15/2030		643		648
8.000% due 01/01/2012 - 12/01/2024		407		429
8.500% due 06/01/2009 - 11/01/2025		895		963
9.000% due 12/15/2020 - 08/01/2022		340		354
9.500% due 03/01/2010 - 09/01/2021		111		119
9.750% due 11/01/2008		8		8
10.000% due 03/01/2016 - 05/15/2020		54		59
10.500% due 10/01/2010 - 02/01/2016		2		2
10.750% due 09/01/2009 - 08/01/2011		10		10
11.500% due 10/01/2015 - 01/01/2016		2		3
14.000% due 09/01/2012 - 04/01/2016		1		2
15.000% due 08/01/2011 - 12/01/2011		1		1
Ginnie Mae
5.578% due 12/16/2025		168		169
5.625% due 08/20/2022 - 07/20/2030		4,442		4,467
6.000% due 01/15/2029 - 06/15/2037		6,861		6,953
6.125% due 10/20/2023 - 12/20/2027		3,241		3,281
6.375% due 04/20/2016 - 05/20/2030		7,311		7,411
6.500% due 03/20/2019 - 05/15/2034		317		323
7.000% due 03/15/2011 - 10/15/2011		17		18
7.500% due 03/15/2022 - 09/15/2031		287		306
8.000% due 05/15/2016 - 06/20/2031		2,454		2,636
8.500% due 12/15/2021 - 08/15/2030		72		78
9.000% due 03/15/2017 - 11/15/2030		287		313
9.500% due 10/15/2016 - 06/15/2025		27		29
9.750% due 08/15/2017		21		24
10.000% due 10/15/2013 - 11/15/2020		6		7
10.500% due 11/15/2019 - 02/15/2021		1		1
11.000% due 09/15/2010		1		1
11.500% due 08/15/2018		4		5
11.750% due 08/15/2013		4		4
12.000% due 06/20/2015		1		1
13.000% due 10/15/2013		4		4
13.500% due 11/15/2012		5		5
16.000% due 02/15/2012		6		7
Small Business Administration
7.640% due 03/10/2010		164		170
Vendee Mortgage Trust
6.500% due 05/15/2029		42,841		45,271
Total U.S. Government Agencies (Cost $3,243,113)				3,250,277
U.S. TREASURY OBLIGATIONS 0.2%
Treasury Inflation Protected Securities (d)
2.375% due 04/15/2011		23,999		25,022
Total U.S. Treasury Obligations (Cost $24,758)				25,022
MORTGAGE-BACKED SECURITIES 15.2%
American Home Mortgage Investment Trust
4.290% due 10/25/2034		54,788		53,836
4.390% due 02/25/2045		15,201		14,594
4.440% due 02/25/2045		51,355		50,099
Arran Residential Mortgages Funding PLC
5.252% due 04/12/2036		6,113		6,108
Banc of America Funding Corp.
4.111% due 05/25/2035		267,101		263,823
Banc of America Mortgage Securities, Inc.
4.341% due 05/25/2033		632		630
6.500% due 10/25/2031		7,996		8,116
Bear Stearns Adjustable Rate Mortgage Trust
4.625% due 10/25/2035		58,737		57,899
4.750% due 10/25/2035		170,609		169,510
4.779% due 01/25/2034		16,362		16,157
5.037% due 04/25/2033		10,196		10,214
5.437% due 04/25/2033		25,581		25,543
5.608% due 02/25/2033		2,175		2,166
5.789% due 02/25/2033		2,153		2,185
6.267% due 11/25/2030		150		150
Bear Stearns Alt-A Trust
5.231% due 03/25/2035		32,906		32,472
5.368% due 05/25/2035		34,052		33,663
5.527% due 09/25/2035		8,154		8,035
Bear Stearns Mortgage Funding Trust
4.935% due 02/25/2037		34,868		34,646
Bear Stearns Structured Products, Inc.
4.989% due 01/25/2037		2,258		2,235
5.684% due 01/26/2036		18,299		18,137
Citicorp Mortgage Securities, Inc.
5.500% due 12/25/2019		9		9
Countrywide Alternative Loan Trust
5.045% due 05/25/2047		13,852		13,081
5.145% due 02/25/2037		14,368		13,584
6.500% due 06/25/2033		2,156		2,163
Countrywide Home Loan Mortgage Pass-Through Trust
4.726% due 02/20/2035		31,948		31,783
4.801% due 11/25/2034		17,562		17,443
5.155% due 04/25/2035		5,090		4,817
5.250% due 02/20/2036		30,169		29,491
CS First Boston Mortgage Securities Corp.
4.938% due 12/15/2040		14,767		14,724
5.758% due 03/25/2032		3,356		3,241
6.700% due 06/25/2032		64		64
Deutsche ALT-A Securities, Inc. Alternate Loan Trust
4.945% due 03/25/2037		11,297		11,190
DLJ Acceptance Trust
11.000% due 08/01/2019		76		80
DLJ Commercial Mortgage Corp.
7.300% due 06/10/2032		185		190
Drexel Burnham Lambert CMO Trust
5.975% due 05/01/2016		3		3
First Horizon Alternative Mortgage Securities
4.728% due 06/25/2034		20,227		20,040
First Horizon Asset Securities, Inc.
4.737% due 07/25/2033		10,067		10,017
Greenpoint Mortgage Funding Trust
4.945% due 10/25/2046		19,131		18,738
4.945% due 01/25/2047		20,088		19,702
GS Mortgage Securities Corp. II
5.342% due 03/06/2020		11,137		10,651
GSR Mortgage Loan Trust
4.539% due 09/25/2035		99,260		98,521
4.644% due 09/25/2035		13,461		13,426
6.000% due 03/25/2032		1,277		1,263
Harborview Mortgage Loan Trust
5.148% due 07/19/2035		14,858		14,685
Impac Secured Assets CMN Owner Trust
4.945% due 01/25/2037		10,606		10,409
Imperial Savings Association
6.503% due 02/25/2018		39		39
Indymac Index Mortgage Loan Trust
4.955% due 11/25/2046		12,163		11,861
JPMorgan Mortgage Trust
5.023% due 02/25/2035		24,228		23,752
LB-UBS Commercial Mortgage Trust
4.990% due 11/15/2030		19,624		19,607
Lehman Brothers Floating Rate Commercial Mortgage Trust
5.108% due 09/15/2021		4,428		4,421
MASTR Adjustable Rate Mortgages Trust
3.786% due 11/21/2034		28,802		28,512
MASTR Asset Securitization Trust
5.500% due 09/25/2033		26,111		25,918
Mellon Residential Funding Corp.
5.508% due 06/15/2030		22,981		22,697
Merrill Lynch Mortgage Investors, Inc.
3.880% due 05/25/2033		22,654		22,471
4.488% due 02/25/2035		33,081		32,792
5.075% due 02/25/2036		15,211		14,649
MLCC Mortgage Investors, Inc.
4.250% due 10/25/2035		15,787		15,474
5.115% due 11/25/2035		3,280		3,171
Morgan Stanley Capital I
5.088% due 10/15/2020		8,827		8,631
Nationslink Funding Corp.
5.592% due 11/10/2030		166		166
Prime Mortgage Trust
5.265% due 02/25/2019		1,461		1,460
5.265% due 02/25/2034		7,229		7,081
Prudential-Bache CMO Trust
8.400% due 03/20/2021		231		231
RAAC Series 2005-SP1
5.000% due 09/25/2034		2,071		2,059
Resecuritization Mortgage Trust
5.115% due 04/26/2021		35		35
Salomon Brothers Mortgage Securities VII, Inc.
8.000% due 09/25/2030		21		21
Sears Mortgage Securities
12.000% due 02/25/2014		8		8
Structured Asset Mortgage Investments, Inc.
5.145% due 02/25/2036		7,341		6,981
5.215% due 07/19/2035		7,521		7,142
5.295% due 09/19/2032		7,259		7,060
9.474% due 06/25/2029		664		721
Structured Asset Securities Corp.
6.150% due 07/25/2032		178		177
7.143% due 01/25/2032		172		172
Thornburg Mortgage Securities Trust
4.975% due 11/25/2046		17,416		17,023
Wachovia Bank Commercial Mortgage Trust
5.108% due 06/15/2020		32,774		31,390
5.118% due 09/15/2021		16,634		16,383
Washington Mutual, Inc.
4.229% due 03/25/2034		6,488		6,419
5.155% due 10/25/2045		6,817		6,411
5.175% due 01/25/2045		456		432
5.483% due 02/27/2034		12,527		12,271
5.518% due 01/25/2047		10,942		10,299
5.598% due 12/25/2046		48,668		45,838
5.988% due 11/25/2042		2,898		2,809
6.188% due 06/25/2042		5,943		5,665
6.188% due 08/25/2042		3,870		3,725
6.288% due 09/25/2046		18,239		17,840
Washington Mutual MSC Mortgage Pass-Through Certificates
5.967% due 02/25/2033		183		182
7.147% due 02/25/2033		374		373
Wells Fargo Mortgage-Backed Securities Trust
4.706% due 12/25/2033		6,978		6,713
4.950% due 03/25/2036		33,923		33,564
5.387% due 08/25/2035		8,316		8,258
Total Mortgage-Backed Securities (Cost $1,678,197)				1,662,437
ASSET-BACKED SECURITIES 4.6%
ACE Securities Corp.
4.915% due 12/25/2036		6,609		6,419
Amortizing Residential Collateral Trust
5.155% due 07/25/2032		744		727
Argent Securities, Inc.
4.915% due 09/25/2036		7,235		7,130
Asset-Backed Funding Certificates
4.925% due 01/25/2037		11,253		11,080
Asset-Backed Securities Corp. Home Equity
5.548% due 06/15/2031		7		7
Bear Stearns Asset-Backed Securities Trust
4.945% due 10/25/2036		7,966		7,872
5.065% due 09/25/2034		1,415		1,412
5.315% due 03/25/2043		6,049		6,010
5.865% due 10/25/2037		36,481		35,079
Carrington Mortgage Loan Trust
5.103% due 10/25/2035		21,706		20,145
Chase Funding Mortgage Loan Asset-Backed Certificates
5.505% due 11/25/2031		1,778		1,773
CIT Group Home Equity Loan Trust
5.135% due 06/25/2033		1,217		1,125
Community Program Loan Trust
4.500% due 10/01/2018		4,425		4,398
Countrywide Asset-Backed Certificates
4.915% due 05/25/2037		12,310		11,994
4.915% due 12/25/2046		6,000		5,922
4.915% due 03/25/2047		14,098		13,872
Credit-Based Asset Servicing & Securitization LLC
4.955% due 12/25/2037		3,430		3,347
Equity One Asset-Backed Securities, Inc.
5.145% due 11/25/2032		10,801		10,618
First Franklin Mortgage Loan Asset-Backed Certificates
4.915% due 11/25/2036		39,144		37,560
4.915% due 12/25/2036		3,643		3,558
Ford Credit Auto Owner Trust
5.292% due 10/15/2008		23,892		23,929
Fremont Home Loan Trust
4.925% due 01/25/2037		11,501		11,215
4.965% due 05/25/2036		15,035		14,781
GSAMP Trust
4.935% due 12/25/2036		18,998		18,489
HFC Home Equity Loan Asset-Backed Certificates
5.239% due 01/20/2034		18,163		17,748
5.299% due 09/20/2033		7,931		7,737
HSI Asset Securitization Corp. Trust
4.915% due 12/25/2036		10,140		9,769
Indymac Residential Asset-Backed Trust
4.925% due 04/25/2037		10,926		10,692
JPMorgan Mortgage Acquisition Corp.
4.915% due 08/25/2036		7,978		7,843
Lehman XS Trust
4.935% due 05/25/2046		5,253		5,214
Long Beach Mortgage Loan Trust
4.955% due 01/25/2046		2,466		2,459
5.145% due 10/25/2034		589		567
MASTR Asset-Backed Securities Trust
4.905% due 08/25/2036		10,204		9,991
MBNA Credit Card Master Note Trust
5.148% due 08/16/2010		24,200		24,208
Morgan Stanley ABS Capital I
4.905% due 10/25/2036		7,488		7,387
4.905% due 01/25/2037		15,554		15,217
4.915% due 10/25/2036		6,908		6,602
Nelnet Student Loan Trust
5.182% due 09/25/2012		756		755
Option One Mortgage Loan Trust
4.915% due 01/25/2037		17,194		16,920
Renaissance Home Equity Loan Trust
5.215% due 08/25/2032		91		86
Residential Asset Mortgage Products, Inc.
4.965% due 09/25/2045		5,781		5,736
Residential Asset Securities Corp.
4.905% due 08/25/2036		7,912		7,815
4.935% due 11/25/2036		16,888		16,502
5.325% due 06/25/2031		4		4
Securitized Asset-Backed Receivables LLC Trust
4.925% due 12/25/2036		26,671		25,050
Specialty Underwriting & Residential Finance
4.925% due 01/25/2038		10,416		10,145
Structured Asset Securities Corp.
4.915% due 10/25/2036		18,387		18,065
4.930% due 01/25/2035		870		865
5.155% due 01/25/2033		754		741
Wells Fargo Home Equity Trust
4.915% due 01/25/2037		10,744		10,551
WMC Mortgage Loan Pass-Through Certificates
5.708% due 05/15/2030		231		230
Total Asset-Backed Securities (Cost $509,651)				497,361
SOVEREIGN ISSUES 0.0%
Korea Development Bank
5.295% due 11/22/2012		2,200		2,192
Total Sovereign Issues (Cost $2,200)				2,192
FOREIGN CURRENCY-DENOMINATED ISSUES 0.1%
Sumitomo Mitsui Banking Corp.
1.151% due 06/02/2049	JPY	1,300,000		11,619
Total Foreign Currency-Denominated Issues (Cost $10,928)				11,619
		Shares
PREFERRED STOCKS 1.0%
DG Funding Trust
6.979% due 12/31/2049		10,229		108,204
Home Ownership Funding Corp.
1.000% due 12/31/2049		8,625		1,370
Total Preferred Stocks (Cost $113,682)				109,574
	Principal Amount (000s)
SHORT-TERM INSTRUMENTS 28.3%
Certificates of Deposit 2.3%
Abbey National Treasury Services PLC
5.175% due 07/02/2008	$	13,900		13,904
Bank of Ireland
5.282% due 01/15/2010		5,000		5,009
Calyon Financial, Inc.
5.204% due 01/16/2009		37,700		37,645
Dexia S.A.
4.759% due 09/29/2008		21,800		21,807
Fortis Bank NY
4.745% due 04/28/2008		7,400		7,398
4.767% due 06/30/2008		15,400		15,387
HSBC Bank USA N.A.
5.426% due 07/28/2008		22,400		22,427
Nordea Bank Finland PLC
4.991% due 05/28/2008		16,800		16,805
5.230% due 04/09/2009		42,600		42,561
Skandinaviska Enskilda Banken AB
4.611% due 02/04/2008		61,200		61,197
4.869% due 02/13/2009		11,000		10,990
				255,130
Commercial Paper 20.6%
ABN AMRO N.A. Finance
4.850% due 03/10/2008		63,843		63,266
5.000% due 01/15/2008		100		100
5.080% due 01/10/2008		800		799
5.090% due 01/09/2008		6,100		6,094
ANZ National International Ltd.
5.085% due 01/02/2008		50,700		50,700
Bank of America Corp.
4.695% due 01/28/2008		60,400		60,195
4.735% due 03/20/2008		14,100		13,953
4.950% due 01/24/2008		10,400		10,369
5.000% due 02/12/2008		56,600		56,278
Barclays U.S. Funding Corp.
4.680% due 03/03/2008		30,000		29,758
4.820% due 02/06/2008		6,000		5,972
4.925% due 01/24/2008		51,000		50,847
5.085% due 03/14/2008		14,800		14,658
5.090% due 01/15/2008		53,300		53,202
5.100% due 01/25/2008		121,600		121,204
5.160% due 01/03/2008		19,200		19,197
Calyon Financial, Inc.
4.680% due 01/23/2008		2,700		2,693
4.760% due 02/21/2008		19,200		19,073
4.770% due 01/18/2008		30,500		30,435
5.010% due 01/18/2008		48,200		48,093
5.050% due 01/28/2008		2,100		2,092
CBA (de) Finance
4.590% due 02/27/2008		500		496
Citibank N.A.
5.700% due 01/30/2008		11,500		11,449
5.900% due 01/25/2008		125,100		124,628
5.940% due 02/04/2008		270,300		268,828
Danske Corp.
4.970% due 01/22/2008		23,700		23,635
DnB NORBank ASA
4.900% due 01/04/2008		17,600		17,595
4.900% due 01/16/2008		6,900		6,887
ForeningsSparbanken AB
5.070% due 01/10/2008		5,000		4,994
5.080% due 01/10/2008		6,000		5,993
Fortis Funding LLC
4.000% due 01/02/2008		23,800		23,800
Freddie Mac
3.000% due 01/02/2008		23,100		23,100
General Electric Capital Corp.
3.750% due 01/02/2008		36,200		36,200
Intesa Funding LLC
4.780% due 01/02/2008		3,000		3,000
Lloyds TSB Bank PLC
4.390% due 01/16/2008		41,700		41,634
4.610% due 02/06/2008		9,600		9,557
4.980% due 01/02/2008		45,100		45,100
National Australia Bank Ltd.
4.710% due 01/11/2008		25,000		24,971
Nordea N.A., Inc.
4.500% due 01/07/2008		300		300
4.720% due 02/08/2008		31,800		31,646
5.130% due 01/07/2008		3,400		3,398
5.140% due 01/07/2008		24,300		24,283
Rabobank Financial Co.
3.980% due 01/02/2008		10,100		10,100
3.990% due 01/02/2008		1,200		1,200
Royal Bank of Scotland Group PLC
4.680% due 02/26/2008		10,100		10,028
4.720% due 02/29/2008		10,400		10,321
4.750% due 02/04/2008		8,300		8,264
4.750% due 03/17/2008		12,600		12,474
4.800% due 01/22/2008		6,400		6,383
4.850% due 01/28/2008		4,900		4,883
4.900% due 03/17/2008		9,200		9,108
4.940% due 01/23/2008		7,500		7,478
4.950% due 03/19/2008		24,300		24,049
4.970% due 03/18/2008		74,600		73,841
4.990% due 02/04/2008		6,500		6,470
5.000% due 01/29/2008		5,500		5,479
5.000% due 02/07/2008		1,500		1,493
5.030% due 01/23/2008		12,200		12,164
5.050% due 01/25/2008		2,100		2,093
5.080% due 01/16/2008		49,700		49,602
5.130% due 01/09/2008		120,000		119,880
San Paolo U.S. Financial Co.
5.080% due 02/01/2008		9,000		8,962
Skandinaviska Enskilda Banken AB
4.720% due 02/01/2008		8,300		8,267
4.830% due 01/11/2008		700		699
Swedbank AB
4.730% due 02/05/2008		5,500		5,475
4.740% due 02/05/2008		2,400		2,389
4.780% due 01/04/2008		4,400		4,399
4.800% due 01/09/2008		15,600		15,585
4.800% due 01/10/2008		33,700		33,664
4.800% due 01/17/2008		200		200
4.820% due 02/05/2008		3,200		3,185
4.900% due 01/04/2008		2,600		2,599
4.900% due 01/17/2008		5,900		5,888
5.000% due 01/10/2008		1,700		1,698
5.000% due 01/11/2008		1,100		1,099
5.000% due 01/15/2008		6,700		6,688
5.000% due 01/17/2008		100		100
5.030% due 01/11/2008		3,100		3,096
5.060% due 01/15/2008		2,800		2,795
5.080% due 01/11/2008		10,000		9,987
5.100% due 01/17/2008		3,800		3,792
5.120% due 01/04/2008		1,700		1,700
5.120% due 02/05/2008		1,100		1,095
5.200% due 01/10/2008		1,000		999
5.250% due 01/04/2008		3,686		3,685
UBS Finance Delaware LLC
4.000% due 01/02/2008		10,700		10,700
5.120% due 01/14/2008		37,300		37,236
Unicredito Italiano SpA
4.890% due 01/28/2008		30,000		29,894
5.030% due 01/07/2008		4,300		4,297
5.125% due 01/22/2008		20,000		19,943
5.200% due 01/07/2008		64,400		64,353
5.210% due 01/14/2008		15,100		15,074
Westpac Trust Securities NZ Ltd.
4.750% due 03/25/2008		500		494
5.060% due 01/18/2008		4,100		4,091
5.145% due 01/10/2008		178,500		178,296
				2,258,206
Repurchase Agreements 5.2%
Deutsche Bank AG
6.000% due 01/02/2008 (e)		382,000		382,000
(Dated 12/31/2007. Collateralized by Banc of America Commercial Mortgage, Inc. 5.451% - 5.482% due 01/15/2049 valued at $14,791; Citigroup/Deutsche Bank Commercial Mortgage Trust 5.322% - 5.886% due 11/15/2044 - 12/11/2049 valued at $117,533; Commercial Mortgage Pass-Through Certificates 5.116% - 5.986% due 06/10/2044 - 12/10/2046 valued at $72,304; Credit Suisse Mortgage Capital Certificates 5.847% due 03/15/2039 valued at $18,980; CS First Boston Mortgage Securities Corp. 5.104% due 08/15/2038 valued at $18,701; Greenwich Capital Commercial Funding Corp. 6.109% due 07/10/2038 valued at $13,405; JPMorgan Chase Commercial Mortgage Securities Corp. 5.794% - 5.885% due 06/12/2043 - 02/12/2043 valued at $31,923; Merrill Lynch/Countrywide Commercial Mortgage Trust 5.204% due 12/12/2049 valued at $9,917; Morgan Stanley Capital I 5.731% due 07/12/2044 valued at $24,819; and Wachovia Bank Commercial Mortgage Trust 5.308% - 5.679% due 10/15/2048 - 11/15/2048 valued at $37,012. Repurchase proceeds are $382,127.)
Fixed Income Clearing Corp.
1.750% due 01/02/2008		13,900		13,900
(Dated 12/31/2007. Collateralized by Freddie Mac 4.875% due 02/09/2010 valued at $14,179. Repurchase proceeds are $13,901.)
2.250% due 01/02/2008		163,000		163,000
(Dated 12/31/2007. Collateralized by Fannie Mae due 3.900% - 5.250% due 12/30/2008 - 01/15/2009 valued at $38,934; Federal Farm Credit Bank 4.100% due 12/24/2008 valued at $27,579; and Freddie Mac 3.900% due 12/30/2008 valued at $99,750. Repurchase proceeds are $163,020.)
3.900% due 01/02/2008		5,304		5,304
(Dated 12/31/2007. Collateralized by Fannie Mae 0.000% due 01/15/2008 valued at $5,413. Repurchase proceeds are $5,305.)
				564,204
U.S. Treasury Bills 0.2%
2.918% due 02/28/2008 - 03/13/2008 (c)(f)(h)		26,475		26,229
Total Short-Term Instruments (Cost $3,103,859)				3,103,769
Purchased Options (j) 0.7% (Cost $17,023)				72,774
Total Investments 99.0% (Cost $10,826,566)			$	10,832,528
Written Options (k) (0.5%) (Premiums $17,847)				(56,375	)
Other Assets and Liabilities (Net) 1.5%				170,492
Net Assets (g) 100.0%			$	10,946,645

Notes to Schedule of Investments (amounts in thousands*, except number of contracts):

* A zero balance may reflect actual amounts rounding to less than one thousand.

(a) Security is in default.

(b) Interest only security.

(c) Coupon represents a weighted average rate.

(d) Principal amount of security is adjusted for inflation.

(e) Security matures on demand. Interest rate resets daily. Interest rate shown is rate in effect at December 31, 2007.

(f) Securities with an aggregate market value of $12,139 have been pledged as collateral for swap and swaption contracts on December 31, 2007.

(g) As of December 31, 2007, portfolio securities with an aggregate value of $68,519 and derivative instruments with an aggregate depreciation of ($810) were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(h) Securities with an aggregate market value of $13,843 and cash of $41,960 have been segregated with the custodian to cover margin requirements for the following open futures contracts on December 31, 2007:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Eurodollar December Futures	Long	12/2008	21,859	$	80,831
90-Day Eurodollar June Futures	Long	06/2008	18,315		47,928
90-Day Eurodollar June Futures	Long	06/2009	1,111		3,033
90-Day Eurodollar March Futures	Long	03/2009	11,021		29,690
90-Day Eurodollar September Futures	Long	09/2008	13,097		52,500
90-Day Eurodollar September Futures	Long	09/2009	275		775
U.S. Treasury 2-Year Note March Futures	Short	03/2008	1,435		(1,127	)
U.S. Treasury 10-Year Note March Futures	Long	03/2008	621		476
U.S. Treasury 30-Year Bond March Futures	Short	03/2008	5,148		2,476
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2008	871		2,814
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2008	6,358		7,441
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2009	485		1,548
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2008	1,366		936
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2009	1,210		3,707
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2008	4,375		9,640
				$	242,668

(i) Swap agreements outstanding on December 31, 2007:

Credit Default Swaps on Securities

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Bank of America	General Motors Corp. 7.125% due 07/15/2013	Sell	4.500	%	12/20/2012	$	3,300	$	(284	)
Barclays Bank PLC	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	0.290	%	06/20/2009		43,300		(124	)
Barclays Bank PLC	Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	5.800	%	09/20/2012		1,300		(39	)
Barclays Bank PLC	GMAC LLC 6.875% due 08/28/2012	Sell	3.650	%	09/20/2012		2,000		(197	)
Barclays Bank PLC	GMAC LLC 6.875% due 08/28/2012	Sell	3.670	%	09/20/2012		13,000		(1,275	)
Barclays Bank PLC	Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.320	%	09/20/2008		84,200		(250	)
Barclays Bank PLC	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.275	%	06/20/2009		43,300		(227	)
Barclays Bank PLC	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.710	%	12/20/2008		8,000		(25	)
Bear Stearns & Co., Inc.	Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.820	%	09/20/2012		3,500		23
BNP Paribas Bank	General Motors Corp. 7.125% due 07/15/2013	Sell	4.800	%	12/20/2012		600		(46	)
BNP Paribas Bank	Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.810	%	09/20/2012		10,000		72
BNP Paribas Bank	Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.820	%	09/20/2012		25,000		168
Citibank N.A.	GMAC LLC 6.875% due 08/28/2012	Sell	3.720	%	09/20/2012		2,800		(271	)
Credit Suisse USA, Inc.	Multiple Reference Entities of Gazprom	Sell	1.000	%	11/20/2008		3,200		(4	)
Deutsche Bank AG	Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	5.650	%	09/20/2012		2,200		(75	)
Deutsche Bank AG	General Motors Corp. 7.125% due 07/15/2013	Sell	4.600	%	12/20/2012		1,800		(149	)
Deutsche Bank AG	GMAC LLC 6.875% due 08/28/2012	Sell	3.200	%	09/20/2012		5,500		(606	)
Goldman Sachs & Co.	Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	3.850	%	09/20/2012		4,500		(392	)
Goldman Sachs & Co.	GMAC LLC 6.875% due 08/28/2012	Sell	3.200	%	09/20/2012		4,300		(474	)
HSBC Bank USA	Pemex Project Funding Master Trust 9.500% due 09/15/2027	Sell	0.250	%	05/20/2009		6,000		0
HSBC Bank USA	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.700	%	04/20/2009		4,300		(24	)
HSBC Bank USA	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.490	%	06/20/2009		43,300		(510	)
JPMorgan Chase & Co.	Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	3.900	%	09/20/2012		7,500		(642	)
JPMorgan Chase & Co.	Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	3.950	%	09/20/2012		10,000		(841	)
JPMorgan Chase & Co.	Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	5.750	%	09/20/2012		1,000		(31	)
JPMorgan Chase & Co.	General Motors Corp. 7.125% due 07/15/2013	Sell	4.550	%	12/20/2012		700		(59	)
JPMorgan Chase & Co.	GMAC LLC 6.875% due 08/28/2012	Sell	3.250	%	09/20/2012		7,500		(817	)
JPMorgan Chase & Co.	GMAC LLC 6.875% due 08/28/2012	Sell	3.370	%	09/20/2012		10,000		(1,058	)
JPMorgan Chase & Co.	GMAC LLC 6.875% due 08/28/2012	Sell	3.750	%	09/20/2012		2,000		(192	)
JPMorgan Chase & Co.	GMAC LLC 6.875% due 08/28/2012	Sell	4.850	%	09/20/2012		8,300		(563	)
JPMorgan Chase & Co.	Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.820	%	09/20/2012		5,000		34
Lehman Brothers, Inc.	General Motors Corp. 7.125% due 07/15/2013	Sell	7.200	%	06/20/2008		2,000		34
Lehman Brothers, Inc.	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.400	%	12/20/2008		7,200		(26	)
Lehman Brothers, Inc.	Multiple Reference Entities of Gazprom	Sell	0.850	%	11/20/2011		4,900		(125	)
Lehman Brothers, Inc.	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.700	%	12/20/2008		6,000		(19	)
Merrill Lynch & Co., Inc.	Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	5.620	%	09/20/2012		2,000		(70	)
Morgan Stanley	General Motors Corp. 7.125% due 07/15/2013	Sell	7.570	%	06/20/2008		5,000		95
Morgan Stanley	General Motors Corp. 7.125% due 07/15/2013	Sell	4.630	%	12/20/2012		800		(65	)
Morgan Stanley	Multiple Reference Entities of Gazprom	Sell	0.860	%	11/20/2011		38,400		(970	)
Morgan Stanley	Panama Government International Bond 8.875% due 09/30/2027	Sell	0.750	%	01/20/2012		500		(2	)
Morgan Stanley	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.245	%	06/20/2008		20,000		(25	)
Morgan Stanley	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.305	%	12/20/2008		6,000		(15	)
Royal Bank of Scotland Group PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.438	%	06/20/2009		43,300		(293	)
Royal Bank of Scotland Group PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.450	%	06/20/2009		6,000		(39	)
Royal Bank of Scotland Group PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.310	%	12/20/2011		4,900		(7	)
Royal Bank of Scotland Group PLC	Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	0.300	%	09/20/2008		3,600		(33	)
								$	(10,438	)

Credit Default Swaps on Credit Indices

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Notional Amount		Unrealized (Depreciation)
Citibank N.A.	Dow Jones CDX N.A. HY8 Index	Sell	0.355	%	06/20/2012	$	38,800	$	(730	)
Citibank N.A.	Dow Jones CDX N.A. HY8 Index	Sell	0.360	%	06/20/2012		9,000		(168	)
Citibank N.A.	Dow Jones CDX N.A. HY8 Index	Sell	0.401	%	06/20/2012		10,400		(177	)
Citibank N.A.	Dow Jones CDX N.A. HY8 Index	Sell	1.846	%	06/20/2012		2,800		(68	)
Citibank N.A.	Dow Jones CDX N.A. HY8 Index	Sell	2.144	%	06/20/2012		2,800		(34	)
Citibank N.A.	Dow Jones CDX N.A. HY8 Index	Sell	2.179	%	06/20/2012		1,800		(20	)
Merrill Lynch & Co., Inc.	Dow Jones CDX N.A. HY8 Index	Sell	1.833	%	06/20/2012		5,500		(137	)
Merrill Lynch & Co., Inc.	Dow Jones CDX N.A. HY8 Index	Sell	1.847	%	06/20/2012		1,900		(46	)
Merrill Lynch & Co., Inc.	Dow Jones CDX N.A. HY8 Index	Sell	2.070	%	06/20/2012		3,900		(60	)
Merrill Lynch & Co., Inc.	Dow Jones CDX N.A. HY8 Index	Sell	2.127	%	06/20/2012		1,700		(22	)
Morgan Stanley	Dow Jones CDX N.A. HY8 Index	Sell	2.080	%	06/20/2012		3,000		(45	)
Morgan Stanley	Dow Jones CDX N.A. HY8 Index	Sell	2.140	%	06/20/2012		4,700		(59	)
Morgan Stanley	Dow Jones CDX N.A. HY8 Index	Sell	2.170	%	06/20/2012		1,800		(20	)
								$	(1,586	)

⁽¹⁾ If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will pay to the buyer of the protection an amount up to the notional value of the swap and in certain instances, take delivery of the security.

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Barclays Bank PLC	BRL-CDI-Compounded	Pay	11.360	%	01/04/2010	BRL	49,200	$	(417	)
Goldman Sachs & Co.	BRL-CDI-Compounded	Pay	11.465	%	01/04/2010		12,800		(94	)
Merrill Lynch & Co., Inc.	BRL-CDI-Compounded	Pay	11.430	%	01/04/2010		32,100		(248	)
Merrill Lynch & Co., Inc.	BRL-CDI-Compounded	Pay	12.948	%	01/04/2010		19,300		123
Morgan Stanley	BRL-CDI-Compounded	Pay	12.780	%	01/04/2010		21,200		79
UBS Warburg LLC	BRL-CDI-Compounded	Pay	12.540	%	01/02/2012		58,100		(253	)
Barclays Bank PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.960	%	04/05/2012	EUR	3,500		(66	)
BNP Paribas Bank	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.090	%	10/15/2010		23,900		146
Goldman Sachs & Co.	6-Month EUR-LIBOR	Pay	4.000	%	03/20/2009		31,000		(176	)
Goldman Sachs & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.960	%	03/30/2012		7,600		(139	)
JPMorgan Chase & Co.	6-Month EUR-LIBOR	Pay	4.500	%	03/19/2010		44,900		(8	)
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.948	%	03/15/2012		25,800		(499	)
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.958	%	04/10/2012		25,100		(526	)
Royal Bank of Scotland Group PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.955	%	03/28/2012		7,000		(127	)
Royal Bank of Scotland Group PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.950	%	03/30/2012		7,100		(132	)
UBS Warburg LLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.146	%	10/15/2010		9,100		106
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	6.000	%	12/20/2008	GBP	77,900		330
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	6.000	%	03/20/2009		43,200		300
Credit Suisse USA, Inc.	6-Month GBP-LIBOR	Pay	5.000	%	06/15/2009		8,800		97
Deutsche Bank AG	6-Month GBP-LIBOR	Pay	6.000	%	12/20/2008		46,700		184
Deutsche Bank AG	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2036		53,200		(3,132	)
Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	6.000	%	12/19/2009		17,300		655
Goldman Sachs & Co.	6-Month GBP-LIBOR	Receive	5.000	%	12/19/2037		2,200		(328	)
Lehman Brothers, Inc.	6-Month GBP-LIBOR	Pay	4.500	%	09/20/2009		98,400		(3,321	)
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Pay	6.000	%	03/20/2009		40,200		259
Goldman Sachs & Co.	28-Day Mexico Interbank TIIE Banxico	Pay	7.780	%	04/03/2012	MXN	125,800		(225	)
Merrill Lynch & Co., Inc.	28-Day Mexico Interbank TIIE Banxico	Pay	8.720	%	09/05/2016		48,800		(50	)
Bank of America	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010	$	413,000		1,487
Bank of America	3-Month USD-LIBOR	Receive	5.000	%	06/18/2038		38,800		(391	)
Barclays Bank PLC	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010		167,300		668
Merrill Lynch & Co., Inc.	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010		53,900		172
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010		162,600		644
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	06/18/2038		20,600		(529	)
								$	(5,411	)

(j) Purchased options outstanding on December 31, 2007:

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Cost		Value
Call - OTC 2-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Pay	4.750	%	09/26/2008	$	647,000	$	3,065	$	13,430
Call - OTC 2-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	4.750	%	03/31/2008		469,200		2,604		9,495
Call - OTC 2-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	4.750	%	09/26/2008		91,800		326		1,906
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	02/01/2008		851,000		4,220		19,917
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	03/31/2008		903,500		5,211		18,284
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	12/15/2008		330,000		949		7,818
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.200	%	02/02/2009		74,000		648		1,924
									$	17,023	$	72,774

(k) Written options outstanding on December 31, 2007:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Value
Call - CBOT U.S. Treasury 10-Year Note March Futures	$	112.000	02/22/2008	119	$	96	$	254
Call - CBOT U.S. Treasury 10-Year Note March Futures		113.000	02/22/2008	302		225		472
Call - CBOT U.S. Treasury 10-Year Note March Futures		114.000	02/22/2008	367		286		413
Put - CBOT U.S. Treasury 10-Year Note March Futures		108.000	02/22/2008	302		126		19
Put - CBOT U.S. Treasury 10-Year Note March Futures		110.000	02/22/2008	367		211		92
					$	944	$	1,250

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Value
Call - OTC 5-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Receive	4.950	%	09/26/2008	$	281,000	$	3,091	$	10,239
Call - OTC 5-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	4.900	%	03/31/2008		204,000		2,489		7,052
Call - OTC 5-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	4.950	%	09/26/2008		39,900		339		1,454
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.100	%	02/01/2008		370,000		4,440		15,439
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.900	%	03/31/2008		148,600		1,980		5,137
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.950	%	03/31/2008		246,000		3,026		8,983
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.200	%	12/15/2008		110,000		927		5,194
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.450	%	02/02/2009		32,000		611		1,627
									$	16,903	$	55,125

(l) Short sales outstanding on December 31, 2007:

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Value(2)
Fannie Mae	5.000	%	01/01/2023	$	435,010	$	432,110	$	435,486
Fannie Mae	6.000	%	01/01/2038		53,000		53,819		53,820
Fannie Mae	6.500	%	04/01/2037		999		1,028		1,027
Fannie Mae	6.500	%	01/01/2038		23,500		24,154		24,157
Freddie Mac	5.500	%	01/01/2038		88,000		88,137		87,821
Freddie Mac	6.000	%	01/01/2038		19,000		19,300		19,282
U.S. Treasury Bonds	3.125	%	11/30/2009		64,300		64,252		64,857
						$	682,800	$	686,450

⁽²⁾ Market value includes $466 of interest payable on short sales.

(m) Foreign currency contracts outstanding on December 31, 2007:

Type	Currency	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	AED	7,651	05/2008	$	0	$	(4	)	$	(4	)
Buy	AUD	35,395	01/2008		10		(8	)		2
Sell		4,256	01/2008		20		(5	)		15
Buy		6,506	02/2008		135		0			135
Sell		495	02/2008		0		(9	)		(9	)
Buy	BRL	181,937	03/2008		14,593		0			14,593
Buy		271,091	07/2008		1,629		0			1,629
Buy	CAD	103	01/2008		2		0			2
Buy	CLP	2,743,870	03/2008		294		0			294
Buy	CNY	101,102	01/2008		155		0			155
Sell		101,102	01/2008		0		(253	)		(253	)
Buy	EUR	759	01/2008		0		(2	)		(2	)
Sell		1,068	01/2008		11		0			11
Buy	GBP	2,099	01/2008		0		(1	)		(1	)
Sell		88,677	01/2008		2,043		(30	)		2,013
Buy	INR	882,114	05/2008		1,318		0			1,318
Sell	JPY	224,371	02/2008		5		0			5
Buy	KRW	18,846,625	01/2008		0		(527	)		(527	)
Buy		22,114,474	05/2008		0		(188	)		(188	)
Buy		14,204,295	08/2008		0		(69	)		(69	)
Buy	KWD	578	05/2008		11		0			11
Buy	MXN	410,463	03/2008		326		(43	)		283
Sell		120,709	03/2008		0		(90	)		(90	)
Buy		81,691	07/2008		72		(6	)		66
Buy	MYR	55,663	05/2008		388		0			388
Buy	NZD	5,569	01/2008		105		0			105
Buy		5,569	02/2008		0		(25	)		(25	)
Buy	PHP	161,107	05/2008		387		0			387
Buy	PLN	19,927	03/2008		1,074		0			1,074
Sell		19,927	03/2008		0		(89	)		(89	)
Buy		90,015	07/2008		3,392		0			3,392
Sell		90,015	07/2008		0		(382	)		(382	)
Buy	RUB	904,784	01/2008		1,741		0			1,741
Sell		904,784	01/2008		66		(7	)		59
Buy		1,535,725	07/2008		1,366		0			1,366
Sell		309,347	07/2008		0		(234	)		(234	)
Buy		388,164	11/2008		0		(61	)		(61	)
Buy	SAR	7,838	05/2008		0		(10	)		(10	)
Buy	SEK	55,848	03/2008		0		(93	)		(93	)
Buy	SGD	14,891	02/2008		323		(6	)		317
Buy		64,158	05/2008		1,962		0			1,962
Buy	ZAR	11,656	07/2008		12		(68	)		(56	)
				$	31,440	$	(2,210	)	$	29,230

See accompanying notes

Schedule of Investments

Low Duration Fund II

December 31, 2007 (Unaudited)

		Principal Amount (000s)		Value (000s)
CORPORATE BONDS & NOTES 21.7%
Banking & Finance 18.3%
Allstate Life Global Funding Trusts
4.924% due 03/23/2009	$	300	$	300
American Express Centurion Bank
5.250% due 05/07/2008		700		699
5.252% due 06/12/2009		1,600		1,595
American Express Credit Corp.
5.302% due 11/09/2009		1,000		984
Bank of America Corp.
4.875% due 11/06/2009		400		399
Bank of America N.A.
5.040% due 02/27/2009		800		799
5.271% due 06/15/2016		3,300		3,227
Bear Stearns Cos., Inc.
5.025% due 05/18/2010		1,600		1,513
5.072% due 08/21/2009		500		482
5.599% due 07/19/2010		900		846
CIT Group Holdings, Inc.
5.134% due 01/30/2009		2,900		2,725
CIT Group, Inc.
5.091% due 12/19/2008		500		472
Citigroup Funding, Inc.
4.858% due 06/26/2009		400		394
4.896% due 04/23/2009		2,400		2,386
5.136% due 12/08/2008		600		595
Citigroup, Inc.
4.872% due 12/28/2009		500		491
4.898% due 12/26/2008		1,100		1,096
General Electric Capital Corp.
5.095% due 10/26/2009		1,500		1,497
5.162% due 03/12/2010		1,400		1,392
5.250% due 01/20/2010		1,600		1,582
Goldman Sachs Group, Inc.
5.111% due 07/29/2008		900		899
5.481% due 07/23/2009		3,700		3,698
HSBC Finance Corp.
5.121% due 09/15/2008		3,500		3,499
Lehman Brothers Holdings, Inc.
4.978% due 11/16/2009		900		877
5.270% due 10/22/2008		5,800		5,759
Merrill Lynch & Co., Inc.
4.914% due 12/22/2008		1,500		1,480
4.960% due 08/14/2009		200		196
5.191% due 10/23/2008		900		888
5.211% due 12/04/2009		800		776
Metropolitan Life Global Funding I
4.945% due 05/17/2010		1,100		1,093
Morgan Stanley
4.925% due 05/07/2009		800		790
4.972% due 11/21/2008		500		496
5.006% due 02/09/2009		700		692
5.332% due 01/15/2010		1,300		1,286
Pricoa Global Funding I
5.061% due 07/27/2009		2,500		2,496
Wachovia Corp.
5.034% due 10/28/2008		900		898
5.372% due 10/15/2011		2,700		2,642
				51,939
Industrials 2.6%
Altria Group, Inc.
7.650% due 07/01/2008		4,500		4,573
Amgen, Inc.
5.133% due 11/28/2008		1,200		1,199
Wal-Mart Stores, Inc.
4.891% due 06/16/2008		1,500		1,500
				7,272
Utilities 0.8%
AT&T, Inc.
4.959% due 05/15/2008		2,200		2,198
Total Corporate Bonds & Notes (Cost $62,113)				61,409
COMMODITY INDEX-LINKED NOTES 0.3%
Goldman Sachs Commodity Index Total Return 0.3%
Morgan Stanley
4.805% due 07/07/2008		1,000		1,002
Total Commodity Index-Linked Notes (Cost $1,000)				1,002
U.S. GOVERNMENT AGENCIES 43.8%
Fannie Mae
4.645% due 07/01/2035		668		664
4.678% due 01/01/2035		716		713
4.888% due 12/01/2034		3,632		3,689
4.989% due 06/01/2035		3,953		3,971
5.000% due 11/01/2017 - 06/01/2037		48,136		48,201
5.315% due 10/25/2030		183		185
5.500% due 02/01/2009 - 01/01/2038		27,387		27,694
5.609% due 09/01/2028		249		251
6.000% due 03/01/2016 - 11/01/2037		5,268		5,381
6.063% due 07/01/2042		499		499
6.113% due 09/01/2041		975		973
6.263% due 08/01/2030 - 10/01/2030		486		489
6.500% due 09/01/2012 - 12/25/2042		1,472		1,515
7.125% due 01/01/2024		135		137
8.000% due 11/25/2023		225		243
9.250% due 10/25/2018		6		7
10.500% due 05/01/2012		74		82
Federal Housing Administration
7.430% due 07/01/2024		937		950
Freddie Mac
4.910% due 07/01/2035		952		951
5.000% due 11/01/2018 - 07/15/2024		3,068		3,076
5.178% due 07/15/2019 - 10/15/2020		10,708		10,667
5.258% due 02/15/2019		3,442		3,425
5.378% due 12/15/2030		658		658
5.428% due 06/15/2018		199		199
5.500% due 03/01/2037		1,989		1,985
6.000% due 02/01/2016 - 09/01/2037		1,306		1,329
6.063% due 02/25/2045		1,002		1,000
6.500% due 07/25/2043		1,700		1,749
7.340% due 07/01/2023		87		87
8.500% due 06/01/2009 - 06/01/2025		12		13
Ginnie Mae
5.449% due 09/20/2030		56		56
5.625% due 07/20/2023 - 07/20/2030		847		851
6.125% due 10/20/2025		446		452
6.375% due 04/20/2022 - 05/20/2027		958		969
7.000% due 11/15/2022		159		169
7.500% due 02/15/2022 - 03/15/2024		247		263
7.750% due 01/17/2030		26		26
8.000% due 03/15/2023 - 05/15/2024		75		81
9.000% due 07/20/2016 - 09/15/2030		136		148
Total U.S. Government Agencies (Cost $123,041)				123,798
U.S. TREASURY OBLIGATIONS 0.3%
Treasury Inflation Protected Securities (b)
2.375% due 04/15/2011		737		768
Total U.S. Treasury Obligations (Cost $761)				768
MORTGAGE-BACKED SECURITIES 16.8%
American Home Mortgage Investment Trust
4.290% due 10/25/2034		2,372		2,331
4.390% due 02/25/2045		672		645
Banc of America Funding Corp.
4.111% due 05/25/2035		12,041		11,893
Bear Stearns Adjustable Rate Mortgage Trust
4.750% due 10/25/2035		3,482		3,459
4.779% due 01/25/2034		604		597
5.437% due 04/25/2033		1,225		1,223
5.608% due 02/25/2033		114		114
5.789% due 02/25/2033		121		123
Bear Stearns Alt-A Trust
5.368% due 05/25/2035		1,374		1,358
5.527% due 09/25/2035		114		112
Bear Stearns Mortgage Funding Trust
4.935% due 02/25/2037		1,057		1,050
Citigroup Commercial Mortgage Trust
5.098% due 08/15/2021		204		197
Countrywide Alternative Loan Trust
5.025% due 02/25/2047		1,400		1,313
6.500% due 06/25/2033		90		90
Countrywide Home Loan Mortgage Pass-Through Trust
4.726% due 02/20/2035		1,005		1,000
4.801% due 11/25/2034		525		522
5.250% due 02/20/2036		1,280		1,251
CS First Boston Mortgage Securities Corp.
5.758% due 03/25/2032		202		195
6.700% due 06/25/2032		3		3
Deutsche ALT-A Securities, Inc. Alternate Loan Trust
4.935% due 01/25/2047		675		661
First Horizon Alternative Mortgage Securities
4.728% due 06/25/2034		853		845
Greenpoint Mortgage Funding Trust
4.945% due 10/25/2046		652		638
GS Mortgage Securities Corp. II
5.342% due 03/06/2020		750		717
5.352% due 06/06/2020		32		32
GSR Mortgage Loan Trust
4.539% due 09/25/2035		4,341		4,309
5.298% due 06/25/2034		1,114		1,111
Impac Secured Assets CMN Owner Trust
4.945% due 01/25/2037		402		395
JPMorgan Mortgage Trust
5.023% due 02/25/2035		137		134
LB-UBS Commercial Mortgage Trust
4.990% due 11/15/2030		857		857
Lehman Brothers Floating Rate Commercial Mortgage Trust
5.108% due 09/15/2021		151		151
Merrill Lynch Mortgage Investors, Inc.
4.488% due 02/25/2035		1,481		1,468
Morgan Stanley Capital I
5.088% due 10/15/2020		276		270
Nationslink Funding Corp.
5.592% due 11/10/2030		43		43
Prime Mortgage Trust
5.265% due 02/25/2019		69		69
5.265% due 02/25/2034		366		359
Structured Asset Mortgage Investments, Inc.
4.995% due 03/25/2037		975		927
5.215% due 07/19/2035		429		413
5.295% due 09/19/2032		402		391
9.474% due 06/25/2029		412		447
Structured Asset Securities Corp.
5.331% due 10/25/2035		506		501
6.150% due 07/25/2032		10		10
Thornburg Mortgage Securities Trust
4.975% due 11/25/2046		547		535
Wachovia Bank Commercial Mortgage Trust
5.108% due 06/15/2020		813		778
5.118% due 09/15/2021		489		482
Washington Mutual, Inc.
5.135% due 12/25/2045		409		384
5.155% due 10/25/2045		268		252
5.483% due 02/27/2034		1,002		981
5.518% due 01/25/2047		329		310
5.988% due 11/25/2042		94		92
6.188% due 06/25/2042		241		230
Wells Fargo Mortgage-Backed Securities Trust
4.950% due 03/25/2036		1,283		1,270
Total Mortgage-Backed Securities (Cost $48,117)				47,538
ASSET-BACKED SECURITIES 11.1%
Amortizing Residential Collateral Trust
5.155% due 07/25/2032		43		42
Asset-Backed Funding Certificates
4.925% due 01/25/2037		410		404
Asset-Backed Securities Corp. Home Equity
5.140% due 09/25/2034		151		148
6.678% due 03/15/2032		620		603
Bear Stearns Asset-Backed Securities Trust
4.925% due 01/25/2037		1,030		995
5.065% due 09/25/2034		65		65
5.865% due 10/25/2037		1,191		1,145
Carrington Mortgage Loan Trust
4.915% due 01/25/2037		1,069		1,046
Chase Issuance Trust
5.038% due 02/15/2011		1,700		1,698
CIT Group Home Equity Loan Trust
5.135% due 06/25/2033		70		64
Countrywide Asset-Backed Certificates
4.915% due 03/25/2037		861		841
4.915% due 05/25/2037		3,640		3,562
4.915% due 07/25/2037		2,647		2,563
5.045% due 09/25/2036		3,086		2,868
5.345% due 12/25/2031		185		171
Credit-Based Asset Servicing & Securitization LLC
4.925% due 11/25/2036		501		484
4.955% due 12/25/2037		1,868		1,823
First Franklin Mortgage Loan Asset-Backed Certificates
4.905% due 01/25/2038		1,051		1,017
First USA Credit Card Master Trust
5.156% due 04/18/2011		1,500		1,501
Fremont Home Loan Trust
4.925% due 01/25/2037		426		415
GSAMP Trust
4.935% due 12/25/2036		601		585
GSR Mortgage Loan Trust
4.965% due 11/25/2030		77		76
HFC Home Equity Loan Asset-Backed Certificates
5.019% due 03/20/2036		341		336
HSBC Asset Loan Obligation
4.925% due 12/25/2036		2,457		2,359
HSI Asset Securitization Corp. Trust
4.915% due 12/25/2036		1,808		1,760
Indymac Residential Asset-Backed Trust
4.925% due 04/25/2037		377		369
JPMorgan Mortgage Acquisition Corp.
4.915% due 08/25/2036		248		244
Lehman XS Trust
4.935% due 05/25/2046		179		177
Long Beach Mortgage Loan Trust
5.145% due 10/25/2034		19		18
MASTR Asset-Backed Securities Trust
4.925% due 11/25/2036		511		498
Morgan Stanley ABS Capital I
4.915% due 11/25/2036		813		770
Nelnet Student Loan Trust
5.182% due 09/25/2012		26		26
Option One Mortgage Loan Trust
4.915% due 01/25/2037		700		689
Park Place Securities, Inc.
5.177% due 10/25/2034		700		607
Securitized Asset-Backed Receivables LLC Trust
4.925% due 12/25/2036		793		744
SLM Student Loan Trust
5.094% due 04/27/2015		265		265
Structured Asset Securities Corp.
5.155% due 01/25/2033		47		47
Wells Fargo Home Equity Trust
4.915% due 01/25/2037		368		362
Total Asset-Backed Securities (Cost $32,451)				31,387
	Shares
PREFERRED STOCKS 1.9%
DG Funding Trust
6.979% due 12/31/2049		510		5,395
Total Preferred Stocks (Cost $5,100)				5,395
		Principal Amount (000s)
SHORT-TERM INSTRUMENTS 10.4%
Commercial Paper 4.7%
Citibank N.A.
5.700% due 01/30/2008	$	5,600		5,575
Freddie Mac
3.000% due 01/02/2008		7,700		7,700
				13,275
Repurchase Agreements 5.5%
Lehman Brothers, Inc.
1.000% due 01/02/2008		9,500		9,500
(Dated 12/31/2007. Collateralized by U.S. Treasury Inflation Protected Securities 2.375% due 01/15/2025 valued at $9,684. Repurchase proceeds are $9,501.)
State Street Bank and Trust Co.
3.900% due 01/02/2008		6,030		6,030
(Dated 12/31/2007. Collateralized by Federal Home Loan Bank 4.125% due 02/15/2008 valued at $6,151. Repurchase proceeds are $6,031.)
				15,530
U.S. Treasury Bills 0.2%
2.956% due 03/13/2008 (a)(d)		670		664
Total Short-Term Instruments (Cost $29,471)				29,469
Purchased Options (f) 1.0% (Cost $614)				2,751
Total Investments 107.3% (Cost $302,668)			$	303,517
Written Options (g) (0.7%) (Premiums $637)				(2,086	)
Other Assets and Liabilities (Net) (6.5%)				(18,515	)
Net Assets (c) 100.0%			$	282,916

Notes to Schedule of Investments (amounts in thousands*, except number of contracts):

* A zero balance may reflect actual amounts rounding to less than one thousand.

(a) Coupon represents a weighted average rate.

(b) Principal amount of security is adjusted for inflation.

(c) As of December 31, 2007, portfolio securities with an aggregate value of $2,453 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(d) Securities with an aggregate market value of $664 and cash of $1,395 have been segregated with the custodian to cover margin requirements for the following open futures contracts on December 31, 2007:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Eurodollar December Futures	Long	12/2008	810	$	3,201
90-Day Eurodollar June Futures	Long	06/2008	523		1,376
90-Day Eurodollar June Futures	Long	06/2009	57		170
90-Day Eurodollar March Futures	Long	03/2009	232		645
90-Day Eurodollar September Futures	Long	09/2008	397		1,681
90-Day Eurodollar September Futures	Long	09/2009	56		158
U.S. Treasury 2-Year Note March Futures	Short	03/2008	40		(31	)
U.S. Treasury 10-Year Note March Futures	Long	03/2008	19		15
U.S. Treasury 30-Year Bond March Futures	Short	03/2008	162		214
				$	7,429

(e) Swap agreements outstanding on December 31, 2007:

Credit Default Swaps on Securities

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Barclays Bank PLC	Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.320	%	09/20/2008	$	2,500	$	(7	)
Bear Stearns & Co., Inc.	Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.820	%	09/20/2012		1,000		7
								$	0

Credit Default Swaps on Credit Indices

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Notional Amount		Unrealized (Depreciation)
Citibank N.A.	Dow Jones CDX N.A. HY8 Index	Sell	2.144	%	06/20/2012	$	500	$	(6	)
Merrill Lynch & Co., Inc.	Dow Jones CDX N.A. HY8 Index	Sell	1.833	%	06/20/2012		1,000		(25	)
Morgan Stanley	Dow Jones CDX N.A. HY8 Index	Sell	2.080	%	06/20/2012		1,000		(15	)
								$	(46	)

⁽¹⁾ If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will pay to the buyer of the protection an amount up to the notional value of the swap and in certain instances, take delivery of the security.

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Bank of America	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010	$	11,600	$	41
Bank of America	3-Month USD-LIBOR	Receive	5.000	%	06/18/2038		1,100		(11	)
Barclays Bank PLC	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010		4,600		18
Merrill Lynch & Co., Inc.	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010		1,400		5
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010		4,700		19
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	06/18/2038		600		(16	)
								$	56

(f) Purchased options outstanding on December 31, 2007:

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Cost		Value
Call - OTC 2-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Pay	4.750	%	09/26/2008	$	21,000	$	100	$	436
Call - OTC 2-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	4.750	%	03/31/2008		18,400		102		372
Call - OTC 2-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	4.750	%	09/26/2008		3,000		11		62
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	02/01/2008		29,800		148		698
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	03/31/2008		28,000		161		567
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	12/15/2008		26,000		92		616
									$	614	$	2,751

(g) Written options outstanding on December 31, 2007:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Value
Call - CBOT U.S. Treasury 10-Year Note March Futures	$	112.000	02/22/2008	4	$	3	$	9
Call - CBOT U.S. Treasury 10-Year Note March Futures		113.000	02/22/2008	9		6		14
Call - CBOT U.S. Treasury 10-Year Note March Futures		114.000	02/22/2008	10		8		11
Put - CBOT U.S. Treasury 10-Year Note March Futures		108.000	02/22/2008	9		4		1
Put - CBOT U.S. Treasury 10-Year Note March Futures		110.000	02/22/2008	10		6		2
					$	27	$	37

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Value
Call - OTC 5-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Receive	4.950	%	09/26/2008	$	9,000	$	99	$	328
Call - OTC 5-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	4.900	%	03/31/2008		8,000		98		277
Call - OTC 5-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	4.950	%	09/26/2008		1,300		11		47
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.100	%	02/01/2008		13,000		156		542
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.900	%	03/31/2008		4,400		59		152
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.950	%	03/31/2008		8,000		98		292
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.200	%	12/15/2008		8,700		89		411
									$	610	$	2,049

(h) Short sales outstanding on December 31, 2007:

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Value(2)
Fannie Mae	6.000	%	01/01/2038	$	2,000	$	2,026	$	2,031
Fannie Mae	6.500	%	01/01/2038		1,200		1,233		1,234
Freddie Mac	5.500	%	01/01/2038		2,000		2,003		1,996
U.S. Treasury Bonds	3.125	%	11/30/2009		1,700		1,699		1,714
						$	6,961	$	6,975

⁽²⁾ Market value includes $12 of interest payable on short sales.

See accompanying notes

Schedule of Investments

Low Duration Fund III

December 31, 2007 (Unaudited)

	Principal Amount (000s)		Value (000s)
CORPORATE BONDS & NOTES 14.4%
Banking & Finance 12.3%
American Express Centurion Bank
5.252% due 06/12/2009	$	1,000	$	997
American Honda Finance Corp.
4.868% due 08/05/2008		200		200
4.946% due 02/09/2010		1,000		998
American International Group, Inc.
5.078% due 06/16/2009		1,000		1,000
ANZ National International Ltd.
4.938% due 08/07/2009		300		299
Bank of America N.A.
4.966% due 12/18/2008		100		100
5.132% due 06/12/2009		300		299
5.271% due 06/15/2016		800		782
Bank of Ireland
4.951% due 12/19/2008		1,100		1,100
Bear Stearns Cos., Inc.
5.025% due 05/18/2010		300		284
5.161% due 04/29/2008		900		891
5.494% due 07/16/2009		100		96
Calabash Re II Ltd.
13.391% due 01/08/2010		300		310
14.591% due 01/08/2010		250		268
15.891% due 01/08/2010		300		315
CIT Group, Inc.
5.019% due 08/15/2008		500		496
Citigroup Funding, Inc.
4.858% due 06/26/2009		200		197
Citigroup Global Markets Holdings, Inc.
5.191% due 03/07/2008		500		500
Citigroup, Inc.
4.872% due 12/28/2009		500		491
4.898% due 12/26/2008		200		199
Credit Agricole S.A.
5.053% due 05/28/2009		200		200
5.103% due 05/28/2010		200		200
Export-Import Bank of Korea
5.214% due 06/01/2009		300		301
Ford Motor Credit Co. LLC
5.800% due 01/12/2009		200		190
7.375% due 10/28/2009		200		188
General Electric Capital Corp.
5.280% due 10/21/2010		3,000		3,001
Goldman Sachs Group, Inc.
4.880% due 03/30/2009		300		299
4.969% due 11/10/2008		100		100
4.974% due 12/22/2008		300		299
5.481% due 07/23/2009		600		600
HSBC Finance Corp.
5.121% due 09/15/2008		100		100
5.137% due 05/10/2010		100		98
5.212% due 03/12/2010		800		785
5.281% due 12/05/2008		200		200
ICICI Bank Ltd.
5.788% due 01/12/2010		300		296
Lehman Brothers Holdings, Inc.
4.978% due 11/16/2009		300		292
5.082% due 08/21/2009		300		292
5.094% due 12/23/2010		200		186
5.170% due 05/25/2010		100		96
5.320% due 04/03/2009		200		196
Merrill Lynch & Co., Inc.
4.960% due 08/14/2009		200		196
5.074% due 01/30/2009		300		298
5.211% due 12/04/2009		300		291
5.284% due 07/25/2011		300		280
Metropolitan Life Global Funding I
4.945% due 05/17/2010		400		397
Morgan Stanley
5.006% due 02/09/2009		300		296
5.332% due 01/15/2010		300		297
5.459% due 01/18/2011		400		387
Mystic Re Ltd.
11.381% due 12/05/2008		300		304
Residential Capital LLC
7.615% due 05/22/2009		300		214
Santander U.S. Debt S.A. Unipersonal
4.970% due 09/19/2008		900		897
SLM Corp.
5.224% due 07/27/2009		200		188
Wachovia Bank N.A.
4.924% due 03/23/2009		1,300		1,297
Wachovia Corp.
5.034% due 10/28/2008		100		100
Wells Fargo & Co.
5.186% due 03/10/2008		1,100		1,101
Westpac Banking Corp.
5.212% due 06/06/2008		100		100
				24,384
Industrials 1.8%
Citigroup Global Markets Deutschland AG for OAO Gazprom
10.500% due 10/21/2009		200		217
Daimler Finance North America LLC
5.328% due 08/03/2009		300		298
5.441% due 10/31/2008		700		699
5.461% due 03/13/2009		300		298
Home Depot, Inc.
5.116% due 12/16/2009		600		588
Kimberly-Clark Corp.
5.060% due 07/30/2010		400		400
Time Warner, Inc.
5.109% due 11/13/2009		200		195
Transocean, Inc.
5.341% due 09/05/2008		200		199
Walt Disney Co.
5.294% due 07/16/2010		700		693
				3,587
Utilities 0.3%
Verizon Communications, Inc.
5.280% due 04/03/2009		500		496
Total Corporate Bonds & Notes (Cost $28,748)				28,467
U.S. GOVERNMENT AGENCIES 49.3%
Fannie Mae
4.382% due 03/01/2035		44		44
4.390% due 05/01/2035		139		139
4.500% due 08/01/2035		609		606
4.568% due 11/01/2035		244		244
4.645% due 07/01/2035		121		121
4.965% due 01/25/2021		1,157		1,156
5.000% due 03/25/2017 - 01/01/2023		16,807		16,828
5.215% due 09/25/2042		284		281
5.265% due 05/25/2031		243		242
5.500% due 02/01/2009 - 01/01/2038		37,766		38,156
5.619% due 08/01/2029		273		275
5.877% due 02/01/2031		70		71
6.000% due 03/01/2017 - 11/01/2037		23,390		23,762
6.063% due 07/01/2042		98		98
6.113% due 09/01/2041		179		179
6.187% due 11/01/2034		92		92
6.263% due 09/01/2040		46		46
6.500% due 07/01/2036 - 12/25/2042		913		938
6.817% due 11/01/2035		80		83
Freddie Mac
4.704% due 06/01/2035		578		580
4.706% due 08/01/2035		638		636
4.905% due 12/25/2036		688		679
4.910% due 07/01/2035		201		201
5.000% due 04/15/2012 - 07/15/2024		513		513
5.178% due 07/15/2019 - 10/15/2020		4,057		4,042
5.258% due 02/15/2019		1,415		1,408
5.378% due 12/15/2030		89		89
5.428% due 06/15/2018		58		58
5.478% due 11/15/2030		15		15
5.500% due 09/01/2037 - 11/01/2037		843		841
6.000% due 03/01/2016 - 09/01/2037		4,849		4,923
6.063% due 02/25/2045		148		148
6.500% due 07/25/2043		212		218
Ginnie Mae
6.000% due 02/20/2032		57		57
6.375% due 06/20/2027 - 05/20/2030		116		118
8.500% due 10/20/2026		15		16
Total U.S. Government Agencies (Cost $97,391)				97,903
U.S. TREASURY OBLIGATIONS 0.2%
Treasury Inflation Protected Securities (b)
2.375% due 04/15/2011		316		329
Total U.S. Treasury Obligations (Cost $326)				329
MORTGAGE-BACKED SECURITIES 13.6%
American Home Mortgage Investment Trust
4.290% due 10/25/2034		428		420
4.390% due 02/25/2045		84		81
Arran Residential Mortgages Funding PLC
5.252% due 04/12/2036		62		62
Banc of America Funding Corp.
4.111% due 05/25/2035		2,291		2,263
Bear Stearns Adjustable Rate Mortgage Trust
4.750% due 10/25/2035		522		519
4.779% due 01/25/2034		93		92
5.437% due 04/25/2033		150		150
5.608% due 02/25/2033		11		11
5.789% due 02/25/2033		12		12
Bear Stearns Alt-A Trust
5.368% due 05/25/2035		248		245
5.527% due 09/25/2035		57		56
Bear Stearns Mortgage Funding Trust
4.935% due 02/25/2037		352		350
Citigroup Mortgage Loan Trust, Inc.
4.700% due 12/25/2035		80		78
4.900% due 12/25/2035		133		132
Countrywide Alternative Loan Trust
4.500% due 06/25/2035		536		530
5.145% due 02/25/2037		880		832
6.500% due 06/25/2033		10		10
Countrywide Home Loan Mortgage Pass-Through Trust
4.726% due 02/20/2035		370		369
4.801% due 11/25/2034		202		201
5.250% due 02/20/2036		202		198
CS First Boston Mortgage Securities Corp.
4.938% due 12/15/2040		136		135
GMAC Mortgage Corp. Loan Trust
5.016% due 11/19/2035		127		126
Greenpoint Mortgage Funding Trust
4.945% due 01/25/2047		179		175
GS Mortgage Securities Corp. II
5.342% due 03/06/2020		286		273
GSR Mortgage Loan Trust
4.539% due 09/25/2035		656		651
5.298% due 06/25/2034		163		163
LB-UBS Commercial Mortgage Trust
4.990% due 11/15/2030		202		202
Lehman Brothers Floating Rate Commercial Mortgage Trust
5.108% due 09/15/2021		50		50
Mellon Residential Funding Corp.
5.468% due 12/15/2030		683		670
Merrill Lynch Mortgage Investors, Inc.
5.075% due 02/25/2036		105		101
MLCC Mortgage Investors, Inc.
5.115% due 11/25/2035		55		53
Morgan Stanley Capital I
5.088% due 10/15/2020		110		108
Prime Mortgage Trust
5.265% due 02/25/2019		17		17
5.265% due 02/25/2034		41		40
Structured Adjustable Rate Mortgage Loan Trust
4.580% due 02/25/2034		252		251
5.305% due 08/25/2034		326		325
6.188% due 01/25/2035		166		161
Structured Asset Mortgage Investments, Inc.
4.995% due 03/25/2037		355		337
5.145% due 02/25/2036		70		66
5.215% due 07/19/2035		135		129
Structured Asset Securities Corp.
5.331% due 10/25/2035		190		188
7.143% due 01/25/2032		5		5
Thornburg Mortgage Securities Trust
4.975% due 03/25/2046		259		258
4.975% due 11/25/2046		156		153
Wachovia Bank Commercial Mortgage Trust
5.108% due 06/15/2020		361		346
5.118% due 09/15/2021		140		138
Washington Mutual MSC Mortgage Pass-Through Certificates
5.967% due 02/25/2033		33		33
Washington Mutual, Inc.
5.135% due 12/25/2045		75		70
5.155% due 10/25/2045		38		36
5.182% due 11/25/2034		255		249
5.518% due 01/25/2047		82		77
6.059% due 05/25/2041		37		37
6.188% due 06/25/2042		116		110
6.288% due 09/25/2046		156		152
Wells Fargo Mortgage-Backed Securities Trust
4.612% due 01/25/2034		14,803		14,295
4.950% due 03/25/2036		324		321
Total Mortgage-Backed Securities (Cost $27,186)				27,112
ASSET-BACKED SECURITIES 5.1%
Accredited Mortgage Loan Trust
4.905% due 09/25/2036		373		369
Asset-Backed Funding Certificates
4.925% due 01/25/2037		117		115
Atrium CDO Corp.
5.441% due 06/27/2015		595		590
Bear Stearns Asset-Backed Securities Trust
4.925% due 01/25/2037		294		284
5.865% due 10/25/2037		496		477
Carrington Mortgage Loan Trust
4.965% due 06/25/2037		256		251
Citigroup Mortgage Loan Trust, Inc.
4.905% due 08/25/2036		82		81
4.925% due 01/25/2037		402		395
4.925% due 05/25/2037		1,648		1,568
4.935% due 01/25/2037		878		844
Countrywide Asset-Backed Certificates
4.915% due 01/25/2037		170		168
4.915% due 05/25/2037		751		731
5.045% due 09/25/2036		1,157		1,076
5.345% due 12/25/2031		31		29
First Franklin Mortgage Loan Asset-Backed Certificates
4.905% due 01/25/2038		375		363
First USA Credit Card Master Trust
5.156% due 04/18/2011		500		500
Ford Credit Auto Owner Trust
5.292% due 10/15/2008		356		356
GE-WMC Mortgage Securities LLC
4.905% due 08/25/2036		117		113
GSAMP Trust
4.985% due 12/25/2035		86		86
5.155% due 03/25/2034		74		74
GSR Mortgage Loan Trust
4.965% due 11/25/2030		23		23
HSI Asset Securitization Corp. Trust
4.915% due 12/25/2036		75		72
Long Beach Mortgage Loan Trust
4.955% due 01/25/2046		34		34
5.145% due 10/25/2034		6		6
Morgan Stanley ABS Capital I
4.915% due 07/25/2036		169		165
4.915% due 11/25/2036		279		264
Residential Asset Securities Corp.
4.905% due 08/25/2036		67		66
Securitized Asset-Backed Receivables LLC Trust
4.925% due 12/25/2036		317		298
Soundview Home Equity Loan Trust
4.945% due 01/25/2037		600		588
Structured Asset Securities Corp.
4.995% due 12/25/2035		24		24
Truman Capital Mortgage Loan Trust
5.205% due 01/25/2034		42		41
Wells Fargo Home Equity Trust
4.915% due 01/25/2037		133		131
Total Asset-Backed Securities (Cost $10,535)				10,182
SOVEREIGN ISSUES 0.2%
Korea Development Bank
5.380% due 04/03/2010		300		299
Total Sovereign Issues (Cost $300)				299
FOREIGN CURRENCY-DENOMINATED ISSUES 0.1%
Brazilian Government International Bond
10.250% due 01/10/2028	BRL	400		218
Total Foreign Currency-Denominated Issues (Cost $205)				218
	Shares
PREFERRED STOCKS 0.3%
DG Funding Trust
6.979% due 12/31/2049		65		688
Total Preferred Stocks (Cost $687)				688
	Principal Amount (000s)
SHORT-TERM INSTRUMENTS 31.7%
Certificates of Deposit 3.0%
Bank of Ireland
5.282% due 01/15/2010	$	50		50
Calyon Financial, Inc.
5.204% due 01/16/2009		300		300
Dexia S.A.
4.759% due 09/29/2008		1,300		1,300
Fortis Bank NY
4.767% due 06/30/2008		500		500
5.148% due 09/30/2008		300		299
Nordea Bank Finland PLC
4.991% due 05/28/2008		200		200
5.230% due 04/09/2009		500		500
Royal Bank of Scotland Group PLC
4.734% due 03/26/2008		100		100
Skandinaviska Enskilda Banken AB
4.869% due 02/13/2009		100		100
5.340% due 08/21/2008		400		400
Societe Generale NY
4.768% due 06/30/2008		900		900
Unicredito Italiano NY
5.062% due 05/29/2008		200		200
5.358% due 05/06/2008		1,100		1,099
				5,948
Commercial Paper 27.9%
Abbey National Treasury Services PLC
4.570% due 01/04/2008		5,000		4,999
Barclays U.S. Funding Corp.
4.810% due 01/25/2008		3,700		3,689
5.005% due 03/17/2008		2,200		2,178
Danske Corp.
4.970% due 01/22/2008		5,400		5,385
DnB NORBank ASA
5.080% due 01/04/2008		3,500		3,499
Freddie Mac
3.000% due 01/02/2008		4,100		4,100
Rabobank Financial Co.
3.990% due 01/02/2008		500		500
4.430% due 01/04/2008		5,400		5,399
Royal Bank of Scotland Group PLC
4.950% due 03/19/2008		5,400		5,344
Skandinaviska Enskilda Banken AB
4.770% due 03/20/2008		2,200		2,177
5.050% due 01/25/2008		3,300		3,289
UBS Finance Delaware LLC
4.000% due 01/02/2008		5,400		5,400
Unicredito Italiano SpA
4.810% due 02/15/2008		1,500		1,491
5.140% due 01/18/2008		2,600		2,594
Westpac Trust Securities NZ Ltd.
4.850% due 03/20/2008		5,500		5,442
				55,487
Repurchase Agreements 0.7%
State Street Bank and Trust Co.
3.900% due 01/02/2008		1,362		1,362
(Dated 12/31/2007. Collateralized by Fannie Mae 6.000% due 05/15/2008 valued at $1,393. Repurchase proceeds are $1,362.)
U.S. Treasury Bills 0.1%
3.039% due 03/13/2008 (a)(d)		220		218
Total Short-Term Instruments (Cost $63,014)				63,014
Purchased Options (f) 0.4% (Cost $168)				764
Total Investments 115.3% (Cost $228,560)			$	228,976
Written Options (g) (0.3%) (Premiums $187)				(602	)
Other Assets and Liabilities (Net) (15.0%)				(29,718	)
Net Assets (c) 100.0%			$	198,657

Notes to Schedule of Investments (amounts in thousands*, except number of contracts):

* A zero balance may reflect actual amounts rounding to less than one thousand.

(a) Coupon represents a weighted average rate.

(b) Principal amount of security is adjusted for inflation.

(c) As of December 31, 2007, portfolio securities with an aggregate value of $1,457 and derivative instruments with an aggregate depreciation of ($7) were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(d) Securities with an aggregate market value of $218 and cash of $675 have been segregated with the custodian to cover margin requirements for the following open futures contracts on December 31, 2007:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Eurodollar December Futures	Long	12/2008	366	$	1,371
90-Day Eurodollar June Futures	Long	06/2008	103		266
90-Day Eurodollar June Futures	Long	06/2009	82		244
90-Day Eurodollar March Futures	Long	03/2009	174		501
90-Day Eurodollar September Futures	Long	09/2008	41		142
90-Day Eurodollar September Futures	Long	09/2009	74		209
U.S. Treasury 2-Year Note March Futures	Short	03/2008	26		(21	)
U.S. Treasury 10-Year Note March Futures	Long	03/2008	8		6
U.S. Treasury 30-Year Bond March Futures	Short	03/2008	105		62
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2008	9		29
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2008	108		113
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2009	5		16
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2008	24		13
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2009	13		39
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2008	60		127
				$	3,117

(e) Swap agreements outstanding on December 31, 2007:

Credit Default Swaps on Securities

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Bank of America	GMAC LLC 6.875% due 08/28/2012	Sell	1.000	%	09/20/2008	$	1,000	$	(47	)
Barclays Bank PLC	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	0.290	%	06/20/2009		1,000		(1	)
Barclays Bank PLC	Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.320	%	09/20/2008		1,100		(2	)
Barclays Bank PLC	Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	0.190	%	09/20/2008		200		(2	)
Barclays Bank PLC	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.275	%	06/20/2009		1,000		(4	)
Bear Stearns & Co., Inc.	Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.820	%	09/20/2012		400		3
HSBC Bank USA	Multiple Reference Entities of Gazprom	Sell	1.250	%	12/20/2008		400		0
HSBC Bank USA	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.490	%	06/20/2009		1,000		(12	)
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.120	%	11/20/2011		900		10
Lehman Brothers, Inc.	GMAC LLC 6.875% due 08/28/2012	Sell	1.680	%	09/20/2008		600		(25	)
Lehman Brothers, Inc.	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.400	%	12/20/2008		100		0
Merrill Lynch & Co., Inc.	GMAC LLC 6.875% due 08/28/2012	Sell	1.850	%	09/20/2009		1,000		(91	)
Morgan Stanley	Multiple Reference Entities of Gazprom	Sell	0.860	%	11/20/2011		400		(10	)
Morgan Stanley	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.245	%	06/20/2008		100		0
Royal Bank of Scotland Group PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.438	%	06/20/2009		1,000		(7	)
Royal Bank of Scotland Group PLC	Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	0.300	%	09/20/2008		200		(2	)
								$	(190	)

Credit Default Swaps on Credit Indices

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Notional Amount		Unrealized (Depreciation)
Citibank N.A.	Dow Jones CDX N.A. HY8 Index	Sell	2.144	%	06/20/2012	$	500	$	(6	)

⁽¹⁾ If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will pay to the buyer of the protection an amount up to the notional value of the swap and in certain instances, take delivery of the security.

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Barclays Bank PLC	BRL-CDI-Compounded	Pay	11.360	%	01/04/2010	BRL	600	$	(5	)
Goldman Sachs & Co.	BRL-CDI-Compounded	Pay	11.465	%	01/04/2010		100		(1	)
Merrill Lynch & Co., Inc.	BRL-CDI-Compounded	Pay	11.430	%	01/04/2010		400		(3	)
Merrill Lynch & Co., Inc.	BRL-CDI-Compounded	Pay	12.948	%	01/04/2010		200		1
Morgan Stanley	BRL-CDI-Compounded	Pay	12.780	%	01/04/2010		200		1
Goldman Sachs & Co.	6-Month EUR-LIBOR	Pay	4.000	%	03/20/2009	EUR	300		(2	)
Goldman Sachs & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.960	%	03/30/2012		100		(2	)
JPMorgan Chase & Co.	6-Month EUR-LIBOR	Pay	4.500	%	03/19/2010		800		0
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.948	%	03/15/2012		200		(4	)
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.958	%	04/10/2012		700		(15	)
Royal Bank of Scotland Group PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.955	%	03/28/2012		200		(3	)
Royal Bank of Scotland Group PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.950	%	03/30/2012		200		(4	)
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	6.000	%	12/20/2008	GBP	800		3
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	6.000	%	03/20/2009		500		3
Credit Suisse USA, Inc.	6-Month GBP-LIBOR	Pay	5.000	%	06/15/2009		100		0
Deutsche Bank AG	6-Month GBP-LIBOR	Pay	6.000	%	12/20/2008		500		2
Deutsche Bank AG	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2036		800		(47	)
Lehman Brothers, Inc.	6-Month GBP-LIBOR	Pay	4.500	%	09/20/2009		800		(27	)
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Pay	6.000	%	03/20/2009		500		3
Goldman Sachs & Co.	28-Day Mexico Interbank TIIE Banxico	Pay	7.780	%	04/03/2012	MXN	1,700		(3	)
Bank of America	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010	$	7,800		28
Bank of America	3-Month USD-LIBOR	Receive	5.000	%	06/18/2038		700		(7	)
Barclays Bank PLC	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010		32,700		43
Barclays Bank PLC	3-Month USD-LIBOR	Pay	5.000	%	06/18/2010		11,500		36
Merrill Lynch & Co., Inc.	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010		1,000		3
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010		3,200		13
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	06/18/2038		400		(10	)
								$	3

(f) Purchased options outstanding on December 31, 2007:

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Cost		Value
Call - OTC 2-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Pay	4.750	%	09/26/2008	$	6,000	$	28	$	125
Call - OTC 2-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	4.750	%	03/31/2008		2,300		13		47
Call - OTC 2-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	4.750	%	09/26/2008		1,000		4		21
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	02/01/2008		8,900		44		208
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	03/31/2008		8,600		50		174
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	12/15/2008		8,000		29		189
									$	168	$	764

(g) Written options outstanding on December 31, 2007:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Value
Call - CBOT U.S. Treasury 10-Year Note March Futures	$	112.000	02/22/2008	2	$	2	$	5
Call - CBOT U.S. Treasury 10-Year Note March Futures		113.000	02/22/2008	4		3		6
Call - CBOT U.S. Treasury 10-Year Note March Futures		114.000	02/22/2008	7		5		8
Put - CBOT U.S. Treasury 10-Year Note March Futures		108.000	02/22/2008	4		2		0
Put - CBOT U.S. Treasury 10-Year Note March Futures		110.000	02/22/2008	7		4		2
					$	16	$	21

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Value
Call - OTC 5-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Receive	4.950	%	09/26/2008	$	3,000	$	33	$	109
Call - OTC 5-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	4.900	%	03/31/2008		1,000		12		35
Call - OTC 5-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	4.950	%	09/26/2008		400		4		15
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.100	%	02/01/2008		4,000		48		167
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.900	%	03/31/2008		1,600		21		55
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.950	%	03/31/2008		2,000		25		73
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.200	%	12/15/2008		2,700		28		127
									$	171	$	581

(h) Short sales outstanding on December 31, 2007:

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Value(2)
Fannie Mae	5.500	%	01/01/2038	$	2,000	$	2,003	$	1,998
Fannie Mae	6.000	%	01/01/2038		5,000		5,067		5,077
Fannie Mae	6.500	%	01/01/2038		900		925		925
Freddie Mac	5.500	%	01/01/2038		1,000		1,002		998
Freddie Mac	6.000	%	01/01/2038		3,800		3,858		3,857
U.S. Treasury Bonds	3.125	%	11/30/2009		1,200		1,199		1,210
						$	14,054	$	14,065

⁽²⁾ Market value includes $9 of interest payable on short sales.

(i) Foreign currency contracts outstanding on December 31, 2007:

Type	Currency	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	AED	134	05/2008	$	0	$	0		$	0
Buy	AUD	522	01/2008		2		0			2
Sell		100	01/2008		0		0			0
Buy	BRL	1,774	03/2008		159		0			159
Buy		3,836	07/2008		196		0			196
Buy	CLP	35,403	03/2008		4		0			4
Buy	CNY	1,137	01/2008		2		0			2
Sell		1,137	01/2008		0		(3	)		(3	)
Sell	GBP	1,555	01/2008		36		(1	)		35
Buy	INR	3,813	05/2008		6		0			6
Sell		3,813	05/2008		0		(4	)		(4	)
Buy	JPY	25,319	02/2008		0		(1	)		(1	)
Buy	KRW	696,084	01/2008		0		(19	)		(19	)
Buy		250,646	05/2008		0		(2	)		(2	)
Buy		84,113	08/2008		0		0			0
Buy	KWD	10	05/2008		0		0			0
Buy	MXN	3,614	03/2008		4		0			4
Sell		1,064	03/2008		0		(1	)		(1	)
Buy		1,769	07/2008		2		0			2
Buy	MYR	715	05/2008		5		0			5
Buy	PHP	1,935	05/2008		5		0			5
Buy	PLN	27	03/2008		0		0			0
Sell		27	03/2008		0		0			0
Buy		1,097	07/2008		44		0			44
Sell		1,097	07/2008		0		(5	)		(5	)
Buy	RUB	7,546	01/2008		14		0			14
Sell		4,309	01/2008		0		0			0
Buy		12,789	07/2008		12		0			12
Sell		1,474	07/2008		0		0			0
Buy		3,237	11/2008		0		0			0
Buy	SAR	138	05/2008		0		0			0
Buy	SEK	756	03/2008		0		(1	)		(1	)
Buy	SGD	1,143	02/2008		28		0			28
Buy		642	05/2008		19		0			19
Buy	ZAR	37	03/2008		0		0			0
Buy		157	07/2008		0		(1	)		(1	)
				$	538	$	(38	)	$	500

See accompanying notes

Schedule of Investments

Moderate Duration Fund

December 31, 2007 (Unaudited)

	Principal Amount (000s)		Value (000s)
BANK LOAN OBLIGATIONS 0.7%
Daimler Finance North America LLC
9.000% due 08/03/2012	$	8,000	$	7,713
SLM Corp.
0.000% due 02/16/2008		3,300		3,288
Total Bank Loan Obligations (Cost $10,884)				11,001
CORPORATE BONDS & NOTES 18.5%
Banking & Finance 16.1%
American Express Bank FSB
4.956% due 06/22/2009		2,740		2,732
ANZ National International Ltd.
4.938% due 08/07/2009		3,200		3,192
Bank of America Corp.
4.875% due 11/06/2009		2,000		1,994
Bank of America N.A.
5.040% due 02/27/2009		4,000		3,993
5.271% due 06/15/2016		17,500		17,111
Bank of Ireland
4.951% due 12/19/2008		4,900		4,898
Bear Stearns Cos., Inc.
5.599% due 07/19/2010		15,500		14,577
6.950% due 08/10/2012		8,100		8,337
Citigroup Funding, Inc.
4.858% due 06/26/2009		2,200		2,167
5.136% due 12/08/2008		3,100		3,075
Citigroup Global Markets Holdings, Inc.
5.091% due 03/17/2009		20,700		20,521
Citigroup, Inc.
4.872% due 12/28/2009		2,100		2,063
6.200% due 03/15/2009		110		112
Credit Agricole S.A.
5.053% due 05/28/2009		2,500		2,502
5.103% due 05/28/2010		2,900		2,901
Ford Motor Credit Co. LLC
5.800% due 01/12/2009		10,000		9,494
7.375% due 10/28/2009		2,100		1,977
General Electric Capital Corp.
4.939% due 08/15/2011		100		98
5.250% due 01/20/2010		14,200		14,039
5.284% due 01/05/2009		12,000		11,989
5.303% due 10/06/2010		5,300		5,258
GMAC LLC
6.000% due 12/15/2011		500		420
Goldman Sachs Group, Inc.
4.880% due 03/30/2009		6,800		6,774
4.924% due 12/23/2008		12,300		12,267
HSBC Finance Corp.
5.240% due 10/21/2009		2,300		2,290
ICICI Bank Ltd.
5.788% due 01/12/2010		4,700		4,642
Lehman Brothers Holdings, Inc.
4.905% due 11/24/2008		4,600		4,530
4.978% due 11/16/2009		9,600		9,356
5.170% due 05/25/2010		2,500		2,405
5.241% due 01/23/2009		2,000		1,961
Longpoint Re Ltd.
10.241% due 05/08/2010		1,300		1,334
Merrill Lynch & Co., Inc.
4.914% due 12/22/2008		12,500		12,336
5.211% due 12/04/2009		3,700		3,589
Morgan Stanley
5.332% due 01/15/2010		9,700		9,596
Mystic Re Ltd.
11.381% due 12/05/2008		4,100		4,150
15.081% due 06/07/2011		1,500		1,580
Osiris Capital PLC
10.242% due 01/15/2010		1,600		1,620
Petroleum Export Ltd.
5.265% due 06/15/2011		528		525
Phoenix Quake Ltd.
7.680% due 07/03/2008		700		702
Phoenix Quake Wind I Ltd.
7.680% due 07/03/2008		600		601
Phoenix Quake Wind II Ltd.
8.730% due 07/03/2008		300		293
Residential Reinsurance 2007 Ltd.
15.374% due 06/07/2010		500		521
Santander U.S. Debt S.A. Unipersonal
4.970% due 09/19/2008		12,600		12,559
5.151% due 11/20/2008		1,500		1,494
Wachovia Corp.
5.174% due 12/01/2009		6,000		5,952
Westpac Banking Corp.
5.212% due 06/06/2008		2,000		1,999
				236,526
Industrials 2.2%
Citigroup Global Markets Deutschland AG for OAO Gazprom
10.500% due 10/21/2009		1,900		2,060
Daimler Finance North America LLC
5.541% due 03/13/2009		15,800		15,695
HJ Heinz Co.
6.428% due 12/01/2008		800		815
Tennessee Gas Pipeline Co.
7.000% due 03/15/2027		7,800		7,968
Time Warner, Inc.
5.109% due 11/13/2009		2,700		2,635
Transocean, Inc.
5.341% due 09/05/2008		3,400		3,383
				32,556
Utilities 0.2%
AT&T, Inc.
4.978% due 02/05/2010		1,700		1,686
Qwest Capital Funding, Inc.
7.250% due 02/15/2011		461		456
				2,142
Total Corporate Bonds & Notes (Cost $273,872)				271,224
MUNICIPAL BONDS & NOTES 0.1%
Virginia State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2005
5.250% due 06/01/2019		1,500		1,572
Total Municipal Bonds & Notes (Cost $1,494)				1,572
COMMODITY INDEX-LINKED NOTES 0.3%
Goldman Sachs Commodity Index Total Return 0.3%
Morgan Stanley
4.805% due 07/07/2008		4,000		4,008
Total Commodity Index-Linked Notes (Cost $4,000)				4,008
U.S. GOVERNMENT AGENCIES 67.0%
Fannie Mae
4.831% due 06/01/2035		14,535		14,498
4.925% due 07/25/2037		4,403		4,238
5.000% due 12/01/2013 - 12/01/2037		451,536		451,964
5.265% due 11/25/2032		10		10
5.500% due 03/01/2016 - 01/01/2038		311,910		312,274
5.627% due 01/01/2027		110		110
6.000% due 09/25/2016 - 11/01/2037		29,048		29,562
6.130% due 10/01/2008		148		148
6.500% due 01/01/2013 - 06/25/2044		20,441		21,176
7.000% due 05/01/2012 - 05/01/2032		231		242
7.500% due 03/01/2015 - 07/25/2041		343		364
8.000% due 09/01/2008 - 08/01/2031		50		53
12.000% due 05/01/2016		3		3
Federal Housing Administration
7.430% due 04/01/2022 - 06/01/2023		288		292
Freddie Mac
4.000% due 05/01/2019		139		134
4.500% due 05/01/2018 - 05/01/2034		956		937
5.000% due 04/15/2016 - 09/01/2035		12,290		12,236
5.178% due 07/15/2019 - 10/15/2020		50,545		50,351
5.258% due 02/15/2019		17,956		17,867
5.500% due 06/01/2017 - 03/01/2037		10,072		10,069
6.000% due 09/01/2013 - 11/01/2037		10,985		11,158
6.500% due 07/25/2043		5		5
7.000% due 04/01/2032		38		40
7.500% due 05/01/2015		2		2
8.000% due 01/01/2012		7		7
8.500% due 04/15/2025		316		315
Ginnie Mae
5.000% due 09/15/2017 - 12/15/2017		150		150
5.478% due 10/16/2030		42		42
5.500% due 01/15/2017 - 09/20/2034		13,769		13,293
5.628% due 02/16/2030		698		706
5.678% due 02/16/2030		491		496
6.000% due 07/20/2015 - 08/20/2034		158		161
6.125% due 11/20/2017 - 11/20/2025		67		68
6.375% due 03/20/2020 - 03/20/2028		319		323
6.500% due 01/20/2034 - 08/20/2034		121		125
7.000% due 07/15/2031 - 12/15/2032		113		120
7.500% due 03/15/2008 - 01/15/2031		545		575
8.000% due 04/15/2017 - 11/15/2022		1,264		1,353
9.000% due 06/15/2009 - 10/15/2017		32		33
9.500% due 08/15/2021 - 12/15/2021		18		20
Small Business Administration
4.340% due 03/01/2024		70		67
4.504% due 02/01/2014		63		61
4.750% due 07/01/2025		17,572		17,275
5.130% due 09/01/2023		18		18
6.090% due 07/01/2011		69		70
6.640% due 02/01/2011		1,872		1,932
7.449% due 08/01/2010		896		917
U.S. Department of Housing and Urban Development
5.070% due 08/01/2015		2,000		2,072
5.290% due 08/01/2017		5,000		5,191
Total U.S. Government Agencies (Cost $982,669)				983,123
U.S. TREASURY OBLIGATIONS 0.0%
Treasury Inflation Protected Securities (b)
2.000% due 01/15/2026		315		314
Total U.S. Treasury Obligations (Cost $311)				314
MORTGAGE-BACKED SECURITIES 4.7%
American Home Mortgage Investment Trust
4.390% due 02/25/2045		2,268		2,177
Banc of America Funding Corp.
4.111% due 05/25/2035		3,562		3,519
Bear Stearns Adjustable Rate Mortgage Trust
5.608% due 02/25/2033		286		285
5.789% due 02/25/2033		223		226
Bear Stearns Alt-A Trust
5.368% due 05/25/2035		4,710		4,657
5.527% due 09/25/2035		1,140		1,124
Bear Stearns Structured Products, Inc.
4.989% due 01/25/2037		4,803		4,754
Citigroup Mortgage Loan Trust, Inc.
4.748% due 08/25/2035		20,743		20,466
Countrywide Alternative Loan Trust
6.000% due 10/25/2032		3		2
Countrywide Home Loan Mortgage Pass-Through Trust
4.726% due 02/20/2035		5,133		5,107
4.801% due 11/25/2034		2,829		2,810
5.155% due 04/25/2035		425		404
CS First Boston Mortgage Securities Corp.
5.758% due 03/25/2032		101		98
GS Mortgage Securities Corp. II
5.342% due 03/06/2020		3,462		3,311
Indymac ARM Trust
6.596% due 01/25/2032		120		120
JPMorgan Mortgage Trust
5.023% due 02/25/2035		2,526		2,476
Merrill Lynch Mortgage Investors, Inc.
5.075% due 02/25/2036		1,576		1,517
MLCC Mortgage Investors, Inc.
5.115% due 11/25/2035		541		523
Prime Mortgage Trust
5.265% due 02/25/2019		155		155
5.265% due 02/25/2034		754		738
Structured Asset Mortgage Investments, Inc.
5.215% due 07/19/2035		1,861		1,768
Structured Asset Securities Corp.
6.039% due 02/25/2032		40		40
Thornburg Mortgage Securities Trust
4.975% due 11/25/2046		2,659		2,599
Wachovia Bank Commercial Mortgage Trust
5.108% due 06/15/2020		4,063		3,891
Washington Mutual, Inc.
5.155% due 10/25/2045		996		936
5.483% due 02/27/2034		8		8
5.988% due 11/25/2042		428		415
Wells Fargo Mortgage-Backed Securities Trust
4.950% due 03/25/2036		5,453		5,396
Total Mortgage-Backed Securities (Cost $70,030)				69,522
ASSET-BACKED SECURITIES 1.0%
Asset-Backed Funding Certificates
4.925% due 01/25/2037		1,933		1,904
Brazos Student Finance Corp.
5.430% due 06/01/2023		715		716
First USA Credit Card Master Trust
5.156% due 04/18/2011		6,800		6,803
Fremont Home Loan Owner Trust
5.655% due 12/25/2029		238		236
HFC Home Equity Loan Asset-Backed Certificates
5.239% due 01/20/2034		2,952		2,885
HSI Asset Securitization Corp. Trust
4.915% due 12/25/2036		1,532		1,476
Long Beach Mortgage Loan Trust
5.145% due 10/25/2034		87		83
Total Asset-Backed Securities (Cost $14,204)				14,103
SOVEREIGN ISSUES 0.5%
Hydro Quebec
5.188% due 09/29/2049		5,000		4,557
Peru Government International Bond
9.125% due 01/15/2008		2,545		2,545
Total Sovereign Issues (Cost $7,154)				7,102
FOREIGN CURRENCY-DENOMINATED ISSUES 0.8%
Banque Centrale de Tunisie
7.500% due 08/06/2009	EUR	6,000		9,083
New Zealand Government CPI Linked Bond
4.500% due 02/15/2016	NZD	800		808
Sumitomo Mitsui Banking Corp.
1.151% due 06/02/2049	JPY	200,000		1,788
Total Foreign Currency-Denominated Issues (Cost $8,275)				11,679
		Shares
PREFERRED STOCKS 0.7%
DG Funding Trust
6.979% due 12/31/2049		912		9,647
Total Preferred Stocks (Cost $9,440)				9,647
		Principal Amount (000s)
SHORT-TERM INSTRUMENTS 8.4%
Certificates of Deposit 3.4%
Calyon Financial, Inc.
5.204% due 01/16/2009	$	4,800		4,793
Fortis Bank NY
4.745% due 04/28/2008		1,700		1,699
4.767% due 06/30/2008		2,600		2,598
Nordea Bank Finland PLC
4.991% due 05/28/2008		2,500		2,501
Royal Bank of Scotland Group PLC
4.734% due 03/26/2008		2,200		2,199
Skandinaviska Enskilda Banken AB
5.350% due 02/13/2009		4,490		4,486
Societe Generale NY
4.768% due 06/30/2008		12,600		12,604
5.270% due 03/26/2008		2,200		2,200
Unicredito Italiano NY
5.358% due 05/06/2008		16,200		16,190
				49,270
Commercial Paper 3.2%
Abbey National Treasury Services PLC
4.250% due 01/07/2008		17,500		17,490
Royal Bank of Scotland Group PLC
4.740% due 01/28/2008		29,900		29,798
				47,288
Repurchase Agreements 1.5%
Fixed Income Clearing Corp.
2.250% due 01/02/2008		15,000		15,000
(Dated 12/31/2007. Collateralized by Federal Home Loan Bank 1.000% due 12/08/2008 valued at $15,303. Repurchase proceeds are $15,002.)
3.900% due 01/02/2008		6,940		6,940
(Dated 12/31/2007. Collateralized by Fannie Mae 0.000% due 01/15/2008 valued at $7,081. Repurchase proceeds are $6,942.)
				21,940
U.S. Treasury Bills 0.3%
3.027% due 03/13/2008 (a)(c)(e)		4,125		4,086
Total Short-Term Instruments (Cost $122,611)				122,584
Purchased Options (g) 0.8% (Cost $2,765)				12,367
Total Investments 103.5% (Cost $1,507,709)			$	1,518,246
Written Options (h) (0.6%) (Premiums $2,877)				(9,383	)
Other Assets and Liabilities (Net) (2.9%)				(41,881	)
Net Assets (d) 100.0%			$	1,466,982

Notes to Schedule of Investments (amounts in thousands*, except number of contracts):

* A zero balance may reflect actual amounts rounding to less than one thousand.

(a) Coupon represents a weighted average rate.

(b) Principal amount of security is adjusted for inflation.

(c) Securities with an aggregate market value of $1,238 have been pledged as collateral for swap and swaption contracts on December 31, 2007.

(d) As of December 31, 2007, portfolio securities with an aggregate value of $14,129 and derivative instruments with an aggregate depreciation of ($169) were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(e) Securities with an aggregate market value of $2,848 and cash of $8,100 have been segregated with the custodian to cover margin requirements for the following open futures contracts on December 31, 2007:

Description	Type	Expiration Month	# of Contracts		Unrealized Appreciation/ (Depreciation)
90-Day Eurodollar December Futures	Long	12/2008	3,769	$	13,871
90-Day Eurodollar June Futures	Long	06/2009	213		560
90-Day Eurodollar March Futures	Long	03/2009	2,167		5,945
90-Day Eurodollar September Futures	Long	09/2008	1,597		6,366
90-Day Eurodollar September Futures	Long	09/2009	45		127
U.S. Treasury 2-Year Note March Futures	Short	03/2008	197		(155	)
U.S. Treasury 10-Year Note March Futures	Long	03/2008	29		21
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2008	133		428
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2008	1,558		1,600
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2009	76		242
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2008	421		244
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2009	189		578
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2008	774		1,674
				$	31,501

(f) Swap agreements outstanding on December 31, 2007:

Credit Default Swaps on Securities

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
Bank of America	General Motors Corp. 7.125% due 07/15/2013	Sell	4.500	%	12/20/2012	$	500	$	(43	)
Barclays Bank PLC	Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	5.650	%	09/20/2012		1,000		(34	)
Barclays Bank PLC	GMAC LLC 6.875% due 08/28/2012	Sell	3.650	%	09/20/2012		1,000		(99	)
Barclays Bank PLC	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.710	%	12/20/2008		4,000		(13	)
BNP Paribas Bank	General Motors Corp. 7.125% due 07/15/2013	Sell	4.800	%	12/20/2012		200		(15	)
Credit Suisse USA, Inc.	Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.940	%	09/20/2012		3,100		37
Credit Suisse USA, Inc.	Multiple Reference Entities of Gazprom	Sell	1.000	%	11/20/2008		1,000		(1	)
Credit Suisse USA, Inc.	Qwest Capital Funding, Inc. 7.250% due 02/15/2011	Sell	4.650	%	09/20/2010		1,000		59
Deutsche Bank AG	General Motors Corp. 7.125% due 07/15/2013	Sell	4.600	%	12/20/2012		300		(25	)
Deutsche Bank AG	Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.880	%	09/20/2012		1,500		14
Goldman Sachs & Co.	Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	3.850	%	09/20/2012		300		(26	)
Goldman Sachs & Co.	GMAC LLC 6.875% due 08/28/2012	Sell	3.200	%	09/20/2012		500		(55	)
HSBC Bank USA	Multiple Reference Entities of Gazprom	Sell	0.970	%	11/20/2008		200		0
HSBC Bank USA	Multiple Reference Entities of Gazprom	Sell	0.360	%	05/20/2009		2,000		(28	)
JPMorgan Chase & Co.	General Motors Corp. 7.125% due 07/15/2013	Sell	4.550	%	12/20/2012		100		(8	)
JPMorgan Chase & Co.	GMAC LLC 6.875% due 08/28/2012	Sell	4.850	%	09/20/2012		1,400		(95	)
JPMorgan Chase & Co.	Panama Government International Bond 8.875% due 09/30/2027	Sell	1.250	%	01/20/2017		700		(9	)
Lehman Brothers, Inc.	Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	5.150	%	09/20/2012		1,700		(83	)
Lehman Brothers, Inc.	GMAC LLC 6.875% due 08/28/2012	Sell	1.680	%	09/20/2008		7,400		(312	)
Lehman Brothers, Inc.	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.400	%	12/20/2008		1,100		(4	)
Lehman Brothers, Inc.	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.700	%	12/20/2008		3,000		1
Morgan Stanley	General Motors Corp. 7.125% due 07/15/2013	Sell	4.630	%	12/20/2012		100		(8	)
Morgan Stanley	GMAC LLC 6.875% due 08/28/2012	Sell	1.050	%	09/20/2008		3,400		(158	)
Morgan Stanley	Multiple Reference Entities of Gazprom	Sell	0.860	%	11/20/2011		5,700		(144	)
Morgan Stanley	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.245	%	06/20/2008		400		(1	)
Morgan Stanley	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.795	%	08/20/2012		5,100		10
								$	(1,040	)

Credit Default Swaps on Credit Indices

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date		Notional Amount		Unrealized (Depreciation)
Citibank N.A.	Dow Jones CDX N.A. HY8 Index	Sell	0.355	%	06/20/2012	$	6,200	$	(117	)
Citibank N.A.	Dow Jones CDX N.A. HY8 Index	Sell	0.360	%	06/20/2012		5,000		(93	)
Citibank N.A.	Dow Jones CDX N.A. HY8 Index	Sell	0.401	%	06/20/2012		1,400		(24	)
Citibank N.A.	Dow Jones CDX N.A. HY8 Index	Sell	2.144	%	06/20/2012		800		(10	)
Citibank N.A.	Dow Jones CDX N.A. HY8 Index	Sell	2.179	%	06/20/2012		500		(5	)
Merrill Lynch & Co., Inc.	Dow Jones CDX N.A. HY8 Index	Sell	1.833	%	06/20/2012		1,400		(35	)
Morgan Stanley	Dow Jones CDX N.A. HY8 Index	Sell	2.080	%	06/20/2012		1,300		(19	)
								$	(303	)

⁽¹⁾ If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will pay to the buyer of the protection an amount up to the notional value of the swap and in certain instances, take delivery of the security.

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
Barclays Bank PLC	BRL-CDI-Compounded	Pay	11.360	%	01/04/2010	BRL	7,400	$	(63	)
Barclays Bank PLC	BRL-CDI-Compounded	Pay	12.540	%	01/02/2012		4,300		(19	)
Goldman Sachs & Co.	BRL-CDI-Compounded	Pay	11.465	%	01/04/2010		1,900		(14	)
Merrill Lynch & Co., Inc.	BRL-CDI-Compounded	Pay	11.430	%	01/04/2010		4,800		(37	)
Merrill Lynch & Co., Inc.	BRL-CDI-Compounded	Pay	12.948	%	01/04/2010		2,900		19
Morgan Stanley	BRL-CDI-Compounded	Pay	12.780	%	01/04/2010		3,200		12
UBS Warburg LLC	BRL-CDI-Compounded	Pay	10.575	%	01/02/2012		3,200		(48	)
UBS Warburg LLC	BRL-CDI-Compounded	Pay	12.540	%	01/02/2012		4,300		(19	)
Barclays Bank PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.960	%	04/05/2012	EUR	500		(9	)
BNP Paribas Bank	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.090	%	10/15/2010		5,100		31
Goldman Sachs & Co.	6-Month EUR-LIBOR	Pay	4.000	%	03/20/2009		4,500		(26	)
Goldman Sachs & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.960	%	03/30/2012		1,100		(20	)
JPMorgan Chase & Co.	6-Month EUR-LIBOR	Pay	4.500	%	03/19/2010		6,100		(1	)
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.948	%	03/15/2012		3,500		(68	)
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.958	%	04/10/2012		2,500		(52	)
Royal Bank of Scotland Group PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.955	%	03/28/2012		900		(16	)
Royal Bank of Scotland Group PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.950	%	03/30/2012		700		(13	)
UBS Warburg LLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.146	%	10/15/2010		1,400		16
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	6.000	%	12/20/2008	GBP	11,400		48
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	6.000	%	03/20/2009		6,300		44
Credit Suisse USA, Inc.	6-Month GBP-LIBOR	Pay	5.000	%	06/15/2009		1,300		14
Deutsche Bank AG	6-Month GBP-LIBOR	Pay	6.000	%	12/20/2008		6,800		27
Deutsche Bank AG	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2036		9,700		(574	)
Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	6.000	%	12/19/2009		3,100		117
Goldman Sachs & Co.	6-Month GBP-LIBOR	Receive	5.000	%	12/19/2037		400		(60	)
Lehman Brothers, Inc.	6-Month GBP-LIBOR	Pay	4.500	%	09/20/2009		4,100		(138	)
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Pay	6.000	%	03/20/2009		5,800		38
Goldman Sachs & Co.	28-Day Mexico Interbank TIIE Banxico	Pay	7.780	%	04/03/2012	MXN	21,300		(38	)
Bank of America	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010	$	60,900		215
Bank of America	3-Month USD-LIBOR	Receive	5.000	%	06/18/2038		5,800		(58	)
Barclays Bank PLC	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010		23,000		92
Merrill Lynch & Co., Inc.	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010		7,300		23
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010		24,500		97
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	06/18/2038		3,100		(80	)
								$	(560	)

(g) Purchased options outstanding on December 31, 2007:

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date		Notional Amount		Cost		Value
Call - OTC 2-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Pay	4.750	%	09/26/2008	$	97,000	$	460	$	2,014
Call - OTC 2-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	4.750	%	03/31/2008		69,000		383		1,396
Call - OTC 2-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	4.750	%	09/26/2008		14,100		50		293
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	02/01/2008		131,000		650		3,066
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	03/31/2008		138,600		799		2,805
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	12/15/2008		117,900		423		2,793
									$	2,765	$	12,367

(h) Written options outstanding on December 31, 2007:

Options on Exchange-Traded Futures Contracts

Description		Exercise Price	Expiration Date	# of Contracts		Premium		Value
Call - CBOT U.S. Treasury 10-Year Note March Futures	$	112.000	02/22/2008	19	$	15	$	41
Call - CBOT U.S. Treasury 10-Year Note March Futures		113.000	02/22/2008	47		35		73
Call - CBOT U.S. Treasury 10-Year Note March Futures		114.000	02/22/2008	51		40		57
Put - CBOT U.S. Treasury 10-Year Note March Futures		108.000	02/22/2008	47		20		3
Put - CBOT U.S. Treasury 10-Year Note March Futures		110.000	02/22/2008	51		29		13
					$	139	$	187

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date		Notional Amount		Premium		Value
Call - OTC 5-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Receive	4.950	%	09/26/2008	$	42,000	$	462	$	1,530
Call - OTC 5-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	4.900	%	03/31/2008		30,000		366		1,037
Call - OTC 5-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	4.950	%	09/26/2008		6,100		52		222
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.100	%	02/01/2008		57,000		684		2,379
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.900	%	03/31/2008		22,700		302		785
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.950	%	03/31/2008		38,000		467		1,388
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.200	%	12/15/2008		39,300		405		1,855
									$	2,738	$	9,196

(i) Short sales outstanding on December 31, 2007:

Description	Coupon		Maturity Date		Principal Amount		Proceeds		Value	(2)
Fannie Mae	5.500	%	01/01/2038	$	71,000	$	71,111	$	70,922
Fannie Mae	6.000	%	01/01/2038		2,000		2,019		2,031
Fannie Mae	6.500	%	01/01/2038		6,000		6,167		6,168
Freddie Mac	5.500	%	01/01/2038		8,000		8,012		7,984
U.S. Treasury Bonds	3.125	%	11/30/2009		8,700		8,693		8,775
						$	96,002	$	95,880

⁽²⁾ Market value includes $63 of interest payable on short sales.

(j) Foreign currency contracts outstanding on December 31, 2007:

Type	Currency	Principal Amount Covered by Contract	Settlement Month		Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	AED	1,182	05/2008	$	0	$	(1	)	$	(1	)
Buy	AUD	5,870	01/2008		21		(1	)		20
Sell		1,109	01/2008		6		0			6
Buy	BRL	30,118	03/2008		2,473		(4	)		2,469
Buy		70,135	07/2008		3,063		0			3,063
Buy	CLP	449,507	03/2008		49		0			49
Buy	CNY	16,396	01/2008		25		0			25
Sell		16,396	01/2008		0		(41	)		(41	)
Sell	EUR	6,277	01/2008		15		0			15
Sell	GBP	12,475	01/2008		294		(3	)		291
Buy	IDR	10,231,200	05/2008		0		(83	)		(83	)
Buy	INR	392,518	05/2008		561		0			561
Buy		68,726	08/2008		0		(11	)		(11	)
Sell	JPY	36,904	02/2008		1		0			1
Buy	KRW	2,568,436	01/2008		0		(73	)		(73	)
Buy		3,468,691	05/2008		3		(24	)		(21	)
Buy		3,676,810	08/2008		0		(18	)		(18	)
Buy	KWD	89	05/2008		2		0			2
Buy	MXN	79,952	03/2008		52		(13	)		39
Sell		23,512	03/2008		0		(17	)		(17	)
Buy		22,429	07/2008		19		(2	)		17
Buy	MYR	8,898	05/2008		31		0			31
Buy	NZD	783	01/2008		15		0			15
Buy		783	02/2008		0		(4	)		(4	)
Buy	PHP	166,018	05/2008		383		0			383
Buy	PLN	4,176	03/2008		131		0			131
Sell		4,176	03/2008		0		(19	)		(19	)
Buy		16,035	07/2008		633		0			633
Sell		16,035	07/2008		0		(68	)		(68	)
Buy	RUB	188,971	01/2008		328		0			328
Sell		188,971	01/2008		5		(1	)		4
Buy		235,094	07/2008		207		0			207
Sell		27,089	07/2008		0		(4	)		(4	)
Buy		81,071	11/2008		1		0			1
Buy	SAR	1,211	05/2008		0		(2	)		(2	)
Buy	SEK	7,624	03/2008		0		(13	)		(13	)
Buy	SGD	6,559	02/2008		135		(1	)		134
Buy		8,992	05/2008		275		0			275
Buy	ZAR	548	03/2008		3		0			3
Buy		2,078	07/2008		4		(10	)		(6	)
				$	8,735	$	(413	)	$	8,322

See accompanying notes

Schedule of Investments

Money Market Fund

December 31, 2007 (Unaudited)

	Principal Amount (000s)		Value (000s)
CORPORATE BONDS & NOTES 6.8%
Banking & Finance 5.8%
American Express Centurion Bank
5.450% due 11/07/2008	$	3,900	$	3,900
American Honda Finance Corp.
4.200% due 07/14/2008		7,400		7,376
Bear Stearns Cos., Inc.
5.128% due 01/15/2008		3,200		3,200
HSBC Finance Corp.
6.400% due 06/17/2008		3,570		3,593
John Deere Capital Corp.
5.038% due 09/25/2008		3,800		3,800
Wachovia Corp.
4.905% due 10/28/2008		900		899
				22,768
Industrials 1.0%
International Business Machines Corp.
5.185% due 09/02/2008		3,800		3,800
Total Corporate Bonds & Notes (Cost $26,568)				26,568
SHORT-TERM INSTRUMENTS 92.9%
Certificates of Deposit 14.0%
ABN AMRO N.A. Finance
5.405% due 07/11/2008		8,100		8,100
Barclays Bank PLC
4.989% due 03/17/2008		2,000		2,000
Citibank N.A.
5.010% due 03/12/2008		7,500		7,500
Dexia Credit Local S.A.
4.822% due 01/25/2008		13,000		13,000
ForeningsSparbanken AB
5.175% due 04/03/2008		1,000		999
Fortis Bank NY
4.894% due 05/20/2008		11,800		11,792
Royal Bank of Canada
4.972% due 04/16/2008		3,500		3,500
Royal Bank of Scotland Group PLC
4.810% due 03/26/2008		1,200		1,200
Skandinaviska Enskilda Banken AB
4.611% due 02/04/2008		6,400		6,399
				54,490
Commercial Paper 78.6%
Abbey National Treasury Services PLC
4.570% due 01/04/2008		7,500		7,498
ANZ National International Ltd.
5.090% due 01/22/2008		10,000		9,972
ASB Finance Ltd.
5.500% due 01/22/2008		6,800		6,779
Bank of America Corp.
4.920% due 03/04/2008		7,100		7,040
Calyon Financial, Inc.
4.960% due 03/11/2008		7,400		7,330
Danske Corp.
5.000% due 01/08/2008		14,000		13,988
DnB NORBank ASA
4.610% due 05/02/2008		5,000		4,922
5.080% due 02/01/2008		6,400		6,373
Fannie Mae
4.078% due 06/11/2008		11,068		10,866
4.260% due 01/29/2008		58,000		57,815
Federal Home Loan Bank
4.020% due 06/06/2008		7,681		7,547
Freddie Mac
3.000% due 01/02/2008		19,800		19,800
5.065% due 01/11/2008		12,500		12,484
General Electric Capital Corp.
5.155% due 02/29/2008		10,000		9,917
ING U.S. Funding LLC
4.950% due 01/28/2008		7,500		7,473
National Australia Bank Ltd.
4.510% due 01/18/2008		7,500		7,485
Nestle Capital Corp.
4.750% due 03/04/2008		11,325		11,232
Nordea N.A., Inc.
4.700% due 02/13/2008		12,700		12,630
Rabobank Financial Co.
4.430% due 01/04/2008		6,900		6,898
Royal Bank of Scotland Group PLC
5.000% due 02/04/2008		7,500		7,466
5.130% due 01/09/2008		3,500		3,496
Skandinaviska Enskilda Banken AB
4.940% due 06/02/2008		9,400		9,204
Svenska Handelsbanken AB
4.730% due 02/08/2008		14,900		14,828
Swedbank AB
4.850% due 01/28/2008		1,200		1,196
5.135% due 01/17/2008		9,500		9,480
Toyota Motor Credit Corp.
4.560% due 06/06/2008		6,800		6,666
UBS Finance Delaware LLC
5.020% due 02/29/2008		6,800		6,745
Unicredito Italiano SpA
5.125% due 01/22/2008		11,000		10,969
Wells Fargo & Co.
4.250% due 01/18/2008		7,000		6,987
				305,086
Repurchase Agreements 0.3%
State Street Bank and Trust Co.
3.900% due 01/02/2008		1,002		1,002
(Dated 12/31/2007. Collateralized by Federal Home Loan Bank 3.625% due 01/15/2008 valued at $1,027. Repurchase proceeds are $1,002.)
Total Short-Term Instruments (Cost $360,578)				360,578
Total Investments 99.7% (Cost $387,146)			$	387,146
Other Assets and Liabilities (Net) 0.3%				1,128
Net Assets 100.0%			$	388,274

See accompanying notes

Schedule of Investments

Mortgage-Backed Securities Fund

December 31, 2007 (Unaudited)

	Principal Amount (000s)		Value (000s)
CORPORATE BONDS & NOTES 0.8%
SLM Corp.
3.625% due 03/17/2008	$	5,000	$	4,958
Total Corporate Bonds & Notes (Cost $4,974)				4,958
U.S. GOVERNMENT AGENCIES 147.7%
Fannie Mae
0.000% due 04/25/2009 - 07/25/2022 (a)		136		122
4.500% due 02/01/2020 - 08/01/2020		30,702		30,201
5.000% due 06/01/2018 - 02/01/2038		136,163		134,424
5.000% due 10/01/2035 - 02/01/2036 (e)		52,104		50,876
5.015% due 10/25/2035		4,928		4,865
5.133% due 10/25/2008		12		12
5.215% due 11/25/2032		77		77
5.365% due 03/25/2032 - 07/25/2034		4,828		4,812
5.396% due 04/18/2028		8		8
5.500% due 01/01/2021 - 01/01/2038		113,326		113,949
5.500% due 02/01/2034 - 05/01/2035 (e)		71,515		71,541
5.875% due 04/25/2023		4		4
5.937% due 11/01/2018		4		4
6.000% due 12/01/2023 - 12/01/2037		81,413		82,699
6.063% due 08/01/2042 - 10/01/2044		1,866		1,894
6.252% due 10/01/2036		3,520		3,600
6.287% due 05/01/2033		572		577
6.292% due 12/01/2034		922		936
6.355% due 05/01/2023		26		27
6.500% due 09/25/2023 - 01/01/2038		47,220		48,563
6.970% due 10/01/2028		14		14
7.000% due 09/25/2023 - 01/01/2038		4,003		4,165
7.500% due 06/01/2030 - 08/01/2031		187		200
7.750% due 08/25/2022		34		36
Federal Housing Administration
5.022% due 10/25/2022		436		442
7.430% due 06/01/2019		266		270
Freddie Mac
3.500% due 12/15/2022		2		2
4.500% due 04/01/2020 - 03/15/2021		32		31
5.000% due 04/01/2037 - 02/01/2038		38,843		37,884
5.500% due 12/01/2017 - 02/01/2038		133,152		132,899
5.500% due 03/01/2037 (e)		19,041		19,004
5.533% due 02/01/2018		70		71
6.000% due 10/01/2036 - 09/01/2037		92,668		94,069
6.000% due 09/01/2037 (e)		42,548		43,190
6.063% due 10/25/2044 - 02/25/2045		4,473		4,480
6.271% due 08/01/2025		11		12
6.285% due 11/01/2028		8		8
6.404% due 07/01/2030		42		43
6.500% due 12/15/2023 - 01/01/2038		10,101		10,385
7.379% due 05/01/2032		24		24
8.000% due 06/15/2026		24		25
Ginnie Mae
4.500% due 08/20/2033		1,180		1,119
5.228% due 02/16/2032		249		249
5.278% due 08/16/2032		1,396		1,398
5.500% due 08/15/2033 - 01/01/2038		35,877		36,149
5.625% due 07/20/2022 - 08/20/2026		56		56
6.000% due 08/15/2036 - 02/01/2038		20,228		20,712
6.125% due 12/20/2021 - 11/20/2023		24		24
6.375% due 02/20/2017 - 03/20/2027		42		43
6.500% due 03/20/2016 - 05/15/2037		6,396		6,606
7.500% due 05/15/2027 - 08/15/2027		8		8
Total U.S. Government Agencies (Cost $952,794)				962,809
U.S. TREASURY OBLIGATIONS 0.5%
U.S. Treasury Notes
4.500% due 05/15/2017		3,100		3,214
Total U.S. Treasury Obligations (Cost $3,216)				3,214
MORTGAGE-BACKED SECURITIES 9.2%
Banc of America Structural Security Trust
5.738% due 10/11/2033		857		851
Banktrust Mortgage Trust
5.700% due 12/01/2023		92		93
Bear Stearns Structured Products, Inc.
4.989% due 01/25/2037		4,744		4,696
CC Mortgage Funding Corp.
4.995% due 05/25/2048		2,546		2,301
5.145% due 01/25/2035		172		159
Countrywide Alternative Loan Trust
5.075% due 05/25/2035		1,501		1,447
Countrywide Home Loan Mortgage Pass-Through Trust
4.801% due 11/25/2034		3,072		3,051
5.000% due 08/25/2033		359		358
5.155% due 04/25/2035		986		937
5.185% due 03/25/2035		2,676		2,538
6.201% due 04/25/2035		1,817		1,763
CS First Boston Mortgage Securities Corp.
5.758% due 03/25/2032		50		49
First Horizon Asset Securities, Inc.
5.372% due 08/25/2035		4,378		4,362
Harborview Mortgage Loan Trust
5.185% due 05/19/2047		3,104		3,037
5.275% due 11/19/2035		2,120		1,986
Indymac Index Mortgage Loan Trust
5.105% due 04/25/2035		2,563		2,428
5.185% due 02/25/2035		1,657		1,576
Merrill Lynch Mortgage Trust
5.017% due 01/12/2044		2,893		2,883
MLCC Mortgage Investors, Inc.
4.250% due 10/25/2035		3,548		3,478
5.408% due 03/15/2025		34		33
Morgan Stanley Dean Witter Capital I
5.500% due 04/25/2017		30		30
Prime Mortgage Trust
5.000% due 02/25/2019		516		510
Residential Asset Mortgage Products, Inc.
8.500% due 10/25/2031		559		587
Sequoia Mortgage Trust
5.299% due 07/20/2033		282		275
5.315% due 10/19/2026		427		417
5.329% due 10/20/2027		116		111
Structured Adjustable Rate Mortgage Loan Trust
5.085% due 05/25/2037		3,628		3,470
6.062% due 05/25/2035		2,478		2,402
Structured Asset Mortgage Investments, Inc.
5.295% due 09/19/2032		167		163
Structured Asset Securities Corp.
5.365% due 12/25/2033		2,107		2,025
Wachovia Bank Commercial Mortgage Trust
5.118% due 09/15/2021		2,073		2,042
Washington Mutual, Inc.
4.551% due 03/25/2033		4,031		3,957
5.135% due 12/25/2045		2,569		2,407
5.405% due 12/25/2027		2,436		2,330
5.788% due 02/25/2046		1,464		1,425
Total Mortgage-Backed Securities (Cost $61,680)				60,177
ASSET-BACKED SECURITIES 3.3%
ACE Securities Corp.
4.915% due 06/25/2036		849		842
Amortizing Residential Collateral Trust
5.155% due 07/25/2032		25		25
5.215% due 10/25/2031		23		22
Bear Stearns Asset-Backed Securities Trust
5.135% due 09/25/2035		187		187
Centex Home Equity
5.165% due 01/25/2032		32		32
CIT Group Home Equity Loan Trust
5.135% due 06/25/2033		48		44
Citibank Omni Master Trust
5.962% due 12/23/2013		5,600		5,597
Conseco Finance Securitizations Corp.
7.970% due 05/01/2032		1,921		1,438
Credit-Based Asset Servicing & Securitization LLC
5.045% due 01/25/2035		1		1
EMC Mortgage Loan Trust
5.615% due 08/25/2040		294		271
GSR Mortgage Loan Trust
4.965% due 11/25/2030		453		450
HFC Home Equity Loan Asset-Backed Certificates
5.299% due 09/20/2033		1,796		1,752
Home Equity Asset Trust
5.465% due 11/25/2032		3		2
Long Beach Mortgage Loan Trust
4.955% due 01/25/2046		382		381
Quest Trust
5.425% due 06/25/2034		1		1
Renaissance Home Equity Loan Trust
5.245% due 12/25/2032		68		66
5.305% due 08/25/2033		327		318
Residential Funding Mortgage Securities II, Inc.
4.965% due 02/25/2036		2,349		2,300
Soundview Home Equity Loan Trust
4.945% due 06/25/2037		3,246		3,186
Specialty Underwriting & Residential Finance
5.205% due 01/25/2034		35		34
Structured Asset Securities Corp.
5.155% due 01/25/2033		43		42
Wells Fargo Home Equity Trust
5.105% due 10/25/2035		1,511		1,417
5.115% due 12/25/2035		3,561		3,442
Total Asset-Backed Securities (Cost $22,452)				21,850
SHORT-TERM INSTRUMENTS 2.1%
Commercial Paper 0.9%
UBS Finance Delaware LLC
4.000% due 01/02/2008		5,800		5,800
Repurchase Agreements 0.0%
State Street Bank and Trust Co.
3.900% due 01/02/2008		397		397
(Dated 12/31/2007. Collateralized by Fannie Mae 6.000% due 05/15/2008 valued at $405. Repurchase proceeds are $397.)
U.S. Treasury Bills 1.2%
2.875% due 02/28/2008 - 03/13/2008 (b)(c)(f)		7,655		7,584
Total Short-Term Instruments (Cost $13,809)				13,781
Purchased Options (h) 0.0% (Cost $45)				18
Total Investments 163.6%			$	1,066,807
(Cost $1,058,970)
Written Options (i) (0.0%)				0
(Premiums $51)
Other Assets and Liabilities (Net) (63.6%)				(414,861	)
Net Assets (d) 100.0%			$	651,946

Notes to Schedule of Investments (amounts in thousands*, except number of contracts):

* A zero balance may reflect actual amounts rounding to less than one thousand.

(a) Principal only security.

(b) Coupon represents a weighted average rate.

(c) Securities with an aggregate market value of $7,181 have been pledged as collateral for swap and swaption contracts on December 31, 2007.

(d) As of December 31, 2007, portfolio securities with an aggregate value of $15,214 and derivative instruments with an aggregate appreciation of $5,404 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(e) The average amount of borrowings outstanding during the period ended December 31, 2007 was $148,533 at a weighted average interest rate of 5.010%. On December 31, 2007, securities valued at $150,028 were pledged as collateral for reverse repurchase agreements.

(f) Securities with an aggregate market value of $154 and cash of $900 have been segregated with the custodian to cover margin requirements for the following open futures contracts on December 31, 2007:

Description	Type	Expiration Month	# of Contracts		Unrealized Appreciation/ (Depreciation)
90-Day Eurodollar June Futures	Long	06/2008	814	$	2,796
U.S. Treasury 10-Year Note March Futures	Short	03/2008	122		(36	)
				$	2,760

(g) Swap agreements outstanding on December 31, 2007:

Credit Default Swaps on Securities

Counterparty	Reference Entity	Buy/Sell Protection (1)	(Pay)/Receive Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation
Barclays Bank PLC	Camber floating rate based on 3-Month USD-LIBOR plus 3.250% due 07/12/2043	Buy	(3.300	%)	07/12/2043	$	1,946	$	1,649
Goldman Sachs & Co.	Telos CLO Ltd. floating rate based on 3-Month USD-LIBOR plus 1.700% due 10/11/2021	Buy	(2.500	%)	10/11/2021		500		85
Lehman Brothers, Inc.	Baldwin Segregated Portfolio floating rate based on 3-Month USD-LIBOR plus 0.750% due 06/25/2046	Buy	(0.800	%)	06/25/2046		1,500		1,358
Lehman Brothers, Inc.	Baldwin Segregated Portfolio floating rate based on 3-Month USD-LIBOR plus 2.000% due 06/25/2038	Buy	(2.500	%)	06/25/2038		1,500		1,318
								$	4,410

Credit Default Swaps on Credit Indices

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
Bear Stearns & Co., Inc.	Home Equity Index A Rating 2006-1	Buy	(0.540	%)	07/25/2045	$	5,000	$	1,295
Deutsche Bank AG	Home Equity Index BBB Rating 2006-2	Sell	1.330	%	05/25/2046		6,000		(1,523	)
Goldman Sachs & Co.	Home Equity Index BBB Rating 2006-2	Sell	2.420	%	05/25/2046		3,000		(1,416	)
Lehman Brothers, Inc.	Home Equity Index BBB Rating 2006-2	Buy	(2.420	%)	05/25/2046		3,000		1,502
Royal Bank of Scotland Group PLC	Home Equity Index BBB Rating 2006-2	Sell	1.330	%	05/25/2046		4,500		(1,104	)
								$	(1,246	)

⁽¹⁾ If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will pay to the buyer of the protection an amount up to the notional value of the swap and in certain instances, take delivery of the security. As a buyer of protection, the Fund will generally receive from the seller of protection an amount up to the notional amount of the swap if a credit event occurs.

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate	Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
Barclays Bank PLC	3-Month USD-LIBOR	Receive	5.000%	06/18/2018	$	13,400	$	(44	)
Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000%	06/18/2015		24,600		(14	)
Goldman Sachs & Co.	3-Month USD-LIBOR	Receive	5.000%	06/18/2018		11,200		(180	)
Lehman Brothers, Inc.	3-Month USD-LIBOR with 6.940% interest rate cap	Pay	Premium amount of $119	07/01/2011		3,000		(117	)
Merrill Lynch & Co., Inc.	3-Month USD-LIBOR	Pay	5.000%	06/18/2015		2,430		14
Merrill Lynch & Co., Inc.	3-Month USD-LIBOR	Receive	5.000%	06/18/2018		32,000		(443	)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000%	06/18/2018		32,000		(177	)
							$	(961	)

Total Return Swaps

Counterparty	Type	Receive Total Return	Pay	Expiration Date	# of Contracts		Unrealized Appreciation
Morgan Stanley	Long	Interest and paydown on FFCA Secured Lending Corp. 8.180% due 09/18/2027	Premium amount of $900	09/18/2027	3,000,000	$	994

(h) Purchased options outstanding on December 31, 2007:

Interest Rate Swaptions

Description

Counterparty

Floating Rate Index

Pay/Receive Floating Rate

Exercise Rate

Expiration Date

Notional Amount

Cost

Value

Put - OTC 7-Year Interest Rate Swap

Goldman Sachs & Co.

3-Month USD-LIBOR

Receive

4.750

%

01/31/2008

$

8,100

$

45

$

18

(i) Written options outstanding on December 31, 2007:

Options on Securities

Description		Strike Price	Expiration Date		Notional Amount		Premium		Value
Put - OTC Fannie Mae 5.500% due 01/01/2038	$	98.500	01/03/2008	$	18,000	$	51	$	0

(j) Short sales outstanding on December 31, 2007:

Description	Coupon		Maturity Date		Principal Amount		Proceeds		Value	(2)
Fannie Mae	4.500	%	01/01/2023	$	4,000	$	3,909	$	3,938
Fannie Mae	5.000	%	01/01/2023		10,500		10,432		10,512
Fannie Mae	5.500	%	01/01/2038		40,000		39,884		39,956
Fannie Mae	6.000	%	01/01/2038		5,000		5,086		5,077
Freddie Mac	5.500	%	01/01/2038		50,000		49,441		49,898
Freddie Mac	6.000	%	01/01/2038		77,000		78,155		78,143
U.S. Treasury Notes	4.500	%	05/15/2017		8,878		9,293		9,283
						$	196,200	$	196,807

⁽²⁾ Market value includes $78 of interest payable on short sales.

See accompanying notes

Schedule of Investments

Municipal Bond Fund

December 31, 2007 (Unaudited)

	Principal Amount (000s)		Value (000s)
BANK LOAN OBLIGATIONS 0.5%
Daimler Finance North America LLC
9.000% due 08/03/2012	$	2,000	$	1,928
Total Bank Loan Obligations (Cost $1,906)				1,928
MUNICIPAL BONDS & NOTES 98.7%
Alabama 1.3%
Alabama State 21st Century Authority Revenue Bonds, Series 2001
5.750% due 12/01/2018		2,295		2,374
Jefferson County, Alabama Limited Obligation Revenue Bonds, Series 2004
5.250% due 01/01/2019		3,300		3,527
				5,901
Alaska 0.5%
Alaska State Housing Finance Corporations Revenue Bonds, (MBIA Insured), Series 2002
5.250% due 06/01/2032		540		541
Anchorage, Alaska General Obligation Bonds, (FGIC Insured), Series 2006
5.000% due 10/01/2018		1,480		1,591
				2,132
Arizona 1.9%
Arizona State Salt River Project Agricultural Improvement and Power District Revenue Bonds, Series 2005
4.750% due 01/01/2035		2,000		2,021
Arizona State Salt Verde Financial Corporation Revenue Bonds, Series 2007
5.000% due 12/01/2037		6,000		5,705
Phoenix, Arizona Industrial Development Authority Revenue Bonds, (GNMA/FNMA/FHLMC Insured), Series 2000
5.875% due 06/01/2016		10		10
Pima County, Arizona Industrial Development Authority Revenue Bonds, (HUD Sector 8 Insured), Series 1998
5.375% due 06/01/2010		855		883
				8,619
Arkansas 0.5%
Jefferson County, Arkansas Pollution Revenue Bonds, Series 2006
4.600% due 10/01/2017		2,000		1,978
California 20.6%
Anaheim, California Public Financing Authority Revenue Bonds, (FSA Insured), Series 1997
0.000% due 09/01/2035		4,000		980
Bakersfield, California Certificates of Participation Bonds, Series 1991
0.000% due 04/15/2021		5,000		2,787
Bakersfield, California Revenue Bonds, (FSA Insured), Series 2007
5.000% due 09/15/2019		2,000		2,190
California State Association of Bay Area Governments Financing Authority for Non-Profit Corporations Revenue Bonds, Series 2003
5.200% due 11/15/2022		2,565		2,656
California State University Revenue Bonds, (FSA Insured), Series 2007
4.500% due 11/01/2044		5,000		4,775
Culver, California Redevelopment Agency Tax Allocation Bonds, (AMBAC Insured), Series 2005
5.000% due 11/01/2023		630		658
Foothill, California Eastern Transportation Corridor Agency Revenue Bonds, (MAIA-IBC Insured), Series 1999
0.000% due 01/15/2026 (b)		1,565		1,549
Foothill, California Eastern Transportation Corridor Agency Revenue Bonds, Series 1995
0.000% due 01/01/2026		1,000		446
Golden State, California Tobacco Securitization Corporations Revenue Bonds, Series 2003
6.250% due 06/01/2033		39,370		43,206
Golden State, California Tobacco Securitization Corporations Revenue Bonds, Series 2007
5.000% due 06/01/2033		5,000		4,329
5.125% due 06/01/2047		2,000		1,682
Imperial, California Community College District General Obligation Bonds, (XLCA Insured), Series 2006
0.000% due 08/01/2031		3,010		907
Indian Wells, California Redevelopment Agency Tax Allocation Bonds, (AMBAC Insured), Series 2006
4.750% due 09/01/2034		5,850		5,771
Los Angeles, California Department of Water & Power Revenue Bonds, (AMBAC Insured), Series 2007
4.750% due 07/01/2039		5,235		5,247
Metropolitan Water District of Southern California State Revenue Bonds, Series 2006
4.750% due 07/01/2036		3,000		3,057
Morgan Hill, California Unified School District General Obligation Notes, (AMBAC Insured), Series 2006
0.000% due 08/01/2015		2,890		2,156
0.000% due 08/01/2016		1,400		993
Poway, California Unified School District Special Tax Bonds, Series 2005
4.700% due 09/01/2016		940		905
4.800% due 09/01/2017		875		843
Poway, California Unified School District Special Tax Notes, Series 2005
4.600% due 09/01/2015		420		408
San Ramon Valley, California Unified School District General Obligation Bonds, (FGIC Insured), Series 1998
0.000% due 07/01/2018		2,385		1,506
Southern California State Public Power Authority Revenue Bonds, Series 2007
5.250% due 11/01/2020		4,000		4,151
				91,202
Colorado 0.6%
Colorado Health Facilities Authority Revenue Bonds, Series 2006
5.250% due 06/01/2036		1,000		997
Colorado State Housing & Finance Authority Revenue Bonds, (FHA/VA Mortgages Insured), Series 2000
5.700% due 10/01/2022		35		36
Colorado State Housing & Finance Authority Revenue Bonds, Series 2000
6.700% due 10/01/2016		25		25
6.750% due 04/01/2015		40		41
Denver, Colorado Health & Hospital Authority Revenue Bonds, Series 1998
5.000% due 12/01/2009		1,390		1,429
				2,528
Connecticut 1.4%
Connecticut State General Obligation Notes, Series 2001
7.094% due 06/15/2010		5,000		6,001
Florida 3.5%
Florida State Board of Education General Obligation Bonds, (ST-GTD Insured), Series 2005
4.750% due 06/01/2035		4,370		4,421
Miami-Dade County, Florida Revenue Bonds, (MBIA Insured), Series 2005
0.000% due 10/01/2035 (b)		10,200		9,690
Orange County, Florida Health Facilities Authority Revenue Bonds, (MBIA Insured), Series 1996
6.250% due 10/01/2011		290		318
Tampa, Florida Guaranteed Entitlement Revenue Bonds, (AMBAC Insured), Series 2001
6.000% due 10/01/2018		800		946
				15,375
Georgia 0.3%
Georgia State Municipal Electric Authority Revenue Bonds, (FGIC-TCRS Insured), Series 1993
5.500% due 01/01/2012		1,255		1,318
Georgia State Municipal Electric Authority Revenue Bonds, (MBIA-IBC Insured), Series 1997
6.500% due 01/01/2012		200		212
				1,530
Hawaii 0.2%
Honolulu, Hawaii City & County General Obligation Bonds, (MBIA-IBC Insured), Series 1993
5.450% due 09/11/2008		1,000		1,016
Illinois 5.1%
Chicago, Illinois Board of Education General Obligation Bonds, (FGIC Insured), Series 1998
0.000% due 12/01/2020		1,000		555
Chicago, Illinois Board of Education General Obligation Bonds, (FGIC Insured), Series 1999
0.000% due 12/01/2031		1,000		299
Chicago, Illinois General Obligation Bonds, (MBIA Insured), Series 2001
0.000% due 01/01/2020 (b)		1,290		1,214
Chicago, Illinois Waste & Water Revenue Bonds, (MBIA Insured), Series 1998
0.000% due 01/01/2021		2,000		1,120
Cook County, Illinois Community School District No. 97-Oak Park General Obligation Bonds, (FGIC Insured), Series 1999
9.000% due 12/01/2012		1,000		1,244
Cook County, Illinois School District No. 122-Oak Lawn General Obligation Bonds, (FGIC Insured), Series 2000
0.000% due 12/01/2016		2,570		1,779
Cook County, Illinois Township High School District No. 225-Northfield General Obligation Bonds, Series 2002
0.000% due 12/01/2012		135		111
0.000% due 12/01/2014		255		192
0.000% due 12/01/2015		1,885		1,350
Cook County, Illinois Township High School District No. 225-Northfield General Obligation Notes, Series 2002
0.000% due 12/01/2011		125		107
Illinois State Health Facilities Authority Revenue Bonds, (MBIA Insured), Series 1992
6.250% due 09/01/2021		695		819
Kane, McHenry, Cook & De Kalb Counties, Illinois Unit School District No. 300 General Obligation Bonds, (AMBAC Insured), Series 2002
0.000% due 12/01/2020		1,290		733
Kendall, Kane & Will Counties, Illinois High School Districts General Obligation Notes, (FSA Insured), Series 2003
0.000% due 10/01/2012		3,000		2,533
Lake County, Illinois Community High School District No.127-Grayslake General Obligation Bonds, (FGIC Insured), Series 2002
0.000% due 02/01/2017		5,420		3,707
Lake County, Illinois Community High School District No.127-Grayslake General Obligation Notes, (FGIC Insured), Series 2002
9.000% due 02/01/2009		650		690
9.000% due 02/01/2011		690		802
9.000% due 02/01/2012		1,065		1,286
Northern Illinois Municipal Power Agency Revenue Bonds, (MBIA Insured), Series 2007
5.000% due 01/01/2018		1,000		1,086
Sangamon County, Illinois School District No. 186 Springfield General Obligation Notes, (FGIC Insured), Series 2004
0.000% due 10/01/2009		1,000		941
Will County, Illinois Community Unit School District No. 365 Valley View General Obligation Bonds, (FSA Insured), Series 2002
0.000% due 11/01/2019		3,400		2,056
				22,624
Indiana 2.3%
Brownsburg, Indiana 1999 School Building Corporations Revenue Bonds, (AMBAC Insured), Series 2002
5.375% due 02/01/2023		1,395		1,508
Danville, Indiana Multi-School Building Corporation Revenue Bonds, (FSA State Aid Withholding Insured), Series 2001
4.400% due 01/15/2012		170		175
4.500% due 01/15/2013		190		196
4.650% due 01/15/2014		210		217
4.750% due 01/15/2015		235		243
4.850% due 01/15/2016		295		305
Danville, Indiana Multi-School Building Corporation Revenue Notes, (FSA State Aid Withholding Insured), Series 2001
4.250% due 07/15/2011		290		298
4.750% due 07/15/2009		200		204
5.000% due 07/15/2010		180		186
Hamilton, Indiana Southeastern Consolidated School Building Revenue Notes, (FSA State Aid Withholding Insured), Series 2001
5.000% due 07/15/2010		760		784
Indiana State Development Finance Authority Revenue Bonds, Series 2005
5.000% due 06/01/2022		1,590		1,669
Indianapolis, Indiana Local Public Improvement Revenue Bonds, Series 1992
6.750% due 02/01/2014		1,000		1,118
Mishawaka, Indiana School Building Corp. Revenue Bonds, (FSA Insured), Series 2006
4.250% due 01/15/2026		1,325		1,261
South Bend, Indiana Redevelopment Authority Revenue Bonds, Series 2000
5.100% due 02/01/2011		405		426
5.200% due 02/01/2012		230		242
5.500% due 02/01/2015		180		192
Tri-Creek School Building Corp., Indiana Revenue Bonds, (FSA Insured), Series 2007
4.250% due 07/15/2020		1,000		994
				10,018
Kansas 0.1%
Lenexa, Kansas Revenue Notes, Series 2007
5.125% due 05/15/2015		575		564
Kentucky 0.1%
Kentucky State Development Finance Authority Hospital Revenue Bonds, Series 1989
6.000% due 10/01/2019		645		650
Louisiana 3.3%
Louisiana State General Obligation Bonds, (FGIC Insured), Series 2002
5.000% due 04/01/2018 (d)		5,000		5,227
5.000% due 04/01/2019 (d)		700		730
Louisiana State Local Government Environmental Facilities & Community Development Authority Revenue Bonds, (MBIA Insured), Series 2000
5.700% due 01/01/2010		115		119
Louisiana State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2001
5.875% due 05/15/2039 (d)		6,430		6,202
5.875% due 05/15/2039		2,000		1,929
7.116% due 11/15/2031		285		266
				14,473
Maryland 0.8%
Maryland State Health & Higher Educational Facilities Authority Revenue Bonds, 2007
5.000% due 07/01/2027		4,000		3,686
Massachusetts 1.8%
Commonwealth of Massachusetts General Obligation Bonds, (FSA Insured), Series 2006
3.810% due 11/01/2019		5,090		5,011
Commonwealth of Massachusetts State Revenue Bonds, (FGIC Insured), Series 2004
3.510% due 01/01/2017		1,000		1,072
Massachusetts State Development Finance Agency Revenue Bonds, (ACA Insured), Series 2005
5.000% due 03/01/2035		1,000		913
Massachusetts State Development Finance Agency Revenue Bonds, Series 1998
4.800% due 11/01/2008		90		91
Massachusetts State Development Finance Agency Revenue Notes, (ACA Insured), Series 1999
4.600% due 03/01/2009		170		170
Massachusetts State Health & Educational Facilities Authority Revenue Bonds, Series 2001
6.000% due 07/01/2014		500		541
				7,798
Michigan 2.0%
Lake Fenton, Michigan Community Schools General Obligation Bonds, (Q-SBLF Insured), Series 2002
5.000% due 05/01/2022		2,720		2,912
Michigan State General Obligation Bonds, Series 1992
6.250% due 11/01/2012		3,100		3,361
Michigan State Hospital Finance Authority Revenue Bonds, Series 1999
6.125% due 11/15/2026		50		53
Michigan State Public Power Agency Revenue Bonds, (AMBAC Insured), Series 2001
5.250% due 01/01/2015		1,000		1,067
Michigan State Tobacco Settlement Finance Authority Revenue Bonds, Series 2007
5.125% due 06/01/2022		1,350		1,286
				8,679
Minnesota 1.1%
Rochester, Minnesota Revenue Bonds, Series 2006
5.000% due 11/15/2036		5,000		4,977
Missouri 3.2%
Lees Summit, Missouri Strother Interchange Transportation Development District Revenue Bonds, Series 2006
5.000% due 05/01/2024		500		452
Missouri State Development Finance Board Revenue Bonds, Series 2007
5.000% due 11/01/2022		2,000		2,020
Missouri State Development Finance Board Revenue Notes, Series 2007
5.000% due 11/01/2014		1,035		1,091
5.000% due 11/01/2015		540		569
Missouri State Environmental Improvement & Energy Resources Revenue Bonds, Series 2000
5.750% due 07/01/2014		350		370
Missouri State Housing Development Commission Revenue Bonds, (FHA Insured), Series 2001
5.250% due 12/01/2016		385		396
Springfield, Missouri Revenue Bonds, (FGIC Insured), Series 2006
4.750% due 08/01/2034		8,200		8,269
St. Louis County, Missouri Industrial Development Authority Revenue Bonds, Series 2005
5.000% due 11/01/2024		1,250		1,151
				14,318
New Jersey 7.2%
Camden County, New Jersey Improvement Authority Revenue Notes, Series 2005
5.250% due 02/15/2009		550		554
5.250% due 02/15/2010		570		577
New Jersey State Building Authority Revenue Bonds, Series 2007
5.000% due 06/15/2023		5,000		5,246
New Jersey State Economic Development Authority Revenue Bonds, Series 1998
0.000% due 04/01/2013		1,595		1,324
5.600% due 01/01/2012		1,000		1,004
6.000% due 11/01/2028		3,500		3,186
6.375% due 04/01/2018		1,500		1,748
6.500% due 04/01/2031		2,115		2,276
6.800% due 04/01/2018		710		763
New Jersey State Economic Development Authority Revenue Bonds, Series 1999
6.625% due 09/15/2012		3,500		3,513
New Jersey State General Obligation Bonds, Series 1992
6.000% due 02/15/2011		510		552
New Jersey State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2003
6.125% due 06/01/2024		3,500		3,720
6.375% due 06/01/2032		1,000		1,132
New Jersey State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2007
5.000% due 06/01/2041		7,350		6,112
				31,707
New York 7.8%
Long Island, New York Power Authority Revenue Notes, (MBIA Insured), Series 2006
4.811% due 09/01/2015		3,000		2,917
New York City, New York General Obligation Bonds, (MBIA Insured), Series 2005
5.000% due 08/01/2018		1,150		1,232
New York City, New York General Obligation Bonds, (MBIA Insured), Series 2001
5.250% due 11/01/2015		2,000		2,140
New York City, New York General Obligation Bonds, Series 2006
5.000% due 08/01/2022		4,000		4,193
New York City, New York General Obligation Bonds, Series 2007
5.000% due 10/01/2019		4,300		4,597
New York City, New York Industrial Development Agency Revenue Bonds, (FGIC Insured), Series 2006
2.798% due 03/01/2022		3,500		3,454
New York City, New York Transitional Finance Authority Revenue Bonds, Series 2002
5.250% due 02/01/2029		5,275		5,570
New York State Dormitory Authority Revenue Bonds, (ACA Insured), Series 2000
5.850% due 07/01/2010		630		650
New York State Dormitory Authority Revenue Bonds, (FHA Insured), Series 2004
6.250% due 08/15/2015		2,490		2,681
New York State Dormitory Authority Revenue Bonds, Series 2002
6.000% due 11/15/2029		3,800		4,176
New York State Urban Development Corporations Revenue Bonds, Series 2002
5.500% due 01/01/2017		2,790		2,958
				34,568
North Carolina 1.0%
Durham, North Carolina General Obligation Bonds, Series 2002
5.000% due 04/01/2021		550		576
North Carolina State Eastern Municipal Power Agency Revenue Bonds, Series 1993
7.000% due 01/01/2008		1,000		1,000
North Carolina State Medical Care Commission Revenue Bonds, Series 2006
5.000% due 11/01/2039		3,000		2,971
				4,547
Ohio 2.5%
Ohio State American Municipal Power, Inc. Revenue Bonds, Series 2007
5.000% due 02/01/2013		4,700		4,836
Ohio State Buckeye Tobacco Settlement Financing Authority Revenue Bonds, Series 2007
5.750% due 06/01/2034		450		428
5.875% due 06/01/2047		3,000		2,865
Ohio State Water Development Authority Revenue Bonds, Series 2002
5.375% due 12/01/2020		1,100		1,195
5.375% due 12/01/2021		1,750		1,901
				11,225
Oklahoma 0.0%
Oklahoma State Housing Finance Agency Single-Family Revenue Bonds, Series 2001
0.000% due 09/01/2032		925		212
Pennsylvania 0.6%
Allegheny County, Pennsylvania Hospital Development Authority Revenue Notes, Series 2005
4.500% due 04/01/2015		790		772
Delaware County, Pennsylvania Authority Hospital Revenue Bonds, Series 1998
4.900% due 12/01/2008		100		100
Delaware County, Pennsylvania Industrial Development Authority Revenue Bonds, Series 1997
6.500% due 01/01/2008		725		725
Philadelphia, Pennsylvania Hospitals & Higher Education Facilities Authority Revenue Bonds, Series 2007
5.000% due 07/01/2022		1,000		922
				2,519
Puerto Rico 2.3%
Commonwealth of Puerto Rico Government Development Bank Revenue Notes, Series 2006
5.000% due 12/01/2008		1,500		1,517
Puerto Rico Children’s Trust Fund Revenue Bonds, Series 2000
6.000% due 07/01/2026		150		161
Puerto Rico Children’s Trust Fund Revenue Notes, Series 2000
5.750% due 07/01/2010		750		797
Puerto Rico Sales Tax Financing Corp. Revenue Bonds, (AMBAC Insured), Series 2007
0.000% due 08/01/2047		50,000		6,607
0.000% due 08/01/2054		10,000		887
				9,969
Rhode Island 1.9%
Rhode Island State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2002
6.125% due 06/01/2032		2,300		2,302
6.250% due 06/01/2042		6,025		6,027
				8,329
South Carolina 0.6%
Greenville County, South Carolina School District Revenue Bonds, (FSA Insured), Series 2006
5.000% due 12/01/2020		2,395		2,584
Tennessee 1.7%
Shelby County, Tennessee General Obligation Bonds, Series 2001
5.000% due 04/01/2023		1,000		1,056
Sullivan County, Tennessee Health Educational & Housing Facilities Board Revenue Bonds, Series 2002
6.250% due 09/01/2022		1,000		1,130
Sullivan County, Tennessee Industrial Development Board Revenue Bonds, (GNMA Insured), Series 1995
6.250% due 07/20/2015		635		644
Tennessee State Energy Acquisition Corporations Revenue Bonds, Series 2006
5.000% due 02/01/2027		5,000		4,862
				7,692
Texas 14.1%
Alliance, Texas Airport Authority Revenue Bonds, Series 2006
4.850% due 04/01/2021		1,000		953
Bastrop, Texas Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 2002
5.650% due 02/15/2035		2,765		3,018
Bexar County, Texas Housing Finance Corporations Multi-Family Revenue Bonds, Series 2001
4.875% due 06/15/2011		465		479
Birdville, Texas Independent School District General Obligations Bonds, (PSF-GTD Insured), Series 2007
0.000% due 02/15/2024		2,260		1,013
Denton, Texas Independent School District General Obligations Bonds, (PSF-GTD Insured), Series 2006
0.000% due 08/15/2025		5,800		2,397
Ennis, Texas Independent School District 903 General Obligation Bonds, (PSF-GTD Insured), Series 2006
0.000% due 08/15/2033		9,155		2,398
Houston, Texas Airport Systems Revenue Bonds, (FGIC Insured), Series 2000
6.070% due 07/01/2025		2,500		2,502
Houston, Texas Airport Systems Revenue Bonds, Series 2001
6.750% due 07/01/2029		1,000		1,012
Houston, Texas Higher Education Finance Corp. Revenue Bonds, Series 2007
4.750% due 05/15/2037		1,790		1,810
Houston, Texas Independent School District General Obligation Notes, (PSF-GTD Insured), Series 2005
0.000% due 02/15/2015		8,640		6,578
Houston, Texas Water & Sewer System Revenue Bonds, (FSA Insured), Series 2001
5.500% due 12/01/2017		1,000		1,074
Lower Colorado River Authority, Texas Revenue Bonds, (MBIA Insured) Series 2006
4.750% due 05/15/2029		8,000		8,049
Midlothian, Texas Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 1999
0.000% due 02/15/2018		20		11
North Texas State Health Facilities Development Corp. Revenue Bonds, (FSA Insured), Series 2007
5.000% due 09/01/2020		895		956
North Texas State Health Facilities Development Corporations Revenue Bonds, (AMBAC Insured), Series 2002
5.500% due 08/15/2017		1,000		1,085
North Texas State Tollway Authority Notes, Series 2007
4.125% due 11/19/2008		4,500		4,507
Pasadena, Texas General Obligation Bonds, (FGIC Insured), Series 2002
5.125% due 04/01/2024		1,750		1,855
Red River, Texas Education Finance Revenue Bonds, Series 2000
5.750% due 05/15/2017		750		795
Sabine River, Texas Pollution Control Authority Revenue Bonds, Series 2001
5.500% due 05/01/2022		1,000		957
San Antonio, Texas Electricity & Gas Revenue Bonds, Series 1997
5.500% due 02/01/2015		975		1,096
San Jacinto, Texas Community College District General Obligation Bonds, (FGIC Insured), Series 2001
5.000% due 02/15/2021		225		237
Spring Branch, Texas Independent School District General Obligation Bonds, (FSA PSF-GTD Insured), Series 2007
4.500% due 02/01/2026		10,000		10,020
Texas State Leander Independent School District General Obligation Bonds, (FGIC Insured), Series 2005
0.000% due 08/15/2023		1,195		544
Texas State SA Energy Acquisition Public Facility Corp. Revenue Bonds, Series 2007
5.500% due 08/01/2027		2,000		2,073
Texas State Transportation Commission Revenue Bonds, Series 2006
4.750% due 04/01/2024 (d)		5,000		5,126
Travis County, Texas Health Facilities Development Corporations Revenue Bonds, Series 1993
6.000% due 11/15/2022 (f)		1,400		1,541
Waxahachie, Texas Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 2002
0.000% due 08/15/2022		1,000		520
				62,606
Utah 1.8%
Utah State Transit Authority Revenue Bonds, (MBIA Insured), Series 2007
0.000% due 06/15/2023		10,000		4,629
0.000% due 06/15/2029		10,000		3,236
				7,865
Virgin Islands 0.3%
Virgin Islands Public Finance Authority Revenue Bonds, Series 2003
6.125% due 07/01/2022		1,500		1,530
Virginia 0.2%
Virginia State Housing Development Authority Revenue Bonds, (MBIA Insured), Series 2001
5.350% due 07/01/2031		1,000		1,016
Washington 3.3%
Snohomish County, Washington School District No. 2 Everett General Obligation Bonds, (FGIC Insured), Series 2006
5.000% due 12/01/2017		1,845		1,996
Washington State General Obligation Bonds, (AMBAC Insured), Series 2004
0.000% due 12/01/2019		2,520		1,503
Washington State General Obligation Notes, (AMBAC Insured), Series 2004
0.000% due 12/01/2011		5,435		4,731
Washington State Tobacco Settlement Authority Revenue Bonds, Series 2002
6.625% due 06/01/2032		5,000		5,108
Yakima County, Washington School District No. 208 General Obligation Bonds, (FSA SCH BD GTY Insured), Series 2007
5.000% due 12/01/2023		1,220		1,294
				14,632
West Virginia 0.7%
Berkeley Brooke & Fayette Counties, West Virginia Revenue Bonds, Series 1983
0.000% due 12/01/2014		4,115		3,181
Wisconsin 2.1%
Hudson, Wisconsin School District General Obligation Bonds, (FGIC Insured), Series 2002
5.000% due 10/01/2017		1,420		1,528
5.000% due 10/01/2019		1,040		1,119
South Milwaukee, Wisconsin School District General Obligation Notes, (FGIC Insured), Series 2002
3.750% due 04/01/2011		385		390
Wisconsin State Clean Water Revenue Bonds, Series 2002
5.000% due 06/01/2018		100		105
5.000% due 06/01/2019		100		105
5.000% due 06/01/2020		100		105
5.100% due 06/01/2021		100		105
5.100% due 06/01/2022		100		105
5.100% due 06/01/2023		100		105
5.250% due 06/01/2016		50		54
5.250% due 06/01/2017		50		54
Wisconsin State Housing & Economic Development Authority Revenue Bonds, (MBIA GO OF AUTH Insured), Series 2002
5.350% due 11/01/2022		3,045		3,113
Wisconsin State Housing & Economic Development Revenue Bonds, (MBIA Insured), Series 2002
4.700% due 11/01/2012		790		813
Wisconsin State Housing & Economic Development Revenue Notes, (MBIA Insured), Series 2002
4.700% due 05/01/2012		1,580		1,618
				9,319
Total Municipal Bonds & Notes (Cost $434,755)				437,570
SHORT-TERM INSTRUMENTS 2.8%
Repurchase Agreements 2.3%
State Street Bank and Trust Co.
3.900% due 01/02/2008		10,276		10,276
(Dated 12/31/2007. Collateralized by Federal Home Loan Bank 4.125% due 02/15/2008 valued at $10,486. Repurchase proceeds are $10,278.)
U.S. Treasury Bills 0.5%
2.991% due 02/28/2008 - 03/13/2008 (a)(c)(e)		2,285		2,266
Total Short-Term Instruments (Cost $12,548)				12,542
Total Investments 102.0% (Cost $449,209)			$	452,040
Other Assets and Liabilities (Net) (2.0%)				(8,775	)
Net Assets 100.0%			$	443,265

Notes to Schedule of Investments (amounts in thousands, except number of contracts):

(a) Coupon represents a weighted average rate.

(b) Security becomes interest bearing at a future date.

(c) Securities with an aggregate market value of $1,488 have been pledged as collateral for swap and swaption contracts on December 31, 2007.

(d) Securities represent fixed-rate municipal bonds transferred to a trust in a financing transaction in which the Fund acquired Residual Interest Municipal Bonds.

(e) Securities with an aggregate market value of $778 and cash of $2,381 have been segregated with the custodian to cover margin requirements for the following open futures contracts on December 31, 2007:

Description	Type	Expiration Month	# of Contracts		Unrealized Appreciation
U.S. Treasury 5-Year Note March Futures	Long	03/2008	300	$	81
U.S. Treasury 10-Year Note March Futures	Long	03/2008	70		70
U.S. Treasury 30-Year Bond March Futures	Short	03/2008	457		690
				$	841

(f) Restricted securities as of December 31, 2007:

Issuer Description	Coupon		Maturity Date	Acquisition Date		Cost		Market Value	Market Value as Percentage of Net Assets
Travis County, Texas Health Facilities Development Corporations Revenue Bonds, Series 1993	6.000	%	11/15/2022	09/20/2002	$	1,499	$	1,541	0.35	%

See accompanying notes

Schedule of Investments

New York Municipal Bond Fund

December 31, 2007 (Unaudited)

	Principal Amount (000s)		Value (000s)
MUNICIPAL BONDS & NOTES 91.4%
Alabama 1.0%
Montgomery, Alabama Medical Clinic Board Revenue Bonds, Series 2006
4.750% due 03/01/2036	$	750	$	622
Arkansas 0.4%
University of Arkansas Revenue Bonds, (MBIA Insured), Series 2004
5.000% due 11/01/2034		250		257
California 2.9%
California Statewide Communities Development Authority Revenue Bonds, Series 2007
9.000% due 11/01/2017		300		312
Imperial, California Community College District General Obligation Bonds, (XLCA Insured), Series 2006
0.000% due 08/01/2029		1,490		502
Indian Wells, California Redevelopment Agency Tax Allocation Bonds, (AMBAC Insured), Series 2006
4.750% due 09/01/2034		1,000		987
				1,801
Illinois 0.9%
Will County, Illinois Community Unit School District No. 365 Valley View General Obligation Bonds, (FSA Insured), Series 2002
0.000% due 11/01/2019		900		544
Indiana 0.8%
Mishawaka, Indiana School Building Corp. Revenue Bonds, (FSA Insured), Series 2006
4.250% due 01/15/2026		500		476
New Jersey 1.4%
New Jersey State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2007
5.000% due 06/01/2041		1,000		831
New York 74.1%
Buffalo, New York Fiscal Stability Authority Revenue Notes, (MBIA Insured), Series 2005
5.000% due 09/01/2014		1,040		1,130
Buffalo, New York Municipal Water Systems Finance Authority Revenue Bonds, (FSA Insured), Series 2002
5.000% due 07/01/2027		500		539
East Rochester, New York Housing Authority Revenue Bonds, Series 2006
5.500% due 08/01/2033		100		90
Erie County, New York Industrial Development Agency Revenue Bonds, (FSA Insured), Series 2004
5.750% due 05/01/2025		1,000		1,108
Liberty, New York Development Corporations Revenue Bonds, Series 2005
5.250% due 10/01/2035		525		552
Liberty, New York Development Corporations Revenue Bonds, Series 2007
5.500% due 10/01/2037		250		274
Long Island, New York Power Authority Revenue Notes, (MBIA Insured), Series 2006
4.811% due 09/01/2015		500		486
New York City, New York General Obligation Bonds, (MBIA Insured), Series 2005
5.000% due 08/01/2018		500		536
New York City, New York General Obligation Bonds, Series 2006
5.000% due 08/01/2022		1,000		1,048
New York City, New York General Obligation Bonds, Series 2007
5.000% due 10/01/2019		2,300		2,459
New York City, New York General Obligation Notes, (MBIA-IBC Insured), Series 2002
5.750% due 08/01/2011		250		270
New York City, New York General Obligation Notes, Series 2005
5.000% due 04/01/2011		250		263
New York City, New York Industrial Development Agency Revenue Bonds, (AMBAC Insured), Series 2006
5.000% due 02/01/2036		500		516
5.000% due 01/01/2046		1,500		1,529
New York City, New York Industrial Development Agency Revenue Bonds, (FGIC Insured), Series 2006
2.798% due 03/01/2022		1,400		1,381
New York City, New York Industrial Development Agency Revenue Bonds, Series 2001
5.500% due 07/01/2028		250		238
New York City, New York Industrial Development Agency Revenue Bonds, Series 2002
6.450% due 07/01/2032		245		249
New York City, New York Industrial Development Agency Revenue Bonds, Series 2005
5.000% due 09/01/2035		35		32
New York City, New York Transitional Finance Authority Revenue Bonds, Series 2002
5.000% due 08/01/2024		525		546
5.250% due 02/01/2029		500		528
New York City, New York Transitional Finance Authority Revenue Notes, Series 2002
5.250% due 11/01/2011		600		644
New York City, New York Transitional Finance Authority Revenue Notes, Series 2003
5.000% due 08/01/2010		395		414
New York State Dormitory Authority Revenue Bonds, (FHA Insured), Series 2004
6.250% due 08/15/2015		250		269
New York State Dormitory Authority Revenue Bonds, (MBIA Insured), Series 2000
5.790% due 08/15/2022		250		258
New York State Dormitory Authority Revenue Bonds, (MBIA Insured), Series 2006
3.380% due 07/01/2027		2,000		2,000
New York State Dormitory Authority Revenue Bonds, (MBIA State Aid Withholding Insured), Series 2002
5.000% due 10/01/2030		750		775
New York State Dormitory Authority Revenue Bonds, Series 2000
6.000% due 07/01/2010		150		156
New York State Dormitory Authority Revenue Bonds, Series 2002
6.000% due 11/15/2029		400		440
New York State Dormitory Authority Revenue Bonds, Series 2005
5.000% due 03/15/2035		750		779
New York State Dormitory Authority Revenue Bonds, Series 2006
5.000% due 12/15/2017		1,000		1,096
5.000% due 07/01/2026		500		455
New York State Dormitory Authority Revenue Bonds, Series 2007
5.000% due 07/01/2021		1,000		1,064
5.000% due 02/15/2037		1,000		1,022
New York State Dormitory Authority Revenue Notes, (FGIC FHA 242 Insured), Series 2005
5.000% due 02/01/2013		965		1,032
New York State Dormitory Authority Revenue Notes, (FSA Insured), Series 1998
4.750% due 07/01/2008		150		151
New York State Dormitory Authority Revenue Notes, (FSA Insured), Series 2001
5.000% due 07/01/2011		455		483
New York State Dormitory Authority Revenue Notes, (MBIA Insured), Series 2003
5.000% due 07/01/2011		250		264
New York State Dormitory Authority Revenue Notes, (MBIA State Aid Withholding Insured), Series 2002
5.000% due 10/01/2012		500		536
New York State Dormitory Authority Revenue Notes, Series 2001
5.250% due 07/01/2010		860		868
New York State Dormitory Authority Revenue Notes, Series 2007
4.000% due 08/15/2014		1,765		1,792
New York State Environmental Facilities Corporations Revenue Bonds, Series 2002
4.550% due 05/01/2012		1,000		990
5.000% due 06/15/2014		400		427
New York State Environmental Facilities Corporations Revenue Notes, Series 2002
5.000% due 06/15/2012		500		539
New York State Housing Finance Agency Revenue Bonds, (FGIC Insured), Series 2005
5.000% due 09/15/2030		1,000		1,033
New York State Local Government Assistance Corporations Revenue Bonds, (General Obligations Insured), Series 1993
6.000% due 04/01/2014		320		356
New York State Local Government Assistance Corporations Revenue Bonds, (MBIA Insured), Series 1997
5.125% due 04/01/2013		150		152
New York State Metropolitan Transportation Authority Revenue Bonds, (FGIC Insured), Series 2003
5.000% due 11/15/2032		200		206
New York State Metropolitan Transportation Authority Revenue Bonds, Series 2006
5.000% due 11/15/2035		1,000		1,021
New York State Mortgage Agency Homeowner Mortgage Revenue Bonds, Series 2006
4.700% due 10/01/2031		500		466
New York State Power Authority Revenue Bonds, (FGIC Insured), Series 2006
5.000% due 11/15/2020		500		535
New York State Sales Tax Asset Receivables Corporations Revenue Bonds, (MBIA Insured), Series 2004
5.250% due 10/15/2018		1,000		1,092
New York State Thruway Authority Highway & Bridge Trust Revenue Notes, (FSA Insured), Series 2003
5.000% due 04/01/2010		250		262
New York State Thruway Authority Highway & Bridge Trust Revenue Notes, (FSA Insured), Series 2005
5.000% due 04/01/2014		500		544
5.000% due 04/01/2015		500		548
New York State Thruway Authority Highway & Bridge Trust Revenue Notes, (MBIA Insured), Series 2002
5.250% due 04/01/2011		500		531
New York State Thruway Authority Revenue Bonds, (FSA Insured), Series 2005
4.750% due 01/01/2030		1,000		1,015
New York State Triborough Bridge & Tunnel Authority Revenue Notes, (MBIA-IBC Insured), Series 2002
5.000% due 11/15/2010		500		525
New York State TSASC, Inc. Revenue Bonds, Series 2002
5.000% due 07/15/2014		750		805
New York State Urban Development Corporations Revenue Bonds, (FSA Insured), Series 2007
5.000% due 01/01/2019		2,000		2,189
New York State Urban Development Corporations Revenue Bonds, Series 2002
5.500% due 01/01/2017		500		530
New York State Urban Development Corporations Revenue Notes, Series 2003
5.000% due 03/15/2011		495		522
Niagara County, New York Industrial Development Agency Revenue Bonds, (GMNA Insured), Series 2006
5.000% due 07/20/2038		500		479
Orange County, New York General Obligation Notes, Series 2005
5.000% due 07/15/2013		500		542
Saratoga County, New York Industrial Development Agency Revenue Bonds, Series 2007
5.000% due 12/01/2017		400		408
Schenectady, New York Industrial Development Agency Revenue Bonds, (AMBAC Insured), Series 2001
5.500% due 07/01/2016		500		548
Spencerport, New York Central School District General Obligation Bonds, (MBIA State Aid Withholding Insured), Series 2002
5.000% due 06/15/2019		250		265
Troy, New York Industrial Development Agency Revenue Bonds, Series 2002
5.500% due 09/01/2015		500		538
				45,340
Puerto Rico 7.7%
Commonwealth of Puerto Rico General Obligation Bonds, (Assured Guarantee Insured), Series 2006
5.231% due 07/01/2020		1,000		997
Commonwealth of Puerto Rico General Obligation Bonds, Series 2006
5.000% due 07/01/2035		250		262
Commonwealth of Puerto Rico Government Development Bank Revenue Notes, Series 2006
5.000% due 12/01/2008		1,000		1,011
Commonwealth of Puerto Rico Highway & Transportation Authority Revenue Bonds, (FGIC Insured), Series 2003
5.500% due 07/01/2013		200		216
Commonwealth of Puerto Rico Highway & Transportation Authority Revenue Bonds, Series 2002
5.750% due 07/01/2041		1,000		1,101
Commonwealth of Puerto Rico Public Finance Corporations Revenue Bonds, Series 2004
5.750% due 08/01/2027		550		575
Puerto Rico Children’s Trust Fund Revenue Bonds, Series 2000
6.000% due 07/01/2026		100		107
Puerto Rico Sales Tax Financing Corp. Revenue Bonds, (AMBAC Insured), Series 2007
0.000% due 08/01/2054		5,000		443
				4,712
Texas 1.8%
Coppell, Texas Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 2001
0.000% due 08/15/2016		805		571
Houston, Texas Utility System Revenue Bonds, (FSA Insured), Series 2005
4.750% due 11/15/2030		400		404
Waco, Texas Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 2001
5.000% due 08/15/2021		120		128
				1,103
Virgin Islands 0.4%
Virgin Islands Public Finance Authority Revenue Bonds, Series 2003
6.125% due 07/01/2022		250		255
6.125% due 07/01/2022				55,941
(Cost $55,980)
SHORT-TERM INSTRUMENTS 4.3%
Repurchase Agreements 4.1%
State Street Bank and Trust Co.
3.900% due 01/02/2008		2,519		2,519
(Dated 12/31/2007. Collateralized by Federal Home Loan Bank 4.125% due 04/18/2008 valued at $2,573. Repurchase proceeds are $2,520.)
U.S. Treasury Bills 0.2%
2.748% due 03/13/2008 (a)(b)		130		129
Total Short-Term Instruments (Cost $2,648)				2,648
Total Investments 95.7% (Cost $58,628)			$	58,589
Other Assets and Liabilities (Net) 4.3%				2,656
Net Assets 100.0%			$	61,245

Notes to Schedule of Investments (amounts in thousands, except number of contracts):

(a) Coupon represents a weighted average rate.

(b) Securities with an aggregate market value of $129 have been segregated with the custodian to cover margin requirements for the following open futures contracts on December 31, 2007:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation
U.S. Treasury 30-Year Bond March Futures	Long	03/2008	65	$	41

See accompanying notes

Schedule of Investments

Real Return Asset Fund

December 31, 2007 (Unaudited)

		Principal Amount (000s)		Value (000s)
BANK LOAN OBLIGATIONS 1.3%
Daimler Finance North America LLC
9.000% due 08/03/2012	$	12,500	$	12,051
Georgia-Pacific Corp.
6.580% due 12/20/2012		155		148
6.831% due 12/20/2012		191		182
6.896% due 12/20/2012		1,619		1,545
Shackleton Re Ltd.
12.875% due 08/01/2008		3,000		2,985
13.000% due 08/01/2008		1,500		1,493
SLM Corp.
1.000% due 06/30/2008		2,000		1,993
Total Bank Loan Obligations (Cost $20,348)				20,397
CORPORATE BONDS & NOTES 12.3%
Banking & Finance 9.9%
American Express Bank FSB
6.000% due 09/13/2017		4,400		4,432
American Express Centurion Bank
6.000% due 09/13/2017		4,400		4,433
American International Group, Inc.
5.850% due 01/16/2018		4,300		4,336
Atlantic & Western Re Ltd.
11.481% due 01/09/2009		1,900		1,920
Bank of America N.A.
5.040% due 02/27/2009		7,200		7,188
Barclays Bank PLC
5.450% due 09/12/2012		12,100		12,415
6.050% due 12/04/2017		7,800		7,874
7.434% due 09/29/2049		1,200		1,249
Bear Stearns Cos., Inc.
6.950% due 08/10/2012		5,800		5,969
C10 Capital SPV Ltd.
6.722% due 12/31/2049		1,000		923
Calabash Re II Ltd.
13.391% due 01/08/2010		700		723
14.591% due 01/08/2010		400		428
15.891% due 01/08/2010		300		315
Citigroup Capital XXI
8.300% due 12/21/2057		1,600		1,675
Citigroup Funding, Inc.
4.896% due 04/23/2009		7,300		7,258
Citigroup, Inc.
4.872% due 12/28/2009		8,400		8,251
5.024% due 01/30/2009		1,700		1,686
East Lane Re Ltd.
11.911% due 05/06/2011		400		402
Export-Import Bank of Korea
5.460% due 10/04/2011		4,500		4,507
Ford Motor Credit Co. LLC
7.875% due 06/15/2010		7,500		6,924
Foundation Re II Ltd.
11.655% due 11/26/2010		2,000		2,073
General Electric Capital Corp.
5.172% due 12/12/2008		1,500		1,500
GMAC LLC
6.119% due 05/15/2009		1,000		932
6.875% due 09/15/2011		1,600		1,370
6.875% due 08/28/2012		2,500		2,097
Goldman Sachs Group, Inc.
6.750% due 10/01/2037		8,700		8,551
Longpoint Re Ltd.
10.241% due 05/08/2010		1,400		1,437
Merrill Lynch & Co., Inc.
6.400% due 08/28/2017		4,800		4,885
Mirage Resorts, Inc.
6.750% due 02/01/2008		1,000		1,005
Mystic Re Ltd.
14.081% due 12/05/2008		1,500		1,528
Nuveen Investments, Inc.
10.500% due 11/15/2015		4,100		4,105
Phoenix Quake Wind I Ltd.
7.680% due 07/03/2008		1,750		1,752
Rabobank Nederland
5.262% due 01/15/2009		1,400		1,398
Redwood Capital IX Ltd.
7.643% due 01/09/2008		900		900
11.493% due 01/09/2008		400		400
Rockies Express Pipeline LLC
5.776% due 08/20/2009		9,600		9,607
Santander Perpetual S.A. Unipersonal
6.671% due 10/29/2049		4,000		4,018
Shackleton Re Ltd.
12.960% due 02/07/2008		3,000		3,011
SLM Corp.
5.294% due 07/25/2008		600		588
Travelers Property Casualty Corp.
3.750% due 03/15/2008		100		100
UBS AG
5.875% due 12/20/2017		1,400		1,413
Unicredit Luxembourg Finance S.A.
5.142% due 10/24/2008		5,100		5,091
Vita Capital II Ltd.
6.131% due 01/01/2010		400		395
Vita Capital III Ltd.
6.351% due 01/01/2012		1,600		1,576
VTB Capital S.A.
5.494% due 08/01/2008		4,200		4,163
Wachovia Bank N.A.
5.194% due 12/02/2010		5,200		5,163
				151,966
Industrials 1.5%
America Movil SAB de C.V.
4.958% due 06/27/2008		10,000		10,000
C8 Capital SPV Ltd.
6.640% due 12/29/2049		900		856
Caesars Entertainment, Inc.
8.875% due 09/15/2008		1,600		1,662
EchoStar DBS Corp.
5.750% due 10/01/2008		1,300		1,302
6.375% due 10/01/2011		2,000		1,981
Kraft Foods, Inc.
6.000% due 02/11/2013		2,200		2,264
6.125% due 02/01/2018		1,800		1,817
Weyerhaeuser Co.
5.884% due 09/24/2009		3,800		3,812
				23,694
Utilities 0.9%
BellSouth Corp.
4.240% due 04/26/2021		2,400		2,392
Cleveland Electric Illuminating Co.
6.860% due 10/01/2008		100		101
Embarq Corp.
7.082% due 06/01/2016		800		825
Enel Finance International S.A.
5.700% due 01/15/2013		8,400		8,538
Qwest Capital Funding, Inc.
6.375% due 07/15/2008		2,500		2,500
				14,356
Total Corporate Bonds & Notes (Cost $189,326)				190,016
CONVERTIBLE BONDS 0.4%
Chesapeake Energy Corp.
2.500% due 05/15/2037		6,025		6,725
Total Convertible Bonds (Cost $6,126)				6,725
MUNICIPAL BONDS & NOTES 0.4%
Chicago, Illinois General Obligation Bonds, (FSA Insured), Series 2006
6.728% due 01/01/2014		200		208
Golden State, California Tobacco Securitization Corporations Revenue Bonds, Series 2007
5.750% due 06/01/2047		1,100		1,027
Louisiana State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2001
5.875% due 05/15/2039		500		482
New York City, New York Municipal Water Finance Authority Revenue Bonds, Series 2007
5.000% due 06/15/2038		1,100		1,144
New York City, New York Municipal Water Finance Authority Revenue Notes, Series 2006
6.869% due 12/15/2013		200		205
Ohio State Buckeye Tobacco Settlement Financing Authority Revenue Bonds, Series 2007
6.000% due 06/01/2042		1,300		1,274
Puerto Rico Sales Tax Financing Corp. Revenue Bonds, (AMBAC Insured), Series 2007
0.000% due 08/01/2054		8,400		745
West Virginia State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2007
7.467% due 06/01/2047		1,800		1,731
Total Municipal Bonds & Notes (Cost $6,671)				6,816
COMMODITY INDEX-LINKED NOTES 1.6%
Dow Jones-AIG Commodity Index Total Return 1.1%
AIG-Fp Matched Funding Corp.
5.210% due 07/15/2008		13,000		16,495
Goldman Sachs Commodity Index Total Return 0.5%
Morgan Stanley
4.805% due 07/07/2008		7,000		7,013
Total Commodity Index-Linked Notes (Cost $20,000)				23,508
U.S. GOVERNMENT AGENCIES 53.3%
Fannie Mae
5.000% due 05/01/2036 - 11/01/2037		37,102		36,214
5.500% due 12/01/2033 - 01/01/2038		532,418		531,910
6.000% due 07/01/2021 - 10/01/2037		99,852		101,534
6.063% due 10/01/2044		356		358
6.064% due 09/01/2044		321		323
6.500% due 01/01/2038		64,500		66,304
Freddie Mac
5.000% due 02/15/2020 - 06/01/2037		8,012		7,991
5.145% due 09/25/2031		151		151
5.500% due 09/01/2037		200		200
6.000% due 11/01/2036 - 09/01/2037		63,501		64,463
Ginnie Mae
5.500% due 06/15/2036 (f)		3,925		3,954
5.500% due 07/15/2037		992		999
6.500% due 01/15/2037 - 08/15/2037		3,556		3,673
6.500% due 07/15/2037 (f)		2,315		2,392
Total U.S. Government Agencies (Cost $809,855)				820,466
U.S. TREASURY OBLIGATIONS 125.1%
Treasury Inflation Protected Securities (b)
1.875% due 07/15/2013		22,978		23,685
1.875% due 07/15/2015		107		110
2.000% due 04/15/2012		15,649		16,224
2.000% due 01/15/2014		16,734		17,290
2.000% due 01/15/2016		6,316		6,483
2.000% due 01/15/2026		503,782		501,893
2.375% due 04/15/2011		13,082		13,639
2.375% due 01/15/2025		546,988		574,423
3.375% due 04/15/2032		2,354		3,016
3.625% due 04/15/2028		352,585		446,792
3.875% due 04/15/2029		212,223		280,864
U.S. Treasury Notes
4.625% due 02/29/2012		39,300		41,253
Total U.S. Treasury Obligations (Cost $1,907,255)				1,925,672
MORTGAGE-BACKED SECURITIES 1.4%
Arran Residential Mortgages Funding PLC
5.252% due 04/12/2036		311		311
Bear Stearns Adjustable Rate Mortgage Trust
4.125% due 03/25/2035		8,110		8,016
4.550% due 08/25/2035		4,440		4,374
Citigroup Mortgage Loan Trust, Inc.
4.098% due 08/25/2035		330		322
4.248% due 08/25/2035		1,952		1,914
4.748% due 08/25/2035		2,175		2,146
4.900% due 12/25/2035		333		329
Countrywide Home Loan Mortgage Pass-Through Trust
5.205% due 06/25/2035		515		504
GSR Mortgage Loan Trust
4.539% due 09/25/2035		2,966		2,944
Total Mortgage-Backed Securities (Cost $20,740)				20,860
ASSET-BACKED SECURITIES 0.1%
Lehman XS Trust
4.945% due 07/25/2046		1,266		1,255
Merrill Lynch Mortgage Investors, Inc.
4.925% due 04/25/2037		168		167
Residential Asset Securities Corp.
4.935% due 04/25/2036		35		35
Total Asset-Backed Securities (Cost $1,470)				1,457
SOVEREIGN ISSUES 0.0%
Russia Government International Bond
7.500% due 03/31/2030		100		114
Total Sovereign Issues (Cost $102)				114
FOREIGN CURRENCY-DENOMINATED ISSUES 3.5%
Brazilian Government International CPI Linked Bond
10.000% due 01/01/2012	BRL	3,800		1,946
Canadian Government Bond
3.000% due 12/01/2036 (b)	CAD	325		409
General Electric Capital Corp.
5.500% due 09/15/2067	EUR	3,400		4,827
6.500% due 09/15/2067	GBP	6,700		13,476
Green Valley Ltd.
8.376% due 01/10/2011	EUR	700		1,025
Japanese Government CPI Linked Bond
0.800% due 12/10/2015	JPY	502,500		4,452
1.100% due 12/10/2016		1,560,000		14,050
Pylon Ltd.
6.224% due 12/29/2008	EUR	700		1,022
8.841% due 12/29/2008		1,200		1,771
Royal Bank of Scotland Group PLC
7.092% due 10/29/2049		800		1,165
United Kingdom Gilt Inflation Linked Bond
2.500% due 05/20/2009	GBP	1,700		8,964
Total Foreign Currency-Denominated Issues (Cost $51,021)				53,107
SHORT-TERM INSTRUMENTS 9.2%
Certificates of Deposit 1.9%
Abbey National Treasury Services PLC
5.175% due 07/02/2008	$	14,100		14,104
Calyon Financial, Inc.
5.204% due 01/16/2009		4,800		4,793
Nordea Bank Finland PLC
5.188% due 12/01/2008		6,600		6,594
Royal Bank of Scotland Group PLC
4.734% due 03/26/2008		4,000		3,999
Societe Generale NY
4.806% due 03/26/2008		400		400
				29,890
Commercial Paper 2.6%
Abbey National Treasury Services PLC
4.250% due 01/07/2008		27,800		27,784
Freddie Mac
3.000% due 01/02/2008		11,900		11,898
				39,682
Repurchase Agreements 0.4%
Fixed Income Clearing Corp.
3.900% due 01/02/2008		5,994		5,994
(Dated 12/31/2007. Collateralized by Federal Home Loan Bank 2.750% due 03/14/2008 valued at $6,115. Repurchase proceeds are $5,995.)
U.S. Treasury Bills 4.3%
2.890% due 02/28/2008 - 03/13/2008 (a)(c)(d)(g)		66,546		66,179
Total Short-Term Instruments (Cost $141,799)				141,745
Purchased Options (i) 0.6% (Cost $5,581)				9,648
Total Investments 209.2% (Cost $3,180,294)			$	3,220,531
Written Options (j) (0.8%) (Premiums $8,087)				(12,469	)
Other Assets and Liabilities (Net) (108.4%)				(1,668,769	)
Net Assets (e) 100.0%			$	1,539,293

Notes to Schedule of Investments (amounts in thousands*, except number of contracts):

* A zero balance may reflect actual amounts rounding to less than one thousand.

(a) Coupon represents a weighted average rate.

(b) Principal amount of security is adjusted for inflation.

(c) Securities with an aggregate market value of $13,135 have been pledged as collateral for swap and swaption contracts on December 31, 2007.

(d) Securities with an aggregate market value of $49,641 have been pledged as collateral for delayed-delivery securities on December 31, 2007.

(e) As of December 31, 2007, portfolio securities with an aggregate value of $31,211 and derivative instruments with an aggregate depreciation of ($2,844) were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(f) The average amount of borrowings outstanding during the period ended December 31, 2007 was $5,000 at a weighted average interest rate of 4.600%. On December 31, 2007, securities valued at $6,346 were pledged as collateral for reverse repurchase agreements.

(g) Securities with an aggregate market value of $2,407 and cash of $10,300 have been segregated with the custodian to cover margin requirements for the following open futures contracts on December 31, 2007:

Description	Type	Expiration Month	# of Contracts		Unrealized Appreciation/ (Depreciation)
90-Day Euribor December Futures	Long	12/2008	805	$	509
90-Day Euribor June Futures	Long	06/2009	115		177
90-Day Euribor March Futures	Long	03/2009	115		157
90-Day Euribor September Futures	Short	09/2008	65		44
90-Day Eurodollar December Futures	Long	12/2008	952		3,786
90-Day Eurodollar June Futures	Long	06/2008	517		1,659
90-Day Eurodollar June Futures	Long	06/2009	945		3,763
90-Day Eurodollar March Futures	Long	03/2008	161		348
90-Day Eurodollar March Futures	Long	03/2009	2,789		9,844
90-Day Eurodollar September Futures	Long	09/2008	893		2,389
90-Day Eurodollar September Futures	Long	09/2009	315		837
Euro-Bund 10-Year Bond March Futures	Short	03/2008	256		813
Japan Government 10-Year Bond March Futures	Long	03/2008	48		283
U.S. Treasury 5-Year Note March Futures	Short	03/2008	627		(486	)
U.S. Treasury 10-Year Note March Futures	Short	03/2008	46		1
U.S. Treasury 30-Year Bond March Futures	Short	03/2008	3,187		2,899
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2008	45		29
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2008	526		455
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2009	45		32
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2008	409		(12	)
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2009	30		23
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2008	311		395
				$	27,945

(h) Swap agreements outstanding on December 31, 2007:

Credit Default Swaps on Securities

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate	Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
Bank of America	GMAC LLC 6.875% due 08/28/2012	Sell	6.300%	09/20/2012	$	700	$	(21)
Bank of America	GMAC LLC 6.875% due 08/28/2012	Sell	7.000%	09/20/2012		1,300		(16)
Bank of America	Sherwin-Williams Co. 7.375% due 02/01/2027	Buy	(0.430%)	12/20/2012		1,000		0
Barclays Bank PLC	Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	3.800%	09/20/2012		400		(33)
Barclays Bank PLC	GMAC LLC 6.875% due 08/28/2012	Sell	1.400%	09/20/2008		1,400		(62)
Barclays Bank PLC	GMAC LLC 6.875% due 08/28/2012	Sell	3.050%	09/20/2012		500		(57)
Barclays Bank PLC	Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.770%	09/20/2012		1,400		7
Barclays Bank PLC	Panama Government International Bond 8.875% due 09/30/2027	Sell	0.300%	12/20/2008		4,600		(7)
Barclays Bank PLC	Peru Government International Bond 8.750% due 11/21/2033	Sell	0.350%	12/20/2008		3,200		(3)
Barclays Bank PLC	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.330%	12/20/2008		3,200		(7)
Barclays Bank PLC	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.780%	12/20/2008		3,200		(8)
Barclays Bank PLC	Vnesheconom 0.000% due 07/12/2009	Sell	0.650%	11/20/2008		1,800		(10)
Bear Stearns & Co., Inc.	Kimberly-Clark Corp. 6.875% due 02/15/2014	Buy	(0.320%)	12/20/2012		3,400		(1)
BNP Paribas Bank	Kroger Co. 5.500% due 02/01/2013	Buy	(0.360%)	12/20/2012		900		(1)
BNP Paribas Bank	Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	1.120%	09/20/2012		1,000		(1)
BNP Paribas Bank	Safeway, Inc. 5.800% due 08/15/2012	Buy	(0.340%)	12/20/2012		1,100		(1)
BNP Paribas Bank	Whirlpool Corp. 7.750% due 07/15/2016	Buy	(0.680%)	12/20/2012		1,000		1
Citibank N.A.	Anheuser-Busch Cos., Inc. 5.625% due 10/01/2010	Buy	(0.250%)	12/20/2012		1,000		1
Citibank N.A.	Bear Stearns Cos., Inc. 5.300% due 10/30/2015	Sell	0.720%	09/20/2012		1,200		(53)
Citibank N.A.	Clorox Co. 6.125% due 02/01/2011	Buy	(0.470%)	12/20/2012		900		0
Citibank N.A.	GMAC LLC 6.875% due 08/28/2012	Buy	(5.000%)	09/20/2012		2,100		134
Credit Suisse USA, Inc.	Chesapeake Energy Corp. 6.875% due 01/15/2016	Sell	0.970%	06/20/2012		400		(13)
Credit Suisse USA, Inc.	Chesapeake Energy Corp. 6.875% due 01/15/2016	Sell	1.010%	06/20/2012		400		(12)
Credit Suisse USA, Inc.	Chesapeake Energy Corp. 6.875% due 01/15/2016	Sell	1.040%	06/20/2012		300		(9)
Credit Suisse USA, Inc.	Chesapeake Energy Corp. 6.875% due 01/15/2016	Sell	1.550%	09/20/2012		500		(6)
Credit Suisse USA, Inc.	Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.740%	09/20/2012		1,500		5
Credit Suisse USA, Inc.	Marriott International, Inc. 4.625% due 06/15/2012	Buy	(0.640%)	12/20/2012		1,100		1
Credit Suisse USA, Inc.	Multiple Reference Entities of Gazprom	Sell	1.000%	11/20/2008		1,300		(2)
Deutsche Bank AG	GMAC LLC 6.875% due 08/28/2012	Buy	(4.250%)	09/20/2008		600		14
Deutsche Bank AG	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.510%	12/20/2008		6,400		(16)
Deutsche Bank AG	Masco Corp. 5.875% due 07/15/2012	Buy	(0.840%)	12/20/2012		2,500		70
Deutsche Bank AG	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.325%	12/20/2008		3,000		(7)
Deutsche Bank AG	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.790%	12/20/2008		3,000		(7)
Goldman Sachs & Co.	AutoZone, Inc. 5.875% due 10/15/2012	Buy	(0.529%)	12/20/2012		500		(3)
Goldman Sachs & Co.	Bear Stearns Cos., Inc. 5.300% due 10/30/2015	Buy	(1.780%)	12/20/2012		1,000		1
Goldman Sachs & Co.	Chesapeake Energy Corp. 6.875% due 01/15/2016	Sell	1.380%	09/20/2012		1,000		(19)
Goldman Sachs & Co.	ConAgra Foods, Inc. 7.000% due 10/01/2028	Buy	(0.299%)	12/20/2012		600		0
Goldman Sachs & Co.	Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	1.400%	09/20/2008		3,600		(120)
Goldman Sachs & Co.	GMAC LLC 6.875% due 08/28/2012	Sell	3.400%	06/20/2011		1,900		(194)
Goldman Sachs & Co.	GMAC LLC 6.875% due 08/28/2012	Sell	3.050%	09/20/2012		2,400		(274)
Goldman Sachs & Co.	Marriott International, Inc. 4.625% due 06/15/2012	Buy	(0.640%)	12/20/2012		1,900		2
Goldman Sachs & Co.	Newell Rubbermaid, Inc. 6.350% until 07/15/2008 and variable thereafter, due 07/15/2028	Buy	(0.319%)	12/20/2012		600		1
Goldman Sachs & Co.	Nordstrom, Inc. 6.950% due 03/15/2028	Buy	(0.270%)	09/20/2012		3,100		32
Goldman Sachs & Co.	Nordstrom, Inc. 6.950% due 03/15/2028	Buy	(0.260%)	09/20/2012		2,800		31
HSBC Bank USA	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.240%	02/20/2008		3,000		2
JPMorgan Chase & Co.	Bear Stearns Cos., Inc. 5.300% due 10/30/2015	Sell	0.720%	09/20/2012		1,700		(75)
JPMorgan Chase & Co.	Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	3.850%	09/20/2012		800		(70)
JPMorgan Chase & Co.	Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	0.700%	09/20/2012		1,700		(34)
JPMorgan Chase & Co.	Merrill Lynch & Co., Inc. 5.000% due 01/15/2015	Buy	(0.930%)	12/20/2012		700		10
JPMorgan Chase & Co.	Merrill Lynch & Co., Inc. 5.000% due 01/15/2015	Buy	(0.920%)	12/20/2012		500		8
Lehman Brothers, Inc.	Chesapeake Energy Corp. 6.875% due 01/15/2016	Sell	1.420%	09/20/2012		1,200		(21)
Lehman Brothers, Inc.	GMAC LLC 6.875% due 08/28/2012	Sell	1.425%	09/20/2008		2,200		(97)
Lehman Brothers, Inc.	Peru Government International Bond 9.125% due 02/21/2012	Sell	0.370%	12/20/2008		3,000		(2)
Lehman Brothers, Inc.	VF Corp. 8.500% due 10/01/2010	Buy	(0.449%)	12/20/2012		300		(1)
Morgan Stanley	Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	3.800%	09/20/2012		1,800		(159)
Morgan Stanley	GMAC LLC 6.875% due 08/28/2012	Sell	6.850%	06/20/2012		1,100		(20)
Morgan Stanley	Marriott International, Inc. 4.625% due 06/15/2012	Buy	(0.630%)	12/20/2012		6,400		10
Morgan Stanley	Nordstrom, Inc. 6.950% due 03/15/2028	Buy	(0.610%)	12/20/2012		800		(3)
Morgan Stanley	Panama Government International Bond 8.875% due 09/30/2027	Sell	0.300%	12/20/2008		1,600		(2)
Morgan Stanley	Staples, Inc. 7.375% due 10/01/2012	Buy	(0.700%)	12/20/2012		800		(2)
Morgan Stanley	TJX Cos., Inc. 7.450% due 12/15/2009	Buy	(0.460%)	12/20/2012		900		0
Royal Bank of Scotland Group PLC	Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	0.660%	09/20/2012		1,400		(31)
UBS Warburg LLC	Merrill Lynch & Co., Inc. 5.000% due 01/15/2015	Buy	(0.920%)	12/20/2012		1,400		21
							$	(1,129)

Credit Default Swaps on Credit Indices

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate	Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
Bank of America	Dow Jones CDX N.A. IG8 Index	Buy	(0.350%)	06/20/2012	$	3,800	$	27
Bank of America	Dow Jones CDX N.A. IG9 Index	Buy	(0.800%)	12/20/2017		4,900		(6)
Barclays Bank PLC	Dow Jones CDX N.A. HY8 Index	Buy	(2.750%)	06/20/2012		4,400		18
Barclays Bank PLC	Dow Jones CDX N.A. IG9 Index	Buy	(0.800%)	12/20/2017		12,900		(19)
Bear Stearns & Co., Inc.	Dow Jones CDX N.A. HY8 Index	Buy	(2.750%)	06/20/2012		36,690		447
Goldman Sachs & Co.	Dow Jones CDX N.A. IG9 Index	Buy	(0.800%)	12/20/2017		5,000		(8)
JPMorgan Chase & Co.	Dow Jones CDX N.A. IG9 Index	Sell	0.600%	12/20/2012		4,200		(12)
JPMorgan Chase & Co.	Dow Jones CDX N.A. IG9 Index	Buy	(0.800%)	12/20/2017		2,300		(3)
Lehman Brothers, Inc.	Dow Jones CDX N.A. HY9 Index	Sell	3.330%	12/20/2012		18,100		105
Lehman Brothers, Inc.	Dow Jones CDX N.A. IG9 Index	Buy	(0.600%)	12/20/2012		15,000		(60)
Lehman Brothers, Inc.	Dow Jones CDX N.A. IG9 Index	Buy	(0.800%)	12/20/2017		4,400		(8)
Merrill Lynch & Co., Inc.	Dow Jones CDX N.A. IG9 Index	Buy	(0.600%)	12/20/2012		28,600		347
Morgan Stanley	Dow Jones CDX N.A. IG9 Index	Buy	(0.600%)	12/20/2012		28,600		347
Morgan Stanley	Dow Jones CDX N.A. IG9 Index	Buy	(0.800%)	12/20/2017		5,400		(4)
UBS Warburg LLC	Dow Jones CDX N.A. HY8 Index	Buy	(2.750%)	06/20/2012		18,400		(16)
							$	1,155

⁽¹⁾ If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will pay to the buyer of the protection an amount up to the notional value of the swap and in certain instances, take delivery of the security. As a buyer of protection, the Fund will generally receive from the seller of protection an amount up to the notional amount of the swap if a credit event occurs.

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate	Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
Barclays Bank PLC	6-Month Australian Bank Bill	Pay	7.000%	12/15/2009	AUD	33,100	$	(193)
Barclays Bank PLC	6-Month Australian Bank Bill	Receive	6.750%	12/15/2017		4,100		120
Deutsche Bank AG	6-Month Australian Bank Bill	Pay	6.500%	01/15/2010		28,600		(485)
Deutsche Bank AG	6-Month Australian Bank Bill	Pay	7.000%	06/15/2010		89,800		(893)
JPMorgan Chase & Co.	6-Month Australian Bank Bill	Pay	6.500%	01/15/2010		4,900		(85)
Morgan Stanley	6-Month Australian Bank Bill	Pay	7.000%	12/15/2009		35,200		(207)
Morgan Stanley	6-Month Australian Bank Bill	Receive	6.750%	12/15/2017		4,400		130
Royal Bank of Canada	6-Month Australian Bank Bill	Pay	6.500%	01/15/2010		15,100		(253)
Barclays Bank PLC	BRL-CDI-Compounded	Pay	10.680%	01/02/2012	BRL	31,100		(708)
Morgan Stanley	BRL-CDI-Compounded	Pay	10.115%	01/02/2012		9,400		(320)
UBS Warburg LLC	BRL-CDI-Compounded	Pay	10.575%	01/02/2012		55,600		(1,816)
Bank of America	3-Month Canadian Bank Bill	Receive	5.000%	06/20/2012	CAD	5,100		18
Bank of America	3-Month Canadian Bank Bill	Pay	5.500%	06/20/2017		3,000		0
Barclays Bank PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.103%	10/15/2010	EUR	3,700		46
Barclays Bank PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.138%	01/19/2016		10,700		(33)
Barclays Bank PLC	6-Month EUR-LIBOR	Receive	5.000%	03/19/2018		3,400		31
BNP Paribas Bank	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.090%	10/15/2010		3,800		23
BNP Paribas Bank	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.040%	02/21/2011		3,400		1
Deutsche Bank AG	6-Month EUR-LIBOR	Pay	4.500%	03/19/2010		12,200		(2)
Goldman Sachs & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.995%	03/15/2012		3,000		(44)
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.261%	07/14/2011		100		2
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.028%	10/15/2011		7,600		(17)
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.353%	10/15/2016		7,200		7
Morgan Stanley	6-Month EUR-LIBOR	Pay	4.500%	03/19/2010		12,200		(2)
Morgan Stanley	6-Month EUR-LIBOR	Receive	4.000%	06/15/2017		6,800		604
UBS Warburg LLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.146%	10/15/2010		5,500		57
UBS Warburg LLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.095%	10/15/2011		32,400		92
UBS Warburg LLC	Eurostat Eurozone HICP Ex Tobacco Unrevised Series NSA Index	Receive	2.275%	10/15/2016		8,100		58
UBS Warburg LLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.350%	10/15/2016		8,100		10
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	5.000%	06/15/2009	GBP	59,900		(747)
Barclays Bank PLC	United Kingdom RPI Index	Pay	3.250%	12/14/2017		900		6
Barclays Bank PLC	6-Month GBP-LIBOR	Receive	5.000%	03/20/2018		6,700		(547)
Barclays Bank PLC	6-Month GBP-LIBOR	Receive	4.000%	12/15/2035		6,000		329
Credit Suisse USA, Inc.	6-Month GBP-LIBOR	Pay	5.000%	09/15/2010		4,700		54
Credit Suisse USA, Inc.	6-Month GBP-LIBOR	Receive	4.000%	12/15/2035		1,900		103
Deutsche Bank AG	6-Month GBP-LIBOR	Pay	6.000%	03/20/2010		51,900		922
Goldman Sachs & Co.	6-Month GBP-LIBOR	Receive	5.000%	09/15/2015		6,000		(136)
HSBC Bank USA	6-Month GBP-LIBOR	Receive	4.250%	06/12/2036		4,800		512
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Pay	5.000%	09/15/2010		3,200		40
Royal Bank of Scotland Group PLC	United Kingdom RPI Index	Pay	3.183%	12/19/2017		3,900		(9)
Royal Bank of Scotland Group PLC	United Kingdom RPI Index	Pay	3.440%	09/10/2027		2,100		(24)
UBS Warburg LLC	United Kingdom RPI Index	Pay	2.548%	11/14/2016		7,500		(157)
Barclays Bank PLC	6-Month JPY-LIBOR	Receive	2.000%	06/20/2017	JPY	2,080,000		(27)
Deutsche Bank AG	6-Month JPY-LIBOR	Receive	2.000%	06/20/2017		510,000		(5)
Goldman Sachs & Co.	6-Month JPY-LIBOR	Receive	2.000%	06/20/2017		510,000		(6)
Morgan Stanley	6-Month JPY-LIBOR	Pay	1.000%	03/18/2009		3,500,000		98
Royal Bank of Scotland Group PLC	6-Month JPY-LIBOR	Receive	2.000%	06/20/2017		1,220,000		(69)
Barclays Bank PLC	28-Day Mexico Interbank TIIE Banxico	Pay	8.720%	09/05/2016	MXN	53,000		57
Barclays Bank PLC	28-Day Mexico Interbank TIIE Banxico	Pay	8.330%	02/14/2017		20,400		(26)
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.170%	11/04/2016		199,000		(481)
Barclays Bank PLC	3-Month USD-LIBOR	Pay	4.000%	06/18/2010	$	97,400		198
Barclays Bank PLC	3-Month USD-LIBOR	Pay	5.000%	06/18/2010		26,800		83
Barclays Bank PLC	3-Month USD-LIBOR	Pay	4.000%	06/18/2013		4,400		58
Barclays Bank PLC	3-Month USD-LIBOR	Receive	5.000%	06/18/2018		123,800		849
Deutsche Bank AG	3-Month USD-LIBOR	Pay	4.000%	06/18/2010		55,600		182
Deutsche Bank AG	3-Month USD-LIBOR	Receive	5.000%	06/18/2015		9,700		6
Deutsche Bank AG	3-Month USD-LIBOR	Receive	5.000%	12/20/2021		5,500		(453)
Deutsche Bank AG	3-Month USD-LIBOR	Receive	5.000%	12/20/2026		5,900		(563)
Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000%	06/18/2038		2,600		61
Goldman Sachs & Co.	3-Month USD-LIBOR	Pay	4.000%	06/18/2010		2,400		7
Merrill Lynch & Co., Inc.	3-Month USD-LIBOR	Receive	5.000%	06/18/2018		4,800		(23)
Morgan Stanley	3-Month USD-LIBOR	Pay	4.000%	06/18/2010		112,900		234
Morgan Stanley	3-Month USD-LIBOR	Receive	5.000%	06/18/2018		33,800		(634)
Morgan Stanley	3-Month USD-LIBOR	Pay	5.000%	06/18/2038		56,800		1,606
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.000%	06/18/2010		3,600		16
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.000%	06/18/2013		13,500		(114)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000%	06/18/2015		17,700		(275)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000%	06/18/2018		33,500		(53)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000%	06/18/2038		40,000		1,045
UBS Warburg LLC	3-Month USD-LIBOR	Pay	5.000%	06/18/2009		150,000		2,457
							$	715

(i) Purchased options outstanding on December 31, 2007:

Options on Exchange-Traded Futures Contracts

Description		Exercise Price	Expiration Date	# of Contracts		Cost		Value
Call - CBOT U.S. Treasury 5-Year Note March Futures	$	122.000	02/22/2008	428	$	8	$	7
Call - CBOT U.S. Treasury 5-Year Note March Futures		126.000	02/22/2008	172		3		3
Call - CBOT U.S. Treasury 5-Year Note March Futures		127.000	02/22/2008	27		1		0
Call - CBOT U.S. Treasury 10-Year Note March Futures		136.000	02/22/2008	381		7		6
Call - CBOT U.S. Treasury 10-Year Note March Futures		137.000	02/22/2008	1,046		20		16
Call - CBOT U.S. Treasury 10-Year Note March Futures		138.000	02/22/2008	496		9		8
Call - CBOT U.S. Treasury 10-Year Note March Futures		141.000	02/22/2008	3,100		59		48
Call - CBOT U.S. Treasury 10-Year Note March Futures		142.000	02/22/2008	87		2		1
Call - CBOT U.S. Treasury 30-Year Bond March Futures		139.000	02/22/2008	309		6		5
					$	114	$	94

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate	Expiration Date		Notional Amount		Cost		Value
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750%	03/31/2008	$	125,000	$	700	$	2,530
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750%	09/26/2008		27,900		141		579
								$	841	$	3,109

Foreign Currency Options

Description		Exercise Price	Expiration Date		Notional Amount		Cost		Value
Call - OTC Euro versus U.S. dollar	$	1.353	06/26/2008	EUR	9,500	$	299	$	1,089
Put - OTC Euro versus U.S. dollar		1.353	06/26/2008		9,500		299		72
Call - OTC Euro versus U.S. dollar		1.392	07/08/2010		12,200		643		1,138
Put - OTC Euro versus U.S. dollar		1.392	07/08/2010		12,200		643		559
Call - OTC U.S. dollar versus Japanese yen	JPY	118.150	06/23/2008	$	43,500		1,145		164
Put - OTC U.S. dollar versus Japanese yen		118.150	06/23/2008		43,500		1,145		3,394
Call - OTC U.S. dollar versus Japanese yen		111.000	12/01/2008		4,000		72		28
						$	4,246	$	6,444

Options on Securities

Description		Strike Price	Expiration Date		Notional Amount		Cost		Value
Call - OTC Fannie Mae 6.000% due 03/01/2038	$	105.000	03/05/2008	$	40,000	$	5	$	0
Call - OTC Freddie Mac 6.000% due 02/01/2038		104.000	02/05/2008		721		0		0
Call - OTC Treasury Inflation Protected Securities 2.000% due 07/15/2014		120.000	03/14/2008		80,000		19		0
Call - OTC Treasury Inflation Protected Securities 3.000% due 07/15/2012		120.000	03/14/2008		50,000		12		0
Put - OTC Fannie Mae 5.500% due 02/01/2038		88.500	02/05/2008		156,600		18		0
Put - OTC Fannie Mae 6.500% due 03/01/2038		94.000	03/05/2008		64,500		8		0
Put - OTC Treasury Inflation Protected Securities 2.000% due 01/15/2026		72.500	03/17/2008		50,000		12		0
Put - OTC Treasury Inflation Protected Securities 2.000% due 01/15/2026		83.000	01/28/2008		300,000		70		0
Put - OTC Treasury Inflation Protected Securities 2.375% due 01/15/2025		70.000	03/05/2008		135,000		32		0
Put - OTC Treasury Inflation Protected Securities 2.375% due 01/15/2025		78.000	03/17/2008		375,000		88		1
Put - OTC Treasury Inflation Protected Securities 2.375% due 01/15/2025		73.000	03/14/2008		100,000		23		0
Put - OTC Treasury Inflation Protected Securities 3.625% due 04/15/2028		83.000	01/16/2008		40,000		9		0
Put - OTC Treasury Inflation Protected Securities 3.625% due 04/15/2028		88.000	01/28/2008		300,000		70		0
Put - OTC Treasury Inflation Protected Securities 3.875% due 04/15/2029		90.000	03/14/2008		60,000		14		0
						$	380	$	1

(j) Written options outstanding on December 31, 2007:

Options on Exchange-Traded Futures Contracts

Description		Exercise Price	Expiration Date	# of Contracts		Premium		Value
Call - CBOT U.S. Treasury 10-Year Note March Futures	$	111.000	02/22/2008	313	$	125	$	890

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate	Expiration Date		Notional Amount		Premium		Value
Call -OTC 30- Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Receive	5.670%	08/07/2008	$	5,300	$	256	$	575
Put - OTC 30-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Pay	5.670%	08/07/2008		5,300		193		74
Call -OTC 10- Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Receive	5.250%	09/15/2008		10,000		266		521
Put - OTC 10-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Pay	5.250%	09/15/2008		10,000		266		124
Call -OTC 30- Year Interest Rate Swap	Citibank N.A.	3-Month USD-LIBOR	Receive	5.670%	08/07/2008		6,700		280		727
Put - OTC 30-Year Interest Rate Swap	Citibank N.A.	3-Month USD-LIBOR	Pay	5.670%	08/07/2008		6,700		283		93
Call -OTC 10- Year Interest Rate Swap	Goldman Sachs & Co.	3-Month USD-LIBOR	Receive	5.250%	09/15/2008		11,100		279		579
Put - OTC 10-Year Interest Rate Swap	Goldman Sachs & Co.	3-Month USD-LIBOR	Pay	5.250%	09/15/2008		11,100		269		137
Call - OTC 7- Year Interest Rate Swap	Goldman Sachs & Co.	3-Month USD-LIBOR	Receive	5.365%	09/20/2010		10,000		322		451
Put - OTC 7-Year Interest Rate Swap	Goldman Sachs & Co.	3-Month USD-LIBOR	Pay	5.365%	09/20/2010		10,000		321		268
Call -OTC 30- Year Interest Rate Swap	JPMorgan Chase & Co.	3-Month USD-LIBOR	Receive	5.670%	08/07/2008		9,400		326		1,021
Put - OTC 30-Year Interest Rate Swap	JPMorgan Chase & Co.	3-Month USD-LIBOR	Pay	5.670%	08/07/2008		9,400		465		131
Call-OTC 10- Year Interest Rate Swap	JPMorgan Chase & Co.	3-Month USD-LIBOR	Receive	5.250%	09/15/2008		10,000		296		521
Put - OTC 10-Year Interest Rate Swap	JPMorgan Chase & Co.	3-Month USD-LIBOR	Pay	5.250%	09/15/2008		10,000		201		124
Call - OTC 5- Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.950%	03/31/2008		54,000		664		1,972
Call -OTC 10- Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.250%	09/15/2008		8,000		201		417
Put - OTC 10-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.250%	09/15/2008		8,000		194		99
Call - OTC 5- Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.950%	09/26/2008		12,000		136		437
Call - OTC 7- Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.365%	09/20/2010		30,000		859		1,353
Put - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.365%	09/20/2010		30,000		1,066		803
								$	7,143	$	10,427

Foreign Currency Options

Description		Exercise Price	Expiration Date		Notional Amount		Premium		Value
Call - OTC U.S. dollar versus Japanese yen	JPY	118.150	06/23/2008	$	12,900	$	162	$	49
Put - OTC U.S. dollar versus Japanese yen		118.150	06/23/2008		12,900		591		1,007
Put - OTC U.S. dollar versus Japanese yen		100.000	12/01/2008		4,000		66		96
						$	819	$	1,152

(k) Short sales outstanding on December 31, 2007:

Description	Coupon	Maturity Date		Principal Amount		Proceeds		Value(2)
Fannie Mae	5.000%	01/01/2038	$	37,500	$	36,938	$	36,592
Fannie Mae	5.500%	01/01/2038		100,000		99,566		99,891
Fannie Mae	6.000%	01/01/2023		14,300		14,568		14,633
Fannie Mae	6.000%	01/01/2038		44,800		45,528		45,493
Freddie Mac	5.000%	01/01/2038		2,100		2,062		2,049
Freddie Mac	6.000%	01/01/2038		64,700		65,702		65,660
Ginnie Mae	5.500%	01/01/2038		5,000		4,994		5,037
Ginnie Mae	6.500%	01/01/2038		6,000		6,201		6,196
Treasury Inflation Protected Securities	1.625%	01/15/2015		49,963		49,421		50,213
Treasury Inflation Protected Securities	2.000%	07/15/2014		82,941		84,397		85,794
Treasury Inflation Protected Securities	2.375%	01/15/2017		29,697		31,254		31,378
Treasury Inflation Protected Securities	2.375%	01/15/2027		154,353		159,101		163,438
Treasury Inflation Protected Securities	2.500%	07/15/2016		3,330		3,494		3,555
Treasury Inflation Protected Securities	2.625%	07/15/2017		24,638		26,127		26,620
Treasury Inflation Protected Securities	3.000%	07/15/2012		68,708		73,775		74,520
U.S. Treasury Bonds	3.875%	10/31/2012		45,000		45,320		46,299
U.S. Treasury Bonds	4.750%	08/15/2017		17,100		17,954		18,450
U.S. Treasury Bonds	4.750%	02/15/2037		5,000		5,165		5,333
U.S. Treasury Notes	4.125%	08/31/2012		20,700		21,197		21,629
U.S. Treasury Notes	4.250%	11/15/2013		7,000		7,153		7,304
U.S. Treasury Notes	4.750%	05/15/2014		0		1		0
					$	799,918	$	810,084

⁽²⁾ Market value includes $1,657 of interest payable on short sales.

(l) Foreign currency contracts outstanding on December 31, 2007:

Type	Currency	Principal Amount Covered by Contract	Settlement Month		Unrealized Appreciation		Unrealized (Depreciation)		Net Unrealized Appreciation/ (Depreciation)
Buy	BRL	20,728	03/2008	$	735	$	0	$	735
Buy		62,384	07/2008		2,773		0		2,773
Sell		3,739	07/2008		0		(31)		(31)
Sell	CAD	686	01/2008		0		(15)		(15)
Sell	CHF	1,305	03/2008		6		0		6
Buy	CNY	142,230	01/2008		440		0		440
Sell		142,230	01/2008		0		(235)		(235)
Buy		149,665	03/2008		327		0		327
Sell		149,665	03/2008		0		(354)		(354)
Buy	EUR	317	01/2008		0		(3)		(3)
Sell		19,389	01/2008		43		(18)		26
Buy	GBP	177	01/2008		0		0		0
Sell		23,719	01/2008		604		0		604
Buy	JPY	1,947,362	02/2008		70		0		70
Sell		6,317,113	02/2008		127		(2)		124
Buy	KRW	304,960	01/2008		0		(9)		(9)
Buy		9,599,615	05/2008		37		0		37
Buy	MXN	250,407	03/2008		10		(93)		(83)
Buy		286,178	07/2008		219		0		219
Sell		329,115	07/2008		192		0		192
Buy	MYR	10,139	05/2008		72		0		72
Buy	PLN	14,904	07/2008		599		0		599
Buy	RUB	299,617	01/2008		481		0		481
Sell		299,617	01/2008		23		(122)		(99)
Buy		127,635	11/2008		0		(23)		(23)
Buy	SGD	503	02/2008		13		0		13
Buy		7,379	05/2008		228		0		228
				$	6,999	$	(905)	$	6,094

See accompanying notes

Schedule of Investments

Real Return Fund

December 31, 2007 (Unaudited)

	Principal Amount (000s)		Value (000s)
BANK LOAN OBLIGATIONS 0.9%
Daimler Finance North America LLC
9.000% due 08/03/2012	$	60,500	$	58,328
Ford Motor Co.
8.000% due 12/15/2013		4,962		4,604
Georgia-Pacific Corp.
6.580% due 12/20/2012		1,123		1,072
6.831% due 12/20/2012		1,333		1,273
6.896% due 12/20/2012		11,333		10,817
Shackleton Re Ltd.
12.875% due 08/01/2008		9,000		8,955
13.000% due 08/01/2008		3,000		2,985
SLM Corp.
6.250% due 02/16/2008		16,000		15,942
Tribune Co.
7.396% due 05/30/2009		10,000		9,677
Total Bank Loan Obligations (Cost $114,165)				113,653
CORPORATE BONDS & NOTES 8.6%
Banking & Finance 6.9%
Allstate Life Global Funding Trusts CPI Linked Bond
3.810% due 03/01/2010		9,708		9,342
American Express Bank FSB
6.000% due 09/13/2017		25,600		25,790
American Express Centurion Bank
6.000% due 09/13/2017		26,600		26,797
American International Group, Inc.
5.850% due 01/16/2018		10,300		10,387
Barclays Bank PLC
5.450% due 09/12/2012		70,800		72,644
6.050% due 12/04/2017		19,600		19,786
7.434% due 09/29/2049		8,700		9,056
Bear Stearns Cos., Inc.
5.222% due 01/09/2008		1,100		1,100
6.950% due 08/10/2012		38,270		39,388
C10 Capital SPV Ltd.
6.722% due 12/31/2049		6,000		5,540
Calabash Re II Ltd.
13.391% due 01/08/2010		5,700		5,886
14.591% due 01/08/2010		2,500		2,676
15.891% due 01/08/2010		2,500		2,621
Capital One Financial Corp.
6.750% due 09/15/2017		28,000		26,902
CIT Group, Inc.
5.000% due 11/24/2008		25,000		24,749
Citigroup Capital XXI
8.300% due 12/21/2057		15,100		15,812
Citigroup Funding, Inc.
4.896% due 04/23/2009		6,300		6,264
Citigroup, Inc.
4.944% due 05/02/2008		14,100		14,097
5.024% due 01/30/2009		9,600		9,524
Danske Bank A/S
5.914% due 12/29/2049		7,000		6,632
East Lane Re Ltd.
11.911% due 05/06/2011		4,400		4,422
Export-Import Bank of Korea
5.460% due 10/04/2011		17,150		17,175
Foundation Re I Ltd.
9.005% due 11/24/2008		7,250		7,113
Foundation Re II Ltd.
11.655% due 11/26/2010		10,300		10,678
General Electric Capital Corp.
5.111% due 07/28/2008		3,500		3,502
5.171% due 03/04/2008		1,100		1,101
5.172% due 12/12/2008		12,700		12,697
GMAC LLC
6.034% due 09/23/2008		200		193
Goldman Sachs Group, Inc.
6.750% due 10/01/2037		65,400		64,280
HSBC Finance Corp. CPI Linked Bond
4.880% due 02/10/2009		2,000		1,974
JPMorgan Chase & Co.
4.938% due 06/25/2010		500		494
Kamp Re 2005 Ltd.
5.202% due 12/14/2010 (a)		5,000		3
Lehman Brothers Holdings, Inc.
6.200% due 09/26/2014		3,900		3,977
7.000% due 09/27/2027		4,500		4,579
Longpoint Re Ltd.
10.241% due 05/08/2010		11,200		11,497
Merna Reinsurance Ltd.
5.480% due 07/07/2010 (l)		28,400		27,833
Merrill Lynch & Co., Inc.
5.211% due 12/04/2009		500		485
6.400% due 08/28/2017		26,900		27,378
Metropolitan Life Global Funding I
4.945% due 05/17/2010		1,700		1,689
Morgan Stanley
4.925% due 05/07/2009		1,100		1,087
Mystic Re Ltd.
11.381% due 12/05/2008		6,900		6,984
14.081% due 12/05/2008		3,300		3,361
Nuveen Investments, Inc.
10.500% due 11/15/2015		22,300		22,328
Osiris Capital PLC
10.242% due 01/15/2010		1,700		1,721
Parametric Re Ltd.
9.661% due 05/19/2008		1,500		1,500
Phoenix Quake Ltd.
7.680% due 07/03/2008		50,550		50,664
Phoenix Quake Wind I Ltd.
7.680% due 07/03/2008		9,000		9,009
Phoenix Quake Wind II Ltd.
8.730% due 07/03/2008		10,750		10,493
Rabobank Nederland
5.262% due 01/15/2009		11,300		11,287
Redwood Capital IX Ltd.
7.643% due 01/09/2008		2,300		2,299
12.993% due 01/09/2008		2,200		2,199
Residential Reinsurance 2007 Ltd.
12.374% due 06/07/2010		5,200		5,368
15.374% due 06/07/2010		23,500		24,498
Royal Bank of Scotland Group PLC
9.118% due 03/31/2049		2,000		2,139
Santander Perpetual S.A. Unipersonal
6.671% due 10/29/2049		9,900		9,944
Shackleton Re Ltd.
12.960% due 02/07/2008		5,500		5,521
SLM Corp.
5.164% due 01/25/2008		2,300		2,297
Travelers Property Casualty Corp.
3.750% due 03/15/2008		7,000		6,977
UBS AG
5.875% due 12/20/2017		13,900		14,024
Unicredit Luxembourg Finance S.A.
5.142% due 10/24/2008		22,000		21,961
Ventas Realty LP
8.750% due 05/01/2009		2,000		2,060
Vita Capital II Ltd.
6.131% due 01/01/2010		3,500		3,455
6.631% due 01/01/2010		5,000		4,973
Vita Capital III Ltd.
6.351% due 01/01/2012		7,900		7,783
VTB Capital S.A.
5.494% due 08/01/2008		20,100		19,924
Wachovia Bank N.A.
5.194% due 12/02/2010		30,500		30,284
Wells Fargo & Co.
5.625% due 12/11/2017		1,200		1,203
Wells Fargo Capital X
5.950% due 12/15/2036		15,000		14,045
				835,451
Industrials 0.8%
Albertson’s LLC
6.950% due 08/01/2009		1,000		1,018
Amgen, Inc.
5.133% due 11/28/2008		2,000		1,998
C8 Capital SPV Ltd.
6.640% due 12/29/2049		7,100		6,751
Caesars Entertainment, Inc.
8.875% due 09/15/2008		5,930		6,162
ConocoPhillips Australia Funding Co.
5.343% due 04/09/2009		1,140		1,139
CSC Holdings, Inc.
7.250% due 07/15/2008		3,510		3,523
EchoStar DBS Corp.
5.750% due 10/01/2008		13,100		13,116
6.375% due 10/01/2011		2,000		1,981
General Electric Co.
5.186% due 12/09/2008		6,000		6,011
General Mills, Inc.
5.310% due 01/22/2010		600		596
HJ Heinz Co.
6.428% due 12/01/2008		20,000		20,365
Kraft Foods, Inc.
6.000% due 02/11/2013		13,200		13,586
6.125% due 02/01/2018		13,200		13,326
Mandalay Resort Group
9.500% due 08/01/2008		3,700		3,792
Time Warner, Inc.
5.109% due 11/13/2009		1,600		1,561
Transocean, Inc.
5.341% due 09/05/2008		500		498
				95,423
Utilities 0.9%
AT&T, Inc.
6.300% due 01/15/2038		1,100		1,121
BellSouth Corp.
4.240% due 04/26/2021		8,700		8,670
Cleveland Electric Illuminating Co.
6.860% due 10/01/2008		7,000		7,091
CMS Energy Corp.
7.750% due 08/01/2010		7,845		8,272
Embarq Corp.
7.082% due 06/01/2016		4,600		4,747
Enel Finance International S.A.
5.700% due 01/15/2013		60,100		61,085
Midwest Generation LLC
8.300% due 07/02/2009		10,463		10,620
Ohio Edison Co.
4.000% due 05/01/2008		10,000		9,959
Qwest Corp.
5.625% due 11/15/2008		200		200
				111,765
Total Corporate Bonds & Notes (Cost $1,039,409)				1,042,639
CONVERTIBLE BONDS & NOTES 0.4%
Chesapeake Energy Corp.
2.500% due 05/15/2037		44,475		49,645
Total Convertible Bonds & Notes (Cost $45,038)				49,645
MUNICIPAL BONDS & NOTES 0.5%
California State Tobacco Securitization Agency Revenue Bonds, Series 2002
5.625% due 06/01/2023		3,140		3,143
Chicago, Illinois General Obligation Bonds, (FSA Insured), Series 2006
6.728% due 01/01/2014		1,570		1,629
6.809% due 01/01/2014		930		958
District of Columbia Tobacco Settlement Financing Corporations Revenue Bonds, Series 2001
6.250% due 05/15/2024		8,125		8,327
Golden State, California Tobacco Securitization Corporations Revenue Bonds, Series 2007
5.125% due 06/01/2047		700		589
5.750% due 06/01/2047		6,300		5,883
New York City, New York Municipal Water Finance Authority Revenue Bonds, Series 2007
5.000% due 06/15/2038		8,100		8,421
New York City, New York Municipal Water Finance Authority Revenue Notes, Series 2006
6.869% due 12/15/2013		1,570		1,609
Ohio State Buckeye Tobacco Settlement Financing Authority Revenue Bonds, Series 2007
5.875% due 06/01/2047		8,500		8,118
6.000% due 06/01/2042		8,900		8,722
Puerto Rico Sales Tax Financing Corp. Revenue Bonds, (AMBAC Insured), Series 2007
0.000% due 08/01/2054		46,600		4,132
Rhode Island State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2002
6.000% due 06/01/2023		750		759
6.125% due 06/01/2032		740		741
Washington State Tobacco Settlement Authority Revenue Bonds, Series 2002
6.500% due 06/01/2026		400		417
West Virginia State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2007
7.467% due 06/01/2047		11,800		11,347
Total Municipal Bonds & Notes (Cost $62,859)				64,795
COMMODITY INDEX-LINKED NOTES 0.5%
Goldman Sachs Commodity Index Total Return 0.5%
Morgan Stanley
4.805% due 07/07/2008		61,000		61,115
Total Commodity Index-Linked Notes (Cost $61,000)				61,115
U.S. GOVERNMENT AGENCIES 60.7%
Fannie Mae
4.293% due 08/01/2035		403		410
4.500% due 07/15/2020		2,000		1,916
4.579% due 07/01/2035		554		565
4.641% due 04/01/2035		1,163		1,166
4.653% due 05/01/2035		1,442		1,433
4.839% due 06/01/2033		326		333
4.995% due 03/25/2036		3,531		3,520
5.000% due 06/25/2027 - 11/01/2037		425,038		415,006
5.500% due 11/01/2021 - 01/01/2038		2,888,851		2,886,151
6.000% due 07/01/2031 - 12/01/2037		1,486,797		1,509,688
6.063% due 06/01/2043 - 10/01/2044		3,318		3,331
6.064% due 09/01/2044		2,835		2,850
6.423% due 04/01/2032		189		191
6.500% due 06/25/2028 - 01/01/2038		298,627		306,988
6.775% due 04/01/2027		139		140
6.927% due 10/01/2031		486		492
Federal Housing Administration
7.430% due 12/01/2020		70		71
Freddie Mac
5.000% due 01/15/2024 - 11/01/2037		12,333		12,137
5.145% due 09/25/2031		1,737		1,737
5.300% due 01/09/2012		30,000		30,337
5.378% due 12/15/2030		6,396		6,394
5.500% due 05/15/2016 - 01/01/2038		1,084,118		1,082,142
6.000% due 01/01/2034 - 11/01/2037		988,315		1,003,282
6.063% due 10/25/2044		9,649		9,672
6.263% due 07/25/2044		764		764
6.500% due 01/25/2028		67		70
7.000% due 10/15/2030		291		298
Ginnie Mae
5.428% due 06/16/2031 - 03/16/2032		168		169
5.500% due 12/15/2036 - 09/15/2037		10,639		10,719
5.500% due 01/15/2037 - 04/15/2037 (g)		19,091		19,231
6.500% due 05/15/2028 - 04/15/2031		1,135		1,178
Total U.S. Government Agencies (Cost $7,231,833)				7,312,381
U.S. TREASURY OBLIGATIONS 101.9%
Treasury Inflation Protected Securities (c)
0.875% due 04/15/2010		1,063,542		1,060,302
1.625% due 01/15/2015		347,858		349,352
1.875% due 07/15/2013		1,045,048		1,077,217
1.875% due 07/15/2015		622,094		634,294
2.000% due 04/15/2012		375,580		389,371
2.000% due 01/15/2014		951,867		983,473
2.000% due 07/15/2014		430,634		445,067
2.000% due 01/15/2026		608,511		606,230
2.000% due 01/15/2016		120		123
2.375% due 01/15/2025		1,163,744		1,222,114
2.375% due 01/15/2027		218,312		230,933
2.500% due 07/15/2016		173,977		185,585
3.000% due 07/15/2012		1,228,047		1,330,417
3.375% due 01/15/2012		67,660		73,829
3.375% due 04/15/2032		27,217		34,868
3.500% due 01/15/2011		413,646		444,992
3.625% due 04/15/2028		919,530		1,165,217
3.875% due 01/15/2009		405,649		417,756
3.875% due 04/15/2029		692,216		916,105
4.250% due 01/15/2010		671,090		716,283
U.S. Treasury Bonds
5.375% due 02/15/2031		700		743
Total U.S. Treasury Obligations (Cost $12,119,307)				12,284,271
MORTGAGE-BACKED SECURITIES 1.9%
Banc of America Funding Corp.
4.621% due 02/20/2036		43,257		43,075
6.144% due 01/20/2047		536		528
Bear Stearns Adjustable Rate Mortgage Trust
4.125% due 03/25/2035		43,923		43,412
4.486% due 02/25/2034		583		576
4.550% due 08/25/2035		23,144		22,798
4.609% due 01/25/2034		3,796		3,760
4.779% due 01/25/2034		2,208		2,180
4.876% due 01/25/2035		8,615		8,613
6.267% due 11/25/2030		375		374
Bear Stearns Alt-A Trust
5.368% due 05/25/2035		245		243
5.527% due 09/25/2035		342		337
Chase Mortgage Finance Corp.
4.356% due 02/25/2037		934		920
Citigroup Mortgage Loan Trust, Inc.
4.098% due 08/25/2035		2,391		2,335
4.248% due 08/25/2035		9,996		9,801
4.748% due 08/25/2035		10,985		10,838
4.900% due 12/25/2035		2,533		2,500
Countrywide Home Loan Mortgage Pass-Through Trust
5.205% due 06/25/2035		12,021		11,765
First Republic Mortgage Loan Trust
5.328% due 08/15/2032		161		160
GSR Mortgage Loan Trust
4.539% due 09/25/2035		32,628		32,386
Harborview Mortgage Loan Trust
5.205% due 03/19/2037		1,977		1,857
5.289% due 06/20/2035		1,130		1,088
JPMorgan Mortgage Trust
5.023% due 02/25/2035		410		402
MASTR Adjustable Rate Mortgages Trust
4.660% due 12/25/2033		555		545
Mellon Residential Funding Corp.
5.439% due 10/20/2029		371		360
5.468% due 12/15/2030		642		630
Merrill Lynch Floating Trust
5.098% due 06/15/2022		3,031		2,941
MLCC Mortgage Investors, Inc.
5.408% due 03/15/2025		171		167
Morgan Stanley Capital I
6.480% due 06/03/2030		282		282
Structured Asset Mortgage Investments, Inc.
5.215% due 07/19/2035		76		72
Washington Mutual, Inc.
3.027% due 08/25/2033		6,000		5,963
4.229% due 03/25/2034		778		770
5.125% due 11/25/2045		7,295		6,892
5.405% due 12/25/2027		818		783
5.483% due 02/27/2034		3,339		3,270
Total Mortgage-Backed Securities (Cost $222,390)				222,623
ASSET-BACKED SECURITIES 0.4%
Bear Stearns Asset-Backed Securities Trust
5.195% due 01/25/2036		1,331		1,305
5.315% due 03/25/2043		175		174
Equity One Asset-Backed Securities, Inc.
5.165% due 04/25/2034		161		149
First USA Credit Card Master Trust
5.156% due 04/18/2011		2,000		2,001
GSAMP Trust
4.985% due 12/25/2035		1,314		1,306
GSR Mortgage Loan Trust
4.965% due 11/25/2030		502		499
Indymac Residential Asset-Backed Trust
4.955% due 03/25/2036		393		392
IXIS Real Estate Capital Trust
4.925% due 08/25/2036		2,977		2,958
Lehman XS Trust
4.945% due 07/25/2046		5,524		5,479
4.955% due 05/25/2046		1,388		1,372
Long Beach Mortgage Loan Trust
4.925% due 05/25/2046		1,352		1,349
4.955% due 01/25/2046		1,591		1,586
Merrill Lynch Mortgage Investors, Inc.
4.895% due 05/25/2037		7,705		7,600
4.925% due 04/25/2037		646		639
Morgan Stanley ABS Capital I
4.935% due 03/25/2036		2,451		2,434
Nelnet Student Loan Trust
4.894% due 12/22/2014		506		506
New Century Home Equity Loan Trust
4.935% due 08/25/2036		5,343		5,299
Residential Asset Securities Corp.
4.935% due 04/25/2036		246		246
4.935% due 07/25/2036		5,781		5,737
SACO I, Inc.
4.925% due 05/25/2036		2,804		2,664
SLM Student Loan Trust
5.084% due 01/25/2018		918		919
Soundview Home Equity Loan Trust
4.925% due 12/25/2036		784		774
Specialty Underwriting & Residential Finance
4.945% due 12/25/2036		1,957		1,943
Total Asset-Backed Securities (Cost $47,851)				47,331
FOREIGN CURRENCY-DENOMINATED ISSUES 4.8%
Brazil Notas do Tesouro Nacional Series B
6.000% due 08/15/2010	BRL	5,400		4,965
Brazilian Government International Bond
10.250% due 01/10/2028		10,000		5,456
Brazilian Government International CPI Linked Bond
10.000% due 01/01/2012		47,600		24,340
Canadian Government Bond
3.000% due 12/01/2036 (c)	CAD	20,968		26,363
Canadian Government CPI Linked Bond
4.250% due 12/01/2021		2,694		3,487
France Government Bond
1.600% due 07/25/2011 (c)	EUR	6,438		9,320
1.600% due 07/25/2015 (c)		3,200		4,542
3.150% due 07/25/2032 (c)		6,837		11,709
General Electric Capital Corp.
4.625% due 09/15/2066		4,450		5,826
5.500% due 09/15/2066	GBP	12,450		23,421
5.500% due 09/15/2067	EUR	500		710
6.500% due 09/15/2067	GBP	30,600		61,546
Green Valley Ltd.
8.376% due 01/10/2011	EUR	5,100		7,471
Italy Buoni Poliennali Del Tesoro
2.150% due 09/15/2014 (c)		2,191		3,222
4.250% due 08/01/2014		1,700		2,482
Japanese Government CPI Linked Bond
0.800% due 12/10/2015	JPY	2,995,980		26,541
1.100% due 12/10/2016		10,628,020		95,718
1.200% due 06/10/2017		9,230,640		83,325
Network Rail Infrastructure Finance PLC UK RPI Linked Bond
1.375% due 11/22/2037	GBP	100		216
New Zealand Government CPI Linked Bond
4.500% due 02/15/2016	NZD	10,000		10,103
Pylon Ltd.
6.224% due 12/29/2008	EUR	21,850		31,918
8.841% due 12/29/2008		40,700		60,079
Royal Bank of Scotland Group PLC
7.092% due 10/29/2049		5,000		7,282
Sweden Government CPI Linked Bond
3.500% due 12/01/2028	SEK	9,600		2,201
4.000% due 12/01/2008		37,000		7,036
United Kingdom Gilt Inflation Linked Bond
2.000% due 01/26/2035	GBP	100		304
2.500% due 05/20/2009		12,200		64,332
Total Foreign Currency-Denominated Issues (Cost $538,477)				583,915
		Shares
PREFERRED STOCKS 0.0%
Fresenius Medical Care Capital Trust II
7.875% due 02/01/2008		2,825		2,832
Total Preferred Stocks (Cost $2,903)				2,832
	Principal Amount (000s)
SHORT-TERM INSTRUMENTS 8.0%
Certificates of Deposit 0.9%
Abbey National Treasury Services PLC
5.175% due 07/02/2008	$	96,900		96,931
Nordea Bank Finland PLC
5.188% due 12/01/2008		5,500		5,495
Societe Generale NY
5.269% due 06/30/2008		1,500		1,500
				103,926
Commercial Paper 2.1%
Citibank N.A.
5.940% due 02/01/2008		1,600		1,592
General Electric Capital Corp.
3.750% due 01/02/2008		245,200		245,149
				246,741
Repurchase Agreements 3.1%
Fixed Income Clearing Corp.
1.750% due 01/02/2008		264,500		264,500
(Dated 12/31/2007. Collateralized by Fannie Mae 3.375% due 12/15/2008 valued at $86,613; Federal Farm Credit Bank 4.100% due 12/24/2008 valued at $82,431; and Freddie Mac 4.625% due 12/19/2008 valued at $100,750. Repurchase proceeds are $264,526.)
2.250% due 01/02/2008		3,000		3,000
(Dated 12/31/2007. Collateralized by Fannie Mae 5.250% due 01/15/2009 valued at $3,063. Repurchase proceeds are $3,000.)
3.900% due 01/02/2008		7,026		7,026
(Dated 12/31/2007. Collateralized by Fannie Mae 0.000% due 01/15/2008 valued at $7,171. Repurchase proceeds are $7,028.)
State Street Bank and Trust Co.
6.000% due 01/25/2008		104,000		104,000
(Dated 12/31/2007. Collateralized by Bank of America Commercial Mortgage 5.889% due 07/10/2044 valued at $36,969; Commercial Mortgage Pass-Through Certificates 5.306% due 12/10/2046 valued at $32,842; Merrill Lynch Mortgage Trust 5.842% due 05/12/2039 valued at $35,448. Repurchase proceeds are $104,035)
				378,526
U.S. Treasury Bills 1.9%
2.897% due 02/28/2008 - 03/13/2008 (b)(d)(e)(h)		227,898		226,079
Total Short-Term Instruments (Cost $955,881)				955,272
Purchased Options (j) 0.4% (Cost $24,166)				44,316
Total Investments 189.0% (Cost $22,465,279)				22,784,788
Written Options (k) (0.7%) (Premiums $55,823)				(79,502	)
Other Assets and Liabilities (Net) (88.3%)				(10,651,495	)
Net Assets (f) 100.0%			$	12,053,791

Notes to Schedule of Investments (amounts in thousands*, except number of contracts):

* A zero balance may reflect actual amounts rounding to less than one thousand.

(a) Security is in default.

(b) Coupon represents a weighted average rate.

(c) Principal amount of security is adjusted for inflation.

(d) Securities with an aggregate market value of $89,925 have been pledged as collateral for swap and swaption contracts on December 31, 2007.

(e) Securities with an aggregate market value of $53,608 have been pledged as collateral for delayed-delivery securities on December 31, 2007.

(f) As of December 31, 2007, portfolio securities with an aggregate value of $184,420 and derivative instruments with an aggregate depreciation of ($11,049) were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(g) The average amount of borrowings outstanding during the period ended December 31, 2007 was $82,945 at a weighted average interest rate of 5.440%. On December 31, 2007, securities valued at $17,714 were pledged as collateral for reverse repurchase agreements.

(h) Securities with an aggregate market value of $18,698 and cash of $35,170 have been segregated with the custodian to cover margin requirements for the following open futures contracts on December 31, 2007:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Euribor December Futures	Long	12/2008	3,660	$	2,144
90-Day Euribor December Futures	Long	12/2009	178		49
90-Day Euribor June Futures	Long	06/2009	368		327
90-Day Euribor March Futures	Long	03/2009	159		206
90-Day Euribor September Futures	Short	09/2008	627		415
90-Day Euribor September Futures	Long	09/2009	250		69
90-Day Eurodollar December Futures	Long	12/2008	1,556		4,101
90-Day Eurodollar June Futures	Short	06/2008	1,308		(3,726	)
90-Day Eurodollar June Futures	Long	06/2009	2,155		6,872
90-Day Eurodollar March Futures	Short	03/2008	3,734		(4,138	)
90-Day Eurodollar March Futures	Long	03/2009	5,091		15,559
90-Day Eurodollar September Futures	Long	09/2008	60		1
90-Day Eurodollar September Futures	Long	09/2009	1,423		3,746
Canada Government 10-Year Bond March Futures	Long	03/2008	22		(2	)
Euro-Bund 10-Year Bond March Futures	Short	03/2008	823		2,538
Euro-Schatz March Futures	Long	03/2008	227		(204	)
Japan Government 10-Year Bond March Futures	Long	03/2008	53		342
U.S. Treasury 2-Year Note March Futures	Long	03/2008	275		(79	)
U.S. Treasury 5-Year Note March Futures	Short	03/2008	6,767		(2,369	)
U.S. Treasury 10-Year Note March Futures	Long	03/2008	4,172		856
U.S. Treasury 30-Year Bond March Futures	Short	03/2008	10,760		11,815
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2008	1,316		1,513
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2008	4,757		4,021
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2009	975		1,056
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2008	1,806		8
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2009	819		1,005
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2008	3,153		4,102
				$	50,227

(i) Swap agreements outstanding on December 31, 2007:

Credit Default Swaps on Securities

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Bank of America	Black & Decker Corp. 7.125% due 06/01/2011	Buy	(0.680	%)	12/20/2012	$	800	$	4
Bank of America	GMAC LLC 6.875% due 08/28/2012	Sell	5.100	%	09/20/2012		15,000		(921	)
Bank of America	GMAC LLC 6.875% due 08/28/2012	Sell	6.300	%	09/20/2012		1,200		(37	)
Bank of America	GMAC LLC 6.875% due 08/28/2012	Sell	7.000	%	09/20/2012		7,000		(88	)
Bank of America	Merrill Lynch & Co., Inc. 5.000% due 01/15/2015	Buy	(0.950	%)	12/20/2012		1,600		22
Barclays Bank PLC	Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	3.800	%	09/20/2012		2,500		(221	)
Barclays Bank PLC	GMAC LLC 6.875% due 08/28/2012	Sell	3.050	%	09/20/2012		3,200		(365	)
Barclays Bank PLC	Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.770	%	09/20/2012		7,000		32
Barclays Bank PLC	Merrill Lynch & Co., Inc. 5.000% due 01/15/2015	Buy	(0.930	%)	12/20/2012		9,800		142
Barclays Bank PLC	Panama Government International Bond 8.875% due 09/30/2027	Sell	0.300	%	12/20/2008		26,300		(38	)
Barclays Bank PLC	Pemex Project Funding Master Trust 9.500% due 09/15/2027	Sell	0.290	%	12/20/2008		7,000		1
Barclays Bank PLC	Peru Government International Bond 8.750% due 11/21/2033	Sell	0.350	%	12/20/2008		17,900		15
Barclays Bank PLC	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.330	%	12/20/2008		17,900		(42	)
Barclays Bank PLC	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.780	%	12/20/2008		17,900		(44	)
Barclays Bank PLC	Vnesheconom 0.000% due 07/12/2009	Sell	0.650	%	11/20/2008		11,000		(96	)
Bear Stearns & Co., Inc.	Capital One Financial Corp. 6.250% due 11/15/2013	Buy	(1.210	%)	09/20/2012		7,200		404
Bear Stearns & Co., Inc.	Chesapeake Energy Corp. 6.875% due 01/15/2016	Sell	1.450	%	09/20/2012		1,300		(21	)
Bear Stearns & Co., Inc.	Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.800	%	09/20/2012		600		4
Bear Stearns & Co., Inc.	Kimberly-Clark Corp. 6.875% due 02/15/2014	Buy	(0.320	%)	12/20/2012		1,000		0
BNP Paribas Bank	Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Buy	(0.390	%)	12/20/2012		5,700		68
BNP Paribas Bank	Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	1.120	%	09/20/2012		3,200		(8	)
BNP Paribas Bank	Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	1.200	%	09/20/2012		3,200		2
Citibank N.A.	Bear Stearns Cos., Inc. 5.300% due 10/30/2015	Sell	0.720	%	09/20/2012		5,800		(256	)
Citibank N.A.	Chesapeake Energy Corp. 6.875% due 01/15/2016	Sell	1.370	%	09/20/2012		5,000		(96	)
Citibank N.A.	Clorox Co. 6.125% due 02/01/2011	Buy	(0.470	%)	12/20/2012		2,300		1
Citibank N.A.	Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.110	%	06/20/2008		26,100		(79	)
Citibank N.A.	Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Buy	(0.400	%)	12/20/2012		4,400		51
Citibank N.A.	RH Donnelley Corp. 8.875% due 01/15/2016	Sell	3.400	%	09/20/2012		100		(5	)
Credit Suisse USA, Inc.	Chesapeake Energy Corp. 6.875% due 01/15/2016	Sell	0.970	%	06/20/2012		3,200		(104	)
Credit Suisse USA, Inc.	Chesapeake Energy Corp. 6.875% due 01/15/2016	Sell	1.010	%	06/20/2012		3,100		(96	)
Credit Suisse USA, Inc.	Chesapeake Energy Corp. 6.875% due 01/15/2016	Sell	1.020	%	06/20/2012		9,000		(274	)
Credit Suisse USA, Inc.	Chesapeake Energy Corp. 6.875% due 01/15/2016	Sell	1.040	%	06/20/2012		3,700		(110	)
Credit Suisse USA, Inc.	Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Buy	(0.850	%)	03/20/2008		31,000		262
Credit Suisse USA, Inc.	Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.740	%	09/20/2012		9,600		32
Credit Suisse USA, Inc.	Multiple Reference Entities of Gazprom	Sell	1.000	%	11/20/2008		11,700		(15	)
Deutsche Bank AG	Chesapeake Energy Corp. 6.875% due 01/15/2016	Sell	1.150	%	12/20/2012		1,100		(35	)
Deutsche Bank AG	GMAC LLC 6.875% due 08/28/2012	Buy	(4.250	%)	09/20/2008		2,900		70
Deutsche Bank AG	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.510	%	12/20/2008		36,500		(94	)
Deutsche Bank AG	Panama Government International Bond 8.875% due 09/30/2027	Sell	0.250	%	12/20/2008		4,000		(9	)
Deutsche Bank AG	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.325	%	12/20/2008		19,000		(45	)
Deutsche Bank AG	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.790	%	12/20/2008		19,000		(44	)
Goldman Sachs & Co.	AutoZone, Inc. 5.875% due 10/15/2012	Buy	(0.529	%)	12/20/2012		4,100		(22	)
Goldman Sachs & Co.	Bear Stearns Cos., Inc. 5.300% due 10/30/2015	Buy	(1.780	%)	12/20/2012		8,500		11
Goldman Sachs & Co.	Chesapeake Energy Corp. 6.875% due 01/15/2016	Sell	1.380	%	09/20/2012		2,000		(38	)
Goldman Sachs & Co.	ConAgra Foods, Inc. 7.000% due 10/01/2028	Buy	(0.299	%)	12/20/2012		4,600		(3	)
Goldman Sachs & Co.	GMAC LLC 6.875% due 08/28/2012	Buy	(5.200	%)	09/20/2008		6,200		107
Goldman Sachs & Co.	GMAC LLC 6.875% due 08/28/2012	Sell	3.400	%	06/20/2011		1,100		(112	)
Goldman Sachs & Co.	GMAC LLC 6.875% due 08/28/2012	Sell	3.050	%	09/20/2012		11,300		(1,288	)
Goldman Sachs & Co.	GMAC LLC 6.875% due 08/28/2012	Sell	6.310	%	09/20/2012		9,300		(282	)
Goldman Sachs & Co.	Marriott International, Inc. 4.625% due 06/15/2012	Buy	(0.640	%)	12/20/2012		2,100		2
Goldman Sachs & Co.	Newell Rubbermaid, Inc. 6.350% until 07/15/2008 and variable thereafter, due 07/15/2028	Buy	(0.319	%)	12/20/2012		4,200		4
HSBC Bank USA	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.240	%	02/20/2008		18,000		10
JPMorgan Chase & Co.	Bear Stearns Cos., Inc. 5.300% due 10/30/2015	Sell	0.720	%	09/20/2012		8,600		(379	)
JPMorgan Chase & Co.	Capital One Financial Corp. 6.250% due 11/15/2013	Buy	(1.150	%)	09/20/2012		800		47
JPMorgan Chase & Co.	Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	3.850	%	09/20/2012		3,600		(313	)
JPMorgan Chase & Co.	GMAC LLC 6.875% due 08/28/2012	Sell	5.400	%	09/20/2012		3,100		(166	)
JPMorgan Chase & Co.	GMAC LLC 6.875% due 08/28/2012	Sell	5.450	%	09/20/2012		3,100		(162	)
JPMorgan Chase & Co.	Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	0.700	%	09/20/2012		8,700		(176	)
JPMorgan Chase & Co.	Merrill Lynch & Co., Inc. 5.000% due 01/15/2015	Buy	(0.930	%)	12/20/2012		5,400		78
Lehman Brothers, Inc.	Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.720	%	09/20/2012		8,000		20
Lehman Brothers, Inc.	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.400	%	12/20/2008		4,000		(15	)
Lehman Brothers, Inc.	Merrill Lynch & Co., Inc. 5.000% due 01/15/2015	Buy	(0.900	%)	12/20/2012		5,000		79
Lehman Brothers, Inc.	Mexico Government International Bond 7.500% due 04/08/2033	Sell	0.670	%	01/20/2017		5,700		(54	)
Lehman Brothers, Inc.	Peru Government International Bond 8.750% due 11/21/2033	Sell	0.320	%	12/20/2008		4,000		(5	)
Lehman Brothers, Inc.	Peru Government International Bond 9.125% due 02/21/2012	Sell	0.370	%	12/20/2008		17,300		(13	)
Lehman Brothers, Inc.	VF Corp. 8.500% due 10/01/2010	Buy	(0.449	%)	12/20/2012		3,100		(6	)
Merrill Lynch & Co., Inc.	GMAC LLC 6.875% due 08/28/2012	Sell	6.300	%	09/20/2012		18,600		(207	)
Merrill Lynch & Co., Inc.	Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.750	%	09/20/2012		5,000		19
Morgan Stanley	Chesapeake Energy Corp. 6.875% due 01/15/2016	Sell	1.370	%	09/20/2012		1,800		(35	)
Morgan Stanley	Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	3.800	%	09/20/2012		8,600		(761	)
Morgan Stanley	GMAC LLC 6.875% due 08/28/2012	Sell	6.850	%	06/20/2012		5,700		(104	)
Morgan Stanley	Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.750	%	09/20/2012		2,100		8
Morgan Stanley	Panama Government International Bond 8.875% due 09/30/2027	Sell	0.300	%	12/20/2008		8,900		(13	)
Morgan Stanley	Staples, Inc. 7.375% due 10/01/2012	Buy	(0.700	%)	12/20/2012		400		(1	)
Royal Bank of Scotland Group PLC	Capital One Financial Corp. 6.250% due 11/15/2013	Buy	(1.200	%)	09/20/2012		10,000		565
Royal Bank of Scotland Group PLC	GMAC LLC 6.875% due 08/28/2012	Buy	(4.800	%)	09/20/2012		10,000		691
Royal Bank of Scotland Group PLC	Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.780	%	09/20/2012		2,000		10
Royal Bank of Scotland Group PLC	Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	0.660	%	09/20/2012		7,000		(153	)
UBS Warburg LLC	Capital One Financial Corp. 6.250% due 11/15/2013	Buy	(1.200	%)	09/20/2012		10,000		565
UBS Warburg LLC	Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	2.560	%	06/20/2012		1,500		(171	)
UBS Warburg LLC	GMAC LLC 6.875% due 08/28/2012	Sell	3.620	%	06/20/2011		5,000		(487	)
UBS Warburg LLC	Merrill Lynch & Co., Inc. 5.000% due 01/15/2015	Buy	(0.920	%)	12/20/2012		1,100		16
								$	(4,767	)

Credit Default Swaps on Credit Indices

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Bank of America	Dow Jones CDX N.A. HY8 Index	Buy	(2.750	%)	06/20/2012	$	138,650	$	1,548
Bank of America	Dow Jones CDX N.A. IG8 Index	Buy	(0.350	%)	06/20/2012		13,000		105
Bank of America	Dow Jones CDX N.A. IG9 Index	Buy	(0.800	%)	12/20/2017		38,200		(48	)
Bank of America	Dow Jones CDX N.A. XO8 Index	Buy	(1.400	%)	06/20/2012		6,400		35
Barclays Bank PLC	Dow Jones CDX N.A. HY8 Index	Buy	(2.750	%)	06/20/2012		11,600		47
Barclays Bank PLC	Dow Jones CDX N.A. IG8 Index	Buy	(0.350	%)	06/20/2012		26,400		185
Barclays Bank PLC	Dow Jones CDX N.A. IG9 Index	Buy	(0.800	%)	12/20/2017		87,500		(130	)
Bear Stearns & Co., Inc.	Dow Jones CDX N.A. HY8 Index	Buy	(2.750	%)	06/20/2012		49,010		481
Deutsche Bank AG	Dow Jones CDX N.A. HY8 Index	Buy	(2.750	%)	06/20/2012		2,200		10
Goldman Sachs & Co.	Dow Jones CDX N.A. IG9 Index	Buy	(0.800	%)	12/20/2017		62,700		(81	)
JPMorgan Chase & Co.	Dow Jones CDX N.A. IG9 Index	Sell	0.600	%	12/20/2012		37,300		(106	)
JPMorgan Chase & Co.	Dow Jones CDX N.A. IG9 Index	Buy	(0.800	%)	12/20/2017		17,600		(26	)
Lehman Brothers, Inc.	Dow Jones CDX N.A. HY8 Index	Buy	(2.750	%)	06/20/2012		24,800		93
Lehman Brothers, Inc.	Dow Jones CDX N.A. HY9 Index	Sell	3.330	%	12/20/2012		81,100		313
Lehman Brothers, Inc.	Dow Jones CDX N.A. IG9 Index	Buy	(0.600	%)	12/20/2012		71,300		(283	)
Lehman Brothers, Inc.	Dow Jones CDX N.A. IG9 Index	Buy	(0.800	%)	12/20/2017		34,200		(62	)
Lehman Brothers, Inc.	Home Equity Index A Rating 2007-1	Sell	0.640	%	08/25/2037		4,100		(309	)
Merrill Lynch & Co., Inc.	Dow Jones CDX N.A. HY8 Index	Buy	(2.750	%)	06/20/2012		90,300		380
Merrill Lynch & Co., Inc.	Dow Jones CDX N.A. IG9 Index	Buy	(0.600	%)	12/20/2012		143,200		1,738
Morgan Stanley	Dow Jones CDX N.A. IG9 Index	Buy	(0.600	%)	12/20/2012		143,200		1,738
Morgan Stanley	Dow Jones CDX N.A. IG9 Index	Buy	(0.800	%)	12/20/2017		71,300		(119	)
UBS Warburg LLC	Dow Jones CDX N.A. HY8 Index	Buy	(2.750	%)	06/20/2012		32,100		208
								$	5,717

⁽¹⁾ If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will pay to the buyer of the protection an amount up to the notional value of the swap and in certain instances, take delivery of the security. As a buyer of protection, the Fund will generally receive from the seller of protection an amount up to the notional amount of the swap if a credit event occurs.

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Barclays Bank PLC	6-Month Australian Bank Bill	Pay	7.000	%	12/15/2009	AUD	162,100	$	(947	)
Barclays Bank PLC	6-Month Australian Bank Bill	Receive	6.750	%	12/15/2017		20,200		526
Citibank N.A.	3-Month Australian Bank Bill	Pay	7.000	%	06/15/2009		145,000		(709	)
Citibank N.A.	3-Month Australian Bank Bill	Pay	7.000	%	09/15/2009		15,900		(32	)
Citibank N.A.	6-Month Australian Bank Bill	Pay	6.500	%	01/15/2010		53,500		(919	)
Citibank N.A.	6-Month Australian Bank Bill	Receive	6.500	%	06/15/2017		20,900		721
Deutsche Bank AG	6-Month Australian Bank Bill	Pay	6.500	%	01/15/2010		209,600		(3,558	)
Deutsche Bank AG	6-Month Australian Bank Bill	Pay	7.000	%	06/15/2010		614,500		(6,136	)
Deutsche Bank AG	6-Month Australian Bank Bill	Receive	6.500	%	06/15/2017		14,300		468
JPMorgan Chase & Co.	6-Month Australian Bank Bill	Pay	6.500	%	01/15/2010		35,800		(617	)
Morgan Stanley	6-Month Australian Bank Bill	Pay	7.000	%	12/15/2009		169,500		(997	)
Morgan Stanley	6-Month Australian Bank Bill	Receive	6.750	%	12/15/2017		21,200		561
Royal Bank of Canada	6-Month Australian Bank Bill	Pay	6.500	%	01/15/2010		21,900		(366	)
Barclays Bank PLC	BRL-CDI-Compounded	Pay	12.540	%	01/02/2012	BRL	6,000		0
Merrill Lynch & Co., Inc.	BRL-CDI-Compounded	Pay	12.540	%	01/02/2012		147,000		(38	)
Morgan Stanley	BRL-CDI-Compounded	Pay	10.115	%	01/02/2012		47,600		(1,619	)
Morgan Stanley	BRL-CDI-Compounded	Pay	12.540	%	01/02/2012		56,000		(100	)
UBS Warburg LLC	BRL-CDI-Compounded	Pay	12.410	%	01/04/2010		163,000		(235	)
UBS Warburg LLC	BRL-CDI-Compounded	Pay	10.575	%	01/02/2012		277,300		(9,057	)
Bank of America	3-Month Canadian Bank Bill	Pay	5.000	%	06/20/2012	CAD	46,300		478
Bank of America	3-Month Canadian Bank Bill	Receive	5.500	%	06/20/2017		33,900		(343	)
HSBC Bank USA	3-Month Canadian Bank Bill	Pay	4.500	%	06/15/2025		7,000		(177	)
JPMorgan Chase & Co.	3-Month Canadian Bank Bill	Pay	4.500	%	06/15/2025		3,300		(26	)
Merrill Lynch & Co., Inc.	3-Month Canadian Bank Bill	Pay	4.500	%	06/15/2025		9,000		(125	)
Royal Bank of Canada	3-Month Canadian Bank Bill	Receive	5.500	%	06/20/2017		5,200		(102	)
UBS Warburg LLC	3-Month Canadian Bank Bill	Pay	4.500	%	06/15/2025		4,700		(40	)
Barclays Bank PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.040	%	03/15/2010	EUR	50,000		357
Barclays Bank PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.103	%	10/15/2010		8,800		88
Barclays Bank PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.948	%	03/15/2012		5,900		(116	)
Barclays Bank PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.960	%	04/05/2012		3,000		(56	)
Barclays Bank PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.980	%	04/30/2012		9,200		(176	)
Barclays Bank PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.238	%	06/20/2012		17,000		(34	)
Barclays Bank PLC	6-Month EUR-LIBOR	Receive	5.000	%	03/19/2018		500		5
BNP Paribas Bank	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.103	%	09/14/2010		60,000		448
BNP Paribas Bank	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.090	%	10/15/2010		52,200		435
BNP Paribas Bank	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.040	%	02/21/2011		33,900		10
BNP Paribas Bank	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.988	%	12/15/2011		72,600		(992	)
BNP Paribas Bank	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.983	%	03/15/2012		5,200		(95	)
BNP Paribas Bank	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.098	%	09/28/2012		33,000		(465	)
BNP Paribas Bank	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.150	%	01/19/2016		75,000		(162	)
Deutsche Bank AG	6-Month EUR-LIBOR	Pay	4.500	%	03/19/2010		169,800		(33	)
Deutsche Bank AG	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.100	%	03/13/2011		4,800		21
Goldman Sachs & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.976	%	12/15/2011		40,900		(491	)
Goldman Sachs & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.995	%	03/15/2012		62,000		(923	)
Goldman Sachs & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.960	%	03/30/2012		6,900		(127	)
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.028	%	10/15/2011		31,400		(72	)
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.973	%	12/15/2011		6,900		(100	)
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.948	%	03/15/2012		12,600		(246	)
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.958	%	04/10/2012		42,300		(888	)
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.353	%	10/15/2016		30,000		28
Morgan Stanley	6-Month EUR-LIBOR	Pay	4.500	%	03/19/2010		146,800		(28	)
Morgan Stanley	6-Month EUR-LIBOR	Receive	4.000	%	06/15/2017		104,450		8,625
Royal Bank of Scotland Group PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.955	%	03/28/2012		5,900		(107	)
UBS Warburg LLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.146	%	10/15/2010		22,700		253
UBS Warburg LLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.095	%	10/15/2011		27,800		79
UBS Warburg LLC	Eurostat Eurozone HICP Ex Tobacco Unrevised Series NSA Index	Receive	2.275	%	10/15/2016		33,900		244
UBS Warburg LLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.350	%	10/15/2016		33,900		43
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	5.000	%	06/15/2008	GBP	13,000		(47	)
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	5.000	%	06/15/2009		277,600		(714	)
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2010		56,100		(1,715	)
Barclays Bank PLC	United Kingdom RPI Index	Pay	3.100	%	11/14/2016		40,000		(930	)
Barclays Bank PLC	United Kingdom RPI Index	Pay	3.250	%	12/14/2017		3,000		21
Barclays Bank PLC	6-Month GBP-LIBOR	Receive	5.000	%	03/20/2018		30,600		(2,492	)
Barclays Bank PLC	United Kingdom RPI Index	Pay	3.425	%	10/17/2027		5,250		(70	)
Barclays Bank PLC	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035		42,400		2,254
Credit Suisse USA, Inc.	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2010		48,500		620
Credit Suisse USA, Inc.	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035		19,300		1,042
Deutsche Bank AG	6-Month GBP-LIBOR	Pay	6.000	%	03/20/2010		96,600		1,720
Goldman Sachs & Co.	6-Month GBP-LIBOR	Receive	5.000	%	09/15/2015		45,200		(1,026	)
HSBC Bank USA	6-Month GBP-LIBOR	Receive	4.250	%	06/12/2036		35,600		3,810
JPMorgan Chase & Co.	6-Month GBP-LIBOR	Pay	5.000	%	06/15/2008		27,000		(178	)
Morgan Stanley	6-Month GBP-LIBOR	Pay	5.000	%	12/19/2009		327,600		1,665
Royal Bank of Scotland Group PLC	United Kingdom RPI Index	Pay	3.183	%	12/19/2017		11,600		(23	)
Royal Bank of Scotland Group PLC	United Kingdom RPI Index	Pay	3.381	%	06/14/2027		13,600		(380	)
Royal Bank of Scotland Group PLC	United Kingdom RPI Index	Pay	3.440	%	09/10/2027		17,000		(197	)
UBS Warburg LLC	6-Month GBP-LIBOR	Pay	5.000	%	06/15/2008		20,000		(270	)
Barclays Bank PLC	6-Month JPY-LIBOR	Receive	2.000	%	06/20/2017	JPY	12,790,000		(167	)
Deutsche Bank AG	6-Month JPY-LIBOR	Receive	2.000	%	06/20/2017		2,920,000		(29	)
Goldman Sachs & Co.	6-Month JPY-LIBOR	Receive	2.000	%	06/20/2017		2,290,000		(26	)
Morgan Stanley	6-Month JPY-LIBOR	Pay	1.000	%	03/18/2009		33,800,000		948
Royal Bank of Scotland Group PLC	6-Month JPY-LIBOR	Receive	2.000	%	06/20/2017		7,540,000		(428	)
Barclays Bank PLC	28-Day Mexico Interbank TIIE Banxico	Pay	8.720	%	09/05/2016	MXN	210,000		224
Barclays Bank PLC	28-Day Mexico Interbank TIIE Banxico	Pay	8.330	%	02/14/2017		132,800		(174	)
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.170	%	11/04/2016		1,537,500		(3,683	)
Goldman Sachs & Co.	28-Day Mexico Interbank TIIE Banxico	Pay	8.170	%	11/04/2016		11,800		(23	)
Barclays Bank PLC	3-Month SEK-LIBOR	Pay	4.500	%	06/17/2008	SEK	168,000		(174	)
JPMorgan Chase & Co.	3-Month SEK-LIBOR	Pay	4.500	%	06/17/2008		46,000		(57	)
Bank of America	3-Month USD-LIBOR	Pay	5.000	%	06/20/2027	$	46,000		1,384
Barclays Bank PLC	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010		472,400		667
Barclays Bank PLC	3-Month USD-LIBOR	Pay	5.000	%	06/18/2010		162,165		505
Barclays Bank PLC	3-Month USD-LIBOR	Pay	4.000	%	06/18/2013		299,000		2,176
Barclays Bank PLC	3-Month USD-LIBOR	Receive	5.000	%	06/20/2017		51,100		(1,306	)
Barclays Bank PLC	3-Month USD-LIBOR	Receive	5.000	%	06/18/2018		116,600		(383	)
BNP Paribas Bank	U.S. CPI Urban Counsumers NSA Index	Pay	2.790	%	10/07/2015		50,000		(5	)
Deutsche Bank AG	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010		208,400		394
Deutsche Bank AG	3-Month USD-LIBOR	Receive	5.000	%	06/18/2015		37,900		22
Deutsche Bank AG	3-Month USD-LIBOR	Receive	5.000	%	12/20/2021		114,500		(9,322	)
Deutsche Bank AG	3-Month USD-LIBOR	Receive	5.000	%	12/20/2026		146,500		(13,834	)
Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	06/18/2038		25,500		601
Goldman Sachs & Co.	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010		346,100		1,046
Goldman Sachs & Co.	3-Month USD-LIBOR	Receive	5.000	%	06/20/2014		264,300		(8,184	)
JPMorgan Chase & Co.	3-Month USD-LIBOR	Pay	4.000	%	06/18/2013		44,100		11
Merrill Lynch & Co., Inc.	3-Month USD-LIBOR	Receive	5.000	%	06/18/2018		130,900		(1,523	)
Merrill Lynch & Co., Inc.	3-Month USD-LIBOR	Receive	5.000	%	06/18/2023		15,200		(334	)
Morgan Stanley	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010		511,900		812
Morgan Stanley	3-Month USD-LIBOR	Pay	4.000	%	06/18/2013		68,700		512
Morgan Stanley	3-Month USD-LIBOR	Receive	5.000	%	06/18/2018		23,100		(669	)
Morgan Stanley	3-Month USD-LIBOR	Pay	5.000	%	06/18/2038		96,000		2,714
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010		93,850		(89	)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.000	%	06/18/2013		594,100		6,652
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	06/18/2015		80,400		(894	)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	06/18/2018		210,800		(334	)
UBS Warburg LLC	3-Month USD-LIBOR	Pay	5.000	%	06/18/2009		2,061,000		33,763
UBS Warburg LLC	3-Month USD-LIBOR	Receive	5.000	%	12/20/2026		59,600		(5,628	)
								$	(9,609	)

(j) Purchased options outstanding on December 31, 2007:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Cost		Value
Call - CBOT U.S. Treasury 5-Year Note March Futures	$	126.000	02/22/2008	1,503	$	28	$	23
Call - CBOT U.S. Treasury 5-Year Note March Futures		127.000	02/22/2008	5,612		106		88
Call - CBOT U.S. Treasury 5-Year Note March Futures		130.000	02/22/2008	40		0		1
Call - CBOT U.S. Treasury 10-Year Note March Futures		140.000	02/22/2008	1,086		21		17
					$ 155		$ 129

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Cost		Value
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	03/31/2008	$	584,000	$	3,271	$	11,819
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	09/26/2008		116,500		588		2,418
									$	3,859	$	14,237

Foreign Currency Options

Description	Exercise Price		Expiration Date	Notional Amount		Cost		Value
Call - OTC Euro versus U.S. dollar	$	1.353	06/26/2008	EUR	56,600	$	1,781	$	6,489
Put - OTC Euro versus U.S. dollar		1.353	06/26/2008		56,600		1,781		428
Call - OTC Euro versus U.S. dollar		1.392	07/08/2010		55,100		2,903		5,140
Put - OTC Euro versus U.S. dollar		1.392	07/08/2010		55,100		2,903		2,523
Call - OTC U.S. dollar versus Japanese yen	JPY	118.150	06/23/2008	$	182,600		4,807		688
Put - OTC U.S. dollar versus Japanese yen		118.150	06/23/2008		182,600		4,807		14,247
Call - OTC U.S. dollar versus Japanese yen		111.000	12/01/2008		32,000		579		224
						$	19,561	$	29,739

Options on Securities

Description	Strike Price		Expiration Date	Notional Amount		Cost		Value
Call - OTC Freddie Mac 6.000% due 02/01/2038	$	104.000	02/05/2008	$	27,900	$	3	$	0
Put - OTC Fannie Mae 5.500% due 03/01/2038		85.000	03/05/2008		200,000		23.000		0
Put - OTC Treasury Inflation Protected Securities 1.875% due 07/15/2013		94.000	01/14/2008		1,000,000		78.000		1.000
Put - OTC Treasury Inflation Protected Securities 2.000% due 01/15/2014		94.000	01/14/2008		950,000		74.000		1.000
Put - OTC Treasury Inflation Protected Securities 3.000% due 07/15/2012		100.500	01/14/2008		1,000,000		78.000		1.000
Put - OTC Treasury Inflation Protected Securities 4.250% due 01/15/2010		103.000	01/14/2008		125,000		10.000		8.000
Put - OTC Treasury Inflation Protected Securities 2.000% due 01/15/2014		84.000	01/15/2008		200,000		47.000		0
Put - OTC Treasury Inflation Protected Securities 2.000% due 01/15/2026		87.500	01/22/2008		600,000		47.000		1.000
Put - OTC Treasury Inflation Protected Securities 2.375% due 01/15/2025		93.000	01/22/2008		1,000,000		78.000		1.000
Put - OTC Treasury Inflation Protected Securities 4.250% due 01/15/2010		103.500	01/22/2008		300,000		24.000		198.000
Put - OTC Treasury Inflation Protected Securities 2.000% due 01/15/2026		63.000	02/20/2008		8,000		2.000		0
Put - OTC Treasury Inflation Protected Securities 2.375% due 01/15/2027		64.875	02/20/2008		90,000		21.000		0
Put - OTC Treasury Inflation Protected Securities 2.000% due 04/15/2012		94.000	02/27/2008		450,000		106.000		0
						$	591	$	211

(k) Written options outstanding on December 31, 2007:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Value
Call - CBOT U.S. Treasury 10-Year Note March Futures	$	111.000	02/22/2008	1,001	$	382	$	2,847
Call - CBOT U.S. Treasury 10-Year Note March Futures		115.000	02/22/2008	207		161		165
Put - CBOT U.S. Treasury 10-Year Note March Futures		106.000	02/22/2008	297		128		4
Put - CBOT U.S. Treasury 10-Year Note March Futures		110.000	02/22/2008	424		257		106
					$	928	$	3,122

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Value
Call -OTC 30-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Receive	5.670	%	08/07/2008	$	27,300	$	1,317	$	2,964
Put - OTC 30-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Pay	5.670	%	08/07/2008		27,300		996		379
Call - OTC 10-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Receive	5.250	%	09/15/2008		72,000		1,917		3,754
Put - OTC 10-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Pay	5.250	%	09/15/2008		72,000		1,917		891
Call - OTC 30-Year Interest Rate Swap	Citibank N.A.	3-Month USD-LIBOR	Receive	5.670	%	08/07/2008		34,300		1,434		3,724
Put - OTC 30-Year Interest Rate Swap	Citibank N.A.	3-Month USD-LIBOR	Pay	5.670	%	08/07/2008		34,300		1,447		477
Call - OTC 10-Year Interest Rate Swap	Goldman Sachs & Co.	3-Month USD-LIBOR	Receive	5.250	%	09/15/2008		132,900		3,336		6,929
Put - OTC 10-Year Interest Rate Swap	Goldman Sachs & Co.	3-Month USD-LIBOR	Pay	5.250	%	09/15/2008		132,900		3,216		1,645
Call - OTC 7-Year Interest Rate Swap	Goldman Sachs & Co.	3-Month USD-LIBOR	Receive	5.365	%	09/20/2010		66,000		2,122		2,977
Put - OTC 7-Year Interest Rate Swap	Goldman Sachs & Co.	3-Month USD-LIBOR	Pay	5.365	%	09/20/2010		66,000		2,122		1,766
Call - OTC 30-Year Interest Rate Swap	JPMorgan Chase & Co.	3-Month USD-LIBOR	Receive	5.670	%	08/07/2008		58,800		2,062		6,385
Put - OTC 30-Year Interest Rate Swap	JPMorgan Chase & Co.	3-Month USD-LIBOR	Pay	5.670	%	08/07/2008		58,800		2,889		818
Call - OTC 10-Year Interest Rate Swap	JPMorgan Chase & Co.	3-Month USD-LIBOR	Receive	5.250	%	09/15/2008		112,900		3,342		5,886
Put - OTC 10-Year Interest Rate Swap	JPMorgan Chase & Co.	3-Month USD-LIBOR	Pay	5.250	%	09/15/2008		112,900		2,269		1,398
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.950	%	03/31/2008		254,000		3,124		9,275
Call - OTC 10-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.250	%	09/15/2008		94,400		2,369		4,922
Put - OTC 10-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.250	%	09/15/2008		94,400		2,285		1,169
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.950	%	09/26/2008		51,000		576		1,858
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.365	%	09/20/2010		127,000		3,461		5,728
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.365	%	09/20/2010		67,000		2,107		3,022
Put - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.365	%	09/20/2010		194,000		6,882		5,190
									$	51,190	$	71,157

Foreign Currency Options

Description	Exercise Price		Expiration Date	Notional Amount		Premium		Value
Call - OTC U.S. dollar versus Japanese yen	JPY	118.150	06/23/2008	$	54,400	$	681	$	205
Put - OTC U.S. dollar versus Japanese yen		118.150	06/23/2008		54,400		2,494		4,247
Put - OTC U.S. dollar versus Japanese yen		100.000	12/01/2008		32,000		530		771
						$	3,705	$	5,223

(l) Restricted securities as of December 31, 2007:

Issuer Description	Coupon		Maturity Date	Acquisition Date	Cost		Market Value		Market Value as Percentage of Net Assets
Merna Reinsurance Ltd.	5.480	%	07/07/2010	09/21/2007	$	28,141	$	27,833	0.23	%

(m) Short sales outstanding on December 31, 2007:

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Value(2)
Fannie Mae	5.000	%	01/01/2038	$	401,800	$	395,832	$	392,069
Fannie Mae	5.500	%	01/01/2023		5,000		5,035		5,065
Fannie Mae	5.500	%	01/01/2038		464,811		462,796		464,303
Fannie Mae	6.000	%	12/01/2037		200,000		201,969		202,625
Fannie Mae	6.000	%	01/01/2038		548,782		557,700		557,271
Freddie Mac	5.000	%	01/01/2038		8,400		8,248		8,197
Freddie Mac	5.500	%	12/01/2037		420,600		413,259		419,762
Freddie Mac	5.500	%	01/01/2038		532,000		529,419		530,920
Freddie Mac	6.000	%	01/01/2038		999,000		1,014,676		1,013,829
Ginnie Mae	5.500	%	01/01/2038		29,900		29,863		30,120
Republic of Germany	5.625	%	01/04/2028	EUR	8,400		13,618		13,858
Treasury Inflation Protected Securities	2.000	%	01/15/2016	$	28,572		28,819		29,331
Treasury Inflation Protected Securities	2.375	%	04/15/2011		246,950		254,630		257,484
Treasury Inflation Protected Securities	2.375	%	01/15/2017		112,904		118,994		119,175
Treasury Inflation Protected Securities	2.625	%	07/15/2017		28,955		30,881		31,251
U.S. Treasury Bills	2.875	%	02/28/2008		49,475		49,208		49,242
U.S. Treasury Bonds	3.875	%	10/31/2012		5,000		5,035		5,100
U.S. Treasury Bonds	4.750	%	08/15/2017		110,300		115,825		116,530
U.S. Treasury Bonds	4.750	%	02/15/2037		91,600		94,570		95,894
U.S. Treasury Bonds	5.375	%	02/15/2031		700		800		743
U.S. Treasury Notes	3.125	%	09/15/2008		177,200		176,592		176,965
U.S. Treasury Notes	3.250	%	08/15/2007		0		26		0
U.S. Treasury Notes	3.375	%	02/15/2008		147,500		147,499		147,558
U.S. Treasury Notes	3.625	%	05/15/2013		21,600		21,849		21,755
U.S. Treasury Notes	4.125	%	08/31/2012		123,600		126,570		127,298
U.S. Treasury Notes	4.250	%	08/15/2014		7,400		7,544		7,654
U.S. Treasury Notes	4.500	%	02/15/2016		108,600		112,643		113,071
U.S. Treasury Notes	4.750	%	05/15/2014		201,500		212,667		214,330
U.S. Treasury Notes	4.875	%	08/15/2016		123,550		130,418		131,600
U.S. Treasury Notes	5.125	%	05/15/2016		71,300		75,732		77,193
						$	5,342,717	$	5,360,193

⁽²⁾ Market value includes $20,079 of interest payable on short sales.

(n) Foreign currency contracts outstanding on December 31, 2007:

Type	Currency	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Sell	AUD	338	02/2008	$	0	$	(7	)	$	(7	)
Buy	BRL	217,373	03/2008		8,227		0			8,227
Buy		319,914	07/2008		2,855		(363	)		2,492
Buy	CAD	217	01/2008		0		(1	)		(1	)
Sell		25,943	01/2008		1		(580	)		(579	)
Sell	CHF	10,851	03/2008		52		0			52
Buy	CNY	842,319	01/2008		2,303		0			2,303
Sell		842,319	01/2008		0		(1,428	)		(1,428	)
Buy		942,305	03/2008		2,062		0			2,062
Sell		942,305	03/2008		0		(2,077	)		(2,077	)
Buy	EUR	2,111	01/2008		4		(19	)		(15	)
Sell		164,445	01/2008		367		(128	)		239
Sell	GBP	168,343	01/2008		4,288		0			4,288
Buy	JPY	21,130,657	02/2008		704		0			704
Sell		52,642,175	02/2008		554		0			554
Buy	KRW	2,142,640	01/2008		0		(57	)		(57	)
Buy		35,331,252	05/2008		135		0			135
Buy	MXN	1,309,150	03/2008		67		(478	)		(411	)
Sell		542,593	03/2008		229		0			229
Buy		1,716,896	07/2008		1,372		(2	)		1,370
Sell		875,888	07/2008		478		0			478
Buy	MYR	50,575	05/2008		361		0			361
Sell	NZD	9,977	01/2008		0		(188	)		(188	)
Sell		9,977	02/2008		46		0			46
Buy	PLN	130,931	07/2008		5,781		0			5,781
Buy	RUB	1,373,311	01/2008		2,307		0			2,307
Sell		1,373,311	01/2008		116		(416	)		(300	)
Buy		17,945	07/2008		19		0			19
Buy		821,354	11/2008		9		(124	)		(115	)
Sell	SEK	1,634	01/2008		2		0			2
Buy		1,634	03/2008		0		(2	)		(2	)
Sell		54,893	03/2008		91		0			91
Buy	SGD	3,032	02/2008		77		0			77
Buy		66,197	05/2008		2,040		0			2,040
				$	34,547	$	(5,870	)	$	28,677

See accompanying notes

Schedule of Investments

RealEstateRealReturn Strategy Fund

December 31, 2007 (Unaudited)

	Principal Amount (000s)		Value (000s)
CORPORATE BONDS & NOTES 6.6%
Banking & Finance 5.5%
American Express Bank FSB
6.000% due 09/13/2017	$	300	$	302
American Express Centurion Bank
6.000% due 09/13/2017		300		302
American International Group, Inc.
5.850% due 01/16/2018		200		202
Atlantic & Western Re Ltd.
11.481% due 01/09/2009		700		707
Barclays Bank PLC
5.450% due 09/12/2012		800		821
6.050% due 12/04/2017		300		303
7.434% due 09/29/2049		100		104
Bear Stearns Cos., Inc.
6.950% due 08/10/2012		300		309
C10 Capital SPV Ltd.
6.722% due 12/31/2049		100		92
Capital One Financial Corp.
6.750% due 09/15/2017		300		288
Citigroup Funding, Inc.
4.896% due 04/23/2009		900		895
Citigroup, Inc.
4.872% due 12/28/2009		800		786
5.024% due 01/30/2009		500		496
General Electric Capital Corp.
5.172% due 12/12/2008		500		500
Goldman Sachs Group, Inc.
6.750% due 10/01/2037		1,000		983
Lehman Brothers Holdings, Inc.
6.200% due 09/26/2014		100		102
Merna Reinsurance Ltd.
5.480% due 07/07/2010 (j)		300		294
Rabobank Nederland
5.262% due 01/15/2009		400		400
Residential Reinsurance 2007 Ltd.
12.374% due 06/07/2010		400		413
Rockies Express Pipeline LLC
5.776% due 08/20/2009		600		601
Santander Perpetual S.A. Unipersonal
6.671% due 10/29/2049		300		301
Unicredit Luxembourg Finance S.A.
5.142% due 10/24/2008		400		399
Vita Capital III Ltd.
6.351% due 01/01/2012		300		296
Wachovia Bank N.A.
5.194% due 12/02/2010		800		794
				10,690
Industrials 0.4%
Canadian Natural Resources Ltd.
6.000% due 08/15/2016		100		101
EchoStar DBS Corp.
7.000% due 10/01/2013		600		609
Harrah’s Operating Co., Inc.
7.500% due 01/15/2009		100		104
				814
Utilities 0.7%
BellSouth Corp.
4.240% due 04/26/2021		800		797
Embarq Corp.
7.082% due 06/01/2016		100		103
NGPL Pipe Co. LLC
6.514% due 12/15/2012		500		508
				1,408
Total Corporate Bonds & Notes (Cost $12,837)				12,912
CONVERTIBLE BONDS & NOTES 0.4%
Chesapeake Energy Corp.
2.500% due 05/15/2037		650		726
Total Convertible Bonds & Notes (Cost $660)				726
MUNICIPAL BONDS & NOTES 0.7%
New York City, New York Municipal Water Finance Authority Revenue Bonds, Series 2006
4.750% due 06/15/2038		200		202
Ohio State Buckeye Tobacco Settlement Financing Authority Revenue Bonds, Series 2007
5.875% due 06/01/2047		100		95
Rhode Island State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2002
6.000% due 06/01/2023		500		506
6.125% due 06/01/2032		400		400
West Virginia State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2007
7.467% due 06/01/2047		100		96
Total Municipal Bonds & Notes (Cost $1,185)				1,299
U.S. GOVERNMENT AGENCIES 39.8%
Fannie Mae
5.000% due 08/01/2035 - 08/01/2037		5,407		5,277
5.500% due 03/01/2034 - 01/01/2038		29,948		29,924
6.000% due 09/01/2036 - 01/01/2038		20,535		20,857
6.063% due 10/01/2044		89		89
6.064% due 09/01/2044		88		88
Freddie Mac
4.500% due 05/15/2017		62		62
5.000% due 09/01/2035 - 11/01/2037		177		172
5.500% due 12/01/2036 - 11/01/2037		4,204		4,196
6.000% due 01/01/2037 - 12/01/2037		12,539		12,729
6.695% due 10/01/2036		1,434		1,472
6.718% due 09/01/2036		1,309		1,337
6.767% due 07/01/2036		1,179		1,205
Total U.S. Government Agencies (Cost $76,676)				77,408
U.S. TREASURY OBLIGATIONS 119.9%
Treasury Inflation Protected Securities (b)
1.625% due 01/15/2015		2,519		2,530
1.875% due 07/15/2013		458		472
1.875% due 07/15/2015		12,316		12,557
2.000% due 01/15/2014		20,528		21,210
2.000% due 01/15/2026		21,074		20,995
2.375% due 04/15/2011		31,437		32,778
2.375% due 01/15/2025		30,100		31,609
2.375% due 01/15/2027		3,007		3,181
2.500% due 07/15/2016		10,045		10,715
2.625% due 07/15/2017		42,143		45,485
3.000% due 07/15/2012		1,279		1,386
3.375% due 04/15/2032		943		1,208
3.625% due 04/15/2028		20,398		25,848
3.875% due 04/15/2029		8,905		11,786
4.250% due 01/15/2010		5,221		5,573
U.S. Treasury Notes
4.625% due 02/29/2012		5,500		5,773
Total U.S. Treasury Obligations (Cost $230,583)				233,106
MORTGAGE-BACKED SECURITIES 2.2%
Bear Stearns Adjustable Rate Mortgage Trust
4.125% due 03/25/2035		434		429
4.550% due 08/25/2035		250		246
4.876% due 01/25/2035		963		963
Citigroup Mortgage Loan Trust, Inc.
4.248% due 08/25/2035		156		153
4.748% due 08/25/2035		112		110
4.900% due 12/25/2035		67		66
Countrywide Home Loan Mortgage Pass-Through Trust
5.205% due 06/25/2035		515		504
GSR Mortgage Loan Trust
4.539% due 09/25/2035		1,230		1,221
MLCC Mortgage Investors, Inc.
4.250% due 10/25/2035		533		514
Total Mortgage-Backed Securities (Cost $4,190)				4,206
ASSET-BACKED SECURITIES 0.0%
Lehman XS Trust
4.945% due 07/25/2046		86		86
Residential Asset Securities Corp.
4.935% due 04/25/2036		7		7
Total Asset-Backed Securities (Cost $93)				93
FOREIGN CURRENCY-DENOMINATED ISSUES 5.4%
Canadian Government Bond
3.000% due 12/01/2036 (b)	CAD	217		273
France Government Bond
3.000% due 07/25/2012 (b)	EUR	1,856		2,843
General Electric Capital Corp.
6.500% due 09/15/2067	GBP	300		603
Italy Buoni Poliennali Del Tesoro
2.150% due 09/15/2014 (b)	EUR	548		806
Japanese Government CPI Linked Bond
0.800% due 12/10/2015	JPY	150,600		1,334
1.100% due 12/10/2016		109,890		990
1.200% due 06/10/2017		271,890		2,454
Royal Bank of Scotland Group PLC
7.092% due 10/29/2049	EUR	100		146
United Kingdom Gilt Inflation Linked Bond
2.500% due 05/20/2009	GBP	200		1,055
Total Foreign Currency-Denominated Issues (Cost $9,921)				10,504
SHORT-TERM INSTRUMENTS 9.2%
Certificates of Deposit 0.9%
Abbey National Treasury Services PLC
5.175% due 07/02/2008	$	1,700		1,701
Commercial Paper 1.8%
UBS Finance Delaware LLC
4.000% due 01/02/2008		3,600		3,600
Repurchase Agreements 0.8%
State Street Bank and Trust Co.
3.900% due 01/02/2008		1,472		1,472
(Dated 12/31/2007. Collateralized by Federal Home Loan Bank 3.625% due 01/15/2008 valued at $1,504. Repurchase proceeds are $1,472.)
U.S. Treasury Bills 5.7%
2.876% due 02/28/2008 - 03/13/2008 (a)(c)(d)(f)		11,135		11,035
Total Short-Term Instruments (Cost $17,845)				17,808
Purchased Options (h) 0.2% (Cost $323)				431
Total Investments 184.4% (Cost $354,313)			$	358,493
Written Options (j) (0.5%) (Premiums $473)				(890	)
Other Assets and Liabilities (Net) (83.9%)				(163,185	)
Net Assets (e) 100.0%			$	194,418

Notes to Schedule of Investments (amounts in thousands*, except number of contracts):

* A zero balance may reflect actual amounts rounding to less than one thousand.

(a) Coupon represents a weighted average rate.

(b) Principal amount of security is adjusted for inflation.

(c) Securities with an aggregate market value of $7,185 have been pledged as collateral for swap and swaption contracts on December 31, 2007.

(d) Securities with an aggregate market value of $2,080 have been pledged as collateral for delayed-delivery securities on December 31, 2007.

(e) As of December 31, 2007, derivative instruments with an aggregate depreciation of ($198) were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(f) Securities with an aggregate market value of $728 and cash of $1,480 have been segregated with the custodian to cover margin requirements for the following open futures contracts on December 31, 2007:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Euribor December Futures	Long	12/2008	35	$	19
90-Day Euribor September Futures	Short	09/2008	12		8
90-Day Eurodollar December Futures	Short	12/2008	42		(153	)
90-Day Eurodollar December Futures	Long	12/2009	133		53
90-Day Eurodollar June Futures	Long	06/2008	23		57
90-Day Eurodollar June Futures	Long	06/2009	161		202
90-Day Eurodollar March Futures	Short	03/2008	113		(129	)
90-Day Eurodollar March Futures	Long	03/2009	152		132
90-Day Eurodollar September Futures	Long	09/2008	168		1
90-Day Eurodollar September Futures	Long	09/2009	133		66
Japan Government 10-Year Bond March Futures	Short	03/2008	1		(5	)
U.S. Treasury 5-Year Note March Futures	Short	03/2008	283		(183	)
U.S. Treasury 10-Year Note March Futures	Long	03/2008	189		75
U.S. Treasury 30-Year Bond March Futures	Short	03/2008	120		71
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2008	8		5
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2008	45		54
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2009	8		6
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2008	157		(8	)
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2009	6		5
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2008	17		19
				$	295

(g) Swap agreements outstanding on December 31, 2007:

Credit Default Swaps on Securities

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Bank of America	GMAC LLC 6.875% due 08/28/2012	Sell	6.300	%	09/20/2012	$	700	$	(21	)
Bank of America	GMAC LLC 6.875% due 08/28/2012	Sell	7.000	%	09/20/2012		100		(1	)
Bear Stearns & Co., Inc.	Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.800	%	09/20/2012		100		1
BNP Paribas Bank	Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Buy	(0.390	%)	12/20/2012		100		1
Citibank N.A.	Bear Stearns Cos., Inc. 5.300% due 10/30/2015	Sell	0.720	%	09/20/2012		100		(4	)
Citibank N.A.	GMAC LLC 6.875% due 08/28/2012	Buy	(5.000	%)	09/20/2012		100		6
Citibank N.A.	RH Donnelley Corp. 8.875% due 01/15/2016	Sell	3.400	%	09/20/2012		200		(11	)
Credit Suisse USA, Inc.	Chesapeake Energy Corp. 6.875% due 01/15/2016	Sell	0.970	%	06/20/2012		100		(3	)
Credit Suisse USA, Inc.	Chesapeake Energy Corp. 6.875% due 01/15/2016	Sell	1.010	%	06/20/2012		300		(9	)
Credit Suisse USA, Inc.	Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Buy	(0.850	%)	03/20/2008		3,500		30
Credit Suisse USA, Inc.	Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.740	%	09/20/2012		100		0
Goldman Sachs & Co.	Bear Stearns Cos., Inc. 5.300% due 10/30/2015	Buy	(1.780	%)	12/20/2012		100		0
Goldman Sachs & Co.	GMAC LLC 6.875% due 08/28/2012	Sell	3.050	%	09/20/2012		200		(23	)
JPMorgan Chase & Co.	Bear Stearns Cos., Inc. 5.300% due 10/30/2015	Sell	0.720	%	09/20/2012		100		(5	)
JPMorgan Chase & Co.	Capital One Financial Corp. 6.250% due 11/15/2013	Buy	(1.150	%)	09/20/2012		300		18
JPMorgan Chase & Co.	Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	3.850	%	09/20/2012		100		(9	)
JPMorgan Chase & Co.	Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	0.700	%	09/20/2012		100		(2	)
Lehman Brothers, Inc.	Chesapeake Energy Corp. 6.875% due 01/15/2016	Sell	1.380	%	09/20/2012		200		(4	)
Morgan Stanley	Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	3.800	%	09/20/2012		100		(9	)
Royal Bank of Scotland Group PLC	Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	0.660	%	09/20/2012		100		(2	)
								$	(47	)

Credit Default Swaps on Credit Indices

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Bank of America	Dow Jones CDX N.A. HY8 Index	Buy	(2.750	%)	06/20/2012	$	500	$	13
Bank of America	Dow Jones CDX N.A. IG9 Index	Buy	(0.800	%)	12/20/2017		600		(1	)
Bear Stearns & Co., Inc.	Dow Jones CDX N.A. HY8 Index	Buy	(2.750	%)	06/20/2012		1,500		14
Bear Stearns & Co., Inc.	Dow Jones CDX N.A. HY9 Index	Buy	(3.750	%)	12/20/2012		200		5
Deutsche Bank AG	Dow Jones CDX N.A. HY8 Index	Buy	(2.750	%)	06/20/2012		400		2
Lehman Brothers, Inc.	Dow Jones CDX N.A. HY8 Index	Buy	(2.750	%)	06/20/2012		500		3
Lehman Brothers, Inc.	Dow Jones CDX N.A. HY9 Index	Sell	3.330	%	12/20/2012		800		5
Lehman Brothers, Inc.	Dow Jones CDX N.A. IG9 Index	Buy	(0.600	%)	12/20/2012		1,200		(5	)
Merrill Lynch & Co., Inc.	Dow Jones CDX N.A. IG9 Index	Buy	(0.600	%)	12/20/2012		1,900		23
Morgan Stanley	Dow Jones CDX N.A. IG9 Index	Buy	(0.600	%)	12/20/2012		1,900		23
								$	82

⁽¹⁾ If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will pay to the buyer of the protection an amount up to the notional value of the swap and in certain instances, take delivery of the security. As a buyer of protection, the Fund will generally receive from the seller of protection an amount up to the notional amount of the swap if a credit event occurs.

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Barclays Bank PLC	6-Month Australian Bank Bill	Pay	7.000	%	12/15/2009	AUD	1,600	$	(9	)
Barclays Bank PLC	6-Month Australian Bank Bill	Receive	6.750	%	12/15/2017		200		6
Citibank N.A.	6-Month Australian Bank Bill	Pay	6.500	%	01/15/2010		900		(15	)
Deutsche Bank AG	6-Month Australian Bank Bill	Pay	7.000	%	06/15/2010		8,300		(82	)
Morgan Stanley	6-Month Australian Bank Bill	Pay	7.000	%	12/15/2009		2,400		(14	)
Morgan Stanley	6-Month Australian Bank Bill	Receive	6.750	%	12/15/2017		300		9
Royal Bank of Canada	6-Month Australian Bank Bill	Pay	6.500	%	01/15/2010		1,900		(32	)
Barclays Bank PLC	BRL-CDI-Compounded	Pay	10.680	%	01/02/2012	BRL	1,900		(43	)
Merrill Lynch & Co., Inc.	BRL-CDI-Compounded	Pay	12.540	%	01/02/2012		2,000		1
Morgan Stanley	BRL-CDI-Compounded	Pay	10.115	%	01/02/2012		1,700		(46	)
Morgan Stanley	BRL-CDI-Compounded	Pay	12.540	%	01/02/2012		1,000		(2	)
UBS Warburg LLC	BRL-CDI-Compounded	Pay	12.410	%	01/04/2010		2,000		(3	)
UBS Warburg LLC	BRL-CDI-Compounded	Pay	10.575	%	01/02/2012		3,200		(105	)
Bank of America	3-Month Canadian Bank Bill	Receive	5.000	%	06/20/2012	CAD	700		2
Bank of America	3-Month Canadian Bank Bill	Pay	5.500	%	06/20/2017		500		0
Barclays Bank PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.103	%	10/15/2010	EUR	1,400		17
Barclays Bank PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.948	%	03/15/2012		100		(2	)
Barclays Bank PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.138	%	01/19/2016		2,000		(6	)
BNP Paribas Bank	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.090	%	10/15/2010		5,600		44
Goldman Sachs & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.995	%	03/15/2012		500		(8	)
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.948	%	03/15/2012		300		(6	)
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.958	%	04/10/2012		800		(17	)
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.353	%	10/15/2016		500		0
Morgan Stanley	6-Month EUR-LIBOR	Receive	4.000	%	06/15/2017		4,100		364
Royal Bank of Scotland Group PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.955	%	03/28/2012		400		(7	)
UBS Warburg LLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.146	%	10/15/2010		1,500		17
UBS Warburg LLC	Eurostat Eurozone HICP Ex Tobacco Unrevised Series NSA Index	Receive	2.275	%	10/15/2016		500		3
UBS Warburg LLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.350	%	10/15/2016		500		1
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	5.000	%	06/15/2009	GBP	4,000		(50	)
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	5.000	%	12/19/2009		11,400		58
Barclays Bank PLC	United Kingdom RPI Index	Pay	3.250	%	12/14/2017		800		6
Barclays Bank PLC	6-Month GBP-LIBOR	Receive	5.000	%	03/20/2018		300		(24	)
Goldman Sachs & Co.	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035		900		66
HSBC Bank USA	6-Month GBP-LIBOR	Receive	4.250	%	06/12/2036		1,100		124
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2010		1,600		22
Royal Bank of Scotland Group PLC	United Kingdom RPI Index	Pay	3.183	%	12/19/2017		1,000		(1	)
Royal Bank of Scotland Group PLC	United Kingdom RPI Index	Pay	3.440	%	09/10/2027		100		(1	)
Barclays Bank PLC	6-Month JPY-LIBOR	Receive	2.000	%	06/20/2017	JPY	110,000		(1	)
Deutsche Bank AG	6-Month JPY-LIBOR	Receive	2.000	%	06/20/2017		30,000		0
Goldman Sachs & Co.	6-Month JPY-LIBOR	Receive	2.000	%	06/20/2017		30,000		0
Morgan Stanley	6-Month JPY-LIBOR	Pay	1.000	%	03/18/2009		500,000		14
Royal Bank of Scotland Group PLC	6-Month JPY-LIBOR	Receive	2.000	%	06/20/2017		70,000		(4	)
Barclays Bank PLC	28-Day Mexico Interbank TIIE Banxico	Pay	8.330	%	02/14/2017	MXN	2,000		(3	)
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.170	%	11/04/2016		22,400		(53	)
Goldman Sachs & Co.	28-Day Mexico Interbank TIIE Banxico	Pay	8.170	%	11/04/2016		2,300		(5	)
Merrill Lynch & Co., Inc.	28-Day Mexico Interbank TIIE Banxico	Pay	8.170	%	11/04/2016		8,200		(18	)
Morgan Stanley	28-Day Mexico Interbank TIIE Banxico	Pay	8.170	%	11/04/2016		3,600		(9	)
Bank of America	3-Month USD-LIBOR	Receive	4.000	%	06/18/2013	$	20,000		(135	)
Barclays Bank PLC	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010		4,800		5
Barclays Bank PLC	3-Month USD-LIBOR	Pay	5.000	%	06/18/2010		1,800		6
Barclays Bank PLC	3-Month USD-LIBOR	Pay	4.000	%	06/18/2013		10,000		72
Barclays Bank PLC	3-Month USD-LIBOR	Receive	5.000	%	06/21/2013		4,300		(160	)
Citibank N.A.	3-Month USD-LIBOR	Pay	5.000	%	06/21/2008		300		3
Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	06/18/2038		500		12
Goldman Sachs & Co.	3-Month USD-LIBOR	Pay	5.000	%	06/21/2008		1,000		1
JPMorgan Chase & Co.	3-Month USD-LIBOR	Pay	4.000	%	06/18/2013		1,800		0
Merrill Lynch & Co., Inc.	3-Month USD-LIBOR	Receive	5.000	%	06/18/2018		400		(2	)
Morgan Stanley	3-Month USD-LIBOR	Pay	4.000	%	06/18/2013		1,200		9
Morgan Stanley	3-Month USD-LIBOR	Receive	5.000	%	06/21/2013		9,500		(317	)
Morgan Stanley	3-Month USD-LIBOR	Receive	5.000	%	06/18/2018		33,000		(619	)
Morgan Stanley	3-Month USD-LIBOR	Pay	5.000	%	06/18/2038		4,100		116
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010		7,900		(11	)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.000	%	06/18/2013		30,300		341
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	06/18/2018		1,800		(6	)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	06/18/2038		400		(12	)
UBS Warburg LLC	3-Month USD-LIBOR	Pay	5.000	%	06/21/2008		10,700		9
UBS Warburg LLC	3-Month USD-LIBOR	Pay	5.000	%	06/18/2009		11,000		180
								$	(320	)

Total Return Swaps

Counterparty	Type	Receive Total Return	Pay	Expiration Date	# of Contracts	Unrealized Appreciation/ (Depreciation)
Barclays Bank PLC	Long	Dow Jones - Wilshire REIT Total Return	1-Month USD-LIBOR less 0.350%	11/30/2008	4,847	$	(1,255	)
Bear Stearns & Co., Inc.	Long	Dow Jones - Wilshire REIT Total Return	1-Month USD-LIBOR plus 0.350%	03/04/2008	14,434		(4,328	)
Credit Suisse USA, Inc.	Long	Dow Jones - Wilshire REIT Total Return	1-Month USD-LIBOR plus 0.350%	02/28/2008	25,352		(7,583	)
Credit Suisse USA, Inc.	Short	Dow Jones - Wilshire REIT Total Return	1-Month USD-LIBOR plus 0.350%	02/28/2008	4,692		1,403
						$	(11,763	)

(h) Purchased options outstanding on December 31, 2007:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Cost		Value
Call - CBOT U.S. Treasury 5-Year Note March Futures	$	126.000	02/22/2008	24	$	1	$	1
Call - CBOT U.S. Treasury 5-Year Note March Futures		127.000	02/22/2008	105		2		2
Call - CBOT U.S. Treasury 30-Year Bond March Futures		139.000	02/22/2008	12		0		0
Put - CBOT U.S. Treasury 10-Year Note March Futures		101.500	02/22/2008	42		1		0
Put - CBOT U.S. Treasury 10-Year Note March Futures		102.000	02/22/2008	78		1		1
					$	5	$	4

Foreign Currency Options

Description	Exercise Price		Expiration Date	Notional Amount		Cost		Value
Call - OTC Euro versus U.S. dollar	$	1.353	06/26/2008	EUR	700	$	22	$	80
Put - OTC Euro versus U.S. dollar		1.353	06/26/2008		700		22		5
Call - OTC Euro versus U.S. dollar		1.392	07/08/2010		700		37		66
Put - OTC Euro versus U.S. dollar		1.392	07/08/2010		700		37		32
Call - OTC U.S. dollar versus Japanese yen	JPY	118.150	06/23/2008	$	2,900		76		11
Put - OTC U.S. dollar versus Japanese yen		118.150	06/23/2008		2,900		76		226
Call - OTC U.S. dollar versus Japanese yen		111.000	12/01/2008		1,000		18		7
						$	288	$	427

Options on Securities

Description	Strike Price		Expiration Date	Notional Amount		Cost		Value
Call - OTC Treasury Inflation Protected Securities 2.000% due 04/15/2012	$	112.000	03/17/2008	$	19,100	$	5	$	0
Call - OTC Treasury Inflation Protected Securities 2.375% due 01/15/2017		121.000	02/07/2008		13,000		3		0
Put - OTC Treasury Inflation Protected Securities 2.000% due 01/15/2014		87.000	02/05/2008		20,000		5		0
Put - OTC Treasury Inflation Protected Securities 2.000% due 01/15/2026		69.000	02/05/2008		10,000		2		0
Put - OTC Treasury Inflation Protected Securities 2.375% due 04/15/2011		91.500	01/15/2008		30,000		7		0
Put - OTC Treasury Inflation Protected Securities 2.375% due 01/15/2025		81.000	03/19/2008		30,000		7		0
Put - OTC Treasury Inflation Protected Securities 3.625% due 04/15/2028		81.500	01/15/2008		5,000		1		0
						$	30	$	0

(i) Written options outstanding on December 31, 2007:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Value
Call - CBOT U.S. Treasury 10-Year Note March Futures	$	111.000	02/22/2008	124	$	49	$	353

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Value
Call - OTC 30-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Receive	5.670	%	08/07/2008	$	300	$	14	$	33
Put - OTC 30-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Pay	5.670	%	08/07/2008		300		11		4
Call - OTC 10-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Receive	5.250	%	09/15/2008		1,000		27		52
Put - OTC 10-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Pay	5.250	%	09/15/2008		1,000		27		12
Call - OTC 30-Year Interest Rate Swap	Citibank N.A.	3-Month USD-LIBOR	Receive	5.670	%	08/07/2008		400		17		43
Put - OTC 30-Year Interest Rate Swap	Citibank N.A.	3-Month USD-LIBOR	Pay	5.670	%	08/07/2008		400		17		6
Call - OTC 7-Year Interest Rate Swap	Goldman Sachs & Co.	3-Month USD-LIBOR	Receive	5.365	%	09/20/2010		1,000		32		45
Put - OTC 7-Year Interest Rate Swap	Goldman Sachs & Co.	3-Month USD-LIBOR	Pay	5.365	%	09/20/2010		1,000		32		27
Call - OTC 30-Year Interest Rate Swap	JPMorgan Chase & Co.	3-Month USD-LIBOR	Receive	5.670	%	08/07/2008		600		21		65
Put - OTC 30-Year Interest Rate Swap	JPMorgan Chase & Co.	3-Month USD-LIBOR	Pay	5.670	%	08/07/2008		600		30		8
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.365	%	09/20/2010		2,000		58		90
Put - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.365	%	09/20/2010		2,000		69		54
									$	355	$	439

Foreign Currency Options

Description	Exercise Price		Expiration Date	Notional Amount		Premium		Value
Call - OTC U.S. dollar versus Japanese yen	JPY	118.150	06/23/2008	$	900	$	11	$	4
Put - OTC U.S. dollar versus Japanese yen		118.150	06/23/2008		900		41		70
Put - OTC U.S. dollar versus Japanese yen		100.000	12/01/2008		1,000		17		24
						$	69	$	98

(j) Restricted securities as of December 31, 2007:

Issuer Description	Coupon		Maturity Date	Acquisition Date	Cost		Market Value		Market Value as Percentage of Net Assets
Merna Reinsurance Ltd.	5.480	%	07/07/2010	09/21/2007	$	297	$	294	0.20	%

(k) Short sales outstanding on December 31, 2007:

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Value(2)
Fannie Mae	5.000	%	01/01/2038	$	4,700	$	4,629	$	4,586
Fannie Mae	6.000	%	01/01/2038		1,700		1,727		1,726
Freddie Mac	5.000	%	01/01/2038		400		393		390
Treasury Inflation Protected Securities	2.000	%	04/15/2012		19,776		20,262		20,502
Treasury Inflation Protected Securities	2.375	%	01/15/2017		13,650		14,366		14,409
U.S. Treasury Bonds	4.750	%	08/15/2017		1,200		1,260		1,268
U.S. Treasury Bonds	4.750	%	02/15/2037		600		620		628
U.S. Treasury Notes	4.125	%	08/31/2012		800		819		824
U.S. Treasury Notes	4.250	%	11/15/2013		8,200		8,380		8,504
U.S. Treasury Notes	4.250	%	08/15/2014		100		102		103
U.S. Treasury Notes	5.125	%	05/15/2016		5,100		5,558		5,522
						$	58,116	$	58,462

⁽²⁾ Market value includes $285 of interest payable on short sales.

(l) Foreign currency contracts outstanding on December 31, 2007:

Type	Currency	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	BRL	134	03/2008	$	4	$	0		$	4
Buy		10,302	07/2008		198		(15	)		182
Sell	CAD	197	01/2008		0		(5	)		(4	)
Sell	CHF	181	03/2008		1		0			1
Buy	CNY	17,829	01/2008		55		0			55
Sell		17,829	01/2008		0		(26	)		(26	)
Buy		14,704	03/2008		32		0			32
Sell		14,704	03/2008		0		(32	)		(32	)
Sell	EUR	3,093	01/2008		7		0			7
Buy	GBP	85	01/2008		0		0			0
Sell		2,628	01/2008		67		0			67
Buy	JPY	116,947	02/2008		8		0			8
Sell		765,180	02/2008		15		0			15
Buy	KRW	22,191	01/2008		0		(1	)		(1	)
Buy		685,653	05/2008		3		0			3
Buy	MXN	16,396	03/2008		1		(6	)		(5	)
Buy		16,276	07/2008		18		0			18
Sell		5,288	07/2008		3		0			3
Buy	MYR	604	05/2008		4		0			4
Buy	PLN	2,270	07/2008		91		0			91
Buy	RUB	19,676	01/2008		32		0			32
Sell		19,676	01/2008		0		(7	)		(7	)
Buy		10,292	11/2008		1		0			1
Buy	SGD	37	02/2008		1		0			1
Buy		1,117	05/2008		34		0			35
				$	575	$	(92	)	$	483

See accompanying notes

Schedule of Investments

Short Duration Municipal Income Fund

December 31, 2007 (Unaudited)

	Principal Amount (000s)		Value (000s)
MUNICIPAL BONDS & NOTES 96.0%
Alabama 1.8%
Daphne, Alabama Special Care Facilities Financing Authority Revenue Bonds, Series 1988
0.000% due 08/15/2028	$	3,500	$	3,434
Arizona 5.9%
Arizona State Greater Arizona Development Authority Infrastructure Revenue Notes, (MBIA Insured), Series 2005
5.000% due 08/01/2011		2,195		2,322
5.000% due 08/01/2012		2,305		2,460
Maricopa, Arizona Hospital Revenue Notes, Series 2005
5.000% due 04/01/2010		2,000		2,019
Nogales, Arizona Revenue Bonds, Series 2006
3.750% due 10/01/2046		1,000		1,003
Phoenix, Arizona Civic Improvement Corp. Revenue Bonds, (MBIA Insured), Series 2004
5.000% due 07/01/2015		3,000		3,243
				11,047
California 6.0%
Bakersfield, California Revenue Bonds, (FSA Insured), Series 2007
5.000% due 09/15/2019		1,175		1,287
Culver, California Redevelopment Agency Tax Allocation Bonds, (AMBAC Insured), Series 2005
5.000% due 11/01/2023		620		647
Golden State, California Tobacco Securitization Corporations Revenue Bonds, Series 2003
5.000% due 06/01/2021		895		902
Golden State, California Tobacco Securitization Corporations Revenue Bonds, Series 2007
5.000% due 06/01/2033		3,000		2,597
Imperial, California Community College District General Obligation Bonds, (XLCA Insured), Series 2006
0.000% due 08/01/2030		2,275		725
Morgan Hill, California Unified School District General Obligation Notes, (AMBAC Insured), Series 2006
0.000% due 08/01/2014		3,595		2,811
Southern California State Public Power Authority Revenue Bonds, Series 2007
5.250% due 11/01/2020		2,275		2,361
				11,330
Florida 0.7%
Collier, Florida Multi-Family Housing Finance Authority Revenue Notes, Series 2002
4.600% due 08/15/2011		665		684
Gulf Breeze, Florida Revenue Bonds, (MBIA Insured), Series 1997
4.314% due 12/01/2017		500		528
Hillsborough County, Florida Utility Revenue Bonds, Series 1978
6.200% due 12/01/2008		80		81
				1,293
Illinois 4.8%
De Kalb County, Illinois Community Unit School District No. 424 General Obligation Bonds, (AMBAC Insured), Series 2001
0.000% due 01/01/2018		2,000		1,319
Geneva, Illinois Revenue Bonds, (FSA Insured), Series 2003
5.000% due 05/01/2016		1,425		1,507
Illinois State Finance Authority Revenue Notes, Series 2004
5.250% due 11/15/2012		1,000		1,057
Kane County, Illinois Community Unit School District No. 304 Geneva General Obligation Notes, (FGIC Insured), Series 2004
0.000% due 01/01/2014		1,000		793
Kendall, Kane & Will Counties, Illinois High School Districts General Obligation Notes, (FSA Insured), Series 2003
0.000% due 10/01/2012		2,000		1,689
McHenry & Kane Counties, Illinois Community Consolidated School District No. 158 General Obligation Notes, (FGIC Insured), Series 2004
0.000% due 01/01/2009		1,390		1,346
Melrose Park, Illinois General Obligation Bonds, (MBIA Insured), Series 2004
6.750% due 12/15/2016		100		122
Sangamon County, Illinois School District No. 186 Springfield General Obligation Notes, (FGIC Insured), Series 2004
0.000% due 10/01/2008		1,225		1,194
0.000% due 10/01/2010		15		14
				9,041
Indiana 0.7%
Indiana State Health Facility Financing Authority Revenue Notes, Series 2005
5.000% due 11/01/2010		1,200		1,251
Kansas 0.2%
Wichita, Kansas Water & Sewer Utility Revenue Notes, (FGIC Insured), Series 2003
5.000% due 10/01/2010		355		372
Louisiana 2.8%
Louisiana State Jefferson Parish Finance Authority Revenue Bonds, (GNMA/FNMA/FHLMC Insured), Series 2007
5.700% due 06/01/2039		5,000		5,334
Massachusetts 9.2%
Commonwealth of Massachusetts General Obligation Bonds, (FSA Insured), Series 2006
3.810% due 11/01/2019		3,000		2,953
Commonwealth of Massachusetts General Obligation Bonds, (MBIA-IBC Insured), Series 1996
6.000% due 11/01/2011		1,500		1,647
Commonwealth of Massachusetts Revenue Bonds, (FGIC Insured), Series 2004
4.884% due 01/01/2016		3,200		3,422
Massachusetts State Bay Transportation Authority Revenue Bonds, Series 2004
3.924% due 07/01/2020		7,005		6,932
Massachusetts State Municipal Wholesale Electric Co. Revenue Bonds, (AMBAC Insured), Series 1993
5.450% due 07/01/2018		1,400		1,400
Massachusetts State Port Authority Revenue Bonds, (FSA-CR Insured), Series 1998
5.500% due 07/01/2014		1,000		1,020
				17,374
Michigan 2.4%
Clintondale, Michigan Community Schools General Obligation Notes, (FGIC Q-SBLF Insured), Series 2004
5.000% due 05/01/2011		960		1,012
Michigan State General Obligation Bonds, Series 1992
6.250% due 11/01/2012		2,750		2,982
Michigan State Tobacco Settlement Finance Authority Revenue Bonds, Series 2007
5.125% due 06/01/2022		600		571
				4,565
Missouri 3.5%
Springfield, Missouri Revenue Bonds, (FGIC Insured), Series 2006
4.750% due 08/01/2034		6,500		6,555
Nevada 2.2%
Clark County, Nevada General Obligation Bonds, (AMBAC Insured), Series 2004
5.000% due 12/01/2015		3,910		4,245
New Jersey 1.2%
New Jersey State Economic Development Authority Revenue Bonds, Series 1998
6.375% due 04/01/2018		500		583
New Jersey State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2003
6.125% due 06/01/2024		1,500		1,594
				2,177
New York 15.4%
Long Island, New York Power Authority Revenue Notes, (MBIA Insured), Series 2006
4.811% due 09/01/2015		5,000		4,861
New York City, New York General Obligation Bonds, (FGIC Insured), Series 1998
5.250% due 08/01/2010		2,505		2,561
New York City, New York General Obligation Bonds, Series 2001
5.250% due 08/01/2012		1,350		1,433
New York City, New York General Obligation Bonds, Series 2007
5.000% due 10/01/2019		8,400		8,981
New York City, New York Industrial Development Agency Revenue Bonds, (FGIC Insured), Series 2006
2.798% due 03/01/2022		8,000		7,894
New York City, New York Transitional Finance Authority Revenue Bonds, Series 2002
5.500% due 11/01/2026		100		108
New York State Dormitory Authority Revenue Bonds, Series 2002
6.000% due 11/15/2029		800		879
New York State Dormitory Authority Revenue Bonds, Series 2007
5.000% due 02/15/2037		1,500		1,533
New York State Local Government Assistance Corporations Revenue Notes, (FSA Insured), Series 2003
5.000% due 04/01/2012		500		535
New York State Tobacco Settlement Financing Corporations Revenue Notes, Series 2003
5.250% due 06/01/2012		140		140
New York State Urban Development Corporations Revenue Bonds, Series 2002
5.500% due 01/01/2017		140		149
				29,074
Ohio 3.0%
Ohio State Air Quality Development Authority Revenue Bonds, Series 1995
5.000% due 11/01/2015		1,000		1,037
Ohio State American Municipal Power, Inc. Revenue Bonds, Series 2007
5.000% due 02/01/2013		2,800		2,881
Ohio State Buckeye Tobacco Settlement Financing Authority Revenue Bonds, Series 2007
5.750% due 06/01/2034		600		571
5.875% due 06/01/2030		1,200		1,167
				5,656
Oklahoma 3.3%
Oklahoma City, Oklahoma General Obligation Bonds, Series 1999
5.000% due 07/01/2011		100		103
Oklahoma State Development Finance Authority Revenue Bonds, Series 1999
5.625% due 08/15/2029		5,900		6,188
				6,291
Oregon 0.7%
Oregon State Facilities Authority Revenue Notes, Series 2005
5.000% due 10/01/2011		795		825
5.000% due 10/01/2012		435		454
				1,279
Pennsylvania 0.3%
Philadelphia, Pennsylvania Hospitals & Higher Education Facilities Authority Revenue Bonds, Series 2007
5.000% due 07/01/2012		550		553
Puerto Rico 0.1%
Puerto Rico Children’s Trust Fund Revenue Notes, Series 2000
5.750% due 07/01/2010		250		266
Tennessee 2.6%
Nashville & Davidson Counties, Tennessee Health & Educational Facilities Revenue Bonds, Series 1977
6.100% due 07/01/2010		210		218
Tennessee State Energy Acquisition Corporations Revenue Bonds, Series 2006
5.000% due 09/01/2015		4,600		4,744
				4,962
Texas 14.9%
Birdville, Texas Independent School District General Obligations Bonds, (PSF-GTD Insured), Series 2007
0.000% due 02/15/2023		3,510		1,694
Ennis, Texas Independent School District 903 General Obligation Bonds, (PSF-GTD Insured), Series 2006
0.000% due 08/15/2032		4,055		1,122
Houston, Texas Independent School District General Obligation Notes, (PSF-GTD Insured), Series 2005
0.000% due 02/15/2015		16,000		12,181
Houston, Texas Water Conveyance System Certificates of Participation Bonds, (AMBAC Insured), Series 1993
6.800% due 12/15/2011		3,000		3,381
Lower Colorado River Authority, Texas Revenue Bonds, (FSA Insured), Series 1999
6.000% due 05/15/2010		400		419
Lower Colorado River Authority, Texas Revenue Bonds, (MBIA Insured) Series 2006
4.750% due 05/15/2029		5,665		5,700
Sabine River, Texas Pollution Control Authority Revenue Bonds, Series 2001
5.500% due 05/01/2022		1,000		957
Southeast Texas State Hospital Financing Agency Revenue Bonds, Series 1979
7.500% due 12/01/2009		320		338
Texas State Municipal Power Agency Revenue Bonds, (AMBAC Insured), Series 1989
0.000% due 09/01/2008		10		10
Texas State Municipal Power Agency Revenue Bonds, (MBIA Insured), Series 1993
0.000% due 09/01/2016		3,380		2,380
				28,182
Virginia 0.4%
Virginia State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2005
5.250% due 06/01/2019		750		786
Washington 7.4%
Everett, Washington Water & Sewer Revenue Notes, (MBIA Insured), Series 2003
4.500% due 07/01/2011		1,495		1,552
Washington State Energy Northwest Revenue Notes, (AMBAC Insured), Series 2004
5.250% due 07/01/2009		150		155
Washington State General Obligation Bonds, (AMBAC Insured), Series 2004
0.000% due 12/01/2019		2,960		1,765
Washington State General Obligation Bonds, Series 2001
5.000% due 01/01/2012		2,000		2,095
Washington State Tobacco Settlement Authority Revenue Notes, Series 2002
5.250% due 06/01/2010		8,245		8,428
				13,995
West Virginia 0.0%
Kanawha County, West Virginia Residential Mortgage Revenue Bonds, (FGIC Insured), Series 1979
7.375% due 09/01/2010		70		75
Wisconsin 6.5%
Badger, Wisconsin Tobacco Asset Securitization Corporations Revenue Notes, Series 2002
5.000% due 06/01/2008		2,240		2,248
Wisconsin State Housing & Economic Development Authority Revenue Bonds, (MBIA GO OF AUTH Insured), Series 2002
5.350% due 11/01/2022		5,765		5,894
Wisconsin State Housing & Economic Development Revenue Notes, (MBIA Insured), Series 2002
4.500% due 05/01/2010		1,655		1,686
4.500% due 11/01/2010		1,335		1,365
Wisconsin State Petroleum Revenue Notes, (FSA Insured), Series 2004
5.000% due 07/01/2012		1,000		1,043
				12,236
Total Municipal Bonds & Notes (Cost $181,624)				181,373
SHORT-TERM INSTRUMENTS 3.1%
Repurchase Agreements 2.3%
State Street Bank and Trust Co.
3.900% due 01/02/2008		4,357		4,357
(Dated 12/31/2007. Collateralized by Federal Home Loan Bank 3.625% due 01/15/2008 valued at $4,447. Repurchase proceeds are $4,358.)
U.S. Treasury Bills 0.8%
2.887% due 02/28/2008 - 03/13/2008 (a)(b)		1,485		1,477
Total Short-Term Instruments (Cost $5,835)				5,834
PURCHASED OPTIONS (c) 0.0%
(Cost $3)				2
Total Investments 99.1% (Cost $187,462)			$	187,209
Other Assets and Liabilities (Net) 0.9%				1,714
Net Assets 100.0%			$	188,923

Notes to Schedule of Investments (amounts in thousands*, except number of contracts):

* A zero balance may reflect actual amounts rounding to less than one thousand.

(a) Coupon represents a weighted average rate.

(b) Securities with an aggregate market value of $1,477 and cash of $1,560 have been segregated with the custodian to cover margin requirements for the following open futures contracts on December 31, 2007:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
U.S. Treasury 10-Year Note March Futures	Long	03/2008	84	$	84
U.S. Treasury 30-Year Bond March Futures	Short	03/2008	536		(948	)
				$	(864	)

(c) Purchased options outstanding on December 31, 2007:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Cost		Value
Call - CBOT U.S. Treasury 5-Year Note March Futures	$	123.000	02/22/2008	125	$	3	$	2
Call - CBOT U.S. Treasury 5-Year Note March Futures		124.000	02/22/2008	3		0		0
Call - CBOT U.S. Treasury 30-Year Bond March Futures		139.000	02/22/2008	6		0		0
					$	3	$	2

See accompanying notes

Schedule of Investments

Short-Term Fund

December 31, 2007 (Unaudited)

	Principal Amount (000s)		Value (000s)
BANK LOAN OBLIGATIONS 1.5%
Daimler Finance North America LLC
9.000% due 08/03/2012	$	15,900	$	15,329
HCA, Inc.
7.080% due 11/16/2013		2,481		2,394
Kinder Morgan, Inc.
6.350% due 05/24/2014		8,705		8,664
MGM Mirage
6.114% due 10/03/2011		1,800		1,706
6.187% due 10/03/2011		1,800		1,706
6.495% due 10/03/2011		5,400		5,068
SLM Corp.
0.000% due 02/16/2008		24,000		23,914
Total Bank Loan Obligations (Cost $59,101)				58,781
CORPORATE BONDS & NOTES 23.9%
Banking & Finance 15.7%
American Express Bank FSB
4.956% due 06/22/2009		3,000		2,992
5.252% due 06/12/2009		12,700		12,659
American Express Credit Corp.
5.285% due 03/02/2009		900		898
American Honda Finance Corp.
4.868% due 08/05/2008		3,100		3,099
American International Group, Inc.
4.884% due 06/23/2008		6,300		6,304
5.051% due 01/29/2010		26,800		26,887
Bank of America N.A.
5.132% due 06/12/2009		12,700		12,676
Bank of Ireland
4.951% due 12/19/2008		12,800		12,795
5.016% due 12/18/2009		5,200		5,187
Bear Stearns Cos., Inc.
5.105% due 02/23/2010		17,200		16,164
5.494% due 07/16/2009		12,300		11,836
6.950% due 08/10/2012		10,000		10,292
Calabash Re II Ltd.
15.891% due 01/08/2010		2,300		2,411
CIT Group Holdings, Inc.
5.134% due 01/30/2009		19,100		17,948
Citigroup, Inc.
4.898% due 12/26/2008		9,700		9,662
4.944% due 05/02/2008		5,300		5,299
5.024% due 01/30/2009		21,000		20,833
Credit Agricole S.A.
5.053% due 05/28/2009		14,300		14,311
Danske Bank A/S
4.919% due 08/19/2008		19,200		19,206
East Lane Re Ltd.
11.911% due 05/06/2011		1,700		1,708
Ford Motor Credit Co. LLC
5.625% due 10/01/2008		3,200		3,107
7.250% due 10/25/2011		3,050		2,644
7.800% due 06/01/2012		250		219
General Electric Capital Corp.
4.939% due 05/10/2010		16,500		16,329
4.939% due 08/15/2011		1,300		1,278
5.091% due 06/15/2009		2,000		1,999
5.303% due 10/06/2010		13,800		13,691
Glitnir Banki HF
5.440% due 04/20/2010		6,000		5,875
GMAC LLC
6.034% due 09/23/2008		2,600		2,512
6.119% due 05/15/2009		5,900		5,497
Goldman Sachs Group, Inc.
4.924% due 12/23/2008		900		898
4.974% due 12/22/2008		5,200		5,187
4.974% due 06/23/2009		41,910		41,251
5.142% due 06/28/2010		5,260		5,178
5.481% due 07/23/2009		1,000		999
HSBC Finance Corp.
5.121% due 09/15/2008		10,280		10,277
5.158% due 11/16/2009		4,000		3,940
5.212% due 03/12/2010		3,200		3,140
5.240% due 10/21/2009		5,000		4,979
5.281% due 12/05/2008		1,600		1,597
ING Security Life Institutional Funding
5.322% due 01/14/2008		21,000		21,004
John Deere Capital Corp.
5.038% due 09/25/2008		14,100		14,107
JPMorgan Chase & Co.
5.300% due 05/07/2010		19,100		18,856
Lehman Brothers Holdings, Inc.
4.905% due 11/24/2008		700		689
5.094% due 12/23/2010		9,700		9,046
Longpoint Re Ltd.
10.241% due 05/08/2010		3,300		3,387
MBNA Corp.
5.308% due 05/05/2008		6,320		6,332
Merrill Lynch & Co., Inc.
5.115% due 02/06/2009		2,660		2,648
6.050% due 08/15/2012		10,400		10,610
Metropolitan Life Global Funding I
4.945% due 05/17/2010		19,100		18,972
Morgan Stanley
4.925% due 05/07/2009		9,700		9,584
5.006% due 02/09/2009		12,100		11,954
Mystic Re Ltd.
15.081% due 06/07/2011		700		738
National Australia Bank Ltd.
5.181% due 09/11/2009		8,900		8,894
5.231% due 10/01/2008		2,000		1,998
Rabobank Nederland
5.243% due 04/06/2009		6,700		6,691
5.262% due 01/15/2009		14,800		14,783
Redwood Capital IX Ltd.
11.493% due 01/09/2008		2,000		1,999
Residential Reinsurance 2007 Ltd.
15.374% due 06/07/2010		4,300		4,483
Rockies Express Pipeline LLC
5.776% due 08/20/2009		20,900		20,915
Royal Bank of Scotland Group PLC
5.259% due 04/11/2008		4,100		4,100
Santander U.S. Debt S.A. Unipersonal
4.925% due 02/06/2009		19,200		19,096
4.970% due 09/19/2008		6,000		5,980
SLM Corp.
5.164% due 01/25/2008		2,000		1,997
Unicredit Luxembourg Finance S.A.
5.142% due 10/24/2008		13,570		13,546
Ventas Realty LP
6.750% due 06/01/2010		4,960		5,022
8.750% due 05/01/2009		3,000		3,090
Vita Capital III Ltd.
6.331% due 01/01/2011		2,200		2,173
VTB Capital S.A.
5.494% due 08/01/2008		17,200		17,050
Wachovia Bank N.A.
4.924% due 03/23/2009		3,300		3,293
5.015% due 02/23/2009		7,900		7,883
5.200% due 10/03/2008		7,100		7,087
Williams Cos., Inc. Credit Linked Certificate Trust
6.750% due 04/15/2009		1,000		1,016
World Savings Bank FSB
4.976% due 06/20/2008		2,000		2,002
				624,789
Industrials 4.7%
Albertson’s LLC
6.950% due 08/01/2009		2,100		2,137
Amgen, Inc.
5.133% due 11/28/2008		30,300		30,271
Comcast Corp.
5.542% due 07/14/2009		2,100		2,093
CSC Holdings, Inc.
7.250% due 07/15/2008		2,800		2,810
CVS Caremark Corp.
5.441% due 06/01/2010		7,800		7,722
Daimler Finance North America LLC
5.461% due 03/13/2009		3,800		3,780
EchoStar DBS Corp.
5.750% due 10/01/2008		6,700		6,708
6.375% due 10/01/2011		5,800		5,745
El Paso Corp.
6.500% due 06/01/2008		3,000		3,028
Forest Oil Corp.
8.000% due 06/15/2008		4,900		4,974
Fresenius Medical Care Capital Trust
7.875% due 06/15/2011		1,525		1,586
General Mills, Inc.
5.310% due 01/22/2010		8,000		7,950
HCA, Inc.
9.250% due 11/15/2016		2,400		2,526
HJ Heinz Co.
6.428% due 12/01/2008		13,500		13,747
Honeywell International, Inc.
5.061% due 07/27/2009		20,600		20,570
Intelsat Bermuda Ltd.
5.250% due 11/01/2008		1,500		1,489
Mandalay Resort Group
6.500% due 07/31/2009		1,500		1,508
Mirage Resorts, Inc.
6.750% due 02/01/2008		1,000		1,005
Reynolds American, Inc.
5.691% due 06/15/2011		9,600		9,368
Service Corp. International
6.500% due 03/15/2008		8,975		9,009
Sungard Data Systems, Inc.
3.750% due 01/15/2009		3,400		3,315
SUPERVALU, Inc.
7.500% due 11/15/2014		5,200		5,356
Transcontinental Gas Pipe Line Corp.
6.522% due 04/15/2008		1,650		1,654
Transocean, Inc.
5.341% due 09/05/2008		4,500		4,478
Trinity Industries Leasing Co.
7.755% due 02/15/2009		1,896		1,951
Wal-Mart Stores, Inc.
4.891% due 06/16/2008		6,500		6,502
Weyerhaeuser Co.
5.884% due 09/24/2009		10,300		10,331
Williams Cos., Inc.
6.375% due 10/01/2010		7,000		7,114
Xerox Corp.
5.716% due 12/18/2009		2,000		2,004
9.750% due 01/15/2009		6,415		6,708
				187,439
Utilities 3.5%
AT&T, Inc.
4.978% due 02/05/2010		11,900		11,799
5.080% due 11/14/2008		2,000		1,998
BellSouth Corp.
4.240% due 04/26/2021		9,300		9,268
4.969% due 08/15/2008		1,400		1,398
Enel Finance International S.A.
5.700% due 01/15/2013		19,900		20,226
Energy Future Holdings Corp.
6.375% due 01/01/2008		4,100		4,100
Entergy Gulf States, Inc.
3.600% due 06/01/2008		5,635		5,593
5.896% due 12/08/2008		9,600		9,633
Florida Power Corp.
5.279% due 11/14/2008		17,400		17,380
Midwest Generation LLC
8.300% due 07/02/2009		7,427		7,538
Ohio Edison Co.
4.000% due 05/01/2008		22,678		22,585
Ohio Power Co.
5.424% due 04/05/2010		2,000		1,983
PSEG Energy Holdings LLC
8.625% due 02/15/2008		2,815		2,834
Qwest Capital Funding, Inc.
6.375% due 07/15/2008		3,400		3,400
Qwest Corp.
5.625% due 11/15/2008		5,000		5,000
Sprint Nextel Corp.
5.242% due 06/28/2010		14,200		13,653
				138,388
Total Corporate Bonds & Notes (Cost $957,052)				950,616
MUNICIPAL BONDS & NOTES 0.0%
Palomar, California Community College District General Obligation Bonds, (FSA Insured), Series 2007
4.750% due 05/01/2032		500		509
Total Municipal Bonds & Notes (Cost $483)				509
COMMODITY INDEX-LINKED NOTES 0.2%
Goldman Sachs Commodity Index Total Return 0.2%
Morgan Stanley
4.805% due 07/07/2008		10,000		10,019
Total Commodity Index-Linked Notes (Cost $10,000)				10,019
U.S. GOVERNMENT AGENCIES 45.2%
Fannie Mae
4.500% due 09/25/2025		197		196
4.640% due 09/01/2035		997		995
4.774% due 11/01/2035		1,614		1,615
4.925% due 12/25/2036 - 07/25/2037		6,385		6,167
4.989% due 06/01/2035		1,017		1,022
4.995% due 03/25/2036		952		949
5.000% due 01/25/2017 - 08/01/2037		6,139		6,001
5.015% due 08/25/2034		1,138		1,121
5.035% due 01/01/2036		507		517
5.165% due 03/25/2036		4,418		4,450
5.215% due 05/25/2042 - 03/25/2044		2,726		2,699
5.265% due 06/25/2032 - 09/25/2032		107		107
5.315% due 10/25/2030		26		26
5.465% due 10/25/2017		350		354
5.468% due 01/01/2032		1,217		1,259
5.476% due 07/01/2034		45		46
5.500% due 02/01/2014 - 01/01/2038		1,074,902		1,074,012
5.590% due 06/01/2034		24		24
5.609% due 11/01/2025		25		26
5.620% due 05/01/2036		15,683		15,790
5.626% due 05/01/2036		286		288
5.630% due 02/01/2018		31		31
5.633% due 05/01/2021 - 04/01/2029		258		260
5.765% due 04/25/2032		14		14
5.825% due 12/01/2036		202		206
5.893% due 12/01/2036		215		219
6.000% due 08/01/2035 - 11/01/2037		333,333		338,594
6.063% due 06/01/2043 - 10/01/2044		17,439		17,472
6.500% due 10/25/2023 (a)		37		2
6.500% due 11/01/2028 - 10/25/2042		1,115		1,167
6.605% due 07/01/2029		300		304
6.970% due 08/01/2026		19		19
7.000% due 03/01/2013		49		51
7.129% due 08/01/2029		2,000		2,025
7.155% due 10/01/2023		37		37
7.179% due 12/01/2040		534		541
8.916% due 06/25/2032		753		797
Federal Home Loan Bank
3.500% due 05/13/2008 - 12/12/2008		3,135		3,120
4.000% due 01/16/2009 - 04/20/2009		51,300		51,278
4.020% due 06/30/2009		2,000		2,012
4.150% due 01/12/2009		1,950		1,950
4.250% due 09/26/2008		2,600		2,601
4.330% due 03/16/2010		2,500		2,537
4.400% due 02/08/2010		22,340		22,341
4.500% due 06/22/2010		12,400		12,667
5.000% due 07/30/2008		100		100
Federal Housing Administration
6.896% due 07/01/2020		375		379
7.350% due 04/01/2019		170		172
7.430% due 07/01/2021 - 09/01/2022		163		165
7.435% due 02/01/2019		196		199
Freddie Mac
3.000% due 12/15/2021		452		451
4.000% due 04/15/2022 - 11/15/2022		4,585		4,569
4.479% due 08/01/2035		1,099		1,096
4.500% due 12/15/2025		1,212		1,208
4.905% due 12/25/2036		33,249		32,807
5.000% due 01/15/2018 - 03/15/2026		1,187		1,188
5.258% due 02/15/2019		83,522		83,112
5.378% due 12/15/2030 - 06/15/2031		441		440
5.428% due 06/15/2031		443		444
5.478% due 12/15/2031		14		14
5.500% due 05/01/2013 - 09/01/2037		43,699		43,928
6.063% due 10/25/2044 - 02/25/2045		14,618		14,635
6.263% due 07/25/2044		14,832		14,832
6.500% due 08/15/2008 - 07/25/2043		1,093		1,102
6.750% due 08/15/2023		685		702
Ginnie Mae
5.528% due 02/16/2030		69		70
5.625% due 07/20/2022 - 09/20/2029		3,475		3,491
5.678% due 02/16/2030		202		204
5.899% due 03/20/2031		1,211		1,222
6.000% due 01/15/2032 - 03/20/2032		2,821		2,879
6.125% due 10/20/2017 - 10/20/2027		1,068		1,081
6.250% due 03/20/2029 - 03/20/2030		941		952
6.375% due 05/20/2021 - 05/20/2030		5,076		5,136
6.500% due 02/20/2019		24		24
7.500% due 02/20/2030		180		190
8.000% due 12/15/2030 - 03/15/2032		189		205
8.500% due 06/20/2027		185		200
Small Business Administration
7.540% due 08/10/2009		106		109
Total U.S. Government Agencies (Cost $1,782,015)				1,795,215
MORTGAGE-BACKED SECURITIES 12.7%
American Home Mortgage Investment Trust
4.290% due 10/25/2034		3,305		3,248
4.440% due 02/25/2045		97		95
5.000% due 09/25/2035		2,100		2,062
5.015% due 09/25/2035		25		25
Arran Residential Mortgages Funding PLC
5.252% due 04/12/2036		1,213		1,212
Banc of America Funding Corp.
4.621% due 02/20/2036		9,928		9,886
Banc of America Mortgage Securities, Inc.
6.500% due 09/25/2033		1,168		1,191
7.363% due 07/20/2032		262		266
Bear Stearns Adjustable Rate Mortgage Trust
4.125% due 03/25/2035		13,271		13,139
4.750% due 10/25/2035		25,882		25,715
5.659% due 11/25/2034		19,822		19,901
5.998% due 11/25/2034		3,408		3,412
6.267% due 11/25/2030		375		374
Bear Stearns Alt-A Trust
5.025% due 02/25/2034		2,681		2,547
5.527% due 09/25/2035		7,241		7,135
5.811% due 11/25/2036		5,542		5,468
5.902% due 01/25/2036		6,062		5,913
Bear Stearns Commercial Mortgage Securities
6.440% due 06/16/2030		985		986
Bear Stearns Mortgage Funding Trust
4.935% due 02/25/2037		8,192		8,140
Bear Stearns Structured Products, Inc.
4.989% due 01/25/2037		20,750		20,536
5.684% due 01/26/2036		20,245		20,066
5.787% due 12/26/2046		8,867		8,759
CC Mortgage Funding Corp.
4.995% due 05/25/2048		4,994		4,514
Citigroup Commercial Mortgage Trust
5.098% due 08/15/2021		24		23
Citigroup Mortgage Loan Trust, Inc.
4.679% due 08/25/2035		2,555		2,523
Countrywide Alternative Loan Trust
5.025% due 02/25/2047		467		438
5.029% due 09/20/2046		297		296
5.045% due 05/25/2047		7,099		6,704
5.099% due 05/20/2046		273		269
5.129% due 02/20/2047		9,525		8,993
5.145% due 02/25/2037		5,644		5,336
Countrywide Home Loan Mortgage Pass-Through Trust
3.876% due 11/19/2033		235		234
5.095% due 05/25/2035		696		640
5.135% due 05/25/2034		38		38
5.185% due 03/25/2035		1,203		1,141
5.205% due 06/25/2035		15,169		14,846
7.000% due 07/19/2031		6		6
CS First Boston Mortgage Securities Corp.
5.639% due 05/25/2032		6		6
5.758% due 03/25/2032		73		71
Deutsche ALT-A Securities, Inc. Alternate Loan Trust
4.935% due 01/25/2047		1,619		1,587
4.945% due 02/25/2037		2,427		2,382
4.955% due 08/25/2037		3,061		3,033
First Republic Mortgage Loan Trust
5.185% due 06/25/2030		895		874
5.328% due 08/15/2032		8,009		7,954
5.378% due 11/15/2031		540		529
Greenpoint Mortgage Funding Trust
4.945% due 10/25/2046		8,401		8,228
4.945% due 01/25/2047		7,499		7,355
5.085% due 06/25/2045		942		893
5.095% due 06/25/2045		425		403
5.135% due 11/25/2045		1,064		1,000
Greenwich Capital Acceptance, Inc.
8.063% due 06/25/2024		12		12
GS Mortgage Securities Corp. II
5.342% due 03/06/2020		6,960		6,657
5.352% due 06/06/2020		3		3
GSR Mortgage Loan Trust
4.539% due 09/25/2035		12,588		12,495
6.000% due 03/25/2032		3		3
GSRPM Mortgage Loan Trust
5.265% due 11/25/2031		2,584		2,582
Harborview Mortgage Loan Trust
4.995% due 04/19/2038		2,487		2,329
5.055% due 01/19/2038		52		51
5.185% due 05/19/2035		3,546		3,356
5.205% due 03/19/2037		8,038		7,553
Impac Secured Assets CMN Owner Trust
4.945% due 01/25/2037		4,193		4,115
Indymac ARM Trust
6.574% due 01/25/2032		9		9
6.596% due 01/25/2032		5		5
Indymac Index Mortgage Loan Trust
4.955% due 11/25/2046		2,811		2,741
4.965% due 01/25/2037		360		357
JPMorgan Mortgage Trust
5.023% due 02/25/2035		2,116		2,075
Lehman Brothers Floating Rate Commercial Mortgage Trust
5.108% due 09/15/2021		372		371
MASTR Asset Securitization Trust
5.500% due 09/25/2033		1,656		1,644
MASTR Seasoned Securities Trust
6.200% due 09/25/2017		649		656
Mellon Residential Funding Corp.
5.439% due 10/20/2029		4,637		4,505
5.468% due 12/15/2030		3,023		2,965
Merrill Lynch Floating Trust
5.098% due 06/15/2022		3,368		3,268
Merrill Lynch Mortgage Investors, Inc.
5.075% due 02/25/2036		7,702		7,418
MLCC Mortgage Investors, Inc.
4.250% due 10/25/2035		8,920		8,605
5.115% due 11/25/2035		6,950		6,719
5.408% due 03/15/2025		603		591
Morgan Stanley Capital I
5.088% due 10/15/2020		9,269		9,062
RAAC Series 2005-SP1
5.000% due 09/25/2034		769		765
Residential Accredit Loans, Inc.
5.075% due 04/25/2046		497		467
5.165% due 08/25/2035		2,365		2,235
6.148% due 09/25/2045		1,473		1,431
Residential Funding Mortgage Securities I, Inc.
6.500% due 03/25/2032		265		266
Sequoia Mortgage Trust
4.080% due 04/20/2035		1,841		1,831
5.299% due 07/20/2033		4,827		4,712
5.329% due 10/20/2027		2,258		2,155
Structured Adjustable Rate Mortgage Loan Trust
6.188% due 01/25/2035		147		143
Structured Asset Mortgage Investments, Inc.
4.965% due 09/25/2047		1,453		1,441
4.995% due 03/25/2037		2,243		2,133
5.085% due 05/25/2036		12,313		11,617
5.095% due 05/25/2045		1,231		1,167
5.215% due 07/19/2035		12,953		12,482
5.295% due 09/19/2032		112		109
5.315% due 03/19/2034		1,144		1,110
Structured Asset Securities Corp.
4.915% due 05/25/2036		829		807
4.975% due 04/25/2036		2,400		2,368
5.331% due 10/25/2035		1,707		1,691
6.039% due 02/25/2032		349		349
6.150% due 07/25/2032		290		289
7.143% due 01/25/2032		14		14
TBW Mortgage-Backed Pass-Through Certificates
4.965% due 09/25/2036		29		28
4.975% due 01/25/2037		5,002		4,900
Thornburg Mortgage Securities Trust
4.975% due 11/25/2046		9,150		8,944
4.985% due 03/25/2046		3,500		3,440
Wachovia Bank Commercial Mortgage Trust
5.118% due 09/15/2021		20,528		20,219
5.681% due 04/15/2034		250		250
Washington Mutual MSC Mortgage Pass-Through Certificates
5.967% due 02/25/2033		345		344
Washington Mutual, Inc.
4.046% due 09/25/2033		3,807		3,785
5.055% due 04/25/2045		2		2
5.135% due 12/25/2045		596		558
5.155% due 10/25/2045		1,034		972
5.405% due 12/25/2027		8,269		7,911
5.505% due 12/25/2027		4,019		3,792
5.518% due 01/25/2047		1,069		1,007
5.598% due 12/25/2046		3,785		3,565
5.788% due 02/25/2046		5,515		5,369
5.788% due 08/25/2046		25,535		25,068
5.883% due 07/25/2046		570		544
5.883% due 08/25/2046		14,772		14,272
5.883% due 12/25/2046		2,380		2,348
5.942% due 09/25/2036		137		137
5.988% due 11/25/2042		1,405		1,362
6.188% due 06/25/2042		1,897		1,809
6.188% due 08/25/2042		1,800		1,732
6.288% due 09/25/2046		1,092		1,068
6.288% due 11/25/2046		418		412
Wells Fargo Mortgage-Backed Securities Trust
3.989% due 12/25/2034		9,034		8,948
4.109% due 06/25/2035		483		481
Total Mortgage-Backed Securities (Cost $512,568)				503,388
ASSET-BACKED SECURITIES 9.5%
Aames Mortgage Investment Trust
4.925% due 04/25/2036		5		5
5.015% due 08/25/2035		147		146
Accredited Mortgage Loan Trust
4.915% due 02/25/2037		1,401		1,317
ACE Securities Corp.
4.915% due 06/25/2036		413		409
4.915% due 12/25/2036		1,401		1,361
4.925% due 10/25/2036		259		250
4.935% due 12/25/2035		222		221
4.945% due 02/25/2036		146		145
4.945% due 10/25/2036		2,167		2,108
4.955% due 06/25/2037		2,573		2,514
4.995% due 10/25/2036		2,400		2,242
American Express Credit Account Master Trust
5.028% due 01/18/2011		2,300		2,300
5.138% due 09/15/2010		5,000		5,001
Amortizing Residential Collateral Trust
5.155% due 07/25/2032		14		14
5.215% due 10/25/2031		525		492
5.215% due 08/25/2032		126		124
Argent Securities, Inc.
4.905% due 06/25/2036		151		150
4.915% due 10/25/2036		901		885
4.925% due 05/25/2036		99		99
4.935% due 04/25/2036		197		197
4.945% due 03/25/2036		217		217
Asset-Backed Funding Certificates
4.925% due 10/25/2036		43		43
4.925% due 11/25/2036		1,935		1,874
4.925% due 01/25/2037		3,515		3,461
Asset-Backed Securities Corp. Home Equity
4.915% due 11/25/2036		1,335		1,315
4.925% due 03/25/2036		68		68
4.945% due 05/25/2037		1,663		1,600
5.140% due 09/25/2034		13		12
Bank One Issuance Trust
5.138% due 12/15/2010		2,000		2,001
Basic Asset-Backed Securities Trust
4.945% due 04/25/2036		131		131
Bear Stearns Asset-Backed Securities Trust
4.915% due 11/25/2036		1,295		1,271
4.935% due 12/25/2036		1,447		1,418
4.945% due 10/25/2036		547		541
4.955% due 04/25/2036		198		196
5.195% due 10/25/2032		1,576		1,542
5.265% due 10/27/2032		103		102
5.315% due 03/25/2043		1,514		1,505
5.865% due 10/25/2037		5,457		5,247
Brazos Student Finance Corp.
5.430% due 06/01/2023		1,662		1,664
Carmax Auto Owner Trust
5.328% due 06/16/2008		354		354
Carrington Mortgage Loan Trust
4.905% due 05/25/2036		99		98
4.915% due 01/25/2037		195		190
5.103% due 10/25/2035		2,259		2,096
Centex Home Equity
5.490% due 03/25/2035		7		7
Chase Credit Card Master Trust
5.138% due 02/15/2011		3,700		3,700
5.198% due 09/15/2011		18,800		18,793
CIT Group Home Equity Loan Trust
5.135% due 06/25/2033		53		49
Citibank Credit Card Issuance Trust
5.045% due 02/07/2010		1,500		1,500
5.342% due 01/15/2010		1,040		1,040
Citigroup Mortgage Loan Trust, Inc.
4.905% due 12/25/2036		1,859		1,806
4.915% due 10/25/2036		599		594
4.915% due 11/25/2036		265		263
4.925% due 01/25/2037		1,150		1,129
4.925% due 05/25/2037		2,625		2,492
4.935% due 01/25/2037		3,982		3,831
4.975% due 03/25/2037		952		909
Countrywide Asset-Backed Certificates
4.895% due 01/25/2046		172		169
4.915% due 01/25/2037		156		154
4.915% due 03/25/2037		203		198
4.915% due 05/25/2037		10,961		10,709
4.915% due 07/25/2037		3,368		3,262
4.915% due 03/25/2047		991		975
4.925% due 03/25/2037		319		311
4.925% due 09/25/2046		729		721
4.935% due 06/25/2036		282		280
4.935% due 07/25/2036		93		92
4.935% due 08/25/2036		53		53
4.935% due 06/25/2037		2,450		2,390
4.945% due 06/25/2037		2,912		2,842
4.945% due 10/25/2037		1,626		1,598
4.965% due 08/25/2037		11,400		10,490
4.965% due 09/25/2037		1,642		1,607
4.965% due 09/25/2047		2,473		2,393
4.975% due 10/25/2046		1,823		1,784
4.995% due 07/25/2036		108		107
5.025% due 02/25/2036		794		772
5.045% due 09/25/2036		3,200		2,973
5.055% due 06/25/2036		2,100		2,025
5.345% due 12/25/2031		83		77
5.605% due 05/25/2032		186		182
Countrywide Home Equity Loan Trust
5.168% due 01/15/2037		234		223
Credit-Based Asset Servicing & Securitization LLC
4.925% due 11/25/2036		1,504		1,452
4.955% due 12/25/2037		2,260		2,205
4.985% due 07/25/2037		92		88
Delta Funding Home Equity Loan Trust
5.848% due 09/15/2029		36		35
EMC Mortgage Loan Trust
5.235% due 05/25/2040		187		185
Equity One Asset-Backed Securities, Inc.
5.165% due 04/25/2034		621		574
First Franklin Mortgage Loan Asset-Backed Certificates
4.895% due 05/25/2036		3,165		3,123
4.905% due 01/25/2038		3,002		2,905
4.915% due 11/25/2036		5,883		5,645
4.915% due 12/25/2036		1,272		1,242
4.935% due 12/25/2037		1,622		1,585
4.955% due 01/25/2036		735		731
5.235% due 12/25/2034		182		179
First USA Credit Card Master Trust
5.156% due 04/18/2011		6,800		6,803
Fremont Home Loan Trust
4.915% due 10/25/2036		1,818		1,796
4.925% due 01/25/2037		2,343		2,284
4.935% due 02/25/2037		689		675
GSAA Trust
4.975% due 06/25/2035		446		445
GSAMP Trust
4.925% due 04/25/2036		13		13
4.935% due 09/25/2036		46		45
4.935% due 10/25/2036		512		483
4.935% due 12/25/2036		3,604		3,508
4.965% due 01/25/2047		2,813		2,704
4.985% due 12/25/2035		176		175
5.155% due 03/25/2034		59		59
5.505% due 07/25/2032		14		13
HFC Home Equity Loan Asset-Backed Certificates
5.019% due 03/20/2036		128		126
Home Equity Asset Trust
4.925% due 05/25/2037		1,565		1,503
4.945% due 05/25/2036		410		407
HSBC Asset Loan Obligation
4.925% due 12/25/2036		2,829		2,716
HSI Asset Securitization Corp. Trust
4.915% due 12/25/2036		12,182		11,737
4.925% due 05/25/2037		451		431
4.945% due 12/25/2035		340		337
4.975% due 03/25/2036		6,700		6,591
Indymac Residential Asset-Backed Trust
4.905% due 08/25/2036		228		227
4.925% due 04/25/2037		2,700		2,642
4.945% due 07/25/2037		1,770		1,735
4.955% due 03/25/2036		438		437
4.995% due 04/25/2037		1,090		1,045
Irwin Home Equity Corp.
5.405% due 07/25/2032		338		330
IXIS Real Estate Capital Trust
4.925% due 08/25/2036		192		190
JPMorgan Mortgage Acquisition Corp.
4.905% due 08/25/2036		88		87
4.915% due 07/25/2036		2,142		2,104
4.915% due 08/25/2036		1,388		1,364
4.915% due 10/25/2036		3,863		3,767
4.925% due 04/01/2037		1,116		1,068
4.935% due 03/25/2036		488		486
4.945% due 03/25/2037		1,542		1,483
Lehman ABS Mortgage Loan Trust
4.955% due 06/25/2037		1,761		1,729
Lehman XS Trust
4.935% due 05/25/2046		983		976
4.945% due 04/25/2046		126		125
4.945% due 06/25/2046		569		561
4.945% due 08/25/2046		672		668
4.945% due 11/25/2046		1,965		1,882
4.955% due 05/25/2046		81		81
4.985% due 11/25/2036		420		420
5.015% due 04/25/2037		5,810		5,665
Long Beach Mortgage Loan Trust
4.895% due 06/25/2036		357		355
4.905% due 11/25/2036		1,740		1,710
4.925% due 10/25/2036		61		59
4.925% due 05/25/2046		144		143
4.955% due 01/25/2046		206		206
5.045% due 08/25/2035		36		35
5.145% due 10/25/2034		359		345
5.483% due 03/25/2032		117		110
MASTR Asset-Backed Securities Trust
4.915% due 03/25/2036		255		253
4.915% due 11/25/2036		2,034		1,979
4.915% due 01/25/2037		1,036		1,003
4.925% due 10/25/2036		31		30
4.925% due 11/25/2036		2,620		2,551
4.945% due 01/25/2036		200		199
4.945% due 05/25/2037		1,434		1,405
MBNA Credit Card Master Note Trust
5.128% due 12/15/2011		2,000		1,997
5.148% due 08/16/2010		5,200		5,202
Merrill Lynch First Franklin Mortgage Loan Trust
4.925% due 07/25/2037		3,341		3,227
Merrill Lynch Mortgage Investors, Inc.
4.895% due 05/25/2037		1,077		1,062
4.895% due 06/25/2037		1,237		1,223
4.925% due 04/25/2037		477		472
4.935% due 08/25/2036		4,845		4,778
4.935% due 02/25/2037		488		485
4.935% due 07/25/2037		244		238
4.945% due 09/25/2037		193		189
4.985% due 02/25/2037		2,581		2,468
Morgan Stanley ABS Capital I
4.895% due 06/25/2036		516		509
4.905% due 06/25/2036		887		875
4.905% due 07/25/2036		954		938
4.905% due 09/25/2036		112		109
4.905% due 10/25/2036		1,471		1,452
4.905% due 01/25/2037		2,726		2,667
4.915% due 10/25/2036		3,367		3,218
4.915% due 11/25/2036		5,843		5,621
4.925% due 05/25/2037		6,456		6,229
4.935% due 02/25/2036		560		559
4.965% due 09/25/2036		125		118
Morgan Stanley Home Equity Loans
4.915% due 12/25/2036		1,908		1,870
Morgan Stanley IXIS Real Estate Capital Trust
4.915% due 11/25/2036		1,646		1,602
Nationstar Home Equity Loan Trust
4.925% due 03/25/2037		1,383		1,357
Nelnet Student Loan Trust
5.182% due 09/25/2012		803		802
New Century Home Equity Loan Trust
4.925% due 05/25/2036		408		408
4.935% due 08/25/2036		741		735
5.045% due 05/25/2036		1,600		1,543
5.125% due 06/25/2035		26		25
Option One Mortgage Loan Trust
4.905% due 02/25/2037		945		914
4.915% due 07/25/2036		678		672
4.915% due 01/25/2037		3,948		3,885
4.925% due 07/25/2037		1,681		1,654
5.405% due 06/25/2032		72		71
5.405% due 08/25/2032		314		309
Park Place Securities, Inc.
5.125% due 09/25/2035		681		668
Popular ABS Mortgage Pass-Through Trust
4.955% due 06/25/2047		3,046		2,955
Quest Trust
5.425% due 06/25/2034		9		9
Renaissance Home Equity Loan Trust
5.225% due 11/25/2034		124		122
5.305% due 08/25/2033		903		878
5.365% due 12/25/2033		775		762
Residential Asset Mortgage Products, Inc.
4.935% due 11/25/2036		122		120
4.945% due 10/25/2036		237		231
4.965% due 08/25/2046		1,067		1,048
5.425% due 06/25/2032		10		10
Residential Asset Securities Corp.
4.905% due 06/25/2036		1,334		1,315
4.925% due 01/25/2037		1,597		1,546
4.935% due 03/25/2036		26		26
4.935% due 04/25/2036		197		196
4.935% due 07/25/2036		775		770
4.935% due 11/25/2036		8,793		8,585
4.935% due 02/25/2037		1,597		1,565
4.945% due 10/25/2036		54		53
4.975% due 04/25/2037		2,563		2,509
Residential Funding Mortgage Securities II, Inc.
4.985% due 05/25/2037		2,595		2,550
SACO I, Inc.
4.925% due 05/25/2036		793		753
Salomon Brothers Mortgage Securities VII, Inc.
5.165% due 03/25/2032		142		141
Saxon Asset Securities Trust
4.925% due 10/25/2046		366		362
5.135% due 01/25/2032		15		15
Sears Credit Account Master Trust
5.248% due 04/16/2013		700		698
Securitized Asset-Backed Receivables LLC Trust
4.905% due 01/25/2037		1,280		1,240
4.925% due 03/25/2036		943		931
SLC Student Loan Trust
4.849% due 02/15/2015		6,536		6,525
SLM Student Loan Trust
3.800% due 12/15/2038		3,800		3,725
5.054% due 04/25/2012		325		326
5.064% due 04/25/2014		4,388		4,383
5.074% due 10/27/2014		3,169		3,163
5.074% due 10/25/2016		1,988		1,989
5.074% due 07/25/2017		2,506		2,506
Soundview Home Equity Loan Trust
4.905% due 11/25/2036		666		661
4.925% due 12/25/2036		879		867
4.945% due 01/25/2037		2,508		2,460
4.945% due 06/25/2037		2,354		2,310
4.965% due 10/25/2036		67		67
Specialty Underwriting & Residential Finance
4.895% due 06/25/2037		872		859
4.910% due 11/25/2037		211		207
4.925% due 01/25/2038		1,808		1,761
4.945% due 12/25/2036		425		422
5.205% due 01/25/2034		85		83
Structured Asset Investment Loan Trust
4.915% due 07/25/2036		1,019		976
Structured Asset Securities Corp.
4.900% due 04/25/2035		4,170		4,076
4.915% due 10/25/2036		61		60
4.945% due 01/25/2037		1,385		1,338
4.965% due 01/25/2037		1,530		1,455
4.995% due 12/25/2035		16		16
5.155% due 01/25/2033		1,637		1,608
Washington Mutual Asset-Backed Certificates
4.915% due 01/25/2037		2,724		2,610
4.925% due 10/25/2036		906		875
4.935% due 04/25/2036		192		190
Wells Fargo Home Equity Trust
4.915% due 01/25/2037		1,351		1,326
4.965% due 03/25/2037		807		791
5.105% due 10/25/2035		7,595		7,119
Total Asset-Backed Securities (Cost $384,960)				375,976
FOREIGN CURRENCY-DENOMINATED ISSUES 0.5%
Atlas Reinsurance PLC
8.786% due 01/10/2010	EUR	2,300		3,413
BTM Curacao Holdings NV
1.570% due 11/29/2049	JPY	100,000		893
Mizuho Bank Ltd.
1.432% due 12/31/2049		700,000		6,289
Sumitomo Mitsui Banking Corp.
1.580% due 06/29/2049		600,000		5,444
1.782% due 11/26/2049		200,000		1,804
1.874% due 09/29/2049		100,000		899
Total Foreign Currency-Denominated Issues (Cost $17,399)				18,742
	Shares
PREFERRED STOCKS 0.4%
DG Funding Trust
6.979% due 12/31/2049		328		3,469
Fresenius Medical Care Capital Trust II
7.875% due 02/01/2008		11,521		11,550
Total Preferred Stocks (Cost $15,236)				15,019
	Principal Amount (000s)
SHORT-TERM INSTRUMENTS 12.5%
Certificates of Deposit 6.2%
Abbey National Treasury Services PLC
5.175% due 07/02/2008	$	6,800		6,802
ABN AMRO N.A. Finance
5.405% due 07/11/2008		12,100		12,100
Bank of Ireland
5.282% due 01/15/2010		16,800		16,829
Barclays Bank PLC
4.619% due 03/17/2008		17,500		17,504
5.490% due 08/10/2009		9,600		9,611
Calyon Financial, Inc.
5.204% due 01/16/2009		16,900		16,875
5.266% due 06/29/2010		700		698
Calyon N.A. LLC
5.305% due 01/16/2009		5,600		5,592
Dexia S.A.
4.759% due 09/29/2008		8,000		8,003
Fortis Bank NY
4.745% due 04/28/2008		800		800
4.790% due 06/30/2008		20,700		20,682
5.148% due 09/30/2008		3,700		3,693
5.441% due 05/20/2008		3,000		2,999
HSBC Bank USA N.A.
5.426% due 07/28/2008		1,200		1,201
Nordea Bank Finland PLC
5.188% due 12/01/2008		1,700		1,698
5.230% due 04/09/2009		33,500		33,469
5.320% due 02/06/2009		3,500		3,496
Royal Bank of Canada
4.630% due 05/02/2008		20,200		20,200
Royal Bank of Scotland Group PLC
4.734% due 03/26/2008		2,900		2,899
Skandinaviska Enskilda Banken AB
4.869% due 02/13/2009		28,100		28,075
5.095% due 01/05/2009		8,000		7,988
5.340% due 08/21/2008		2,700		2,700
Societe Generale NY
4.768% due 06/30/2008		8,100		8,102
5.270% due 03/26/2008		8,980		8,980
Unicredito Italiano NY
5.062% due 05/29/2008		2,200		2,200
				243,196
Commercial Paper 5.6%
Citibank N.A.
5.940% due 02/04/2008		40,600		40,379
Cox Communications, Inc.
6.002% due 01/15/2008		11,240		11,237
General Electric Capital Corp.
3.750% due 01/02/2008		82,200		82,200
National Australia Bank Ltd.
4.510% due 01/18/2008		6,000		5,988
Santander Hispano Finance Delaware
5.190% due 01/28/2008		70,000		69,738
Unicredito Italiano SpA
5.125% due 01/22/2008		13,000		12,963
5.150% due 01/18/2008		600		599
				223,104
Repurchase Agreements 0.6%
Fixed Income Clearing Corp.
2.250% due 01/02/2008		5,000		5,000
(Dated 12/31/2007. Collateralized by Freddie Mac 4.875% due 02/09/2010 valued at $5,104. Repurchase proceeds are $5,001.)
3.900% due 01/02/2008		18,791		18,791
(Dated 12/31/2007. Collateralized by Fannie Mae 3.250% due 01/15/2008 valued at $19,171. Repurchase proceeds are $18,795.)
				23,791
U.S. Treasury Bills 0.1%
2.949% due 02/28/2008 - 03/13/2008 (b)(c)(e)		4,405		4,367
Total Short-Term Instruments (Cost $494,483)				494,458
Purchased Options (g) 1.0% (Cost $12,542)				39,240
Total Investments 107.4% (Cost $4,245,839)			$	4,261,963
Written Options (h) (0.6%) (Premiums $6,391)				(23,767	)
Other Assets and Liabilities (Net) (6.8%)				(269,640	)
Net Assets (d) 100.0%			$	3,968,556

Notes to Schedule of Investments (amounts in thousands*, except number of contracts):

* A zero balance may reflect actual amounts rounding to less than one thousand.

(a) Interest only security.

(b) Coupon represents a weighted average rate.

(c) Securities with an aggregate market value of $2,232 have been pledged as collateral for swap and swaption contracts on December 31, 2007.

(d) As of December 31, 2007, portfolio securities with an aggregate value of $93,295 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(e) Securities with an aggregate market value of $2,135 and cash of $20,690 have been segregated with the custodian to cover margin requirements for the following open futures contracts on December 31, 2007:

Description	Type	Expiration Month	# of Contracts		Unrealized Appreciation/ (Depreciation)
30-Day Federal Funds February Futures	Short	02/2008	1	$	(1	)
90-Day Eurodollar December Futures	Long	12/2009	118		32
90-Day Eurodollar June Futures	Long	06/2008	2,071		6,748
90-Day Eurodollar March Futures	Long	03/2008	118		196
90-Day Eurodollar March Futures	Long	03/2009	2,512		6,670
Euro-Schatz March Futures	Short	03/2008	2,490		2,271
U.S. Treasury 30-Year Bond March Futures	Short	03/2008	3,892		(965	)
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2008	2,502		1,513
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2008	11		8
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2008	3,028		1,140
				$	17,612

(f) Swap agreements outstanding on December 31, 2007:

Credit Default Swaps on Securities

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Bank of America	Energy Transfer Partners LP 5.950% due 02/01/2015	Sell	0.330	%	06/20/2012	$	3,800	$	(104	)
Bank of America	Glitnir Banki HF floating rate based on 3-Month USD-LIBOR plus 0.260% due 04/20/2010	Buy	(0.170	%)	06/20/2010		6,000		296
Bank of America	Morgan Stanley 6.600% due 04/01/2012	Sell	0.870	%	09/20/2012		2,800		(12	)
Bank of America	Plains All American Pipeline LP 7.750% due 10/15/2012	Sell	0.320	%	06/20/2012		3,800		(38	)
Bank of America	Valero Energy Corp. 6.875% due 04/15/2012	Sell	0.320	%	06/20/2012		3,800		(42	)
Barclays Bank PLC	Panama Government International Bond 8.875% due 09/30/2027	Sell	0.260	%	12/20/2008		1,600		(3	)
Barclays Bank PLC	Pemex Project Funding Master Trust 9.500% due 09/15/2027	Sell	0.290	%	12/20/2008		4,000		1
Barclays Bank PLC	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.710	%	12/20/2008		3,900		(12	)
Barclays Bank PLC	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.720	%	12/20/2008		1,400		(4	)
Bear Stearns & Co., Inc.	Morgan Stanley 6.600% due 04/01/2012	Sell	0.800	%	09/20/2012		10,000		(74	)
Citibank N.A.	Nabors Industries, Inc. 5.375% due 08/15/2012	Buy	(0.480	%)	06/20/2012		3,800		(4	)
Deutsche Bank AG	Diamond Offshore Drilling, Inc. 0.000% due 06/06/2020	Buy	(0.230	%)	06/20/2012		3,800		12
Deutsche Bank AG	GlobalSantaFe Corp. 5.000% due 02/15/2013	Buy	(0.500	%)	06/20/2012		3,800		(44	)
Deutsche Bank AG	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.420	%	12/20/2008		1,600		(6	)
Deutsche Bank AG	Noble Corp. 5.875% due 06/01/2013	Buy	(0.510	%)	06/20/2012		3,800		(8	)
Deutsche Bank AG	Panama Government International Bond 8.875% due 09/30/2027	Sell	0.250	%	12/20/2008		2,200		(4	)
Deutsche Bank AG	Peru Government International Bond 8.750% due 11/21/2033	Sell	0.330	%	12/20/2008		1,600		(2	)
Deutsche Bank AG	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.720	%	12/20/2008		3,900		(12	)
JPMorgan Chase & Co.	Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.850	%	09/20/2012		7,600		61
Lehman Brothers, Inc.	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.400	%	12/20/2008		4,000		(15	)
Lehman Brothers, Inc.	Pemex Project Funding Master Trust 9.500% due 09/15/2027	Sell	0.290	%	12/20/2008		1,700		0
Lehman Brothers, Inc.	Peru Government International Bond 8.750% due 11/21/2033	Sell	0.320	%	12/20/2008		4,000		(5	)
Lehman Brothers, Inc.	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.310	%	12/20/2008		1,700		(4	)
Merrill Lynch & Co., Inc.	Enbridge Energy Partners LP 4.750% due 06/01/2013	Sell	0.280	%	06/20/2012		3,800		(56	)
Merrill Lynch & Co., Inc.	Kinder Morgan Energy Partners LP 6.750% due 03/15/2011	Sell	0.290	%	06/20/2012		3,800		(37	)
Royal Bank of Scotland Group PLC	Fannie Mae 5.250% due 08/01/2012	Sell	0.950	%	12/20/2012		5,000		49
Royal Bank of Scotland Group PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.400	%	12/20/2008		4,200		(15	)
Royal Bank of Scotland Group PLC	Merrill Lynch & Co., Inc. 5.000% due 01/15/2015	Sell	0.800	%	09/20/2012		4,700		(93	)
								$	(175	)

⁽¹⁾ If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will pay to the buyer of the protection an amount up to the notional value of the swap and in certain instances, take delivery of the security. As a buyer of protection, the Fund will generally receive from the seller of protection an amount up to the notional amount of the swap if a credit event occurs.

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
Deutsche Bank AG	6-Month Australian Bank Bill	Pay	6.500	%	01/15/2010	AUD	40,500	$	(712	)
BNP Paribas Bank	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.983	%	03/15/2012	EUR	3,400		(63	)
Goldman Sachs & Co.	6-Month EUR-LIBOR	Pay	4.000	%	09/19/2009		50,200		(410	)
Goldman Sachs & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.995	%	03/15/2012		9,900		(154	)
JPMorgan Chase & Co.	6-Month EUR-LIBOR	Pay	4.500	%	03/19/2010		38,300		(298	)
Lehman Brothers, Inc.	6-Month EUR-LIBOR	Pay	4.500	%	03/19/2010		53,100		(304	)
Morgan Stanley	6-Month EUR-LIBOR	Pay	4.500	%	03/19/2010		104,200		(655	)
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	6.000	%	06/19/2009	GBP	44,100		418
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2010		22,500		253
Barclays Bank PLC	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035		8,800		520
Royal Bank of Canada	6-Month GBP-LIBOR	Pay	6.000	%	06/19/2009		12,400		117
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Pay	6.000	%	06/19/2009		85,900		840
Barclays Bank PLC	3-Month USD-LIBOR	Receive	4.000	%	06/18/2010	$	51,500		(8	)
Goldman Sachs & Co.	3-Month USD-LIBOR	Receive	4.000	%	06/18/2010		50,900		(154	)
Morgan Stanley	3-Month USD-LIBOR	Pay	4.000	%	06/18/2009		344,600		594
Morgan Stanley	3-Month USD-LIBOR	Receive	5.000	%	06/18/2018		56,800		(1,065	)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	06/18/2018		48,400		(75	)
UBS Warburg LLC	3-Month USD-LIBOR	Pay	5.000	%	06/21/2008		104,700		27
								$	(1,129	)

(g) Purchased options outstanding on December 31, 2007:

Options on Exchange-Traded Futures Contracts

Description		Exercise Price	Expiration Date	# of Contracts		Cost		Value
Call - CME 90-Day Eurodollar March Futures	$	95.500	03/17/2008	917	$	467	$	728

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date		Notional Amount		Cost		Value
Call - OTC 2-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Pay	4.750	%	09/26/2008	$	232,200	$	1,173	$	4,820
Call - OTC 1-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Pay	4.750	%	02/01/2008		144,400		415		1,103
Call - OTC 2-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	4.750	%	03/31/2008		124,000		688		2,509
Call - OTC 2-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	4.750	%	09/26/2008		219,000		761		4,546
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	02/01/2008		93,300		463		2,183
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	09/26/2008		232,500		831		4,826
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	12/15/2008		99,000		349		1,970
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	12/15/2008		318,600		1,318		7,548
									$	5,998	$	29,505

Foreign Currency Options

Description	Exercise Price		Expiration Date	Notional Amount		Cost		Value
Call - OTC Euro versus U.S. dollar	$	1.355	05/21/2008	EUR	16,400	$	488	$	1,838
Put - OTC Euro versus U.S. dollar		1.355	05/21/2008		16,400		488		100
Call - OTC Euro versus Japanese yen	JPY	148.300	05/20/2010		8,100		464		789
Put - OTC Euro versus Japanese yen		148.300	05/20/2010		8,100		464		619
Call - OTC Euro versus U.S. dollar	$	1.375	05/21/2010		9,000		443		927
Put - OTC Euro versus U.S. dollar		1.375	05/21/2010		9,000		443		356
Call - OTC Euro versus U.S. dollar		1.372	06/03/2010		6,800		331		714
Put - OTC Euro versus U.S. dollar		1.372	06/03/2010		6,800		331		265
Call - OTC Euro versus U.S. dollar		1.375	06/03/2010		11,600		556		1,197
Put - OTC Euro versus U.S. dollar		1.375	06/03/2010		11,600		556		462
Call - OTC U.S. dollar versus Japanese yen	JPY	105.200	03/31/2010	$	5,000		211		232
Put - OTC U.S. dollar versus Japanese yen		105.200	03/31/2010		5,000		211		252
Call - OTC U.S. dollar versus Japanese yen		105.400	03/31/2010		13,000		546		591
Put - OTC U.S. dollar versus Japanese yen		105.400	03/31/2010		13,000		545		665
						$	6,077	$	9,007

(h) Written options outstanding on December 31, 2007:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Value
Call - CME 90-Day Eurodollar March Futures	$	95.750	03/14/2008	459	$	256	$	1,045
Call - CME 90-Day Eurodollar March Futures		95.875	03/14/2008	459		211		915
					$	467	$	1,960

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Value
Call - OTC 5-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Receive	4.950	%	09/26/2008	$	101,500	$	1,194	$	3,699
Call - OTC 5-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Receive	4.900	%	02/01/2008		31,700		395		1,044
Call - OTC 5-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	4.900	%	03/31/2008		53,900		658		1,863
Call - OTC 5-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	4.950	%	09/26/2008		95,000		765		3,462
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.100	%	02/01/2008		40,600		487		1,694
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.950	%	09/26/2008		102,500		840		3,735
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	12/15/2008		33,000		340		1,296
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.200	%	12/15/2008		106,200		1,245		5,014
									$	5,924	$	21,807

(i) Short sales outstanding on December 31, 2007:

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Value(2)
Fannie Mae	5.000	%	01/01/2038	$	1,300	$	1,281	$	1,269
U.S. Treasury Notes	4.250	%	11/15/2014		60,200		61,799		62,573
U.S. Treasury Notes	4.250	%	08/15/2015		76,115		78,001		79,564
U.S. Treasury Notes	4.500	%	02/15/2016		1,300		1,348		1,381
U.S. Treasury Notes	5.500	%	05/15/2009		1,425		1,469		1,486
						$	143,898	$	146,273

⁽²⁾ Market value includes $1,907 of interest payable on short sales.

(j) Foreign currency contracts outstanding on December 31, 2007:

Type	Currency	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	BRL	26,159	03/2008	$	2,414	$	0		$	2,414
Buy		30,010	07/2008		253		0			253
Buy	CLP	63,745	03/2008		7		0			7
Buy		2,447,604	07/2008		0		(13	)		(13	)
Buy	CNY	226,774	01/2008		356		0			356
Sell		226,774	01/2008		0		(455	)		(455	)
Buy		611,702	03/2008		1,061		0			1,061
Sell		611,702	03/2008		0		(1,345	)		(1,345	)
Buy	EUR	1,816	01/2008		0		(18	)		(18	)
Sell		26,254	01/2008		223		0			223
Sell	GBP	24,511	01/2008		624		0			624
Buy	JPY	1,561,698	02/2008		0		(31	)		(31	)
Buy	KRW	17,486,560	01/2008		0		(334	)		(334	)
Buy		1,673,550	05/2008		6		0			6
Buy		9,461,871	08/2008		0		(222	)		(222	)
Buy	MXN	130,394	03/2008		302		0			302
Buy		212,679	07/2008		197		0			197
Buy	NOK	57,384	03/2008		197		0			197
Buy	PLN	52,419	03/2008		2,455		0			2,455
Buy		31,221	07/2008		996		0			996
Buy	RUB	491,838	07/2008		559		0			559
Buy		1,299,698	11/2008		248		0			248
Buy	SGD	43,579	05/2008		572		0			572
Buy	ZAR	22,036	03/2008		128		0			128
Buy		1,750	07/2008		14		0			14
				$	10,612	$	(2,418	)	$	8,194

See accompanying notes

Schedule of Investments

Small Cap StocksPLUS^® TR Fund

December 31, 2007 (Unaudited)

		Principal Amount (000s)		Value (000s)
CORPORATE BONDS & NOTES 21.9%
Banking & Finance 16.5%
Allstate Corp.
6.125% due 05/15/2067	$	200	$	193
American Express Bank FSB
4.956% due 06/22/2009		200		200
American Express Credit Corp.
5.285% due 03/02/2009		30		30
American General Finance Corp.
6.900% due 12/15/2017		100		100
American International Group, Inc.
5.850% due 01/16/2018		100		101
ANZ National International Ltd.
4.938% due 08/07/2009		20		20
Barclays Bank PLC
5.450% due 09/12/2012		400		410
6.050% due 12/04/2017		100		101
Bear Stearns Cos., Inc.
5.025% due 05/18/2010		200		189
BNP Paribas
5.186% due 06/29/2049		130		118
Caterpillar Financial Services Corp.
4.850% due 12/07/2012		100		100
Citigroup Capital XXI
8.300% due 12/21/2057		100		105
Citigroup Funding, Inc.
4.896% due 04/23/2009		100		99
Citigroup Global Markets Holdings, Inc.
5.031% due 08/03/2009		20		20
Citigroup, Inc.
5.850% due 07/02/2013		100		103
Commonwealth Bank of Australia
6.024% due 03/29/2049		100		93
Credit Agricole S.A.
5.053% due 05/28/2009		100		100
Credit Suisse USA, Inc.
5.069% due 08/15/2010		100		99
Export-Import Bank of Korea
5.214% due 06/01/2009		100		100
Ford Motor Credit Co. LLC
6.625% due 06/16/2008		900		887
7.250% due 10/25/2011		100		87
General Electric Capital Corp.
6.375% due 11/15/2067		200		207
Goldman Sachs Group, Inc.
5.625% due 01/15/2017		10		10
6.250% due 09/01/2017		100		104
International Lease Finance Corp.
5.008% due 06/26/2009		110		110
5.250% due 05/24/2010		20		20
John Deere Capital Corp.
5.292% due 07/15/2008		30		30
JPMorgan Chase & Co.
4.915% due 06/26/2009		80		80
6.000% due 01/15/2018		30		31
Lehman Brothers Holdings, Inc.
4.905% due 11/24/2008		10		10
5.320% due 04/03/2009		30		29
Merrill Lynch & Co., Inc.
5.138% due 06/16/2008		10		10
Morgan Stanley
4.925% due 05/07/2009		100		99
5.114% due 04/25/2008		30		30
Rabobank Capital Funding Trust
5.254% due 12/29/2049		100		90
RBS Capital Trust III
5.512% due 09/29/2049		300		276
Residential Capital LLC
7.615% due 05/22/2009		100		72
Royal Bank of Scotland Group PLC
6.990% due 10/29/2049		100		100
Santander Perpetual S.A. Unipersonal
6.671% due 10/29/2049		100		100
Santander U.S. Debt S.A. Unipersonal
4.970% due 09/19/2008		20		20
UBS Preferred Funding Trust V
6.243% due 05/29/2049		100		96
Wells Fargo & Co.
5.186% due 03/10/2008		120		120
5.625% due 12/11/2017		100		100
				4,999
Industrials 4.1%
Amgen, Inc.
5.133% due 11/28/2008		100		100
C8 Capital SPV Ltd.
6.640% due 12/29/2049		100		95
Citigroup Global Markets Deutschland AG for OAO Gazprom
10.500% due 10/21/2009		100		109
Daimler Finance North America LLC
5.441% due 10/31/2008		100		100
5.461% due 03/13/2009		10		10
5.541% due 03/13/2009		100		99
Diageo Capital PLC
4.987% due 11/10/2008		20		20
EchoStar DBS Corp.
5.750% due 10/01/2008		100		100
International Business Machines Corp.
5.700% due 09/14/2017		400		414
Kimberly-Clark Corp.
5.060% due 07/30/2010		100		100
Kraft Foods, Inc.
6.125% due 02/01/2018		100		101
				1,248
Utilities 1.3%
Deutsche Telekom International Finance BV
5.064% due 03/23/2009		200		199
Dominion Resources, Inc.
5.050% due 11/14/2008		40		40
Ohio Power Co.
5.424% due 04/05/2010		100		99
Verizon Communications, Inc.
5.280% due 04/03/2009		50		50
				388
Total Corporate Bonds & Notes (Cost $6,716)				6,635
MUNICIPAL BONDS & NOTES 0.9%
Golden State, California Tobacco Securitization Corporations Revenue Bonds, Series 2007
5.750% due 06/01/2047		300		280
Total Municipal Bonds & Notes (Cost $278)				280
U.S. GOVERNMENT AGENCIES 73.5%
Fannie Mae
5.000% due 02/25/2017 - 01/01/2038		2,128		2,077
5.500% due 03/01/2037 - 01/01/2038		2,202		2,200
6.000% due 08/01/2027 - 01/01/2038		9,684		9,837
6.500% due 09/01/2037		999		1,027
Freddie Mac
4.250% due 09/15/2024		52		52
4.905% due 12/25/2036		82		81
5.178% due 07/15/2019 - 10/15/2020		545		543
5.258% due 02/15/2019		279		278
5.500% due 01/01/2038		4,000		3,992
6.000% due 09/01/2037 - 11/01/2037		997		1,012
Ginnie Mae
6.000% due 06/15/2037 - 07/15/2037		997		1,021
Small Business Administration
5.290% due 12/01/2027		200		202
Total U.S. Government Agencies (Cost $22,233)				22,322
U.S. TREASURY OBLIGATIONS 1.2%
Treasury Inflation Protected Securities (b)
2.000% due 01/15/2014		23		23
2.375% due 01/15/2027		313		331
Total U.S. Treasury Obligations (Cost $345)				354
MORTGAGE-BACKED SECURITIES 3.4%
American Home Mortgage Investment Trust
5.015% due 09/25/2035		4		4
Citigroup Commercial Mortgage Trust
5.098% due 08/15/2021		4		3
Countrywide Alternative Loan Trust
5.025% due 02/25/2047		78		73
5.065% due 06/25/2037		265		248
5.788% due 02/25/2036		30		29
Countrywide Home Loan Mortgage Pass-Through Trust
4.726% due 02/20/2035		53		53
4.801% due 11/25/2034		40		40
GS Mortgage Securities Corp. II
5.342% due 03/06/2020		71		68
GSR Mortgage Loan Trust
5.251% due 11/25/2035		87		84
Impac Secured Assets CMN Owner Trust
4.945% due 01/25/2037		23		23
Indymac Index Mortgage Loan Trust
4.955% due 11/25/2046		17		17
JPMorgan Mortgage Trust
5.023% due 02/25/2035		68		67
LB-UBS Commercial Mortgage Trust
4.904% due 06/15/2026		8		8
Lehman Brothers Floating Rate Commercial Mortgage Trust
5.108% due 09/15/2021		18		18
Structured Asset Securities Corp.
4.915% due 05/25/2036		18		18
5.331% due 10/25/2035		19		19
TBW Mortgage-Backed Pass-Through Certificates
4.965% due 09/25/2036		9		8
Thornburg Mortgage Securities Trust
4.975% due 03/25/2046		86		85
Washington Mutual, Inc.
5.505% due 12/25/2027		54		51
5.518% due 01/25/2047		82		77
5.883% due 10/25/2046		20		20
6.288% due 09/25/2046		8		8
Total Mortgage-Backed Securities (Cost $1,057)				1,021
ASSET-BACKED SECURITIES 15.0%
Accredited Mortgage Loan Trust
4.985% due 04/25/2036		60		59
ACE Securities Corp.
4.925% due 05/25/2036		3		3
4.925% due 10/25/2036		18		18
4.945% due 10/25/2036		12		11
American Express Credit Account Master Trust
5.028% due 01/18/2011		100		100
5.528% due 02/15/2012		26		26
AmeriCredit Automobile Receivables Trust
5.318% due 08/06/2008		31		31
Asset-Backed Funding Certificates
4.925% due 10/25/2036		4		4
Asset-Backed Securities Corp. Home Equity
4.915% due 11/25/2036		17		16
5.140% due 09/25/2034		1		1
Bank One Issuance Trust
5.138% due 12/15/2010		80		80
Bear Stearns Asset-Backed Securities Trust
4.945% due 10/25/2036		27		27
4.955% due 06/25/2047		78		75
BNC Mortgage Loan Trust
4.965% due 05/25/2037		87		83
Chase Credit Card Master Trust
5.138% due 07/15/2010		100		100
5.138% due 02/15/2011		10		10
Chase Issuance Trust
5.038% due 02/15/2011		100		100
Citibank Credit Card Issuance Trust
3.100% due 03/10/2010		100		100
Citigroup Mortgage Loan Trust, Inc.
4.905% due 08/25/2036		5		5
4.915% due 11/25/2036		11		11
4.925% due 05/25/2037		175		166
4.935% due 01/25/2037		77		74
4.975% due 08/25/2036		100		94
Countrywide Asset-Backed Certificates
4.915% due 01/25/2037		6		6
4.915% due 05/25/2037		82		80
4.915% due 03/25/2047		9		9
4.925% due 03/25/2037		11		10
4.945% due 10/25/2037		163		160
4.975% due 10/25/2046		5		5
5.045% due 09/25/2036		289		269
Credit-Based Asset Servicing & Securitization LLC
4.985% due 07/25/2037		92		88
DaimlerChrysler Auto Trust
5.250% due 05/08/2009		2		3
First Franklin Mortgage Loan Asset-Backed Certificates
4.915% due 10/25/2036		64		63
4.915% due 11/25/2036		21		20
4.925% due 06/25/2036		15		15
4.955% due 01/25/2036		4		4
4.955% due 11/25/2036		1		1
First USA Credit Card Master Trust
5.156% due 04/18/2011		100		100
Fremont Home Loan Trust
4.935% due 02/25/2037		10		9
GE-WMC Mortgage Securities LLC
4.905% due 08/25/2036		12		11
GSAMP Trust
4.935% due 09/25/2036		11		11
4.935% due 12/25/2036		75		73
HFC Home Equity Loan Asset-Backed Certificates
5.019% due 03/20/2036		43		42
5.219% due 01/20/2035		36		35
Indymac Residential Asset-Backed Trust
4.945% due 07/25/2037		80		79
4.995% due 04/25/2037		218		209
JPMorgan Mortgage Acquisition Corp.
4.915% due 10/25/2036		133		130
4.925% due 04/01/2037		86		82
4.945% due 03/25/2037		231		222
Lehman XS Trust
4.935% due 05/25/2046		12		12
4.945% due 11/25/2046		17		17
4.985% due 11/25/2036		5		5
Long Beach Mortgage Loan Trust
4.925% due 10/25/2036		18		18
MASTR Asset-Backed Securities Trust
4.945% due 05/25/2037		75		74
MBNA Credit Card Master Note Trust
4.200% due 09/15/2010		100		100
5.128% due 12/15/2011		35		35
Morgan Stanley ABS Capital I
4.905% due 10/25/2036		17		17
4.915% due 07/25/2036		56		55
4.915% due 09/25/2036		17		16
4.915% due 11/25/2036		68		64
4.925% due 05/25/2037		170		164
Morgan Stanley IXIS Real Estate Capital Trust
4.915% due 11/25/2036		23		22
Nationstar Home Equity Loan Trust
4.925% due 03/25/2037		69		68
Option One Mortgage Loan Trust
4.905% due 02/25/2037		21		20
4.925% due 07/25/2037		168		165
4.935% due 01/25/2036		8		7
Park Place Securities, Inc.
5.177% due 10/25/2034		7		6
Residential Asset Mortgage Products, Inc.
4.945% due 10/25/2036		15		14
Residential Asset Securities Corp.
4.905% due 08/25/2036		7		7
4.935% due 11/25/2036		17		16
4.935% due 02/25/2037		78		76
Residential Funding Mortgage Securities II, Inc.
4.985% due 05/25/2037		72		71
Saxon Asset Securities Trust
4.925% due 10/25/2046		9		9
SBI HELOC Trust
5.035% due 08/25/2036		11		11
SLM Student Loan Trust
5.064% due 04/25/2014		111		111
5.084% due 10/25/2016		94		94
5.094% due 10/26/2015		24		24
Soundview Home Equity Loan Trust
4.925% due 11/25/2036		61		60
4.925% due 12/25/2036		39		39
4.945% due 06/25/2037		81		80
Specialty Underwriting & Residential Finance
4.910% due 11/25/2037		21		21
Structured Asset Securities Corp.
4.915% due 10/25/2036		18		18
USAA Auto Owner Trust
5.337% due 07/11/2008		24		24
Wachovia Auto Owner Trust
5.340% due 07/18/2008		20		20
Wells Fargo Home Equity Trust
4.965% due 03/25/2037		81		79
Total Asset-Backed Securities (Cost $4,691)				4,569
SOVEREIGN ISSUES 0.3%
Korea Development Bank
5.380% due 04/03/2010		100		100
Total Sovereign Issues (Cost $100)				100
FOREIGN CURRENCY-DENOMINATED ISSUES 2.0%
Brazilian Government International Bond
12.500% due 01/05/2022	BRL	300		189
General Electric Capital Corp.
5.500% due 09/15/2067	EUR	300		426
Total Foreign Currency-Denominated Issues (Cost $598)				615
		Shares
PREFERRED STOCKS 0.1%
DG Funding Trust
6.979% due 12/31/2049		2		21
Total Preferred Stocks (Cost $21)				21
		Principal Amount (000s)
SHORT-TERM INSTRUMENTS 11.7%
Certificates of Deposit 1.8%
Calyon Financial, Inc.
5.266% due 06/29/2010	$	10		10
Dexia S.A.
4.759% due 09/29/2008		100		100
Fortis Bank NY
4.767% due 06/30/2008		40		40
5.148% due 09/30/2008		100		100
Nordea Bank Finland PLC
4.788% due 03/31/2008		30		30
Royal Bank of Scotland Group PLC
5.265% due 03/26/2008		100		100
Skandinaviska Enskilda Banken AB
5.350% due 02/13/2009		30		30
Societe Generale NY
4.768% due 06/30/2008		100		100
5.271% due 03/28/2008		30		30
				540
Commercial Paper 2.6%
Rabobank Financial Co.
3.990% due 01/02/2008		800		800
Repurchase Agreements 3.3%
Lehman Brothers, Inc.
1.000% due 01/02/2008		400		400
(Dated 12/31/2007. Collateralized by U.S. Treasury Inflation Protected Securities 2.000% due 07/15/2014 valued at $407. Repurchase proceeds are $400.)
State Street Bank and Trust Co.
3.900% due 01/02/2008		597		597
(Dated 12/31/2007. Collateralized by Federal Home Loan Bank 3.625% due 01/15/2008 valued at $610. Repurchase proceeds are $597.)
				997
U.S. Treasury Bills 4.0%
2.977% due 02/28/2008 - 03/13/2008 (a)(d)		1,215		1,204
Total Short-Term Instruments (Cost $3,545)				3,541
Purchased Options (f) 0.3% (Cost $27)				90
Total Investments 130.3% (Cost $39,611)			$	39,548
Written Options (g) (0.3%) (Premiums $32)				(85	)
Other Assets and Liabilities (Net) (30.0%)				(9,118	)
Net Assets (c) 100.0%			$	30,345

Notes to Schedule of Investments (amounts in thousands*, except number of contracts):

* A zero balance may reflect actual amounts rounding to less than one thousand.

(a) Coupon represents a weighted average rate.

(b) Principal amount of security is adjusted for inflation.

(c) As of December 31, 2007, portfolio securities with an aggregate value of $100 and derivative instruments with an aggregate depreciation of ($4) were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(d) Securities with an aggregate market value of $1,204 and cash of $825 have been segregated with the custodian to cover margin requirements for the following open futures contracts on December 31, 2007:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Eurodollar December Futures	Long	12/2008	22	$	69
90-Day Eurodollar June Futures	Long	06/2008	45		115
90-Day Eurodollar June Futures	Long	06/2009	2		6
90-Day Eurodollar March Futures	Long	03/2009	15		40
90-Day Eurodollar September Futures	Long	09/2008	21		65
90-Day Eurodollar September Futures	Long	09/2009	1		3
E-mini Russsell 2000 Index March Futures	Long	03/2008	351		(199	)
Russell 2000 Index March Futures	Long	03/2008	8		18
U.S. Treasury 2-Year Note March Futures	Short	03/2008	7		(6	)
U.S. Treasury 5-Year Note March Futures	Short	03/2008	7		(5	)
U.S. Treasury 10-Year Note March Futures	Long	03/2008	33		(22	)
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2008	1		2
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2008	11		12
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2008	4		3
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2009	4		11
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2008	8		16
				$	128

(e) Swap agreements outstanding on December 31, 2007:

Credit Default Swaps on Securities

Counterparty	Reference Entity	Sell Protection(1)	Receive Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Barclays Bank PLC	General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.620	%	03/20/2011	$	100	$	0
Barclays Bank PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.370	%	03/20/2009		100		(1	)
Credit Suisse USA, Inc.	Panama Government International Bond 8.875% due 09/30/2027	Sell	0.300	%	02/20/2009		100		0
Deutsche Bank AG	Chrysler Financial 9.360% due 08/03/2012	Sell	5.050	%	09/20/2012		300		4
Deutsche Bank AG	Reynolds American, Inc. 7.625% due 06/01/2016	Sell	0.300	%	06/20/2008		100		0
HSBC Bank USA	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.240	%	02/20/2008		100		0
Morgan Stanley	Peru Government International Bond 8.750% due 11/21/2033	Sell	0.310	%	03/20/2009		100		0
Morgan Stanley	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.610	%	02/20/2009		100		0
								$	3

⁽¹⁾ If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will pay to the buyer of the protection an amount up to the notional value of the swap and in certain instances, take delivery of the security.

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
UBS Warburg LLC	3-Month Australian Bank Bill	Pay	7.000	%	09/15/2009	AUD	700	$	(4	)
Barclays Bank PLC	BRL-CDI-Compounded	Pay	11.360	%	01/04/2010	BRL	100		(1	)
Merrill Lynch & Co., Inc.	BRL-CDI-Compounded	Pay	11.980	%	01/02/2012		100		(1	)
UBS Warburg LLC	BRL-CDI-Compounded	Pay	10.575	%	01/02/2012		100		(2	)
JPMorgan Chase & Co.	6-Month EUR-LIBOR	Pay	4.500	%	03/19/2010	EUR	100		0
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.958	%	04/10/2012		20		0
Royal Bank of Scotland Group PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.955	%	03/28/2012		100		(2	)
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	6.000	%	12/20/2008	GBP	100		0
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	5.000	%	06/15/2009		100		2
Deutsche Bank AG	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2036		100		(6	)
Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	5.000	%	06/15/2009		100		1
Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	6.000	%	06/19/2009		500		11
Goldman Sachs & Co.	28-Day Mexico Interbank TIIE Banxico	Pay	7.780	%	04/03/2012	MXN	200		0
Bank of America	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010	$	1,200		4
Bank of America	3-Month USD-LIBOR	Pay	4.000	%	06/18/2013		300		3
Bank of America	3-Month USD-LIBOR	Receive	5.000	%	06/18/2038		200		(4	)
Barclays Bank PLC	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010		500		2
Citibank N.A.	3-Month USD-LIBOR	Pay	4.000	%	06/18/2013		300		4
Citibank N.A.	3-Month USD-LIBOR	Receive	5.000	%	06/18/2038		100		(3	)
Merrill Lynch & Co., Inc.	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010		400		2
Morgan Stanley	3-Month USD-LIBOR	Pay	5.000	%	06/18/2018		200		4
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010		1,200		4
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.000	%	06/18/2013		300		4
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	06/18/2018		400		4
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	06/18/2038		200		(6	)
								$	16

(f) Purchased options outstanding on December 31, 2007:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Cost		Value
Call - CBOT U.S. Treasury 2-Year Note March Futures	$	114.000	02/22/2008	5	$	0	$	0
Call - CBOT U.S. Treasury 5-Year Note March Futures		122.500	02/22/2008	5		0		0
Call - CBOT U.S. Treasury 5-Year Note March Futures		124.000	02/22/2008	9		0		0
Call - CBOT U.S. Treasury 10-Year Note March Futures		130.000	01/25/2008	1		0		0
Call - CBOT U.S. Treasury 10-Year Note March Futures		132.000	01/25/2008	6		0		0
Call - CBOT U.S. Treasury 10-Year Note March Futures		132.000	02/22/2008	7		0		0
Put - CBOT U.S. Treasury 10-Year Note March Futures		97.000	02/22/2008	1		0		0
Put - CBOT U.S. Treasury 10-Year Note March Futures		102.000	02/22/2008	20		1		1
Put - CBOT U.S. Treasury 10-Year Note March Futures		103.000	02/22/2008	16		0		0
Put - CME E-mini Russell 2000 Index January Futures		560.000	01/18/2008	100		2		1
Put - CME Russell 2000 Index January Futures		540.000	01/18/2008	40		1		0
					$	4	$	2

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Cost		Value
Call - OTC 2-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	4.750	%	09/26/2008	$	2,000	$	7	$	42
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	03/31/2008		2,300		14		46
									$	21	$	88

Foreign Currency Options

Description	Exercise Price		Expiration Date	Notional Amount		Cost		Value
Call - OTC U.S. dollar versus Brazilian real	BRL	2.700	02/21/2008	$	800	$	0	$	0

Options on Securities

Description	Strike Price		Expiration Date	Notional Amount		Cost		Value
Put - OTC Fannie Mae 5.000% due 02/01/2038	$	86.000	02/05/2008	$	2,100	$	0	$	0
Put - OTC Fannie Mae 5.500% due 02/01/2038		88.500	02/05/2008		1,410		0		0
Put - OTC Fannie Mae 6.000% due 03/01/2038		91.750	03/05/2008		6,000		1		0
Put - OTC Fannie Mae 6.500% due 02/01/2038		93.000	02/05/2008		1,000		0		0
Put - OTC Freddie Mac 5.500% due 03/01/2038		88.813	03/05/2008		4,000		1		0
Put - OTC Freddie Mac 6.000% due 02/01/2038		90.500	02/05/2008		300		0		0
Put - OTC Treasury Inflation Protected Securities 2.375% due 01/15/2027		71.500	02/01/2008		250		0		0
Put - OTC Treasury Inflation Protected Securities 2.375% due 01/15/2027		70.000	02/06/2008		42		0		0
						$	2	$	0

(g) Written options outstanding on December 31, 2007:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Value
Call - CBOT U.S. Treasury 5-Year Note March Futures	$	111.000	02/22/2008	2	$	1	$	1
Call - CBOT U.S. Treasury 10-Year Note March Futures		111.000	02/22/2008	1		1		3
Call - CBOT U.S. Treasury 10-Year Note March Futures		112.000	02/22/2008	1		1		2
Call - CBOT U.S. Treasury 10-Year Note March Futures		113.000	02/22/2008	1		1		2
Call - CBOT U.S. Treasury 10-Year Note March Futures		114.000	02/22/2008	4		3		4
Put - CBOT U.S. Treasury 5-Year Note March Futures		109.000	02/22/2008	2		1		1
Put - CBOT U.S. Treasury 10-Year Note March Futures		108.000	02/22/2008	1		1		0
Put - CBOT U.S. Treasury 10-Year Note March Futures		110.000	02/22/2008	4		2		1
					$	11	$	14

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Value
Call - OTC 5-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	4.950	%	09/26/2008	$	1,000	$	8	$	36
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.900	%	03/31/2008		1,000		13		35
									$	21	$	71

(h) Short sales outstanding on December 31, 2007:

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Value(2)
U.S. Treasury Bonds	3.125	%	11/30/2009	$	200	$	200	$	200

⁽²⁾ Market value includes $1 of interest payable on short sales.

(i) Foreign currency contracts outstanding on December 31, 2007:

Type	Currency	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	AED	22	05/2008	$	0	$	0		$	0
Buy	AUD	61	01/2008		0		0			0
Sell		11	01/2008		0		0			0
Buy	BRL	193	03/2008		12		0			12
Buy		1,250	07/2008		64		0			64
Sell	EUR	307	01/2008		1		0			1
Sell	GBP	216	01/2008		5		0			5
Buy	IDR	176,400	05/2008		0		(2	)		(1	)
Buy	INR	6,596	05/2008		9		0			9
Buy		3,562	08/2008		0		(1	)		(1	)
Buy	KRW	52,128	01/2008		0		(2	)		(2	)
Buy		22,718	05/2008		0		0			0
Buy		34,154	08/2008		0		0			0
Buy	KWD	2	05/2008		0		0			0
Buy	MXN	1,141	03/2008		0		(1	)		0
Sell		336	03/2008		0		0			0
Buy		192	07/2008		0		0			0
Buy	MYR	238	05/2008		1		0			1
Buy	PHP	2,798	05/2008		6		0			6
Buy	PLN	125	03/2008		3		0			3
Sell		125	03/2008		0		0			0
Buy		187	07/2008		7		0			7
Sell		187	07/2008		0		(1	)		(1	)
Buy	RUB	4,223	01/2008		8		0			7
Sell		4,223	01/2008		0		0			0
Buy		423	07/2008		1		0			0
Sell		423	07/2008		0		0			0
Buy		1,811	11/2008		0		0			0
Buy	SAR	22	05/2008		0		0			0
Buy	SEK	94	03/2008		0		0			0
Buy	SGD	93	02/2008		1		0			1
Sell		2	02/2008		0		0			0
Buy		115	05/2008		4		0			4
Buy	ZAR	2,009	07/2008		16		0			16
				$	138	$	(7	)	$	131

See accompanying notes

Schedule of Investments

StocksPLUS^® Fund

December 31, 2007 (Unaudited)

	Principal Amount (000s)		Value (000s)
BANK LOAN OBLIGATIONS 1.1%
Allied Waste North America, Inc.
6.150% due 03/28/2014	$	8	$	7
6.360% due 03/28/2014		4		4
6.420% due 03/28/2014		4		4
6.480% due 03/28/2014		25		24
6.500% due 03/28/2014		41		40
6.880% due 03/28/2014		29		28
Fresenius Medical Care Capital Trust
6.205% due 03/22/2013		553		534
6.316% due 03/22/2013		198		191
6.437% due 03/22/2013		113		109
6.624% due 03/22/2013		28		27
Goodyear Tire & Rubber Co.
6.430% due 04/20/2014		2,000		1,882
Metro-Goldwyn-Mayer, Inc.
8.108% due 04/08/2012		1,294		1,202
Sensata Technologies, Inc.
6.761% due 04/27/2013		2,487		2,370
SLM Corp.
0.000% due 02/16/2008		2,300		2,292
Total Bank Loan Obligations (Cost $9,092)				8,714
CORPORATE BONDS & NOTES 38.8%
Banking & Finance 28.3%
Ajax Re Ltd.
11.241% due 05/08/2009		4,700		4,721
American Express Bank FSB
4.956% due 06/22/2009		2,500		2,493
5.009% due 10/20/2009		2,100		2,092
American Express Centurion Bank
5.188% due 11/16/2009		1,600		1,595
5.250% due 05/07/2008		1,900		1,898
5.252% due 06/12/2009		1,900		1,894
American Express Credit Corp.
5.302% due 11/09/2009		2,100		2,065
American International Group, Inc.
4.884% due 06/23/2008		8,600		8,605
Bank of America Corp.
4.875% due 11/06/2009		500		498
Bank of America N.A.
4.966% due 12/18/2008		800		800
5.132% due 06/12/2009		2,000		1,996
5.271% due 06/15/2016		2,300		2,249
Bank of Ireland
5.016% due 12/18/2009		5,900		5,886
Bear Stearns Cos., Inc.
5.025% due 05/18/2010		4,800		4,539
5.072% due 08/21/2009		3,000		2,890
5.284% due 01/30/2009		2,300		2,276
Capital One Financial Corp.
5.426% due 09/10/2009		1,800		1,702
Caterpillar Financial Services Corp.
5.081% due 10/28/2008		400		398
CIT Group, Inc.
5.000% due 11/24/2008		1,700		1,683
5.091% due 12/19/2008		1,500		1,416
Citigroup Funding, Inc.
4.858% due 06/26/2009		11,200		11,033
Citigroup Global Markets Holdings, Inc.
5.091% due 03/17/2009		2,000		1,983
5.191% due 03/07/2008		7,100		7,104
Credit Agricole S.A.
5.053% due 05/28/2009		1,700		1,701
5.103% due 05/28/2010		2,000		2,001
DnB NORBank ASA
5.312% due 10/13/2009		1,800		1,802
East Lane Re Ltd.
10.911% due 05/06/2011		9,500		9,718
Enron Credit Linked Notes Trust
8.000% due 08/15/2005 (a)		1,100		895
Export-Import Bank of Korea
5.118% due 11/16/2010		5,900		5,920
5.214% due 06/01/2009		2,400		2,405
Ford Motor Credit Co. LLC
5.625% due 10/01/2008		1,600		1,554
5.800% due 01/12/2009		300		285
6.625% due 06/16/2008		10,500		10,348
7.375% due 10/28/2009		600		565
Foundation Re II Ltd.
11.655% due 11/26/2010		2,500		2,592
General Electric Capital Corp.
4.939% due 08/15/2011		6,300		6,195
5.284% due 01/05/2009		100		100
5.303% due 10/06/2010		2,400		2,381
GMAC LLC
5.850% due 01/14/2009		1,600		1,530
6.034% due 09/23/2008		7,400		7,150
Goldman Sachs Group, Inc.
4.880% due 03/30/2009		1,300		1,295
4.924% due 12/23/2008		500		499
5.481% due 07/23/2009		2,500		2,499
HSBC Finance Corp.
5.121% due 09/15/2008		1,400		1,400
JPMorgan Chase & Co.
4.915% due 06/26/2009		1,500		1,494
4.915% due 05/07/2010		2,800		2,781
Lehman Brothers Holdings, Inc.
4.934% due 12/23/2008		200		197
4.978% due 11/16/2009		4,900		4,776
5.082% due 08/21/2009		1,700		1,653
5.094% due 12/23/2010		2,500		2,331
5.129% due 11/10/2009		1,300		1,263
Merrill Lynch & Co., Inc.
5.211% due 12/04/2009		2,300		2,231
Metropolitan Life Global Funding I
4.945% due 05/17/2010		3,700		3,675
Morgan Stanley
4.925% due 05/07/2009		1,400		1,383
4.972% due 11/21/2008		1,600		1,589
5.006% due 02/09/2009		2,800		2,766
5.332% due 01/15/2010		1,400		1,385
5.459% due 01/18/2011		3,300		3,196
Osiris Capital PLC
8.092% due 01/15/2010		5,000		5,010
Phoenix Quake Ltd.
7.680% due 07/03/2008		500		501
Phoenix Quake Wind I Ltd.
7.680% due 07/03/2008		600		601
Prudential Financial, Inc.
5.261% due 06/13/2008		4,400		4,404
Residential Capital LLC
7.615% due 05/22/2009		2,300		1,643
Rockies Express Pipeline LLC
5.776% due 08/20/2009		2,800		2,802
Royal Bank of Scotland Group PLC
5.230% due 07/21/2008		1,600		1,600
Santander U.S. Debt S.A. Unipersonal
4.970% due 09/19/2008		6,500		6,479
SB Treasury Co. LLC
9.400% due 12/29/2049		2,200		2,244
SLM Corp.
5.164% due 01/26/2009		2,100		2,020
5.224% due 07/27/2009		1,700		1,600
5.284% due 01/26/2009		300		290
5.294% due 07/25/2008		700		686
5.824% due 12/15/2008		1,700		1,668
Spinnaker Capital Ltd.
16.491% due 06/15/2008		2,500		2,608
Tokai Preferred Capital Co. LLC
9.980% due 12/29/2049		9,400		9,525
Unicredit Luxembourg Finance S.A.
5.142% due 10/24/2008		9,900		9,882
VTB Capital S.A.
5.494% due 08/01/2008		1,900		1,883
6.660% due 11/02/2009		3,100		3,101
Wachovia Corp.
5.372% due 10/15/2011		5,700		5,578
Westpac Banking Corp.
5.212% due 06/06/2008		1,200		1,199
				230,695
Industrials 5.8%
America Movil SAB de C.V.
4.958% due 06/27/2008		2,700		2,700
Amgen, Inc.
5.133% due 11/28/2008		4,100		4,096
Anadarko Petroleum Corp.
5.391% due 09/15/2009		2,000		1,970
BP AMI Leasing, Inc.
4.868% due 06/26/2009		3,900		3,904
Citigroup Global Markets Deutschland AG for OAO Gazprom
10.500% due 10/21/2009		600		650
Daimler Finance North America LLC
5.541% due 03/13/2009		3,500		3,477
Harrah’s Operating Co., Inc.
7.500% due 01/15/2009		1,900		1,974
Home Depot, Inc.
5.116% due 12/16/2009		2,000		1,960
Hospira, Inc.
5.310% due 03/30/2010		2,400		2,384
JC Penney Corp., Inc.
7.375% due 08/15/2008		700		708
Pemex Project Funding Master Trust
5.724% due 12/03/2012		3,600		3,554
Reynolds American, Inc.
5.691% due 06/15/2011		1,400		1,366
Time Warner, Inc.
5.109% due 11/13/2009		3,900		3,806
Transcontinental Gas Pipe Line Corp.
6.522% due 04/15/2008		5,400		5,413
Transocean, Inc.
5.341% due 09/05/2008		2,400		2,388
Wal-Mart Stores, Inc.
4.891% due 06/16/2008		4,400		4,402
Weyerhaeuser Co.
5.884% due 09/24/2009		2,800		2,809
				47,561
Utilities 4.7%
AT&T, Inc.
4.978% due 02/05/2010		1,100		1,091
5.080% due 11/14/2008		2,000		1,998
Dominion Resources, Inc.
5.050% due 11/14/2008		4,460		4,452
Entergy Gulf States, Inc.
5.896% due 12/08/2008		3,000		3,010
Florida Power Corp.
5.279% due 11/14/2008		1,900		1,898
NiSource Finance Corp.
5.585% due 11/23/2009		600		594
Progress Energy, Inc.
5.692% due 01/15/2010		1,500		1,502
Qwest Capital Funding, Inc.
6.375% due 07/15/2008		2,900		2,900
Qwest Corp.
5.625% due 11/15/2008		2,700		2,700
8.241% due 06/15/2013		3,400		3,485
Sierra Pacific Power Co.
8.000% due 06/01/2008		8,593		8,733
Southern California Edison Co.
4.994% due 02/02/2009		2,000		1,998
Telecom Italia Capital S.A.
5.391% due 02/01/2011		1,300		1,274
Telefonica Emisones SAU
5.226% due 06/19/2009		2,600		2,582
				38,217
Total Corporate Bonds & Notes (Cost $319,232)				316,473
COMMODITY INDEX-LINKED NOTES 0.4%
Goldman Sachs Commodity Index Total Return 0.4%
Morgan Stanley
4.805% due 07/07/2008		3,000		3,006
Total Commodity Index-Linked Notes (Cost $3,000)				3,006
U.S. GOVERNMENT AGENCIES 19.7%
Fannie Mae
4.640% due 09/01/2035		7,101		7,085
4.711% due 12/01/2033		1,855		1,854
4.748% due 04/01/2035		6,415		6,415
4.985% due 03/25/2034		1,294		1,271
5.000% due 02/25/2017 - 05/01/2037		32,988		32,969
5.265% due 05/25/2031 - 11/25/2032		5,616		5,607
5.500% due 09/01/2033 - 06/01/2036		21,334		21,335
5.609% due 12/01/2023 - 11/01/2028		273		275
5.610% due 02/01/2027		6		6
5.633% due 04/01/2018		53		53
5.723% due 08/01/2029		32		32
6.000% due 01/01/2017 - 05/01/2037		4,249		4,328
6.063% due 07/01/2044		408		410
6.188% due 09/01/2034		1,796		1,826
6.341% due 12/01/2036		1,812		1,838
6.500% due 09/25/2008 (b)		1		0
6.817% due 11/01/2035		894		921
7.000% due 02/01/2015 - 03/01/2015		1,161		1,209
7.044% due 05/01/2022		8		8
7.500% due 09/01/2015 - 05/01/2016		871		907
8.000% due 03/01/2030 - 07/01/2031		169		180
Federal Home Loan Bank
0.000% due 02/27/2012		2,400		2,360
Freddie Mac
4.704% due 06/01/2035		5,241		5,259
5.000% due 07/15/2024		4,065		4,076
5.178% due 07/15/2019 - 10/15/2020		21,630		21,548
5.258% due 02/15/2019		12,560		12,498
5.378% due 12/15/2030		1,273		1,273
5.428% due 06/15/2018		482		483
5.500% due 08/15/2030 - 12/01/2037		6,845		6,832
6.000% due 03/01/2016 - 09/01/2037		8,576		8,719
6.063% due 02/25/2045		2,060		2,056
6.138% due 07/01/2019		596		614
6.500% due 10/25/2043		2,335		2,458
6.963% due 06/01/2022		21		21
7.031% due 12/01/2022		42		43
8.500% due 04/01/2025 - 06/01/2025		24		26
Ginnie Mae
5.349% due 09/20/2030		4		4
5.625% due 07/20/2018 - 07/20/2027		2,050		2,061
6.125% due 12/20/2022 - 12/20/2027		409		414
6.375% due 02/20/2026 - 02/20/2028		962		974
8.000% due 04/20/2030		196		211
Total U.S. Government Agencies (Cost $159,247)				160,459
U.S. TREASURY OBLIGATIONS 1.9%
Treasury Inflation Protected Securities (d)
3.625% due 01/15/2008		15,947		15,967
Total U.S. Treasury Obligations (Cost $15,966)				15,967
MORTGAGE-BACKED SECURITIES 13.8%
Banc of America Funding Corp.
4.111% due 05/25/2035		2,066		2,041
Banc of America Mortgage Securities, Inc.
6.500% due 10/25/2031		819		832
Bank Mart
4.567% due 03/01/2019 (k)		590		558
Bear Stearns Adjustable Rate Mortgage Trust
4.609% due 01/25/2034		2,283		2,262
4.750% due 10/25/2035		6,732		6,688
4.780% due 11/25/2034		984		979
5.037% due 04/25/2033		674		675
5.073% due 11/25/2034		2,924		2,920
5.789% due 02/25/2033		184		186
6.534% due 01/25/2034		190		192
Bear Stearns Alt-A Trust
5.025% due 02/25/2034		1,635		1,553
5.527% due 09/25/2035		627		618
Bear Stearns Structured Products, Inc.
4.989% due 01/25/2037		4,744		4,695
5.684% due 01/26/2036		2,081		2,063
5.787% due 12/26/2046		1,150		1,136
Citigroup Commercial Mortgage Trust
5.098% due 08/15/2021		576		557
Citigroup Mortgage Loan Trust, Inc.
4.900% due 12/25/2035		1,866		1,842
Countrywide Alternative Loan Trust
5.045% due 05/25/2047		1,645		1,553
6.000% due 10/25/2033		1,339		1,309
Countrywide Home Loan Mortgage Pass-Through Trust
4.726% due 02/20/2035		3,334		3,317
4.801% due 11/25/2034		1,819		1,807
CS First Boston Mortgage Securities Corp.
5.758% due 03/25/2032		536		517
6.700% due 06/25/2032		10		10
7.272% due 06/25/2032		37		37
Fund America Investors Corp. II
6.753% due 06/25/2023		14		14
Greenpoint Mortgage Funding Trust
4.945% due 10/25/2046		1,738		1,702
5.135% due 11/25/2045		768		722
GS Mortgage Securities Corp. II
5.342% due 03/06/2020		2,427		2,321
GSR Mortgage Loan Trust
5.215% due 01/25/2034		339		335
Harborview Mortgage Loan Trust
5.148% due 07/19/2035		1,516		1,498
5.155% due 01/19/2038		4,113		3,859
Impac CMB Trust
5.543% due 10/25/2033		95		95
5.783% due 07/25/2033		1,677		1,669
Impac Secured Assets CMN Owner Trust
4.945% due 01/25/2037		1,149		1,127
Indymac Index Mortgage Loan Trust
4.955% due 11/25/2046		1,147		1,119
JPMorgan Mortgage Trust
5.023% due 02/25/2035		1,365		1,339
Lehman Brothers Floating Rate Commercial Mortgage Trust
5.108% due 09/15/2021		302		302
MASTR Adjustable Rate Mortgages Trust
3.786% due 11/21/2034		1,780		1,764
MASTR Asset Securitization Trust
5.500% due 09/25/2033		2,135		2,120
Mellon Residential Funding Corp.
5.508% due 06/15/2030		4,184		4,133
Merrill Lynch Floating Trust
5.098% due 06/15/2022		6,314		6,127
Merrill Lynch Mortgage Investors, Inc.
4.910% due 12/25/2032		702		702
5.075% due 02/25/2036		840		809
MLCC Mortgage Investors, Inc.
5.115% due 11/25/2035		297		288
5.865% due 10/25/2035		462		454
6.989% due 01/25/2029		1,282		1,293
Morgan Stanley Capital I
5.088% due 10/15/2020		828		809
Prime Mortgage Trust
5.265% due 02/25/2019		155		155
5.265% due 02/25/2034		733		718
Resecuritization Mortgage Trust
5.115% due 04/26/2021		1		1
Residential Funding Mortgage Securities I, Inc.
6.500% due 03/25/2032		603		603
Salomon Brothers Mortgage Securities VII, Inc.
7.425% due 12/25/2030		662		660
Structured Adjustable Rate Mortgage Loan Trust
4.940% due 03/25/2034		1,411		1,398
Structured Asset Mortgage Investments, Inc.
5.145% due 02/25/2036		909		864
5.215% due 07/19/2035		1,777		1,712
9.474% due 06/25/2029		838		911
TBW Mortgage-Backed Pass-Through Certificates
4.975% due 01/25/2037		5,733		5,615
Thornburg Mortgage Securities Trust
4.919% due 06/25/2037		2,550		2,522
4.975% due 11/25/2046		1,642		1,605
Wachovia Bank Commercial Mortgage Trust
5.108% due 06/15/2020		2,889		2,767
5.118% due 09/15/2021		5,381		5,301
Washington Mutual, Inc.
5.135% due 12/25/2045		968		907
5.155% due 10/25/2045		536		504
5.483% due 02/27/2034		2,020		1,979
5.788% due 02/25/2046		4,978		4,846
5.988% due 11/25/2042		271		263
6.188% due 06/25/2042		1,230		1,172
Wells Fargo Mortgage-Backed Securities Trust
4.949% due 01/25/2035		2,376		2,351
4.950% due 03/25/2036		3,288		3,253
Total Mortgage-Backed Securities (Cost $114,814)				113,055
ASSET-BACKED SECURITIES 8.3%
AFC Home Equity Loan Trust
5.415% due 06/25/2028		393		385
Argent Securities, Inc.
4.935% due 04/25/2036		143		142
Asset-Backed Funding Certificates
4.925% due 01/25/2037		1,230		1,211
Asset-Backed Securities Corp. Home Equity
5.025% due 05/25/2035		337		335
Bear Stearns Asset-Backed Securities Trust
4.955% due 06/25/2047		1,094		1,053
Chase Funding Mortgage Loan Asset-Backed Certificates
5.605% due 10/25/2032		314		304
Citibank Credit Card Issuance Trust
2.900% due 05/17/2010		2,700		2,682
Citigroup Mortgage Loan Trust, Inc.
4.915% due 11/25/2036		529		525
4.925% due 05/25/2037		17,627		16,780
Countrywide Asset-Backed Certificates
4.935% due 06/25/2037		1,513		1,476
CS First Boston Mortgage Securities Corp.
5.485% due 01/25/2032		352		344
First NLC Trust
4.935% due 08/25/2037		4,892		4,797
First USA Credit Card Master Trust
5.156% due 04/18/2011		4,800		4,802
Fremont Home Loan Trust
4.915% due 10/25/2036		3,360		3,319
GS Auto Loan Trust
5.344% due 07/15/2008		648		649
GSAMP Trust
4.985% due 12/25/2035		772		768
GSR Mortgage Loan Trust
4.965% due 11/25/2030		202		201
HFC Home Equity Loan Asset-Backed Certificates
5.219% due 01/20/2035		1,927		1,868
HSI Asset Securitization Corp. Trust
4.915% due 12/25/2036		948		914
JPMorgan Mortgage Acquisition Corp.
4.925% due 04/01/2037		2,060		1,972
4.935% due 11/25/2036		472		463
Lehman XS Trust
4.935% due 05/25/2046		477		473
Long Beach Mortgage Loan Trust
4.955% due 01/25/2046		237		236
5.145% due 10/25/2034		50		48
Merrill Lynch Mortgage Investors, Inc.
4.935% due 08/25/2036		3,456		3,408
Morgan Stanley ABS Capital I
4.905% due 10/25/2036		739		729
Residential Asset Securities Corp.
4.935% due 11/25/2036		1,571		1,535
Saxon Asset Securities Trust
4.925% due 10/25/2046		687		678
Sears Credit Account Master Trust
5.248% due 04/16/2013		9,200		9,169
SLM Student Loan Trust
5.084% due 10/25/2016		2,448		2,441
Specialty Underwriting & Residential Finance
4.895% due 06/25/2037		2,021		1,991
Structured Asset Securities Corp.
4.995% due 12/25/2035		231		231
USAA Auto Owner Trust
5.337% due 07/11/2008		460		461
Wells Fargo Home Equity Trust
4.915% due 01/25/2037		1,044		1,025
Total Asset-Backed Securities (Cost $68,833)				67,415
SOVEREIGN ISSUES 0.4%
Hydro Quebec
5.188% due 09/29/2049		1,200		1,094
Korea Development Bank
5.295% due 11/22/2012		2,200		2,192
Total Sovereign Issues (Cost $3,228)				3,286
FOREIGN CURRENCY-DENOMINATED ISSUES 1.3%
New Zealand Government CPI Linked Bond
4.500% due 02/15/2016	NZD	9,750		9,850
Sumitomo Mitsui Banking Corp.
1.151% due 06/02/2049	JPY	100,000		894
Total Foreign Currency-Denominated Issues (Cost $7,525)				10,744
	Shares
PREFERRED STOCKS 1.2%
DG Funding Trust
6.979% due 12/31/2049		913		9,658
Total Preferred Stocks (Cost $9,564)				9,658
	Principal Amount (000s)
SHORT-TERM INSTRUMENTS 7.0%
Commercial Paper 4.0%
Cox Communications, Inc.
5.341% due 01/15/2008	$	10,200		10,197
UBS Finance Delaware LLC
4.000% due 01/02/2008		22,200		22,200
				32,397
Repurchase Agreements 2.2%
Fixed Income Clearing Corp.
2.250% due 01/02/2008		18,000		18,000
(Dated 12/31/2007. Collateralized by Fannie Mae 5.250% due 01/15/2009 valued at $18,365. Repurchase proceeds are $18,002.)
U.S. Treasury Bills 0.8%
2.971% due 02/28/2008 - 03/13/2008 (c)(e)(g)		6,835		6,774
Total Short-Term Instruments (Cost $57,194)				57,171
Purchased Options (i) 0.6% (Cost $1,101)				5,267
Total Investments 94.5% (Cost $768,796)			$	771,215
Written Options (j) (0.5%) (Premiums $1,070)				(3,864	)
Other Assets and Liabilities (Net) 6.0%				48,651
Net Assets (f) 100.0%			$	816,002

Notes to Schedule of Investments (amounts in thousands*, except number of contracts):

* A zero balance may reflect actual amounts rounding to less than one thousand.

(a) Security is in default.

(b) Interest only security.

(c) Coupon represents a weighted average rate.

(d) Principal amount of security is adjusted for inflation.

(e) Securities with an aggregate market value of $2,231 have been pledged as collateral for swap and swaption contracts on December 31, 2007.

(f) As of December 31, 2007, portfolio securities with an aggregate value of $23,196 and derivative instruments with an aggregate depreciation of ($80) were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(g) Securities with an aggregate market value of $4,543 and cash of $53,975 have been segregated with the custodian to cover margin requirements for the following open futures contracts on December 31, 2007:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Eurodollar December Futures	Long	12/2008	1,387	$	4,989
90-Day Eurodollar June Futures	Long	06/2008	1,340		3,302
90-Day Eurodollar June Futures	Long	06/2009	58		157
90-Day Eurodollar March Futures	Long	03/2009	687		1,837
90-Day Eurodollar September Futures	Long	09/2008	684		2,605
E-mini S&P 500 Index March Futures	Long	03/2008	10,225		(6,988)
S&P 500 Index March Futures	Long	03/2008	102		(35)
U.S. Treasury 2-Year Note March Futures	Short	03/2008	125		(99)
U.S. Treasury 30-Year Bond March Futures	Short	03/2008	665		474
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2008	81		259
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2008	457		528
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2009	45		143
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2008	91		64
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2009	117		355
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2008	312		671
				$	8,262

(h) Swap agreements outstanding on December 31, 2007:

Credit Default Swaps on Securities

Counterparty	Reference Entity	Buy/Sell Protection (1)	(Pay)/Receive Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Bank of America	American International Group, Inc. 4.250% due 05/15/2013	Sell	0.910	%	12/20/2012	$	600	$	7
Bank of America	American International Group, Inc. 4.250% due 05/15/2013	Sell	0.930	%	12/20/2012		1,000		14
Bank of America	Daimler Finance N.A. LLC 6.500% due 11/15/2013	Sell	0.210	%	03/20/2008		2,000		0
Bank of America	MBIA, Inc.	Sell	2.800	%	12/20/2012		600		(10)
Bank of America	MBIA, Inc. 6.625% due 10/01/2028	Sell	4.000	%	12/20/2012		600		(47)
Bank of America	SLM Corp. 5.125% due 08/27/2012	Sell	3.000	%	12/20/2008		1,400		0
Bank of America	SLM Corp. 5.125% due 08/27/2012	Sell	2.860	%	12/20/2012		1,400		(7)
Barclays Bank PLC	General Motors Corp. 7.125% due 07/15/2013	Sell	4.850	%	12/20/2012		1,800		(133)
Barclays Bank PLC	Mexico Government International Bond 7.500% due 04/08/2033	Sell	0.390	%	01/20/2012		5,000		(32)
Barclays Bank PLC	Multiple Reference Entities of Gazprom	Sell	0.740	%	01/20/2012		1,800		(51)
Barclays Bank PLC	SLM Corp. 5.125% due 08/27/2012	Sell	3.000	%	12/20/2008		1,300		0
Bear Stearns & Co., Inc.	Daimler Finance N.A. LLC 6.500% due 11/15/2013	Sell	0.200	%	03/20/2008		1,300		0
Bear Stearns & Co., Inc.	Daimler Finance N.A. LLC 6.500% due 11/15/2013	Sell	0.225	%	03/20/2008		4,200		0
Bear Stearns & Co., Inc.	General Motors Corp. 7.125% due 07/15/2013	Sell	1.810	%	09/20/2008		5,100		(91)
Credit Suisse USA, Inc.	Freddie Mac 5.875% due 03/21/2011	Sell	0.850	%	12/20/2012		600		4
Deutsche Bank AG	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	0.980	%	01/20/2012		1,300		12
Deutsche Bank AG	General Motors Corp. 7.125% due 07/15/2013	Sell	5.000	%	09/20/2009		3,800		(5)
Deutsche Bank AG	Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.130	%	06/20/2008		5,000		(15)
Deutsche Bank AG	MBIA, Inc.	Sell	3.400	%	12/20/2012		600		1
Deutsche Bank AG	Merrill Lynch & Co., Inc. 6.000% due 02/17/2009	Sell	0.120	%	06/20/2008		1,500		(10)
Deutsche Bank AG	Multiple Reference Entities of Gazprom	Sell	1.000	%	10/20/2011		3,200		(60)
Goldman Sachs & Co.	American International Group, Inc. 5.600% due 10/18/2016	Sell	0.065	%	06/20/2008		6,200		(17)
HSBC Bank USA	Multiple Reference Entities of Gazprom	Sell	0.360	%	05/20/2009		1,000		(14)
JPMorgan Chase & Co.	Citigroup, Inc. 6.500% due 01/18/2011	Sell	0.530	%	09/20/2012		3,000		(23)
JPMorgan Chase & Co.	Multiple Reference Entities of Gazprom	Sell	1.430	%	12/20/2008		3,500		6
Lehman Brothers, Inc.	California State General Obligation Bonds 5.250% due 02/01/2018	Sell	0.470	%	12/20/2017		600		0
Lehman Brothers, Inc.	Fannie Mae 5.250% due 08/01/2012	Sell	0.670	%	12/20/2012		900		(3)
Lehman Brothers, Inc.	Fannie Mae 5.250% due 08/01/2012	Sell	0.675	%	12/20/2012		400		(1)
Lehman Brothers, Inc.	Fannie Mae 5.500% due 06/09/2033	Sell	0.440	%	12/20/2012		600		2
Lehman Brothers, Inc.	Fannie Mae 5.500% due 06/09/2033	Sell	0.445	%	12/20/2012		800		3
Lehman Brothers, Inc.	Ford Motor Credit Co. LLC 7.250% due 10/25/2011	Sell	4.000	%	12/20/2008		200		(4)
Lehman Brothers, Inc.	Ford Motor Credit Co. LLC 7.250% due 10/25/2011	Sell	4.300	%	12/20/2008		200		(4)
Lehman Brothers, Inc.	GMAC LLC 6.875% due 08/28/2012	Sell	1.350	%	06/20/2008		3,000		(82)
Lehman Brothers, Inc.	Michigan State General Obligation Bonds, Series 2003 5.250% due 05/01/2020	Sell	0.400	%	12/20/2017		600		0
Lehman Brothers, Inc.	New York, New York General Obligation Bonds, Series 2007 5.000% due 01/01/2026	Sell	0.420	%	12/20/2017		600		2
Lehman Brothers, Inc.	Ohio State General Obligation Bonds, Series 2007 5.000% due 09/01/2020	Sell	0.300	%	12/20/2017		600		2
Lehman Brothers, Inc.	Pemex Project Funding Master Trust 9.500% due 09/15/2027	Sell	0.290	%	12/20/2008		1,200		0
Lehman Brothers, Inc.	Pemex Project Funding Master Trust 9.500% due 09/15/2027	Sell	0.320	%	03/20/2009		2,200		2
Lehman Brothers, Inc.	Residential Capital LLC 6.500% due 04/17/2013	Sell	1.150	%	06/20/2009		6,000		(1,637)
Lehman Brothers, Inc.	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.310	%	12/20/2008		1,200		(3)
Merrill Lynch & Co., Inc.	General Motors Corp. 7.125% due 07/15/2013	Sell	4.880	%	12/20/2012		1,400		(102)
Merrill Lynch & Co., Inc.	GMAC LLC 6.875% due 08/28/2012	Sell	1.850	%	09/20/2009		1,000		(91)
Morgan Stanley	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.370	%	05/20/2008		6,000		(9)
Royal Bank of Scotland Group PLC	American International Group, Inc. 4.250% due 05/15/2013	Sell	0.780	%	12/20/2012		600		4
Royal Bank of Scotland Group PLC	Fannie Mae 5.250% due 08/01/2012	Sell	0.700	%	12/20/2012		900		(1)
Royal Bank of Scotland Group PLC	Fannie Mae 5.250% due 08/01/2012	Sell	0.785	%	12/20/2012		1,600		5
Royal Bank of Scotland Group PLC	Fannie Mae 5.250% due 08/01/2012	Sell	0.840	%	12/20/2012		3,200		18
Royal Bank of Scotland Group PLC	Fannie Mae 5.250% due 08/01/2012	Sell	0.950	%	12/20/2012		900		10
Royal Bank of Scotland Group PLC	Fannie Mae 5.500% due 06/09/2033	Sell	0.510	%	12/20/2012		1,600		12
Royal Bank of Scotland Group PLC	General Motors Corp. 7.125% due 07/15/2013	Sell	4.500	%	09/20/2008		3,100		43
Royal Bank of Scotland Group PLC	Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	0.300	%	09/20/2008		700		(6)
UBS Warburg LLC	General Motors Corp. 7.125% due 07/15/2013	Sell	4.900	%	12/20/2012		1,000		(61)
Wachovia Bank N.A.	MBIA, Inc. 6.625% due 10/01/2028	Sell	5.050	%	12/20/2012		600		(24)
								$	(2,396)

Credit Default Swaps on Credit Indices

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Notional Amount		Unrealized (Depreciation)
Citibank N.A.	Dow Jones CDX N.A. HY8 Index	Sell	0.360	%	06/20/2012	$	5,000	$	(93)
Citibank N.A.	Dow Jones CDX N.A. HY8 Index	Sell	0.401	%	06/20/2012		1,200		(21)
Citibank N.A.	Dow Jones CDX N.A. HY8 Index	Sell	2.144	%	06/20/2012		600		(7)
Deutsche Bank AG	Dow Jones CDX N.A. EM8 Index	Sell	1.750	%	12/20/2012		2,200		(24)
Merrill Lynch & Co., Inc.	Dow Jones CDX N.A. HY8 Index	Sell	1.833	%	06/20/2012		1,100		(27)
Morgan Stanley	Dow Jones CDX N.A. HY8 Index	Sell	2.080	%	06/20/2012		1,100		(16)
Morgan Stanley	Dow Jones CDX N.A. HY8 Index	Sell	2.170	%	06/20/2012		500		(6)
								$	(194)

⁽¹⁾ If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will pay to the buyer of the protection an amount up to the notional value of the swap and in certain instances, take delivery of the security.

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Barclays Bank PLC	BRL-CDI-Compounded	Pay	11.360	%	01/04/2010	BRL	4,400	$	(37	)
Goldman Sachs & Co.	BRL-CDI-Compounded	Pay	11.465	%	01/04/2010		1,100		(8	)
Merrill Lynch & Co., Inc.	BRL-CDI-Compounded	Pay	11.430	%	01/04/2010		2,900		(22	)
Merrill Lynch & Co., Inc.	BRL-CDI-Compounded	Pay	12.948	%	01/04/2010		1,800		12
Morgan Stanley	BRL-CDI-Compounded	Pay	12.780	%	01/04/2010		2,000		7
UBS Warburg LLC	BRL-CDI-Compounded	Pay	10.575	%	01/02/2012		2,100		(31	)
Barclays Bank PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.960	%	04/05/2012	EUR	300		(6	)
BNP Paribas Bank	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.090	%	10/15/2010		2,300		14
Goldman Sachs & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.995	%	03/15/2012		32,700		(492	)
Goldman Sachs & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.960	%	03/30/2012		700		(13	)
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.948	%	03/15/2012		1,200		(23	)
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.958	%	04/10/2012		300		(6	)
UBS Warburg LLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.146	%	10/15/2010		1,000		12
Credit Suisse USA, Inc.	6-Month GBP-LIBOR	Pay	5.000	%	06/15/2009	GBP	19,700		(71	)
Credit Suisse USA, Inc.	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2036		2,400		80
Deutsche Bank AG	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2036		4,000		(241	)
Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	6.000	%	12/19/2009		1,600		62
Goldman Sachs & Co.	6-Month GBP-LIBOR	Receive	5.000	%	12/19/2037		200		(30	)
Lehman Brothers, Inc.	6-Month GBP-LIBOR	Pay	4.500	%	09/20/2009		800		(27	)
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Pay	6.000	%	03/20/2009		3,500		23
Bank of America	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010	$	9,600		64
Barclays Bank PLC	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010		90,100		135
Barclays Bank PLC	3-Month USD-LIBOR	Pay	5.000	%	06/18/2010		29,300		91
Merrill Lynch & Co., Inc.	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010		4,100		13
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010		15,000		59
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	06/18/2038		1,900		(49	)
								$	(484	)

Total Return Swaps

Counterparty	Type	Receive Total Return	Pay	Expiration Date	# of Contracts	Unrealized Appreciation
Merrill Lynch & Co., Inc.	Long	S&P 500 Index	1-Month USD-LIBOR less 0.030%	05/15/2008	18,157	$	381

(i) Purchased options outstanding on December 31, 2007:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Cost		Value
Call - CBOT U.S. Treasury 2-Year Note March Futures	$	114.500	02/22/2008	12	$	0	$	0
Call - CBOT U.S. Treasury 10-Year Note March Futures		136.000	02/22/2008	30		0		1
Call - CBOT U.S. Treasury 10-Year Note March Futures		138.000	02/22/2008	245		5		4
Call - CBOT U.S. Treasury 10-Year Note March Futures		142.000	02/22/2008	350		7		5
Call - CBOT U.S. Treasury 30-Year Bond March Futures		139.000	02/22/2008	70		1		1
Put - CME S&P 500 Index March Futures		700.000	03/20/2008	1,849		53		0
					$	66	$	11

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Cost		Value
Call - OTC 2-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Pay	4.750	%	09/26/2008	$	3,500	$	18	$	73
Call - OTC 1-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Pay	4.750	%	02/01/2008		27,000		78		206
Call - OTC 2-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	4.750	%	03/31/2008		34,500		191		698
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	02/01/2008		53,400		265		1,250
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	09/26/2008		3,600		13		75
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	12/15/2008		124,700		470		2,954
									$	1,035	$	5,256

(j) Written options outstanding on December 31, 2007:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Value
Call - CBOT U.S. Treasury 10-Year Note March Futures	$	112.000	02/22/2008	30	$	24	$	64
Call - CBOT U.S. Treasury 10-Year Note March Futures		113.000	02/22/2008	29		22		45
Put - CBOT U.S. Treasury 10-Year Note March Futures		108.000	02/22/2008	29		12		2
					$	58	$	111

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Value
Call - OTC 5-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Receive	4.950	%	09/26/2008	$	1,500	$	17	$	55
Call - OTC 5-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Receive	4.900	%	02/01/2008		6,000		75		198
Call - OTC 5-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	4.900	%	03/31/2008		15,000		183		518
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.100	%	02/01/2008		23,000		276		960
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.950	%	09/26/2008		1,600		13		58
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.200	%	12/15/2008		41,600		448		1,964
									$	1,012	$	3,753

(k) Restricted securities as of December 31, 2007:

Issuer Description	Coupon		Maturity Date	Acquisition Date		Cost		Market Value	Market Value as Percentage of Net Assets
Bank Mart	4.567	%	03/01/2019	07/07/1995 -06/12/1997	$	590	$	558	0.07	%

(l) Short sales outstanding on December 31, 2007:

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Value(2)
Fannie Mae	5.500	%	01/01/2038	$	6,000	$	6,010	$	5,994
Freddie Mac	5.500	%	01/01/2038		6,900		6,911		6,886
U.S. Treasury Bonds	3.125	%	11/30/2009		4,900		4,896		4,942
						$	17,817	$	17,822

⁽²⁾ Market value includes $35 of interest payable on short sales.

(m) Foreign currency contracts outstanding on December 31, 2007:

Type	Currency	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	AED	699	05/2008	$	0	$	0		$	0
Buy	AUD	3,056	01/2008		13		0			13
Sell		566	01/2008		3		0			3
Buy	BRL	17,677	03/2008		1,476		(1	)		1,475
Buy		59,384	07/2008		2,630		0			2,630
Buy	CNY	9,454	01/2008		14		0			14
Sell		9,454	01/2008		0		(24	)		(24	)
Buy	EUR	198	01/2008		0		0			0
Buy	GBP	79	01/2008		0		0			0
Sell		7,333	01/2008		177		(1	)		176
Buy	IDR	7,056,000	05/2008		0		(57	)		(57	)
Buy	INR	76,489	05/2008		118		0			118
Sell	JPY	58,027	02/2008		1		0			1
Buy	KRW	210,394	01/2008		0		(6	)		(6	)
Buy		1,461,334	05/2008		0		(13	)		(13	)
Buy		4,742,342	08/2008		0		(23	)		(23	)
Buy	KWD	53	05/2008		1		0			1
Buy	MXN	60,812	03/2008		41		(3	)		38
Sell		17,884	03/2008		0		(13	)		(13	)
Buy		7,337	07/2008		5		(2	)		3
Buy	MYR	9,670	05/2008		50		0			50
Sell	NZD	10,942	01/2008		0		(207	)		(207	)
Sell		10,942	02/2008		50		0			50
Buy	PHP	104,141	05/2008		240		0			240
Buy	PLN	682	03/2008		5		0			5
Sell		682	03/2008		0		(4	)		(4	)
Buy		17,125	07/2008		676		0			676
Sell		17,125	07/2008		0		(73	)		(73	)
Buy	RUB	151,616	01/2008		294		0			294
Sell		151,616	01/2008		4		(1	)		3
Buy		114,786	07/2008		99		0			99
Sell		13,226	07/2008		0		(2	)		(2	)
Buy		65,045	11/2008		1		0			1
Buy	SAR	717	05/2008		0		(1	)		(1	)
Buy	SGD	1,713	02/2008		32		(1	)		31
Sell		62	02/2008		0		0			0
Buy		8,259	05/2008		256		0			256
Buy	ZAR	965	07/2008		0		(6	)		(6	)
				$	6,186	$	(438	)	$	5,748

See accompanying notes

Schedule of Investments

StocksPLUS^® Long Duration Fund

December 31, 2007 (Unaudited)

	Principal Amount (000s)		Value (000s)
CORPORATE BONDS & NOTES 36.5%
Banking & Finance 10.6%
ABX Financing Co.
6.350% due 10/15/2036	$	300	$	295
American International Group, Inc.
6.250% due 05/01/2036		800		807
Bank of America N.A.
6.000% due 10/15/2036		1,300		1,247
Citigroup, Inc.
5.875% due 05/29/2037		800		749
6.125% due 08/25/2036		600		570
General Electric Capital Corp.
6.750% due 03/15/2032		1,400		1,594
Goldman Sachs Group, Inc.
6.125% due 02/15/2033		880		867
6.750% due 10/01/2037		300		295
HSBC Bank USA N.A.
5.875% due 11/01/2034		170		157
HSBC Holdings PLC
6.500% due 09/15/2037		600		583
Merrill Lynch & Co., Inc.
6.110% due 01/29/2037		200		177
Morgan Stanley
7.250% due 04/01/2032		400		437
UBS AG
5.875% due 12/20/2017		100		101
Wachovia Bank N.A.
5.850% due 02/01/2037		500		452
Wells Fargo & Co.
5.375% due 02/07/2035		200		177
Wells Fargo Bank N.A.
5.950% due 08/26/2036		600		566
				9,074
Industrials 13.0%
Amgen, Inc.
6.375% due 06/01/2037		400		407
Anadarko Petroleum Corp.
6.450% due 09/15/2036		800		817
Anheuser-Busch Cos., Inc.
6.450% due 09/01/2037		200		218
AstraZeneca PLC
6.450% due 09/15/2037		500		550
Canadian National Railway Co.
6.375% due 11/15/2037		100		103
Canadian Natural Resources Ltd.
6.250% due 03/15/2038		600		588
Comcast Corp.
6.500% due 11/15/2035		200		205
6.950% due 08/15/2037		600		650
ConocoPhillips Canada Funding Co.
5.950% due 10/15/2036		900		925
CSX Corp.
6.150% due 05/01/2037		600		563
Devon Energy Corp.
7.950% due 04/15/2032		400		491
Devon Financing Corp. ULC
7.875% due 09/30/2031		100		121
EnCana Corp.
6.500% due 08/15/2034		600		616
Energy Transfer Partners LP
6.625% due 10/15/2036		300		288
Enterprise Products Operating LP
5.750% due 03/01/2035		100		91
Kinder Morgan Energy Partners LP
5.800% due 03/15/2035		400		363
6.950% due 01/15/2038		100		105
Marathon Oil Corp.
6.600% due 10/01/2037		100		105
ONEOK Partners LP
6.850% due 10/15/2037		300		312
Suncor Energy, Inc.
6.500% due 06/15/2038		400		429
Target Corp.
6.500% due 10/15/2037		100		101
Time Warner Cable, Inc.
6.550% due 05/01/2037		800		819
Time Warner, Inc.
6.500% due 11/15/2036		800		781
TransCanada Pipelines Ltd.
6.200% due 10/15/2037		100		100
Valero Energy Corp.
6.625% due 06/15/2037		300		303
Wal-Mart Stores, Inc.
6.500% due 08/15/2037		800		845
XTO Energy, Inc.
6.100% due 04/01/2036		290		284
				11,180
Utilities 12.9%
Appalachian Power Co.
6.700% due 08/15/2037		700		715
AT&T Corp.
8.000% due 11/15/2031		1,700		2,094
AT&T, Inc.
6.500% due 09/01/2037		200		210
British Telecommunications PLC
9.125% due 12/15/2030		500		664
Deutsche Telekom International Finance BV
8.250% due 06/15/2030		1,000		1,251
Enel Finance International S.A.
6.800% due 09/15/2037		300		302
FirstEnergy Corp.
7.375% due 11/15/2031		700		770
Florida Power Corp.
6.350% due 09/15/2037		400		423
France Telecom S.A.
8.500% due 03/01/2031		400		520
MidAmerican Energy Holdings Co.
5.950% due 05/15/2037		400		389
6.500% due 09/15/2037		100		105
Pacific Gas & Electric Co.
6.050% due 03/01/2034		700		701
Progress Energy, Inc.
7.750% due 03/01/2031		100		119
Southern California Edison Co.
5.625% due 02/01/2036		600		576
Sprint Capital Corp.
8.750% due 03/15/2032		600		678
Verizon Communications, Inc.
5.850% due 09/15/2035		900		883
Virginia Electric and Power Co.
6.000% due 05/15/2037		660		648
				11,048
Total Corporate Bonds & Notes (Cost $31,227)				31,302
MUNICIPAL BONDS & NOTES 0.2%
Ohio State Buckeye Tobacco Settlement Financing Authority Revenue Bonds, Series 2007
5.875% due 06/01/2047		100		96
West Virginia State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2007
7.467% due 06/01/2047		100		96
Total Municipal Bonds & Notes (Cost $194)				192
U.S. GOVERNMENT AGENCIES 20.6%
Fannie Mae
6.000% due 05/01/2037 - 11/01/2037		15,779		16,028
Federal Home Loan Bank
5.250% due 09/12/2014		900		959
Ginnie Mae
5.500% due 10/20/2037		300		279
Small Business Administration
5.290% due 12/01/2027		400		405
Total U.S. Government Agencies (Cost $17,393)				17,671
U.S. TREASURY OBLIGATIONS 7.8%
U.S. Treasury Bonds
5.000% due 05/15/2037		400		436
8.125% due 08/15/2019		4,100		5,528
8.875% due 08/15/2017		200		275
U.S. Treasury Strips
0.000% due 02/15/2036		1,500		431
Total U.S. Treasury Obligations (Cost $6,612)				6,670
MORTGAGE-BACKED SECURITIES 0.9%
Thornburg Mortgage Securities Trust
4.883% due 03/25/2037		93		90
Washington Mutual, Inc.
3.027% due 08/25/2033		200		199
Wells Fargo Mortgage-Backed Securities Trust
4.515% due 11/25/2033		500		494
Total Mortgage-Backed Securities (Cost $782)				783
ASSET-BACKED SECURITIES 0.7%
HSI Asset Securitization Corp. Trust
4.915% due 12/25/2036		583		562
Total Asset-Backed Securities (Cost $578)				562
FOREIGN CURRENCY-DENOMINATED ISSUES 2.4%
Brazilian Government International Bond
10.250% due 01/10/2028	BRL	3,750		2,046
Total Foreign Currency-Denominated Issues (Cost $2,149)				2,046
SHORT-TERM INSTRUMENTS 27.3%
Commercial Paper 22.6%
Abbey National Treasury Services PLC
4.680% due 02/01/2008	$	2,400		2,391
ANZ National International Ltd.
5.100% due 01/22/2008		2,300		2,293
Barclays U.S. Funding Corp.
5.110% due 01/17/2008		1,100		1,098
Calyon Financial, Inc.
5.010% due 01/18/2008		2,300		2,295
DnB NORBank ASA
5.050% due 01/25/2008		1,100		1,096
Royal Bank of Scotland Group PLC
4.740% due 01/28/2008		2,300		2,292
5.000% due 01/18/2008		100		100
5.080% due 01/18/2008		1,300		1,297
Skandinaviska Enskilda Banken AB
4.980% due 01/18/2008		1,100		1,098
Swedbank AB
5.130% due 01/17/2008		900		898
UBS Finance Delaware LLC
4.690% due 01/28/2008		2,300		2,292
Unicredito Italiano SpA
5.140% due 01/18/2008		1,100		1,097
Westpac Trust Securities NZ Ltd.
5.100% due 01/15/2008		1,100		1,098
				19,345
Repurchase Agreements 3.3%
Lehman Brothers, Inc.
1.000% due 01/02/2008		300		300
(Dated 12/31/2007. Collateralized by U.S. Treasury Inflation Protected Securities 3.875% due 04/15/2029 valued at $311. Repurchase proceeds are $300.)
State Street Bank and Trust Co.
3.900% due 01/02/2008		2,508		2,508
(Dated 12/31/2007. Collateralized by Federal Home Loan Bank 3.625% due 01/15/2008 valued at $2,561. Repurchase proceeds are $2,509.)
				2,808
U.S. Treasury Bills 1.4%
2.926% due 02/28/2008 - 03/13/2008 (a)(b)(c)		1,205		1,197
Total Short-Term Instruments (Cost $23,352)				23,350
Purchased Options (e) 0.0% (Cost $2)				2
Total Investments 96.4% (Cost $82,289)			$	82,578
Written Options (f) (0.0%) (Premiums $11)				(9	)
Other Assets and Liabilities (Net) 3.6%				3,066
Net Assets 100.0%			$	85,635

Notes to Schedule of Investments (amounts in thousands*, except number of contracts):

* A zero balance may reflect actual amounts rounding to less than one thousand.

(a) Coupon represents a weighted average rate.

(b) Securities with an aggregate market value of $744 have been pledged as collateral for swap and swaption contracts on December 31, 2007.

(c) Securities with an aggregate market value of $204 and cash of $3,285 have been segregated with the custodian to cover margin requirements for the following open futures contracts on December 31, 2007:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Eurodollar December Futures	Long	12/2008	81	$	237
90-Day Eurodollar June Futures	Long	06/2008	83		125
90-Day Eurodollar March Futures	Long	03/2009	163		430
E-mini S&P 500 Index March Futures	Short	03/2008	1		0
S&P 500 Index March Futures	Long	03/2008	150		(155	)
U.S. Treasury 10-Year Note March Futures	Long	03/2008	142		56
U.S. Treasury 30-Year Bond March Futures	Long	03/2008	76		(47	)
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2008	9		4
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2008	18		5
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2008	17		6
				$	661

(d) Swap agreements outstanding on December 31, 2007:

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay Floating Rate	Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation
Citibank N.A.	3-Month USD-LIBOR	Pay	5.000	%	06/18/2028	$	6,050	$	152
Morgan Stanley	3-Month USD-LIBOR	Pay	5.000	%	06/18/2018		500		9
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	06/18/2018		5,500		55
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	06/18/2038		2,400		63
								$	279

Total Return Swaps

Counterparty	Type	Receive Total Return	Pay	Expiration Date	# of Contracts	Unrealized (Depreciation)
Credit Suisse USA, Inc.	Long	S&P 500 Index	1-Month USD- LIBOR less 0.100%	09/08/2008	20,384	$	(861	)

(e) Purchased options outstanding on December 31, 2007:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Cost		Value
Put - CBOT U.S. Treasury 10-Year Note March Futures	$	103.000	02/22/2008	112	$	2	$	2

(f) Written options outstanding on December 31, 2007:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Value
Call - CBOT U.S. Treasury 5-Year Note March Futures	$	111.000	02/22/2008	8	$	5	$	6
Put - CBOT U.S. Treasury 5-Year Note March Futures		109.000	02/22/2008	8		6		3
					$	11	$	9

(g) Foreign currency contracts outstanding on December 31, 2007:

Type	Currency	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	AUD	456	01/2008	$	3	$	(1	)	$	2
Sell		257	01/2008		0		(5	)		(5	)
Buy		257	02/2008		5		0			5
Buy	BRL	551	03/2008		25		0			25
Buy		1,046	07/2008		11		0			11
Sell	GBP	443	01/2008		11		0			11
Buy	JPY	44,059	02/2008		2		0			2
Buy	KRW	634,542	05/2008		0		(9	)		(9	)
Buy		137,820	08/2008		0		(3	)		(3	)
Buy	MXN	3,175	03/2008		8		0			8
Buy		6,387	07/2008		1		(3	)		(2	)
Buy	PLN	401	01/2008		12		0			12
Buy		2,130	07/2008		58		0			58
Buy	RUB	7,170	01/2008		10		0			10
Sell		7,170	01/2008		0		0			0
Buy		3,772	07/2008		3		0			3
Buy		17,393	11/2008		3		0			3
Buy	SGD	1,270	05/2008		10		0			10
				$	162	$	(21	)	$	141

See accompanying notes

Schedule of Investments

StocksPLUS^® Total Return Fund

December 31, 2007 (Unaudited)

	Principal Amount (000s)		Value (000s)
BANK LOAN OBLIGATIONS 0.8%
Daimler Finance North America LLC
9.000% due 08/03/2012	$	2,000	$	1,928
Fresenius Medical Care Capital Trust
6.205% due 03/22/2013		204		197
6.316% due 03/22/2013		211		204
6.437% due 03/22/2013		46		45
Tell Group PLC
6.345% due 04/27/2011		51		48
Total Bank Loan Obligations (Cost $2,419)				2,422
CORPORATE BONDS & NOTES 25.8%
Banking & Finance 21.0%
Ajax Re Ltd.
11.241% due 05/08/2009		400		402
American Express Bank FSB
6.000% due 09/13/2017		1,000		1,007
American Express Centurion Bank
6.000% due 09/13/2017		1,000		1,007
American General Finance Corp.
6.900% due 12/15/2017		900		902
American International Group, Inc.
5.050% due 10/01/2015		100		97
5.850% due 01/16/2018		2,300		2,319
Bank of America Corp.
4.875% due 11/06/2009		400		399
Bank of Ireland
5.016% due 12/18/2009		1,500		1,496
Barclays Bank PLC
5.450% due 09/12/2012		6,000		6,156
6.050% due 12/04/2017		600		606
Bear Stearns Cos., Inc.
5.072% due 08/21/2009		1,600		1,541
5.284% due 01/30/2009		700		693
5.599% due 07/19/2010		2,600		2,445
BNP Paribas
5.186% due 06/29/2049		1,200		1,094
Calabash Re II Ltd.
13.391% due 01/08/2010		1,000		1,033
14.591% due 01/08/2010		1,000		1,070
15.891% due 01/08/2010		800		839
Citigroup Capital XXI
8.300% due 12/21/2057		400		419
Citigroup Funding, Inc.
4.858% due 06/26/2009		500		492
Citigroup Global Markets Holdings, Inc.
5.091% due 03/17/2009		600		595
Citigroup, Inc.
6.000% due 08/15/2017		1,900		1,942
6.125% due 08/25/2036		1,200		1,139
DnB NORBank ASA
5.312% due 10/13/2009		600		601
Export-Import Bank of China
4.875% due 07/21/2015		100		98
Ford Motor Credit Co. LLC
6.625% due 06/16/2008		12,800		12,615
General Electric Capital Corp.
4.939% due 08/15/2011		2,200		2,163
GMAC LLC
6.000% due 12/15/2011		100		84
Goldman Sachs Group, Inc.
4.880% due 03/30/2009		1,000		996
4.924% due 12/23/2008		500		499
4.958% due 11/16/2009		800		786
6.250% due 09/01/2017		1,200		1,251
6.750% due 10/01/2037		3,300		3,243
HBOS PLC
5.920% due 09/29/2049		100		87
HSBC Finance Corp.
5.137% due 05/10/2010		400		390
5.212% due 03/12/2010		1,000		981
JPMorgan Chase & Co.
4.915% due 06/26/2009		500		498
6.000% due 01/15/2018		400		408
JPMorgan Chase Bank N.A.
6.000% due 10/01/2017		1,300		1,325
JPMorgan Chase Capital
6.550% due 09/29/2036		100		91
Lehman Brothers Holdings, Inc.
6.200% due 09/26/2014		1,800		1,836
Merrill Lynch & Co., Inc.
6.050% due 08/15/2012		1,200		1,224
MetLife, Inc.
6.400% due 12/15/2036		300		276
Morgan Stanley
4.972% due 11/21/2008		500		496
Mystic Re Ltd.
11.381% due 12/05/2008		800		810
Petroleum Export Ltd.
5.265% due 06/15/2011		80		79
Resona Bank Ltd.
5.850% due 09/29/2049		200		186
Royal Bank of Scotland Group PLC
5.230% due 07/21/2008		500		500
SLM Corp.
5.224% due 07/27/2009		400		376
State Street Capital Trust IV
5.991% due 06/15/2037		100		78
Sumitomo Mitsui Banking Corp.
5.625% due 07/29/2049		1,100		1,029
TNK-BP Finance S.A.
6.125% due 03/20/2012		100		96
UBS AG
5.875% due 12/20/2017		400		404
USB Capital IX
6.189% due 04/15/2049		100		91
Wachovia Corp.
5.174% due 12/01/2009		200		198
5.372% due 10/15/2011		1,500		1,468
				62,956
Industrials 3.3%
Anadarko Petroleum Corp.
5.391% due 09/15/2009		800		788
AstraZeneca PLC
5.900% due 09/15/2017		300		316
6.450% due 09/15/2037		200		220
CODELCO, Inc.
6.150% due 10/24/2036		100		99
Daimler Finance North America LLC
5.461% due 03/13/2009		300		298
HJ Heinz Co.
6.428% due 12/01/2008		100		102
International Business Machines Corp.
5.700% due 09/14/2017		5,800		6,007
Kraft Foods, Inc.
6.125% due 02/01/2018		500		505
Peabody Energy Corp.
7.875% due 11/01/2026		100		102
Rohm & Haas Co.
6.000% due 09/15/2017		400		407
Time Warner, Inc.
5.109% due 11/13/2009		600		585
Transocean, Inc.
5.341% due 09/05/2008		500		498
				9,927
Utilities 1.5%
AT&T, Inc.
4.978% due 02/05/2010		400		397
Enel Finance International S.A.
6.800% due 09/15/2037		2,200		2,217
IPALCO Enterprises, Inc.
8.625% due 11/14/2011		600		630
Qwest Corp.
7.625% due 06/15/2015		500		511
Ras Laffan Liquefied Natural Gas Co. Ltd. III
5.838% due 09/30/2027		300		284
Telefonica Emisones SAU
5.226% due 06/19/2009		700		695
				4,734
Total Corporate Bonds & Notes (Cost $77,548)				77,617
MUNICIPAL BONDS & NOTES 0.4%
San Diego, California Tobacco Settlement Revenue Funding Corporations Revenue Bonds, Series 2006
7.125% due 06/01/2032		300		282
Texas State General Obligation Bonds, Series 2005
4.750% due 04/01/2035		400		402
West Virginia State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2007
7.467% due 06/01/2047		600		577
Total Municipal Bonds & Notes (Cost $1,245)				1,261
COMMODITY INDEX-LINKED NOTES 0.3%
Goldman Sachs Commodity Index Total Return 0.3%
Morgan Stanley
4.805% due 07/07/2008		1,000		1,002
Total Commodity Index-Linked Notes (Cost $1,000)				1,002
U.S. GOVERNMENT AGENCIES 117.4%
Fannie Mae
3.854% due 08/01/2033		121		122
4.344% due 09/01/2033		868		868
4.669% due 05/25/2035		100		101
4.898% due 06/01/2033		295		298
4.925% due 12/25/2036		318		313
4.985% due 03/25/2034		213		210
5.000% due 11/01/2017 - 01/01/2038		23,977		23,790
5.000% due 11/01/2036 (e)		1,973		1,926
5.215% due 03/25/2044		786		778
5.265% due 11/25/2032		78		79
5.281% due 01/01/2036		361		364
5.500% due 01/01/2021 - 01/01/2038		80,478		80,489
5.500% due 01/01/2033 - 06/01/2037 (e)		75,068		75,065
5.620% due 05/01/2036		14		14
6.000% due 04/01/2036 - 01/01/2038		64,421		65,420
6.000% due 09/01/2037 - 11/01/2037 (e)		40,007		40,636
6.063% due 07/01/2044		128		128
6.188% due 09/01/2034		72		73
6.341% due 12/01/2036		63		64
6.500% due 10/01/2035 - 10/01/2037		4,634		4,765
6.500% due 09/01/2037 - 11/01/2037 (e)		8,939		9,190
7.000% due 09/01/2013		10		10
8.000% due 12/01/2030		3		3
Freddie Mac
4.203% due 03/01/2034		460		467
5.178% due 07/15/2019 - 10/15/2020		11,706		11,661
5.258% due 02/15/2019		4,187		4,166
5.500% due 08/15/2030 - 02/01/2038		9,775		9,754
5.500% due 05/01/2037 (e)		2,971		2,966
6.000% due 09/01/2037 (e)		7,186		7,294
6.063% due 02/25/2045		71		71
7.198% due 02/01/2024		20		20
8.000% due 01/01/2017		22		23
Ginnie Mae
6.000% due 12/15/2036 - 09/15/2037		8,879		9,093
6.375% due 03/20/2027		3		4
8.000% due 02/15/2030		2		2
Small Business Administration
4.750% due 07/01/2025		1,161		1,141
5.520% due 06/01/2024		1,206		1,241
Total U.S. Government Agencies (Cost $351,009)				352,609
U.S. TREASURY OBLIGATIONS 1.6%
Treasury Inflation Protected Securities (b)
2.000% due 01/15/2026		635		633
2.375% due 01/15/2025		669		702
2.625% due 07/15/2017		203		219
3.500% due 01/15/2011		2,897		3,117
Total U.S. Treasury Obligations (Cost $4,635)				4,671
MORTGAGE-BACKED SECURITIES 11.3%
American Home Mortgage Investment Trust
4.390% due 02/25/2045		294		282
Banc of America Funding Corp.
4.111% due 05/25/2035		499		493
6.144% due 01/20/2047		535		527
Banc of America Mortgage Securities, Inc.
6.500% due 10/25/2031		137		138
6.500% due 09/25/2033		47		48
Bear Stearns Adjustable Rate Mortgage Trust
4.609% due 01/25/2034		159		158
5.037% due 04/25/2033		7		7
5.073% due 11/25/2034		1,102		1,100
6.534% due 01/25/2034		12		12
Bear Stearns Alt-A Trust
5.025% due 02/25/2034		588		559
5.368% due 05/25/2035		1,079		1,067
5.527% due 09/25/2035		228		225
Citigroup Mortgage Loan Trust, Inc.
4.700% due 12/25/2035		159		156
Countrywide Alternative Loan Trust
5.045% due 05/25/2047		519		491
6.000% due 10/25/2033		122		119
Countrywide Home Loan Mortgage Pass-Through Trust
4.726% due 02/20/2035		1,270		1,264
4.801% due 11/25/2034		687		682
5.135% due 05/25/2034		17		17
5.250% due 02/20/2036		148		147
CS First Boston Mortgage Securities Corp.
5.639% due 05/25/2032		2		2
Deutsche ALT-A Securities, Inc. Alternate Loan Trust
4.945% due 02/25/2037		1,992		1,954
First Horizon Asset Securities, Inc.
5.372% due 08/25/2035		386		385
Greenpoint Mortgage Funding Trust
4.945% due 10/25/2046		579		567
4.945% due 01/25/2047		693		679
GSR Mortgage Loan Trust
5.251% due 11/25/2035		697		674
5.298% due 06/25/2034		457		456
6.000% due 03/25/2032		1		1
Harborview Mortgage Loan Trust
3.941% due 06/19/2034		9,900		9,881
Impac CMB Trust
5.783% due 07/25/2033		77		77
Indymac Index Mortgage Loan Trust
5.047% due 12/25/2034		227		225
JPMorgan Mortgage Trust
5.023% due 02/25/2035		410		402
MASTR Asset Securitization Trust
5.500% due 09/25/2033		37		37
Merrill Lynch Mortgage Investors, Inc.
4.910% due 12/25/2032		18		18
5.075% due 02/25/2036		245		236
MLCC Mortgage Investors, Inc.
5.115% due 11/25/2035		182		176
5.865% due 10/25/2035		132		130
6.989% due 01/25/2029		138		139
Morgan Stanley Dean Witter Capital I
5.500% due 04/25/2017		1		1
Prime Mortgage Trust
5.265% due 02/25/2019		17		17
5.265% due 02/25/2034		102		100
Salomon Brothers Mortgage Securities VII, Inc.
4.000% due 12/25/2018		470		451
Structured Adjustable Rate Mortgage Loan Trust
5.535% due 08/25/2035		239		237
Structured Asset Mortgage Investments, Inc.
5.215% due 07/19/2035		551		531
Structured Asset Securities Corp.
5.331% due 10/25/2035		569		564
Thornburg Mortgage Securities Trust
4.975% due 11/25/2046		548		535
Washington Mutual MSC Mortgage Pass-Through Certificates
5.967% due 02/25/2033		1		1
Washington Mutual, Inc.
5.155% due 10/25/2045		115		108
5.483% due 02/27/2034		67		65
5.505% due 12/25/2027		1,249		1,179
5.788% due 02/25/2046		390		380
5.988% due 11/25/2042		88		86
6.188% due 08/25/2042		58		55
Wells Fargo Mortgage-Backed Securities Trust
4.949% due 01/25/2035		858		849
4.950% due 03/25/2036		642		635
4.992% due 10/25/2035		4,538		4,516
Total Mortgage-Backed Securities (Cost $33,812)				33,841
ASSET-BACKED SECURITIES 13.8%
ACE Securities Corp.
4.915% due 12/25/2036		191		185
Amortizing Residential Collateral Trust
5.155% due 07/25/2032		18		17
Asset-Backed Securities Corp. Home Equity
4.915% due 11/25/2036		334		329
5.025% due 05/25/2035		90		90
Bank One Issuance Trust
5.138% due 12/15/2010		4,400		4,401
Bear Stearns Asset-Backed Securities Trust
4.915% due 11/25/2036		679		666
4.945% due 10/25/2036		274		270
Carrington Mortgage Loan Trust
4.915% due 01/25/2037		2,452		2,399
Chase Credit Card Master Trust
5.138% due 02/15/2011		1,000		1,000
Countrywide Asset-Backed Certificates
4.915% due 05/25/2037		5,782		5,655
4.945% due 06/25/2037		523		510
5.345% due 12/25/2031		94		86
CS First Boston Mortgage Securities Corp.
5.485% due 01/25/2032		17		17
First Franklin Mortgage Loan Asset-Backed Certificates
4.915% due 11/25/2036		921		884
4.915% due 12/25/2036		520		508
4.935% due 12/25/2037		2,636		2,576
First USA Credit Card Master Trust
5.156% due 04/18/2011		1,600		1,601
Fremont Home Loan Trust
4.915% due 10/25/2036		1,818		1,796
4.925% due 01/25/2037		426		415
HFC Home Equity Loan Asset-Backed Certificates
5.019% due 03/20/2036		384		378
JPMorgan Mortgage Acquisition Corp.
4.915% due 07/25/2036		762		748
4.915% due 10/25/2036		2,247		2,192
Lehman XS Trust
4.935% due 05/25/2046		149		148
Long Beach Mortgage Loan Trust
4.895% due 06/25/2036		536		533
4.905% due 11/25/2036		1,988		1,955
5.145% due 10/25/2034		12		12
MASTR Asset-Backed Securities Trust
4.925% due 11/25/2036		575		560
MBNA Credit Card Master Note Trust
5.148% due 08/16/2010		2,200		2,201
Merrill Lynch Mortgage Investors, Inc.
4.895% due 06/25/2037		348		344
4.935% due 08/25/2036		1,321		1,303
Morgan Stanley ABS Capital I
4.915% due 10/25/2036		235		225
Nationstar Home Equity Loan Trust
4.985% due 04/25/2037		2,173		2,107
Option One Mortgage Loan Trust
4.915% due 07/25/2036		242		240
Residential Asset Mortgage Products, Inc.
4.935% due 11/25/2036		815		801
4.965% due 08/25/2046		2,190		2,152
Soundview Home Equity Loan Trust
4.945% due 01/25/2037		2,126		2,086
Truman Capital Mortgage Loan Trust
5.205% due 01/25/2034		83		82
Total Asset-Backed Securities (Cost $42,152)				41,472
SOVEREIGN ISSUES 0.0%
China Development Bank
5.000% due 10/15/2015		100		99
Total Sovereign Issues (Cost $99)				99
FOREIGN CURRENCY-DENOMINATED ISSUES 1.1%
Brazilian Government International Bond
10.250% due 01/10/2028	BRL	300		164
Ford Motor Credit Co. LLC
6.750% due 01/14/2008	EUR	200		292
General Electric Capital Corp.
5.500% due 09/15/2067		2,000		2,839
Total Foreign Currency-Denominated Issues (Cost $3,138)				3,295
	Shares
PREFERRED STOCKS 0.8%
DG Funding Trust
6.979% due 12/31/2049		217		2,295
Total Preferred Stocks (Cost $2,294)				2,295
	Principal Amount (000s)
SHORT-TERM INSTRUMENTS 8.1%
Commercial Paper 1.5%
Cox Communications, Inc.
5.341% due 01/15/2008	$	4,400		4,399
U.S. Treasury Bills 6.6%
3.002% due 02/28/2008 - 03/13/2008 (a)(c)(f)		20,135		19,957
Total Short-Term Instruments (Cost $24,418)				24,356
Purchased Options (h) 1.4% (Cost $939)				4,247
Total Investments 182.8% (Cost $544,708)			$	549,187
Written Options (i) (1.1%) (Premiums $991)				(3,296	)
Other Assets and Liabilities (Net) (81.7%)				(245,423	)
Net Assets (d) 100.0%			$	300,468

Notes to Schedule of Investments (amounts in thousands*, except number of contracts):

* A zero balance may reflect actual amounts rounding to less than one thousand.

(a) Coupon represents a weighted average rate.

(b) Principal amount of security is adjusted for inflation.

(c) Securities with an aggregate market value of $248 have been pledged as collateral for swap and swaption contracts on December 31, 2007.

(d) As of December 31, 2007, portfolio securities with an aggregate value of $1,566 and derivative instruments with an aggregate depreciation of ($82) were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(e) The average amount of borrowings outstanding during the period ended December 31, 2007 was $206,409 at a weighted average interest rate of 5.010%. On December 31, 2007, securities valued at $129,783 were pledged as collateral for reverse repurchase agreements.

(f) Securities with an aggregate market value of $19,709 and cash of $1,945 have been segregated with the custodian to cover margin requirements for the following open futures contracts on December 31, 2007:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Eurodollar December Futures	Long	12/2008	302	$	1,039
90-Day Eurodollar June Futures	Long	06/2008	870		2,245
90-Day Eurodollar June Futures	Long	06/2009	1		3
90-Day Eurodollar March Futures	Long	03/2009	58		159
90-Day Eurodollar September Futures	Long	09/2008	340		1,131
E-mini S&P 500 Index March Futures	Long	03/2008	514		(395	)
S&P 500 Index March Futures	Long	03/2008	712		(1,180	)
U.S. Treasury 2-Year Note March Futures	Short	03/2008	66		(55	)
U.S. Treasury 5-Year Note March Futures	Short	03/2008	104		(48	)
U.S. Treasury 10-Year Note March Futures	Long	03/2008	26		18
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2008	41		125
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2008	150		112
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2009	23		68
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2008	74		59
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2009	65		193
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2008	31		72
				$	3,546

(g) Swap agreements outstanding on December 31, 2007:

Credit Default Swaps on Securities

Counterparty	Reference Entity	Sell Protection(1)	Receive Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Barclays Bank PLC	General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.620	%	03/20/2011	$	700	$	1
Barclays Bank PLC	General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.640	%	12/20/2012		700		1
Barclays Bank PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.370	%	03/20/2009		3,600		(21	)
Barclays Bank PLC	Multiple Reference Entities of Gazprom	Sell	1.600	%	12/20/2012		1,200		(4	)
Credit Suisse USA, Inc.	Panama Government International Bond 8.875% due 09/30/2027	Sell	0.300	%	02/20/2009		4,000		(5	)
Deutsche Bank AG	Reynolds American, Inc. 7.625% due 06/01/2016	Sell	0.300	%	06/20/2008		2,000		2
Goldman Sachs & Co.	Anadarko Petroleum Corp. 6.125% due 03/15/2012	Sell	0.150	%	03/20/2008		300		0
HSBC Bank USA	Multiple Reference Entities of Gazprom	Sell	1.250	%	12/20/2008		800		0
HSBC Bank USA	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.240	%	02/20/2008		3,600		2
JPMorgan Chase & Co.	General Motors Corp. 7.125% due 07/15/2013	Sell	4.550	%	12/20/2012		200		(17	)
JPMorgan Chase & Co.	GMAC LLC 6.875% due 08/28/2012	Sell	4.850	%	09/20/2012		500		(34	)
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.120	%	11/20/2011		2,700		31
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.980	%	03/20/2016		1,500		80
Lehman Brothers, Inc.	GMAC LLC 6.875% due 08/28/2012	Sell	1.680	%	09/20/2008		1,500		(63	)
Lehman Brothers, Inc.	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.400	%	12/20/2008		300		(1	)
Lehman Brothers, Inc.	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.310	%	03/20/2009		400		(1	)
Morgan Stanley	Peru Government International Bond 8.750% due 11/21/2033	Sell	0.310	%	03/20/2009		1,900		(3	)
Morgan Stanley	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.245	%	06/20/2008		100		0
Morgan Stanley	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.610	%	02/20/2009		2,400		(9	)
Royal Bank of Scotland Group PLC	Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	0.300	%	09/20/2008		200		(2	)
								$	(43	)

Credit Default Swaps on Credit Indices

Counterparty	Reference Entity	Sell Protection(1)	Receive Fixed Rate		Expiration Date	Notional Amount		Unrealized (Depreciation)
Citibank N.A.	Dow Jones CDX N.A. HY8 Index	Sell	0.401	%	06/20/2012	$	1,000	$	(17	)
Citibank N.A.	Dow Jones CDX N.A. HY8 Index	Sell	2.144	%	06/20/2012		500		(6	)
Merrill Lynch & Co., Inc.	Dow Jones CDX N.A. HY8 Index	Sell	1.833	%	06/20/2012		1,000		(25	)
Morgan Stanley	Dow Jones CDX N.A. HY8 Index	Sell	2.080	%	06/20/2012		1,000		(15	)
								$	(63	)

⁽¹⁾ If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will pay to the buyer of the protection an amount up to the notional value of the swap and in certain instances, take delivery of the security.

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate	Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Deutsche Bank AG	6-Month Australian Bank Bill	Pay	7.000%	03/20/2013	AUD	1,400	$	(36	)
Deutsche Bank AG	6-Month Australian Bank Bill	Receive	6.500%	03/20/2018		1,900		25
UBS Warburg LLC	3-Month Australian Bank Bill	Pay	7.000%	09/15/2009		13,900		(76	)
Barclays Bank PLC	BRL-CDI-Compounded	Pay	11.360%	01/04/2010	BRL	1,700		(14	)
Goldman Sachs & Co.	BRL-CDI-Compounded	Pay	11.465%	01/04/2010		400		(3	)
Merrill Lynch & Co., Inc.	BRL-CDI-Compounded	Pay	11.430%	01/04/2010		1,100		(9	)
Merrill Lynch & Co., Inc.	BRL-CDI-Compounded	Pay	12.948%	01/04/2010		700		4
Merrill Lynch & Co., Inc.	BRL-CDI-Compounded	Pay	11.980%	01/02/2012		2,000		(24	)
Morgan Stanley	BRL-CDI-Compounded	Pay	12.780%	01/04/2010		1,700		7
UBS Warburg LLC	BRL-CDI-Compounded	Pay	10.575%	01/02/2012		2,900		(43	)
Barclays Bank PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.960%	04/05/2012	EUR	100		(2	)
BNP Paribas Bank	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.090%	10/15/2010		1,100		7
Deutsche Bank AG	6-Month EUR-LIBOR	Pay	5.000%	12/19/2009		2,500		13
Goldman Sachs & Co.	6-Month EUR-LIBOR	Pay	4.000%	03/20/2009		1,100		(6	)
Goldman Sachs & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.960%	03/30/2012		300		(6	)
JPMorgan Chase & Co.	6-Month EUR-LIBOR	Pay	4.500%	03/19/2010		1,400		0
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.948%	03/15/2012		500		(10	)
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.958%	04/10/2012		900		(19	)
Morgan Stanley	6-Month EUR-LIBOR	Pay	4.500%	03/19/2010		700		0
Royal Bank of Scotland Group PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.955%	03/28/2012		300		(6	)
Royal Bank of Scotland Group PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.950%	03/30/2012		400		(7	)
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	6.000%	12/20/2008	GBP	2,900		12
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	6.000%	03/20/2009		1,500		11
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	5.000%	06/15/2009		1,700		30
Barclays Bank PLC	6-Month GBP-LIBOR	Receive	4.000%	12/15/2036		200		17
Credit Suisse USA, Inc.	6-Month GBP-LIBOR	Pay	5.000%	06/15/2009		300		0
Deutsche Bank AG	6-Month GBP-LIBOR	Pay	6.000%	12/20/2008		1,700		7
Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	5.000%	06/15/2009		3,400		0
Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	6.000%	06/19/2009		7,400		160
Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	6.000%	12/19/2009		800		30
Goldman Sachs & Co.	6-Month GBP-LIBOR	Receive	5.500%	12/15/2036		500		(55	)
Goldman Sachs & Co.	6-Month GBP-LIBOR	Receive	5.000%	12/19/2037		100		(15	)
HSBC Bank USA	6-Month GBP-LIBOR	Receive	4.000%	12/15/2036		600		36
Lehman Brothers, Inc.	6-Month GBP-LIBOR	Pay	4.500%	09/20/2009		5,900		(199	)
Merrill Lynch & Co., Inc.	6-Month GBP-LIBOR	Receive	4.000%	12/15/2035		200		15
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Pay	6.000%	03/20/2009		1,400		9
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Pay	6.000%	06/19/2009		2,100		44
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Receive	4.000%	12/15/2036		1,200		87
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Receive	5.500%	12/15/2036		100		(12	)
Barclays Bank PLC	6-Month JPY-LIBOR	Pay	2.000%	12/19/2017	JPY	40,000		8
Deutsche Bank AG	6-Month JPY-LIBOR	Pay	2.000%	12/19/2017		90,000		19
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.170%	11/04/2016	MXN	1,200		(3	)
Goldman Sachs & Co.	28-Day Mexico Interbank TIIE Banxico	Pay	7.780%	04/03/2012		4,700		(9	)
Bank of America	3-Month USD-LIBOR	Pay	4.000%	06/18/2010		13,900		50
Bank of America	3-Month USD-LIBOR	Pay	4.000%	06/18/2013		3,000		36
Bank of America	3-Month USD-LIBOR	Receive	5.000%	06/18/2038		2,200		(40	)
Barclays Bank PLC	3-Month USD-LIBOR	Pay	4.000%	06/18/2010		5,500		22
Citibank N.A.	3-Month USD-LIBOR	Pay	4.000%	06/18/2013		2,000		25
Citibank N.A.	3-Month USD-LIBOR	Receive	5.000%	06/18/2038		600		(18	)
Merrill Lynch & Co., Inc.	3-Month USD-LIBOR	Pay	4.000%	06/18/2010		4,100		20
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.000%	06/18/2010		6,700		30
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.000%	06/18/2013		2,000		25
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000%	06/18/2038		1,300		(36	)
							$	101

(h) Purchased options outstanding on December 31, 2007:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Cost		Value
Call - CBOT U.S. Treasury 10-Year Note March Futures	$	136.000	02/22/2008	170	$	3	$	3
Put - CME S&P 500 Index March Futures		700.000	03/20/2008	686		20		0
					$	23	$	3

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Cost		Value
Call - OTC 2-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Pay	4.750	%	09/26/2008	$	24,500	$	118	$	508
Call - OTC 1-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Pay	4.750	%	02/01/2008		9,000		26		69
Call - OTC 2-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Pay	5.200	%	02/02/2009		12,000		90		312
Call - OTC 2-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	4.750	%	03/31/2008		9,200		51		186
Call - OTC 2-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	4.750	%	09/26/2008		35,200		125		731
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	02/01/2008		22,900		113		536
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	03/31/2008		27,300		160		552
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	09/26/2008		7,500		29		156
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	12/15/2008		9,000		32		179
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	12/15/2008		42,800		154		1,014
									$	898	$	4,243

Options on Securities

Description	Strike Price		Expiration Date	Notional Amount		Cost		Value
Call - OTC Freddie Mac 6.000% due 01/01/2038	$	104.625	01/07/2008	$	12,600	$	1	$	0
Put - OTC Fannie Mae 5.500% due 02/01/2038		88.500	02/05/2008		68,500		8		0
Put - OTC Fannie Mae 6.000% due 03/01/2038		91.750	03/05/2008		51,000		6		1
Put - OTC Freddie Mac 5.500% due 03/01/2038		88.813	03/05/2008		7,500		1		0
Put - OTC Treasury Inflation Protected Securities 0.875% due 04/15/2010		94.000	03/05/2008		6,000		2		0
						$	18	$	1

(i) Written options outstanding on December 31, 2007:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Value
Call - CBOT U.S. Treasury 5-Year Note March Futures	$	111.000	02/22/2008	21	$	13	$	15
Call - CBOT U.S. Treasury 10-Year Note March Futures		111.000	02/22/2008	10		4		28
Call - CBOT U.S. Treasury 10-Year Note March Futures		112.000	02/22/2008	10		7		21
Call - CBOT U.S. Treasury 10-Year Note March Futures		113.000	02/22/2008	10		8		16
Call - CBOT U.S. Treasury 10-Year Note March Futures		114.000	02/22/2008	40		33		45
Put - CBOT U.S. Treasury 5-Year Note March Futures		109.000	02/22/2008	21		15		9
Put - CBOT U.S. Treasury 10-Year Note March Futures		108.000	02/22/2008	10		4		1
Put - CBOT U.S. Treasury 10-Year Note March Futures		110.000	02/22/2008	40		22		10
					$	106	$	145

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Value
Call - OTC 5-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Receive	4.950	%	09/26/2008	$	10,500	$	117	$	383
Call - OTC 5-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Receive	4.900	%	02/01/2008		2,000		25		66
Call - OTC 5-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Receive	5.450	%	02/02/2009		5,000		86		254
Call - OTC 5-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	4.900	%	03/31/2008		4,000		49		138
Call - OTC 5-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	4.950	%	09/26/2008		15,300		127		558
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.100	%	02/01/2008		10,000		120		417
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.900	%	03/31/2008		6,700		89		232
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.950	%	03/31/2008		5,000		62		183
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.950	%	09/26/2008		3,500		32		127
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	12/15/2008		3,000		31		118
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.200	%	12/15/2008		14,300		147		675
									$	885	$	3,151

(j) Short sales outstanding on December 31, 2007:

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Value(2)
Fannie Mae	6.500	%	01/01/2038	$	3,700	$	3,803	$	3,803
Freddie Mac	6.000	%	01/01/2038		12,600		12,791		12,787
U.S. Treasury Bonds	3.125	%	11/30/2009		2,100		2,098		2,118
U.S. Treasury Notes	4.500	%	05/15/2017		7,400		7,543		7,726
						$	26,235	$	26,434

⁽²⁾ Market value includes $69 of interest payable on short sales.

(k) Foreign currency contracts outstanding on December 31, 2007:

Type	Currency	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	AED	248	05/2008	$	0	$	0		$	0
Buy	AUD	1,487	01/2008		5		0			5
Sell		266	01/2008		1		0			1
Buy	BRL	10,473	03/2008		920		0			920
Buy		14,552	07/2008		693		0			693
Buy	CLP	64,260	03/2008		7		0			7
Buy	CNY	1,888	01/2008		3		0			3
Sell		1,888	01/2008		0		(5	)		(5	)
Sell	EUR	2,271	01/2008		5		0			5
Sell	GBP	2,580	01/2008		59		(1	)		58
Buy	IDR	2,469,600	05/2008		0		(20	)		(20	)
Buy	INR	30,404	05/2008		46		0			46
Buy		13,851	08/2008		0		(2	)		(2	)
Buy	JPY	27,705	02/2008		0		(1	)		(1	)
Buy	KRW	705,323	01/2008		0		(16	)		(16	)
Buy		368,752	05/2008		1		(2	)		(1	)
Buy		500,512	08/2008		0		(3	)		(3	)
Buy	KWD	19	05/2008		0		0			0
Buy	MXN	19,004	03/2008		16		(1	)		15
Sell		5,590	03/2008		0		(4	)		(4	)
Buy		6,276	07/2008		8		0			8
Buy	MYR	3,221	05/2008		17		0			17
Buy	NZD	200	01/2008		4		0			4
Buy		200	02/2008		0		(1	)		(1	)
Buy	PHP	37,343	05/2008		86		0			86
Buy	PLN	886	03/2008		35		0			35
Sell		886	03/2008		0		(4	)		(4	)
Buy		3,945	07/2008		155		0			155
Sell		3,945	07/2008		0		(17	)		(17	)
Buy	RUB	47,512	01/2008		86		0			86
Sell		47,512	01/2008		1		0			1
Buy		31,764	07/2008		29		0			29
Sell		3,660	07/2008		0		(1	)		(1	)
Buy		20,383	11/2008		1		0			1
Buy	SAR	254	05/2008		0		0			0
Sell	SEK	534	01/2008		1		0			1
Buy		534	03/2008		0		(1	)		(1	)
Buy	SGD	731	02/2008		15		0			15
Buy		3,729	05/2008		113		0			113
Buy	ZAR	379	07/2008		0		(2	)		(2	)
				$	2,307	$	(81	)	$	2,226

See accompanying notes

Schedule of Investments

StocksPLUS^® TR Short Strategy Fund

December 31, 2007 (Unaudited)

	Principal Amount (000s)		Value (000s)
CORPORATE BONDS & NOTES 34.7%
Banking & Finance 26.4%
American Express Centurion Bank
5.056% due 04/17/2009	$	1,200	$	1,197
American General Finance Corp.
6.900% due 12/15/2017		400		401
American Honda Finance Corp.
5.206% due 03/09/2009		500		500
American International Group, Inc.
5.850% due 01/16/2018		400		403
ANZ National International Ltd.
4.938% due 08/07/2009		1,100		1,097
Bank of America Corp.
6.000% due 09/01/2017		300		307
Bank of Scotland PLC
5.254% due 07/17/2009		600		599
Barclays Bank PLC
6.050% due 12/04/2017		200		202
Bear Stearns Cos., Inc.
4.920% due 03/30/2009		400		390
5.072% due 08/21/2009		200		193
5.161% due 04/29/2008		900		891
BNP Paribas
5.186% due 06/29/2049		200		182
C10 Capital SPV Ltd.
6.722% due 12/31/2049		200		185
Calabash Re II Ltd.
13.391% due 01/08/2010		400		413
14.591% due 01/08/2010		400		428
CIT Group Holdings, Inc.
5.134% due 01/30/2009		1,100		1,034
CIT Group, Inc.
5.091% due 12/19/2008		100		94
5.225% due 05/23/2008		100		99
Citigroup Capital XXI
8.300% due 12/21/2057		4,000		4,189
Citigroup Funding, Inc.
4.858% due 06/26/2009		200		197
4.896% due 04/23/2009		100		99
5.136% due 12/08/2008		100		99
Citigroup Global Markets Holdings, Inc.
5.191% due 03/07/2008		25		25
Citigroup, Inc.
4.872% due 12/28/2009		300		295
5.300% due 10/17/2012		200		203
5.500% due 08/27/2012		500		510
5.850% due 07/02/2013		200		206
6.000% due 08/15/2017		300		307
6.125% due 08/25/2036		100		95
Ford Motor Credit Co. LLC
6.625% due 06/16/2008		5,300		5,223
Foundation Re II Ltd.
11.655% due 11/26/2010		400		415
General Electric Capital Corp.
5.162% due 03/12/2010		100		100
5.250% due 01/20/2010		700		692
6.375% due 11/15/2067		100		103
Goldman Sachs Group, Inc.
4.880% due 03/30/2009		200		199
4.969% due 11/10/2008		300		299
4.974% due 12/22/2008		200		199
5.111% due 07/29/2008		400		400
5.481% due 07/23/2009		20		20
6.250% due 09/01/2017		600		625
6.750% due 10/01/2037		1,500		1,474
HSBC Bank USA N.A.
5.286% due 06/10/2009		300		299
HSBC Finance Corp.
5.121% due 09/15/2008		1,000		1,000
5.240% due 10/21/2009		200		199
HSBC Holdings PLC
6.500% due 05/02/2036		400		390
6.500% due 09/15/2037		100		97
International Lease Finance Corp.
5.250% due 05/24/2010		900		888
JPMorgan Chase & Co.
5.419% due 10/02/2009		500		497
6.000% due 01/15/2018		200		204
JPMorgan Chase Bank N.A.
6.000% due 10/01/2017		300		306
Lehman Brothers Holdings, Inc.
5.094% due 12/23/2010		200		187
5.129% due 11/10/2009		200		194
5.270% due 10/22/2008		500		496
5.320% due 04/03/2009		300		293
5.429% due 07/18/2011		300		285
MBNA Corp.
5.308% due 05/05/2008		1,100		1,102
MetLife, Inc.
6.400% due 12/15/2036		100		92
Morgan Stanley
5.006% due 02/09/2009		900		889
5.420% due 01/22/2009		100		99
Mystic Re Ltd.
11.381% due 12/05/2008		300		304
National Australia Bank Ltd.
5.181% due 09/11/2009		400		400
Pricoa Global Funding I
5.164% due 01/25/2008		600		600
Royal Bank of Scotland Group PLC
5.230% due 07/21/2008		300		300
6.990% due 10/29/2049		3,000		2,996
Santander Perpetual S.A. Unipersonal
6.671% due 10/29/2049		100		100
Santander U.S. Debt S.A. Unipersonal
4.970% due 09/19/2008		700		698
5.240% due 10/21/2008		600		598
SLM Corp.
5.294% due 07/25/2008		1,300		1,273
SMFG Preferred Capital USD 1 Ltd.
6.078% due 01/29/2049		200		185
Sumitomo Mitsui Banking Corp.
5.625% due 07/29/2049		100		94
TNK-BP Finance S.A.
6.125% due 03/20/2012		100		96
UBS AG
5.875% due 12/20/2017		200		202
Unicredit Luxembourg Finance S.A.
5.142% due 10/24/2008		200		200
Wachovia Bank N.A.
4.924% due 03/23/2009		800		798
Wachovia Corp.
5.034% due 10/28/2008		600		599
5.372% due 10/15/2011		200		196
Wells Fargo & Co.
4.944% due 03/23/2010		800		794
5.186% due 03/10/2008		800		801
				43,340
Industrials 6.2%
Anadarko Petroleum Corp.
5.391% due 09/15/2009		500		492
AstraZeneca PLC
5.900% due 09/15/2017		100		105
6.450% due 09/15/2037		100		110
Citigroup Global Markets Deutschland AG for OAO Gazprom
10.500% due 10/21/2009		300		325
Comcast Corp.
5.542% due 07/14/2009		400		399
CSC Holdings, Inc.
7.250% due 07/15/2008		1,000		1,004
Daimler Finance North America LLC
5.328% due 08/03/2009		300		298
5.461% due 03/13/2009		200		199
5.541% due 03/13/2009		300		298
Diageo Capital PLC
4.987% due 11/10/2008		600		599
Gaz Capital for Gazprom
6.212% due 11/22/2016		100		96
General Electric Co.
5.186% due 12/09/2008		400		401
International Business Machines Corp.
5.700% due 09/14/2017		2,000		2,071
Kraft Foods, Inc.
6.125% due 02/01/2018		200		202
Rohm & Haas Co.
6.000% due 09/15/2017		100		102
Safeway, Inc.
5.208% due 03/27/2009		1,300		1,298
Siemens Financieringsmaatschappij NV
4.920% due 08/14/2009		500		500
5.500% due 02/16/2012		700		721
Transocean, Inc.
5.341% due 09/05/2008		300		299
Wal-Mart Stores, Inc.
4.891% due 06/16/2008		600		600
Williams Cos., Inc.
6.375% due 10/01/2010		100		102
				10,221
Utilities 2.1%
AT&T, Inc.
4.959% due 05/15/2008		200		200
BellSouth Corp.
4.969% due 08/15/2008		400		399
Enel Finance International S.A.
6.800% due 09/15/2037		700		706
Florida Power Corp.
5.279% due 11/14/2008		700		699
MidAmerican Energy Holdings Co.
6.125% due 04/01/2036		100		100
NGPL Pipe Co. LLC
6.514% due 12/15/2012		200		203
Southern California Edison Co.
4.994% due 02/02/2009		200		200
Telefonica Emisones SAU
5.226% due 06/19/2009		1,000		993
				3,500
Total Corporate Bonds & Notes (Cost $56,994)				57,061
MUNICIPAL BONDS & NOTES 0.3%
Iowa State Tobacco Settlement Authority Revenue Bonds, Series 2005
6.500% due 06/01/2023		95		91
Louisiana State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2001
5.875% due 05/15/2039		25		24
San Diego, California Tobacco Settlement Revenue Funding Corporations Revenue Bonds, Series 2006
7.125% due 06/01/2032		100		94
West Virginia State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2007
7.467% due 06/01/2047		300		288
Total Municipal Bonds & Notes (Cost $501)				497
U.S. GOVERNMENT AGENCIES 64.0%
Fannie Mae
4.138% due 06/01/2034		553		562
4.382% due 03/01/2035		44		45
4.459% due 09/01/2035		248		249
4.557% due 07/01/2035		196		196
4.640% due 09/01/2035		249		249
4.658% due 12/01/2033		102		104
4.711% due 12/01/2033		68		68
4.831% due 06/01/2035		292		291
4.989% due 06/01/2035		271		272
5.000% due 10/01/2035 - 01/01/2038		2,978		2,906
5.000% due 03/01/2036 (d)		8,077		7,887
5.215% due 09/25/2042		209		207
5.500% due 11/01/2021 - 02/01/2038		33,579		33,563
5.500% due 05/01/2037 (d)		4,826		4,822
6.000% due 10/01/2026 - 01/01/2038		24,964		25,368
6.000% due 01/01/2036 (d)		6,509		6,614
6.327% due 10/01/2034		24		24
6.500% due 11/01/2036 - 10/01/2037		3,414		3,510
6.817% due 11/01/2035		39		40
Freddie Mac
4.704% due 06/01/2035		464		466
4.903% due 11/01/2034		181		183
5.000% due 12/15/2020 - 01/15/2024		161		161
5.178% due 07/15/2019 - 10/15/2020		4,991		4,972
5.258% due 02/15/2019		1,675		1,666
5.428% due 06/15/2018		28		29
5.500% due 08/15/2030 - 02/01/2038		5,186		5,173
6.000% due 08/01/2027 - 09/01/2037		3,663		3,720
Ginnie Mae
6.000% due 02/15/2036 - 09/15/2037		1,955		2,002
Small Business Administration
5.520% due 06/01/2024		19		19
Total U.S. Government Agencies (Cost $104,404)				105,368
U.S. TREASURY OBLIGATIONS 4.5%
Treasury Inflation Protected Securities (b)
2.000% due 01/15/2014		226		233
2.000% due 01/15/2016		525		539
2.000% due 01/15/2026		420		419
2.375% due 04/15/2011		210		219
2.375% due 01/15/2027		3,335		3,527
2.625% due 07/15/2017		100		108
3.000% due 07/15/2012		2,220		2,405
Total U.S. Treasury Obligations (Cost $7,366)				7,450
MORTGAGE-BACKED SECURITIES 6.1%
American Home Mortgage Investment Trust
4.390% due 02/25/2045		42		40
Banc of America Funding Corp.
4.111% due 05/25/2035		71		70
Banc of America Mortgage Securities, Inc.
4.341% due 05/25/2033		411		410
Bear Stearns Adjustable Rate Mortgage Trust
4.750% due 10/25/2035		174		173
4.780% due 11/25/2034		148		147
5.073% due 11/25/2034		466		466
Bear Stearns Alt-A Trust
5.368% due 05/25/2035		12		12
5.527% due 09/25/2035		57		56
Citigroup Mortgage Loan Trust, Inc.
4.700% due 12/25/2035		80		78
4.900% due 12/25/2035		133		132
Countrywide Alternative Loan Trust
4.500% due 06/25/2035		389		384
5.145% due 02/25/2037		733		693
Countrywide Home Loan Mortgage Pass-Through Trust
4.726% due 02/20/2035		529		527
4.801% due 11/25/2034		283		281
5.105% due 04/25/2035		22		22
5.250% due 02/20/2036		74		74
CS First Boston Mortgage Securities Corp.
4.938% due 12/15/2040		68		68
GSR Mortgage Loan Trust
4.539% due 09/25/2035		217		215
5.251% due 11/25/2035		348		337
Harborview Mortgage Loan Trust
5.055% due 01/19/2038		1,065		1,053
5.185% due 05/19/2035		60		57
JPMorgan Mortgage Trust
5.023% due 02/25/2035		137		134
LB-UBS Commercial Mortgage Trust
4.990% due 11/15/2030		132		132
Lehman Brothers Floating Rate Commercial Mortgage Trust
5.108% due 09/15/2021		67		67
Mellon Residential Funding Corp.
5.468% due 12/15/2030		531		521
5.508% due 06/15/2030		7		7
Merrill Lynch Mortgage Investors, Inc.
3.880% due 05/25/2033		367		364
5.075% due 02/25/2036		70		67
MLCC Mortgage Investors, Inc.
5.115% due 11/25/2035		182		176
Structured Adjustable Rate Mortgage Loan Trust
4.580% due 02/25/2034		183		182
5.305% due 08/25/2034		254		253
6.188% due 01/25/2035		127		124
Structured Asset Mortgage Investments, Inc.
5.145% due 02/25/2036		70		66
Thornburg Mortgage Securities Trust
4.975% due 11/25/2046		235		229
Wachovia Bank Commercial Mortgage Trust
5.118% due 09/15/2021		909		895
Washington Mutual, Inc.
5.055% due 04/25/2045		1		1
5.883% due 10/25/2046		728		712
5.988% due 11/25/2042		38		37
Wells Fargo Mortgage-Backed Securities Trust
4.949% due 01/25/2035		396		392
4.950% due 03/25/2036		325		321
Total Mortgage-Backed Securities (Cost $10,042)				9,975
ASSET-BACKED SECURITIES 3.4%
ACE Securities Corp.
4.925% due 10/25/2036		324		313
American Express Credit Account Master Trust
5.528% due 02/15/2012		311		311
Argent Securities, Inc.
4.915% due 09/25/2036		89		88
Asset-Backed Securities Corp. Home Equity
5.025% due 05/25/2035		6		6
5.140% due 09/25/2034		71		70
Citigroup Mortgage Loan Trust, Inc.
4.925% due 05/25/2037		711		678
Countrywide Asset-Backed Certificates
4.915% due 03/25/2047		225		222
4.935% due 06/25/2037		216		211
5.345% due 12/25/2031		1		1
GSR Mortgage Loan Trust
4.965% due 11/25/2030		14		14
HSI Asset Securitization Corp. Trust
4.915% due 12/25/2036		146		141
JPMorgan Mortgage Acquisition Corp.
4.915% due 08/25/2036		99		97
Long Beach Mortgage Loan Trust
4.925% due 10/25/2036		969		946
4.955% due 01/25/2046		23		23
5.145% due 10/25/2034		9		9
Newcastle Mortgage Securities Trust
4.935% due 03/25/2036		110		109
Park Place Securities, Inc.
5.177% due 10/25/2034		325		282
Residential Asset Mortgage Products, Inc.
4.945% due 10/25/2036		296		288
Residential Asset Securities Corp.
4.935% due 11/25/2036		224		219
SLM Student Loan Trust
5.074% due 10/27/2014		932		930
5.084% due 01/25/2016		99		99
5.084% due 01/25/2018		77		77
Soundview Home Equity Loan Trust
4.925% due 06/25/2036		78		77
Structured Asset Securities Corp.
4.915% due 10/25/2036		303		298
4.995% due 12/25/2035		20		20
Total Asset-Backed Securities (Cost $5,680)				5,529
SOVEREIGN ISSUES 0.0%
Russia Government International Bond
8.250% due 03/31/2010		11		12
Total Sovereign Issues (Cost $12)				12
FOREIGN CURRENCY-DENOMINATED ISSUES 1.9%
Ford Motor Credit Co. LLC
6.750% due 01/14/2008	EUR	300		438
General Electric Capital Corp.
5.500% due 09/15/2067		1,900		2,697
Total Foreign Currency-Denominated Issues (Cost $2,947)				3,135
	Shares
PREFERRED STOCKS 0.6%
DG Funding Trust
6.979% due 12/31/2049		85		899
Total Preferred Stocks (Cost $904)				899
	Principal Amount (000s)
SHORT-TERM INSTRUMENTS 8.3%
Commercial Paper 3.7%
Rabobank Financial Co.
3.980% due 01/02/2008	$	1,600		1,600
UBS Finance Delaware LLC
4.000% due 01/02/2008		4,400		4,400
				6,000
Repurchase Agreements 4.2%
State Street Bank and Trust Co.
3.900% due 01/02/2008		6,983		6,983
(Dated 12/31/2007. Collateralized by Federal Home Loan Bank 3.625% due 01/15/2008 valued at $7,125. Repurchase proceeds are $6,985.)
U.S. Treasury Bills 0.4%
2.833% due 02/28/2008 - 03/13/2008 (a)(e)		710		704
Total Short-Term Instruments (Cost $13,689)				13,687
Purchased Options (g) 1.0% (Cost $392)				1,717
Total Investments 124.8% (Cost $202,931)			$	205,330
Written Options (h) 0.8% (Premiums $418)				(1,342	)
Other Assets and Liabilities (Net) (24.0%)				(39,445	)
Net Assets (d) 100.0%			$	164,543

Notes to Schedule of Investments (amounts in thousands*, except number of contracts):

* A zero balance may reflect actual amounts rounding to less than one thousand.

(a) Coupon represents a weighted average rate.

(b) Principal amount of security is adjusted for inflation.

(c) As of December 31, 2007, derivative instruments with an aggregate depreciation of ($33) were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(d) The average amount of borrowings outstanding during the period ended December 31, 2007 was $35,437 at a weighted average interest rate of 5.050%. On December 31, 2007, securities valued at $17,281 were pledged as collateral for reverse repurchase agreements.

(e) Securities with an aggregate market value of $704 and cash of $8,975 have been segregated with the custodian to cover margin requirements for the following open futures contracts on December 31, 2007:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Eurodollar December Futures	Long	12/2008	364	$	1,395
90-Day Eurodollar June Futures	Long	06/2008	266		689
90-Day Eurodollar June Futures	Long	06/2009	9		24
90-Day Eurodollar March Futures	Long	03/2009	133		363
90-Day Eurodollar September Futures	Long	09/2008	48		157
E-mini S&P 500 Index March Futures	Short	03/2008	142		11
S&P 500 Index March Futures	Short	03/2008	410		2,371
U.S. Treasury 2-Year Note March Futures	Short	03/2008	30		(25	)
U.S. Treasury 5-Year Note March Futures	Short	03/2008	43		(26	)
U.S. Treasury 10-Year Note March Futures	Long	03/2008	122		(15	)
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2008	21		67
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2008	93		84
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2009	12		37
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2008	43		33
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2009	30		92
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2008	33		84
				$	5,341

(f) Swap agreements outstanding on December 31, 2007:

Credit Default Swaps on Securities

Counterparty	Reference Entity	Sell Protection(1)	Receive Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Bank of America	GMAC LLC 6.875% due 08/28/2012	Sell	1.000	%	09/20/2008	$	1,000	$	(47	)
Barclays Bank PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.370	%	03/20/2009		1,300		(6	)
Barclays Bank PLC	Petroleos Mexicanos 9.500% due 09/15/2027	Sell	0.620	%	08/20/2011		500		0
Barclays Bank PLC	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.495	%	08/20/2011		500		(4	)
Barclays Bank PLC	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.630	%	03/20/2009		300		(2	)
Credit Suisse USA, Inc.	Panama Government International Bond 8.875% due 09/30/2027	Sell	0.300	%	02/20/2009		1,400		(2	)
Credit Suisse USA, Inc.	Panama Government International Bond 8.875% due 09/30/2027	Sell	0.270	%	03/20/2009		200		0
Deutsche Bank AG	Reynolds American, Inc. 7.625% due 06/01/2016	Sell	0.300	%	06/20/2008		800		1
HSBC Bank USA	Multiple Reference Entities of Gazprom	Sell	0.970	%	11/20/2008		100		0
HSBC Bank USA	Multiple Reference Entities of Gazprom	Sell	1.250	%	12/20/2008		300		0
HSBC Bank USA	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.240	%	02/20/2008		900		0
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.120	%	11/20/2011		1,200		14
Lehman Brothers, Inc.	GMAC LLC 6.875% due 08/28/2012	Sell	1.680	%	09/20/2008		700		(29	)
Lehman Brothers, Inc.	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.400	%	12/20/2008		100		0
Lehman Brothers, Inc.	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.310	%	03/20/2009		200		(1	)
Morgan Stanley	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.950	%	08/20/2016		500		27
Morgan Stanley	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.450	%	03/20/2009		200		(1	)
Morgan Stanley	Peru Government International Bond 8.750% due 11/21/2033	Sell	0.310	%	03/20/2009		800		(1	)
Morgan Stanley	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.610	%	02/20/2009		700		(3	)
Royal Bank of Scotland Group PLC	Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	0.300	%	09/20/2008		100		(1	)
								$	(55	)
Credit Default Swaps on Credit Indices
Counterparty	Reference Entity	Sell Protection(1)	Receive Fixed Rate		Expiration Date	Notional Amount		Unrealized (Depreciation)
Citibank N.A.	Dow Jones CDX N.A. HY8 Index	Sell	2.144	%	06/20/2012	$	500	$	(6	)

⁽¹⁾ If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will pay to the buyer of the protection an amount up to the notional value of the swap and in certain instances, take delivery of the security.

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
UBS Warburg LLC	3-Month Australian Bank Bill	Pay	7.000	%	09/15/2009	AUD	4,200	$	(23	)
Barclays Bank PLC	BRL-CDI-Compounded	Pay	11.360	%	01/04/2010	BRL	700		(6	)
Goldman Sachs & Co.	BRL-CDI-Compounded	Pay	11.465	%	01/04/2010		200		(1	)
Merrill Lynch & Co., Inc.	BRL-CDI-Compounded	Pay	11.430	%	01/04/2010		500		(4	)
Merrill Lynch & Co., Inc.	BRL-CDI-Compounded	Pay	12.948	%	01/04/2010		300		2
Merrill Lynch & Co., Inc.	BRL-CDI-Compounded	Pay	11.980	%	01/02/2012		800		(10	)
Morgan Stanley	BRL-CDI-Compounded	Pay	12.780	%	01/04/2010		600		2
UBS Warburg LLC	BRL-CDI-Compounded	Pay	10.575	%	01/02/2012		1,100		(16	)
Barclays Bank PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.960	%	04/05/2012	EUR	100		(2	)
BNP Paribas Bank	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.090	%	10/15/2010		200		1
Deutsche Bank AG	6-Month EUR-LIBOR	Pay	5.000	%	12/19/2009		1,300		7
Goldman Sachs & Co.	6-Month EUR-LIBOR	Pay	4.000	%	03/20/2009		400		(2	)
Goldman Sachs & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.960	%	03/30/2012		100		(2	)
JPMorgan Chase & Co.	6-Month EUR-LIBOR	Pay	4.500	%	03/19/2010		600		0
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.948	%	03/15/2012		200		(4	)
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.958	%	04/10/2012		700		(15	)
Morgan Stanley	6-Month EUR-LIBOR	Pay	4.500	%	03/19/2010		300		0
Royal Bank of Scotland Group PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.955	%	03/28/2012		200		(4	)
Royal Bank of Scotland Group PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.950	%	03/30/2012		200		(4	)
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	6.000	%	12/20/2008	GBP	1,000		4
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	6.000	%	03/20/2009		600		4
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	5.000	%	06/15/2009		600		10
Barclays Bank PLC	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2036		100		9
Credit Suisse USA, Inc.	6-Month GBP-LIBOR	Pay	5.000	%	06/15/2009		100		1
Deutsche Bank AG	6-Month GBP-LIBOR	Pay	6.000	%	12/20/2008		600		2
Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	5.000	%	06/15/2009		1,200		12
Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	6.000	%	06/19/2009		3,000		65
Goldman Sachs & Co.	6-Month GBP-LIBOR	Receive	5.500	%	12/15/2036		200		(23	)
HSBC Bank USA	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2036		300		19
Merrill Lynch & Co., Inc.	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035		200		14
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Pay	6.000	%	03/20/2009		600		4
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Pay	6.000	%	06/19/2009		900		19
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2036		600		48
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Receive	5.500	%	12/15/2036		100		(12	)
Barclays Bank PLC	6-Month JPY-LIBOR	Pay	2.000	%	12/19/2017	JPY	20,000		4
Deutsche Bank AG	6-Month JPY-LIBOR	Pay	2.000	%	12/19/2017		30,000		6
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.170	%	11/04/2016	MXN	500		(1	)
Goldman Sachs & Co.	28-Day Mexico Interbank TIIE Banxico	Pay	7.780	%	04/03/2012		2,000		(3	)
Bank of America	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010	$	6,000		22
Bank of America	3-Month USD-LIBOR	Pay	5.000	%	06/18/2010		400		3
Bank of America	3-Month USD-LIBOR	Pay	4.000	%	06/18/2013		300		4
Bank of America	3-Month USD-LIBOR	Receive	5.000	%	06/18/2038		1,000		(18	)
Barclays Bank PLC	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010		2,500		10
Citibank N.A.	3-Month USD-LIBOR	Receive	5.000	%	06/18/2038		300		(9	)
Deutsche Bank AG	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010		6,300		11
Goldman Sachs & Co.	3-Month USD-LIBOR	Receive	5.000	%	06/20/2017		700		(37	)
Merrill Lynch & Co., Inc.	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010		1,900		9
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010		4,400		13
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	06/18/2038		600		(17	)
								$	92

(g) Purchased options outstanding on December 31, 2007:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Cost		Value
Call - CBOT U.S. Treasury 2-Year Note March Futures	$	114.000	02/22/2008	26	$	1	$	0
Call - CBOT U.S. Treasury 5-Year Note March Futures		124.000	02/22/2008	53		1		1
Call - CME S&P 500 Index March Futures		1,950.000	03/20/2008	448		7		0
Put - CBOT U.S. Treasury 10-Year Note March Futures		103.000	02/22/2008	121		2		2
					$	11	$	3

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Cost		Value
Call - OTC 2-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Pay	4.750	%	09/26/2008	$	13,000	$	63	$	270
Call - OTC 1-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Pay	4.750	%	02/01/2008		5,000		14		38
Call - OTC 2-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Pay	5.200	%	02/02/2009		5,000		38		130
Call - OTC 2-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	4.750	%	03/31/2008		2,300		13		47
Call - OTC 2-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	4.750	%	09/26/2008		11,000		39		228
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	02/01/2008		11,900		59		279
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	03/31/2008		18,100		105		366
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	09/26/2008		4,000		14		83
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	12/15/2008		3,000		10		60
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	12/15/2008		9,000		26		213
									$	381	$	1,714

(h) Written options outstanding on December 31, 2007:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Value
Call - CBOT U.S. Treasury 5-Year Note March Futures	$	111.000	02/22/2008	10	$	6		7
Call - CBOT U.S. Treasury 10-Year Note March Futures		111.000	02/22/2008	4		2		11
Call - CBOT U.S. Treasury 10-Year Note March Futures		112.000	02/22/2008	4		3		9
Call - CBOT U.S. Treasury 10-Year Note March Futures		113.000	02/22/2008	4		3		6
Call - CBOT U.S. Treasury 10-Year Note March Futures		114.000	02/22/2008	17		14		19
Put - CBOT U.S. Treasury 5-Year Note March Futures		109.000	02/22/2008	10		7		5
Put - CBOT U.S. Treasury 10-Year Note March Futures		108.000	02/22/2008	4		2		0
Put - CBOT U.S. Treasury 10-Year Note March Futures		110.000	02/22/2008	17		9		4
					$	46	$	61

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Value
Call - OTC 5-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Receive	4.950	%	09/26/2008	$	5,500	$	62	$	201
Call - OTC 5-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Receive	4.900	%	02/01/2008		1,000		13		33
Call - OTC 5-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Receive	5.450	%	02/02/2009		2,000		35		102
Call - OTC 5-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	4.900	%	03/31/2008		1,000		12		34
Call - OTC 5-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	4.950	%	09/26/2008		5,000		41		182
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.100	%	02/01/2008		5,000		60		209
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.900	%	03/31/2008		4,000		53		138
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.950	%	03/31/2008		4,000		49		146
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.950	%	09/26/2008		1,500		12		55
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	12/15/2008		1,000		10		39
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.200	%	12/15/2008		3,000		25		142
									$	372	$	1,281

(i) Short sales outstanding on December 31, 2007:

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Value(2)
Fannie Mae	6.500	%	01/01/2038	$	1,400	$	1,439	$	1,439
Treasury Inflation Protected Securities	3.625	%	04/15/2028		130		161		164
U.S. Treasury Bonds	3.125	%	11/30/2009		1,000		999		1,002
U.S. Treasury Notes	4.500	%	05/15/2017		1,900		1,933		1,970
						$	4,532	$	4,575

⁽²⁾ Market value includes $23 of interest payable on short sales.

(j) Foreign currency contracts outstanding on December 31, 2007:

Type	Currency	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	AED	114	05/2008	$	0	$	0		$	0
Buy	AUD	464	01/2008		2		0			2
Sell		83	01/2008		1		0			1
Buy	BRL	2,461	03/2008		197		(1	)		196
Buy		8,332	07/2008		411		0			411
Buy	CNY	1,014	01/2008		2		0			2
Sell		1,014	01/2008		0		(3	)		(3	)
Sell	EUR	2,266	01/2008		5		0			5
Sell	GBP	1,394	01/2008		32		0			32
Buy	IDR	970,200	05/2008		0		(8	)		(8	)
Buy	INR	12,168	05/2008		18		0			18
Buy		3,171	08/2008		0		0			0
Buy	JPY	15,384	02/2008		0		0			0
Buy	KRW	306,654	01/2008		0		(9	)		(9	)
Buy		150,529	05/2008		0		(1	)		(1	)
Buy		313,301	08/2008		0		(2	)		(2	)
Buy	KWD	9	05/2008		0		0			0
Buy	MXN	8,526	03/2008		5		(1	)		4
Sell		2,507	03/2008		0		(2	)		(2	)
Buy		2,662	07/2008		3		0			3
Buy	MYR	1,061	05/2008		5		0			5
Buy	NZD	72	01/2008		1		0			1
Buy		72	02/2008		0		0			0
Buy	PHP	2,396	05/2008		6		0			6
Buy	PLN	423	03/2008		14		0			14
Sell		423	03/2008		0		(2	)		(2	)
Buy		1,624	07/2008		65		0			65
Sell		1,624	07/2008		0		(7	)		(7	)
Buy	RUB	19,941	01/2008		35		0			35
Sell		19,941	01/2008		0		0			0
Buy		20,009	07/2008		18		0			18
Sell		2,306	07/2008		0		0			0
Buy		8,555	11/2008		0		0			0
Buy	SAR	116	05/2008		0		0			0
Buy	SEK	987	03/2008		0		(2	)		(2	)
Buy	SGD	676	02/2008		15		0			15
Buy		611	05/2008		19		0			19
Buy	ZAR	150	07/2008		0		(1	)		(1	)
				$	854	$	(39	)	$	815

See accompanying notes

Schedule of Investments

Total Return Fund

December 31, 2007 (Unaudited)

	Principal Amount (000s)		Value (000s)
BANK LOAN OBLIGATIONS 1.2%
Allied Waste North America, Inc.
4.600% due 03/28/2014	$	3,629	$	3,480
6.360% due 03/28/2014		236		226
6.420% due 03/28/2014		196		188
6.480% due 03/28/2014		1,554		1,491
6.500% due 03/28/2014		3,381		3,242
6.880% due 03/28/2014		1,565		1,501
Cablevision Systems Corp.
6.415% due 02/24/2013		95		90
Community Health Corp.
7.331% due 07/25/2014		19,651		18,944
Community Health Systems, Inc.
4.000% due 07/02/2014		1,299		1,253
7.072% due 07/02/2014		49		47
CSC Holdings, Inc.
6.595% due 02/24/2013		37,497		35,502
Daimler Finance North America LLC
9.000% due 08/03/2012		515,000		496,507
DaVita, Inc.
6.230% due 10/05/2012		7,344		7,095
6.350% due 10/05/2012		7,666		7,406
6.490% due 10/05/2012		629		608
6.520% due 10/05/2012		1,075		1,039
6.730% due 10/05/2012		3,521		3,402
6.750% due 10/05/2012		1,218		1,177
Dex Media West LLC
6.330% due 09/09/2010		706		691
6.520% due 09/09/2010		1,439		1,407
6.640% due 09/09/2010		704		688
6.650% due 09/09/2010		1,056		1,032
Ford Motor Co.
8.000% due 12/15/2013		21,780		20,208
Freescale Semiconductor, Inc.
6.381% due 12/01/2013		2,985		2,773
Fresenius Medical Care Capital Trust
6.205% due 03/22/2013		394		380
6.316% due 03/22/2013		182		176
6.437% due 03/22/2013		104		101
6.624% due 03/22/2013		26		25
General Motors Corp.
7.056% due 11/29/2013		34,728		32,528
Georgia-Pacific Corp.
6.580% due 12/20/2012		2,951		2,817
6.831% due 12/20/2012		3,903		3,725
6.896% due 12/20/2012		33,413		31,892
HCA, Inc.
6.330% due 11/16/2012		17,690		16,819
7.080% due 11/16/2013		5,000		4,825
Health Management Associates, Inc.
6.580% due 02/28/2014		4,910		4,594
6.595% due 02/28/2014		65		61
Idearc, Inc.
6.330% due 11/17/2013		15,000		14,141
Kinder Morgan, Inc.
6.225% due 11/24/2013		30,636		30,471
6.350% due 05/24/2014		21,278		21,179
Las Vegas Sands Corp.
3.000% due 05/15/2014		9,900		9,310
6.580% due 05/23/2014		39,521		37,165
Metro-Goldwyn-Mayer, Inc.
8.080% due 04/08/2012		29,477		27,387
8.108% due 04/08/2012		1,960		1,821
NRG Energy, Inc.
6.580% due 02/01/2013		13,711		13,106
6.848% due 02/01/2013		5,709		5,457
RH Donnelley Corp.
6.330% due 03/09/2010		159		155
RH Donnelley, Inc.
6.380% due 03/09/2010		1,652		1,615
6.460% due 06/30/2011		1,025		995
6.500% due 06/30/2011		895		868
6.520% due 06/30/2011		716		695
6.590% due 06/30/2011		401		390
6.630% due 09/09/2010		57		56
6.660% due 06/30/2011		716		695
6.700% due 09/09/2010		704		689
6.710% due 06/30/2011		537		521
6.860% due 06/30/2011		537		521
Sensata Technologies, Inc.
6.637% due 04/27/2013		13		12
6.761% due 04/27/2013		4,962		4,728
SLM Corp.
0.000% due 02/16/2008		471,800		470,103
Tell Group PLC
6.345% due 04/27/2011		28		26
Yell Group PLC
6.845% due 02/10/2013		33,000		31,716
Total Bank Loan Obligations (Cost $1,395,943)				1,381,762
CORPORATE BONDS & NOTES 27.0%
Banking & Finance 21.4%
ABX Financing Co.
5.750% due 10/15/2016		10,000		9,963
ACE INA Holdings, Inc.
5.700% due 02/15/2017		50		50
AIG-Fp Matched Funding Corp.
4.991% due 06/16/2008		100,000		100,003
AIG SunAmerica Global Financing X
6.900% due 03/15/2032		10,000		11,024
Allstate Corp.
6.125% due 12/15/2032		150		146
Allstate Life Global Funding Trusts
4.924% due 03/23/2009		50,000		49,952
American Express Bank FSB
4.875% due 09/26/2008		27,800		27,759
6.000% due 09/13/2017		308,600		310,885
American Express Centurion Bank
5.056% due 04/17/2009		89,100		88,839
5.188% due 12/17/2009		5,000		4,953
6.000% due 09/13/2017		308,600		310,885
American Express Co.
5.250% due 09/12/2011		600		605
5.500% due 09/12/2016		150		149
6.150% due 08/28/2017		53,500		55,005
American Express Credit Corp.
3.000% due 05/16/2008		150		149
5.015% due 12/19/2008		10,000		9,978
5.285% due 03/02/2009		2,480		2,474
5.312% due 04/06/2009		20,300		20,093
American General Corp.
7.500% due 08/11/2010		250		268
American General Finance Corp.
2.750% due 06/15/2008		500		494
4.988% due 06/27/2008		49,940		49,950
5.329% due 01/18/2008		23,150		23,154
5.375% due 10/01/2012		200		198
5.400% due 12/01/2015		100		92
6.900% due 12/15/2017		200,400		200,958
American Honda Finance Corp.
4.939% due 05/12/2009		94,600		94,554
5.206% due 03/09/2009		61,080		61,115
American International Group, Inc.
4.884% due 06/23/2008		70,600		70,645
5.050% due 10/01/2015		41,300		39,947
5.051% due 01/29/2010		200,500		201,150
5.078% due 06/16/2009		15,000		14,999
5.375% due 10/18/2011		1,000		1,017
5.850% due 01/16/2018		165,420		166,817
6.250% due 05/01/2036		100,000		100,853
Ameriprise Financial, Inc.
5.350% due 11/15/2010		145		147
Anadarko Finance Co.
6.750% due 05/01/2011		10,000		10,581
ANZ National International Ltd.
4.938% due 08/07/2009		45,000		44,886
Asian Development Bank
5.820% due 06/16/2028		1,100		1,209
ASIF Global Financing XXI
5.408% due 03/14/2008		35,000		35,030
Associates Corp. of North America
8.550% due 07/15/2009		250		262
Australia & New Zealand Banking Group Ltd.
4.965% due 02/18/2008		50,000		49,990
AXA Financial, Inc.
7.750% due 08/01/2010		100		107
Bank of America Corp.
3.375% due 02/17/2009		150		148
4.750% due 08/15/2013		500		493
4.852% due 09/25/2009		102,700		102,496
4.875% due 11/06/2009		123,300		122,923
5.004% due 03/24/2009		47,300		47,274
5.055% due 02/17/2009		11,000		11,016
5.056% due 09/18/2009		100		100
5.125% due 11/15/2014		125		123
5.129% due 02/11/2009		20,000		20,048
5.200% due 03/15/2018		100		94
5.502% due 10/14/2016		40,000		38,739
5.750% due 12/01/2017		39,270		39,434
6.000% due 09/01/2017		198,720		203,397
7.250% due 10/15/2025		200		217
7.800% due 02/15/2010		500		530
Bank of America N.A.
4.966% due 12/18/2008		1,200		1,199
5.040% due 02/27/2009		229,600		229,223
5.132% due 06/12/2009		165,460		165,142
5.271% due 06/15/2016		100,760		98,519
6.000% due 10/15/2036		70,100		67,269
Bank of Ireland
4.951% due 12/19/2008		50,100		50,081
Bank of New York Corp.
6.375% due 04/01/2012		200		210
Bank of Scotland PLC
5.028% due 07/17/2008		25,100		25,093
5.098% due 09/14/2009		100		100
5.254% due 07/17/2009		102,500		102,397
Bank One Corp.
2.625% due 06/30/2008		500		494
7.750% due 07/15/2025		200		225
Banque Paribas
6.875% due 03/01/2009		100		102
Barclays Bank PLC
5.450% due 09/12/2012		168,600		172,990
6.050% due 12/04/2017		174,980		176,639
7.434% due 09/29/2049		50,100		52,153
BB&T Corp.
4.750% due 10/01/2012		145		142
BBVA U.S. Senior S.A. Unipersonal
5.284% due 04/17/2009		200,000		199,723
Bear Stearns Cos., Inc.
2.875% due 07/02/2008		500		492
4.500% due 10/28/2010		215		206
4.920% due 03/30/2009		241,450		235,397
5.028% due 02/08/2008		27,350		27,337
5.072% due 08/21/2009		10,000		9,633
5.105% due 02/23/2010		200,300		188,239
5.161% due 04/29/2008		152,605		151,085
5.190% due 01/31/2011		50,000		45,174
5.284% due 01/30/2009		201,500		199,436
5.416% due 09/09/2009		19,980		19,206
5.420% due 01/07/2009		10,000		9,920
5.599% due 07/19/2010		5,700		5,361
6.950% due 08/10/2012		317,800		327,081
7.625% due 12/07/2009		80		82
Berkshire Hathaway Finance Corp.
3.375% due 10/15/2008		100		99
BFC Finance Corp.
7.375% due 12/01/2017		1,000		1,154
BHP Billiton Finance Ltd.
5.125% due 03/29/2012		10,000		10,092
BNP Paribas
5.186% due 06/29/2049		600		547
Boeing Capital Corp. Ltd.
4.750% due 09/15/2008		70		70
6.100% due 03/01/2011		300		315
7.375% due 09/27/2010		135		145
C5 Capital SPV Ltd.
6.196% due 12/31/2049		15,000		14,850
C10 Capital SPV Ltd.
6.722% due 12/31/2049		39,500		36,474
Calabash Re II Ltd.
15.891% due 01/08/2010		2,650		2,778
Capital One Financial Corp.
5.700% due 09/15/2011		10,000		9,669
6.750% due 09/15/2017		260,000		249,806
Caterpillar Financial Services Corp.
4.965% due 05/18/2009		101,000		100,753
5.216% due 03/10/2009		28,560		28,513
Charter One Bank N.A.
5.115% due 04/24/2009		100,000		99,620
CIT Group Holdings, Inc.
5.134% due 01/30/2009		230,175		216,292
CIT Group, Inc.
5.000% due 02/01/2015		150		131
5.019% due 08/15/2008		8,400		8,335
5.025% due 08/17/2009		12,100		11,237
5.052% due 02/21/2008		25,000		24,780
5.091% due 12/19/2008		20,000		18,883
5.225% due 05/23/2008		159,355		157,147
5.256% due 06/08/2009		62,375		58,381
6.000% due 02/15/2013		500		480
CitiFinancial, Inc.
6.625% due 06/01/2015		10,000		10,516
Citigroup Capital XXI
8.300% due 12/21/2057		259,830		272,082
Citigroup Funding, Inc.
5.136% due 12/08/2008		173,000		171,611
Citigroup Global Markets Holdings, Inc.
5.031% due 08/03/2009		39,980		39,956
5.091% due 03/17/2009		400		397
Citigroup, Inc.
4.250% due 07/29/2009		300		298
4.872% due 12/28/2009		143,330		140,786
4.898% due 12/26/2008		40,980		40,817
4.944% due 05/02/2008		157,585		157,547
4.995% due 05/18/2011		100,000		97,762
5.000% due 09/15/2014		250		239
5.024% due 01/30/2009		134,700		133,627
5.055% due 05/18/2010		182,550		180,904
5.100% due 09/29/2011		3,000		3,019
5.286% due 06/09/2009		102,559		101,806
5.300% due 10/17/2012		37,800		38,332
5.500% due 08/27/2012		93,000		94,942
5.850% due 07/02/2013		24,300		25,046
5.875% due 02/22/2033		75		69
6.000% due 08/15/2017		64,500		65,925
6.125% due 11/21/2017		100,000		102,909
6.125% due 08/25/2036		10,000		9,496
CNA Financial Corp.
5.850% due 12/15/2014		20,500		20,563
6.000% due 08/15/2011		25,000		25,640
6.600% due 12/15/2008		200		202
Commonwealth Bank of Australia
5.282% due 06/08/2009		96,300		96,287
Countrywide Financial Corp.
6.250% due 05/15/2016		25,000		14,409
Countrywide Home Loans, Inc.
4.125% due 09/15/2009		235		172
Credit Suisse USA, Inc.
5.276% due 12/09/2008		26,380		26,382
5.375% due 03/02/2016		250		250
5.500% due 08/16/2011		400		411
5.500% due 08/15/2013		100		102
7.125% due 07/15/2032		40		45
DBS Bank Ltd.
5.000% due 11/15/2019		8,000		7,535
5.098% due 05/16/2017		22,000		20,938
Den Norske Bank ASA
5.246% due 03/10/2008		20,000		20,012
Deutsche Bank AG
6.000% due 09/01/2017		361,100		375,136
DnB NORBank ASA
5.312% due 10/13/2009		100		100
East Lane Re Ltd.
10.911% due 05/06/2011		33,600		34,369
Eksportfinans A/S
4.750% due 12/15/2008		150		151
El Paso Performance-Linked Trust
7.750% due 07/15/2011		7,250		7,476
Enron Credit Linked Notes Trust
8.000% due 08/15/2005 (a)		3,200		2,608
Export-Import Bank of China
4.875% due 07/21/2015		28,200		27,652
Export-Import Bank of Korea
5.460% due 10/04/2011		88,600		88,729
FNBC 1993-A Pass-Through Trust
8.080% due 01/05/2018		221		263
Ford Credit de Mexico S.A. de C.V.
6.626% due 03/20/2009		187,000		179,689
Ford Motor Credit Co. LLC
4.950% due 01/15/2008		3,300		3,298
5.625% due 10/01/2008		28,966		28,128
5.800% due 01/12/2009		134,099		127,316
6.625% due 06/16/2008		83,430		82,223
6.750% due 08/15/2008		11,475		11,311
6.812% due 01/15/2010		20,300		18,496
7.875% due 06/15/2010		62,528		57,723
Foundation Re II Ltd.
11.655% due 11/26/2010		40,850		42,349
GATX Financial Corp.
6.273% due 06/15/2011		10,355		10,426
General Electric Capital Corp.
3.250% due 06/15/2009		10,000		9,851
4.000% due 05/15/2010		100		98
4.125% due 09/01/2009		140		140
4.250% due 06/15/2012		1,596		1,575
4.939% due 05/10/2010		129,900		128,556
4.955% due 05/19/2008		176,796		176,804
4.966% due 08/22/2008		37,500		37,493
5.024% due 06/22/2009		29,760		29,785
5.025% due 05/19/2008		6,000		6,000
5.031% due 03/16/2009		124,100		124,086
5.044% due 02/02/2009		102,768		102,757
5.065% due 10/24/2008		100		100
5.084% due 04/30/2009		10,479		10,482
5.091% due 06/15/2009		145,265		145,182
5.095% due 10/26/2009		400		399
5.101% due 04/28/2011		49,970		49,456
5.111% due 07/28/2008		4,005		4,007
5.111% due 12/15/2009		267,290		266,422
5.162% due 03/12/2010		8,500		8,454
5.171% due 03/04/2008		32,965		32,986
5.172% due 12/12/2008		44,000		43,990
5.250% due 01/20/2010		197,600		195,366
5.258% due 05/05/2026		29,950		28,726
5.280% due 10/21/2010		150,450		150,483
5.284% due 01/05/2009		197,550		197,370
5.303% due 10/06/2010		30,100		29,862
5.443% due 01/08/2016		82,800		81,472
5.500% due 04/28/2011		6,000		6,177
6.000% due 06/15/2012		675		708
6.125% due 02/22/2011		1,100		1,151
6.375% due 11/15/2067		230,200		238,112
6.750% due 03/15/2032		250		285
8.125% due 05/15/2012		250		284
8.310% due 04/13/2009		41,300		43,296
General Motors Acceptance Corp.
7.430% due 12/01/2021		632		641
Genworth Financial, Inc.
6.500% due 06/15/2034		160		156
Genworth Global Funding Trusts
5.051% due 02/10/2009		50,000		49,517
Glitnir Banki HF
5.440% due 04/20/2010		50,000		48,960
5.620% due 01/21/2011		10,000		9,719
5.679% due 01/18/2012		20,000		19,366
GMAC LLC
5.625% due 05/15/2009		32,709		30,870
6.000% due 04/01/2011		15,000		12,780
6.000% due 12/15/2011		100		84
6.034% due 09/23/2008		42,000		40,582
6.119% due 05/15/2009		123,000		114,605
6.500% due 12/15/2018		200		134
6.700% due 06/15/2018		100		69
6.850% due 04/15/2016		200		145
7.000% due 02/15/2018		100		72
7.200% due 10/15/2017		125		90
7.250% due 09/15/2017		200		146
7.375% due 04/15/2018		100		74
Golden West Financial Corp.
4.750% due 10/01/2012		100		99
Goldman Sachs Group, Inc.
3.875% due 01/15/2009		770		762
4.750% due 07/15/2013		500		490
4.880% due 03/30/2009		4,700		4,682
4.924% due 12/23/2008		103,000		102,724
4.958% due 11/16/2009		32,480		31,897
4.964% due 12/23/2009		50,000		49,223
4.969% due 11/10/2008		41,000		40,916
4.974% due 12/22/2008		209,375		208,834
4.974% due 06/23/2009		100,400		98,822
4.986% due 06/23/2009		36,000		35,847
5.000% due 01/15/2011		10,000		10,086
5.111% due 07/29/2008		244,670		244,380
5.142% due 06/28/2010		26,520		26,105
5.250% due 10/15/2013		665		666
5.324% due 03/02/2010		68,584		67,768
5.334% due 03/22/2016		10,000		9,504
5.481% due 07/23/2009		15,570		15,561
5.625% due 01/15/2017		150		147
5.700% due 09/01/2012		2,325		2,394
6.125% due 02/15/2033		20,000		19,718
6.250% due 09/01/2017		416,600		434,174
6.750% due 10/01/2037		248,300		244,048
6.875% due 01/15/2011		100		106
7.350% due 10/01/2009		150		157
Goldman Sachs Group LP
5.596% due 02/09/2009		10,000		10,045
Hartford Financial Services Group, Inc.
5.950% due 10/15/2036		175		166
HBOS Capital Funding LP
6.071% due 06/29/2049		10,000		9,369
HBOS PLC
5.140% due 02/06/2014		100		99
5.920% due 09/29/2049		37,900		33,107
6.657% due 05/29/2049		200		166
HCP, Inc.
5.950% due 09/15/2011		12,350		12,387
6.300% due 09/15/2016		13,000		12,707
Heller Financial, Inc.
7.375% due 11/01/2009		300		317
HSBC Bank USA N.A.
5.188% due 12/14/2009		9,700		9,648
HSBC Capital Funding LP
4.610% due 12/29/2049		400		369
9.547% due 12/29/2049		43,400		47,462
10.176% due 12/29/2049		66,160		83,587
HSBC Finance Capital Trust IX
5.911% due 11/30/2035		2,300		2,131
HSBC Finance Corp.
4.250% due 06/15/2008		250		249
4.982% due 05/21/2008		96,900		96,898
5.031% due 06/19/2009		158,250		155,935
5.036% due 05/09/2008		9,350		9,346
5.121% due 09/15/2008		175,250		175,197
5.137% due 05/10/2010		11,305		11,024
5.158% due 11/16/2009		60,479		59,573
5.240% due 10/21/2009		72,100		71,790
5.281% due 12/05/2008		73,500		73,342
5.492% due 01/15/2014		15,000		14,242
5.554% due 06/01/2016		10,000		9,220
7.000% due 05/15/2012		315		330
HSBC Holdings PLC
6.500% due 05/02/2036		191,500		186,763
6.500% due 09/15/2037		79,000		76,816
7.500% due 07/15/2009		33,000		34,262
Infrastructure Finance Corp. Ltd. AID Bonds
5.378% due 03/26/2009		2,000		2,049
Inter-American Development Bank
7.375% due 01/15/2010		350		376
International Lease Finance Corp.
4.875% due 09/01/2010		160		160
5.250% due 05/24/2010		43,180		42,615
5.250% due 01/10/2013		15,000		14,797
5.300% due 04/15/2008		200		200
5.350% due 03/01/2012		20,000		20,032
5.400% due 02/15/2012		20,000		20,184
5.520% due 04/20/2009		6,500		6,494
5.561% due 07/11/2011		50,000		48,467
5.642% due 01/15/2010		34,630		34,630
Intesa Bank Overseas Ltd.
6.079% due 01/02/2008		2,800		2,800
iStar Financial, Inc.
5.150% due 03/01/2012		10,000		8,650
5.950% due 10/15/2013		10,000		8,724
Jenkins-Empire Associates
6.840% due 08/01/2008		311		311
John Deere Capital Corp.
4.500% due 08/25/2008		5,100		5,086
5.164% due 09/01/2009		25,000		25,059
5.292% due 04/15/2008		114,360		114,424
5.292% due 07/15/2008		1,000		1,000
5.650% due 07/25/2011		9,000		9,304
7.000% due 03/15/2012		175		191
JPMorgan & Co., Inc. CPI Linked Bond
10.481% due 02/15/2012		600		619
JPMorgan Chase & Co.
4.500% due 01/15/2012		1,000		985
4.875% due 03/15/2014		645		630
4.934% due 12/22/2008		15,200		15,169
4.938% due 06/25/2010		1,300		1,284
5.154% due 01/25/2008		20,248		20,250
5.250% due 05/01/2015		700		684
5.326% due 03/09/2009		10,000		9,993
5.419% due 10/02/2009		52,700		52,418
5.750% due 01/02/2013		45		46
6.000% due 01/15/2018		147,320		150,162
JPMorgan Chase Bank N.A.
6.000% due 10/01/2017		317,300		323,293
JPMorgan Chase Capital
6.550% due 09/29/2036		37,600		34,029
JPMorgan Chase Capital XV
5.875% due 03/15/2035		75		64
Kaupthing Bank HF
5.750% due 10/04/2011		30,000		28,238
Kreditanstalt fuer Wiederaufbau
3.250% due 03/30/2009		250		248
4.875% due 01/17/2017		50		52
Landsbanki Islands HF
5.730% due 08/25/2009		18,000		17,977
6.100% due 08/25/2011		10,000		9,864
Landwirtschaftliche Rentenbank
4.875% due 11/16/2015		175		181
Lehman Brothers Holdings, Inc.
3.950% due 11/10/2009		100		98
4.000% due 04/16/2019		90		88
4.905% due 11/24/2008		8,000		7,878
4.934% due 12/23/2008		478,200		470,163
4.978% due 11/16/2009		25,870		25,213
5.082% due 08/21/2009		101,000		98,185
5.092% due 05/29/2008		59,600		59,336
5.094% due 12/23/2010		100		93
5.170% due 05/25/2010		48,400		46,557
5.241% due 01/23/2009		108,600		106,510
5.270% due 10/22/2008		28,100		27,902
5.320% due 04/03/2009		166,080		162,471
5.750% due 01/03/2017		200		192
6.200% due 09/26/2014		49,670		50,656
7.875% due 11/01/2009		65		68
Longpoint Re Ltd.
10.241% due 05/08/2010		87,500		89,817
LVB Acquisition Merger Sub, Inc.
10.000% due 10/15/2017		4,500		4,612
10.375% due 10/15/2017 (d)		4,500		4,511
11.625% due 10/15/2017		6,000		5,940
M&I Marshall & Ilsley Bank
5.250% due 09/04/2012		125		124
MBNA Capital B
5.711% due 02/01/2027		7,000		6,174
MBNA Corp.
5.308% due 05/05/2008		10,000		10,019
6.125% due 03/01/2013		100		104
Mellon Bank N.A.
4.750% due 12/15/2014		50		48
Mellon Funding Corp.
5.000% due 12/01/2014		100		99
Merrill Lynch & Co., Inc.
4.250% due 02/08/2010		2,000		1,962
4.914% due 12/22/2008		99,900		98,589
4.955% due 06/26/2009		5,000		4,834
4.960% due 08/14/2009		16,750		16,398
5.000% due 01/15/2015		200		189
5.074% due 01/30/2009		50,000		49,673
5.091% due 06/16/2008		86,655		86,440
5.101% due 10/27/2008		82,000		81,725
5.105% due 08/22/2008		102,575		102,018
5.115% due 02/06/2009		78,400		78,031
5.138% due 06/16/2008		75,000		74,792
5.300% due 06/30/2008		6,300		6,250
6.050% due 08/15/2012		448,500		457,566
6.220% due 09/15/2026		115		106
6.400% due 08/28/2017		168,400		171,393
6.750% due 06/01/2028		115		111
MetLife, Inc.
5.375% due 12/15/2012		200		202
6.400% due 12/15/2036		69,800		64,171
Metropolitan Life Global Funding I
5.125% due 11/09/2011		4,325		4,443
Mizuho Financial Group Cayman Ltd.
8.375% due 01/29/2049		200		202
Morgan Stanley
3.625% due 04/01/2008		500		498
4.250% due 05/15/2010		2,500		2,462
4.750% due 04/01/2014		460		432
5.006% due 02/09/2009		119,785		118,335
5.114% due 04/25/2008		49,970		49,901
5.270% due 05/14/2008		85,800		85,540
5.332% due 01/15/2010		49,700		49,168
5.334% due 01/18/2008		308,747		308,686
5.375% due 10/15/2015		500		487
5.420% due 01/22/2009		302,300		299,058
5.459% due 01/18/2011		600		581
5.625% due 01/09/2012		1,000		1,018
5.659% due 10/18/2016		60,000		56,077
5.722% due 10/15/2015		10,000		9,387
5.750% due 08/31/2012		370,000		378,065
6.250% due 08/09/2026		225		220
6.750% due 04/15/2011		200		210
MUFG Capital Finance 1 Ltd.
6.346% due 07/29/2049		32,800		31,116
Mystic Re Ltd.
11.381% due 12/05/2008		4,250		4,302
14.081% due 12/05/2008		32,100		32,689
15.081% due 06/07/2011		16,000		16,858
Natexis AMBS Co. LLC
8.440% due 12/29/2049		14,000		14,287
National Australia Bank Ltd.
5.060% due 06/29/2016		10,000		9,835
5.131% due 06/19/2017		16,000		15,380
5.181% due 09/11/2009		300		300
National Rural Utilities Cooperative Finance Corp.
7.250% due 03/01/2012		140		152
Nationwide Health Properties, Inc.
6.500% due 07/15/2011		13,000		13,587
Nordea Bank Sweden AB
8.950% due 11/29/2049		28,000		30,155
ORIX Corp.
5.480% due 11/22/2011		20,000		20,017
Osiris Capital PLC
8.092% due 01/15/2010		12,600		12,624
Petroleum Export Ltd.
5.265% due 06/15/2011		25,061		24,900
Phoenix Quake Ltd.
7.680% due 07/03/2008		36,600		36,682
Phoenix Quake Wind I Ltd.
7.680% due 07/03/2008		36,600		36,635
Phoenix Quake Wind II Ltd.
8.730% due 07/03/2008		13,700		13,372
PMI Group, Inc.
6.000% due 09/15/2016		24,200		21,715
PNC Funding Corp.
5.125% due 12/14/2010		150		151
Popular North America, Inc.
5.643% due 04/06/2009		25,000		25,091
Pricoa Global Funding I
5.212% due 09/12/2008		30,000		30,002
Principal Life Income Funding Trusts
5.100% due 04/15/2014		100		98
Progressive Corp.
6.700% due 06/15/2037		200		186
Prudential Financial, Inc.
3.750% due 05/01/2008		150		149
5.261% due 06/13/2008		11,030		11,040
6.000% due 12/01/2017		40,000		40,057
6.100% due 06/15/2017		100		101
6.625% due 12/01/2037		5,400		5,463
Rabobank Capital Funding II
5.260% due 12/29/2049		5,120		4,776
Rabobank Capital Funding Trust
5.254% due 12/29/2049		120		108
Rabobank Nederland
5.243% due 04/06/2009		7,650		7,639
5.262% due 01/15/2009		81,200		81,109
RBS Capital Trust I
4.709% due 12/29/2049		500		450
Redwood Capital IX Ltd.
11.493% due 01/09/2008		23,000		22,992
11.993% due 01/09/2008		21,000		20,974
12.993% due 01/09/2008		5,000		4,999
Regions Financial Corp.
6.375% due 05/15/2012		125		128
Residential Reinsurance 2007 Ltd.
11.124% due 06/07/2010		12,500		12,831
12.374% due 06/07/2010		12,500		12,905
12.874% due 06/07/2010		12,500		12,874
15.374% due 06/07/2010		2,100		2,189
Resona Bank Ltd.
5.850% due 09/29/2049		37,950		35,337
Rio Tinto Finance USA Ltd.
2.625% due 09/30/2008		150		147
Royal Bank of Canada
3.875% due 05/04/2009		50		50
5.650% due 07/20/2011		125		130
Royal Bank of Scotland Group PLC
5.000% due 10/01/2014		200		196
5.230% due 07/21/2008		38,000		37,993
5.259% due 04/11/2008		200,200		200,199
6.990% due 10/29/2049		91,500		91,384
7.640% due 03/31/2049		83,100		85,581
7.648% due 08/29/2049		10,195		10,548
9.118% due 03/31/2049		74,500		79,685
Santander Perpetual S.A. Unipersonal
6.671% due 10/29/2049		204,800		205,716
Santander U.S. Debt S.A. Unipersonal
4.925% due 02/06/2009		92,600		92,098
4.970% due 09/19/2008		107,680		107,329
5.151% due 11/20/2008		80,300		79,959
5.201% due 11/20/2009		160,000		158,103
5.240% due 10/21/2008		43,100		42,930
Simon Property Group LP
4.600% due 06/15/2010		8,000		7,957
5.100% due 06/15/2015		200		188
5.600% due 09/01/2011		5,000		5,020
SLM Corp.
4.000% due 01/15/2009		10,000		9,662
5.164% due 01/25/2008		70,798		70,709
5.191% due 03/15/2011		60,000		54,646
5.224% due 07/27/2009		173,690		163,446
5.284% due 01/26/2009		115,250		111,342
5.294% due 07/25/2008		130,665		127,998
SMFG Preferred Capital USD 1 Ltd.
6.078% due 01/29/2049		92,700		85,861
Spinnaker Capital Ltd.
16.491% due 06/15/2008		22,200		23,158
State Street Capital Trust IV
5.991% due 06/15/2037		30,700		23,906
State Street Corp.
7.650% due 06/15/2010		175		187
Suntrust Bank
6.375% due 04/01/2011		200		209
Svensk ExportKredit AB
4.875% due 09/29/2011		125		128
5.125% due 03/01/2017		75		77
Textron Financial Corp.
4.965% due 11/07/2008		16,500		16,485
TNK-BP Finance S.A.
6.125% due 03/20/2012		39,300		37,532
7.500% due 03/13/2013		50,000		50,125
Toll Brothers Finance Corp.
5.950% due 09/15/2013		10,000		9,244
Toyota Motor Credit Corp.
4.250% due 03/15/2010		500		497
5.500% due 12/15/2008		100		100
TransCapitalInvest Ltd. for OJSC AK Transneft
6.103% due 06/27/2012		25,000		25,173
Travelers Cos., Inc.
6.250% due 06/15/2037		125		121
Travelers Property Casualty Corp.
5.000% due 03/15/2013		70		70
6.375% due 03/15/2033		33		33
TXU Eastern Funding Co.
6.450% due 05/15/2005 (a)		15,270		993
U.S. Bancorp
4.885% due 04/28/2009		50,000		49,830
UBS AG
5.875% due 12/20/2017		143,300		144,580
UBS Paine Webber Group, Inc.
7.625% due 12/01/2009		100		108
UBS Preferred Funding Trust I
8.622% due 10/29/2049		58,900		63,508
UBS Preferred Funding Trust II
7.247% due 06/29/2049		8,000		8,405
UBS Preferred Funding Trust V
6.243% due 05/29/2049		20,000		19,288
UFJ Finance Aruba AEC
6.750% due 07/15/2013		4,700		5,112
Unicredit Luxembourg Finance S.A.
5.142% due 10/24/2008		98,900		98,724
Unilever Capital Corp.
7.125% due 11/01/2010		100		107
U.S. Bancorp
4.500% due 07/29/2010		150		151
USB Capital IX
6.189% due 04/15/2049		30,600		27,713
USB Realty Corp.
6.091% due 12/22/2049		38,000		33,792
Ventas Realty LP
8.750% due 05/01/2009		30,150		31,054
VTB Capital S.A.
5.494% due 08/01/2008		800		793
Wachovia Bank N.A.
4.848% due 06/27/2008		100,000		99,914
4.875% due 02/01/2015		300		286
4.924% due 03/23/2009		155,450		155,133
5.015% due 02/23/2009		90,900		90,702
5.090% due 05/25/2010		21,100		20,988
5.194% due 12/02/2010		125,000		124,113
Wachovia Corp.
5.034% due 10/28/2008		81,945		81,746
5.111% due 03/15/2011		36,600		35,950
5.174% due 12/01/2009		165,620		164,284
5.274% due 06/01/2010		17,600		17,466
5.625% due 10/15/2016		71,600		70,716
Washington Mutual, Inc.
4.375% due 01/15/2008		100		100
Wells Fargo & Co.
4.944% due 03/23/2010		100,150		99,428
5.000% due 11/15/2014		100		99
5.091% due 09/15/2009		92,130		91,529
5.125% due 09/01/2012		300		303
5.186% due 03/10/2008		37,646		37,671
5.292% due 03/10/2008		35,000		35,001
5.348% due 01/12/2011		10,000		9,869
Wells Fargo Bank N.A.
4.750% due 02/09/2015		30,000		28,696
Wells Fargo Capital X
5.950% due 12/15/2036		10,000		9,364
Westpac Banking Corp.
5.212% due 06/06/2008		123,900		123,848
Williams Cos., Inc. Credit Linked Certificate Trust
6.750% due 04/15/2009		4,000		4,065
Wilmington Trust Co.
10.500% due 07/01/2008 (p)		99		99
World Savings Bank FSB
4.125% due 12/15/2009		100		100
5.098% due 09/14/2009		45,985		46,061
XL Capital Europe PLC
6.500% due 01/15/2012		10,000		10,461
Xstrata Finance Canada Ltd.
5.500% due 11/16/2011		11,250		11,455
5.800% due 11/15/2016		100		98
				24,117,024
Industrials 4.1%
Albertson’s LLC
6.950% due 08/01/2009		7,000		7,123
America West Airlines, Inc.
6.870% due 01/02/2017		1,416		1,406
American Airlines, Inc.
6.978% due 10/01/2012		12,756		12,908
AmerisourceBergen Corp.
5.625% due 09/15/2012		10,000		10,191
Amgen, Inc.
5.133% due 11/28/2008		407,190		406,805
Anheuser-Busch Cos., Inc.
5.500% due 01/15/2018		9,100		9,308
Apache Corp.
7.950% due 04/15/2026		150		181
AstraZeneca PLC
5.900% due 09/15/2017		69,000		72,588
6.450% due 09/15/2037		73,800		81,141
Atlantic Richfield Co.
5.900% due 04/15/2009		100		102
AutoZone, Inc.
4.750% due 11/15/2010		200		198
5.500% due 11/15/2015		10,050		9,926
Avon Products, Inc.
5.125% due 01/15/2011		10,000		10,070
Baker Hughes, Inc.
6.875% due 01/15/2029		100		109
BHP Billiton Finance USA Ltd.
4.800% due 04/15/2013		145		141
Boeing Co.
8.750% due 08/15/2021		50		67
Boston Scientific Corp.
6.000% due 06/15/2011		10,000		9,700
BP Canada Finance Co.
3.625% due 01/15/2009		500		499
Caesars Entertainment, Inc.
7.500% due 09/01/2009		200		213
8.875% due 09/15/2008		35,719		37,115
Canadian National Railway Co.
6.250% due 08/01/2034		100		101
Canadian Natural Resources Ltd.
6.250% due 03/15/2038		20,000		19,607
6.500% due 02/15/2037		25,000		25,138
Cardinal Health, Inc.
6.300% due 10/15/2016		13,000		13,346
Caterpillar, Inc.
5.700% due 08/15/2016		100		102
6.050% due 08/15/2036		100		103
CBS Corp.
5.625% due 08/15/2012		15,000		14,969
Cisco Systems, Inc.
5.095% due 02/20/2009		73,800		73,737
5.250% due 02/22/2011		100		103
5.500% due 02/22/2016		100		102
Citic Resources Finance Ltd.
6.750% due 05/15/2014		14,000		13,160
Citigroup Global Markets Deutschland AG for OAO Gazprom
10.500% due 10/21/2009		157,170		170,396
CODELCO, Inc.
6.150% due 10/24/2036		23,100		22,891
Colgate-Palmolive Co.
5.980% due 04/25/2012		150		159
Comcast Cable Communications Holdings, Inc.
8.375% due 03/15/2013		300		337
Comcast Cable Communications LLC
7.125% due 06/15/2013		400		428
Comcast Corp.
5.300% due 01/15/2014		26,500		26,019
5.542% due 07/14/2009		7,800		7,774
5.850% due 01/15/2010		420		430
5.850% due 11/15/2015		325		328
5.900% due 03/15/2016		5,000		5,039
6.450% due 03/15/2037		22,000		22,474
7.050% due 03/15/2033		125		137
ConocoPhillips
5.900% due 10/15/2032		300		308
ConocoPhillips Australia Funding Co.
5.343% due 04/09/2009		164,996		164,792
Constellation Brands, Inc.
8.000% due 02/15/2008		9,199		9,234
Continental Airlines, Inc.
6.503% due 06/15/2011		9,220		9,299
6.820% due 05/01/2018		4,968		4,980
7.056% due 09/15/2009		40,459		40,965
7.487% due 10/02/2010		1,215		1,228
7.707% due 04/02/2021		2,836		2,964
Costco Wholesale Corp.
5.500% due 03/15/2017		100		101
Cox Communications, Inc.
6.450% due 12/01/2036		5,000		4,977
CSC Holdings, Inc.
7.250% due 07/15/2008		34,275		34,404
CSX Corp.
6.750% due 03/15/2011		10,000		10,501
CVS Caremark Corp.
5.441% due 06/01/2010		116,200		115,031
5.750% due 08/15/2011		16,000		16,403
Daimler Finance North America LLC
4.750% due 01/15/2008		9,720		9,718
4.875% due 06/15/2010		10,000		9,961
5.328% due 08/03/2009		10,000		9,936
5.441% due 10/31/2008		10,928		10,909
5.461% due 03/13/2009		300		298
5.541% due 03/13/2009		110,450		109,714
5.750% due 09/08/2011		25,000		25,392
5.875% due 03/15/2011		20,000		20,309
Dell, Inc.
6.550% due 04/15/2008		80		80
Dow Chemical Co.
5.970% due 01/15/2009		50		51
E.I. Du Pont De Nemours & Co.
4.125% due 04/30/2010		200		199
4.750% due 11/15/2012		175		174
5.250% due 12/15/2016		10,000		9,856
Eaton Vance Corp.
6.500% due 10/02/2017		21,100		22,177
EchoStar DBS Corp.
5.750% due 10/01/2008		185,684		185,916
El Paso Corp.
6.375% due 02/01/2009		30,230		30,531
6.500% due 06/01/2008		58,832		59,391
6.750% due 05/15/2009		34,820		35,329
7.000% due 05/15/2011		12,000		12,283
7.000% due 06/15/2017		10,000		10,060
7.625% due 09/01/2008		38,486		39,133
7.750% due 06/15/2010		16,500		17,309
7.750% due 01/15/2032		92,000		93,847
7.800% due 08/01/2031		11,300		11,524
7.875% due 06/15/2012		20,700		21,605
8.050% due 10/15/2030		9,000		9,417
9.625% due 05/15/2012		12,700		13,972
10.750% due 10/01/2010		24,700		27,584
El Paso Natural Gas Co.
8.375% due 06/15/2032		7,220		8,494
Emerson Electric Co.
4.500% due 05/01/2013		95		93
Enbridge, Inc.
4.900% due 03/01/2015		50		47
EnCana Corp.
6.300% due 11/01/2011		10,000		10,456
Enterprise Products Operating LP
4.950% due 06/01/2010		50		50
7.500% due 02/01/2011		10,000		10,633
Fresenius Medical Care Capital Trust
7.875% due 06/15/2011		5,000		5,200
Gannett Co., Inc.
5.750% due 06/01/2011		10,000		10,317
Gaz Capital for Gazprom
6.212% due 11/22/2016		37,600		36,167
7.288% due 08/16/2037		43,000		43,615
Genentech, Inc.
4.750% due 07/15/2015		100		99
General Dynamics Corp.
4.500% due 08/15/2010		100		101
General Electric Co.
5.186% due 12/09/2008		117,775		117,988
5.250% due 12/06/2017		28,700		28,694
General Mills, Inc.
6.000% due 02/15/2012		10,000		10,264
General Motors Corp.
6.375% due 05/01/2008		5,675		5,647
GlaxoSmithKline Capital, Inc.
4.375% due 04/15/2014		100		97
Harrah’s Operating Co., Inc.
5.498% due 02/08/2008		1,400		1,401
Hess Corp.
6.650% due 08/15/2011		200		211
Hewlett-Packard Co.
6.500% due 07/01/2012		175		189
HJ Heinz Co.
6.428% due 12/01/2008		39,600		40,324
HJ Heinz Finance Co.
6.000% due 03/15/2012		23,000		23,618
Home Depot, Inc.
4.625% due 08/15/2010		215		214
Honeywell International, Inc.
5.171% due 03/13/2009		48,600		48,494
6.125% due 11/01/2011		75		79
International Business Machines Corp.
5.375% due 02/01/2009		350		355
International Paper Co.
4.000% due 04/01/2010		10,000		9,907
JC Penney Corp., Inc.
8.000% due 03/01/2010		16,100		16,771
John Hancock Financial Services, Inc.
5.625% due 12/01/2008		300		303
Johnson & Johnson
6.950% due 09/01/2029		100		120
Johnson Controls, Inc.
5.500% due 01/15/2016		20,000		19,738
Kellogg Co.
6.600% due 04/01/2011		10,000		10,604
Kerr-McGee Corp.
6.875% due 09/15/2011		10,000		10,652
Kraft Foods, Inc.
4.125% due 11/12/2009		100		99
5.625% due 11/01/2011		20,000		20,471
6.125% due 02/01/2018		148,500		149,914
6.250% due 06/01/2012		10,000		10,398
6.875% due 02/01/2038		63,300		66,573
Kroger Co.
5.500% due 02/01/2013		5,000		5,019
Lennar Corp.
5.950% due 10/17/2011		9,000		7,617
Loews Corp.
5.250% due 03/15/2016		30,000		29,988
Lowe’s Cos., Inc.
5.000% due 10/15/2015		100		97
5.500% due 10/15/2035		50		43
Macys Retail Holdings, Inc.
4.800% due 07/15/2009		15,000		14,920
Mandalay Resort Group
6.500% due 07/31/2009		34,769		34,943
9.500% due 08/01/2008		27,350		28,034
Marathon Oil Corp.
6.000% due 10/01/2017		40,000		40,808
Marriott International, Inc.
4.625% due 06/15/2012		15,000		14,713
Masco Corp.
5.875% due 07/15/2012		5,000		5,130
7.125% due 08/15/2013		10,000		10,905
Mattel, Inc.
6.125% due 06/15/2011		10,000		10,525
Maytag Corp.
5.000% due 05/15/2015		10,000		9,474
Mazda Manufacturing Corp.
10.500% due 07/01/2008 (p)		139		139
Mazda Motor Corp.
10.500% due 07/01/2008 (p)		17		17
McDonald’s Corp.
5.300% due 03/15/2017		125		125
MDC Holdings, Inc.
7.000% due 12/01/2012		10,000		10,196
Medtronic, Inc.
4.375% due 09/15/2010		100		100
Miller Brewing Co.
5.500% due 08/15/2013		15,000		15,218
Mirage Resorts, Inc.
6.750% due 02/01/2008		41,000		41,205
Newell Rubbermaid, Inc.
4.000% due 05/01/2010		24,000		24,175
Norfolk Southern Corp.
6.750% due 02/15/2011		150		161
Northrop Grumman Space & Mission Systems Corp.
6.250% due 01/15/2010		5,000		5,168
NSTAR
8.000% due 02/15/2010		100		107
Omnicom Group, Inc.
5.900% due 04/15/2016		9,600		9,753
ONEOK Partners LP
6.150% due 10/01/2016		10,000		10,175
6.850% due 10/15/2037		29,800		31,013
Oracle Corp. and Ozark Holding, Inc.
5.000% due 01/15/2011		200		203
Packaging Corp. of America
5.750% due 08/01/2013		10,000		10,232
Parker Hannifin Employee Stock Ownership Trust
6.340% due 07/15/2008		112		113
PC Financial Partnership
5.000% due 11/15/2014		10,000		9,739
Peabody Energy Corp.
7.375% due 11/01/2016		41,400		42,642
7.875% due 11/01/2026		23,600		24,072
Pemex Project Funding Master Trust
6.625% due 06/15/2035		46,000		48,716
7.875% due 02/01/2009		3,055		3,156
9.125% due 10/13/2010		25		28
9.375% due 12/02/2008		26,065		27,076
Pepsi Bottling Group, Inc.
7.000% due 03/01/2029		100		115
PepsiCo., Inc.
5.750% due 01/15/2008		100		100
Pfizer, Inc.
4.650% due 03/01/2018		150		146
Plains All American Pipeline LP
5.625% due 12/15/2013		10,000		10,209
Praxair, Inc.
6.375% due 04/01/2012		200		214
Procter & Gamble Co.
6.875% due 09/15/2009		100		105
Qwest Communications International, Inc.
7.500% due 11/01/2008		16,227		16,389
RadioShack Corp.
7.375% due 05/15/2011		10,000		10,548
Reed Elsevier Capital, Inc.
4.625% due 06/15/2012		5,000		4,889
Reynolds American, Inc.
5.691% due 06/15/2011		45,900		44,789
6.750% due 06/15/2017		100		102
7.250% due 06/01/2013		80,000		85,019
7.625% due 06/01/2016		3,000		3,204
RH Donnelley Corp.
8.875% due 10/15/2017		30,000		27,900
Rohm & Haas Co.
6.000% due 09/15/2017		109,900		111,868
Royal Caribbean Cruises Ltd.
6.750% due 03/15/2008		3,250		3,271
Ryder System, Inc.
5.950% due 05/02/2011		5,000		5,172
Ryland Group, Inc.
5.375% due 06/01/2008		833		828
SABMiller PLC
5.531% due 07/01/2009		25,000		25,090
Safeway, Inc.
5.208% due 03/27/2009		13,000		12,980
Sealed Air Corp.
6.950% due 05/15/2009		10,000		10,266
Service Corp. International
6.500% due 03/15/2008		8,000		8,030
Siemens Financieringsmaatschappij NV
4.920% due 08/14/2009		96,200		96,264
Sonat, Inc.
7.625% due 07/15/2011		23,220		23,856
Systems 2001 Asset Trust LLC
7.156% due 12/15/2011		16,458		17,287
Target Corp.
5.400% due 10/01/2008		200		201
5.875% due 03/01/2012		175		181
Tennessee Gas Pipeline Co.
7.000% due 10/15/2028		14,800		15,014
Texaco Capital, Inc.
5.500% due 01/15/2009		175		176
Time Warner Cable, Inc.
5.400% due 07/02/2012		100		100
Time Warner, Inc.
5.109% due 11/13/2009		102,478		100,001
5.875% due 11/15/2016		2,000		1,991
6.500% due 11/15/2036		20,000		19,522
6.875% due 05/01/2012		350		369
7.625% due 04/15/2031		120		133
Transcontinental Gas Pipe Line Corp.
6.250% due 01/15/2008		9,000		9,000
Transocean, Inc.
5.341% due 09/05/2008		15,980		15,903
6.625% due 04/15/2011		5,330		5,522
Union Pacific Corp.
4.698% due 01/02/2024		144		136
United Airlines, Inc.
6.071% due 03/01/2013		2,589		2,577
6.201% due 09/01/2008		5,596		5,568
6.602% due 03/01/2015		3,562		3,544
8.030% due 01/01/2013 (a)		465		532
9.060% due 06/17/2015 (a)		3,585		212
9.200% due 03/22/2008 (a)		2,849		1,410
9.210% due 01/21/2017 (a)		8,994		22
10.020% due 03/22/2014 (a)		9,945		4,910
10.125% due 03/22/2015 (a)		12,367		6,261
10.360% due 11/13/2012 (a)		3,782		158
10.850% due 07/05/2014 (a)		34,111		341
10.850% due 02/19/2015 (a)		2,704		1,298
11.080% due 05/27/2024 (a)(p)		8,225		12
United Parcel Service, Inc.
4.250% due 11/15/2012		600		587
United Technologies Corp.
5.194% due 06/01/2009		107,000		106,359
6.100% due 05/15/2012		150		158
UnitedHealth Group, Inc.
4.875% due 04/01/2013		175		173
Vale Overseas Ltd.
6.250% due 01/23/2017		39,800		40,123
6.875% due 11/21/2036		39,800		40,461
Viacom, Inc.
5.750% due 04/30/2011		15,200		15,403
Wal-Mart Stores, Inc.
4.550% due 05/01/2013		100		100
5.250% due 09/01/2035		1,850		1,647
6.500% due 08/15/2037		23,200		24,512
Walt Disney Co.
5.246% due 09/10/2009		44,390		44,198
Waste Management, Inc.
7.375% due 08/01/2010		100		106
WellPoint, Inc.
5.000% due 01/15/2011		11,000		11,024
6.375% due 01/15/2012		10,360		10,780
Whirlpool Corp.
6.125% due 06/15/2011		12,000		12,507
Williams Cos., Inc.
6.375% due 10/01/2010		14,300		14,532
Wyeth
5.500% due 03/15/2013		10,000		10,297
5.950% due 04/01/2037		250		252
Xerox Corp.
5.716% due 12/18/2009		1,200		1,203
9.750% due 01/15/2009		27,950		29,226
Yum! Brands, Inc.
7.650% due 05/15/2008		3,000		3,029
				4,623,087
Utilities 1.5%
Alabama Power Co.
3.125% due 05/01/2008		200		199
5.220% due 08/25/2009		17,000		17,005
5.500% due 10/15/2017		250		254
AT&T, Inc.
4.125% due 09/15/2009		250		248
4.959% due 05/15/2008		71,100		71,040
4.978% due 02/05/2010		108,570		107,653
5.080% due 11/14/2008		16,400		16,381
5.100% due 09/15/2014		525		520
6.450% due 06/15/2034		100		103
6.500% due 09/01/2037		300,000		314,758
AT&T Mobility LLC
6.500% due 12/15/2011		80		84
BellSouth Corp.
4.200% due 09/15/2009		5,000		4,972
4.240% due 04/26/2021		160,300		159,742
4.969% due 08/15/2008		98,950		98,807
5.200% due 09/15/2014		26,000		25,985
British Telecommunications PLC
8.625% due 12/15/2010		200		220
9.125% due 12/15/2030		250		332
CenterPoint Energy, Inc.
5.875% due 06/01/2008		10,000		10,010
Consolidated Edison Co.
5.375% due 12/15/2015		100		100
Consolidated Edison, Inc.
3.625% due 08/01/2008		50		50
Deutsche Telekom International Finance BV
3.875% due 07/22/2008		29,459		29,248
5.064% due 03/23/2009		15,100		15,037
Dominion Resources, Inc.
5.200% due 01/15/2016		15,300		14,851
5.700% due 09/17/2012		100		103
DPL, Inc.
8.000% due 03/31/2009		28,000		29,075
Edison Mission Energy
7.200% due 05/15/2019		900		889
Enel Finance International S.A.
5.700% due 01/15/2013		300		305
Entergy Gulf States, Inc.
5.524% due 12/01/2009		15,000		14,906
5.700% due 06/01/2015		50		49
5.896% due 12/08/2008		24,340		24,423
Exelon Corp.
4.900% due 06/15/2015		10,000		9,428
6.750% due 05/01/2011		200		209
FirstEnergy Corp.
6.450% due 11/15/2011		10,000		10,335
Florida Power Corp.
5.279% due 11/14/2008		8,000		7,991
France Telecom S.A.
7.750% due 03/01/2011		970		1,043
Georgia Power Co.
5.085% due 02/17/2009		14,550		14,446
GTE Northwest, Inc.
5.550% due 10/15/2008		250		251
IPALCO Enterprises, Inc.
8.625% due 11/14/2011		50,858		53,401
KT Corp.
4.875% due 07/15/2015		100		95
MidAmerican Energy Co.
4.650% due 10/01/2014		100		97
MidAmerican Energy Holdings Co.
6.125% due 04/01/2036		43,600		43,642
New Cingular Wireless Services, Inc.
8.125% due 05/01/2012		250		278
NGPL Pipe Co. LLC
6.514% due 12/15/2012		165,500		168,212
Niagara Mohawk Power Corp.
7.750% due 10/01/2008		125		127
Nippon Telegraph & Telephone Corp.
6.000% due 03/25/2008		250		250
NiSource Finance Corp.
5.585% due 11/23/2009		25,600		25,364
6.150% due 03/01/2013		12,000		12,384
Ohio Edison Co.
4.000% due 05/01/2008		150		149
5.450% due 05/01/2015		350		342
5.647% due 06/15/2009		50		51
Peco Energy Co.
5.950% due 10/01/2036		50		50
PPL Energy Supply LLC
5.700% due 10/15/2015		5,000		4,874
6.400% due 11/01/2011		15,000		15,368
Progress Energy, Inc.
5.692% due 01/15/2010		400		401
7.100% due 03/01/2011		23		24
PSEG Power LLC
5.000% due 04/01/2014		400		384
5.500% due 12/01/2015		8,000		7,845
6.950% due 06/01/2012		172		184
Public Service Electric & Gas Co.
5.700% due 12/01/2036		50		48
Qwest Capital Funding, Inc.
6.375% due 07/15/2008		37,494		37,494
7.250% due 02/15/2011		15,500		15,345
Qwest Corp.
5.625% due 11/15/2008		59,710		59,710
7.200% due 11/10/2026		2,150		2,037
7.500% due 06/15/2023		6,850		6,593
7.625% due 06/15/2015		1,700		1,738
7.875% due 09/01/2011		100		104
8.241% due 06/15/2013		2,800		2,870
8.875% due 03/15/2012		26,725		28,729
Ras Laffan Liquefied Natural Gas Co. Ltd.
3.437% due 09/15/2009		24		24
Ras Laffan Liquefied Natural Gas Co. Ltd. II
5.298% due 09/30/2020		57,850		56,272
Ras Laffan Liquefied Natural Gas Co. Ltd. III
5.838% due 09/30/2027		40,650		38,483
Scana Corp.
5.274% due 03/01/2008		24,621		24,640
Southern California Gas Co.
5.750% due 11/15/2035		75		73
Sprint Capital Corp.
8.375% due 03/15/2012		10,750		11,653
Sprint Nextel Corp.
5.242% due 06/28/2010		100		96
United Telecom, Inc.
6.890% due 07/01/2008 (p)		700		703
United Telephone Co. of the Northwest
6.890% due 07/01/2008 (p)		2,760		2,770
Verizon Global Funding Corp.
4.000% due 01/15/2008		205		205
6.875% due 06/15/2012		150		162
7.250% due 12/01/2010		200		215
7.375% due 09/01/2012		235		260
7.750% due 12/01/2030		325		382
Verizon New England, Inc.
6.500% due 09/15/2011		300		315
Verizon North, Inc.
5.604% due 01/01/2022		3,000		2,973
5.634% due 01/01/2021		3,000		2,976
Verizon Virginia, Inc.
4.625% due 03/15/2013		500		484
Virginia Electric and Power Co.
6.350% due 11/30/2037		25,400		26,135
Vodafone Group PLC
5.320% due 02/27/2012		40,000		39,152
5.625% due 02/27/2017		50		50
				1,697,265
Total Corporate Bonds & Notes (Cost $30,511,070)				30,437,376
MUNICIPAL BONDS & NOTES 0.8%
Austin Trust Various States, California State Educational Facilities Authority Revenue Bonds, Series 2007
6.538% due 10/01/2037		3,335		3,432
Austin Trust Various States, Orange County, California Certificates of Participation Bonds, (FSA Insured), Series 2007
0.000% due 02/01/2037		16,670		18,248
Austin Trust Various States, University of Washington Revenue Bonds, (AMBAC Insured), Series 2007
5.500% due 06/01/2037		3,335		3,720
Austin Trust Various States, University of Washington Revenue Bonds, Series 2007
0.000% due 06/15/2038		44,345		49,619
Austin, Texas Water & Wastewater Utilities Revenue Bonds, (AMBAC Insured), Series 2005
7.570% due 05/15/2035		1,955		2,140
Badger, Wisconsin Tobacco Asset Securitization Corporations Revenue Bonds, Series 2002
6.000% due 06/01/2017		2,500		2,592
6.375% due 06/01/2032		7,300		7,515
Badger, Wisconsin Tobacco Asset Securitization Corporations Revenue Notes, Series 2002
5.750% due 06/01/2011		8,515		8,867
Bastrop, Texas Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 2005
5.000% due 02/15/2037		4,075		4,494
California State Department of Water Resources Revenue Bonds, Series 2000
6.300% due 12/01/2029		2,500		2,580
California State Tobacco Securitization Agency Revenue Bonds, Series 2002
5.750% due 06/01/2029		3,000		3,000
6.125% due 06/01/2038		2,000		1,999
6.125% due 06/01/2043		2,000		1,998
Chicago, Illinois Board of Education General Obligation Bonds, (FGIC Insured), Series 1999
0.000% due 12/01/2028		21,000		7,417
Chicago, Illinois General Obligation Bonds, (FSA Insured), Series 2006
6.728% due 01/01/2014		8,310		8,624
Chicago, Illinois General Obligation Notes, (FSA Insured), Series 2006
6.808% due 01/01/2014		7,810		8,027
Clark County, Nevada General Obligation Notes, (FGIC Insured), Series 2006
6.787% due 11/01/2013		2,830		2,858
Cook County, Illinois General Obligation Notes, (AMBAC Insured), Series 2006
6.709% due 11/15/2013		6,680		6,872
6.768% due 11/15/2013		3,765		3,858
Cypress-Fairbanks, Texas Independent School District General Obligation Notes, (PSF-GTD Insured), Series 2006
6.788% due 02/15/2014		4,335		4,456
Detroit, Michigan School District General Obligation Bonds, (FGIC Q-SBLF Insured), Series 1998
4.750% due 05/01/2028		4,500		4,523
Frisco, Texas Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 2002
0.000% due 08/15/2032		12,190		3,659
0.000% due 08/15/2034		5,265		1,426
Gainesville, Florida Utilities Systems Revenue Bonds, (FSA Insured), Series 2005
6.820% due 10/01/2036		2,275		2,332
Golden State, California Tobacco Securitization Corporations Revenue Bonds, Series 2007
6.070% due 06/01/2047		12,500		8,523
7.320% due 06/01/2047		30,400		26,381
Houston, Texas Utility System Revenue Bonds, (FSA Insured), Series 2007
5.000% due 11/15/2036		10,000		10,394
Houston, Texas Water & Sewer System Revenue Bonds, (FSA Insured), Series 1998
0.000% due 12/01/2028		8,720		3,202
Illinois State Educational Facilities Authority Revenue Bonds, Series 2003
6.270% due 07/01/2033		1,195		1,263
6.270% due 12/01/2033		5,000		5,304
Illinois State Metropolitan Pier & Exposition Authority Revenue Bonds, (MBIA Insured), Series 2002
0.000% due 12/15/2032		55,000		16,279
Indiana State Anderson School Building Corp. Revenue Bonds, (FSA State Aid Withholding Insured), Series 2006
4.750% due 01/15/2027		2,715		2,778
4.750% due 01/15/2028		2,000		2,041
Iowa State Tobacco Settlement Authority Revenue Bonds, Series 2005
6.500% due 06/01/2023		58,830		56,127
Los Angeles, California Department of Water & Power Revenue Bonds, (FSA insured), Series 2005
6.749% due 07/01/2013		5,900		6,000
Massachusetts State Water Resources Authority Revenue Bonds, (MBIA Insured), Series 2005
6.280% due 08/01/2034		5,000		5,377
Nevada State System of Higher Education Revenue Bonds, (AMBAC Insured), Series 2005
7.570% due 07/01/2030		3,335		3,715
Nevada State Truckee Meadows Water Authority Revenue Bonds, (MBIA Insured), Series 2005
5.000% due 07/01/2036		1,853		2,028
New Jersey State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2007
5.000% due 06/01/2041		20		17
5.710% due 06/01/2041		13,170		8,735
7.560% due 05/15/2039		9,375		8,708
Northside, Texas Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 2004
6.270% due 02/15/2035		4,022		4,248
Ohio State Buckeye Tobacco Settlement Financing Authority Revenue Bonds, Series 2007
0.000% due 06/01/2047		37,625		34,243
5.875% due 06/01/2030		9,200		8,948
7.310% due 06/01/2034		5,000		4,517
7.560% due 06/01/2047		148,075		134,666
Palomar, California Community College District General Obligation Bonds, (FSA Insured), Series 2007
4.750% due 05/01/2032		5,000		5,086
Pennsylvania State Higher Educational Facilities Authority Revenue Bonds, Series 2005
6.789% due 07/15/2013		6,375		6,435
Puerto Rico Sales Tax Financing Corp. Revenue Bonds, (AMBAC Insured), Series 2007
0.000% due 08/01/2054		33,000		2,926
Rhode Island State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2002
6.125% due 06/01/2032		7,000		7,006
San Diego, California Tobacco Settlement Revenue Funding Corporations Revenue Bonds, Series 2006
7.125% due 06/01/2032		57,390		54,016
South Carolina State Tobacco Settlement Revenue Management Authority Revenue Bonds, Series 2001
6.375% due 05/15/2028		3,400		3,439
Southbridge, Massachusetts Associates LLC Revenue Bonds, (MBIA Insured), Series 2000
7.590% due 02/01/2022 (p)		31,105		36,344
Texas State General Obligation Bonds, Series 2005
4.750% due 04/01/2035		14,800		14,871
Texas State General Obligation Bonds, Series 2007
5.000% due 04/01/2037		37,200		38,734
University of Texas Revenue Bonds, Series 2004
4.750% due 07/01/2030		7,745		7,832
Virginia State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2005
5.500% due 06/01/2026		1,050		1,161
Washington State Tobacco Settlement Authority Revenue Bonds, Series 2002
6.625% due 06/01/2032		6,850		6,997
West Virginia State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2007
7.467% due 06/01/2047		161,695		155,494
Total Municipal Bonds & Notes (Cost $850,580)				858,091
COMMODITY INDEX-LINKED NOTES 0.3%
Goldman Sachs Commodity Index Total Return 0.3%
Morgan Stanley
4.805% due 07/07/2008		297,000		297,561
Total Commodity Index-Linked Notes (Cost $297,000)				297,561

U.S. GOVERNMENT AGENCIES 66.3%
Fannie Mae
0.000% due 04/25/2018 - 08/25/2023 (c)		38		32
0.950% due 03/25/2009 (b)		586		3
1.000% due 09/25/2023		5		5
3.000% due 01/25/2025		151		149
3.500% due 02/25/2013 - 09/25/2016		325		322
3.725% due 02/25/2023 (b)		126		1
3.854% due 08/01/2033		55		56
4.000% due 02/25/2009 - 09/01/2020		3,189		3,064
4.243% due 03/01/2034		11,100		10,995
4.250% due 04/25/2028		112		111
4.386% due 11/01/2034		4,932		4,894
4.399% due 03/01/2034		18,090		18,025
4.459% due 09/01/2035		396		399
4.474% due 05/01/2035		57,166		56,725
4.476% due 07/01/2035		6,612		6,572
4.482% due 05/01/2035		8,203		8,206
4.493% due 07/01/2035		8,233		8,200
4.497% due 08/01/2035		13,917		13,874
4.500% due 10/01/2010 - 12/01/2035		13,211		13,125
4.514% due 06/01/2035		5,269		5,279
4.552% due 02/01/2035		12,822		12,911
4.620% due 05/01/2009		35		35
4.623% due 06/01/2015		284		287
4.647% due 02/01/2035		5,876		5,850
4.661% due 11/01/2035		32,201		32,226
4.663% due 07/01/2033		49		49
4.669% due 05/25/2035		46,500		46,900
4.674% due 05/01/2035		38,636		38,353
4.675% due 11/01/2035		7,520		7,561
4.677% due 09/01/2035		3,843		3,928
4.678% due 01/01/2035		511		510
4.679% due 02/01/2035		6,463		6,443
4.680% due 12/01/2012		371		372
4.688% due 06/01/2035		23,262		23,260
4.704% due 12/01/2034		556		555
4.707% due 09/01/2035		24,946		24,983
4.712% due 06/01/2035 - 09/01/2035		22,750		22,813
4.717% due 08/01/2035		6,899		6,878
4.745% due 03/01/2035		165		165
4.751% due 11/01/2034		5,254		5,254
4.801% due 11/01/2035		20,171		20,168
4.823% due 09/01/2034		37,232		37,146
4.831% due 06/01/2035		343		342
4.863% due 01/01/2035		20,303		20,288
4.870% due 05/01/2013		130		132
4.880% due 01/01/2035		23,468		23,449
4.893% due 02/01/2035		11,184		11,200
4.898% due 07/01/2035		5,658		5,724
4.921% due 01/01/2035		26,425		26,382
4.985% due 03/25/2034		27		26
4.989% due 06/01/2035		1,627		1,635
4.995% due 03/25/2036		21,639		21,575
5.000% due 03/01/2009 - 02/01/2038		14,557,371		14,293,784
5.000% due 03/01/2036 (k)		1,875,952		1,831,734
5.015% due 08/25/2034		241		238
5.114% due 07/01/2035		5,445		5,537
5.115% due 06/25/2044		21		21
5.215% due 07/25/2021 - 05/25/2042		5,564		5,483
5.250% due 12/01/2034		3,060		3,077
5.265% due 06/25/2029 - 05/25/2031		732		728
5.301% due 09/01/2035		82		82
5.315% due 10/25/2030		128		129
5.365% due 03/25/2017 - 08/25/2030		2,549		2,577
5.370% due 08/25/2043		3,000		3,045
5.375% due 03/01/2023		86		88
5.396% due 04/18/2028		203		204
5.400% due 02/01/2021		143		146
5.423% due 01/01/2036		118		118
5.430% due 06/01/2022		38		39
5.446% due 10/18/2030		1,535		1,548
5.465% due 05/25/2030		792		793
5.500% due 05/01/2008 - 02/01/2038		29,251,584		29,249,825
5.500% due 01/01/2033 - 02/01/2035 (i)		529,068		529,543
5.500% due 05/01/2034 - 01/01/2036 (k)		3,394,095		3,394,897
5.502% due 09/01/2024		250		252
5.509% due 09/01/2017		808		802
5.515% due 05/25/2030		792		792
5.527% due 03/01/2033		181		182
5.559% due 03/01/2023		451		463
5.576% due 11/01/2024		2,565		2,596
5.580% due 01/01/2018		155		156
5.607% due 05/01/2021		37		38
5.609% due 02/01/2028		44		44
5.690% due 09/01/2021		16		16
5.750% due 12/20/2027		1,451		1,446
5.765% due 04/25/2032		68		69
5.825% due 10/01/2020		33		34
5.900% due 12/01/2018		109		110
5.920% due 02/01/2012		71		74
5.960% due 04/01/2018		183		189
5.970% due 07/01/2019		15		15
5.973% due 11/01/2011		133		139
5.993% due 12/01/2017		884		907
6.000% due 02/01/2009 - 10/25/2044		14,475,920		14,707,407
6.011% due 05/01/2014		85		88
6.044% due 02/01/2028		745		750
6.055% due 12/01/2033		1,311		1,330
6.063% due 07/01/2042 - 10/01/2044		31,572		31,701
6.064% due 09/01/2044 - 12/01/2044		36,219		36,396
6.070% due 12/01/2017		5		5
6.071% due 02/01/2021		91		94
6.080% due 07/01/2032		145		150
6.104% due 09/01/2019		766		777
6.108% due 10/01/2027		260		268
6.113% due 09/01/2041		71		71
6.125% due 01/01/2020		12		12
6.155% due 12/01/2008		38		38
6.188% due 09/01/2034		1,066		1,084
6.200% due 11/01/2034		3,267		3,295
6.214% due 01/01/2021		22		22
6.215% due 10/01/2034		5,239		5,270
6.227% due 03/01/2023		881		909
6.246% due 10/01/2034		9,830		9,918
6.250% due 02/25/2029		2,041		2,114
6.263% due 10/01/2030 - 10/01/2040		5,801		5,847
6.276% due 07/01/2024		161		166
6.290% due 02/25/2029		500		529
6.300% due 10/17/2038		18,281		18,316
6.310% due 03/01/2008		82		82
6.314% due 04/01/2027		44		45
6.315% due 11/01/2023		156		159
6.320% due 10/01/2013		1,866		1,890
6.341% due 12/01/2036		579		587
6.355% due 05/01/2023		350		360
6.390% due 05/25/2036		23,534		24,690
6.433% due 08/01/2027		1,678		1,675
6.447% due 07/01/2019		93		93
6.473% due 08/01/2022		1,302		1,344
6.480% due 01/01/2011		72		75
6.494% due 02/01/2020		9		10
6.500% due 06/01/2008 - 06/25/2044		774,529		799,027
6.500% due 09/25/2008 - 10/25/2022 (b)		15		0
6.518% due 01/01/2020		826		827
6.540% due 09/01/2021		8		9
6.541% due 05/01/2030		15		15
6.555% due 05/01/2017		2		2
6.556% due 01/01/2024		73		75
6.585% due 11/01/2023		16		17
6.595% due 03/01/2019		953		958
6.603% due 05/01/2023		161		163
6.610% due 12/01/2020		623		627
6.625% due 02/01/2022		204		204
6.650% due 01/01/2024		115		117
6.676% due 11/01/2019		187		188
6.684% due 09/01/2014		22		22
6.730% due 06/01/2022		15		16
6.739% due 10/01/2019		300		302
6.745% due 02/01/2018		47		49
6.750% due 10/25/2023		375		397
6.764% due 07/01/2021		45		46
6.775% due 04/01/2027		46		47
6.814% due 06/01/2023		169		171
6.820% due 06/01/2023		21		21
6.825% due 02/01/2020		62		64
6.831% due 09/01/2022		174		176
6.837% due 12/01/2023		20		21
6.847% due 11/01/2021		75		78
6.872% due 09/01/2022		75		76
6.900% due 05/25/2023		66		70
6.914% due 03/01/2025		1,001		1,019
6.920% due 11/01/2023		34		34
6.922% due 08/01/2025		1,183		1,221
6.970% due 10/01/2034		4,651		4,717
6.975% due 09/01/2025		36		36
6.988% due 11/01/2025		169		171
6.995% due 01/01/2026		158		161
6.996% due 02/01/2027		378		384
7.000% due 01/01/2009 - 01/25/2048		19,959		20,794
7.008% due 11/01/2025		238		242
7.015% due 09/01/2029		12		12
7.019% due 08/01/2027		1,924		1,956
7.025% due 11/01/2022		21		21
7.044% due 05/01/2022		25		25
7.049% due 05/01/2025		280		285
7.055% due 05/01/2024		84		86
7.065% due 12/01/2023		213		216
7.085% due 03/01/2026		56		56
7.093% due 12/01/2022		43		44
7.095% due 07/01/2026		12		12
7.107% due 11/01/2025		620		625
7.110% due 10/01/2009		461		476
7.111% due 07/01/2024		783		797
7.112% due 09/01/2024		147		149
7.121% due 10/01/2024		161		165
7.139% due 12/01/2025		272		275
7.140% due 12/01/2025		370		373
7.141% due 09/01/2023		175		179
7.150% due 06/01/2025		79		79
7.154% due 08/01/2026		147		150
7.155% due 11/01/2025		33		33
7.160% due 04/01/2027		7		7
7.172% due 10/01/2024		31		32
7.180% due 12/01/2010 - 10/01/2023		92		96
7.200% due 05/01/2021 - 12/01/2023		108		110
7.203% due 05/01/2026		62		63
7.209% due 04/01/2027		62		63
7.240% due 02/01/2026		77		78
7.247% due 02/01/2028		67		68
7.250% due 05/01/2009 - 11/01/2026		958		1,023
7.251% due 10/01/2027		186		189
7.279% due 06/01/2025		714		723
7.290% due 06/01/2024		51		52
7.296% due 08/01/2027		138		140
7.300% due 08/01/2031		133		134
7.306% due 11/01/2025		81		82
7.310% due 12/01/2023		93		94
7.375% due 05/25/2022		1,333		1,419
7.396% due 06/01/2030		285		299
7.416% due 12/01/2027		382		386
7.472% due 08/01/2027		36		37
7.495% due 08/01/2023		91		92
7.500% due 11/01/2010 - 07/25/2041		5,837		6,404
7.533% due 10/01/2026		11		11
7.568% due 04/01/2024		381		388
7.600% due 12/01/2026		13		13
7.722% due 04/01/2026 - 05/01/2027		159		161
7.732% due 10/01/2024		7		7
7.750% due 06/01/2009 - 01/25/2022		2,040		2,200
7.780% due 01/01/2018		2,063		2,381
7.800% due 10/25/2022		276		299
7.920% due 03/01/2018		2,554		2,974
7.945% due 02/01/2033		4		4
7.980% due 05/01/2030		6,207		6,699
8.000% due 04/01/2008 - 06/01/2032		5,063		5,436
8.000% due 08/18/2027 (b)		12		3
8.032% due 09/25/2008		64		65
8.060% due 04/01/2030		1,727		1,861
8.080% due 04/01/2030		949		1,023
8.250% due 10/01/2008 - 02/01/2017		10		10
8.490% due 06/01/2025		884		966
8.500% due 09/01/2008 - 10/01/2032		3,992		4,317
8.750% due 01/25/2021		288		318
9.000% due 07/01/2009 - 12/01/2027		1,811		1,992
9.250% due 04/25/2018		25		26
9.300% due 05/25/2018 - 08/25/2019		78		86
9.500% due 11/01/2009 - 07/01/2022		1,189		1,309
9.650% due 09/25/2028		564		596
10.000% due 08/01/2009 - 05/01/2022		158		180
10.500% due 11/01/2013 - 04/01/2022		54		59
11.000% due 11/01/2013 - 11/01/2020		167		187
11.500% due 08/20/2016 - 11/01/2019		7		8
12.000% due 05/01/2016		1		1
12.500% due 10/01/2015		3		4
13.250% due 09/01/2011		2		2
14.750% due 08/01/2012		13		15
15.000% due 10/15/2012		43		51
15.500% due 10/01/2012 - 12/01/2012		3		3
15.750% due 12/01/2011 - 08/01/2012		15		17
16.000% due 09/01/2012		24		28
903.212% due 08/25/2021 (b)		0		6
1000.000% due 04/25/2022 (b)		0		6
Farmer Mac
7.953% due 01/25/2012		502		509
Federal Housing Administration
6.780% due 07/25/2040		7,288		7,381
6.875% due 11/01/2015		1,962		1,984
6.880% due 02/01/2041		11,074		11,216
6.896% due 07/01/2020		10,726		10,845
6.900% due 12/01/2040		21,979		22,259
6.960% due 05/01/2016		1,435		1,451
6.997% due 09/01/2019		101		102
7.110% due 05/01/2019		1,749		1,770
7.310% due 06/01/2041		22,889		23,235
7.315% due 08/01/2019		5,249		5,314
7.350% due 04/01/2019 - 11/01/2020		629		637
7.375% due 02/01/2018		161		163
7.400% due 01/25/2020 - 02/01/2021		3,922		3,971
7.430% due 10/01/2018 - 06/01/2024		15,770		15,982
7.450% due 05/01/2021		2,435		2,467
7.460% due 01/01/2023		242		246
7.465% due 11/01/2019		1,963		1,992
7.500% due 03/01/2032		3,160		3,203
7.580% due 12/01/2040		7,183		7,288
7.630% due 08/01/2041		17,239		17,544
7.780% due 11/01/2040		7,184		7,321
8.250% due 01/01/2041		4,595		4,694
8.375% due 02/01/2012		134		137
Freddie Mac
3.000% due 05/15/2022		317		315
3.500% due 05/15/2016 - 07/15/2032		2,570		2,524
4.000% due 04/01/2011 - 12/15/2024		65,331		65,026
4.250% due 04/15/2023		12,583		12,541
4.500% due 11/01/2008 - 05/01/2034		28,738		28,597
4.539% due 01/01/2034		12,221		12,453
4.547% due 08/01/2035		1,539		1,537
4.585% due 09/01/2035		21,291		21,238
4.632% due 07/01/2035		20,326		20,361
4.704% due 06/01/2035		5,848		5,868
4.827% due 03/01/2035		4,951		4,945
4.838% due 10/01/2035		39,549		39,551
4.846% due 11/01/2035		36,072		36,029
4.852% due 11/15/2024		212		212
4.889% due 10/01/2035		27,851		27,903
4.897% due 10/01/2035		38,337		38,357
4.903% due 11/01/2034		241		245
4.910% due 07/01/2035		67		67
4.943% due 11/01/2035		27,727		27,794
5.000% due 06/15/2016 - 11/01/2036		313,303		313,619
5.125% due 08/25/2031		240		240
5.138% due 05/01/2035		41,635		41,824
5.178% due 08/15/2019 - 10/15/2020		18,873		18,801
5.258% due 02/15/2019		12,001		11,942
5.268% due 05/15/2036		96		95
5.378% due 03/15/2025 - 06/15/2031		9,824		9,770
5.383% due 12/01/2026		949		958
5.428% due 06/15/2018 - 06/15/2031		879		880
5.478% due 11/15/2030 - 12/15/2031		39		39
5.500% due 07/01/2022 - 02/01/2038		4,697,907		4,687,290
5.528% due 09/15/2030 - 01/15/2032		251		251
5.550% due 10/25/2023		207		209
5.598% due 05/01/2023		15		15
5.750% due 05/01/2018		348		354
5.778% due 08/15/2032		5,673		5,649
5.865% due 05/25/2043		15,026		15,125
5.930% due 05/01/2018		286		293
5.950% due 06/15/2028		40,332		40,455
5.980% due 02/01/2021		7		7
6.000% due 02/15/2008 - 01/01/2038		2,115,695		2,148,631
6.009% due 03/01/2021		1,077		1,099
6.041% due 07/01/2019		9		9
6.063% due 10/25/2044 - 02/25/2045		39,694		39,693
6.122% due 05/01/2021		1,459		1,472
6.149% due 03/01/2022		1,471		1,501
6.155% due 02/01/2019		277		280
6.177% due 01/01/2022		96		97
6.190% due 12/01/2018		354		357
6.200% due 12/15/2008		273		273
6.250% due 04/15/2023 - 01/15/2036		3,653		3,710
6.257% due 05/01/2020		70		70
6.263% due 07/25/2044		3,000		3,000
6.387% due 01/01/2021		46		46
6.413% due 05/01/2020		18		19
6.500% due 04/01/2008 - 07/25/2043		395,923		411,337
6.500% due 11/15/2008 - 09/15/2023 (b)		46		1
6.613% due 10/01/2020		11		11
6.625% due 04/01/2017		6		7
6.653% due 10/01/2020		257		263
6.700% due 10/25/2023		1,035		1,054
6.750% due 12/01/2016		169		170
6.831% due 09/01/2023		29		30
6.875% due 09/01/2018		60		60
6.940% due 10/01/2022		48		49
6.950% due 07/15/2021 - 08/15/2021		50		50
6.963% due 06/01/2022		29		30
6.979% due 07/01/2032		4		4
6.992% due 12/01/2019		5		5
7.000% due 03/01/2008 - 10/25/2043		49,181		51,473
7.000% due 08/15/2008 - 09/15/2023 (b)		47		8
7.030% due 01/01/2019		59		60
7.031% due 12/01/2022		21		21
7.072% due 05/01/2023		192		192
7.075% due 01/01/2019 - 09/01/2027		57		57
7.078% due 07/01/2023		71		72
7.085% due 07/01/2020		163		164
7.105% due 05/01/2018		58		59
7.110% due 07/01/2022		108		109
7.125% due 01/01/2019		1		1
7.150% due 09/01/2023		199		199
7.153% due 06/01/2022		609		616
7.157% due 08/01/2023		106		108
7.159% due 07/01/2023		240		240
7.164% due 11/01/2026		473		477
7.170% due 08/01/2023		1		1
7.173% due 04/01/2024		877		880
7.179% due 08/01/2023		622		627
7.186% due 04/01/2025		139		141
7.188% due 10/01/2026		460		464
7.193% due 11/01/2023		236		238
7.200% due 06/01/2024		262		264
7.209% due 08/01/2023		102		102
7.212% due 06/01/2021		561		567
7.214% due 06/01/2024		604		614
7.219% due 09/01/2028 - 11/01/2028		803		809
7.224% due 02/01/2025		26		26
7.229% due 10/01/2024		225		227
7.236% due 02/01/2023		88		89
7.240% due 09/01/2023 - 01/01/2024		167		170
7.244% due 07/01/2025		859		864
7.250% due 04/01/2023		17		17
7.258% due 08/01/2023		1,297		1,306
7.263% due 09/01/2023		683		684
7.265% due 10/01/2023		204		205
7.282% due 09/01/2023		376		381
7.283% due 03/01/2024		319		321
7.284% due 07/01/2024		149		151
7.288% due 11/01/2020 - 10/01/2023		220		221
7.298% due 10/01/2023		182		185
7.308% due 05/01/2023		93		94
7.311% due 04/01/2029		163		164
7.334% due 07/01/2027		14		14
7.336% due 11/01/2023		10		10
7.338% due 01/01/2028		31		31
7.340% due 02/01/2026		420		426
7.349% due 10/01/2023		294		299
7.364% due 07/01/2030		1,073		1,085
7.395% due 12/01/2023		152		153
7.438% due 08/01/2023		46		47
7.456% due 06/01/2020		93		96
7.462% due 01/01/2024		64		66
7.464% due 05/01/2023		59		59
7.481% due 10/01/2023		57		57
7.500% due 09/01/2008 - 11/01/2037		21,293		22,177
7.645% due 05/01/2025		5,829		6,315
8.000% due 02/01/2008 - 09/15/2024		5,360		5,433
8.250% due 05/01/2008 - 06/15/2022		293		315
8.500% due 02/01/2008 - 06/01/2030		3,091		3,127
8.750% due 04/01/2009 - 12/15/2020		136		136
8.900% due 11/15/2020		1,007		1,005
9.000% due 04/01/2009 - 07/01/2030		761		778
9.000% due 05/01/2022 (b)		6		2
9.250% due 10/01/2009 - 07/01/2017		3		3
9.500% due 09/01/2016 - 12/01/2022		754		801
10.000% due 11/01/2011 - 03/01/2021		69		76
10.100% due 09/01/2016		106		121
10.250% due 04/01/2009 - 07/01/2009		25		26
10.500% due 10/01/2017 - 01/01/2021		27		32
10.750% due 09/01/2009		2		2
11.000% due 06/01/2011 - 05/01/2020		40		46
11.250% due 10/01/2009 - 09/01/2015		3		4
11.500% due 01/01/2018		3		4
12.500% due 12/01/2012		2		2
13.250% due 10/01/2013		53		61
14.000% due 04/01/2016		3		3
15.500% due 08/01/2011		2		2
Ginnie Mae
4.500% due 11/16/2028 - 07/15/2033		8,466		8,303
5.000% due 10/20/2029 - 07/20/2037		3,856		3,820
5.349% due 06/20/2030		54		54
5.428% due 06/16/2031 - 03/16/2032		615		619
5.449% due 09/20/2030		243		243
5.478% due 10/16/2030		848		853
5.500% due 01/15/2032 - 02/20/2036		1,785		1,777
5.528% due 02/16/2030 - 04/16/2032		4,187		4,223
5.578% due 12/16/2025		133		134
5.625% due 08/20/2020 - 08/20/2030		39,399		39,617
5.628% due 02/16/2030		2,813		2,844
5.650% due 10/15/2012		4		4
5.678% due 02/16/2030		1,329		1,343
5.750% due 02/20/2032		1,552		1,567
5.899% due 03/20/2031		229		231
6.000% due 10/15/2008 - 08/15/2037		118,041		121,007
6.125% due 12/20/2015 - 12/20/2029		30,874		31,278
6.250% due 01/20/2028 - 03/20/2030		8,599		8,696
6.375% due 02/20/2017 - 05/20/2030		70,375		71,259
6.500% due 10/15/2008 - 07/15/2040		66,415		69,326
6.670% due 08/15/2040		919		962
6.750% due 06/20/2028 - 10/16/2040		43,282		44,643
7.000% due 01/15/2008 - 11/15/2032		8,326		8,705
7.250% due 07/16/2028		4		4
7.500% due 04/15/2008 - 05/15/2032		9,084		9,431
7.700% due 03/15/2041		6,543		7,122
7.750% due 12/20/2020 - 12/15/2040		1,589		1,717
8.000% due 03/15/2008 - 10/20/2031		1,256		1,356
8.250% due 04/15/2008 - 04/15/2020		116		124
8.300% due 06/15/2019		22		24
8.500% due 09/15/2009 - 04/15/2031		1,068		1,161
9.000% due 09/15/2008 - 08/15/2030		942		1,016
9.250% due 12/20/2016		3		3
9.500% due 11/15/2008 - 07/15/2025		529		575
10.000% due 02/15/2013 - 02/15/2025		540		623
10.250% due 02/20/2019		10		11
10.500% due 12/15/2015 - 09/15/2021		106		123
11.000% due 04/15/2010 - 04/20/2019		22		24
11.500% due 04/15/2013 - 10/15/2015		13		15
12.000% due 11/15/2012 - 05/15/2016		92		108
13.000% due 12/15/2012		3		3
13.500% due 10/15/2012 - 09/15/2014		27		32
15.000% due 08/15/2011 - 11/15/2012		39		46
16.000% due 11/15/2011 - 05/15/2012		32		37
17.000% due 11/15/2011 - 12/15/2011		14		17
Small Business Administration
3.870% due 01/01/2014		1,392		1,376
4.340% due 03/01/2024		263		253
4.504% due 02/01/2014		113		109
4.524% due 02/10/2013		13,311		13,223
4.754% due 08/10/2014		69		68
4.770% due 04/01/2024		1,149		1,145
4.890% due 12/01/2023		1,418		1,421
4.980% due 11/01/2023		9,729		9,797
5.090% due 10/01/2025		980		989
5.110% due 08/01/2025		696		703
5.130% due 09/01/2023		6,686		6,755
5.190% due 07/01/2024		395		402
5.290% due 12/01/2027		90,642		91,749
5.310% due 05/01/2027		488		494
5.340% due 11/01/2021		8,023		8,195
5.780% due 08/01/2027		100		104
6.030% due 02/01/2012		10,291		10,522
6.340% due 03/01/2021		14,309		14,949
6.344% due 08/01/2011		994		1,020
6.640% due 02/01/2011		2,749		2,838
6.700% due 12/01/2016		3,814		3,943
6.900% due 12/01/2020		4,209		4,447
6.950% due 11/01/2016		994		1,031
7.150% due 03/01/2017		1,999		2,079
7.190% due 12/01/2019		156		165
7.449% due 08/01/2010		7,411		7,578
7.452% due 09/10/2010		1,487		1,546
7.500% due 04/01/2017		1,028		1,074
7.540% due 08/10/2009		6,236		6,413
7.630% due 06/01/2020		7,349		7,847
7.640% due 03/10/2010		2,586		2,689
7.700% due 07/01/2016		130		136
8.017% due 02/10/2010		9,086		9,470
Small Business Administration Participation Certificates
5.950% due 05/01/2009		179		180
Tennessee Valley Authority
4.250% due 03/15/2013		180		177
6.000% due 03/15/2013		250		272
Vendee Mortgage Trust
0.450% due 06/15/2023 (b)		25,163		346
6.500% due 09/15/2024		18,630		19,748
6.810% due 01/15/2030		2,417		2,498
Total U.S. Government Agencies (Cost $74,049,158)				74,678,576
U.S. TREASURY OBLIGATIONS 1.2%
Treasury Inflation Protected Securities (f)
2.000% due 04/15/2012		9		10
2.000% due 01/15/2014		58,041		59,969
2.000% due 01/15/2026		20,394		20,318
2.375% due 04/15/2011		21,914		22,849
2.375% due 01/15/2017		207		218
2.375% due 01/15/2025		298,146		313,100
2.375% due 01/15/2027		664,288		702,692
2.625% due 07/15/2017		22,415		24,193
3.625% due 04/15/2028		202,346		256,410
Total U.S. Treasury Obligations (Cost $1,384,800)				1,399,759
MORTGAGE-BACKED SECURITIES 3.1%
American Home Mortgage Investment Trust
4.290% due 10/25/2034		544		535
4.390% due 02/25/2045		102,196		98,113
4.440% due 02/25/2045		47		46
Arran Residential Mortgages Funding PLC
5.252% due 04/12/2036		2,333		2,331
Banc of America Commercial Mortgage, Inc.
4.772% due 07/11/2043		98,122		98,439
Banc of America Funding Corp.
4.111% due 05/25/2035		155,815		153,903
4.621% due 02/20/2036		81		80
5.250% due 09/20/2034		200		198
Banc of America Mortgage Securities, Inc.
5.500% due 11/25/2033		192		192
6.500% due 10/25/2031		395		400
6.500% due 09/25/2033		17,887		18,231
7.363% due 07/20/2032		1,612		1,635
Bear Stearns Adjustable Rate Mortgage Trust
4.532% due 08/25/2033		59		57
4.550% due 08/25/2035		284		278
4.609% due 01/25/2034		504		500
4.750% due 10/25/2035		139,606		138,705
4.779% due 01/25/2034		23		23
5.289% due 04/25/2033		7,036		7,038
5.396% due 04/25/2033		21,140		21,091
5.437% due 04/25/2033		650		649
5.608% due 02/25/2033		15,741		15,680
5.789% due 02/25/2033		176		178
5.998% due 11/25/2034		154		154
6.267% due 11/25/2030		11,136		11,109
6.534% due 01/25/2034		53		53
Bear Stearns Alt-A Trust
3.987% due 02/25/2034		12,200		12,033
5.065% due 02/25/2034		131		121
5.085% due 04/25/2035		5,986		5,659
5.334% due 09/25/2034		495		491
5.368% due 05/25/2035		193,916		191,702
5.527% due 09/25/2035		88,640		87,343
5.902% due 01/25/2036		41,953		40,923
6.872% due 01/25/2035		12,039		11,989
Bear Stearns Commercial Mortgage Securities
3.688% due 11/11/2041		2,869		2,845
5.060% due 11/15/2016		8,735		8,755
6.440% due 06/16/2030		10,254		10,265
7.000% due 05/20/2030		35,549		38,131
Bear Stearns Mortgage Securities, Inc.
6.299% due 06/25/2030		348		355
CC Mortgage Funding Corp.
5.045% due 05/25/2036		7,619		6,977
Citicorp Mortgage Securities, Inc.
5.250% due 12/25/2033		250		240
Citigroup Commercial Mortgage Trust
5.098% due 08/15/2021		192		186
Citigroup Mortgage Loan Trust, Inc.
4.098% due 08/25/2035		18,135		17,714
4.248% due 08/25/2035		109,327		107,196
4.679% due 08/25/2035		129,775		128,158
4.700% due 12/25/2035		65,461		64,274
4.748% due 08/25/2035		223		220
Collateralized Mortgage Obligation Trust
8.000% due 09/20/2021		582		580
Commercial Mortgage Acceptance Corp.
7.030% due 06/15/2031		59		61
Commercial Mortgage Asset Trust
6.975% due 01/17/2032		145		158
Countrywide Alternative Loan Trust
4.500% due 06/25/2035		933		923
5.065% due 05/25/2036		4,268		4,045
5.099% due 05/20/2046		2,869		2,831
5.215% due 09/25/2035		4,341		4,121
6.000% due 10/25/2032		4,808		4,828
6.250% due 12/25/2033		43		43
Countrywide Home Loan Mortgage Pass-Through Trust
5.095% due 05/25/2035		24,521		22,555
5.155% due 04/25/2035		29,335		27,763
5.185% due 03/25/2035		31		29
5.195% due 02/25/2035		26		25
5.205% due 02/25/2035		31		30
5.205% due 06/25/2035		630		616
5.245% due 09/25/2034		60		58
5.250% due 02/20/2036		60,272		59,757
5.500% due 11/25/2035		11,496		9,148
6.500% due 01/25/2034		684		713
7.000% due 07/19/2031		28		28
7.214% due 10/19/2032		12		12
7.500% due 06/25/2035		663		715
CS First Boston Mortgage Securities Corp.
4.427% due 04/25/2034		63,553		63,251
5.639% due 05/25/2032		21		21
5.758% due 03/25/2032		672		649
6.500% due 04/25/2033		3,339		3,350
6.700% due 06/25/2032		6		6
7.195% due 05/25/2032		168		167
7.272% due 06/25/2032		11		11
7.290% due 09/15/2041		273		281
7.500% due 12/25/2032		7		8
Denver Arena Trust
6.940% due 11/15/2019		3,048		3,087
Deutsche ALT-A Securities, Inc. Alternate Loan Trust
4.935% due 12/25/2036		36,672		36,522
4.955% due 08/25/2037		22,999		22,788
DLJ Commercial Mortgage Corp.
7.300% due 06/10/2032		488		501
DLJ Mortgage Acceptance Corp.
6.502% due 08/01/2021 (p)		396		384
8.000% due 03/25/2022		9		9
Drexel Burnham Lambert CMO Trust
9.500% due 11/20/2017		29		29
First Nationwide Trust
6.750% due 08/21/2031		4,833		4,821
First Republic Mortgage Loan Trust
5.185% due 06/25/2030		3,260		3,183
5.328% due 08/15/2032		490		487
5.378% due 11/15/2031		21		21
Fund America Investors Corp. II
6.002% due 06/25/2023		14		14
6.753% due 06/25/2023		324		322
GE Capital Commercial Mortgage Corp.
4.229% due 12/10/2037		23,641		23,502
GMAC Commercial Mortgage Securities, Inc.
7.151% due 12/15/2016		47		47
GMAC Mortgage Securities, Inc.
8.950% due 08/20/2017		49		54
Government Lease Trust
4.000% due 05/18/2011		35,750		35,801
6.480% due 05/18/2011		11,384		11,783
GS Mortgage Securities Corp. II
6.044% due 08/15/2018		11,122		11,425
6.620% due 10/18/2030		20,306		20,336
6.624% due 05/03/2018		55,900		60,339
GSR Mortgage Loan Trust
4.396% due 12/25/2034		87		86
4.539% due 09/25/2035		111,722		110,891
4.644% due 09/25/2035		84,902		84,684
5.215% due 01/25/2034		113		112
5.251% due 11/25/2035		218,237		210,992
5.298% due 06/25/2034		106		105
5.500% due 03/25/2035		150		149
6.000% due 03/25/2032		133		132
GSRPM Mortgage Loan Trust
5.565% due 01/25/2032		2,615		2,624
Harborview Mortgage Loan Trust
4.995% due 04/19/2038		32,109		30,066
5.205% due 03/19/2037		21,247		19,967
5.289% due 06/20/2035		2,289		2,203
5.315% due 01/19/2035		5,470		5,284
5.335% due 02/19/2034		20		19
Indymac ARM Trust
6.574% due 01/25/2032		1,082		1,079
6.596% due 01/25/2032		314		313
6.947% due 08/25/2031		503		502
Indymac Index Mortgage Loan Trust
5.189% due 01/25/2036		21,467		21,213
Indymac Loan Trust
5.145% due 07/25/2009		47		46
JPMorgan Alternative Loan Trust
4.935% due 05/25/2036		1,829		1,822
JPMorgan Chase Commercial Mortgage Securities Corp.
5.747% due 02/12/2049		100		103
JPMorgan Mortgage Trust
4.766% due 07/25/2035		176		172
4.898% due 02/25/2036		22,887		22,679
5.005% due 07/25/2035		48,426		48,358
LB Mortgage Trust
8.471% due 01/20/2017		20,634		22,670
LB-UBS Commercial Mortgage Trust
3.323% due 03/15/2027		8,508		8,478
5.969% due 03/15/2026		67		67
Lehman Brothers Floating Rate Commercial Mortgage Trust
5.108% due 09/15/2021		1,090		1,088
MASTR Adjustable Rate Mortgages Trust
3.786% due 11/21/2034		11,700		11,571
5.185% due 05/25/2034		168		167
6.165% due 10/25/2032		4,087		4,073
MASTR Asset Securitization Trust
5.500% due 09/25/2033		2,398		2,380
MASTR Seasoned Securities Trust
6.200% due 09/25/2017		26,245		26,557
6.500% due 08/25/2032		49,852		50,482
Mellon Residential Funding Corp.
5.378% due 11/15/2031		20,965		20,402
5.439% due 10/20/2029		14,060		13,659
5.468% due 12/15/2030		4,477		4,390
5.508% due 06/15/2030		738		729
Merrill Lynch Mortgage Investors, Inc.
4.910% due 12/25/2032		126		126
5.075% due 02/25/2036		88		84
Merrill Lynch Mortgage Trust
4.929% due 07/12/2034		7,303		7,282
MLCC Mortgage Investors, Inc.
4.250% due 10/25/2035		179,385		173,057
5.195% due 06/25/2028		4,699		4,642
5.408% due 03/15/2025		276		270
Morgan Stanley Capital I
5.088% due 10/15/2020		82,243		80,411
6.160% due 04/03/2014		2,543		2,560
6.170% due 10/03/2034		1,395		1,405
Morgan Stanley Dean Witter Capital I
5.500% due 04/25/2017		49		49
Nationslink Funding Corp.
5.592% due 11/10/2030		930		928
Nomura Asset Acceptance Corp.
7.000% due 02/19/2030		3,173		3,389
Pacific Collateralized Mortgage Obligation Trust
8.000% due 03/20/2018		44		44
Paine Webber CMO Trust
1359.500% due 08/01/2019 (b)		1		3
Prime Mortgage Trust
5.265% due 02/25/2019		3,209		3,206
5.265% due 02/25/2034		16,038		15,709
Provident Funding Mortgage Loan Trust
3.901% due 10/25/2035		15,758		15,725
4.449% due 04/25/2034		20,143		20,395
Prudential-Bache CMO Trust
8.400% due 03/20/2021		462		461
Prudential Home Mortgage Securities
7.500% due 03/25/2008		9		9
RAAC Series 2005-SP1
5.000% due 09/25/2034		10,696		10,689
Regal Trust IV
5.859% due 09/29/2031		1,517		1,511
Resecuritization Mortgage Trust
5.115% due 04/26/2021		1		1
Residential Accredit Loans, Inc.
4.965% due 09/25/2046		17,460		17,226
Residential Asset Mortgage Products, Inc.
5.035% due 07/25/2024		1,134		1,132
Residential Funding Mortgage Securities I, Inc.
6.500% due 03/25/2032		751		751
Salomon Brothers Mortgage Securities VII, Inc.
5.365% due 05/25/2032		197		196
7.425% due 12/25/2030		159		159
Santa Barbara Savings & Loan Association
9.500% due 11/20/2018		251		254
Sears Mortgage Securities
12.000% due 02/25/2014		77		77
Securitized Asset Sales, Inc.
7.511% due 11/26/2023		147		147
Sequoia Mortgage Trust
4.080% due 04/20/2035		51,093		50,821
5.299% due 07/20/2033		282		275
5.315% due 10/19/2026		427		417
Structured Adjustable Rate Mortgage Loan Trust
5.305% due 08/25/2034		580		578
5.450% due 01/25/2036		15,430		15,356
6.188% due 01/25/2035		295		286
Structured Asset Mortgage Investments, Inc.
5.035% due 03/25/2037		59		57
5.055% due 06/25/2036		2,676		2,543
5.085% due 05/25/2036		80		76
5.175% due 12/25/2035		5,622		5,330
5.215% due 07/19/2035		255		244
5.295% due 09/19/2032		14,213		13,822
5.315% due 03/19/2034		22		21
5.841% due 04/30/2030		2		2
6.438% due 05/25/2022		1,963		1,905
Structured Asset Securities Corp.
5.250% due 12/25/2034		10,189		10,043
5.331% due 10/25/2035		190		188
5.392% due 03/25/2033		11,533		11,341
6.039% due 02/25/2032		2,720		2,716
6.150% due 07/25/2032		1,561		1,556
6.848% due 05/25/2032		107		107
7.143% due 01/25/2032		2,552		2,545
Structured Mortgage Asset Residential Trust
6.950% due 07/25/2024		40		40
TBW Mortgage-Backed Pass-Through Certificates
4.975% due 01/25/2037		112		110
6.080% due 09/25/2036		5,706		5,710
Thornburg Mortgage Securities Trust
4.970% due 05/25/2046		20,241		20,132
4.985% due 09/25/2046		5,712		5,586
Union Planters Mortgage Finance Corp.
6.750% due 01/25/2028		4,000		4,079
6.800% due 01/25/2028		2,387		2,408
Wachovia Bank Commercial Mortgage Trust
5.118% due 09/15/2021		2,306		2,272
Washington Mutual, Inc.
4.208% due 06/25/2033		23,666		23,525
5.055% due 04/25/2045		35		35
5.125% due 11/25/2045		6,532		6,171
5.155% due 08/25/2045		452		449
5.155% due 10/25/2045		46,649		43,870
5.175% due 01/25/2045		25		24
5.182% due 11/25/2034		85		83
5.405% due 12/25/2027		1,947		1,862
5.483% due 02/27/2034		509		499
5.505% due 12/25/2027		31,219		29,456
5.733% due 05/25/2046		3,823		3,805
5.768% due 06/25/2046		51,509		49,450
5.788% due 02/25/2046		146		143
5.883% due 10/25/2046		1,375		1,345
5.988% due 11/25/2042		359		348
6.188% due 06/25/2042		2,380		2,269
6.188% due 08/25/2042		314		302
6.288% due 11/25/2046		2,589		2,555
Washington Mutual MSC Mortgage Pass-Through Certificates
3.946% due 06/25/2033		17,687		17,549
5.967% due 02/25/2033		171		170
7.225% due 05/25/2033		364		366
Wells Fargo Mortgage-Backed Securities Trust
3.541% due 09/25/2034		36,391		35,836
3.989% due 12/25/2034		594		588
4.323% due 07/25/2035		49,635		49,750
4.950% due 03/25/2036		250,984		248,324
5.218% due 03/25/2036		9,390		9,256
Total Mortgage-Backed Securities (Cost $3,544,011)				3,528,241
ASSET-BACKED SECURITIES 1.6%
Accredited Mortgage Loan Trust
4.915% due 02/25/2037		10,511		9,880
ACE Securities Corp.
4.915% due 06/25/2036		7,160		7,099
4.915% due 07/25/2036		14,582		14,422
4.935% due 12/25/2035		2,262		2,254
4.945% due 02/25/2036		3,412		3,398
Ameriquest Mortgage Securities, Inc.
5.295% due 10/25/2033		73		73
Amortizing Residential Collateral Trust
5.135% due 06/25/2032		337		330
5.155% due 07/25/2032		3		3
Argent Securities, Inc.
4.915% due 10/25/2036		11,026		10,825
4.925% due 05/25/2036		2,462		2,456
4.935% due 04/25/2036		3,702		3,694
4.945% due 03/25/2036		1,893		1,890
Asset-Backed Funding Certificates
4.925% due 10/25/2036		4,278		4,229
Asset-Backed Securities Corp. Home Equity
4.925% due 03/25/2036		390		389
4.925% due 07/25/2036		5,785		5,703
4.935% due 03/25/2036		152		152
4.945% due 05/25/2037		14,189		13,653
5.025% due 05/25/2035		72		72
5.140% due 09/25/2034		84		82
Bank One Issuance Trust
5.138% due 12/15/2010		30,150		30,161
Basic Asset-Backed Securities Trust
4.945% due 04/25/2036		1,517		1,514
Bear Stearns Asset-Backed Securities Trust
4.905% due 02/25/2037		10,484		10,276
4.925% due 05/25/2036		1,424		1,401
4.935% due 12/25/2036		14,470		14,178
4.945% due 12/25/2035		30		30
4.955% due 04/25/2036		8,739		8,673
5.015% due 01/25/2037		38,066		35,847
5.055% due 01/25/2047		749		728
5.065% due 09/25/2034		26		26
5.185% due 12/25/2034		11		10
5.195% due 10/25/2032		8,945		8,752
5.265% due 10/27/2032		3,422		3,384
5.500% due 06/25/2043		3,498		3,546
Brazos Student Finance Corp.
5.430% due 06/01/2023		3,985		3,990
Carmax Auto Owner Trust
5.328% due 06/16/2008		519		519
Carrington Mortgage Loan Trust
4.905% due 05/25/2036		4,400		4,362
4.915% due 08/25/2036		4,981		4,897
4.915% due 01/25/2037		157		154
4.985% due 02/25/2036		7,514		7,500
Cendant Mortgage Corp.
5.989% due 07/25/2043		2,432		2,415
Centex Home Equity
4.915% due 06/25/2036		232		231
Chase Credit Card Master Trust
5.138% due 07/15/2010		15,895		15,900
Chase Funding Mortgage Loan Asset-Backed Certificates
5.365% due 10/25/2031		22		22
5.505% due 08/25/2032		1,843		1,817
5.605% due 10/25/2032		127		123
CIT Group Home Equity Loan Trust
5.135% due 06/25/2033		12		11
Citibank Credit Card Issuance Trust
3.100% due 03/10/2010		20,000		19,942
5.045% due 02/07/2010		15,000		15,004
Citibank Credit Card Master Trust I
6.050% due 01/15/2010		5,121		5,124
Citigroup Mortgage Loan Trust, Inc.
4.915% due 11/25/2036		6,641		6,591
4.935% due 12/25/2036		981		958
4.935% due 05/25/2037 (p)		28,862		27,494
Community Program Loan Trust
4.500% due 10/01/2018		7,775		7,728
4.500% due 04/01/2029		26,000		24,364
Conseco Finance
5.478% due 05/15/2032		145		145
Countrywide Asset-Backed Certificates
4.895% due 01/25/2046		42,349		41,814
4.915% due 03/25/2037		25,642		25,028
4.915% due 05/25/2037		2,593		2,543
4.915% due 07/25/2037		160		155
4.915% due 08/25/2037		71,340		69,565
4.935% due 06/25/2036		5,529		5,507
4.935% due 07/25/2036		2,591		2,580
4.935% due 08/25/2036		1,667		1,662
4.945% due 06/25/2037		15,829		15,448
4.995% due 07/25/2036		1,161		1,160
5.025% due 02/25/2036		8,590		8,344
5.345% due 12/25/2031		3		3
Credit-Based Asset Servicing & Securitization LLC
4.925% due 03/25/2036		2,051		2,040
5.055% due 01/25/2037		154		148
5.415% due 04/25/2032		702		689
CS First Boston Mortgage Securities Corp.
5.485% due 01/25/2032		430		421
5.523% due 08/25/2032		1,615		1,567
5.565% due 07/25/2032		52		49
Delta Funding Home Equity Loan Trust
5.848% due 09/15/2029		213		208
Discover Card Master Trust I
5.402% due 10/16/2013		400		401
Equity One Asset-Backed Securities, Inc.
5.145% due 11/25/2032		163		160
Equivantage Home Equity Loan Trust
7.300% due 10/25/2025		3		3
Fieldstone Mortgage Investment Corp.
4.945% due 05/25/2036		3,862		3,823
First Alliance Mortgage Loan Trust
5.305% due 01/25/2025		10		10
5.709% due 03/20/2031		1,216		1,194
First Franklin Mortgage Loan Asset-Backed Certificates
4.895% due 07/25/2036		9,208		9,099
4.915% due 10/25/2036		21,534		21,078
4.915% due 11/25/2036		7,229		6,937
4.915% due 03/25/2037		12,455		12,029
4.935% due 03/25/2036		200		199
4.935% due 12/25/2036		12,005		11,538
4.945% due 02/25/2036		736		731
4.955% due 01/25/2036		14,271		14,200
5.235% due 12/25/2034		1,366		1,341
First USA Credit Card Master Trust
5.156% due 04/18/2011		20,000		20,009
FMAC Loan Receivables Trust
6.500% due 09/15/2020		39		33
7.900% due 04/15/2019		20		19
Ford Credit Auto Owner Trust
5.349% due 07/15/2008		2,753		2,756
Fremont Home Loan Trust
4.915% due 10/25/2036		10,686		10,556
5.035% due 01/25/2036		62		62
Green Tree Financial Corp.
6.240% due 11/01/2016		39		39
6.480% due 12/01/2030		24		24
6.870% due 04/01/2030		893		904
Greenpoint Manufactured Housing
7.270% due 06/15/2029		110		115
GSAMP Trust
4.905% due 08/25/2036		439		432
4.925% due 04/25/2036		332		332
4.935% due 01/25/2036		4,756		4,501
4.935% due 02/25/2036		2,754		2,741
4.955% due 11/25/2035		1,505		1,447
5.155% due 03/25/2034		784		782
GSR Mortgage Loan Trust
4.965% due 11/25/2030		35		35
HFC Home Equity Loan Asset-Backed Certificates
5.178% due 03/20/2036		13,010		12,312
5.239% due 01/20/2034		17,005		16,616
5.299% due 09/20/2033		36		35
Home Equity Asset Trust
4.925% due 05/25/2037		27,382		26,299
4.945% due 05/25/2036		9,594		9,514
5.465% due 11/25/2032		154		150
HSBC Asset Loan Obligation
4.925% due 12/25/2036		2,085		2,001
HSI Asset Securitization Corp. Trust
4.915% due 12/25/2036		75,128		72,381
4.945% due 12/25/2035		4,354		4,318
IMC Home Equity Loan Trust
7.116% due 07/25/2026		73		73
7.310% due 11/20/2028		46		46
7.500% due 04/25/2026		45		45
7.520% due 08/20/2028		32		31
Indymac Residential Asset-Backed Trust
4.905% due 08/25/2036		8,676		8,639
4.925% due 04/25/2037		157		154
4.955% due 03/25/2036		4,287		4,278
IXIS Real Estate Capital Trust
4.925% due 08/25/2036		6,894		6,849
JPMorgan Mortgage Acquisition Corp.
4.905% due 08/25/2036		7,029		6,913
4.915% due 07/25/2036		9,791		9,616
4.925% due 05/25/2037		20,997		20,111
4.935% due 03/25/2036		821		818
4.945% due 08/25/2036		19,967		19,415
4.955% due 10/25/2036		680		666
Lehman ABS Mortgage Loan Trust
4.955% due 06/25/2037		18,844		18,496
Lehman XS Trust
4.935% due 05/25/2046		209		207
4.945% due 04/25/2046		18,189		18,036
4.945% due 06/25/2046		16,430		16,214
4.945% due 08/25/2046		5,691		5,653
4.955% due 05/25/2046		14,843		14,676
Long Beach Mortgage Loan Trust
4.905% due 07/25/2036		10,269		10,080
4.925% due 05/25/2046		348		347
4.955% due 01/25/2046		531		529
5.005% due 02/25/2036		30,000		29,517
5.145% due 10/25/2034		4,796		4,615
MASTR Asset-Backed Securities Trust
4.915% due 03/25/2036		6,711		6,655
4.925% due 10/25/2036		1,111		1,104
4.945% due 01/25/2036		2,924		2,902
Merrill Lynch First Franklin Mortgage Loan Trust
4.925% due 07/25/2037		10,464		10,105
Merrill Lynch Mortgage Investors, Inc.
4.895% due 05/25/2037		3,222		3,178
4.925% due 03/25/2037		1,677		1,672
4.935% due 08/25/2036		915		902
4.935% due 02/25/2037		5,794		5,754
4.935% due 07/25/2037		28,111		27,327
4.985% due 02/25/2037		9,077		8,680
Mid-State Trust
6.340% due 10/15/2036		22,402		21,733
7.340% due 07/01/2035		986		1,055
7.791% due 03/15/2038		3,862		3,877
8.330% due 04/01/2030		20,478		20,782
Morgan Stanley ABS Capital I
4.905% due 04/25/2036		2,798		2,778
4.905% due 06/25/2036		81		80
4.925% due 03/25/2036		5,160		5,141
4.935% due 12/25/2035		1,340		1,331
4.935% due 03/25/2036		8,183		8,126
4.965% due 09/25/2036		200		186
Morgan Stanley Home Equity Loans
4.915% due 04/25/2036		5,973		5,926
4.915% due 12/25/2036		27,273		26,733
4.945% due 12/25/2035		890		885
Morgan Stanley IXIS Real Estate Capital Trust
4.915% due 11/25/2036		114		110
4.975% due 11/25/2036		200		188
MPC Natural Gas Funding Trust
6.200% due 03/15/2013		4,425		4,613
Nationstar Home Equity Loan Trust
4.925% due 03/25/2037		20,744		20,354
Nelnet Student Loan Trust
4.884% due 12/24/2018		253		252
4.894% due 12/22/2014		3,505		3,504
5.094% due 01/26/2015		859		859
5.174% due 07/25/2016		2,423		2,425
5.174% due 10/25/2016		1,084		1,085
5.182% due 09/25/2012		321		321
New Century Home Equity Loan Trust
4.925% due 05/25/2036		1,552		1,549
5.135% due 09/25/2035		43,088		41,157
Newcastle Mortgage Securities Trust
4.935% due 03/25/2036		2,498		2,480
Nomura Asset Acceptance Corp.
5.005% due 01/25/2036		3,998		3,777
NPF XII, Inc.
2.462% due 11/01/2003 (a)		49,000		228
Option One Mortgage Loan Trust
4.905% due 02/25/2037		4,185		4,049
4.935% due 01/25/2036		1,976		1,968
Ownit Mortgage Loan Asset-Backed Certificates
4.925% due 03/25/2037		6,982		6,897
Popular ABS Mortgage Pass-Through Trust
4.955% due 06/25/2047		40,885		39,666
PP&L Transition Bond Co. LLC
7.150% due 06/25/2009		470		477
Quest Trust
5.295% due 12/25/2033		929		732
5.425% due 06/25/2034		8		8
Renaissance Home Equity Loan Trust
5.215% due 08/25/2032		237		226
5.225% due 11/25/2034		177		174
Residential Asset Mortgage Products, Inc.
4.935% due 05/25/2036		4,625		4,567
5.015% due 11/25/2035		304		304
Residential Asset Securities Corp.
4.905% due 06/25/2036		8,038		7,984
4.915% due 09/25/2036		16,001		15,863
4.925% due 04/25/2036		9,554		9,483
4.935% due 03/25/2036		1,055		1,054
4.935% due 04/25/2036		3,726		3,717
4.935% due 11/25/2036		56		55
4.945% due 10/25/2036		21,933		21,444
Residential Funding Mortgage Securities II, Inc.
4.965% due 12/25/2035		9,472		9,387
Residential Mortgage Loan Trust
6.312% due 09/25/2029		16		16
SACO I, Inc.
4.925% due 05/25/2036		9,449		8,977
5.085% due 06/25/2035		2,821		2,680
5.115% due 12/25/2035		315		305
Salomon Brothers Mortgage Securities VII, Inc.
5.145% due 09/25/2028		1,784		1,756
5.165% due 03/25/2032		803		796
Saxon Asset Securities Trust
4.925% due 03/25/2036		195		194
5.135% due 01/25/2032		3		3
5.385% due 08/25/2032		889		880
Securitized Asset-Backed Receivables LLC Trust
4.925% due 03/25/2036		8,333		8,231
4.925% due 12/25/2036		159		149
SLM Student Loan Trust
5.064% due 04/25/2014		52,877		52,817
5.074% due 10/25/2016		1,988		1,989
5.074% due 07/25/2017		5,232		5,232
5.074% due 10/25/2018		2,410		2,388
5.084% due 01/25/2016		3,971		3,973
5.094% due 04/27/2015		2,222		2,222
Soundview Home Equity Loan Trust
4.905% due 11/25/2036		418		415
4.915% due 10/25/2036		1,465		1,437
4.925% due 06/25/2036		3,873		3,863
4.985% due 03/25/2036		3,244		3,195
Specialty Underwriting & Residential Finance
4.895% due 06/25/2037		119		117
4.925% due 02/25/2037		4,563		4,534
4.945% due 12/25/2036		6,840		6,792
Structured Asset Investment Loan Trust
5.565% due 04/25/2033		2,194		2,168
Structured Asset Securities Corp.
4.900% due 04/25/2035		33,704		32,942
4.915% due 02/25/2036		637		636
4.945% due 01/25/2037		29,422		28,424
5.155% due 01/25/2033		6,683		6,564
Washington Mutual Asset-Backed Certificates
4.915% due 01/25/2037		26,486		25,377
4.935% due 04/25/2036		3,210		3,191
Wells Fargo Home Equity Trust
5.105% due 10/25/2035		113		106
5.105% due 11/25/2035		42,792		41,287
5.115% due 12/25/2035		132,108		130,766
WFS Financial Owner Trust
3.590% due 10/19/2009		3,656		3,650
WMC Mortgage Loan Pass-Through Certificates
5.708% due 05/15/2030		2,949		2,936
5.928% due 10/15/2029		1,413		1,408
Total Asset-Backed Securities (Cost $1,829,042)				1,764,817
SOVEREIGN ISSUES 0.1%
Banque Centrale de Tunisie
7.375% due 04/25/2012		4,220		4,607
Canada Mortgage & Housing Corp.
2.950% due 06/02/2008		50		50
4.800% due 10/01/2010		100		102
China Development Bank
5.000% due 10/15/2015		29,300		28,947
Hydro Quebec
5.188% due 09/29/2049		5,600		5,104
7.500% due 04/01/2016		150		179
Italy Government International Bond
3.250% due 05/15/2009		160		160
4.500% due 01/21/2015		150		150
5.375% due 06/15/2033		50		51
Korea Development Bank
4.750% due 07/20/2009		300		298
5.080% due 10/31/2008		100		100
Korea Expressway Corp.
5.125% due 05/20/2015		100		98
Peru Government International Bond
9.125% due 01/15/2008		1,700		1,700
Province of Manitoba Canada
7.750% due 07/17/2016		200		244
Province of New Brunswick Canada
5.200% due 02/21/2017		125		131
Province of Nova Scotia Canada
5.125% due 01/26/2017		150		157
Province of Ontario Canada
5.125% due 07/17/2012		100		105
5.500% due 10/01/2008		150		151
Province of Quebec Canada
5.000% due 07/17/2009		100		102
Republic of Korea
8.875% due 04/15/2008		50		50
Russia Government International Bond
8.250% due 03/31/2010		867		901
South Africa Government International Bond
5.875% due 05/30/2022		100		102
6.500% due 06/02/2014		27,000		28,620
Total Sovereign Issues (Cost $69,896)				72,109
FOREIGN CURRENCY-DENOMINATED ISSUES 3.6%
American International Group, Inc.
4.875% due 03/15/2067	EUR	30,000		38,375
Atlas Reinsurance PLC
8.786% due 01/10/2010		3,000		4,451
Banque Centrale de Tunisie
7.500% due 08/06/2009		2,300		3,482
Bauhaus Securities Ltd.
4.925% due 10/30/2052		78		113
Brazil Notas do Tesouro Nacional Series F
10.000% due 01/01/2013	BRL	190,000		95,277
10.000% due 01/01/2017		1,518,624		715,737
Brazilian Government International Bond
10.250% due 01/10/2028		111,300		60,730
Brazilian Government International CPI Linked Bond
10.000% due 01/01/2012		4,714,676		2,414,209
BTM Curacao Holdings NV
1.570% due 11/29/2049	JPY	1,000,000		8,932
Citigroup, Inc.
4.250% due 02/25/2030	EUR	60,000		68,022
Danske Bank A/S
4.878% due 02/28/2049		8,000		10,406
5.684% due 12/29/2049	GBP	16,400		30,011
Ford Motor Credit Co. LLC
5.250% due 06/16/2008	EUR	15,000		10,972
6.750% due 01/14/2008		8,000		11,681
Gaz Capital for Gazprom
5.875% due 06/01/2015		20,000		27,519
General Electric Capital Corp.
4.625% due 09/15/2066		10,000		13,091
5.500% due 09/15/2067		151,800		215,507
HBOS PLC
4.875% due 03/29/2049		14,090		18,693
Italy Buoni Poliennali Del Tesoro
1.650% due 09/15/2008 (f)		41,151		60,150
KBC Bank Funding Trust IV
8.220% due 11/29/2049		5,000		7,683
Lloyds TSB Capital
7.375% due 12/29/2049		26,000		39,564
Mexican Bonos
7.250% due 12/15/2016	MXN	275,000		23,765
Mizuho Finance Cayman Ltd.
1.879% due 01/01/2049	JPY	1,000,000		9,072
New Zealand Government CPI Linked Bond
4.500% due 02/15/2016	NZD	81,500		82,337
Nordic Telephone Co. Holdings ApS
6.675% due 11/30/2013	EUR	11,308		16,220
6.925% due 11/30/2014		13,540		19,495
Norinchukin Finance Ltd.
5.625% due 09/28/2016	GBP	25,000		48,353
Poland Government International Bond
5.750% due 03/24/2010	PLN	54,490		21,935
Pylon Ltd.
6.224% due 12/29/2008	EUR	250		365
Sumitomo Mitsui Banking Corp.
1.340% due 06/02/2049	JPY	1,000,000		8,938
1.795% due 12/31/2049		1,100,000		9,930
Total Foreign Currency-Denominated Issues (Cost $4,036,479)				4,095,015
SHORT-TERM INSTRUMENTS 5.1%
Certificates of Deposit 2.0%
Abbey National Treasury Services PLC
5.175% due 07/02/2008	$	386,400		386,523
Bank of Ireland
5.282% due 01/15/2010		34,200		34,259
Barclays Bank PLC
4.619% due 03/17/2008		125,870		125,897
Calyon Financial, Inc.
5.204% due 01/16/2009		317,800		317,334
5.266% due 06/29/2010		43,140		42,994
Capital One Bank
5.140% due 02/23/2009		100,000		96,553
Capmark Bank
4.250% due 11/05/2019		100		99
Fortis Bank NY
4.745% due 04/28/2008		1,000		1,000
4.767% due 06/30/2008		304,730		304,464
5.148% due 09/30/2008		187,070		186,697
HSBC Bank USA N.A.
5.426% due 07/28/2008		74,800		74,890
Lehman Brothers Bank FSB
3.967% due 01/28/2016		100		99
Nordea Bank Finland PLC
4.991% due 05/28/2008		154,800		154,844
Skandinaviska Enskilda Banken AB
5.330% due 02/04/2008		8,600		8,600
5.340% due 08/21/2008		7,000		6,997
5.350% due 02/13/2009		238,460		238,246
Societe Generale NY
4.815% due 03/25/2008		104,730		103,560
Unicredito Italiano NY
5.062% due 05/29/2008		141,400		141,384
				2,224,440
Commercial Paper 1.4%
Abbey National Treasury Services PLC
4.250% due 01/07/2008		28,500		28,483
4.570% due 01/04/2008		33,500		33,492
4.680% due 02/01/2008		6,900		6,873
4.820% due 01/03/2008		300		300
ABN AMRO N.A. Finance
4.700% due 02/01/2008		15,000		14,941
4.850% due 03/10/2008		4,500		4,459
ANZ National International Ltd.
4.800% due 02/01/2008		39,300		39,143
Bank of America Corp.
4.735% due 03/20/2008		70,000		69,269
Bank of Scotland PLC
5.050% due 01/28/2008		7,000		6,975
Barclays U.S. Funding Corp.
4.680% due 03/03/2008		29,800		29,560
4.810% due 01/25/2008		6,600		6,580
4.925% due 01/24/2008		19,600		19,541
5.005% due 03/17/2008		26,100		25,839
5.075% due 01/18/2008		16,500		16,463
5.085% due 03/14/2008		8,300		8,220
5.110% due 01/17/2008		5,800		5,788
5.180% due 01/09/2008		10,100		10,090
Caisse d’Amortissement de la Dette Sociale
4.740% due 02/01/2008		8,500		8,466
Calyon Financial, Inc.
5.010% due 01/18/2008		8,600		8,581
CBA (de) Finance
4.750% due 03/04/2008		3,800		3,769
4.870% due 02/19/2008		1,800		1,788
5.000% due 01/14/2008		5,200		5,191
Citibank N.A.
5.900% due 01/25/2008		50,000		49,812
Cox Communications, Inc.
6.002% due 01/15/2008		16,700		16,696
Danske Corp.
4.740% due 02/08/2008		9,400		9,354
DnB NORBank ASA
4.930% due 03/04/2008		9,000		8,926
5.050% due 01/25/2008		7,300		7,276
5.080% due 01/04/2008		5,000		4,999
Fannie Mae
4.270% due 03/06/2008		24,300		24,094
Freddie Mac
4.306% due 01/28/2008		700		698
General Electric Capital Corp.
3.750% due 01/02/2008		1,300		1,300
5.155% due 02/29/2008		23,800		23,602
HSBC Bank USA N.A.
4.740% due 01/25/2008		1,700		1,695
Intesa Funding LLC
4.950% due 01/04/2008		5,000		4,999
5.010% due 01/22/2008		9,000		8,975
National Australia Bank Ltd.
4.240% due 01/04/2008		49,700		49,688
4.260% due 01/17/2008		1,881		1,878
Nordea N.A., Inc.
5.308% due 04/09/2009		432,700		432,700
Rabobank Financial Co.
4.430% due 01/04/2008		20,400		20,395
Royal Bank of Scotland Group PLC
4.700% due 02/26/2008		400		397
4.720% due 01/22/2008		14,400		14,362
4.720% due 02/29/2008		7,600		7,542
4.730% due 02/08/2008		46,900		46,672
4.740% due 01/28/2008		13,700		13,653
4.750% due 03/17/2008		3,100		3,069
4.770% due 02/07/2008		3,200		3,185
4.780% due 02/07/2008		33,200		33,041
4.800% due 03/25/2008		10,700		10,581
4.920% due 01/22/2008		500		499
4.940% due 03/20/2008		28,100		27,806
5.000% due 01/18/2008		3,600		3,592
5.030% due 01/22/2008		2,100		2,094
5.265% due 03/26/2008		62,700		62,682
San Paolo U.S. Financial Co.
4.850% due 01/15/2008		7,765		7,751
4.900% due 01/15/2008		3,200		3,194
5.000% due 01/15/2008		1,500		1,497
Skandinaviska Enskilda Banken AB
4.700% due 01/18/2008		1,400		1,397
4.730% due 02/08/2008		37,400		37,218
4.770% due 03/20/2008		3,900		3,859
4.880% due 01/23/2008		4,100		4,088
4.980% due 01/18/2008		9,100		9,080
5.125% due 01/11/2008		7,700		7,690
Swedbank AB
4.700% due 02/04/2008		26,000		25,888
4.730% due 02/01/2008		4,500		4,482
4.750% due 01/11/2008		1,500		1,498
4.750% due 04/01/2008		1,900		1,877
4.850% due 01/17/2008		3,000		2,994
4.920% due 01/25/2008		3,100		3,090
5.000% due 01/11/2008		1,200		1,199
5.000% due 01/18/2008		2,500		2,494
5.015% due 01/24/2008		15,200		15,153
5.130% due 01/18/2008		12,000		11,973
UBS Finance Delaware LLC
4.000% due 01/02/2008		17,900		17,900
4.690% due 01/28/2008		12,400		12,358
5.020% due 02/29/2008		800		794
Unicredito Italiano SpA
4.810% due 02/15/2008		23,900		23,760
4.890% due 01/28/2008		28,750		28,648
4.930% due 03/19/2008		6,300		6,235
4.940% due 03/17/2008		18,100		17,919
5.140% due 01/18/2008		13,900		13,868
5.220% due 01/04/2008		2,400		2,399
Westpac Banking Corp.
4.670% due 02/01/2008		9,900		9,861
				1,530,237
Repurchase Agreements 1.5%
Fixed Income Clearing Corp.
2.250% due 01/02/2008		1,374,000		1,374,000
(Dated 12/31/2007. Collateralized by Fannie Mae 3.375% - 4.625% due 12/15/2008 - 12/15/2009 valued at $30,472; Federal Home Loan Bank 1.000% - 5.000% due 12/08/2008 - 01/08/2010 valued at $669,180; and Freddie Mac 3.375% - 5.400% due 01/16/2009 - 11/30/2009 valued at $701,836. Repurchase proceeds are $1,374,172.)
3.900% due 01/02/2008		314,995		314,995
(Dated 12/31/2007. Collateralized by Fannie Mae 0.000% due 01/31/2008 - 02/27/2008 valued at $119,500; Federal Agricultural Mortgage Corp. 0.000% due 02/14/2008 valued at $49,000; Federal Home Loan Bank 0.000% - 5.125% due 01/25/2008 - 03/14/2008 valued at $125,898; and Freddie Mac 0.000% due 01/31/2008 valued at $26,899. Repurchase proceeds are $315,063.)
Lehman Brothers, Inc.
1.000% due 01/02/2008		5,200		5,200
(Dated 12/31/2007. Collateralized by U.S. Treasury Inflation Protected Securities 3.625% - 3.875% due 01/15/2009 - 04/15/2028 valued at $5,231. Repurchase proceeds are $5,200.)
				1,694,195
U.S. Treasury Bills 0.2%
3.004% due 02/28/2008 - 03/13/2008 (e)(g)(h)(l)		251,585		249,386
Total Short-Term Instruments (Cost $5,704,316)				5,698,258
Purchased Options (n) 1.8% (Cost $452,389)				2,035,889
Total Investments 112.1% (Cost $124,124,684)			$	126,247,454
Written Options (o) (1.4%) (Premiums $481,234)				(1,589,802	)
Other Assets and Liabilities (Net) (10.7%)				(12,047,543	)
Net Assets (j) 100.0%			$	112,610,109

Notes to Schedule of Investments (amounts in thousands*, except number of contracts):

* A zero balance may reflect actual amounts rounding to less than one thousand.

(a) Security is in default.

(b) Interest only security.

(c) Principal only security.

(d) Payment in-kind bond security.

(e) Coupon represents a weighted average rate.

(f) Principal amount of security is adjusted for inflation.

(g) Securities with an aggregate market value of $83,270 have been pledged as collateral for swap and swaption contracts on December 31, 2007.

(h) Securities with an aggregate market value of $15,730 have been pledged as collateral for delayed-delivery securities on December 31, 2007.

(i) Securities with an aggregate market value of $529,497 have been pledged as collateral for delayed-delivery mortgage-backed securities on December 31, 2007.

(j) As of December 31, 2007, portfolio securities with an aggregate value of $1,307,858 and derivative instruments with an aggregate depreciation of ($3,137) were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(k) The average amount of borrowings outstanding during the period ended December 31, 2007 was $1,809,419 at a weighted average interest rate of 5.270%. On December 31, 2007, securities valued at $1,784,034 were pledged as collateral for reverse repurchase agreements.

(l) Securities with an aggregate market value of $148,261 and cash of $622,905 have been segregated with the custodian to cover margin requirements for the following open futures contracts on December 31, 2007:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Eurodollar December Futures	Long	12/2008	208,695	$	811,401
90-Day Eurodollar December Futures	Long	12/2009	358		1,537
90-Day Eurodollar June Futures	Long	06/2008	168,913		428,222
90-Day Eurodollar March Futures	Long	03/2009	54,700		142,288
90-Day Eurodollar March Futures	Long	03/2010	358		1,419
90-Day Eurodollar September Futures	Long	09/2008	124,169		465,174
U.S. Treasury 2-Year Note March Futures	Short	03/2008	22,104		(18,465	)
U.S. Treasury 5-Year Note March Futures	Short	03/2008	38,677		(18,533	)
U.S. Treasury 10-Year Note March Futures	Long	03/2008	17,660		13,465
U.S. Treasury 30-Year Bond March Futures	Short	03/2008	37		(42	)
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2008	16,016		49,661
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2008	54,770		50,490
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2009	10,737		30,817
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2008	33,093		24,129
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2009	28,179		83,471
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2008	31,374		66,696
				$	2,131,730

(m) Swap agreements outstanding on December 31, 2007:

Credit Default Swaps on Securities

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Bank of America	American International Group, Inc. 0.000% convertible until 11/09/2031	Sell	0.195	%	03/20/2010	$	50,000	$	(480	)
Bank of America	BHP Billiton Finance Ltd. 5.125% due 03/29/2012	Buy	(0.135	%)	03/20/2012		10,000		178
Bank of America	Canadian Natural Resources Ltd. 5.450% due 10/01/2012	Buy	(0.380	%)	12/20/2012		10,000		139
Bank of America	CNA Financial Corp. 5.850% due 12/15/2014	Buy	(0.690	%)	12/20/2014		10,600		145
Bank of America	General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.193	%	03/20/2010		50,000		(378	)
Bank of America	General Motors Corp. 7.125% due 07/15/2013	Sell	4.500	%	12/20/2012		30,300		(2,611	)
Bank of America	General Motors Corp. 7.125% due 07/15/2013	Sell	5.150	%	12/20/2012		15,000		(955	)
Bank of America	General Motors Corp. 7.125% due 07/15/2013	Sell	5.500	%	12/20/2012		10,000		(516	)
Bank of America	General Motors Corp. 7.125% due 07/15/2013	Sell	5.550	%	12/20/2012		15,000		(748	)
Bank of America	General Motors Corp. 7.125% due 07/15/2013	Sell	6.450	%	12/20/2012		10,000		(187	)
Bank of America	Glitnir Banki HF floating rate based on 3-Month USD-LIBOR plus 0.260% due 04/20/2010	Buy	(0.170	%)	06/20/2010		50,000		2,468
Bank of America	GMAC LLC 7.000% due 02/01/2012	Sell	0.550	%	03/20/2008		11,000		(92	)
Bank of America	Macy’s Retail Holdings, Inc. 4.800% due 07/15/2009	Buy	(0.190	%)	09/20/2009		5,000		45
Bank of America	PPL Energy Supply LLC 6.400% due 11/01/2011	Buy	(0.435	%)	12/20/2011		15,000		102
Bank of America	Qwest Capital Funding, Inc. 7.250% due 02/15/2011	Sell	4.750	%	09/20/2010		5,000		306
Bank of America	RadioShack Corp. 7.375% due 05/15/2011	Buy	(1.250	%)	06/20/2011		10,700		126
Bank of America	Ryland Group, Inc. 5.375% due 06/01/2008	Buy	(0.370	%)	06/20/2008		2,500		38
Bank of America	Yum! Brands, Inc. 7.650% due 05/15/2008	Buy	(0.080	%)	06/20/2008		3,200		0
Barclays Bank PLC	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	0.980	%	01/20/2012		15,000		135
Barclays Bank PLC	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.620	%	03/20/2013		20,900		677
Barclays Bank PLC	Cardinal Health, Inc. 5.800% due 10/15/2016	Buy	(0.420	%)	12/20/2016		13,000		20
Barclays Bank PLC	CitiFinancial, Inc. 6.625% due 06/01/2015	Buy	(0.145	%)	06/20/2015		11,000		416
Barclays Bank PLC	CNA Financial Corp. 6.000% due 08/15/2011	Buy	(0.295	%)	09/20/2011		15,000		206
Barclays Bank PLC	Daimler Finance N.A. LLC 5.750% due 09/08/2011	Buy	(0.535	%)	09/20/2011		15,000		(66	)
Barclays Bank PLC	Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	4.150	%	09/20/2012		10,000		(782	)
Barclays Bank PLC	Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	5.800	%	09/20/2012		4,100		(122	)
Barclays Bank PLC	General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.620	%	03/20/2011		32,500		37
Barclays Bank PLC	General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.640	%	12/20/2012		33,800		39
Barclays Bank PLC	General Motors Corp. 7.125% due 07/15/2013	Sell	4.850	%	12/20/2012		18,200		(1,348	)
Barclays Bank PLC	General Motors Corp. 7.125% due 07/15/2013	Sell	5.070	%	12/20/2012		10,000		(665	)
Barclays Bank PLC	GMAC LLC 6.875% due 08/28/2012	Sell	4.750	%	09/20/2008		25,000		(511	)
Barclays Bank PLC	Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.920	%	09/20/2012		5,000		55
Barclays Bank PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.370	%	03/20/2009		4,440		(26	)
Barclays Bank PLC	iStar Financial, Inc. 5.150% due 03/01/2012	Buy	(0.400	%)	03/20/2012		10,000		1,273
Barclays Bank PLC	Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	0.190	%	09/20/2008		29,200		(292	)
Barclays Bank PLC	Merrill Lynch & Co., Inc. 5.000% due 01/15/2015	Sell	0.920	%	09/20/2012		5,000		(74	)
Barclays Bank PLC	Morgan Stanley 6.600% due 04/01/2012	Sell	0.920	%	09/20/2012		5,000		(11	)
Barclays Bank PLC	Panama Government International Bond 8.875% due 09/30/2027	Sell	0.260	%	12/20/2008		12,000		(22	)
Barclays Bank PLC	Pemex Project Funding Master Trust 9.500% due 09/15/2027	Sell	0.290	%	12/20/2008		29,000		5
Barclays Bank PLC	PSEG Power LLC 5.500% due 12/01/2015	Buy	(0.520	%)	12/20/2015		8,000		216
Barclays Bank PLC	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.275	%	05/20/2009		17,000		(77	)
Barclays Bank PLC	Sealed Air Corp. 6.950% due 05/15/2009	Buy	(0.200	%)	06/20/2009		10,500		10
Barclays Bank PLC	SLM Corp. 5.125% due 08/27/2012	Sell	3.050	%	03/20/2009		25,000		2
Barclays Bank PLC	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.710	%	12/20/2008		9,000		(28	)
Barclays Bank PLC	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.720	%	12/20/2008		800		(2	)
Barclays Bank PLC	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.630	%	03/20/2009		14,600		(71	)
Barclays Bank PLC	XL Capital Europe PLC 6.500% due 01/15/2012	Buy	(0.310	%)	03/20/2012		10,600		414
Bear Stearns & Co., Inc.	BellSouth Corp. 4.200% due 09/15/2009	Buy	(0.140	%)	09/20/2009		5,000		0
Bear Stearns & Co., Inc.	CBS Corp. 5.625% due 08/15/2012	Buy	(0.590	%)	09/20/2012		15,000		23
Bear Stearns & Co., Inc.	CNA Financial Corp. 6.000% due 08/15/2011	Buy	(0.440	%)	09/20/2011		10,300		89
Bear Stearns & Co., Inc.	Comcast Corp. 5.300% due 01/15/2014	Buy	(0.390	%)	03/20/2014		15,000		177
Bear Stearns & Co., Inc.	Comcast Corp. 5.900% due 03/15/2016	Buy	(0.535	%)	03/20/2016		15,000		175
Bear Stearns & Co., Inc.	CSX Corp. 6.750% due 03/15/2011	Buy	(0.165	%)	03/20/2011		10,600		81
Bear Stearns & Co., Inc.	Daimler Finance N.A. LLC 4.875% due 06/15/2010	Buy	(0.520	%)	06/20/2010		10,000		(36	)
Bear Stearns & Co., Inc.	Daimler Finance N.A. LLC 5.875% due 03/15/2011	Buy	(0.520	%)	03/20/2011		10,000		(37	)
Bear Stearns & Co., Inc.	DaimlerChrysler N.A. Holding Corp. 5.875% due 03/15/2011	Buy	(0.655	%)	03/20/2011		10,000		(79	)
Bear Stearns & Co., Inc.	GATX Financial Corp. 6.273% due 06/15/2011	Buy	(0.220	%)	06/20/2011		10,500		105
Bear Stearns & Co., Inc.	General Mills, Inc. 6.000% due 02/15/2012	Buy	(0.180	%)	03/20/2012		10,400		80
Bear Stearns & Co., Inc.	General Motors Corp. 7.125% due 07/15/2013	Sell	1.810	%	09/20/2008		11,700		(208	)
Bear Stearns & Co., Inc.	Goldman Sachs Group, Inc. floating rate based on 3-Month USD-LIBOR plus 0.450% due 03/22/2016	Buy	(0.330	%)	03/20/2016		10,000		181
Bear Stearns & Co., Inc.	H.J. Heinz Finance Co. 6.000% due 03/15/2012	Buy	(0.390	%)	03/20/2012		15,400		(68	)
Bear Stearns & Co., Inc.	H.J. Heinz Finance Co. 6.000% due 03/15/2012	Buy	(0.370	%)	03/20/2012		8,200		(30	)
Bear Stearns & Co., Inc.	HSBC Finance Corp. floating rate based on 3-Month USD-LIBOR plus 0.430% due 06/01/2016	Buy	(0.220	%)	06/20/2016		10,000		126
Bear Stearns & Co., Inc.	Johnson Controls, Inc. 5.500% due 01/15/2016	Buy	(0.500	%)	03/20/2016		20,000		(18	)
Bear Stearns & Co., Inc.	Kraft Foods, Inc. 5.625% due 11/01/2011	Buy	(0.160	%)	12/20/2011		10,000		104
Bear Stearns & Co., Inc.	Kraft Foods, Inc. 5.625% due 11/01/2011	Buy	(0.150	%)	12/20/2011		10,000		107
Bear Stearns & Co., Inc.	Kraft Foods, Inc. 6.250% due 06/01//2012	Buy	(0.170	%)	06/20/2012		10,400		127
Bear Stearns & Co., Inc.	Loews Corp. 5.250% due 03/15/2016	Buy	(0.300	%)	03/20/2016		9,800		68
Bear Stearns & Co., Inc.	Loews Corp. 5.250% due 03/15/2016	Buy	(0.280	%)	03/20/2016		20,000		166
Bear Stearns & Co., Inc.	Maytag Corp. 5.000% due 05/15/2015	Buy	(0.460	%)	06/20/2015		10,000		22
Bear Stearns & Co., Inc.	Morgan Stanley floating rate based on 3-Month USD-LIBOR plus 0.480% due 10/15/2015	Buy	(0.285	%)	12/20/2015		10,000		406
Bear Stearns & Co., Inc.	ABX Financing Co. 5.750% due 10/15/2016	Buy	(0.530	%)	12/20/2016		10,000		(24	)
Bear Stearns & Co., Inc.	ONEOK Partners LP 6.150% due 10/01/2016	Buy	(0.660	%)	12/20/2016		10,200		(10	)
Bear Stearns & Co., Inc.	Panama Government International Bond 8.875% due 09/30/2027	Sell	1.230	%	02/20/2017		10,000		(163	)
Bear Stearns & Co., Inc.	PMI Group, Inc. 6.000% due 09/15/2016	Buy	(0.460	%)	09/20/2016		9,500		1,298
Bear Stearns & Co., Inc.	Ryder System, Inc. 5.950% due 05/02/2011	Buy	(0.270	%)	06/20/2011		5,300		59
Bear Stearns & Co., Inc.	Viacom, Inc. 5.750% due 04/30/2011	Buy	(0.470	%)	06/20/2011		10,000		6
BNP Paribas Bank	Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	4.450	%	06/20/2011		10,000		(578	)
BNP Paribas Bank	General Motors Corp. 7.125% due 07/15/2013	Sell	4.800	%	12/20/2012		7,200		(546	)
BNP Paribas Bank	GMAC LLC 6.875% due 08/28/2012	Sell	0.560	%	03/20/2008		10,000		(83	)
BNP Paribas Bank	Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.830	%	09/20/2012		7,000		50
BNP Paribas Bank	HSBC Finance Corp. floating rate based on 3-Month USD-LIBOR plus 0.250% due 01/15/2014	Buy	(0.165	%)	12/20/2013		15,000		758
Citibank N.A.	CNA Financial Corp. 5.850% due 12/15/2014	Buy	(0.470	%)	12/20/2014		10,200		272
Citibank N.A.	Delhaize America, Inc. 9.000% due 04/15/2031	Sell	0.130	%	03/20/2008		10,000		(1	)
Citibank N.A.	El Paso Corp. 7.875% due 06/15/2012	Sell	0.210	%	03/20/2008		10,000		(8	)
Citibank N.A.	Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	5.800	%	09/20/2012		10,000		(298	)
Citibank N.A.	General Motors Corp. 7.125% due 07/15/2013	Sell	4.600	%	12/20/2012		6,400		(529	)
Citibank N.A.	General Motors Corp. 7.125% due 07/15/2013	Sell	4.630	%	12/20/2012		7,700		(629	)
Citibank N.A.	General Motors Corp. 7.125% due 07/15/2013	Sell	4.950	%	12/20/2012		15,000		(1,059	)
Citibank N.A.	General Motors Corp. 7.125% due 07/15/2013	Sell	5.250	%	12/20/2012		10,000		(602	)
Citibank N.A.	General Motors Corp. 7.125% due 07/15/2013	Sell	5.450	%	12/20/2012		10,000		(533	)
Citibank N.A.	General Motors Corp. 7.125% due 07/15/2013	Sell	5.900	%	12/20/2012		25,000		(943	)
Citibank N.A.	GMAC LLC 6.875% due 08/28/2012	Sell	4.600	%	09/20/2008		25,000		(538	)
Citibank N.A.	Marriott International, Inc. 4.625% due 06/15/2012	Buy	(0.260	%)	06/20/2012		15,000		216
Citibank N.A.	Newell Rubbermaid, Inc. 4.000% due 05/01/2010	Buy	(0.130	%)	06/20/2010		14,000		16
Citibank N.A.	Reynolds American, Inc. 7.625% due 06/01/2016	Sell	0.150	%	03/20/2008		10,000		1
Citibank N.A.	Williams Cos., Inc. 7.125% due 09/01/2011	Sell	0.230	%	03/20/2008		10,000		2
Credit Suisse USA, Inc.	Avon Products, Inc. 5.125% due 01/15/2011	Buy	(0.160	%)	03/20/2011		10,000		21
Credit Suisse USA, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	2.090	%	05/20/2016		10,000		579
Credit Suisse USA, Inc.	CenterPoint Energy, Inc. 5.875% due 06/01/2008	Buy	(0.170	%)	06/20/2008		10,300		1
Credit Suisse USA, Inc.	CVS Caremark Corp. 5.750% due 08/15/2011	Buy	(0.250	%)	09/20/2011		10,200		20
Credit Suisse USA, Inc.	Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	1.080	%	03/20/2008		10,000		(68	)
Credit Suisse USA, Inc.	Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	4.400	%	09/20/2008		10,000		(117	)
Credit Suisse USA, Inc.	GMAC LLC 6.875% due 08/28/2012	Sell	0.950	%	03/20/2008		10,000		(73	)
Credit Suisse USA, Inc.	HCP, Inc. 5.950% due 09/15/2011	Buy	(0.530	%)	09/20/2011		7,350		170
Credit Suisse USA, Inc.	John Deere Capital Corp. 5.650% due 07/25/2011	Buy	(0.140	%)	09/20/2011		9,000		53
Credit Suisse USA, Inc.	Kaupthing Bank HF 5.750% due 10/04/2011	Buy	(0.550	%)	12/20/2011		20,000		1,629
Credit Suisse USA, Inc.	Macy’s Retail Holdings, Inc. 4.800% due 07/15/2009	Buy	(0.160	%)	09/20/2009		10,000		96
Credit Suisse USA, Inc.	Merrill Lynch & Co., Inc. 5.000% due 01/15/2015	Sell	0.880	%	09/20/2012		5,000		(82	)
Credit Suisse USA, Inc.	Mexico Government International Bond 7.500% due 04/08/2033	Sell	0.220	%	03/20/2009		2,200		0
Credit Suisse USA, Inc.	Multiple Reference Entities of Gazprom	Sell	1.000	%	11/20/2008		34,600		(44	)
Credit Suisse USA, Inc.	Packaging Corp. of America 5.750% due 08/01/2013	Buy	(0.940	%)	09/20/2013		10,000		(162	)
Credit Suisse USA, Inc.	Panama Government International Bond 8.875% due 09/30/2027	Sell	0.300	%	02/20/2009		500		(1	)
Credit Suisse USA, Inc.	Panama Government International Bond 8.875% due 09/30/2027	Sell	0.270	%	03/20/2009		8,600		(20	)
Credit Suisse USA, Inc.	Panama Government International Bond 8.875% due 09/30/2027	Sell	1.200	%	02/20/2017		14,400		(267	)
Credit Suisse USA, Inc.	Qwest Capital Funding, Inc. 7.250% due 02/15/2011	Sell	4.160	%	09/20/2010		3,000		138
Credit Suisse USA, Inc.	Qwest Capital Funding, Inc. 7.250% due 02/15/2011	Sell	4.170	%	09/20/2010		5,000		232
Credit Suisse USA, Inc.	Qwest Capital Funding, Inc. 7.250% due 02/15/2011	Sell	4.650	%	09/20/2010		2,000		117
Deutsche Bank AG	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	0.980	%	01/20/2012		7,500		67
Deutsche Bank AG	Chrysler Financial 9.360% due 08/03/2012	Sell	5.050	%	09/20/2012		6,000		80
Deutsche Bank AG	Citigroup, Inc. 6.125% due 11/21/2017	Buy	(0.800	%)	12/20/2017		30,000		(61	)
Deutsche Bank AG	Countrywide Financial Corp. 6.250% due 05/15/2016	Buy	(0.710	%)	06/20/2016		26,000		9,967
Deutsche Bank AG	E.I. Du Pont De Nemours & Co. 5.250% due 12/15/2016	Buy	(0.210	%)	12/20/2016		10,000		110
Deutsche Bank AG	Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	4.760	%	06/20/2011		10,000		(502	)
Deutsche Bank AG	Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	4.770	%	06/20/2011		10,000		(499	)
Deutsche Bank AG	Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	4.830	%	06/20/2011		10,000		(485	)
Deutsche Bank AG	Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	4.920	%	06/20/2011		10,000		(463	)
Deutsche Bank AG	Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	5.020	%	06/20/2011		10,000		(438	)
Deutsche Bank AG	Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	4.620	%	09/20/2011		25,000		(1,387	)
Deutsche Bank AG	Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	3.850	%	09/20/2012		10,000		(870	)
Deutsche Bank AG	Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	5.650	%	09/20/2012		3,500		(120	)
Deutsche Bank AG	Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	5.750	%	09/20/2012		10,000		(313	)
Deutsche Bank AG	Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	5.850	%	09/20/2012		10,000		(283	)
Deutsche Bank AG	General Motors Corp. 7.125% due 07/15/2013	Sell	4.500	%	12/20/2012		6,400		(552	)
Deutsche Bank AG	General Motors Corp. 7.125% due 07/15/2013	Sell	4.600	%	12/20/2012		14,600		(1,208	)
Deutsche Bank AG	General Motors Corp. 7.125% due 07/15/2013	Sell	5.010	%	12/20/2012		10,000		(685	)
Deutsche Bank AG	General Motors Corp. 7.125% due 07/15/2013	Sell	5.150	%	12/20/2012		15,000		(955	)
Deutsche Bank AG	General Motors Corp. 7.125% due 07/15/2013	Sell	5.450	%	12/20/2012		25,000		(1,332	)
Deutsche Bank AG	General Motors Corp. 7.125% due 07/15/2013	Sell	5.500	%	12/20/2012		10,000		(516	)
Deutsche Bank AG	General Motors Corp. 7.125% due 07/15/2013	Sell	6.550	%	12/20/2012		15,000		(228	)
Deutsche Bank AG	General Motors Corp. 7.125% due 07/15/2013	Sell	6.660	%	12/20/2012		10,000		(114	)
Deutsche Bank AG	Glitnir Banki HF floating rate based on 3-Month USD-LIBOR plus 0.470% due 01/18/2012	Buy	(0.365	%)	03/20/2012		20,000		1,233
Deutsche Bank AG	GMAC LLC 6.875% due 08/28/2012	Sell	3.700	%	09/20/2008		15,000		(418	)
Deutsche Bank AG	GMAC LLC 6.875% due 08/28/2012	Sell	4.000	%	09/20/2012		10,000		(896	)
Deutsche Bank AG	Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.065	%	03/20/2008		200,000		(309	)
Deutsche Bank AG	Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.070	%	03/20/2008		100,000		(153	)
Deutsche Bank AG	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.420	%	12/20/2008		17,000		(59	)
Deutsche Bank AG	JC Penney Corp., Inc. 8.000% due 03/01/2010	Buy	(0.270	%)	03/20/2010		17,500		258
Deutsche Bank AG	Kaupthing Bank HF 5.750% due 10/04/2011	Buy	(0.530	%)	12/20/2011		10,000		821
Deutsche Bank AG	Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	0.160	%	06/20/2008		50,000		(346	)
Deutsche Bank AG	Lennar Corp. 5.950% due 10/17/2011	Buy	(0.785	%)	12/20/2011		9,000		1,480
Deutsche Bank AG	Morgan Stanley 6.600% due 04/01/2012	Sell	0.075	%	03/20/2008		50,000		(116	)
Deutsche Bank AG	Nationwide Health Properties, Inc. 6.500% due 07/15/2011	Buy	(0.620	%)	09/20/2011		13,600		134
Deutsche Bank AG	Panama Government International Bond 8.875% due 09/30/2027	Sell	0.250	%	12/20/2008		9,800		(19	)
Deutsche Bank AG	Panama Government International Bond 8.875% due 09/30/2027	Sell	1.170	%	04/20/2017		20,000		(475	)
Deutsche Bank AG	Peru Government International Bond 8.750% due 11/21/2033	Sell	0.330	%	12/20/2008		13,000		(15	)
Deutsche Bank AG	Petroleos Mexicanos 9.500% due 09/15/2027	Sell	0.760	%	07/20/2011		300		2
Deutsche Bank AG	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.720	%	12/20/2008		14,000		(42	)
Deutsche Bank AG	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	1.500	%	01/20/2012		8,000		(103	)
Goldman Sachs & Co.	American International Group, Inc. 5.600% due 10/18/2016	Sell	0.045	%	03/20/2008		100,000		(131	)
Goldman Sachs & Co.	American International Group, Inc. 5.600% due 10/18/2016	Sell	0.050	%	03/20/2008		35,000		(45	)
Goldman Sachs & Co.	American International Group, Inc. 5.600% due 10/18/2016	Sell	0.055	%	03/20/2008		90,000		(116	)
Goldman Sachs & Co.	American International Group, Inc. 5.600% due 10/18/2016	Sell	0.250	%	09/20/2008		90,000		(251	)
Goldman Sachs & Co.	Anadarko Petroleum Corp. 6.125% due 03/15/2012	Sell	0.150	%	03/20/2008		77,000		8
Goldman Sachs & Co.	Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	5.050	%	06/20/2011		10,000		(431	)
Goldman Sachs & Co.	Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	3.850	%	09/20/2012		5,800		(505	)
Goldman Sachs & Co.	Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	5.700	%	09/20/2012		10,000		(328	)
Goldman Sachs & Co.	Ford Motor Credit Co. LLC 7.250% due 10/25/2011	Sell	5.850	%	09/20/2012		12,800		(363	)
Goldman Sachs & Co.	General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.050	%	03/20/2008		100,000		(89	)
Goldman Sachs & Co.	General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.070	%	03/20/2008		250,000		(202	)
Goldman Sachs & Co.	General Motors Corp. 7.125% due 07/15/2013	Sell	4.860	%	12/20/2012		15,000		(1,106	)
Goldman Sachs & Co.	General Motors Corp. 7.125% due 07/15/2013	Sell	5.000	%	12/20/2012		10,000		(689	)
Goldman Sachs & Co.	General Motors Corp. 7.125% due 07/15/2013	Sell	5.150	%	12/20/2012		4,400		(280	)
Goldman Sachs & Co.	General Motors Corp. 7.125% due 07/15/2013	Sell	5.250	%	12/20/2012		20,000		(1,204	)
Goldman Sachs & Co.	General Motors Corp. 7.125% due 07/15/2013	Sell	6.450	%	12/20/2012		5,000		(93	)
Goldman Sachs & Co.	General Motors Corp. 7.125% due 07/15/2013	Sell	6.820	%	12/20/2012		25,000		(147	)
Goldman Sachs & Co.	GMAC LLC 6.875% due 08/28/2012	Sell	3.450	%	09/20/2008		50,000		(1,481	)
Goldman Sachs & Co.	GMAC LLC 6.875% due 08/28/2012	Sell	3.600	%	09/20/2009		50,000		(3,307	)
Goldman Sachs & Co.	GMAC LLC 6.875% due 08/28/2012	Sell	3.950	%	09/20/2009		25,000		(1,532	)
Goldman Sachs & Co.	International Lease Finance Corp. 5.250% due 01/10/2013	Buy	(0.200	%)	03/20/2013		15,000		258
Goldman Sachs & Co.	Morgan Stanley 6.600% due 04/01/2012	Sell	0.900	%	09/20/2012		5,000		(16	)
Goldman Sachs & Co.	Qwest Capital Funding, Inc. 7.250% due 02/15/2011	Sell	4.170	%	09/20/2010		5,000		232
Goldman Sachs & Co.	Wells Fargo Bank N.A. 4.750% due 02/09/2015	Buy	(0.140	%)	03/20/2015		10,000		299
HSBC Bank USA	Citigroup, Inc. 6.500% due 01/18/2011	Buy	(0.820	%)	12/20/2017		3,000		(11	)
HSBC Bank USA	Mexico Government International Bond 7.500% due 04/08/2033	Sell	0.180	%	05/20/2009		15,000		(23	)
HSBC Bank USA	Multiple Reference Entities of Gazprom	Sell	0.970	%	11/20/2008		23,800		(33	)
HSBC Bank USA	Multiple Reference Entities of Gazprom	Sell	0.360	%	05/20/2009		18,000		(248	)
HSBC Bank USA	Panama Government International Bond 8.875% due 09/30/2027	Sell	0.760	%	01/20/2012		4,600		(18	)
HSBC Bank USA	Pemex Project Funding Master Trust 9.500% due 09/15/2027	Sell	0.250	%	05/20/2009		19,000		(1	)
HSBC Bank USA	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.240	%	02/20/2008		33,280		18
HSBC Bank USA	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.700	%	04/20/2009		47,600		(262	)
HSBC Bank USA	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.520	%	05/20/2009		31,000		(300	)
JPMorgan Chase & Co.	Citigroup, Inc. 6.500% due 01/18/2011	Sell	0.530	%	09/20/2012		359,600		(2,778	)
JPMorgan Chase & Co.	Citigroup, Inc. 6.500% due 01/18/2011	Buy	(0.830	%)	12/20/2017		10,000		(44	)
JPMorgan Chase & Co.	Citigroup, Inc. 6.500% due 01/18/2011	Buy	(0.770	%)	12/20/2017		10,000		3
JPMorgan Chase & Co.	Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	4.150	%	06/20/2010		10,000		(518	)
JPMorgan Chase & Co.	Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	4.600	%	06/20/2011		15,000		(812	)
JPMorgan Chase & Co.	Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	5.320	%	06/20/2011		10,000		(365	)
JPMorgan Chase & Co.	Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	5.620	%	09/20/2012		10,000		(351	)
JPMorgan Chase & Co.	Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	5.750	%	09/20/2012		8,000		(250	)
JPMorgan Chase & Co.	Gannett Co., Inc. 5.750% due 06/01/2011	Buy	(0.330	%)	06/20/2011		10,300		123
JPMorgan Chase & Co.	General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.280	%	03/20/2016		10,000		(276	)
JPMorgan Chase & Co.	General Motors Corp. 7.125% due 07/15/2013	Sell	4.550	%	12/20/2012		7,000		(591	)
JPMorgan Chase & Co.	General Motors Corp. 7.125% due 07/15/2013	Sell	5.150	%	12/20/2012		10,000		(637	)
JPMorgan Chase & Co.	Glitnir Banki HF floating rate based on 3-Month USD-LIBOR plus 0.440% due 01/21/2011	Buy	(0.340	%)	03/20/2011		10,000		538
JPMorgan Chase & Co.	GMAC LLC 6.875% due 08/28/2012	Sell	4.250	%	09/20/2008		35,000		(839	)
JPMorgan Chase & Co.	GMAC LLC 6.875% due 08/28/2012	Sell	3.750	%	09/20/2012		12,000		(1,152	)
JPMorgan Chase & Co.	Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.800	%	09/20/2012		20,000		117
JPMorgan Chase & Co.	HCP, Inc. 5.950% due 09/15/2011	Buy	(0.610	%)	09/20/2011		5,000		102
JPMorgan Chase & Co.	Mattel, Inc. 6.125% due 06/15/2011	Buy	(0.400	%)	06/20/2011		10,300		74
JPMorgan Chase & Co.	Mexico Government International Bond 7.500% due 04/08/2033	Sell	0.920	%	03/20/2016		6,950		66
JPMorgan Chase & Co.	Multiple Reference Entities of Gazprom	Sell	0.970	%	10/20/2012		45,400		(1,258	)
JPMorgan Chase & Co.	Multiple Reference Entities of Gazprom	Sell	1.020	%	10/20/2012		45,400		(1,294	)
JPMorgan Chase & Co.	Northrop Grumman Space & Mission Systems Corp. 6.250% due 01/15/2010	Buy	(0.110	%)	03/20/2010		5,000		(3	)
JPMorgan Chase & Co.	Panama Government International Bond 8.875% due 09/30/2027	Sell	0.730	%	01/20/2012		12,600		(64	)
JPMorgan Chase & Co.	Panama Government International Bond 8.875% due 09/30/2027	Sell	1.250	%	01/20/2017		2,800		(37	)
JPMorgan Chase & Co.	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.800	%	03/20/2016		22,400		(244	)
JPMorgan Chase & Co.	Simon Property Group LP 4.600% due 06/15/2010	Buy	(0.180	%)	06/20/2010		8,000		98
JPMorgan Chase & Co.	Whirlpool Corp. 6.125% due 06/15/2011	Buy	(0.360	%)	06/20/2011		12,500		62
JPMorgan Chase & Co.	Xstrata Finance Canada Ltd. 5.500% due 11/16/2011	Buy	(0.290	%)	12/20/2011		11,250		197
Lehman Brothers, Inc.	American International Group, Inc. 5.600% due 10/18/2016	Sell	0.050	%	03/20/2008		250,000		(324	)
Lehman Brothers, Inc.	Anadarko Finance Co. 6.750% due 05/01/2011	Buy	(0.260	%)	06/20/2011		10,600		65
Lehman Brothers, Inc.	Bear Stearns Cos., Inc. 5.300% due 10/30/2015	Sell	1.130	%	09/20/2012		10,000		(273	)
Lehman Brothers, Inc.	BellSouth Corp. 5.200% due 09/15/2014	Buy	(0.325	%)	09/20/2014		35,000		1
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.430	%	10/20/2011		25,000		598
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.120	%	11/20/2011		2,500		28
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.140	%	11/20/2011		50,000		605
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.720	%	05/20/2013		30,000		1,033
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.210	%	01/20/2014		25,000		284
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.920	%	03/20/2016		25,000		1,238
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.980	%	03/20/2016		6,900		370
Lehman Brothers, Inc.	China Government International Bond 4.750% due 10/29/2013	Sell	0.230	%	03/20/2010		50,000		19
Lehman Brothers, Inc.	Citigroup, Inc. 6.500% due 01/18/2011	Sell	0.320	%	09/20/2012		25,000		(418	)
Lehman Brothers, Inc.	EnCana Corp. 6.300% due 11/01/2011	Buy	(0.230	%)	12/20/2011		10,300		93
Lehman Brothers, Inc.	Ford Motor Credit Co. LLC 6.625% due 06/16/2008	Buy	(1.070	%)	06/20/2008		37,000		808
Lehman Brothers, Inc.	Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	4.760	%	03/20/2011		10,000		(484	)
Lehman Brothers, Inc.	Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	5.050	%	06/20/2011		10,000		(431	)
Lehman Brothers, Inc.	Ford Motor Credit Co. LLC 7.250% due 10/25/2011	Sell	4.000	%	12/20/2008		3,100		(65	)
Lehman Brothers, Inc.	Ford Motor Credit Co. LLC 7.250% due 10/25/2011	Sell	4.300	%	12/20/2008		3,000		(55	)
Lehman Brothers, Inc.	Ford Motor Credit Co. LLC 7.875% due 06/15/2010	Buy	(2.310	%)	06/20/2010		40,000		3,505
Lehman Brothers, Inc.	General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.190	%	03/20/2010		50,000		(380	)
Lehman Brothers, Inc.	General Motors Corp. 7.125% due 07/15/2013	Sell	5.000	%	12/20/2012		10,000		(689	)
Lehman Brothers, Inc.	General Motors Corp. 7.125% due 07/15/2013	Sell	5.150	%	12/20/2012		29,700		(1,891	)
Lehman Brothers, Inc.	General Motors Corp. 7.125% due 07/15/2013	Sell	5.200	%	12/20/2012		10,000		(620	)
Lehman Brothers, Inc.	General Motors Corp. 7.125% due 07/15/2013	Sell	5.450	%	12/20/2012		5,000		(266	)
Lehman Brothers, Inc.	General Motors Corp. 7.125% due 07/15/2013	Sell	6.550	%	12/20/2012		10,000		(152	)
Lehman Brothers, Inc.	GMAC LLC 6.875% due 08/28/2012	Sell	0.520	%	03/20/2008		20,000		(168	)
Lehman Brothers, Inc.	GMAC LLC 6.875% due 08/28/2012	Sell	1.550	%	03/20/2008		10,000		(58	)
Lehman Brothers, Inc.	GMAC LLC 6.875% due 08/28/2012	Sell	4.500	%	09/20/2008		20,000		(444	)
Lehman Brothers, Inc.	GMAC LLC 6.875% due 08/28/2012	Sell	3.600	%	09/20/2009		25,000		(1,654	)
Lehman Brothers, Inc.	GMAC LLC 6.875% due 08/28/2012	Sell	3.900	%	09/20/2009		25,000		(1,549	)
Lehman Brothers, Inc.	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.400	%	12/20/2008		3,500		(13	)
Lehman Brothers, Inc.	International Lease Finance Corp. 5.400% due 02/15/2012	Buy	(0.170	%)	03/20/2012		20,000		277
Lehman Brothers, Inc.	Kellogg Co. 6.600% due 04/01/2011	Buy	(0.110	%)	06/20/2011		10,500		20
Lehman Brothers, Inc.	Mexico Government International Bond 7.500% due 04/08/2033	Sell	0.920	%	03/20/2016		41,200		393
Lehman Brothers, Inc.	Miller Brewing Co. 5.500% due 08/15/2013	Buy	(0.400	%)	09/20/2013		15,000		(70	)
Lehman Brothers, Inc.	Morgan Stanley floating rate based on 3-Month USD-LIBOR plus 0.450% due 10/18/2016	Buy	(0.340	%)	12/20/2016		20,000		782
Lehman Brothers, Inc.	Multiple Reference Entities of Gazprom	Sell	0.850	%	11/20/2011		44,300		(1,134	)
Lehman Brothers, Inc.	Newell Rubbermaid, Inc. 4.000% due 05/01/2010	Buy	(0.190	%)	06/20/2010		10,000		(3	)
Lehman Brothers, Inc.	Panama Government International Bond 8.875% due 09/30/2027	Sell	1.170	%	04/20/2017		20,000		(475	)
Lehman Brothers, Inc.	PC Financial Partnership 5.000% due 11/15/2014	Buy	(0.480	%)	12/20/2014		10,000		136
Lehman Brothers, Inc.	Pemex Project Funding Master Trust 9.500% due 09/15/2027	Sell	0.290	%	12/20/2008		300		0
Lehman Brothers, Inc.	Pemex Project Funding Master Trust 9.500% due 09/15/2027	Sell	0.320	%	03/20/2009		4,900		4
Lehman Brothers, Inc.	Peru Government International Bond 8.750% due 11/21/2033	Sell	0.320	%	12/20/2008		29,000		(36	)
Lehman Brothers, Inc.	PMI Group, Inc. 6.000% due 09/15/2016	Buy	(0.420	%)	09/20/2016		15,000		2,086
Lehman Brothers, Inc.	Proctor & Gamble Co. 4.950% due 08/15/2014	Sell	0.070	%	09/20/2008		370,000		(180	)
Lehman Brothers, Inc.	Qwest Corp. 7.875% due 08/01/2011	Sell	0.170	%	03/20/2008		10,000		(4	)
Lehman Brothers, Inc.	RH Donnelley Corp. 8.875% due 01/15/2016	Buy	(3.080	%)	09/20/2012		5,000		325
Lehman Brothers, Inc.	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.310	%	03/20/2009		12,800		(35	)
Lehman Brothers, Inc.	Sprint Capital Corp. 8.375% due 03/15/2012	Buy	(0.545	%)	03/20/2012		11,000		251
Lehman Brothers, Inc.	Transocean, Inc. 6.625% due 04/15/2011	Buy	(0.280	%)	06/20/2011		5,600		76
Lehman Brothers, Inc.	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.700	%	12/20/2008		29,000		(94	)
Lehman Brothers, Inc.	WellPoint, Inc. 6.375% due 1/15/2012	Buy	(0.100	%)	03/20/2012		10,800		142
Merrill Lynch & Co., Inc.	Bank of America Corp. floating rate based on 3-Month USD-LIBOR plus 0.260% due 10/14/2016	Buy	(0.170	%)	12/20/2016		5,000		147
Merrill Lynch & Co., Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.710	%	05/20/2013		15,000		509
Merrill Lynch & Co., Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.950	%	04/20/2016		300		15
Merrill Lynch & Co., Inc.	Dominion Resources, Inc. 5.200% due 01/15/2016	Buy	(0.430	%)	03/20/2016		15,000		133
Merrill Lynch & Co., Inc.	Enterprise Products Operating LP 7.500% 02/01/2011	Buy	(0.200	%)	03/20/2011		10,700		93
Merrill Lynch & Co., Inc.	Exelon Corp. 4.900% due 06/15/2015	Buy	(0.520	%)	06/20/2015		10,000		218
Merrill Lynch & Co., Inc.	FirstEnergy Corp. 6.450% due 11/15/2011	Buy	(0.130	%)	12/20/2011		10,000		156
Merrill Lynch & Co., Inc.	Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	5.620	%	09/20/2012		5,100		(179	)
Merrill Lynch & Co., Inc.	General Motors Corp. 7.125% due 07/15/2013	Sell	6.150	%	09/20/2008		25,000		360
Merrill Lynch & Co., Inc.	General Motors Corp. 7.125% due 07/15/2013	Sell	4.880	%	12/20/2012		14,100		(1,030	)
Merrill Lynch & Co., Inc.	General Motors Corp. 7.125% due 07/15/2013	Sell	6.650	%	12/20/2012		9,400		(111	)
Merrill Lynch & Co., Inc.	GMAC LLC 6.875% due 08/28/2012	Sell	3.450	%	09/20/2008		25,000		(740	)
Merrill Lynch & Co., Inc.	GMAC LLC 6.875% due 08/28/2012	Sell	3.500	%	09/20/2008		50,000		(1,463	)
Merrill Lynch & Co., Inc.	HCP, Inc. 6.300% due 09/15/2016	Buy	(0.650	%)	09/20/2016		13,500		771
Merrill Lynch & Co., Inc.	International Lease Finance Corp. 5.350% due 03/01/2012	Buy	(0.130	%)	03/20/2012		20,000		308
Merrill Lynch & Co., Inc.	Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	1.000	%	09/20/2012		10,000		(77	)
Merrill Lynch & Co., Inc.	MDC Holdings, Inc. 7.000% due 12/01/2012	Buy	(1.350	%)	12/20/2012		10,500		57
Merrill Lynch & Co., Inc.	ORIX Corp. 5.480% due 11/22/2011	Buy	(0.280	%)	12/20/2011		20,000		252
Merrill Lynch & Co., Inc.	Reed Elsevier Capital, Inc. 4.625% due 06/15/2012	Buy	(0.290	%)	06/20/2012		5,000		(2	)
Merrill Lynch & Co., Inc.	Residential Capital LLC 6.500% due 04/17/2013	Sell	1.130	%	06/20/2009		25,000		(6,826	)
Merrill Lynch & Co., Inc.	Xerox Corp. 9.750% due 01/15/2009	Buy	(0.120	%)	01/20/2009		10,500		(3	)
Morgan Stanley	AmerisourceBergen Corp. 5.625% due 09/15/2012	Buy	(0.600	%)	09/20/2012		10,000		(32	)
Morgan Stanley	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.140	%	11/20/2011		50,000		605
Morgan Stanley	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.660	%	03/20/2013		47,000		1,616
Morgan Stanley	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.520	%	01/20/2017		6,000		134
Morgan Stanley	Comcast Corp. 5.300% due 01/15/2014	Buy	(0.360	%)	03/20/2014		11,500		154
Morgan Stanley	Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	0.750	%	03/20/2008		15,000		(130	)
Morgan Stanley	Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	4.750	%	03/20/2011		10,000		(486	)
Morgan Stanley	Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	4.500	%	06/20/2011		20,000		(1,131	)
Morgan Stanley	General Motors Corp. 7.125% due 07/15/2013	Sell	4.630	%	12/20/2012		7,600		(621	)
Morgan Stanley	GMAC LLC 6.875% due 08/28/2012	Sell	1.050	%	09/20/2008		1,400		(65	)
Morgan Stanley	Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.850	%	09/20/2012		25,000		200
Morgan Stanley	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.450	%	03/20/2009		14,300		(68	)
Morgan Stanley	International Paper Co. 4.000% due 04/01/2010	Buy	(0.190	%)	03/20/2010		9,700		26
Morgan Stanley	iStar Financial, Inc. 5.950% due 10/15/2013	Buy	(0.600	%)	12/20/2013		10,000		1,388
Morgan Stanley	Kroger Co. 5.500% due 02/01/2013	Buy	(0.530	%)	03/20/2013		5,000		(39	)
Morgan Stanley	Masco Corp. 5.875% due 07/15/2012	Buy	(0.580	%)	09/20/2012		5,000		189
Morgan Stanley	Masco Corp. 7.125% due 08/15/2013	Buy	(0.680	%)	09/20/2013		10,800		420
Morgan Stanley	Multiple Reference Entities of Gazprom	Sell	0.870	%	11/20/2011		50,000		(1,245	)
Morgan Stanley	Omnicom Group, Inc. 5.900% due 04/15/2016	Buy	(0.380	%)	06/20/2016		9,600		82
Morgan Stanley	Panama Government International Bond 8.875% due 09/30/2027	Sell	0.750	%	01/20/2012		44,400		(190	)
Morgan Stanley	Peru Government International Bond 8.750% due 11/21/2033	Sell	0.310	%	03/20/2009		3,500		(5	)
Morgan Stanley	Plains All American Pipeline LP 5.625% due 12/15/2013	Buy	(0.550	%)	12/20/2013		10,000		95
Morgan Stanley	PPL Energy Supply LLC 5.700% due 10/15/2015	Buy	(0.600	%)	12/20/2015		5,000		116
Morgan Stanley	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.245	%	06/20/2008		41,800		(51	)
Morgan Stanley	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.590	%	09/20/2008		21,700		44
Morgan Stanley	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.305	%	12/20/2008		43,000		(110	)
Morgan Stanley	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.780	%	03/20/2016		22,400		(275	)
Morgan Stanley	Toll Brothers Finance Corp. 5.950% due 09/15/2013	Buy	(1.390	%)	09/20/2013		9,800		495
Morgan Stanley	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.610	%	02/20/2009		23,580		(86	)
Morgan Stanley	Viacom, Inc. 5.750% due 04/30/2011	Buy	(0.640	%)	06/20/2011		5,200		(26	)
Morgan Stanley	Wyeth 5.500% due 03/15/2013	Buy	(0.150	%)	03/20/2013		10,000		61
Royal Bank of Scotland Group PLC	AutoZone, Inc. 5.500% due 11/15/2015	Buy	(0.810	%)	12/20/2015		10,000		(186	)
Royal Bank of Scotland Group PLC	Bear Stearns Cos., Inc. 5.300% due 10/30/2015	Sell	0.740	%	09/20/2012		10,000		(433	)
Royal Bank of Scotland Group PLC	CVS Caremark Corp. 5.750% due 08/15/2011	Buy	(0.240	%)	09/20/2011		6,200		14
Royal Bank of Scotland Group PLC	Daimler Finance N.A. LLC 5.750% due 09/08/2011	Buy	(0.480	%)	09/20/2011		10,000		(25	)
Royal Bank of Scotland Group PLC	General Motors Corp. 7.125% due 07/15/2013	Sell	5.000	%	12/20/2012		10,000		(689	)
Royal Bank of Scotland Group PLC	GMAC LLC 6.000% due 04/01/2011	Buy	(1.250	%)	06/20/2011		15,000		2,233
Royal Bank of Scotland Group PLC	Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.580	%	09/20/2012		10,000		(35	)
Royal Bank of Scotland Group PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.390	%	12/20/2008		33,000		(125	)
Royal Bank of Scotland Group PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.450	%	06/20/2009		32,000		(210	)
Royal Bank of Scotland Group PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.310	%	12/20/2011		44,300		(65	)
Royal Bank of Scotland Group PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.330	%	12/20/2011		50,000		(36	)
Royal Bank of Scotland Group PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.085	%	03/20/2012		24,270		(297	)
Royal Bank of Scotland Group PLC	Kerr-McGee Corp. 6.875% due 09/15/2011	Buy	(0.160	%)	09/20/2011		10,500		(9	)
Royal Bank of Scotland Group PLC	Landsbanki Islands HF 6.100% due 08/25/2011	Buy	(0.395	%)	09/20/2011		10,300		380
Royal Bank of Scotland Group PLC	Landsbanki Islands HF floating rate based on 3-Month USD-LIBOR plus 0.700% due 08/25/2009	Buy	(0.330	%)	09/20/2009		18,000		446
Royal Bank of Scotland Group PLC	Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	0.300	%	09/20/2008		56,200		(516	)
Royal Bank of Scotland Group PLC	Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	0.700	%	09/20/2012		10,000		(202	)
Royal Bank of Scotland Group PLC	Merrill Lynch & Co., Inc. 5.000% due 01/15/2015	Sell	0.590	%	09/20/2012		10,000		(286	)
Royal Bank of Scotland Group PLC	Morgan Stanley 6.600% due 04/01/2012	Sell	0.590	%	09/20/2012		10,000		(163	)
Royal Bank of Scotland Group PLC	Morgan Stanley floating rate based on 3-Month USD-LIBOR plus 0.450% due 10/18/2016	Buy	(0.320	%)	12/20/2016		15,000		608
Royal Bank of Scotland Group PLC	NiSource Finance Corp. 6.150% due 03/01/2013	Buy	(0.540	%)	03/20/2013		12,400		164
Royal Bank of Scotland Group PLC	Simon Property Group LP 5.600% due 09/01/2011	Buy	(0.220	%)	09/20/2011		5,100		121
Royal Bank of Scotland Group PLC	Time Warner, Inc. 5.875% due 11/15/2016	Buy	(0.700	%)	12/20/2016		12,000		187
Royal Bank of Scotland Group PLC	WellPoint, Inc. 5.000% due 1/15/2011	Buy	(0.165	%)	03/20/2011		11,000		64
UBS Warburg LLC	Bank of America Corp. floating rate based on 3-Month USD-LIBOR plus 0.260% due 10/14/2016	Buy	(0.170	%)	12/20/2016		35,000		1,030
UBS Warburg LLC	Boston Scientific Corp. 6.000% due 06/15/2011	Buy	(0.500	%)	06/20/2011		10,000		318
UBS Warburg LLC	Capital One Financial Corp. 5.700% due 09/15/2011	Buy	(0.350	%)	09/20/2011		10,000		706
UBS Warburg LLC	Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	5.350	%	12/20/2010		10,000		(327	)
UBS Warburg LLC	Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	4.750	%	03/20/2011		5,000		(243	)
UBS Warburg LLC	Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	4.470	%	06/20/2011		25,000		(1,432	)
UBS Warburg LLC	Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	4.800	%	06/20/2011		25,000		(1,230	)
UBS Warburg LLC	General Motors Corp. 7.125% due 07/15/2013	Sell	4.900	%	12/20/2012		34,900		(2,524	)
UBS Warburg LLC	General Motors Corp. 7.125% due 07/15/2013	Sell	4.950	%	12/20/2012		10,000		(706	)
UBS Warburg LLC	General Motors Corp. 7.125% due 07/15/2013	Sell	5.250	%	12/20/2012		10,000		(602	)
UBS Warburg LLC	GMAC LLC 6.875% due 08/28/2012	Sell	4.600	%	09/20/2008		3,800		(82	)
UBS Warburg LLC	GMAC LLC 6.875% due 08/28/2012	Sell	3.600	%	09/20/2009		25,000		(1,654	)
UBS Warburg LLC	Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.900	%	09/20/2012		5,000		51
								$	(36,363	)

Credit Default Swaps on Credit Indices

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Bank of America	Dow Jones CDX N.A. HY8 Index	Buy	(2.750	%)	06/20/2012	$	100,000	$	2,961
Barclays Bank PLC	Dow Jones CDX N.A. IG9 Index	Buy	(0.600	%)	12/20/2012		100,000		(112	)
Citibank N.A.	Dow Jones CDX N.A. HY8 Index	Sell	0.360	%	06/20/2012		104,000		(1,936	)
Citibank N.A.	Dow Jones CDX N.A. HY8 Index	Sell	0.401	%	06/20/2012		130,900		(2,232	)
Citibank N.A.	Dow Jones CDX N.A. HY8 Index	Sell	0.415	%	06/20/2012		100,000		(1,652	)
Citibank N.A.	Dow Jones CDX N.A. HY8 Index	Sell	1.846	%	06/20/2012		35,500		(866	)
Citibank N.A.	Dow Jones CDX N.A. HY8 Index	Sell	2.144	%	06/20/2012		32,300		(398	)
Citibank N.A.	Dow Jones CDX N.A. HY8 Index	Sell	2.179	%	06/20/2012		22,600		(246	)
Lehman Brothers, Inc.	Dow Jones CDX N.A. IG9 Index	Buy	(0.600	%)	12/20/2012		100,000		(123	)
Merrill Lynch & Co., Inc.	Dow Jones CDX N.A. HY8 Index	Sell	1.833	%	06/20/2012		51,800		(1,291	)
Merrill Lynch & Co., Inc.	Dow Jones CDX N.A. HY8 Index	Sell	1.847	%	06/20/2012		40,400		(984	)
Merrill Lynch & Co., Inc.	Dow Jones CDX N.A. HY8 Index	Sell	2.070	%	06/20/2012		48,800		(747	)
Merrill Lynch & Co., Inc.	Dow Jones CDX N.A. HY8 Index	Sell	2.080	%	06/20/2012		31,000		(462	)
Merrill Lynch & Co., Inc.	Dow Jones CDX N.A. HY8 Index	Sell	2.127	%	06/20/2012		25,200		(328	)
Morgan Stanley	Dow Jones CDX N.A. HY8 Index	Sell	2.080	%	06/20/2012		7,600		(113	)
Morgan Stanley	Dow Jones CDX N.A. HY8 Index	Sell	2.140	%	06/20/2012		65,700		(819	)
Morgan Stanley	Dow Jones CDX N.A. HY8 Index	Sell	2.170	%	06/20/2012		23,800		(268	)
								$	(9,616	)

⁽¹⁾ If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will pay to the buyer of the protection an amount up to the notional value of the swap and in certain instances, take delivery of the security. As a buyer of protection, the Fund will generally receive from the seller of protection an amount up to the notional amount of the swap if a credit event occurs.

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Barclays Bank PLC	3-Month Australian Bank Bill	Pay	7.000	%	09/15/2009	AUD	764,000	$	(3,973	)
Citibank N.A.	3-Month Australian Bank Bill	Pay	7.000	%	09/15/2009		1,528,000		(8,087	)
Deutsche Bank AG	3-Month Australian Bank Bill	Pay	7.000	%	09/15/2009		764,000		(4,165	)
Deutsche Bank AG	6-Month Australian Bank Bill	Pay	7.000	%	03/20/2013		352,100		(9,121	)
Deutsche Bank AG	6-Month Australian Bank Bill	Receive	6.500	%	03/20/2018		483,800		6,281
UBS Warburg LLC	3-Month Australian Bank Bill	Pay	7.000	%	09/15/2009		216,300		(1,182	)
Barclays Bank PLC	BRL-CDI-Compounded	Pay	11.360	%	01/04/2010	BRL	485,600		(4,113	)
Goldman Sachs & Co.	BRL-CDI-Compounded	Pay	11.465	%	01/04/2010		126,400		(928	)
Goldman Sachs & Co.	BRL-CDI-Compounded	Pay	12.860	%	01/04/2010		7,100		28
Merrill Lynch & Co., Inc.	BRL-CDI-Compounded	Pay	11.430	%	01/04/2010		148,200		(1,146	)
Merrill Lynch & Co., Inc.	BRL-CDI-Compounded	Pay	12.948	%	01/04/2010		203,900		1,298
Merrill Lynch & Co., Inc.	BRL-CDI-Compounded	Pay	14.370	%	01/04/2010		193,200		4,459
Morgan Stanley	BRL-CDI-Compounded	Pay	11.430	%	01/04/2010		170,000		(1,314	)
Morgan Stanley	BRL-CDI-Compounded	Pay	12.780	%	01/04/2010		427,800		1,749
UBS Warburg LLC	BRL-CDI-Compounded	Pay	10.575	%	01/02/2012		214,800		(3,170	)
Barclays Bank PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.103	%	10/15/2010	EUR	50,700		564
Barclays Bank PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.948	%	03/15/2012		105,800		(2,081	)
Barclays Bank PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.960	%	04/05/2012		34,200		(640	)
BNP Paribas Bank	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.090	%	10/15/2010		65,400		402
Goldman Sachs & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.960	%	03/30/2012		74,100		(1,359	)
JPMorgan Chase & Co.	6-Month EUR-LIBOR	Pay	4.500	%	03/19/2010		535,200		(94	)
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.948	%	03/15/2012		266,400		(5,089	)
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.958	%	04/10/2012		261,440		(5,476	)
Morgan Stanley	6-Month EUR-LIBOR	Pay	4.500	%	03/19/2010		189,900		4
Royal Bank of Scotland Group PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.955	%	03/28/2012		74,030		(1,340	)
Royal Bank of Scotland Group PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.950	%	03/30/2012		75,400		(1,407	)
UBS Warburg LLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.146	%	10/15/2010		58,500		683
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	6.000	%	12/20/2008	GBP	752,700		3,448
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	6.000	%	03/20/2009		2,418,300		18,653
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	5.000	%	06/15/2009		971,000		10,318
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	5.000	%	06/16/2011		1,930		(40	)
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	5.000	%	03/20/2013		66,200		1,282
Barclays Bank PLC	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035		92,900		6,564
Barclays Bank PLC	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2036		258,300		23,018
Credit Suisse USA, Inc.	6-Month GBP-LIBOR	Pay	5.000	%	06/15/2009		100,500		1,112
Deutsche Bank AG	6-Month GBP-LIBOR	Pay	6.000	%	12/20/2008		417,800		1,791
Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	5.000	%	06/15/2009		863,700		68
Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	6.000	%	06/19/2009		2,493,700		53,978
Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	5.000	%	09/18/2009		1,675,000		23,232
Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	6.000	%	12/19/2009		188,200		7,261
Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	6.000	%	03/20/2010		300,000		5,809
Goldman Sachs & Co.	6-Month GBP-LIBOR	Receive	5.500	%	12/15/2036		166,100		(18,298	)
Goldman Sachs & Co.	6-Month GBP-LIBOR	Receive	5.000	%	12/19/2037		24,000		(3,599	)
Goldman Sachs & Co.	6-Month GBP-LIBOR	Receive	5.000	%	03/20/2038		36,100		(2,037	)
HSBC Bank USA	6-Month GBP-LIBOR	Pay	5.000	%	06/15/2009		387,000		1,017
HSBC Bank USA	6-Month GBP-LIBOR	Pay	4.500	%	09/20/2009		325,000		(9,010	)
HSBC Bank USA	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2036		214,800		14,818
Lehman Brothers, Inc.	6-Month GBP-LIBOR	Pay	4.500	%	09/20/2009		130,500		(3,613	)
Merrill Lynch & Co., Inc.	6-Month GBP-LIBOR	Pay	4.500	%	09/20/2009		154,700		(4,359	)
Merrill Lynch & Co., Inc.	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035		54,200		3,949
Morgan Stanley	6-Month GBP-LIBOR	Pay	6.000	%	06/19/2009		2,500,000		50,912
Morgan Stanley	6-Month GBP-LIBOR	Pay	6.000	%	09/18/2009		500,000		7,043
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Pay	6.000	%	03/20/2009		385,600		2,487
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Pay	5.000	%	06/15/2009		396,000		2,512
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Pay	6.000	%	06/19/2009		626,300		13,156
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2036		359,300		31,288
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Receive	5.500	%	12/15/2036		41,900		(4,962	)
UBS Warburg LLC	6-Month GBP-LIBOR	Pay	4.500	%	09/20/2009		250,000		(6,977	)
Barclays Bank PLC	6-Month JPY-LIBOR	Pay	2.000	%	12/19/2017	JPY	14,230,000		3,002
Deutsche Bank AG	6-Month JPY-LIBOR	Pay	2.000	%	12/19/2017		27,490,000		5,878
Barclays Bank PLC	28-Day Mexico Interbank TIIE Banxico	Pay	8.720	%	09/05/2016	MXN	190,000		219
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.720	%	09/05/2016		814,300		(465	)
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.170	%	11/04/2016		921,900		(1,759	)
Goldman Sachs & Co.	28-Day Mexico Interbank TIIE Banxico	Pay	7.780	%	04/03/2012		614,000		(1,090	)
Merrill Lynch & Co., Inc.	28-Day Mexico Interbank TIIE Banxico	Pay	8.720	%	09/05/2016		488,500		(504	)
Morgan Stanley	28-Day Mexico Interbank TIIE Banxico	Pay	8.900	%	09/12/2016		483,200		1,052
Bank of America	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010	$	5,109,300		19,094
Bank of America	3-Month USD-LIBOR	Pay	5.000	%	06/18/2010		633,400		4,160
Bank of America	3-Month USD-LIBOR	Pay	4.000	%	06/18/2013		6,000		73
Bank of America	3-Month USD-LIBOR	Receive	5.000	%	06/18/2038		712,800		(13,047	)
Barclays Bank PLC	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010		3,189,300		893
Citibank N.A.	3-Month USD-LIBOR	Pay	4.000	%	06/18/2013		702,500		8,713
Citibank N.A.	3-Month USD-LIBOR	Receive	5.000	%	06/18/2038		210,700		(6,318	)
Deutsche Bank AG	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010		3,048,680		4,806
Goldman Sachs & Co.	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010		1,023,000		3,092
Merrill Lynch & Co., Inc.	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010		1,404,100		6,832
Morgan Stanley	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010		168,400		753
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010		3,029,210		9,633
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.000	%	06/18/2013		238,400		2,991
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	0.000	%	06/20/2037		160,000		783
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	06/18/2038		405,900		(11,319	)
								$	229,076

(n) Purchased options outstanding on December 31, 2007:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Cost		Value
Put - CME 90-Day Eurodollar June Futures	$	92.250	06/16/2008	100	$	1	$	0
Put - CME 90-Day Eurodollar September Futures		92.250	09/15/2008	128		1		0
					$	2	$	0

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Cost		Value
Call - OTC 2-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Pay	5.000	%	02/01/2008	$	733,600	$	2,843	$	17,169
Call - OTC 2-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Pay	5.200	%	02/01/2008		6,900,000		35,363		187,674
Call - OTC 2-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Pay	4.750	%	09/26/2008		8,429,000		40,690		174,962
Call - OTC 1-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Pay	4.750	%	02/01/2008		955,000		2,746		7,295
Call - OTC 2-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Pay	5.200	%	02/02/2009		3,155,000		23,662		82,019
Call - OTC 2-Year Interest Rate Swap	Citibank N.A.	3-Month USD-LIBOR	Pay	4.750	%	03/31/2008		1,150,000		6,900		23,273
Call - OTC 2-Year Interest Rate Swap	Goldman Sachs & Co.	3-Month USD-LIBOR	Pay	5.000	%	02/01/2008		4,600,000		20,930		107,660
Call - OTC 2-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	4.750	%	03/31/2008		7,680,300		40,650		155,427
Call - OTC 2-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	4.750	%	09/26/2008		12,079,200		43,039		250,729
Call - OTC 1-Year Interest Rate Swap	Morgan Stanley	3-Month USD-LIBOR	Pay	4.750	%	02/01/2008		1,955,000		5,621		14,933
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	02/01/2008		7,117,400		35,293		166,578
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	03/31/2008		15,850,200		89,132		320,762
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	09/26/2008		4,753,400		18,342		98,667
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	12/15/2008		8,900,700		31,380		177,096
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	12/15/2008		5,655,400		16,193		133,984
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.200	%	02/02/2009		4,526,000		39,603		117,661
									$	452,387	$	2,035,889

(o) Written options outstanding on December 31, 2007:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Value
Call - CBOT U.S. Treasury 5-Year Note March Futures	$	111.000	02/22/2008	7,124	$	4,318	$	5,120
Call - CBOT U.S. Treasury 10-Year Note March Futures		111.000	02/22/2008	2,812		1,177		7,997
Call - CBOT U.S. Treasury 10-Year Note March Futures		112.000	02/22/2008	3,141		2,542		6,724
Call - CBOT U.S. Treasury 10-Year Note March Futures		113.000	02/22/2008	3,391		2,532		5,298
Call - CBOT U.S. Treasury 10-Year Note March Futures		114.000	02/22/2008	12,716		10,479		14,305
Put - CBOT U.S. Treasury 5-Year Note March Futures		109.000	02/22/2008	7,124		5,097		3,117
Put - CBOT U.S. Treasury 10-Year Note March Futures		108.000	02/22/2008	3,391		1,420		212
Put - CBOT U.S. Treasury 10-Year Note March Futures		110.000	02/22/2008	12,716		6,971		3,179
					$	34,536	$	45,952

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/ Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Value
Call - OTC 5-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Receive	5.100	%	02/01/2008	$	319,000	$	2,855	$	13,311
Call - OTC 5-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Receive	5.280	%	02/01/2008		3,000,000		34,875		149,196
Call - OTC 5-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Receive	4.950	%	09/26/2008		3,666,900		41,140		133,618
Call - OTC 5-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Receive	4.900	%	02/01/2008		220,400		2,744		7,262
Call - OTC 5-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Receive	5.450	%	02/02/2009		1,372,000		23,592		69,745
Call - OTC 5-Year Interest Rate Swap	Citibank N.A.	3-Month USD-LIBOR	Receive	4.900	%	03/31/2008		500,000		6,695		17,285
Call - OTC 5-Year Interest Rate Swap	Goldman Sachs & Co.	3-Month USD-LIBOR	Receive	5.100	%	02/01/2008		2,000,000		21,580		83,456
Call - OTC 5-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	4.900	%	03/31/2008		3,302,000		38,898		114,147
Call - OTC 5-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	4.950	%	09/26/2008		5,253,400		43,835		191,429
Call - OTC 5-Year Interest Rate Swap	Morgan Stanley	3-Month USD-LIBOR	Receive	4.900	%	02/01/2008		429,600		5,348		14,155
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.100	%	02/01/2008		3,094,100		37,129		129,111
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.900	%	03/31/2008		4,889,100		61,585		169,011
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.950	%	03/31/2008		1,981,000		24,366		72,339
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.950	%	09/26/2008		2,070,900		18,391		75,462
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	12/15/2008		2,935,300		30,220		115,276
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.200	%	12/15/2008		1,885,200		15,856		89,005
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.450	%	02/02/2009		1,968,000		37,589		100,042
									$	446,698	$	1,543,850

(p) Restricted securities as of December 31, 2007:

Issuer Description	Coupon		Maturity Date	Acquisition Date	Cost		Market Value		Market Value as Percentage of Net Assets
Citigroup Mortgage Loan Trust, Inc.	4.935	%	05/25/2037	05/16/2007	$	28,862	$	27,494	0.03	%
DLJ Mortgage Acceptance Corp.	6.502	%	08/01/2021	07/21/1992		393		384	0.00	%
Mazda Manufacturing Corp.	10.500	%	07/01/2008	08/30/1993		141		139	0.00	%
Mazda Motor Corp.	10.500	%	07/01/2008	03/14/2003		17		17	0.00	%
Southbridge, Massachusetts Associates LLC Revenue Bonds, (MBIA Insured), Series 2000	7.590	%	02/01/2022	10/10/2000		30,645		36,344	0.03	%
United Airlines, Inc.	11.080	%	05/27/2024	12/28/2001		825		12	0.00	%
United Telecom, Inc.	6.890	%	07/01/2008	09/22/2003		704		703	0.00	%
United Telephone Co. of the Northwest	6.890	%	07/01/2008	05/02/2002		2,741		2,770	0.00	%
Wilmington Trust Co.	10.500	%	07/01/2008	03/14/2003		100		99	0.00	%
					$	64,428	$	67,962	0.06	%

(q) Short sales outstanding on December 31, 2007:

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Value(2)
Fannie Mae	5.500	%	01/01/2038	$	1,125,000	$	1,124,380	$	1,123,769
Fannie Mae	6.000	%	01/01/2038		144,000		145,339		146,228
Fannie Mae	6.500	%	01/01/2038		330,600		339,622		339,847
Fannie Mae	7.000	%	01/01/2038		1,500		1,556		1,560
Freddie Mac	5.000	%	01/01/2038		300		294		293
U.S. Treasury Bonds	3.125	%	11/30/2009		2,669,400		2,680,380		2,684,679
U.S. Treasury Notes	4.500	%	05/15/2017		1,486,400		1,518,754		1,553,989
						$	5,810,325	$	5,850,365

⁽²⁾ Market value includes $24,417 of interest payable on short sales.

(r) Foreign currency contracts outstanding on December 31, 2007:

Type	Currency	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	AED	142,666	05/2008	$	143	$	(42	)	$	101
Buy	AUD	203,139	01/2008		176		(41	)		135
Sell		81,519	01/2008		358		(310	)		48
Buy		184,434	02/2008		3,816		0			3,816
Buy	BRL	1,627,235	03/2008		102,174		0			102,174
Sell		178,859	03/2008		0		(659	)		(659	)
Buy		2,905,891	07/2008		48,709		0			48,709
Buy	CAD	962	01/2008		21		0			21
Buy	CNY	744,295	01/2008		1,064		0			1,064
Sell		744,295	01/2008		0		(1,866	)		(1,866	)
Buy	EUR	880	01/2008		11		(4	)		7
Sell		360,425	01/2008		831		0			831
Sell	GBP	1,074,255	01/2008		25,034		(204	)		24,830
Buy	IDR	692,194,000	05/2008		0		(5,626	)		(5,626	)
Buy	INR	8,649,218	05/2008		12,143		0			12,143
Buy		3,215,324	08/2008		0		(262	)		(262	)
Buy	JPY	5,912,625	02/2008		0		(119	)		(119	)
Buy	KRW	169,472,943	01/2008		0		(4,631	)		(4,631	)
Buy		55,563,421	05/2008		3		(760	)		(757	)
Buy		120,086,522	08/2008		0		(583	)		(583	)
Buy	KWD	10,922	05/2008		946		0			946
Buy	MXN	1,207,928	03/2008		244		(1	)		243
Sell		353,012	03/2008		0		(262	)		(262	)
Buy		4,223,320	07/2008		6,391		(309	)		6,082
Buy	MYR	987,961	05/2008		3,151		0			3,151
Sell	NZD	9,258	01/2008		0		(175	)		(175	)
Buy		8,500	02/2008		133		0			133
Sell		9,258	02/2008		42		0			42
Buy	PHP	3,971,739	05/2008		9,278		0			9,278
Buy	PLN	508,439	03/2008		28,812		0			28,812
Sell		508,439	03/2008		0		(2,178	)		(2,178	)
Buy		82,904	07/2008		1,671		0			1,671
Sell		82,904	07/2008		0		(352	)		(352	)
Buy	RUB	5,981,687	01/2008		11,374		0			11,374
Sell		5,981,687	01/2008		31		(76	)		(45	)
Buy		14,659,361	07/2008		12,634		0			12,634
Sell		1,833,105	07/2008		0		(462	)		(462	)
Buy		112,495	11/2008		2		0			2
Buy	SAR	146,032	05/2008		64		(109	)		(45	)
Buy	SEK	400,798	03/2008		0		(665	)		(665	)
Buy	SGD	424,704	02/2008		9,337		(64	)		9,273
Buy		464,677	05/2008		13,745		0			13,745
Buy	ZAR	179,933	07/2008		551		(746	)		(195	)
				$	292,889	$	(20,506	)	$	272,383

See accompanying notes

Schedule of Investments

Total Return Fund II

December 31, 2007 (Unaudited)

	Principal Amount (000s)		Value (000s)
CORPORATE BONDS & NOTES 25.9%
Banking & Finance 20.4%
American Express Bank FSB
5.009% due 10/20/2009	$	4,600	$	4,582
6.000% due 09/13/2017		4,000		4,030
American Express Centurion Bank
5.250% due 05/07/2008		4,100		4,096
6.000% due 09/13/2017		4,000		4,030
American Express Credit Corp.
5.302% due 11/09/2009		6,600		6,491
American International Group, Inc.
5.050% due 10/01/2015		1,000		967
5.078% due 06/16/2009		4,800		4,800
Bank of America Corp.
4.875% due 11/06/2009		2,700		2,692
Bank of America N.A.
5.040% due 02/27/2009		4,900		4,892
6.000% due 10/15/2036		1,300		1,247
Bear Stearns Cos., Inc.
5.072% due 08/21/2009		14,800		14,257
5.284% due 01/30/2009		4,900		4,850
5.599% due 07/19/2010		5,900		5,549
Citigroup Funding, Inc.
4.858% due 06/26/2009		3,000		2,955
4.896% due 04/23/2009		8,600		8,551
5.136% due 12/08/2008		6,800		6,745
Citigroup, Inc.
4.872% due 12/28/2009		4,800		4,715
4.898% due 12/26/2008		9,800		9,761
5.300% due 10/17/2012		1,000		1,014
5.500% due 08/27/2012		2,600		2,654
5.850% due 07/02/2013		700		721
6.000% due 08/15/2017		7,900		8,075
Credit Suisse USA, Inc.
5.069% due 08/15/2010		13,987		13,842
General Electric Capital Corp.
5.095% due 10/26/2009		17,000		16,966
5.250% due 01/20/2010		9,000		8,898
5.280% due 10/21/2010		1,500		1,500
Goldman Sachs Group, Inc.
4.924% due 12/23/2008		100		100
4.958% due 11/16/2009		11,400		11,195
4.974% due 12/22/2008		5,000		4,987
5.625% due 01/15/2017		5,800		5,674
6.250% due 09/01/2017		6,300		6,566
Goldman Sachs Group LP
5.900% due 01/20/2009		5,000		5,023
HSBC Bank USA N.A.
6.000% due 08/09/2017		69,400		71,252
HSBC Finance Corp.
5.158% due 11/16/2009		8,400		8,274
5.212% due 03/12/2010		9,100		8,930
5.240% due 10/21/2009		3,000		2,987
JPMorgan Chase & Co.
4.915% due 06/26/2009		3,300		3,286
4.915% due 05/07/2010		5,800		5,761
6.000% due 01/15/2018		1,700		1,733
JPMorgan Chase Bank N.A.
6.000% due 10/01/2017		4,300		4,381
JPMorgan Chase Capital
6.550% due 09/29/2036		800		724
KBC Bank Funding Trust III
9.860% due 11/29/2049		12,000		12,897
Lehman Brothers Holdings, Inc.
4.934% due 12/23/2008		800		787
4.978% due 11/16/2009		14,700		14,327
5.170% due 05/25/2010		1,700		1,635
5.241% due 01/23/2009		6,100		5,983
Merrill Lynch & Co., Inc.
4.914% due 12/22/2008		3,700		3,651
4.960% due 08/14/2009		8,100		7,930
5.191% due 10/23/2008		5,000		4,934
5.211% due 12/04/2009		4,800		4,656
6.400% due 08/28/2017		4,400		4,478
MetLife, Inc.
6.400% due 12/15/2036		1,500		1,379
Metropolitan Life Global Funding I
4.945% due 05/17/2010		7,500		7,450
Morgan Stanley
4.925% due 05/07/2009		7,400		7,311
4.972% due 11/21/2008		3,300		3,277
5.332% due 01/15/2010		10,900		10,783
SLM Corp.
5.224% due 07/27/2009		2,900		2,729
State Street Capital Trust IV
5.991% due 06/15/2037		600		467
UBS Preferred Funding Trust I
8.622% due 10/29/2049		19,700		21,241
USB Capital IX
6.189% due 04/15/2049		700		634
Wachovia Corp.
5.034% due 10/28/2008		6,100		6,085
5.372% due 10/15/2011		13,600		13,309
5.625% due 10/15/2016		1,300		1,284
Wells Fargo & Co.
4.625% due 08/09/2010		25,000		25,035
ZFS Finance USA Trust I
5.875% due 05/09/2032		1,600		1,497
				453,512
Industrials 4.7%
Comcast Corp.
5.875% due 02/15/2018		1,100		1,099
6.450% due 03/15/2037		1,100		1,124
Continental Airlines, Inc.
7.056% due 09/15/2009		1,600		1,620
Daimler Finance North America LLC
5.461% due 03/13/2009		9,800		9,748
5.541% due 03/13/2009		7,000		6,953
El Paso Corp.
6.750% due 05/15/2009		16,700		16,944
General Electric Co.
5.186% due 12/09/2008		5,500		5,510
General Mills, Inc.
5.310% due 01/22/2010		3,500		3,478
International Business Machines Corp.
5.700% due 09/14/2017		30,100		31,174
Rohm & Haas Co.
6.000% due 09/15/2017		2,100		2,138
United Airlines, Inc.
6.071% due 03/01/2013		240		239
9.190% due 12/24/2013 (a)		6,480		3,548
Yum! Brands, Inc.
6.250% due 03/15/2018		20,000		20,293
				103,868
Utilities 0.8%
AT&T, Inc.
4.978% due 02/05/2010		2,300		2,280
BellSouth Corp.
4.240% due 04/26/2021		3,300		3,288
Qwest Capital Funding, Inc.
7.250% due 02/15/2011		2,900		2,871
Sprint Capital Corp.
6.125% due 11/15/2008		1,200		1,202
Verizon Communications, Inc.
5.280% due 04/03/2009		9,100		9,019
				18,660
Total Corporate Bonds & Notes (Cost $574,836)				576,040
MUNICIPAL BONDS & NOTES 0.4%
California State Tobacco Securitization Agency Revenue Bonds, Series 2002
6.125% due 06/01/2043		2,000		1,999
Iowa State Tobacco Settlement Authority Revenue Bonds, Series 2005
6.500% due 06/01/2023		960		916
Miami, Florida Rent Revenue Bonds, Series 1989
8.650% due 07/01/2019		160		191
Nevada State Truckee Meadows Water Authority Revenue Bonds, (MBIA Insured), Series 2005
5.000% due 07/01/2036		933		1,021
New Jersey State Economic Development Authority Revenue Bonds, (AMBAC Insured), Series 1997
0.000% due 02/15/2008		1,000		995
Texas State General Obligation Bonds, Series 2005
4.750% due 04/01/2035		3,200		3,215
Total Municipal Bonds & Notes (Cost $8,031)				8,337
COMMODITY INDEX-LINKED NOTES 0.3%
Goldman Sachs Commodity Index Total Return 0.3%
Morgan Stanley
4.805% due 07/07/2008		6,000		6,011
Total Commodity Index-Linked Notes (Cost $6,000)				6,011
U.S. GOVERNMENT AGENCIES 77.1%
Fannie Mae
4.500% due 06/25/2043		3,654		3,637
4.633% due 10/01/2035		6,140		6,150
4.669% due 05/25/2035		1,000		1,009
4.823% due 09/01/2034		949		947
4.880% due 01/01/2035		2,212		2,211
4.925% due 12/25/2036		2,228		2,189
5.000% due 12/01/2016 - 02/01/2038		429,251		424,804
5.000% due 03/01/2037 (f)		26,271		25,638
5.500% due 11/01/2013 - 02/01/2038		470,524		470,498
5.500% due 01/01/2033 - 04/01/2035 (f)		158,843		158,943
6.000% due 05/01/2017 - 01/01/2038		335,499		340,845
6.000% due 12/01/2036 - 11/01/2037 (f)		68,434		69,513
6.063% due 07/01/2044		868		871
6.263% due 09/01/2040		3,252		3,277
6.500% due 07/01/2013 - 06/25/2044		10,560		10,879
6.556% due 01/01/2024		37		37
6.800% due 02/01/2023		69		69
6.837% due 12/01/2023		61		62
6.960% due 07/01/2020		99		99
7.000% due 04/01/2011 - 09/25/2020		50		52
7.243% due 04/01/2024		51		51
7.250% due 03/01/2024		2		2
8.000% due 04/01/2015 - 10/01/2030		12		12
8.500% due 04/01/2017		2		2
9.000% due 06/01/2010 - 06/25/2018		13		14
9.250% due 07/25/2019		160		178
9.500% due 09/01/2009		1		1
10.000% due 11/01/2021		5		6
11.000% due 09/01/2010		7		8
13.750% due 11/01/2011 - 10/01/2012		2		2
Freddie Mac
5.000% due 11/01/2018 - 12/01/2031		4,974		4,980
5.178% due 07/15/2019 - 10/15/2020		69,601		69,334
5.258% due 02/15/2019		24,189		24,070
5.500% due 01/01/2018 - 02/01/2038		28,589		28,515
6.000% due 02/01/2016 - 01/01/2038		47,792		48,546
6.063% due 02/25/2045		568		567
6.361% due 02/01/2023		46		47
6.500% due 12/01/2010		17		18
7.000% due 07/15/2022		1,393		1,392
7.262% due 12/01/2022		285		291
7.364% due 07/01/2030		79		80
7.500% due 01/15/2023 - 01/01/2026		3,290		3,352
8.000% due 11/01/2025 - 06/15/2030		1,541		1,584
9.000% due 12/15/2020		76		80
9.250% due 11/15/2019		2		2
9.500% due 02/01/2018		7		7
10.000% due 06/01/2011 - 03/01/2021		10		12
Ginnie Mae
5.625% due 09/20/2024 - 07/20/2030		1,508		1,518
6.000% due 01/15/2024 - 08/15/2037		2,129		2,181
6.125% due 12/20/2029		830		841
6.375% due 06/20/2023 - 06/20/2027		2,089		2,116
7.500% due 09/15/2014 - 09/15/2025		24		25
8.000% due 07/15/2010 - 08/15/2024		77		83
9.000% due 09/15/2008 - 11/15/2017		29		31
9.500% due 01/20/2019 - 12/15/2021		12		14
Small Business Administration
7.449% due 08/01/2010		352		360
7.970% due 01/25/2025		115		117
Total U.S. Government Agencies (Cost $1,706,824)				1,712,169
U.S. TREASURY OBLIGATIONS 9.2%
Treasury Inflation Protected Securities (c)
2.000% due 01/15/2014		2,388		2,467
2.000% due 07/15/2014		18,840		19,472
2.000% due 01/15/2016		8,210		8,428
2.000% due 01/15/2026		3,368		3,356
2.375% due 04/15/2011		212		221
2.375% due 01/15/2025		2,993		3,143
2.375% due 01/15/2027		28,343		29,981
2.625% due 07/15/2017		1,419		1,532
3.000% due 07/15/2012		36,340		39,370
3.375% due 04/15/2032		2,354		3,016
3.500% due 01/15/2011		85,586		92,072
3.625% due 04/15/2028		258		327
Total U.S. Treasury Obligations (Cost $202,060)				203,385
MORTGAGE-BACKED SECURITIES 2.9%
American Home Mortgage Investment Trust
4.390% due 02/25/2045		2,561		2,459
Banc of America Funding Corp.
4.111% due 05/25/2035		4,204		4,152
Bear Stearns Adjustable Rate Mortgage Trust
5.037% due 04/25/2033		1,763		1,766
Bear Stearns Alt-A Trust
5.368% due 05/25/2035		6,035		5,966
5.527% due 09/25/2035		855		843
Bear Stearns Commercial Mortgage Securities
5.700% due 06/11/2050		5,000		5,118
Citigroup Commercial Mortgage Trust
5.098% due 08/15/2021		1,224		1,184
Citigroup Mortgage Loan Trust, Inc.
4.700% due 12/25/2035		1,274		1,251
Countrywide Alternative Loan Trust
5.045% due 05/25/2047		3,463		3,270
Countrywide Home Loan Mortgage Pass-Through Trust
5.250% due 02/20/2036		1,559		1,546
CS First Boston Mortgage Securities Corp.
6.700% due 06/25/2032		66		66
Deutsche ALT-A Securities, Inc. Alternate Loan Trust
4.935% due 01/25/2047		3,544		3,473
DLJ Acceptance Trust
11.000% due 08/01/2019		14		15
Greenpoint Mortgage Funding Trust
4.945% due 10/25/2046		3,838		3,759
4.945% due 01/25/2047		3,983		3,906
GSR Mortgage Loan Trust
5.251% due 11/25/2035		4,354		4,210
Guaranteed Mortgage Corp. III GNMA-CMB
9.300% due 07/20/2019		42		46
Impac Secured Assets CMN Owner Trust
4.945% due 01/25/2037		2,527		2,480
Indymac ARM Trust
6.574% due 01/25/2032		42		42
Lehman Brothers Floating Rate Commercial Mortgage Trust
5.108% due 09/15/2021		973		971
Morgan Stanley Capital I
5.088% due 10/15/2020		1,710		1,672
Nationslink Funding Corp.
5.592% due 11/10/2030		112		111
Prime Mortgage Trust
5.265% due 02/25/2019		241		241
5.265% due 02/25/2034		1,222		1,197
Structured Asset Mortgage Investments, Inc.
5.295% due 09/19/2032		726		706
Structured Asset Securities Corp.
6.039% due 02/25/2032		105		105
7.143% due 01/25/2032		86		86
Thornburg Mortgage Securities Trust
4.975% due 11/25/2046		3,519		3,440
Wachovia Bank Commercial Mortgage Trust
5.118% due 09/15/2021		3,075		3,029
Washington Mutual, Inc.
5.155% due 10/25/2045		1,111		1,044
5.988% due 11/25/2042		580		562
Wells Fargo Mortgage-Backed Securities Trust
4.950% due 03/25/2036		5,774		5,713
Total Mortgage-Backed Securities (Cost $65,296)				64,429
ASSET-BACKED SECURITIES 6.7%
ACE Securities Corp.
4.915% due 12/25/2036		2,229		2,165
American Express Credit Account Master Trust
5.138% due 09/15/2010		21,500		21,506
5.528% due 02/15/2012		4,270		4,269
Amortizing Residential Collateral Trust
5.135% due 06/25/2032		885		866
Argent Securities, Inc.
4.935% due 04/25/2036		292		291
Asset-Backed Funding Certificates
4.925% due 11/25/2036		3,265		3,162
Asset-Backed Securities Corp. Home Equity
4.915% due 11/25/2036		1,777		1,751
Bear Stearns Asset-Backed Securities Trust
4.925% due 01/25/2037		7,042		6,805
4.955% due 06/25/2047		2,267		2,181
5.315% due 03/25/2043		1,115		1,108
Chase Credit Card Master Trust
5.138% due 02/15/2011		6,600		6,599
Chase Issuance Trust
5.018% due 07/15/2011		7,200		7,182
Countrywide Asset-Backed Certificates
4.915% due 05/25/2037		4,060		3,964
EMC Mortgage Loan Trust
5.235% due 05/25/2040		2,495		2,474
First Franklin Mortgage Loan Asset-Backed Certificates
4.905% due 01/25/2038		7,257		7,022
4.915% due 11/25/2036		5,032		4,829
Fremont Home Loan Trust
4.925% due 01/25/2037		2,627		2,561
HSI Asset Securitization Corp. Trust
4.915% due 12/25/2036		1,970		1,898
JPMorgan Mortgage Acquisition Corp.
4.915% due 07/25/2036		4,997		4,908
Lehman XS Trust
4.935% due 05/25/2046		1,043		1,035
Long Beach Mortgage Loan Trust
5.145% due 10/25/2034		107		103
MBNA Credit Card Master Note Trust
4.200% due 09/15/2010		16,465		16,441
5.128% due 12/15/2011		12,280		12,260
Merrill Lynch Mortgage Investors, Inc.
4.895% due 06/25/2037		2,242		2,217
Morgan Stanley ABS Capital I
4.905% due 10/25/2036		1,535		1,514
Morgan Stanley IXIS Real Estate Capital Trust
4.915% due 11/25/2036		2,668		2,596
Option One Mortgage Loan Trust
4.905% due 02/25/2037		5,492		5,314
4.915% due 01/25/2037		3,439		3,384
Securitized Asset-Backed Receivables LLC Trust
4.925% due 12/25/2036		5,232		4,914
SLM Student Loan Trust
3.800% due 12/15/2038		13,800		13,528
Soundview Home Equity Loan Trust
4.925% due 06/25/2036		851		849
Structured Asset Securities Corp.
5.155% due 01/25/2033		237		233
Total Asset-Backed Securities (Cost $152,005)				149,929
		Shares
PREFERRED STOCKS 0.7%
DG Funding Trust
6.979% due 12/31/2049		1,568		16,587
Total Preferred Stocks (Cost $16,522)				16,587
	Principal Amount (000s)
SHORT-TERM INSTRUMENTS 4.1%
Commercial Paper 2.1%
Freddie Mac
3.000% due 01/02/2008	$	11,000		11,000
4.350% due 01/23/2008		2,700		2,693
General Electric Capital Corp.
3.750% due 01/02/2008		33,400		33,400
				47,093
Repurchase Agreements 1.7%
Fixed Income Clearing Corp.
2.250% due 01/02/2008		32,000		32,000
(Dated 12/31/2007. Collateralized by Federal Home Loan Bank 4.125% due 11/19/2008 valued at $32,643. Repurchase proceeds are $32,004.)
3.900% due 01/02/2008		5,791		5,791
(Dated 12/31/2007. Collateralized by Fannie Mae 0.000% due 01/15/2008 valued at $5,908. Repurchase proceeds are $5,792.)
				37,791
U.S. Treasury Bills 0.3%
2.919% due 03/13/2008 (b)(d)(g)		5,570		5,517
Total Short-Term Instruments (Cost $90,422)				90,401
Purchased Options (i) 1.6% (Cost $7,361)				35,192
Total Investments 128.9% (Cost $2,829,357)			$	2,862,480
Written Options (j) (1.2%) (Premiums $7,927)				(26,678	)
Other Assets and Liabilities (Net) (27.7%)				(615,634	)
Net Assets (e) 100.0%			$	2,220,168

Notes to Schedule of Investments (amounts in thousands*, except number of contracts):

* A zero balance may reflect actual amounts rounding to less than one thousand.

(a) Security is in default.

(b) Coupon represents a weighted average rate.

(c) Principal amount of security is adjusted for inflation.

(d) Securities with an aggregate market value of $247 have been pledged as collateral for swap and swaption contracts on December 31, 2007.

(e) As of December 31, 2007, portfolio securities with an aggregate value of $16,246 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(f) The average amount of borrowings outstanding during the period ended December 31, 2007 was $270,530 at a weighted average interest rate of 5.140%. On December 31, 2007, securities valued at $242,880 were pledged as collateral for reverse repurchase agreements.

(g) Securities with an aggregate market value of $5,270 and cash of $8,130 have been segregated with the custodian to cover margin requirements for the following open futures contracts on December 31, 2007:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Eurodollar December Futures	Long	12/2008	3,186	$	12,174
90-Day Eurodollar June Futures	Long	06/2008	4,290		11,185
90-Day Eurodollar June Futures	Long	06/2009	483		1,153
90-Day Eurodollar March Futures	Long	03/2009	1,249		3,332
90-Day Eurodollar September Futures	Long	09/2008	2,279		9,523
90-Day Eurodollar September Futures	Long	09/2009	491		1,102
U.S. Treasury 2-Year Note March Futures	Short	03/2008	304		(273	)
U.S. Treasury 5-Year Note March Futures	Short	03/2008	579		(269	)
U.S. Treasury 10-Year Note March Futures	Long	03/2008	854		656
				$	38,583

(h) Swap agreements outstanding on December 31, 2007:

Credit Default Swaps on Securities

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation
Barclays Bank PLC	General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.620	%	03/20/2011	$	13,800	$	16
Barclays Bank PLC	General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.640	%	12/20/2012		13,700		16
Goldman Sachs & Co.	Anadarko Petroleum Corp. 6.125% due 03/15/2012	Sell	0.150	%	03/20/2008		1,700		0
								$	32

Credit Default Swaps on Credit Indices

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Notional Amount		Unrealized (Depreciation)
Citibank N.A.	Dow Jones CDX N.A. HY8 Index	Sell	0.355	%	06/20/2012	$	8,300	$	(156	)
Citibank N.A.	Dow Jones CDX N.A. HY8 Index	Sell	0.360	%	06/20/2012		5,000		(93	)
Citibank N.A.	Dow Jones CDX N.A. HY8 Index	Sell	0.401	%	06/20/2012		2,000		(34	)
Citibank N.A.	Dow Jones CDX N.A. HY8 Index	Sell	2.144	%	06/20/2012		600		(7	)
Citibank N.A.	Dow Jones CDX N.A. HY8 Index	Sell	2.179	%	06/20/2012		800		(9	)
Merrill Lynch & Co., Inc.	Dow Jones CDX N.A. HY8 Index	Sell	1.833	%	06/20/2012		2,000		(50	)
Merrill Lynch & Co., Inc.	Dow Jones CDX N.A. HY8 Index	Sell	2.127	%	06/20/2012		500		(7	)
Morgan Stanley	Dow Jones CDX N.A. HY8 Index	Sell	2.080	%	06/20/2012		1,900		(28	)
								$	(384	)

⁽¹⁾ If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will pay to the buyer of the protection an amount up to the notional value of the swap and in certain instances, take delivery of the security.

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Bank of America	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010	$	85,300	$	306
Bank of America	3-Month USD-LIBOR	Pay	5.000	%	06/18/2010		6,600		43
Bank of America	3-Month USD-LIBOR	Pay	4.000	%	06/18/2013		14,700		179
Bank of America	3-Month USD-LIBOR	Receive	5.000	%	06/18/2038		13,500		(243	)
Barclays Bank PLC	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010		13,200		41
Citibank N.A.	3-Month USD-LIBOR	Receive	5.000	%	06/18/2038		4,100		(123	)
Deutsche Bank AG	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010		75,100		126
Merrill Lynch & Co., Inc.	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010		26,200		128
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010		63,200		172
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	06/18/2038		8,300		(231	)
								$	398

(i) Purchased options outstanding on December 31, 2007:

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Cost		Value
Call - OTC 2-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Pay	4.750	%	09/26/2008	$	176,000	$	849	$	3,653
Call - OTC 1-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Pay	4.750	%	02/01/2008		64,000		184		489
Call - OTC 2-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Pay	5.200	%	02/02/2009		64,000		480		1,664
Call - OTC 2-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	4.750	%	03/31/2008		176,500		938		3,572
Call - OTC 2-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	4.750	%	09/26/2008		211,000		747		4,380
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	02/01/2008		155,000		769		3,628
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	03/31/2008		184,400		1,071		3,732
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	09/26/2008		64,900		258		1,347
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	12/15/2008		252,700		864		5,028
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	12/15/2008		325,000		1,201		7,699
									$	7,361	$	35,192

(j) Written options outstanding on December 31, 2007:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Value
Call - CBOT U.S. Treasury 5-Year Note March Futures	$	111.000	02/22/2008	132	$	80	$	95
Call - CBOT U.S. Treasury 10-Year Note March Futures		111.000	02/22/2008	56		23		159
Call - CBOT U.S. Treasury 10-Year Note March Futures		112.000	02/22/2008	62		50		132
Call - CBOT U.S. Treasury 10-Year Note March Futures		113.000	02/22/2008	64		48		100
Call - CBOT U.S. Treasury 10-Year Note March Futures		114.000	02/22/2008	247		204		278
Put - CBOT U.S. Treasury 5-Year Note March Futures		109.000	02/22/2008	132		95		58
Put - CBOT U.S. Treasury 10-Year Note March Futures		108.000	02/22/2008	64		27		4
Put - CBOT U.S. Treasury 10-Year Note March Futures		110.000	02/22/2008	247		135		62
					$	662	$	888

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Value
Call - OTC 5-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Receive	4.950	%	09/26/2008	$	76,400	$	856	$	2,784
Call - OTC 5-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Receive	4.900	%	02/01/2008		14,000		174		461
Call - OTC 5-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Receive	5.450	%	02/02/2009		28,000		481		1,424
Call - OTC 5-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	4.900	%	03/31/2008		76,000		898		2,627
Call - OTC 5-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	4.950	%	09/26/2008		91,600		759		3,338
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.100	%	02/01/2008		67,000		804		2,796
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.900	%	03/31/2008		37,500		499		1,297
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.950	%	03/31/2008		43,000		529		1,570
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.950	%	09/26/2008		28,600		259		1,042
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	12/15/2008		85,000		860		3,338
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.200	%	12/15/2008		108,300		1,146		5,113
									$	7,265	$	25,790

(k) Short sales outstanding on December 31, 2007:

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Value(2)
Fannie Mae	5.000	%	01/01/2023	$	17,000	$	16,890	$	17,019
U.S. Treasury Bonds	3.125	%	11/30/2009		13,200		13,190		13,314
U.S. Treasury Bonds	4.750	%	08/15/2017		19,200		20,481		20,688
U.S. Treasury Notes	4.500	%	05/15/2017		33,400		34,072		34,870
						$	84,633	$	85,891

⁽²⁾ Market value includes $740 of interest payable on short sales.

See accompanying notes

Schedule of Investments

Total Return Fund III

December 31, 2007 (Unaudited)

	Principal Amount (000s)		Value (000s)
BANK LOAN OBLIGATIONS 1.1%
Daimler Finance North America LLC
9.000% due 08/03/2012	$	9,975	$	9,617
Idearc, Inc.
6.830% due 11/17/2014		8,536		8,143
Sensata Technologies, Inc.
6.637% due 04/27/2013		8		7
6.761% due 04/27/2013		2,977		2,837
SLM Corp.
0.000% due 02/16/2008		4,200		4,185
Total Bank Loan Obligations (Cost $25,214)				24,789
CORPORATE BONDS & NOTES 24.0%
Banking & Finance 19.6%
American Express Bank FSB
5.009% due 10/20/2009		4,000		3,984
6.000% due 09/13/2017		4,000		4,030
American Express Centurion Bank
5.250% due 05/07/2008		3,600		3,597
6.000% due 09/13/2017		4,000		4,030
American Express Credit Corp.
5.302% due 11/09/2009		5,700		5,606
American General Finance Corp.
6.900% due 12/15/2017		5,300		5,315
American International Group, Inc.
5.050% due 10/01/2015		400		387
5.078% due 06/16/2009		5,800		5,800
5.850% due 01/16/2018		10,400		10,488
ANZ National International Ltd.
4.938% due 08/07/2009		4,400		4,389
Bank of America N.A.
5.040% due 02/27/2009		800		799
Bank of Ireland
4.951% due 12/19/2008		4,700		4,698
Bank of Scotland PLC
5.254% due 07/17/2009		6,500		6,493
Barclays Bank PLC
5.450% due 09/12/2012		20,400		20,931
6.050% due 12/04/2017		3,400		3,432
Bear Stearns Cos., Inc.
5.072% due 08/21/2009		6,900		6,647
5.284% due 01/30/2009		4,300		4,256
5.494% due 07/16/2009		12,600		12,125
C10 Capital SPV Ltd.
6.722% due 12/31/2049		2,500		2,308
Calabash Re II Ltd.
13.391% due 01/08/2010		4,800		4,957
CIT Group, Inc.
5.091% due 12/19/2008		2,600		2,455
Citigroup Capital XXI
8.300% due 12/21/2057		4,000		4,189
Citigroup Funding, Inc.
4.858% due 06/26/2009		2,700		2,660
4.896% due 04/23/2009		700		696
Citigroup Global Markets Holdings, Inc.
5.091% due 03/17/2009		3,900		3,866
Citigroup, Inc.
4.872% due 12/28/2009		400		393
4.898% due 12/26/2008		8,700		8,666
5.024% due 01/30/2009		3,100		3,075
5.300% due 10/17/2012		1,100		1,115
5.500% due 08/27/2012		2,600		2,654
5.850% due 07/02/2013		700		722
6.125% due 08/25/2036		9,800		9,306
Deutsche Bank AG
6.000% due 09/01/2017		7,200		7,480
DnB NORBank ASA
5.312% due 10/13/2009		3,300		3,303
Export-Import Bank of China
4.875% due 07/21/2015		500		490
Ford Motor Credit Co. LLC
7.250% due 10/25/2011		500		433
7.375% due 10/28/2009		2,700		2,542
General Electric Capital Corp.
4.939% due 08/15/2011		7,600		7,473
5.250% due 01/20/2010		13,200		13,051
5.280% due 10/21/2010		900		900
5.284% due 01/05/2009		10,500		10,490
5.303% due 10/06/2010		5,000		4,960
GMAC LLC
6.000% due 12/15/2011		600		504
Goldman Sachs Group, Inc.
4.924% due 12/23/2008		300		299
4.958% due 11/16/2009		5,000		4,910
4.974% due 12/22/2008		10,410		10,383
5.481% due 07/23/2009		7,900		7,895
6.250% due 09/01/2017		6,800		7,087
HBOS PLC
5.920% due 09/29/2049		700		611
HSBC Bank USA N.A.
5.286% due 06/10/2009		4,500		4,484
HSBC Capital Funding LP
9.547% due 12/29/2049		1,200		1,312
HSBC Finance Corp.
5.158% due 11/16/2009		7,770		7,654
5.240% due 10/21/2009		2,600		2,589
HSBC Holdings PLC
6.500% due 05/02/2036		3,800		3,706
6.500% due 09/15/2037		1,500		1,459
ICICI Bank Ltd.
5.788% due 01/12/2010		5,800		5,728
JPMorgan Chase & Co.
4.915% due 06/26/2009		2,900		2,888
JPMorgan Chase Bank N.A.
6.000% due 10/01/2017		5,700		5,808
JPMorgan Chase Capital
6.550% due 09/29/2036		700		634
KBC Bank Funding Trust III
9.860% due 11/29/2049		2,100		2,257
Lehman Brothers Holdings, Inc.
4.978% due 11/16/2009		11,000		10,721
5.082% due 08/21/2009		3,950		3,840
5.129% due 11/10/2009		2,500		2,428
5.170% due 05/25/2010		100		96
5.320% due 04/03/2009		2,300		2,250
5.429% due 07/18/2011		3,000		2,847
Longpoint Re Ltd.
10.241% due 05/08/2010		1,700		1,745
Merrill Lynch & Co., Inc.
4.914% due 12/22/2008		6,300		6,217
4.960% due 08/14/2009		3,800		3,720
5.191% due 10/23/2008		4,400		4,342
5.211% due 12/04/2009		4,300		4,171
6.050% due 08/15/2012		1,100		1,122
6.400% due 08/28/2017		4,000		4,071
Morgan Stanley
4.750% due 04/01/2014		110		103
4.972% due 11/21/2008		2,900		2,879
5.332% due 01/15/2010		10,100		9,992
6.250% due 08/28/2017		1,300		1,324
MUFG Capital Finance 1 Ltd.
6.346% due 07/29/2049		600		569
Mystic Re Ltd.
15.081% due 06/07/2011		1,500		1,580
Nordea Bank Sweden AB
8.950% due 11/29/2049		500		539
Petroleum Export Ltd.
5.265% due 06/15/2011		453		450
Phoenix Quake Ltd.
7.680% due 07/03/2008		600		601
Phoenix Quake Wind I Ltd.
7.680% due 07/03/2008		600		601
Phoenix Quake Wind II Ltd.
8.730% due 07/03/2008		300		293
Prudential Financial, Inc.
6.625% due 12/01/2037		800		809
Prudential Holdings LLC
8.695% due 12/18/2023		265		328
Residential Reinsurance 2007 Ltd.
15.374% due 06/07/2010		700		730
Resona Bank Ltd.
5.850% due 09/29/2049		800		745
Royal Bank of Scotland Group PLC
5.230% due 07/21/2008		2,900		2,900
7.648% due 08/29/2049		3,800		3,931
Santander Perpetual S.A. Unipersonal
6.671% due 10/29/2049		3,700		3,717
Santander U.S. Debt S.A. Unipersonal
4.970% due 09/19/2008		18,800		18,739
SMFG Preferred Capital USD 1 Ltd.
6.078% due 01/29/2049		1,700		1,575
State Street Capital Trust IV
5.991% due 06/15/2037		600		467
Sumitomo Mitsui Banking Corp.
5.625% due 07/29/2049		5,800		5,424
TNK-BP Finance S.A.
6.125% due 03/20/2012		700		669
UBS AG
5.875% due 12/20/2017		2,500		2,522
Unicredit Luxembourg Finance S.A.
5.142% due 10/24/2008		18,400		18,367
USB Capital IX
6.189% due 04/15/2049		600		543
VTB Capital S.A.
5.494% due 08/01/2008		3,500		3,469
Wachovia Bank N.A.
4.848% due 06/27/2008		3,900		3,897
Wachovia Corp.
5.372% due 10/15/2011		14,600		14,288
Westpac Banking Corp.
5.212% due 06/06/2008		2,300		2,299
World Financial Properties
6.950% due 09/01/2013		155		162
				427,481
Industrials 3.7%
Citigroup Global Markets Deutschland AG for OAO Gazprom
10.500% due 10/21/2009		3,200		3,469
CODELCO, Inc.
6.150% due 10/24/2036		400		396
Comcast Corp.
5.875% due 02/15/2018		1,000		999
6.450% due 03/15/2037		1,000		1,021
Daimler Finance North America LLC
5.328% due 08/03/2009		3,900		3,875
5.461% due 03/13/2009		1,900		1,890
El Paso Corp.
9.625% due 05/15/2012		1,000		1,100
Gaz Capital for Gazprom
6.212% due 11/22/2016		700		673
General Mills, Inc.
5.310% due 01/22/2010		3,200		3,180
HJ Heinz Co.
6.428% due 12/01/2008		700		713
International Business Machines Corp.
5.700% due 09/14/2017		28,100		29,103
Kraft Foods, Inc.
6.125% due 02/01/2018		3,000		3,028
6.875% due 02/01/2038		1,300		1,367
Nucor Corp.
5.750% due 12/01/2017		4,800		4,845
Peabody Energy Corp.
7.375% due 11/01/2016		1,500		1,545
Pemex Project Funding Master Trust
9.125% due 10/13/2010		15		17
Rohm & Haas Co.
6.000% due 09/15/2017		2,000		2,036
Tennessee Gas Pipeline Co.
7.000% due 10/15/2028		8,400		8,522
Time Warner, Inc.
5.109% due 11/13/2009		3,400		3,318
Transocean, Inc.
5.341% due 09/05/2008		3,900		3,881
United Airlines, Inc.
6.071% due 03/01/2013		137		137
Vale Overseas Ltd.
6.250% due 01/23/2017		700		706
6.875% due 11/21/2036		700		712
Williams Cos., Inc.
6.375% due 10/01/2010		4,600		4,675
				81,208
Utilities 0.7%
Deutsche Telekom International Finance BV
8.000% due 06/15/2010		150		160
Enel Finance International S.A.
6.800% due 09/15/2037		10,200		10,281
Qwest Capital Funding, Inc.
7.250% due 02/15/2011		1,196		1,184
Ras Laffan Liquefied Natural Gas Co. Ltd. III
5.838% due 09/30/2027		1,600		1,515
Sprint Capital Corp.
6.125% due 11/15/2008		800		801
Virginia Electric and Power Co.
6.350% due 11/30/2037		500		514
				14,455
Total Corporate Bonds & Notes (Cost $525,340)				523,144
MUNICIPAL BONDS & NOTES 0.3%
Arizona State Salt River Project Agricultural Improvement and Power District Revenue Bonds, Series 2005
4.750% due 01/01/2035		300		303
Houston, Texas Utility System Revenue Bonds, (FSA Insured), Series 2007
5.000% due 11/15/2036		3,100		3,222
Texas State General Obligation Bonds, Series 2005
4.750% due 04/01/2035		2,200		2,211
Total Municipal Bonds & Notes (Cost $5,656)				5,736
COMMODITY INDEX-LINKED NOTES 0.2%
Goldman Sachs Commodity Index Total Return 0.2%
Morgan Stanley
4.805% due 07/07/2008		5,000		5,010
Total Commodity Index-Linked Notes (Cost $5,000)				5,010
U.S. GOVERNMENT AGENCIES 68.6%
Fannie Mae
4.194% due 03/01/2033		127		129
4.500% due 09/01/2034		146		138
4.535% due 07/01/2035		7,013		7,024
4.669% due 05/25/2035		800		807
4.714% due 08/01/2035		6,385		6,469
4.823% due 09/01/2034		743		741
4.848% due 08/01/2035		3,114		3,114
4.863% due 01/01/2035		1,244		1,243
4.925% due 07/25/2037		5,547		5,340
5.000% due 10/01/2017 - 02/01/2038		294,147		289,381
5.056% due 07/01/2034		55		55
5.500% due 05/01/2013 - 02/01/2038		576,059		576,146
5.500% due 04/01/2034 - 06/01/2037 (f)		111,101		111,115
5.877% due 02/01/2031		5		6
6.000% due 10/01/2016 - 01/01/2038		219,057		222,531
6.000% due 10/01/2037 (f)		49,833		50,616
6.063% due 07/01/2044		740		743
6.500% due 01/01/2011 - 06/25/2044		31,440		32,340
7.000% due 03/01/2013 - 10/01/2031		52		55
7.500% due 05/01/2011 - 02/01/2027		224		240
9.000% due 06/01/2025		1		1
12.500% due 06/15/2015		3		3
Federal Housing Administration
7.430% due 01/25/2023		663		672
Freddie Mac
5.000% due 12/01/2017 - 09/01/2035		3,137		3,114
5.178% due 07/15/2019 - 10/15/2020		63,249		63,006
5.258% due 02/15/2019		22,421		22,311
5.500% due 06/01/2019 - 02/01/2038		20,707		20,659
5.778% due 08/15/2032		867		864
6.000% due 02/01/2016 - 01/01/2038		30,402		30,892
6.063% due 02/25/2045		465		464
6.500% due 05/01/2016 - 05/15/2032		32,023		33,632
6.995% due 04/01/2033		12		12
7.000% due 11/01/2011 - 07/01/2029		2,211		2,327
7.262% due 12/01/2022		46		47
7.364% due 07/01/2030		23		23
7.500% due 07/01/2011 - 09/01/2025		41		44
8.000% due 01/01/2012		7		8
Ginnie Mae
5.625% due 09/20/2023 - 08/20/2027		373		375
5.628% due 02/16/2030		140		141
5.750% due 02/20/2032		1,377		1,391
6.000% due 01/15/2029 - 06/15/2037		2,432		2,491
6.125% due 10/20/2024 - 12/20/2026		350		355
6.375% due 06/20/2022 - 01/20/2026		713		722
6.500% due 05/15/2032 - 06/15/2032		51		53
7.000% due 12/15/2011 - 02/20/2032		57		60
10.250% due 02/15/2017		463		518
Small Business Administration
5.130% due 09/01/2023		785		793
5.520% due 06/01/2024		5,122		5,270
7.449% due 08/01/2010		143		147
Total U.S. Government Agencies (Cost $1,492,145)				1,498,628
U.S. TREASURY OBLIGATIONS 7.6%
Treasury Inflation Protected Securities (b)
2.000% due 01/15/2014		2,161		2,232
2.000% due 07/15/2014		21,627		22,352
2.000% due 01/15/2026		3,070		3,059
2.375% due 04/15/2011		212		221
2.375% due 01/15/2025		5,240		5,502
2.375% due 01/15/2027		40,013		42,326
2.625% due 07/15/2017		1,318		1,423
3.500% due 01/15/2011		79,913		85,969
3.625% due 04/15/2028		2,079		2,634
Total U.S. Treasury Obligations (Cost $165,149)				165,718
MORTGAGE-BACKED SECURITIES 5.4%
American Home Mortgage Investment Trust
4.390% due 02/25/2045		2,016		1,935
Banc of America Funding Corp.
4.111% due 05/25/2035		2,850		2,815
Banc of America Mortgage Securities, Inc.
6.500% due 09/25/2033		296		302
Bear Stearns Adjustable Rate Mortgage Trust
4.609% due 01/25/2034		2,018		1,998
5.608% due 02/25/2033		229		228
5.789% due 02/25/2033		234		238
Bear Stearns Alt-A Trust
5.368% due 05/25/2035		3,778		3,735
5.527% due 09/25/2035		1,768		1,742
Bear Stearns Mortgage Funding Trust
4.935% due 02/25/2037		6,342		6,302
Bear Stearns Structured Products, Inc.
4.989% due 01/25/2037		4,745		4,696
5.684% due 01/26/2036		4,068		4,032
5.787% due 12/26/2046		2,301		2,273
Citigroup Commercial Mortgage Trust
5.098% due 08/15/2021		912		883
Citigroup Mortgage Loan Trust, Inc.
4.700% due 12/25/2035		1,035		1,016
Commercial Mortgage Pass-Through Certificates
6.455% due 05/15/2032		3,280		3,290
Countrywide Alternative Loan Trust
5.045% due 05/25/2047		2,944		2,780
Countrywide Home Loan Mortgage Pass-Through Trust
4.726% due 02/20/2035		6,456		6,423
4.801% due 11/25/2034		3,557		3,533
5.250% due 02/20/2036		1,262		1,251
Deutsche ALT-A Securities, Inc. Alternate Loan Trust
4.935% due 01/25/2047		3,778		3,703
Greenpoint Mortgage Funding Trust
4.945% due 10/25/2046		3,331		3,263
4.945% due 01/25/2047		3,637		3,567
Greenpoint Mortgage Pass-Through Certificates
4.381% due 10/25/2033		2,994		2,969
GSR Mortgage Loan Trust
5.251% due 11/25/2035		4,093		3,957
Harborview Mortgage Loan Trust
5.055% due 01/19/2038		4,822		4,766
5.148% due 07/19/2035		3,031		2,996
Impac Secured Assets CMN Owner Trust
4.945% due 01/25/2037		2,183		2,142
Indymac ARM Trust
6.574% due 01/25/2032		21		21
Indymac Index Mortgage Loan Trust
4.955% due 11/25/2046		2,065		2,014
5.189% due 01/25/2036		4,604		4,549
Lehman Brothers Floating Rate Commercial Mortgage Trust
5.108% due 09/15/2021		738		737
MASTR Adjustable Rate Mortgages Trust
3.786% due 11/21/2034		3,462		3,429
Mellon Residential Funding Corp.
5.508% due 06/15/2030		3,347		3,306
Merrill Lynch Mortgage Investors, Inc.
5.075% due 02/25/2036		1,786		1,720
MLCC Mortgage Investors, Inc.
5.115% due 11/25/2035		622		601
Morgan Stanley Capital I
5.088% due 10/15/2020		1,600		1,564
Prime Mortgage Trust
5.265% due 02/25/2019		138		137
5.265% due 02/25/2034		631		618
Structured Asset Mortgage Investments, Inc.
4.995% due 03/25/2037		4,926		4,686
5.215% due 07/19/2035		3,799		3,660
Structured Asset Securities Corp.
5.331% due 10/25/2035		3,146		3,117
6.039% due 02/25/2032		49		49
Thornburg Mortgage Securities Trust
4.975% due 11/25/2046		3,128		3,058
Wachovia Bank Commercial Mortgage Trust
5.118% due 09/15/2021		2,865		2,822
Washington Mutual, Inc.
5.155% due 10/25/2045		881		828
5.988% due 11/25/2042		504		489
Wells Fargo Mortgage-Backed Securities Trust
4.950% due 03/25/2036		4,732		4,681
Total Mortgage-Backed Securities (Cost $120,147)				118,921
ASSET-BACKED SECURITIES 4.6%
Asset-Backed Funding Certificates
4.925% due 11/25/2036		2,177		2,108
4.925% due 01/25/2037		2,285		2,250
Asset-Backed Securities Corp. Home Equity
5.140% due 09/25/2034		778		762
Bear Stearns Asset-Backed Securities Trust
4.925% due 01/25/2037		6,402		6,186
5.315% due 03/25/2043		483		479
Carrington Mortgage Loan Trust
5.103% due 10/25/2035		1,598		1,483
5.115% due 06/25/2035		2,163		2,152
Countrywide Asset-Backed Certificates
4.915% due 07/25/2037		10,185		9,864
5.125% due 05/25/2036		8,419		8,273
5.345% due 12/25/2031		393		363
Credit-Based Asset Servicing & Securitization LLC
4.955% due 12/25/2037		11,151		10,881
First Franklin Mortgage Loan Asset-Backed Certificates
4.915% due 11/25/2036		4,394		4,216
Fremont Home Loan Trust
4.925% due 01/25/2037		2,343		2,284
GSAMP Trust
4.935% due 12/25/2036		3,454		3,362
HFC Home Equity Loan Asset-Backed Certificates
5.239% due 01/20/2034		3,737		3,652
HSBC Asset Loan Obligation
4.925% due 12/25/2036		6,819		6,547
HSI Asset Securitization Corp. Trust
4.915% due 12/25/2036		1,751		1,687
JPMorgan Mortgage Acquisition Corp.
4.915% due 07/25/2036		4,426		4,347
4.915% due 08/25/2036		1,388		1,364
Lehman XS Trust
4.935% due 05/25/2046		924		917
Long Beach Mortgage Loan Trust
5.145% due 10/25/2034		97		94
MBNA Master Credit Card Trust
5.900% due 08/15/2011		300		306
7.800% due 10/15/2012		200		216
Morgan Stanley ABS Capital I
4.895% due 06/25/2036		1,990		1,963
4.905% due 10/25/2036		1,308		1,290
4.915% due 11/25/2036		5,689		5,393
Navistar Financial Corp. Owner Trust
2.590% due 03/15/2011		271		270
Newcastle Mortgage Securities Trust
4.935% due 03/25/2036		1,151		1,143
Option One Mortgage Loan Trust
4.915% due 01/25/2037		4,203		4,136
Residential Asset Securities Corp.
4.935% due 11/25/2036		2,861		2,796
Securitized Asset-Backed Receivables LLC Trust
4.925% due 12/25/2036		4,835		4,541
Structured Asset Securities Corp.
4.915% due 10/25/2036		3,578		3,515
Wells Fargo Home Equity Trust
4.915% due 01/25/2037		1,903		1,869
Total Asset-Backed Securities (Cost $103,545)				100,709
SOVEREIGN ISSUES 0.0%
Chile Government International Bond
5.500% due 01/15/2013		200		209
China Development Bank
5.000% due 10/15/2015		600		593
Total Sovereign Issues (Cost $793)				802
FOREIGN CURRENCY-DENOMINATED ISSUES 1.5%
Brazilian Government International Bond
10.250% due 01/10/2028	BRL	1,900		1,037
12.500% due 01/05/2022		2,800		1,762
General Electric Capital Corp.
5.500% due 09/15/2067	EUR	10,200		14,481
HBOS PLC
4.875% due 03/29/2049		7,480		9,923
KBC Bank Funding Trust II
6.875% due 06/29/2049		3,000		4,481
Total Foreign Currency-Denominated Issues (Cost $29,625)				31,684
		Shares
PREFERRED STOCKS 0.7%
Centaur Funding Corp.
9.080% due 04/21/2020		125		145
DG Funding Trust
6.979% due 12/31/2049		1,065		11,266
Northern Rock PLC
8.000% due 12/31/2049		260,000		3,575
Total Preferred Stocks (Cost $17,965)				14,986
	Principal Amount (000s)
SHORT-TERM INSTRUMENTS 5.4%
Certificates of Deposit 2.7%
Bank of Ireland
5.282% due 01/15/2010	$	11,100		11,119
Barclays Bank PLC
4.619% due 03/17/2008		9,800		9,802
Calyon Financial, Inc.
5.204% due 01/16/2009		7,900		7,889
Fortis Bank NY
4.745% due 04/28/2008		2,100		2,099
4.767% due 06/30/2008		3,100		3,097
4.780% due 09/30/2008		4,500		4,491
Nordea Bank Finland PLC
4.991% due 05/28/2008		2,900		2,901
5.230% due 04/09/2009		8,100		8,093
Royal Bank of Scotland Group PLC
4.734% due 03/26/2008		2,000		1,999
Societe Generale NY
4.768% due 06/30/2008		3,000		3,001
Unicredito Italiano NY
5.062% due 05/29/2008		4,100		4,100
				58,591
Commercial Paper 1.1%
Abbey National Treasury Services PLC
4.250% due 01/07/2008		25,000		24,985
Repurchase Agreements 1.2%
Fixed Income Clearing Corp.
2.250% due 01/02/2008		19,000		19,000
(Dated 12/31/2007. Collateralized by Freddie Mac 5.000% due 01/16/2009 valued at $19,383. Repurchase proceeds are $19,002.)
3.900% due 01/02/2008		6,154		6,154
(Dated 12/31/2007. Collateralized by Fannie Mae 0.000% - 6.000% due 01/15/2008 - 02/06/2017 valued at $6,278. Repurchase proceeds are $6,155.)
				25,154
U.S. Treasury Bills 0.4%
2.941% due 02/28/2008 - 03/13/2008 (a)(c)(d)(g)		8,670		8,595
Total Short-Term Instruments (Cost $117,351)				117,325
Purchased Options (i) 1.4% (Cost $6,558)				31,510
Total Investments 120.8% (Cost $2,614,488)			$	2,638,962
Written Options (j) (1.1%) (Premiums $7,122)				(23,934	)
Other Assets and Liabilities (Net) (19.7%)				(430,540	)
Net Assets (e) 100.0%			$	2,184,488

Notes to Schedule of Investments (amounts in thousands*, except number of contracts):

* A zero balance may reflect actual amounts rounding to less than one thousand.

(a) Coupon represents a weighted average rate.

(b) Principal amount of security is adjusted for inflation.

(c) Securities with an aggregate market value of $1,981 have been pledged as collateral for swap and swaption contracts on December 31, 2007.

(d) Securities with an aggregate market value of $3,811 have been pledged as collateral for delayed-delivery securities on December 31, 2007.

(e) As of December 31, 2007, portfolio securities with an aggregate value of $17,680 and derivative instruments with an aggregate depreciation of ($341) were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(f) The average amount of borrowings outstanding during the period ended December 31, 2007 was $225,062 at a weighted average interest rate of 5.140%. On December 31, 2007, securities valued at $69,621 were pledged as collateral for reverse repurchase agreements.

(g) Securities with an aggregate market value of $2,803 and cash of $11,005 have been segregated with the custodian to cover margin requirements for the following open futures contracts on December 31, 2007:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Eurodollar December Futures	Long	12/2008	3,578	$	11,728
90-Day Eurodollar June Futures	Long	06/2008	2,032		4,857
90-Day Eurodollar June Futures	Long	06/2009	230		609
90-Day Eurodollar March Futures	Long	03/2009	2,474		6,737
90-Day Eurodollar September Futures	Long	09/2008	323		652
90-Day Eurodollar September Futures	Long	09/2009	51		143
U.S. Treasury 2-Year Note March Futures	Short	03/2008	301		(271	)
U.S. Treasury 5-Year Note March Futures	Short	03/2008	534		(248	)
U.S. Treasury 10-Year Note March Futures	Long	03/2008	917		710
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2008	251		781
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2008	1,238		1,098
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2009	137		413
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2008	620		483
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2009	366		1,104
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2008	382		1,000
				$	29,796

(h) Swap agreements outstanding on December 31, 2007:

Credit Default Swaps on Securities

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Barclays Bank PLC	Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	5.650	%	09/20/2012	$	1,100	$	(38	)
Barclays Bank PLC	GMAC LLC 6.875% due 08/28/2012	Sell	3.650	%	09/20/2012		1,000		(99	)
Barclays Bank PLC	Petroleos Mexicanos 9.500% due 09/15/2027	Sell	0.830	%	07/20/2011		1,000		9
Barclays Bank PLC	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.710	%	12/20/2008		3,000		(9	)
Credit Suisse USA, Inc.	Multiple Reference Entities of Gazprom	Sell	1.000	%	11/20/2008		1,000		(1	)
Goldman Sachs & Co.	Anadarko Petroleum Corp. 6.125% due 03/15/2012	Sell	0.150	%	03/20/2008		1,500		0
Goldman Sachs & Co.	Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	3.850	%	09/20/2012		300		(26	)
Goldman Sachs & Co.	GMAC LLC 6.875% due 08/28/2012	Sell	3.200	%	09/20/2012		600		(66	)
HSBC Bank USA	Multiple Reference Entities of Gazprom	Sell	0.970	%	11/20/2008		900		(1	)
HSBC Bank USA	Multiple Reference Entities of Gazprom	Sell	0.360	%	05/20/2009		2,000		(28	)
JPMorgan Chase & Co.	Mexico Government International Bond 7.500% due 04/08/2033	Sell	0.920	%	03/20/2016		100		1
JPMorgan Chase & Co.	Multiple Reference Entities of Gazprom	Sell	0.970	%	10/20/2012		400		(11	)
JPMorgan Chase & Co.	Multiple Reference Entities of Gazprom	Sell	1.020	%	10/20/2012		400		(11	)
JPMorgan Chase & Co.	Panama Government International Bond 8.875% due 09/30/2027	Sell	0.730	%	01/20/2012		2,400		(12	)
JPMorgan Chase & Co.	Panama Government International Bond 8.875% due 09/30/2027	Sell	1.250	%	01/20/2017		900		(12	)
Lehman Brothers, Inc.	GMAC LLC 6.875% due 08/28/2012	Sell	1.680	%	09/20/2008		10,000		(421	)
Lehman Brothers, Inc.	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.400	%	12/20/2008		1,300		(5	)
Lehman Brothers, Inc.	Mexico Government International Bond 7.500% due 04/08/2033	Sell	0.920	%	03/20/2016		400		4
Lehman Brothers, Inc.	Multiple Reference Entities of Gazprom	Sell	1.430	%	07/20/2011		1,400		2
Lehman Brothers, Inc.	Multiple Reference Entities of Gazprom	Sell	0.850	%	11/20/2011		800		(20	)
Merrill Lynch & Co., Inc.	GMAC LLC 6.875% due 08/28/2012	Sell	1.850	%	09/20/2009		4,200		(380	)
Morgan Stanley	GMAC LLC 6.875% due 08/28/2012	Sell	1.050	%	09/20/2008		4,200		(195	)
Morgan Stanley	Panama Government International Bond 8.875% due 09/30/2027	Sell	0.750	%	01/20/2012		1,000		(4	)
Morgan Stanley	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.245	%	06/20/2008		900		(1	)
Morgan Stanley	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.305	%	12/20/2008		4,000		(10	)
Royal Bank of Scotland Group PLC	General Motors Corp. 7.125% due 07/15/2013	Sell	4.500	%	09/20/2008		1,400		19
Royal Bank of Scotland Group PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.310	%	12/20/2011		800		1
								$	(1,314	)

Credit Default Swaps on Credit Indices

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Notional Amount		Unrealized (Depreciation)
Citibank N.A.	Dow Jones CDX N.A. HY8 Index	Sell	0.355	%	06/20/2012	$	7,800	$	(147	)
Citibank N.A.	Dow Jones CDX N.A. HY8 Index	Sell	0.360	%	06/20/2012		5,000		(93	)
Citibank N.A.	Dow Jones CDX N.A. HY8 Index	Sell	0.401	%	06/20/2012		1,900		(32	)
Citibank N.A.	Dow Jones CDX N.A. HY8 Index	Sell	2.144	%	06/20/2012		600		(7	)
Lehman Brothers, Inc.	Dow Jones CDX N.A. EM8 Index	Sell	1.750	%	12/20/2012		20,000		(207	)
Merrill Lynch & Co., Inc.	Dow Jones CDX N.A. HY8 Index	Sell	1.833	%	06/20/2012		1,800		(45	)
Merrill Lynch & Co., Inc.	Dow Jones CDX N.A. HY8 Index	Sell	2.127	%	06/20/2012		500		(6	)
Morgan Stanley	Dow Jones CDX N.A. HY8 Index	Sell	2.080	%	06/20/2012		1,800		(27	)
Morgan Stanley	Dow Jones CDX N.A. HY8 Index	Sell	2.170	%	06/20/2012		700		(8	)
								$	(572	)

⁽¹⁾ If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will pay to the buyer of the protection an amount up to the notional value of the swap and in certain instances, take delivery of the security.

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Deutsche Bank AG	6-Month Australian Bank Bill	Pay	7.000	%	03/20/2013	AUD	6,600	$	(171	)
Deutsche Bank AG	6-Month Australian Bank Bill	Receive	6.500	%	03/20/2018		9,000		117
UBS Warburg LLC	3-Month Australian Bank Bill	Pay	7.000	%	09/15/2009		62,300		(340	)
Barclays Bank PLC	BRL-CDI-Compounded	Pay	11.360	%	01/04/2010	BRL	9,400		(80	)
Goldman Sachs & Co.	BRL-CDI-Compounded	Pay	11.465	%	01/04/2010		2,400		(18	)
Merrill Lynch & Co., Inc.	BRL-CDI-Compounded	Pay	11.430	%	01/04/2010		6,200		(48	)
Merrill Lynch & Co., Inc.	BRL-CDI-Compounded	Pay	12.948	%	01/04/2010		3,400		22
Merrill Lynch & Co., Inc.	BRL-CDI-Compounded	Pay	14.370	%	01/04/2010		3,700		85
Merrill Lynch & Co., Inc.	BRL-CDI-Compounded	Pay	11.980	%	01/02/2012		10,100		(122	)
Morgan Stanley	BRL-CDI-Compounded	Pay	12.780	%	01/04/2010		8,200		34
UBS Warburg LLC	BRL-CDI-Compounded	Pay	10.575	%	01/02/2012		14,400		(214	)
Barclays Bank PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.103	%	10/15/2010	EUR	1,800		18
Barclays Bank PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.960	%	04/05/2012		700		(13	)
BNP Paribas Bank	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.090	%	10/15/2010		10,300		69
Deutsche Bank AG	6-Month EUR-LIBOR	Pay	5.000	%	12/19/2009		14,000		71
Goldman Sachs & Co.	6-Month EUR-LIBOR	Pay	4.000	%	03/20/2009		5,700		(32	)
Goldman Sachs & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.960	%	03/30/2012		1,400		(26	)
JPMorgan Chase & Co.	6-Month EUR-LIBOR	Pay	4.500	%	03/19/2010		9,000		(2	)
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.948	%	03/15/2012		4,300		(83	)
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.958	%	04/10/2012		700		(14	)
Morgan Stanley	6-Month EUR-LIBOR	Pay	4.500	%	03/19/2010		4,900		0
Royal Bank of Scotland Group PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.955	%	03/28/2012		400		(7	)
UBS Warburg LLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.146	%	10/15/2010		1,200		14
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	6.000	%	12/20/2008	GBP	14,300		61
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	6.000	%	03/20/2009		8,100		56
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	5.000	%	06/15/2009		8,600		153
Barclays Bank PLC	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035		2,000		141
Barclays Bank PLC	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2036		1,800		172
Credit Suisse USA, Inc.	6-Month GBP-LIBOR	Pay	5.000	%	06/15/2009		1,700		21
Deutsche Bank AG	6-Month GBP-LIBOR	Pay	6.000	%	12/20/2008		8,600		34
Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	5.000	%	06/15/2009		16,900		191
Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	6.000	%	06/19/2009		39,100		846
Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	6.000	%	12/19/2009		3,100		117
Goldman Sachs & Co.	6-Month GBP-LIBOR	Receive	5.500	%	12/15/2036		2,600		(299	)
Goldman Sachs & Co.	6-Month GBP-LIBOR	Receive	5.000	%	12/19/2037		400		(60	)
HSBC Bank USA	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2036		3,200		193
Merrill Lynch & Co., Inc.	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035		800		58
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Pay	6.000	%	03/20/2009		7,500		48
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Pay	6.000	%	06/19/2009		11,100		233
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2036		5,900		429
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Receive	5.500	%	12/15/2036		700		(86	)
Barclays Bank PLC	6-Month JPY-LIBOR	Pay	2.000	%	12/19/2017	JPY	270,000		57
Deutsche Bank AG	6-Month JPY-LIBOR	Pay	2.000	%	12/19/2017		510,000		109
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.170	%	11/04/2016	MXN	7,000		(15	)
Goldman Sachs & Co.	28-Day Mexico Interbank TIIE Banxico	Pay	7.780	%	04/03/2012		19,800		(35	)
Merrill Lynch & Co., Inc.	28-Day Mexico Interbank TIIE Banxico	Pay	8.720	%	09/05/2016		8,400		(9	)
Morgan Stanley	28-Day Mexico Interbank TIIE Banxico	Pay	8.900	%	09/12/2016		9,200		19
Bank of America	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010	$	84,600		304
Bank of America	3-Month USD-LIBOR	Pay	5.000	%	06/18/2010		6,100		40
Bank of America	3-Month USD-LIBOR	Pay	4.000	%	06/18/2013		17,600		214
Bank of America	3-Month USD-LIBOR	Receive	5.000	%	06/18/2038		13,400		(241	)
Barclays Bank PLC	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010		13,000		41
Citibank N.A.	3-Month USD-LIBOR	Receive	5.000	%	06/18/2038		4,000		(120	)
Deutsche Bank AG	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010		65,700		110
Merrill Lynch & Co., Inc.	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010		25,900		126
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010		61,500		172
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	06/18/2038		8,200		(228	)
								$	2,112

(i) Purchased options outstanding on December 31, 2007:

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Cost		Value
Call - OTC 2-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Pay	4.750	%	09/26/2008	$	155,000	$	748	$	3,217
Call - OTC 1-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Pay	4.750	%	02/01/2008		59,000		170		451
Call - OTC 2-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Pay	5.200	%	02/02/2009		60,000		450		1,560
Call - OTC 2-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	4.750	%	03/31/2008		148,100		784		2,997
Call - OTC 2-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	4.750	%	09/26/2008		191,600		678		3,977
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	02/01/2008		131,200		651		3,071
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	03/31/2008		162,400		943		3,286
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	09/26/2008		58,900		234		1,223
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	12/15/2008		229,400		784		4,564
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	12/15/2008		302,400		1,116		7,164
									$	6,558	$	31,510

(j) Written options outstanding on December 31, 2007:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Value
Call - CBOT U.S. Treasury 5-Year Note March Futures	$	111.000	02/22/2008	130	$	79	$	93
Call - CBOT U.S. Treasury 10-Year Note March Futures		111.000	02/22/2008	51		21		145
Call - CBOT U.S. Treasury 10-Year Note March Futures		112.000	02/22/2008	57		46		122
Call - CBOT U.S. Treasury 10-Year Note March Futures		113.000	02/22/2008	61		46		95
Call - CBOT U.S. Treasury 10-Year Note March Futures		114.000	02/22/2008	245		202		276
Put - CBOT U.S. Treasury 5-Year Note March Futures		109.000	02/22/2008	130		93		57
Put - CBOT U.S. Treasury 10-Year Note March Futures		108.000	02/22/2008	61		25		4
Put - CBOT U.S. Treasury 10-Year Note March Futures		110.000	02/22/2008	245		134		61
					$	646	$	853

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Value
Call - OTC 5-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Receive	4.950	%	09/26/2008	$	67,400	$	756	$	2,456
Call - OTC 5-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Receive	4.900	%	02/01/2008		13,000		162		428
Call - OTC 5-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Receive	5.450	%	02/02/2009		26,000		447		1,322
Call - OTC 5-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	4.900	%	03/31/2008		64,000		754		2,212
Call - OTC 5-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	4.950	%	09/26/2008		83,100		689		3,028
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.100	%	02/01/2008		57,000		684		2,379
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.900	%	03/31/2008		33,100		440		1,144
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.950	%	03/31/2008		38,000		467		1,388
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.950	%	09/26/2008		25,600		232		933
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	12/15/2008		77,200		781		3,032
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.200	%	12/15/2008		100,800		1,064		4,759
									$	6,476	$	23,081

(k) Short sales outstanding on December 31, 2007:

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Value(2)
U.S. Treasury Bonds	3.125	%	11/30/2009	$	13,000	$	12,990	$	13,113
U.S. Treasury Notes	4.500	%	05/15/2017		32,300		32,897		33,724
						$	45,887	$	46,837

⁽²⁾ Market value includes $330 of interest payable on short sales.

(l) Foreign currency contracts outstanding on December 31, 2007:

Type	Currency	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	AED	1,556	05/2008	$	0	$	(1	)	$	(1	)
Buy	AUD	7,175	01/2008		0		(2	)		(2	)
Sell		1,494	01/2008		8		0			8
Buy		1,249	02/2008		26		0			26
Buy	BRL	34,677	03/2008		2,873		(7	)		2,866
Buy		91,881	07/2008		4,028		0			4,028
Buy	CLP	234,969	03/2008		25		0			25
Buy		177,894	07/2008		0		(1	)		(1	)
Buy	CNY	14,525	01/2008		22		0			22
Sell		14,525	01/2008		0		(36	)		(36	)
Sell	EUR	21,096	01/2008		49		0			49
Buy	GBP	595	01/2008		0		0			0
Sell		18,550	01/2008		430		(6	)		424
Buy	IDR	12,789,000	05/2008		0		(104	)		(104	)
Buy	INR	453,002	05/2008		646		0			646
Sell		453,002	05/2008		0		(445	)		(445	)
Buy	JPY	131,524	02/2008		0		(3	)		(3	)
Buy	KRW	4,836,879	01/2008		0		(136	)		(136	)
Buy		4,911,385	05/2008		6		(30	)		(24	)
Buy		4,435,233	08/2008		0		(22	)		(22	)
Buy	KWD	118	05/2008		2		0			2
Buy	MXN	122,841	03/2008		78		(21	)		57
Sell		36,126	03/2008		0		(26	)		(26	)
Buy		39,943	07/2008		33		(5	)		28
Buy	MYR	17,009	05/2008		88		0			88
Buy	NZD	1,011	01/2008		19		0			19
Buy		1,011	02/2008		0		(5	)		(5	)
Buy	PHP	200,198	05/2008		462		0			462
Buy	PLN	7,909	03/2008		270		0			270
Sell		7,909	03/2008		0		(35	)		(35	)
Buy		22,550	07/2008		871		0			871
Sell		22,550	07/2008		0		(96	)		(96	)
Buy	RUB	266,649	01/2008		463		0			463
Sell		266,649	01/2008		8		(2	)		6
Buy		265,080	07/2008		235		0			235
Sell		30,543	07/2008		0		(4	)		(4	)
Buy		114,396	11/2008		2		0			2
Buy	SAR	1,594	05/2008		0		(2	)		(2	)
Buy	SEK	11,210	03/2008		0		(19	)		(19	)
Buy	SGD	9,696	02/2008		192		(1	)		191
Buy		14,576	05/2008		439		0			439
Buy	ZAR	3,566	07/2008		12		(13	)		(1	)
				$	11,287	$	(1,022	)	$	10,265

See accompanying notes

Schedule of Investments

Asset-Backed Securities Portfolio

December 31, 2007 (Unaudited)

	Principal Amount (000s)		Value (000s)
CORPORATE BONDS & NOTES 4.1%
American International Group, Inc.
5.850% due 01/16/2018	$	3,000	$	3,025
Bear Stearns Cos., Inc.
6.400% due 10/02/2017		2,000		1,936
6.950% due 08/10/2012		5,000		5,146
Charlotte Gateway Village LLC
6.410% due 12/01/2016		1,774		1,876
CVS Lease Pass-Through
5.880% due 01/10/2028		1,912		1,852
Exelon Generation Co. LLC
6.200% due 10/01/2017		1,410		1,404
General Electric Capital Corp.
5.031% due 03/16/2009		3,000		3,000
Masco Corp.
5.875% due 07/15/2012		5,000		5,130
Northwest Airlines, Inc.
5.345% due 02/06/2015		1,676		1,659
Preferred Term Securities XII
5.541% due 03/24/2034		2,250		2,162
Prudential Financial, Inc.
6.000% due 12/01/2017		10,000		10,014
6.625% due 12/01/2037		1,000		1,012
SLM Corp.
3.625% due 03/17/2008		2,000		1,983
United Airlines, Inc.
6.636% due 07/02/2022		2,000		1,963
Total Corporate Bonds & Notes (Cost $41,949)				42,162
MUNICIPAL BONDS & NOTES 0.4%
West Virginia State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2007
7.467% due 06/01/2047		4,000		3,847
Total Municipal Bonds & Notes (Cost $3,760)				3,847
U.S. GOVERNMENT AGENCIES 34.0%
Fannie Mae
0.000% due 09/25/2008 (c)		54		53
3.083% due 08/01/2033		258		262
3.460% due 10/01/2033		588		588
3.490% due 12/25/2021		18		17
3.500% due 04/01/2010 - 09/01/2033		1,487		1,485
3.676% due 09/01/2033		13		13
3.753% due 09/01/2033		1,859		1,792
3.939% due 09/01/2033		1,482		1,451
3.959% due 05/01/2033		414		413
3.962% due 05/01/2034		899		891
3.973% due 04/01/2033		130		130
3.997% due 05/01/2033		537		541
4.000% due 05/20/2010 - 11/25/2033		2,519		2,480
4.005% due 12/01/2033		12		13
4.044% due 07/01/2033		256		256
4.047% due 05/01/2034		248		249
4.085% due 02/01/2035		120		120
4.098% due 09/01/2033		156		153
4.125% due 07/09/2012		100		100
4.141% due 04/01/2034		734		731
4.186% due 11/01/2034		1,835		1,853
4.222% due 09/01/2033		192		189
4.250% due 03/25/2033 - 05/25/2033		648		634
4.299% due 01/01/2033 - 04/01/2035		782		786
4.320% due 09/01/2035		1,238		1,235
4.324% due 01/01/2035		77		77
4.349% due 03/01/2035		1,509		1,519
4.386% due 07/01/2035		1,763		1,759
4.397% due 04/01/2034		44		44
4.404% due 05/01/2035		320		317
4.413% due 03/01/2035		216		215
4.433% due 02/01/2035		575		571
4.440% due 04/01/2033		1,939		1,934
4.450% due 06/01/2035		751		755
4.462% due 05/01/2036		1,302		1,305
4.466% due 01/01/2035 - 04/01/2035		589		587
4.487% due 01/01/2035		878		878
4.489% due 01/01/2035		245		243
4.500% due 01/01/2010 - 09/25/2018		1,049		1,042
4.505% due 03/01/2034 - 03/01/2035		1,890		1,913
4.509% due 06/01/2033		546		553
4.512% due 01/01/2035		256		254
4.527% due 12/01/2034		204		203
4.539% due 06/01/2035		2,061		2,052
4.563% due 09/01/2035		3,204		3,174
4.565% due 11/01/2034		398		396
4.570% due 07/01/2035		1,565		1,562
4.573% due 07/01/2033		106		106
4.577% due 04/01/2035		1,513		1,498
4.578% due 11/01/2034		165		166
4.584% due 07/01/2034		83		83
4.608% due 03/01/2033		14		14
4.650% due 11/01/2034		21		21
4.663% due 07/01/2033		180		179
4.664% due 04/01/2035		331		330
4.669% due 05/25/2035		2,000		2,017
4.670% due 06/01/2033		146		147
4.674% due 05/01/2035		1,034		1,030
4.688% due 04/01/2033		1,750		1,756
4.721% due 03/01/2035		213		214
4.756% due 01/01/2015		37		36
4.759% due 07/01/2034		585		591
4.764% due 02/01/2035		165		165
4.768% due 10/01/2034		57		57
4.769% due 10/01/2035		409		411
4.833% due 01/01/2035		375		378
4.838% due 07/01/2035		2,307		2,300
4.842% due 07/01/2035 (g)		4,727		4,748
4.843% due 01/01/2035		123		123
4.850% due 05/01/2036		1,524		1,531
4.878% due 09/01/2035		2,733		2,731
4.881% due 06/01/2035		624		628
4.898% due 06/01/2033		197		198
4.900% due 06/01/2035		903		901
4.910% due 02/01/2035		594		599
4.949% due 04/01/2036		576		581
4.995% due 03/25/2036		551		549
5.000% due 09/01/2009 - 09/01/2037		29,145		28,329
5.000% due 06/01/2020 - 11/01/2036 (g)		6,902		6,842
5.033% due 09/25/2008		21		21
5.045% due 07/01/2035		183		184
5.050% due 06/01/2033		130		132
5.052% due 07/01/2035		1,172		1,189
5.056% due 02/01/2035		1,390		1,394
5.079% due 03/01/2036		597		599
5.092% due 08/01/2035		300		302
5.098% due 10/01/2035		2,169		2,181
5.105% due 08/25/2031 - 05/25/2032		630		628
5.133% due 10/25/2008		44		44
5.152% due 12/01/2035		2,010		2,027
5.165% due 12/25/2025 - 04/25/2029		111		111
5.172% due 02/01/2036		1,519		1,548
5.183% due 09/25/2008		9		9
5.206% due 12/01/2036		616		628
5.215% due 12/25/2016		38		38
5.220% due 04/01/2036		463		465
5.222% due 03/01/2032		129		130
5.230% due 12/01/2014		25		25
5.237% due 12/01/2032		1,165		1,180
5.250% due 08/18/2017		100		100
5.254% due 02/01/2036		2,800		2,842
5.256% due 03/01/2036		472		474
5.272% due 12/01/2035		104		106
5.293% due 04/01/2037		422		426
5.311% due 09/01/2035		2,576		2,626
5.315% due 10/25/2030 - 02/25/2033		590		593
5.325% due 06/25/2021 - 10/25/2021		128		129
5.365% due 05/25/2023 - 08/25/2031		2,235		2,252
5.370% due 08/25/2043		1,000		1,015
5.375% due 01/25/2020 - 10/25/2031		345		347
5.387% due 04/01/2032		195		202
5.396% due 05/18/2032		347		349
5.425% due 12/25/2021		233		235
5.428% due 11/17/2030		177		178
5.431% due 09/17/2027		11		11
5.471% due 01/01/2033		409		412
5.475% due 03/25/2008		5		5
5.500% due 07/25/2008 - 01/01/2038		25,774		25,695
5.500% due 11/01/2036 - 05/01/2037 (g)		64,277		64,216
5.511% due 01/01/2037		195		198
5.515% due 11/25/2031		745		754
5.520% due 07/01/2034		119		120
5.526% due 10/01/2017		22		22
5.546% due 12/18/2031		997		1,009
5.569% due 01/01/2029		24		25
5.579% due 01/01/2017		31		31
5.583% due 05/01/2017		67		68
5.585% due 12/01/2017		40		40
5.596% due 11/18/2031		41		41
5.602% due 09/01/2015		47		47
5.609% due 10/01/2027		12		12
5.613% due 10/01/2028		58		59
5.620% due 05/01/2036		197		199
5.625% due 10/01/2016 - 12/01/2028		163		164
5.626% due 05/01/2036		355		357
5.633% due 10/01/2026 - 11/01/2040		262		264
5.642% due 10/01/2018		929		937
5.662% due 05/01/2036		147		150
5.725% due 05/25/2018 - 10/25/2020		162		165
5.775% due 08/25/2023		108		109
5.801% due 04/01/2036		382		384
5.825% due 12/01/2036		325		332
5.850% due 09/16/2028		67		67
5.865% due 04/25/2032		69		70
5.875% due 12/25/2023		137		139
5.893% due 12/01/2036		341		347
5.959% due 05/01/2025		200		202
5.975% due 12/25/2008		71		71
6.000% due 03/01/2009 - 12/25/2023		852		868
6.050% due 05/25/2023		66		66
6.063% due 07/01/2042 - 10/01/2044		547		548
6.075% due 01/25/2024		577		591
6.080% due 01/01/2037		1,779		1,813
6.154% due 04/01/2036		54		55
6.209% due 12/01/2024		44		45
6.220% due 10/01/2031		86		88
6.250% due 02/01/2011		461		481
6.253% due 11/01/2032		252		256
6.263% due 11/01/2030 - 10/01/2040		265		267
6.280% due 02/01/2018		12		12
6.300% due 12/01/2024		12		13
6.305% due 10/01/2032		43		44
6.400% due 12/01/2017		57		57
6.440% due 02/01/2011 - 07/01/2036		961		995
6.450% due 11/01/2019		28		28
6.495% due 03/01/2019		26		26
6.500% due 12/25/2023		201		210
6.510% due 08/01/2036		1,085		1,121
6.625% due 07/01/2010		22		23
6.635% due 03/01/2034		65		65
6.665% due 08/01/2018		38		39
6.667% due 10/25/2008		24		24
6.770% due 01/18/2029		239		249
6.785% due 10/01/2033		64		65
6.811% due 11/01/2035		47		48
6.907% due 09/01/2030		51		52
6.948% due 03/01/2030		31		31
7.000% due 03/01/2015 (g)		1,196		1,247
7.000% due 02/01/2019 - 07/25/2042		171		179
7.015% due 10/25/2008		29		29
7.031% due 05/01/2033		80		81
7.053% due 08/01/2032		70		70
7.063% due 09/01/2033		12		12
7.080% due 03/01/2027		12		12
7.098% due 09/01/2033		50		51
7.106% due 01/01/2028		31		31
7.125% due 03/01/2029		20		20
7.190% due 03/01/2027		82		84
7.196% due 04/01/2018		24		25
7.215% due 05/01/2031		15		15
7.226% due 10/01/2033		987		1,001
7.250% due 09/01/2032		27		28
7.456% due 11/01/2024		125		126
7.500% due 08/25/2021 - 04/25/2022		251		262
8.515% due 10/25/2008		58		58
10.725% due 08/25/2021		103		123
Farmer Mac
7.547% due 01/25/2012		360		363
Federal Home Loan Bank
3.000% due 06/02/2008		1,950		1,937
3.625% due 07/14/2010		500		497
4.750% due 07/14/2017		100		99
5.000% due 06/19/2018		500		497
Federal Housing Administration
7.430% due 03/01/2021		12		12
Freddie Mac
3.350% due 08/15/2023		127		126
3.533% due 09/01/2033		454		452
3.560% due 10/15/2022		51		51
3.815% due 09/01/2033		84		84
3.856% due 01/01/2034		97		96
4.000% due 09/25/2009 - 10/15/2033		521		479
4.140% due 04/01/2034		332		330
4.171% due 06/01/2034		1,245		1,239
4.173% due 05/15/2023		136		136
4.185% due 02/01/2035		707		707
4.190% due 04/01/2035		829		841
4.201% due 04/01/2033		105		106
4.217% due 02/01/2035		1,034		1,029
4.244% due 03/01/2034		211		215
4.276% due 10/01/2033		178		177
4.292% due 12/01/2033		377		385
4.331% due 11/01/2034		110		108
4.335% due 11/01/2034		281		280
4.339% due 02/01/2035		212		210
4.359% due 02/01/2035		139		138
4.366% due 01/01/2035		186		185
4.368% due 11/01/2034		312		311
4.376% due 01/01/2035		309		306
4.385% due 11/01/2034		97		96
4.392% due 09/01/2035 (g)		1,530		1,513
4.398% due 11/01/2033		117		117
4.410% due 01/01/2035		720		715
4.411% due 03/01/2034		2,605		2,665
4.424% due 01/01/2035		321		315
4.427% due 02/01/2035 - 04/01/2035		1,774		1,762
4.431% due 02/01/2035		186		184
4.448% due 02/01/2035		281		279
4.454% due 06/01/2035		1,334		1,327
4.461% due 10/01/2034		162		161
4.473% due 11/01/2034		149		148
4.500% due 08/01/2010 - 09/15/2018		2,388		2,379
4.502% due 02/01/2035		230		227
4.569% due 01/01/2035		951		972
4.582% due 08/01/2035		1,312		1,308
4.672% due 09/01/2035		376		375
4.732% due 12/01/2033		1,192		1,200
4.829% due 11/01/2035		704		703
4.852% due 09/01/2035		130		130
4.881% due 01/01/2037		1,278		1,255
4.897% due 03/01/2035		2,583		2,575
4.929% due 11/01/2035		3,294		3,299
4.949% due 04/01/2034		161		162
4.988% due 05/01/2035		756		757
5.000% due 02/15/2011 - 09/15/2035		1,840		1,821
5.017% due 12/01/2035		553		558
5.090% due 09/25/2023		1,212		1,219
5.125% due 08/25/2031		268		268
5.162% due 07/01/2034		1,859		1,860
5.186% due 09/01/2035		375		377
5.209% due 11/01/2034		817		828
5.225% due 10/25/2029		3		3
5.228% due 03/15/2031		1,047		1,045
5.250% due 07/30/2018		100		100
5.278% due 10/15/2032		77		77
5.321% due 09/01/2035		78		78
5.361% due 04/01/2036		407		411
5.363% due 04/01/2035		348		350
5.378% due 12/15/2029		80		80
5.422% due 02/01/2036		165		168
5.457% due 07/01/2037		223		224
5.462% due 09/15/2023		97		97
5.478% due 12/15/2031		28		28
5.500% due 12/01/2008 - 10/15/2015		724		727
5.523% due 01/01/2032		52		53
5.528% due 04/15/2032		1,256		1,267
5.562% due 05/15/2023		333		333
5.578% due 08/15/2029 - 08/15/2031		680		686
5.589% due 12/01/2035		364		364
5.662% due 04/01/2036		242		244
5.698% due 03/01/2025		87		88
5.709% due 03/01/2037		2,871		2,922
5.712% due 03/15/2020		72		72
5.759% due 03/01/2036		1,376		1,396
5.836% due 04/01/2032		140		141
5.913% due 08/01/2031		325		330
5.920% due 07/01/2037		5,212		5,279
5.993% due 12/01/2024		578		586
6.000% due 11/01/2036 - 09/01/2037 (g)		16,633		16,885
6.012% due 02/15/2021		30		30
6.063% due 02/25/2045		74		74
6.080% due 11/01/2024		266		270
6.112% due 10/15/2022		129		129
6.162% due 05/15/2023		43		44
6.263% due 07/25/2044		2,985		2,985
6.289% due 01/01/2035		49		49
6.500% due 03/15/2009 - 07/25/2043		691		709
6.500% due 05/15/2029 (g)		3,544		3,663
6.590% due 05/01/2026		69		71
6.633% due 10/01/2033		22		22
6.695% due 10/01/2036		5,018		5,153
6.718% due 09/01/2036		7,202		7,352
6.767% due 07/01/2036		7,075		7,230
7.000% due 06/01/2016 (g)		1,635		1,702
7.145% due 09/15/2014		43		46
7.158% due 04/01/2031		35		36
7.175% due 04/01/2033		26		26
7.187% due 07/01/2032		47		47
7.200% due 03/01/2028		17		17
7.218% due 08/01/2029		24		24
7.236% due 08/01/2023 - 08/01/2032		57		57
7.239% due 02/01/2026		33		33
7.251% due 02/01/2022		15		16
7.285% due 09/01/2028		77		77
7.310% due 11/01/2023		13		13
7.339% due 03/01/2033		31		32
9.250% due 11/15/2019		26		26
Ginnie Mae
5.349% due 02/20/2029 - 09/20/2030		388		388
5.428% due 03/16/2029		220		220
5.578% due 10/16/2029		184		186
5.625% due 09/20/2018 - 09/20/2032		1,523		1,530
5.875% due 11/20/2031		39		39
6.000% due 04/20/2016 - 01/20/2034		1,394		1,408
6.125% due 10/20/2026 - 12/20/2027		84		85
6.250% due 02/20/2030		236		239
6.375% due 04/20/2017 - 04/20/2033		1,142		1,154
6.500% due 05/20/2016 - 04/20/2019		30		31
7.000% due 10/20/2021		478		495
Tennessee Valley Authority
5.880% due 04/01/2036		3,000		3,458
Total U.S. Government Agencies (Cost $340,277)				346,263
MORTGAGE-BACKED SECURITIES 31.0%
Adjustable Rate Mortgage Trust
5.222% due 11/25/2035		3,960		3,917
American Home Mortgage Investment Trust
4.992% due 06/25/2045		566		562
5.015% due 09/25/2035		251		251
Banc of America Commercial Mortgage, Inc.
4.772% due 07/11/2043		707		710
Banc of America Funding Corp.
4.111% due 05/25/2035		142		141
Banc of America Mortgage Securities, Inc.
3.858% due 02/25/2034		3,789		3,711
4.003% due 02/25/2033		664		662
4.110% due 06/25/2034		470		466
4.146% due 07/25/2034		229		227
4.570% due 11/25/2033		346		343
6.404% due 11/25/2034		376		374
6.500% due 09/25/2033		109		111
7.155% due 07/25/2033		748		755
7.281% due 05/25/2033		618		622
Bear Stearns Adjustable Rate Mortgage Trust
3.951% due 04/25/2034		4,241		4,266
4.457% due 04/25/2034		2,455		2,439
4.486% due 02/25/2034		1,973		1,948
4.750% due 10/25/2035		348		346
4.780% due 11/25/2034		2,460		2,448
5.222% due 05/25/2033		2,069		2,066
5.378% due 10/25/2034		286		285
5.765% due 02/25/2036		818		825
5.789% due 02/25/2033		39		40
6.267% due 11/25/2030		75		75
6.701% due 04/25/2034		605		609
6.827% due 10/25/2034		477		479
Bear Stearns Alt-A Trust
4.376% due 12/25/2033		2,381		2,366
5.349% due 02/25/2036		57		57
5.368% due 05/25/2035		147		145
5.678% due 08/25/2036		2,455		2,406
5.902% due 01/25/2036		2,659		2,593
Bear Stearns Commercial Mortgage Securities
5.678% due 03/15/2019		2,500		2,338
Bear Stearns Mortgage Securities, Inc.
6.299% due 06/25/2030		579		591
Bear Stearns Structured Products, Inc.
4.989% due 01/25/2037		8,069		7,986
5.684% due 01/26/2036		2,962		2,936
5.787% due 12/26/2046		1,735		1,714
Carey Commercial Mortgage Trust
5.970% due 09/20/2019		1,755		1,782
CBA Commercial Small Balance Commercial Mortgage
5.145% due 12/25/2036		1,045		1,034
CC Mortgage Funding Corp.
5.342% due 01/25/2035		2,047		1,667
Chase Mortgage Finance Corp.
5.000% due 11/25/2033		325		316
5.398% due 01/25/2036		378		366
Citicorp Mortgage Securities, Inc.
5.000% due 12/25/2033		196		195
6.574% due 11/25/2018		53		53
Citigroup Commercial Mortgage Trust
5.098% due 08/15/2021		240		232
Citigroup Mortgage Loan Trust, Inc.
4.098% due 08/25/2035		824		805
4.248% due 08/25/2035		2,343		2,297
4.679% due 08/25/2035		1,090		1,076
4.900% due 12/25/2035		267		263
6.500% due 06/25/2016 (g)		4,011		4,124
Commercial Mortgage Pass-Through Certificates
5.362% due 02/05/2019		3,000		3,025
5.479% due 02/05/2019		3,000		3,043
6.455% due 05/15/2032		1,600		1,605
6.715% due 02/01/2009		1,338		1,363
Countrywide Alternative Loan Trust
5.115% due 05/25/2035		633		628
5.135% due 02/25/2036		494		474
5.145% due 12/25/2035		886		860
5.155% due 11/25/2035		221		210
5.159% due 03/20/2046		1,033		975
5.175% due 10/25/2035		322		319
5.195% due 10/25/2035		245		234
5.269% due 11/20/2035		1,424		1,348
5.748% due 08/25/2046		5,477		5,173
5.750% due 06/25/2033		1,307		1,310
6.000% due 10/25/2032		32		32
6.175% due 08/25/2036		1,042		1,043
Countrywide Home Loan Mortgage Pass-Through Trust
3.553% due 07/19/2033		889		900
4.500% due 10/25/2018		380		337
4.579% due 02/19/2034		88		86
4.611% due 01/19/2034		1,801		1,761
4.920% due 05/19/2033		189		189
5.000% due 06/25/2033		953		948
5.135% due 02/25/2035		396		388
5.155% due 04/25/2035		236		225
5.165% due 03/25/2035		191		182
5.185% due 03/25/2035		2,026		1,920
5.205% due 02/25/2035		251		236
5.255% due 02/25/2035		627		585
5.325% due 09/25/2034		483		456
5.455% due 08/25/2034		2,372		2,377
5.500% due 08/25/2033		932		817
5.500% due 11/25/2035		1,231		1,233
6.201% due 04/25/2035		649		570
6.706% due 06/19/2031		12		12
CS First Boston Mortgage Securities Corp.
4.094% due 08/25/2033		1,552		1,556
4.650% due 01/25/2034		2,400		2,397
4.832% due 04/15/2037		2,000		1,926
4.940% due 12/15/2035		2,305		2,310
5.345% due 01/25/2033		38		36
5.500% due 11/25/2035		2,247		2,243
5.603% due 07/15/2035		1,180		1,216
5.758% due 03/25/2032		131		127
6.250% due 07/25/2035		1,653		1,649
6.500% due 04/25/2033		107		107
7.000% due 02/25/2033		123		123
7.339% due 12/25/2032		419		418
Denver Arena Trust
6.940% due 11/15/2019		1,556		1,576
Drexel Burnham Lambert CMO Trust
5.975% due 05/01/2016		232		232
First Horizon Alternative Mortgage Securities
4.481% due 03/25/2035		954		950
4.728% due 06/25/2034		2,635		2,611
5.302% due 09/25/2034		1,247		1,242
First Horizon Asset Securities, Inc.
4.915% due 02/25/2035		614		621
5.372% due 08/25/2035		1,932		1,924
First Republic Mortgage Loan Trust
5.185% due 06/25/2030		179		175
5.378% due 11/15/2031		893		874
GMAC Commercial Mortgage Securities, Inc.
4.154% due 07/10/2039		3,653		3,614
5.713% due 10/15/2038		500		517
6.278% due 11/15/2039		4,000		4,207
6.500% due 05/15/2035		3,000		3,036
GMAC Mortgage Corp. Loan Trust
5.500% due 09/25/2034		153		153
Greenpoint Mortgage Funding Trust
5.085% due 06/25/2045		665		630
5.095% due 06/25/2045		818		776
Greenwich Capital Acceptance, Inc.
8.063% due 06/25/2024		86		86
Greenwich Capital Commercial Funding Corp.
5.224% due 04/10/2037		2,000		1,988
GS Mortgage Securities Corp. II
5.622% due 03/06/2020		4,500		4,317
6.044% due 08/15/2018		506		519
GSR Mortgage Loan Trust
5.251% due 11/25/2035		4,790		4,631
6.000% due 03/25/2032		3		3
GSRPM Mortgage Loan Trust
5.565% due 01/25/2032		841		844
Harborview Mortgage Loan Trust
4.584% due 11/19/2034		159		158
5.055% due 01/19/2038		1,094		1,082
5.148% due 07/19/2035		8,793		8,691
5.155% due 01/19/2038		1,645		1,543
5.155% due 02/19/2046		1,471		1,377
5.185% due 05/19/2035		905		857
5.205% due 03/19/2037		782		735
5.300% due 12/19/2035		191		192
6.896% due 08/19/2034		1,000		1,007
Hilton Hotel Pool Trust
5.725% due 10/03/2015		2,000		2,004
Impac Secured Assets CMN Owner Trust
5.215% due 05/25/2036		189		178
5.295% due 08/25/2036		3,088		2,866
Indymac ARM Trust
6.574% due 01/25/2032		38		38
Indymac Index Mortgage Loan Trust
5.047% due 12/25/2034		1,929		1,909
5.075% due 06/25/2047		570		537
5.105% due 04/25/2035		854		809
5.145% due 03/25/2035		756		709
5.185% due 02/25/2035		870		828
5.475% due 09/25/2034		700		695
Indymac Loan Trust
5.085% due 01/25/2011		78		73
5.145% due 07/25/2009		72		71
JPMorgan Chase Commercial Mortgage Securities Corp.
3.890% due 01/12/2037		3,547		3,511
5.138% due 02/15/2019		4		4
5.376% due 07/12/2037		1,900		1,940
JPMorgan Mortgage Trust
5.107% due 06/25/2035		810		816
Kidder Peabody Mortgage Assets Trust
6.500% due 02/22/2017		59		60
LB Mortgage Trust
7.810% due 01/15/2009		6		6
8.471% due 01/20/2017		308		338
LB-UBS Commercial Mortgage Trust
4.394% due 07/15/2030		59		58
6.058% due 06/15/2020		65		66
MASTR Adjustable Rate Mortgages Trust
3.786% due 11/21/2034		9,046		8,945
4.139% due 07/25/2034		145		142
6.165% due 10/25/2032		1,835		1,829
7.323% due 12/25/2033		9		9
MASTR Asset Securitization Trust
4.750% due 12/25/2033		1,733		1,715
Mellon Residential Funding Corp.
5.468% due 12/15/2030		796		781
Merrill Lynch Mortgage Investors, Inc.
4.975% due 05/25/2033		2,935		2,919
Merrill Lynch Mortgage Trust
4.218% due 06/12/2043		546		541
MLCC Mortgage Investors, Inc.
4.250% due 10/25/2035		2,957		2,898
4.725% due 12/25/2034		1,892		1,885
5.235% due 03/25/2028		16		16
Morgan Stanley Capital I
5.204% due 11/14/2042		1,090		1,085
Ocwen Residential Mortgage-Backed Securities Corp.
6.837% due 06/25/2039		577		443
Provident Funding Mortgage Loan Trust
3.901% due 10/25/2035		1,930		1,926
4.449% due 04/25/2034		1,992		2,017
Prudential Securities Secured Financing Corp.
7.345% due 05/25/2022		208		207
Residential Accredit Loans, Inc.
5.165% due 08/25/2035 (g)		5,715		5,401
5.336% due 09/25/2034		73		74
Residential Asset Mortgage Products, Inc.
7.000% due 06/25/2032		43		43
Residential Asset Securitization Trust
4.750% due 02/25/2019		620		611
5.212% due 12/25/2034		2,626		2,577
5.215% due 10/25/2018		315		306
Residential Funding Mortgage Securities I, Inc.
5.265% due 07/25/2018		272		271
6.500% due 03/25/2032		7		7
Rural Housing Trust 1987-1
8.330% due 04/01/2026		30		30
Salomon Brothers Mortgage Securities VII, Inc.
4.114% due 09/25/2033		89		90
5.365% due 05/25/2032		227		227
7.425% due 12/25/2030		1,467		1,463
8.500% due 05/25/2032		806		831
Sequoia Mortgage Trust
4.080% due 04/20/2035		354		352
5.179% due 02/20/2035		114		111
5.315% due 10/19/2026		244		239
5.349% due 10/20/2027		44		42
Starwood Commercial Mortgage Trust
6.920% due 02/03/2014		1,000		1,031
Structured Adjustable Rate Mortgage Loan Trust
4.500% due 02/25/2034		573		572
5.205% due 08/25/2035		291		282
5.355% due 06/25/2034		670		670
5.535% due 08/25/2035		2,089		2,074
6.188% due 01/25/2035		941		913
Structured Asset Mortgage Investments, Inc.
5.035% due 03/25/2037		1,477		1,413
5.085% due 05/25/2036		2,414		2,278
5.175% due 12/25/2035		1,001		949
5.385% due 10/19/2033		80		79
5.841% due 05/02/2030		125		125
Structured Asset Securities Corp.
4.420% due 06/25/2033		2,285		2,276
6.541% due 02/25/2032		7		7
6.965% due 11/25/2032		20		20
7.209% due 10/25/2031		88		88
7.244% due 06/25/2032		24		24
7.340% due 06/25/2033		745		758
Thornburg Mortgage Securities Trust
4.883% due 03/25/2037		3,797		3,702
4.915% due 03/25/2046		820		815
4.975% due 03/25/2046		1,711		1,706
Travelers Mortgage Services, Inc.
7.247% due 09/25/2018		82		82
Wachovia Bank Commercial Mortgage Trust
0.206% due 10/15/2041 (b)		100,554		1,993
Washington Mutual MSC Mortgage Pass-Through Certificates
5.364% due 02/25/2033		2,087		2,079
5.365% due 01/25/2018		264		264
5.967% due 02/25/2033		99		99
7.362% due 11/25/2030		101		100
Washington Mutual, Inc.
3.423% due 05/25/2033		2,198		2,197
3.940% due 07/25/2034		470		465
4.046% due 09/25/2033		3,768		3,746
4.056% due 10/25/2033		500		497
4.143% due 08/25/2034		625		620
4.184% due 08/25/2033		96		91
4.243% due 06/25/2034		483		478
4.322% due 06/25/2033		1,191		1,184
4.551% due 03/25/2033		2,449		2,435
4.672% due 04/25/2035		200		199
4.752% due 04/25/2033		1,000		987
4.918% due 08/25/2035		6,811		6,762
5.125% due 11/25/2045		1,669		1,577
5.135% due 12/25/2045		1,489		1,396
5.155% due 07/25/2045		1,663		1,576
5.155% due 10/25/2045		38		36
5.175% due 01/25/2045		355		336
5.182% due 11/25/2034		64		62
5.185% due 07/25/2045		2,898		2,749
5.202% due 10/25/2044		2,227		2,195
5.232% due 06/25/2044		291		287
5.232% due 07/25/2044		253		246
5.255% due 12/25/2045		488		487
5.312% due 07/25/2044		213		203
5.405% due 12/25/2027		1,654		1,582
5.483% due 02/27/2034		1,961		1,921
5.633% due 11/25/2041		21		21
5.788% due 02/25/2046		976		950
6.059% due 05/25/2041		128		128
6.063% due 11/25/2041		302		291
6.188% due 06/25/2042		70		67
6.188% due 08/25/2042		63		60
6.188% due 04/25/2044		5		5
6.678% due 12/19/2039		957		939
Wells Fargo Mortgage-Backed Securities Trust
3.540% due 09/25/2034		450		446
4.000% due 08/25/2034		410		408
4.380% due 05/25/2035		1,121		1,114
4.479% due 06/25/2035		1,306		1,310
4.490% due 11/25/2033		143		139
4.515% due 11/25/2033		2,000		1,976
4.527% due 06/25/2034 (g)		3,647		3,596
4.541% due 02/25/2035		1,580		1,569
4.558% due 01/25/2035		3,901		3,889
4.573% due 12/25/2034		1,134		1,114
4.591% due 11/25/2034		1,612		1,607
4.596% due 12/25/2033		2,100		1,996
4.706% due 12/25/2033		2,791		2,717
4.732% due 07/25/2034		2,360		2,336
4.846% due 02/25/2033		59		59
4.949% due 01/25/2035		5,214		5,160
4.950% due 03/25/2036		1,043		1,032
4.998% due 12/25/2034		93		92
5.000% due 10/25/2035		185		184
5.250% due 02/25/2018		672		672
Total Mortgage-Backed Securities (Cost $317,626)				316,299
ASSET-BACKED SECURITIES 35.9%
Aames Mortgage Investment Trust
4.925% due 04/25/2036		20		20
5.265% due 10/25/2035		2,021		1,904
ABFS Mortgage Loan Trust
6.285% due 07/15/2033		2,000		1,849
Accredited Mortgage Loan Trust
4.905% due 09/25/2036		254		251
4.925% due 04/25/2036		330		328
5.015% due 12/25/2035		2,521		2,510
5.075% due 12/25/2035		100		96
ACE Securities Corp.
4.915% due 08/25/2036		1,290		1,228
5.015% due 12/25/2035 (g)		5,100		4,990
5.075% due 08/25/2035		551		550
5.665% due 03/25/2035		1,476		1,326
Aircraft Certificate Owner Trust
6.455% due 09/20/2022		2,518		2,605
American Express Credit Account Master Trust
5.208% due 11/15/2010		75		75
5.528% due 02/15/2012		1,813		1,812
American Home Mortgage Investment Trust
5.045% due 08/25/2035		48		48
American Residential Eagle Certificate Trust
5.865% due 05/25/2028		831		805
Amortizing Residential Collateral Trust
5.135% due 06/25/2032		45		44
5.145% due 01/25/2032		65		61
5.215% due 08/25/2032		18		18
Amresco Residential Securities Mortgage Loan Trust
0.978% due 09/25/2027		530		514
5.360% due 06/25/2028		199		179
5.375% due 03/25/2027		12		12
5.420% due 06/25/2027		147		139
Argent Securities, Inc.
4.915% due 09/25/2036		89		87
4.945% due 03/25/2036		51		51
5.025% due 03/25/2036 (g)		5,500		5,386
Asset-Backed Funding Certificates
4.905% due 09/25/2036		371		366
4.925% due 01/25/2037		117		115
5.215% due 06/25/2034		1,035		997
5.285% due 12/25/2034		4,905		4,165
5.885% due 03/25/2032		1,973		1,736
Asset-Backed Securities Corp. Home Equity
4.975% due 05/25/2036		1,748		1,732
5.265% due 05/25/2036		2,500		1,315
5.548% due 06/15/2031		70		69
6.378% due 04/15/2033		182		181
Bayview Financial Asset Trust
5.265% due 12/25/2039		676		673
Bear Stearns Asset-Backed Securities Trust
4.925% due 05/25/2036		748		736
4.955% due 04/25/2036		198		196
4.965% due 12/25/2035		103		103
5.015% due 08/25/2036		298		291
5.065% due 09/25/2034		104		104
5.065% due 06/25/2036		2,926		2,785
5.195% due 10/25/2032		206		201
5.195% due 01/25/2036		1,083		1,061
5.265% due 10/27/2032		90		89
5.365% due 06/25/2035 (g)		5,988		5,721
5.365% due 09/25/2034 (j)		546		495
5.465% due 10/25/2032		243		241
5.563% due 10/25/2036		4,132		4,016
5.615% due 11/25/2042		364		363
5.819% due 07/25/2036		2,675		2,574
5.865% due 10/25/2037		13,924		13,317
6.115% due 08/25/2037		7,575		7,582
6.465% due 10/25/2037		1,500		1,415
Bear Stearns Second Lien Trust
5.665% due 12/25/2036		5,000		2,841
7.365% due 12/25/2036		1,200		124
Capital Auto Receivables Asset Trust
5.040% due 05/17/2010		2,000		2,009
CDC Mortgage Capital Trust
5.175% due 01/25/2033		48		47
5.915% due 01/25/2033		1,676		1,354
Cendant Mortgage Corp.
5.989% due 07/25/2043		220		218
Centex Home Equity
5.160% due 09/25/2034		2,000		1,876
5.345% due 06/25/2034		30		28
5.555% due 09/25/2034		1,400		1,316
Charming Shoppes Master Trust
5.358% due 05/15/2014		1,000		1,000
Chase Funding Mortgage Loan Asset-Backed Certificates
4.515% due 02/25/2014		496		482
4.537% due 09/25/2032		9		8
5.135% due 04/25/2033		10		9
CIT Group Home Equity Loan Trust
5.515% due 12/25/2031		1,201		1,075
Citibank Omni Master Trust
5.962% due 12/23/2013		10,000		9,994
Citigroup Mortgage Loan Trust, Inc.
4.915% due 10/25/2036		1,093		1,084
4.945% due 01/25/2037		421		401
4.965% due 10/25/2036		2,700		2,581
4.975% due 08/25/2036		100		94
5.629% due 08/25/2035		2,777		2,828
Community Program Loan Trust
4.500% due 10/01/2018		1,264		1,257
4.500% due 04/01/2029		500		469
Conseco Finance Securitizations Corp.
8.310% due 05/01/2032		2,130		1,630
ContiMortgage Home Equity Trust
5.508% due 06/15/2025		31		30
7.780% due 04/25/2014		6		6
Countrywide Asset-Backed Certificates
4.915% due 05/25/2037		566		558
4.915% due 07/25/2037		281		272
4.915% due 08/25/2037		1,526		1,488
4.946% due 10/25/2035		320		312
4.965% due 09/25/2047		2,160		2,090
4.995% due 07/25/2036		12		12
5.005% due 04/25/2036		138		138
5.025% due 02/25/2036		480		467
5.045% due 09/25/2036		193		179
5.065% due 08/25/2035		53		53
5.075% due 10/25/2035		679		678
5.125% due 12/25/2034		3,000		2,685
5.165% due 11/25/2033		45		43
5.205% due 06/25/2033		37		37
5.205% due 05/25/2036		27		27
5.235% due 12/25/2034		75		73
5.325% due 11/25/2036		4,000		3,393
5.335% due 11/25/2033		276		225
5.345% due 12/25/2031		25		23
5.365% due 09/25/2032		382		376
5.485% due 09/25/2033		17		17
5.765% due 04/25/2032		340		327
5.765% due 05/25/2032		700		628
Credit-Based Asset Servicing & Securitization LLC
4.925% due 03/25/2036		77		77
5.295% due 01/25/2036		1,000		771
5.495% due 06/25/2032		7		7
5.765% due 11/25/2033		2,834		2,806
6.265% due 01/25/2031		592		592
CS First Boston Mortgage Securities Corp.
5.115% due 01/25/2043		238		238
5.225% due 05/25/2044		271		269
5.485% due 01/25/2032		17		17
Embarcadero Aircraft Securitization Trust
6.128% due 08/15/2025 (a)		1,183		12
EMC Mortgage Loan Trust
5.315% due 12/25/2042		2,179		1,983
5.615% due 08/25/2040		979		902
Equifirst Mortgage Loan Trust
3.750% due 09/25/2033		1,776		1,744
Equity One Asset-Backed Securities, Inc.
5.115% due 07/25/2034		76		75
5.165% due 04/25/2034		33		30
5.205% due 07/25/2034		5		5
First Alliance Mortgage Loan Trust
5.159% due 09/20/2027		50		49
5.345% due 10/25/2024		17		16
8.020% due 03/20/2031		30		30
First Franklin Mortgage Loan Asset-Backed Certificates
4.915% due 11/25/2036		3,402		3,264
4.915% due 12/25/2036		1,157		1,129
4.935% due 03/25/2036		2,806		2,781
4.955% due 01/25/2036		515		512
4.975% due 04/25/2036		5,000		4,865
5.245% due 10/25/2034		10		10
5.265% due 04/25/2035		3,000		2,695
5.485% due 11/25/2031		259		246
First International Bank N.A.
5.578% due 03/15/2027		148		67
First NLC Trust
4.935% due 08/25/2037		906		888
5.105% due 02/25/2036		3,024		3,009
Fleet Home Equity Loan Trust
5.199% due 01/20/2033		260		246
Ford Credit Auto Owner Trust
5.292% due 10/15/2008		2,773		2,777
Fremont Home Loan Trust
4.915% due 10/25/2036		2,038		2,013
4.935% due 02/25/2037		1,067		1,046
4.975% due 02/25/2036		600		568
Green Tree Financial Corp.
6.110% due 09/01/2023		2,722		2,752
6.180% due 04/01/2030		1,340		1,319
6.220% due 03/01/2030		100		105
6.240% due 11/01/2016		4		4
6.450% due 06/01/2030		305		310
6.530% due 04/01/2030		958		956
6.810% due 12/01/2027		2,189		2,217
6.860% due 03/15/2028		44		46
6.860% due 07/15/2029		552		573
6.870% due 04/01/2030		59		60
7.140% due 03/15/2028		567		572
7.290% due 03/15/2028		356		374
7.360% due 02/15/2029		42		45
7.550% due 01/15/2029		1,914		2,069
7.620% due 06/15/2028		148		157
GSAMP Trust
4.905% due 10/25/2046		1,124		1,099
4.935% due 02/25/2036		70		70
4.935% due 12/25/2036		751		731
4.985% due 12/25/2035		81		81
4.985% due 01/25/2047		3,594		3,456
5.015% due 10/25/2036		6,750		4,624
5.055% due 11/25/2035		6,900		5,559
5.215% due 01/25/2045		488		458
5.415% due 03/25/2034		2,357		2,188
5.515% due 08/25/2033		101		91
GSRPM Mortgage Loan Trust
4.985% due 03/25/2035		1,851		1,797
5.245% due 09/25/2042		107		107
HFC Home Equity Loan Asset-Backed Certificates
5.239% due 01/20/2034		448		438
5.479% due 01/20/2034		953		894
Home Equity Asset Trust
5.025% due 05/25/2036 (g)		7,000		6,739
5.395% due 07/25/2034		726		667
5.465% due 11/25/2032		1		1
Home Equity Mortgage Trust
5.045% due 05/25/2036 (g)		3,756		3,261
5.321% due 04/25/2035		316		239
5.367% due 05/25/2036		135		96
HSBC Asset Loan Obligation
4.925% due 12/25/2036		324		311
HSI Asset Securitization Corp. Trust
4.915% due 12/25/2036		3,939		3,795
IMC Home Equity Loan Trust
7.310% due 11/20/2028		129		129
Indymac Home Equity Loan Asset-Backed Trust
6.215% due 07/25/2034		1,000		897
Indymac Residential Asset-Backed Trust
4.905% due 08/25/2036		261		260
Irwin Home Equity Corp.
5.765% due 02/25/2029		1,211		1,152
Ischus CDO Ltd.
5.522% due 09/10/2013		728		711
IXIS Real Estate Capital Trust
4.925% due 08/25/2036		32		32
JPMorgan Mortgage Acquisition Corp.
4.915% due 08/25/2036		1,181		1,160
4.915% due 10/25/2036		1,532		1,494
4.935% due 11/25/2036		367		360
4.975% due 08/25/2036		3,035		2,870
5.075% due 06/25/2035		65		65
Keystone Owner Trust
7.900% due 01/25/2029		146		145
7.930% due 05/25/2025		25		25
LA Arena Funding LLC
7.656% due 12/15/2026		2,906		3,015
Lake Country Mortgage Loan Trust
5.395% due 12/25/2032		930		935
Lehman XS Trust
4.945% due 11/25/2046		3,410		3,266
5.015% due 04/25/2037		440		429
Long Beach Mortgage Loan Trust
5.145% due 10/25/2034		5		4
5.335% due 08/25/2035		2,000		1,787
5.483% due 03/25/2032		2		1
6.290% due 03/25/2032		447		410
Madison Avenue Manufactured Housing Contract
6.315% due 03/25/2032		1,500		1,479
MASTR Asset-Backed Securities Trust
4.975% due 11/25/2035		12		12
5.015% due 11/25/2035		160		160
5.415% due 10/25/2034		1,234		1,122
MASTR Specialized Loan Trust
5.715% due 05/25/2037		630		520
Merrill Lynch First Franklin Mortgage Loan Trust
5.565% due 10/25/2037		1,622		1,616
Merrill Lynch Mortgage Investors, Inc.
4.895% due 05/25/2037		138		136
4.915% due 05/25/2037		838		827
4.925% due 10/25/2037		1,453		1,349
4.935% due 08/25/2036		2,439		2,406
5.005% due 01/25/2037		452		447
Mid-State Trust
6.005% due 08/15/2037		1,181		1,155
Money Store Home Equity Trust
5.328% due 08/15/2029		142		138
Morgan Stanley ABS Capital I
4.895% due 06/25/2036		1,318		1,300
4.905% due 06/25/2036		54		53
4.925% due 05/25/2037		2,357		2,274
4.935% due 08/25/2036		23		23
4.965% due 10/25/2036		5,000		4,736
4.965% due 11/25/2036		5,000		4,726
4.965% due 04/25/2036 (g)		12,500		12,279
4.985% due 02/25/2036		600		590
5.015% due 06/25/2036		325		281
6.865% due 07/25/2037		750		524
Morgan Stanley Dean Witter Capital I
7.340% due 01/25/2032		1,215		1,058
Morgan Stanley Home Equity Loans
4.965% due 09/25/2035		82		82
4.975% due 02/25/2036		2,335		2,300
Morgan Stanley IXIS Real Estate Capital Trust
4.975% due 11/25/2036		3,000		2,818
Morgan Stanley Mortgage Loan Trust
5.025% due 11/25/2036		3,424		2,440
New Century Home Equity Loan Trust
6.049% due 06/20/2031		3,395		3,192
Nomura Asset Acceptance Corp.
5.005% due 01/25/2036		422		399
5.175% due 01/25/2036		3,000		1,873
Nomura Home Equity Loan, Inc.
4.930% due 03/25/2036		751		741
Novastar Home Equity Loan
5.255% due 05/25/2033		15		14
Oakwood Mortgage Investors, Inc.
5.402% due 03/15/2018		508		450
Option One Mortgage Loan Trust
4.915% due 01/25/2037		1,592		1,567
5.165% due 04/25/2033		51		50
5.395% due 05/25/2034		35		33
5.405% due 06/25/2032		10		10
5.449% due 08/20/2030		14		13
Origen Manufactured Housing
5.268% due 05/15/2032		22		22
7.650% due 03/15/2032		2,000		2,163
Ownit Mortgage Loan Asset-Backed Certificates
4.925% due 03/25/2037		399		394
Park Place Securities, Inc.
5.455% due 02/25/2035		2,000		1,839
Peco Energy Transition Trust
6.130% due 03/01/2009		128		129
People’s Choice Home Loan Securities Trust
5.295% due 05/25/2035		1,200		1,035
Popular ABS Mortgage Pass-Through Trust
4.955% due 06/25/2047		253		246
Quest Trust
4.985% due 08/25/2036		1,365		1,327
5.305% due 09/25/2034		8		6
5.425% due 06/25/2034		2		3
6.565% due 07/20/2034		52		50
RAAC Series 2007-SP2
5.265% due 06/25/2047		1,500		1,216
Renaissance Home Equity Loan Trust
4.934% due 08/25/2035		140		135
5.365% due 12/25/2033		273		269
5.485% due 03/25/2033		39		34
5.665% due 08/25/2032		2,000		1,845
5.965% due 09/25/2037		2,776		2,735
Residential Asset Mortgage Products, Inc.
4.935% due 05/25/2036		100		99
4.985% due 10/25/2036		3,556		3,461
5.585% due 04/25/2033		5		5
5.645% due 02/25/2033		13		13
5.707% due 08/25/2034		3,000		3,053
5.900% due 07/25/2034		2,000		1,834
5.942% due 04/25/2034		2,000		1,847
Residential Asset Securities Corp.
4.905% due 06/25/2036		295		293
4.925% due 04/25/2036		40		40
4.995% due 03/25/2036 (g)		7,500		7,364
5.295% due 03/25/2035 (g)		7,000		6,182
5.445% due 06/25/2033		38		37
7.140% due 04/25/2032		764		218
Residential Funding Mortgage Securities II, Inc.
5.155% due 12/25/2032		23		22
6.230% due 05/25/2037		5,000		4,310
8.350% due 03/25/2025		104		104
SACO I, Inc.
5.045% due 05/25/2036		4,930		2,589
5.075% due 03/25/2036		3,599		2,159
5.125% due 06/25/2036		1,593		1,471
5.365% due 07/25/2035		5,091		3,534
5.500% due 06/25/2036 (b)		7,846		95
Salomon Brothers Mortgage Securities VII, Inc.
5.345% due 03/25/2028		284		280
Saxon Asset Securities Trust
5.365% due 03/25/2032		896		882
Securitized Asset-Backed Receivables LLC Trust
4.935% due 11/25/2035		106		106
4.935% due 12/25/2035		12		12
4.995% due 05/25/2037		3,429		3,389
SLM Student Loan Trust
5.031% due 06/15/2018		52		52
5.124% due 10/25/2016		5,000		5,002
5.224% due 10/25/2016		161		161
Soundview Home Equity Loan Trust
5.055% due 02/25/2036		100		97
Specialty Underwriting & Residential Finance
4.965% due 11/25/2037		3,000		2,856
5.285% due 12/25/2035		1,000		881
Structured Asset Securities Corp.
3.375% due 08/25/2031		113		101
4.900% due 04/25/2035		993		970
4.915% due 02/25/2037		804		781
4.985% due 02/25/2036		3,000		2,956
4.995% due 12/25/2035		80		80
5.155% due 01/25/2033		22		21
5.515% due 05/25/2034		98		98
5.915% due 01/25/2033		170		145
Superior Wholesale Inventory Financing Trust
5.328% due 01/15/2012		3,000		2,945
TABS Ltd.
6.632% due 02/12/2047		2,950		118
Trapeza CDO I LLC
5.425% due 11/16/2034		1,000		881
UCFC Manufactured Housing Contract
7.900% due 01/15/2028		1,000		511
Vanderbilt Mortgage Finance
5.840% due 02/07/2026		330		318
6.210% due 05/07/2026		1,605		1,672
7.905% due 02/07/2026		597		614
Wells Fargo Home Equity Trust
5.095% due 10/25/2035		595		576
WMC Mortgage Loan Pass-Through Certificates
5.774% due 03/20/2029		92		90
World Financial Network Credit Card Master Trust
6.028% due 03/15/2013		2,000		1,970
Total Asset-Backed Securities (Cost $395,550)				365,472
SHORT-TERM INSTRUMENTS 3.5%
Repurchase Agreements 2.0%
Lehman Brothers, Inc.
1.000% due 01/02/2008		400		400
(Dated 12/31/2007. Collateralized by U.S. Treasury Inflation Protected Securities 2.000% due 07/15/2014 valued at $407. Repurchase proceeds are $400.)
State Street Bank and Trust Co.
3.900% due 01/02/2008		20,000		20,000
(Dated 12/31/2007. Collateralized by U.S. Treasury Notes 4.625% due 07/31/2012 valued at $20,402. Repurchase proceeds are $20,004.)
				20,400
U.S. Treasury Bills 1.5%
2.864% due 02/28/2008 - 03/13/2008 (d)(e)(h)		15,660		15,513
Total Short-Term Instruments (Cost $35,972)				35,913
Total Investments 108.9% (Cost $1,135,134)			$	1,109,956
Other Assets and Liabilities (Net) (8.9%)				(90,449	)
Net Assets (f) 100.0%			$	1,019,507

Notes to Schedule of Investments (amounts in thousands*, except number of contracts):

* A zero balance may reflect actual amounts rounding to less than one thousand.

(a) Security is in default.

(b) Interest only security.

(c) Principal only security.

(d) Coupon represents a weighted average rate.

(e) Securities with an aggregate market value of $14,364 have been pledged as collateral for swap and swaption contracts on December 31, 2007.

(f) As of December 31, 2007, portfolio securities with an aggregate value of $29,297 and derivative instruments with an aggregate depreciation of $18,949 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(g) The average amount of borrowings outstanding during the period ended December 31, 2007 was $131,650 at a weighted average interest rate of 5.270%. On December 31, 2007, securities valued at $140,069 were pledged as collateral for reverse repurchase agreements.

(h) Securities with an aggregate market value of $1,149 and cash of $6,210 have been segregated with the custodian to cover margin requirements for the following open futures contracts on December 31, 2007:

Description	Type	Expiration Month	# of Contracts		Unrealized Appreciation
90-Day Eurodollar December Futures	Long	12/2008	4,278	$	13,801
90-Day Eurodollar September Futures	Long	09/2008	2,775		8,493
				$	22,294

(i) Swap agreements outstanding on December 31, 2007:

Credit Default Swaps on Securities

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
Bank of America	Kent Funding Ltd. floating rate based on 3-Month USD-LIBOR plus 1.550% due 05/08/2046	Buy	(1.830	%)	05/08/2046	$	3,000	$	2,692
Bank of America	Long Beach Mortgage Loan Trust floating rate based on 1-Month USD-LIBOR plus 3.500% due 07/25/2033	Sell	4.500	%	07/25/2033		492		(172)
Bank of America	Masco Corp. 5.875% due 07/15/2012	Buy	(0.610	%)	09/20/2012		5,000		182
Bank of America	Midori CDO Ltd. floating rate based on 3-Month USD-LIBOR plus 1.300% due 02/15/2047	Buy	(1.730	%)	02/15/2047		2,000		1,796
Bank of America	New Century Home Equity Loan Trust floating rate based on 1-Month USD-LIBOR plus 1.750% due 06/25/2035	Buy	(5.000	%)	06/25/2035		2,500		722
Bank of America	TABS Ltd. floating rate based on 3-Month USD-LIBOR plus 1.275% due 08/07/2045	Buy	(4.200	%)	08/07/2045		969		794
Barclays Bank PLC	Camber floating rate based on 3-Month USD-LIBOR plus 3.250% due 07/12/2043	Buy	(3.300	%)	07/12/2043		1,946		1,649
Barclays Bank PLC	Long Beach Mortgage Loan Trust floating rate based on 1-Month USD-LIBOR plus 1.400% due 02/25/2034	Buy	(0.490	%)	02/25/2034		1,000		121
Barclays Bank PLC	SLM Corp. 5.125% due 08/27/2012	Sell	3.100	%	12/20/2008		2,000		3
Barclays Bank PLC	Specialty Underwriting & Residential Finance floating rate based on 1-Month USD-LIBOR plus 1.300% due 02/25/2035	Buy	(0.590	%)	02/25/2035		1,000		103
Barclays Bank PLC	Structured Asset Investment Loan Trust floating rate based on 1-Month USD-LIBOR plus 0.820% due 02/25/2035	Buy	(0.610	%)	02/25/2035		1,000		291
Bear Stearns & Co., Inc.	Bear Stearns Asset-Backed Securities Trust floating rate based on 1-Month USD-LIBOR plus 2.000% due 12/25/2035	Sell	2.550	%	12/25/2035		1,000		(792)
Bear Stearns & Co., Inc.	Indymac Home Equity Loan Asset-Backed Trust floating rate based on 1-Month USD-LIBOR plus 0.630% due 06/25/2030	Buy	(0.450	%)	06/25/2030		2,109		94
Bear Stearns & Co., Inc.	KLIO Funding Ltd. floating rate based on 3-Month USD-LIBOR plus 1.800% due 04/23/2039	Buy	(1.700	%)	04/23/2039		1,000		332
Bear Stearns & Co., Inc.	LB-UBS Commercial Mortgage Trust 5.404% due 09/15/2040	Buy	(1.170	%)	09/15/2040		1,000		304
Bear Stearns & Co., Inc.	Merrill Lynch Mortgage Trust 5.244% due 11/12/2037	Buy	(1.150	%)	11/12/2037		1,000		232
Bear Stearns & Co., Inc.	Midori CDO Ltd. floating rate based on 3-Month USD-LIBOR plus 3.100% due 02/15/2047	Buy	(4.030	%)	02/15/2047		1,000		895
Bear Stearns & Co., Inc.	Trinity CDO Ltd. floating rate based on 3-Month USD-LIBOR plus 1.600% due 03/08/2040	Buy	(1.700	%)	03/08/2040		2,000		1,142
Citibank N.A.	Commercial Industrial Finance Corp. floating rate based on 3-Month USD-LIBOR plus 1.600% due 10/20/2020	Buy	(2.150	%)	10/20/2020		1,000		197
Credit Suisse USA, Inc.	Long Beach Mortgage Loan Trust floating rate based on 1-Month USD-LIBOR plus 2.250% due 07/25/2032	Buy	(2.250	%)	07/25/2032		1,565		736
Deutsche Bank AG	Commercial Mortgage-Backed Index	Sell	1.340	%	10/12/2052		2,000		(438)
Deutsche Bank AG	Daimler Finance N.A. LLC 6.500% due 11/15/2013	Sell	0.225	%	03/20/2008		5,000		(1)
Deutsche Bank AG	Park Place Securities, Inc. floating rate based on 1-Month USD-LIBOR plus 1.250% due 05/25/2035	Buy	(1.100	%)	05/25/2035		2,000		863
Deutsche Bank AG	Park Place Securities, Inc. floating rate based on 1-Month USD-LIBOR plus 2.200% due 03/25/2035	Buy	(2.650	%)	03/25/2035		5,000		2,633
Deutsche Bank AG	SLM Corp. 5.125% due 08/27/2012	Sell	3.050	%	03/20/2009		5,000		1
Goldman Sachs & Co.	Ameriquest Mortgage Securities, Inc. floating rate based on 1-Month USD-LIBOR plus 1.860% due 01/25/2034	Sell	1.860	%	01/25/2034		1,557		(202)
Goldman Sachs & Co.	Ameriquest Mortgage Securities, Inc. floating rate based on 1-Month USD-LIBOR plus 2.100% due 05/25/2033	Sell	2.100	%	05/25/2033		2,500		(105)
Goldman Sachs & Co.	Long Beach Mortgage Loan Trust floating rate based on 1-Month USD-LIBOR plus 3.500% due 02/25/2034	Buy	(2.000	%)	02/25/2034		753		262
Goldman Sachs & Co.	Park Place Securities, Inc. floating rate based on 1-Month USD-LIBOR plus 3.500% due 09/25/2034	Sell	5.000	%	09/25/2034		2,000		(1,153)
Goldman Sachs & Co.	Telos CLO Ltd. floating rate based on 3-Month USD-LIBOR plus 1.700% due 10/11/2021	Buy	(2.500	%)	10/11/2021		500		86
Goldman Sachs & Co.	Topanga CDO Ltd. floating rate based on 3-Month USD-LIBOR plus 1.275% due 03/08/2040	Buy	(3.900	%)	03/08/2040		934		576
HSBC Bank USA	Fannie Mae 5.500% due 06/09/2033	Sell	0.660	%	12/20/2012		9,000		126
JPMorgan Chase & Co.	Avebury Finance CDO PLC floating rate based on 3-Month USD-LIBOR plus 1.400% due 01/08/2051	Buy	(1.800	%)	01/08/2051		1,000		196
JPMorgan Chase & Co.	Encore Credit Receivables Trust floating rate based on 1-Month USD-LIBOR plus 1.350% due 10/25/2035	Buy	(1.500	%)	10/25/2035		2,000		928
JPMorgan Chase & Co.	FBR Securitization Trust floating rate based on 1-Month USD-LIBOR plus 1.850% due 10/25/2035	Sell	3.500	%	10/25/2035		3,000		(2,299)
JPMorgan Chase & Co.	Merrill Lynch & Co., Inc. 6.000% due 02/17/2009	Buy	(0.400	%)	03/20/2017		5,000		220
JPMorgan Chase & Co.	New Century Home Equity Loan Trust floating rate based on 1-Month USD-LIBOR plus 1.750% due 06/25/2035	Sell	5.500	%	06/25/2035		2,500		(667)
JPMorgan Chase & Co.	Park Place Securities, Inc. floating rate based on 1-Month USD-LIBOR plus 3.500% due 09/25/2034	Buy	(3.000	%)	09/25/2034		2,000		1,208
Lehman Brothers, Inc.	Baldwin Segregated Portfolio floating rate based on 3-Month USD-LIBOR plus 0.750% due 06/25/2046	Buy	(0.800	%)	06/25/2046		2,000		1,811
Lehman Brothers, Inc.	Baldwin Segregated Portfolio floating rate based on 3-Month USD-LIBOR plus 2.000% due 06/25/2038	Buy	(2.500	%)	06/25/2038		2,000		1,757
Lehman Brothers, Inc.	Citius Funding Ltd. floating rate based on 1-Month USD-LIBOR plus 1.370% due 05/05/2046	Buy	(1.440	%)	05/05/2046		915		800
Lehman Brothers, Inc.	Encore Credit Receivables Trust floating rate based on 1-Month USD-LIBOR plus 1.350% due 10/25/2035	Sell	1.630	%	10/25/2035		2,000		(924)
Merrill Lynch & Co., Inc.	American International Group, Inc. 4.250% due 05/15/2013	Sell	0.850	%	12/20/2012		10,000		97
Merrill Lynch & Co., Inc.	Jackson Segregated Portfolio floating rate based on 3-Month USD-LIBOR plus 1.750% due 09/27/2046	Buy	(3.500	%)	09/27/2046		4,000		3,563
Merrill Lynch & Co., Inc.	Lenox Street Ltd. floating rate based on 3-Month USD-LIBOR plus 1.750% due 03/04/2045	Buy	(3.500	%)	03/04/2050		1,000		250
Merrill Lynch & Co., Inc.	Long Beach Mortgage Loan Trust floating rate based on 1-Month USD-LIBOR plus 3.500% due 02/25/2034	Sell	2.250	%	02/25/2034		753		(256)
Merrill Lynch & Co., Inc.	SLM Corp. 5.125% due 08/27/2012	Sell	3.100	%	12/20/2008		5,000		7
Morgan Stanley	Freddie Mac 5.080% due 02/07/2019	Sell	0.670	%	12/20/2012		9,000		129
Morgan Stanley	Indymac Home Equity Loan Asset-Backed Trust floating rate based on 1-Month USD-LIBOR plus 0.630% due 06/25/2030	Sell	1.500	%	06/25/2030		2,109		(74)
Morgan Stanley	Long Beach Mortgage Loan Trust floating rate based on 1-Month USD-LIBOR plus 2.250% due 07/25/2032	Sell	2.250	%	07/25/2032		1,566		(702)
Morgan Stanley	Morgan Stanley ABS Capital I floating rate based on 1-Month USD-LIBOR plus 1.700% due 12/27/2033	Buy	(0.540	%)	12/27/2033		988		85
Morgan Stanley	Park Place Securities, Inc. floating rate based on 1-Month USD-LIBOR plus 2.200% due 03/25/2035	Sell	3.030	%	03/25/2035		5,000		(2,611)
Royal Bank of Scotland Group PLC	Ameriquest Mortgage Securities, Inc. floating rate based on 1-Month USD-LIBOR plus 1.860% due 01/25/2034	Buy	(0.800	%)	01/25/2034		1,557		232
Royal Bank of Scotland Group PLC	Ameriquest Mortgage Securities, Inc. floating rate based on 1-Month USD-LIBOR plus 2.100% due 05/25/2033	Buy	(0.700	%)	05/25/2033		2,500		124
Royal Bank of Scotland Group PLC	FBR Securitization Trust floating rate based on 1-Month USD-LIBOR plus 1.850% due 10/25/2035	Buy	(3.000	%)	10/25/2035		3,000		2,327
UBS Warburg LLC	Bear Stearns Asset-Backed Securities Trust floating rate based on 1-Month USD-LIBOR plus 2.000% due 12/25/2035	Buy	(2.250	%)	12/25/2035		1,000		796
Wachovia Bank N.A.	Avebury Finance CDO PLC floating rate based on 3-Month USD-LIBOR plus 1.400% due 01/08/2051	Buy	(1.800	%)	01/08/2051		2,000		1,969
Wachovia Bank N.A.	Baldwin Segregated Portfolio floating rate based on 3-Month USD-LIBOR plus 0.750% due 06/25/2046	Buy	(0.800	%)	06/25/2046		2,000		466
Wachovia Bank N.A.	Jackson Segregated Portfolio floating rate based on 3-Month USD-LIBOR plus 1.750% due 09/27/2046	Buy	(3.500	%)	09/27/2046		1,000		197
Wachovia Bank N.A.	Race Point CLO floating rate based on 3-Month USD-LIBOR plus 1.650% due 04/15/2020	Buy	(1.950	%)	04/15/2020		2,000		291
								$	23,889

Credit Default Swaps on Credit Indices

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
Bank of America	Dow Jones CDX N.A. IG8 Index	Buy	(0.350	%)	06/20/2012	$	40,000	$	319
Bank of America	Home Equity Index BBB Rating 2006-2	Buy	(1.330	%)	05/25/2046		5,000		3,031
Barclays Bank PLC	Dow Jones CDX N.A. HY8 Index	Sell	0.787	%	06/20/2012		2,500		(1)
Barclays Bank PLC	Dow Jones CDX N.A. HY8 Index	Sell	1.465	%	06/20/2012		5,000		136
Bear Stearns & Co., Inc.	Home Equity Index BBB Rating 2006-2	Buy	(2.420	%)	05/25/2046		2,000		1,460
Citibank N.A.	Dow Jones CDX N.A. HY8 Index	Sell	0.415	%	06/20/2012		2,000		(33)
Citibank N.A.	Dow Jones CDX N.A. HY8 Index	Sell	0.630	%	06/20/2012		5,000		(42)
Citibank N.A.	Dow Jones CDX N.A. HY8 Index	Sell	0.830	%	06/20/2012		10,000		16
Citibank N.A.	Home Equity Index BBB Rating 2006-1	Sell	1.540	%	07/25/2045		4,000		(2,666)
Citibank N.A.	Home Equity Index BBB Rating 2006-2	Buy	(1.330	%)	05/25/2046		5,000		3,893
Credit Suisse USA, Inc.	Home Equity Index A Rating 2006-2	Buy	(0.440	%)	05/25/2046		15,000		515
Credit Suisse USA, Inc.	Home Equity Index AA Rating 2007-1	Sell	0.150	%	08/25/2037		5,000		(872)
Credit Suisse USA, Inc.	Home Equity Index BBB Rating 2006-2	Buy	(2.420	%)	05/25/2046		2,000		1,458
Goldman Sachs & Co.	Dow Jones CDX N.A. IG8 Index	Sell	0.600	%	06/20/2017		20,000		(81)
Goldman Sachs & Co.	Home Equity Index BBB Rating 2006-2	Sell	2.420	%	05/25/2046		2,000		(1,449)
JPMorgan Chase & Co.	Home Equity Index BBB Rating 2006-1	Buy	(1.540	%)	07/25/2045		4,000		2,661
JPMorgan Chase & Co.	Home Equity Index BBB Rating 2006-2	Sell	1.330	%	05/25/2046		10,000		(7,738)
JPMorgan Chase & Co.	Home Equity Index BBB Rating 2006-2	Sell	2.420	%	05/25/2046		2,000		(1,438)
Lehman Brothers, Inc.	Dow Jones CDX N.A. HY9 Index	Sell	0.735	%	12/20/2012		10,000		(197)
Lehman Brothers, Inc.	Dow Jones CDX N.A. IG7 Index	Sell	0.145	%	12/20/2016		25,000		(691)
Merrill Lynch & Co., Inc.	Dow Jones CDX N.A. HY8 Index	Sell	0.910	%	06/20/2012		2,500		6
Merrill Lynch & Co., Inc.	Dow Jones CDX N.A. HY9 Index	Sell	1.140	%	12/20/2012		10,000		(46)
Morgan Stanley	Dow Jones CDX N.A. IG5 Index	Buy	(0.140	%)	12/20/2012		11,200		341
Morgan Stanley	Dow Jones CDX N.A. IG5 Index	Sell	0.460	%	12/20/2015		8,000		(330)
UBS Warburg LLC	Dow Jones CDX N.A. IG8 Index	Buy	(0.600	%)	06/20/2017		20,000		110
								$	(1,638)

⁽¹⁾ If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will pay to the buyer of the protection an amount up to the notional value of the swap and in certain instances, take delivery of the security. As a buyer of protection, the Portfolio will generally receive from the seller of protection an amount up to the notional amount of the swap if a credit event occurs.

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
Barclays Bank PLC	3-Month USD-LIBOR	Pay	4.000	%	06/18/2013	$	6,000	$	43
JPMorgan Chase & Co.	3-Month USD-LIBOR	Pay	4.000	%	06/18/2013		2,000		0
Morgan Stanley	3-Month USD-LIBOR	Pay	4.000	%	06/18/2013		35,100		262
Morgan Stanley	3-Month USD-LIBOR	Receive	5.000	%	06/18/2018		14,000		(262)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010		214,200		(42)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	06/18/2018		52,200		(83)
UBS Warburg LLC	3-Month USD-LIBOR	Pay	5.000	%	06/21/2009		55,500		584
								$	502

(j) Restricted securities as of December 31, 2007:

Issuer Description	Coupon		Maturity Date	Acquisition Date		Cost		Market Value	Market Value as Percentage of Net Assets
Bear Stearns Asset-Backed Securities Trust	5.365	%	09/25/2034	03/29/2006	$	546	$	495	0.05	%

(k) Short sales outstanding on December 31, 2007:

Description	Coupon		Maturity Date		Principal Amount		Proceeds		Value
Fannie Mae	6.000	%	01/01/2038	$	1,500	$	1,524	$	1,523
Freddie Mac	6.000	%	01/01/2038		17,000		17,255		17,253
						$	18,779	$	18,776

See accompanying notes

Schedule of Investments

Developing Local Markets Portfolio

December 31, 2007 (Unaudited)

	Principal Amount (000s)		Value (000s)
CORPORATE BONDS & NOTES 21.3%
Banking & Finance 14.7%
American Express Bank FSB
4.956% due 06/22/2009	$	300	$	299
5.252% due 06/12/2009		1,000		997
American Express Centurion Bank
5.188% due 12/17/2009		100		99
5.250% due 05/07/2008		100		100
American Express Credit Corp.
5.025% due 05/19/2009		100		99
American International Group, Inc.
4.884% due 06/23/2008		200		200
5.078% due 06/16/2009		1,400		1,400
Banco Nacional de Comercio Exterior SNC
3.875% due 01/21/2009		400		390
Banco Santander Chile
5.496% due 12/09/2009		1,000		998
Bank of America Corp.
4.852% due 09/25/2009		1,400		1,397
4.875% due 11/06/2009		200		199
Bank of America N.A.
5.132% due 06/12/2009		1,300		1,298
Bank of Ireland
5.016% due 12/18/2009		1,800		1,796
Bank of Scotland PLC
5.028% due 07/17/2008		100		100
5.206% due 12/08/2010		1,500		1,495
5.254% due 07/17/2009		1,600		1,598
Bear Stearns Cos., Inc.
5.190% due 01/31/2011		1,500		1,355
5.599% due 07/19/2010		7,400		6,959
Caterpillar Financial Services Corp.
4.929% due 08/11/2009		700		696
4.965% due 05/18/2009		1,100		1,097
5.216% due 03/10/2009		500		499
5.293% due 10/09/2009		1,500		1,487
Charter One Bank N.A.
5.115% due 04/24/2009		1,000		996
CIT Group Holdings, Inc.
5.134% due 01/30/2009		2,300		2,161
Citigroup Funding, Inc.
5.304% due 03/02/2009		6,800		6,755
Citigroup, Inc.
4.872% due 12/28/2009		1,800		1,768
4.898% due 12/26/2008		200		199
4.995% due 05/18/2011		900		880
5.055% due 05/18/2010		500		495
Colvis Finance Ltd.
8.000% due 02/02/2009		1,300		1,301
Commonwealth Bank of Australia
5.282% due 06/08/2009		100		100
Credit Agricole S.A.
5.053% due 05/28/2009		800		801
5.103% due 05/28/2010		6,700		6,703
DnB NORBank ASA
5.312% due 10/13/2009		100		100
El Paso Performance-Linked Trust
7.750% due 07/15/2011		200		206
Export-Import Bank of Korea
4.125% due 02/10/2009		100		99
4.250% due 11/06/2008		75		75
4.500% due 08/12/2009		2,700		2,673
5.214% due 06/01/2009		3,300		3,306
Ford Motor Credit Co. LLC
5.625% due 10/01/2008		300		291
5.800% due 01/12/2009		200		190
Fortis Bank NY
4.882% due 09/28/2009		1,600		1,594
General Electric Capital Corp.
4.939% due 08/15/2011		200		197
5.091% due 06/15/2009		100		100
5.095% due 10/26/2009		200		200
5.111% due 12/15/2009		1,200		1,196
5.303% due 10/06/2010		1,400		1,389
GMAC LLC
6.034% due 09/23/2008		6,000		5,797
6.119% due 05/15/2009		1,100		1,025
Goldman Sachs Group, Inc.
4.924% due 12/23/2008		300		299
4.958% due 11/16/2009		1,400		1,375
4.969% due 11/10/2008		1,700		1,697
4.974% due 12/22/2008		2,200		2,194
4.974% due 06/23/2009		700		689
5.108% due 11/16/2009		2,500		2,461
5.111% due 07/29/2008		1,300		1,298
5.324% due 03/02/2010		500		494
HSBC Bank USA N.A.
5.188% due 12/14/2009		250		249
HSBC Finance Corp.
4.982% due 05/21/2008		100		100
5.121% due 09/15/2008		1,400		1,400
5.158% due 11/16/2009		700		690
5.240% due 10/21/2009		200		199
IBM International Group Capital LLC
4.929% due 02/13/2009		6,900		6,897
ICICI Bank Ltd.
5.788% due 01/12/2010		600		593
Industry & Construction Bank St. Petersburg OJSC
6.875% due 07/29/2008		300		301
International Lease Finance Corp.
5.250% due 05/24/2010		1,000		987
John Deere Capital Corp.
5.038% due 09/25/2008		4,400		4,402
5.292% due 04/15/2008		800		800
5.292% due 07/15/2008		700		700
5.514% due 10/16/2009		2,100		2,103
JPMorgan Chase & Co.
4.915% due 06/26/2009		100		100
4.938% due 06/25/2010		1,500		1,481
5.300% due 05/07/2010		1,100		1,086
5.384% due 01/17/2011		1,400		1,387
5.419% due 10/02/2009		890		885
Lehman Brothers Holdings, Inc.
4.905% due 11/24/2008		100		98
4.934% due 12/23/2008		3,725		3,662
4.978% due 11/16/2009		1,400		1,364
5.082% due 08/21/2009		2,000		1,944
5.094% due 12/23/2010		1,100		1,026
5.241% due 01/23/2009		1,000		981
5.270% due 10/22/2008		2,600		2,582
5.320% due 04/03/2009		1,000		978
Merrill Lynch & Co., Inc.
4.914% due 12/22/2008		200		197
4.960% due 08/14/2009		900		881
5.074% due 01/30/2009		500		497
5.191% due 10/23/2008		200		197
Metropolitan Life Global Funding I
4.945% due 05/17/2010		500		497
Mirage Resorts, Inc.
6.750% due 02/01/2008		150		151
Morgan Stanley
4.925% due 05/07/2009		200		198
4.972% due 11/21/2008		100		99
5.006% due 02/09/2009		1,100		1,087
5.420% due 01/22/2009		600		594
National Australia Bank Ltd.
5.181% due 09/11/2009		1,600		1,599
Pemex Finance Ltd.
9.690% due 08/15/2009		805		829
Petroleum Export Ltd.
4.623% due 06/15/2010		1,444		1,423
4.633% due 06/15/2010		56		55
5.265% due 06/15/2011		1,661		1,650
Royal Bank of Scotland Group PLC
5.230% due 07/21/2008		100		100
Santander U.S. Debt S.A. Unipersonal
4.970% due 09/19/2008		100		100
5.201% due 11/20/2009		1,000		988
Sistema Finance S.A.
10.250% due 04/14/2008		250		252
SLM Corp.
5.224% due 07/27/2009		2,600		2,447
Spinnaker Capital Ltd.
16.491% due 06/15/2008		250		261
UBS AG
5.141% due 07/23/2009		2,700		2,698
Unicredit Luxembourg Finance S.A.
5.142% due 10/24/2008		1,000		998
Ventas Realty LP
8.750% due 05/01/2009		470		484
VTB Capital S.A.
5.494% due 08/01/2008		2,200		2,181
6.660% due 11/02/2009		15,000		15,004
Wachovia Bank N.A.
5.090% due 05/25/2010		750		746
5.194% due 12/02/2010		1,000		993
Wachovia Corp.
5.034% due 10/28/2008		400		399
5.111% due 03/15/2011		1,000		982
5.174% due 12/01/2009		1,500		1,488
5.372% due 10/15/2011		1,600		1,566
Wells Fargo & Co.
4.944% due 03/23/2010		2,600		2,581
5.182% due 01/24/2012		400		393
Westpac Banking Corp.
5.212% due 06/06/2008		300		300
World Savings Bank FSB
4.938% due 05/08/2009		250		250
5.249% due 03/02/2009		250		251
				158,073
Industrials 4.6%
Albertson’s LLC
6.950% due 08/01/2009		100		102
America Movil SAB de C.V.
4.958% due 06/27/2008		3,250		3,250
Amgen, Inc.
5.133% due 11/28/2008		3,200		3,197
Anadarko Petroleum Corp.
5.391% due 09/15/2009		1,500		1,477
Cisco Systems, Inc.
5.095% due 02/20/2009		300		300
Citigroup Global Markets Deutschland AG for OAO Gazprom
10.500% due 10/21/2009		10,200		11,058
Comcast Corp.
5.542% due 07/14/2009		700		698
ConocoPhillips Australia Funding Co.
5.343% due 04/09/2009		304		304
CSC Holdings, Inc.
7.250% due 07/15/2008		100		100
CSN Islands VII Corp.
10.750% due 09/12/2008		900		929
CVS Caremark Corp.
5.441% due 06/01/2010		500		495
Daimler Finance North America LLC
5.328% due 08/03/2009		700		695
EchoStar DBS Corp.
5.750% due 10/01/2008		1,250		1,252
General Mills, Inc.
5.310% due 01/22/2010		400		398
HJ Heinz Co.
6.428% due 12/01/2008		700		713
Home Depot, Inc.
5.116% due 12/16/2009		200		196
Kimberly-Clark Corp.
5.060% due 07/30/2010		2,900		2,897
Kraft Foods, Inc.
5.387% due 08/11/2010		700		695
Mandalay Resort Group
6.500% due 07/31/2009		800		804
9.500% due 08/01/2008		100		101
MMK Finance S.A.
8.000% due 10/21/2008		4,008		4,048
Pemex Project Funding Master Trust
5.724% due 12/03/2012		5,245		5,178
7.042% due 10/15/2009		1,100		1,114
8.500% due 02/15/2008		810		813
Qwest Communications International, Inc.
8.369% due 02/15/2009		33		33
Siemens Financieringsmaatschappij NV
4.920% due 08/14/2009		400		400
Time Warner, Inc.
5.109% due 11/13/2009		600		585
Transocean, Inc.
5.341% due 09/05/2008		700		697
United Technologies Corp.
5.194% due 06/01/2009		200		199
Wal-Mart Stores, Inc.
4.891% due 06/16/2008		400		400
Walt Disney Co.
5.246% due 09/10/2009		2,400		2,390
5.294% due 07/16/2010		1,500		1,486
Weyerhaeuser Co.
5.884% due 09/24/2009		2,100		2,106
Xerox Corp.
5.716% due 12/18/2009		300		301
				49,411
Utilities 2.0%
AT&T, Inc.
4.959% due 05/15/2008		600		600
5.080% due 11/14/2008		1,700		1,698
BellSouth Corp.
4.969% due 08/15/2008		1,200		1,198
Deutsche Telekom International Finance BV
5.064% due 03/23/2009		200		199
Dominion Resources, Inc.
5.050% due 11/14/2008		100		100
Empresa Brasileira de Telecom S.A.
11.000% due 12/15/2008		600		630
Empresa Nacional de Electricidad S.A.
7.750% due 07/15/2008		600		607
Entergy Gulf States, Inc.
5.896% due 12/08/2008		1,200		1,204
Florida Power Corp.
5.279% due 11/14/2008		5,000		4,994
Mobile Telesystems Finance S.A.
9.750% due 01/30/2008		1,900		1,900
Ohio Power Co.
5.424% due 04/05/2010		1,400		1,389
Qwest Capital Funding, Inc.
6.375% due 07/15/2008		100		100
Qwest Corp.
5.625% due 11/15/2008		600		600
Ras Laffan Liquefied Natural Gas Co. Ltd.
3.437% due 09/15/2009		310		310
Telefonos de Mexico SAB de C.V.
4.500% due 11/19/2008		5,900		5,886
				21,415
Total Corporate Bonds & Notes (Cost $230,818)				228,899
U.S. GOVERNMENT AGENCIES 12.0%
Fannie Mae
4.925% due 12/25/2036 - 07/25/2037		1,218		1,174
5.000% due 02/25/2017		55		55
6.000% due 07/01/2036 - 11/01/2037		100,010		101,585
6.063% due 06/01/2043 - 07/01/2044		110		110
6.064% due 09/01/2044		292		294
Freddie Mac
5.000% due 08/15/2016 - 11/15/2029		262		263
5.125% due 08/25/2031		295		296
5.145% due 09/25/2031		285		284
5.258% due 02/15/2019		17,118		17,034
5.378% due 12/15/2030		307		307
6.000% due 09/01/2037		7,017		7,123
6.063% due 02/25/2045		750		749
Total U.S. Government Agencies (Cost $128,851)				129,274
MORTGAGE-BACKED SECURITIES 6.4%
Adjustable Rate Mortgage Trust
5.132% due 09/25/2035		375		372
American Home Mortgage Investment Trust
5.015% due 09/25/2035		25		25
Arran Residential Mortgages Funding PLC
5.252% due 04/12/2036		47		47
Banc of America Funding Corp.
6.144% due 01/20/2047		535		527
Banc of America Mortgage Securities, Inc.
5.660% due 07/25/2034		313		314
Bear Stearns Adjustable Rate Mortgage Trust
4.125% due 03/25/2035		8,971		8,867
4.486% due 02/25/2034		556		549
4.550% due 08/25/2035		4,868		4,795
4.614% due 07/25/2033		6,355		6,292
4.848% due 04/25/2034		322		320
Bear Stearns Alt-A Trust
5.025% due 02/25/2034		65		62
5.527% due 09/25/2035		2,395		2,360
5.902% due 01/25/2036		904		882
Bear Stearns Commercial Mortgage Securities
6.440% due 06/16/2030		91		91
Bear Stearns Mortgage Funding Trust
4.935% due 02/25/2037		176		175
Bear Stearns Structured Products, Inc.
4.989% due 01/25/2037		4,744		4,696
5.684% due 01/26/2036		1,987		1,969
5.787% due 12/26/2046		1,150		1,136
CC Mortgage Funding Corp.
4.995% due 05/25/2048		392		354
Citigroup Commercial Mortgage Trust
5.098% due 08/15/2021		12		12
Citigroup Mortgage Loan Trust, Inc.
4.098% due 08/25/2035		330		322
4.248% due 08/25/2035		2,030		1,991
4.679% due 08/25/2035		376		371
4.748% due 08/25/2035		2,342		2,311
Commercial Mortgage Pass-Through Certificates
5.128% due 04/15/2017		27		27
6.455% due 05/15/2032		80		80
Countrywide Alternative Loan Trust
4.935% due 10/25/2046		3		3
5.045% due 05/25/2047		173		164
5.129% due 02/20/2047		164		155
5.788% due 02/25/2036		50		48
Countrywide Home Loan Mortgage Pass-Through Trust
4.854% due 04/20/2035		1,431		1,428
CS First Boston Mortgage Securities Corp.
4.250% due 06/25/2033		895		891
Deutsche ALT-A Securities, Inc. Alternate Loan Trust
4.935% due 01/25/2047		67		66
4.945% due 02/25/2037		62		61
4.955% due 08/25/2037		525		520
First Horizon Asset Securities, Inc.
4.737% due 07/25/2033		268		267
5.372% due 08/25/2035		386		385
First Union-Lehman Brothers-Bank of America
6.560% due 11/18/2035		843		842
Greenpoint Mortgage Funding Trust
4.945% due 10/25/2046		145		142
4.945% due 01/25/2047		173		170
5.135% due 11/25/2045		207		194
Greenpoint Mortgage Pass-Through Certificates
4.381% due 10/25/2033		644		639
GS Mortgage Securities Corp. II
5.342% due 03/06/2020		714		683
5.352% due 06/06/2020		1		1
Harborview Mortgage Loan Trust
5.055% due 01/19/2038		52		51
5.155% due 01/19/2038		247		231
5.205% due 03/19/2037		261		245
5.222% due 07/19/2035		1,071		1,061
Impac Secured Assets CMN Owner Trust
4.945% due 01/25/2037		57		56
Indymac Index Mortgage Loan Trust
4.955% due 11/25/2046		57		56
5.047% due 12/25/2034		265		262
JPMorgan Mortgage Trust
5.023% due 02/25/2035		1,502		1,472
Lehman Brothers Floating Rate Commercial Mortgage Trust
5.108% due 09/15/2021		117		117
MASTR Adjustable Rate Mortgages Trust
3.786% due 11/21/2034		791		784
4.975% due 05/25/2047		58		58
Merrill Lynch Floating Trust
5.098% due 06/15/2022		84		82
Merrill Lynch Mortgage Investors, Inc.
5.075% due 02/25/2036		1,646		1,585
MLCC Mortgage Investors, Inc.
4.250% due 10/25/2035		2,817		2,718
5.115% due 11/25/2035		770		744
5.865% due 10/25/2035		429		421
Provident Funding Mortgage Loan Trust
3.799% due 08/25/2033		597		596
Residential Accredit Loans, Inc.
4.965% due 09/25/2046		56		55
5.165% due 08/25/2035		93		88
Residential Funding Mortgage Securities I, Inc.
5.216% due 09/25/2035		364		359
Sequoia Mortgage Trust
4.080% due 04/20/2035		524		521
Structured Adjustable Rate Mortgage Loan Trust
4.881% due 07/25/2034		993		991
5.357% due 01/25/2035		375		373
5.535% due 08/25/2035		239		237
Structured Asset Mortgage Investments, Inc.
4.935% due 08/25/2036		213		212
4.965% due 09/25/2047		695		689
5.085% due 05/25/2036		402		380
5.215% due 07/19/2035		1,980		1,896
5.295% due 10/19/2034		625		613
Structured Asset Securities Corp.
4.080% due 06/25/2033		949		944
5.331% due 10/25/2035		62		61
TBW Mortgage-Backed Pass-Through Certificates
4.965% due 09/25/2036		29		28
4.975% due 01/25/2037		56		55
Thornburg Mortgage Securities Trust
4.975% due 11/25/2046		156		153
4.985% due 03/25/2046		100		98
4.985% due 09/25/2046		333		325
Wachovia Bank Commercial Mortgage Trust
5.118% due 09/15/2021		2,236		2,203
Washington Mutual, Inc.
4.208% due 06/25/2033		368		366
4.229% due 03/25/2034		506		500
5.155% due 08/25/2045		12		12
5.518% due 01/25/2047		82		77
5.598% due 12/25/2046		77		73
5.788% due 02/25/2046		98		95
5.883% due 10/25/2046		161		158
5.988% due 11/25/2042		50		49
6.288% due 09/25/2046		312		305
Wells Fargo Mortgage-Backed Securities Trust
4.998% due 12/25/2034		398		392
Total Mortgage-Backed Securities (Cost $68,347)				68,453
ASSET-BACKED SECURITIES 4.7%
ACE Securities Corp.
4.915% due 08/25/2036		129		123
4.915% due 12/25/2036		64		62
4.935% due 12/25/2035		29		29
4.945% due 10/25/2036		117		114
4.955% due 06/25/2037		177		173
American Express Credit Account Master Trust
5.138% due 09/15/2010		200		200
5.528% due 02/15/2012		596		596
AmeriCredit Automobile Receivables Trust
5.318% due 08/06/2008		676		677
Argent Securities, Inc.
4.905% due 06/25/2036		12		12
4.915% due 09/25/2036		133		131
4.915% due 10/25/2036		265		260
4.935% due 04/25/2036		7		7
4.945% due 03/25/2036		23		23
Asset-Backed Funding Certificates
4.905% due 09/25/2036		185		183
4.925% due 10/25/2036		130		128
4.925% due 11/25/2036		60		59
4.925% due 01/25/2037		527		519
5.215% due 06/25/2034		305		294
Asset-Backed Securities Corp. Home Equity
4.915% due 11/25/2036		42		41
4.915% due 12/25/2036		60		58
4.945% due 05/25/2037		166		160
Atrium CDO Corp.
5.441% due 06/27/2015		496		492
Aurum CLO 2002-1 Ltd.
5.672% due 04/15/2014		843		850
Bank One Issuance Trust
5.138% due 02/15/2011		100		100
Bear Stearns Asset-Backed Securities Trust
4.915% due 11/25/2036		62		61
4.945% due 10/25/2036		68		68
4.955% due 04/25/2036		36		36
5.065% due 09/25/2034		163		163
5.865% due 10/25/2037		1,191		1,145
Carrington Mortgage Loan Trust
4.905% due 05/25/2036		40		39
4.915% due 01/25/2037		63		62
4.965% due 06/25/2037		940		919
5.103% due 10/25/2035		55		51
Chase Credit Card Master Trust
5.138% due 10/15/2010		100		100
5.138% due 02/15/2011		100		100
Chase Issuance Trust
5.038% due 12/15/2010		100		100
5.048% due 02/15/2012		100		100
Citibank Credit Card Issuance Trust
2.900% due 05/17/2010		400		397
5.045% due 02/07/2010		200		200
5.342% due 01/15/2010		100		100
Citibank Credit Card Master Trust I
6.050% due 01/15/2010		200		200
Citibank Omni Master Trust
5.962% due 12/23/2013		7,800		7,795
Citigroup Mortgage Loan Trust, Inc.
4.905% due 08/25/2036		110		109
4.915% due 11/25/2036		38		38
4.925% due 05/25/2037		353		336
Countrywide Asset-Backed Certificates
4.915% due 01/25/2037		71		70
4.915% due 03/25/2037		101		99
4.915% due 05/25/2037		1,368		1,335
4.915% due 03/25/2047		180		177
4.925% due 03/25/2037		160		155
4.925% due 09/25/2046		31		31
4.935% due 07/25/2036		35		35
4.935% due 06/25/2037		72		70
4.945% due 06/25/2037		75		73
4.945% due 10/25/2037		163		160
4.975% due 10/25/2046		432		422
4.995% due 07/25/2036		12		12
5.025% due 02/25/2036		92		90
5.045% due 09/25/2036		193		179
Credit-Based Asset Servicing & Securitization LLC
4.925% due 11/25/2036		72		69
4.985% due 07/25/2037		1,661		1,578
DaimlerChrysler Auto Trust
5.250% due 05/08/2009		50		50
First Franklin Mortgage Loan Asset-Backed Certificates
4.895% due 07/25/2036		38		38
4.905% due 09/25/2036		114		110
4.905% due 01/25/2038		75		73
4.915% due 11/25/2036		1,584		1,520
4.915% due 12/25/2036		58		56
4.935% due 12/25/2037		68		66
4.955% due 01/25/2036		61		61
First NLC Trust
4.935% due 08/25/2037		634		622
First USA Credit Card Master Trust
5.156% due 04/18/2011		200		200
Fremont Home Loan Trust
4.915% due 10/25/2036		55		54
4.925% due 01/25/2037		71		69
4.935% due 02/25/2037		229		224
5.035% due 01/25/2036		31		31
GE-WMC Mortgage Securities LLC
4.905% due 08/25/2036		117		113
GS Auto Loan Trust
5.344% due 07/15/2008		125		125
GSAMP Trust
4.935% due 09/25/2036		137		135
4.935% due 10/25/2036		28		26
4.935% due 12/25/2036		75		73
HFC Home Equity Loan Asset-Backed Certificates
5.019% due 03/20/2036		43		42
5.749% due 11/20/2036		465		463
Home Equity Asset Trust
4.925% due 05/25/2037		78		75
HSI Asset Securitization Corp. Trust
4.915% due 10/25/2036		70		67
4.915% due 12/25/2036		948		914
4.925% due 05/25/2037		451		431
Indymac Residential Asset-Backed Trust
4.915% due 11/25/2036		80		79
4.925% due 04/25/2037		63		61
4.945% due 07/25/2037		161		158
4.955% due 03/25/2036		52		51
4.995% due 04/25/2037		145		139
JPMorgan Mortgage Acquisition Corp.
4.915% due 08/25/2036		297		292
4.925% due 04/01/2037		257		246
4.935% due 03/25/2036		38		38
4.935% due 11/25/2036		52		51
4.945% due 08/25/2036		114		111
4.945% due 03/25/2037		154		148
4.975% due 08/25/2036		723		690
5.075% due 06/25/2035		6		6
Lehman ABS Mortgage Loan Trust
4.955% due 06/25/2037		176		173
Lehman XS Trust
4.935% due 05/25/2046		30		30
4.945% due 04/25/2046		168		167
4.945% due 08/25/2046		146		145
4.945% due 11/25/2046		289		277
4.955% due 05/25/2046		60		60
4.985% due 11/25/2036		187		187
Long Beach Mortgage Loan Trust
4.895% due 06/25/2036		16		16
4.905% due 07/25/2036		76		74
4.905% due 11/25/2036		62		61
4.925% due 10/25/2036		121		118
4.925% due 05/25/2046		38		38
4.955% due 01/25/2046		46		46
5.145% due 10/25/2034		62		60
MASTR Asset-Backed Securities Trust
4.915% due 03/25/2036		78		78
4.925% due 10/25/2036		15		15
4.925% due 11/25/2036		64		62
4.945% due 05/25/2037		151		148
5.015% due 11/25/2035		48		48
MBNA Credit Card Master Note Trust
5.148% due 08/16/2010		100		100
Merrill Lynch First Franklin Mortgage Loan Trust
4.925% due 07/25/2037		264		255
Merrill Lynch Mortgage Investors, Inc.
4.895% due 06/25/2037		39		38
4.915% due 05/25/2037		309		305
4.935% due 08/25/2036		1,118		1,103
4.935% due 02/25/2037		85		84
4.935% due 07/25/2037		183		178
4.945% due 09/25/2037		321		315
Morgan Stanley ABS Capital I
4.905% due 06/25/2036		27		27
4.905% due 10/25/2036		57		56
4.915% due 09/25/2036		166		161
4.915% due 10/25/2036		59		56
4.915% due 11/25/2036		130		125
4.925% due 05/25/2037		339		327
4.935% due 02/25/2036		66		65
4.985% due 02/25/2036		100		98
Morgan Stanley IXIS Real Estate Capital Trust
4.915% due 11/25/2036		57		55
Nationstar Home Equity Loan Trust
4.925% due 06/25/2037		172		168
Nelnet Student Loan Trust
5.182% due 09/25/2012		4		4
New Century Home Equity Loan Trust
4.935% due 08/25/2036		132		131
5.045% due 05/25/2036		100		96
Newcastle Mortgage Securities Trust
4.935% due 03/25/2036		24		24
Option One Mortgage Loan Trust
4.915% due 07/25/2036		24		24
4.915% due 01/25/2037		64		63
Popular ABS Mortgage Pass-Through Trust
4.955% due 06/25/2047		169		164
Residential Asset Mortgage Products, Inc.
4.935% due 11/25/2036		41		40
4.945% due 10/25/2036		178		173
4.965% due 08/25/2046		56		55
Residential Asset Securities Corp.
4.905% due 06/25/2036		119		117
4.905% due 08/25/2036		133		132
4.935% due 07/25/2036		164		163
4.935% due 11/25/2036		170		166
4.945% due 10/25/2036		162		158
4.985% due 04/25/2036		900		879
Saxon Asset Securities Trust
4.925% due 10/25/2046		229		226
Securitized Asset-Backed Receivables LLC Trust
4.925% due 03/25/2036		55		54
4.925% due 12/25/2036		159		149
4.945% due 11/25/2036		76		74
4.995% due 05/25/2037		2,462		2,433
SLC Student Loan Trust
4.849% due 02/15/2015		899		897
SLM Student Loan Trust
5.064% due 04/25/2014		778		777
5.074% due 07/25/2013		2,745		2,744
5.074% due 10/25/2016		99		99
5.074% due 07/25/2017		125		125
5.084% due 04/25/2017		3,572		3,553
5.234% due 01/25/2017		114		114
Soundview Home Equity Loan Trust
4.915% due 10/25/2036		193		189
4.925% due 11/25/2036		121		120
4.925% due 12/25/2036		39		39
4.945% due 01/25/2037		55		53
4.945% due 06/25/2037		162		159
4.965% due 10/25/2036		34		33
5.665% due 10/25/2037		674		663
Specialty Underwriting & Residential Finance
4.895% due 06/25/2037		40		39
4.910% due 11/25/2037		53		52
4.925% due 02/25/2037		21		21
Structured Asset Investment Loan Trust
4.915% due 07/25/2036		46		44
Structured Asset Securities Corp.
4.900% due 04/25/2035		348		340
4.915% due 10/25/2036		303		298
4.945% due 01/25/2037		69		67
USAA Auto Owner Trust
5.337% due 07/11/2008		65		65
Wachovia Auto Owner Trust
5.340% due 07/18/2008		81		81
Washington Mutual Asset-Backed Certificates
4.915% due 01/25/2037		76		73
4.925% due 10/25/2036		76		73
Wells Fargo Home Equity Trust
4.915% due 01/25/2037		61		60
Total Asset-Backed Securities (Cost $51,888)				51,095
SOVEREIGN ISSUES 2.1%
Banco Nacional de Desenvolvimento Economico e Social
5.330% due 06/16/2008		4,230		4,215
Chile Government International Bond
5.411% due 01/28/2008		2,840		2,840
Korea Development Bank
3.875% due 03/02/2009		2,960		2,915
4.750% due 07/20/2009		100		99
5.080% due 10/31/2008		2,000		1,993
5.580% due 10/20/2009		5,192		5,198
Mexico Government International Bond
4.625% due 10/08/2008		200		199
5.942% due 01/13/2009		797		800
Panama Government International Bond
8.250% due 04/22/2008		600		605
Russia Government International Bond
8.250% due 03/31/2010		1,333		1,386
Ukraine Government International Bond
8.693% due 08/05/2009		2,200		2,266
Total Sovereign Issues (Cost $22,543)				22,516
FOREIGN CURRENCY-DENOMINATED ISSUES 6.9%
America Movil SAB de C.V.
8.460% due 12/18/2036	MXN	2,700		233
Brazil Notas do Tesouro Nacional Series F
10.000% due 01/01/2017	BRL	44,440		20,938
Brazilian Government International CPI Linked Bond
6.000% due 05/15/2017		4,400		3,769
6.000% due 05/15/2045		1,000		873
10.000% due 01/01/2012		85,835		43,957
Telefonos de Mexico SAB de C.V.
8.750% due 01/31/2016	MXN	19,700		1,809
Uruguay Government International Bond
3.700% due 06/26/2037	UYU	57,224		2,451
Total Foreign Currency-Denominated Issues (Cost $73,732)				74,030
SHORT-TERM INSTRUMENTS 40.6%
Certificates of Deposit 3.2%
Abbey National Treasury Services PLC
5.175% due 07/02/2008		300		300
Barclays Bank PLC
5.490% due 08/10/2009		3,400		3,404
Calyon Financial, Inc.
5.204% due 01/16/2009		700		699
Citibank N.A.
4.770% due 01/29/2008		28,000		28,000
Fortis Bank NY
4.745% due 04/28/2008		100		100
HSBC Bank USA N.A.
5.426% due 07/28/2008		100		100
Nordea Bank Finland PLC
4.788% due 03/31/2008		100		100
4.991% due 05/28/2008		300		300
5.230% due 04/09/2009		800		799
Skandinaviska Enskilda Banken AB
4.611% due 02/04/2008		100		100
Societe Generale NY
4.768% due 06/30/2008		300		300
Unicredito Italiano NY
5.062% due 05/29/2008		400		400
5.358% due 05/06/2008		300		300
				34,902
Commercial Paper 37.0%
Abbey National Treasury Services PLC
4.250% due 01/07/2008		11,700		11,693
ANZ National International Ltd.
5.100% due 01/22/2008		29,100		29,018
Bank of America Corp.
4.695% due 01/28/2008		27,000		26,908
Bank of Scotland PLC
5.050% due 01/28/2008		5,900		5,878
Barclays U.S. Funding Corp.
4.810% due 01/25/2008		2,800		2,791
5.110% due 01/17/2008		22,600		22,552
5.180% due 01/09/2008		3,600		3,596
Calyon Financial, Inc.
5.010% due 01/18/2008		23,500		23,448
Citibank N.A.
5.900% due 01/25/2008		9,300		9,265
5.940% due 02/01/2008		8,000		7,960
Danske Corp.
4.740% due 02/08/2008		30,400		30,252
DnB NORBank ASA
5.010% due 01/11/2008		1,500		1,498
Intesa Funding LLC
5.010% due 01/22/2008		29,100		29,019
Rabobank Financial Co.
3.990% due 01/02/2008		29,600		29,600
Royal Bank of Scotland Group PLC
4.740% due 01/28/2008		29,500		29,399
4.780% due 01/24/2008		1,200		1,197
5.000% due 01/18/2008		200		200
5.080% due 01/18/2008		2,900		2,893
Skandinaviska Enskilda Banken AB
4.720% due 02/01/2008		1,200		1,195
4.880% due 01/23/2008		500		499
4.980% due 01/18/2008		26,600		26,541
5.050% due 01/25/2008		1,600		1,595
5.125% due 01/11/2008		800		799
Swedbank AB
4.730% due 02/01/2008		3,000		2,988
4.920% due 01/24/2008		200		199
5.015% due 01/24/2008		26,500		26,419
5.100% due 01/17/2008		700		699
UBS Finance Delaware LLC
4.690% due 01/28/2008		29,500		29,400
Unicredito Italiano SpA
4.810% due 02/15/2008		16,400		16,304
5.140% due 01/18/2008		6,500		6,485
5.220% due 01/04/2008		2,400		2,399
Westpac Trust Securities NZ Ltd.
4.810% due 01/25/2008		12,200		12,163
5.100% due 01/15/2008		3,800		3,793
				398,645
Egypt Treasury Bills 0.1%
9.690% due 02/05/2008	EGP	3,000		540
U.S. Treasury Bills 0.3%
2.973% due 02/28/2008 - 03/13/2008 (a)	$	2,750		2,729
Total Short-Term Instruments (Cost $436,803)				436,817
Total Investments 94.0% (Cost $1,012,982)			$	1,011,085
Other Assets and Liabilities (Net) 6.0%				64,739
Net Assets (c) 100.0%			$	1,075,823

Notes to Schedule of Investments (amounts in thousands*):

* A zero balance may reflect actual amounts rounding to less than one thousand.

(a) Coupon represents a weighted average rate.

(b) Securities with an aggregate market value of $995 have been pledged as collateral for swap and swaption contracts on December 31, 2007.

(c) As of December 31, 2007 portfolio securities with an aggregate value of $16,345 and derivative instruments with an aggregate appreciation of $366 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(d) Swap agreements outstanding on December 31, 2007:

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Barclays Bank PLC	BRL-CDI-Compounded	Pay	10.680	%	01/02/2012	BRL	29,000	$	(857	)
Goldman Sachs & Co.	BRL-CDI-Compounded	Pay	10.150	%	01/02/2012		41,400		(1,158	)
Merrill Lynch & Co., Inc.	BRL-CDI-Compounded	Receive	12.290	%	01/02/2009		2,500		(5	)
Merrill Lynch & Co., Inc.	BRL-CDI-Compounded	Pay	12.670	%	01/04/2010		728,000		3,253
Morgan Stanley	BRL-CDI-Compounded	Pay	12.780	%	01/04/2010		3,400		(23	)
Morgan Stanley	BRL-CDI-Compounded	Pay	10.115	%	01/02/2012		17,900		(417	)
UBS Warburg LLC	BRL-CDI-Compounded	Pay	10.575	%	01/02/2012		17,000		(427	)
Barclays Bank PLC	Korea Securities Dealers Association National Housing Index	Pay	4.895	%	02/07/2012	KRW	936,600		(20	)
Barclays Bank PLC	Korea Securities Dealers Association National Housing Index	Pay	4.880	%	02/08/2012		933,333		(21	)
Barclays Bank PLC	28-Day Mexico Interbank TIIE Banxico	Pay	8.780	%	08/03/2016	MXN	2,550		4
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.770	%	08/03/2016		2,550		4
Goldman Sachs & Co.	28-Day Mexico Interbank TIIE Banxico	Pay	8.170	%	11/04/2016		58,000		(192	)
JPMorgan Chase & Co.	28-Day Mexico Interbank TIIE Banxico	Pay	8.410	%	04/17/2009		7,700		2
Morgan Stanley	28-Day Mexico Interbank TIIE Banxico	Pay	9.920	%	08/12/2015		4,000		30
Citibank N.A.	3-Month ZAR-Johannesburg Interbank Agreed Rate	Pay	9.990	%	11/09/2010	ZAR	16,750		(24	)
HSBC Bank USA	3-Month ZAR-Johannesburg Interbank Agreed Rate	Pay	9.990	%	11/09/2010		16,750		(24	)
								$	125

(e) Short sales outstanding on December 31, 2007:

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Value
Fannie Mae	6.000	%	01/01/2038	$	100,000	$	101,080	$	101,547
Freddie Mac	6.000	%	01/01/2038		7,100		7,212		7,205
						$	108,292	$	108,752

(f) Foreign currency contracts outstanding on December 31, 2007:

Type	Currency	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	AED	9,596	05/2008	$	24	$	0		$	24
Buy	BRL	174,186	03/2008		11,474		0			11,474
Sell		106,011	03/2008		0		(4,034	)		(4,034	)
Buy		101,279	07/2008		3,002		(36	)		2,966
Sell		61,820	07/2008		293		(57	)		236
Buy	CLP	6,198,536	03/2008		629		0			629
Buy		13,728,066	07/2008		0		(118	)		(118	)
Buy	CNY	74,085	01/2008		151		0			151
Sell		74,085	01/2008		0		(156	)		(156	)
Buy		5,327	07/2008		11		0			11
Sell		11,842	10/2008		0		(2	)		(2	)
Buy		183,282	03/2009		1,495		0			1,495
Buy	COP	50,786,054	03/2008		1,232		(53	)		1,179
Sell		13,842,200	03/2008		0		(93	)		(93	)
Buy	CZK	1,261,301	03/2008		8,209		0			8,209
Sell		746,286	03/2008		18		(3,693	)		(3,675	)
Buy		345,545	07/2008		1,863		0			1,863
Buy	HKD	331,648	01/2008		0		(160	)		(160	)
Buy	HUF	5,590,421	07/2008		604		0			604
Sell		1,420,254	07/2008		6		0			6
Buy	IDR	190,891,000	01/2008		68		0			68
Buy		49,556,645	05/2008		84		0			84
Buy	ILS	28,812	11/2008		128		0			128
Buy	INR	219,527	05/2008		316		0			316
Buy		740,665	08/2008		50		(26	)		24
Buy	JPY	88,611	02/2008		0		(2	)		(2	)
Buy	KRW	2,441,445	01/2008		0		(68	)		(68	)
Buy		9,250,810	05/2008		34		0			34
Sell		1,869,115	05/2008		28		0			28
Buy		782,390	08/2008		0		(18	)		(18	)
Buy	KWD	752	05/2008		144		0			144
Buy	MXN	976,664	03/2008		1,178		(58	)		1,120
Sell		54,592	03/2008		23		0			23
Buy		298,324	07/2008		205		0			205
Sell		111,220	07/2008		0		(29	)		(29	)
Buy	MYR	74,168	05/2008		779		0			779
Buy		14,682	08/2008		137		0			137
Buy	PHP	661,467	05/2008		1,504		0			1,504
Buy		356,588	08/2008		423		0			423
Buy	PLN	167,538	03/2008		8,008		0			8,008
Sell		10,552	03/2008		36		0			36
Buy		144,773	07/2008		6,408		0			6,408
Buy	RON	84,702	01/2008		0		(1,678	)		(1,678	)
Sell		84,702	01/2008		458		(33	)		425
Buy		48,987	11/2008		49		0			49
Buy	RUB	1,139,057	01/2008		2,176		0			2,176
Sell		1,139,057	01/2008		115		(168	)		(53	)
Buy		207,492	07/2008		176		0			176
Buy		1,012,232	11/2008		0		(137	)		(137	)
Buy	SAR	9,811	05/2008		11		0			11
Buy	SGD	15,624	02/2008		396		0			396
Buy		96,559	05/2008		2,562		0			2,562
Buy		72,380	08/2008		587		0			587
Buy	SKK	780,814	03/2008		2,233		0			2,233
Buy		22,072	07/2008		0		(21	)		(21	)
Buy	TRY	84,652	03/2008		13,091		0			13,091
Sell		39,253	03/2008		27		(854	)		(827	)
Buy	TWD	367,760	01/2008		0		(41	)		(41	)
Buy	ZAR	196,878	03/2008		545		(438	)		107
Buy		290,480	07/2008		1,762		(223	)		1,539
Sell		20,118	07/2008		0		(37	)		(37	)
				$	72,752	$	(12,233	)	$	60,519

See accompanying notes

Schedule of Investments

Emerging Markets Portfolio

December 31, 2007 (Unaudited)

	Principal Amount (000s)		Value (000s)
ARGENTINA 0.3%
Argentina Bonos
5.389% due 08/03/2012	$	10,290	$	5,827
Total Argentina (Cost $6,001)				5,827
BRAZIL 20.9%
Brazil Notas do Tesouro Nacional Series F
10.000% due 01/01/2017	BRL	340,840		160,576
Brazilian Government International Bond
8.250% due 01/20/2034	$	100		127
10.250% due 01/10/2028	BRL	84,000		45,834
12.500% due 01/05/2016		20,000		12,303
Brazilian Government International CPI Linked Bond
6.000% due 05/15/2017		5,800		4,968
6.000% due 08/15/2024		60,000		51,723
6.000% due 05/15/2045		2,000		1,746
10.000% due 01/01/2012		403,475		206,603
Cia de Saneamento Basico do Estado de Sao Paulo
7.500% due 11/03/2016	$	2,100		2,152
CSN Islands VII Corp.
10.750% due 09/12/2008		2,025		2,091
Embraer Overseas Ltd.
6.375% due 01/24/2017		1,200		1,141
ISA Capital do Brasil S.A.
7.875% due 01/30/2012		1,300		1,329
8.800% due 01/30/2017		1,500		1,549
Total Brazil (Cost $507,001)				492,142
CAYMAN ISLANDS 0.0%
Petrobras International Finance Co.
6.125% due 10/06/2016	$	650		666
Total Cayman Islands (Cost $630)				666
CHILE 0.1%
Banco Santander Chile
5.375% due 12/09/2014	$	1,500		1,525
CODELCO, Inc.
5.625% due 09/21/2035		100		92
6.150% due 10/24/2036		100		99
Total Chile (Cost $1,692)				1,716
CHINA 0.1%
China Development Bank
5.000% due 10/15/2015	$	500		494
Citic Resources Finance Ltd.
6.750% due 05/15/2014		600		564
Total China (Cost $1,094)				1,058
EGYPT 0.0%
Petroleum Export Ltd.
5.265% due 06/15/2011	$	755		750
Total Egypt (Cost $755)				750
EL SALVADOR 0.2%
AES El Salvador Trust
6.750% due 02/01/2016	$	4,250		4,235
El Salvador Government International Bond
8.500% due 07/25/2011		125		137
Total El Salvador (Cost $4,368)				4,372
GUATEMALA 0.2%
Guatemala Government Bond
9.250% due 08/01/2013	$	4,717	$	5,446
Total Guatemala (Cost $4,786)				5,446
INDIA 0.1%
ICICI Bank Ltd.
5.750% due 01/12/2012	$	3,200		3,081
Total India (Cost $3,194)				3,081
KAZAKHSTAN 0.4%
Intergas Finance BV
6.375% due 05/14/2017	$	4,000		3,600
6.875% due 11/04/2011		500		485
Tengizchevroil Finance Co. SARL
6.124% due 11/15/2014		6,450		6,112
Total Kazakhstan (Cost $10,986)				10,197
MEXICO 2.3%
America Movil SAB de C.V.
4.958% due 06/27/2008	$	6,300		6,300
5.500% due 03/01/2014		5,000		4,993
5.750% due 01/15/2015		5,900		5,918
8.460% due 12/18/2036	MXN	10,900		942
C5 Capital SPV Ltd.
6.196% due 12/31/2049		400		396
C8 Capital SPV Ltd.
6.640% due 12/29/2049		600		571
C10 Capital SPV Ltd.
6.722% due 12/31/2049	$	5,100		4,712
Cablemas S.A. de C.V.
9.375% due 11/15/2015		5,000		5,400
Desarrolladora Homex SAB de C.V.
7.500% due 09/28/2015		10,300		10,429
Hipotecaria Su Casita S.A.
8.500% due 10/04/2016		500		518
Kansas City Southern de Mexico S.A. de C.V.
9.375% due 05/01/2012		1,000		1,052
Mexican Bonos
8.000% due 12/17/2015	MXN	129,000		11,705
Mexico Government International Bond
6.750% due 09/27/2034	$	98		108
Pemex Project Funding Master Trust
6.625% due 06/15/2035		25		26
Telefonos de Mexico SAB de C.V.
8.750% due 01/31/2016	MXN	10,000		918
Vitro SAB de C.V.
8.625% due 02/01/2012	$	700		662
9.125% due 02/01/2017		200		185
Total Mexico (Cost $55,399)				54,835
MOROCCO 0.0%
Kingdom of Morocco
6.375% due 01/01/2009	$	197		198
Total Morocco (Cost $195)				198
PANAMA 0.1%
Panama Government International Bond
6.700% due 01/26/2036	$	100		106
9.375% due 07/23/2012		200		234
9.625% due 02/08/2011		1,179		1,329
Total Panama (Cost $1,625)				1,669
PERU 0.0%
Peru Government International Bond
8.750% due 11/21/2033	$	100	$	133
Total Peru (Cost $132)				133
POLAND 0.9%
Poland Government International Bond
5.750% due 09/23/2022	PLN	48,900		19,761
Total Poland (Cost $17,702)				19,761
RUSSIA 1.3%
ABN AMRO Bank for OAO Gazprom
9.625% due 03/01/2013	$	1,050		1,195
Gaz Capital for Gazprom
8.625% due 04/28/2034		500		628
Gazprom International S.A.
7.201% due 02/01/2020		10,157		10,394
Mobile Telesystems Finance S.A.
8.000% due 01/28/2012		1,000		1,029
RSHB Capital S.A. for OJSC Russian Agricultural Bank
7.175% due 05/16/2013		2,050		2,109
Russia Government International Bond
12.750% due 06/24/2028		100		182
Salomon Brothers AG for OAO Siberian Oil Co.
10.750% due 01/15/2009		1,000		1,047
TNK-BP Finance S.A.
6.125% due 03/20/2012		1,000		955
6.625% due 03/20/2017		4,400		4,026
7.500% due 07/18/2016		3,900		3,791
TransCapitalInvest Ltd. for OJSC AK Transneft
6.103% due 06/27/2012		5,300		5,337
Total Russia (Cost $31,414)				30,693
SOUTH AFRICA 0.7%
South Africa Government International Bond
5.250% due 05/16/2013	EUR	10,052		14,550
5.875% due 05/30/2022	$	1,680		1,713
Total South Africa (Cost $13,614)				16,263
SUPRANATIONAL 0.0%
Inter-American Development Bank
8.500% due 03/15/2011	$	120		137
Total Supranational (Cost $137)				137
TRINIDAD AND TOBAGO 0.1%
Petroleum Co. of Trinidad & Tobago Ltd.
6.000% due 05/08/2022	$	3,300		3,295
Total Trinidad And Tobago (Cost $3,287)				3,295
UKRAINE 0.6%
Colvis Finance Ltd.
8.000% due 02/02/2009	$	2,500		2,502
Ukraine Government International Bond
8.693% due 08/05/2009		11,895		12,253
Total Ukraine (Cost $14,983)				14,755
UNITED STATES 18.9%
Corporate Bonds & Notes 0.8%
Florida Power Corp.
5.279% due 11/14/2008	$	4,000		3,995
Freeport-McMoRan Copper & Gold, Inc.
8.375% due 04/01/2017		104		112
John Deere Capital Corp.
5.038% due 09/25/2008		11,000	$	11,005
JPMorgan Chase & Co.
5.384% due 01/17/2011		3,960		3,925
				19,037
Mortgage-backed Securities 0.4%
Bear Stearns Adjustable Rate Mortgage Trust
4.125% due 03/25/2035		9,264		9,180
U.S. Government Agencies 17.7%
Fannie Mae
5.500% due 01/01/2037 - 06/01/2037		10,560		10,550
6.000% due 07/01/2031 - 01/01/2038		400,012		406,326
				416,876
Total United States (Cost $442,912)				445,093
URUGUAY 0.4%
Uruguay Government International Bond
3.700% due 06/26/2037	UYU	101,326		4,340
7.500% due 03/15/2015	$	4,000		4,340
Total Uruguay (Cost $8,544)				8,680
VIETNAM 0.0%
Socialist Republic of Vietnam
6.875% due 01/15/2016	$	600		637
Total Vietnam (Cost $591)				637
SHORT-TERM INSTRUMENTS 50.6%
Certificates of Deposit 2.8%
Citibank N.A.
4.770% due 01/29/2008	$	65,000		65,000
Commercial Paper 46.8%
Abbey National Treasury Services PLC
4.680% due 02/01/2008		68,800		68,532
ABN AMRO N.A. Finance
4.700% due 02/01/2008		3,200		3,187
ANZ National International Ltd.
4.700% due 02/01/2008		7,300		7,271
5.100% due 01/22/2008		68,200		68,007
Bank of America Corp.
4.695% due 01/28/2008		65,000		64,780
Bank of Scotland PLC
5.050% due 01/28/2008		6,500		6,476
Barclays U.S. Funding Corp.
4.810% due 01/25/2008		2,800		2,791
4.820% due 02/06/2008		10,900		10,849
5.100% due 01/25/2008		17,700		17,642
5.110% due 01/17/2008		42,000		41,911
5.180% due 01/09/2008		1,600		1,598
Caisse d’Amortissement de la Dette Sociale
4.730% due 02/01/2008		68,100		67,832
Calyon Financial, Inc.
5.010% due 01/18/2008		68,100		67,948
Citibank N.A.
5.900% due 01/25/2008		14,000		13,947
Danske Corp.
4.730% due 01/31/2008		8,200		8,169
4.740% due 02/08/2008		66,000		65,679
DnB NORBank ASA
5.050% due 01/25/2008		7,700		7,675
Freddie Mac
3.000% due 01/02/2008		41,500		41,500
Intesa Funding LLC
5.010% due 01/22/2008		68,100		67,910
Royal Bank of Scotland Group PLC
4.740% due 01/28/2008		68,100		67,867
5.030% due 01/22/2008		1,000		997
5.080% due 01/22/2008		42,200		42,081
Skandinaviska Enskilda Banken AB
4.730% due 02/08/2008		63,200		62,893
5.050% due 01/25/2008		1,100		1,096
5.125% due 01/11/2008		900		899
Swedbank AB
4.730% due 02/01/2008		1,400		1,395
5.130% due 01/18/2008		18,500		18,458
5.135% due 01/17/2008		54,800		54,683
UBS Finance Delaware LLC
4.690% due 01/28/2008		68,100		67,869
Unicredito Italiano SpA
5.140% due 01/18/2008		13,100		13,070
5.220% due 01/04/2008		62,200		62,182
Westpac Trust Securities NZ Ltd.
4.810% due 01/25/2008		6,600		6,580
5.100% due 01/15/2008		68,300		68,174
				1,101,948
Repurchase Agreements 0.1%
Fixed Income Clearing Corp.
3.900% due 01/02/2008		1,595		1,595
(Dated 12/31/2007. Collateralized by Federal Home Loan Bank 0.000% due 01/25/2008 valued at $1,631. Repurchase proceeds are $1,595.)
U.S. Treasury Bills 0.9%
2.959% due 02/28/2008 - 03/13/2008 (a)(b)		21,250		21,056
Total Short-Term Instruments (Cost $1,189,671)				1,189,599
Purchased Options (f) 1.1% (Cost $6,876)				26,694
Total Investments 99.3% (Cost $2,327,589)			$	2,337,697
Written Options (g) (0.9%) (Premiums $7,651)				(21,465	)
Other Assets and Liabilities (Net) 1.6%				37,644
Net Assets (c) 100.0%			$	2,353,876

Notes to Schedule of Investments (amounts in thousands*, except number of contracts):

* A zero balance may reflect actual amounts rounding to less than one thousand.

(a) Coupon represents a weighted average rate.

(b) Securities with an aggregate market value of $21,056 have been pledged as collateral for swap and swaption contracts on December 31, 2007.

(c) As of December 31, 2007, portfolio securities with an aggregate value of $4,340 and derivatives instruments with an aggregate depreciation of ($43,722) were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(d) Cash of $3,160 has been segregated with the custodian to cover margin requirements for the following open futures contracts on December 31, 2007:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2008	788	$	1,788

(e) Swap agreements outstanding on December 31, 2007:

Credit Default Swaps on Securities

Counterparty	Reference Entity	Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Barclays Bank PLC	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.360	%	08/20/2011	$	2,400	$	57
Barclays Bank PLC	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.370	%	08/20/2011		2,400		58
Barclays Bank PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.700	%	09/20/2011		500		7
Barclays Bank PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	2.320	%	12/20/2016		6,500		150
Barclays Bank PLC	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	1.700	%	03/20/2011		11,000		5
Barclays Bank PLC	Vnesheconom 0.000% due 07/12/2009	Sell	0.650	%	11/20/2008		1,700		(9	)
Citibank N.A.	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.540	%	12/20/2011		1,350		9
Citibank N.A.	Multiple Reference Entities of Gazprom	Sell	1.350	%	08/20/2016		7,000		(218	)
Citibank N.A.	Petroleos Mexicanos 9.500% due 09/15/2027	Sell	0.790	%	07/20/2011		300		2
Citibank N.A.	Russia Government International Bond 7.500% due 03/31/2030	Sell	2.800	%	11/15/2013		9,500		956
Credit Suisse USA, Inc.	Mexico Government International Bond 11.500% due 05/15/2026	Sell	2.800	%	01/16/2013		6,000		651
Credit Suisse USA, Inc.	Multiple Reference Entities of Gazprom	Sell	1.580	%	06/20/2016		5,000		(100	)
Deutsche Bank AG	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.540	%	12/20/2011		800		6
Deutsche Bank AG	Multiple Reference Entities of Gazprom	Sell	0.860	%	11/20/2011		10,000		(252	)
Deutsche Bank AG	Multiple Reference Entities of Gazprom	Sell	0.900	%	11/20/2011		25,000		(595	)
Deutsche Bank AG	Uruguay Government International Bond 7.875% due 01/15/2033	Sell	1.050	%	01/20/2012		4,000		(33	)
Goldman Sachs & Co.	Mexico Government International Bond 11.500% due 05/15/2026	Sell	2.450	%	04/08/2013		5,300		465
JPMorgan Chase & Co.	CEMEX SAB de C.V. 9.625% due 10/01/2009	Sell	1.050	%	12/20/2016		2,100		(103	)
JPMorgan Chase & Co.	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	2.050	%	09/20/2011		5,250		134
JPMorgan Chase & Co.	Mexico Government International Bond 11.500% due 05/15/2026	Sell	2.840	%	01/04/2013		18,000		1,995
JPMorgan Chase & Co.	Multiple Reference Entities of Gazprom	Sell	1.000	%	04/20/2011		31,000		(476	)
JPMorgan Chase & Co.	Multiple Reference Entities of Gazprom	Sell	1.500	%	04/20/2016		5,100		(112	)
JPMorgan Chase & Co.	Petroleos Mexicanos 9.500% due 09/15/2027	Sell	1.130	%	04/20/2016		11,150		164
JPMorgan Chase & Co.	Russia Government International Bond 7.500% due 03/31/2030	Sell	2.320	%	01/21/2014		10,700		903
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	2.020	%	07/20/2013		2,230		126
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.510	%	08/20/2016		4,500		96
Lehman Brothers, Inc.	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.520	%	12/20/2011		8,000		50
Lehman Brothers, Inc.	Multiple Reference Entities of Gazprom	Sell	1.140	%	07/20/2011		2,700		(25	)
Lehman Brothers, Inc.	Multiple Reference Entities of Gazprom	Sell	1.330	%	03/20/2016		6,025		(189	)
Lehman Brothers, Inc.	Pemex Project Funding Master Trust 9.500% due 09/15/2027	Sell	0.430	%	05/20/2012		2,000		(24	)
Lehman Brothers, Inc.	Peru Government International Bond 8.750% due 11/21/2033	Sell	1.840	%	08/20/2012		4,700		184
Lehman Brothers, Inc.	Petroleos Mexicanos 9.500% due 09/15/2027	Sell	0.800	%	07/20/2011		672		5
Lehman Brothers, Inc.	Petroleos Mexicanos 9.500% due 09/15/2027	Sell	1.220	%	04/20/2016		2,800		59
Lehman Brothers, Inc.	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.690	%	03/20/2016		20,000		(371	)
Lehman Brothers, Inc.	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	1.400	%	05/20/2012		5,000		(137	)
Lehman Brothers, Inc.	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	2.060	%	05/20/2017		2,000		(118	)
Merrill Lynch & Co., Inc.	Russia Government International Bond 7.500% due 03/31/2030	Sell	2.740	%	11/18/2013		10,000		973
Merrill Lynch & Co., Inc.	Russia Government International Bond 7.500% due 03/31/2030	Sell	2.310	%	01/21/2014		1,350		113
Merrill Lynch & Co., Inc.	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	1.500	%	01/20/2012		1,000		(13	)
Morgan Stanley	Multiple Reference Entities of Gazprom	Sell	1.050	%	04/20/2011		1,000		(14	)
Morgan Stanley	Multiple Reference Entities of Gazprom	Sell	1.140	%	07/20/2011		600		(6	)
Morgan Stanley	Multiple Reference Entities of Gazprom	Sell	1.390	%	05/20/2016		20,500		(628	)
Morgan Stanley	Multiple Reference Entities of Gazprom	Sell	1.350	%	08/20/2016		5,000		(156	)
Morgan Stanley	Peru Government International Bond 8.750% due 11/21/2033	Sell	1.220	%	10/20/2011		2,000		27
Morgan Stanley	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	1.590	%	04/20/2012		1,000		(17	)
Royal Bank of Scotland Group PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.555	%	09/20/2011		1,000		8
Royal Bank of Scotland Group PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.270	%	12/20/2011		10,000		(29	)
Royal Bank of Scotland Group PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.525	%	12/20/2011		8,900		57
Royal Bank of Scotland Group PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.620	%	12/20/2011		1,000		10
Royal Bank of Scotland Group PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	2.360	%	09/20/2016		4,700		126
Royal Bank of Scotland Group PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	2.385	%	09/20/2016		600		17
Royal Bank of Scotland Group PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	2.480	%	09/20/2016		4,500		157
UBS Warburg LLC	Colombia Government International Bond 10.375% due 01/28/2033	Sell	1.070	%	01/20/2012		6,500		25
UBS Warburg LLC	Mexico Government International Bond 7.500% due 04/08/2033	Sell	0.695	%	01/20/2017		600		(4	)
UBS Warburg LLC	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	1.480	%	03/20/2012		2,000		(38	)
								$	3,928

⁽¹⁾ If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will pay to the buyer of the protection an amount up to the notional value of the swap and in certain instances, take delivery of the security.

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay Floating Rate	Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Credit Suisse USA, Inc.	6-Month Australian Bank Bill	Pay	7.250	%	06/15/2013	AUD	23,600	$	(301	)
Goldman Sachs & Co.	BRL-CDI-Compounded	Pay	10.150	%	01/02/2012	BRL	895,000		(31,424	)
Merrill Lynch & Co., Inc.	BRL-CDI-Compounded	Pay	13.290	%	01/04/2010		21,900		232
Merrill Lynch & Co., Inc.	BRL-CDI-Compounded	Pay	13.840	%	01/04/2010		21,300		360
Morgan Stanley	BRL-CDI-Compounded	Pay	12.780	%	01/04/2010		11,600		33
Morgan Stanley	BRL-CDI-Compounded	Pay	10.115	%	01/02/2012		273,000		(9,885	)
UBS Warburg LLC	BRL-CDI-Compounded	Pay	10.575	%	01/02/2012		150,000		(3,038	)
Barclays Bank PLC	28-Day Mexico Interbank TIIE Banxico	Pay	8.780	%	08/03/2016	MXN	5,700		8
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.770	%	08/03/2016		5,700		8
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.720	%	09/05/2016		376,100		(183	)
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.900	%	09/22/2016		52,250		108
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.170	%	11/04/2016		4,254,000		(11,503	)
Goldman Sachs & Co.	28-Day Mexico Interbank TIIE Banxico	Pay	8.865	%	09/12/2016		50,000		94
Goldman Sachs & Co.	28-Day Mexico Interbank TIIE Banxico	Pay	8.170	%	11/04/2016		840,000		(3,264	)
JPMorgan Chase & Co.	28-Day Mexico Interbank TIIE Banxico	Pay	8.410	%	04/17/2009		37,100		11
JPMorgan Chase & Co.	28-Day Mexico Interbank TIIE Banxico	Pay	8.850	%	09/21/2016		80,000		142
Merrill Lynch & Co., Inc.	28-Day Mexico Interbank TIIE Banxico	Pay	8.720	%	09/05/2016		28,000		(4	)
Morgan Stanley	28-Day Mexico Interbank TIIE Banxico	Pay	9.920	%	08/12/2015		38,000		284
Morgan Stanley	28-Day Mexico Interbank TIIE Banxico	Pay	8.170	%	11/04/2016		5,000		(6	)
Barclays Bank PLC	6-Month PLN-LIBOR	Pay	5.750	%	12/19/2017	PLN	5,000		(7	)
								$	(58,335	)

(f) Purchased options outstanding on December 31, 2007:

Interest Rate Swaptions

Description

Counterparty

Floating Rate Index

Pay/Receive Floating Rate

Exercise Rate

Expiration Date

Notional Amount

Cost

Value

Call - OTC 2-Year Interest Rate Swap

Lehman Brothers, Inc.

3-Month USD-LIBOR

Pay

4.750

%

09/26/2008

$

1,286,000

$

6,876

$

26,694

(g) Written options outstanding on December 31, 2007:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Value
Call - CBOT U.S. Treasury 10-Year Note March Futures	$	114.000	02/22/2008	797	$	670	$	897
Put - CBOT U.S. Treasury 10-Year Note March Futures		110.000	02/22/2008	797		430		199
					$	1,100	$	1,096

Interest Rate Swaptions

Description

Counterparty

Floating Rate Index

Pay/Receive Floating Rate

Exercise Rate

Expiration Date

Notional Amount

Premium

Value

Call - OTC 5-Year Interest Rate Swap

Lehman Brothers, Inc.

3-Month USD-LIBOR

Receive

4.950

%

09/26/2008

$

559,000

$

6,551

$

20,369

(h) Short sales outstanding on December 31, 2007:

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Value
Fannie Mae	5.500	%	01/01/2038	$	11,000	$	11,017	$	10,988
Fannie Mae	6.000	%	01/01/2038		400,000		404,321		406,188
						$	415,338	$	417,176

(i) Foreign currency contracts outstanding on December 31, 2007:

Type	Currency	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	AED	53,698	05/2008	$	71	$	(13	)	$	58
Buy	BRL	113,198	03/2008		6,946		0			6,946
Buy		124,528	07/2008		3,797		0			3,797
Sell		63,524	07/2008		0		(442	)		(442	)
Buy	CLP	873,543	03/2008		95		0			95
Buy		344,624	07/2008		0		(2	)		(2	)
Buy	CNY	31,654	01/2008		88		0			88
Sell		31,654	01/2008		0		(19	)		(19	)
Buy		1,266,627	07/2008		5,106		0			5,106
Sell		590,834	07/2008		0		(675	)		(675	)
Buy		30,567	10/2008		4		(1	)		3
Buy	COP	180,720	03/2008		8		0			8
Sell		180,720	03/2008		0		(1	)		(1	)
Buy	CZK	4,091	03/2008		26		0			26
Buy	EUR	53	01/2008		0		(1	)		(1	)
Sell		7,905	01/2008		18		0			18
Sell	HKD	948	01/2008		1		0			1
Buy	HUF	895,550	07/2008		74		0			74
Sell		841,632	07/2008		3		0			3
Buy	IDR	7,585,107	05/2008		13		0			13
Buy	ILS	465	11/2008		2		0			2
Buy	INR	1,266	05/2008		1		0			1
Sell		1,266	05/2008		0		0			0
Buy	KRW	71,211,602	01/2008		0		(2,027	)		(2,027	)
Buy		80,710,671	05/2008		295		(7	)		288
Sell		928,365	05/2008		2		0			2
Buy		3,826,276	08/2008		0		(90	)		(90	)
Buy	KWD	4,129	05/2008		445		0			445
Buy	MXN	1,355,939	03/2008		557		(143	)		414
Sell		95,932	03/2008		0		(45	)		(45	)
Buy		1,429,228	07/2008		2,591		(328	)		2,263
Buy	MYR	2,928	08/2008		27		0			27
Buy	PLN	451,780	03/2008		21,116		0			21,116
Sell		21,998	03/2008		0		(31	)		(31	)
Buy		69,002	07/2008		2,876		0			2,876
Buy	RUB	4,243,212	01/2008		8,015		0			8,015
Sell		4,243,212	01/2008		253		(659	)		(406	)
Buy		1,768,126	07/2008		2,429		0			2,429
Sell		246,275	07/2008		0		(351	)		(351	)
Buy		4,288,604	11/2008		707		(265	)		442
Buy	SAR	54,967	05/2008		32		(28	)		4
Buy	SGD	161,246	02/2008		3,949		0			3,949
Buy		162,896	05/2008		5,036		0			5,036
Buy		607	08/2008		5		0			5
Buy	SKK	5,396	03/2008		17		0			17
Buy	ZAR	56,647	07/2008		181		(183	)		(2	)
				$	64,786	$	(5,311	)	$	59,475

See accompanying notes

Schedule of Investments

High Yield Portfolio

December 31, 2007 (Unaudited)

		Principal Amount (000s)		Value (000s)
BANK LOAN OBLIGATIONS 2.8%
Biomet, Inc.
7.776% due 03/25/2015	$	1,000	$	991
Community Health Corp.
7.331% due 07/25/2014		524		505
Community Health Systems, Inc.
4.000% due 07/02/2014		46		45
7.072% due 07/02/2014		180		173
Daimler Finance North America LLC
9.000% due 08/03/2012		13,975		13,473
Ford Motor Co.
8.000% due 12/15/2013		1,985		1,842
General Motors Corp.
7.056% due 11/29/2013		1,489		1,395
Georgia-Pacific Corp.
6.580% due 12/20/2012		290		276
6.896% due 12/20/2012		1,203		1,148
Harrah’s Entertainment, Inc.
7.500% due 03/09/2008		2,000		1,960
Hawaiian Telcom Communications, Inc.
7.080% due 06/01/2014		1,995		1,882
HCA, Inc.
7.080% due 11/16/2013		1,985		1,916
Headwaters, Inc.
6.790% due 04/30/2011		341		329
Metro-Goldwyn-Mayer, Inc.
8.108% due 04/08/2012		2,960		2,750
Mylan Laboratories, Inc.
8.312% due 10/02/2014		2,000		1,983
9.750% due 10/02/2008		144		144
Nuveen Investments, Inc.
7.830% due 11/13/2014		778		771
7.865% due 11/01/2014		722		716
Roundy’s Supermarket, Inc.
7.910% due 10/27/2011		975		958
SLM Corp.
0.000% due 02/16/2008		1,600		1,594
Telesat Canada
9.000% due 10/31/2008		3,800		3,629
Thompson Learning, Inc.
7.600% due 06/27/2014		1,300		1,232
Tribune Co.
7.396% due 05/30/2009		327		316
7.910% due 05/30/2014		598		511
Wind Acquisition Finance S.A.
12.459% due 12/21/2011		330		346
Total Bank Loan Obligations (Cost $41,762)				40,885
CORPORATE BONDS & NOTES 77.7%
Banking & Finance 15.8%
AES Red Oak LLC
8.540% due 11/30/2019		706		760
9.200% due 11/30/2029		1,000		1,115
American General Finance Corp.
6.900% due 12/15/2017		1,800		1,805
American International Group, Inc.
5.850% due 01/16/2018		4,300		4,336
Barclays Bank PLC
6.050% due 12/04/2017		6,575		6,637
7.434% due 09/29/2049		1,250		1,301
Citigroup Capital XXI
8.300% due 12/21/2057		2,950		3,089
Consolidated Communications Holdings, Inc.
9.750% due 04/01/2012		296		306
Ford Motor Credit Co. LLC
7.250% due 10/25/2011		24,044		20,843
7.375% due 02/01/2011		2,750		2,464
7.800% due 06/01/2012		25,000		21,936
7.875% due 06/15/2010		5,000		4,616
8.625% due 11/01/2010		3,500		3,250
GMAC LLC
5.125% due 05/09/2008		200		198
6.625% due 05/15/2012		8,775		7,301
6.750% due 12/01/2014		7,900		6,380
7.000% due 02/01/2012		30,750		26,111
7.250% due 03/02/2011		20,000		17,543
8.000% due 11/01/2031		10,880		9,149
Goldman Sachs Group, Inc.
6.750% due 10/01/2037		9,700		9,534
Hexion U.S. Finance Corp.
9.750% due 11/15/2014		1,400		1,519
HSBC Holdings PLC
6.500% due 09/15/2037		900		875
Lehman Brothers Holdings, Inc.
6.750% due 12/28/2017		7,050		7,280
LVB Acquisition Merger Sub, Inc.
10.000% due 10/15/2017		16,175		16,579
10.375% due 10/15/2017 (b)		800		802
11.625% due 10/15/2017		11,625		11,509
Mirage Resorts, Inc.
7.250% due 08/01/2017		4,075		3,871
NSG Holdings LLC
7.750% due 12/15/2025		650		655
Petroplus Finance Ltd.
6.750% due 05/01/2014		175		164
7.000% due 05/01/2017		175		161
Rabobank Capital Funding Trust
5.254% due 12/29/2049		700		628
Residential Capital LLC
7.625% due 11/21/2008		3,775		3,020
Royal Bank of Scotland Group PLC
7.640% due 03/31/2049		7,700		7,930
Santander Perpetual S.A. Unipersonal
6.671% due 10/29/2049		5,000		5,022
SLM Corp.
5.125% due 08/27/2012		1,250		1,119
5.294% due 07/25/2008		2,400		2,351
Tenneco, Inc.
8.625% due 11/15/2014		8,400		8,295
10.250% due 07/15/2013		133		142
UBS AG
5.875% due 12/20/2017		3,600		3,632
UBS Preferred Funding Trust V
6.243% due 05/29/2049		2,100		2,025
Universal City Florida Holding Co. I
9.661% due 05/01/2010		50		50
Ventas Realty LP
6.750% due 04/01/2017		1,800		1,791
7.125% due 06/01/2015		1,500		1,523
Wind Acquisition Finance S.A.
10.750% due 12/01/2015		1,950		2,135
				231,752
Industrials 49.8%
Abitibi-Consolidated, Inc.
6.950% due 04/01/2008		500		493
8.550% due 08/01/2010		2,125		1,870
Actuant Corp.
6.875% due 06/15/2017		1,100		1,094
Allied Waste North America, Inc.
7.250% due 03/15/2015		7,775		7,775
Allison Transmission
11.000% due 11/01/2015		3,500		3,202
11.250% due 11/01/2015 (b)		725		643
American Stores Co.
8.000% due 06/01/2026		13,250		13,350
AmeriGas Partners LP
7.125% due 05/20/2016		1,500		1,462
7.250% due 05/20/2015		5,800		5,713
ARAMARK Corp.
8.500% due 02/01/2015		13,775		14,016
Arco Chemical Co.
10.250% due 11/01/2010		225		235
ArvinMeritor, Inc.
8.125% due 09/15/2015		11,950		10,396
8.750% due 03/01/2012		4,500		4,219
Berry Plastics Holding Corp.
8.875% due 09/15/2014		13,000		12,415
Bon-Ton Stores, Inc.
10.250% due 03/15/2014		10,450		7,942
Buhrmann U.S., Inc.
8.250% due 07/01/2014		900		864
CanWest MediaWorks LP
9.250% due 08/01/2015		4,500		4,427
Cascades, Inc.
7.250% due 02/15/2013		6,875		6,480
Celestica, Inc.
7.625% due 07/01/2013		550		515
7.875% due 07/01/2011		12,925		12,505
Chart Industries, Inc.
9.125% due 10/15/2015		2,300		2,369
Charter Communications Operating LLC
8.375% due 04/30/2014		23,450		22,805
Chemtura Corp.
6.875% due 06/01/2016		5,150		4,867
Chesapeake Energy Corp.
6.875% due 01/15/2016		925		920
7.000% due 08/15/2014		4,470		4,515
7.500% due 06/15/2014		3,640		3,722
Community Health Systems, Inc.
8.875% due 07/15/2015		15,829		16,205
Compagnie Générale de Géophysique-Veritas
7.500% due 05/15/2015		5,775		5,876
7.750% due 05/15/2017		4,450		4,517
Cooper-Standard Automotive, Inc.
7.000% due 12/15/2012		4,900		4,269
Crown Americas LLC & Crown Americas Capital Corp.
7.750% due 11/15/2015		4,700		4,864
CSC Holdings, Inc.
6.750% due 04/15/2012		17,675		16,990
7.625% due 04/01/2011		5,425		5,438
7.625% due 07/15/2018		1,500		1,386
7.875% due 02/15/2018		949		892
DaVita, Inc.
7.250% due 03/15/2015		2,182		2,198
Delhaize America, Inc.
8.050% due 04/15/2027		600		635
Dex Media West LLC
8.500% due 08/15/2010		25		25
Dynegy Holdings, Inc.
7.125% due 05/15/2018		4,753		4,230
7.500% due 06/01/2015		23,375		21,972
EchoStar DBS Corp.
6.375% due 10/01/2011		200		198
7.125% due 02/01/2016		19,175		19,654
El Paso Corp.
7.000% due 06/15/2017		19,900		20,020
8.050% due 10/15/2030		2,300		2,406
Enterprise Products Operating LP
7.034% due 01/15/2068		1,160		1,053
8.375% due 08/01/2066		1,385		1,420
Ferrellgas Partners LP
8.750% due 06/15/2012		8,590		8,869
First Data Corp.
9.875% due 09/24/2015		16,875		15,715
Ford Motor Co.
7.450% due 07/16/2031		500		374
9.215% due 09/15/2021		800		672
Freeport-McMoRan Copper & Gold, Inc.
8.250% due 04/01/2015		875		930
8.375% due 04/01/2017		19,050		20,479
Freescale Semiconductor, Inc.
8.866% due 12/15/2014		1,000		855
8.875% due 12/15/2014		13,915		12,489
9.125% due 12/15/2014 (b)		5,675		4,852
10.125% due 12/15/2016		620		515
Fresenius Medical Care Capital Trust
7.875% due 06/15/2011		600		624
General Motors Corp.
7.700% due 04/15/2016		9,635		8,190
8.250% due 07/15/2023		3,000		2,400
8.375% due 07/15/2033		500		405
8.800% due 03/01/2021		1,000		845
Georgia-Pacific Corp.
7.000% due 01/15/2015		14,000		13,685
7.125% due 01/15/2017		3,400		3,324
7.250% due 06/01/2028		750		664
7.750% due 11/15/2029		100		92
8.000% due 01/15/2024		9,055		8,466
Goodyear Tire & Rubber Co.
8.625% due 12/01/2011		1,002		1,050
9.000% due 07/01/2015		6,300		6,710
HCA, Inc.
7.190% due 11/15/2015		350		302
7.690% due 06/15/2025		900		750
9.250% due 11/15/2016		41,500		43,679
Health Management Associates, Inc.
6.125% due 04/15/2016		1,000		872
Herbst Gaming, Inc.
7.000% due 11/15/2014		950		565
Hertz Corp.
8.875% due 01/01/2014		17,075		17,395
Ineos Group Holdings PLC
8.500% due 02/15/2016		13,700		12,262
Intelsat Bermuda Ltd.
8.886% due 01/15/2015		1,000		1,008
9.250% due 06/15/2016		14,410		14,554
Intelsat Subsidiary Holding Co. Ltd.
8.250% due 01/15/2013		1,500		1,515
8.625% due 01/15/2015		2,750		2,778
Jefferson Smurfit Corp. U.S.
8.250% due 10/01/2012		10,900		10,791
JET Equipment Trust
7.630% due 08/15/2012 (a)		152		88
10.000% due 06/15/2012 (a)		394		376
Legrand France S.A.
8.500% due 02/15/2025		670		781
MGM Mirage
7.500% due 06/01/2016		12,000		11,940
Nalco Co.
7.750% due 11/15/2011		3,050		3,103
8.875% due 11/15/2013		6,220		6,515
Norampac Industries, Inc.
6.750% due 06/01/2013		1,000		918
Nordic Telephone Co. Holdings ApS
8.875% due 05/01/2016		3,500		3,605
Nortel Networks Ltd.
10.125% due 07/15/2013		19,130		19,800
OPTI Canada, Inc.
8.250% due 12/15/2014		2,400		2,388
Quebecor Media, Inc.
7.750% due 03/15/2016		12,000		11,580
Qwest Communications International, Inc.
7.500% due 02/15/2014		2,450		2,456
8.369% due 02/15/2009		1,250		1,256
Reynolds American, Inc.
7.750% due 06/01/2018		2,250		2,413
RH Donnelley Corp.
6.875% due 01/15/2013		175		158
8.875% due 01/15/2016		31,399		29,515
8.875% due 10/15/2017		3,500		3,255
Roseton
7.270% due 11/08/2010		855		866
Royal Caribbean Cruises Ltd.
7.250% due 03/15/2018		1,000		965
Sanmina-SCI Corp.
8.125% due 03/01/2016		3,115		2,776
SemGroup LP
8.750% due 11/15/2015		6,475		6,184
Sensata Technologies BV
8.000% due 05/01/2014		10,570		9,989
Service Corp. International
7.625% due 10/01/2018		3,950		3,990
Smurfit Kappa Funding PLC
7.750% due 04/01/2015		200		191
Smurfit-Stone Container Enterprises, Inc.
8.375% due 07/01/2012		2,925		2,918
Station Casinos, Inc.
7.750% due 08/15/2016		10,580		9,601
Suburban Propane Partners LP
6.875% due 12/15/2013		4,375		4,266
Sungard Data Systems, Inc.
9.125% due 08/15/2013		11,525		11,784
SUPERVALU, Inc.
7.500% due 11/15/2014		5,725		5,897
Tenet Healthcare Corp.
9.875% due 07/01/2014		175		168
Terex Corp.
8.000% due 11/15/2017		2,325		2,366
Tesoro Corp.
6.500% due 06/01/2017		10,550		10,497
TransDigm, Inc.
7.750% due 07/15/2014		600		612
TRW Automotive, Inc.
7.000% due 03/15/2014		9,650		8,926
7.250% due 03/15/2017		3,725		3,362
U.S. Airways Group, Inc.
9.330% due 01/01/2049		149		1
Verso Paper Holdings LLC and Verson Paper, Inc.
9.125% due 08/01/2014		15,435		15,667
West Corp.
9.500% due 10/15/2014		8,150		8,028
Williams Cos., Inc.
7.625% due 07/15/2019		8,900		9,690
Wynn Las Vegas Capital Corp.
6.625% due 12/01/2014		8,250		8,147
				728,776
Utilities 12.1%
AES Corp.
8.000% due 10/15/2017		17,625		18,110
Cincinnati Bell, Inc.
7.000% due 02/15/2015		1,600		1,520
7.250% due 07/15/2013		1,050		1,058
8.375% due 01/15/2014		825		808
Citizens Communications Co.
7.125% due 03/15/2019		2,000		1,910
7.875% due 01/15/2027		1,100		1,053
9.000% due 08/15/2031		10,545		10,571
Complete Production Services, Inc.
8.000% due 12/15/2016		250		243
Edison Mission Energy
7.000% due 05/15/2017		6,270		6,192
7.200% due 05/15/2019		2,580		2,548
Energy Future Holdings Corp.
10.875% due 11/01/2017		8,150		8,231
Hawaiian Telcom Communications, Inc.
9.750% due 05/01/2013		270		269
Idearc, Inc.
8.000% due 11/15/2016		7,025		6,481
Kinder Morgan Finance Co.
5.700% due 01/05/2016		5,775		5,256
Knight, Inc.
5.150% due 03/01/2015		750		664
Midwest Generation LLC
8.560% due 01/02/2016		13,040		13,920
Nextel Communications, Inc.
7.375% due 08/01/2015		6,000		5,912
NGPL Pipe Co. LLC
7.119% due 12/15/2017		5,325		5,470
NRG Energy, Inc.
7.250% due 02/01/2014		19,305		18,871
7.375% due 02/01/2016		9,605		9,389
7.375% due 01/15/2017		750		733
PSEG Energy Holdings LLC
8.500% due 06/15/2011		1,200		1,257
Qwest Corp.
6.500% due 06/01/2017		19,905		19,159
7.500% due 06/15/2023		100		96
8.875% due 03/15/2012		1,000		1,075
Reliant Energy, Inc.
6.750% due 12/15/2014		3,460		3,486
7.625% due 06/15/2014		9,175		9,129
7.875% due 06/15/2017		14,450		14,378
Rural Cellular Corp.
9.875% due 02/01/2010		1,300		1,355
South Point Energy Center LLC
8.400% due 05/30/2012 (f)		853		844
Tenaska Alabama Partners LP
7.000% due 06/30/2021		1,512		1,517
Time Warner Telecom Holdings, Inc.
9.250% due 02/15/2014		3,000		3,082
Wilmington Trust Co. - Tucson Electric
10.732% due 01/01/2013 (k)		1,851		2,009
				176,596
Total Corporate Bonds & Notes (Cost $1,149,288)				1,137,124
CONVERTIBLE BONDS & NOTES 1.6%
Advanced Micro Devices, Inc.
6.000% due 05/01/2015		3,075		2,202
Chesapeake Energy Corp.
2.500% due 05/15/2037		4,500		5,023
2.750% due 11/15/2035		1,275		1,498
CMS Energy Corp.
2.875% due 12/01/2024		650		873
Deutsche Bank AG
0.000% due 07/14/2008		325		281
0.000% due 09/29/2008		100		87
0.000% due 10/24/2008		200		183
Morgan Stanley
3.350% due 10/01/2012		4,750		4,559
Nortel Networks Corp.
1.750% due 04/15/2012		2,000		1,618
2.125% due 04/15/2014		1,975		1,541
Qwest Communications International, Inc.
3.500% due 11/15/2025		2,850		3,815
Ventas, Inc.
3.875% due 11/15/2011		1,150		1,258
Total Convertible Bonds & Notes (Cost $23,299)				22,938
U.S. GOVERNMENT AGENCIES 13.8%
Fannie Mae
5.000% due 06/01/2033 - 01/01/2038		116,251		113,442
5.500% due 03/01/2037 - 01/01/2038		49,800		49,749
6.000% due 06/01/2037 - 01/01/2038		36,800		37,382
Freddie Mac
5.500% due 12/01/2037		2,000		1,996
Total U.S. Government Agencies (Cost $200,799)				202,569
U.S. TREASURY OBLIGATIONS 1.8%
U.S. Treasury Notes
4.500% due 09/30/2011		25,000		25,703
Total U.S. Treasury Obligations (Cost $25,215)				25,703
MORTGAGE-BACKED SECURITIES 0.0%
RMF Commercial Mortgage Pass-Through Certificates
9.150% due 11/28/2027		178		176
Total Mortgage-Backed Securities (Cost $118)				176
FOREIGN CURRENCY-DENOMINATED ISSUES 1.3%
Amadeus Global Travel Distribution S.A.
6.959% due 04/08/2013	EUR	1,500		2,081
Bombardier, Inc.
7.250% due 11/15/2016		775		1,136
Chesapeake Energy Corp.
6.250% due 01/15/2017		2,000		2,741
Lighthouse International Co. S.A.
8.000% due 04/30/2014		265		390
Nordic Telephone Co. Holdings ApS
6.675% due 11/30/2013		365		523
6.925% due 11/30/2014		439		633
8.250% due 05/01/2016		1,900		2,820
OI European Group BV
6.875% due 03/31/2017		300		421
SigmaKalon
6.719% due 06/30/2012		924		1,310
Societe Generale
6.999% due 12/29/2049		900		1,337
UBS Capital Ltd.
7.152% due 12/29/2049		3,100		4,678
UPC Holding BV
7.750% due 01/15/2014		605		846
8.625% due 01/15/2014		400		581
Total Foreign Currency-Denominated Issues (Cost $17,896)				19,497
	Shares
CONVERTIBLE PREFERRED STOCKS 0.2%
Chesapeake Energy Corp.
4.500% due 12/31/2049		1,400		151
Fannie Mae
5.375% due 12/31/2049		3		254
Freeport-McMoRan Copper & Gold, Inc.
6.750% due 05/01/2010		1,800		272
General Motors Corp.
5.250% due 05/01/2010		40,000		775
Washington Mutual Capital Trust
5.375% due 05/03/2041		35,800		1,011
Total Convertible Preferred Stocks (Cost $2,538)				2,463
	Principal Amount (000s)
SHORT-TERM INSTRUMENTS 8.4%
Commercial Paper 8.2%
Abbey National Treasury Services PLC
4.250% due 01/07/2008	$	16,800		16,790
Danske Corp.
4.740% due 02/08/2008		17,100		17,017
Skandinaviska Enskilda Banken AB
4.720% due 02/01/2008		1,300		1,295
4.730% due 02/08/2008		14,300		14,230
Swedbank AB
5.130% due 01/18/2008		22,900		22,848
Westpac Banking Corp.
4.670% due 02/01/2008		47,900		47,714
				119,894
U.S. Treasury Bills 0.2%
3.058% due 03/13/2008 (c)(d)		3,250		3,219
Total Short-Term Instruments (Cost $123,124)				123,113
Purchased Options (i) 2.2% (Cost $16,639)				31,668
Total Investments 109.8% (Cost $1,600,678)			$	1,606,136
Written Options (j) (1.8%) (Premiums $15,607)				(26,487	)
Other Assets and Liabilities (Net) (8.0%)				(116,835	)
Net Assets (e) 100.0%			$	1,462,814

Notes to Schedule of Investments (amounts in thousands*, except number of contracts):

* A zero balance may reflect actual amounts rounding to less than one thousand.

(a) Security is in default.

(b) Payment in-kind bond security.

(c) Coupon represents a weighted average rate.

(d) Securities with an aggregate market value of $3,219 have been pledged as collateral for swap and swaption contracts on December 31, 2007.

(e) As of December 31, 2007, portfolio securities with an aggregate value of $4,069 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(f) Security is subject to a forbearance agreement entered into by the Portfolio which forbears the Portfolio from taking action to, among other things, accelerate and collect payments on the subject note with respect to specified events of default.

(g) Cash of $1,290 has been segregated with the custodian to cover margin requirements for the following open futures contracts on December 31, 2007:

Description	Type	Expiration Month	# of Contracts		Unrealized Appreciation
90-Day Euribor March Futures	Long	03/2009	300	$	104
90-Day Eurodollar June Futures	Long	06/2008	358		238
90-Day Eurodollar March Futures	Long	03/2008	178		67
90-Day Eurodollar September Futures	Long	09/2008	271		51
				$	460

(h) Swap agreements outstanding on December 31, 2007:

Credit Default Swaps on Securities

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
Bank of America	Community Health Systems, Inc. 8.875% due 07/15/2015	Sell	2.850	%	09/20/2012	$	550	$	(25	)
Bank of America	Qwest Capital Funding, Inc. 7.250% due 02/15/2011	Sell	3.290	%	12/20/2014		1,000		(29	)
Barclays Bank PLC	Allied Waste North America, Inc. 7.375% due 04/15/2014	Sell	2.030	%	06/20/2012		300		(16	)
Citibank N.A.	Forest Oil Corp. 7.750% due 05/01/2014	Sell	2.250	%	12/20/2012		400		0
Citibank N.A.	Freescale Semiconductor, Inc. 8.875% due 12/15/2014	Sell	3.500	%	06/20/2012		300		(32	)
Citibank N.A.	Nortel Networks Corp. 4.250% due 09/01/2008	Sell	2.050	%	06/20/2011		1,000		(64	)
Citibank N.A.	Nortel Networks Corp. 4.250% due 09/01/2008	Sell	2.600	%	09/20/2012		150		(13	)
Credit Suisse USA, Inc.	Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	0.750	%	03/20/2008		1,500		(13	)
Credit Suisse USA, Inc.	Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	1.450	%	12/20/2008		2,000		(90	)
Credit Suisse USA, Inc.	Sanmina-SCI Corp. 8.125% due 03/01/2016	Sell	4.220	%	09/20/2012		600		(42	)
Deutsche Bank AG	Chrysler Financial 9.360% due 08/03/2012	Sell	5.250	%	09/20/2012		1,000		20
Deutsche Bank AG	GMAC LLC 6.875% due 08/28/2012	Sell	7.230	%	12/20/2012		5,000		(24	)
Goldman Sachs & Co.	GMAC LLC 6.875% due 08/28/2012	Sell	6.700	%	09/20/2012		1,000		(20	)
JPMorgan Chase & Co.	GMAC LLC 6.875% due 08/28/2012	Sell	2.110	%	03/20/2012		1,000		(135	)
Lehman Brothers, Inc.	Abitibi-Consolidated Co. of Canada 8.375% due 04/01/2015	Sell	6.750	%	09/20/2008		1,300		(24	)
Lehman Brothers, Inc.	Bon-Ton Stores, Inc. 10.250% due 03/15/2014	Sell	3.500	%	09/20/2008		775		(27	)
Lehman Brothers, Inc.	Celestica, Inc. 7.625% due 07/01/2013	Sell	4.250	%	09/20/2012		500		(14	)
Lehman Brothers, Inc.	Community Health Systems, Inc. 8.875% due 07/15/2015	Sell	4.900	%	09/20/2012		3,500		125
Lehman Brothers, Inc.	Ford Motor Credit Co. LLC 7.250% due 10/25/2011	Sell	5.800	%	12/20/2012		5,000		(157	)
Lehman Brothers, Inc.	Freescale Semiconductor, Inc. 8.875% due 12/15/2014	Sell	2.750	%	09/20/2008		1,000		(3	)
Lehman Brothers, Inc.	Nortel Networks Corp. 4.250% due 09/01/2008	Buy	(1.520	%)	06/20/2010		1,000		48
Lehman Brothers, Inc.	Qwest Capital Funding, Inc. 7.250% due 02/15/2011	Sell	3.000	%	12/20/2012		1,000		(14	)
Lehman Brothers, Inc.	Sanmina-SCI Corp. 8.125% due 03/01/2016	Sell	3.000	%	09/20/2008		2,650		(1	)
Lehman Brothers, Inc.	Sanmina-SCI Corp. 8.125% due 03/01/2016	Sell	5.450	%	09/20/2012		2,000		(45	)
Merrill Lynch & Co., Inc.	GMAC LLC 6.875% due 08/28/2012	Sell	6.300	%	12/20/2012		700		(20	)
Morgan Stanley	Allied Waste North America, Inc. 7.375% due 04/15/2014	Buy	(1.120	%)	06/20/2010		300		8
Morgan Stanley	ARAMARK Corp. 8.500 due 02/01/2015	Sell	2.680	%	09/20/2012		750		(39	)
Morgan Stanley	Nortel Networks Corp. 4.250% due 09/01/2008	Sell	2.630	%	09/20/2012		150		(13	)
								$	(659	)

Credit Default Swaps on Credit Indices

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date		Notional Amount		Unrealized (Depreciation)
Merrill Lynch & Co., Inc.	Dow Jones CDX N.A. HY9 Index	Sell	3.080	%	12/20/2012	$	1,400	$	(9	)
Merrill Lynch & Co., Inc.	Dow Jones CDX N.A. HY9 Index	Sell	3.230	%	12/20/2012		7,500		(6	)
								$	(15	)

⁽¹⁾ If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will pay to the buyer of the protection an amount up to the notional value of the swap and in certain instances, take delivery of the security. As a buyer of protection, the Portfolio will generally receive from the seller of protection an amount up to the notional amount of the swap if a credit event occurs.

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
Bank of America	3-Month USD-LIBOR	Pay	5.000	%	06/18/2010	$	1,700	$	11
Barclays Bank PLC	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010		20,200		92
Deutsche Bank AG	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010		121,300		174
JPMorgan Chase & Co.	3-Month USD-LIBOR	Pay	4.000	%	06/18/2013		3,200		1
Merrill Lynch & Co., Inc.	3-Month USD-LIBOR	Receive	5.000	%	06/18/2018		112,000		45
Morgan Stanley	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010		21,000		95
Morgan Stanley	3-Month USD-LIBOR	Pay	4.000	%	06/18/2013		114,400		1,382
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010		106,000		(10	)
								$	1,790

Total Return Swaps

Counterparty	Type	Receive Total Return	Pay		Expiration Date	# of Contracts	Unrealized Appreciation (Depreciation)
Merrill Lynch & Co., Inc.	Long	Financial Select Sector SPDR Fund	0.000	%	01/23/2008	100,000	$	(29	)
Merrill Lynch & Co., Inc.	Long	Motorola, Inc.	18.950	%	01/23/2008	1,100		(3	)
Merrill Lynch & Co., Inc.	Long	Qwest Communications International, Inc.	4.947	%	01/23/2008	246,400		22
Merrill Lynch & Co., Inc.	Short	Qwest Communications International, Inc.	4.947	%	01/23/2008	35,400		(11	)
Merrill Lynch & Co., Inc.	Long	SandRidge Energy, Inc.	0.000	%	01/23/2008	65,700		219
							$	198

(i) Purchased options outstanding on December 31, 2007:

Options on Exchange-Traded Futures Contracts

Description		Exercise Price	Expiration Date	# of Contracts		Cost		Value
Call - CME 90-Day Eurodollar March Futures	$	95.750	03/17/2008	289	$	149	$	121

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date		Notional Amount		Cost		Value
Call - OTC 2-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Pay	4.720	%	12/31/2008	$	55,000	$	449	$	1,058
Call - OTC 2-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Pay	4.250	%	07/06/2009		177,500		1,722		2,101
Call - OTC 2-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Pay	4.750	%	09/08/2009		510,000		4,539		8,410
Call - OTC 2-Year Interest Rate Swap	Credit Suisse USA, Inc.	3-Month USD-LIBOR	Pay	4.750	%	09/08/2009		153,900		1,684		2,538
Call - OTC 2-Year Interest Rate Swap	Merrill Lynch & Co., Inc.	3-Month USD-LIBOR	Pay	4.750	%	09/22/2008		280,000		2,114		5,828
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	09/22/2008		240,000		1,662		4,996
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	09/08/2009		401,200		4,320		6,616
									$	16,490	$	31,547

(j) Written options outstanding on December 31, 2007:

Options on Exchange-Traded Futures Contracts

Description		Exercise Price	Expiration Date	# of Contracts		Premium		Value
Call - CME 90-Day Eurodollar March Futures	$	96.000	03/14/2008	289	$	165	$	502

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Value
Call - OTC 7-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Receive	5.220	%	12/31/2008	$	18,000	$	419	$	859
Call - OTC 7-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Receive	4.900	%	07/06/2009		59,200		1,652		2,031
Call - OTC 7-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Receive	5.150	%	09/08/2009		170,000		4,403		7,099
Call - OTC 7-Year Interest Rate Swap	Credit Suisse USA, Inc.	3-Month USD-LIBOR	Receive	5.150	%	09/08/2009		42,800		1,326		1,787
Call - OTC 7-Year Interest Rate Swap	Merrill Lynch & Co., Inc.	3-Month USD-LIBOR	Receive	5.230	%	09/22/2008		93,000		1,977		4,637
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.230	%	09/22/2008		80,000		1,532		3,989
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.150	%	09/08/2009		133,700		4,133		5,583
									$	15,442	$	25,985

(k) Restricted securities as of December 31, 2007:

Issuer Description	Coupon		Maturity Date	Acquisition Date	Cost		Market Value		Market Value as Percentage of Net Assets
Wilmington Trust Co. - Tucson Electric	10.732	%	01/01/2013	12/08/2000	$	1,936	$	2,009	0.14	%

(l) Short sales outstanding on December 31, 2007:

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Value(2)
U.S. Treasury Notes	4.500	%	09/30/2011	$	25,000	$	25,229	$	25,703

⁽²⁾ Market value includes $291 of interest payable on short sales.

(m) Foreign currency contracts outstanding on December 31, 2007:

Type	Currency	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	EUR	78	01/2008	$	0	$	(1	)	$	(1	)
Sell		13,888	01/2008		23		(105	)		(82	)
Sell	GBP	3,373	01/2008		86		0			86
				$	109	$	(106	)	$	3

See accompanying notes

Schedule of Investments

International Portfolio

December 31, 2007 (Unaudited)

	Principal Amount (000s)		Value (000s)
AUSTRALIA 0.0%
Commonwealth Bank of Australia
5.282% due 06/08/2009	$	1,100	$	1,100
Total Australia (Cost $1,101)				1,100
CAYMAN ISLANDS 0.0%
SHL Corp. Ltd.
1.665% due 12/25/2024	JPY	16,932		154
Total Cayman Islands (Cost $153)				154
CROATIA 0.0%
Croatia Government International Bond
6.125% due 07/31/2010	$	818		819
Total Croatia (Cost $814)				819
FRANCE 0.1%
AXA S.A.
3.750% due 01/01/2017	EUR	1,357		2,670
Total France (Cost $1,235)				2,670
GERMANY 0.0%
Republic of Germany
4.250% due 01/04/2014	EUR	1,000		1,466
4.250% due 07/04/2014		500		732
Total Germany (Cost $1,990)				2,198
IRELAND 0.0%
Bank of Ireland
5.016% due 12/18/2009	$	1,100		1,097
Total Ireland (Cost $1,101)				1,097
JERSEY, CHANNEL ISLANDS 0.3%
Haus Ltd.
4.438% due 12/10/2037	EUR	3,616		5,275
5.164% due 12/10/2037		2,510		3,662
Lloyds TSB Capital
7.375% due 12/29/2049		5,250		7,989
Total Jersey, Channel Islands (Cost $10,522)				16,926
MEXICO 0.0%
Mexico Government International Bond
6.750% due 09/27/2034	$	883		978
Total Mexico (Cost $947)				978
NETHERLANDS 1.3%
Deutsche Telekom International Finance BV
5.064% due 03/23/2009	$	52,630		52,410
Siemens Financieringsmaatschappij NV
4.920% due 08/14/2009		12,150		12,158
Total Netherlands (Cost $64,833)				64,568
NEW ZEALAND 0.1%
New Zealand Government CPI Linked Bond
4.500% due 02/15/2016	NZD	3,523		3,559
Total New Zealand (Cost $1,774)				3,559
SPAIN 0.1%
Hipotebansa Mortgage Securitization Fund
4.775% due 07/18/2022	EUR	2,250		3,288
Santander U.S. Debt S.A. Unipersonal
4.970% due 09/19/2008	$	1,100		1,096
Total Spain (Cost $3,144)				4,384
SUPRANATIONAL 0.1%
European Investment Bank
5.500% due 12/07/2009	GBP	2,300		4,639
Total Supranational (Cost $3,284)				4,639
TUNISIA 0.1%
Banque Centrale de Tunisie
7.375% due 04/25/2012	$	500		546
7.500% due 08/06/2009	EUR	1,800		2,725
Total Tunisia (Cost $2,332)				3,271
UNITED KINGDOM 0.2%
Bauhaus Securities Ltd.
4.925% due 10/30/2052	EUR	4,817		6,992
Royal Bank of Scotland Group PLC
5.230% due 07/21/2008	$	1,100		1,100
Total United Kingdom (Cost $5,203)				8,092
UNITED STATES 32.2%
Asset-Backed Securities 7.1%
Accredited Mortgage Loan Trust
4.985% due 04/25/2036	$	1,500		1,472
ACE Securities Corp.
4.915% due 07/25/2036		187		184
4.915% due 08/25/2036		593		572
4.925% due 05/25/2036		77		76
4.925% due 10/25/2036		324		313
4.935% due 12/25/2035		35		35
4.945% due 02/25/2036		367		365
4.955% due 06/25/2037		7,807		7,628
AFC Home Equity Loan Trust
5.575% due 12/22/2027		47		46
American Express Credit Account Master Trust
5.528% due 02/15/2012		1,916		1,916
Ameriquest Mortgage Securities, Inc.
5.005% due 03/25/2036		851		845
5.095% due 11/25/2035		1,186		1,155
Amortizing Residential Collateral Trust
5.155% due 07/25/2032		58		57
5.215% due 10/25/2031		584		547
Argent Securities, Inc.
4.915% due 10/25/2036		265		260
4.935% due 04/25/2036		41		41
4.945% due 03/25/2036		489		489
4.955% due 07/25/2036		6,500		6,367
Asset-Backed Funding Certificates
4.925% due 01/25/2037		352		346
5.215% due 06/25/2034		998		961
Asset-Backed Securities Corp. Home Equity
4.925% due 03/25/2036		54		53
4.945% due 05/25/2037		3,327		3,201
Basic Asset-Backed Securities Trust
4.945% due 04/25/2036		38		37
Bear Stearns Asset-Backed Securities Trust
4.915% due 11/25/2036		123		121
4.945% due 04/25/2036		3,096		3,070
4.945% due 10/25/2036		1,368		1,352
4.955% due 04/25/2036		754		748
4.955% due 06/25/2047		5,941		5,716
5.065% due 09/25/2034		7,706		7,688
5.065% due 06/25/2036		15,568		14,819
5.195% due 10/25/2032		679		664
5.195% due 01/25/2036		1,015		995
5.315% due 03/25/2043		1,431		1,422
5.355% due 06/25/2036		1,900		1,514
BNC Mortgage Loan Trust
4.965% due 05/25/2037		1,748		1,659
Carrington Mortgage Loan Trust
4.915% due 01/25/2037		389		381
5.025% due 01/25/2036		850		838
5.103% due 10/25/2035		2,479		2,301
Chase Credit Card Master Trust
5.198% due 09/15/2011		67,050		67,026
5.828% due 02/15/2011		5,000		4,988
CIT Group Home Equity Loan Trust
5.135% due 06/25/2033		60		56
Citibank Credit Card Issuance Trust
5.342% due 01/15/2010		200		200
Citicorp Residential Mortgage Securities, Inc.
4.955% due 03/25/2037		17,966		17,212
Citigroup Mortgage Loan Trust, Inc.
4.915% due 10/25/2036		176		175
4.915% due 11/25/2036		227		225
4.965% due 10/25/2036		500		478
4.975% due 01/25/2036		3,998		3,965
4.975% due 03/25/2037		4,586		4,379
5.068% due 05/15/2036		1,718		1,664
Countrywide Asset-Backed Certificates
4.915% due 01/25/2037		142		140
4.915% due 05/25/2037		1,313		1,282
4.915% due 03/25/2047		270		266
4.935% due 08/25/2036		53		53
4.935% due 12/25/2036		550		542
4.935% due 06/25/2037		1,016		991
4.945% due 06/25/2037		2,363		2,306
4.945% due 10/25/2037		1,626		1,598
4.965% due 07/25/2037		20,000		18,453
4.965% due 08/25/2037		1,600		1,472
4.965% due 09/25/2037		3,284		3,214
4.965% due 05/25/2047		247		237
4.965% due 09/25/2047		8,739		8,455
4.975% due 10/25/2046		3,742		3,662
5.055% due 06/25/2036		12,000		11,570
5.605% due 05/25/2032		153		150
Credit-Based Asset Servicing & Securitization LLC
4.925% due 11/25/2036		430		415
4.955% due 12/25/2037		1,190		1,161
5.055% due 01/25/2037		1,542		1,481
CS First Boston Mortgage Securities Corp.
5.485% due 01/25/2032		266		261
CSAB Mortgage-Backed Trust
4.965% due 06/25/2036		42		42
Equifirst Mortgage Loan Trust
5.115% due 10/25/2034		2		2
Equity One Asset-Backed Securities, Inc.
5.165% due 04/25/2034		548		507
Fieldstone Mortgage Investment Corp.
4.955% due 07/25/2036		5,779		5,653
First Franklin Mortgage Loan Asset-Backed Certificates
4.895% due 05/25/2036		163		161
4.915% due 11/25/2036		354		340
4.935% due 02/25/2036		2,089		2,066
4.935% due 03/25/2036		3,671		3,639
4.935% due 12/25/2036		1,501		1,442
4.955% due 01/25/2036		74		73
5.235% due 12/25/2034		182		179
5.245% due 10/25/2034		7		7
Fremont Home Loan Trust
4.915% due 10/25/2036		1,928		1,904
4.925% due 01/25/2037		2,414		2,354
4.935% due 02/25/2037		610		598
4.985% due 04/25/2036		2,965		2,936
5.035% due 01/25/2036		777		776
GSAA Trust
4.975% due 06/25/2035		502		501
GSAMP Trust
4.905% due 10/25/2046		281		275
4.935% due 09/25/2036		1,006		987
5.155% due 03/25/2034		59		59
GSR Mortgage Loan Trust
4.965% due 11/25/2030		112		111
HFC Home Equity Loan Asset-Backed Certificates
5.299% due 09/20/2033		1,885		1,839
Home Equity Asset Trust
4.935% due 07/25/2036		1,678		1,669
5.465% due 11/25/2032		1		1
HSI Asset Securitization Corp. Trust
4.915% due 10/25/2036		348		333
4.915% due 12/25/2036		438		422
Indymac Residential Asset-Backed Trust
4.915% due 11/25/2036		240		237
4.925% due 04/25/2037		377		369
4.945% due 07/25/2037		483		473
JPMorgan Mortgage Acquisition Corp.
4.915% due 07/25/2036		904		888
4.935% due 03/25/2036		116		115
4.935% due 11/25/2036		314		309
5.015% due 03/25/2037		10,000		8,922
5.075% due 06/25/2035		93		93
Lehman XS Trust
4.945% due 04/25/2046		126		125
4.945% due 06/25/2046		316		312
4.945% due 11/25/2046		289		277
5.015% due 04/25/2037		528		515
Long Beach Mortgage Loan Trust
4.925% due 10/25/2036		303		296
4.925% due 05/25/2046		60		60
5.145% due 10/25/2034		28		27
MASTR Asset-Backed Securities Trust
4.925% due 10/25/2036		92		91
4.925% due 11/25/2036		383		373
4.975% due 02/25/2036		1,200		1,179
4.995% due 10/25/2036		5,000		4,891
MBNA Credit Card Master Note Trust
5.128% due 12/15/2011		4,800		4,792
Merrill Lynch Mortgage Investors, Inc.
4.935% due 08/25/2036		1,694		1,671
4.935% due 07/25/2037		306		297
4.945% due 09/25/2037		321		315
4.975% due 03/25/2037		10,000		9,832
Morgan Stanley ABS Capital I
4.915% due 09/25/2036		286		279
4.915% due 10/25/2036		1,889		1,805
4.925% due 05/25/2037		1,254		1,210
4.935% due 02/25/2036		36		36
4.935% due 03/25/2036		75		75
4.955% due 01/25/2037		20,000		17,915
4.965% due 04/25/2036		4,000		3,929
4.965% due 10/25/2036		10,000		9,473
4.965% due 11/25/2036		20,000		18,936
4.975% due 10/25/2036		600		558
Morgan Stanley Home Equity Loans
4.935% due 02/25/2036		88		87
4.975% due 02/25/2036		500		493
Nationstar Home Equity Loan Trust
4.925% due 06/25/2037		1,292		1,257
New Century Home Equity Loan Trust
4.925% due 05/25/2036		143		143
Newcastle Mortgage Securities Trust
4.935% due 03/25/2036		74		73
Park Place Securities, Inc.
5.125% due 09/25/2035		204		200
Quest Trust
5.425% due 06/25/2034		2		2
Residential Asset Mortgage Products, Inc.
4.935% due 11/25/2036		204		200
4.945% due 10/25/2036		296		288
Residential Asset Securities Corp.
4.905% due 08/25/2036		167		165
4.925% due 04/25/2036		46		45
4.935% due 03/25/2036		5		5
4.935% due 04/25/2036		42		42
4.935% due 11/25/2036		2,553		2,492
4.945% due 10/25/2036		270		264
Saxon Asset Securities Trust
4.925% due 10/25/2046		229		226
Securitized Asset-Backed Receivables LLC Trust
4.915% due 09/25/2036		1,195		1,159
Soundview Home Equity Loan Trust
4.905% due 11/25/2036		42		41
4.915% due 10/25/2036		270		265
4.925% due 11/25/2036		2,059		2,034
4.925% due 12/25/2036		78		77
4.945% due 01/25/2037		218		214
4.965% due 10/25/2036		236		233
Structured Asset Investment Loan Trust
4.955% due 01/25/2036		97		97
Structured Asset Securities Corp.
4.900% due 04/25/2035		50		48
4.915% due 10/25/2036		425		417
5.265% due 05/25/2034		20		18
Washington Mutual Asset-Backed Certificates
4.925% due 10/25/2036		453		437
4.935% due 04/25/2036		16		16
Wells Fargo Home Equity Trust
4.915% due 01/25/2037		665		653
				359,573
Commodity Index-Linked Notes 0.2%
Morgan Stanley
4.805% due 07/07/2008		9,000		9,017
Corporate Bonds & Notes 6.8%
American Express Bank FSB
4.956% due 06/22/2009		8,500		8,477
American Express Credit Corp.
5.285% due 03/02/2009		1,100		1,097
5.312% due 04/06/2009		1,100		1,089
American Honda Finance Corp.
4.868% due 08/05/2008		1,100		1,100
American International Group, Inc.
4.884% due 06/23/2008		1,100		1,101
Anadarko Petroleum Corp.
5.391% due 09/15/2009		700		689
AT&T, Inc.
4.978% due 02/05/2010		2,200		2,181
Bank of America Corp.
5.502% due 10/14/2016		10,000		9,685
Bank of America N.A.
4.966% due 12/18/2008		1,750		1,749
Bear Stearns Cos., Inc.
5.284% due 01/30/2009		15,200		15,044
Caterpillar Financial Services Corp.
4.965% due 05/18/2009		1,100		1,097
Charter One Bank N.A.
5.115% due 04/24/2009		3,500		3,487
Cisco Systems, Inc.
5.095% due 02/20/2009		2,200		2,198
CIT Group, Inc.
5.052% due 02/21/2008		2,200		2,181
Citigroup Funding, Inc.
4.858% due 06/26/2009		25,000		24,626
Citigroup, Inc.
4.872% due 12/28/2009		12,540		12,317
4.898% due 12/26/2008		1,100		1,096
Comcast Corp.
5.542% due 07/14/2009		2,200		2,193
ConocoPhillips Australia Funding Co.
5.343% due 04/09/2009		1,596		1,594
Credit Suisse USA, Inc.
5.069% due 08/15/2010		17,073		16,897
Daimler Finance North America LLC
5.461% due 03/13/2009		26,000		25,862
Dominion Resources, Inc.
5.050% due 11/14/2008		900		898
Florida Power Corp.
5.279% due 11/14/2008		2,200		2,198
General Electric Capital Corp.
5.031% due 03/16/2009		2,100		2,100
5.280% due 10/21/2010		51,400		51,411
General Mills, Inc.
5.310% due 01/22/2010		2,200		2,186
Goldman Sachs Group, Inc.
4.924% due 12/23/2008		900		898
4.974% due 12/22/2008		200		200
5.142% due 06/28/2010		20,320		20,002
HSBC Finance Corp.
5.031% due 06/19/2009		2,200		2,168
5.492% due 01/15/2014		5,000		4,747
5.554% due 06/01/2016		3,000		2,766
International Lease Finance Corp.
5.520% due 04/20/2009		285		285
JPMorgan Chase & Co.
4.915% due 06/26/2009		1,100		1,095
Kroger Co.
5.500% due 02/01/2013		100		100
Lehman Brothers Holdings, Inc.
4.934% due 12/23/2008		700		688
5.129% due 11/10/2009		14,020		13,617
Merrill Lynch & Co., Inc.
4.960% due 08/14/2009		200		196
5.191% due 10/23/2008		900		888
Morgan Stanley
5.114% due 04/25/2008		900		899
Safeway, Inc.
5.208% due 03/27/2009		1,080		1,078
SLM Corp.
5.294% due 07/25/2008		1,100		1,078
Time Warner, Inc.
5.109% due 11/13/2009		1,100		1,073
U.S. Bancorp
4.885% due 04/28/2009		1,250		1,246
U.S. Bank N.A.
5.185% due 03/31/2008		1,100		1,100
Wachovia Bank N.A.
4.924% due 03/23/2009		2,250		2,245
5.015% due 02/23/2009		400		399
Wells Fargo & Co.
5.292% due 03/10/2008		1,100		1,100
5.348% due 01/12/2011		20,530		20,261
World Savings Bank FSB
4.938% due 05/08/2009		75,000		75,101
5.249% due 03/02/2009		1,100		1,104
				348,887
Mortgage-Backed Securities 4.8%
American Home Mortgage Investment Trust
4.290% due 10/25/2034		78		76
5.015% due 09/25/2035		151		151
Banc of America Mortgage Securities, Inc.
5.000% due 05/25/2034		217		208
Bear Stearns Adjustable Rate Mortgage Trust
4.625% due 10/25/2035		393		388
Bear Stearns Alt-A Trust
5.678% due 08/25/2036		136		133
5.949% due 02/25/2036		391		388
Bear Stearns Mortgage Funding Trust
4.935% due 02/25/2037		2,819		2,801
CC Mortgage Funding Corp.
5.045% due 07/25/2036		420		408
Citigroup Mortgage Loan Trust, Inc.
4.679% due 08/25/2035		376		371
Commercial Mortgage Pass-Through Certificates
6.455% due 05/15/2032		240		241
Countrywide Alternative Loan Trust
5.025% due 02/25/2047		467		438
5.029% due 09/20/2046		135		134
5.045% due 05/25/2047		2,857		2,698
5.055% due 08/25/2046		684		646
5.055% due 11/25/2046		334		316
5.125% due 12/25/2035		285		269
5.129% due 02/20/2047		16,137		15,236
5.145% due 12/25/2035		958		930
5.145% due 02/25/2037		440		416
5.159% due 03/20/2046		1,413		1,334
5.165% due 08/25/2035		1,687		1,621
5.165% due 12/25/2035		2,738		2,539
5.185% due 11/25/2035		17,663		16,823
5.215% due 09/25/2035		6,147		5,835
Countrywide Home Loan Mortgage Pass-Through Trust
4.711% due 08/25/2034		237		235
5.095% due 05/25/2035		663		609
5.135% due 05/25/2034		22		22
5.155% due 03/25/2035		2,947		2,787
5.155% due 04/25/2035		39		37
5.165% due 03/25/2035		239		228
5.185% due 03/25/2035		15,726		14,916
5.195% due 02/25/2035		52		50
5.245% due 09/25/2034		60		58
Credit Suisse Mortgage Capital Certificates
5.311% due 12/15/2039		500		499
CS First Boston Mortgage Securities Corp.
6.500% due 04/25/2033		117		118
Deutsche ALT-A Securities, Inc. Alternate Loan Trust
4.883% due 10/25/2036		222		222
Downey Savings & Loan Association Mortgage Loan Trust
5.175% due 03/19/2045		2,850		2,715
5.225% due 08/19/2045		1,027		974
5.295% due 08/19/2045		6,091		5,780
GMAC Mortgage Corp. Loan Trust
5.500% due 09/25/2034		153		153
Greenpoint Mortgage Funding Trust
4.945% due 10/25/2046		3,042		2,979
4.945% due 01/25/2047		1,732		1,698
5.095% due 06/25/2045		6,545		6,205
GS Mortgage Securities Corp. II
6.620% due 10/18/2030		129		129
GSR Mortgage Loan Trust
6.000% due 03/25/2032		5		5
Harborview Mortgage Loan Trust
5.055% due 01/19/2038		7,704		7,613
5.155% due 01/19/2038		494		463
5.185% due 05/19/2035		3,168		2,998
5.205% due 06/19/2035		830		793
5.205% due 01/19/2036		426		403
5.205% due 03/19/2037		5,148		4,838
5.215% due 01/19/2036		6,953		6,643
5.275% due 11/19/2035		964		903
5.289% due 06/20/2035		259		249
5.295% due 09/19/2035		73		70
Impac Secured Assets CMN Owner Trust
4.945% due 01/25/2037		9,133		8,963
Indymac Index Mortgage Loan Trust
4.955% due 11/25/2046		287		280
4.965% due 01/25/2037		309		306
Lehman Brothers Floating Rate Commercial Mortgage Trust
5.108% due 09/15/2021		84		84
MLCC Mortgage Investors, Inc.
5.408% due 03/15/2025		17		17
Nationslink Funding Corp.
5.592% due 11/10/2030		31		31
Nomura Asset Acceptance Corp.
5.050% due 10/25/2035		126		125
Residential Accredit Loans, Inc.
4.965% due 09/25/2046		279		275
5.075% due 04/25/2046		426		401
5.165% due 08/25/2035		325		307
Sequoia Mortgage Trust
5.185% due 10/20/2034		1,611		1,521
5.299% due 07/20/2033		4,023		3,928
5.315% due 10/19/2026		71		70
Structured Asset Mortgage Investments, Inc.
4.935% due 08/25/2036		213		212
5.255% due 07/19/2034		24		24
TBW Mortgage-Backed Pass-Through Certificates
4.965% due 09/25/2036		143		141
Thornburg Mortgage Securities Trust
4.975% due 11/25/2046		469		459
4.985% due 03/25/2046		2,000		1,966
4.985% due 09/25/2046		391		382
5.105% due 10/25/2045		1,759		1,757
5.135% due 03/25/2044		403		395
Wachovia Bank Commercial Mortgage Trust
5.108% due 06/15/2020		37,920		36,319
5.118% due 09/15/2021		559		551
Washington Mutual, Inc.
4.945% due 08/25/2046		40		40
5.095% due 04/25/2045		312		294
5.155% due 10/25/2045		115		108
5.175% due 01/25/2045		76		72
5.185% due 01/25/2045		73		70
5.185% due 07/25/2045		84		80
5.405% due 12/25/2027		207		198
5.483% due 02/27/2034		50		49
5.598% due 12/25/2046		464		436
5.788% due 08/25/2046		62,834		61,683
5.883% due 10/25/2046		162		158
5.988% due 11/25/2042		16		15
6.188% due 08/25/2042		63		60
6.288% due 11/25/2046		417		412
Wells Fargo Mortgage-Backed Securities Trust
3.541% due 09/25/2034		364		358
4.109% due 06/25/2035		74		74
4.500% due 11/25/2018		247		244
4.950% due 03/25/2036		481		476
5.625% due 04/25/2036		107		104
				243,237
U.S. Government Agencies 13.1%
Fannie Mae
4.186% due 11/01/2034		287		289
4.500% due 05/25/2015 - 02/25/2021		1,746		1,747
4.925% due 12/01/2034		87		86
4.985% due 03/25/2034		53		52
5.000% due 02/01/2022 - 06/01/2037		191,520		186,927
5.015% due 08/25/2034		40		39
5.215% due 09/25/2042		162		161
5.265% due 06/25/2029		32		33
5.500% due 09/25/2024 - 11/01/2037		415,768		415,383
6.000% due 12/01/2033 - 07/25/2044		103		106
6.500% due 05/01/2028 - 07/01/2029		392		406
7.000% due 09/25/2023		121		129
7.149% due 12/01/2030		7		7
8.800% due 01/25/2019		167		182
Freddie Mac
4.500% due 04/15/2013 - 02/15/2020		1,684		1,679
5.000% due 03/15/2016 - 03/15/2025		2,033		2,043
5.015% due 09/25/2035		6,477		6,083
5.145% due 09/25/2031		107		106
5.258% due 02/15/2019		37,213		37,031
5.421% due 10/01/2036		504		507
5.478% due 12/15/2031		8		8
6.063% due 10/25/2044 - 02/25/2045		506		506
6.263% due 07/25/2044		108		108
6.500% due 07/15/2028		2,698		2,816
Ginnie Mae
5.625% due 08/20/2022 - 09/20/2026		640		644
6.000% due 08/20/2034		610		613
6.125% due 11/20/2022 - 11/20/2024		1,014		1,028
6.375% due 03/20/2022 - 06/20/2030		2,687		2,723
7.500% due 09/15/2025 - 11/15/2030		2,769		2,923
8.500% due 07/15/2008 - 07/15/2030		30		33
Small Business Administration
4.625% due 02/01/2025		165		162
5.090% due 10/01/2025		89		90
				664,650
U.S. Treasury Obligations 0.2%
U.S. Treasury Bonds
6.000% due 02/15/2026		1,400		1,657
U.S. Treasury Notes
3.875% due 09/15/2010		8,760		8,950
				10,607
Total United States (Cost $1,640,881)				1,635,971
SHORT-TERM INSTRUMENTS 59.1%
Certificates of Deposit 3.2%
Barclays Bank PLC
5.121% due 03/13/2009		26,025		26,079
Calyon Financial, Inc.
5.266% due 06/29/2010		15,000		14,950
Citibank N.A.
4.770% due 01/29/2008		120,000		120,000
				161,029
Commercial Paper 54.3%
Abbey National Treasury Services PLC
4.680% due 02/01/2008		99,000		98,614
ANZ National International Ltd.
4.720% due 02/04/2008		37,900		37,736
ASB Finance Ltd.
4.960% due 02/11/2008		110,000		109,410
Bank of America Corp.
4.695% due 01/28/2008		140,000		139,525
Bank of Scotland PLC
5.050% due 01/28/2008		59,400		59,183
Barclays U.S. Funding Corp.
4.810% due 01/25/2008		102,000		101,687
5.075% due 01/18/2008		1,000		998
5.100% due 01/25/2008		600		598
5.110% due 01/17/2008		28,500		28,439
Calyon Financial, Inc.
5.010% due 01/18/2008		141,800		141,484
CBA (de) Finance
4.930% due 03/14/2008		10,400		10,299
Citibank N.A.
5.940% due 02/01/2008		85,100		84,679
Danske Corp.
4.740% due 02/08/2008		143,400		142,701
4.970% due 01/22/2008		8,800		8,776
DnB NORBank ASA
4.930% due 03/04/2008		82,400		81,716
4.970% due 02/01/2008		36,100		35,951
5.050% due 01/25/2008		2,100		2,093
Intesa Funding LLC
5.010% due 01/22/2008		143,800		143,400
Lloyds TSB Bank PLC
4.600% due 01/25/2008		2,000		1,994
4.980% due 01/02/2008		140,000		140,000
National Australia Bank Ltd.
4.240% due 01/04/2008		139,600		139,567
Rabobank Financial Co.
4.430% due 01/04/2008		139,600		139,566
Royal Bank of Scotland Group PLC
4.740% due 01/28/2008		98,700		98,362
4.780% due 01/24/2008		1,200		1,197
4.945% due 01/24/2008		2,100		2,094
5.030% due 01/22/2008		98,400		98,125
San Paolo U.S. Financial Co.
4.950% due 01/15/2008		45,400		45,319
Santander Hispano Finance Delaware
5.190% due 01/28/2008		60,000		59,775
Skandinaviska Enskilda Banken AB
4.770% due 03/20/2008		101,900		100,829
4.880% due 01/23/2008		900		897
5.050% due 01/25/2008		49,200		49,041
Stadshypotek Delaware, Inc.
4.710% due 02/04/2008		47,600		47,395
Swedbank AB
4.730% due 02/01/2008		119,700		119,228
5.015% due 01/24/2008		39,600		39,479
UBS Finance Delaware LLC
4.690% due 01/28/2008		145,000		144,509
Unicredito Italiano SpA
4.810% due 02/15/2008		113,800		113,131
4.940% due 03/17/2008		39,100		38,705
Westpac Banking Corp.
4.670% due 02/01/2008		18,300		18,229
Westpac Trust Securities NZ Ltd.
4.810% due 01/25/2008		23,300		23,228
4.850% due 03/20/2008		110,000		108,844
				2,756,803
Repurchase Agreements 1.5%
Fixed Income Clearing Corp.
1.750% due 01/02/2008		71,500		71,500
(Dated 12/31/2007. Collateralized by Federal Home Loan Bank 4.125% due 11/19/2008 valued at $72,932. Repurchase proceeds are $71,507.)
3.900% due 01/02/2008		7,173		7,173
(Dated 12/31/2007. Collateralized by Fannie Mae 0.000% due 01/15/2008 valued at $7,321. Repurchase proceeds are $7,175.)
				78,673
France Treasury Bills 0.0%
3.818% due 01/10/2008 - 02/21/2008 (a)	EUR	1,884		2,746
U.S. Treasury Bills 0.1%
3.003% due 02/28/2008 - 03/13/2008 (a)(b)	$	3,500		3,471
Total Short-Term Instruments (Cost $3,002,708)				3,002,722
Purchased Options (f) 0.1% (Cost $5,124)				5,897
Total Investments 93.7% (Cost $4,747,146)			$	4,759,045
Other Assets and Liabilities (Net) 6.3%				321,915
Net Assets (c) 100.0%			$	5,080,960

Notes to Schedule of Investments (amounts in thousands*, except number of contracts):

* A zero balance may reflect actual amounts rounding to less than one thousand.

(a) Coupon represents a weighted average rate.

(b) Securities with an aggregate market value of $3,471 have been pledged as collateral for swap and swaption contracts on December 31, 2007.

(c) As of December 31, 2007, portfolio securities with an aggregate value of $9,171 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(d) Cash of $27,175 has been segregated with the custodian to cover margin requirements for the following open futures contracts on December 31, 2007:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
Euro-Bobl March Futures	Long	03/2008	8,543	$	(19,587	)
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2008	6,001		19,299
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2008	12,848		79
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2008	5,016		14,074
				$	13,865

(e) Swap agreements outstanding on December 31, 2007:

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Barclays Bank PLC	3-Month Australian Bank Bill	Pay	7.000	%	09/15/2009	AUD	133,000	$	(692	)
Citibank N.A.	3-Month Australian Bank Bill	Pay	7.000	%	09/15/2009		266,000		(1,408	)
Deutsche Bank AG	3-Month Australian Bank Bill	Pay	7.000	%	09/15/2009		133,000		(725	)
UBS Warburg LLC	3-Month Australian Bank Bill	Pay	7.000	%	09/15/2009		268,000		(1,464	)
Barclays Bank PLC	6-Month EUR-LIBOR	Pay	4.500	%	03/19/2010	EUR	500,000		(174	)
Barclays Bank PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.960	%	04/05/2012		1,000		(19	)
Deutsche Bank AG	6-Month EUR-LIBOR	Pay	4.500	%	03/19/2010		1,000,000		(1,252	)
Deutsche Bank AG	6-Month EUR-LIBOR	Receive	4.000	%	06/15/2017		105,000		5,519
Goldman Sachs & Co.	6-Month EUR-LIBOR	Pay	4.000	%	06/21/2036		700		(58	)
JPMorgan Chase & Co.	6-Month EUR-LIBOR	Pay	4.500	%	03/19/2010		96,000		(33	)
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.958	%	04/10/2012		700		(14	)
JPMorgan Chase & Co.	6-Month EUR-LIBOR	Pay	4.000	%	12/15/2014		6,500		(231	)
Lehman Brothers, Inc.	6-Month EUR-LIBOR	Pay	4.000	%	12/15/2014		6,500		(392	)
Morgan Stanley	6-Month EUR-LIBOR	Pay	4.500	%	03/19/2010		1,000,000		(483	)
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	5.000	%	06/15/2009	GBP	300,000		(2,541	)
Barclays Bank PLC	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035		151,100		13,641
Credit Suisse USA, Inc.	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035		20,000		1,113
Deutsche Bank AG	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2010		65,100		(376	)
Deutsche Bank AG	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035		21,600		2,010
Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	5.000	%	06/20/2008		12,900		(82	)
Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	6.000	%	09/18/2009		1,500,000		35,708
Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	6.000	%	03/20/2010		675,000		23,769
Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2010		820,000		20,228
Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	5.500	%	03/20/2013		314,600		12,186
Goldman Sachs & Co.	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035		521,800		6,098
Goldman Sachs & Co.	6-Month GBP-LIBOR	Receive	5.000	%	03/20/2038		83,500		(9,544	)
HSBC Bank USA	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2010		324,000		(8,044	)
HSBC Bank USA	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035		123,000		11,212
HSBC Bank USA	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2036		25,200		2,142
JPMorgan Chase & Co.	6-Month GBP-LIBOR	Pay	5.500	%	09/20/2009		725,000		4,457
JPMorgan Chase & Co.	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035		36,000		3,327
Lehman Brothers, Inc.	6-Month GBP-LIBOR	Pay	5.500	%	03/20/2013		277,000		11,187
Morgan Stanley	6-Month GBP-LIBOR	Pay	6.000	%	06/19/2010		1,500,000		62,135
Morgan Stanley	6-Month GBP-LIBOR	Pay	5.000	%	03/20/2013		80,000		2,846
Morgan Stanley	6-Month GBP-LIBOR	Pay	5.500	%	03/20/2013		39,300		1,574
Morgan Stanley	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035		16,000		1,479
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2010		25,100		476
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2036		14,900		960
JPMorgan Chase & Co.	3-Month USD-LIBOR	Pay	4.000	%	06/18/2013	$	500		0
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.000	%	06/18/2013		10,700		116
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	06/18/2038		2,600		68
								$	194,719

(f) Purchased options outstanding on December 31, 2007:

Foreign Currency Options

Description	Exercise Price		Expiration Date	Notional Amount		Cost		Value
Call - OTC U.S. dollar versus Japanese yen	JPY	105.200	03/31/2010	$	17,000	$	716	$	790
Put - OTC U.S. dollar versus Japanese yen		105.200	03/31/2010		17,000		716		857
Call - OTC U.S. dollar versus Japanese yen		105.400	03/31/2010		44,000		1,846		2,000
Put - OTC U.S. dollar versus Japanese yen		105.400	03/31/2010		44,000		1,846		2,250
						$	5,124	$	5,897

(g) Short sales outstanding on December 31, 2007:

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Value
Fannie Mae	5.000	%	01/01/2023	$	2,000	$	1,987	$	2,002
Fannie Mae	5.000	%	01/01/2038		196,500		193,553		191,741
Fannie Mae	5.500	%	01/01/2038		424,400		425,063		423,936
Freddie Mac	5.500	%	01/01/2038		130		130		130
						$	620,733	$	617,809

(h) Foreign currency contracts outstanding on December 31, 2007:

Type	Currency	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	AUD	7,759	01/2008	$	0	$	(2	)	$	(2	)
Sell		16,756	01/2008		91		0			91
Buy		49,792	02/2008		1,036		0			1,036
Buy	BRL	363,419	07/2008		3,163		0			3,163
Buy	CAD	23,342	01/2008		498		0			498
Buy	EUR	71,764	01/2008		1,678		(12	)		1,666
Sell		103,472	01/2008		346		0			346
Buy	GBP	2,097	01/2008		0		(1	)		(1	)
Sell		226,544	01/2008		5,773		0			5,773
Sell	JPY	729,335	02/2008		15		0			15
Buy	KRW	50,843,557	01/2008		0		(1,422	)		(1,422	)
Buy		192,890,234	05/2008		0		(2,283	)		(2,283	)
Buy		115,034,950	08/2008		0		(2,127	)		(2,127	)
Buy	MXN	890,295	03/2008		1,010		(152	)		858
Buy		2,517,555	07/2008		4,870		0			4,870
Sell	NZD	3,401	01/2008		0		(64	)		(64	)
Sell		3,401	02/2008		16		0			16
Buy	PLN	69,570	03/2008		3,245		0			3,245
Buy	RUB	634,625	01/2008		862		0			862
Sell		634,625	01/2008		94		0			94
Buy		1,392,341	07/2008		1,592		0			1,592
Buy		2,676,025	11/2008		408		(100	)		308
Buy	SGD	292,759	05/2008		3,353		0			3,353
				$	28,050	$	(6,163	)	$	21,887

See accompanying notes

Schedule of Investments

Investment Grade Corporate Portfolio

December 31, 2007 (Unaudited)

	Principal Amount (000s)			Value (000s)
CORPORATE BONDS & NOTES 96.8%
Banking & Finance 51.4%
ABN AMRO Bank NV
5.316% due 09/18/2013	$	1,700		$	1,703
ABX Financing Co.
6.350% due 10/15/2036		400			393
AFLAC, Inc.
6.500% due 04/15/2009		1,000			1,026
American Express Bank FSB
6.000% due 09/13/2017		20,200			20,350
American Express Centurion Bank
6.000% due 09/13/2017		20,000			20,148
American Express Co.
6.150% due 08/28/2017		2,000			2,056
American International Group, Inc.
5.850% due 01/16/2018		14,500			14,622
6.250% due 05/01/2036		5,000			5,043
6.250% due 03/15/2087		16,000			14,356
Anadarko Finance Co.
6.750% due 05/01/2011		2,700			2,857
AvalonBay Communities, Inc.
6.125% due 11/01/2012		150			154
AXA S.A.
6.463% due 12/31/2049		10,000			9,022
Bank of America Corp.
4.750% due 08/01/2015		2,400			2,313
5.502% due 10/14/2016		5,000			4,842
5.625% due 10/14/2016		300			302
5.750% due 12/01/2017		10,000			10,042
6.000% due 09/01/2017		20,800			21,290
Barclays Bank PLC
5.450% due 09/12/2012		30,000			30,781
6.050% due 12/04/2017		19,300			19,483
6.860% due 09/29/2049		360			337
Bear Stearns Cos., Inc.
5.550% due 01/22/2017		6,300			5,656
6.400% due 10/02/2017		50,000			48,394
6.950% due 08/10/2012		25,000			25,730
BNP Paribas
5.186% due 06/29/2049		17,700			16,120
Canadian Oil Sands Ltd.
4.800% due 08/10/2009		7,000			7,044
CIT Group, Inc.
5.129% due 02/13/2012		10,000			8,769
5.291% due 07/28/2011		5,000			4,411
Citigroup Capital XXI
8.300% due 12/21/2057		7,300			7,644
Citigroup, Inc.
5.024% due 01/30/2009		500			496
6.000% due 08/15/2017		19,500			19,931
6.125% due 11/21/2017		30,900			31,799
6.125% due 08/25/2036		13,900			13,199
CNA Financial Corp.
5.850% due 12/15/2014		2,000			2,006
6.000% due 08/15/2011		2,000			2,051
Commonwealth Bank of Australia
6.024% due 03/29/2049		8,015			7,482
Countrywide Financial Corp.
6.250% due 05/15/2016		4,000			2,305
Credit Agricole S.A.
6.637% due 05/29/2049		20,000			18,586
Deutsche Bank AG
6.000% due 09/01/2017		40,000			41,555
Export-Import Bank of Korea
5.214% due 06/01/2009		700			701
FIA Card Services N.A.
7.125% due 11/15/2012		1,300			1,414
Ford Motor Credit Co. LLC
4.950% due 01/15/2008		4,900			4,897
General Electric Capital Corp.
6.375% due 11/15/2067		600			621
6.750% due 03/15/2032		2,800			3,189
GMAC LLC
4.900% due 07/15/2008		50			48
6.750% due 12/01/2014		100			81
6.875% due 08/28/2012		100			84
8.000% due 11/01/2031		120			101
Goldman Sachs Group, Inc.
5.045% due 02/06/2012		300			291
5.481% due 07/23/2009		2,200			2,199
5.700% due 09/01/2012		800			824
5.750% due 10/01/2016		5,000			5,084
6.250% due 09/01/2017		51,400			53,568
6.450% due 05/01/2036		9,700			9,142
6.750% due 10/01/2037		20,000			19,657
HBOS Capital Funding LP
6.071% due 06/29/2049		13,000			12,180
HBOS PLC
5.375% due 11/29/2049		3,600			3,286
5.920% due 09/29/2049		13,000			11,356
HSBC Bank USA N.A.
4.625% due 04/01/2014		500			480
HSBC Capital Funding LP
4.610% due 12/29/2049		17,150			15,829
HSBC Holdings PLC
6.500% due 05/02/2036		14,500			14,141
6.500% due 09/15/2037		17,600			17,113
7.625% due 05/17/2032		730			797
International Lease Finance Corp.
5.250% due 01/10/2013		5,000			4,932
JPMorgan Chase & Co.
5.750% due 01/02/2013		5,000			5,101
6.000% due 01/15/2018		35,000			35,675
JPMorgan Chase Bank N.A.
6.000% due 10/01/2017		50,000			50,944
JPMorgan Chase Capital
6.550% due 09/29/2036		2,100			1,901
JPMorgan Chase Capital XVIII
6.950% due 08/17/2036		2,100			2,001
Kaupthing Bank HF
5.750% due 10/04/2011		3,200			3,012
6.125% due 10/04/2016		2,000			1,754
KFW International Finance, Inc.
5.750% due 01/15/2008		70			70
Landsbanki Islands HF
5.730% due 08/25/2009		2,000			1,997
Lehman Brothers Holdings, Inc.
5.750% due 01/03/2017		5,000			4,812
6.875% due 07/17/2037		4,700			4,609
Marsh & McLennan Cos., Inc.
5.150% due 09/15/2010		2,000			1,999
MBNA Capital B
5.711% due 02/01/2027		2,000			1,764
Merrill Lynch & Co., Inc.
5.700% due 05/02/2017		5,000			4,774
6.050% due 08/15/2012		29,000			29,586
6.400% due 08/28/2017		23,000			23,409
Mizuho Financial Group Cayman Ltd.
5.790% due 04/15/2014		1,500			1,571
Mizuho JGB Investment LLC
9.870% due 12/29/2049		3,400			3,431
Morgan Stanley
4.750% due 04/01/2014		5,000			4,690
5.450% due 01/09/2017		5,000			4,859
5.659% due 10/18/2016		7,000			6,542
5.722% due 10/15/2015		2,000			1,877
5.750% due 08/31/2012		40,000			40,872
5.750% due 10/18/2016		10,000			9,885
5.950% due 12/28/2017		11,000			11,013
MUFG Capital Finance 1 Ltd.
6.346% due 07/29/2049		15,000			14,230
Natexis AMBS Co. LLC
8.440% due 12/29/2049		1,300			1,327
National City Bank of Pennsylvania
7.250% due 10/21/2011		853			908
Rabobank Capital Funding II
5.260% due 12/29/2049		7,500			6,996
Rabobank Capital Funding Trust
5.254% due 12/29/2049		19,000			17,034
RBS Capital Trust III
5.512% due 09/29/2049		26,000			23,935
Resona Bank Ltd.
5.850% due 09/29/2049		6,900			6,425
Rockies Express Pipeline LLC
5.776% due 08/20/2009		50,000			50,037
Royal Bank of Scotland Group PLC
9.118% due 03/31/2049		9,170			9,808
Santander Perpetual S.A. Unipersonal
6.671% due 10/29/2049		10,000			10,045
SB Treasury Co. LLC
9.400% due 12/29/2049		1,600			1,636
SMFG Preferred Capital USD 1 Ltd.
6.078% due 01/29/2049		5,000			4,631
Sumitomo Mitsui Banking Corp.
5.625% due 07/29/2049		5,000			4,676
Tiers Trust
8.125% due 09/15/2017		689			795
UBS AG
5.875% due 12/20/2017		11,300			11,401
UBS Preferred Funding Trust V
6.243% due 05/29/2049		12,600			12,151
UFJ Finance Aruba AEC
6.750% due 07/15/2013		24,882			27,062
USB Capital IX
6.189% due 04/15/2049		14,300			12,951
Wachovia Bank N.A.
4.924% due 03/23/2009		800			798
Wachovia Capital Trust III
5.800% due 03/15/2042		20,000			17,884
Wells Fargo & Co.
4.944% due 03/23/2010		400			397
Wells Fargo Capital X
5.950% due 12/15/2036		20,500			19,196
Wilmington Trust Co.
10.500% due 07/01/2008 (j)		46			46
Xstrata Finance Canada Ltd.
5.800% due 11/15/2016		5,900			5,796
					1,144,626
Industrials 28.3%
Albertson’s LLC
8.000% due 05/01/2031		5,000			5,097
Anadarko Petroleum Corp.
5.950% due 09/15/2016		3,300			3,366
6.450% due 09/15/2036		7,400			7,560
Apache Corp.
5.625% due 01/15/2017		200			204
6.000% due 01/15/2037		1,000			995
AutoZone, Inc.
5.500% due 11/15/2015		2,500			2,469
6.500% due 07/15/2008		2,000			2,016
Avon Products, Inc.
5.125% due 01/15/2011		3,000			3,021
Barrick Gold Corp.
5.800% due 11/15/2034		2,700			2,615
Baxter International, Inc.
6.250% due 12/01/2037		10,000			10,296
Boston Scientific Corp.
5.450% due 06/15/2014		1,300			1,202
6.000% due 06/15/2011		2,500			2,425
Canadian Natural Resources Ltd.
6.250% due 03/15/2038		500			490
6.500% due 02/15/2037		2,000			2,011
Cardinal Health, Inc.
5.499% due 10/02/2009		2,600			2,605
Comcast Cable Communications Holdings, Inc.
8.375% due 03/15/2013		200			225
9.455% due 11/15/2022		350			446
Comcast Corp.
5.300% due 01/15/2014		7,000			6,873
5.875% due 02/15/2018		25,000			24,972
5.900% due 03/15/2016		2,900			2,922
7.050% due 03/15/2033		5,000			5,479
Continental Airlines, Inc.
6.320% due 11/01/2008		15,195			15,119
7.056% due 09/15/2009		5,000			5,062
Covidien International Finance S.A.
6.550% due 10/15/2037		4,300			4,481
Cox Communications, Inc.
7.125% due 10/01/2012		5,100			5,444
7.750% due 11/01/2010		100			107
CVS Caremark Corp.
5.441% due 06/01/2010		450			446
5.750% due 08/15/2011		2,000			2,050
6.943% due 01/10/2030		13,000			13,075
Daimler Finance North America LLC
4.050% due 06/04/2008		440			438
5.541% due 03/13/2009		400			397
5.750% due 09/08/2011		2,000			2,031
8.000% due 06/15/2010		270			288
DCP Midstream LLC
5.375% due 10/15/2015		2,000			1,940
Delta Air Lines, Inc.
6.619% due 03/18/2011		928			924
Devon Energy Corp.
7.950% due 04/15/2032		3,000			3,683
Devon Financing Corp. ULC
6.875% due 09/30/2011		400			429
7.875% due 09/30/2031		700			849
E.I. Du Pont De Nemours & Co.
5.000% due 01/15/2013		1,600			1,612
El Paso Corp.
6.750% due 05/15/2009		1,106			1,122
7.750% due 06/15/2010		13,533			14,197
7.750% due 01/15/2032		19,185			19,570
7.800% due 08/01/2031		41,285			42,105
8.050% due 10/15/2030		9,200			9,626
El Paso Natural Gas Co.
8.375% due 06/15/2032		3,850			4,529
Enbridge Energy Partners LP
5.875% due 12/15/2016		3,600			3,579
EnCana Corp.
5.900% due 12/01/2017		23,400			23,982
6.500% due 02/01/2038		9,400			9,746
Energy Transfer Partners LP
5.650% due 08/01/2012		8,100			8,027
6.125% due 02/15/2017		800			779
6.625% due 10/15/2036		1,900			1,827
Enterprise Products Operating LP
5.000% due 03/01/2015		900			861
EOG Resources, Inc.
5.875% due 09/15/2017		20,000			20,542
Fund American Cos., Inc.
5.875% due 05/15/2013		2,500			2,508
Gannett Co., Inc.
5.750% due 06/01/2011		4,000			4,127
General Mills, Inc.
5.700% due 02/15/2017		4,500			4,451
HJ Heinz Co.
6.428% due 12/01/2008		2,150			2,189
HJ Heinz Finance Co.
6.000% due 03/15/2012		3,000			3,081
Hospira, Inc.
6.050% due 03/30/2017		1,300			1,309
Humana, Inc.
6.450% due 06/01/2016		5,000			5,046
International Business Machines Corp.
5.700% due 09/14/2017		25,400			26,306
Johnson Controls, Inc.
5.250% due 01/15/2011		2,000			2,007
5.500% due 01/15/2016		2,000			1,974
Kellogg Co.
5.125% due 12/03/2012		1,500			1,514
Kern River Funding Corp.
4.893% due 04/30/2018		13,086			12,842
Kinder Morgan Energy Partners LP
6.000% due 02/01/2017		800			801
6.500% due 02/01/2037		300			298
7.125% due 03/15/2012		5,000			5,350
7.300% due 08/15/2033		5,500			5,869
Kraft Foods, Inc.
5.625% due 11/01/2011		2,000			2,047
6.500% due 08/11/2017		6,600			6,840
Kroger Co.
5.500% due 02/01/2013		3,000			3,011
Loews Corp.
5.250% due 03/15/2016		2,000			1,999
Mazda Manufacturing Corp.
10.500% due 07/01/2008 (j)		68			68
Mazda Motor Corp.
10.500% due 07/01/2008 (j)		12			12
News America Holdings, Inc.
9.250% due 02/01/2013		4,800			5,617
Norfolk Southern Corp.
5.640% due 05/17/2029		77			71
7.800% due 05/15/2027		3			4
Omnicom Group, Inc.
5.900% due 04/15/2016		3,800			3,861
ONEOK Partners LP
6.850% due 10/15/2037		8,000			8,326
Packaging Corp. of America
4.375% due 08/01/2008		2,800			2,775
Parker Hannifin Employee Stock Ownership Trust
6.340% due 07/15/2008		449			451
Pemex Project Funding Master Trust
7.875% due 02/01/2009		26,375			27,243
8.500% due 02/15/2008		1,460			1,466
9.375% due 12/02/2008		5,968			6,200
Pioneer Natural Resources Co.
5.875% due 07/15/2016		1,000			926
Plains All American Pipeline LP
6.125% due 01/15/2017		1,000			1,015
6.650% due 01/15/2037		1,700			1,716
RadioShack Corp.
7.375% due 05/15/2011		1,900			2,004
Reynolds American, Inc.
6.750% due 06/15/2017		10,000			10,235
Rohm & Haas Co.
6.000% due 09/15/2017		25,000			25,448
Rowan Cos., Inc.
5.880% due 03/15/2012		1,310			1,376
Sealed Air Corp.
6.950% due 05/15/2009		1,500			1,540
Suncor Energy, Inc.
6.500% due 06/15/2038		5,000			5,365
Systems 2001 Asset Trust LLC
6.664% due 09/15/2013		2,747			2,830
7.156% due 12/15/2011		892			936
Time Warner Cable, Inc.
5.850% due 05/01/2017		22,800			22,897
6.550% due 05/01/2037		10,100			10,343
Transocean, Inc.
6.800% due 03/15/2038		24,700			25,284
United Airlines, Inc.
6.071% due 03/01/2013		1,271			1,265
6.602% due 03/01/2015		1,652			1,644
8.390% due 01/21/2011 (a)		2,235			28
10.020% due 03/22/2014 (a)		834			412
10.125% due 03/22/2015 (a)		1,989			1,007
10.850% due 02/19/2015 (a)		901			433
Univision Communications, Inc.
7.850% due 07/15/2011		5,067			5,073
USX Corp.
6.850% due 03/01/2008		1,520			1,525
Valero Energy Corp.
7.500% due 04/15/2032		800			882
8.750% due 06/15/2030		15,175			18,505
Viacom, Inc.
5.341% due 06/16/2009		3,000			2,965
5.750% due 04/30/2011		3,000			3,040
Waste Management, Inc.
7.375% due 08/01/2010		90			95
WEA Finance LLC
5.700% due 10/01/2016		2,000			1,916
Wyeth
5.500% due 03/15/2013		2,500			2,574
XTO Energy, Inc.
4.900% due 02/01/2014		5,000			4,862
5.650% due 04/01/2016		800			807
6.100% due 04/01/2036		5,000			4,897
Yum! Brands, Inc.
6.250% due 04/15/2016		2,500			2,539
6.875% due 11/15/2037		5,700			5,692
7.650% due 05/15/2008		3,000			3,029
					630,924
Utilities 17.1%
Appalachian Power Co.
5.650% due 08/15/2012		10,100			10,274
6.375% due 04/01/2036		500			490
AT&T Corp.
7.300% due 11/15/2011		6,000			6,507
8.000% due 11/15/2031		20,200			24,881
AT&T Mobility LLC
6.500% due 12/15/2011		450			474
AT&T, Inc.
6.500% due 09/01/2037		50,000			52,460
Beaver Valley II Funding
9.000% due 06/01/2017		1,459			1,646
Bruce Mansfield Unit
6.850% due 06/01/2034		1,700			1,751
BVPS II Funding Corp.
8.890% due 06/01/2017		1,500			1,749
CenturyTel, Inc.
8.375% due 10/15/2010		2,100			2,287
Cleveland Electric Illuminating Co.
6.860% due 10/01/2008		4			4
Consumers Energy Co.
5.000% due 02/15/2012		1,900			1,888
5.000% due 03/15/2015		300			291
5.150% due 02/15/2017		2,800			2,699
5.375% due 04/15/2013		600			599
5.500% due 08/15/2016		2,250			2,233
Deutsche Telekom International Finance BV
8.000% due 06/15/2010		3,200			3,418
8.250% due 06/15/2030		11,700			14,640
Dominion Resources, Inc.
5.200% due 01/15/2016		3,000			2,912
5.600% due 11/15/2016		1,800			1,774
Duke Energy LLC
6.450% due 10/15/2032		10,000			10,460
Duke Energy, Inc.
6.900% due 06/01/2025		2,821			3,002
Embarq Corp.
7.082% due 06/01/2016		100			103
Enel Finance International S.A.
6.250% due 09/15/2017		25,000			25,344
6.800% due 09/15/2037		14,550			14,665
Energy East Corp.
6.750% due 07/15/2036		1,300			1,319
Entergy Arkansas, Inc.
5.400% due 05/01/2018		9,384			8,966
Entergy Gulf States, Inc.
3.600% due 06/01/2008		13,800			13,697
5.250% due 08/01/2015		600			569
Entergy Louisiana LLC
4.670% due 06/01/2010		400			397
Exelon Corp.
6.750% due 05/01/2011		3,000			3,138
Florida Power Corp.
5.279% due 11/14/2008		2,300			2,297
Kentucky Power Co.
6.000% due 09/15/2017		18,600			18,586
MidAmerican Energy Holdings Co.
6.500% due 09/15/2037		100			105
7.520% due 09/15/2008		350			355
NGPL Pipe Co. LLC
7.768% due 12/15/2037		4,100			4,303
Niagara Mohawk Power Corp.
7.750% due 10/01/2008		70			71
Ohio Edison Co.
6.875% due 07/15/2036		3,000			3,110
Ohio Power Co.
6.375% due 07/15/2033		5,500			5,164
PNPP II Funding Corp.
9.120% due 05/30/2016		1,388			1,640
PPL Capital Funding Trust I
4.330% due 03/01/2009		3,300			3,277
Progress Energy, Inc.
7.100% due 03/01/2011		188			200
7.750% due 03/01/2031		15,550			18,411
PSEG Power LLC
3.750% due 04/01/2009		2,500			2,472
8.625% due 04/15/2031		12,000			14,806
Public Service Co. of Oklahoma
6.625% due 11/15/2037		2,300			2,341
Qwest Capital Funding, Inc.
7.250% due 02/15/2011		13,650			13,514
Qwest Corp.
6.875% due 09/15/2033		9,880			9,164
8.875% due 03/15/2012		6,000			6,450
Scana Corp.
6.250% due 02/01/2012		10,000			10,409
System Energy Resources, Inc.
5.129% due 01/15/2014		2,430			2,491
Telecom Italia Capital S.A.
5.250% due 10/01/2015		9,850			9,611
7.200% due 07/18/2036		200			221
Telefonica Emisones SAU
5.984% due 06/20/2011		3,500			3,603
United Telecom, Inc.
6.890% due 07/01/2008 (j)		1,000			1,004
Virginia Electric and Power Co.
5.950% due 09/15/2017		31,500			32,530
					380,772
Total Corporate Bonds & Notes (Cost $2,137,609)					2,156,322
CONVERTIBLE BONDS & NOTES 0.2%
ERP Operating LP
3.850% due 08/15/2026		3,800			3,663
Total Convertible Bonds & Notes (Cost $3,838)					3,663
U.S. GOVERNMENT AGENCIES 0.2%
Fannie Mae
5.500% due 01/01/2037 - 01/01/2038		3,825			3,821
Ginnie Mae
8.500% due 07/15/2030 - 08/15/2030		86			93
Total U.S. Government Agencies (Cost $3,889)					3,914
U.S. TREASURY OBLIGATIONS 1.5%
U.S. Treasury Bonds
4.000% due 09/30/2009		31,500			32,012
4.750% due 02/15/2037		1,900			1,989
Total U.S. Treasury Obligations (Cost $33,779)					34,001
MORTGAGE-BACKED SECURITIES 0.1%
Denver Arena Trust
6.940% due 11/15/2019		1,779			1,802
Total Mortgage-Backed Securities (Cost $1,608)					1,802
ASSET-BACKED SECURITIES 0.0%
MASTR Asset-Backed Securities Trust
4.945% due 05/25/2037		377			370
Total Asset-Backed Securities (Cost $377)					370
		Shares
COMMON STOCKS 0.1%
Devon Energy Corp.		33,898			3,014
Total Common Stocks (Cost $863)					3,014
PREFERRED STOCKS 0.2%
Goldman Sachs Group, Inc.
5.629% due 12/31/2049		200,000			4,228
Lehman Brothers Holdings, Inc.
5.670% due 12/31/2049		5,200			188
Total Preferred Stocks (Cost $5,231)					4,416
		Principal Amount (000s	)
SHORT-TERM INSTRUMENTS 0.9%
Repurchase Agreements 0.0%
Fixed Income Clearing Corp.
3.900% due 01/02/2008	$	662			662
(Dated 12/31/2007. Collateralized by Fannie Mae 3.250% due 01/15/2008 valued at $678. Repurchase proceeds are $662.)
U.S. Treasury Bills 0.9%
3.890% due 02/28/2008 - 03/13/2008 (b)(c)(d)		19,200			19,034
Total Short-Term Instruments (Cost $19,756)					19,696
Purchased Options (h) 1.2% (Cost $15,545)					27,945
Total Investments 101.2% (Cost $2,222,495)				$	2,255,143
Written Options (i) (1.1%) (Premiums $13,373)					(23,730	)
Other Assets and Liabilities (Net) (0.1%)					(3,048	)
Net Assets (e) 100.0%				$	2,228,365

Notes to Schedule of Investments (amounts in thousands*, except number of contracts):

* A zero balance may reflect actual amounts rounding to less than one thousand.

(a) Security is in default.

(b) Coupon represents a weighted average rate.

(c) Securities with an aggregate market value of $18,836 have been pledged as collateral for swap and swaption contracts on December 31, 2007.

(d) Securities with an aggregate market value of $198 have been pledged as collateral for delayed-delivery securities on December 31, 2007.

(e) As of December 31, 2007, portfolio securities with an aggregate value of $1,158 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

Description	Type	Expiration Month	# of Contracts	Unrealized (Depreciation)
U.S. Treasury 2-Year Note March Futures	Short	03/2008	658	$	(108	)
U.S. Treasury 5-Year Note March Futures	Short	03/2008	1,100		(1,020	)
U.S. Treasury 10-Year Note March Futures	Short	03/2008	2,075		(389	)
				$	(1,517	)

(f) Swap agreements outstanding on December 31, 2007:

Credit Default Swaps on Securities

Counterparty	Reference Entity	Buy/Sell Protection (1)	(Pay)/Receive Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Bank of America	AutoZone, Inc. 5.875% due 10/15/2012	Buy	(0.520	%)	12/20/2012	$	1,500	$	(8	)
Bank of America	Dominion Resources, Inc. 5.200% due 01/15/2016	Buy	(0.455	%)	03/20/2016		3,000		21
Bank of America	Gannett Co., Inc. 6.375% due 04/01/2012	Buy	(0.680	%)	09/20/2012		9,100		50
Bank of America	Kohl’s Corp. 6.300% due 03/01/2011	Buy	(0.300	%)	09/20/2012		3,900		85
Bank of America	Lowe’s Cos., Inc. 8.250% due 06/01/2010	Buy	(0.520	%)	12/20/2012		11,500		(28	)
Bank of America	RadioShack Corp. 7.375% due 05/15/2011	Buy	(1.290	%)	06/20/2011		2,100		22
Bank of America	SCANA Corp. 6.250% due 02/01/2012	Buy	(0.380	%)	03/20/2012		10,000		(10	)
Bank of America	Sherwin-Williams Co. 7.375% due 02/01/2027	Buy	(0.230	%)	09/20/2012		5,800		47
Bank of America	SLM Corp. 5.125% due 08/27/2012	Sell	2.950	%	03/20/2013		4,300		(5	)
Bank of America	Sprint Capital Corp. 8.375% due 03/15/2012	Sell	0.316	%	06/20/2011		24,000		(610	)
Bank of America	TJX Cos., Inc. 7.450% due 12/15/2009	Buy	(0.330	%)	09/20/2012		5,800		28
Bank of America	Whirlpool Corp. 7.750% due 07/15/2016	Buy	(0.320	%)	09/20/2012		2,600		39
Bank of America	Yum! Brands, Inc. 7.650% due 05/15/2008	Buy	(0.080	%)	06/20/2008		3,200		0
Barclays Bank PLC	Bank of America Corp. 6.250% due 04/15/2012	Sell	0.280	%	09/20/2012		20,000		(169	)
Barclays Bank PLC	Citigroup, Inc. 6.500% due 01/18/2011	Sell	0.290	%	09/20/2012		20,000		(360	)
Barclays Bank PLC	CNA Financial Corp. 6.000% due 08/15/2011	Buy	(0.285	%)	09/20/2011		2,000		28
Barclays Bank PLC	Daimler Finance N.A. LLC 5.750% due 09/08/2011	Buy	(0.535	%)	09/20/2011		2,000		(9	)
Barclays Bank PLC	General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.630	%	12/20/2012		4,200		(1	)
Barclays Bank PLC	Masco Corp. 5.875% due 07/15/2012	Buy	(0.630	%)	06/20/2012		1,300		44
Barclays Bank PLC	Mattel, Inc. 6.125% due 06/15/2011	Buy	(0.330	%)	06/20/2012		2,400		41
Barclays Bank PLC	Nordstrom, Inc. 6.950% due 03/15/2028	Buy	(0.245	%)	12/20/2012		7,500		98
Barclays Bank PLC	Pulte Homes, Inc. 7.875% due 08/01/2011	Buy	(0.670	%)	03/20/2012		2,900		329
Barclays Bank PLC	Sealed Air Corp. 6.950% due 05/15/2009	Buy	(0.200	%)	06/20/2009		1,600		1
Bear Stearns & Co., Inc.	Black & Decker Corp. 7.125% due 06/01/2011	Buy	(0.400	%)	09/20/2012		1,800		28
Bear Stearns & Co., Inc.	CenturyTel, Inc. 7.875% due 08/15/2012	Buy	(0.355	%)	06/20/2010		2,100		(1	)
Bear Stearns & Co., Inc.	Citigroup, Inc. 6.500% due 01/18/2011	Sell	0.290	%	09/20/2012		20,000		(360	)
Bear Stearns & Co., Inc.	Comcast Corp. 5.300% due 01/15/2014	Buy	(0.390	%)	03/20/2014		2,000		24
Bear Stearns & Co., Inc.	Countrywide Financial Corp. 6.250% due 05/15/2016	Buy	(0.710	%)	06/20/2016		4,000		1,533
Bear Stearns & Co., Inc.	Diamond Offshore Drilling, Inc. 0.000% due 06/06/2020	Buy	(0.210	%)	06/20/2012		3,300		13
Bear Stearns & Co., Inc.	EnCana Corp. 4.750% due 10/15/2013	Sell	0.530	%	09/20/2009		7,000		36
Bear Stearns & Co., Inc.	HSBC Finance Corp. floating rate based on 3-Month USD-LIBOR plus 0.430% due 06/01/2016	Buy	(0.220	%)	06/20/2016		2,000		25
Bear Stearns & Co., Inc.	International Paper Co. 5.850% due 10/30/2012	Buy	(0.490	%)	06/20/2012		5,200		(2	)
Bear Stearns & Co., Inc.	International Paper Co. 5.850% due 10/30/2012	Buy	(0.460	%)	06/20/2012		1,000		1
Bear Stearns & Co., Inc.	Johnson Controls, Inc. 5.250% due 01/15/2011	Buy	(0.240	%)	03/20/2011		2,000		0
Bear Stearns & Co., Inc.	Johnson Controls, Inc. 5.500% due 01/15/2016	Buy	(0.500	%)	03/20/2016		2,000		(2	)
Bear Stearns & Co., Inc.	Kraft Foods, Inc. 5.625% due 11/01/2011	Buy	(0.150	%)	12/20/2011		2,000		22
Bear Stearns & Co., Inc.	Loews Corp. 5.250% due 03/15/2016	Buy	(0.280	%)	03/20/2016		2,000		17
Bear Stearns & Co., Inc.	MeadWestvaco Corp. 6.850% due 04/01/2012	Buy	(0.570	%)	06/20/2012		4,300		13
Bear Stearns & Co., Inc.	Viacom, Inc. 5.750% due 04/30/2011	Buy	(0.470	%)	06/20/2011		3,000		2
Bear Stearns & Co., Inc.	Wells Fargo & Co. 5.000% due 11/15/2014	Sell	0.210	%	09/20/2012		20,000		(320	)
Bear Stearns & Co., Inc.	Weyerhaeuser Co. 6.750% due 03/15/2012	Buy	(0.520	%)	06/20/2012		5,300		75
Bear Stearns & Co., Inc.	Weyerhaeuser Co. 6.750% due 03/15/2012	Buy	(0.480	%)	06/20/2012		500		8
BNP Paribas Bank	Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	0.265	%	03/20/2011		2,800		(86	)
BNP Paribas Bank	Masco Corp. 5.875% due 07/15/2012	Buy	(0.950	%)	03/20/2017		2,200		74
BNP Paribas Bank	SLM Corp. 5.125% due 08/27/2012	Sell	2.870	%	12/20/2012		5,000		(22	)
BNP Paribas Bank	Union Pacific Corp. 6.125% due 01/15/2012	Buy	(0.215	%)	06/20/2011		1,900		6
Citibank N.A.	AutoZone, Inc. 6.500% due 07/15/2008	Buy	(0.160	%)	09/20/2008		2,100		(1	)
Citibank N.A.	Bear Stearns Cos., Inc. 5.300% due 10/30/2015	Sell	0.480	%	09/20/2012		4,900		(264	)
Citibank N.A.	Clorox Co. 6.125% due 02/01/2011	Buy	(0.350	%)	09/20/2012		3,000		15
Citibank N.A.	CNA Financial Corp. 5.850% due 12/15/2014	Buy	(0.470	%)	12/20/2014		2,000		53
Citibank N.A.	Coca-Cola Enterprises, Inc. 6.125% due 08/15/2011	Buy	(0.140	%)	06/20/2012		4,300		17
Citibank N.A.	Dominion Resources, Inc. 5.200% due 01/15/2016	Sell	0.670	%	06/20/2015		3,900		35
Citibank N.A.	Kohl’s Corp. 6.300% due 03/01/2011	Buy	(0.330	%)	09/20/2012		3,000		61
Citibank N.A.	Nabors Industries, Inc. 5.375% due 08/15/2012	Buy	(0.480	%)	06/20/2012		1,400		(2	)
Citibank N.A.	Nordstrom, Inc. 6.950% due 03/15/2028	Buy	(0.240	%)	09/20/2012		2,100		25
Citibank N.A.	Raytheon Co. 7.200% due 08/15/2027	Buy	(0.090	%)	06/20/2009		2,000		0
Credit Suisse USA, Inc.	Avon Products, Inc. 5.125% due 01/15/2011	Buy	(0.150	%)	03/20/2011		3,000		7
Credit Suisse USA, Inc.	Bear Stearns Cos., Inc. 5.300% due 10/30/2015	Sell	1.100	%	09/20/2012		10,000		(286	)
Credit Suisse USA, Inc.	Burlington Northern and Santa Fe Railway Co. 4.300% due 07/01/2013	Buy	(0.259	%)	09/20/2012		4,000		13
Credit Suisse USA, Inc.	CBS Corp. 4.625% due 05/15/2018	Buy	(0.600	%)	09/20/2012		8,400		25
Credit Suisse USA, Inc.	CVS Caremark Corp. 5.750% due 08/15/2011	Buy	(0.250	%)	09/20/2011		2,000		4
Credit Suisse USA, Inc.	Dow Chemical Co. 6.000% due 10/01/2012	Buy	(0.259	%)	09/20/2012		2,700		14
Credit Suisse USA, Inc.	EnCana Corp. 4.750% due 10/15/2013	Sell	0.320	%	03/20/2010		2,000		3
Credit Suisse USA, Inc.	International Game Technology 0.000% convertible until 01/29/2033	Sell	0.350	%	03/20/2010		1,800		2
Credit Suisse USA, Inc.	Multiple Reference Entities of Gazprom	Sell	1.000	%	11/20/2008		7,900		(10	)
Credit Suisse USA, Inc.	Staples, Inc. 7.375% due 10/01/2012	Buy	(0.280	%)	06/20/2012		2,500		31
Deutsche Bank AG	Diamond Offshore Drilling, Inc. 0.000% due 06/06/2020	Buy	(0.230	%)	06/20/2012		700		2
Deutsche Bank AG	GlobalSantaFe Corp. 5.000% due 02/15/2013	Buy	(0.530	%)	06/20/2012		4,200		(54	)
Deutsche Bank AG	GlobalSantaFe Corp. 5.000% due 02/15/2013	Buy	(0.500	%)	06/20/2012		1,500		(17	)
Deutsche Bank AG	Kaupthing Bank HF 5.750% due 10/04/2011	Buy	(0.530	%)	12/20/2011		3,200		263
Deutsche Bank AG	Kaupthing Bank HF 6.125% due 10/04/2016	Buy	(0.600	%)	12/20/2016		2,000		236
Deutsche Bank AG	Masco Corp. 5.875% due 07/15/2012	Buy	(0.540	%)	06/20/2012		1,300		49
Deutsche Bank AG	Noble Corp. 5.875% due 06/01/2013	Buy	(0.510	%)	06/20/2012		1,400		(3	)
Deutsche Bank AG	SLM Corp. 5.125% due 08/27/2012	Sell	2.900	%	12/20/2012		2,000		(6	)
Deutsche Bank AG	Toll Brothers Finance Corp. 6.875% due 11/15/2012	Buy	(1.155	%)	06/20/2012		3,200		176
Goldman Sachs & Co.	Anadarko Petroleum Corp. 6.125% due 03/15/2012	Sell	0.150	%	03/20/2008		1,600		0
Goldman Sachs & Co.	AutoZone, Inc. 5.875% due 10/15/2012	Buy	(0.340	%)	06/20/2012		1,900		3
Goldman Sachs & Co.	Centex Corp. 5.250% due 06/15/2015	Buy	(0.849	%)	03/20/2017		1,700		242
Goldman Sachs & Co.	ConAgra Foods, Inc. 7.000% due 10/01/2028	Buy	(0.299	%)	06/20/2012		3,000		(5	)
Goldman Sachs & Co.	ConocoPhillips 4.750% due 10/15/2012	Sell	0.210	%	03/20/2010		5,000		(1	)
Goldman Sachs & Co.	International Lease Finance Corp. 5.250% due 01/10/2013	Buy	(0.200	%)	03/20/2013		5,000		86
Goldman Sachs & Co.	Kohl’s Corp. 6.300% due 03/01/2011	Buy	(0.220	%)	06/20/2012		1,900		43
Goldman Sachs & Co.	Macy’s Retail Holdings, Inc. 6.625% due 04/01/2011	Buy	(0.530	%)	06/20/2012		1,900		62
Goldman Sachs & Co.	Morgan Stanley 6.600% due 04/01/2012	Sell	0.900	%	09/20/2012		4,400		(14	)
Goldman Sachs & Co.	Newell Rubbermaid, Inc. 6.350% until 07/15/2008 and variable thereafter, due 07/15/2028	Buy	(0.319	%)	12/20/2012		6,300		6
Goldman Sachs & Co.	VF Corp. 8.500% due 10/01/2010	Buy	(0.220	%)	06/20/2012		1,800		12
Goldman Sachs & Co.	VF Corp. 8.500% due 10/01/2010	Buy	(0.450	%)	12/20/2012		5,200		(10	)
Goldman Sachs & Co.	Weyerhaeuser Co. 6.750% due 03/15/2012	Buy	(1.018	%)	03/20/2017		1,700		20
Goldman Sachs & Co.	Whirlpool Corp. 7.750% due 07/15/2016	Buy	(0.630	%)	06/20/2012		900		0
HSBC Bank USA	Time Warner, Inc. 6.875% due 05/01/2012	Sell	0.570	%	09/20/2010		5,000		(3	)
JPMorgan Chase & Co.	American International Group, Inc. 4.250% due 05/15/2013	Sell	0.350	%	06/20/2010		2,000		(14	)
JPMorgan Chase & Co.	Apache Corp. 6.250% due 04/15/2012	Sell	0.200	%	03/20/2010		6,300		0
JPMorgan Chase & Co.	Bear Stearns Cos., Inc. 5.300% due 10/30/2015	Sell	0.670	%	09/20/2012		700		(32	)
JPMorgan Chase & Co.	Centex Corp. 5.250% due 06/15/2015	Buy	(0.820	%)	06/20/2012		1,600		175
JPMorgan Chase & Co.	EnCana Corp. 4.750% due 10/15/2013	Sell	0.330	%	09/20/2010		5,000		0
JPMorgan Chase & Co.	Gannett Co., Inc. 5.750% due 06/01/2011	Buy	(0.330	%)	06/20/2011		4,150		50
JPMorgan Chase & Co.	Halliburton Co. 5.500% due 10/15/2010	Sell	0.290	%	03/20/2010		7,000		22
JPMorgan Chase & Co.	International Paper Co. 5.850% due 10/30/2012	Buy	(0.490	%)	06/20/2012		4,300		(1	)
JPMorgan Chase & Co.	MeadWestvaco Corp. 6.850% due 04/01/2012	Buy	(0.528	%)	06/20/2012		1,200		6
JPMorgan Chase & Co.	Merrill Lynch & Co., Inc. 5.000% due 01/15/2015	Buy	(0.850	%)	12/20/2012		3,300		59
JPMorgan Chase & Co.	Occidental Petroleum Corp. 6.750% due 01/15/2012	Sell	0.250	%	03/20/2010		7,000		5
JPMorgan Chase & Co.	Temple-Inland, Inc. 6.750% due 03/01/2009	Buy	(0.280	%)	03/20/2009		2,600		1
JPMorgan Chase & Co.	Toll Brothers Finance Corp. 6.875% due 11/15/2012	Buy	(0.800	%)	06/20/2012		1,300		88
JPMorgan Chase & Co.	Weyerhaeuser Co. 6.750% due 03/15/2012	Buy	(0.530	%)	06/20/2012		3,000		41
Lehman Brothers, Inc.	Bear Stearns Cos., Inc. 5.300% due 10/30/2015	Sell	0.480	%	09/20/2012		4,200		(226	)
Lehman Brothers, Inc.	Dow Chemical Co. 6.000% due 10/01/2012	Buy	(0.249	%)	09/20/2012		6,300		36
Lehman Brothers, Inc.	Lennar Corp. 5.950% due 03/01/2013	Buy	(1.130	%)	06/20/2012		4,400		719
Lehman Brothers, Inc.	Lennar Corp. 5.950% due 03/01/2013	Buy	(1.090	%)	06/20/2012		1,100		181
Lehman Brothers, Inc.	Masco Corp. 5.875% due 07/15/2012	Buy	(0.589	%)	06/20/2012		700		25
Lehman Brothers, Inc.	MeadWestvaco Corp. 6.850% due 04/01/2012	Buy	(0.510	%)	06/20/2012		1,000		6
Lehman Brothers, Inc.	Morgan Stanley floating rate based on 3-Month USD-LIBOR plus 0.450% due 10/18/2016	Buy	(0.340	%)	12/20/2016		3,000		117
Lehman Brothers, Inc.	Nabors Industries, Inc. 0.000% due 02/05/2021	Buy	(0.470	%)	06/20/2012		500		0
Lehman Brothers, Inc.	Nordstrom, Inc. 6.950% due 03/15/2028	Buy	(0.179	%)	06/20/2012		1,300		16
Lehman Brothers, Inc.	Nordstrom, Inc. 6.950% due 03/15/2028	Buy	(0.280	%)	09/20/2012		5,800		58
Lehman Brothers, Inc.	Norfolk Southern Corp. 7.700% due 05/15/2017	Buy	(0.250	%)	12/20/2012		9,100		47
Lehman Brothers, Inc.	Proctor & Gamble Co. 4.950% due 08/15/2014	Sell	0.070	%	09/20/2008		7,500		(4	)
Lehman Brothers, Inc.	Weyerhaeuser Co. 6.750% due 03/15/2012	Buy	(0.450	%)	06/20/2012		900		15
Merrill Lynch & Co., Inc.	Bank of America Corp. floating rate based on 3-Month USD-LIBOR plus 0.260% due 10/14/2016	Buy	(0.170	%)	12/20/2016		5,000		147
Merrill Lynch & Co., Inc.	Burlington Northern and Santa Fe Railway Co. 4.300% due 07/01/2013	Buy	(0.270	%)	09/20/2012		4,800		14
Merrill Lynch & Co., Inc.	Burlington Northern and Santa Fe Railway Co. 4.300% due 07/01/2013	Buy	(0.250	%)	12/20/2012		3,100		14
Merrill Lynch & Co., Inc.	Burlington Northern and Santa Fe Railway Co. 4.300% due 07/01/2013	Buy	(0.230	%)	12/20/2012		5,700		30
Merrill Lynch & Co., Inc.	Burlington Resources Finance Co. 6.400% due 08/15/2011	Sell	0.280	%	03/20/2010		5,000		1
Merrill Lynch & Co., Inc.	Canadian Natural Resources Ltd. 5.450% due 10/01/2012	Sell	0.320	%	03/20/2010		5,000		1
Merrill Lynch & Co., Inc.	Centex Corp. 5.250% due 06/15/2015	Buy	(0.450	%)	03/20/2012		2,500		295
Merrill Lynch & Co., Inc.	Exelon Corp. 6.750% due 05/01/2011	Buy	(0.290	%)	06/20/2011		3,200		27
Merrill Lynch & Co., Inc.	GMAC LLC 5.125% due 05/09/2008	Sell	2.100	%	09/20/2008		25,000		(978	)
Merrill Lynch & Co., Inc.	Norfolk Southern Corp. 7.700% due 05/15/2017	Buy	(0.240	%)	12/20/2012		7,000		40
Merrill Lynch & Co., Inc.	Union Pacific Corp. 6.625% due 02/01/2029	Buy	(0.270	%)	12/20/2012		2,000		11
Merrill Lynch & Co., Inc.	Union Pacific Corp. 6.625% due 02/01/2029	Buy	(0.250	%)	12/20/2012		6,300		39
Merrill Lynch & Co., Inc.	XTO Energy, Inc. 6.250% due 04/15/2013	Sell	0.380	%	03/20/2010		5,000		20
Morgan Stanley	Altria Group, Inc. 7.000% due 11/04/2013	Sell	1.090	%	09/20/2010		10,000		231
Morgan Stanley	American Electric Power Co., Inc. 5.375% due 03/15/2010	Sell	0.410	%	09/20/2011		2,000		5
Morgan Stanley	Black & Decker Corp. 7.125% due 06/01/2011	Buy	(0.420	%)	12/20/2012		3,400		57
Morgan Stanley	Black & Decker Corp. 7.125% due 06/01/2011	Buy	(0.400	%)	12/20/2012		7,600		133
Morgan Stanley	Darden Restaurants, Inc. 7.125% due 02/01/2016	Buy	(0.490	%)	06/20/2012		1,800		19
Morgan Stanley	DTE Energy Co. 7.050% due 06/01/2011	Buy	(0.650	%)	09/20/2016		2,000		(7	)
Morgan Stanley	General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.160	%	06/20/2011		10,000		(141	)
Morgan Stanley	Kroger Co. 5.500% due 02/01/2013	Buy	(0.560	%)	03/20/2013		3,000		(27	)
Morgan Stanley	Marsh & McLennan Cos., Inc. 5.150% due 09/15/2010	Buy	(0.590	%)	09/20/2010		10,000		(59	)
Morgan Stanley	MeadWestvaco Corp. 6.850% due 04/01/2012	Buy	(0.540	%)	06/20/2012		400		2
Morgan Stanley	Noble Corp. 5.875% due 06/01/2013	Buy	(0.522	%)	06/20/2012		4,300		(11	)
Morgan Stanley	Office Depot, Inc. 6.250% due 08/15/2013	Buy	(0.450	%)	06/20/2012		1,900		103
Morgan Stanley	Omnicom Group, Inc. 5.900% due 04/15/2016	Buy	(0.390	%)	06/20/2016		3,800		30
Morgan Stanley	Pulte Homes, Inc. 7.875% due 08/01/2011	Buy	(1.250	%)	06/20/2012		500		48
Morgan Stanley	Pulte Homes, Inc. 7.875% due 08/01/2011	Buy	(1.030	%)	06/20/2012		1,700		177
Morgan Stanley	Sherwin-Williams Co. 7.375% due 02/01/2027	Buy	(0.230	%)	09/20/2012		3,400		27
Morgan Stanley	Sherwin-Williams Co. 7.375% due 02/01/2027	Buy	(0.280	%)	12/20/2012		3,400		23
Morgan Stanley	Sherwin-Williams Co. 7.375% due 02/01/2027	Buy	(0.260	%)	12/20/2012		5,200		41
Morgan Stanley	TJX Cos., Inc. 7.450% due 12/15/2009	Buy	(0.330	%)	09/20/2012		3,400		16
Morgan Stanley	VF Corp. 8.500% due 10/01/2010	Buy	(0.470	%)	12/20/2012		4,500		(12	)
Morgan Stanley	Viacom, Inc. 6.250% due 04/30/2016	Sell	0.510	%	06/20/2011		8,000		6
Morgan Stanley	Walt Disney Co. 6.375% due 03/01/2012	Buy	(0.180	%)	06/20/2011		1,300		3
Morgan Stanley	Whirlpool Corp. 7.750% due 07/15/2016	Buy	(0.500	%)	06/20/2012		2,900		16
Morgan Stanley	Whirlpool Corp. 7.750% due 07/15/2016	Buy	(0.780	%)	03/20/2017		1,700		9
Morgan Stanley	Wyeth 5.500% due 03/15/2013	Buy	(0.150	%)	03/20/2013		2,500		15
Royal Bank of Scotland Group PLC	AutoZone, Inc. 5.500% due 11/15/2015	Buy	(0.810	%)	12/20/2015		2,500		(46	)
Royal Bank of Scotland Group PLC	AutoZone, Inc. 5.875% due 10/15/2012	Buy	(0.390	%)	09/20/2012		5,400		2
Royal Bank of Scotland Group PLC	AutoZone, Inc. 5.875% due 10/15/2012	Buy	(0.340	%)	12/20/2012		8,400		28
Royal Bank of Scotland Group PLC	AutoZone, Inc. 5.875% due 10/15/2012	Buy	(0.330	%)	12/20/2012		9,000		34
Royal Bank of Scotland Group PLC	ERP Operating LP 3.850% due 08/15/2026	Buy	(0.255	%)	09/20/2011		3,800		37
Royal Bank of Scotland Group PLC	H.J. Heinz Finance Co. 6.000% due 03/15/2012	Buy	(0.380	%)	03/20/2012		3,100		(12	)
Royal Bank of Scotland Group PLC	Kohl’s Corp. 6.300% due 03/01/2011	Buy	(0.420	%)	12/20/2012		7,700		146
Royal Bank of Scotland Group PLC	Kohl’s Corp. 6.300% due 03/01/2011	Buy	(0.410	%)	12/20/2012		9,700		188
Royal Bank of Scotland Group PLC	Landsbanki Islands HF floating rate based on 3-Month USD-LIBOR plus 0.700% due 08/25/2009	Buy	(0.330	%)	09/20/2009		2,000		50
Royal Bank of Scotland Group PLC	MeadWestvaco Corp. 6.850% due 04/01/2012	Buy	(0.570	%)	06/20/2012		4,100		13
Royal Bank of Scotland Group PLC	Morgan Stanley floating rate based on 3-Month USD-LIBOR plus 0.450% due 10/18/2016	Buy	(0.320	%)	12/20/2016		4,000		162
Royal Bank of Scotland Group PLC	Morgan Stanley floating rate based on 3-Month USD-LIBOR plus 0.480% due 10/15/2015	Buy	(0.275	%)	12/20/2015		2,000		83
Royal Bank of Scotland Group PLC	Newell Rubbermaid, Inc. 6.350% until 07/15/2008 and variable thereafter, due 07/15/2028	Buy	(0.290	%)	09/20/2012		3,600		6
Royal Bank of Scotland Group PLC	Newell Rubbermaid, Inc. 6.750% due 03/15/2012	Buy	(0.230	%)	06/20/2012		3,500		11
Royal Bank of Scotland Group PLC	Southwest Airlines Co. 6.500% due 03/01/2012	Buy	(0.480	%)	09/20/2012		6,300		46
Royal Bank of Scotland Group PLC	Staples, Inc. 7.375% due 10/01/2012	Buy	(0.330	%)	12/20/2012		6,000		86
Royal Bank of Scotland Group PLC	TJX Cos., Inc. 7.450% due 12/15/2009	Buy	(0.270	%)	12/20/2012		5,600		48
Royal Bank of Scotland Group PLC	TJX Cos., Inc. 7.450% due 12/15/2009	Buy	(0.250	%)	12/20/2012		12,900		123
Royal Bank of Scotland Group PLC	Whirlpool Corp. 7.750% due 07/15/2016	Buy	(0.380	%)	12/20/2012		15,300		219
UBS Warburg LLC	Black & Decker Corp. 7.125% due 06/01/2011	Buy	(0.450	%)	09/20/2012		6,000		81
UBS Warburg LLC	Canadian Natural Resources Ltd. 5.450% due 10/01/2012	Sell	0.420	%	09/20/2010		5,000		9
UBS Warburg LLC	Clorox Co. 6.125% due 02/01/2011	Buy	(0.330	%)	09/20/2012		5,700		33
UBS Warburg LLC	Clorox Co. 6.125% due 02/01/2011	Buy	(0.420	%)	12/20/2012		2,800		7
UBS Warburg LLC	DR Horton, Inc. 5.375% due 06/15/2012	Buy	(1.370	%)	06/20/2012		5,800		497
UBS Warburg LLC	Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	3.760	%	09/20/2010		1,600		(87	)
UBS Warburg LLC	Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.900	%	09/20/2012		10,000		124
UBS Warburg LLC	International Paper Co. 5.850% due 10/30/2012	Buy	(0.450	%)	06/20/2012		1,100		2
UBS Warburg LLC	Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	0.755	%	09/20/2012		20,000		(320	)
UBS Warburg LLC	Nordstrom, Inc. 6.950% due 03/15/2028	Buy	(0.230	%)	12/20/2012		9,800		135
UBS Warburg LLC	Staples, Inc. 7.375% due 10/01/2012	Buy	(0.720	%)	12/20/2012		3,300		(12	)
UBS Warburg LLC	Time Warner, Inc. 6.875% due 05/01/2012	Sell	0.290	%	06/20/2009		11,000		(12	)
UBS Warburg LLC	Toll Brothers Finance Corp. 6.875% due 11/15/2012	Buy	(1.010	%)	06/20/2012		1,000		60
Wachovia Bank N.A.	General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.160	%	06/20/2011		10,000		(141	)
Wachovia Bank N.A.	Hess Corp. 6.650% due 08/15/2011	Sell	0.150	%	03/20/2008		2,700		(1	)
Wachovia Bank N.A.	Ohio Edison Co. 5.450% due 05/01/2015	Sell	0.470	%	03/20/2010		10,000		23
								$	4,923

Credit Default Swaps on Credit Indices

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
Bank of America	Dow Jones CDX N.A. HV8 Index	Sell	0.750	%	06/20/2012	$	10,000	$	(167	)
Bank of America	Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016		9,000		257
Barclays Bank PLC	Dow Jones CDX N.A. IG8 Index	Sell	0.350	%	06/20/2012		26,900		(349	)
BNP Paribas Bank	Dow Jones CDX N.A. IG8 Index	Sell	0.350	%	06/20/2012		5,100		(85	)
Citibank N.A.	Dow Jones CDX N.A. IG3 Index	Sell	0.500	%	03/20/2010		7,341		(20	)
Credit Suisse USA, Inc.	Dow Jones CDX N.A. HV9 Index	Sell	1.400	%	12/20/2012		62,000		(782	)
Deutsche Bank AG	Dow Jones CDX N.A. IG8 Index	Sell	0.350	%	06/20/2012		100,000		(1,610	)
Goldman Sachs & Co.	Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016		3,000		88
JPMorgan Chase & Co.	Dow Jones CDX N.A. IG9 Index	Buy	(0.800	%)	12/20/2017		2,000		(1	)
Lehman Brothers, Inc.	Dow Jones CDX N.A. IG3 Index	Sell	0.500	%	03/20/2010		4,960		(14	)
Lehman Brothers, Inc.	Dow Jones CDX N.A. IG8 Index	Sell	0.350	%	06/20/2012		14,900		11
Merrill Lynch & Co., Inc.	Dow Jones CDX N.A. HY8 Index	Sell	1.070	%	06/20/2012		50,000		422
Merrill Lynch & Co., Inc.	Dow Jones CDX N.A. HY8 Index	Sell	1.100	%	06/20/2012		50,000		479
Morgan Stanley	Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016		22,100		560
Morgan Stanley	Dow Jones CDX N.A. IG8 Index	Sell	0.350	%	06/20/2012		8,900		(43	)
Morgan Stanley	Dow Jones CDX N.A. IG8 Index	Sell	0.600	%	06/20/2017		200,000		(340	)
								$	(1,594	)

⁽¹⁾ If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will pay to the buyer of the protection an amount up to the notional value of the swap and in certain instances, take delivery of the security. As a buyer of protection, the Portfolio will generally receive from the seller of protection an amount up to the notional amount of the swap if a credit event occurs.

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Barclays Bank PLC	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010	$	88,300	$	90
Barclays Bank PLC	3-Month USD-LIBOR	Pay	5.000	%	06/18/2010		34,100		106
Deutsche Bank AG	3-Month USD-LIBOR	Receive	5.000	%	06/18/2015		14,100		8
JPMorgan Chase & Co.	3-Month USD-LIBOR	Pay	4.000	%	06/18/2013		462,200		3,691
Morgan Stanley	3-Month USD-LIBOR	Receive	5.000	%	06/18/2018		29,000		(544	)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.000	%	06/18/2013		351,100		3,543
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	06/18/2018		102,100		(160	)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	06/18/2038		200		(5	)
								$	6,729

(g) Purchased options outstanding on December 31, 2007:

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Cost		Value
Call - OTC 2-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Pay	5.000	%	08/28/2009	$	219,150	$	2,181	$	4,282
Call - OTC 2-Year Interest Rate Swap	JPMorgan Chase & Co.	3-Month USD-LIBOR	Pay	5.000	%	08/28/2009		138,700		1,300		2,710
Call - OTC 2-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	4.250	%	07/06/2009		117,500		1,178		1,391
Call - OTC 2-Year Interest Rate Swap	Merrill Lynch & Co., Inc.	3-Month USD-LIBOR	Pay	5.000	%	08/28/2009		119,100		1,195		2,327
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	12/15/2008		16,200		67		384
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.300	%	08/03/2009		176,600		2,478		4,237
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	08/28/2009		406,350		4,156		7,940
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	09/08/2009		283,400		2,990		4,674
									$	15,545	$	27,945

(h) Written options outstanding on December 31, 2007:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Value
Call - CBOT U.S. Treasury 10-Year Note March Futures	$	111.000	02/22/2008	367	$	154	$	1,043

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Value
Call - OTC 7-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Receive	5.320	%	08/28/2009	$	73,000	$	1,961	$	3,484
Call - OTC 7-Year Interest Rate Swap	Citibank N.A.	3-Month USD-LIBOR	Receive	5.580	%	08/03/2009		58,800		1,573		3,429
Call - OTC 7-Year Interest Rate Swap	JPMorgan Chase & Co.	3-Month USD-LIBOR	Receive	5.320	%	08/28/2009		44,300		1,176		2,114
Call - OTC 7-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	4.900	%	07/06/2009		33,100		935		1,136
Call - OTC 7-Year Interest Rate Swap	Merrill Lynch & Co., Inc.	3-Month USD-LIBOR	Receive	5.320	%	08/28/2009		38,900		1,054		1,857
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.200	%	12/15/2008		5,400		63		255
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.320	%	08/28/2009		135,200		3,704		6,453
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.150	%	09/08/2009		94,800		2,753		3,959
									$	13,219	$	22,687

(i) Restricted securities as of December 31, 2007:

Issuer Description	Coupon		Maturity Date	Acquisition Date	Cost		Market Value		Market Value as Percentage of Net Assets
Mazda Manufacturing Corp.	10.500	%	07/01/2008	03/28/2003	$	69	$	68	0.00	%
Mazda Motor Corp.	10.500	%	07/01/2008	03/28/2003		12		12	0.00	%
United Telecom, Inc.	6.890	%	07/01/2008	06/25/2003		1,013		1,004	0.05	%
Wilmington Trust Co.	10.500	%	07/01/2008	03/28/2003		47		46	0.00	%
					$	1,141	$	1,130	0.05	%

(j) Short sales outstanding on December 31, 2007:

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Value(2)
U.S. Treasury Bonds	4.500	%	02/15/2036	$	2,000	$	1,956	$	2,050
U.S. Treasury Bonds	4.750	%	08/15/2017		54,900		57,571		59,241
U.S. Treasury Bonds	4.750	%	02/15/2037		31,700		33,447		33,849
						$	92,974	$	95,140

⁽²⁾ Market value includes $1,942 of interest payable on short sales.

See accompanying notes

Schedule of Investments

Mortgage Portfolio

December 31, 2007 (Unaudited)

		Principal Amount (000s)		Value (000s)
CORPORATE BONDS & NOTES 0.0%
CVS Lease Pass-Through
6.036% due 12/10/2028	$	1,956	$	1,883
Total Corporate Bonds & Notes (Cost $1,955)				1,883
MUNICIPAL BONDS & NOTES 0.0%
Ennis, Texas Economic Development Corporations Revenue Bonds, (FGIC Insured), Series 1999
0.000% due 08/01/2034		7,990		1,682
Total Municipal Bonds & Notes (Cost $1,010)				1,682
U.S. GOVERNMENT AGENCIES 142.2%
Fannie Mae
0.000% due 06/25/2008 - 08/25/2022 (c)		52		49
4.000% due 02/25/2009		13		13
4.500% due 07/01/2018 - 01/01/2038		542,997		534,019
4.513% due 02/01/2035		3,559		3,559
4.639% due 07/01/2035		1,440		1,429
4.709% due 09/01/2035		10,332		10,349
4.718% due 03/01/2035		1,265		1,270
5.000% due 06/01/2013 - 01/01/2038		2,451,707		2,434,411
5.000% due 10/01/2035 - 02/01/2036 (h)		1,506,085		1,470,585
5.005% due 04/25/2035		3,582		3,582
5.055% due 04/01/2020		114		117
5.085% due 07/25/2032		497		497
5.136% due 02/01/2032		2,884		2,906
5.165% due 12/25/2028		72		73
5.225% due 02/25/2033		122		122
5.265% due 06/25/2029 - 06/25/2032		2,109		2,110
5.365% due 06/25/2030 - 07/25/2034		8,712		8,676
5.396% due 04/18/2028		95		95
5.446% due 10/18/2030		120		121
5.486% due 02/01/2030		747		764
5.500% due 05/01/2009 - 02/01/2038		4,038,064		4,050,256
5.500% due 11/01/2032 - 10/01/2035 (f)		205,076		205,067
5.500% due 09/01/2034 - 09/01/2036 (h)		235,344		235,168
5.503% due 05/01/2019		279		281
5.509% due 09/01/2017		239		238
5.515% due 09/25/2023		156		158
5.525% due 06/25/2022		1		1
5.527% due 11/01/2019 - 11/01/2020		27		27
5.546% due 04/01/2019		85		85
5.580% due 09/01/2020		24		24
5.600% due 03/01/2017 - 02/01/2018		24		24
5.609% due 10/01/2023 - 01/01/2029		354		356
5.610% due 12/01/2017		197		196
5.612% due 06/01/2029		26		27
5.614% due 08/01/2029		104		105
5.618% due 07/01/2024		17		17
5.620% due 05/01/2036		4,982		5,016
5.626% due 05/01/2036		102		103
5.628% due 05/01/2036		47		47
5.630% due 07/01/2017 - 11/01/2017		13		13
5.631% due 05/01/2036		34		34
5.633% due 10/01/2016 - 10/01/2031		556		556
5.642% due 03/01/2018		13		13
5.730% due 10/01/2016		80		81
5.750% due 07/01/2029		6		6
5.775% due 04/25/2021		3		3
5.800% due 11/01/2011		1,844		1,916
5.808% due 11/01/2024		4		4
5.848% due 02/01/2026		65		67
5.864% due 02/01/2015		72		72
5.875% due 06/01/2017 - 08/01/2023		43		43
5.950% due 02/25/2044		75		76
5.975% due 05/25/2023		104		106
6.000% due 03/25/2017 - 01/01/2038		1,779,427		1,807,867
6.027% due 11/01/2017		11		11
6.063% due 08/01/2042 - 10/01/2044		12,397		12,558
6.125% due 06/01/2017		55		55
6.200% due 01/01/2027		75		76
6.230% due 04/01/2030		9		9
6.246% due 08/01/2029		15		16
6.250% due 12/25/2013		1,115		1,135
6.252% due 10/01/2036		6,171		6,312
6.262% due 02/01/2009		4,152		4,159
6.263% due 09/01/2040 - 12/01/2040		536		540
6.290% due 02/25/2029		1,500		1,586
6.300% due 06/25/2031 - 10/17/2038		5,181		5,493
6.350% due 06/25/2020		2,450		2,490
6.390% due 05/25/2036		1,743		1,829
6.410% due 08/01/2016		960		1,026
6.450% due 05/01/2008 - 09/01/2016		6,126		6,369
6.488% due 08/01/2008		16,109		16,052
6.500% due 09/25/2008 (b)		2		0
6.500% due 02/25/2009 - 06/17/2038		930,404		956,754
6.518% due 11/01/2031		42		43
6.572% due 04/01/2032		17		17
6.610% due 12/01/2029		5		5
6.703% due 08/01/2028		1,407		1,565
6.811% due 11/01/2035		3,377		3,479
6.814% due 06/01/2023		57		58
6.825% due 08/01/2009 - 11/01/2026		4,495		4,607
6.850% due 12/18/2027		1,997		2,107
6.875% due 02/01/2018		149		150
6.900% due 09/01/2009		1,527		1,570
6.908% due 11/01/2031		68		69
6.996% due 02/01/2027		130		132
7.000% due 04/25/2008 - 07/25/2008 (b)		28		0
7.000% due 01/01/2016 - 01/01/2038		144,555		150,402
7.008% due 11/01/2025		128		130
7.015% due 05/01/2029		19		19
7.027% due 07/01/2032		79		80
7.032% due 01/01/2030		231		241
7.045% due 06/01/2019		11		12
7.090% due 05/01/2027		193		195
7.098% due 02/01/2026		13		13
7.107% due 11/01/2025		201		203
7.112% due 04/01/2022		73		75
7.125% due 06/01/2026		10		10
7.145% due 09/01/2028 - 06/01/2029		39		40
7.148% due 12/01/2031		25		26
7.171% due 03/01/2025		31		32
7.181% due 03/01/2024		42		43
7.184% due 10/01/2028		99		100
7.200% due 11/01/2023 - 12/01/2026		4		4
7.203% due 05/01/2026		49		49
7.210% due 05/01/2028		15		15
7.224% due 03/01/2030		435		453
7.250% due 02/01/2009 - 10/01/2011		3		3
7.259% due 04/01/2030		20		20
7.261% due 04/01/2030		164		165
7.277% due 09/01/2030		27		27
7.327% due 07/01/2024		17		18
7.455% due 09/01/2023		77		78
7.491% due 08/01/2014		8		8
7.500% due 12/01/2012 - 07/25/2041		4,694		5,031
7.720% due 02/01/2024		131		133
7.730% due 01/01/2025		992		1,064
7.800% due 10/25/2022 - 06/25/2026		295		316
8.000% due 11/01/2022 - 08/01/2030		17		18
8.025% due 05/01/2030		39		40
8.200% due 04/25/2025		648		667
8.500% due 02/01/2009 - 11/01/2017		214		228
8.750% due 11/25/2019		48		53
8.916% due 06/25/2032		392		415
9.000% due 03/01/2010 - 11/01/2025		237		258
9.000% due 05/25/2022 - 06/25/2022 (b)		47		12
9.500% due 11/01/2010 - 04/01/2025		564		631
15.500% due 10/01/2012		1		1
510.000% due 09/25/2019 (b)		0		5
839.670% due 08/25/2020 (b)		0		2
Farmer Mac
6.780% due 01/25/2013		2,160		2,178
8.411% due 04/25/2030		1,237		1,249
Federal Housing Administration
6.875% due 12/01/2016		286		289
6.896% due 07/01/2020		375		379
7.400% due 02/01/2021		482		488
7.430% due 07/01/2018 - 07/01/2024		6,292		6,376
Freddie Mac
0.000% due 01/15/2009 (c)		13		12
3.500% due 12/15/2022 - 07/15/2032		225		215
4.426% due 03/01/2033		189		189
4.500% due 04/15/2013 - 04/01/2020		967		965
5.000% due 09/15/2016 - 02/01/2038		1,212,452		1,186,937
5.015% due 12/25/2032		1		1
5.105% due 07/25/2031		21		21
5.115% due 05/25/2031		412		406
5.145% due 09/25/2031		52		52
5.228% due 03/15/2031		542		541
5.378% due 12/15/2029 - 12/15/2030		1,753		1,753
5.478% due 11/15/2030 - 12/15/2031		186		187
5.500% due 11/01/2028 - 02/01/2038		1,107,862		1,105,387
5.500% due 04/01/2037 (h)		718,902		717,530
5.512% due 03/15/2024 - 09/15/2026		657		658
5.523% due 07/01/2030		367		371
5.527% due 05/01/2017 - 09/01/2018		344		348
5.528% due 02/15/2028 - 03/15/2032		242		243
5.562% due 05/15/2023		2		2
5.578% due 03/15/2032		9		9
5.714% due 03/01/2032		174		180
5.778% due 08/15/2032		1,735		1,728
5.783% due 08/01/2018		91		91
5.875% due 12/01/2018		4		4
5.978% due 04/15/2031		9,982		10,115
6.000% due 03/01/2017 - 10/01/2037		847,527		860,259
6.000% due 08/01/2037 (h)		189,015		191,867
6.149% due 07/01/2019		143		144
6.228% due 07/15/2027		2,838		2,906
6.250% due 04/01/2019 - 12/15/2028		1,962		2,018
6.263% due 07/25/2044		32,135		32,134
6.373% due 03/01/2029		175		181
6.375% due 07/01/2019		69		70
6.500% due 08/15/2008 - 01/01/2038		220,351		226,712
6.500% due 10/15/2013 (b)		53		3
6.687% due 10/01/2023		1,158		1,153
6.875% due 05/01/2023		32		32
6.960% due 04/01/2025		41		41
7.000% due 01/15/2008 - 12/01/2032		1,924		1,997
7.000% due 07/15/2008 - 10/25/2023 (b)		75		13
7.062% due 03/01/2027		38		38
7.086% due 08/01/2029		90		91
7.097% due 10/01/2027		35		36
7.106% due 06/01/2022		61		61
7.123% due 10/01/2018		7		7
7.125% due 04/01/2018 - 09/01/2018		40		40
7.136% due 09/01/2027		72		72
7.147% due 01/01/2028		115		116
7.149% due 11/01/2027		172		175
7.153% due 06/01/2022		8		8
7.171% due 02/01/2029		461		465
7.194% due 08/01/2031		22		23
7.200% due 09/01/2027		25		25
7.209% due 04/01/2031		9		9
7.214% due 06/01/2024		45		46
7.219% due 09/01/2028		50		50
7.226% due 10/01/2024		177		178
7.235% due 05/01/2032		28		28
7.250% due 08/01/2031		2		2
7.254% due 07/01/2028		790		794
7.256% due 09/01/2026		445		451
7.267% due 11/01/2027		212		216
7.269% due 08/01/2027		23		23
7.273% due 11/01/2029		2,231		2,293
7.275% due 01/01/2029		4		4
7.288% due 10/01/2023 - 02/01/2031		126		127
7.292% due 11/01/2031		5		5
7.312% due 11/01/2027		25		25
7.325% due 05/01/2019 - 12/01/2029		403		408
7.334% due 07/01/2027		111		112
7.335% due 02/01/2027		106		107
7.342% due 05/01/2032		204		206
7.344% due 10/01/2024		121		122
7.350% due 07/01/2029		73		74
7.352% due 05/01/2032		1,123		1,153
7.364% due 07/01/2030		3		3
7.379% due 05/01/2032		794		797
7.385% due 12/01/2026		30		31
7.415% due 08/01/2030		18		18
7.459% due 09/01/2024		43		44
7.500% due 01/01/2008 - 06/01/2031		955		1,005
7.500% due 08/15/2029 (b)		32		5
7.645% due 05/01/2025		1,305		1,414
8.000% due 03/01/2009 - 09/01/2030		114		121
8.250% due 06/01/2008		1		1
8.500% due 12/01/2008 - 08/01/2027		405		431
9.000% due 12/15/2020 - 02/15/2021		470		475
9.050% due 06/15/2019		82		82
9.500% due 12/15/2020 - 06/01/2021		419		423
10.750% due 09/01/2009 - 05/01/2010		1		1
Ginnie Mae
3.250% due 07/16/2026		1,352		1,337
4.000% due 07/16/2026		1,352		1,344
4.500% due 01/01/2038		600		575
5.000% due 04/15/2033 - 12/15/2037		274,900		270,912
5.228% due 02/16/2032		97		97
5.299% due 06/20/2032		472		474
5.328% due 01/16/2031		31		31
5.428% due 06/16/2031 - 03/16/2032		1,322		1,329
5.478% due 10/16/2030		65		65
5.500% due 11/15/2028 - 01/01/2038		695,333		700,682
5.528% due 02/16/2030 - 04/16/2032		1,033		1,041
5.578% due 12/16/2025		729		736
5.625% due 08/20/2017 - 07/20/2035		54,022		54,252
5.628% due 02/16/2030		116		117
5.678% due 02/16/2030		112		113
5.750% due 02/20/2032		175		176
5.875% due 11/20/2031		2,943		2,976
5.899% due 03/20/2031		5,234		5,280
5.949% due 02/20/2031		3,166		3,179
6.000% due 12/15/2008 - 01/01/2038		295,589		302,586
6.000% due 08/15/2036 - 08/15/2037 (h)		312,689		320,249
6.125% due 10/20/2018 - 01/20/2030		7,948		8,054
6.250% due 01/20/2028 - 03/20/2030		4,960		5,111
6.375% due 04/20/2017 - 05/20/2032		29,321		29,677
6.500% due 05/15/2009 - 09/15/2037		142,522		147,277
6.625% due 11/20/2020		2		2
6.875% due 04/20/2019		40		41
6.921% due 03/16/2041		4,972		5,586
7.000% due 09/15/2012 - 02/16/2029		1,637		1,713
7.270% due 12/15/2040		1,735		1,823
7.500% due 12/15/2022 - 11/15/2031		2,354		2,487
7.750% due 10/15/2025		21		22
8.000% due 09/15/2008 - 09/20/2031		6,559		7,113
8.500% due 06/15/2027 - 03/20/2031		1,085		1,180
9.000% due 04/15/2020 - 08/20/2030		102		111
9.500% due 12/15/2021		68		75
Small Business Administration
6.344% due 08/01/2011		326		335
6.640% due 02/01/2011		410		423
7.190% due 12/01/2019		412		435
7.220% due 11/01/2020		980		1,042
7.449% due 08/01/2010		335		342
8.017% due 02/10/2010		73		76
Vendee Mortgage Trust
6.500% due 05/15/2008 - 03/15/2029		2,535		2,663
Total U.S. Government Agencies (Cost $18,003,924)				18,228,421
U.S. TREASURY OBLIGATIONS 0.6%
U.S. Treasury Bonds
4.750% due 08/15/2017		71,900		75,961
Total U.S. Treasury Obligations (Cost $75,537)				75,961
MORTGAGE-BACKED SECURITIES 6.6%
Adjustable Rate Mortgage Trust
5.036% due 03/25/2035		34,750		34,564
5.132% due 09/25/2035		3,810		3,784
American Home Mortgage Investment Trust
4.290% due 10/25/2034		10,304		10,125
4.440% due 02/25/2045		4,925		4,805
Banc of America Mortgage Securities, Inc.
4.250% due 04/25/2034		206		205
6.500% due 10/25/2031		251		255
7.330% due 06/20/2031		534		525
7.363% due 07/20/2032		81		83
Banc of America Structural Security Trust
5.738% due 10/11/2033		428		425
Bear Stearns Adjustable Rate Mortgage Trust
4.125% due 03/25/2035		36,661		36,239
4.486% due 02/25/2034		5,863		5,789
4.550% due 08/25/2035		19,464		19,173
4.780% due 11/25/2034		4,921		4,896
4.956% due 01/25/2035		3,702		3,674
5.789% due 02/25/2033		59		59
6.267% due 11/25/2030		23		22
6.534% due 01/25/2034		32		33
Bear Stearns Alt-A Trust
5.368% due 05/25/2035		1,570		1,552
5.527% due 09/25/2035		24,860		24,497
5.902% due 01/25/2036		3,403		3,319
Bear Stearns Commercial Mortgage Securities
5.060% due 11/15/2016		53		53
7.000% due 05/20/2030		1,818		2,043
Bear Stearns Mortgage Securities, Inc.
6.299% due 06/25/2030		104		106
Bear Stearns Structured Products, Inc.
4.989% due 01/25/2037		7,606		7,528
5.684% due 01/26/2036		7,474		7,407
5.787% due 12/26/2046		4,218		4,167
CC Mortgage Funding Corp.
5.045% due 05/25/2036		1,183		1,084
5.115% due 08/25/2035		986		918
5.342% due 01/25/2035		1,165		949
Citicorp Mortgage Securities, Inc.
5.500% due 12/25/2019		28		27
6.500% due 02/25/2024		750		748
Citigroup Commercial Mortgage Trust
5.098% due 08/15/2021		1,943		1,880
Citigroup Mortgage Loan Trust, Inc.
4.098% due 08/25/2035		3,297		3,221
4.248% due 08/25/2035		21,085		20,674
4.679% due 08/25/2035		3,924		3,875
4.748% due 08/25/2035		9,555		9,427
Collateralized Mortgage Obligation Trust
0.000% due 09/23/2017 (c)		5		5
Commercial Mortgage Pass-Through Certificates
6.455% due 05/15/2032		5,201		5,217
Countrywide Alternative Loan Trust
4.935% due 10/25/2046		64		64
5.000% due 06/25/2033		676		676
5.075% due 05/25/2035		3,479		3,354
5.085% due 05/25/2035		634		595
5.099% due 05/20/2046		98		97
5.115% due 05/25/2035		939		932
5.145% due 02/25/2037		367		347
6.000% due 10/25/2032		502		504
Countrywide Home Loan Mortgage Pass-Through Trust
3.876% due 11/19/2033		78		78
4.500% due 01/25/2033		280		280
4.801% due 11/25/2034		3,718		3,693
5.135% due 05/25/2034		33		33
5.155% due 04/25/2035		2,115		2,003
5.175% due 03/25/2035		6,426		6,109
5.185% due 03/25/2035		30,629		29,035
5.195% due 02/25/2035		1,940		1,875
5.205% due 02/25/2035		63		59
5.455% due 08/25/2034		4,743		4,753
6.141% due 08/25/2034		2,756		2,741
7.000% due 07/19/2031		10		10
7.540% due 11/19/2033		31		30
CS First Boston Mortgage Securities Corp.
4.832% due 04/15/2037		3,000		2,890
6.700% due 06/25/2032		6		6
7.290% due 09/15/2041		53		54
Denver Arena Trust
6.940% due 11/15/2019		9,974		10,102
DLJ Commercial Mortgage Corp.
6.410% due 02/18/2031		22		22
7.340% due 10/10/2032		5,561		5,768
DLJ Mortgage Acceptance Corp.
7.178% due 11/25/2023		17		17
Fairfax Funding Trust
6.483% due 04/02/2013		250		251
FFCA Secured Lending Corp.
8.180% due 09/18/2027		2,000		1,071
8.970% due 09/18/2027		4,000		806
Fifth Third Mortgage Loan Trust
6.728% due 11/19/2032		143		143
First Horizon Asset Securities, Inc.
4.402% due 12/25/2033		6,991		6,949
7.496% due 09/25/2033		1		1
First Nationwide Trust
6.750% due 08/21/2031		471		470
First Republic Mortgage Loan Trust
5.328% due 08/15/2032		18,608		18,481
5.378% due 11/15/2031		7,887		7,725
6.010% due 11/15/2031		1,878		1,870
GMAC Commercial Mortgage Securities, Inc.
6.420% due 05/15/2035		564		566
7.151% due 12/15/2016		495		494
GMAC Mortgage Corp. Loan Trust
4.311% due 06/25/2034		6,523		6,409
5.500% due 09/25/2034		8,142		8,145
Greenpoint Mortgage Funding Trust
5.085% due 06/25/2045		2,964		2,810
5.095% due 06/25/2045		10,178		9,649
GS Mortgage Securities Corp. II
6.044% due 08/15/2018		9,835		10,103
GSR Mortgage Loan Trust
5.251% due 11/25/2035		50,945		49,254
GSRPM Mortgage Loan Trust
5.265% due 11/25/2031		3,579		3,576
Harborview Mortgage Loan Trust
5.055% due 01/19/2038		1,556		1,537
5.155% due 01/19/2038		26,979		25,312
5.155% due 02/19/2046		15,996		14,977
5.185% due 05/19/2035		7,906		7,482
6.896% due 08/19/2034		8,855		8,861
Indymac ARM Trust
6.574% due 01/25/2032		23		23
Indymac Index Mortgage Loan Trust
5.105% due 04/25/2035		7,690		7,284
Kidder Peabody Mortgage Assets Trust
9.500% due 04/22/2018 (b)		61		14
LB Mortgage Trust
8.471% due 01/20/2017		2,588		2,843
LB-UBS Commercial Mortgage Trust
6.133% due 12/15/2030		470		492
Lehman Brothers Floating Rate Commercial Mortgage Trust
5.108% due 09/15/2021		3,673		3,667
MASTR Adjustable Rate Mortgages Trust
3.786% due 11/21/2034		8,110		8,034
MASTR Asset Securitization Trust
5.500% due 09/25/2033		6,818		6,768
MASTR Reperforming Loan Trust
7.000% due 08/25/2034		358		378
Mellon Residential Funding Corp.
5.378% due 11/15/2031		3,671		3,572
5.468% due 12/15/2030		3,471		3,403
5.908% due 11/15/2031		360		351
Merrill Lynch Mortgage Investors, Inc.
0.744% due 04/25/2028 (b)		1,350		57
5.075% due 02/25/2036		5,287		5,092
Merrill Lynch Mortgage Trust
1.531% due 07/12/2034 (b)		59,918		1,326
MLCC Mortgage Investors, Inc.
5.115% due 11/25/2035		2,451		2,370
5.408% due 03/15/2025		331		324
5.865% due 10/25/2035		1,418		1,394
6.989% due 01/25/2029		4,000		3,949
Nationslink Funding Corp.
5.592% due 11/10/2030		194		193
Nomura Asset Acceptance Corp.
7.000% due 02/19/2030		354		378
Ocwen Residential Mortgage-Backed Securities Corp.
6.837% due 06/25/2039		677		519
Prime Mortgage Trust
5.000% due 02/25/2019		29		28
Residential Accredit Loans, Inc.
4.965% due 09/25/2046		1,841		1,816
Residential Asset Mortgage Products, Inc.
6.500% due 11/25/2031		621		633
Residential Funding Mortgage Securities I, Inc.
5.216% due 09/25/2035		3,568		3,517
Sequoia Mortgage Trust
4.080% due 04/20/2035		8,214		8,171
5.299% due 07/20/2033		3,948		3,855
5.315% due 10/19/2026		171		167
5.329% due 10/20/2027		4,134		3,945
Starwood Commercial Mortgage Trust
6.920% due 02/03/2014		1,000		1,031
Structured Adjustable Rate Mortgage Loan Trust
4.590% due 04/25/2034		8,596		8,572
5.085% due 05/25/2037		2,721		2,602
5.355% due 06/25/2034		1,674		1,675
5.357% due 01/25/2035		4,258		4,233
Structured Asset Mortgage Investments, Inc.
5.045% due 06/25/2036		24,177		23,445
5.075% due 04/25/2036		34,840		33,076
5.085% due 05/25/2036		4,024		3,796
5.095% due 05/25/2045		3,923		3,719
5.215% due 07/19/2035		6,413		6,141
5.295% due 09/19/2032		7,505		7,299
5.295% due 10/19/2034		471		462
5.315% due 03/19/2034		2,034		1,975
5.841% due 05/02/2030		290		289
6.274% due 05/25/2022		2,249		2,167
Structured Asset Securities Corp.
4.510% due 01/25/2034		7,117		7,073
5.000% due 05/25/2035		26,062		25,340
5.331% due 10/25/2035		1,391		1,378
6.039% due 02/25/2032		6		5
6.150% due 07/25/2032		4		4
7.143% due 01/25/2032		356		355
7.450% due 08/25/2032		639		637
Thornburg Mortgage Securities Trust
4.883% due 03/25/2037		12,781		12,459
4.919% due 06/25/2037		6,905		6,831
5.015% due 11/25/2046		4,223		4,127
Wachovia Bank Commercial Mortgage Trust
5.118% due 09/15/2021		3,494		3,442
Washington Mutual MSC Mortgage Pass-Through Certificates
6.500% due 09/25/2032		5,804		5,764
7.362% due 11/25/2030		881		879
Washington Mutual, Inc.
4.046% due 09/25/2033		21,972		21,846
4.208% due 06/25/2033		3,976		3,952
4.918% due 08/25/2035		5,497		5,457
5.055% due 04/25/2045		7		7
5.095% due 04/25/2045		283		268
5.125% due 11/25/2045		1,907		1,802
5.155% due 10/25/2045		11,682		10,985
5.175% due 01/25/2045		8,916		8,442
5.182% due 11/25/2034		5,179		5,069
5.255% due 12/25/2045		488		486
5.312% due 07/25/2044		810		772
5.405% due 12/25/2027		3,962		3,791
5.505% due 12/25/2027		543		512
5.883% due 07/25/2046		12,888		12,312
5.883% due 08/25/2046		824		796
6.188% due 06/25/2042		1,360		1,296
6.188% due 08/25/2042		2,627		2,528
Wells Fargo Mortgage-Backed Securities Trust
3.989% due 12/25/2034		9,891		9,797
4.596% due 12/25/2033		8,169		7,766
4.949% due 01/25/2035		15,840		15,675
4.998% due 12/25/2034		3,911		3,856
Total Mortgage-Backed Securities (Cost $859,522)				847,176
ASSET-BACKED SECURITIES 4.8%
Aames Mortgage Investment Trust
4.925% due 04/25/2036		167		166
5.265% due 10/25/2035		2,695		2,538
ABFS Mortgage Loan Trust
6.285% due 07/15/2033		2,000		1,849
Accredited Mortgage Loan Trust
4.905% due 09/25/2036		3,630		3,586
ACE Securities Corp.
4.915% due 06/25/2036		146		144
4.945% due 10/25/2036		3,748		3,645
4.995% due 05/25/2036		10,000		9,686
5.565% due 08/25/2030		87		86
AFC Home Equity Loan Trust
5.275% due 06/25/2029		806		788
5.415% due 12/26/2029		36		34
Aircraft Certificate Owner Trust
6.455% due 09/20/2022		2,518		2,605
American Express Credit Account Master Trust
5.028% due 01/18/2011		2,000		2,000
5.118% due 03/15/2012		9,330		9,317
American Express Issuance Trust
5.228% due 09/15/2011		12,000		11,964
Amortizing Residential Collateral Trust
5.135% due 06/25/2032		73		71
5.155% due 07/25/2032		736		720
5.215% due 10/25/2031		416		390
Amresco Residential Securities Mortgage Loan Trust
5.360% due 06/25/2028		217		195
5.420% due 06/25/2027		954		900
5.495% due 09/25/2028		2,081		2,009
5.805% due 06/25/2029		204		197
Argent Securities, Inc.
4.925% due 05/25/2036		379		378
Asset-Backed Funding Certificates
4.905% due 09/25/2036		3,463		3,412
5.885% due 03/25/2032		1,439		1,266
Asset-Backed Securities Corp. Home Equity
4.925% due 07/25/2036		933		920
5.548% due 06/15/2031		332		326
Bear Stearns Asset-Backed Securities Trust
4.945% due 12/25/2035		11		11
5.065% due 09/25/2034		414		413
5.465% due 10/25/2032		940		932
5.515% due 02/25/2034		439		414
5.615% due 11/25/2042		2,373		2,363
Carrington Mortgage Loan Trust
4.905% due 05/25/2036		2,324		2,304
4.915% due 10/25/2036		452		446
4.945% due 01/25/2036		1,136		1,132
CDC Mortgage Capital Trust
5.915% due 01/25/2033		2,426		1,960
Centex Home Equity
5.165% due 01/25/2032		129		127
5.715% due 01/25/2032		1,667		1,528
Charming Shoppes Master Trust
5.358% due 05/15/2014		6,000		5,999
Chase Credit Card Master Trust
5.378% due 02/15/2011		7,000		6,995
Chase Funding Mortgage Loan Asset-Backed Certificates
5.505% due 08/25/2032		669		660
5.525% due 11/25/2032		1,413		1,391
CIT Group Home Equity Loan Trust
5.135% due 06/25/2033		1,429		1,321
5.155% due 03/25/2033		493		466
5.515% due 12/25/2031		1,521		1,362
Citibank Omni Master Trust
5.962% due 12/23/2013		135,300		135,216
Citigroup Mortgage Loan Trust, Inc.
4.905% due 08/25/2036		2,192		2,173
Community Program Loan Trust
4.500% due 10/01/2018		843		838
Conseco Finance
5.728% due 08/15/2033		3,432		3,129
6.518% due 05/15/2032		1,369		1,370
Conseco Finance Securitizations Corp.
7.970% due 05/01/2032		13,111		9,815
8.200% due 02/01/2032		40,000		28,893
8.400% due 02/01/2032		1,843		73
Countrywide Asset-Backed Certificates
4.895% due 01/25/2046		6,383		6,303
4.915% due 01/25/2037		3,573		3,527
4.925% due 03/25/2037		4,579		4,457
4.935% due 06/25/2036		198		198
4.935% due 12/25/2036		333		329
4.975% due 10/25/2046		1,295		1,267
5.075% due 10/25/2035		170		169
5.315% due 06/25/2033		902		849
Credit-Based Asset Servicing & Securitization LLC
5.495% due 06/25/2032		7		7
CS First Boston Mortgage Securities Corp.
5.225% due 05/25/2044		1,290		1,279
Delta Funding Home Equity Loan Trust
5.848% due 09/15/2029		17		17
Embarcadero Aircraft Securitization Trust
6.128% due 08/15/2025 (a)		9,100		91
EMC Mortgage Loan Trust
5.235% due 05/25/2040		1,248		1,237
Equifirst Mortgage Loan Trust
5.105% due 01/25/2034		565		552
Fieldstone Mortgage Investment Corp.
4.945% due 05/25/2036		573		567
First Franklin Mortgage Loan Asset-Backed Certificates
4.915% due 11/25/2036		18,215		17,478
5.245% due 10/25/2034		308		306
First International Bank N.A.
5.578% due 03/15/2027		3,703		1,673
5.608% due 04/15/2026		260		91
First Plus Home Loan Trust
7.670% due 05/10/2024		1,253		1,251
Fremont Home Loan Trust
5.035% due 01/25/2036		902		900
GE-WMC Mortgage Securities LLC
4.905% due 08/25/2036		2,403		2,316
GMAC Mortgage Corp. Loan Trust
5.105% due 01/25/2029		1,945		1,898
Green Tree Financial Corp.
6.240% due 11/01/2016		4,370		4,376
7.060% due 02/01/2031		7,000		5,548
7.400% due 06/15/2027		3,471		3,685
7.550% due 01/15/2029		425		460
8.000% due 07/15/2018		1,244		1,215
8.050% due 10/15/2027		474		503
9.100% due 04/15/2025		3,278		3,443
GSAMP Trust
4.935% due 06/25/2036		7,969		7,922
4.935% due 09/25/2036		4,206		4,126
4.985% due 12/25/2035		732		727
5.015% due 10/25/2036		10,000		6,850
GSRPM Mortgage Loan Trust
5.245% due 09/25/2042		1,422		1,418
HFC Home Equity Loan Asset-Backed Certificates
5.299% due 09/20/2033		2,176		2,122
Home Equity Asset Trust
5.025% due 05/25/2036		8,000		7,701
IMC Home Equity Loan Trust
6.880% due 11/20/2028		283		282
7.520% due 08/20/2028		100		100
Indymac Residential Asset-Backed Trust
4.955% due 03/25/2036		587		585
Irwin Home Equity Corp.
5.765% due 02/25/2029		1,817		1,729
Ischus CDO Ltd.
5.522% due 09/10/2013		728		711
JPMorgan Mortgage Acquisition Corp.
4.935% due 03/25/2036		744		741
4.945% due 08/25/2036		3,607		3,507
5.075% due 06/25/2035		90		90
Lehman XS Trust
4.945% due 06/25/2046		3,918		3,866
4.945% due 07/25/2046		1,036		1,027
4.945% due 08/25/2046		4,121		4,093
4.955% due 05/25/2046		996		984
Long Beach Mortgage Loan Trust
4.895% due 06/25/2036		5,371		5,345
4.925% due 05/25/2046		710		709
4.955% due 01/25/2046		1,756		1,751
6.290% due 03/25/2032		3,503		3,209
MASTR Asset-Backed Securities Trust
4.925% due 10/25/2036		382		379
MBNA Master Credit Card Trust
5.388% due 09/15/2010		2,000		2,001
Merrill Lynch Mortgage Investors, Inc.
4.925% due 10/25/2037		4,839		4,493
4.945% due 09/25/2037		7,963		7,805
Mesa Trust Asset-Backed Certificates
5.265% due 12/25/2031		1,406		1,392
Mid-State Trust
6.340% due 10/15/2036		1,836		1,781
7.340% due 07/01/2035		1,078		1,155
7.400% due 07/01/2035		46		49
7.790% due 07/01/2035		62		66
7.791% due 03/15/2038		2,292		2,301
8.330% due 04/01/2030		11,926		12,103
Morgan Stanley ABS Capital I
4.895% due 06/25/2036		48		47
4.905% due 04/25/2036		912		905
4.905% due 07/25/2036		5,680		5,585
4.905% due 09/25/2036		270		263
4.935% due 02/25/2036		912		910
4.935% due 03/25/2036		164		163
4.965% due 10/25/2036		5,000		4,736
Nelnet Student Loan Trust
5.174% due 07/25/2016		653		654
New Century Home Equity Loan Trust
4.925% due 05/25/2036		61		61
NPF XII, Inc.
2.200% due 12/01/2003 (a)		13,800		64
2.232% due 10/01/2003 (a)		49,000		228
2.462% due 11/01/2003 (a)		3,000		14
Oakwood Mortgage Investors, Inc.
5.402% due 03/15/2018		1,398		1,237
7.500% due 01/15/2021		414		414
Option One Mortgage Loan Trust
5.465% due 01/25/2032		320		316
Origen Manufactured Housing
7.650% due 03/15/2032		13,200		14,273
Ownit Mortgage Loan Asset-Backed Certificates
4.925% due 03/25/2037		1,476		1,458
Popular ABS Mortgage Pass-Through Trust
4.995% due 11/25/2035		6		6
Preferred Credit Corp.
7.590% due 07/25/2026		122		122
Quest Trust
5.305% due 09/25/2034		195		158
5.515% due 09/25/2034		130		108
Renaissance Home Equity Loan Trust
5.305% due 08/25/2033		545		530
5.365% due 12/25/2033		5,240		5,156
5.665% due 08/25/2032		3,000		2,768
Residential Asset Mortgage Products, Inc.
4.945% due 10/25/2036		5,097		4,961
4.985% due 10/25/2036		9,705		9,446
Residential Asset Securities Corp.
4.925% due 04/25/2036		1,675		1,662
4.935% due 11/25/2036		5,891		5,757
4.945% due 10/25/2036		3,938		3,850
5.365% due 07/25/2032		2,232		2,085
5.445% due 06/25/2033		274		270
5.465% due 06/25/2032		176		173
Residential Funding Mortgage Securities II, Inc.
8.350% due 12/25/2024		994		991
8.350% due 03/25/2025		209		208
Residential Mortgage Loan Trust
6.312% due 09/25/2029		209		207
SACO I, Inc.
5.125% due 06/25/2036		2,140		1,976
Salomon Brothers Mortgage Securities VII, Inc.
5.775% due 01/25/2032		382		376
5.840% due 10/25/2028		555		478
6.930% due 08/25/2028		709		695
Saxon Asset Securities Trust
4.925% due 10/25/2046		4,672		4,613
5.205% due 12/26/2034		833		809
5.365% due 03/25/2032		1,733		1,706
Securitized Asset-Backed Receivables LLC Trust
4.925% due 03/25/2036		1,447		1,430
SLM Student Loan Trust
5.074% due 10/27/2014		8,932		8,916
5.114% due 10/25/2019		1,750		1,746
5.164% due 04/27/2020		6,907		6,844
5.194% due 04/25/2017		560		562
Soundview Home Equity Loan Trust
4.925% due 11/25/2036		545		539
4.965% due 10/25/2036		1,012		998
Specialty Underwriting & Residential Finance
4.915% due 09/25/2037		27,301		26,708
5.205% due 01/25/2034		289		281
Structured Asset Investment Loan Trust
4.945% due 01/25/2036		661		658
Structured Asset Securities Corp.
4.915% due 10/25/2036		9,460		9,294
4.985% due 02/25/2036		3,000		2,956
4.995% due 12/25/2035		346		346
5.155% due 01/25/2033		17		17
5.265% due 05/25/2034		1,235		1,148
5.915% due 01/25/2033		1,193		1,013
TABS Ltd.
6.632% due 02/12/2047		2,920		117
Trapeza CDO I LLC
5.425% due 11/16/2034		1,000		881
Triton Aviation Finance
8.028% due 06/15/2025 (a)		4,500		0
UCFC Manufactured Housing Contract
7.900% due 01/15/2028		2,500		1,277
Vanderbilt Mortgage Finance
7.905% due 02/07/2026		96		99
Wells Fargo Home Equity Trust
5.105% due 10/25/2035		18,515		17,355
5.115% due 12/25/2035		16,471		15,919
Total Asset-Backed Securities (Cost $700,020)				609,178
SHORT-TERM INSTRUMENTS 5.2%
Commercial Paper 1.4%
Lloyds TSB Bank PLC
4.980% due 01/02/2008		177,100		177,100
Repurchase Agreements 2.1%
Fixed Income Clearing Corp.
2.250% due 01/02/2008		211,000		211,000
(Dated 12/31/2007. Collateralized by Federal Home Loan Bank 3.750% due 01/08/2010 valued at $135,964 and Freddie Mac 4.875% due 02/09/2010 valued at $79,257. Repurchase proceeds are $211,026.)
3.900% due 01/02/2008		56,526		56,526
(Dated 12/31/2007. Collateralized by Fannie Mae 0.000% due 01/15/2008 valued at $57,658. Repurchase proceeds are $56,538.)
				267,526
U.S. Treasury Bills 1.7%
2.955% due 02/28/2008 - 03/13/2008 (d)(e)(i)		214,750		213,492
Total Short-Term Instruments (Cost $658,325)				658,118
Purchased Options (k) 0.1%				19,093
(Cost $6,605)
Total Investments 159.5%			$	20,441,512
(Cost $20,306,898)
Written Options (l) (0.1%)				(14,523	)
(Premiums $6,724)
Other Assets and Liabilities (Net) (59.4%)				(7,609,856	)
Net Assets (g) 100.0%			$	12,817,133

Notes to Schedule of Investments (amounts in thousands*, except number of contracts):

* A zero balance may reflect actual amounts rounding to less than one thousand.

(a) Security is in default.

(b) Interest only security.

(c) Principal only security.

(d) Coupon represents a weighted average rate.

(e) Securities with an aggregate market value of $211,261 have been pledged as collateral for swap, swaption and written option contracts on December 31, 2007.

(f) Securities with an aggregate market value of $205,067 have been pledged as collateral for delayed-delivery mortgage-backed securities on December 31, 2007.

(g) As of December 31, 2007, portfolio securities with an aggregate value of $162,237 and derivative instruments with an aggregate appreciation of $114,923 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(h) The average amount of borrowings outstanding during the period ended December 31, 2007 was $2,592,898 at a weighted average interest rate of 5.160%. On December 31, 2007, securities valued at $2,744,342 were pledged as collateral for reverse repurchase agreements.

(i) Securities with an aggregate market value of $1,486 and cash of $14,020 have been segregated with the custodian to cover margin requirements for the following open futures contracts on December 31, 2007:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation
90-Day Eurodollar June Futures	Long	06/2008	11,008	$	38,445
U.S. Treasury 10-Year Note March Futures	Long	03/2008	2,103		1,043
				$	39,488

(j) Swap agreements outstanding on December 31, 2007:

Credit Default Swaps on Securities

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate	Expiration Date	Notional Amount	Unrealized Appreciation/ (Depreciation)
Bank of America	Buckingham CDO Ltd. floating rate based on 1-Month USD-LIBOR plus 1.600% due 04/05/2041	Buy	(1.250%)	04/05/2041	$2,000	$	1,577
Bank of America	Cairn Mezzanine ABS CDO PLC floating rate based on 3-Month USD-LIBOR plus 3.250% due 02/13/2047	Buy	(3.750%)	02/13/2047	5,000		4,475
Bank of America	Furlong CDO floating rate based on 3-Month USD-LIBOR plus 2.950% due 10/11/2046	Buy	(3.730%)	10/11/2046	4,870		4,342
Bank of America	Kefton CDO Ltd. floating rate based on 3-Month USD-LIBOR plus 1.350% due 01/09/2047	Buy	(1.750%)	01/09/2047	8,000		7,168
Bank of America	Kent Funding Ltd. floating rate based on 3-Month USD-LIBOR plus 1.550% due 05/08/2046	Buy	(1.830%)	05/08/2046	4,000		3,589
Bank of America	Longshore CDO Funding Ltd. floating rate based on 3-Month USD-LIBOR plus 2.900% due 05/03/2046	Buy	(3.530%)	05/03/2046	2,000		1,559
Bank of America	Midori CDO Ltd. floating rate based on 3-Month USD-LIBOR plus 1.300% due 02/15/2047	Buy	(1.730%)	02/15/2047	3,000		2,693
Bank of America	Pampelonne CDO Ltd. floating rate based on 3-Month USD-LIBOR plus 1.400% due 11/11/2051	Buy	(1.750%)	11/11/2051	2,000		1,795
Bank of America	TABS Ltd. floating rate based on 3-Month USD-LIBOR plus 1.275% due 08/07/2045	Buy	(4.200%)	08/07/2045	1,454		1,192
Bank of America	Topanga CDO Ltd. floating rate based on 3-Month USD-LIBOR plus 1.275% due 03/08/2040	Buy	(4.300%)	03/08/2040	2,343		1,445
Bank of America	Topanga CDO Ltd. floating rate based on 3-Month USD-LIBOR plus 1.700% due 01/10/2045	Buy	(1.580%)	01/10/2045	3,500		2,913
Bank of America	Vertical CDO Ltd. floating rate based on 3-Month USD-LIBOR plus 1.650% due 02/09/2046	Buy	(1.690%)	02/09/2046	5,000		4,276
Barclays Bank PLC	Accredited Mortgage Loan Trust floating rate based on 1-Month USD-LIBOR plus 1.150% due 04/25/2036	Buy	(1.000%)	04/25/2036	5,000		3,684
Barclays Bank PLC	First Franklin Mortgage Loan Asset-Backed Certificates floating rate based on 1-Month USD-LIBOR plus 1.350% due 03/25/2036	Buy	(0.870%)	03/25/2036	5,000		4,168
Barclays Bank PLC	Long Beach Mortgage Loan Trust floating rate based on 1-Month USD-LIBOR plus 1.400% due 02/25/2034	Buy	(0.490%)	02/25/2034	4,000		485
Barclays Bank PLC	Morgan Stanley ABS Capital I floating rate based on 1-Month USD-LIBOR plus 1.050% due 07/25/2036	Sell	1.670%	07/25/2036	5,000		(4,245	)
Barclays Bank PLC	Specialty Underwriting & Residential Finance floating rate based on 1-Month USD-LIBOR plus 1.300% due 02/25/2035	Buy	(0.590%)	02/25/2035	4,000		415
Barclays Bank PLC	Structured Asset Investment Loan Trust floating rate based on 1-Month USD-LIBOR plus 0.820% due 02/25/2035	Buy	(0.610%)	02/25/2035	4,000		1,165
Bear Stearns & Co., Inc.	Avenue CLO Fund Ltd. Floating rate based on 3-Month USD-LIBOR plus 1.650% due 07/20/2018	Buy	(1.750%)	07/20/2018	5,000		712
Bear Stearns & Co., Inc.	BFC Genesee CDO Ltd. floating rate based on 3-Month USD-LIBOR plus 1.650% due 01/10/2041	Buy	(1.450%)	01/10/2041	2,442		2,086
Bear Stearns & Co., Inc.	KLIO Funding Ltd. floating rate based on 3-Month USD-LIBOR plus 1.800% due 04/23/2039	Buy	(1.700%)	04/23/2039	4,000		1,326
Bear Stearns & Co., Inc.	Lancer Funding Ltd. floating rate based on 3-Month USD-LIBOR plus 3.250% due 04/06/2046	Buy	(2.900%)	04/06/2046	7,053		5,735
Bear Stearns & Co., Inc.	LB-UBS Commercial Mortgage Trust 5.404% due 09/15/2040	Buy	(1.170%)	09/15/2040	4,000		1,222
Bear Stearns & Co., Inc.	Merrill Lynch Mortgage Trust 5.244% due 11/12/2037	Buy	(1.150%)	11/12/2037	4,000		955
Bear Stearns & Co., Inc.	Midori CDO Ltd. floating rate based on 3-Month USD-LIBOR plus 3.100% due 02/15/2047	Buy	(4.030%)	02/15/2047	3,000		2,684
Bear Stearns & Co., Inc.	Trinity CDO Ltd. floating rate based on 3-Month USD-LIBOR plus 1.600% due 03/08/2040	Buy	(1.700%)	03/08/2040	1,000		575
Citibank N.A.	Commercial Industrial Finance Corp. floating rate based on 3-Month USD-LIBOR plus 1.600% due 10/20/2020	Buy	(2.150%)	10/20/2020	5,000		986
Citibank N.A.	Residential Asset Mortgage Products, Inc. floating rate based on 1-Month USD-LIBOR plus 2.450% due 02/25/2036	Sell	3.550%	02/25/2036	5,000		(3,807	)
Credit Suisse USA, Inc.	Topanga CDO Ltd. floating rate based on 3-Month USD-LIBOR plus 1.450% due 12/10/2046	Buy	(2.120%)	12/10/2046	10,000		8,988
Deutsche Bank AG	Commercial Mortgage-Backed Index	Sell	1.340%	10/12/2052	8,000		(1,764	)
Deutsche Bank AG	Morgan Stanley ABS Capital I floating rate based on 1-Month USD-LIBOR plus 1.050% due 07/25/2036	Buy	(1.100%)	07/25/2036	5,000		4,297
Goldman Sachs & Co.	Home Equity Asset Trust floating rate based on 1-Month USD-LIBOR plus 3.500% due 12/25/2034	Buy	(2.200%)	12/25/2034	3,455		1,137
Goldman Sachs & Co.	Novastar Home Equity Loan floating rate based on 1-Month USD-LIBOR plus 3.500% due 09/25/2034	Buy	(2.200%)	09/25/2034	3,413		440
Goldman Sachs & Co.	Telos CLO Ltd. floating rate based on 3-Month USD-LIBOR plus 1.700% due 10/11/2021	Buy	(2.500%)	10/11/2021	1,500		257
Goldman Sachs & Co.	Topanga CDO Ltd. floating rate based on 3-Month USD-LIBOR plus 1.275% due 03/08/2040	Buy	(3.900%)	03/08/2040	1,406		853
Goldman Sachs & Co.	Vertical CDO Ltd. floating rate based on 3-Month USD-LIBOR plus 1.450% due 04/01/2045	Buy	(1.325%)	04/01/2045	2,000		1,397
JPMorgan Chase & Co.	Encore Credit Receivables Trust floating rate based on 1-Month USD-LIBOR plus 1.350% due 10/25/2035	Buy	(1.500%)	10/25/2035	3,000		1,392
JPMorgan Chase & Co.	Montrose Harbor CDO Ltd. floating rate based on 3-Month USD-LIBOR plus 1.380% due 12/05/2051	Buy	(1.750%)	12/05/2051	2,500		2,247
JPMorgan Chase & Co.	Octagon Investment Partners X Ltd. floating rate based on 3-Month USD-LIBOR plus 1.400% due 10/18/2020	Buy	(1.850%)	10/18/2020	1,000		85
Lehman Brothers, Inc.	Altius Funding Ltd. floating rate based on 1-Month USD-LIBOR plus 1.500% due 12/05/2040	Buy	(1.450%)	12/05/2040	6,687		3,131
Lehman Brothers, Inc.	Altius Funding Ltd. floating rate based on 1-Month USD-LIBOR plus 2.750% due 12/05/2040	Buy	(3.250%)	12/05/2040	6,409		3,632
Lehman Brothers, Inc.	Citius Funding Ltd. floating rate based on 1-Month USD-LIBOR plus 1.370% due 05/05/2046	Buy	(1.440%)	05/05/2046	10,974		9,620
Lehman Brothers, Inc.	Encore Credit Receivables Trust floating rate based on 1-Month USD-LIBOR plus 1.350% due 10/25/2035	Sell	1.630%	10/25/2035	3,000		(1,390	)
Lehman Brothers, Inc.	Residential Asset Securities Corp. floating rate based on 1-Month USD-LIBOR plus 1.200% due 04/25/2036	Buy	(1.090%)	04/25/2036	5,000		4,037
Lehman Brothers, Inc.	RFC CDO Ltd. floating rate based on 3-Month USD-LIBOR plus 2.900% due 07/15/2051	Buy	(3.100%)	07/15/2051	4,820		2,951
Lehman Brothers, Inc.	Saratoga CLO I Ltd. floating rate based on 3-Month USD-LIBOR plus 1.480% due 12/15/2019	Buy	(1.880%)	12/15/2019	3,000		425
Lehman Brothers, Inc.	Securitized Asset-Backed Receivables LLC Trust floating rate based on 1-Month USD-LIBOR plus 1.400% due 10/25/2035	Buy	(0.940%)	10/25/2035	10,000		7,385
Lehman Brothers, Inc.	Topanga CDO Ltd. floating rate based on 3-Month USD-LIBOR plus 1.600% due 03/08/2040	Buy	(2.420%)	03/08/2040	5,000		2,873
Lehman Brothers, Inc.	Vertical CDO Ltd. floating rate based on 3-Month USD-LIBOR plus 3.350% due 02/09/2046	Buy	(3.200%)	02/09/2046	2,467		1,898
Merrill Lynch & Co., Inc.	AllianceBernstein LP floating rate based on 3-Month USD-LIBOR plus 1.350% due 06/06/2046	Buy	(1.450%)	06/06/2046	5,000		4,495
Merrill Lynch & Co., Inc.	AllianceBernstein LP floating rate based on 3-Month USD-LIBOR plus 3.250% due 06/06/2046	Buy	(3.450%)	06/06/2046	5,000		4,526
Merrill Lynch & Co., Inc.	Altius Funding Ltd. floating rate based on 3-Month USD-LIBOR plus 1.400% due 12/09/2040	Buy	(1.230%)	12/09/2040	3,000		1,255
Merrill Lynch & Co., Inc.	Bering CDO Ltd. floating rate based on 1-Month USD-LIBOR plus 3.250% due 09/07/2046	Buy	(3.270%)	09/07/2046	2,411		1,939
Merrill Lynch & Co., Inc.	Buckingham CDO Ltd. floating rate based on 1-Month USD-LIBOR plus 1.250% due 09/05/2051	Buy	(1.530%)	09/05/2051	5,000		4,415
Merrill Lynch & Co., Inc.	First Franklin Mortgage Loan Asset-Backed Certificates floating rate based on 1-Month USD-LIBOR plus 2.800% due 03/25/2036	Buy	(1.900%)	03/25/2036	5,000		4,228
Merrill Lynch & Co., Inc.	JPMorgan Mortgage Acquisition Corp. floating rate based on 1-month USD-LIBOR plus 2.350% due 05/25/2035	Buy	(1.880%)	05/25/2035	5,000		4,090
Merrill Lynch & Co., Inc.	Kleros Preferred Funding Ltd. floating rate based on 3-Month USD-LIBOR plus 3.150% due 10/01/2050	Buy	(3.400%)	10/01/2050	5,000		4,452
Merrill Lynch & Co., Inc.	Residential Asset Mortgage Products, Inc. floating rate based on 1-Month USD-LIBOR plus 2.450% due 02/25/2036	Buy	(2.370%)	02/25/2036	5,000		3,953
Merrill Lynch & Co., Inc.	Soundview Home Equity Loan Trust floating rate based on 1-Month USD-LIBOR plus 1.100% due 07/25/2036	Buy	(1.050%)	07/25/2036	5,000		3,930
Morgan Stanley	Morgan Stanley ABS Capital I floating rate based on 1-Month USD-LIBOR plus 1.700% due 12/27/2033	Buy	(0.540%)	12/27/2033	3,952		339
Royal Bank of Scotland Group PLC	Home Equity Asset Trust floating rate based on 1-Month USD-LIBOR plus 1.200% due 08/25/2036	Buy	(1.500%)	08/25/2036	5,000		3,817
UBS Warburg LLC	Asset-Backed Securities Corp. Home Equity floating rate based on 1-Month USD-LIBOR plus 1.550% due 03/25/2035	Buy	(1.250%)	03/25/2035	5,000		539
UBS Warburg LLC	CS First Boston Mortgage Securities Corp. 5.300% due 07/15/2037	Buy	(1.080%)	07/15/2037	10,000		2,438
UBS Warburg LLC	Long Beach Mortgage Loan Trust floating rate based on 1-Month USD-LIBOR plus 1.450% due 02/25/2036	Buy	(1.270%)	02/25/2036	5,000		4,464
UBS Warburg LLC	Merrill Lynch Mortgage Trust 5.350% due 06/12/2043	Buy	(1.080%)	06/12/2043	10,000		2,431
Wachovia Bank N.A.	IXIS ABS CDO 1 Ltd. floating rate based on 3-Month USD-LIBOR plus 1.450% due 12/13/2046	Buy	(1.690%)	12/13/2046	2,000		1,852
Wachovia Bank N.A.	Race Point CLO floating rate based on 3-Month USD-LIBOR plus 1.650% due 04/15/2020	Buy	(1.950%)	04/15/2020	2,000		291
						$	162,515

Credit Default Swaps on Credit Indices

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate	Expiration Date	Notional Amount	Unrealized Appreciation/ (Depreciation)
Bank of America	Home Equity Index A Rating 2006-1	Buy	(0.540%)	07/25/2045	$25,000	$	9,759
Bank of America	Home Equity Index BBB Rating 2006-1	Sell	1.540%	07/25/2045	2,500		(1,474	)
Barclays Bank PLC	Home Equity Index A Rating 2006-1	Sell	0.540%	07/25/2045	11,000		(3,976	)
Bear Stearns & Co., Inc.	Home Equity Index BBB Rating 2006-2	Buy	(1.330%)	05/25/2046	5,000		1,194
Citibank N.A.	Home Equity Index A Rating 2006-1	Buy	(0.540%)	07/25/2045	25,000		9,825
Citibank N.A.	Home Equity Index AA Rating 2007-1	Sell	0.150%	08/25/2037	5,000		(116	)
Citibank N.A.	Home Equity Index BBB Rating 2006-1	Buy	(1.540%)	07/25/2045	35,000		23,346
Citibank N.A.	Home Equity Index BBB Rating 2006-1	Sell	1.540%	07/25/2045	4,000		(2,676	)
Citibank N.A.	Home Equity Index BBB Rating 2006-2	Sell	1.330%	05/25/2046	62,000		(34,604	)
Credit Suisse USA, Inc.	Home Equity Index A Rating 2006-2	Sell	0.440%	05/25/2046	25,000		(1,244	)
Credit Suisse USA, Inc.	Home Equity Index AAA Rating 2006-2	Buy	(0.110%)	05/25/2046	10,000		702
Credit Suisse USA, Inc.	Home Equity Index BBB Rating 2006-1	Buy	(1.540%)	07/25/2045	5,000		3,326
Credit Suisse USA, Inc.	Home Equity Index BBB Rating 2006-1	Sell	1.540%	07/25/2045	3,000		(1,742	)
Goldman Sachs & Co.	Home Equity Index A Rating 2006-1	Sell	0.540%	07/25/2045	50,000		(19,613	)
Goldman Sachs & Co.	Home Equity Index AAA Rating 2006-2	Sell	0.110%	05/25/2046	7,000		(927	)
Goldman Sachs & Co.	Home Equity Index BBB Rating 2006-1	Buy	(1.540%)	07/25/2045	1,500		860
JPMorgan Chase & Co.	Home Equity Index AAA Rating 2006-2	Sell	0.110%	05/25/2046	3,000		(397	)
JPMorgan Chase & Co.	Home Equity Index BBB Rating 2006-1	Buy	(1.540%)	07/25/2045	100,000		66,663
JPMorgan Chase & Co.	Home Equity Index BBB Rating 2006-2	Sell	1.330%	05/25/2046	7,000		(5,416	)
Lehman Brothers, Inc.	Home Equity Index A Rating 2006-1	Buy	(0.540%)	07/25/2045	10,000		3,902
Merrill Lynch & Co., Inc.	Home Equity Index BBB Rating 2006-2	Sell	1.330%	05/25/2046	5,500		(2,840	)
Merrill Lynch & Co., Inc.	Home Equity Index BBB Rating 2007-1	Sell	2.240%	08/25/2037	10,000		(5,765	)
Morgan Stanley	Home Equity Index BBB Rating 2006-2	Sell	1.330%	05/25/2046	10,000		(5,237	)
UBS Warburg LLC	Home Equity Index A Rating 2006-1	Buy	(0.540%)	07/25/2045	1,000		391
UBS Warburg LLC	Home Equity Index A Rating 2006-2	Sell	0.440%	05/25/2046	2,000		(179	)
UBS Warburg LLC	Home Equity Index BBB Rating 2006-1	Sell	1.540%	07/25/2045	132,000		(84,744	)
UBS Warburg LLC	Home Equity Index BBB Rating 2006-2	Sell	1.330%	05/25/2046	95,500		(56,743	)
						$	(107,725	)

⁽¹⁾ If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will pay to the buyer of the protection an amount up to the notional value of the swap and in certain instances, take delivery of the security. As a buyer of protection, the Portfolio will generally receive from the seller of protection an amount up to the notional amount of the swap if a credit event occurs.

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Bank of America	3-Month USD-LIBOR	Receive	5.000	%	12/15/2014	$	6,800	$	(2	)
Barclays Bank PLC	3-Month USD-LIBOR	Pay	4.000	%	06/18/2013		133,900		963
Barclays Bank PLC	3-Month USD-LIBOR	Receive	5.000	%	06/18/2018		271,950		(894	)
Deutsche Bank AG	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010		12,000		20
Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	06/18/2015		9,900		(6	)
Goldman Sachs & Co.	3-Month USD-LIBOR	Receive	5.000	%	06/18/2018		53,600		(861	)
JPMorgan Chase & Co.	3-Month USD-LIBOR	Pay	4.000	%	06/18/2013		7,100		2
Lehman Brothers, Inc.	3-Month USD-LIBOR with 6.150% interest rate cap	Receive	Premium Amount of $2,211		10/01/2011		39,000		(2,134	)
Merrill Lynch & Co., Inc.	3-Month USD-LIBOR	Pay	5.000	%	06/18/2015		54,135		303
Merrill Lynch & Co., Inc.	3-Month USD-LIBOR	Receive	5.000	%	06/18/2018		191,900		(2,657	)
Morgan Stanley	3-Month USD-LIBOR	Pay	4.000	%	06/18/2013		19,000		230
Morgan Stanley	3-Month USD-LIBOR	Receive	5.000	%	06/18/2018		130,670		(2,344	)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	06/18/2018		856,130		500
								$	(6,880	)

(k) Purchased options outstanding on December 31, 2007:

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Cost		Value
Put - OTC 7-Year Interest Rate Swap	Goldman Sachs & Co.	3-Month USD-LIBOR	Receive	4.750	%	01/31/2008	$	180,450	$	1,013	$	394
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	03/31/2008		924,000		5,590		18,699
									$	6,603	$	19,093

Options on Securities

Description	Strike Price		Expiration Date	Notional Amount		Cost		Value
Put - OTC Fannie Mae 5.500% due 03/01/2038	$	85.000	03/05/2008	$	14,000	$	2	$	0

(l) Written options outstanding on December 31, 2007:

Interest Rate Swaptions

Description

Counterparty

Floating Rate Index

Pay/Receive Floating Rate

Exercise Rate

Expiration Date

Notional Amount

Premium

Value

Call - OTC 5-Year Interest Rate Swap

Royal Bank of Scotland Group PLC

3-Month USD-LIBOR

Receive

4.900

%

03/31/2008

$

420,000

$

5,596

$

14,519

Options on Securities

Description	Strike Price		Expiration Date	Notional Amount		Premium		Value
Put - OTC Fannie Mae 5.500% due 01/01/2038	$	98.500	01/03/2008	$	401,000	$	1,128	$	4

(m) Short sales outstanding on December 31, 2007:

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Value(2)
Fannie Mae	5.000	%	01/01/2023	$	977,000	$	970,665	$	978,069
Fannie Mae	5.000	%	01/01/2038		564,900		555,154		551,219
Fannie Mae	5.500	%	01/01/2038		1,118,850		1,119,576		1,117,626
Fannie Mae	6.000	%	01/01/2038		212,000		214,352		215,279
Fannie Mae	7.000	%	01/01/2038		10,000		10,369		10,403
Freddie Mac	6.000	%	01/01/2038		196,500		199,562		199,417
Ginnie Mae	6.000	%	01/01/2038		235,000		239,006		240,618
U.S. Treasury Bonds	4.250	%	11/15/2017		28,100		28,194		28,828
U.S. Treasury Bonds	4.750	%	08/15/2017		285,434		299,242		308,004
						$	3,636,120	$	3,649,463

⁽²⁾ Market value includes $6,677 of interest payable on short sales.

See accompanying notes

Schedule of Investments

Municipal Sector Portfolio

December 31, 2007 (Unaudited)

	Principal Amount (000s)		Value (000s)
MUNICIPAL BONDS & NOTES 125.3%
California 26.4%
Anaheim, California Public Financing Authority Revenue Bonds, (FSA Insured), Series 1997
0.000% due 09/01/2035	$	5,000	$	1,225
California State Association of Bay Area Governments Financing Authority for Non-Profit Corporations Revenue Bonds, Series 2003
5.200% due 11/15/2022		5,000		5,178
California State Educational Facilities Authority Revenue Bonds, Series 2007
4.750% due 10/01/2037		10,000		10,100
California State Health Facilities Financing Authority Revenue Bonds, (MBIA-IBC Insured), Series 2007
5.000% due 11/15/2042		13,750		13,976
California State Hollister Joint Powers Financing Authority Revenue Bonds, (FSA Insured), Series 2006
4.500% due 06/01/2037		1,870		1,808
California State Tobacco Securitization Agency Revenue Bonds, Series 2006
5.125% due 06/01/2046		9,500		7,986
California State University Revenue Bonds, (FSA Insured), Series 2007
4.500% due 11/01/2044		14,075		13,441
Golden State, California Tobacco Securitization Corporations Revenue Bonds, Series 2007
5.125% due 06/01/2047		2,600		2,186
Norco, California Redevelopment Agency Tax Allocation Bonds, (RADIAN Insured), Series 2004
5.000% due 03/01/2032		1,000		969
Palomar, California Community College District General Obligation Bonds, (FSA Insured), Series 2007
4.750% due 05/01/2032		11,900		12,106
San Francisco, California City & County Public Utilities Commission Revenue Bonds, (FSA Insured), Series 2006
4.750% due 11/01/2036		10,000		10,130
Southern California State Public Power Authority Revenue Bonds, (FGIC Insured), Series 1988
0.000% due 07/01/2014		8,155		6,485
				85,590
Colorado 6.3%
Colorado State Certificates of Participation Bonds, (MBIA Insured), Series 2005
5.000% due 11/01/2030 (b)		8,000		8,261
Dawson Ridge, Colorado Metropolitan District No. 1 General Obligation Bonds, Series 1992
0.000% due 10/01/2022		2,930		1,518
El Paso County, Colorado Single-Family Mortgage Revenue Bonds, Series 1984
0.000% due 09/01/2015		2,000		1,507
Regional Transportation District of Colorado Revenue Bonds, (AMBAC Insured), Series 2006
4.500% due 11/01/2032		9,085		8,991
				20,277
Florida 1.7%
Palm Beach County, Florida Solid Waste Authority Revenue Bonds, (AMBAC Insured), Series 2002
0.000% due 10/01/2014		7,000		5,431
Idaho 0.3%
Idaho State Health Facilities Authority Revenue Bonds, (RADIAN Insured), Series 2005
5.000% due 09/01/2035		1,000		944
Illinois 6.2%
Boone, McHenry & Dekalb Counties, Illinois Community Unit School Dist No. 100 General Obligation Bonds, (MBIA Insured), Series 2005
0.000% due 12/01/2019		5,195		3,112
Boone, McHenry & Dekalb Counties, Illinois Community Unit School Dist No. 100 General Obligation Bonds, (MBIA Insured), Series 2006
0.000% due 12/01/2020		6,550		3,720
Chicago, Illinois Board of Education General Obligation Bonds, (FGIC Insured), Series 1998
0.000% due 12/01/2027		2,000		747
Chicago, Illinois General Obligation Bonds, (MBIA Insured), Series 2001
0.000% due 01/01/2023 (a)		5,965		5,726
Chicago, Illinois Revenue Bonds, (FHA/GNMA Insured), Series 2007
4.625% due 09/20/2037		1,725		1,539
Illinois State Educational Facilities Authority Revenue Bonds, Series 2003
5.000% due 07/01/2033		800		825
Illinois State Finance Authority Revenue Bonds, Series 1991
0.000% due 07/15/2025		10,000		4,537
				20,206
Indiana 0.2%
Indiana State Ball State University Revenue Bonds, (FSA Insured), Series 2004
5.500% due 07/01/2020		475		546
Louisiana 6.2%
Louisiana State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2001
5.875% due 05/15/2039		2,560		2,469
5.875% due 05/15/2039 (b)		17,500		16,880
7.116% due 11/15/2031		610		570
				19,919
Maryland 0.3%
Maryland State Health & Higher Educational Facilities Authority Revenue Bonds, 2007
5.000% due 07/01/2027		1,000		921
Massachusetts 2.4%
Commonwealth of Massachusetts General Obligation Bonds, (AMBAC Insured), Series 2004
5.500% due 08/01/2030		500		578
Commonwealth of Massachusetts General Obligation Bonds, (FSA Insured), Series 2006
3.810% due 11/01/2019		2,000		1,969
Massachusetts State Housing Finance Agency Revenue Bonds, Series 2003
5.000% due 06/01/2034 (b)		5,000		4,942
Massachusetts State Water Resources Authority Revenue Bonds, (MBIA Insured), Series 2005
5.000% due 08/01/2034		250		259
				7,748
Michigan 5.9%
Detroit, Michigan Revenue Bonds, (MBIA Insured), Series 2003
5.000% due 07/01/2034		125		128
Michigan State Building Authority Revenue Bonds, (MBIA Insured), Series 2003
5.000% due 10/15/2020 (b)		9,905		10,779
Michigan State Higher Education Student Loan Authority Revenue Bonds, (AMBAC-GTD Student Loan Insured), Series 2005
4.875% due 03/01/2030 (b)		8,500		8,302
				19,209
Mississippi 1.0%
Mississippi State Housing Finance Corporations Revenue Bonds, Series 1983
0.000% due 06/01/2015		4,180		3,179
Missouri 0.6%
Lees Summit, Missouri Industrial Development Authority Revenue Notes, Series 2007
5.000% due 08/15/2010		520		527
Missouri State Housing Development Commission Revenue Bonds, (GNMA/FNMA/FHLMC Insured), Series 2007
4.750% due 09/01/2032		500		463
St. Louis, Missouri Industrial Development Authority Revenue Bonds, Series 2007
4.875% due 03/01/2032		1,000		942
				1,932
Nevada 7.7%
Clark County, Nevada General Obligation Bonds, (FGIC Insured), Series 2006
4.750% due 11/01/2035 (b)		25,000		25,015
New Jersey 2.6%
New Jersey State Economic Development Authority Revenue Bonds, Series 1998
6.000% due 11/01/2028		2,480		2,258
New Jersey State Educational Facilities Authority Revenue Bonds, (RADIAN Insured), Series 2004
5.250% due 07/01/2034		2,000		1,980
New Jersey State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2002
5.750% due 06/01/2032		820		880
New Jersey State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2007
5.000% due 06/01/2041		4,000		3,326
				8,444
New York 7.2%
New York City, New York General Obligation Bonds, (MBIA Insured), Series 1999
5.125% due 05/15/2029 (b)		11,830		12,078
New York City, New York Municipal Water Finance Authority Revenue Bonds, Series 2005
5.000% due 06/15/2031 (b)		10,000		10,352
New York State Dormitory Authority Revenue Bonds, (MBIA Insured), Series 2000
5.790% due 08/15/2022		750		775
				23,205
Ohio 2.8%
Ohio State Buckeye Tobacco Settlement Financing Authority Revenue Bonds, Series 2007
5.875% due 06/01/2047		9,600		9,169
Oregon 2.5%
Clackamas County, Oregon School District No. 12 General Obligation Bonds, (FSA Insured), Series 2007
0.000% due 06/15/2019 (a)		1,000		912
0.000% due 06/15/2020 (a)		4,140		3,757
0.000% due 06/15/2021 (a)		3,665		3,307
				7,976
Pennsylvania 0.3%
Pittsburgh, Pennsylvania Redevelopment Authority Water & Sewer System Revenue Bonds, (FSA Insured), Series 2000
6.470% due 09/01/2021		1,000		1,005
Rhode Island 0.8%
Rhode Island State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2002
6.250% due 06/01/2042		2,725		2,726
South Carolina 2.6%
Lexington, South Carolina Health Services District Revenue Bonds, Series 2004
5.500% due 05/01/2037		1,500		1,668
South Carolina State Tobacco Settlement Revenue Management Authority Revenue Bonds, Series 2001
6.375% due 05/15/2028		800		809
6.375% due 05/15/2030		6,000		6,024
				8,501
Tennessee 1.5%
Tennessee State Energy Acquisition Corporations Revenue Bonds, Series 2006
5.000% due 02/01/2027		5,000		4,862
Texas 34.6%
Arlington, Texas Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 2000
6.270% due 02/15/2024		750		765
Austin, Texas Water & Wastewater Utilities Revenue Bonds, (AMBAC Insured), Series 2005
5.000% due 05/15/2035 (b)		10,000		10,310
Carrollton-Farmers Branch, Texas Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 2007
4.750% due 02/15/2032		5,000		5,040
Dallas, Texas Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 2006
4.750% due 08/15/2032		2,000		2,015
Houston, Texas Higher Education Finance Corp. Revenue Bonds, Series 2007
4.750% due 05/15/2037		7,725		7,812
Houston, Texas Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 1999
4.750% due 02/15/2026 (b)		1,500		1,505
Lancaster, Texas Independent School District General Obligation Revenue Bonds, (FSA Insured), Series 2006
0.000% due 02/15/2024		2,250		1,017
Lubbock, Texas Health Facilities Development Revenue Bonds, Series 1998
5.250% due 07/01/2011		575		585
Rice, Texas Consolidated Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 2007
5.000% due 02/15/2038		5,080		5,268
San Antonio, Texas General Obligation Notes, Series 2001
5.000% due 08/01/2010		50		52
San Antonio, Texas Utilities Revenue Bonds, (MBIA Insured), Series 2005
5.000% due 02/01/2030 (b)		7,070		7,308
San Antonio, Texas Water Revenue Bonds, (MBIA Insured), Series 2005
4.750% due 05/15/2037		3,000		3,000
4.750% due 05/15/2038 (b)		25,000		24,959
Spring Branch, Texas Independent School District General Obligation Bonds, (FSA PSF-GTD Insured), Series 2007
4.500% due 02/01/2026		3,130		3,136
Tarrant, Texas Regional Water District Revenue Bonds, (FGIC Insured), Series 2006
4.750% due 03/01/2029		5,000		5,030
Texas State Capital Area Housing Finance Corporations Revenue Bonds, (FHA/VA Private Mortgage Insured), Series 1984
0.000% due 01/01/2016		6,060		4,430
Texas State Transportation Commission Revenue Bonds, Series 2006
4.750% due 04/01/2024 (b)		21,465		22,008
Victoria, Texas Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 2007
5.000% due 02/15/2037		7,500		7,783
				112,023
Virginia 0.2%
Virginia State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2005
5.500% due 06/01/2026		700		774
Washington 2.6%
King County, Washington General Obligation Bonds, (FGIC Insured), Series 2005
9.950% due 01/01/2035		3,410		3,875
Washington State General Obligation Bonds, (FGIC Insured), Series 2003
0.000% due 06/01/2016		6,230		4,378
				8,253
West Virginia 1.2%
Berkeley Brooke & Fayette Counties, West Virginia Revenue Bonds, Series 1983
0.000% due 12/01/2014		3,250		2,513
West Virginia State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2007
7.467% due 06/01/2047		1,500		1,442
				3,955
Wisconsin 1.2%
Badger, Wisconsin Tobacco Asset Securitization Corporations Revenue Bonds, Series 2002
6.125% due 06/01/2027		2,630		2,718
6.375% due 06/01/2032		250		258
Wisconsin State General Obligation Bonds, (MBIA Insured), Series 2006
5.000% due 05/01/2037		200		199
Wisconsin State Housing & Economic Development Revenue Bonds, (MBIA Insured), Series 2002
4.700% due 11/01/2012		35		35
Wisconsin State Housing & Economic Development Revenue Notes, (MBIA Insured), Series 2002
4.600% due 05/01/2011		585		600
				3,810
Total Municipal Bonds & Notes (Cost $401,174)				405,620
SHORT-TERM INSTRUMENTS 7.3%
Commercial Paper 5.4%
Freddie Mac
3.000% due 01/02/2008		8,800		8,799
General Electric Capital Corp.
3.750% due 01/02/2008		8,800		8,800
				17,599
Repurchase Agreements 1.9%
Lehman Brothers, Inc.
1.000% due 01/02/2008		5,500		5,500
(Dated 12/31/2007. Collateralized by U.S. Treasury Inflation Protected Securities 2.375% due 01/15/2025 valued at $5,610. Repurchase proceeds are $5,500.)
State Street Bank and Trust Co.
3.900% due 01/02/2008		456		456
(Dated 12/31/2007. Collateralized by Federal Home Loan Bank 3.625% due 01/15/2008 valued at $468. Repurchase proceeds are $456.)
				5,956
Total Short-Term Instruments (Cost $23,556)				23,555
Total Investments 132.6% (Cost $424,730)			$	429,175
Other Assets and Liabilities (Net) (32.6%)				(105,510	)
Net Assets 100.0%			$	323,665

Notes to Schedule of Investments (amounts in thousands, except number of contracts):

(a) Security becomes interest bearing at a future date.

(b) Securities represent fixed-rate municipal bonds transferred to a trust in a financing transaction in which the Portfolio acquired Residual Interest Municipal Bonds.

(h) Cash of $1,370 has been segregated with the custodian to cover margin requirements for the following open futures contracts on December 31, 2007:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation
U.S. Treasury 30-Year Bond March Futures	Short	03/2008	483	$	502

See accompanying notes

Schedule of Investments

Real Return Portfolio

December 31, 2007 (Unaudited)

		Principal Amount (000s)		Value (000s)
CORPORATE BONDS & NOTES 7.5%
Banking & Finance 6.4%
American Express Bank FSB
6.000% due 09/13/2017	$	2,300	$	2,317
American Express Centurion Bank
6.000% due 09/13/2017		2,200		2,216
Barclays Bank PLC
5.450% due 09/12/2012		6,200		6,361
7.434% due 09/29/2049		600		625
Bear Stearns Cos., Inc.
6.950% due 08/10/2012		2,200		2,264
Capital One Financial Corp.
6.750% due 09/15/2017		4,900		4,708
Citigroup Capital XXI
8.300% due 12/21/2057		1,100		1,152
Citigroup, Inc.
5.024% due 01/30/2009		600		595
Export-Import Bank of Korea
5.460% due 10/04/2011		1,300		1,302
General Electric Capital Corp.
5.172% due 12/12/2008		600		600
Goldman Sachs Group, Inc.
6.750% due 10/01/2037		5,200		5,111
Merna Reinsurance Ltd.
5.480% due 07/07/2010 (j)		4,000		3,920
Rabobank Nederland
5.262% due 01/15/2009		500		499
Redwood Capital IX Ltd.
7.643% due 01/09/2008		400		400
Rockies Express Pipeline LLC
5.776% due 08/20/2009		5,000		5,004
Travelers Property Casualty Corp.
3.750% due 03/15/2008		800		798
UBS AG
5.875% due 12/20/2017		1,000		1,009
Unicredit Luxembourg Finance S.A.
5.142% due 10/24/2008		1,400		1,398
Vita Capital II Ltd.
6.131% due 01/01/2010		300		296
Vita Capital III Ltd.
6.351% due 01/01/2012		600		591
Wachovia Bank N.A.
5.194% due 12/02/2010		2,100		2,085
				43,251
Industrials 0.3%
Harrah’s Operating Co., Inc.
7.500% due 01/15/2009		400		415
Kraft Foods, Inc.
6.000% due 02/11/2013		800		823
6.125% due 02/01/2018		900		909
				2,147
Utilities 0.8%
BellSouth Corp.
4.240% due 04/26/2021		4,600		4,584
Cleveland Electric Illuminating Co.
6.860% due 10/01/2008		640		648
				5,232
Total Corporate Bonds & Notes (Cost $50,270)				50,630
MUNICIPAL BONDS & NOTES 0.7%
Badger, Wisconsin Tobacco Asset Securitization Corporations Revenue Bonds, Series 2002
6.375% due 06/01/2032		1,000		1,029
California State Tobacco Securitization Agency Revenue Bonds, Series 2002
5.625% due 06/01/2023		235		235
New York City, New York Municipal Water Finance Authority Revenue Bonds, Series 2006
4.750% due 06/15/2038		300		302
New York City, New York Municipal Water Finance Authority Revenue Bonds, Series 2007
5.000% due 06/15/2038		700		728
Rhode Island State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2002
6.000% due 06/01/2023		500		506
Washington State Tobacco Settlement Authority Revenue Bonds, Series 2002
6.500% due 06/01/2026		1,105		1,151
West Virginia State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2007
7.467% due 06/01/2047		1,000		962
Total Municipal Bonds & Notes (Cost $4,611)				4,913
U.S. GOVERNMENT AGENCIES 61.7%
Fannie Mae
4.641% due 04/01/2035		581		583
4.678% due 01/01/2035		358		357
5.000% due 04/01/2036 - 11/01/2037		15,585		15,214
5.500% due 09/01/2023 - 01/01/2038		230,253		229,129
6.000% due 08/01/2036 - 01/01/2038		58,978		59,905
6.063% due 10/01/2044		119		119
6.064% due 09/01/2044		117		118
6.854% due 09/01/2018		66		66
Freddie Mac
4.500% due 05/15/2017		286		286
4.905% due 12/25/2036		4,586		4,525
5.000% due 02/15/2020 - 06/01/2037		5,963		5,965
5.145% due 09/25/2031		89		89
5.378% due 12/15/2030		271		271
5.500% due 05/15/2016 - 11/01/2037		28,461		28,492
6.000% due 08/01/2036 - 11/01/2037		69,289		70,337
Ginnie Mae
6.500% due 05/15/2026 - 06/15/2028		80		83
Total U.S. Government Agencies (Cost $410,944)				415,539
U.S. TREASURY OBLIGATIONS 139.8%
Treasury Inflation Protected Securities (b)
0.875% due 04/15/2010		40,035		39,913
1.625% due 01/15/2015		4,595		4,615
1.875% due 07/15/2013		100,340		103,429
1.875% due 07/15/2015		69,682		71,048
2.000% due 04/15/2012		18,532		19,213
2.000% due 01/15/2014		24,906		25,733
2.000% due 01/15/2026		26,421		26,322
2.375% due 04/15/2011		33,184		34,599
2.375% due 01/15/2017		35,267		37,226
2.375% due 01/15/2025		100,310		105,342
2.375% due 01/15/2027		16,985		17,967
2.500% due 07/15/2016		102,804		109,663
2.625% due 07/15/2017		48,192		52,014
3.000% due 07/15/2012		44,835		48,573
3.375% due 01/15/2012		11,766		12,839
3.500% due 01/15/2011		30,178		32,465
3.625% due 04/15/2028		55,841		70,761
3.875% due 04/15/2029		12,016		15,902
4.250% due 01/15/2010		77,500		82,719
U.S. Treasury Notes
3.625% due 05/15/2013		2,000		1,995
4.625% due 02/29/2012		27,300		28,656
Total U.S. Treasury Obligations (Cost $932,750)				940,994
MORTGAGE-BACKED SECURITIES 3.2%
Bear Stearns Adjustable Rate Mortgage Trust
4.125% due 03/25/2035		3,083		3,047
4.550% due 08/25/2035		1,689		1,663
6.267% due 11/25/2030		375		374
Citigroup Mortgage Loan Trust, Inc.
4.098% due 08/25/2035		82		81
4.248% due 08/25/2035		781		766
4.748% due 08/25/2035		836		825
4.900% due 12/25/2035		133		132
Countrywide Home Loan Mortgage Pass-Through Trust
5.205% due 06/25/2035		916		897
Greenpoint Mortgage Funding Trust
4.945% due 10/25/2046		5,214		5,107
GSR Mortgage Loan Trust
4.539% due 09/25/2035		1,375		1,364
MLCC Mortgage Investors, Inc.
4.725% due 12/25/2034		4,729		4,712
Washington Mutual, Inc.
5.125% due 11/25/2045		334		315
5.155% due 10/25/2045		1,992		1,873
Total Mortgage-Backed Securities (Cost $21,216)				21,156
ASSET-BACKED SECURITIES 0.2%
Bear Stearns Asset-Backed Securities Trust
5.315% due 03/25/2043		166		165
Lehman XS Trust
4.945% due 07/25/2046		374		371
Residential Asset Securities Corp.
4.935% due 04/25/2036		14		14
Structured Asset Securities Corp.
4.900% due 04/25/2035		894		874
Total Asset-Backed Securities (Cost $1,442)				1,424
FOREIGN CURRENCY-DENOMINATED ISSUES 3.1%
Canadian Government Bond
3.000% due 12/01/2036 (b)	CAD	1,409		1,771
General Electric Capital Corp.
5.500% due 09/15/2067	EUR	100		142
6.500% due 09/15/2067	GBP	4,500		9,051
Pylon Ltd.
6.224% due 12/29/2008	EUR	3,200		4,675
Royal Bank of Scotland Group PLC
7.092% due 10/29/2049		400		582
United Kingdom Gilt Inflation Linked Bond
2.500% due 05/20/2009	GBP	900		4,746
Total Foreign Currency-Denominated Issues (Cost $19,402)				20,967
SHORT-TERM INSTRUMENTS 6.9%
Certificates of Deposit 2.1%
Abbey National Treasury Services PLC
5.175% due 07/02/2008	$	7,400		7,402
Fortis Bank NY
4.790% due 06/30/2008		6,000		5,995
Skandinaviska Enskilda Banken AB
4.869% due 02/13/2009		700		699
				14,096
Repurchase Agreements 0.9%
Fixed Income Clearing Corp.
3.900% due 01/02/2008		5,816		5,816
(Dated 12/31/2007. Collateralized by Fannie Mae 6.060% due 06/06/2017 valued at $5,933. Repurchase proceeds are $5,817.)
U.S. Treasury Bills 3.9%
2.925% due 02/28/2008 - 03/13/2008 (a)(c)(d)(f)		26,625		26,461
Total Short-Term Instruments (Cost $46,406)				46,373
Purchased Options (h) 0.5% (Cost $1,899)				3,034
Total Investments 223.6% (Cost $1,488,940)			$	1,505,030
Written Options (i) (1.0%) (Premiums $4,700)				(6,424	)
Other Assets and Liabilities (Net) (122.6%)				(825,450	)
Net Assets (e) 100.0%			$	673,157

Notes to Schedule of Investments (amounts in thousands*, except number of contracts):

* A zero balance may reflect actual amounts rounding to less than one thousand.

(a) Coupon represents a weighted average rate.

(b) Principal amount of security is adjusted for inflation.

(c) Securities with an aggregate market value of $10,670 have been pledged as collateral for swap and swaption contracts on December 31, 2007.

(d) Securities with an aggregate market value of $13,896 have been pledged as collateral for delayed-delivery securities on December 31, 2007.

(e) As of December 31, 2007, portfolio securities with an aggregate value of $10,591 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(f) Securities with an aggregate market value of $1,647 and cash of $3,545 have been segregated with the custodian to cover margin requirements for the following open futures contracts on December 31, 2007:

Description	Type	Expiration Month	# of Contracts		Unrealized Appreciation/ (Depreciation)
90-Day Euribor December Futures	Long	12/2008	214	$	120
90-Day Euribor June Futures	Long	06/2009	11		16
90-Day Euribor March Futures	Long	03/2009	7		9
90-Day Euribor September Futures	Short	09/2008	60		41
90-Day Eurodollar December Futures	Long	12/2008	110		308
90-Day Eurodollar December Futures	Long	12/2009	93		(3)
90-Day Eurodollar June Futures	Long	06/2008	15		35
90-Day Eurodollar June Futures	Long	06/2009	167		220
90-Day Eurodollar March Futures	Long	03/2008	209		274
90-Day Eurodollar March Futures	Long	03/2009	151		185
90-Day Eurodollar September Futures	Long	09/2008	1,330		3,717
90-Day Eurodollar September Futures	Long	09/2009	167		204
Euro-Bund 10-Year Bond March Futures	Short	03/2008	93		279
Japan Government 10-Year Bond March Futures	Long	03/2008	13		12
U.S. Treasury 5-Year Note March Futures	Short	03/2008	1,003		(622)
U.S. Treasury 10-Year Note March Futures	Long	03/2008	430		611
U.S. Treasury 30-Year Bond March Futures	Short	03/2008	394		225
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2008	119		135
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2008	577		499
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2009	84		91
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2008	206		6
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2009	71		88
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2008	129		142
				$	6,592

(g) Swap agreements outstanding on December 31, 2007:

Credit Default Swaps on Securities

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
Bank of America	Black & Decker Corp. 7.125% due 06/01/2011	Buy	(0.680	%)	12/20/2012	$	8,100	$	38
Bank of America	Lowe’s Cos., Inc. 8.250% due 06/01/2010	Buy	(0.530	%)	12/20/2012		10,000		(29)
Bank of America	Mattel, Inc. 6.125% due 06/15/2011	Buy	(0.868	%)	12/20/2012		5,000		(14)
Bank of America	Sherwin-Williams Co. 7.375% due 02/01/2027	Buy	(0.430	%)	12/20/2012		700		0
Barclays Bank PLC	Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	0.965	%	09/20/2012		4,900		(45)
Bear Stearns & Co., Inc.	Kimberly-Clark Corp. 6.875% due 02/15/2014	Buy	(0.320	%)	12/20/2012		3,000		(1)
BNP Paribas Bank	Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Buy	(0.390	%)	12/20/2012		2,400		29
BNP Paribas Bank	Kroger Co. 5.500% due 02/01/2013	Buy	(0.360	%)	12/20/2012		600		0
BNP Paribas Bank	Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	0.900	%	09/20/2012		3,800		(45)
BNP Paribas Bank	Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	1.120	%	09/20/2012		300		(1)
BNP Paribas Bank	Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	1.200	%	09/20/2012		300		0
BNP Paribas Bank	Safeway, Inc. 5.800% due 08/15/2012	Buy	(0.340	%)	12/20/2012		800		(1)
BNP Paribas Bank	Whirlpool Corp. 7.750% due 07/15/2016	Buy	(0.680	%)	12/20/2012		700		0
Citibank N.A.	Anheuser-Busch Cos., Inc. 5.625% due 10/01/2010	Buy	(0.250	%)	12/20/2012		700		1
Citibank N.A.	Bear Stearns Cos., Inc. 5.300% due 10/30/2015	Sell	0.720	%	09/20/2012		400		(18)
Citibank N.A.	Clorox Co. 6.125% due 02/01/2011	Buy	(0.470	%)	12/20/2012		500		0
Citibank N.A.	Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Buy	(0.400	%)	12/20/2012		1,800		21
Credit Suisse USA, Inc.	Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.740	%	09/20/2012		600		2
Credit Suisse USA, Inc.	Marriott International, Inc. 4.625% due 06/15/2012	Buy	(0.640	%)	12/20/2012		400		0
Goldman Sachs & Co.	AutoZone, Inc. 5.875% due 10/15/2012	Buy	(0.529	%)	12/20/2012		400		(2)
Goldman Sachs & Co.	ConAgra Foods, Inc. 7.000% due 10/01/2028	Buy	(0.299	%)	12/20/2012		400		0
Goldman Sachs & Co.	Marriott International, Inc. 4.625% due 06/15/2012	Buy	(0.640	%)	12/20/2012		1,300		2
Goldman Sachs & Co.	Newell Rubbermaid, Inc. 6.350% until 07/15/2008 and variable thereafter, due 07/15/2028	Buy	(0.319	%)	12/20/2012		300		0
JPMorgan Chase & Co.	Bear Stearns Cos., Inc. 5.300% due 10/30/2015	Sell	0.720	%	09/20/2012		600		(26)
JPMorgan Chase & Co.	Capital One Financial Corp. 6.250% due 11/15/2013	Buy	(1.150	%)	09/20/2012		4,900		287
JPMorgan Chase & Co.	Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	0.700	%	09/20/2012		600		(12)
JPMorgan Chase & Co.	Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	0.950	%	09/20/2012		6,300		(62)
Lehman Brothers, Inc.	VF Corp. 8.500% due 10/01/2010	Buy	(0.449	%)	12/20/2012		400		(1)
Morgan Stanley	Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.800	%	09/20/2012		500		3
Morgan Stanley	Nordstrom, Inc. 6.950% due 03/15/2028	Buy	(0.610	%)	12/20/2012		600		(2)
Morgan Stanley	Staples, Inc. 7.375% due 10/01/2012	Buy	(0.700	%)	12/20/2012		500		(1)
Morgan Stanley	TJX Cos., Inc. 7.450% due 12/15/2009	Buy	(0.460	%)	12/20/2012		600		0
Royal Bank of Scotland Group PLC	Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	0.660	%	09/20/2012		500		(11)
								$	112

Credit Default Swaps on Credit Indices

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
Bank of America	Dow Jones CDX N.A. IG9 Index	Buy	(0.800	%)	12/20/2017	$	3,400	$	(4)
Barclays Bank PLC	Dow Jones CDX N.A. IG9 Index	Buy	(0.800	%)	12/20/2017		12,200		(18)
Goldman Sachs & Co.	Dow Jones CDX N.A. IG9 Index	Buy	(0.800	%)	12/20/2017		3,000		(5)
JPMorgan Chase & Co.	Dow Jones CDX N.A. IG9 Index	Sell	0.600	%	12/20/2012		2,300		(7)
JPMorgan Chase & Co.	Dow Jones CDX N.A. IG9 Index	Buy	(0.800	%)	12/20/2017		1,600		(2)
Lehman Brothers, Inc.	Dow Jones CDX N.A. HY9 Index	Sell	3.330	%	12/20/2012		1,400		5
Lehman Brothers, Inc.	Dow Jones CDX N.A. IG9 Index	Buy	(0.600	%)	12/20/2012		5,900		(23)
Lehman Brothers, Inc.	Dow Jones CDX N.A. IG9 Index	Buy	(0.800	%)	12/20/2017		3,100		(6)
Morgan Stanley	Dow Jones CDX N.A. IG9 Index	Buy	(0.800	%)	12/20/2017		4,700		(7)
								$	(67)

⁽¹⁾ If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will pay to the buyer of the protection an amount up to the notional value of the swap and in certain instances, take delivery of the security. As a buyer of protection, the Portfolio will generally receive from the seller of protection an amount up to the notional amount of the swap if a credit event occurs.

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
Barclays Bank PLC	6-Month Australian Bank Bill	Pay	7.000	%	12/15/2009	AUD	11,300	$	(66)
Barclays Bank PLC	6-Month Australian Bank Bill	Receive	6.750	%	12/15/2017		1,400		41
Deutsche Bank AG	6-Month Australian Bank Bill	Pay	6.500	%	01/15/2010		16,200		(275)
Deutsche Bank AG	6-Month Australian Bank Bill	Pay	7.000	%	06/15/2010		34,600		(344)
JPMorgan Chase & Co.	6-Month Australian Bank Bill	Pay	6.500	%	01/15/2010		2,700		(48)
Morgan Stanley	6-Month Australian Bank Bill	Pay	7.000	%	12/15/2009		12,000		(71)
Morgan Stanley	6-Month Australian Bank Bill	Receive	6.750	%	12/15/2017		1,500		44
Royal Bank of Canada	6-Month Australian Bank Bill	Pay	6.500	%	01/15/2010		8,600		(144)
Bank of America	3-Month Canadian Bank Bill	Pay	5.000	%	06/20/2012	CAD	12,800		132
Bank of America	3-Month Canadian Bank Bill	Receive	5.500	%	06/20/2017		9,200		(93)
Royal Bank of Canada	3-Month Canadian Bank Bill	Receive	5.500	%	06/20/2017		400		(8)
Barclays Bank PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.103	%	10/15/2010	EUR	1,600		20
Barclays Bank PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.138	%	01/19/2016		4,000		(12)
Barclays Bank PLC	6-Month EUR-LIBOR	Receive	5.000	%	03/19/2018		100		1
BNP Paribas Bank	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.090	%	10/15/2010		1,800		11
BNP Paribas Bank	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.988	%	12/15/2011		4,500		(61)
Goldman Sachs & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.976	%	12/15/2011		4,500		(54)
Goldman Sachs & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.995	%	03/15/2012		18,900		(277)
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.028	%	10/15/2011		3,700		(8)
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.973	%	12/15/2011		2,000		(29)
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.353	%	10/15/2016		2,000		2
Morgan Stanley	6-Month EUR-LIBOR	Receive	4.000	%	06/15/2017		1,300		116
UBS Warburg LLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.146	%	10/15/2010		1,600		19
UBS Warburg LLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.095	%	10/15/2011		6,900		20
UBS Warburg LLC	Eurostat Eurozone HICP Ex Tobacco Unrevised Series NSA Index	Receive	2.275	%	10/15/2016		2,200		16
UBS Warburg LLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.350	%	10/15/2016		2,200		3
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	5.000	%	06/15/2009	GBP	16,000		(203)
Barclays Bank PLC	United Kingdom RPI Index	Pay	3.250	%	12/14/2017		3,200		23
Barclays Bank PLC	6-Month GBP-LIBOR	Receive	5.000	%	03/20/2018		4,500		(366)
Barclays Bank PLC	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035		4,000		203
Credit Suisse USA, Inc.	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2010		3,700		45
Credit Suisse USA, Inc.	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035		1,500		81
Deutsche Bank AG	6-Month GBP-LIBOR	Pay	6.000	%	03/20/2010		10,300		182
Goldman Sachs & Co.	6-Month GBP-LIBOR	Receive	5.000	%	09/15/2015		3,400		(75)
HSBC Bank USA	6-Month GBP-LIBOR	Receive	4.250	%	06/12/2036		2,200		273
Morgan Stanley	6-Month GBP-LIBOR	Pay	5.000	%	12/19/2009		25,600		130
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2010		10,800		139
Royal Bank of Scotland Group PLC	United Kingdom RPI Index	Pay	3.183	%	12/19/2017		3,600		(1)
Royal Bank of Scotland Group PLC	United Kingdom RPI Index	Pay	3.440	%	09/10/2027		1,100		(13)
Morgan Stanley	6-Month JPY-LIBOR	Pay	1.000	%	03/18/2009	JPY	2,500,000		70
Barclays Bank PLC	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010	$	56,600		133
Barclays Bank PLC	3-Month USD-LIBOR	Pay	5.000	%	06/18/2010		13,700		43
Barclays Bank PLC	3-Month USD-LIBOR	Pay	4.000	%	06/18/2013		38,900		280
Barclays Bank PLC	3-Month USD-LIBOR	Receive	5.000	%	06/18/2018		29,400		(97)
Deutsche Bank AG	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010		104,600		171
Deutsche Bank AG	3-Month USD-LIBOR	Receive	5.000	%	06/18/2015		8,500		5
Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	06/18/2038		6,600		156
Goldman Sachs & Co.	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010		7,800		24
JPMorgan Chase & Co.	3-Month USD-LIBOR	Pay	4.000	%	06/18/2013		6,000		0
Merrill Lynch & Co., Inc.	3-Month USD-LIBOR	Receive	5.000	%	06/18/2018		45,000		(623)
Morgan Stanley	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010		43,700		126
Morgan Stanley	3-Month USD-LIBOR	Pay	4.000	%	06/18/2013		4,700		35
Morgan Stanley	3-Month USD-LIBOR	Receive	5.000	%	06/18/2018		48,800		(915)
Morgan Stanley	3-Month USD-LIBOR	Pay	5.000	%	06/18/2038		26,300		744
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010		2,700		12
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.000	%	06/18/2013		112,900		1,270
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	06/18/2015		3,600		(56)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	06/18/2018		155,300		(245)
UBS Warburg LLC	3-Month USD-LIBOR	Pay	5.000	%	06/18/2009		219,000		3,587
								$	4,073

(h) Purchased options outstanding on December 31, 2007:

Options on Exchange-Traded Futures Contracts

Description		Exercise Price	Expiration Date	# of Contracts		Cost		Value
Call - CBOT U.S. Treasury 5-Year Note March Futures	$	126.000	02/22/2008	1,237	$	23	$	19
Call - CBOT U.S. Treasury 10-Year Note March Futures		140.000	02/22/2008	394		7		6
					$	30	$	25

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date		Notional Amount		Cost		Value
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	03/31/2008	$	38,000	$	213	$	769
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	09/26/2008		8,000		40		166
									$	253	$	935

Foreign Currency Options

Description		Exercise Price	Expiration Date		Notional Amount		Cost		Value
Call - OTC Euro versus U.S. dollar	$	1.353	06/26/2008	EUR	4,000	$	126	$	459
Put - OTC Euro versus U.S. dollar		1.353	06/26/2008		4,000		127		30
Call - OTC Euro versus U.S. dollar		1.392	07/08/2010		4,300		227		401
Put - OTC Euro versus U.S. dollar		1.392	07/08/2010		4,300		226		197
Call - OTC U.S. dollar versus Japanese yen	JPY	118.150	06/23/2008	$	11,800		311		44
Put - OTC U.S. dollar versus Japanese yen		118.150	06/23/2008		11,800		311		921
Call - OTC U.S. dollar versus Japanese yen		111.000	12/01/2008		3,000		54		21
						$	1,382	$	2,073

Options on Securities

Description		Strike Price	Expiration Date		Notional Amount		Cost		Value
Call - OTC Treasury Inflation Protected Securities 2.000% due 01/15/2016	$	120.000	01/15/2008	$	150,000	$	35	$	1
Call - OTC Treasury Inflation Protected Securities 2.000% due 02/14/2008		110.000	02/14/2008		150,000		35		0
Put - OTC Treasury Inflation Protected Securities 0.875% due 04/15/2010		90.000	01/15/2008		7,000		2		0
Put - OTC Treasury Inflation Protected Securities 1.875% due 03/27/2008		73.313	03/27/2008		50,000		12		0
Put - OTC Treasury Inflation Protected Securities 1.875% due 07/14/2013		89.000	02/14/2008		90,000		21		0
Put - OTC Treasury Inflation Protected Securities 2.000% due 01/14/2026		70.500	02/14/2008		100,000		23		0
Put - OTC Treasury Inflation Protected Securities 2.000% due 02/14/2008		88.500	02/14/2008		100,000		23		0
Put - OTC Treasury Inflation Protected Securities 2.375% due 01/14/2025		78.000	02/14/2008		70,000		16		0
Put - OTC Treasury Inflation Protected Securities 2.375% due 03/27/2008		77.375	03/27/2008		20,000		5		0
Put - OTC Treasury Inflation Protected Securities 2.500% due 02/14/2008		88.000	02/14/2008		103,000		24		0
Put - OTC Treasury Inflation Protected Securities 3.000% due 03/27/2008		78.063	03/27/2008		50,000		12		0
Put - OTC Treasury Inflation Protected Securities 3.625% due 03/27/2008		77.625	03/27/2008		50,000		12		0
Put - OTC Treasury Inflation Protected Securities 4.250% due 01/15/2010		98.500	01/15/2008		60,000		14		0
						$	234	$	1

(i) Written options outstanding on December 31, 2007:

Options on Exchange-Traded Futures Contracts

Description		Exercise Price	Expiration Date	# of Contracts		Premium		Value
Call - CBOT U.S. Treasury 10-Year Note March Futures	$	111.000	02/22/2008	21	$	8	$	60

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date		Notional Amount		Premium		Value
Call - OTC 30-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Receive	5.670	%	08/07/2008	$	2,100	$	101	$	228
Put - OTC 30-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Pay	5.670	%	08/07/2008		2,100		77		29
Call - OTC 10-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Receive	5.250	%	09/15/2008		6,000		160		313
Put - OTC 10-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Pay	5.250	%	09/15/2008		6,000		160		74
Call - OTC 30-Year Interest Rate Swap	Citibank N.A.	3-Month USD-LIBOR	Receive	5.670	%	08/07/2008		2,600		109		282
Put - OTC 30-Year Interest Rate Swap	Citibank N.A.	3-Month USD-LIBOR	Pay	5.670	%	08/07/2008		2,600		110		36
Call - OTC 10-Year Interest Rate Swap	Goldman Sachs & Co.	3-Month USD-LIBOR	Receive	5.250	%	09/15/2008		11,700		294		610
Put - OTC 10-Year Interest Rate Swap	Goldman Sachs & Co.	3-Month USD-LIBOR	Pay	5.250	%	09/15/2008		11,700		283		144
Call - OTC 7-Year Interest Rate Swap	Goldman Sachs & Co.	3-Month USD-LIBOR	Receive	5.365	%	09/20/2010		6,000		193		271
Put - OTC 7-Year Interest Rate Swap	Goldman Sachs & Co.	3-Month USD-LIBOR	Pay	5.365	%	09/20/2010		6,000		193		161
Call - OTC 30-Year Interest Rate Swap	JPMorgan Chase & Co.	3-Month USD-LIBOR	Receive	5.670	%	08/07/2008		3,700		128		402
Put - OTC 30-Year Interest Rate Swap	JPMorgan Chase & Co.	3-Month USD-LIBOR	Pay	5.670	%	08/07/2008		3,700		183		51
Call - OTC 10-Year Interest Rate Swap	JPMorgan Chase & Co.	3-Month USD-LIBOR	Receive	5.250	%	09/15/2008		14,200		420		740
Put - OTC 10-Year Interest Rate Swap	JPMorgan Chase & Co.	3-Month USD-LIBOR	Pay	5.250	%	09/15/2008		14,200		285		176
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.950	%	03/31/2008		16,000		197		584
Call - OTC 10-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.250	%	09/15/2008		8,300		208		433
Put - OTC 10-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.250	%	09/15/2008		8,300		201		103
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.950	%	09/26/2008		4,000		45		146
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.365	%	09/20/2010		17,000		489		767
Put - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.365	%	09/20/2010		17,000		602		455
									$	4,438	$	6,005

Foreign Currency Options

Description		Exercise Price	Expiration Date		Notional Amount		Premium		Value
Call - OTC U.S. dollar versus Japanese yen	JPY	118.150	06/23/2008	$	3,500	$	44	$	13
Put - OTC U.S. dollar versus Japanese yen		118.150	06/23/2008		3,500		160		273
Put - OTC U.S. dollar versus Japanese yen		100.000	12/01/2008		3,000		50		73
						$	254	$	359

(j) Restricted securities as of December 31, 2007:

Issuer Description	Coupon		Maturity Date	Acquisition Date		Cost		Market Value	Market Value as Percentage of Net Assets
Merna Reinsurance Ltd.	5.480	%	07/07/2010	09/21/2007	$	3,964	$	3,920	0.58	%

(k) Short sales outstanding on December 31, 2007:

Description	Coupon		Maturity Date		Principal Amount		Proceeds		Value	(2)
Fannie Mae	5.000	%	01/01/2038	$	15,400	$	15,169	$	15,027
Fannie Mae	5.500	%	11/01/2037		71,532		70,057		70,560
Fannie Mae	5.500	%	01/01/2038		61,000		60,335		60,933
Fannie Mae	6.000	%	01/01/2038		8,700		8,841		8,835
Freddie Mac	5.000	%	01/01/2038		1,000		982		976
Freddie Mac	6.000	%	01/01/2038		29,500		29,966		29,938
Treasury Inflation Protected Securities	2.000	%	07/15/2014		54,179		55,130		56,043
Treasury Inflation Protected Securities	2.000	%	01/15/2016		157,858		159,216		162,190
U.S. Treasury Bonds	4.750	%	08/15/2017		9,500		9,973		10,250
U.S. Treasury Bonds	4.750	%	02/15/2037		3,500		3,616		3,733
U.S. Treasury Notes	3.625	%	05/15/2013		2,000		2,023		2,009
U.S. Treasury Notes	4.125	%	08/31/2012		6,200		6,349		6,478
U.S. Treasury Notes	4.250	%	11/15/2013		35,700		36,483		37,250
U.S. Treasury Notes	4.500	%	02/15/2016		18,400		19,085		19,553
						$	477,225	$	483,775

⁽²⁾ Market value includes $1,197 of interest payable on short sales.

(l) Foreign currency contracts outstanding on December 31, 2007:

Type	Currency	Principal Amount Covered by Contract	Settlement Month		Unrealized Appreciation		Unrealized (Depreciation)		Net Unrealized Appreciation/ (Depreciation)
Sell	CAD	1,662	01/2008	$	0	$	(37)	$	(37)
Sell	CHF	891	03/2008		3		0		3
Buy	EUR	168	01/2008		0		(2)		(2)
Sell		8,066	01/2008		19		0		19
Buy	GBP	194	01/2008		0		0		0
Sell		15,817	01/2008		398		0		398
Buy	JPY	124,796	02/2008		9		0		9
Sell		688,530	02/2008		14		0		14
				$	443	$	(39)	$	404

See accompanying notes

Schedule of Investments

Short-Term II Portfolio

December 31, 2007 (Unaudited)

	Principal Amount (000s)		Value (000s)
BANK LOAN OBLIGATIONS 4.0%
Daimler Finance North America LLC
9.000% due 08/03/2012	$	1,200	$	1,157
HCA, Inc.
7.080% due 11/16/2013		1,290		1,245
SLM Corp.
0.000% due 02/16/2008		3,000		2,989
Total Bank Loan Obligations (Cost $5,420)				5,391
CORPORATE BONDS & NOTES 13.0%
Banking & Finance 6.6%
East Lane Re Ltd.
11.911% due 05/06/2011		300		301
Ford Motor Credit Co. LLC
5.625% due 10/01/2008		1,600		1,554
5.800% due 01/12/2009		1,000		949
7.800% due 06/01/2012		150		132
Glitnir Banki HF
5.440% due 04/20/2010		1,000		979
GMAC LLC
6.119% due 05/15/2009		1,000		932
Longpoint Re Ltd.
10.241% due 05/08/2010		500		513
Mystic Re Ltd.
15.081% due 06/07/2011		300		316
SLM Corp.
5.244% due 07/26/2010		600		553
Spinnaker Capital Ltd.
16.491% due 06/15/2008		1,000		1,043
Ventas Realty LP
6.750% due 06/01/2010		600		608
8.750% due 05/01/2009		1,000		1,030
				8,910
Industrials 2.8%
CSC Holdings, Inc.
7.250% due 07/15/2008		1,500		1,506
El Paso Corp.
7.625% due 09/01/2008		100		102
Service Corp. International
6.500% due 03/15/2008		1,400		1,405
Sungard Data Systems, Inc.
3.750% due 01/15/2009		800		780
				3,793
Utilities 3.6%
Enel Finance International S.A.
5.700% due 01/15/2013		1,600		1,626
Florida Power Corp.
5.279% due 11/14/2008		700		699
Midwest Generation LLC
8.300% due 07/02/2009		1,925		1,954
Ohio Edison Co.
4.000% due 05/01/2008		40		40
PSEG Energy Holdings LLC
8.625% due 02/15/2008		500		504
				4,823
Total Corporate Bonds & Notes (Cost $17,600)				17,526
COMMODITY INDEX-LINKED NOTES 0.7%
Goldman Sachs Commodity Index Total Return 0.7%
Morgan Stanley
4.805% due 07/07/2008		1,000		1,002
Total Commodity Index-Linked Notes (Cost $1,000)				1,002
U.S. GOVERNMENT AGENCIES 70.0%
Fannie Mae
4.500% due 09/25/2012		114		114
5.000% due 03/01/2037 - 02/01/2038		1,005		980
5.215% due 09/25/2042		733		726
5.375% due 02/25/2022 - 12/25/2022		26		27
5.475% due 08/25/2022		14		14
5.481% due 09/17/2027		14		14
5.500% due 07/01/2017 - 01/01/2038		8,786		8,798
5.500% due 01/01/2022 - 05/01/2037 (c)		23,938		23,917
5.501% due 01/01/2018		45		45
5.525% due 12/25/2022		12		12
5.527% due 11/01/2018		25		25
5.567% due 11/01/2018		14		14
5.575% due 09/25/2022		10		10
5.609% due 02/01/2024 - 06/01/2024		9		9
5.630% due 11/01/2017		11		11
5.633% due 01/01/2018		13		13
5.725% due 02/25/2023		7		7
5.730% due 12/01/2017		6		6
5.950% due 02/25/2044		1,447		1,457
6.000% due 11/01/2035 - 10/01/2037		629		639
6.000% due 02/01/2036 - 11/01/2037 (c)		52,718		53,549
6.025% due 09/25/2023		175		180
6.063% due 03/01/2044		1,521		1,524
6.263% due 10/01/2040		21		22
6.811% due 11/01/2035		1,381		1,422
7.086% due 09/01/2031 (c)		933		943
7.290% due 01/01/2033		21		21
Freddie Mac
4.905% due 12/25/2036		1		1
5.353% due 02/01/2036		27		28
5.462% due 01/15/2022		2		2
5.500% due 08/15/2030		29		29
5.520% due 06/01/2017		16		16
5.527% due 09/01/2017		14		14
5.712% due 03/15/2020		5		5
5.812% due 03/15/2023		14		14
6.125% due 06/01/2018 (c)		90		90
6.263% due 07/25/2044		78		78
6.297% due 11/01/2018		38		39
6.750% due 11/01/2016 (c)		63		64
6.824% due 11/01/2028		17		17
7.194% due 12/01/2025		26		27
Ginnie Mae
5.625% due 07/20/2027		24		24
6.375% due 04/20/2030		23		24
Total U.S. Government Agencies (Cost $94,308)				94,971
MORTGAGE-BACKED SECURITIES 24.6%
American Home Mortgage Investment Trust
5.015% due 09/25/2035		377		376
Banc of America Funding Corp.
6.144% due 01/20/2047		2,862		2,821
Bear Stearns Adjustable Rate Mortgage Trust
4.550% due 08/25/2035		45		44
4.609% due 01/25/2034		823		815
4.779% due 01/25/2034		418		413
5.659% due 11/25/2034		1		1
5.998% due 11/25/2034		150		150
Bear Stearns Alt-A Trust
5.527% due 09/25/2035		1,654		1,629
Bear Stearns Mortgage Funding Trust
4.935% due 02/25/2037		264		263
CC Mortgage Funding Corp.
5.115% due 08/25/2035		1,056		982
Countrywide Alternative Loan Trust
5.145% due 02/25/2037		2,272		2,149
5.788% due 02/25/2036		1,002		963
Countrywide Home Loan Mortgage Pass-Through Trust
5.135% due 05/25/2034		101		101
5.205% due 06/25/2035		3,148		3,081
First Horizon Asset Securities, Inc.
5.372% due 08/25/2035		2,125		2,117
First Republic Mortgage Loan Trust
5.328% due 08/15/2032		1,217		1,208
GS Mortgage Securities Corp. II
5.352% due 06/06/2020		16		16
GSR Mortgage Loan Trust
4.539% due 09/25/2035		6		7
GSRPM Mortgage Loan Trust
5.565% due 01/25/2032		526		528
Harborview Mortgage Loan Trust
5.055% due 01/19/2038		219		216
5.335% due 02/19/2034		979		967
Indymac Index Mortgage Loan Trust
4.955% due 11/25/2046		1,549		1,511
5.047% due 12/25/2034		1,702		1,684
JPMorgan Mortgage Trust
5.023% due 02/25/2035		45		44
Mellon Residential Funding Corp.
5.468% due 12/15/2030		2,444		2,396
Residential Accredit Loans, Inc.
4.965% due 09/25/2046		1,171		1,156
Sequoia Mortgage Trust
5.329% due 10/20/2027		637		608
Structured Adjustable Rate Mortgage Loan Trust
5.535% due 08/25/2035		1,671		1,660
Structured Asset Mortgage Investments, Inc.
5.085% due 05/25/2036		966		911
5.145% due 02/25/2036		70		67
Structured Asset Securities Corp.
5.331% due 10/25/2035		26		26
Washington Mutual, Inc.
5.155% due 10/25/2045		230		216
5.405% due 12/25/2027		3,514		3,362
5.598% due 12/25/2046		309		291
5.733% due 05/25/2046		347		346
6.188% due 06/25/2042		206		196
Wells Fargo Mortgage-Backed Securities Trust
4.109% due 06/25/2035		88		88
4.949% due 01/25/2035		8		8
Total Mortgage-Backed Securities (Cost $34,026)				33,417
ASSET-BACKED SECURITIES 25.4%
Amortizing Residential Collateral Trust
5.155% due 07/25/2032		43		42
Argent Securities, Inc.
4.915% due 10/25/2036		1,431		1,405
Asset-Backed Funding Certificates
4.925% due 10/25/2036		1,168		1,155
5.215% due 06/25/2034		1,025		988
Asset-Backed Securities Corp. Home Equity
5.140% due 09/25/2034		433		424
Bear Stearns Asset-Backed Securities Trust
5.195% due 01/25/2036		90		88
Carrington Mortgage Loan Trust
4.915% due 01/25/2037		80		78
Chase Funding Mortgage Loan Asset-Backed Certificates
5.505% due 08/25/2032		81		80
Citigroup Mortgage Loan Trust, Inc.
4.915% due 10/25/2036		952		944
4.915% due 11/25/2036		1,021		1,013
4.975% due 08/25/2036		1,500		1,413
ContiMortgage Home Equity Trust
5.708% due 03/15/2027		3		3
Countrywide Asset-Backed Certificates
4.925% due 03/25/2037		1,438		1,399
5.605% due 05/25/2032		48		47
Credit-Based Asset Servicing & Securitization LLC
4.985% due 07/25/2037		461		438
Equity One Asset-Backed Securities, Inc.
5.145% due 11/25/2032		966		950
First NLC Trust
4.935% due 08/25/2037		45		44
Fremont Home Loan Trust
4.935% due 02/25/2037		1,145		1,123
GSAMP Trust
4.935% due 09/25/2036		1,235		1,211
5.155% due 03/25/2034		1,154		1,150
HFC Home Equity Loan Asset-Backed Certificates
5.019% due 03/20/2036		1,194		1,177
Home Equity Asset Trust
5.325% due 02/25/2033		1		1
Indymac Residential Asset-Backed Trust
4.915% due 11/25/2036		761		752
JPMorgan Mortgage Acquisition Corp.
4.935% due 11/25/2036		1,155		1,134
Lehman XS Trust
4.945% due 06/25/2046		916		904
4.945% due 11/25/2046		1,561		1,494
4.985% due 11/25/2036		1,403		1,402
Long Beach Mortgage Loan Trust
4.925% due 10/25/2036		59		58
Merrill Lynch Mortgage Investors, Inc.
4.895% due 05/25/2037		997		984
4.935% due 08/25/2036		881		869
Morgan Stanley ABS Capital I
4.905% due 10/25/2036		1,535		1,514
New Century Home Equity Loan Trust
4.925% due 05/25/2036		136		136
Quest Trust
5.425% due 06/25/2034		8		8
Renaissance Home Equity Loan Trust
5.225% due 11/25/2034		495		487
5.305% due 08/25/2033		472		459
Residential Asset Mortgage Products, Inc.
4.935% due 11/25/2036		1,068		1,050
Residential Asset Securities Corp.
4.935% due 11/25/2036		104		101
4.945% due 10/25/2036		1,456		1,424
Saxon Asset Securities Trust
4.925% due 10/25/2046		1,237		1,221
5.135% due 01/25/2032		41		40
SBI HELOC Trust
5.035% due 08/25/2036		1,525		1,455
Securitized Asset-Backed Receivables LLC Trust
4.915% due 09/25/2036		1,173		1,137
4.925% due 03/25/2036		548		541
Soundview Home Equity Loan Trust
4.965% due 10/25/2036		77		76
Structured Asset Securities Corp.
4.915% due 10/25/2036		485		476
4.995% due 12/25/2035		290		289
5.155% due 01/25/2033		52		51
Truman Capital Mortgage Loan Trust
5.205% due 01/25/2034		218		215
Wells Fargo Home Equity Trust
5.105% due 10/25/2035		1,020		956
Total Asset-Backed Securities (Cost $35,194)				34,406
FOREIGN CURRENCY-DENOMINATED ISSUES 2.0%
BTM Curacao Holdings NV
1.570% due 11/29/2049	JPY	100,000		893
Mizuho Bank Ltd.
1.432% due 12/31/2049		100,000		898
Sumitomo Mitsui Banking Corp.
1.580% due 06/29/2049		100,000		908
Total Foreign Currency-Denominated Issues (Cost $2,547)				2,699
	Shares
PREFERRED STOCKS 1.3%
Fresenius Medical Care Capital Trust II
7.875% due 02/01/2008		1,800		1,804
Total Preferred Stocks (Cost $1,838)				1,804
	Principal Amount (000s)
SHORT-TERM INSTRUMENTS 20.5%
Commercial Paper 15.6%
Abbey National Treasury Services PLC
4.570% due 01/04/2008	$	3,700		3,699
Citibank N.A.
5.940% due 02/04/2008		1,300		1,293
Cox Communications, Inc.
6.002% due 01/15/2008		800		800
Freddie Mac
3.000% due 01/02/2008		700		700
Rabobank Financial Co.
3.980% due 01/02/2008		3,700		3,700
Royal Bank of Scotland Group PLC
4.940% due 03/20/2008		3,700		3,661
UBS Finance Delaware LLC
4.000% due 01/02/2008		3,700		3,700
Unicredito Italiano SpA
4.930% due 03/19/2008		3,700		3,662
				21,215
Repurchase Agreements 4.8%
State Street Bank and Trust Co.
3.900% due 01/02/2008		6,460		6,460
(Dated 12/31/2007. Collateralized by Federal Home Loan Bank 4.125% due 02/15/2008 valued at $6,593. Repurchase proceeds are $6,461.)
U.S. Treasury Bills 0.1%
3.032% due 03/13/2008 (a)(d)		125		124
Total Short-Term Instruments (Cost $27,797)				27,799
Purchased Options (f) 3.1% (Cost $1,282)				4,139
Total Investments 164.6% (Cost $221,012)			$	223,154
Written Options (g) (1.9%) (Premiums $693)				(2,598	)
Other Assets and Liabilities (Net) (62.7%)				(84,979	)
Net Assets (b) 100.0%			$	135,577

Notes to Schedule of Investments (amounts in thousands*, except number of contracts):

* A zero balance may reflect actual amounts rounding to less than one thousand.

(a) Coupon represents a weighted average rate.

(b) As of December 31, 2007, portfolio securities with an aggregate value of $4,018 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(c) The average amount of borrowings outstanding during the period ended December 31, 2007 was $54,722 at a weighted average interest rate of 5.030%. On December 31, 2007, securities valued at $78,008 were pledged as collateral for reverse repurchase agreements.

(d) Securities with an aggregate market value of $124 and cash of $1,845 have been segregated with the custodian to cover margin requirements for the following open futures contracts on December 31, 2007:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation
90-Day Eurodollar December Futures	Long	12/2009	192	$	53
90-Day Eurodollar March Futures	Long	03/2008	18		29
90-Day Eurodollar March Futures	Long	03/2009	27		71
Euro-Schatz March Futures	Short	03/2008	173		141
U.S. Treasury 30-Year Bond March Futures	Short	03/2008	121		154
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2008	86		52
				$	500

(e) Swap agreements outstanding on December 31, 2007:

Credit Default Swaps on Securities

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Bank of America	Energy Transfer Partners LP 5.950% due 02/01/2015	Sell	0.330	%	06/20/2012	$	600	$	(16	)
Bank of America	Glitnir Banki HF floating rate based on 3-Month USD-LIBOR plus 0.260% due 04/20/2010	Buy	(0.170	%)	06/20/2010		1,000		49
Bank of America	Plains All American Pipeline LP 7.750% due 10/15/2012	Sell	0.320	%	06/20/2012		600		(6	)
Bank of America	Valero Energy Corp. 6.875% due 04/15/2012	Sell	0.320	%	06/20/2012		600		(7	)
Barclays Bank PLC	Panama Government International Bond 8.875% due 09/30/2027	Sell	0.260	%	12/20/2008		300		0
Barclays Bank PLC	Pemex Project Funding Master Trust 9.500% due 09/15/2027	Sell	0.290	%	12/20/2008		700		1
Barclays Bank PLC	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.710	%	12/20/2008		700		(2	)
Barclays Bank PLC	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.720	%	12/20/2008		300		(1	)
Citibank N.A.	Nabors Industries, Inc. 5.375% due 08/15/2012	Buy	(0.480	%)	06/20/2012		600		(1	)
Deutsche Bank AG	Diamond Offshore Drilling, Inc. 0.000% due 06/06/2020	Buy	(0.230	%)	06/20/2012		600		2
Deutsche Bank AG	GlobalSantaFe Corp. 5.000% due 02/15/2013	Buy	(0.500	%)	06/20/2012		600		(7	)
Deutsche Bank AG	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.420	%	12/20/2008		300		(1	)
Deutsche Bank AG	Noble Corp. 5.875% due 06/01/2013	Buy	(0.510	%)	06/20/2012		600		(1	)
Deutsche Bank AG	Panama Government International Bond 8.875% due 09/30/2027	Sell	0.250	%	12/20/2008		400		(1	)
Deutsche Bank AG	Peru Government International Bond 8.750% due 11/21/2033	Sell	0.330	%	12/20/2008		300		0
Deutsche Bank AG	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.720	%	12/20/2008		700		(2	)
Lehman Brothers, Inc.	American International Group, Inc. 5.600% due 10/18/2016	Sell	0.055	%	03/20/2008		1,000		(1	)
Lehman Brothers, Inc.	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.400	%	12/20/2008		700		(3	)
Lehman Brothers, Inc.	Pemex Project Funding Master Trust 9.500% due 09/15/2027	Sell	0.290	%	12/20/2008		300		0
Lehman Brothers, Inc.	Peru Government International Bond 8.750% due 11/21/2033	Sell	0.320	%	12/20/2008		700		(1	)
Lehman Brothers, Inc.	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.310	%	12/20/2008		300		(1	)
Merrill Lynch & Co., Inc.	Enbridge Energy Partners LP 4.750% due 06/01/2013	Sell	0.280	%	06/20/2012		600		(8	)
Merrill Lynch & Co., Inc.	Kinder Morgan Energy Partners LP 6.750% due 03/15/2011	Sell	0.290	%	06/20/2012		600		(6	)
Royal Bank of Scotland Group PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.400	%	12/20/2008		700		(2	)
								$	(15	)

⁽¹⁾ If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will pay to the buyer of the protection an amount up to the notional value of the swap and in certain instances, take delivery of the security. As a buyer of protection, the Portfolio will generally receive from the seller of protection an amount up to the notional amount of the swap if a credit event occurs.

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Deutsche Bank AG	6-Month Australian Bank Bill	Pay	6.500	%	01/15/2010	AUD	6,300	$	(111	)
BNP Paribas Bank	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.983	%	03/15/2012	EUR	900		(17	)
Goldman Sachs & Co.	6-Month EUR-LIBOR	Pay	4.000	%	09/19/2009		4,000		(33	)
Goldman Sachs & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.995	%	03/15/2012		1,300		(20	)
JPMorgan Chase & Co.	6-Month EUR-LIBOR	Pay	4.500	%	03/19/2010		5,000		(39	)
Morgan Stanley	6-Month EUR-LIBOR	Pay	4.500	%	03/19/2010		8,200		(51	)
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	6.000	%	06/19/2009	GBP	7,700		73
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2010		4,300		77
Barclays Bank PLC	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035		1,700		100
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Pay	6.000	%	06/19/2009		11,800		115
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2010		400		8
Morgan Stanley	3-Month USD-LIBOR	Pay	4.000	%	06/18/2009	$	9,700		17
Morgan Stanley	3-Month USD-LIBOR	Receive	5.000	%	06/18/2018		9,200		(172	)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	06/18/2018		7,100		(11	)
								$	(64	)

(f) Purchased options outstanding on December 31, 2007:

Options on Exchange-Traded Futures Contracts

Description		Exercise Price	Expiration Date	# of Contracts		Cost		Value
Call - CME 90-Day Eurodollar March Futures	$	95.500	03/17/2008	92	$	47	$	73

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Cost		Value
Call - OTC 2-Year Interest Rate Swap	Bank of America	3-Month USD- LIBOR	Pay	4.750	%	09/26/2008	$	9,500	$	48	$	197
Call - OTC 1-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD- LIBOR	Pay	4.750	%	02/01/2008		30,300		87		231
Call - OTC 2-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	4.750	%	03/31/2008		8,500		47		172
Call - OTC 2-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	4.750	%	09/26/2008		30,000		104		623
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	02/01/2008		15,400		76		360
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	09/26/2008		9,500		34		197
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	12/15/2008		15,000		53		299
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	12/15/2008		51,600		214		1,223
									$	663	$	3,302

Foreign Currency Options

Description		Exercise Price	Expiration Date		Notional Amount		Cost		Value
Call - OTC Euro versus U.S. dollar	$	1.355	05/21/2008	EUR	1,500	$	45	$	168
Put - OTC Euro versus U.S. dollar		1.355	05/21/2008		1,500		45		9
Call - OTC Euro versus U.S. dollar		1.375	06/03/2010		1,400		67		145
Put - OTC Euro versus U.S. dollar		1.375	06/03/2010		1,400		67		56
Call - OTC U.S. dollar versus Japanese yen	JPY	105.200	03/31/2010	$	1,000		42		47
Put - OTC U.S. dollar versus Japanese yen		105.200	03/31/2010		1,000		42		50
Call - OTC U.S. dollar versus Japanese yen		105.400	03/31/2010		3,000		126		136
Put - OTC U.S. dollar versus Japanese yen		105.400	03/31/2010		3,000		126		153
						$	560	$	764

Options on Securities

Description		Strike Price	Expiration Date		Notional Amount		Cost		Value
Put - OTC Fannie Mae 5.500% due 02/01/2038	$	86.469	02/05/2008	$	38,500	$	5	$	0
Put - OTC Fannie Mae 6.000% due 02/01/2038		91.031	02/05/2008		63,000		7		0
						$	12	$	0

(g) Written options outstanding on December 31, 2007:

Options on Exchange-Traded Futures Contracts

Description		Exercise Price	Expiration Date	# of Contracts		Premium		Value
Call - CME 90-Day Eurodollar March Futures	$	95.750	03/14/2008	46	$	26	$	104
Call - CME 90-Day Eurodollar March Futures		95.875	03/14/2008	46		21		92
					$	47	$	196

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date		Notional Amount		Premium		Value
Call - OTC 5-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Receive	4.950	%	09/26/2008	$	4,000	$	47	$	146
Call - OTC 5-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Receive	4.900	%	02/01/2008		6,700		83		221
Call - OTC 5-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	4.900	%	03/31/2008		3,700		45		128
Call - OTC 5-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	4.950	%	09/26/2008		13,000		105		474
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.100	%	02/01/2008		6,700		80		279
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.950	%	09/26/2008		4,000		33		146
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	12/15/2008		5,000		51		196
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.200	%	12/15/2008		17,200		202		812
									$	646	$	2,402

(h) Short sales outstanding on December 31, 2007:

Description	Coupon		Maturity Date		Principal Amount		Proceeds		Value	(2)
Fannie Mae	6.000	%	01/01/2038	$	18,000	$	18,293	$	18,278
U.S. Treasury Notes	4.250	%	11/15/2014		8,300		8,520		8,627
U.S. Treasury Notes	4.250	%	08/15/2015		3,700		3,792		3,868
						$	30,605	$	30,773

⁽²⁾ Market value includes $131 of interest payable on short sales.

(i) Foreign currency contracts outstanding on December 31, 2007:

Type	Currency	Principal Amount Covered by Contract	Settlement Month		Unrealized Appreciation		Unrealized (Depreciation)		Net Unrealized Appreciation/ (Depreciation)
Buy	BRL	4,218	03/2008	$	399	$	0	$	399
Buy		3,495	07/2008		178		0		178
Sell		2,980	07/2008		0		(25)		(25)
Buy	CLP	37,459	03/2008		4		0		4
Buy		410,566	07/2008		0		(2)		(2)
Buy	CNY	35,208	01/2008		55		0		55
Sell		35,208	01/2008		0		(63)		(63)
Buy		95,401	03/2008		166		0		166
Sell		95,401	03/2008		0		(193)		(193)
Buy	EUR	163	01/2008		0		(2)		(2)
Sell		1,739	01/2008		13		0		13
Buy	GBP	211	01/2008		0		0		0
Sell		1,090	01/2008		28		0		28
Buy	IDR	1,243,200	01/2008		1		0		1
Sell		1,243,200	01/2008		1		0		1
Buy	INR	3,180	05/2008		5		0		5
Sell		3,180	05/2008		0		0		0
Sell	JPY	188,147	02/2008		4		0		4
Buy	KRW	306,362	05/2008		1		0		1
Buy		1,869,475	08/2008		0		(44)		(44)
Sell		160,464	08/2008		2		0		2
Buy	MXN	42,258	03/2008		50		0		50
Sell		24,468	03/2008		20		0		20
Buy	NOK	6,618	03/2008		23		0		23
Sell		1,297	03/2008		0		(1)		(1)
Buy	PLN	10,801	07/2008		434		0		434
Sell		10,801	07/2008		0		(13)		(13)
Buy	RUB	6,183	07/2008		7		0		7
Sell		32,078	07/2008		0		(3)		(3)
Buy		162,017	11/2008		36		0		36
Sell		103,992	11/2008		1		0		1
Buy	SGD	124	02/2008		3		0		3
Buy		5,716	05/2008		150		0		150
Sell		2,478	05/2008		0		(61)		(61)
Buy	TWD	1,856	01/2008		0		0		0
Sell		1,856	01/2008		0		0		0
Buy	ZAR	3,128	03/2008		18		0		18
Buy		1,020	07/2008		8		0		8
				$	1,607	$	(407)	$	1,200

See accompanying notes

Schedule of Investments

Short-Term Portfolio

December 31, 2007 (Unaudited)

	Principal Amount (000s)		Value (000s)
CORPORATE BONDS & NOTES 13.4%
Banking & Finance 7.4%
ABX Financing Co.
5.750% due 10/15/2016	$	3,000	$	2,989
BAE Systems Holdings, Inc.
6.400% due 12/15/2011		2,000		2,110
Bear Stearns Cos., Inc.
6.950% due 08/10/2012		5,863		6,034
BHP Billiton Finance Ltd.
5.125% due 03/29/2012		3,000		3,028
CIT Group Holdings, Inc.
5.134% due 01/30/2009		6,600		6,202
CIT Group, Inc.
5.000% due 11/24/2008		10,700		10,593
5.019% due 08/15/2008		4,250		4,217
5.052% due 02/21/2008		32,000		31,718
5.225% due 05/23/2008		700		690
CNA Financial Corp.
5.850% due 12/15/2014		3,000		3,009
Countrywide Financial Corp.
6.250% due 05/15/2016		5,000		2,882
DBS Bank Ltd.
5.098% due 05/16/2017		25,000		23,794
Export-Import Bank of Korea
5.214% due 06/01/2009		22,000		22,042
FIA Card Services N.A.
4.625% due 08/03/2009		18,380		18,381
First Union National Bank of Florida
6.180% due 02/15/2036		600		610
Glitnir Banki HF
5.679% due 01/18/2012		2,000		1,937
Goldman Sachs Group, Inc.
4.974% due 06/23/2009		10,000		9,843
5.324% due 03/02/2010		2,000		1,976
5.481% due 07/23/2009		12,100		12,093
HSBC Finance Corp.
5.212% due 03/12/2010		13,300		13,051
5.240% due 10/21/2009		2,600		2,589
6.375% due 10/15/2011		6,000		6,187
International Lease Finance Corp.
5.625% due 09/20/2013		5,000		5,018
iStar Financial, Inc.
5.514% due 03/03/2008		5,000		4,955
5.950% due 10/15/2013		6,000		5,235
John Deere Capital Corp.
5.650% due 07/25/2011		2,000		2,068
Kaupthing Bank HF
6.125% due 10/04/2016		3,000		2,632
Landsbanki Islands HF
5.730% due 08/25/2009		3,000		2,996
Lehman Brothers Holdings, Inc.
5.094% due 12/23/2010		4,000		3,730
6.200% due 09/26/2014		5,000		5,099
7.000% due 09/27/2027		2,000		2,035
Morgan Stanley
4.925% due 05/07/2009		12,700		12,548
5.420% due 01/22/2009		2,000		1,979
5.659% due 10/18/2016		5,000		4,673
5.722% due 10/15/2015		3,000		2,816
ORIX Corp.
5.480% due 11/22/2011		5,000		5,004
Rabobank Nederland
5.243% due 04/06/2009		800		799
Residential Capital LLC
7.500% due 02/22/2011		5,000		3,138
Santander U.S. Debt S.A. Unipersonal
5.201% due 11/20/2009		2,500		2,470
SLM Corp.
5.164% due 01/25/2008		7,550		7,540
5.314% due 10/25/2011		8,000		7,076
Textron Financial Corp.
4.600% due 05/03/2010		2,000		2,038
VTB Capital S.A.
5.494% due 08/01/2008		13,300		13,184
World Savings Bank FSB
4.938% due 05/08/2009		2,000		2,003
				285,011
Industrials 4.7%
Alcan, Inc.
5.000% due 06/01/2015		2,500		2,426
America Movil SAB de C.V.
4.958% due 06/27/2008		10,000		10,000
Amgen, Inc.
5.133% due 11/28/2008		25,000		24,976
AutoZone, Inc.
5.500% due 11/15/2015		2,500		2,469
5.875% due 10/15/2012		3,000		3,094
Avon Products, Inc.
5.125% due 01/15/2011		4,000		4,028
Boston Scientific Corp.
6.000% due 06/15/2011		2,500		2,425
Comcast Corp.
5.300% due 01/15/2014		5,000		4,909
5.542% due 07/14/2009		900		897
CVS Caremark Corp.
5.441% due 06/01/2010		25,000		24,749
Daimler Finance North America LLC
5.750% due 09/08/2011		14,000		14,220
EnCana Corp.
6.300% due 11/01/2011		2,500		2,614
HJ Heinz Co.
6.428% due 12/01/2008		6,800		6,924
JC Penney Corp., Inc.
7.375% due 08/15/2008		3,693		3,735
Johnson Controls, Inc.
5.250% due 01/15/2011		5,000		5,018
5.500% due 01/15/2016		3,000		2,961
Kellogg Co.
6.600% due 04/01/2011		2,000		2,121
Kerr-McGee Corp.
6.875% due 09/15/2011		4,000		4,261
Kraft Foods, Inc.
5.625% due 11/01/2011		3,000		3,071
Kroger Co.
5.500% due 02/01/2013		4,000		4,015
Lennar Corp.
5.950% due 10/17/2011		3,000		2,539
Newell Rubbermaid, Inc.
4.000% due 05/01/2010		2,100		2,115
Northwest Airlines, Inc.
7.150% due 10/01/2019		14,751		14,857
Sealed Air Corp.
5.625% due 07/15/2013		5,000		4,999
Time Warner, Inc.
5.875% due 11/15/2016		5,000		4,978
Transocean, Inc.
5.341% due 09/05/2008		8,100		8,061
United Airlines, Inc.
6.636% due 07/02/2022		1,500		1,472
Viacom, Inc.
5.750% due 04/30/2011		3,000		3,040
Weatherford International Ltd.
4.950% due 10/15/2013		2,500		2,455
Weyerhaeuser Co.
5.884% due 09/24/2009		5,000		5,015
Wyeth
5.500% due 03/15/2013		2,500		2,574
				181,018
Utilities 1.3%
AT&T, Inc.
4.978% due 02/05/2010		10,600		10,510
Consumers Energy Co.
5.000% due 02/15/2012		3,000		2,981
Dominion Resources, Inc.
5.050% due 11/14/2008		2,800		2,795
5.200% due 01/15/2016		3,000		2,912
DPL, Inc.
6.875% due 09/01/2011		2,500		2,661
Entergy Gulf States, Inc.
3.600% due 06/01/2008		8,850		8,785
Exelon Corp.
6.750% due 05/01/2011		3,000		3,138
Florida Power Corp.
5.279% due 11/14/2008		3,400		3,396
Ohio Edison Co.
4.000% due 05/01/2008		6,325		6,299
Ohio Power Co.
5.424% due 04/05/2010		4,000		3,967
Progress Energy, Inc.
7.100% due 03/01/2011		3,348		3,565
				51,009
Total Corporate Bonds & Notes				517,038
(Cost $526,985)
U.S. GOVERNMENT AGENCIES 33.4%
Fannie Mae
3.000% due 01/25/2025		38		37
3.016% due 08/01/2033		593		583
3.283% due 05/01/2034		452		457
3.292% due 04/01/2034		181		182
3.329% due 06/01/2034		314		311
3.383% due 04/01/2033		437		437
3.390% due 08/01/2033		8,566		8,575
3.441% due 08/01/2033		54		55
3.458% due 08/01/2033		1,480		1,488
3.500% due 08/01/2010 - 01/01/2035		5,865		5,752
3.501% due 08/01/2033		1,737		1,748
3.515% due 08/01/2033		1,086		1,091
3.540% due 09/01/2033		407		408
3.543% due 09/01/2033		442		444
3.545% due 04/01/2034		219		223
3.583% due 08/01/2033		335		335
3.587% due 06/01/2033		687		692
3.612% due 01/01/2034		1,163		1,161
3.650% due 03/25/2022		30		30
3.665% due 08/01/2033		87		87
3.670% due 03/25/2022		9		8
3.750% due 10/25/2021 - 01/01/2035		1,289		1,260
3.764% due 10/01/2043		63		62
3.765% due 07/01/2034		574		564
3.836% due 04/01/2034		709		700
3.838% due 07/01/2033		652		646
3.841% due 05/01/2033		83		83
3.854% due 08/01/2033		157		158
3.870% due 11/01/2033		4,790		4,776
3.874% due 07/01/2033		210		215
3.895% due 09/01/2033		503		500
3.910% due 11/01/2033		3,989		3,986
3.927% due 05/01/2034		250		251
3.942% due 08/01/2034		816		816
3.945% due 11/01/2033		848		827
3.955% due 07/01/2033		219		219
3.956% due 02/01/2033 - 11/01/2033		1,027		1,021
3.962% due 05/01/2034		998		990
3.964% due 03/01/2034		327		325
3.981% due 03/01/2034		2,780		2,749
3.984% due 06/01/2033		2,243		2,248
3.998% due 07/01/2033		1,223		1,225
4.000% due 08/01/2010 - 12/01/2033		18,898		18,648
4.005% due 04/01/2034		1,172		1,165
4.014% due 06/01/2033 - 06/01/2034		831		833
4.020% due 06/01/2033		645		651
4.040% due 03/01/2034		205		203
4.042% due 08/01/2033		4,153		4,152
4.045% due 03/01/2034		239		243
4.070% due 11/01/2034		107		106
4.082% due 07/01/2033		1,019		1,025
4.085% due 02/01/2035		149		149
4.117% due 05/01/2034		1,938		1,929
4.122% due 03/01/2034		875		891
4.124% due 07/01/2035		166		161
4.128% due 11/01/2034		416		410
4.129% due 05/01/2035		852		848
4.132% due 05/01/2033		296		301
4.137% due 08/01/2033		723		724
4.148% due 12/01/2034		209		209
4.153% due 08/01/2035		1,605		1,603
4.155% due 01/01/2035		178		176
4.157% due 03/01/2034		1,176		1,167
4.162% due 09/01/2033		336		337
4.173% due 09/01/2033		981		970
4.178% due 04/01/2034		1,796		1,788
4.180% due 03/01/2033		618		623
4.186% due 11/01/2034		152		153
4.188% due 03/01/2033		427		432
4.190% due 03/01/2034		215		216
4.193% due 06/01/2034		2,389		2,382
4.199% due 11/01/2033		783		771
4.203% due 12/01/2034		318		315
4.215% due 05/01/2033 - 06/01/2033		1,329		1,337
4.222% due 09/01/2033		196		193
4.229% due 04/01/2034		275		272
4.236% due 06/01/2034		1,222		1,221
4.240% due 05/01/2033		232		233
4.243% due 07/01/2035		716		706
4.244% due 02/01/2034		1,266		1,262
4.247% due 01/01/2034		418		418
4.250% due 04/25/2028 - 03/01/2034		3,439		3,447
4.253% due 12/01/2034		171		169
4.258% due 07/01/2034		1,403		1,388
4.264% due 04/01/2034		587		585
4.265% due 03/01/2035		2,367		2,340
4.274% due 09/01/2034		981		985
4.277% due 03/01/2034		906		922
4.287% due 07/01/2034		724		723
4.292% due 03/01/2033 - 04/01/2034		631		629
4.302% due 11/01/2034		2,464		2,465
4.306% due 05/01/2034		3,470		3,463
4.310% due 12/01/2033		830		836
4.311% due 10/01/2033		77		77
4.313% due 06/01/2034		218		218
4.321% due 01/01/2034		598		607
4.325% due 05/01/2034		434		431
4.331% due 11/01/2034 - 01/01/2035		1,042		1,043
4.332% due 06/01/2036		455		453
4.336% due 07/01/2034		440		439
4.340% due 03/01/2034		1,295		1,297
4.344% due 09/01/2033		974		973
4.346% due 04/01/2033 - 09/01/2035		2,747		2,750
4.357% due 02/01/2034		697		692
4.362% due 03/01/2035		1,239		1,225
4.366% due 11/01/2035		466		465
4.370% due 11/01/2034		684		683
4.374% due 04/01/2034		2,594		2,622
4.375% due 12/01/2034		251		249
4.379% due 03/01/2033		186		186
4.380% due 03/01/2035		3,049		3,023
4.388% due 09/01/2032 - 08/01/2033		2,882		2,921
4.391% due 04/01/2033		294		296
4.393% due 04/01/2034		420		418
4.404% due 02/01/2034		114		114
4.406% due 04/01/2034		216		218
4.434% due 01/01/2035		245		243
4.436% due 07/01/2034		1,743		1,734
4.437% due 09/01/2033		1,440		1,444
4.446% due 07/01/2036		1,204		1,219
4.454% due 07/01/2034		2,109		2,095
4.457% due 09/01/2034		1,157		1,167
4.464% due 09/01/2019		1,101		1,091
4.465% due 03/01/2036		407		407
4.470% due 01/01/2035		994		986
4.481% due 10/01/2034		219		217
4.491% due 07/01/2035		1,031		1,042
4.492% due 04/01/2033 - 11/01/2033		4,506		4,514
4.500% due 11/01/2009 - 08/01/2035		65,777		65,580
4.500% due 04/01/2013 - 05/01/2014 (e)		3,150		3,161
4.503% due 06/01/2033		466		465
4.509% due 12/01/2034		205		204
4.516% due 04/01/2034		218		220
4.527% due 04/01/2034		2,179		2,170
4.535% due 08/01/2034		3,310		3,340
4.542% due 07/01/2035		5,273		5,273
4.543% due 11/01/2034		113		112
4.544% due 08/01/2033		1,259		1,254
4.545% due 01/01/2034		1,299		1,316
4.547% due 10/01/2033		2,235		2,225
4.550% due 04/01/2035		1,652		1,647
4.556% due 05/01/2035		1,302		1,304
4.559% due 08/01/2034		837		833
4.570% due 11/01/2033		322		322
4.574% due 05/01/2033		2,131		2,126
4.575% due 08/01/2034		2,908		2,943
4.583% due 09/01/2034		805		802
4.584% due 07/01/2034		290		289
4.585% due 08/01/2033 - 03/01/2035		7,836		7,819
4.586% due 02/01/2035		333		334
4.594% due 06/01/2033		404		404
4.609% due 01/01/2035		1,967		1,970
4.613% due 06/01/2035		583		585
4.615% due 06/01/2035		185		183
4.621% due 09/01/2035		814		816
4.631% due 01/01/2035		6,040		6,010
4.640% due 10/01/2034		119		121
4.642% due 02/01/2033		237		238
4.645% due 03/01/2033 - 07/01/2035		1,898		1,909
4.655% due 08/01/2035		3,397		3,391
4.663% due 07/01/2033		100		100
4.664% due 10/01/2035		605		606
4.675% due 07/01/2035		1,687		1,695
4.676% due 10/01/2036		1,774		1,759
4.679% due 02/01/2035		2,852		2,844
4.681% due 10/01/2033		507		503
4.685% due 10/01/2035		751		760
4.686% due 04/01/2033		803		806
4.689% due 07/01/2035		3,116		3,100
4.691% due 04/01/2033		1,739		1,739
4.693% due 10/01/2034		6,851		6,880
4.699% due 06/01/2034		655		661
4.707% due 10/01/2035		1,021		1,020
4.709% due 02/01/2033		374		375
4.714% due 07/01/2034		1,313		1,322
4.723% due 08/01/2035		1,387		1,406
4.732% due 10/01/2034		1,327		1,343
4.736% due 03/01/2035 - 09/01/2035		3,924		3,940
4.737% due 01/01/2033		127		128
4.739% due 02/01/2035		480		481
4.740% due 07/01/2035		942		952
4.743% due 08/01/2035		368		377
4.750% due 03/01/2034 - 07/01/2034		1,663		1,658
4.754% due 07/01/2036		773		777
4.756% due 09/01/2034		54		54
4.764% due 02/01/2035		314		314
4.769% due 11/01/2034 - 03/01/2035		2,127		2,132
4.773% due 07/01/2035		300		301
4.774% due 11/01/2032		1,709		1,725
4.785% due 12/01/2032		433		437
4.790% due 02/01/2035		333		333
4.792% due 07/01/2035		340		341
4.794% due 11/01/2035		1,457		1,456
4.796% due 01/01/2033		211		213
4.804% due 11/01/2032 - 02/01/2035		676		683
4.809% due 11/01/2034		2,845		2,845
4.816% due 09/01/2035		3,064		3,048
4.819% due 07/01/2034		759		757
4.820% due 01/01/2033		192		192
4.826% due 09/01/2034		2,252		2,249
4.828% due 08/01/2035		987		989
4.832% due 10/01/2034		1,792		1,804
4.833% due 01/01/2035		151		151
4.838% due 03/01/2035		2,426		2,438
4.842% due 11/01/2043		682		681
4.843% due 01/01/2035		911		910
4.850% due 02/01/2013		16		16
4.851% due 07/01/2034		66		67
4.852% due 01/01/2033 - 01/01/2035		341		345
4.853% due 01/01/2036		85		87
4.864% due 11/01/2032		307		308
4.865% due 10/01/2034		3,635		3,639
4.872% due 04/01/2035		149		148
4.874% due 07/01/2036		2,462		2,462
4.878% due 05/01/2035		6,920		6,911
4.883% due 05/01/2033		2,409		2,369
4.886% due 10/01/2035		1,943		1,949
4.892% due 11/01/2033		1,745		1,758
4.898% due 04/01/2035		267		267
4.899% due 01/01/2033 - 02/01/2034		729		744
4.902% due 09/01/2034 - 01/01/2035		5,840		5,829
4.910% due 02/01/2035		223		224
4.911% due 12/01/2035		653		655
4.920% due 01/01/2036		4,461		4,457
4.925% due 12/01/2034 - 07/25/2037		17,446		16,831
4.928% due 03/01/2035		1,686		1,686
4.931% due 01/01/2033		2,612		2,646
4.940% due 09/01/2035		5,277		5,341
4.946% due 02/01/2034		469		466
4.949% due 08/01/2034		2,671		2,661
4.950% due 12/01/2034		479		478
4.951% due 06/01/2034		1,137		1,132
4.952% due 05/01/2035		429		433
4.955% due 04/01/2035		272		272
4.964% due 07/01/2035		310		311
4.981% due 03/01/2036		1,276		1,287
4.985% due 03/25/2034		534		524
4.991% due 09/01/2034		2,520		2,511
5.000% due 02/01/2009 - 07/01/2035		31,807		31,942
5.000% due 02/01/2014 (e)		346		351
5.003% due 07/01/2035		2,740		2,755
5.010% due 12/01/2035		267		269
5.015% due 10/25/2035		6,623		6,538
5.022% due 05/01/2035		4,399		4,415
5.035% due 01/01/2036		190		194
5.049% due 02/01/2033		162		164
5.053% due 07/01/2035		230		232
5.065% due 10/01/2033		2,812		2,840
5.075% due 09/01/2035		1,690		1,717
5.076% due 01/01/2035		3,730		3,778
5.078% due 07/01/2036		1,448		1,466
5.081% due 11/01/2035		3,533		3,588
5.106% due 03/01/2036		922		929
5.107% due 06/01/2035		2,182		2,193
5.113% due 12/01/2035		646		655
5.122% due 12/01/2035		939		951
5.123% due 02/01/2035		689		693
5.125% due 10/01/2012		83		83
5.139% due 05/01/2035		783		797
5.144% due 03/01/2033		218		222
5.153% due 12/01/2035		922		927
5.164% due 09/01/2035		990		1,008
5.165% due 03/25/2018 - 01/25/2034		1,509		1,517
5.196% due 05/01/2037		1,376		1,395
5.209% due 02/01/2036		1,029		1,035
5.215% due 05/01/2036 - 02/25/2044		1,338		1,330
5.221% due 04/01/2033		1,843		1,870
5.227% due 08/01/2032		489		495
5.247% due 01/01/2037		61		62
5.255% due 05/01/2035		778		785
5.265% due 08/25/2017 - 04/01/2036		2,227		2,244
5.271% due 07/01/2037		1,904		1,909
5.272% due 02/01/2036		160		163
5.281% due 09/01/2034		2,865		2,903
5.307% due 06/01/2035		2,770		2,797
5.315% due 02/25/2033		924		928
5.323% due 11/01/2036		1,401		1,429
5.326% due 05/01/2036		714		720
5.328% due 04/15/2035 - 03/15/2036		73		72
5.356% due 05/01/2036		2,287		2,312
5.365% due 08/25/2031 - 09/25/2034		15,133		15,149
5.374% due 02/01/2036		129		130
5.375% due 12/25/2013		77		78
5.388% due 12/01/2035		981		991
5.397% due 10/01/2035		10,192		10,389
5.411% due 03/25/2027		529		521
5.415% due 12/25/2030		168		169
5.420% due 11/01/2036		523		532
5.430% due 03/25/2027		1,275		1,235
5.433% due 04/25/2023		73		73
5.450% due 01/01/2036		273		272
5.462% due 10/01/2032		343		350
5.475% due 03/25/2008 - 12/25/2023		266		269
5.481% due 09/17/2027		193		195
5.496% due 05/18/2032		752		759
5.498% due 04/01/2036		75		76
5.500% due 02/01/2009 - 10/01/2037		25,513		25,642
5.500% due 08/01/2012 - 03/01/2037 (e)		104,724		104,656
5.513% due 11/01/2031		166		166
5.515% due 09/25/2023 - 11/25/2031		807		818
5.519% due 05/01/2032		352		358
5.525% due 10/25/2022		175		177
5.526% due 12/01/2032		562		567
5.546% due 12/18/2031		1,496		1,512
5.554% due 07/01/2036		588		594
5.565% due 04/25/2032		1,381		1,385
5.575% due 09/25/2022		55		56
5.578% due 12/01/2036		1,766		1,788
5.588% due 10/01/2036		4,828		4,899
5.591% due 12/01/2036		2,115		2,145
5.620% due 05/01/2036		1,912		1,925
5.623% due 01/01/2036		68		68
5.625% due 05/25/2022 - 10/01/2024		293		297
5.626% due 05/01/2036		236		238
5.628% due 05/01/2036		467		470
5.629% due 04/01/2036		4,338		4,411
5.650% due 04/01/2037		6,118		6,209
5.661% due 08/01/2046		1,189		1,202
5.675% due 12/25/2008 - 09/25/2020		263		265
5.695% due 12/01/2036		181		184
5.698% due 05/01/2037		3,171		3,203
5.705% due 01/25/2022		224		228
5.712% due 12/01/2018		51		51
5.750% due 08/25/2023		785		784
5.855% due 09/01/2017		78		79
5.865% due 04/25/2032		285		289
5.871% due 05/01/2036		1,231		1,264
5.875% due 12/25/2023		722		733
5.950% due 02/25/2044		3,877		3,905
5.982% due 09/01/2035		5,689		5,748
5.984% due 07/01/2036		56		57
6.000% due 09/25/2014 - 08/25/2044		5,450		5,560
6.025% due 09/25/2023 - 10/25/2023		316		325
6.063% due 07/01/2042 - 07/01/2044		3,615		3,626
6.075% due 05/25/2022		231		235
6.079% due 03/01/2037		1,048		1,068
6.099% due 01/01/2019		456		461
6.100% due 02/25/2009		128		129
6.113% due 09/01/2041		124		124
6.176% due 09/01/2036		83		84
6.184% due 04/01/2040		1,958		2,024
6.250% due 05/25/2042		115		120
6.263% due 09/01/2040		44		44
6.360% due 08/01/2036		833		861
6.432% due 08/25/2042		126		127
6.446% due 02/01/2037		767		790
6.500% due 11/01/2008 - 01/25/2044		4,776		4,970
6.605% due 07/01/2029		65		66
6.629% due 07/01/2035		1,865		1,922
6.680% due 11/01/2014		41		41
6.811% due 11/01/2035		891		918
6.817% due 11/01/2035		350		360
6.967% due 07/01/2018		62		63
7.000% due 12/01/2009 - 02/25/2044		1,683		1,745
7.155% due 11/01/2025		151		153
7.179% due 12/01/2040		289		293
7.224% due 09/01/2032		355		361
7.243% due 04/01/2024		45		46
7.368% due 09/01/2029		281		286
7.396% due 06/01/2030		99		103
7.500% due 12/01/2014 - 05/25/2042		639		670
7.660% due 05/01/2015		2,464		2,730
7.775% due 05/01/2030		28		29
8.000% due 08/25/2022 - 10/01/2026		429		462
9.000% due 04/01/2020 - 01/01/2026		224		243
9.500% due 07/01/2021 - 06/01/2025		216		238
Freddie Mac
2.500% due 04/15/2013		718		711
3.000% due 05/15/2022		79		79
3.500% due 05/01/2008 - 03/15/2022		1,622		1,598
3.624% due 10/01/2033		640		644
3.805% due 05/01/2034		132		131
3.870% due 12/15/2013		79		79
3.875% due 07/01/2033		1,883		1,919
3.886% due 05/01/2034		1,558		1,542
3.888% due 08/01/2033		211		215
3.901% due 06/01/2033		86		86
3.955% due 03/01/2034		822		833
3.960% due 04/01/2034		2,126		2,135
4.000% due 05/01/2008 - 10/15/2026		35,290		34,916
4.006% due 04/01/2034		656		658
4.014% due 03/01/2034		2,401		2,373
4.068% due 11/01/2034		207		208
4.069% due 04/01/2034		1,729		1,713
4.089% due 01/01/2035		102		100
4.107% due 11/01/2033		222		222
4.142% due 04/01/2034		475		481
4.146% due 01/01/2035		165		163
4.180% due 01/01/2034		723		719
4.187% due 10/01/2034		1,142		1,143
4.191% due 07/01/2034		537		543
4.198% due 02/01/2034		1,041		1,056
4.222% due 03/01/2034		2,823		2,869
4.230% due 07/01/2033		379		379
4.244% due 03/01/2034		423		430
4.250% due 11/15/2020 - 09/15/2024		8,844		8,788
4.253% due 12/01/2033		383		386
4.278% due 10/01/2033		401		401
4.279% due 01/01/2034		192		196
4.292% due 12/01/2033		565		577
4.293% due 11/01/2034		3,145		3,143
4.314% due 03/01/2035		289		286
4.315% due 10/01/2033		1,281		1,311
4.332% due 11/01/2033		433		439
4.335% due 11/01/2034		1,125		1,121
4.364% due 09/01/2035		176		175
4.367% due 12/01/2034		112		110
4.376% due 01/01/2035		709		701
4.424% due 12/01/2033		581		593
4.455% due 11/01/2034		1,400		1,406
4.479% due 08/01/2035		2,425		2,418
4.482% due 01/01/2035		1,051		1,042
4.493% due 03/01/2035		1,079		1,073
4.500% due 01/01/2008 - 08/15/2034		82,476		82,368
4.500% due 03/01/2013 - 08/01/2015 (e)		21,786		21,883
4.515% due 12/01/2034		3,067		3,038
4.538% due 09/01/2034		256		255
4.545% due 03/01/2035		4,442		4,407
4.547% due 12/01/2034		101		101
4.575% due 11/01/2034		1,567		1,560
4.596% due 12/01/2034		213		216
4.602% due 01/01/2035		102		101
4.661% due 03/01/2035		1,119		1,114
4.748% due 12/01/2034		6,455		6,456
4.750% due 12/15/2016 - 01/15/2031		3,769		3,766
4.752% due 04/01/2035		2,672		2,670
4.753% due 07/01/2036		958		956
4.768% due 10/01/2034		2,342		2,360
4.774% due 09/01/2035		502		501
4.779% due 09/01/2034		2,903		2,936
4.783% due 10/15/2013		156		156
4.796% due 11/01/2034		557		557
4.809% due 02/01/2035		3,287		3,300
4.814% due 05/01/2035		5,189		5,179
4.827% due 09/01/2034		327		326
4.834% due 03/01/2035		673		679
4.836% due 01/01/2035		876		884
4.841% due 07/01/2035		1,139		1,136
4.852% due 09/01/2035		142		141
4.893% due 07/01/2035 - 08/01/2036		9,626		9,630
4.910% due 07/01/2035		67		67
4.911% due 04/01/2034		43		44
4.930% due 07/01/2033		78		78
4.931% due 12/01/2032		237		242
4.955% due 12/01/2034		2,770		2,774
4.963% due 08/01/2035		1,346		1,344
4.975% due 04/01/2035		885		885
4.981% due 03/01/2035		75		75
4.987% due 09/01/2036		884		886
4.988% due 08/01/2034 - 05/01/2035		2,780		2,802
5.000% due 02/01/2008 - 11/15/2029		83,339		83,568
5.000% due 11/01/2017 (e)		4,134		4,163
5.007% due 01/01/2036		158		158
5.009% due 06/01/2035		150		151
5.013% due 05/01/2033		53		54
5.033% due 12/01/2035		123		124
5.091% due 05/01/2035		905		909
5.125% due 08/25/2031 - 09/01/2034		1,514		1,518
5.145% due 09/25/2031		1,182		1,182
5.150% due 03/01/2035		1,209		1,212
5.157% due 08/01/2015		81		81
5.179% due 11/01/2033		3,504		3,523
5.191% due 11/01/2033		4,348		4,357
5.196% due 10/01/2032		503		512
5.204% due 11/01/2035		4,166		4,197
5.215% due 06/25/2029		245		245
5.229% due 08/01/2036		1,413		1,414
5.240% due 03/01/2036 - 04/01/2036		2,802		2,816
5.242% due 02/01/2036		113		114
5.253% due 09/01/2035		904		909
5.265% due 05/25/2043		3,116		3,134
5.271% due 02/01/2036		140		141
5.273% due 09/01/2035		296		296
5.282% due 02/01/2037		2,361		2,395
5.290% due 02/01/2036		114		113
5.301% due 10/01/2035 - 02/01/2037		2,277		2,294
5.309% due 02/01/2036		204		206
5.333% due 05/15/2008 - 01/01/2037		3,948		4,006
5.351% due 12/01/2036		1,027		1,041
5.355% due 12/01/2035		4,671		4,718
5.378% due 06/15/2018 - 06/15/2031		8,211		8,206
5.406% due 02/01/2036		300		303
5.421% due 10/01/2036		7,751		7,789
5.428% due 11/15/2032		155		156
5.470% due 08/01/2036		881		898
5.481% due 12/01/2036		3,072		3,116
5.500% due 08/01/2009 - 10/15/2032		10,987		11,087
5.512% due 03/15/2024		250		250
5.527% due 02/01/2019		143		145
5.528% due 01/15/2032		91		91
5.538% due 08/01/2036		1,324		1,335
5.540% due 10/01/2035		269		272
5.543% due 01/01/2030		193		194
5.550% due 11/15/2027		65		65
5.562% due 05/15/2023 - 10/15/2026		673		672
5.570% due 11/01/2036		2,299		2,326
5.578% due 04/15/2028 - 03/15/2032		1,968		1,986
5.628% due 06/15/2029 - 12/15/2031		2,045		2,061
5.651% due 04/01/2037		2,605		2,632
5.662% due 08/15/2022 - 12/01/2035		1,844		1,858
5.667% due 05/01/2037		5,718		5,800
5.695% due 03/01/2036		145		145
5.701% due 02/01/2037		4,026		4,093
5.720% due 02/01/2036		4,097		4,115
5.751% due 11/01/2035		32		33
5.762% due 04/15/2022		158		158
5.807% due 04/01/2032		598		617
5.814% due 04/01/2036		492		496
5.815% due 11/01/2036 - 01/01/2037		256		260
5.838% due 03/01/2032		632		653
5.888% due 07/01/2036		64		65
5.898% due 04/01/2032		941		960
5.952% due 11/01/2036		116		119
6.000% due 11/15/2008 - 10/01/2033		14,326		14,579
6.000% due 08/01/2037 (e)		77,553		78,723
6.041% due 07/01/2019		18		18
6.063% due 10/25/2044 - 02/25/2045		1,096		1,098
6.175% due 03/15/2029		1,115		1,129
6.250% due 12/15/2023 - 03/15/2028		2,029		2,043
6.263% due 07/25/2044		6,629		6,629
6.500% due 05/15/2012		125		126
7.000% due 06/01/2017 - 07/15/2027		183		192
7.104% due 10/01/2029		39		40
7.141% due 03/01/2030		414		419
7.151% due 09/01/2034		119		120
7.292% due 11/01/2031		253		259
7.438% due 08/01/2023		23		24
Ginnie Mae
4.000% due 09/16/2025		263		262
4.500% due 08/16/2028 - 08/20/2035		3,422		3,409
5.000% due 05/20/2030		3,355		3,366
5.228% due 01/16/2031		49		49
5.299% due 06/20/2032		173		174
5.349% due 06/20/2030 - 04/20/2031		860		859
5.428% due 02/16/2032		289		291
5.478% due 03/16/2031		318		320
5.528% due 04/16/2030 - 04/16/2032		392		395
5.625% due 07/20/2026 - 07/20/2031		2,042		2,052
6.000% due 10/20/2012 - 03/20/2032		1,023		1,028
6.125% due 10/20/2029		1,948		1,974
6.250% due 01/20/2030		32		33
6.375% due 02/20/2025 - 01/20/2027		1,016		1,031
6.500% due 07/20/2017		274		274
8.000% due 06/20/2025		3		3
8.500% due 12/20/2026 - 11/20/2027		60		65
Small Business Administration
5.090% due 10/01/2025		3,209		3,237
6.100% due 02/01/2009		58		59
Total U.S. Government Agencies (Cost $1,281,256)				1,296,206
U.S. TREASURY OBLIGATIONS 2.0%
U.S. Treasury Bonds
4.250% due 11/15/2017		75,000		76,330
Total U.S. Treasury Obligations (Cost $75,679)				76,330
MORTGAGE-BACKED SECURITIES 37.2%
ABN AMRO Mortgage Corp.
5.000% due 02/25/2018		1,739		1,738
5.000% due 07/25/2018		1,774		1,766
Adjustable Rate Mortgage Trust
4.598% due 05/25/2035		1,324		1,317
4.723% due 01/25/2036		3,996		3,978
5.115% due 10/25/2035		50		47
5.235% due 01/25/2035		2,092		2,050
5.235% due 02/25/2035		2,450		2,434
American Home Mortgage Investment Trust
4.290% due 10/25/2034		1,516		1,490
4.390% due 02/25/2045		1,344		1,290
4.440% due 02/25/2045		3,078		3,003
Banc of America Alternative Loan Trust
5.000% due 06/25/2019		1,920		1,899
Banc of America Funding Corp.
4.106% due 03/20/2035		249		246
4.111% due 05/25/2035		2,850		2,815
4.422% due 11/20/2034		6,353		6,243
Banc of America Large Loan, Inc.
5.538% due 08/15/2029		13,814		13,790
Banc of America Mortgage Securities, Inc.
3.705% due 04/25/2034		1,251		1,233
3.858% due 02/25/2034		4,955		4,852
4.003% due 02/25/2033		1,900		1,894
4.146% due 07/25/2034		8,000		7,957
4.500% due 02/25/2018		1,905		1,895
5.000% due 12/25/2018		370		367
5.000% due 05/25/2035		13,333		13,279
5.250% due 03/25/2034		436		436
5.265% due 03/25/2034		274		273
5.265% due 10/25/2035		302		302
5.500% due 04/25/2033		965		968
6.500% due 09/25/2033		1,137		1,159
Bank of America-First Union NB Commercial Mortgage
4.890% due 04/11/2037		2,658		2,659
Bear Stearns Adjustable Rate Mortgage Trust
3.991% due 07/25/2034		545		539
4.609% due 01/25/2034		1,779		1,762
4.625% due 10/25/2035		6,841		6,743
4.650% due 10/25/2035		300		297
4.750% due 10/25/2035		17,637		17,523
4.779% due 01/25/2034		1,278		1,262
4.794% due 10/25/2034		9,958		9,937
4.864% due 01/25/2035		347		347
4.950% due 10/25/2033		60		60
4.956% due 01/25/2035		1,942		1,927
5.037% due 04/25/2033		111		112
5.437% due 04/25/2033		225		225
5.608% due 02/25/2033		80		79
5.789% due 02/25/2033		20		20
5.998% due 11/25/2034		3,126		3,129
Bear Stearns Alt-A Trust
4.935% due 11/25/2034		13,434		13,326
5.025% due 02/25/2034		1,962		1,864
5.065% due 02/25/2034		8,000		7,377
5.368% due 05/25/2035		245		242
5.811% due 11/25/2036		1,068		1,053
5.902% due 01/25/2036		5,846		5,702
5.949% due 02/25/2036 (e)		43,553		43,149
Bear Stearns Commercial Mortgage Securities
3.970% due 11/11/2035 (e)		20,118		19,900
6.020% due 02/14/2031		28,131		28,332
6.440% due 06/16/2030		6,443		6,450
Bear Stearns Structured Products, Inc.
4.989% due 01/25/2037		22,575		22,342
Cendant Mortgage Corp.
5.250% due 10/25/2033		76		75
Chase Mortgage Finance Corp.
4.356% due 02/25/2037		12,665		12,724
5.000% due 04/25/2018		589		591
5.237% due 12/25/2035		3,316		3,305
5.250% due 01/25/2034		3,077		3,066
Citicorp Mortgage Securities, Inc.
5.000% due 04/25/2018		4,467		4,477
5.000% due 02/25/2035		200		172
5.500% due 09/25/2035		1,289		1,291
Citigroup Commercial Mortgage Trust
5.098% due 08/15/2021		924		894
Citigroup/Deutsche Bank Commercial Mortgage Trust
5.322% due 12/11/2049		7,000		6,993
5.617% due 10/15/2048		15,000		15,320
Commercial Mortgage Pass-Through Certificates
5.306% due 12/10/2046		20,549		20,527
6.455% due 05/15/2032		2,960		2,969
Countrywide Alternative Loan Trust
5.065% due 06/25/2037		1,764		1,652
5.158% due 07/25/2034		55		55
5.265% due 03/25/2034		661		650
5.500% due 02/25/2034		247		245
5.508% due 06/25/2037		9,066		8,807
5.788% due 02/25/2036		1,002		963
6.098% due 07/20/2035		1,064		1,027
6.175% due 08/25/2036		1,488		1,491
6.500% due 06/25/2033		17		17
Countrywide Home Loan Mortgage Pass-Through Trust
3.775% due 10/25/2033		5,000		4,996
4.355% due 06/20/2035		1,108		1,100
4.500% due 10/25/2018		90		79
4.500% due 01/25/2033		536		535
4.686% due 08/25/2034		9,125		9,025
4.883% due 08/25/2034		11,337		11,268
5.000% due 02/25/2033		360		360
5.000% due 05/25/2034		3,602		3,574
5.135% due 02/25/2035		652		640
5.205% due 06/25/2035		6,869		6,723
5.215% due 08/25/2035		1,011		965
5.250% due 02/20/2036		135		132
5.500% due 04/25/2033		6,176		6,170
5.500% due 01/25/2034		121		121
5.500% due 10/25/2035		3,230		3,236
5.500% due 11/25/2035		3,607		3,613
5.850% due 05/25/2036		881		887
Credit Suisse Mortgage Capital Certificates
5.467% due 09/15/2039		20,000		20,193
CS First Boston Mortgage Securities Corp.
4.106% due 12/15/2035		10,913		10,746
4.598% due 10/25/2033		8,104		8,045
4.650% due 01/25/2034		10,735		10,719
4.918% due 07/25/2033		2,656		2,647
5.160% due 03/25/2034		187		186
6.500% due 04/25/2033		347		348
6.700% due 06/25/2032		1		2
7.279% due 11/25/2032		39		39
CW Capital Cobalt Ltd.
5.223% due 08/15/2048		20,000		19,826
Deutsche ALT-A Securities, Inc. Alternate Loan Trust
4.883% due 10/25/2036		356		355
4.935% due 01/25/2047		1,349		1,322
4.945% due 03/25/2037		8,437		8,357
First Horizon Alternative Mortgage Securities
5.307% due 07/25/2035		726		718
5.406% due 09/25/2035		197		196
First Horizon Asset Securities, Inc.
4.402% due 12/25/2033		2,277		2,263
4.915% due 02/25/2035		1,437		1,445
5.000% due 03/25/2034		5,494		5,473
5.135% due 02/25/2035		43		41
5.186% due 06/25/2033		6,727		6,656
6.000% due 05/25/2036		1,230		1,236
First Republic Mortgage Loan Trust
5.185% due 06/25/2030		895		874
5.328% due 08/15/2032		2,940		2,920
5.378% due 11/15/2031		540		529
5.428% due 11/15/2032		638		635
GE Capital Commercial Mortgage Corp.
5.333% due 11/10/2045		11,000		11,056
GMAC Commercial Mortgage Securities, Inc.
5.238% due 11/10/2045		20,000		19,899
6.420% due 05/15/2035		298		299
GMAC Mortgage Corp. Loan Trust
4.311% due 06/25/2034		2,143		2,106
5.500% due 09/25/2034		6,514		6,516
Greenwich Capital Commercial Funding Corp.
5.444% due 03/10/2039		25,000		25,196
GS Mortgage Securities Corp. II
6.302% due 03/06/2020		3,000		2,727
GSAA Trust
6.000% due 04/01/2034		2,183		2,195
GSR Mortgage Loan Trust
3.934% due 06/25/2034		1,396		1,352
4.396% due 12/25/2034		22,825		22,640
4.500% due 08/25/2019		1,154		1,147
4.539% due 09/25/2035		25,604		25,377
4.603% due 03/25/2033		153		151
5.000% due 08/25/2019		744		744
5.018% due 05/25/2035		326		326
5.215% due 01/25/2034		2,950		2,902
5.298% due 06/25/2034		141		140
6.000% due 03/25/2032		79		78
GSRPM Mortgage Loan Trust
5.265% due 11/25/2031		1,171		1,170
Harborview Mortgage Loan Trust
3.941% due 06/19/2034		10,000		9,981
4.970% due 05/19/2033		4,007		3,946
4.995% due 04/19/2038		2,799		2,621
5.155% due 01/19/2038 (e)		41,664		39,089
5.155% due 02/19/2046		2,942		2,754
5.165% due 02/19/2046		154		141
5.185% due 05/19/2035		185		175
Impac CMB Trust
5.689% due 10/25/2033		2,207		2,179
Indymac Index Mortgage Loan Trust
4.955% due 11/25/2046		1,147		1,119
4.965% due 01/25/2037		1,029		1,020
5.085% due 04/25/2046		2,471		2,322
5.255% due 05/25/2034		817		783
JPMorgan Chase Commercial Mortgage Securities Corp.
5.050% due 12/12/2034		10,000		10,093
5.336% due 05/15/2047		15,000		14,973
5.429% due 12/12/2043		20,000		20,149
5.475% due 04/15/2043		20,000		20,261
5.552% due 05/12/2045		20,000		20,330
JPMorgan Mortgage Trust
4.495% due 06/25/2035		145		142
4.766% due 07/25/2035		4,388		4,297
4.829% due 12/25/2034		783		770
4.842% due 12/25/2034		221		221
4.948% due 11/25/2035		20,838		20,717
4.974% due 08/25/2035		5,434		5,399
5.005% due 07/25/2035		2,144		2,141
5.300% due 07/25/2035		12,727		12,681
LB-UBS Commercial Mortgage Trust
4.990% due 11/15/2030		69		69
Lehman Brothers Floating Rate Commercial Mortgage Trust
5.108% due 09/15/2021		1,677		1,675
MASTR Adjustable Rate Mortgages Trust
3.786% due 11/21/2034		29,234		28,987
4.711% due 07/25/2034		6,858		6,874
4.848% due 01/25/2036		252		251
MASTR Asset Securitization Trust
5.000% due 04/25/2018		6,171		6,169
5.000% due 05/25/2018		1,227		1,227
5.250% due 09/25/2033		402		399
5.500% due 09/25/2033		2,244		2,227
5.750% due 05/25/2036		10,042		10,119
Mellon Residential Funding Corp.
5.458% due 08/15/2032		693		690
5.468% due 12/15/2030		327		320
5.508% due 06/15/2030		753		744
Merrill Lynch Countrywide Commercial Mortgage Trust
5.414% due 07/12/2046		28,500		28,713
Merrill Lynch Floating Trust
5.098% due 06/15/2022		1,684		1,634
Merrill Lynch Mortgage Investors, Inc.
4.874% due 06/25/2035		3,380		3,387
6.350% due 09/25/2033		84		84
Merrill Lynch Mortgage Trust
5.291% due 01/12/2044		20,000		19,977
MLCC Mortgage Investors, Inc.
4.250% due 10/25/2035		5,120		5,019
5.175% due 08/25/2028		351		348
5.195% due 06/25/2028		839		828
5.445% due 11/25/2029		192		184
5.681% due 03/25/2030		322		312
5.841% due 03/25/2028		2,515		2,444
Morgan Stanley Capital I
5.088% due 10/15/2020		3,696		3,614
5.204% due 11/14/2042		14,000		13,930
5.332% due 12/15/2043		20,000		20,008
Morgan Stanley Dean Witter Capital I
5.720% due 12/18/2032		15,765		15,973
Morgan Stanley Mortgage Loan Trust
4.368% due 07/25/2034		4,022		4,015
4.750% due 08/25/2034		727		727
Nomura Asset Acceptance Corp.
5.050% due 10/25/2035		189		187
Prime Mortgage Trust
5.265% due 02/25/2019		17		17
5.265% due 02/25/2034		41		40
Provident Funding Mortgage Loan Trust
3.799% due 08/25/2033		493		492
4.034% due 04/25/2034		318		316
RAAC Series 2005-SP1
5.250% due 09/25/2034		2,750		2,758
Residential Accredit Loans, Inc.
5.145% due 12/25/2045		4,288		4,030
5.165% due 08/25/2035		1,206		1,139
5.295% due 02/25/2033		1,214		1,215
Residential Asset Mortgage Products, Inc.
7.500% due 12/25/2031		2,586		2,702
Residential Asset Securitization Trust
3.750% due 10/25/2018		87		81
5.365% due 03/25/2033		996		981
Residential Funding Mortgage Securities I, Inc.
5.000% due 04/25/2018		184		184
6.500% due 03/25/2032		194		194
Sequoia Mortgage Trust
5.075% due 05/20/2034		1,391		1,377
5.249% due 12/20/2034		606		593
5.329% due 10/20/2027		567		541
5.349% due 10/20/2027		576		539
5.399% due 12/20/2032		684		680
Structured Adjustable Rate Mortgage Loan Trust
4.260% due 03/25/2034		961		954
4.881% due 07/25/2034		563		562
4.940% due 03/25/2034		207		205
5.085% due 05/25/2037 (e)		22,899		21,899
5.105% due 03/25/2035		687		682
5.165% due 09/25/2034		502		490
Structured Asset Mortgage Investments, Inc.
4.965% due 09/25/2047		4,739		4,700
4.995% due 03/25/2037		598		569
5.035% due 03/25/2037		7,322		7,007
5.055% due 03/25/2037		6,533		5,614
5.085% due 05/25/2036		9,577		9,035
5.095% due 02/25/2036		2,424		2,292
5.175% due 12/25/2035		1,030		977
5.295% due 09/19/2032		1,139		1,108
5.305% due 05/19/2035		55		55
5.315% due 03/19/2034		1,035		1,005
5.385% due 02/19/2033		1,211		1,201
7.118% due 02/19/2035		2,041		2,037
Structured Asset Securities Corp.
4.756% due 11/25/2033		404		405
5.331% due 10/25/2035		1,264		1,253
5.392% due 03/25/2033		3,139		3,086
6.150% due 07/25/2032		1		1
6.848% due 05/25/2032		106		106
TBW Mortgage-Backed Pass-Through Certificates
4.965% due 09/25/2036		1,275		1,261
Thornburg Mortgage Securities Trust
4.889% due 03/25/2037		18,447		18,246
4.975% due 03/25/2046		1,711		1,706
4.975% due 11/25/2046		2,757		2,695
4.985% due 09/25/2046		4,147		4,056
5.015% due 11/25/2046		4,145		4,050
5.123% due 06/25/2044		1,013		1,013
Wachovia Bank Commercial Mortgage Trust
5.118% due 09/15/2021		8,087		7,965
Washington Mutual MSC Mortgage Pass-Through Certificates
5.967% due 02/25/2033		264		263
6.925% due 02/25/2031		51		51
7.147% due 02/25/2033		193		193
Washington Mutual, Inc.
3.027% due 08/25/2033		2,000		1,989
3.695% due 06/25/2033		4,847		4,832
3.927% due 04/25/2033		1,169		1,168
4.043% due 02/25/2034		311		308
4.056% due 10/25/2033		17,000		16,903
4.184% due 08/25/2033		3,850		3,402
4.229% due 03/25/2034		3,774		3,734
4.322% due 06/25/2033		2,572		2,557
4.585% due 04/25/2035		2,600		2,579
4.636% due 03/25/2035		812		809
4.672% due 04/25/2035		1,500		1,489
4.676% due 05/25/2035		2,200		2,183
4.835% due 09/25/2035		1,306		1,297
4.835% due 10/25/2035		8,151		7,984
4.918% due 08/25/2035		5,742		5,701
5.085% due 08/25/2046		7,879		7,595
5.095% due 04/25/2045		482		455
5.101% due 12/25/2035		2,215		2,205
5.105% due 06/25/2046		5,000		4,704
5.125% due 11/25/2045		2,622		2,477
5.135% due 12/25/2045		6,144		5,757
5.155% due 07/25/2045		7,107		6,733
5.155% due 10/25/2045		8,928		8,396
5.155% due 12/25/2045		74		70
5.172% due 11/25/2034		276		265
5.175% due 01/25/2045		8,916		8,443
5.182% due 11/25/2034		7,212		7,059
5.185% due 08/25/2045		362		347
5.205% due 01/25/2045		5,085		4,829
5.212% due 10/25/2044		1,730		1,662
5.255% due 12/25/2045		927		925
5.405% due 12/25/2027		5,616		5,373
5.500% due 06/25/2034		792		786
5.500% due 07/25/2034		481		483
5.598% due 12/25/2046		2,704		2,547
5.733% due 05/25/2046		207		206
5.788% due 08/25/2046		281		276
5.883% due 08/25/2046		6,068		5,863
5.988% due 11/25/2042		894		867
6.188% due 06/25/2042		943		899
6.188% due 08/25/2042		73		70
6.288% due 09/25/2046		624		610
6.288% due 11/25/2046		1,420		1,401
Wells Fargo Mortgage-Backed Securities Trust
3.540% due 09/25/2034		1,100		1,090
4.053% due 11/25/2034		13,470		13,453
4.103% due 08/25/2034		54		54
4.109% due 06/25/2035		4,621		4,577
4.360% due 09/25/2034		690		688
4.494% due 01/25/2035		700		695
4.500% due 08/25/2018		13,544		13,424
4.500% due 11/25/2018		8,410		8,296
4.541% due 02/25/2035		526		522
4.544% due 03/25/2035		3,551		3,533
4.559% due 11/25/2034		500		499
4.559% due 11/25/2034 (e)		30,379		30,218
4.651% due 09/25/2033 (e)		20,586		20,404
4.706% due 12/25/2033		2,262		2,177
4.732% due 07/25/2034		18,096		17,893
4.750% due 10/25/2018		10,889		10,883
4.950% due 03/25/2036		6,175		6,110
4.998% due 12/25/2034		1,326		1,307
5.000% due 07/25/2019		99		99
5.000% due 10/25/2035		354		353
5.102% due 03/25/2036		10,426		10,420
5.242% due 04/25/2036		281		281
5.363% due 10/25/2035		3,115		3,114
6.000% due 09/25/2036		860		874
Total Mortgage-Backed Securities (Cost $1,448,984)				1,440,868
ASSET-BACKED SECURITIES 16.4%
American Express Credit Account Master Trust
5.528% due 02/15/2012		1,217		1,217
Aurum CLO 2002-1 Ltd.
5.672% due 04/15/2014		6,494		6,542
Bear Stearns Asset-Backed Securities Trust
4.915% due 11/25/2036		1,234		1,211
4.935% due 12/25/2036		127		124
5.065% due 06/25/2036		2		2
5.344% due 10/25/2036		8,516		8,408
5.563% due 10/25/2036		5,313		5,166
5.775% due 10/25/2036		8,131		8,056
5.865% due 10/25/2037		2,375		2,284
6.115% due 08/25/2037		4,734		4,739
6.250% due 12/25/2036		9,938		9,622
6.250% due 02/25/2037		18,457		17,842
Bear Stearns Second Lien Trust
5.085% due 12/25/2036		14,562		12,377
5.665% due 12/25/2036		21,100		11,987
7.365% due 12/25/2036		2,450		254
Carrington Mortgage Loan Trust
4.965% due 06/25/2037		1,709		1,671
Countrywide Asset-Backed Certificates
4.975% due 10/25/2046		960		939
5.125% due 05/25/2036		9,833		9,662
Fieldstone Mortgage Investment Corp.
4.945% due 05/25/2036		543		537
First Franklin Mortgage Loan Asset-Backed Certificates
4.935% due 03/25/2036		107		106
4.955% due 07/25/2036 (e)		24,261		22,392
4.975% due 04/25/2036		1,800		1,751
Green Tree Financial Corp.
6.110% due 09/01/2023		4,067		4,113
HFC Home Equity Loan Asset-Backed Certificates
5.749% due 11/20/2036		2,800		2,788
Home Equity Asset Trust
5.465% due 11/25/2032		8		8
Home Equity Mortgage Trust
5.321% due 04/25/2035		947		718
HSI Asset Securitization Corp. Trust
4.915% due 10/25/2036		279		266
4.975% due 12/25/2036		9,000		8,069
Indymac Residential Asset-Backed Trust
4.995% due 04/25/2037		4,359		4,182
5.385% due 10/25/2035		1,600		1,247
Irwin Home Equity Corp.
5.405% due 07/25/2032		425		415
Ischus CDO Ltd.
5.522% due 09/10/2013		752		735
JPMorgan Mortgage Acquisition Corp.
4.925% due 05/25/2037		1,680		1,609
4.935% due 03/25/2036		642		639
4.935% due 11/25/2036		1,048		1,030
4.935% due 01/25/2037 (e)		26,897		26,221
4.945% due 03/25/2037		2,313		2,225
4.955% due 10/25/2036		1,236		1,210
4.965% due 07/25/2036		21,000		20,262
4.975% due 08/25/2036		1,078		1,071
5.075% due 06/25/2035		176		176
Lehman XS Trust
4.935% due 05/25/2046		596		591
4.945% due 07/25/2046		662		656
4.955% due 05/25/2046		1,207		1,193
5.015% due 04/25/2037 (e)		24,112		23,510
5.390% due 11/25/2035 (e)		23,921		24,007
Long Beach Mortgage Loan Trust
5.045% due 08/25/2035		755		743
5.145% due 10/25/2034		382		367
5.483% due 03/25/2032		95		89
Madison Avenue Manufactured Housing Contract
6.315% due 03/25/2032		15,397		15,179
MASTR Asset-Backed Securities Trust
4.915% due 01/25/2037		16,325		15,801
4.935% due 12/25/2035		39		39
4.945% due 05/25/2037		19,317		18,937
Merrill Lynch First Franklin Mortgage Loan Trust
5.565% due 10/25/2037		16,864		16,806
Merrill Lynch Mortgage Investors, Inc.
4.945% due 09/25/2037		4,431		4,343
5.045% due 09/25/2036		1,571		1,243
Morgan Stanley ABS Capital I
4.935% due 02/25/2036		199		198
Morgan Stanley Home Equity Loans
4.965% due 09/25/2035		253		253
Morgan Stanley IXIS Real Estate Capital Trust
4.975% due 11/25/2036		15,000		14,089
Morgan Stanley Mortgage Loan Trust
4.935% due 01/25/2047		13,111		12,832
Nationstar Home Equity Loan Trust
4.985% due 04/25/2037		9,665		9,369
Nationstar NIM Trust
8.000% due 06/25/2037		477		396
Nelnet Student Loan Trust
5.174% due 07/25/2016		408		409
New Century Home Equity Loan Trust
4.935% due 08/25/2036		344		341
5.035% due 12/25/2035		12,526		12,474
5.045% due 05/25/2036		2,000		1,928
5.125% due 06/25/2035		1,662		1,571
Newcastle Mortgage Securities Trust
4.935% due 03/25/2036		77		76
Option One Mortgage Loan Trust
4.935% due 01/25/2036		375		374
Renaissance Home Equity Loan Trust
5.215% due 08/25/2032		22		21
5.305% due 08/25/2033		488		475
5.365% due 12/25/2033		1,766		1,737
5.965% due 09/25/2037		15,268		15,044
Residential Asset Mortgage Products, Inc.
4.935% due 11/25/2036		815		801
4.935% due 02/25/2037		6,016		5,891
4.945% due 07/25/2036		3,654		3,589
4.945% due 10/25/2036		2,252		2,192
4.985% due 05/25/2037		21,572		20,760
Residential Asset Securities Corp.
4.935% due 04/25/2036		377		376
4.935% due 07/25/2036		7,236		7,173
4.935% due 11/25/2036		2,720		2,656
4.935% due 02/25/2037		4,792		4,694
4.945% due 02/25/2036		676		674
4.945% due 10/25/2036		755		738
4.975% due 07/25/2036		1,900		1,837
4.975% due 04/25/2037		9,045		8,855
4.995% due 03/25/2036		1,250		1,227
5.005% due 12/25/2035 (e)		18,057		18,023
SACO I, Inc.
5.245% due 11/25/2035		2,147		2,059
5.465% due 04/25/2035		150		151
Salomon Brothers Mortgage Securities VII, Inc.
5.165% due 03/25/2032		353		350
Saxon Asset Securities Trust
5.135% due 01/25/2032		86		86
SBI HELOC Trust
5.035% due 08/25/2036		395		377
Securitized Asset-Backed Receivables LLC Trust
4.925% due 03/25/2036		52		52
4.945% due 11/25/2036		18,080		17,596
SLM Student Loan Trust
5.054% due 04/25/2012		177		177
5.084% due 01/25/2018		239		239
Soundview Home Equity Loan Trust
4.925% due 11/25/2036		3,270		3,231
4.945% due 01/25/2037		5,016		4,920
4.945% due 06/25/2037		6,898		6,770
4.965% due 10/25/2036		1,214		1,198
4.975% due 01/25/2037		10,000		9,308
4.985% due 01/25/2037		3,911		3,814
5.015% due 06/25/2037 (e)		35,000		31,921
5.665% due 10/25/2037		11,200		11,025
Specialty Underwriting & Residential Finance
4.965% due 11/25/2037		13,000		12,376
5.205% due 01/25/2034		50		49
Stone Tower CLO Ltd.
5.412% due 08/21/2013		4,985		5,026
Structured Asset Securities Corp.
4.915% due 09/25/2036		1,550		1,511
4.945% due 01/25/2037		890		859
5.005% due 06/25/2035		519		519
5.065% due 11/25/2035		4,535		4,516
5.155% due 01/25/2033		801		787
TABS Ltd.
6.632% due 02/12/2047		2,950		118
Trapeza CDO I LLC
5.425% due 11/16/2034		1,000		881
Vanderbilt Acquisition Loan Trust
7.120% due 05/07/2032		5,000		5,425
Washington Mutual Asset-Backed Certificates
4.975% due 01/25/2037		14,656		13,457
Wells Fargo Home Equity Trust
4.935% due 07/25/2036		1,841		1,819
4.965% due 07/25/2036		11,075		10,794
4.965% due 03/25/2037		2,422		2,373
4.985% due 12/25/2035		844		844
5.105% due 10/25/2035		2,721		2,550
5.115% due 12/25/2035		2,671		2,581
WMC Mortgage Loan Pass-Through Certificates
5.708% due 05/15/2030		231		230
Total Asset-Backed Securities (Cost $667,816)				638,439
SHORT-TERM INSTRUMENTS 9.8%
Commercial Paper 5.6%
Fortis Funding LLC
4.000% due 01/02/2008		107,600		107,588
General Electric Capital Corp.
3.750% due 01/02/2008		107,600		107,578
				215,166
Repurchase Agreements 4.0%
Fixed Income Clearing Corp.
1.750% due 01/02/2008		144,800		144,800
(Dated 12/31/2007. Collateralized by Federal Home Loan Bank 1.000% - 4.200% due 11/19/2008 - 12/08/2008 valued at $147,696. Repurchase proceeds are $144,814.)
3.900% due 01/02/2008		8,832		8,832
(Dated 12/31/2007. Collateralized by Fannie Mae 0.000% due 01/15/2008 valued at $9,009. Repurchase proceeds are $8,834.)
				153,632
U.S. Treasury Bills 0.2%
2.985% due 03/13/2008 (a)(b)(c)(f)		8,025		7,949
Total Short-Term Instruments (Cost $376,810)				376,747
Purchased Options (h) 0.2% (Cost $1,643)				7,928
Total Investments 112.4% (Cost $4,379,173)			$	4,353,555
Written Options (i) (0.1%) (Premiums $1,594)				(5,695	)
Other Assets and Liabilities (Net) (12.3%)				(475,024	)
Net Assets (d) 100.0%			$	3,872,836

Notes to Schedule of Investments (amounts in thousands*, except number of contracts):

(a) Coupon represents a weighted average rate.

(b) Securities with an aggregate market value of $6,934 have been pledged as collateral for swap and swaption contracts on December 31, 2007.

(c) Securities with an aggregate market value of $693 have been pledged as collateral for delayed-delivery securities on December 31, 2007.

(d) As of December 31, 2007, portfolio securities with an aggregate value of $65,908 and derivative instruments with and aggregate appreciation $8,489 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(e) The average amount of borrowings outstanding during the period ended December 31, 2007 was $440,695 at a weighted average interest rate of 5.230%. On December 31, 2007, securities valued at $523,570 were pledged as collateral for reverse repurchase agreements.

(f) Securities with an aggregate market value of $322 and cash of $2,520 have been segregated with the custodian to cover margin requirements for the following open futures contracts on December 31, 2007:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Eurodollar March Futures	Long	03/2008	542	$	794
U.S. Treasury 5-Year Note March Futures	Short	03/2008	351		(193	)
U.S. Treasury 10-Year Note March Futures	Short	03/2008	937		(292	)
				$	309

(g) Swap agreements outstanding on December 31, 2007:

Credit Default Swaps on Securities

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Bank of America	BHP Billiton Finance Ltd. 5.125% due 03/29/2012	Buy	(0.135	%)	03/20/2012	$	3,000	$	53
Bank of America	Consumers Energy Co. 5.000% due 02/15/2012	Buy	(0.090	%)	03/20/2012		3,000		126
Bank of America	Dominion Resources, Inc. 5.200% due 01/15/2016	Buy	(0.455	%)	03/20/2016		3,000		21
Bank of America	Kefton CDO Ltd. floating rate based on 3-Month USD-LIBOR plus 1.350% due 01/09/2047	Buy	(1.750	%)	01/09/2047		2,000		1,792
Bank of America	Longshore CDO Funding Ltd. floating rate based on 3-Month USD-LIBOR plus 2.900% due 05/03/2046	Buy	(3.530	%)	05/03/2046		1,000		778
Barclays Bank PLC	Accredited Mortgage Loan Trust floating rate based on 1-Month USD-LIBOR plus 1.150% due 04/25/2036	Buy	(1.000	%)	04/25/2036		5,000		3,684
Barclays Bank PLC	Daimler Finance N.A. LLC 5.750% due 09/08/2011	Buy	(0.580	%)	09/20/2011		4,000		(24	)
Barclays Bank PLC	Daimler Finance N.A. LLC 5.750% due 09/08/2011	Buy	(0.535	%)	09/20/2011		5,000		(22	)
Barclays Bank PLC	iStar Financial, Inc. floating rate based on 3-Month USD-LIBOR plus 0.390% due 03/03/2008	Buy	(0.100	%)	03/20/2008		5,000		58
Barclays Bank PLC	Time Warner, Inc. 5.875% due 11/15/2016	Buy	(0.700	%)	12/20/2016		5,000		78
Bear Stearns & Co., Inc.	ABX Financing Co. 5.750% due 10/15/2016	Buy	(0.500	%)	12/20/2016		3,000		(7	)
Bear Stearns & Co., Inc.	Alcan, Inc. 5.000% due 06/01/2015	Buy	(0.420	%)	06/20/2015		2,500		(7	)
Bear Stearns & Co., Inc.	Avenue CLO Fund Ltd. Floating rate based on 3-Month USD-LIBOR plus 1.650% due 07/20/2018	Buy	(1.750	%)	07/20/2018		2,500		356
Bear Stearns & Co., Inc.	Comcast Corp. 5.300% due 01/15/2014	Buy	(0.390	%)	03/20/2014		5,000		59
Bear Stearns & Co., Inc.	Countrywide Financial Corp. 6.250% due 05/15/2016	Buy	(0.710	%)	06/20/2016		5,000		1,917
Bear Stearns & Co., Inc.	HSBC Finance Corp. floating rate based on 3-Month USD-LIBOR plus 0.430% due 06/01/2016	Buy	(0.220	%)	06/20/2016		3,000		38
Bear Stearns & Co., Inc.	iStar Financial, Inc. 5.950% due 10/15/2013	Buy	(0.560	%)	12/20/2013		6,000		844
Bear Stearns & Co., Inc.	Johnson Controls, Inc. 5.500% due 01/15/2016	Buy	(0.500	%)	03/20/2016		3,000		(3	)
Bear Stearns & Co., Inc.	Textron Financial Corp. 4.600% due 05/03/2010	Buy	(0.110	%)	06/20/2010		2,000		7
Bear Stearns & Co., Inc.	Viacom, Inc. 5.750% due 04/30/2011	Buy	(0.470	%)	06/20/2011		3,000		2
BNP Paribas Bank	HSBC Finance Corp. floating rate based on 3-Month USD-LIBOR plus 0.250% due 01/15/2014	Buy	(0.165	%)	12/20/2013		5,000		253
Citibank N.A.	CNA Financial Corp. 5.850% due 12/15/2014	Buy	(0.470	%)	12/20/2014		3,100		83
Citibank N.A.	Commercial Industrial Finance Corp. floating rate based on 3-Month USD-LIBOR plus 1.600% due 10/20/2020	Buy	(2.150	%)	10/20/2020		500		99
Credit Suisse USA, Inc.	Avon Products, Inc. 5.125% due 01/15/2011	Buy	(0.150	%)	03/20/2011		4,000		10
Credit Suisse USA, Inc.	DPL, Inc. 6.875% due 09/01/2011	Buy	(0.330	%)	09/20/2011		2,600		(2	)
Credit Suisse USA, Inc.	John Deere Capital Corp. 5.650% due 07/25/2011	Buy	(0.140	%)	09/20/2011		2,000		12
Deutsche Bank AG	Bank of America Corp. 5.625% due 10/14/2016	Buy	(0.180	%)	12/20/2016		10,000		287
Deutsche Bank AG	Daimler Finance N.A. LLC 6.500% due 11/15/2013	Sell	0.225	%	03/20/2008		15,000		(2	)
Deutsche Bank AG	Glitnir Banki HF floating rate based on 3-Month USD-LIBOR plus 0.470% due 01/18/2012	Buy	(0.365	%)	03/20/2012		2,000		123
Deutsche Bank AG	Kaupthing Bank HF 6.125% due 10/04/2016	Buy	(0.600	%)	12/20/2016		3,000		353
Deutsche Bank AG	SLM Corp. 5.125% due 08/27/2012	Sell	3.050	%	03/20/2009		3,000		1
Deutsche Bank AG	Weatherford International Ltd. 4.950% due 10/15/2013	Buy	(0.410	%)	12/20/2013		2,500		4
Goldman Sachs & Co.	American International Group, Inc. 5.600% due 10/18/2016	Sell	0.055	%	03/20/2008		10,000		(13	)
Goldman Sachs & Co.	Telos CLO Ltd. floating rate based on 3-Month USD-LIBOR plus 1.700% due 10/11/2021	Buy	(2.500	%)	10/11/2021		2,000		342
HSBC Bank USA	General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.040	%	03/20/2008		20,000		(18	)
JPMorgan Chase & Co.	AutoZone, Inc. 5.875% due 10/15/2012	Buy	(0.650	%)	12/20/2012		3,000		(32	)
JPMorgan Chase & Co.	Johnson Controls, Inc. 5.250% due 01/15/2011	Buy	(0.280	%)	03/20/2011		5,000		(5	)
JPMorgan Chase & Co.	Lennar Corp. 5.950% due 10/17/2011	Buy	(0.660	%)	12/20/2011		3,000		504
JPMorgan Chase & Co.	Mexico Government International Bond 7.500% due 04/08/2033	Sell	0.190	%	01/20/2009		5,000		2
JPMorgan Chase & Co.	Montrose Harbor CDO Ltd. floating rate based on 3-Month USD-LIBOR plus 1.380% due 12/05/2051	Buy	(1.750	%)	12/05/2051		2,500		2,247
JPMorgan Chase & Co.	Morgan Stanley 6.600% due 04/01/2012	Sell	0.075	%	03/20/2008		20,000		(47	)
JPMorgan Chase & Co.	Pemex Project Funding Master Trust 9.500% due 09/15/2027	Sell	0.300	%	01/20/2009		10,000		15
Lehman Brothers, Inc.	EnCana Corp. 6.300% due 11/01/2011	Buy	(0.230	%)	12/20/2011		2,600		23
Lehman Brothers, Inc.	International Lease Finance Corp. 5.625% due 09/20/2013	Buy	(0.220	%)	09/20/2013		5,200		93
Lehman Brothers, Inc.	Kellogg Co. 6.600% due 04/01/2011	Buy	(0.110	%)	06/20/2011		2,000		4
Lehman Brothers, Inc.	Mexico Government International Bond 7.500% due 04/08/2033	Sell	0.390	%	01/20/2012		9,000		(57	)
Lehman Brothers, Inc.	Newell Rubbermaid, Inc. 4.000% due 05/01/2010	Buy	(0.190	%)	06/20/2010		2,100		(1	)
Lehman Brothers, Inc.	Proctor & Gamble Co. 4.950% due 08/15/2014	Sell	0.070	%	09/20/2008		20,000		(10	)
Lehman Brothers, Inc.	Residential Capital LLC 6.000% due 02/22/2011	Buy	(0.580	%)	03/20/2011		5,000		1,797
Lehman Brothers, Inc.	Topanga CDO Ltd. floating rate based on 3-Month USD-LIBOR plus 1.600% due 03/08/2040	Buy	(2.420	%)	03/08/2040		5,000		2,873
Merrill Lynch & Co., Inc.	Exelon Corp. 6.750% due 05/01/2011	Buy	(0.290	%)	06/20/2011		3,200		27
Merrill Lynch & Co., Inc.	ORIX Corp. 5.480% due 11/22/2011	Buy	(0.280	%)	12/20/2011		5,000		63
Merrill Lynch & Co., Inc.	Progress Energy, Inc. 7.100% due 03/01/2011	Buy	(0.100	%)	03/20/2011		3,348		14
Morgan Stanley	JC Penney Corp., Inc. 7.375% due 08/15/2008	Buy	(0.100	%)	09/20/2008		3,693		14
Morgan Stanley	Kroger Co. 5.500% due 02/01/2013	Buy	(0.560	%)	03/20/2013		4,000		(37	)
Morgan Stanley	Sealed Air Corp. 5.625% due 07/15/2013	Buy	(0.590	%)	09/20/2013		5,000		49
Morgan Stanley	Wyeth 5.500% due 03/15/2013	Buy	(0.150	%)	03/20/2013		2,500		15
Royal Bank of Scotland Group PLC	AutoZone, Inc. 5.500% due 11/15/2015	Buy	(0.810	%)	12/20/2015		2,500		(47	)
Royal Bank of Scotland Group PLC	Daimler Finance N.A. LLC 5.750% due 09/08/2011	Buy	(0.480	%)	09/20/2011		5,000		(11	)
Royal Bank of Scotland Group PLC	HSBC Finance Corp. 6.375% due 10/15/2011	Buy	(0.200	%)	12/20/2011		6,300		78
Royal Bank of Scotland Group PLC	Kerr-McGee Corp. 6.875% due 09/15/2011	Buy	(0.160	%)	09/20/2011		4,100		(2	)
Royal Bank of Scotland Group PLC	Kraft Foods, Inc. 5.625% due 11/01/2011	Buy	(0.150	%)	12/20/2011		3,000		32
Royal Bank of Scotland Group PLC	Landsbanki Islands HF floating rate based on 3-Month USD-LIBOR plus 0.700% due 08/25/2009	Buy	(0.330	%)	09/20/2009		3,000		74
Royal Bank of Scotland Group PLC	Morgan Stanley floating rate based on 3-Month USD-LIBOR plus 0.450% due 10/18/2016	Buy	(0.320	%)	12/20/2016		5,000		203
Royal Bank of Scotland Group PLC	Morgan Stanley floating rate based on 3-Month USD-LIBOR plus 0.480% due 10/15/2015	Buy	(0.275	%)	12/20/2015		3,000		124
Royal Bank of Scotland Group PLC	SLM Corp. floating rate based on 3-Month USD-LIBOR plus 0.230% due 10/25/2011	Buy	(0.190	%)	12/20/2011		8,000		771
UBS Warburg LLC	BAE Systems Holdings, Inc. 6.400% due 12/15/2011	Buy	(0.140	%)	12/20/2011		2,000		22
UBS Warburg LLC	Boston Scientific Corp. 6.000% due 06/15/2011	Buy	(0.500	%)	06/20/2011		2,500		80
Wachovia Bank N.A.	Avebury Finance CDO PLC floating rate based on 3-Month USD-LIBOR plus 1.400% due 01/08/2051	Buy	(1.800	%)	01/08/2051		2,000		1,969
Wachovia Bank N.A.	IXIS ABS CDO 1 Ltd. floating rate based on 3-Month USD-LIBOR plus 1.450% due 12/13/2046	Buy	(1.690	%)	12/13/2046		2,000		1,852
								$	23,978

Credit Default Swaps on Credit Indices

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Notional Amount		Unrealized (Depreciation)
Barclays Bank PLC	Dow Jones CDX N.A. IG7 Index	Sell	0.153	%	12/20/2016	$	75,000	$	(2,006	)
Credit Suisse USA, Inc.	Home Equity Index AA Rating 2007-1	Sell	0.150	%	08/25/2037		10,000		(1,743	)
Deutsche Bank AG	Dow Jones CDX N.A. IG7 Index	Sell	0.157	%	12/20/2016		25,000		(669	)
Deutsche Bank AG	Home Equity Index A Rating 2006-1	Sell	0.540	%	07/25/2045		350		(113	)
Goldman Sachs & Co.	Dow Jones CDX N.A. IG7 Index	Sell	0.060	%	12/20/2011		25,000		(482	)
Goldman Sachs & Co.	Dow Jones CDX N.A. IG7 Index	Sell	0.153	%	12/20/2016		25,000		(678	)
JPMorgan Chase & Co.	Dow Jones CDX N.A. IG7 Index	Sell	0.068	%	12/20/2011		75,000		(1,427	)
Lehman Brothers, Inc.	Dow Jones CDX N.A. IG7 Index	Sell	0.145	%	12/20/2016		25,000		(691	)
Merrill Lynch & Co., Inc.	Dow Jones CDX N.A. IG7 Index	Sell	0.145	%	12/20/2016		25,000		(693	)
Merrill Lynch & Co., Inc.	Home Equity Index A Rating 2006-1	Sell	0.540	%	07/25/2045		300		(96	)
UBS Warburg LLC	Home Equity Index A Rating 2006-1	Sell	0.540	%	07/25/2045		350		(113	)
								$	(8,711	)

⁽¹⁾ If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will pay to the buyer of the protection an amount up to the notional value of the swap and in certain instances, take delivery of the security. As a buyer of protection, the Portfolio will generally receive from the seller of protection an amount up to the notional amount of the swap if a credit event occurs.

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date	Notional Amount		Unrealized (Depreciation)
Merrill Lynch & Co., Inc.	3-Month USD-LIBOR	Receive	5.000	%	06/18/2018	$	900	$	(13	)

(h) Purchased options outstanding on December 31, 2007:

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Cost		Value
Call - OTC 2-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Pay	4.750	%	09/26/2008	$	79,400	$	401	$	1,648
Call - OTC 2-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	4.750	%	03/31/2008		74,100		411		1,500
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	09/26/2008		79,400		284		1,648
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	12/15/2008		132,200		547		3,132
									$	1,643	$	7,928

Options on Securities

Description	Strike Price		Expiration Date	Notional Amount		Cost		Value
Call - OTC Freddie Mac 6.000% due 02/01/2038	$	104.000	02/05/2008	$	255	$	0	$	0

(i) Written options outstanding on December 31, 2007:

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Value
Call - OTC 5-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Receive	4.950	%	09/26/2008	$	34,100	$	401	$	1,243
Call - OTC 5-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	4.900	%	03/31/2008		32,200		393		1,113
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.950	%	09/26/2008		34,500		283		1,257
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.200	%	12/15/2008		44,100		517		2,082
									$	1,594	$	5,695

(j) Short sales outstanding on December 31, 2007:

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Value(2)
Fannie Mae	5.500	%	01/01/2038	$	119,000	$	119,186	$	118,870
Freddie Mac	6.000	%	01/01/2038		79,000		80,185		80,173
U.S. Treasury Notes	4.250	%	08/15/2015		193,000		197,782		198,157
U.S. Treasury Notes	4.375	%	08/15/2012		120,000		124,442		125,269
U.S. Treasury Notes	4.500	%	04/30/2009		50,000		50,951		50,918
U.S. Treasury Notes	4.500	%	11/15/2015		186,000		191,507		193,861
U.S. Treasury Notes	4.625	%	02/29/2012		23,000		24,116		24,143
U.S. Treasury Notes	4.625	%	02/15/2017		89,500		92,609		93,597
						$	880,778	$	884,988

⁽²⁾ Market value includes $9,672 of interest payable on short sales.

See accompanying notes

Schedule of Investments

U.S. Government Sector Portfolio

December 31, 2007 (Unaudited)

	Principal Amount (000s)		Value (000s)
CORPORATE BONDS & NOTES 14.0%
Banking & Finance 12.6%
Allstate Life Global Funding Trusts
5.144% due 01/25/2008	$	11,600	$	11,602
American Express Bank FSB
5.252% due 06/12/2009		27,600		27,511
American Express Centurion Bank
5.250% due 05/07/2008		11,700		11,690
American Express Credit Corp.
5.312% due 04/06/2009		2,800		2,771
American Honda Finance Corp.
4.868% due 08/05/2008		6,400		6,398
5.206% due 03/09/2009		2,000		2,001
Bank of America Corp.
4.852% due 09/25/2009		2,000		1,996
4.875% due 11/06/2009		20,000		19,939
Bank of America N.A.
5.040% due 02/27/2009		30,200		30,150
Bank of Ireland
4.951% due 12/19/2008		35,500		35,487
5.016% due 12/18/2009		5,500		5,487
Bank of Scotland PLC
5.028% due 07/17/2008		3,400		3,399
5.254% due 07/17/2009		2,500		2,497
Bear Stearns Cos., Inc.
5.284% due 01/30/2009		5,000		4,949
Caterpillar Financial Services Corp.
4.965% due 05/18/2009		1,300		1,297
CIT Group Holdings, Inc.
5.134% due 01/30/2009		8,600		8,081
CIT Group, Inc.
5.019% due 08/15/2008		2,000		1,985
Citigroup, Inc.
5.286% due 06/09/2009		2,000		1,985
DnB NORBank ASA
5.072% due 02/25/2008		2,000		2,000
Export-Import Bank of Korea
5.214% due 06/01/2009		12,000		12,023
General Electric Capital Corp.
5.065% due 10/24/2008		5,500		5,491
5.095% due 10/26/2009		6,000		5,988
5.280% due 10/21/2010		8,440		8,442
Goldman Sachs Group, Inc.
4.974% due 12/22/2008		14,800		14,762
5.142% due 06/28/2010		11,600		11,419
5.643% due 10/07/2011		2,000		1,965
HSBC Finance Corp.
4.982% due 05/21/2008		12,400		12,400
5.212% due 03/12/2010		8,100		7,949
5.240% due 10/21/2009		18,600		18,520
JPMorgan Chase & Co.
4.908% due 06/26/2009		2,500		2,490
Lehman Brothers Holdings, Inc.
4.905% due 11/24/2008		4,950		4,874
4.934% due 12/23/2008		35,000		34,412
5.241% due 01/23/2009		10,000		9,808
5.270% due 10/22/2008		6,470		6,424
Merrill Lynch & Co., Inc.
4.914% due 12/22/2008		16,000		15,790
4.960% due 08/14/2009		5,900		5,776
Morgan Stanley
4.925% due 05/07/2009		15,200		15,017
4.972% due 11/21/2008		12,000		11,915
5.006% due 02/09/2009		27,300		26,969
Pricoa Global Funding I
5.164% due 01/25/2008		10,000		10,001
Royal Bank of Scotland Group PLC
5.230% due 07/21/2008		6,900		6,899
Santander U.S. Debt S.A. Unipersonal
4.970% due 09/19/2008		10,600		10,565
SLM Corp.
5.038% due 04/14/2008		25,000		24,819
5.294% due 07/25/2008		3,900		3,820
U.S. Trade Funding Corp.
4.260% due 11/15/2014		9,542		9,687
Unicredit Luxembourg Finance S.A.
5.142% due 10/24/2008		8,700		8,685
Wachovia Bank N.A.
4.924% due 03/23/2009		2,000		1,996
5.015% due 02/23/2009		11,200		11,176
Westpac Banking Corp.
5.212% due 06/06/2008		26,100		26,089
World Savings Bank FSB
4.976% due 06/20/2008		2,000		2,002
				529,398
Industrials 0.8%
CVS Caremark Corp.
5.441% due 06/01/2010		14,100		13,958
Daimler Finance North America LLC
5.461% due 03/13/2009		16,000		15,915
Totem Ocean Trailer Express, Inc.
4.514% due 12/18/2019		600		608
Yum! Brands, Inc.
6.875% due 11/15/2037		3,000		2,996
				33,477
Utilities 0.6%
AT&T, Inc.
4.978% due 02/05/2010		22,000		21,814
Dominion Resources, Inc.
5.050% due 11/14/2008		2,700		2,695
Ohio Power Co.
5.424% due 04/05/2010		2,400		2,380
				26,889
Total Corporate Bonds & Notes (Cost $593,550)				589,764
MUNICIPAL BONDS & NOTES 0.1%
Iowa State Tobacco Settlement Authority Revenue Bonds, Series 2005
6.500% due 06/01/2023		2,875		2,743
Total Municipal Bonds & Notes (Cost $2,875)				2,743
U.S. GOVERNMENT AGENCIES 36.0%
Fannie Mae
4.000% due 04/01/2014 (g)		11,143		11,046
4.500% due 10/25/2015 - 09/25/2020		32,378		32,360
4.669% due 05/25/2035		10,700		10,792
4.745% due 03/01/2035 (g)		4,365		4,370
4.911% due 12/01/2035		1,436		1,439
4.925% due 12/25/2036		4,482		4,399
4.985% due 03/25/2034		2,081		2,044
4.995% due 03/25/2036		3,907		3,895
5.000% due 10/25/2013 - 02/25/2017		7,313		7,335
5.000% due 12/01/2013 (g)		4,779		4,849
5.025% due 03/25/2032		878		878
5.085% due 07/25/2032		932		932
5.105% due 06/25/2033		1,681		1,667
5.125% due 06/25/2032		3		3
5.205% due 11/25/2032		13		13
5.210% due 01/01/2036 (g)		8,081		8,097
5.215% due 05/25/2042		1,017		1,001
5.275% due 08/01/2036		1,461		1,470
5.325% due 08/25/2021 - 03/25/2022		165		166
5.415% due 09/01/2032		7		7
5.475% due 08/25/2022		43		43
5.500% due 09/25/2024 - 07/01/2037 (g)		147,604		147,911
5.500% due 05/25/2027 - 01/01/2038		122,443		122,555
5.527% due 11/01/2020		31		31
5.551% due 01/01/2018		26		26
5.567% due 09/01/2017		28		28
5.575% due 04/25/2022		72		73
5.633% due 03/01/2018		33		33
5.650% due 11/01/2014		29		29
5.765% due 04/25/2032		1,236		1,248
5.780% due 08/01/2014		41		42
5.800% due 02/09/2026		30,000		31,013
5.950% due 02/25/2044		8,565		8,626
5.970% due 02/01/2026		14		14
6.000% due 12/01/2022 - 11/01/2037 (g)		34,640		35,188
6.000% due 10/01/2033 - 01/01/2038		110,151		111,855
6.063% due 02/01/2041 - 10/01/2044		18,355		18,393
6.064% due 09/01/2044		4,589		4,613
6.105% due 01/01/2018		110		111
6.210% due 08/06/2038		14,200		17,094
6.263% due 11/01/2030		2		2
6.305% due 10/01/2032		64		65
6.321% due 06/01/2025		21		21
6.446% due 12/01/2029		27		28
6.502% due 12/01/2029		99		100
6.516% due 09/01/2033		9		9
6.534% due 12/01/2029		9		9
6.781% due 12/01/2032		11		11
6.811% due 11/01/2035		3,800		3,913
6.817% due 11/01/2035		1,633		1,682
6.822% due 06/01/2021		2,745		2,800
6.863% due 12/01/2029		15		15
6.996% due 05/01/2025		21		21
7.062% due 09/01/2031		138		140
7.067% due 07/01/2018		686		708
7.093% due 12/01/2022		66		67
7.097% due 08/01/2028		14		14
7.110% due 06/01/2032		11		11
7.125% due 09/01/2022 - 01/15/2030		206		266
7.145% due 09/01/2028		92		94
7.200% due 09/01/2026		958		968
7.249% due 05/01/2032		38		38
7.250% due 05/01/2022		15		15
7.275% due 12/01/2031		11		11
7.347% due 10/01/2025		41		41
7.440% due 01/01/2029		45		46
7.598% due 03/01/2026		25		25
Farmer Mac
7.282% due 07/25/2011		2,200		2,225
Federal Home Loan Bank
0.000% due 02/27/2012		1,000		983
4.000% due 03/18/2011		590		590
4.070% due 07/16/2014		1,000		985
4.100% due 10/13/2009		800		800
4.125% due 11/19/2008		295,850		295,928
5.125% due 08/15/2019		98,000		102,475
6.640% due 12/13/2016		75		87
Freddie Mac
0.000% due 12/11/2025		9,084		3,716
3.000% due 05/15/2022		1,823		1,812
3.500% due 01/15/2022 - 05/15/2022		920		916
4.000% due 05/15/2016 - 10/15/2023		17,285		17,203
4.080% due 05/14/2009		30		30
4.250% due 05/22/2013 - 02/15/2025		11,260		11,204
4.500% due 07/06/2010 - 09/15/2035		46,091		44,978
4.657% due 02/01/2035 (g)		7,658		7,618
4.704% due 06/01/2035 (g)		24,434		24,520
5.000% due 03/18/2014 - 01/15/2034		122,761		122,338
5.000% due 08/15/2028 (g)		13,019		13,083
5.084% due 03/01/2035		360		363
5.105% due 07/25/2031		932		930
5.378% due 12/15/2030 - 06/15/2031		4,086		4,075
5.400% due 03/17/2021		500		525
5.419% due 02/01/2025		20		21
5.428% due 11/15/2016 - 03/15/2017		6,977		7,003
5.433% due 08/01/2019		53		54
5.500% due 08/15/2030 - 01/01/2038		13,341		12,984
5.528% due 06/15/2030 - 12/15/2032		1,480		1,494
5.578% due 06/15/2031		417		421
5.625% due 11/23/2035		74,000		75,955
5.762% due 02/15/2027		32		32
5.906% due 02/01/2018		60		60
6.063% due 10/25/2044 - 02/25/2045		10,556		10,571
6.263% due 07/25/2044		5,342		5,342
6.500% due 10/25/2043		2,122		2,235
6.593% due 08/01/2020		50		50
6.693% due 02/01/2032		33		33
7.000% due 12/01/2031 (g)		92		97
7.007% due 12/01/2031		10		10
7.083% due 05/01/2032		20		20
7.094% due 02/01/2024		61		61
7.104% due 02/01/2032		15		15
7.125% due 04/01/2032		21		21
7.146% due 07/01/2020		219		222
7.156% due 04/01/2027		27		27
7.215% due 03/01/2025		2		2
7.231% due 08/01/2031		7		8
7.247% due 01/01/2032		77		78
7.248% due 10/01/2031		9		10
7.250% due 12/01/2031		63		64
7.384% due 07/01/2029		34		35
Ginnie Mae
5.000% due 05/20/2034		24,995		23,138
5.625% due 07/20/2025 - 08/20/2026		1,220		1,226
6.125% due 10/20/2023 - 10/20/2024		171		174
6.250% due 02/20/2030		2,175		2,202
6.375% due 04/20/2023 - 04/20/2032		2,238		2,265
6.500% due 04/15/2029 - 06/15/2029		155		161
8.500% due 03/20/2025		93		101
Small Business Administration
4.500% due 03/01/2023		1,117		1,102
4.760% due 09/01/2025		32,115		31,763
4.770% due 04/01/2024		8,620		8,589
4.875% due 09/10/2013		2,018		2,028
4.930% due 01/01/2024		7,353		7,397
5.136% due 08/10/2013		14,266		14,388
5.240% due 08/01/2023		4,545		4,631
5.250% due 05/25/2025		246		246
5.375% due 05/25/2021 - 01/25/2022		974		975
5.500% due 03/25/2025 - 07/25/2025		960		964
5.600% due 01/25/2019 - 11/25/2024		1,250		1,255
7.060% due 11/01/2019		1,535		1,611
7.220% due 11/01/2020		1,307		1,389
7.449% due 08/01/2010		143		147
8.017% due 02/10/2010		1,090		1,136
Tennessee Valley Authority
5.375% due 04/01/2056		22,600		24,150
U.S. Department of Housing and Urban Development
4.930% due 08/01/2014		4,000		4,153
Total U.S. Government Agencies (Cost $1,499,946)				1,516,309
U.S. TREASURY OBLIGATIONS 27.8%
Treasury Inflation Protected Securities (c)
2.000% due 01/15/2026		1,789		1,783
2.375% due 01/15/2025		12,040		12,644
U.S. Treasury Bonds
3.125% due 11/30/2009		277,300		277,690
4.500% due 02/15/2036		1,700		1,709
U.S. Treasury Notes
4.125% due 08/15/2008		160,000		160,725
4.500% due 03/31/2009		372,000		378,336
4.750% due 12/31/2008		320,000		324,600
4.875% due 06/30/2012		12,700		13,474
Total U.S. Treasury Obligations (Cost $1,166,875)				1,170,961
MORTGAGE-BACKED SECURITIES 26.6%
American Home Mortgage Investment Trust
5.015% due 09/25/2035		590		590
Arran Residential Mortgages Funding PLC
5.252% due 04/12/2036		2,038		2,036
Banc of America Funding Corp.
4.621% due 02/20/2036		43,342		43,160
Banc of America Mortgage Securities, Inc.
6.500% due 09/25/2033		1,355		1,381
Bear Stearns Adjustable Rate Mortgage Trust
4.609% due 01/25/2034		1,354		1,341
4.625% due 10/25/2035		15,805		15,579
4.750% due 10/25/2035		20,718		20,584
5.037% due 04/25/2033		1,024		1,026
5.289% due 04/25/2033		95		95
5.396% due 04/25/2033		1,306		1,303
5.789% due 02/25/2033		312		317
5.998% due 11/25/2034		6,663		6,669
Bear Stearns Alt-A Trust
5.025% due 02/25/2034		6,996		6,648
5.527% due 09/25/2035		18,987		18,710
5.811% due 11/25/2036		89,779		88,516
Bear Stearns Commercial Mortgage Securities
6.440% due 06/16/2030		4,628		4,633
Bear Stearns Mortgage Funding Trust
4.935% due 02/25/2037		13,037		12,955
CBA Commercial Small Balance Commercial Mortgage
5.145% due 12/25/2036		5,225		5,169
CC Mortgage Funding Corp.
4.995% due 05/25/2048		9,302		8,409
5.115% due 08/25/2035		2,533		2,357
Citigroup Commercial Mortgage Trust
5.098% due 08/15/2021		1,428		1,382
Citigroup Mortgage Loan Trust, Inc.
4.700% due 12/25/2035		30,740		30,182
4.900% due 10/25/2035		61,195		60,861
4.900% due 12/25/2035		4,998		4,935
Commercial Mortgage Pass-Through Certificates
6.455% due 05/15/2032		4,561		4,574
Countrywide Alternative Loan Trust
4.500% due 06/25/2035		1,826		1,807
5.025% due 02/25/2047		1,789		1,678
5.029% due 09/20/2046		4,080		4,068
5.045% due 05/25/2047		10,822		10,219
5.065% due 05/25/2036		1,125		1,066
5.075% due 05/25/2035		2,530		2,439
5.129% due 02/20/2047		14,125		13,336
5.145% due 12/25/2035		958		930
5.159% due 03/20/2046		11,207		10,577
5.500% due 03/25/2036		10,544		10,380
5.788% due 02/25/2036		1,152		1,108
Countrywide Home Loan Mortgage Pass-Through Trust
4.711% due 08/25/2034		6,474		6,428
5.095% due 05/25/2035		4,207		3,870
5.135% due 05/25/2034		30		30
5.155% due 04/25/2035		966		919
5.195% due 02/25/2035		2,794		2,699
5.205% due 02/25/2035		1,694		1,596
5.205% due 06/25/2035		401		392
5.845% due 09/20/2036		18,351		18,234
6.201% due 04/25/2035		1,460		1,417
CS First Boston Mortgage Securities Corp.
5.415% due 04/25/2033		28		28
5.639% due 05/25/2032		113		112
6.300% due 11/15/2030		435		438
7.272% due 06/25/2032		77		77
Deutsche ALT-A Securities, Inc. Alternate Loan Trust
4.935% due 01/25/2047		2,834		2,777
4.945% due 02/25/2037		3,734		3,664
Downey Savings & Loan Association Mortgage Loan Trust
5.225% due 08/19/2045		2,223		2,107
First Republic Mortgage Loan Trust
5.185% due 06/25/2030		1,193		1,165
5.278% due 11/15/2030		865		810
GMAC Commercial Mortgage Securities, Inc.
6.957% due 09/15/2035		410		433
Greenpoint Mortgage Funding Trust
4.945% due 10/25/2046		13,036		12,767
4.945% due 01/25/2047		11,516		11,295
5.085% due 06/25/2045		2,299		2,180
GS Mortgage Securities Corp. II
5.342% due 03/06/2020		11,815		11,300
5.352% due 06/06/2020		27		27
6.620% due 10/18/2030		3,534		3,540
GSR Mortgage Loan Trust
4.644% due 09/25/2035		203		203
5.473% due 04/25/2036		14,144		14,064
GSRPM Mortgage Loan Trust
5.565% due 01/25/2032		421		422
Harborview Mortgage Loan Trust
4.995% due 04/19/2038		4,728		4,427
5.055% due 01/19/2038		5,289		5,227
5.185% due 05/19/2035		5,250		4,969
5.205% due 03/19/2037		10,948		10,289
5.335% due 02/19/2034		1,868		1,845
Impac CMB Trust
5.783% due 07/25/2033		272		271
Impac Secured Assets CMN Owner Trust
4.945% due 01/25/2037		6,605		6,483
Indymac Index Mortgage Loan Trust
4.955% due 11/25/2046		6,655		6,490
4.965% due 01/25/2037		1,338		1,326
5.185% due 02/25/2035		10,542		10,027
JPMorgan Mortgage Trust
4.766% due 07/25/2035		50,021		49,624
5.005% due 07/25/2035		6,254		6,245
5.356% due 02/25/2036		14,303		14,221
LB-UBS Commercial Mortgage Trust
3.323% due 03/15/2027		2,421		2,413
Lehman Brothers Floating Rate Commercial Mortgage Trust
5.108% due 09/15/2021		3,690		3,684
MASTR Adjustable Rate Mortgages Trust
4.975% due 05/25/2047		876		870
5.185% due 05/25/2034		739		735
MASTR Asset Securitization Trust
4.500% due 03/25/2018		2,836		2,820
5.500% due 09/25/2033		1,311		1,301
Mellon Residential Funding Corp.
5.378% due 11/15/2031		3,606		3,509
5.468% due 12/15/2030		3,716		3,643
Merrill Lynch Floating Trust
5.098% due 06/15/2022		5,388		5,229
Merrill Lynch Mortgage Investors, Inc.
4.910% due 12/25/2032		774		774
Morgan Stanley Capital I
4.490% due 01/13/2041		350		348
5.088% due 10/15/2020		18,979		18,556
New Century Alternative Mortgage Loan Trust
4.925% due 07/25/2036		11,767		11,753
Prime Mortgage Trust
5.000% due 02/25/2019		5,140		5,083
RAAC Series 2005-SP1
5.000% due 09/25/2034		1,184		1,177
Residential Accredit Loans, Inc.
4.965% due 09/25/2046		4,290		4,232
5.165% due 08/25/2035		3,663		3,462
5.265% due 01/25/2033		2,473		2,435
5.265% due 03/25/2033		6,294		6,184
6.148% due 09/25/2045		1,473		1,431
Residential Asset Mortgage Products, Inc.
8.500% due 10/25/2031		1,676		1,762
Residential Funding Mortgage Securities I, Inc.
6.500% due 03/25/2032		359		359
Sequoia Mortgage Trust
5.299% due 07/20/2033		4,652		4,541
5.315% due 10/19/2026		3,273		3,199
5.419% due 07/20/2033		3,271		3,268
Structured Adjustable Rate Mortgage Loan Trust
6.188% due 01/25/2035		1,179		1,144
Structured Asset Mortgage Investments, Inc.
4.935% due 08/25/2036		3,029		3,015
4.965% due 09/25/2047		2,338		2,319
5.055% due 06/25/2036		1,163		1,106
5.085% due 05/25/2036		44,599		42,078
5.255% due 07/19/2034		777		774
5.315% due 03/19/2034		1,400		1,359
Structured Asset Securities Corp.
4.915% due 05/25/2036		4,375		4,259
4.925% due 04/25/2036		621		618
5.331% due 10/25/2035		5,246		5,199
TBW Mortgage-Backed Pass-Through Certificates
4.965% due 09/25/2036		1,084		1,072
4.975% due 01/25/2037		7,531		7,377
Thornburg Mortgage Securities Trust
4.889% due 03/25/2037		20,291		20,071
4.975% due 03/25/2046		1,711		1,706
4.975% due 11/25/2046		16,970		16,588
4.985% due 09/25/2046		19,640		19,206
Wachovia Bank Commercial Mortgage Trust
5.118% due 09/15/2021		32,289		31,803
5.681% due 04/15/2034		287		288
Washington Mutual MSC Mortgage Pass-Through Certificates
5.967% due 02/25/2033		165		164
7.147% due 02/25/2033		8		8
7.225% due 05/25/2033		132		133
Washington Mutual, Inc.
4.056% due 10/25/2033		6,300		6,264
4.229% due 03/25/2034		934		924
5.055% due 04/25/2045		9		9
5.095% due 04/25/2045		6,332		5,983
5.125% due 11/25/2045		4,100		3,874
5.135% due 12/25/2045		2,495		2,337
5.155% due 10/25/2045		4,941		4,646
5.405% due 12/25/2027		10,646		10,185
5.483% due 02/27/2034		1,669		1,635
5.518% due 01/25/2047		3,208		3,020
5.598% due 12/25/2046		6,180		5,820
5.733% due 05/25/2046		1,687		1,679
5.768% due 06/25/2046		8,858		8,504
5.788% due 02/25/2046		6,735		6,557
5.883% due 07/25/2046		14,841		14,178
5.883% due 08/25/2046		38,805		37,494
5.883% due 10/25/2046		3,478		3,402
5.883% due 12/25/2046		3,522		3,475
5.988% due 11/25/2042		1,998		1,936
6.059% due 05/25/2041		944		945
6.188% due 06/25/2042		1,933		1,842
6.288% due 09/25/2046		6,629		6,484
6.288% due 11/25/2046		2,589		2,555
Wells Fargo Mortgage-Backed Securities Trust
3.541% due 09/25/2034		4,585		4,515
4.323% due 07/25/2035		12,100		12,025
4.490% due 11/25/2033		687		665
4.500% due 11/25/2018		9,102		8,980
4.950% due 03/25/2036		81,160		80,299
Total Mortgage-Backed Securities (Cost $1,137,994)				1,118,745
ASSET-BACKED SECURITIES 24.6%
Aames Mortgage Investment Trust
4.925% due 04/25/2036		271		271
Accredited Mortgage Loan Trust
4.915% due 02/25/2037		4,905		4,611
ACE Securities Corp.
4.915% due 07/25/2036		1,868		1,837
4.915% due 08/25/2036		2,580		2,456
4.915% due 12/25/2036		3,884		3,772
4.925% due 04/25/2036		214		213
4.935% due 12/25/2035		356		355
4.945% due 02/25/2036		593		591
4.945% due 10/25/2036		3,689		3,589
5.015% due 12/25/2035		5,700		5,577
American Express Credit Account Master Trust
5.018% due 08/15/2011		1,800		1,797
5.028% due 01/18/2011		8,000		7,999
5.028% due 03/15/2011		1,500		1,499
5.138% due 09/15/2010		10,300		10,303
5.138% due 11/15/2010		2,855		2,856
5.208% due 11/15/2010		3,000		3,002
Argent Securities, Inc.
4.905% due 06/25/2036		615		613
4.915% due 09/25/2036		3,284		3,237
4.925% due 05/25/2036		461		460
4.935% due 04/25/2036		645		644
4.945% due 03/25/2036		531		530
Asset-Backed Funding Certificates
4.925% due 10/25/2036		3,201		3,164
4.925% due 11/25/2036		10,822		10,482
4.925% due 01/25/2037		6,503		6,403
5.215% due 06/25/2034		8,073		7,780
Asset-Backed Securities Corp. Home Equity
4.915% due 11/25/2036		5,381		5,301
4.915% due 12/25/2036		1,043		1,022
4.925% due 03/25/2036		410		408
4.945% due 05/25/2037		1,663		1,601
5.548% due 06/15/2031		486		477
5.568% due 11/15/2031		53		51
Bank One Issuance Trust
5.138% due 12/15/2010		3,700		3,701
Basic Asset-Backed Securities Trust
4.945% due 04/25/2036		275		274
Bear Stearns Asset-Backed Securities Trust
4.905% due 02/25/2037		6,989		6,851
4.915% due 11/25/2036		5,983		5,872
4.925% due 05/25/2036		2,137		2,102
4.935% due 12/25/2036		1,881		1,843
4.945% due 10/25/2036		3,216		3,178
4.975% due 11/25/2036		10,624		10,059
5.135% due 09/25/2035		196		196
5.195% due 10/25/2032		206		201
5.365% due 11/25/2042		6,073		6,028
Carrington Mortgage Loan Trust
4.905% due 05/25/2036		2,013		1,995
4.915% due 08/25/2036		938		922
4.915% due 10/25/2036		5,462		5,384
4.915% due 12/25/2036		3,144		3,073
4.915% due 01/25/2037		15,718		15,381
4.930% due 07/25/2036		1,934		1,922
5.025% due 01/25/2036		6,000		5,916
5.103% due 10/25/2035		3,471		3,221
Centex Home Equity
4.915% due 06/25/2036		2,208		2,199
Chase Credit Card Master Trust
5.138% due 10/15/2010		4,000		4,001
5.138% due 02/15/2011		12,475		12,474
Chase Funding Mortgage Loan Asset-Backed Certificates
5.365% due 10/25/2031		1,134		1,123
Chase Issuance Trust
5.038% due 12/15/2010		6,237		6,237
CIT Group Home Equity Loan Trust
5.135% due 06/25/2033		504		466
Citibank Credit Card Issuance Trust
2.900% due 05/17/2010		9,002		8,942
5.045% due 02/07/2010		9,000		9,002
5.342% due 01/15/2010		4,000		4,001
Citigroup Mortgage Loan Trust, Inc.
4.905% due 08/25/2036		2,576		2,553
4.905% due 12/25/2036		5,012		4,868
4.915% due 10/25/2036		10,227		10,137
4.915% due 11/25/2036		2,684		2,663
4.925% due 01/25/2037		2,875		2,824
4.925% due 05/25/2037		9,503		9,041
4.935% due 08/25/2036		1,861		1,847
4.965% due 10/25/2036		6,400		6,118
4.975% due 08/25/2036		3,200		3,014
4.975% due 03/25/2037		2,596		2,479
Conseco Finance Securitizations Corp.
7.970% due 05/01/2032		1,670		1,250
Countrywide Asset-Backed Certificates
4.915% due 01/25/2037		6,408		6,327
4.915% due 03/25/2037		10,994		10,731
4.915% due 05/25/2037		34,843		34,049
4.915% due 07/25/2037		7,459		7,223
4.915% due 12/25/2046		4,105		4,052
4.915% due 03/25/2047		4,639		4,565
4.925% due 03/25/2037		2,532		2,464
4.925% due 09/25/2046		4,446		4,396
4.935% due 06/25/2036		778		775
4.935% due 07/25/2036		451		449
4.935% due 08/25/2036		329		328
4.935% due 06/25/2037		4,972		4,850
4.945% due 06/25/2037		8,064		7,870
4.945% due 10/25/2037		2,602		2,556
4.965% due 09/25/2037		2,463		2,410
4.965% due 09/25/2047		3,710		3,590
4.975% due 10/25/2046		6,669		6,525
4.995% due 07/25/2036		179		179
5.025% due 02/25/2036		1,459		1,418
5.045% due 09/25/2036		5,305		4,929
5.055% due 06/25/2036		4,000		3,857
5.345% due 12/25/2031		261		240
Credit-Based Asset Servicing & Securitization LLC
4.925% due 11/25/2036		3,867		3,734
4.955% due 12/25/2037		3,792		3,701
5.055% due 01/25/2037		5,167		4,963
CS First Boston Mortgage Securities Corp.
5.485% due 01/25/2032		174		170
CSAB Mortgage-Backed Trust
4.965% due 06/25/2036		3,178		3,148
First Franklin Mortgage Loan Asset-Backed Certificates
4.895% due 05/25/2036		261		258
4.895% due 07/25/2036		2,609		2,578
4.905% due 09/25/2036		7,685		7,413
4.905% due 01/25/2038		6,379		6,173
4.915% due 11/25/2036		21,972		21,083
4.915% due 12/25/2036		9,888		9,657
4.915% due 03/25/2037		33,214		32,078
4.935% due 12/25/2037		4,460		4,359
4.955% due 01/25/2036		2,414		2,402
5.235% due 12/25/2034		273		268
Fremont Home Loan Trust
4.915% due 10/25/2036		3,966		3,918
4.925% due 01/25/2037		5,537		5,400
5.035% due 01/25/2036		808		807
GE-WMC Mortgage Securities LLC
4.905% due 08/25/2036		2,813		2,712
GSAMP Trust
4.905% due 10/25/2046		2,809		2,749
4.925% due 04/25/2036		90		90
4.935% due 01/25/2036		831		787
4.935% due 02/25/2036		731		727
4.935% due 10/25/2036		692		652
4.935% due 12/25/2036		5,482		5,335
4.955% due 11/25/2035		560		539
GSR Mortgage Loan Trust
4.965% due 11/25/2030		433		430
GSRPM Mortgage Loan Trust
5.245% due 09/25/2042		1,468		1,464
HFC Home Equity Loan Asset-Backed Certificates
5.019% due 03/20/2036		1,875		1,848
5.299% due 09/20/2033		1,405		1,370
Home Equity Asset Trust
4.925% due 05/25/2037		2,347		2,254
4.945% due 05/25/2036		647		642
5.325% due 02/25/2033		1		1
HSI Asset Securitization Corp. Trust
4.915% due 10/25/2036		4,809		4,591
4.915% due 12/25/2036		1,804		1,761
4.925% due 03/25/2036		329		327
4.945% due 12/25/2035		649		643
Indymac Residential Asset-Backed Trust
4.905% due 08/25/2036		209		208
4.925% due 04/25/2037		6,841		6,695
4.945% due 07/25/2037		3,702		3,627
4.955% due 03/25/2036		761		759
4.995% due 04/25/2037		4,359		4,182
IXIS Real Estate Capital Trust
4.925% due 05/25/2037		194		189
JPMorgan Mortgage Acquisition Corp.
4.905% due 08/25/2036		1,225		1,205
4.915% due 07/25/2036		3,474		3,412
4.915% due 08/25/2036		8,524		8,378
4.915% due 10/25/2036		10,389		10,131
4.925% due 04/01/2037		3,004		2,875
4.925% due 05/25/2037		4,199		4,022
4.935% due 03/25/2036		834		831
4.935% due 11/25/2036		1,677		1,647
4.945% due 08/25/2036		2,691		2,616
4.945% due 03/25/2037		2,313		2,225
5.075% due 06/25/2035		155		155
LA Arena Funding LLC
7.656% due 12/15/2026		83		86
Lehman ABS Mortgage Loan Trust
4.955% due 06/25/2037		2,818		2,766
Lehman XS Trust
4.935% due 05/25/2046		2,741		2,721
4.945% due 04/25/2046		3,179		3,152
4.945% due 08/25/2046		4,180		4,152
4.945% due 11/25/2046		7,918		7,583
4.955% due 05/25/2046		2,142		2,118
4.985% due 11/25/2036		4,760		4,756
Long Beach Mortgage Loan Trust
4.895% due 06/25/2036		877		872
4.905% due 11/25/2036		10,128		9,957
4.915% due 08/25/2036		3,924		3,859
4.925% due 10/25/2036		2,967		2,898
4.925% due 05/25/2046		1,027		1,025
4.955% due 01/25/2046		1,016		1,012
5.045% due 08/25/2035		712		700
5.145% due 10/25/2034		1,548		1,489
MASTR Asset-Backed Securities Trust
4.915% due 03/25/2036		589		584
4.915% due 11/25/2036		3,254		3,166
4.925% due 10/25/2036		1,191		1,184
4.925% due 11/25/2036		5,367		5,226
4.935% due 02/25/2036		6,334		6,295
4.945% due 01/25/2036		517		513
4.945% due 05/25/2037		4,226		4,142
MBNA Credit Card Master Note Trust
3.300% due 07/15/2010		2,420		2,417
5.028% due 12/15/2010		2,600		2,599
5.128% due 12/15/2011		2,300		2,296
5.148% due 08/16/2010		9,400		9,403
MBNA Master Credit Card Trust
5.388% due 09/15/2010		2,000		2,001
Merrill Lynch First Franklin Mortgage Loan Trust
4.925% due 07/25/2037		7,738		7,473
Merrill Lynch Mortgage Investors, Inc.
4.895% due 05/25/2037		2,369		2,337
4.895% due 06/25/2037		5,064		5,007
4.925% due 03/25/2037		71		71
4.925% due 04/25/2037		955		944
4.935% due 08/25/2036		14,128		13,933
4.935% due 07/25/2037		4,950		4,812
4.985% due 02/25/2037		2,670		2,553
Mid-State Trust
7.340% due 07/01/2035		308		330
Morgan Stanley ABS Capital I
4.895% due 06/25/2036		983		969
4.905% due 06/25/2036		1,935		1,908
4.905% due 07/25/2036		8,956		8,806
4.905% due 10/25/2036		5,572		5,497
4.905% due 01/25/2037		14,009		13,706
4.915% due 09/25/2036		6,956		6,776
4.915% due 10/25/2036		5,761		5,507
4.915% due 11/25/2036		12,036		11,570
4.925% due 03/25/2036		329		328
4.925% due 05/25/2037		19,364		18,685
4.935% due 03/25/2036		1,471		1,460
4.985% due 02/25/2036		6,600		6,490
Morgan Stanley Home Equity Loans
4.915% due 12/25/2036		5,861		5,745
Morgan Stanley IXIS Real Estate Capital Trust
4.915% due 11/25/2036		6,699		6,518
Morgan Stanley Mortgage Loan Trust
4.935% due 01/25/2047		7,994		7,824
Nationstar Home Equity Loan Trust
4.925% due 03/25/2037		3,457		3,392
4.925% due 06/25/2037		5,857		5,699
4.985% due 04/25/2037		3,344		3,241
Nelnet Student Loan Trust
4.894% due 12/22/2014		1,161		1,161
5.174% due 10/25/2016		224		224
5.182% due 09/25/2012		397		397
New Century Home Equity Loan Trust
4.925% due 05/25/2036		1,246		1,244
4.935% due 08/25/2036		2,804		2,781
5.045% due 05/25/2036		2,700		2,603
5.125% due 06/25/2035		1,084		980
Newcastle Mortgage Securities Trust
4.935% due 03/25/2036		3,540		3,514
NPF XII, Inc.
2.462% due 11/01/2003 (a)		10,000		47
Option One Mortgage Loan Trust
4.905% due 02/25/2037		3,203		3,099
4.915% due 07/25/2036		1,524		1,511
4.915% due 01/25/2037		8,278		8,147
4.925% due 07/25/2037		2,521		2,481
Park Place Securities, Inc.
5.125% due 09/25/2035		681		668
Popular ABS Mortgage Pass-Through Trust
4.915% due 07/25/2036		354		351
4.955% due 06/25/2047		4,984		4,835
Renaissance Home Equity Loan Trust
5.215% due 08/25/2032		4		4
5.365% due 12/25/2033		2,073		2,040
Residential Asset Mortgage Products, Inc.
4.935% due 11/25/2036		1,588		1,561
4.935% due 02/25/2037		3,678		3,602
4.945% due 03/25/2036		210		209
4.965% due 08/25/2046		3,314		3,256
Residential Asset Securities Corp.
4.905% due 06/25/2036		2,163		2,133
4.925% due 01/25/2037		8,495		8,220
4.935% due 03/25/2036		25		25
4.935% due 04/25/2036		429		428
4.935% due 07/25/2036		3,360		3,335
4.935% due 11/25/2036		14,448		14,109
4.935% due 02/25/2037		3,043		2,981
4.975% due 04/25/2037		4,140		4,052
Salomon Brothers Mortgage Securities VII, Inc.
5.165% due 03/25/2032		268		265
5.775% due 01/25/2032		147		144
Saxon Asset Securities Trust
4.925% due 10/25/2046		8,612		8,502
5.135% due 01/25/2032		129		129
5.385% due 08/25/2032		44		43
SBI HELOC Trust
5.035% due 08/25/2036		3,672		3,502
Securitized Asset-Backed Receivables LLC Trust
4.905% due 01/25/2037		5,961		5,775
4.915% due 09/25/2036		2,717		2,633
4.925% due 12/25/2036		8,482		7,966
4.945% due 11/25/2036		3,437		3,345
SLM Student Loan Trust
3.800% due 12/15/2038		6,900		6,764
5.054% due 04/25/2012		434		434
5.064% due 04/25/2014		6,887		6,880
5.074% due 10/27/2014		6,213		6,202
5.074% due 07/25/2017		6,893		6,892
Soundview Home Equity Loan Trust
4.905% due 11/25/2036		4,370		4,340
4.915% due 10/25/2036		5,011		4,915
4.925% due 11/25/2036		4,118		4,069
4.925% due 12/25/2036		1,138		1,122
4.945% due 01/25/2037		5,506		5,402
4.945% due 06/25/2037		3,896		3,823
4.965% due 10/25/2036		1,451		1,431
Specialty Underwriting & Residential Finance
4.895% due 06/25/2037		2,972		2,928
4.910% due 11/25/2037		4,546		4,451
4.925% due 02/25/2037		853		847
4.925% due 01/25/2038		4,564		4,446
Structured Asset Investment Loan Trust
4.905% due 09/25/2036		2,337		2,283
4.915% due 07/25/2036		8,570		8,208
Structured Asset Securities Corp.
4.915% due 02/25/2036		183		183
4.915% due 10/25/2036		12,916		12,690
4.945% due 01/25/2037		2,077		2,006
4.965% due 01/25/2037		2,986		2,842
5.265% due 05/25/2034		487		453
Truman Capital Mortgage Loan Trust
5.205% due 01/25/2034		130		128
USAA Auto Owner Trust
5.337% due 07/11/2008		1,405		1,406
Washington Mutual Asset-Backed Certificates
4.915% due 01/25/2037		7,568		7,251
4.935% due 04/25/2036		559		556
Wells Fargo Home Equity Trust
4.915% due 01/25/2037		3,438		3,376
4.965% due 03/25/2037		1,615		1,582
Total Asset-Backed Securities (Cost $1,064,097)				1,034,996
SOVEREIGN ISSUES 2.5%
Canada Mortgage & Housing Corp.
3.375% due 12/01/2008		27,900		27,844
Israel Government AID Bond
0.000% due 11/01/2024		178,000		78,026
Total Sovereign Issues (Cost $100,680)				105,870
SHORT-TERM INSTRUMENTS 8.1%
Certificates of Deposit 0.1%
HSBC Bank USA N.A.
5.426% due 07/28/2008		2,200		2,203
Commercial Paper 2.4%
Federal Home Loan Bank
4.375% due 11/13/2008		100,000		100,223
Repurchase Agreements 2.8%
Fixed Income Clearing Corp.
2.250% due 01/02/2008		115,000		115,000
(Dated 12/31/2007. Collateralized by Fannie Mae 4.750% - 5.125% due 03/12/2010 - 04/01/2010 valued at $35,643; Federal Farm Credit Bank 5.150% due 11/15/2019 valued at $620; and Freddie Mac 4.875% due 02/09/2010 valued at $81,037. Repurchase proceeds are $115,014.)
3.900% due 01/02/2008		5,535		5,535
(Dated 12/31/2007. Collateralized by Fannie Mae 6.000% - 6.060% due 02/06/2017 - 06/06/2017 valued at $4,295 and Freddie Mac 6.000% due 02/21/2017 valued at $1,351. Repurchase proceeds are $5,536.)
				120,535
U.S. Treasury Bills 2.8%
3.023% due 02/28/2008 - 03/13/2008 (b)(d)(e)(h)		120,950		119,870
Total Short-Term Instruments (Cost $343,187)				342,831
Purchased Options (j) 2.9% (Cost $25,282)				123,125
Total Investments 142.6% (Cost $5,934,486)			$	6,005,344
Written Options (k) (2.2%) (Premiums $34,737)				(93,053	)
Other Assets and Liabilities (Net) (40.4%)				(1,700,011	)
Net Assets (f) 100.0%			$	4,212,280

Notes to Schedule of Investments (amounts in thousands, except number of contracts):

(a) Security is in default.

(b) Coupon represents a weighted average rate.

(c) Principal amount of security is adjusted for inflation.

(d) Securities with an aggregate market value of $50,793 have been pledged as collateral for swap and swaption contracts on December 31, 2007.

(e) Securities with an aggregate market value of $5,450 have been pledged as collateral for delayed-delivery securities on December 31, 2007.

(f) As of December 31, 2007, portfolio securities with an aggregate value of $15,975 and derivative instruments with an aggregate appreciation of $1,252 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(g) The average amount of borrowings outstanding during the period ended December 31, 2007 was $148,824 at a weighted average interest rate of 5.010%. On December 31, 2007, securities valued at $247,925 were pledged as collateral for reverse repurchase agreements.

(h) Securities with an aggregate market value of $61,637 and cash of $43,260 have been segregated with the custodian to cover margin requirements for the following open futures contracts on December 31, 2007:

Description	Type	Expiration Month	# of Contracts		Unrealized Appreciation/ (Depreciation)
90-Day Eurodollar December Futures	Long	12/2008	49,692	$	210,102
90-Day Eurodollar June Futures	Long	06/2008	52,620		171,038
90-Day Eurodollar June Futures	Long	06/2009	1,550		4,092
90-Day Eurodollar March Futures	Long	03/2009	33,395		88,978
90-Day Eurodollar September Futures	Long	09/2008	12,581		38,467
90-Day Eurodollar September Futures	Long	09/2009	1,600		3,958
U.S. Treasury 5-Year Note March Futures	Short	03/2008	1,462		(1,110)
U.S. Treasury 10-Year Note March Futures	Long	03/2008	188		35
U.S. Treasury 30-Year Bond March Futures	Short	03/2008	1,749		1,699
				$	517,259

(i) Swap agreements outstanding on December 31, 2007:

Credit Default Swaps on Securities

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation
Merrill Lynch & Co., Inc.	Altius Funding Ltd. floating rate based on 3-Month USD-LIBOR plus 1.400% due 12/09/2040	Buy	(1.230	%)	12/09/2040	$	3,000	$	1,252

⁽¹⁾ If the Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will generally receive from the seller of protection an amount up to the notional amount of the swap.

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
Barclays Bank PLC	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010	$	102,100	$	378
Barclays Bank PLC	3-Month USD-LIBOR	Pay	5.000	%	06/18/2010		16,200		50
Barclays Bank PLC	3-Month USD-LIBOR	Pay	5.000	%	12/19/2012		48,500		1,778
Barclays Bank PLC	3-Month USD-LIBOR	Pay	4.000	%	06/18/2013		150,300		1,081
Barclays Bank PLC	3-Month USD-LIBOR	Pay	5.000	%	06/18/2038		69,880		801
Citibank N.A.	3-Month USD-LIBOR	Pay	5.000	%	06/20/2012		79,400		3,233
Deutsche Bank AG	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010		642,400		971
Deutsche Bank AG	3-Month USD-LIBOR	Receive	5.000	%	06/18/2015		74,500		43
Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	06/18/2038		115,800		2,730
Goldman Sachs & Co.	3-Month USD-LIBOR	Pay	4.000	%	06/18/2010		147,100		445
JPMorgan Chase & Co.	3-Month USD-LIBOR	Pay	4.000	%	06/18/2013		300,400		75
Merrill Lynch & Co., Inc.	3-Month USD-LIBOR	Receive	5.000	%	06/18/2018		571,830		(4,095)
Morgan Stanley	3-Month USD-LIBOR	Pay	5.000	%	06/20/2012		12,900		353
Morgan Stanley	3-Month USD-LIBOR	Pay	4.000	%	06/18/2013		1,030,300		9,083
Morgan Stanley	3-Month USD-LIBOR	Receive	5.000	%	06/18/2018		173,710		(3,254)
Morgan Stanley	3-Month USD-LIBOR	Pay	5.000	%	06/18/2038		12,600		356
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	06/20/2012		246,500		6,767
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.000	%	06/18/2013		854,800		9,613
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	06/18/2018		563,370		(807)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	06/18/2038		498,120		14,075
UBS Warburg LLC	3-Month USD-LIBOR	Pay	5.000	%	12/20/2009		470,000		14,363
								$	58,039

(j) Purchased options outstanding on December 31, 2007:

Options on Exchange-Traded Futures Contracts

Description		Exercise Price	Expiration Date	# of Contracts		Cost		Value
Call - CBOT U.S. Treasury 10-Year Note March Futures	$	130.000	02/22/2008	3,740	$	71	$	58

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date		Notional Amount		Cost		Value
Call - OTC 2-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Pay	4.750	%	09/26/2008	$	1,588,800	$	7,658	$	32,979
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	03/31/2008		1,014,000		5,678		20,520
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	09/26/2008		420,200		1,502		8,722
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	12/15/2008		3,058,000		10,367		60,845
									$	25,205	$	123,066

Options on Securities

Description		Strike Price	Expiration Date		Notional Amount		Cost		Value
Put - OTC Fannie Mae 6.000% due 03/01/2038	$	91.000	03/05/2008	$	53,000	$	6	$	1

(k) Written options outstanding on December 31, 2007:

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date		Notional Amount		Premium		Value
Call - OTC 7-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Receive	4.500	%	05/02/2008	$	51,200	$	1,024	$	993
Put - OTC 7-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Pay	5.500	%	05/02/2008		51,200		1,214		67
Call - OTC 5-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Receive	4.950	%	09/26/2008		692,100		7,754		25,219
Call - OTC 7-Year Interest Rate Swap	JPMorgan Chase & Co.	3-Month USD-LIBOR	Receive	4.500	%	05/02/2008		113,000		2,497		2,191
Put - OTC 7-Year Interest Rate Swap	JPMorgan Chase & Co.	3-Month USD-LIBOR	Pay	5.500	%	05/02/2008		113,000		2,678		148
Call - OTC 7-Year Interest Rate Swap	Merrill Lynch & Co., Inc.	3-Month USD-LIBOR	Receive	4.500	%	05/02/2008		51,200		1,024		993
Put - OTC 7-Year Interest Rate Swap	Merrill Lynch & Co., Inc.	3-Month USD-LIBOR	Pay	5.500	%	05/02/2008		51,200		1,208		67
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.950	%	03/31/2008		441,000		5,424		16,104
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.950	%	09/26/2008		185,900		1,525		6,774
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	12/15/2008		1,031,200		10,389		40,497
									$	34,737	$	93,053

(l) Short sales outstanding on December 31, 2007:

Description	Coupon		Maturity Date		Principal Amount		Proceeds		Value	(2)
U.S. Treasury Bonds	4.750	%	02/15/2037	$	92,000	$	97,070	$	98,237
U.S. Treasury Notes	3.250	%	08/15/2008		160,000		159,899		162,264
U.S. Treasury Notes	4.500	%	05/15/2017		157,000		164,330		164,155
U.S. Treasury Notes	4.625	%	02/15/2017		908,000		939,552		966,459
						$	1,360,851	$	1,391,115

⁽²⁾ Market value includes $22,480 of interest payable on short sales.

See accompanying notes

Supplementary Notes to Schedule of Investments

1. Federal Income Tax Matters

At December 31, 2007, the aggregate cost of investments was the same for federal income tax and financial statement purposes. The net unrealized appreciation (depreciation) of investment securities for federal income tax purposes is as follows (amounts in thousands):

		Aggregate Gross Unrealized Appreciation		Aggregate Gross Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
All Asset All Authority Fund	$	14,724	$	(15,014	)	$	(290	)
All Asset Fund		263,139		(189,492	)		73,647
California Intermediate Municipal Bond Fund		2,631		(1,545	)		1,086
California Short Duration Municipal Income Fund		28		(46	)		(18	)
CommodityRealReturn Strategy Fund®		1,046,450		(35,180	)		1,011,270
Convertible Fund		20,121		(27,106	)		(6,985	)
Developing Local Markets Fund		15,642		(34,300	)		(18,658	)
Diversified Income Fund		58,667		(44,467	)		14,200
Emerging Local Bond Fund		49,667		(11,344	)		38,323
Emerging Markets Bond Fund		94,568		(33,265	)		61,303
European StocksPLUS® TR Strategy Fund		228		(34	)		194
Extended Duration Fund		3,604		(197	)		3,407
Far East (ex-Japan) StocksPLUS® TR Strategy Fund		568		(182	)		386
Floating Income Fund		90,668		(55,399	)		35,269
Foreign Bond Fund (Unhedged)		123,905		(35,319	)		88,586
Foreign Bond Fund (U.S. Dollar-Hedged)		152,179		(32,897	)		119,282
Fundamental IndexPLUS™ Fund		2,133		(5,320	)		(3,187	)
Fundamental IndexPLUS™ TR Fund		11,688		(3,771	)		7,917
Global Bond Fund (Unhedged)		62,215		(9,494	)		52,721
Global Bond Fund (U.S. Dollar-Hedged)		12,215		(2,749	)		9,466
GNMA Fund		6,547		(594	)		5,953
High Yield Fund		154,770		(197,686	)		(42,916	)
High Yield Municipal Bond Fund		78		(10,319	)		(10,241	)
Income Fund		2,621		(1,285	)		1,336
International StocksPLUS® TR Strategy Fund (Unhedged)		992		(789	)		203
International StocksPLUS® TR Strategy Fund (U.S. Dollar-Hedged)		21,346		(4,328	)		17,018
Investment Grade Corporate Bond Fund		1,740		(1,358	)		382
Japanese StocksPLUS® TR Strategy Fund		638		(613	)		25
Long Duration Total Return Fund		2,837		(1,457	)		1,380
Long-Term U.S. Government Fund		33,184		(16,450	)		16,734
Low Duration Fund		85,976		(80,014	)		5,962
Low Duration Fund II		3,588		(2,739	)		849
Low Duration Fund III		1,533		(1,117	)		416
Moderate Duration Fund		19,272		(8,735	)		10,537
Mortgage-Backed Securities Fund		10,690		(2,853	)		7,837
Municipal Bond Fund		8,941		(6,110	)		2,831
New York Municipal Bond Fund		660		(699	)		(39	)
Real Return Asset Fund		46,108		(5,871	)		40,237
Real Return Fund		344,380		(24,871	)		319,509
RealEstateRealReturn Strategy Fund		4,937		(757	)		4,180
Short Duration Municipal Income Fund		1,747		(2,000	)		(253	)
Short-Term Fund		46,534		(30,410	)		16,124
Small Cap StocksPLUS® TR Fund		284		(347	)		(63	)
StocksPLUS® Fund		10,330		(7,911	)		2,419
StocksPLUS® Long Duration Fund		744		(455	)		289
StocksPLUS® Total Return Fund		7,235		(2,756	)		4,479
StocksPLUS® TR Short Strategy Fund		3,217		(818	)		2,399
Total Return Fund		2,810,344		(687,574	)		2,122,770
Total Return Fund II		49,146		(16,023	)		33,123
Total Return Fund III		43,628		(19,154	)		24,474
Asset-Backed Securities Portfolio		10,473		(35,651	)		(25,178	)
Developing Local Markets Portfolio		2,838		(4,735	)		(1,897	)
Emerging Markets Portfolio		30,768		(20,660	)		10,108
High Yield Portfolio		34,473		(29,015	)		5,458
International Portfolio		35,498		(23,599	)		11,899
Investment Grade Corporate Portfolio		66,247		(33,599	)		32,648
Mortgage Portfolio		258,171		(123,557	)		134,614
Municipal Sector Portfolio		8,535		(4,090	)		4,445
Real Return Portfolio		18,406		(2,316	)		16,090
Short-Term Portfolio		33,897		(59,515	)		(25,618	)
Short-Term II Portfolio		3,998		(1,856	)		2,142
U.S. Government Sector Portfolio		128,746		(57,888	)		70,858

2. Non-U.S. Currency symbols utilized throughout reports are defined as follows:

AED	–	United Arab Emirates Dirham
AUD	–	Australian Dollar
BRL	–	Brazilian Real
CAD	–	Canadian Dollar
CHF	–	Swiss Franc
CLP	–	Chilean Peso
CNY	–	Chinese Yuan Renminbi
COP	–	Colombian Peso
CZK	–	Czech Koruna
DKK	–	Danish Krone
EGP	–	Egyptian Pound
EUR	–	Euro
GBP	–	British Pound
HKD	–	Hong Kong Dollar
HUF	–	Hungarian Forint
IDR	–	Indonesian Rupiah
ILS	–	Israeli Shekel
INR	–	Indian Rupee
JPY	–	Japanese Yen
KRW	–	South Korean Won
KWD	–	Kuwaiti Dinar
MXN	–	Mexican Peso
MYR	–	Malaysian Ringgit
NOK	–	Norwegian Krone
NZD	–	New Zealand Dollar
PEN	–	Peruvian New Sol
PHP	–	Philippine Peso
PLN	–	Polish Zloty
RON	–	Romanian Leu
RUB	–	Russian Ruble
SAR	–	Saudi Riyal
SEK	–	Swedish Krona
SGD	–	Singapore Dollar
SKK	–	Slovakian Koruna
TRY	–	Turkish Lira
TWD	–	Taiwan Dollar
UAH	–	Ukrainian Hryvnia
UYU	–	Uruguayan Peso
ZAR	–	South African Rand

Item 2. Controls and Procedures.

(a) The principal executive officer and principal financial officer have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) provide reasonable assurances that material information relating to the registrant is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing of this report.

(b) There has been no change in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrant’s last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 3. Exhibits.

A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2 under the 1940 Act is attached as Exhibit 99.CERT.

Signatures

Pursuant to the requirements of the Securities Exchange Act of 1934 and the 1940 Act, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

PIMCO Funds
By:	/s/    ERNEST L. SCHMIDER
	Ernest L. Schmider
	President, Principal Executive Officer
Date:	February 28, 2008

Pursuant to the requirements of the Securities Exchange Act of 1934 and the 1940 Act, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By:	/s/    ERNEST L. SCHMIDER
	Ernest L. Schmider
	President, Principal Executive Officer
Date:	February 28, 2008
By:	/s/    JOHN P. HARDAWAY
	John P. Hardaway
	Treasurer, Principal Financial Officer
Date:	February 28, 2008

EX-99.CERT

99.CERT

Certification Under Rule 30a-2(a)

CERTIFICATION

I, Ernest L. Schmider, certify that:

1. I have reviewed this report on Form N-Q of PIMCO Funds;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed;

4. The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and

d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officer and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date:	February 28, 2008
Signature:	/s/ Ernest L. Schmider
Name:	Ernest L. Schmider
Title:	President, Principal Executive Officer

99.CERT

Certification Under Rule 30a-2(a)

CERTIFICATION

I, John P. Hardaway, certify that:

1. I have reviewed this report on Form N-Q of PIMCO Funds;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed;

4. The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and

d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officer and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date:	February 28, 2008
Signature:	/s/ John P. Hardaway
Name:	John P. Hardaway
Title:	Treasurer, Principal Financial Officer