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

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

 

FORM N-Q

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

 

Investment Company Act file number: 811-05028

 

PIMCO Funds

(Exact name of registrant as specified in charter)

 

840 Newport Center Drive, Newport Beach, CA 92660

(Address of principal executive offices)

 

John P. Hardaway

Treasurer and Principal Financial Officer

PIMCO Funds

840 Newport Center Drive

Newport Beach, CA 92660

(Name and address of agent for service)

 

Copies to:

 

Brendan C. Fox

Dechert LLP

1775 I Street, N.W.

Washington, D.C. 20006

 

Registrant’s telephone number, including area code: 1-800-927-4648

 

Date of fiscal year end: March 31

 

Date of reporting period: June 30, 2010

 

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    Municipal Bond Fund
All Asset Fund    MuniGO Fund
California Intermediate Municipal Bond Fund    New York Municipal Bond Fund
California Short Duration Municipal Income Fund    Real IncomeTM 2019 Fund
CommoditiesPLUSTM Strategy Fund    Real IncomeTM 2029 Fund
CommodityRealReturn Strategy Fund®    Real Return Asset Fund
Convertible Fund    Real Return Fund
Developing Local Markets Fund    RealEstateRealReturn Strategy Fund
Diversified Income Fund    RealRetirement® 2010 Fund
EM Fundamental IndexPLUSTM TR Strategy Fund    RealRetirement® 2020 Fund
Emerging Local Bond Fund    RealRetirement® 2030 Fund
Emerging Markets and Infrastructure Bond Fund    RealRetirement® 2040 Fund
Emerging Markets Bond Fund    RealRetirement® 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 Total Return Strategy Fund    StocksPLUS® Long Duration Fund
Fundamental IndexPLUSTM Fund    StocksPLUS® Total Return Fund
Fundamental IndexPLUSTM TR Fund    StocksPLUS® TR Short Strategy Fund
Global Advantage Strategy Bond Fund    Tax Managed Real Return Fund
Global Bond Fund (Unhedged)    Total Return Fund
Global Bond Fund (U.S. Dollar-Hedged)    Total Return Fund II
Global Multi-Asset Fund    Total Return Fund III
GNMA Fund    Unconstrained Bond Fund
Government Money Market Fund    Unconstrained Tax Managed Bond Fund
High Yield Fund    Asset-Backed Securities Portfolio
High Yield Municipal Bond Fund    Developing Local Markets Portfolio
Income Fund    Emerging Markets Portfolio
International StocksPLUS® TR Strategy Fund (Unhedged)    High Yield Portfolio
International StocksPLUS® TR Strategy Fund (U.S. Dollar-Hedged)    International Portfolio
Investment Grade Corporate Bond Fund    Investment Grade Corporate Portfolio
Long Duration Total Return Fund    Long Duration Corporate Bond Portfolio
Long-Term Credit 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 Floating NAV Portfolio II
Moderate Duration Fund    Short-Term Portfolio
Money Market Fund    U.S. Government Sector Portfolio
Mortgage-Backed Securities Fund     


Schedule of Investments

All Asset All Authority Fund

June 30, 2010 (Unaudited)

 

     SHARES     MARKET
VALUE
(000s)
 

MUTUAL FUNDS (a)(b) 113.4%

  

 

PIMCO CommoditiesPLUS Strategy Fund

     6,824,664      $ 68,520   

PIMCO CommodityRealReturn Strategy Fund®

     23,197,164        171,195   

PIMCO Convertible Fund

     9,749,313        121,281   

PIMCO Developing Local Markets Fund

     32,965,063        321,739   

PIMCO Diversified Income Fund

     5,047,195        55,368   

PIMCO EM Fundamental IndexPLUSTM TR Strategy Fund

     15,581,451        161,268   

PIMCO Emerging Local Bond Fund

     17,889,960        179,973   

PIMCO Emerging Markets Bond Fund

     6,075,638        65,070   

PIMCO EqS Pathfinder FundTM

     3,358,929        31,003   

PIMCO Floating Income Fund

     1,972,044        17,275   

PIMCO Foreign Bond Fund (Unhedged)

     1,019,149        10,263   

PIMCO Fundamental Advantage Total Return Strategy Fund

       178,575,759          841,092   

PIMCO Fundamental IndexPLUSTM Fund

     155,777        935   

PIMCO Fundamental IndexPLUSTM TR Fund

     2,523,173        13,121   

PIMCO Global Advantage Strategy Bond Fund

     7,829,666        85,657   

PIMCO High Yield Fund

     9,070,213        80,271   

PIMCO Income Fund

     12,960,774        136,607   

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

     857,279        6,995   

PIMCO International StocksPLUS® TR Strategy Fund (Unhedged)

     403,806        2,201   

PIMCO Investment Grade Corporate Bond Fund

     20,827,894        234,314   

PIMCO Long Duration Total Return Fund

     6,212,154        70,632   

PIMCO Long-Term Credit Fund

     22,348,489        268,852   

PIMCO Long-Term U.S. Government Fund

     1,085,149        12,989   

PIMCO Low Duration Fund

     4,354,388        45,634   

PIMCO Real Return Asset Fund

     46,620,817        544,531   

PIMCO Real Return Fund

     7,717,107        86,432   

PIMCO RealEstateRealReturn Strategy Fund

     19,957,734        83,423   

PIMCO Short-Term Fund

     69        1   

PIMCO Small Cap StocksPLUS® TR Fund

     22,293,876        144,687   

PIMCO StocksPLUS® Fund

     156,958        1,111   

PIMCO StocksPLUS® Total Return Fund

     298,565        1,926   

PIMCO StocksPLUS® TR Short Strategy Fund

     151,710,887        810,136   

PIMCO Total Return Fund

     82,213,893        925,728   

PIMCO Unconstrained Bond Fund

     36,562,274        405,110   
          

Total Mutual Funds

(Cost $5,850,302)

  

  

      6,005,340   
          
     PRINCIPAL
AMOUNT
(000s)
       

SHORT-TERM INSTRUMENTS 0.5%

    

REPURCHASE AGREEMENTS 0.1%

    

State Street Bank and Trust Co.

    

0.010% due 07/01/2010

   $ 2,261        2,261   
          

(Dated 06/30/2010. Collateralized by U.S. Treasury Notes 1.000% due 04/30/2012 valued at $2,311. Repurchase proceeds are $2,261.)

    
     SHARES        

PIMCO SHORT-TERM FLOATING NAV PORTFOLIO (a) 0.4%

    
     2,296,784        23,000   
          

Total Short-Term Instruments

(Cost $25,261)

  

  

    25,261   
          

Total Investments 113.9%

(Cost $5,875,563)

     $ 6,030,601   
Other Assets and Liabilities (Net) (13.9%)        (737,038
          
Net Assets 100.0%      $ 5,293,563   
          

 


Notes to Schedule of Investments (amounts in thousands):

 

(a) Affiliated to the Fund.

 

(b) Institutional Class Shares of each PIMCO Fund.

 

(c)

Fair Value Measurements( 1)

 

The following is a summary of the fair valuations according to the inputs used as of June 30, 2010 in valuing the Fund’s assets and liabilities:

 

Category(2)      Quoted Prices
in Active Markets
for Identical Investments
(Level 1)
    

Significant Other
Observable
Inputs

(Level 2)

    

Significant
Unobservable
Inputs

(Level 3)

  

Fair Value at

06/30/2010

Mutual Funds

     $ 6,005,340      $ 0      $ 0    $   6,005,340

Short-Term Instruments

       23,000        2,261        0      25,261
                                 

Investments, at value

     $ 6,028,340      $ 2,261      $ 0    $ 6,030,601
                                 

 

(1)

See note 4 in the Supplementary Notes to Schedule of Investments for additional information.

(2)

Refer to the Schedule of Investments for additional information.

 

See Accompanying Notes


Schedule of Investments

All Asset Fund

June 30, 2010 (Unaudited)

 

     SHARES     MARKET
VALUE (000s)
 

MUTUAL FUNDS (a)(b) 100.0%

  

 

PIMCO CommoditiesPLUS Strategy Fund

     35,498,908      $ 356,409   

PIMCO CommodityRealReturn Strategy Fund®

     83,242,526        614,330   

PIMCO Convertible Fund

     41,730,100        519,122   

PIMCO Developing Local Markets Fund

     91,889,927        896,846   

PIMCO Diversified Income Fund

     49,875,895        547,139   

PIMCO EM Fundamental IndexPLUSTM TR Strategy Fund

     73,027,354        755,833   

PIMCO Emerging Local Bond Fund

     65,015,228        654,053   

PIMCO Emerging Markets Bond Fund

     17,614,213        188,648   

PIMCO EqS Pathfinder FundTM

     20,816,790        192,139   

PIMCO Floating Income Fund

     21,334,760        186,892   

PIMCO Foreign Bond Fund (Unhedged)

     817,446        8,232   

PIMCO Fundamental Advantage Total Return Strategy Fund

       574,582,317          2,706,283   

PIMCO Fundamental IndexPLUSTM Fund

     2,351,097        14,107   

PIMCO Fundamental IndexPLUSTM TR Fund

     20,443,655        106,307   

PIMCO Global Advantage Strategy Bond Fund

     33,229,547        363,531   

PIMCO High Yield Fund

     30,162,258        266,936   

PIMCO Income Fund

     60,588,657        638,604   

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

     16,080,972        131,221   

PIMCO International StocksPLUS® TR Strategy Fund (Unhedged)

     15,066,539        82,113   

PIMCO Investment Grade Corporate Bond Fund

     83,983,709        944,817   

PIMCO Long Duration Total Return Fund

     4,724,998        53,723   

PIMCO Long-Term Credit Fund

     82,292,115        989,974   

PIMCO Long-Term U.S. Government Fund

     2,338,829        27,996   

PIMCO Low Duration Fund

     19,712,403        206,586   

PIMCO Real Return Asset Fund

     176,676,692        2,063,584   

PIMCO Real Return Fund

     25,943,340        290,565   

PIMCO RealEstateRealReturn Strategy Fund

     58,698,348        245,359   

PIMCO Short-Term Fund

     31,594,069        311,518   

PIMCO Small Cap StocksPLUS® TR Fund

     15,701,307        101,901   

PIMCO StocksPLUS® Fund

     1,473,815        10,435   

PIMCO StocksPLUS® Total Return Fund

     7,341,478        47,353   

PIMCO Total Return Fund

     18,478,274        208,065   

PIMCO Unconstrained Bond Fund

      112,342,089        1,244,750   
          

Total Mutual Funds

(Cost $15,343,688)

  

  

      15,975,371   
          
     PRINCIPAL
AMOUNT
(000s)
       

SHORT-TERM INSTRUMENTS 0.1%

    

REPURCHASE AGREEMENTS 0.0%

    

State Street Bank and Trust Co.

    

0.010% due 07/01/2010

   $ 2,600        2,600   
          

(Dated 06/30/2010. Collateralized by U.S. Treasury Notes 3.125% due 04/30/2017 valued at $2,654. Repurchase proceeds are $2,600.)

    
     SHARES        

PIMCO SHORT-TERM FLOATING NAV PORTFOLIO (a) 0.1%

    
     1,997,223        20,000   
          

Total Short-Term Instruments

(Cost $22,600)

  

  

    22,600   
          

Total Investments 100.1%

(Cost $15,366,288)

     $ 15,997,971   
Other Assets and Liabilities (Net) (0.1%)        (22,079
          
Net Assets 100.0%      $ 15,975,892   
          

 


Notes to Schedule of Investments (amounts in thousands):

 

(a) Affiliated to the Fund.

 

(b) Institutional Class Shares of each PIMCO Fund.

 

(c)

Fair Value Measurements( 1)

 

The following is a summary of the fair valuations according to the inputs used as of June 30, 2010 in valuing the Fund’s assets and liabilities:

 

Category(2)      Quoted Prices
in Active Markets
for Identical Investments
(Level 1)
    

Significant Other
Observable
Inputs

(Level 2)

    

Significant
Unobservable
Inputs

(Level 3)

  

Fair Value at

06/30/2010

Mutual Funds

     $ 15,975,371      $ 0      $ 0    $   15,975,371

Short-Term Instruments

       20,000        2,600        0      22,600
                                 

Investments, at value

     $ 15,995,371      $ 2,600      $ 0    $ 15,997,971
                                 

 

(1)

See note 4 in the Supplementary Notes to Schedule of Investments for additional information.

(2)

Refer to the Schedule of Investments for additional information.

 

See Accompanying Notes


Schedule of Investments

California Intermediate Municipal Bond Fund

June 30, 2010 (Unaudited)

 

     PRINCIPAL
AMOUNT
(000s)
    MARKET
VALUE
(000s)
 

CORPORATE BONDS & NOTES 1.2%

    

American International Group, Inc.

    

4.700% due 10/01/2010

   $ 400      $ 402   

8.175% due 05/15/2068

     700        558   

8.250% due 08/15/2018

     100        102   
          

Total Corporate Bonds & Notes

(Cost $1,159)

       1,062   
          

MUNICIPAL BONDS & NOTES 92.2%

    

CALIFORNIA 86.8%

    

Alameda, California Business Park Assessment Revenue Bonds, Series 1998

    

5.500% due 09/02/2012

     900        915   

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

    

5.000% due 08/01/2019

     265        292   

Baldwin Park, California Unified School District Revenue Notes, Series 2009

    

0.000% due 08/01/2014

     500        443   

Bonita, California Unified School District General Obligation Notes, Series 2009

    

4.000% due 08/01/2017

     125        134   

Brea, California Public Financing Authority Revenue Notes, Series 2010

    

4.000% due 07/01/2016

     65        71   

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

    

5.000% due 08/01/2019

     1,320        1,471   

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

    

5.250% due 04/01/2026

     1,000        981   

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

    

5.200% due 11/15/2022

       2,000          2,034   

California State Bay Area Toll Authority Revenue Bonds, Series 2009

    

5.000% due 04/01/2020

     500        564   

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

    

0.000% due 10/01/2014

     500        439   

California State Educational Facilities Authority Revenue Notes, Series 2005

    

5.000% due 10/01/2012

     540        582   

5.000% due 10/01/2013

     570        628   

California State Educational Facilities Authority Revenue Notes, Series 2006

    

5.000% due 11/01/2014

     750        832   

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

    

0.000% due 08/01/2018

     1,500        1,047   

California State General Obligation Bonds, Series 2009

    

5.000% due 07/01/2020

     1,000        1,106   

California State General Obligation Notes, Series 2009

    

5.000% due 07/01/2019

     80        90   

California State Health Facilities Financing Authority Revenue Bonds, Series 2008

    

5.500% due 08/15/2018

     500        554   


              

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

    

5.000% due 09/01/2010

     350        352   

California State Health Facilities Financing Authority Revenue Notes, Series 2008

    

6.000% due 10/01/2018

     250        290   

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        1,439   

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

    

5.000% due 12/01/2015

     640        661   

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

    

5.000% due 07/01/2019

     1,000        1,124   

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

    

5.000% due 07/01/2018

     2,000        2,279   

California State Pasadena Area Community College District General Obligation Notes, Series 2009

    

5.000% due 08/01/2017

     250        284   

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

    

5.250% due 11/01/2019

     1,000        1,110   

California State Public Works Board Revenue Bonds, Series 2005

    

5.000% due 04/01/2017

     1,000        1,100   

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

    

5.000% due 10/01/2016

     2,500        2,714   

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

    

0.000% due 08/01/2014

       2,000          1,795   

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

    

0.000% due 07/01/2018

     2,000        1,442   

California State Southwestern Community College District General Obligation Bonds, (NPFGC-FGIC Insured), Series 2005

    

5.250% due 08/01/2016

     400        453   

California State Tobacco Securitization Agency Revenue Bonds, Series 2002

    

6.125% due 06/01/2043

     1,000        807   

California State Tobacco Securitization Agency Revenue Bonds, Series 2006

    

0.000% due 06/01/2028 (a)

     2,150        1,761   

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

    

5.000% due 10/01/2018

     1,500        1,504   

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

    

4.100% due 04/01/2028

     1,000        1,045   

California Statewide Communities Development Authority Revenue Bonds, Series 2005

    

5.000% due 03/01/2018

     125        130   

California Statewide Communities Development Authority Revenue Notes, Series 2004

    

5.500% due 05/15/2012

     500        526   


              

California Statewide Communities Development Authority Revenue Notes, Series 2005

    

5.000% due 07/01/2013

     850        907   

Campbell, California Redevelopment Agency Tax Allocation Notes, Series 2002

    

4.700% due 10/01/2011

     505        513   

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

    

5.250% due 09/01/2016

     700        703   

5.375% due 09/01/2017

     800        804   

Contra Costa, California Water District Revenue Notes, Series 2010

    

4.000% due 10/01/2015

     250        275   

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

    

0.000% due 06/01/2014

       3,000          2,709   

Diablo, California Water District Certificates of Participation Notes, Series 2010

    

4.000% due 01/01/2016

     125        136   

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

    

0.000% due 06/01/2013

     1,195        1,117   

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

    

5.000% due 09/01/2019

     700        783   

Fresno, California Revenue Notes, Series 2010

    

4.000% due 06/01/2016

     40        42   

Hawthorne, California School District General Obligation Notes, (AGC Insured), Series 2009

    

0.000% due 08/01/2014

     125        111   

0.000% due 08/01/2015

     140        118   

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

    

4.625% due 06/01/2021

     865        689   

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

    

5.250% due 11/15/2018

     1,000        1,038   

5.250% due 11/15/2019

     500        514   

Long Beach, California Revenue Notes, Series 2010

    

5.000% due 05/15/2016

     925        1,061   

Long Beach, California Special Tax Bonds, Series 2008

    

5.375% due 10/01/2022

     250        250   

Los Angeles County, California Schools Regionalized Business Services Corp. Certificates of Participation Notes, (FSA Insured), Series 2010

    

5.000% due 06/01/2018

     640        726   

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

    

5.000% due 05/15/2016

     1,000        1,067   

Los Angeles, California Department of Water & Power Revenue Bonds, (NPFGC Insured), Series 2003

    

5.000% due 07/01/2016

     1,000        1,085   

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

    

5.000% due 09/01/2019

     250        267   

Mesa, California Consolidated Water District Certificates of Participation Notes, Series 2009

    

4.000% due 03/15/2014

     250        269   


              

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

    

5.000% due 10/01/2015

     1,545        1,751   

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

    

0.000% due 08/01/2016

     500        397   

Mount San Antonio, California Community College District General Obligation Notes, Series 2010

    

0.000% due 05/01/2015

     1,000        854   

Oakland, California Port Authority Revenue Bonds, (NPFGC-FGIC Insured), Series 2000

    

5.750% due 11/01/2012

     495        495   

Palm Springs, California Revenue Notes, Series 2008

    

5.300% due 07/01/2013

     250        236   

Riverbank, California Redevelopment Agency Tax Allocation Notes, Series 2007

    

4.100% due 08/01/2013

     255        256   

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

    

5.000% due 12/01/2017

     1,000        1,123   

Sacramento, California Municipal Utility District Revenue Bonds, Series 1983

    

9.000% due 04/01/2013

     380        433   

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

    

5.000% due 09/01/2013

     1,340        1,424   

San Diego, California Public Facilities Financing Authority Revenue Notes, Series 2009

    

5.000% due 05/15/2017

     500        571   

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

    

5.250% due 09/01/2016

     1,000        1,049   

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

    

4.500% due 09/15/2017

     1,425        1,428   

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

    

5.250% due 05/01/2019

       2,960          3,357   

San Francisco, California City & County Airports Commission Revenue Bonds, Series 2010

    

5.000% due 05/01/2023

     25        27   

San Francisco, California City & County Public Utilities Commission Revenue Notes, Series 2009

    

4.000% due 11/01/2018

     1,000        1,075   

San Francisco, California Unified School District General Obligation Notes, (FSA Insured), Series 2005

    

5.000% due 06/15/2015

     1,100        1,201   

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

    

5.000% due 08/01/2017

     1,000        1,034   

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

    

6.500% due 08/01/2019

     1,000        1,126   

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

    

5.000% due 09/01/2018

     750        812   

Santa Cruz County, California Redevelopment Agency Tax Allocation Bonds, Series 2009

    

7.000% due 09/01/2036

     1,000        1,115   


              

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

    

5.000% due 08/01/2018

     1,250        1,407   

Turlock, California Certificates of Participation Notes, Series 2007

    

5.000% due 10/15/2010

     360        362   

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

    

0.902% due 05/15/2030

     1,500        999   

University of California Regents Medical Center Revenue Notes, Series 2008

    

5.000% due 05/15/2017

     2,000        2,273   

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

    

5.000% due 05/15/2016

     1,740        1,923   

University of California Revenue Bonds, Series 2008

    

5.000% due 05/15/2018

     350        395   

University of California Revenue Notes, Series 2009

    

5.000% due 05/15/2016

     85        97   

Victor Valley, California Union High School District General Obligation Notes, (AGC Insured), Series 2009

    

0.000% due 08/01/2013

     400        373   

West Contra Costa, California Unified School District General Obligation Notes, (AGC Insured), Series 2009

    

5.000% due 08/01/2017

       1,000          1,101   
          
       76,912   
          

NEW JERSEY 0.3%

    

New Jersey State Economic Development Authority Revenue Bonds, Series 1998

    

6.500% due 04/01/2018

     220        231   
          

PUERTO RICO 3.8%

    

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

    

0.837% due 07/01/2020

     1,000        831   

Puerto Rico Electric Power Authority Revenue Notes, Series 2008

    

5.000% due 07/01/2012

     500        536   

Puerto Rico Government Development Bank Revenue Notes, Series 2006

    

5.000% due 12/01/2014

     1,250        1,330   

Puerto Rico Highway & Transportation Authority Revenue Bonds, Series 2007

    

5.500% due 07/01/2021

     500        529   

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

    

5.250% due 07/01/2010

     150        150   
          
       3,376   
          

TEXAS 0.1%

    

Houston, Texas Airport Systems Revenue Bonds, Series 1997

    

6.125% due 07/15/2017

     100        95   
          


              

VIRGIN ISLANDS 1.2%

    

Virgin Islands Public Finance Authority Revenue Bonds, Series 2003

    

6.125% due 07/01/2022

     1,000        1,015   
          

Total Municipal Bonds & Notes

(Cost $79,445)

         81,629   
          
     SHARES        

CONVERTIBLE PREFERRED SECURITIES 0.0%

    

American International Group, Inc.

    

8.500% due 08/01/2011

       5,200        50   
          

Total Convertible Preferred Securities

(Cost $390)

  

  

    50   
          
     PRINCIPAL
AMOUNT
(000s)
       

SHORT-TERM INSTRUMENTS 5.5%

    

REPURCHASE AGREEMENTS 5.5%

    

State Street Bank and Trust Co.

    

0.010% due 07/01/2010

   $ 4,889        4,889   
          

(Dated 06/30/2010. Collateralized by U.S. Treasury Notes 1.000% due 04/30/2012 valued at $4,990. Repurchase proceeds are $4,889.)

    

Total Short-Term Instruments

(Cost $4,889)

       4,889   
          

Total Investments 98.9%

(Cost $85,883)

     $ 87,630   
Other Assets and Liabilities (Net) 1.1%        965   
          
Net Assets 100.0%      $ 88,595   
          


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

 

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

 

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

 

(b)

Fair Value Measurements( 1)

 

The following is a summary of the fair valuations according to the inputs used as of June 30, 2010 in valuing the Fund’s assets and liabilities:

 

Category(2)      Quoted Prices
in Active Markets
for Identical Investments
(Level 1)
    

Significant Other
Observable
Inputs

(Level 2)

    

Significant
Unobservable
Inputs

(Level 3)

  

Fair Value at

06/30/2010

Corporate Bonds & Notes

     $ 0      $ 1,062      $ 0    $ 1,062

Municipal Bonds & Notes

                 

California

       0        76,912        0      76,912

New Jersey

       0        231        0      231

Puerto Rico

       0        3,376        0      3,376

Texas

       0        95        0      95

Virgin Islands

       0        1,015        0      1,015

Convertible Preferred Securities

       50        0        0      50

Short-Term Instruments

       0        4,889        0      4,889
                                 

Investments, at value

     $ 50      $ 87,580      $ 0    $ 87,630
                                 

 

(1)

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

(2)

Refer to the Schedule of Investments for additional information.

 

See Accompanying Notes


Schedule of Investments

California Short Duration Municipal Income Fund

June 30, 2010 (Unaudited)

 

     PRINCIPAL
AMOUNT
(000s)
    MARKET
VALUE
(000s)
 

CORPORATE BONDS & NOTES 0.4%

    

American Express Bank FSB

    

0.430% due 07/13/2010

   $ 250      $ 250   

American International Group, Inc.

    

4.700% due 10/01/2010

     300        301   

5.600% due 10/18/2016

     100        92   

8.175% due 05/15/2068

     100        80   

General Electric Capital Corp.

    

0.491% due 07/27/2012

     150        147   

SLM Corp.

    

4.500% due 07/26/2010

     450        451   
          

Total Corporate Bonds & Notes

(Cost $1,290)

       1,321   
          

MUNICIPAL BONDS & NOTES 97.2%

    

CALIFORNIA 94.2%

    

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

    

5.000% due 12/01/2017

     495        545   

Alta Loma, California School District General Obligation Bonds, (NPFGC-FGIC Insured), Series 1999

    

0.000% due 08/01/2012

     400        386   

Anaheim, California Public Financing Authority Revenue Notes, Series 2008

    

4.000% due 08/01/2010

     2,275        2,281   

4.000% due 08/01/2012

     350        371   

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

    

5.250% due 08/01/2017

     110        122   

Brentwood, California Union School District General Obligation Notes, (NPFGC-FGIC Insured), Series 2007

    

5.250% due 08/01/2016

     135        150   

Calaveras, California Unified School District General Obligation Notes, (AGC Insured), Series 2009

    

3.000% due 08/01/2012

     560        582   

3.000% due 08/01/2013

     460        481   

Calaveras, California Unified School District General Obligation Notes, Series 2009

    

3.000% due 08/01/2011

     300        307   

California State Association of Bay Area Governments Finance Authority for Non-Profit Corp. Revenue Notes, (CM Insured), Series 2002

    

4.500% due 04/01/2011

     500        508   

California State Association of Bay Area Governments Finance Authority for Non-Profit Corp. Revenue Notes, (CM Insured), Series 2010

    

3.000% due 09/01/2012

       1,000          1,013   

4.000% due 09/01/2015

     750        772   

California State Bay Area Governments Association Revenue Notes, (XLCA Insured), Series 2006

    

5.000% due 08/01/2013

     750        752   

California State Bay Area Toll Authority Revenue Bonds, Series 2007

    

0.220% due 04/01/2047

     1,250        1,250   

California State Bay Area Toll Authority Revenue Bonds, Series 2008

    

0.230% due 04/01/2045

     1,000        1,000   

California State Bay Area Toll Authority Revenue Notes, Series 2006

    

5.000% due 04/01/2015

     100        114   


              

California State Calleguas-Las Virgenes Public Financing Authority Revenue Notes, Series 2009

    

4.000% due 11/01/2013

     400        437   

California State Cardiff School District General Obligation Notes, Series 2010

    

3.000% due 08/01/2013

     500        530   

California State Central Contra Costa Sanitation District Certificates of Participation Notes, Series 2009

    

4.000% due 09/01/2011

     1,000        1,040   

California State Cerritos Community College District General Obligation Notes, Series 2009

    

4.000% due 08/01/2011

     400        415   

California State Department of Water Resources Revenue Bonds, (AMBAC Insured), Series 2002

    

5.500% due 05/01/2014

     315        344   

California State Department of Water Resources Revenue Bonds, Series 2002

    

6.000% due 05/01/2014

     3,050        3,389   

California State Department of Water Resources Revenue Notes, (NPFGC-IBC Insured), Series 2002

    

5.500% due 05/01/2012

     700        761   

California State Department of Water Resources Revenue Notes, Series 2002

    

5.500% due 05/01/2011

     185        193   

California State Department of Water Resources Revenue Notes, Series 2005

    

0.280% due 05/01/2011

     100        100   

California State Department of Water Resources Revenue Notes, Series 2008

    

4.000% due 12/01/2012

     855        923   

California State Department of Water Resources Revenue Notes, Series 2010

    

2.000% due 05/01/2012

     1,150        1,175   

California State East Side Union High School District General Obligation Bonds, (NPFGC Insured), Series 2003

    

4.900% due 02/01/2015

     150        165   

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

    

4.000% due 08/01/2012

     200        211   

California State Eastern Municipal Water District Revenue Bonds, Series 2008

    

0.200% due 07/01/2020

     1,750        1,750   

California State Educational Facilities Authority Revenue Bonds, Series 2008

    

0.170% due 10/01/2026

     1,100        1,100   

0.170% due 10/01/2036

     2,600        2,600   

California State Educational Facilities Authority Revenue Notes, Series 2006

    

5.000% due 11/01/2011

     625        657   

5.000% due 11/01/2013

     525        579   

California State Educational Facilities Authority Revenue Notes, Series 2010

    

1.050% due 10/01/2015

       4,000          3,981   

3.000% due 10/01/2012

     1,315        1,364   

California State Enterprise Development Authority Revenue Notes, Series 2010

    

4.000% due 09/01/2013

     200        216   

4.000% due 09/01/2014

     220        237   

California State General Obligation Bonds, Series 1991

    

6.600% due 02/01/2011

     1,455        1,502   


              

California State General Obligation Bonds, Series 2004

    

0.260% due 05/01/2034

     1,000        1,000   

5.000% due 07/01/2016

     2,000        2,074   

California State General Obligation Bonds, Series 2008

    

5.000% due 07/01/2023

     3,175        3,180   

California State General Obligation Notes, Series 2004

    

5.250% due 07/01/2012

     1,175        1,274   

California State General Obligation Notes, Series 2008

    

5.000% due 01/01/2011

     1,500        1,532   

5.000% due 04/01/2015

     450        502   

California State Health Facilities Financing Authority Revenue Bonds, Series 1998

    

0.160% due 09/01/2028

     2,250        2,250   

California State Health Facilities Financing Authority Revenue Bonds, Series 2008

    

0.190% due 10/01/2031

     2,000        2,000   

0.210% due 10/01/2031

     1,150        1,150   

5.500% due 08/15/2018

     250        277   

California State Health Facilities Financing Authority Revenue Bonds, Series 2009

    

0.100% due 09/01/2038

     100        100   

5.000% due 07/01/2037

     1,250        1,327   

California State Health Facilities Financing Authority Revenue Notes, (NPFGC Insured), Series 2003

    

5.000% due 11/01/2011

     150        156   

California State Health Facilities Financing Authority Revenue Notes, Series 2005

    

5.000% due 07/01/2010

     500        500   

California State Health Facilities Financing Authority Revenue Notes, Series 2008

    

5.000% due 08/15/2014

       1,000          1,096   

California State Health Facilities Financing Authority Revenue Notes, Series 2009

    

5.000% due 03/01/2011

     1,000        1,027   

5.000% due 08/15/2011

     1,000        1,041   

5.000% due 03/01/2014

     250        268   

5.000% due 08/15/2014

     350        380   

California State Health Facilities Financing Authority Revenue Notes, Series 2010

    

3.000% due 11/15/2013

     750        781   

4.000% due 11/15/2011

     1,000        1,040   

5.000% due 11/15/2012

     1,000        1,083   

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

    

3.750% due 12/01/2018

     2,000        2,007   

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

    

0.120% due 09/01/2038

     725        725   

California State Infrastructure & Economic Development Bank Revenue Bonds, Series 2009

    

0.120% due 11/01/2026

     2,500        2,500   

California State Infrastructure & Economic Development Bank Revenue Bonds, Series 2010

    

0.260% due 09/01/2031

     1,300        1,300   

2.250% due 11/01/2026

     3,000        3,010   

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

    

5.250% due 10/01/2013

     1,250        1,401   


              

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

    

5.000% due 02/01/2014

     750        824   

California State Infrastructure & Economic Development Bank Revenue Notes, Series 2009

    

0.100% due 12/01/2016

     5,000        5,000   

California State Infrastructure & Economic Development Bank Revenue Notes, Series 2010

    

3.000% due 05/15/2013

     415        436   

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

    

5.000% due 07/01/2018

     250        285   

California State M-S-R Public Power Agency Revenue Notes, (NPFGC Insured), Series 2007

    

5.000% due 07/01/2011

     510        527   

California State Municipal Finance Authority Certificates of Participation Notes, Series 2009

    

3.000% due 02/01/2011

     500        501   

California State Northern Power Agency Revenue Notes, Series 2008

    

5.000% due 07/01/2012

     1,500        1,612   

California State Northern Power Agency Revenue Notes, Series 2010

    

3.000% due 06/01/2013

       2,850          2,945   

California State OMWD Financing Authority Revenue Notes, Series 2009

    

3.000% due 06/01/2012

     160        166   

California State Padre Dam Municipal Water District Certificates of Participation Notes, Series 2009

    

2.000% due 10/01/2010

     200        201   

3.000% due 10/01/2011

     200        205   

California State Pollution Control Financing Authority Revenue Bonds, Series 1996

    

0.100% due 11/01/2026

     100        100   

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

    

5.000% due 01/01/2019

     150        154   

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

    

5.250% due 11/01/2019

     270        300   

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

    

5.250% due 10/01/2017

     380        413   

California State Public Works Board Revenue Notes, Series 2003

    

5.500% due 06/01/2013

     750        817   

California State Public Works Board Revenue Notes, Series 2010

    

4.000% due 03/01/2013

     2,680        2,870   

4.000% due 03/01/2014

     3,630        3,841   

California State Rim World Unified School District General Obligation Notes, (FSA Insured), Series 2009

    

3.000% due 08/01/2012

     275        286   

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

    

5.000% due 11/01/2011

     1,400        1,481   

California State University Revenue Notes, (FSA Insured), Series 2004

    

3.500% due 11/01/2012

     2,565        2,718   

California State Westside Elementary School District General Obligation Notes, Series 2009

    

3.000% due 08/01/2010

     220        220   


              

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

    

5.250% due 07/01/2018

     250        279   

California Statewide Communities Development Authority Revenue Bonds, Series 2001

    

3.900% due 08/01/2031

     1,050        1,079   

California Statewide Communities Development Authority Revenue Bonds, Series 2008

    

0.140% due 08/15/2041

     700        700   

0.170% due 12/01/2037

     2,000        2,000   

California Statewide Communities Development Authority Revenue Notes, (FHA Insured), Series 2009

    

5.500% due 08/01/2012

     1,215        1,305   

5.500% due 08/01/2014

     2,610        2,922   

California Statewide Communities Development Authority Revenue Notes, (FSA Insured), Series 2004

    

5.000% due 08/15/2012

     425        456   

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

    

5.000% due 05/01/2015

     150        162   

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

    

5.000% due 04/01/2011

     100        101   

California Statewide Communities Development Authority Revenue Notes, Series 2004

    

5.500% due 05/15/2012

     750        788   

California Statewide Communities Development Authority Revenue Notes, Series 2005

    

5.000% due 07/01/2011

     325        335   

5.000% due 07/01/2012

     640        674   

California Statewide Communities Development Authority Revenue Notes, Series 2006

    

4.500% due 11/15/2012

     370        374   

California Statewide Communities Development Authority Revenue Notes, Series 2009

    

5.000% due 04/01/2013

       2,500          2,718   

5.000% due 06/15/2013

     1,000        1,086   

California Statewide Financing Authority Revenue Notes, Series 2002

    

4.600% due 05/01/2012

     1,030        1,056   

Capistrano, California Unified School District Community Facilities District No. 87-1 Special Tax Notes, (AMBAC Insured), Series 2006

    

5.000% due 09/01/2014

     1,100        1,197   

Carlsbad, California Unified School District Certificates of Participation Notes, Series 2009

    

2.000% due 10/01/2011

     425        429   

Castaic Lake, California Water Agency Certificates of Participation Notes, Series 2010

    

4.000% due 08/01/2012

     610        648   

4.000% due 08/01/2015

     130        143   

Central Valley, California Financing Authority Revenue Notes, Series 2009

    

3.000% due 07/01/2011

     750        763   

4.000% due 07/01/2012

     750        789   

Contra Costa, California Water District Revenue Notes, Series 2010

    

4.000% due 10/01/2013

     2,910        3,166   

Cucamonga County, California Water District Certificates of Participation Notes, (FSA Insured), Series 2009

    

2.500% due 09/01/2011

     450        459   


              

Cucamonga County, California Water District Certificates of Participation Notes, (NPFGC Insured), Series 2006

    

4.000% due 09/01/2014

     250        270   

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

    

4.000% due 03/01/2012

     1,000        1,042   

El Dorado, California Union High School District Certificates of Participation Notes, Series 2009

    

0.000% due 12/01/2013

     460        412   

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

    

0.000% due 05/01/2012

     1,555        1,507   

Folsom, California Public Financing Authority Revenue Notes, Series 2010

    

2.000% due 09/01/2010 (a)

     160        160   

Folsom, California Redevelopment Agency Tax Allocation Notes, Series 2009

    

3.000% due 08/01/2011

     360        363   

Fontana, California Unified School District General Obligation Notes, (AGC Insured), Series 2009

    

4.000% due 05/01/2011

     350        360   

Fremont, California Unified School District General Obligation Notes, Series 2009

    

4.000% due 08/01/2012

     610        648   

4.000% due 08/01/2013

     700        756   

Fresno, California Unified School District General Obligation Notes, (NPFGC Insured), Series 2005

    

5.000% due 08/01/2014

     300        328   

Golden Empire, California Schools Financing Authority Revenue Notes, Series 2010

    

4.000% due 05/01/2012

     2,000        2,071   

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

    

5.000% due 06/01/2038

     1,175        1,306   

5.000% due 06/01/2043

     100        111   

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

    

5.625% due 06/01/2038

     100        113   

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

    

5.500% due 06/01/2043

     1,735        1,953   

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

    

5.500% due 06/01/2033

     2,500        2,814   

5.500% due 06/01/2043

     2,655        2,989   

5.625% due 06/01/2038

     3,665        4,139   

6.250% due 06/01/2033

     6,650        7,399   

6.625% due 06/01/2040

     2,020        2,338   

6.750% due 06/01/2039

       4,870          5,655   

7.875% due 06/01/2042

     105        125   

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

    

4.200% due 06/01/2012

     600        612   

5.000% due 06/01/2011

     500        509   

Hawthorne, California School District General Obligation Notes, (AGC Insured), Series 2009

    

0.000% due 08/01/2011

     185        182   

0.000% due 08/01/2012

     100        96   

0.000% due 08/01/2013

     115        107   


              

Huntington Beach, California Public Financing Authority Revenue Notes, Series 2010

    

3.000% due 09/01/2012

     250        261   

4.000% due 09/01/2013

     225        243   

Indio, California Water Authority Revenue Notes, (AMBAC Insured), Series 2006

    

4.000% due 04/01/2011

     300        307   

Industry, California General Obligation Notes, Series 2009

    

4.000% due 07/01/2011

     275        284   

4.000% due 07/01/2012

     1,000        1,059   

5.000% due 07/01/2013

     750        830   

Irvine, California Public Facilities & Infrastructure Authority Revenue Bonds, Series 1985

    

0.260% due 11/01/2010

     1,045        1,045   

Irvine, California Special Assessment Bonds, Series 1994

    

0.160% due 09/02/2020

     466        466   

Irvine, California Special Assessment Bonds, Series 2000

    

0.160% due 09/02/2025

       2,000          2,000   

Irvine, California Unified School District Special Tax Notes, (AGC Insured), Series 2009

    

3.000% due 09/01/2010

     1,500        1,504   

Jefferson Union, California High School District General Obligation Notes, (FSA Insured), Series 2010

    

3.000% due 08/01/2012

     200        208   

Laguna Beach, California General Obligation Bonds, Series 2001

    

5.000% due 08/15/2011

     125        131   

Lake Arrowhead, California Community Services District Certificates of Participation Notes, Series 2009

    

2.500% due 10/01/2011

     645        657   

3.000% due 10/01/2012

     300        311   

Lancaster, California Redevelopment Agency Revenue Notes, Series 2010

    

3.000% due 12/01/2011

     120        123   

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

    

5.000% due 09/01/2015

     185        196   

Long Beach, California Revenue Notes, Series 2009

    

4.000% due 06/01/2012

     90        93   

4.000% due 06/01/2013

     110        114   

Long Beach, California Revenue Notes, Series 2010

    

4.000% due 05/15/2013

     2,000        2,167   

Long Beach, California Unified School District General Obligation Notes, Series 2009

    

5.000% due 08/01/2011

     1,000        1,048   

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

    

0.250% due 07/01/2031

     1,195        1,195   

Los Angeles County, California Metropolitan Transportation Authority Revenue Notes, (NPFGC Insured), Series 2003

    

5.250% due 07/01/2012

     155        168   

Los Angeles County, California Metropolitan Transportation Authority Revenue Notes, (NPFGC-FGIC Insured), Series 2005

    

5.000% due 10/01/2012

     425        429   


              

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

    

3.000% due 08/01/2011

     250        256   

3.000% due 08/01/2012

     500        524   

Los Angeles, California Department of Airports Revenue Notes, (NPFGC Insured), Series 2003

    

5.000% due 05/15/2012

     230        247   

Los Angeles, California Department of Airports Revenue Notes, Series 2009

    

3.000% due 05/15/2011

     500        509   

5.000% due 05/15/2013

     250        275   

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

    

0.100% due 07/01/2034

     400        400   

Los Angeles, California Department of Water & Power Revenue Notes, (AMBAC Insured), Series 2006

    

5.000% due 07/01/2013

     500        558   

Los Angeles, California General Obligation Notes, (NPFGC Insured), Series 2002

    

5.250% due 09/01/2011

     730        771   

Los Angeles, California Harbor Department Revenue Notes, Series 2009

    

5.000% due 08/01/2012

     1,000        1,086   

Los Angeles, California Unified School District Certificates of Participation Notes, Series 2010

    

3.000% due 12/01/2011

     750        771   

Los Angeles, California Unified School District General Obligation Notes, (AMBAC Insured), Series 2007

    

4.000% due 07/01/2010

     1,000        1,000   

Los Angeles, California Unified School District General Obligation Notes, Series 2009

    

5.000% due 07/01/2014

       2,000          2,239   

Los Angeles, California Unified School District General Obligation Notes, Series 2010

    

4.000% due 07/01/2012

     300        318   

Los Angeles, California Wastewater System Revenue Notes, (AMBAC Insured), Series 2006

    

4.500% due 02/01/2013

     250        270   

Los Angeles, California Wastewater System Revenue Notes, (NPFGC Insured), Series 2003

    

5.000% due 06/01/2011

     100        104   

Los Angeles, California Wastewater System Revenue Notes, Series 2009

    

4.000% due 02/01/2013

     1,985        2,122   

Menlo Park, California City School District General Obligation Notes, Series 2010

    

0.000% due 07/01/2013

     150        145   

Merced, California Union High School District General Obligation Notes, (AGC Insured), Series 2009

    

2.000% due 08/01/2010

     775        776   

Mesa, California Consolidated Water District Certificates of Participation Notes, Series 2009

    

2.500% due 03/15/2011

     275        278   

3.000% due 03/15/2012

     400        414   

Mission Viejo, California Community Development Financing Authority Revenue Notes, Series 2009

    

5.000% due 05/01/2013

     530        584   

Modesto, California Certificates of Participation Bonds, (AGC Insured), Series 2008

    

0.310% due 10/01/2036

     2,960        2,960   


              

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

    

3.000% due 08/01/2011

     145        149   

Monterey County, California Certificates of Participation Notes, (FSA Insured), Series 2009

    

4.000% due 08/01/2013

     1,455        1,561   

Mount Diablo, California Unified School District General Obligation Notes, (NPFGC Insured), Series 2006

    

5.000% due 06/01/2012

     85        91   

Mount San Antonio, California Community College District General Obligation Notes, Series 2010

    

0.000% due 05/01/2015

     1,250        1,068   

Newport Beach, California Revenue Bonds, Series 2008

    

0.160% due 12/01/2040

       2,000          2,000   

Newport Beach, California Revenue Bonds, Series 2009

    

4.000% due 12/01/2038

     4,000        4,071   

5.000% due 12/01/2038

     1,500        1,607   

Norco, California Redevelopment Agency Tax Allocation Notes, Series 2010

    

3.000% due 03/01/2013

     125        127   

Norwalk-La Mirada, California Unified School District General Obligation Notes, (FSA Insured), Series 2009

    

4.000% due 08/01/2013

     880        942   

Oak Grove, California School District General Obligation Notes, (NPFGC Insured), Series 2005

    

5.250% due 08/01/2013

     50        56   

Orange County, California Ocean View School District Revenue Notes, (FSA Insured), Series 2010

    

3.000% due 03/01/2012

     430        442   

3.500% due 03/01/2013

     300        315   

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

    

5.000% due 07/01/2011

     100        104   

Orange County, California Revenue Notes, (NPFGC Insured), Series 2005

    

5.000% due 06/01/2013

     720        796   

Orange County, California Transportation Authority Revenue Notes, (AMBAC Insured), Series 2003

    

5.000% due 08/15/2013

     100        109   

Orchard, California School District General Obligation Notes, (AGC Insured), Series 2009

    

4.000% due 08/01/2012

     125        133   

Pasadena, California Certificates of Participation Bonds, Series 2008

    

0.180% due 02/01/2035

     4,100        4,100   

Pasadena, California Certificates of Participation Notes, Series 2008

    

4.000% due 02/01/2012

     570        593   

Pittsburg, California Redevelopment Agency Tax Allocation Bonds, (NPFGC Insured), Series 2002

    

5.250% due 08/01/2013

     100        107   

Placentia, California Public Financing Authority Special Tax Notes, Series 2009

    

2.625% due 09/01/2011

     675        680   


              

Placer County, California Unified School District Certificates of Participation Notes, (FSA Insured), Series 2009

    

3.000% due 08/01/2011

     200        204   

3.000% due 08/01/2012

     245        252   

3.000% due 08/01/2013

     350        361   

Pleasanton, California Unified School District General Obligation Bonds, (NPFGC Insured), Series 2004

    

5.000% due 08/01/2015

     150        167   

Pleasanton, California Unified School District General Obligation Notes, (NPFGC Insured), Series 2004

    

5.375% due 08/01/2013

     125        140   

Redding, California Joint Powers Financing Authority Revenue Notes, (NPFGC Insured), Series 2002

    

4.000% due 12/01/2010

     50        51   

Riverbank, California Redevelopment Agency Tax Allocation Notes, Series 2007

    

4.000% due 08/01/2012

     145        146   

Riverside County, California Transportation Commission Revenue Bonds, Series 2009

    

0.270% due 06/01/2029

     7,795        7,795   

Riverside, California Revenue Bonds, (NPFGC Insured), Series 2004

    

5.000% due 10/01/2014

     500        561   

Riverside, California Revenue Bonds, (NPFGC-FGIC Insured), Series 1993

    

5.000% due 08/01/2010

     1,000        1,003   

Riverside, California Revenue Notes, Series 2009

    

4.000% due 08/01/2012

     500        528   

5.000% due 10/01/2013

       2,000          2,216   

Roseville, California Certificates of Participation Notes, Series 2009

    

3.000% due 02/01/2013

     1,065        1,096   

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

    

5.000% due 02/15/2012

     100        104   

Sacramento County, California Certificates of Participation Notes, Series 2010

    

3.000% due 02/01/2011

     2,000        2,016   

Sacramento County, California Revenue Notes, Series 2009

    

3.000% due 07/01/2012

     550        569   

Sacramento, California Financing Authority Revenue Bonds, (FSA Insured), Series 2002

    

5.375% due 12/01/2021

     150        167   

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

    

5.000% due 11/15/2013

     1,375        1,526   

Sacramento, California Municipal Utility District Revenue Notes, Series 2009

    

4.000% due 07/01/2011

     650        668   

5.000% due 07/01/2012

     500        537   

San Bernardino County, California Certificates of Participation Notes, Series 2009

    

3.000% due 08/01/2010

     470        471   

5.000% due 08/01/2013

     1,000        1,079   

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

    

5.000% due 09/01/2011

     200        207   


              

San Diego County, California Certificates of Participation Notes, Series 2009

    

4.000% due 10/01/2012

     2,800        2,969   

San Diego County, California Water Authority Certificates of Participation Notes, (FSA Insured), Series 2008

    

5.000% due 05/01/2014

     50        57   

San Diego County, California Water Authority Certificates of Participation Notes, (NPFGC-FGIC Insured), Series 2005

    

5.250% due 05/01/2013

     675        750   

San Diego, California Unified School District General Obligation Notes, Series 2009

    

0.000% due 07/01/2012

     325        316   

San Francisco, California City & County Airports Commission Revenue Notes, (FSA Insured), Series 2009

    

3.000% due 05/01/2011

     1,000        1,018   

3.500% due 05/01/2012

     1,000        1,046   

San Francisco, California City & County Airports Commission Revenue Notes, (NPFGC-FGIC Insured), Series 2003

    

4.000% due 05/01/2011

     1,000        1,024   

San Francisco, California City & County Airports Commission Revenue Notes, Series 2010

    

3.000% due 05/01/2016

     300        305   

San Francisco, California City & County Certificates of Participation Notes, Series 2009

    

1.950% due 04/01/2011

     1,600        1,610   

San Francisco, California City & County Finance Corp. Revenue Bonds, Series 2008

    

0.280% due 04/01/2030

     790        790   

San Francisco, California City & County General Obligation Notes, Series 2008

    

2.850% due 06/15/2012

     1,000        1,041   

San Francisco, California City & County Public Utilities Commission Revenue Notes, Series 2009

    

5.000% due 11/01/2012

       2,250          2,472   

San Francisco, California City & County Redevelopment Agency Tax Allocation Notes, (NPFGC Insured), Series 2007

    

5.000% due 08/01/2013

     475        503   

San Francisco, California City & County Redevelopment Agency Tax Allocation Notes, (NPFGC-FGIC Insured), Series 2004

    

5.000% due 08/01/2012

     740        787   

San Francisco, California Unified School District General Obligation Notes, Series 2010

    

4.000% due 06/15/2013

     1,300        1,408   

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

    

5.000% due 08/01/2022

     2,000        2,027   

San Jose, California Redevelopment Agency Tax Allocation Notes, (NPFGC Insured), Series 2002

    

4.000% due 08/01/2011

     300        304   

San Jose, California Unified School District General Obligation Notes, (NPFGC-FGIC Insured), Series 2006

    

5.000% due 08/01/2014

     375        424   

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

    

5.000% due 09/01/2018

     250        271   


              

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

    

4.000% due 07/15/2011

     350        361   

5.000% due 07/15/2014

     150        166   

San Rafael, California Redevelopment Agency Tax Allocation Notes, (AGC Insured), Series 2009

    

5.000% due 12/01/2013

     965        1,079   

5.000% due 12/01/2014

     1,020        1,145   

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

    

5.000% due 06/01/2015

     195        201   

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

    

3.500% due 08/01/2011

     900        929   

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

    

4.000% due 08/01/2010

     155        155   

Santa Barbara, California Financing Authority Revenue Notes, Series 2009

    

4.000% due 07/01/2012

     400        422   

Santa Clara County, California Financing Authority Revenue Notes, Series 2008

    

5.000% due 11/15/2014

     2,500        2,833   

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

    

0.210% due 04/01/2036

     705        705   

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

    

5.000% due 02/01/2016

     150        171   

Santa Margarita-Dana, California Point Authority Revenue Bonds, (AMBAC Insured), Series 2004

    

5.000% due 08/01/2015

     225        252   

Santa Margarita-Dana, California Point Authority Special Assessment Notes, Series 2009

    

5.000% due 08/01/2012

     1,075        1,167   

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

    

0.000% due 08/01/2013

     225        212   

Solano County, California Certificates of Participation Notes, Series 2009

    

5.000% due 11/15/2012

     1,930        2,074   

South Coast, California Water District Financing Authority Revenue Notes, Series 2010

    

3.000% due 02/01/2012

     230        239   

3.000% due 02/01/2013

     100        105   

South Orange County, California Public Financing Authority Special Tax Bonds, (NPFGC Insured), Series 2003

    

5.000% due 09/01/2013

     125        135   

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

    

5.000% due 08/15/2011

     205        212   

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

    

5.250% due 03/01/2014

     1,405        1,465   

Southern California State Metropolitan Water District Revenue Bonds, Series 2008

    

0.220% due 07/01/2037

       4,000          4,000   

Southern California State Metropolitan Water District Revenue Notes, Series 2009

    

5.000% due 07/01/2012

     1,000        1,087   


              

Southern California State Public Power Authority Revenue Bonds, Series 1989

    

6.750% due 07/01/2011

     1,750        1,848   

6.750% due 07/01/2013

     2,700        3,119   

Southern California State Public Power Authority Revenue Bonds, Series 2008

    

0.120% due 07/01/2020

     3,050        3,050   

Stockton, California Public Financing Authority Revenue Notes, Series 2009

    

4.000% due 10/01/2012

     1,925        2,030   

Torrance, California Certificates of Participation Notes, Series 2009

    

3.000% due 09/01/2011

     175        178   

3.000% due 09/01/2012

     175        180   

Torrance, California Unified School District General Obligation Notes, Series 2009

    

1.800% due 08/01/2011

     30        30   

4.000% due 08/01/2011

     500        519   

Tustin, California Special Assessment Bonds, Series 1996

    

0.170% due 09/02/2013

     2,034        2,034   

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

    

0.902% due 05/15/2030

     1,000        666   

University of California Regents Medical Center Revenue Notes, Series 2009

    

4.000% due 05/15/2012

     900        952   

University of California Revenue Notes, (AMBAC Insured), Series 2003

    

5.000% due 05/15/2011

     350        364   

5.000% due 05/15/2012

     350        378   

University of California Revenue Notes, (FSA Insured), Series 2007

    

5.000% due 05/15/2015

     45        51   

University of California Revenue Notes, (NPFGC Insured), Series 2007

    

5.000% due 05/15/2014

     270        305   

University of California Revenue Notes, Series 2008

    

4.000% due 05/15/2013

     100        108   

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

    

4.600% due 10/01/2016

     100        104   

Val Verde, California Unified School District General Obligation Notes, (FSA Insured), Series 2010

    

4.000% due 08/01/2012

     990        1,049   

Vernon, California Revenue Notes, Series 2009

    

4.000% due 08/01/2010

       2,000          2,005   

Victor Valley, California Union High School District General Obligation Notes, (AGC Insured), Series 2009

    

0.000% due 08/01/2011

     50        49   

Visalia, California Unified School District General Obligation Notes, Series 2010

    

4.000% due 08/01/2012

     215        229   

Washington, California Health Care District General Obligation Notes, Series 2009

    

6.000% due 08/01/2011

     1,000        1,058   

Washington, California Health Care District Revenue Notes, Series 2009

    

4.500% due 07/01/2011

     125        129   

West Basin, California Municipal Water District Certificates of Participation Notes, Series 2008

    

4.000% due 08/01/2010

     500        501   


              

West Contra Costa, California Unified School District General Obligation Notes, Series 2009

    

3.000% due 08/01/2010

     1,275        1,277   

West Hollywood, California Public Financing Authority Revenue Notes, Series 2009

    

3.000% due 02/01/2011

     535        540   

3.000% due 02/01/2012

     695        713   

Western Riverside County, California Regional Wastewater Authority Revenue Notes, (AGC Insured), Series 2009

    

3.000% due 09/01/2012

     435        451   

Westlake Village, California Certificates of Participation Notes, Series 2009

    

2.000% due 06/01/2011

     310        313   

Westminster, California School District General Obligation Notes, Series 2009

    

2.000% due 08/01/2011

     555        561   

Whittier, California Revenue Notes, Series 2009

    

3.000% due 06/01/2011

     1,600        1,615   
          
         294,184   
          

GUAM 0.0%

    

Guam Economic Development & Commerce Authority Revenue Bonds, Series 2001

    

5.400% due 05/15/2031

     25        26   
          

NEW HAMPSHIRE 0.3%

    

New Hampshire State Health & Education Facilities Authority Revenue Bonds, Series 2005

    

0.130% due 07/01/2033

     990        990   
          

PENNSYLVANIA 0.3%

    

Montgomery County, Pennsylvania Industrial Development Authority Revenue Notes, (FHA Insured), Series 2010

    

5.000% due 08/01/2013

     885        969   
          

PUERTO RICO 2.3%

    

Commonwealth of Puerto Rico General Obligation Notes, Series 2008

    

5.000% due 07/01/2011

     1,500        1,550   

Puerto Rico Electric Power Authority Revenue Notes, Series 2008

    

5.000% due 07/01/2010

     1,000        1,000   

Puerto Rico Electric Power Authority Revenue Notes, Series 2010

    

5.000% due 07/01/2012

       2,000        2,143   

5.000% due 07/01/2013

     550        599   

Puerto Rico Highway & Transportation Authority Revenue Bonds, Series 2000

    

6.000% due 07/01/2039

     1,750        1,767   
          
       7,059   
          

TEXAS 0.0%

    

Pflugerville, Texas Independent School District General Obligation Notes, (PSF-GTD Insured), Series 2010

    

5.000% due 08/15/2013

     130        146   
          


              

VIRGIN ISLANDS 0.1%

    

Virgin Islands Public Finance Authority Revenue Notes, Series 2009

    

5.000% due 10/01/2010

     375        378   
          

Total Municipal Bonds & Notes

(Cost $300,157)

       303,752   
          

U.S. TREASURY OBLIGATIONS 0.0%

    

U.S. Treasury Notes

    

1.000% due 10/31/2011

     2        2   
          

Total U.S. Treasury Obligations

(Cost $2)

       2   
          
     SHARES        

CONVERTIBLE PREFERRED SECURITIES 0.0%

    

American International Group, Inc.

    

8.500% due 08/01/2011

     1,000        10   
          

Total Convertible Preferred Securities

(Cost $75)

       10   
          
     PRINCIPAL
AMOUNT
(000s)
       

SHORT-TERM INSTRUMENTS 1.6%

    

REPURCHASE AGREEMENTS 1.6%

    

State Street Bank and Trust Co.

    

0.010% due 07/01/2010

   $   4,883        4,883   
          

(Dated 06/30/2010. Collateralized by U.S. Treasury Notes 3.125% due 04/30/2017 valued at $4,982. Repurchase proceeds are $4,883.)

    

Total Short-Term Instruments

(Cost $4,883)

       4,883   
          

Total Investments 99.2%

(Cost $306,407)

     $   309,968   
Other Assets and Liabilities (Net) 0.8%        2,420   
          
Net Assets 100.0%      $ 312,388   
          

 


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

 

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

 

(a) When-Issued security.

 

(b)

Fair Value Measurements( 1)

 

The following is a summary of the fair valuations according to the inputs used as of June 30, 2010 in valuing the Fund’s assets and liabilities:

 

Category(2)      Quoted Prices
in Active Markets
for Identical Investments
(Level 1)
    

Significant Other
Observable
Inputs

(Level 2)

    

Significant
Unobservable
Inputs

(Level 3)

   Fair Value at
06/30/2010

Corporate Bonds & Notes

     $ 0      $ 1,321      $ 0    $ 1,321

Municipal Bonds & Notes

                 

California

       0        294,184        0      294,184

Guam

       0        26        0      26

New Hampshire

       0        990        0      990

Pennsylvania

       0        969        0      969

Puerto Rico

       0        7,059        0      7,059

Texas

       0        146        0      146

Virgin Islands

       0        378        0      378

U.S. Treasury Obligations

       0        2        0      2

Convertible Preferred Securities

       10        0        0      10

Short-Term Instruments

       0        4,883        0      4,883

Investments, at value

     $ 10      $ 309,958      $ 0    $ 309,968

 

(1)

See note 4 in the Supplementary Notes to Schedule of Investments for additional information.

(2)

Refer to the Schedule of Investments for additional information.

 

See Accompanying Notes


Consolidated Schedule of Investments

CommoditiesPLUSTM Strategy Fund

June 30, 2010 (Unaudited)

 

     PRINCIPAL
AMOUNT
(000s)
    MARKET
VALUE
(000s)
 

CORPORATE BONDS & NOTES 17.3%

    

BANKING & FINANCE 14.0%

    

American Express Bank FSB

    

0.477% due 05/29/2012

   $ 1,200      $ 1,183   

American International Group, Inc.

    

5.600% due 10/18/2016

     1,500        1,377   

Banco do Brasil S.A.

    

4.500% due 01/22/2015

     900        913   

Bank of America Corp.

    

1.037% due 09/11/2012

     650        637   

Bank of Montreal

    

2.850% due 06/09/2015

     5,000        5,090   

Canadian Imperial Bank of Commerce

    

2.600% due 07/02/2015 (a)

     7,000        7,062   

Citigroup, Inc.

    

0.535% due 05/18/2011

     400        397   

5.500% due 04/11/2013

     2,000        2,081   

6.000% due 12/13/2013

     1,950        2,047   

Commonwealth Bank of Australia

    

2.900% due 09/17/2014

     7,000        7,147   

Dexia Credit Local

    

2.750% due 04/29/2014

     1,000        1,009   

FIH Erhvervsbank A/S

    

2.000% due 06/12/2013

     4,000        4,029   

General Electric Capital Corp.

    

2.625% due 12/28/2012

     2,800        2,912   

ING Bank NV

    

1.333% due 03/30/2012

     1,000        1,004   

Merrill Lynch & Co., Inc.

    

6.050% due 08/15/2012

     1,600        1,702   

Morgan Stanley

    

0.545% due 01/09/2012

     2,500        2,432   

1.029% due 03/01/2013

   EUR 2,000        2,302   

New York Life Global Funding

    

0.849% due 12/20/2013

     800        951   

NIBC Bank NV

    

2.800% due 12/02/2014

   $   14,000          14,200   

PF Export Receivables Master Trust

    

6.436% due 06/01/2015

     202        209   

Regions Financial Corp.

    

0.707% due 06/26/2012

     400        377   

RSHB Capital S.A. for OJSC Russian Agricultural Bank

    

9.000% due 06/11/2014

     400        451   

SLM Corp.

    

0.546% due 10/25/2011

     650        616   

TNK-BP Finance S.A.

    

6.250% due 02/02/2015

     400        403   

7.500% due 03/13/2013

     500        530   

TransCapitalInvest Ltd. for OJSC AK Transneft

    

5.670% due 03/05/2014

     200        204   

UBS AG

    

1.584% due 02/23/2012

     600        602   

White Nights Finance BV for Gazprom

    

10.500% due 03/08/2014

     400        465   
          
       62,332   
          

INDUSTRIALS 2.7%

    

America Movil SAB de C.V.

    

3.625% due 03/30/2015

     500        516   

Celulosa Arauco y Constitucion S.A.

    

5.625% due 04/20/2015

     500        539   

Daimler Finance North America LLC

    

7.750% due 01/18/2011

     1,000        1,033   


              

Delta Air Lines, Inc.

    

6.200% due 07/02/2018 (a)

     500        507   

GTL Trade Finance, Inc.

    

7.250% due 10/20/2017

     500        531   

Hutchison Whampoa International Ltd.

    

4.625% due 09/11/2015

     600        628   

Indian Oil Corp. Ltd.

    

4.750% due 01/22/2015

     400        410   

Noble Group Ltd.

    

6.625% due 03/17/2015

     700        717   

Petroleos Mexicanos

    

4.875% due 03/15/2015

     400        416   

Shell International Finance BV

    

3.100% due 06/28/2015

     3,000        3,051   

Total Capital S.A.

    

3.000% due 06/24/2015

     1,500        1,517   

WM Wrigley Jr. Co.

    

1.912% due 06/28/2011

     2,000        2,000   
          
       11,865   
          

UTILITIES 0.6%

    

BP Capital Markets PLC

    

0.667% due 04/11/2011

     100        96   

2.750% due 02/27/2012

     200        183   

Centrais Eletricas Brasileiras S.A.

    

7.750% due 11/30/2015

     200        231   

Columbus Southern Power Co.

    

0.937% due 03/16/2012

     500        499   

Korea Hydro & Nuclear Power Co. Ltd.

    

6.250% due 06/17/2014

     600        656   

Ras Laffan Liquefied Natural Gas Co. Ltd.

    

8.294% due 03/15/2014

     320        358   

Ras Laffan Liquefied Natural Gas Co. Ltd. III

    

5.500% due 09/30/2014

     500        536   
          
       2,559   
          

Total Corporate Bonds & Notes

(Cost $75,953)

  

  

    76,756   
          

MORTGAGE-BACKED SECURITIES 0.1%

    

Wells Fargo Mortgage-Backed Securities Trust

    

5.000% due 03/25/2036

     266        245   
          

Total Mortgage-Backed Securities

(Cost $236)

  

  

    245   
          

ASSET-BACKED SECURITIES 2.1%

    

American Express Credit Account Master Trust

    

0.390% due 02/15/2013

     350        350   

AMMC CDO

    

0.722% due 05/03/2018

     1,500        1,413   

BA Credit Card Trust

    

0.370% due 03/15/2014

     500        498   

0.380% due 11/15/2013

     560        559   

Callidus Debt Partners Fund Ltd.

    

0.564% due 04/17/2020

     498        464   

Chase Issuance Trust

    

0.370% due 03/15/2013

     500        500   

Entrust Financial Services, Inc.

    

1.389% due 10/26/2026

       2,000          1,998   

Ford Credit Auto Owner Trust

    

2.100% due 11/15/2011

     747        749   

Gallatin Funding Ltd.

    

0.686% due 08/15/2017

     1,000        932   

HSBC Home Equity Loan Trust

    

5.910% due 03/20/2036

     812        815   


              

Residential Asset Mortgage Products, Inc.

    

0.427% due 02/25/2037

     478        465   

SLC Student Loan Trust

    

0.537% due 03/15/2018

     185        184   

SLM Student Loan Trust

    

1.116% due 10/25/2013

     109        109   

1.816% due 04/25/2023

     265        274   

Structured Asset Investment Loan Trust

    

0.397% due 07/25/2036

     10        10   
          

Total Asset-Backed Securities

(Cost $9,324)

  

  

    9,320   
          

SOVEREIGN ISSUES 0.3%

    

Export-Import Bank of Korea

    

8.125% due 01/21/2014

     500        573   

Korea Development Bank

    

4.375% due 08/10/2015

     400        408   

8.000% due 01/23/2014

     500        570   
          

Total Sovereign Issues

(Cost $1,547)

  

  

    1,551   
          

SHORT-TERM INSTRUMENTS 78.6%

    

COMMERCIAL PAPER 5.5%

    

BP Capital Markets PLC

    

16.364% due 08/27/2010

     250        243   

Fannie Mae

    

0.240% due 10/05/2010

     2,700        2,695   

0.240% due 11/08/2010

     7,000        6,980   

0.255% due 09/01/2010

     8,000        7,998   

0.281% due 10/13/2010

     200        200   

Freddie Mac

    

0.243% due 10/06/2010

     2,400        2,399   

0.250% due 10/13/2010

     4,000        3,998   
          
       24,513   
          

REPURCHASE AGREEMENTS 44.2%

    

Barclays Capital, Inc.

    

0.010% due 07/01/2010

     3,700        3,700   

(Dated 06/30/2010. Collateralized by U.S. Treasury Inflation Protected Securities 2.000% - 3.625% due 01/15/2014 - 04/15/2028 valued at $3,780. Repurchase proceeds are $3,700.)

    

Credit Suisse Securities (USA) LLC

    

0.010% due 07/01/2010

       91,600          91,600   

(Dated 06/30/2010. Collateralized by U.S. Treasury Notes 1.000% - 1.875% due 10/31/2011 - 06/30/2015 valued at $93,834. Repurchase proceeds are $91,600.)

    

Deutsche Bank AG

    

0.020% due 07/01/2010

     89,000        89,000   

(Dated 06/30/2010. Collateralized by Fannie Mae 0.250% - 5.151% due 04/18/2011 - 01/24/2011 valued at $45,413 and U.S. Treasury Notes 3.375% due 11/15/2019 valued at $45,579. Repurchase proceeds are $89,000.)

    


              

JPMorgan Chase Bank N.A.

    

0.000% due 07/01/2010

     3,700        3,700   

(Dated 06/30/2010. Collateralized by U.S. Treasury Inflation Protected Securities 3.375% due 01/15/2012 valued at $3,780. Repurchase proceeds are $3,700.)

    

0.020% due 07/01/2010

     7,400        7,400   

(Dated 06/30/2010. Collateralized by Freddie Mac 5.190% due 09/30/2010 valued at $7,549. Repurchase proceeds are $7,400.)

    

State Street Bank and Trust Co.

    

0.010% due 07/01/2010

     817        817   

(Dated 06/30/2010. Collateralized by U.S. Treasury Notes 3.125% due 04/30/2017 valued at $841. Repurchase proceeds are $817.)

    
          
       196,217   
          

U.S. TREASURY BILLS 5.2%

    

0.194% due 07/01/2010 - 12/09/2010 (b)(d)

     23,069        23,055   
          
     SHARES        

PIMCO SHORT-TERM FLOATING NAV PORTFOLIO (c) 23.7%

    
       10,478,496          104,932   
          

Total Short-Term Instruments

(Cost $348,715)

  

  

    348,717   
          

PURCHASED OPTIONS (f) 0.2%

    
(Cost $995)        887   
          

Total Investments 98.6%

(Cost $436,770)

     $ 437,476   

Written Options (g) (0.2%)

(Premiums $1,129)

       (1,040
Other Assets and Liabilities (Net) 1.6%        7,174   
          
Net Assets 100.0%      $ 443,610   
          

 


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) When-Issued security.

 

(b) Coupon represents a weighted average yield.

 

(c) Affiliated to the Fund.

 

(d) Securities with an aggregate market value of $69 and cash of $9 have been pledged as collateral for the following open futures contracts on June 30, 2010:

 

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

Wheat December Futures

  

Long

   12/2010    80   $   (54

Wheat December Futures

  

Short

   12/2010    80     48   
                
           $ (6
                

 

(e) Swap agreements outstanding on June 30, 2010:

 

Total Return Swaps on Indices

 

Pay/

Receive
Total
Return on
Reference
Index

  Reference Index  

# of
Shares

or Units

   Financing Rate(1)    Notional
Amount
   Maturity
Date
   Counterparty   Unrealized
Appreciation/
(Depreciation)
 
Receive  

CSIXTR Index

  28,695   

3-Month U.S. Treasury Bill rate plus a specified spread

   $ 137,590    07/28/2010    BCLY   $ (1,470
Receive  

CSIXTR Index

  37,099   

3-Month U.S. Treasury Bill rate plus a specified spread

       180,510    07/28/2010    CSFB     (4,514
Receive  

CSIXTR Index

  27,992   

3-Month U.S. Treasury Bill rate plus a specified spread

     136,200    07/28/2010    GSC       (3,407
Receive  

DJUBSF1T Index

  175,147   

3-Month U.S. Treasury Bill rate plus a specified spread

     79,910    07/28/2010    JPM     (1,176
Receive  

DJUBSF3T Index

  70,992   

3-Month U.S. Treasury Bill rate plus a specified spread

     37,540    07/28/2010    JPM     (586
Pay  

DJUBSTR Index

  458,707   

3-Month U.S. Treasury Bill rate plus a specified spread

     117,520    07/28/2010    JPM     1,713   
                       
                  $ (9,440
                       

 

(1) Financing rate is based upon predetermined notional amounts, which may be a multiple of the number of shares or units disclosed.

 

Variance Swaps

 

Pay/
Receive
Variance(2)
   Reference Entity   

Strike

Price

   Maturity
Date
   Counterparty    Notional
Amount
    Market
Value
    Upfront Premiums
Paid/(Received)
    Unrealized
Appreciation/
(Depreciation)
 
Pay   

London Gold Market Fixing Ltd. PM

   $   0.066    03/08/2011    GSC    $ 7,000      $ (18   $ 0      $   (18
Pay   

NYMEX Natural Gas August Futures

     0.258    07/27/2010    SOG      890        23        0        23   
Pay   

NYMEX WTI Crude August Futures

     0.139    07/15/2010    JPM        3,090        59        0        59   
                                      
                 $   64      $   0      $ 64   
                                      

 

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


(f) Purchased options outstanding on June 30, 2010:

 

Options on Commodity Futures Contracts

 

Description    Exercise
Price
   Expiration
Date
   # of
Contracts
  Cost   Market
Value

Call - OTC NYMEX WTI Crude December Futures

   $   109.000    12/31/2011    336   $   995   $   887
                    

 

(g) Written options outstanding on June 30, 2010:

 

Options on Commodity Futures Contracts

 

Description    Exercise
Price
   Expiration
Date
   # of
Contracts
  Premium   Market
Value

Call - OTC NYMEX WTI Crude December Futures

   $   300.000    12/31/2011    336   $   1,129   $   1,040
                    

 

(h) Foreign currency contracts outstanding on June 30, 2010:

 

Type   Currency    Principal
Amount
Covered
by Contract
   Settlement
Month
   Counterparty   Unrealized
Appreciation
  Unrealized
(Depreciation)
    Net Unrealized
Appreciation/
(Depreciation)
 

Sell

  EUR    772    07/2010    JPM   $ 0   $   (13   $   (13

Sell

     1,869    07/2010    RBS       5     0        5   
                                
             $ 5   $ (13   $ (8
                                

 

(i)

Fair Value Measurements(1)

 

The following is a summary of the fair valuations according to the inputs used as of June 30, 2010 in valuing the Fund’s assets and liabilities:

 

Category(2)      Quoted Prices
in Active Markets
for Identical Investments
(Level 1)
      

Significant Other
Observable
Inputs

(Level 2)

      

Significant
Unobservable
Inputs

(Level 3)

     Fair Value at
06/30/2010
 

Corporate Bonds & Notes

     $ 0         $ 76,756         $ 0       $ 76,756   

Mortgage-Backed Securities

       0           245           0         245   

Asset-Backed Securities

       0           4,514           4,806         9,320   

Sovereign Issues

       0           1,551           0         1,551   

Short-Term Instruments

       104,931           243,786           0         348,717   

Purchased Options

       0           0           887         887   
                                         

Investments, at value

     $   104,931         $   326,852         $ 5,693       $   437,476   

Financial Derivative Instruments(3)

     $ (6      $ (9,384      $   (1,040    $ (10,430
                                         

Totals

     $ 104,925         $ 317,468         $ 4,653       $ 427,046   
                                         


The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ending June 30, 2010:

 

Category(2)   Beginning
Balance
at 05/28/2010
  Net
Purchases/
(Sales)
    Accrued
Discounts/
(Premiums)
  Realized
Gain/
(Loss)
  Net Change  in
Unrealized
Appreciation/
(Depreciation)(4)
    Transfers
into
Level 3
  Transfers
out of
Level 3
  Ending
Balance
at 06/30/2010
    Net Change in
Unrealized
Appreciation/
(Depreciation)
on
Investments
Held at
06/30/2010(4)
 

Asset-Backed Securities

  $   0   $ 4,810      $   1   $   0   $ (5   $   0   $   0   $ 4,806      $ (5

Purchased Options

    0     995        0     0     (108     0     0     887        (108
                                                             

Investments, at value

  $ 0   $ 5,805      $ 1   $ 0   $   (113   $ 0   $ 0   $ 5,693      $   (113

Financial Derivative Instruments(3)

  $ 0   $   (1,129   $ 0   $ 0   $ 89      $ 0   $ 0   $   (1,040   $ 89   
                                                             

Totals

  $ 0   $ 4,676      $ 1   $ 0   $ (24   $ 0   $ 0   $ 4,653      $ (24
                                                             

 

(1) See note 4 in the Supplementary Notes to Schedule of Investments for additional information.
(2) Refer to the Schedule of Investments for additional information.
(3) Financial derivative instruments may include open futures contracts, swap contracts, written options, and foreign currency contracts.
(4) Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at 06/30/2010 may be due to premiums on swaps that closed during the period.

 

See Accompanying Notes


Consolidated Schedule of Investments

CommodityRealReturn Strategy Fund®

June 30, 2010 (Unaudited)

 

     PRINCIPAL
AMOUNT
(000s)
    MARKET
VALUE
(000s)
 

CORPORATE BONDS & NOTES 9.4%

    

BANKING & FINANCE 8.5%

    

Allstate Life Global Funding Trusts

    

5.375% due 04/30/2013

   $ 43,300      $ 47,521   

Ally Financial, Inc.

    

5.375% due 06/06/2011

     12,562        12,593   

6.000% due 12/15/2011

     15,119        15,240   

6.875% due 09/15/2011

     3,900        3,973   

7.250% due 03/02/2011

     5,000        5,106   

American Express Bank FSB

    

0.477% due 05/29/2012

     200        197   

0.500% due 06/12/2012

     1,750        1,724   

5.500% due 04/16/2013

     6,800        7,354   

5.550% due 10/17/2012

     500        538   

American Express Centurion Bank

    

0.430% due 07/13/2010

     5,000        5,000   

American Express Credit Corp.

    

0.510% due 06/16/2011

     2,000        1,990   

0.526% due 12/02/2010

     6,491        6,491   

5.875% due 05/02/2013

     2,500        2,738   

7.300% due 08/20/2013

     1,570        1,779   

American General Finance Corp.

    

4.625% due 09/01/2010

     2,100        2,100   

American Honda Finance Corp.

    

1.289% due 06/20/2011

     26,700        26,860   

American International Group, Inc.

    

0.794% due 04/26/2011

   EUR 1,500        1,763   

4.000% due 09/20/2011

     200        239   

4.950% due 03/20/2012

   $ 1,150        1,153   

5.850% due 01/16/2018

     22,500        20,222   

8.175% due 05/15/2068

     23,800        18,980   

8.250% due 08/15/2018

     12,500        12,719   

AngloGold Ashanti Holdings PLC

    

5.375% due 04/15/2020

     3,600        3,665   

ANZ National International Ltd.

    

0.900% due 08/19/2014

     30,000        30,263   

6.200% due 07/19/2013

     33,200        36,819   

Banco do Brasil S.A.

    

4.500% due 01/22/2015

     14,500        14,718   

Banco Santander Chile

    

1.557% due 04/20/2012

     31,500        31,498 &nb