N-Q 1 dnq.htm PIMCO FUNDS FORM NQ PIMCO Funds Form NQ

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, 2008

 

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

 

Table of Contents

    
All Asset All Authority Fund    Mortgage-Backed Securities Fund
All Asset Fund    Municipal Bond Fund
California Intermediate Municipal Bond Fund    New York Municipal Bond Fund
California Short Duration Municipal Income Fund    Real Return Asset Fund
CommodityRealReturn Strategy Fund®    Real Return Fund
Convertible Fund    RealEstateRealReturn Strategy Fund
Developing Local Markets Fund    RealRetirementTM 2010 Fund
Diversified Income Fund    RealRetirementTM 2020 Fund
EM Fundamental IndexPLUS TR Strategy Fund    RealRetirementTM 2030 Fund
Emerging Local Bond Fund    RealRetirementTM 2040 Fund
Emerging Markets Bond Fund    RealRetirementTM 2050 Fund

Extended Duration Fund

   Short Duration Municipal Income Fund
Floating Income Fund    Short-Term Fund
Foreign Bond Fund (Unhedged)    Small Cap StocksPLUS® TR Fund
Foreign Bond Fund (U.S. Dollar-Hedged)    StocksPLUS® Fund
Fundamental Advantage Tax Efficient Strategy Fund    StocksPLUS® Long Duration Fund
Fundamental Advantage Total Return Strategy Fund    StocksPLUS® Total Return Fund
Fundamental IndexPLUSTM Fund    StocksPLUS® TR Short Strategy Fund
Fundamental IndexPLUSTM TR Fund    Total Return Fund
Global Bond Fund (Unhedged)    Total Return Fund II
Global Bond Fund (U.S. Dollar-Hedged)    Total Return Fund III
Global Multi-Asset Fund    Unconstrained Bond Fund
GNMA Fund    Asset-Backed Securities Portfolio
High Yield Fund    Developing Local Markets Portfolio
High Yield Municipal Bond Fund    Emerging Markets Portfolio
Income Fund    High Yield Portfolio
International StocksPLUS® TR Strategy Fund (Unhedged)    International Portfolio
International StocksPLUS® TR Strategy Fund (U.S. Dollar-Hedged)    Investment Grade Corporate Portfolio
Investment Grade Corporate Bond Fund    Long Duration Corporate Bond Portfolio
Long Duration Total Return Fund    Mortgage Portfolio
Long-Term U.S. Government Fund    Municipal Sector Portfolio
Low Duration Fund    Real Return Portfolio
Low Duration Fund II   

Short-Term Floating NAV Portfolio

Low Duration Fund III   

Short-Term Portfolio

Moderate Duration Fund   

Short-Term Portfolio II

Money Market Fund    U.S. Government Sector Portfolio


Schedule of Investments

All Asset All Authority Fund

December 31, 2008 (Unaudited)

 

     Shares    Value
(000s)
 

PIMCO FUNDS (a)(b) 108.5%

             

CommodityRealReturn Strategy Fund®

   7,383,677    $ 47,182  

Convertible Fund

   13,578,215      120,846  

Developing Local Markets Fund

   10,921,400      92,395  

Diversified Income Fund

   2,816,213      24,248  

EM Fundamental IndexPLUSTM TR Strategy Fund

   107,290      1,125  

Emerging Local Bond Fund

   15,606,198      128,283  

Emerging Markets Bond Fund

   13,848,270      117,295  

Floating Income Fund

   6,964,714      48,614  

Foreign Bond Fund (Unhedged)

   967,998      8,305  

Fundamental Advantage Total Return Strategy Fund

   12,670,640      57,905  

Fundamental IndexPLUSTM Fund

   118,551      675  

Fundamental IndexPLUSTM TR Fund

   10,442,399      59,104  

Global Bond Fund (Unhedged)

   29,369      251  

High Yield Fund

   13,903,129      93,012  

Income Fund

   4,826,446      43,004  

Investment Grade Corporate Bond Fund

   20,124,332      202,853  

Long Duration Total Return Fund

   106,272      1,160  

Long-Term U.S. Government Fund

   399,392      4,761  

Low Duration Fund

   79,668      750  

Real Return Asset Fund

   36,411,227      356,830  

Real Return Fund

   1,712,283      16,181  

RealEstateRealReturn Strategy Fund

   22,453,292      66,686  

Short-Term Fund

   67      1  

Small Cap StocksPLUS® TR Fund

   8,787,451      59,843  

StocksPLUS® Fund

   148,730      831  

StocksPLUS® Total Return Fund

   240,365      1,375  

StocksPLUS® TR Short Strategy Fund

   78,490      492  

Total Return Fund

   574,473      5,825  
         


Total PIMCO Funds

(Cost $1,754,670)

          1,559,832  
         


Total Investments 108.5%

(Cost $1,754,670)

        $ 1,559,832  

Other Assets and Liabilities (Net) (8.5%)

          (121,785 )
         


Net Assets 100.0%

        $ 1,438,047  
         


 

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

 

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

 

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

 

(b) Institutional Class Shares of each PIMCO Fund.

 

(c) Fair Value Measurements+

 

The following is a summary of the fair valuations according to the inputs used as of December 31, 2008 in valuing the Fund’s assets and liabilities:

 

     Quoted Prices
in Active Markets
for Identical Investments
(Level 1)


   Significant Other
Observable
Inputs

(Level 2)

   Significant
Unobservable
Inputs

(Level 3)

   Value at
12/31/2008


Investments, at value

   $ 1,559,832    $ 0    $ 0    $ 1,559,832

Other Financial Instruments++

     0      0      0      0
    

  

  

  

Total

   $ 1,559,832    $ 0    $ 0    $ 1,559,832
    

  

  

  

 

+

See note 3 in the Supplementary Notes to Schedule of Investments for additional information.

 

++

Other financial instruments may include open futures contracts, swap contracts, written options, and foreign currency contracts.

 

See Accompanying Notes


Schedule of Investments

All Asset Fund

December 31, 2008 (Unaudited)

 

     Shares   

Value

(000s)

 

PIMCO FUNDS (a)(b) 100.2%

             

CommodityRealReturn Strategy Fund®

   45,696,568    $ 292,001  

Convertible Fund

   105,837,500      941,954  

Developing Local Markets Fund

   114,397,802      967,805  

Diversified Income Fund

   42,676,101      367,441  

EM Fundamental IndexPLUSTM TR Strategy Fund

   858,321      9,004  

Emerging Local Bond Fund

   151,930,788      1,248,871  

Emerging Markets Bond Fund

   104,430,471      884,526  

Floating Income Fund

   42,249,808      294,904  

Foreign Bond Fund (Unhedged)

   776,419      6,662  

Fundamental Advantage Total Return Strategy Fund

   32,704,928      149,461  

Fundamental IndexPLUSTM Fund

   21,346,780      121,463  

Fundamental IndexPLUSTM TR Fund

   58,103,509      328,866  

Global Bond Fund (Unhedged)

   883,720      7,556  

High Yield Fund

   75,507,392      505,144  

Income Fund

   23,658,872      210,801  

International StocksPLUS® TR Strategy Fund (Unhedged)

   5,614,916      31,893  

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

   39,102,276      281,536  

Investment Grade Corporate Bond Fund

   120,384,139      1,213,472  

Long Duration Total Return Fund

   9,118,716      99,576  

Long-Term U.S. Government Fund

   525,243      6,261  

Low Duration Fund

   4,640,919      43,717  

Real Return Asset Fund

   316,892,936      3,105,551  

Real Return Fund

   991,325      9,368  

RealEstateRealReturn Strategy Fund

   167,000,870      495,993  

Short-Term Fund

   622,307      5,738  

Small Cap StocksPLUS® TR Fund

   74,029,947      504,144  

StocksPLUS® Fund

   1,396,556      7,807  

StocksPLUS® Total Return Fund

   5,910,377      33,807  

Total Return Fund

   828,037      8,396  
         


Total PIMCO Funds

(Cost $14,730,481)

          12,183,718  
         


Total Investments 100.2%

(Cost $14,730,481)

        $ 12,183,718  

Other Assets and Liabilities (Net) (0.2%)

          (27,411 )
         


Net Assets 100.0%

        $ 12,156,307  
         


 

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

 

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

 

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

 

(b) Institutional Class Shares of each PIMCO Fund.

 

(c) Fair Value Measurements+

 

The following is a summary of the fair valuations according to the inputs used as of December 31, 2008 in valuing the Fund’s assets and liabilities:

 

     Quoted Prices
in Active Markets
for Identical Investments
(Level 1)


   Significant Other
Observable
Inputs

(Level 2)

   Significant
Unobservable
Inputs

(Level 3)

   Value at
12/31/2008


Investments, at value

   $ 12,183,718    $ 0    $ 0    $ 12,183,718

Other Financial Instruments++

     0      0      0      0
    

  

  

  

Total

   $ 12,183,718    $ 0    $ 0    $ 12,183,718
    

  

  

  

 

+

See note 3 in the Supplementary Notes to Schedule of Investments for additional information.

 

++

Other financial instruments may include open futures contracts, swap contracts, written options, and foreign currency contracts.

 

See Accompanying Notes


Schedule of Investments

California Intermediate Municipal Bond Fund

December 31, 2008 (Unaudited)

 

     Principal
Amount
(000s)
   Value
(000s)

CORPORATE BONDS & NOTES 2.7%

             

American International Group, Inc.

             

4.700% due 10/01/2010

   $ 400    $ 353

8.175% due 05/15/2058

     700      273

8.250% due 08/15/2018

     100      74

Bank of America Corp.

             

8.000% due 12/29/2049

     2,000      1,440

Citigroup, Inc.

             

8.400% due 04/29/2049

     500      331

General Electric Capital Corp.

             

3.705% due 07/27/2012

     250      210

SLM Corp.

             

4.500% due 07/26/2010

     450      391
           

Total Corporate Bonds & Notes

(Cost $4,200)

     3,072
           

MUNICIPAL BONDS & NOTES 92.1%

             

California 82.0%

             

Alameda, California Business Park Assessment Revenue Bonds, Series 1998

             

5.500% due 09/02/2012

     1,180      1,114

Alum Rock, California Union Elementary School District General Obligation Bonds, (AGC Insured), Series 2008

             

5.000% due 08/01/2019

     265      275

Anaheim, California Public Financing Authority Revenue Bonds, (FSA Insured), Series 1997

             

0.000% due 09/01/2022

     2,000      791

Burbank, California Community Facilities District Special Tax Notes, Series 2006

             

4.000% due 12/01/2009

     100      101

Cajon Valley, California Union Elementary School District General Obligation Bonds, Series 2008

             

5.000% due 08/01/2019

     1,320      1,391

California State Association of Bay Area Governments Financing Authority for Non-Profit Corp. Revenue Bonds, (CM Insured), Series 2001

             

5.250% due 04/01/2026

     2,000      1,715

California State Association of Bay Area Governments Financing Authority for Non-Profit Corp. Revenue Bonds, (CM Insured), Series 2003

             

5.200% due 11/15/2022

     2,000      1,842

California State Educational Facilities Authority Revenue Bonds, (MBIA Insured), Series 2001

             

0.000% due 10/01/2014

     500      394

California State Educational Facilities Authority Revenue Notes, Series 2005

             

5.000% due 10/01/2012

     540      566

5.000% due 10/01/2013

     570      598

California State Educational Facilities Authority Revenue Notes, Series 2006

             

5.000% due 11/01/2014

     750      786

California State Educational Facilities Authority Revenue Notes, Series 2008

             

5.000% due 01/01/2018

     1,500      1,658

California State Encinitas Union School District General Obligation Bonds, (MBIA Insured), Series 1996

             

0.000% due 08/01/2018

     1,500      938

California State for Precious Veterans General Obligation Bonds, Series 2000

             

5.700% due 12/01/2032

     160      134

California State General Obligation Bonds, Series 2004

             

0.980% due 05/01/2034

     100      100

California State Health Facilities Financing Authority Revenue Bonds, Series 2008

             

5.500% due 08/15/2018

     500      503

California State Health Facilities Financing Authority Revenue Notes, (CM Insured), Series 2000

             

5.000% due 09/01/2010

     350      355

California State Health Facilities Financing Authority Revenue Notes, Series 2008

             

6.000% due 10/01/2018

     250      264

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      1,362

California State Mountain House Public Financing Authority Revenue Notes, Series 2007

             

5.000% due 12/01/2015

     640      607

California State M-S-R Public Power Agency Revenue Bonds, (FSA Insured), Series 2008

             

5.000% due 07/01/2019

     2,000      2,029

California State M-S-R Public Power Agency Revenue Notes, (FSA Insured), Series 2008

             

5.000% due 07/01/2018

     2,000      2,142

California State Pollution Control Financing Authority Revenue Bonds, (FGIC Insured), Series 2004

             

4.750% due 12/01/2023

     3,000      2,142

California State Pollution Control Financing Authority Revenue Bonds, Series 2002

             

5.000% due 01/01/2022

     2,000      1,346

California State Port of Oakland Revenue Bonds, (MBIA-FGIC Insured), Series 2000

             

5.750% due 11/01/2012

     500      503

California State Public Works Board Lease Revenue Bonds, Series 2005

             

5.000% due 04/01/2017

     2,000      2,110

California State Public Works Board Lease Revenue Notes, (MBIA-FGIC Insured), Series 2006

             

5.000% due 10/01/2016

     2,500      2,632

California State Public Works Board Revenue Bonds, (MBIA Insured), Series 2005

             

5.250% due 11/01/2019

     1,000      1,051

California State San Ramon Valley Unified School District General Obligation Bonds, (MBIA-FGIC Insured), Series 1998

             

0.000% due 07/01/2018

     6,500      4,195

California State Tobacco Securitization Agency Revenue Bonds, Series 2002

             

6.125% due 06/01/2043

     1,000      597

California State Tobacco Securitization Agency Revenue Bonds, Series 2006

             

0.000% due 06/01/2028 (b)

     4,500      2,495

California Statewide Communities Development Authority Revenue Bonds, (CM Insured), Series 2001

             

5.000% due 10/01/2018

     2,000      1,967

California Statewide Communities Development Authority Revenue Bonds, (XLCA Insured), Series 2006

             

4.100% due 04/01/2028

     1,000      936

California Statewide Communities Development Authority Revenue Bonds, Series 2002

             

5.500% due 08/15/2034

     1,000      853

6.750% due 07/01/2032 (e)

     1,280      945

California Statewide Communities Development Authority Revenue Bonds, Series 2005

             

5.000% due 03/01/2018

     125      115

California Statewide Communities Development Authority Revenue Bonds, Series 2007

             

5.150% due 07/01/2030

     650      406

5.500% due 11/01/2038

     400      222

California Statewide Communities Development Authority Revenue Bonds, Series 2008

             

0.850% due 08/15/2034

     1,000      1,000

California Statewide Communities Development Authority Revenue Notes, Series 2004

             

5.500% due 05/15/2012

     1,000      952

California Statewide Communities Development Authority Revenue Notes, Series 2005

             

5.000% due 07/01/2013

     850      858

Campbell, California Redevelopment Agency Tax Allocation Notes, Series 2002

             

4.700% due 10/01/2011

     505      499

Capistrano, California Unified School District Special Tax Bonds, Series 2003

             

5.250% due 09/01/2016

     700      569

5.375% due 09/01/2017

     800      642

Contra Costa County, California Public Financing Authority Tax Allocation Bonds, Series 2003

             

5.625% due 08/01/2033

     2,000      2,179

Corona, California Community Facilities District Special Tax Bonds, Series 1998

             

5.875% due 09/01/2023

     955      720

Desert Sands, California Unified School District General Obligation Notes, (AMBAC Insured), Series 2006

             

0.000% due 06/01/2014

     3,000      2,444

El Monte, California School District General Obligation Notes, (MBIA-FGIC Insured), Series 2005

             

0.000% due 05/01/2012

     1,555      1,378

El Monte, California Union High School District General Obligation Notes, (MBIA-FGIC Insured), Series 2006

             

0.000% due 06/01/2013

     1,195      1,011

Fresno, California Revenue Bonds, (AGC Insured), Series 2008

             

5.000% due 09/01/2019

     700      738

Golden State, California Tobacco Securitization Corp. Revenue Bonds, Series 2003

             

6.750% due 06/01/2039

     665      773

Golden State, California Tobacco Securitization Corp. Revenue Bonds, Series 2007

             

5.125% due 06/01/2047

     2,150      1,074

Grossmont-Cuyamaca, California Community College District General Obligation Bonds, (AGC Insured), Series 2008

             

5.000% due 08/01/2018

     500      545

Inland Empire, California Tobacco Securitization Authority Revenue Bonds, Series 2007

             

4.625% due 06/01/2021

     955      710

Long Beach, California Bond Finance Authority Revenue Bonds, Series 2007

             

5.000% due 11/15/2029

     1,000      626

5.250% due 11/15/2018

     1,000      808

5.250% due 11/15/2019

     500      395

Long Beach, California Special Tax Bonds, Series 2008

             

5.375% due 10/01/2022

     250      190

Los Angeles, California Community College District General Obligation Notes, Series 2008

             

3.000% due 08/01/2012

     250      253

Los Angeles, California Department of Airports Revenue Notes, (MBIA Insured), Series 2006

             

5.000% due 05/15/2016

     1,000      1,007

Los Angeles, California Municipal Improvement Corp. Revenue Bonds, Series 2008

             

5.000% due 09/01/2019

     250      257

Los Angeles, California Unified School District General Obligation Bonds, (MBIA Insured), Series 1999

             

4.750% due 07/01/2010

     30      31

Modesto, California Irrigation District Certificates of Participation Notes, (AMBAC Insured), Series 2006

             

5.000% due 10/01/2015

     3,545      3,833

Morgan Hill, California Unified School District General Obligation Notes, (AMBAC Insured), Series 2006

             

0.000% due 08/01/2016

     500      362

Oakland, California Joint Powers Financing Authority Revenue Bonds, (AMBAC Insured), Series 2005

             

5.000% due 06/15/2019

     1,250      1,291

Palm Springs, California Revenue Notes, Series 2008

             

5.300% due 07/01/2013

     250      213

Redding, California Redevelopment Agency Tax Allocation Bonds, Series 2006

             

5.000% due 09/01/2036

     1,250      909

Rio Vista, California Community Facilities District Special Tax Notes, Series 2006

             

4.000% due 09/01/2009

     170      171

Riverbank, California Redevelopment Agency Tax Allocation Notes, Series 2007

             

4.100% due 08/01/2013

     255      243

Sacramento County, California Sanitation District Revenue Bonds, (MBIA-FGIC Insured), Series 2006

             

5.000% due 12/01/2017

     1,000      1,074

Sacramento, California Municipal Utility District Revenue Bonds, Series 1983

             

9.000% due 04/01/2013

     585      664

San Diego County, California Certificates of Participation Notes, Series 2006

             

5.000% due 09/01/2013

     1,340      1,182

San Diego, California Redevelopment Agency Tax Allocation Bonds, (XLCA Insured), Series 2004

             

5.250% due 09/01/2016

     1,000      999

San Fernando, California Redevelopment Agency Tax Allocation Bonds, Series 2006

             

4.500% due 09/15/2017

     1,425      1,278

San Francisco, California City & County Airports Commission Revenue Bonds, (MBIA-FGIC Insured), Series 2006

             

5.250% due 05/01/2019

     1,460      1,526

San Francisco, California City & County Airports Commission Revenue Bonds, Series 2008

             

6.750% due 05/01/2019

     1,000      1,029

San Francisco, California City & County Unified School District General Obligation Notes, (FSA Insured),

     Series 2005

             

5.000% due 06/15/2015

     1,100      1,176

San Joaquin, California Delta Community College District General Obligation Notes, (AMBAC Insured), Series 2006

             

0.000% due 08/01/2014

     2,000      1,610

San Jose, California Multi-Family Housing Revenue Bonds, Series 1999

             

4.950% due 06/01/2039

     920      925

San Jose, California Redevelopment Agency Tax Allocation Bonds, (MBIA Insured), Series 2005

             

5.000% due 08/01/2017

     1,000      957

San Jose, California Redevelopment Agency Tax Allocation Bonds, Series 2008

             

6.500% due 08/01/2019

     1,000      1,032

San Luis Obispo County, California Financing Authority Revenue Bonds, (MBIA Insured), Series 2007

             

5.000% due 09/01/2018

     750      789

San Pablo, California Redevelopment Agency Revenue Bonds, Series 1979

             

8.000% due 10/01/2011

     55      57

Sonoma County, California Junior College District General Obligation Bonds, (MBIA Insured), Series 2007

             

5.000% due 08/01/2018

     1,250      1,333

Southern California State Public Power Authority Revenue Bonds, (MBIA-IBC Insured), Series 1992

             

0.000% due 07/01/2015

     1,570      1,206

Turlock, California Certificates of Participation Notes, Series 2007

             

5.000% due 10/15/2010

     360      341

University of California Regents Medical Center Revenue Bonds, (MBIA Insured), Series 2007

             

2.050% due 05/15/2030

     1,500      688

University of California Regents Medical Center Revenue Notes, Series 2008

             

5.000% due 05/15/2017

     2,000      2,163

University of California Revenue Bonds, (FSA Insured), Series 2005

             

5.000% due 05/15/2016

     3,240      3,468

University of California Revenue Bonds, Series 2008

             

5.000% due 05/15/2018

     350      374
           

              92,767
           

Montana 0.3%

             

Hardin, Montana Rocky Mountain Power, Inc. Tax Allocation Bonds, Series 2006

             

0.000% due 09/01/2031 (b)

     830      328
           

New Jersey 0.2%

             

New Jersey State Economic Development Authority Revenue Bonds, Series 1998

             

6.500% due 04/01/2018

     235      213
           

Puerto Rico 8.7%

             

Commonwealth of Puerto Rico Aqueduct & Sewer Authority Revenue Bonds, Series 2008

             

6.000% due 07/01/2038

     1,025      833

Commonwealth of Puerto Rico General Obligation Bonds, (AGC Insured), Series 2006

             

5.231% due 07/01/2020

     1,000      803

Commonwealth of Puerto Rico Government Development Bank Revenue Notes, Series 2006

             

5.000% due 12/01/2014

     2,500      2,288

Commonwealth of Puerto Rico Highway & Transportation Authority Revenue Bonds, Series 2007

             

5.500% due 07/01/2021

     2,500      2,199

Commonwealth of Puerto Rico Infrastructure Financing Authority Revenue Bonds, (AMBAC Insured), Series 1998

             

5.250% due 07/01/2010

     150      151

Commonwealth of Puerto Rico Public Finance Corp. Revenue Bonds, Series 2004

             

5.750% due 08/01/2027

     3,250      3,062

Puerto Rico Electric Power Authority Revenue Notes, Series 2008

             

5.000% due 07/01/2012

     500      484
           

              9,820
           

Texas 0.1%

             

Houston, Texas Airport Systems Revenue Bonds, Series 1997

             

6.125% due 07/15/2017

     100      54
           

Virgin Islands 0.8%

             

Virgin Islands Public Finance Authority Revenue Bonds, Series 2003

             

6.125% due 07/01/2022

     1,250      891
           

Total Municipal Bonds & Notes

(Cost $115,008)

     104,073
           

     Shares     

CONVERTIBLE PREFERRED STOCKS 0.0%

             

American International Group, Inc.

             

8.500% due 07/01/2022

     5,200      44
           

Total Convertible Preferred Stocks

(Cost $390)

     44
           

     Principal
Amount
(000s)
    

SHORT-TERM INSTRUMENTS 2.4%

             

U.S. Treasury Bills 2.4%

             

0.218% due 03/12/2009 - 06/04/2009 (a)(c)

   $ 2,760      2,748
           

Total Short-Term Instruments

(Cost $2,759)

            2,748
           

Total Investments 97.2%

(Cost $122,357)

          $ 109,937

Other Assets and Liabilities (Net) 2.8%

     3,191
           

Net Assets 100.0%

          $ 113,128
           

 

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) Security becomes interest bearing at a future date.

 

(c) Securities with an aggregate market value of $2,748 have been pledged as collateral for swap and swaption contracts on December 31, 2008.

 

(d) Swap agreements outstanding on December 31, 2008:

 

Credit Default Swaps on Corporate, Sovereign, and U.S. Municipal Issues - Sell Protection (1)

 

Reference Entity   Counterparty   Fixed Deal
Receive Rate
    Maturity
Date
  Implied
Credit
Spread at
December 31,
2008
 (2)
    Notional
Amount
 (3)
  Market
Value
    Upfront
Premiums
Paid/
(Received)
  Unrealized
(Depreciation)
 

California State General Obligation Notes, Series 2003

 

GSC

  1.580 %   12/20/2018   3.580 %   $ 5,000   $ (433 )   $ 0   $ (433 )
                             


 

 


 

Credit Default Swaps on Credit Indices - Sell Protection (1)

 

Index/Tranches   Counterparty   Fixed Deal
Receive Rate
    Maturity
Date
  Notional
Amount
 (3)
  Market
Value
 (4)
   

Upfront
Premiums
Paid/

(Received)

    Unrealized
(Depreciation)
 

MCDX 5-Year Index

 

GSC

  0.350 %   06/20/2013   $ 5,000   $ (364 )   $ (95 )   $ (269 )
                       


 


 


 

(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 either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities compromising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities compromising the referenced index.

 

(2)

Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues or sovereign issues of an emerging country as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. A credit spread identified as “Defaulted” indicates a credit event has occurred for the referenced entity or obligation.

 

(3)

The maximum potential amount the Fund could be required to make as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

 

(4)

The quoted market prices and resulting values for credit default swap agreements on asset-backed securities and credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement been closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

 

Interest Rate Swaps

 

Pay/Receive

Floating Rate

  Floating Rate Index   Fixed
Rate
    Maturity
Date
  Counterparty   Notional
Amount
  Market
Value
   

Upfront
Premiums
Paid/

(Received)

    Unrealized
(Depreciation)
 

Receive

 

3-Month USD-LIBOR

  4.000 %   06/17/2024   CSFB   $ 1,600   $ (223 )   $ (194 )   $ (29 )

Receive

 

3-Month USD-LIBOR

  5.000 %   12/17/2038   MLP     3,963     (1,803 )     81       (1,884 )
                           


 


 


                            $ (2,026 )   $ (113 )   $ (1,913 )
                           


 


 


 

(e) Restricted securities as of December 31, 2008:

 

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    $ 1,280    $ 945    0.84 %
                    

  

  

 

(f) Fair Value Measurements+

 

The following is a summary of the fair valuations according to the inputs used as of December 31, 2008 in valuing the Fund’s assets and liabilities:

 

     Quoted Prices
in Active Markets
for Identical Investments
(Level 1)


   Significant Other
Observable
Inputs

(Level 2)

    Significant
Unobservable
Inputs

(Level 3)

   Value at
12/31/2008


 

Investments, at value

   $ 44    $ 109,893     $ 0    $ 109,937  

Other Financial Instruments++

     0      (2,615 )     0      (2,615 )
    

  


 

  


Total

   $ 44    $ 107,278     $ 0    $ 107,322  
    

  


 

  


 

+

See note 3 in the Supplementary Notes to Schedule of Investments for additional information.

 

++

Other financial instruments may include open futures contracts, swap contracts, written options, and foreign currency contracts.

 

See Accompanying Notes


Schedule of Investments

California Short Duration Municipal Income Fund

December 31, 2008 (Unaudited)

 

    

Principal

Amount

(000s)

  

Value

(000s)

CORPORATE BONDS & NOTES 1.9%

             

American Express Bank FSB

             

0.568% due 10/20/2009

   $ 200    $ 191

1.275% due 07/13/2010

     250      228

American International Group, Inc.

             

4.700% due 10/01/2010

     300      265

5.600% due 10/18/2016

     100      67

8.175% due 05/15/2058

     100      39

Bank of America Corp.

             

8.000% due 12/29/2049

     300      216

Citigroup, Inc.

             

8.400% due 04/29/2049

     100      66

General Electric Capital Corp.

             

3.705% due 07/27/2012

     150      126

Morgan Stanley

             

4.232% due 05/14/2010

     250      233

SLM Corp.

             

4.500% due 07/26/2010

     450      391

Wachovia Bank N.A.

             

3.032% due 05/14/2010

     100      96
           

Total Corporate Bonds & Notes

(Cost $2,074)

            1,918
           

MUNICIPAL BONDS & NOTES 97.0%

             

California 85.0%

             

Alameda County, California Certificates of Participation Bonds, (AMBAC Insured), Series 2007

             

5.000% due 12/01/2017

     495      525

Anaheim, California Public Financing Authority Revenue Notes, Series 2008

             

4.000% due 08/01/2010

     2,275      2,335

Brentwood, California Union School District General Obligation Bonds, (MBIA-FGIC Insured), Series 2007

             

5.250% due 08/01/2017

     110      123

Brentwood, California Union School District General Obligation Notes, (MBIA-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 Revenue Notes, (CM Insured), Series 2002

             

4.500% due 04/01/2011

     500      508

California State Bay Area Toll Authority Revenue Notes, Series 2006

             

5.000% due 04/01/2015

     100      109

California State Department of Water Resources Revenue Bonds, Series 2002

             

0.750% due 05/01/2022

     1,775      1,775

0.850% due 05/01/2022

     550      550

California State Department of Water Resources Revenue Notes, Series 2005

             

0.900% due 05/01/2011

     100      100

California State General Obligation Bonds, (FSA-CR Insured), Series 2000

             

5.750% due 03/01/2021

     3,000      3,182

California State General Obligation Bonds, (XLCA-ICR Insured), Series 2000

             

5.750% due 03/01/2020

     2,500      2,652

California State General Obligation Bonds, Series 1991

             

6.600% due 02/01/2011

     1,455      1,555

California State General Obligation Bonds, Series 2004

             

5.000% due 07/01/2016

     2,000      2,063

California State General Obligation Bonds, Series 2008

             

5.000% due 07/01/2023

     3,175      3,285

California State General Obligation Notes, Series 2004

             

5.250% due 07/01/2012

     1,000      1,074

California State General Obligation Notes, Series 2008

             

5.000% due 01/01/2011

     1,500      1,568

California State Health Facilities Financing Authority Revenue Bonds, Series 2004

             

0.400% due 07/01/2033

     1,000      1,000

California State Health Facilities Financing Authority Revenue Bonds, Series 2008

             

5.500% due 08/15/2018

     250      251

California State Health Facilities Financing Authority Revenue Notes, Series 2005

             

5.000% due 07/01/2010

     500      504

California State Health Facilities Financing Authority Revenue Notes, Series 2008

             

5.000% due 08/15/2009

     250      256

California State Housing Finance Agency Revenue Bonds, Series 2008

             

0.850% due 08/01/2040

     1,020      1,020

California State Infrastructure & Economic Development Bank Revenue Bonds, Series 2001

             

0.450% due 11/15/2037

     3,000      3,000

California State Infrastructure & Economic Development Bank Revenue Bonds, Series 2005

             

3.750% due 12/01/2018

     2,000      1,997

California State Infrastructure & Economic Development Bank Revenue Bonds, Series 2008

             

0.850% due 04/01/2042

     200      200

California State Infrastructure & Economic Development Bank Revenue Notes, (AMBAC Insured), Series 2004

             

5.250% due 10/01/2013

     250      274

California State Infrastructure & Economic Development Bank Revenue Notes, Series 2008

             

4.000% due 02/01/2009

     250      250

California State M-S-R Public Power Agency Revenue Notes, (FSA Insured), Series 2008

             

5.000% due 07/01/2018

     250      268

California State Northern Power Agency Revenue Notes, Series 2008

             

5.000% due 07/01/2012

     1,500      1,591

California State Public Works Board Revenue Bonds, (AMBAC Insured), Series 2005

             

5.000% due 01/01/2019

     150      144

California State Public Works Board Revenue Bonds, (MBIA Insured), Series 2005

             

5.250% due 11/01/2019

     270      284

California State Public Works Board Revenue Bonds, (MBIA-FGIC Insured), Series 2006

             

5.250% due 10/01/2017

     380      405

California State Public Works Board Revenue Notes, Series 2003

             

5.500% due 06/01/2013

     750      799

California Statewide Communities Development Authority Certificates of Participation Bonds, (MBIA Insured), Series 1993

             

5.500% due 08/15/2013

     2,000      2,000

California Statewide Communities Development Authority Revenue Bonds, (FSA Insured), Series 2007

             

5.250% due 07/01/2018

     250      257

California Statewide Communities Development Authority Revenue Bonds, Series 2007

             

5.150% due 07/01/2030

     100      62

California Statewide Communities Development Authority Revenue Bonds, Series 2008

             

0.850% due 08/15/2034

     2,400      2,400

California Statewide Communities Development Authority Revenue Notes, (MBIA Insured), Series 2005

             

5.000% due 05/01/2015

     150      160

California Statewide Communities Development Authority Revenue Notes, Series 2004

             

5.500% due 05/15/2012

     250      238

California Statewide Communities Development Authority Revenue Notes, Series 2005

             

5.000% due 07/01/2012

     500      508

California Statewide Financing Authority Revenue Notes, Series 2002

             

4.600% due 05/01/2012

     1,030      969

Contra Costa County, California Revenue Bonds, (FNMA Insured), Series 1992

             

0.550% due 11/15/2022

     1,500      1,500

Desert Sands, California Unified School District Certificates of Participation Notes, Series 2008

             

4.000% due 03/01/2012

     1,000      1,022

East Bay, California Municipal Utility District Revenue Bonds, Series 2008

             

2.000% due 06/01/2038

     2,000      2,000

Golden State, California Tobacco Securitization Corp. Revenue Bonds, (AMBAC Insured), Series 2003

             

5.000% due 06/01/2038

     1,175      1,282

5.000% due 06/01/2043

     100      109

Golden State, California Tobacco Securitization Corp. Revenue Bonds, (FGIC Insured), Series 2003

             

5.625% due 06/01/2038

     100      112

Golden State, California Tobacco Securitization Corp. Revenue Bonds, (XLCA-ICR Insured), Series 2003

             

5.500% due 06/01/2043

     1,735      1,928

Golden State, California Tobacco Securitization Corp. Revenue Bonds, Series 2003

             

5.500% due 06/01/2033

     1,500      1,667

5.500% due 06/01/2043

     2,450      2,723

5.625% due 06/01/2038

     3,150      3,517

6.250% due 06/01/2033

     1,255      1,362

6.625% due 06/01/2040

     270      313

6.750% due 06/01/2039

     1,870      2,175

7.875% due 06/01/2042

     105      127

Golden State, California Tobacco Securitization Corp. Revenue Bonds, Series 2007

             

5.125% due 06/01/2047

     200      100

Golden State, California Tobacco Securitization Corp. Revenue Notes, Series 2007

             

4.000% due 06/01/2010

     1,900      1,845

Kern, California Community College District General Obligation Notes, (MBIA-FGIC Insured), Series 2003

             

5.000% due 11/01/2009

     100      103

Lincoln, California Unified School District Special Tax Notes, (AMBAC Insured), Series 2006

             

5.000% due 09/01/2015

     185      202

Los Angeles County, California Metropolitan Transportation Authority Revenue Bonds, Series 2008

             

0.700% due 07/01/2031

     1,000      1,000

Los Angeles, California Community College District General Obligation Notes, Series 2008

             

3.000% due 08/01/2011

     250      254

3.000% due 08/01/2012

     500      506

Los Angeles, California Department of Water & Power Revenue Bonds, Series 2001

             

0.700% due 07/01/2034

     500      500

Lynwood, California Utility Authority Revenue Notes, (AGC Insured), Series 2008

             

3.000% due 06/01/2009

     130      131

3.000% due 06/01/2010

     165      167

Modesto, California Revenue Bonds, (MBIA Insured), Series 1993

             

6.000% due 06/01/2011

     2,010      2,011

Montebello, California Unified School District General Obligation Notes, (FSA Insured), Series 2008

             

3.000% due 08/01/2011

     145      147

Orange County, California Public Financing Authority Revenue Notes, (MBIA insured), Series 2005

             

5.000% due 07/01/2011

     100      106

Orange County, California Sanitation District Certificates of Participation Bonds, Series 2000

             

1.200% due 08/01/2030

     1,700      1,700

Orange County, California Sanitation District Certificates of Participation Notes, Series 2008

             

4.000% due 08/01/2009

     100      102

Pasadena, California Certificates of Participation Notes, Series 2008

             

4.000% due 02/01/2012

     570      587

5.000% due 02/01/2010

     500      519

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

Rancho, California Water District Financing Authority Revenue Notes, Series 2008

             

4.000% due 08/01/2009

     500      507

Rio Vista, California Community Facilities District Special Tax Notes, Series 2006

             

4.000% due 09/01/2009

     100      101

Riverbank, California Redevelopment Agency Tax Allocation Notes, Series 2007

             

4.000% due 08/01/2012

     145      140

Riverside County, California Palm Desert Financing Authority Revenue Notes, Series 2008

             

4.000% due 05/01/2010

     500      512

Riverside County, California Transportation Commission Revenue Bonds, Series 2008

             

5.000% due 06/01/2029

     250      257

Riverside, California Revenue Bonds, (AMBAC Insured), Series 1998

             

5.375% due 10/01/2009

     500      504

Roseville, California Natural Gas Finance Authority Revenue Notes, Series 2007

             

5.000% due 02/15/2012

     100      92

Sacramento, California Municipal Utility District Revenue Bonds, (MBIA Insured), Series 2003

             

5.000% due 11/15/2013

     1,375      1,478

Sacramento, California Unified School District Certificates of Participation Bonds, (FSA Insured), Series 2002

             

4.000% due 03/01/2031

     3,400      3,400

San Jose, California Redevelopment Agency Tax Allocation Bonds, (MBIA Insured), Series 2002

             

5.000% due 08/01/2022

     2,000      2,145

San Luis Obispo County, California Financing Authority Revenue Bonds, (MBIA Insured), Series 2007

             

5.000% due 09/01/2018

     250      263

San Mateo County, California Joint Powers Financing Authority Revenue Notes, Series 2008

             

4.000% due 07/15/2011

     350      359

5.000% due 07/15/2014

     150      161

Santa Ana, California Certificates of Participation Bonds, (AMBAC Insured), Series 2003

             

5.000% due 06/01/2015

     195      206

Santa Ana, California Unified School District General Obligation Notes, Series 2008

             

3.500% due 08/01/2011

     900      919

Santa Barbara, California Community College District General Obligation Notes, Series 2008

             

4.000% due 08/01/2009

     310      315

4.000% due 08/01/2010

     155      160

Santa Clara County, California East Side Union High School District General Obligation Notes, (XLCA Insured), Series 2005

             

4.000% due 08/01/2012

     200      206

Santa Clara, California Valley Transportation Authority Revenue Bonds, Series 2008

             

1.250% due 06/01/2026

     3,000      3,000

Santa Clara, California Valley Water District Certificates of Participation Notes, Series 2007

             

5.000% due 02/01/2016

     150      164

Santa Monica, California Community College District General Obligation Notes, (MBIA-FGIC Insured), Series 2007

             

0.000% due 08/01/2013

     225      192

South Orange County, California Public Financing Authority Special Tax Notes, (MBIA-FGIC Insured), Series 2004

             

5.000% due 08/15/2011

     200      204

Southern California State Metropolitan Water District General Obligation Bonds, Series 2001

             

5.250% due 03/01/2014

     1,405      1,533

Sulphur Springs, California Union School District General Obligation Bonds, (MBIA Insured), Series 1991

             

0.000% due 09/01/2009

     700      690

University of California Regents Medical Center Revenue Bonds, (MBIA Insured), Series 2007

             

2.050% due 05/15/2030

     1,000      459

Upland, California Public Financing Authority Revenue Bonds, (AMBAC Insured), Series 2002

             

4.600% due 10/01/2016

     100      104
           

              88,553
           

Florida 2.9%

             

Orange County, Florida School Board Certificates of Participation Bonds, Series 2008

             

0.900% due 08/01/2022

     3,000      3,000
           

Montana 1.1%

             

Montana State Board of Regents Revenue Bonds, Series 2005

             

0.900% due 11/15/2035

     1,175      1,175
           

Nebraska 1.0%

             

Nebraska State Educational Finance Authority Revenue Notes, Series 2005

             

1.200% due 12/15/2012

     1,000      1,000
           

Puerto Rico 7.0%

             

Commonwealth of Puerto Rico General Obligation Notes, Series 2008

             

5.000% due 07/01/2011

     1,500      1,454

Commonwealth of Puerto Rico Highway & Transportation Authority Revenue Bonds, Series 2000

             

6.000% due 07/01/2039

     1,750      1,875

Commonwealth of Puerto Rico Revenue Notes, Series 2008

             

3.000% due 07/30/2009

     1,000      1,009

Puerto Rico Children’s Trust Fund Revenue Notes, Series 2002

             

5.000% due 05/15/2009

     1,000      1,000

Puerto Rico Electric Power Authority Revenue Bonds, (MBIA Insured), Series 1997

             

5.500% due 07/01/2009

     1,000      1,017

Puerto Rico Electric Power Authority Revenue Notes, Series 2008

             

5.000% due 07/01/2010

     1,000      983
           

              7,338
           

Total Municipal Bonds & Notes

(Cost $101,171)

            101,066
           

     Shares     

CONVERTIBLE PREFERRED STOCKS 0.0%

             

American International Group, Inc.

             

8.500% due 07/01/2010

     1,000      8
           

Total Convertible Preferred Stocks

(Cost $75)

            8
           

Total Investments 98.9%

(Cost $103,320)

          $ 102,992

Other Assets and Liabilities (Net) 1.1%

            1,184
           

Net Assets 100.0%

          $ 104,176
           

 

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

 

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

 

(a) Cash of $3 has been pledged as collateral for futures contracts on December 31, 2008.

 

(b) Fair Value Measurements+

 

The following is a summary of the fair valuations according to the inputs used as of December 31, 2008 in valuing the Fund’s assets and liabilities:

 

     Quoted Prices
in Active Markets
for Identical Investments
(Level 1)

   Significant Other
Observable
Inputs
(Level 2)

   Significant
Unobservable
Inputs
(Level 3)

   Value at
12/31/2008

Investments, at value

   $ 8    $ 102,984    $ 0    $ 102,992

Other Financial Instruments++

     0      0      0      0
    

  

  

  

Total

   $ 8    $ 102,984    $ 0    $ 102,992
    

  

  

  

 

+

See note 3 in the Supplementary Notes to Schedule of Investments for additional information.

 

++

Other financial instruments may include open futures contracts, swap contracts, written options, and foreign currency contracts.

 

See Accompanying Notes


Consolidated Schedule of Investments

CommodityRealReturn Strategy Fund®

December 31, 2008 (Unaudited)

 

    

Principal
Amount

(000s)

   Value
(000s)
 

BANK LOAN OBLIGATIONS 0.8%

               

Daimler Finance North America LLC

               

6.000% due 08/03/2012

   $ 46,057    $ 24,213  

Georgia-Pacific Corp.

               

2.082% due 12/20/2012

     636      523  

3.459% due 12/20/2012

     315      258  

3.689% due 12/20/2012

     8,905      7,317  

HCA, Inc.

               

3.709% due 11/18/2013

     19,552      15,458  
           


Total Bank Loan Obligations

(Cost $73,620)

            47,769  
           


CORPORATE BONDS & NOTES 30.4%

               

Banking & Finance 23.3%

               

Ace INA Holdings, Inc.

               

5.600% due 05/15/2015

     7,500      6,817  

Allstate Life Global Funding II

               

2.822% due 05/21/2010

     1,800      1,609  

Allstate Life Global Funding Trusts

               

5.375% due 04/30/2013

     43,300      42,665  

Allstate Life Global Funding Trusts CPI Linked Bond

               

5.990% due 03/01/2010

     7,000      6,287  

American Express Bank FSB

               

5.500% due 04/16/2013

     14,700      13,937  

6.000% due 09/13/2017

     23,900      22,420  

American Express Centurion Bank

               

1.275% due 07/13/2010

     5,000      4,535  

6.000% due 09/13/2017

     24,800      23,264  

American Express Co.

               

7.000% due 03/19/2018

     25,740      26,071  

8.150% due 03/19/2038

     7,390      8,500  

American Honda Finance Corp.

               

2.275% due 06/20/2011

     29,400      28,663  

American International Group, Inc.

               

5.850% due 01/16/2018

     22,500      15,105  

8.175% due 05/15/2058

     23,800      9,270  

8.250% due 08/15/2018

     12,500      9,162  

ANZ National International Ltd.

               

6.200% due 07/19/2013

     33,200      32,154  

Atlantic & Western Re Ltd.

               

10.132% due 01/09/2009

     15,000      14,944  

Bank of America Corp.

               

2.826% due 11/06/2009

     9,600      9,413  

5.650% due 05/01/2018

     84,300      84,953  

8.000% due 12/29/2049

     14,700      10,589  

8.125% due 12/29/2049

     111,600      83,616  

Bank of Scotland PLC

               

2.252% due 12/08/2010

     5,000      4,565  

4.590% due 07/17/2009

     4,600      4,587  

Barclays Bank PLC

               

6.050% due 12/04/2017

     41,300      36,495  

7.434% due 09/29/2049

     8,500      4,303  

7.700% due 04/29/2049

     36,800      24,387  

Bear Stearns Cos. LLC

               

6.950% due 08/10/2012

     20,000      20,788  

7.250% due 02/01/2018

     15,000      16,465  

C5 Capital SPV Ltd.

               

6.196% due 12/01/2049

     5,000      2,303  

C10 Capital SPV Ltd.

               

6.722% due 12/31/2049

     1,000      477  

Caelus Re Ltd.

               

8.452% due 06/07/2011

     3,900      3,727  

Calabash Re Ltd.

               

10.396% due 01/08/2010

     4,100      4,025  

12.896% due 01/08/2010

     2,400      2,366  

Caterpillar Financial Services Corp.

               

2.296% due 05/18/2009

     2,400      2,379  

Citigroup Capital XXI

               

8.300% due 12/21/2057

     15,100      11,672  

Citigroup Funding, Inc.

               

0.474% due 04/23/2009

     5,000      4,942  

Citigroup, Inc.

               

1.496% due 12/28/2009

     24,400      23,022  

3.505% due 01/30/2009

     4,600      4,602  

5.500% due 04/11/2013

     21,000      20,466  

6.125% due 05/15/2018

     69,900      70,802  

8.400% due 04/29/2049

     56,800      37,575  

Credit Suisse New York

               

5.000% due 05/15/2013

     34,900      33,621  

Danske Bank A/S

               

5.914% due 12/29/2049

     3,000      1,586  

Ford Motor Credit Co. LLC

               

7.000% due 10/01/2013

     200      138  

7.250% due 10/25/2011

     15,825      11,567  

7.800% due 06/01/2012

     1,000      702  

7.875% due 06/15/2010

     5,400      4,322  

Foundation Re II Ltd.

               

8.899% due 11/26/2010

     10,500      10,168  

General Electric Capital Corp.

               

5.875% due 01/14/2038

     25,000      24,556  

Goldman Sachs Group, Inc.

               

5.950% due 01/18/2018

     7,500      7,123  

6.750% due 10/01/2037

     63,000      51,290  

HBOS PLC

               

6.750% due 05/21/2018

     14,500      12,783  

HSBC Finance Corp.

               

4.479% due 10/21/2009

     600      563  

International Lease Finance Corp.

               

6.625% due 11/15/2013

     9,700      6,542  

JPMorgan Chase & Co.

               

6.400% due 05/15/2038

     10,500      12,466  

Kamp Re 2005 Ltd.

               

1.295% due 12/14/2010 (a)

     4,217      295  

Lehman Brothers Holdings, Inc.

               

6.875% due 05/02/2018 (a)

     27,869      2,787  

7.500% due 05/11/2038 (a)

     5,000      0  

Longpoint Re Ltd.

               

7.246% due 05/08/2010

     11,900      11,623  

Marsh & McLennan Cos., Inc.

               

5.750% due 09/15/2015

     2,500      2,230  

Merna Reinsurance Ltd.

               

2.109% due 07/07/2010

     27,000      24,308  

Merrill Lynch & Co., Inc.

               

4.485% due 05/12/2010

     21,500      20,724  

5.450% due 02/05/2013

     8,000      7,697  

6.400% due 08/28/2017

     29,100      29,202  

Metropolitan Life Global Funding I

               

5.125% due 04/10/2013

     12,800      11,938  

Morgan Stanley

               

4.232% due 05/14/2010

     52,400      48,793  

4.299% due 01/22/2009

     3,000      3,018  

6.000% due 04/28/2015

     1,600      1,382  

6.625% due 04/01/2018

     11,700      10,281  

National Australia Bank Ltd.

               

5.350% due 06/12/2013

     27,100      26,145  

Osiris Capital PLC

               

9.752% due 01/15/2010

     1,700      1,675  

Pacific Life Global Funding

               

5.150% due 04/15/2013

     9,200      8,652  

Pearson Dollar Finance Two PLC

               

5.500% due 05/06/2013

     3,000      2,743  

Prudential Financial, Inc.

               

6.100% due 06/15/2017

     2,000      1,643  

6.890% due 06/10/2013

     30,000      21,170  

Rabobank Nederland NV

               

2.639% due 05/19/2010

     2,000      1,993  

4.772% due 01/15/2009

     9,200      9,208  

Residential Reinsurance 2007 Ltd.

               

9.452% due 06/07/2010

     14,100      13,811  

12.452% due 06/07/2010

     8,800      8,607  

Santander Perpetual S.A. Unipersonal

               

6.671% due 10/29/2049

     7,300      4,650  

SLM Corp.

               

2.196% due 03/15/2011

     5,000      3,865  

TransCapitalInvest Ltd. for OJSC AK Transneft

               

7.700% due 08/07/2013

     3,300      2,438  

8.700% due 08/07/2018

     17,800      11,478  

UBS AG

               

5.875% due 12/20/2017

     13,700      12,607  

Vita Capital Ltd.

               

4.782% due 01/01/2010

     3,500      3,370  

5.282% due 01/01/2010

     5,500      5,310  

Vita Capital III Ltd.

               

4.982% due 01/01/2011

     300      279  

5.002% due 01/01/2012

     8,000      7,205  

Wachovia Bank N.A.

               

2.287% due 12/02/2010

     27,200      25,301  

3.032% due 05/14/2010

     23,400      22,471  

Wachovia Corp.

               

7.980% due 02/28/2049

     17,900      15,299  

Wachovia Mortgage FSB

               

2.342% due 03/02/2009

     2,700      2,683  

Wells Fargo Capital XIII

               

7.700% due 12/29/2049

     14,500      11,977  
           


              1,330,207  
           


Industrials 5.4%

               

Amgen, Inc.

               

6.150% due 06/01/2018

     10,600      11,264  

AutoZone, Inc.

               

6.950% due 06/15/2016

     10,000      8,857  

Black & Decker Corp.

               

5.750% due 11/15/2016

     5,000      4,204  

Burlington Northern Santa Fe Corp.

               

5.650% due 05/01/2017

     2,500      2,404  

C8 Capital SPV Ltd.

               

6.640% due 12/29/2049

     6,500      3,302  

Computer Sciences Corp.

               

6.500% due 03/15/2018

     2,500      2,157  

Con-way, Inc.

               

7.250% due 01/15/2018

     10,000      6,936  

CSX Corp.

               

6.250% due 03/15/2018

     5,000      4,607  

EchoStar DBS Corp.

               

6.375% due 10/01/2011

     3,000      2,798  

7.000% due 10/01/2013

     5,000      4,362  

El Paso Corp.

               

6.375% due 02/01/2009

     5,600      5,600  

Enterprise Products Operating LLC

               

6.500% due 01/31/2019

     14,700      12,389  

Gaz Capital S.A.

               

7.343% due 04/11/2013

     4,600      3,749  

8.146% due 04/11/2018

     7,000      4,970  

HCA, Inc.

               

9.250% due 11/15/2016

     5,000      4,600  

Home Depot, Inc.

               

5.400% due 03/01/2016

     2,500      2,241  

Hospira, Inc.

               

5.900% due 06/15/2014

     2,500      2,213  

Kraft Foods, Inc.

               

6.000% due 02/11/2013

     11,350      11,545  

6.125% due 02/01/2018

     19,000      18,650  

6.125% due 08/23/2018

     6,300      6,222  

Kroger Co.

               

4.950% due 01/15/2015

     13,800      13,155  

6.400% due 08/15/2017

     5,000      5,051  

Ltd. Brands, Inc.

               

6.900% due 07/15/2017

     2,000      1,215  

Macy’s Retail Holdings, Inc.

               

5.350% due 03/15/2012

     1,500      1,115  

7.450% due 07/15/2017

     2,000      1,159  

Mandalay Resort Group

               

6.500% due 07/31/2009

     2,000      1,950  

Motorola, Inc.

               

6.000% due 11/15/2017

     4,000      2,160  

Nabors Industries, Inc.

               

6.150% due 02/15/2018

     5,000      4,309  

Nucor Corp.

               

5.750% due 12/01/2017

     4,000      3,960  

Philip Morris International, Inc.

               

5.650% due 05/16/2018

     46,400      46,081  

President and Fellows of Harvard College

               

6.000% due 01/15/2019

     5,200      5,641  

Rexam PLC

               

6.750% due 06/01/2013

     12,800      11,336  

Rockies Express Pipeline LLC

               

5.100% due 08/20/2009

     11,600      11,608  

Ryder System, Inc.

               

6.000% due 03/01/2013

     6,900      5,658  

Suncor Energy, Inc.

               

6.100% due 06/01/2018

     6,500      5,611  

Target Corp.

               

6.000% due 01/15/2018

     4,000      3,880  

Tyco Electronics Group S.A.

               

6.550% due 10/01/2017

     3,500      2,946  

Tyco International Finance S.A.

               

6.000% due 11/15/2013

     8,000      7,514  

Tyco International Ltd.

               

7.000% due 12/15/2019

     11,000      9,052  

UnitedHealth Group, Inc.

               

4.875% due 02/15/2013

     2,300      2,149  

6.875% due 02/15/2038

     3,750      3,293  

Valero Energy Corp.

               

6.625% due 06/15/2037

     10,000      7,374  

Viacom, Inc.

               

6.125% due 10/05/2017

     4,000      3,321  

6.250% due 04/30/2016

     2,500      2,075  

Weatherford International Ltd.

               

5.500% due 02/15/2016

     5,000      4,304  

Williams Cos., Inc.

               

6.375% due 10/01/2010

     20,000      18,652  
           


              307,639  
           


Utilities 1.7%

               

Consolidated Natural Gas Co.

               

5.000% due 03/01/2014

     5,000      4,654  

Constellation Energy Group, Inc.

               

4.550% due 06/15/2015

     1,900      1,445  

Duke Energy Carolinas LLC

               

5.100% due 04/15/2018

     5,000      5,064  

Embarq Corp.

               

7.082% due 06/01/2016

     4,200      3,238  

Enel Finance International S.A.

               

5.700% due 01/15/2013

     47,000      43,307  

FirstEnergy Corp.

               

6.450% due 11/15/2011

     2,500      2,365  

Midwest Generation LLC

               

8.300% due 07/02/2009

     5,260      5,234  

NiSource Finance Corp.

               

6.800% due 01/15/2019

     6,000      3,778  

Qwest Capital Funding, Inc.

               

7.000% due 08/03/2009

     10,000      9,850  

7.250% due 02/15/2011

     2,000      1,690  

Sempra Energy

               

6.150% due 06/15/2018

     4,500      4,101  

Telecom Italia Capital S.A.

               

6.999% due 06/04/2018

     10,000      8,126  

Verizon Communications, Inc.

               

5.500% due 04/01/2017

     5,000      4,847  

6.100% due 04/15/2018

     1,400      1,397  
           


              99,096  
           


Total Corporate Bonds & Notes

(Cost $1,980,177)

     1,736,942  
           


MUNICIPAL BONDS & NOTES 1.4%

               

Badger, Wisconsin Tobacco Asset Securitization Corp. Revenue Bonds, Series 2002

               

6.375% due 06/01/2032

     1,200      933  

California State General Obligation Bonds, (AMBAC Insured), Series 2007

               

4.500% due 08/01/2028

     1,500      1,219  

California State General Obligation Bonds, Series 2007

               

5.000% due 06/01/2037

     2,500      2,131  

California State Tobacco Securitization Agency Revenue Bonds, Series 2002

               

5.625% due 06/01/2023

     1,155      1,153  

California State University Revenue Bonds, (AMBAC Insured), Series 2005

               

5.000% due 11/01/2030

     200      185  

Chicago, Illinois General Obligation Notes, (FSA Insured), Series 2006

               

7.386% due 01/01/2014

     1,905      1,431  

7.387% due 01/01/2014

     1,095      752  

Florida State Board of Education General Obligation Bonds, (MBIA Insured), Series 2007

               

4.750% due 06/01/2037

     4,500      3,838  

Florida State Board of Education General Obligation Bonds, Series 2008

               

4.750% due 06/01/2037

     4,400      3,730  

Golden State, California Tobacco Securitization Corp. Revenue Bonds, Series 2007

               

5.125% due 06/01/2047

     700      350  

5.750% due 06/01/2047

     1,900      1,059  

Los Angeles, California Community College District General Obligation Bonds, (MBIA-FGIC Insured), Series 2007

               

5.000% due 08/01/2027

     5,000      4,893  

Los Angeles, California Unified School District General Obligation Bonds, (FSA Insured), Series 2007

               

4.500% due 07/01/2023

     1,600      1,470  

Louisiana State Tobacco Settlement Financing Corp. Revenue Bonds, Series 2001

               

5.875% due 05/15/2039

     1,140      711  

New Jersey State Tobacco Settlement Financing Corp. Revenue Bonds, Series 2007

               

5.000% due 06/01/2029

     3,600      2,039  

5.000% due 06/01/2041

     1,200      583  

New York City, New York Municipal Water Finance Authority Revenue Bonds, Series 2007

               

5.000% due 06/15/2038

     8,000      7,486  

New York City, New York Municipal Water Finance Authority Revenue Notes, Series 2006

               

8.156% due 12/15/2013

     1,895      1,375  

New York State Environmental Facilities Corp. Revenue Bonds, Series 2006

               

5.000% due 10/15/2024

     4,585      4,667  

Ohio State Buckeye Tobacco Settlement Financing Authority Revenue Bonds, Series 2007

               

5.875% due 06/01/2030

     2,100      1,288  

5.875% due 06/01/2047

     16,000      8,707  

6.000% due 06/01/2042

     300      171  

Puerto Rico Sales Tax Financing Corp. Revenue Bonds, (AMBAC Insured), Series 2007

               

0.000% due 08/01/2054

     42,500      1,496  

Rhode Island State Tobacco Settlement Financing Corp. Revenue Bonds, Series 2002

               

6.125% due 06/01/2032

     1,200      829  

Santa Rosa, California Revenue Bonds, (AMBAC Insured), Series 2002

               

0.000% due 09/01/2024

     11,225      4,310  

Southern California State Metropolitan Water District Revenue Bonds, Series 2006

               

5.000% due 07/01/2029

     5,565      5,392  

5.000% due 07/01/2031

     4,550      4,355  

Texas State Turnpike Authority Revenue Bonds, (AMBAC Insured), Series 2002

               

0.000% due 08/15/2021

     4,500      2,221  

Texas State Water Development Board Revenue Bonds, Series 2007

               

4.500% due 07/15/2024

     1,255      1,199  

Washington State General Obligation Bonds, (FSA Insured), Series 2006

               

5.000% due 07/01/2024

     600      610  

Washington State Tobacco Settlement Authority Revenue Bonds, Series 2002

               

6.500% due 06/01/2026

     2,965      2,438  

West Virginia State Tobacco Settlement Financing Authority Revenue Bonds, Series 2007

               

7.467% due 06/01/2047

     10,840      6,213  
           


Total Municipal Bonds & Notes

(Cost $99,210)

     79,234  
           


U.S. GOVERNMENT AGENCIES 59.1%

               

Fannie Mae

               

0.601% due 03/25/2036

     2,352      2,003  

3.678% due 07/01/2044 - 10/01/2044

     4,538      4,477  

4.703% due 05/01/2035

     964      969  

5.000% due 07/01/2035 - 01/01/2039

     331,723      338,899  

5.104% due 04/01/2035

     399      401  

5.379% due 04/01/2033

     1,065      1,063  

5.500% due 09/01/2035 - 01/01/2039

     1,332,961      1,367,611  

5.500% due 04/01/2037 - 09/01/2038 (h)

     103,920      106,659  

5.500% due 06/01/2038 (h)(i)

     327,118      335,770  

5.504% due 05/01/2036

     387      394  

5.950% due 02/25/2044

     6,957      7,058  

6.000% due 07/01/2035 - 01/01/2039

     650,672      670,120  

6.000% due 09/01/2036 - 10/01/2038 (h)

     89,023      91,762  

Freddie Mac

               

1.425% due 02/15/2019

     88,488      85,072  

1.465% due 01/15/2037

     386      371  

1.545% due 12/15/2030

     37      36  

1.595% due 11/15/2016 - 03/15/2017

     2,291      2,266  

4.000% due 10/15/2023

     25      25  

4.376% due 01/01/2034

     24      24  

4.500% due 05/15/2017

     167      169  

5.000% due 01/15/2018 - 09/01/2038

     34,043      35,047  

5.129% due 06/01/2033

     763      770  

5.240% due 03/01/2034

     2,259      2,265  

5.250% due 08/15/2011

     2,329      2,375  

5.476% due 01/01/2034

     1,197      1,217  

5.500% due 05/15/2016 - 01/01/2039

     123,411      126,284  

5.500% due 04/01/2038 - 09/01/2038 (h)

     92,207      94,493  

5.500% due 07/01/2038 (h)(i)

     21,479      22,011  

5.799% due 01/01/2034

     649      654  

6.000% due 07/01/2033 - 07/01/2038

     219      227  

Ginnie Mae

               

4.625% due 07/20/2035

     107      104  

4.750% due 12/20/2035

     2,015      1,955  

5.500% due 01/01/2039

     36,100      37,177  

6.000% due 09/15/2034 - 10/15/2038

     27,105      28,022  

Small Business Administration

               

5.902% due 02/10/2018

     6,039      6,170  
           


Total U.S. Government Agencies

(Cost $3,284,210)

            3,373,920  
           


U.S. TREASURY OBLIGATIONS 115.5%

               
Treasury Inflation Protected Securities (c)                

0.875% due 04/15/2010 (h)

     1,004,626      944,506  

1.375% due 07/15/2018

     12,689      11,871  

1.625% due 01/15/2015 (h)

     338,459      313,974  

1.625% due 01/15/2018 (h)

     413,648      392,740  

1.875% due 07/15/2013

     416,773      392,516  

1.875% due 07/15/2015 (h)

     668,280      631,472  

2.000% due 04/15/2012

     183,096      178,604  

2.000% due 01/15/2016

     103,040      98,709  

2.000% due 01/15/2026

     8,832      8,322  

2.000% due 01/15/2014 (h)

     518,938      491,857  

2.000% due 07/15/2014 (h)

     602,480      569,956  

2.375% due 04/15/2011

     118,769      116,031  

2.375% due 01/15/2017

     126,298      125,341  

2.375% due 01/15/2027

     111,511      112,060  

2.500% due 07/15/2016

     965      958  

2.500% due 07/15/2016 (h)

     391,519      388,552  

2.625% due 07/15/2017 (h)

     515,269      528,192  

3.000% due 07/15/2012

     388,626      381,005  

3.375% due 01/15/2012

     26,064      25,791  

3.500% due 01/15/2011

     284,992      279,804  

3.625% due 04/15/2028

     14,360      17,112  

3.875% due 01/15/2009

     65,457      64,971  

3.875% due 04/15/2029

     68,416      84,520  

4.250% due 01/15/2010 (h)

     377,197      370,567  

U.S. Treasury Notes

               

4.750% due 05/15/2014

     61,700      71,398  
           


Total U.S. Treasury Obligations

(Cost $6,619,683)

            6,600,829  
           


MORTGAGE-BACKED SECURITIES 5.1%

               

American Home Mortgage Assets

               

3.176% due 11/25/2046

     11,380      3,873  

Banc of America Commercial Mortgage, Inc.

               

5.658% due 06/10/2049

     7,100      5,215  

5.745% due 02/10/2051

     7,100      5,138  

Banc of America Funding Corp.

               

0.798% due 05/20/2035

     627      273  

6.124% due 01/20/2047

     396      214  

Banc of America Large Loan, Inc.

               

1.705% due 08/15/2029

     487      344  

BCAP LLC Trust

               

0.641% due 01/25/2037

     14,749      6,053  

Bear Stearns Adjustable Rate Mortgage Trust

               

3.490% due 08/25/2035

     5,261      4,418  

4.125% due 03/25/2035

     27,064      22,345  

4.484% due 05/25/2033

     278      249  

4.550% due 08/25/2035

     10,892      8,958  

4.853% due 01/25/2035

     7,196      4,923  

5.729% due 02/25/2036

     1,427      764  

Bear Stearns Alt-A Trust

               

5.495% due 09/25/2035

     1,243      580  

Chase Mortgage Finance Corp.

               

5.431% due 03/25/2037

     7,787      4,968  

Citigroup Commercial Mortgage Trust

               

1.265% due 08/15/2021

     98      85  

Citigroup Mortgage Loan Trust, Inc.

               

4.050% due 08/25/2035

     8,298      6,258  

4.098% due 08/25/2035

     1,727      1,468  

4.248% due 08/25/2035

     9,726      7,967  

4.900% due 12/25/2035

     1,819      1,463  

5.702% due 12/25/2035

     1,260      698  

Countrywide Alternative Loan Trust

               

0.588% due 09/20/2046

     2,105      2,057  

0.651% due 05/25/2047

     5,653      2,330  

0.688% due 02/20/2047

     12,902      5,312  

0.702% due 12/20/2046

     1,065      464  

0.751% due 12/25/2035

     858      389  

3.256% due 12/25/2035

     2,536      1,248  

5.886% due 11/25/2035

     1,401      672  

Countrywide Home Loan Mortgage Pass-Through Trust

               

0.811% due 06/25/2035

     6,297      4,281  

5.367% due 10/20/2035

     1,494      772  

6.086% due 09/25/2047

     3,794      1,950  

Deutsche ALT-A Securities, Inc. Alternate Loan Trust

               

0.551% due 02/25/2037

     706      640  

0.571% due 10/25/2036

     3,971      3,689  

Greenpoint Mortgage Funding Trust

               

0.551% due 10/25/2046

     4,861      3,909  

GSR Mortgage Loan Trust

               

4.540% due 09/25/2035

     21,304      15,741  

5.346% due 11/25/2035

     1,349      838  

Harborview Mortgage Loan Trust

               

0.671% due 01/19/2038

     2,068      1,853  

0.761% due 07/19/2046

     15,331      6,247  

0.801% due 05/19/2035

     2,117      990  

5.908% due 08/19/2036

     3,149      1,619  

Homebanc Mortgage Trust

               

0.651% due 12/25/2036

     1,778      696  

5.805% due 04/25/2037

     1,523      990  

Impac Secured Assets CMN Owner Trust

               

0.551% due 01/25/2037

     1,712      1,591  

Indymac IMSC Mortgage Loan Trust

               

0.651% due 07/25/2047

     6,625      2,864  

Indymac Index Mortgage Loan Trust

               

0.561% due 11/25/2046

     5,967      5,439  

0.661% due 09/25/2046

     12,367      5,014  

5.099% due 09/25/2035

     1,328      639  

5.279% due 06/25/2035

     1,328      760  

JPMorgan Chase Commercial Mortgage Securities Corp.

               

5.794% due 02/12/2051

     9,500      6,933  

Lehman XS Trust

               

0.551% due 07/25/2046

     1,025      1,009  

Luminent Mortgage Trust

               

0.641% due 12/25/2036

     8,922      3,934  

0.671% due 10/25/2046

     3,270      1,345  

MASTR Adjustable Rate Mortgages Trust

               

0.711% due 05/25/2037

     1,503      659  

Merrill Lynch Alternative Note Asset

               

0.771% due 03/25/2037

     2,000      550  

5.625% due 06/25/2037

     1,650      647  

Merrill Lynch Mortgage-Backed Securities Trust

               

5.819% due 04/25/2037

     7,482      5,346  

Opteum Mortgage Acceptance Corp.

               

0.731% due 07/25/2035

     1,096      907  

Residential Accredit Loans, Inc.

               

0.771% due 08/25/2035

     3,292      1,607  

5.309% due 08/25/2035

     1,049      512  

5.714% due 02/25/2036

     1,173      595  

Residential Asset Securitization Trust

               

0.921% due 12/25/2036

     2,182      975  

6.250% due 10/25/2036

     3,000      1,191  

Securitized Asset Sales, Inc.

               

5.759% due 11/26/2023

     95      83  

Sequoia Mortgage Trust

               

5.709% due 01/20/2047

     2,967      1,983  

Structured Adjustable Rate Mortgage Loan Trust

               

5.950% due 02/25/2036

     1,301      619  

Structured Asset Mortgage Investments, Inc.

               

0.541% due 08/25/2036

     3,100      2,923  

0.691% due 05/25/2046

     6,729      2,706  

Structured Asset Securities Corp.

               

0.521% due 05/25/2036

     306      279  

5.048% due 10/25/2035

     3,770      2,730  

TBW Mortgage-Backed Pass-Through Certificates

               

0.571% due 09/25/2036

     325      314  

Thornburg Mortgage Securities Trust

               

0.581% due 03/25/2046

     977      936  

0.581% due 11/25/2046

     1,212      1,007  

0.591% due 09/25/2046

     18,636      15,471  

Wachovia Bank Commercial Mortgage Trust

               

1.285% due 09/15/2021

     38,974      29,827  

WaMu Mortgage Pass-Through Certificates

               

2.996% due 01/25/2047

     8,500      3,143  

3.016% due 04/25/2047

     12,566      5,534  

3.066% due 12/25/2046

     3,391      1,447  

3.456% due 11/25/2042

     687      567  

3.756% due 11/25/2046

     2,706      1,865  

4.269% due 07/25/2046

     15,202      12,725  

5.606% due 12/25/2036

     12,624      6,283  

5.862% due 02/25/2037

     12,840      9,041  

5.929% due 09/25/2036

     6,473      3,751  

Wells Fargo Mortgage-Backed Securities Trust

               

3.741% due 09/25/2034

     4,695      3,436  
           


Total Mortgage-Backed Securities

(Cost $388,897)

     292,128  
           


ASSET-BACKED SECURITIES 1.4%

               

Aames Mortgage Investment Trust

               

0.621% due 08/25/2035

     206      192  

ACE Securities Corp.

               

0.521% due 07/25/2036

     925      901  

0.531% due 10/25/2036

     261      243  

American Express Credit Account Master Trust

               

2.145% due 08/15/2012

     10,300      9,829  

Argent Securities, Inc.

               

0.521% due 10/25/2036

     2,279      2,175  

Asset-Backed Funding Certificates

               

0.531% due 11/25/2036

     592      558  

0.821% due 06/25/2034

     8,608      4,455  

Asset-Backed Securities Corp. Home Equity

               

0.521% due 11/25/2036

     260      252  

Bear Stearns Asset-Backed Securities Trust

               

0.521% due 11/25/2036

     586      526  

0.551% due 10/25/2036

     787      727  

0.801% due 01/25/2036

     527      481  

0.921% due 03/25/2043

     97      94  

Bravo Mortgage Asset Trust

               

0.601% due 07/25/2036

     109      107  

Citigroup Mortgage Loan Trust, Inc.

               

0.551% due 01/25/2037

     534      442  

Countrywide Asset-Backed Certificates

               

0.501% due 01/25/2046

     659      653  

0.521% due 03/25/2037

     2,143      2,058  

0.531% due 09/25/2046

     462      456  

0.581% due 10/25/2046

     3,854      3,560  

First Franklin Mortgage Loan Asset-Backed Certificates

               

0.521% due 11/25/2036

     10,090      9,138  

Fremont Home Loan Trust

               

0.521% due 10/25/2036

     761      692  

0.531% due 01/25/2037

     923      720  

GSAA Trust

               

0.771% due 03/25/2037

     2,000      599  

GSAMP Trust

               

0.511% due 10/25/2046

     1,219      1,147  

0.541% due 10/25/2036

     158      142  

GSR Mortgage Loan Trust

               

0.571% due 11/25/2030

     1      1  

HSI Asset Securitization Corp. Trust

               

0.521% due 10/25/2036

     1,100      951  

Indymac Residential Asset-Backed Trust

               

0.521% due 11/25/2036

     559      550  

JPMorgan Mortgage Acquisition Corp.

               

0.511% due 08/25/2036

     357      348  

0.521% due 07/25/2036

     1,466      1,344  

0.521% due 08/25/2036

     3,064      2,850  

1.465% due 11/25/2036

     823      761  

Lehman XS Trust

               

0.551% due 11/25/2046

     5,951      5,513  

Long Beach Mortgage Loan Trust

               

0.511% due 11/25/2036

     521      491  

MBNA Credit Card Master Note Trust

               

1.295% due 12/15/2011

     1,300      1,263  

Merrill Lynch Mortgage Investors, Inc.

               

0.521% due 05/25/2037

     1,934      1,863  

0.531% due 04/25/2037

     82      81  

0.541% due 07/25/2037

     2,153      2,031  

Morgan Stanley ABS Capital I

               

0.511% due 10/25/2036

     2,619      2,460  

0.521% due 09/25/2036

     1,809      1,706  

Morgan Stanley IXIS Real Estate Capital Trust

               

0.521% due 11/25/2036

     516      489  

Morgan Stanley Mortgage Loan Trust

               

0.831% due 04/25/2037

     2,000      728  

Option One Mortgage Loan Trust

               

0.511% due 02/25/2037

     169      164  

Park Place Securities, Inc.

               

0.731% due 09/25/2035

     401      279  

Residential Asset Mortgage Products, Inc.

               

0.541% due 11/25/2036

     88      87  

Residential Asset Securities Corp.

               

0.541% due 11/25/2036

     5,112      4,906  

Securitized Asset-Backed Receivables LLC Trust

               

0.521% due 09/25/2036

     746      707  

Soundview Home Equity Loan Trust

               

0.521% due 10/25/2036

     4      4  

0.531% due 11/25/2036

     2,068      1,895  

0.571% due 10/25/2036

     284      279  

Specialty Underwriting & Residential Finance

               

0.501% due 06/25/2037

     59      58  

0.516% due 11/25/2037

     316      300  

Structured Asset Investment Loan Trust

               

0.521% due 07/25/2036

     420      386  

Structured Asset Securities Corp.

               

0.521% due 10/25/2036

     4,469      4,134  
           


Total Asset-Backed Securities

(Cost $87,175)

            76,776  
           


SOVEREIGN ISSUES 0.3%

               

Export-Import Bank of Korea

               

4.428% due 10/04/2011

     15,200      15,247  
           


Total Sovereign Issues

(Cost $15,188)

     15,247  
           


FOREIGN CURRENCY-DENOMINATED ISSUES 5.7%

               

Brazil Notas do Tesouro Nacional Series B

               

6.000% due 08/15/2010

   BRL 5,511      4,156  

Brazil Notas do Tesouro Nacional Series F

               

10.000% due 01/01/2012

     46,160      18,695  

Credit Logement S.A.

               

3.372% due 06/23/2015

   EUR 1,400      1,763  

General Electric Capital Corp.

               

5.500% due 09/15/2067

     34,400      27,054  

6.500% due 09/15/2067

   GBP 9,400      8,798  

Green Valley Ltd.

               

8.993% due 01/10/2011

   EUR 5,400      7,272  

Japan Government CPI Linked Bond

               

0.800% due 12/10/2015

   JPY 5,632,740      53,779  

1.100% due 12/10/2016

     10,894,070      104,473  

1.200% due 06/10/2017

     8,767,080      83,990  

1.200% due 12/10/2017

     2,160      21  

1.400% due 06/10/2018

     4,880      47  

Lehman Brothers Holdings, Inc.

               

1.121% due 06/05/2012 (a)

     2,100,000      2,009  

Royal Bank of Scotland Group PLC

               

7.092% due 10/29/2049

   EUR 5,200      3,289  

Silver Arrow S.A.

               

3.090% due 08/15/2014

     4,842      6,633  

Svenska Handelsbanken AB

               

5.138% due 03/16/2015

     2,900      3,938  
           


Total Foreign Currency-Denominated Issues

(Cost $351,254)

     325,917  
           


     Shares       

CONVERTIBLE PREFERRED STOCKS 0.1%

               

Wachovia Corp.

               

7.500% due 03/16/2015

     8,200      6,150  
           


Total Convertible Preferred Stocks

(Cost $8,200)

     6,150  
           


    

Principal
Amount

(000s)

      

SHORT-TERM INSTRUMENTS 41.9%

               

Certificates of Deposit 2.5%

               

Sao Paolo IMI NY

               

2.826% due 06/09/2010

   $ 13,500      13,514  

Unicredito Italiano NY

               

1.640% due 05/18/2009

     36,300      36,289  

1.795% due 05/15/2009

     93,500      93,500  
           


              143,303  
           


Commercial Paper 0.4%

               

ING U.S. Funding LLC

               

2.200% due 02/18/2009

     11,235      11,203  

Nordea North America, Inc.

               

2.050% due 01/16/2009

     10,300      10,292  
           


              21,495  
           


Repurchase Agreements 13.4%

               

Credit Suisse Securities (USA) LLC

               

0.150% due 01/05/2009

     10,000      10,000  

(Dated 12/31/2008. Collateralized by Fannie Mae 5.500% due 06/01/2038 valued at $10,258. Repurchase proceeds are $10,000.)

               

JPMorgan Chase Bank N.A.

               

0.010% due 01/14/2009

     32,352      32,352  

(Dated 12/16/2008. Collateralized by U.S. Treasury Notes 3.625% due 12/31/2012 valued at $31,910. Repurchase proceeds are $32,352.)

               

0.030% due 01/07/2009

     115,203      115,203  

(Dated 12/05/2008. Collateralized by U.S. Treasury Notes 4.250% due 11/15/2017 valued at $119,649. Repurchase proceeds are $115,204.)

               

0.080% due 01/06/2009

     250,000      250,000  

(Dated 12/30/2008. Collateralized by Fannie Mae 3.875% due 07/12/2013 valued at $254,013. Repurchase proceeds are $250,001.)

               

UBS Securities LLC

               

0.040% due 01/02/2009

     208,500      208,500  

(Dated 12/31/2008. Collateralized by Fannie Mae 0.000% due 05/29/2009 valued at $212,986. Repurchase proceeds are $208,500.)

               

0.050% due 01/05/2009

     150,000      150,000  

(Dated 12/31/2008. Collateralized by Fannie Mae 0.000% due 05/29/2009 valued at $99,898 and Freddie Mac 0.000% due 04/07/2009 valued at $53,296. Repurchase proceeds are $150,000.)

               
           


              766,055  
           


U.S. Cash Management Bills 1.7%

               

0.423% due 04/29/2009 - 05/15/2009 (b)

     99,390      98,969  
           


U.S. Treasury Bills 23.9%

               

0.384% due 01/02/2009 - 06/11/2009 (b)(d)(e)(f)

     1,370,690      1,366,663  
           


Total Short-Term Instruments

(Cost $2,400,396)

            2,396,485  
           


Purchased Options (k) 0.2%

(Cost $10,699)

            12,145  

Total Investments 261.9%

(Cost $15,318,709)

          $ 14,963,542  

Written Options (l) (1.4%)

(Premiums $37,176)

            (77,965 )

Other Assets and Liabilities (Net) (160.5%)

     (9,172,169 )
           


Net Assets 100.0%

          $ 5,713,408  
           


 


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 $610,073 and cash of $153,360 have been pledged as collateral for swap and swaption contracts on December 31, 2008.

 

(e) Securities with an aggregate market value of $820 have been pledged as collateral for foreign currency contracts on December 31, 2008.

 

(f) Securities with an aggregate market value of $4,830 have been pledged as collateral for delayed-delivery securities on December 31, 2008.

 

(g) Cash of $1,800 has been pledged as collateral for delayed-delivery mortgage-backed securities on December 31, 2008.

 

(h) The average amount of borrowings while outstanding during the period ended December 31, 2008 was $3,071,164 at a weighted average interest rate of 2.522%. On December 31, 2008, securities valued at $5,156,259 were pledged as collateral for reverse repurchase agreements.

 

(i) Securities with an aggregate market value of $11,888 and cash of $74,946 have been pledged as collateral for the following open futures contracts on December 31, 2008:

 

Description    Type    Expiration
Month
   # of
Contracts
   Unrealized
Appreciation/
(Depreciation)
 

90-Day Euribor December Futures

   Long    12/2009    319    $ 2,292  

90-Day Euribor June Futures

   Long    06/2009    1,321      8,298  

90-Day Euribor March Futures

   Long    03/2009    188      1,918  

90-Day Euribor September Futures

   Long    09/2009    530      3,385  

90-Day Eurodollar December Futures

   Long    12/2009    2,052      11,987  

90-Day Eurodollar June Futures

   Long    06/2009    4,780      35,046  

90-Day Eurodollar June Futures

   Long    06/2010    521      1,004  

90-Day Eurodollar March Futures

   Long    03/2009    4,792      36,403  

90-Day Eurodollar March Futures

   Long    03/2010    1,926      7,729  

90-Day Eurodollar September Futures

   Long    09/2009    4,841      36,396  

90-Day Eurodollar September Futures

   Long    09/2010    480      767  

Euro-Bund 10-Year Bond March Futures Call Options Strike @ EUR 145.000

   Long    03/2009    745      (11 )

Euro-Bund 10-Year Bond March Futures Call Options Strike @ EUR 150.000

   Long    03/2009    5,843      (74 )

U.S. Treasury 5-Year Note March Futures

   Long    03/2009    850      1,214  

U.S. Treasury 10-Year Note March Futures

   Long    03/2009    5,182      21,377  

United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures

   Long    12/2009    45      230  

United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures

   Long    06/2009    2,081      17,978  

United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures

   Long    03/2009    861      6,105  

United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures

   Long    09/2009    45      261  
                   


                    $ 192,305  
                   


 

(j) Swap agreements outstanding on December 31, 2008:

 

Credit Default Swaps on Corporate, Sovereign, and U.S. Municipal Issues - Buy Protection(1)

 

Reference Entity    Counterparty    Fixed Deal
(Pay) Rate
    Maturity
Date
  

Implied
Credit Spread at
December 31,

2008(3)

    Notional
Amount
(4)
   Market
Value
   

Upfront
Premiums
Paid/

(Received)

   Unrealized
Appreciation/
(Depreciation)
 

Ace INA Holdings, Inc.

   JPM    (0.600 %)   06/20/2015    1.000 %   $ 7,500    $ 174     $ 0    $ 174  

AutoZone, Inc.

   BOA    (1.110 %)   06/20/2016    1.411 %     10,000      186       0      186  

AutoZone, Inc.

   GSC    (0.529 %)   12/20/2012    1.500 %     4,100      145       0      145  

Black & Decker Corp.

   BOA    (1.020 %)   12/20/2016    1.809 %     5,000      253       0      253  

Burlington Northern Santa Fe Corp.

   BCLY    (0.720 %)   06/20/2017    0.971 %     2,500      46       0      46  

Citigroup, Inc.

   BNP    (1.000 %)   06/20/2018    1.763 %     1,000      57       0      57  

Citigroup, Inc.

   DUB    (0.950 %)   06/20/2018    1.763 %     3,000      183       0      183  

Citigroup, Inc.

   DUB    (1.010 %)   06/20/2018    1.763 %     3,000      170       0      170  

Cleveland Electric Illuminating Co.

   RBS    (0.940 %)   06/20/2017    1.275 %     5,000      119       0      119  

Clorox Co.

   CITI    (0.470 %)   12/20/2012    0.850 %     6,300      90       0      90  

Computer Sciences Corp.

   BCLY    (0.870 %)   03/20/2018    1.000 %     2,500      25       0      25  

ConAgra Foods, Inc.

   GSC    (0.299 %)   12/20/2012    0.659 %     4,400      60       0      60  

Consolidated Natural Gas Co.

   UBS    (0.590 %)   03/20/2014    0.955 %     1,000      17       0      17  

Constellation Energy Group, Inc.

   JPM    (0.960 %)   06/20/2015    4.968 %     1,900      360       0      360  

Con-way, Inc.

   BOA    (1.834 %)   03/20/2018    3.160 %     10,000      875       0      875  

CSX Corp.

   CSFB    (1.050 %)   03/20/2018    1.747 %     5,000      259       0      259  

Echostar DBS Corp.

   GSC    (3.200 %)   12/20/2011    0.034 %     2,000      7       0      7  

FirstEnergy Corp.

   CSFB    (0.500 %)   12/20/2011    1.250 %     2,500      53       0      53  

GMAC LLC

   CITI    (5.000 %)   09/20/2012    8.183 %     200      19       0      19  

GMAC LLC

   MLP    (4.800 %)   09/20/2012    8.183 %     9,400      945       0      945  

Home Depot, Inc.

   GSC    (1.920 %)   03/20/2016    2.380 %     2,500      64       0      64  

Hospira, Inc.

   MSC    (1.030 %)   06/20/2014    0.955 %     2,500      (10 )     0      (10 )

International Lease Finance Corp.

   BCLY    (1.540 %)   12/20/2013    8.340 %     8,000      1,790       0      1,790  

International Lease Finance Corp.

   DUB    (1.600 %)   12/20/2013    8.340 %     1,700      377       0      377  

Kraft Foods, Inc.

   BOA    (1.040 %)   06/20/2018    0.909 %     1,300      (14 )     0      (14 )

Kraft Foods, Inc.

   CITI    (0.980 %)   06/20/2018    0.909 %     2,000      (12 )     0      (12 )

Kraft Foods, Inc.

   GSC    (0.860 %)   03/20/2018    0.914 %     4,000      16       0      16  

Kraft Foods, Inc.

   GSC    (0.950 %)   09/20/2018    0.905 %     3,000      (12 )     0      (12 )

Kraft Foods, Inc.

   RBS    (1.130 %)   03/20/2018    0.914 %     2,000      (34 )     0      (34 )

Kroger Co.

   BNP    (0.360 %)   12/20/2012    0.949 %     7,800      172       0      172  

Kroger Co.

   BOA    (0.900 %)   09/20/2017    0.917 %     5,000      5       0      5  

Kroger Co.

   MSC    (0.595 %)   03/20/2015    0.966 %     13,800      284       0      284  

Ltd. Brands, Inc.

   MSC    (3.113 %)   09/20/2017    4.898 %     2,000      187       0      187  

Macy’s Retail Holdings, Inc.

   DUB    (2.110 %)   09/20/2017    5.973 %     2,000      376       0      376  

Macy’s Retail Holdings, Inc.

   JPM    (2.000 %)   03/20/2012    7.320 %     1,500      200       0      200  

Marriott International, Inc.

   CSFB    (0.640 %)   12/20/2012    5.295 %     8,500      1,296       0      1,296  

Marriott International, Inc.

   GSC    (0.640 %)   12/20/2012    5.295 %     14,400      2,196       0      2,196  

Marriott International, Inc.

   MSC    (0.630 %)   12/20/2012    5.295 %     13,600      2,079       0      2,079  

Marsh & McLennan Cos., Inc.

   BOA    (1.180 %)   09/20/2015    0.795 %     2,500      (60 )     0      (60 )

Masco Corp.

   BCLY    (0.870 %)   12/20/2012    4.800 %     3,800      483       0      483  

Masco Corp.

   BOA    (0.870 %)   12/20/2012    4.800 %     6,700      851       0      851  

Masco Corp.

   DUB    (0.840 %)   12/20/2012    4.800 %     14,400      1,843       0      1,843  

Masco Corp.

   MSC    (0.860 %)   12/20/2012    4.800 %     15,000      1,910       0      1,910  

Merrill Lynch & Co., Inc.

   JPM    (0.920 %)   12/20/2012    1.550 %     9,500      218       0      218  

Merrill Lynch & Co., Inc.

   JPM    (1.350 %)   09/20/2017    1.384 %     5,000      10       0      10  

MGM Mirage

   GSC    (4.250 %)   07/31/2009    21.161 %     2,000      166       0      166  

Motorola, Inc.

   DUB    (2.600 %)   12/20/2017    5.780 %     4,000      697       0      697  

Nabors Industries, Inc.

   DUB    (0.630 %)   03/20/2018    4.436 %     5,000      1,190       0      1,190  

Newell Rubbermaid, Inc.

   GSC    (0.319 %)   12/20/2012    1.698 %     4,200      211       0      211  

NiSource Finance Corp.

   MSC    (1.470 %)   03/20/2019    6.016 %