Virtus Opportunities Trust

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, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.


	SHARES		VALUE
EXCHANGE-TRADED FUNDS—99.5%
Consumer Discretionary Select Sector SPDR Fund		382,005	$	16,724
Consumer Staples Select Sector SPDR Fund		479,777		16,682
Health Care Select Sector SPDR Fund		444,110		16,876
Industrial Select Sector SPDR Fund		472,030		16,837
iShares Barclays 7-10 Year Treasury Bond Fund		149,905		16,179
iShares Barclays MBS Bond Fund		149,250		16,185
iShares Barclays Treasury Inflation Protected Securities Bond Fund		135,210		16,185
iShares Dow Jones U.S. Real Estate Index Fund		211,265		13,515
iShares iBoxx $ High Yield Corporate Bond Fund		181,090		16,519
iShares iBoxx Investment Grade Corporate Bond Fund		139,000		16,355
iShares MSCI EAFE^® Index Fund		667,490		33,348
iShares MSCI Emerging Markets Index Fund		858,350		33,639
SPDR S&P 500 ETF Trust Series 1		99,030		13,495
Technology Select Sector SPDR Fund		583,430		16,773
Utilities Select Sector SPDR Fund		455,730		16,857

TOTAL EXCHANGE-TRADED FUNDS (Identified Cost $266,283)				276,169

TOTAL LONG TERM INVESTMENTS—99.5% (Identified cost $266,283)				276,169

SHORT-TERM INVESTMENTS—6.8%
Money Market Mutual Funds—6.8%
Dreyfus Cash Management Fund—Institutional
Shares (seven-day effective yield 0.080%)		18,895,271		18,895

TOTAL SHORT-TERM INVESTMENTS (Identified Cost $18,895)				18,895

TOTAL INVESTMENTS—106.3% (Identified Cost $285,178)				295,064	⁽¹⁾
Other assets and liabilities, net—(6.3)%				(17,529	)

NET ASSETS—100.0%			$	277,535

Abbreviations:


ETF		Exchange-Traded Fund
SPDR		S&P Depositary Receipt

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at June 30, 2012, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2012 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

There are no Level 2 (significant observable inputs) or Level 3 (significant unobservable inputs) priced securities.


	SHARES		VALUE
COMMON STOCKS—50.3%
Consumer Discretionary—16.7%
Abercrombie & Fitch Co. Class A		4,660	$	159
Amazon.com, Inc.⁽²⁾		20,510		4,683
Apollo Group, Inc. Class A⁽²⁾		6,050		219
AutoNation, Inc.⁽²⁾		2,290		81
AutoZone, Inc.⁽²⁾		1,540		565
Bed Bath & Beyond, Inc.⁽²⁾		13,230		818
Best Buy Co., Inc.		15,620		327
Big Lots, Inc.⁽²⁾		3,570		146
BorgWarner, Inc.⁽²⁾		6,520		428
Cablevision Systems Corp. Class A		12,190		162
CarMax, Inc.⁽²⁾		12,990		337
Carnival Corp.		25,790		884
CBS Corp. Class B		36,880		1,209
Chipotle Mexican Grill, Inc.⁽²⁾		1,800		684
Coach, Inc.		16,360		957
Comcast Corp. Class A		153,430		4,905
Darden Restaurants, Inc.		7,320		371
DeVry, Inc.		3,320		103
DIRECTV Class A⁽²⁾		36,900		1,801
Discovery Communications, Inc. Class A⁽²⁾		14,510		784
Dollar Tree, Inc.⁽²⁾		13,080		704
DR Horton, Inc.		15,950		293
Expedia, Inc.		5,090		245
Family Dollar Stores, Inc.		6,590		438
Ford Motor Co.		217,150		2,082
Fossil, Inc.⁽²⁾		2,930		224
GameStop Corp. Class A		7,350		135
Gannett Co., Inc.		13,370		197
Gap, Inc. (The)		18,940		518
Genuine Parts Co.		8,880		535
Goodyear Tire & Rubber Co. (The)⁽²⁾		13,930		165
H&R Block, Inc.		16,710		267
Harley-Davidson, Inc.		13,180		603
Harman International Industries, Inc.		4,010		159
Hasbro, Inc.		6,640		225
Home Depot, Inc. (The)		87,120		4,616
International Game Technology		16,800		265
Interpublic Group of Cos., Inc. (The)		25,220		274
J.C. Penney Co., Inc.⁽²⁾		8,340		194
Johnson Controls, Inc.		38,710		1,073
Kohl’s Corp.		13,520		615
Leggett & Platt, Inc.		7,910		167


	SHARES		VALUE
Consumer Discretionary—(continued)
Lennar Corp. Class A		9,260	$	286
Lowe’s Cos., Inc.		66,300		1,886
Ltd. Brands, Inc.		13,750		585
Macy’s, Inc.		23,510		808
Marriott International, Inc. Class A		15,070		591
Mattel, Inc.		19,390		629
McDonald’s Corp.		57,850		5,121
McGraw-Hill Cos., Inc. (The)		15,920		716
Netflix, Inc.⁽²⁾		3,140		215
Newell Rubbermaid, Inc.		16,500		299
News Corp. Class A		119,910		2,673
NIKE, Inc. Class B		20,870		1,832
Nordstrom, Inc.		9,120		453
O’Reilly Automotive, Inc.⁽²⁾		7,180		601
Omnicom Group, Inc.		15,520		754
priceline.com, Inc.⁽²⁾		2,750		1,827
PulteGroup, Inc.⁽²⁾		19,210		206
Ralph Lauren Corp.		3,690		517
Ross Stores, Inc.		12,840		802
Scripps Networks Interactive, Inc. Class A		5,230		297
Sears Holdings Corp.⁽²⁾		2,090		125
Staples, Inc.		39,220		512
Starbucks Corp.		43,160		2,301
Starwood Hotels & Resorts Worldwide, Inc.		11,250		597
Target Corp.		37,640		2,190
Tiffany & Co.		7,210		382
Time Warner Cable, Inc.		17,790		1,461
Time Warner, Inc.		54,630		2,103
TJX Cos., Inc.		42,180		1,811
TripAdvisor, Inc.⁽²⁾		5,420		242
Urban Outfitters, Inc.⁽²⁾		6,350		175
VF Corp.		4,930		658
Viacom, Inc. Class B		30,040		1,412
Walt Disney Co. (The)		101,710		4,933
Washington Post Co. (The) Class B		270		101
Whirlpool Corp.		4,400		269
Wyndham Worldwide Corp.		8,310		438
Wynn Resorts Ltd.		4,520		469
Yum! Brands, Inc.		26,210		1,688

				76,582

Industrials—16.8%
3M Co.		40,920		3,666
Avery Dennison Corp.		7,360		201


	SHARES		VALUE
Industrials—(continued)
Boeing Co. (The)		44,990	$	3,343
Caterpillar, Inc.		40,000		3,396
Cintas Corp.		7,660		296
Cooper Industries plc		9,150		624
CSX Corp.		72,050		1,611
Cummins, Inc.		20,360		1,973
Danaher Corp.		37,130		1,934
Deere & Co.		25,540		2,065
Donnelley (R.R.) & Sons Co.		15,030		177
Dover Corp.		12,780		685
Dun & Bradstreet Corp.		2,750		196
Eaton Corp.		23,750		941
Emerson Electric Co.		44,670		2,081
Equifax, Inc.		9,420		439
Expeditors International of Washington, Inc.		12,220		473
Fastenal Co.		16,990		685
FedEx Corp.		19,450		1,782
First Solar, Inc.⁽²⁾		1,650		25
Flowserve Corp.		3,140		360
Fluor Corp.		14,150		698
General Dynamics Corp.		22,570		1,489
General Electric Co.		451,130		9,401
Goodrich Corp.		11,150		1,415
Grainger (W.W.), Inc.		4,590		878
Honeywell International, Inc.		47,280		2,640
Illinois Tool Works, Inc.		29,190		1,544
Ingersoll-Rand plc		17,180		725
Iron Mountain, Inc.		9,850		325
Jacobs Engineering Group, Inc.⁽²⁾		7,420		281
Joy Global, Inc.		6,090		345
L-3 Communications Holdings, Inc.		5,610		415
Lockheed Martin Corp.		16,220		1,412
Masco Corp.		22,850		317
Norfolk Southern Corp.		22,000		1,579
Northrop Grumman Corp.		15,630		997
PACCAR, Inc.		23,870		935
Pall Corp.		9,760		535
Parker Hannifin Corp.		10,960		843
Pitney Bowes, Inc.		13,200		198
Precision Castparts Corp.		8,360		1,375
Quanta Services, Inc.⁽²⁾		12,130		292
Raytheon Co.		20,980		1,187
Republic Services, Inc.		18,100		479
Robert Half International, Inc.		11,630		332


	SHARES		VALUE
Industrials—(continued)
Robinson (C.H.) Worldwide, Inc.		9,350	$	547
Rockwell Automation, Inc.		10,620		701
Rockwell Collins, Inc.		10,670		527
Roper Industries, Inc.		5,600		552
Ryder System, Inc.		5,360		193
Snap-On, Inc.		3,310		206
Southwest Airlines Co.		48,410		446
Stanley Black & Decker, Inc.		9,830		633
Stericycle, Inc.⁽²⁾		4,810		441
Textron, Inc.		20,130		501
Tyco International Ltd.		26,620		1,407
Union Pacific Corp.		29,810		3,557
United Parcel Service, Inc. Class B		56,180		4,425
United Technologies Corp.		54,440		4,112
Waste Management, Inc.		29,040		970
Xylem, Inc.		10,670		269

				77,077

Information Technology—14.4%
Accenture plc Class A		17,380		1,044
Adobe Systems, Inc.⁽²⁾		13,740		445
Advanced Micro Devices, Inc.⁽²⁾		18,270		105
Akamai Technologies, Inc.⁽²⁾		5,500		175
Altera Corp.		9,380		317
Amphenol Corp. Class A		4,760		261
Analog Devices, Inc.		8,600		324
Apple, Inc.⁽²⁾		25,460		14,869
Applied Materials, Inc.		35,450		406
Autodesk, Inc.⁽²⁾		6,780		237
Automatic Data Processing, Inc.		13,590		756
BMC Software, Inc.⁽²⁾		4,640		198
Broadcom Corp. Class A⁽²⁾		13,990		473
CA, Inc.		10,040		272
Cisco Systems, Inc.		144,440		2,480
Citrix Systems, Inc.⁽²⁾		5,350		449
Cognizant Technology Solutions Corp. Class A⁽²⁾		8,540		512
Computer Sciences Corp.		4,430		110
Corning, Inc.		42,070		544
Dell, Inc.⁽²⁾		40,770		510
eBay, Inc.⁽²⁾		31,840		1,338
Electronic Arts, Inc.⁽²⁾		9,210		114
EMC Corp.⁽²⁾		57,950		1,485
F5 Networks, Inc.⁽²⁾		2,140		213
Fidelity National Information Services, Inc.		7,020		239


	SHARES		VALUE
Information Technology—(continued)
Fiserv, Inc.⁽²⁾		3,900	$	282
FLIR Systems, Inc.		4,650		91
Google, Inc. Class A⁽²⁾		6,850		3,973
Harris Corp.		3,330		139
Hewlett-Packard Co.		44,710		899
Intel Corp.		116,870		3,115
International Business Machines Corp.		31,090		6,081
Intuit, Inc.		8,390		498
Jabil Circuit, Inc.		5,900		120
JDS Uniphase Corp.⁽²⁾		8,150		90
Juniper Networks, Inc.⁽²⁾		14,890		243
KLA-Tencor Corp.		4,900		241
Lam Research Corp.⁽²⁾		5,490		207
Lexmark International, Inc. Class A		2,460		65
Linear Technology Corp.		6,740		211
LSI Corp.⁽²⁾		17,270		110
MasterCard, Inc. Class A		2,910		1,252
Microchip Technology, Inc.		5,680		188
Micron Technology, Inc.⁽²⁾		28,700		181
Microsoft Corp.		203,670		6,230
Molex, Inc.		4,330		104
Motorola Solutions, Inc.		8,070		388
NetApp, Inc.⁽²⁾		10,400		331
NVIDIA Corp.⁽²⁾		17,820		246
Oracle Corp.		105,970		3,147
Paychex, Inc.		9,180		288
QUALCOMM, Inc.		46,980		2,616
Red Hat, Inc.⁽²⁾		5,690		321
SAIC, Inc.		7,450		90
Salesforce.com, Inc.⁽²⁾		3,950		546
SanDisk Corp.⁽²⁾		7,170		262
Seagate Technology plc		10,000		247
Symantec Corp.⁽²⁾		20,130		294
TE Connectivity Ltd.		11,650		372
Teradata Corp.⁽²⁾		5,040		363
Teradyne, Inc.⁽²⁾		6,480		91
Texas Instruments, Inc.		31,640		908
Total System Services, Inc.		4,970		119
VeriSign, Inc.⁽²⁾		4,770		208
Visa, Inc. Class A		13,570		1,678
Western Digital Corp.⁽²⁾		6,680		204
Western Union Co. (The)		17,080		288
Xerox Corp.		39,250		309
Xilinx, Inc.		7,700		259


	SHARES		VALUE
Information Technology—(continued)
Yahoo!, Inc.⁽²⁾		33,940	$	537

				66,308

Telecommunication Services—2.4%
AT&T, Inc.		159,180		5,676
CenturyLink, Inc.		17,660		697
Crown Castle International Corp.⁽²⁾		7,020		412
Frontier Communications Corp.		32,650		125
MetroPCS Communications, Inc.⁽²⁾		9,470		57
Sprint Nextel Corp.⁽²⁾		84,790		277
Verizon Communications, Inc.		77,570		3,447
Windstream Corp.		17,770		172

				10,863

TOTAL COMMON STOCKS (Identified Cost $216,312)				230,830

EXCHANGE-TRADED FUNDS—49.5%
Consumer Staples Select Sector SPDR Fund		2,169,050		75,418
Health Care Select Sector SPDR Fund		2,011,790		76,448
Utilities Select Sector SPDR Fund		2,036,270		75,322

TOTAL EXCHANGE-TRADED FUNDS (Identified Cost $191,187)				227,188

TOTAL LONG TERM INVESTMENTS—99.8% (Identified cost $407,499)				458,018

SHORT-TERM INVESTMENTS—0.3%
Money Market Mutual Funds—0.3%
BlackRock Liquidity Funds TempFund Portfolio - Insitutional Shares (seven-day effective yield 0.150%)		1,308,091		1,308

TOTAL SHORT-TERM INVESTMENTS (Identified Cost $1,308)				1,308

TOTAL INVESTMENTS—100.1% (Identified Cost $408,807)				459,326	⁽¹⁾
Other assets and liabilities, net—(0.1)%				(580	)

NET ASSETS—100.0%			$	458,746


Abbreviations:

plc Public Limited Co.
SPDR S&P Depositary Receipt

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at June 30, 2012, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Non-income producing.

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2012 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

There are no Level 2 (significant observable inputs) or Level 3 (significant unobservable inputs) priced securities.

($ reported in thousands)


	SHARES		VALUE
AFFILIATED MUTUAL FUNDS—66.4%
Equity Funds—58.5%
Virtus Global Commodities Stock Fund Class I		1,801,904	$	15,821
Virtus Global Infrastructure Fund Class I		2,500,387		30,980
Virtus Global Real Estate Securities Fund Class I		345,699		7,536
Virtus International Real Estate Securities Fund Class I		3,161,950		18,908
Virtus Real Estate Securities Class I		594,794		20,485

				93,730

Fixed Income Funds—7.9%
Virtus Senior Floating Rate Fund Class I		1,312,696		12,615

TOTAL AFFILIATED MUTUAL FUNDS (Identified Cost $91,834)				106,345

EXCHANGE-TRADED FUNDS—33.3%
PowerShares DB Commodity Index Tracking Fund⁽²⁾		800,900		20,623
PowerShares DB G10 Currency Harvest Fund⁽²⁾		834,800		20,545
WisdomTree Managed Futures Strategy Fund⁽²⁾		307,500		12,229

TOTAL EXCHANGE-TRADED FUNDS (Identified Cost $52,083)				53,397

TOTAL LONG TERM INVESTMENTS—99.7% (Identified cost $143,917)				159,742

SHORT-TERM INVESTMENTS—0.4%
Money Market Mutual Funds—0.4%
BlackRock Liquidity Funds TempFund Portfolio - Insitutional Shares (seven-day effective yield 0.150%)		672,205		672

TOTAL SHORT-TERM INVESTMENTS (Identified Cost $672)				672

TOTAL INVESTMENTS—100.1% (Identified Cost $144,589)				160,414	⁽¹⁾
Other assets and liabilities, net—(0.1)%				(83	)

NET ASSETS—100.0%			$	160,331

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at June 30, 2012, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Non-income producing.

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2012 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

There are no Level 2 (significant observable inputs) or Level 3 (significant unobservable inputs) priced securities.


	PAR VALUE		VALUE
U.S. GOVERNMENT SECURITIES—30.4%
U.S. Treasury Bond 3.500%, 2/15/39	$	6,555	$	7,595
U.S. Treasury Note
0.250%, 11/30/13⁽⁹⁾		15,410		15,400
1.000%, 8/31/16⁽⁹⁾		13,170		13,383
1.375%, 11/30/18		1,530		1,566
2.000%, 11/15/21		10,510		10,905

TOTAL U.S. GOVERNMENT SECURITIES (Identified Cost $46,179)				48,849

MUNICIPAL BONDS—2.7%
Michigan—0.1%
City of Flat Rock Finance Authority, Taxable Series A, 6.750%, 10/1/16		75		79

Pennsylvania—0.5%
Commonwealth of Pennsylvania, Series 1 5.000%, 6/1/22		650		818

Rhode Island—0.6%
City of Woonsocket Pension Funding Taxable (AGM Insured) 5.660%, 7/15/13		1,000		1,032

Virginia—0.5%
Commonwealth Public Schools Authority, School Financing Series 1997 5.000%, 8/1/22		660		830

Washington—0.5%
State of Washington, Motor Vehicle Series R- 2012D 5.000%, 7/1/22		635		794

Wisconsin—0.5%
State of Wisconsin, Series 2 5.000%, 11/1/22		635		783

TOTAL MUNICIPAL BONDS (Identified Cost $4,339)				4,336

FOREIGN GOVERNMENT SECURITIES—0.3%
United Mexican States 4.750%, 3/8/44		515		555

TOTAL FOREIGN GOVERNMENT SECURITIES (Identified Cost $508)				555

MORTGAGE-BACKED SECURITIES—33.0%
Agency—26.4%
FHLMC
7.500%, 4/1/14		5		5


	PAR VALUE		VALUE
Agency—(continued)
7.000%, 4/1/16	$	10	$	11
7.000%, 1/1/33		128		150
6.500%, 2/1/35		2,363		2,704
5.000%, 7/1/35		2,311		2,535
5.000%, 12/1/35		78		87
FNMA
7.000%, 5/1/14		5		5
6.000%, 10/1/14		72		77
6.500%, 6/1/16		56		61
6.000%, 7/1/17		35		39
5.500%, 9/1/17		80		87
0.000%, 10/9/19		900		730
5.000%, 4/1/20		208		225
4.000%, 6/1/20		105		112
5.000%, 8/1/21		48		52
6.000%, 5/1/29		88		99
6.500%, 5/1/30		4		4
7.500%, 3/1/31		64		79
7.000%, 7/1/31		50		60
7.000%, 9/1/31		77		90
6.500%, 3/1/32		69		79
5.000%, 5/1/33		1,119		1,248
6.000%, 11/1/34		531		593
5.500%, 4/1/36		263		291
5.500%, 9/1/36		1,201		1,320
6.500%, 5/1/37		838		946
6.000%, 9/1/37		37		41
6.000%, 1/1/38		82		91
6.000%, 2/1/38		85		95
6.000%, 3/1/38		474		529
6.500%, 3/1/38		3,217		3,682
5.500%, 4/1/38		317		350
5.500%, 6/1/38		204		225
6.000%, 7/1/38		2,482		2,766
6.000%, 8/1/38		95		104
6.000%, 8/1/38		422		471
6.000%, 8/1/38		223		250
6.000%, 8/1/38		1,125		1,254
5.000%, 6/1/39		1,629		1,798
6.000%, 8/1/39		1,919		2,119
5.000%, 9/1/39		412		455
5.500%, 9/1/39		2,130		2,343


	PAR VALUE			VALUE
Agency—(continued)
4.500%, 9/1/40	$	982		$	1,090
3.000%, 12/31/49⁽¹⁰⁾		5,350			5,488
3.500%, 12/31/49⁽¹⁰⁾		6,120			6,434
FNMA 99-M2, B 6.550%, 3/25/29⁽²⁾		866			1,019
GNMA
8.500%, 11/15/22		—	⁽⁸⁾		—	⁽⁸⁾
6.500%, 9/15/28		60			70
7.500%, 9/15/29		122			149

					42,512

Non-Agency—6.6%
American Tower Trust 07-1A, AFX 144A 5.420%, 4/15/37⁽³⁾		190			202
Bear Stearns Commercial Mortgage Securities, Inc.
05-PWR9, A4B 4.943%, 9/11/42		1,130			1,188
07-T28, A3 5.793%, 9/11/42		1,250			1,312
Commercial Mortgage Pass-Through Certificates 07-C9, A4 5.811%, 12/10/49⁽²⁾		125			146
Credit Suisse Mortgage Capital Certificates 06-C1, A3 5.416%, 2/15/39⁽²⁾		69			70
08-C1, AM 144A 6.408%, 2/15/41⁽²⁾⁽³⁾		1,155			1,072
JPMorgan Chase Commercial Mortgage Securities Corp. 07-CB18, A3 5.447%, 6/12/47		1,259			1,328
Morgan Stanley Capital I
07-T27, A4 5.657%, 6/11/42⁽²⁾		1,150			1,336
05-IQ10, A4B 5.284%, 9/15/42⁽²⁾		855			922
06-IQ11, A4 5.894%, 10/15/42⁽²⁾		875			985
Wachovia Bank Commercial Mortgage Trust 06-C23, A5 5.416%, 1/15/45⁽²⁾		1,830			2,040

					10,601

TOTAL MORTGAGE-BACKED SECURITIES (Identified Cost $50,407)					53,113

CORPORATE BONDS AND NOTES—30.5%
Consumer Discretionary—2.7%
AMC Entertainment, Inc. 9.750%, 12/1/20		600			651
Brown Shoe Co., Inc. 7.125%, 5/15/19		525			519
CCO Holdings LLC / CCO Holdings Capital Corp. 6.500%, 4/30/21		440			471
Discovery Communications LLC 3.700%, 6/1/15		225			240
Landry’s, Inc. 144A 9.375%, 5/1/20⁽³⁾		260			266
NBC Universal Media LLC


	PAR VALUE		VALUE
Consumer Discretionary—(continued)
2.100%, 4/1/14	$	395	$	402
4.375%, 4/1/21		350		385
Rent-A-Center, Inc. 6.625%, 11/15/20		365		391
Spencer Spirit Holdings, Inc. / Spencer Gifts LLC / Spirit Halloween Superstores 144A 11.000%, 5/1/17⁽³⁾		155		160
Time Warner Cable, Inc.
5.000%, 2/1/20		390		438
4.000%, 9/1/21		265		279
5.500%, 9/1/41		65		71
United Artists Theatre Circuit, Inc. Series BD-1 9.300%, 7/1/15⁽⁴⁾⁽⁵⁾		16		16

				4,289

Consumer Staples—1.7%
Altria Group, Inc. 9.250%, 8/6/19		145		202
Beverages & More, Inc. 144A 9.625%, 10/1/14⁽³⁾		290		303
Heineken NV 144A 3.400%, 4/1/22⁽³⁾		570		584
Kraft Foods, Inc.
2.625%, 5/8/13		160		162
144A 2.250%, 6/5/17⁽³⁾		195		200
144A 3.500%, 6/6/22⁽³⁾		285		293
144A 5.000%, 6/4/42⁽³⁾		385		408
Philip Morris International, Inc. 6.875%, 3/17/14		155		171
Sysco Corp. 2.600%, 6/12/22		350		349

				2,672

Energy—2.0%
Copano Energy LLC / Copano Energy Finance Corp. 7.125%, 4/1/21		30		31
Kinder Morgan Energy Partners LP 5.850%, 9/15/12		240		242
Linn Energy LLC / Linn Energy Finance Corp. 7.750%, 2/1/21		610		641
OGX Austria GmbH 144A 8.500%, 6/1/18⁽³⁾		560		501
Petrobras International Finance Co. 5.375%, 1/27/21		515		555
Petrohawk Energy Corp. 7.250%, 8/15/18		280		315
Petropower I Funding Trust 144A 7.360%, 2/15/14⁽³⁾⁽⁵⁾		42		43
Plains All American Pipeline LP / Plains All American Finance Corp. 3.650%, 6/1/22		365		373


	PAR VALUE		VALUE
Energy—(continued)
5.150%, 6/1/42	$	190	$	201
Woodside Finance Ltd. 144A 4.600%, 5/10/21⁽³⁾		315		338

				3,240

Financials—13.2%
Ally Financial, Inc. 5.500%, 2/15/17		670		682
American Express Co. 7.250%, 5/20/14		455		505
Bank of America Corp.
5.750%, 8/15/16		595		619
5.625%, 7/1/20		495		530
Bear Stearns Cos., Inc. LLC (The) 7.250%, 2/1/18		330		395
Boston Properties LP 3.850%, 2/1/23		380		384
Capital One Financial Corp.
7.375%, 5/23/14		210		231
6.150%, 9/1/16		355		397
Chubb Corp. 6.375%, 3/29/67⁽²⁾		250		258
Citigroup, Inc. 5.000%, 9/15/14		935		959
CNA Financial Corp. 5.875%, 8/15/20		660		726
CNL Lifestyle Properties, Inc. 7.250%, 4/15/19		225		208
CVS Pass-Through-Trust 144A 7.507%, 1/10/32⁽³⁾		253		314
Developers Diversified Realty Corp. 7.875%, 9/1/20		640		767
Digital Realty Trust LP 5.250%, 3/15/21		625		666
Duke Realty LP 5.950%, 2/15/17		545		603
E*Trade Financial Corp. 7.875%, 12/1/15		215		219
Felcor Lodging LP 6.750%, 6/1/19		560		576
Ford Motor Credit Co. LLC 5.000%, 5/15/18		580		618
General Electric Capital Corp.
1.875%, 9/16/13		630		637
4.650%, 10/17/21		85		94
Series A 7.125%, 12/15/49⁽²⁾		590		623
GFI Group, Inc. 8.375%, 7/19/18		870		735
Goldman Sachs Group, Inc. (The)
5.125%, 1/15/15		255		266
6.000%, 6/15/20		360		385
5.750%, 1/24/22		320		338
International Lease Finance Corp. 4.875%, 4/1/15		500		503
JPMorgan Chase & Co.
5.125%, 9/15/14		440		467
3.450%, 3/1/16		365		378
KeyCorp. 5.100%, 3/24/21		405		452
Lincoln National Corp. 4.200%, 3/15/22		530		530
MetLife, Inc. 5.000%, 6/15/15		435		478


	PAR VALUE		VALUE
Financials—(continued)
Morgan Stanley 5.550%, 4/27/17	$	330	$	334
Oppenheimer Holdings, Inc. 8.750%, 4/15/18		130		130
Prudential Financial, Inc.
3.625%, 9/17/12		410		412
6.200%, 1/15/15		290		318
7.375%, 6/15/19		250		305
8.875%, 6/15/38⁽²⁾		360		428
QBE Capital Funding III Ltd. 144A 7.250%, 5/24/41⁽²⁾⁽³⁾		250		226
Regions Financial Corp.
4.875%, 4/26/13		520		528
5.750%, 6/15/15		520		546
Resona Bank Ltd. 144A 5.850%, 9/29/49^(2)(3)(6)(7)		830		854
SunTrust Bank, Inc. 5.250%, 11/5/12		210		213
UPCB Finance VI Ltd. 144A 6.875%, 1/15/22⁽³⁾		590		605
Ventas Realty LP / Ventas Capital Corp. 4.250%, 3/1/22		180		181
Wells Fargo & Co.
3.676%, 6/15/16		310		330
4.600%, 4/1/21		270		301

				21,254

Health Care—2.0%
Aviv Healthcare Properties LP / Aviv Healthcare Capital Corp. 7.750%, 2/15/19		635		657
Boston Scientific Corp. 6.000%, 1/15/20		305		364
Express Scripts Holding Co.
144A 2.100%, 2/12/15⁽³⁾		570		576
144A 2.650%, 2/15/17⁽³⁾		570		580
Gilead Sciences, Inc. 4.400%, 12/1/21		325		359
Kinetic Concepts, Inc. 144A 12.500%, 11/1/19⁽³⁾		635		581
Tenet Healthcare Corp. 6.250%, 11/1/18		170		181

				3,298

Industrials—1.8%
DynCorp International, Inc. 10.375%, 7/1/17		660		568
Hutchison Whampoa International ll Ltd. 144A 5.750%, 9/11/19⁽³⁾		250		283
Phillips 66
144A 4.300%, 4/1/22⁽³⁾		515		542
144A 5.875%, 5/1/42⁽³⁾		340		366
United Technologies Corp. 1.200%, 6/1/15		170		172


	PAR VALUE		VALUE
Industrials—(continued)
4.500%, 6/1/42	$	545	$	600
Weatherford International Ltd. 4.500%, 4/15/22		310		318

				2,849

Information Technology—1.0%
EarthLink, Inc. 8.875%, 5/15/19		640		627
Lender Processing Services, Inc. 8.125%, 7/1/16		550		576
Xerox Corp. 4.500%, 5/15/21		425		441

				1,644

Materials—1.6%
Vale Overseas Ltd. 4.375%, 1/11/22		330		336
American Rock Salt Co. LLC 144A 8.250%, 5/1/18⁽³⁾		795		692
BHP Billiton Finance USA Ltd. 1.625%, 2/24/17		375		378
Dow Chemical Co. (The) 6.000%, 10/1/12		465		471
5.900%, 2/15/15		455		507
4.250%, 11/15/20		200		217

				2,601

Telecommunication Services—1.7%
AT&T, Inc.
4.450%, 5/15/21		250		283
3.875%, 8/15/21		425		463
CenturyLink, Inc. Series S, 6.450%, 6/15/21		495		516
Digicel Group Ltd. 144A 8.875%, 1/15/15⁽³⁾		600		609
GCI, Inc. 8.625%, 11/15/19		200		211
NII Capital Corp. 7.625%, 4/1/21		735		634

				2,716

Utilities—2.8%
Atmos Energy Corp. 6.350%, 6/15/17		305		362
Calpine Corp.
144A 7.875%, 7/31/20⁽³⁾		145		160
144A 7.500%, 2/15/21⁽³⁾		375		407
CMS Energy Corp.
2.750%, 5/15/14		155		157
6.250%, 2/1/20		545		608
Dominion Resources, Inc. 8.875%, 1/15/19		100		136
El Paso Pipeline Partners Operating Co. LLC 7.500%, 11/15/40		755		962
Energy Transfer Partners LP 5.200%, 2/1/22		60		64


	PAR VALUE		VALUE
Utilities—(continued)
6.500%, 2/1/42	$	365	$	392
Georgia Power Co. 6.000%, 11/1/13		190		203
Nevada Power Co. Series O 6.500%, 5/15/18		290		357
Virginia Electric & Power Co. Series A 5.400%, 1/15/16		545		624

				4,432

TOTAL CORPORATE BONDS AND NOTES (Identified Cost $46,656)				48,995

LOAN AGREEMENTS⁽²⁾—1.3%
Consumer Discretionary—0.6%
Chrysler Group LLC / Chrysler Group Co-Issuer, Inc. Tranche B, 6.000%, 5/24/17		470		475
Roundy’s Supermarkets, Inc. Tranche B, 5.750%, 2/13/19		299		300
Transtar Industries, Inc. Second Lien, 10.250%, 12/21/17		250		251

				1,026

Financials—0.2%
Pinnacle Foods Finance LLC Tranche E, 4.750%, 10/17/18		299		297

Materials—0.5%
Emerald Performance Materials LLC 6.750%, 5/18/18		275		274
Kronos Worldwide, Inc. 2.625%, 6/13/18		500		500

				774

TOTAL LOAN AGREEMENTS (Identified Cost $2,069)				2,097


	SHARES		VALUE
PREFERRED STOCK⁽²⁾—0.9%
Financials—0.9%
Citigroup Capital XIII 7.875%,		16,200		442
GMAC Capital Trust I Series 8.125%2		32,800		789
JPMorgan Chase & Co. 7.90%⁽²⁾		280,000		307

TOTAL PREFERRED STOCK (Identified Cost $1,505)				1,538

TOTAL LONG TERM INVESTMENTS—99.1% (Identified cost $151,663)				159,483

($ reported in thousands)


	SHARES		VALUE
SHORT-TERM INVESTMENTS—10.0%
Money Market Mutual Funds—10.0%
BlackRock Liquidity Funds TempFund Portfolio - Insitutional Shares (seven-day effective yield 0.150%)		16,026,261	$	16,026

TOTAL SHORT-TERM INVESTMENTS (Identified Cost $16,026)				16,026

TOTAL INVESTMENTS—109.1% (Identified Cost $167,689)				175,509	⁽¹⁾
Other assets and liabilities, net—(9.1)%				(14,670	)

NET ASSETS—100.0%			$	160,839

Abbreviations:



AGM		Assured Guaranty Municipal Corp.
FHLMC		Federal Home Loan Mortgage Corporation (“Freddie Mac”).
FNMA		Federal National Mortgage Association (“Fannie Mae”).
GmbH		Limited liability company.
GNMA		Government National Mortgage Association (“Ginnie Mae”)
N.V.		Naamloze Vennootschap a public limited liability company (Netherlands).

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at June 30, 2012, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Variable or step coupon security; interest rate shown reflects the rate in effect at June 30, 2012.

⁽³⁾	Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2012, these securities amounted to a value of $11,165 or 6.9% of net assets.

⁽⁴⁾	Security valued at fair value as determined in good faith by or under the direction of the Trustees. This security is disclosed as a level 3 security in the disclosure table located after the Schedule of Investments.

⁽⁵⁾	Illiquid security.

⁽⁶⁾	No contractual maturity date

⁽⁷⁾	Interest payments may be deferred.

⁽⁸⁾	Amounts are less than $500.

⁽⁹⁾	All or a portion segregated as collateral for futures contracts and delayed delivery transaction.

⁽¹⁰⁾	This security has a delayed delivery settlement date.

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2012 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

The following is a reconciliation of assets of the Fund for Level 3 investments for


	PAR VALUE		VALUE
MUNICIPAL TAX-EXEMPT BONDS⁽²⁾—96.8%
Development Revenue—5.7%
Hercules Redevelopment Agency, Tax-Allocation (AMBAC Insured) 5.000%, 8/1/29	$	500	$	325
Ontario Redevelopment Financing Authority, (NATL Insured) 5.250%, 8/1/13		500		501
San Diego Redevelopment Agency, Tax Allocation Series B (AMBAC Insured) 5.350%, 9/1/24		1,000		1,001
Tax Allocation Series A (AMBAC Insured) 4.750%, 9/1/30		500		502
Santa Clara Redevelopment Agency, (NATL Insured) 5.000%, 6/1/22		1,000		1,026

				3,355

General Obligation—17.2%
Antelope Valley Union High School District, Series A (NATL Insured) 5.000%, 2/1/27		525		532
Brea Olinda Unified School District, Series A (NATL, FGIC Insured) 6.000%, 8/1/15		150		173
Gilroy Unified School District, (NATL, FGIC Insured) 5.000%, 8/1/27		500		515
Los Angeles Unified School District, 2002 Election Series C (AGM Insured) 5.000%, 7/1/24		500		568
Series A-1 (NATL Insured) 4.500%, 1/1/28		500		531
New Haven Unified School District, (AGC Insured) 0.000%, 8/1/33		1,500		511
Norwalk—La Mirada Unified School District, 2002 Election Series D (AGM Insured) 0.000%, 8/1/33		1,475		495
Placer Union High School District, (AGM Insured) 0.000%, 8/1/32		1,500		546
Rancho Santiago Community College District, 2002 Election Series C (AGM Insured) 0.000%, 9/1/27		1,200		611
San Rafael City High School District, 2002 Election Series B (NATL, FGIC Insured) 0.000%, 8/1/26		1,000		545
State of California, 5.500%, 3/1/26		500		567
5.000%, 6/1/32		675		720
5.000%, 9/1/32		500		546


	PAR VALUE		VALUE
General Obligation—(continued)
5.000%, 11/1/32	$	250	$	268
4.500%, 10/1/36		500		505
5.000%, 12/1/37		250		264
6.000%, 4/1/38		250		290
Walnut Valley Unified School District, Series A (NATL Insured) 0.000%, 8/1/19		3,095		1,919

				10,106

General Revenue—18.6%
Anaheim Public Financing Authority, Series C (AGM Insured) 6.000%, 9/1/16		1,600		1,852
City of Pomona, Certificates of Participation (AMBAC Insured) 5.500%, 6/1/28		1,000		1,041
Commonwealth of Puerto Rico Sales Tax Financing Corp., 5.000%, 8/1/46		500		529
Golden State Tobacco Securitization Corp., Series A-1 5.125%, 6/1/47		1,250		904
Los Angeles County Public Works Financing Authority, Series A (AGM Insured) 5.500%, 10/1/18		320		356
North City West School Facilities Financing Authority, Series B (AMBAC Insured) 5.250%, 9/1/19		1,000		1,178
Sacramento Area Flood Control Agency, (BHAC Insured) 5.500%, 10/1/28		350		408
5.000%, 10/1/37		750		814
San Joaquin General Hospital Project, Certificates of Participation (NATL Insured) 5.250%, 9/1/12		100		100
South Bay Regional Public Communications Authority, Series B (ACA Insured) 4.750%, 1/1/31		535		501
State of California Public Works Board, Department of Health Services, Series B (XLCA Insured) 5.000%, 11/1/17		460		504
Department of General Services, Series A 6.125%, 4/1/29		500		581
Various Capital Projects, Series G-1 5.750%, 10/1/30		500		562
Department of Forestry & Fire Protection, Series E 5.000%, 11/1/32		500		522
University of California, Department of Mental Health, Series A 5.500%, 6/1/16		1,000		1,079

				10,931


	PAR VALUE		VALUE
Higher Education Revenue—7.3%
California Educational Facilities Authority, Stanford University, 5.250%, 4/1/40	$	500	$	702
Pomona Colllege, Series A 5.000%, 7/1/45		500		515
California State University, Series A (NATL, FGIC Insured) 5.000%, 11/1/26		250		259
Series A (NATL, FGIC Insured) 5.250%, 11/1/38		635		705
University of California, Series D (NATL, FGIC Insured) 5.000%, 5/15/28		500		540
Regents Medical, Series A 4.750%, 5/15/31		500		532
Series G (NATL, FGIC Insured) 4.750%, 5/15/35		525		543
Series B 4.750%, 5/15/38		500		507

				4,303

Medical Revenue—6.1%
California Health Facilities Financing Authority, Stanford Hospital and Clinics, Series A 5.000%, 11/15/13		125		133
Cedars-Sinai Medical Center, 5.000%, 11/15/34		500		521
Providence Health & Services, Series C 6.500%, 10/1/38		295		356
Kaiser Permanente, Series A 5.250%, 4/1/39		500		532
California Statewide Communities Development Authority, Kaiser Permanente, Series B 5.000%, 3/1/41		500		521
Sutter Health, Series B 5.625%, 8/15/42		1,000		1,006
St. Joseph Health System, (FGIC Insured) 5.750%, 7/1/47		500		548

				3,617

Natural Gas Revenue—1.3%
Roseville Natural Gas Financing Authority, 5.000%, 2/15/24		750		784

Power Revenue—3.8%
Imperial Irrigation District, Series B 5.000%, 11/1/36		300		326
Northern California Power Agency, 5.000%, 7/1/32		200		224
Sacramento Municipal Utilities District Financing Authority, (NATL Insured) 4.750%, 7/1/26		500		524
5.000%, 8/15/26		500		580


	PAR VALUE		VALUE
Power Revenue—(continued)
Southern California Public Power Authority, Series 1, 5.000%, 7/1/28	$	500	$	569

				2,223

Pre-Refunded—20.1%
Butte-Glenn Community College District, Series A Pre-refunded 8/1/12 @ 101 (NATL Insured) 5.500%, 8/1/19		1,000		1,014
California Health Facilities Financing Authority, Providence Health & Services, Series C, Pre-refunded 10/1/18 @100 6.500%, 10/1/18		5		7
California Infrastructure & Economic Development Bank, Pre-refunded 7/1/26 @100 (AMBAC Insured) 5.125%, 7/1/37		500		664
Contra Costa County Home Mortgage, (GNMA Collateralized) 7.500%, 5/1/14⁽³⁾		500		565
Grossmont-Cuyamaca Community College District, Election of 2002 Series A Pre-refunded 8/1/13 @100 (NATL Insured) 5.000%, 8/1/19		210		220
Los Angeles Harbor Department, 7.600%, 10/1/18⁽³⁾		660		793
Metropolitan Water District of Southern California,
Series B-1 Pre-refunded 10/1/13 @ 100 (NATL, FGIC Insured) 5.000%, 10/1/36		860		911
Series B-1 Pre-refunded 10/1/13 @100 (NATL, FGIC Insured) 5.000%, 10/1/36		140		148
Northern California Power Agency, Series A Pre-refunded 7/1/21 @ 100 (AMBAC Insured) 7.500%, 7/1/23		195		271
Riverside County Single Family,
Series B (GNMA Collateralized) 8.625%, 5/1/16⁽³⁾		1,000		1,276
Series A (GNMA Collateralized) 7.800%, 5/1/21⁽³⁾		4,000		5,771
Stockton Housing Facility, Series A Pre-refunded 9/20/17 @ 100 (GNMA Collateralized) 5.600%, 3/20/28		185		186

				11,826

Transportation Revenue—5.9%
Alameda Corridor Transportation Authority, Series A (NATL Insured) 5.125%, 10/1/17		125		125
Bay Area Toll Authority,


	PAR VALUE		VALUE
Transportation Revenue—(continued)
Series F-1 5.000%, 4/1/34	$	500	$	556
Series F-1 5.125%, 4/1/39		580		642
City of Long Beach Airport, Series A 5.000%, 6/1/30		200		219
Los Angeles International Airport, Series A 5.000%, 5/15/40		510		558
San Diego County Regional Airport Authority, Series A 5.000%, 7/1/40		250		267
Series B 5.000%, 7/1/40		500		535
San Francisco Municipal Transporation Agency 5.000%, 3/1/42		500		547

				3,449

Water & Sewer Revenue—10.8%
Alameda County Water District Financing Authority, 3.500%, 6/1/41		1,000		939
City of San Francisco Public Utilities Commission, Water Revenue
4.000%, 11/1/32		250		255
4.000%, 11/1/41		500		491
Delta Diablo Sanitation District, Certificates of Participation (NATL Insured) 0.000%, 12/1/16		1,070		981
East Bay Municipal Utility District, (NATL Insured) 5.000%, 6/1/35		500		543
El Dorado Irrigation District & El Dorado Water Agency, Certificates of Participation, Series A (NATL, FGIC Insured) 5.250%, 3/1/16		365		375
Irvine Ranch Water District, Certificates of Participation, 5.000%, 3/1/24		500		581
Orange County Sanitation District, Series A 3.000%, 2/1/31		750		713
Sacramento Suburban Water District, 5.000%, 11/1/25		250		299
Santa Margarita-Dana Point Authority, 5.125%, 8/1/38		600		644
Westlands Water District, Certificates of Participation (NATL Insured) 5.250%, 9/1/14		500		508

				6,329

TOTAL MUNICIPAL TAX-EXEMPT BONDS (Identified Cost $53,049)				56,923

TOTAL LONG TERM INVESTMENTS—96.8% (Identified cost $53,049)				56,923


	SHARES		VALUE
SHORT-TERM INVESTMENTS—3.3%
Money Market Mutual Funds—3.3%
BlackRock Liquidity Funds TempFund Portfolio - Insitutional Shares (seven-day effective yield 0.150%)		1,950,641	$	1,951

TOTAL SHORT-TERM INVESTMENTS (Identified Cost $1,951)				1,951

TOTAL INVESTMENTS—100.1% (Identified Cost $55,000)				58,874	⁽¹⁾
Other assets and liabilities, net—(0.1)%				(54	)

NET ASSETS—100.0%			$	58,820

Abbrevations


ACA		American Capital Access Financial Guarantee Corp.
AGC		Assured Guaranty Corp.
AGM		Assured Guaranty Municipal Corp.
AMBAC		American Municipal Bond Assurance Corp.
BHAC		Berkshire Hathaway Assurance Corp.
FGIC		Financial Guaranty Insurance Company
GNMA		Government National Mortgage Association (“Ginnie Mae”)
NATL		National Public Finance Guarantee Corp.
XLCA		XL Capital Assurance

Footnote Legend

⁽¹⁾	Federal Income Tax Information: For tax information at June 30, 2012, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾

At June 30, 2012, the concentration of the Fund’s investments by state or territory determined as a percentage of net assets is as follows: California 96%. At June 30, 2012, 62% of the securities in the portfolio are backed by insurance of financial institutions and financial guaranty assurance agencies.Insurers with a concentration greater than 10% of net assets are as follows:NATL 23.0%, and GNMA 13.8%.

⁽³⁾	Escrowed to maturity.

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2012 (See Security Valuation Note 1A in the Notes to Schedules of Investments):


	SHARES		VALUE
EXCHANGE-TRADED FUNDS—123.5%
Consumer Discretionary Select Sector SPDR Fund		681,900	$	29,854
Consumer Staples Select Sector SPDR Fund		859,000		29,867
Health Care Select Sector SPDR Fund		795,300		30,221
Industrial Select Sector SPDR Fund		841,900		30,031
Technology Select Sector SPDR Fund		1,043,300		29,995
Utilities Select Sector SPDR Fund		814,900		30,143

TOTAL EXCHANGE-TRADED FUNDS (Identified Cost $176,291)				180,111

TOTAL LONG TERM INVESTMENTS—123.5% (Identified cost $176,291)				180,111

SHORT-TERM INVESTMENTS—13.1%
Money Market Mutual Funds—13.1%
Dreyfus Cash Management Fund—Institutional Shares (seven-day effective yield 0.080%)		19,073,922		19,074

TOTAL SHORT-TERM INVESTMENTS (Identified Cost $19,074)				19,074

TOTAL INVESTMENTS—136.6% (Identified Cost $195,365)				199,185	⁽¹⁾

SECURITIES SOLD SHORT—(16.6)% (Proceeds ($23,749))				(24,178	)

Other assets and liabilities, net—(20.0)%				(29,195	)

NET ASSETS—100.0%			$	145,812

SECURITIES SOLD SHORT—16.6%
EXCHANGE-TRADED FUNDS SOLD SHORT—(16.6)%
Energy Select Sector SPDR Fund		109,600		(7,274	)
Financial Select Sector SPDR Fund		541,500		(7,917	)
iShares Dow Jones U.S. Energy Sector Index Fund		22,600		(867	)
Materials Select Sector SPDR Fund		230,100		(8,120	)

TOTAL EXCHANGE-TRADED FUNDS SOLD SHORT— (16.6)% (Proceeds ($23,749))				(24,178	)

TOTAL SECURITIES SOLD SHORT—(16.6)% (Proceeds ($23,749))				(24,178	)(1)


Abbreviations:

SPDR S&P Depositary Receipt

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2012 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

There are no Level 2 (significant observable inputs ) or Level 3 (significant unobservable inputs) priced securities.


	SHARES		VALUE
PREFERRED STOCK—1.0%
Industrials—0.0%
Rolls-Royce Holdings Holdings plc Class C (United Kingdom)⁽²⁾⁽³⁾		138,892,754	$	217

Utilities—1.0%
AES Tiete S.A., 10.85% (Brazil)		750,915		10,693

TOTAL PREFERRED STOCK (Identified Cost $6,894)				10,910

COMMON STOCKS—96.5%
Consumer Discretionary—10.5%
Bureau Veritas SA (France)		261,562		23,217
DKSH Holding AG (Switzerland)⁽²⁾		158,500		8,684
Domino’s Pizza plc (United Kingdom)		1,770,227		14,264
Hermes International (France)		13,864		4,250
L’Occitane International SA (Hong Kong)		2,884,399		8,005
Nitori Co., Ltd. (Japan)		122,050		11,541
Paddy Power plc (Ireland)		273,655		17,833
Sands China Ltd. (Hong Kong)		5,603,338		18,026
Wynn Macau Ltd. (Hong Kong)		3,696,891		8,724

				114,544

Consumer Staples—45.1%
Anheuser-Busch InBev N.V. (Belgium)		427,102		33,132
British American Tobacco plc (United Kingdom)		1,517,211		77,024
Coca-Cola Amatil Ltd. (Australia)		1,035,835		14,235
Diageo plc (United Kingdom)		1,053,453		27,091
Hindustan Unilever Ltd. (India)		566,340		4,625
Imperial Tobacco Group plc (United Kingdom)		1,001,226		38,496
ITC Ltd. (India)		5,975,778		27,827
Lindt & Spruengli AG (Switzerland)⁽²⁾		5,724		17,670
Nestle India Ltd. (India)		121,598		9,897
Nestle S.A. Registered Shares (Switzerland)		718,535		42,810
Pernod-Ricard SA (France)		148,499		15,835
Philip Morris International, Inc. (United States)		853,672		74,491
SABMiller plc (United Kingdom)		811,977		32,491
Souza Cruz S.A. (Brazil)		576,727		8,379
Tesco plc (United Kingdom)		2,244,696		10,900
Unilever N.V. (Netherlands)		1,406,280		46,956
Wal-Mart de Mexico S.A.B. de C.V. (Mexico)		4,453,292		11,915

				493,774


	SHARES		VALUE
Energy—4.6%
Core Laboratories NV (Netherlands)		206,436	$	23,926
Ecopetrol SA ADR (Colombia)		209,712		11,700
Royal Dutch Shell plc A Shares (United Kingdom)		427,330		14,387

				50,013

Financials—14.6%
Daito Trust Construction Co., Ltd. (Japan)		111,200		10,541
Housing Development Finance Corp. (India)		3,906,511		46,066
Housing Development Finance Corp. Bank Ltd. (India)		3,988,633		40,626
Housing Development Finance Corp. Bank Ltd. ADR (India)		53,138		1,732
HSBC Holdings plc (United Kingdom)		3,016,190		26,505
Standard Chartered plc (United Kingdom)		460,206		9,979
UBS AG Registered Shares (Switzerland)		2,044,764		23,805

				159,254

Health Care—9.4%
Cie Generale D’optique Essilor International SA (France)		190,807		17,700
GlaxoSmithKline plc (United Kingdom)		341,010		7,728
Novo Nordisk A/S Class B (Denmark)		274,472		39,641
Valeant Pharmaceuticals International, Inc. (Canada)⁽²⁾		852,363		38,235

				103,304

Industrials—2.4%
Bunzl plc (United Kingdom)		578,838		9,455
Rolls-Royce Holdings plc (United Kingdom)		1,269,909		17,065

				26,520

Information Technology—4.3%
Baidu, Inc. ADR (China)⁽²⁾		96,391		11,083
SAP AG (Germany)		380,558		22,416
Tata Consultancy Services Ltd. (India)		575,983		13,292

				46,791

Materials—4.6%
Fresnillo plc (United Kingdom)		683,996		15,608
Goldcorp, Inc. (Canada)		567,863		21,379
Newcrest Mining Ltd. (Australia)		579,484		13,485

				50,472


	SHARES		VALUE
Utilities—1.0%
Companhia Energetica de Minas Gerais S.A. ADR (Brazil)		603,026	$	11,108

TOTAL COMMON STOCKS (Identified Cost $815,257)				1,055,780

TOTAL LONG TERM INVESTMENTS—97.5% (Identified cost $822,151)				1,066,690

SHORT-TERM INVESTMENTS—1.4%
Money Market Mutual Funds—1.4%
Dreyfus Cash Management Fund—Institutional Shares (seven-day effective yield 0.080%)		15,043,642		15,044

TOTAL SHORT-TERM INVESTMENTS (Identified Cost $15,044)				15,044

TOTAL INVESTMENTS—98.9% (Identified Cost $837,195)				1,081,734	⁽¹⁾
Other assets and liabilities, net—1.1%				12,143

NET ASSETS—100.0%			$	1,093,877

Abbreviations:


ADR		American Depositary Receipt
AG		Aktiengesellschaft a corporation that is limited by shares, i.e., owned by shareholders (Germany).
N.V.		Naamloze Vennootschap a public limited liability company (Netherlands).
plc		Public Limited Co.
S.A.		Sociedad Anonima (Spanish Corporation)

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at June 30, 2012, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Non-income producing.

⁽³⁾	Security valued at fair value as determined in good faith by or under the direction of the Trustees. This security is disclosed as a Level 3 security in the disclosure table located after the Schedule of Investments.

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2012 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

The following is a reconciliation of assets of the Fund for Level 3 investments for which significant unobservable inputs were used to determine fair value.


	SHARES		VALUE
COMMON STOCKS—91.5%
Consumer Staples—5.5%
Andersons, Inc. (The) (United States)		11,181	$	477
BRF—Brasil Foods SA ADR (Brazil)⁽²⁾		8,099		123
S&W Seed Co. (United States)⁽²⁾		7,542		40
Tyson Foods, Inc. Class A (United States)		16,999		320

				960

Energy—26.3%
Athabasca Oil Corp. (Canada)⁽²⁾		18,217		200
Baytex Energy Corp. (Canada)		3,958		167
Cenovus Energy, Inc. (Canada)		14,593		464
Core Laboratories NV (Netherlands)		2,628		305
Ensco plc (United Kingdom)		7,652		359
FX Energy, Inc. (United States)⁽²⁾		34,577		206
MEG Energy Corp. (Canada)⁽²⁾		8,605		308
National Oilwell Varco, Inc. (United States)		2,917		188
Newfield Exploration Co. (United States)⁽²⁾		4,934		145
OYO Geospace Corp. (United States)⁽²⁾		3,834		345
Penn West Petroleum Ltd. (Canada)		12,479		167
Seadrill Ltd. (Bermuda)		20,105		714
Superior Energy Services, Inc. (United States)⁽²⁾		7,350		149
Tesoro Corp. (United States)⁽²⁾		7,321		183
Tidewater, Inc. (United States)		3,547		164
Valero Energy Corp. (United States)		22,475		543

				4,607

Industrials—8.9%
AGCO Corp. (United States)⁽²⁾		3,958		181
Deere & Co. (United States)		5,523		447
Kubota Corp. ADR (Japan)		5,753		265
Lindsay Corp. (United States)		3,656		237
Raven Industries, Inc. (United States)		5,051		352
Rocky Mountain Dealerships, Inc. (Canada)		6,799		71

				1,553

Materials—50.8%
Agrium, Inc. (Canada)		3,119		276
Alamos Gold, Inc. (Canada)		12,638		197
Allied Nevada Gold Corp. (United States)⁽²⁾		6,888		195
Barrick Gold Corp. (Canada)		7,827		294
BHP Billiton Ltd. Sponsored ADR (Australia)		12,615		824
CF Industries Holdings, Inc. (United States)		3,963		768
Detour Gold Corp. (Canada)⁽²⁾		13,151		265
Du Pont (E.I.) de Nemours & Co. (United States)		4,698		238


	SHARES		VALUE
Materials—(continued)
Eldorado Gold Corp. (Canada)		22,445	$	277
Franco-Nevada Corp. (Canada)		14,358		649
Goldcorp, Inc. (Canada)		17,059		641
Grupo Mexico S.A.B. de C.V. Series B (Mexico)		107,524		320
Major Drilling Group International (Canada)		42,924		496
Monsanto Co. (United States)		5,920		490
New Gold, Inc. (Canada)⁽²⁾		59,664		567
Perseus Mining Ltd. (Australia)⁽²⁾		87,972		223
Potash Corp. of Saskatchewan, Inc. (Canada)		9,460		413
Royal Gold, Inc. (United States)		9,611		753
Sociedad Quimica y Minera de Chile SA
Sponsored ADR (Chile)		3,900		217
Syngenta AG ADR (Switzerland)		7,155		490
Tahoe Resources, Inc. (Canada)⁽²⁾		21,062		291

				8,884

TOTAL COMMON STOCKS (Identified Cost $16,126)				16,004

EXCHANGE-TRADED FUNDS—4.2%
PowerShares DB Gold Fund (United States)⁽²⁾		13,350		737

TOTAL EXCHANGE-TRADED FUNDS (Identified Cost $699)				737

TOTAL LONG TERM INVESTMENTS—95.7% (Identified cost $16,825)				16,741

SHORT-TERM INVESTMENTS—2.3%
Money Market Mutual Funds—2.3%
Dreyfus Cash Management Fund—Institutional Shares (seven-day effective yield 0.080%)		407,354		407

TOTAL SHORT-TERM INVESTMENTS (Identified Cost $407)				407

TOTAL INVESTMENTS—98.0% (Identified Cost $17,232)				17,148	⁽¹⁾
Other assets and liabilities, net—1.9%				341

NET ASSETS—100.0%			$	17,489

Abbreviations:


ADR		American Depositary Receipt
AG		Aktiengesellschaft a corporation that is limited by shares, i.e., owned by shareholders.
plc		Public Limited Co.
S.A.		Sociedad Anonima or Sociedade Anonima .

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2012 (See Security Valuation Note 1A in the Notes to Schedules of Investments):


	SHARES		VALUE
COMMON STOCKS—95.7%
Consumer Discretionary—2.2%
Eutelsat Communications SA (France)		20,490	$	629
SES SA (Luxembourg)		47,740		1,126

				1,755

Energy—22.2%
Enbridge, Inc. (Canada)		143,280		5,720
Spectra Energy Corp. (United States)		134,820		3,918
TransCanada Corp. (Canada)		88,350		3,702
Williams Cos., Inc. (The) (United States)		140,750		4,056

				17,396

Financials—3.0%
American Tower Corp. (United States)		33,630		2,351

Industrials—13.1%
Abertis Infraestructuras S.A. (Spain)		82,640		1,113
Atlantia SpA (Italy)		93,431		1,188
Ferrovial SA (Spain)		68,790		774
Flughafen Zuerich AG (Switzerland)		2,322		815
Fraport AG Frankfurt Airport Services Worldwide (Germany)		20,030		1,075
Koninklijke Vopak N.V. (Netherlands)		34,510		2,208
Transurban Group (Australia)		400,220		2,338
Vinci SA (France)		16,670		776

				10,287

Telecommunication Services—23.8%
AT&T, Inc. (United States)		116,770		4,164
BCE, Inc. (Canada)		18,400		758
BT Group plc (United Kingdom)		253,500		839
Crown Castle International Corp. (United States)⁽²⁾		35,490		2,082
Nippon Telegraph & Telephone Corp. ADR (Japan)		32,010		741
Singapore Telecommunications Ltd. (Singapore)		525,400		1,376
Telefonica S.A. Sponsored ADR (Spain)		56,840		745
TELUS Corp. (Canada)		26,230		1,563
Verizon Communications, Inc. (United States)		44,020		1,956
Vodafone Group plc Sponsored ADR (United Kingdom)		125,710		3,542
Windstream Corp. (United States)		90,330		873

				18,639


	SHARES		VALUE
Utilities—31.4%
Allete, Inc. (United States)		13,280	$	555
APA Group (Australia)		155,250		797
CenterPoint Energy, Inc. (United States)		48,230		997
Centrica plc (United Kingdom)		134,310		669
CMS Energy Corp. (United States)		44,960		1,057
Dominion Resources, Inc. (United States)		25,220		1,362
DTE Energy Co. (United States)		13,120		779
E.ON AG (Germany)		22,840		491
FirstEnergy Corp. (United States)		16,920		832
ITC Holdings Corp. (United States)		15,560		1,072
National Grid plc (United Kingdom)		92,670		980
NextEra Energy, Inc. (United States)		21,290		1,465
NiSource, Inc. (United States)		41,590		1,029
Northeast Utilities (United States)		20,200		784
Northwest Natural Gas Co. (United States)		14,860		707
NV Energy, Inc. (United States)		50,610		890
ONEOK, Inc. (United States)		26,000		1,100
Public Service Enterprise Group, Inc. (United
States)		28,630		931
Questar Corp. (United States)		24,380		509
Sempra Energy (United States)		23,250		1,602
SevernTrent plc (United Kingdom)		37,405		968
Southern Co. (The) (United States)		24,890		1,152
Terna Rete Elettrica Nazionale S.p.A. (Italy)		192,320		692
United Utilities Group plc (United Kingdom)		75,500		798
Wisconsin Energy Corp. (United States)		35,980		1,424
XCEL Energy, Inc. (United States)		34,400		977

				24,619

TOTAL COMMON STOCKS (Identified Cost $59,140)				75,047

TOTAL LONG TERM INVESTMENTS—95.7% (Identified cost $59,140)				75,047

SHORT-TERM INVESTMENTS—3.3%
Money Market Mutual Funds—3.3%
Dreyfus Cash Management Fund—Institutional Shares (seven-day effective yield 0.080%)		2,577,250		2,577

TOTAL SHORT-TERM INVESTMENTS (Identified Cost $2,577)				2,577

($ reported in thousands)


TOTAL INVESTMENTS—99.0% (Identified Cost $61,717)		77,624	⁽¹⁾
Other assets and liabilities, net—1.0%		808

NET ASSETS—100.0%	$	78,432

Abbreviations:

^ADR	American Depositary Receipt

^AG	Aktiengesellschaft a corporation that is limited by shares, i.e., owned by shareholders (Germany).

^plc	Public Limited Co.

^S.A.

Sociedad Anonima (Spanish Corporation) or Sociedade Anonima (Portuguese Corporation).

^S.p.A.

Società delle azione unite (Joint Stock Corp. Italy).

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at June 30, 2012, see Note 3

Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Non-income producing.

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2012 (See Security Valuation Note 1A in the Notes to Schedules of Investments):


	SHARES		VALUE
COMMON STOCKS—96.5%
Consumer Discretionary—16.2%
Amazon.com, Inc. (United States)⁽²⁾		15,296	$	3,493
Bureau Veritas SA (France)		16,100		1,429
Chipotle Mexican Grill, Inc. (United States)⁽²⁾		2,300		874
Las Vegas Sands Corp. (United States)		35,242		1,533
McDonald’s Corp. (United States)		36,482		3,230
Norstar Founders Group Ltd. (Cayman Islands)^(2)(3)(4)		272,000		0
Paddy Power plc (Ireland)		15,441		1,006
Sands China Ltd. (Hong Kong)		446,755		1,437
Starbucks Corp. (United States)		18,500		986
Wynn Macau Ltd. (Hong Kong)		240,568		568

				14,556

Consumer Staples—33.6%
Altria Group, Inc. (United States)		44,515		1,538
Anheuser-Busch InBev N.V. (Belgium)		22,229		1,724
British American Tobacco plc (United Kingdom)		95,491		4,848
Casey’s General Stores, Inc. (United States)		17,125		1,010
Coca-Cola Co. (The) (United States)		61,617		4,818
Hindustan Unilever Ltd. (India)		52,697		430
Imperial Tobacco Group plc (United Kingdom)		54,323		2,089
ITC Ltd. (India)		508,122		2,366
Mead Johnson Nutrition Co. (United States)		18,166		1,463
Nestle S.A. Registered Shares (Switzerland)		35,465		2,113
Philip Morris International, Inc. (United States)		62,195		5,427
Unilever N.V. (Netherlands)		73,314		2,448

				30,274

Energy—1.2%
Core Laboratories NV (Netherlands)		9,232		1,070

Financials—19.5%
Berkshire Hathaway, Inc. Class B (United States)⁽²⁾		19,977		1,665
Citigroup, Inc. (United States)		87,136		2,388
Housing Development Finance Corp. (India)		303,318		3,577
Housing Development Finance Corp. Bank Ltd. (India)		214,545		2,185
Housing Development Finance Corp. Bank Ltd. ADR (India)		42,672		1,391
HSBC Holdings plc (United Kingdom)		127,419		1,120
JPMorgan Chase & Co. (United States)		69,360		2,478
UBS AG Registered Shares (Switzerland)		93,214		1,085


	SHARES		VALUE
Financials—(continued)
Wells Fargo & Co. (United States)		48,443	$	1,620

				17,509

Health Care—5.4%
Novo Nordisk A/S Class B (Denmark)		10,588		1,529
Perrigo Co. (United States)		5,313		627
Valeant Pharmaceuticals International, Inc. (Canada)⁽²⁾		59,790		2,682

				4,838

Information Technology—16.6%
Apple, Inc. (United States)⁽²⁾		5,188		3,030
Baidu, Inc. ADR (China)⁽²⁾		6,149		707
Cognizant Technology Solutions Corp. Class A (United States)⁽²⁾		38,752		2,325
FactSet Research Systems, Inc. (United States)		9,175		853
MasterCard, Inc. Class A (United States)		10,658		4,584
SAP AG (Germany)		17,296		1,019
Visa, Inc. Class A (United States)		19,959		2,467

				14,985

Materials—4.0%
Fresnillo plc (United Kingdom)		51,474		1,174
Goldcorp, Inc. (Canada)		35,663		1,343
Newcrest Mining Ltd. (Australia)		45,200		1,052

				3,569

TOTAL COMMON STOCKS (Identified Cost $73,164)				86,801

TOTAL LONG TERM INVESTMENTS—96.5% (Identified cost $73,164)				86,801

SHORT-TERM INVESTMENTS—3.6%
Money Market Mutual Funds—3.6%
Dreyfus Cash Management Fund—Institutional Shares (seven-day effective yield 0.080%)		3,281,493		3,281

TOTAL SHORT-TERM INVESTMENTS (Identified Cost $3,281)				3,281

TOTAL INVESTMENTS—100.1% (Identified Cost $76,445)				90,082	⁽¹⁾
Other assets and liabilities, net—(0.1)%				(105	)

NET ASSETS—100.0%			$	89,977


Abbreviations:

ADR American Depositary Receipt

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2012 (See Security Valuation Note 1A in the Notes to Schedules of Investments):


($ reported in thousands)

	SHARES		VALUE
EXCHANGE-TRADED FUNDS—99.8%
Consumer Discretionary Select Sector SPDR Fund		152,760	$	6,688
Consumer Staples Select Sector SPDR Fund		191,748		6,667
Health Care Select Sector SPDR Fund		177,660		6,751
Industrial Select Sector SPDR Fund		188,590		6,727
iShares MSCI EAFE^® Index Fund		266,890		13,334
iShares MSCI Emerging Markets Index Fund		343,500		13,462
Technology Select Sector SPDR Fund		233,220		6,705
Utilities Select Sector SPDR Fund		182,350		6,745

TOTAL EXCHANGE-TRADED FUNDS (Identified Cost $62,895)				67,079

TOTAL LONG TERM INVESTMENTS—99.8% (Identified cost $62,895)				67,079

TOTAL INVESTMENTS—99.8% (Identified Cost $62,895)				67,079	⁽¹⁾
Other assets and liabilities, net—0.2%				150

NET ASSETS—100.0%			$	67,229

Abbreviations:

SPDR S&P Depositary Receipt

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at June 30, 2012, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2012 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

There are no Level 2 (significant observable inputs) or Level 3 (significant unobservable inputs) priced securities.


	SHARES		VALUE
COMMON STOCKS—94.4%
Australia—8.2%
BGP Holdings plc^(2)(3)(4)		13,566	$	0
CFS Retail Property Trust		61,700		123
Dexus Property Group		217,440		208
GPT Group⁽²⁾		42,000		142
Westfield Group		69,150		677
Westfield Retail Trust		80,450		236

				1,386

Canada—6.1%
Allied Properties Real Estate Investment Trust		4,910		140
Brookfield Properties, Inc.		14,370		251
Canadian Real Estate Investment Trust		3,550		142
Cominar Real Estate Investment Trust		5,245		124
First Capital Realty, Inc.		5,670		102
RioCan Real Estate Investment Trust		10,362		282

				1,041

Finland—0.3%
Citycon Oyj		19,000		54

France—4.4%
Fonciere Des Regions		1,204		86
Klepierre		4,920		161
Societe Immobiliere de Location Pour L’industrie Et Le Commerce		455		43
Unibail-Rodamco		2,488		457

				747

Germany—0.8%
GSW Immobilien AG		4,164		142

Hong Kong—3.4%
Hongkong Land Holdings Ltd.		49,900		285
Link (The)		70,504		289

				574

Italy—0.2%
Beni Stabili SpA		75,478		33

Japan—2.7%
AEON Mall Co., Ltd.		7,270		155
Japan Prime Realty Investment Corp.		22		62
Japan Real Estate Investment Corp.		10		92


	SHARES		VALUE
Japan—(continued)
Nippon Building Fund, Inc.		15	$	145

				454

Netherlands—1.7%
Corio N.V.		3,715		163
Eurocommercial Properties N.V.		3,565		123

				286

Norway—0.5%
Norwegian Property ASA		63,975		87

Singapore—3.1%
CapitaCommercial Trust		35,000		35
CapitaMall Trust		62,450		95
CapitaRetail China Trust		98,275		102
Global Logistic Properties Ltd.⁽²⁾		112,500		187
Mapletree Logistics Trust		137,545		107

				526

Sweden—1.1%
Castellum AB		9,040		109
Fabege AB		10,000		78

				187

Switzerland—0.3%
PSP Swiss Property AG⁽²⁾		565		50

United Kingdom—6.7%
Big Yellow Group plc		29,825		136
British Land Co. plc		21,800		174
Derwent London plc		3,010		87
Great Portland Estates plc		8,671		53
Hammerson plc		28,220		196
Land Securities Group plc		25,131		291
Safestore Holdings plc		48,726		78
SEGRO plc		34,390		117

				1,132

United States—54.9%
Alexandria Real Estate Equities, Inc.		681		50
Apartment Investment & Management Co. Class A		2,300		62
AvalonBay Communities, Inc.		3,145		445
BioMed Realty Trust, Inc.		9,688		181
Boston Properties, Inc.		4,128		447
BRE Properties, Inc.		2,566		128


	SHARES		VALUE
United States—(continued)
Camden Property Trust		3,910	$	265
Campus Crest Communities, Inc.		884		9
CubeSmart		5,387		63
DCT Industrial Trust, Inc.		18,800		118
DDR Corp.		9,684		142
Digital Realty Trust, Inc.		2,485		187
Duke Realty Corp.		8,630		126
EastGroup Properties, Inc.		1,700		91
Equity Lifestyle Properties, Inc.		1,923		133
Equity Residential		8,794		548
Essex Property Trust, Inc.		1,719		265
Extra Space Storage, Inc.		11,299		346
General Growth Properties, Inc.		14,319		259
HCP, Inc.		7,279		321
Health Care REIT, Inc.		5,585		326
Host Hotels & Resorts, Inc.		17,808		282
Kilroy Realty Corp.		6,954		337
Kimco Realty Corp.		5,685		108
LaSalle Hotel Properties		6,115		178
Macerich Co. (The)		2,573		152
Prologis, Inc.		6,931		230
Public Storage		3,760		543
Regency Centers Corp.		1,020		48
Simon Property Group, Inc.		7,961		1,239
SL Green Realty Corp.		2,731		219
Taubman Centers, Inc.		4,905		378
UDR, Inc.		6,973		180
Ventas, Inc.		8,622		544
Vornado Realty Trust		2,975		250
Weingarten Realty Investors		4,970		131

				9,331

TOTAL COMMON STOCKS (Identified Cost $13,944)				16,030

TOTAL LONG TERM INVESTMENTS—94.4% (Identified cost $13,944)				16,030

SHORT-TERM INVESTMENTS—4.4%
Money Market Mutual Funds—4.4%
Dreyfus Cash Management Fund—Institutional Shares (seven-day effective yield 0.080%)		743,495		743

TOTAL SHORT-TERM INVESTMENTS (Identified Cost $743)				743

TOTAL INVESTMENTS—98.8% (Identified Cost $14,687)				16,773	⁽¹⁾
Other assets and liabilities, net—1.2%				204

NET ASSETS—100.0%			$	16,977

Abbreviations:

AB	AktieBolag. The Swedish equivalent for “Inc.”, “Corp.”, “Ltd.” etc.

AG	Aktiengesellschaft a corporation that is limited by shares, i.e., owned by shareholders).

ASA	Allmennaksjeselskap a public limited company.

plc	Public Limited Co.

REIT	Real Estate Investment Trust

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at June 30, 2012, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Non-income producing.

⁽³⁾	Illiquid security.

⁽⁴⁾	Security valued at fair value as determined in good faith by or under the direction of the Trustees. This security is disclosed as a level 3 security in the disclosure table located after the Schedule of Investments.

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2012 (See Security Valuation Note 1A in the Notes to Schedules of Investments):


	SHARES		VALUE
COMMON STOCKS—97.7%
Consumer Discretionary—16.2%
BEC World plc (Thailand)		38,400	$	61
Genting Bhd (Malaysia)		33,900		101
Genting Malaysia Bhd (Malaysia)		117,200		134
Jollibee Foods Corp. (Philippines)		18,500		46
Jubilant Foodworks Ltd. (India)⁽²⁾		6,400		135
Kangwon Land, Inc. (South Korea)		2,260		48
L’Occitane International SA (Hong Kong)		57,159		159
Parkson Retail Asia Ltd. (Singapore)⁽²⁾		29,600		33
SA SA International Holdings Ltd (Cayman Islands)		125,425		79
Sands China Ltd. (Hong Kong)		52,164		168
Super Retail Group Ltd. (Australia)		14,320		106
Television Broadcasts Ltd. (Hong Kong)		5,700		40
Titan Industries Ltd. (India)		12,300		49
Wynn Macau Ltd. (Hong Kong)		60,503		143

				1,302

Consumer Staples—38.8%
British American Tobacco Bangldesh Co., Ltd. (Bangladesh)		20,050		147
British American Tobacco Bhd (Malaysia)		3,300		59
Ceylon Tobacco Co., plc (Sri Lanka)		17,200		86
Coca-Cola Amatil Ltd. (Australia)		11,545		159
Colgate Palmolive India Ltd. (India)		3,400		73
Dabur India Ltd. (India)		34,553		71
Dairy Farm International Holdings Ltd. (Hong Kong)		8,850		94
Emami Ltd. (India)⁽²⁾		11,950		107
GlaxoSmithKline Consumer Healthcare Ltd. (India)		1,300		64
Gudang Garam tbk PT (Indonesia)		11,957		79
Guinness Anchor Bhd (Malaysia)		42,935		181
Hengan International Group Co., Ltd. (China)		9,413		92
Hindustan Unilever Ltd. (India)		21,505		176
ITC Ltd. (India)		79,087		368
LG Household & Health Care Ltd. (South Korea)		324		175
Marico Bangladesh Ltd. (Bangladesh)		20,750		97
Nestle India Ltd. (India)		2,730		222
Nestle Malaysia Bhd (Malaysia)		7,800		142
Nestle Pakistan Ltd. (Pakistan)		2,214		94
Orion Corp. (South Korea)		88		73
Pakistan Tobacco Co., Ltd. (Pakistan)		86,838		49


	SHARES		VALUE
Consumer Staples—(continued)
Puregold Price Club, Inc. (Philippines)		126,600	$	82
Tsingtao Brewery Co., Ltd. (China)		23,283		133
Unilever Indonesia tbk PT (Indonesia)		52,897		130
Unilever Pakistan Ltd. (Pakistan)		1,539		115
Want Want China Holdings Ltd. (China)		41,365		51

				3,119

Financials—15.6%
Axis Bank Ltd. (India)		4,400		80
Bangkok Bank plc (Thailand)		15,600		103
Commercial Bank of Ceylon plc (Sri Lanka)		40,180		30
Delta Brac Housing Finance Corp., Ltd. (Bangladesh)		70,000		71
Global Logistic Properties Ltd. (Singapore)⁽²⁾		63,800		106
Housing Development Finance Corp. (India)		29,759		351
Housing Development Finance Corp. Bank Ltd. (India)		33,355		340
Jammu & Kashmir Bank Ltd. (India)⁽²⁾		3,300		59
Public Bank Bhd (Malaysia)		26,400		115

				1,255

Health Care—3.9%
Cipla Ltd. (India)		14,501		83
GlaxoSmithKline Pharmaceuticals Ltd (India)		1,100		40
Kalbe Farma tbk PT (Indonesia)		125,000		50
Lupin Ltd. (India)		6,300		61
Sun Pharmaceutical Industries Ltd. (India)		7,086		81

				315

Industrials—7.8%
Jardine Matheson Holdings Ltd. (Hong Kong)		1,718		83
Jardine Strategic Holdings Ltd (Bermuda)		1,906		58
Jasa Marga tbk PT (Indonesia)		113,100		65
Keells (John) Holdings plc (Sri Lanka)		119,333		164
S1 Corp. (South Korea)		790		40
SM Investments Corp. (Philippines)		3,670		64
Taiwan Secom Co., Ltd. (Taiwan)		36,246		79
UGL Ltd. (Australia)		5,800		74

				627

Information Technology—4.6%
Baidu, Inc. ADR (China)⁽²⁾		2,285		263
Tata Consultancy Services Ltd. (India)		4,800		111

				374


($ reported in thousands)

	SHARES		VALUE
Materials—3.6%
Asian Paints Ltd. (India)		1,200	$	84
Newcrest Mining Ltd. (Australia)		6,033		140
Semen Gresik (Persero) tbk PT (Indonesia)		52,786		64

				288

Telecommunication Services—2.0%
China Mobile Ltd. (China)		14,600		160

Utilities—5.2%
CLP Holdings Ltd. (Hong Kong)		4,200		36
Power Assets Holdings Ltd. (Hong Kong)		43,829		329
Power Grid Corp. of India Ltd. (India)⁽²⁾		27,700		56

				421

TOTAL COMMON STOCKS (Identified Cost $6,595)				7,861

TOTAL LONG TERM INVESTMENTS—97.7% (Identified cost $6,595)				7,861

SHORT-TERM INVESTMENTS—1.1%
Money Market Mutual Funds—1.1%
Dreyfus Cash Management Fund—Institutional Shares (seven-day effective yield 0.080%)		84,850		85

TOTAL SHORT-TERM INVESTMENTS (Identified Cost $85)				85

TOTAL INVESTMENTS—98.8% (Identified Cost $6,680)				7,946	⁽¹⁾
Other assets and liabilities, net—1.2%				93

NET ASSETS—100.0%			$	8,039

Abbreviations:

ADR	American Depositary Receipt

Bhd	Private company (Malaysia)

plc	Public Limited Co.

tbk PT

Perseroan Terbuka. Limited liability company.

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at June 30, 2012, see Note 3

Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Non-income producing.

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2012 (See Security Valuation Note 1A in the Notes to Schedules of Investments):


	SHARES		VALUE
PREFERRED STOCK—0.0%
Industrials—0.0%
Rolls-Royce Holdings Holdings plc Class C⁽²⁾⁽³⁾		821,076	$	1

TOTAL PREFERRED STOCK (Identified Cost $1)				1

COMMON STOCKS—99.4%
Consumer Discretionary—15.7%
Bureau Veritas SA (France)		3,035		269
Compagnie Financiere Richemont SA (Switzerland)		475		26
DKSH Holding AG (Switzerland)⁽²⁾		1,325		73
Domino’s Pizza plc (United Kingdom)		17,632		142
Luxottica Group SpA (Italy)		3,350		117
Paddy Power plc (Ireland)		2,346		153
Pearson plc (United Kingdom)		6,477		128

				908

Consumer Staples—37.6%
Anheuser-Busch InBev N.V. (Belgium)		3,766		292
British American Tobacco plc (United Kingdom)		5,548		282
Diageo plc (United Kingdom)		7,502		193
Groupe Danone S.A. (France)		2,098		130
Imperial Tobacco Group plc (United Kingdom)		2,737		105
L’Oreal S.A. (France)		750		88
Lindt & Spruengli AG (Switzerland)		13		40
Nestle S.A. Registered Shares (Switzerland)		3,409		203
Pernod-Ricard S.A. (France)		835		89
Philip Morris International, Inc. (United States)		3,219		281
SABMiller plc (United Kingdom)		3,521		141
Tesco plc (United Kingdom)		10,102		49
Unilever N.V. (Netherlands)		8,457		282

				2,175

Energy—3.3%
BG Group plc (United Kingdom)		4,242		86
Core Laboratories N.V. (Netherlands)		418		49
Royal Dutch Shell plc A Shares (United Kingdom)		1,734		58

				193

Financials—9.6%
Deutsche Boerse AG (Germany)		1,481		80
HSBC Holdings plc (United Kingdom)		18,175		160


	SHARES		VALUE
Financials—(continued)
Reinet Investments SCA (Luxembourg)⁽²⁾		4,785	$	87
Standard Chartered plc (United Kingdom)		2,675		58
UBS AG Registered Shares (Switzerland)		14,796		172

				557

Health Care—8.8%
Cie Generale D’optique Essilor International SA (France)		941		87
Fresenius Medical Care AG & Co. KGaA (Germany)		1,639		116
GlaxoSmithKline plc (United Kingdom)		1,729		39
Novartis AG Registered Shares (Switzerland)		1,604		90
Novo Nordisk A/S Class B (Denmark)		1,214		175

				507

Industrials—13.2%
Andritz AG (Austria)		1,667		86
Brenntag AG (Germany)		700		77
Bunzl plc (United Kingdom)		3,626		59
Indutrade AB (Sweden)		3,118		86
Kuehne & Nagel International AG (Switzerland)		782		83
Orkla ASA (Norway)		8,000		58
Prosegur Cia de Seguridad SA (Spain)		1,101		56
Rolls-Royce Holdings plc (United Kingdom)		7,621		102
SGS SA (Switzerland)		85		159

				766

Information Technology—7.2%
Accenture plc Class A (Ireland)		3,112		187
Domino Printing Sciences plc (United Kingdom)		9,761		83
SAP AG (Germany)		2,494		147

				417

Materials—4.0%
Air Liquide SA (France)		836		95
Fresnillo plc (United Kingdom)		4,711		108
Novozymes A/S Class B (Denmark)		1,100		28

				231

TOTAL COMMON STOCKS (Identified Cost $4,428)				5,754

TOTAL LONG TERM INVESTMENTS—99.4% (Identified cost $4,429)				5,755


	SHARES		VALUE
SHORT-TERM INVESTMENTS—1.0%
Money Market Mutual Funds—1.0%
Dreyfus Cash Management Fund—Institutional
Shares (seven-day effective yield 0.080%)		54,530	$	55

TOTAL SHORT-TERM INVESTMENTS (Identified Cost $55)				55

TOTAL INVESTMENTS—100.4% (Identified Cost $4,484)				5,810	⁽¹⁾

Other assets and liabilities, net—(0.4)%				(21	)

NET ASSETS—100.0%			$	5,789

Abbreviations:

AB	AktieBolag. The Swedish equivalent for “Inc.”, “Corp.”, “Ltd.” etc.

AG	Aktiengesellschaft a corporation that is limited by shares, i.e., owned by shareholders.

ASA	Allmennaksjeselskap a public limited company.

KGaA	Kommanditgesellschaft Auf Aktien a limited partnership on shares.

N.V.	Naamloze Vennootschap a public limited liability company.

plc	Public Limited Co.

S.A.	Sociedad Anonima or Sociedade Anonima.

S.C.A.

Société en commandite par actions. Luxembourg partnership limited by shares.

S.p.A.

Società delle azione unite Joint Stock Corp.

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at June 30, 2012, see Note 3

Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Non-income producing.

⁽³⁾	Security valued at fair value as determined in good faith by or under the direction of the Trustees. This security is disclosed as a Level 3 security in the disclosure table located after the Schedule of Investments.

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2012 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

The following is a reconciliation of assets of the Fund for Level 3 investments for which significant unobservable inputs were used to determine fair value.


	PAR VALUE			VALUE
FOREIGN GOVERNMENT SECURITIES—3.8%
Bolivarian Republic of Venezuela RegS 5.750%, 2/26/16⁽⁴⁾	$	170		$	147
Federative Republic of Brazil 8.500%, 1/5/24		1,885	^BRL		1,023
Kingdom of Sweden Series 1041, 6.750%, 5/5/14		1,480	^SEK		236
Republic of Argentina
Provincia de Neuquen 144A 7.875%, 4/26/21⁽²⁾		235			186
PIK Interest Capitalization 8.280%, 12/31/33		405			267
Republic of Hungary 4.750%, 2/3/15		250			241
Republic of Iceland 144A 5.875%, 5/11/22⁽²⁾		275			267
Republic of South Africa Series R206 7.500%, 1/15/14		3,720	^ZAR		470
Republic of Turkey 9.000%, 3/5/14		625	^TRY		349
United Mexican States Series M, 6.000%, 6/18/15		6,275	^MXN		487

TOTAL FOREIGN GOVERNMENT SECURITIES (Identified Cost $3,751)					3,673

MORTGAGE-BACKED SECURITIES—2.6%

Non-Agency—2.6%
JPMorgan Chase & Co. 06-A4, 3A1 5.518%, 6/25/36⁽³⁾		556			474
Countrywide Alternative Loan Trust 06-13T1, A5 6.000%, 5/25/36		340			235
GMAC Mortgage Corp. Loan Trust 05-AR6, 2A1 3.071%, 11/19/35⁽³⁾		558			404
Goldman Sachs Mortgage Pass-Through Securities Mortgage Loan Trust 05-RP1, 1A3 144A 8.000%, 1/25/35⁽²⁾		244			248
MASTR Reperforming Loan Trust 05-1, 1A5 144A 8.000%, 8/25/34⁽²⁾		318			331
Morgan Stanley Mortgage Loan Trust 07-11AR, 2A3 2.791%, 6/25/37⁽³⁾		564			242
Royal Bank of Scotland Group Mortgage Pass- Through Certificates 07-B, 3A2 5.250%, 7/25/35⁽³⁾		172			164
SunTrust Adjustable Rate Mortgage Loan Trust 07-S1, 5A1 4.769%, 1/25/37⁽³⁾		348			347

TOTAL MORTGAGE-BACKED SECURITIES (Identified Cost $2,369)					2,445

ASSET-BACKED SECURITIES—0.8%
ABSC Long Beach Home Equity Loan Trust 00- LB1, M1F 8.240%, 3/21/29⁽³⁾		326			240


	PAR VALUE		VALUE
Equity One ABS, Inc. 01-3, AF4 6.252%, 5/25/32⁽³⁾	$	245	$	186
Residential Funding Mortgage Securities II, Inc. 06-H11, M1 6.010%, 2/25/36⁽³⁾		200		187
Terwin Mortgage Trust 04-15AL, A1 144A 5.813%, 7/25/34⁽²⁾⁽³⁾		157		139

TOTAL ASSET-BACKED SECURITIES (Identified Cost $752)				752

CORPORATE BONDS AND NOTES—79.7%
Consumer Discretionary—16.9%
Affinion Group, Inc. 11.500%, 10/15/15		1,025		879
Ameristar Casinos, Inc. 7.500%, 4/15/21		500		537
Boyd Gaming Corp. 144A 9.000%, 7/1/20⁽²⁾		500		504
Brown Shoe Co., Inc. 7.125%, 5/15/19		975		964
Cablevision Systems Corp. 8.000%, 4/15/20		430		467
Caesars Entertainment Operating Co., Inc. 10.000%, 12/15/18		645		444
Cequel Communications Holdings I LLC / Cequel Capital Corp. 144A 8.625%, 11/15/17⁽²⁾		1,105		1,196
Chrysler Group LLC / Chrysler Group, Inc. 8.250%, 6/15/21		200		207
Claire’s Stores, Inc. 144A 9.000%, 3/15/19⁽²⁾		300		305
Dana Holding Corp. 6.750%, 2/15/21		730		792
Dish DBS Corp. 144A 4.625%, 7/15/17⁽²⁾		500		503
HD Supply, Inc. 144A 8.125%, 4/15/19⁽²⁾		500		541
HOA Restaurant Group LLC (HOA Finance Corp.) 144A 11.250%, 4/1/17⁽²⁾		400		373
Landry’s, Inc. 144A 9.375%, 5/1/20⁽²⁾		150		153
Mediacom LLC (Mediacom Capital Corp.) 7.250%, 2/15/22		285		291
MGM Resorts International 7.500%, 6/1/16		710		738
Nara Cable Funding Ltd. 144A 8.875%, 12/1/18⁽²⁾		675		584
Northwest Airlines Pass-Through-Trust 01-1, B 7.691%, 4/1/17		349		359
Peninsula Gaming LLC / Peninsula Gaming Corp. 10.750%, 8/15/17		450		515
Rent-A-Center, Inc. 6.625%, 11/15/20		495		530
Sally Holdings LLC / Sally Capital, Inc. 5.750%, 6/1/22		100		105
Scientific Games International, Inc. 9.250%, 6/15/19		450		495
Seminole Indian Tribe of Florida 144A 7.750%, 10/1/17⁽²⁾		250		274


	PAR VALUE		VALUE
Consumer Discretionary—(continued)
Spencer Spirit Holdings, Inc. / Spencer Gifts LLC / Spirit Halloween Superstores 144A 11.000%, 5/1/17⁽²⁾	$	375	$	388
Toys R Us Property Co. II LLC 8.500%, 12/1/17		250		262
U.S. Airways Pass-Through-Trust
99-1A 8.360%, 1/20/19		355		362
11-1 A 7.125%, 10/22/23		438		464
UCI International, Inc. 8.625%, 2/15/19		480		485
United Artists Theatre Circuit, Inc.
Series 95-A 9.300%, 7/1/15⁽⁵⁾⁽⁶⁾		180		181
Series BE-9 9.300%, 7/1/15⁽⁵⁾⁽⁶⁾		7		7
Series AW-0 9.300%, 7/1/15⁽⁵⁾⁽⁶⁾		1		1
Series BD-1 9.300%, 7/1/15⁽⁵⁾⁽⁶⁾		203		203
Unitymedia Hessen GmbH & Co. KG (Unitymedia NRW GmbH) 144A 8.125%, 12/1/17⁽²⁾		720		778
Univision Communications, Inc. 144A 7.875%, 11/1/20⁽²⁾		250		269
Valassis Communication, Inc. 6.625%, 2/1/21		885		863
Visteon Corp. 6.750%, 4/15/19		250		244

				16,263

Consumer Staples—1.3%
Reynolds Group Issuer, Inc. (Reynolds Group Issuer LLC) 144A 7.875%, 8/15/19⁽²⁾		250		272
Rite Aid Corp. 9.500%, 6/15/17		350		360
Select Medical Holdings Corp. 6.494%, 9/15/15⁽³⁾		270		263
Yankee Candle Co. Holdings LLC / Yankee
Finance, Inc. Series B, 9.750%, 2/15/17		335		348

				1,243

Energy—11.4%
Atwood Oceanics, Inc. 6.500%, 2/1/20		375		394
Bill Barrett Corp. 7.625%, 10/1/19		250		251
BreitBurn Energy Partners LP / BreitBurn Finance Corp. 144A 7.875%, 4/15/22⁽²⁾		295		296
Bumi Investment Pte Ltd. 144A 10.750%, 10/6/17⁽²⁾		300		299
Calumet Specialty Products Partners LP (Calumet Finance Corp.)
9.375%, 5/1/19⁽²⁾		230		232
144A 9.625%, 8/1/20⁽²⁾		200		204
Carrizo Oil & Gas, Inc. 8.625%, 10/15/18		230		242
Chesapeake Energy Corp. 6.775%, 3/15/19		510		498


	PAR VALUE		VALUE
Energy—(continued)
Cie Generale de Geophysique -Veritas 6.500%, 6/1/21	$	235	$	236
Copano Energy LLC / Copano Energy Finance Corp. 7.125%, 4/1/21		470		486
Crosstex Energy LP / Crosstex Energy Finance Corp. 8.875%, 2/15/18		335		354
Energy XXI Gulf Coast, Inc. 9.250%, 12/15/17		210		226
EP Energy LLC (EP Energy Finance, Inc.) 144A 9.375%, 5/1/20⁽²⁾		415		431
EV Energy Partners LP / EV Energy Finance Corp. 8.000%, 4/15/19		125		125
Expro Finance Luxembourg SCA 144A 8.500%, 12/15/16⁽²⁾		172		166
Forest Oil Corp. 7.250%, 6/15/19		350		323
Frontier Oil Corp. 6.875%, 11/15/18		220		230
Gulfmark Offshore, Inc. 144A 6.375%, 3/15/22⁽²⁾		400		405
Hercules Offshore, Inc. 144A 10.500%, 10/15/17⁽²⁾		240		241
Linn Energy LLC / Linn Energy Finance Corp. 7.750%, 2/1/21		490		515
Lukoil International Finance BV 144A 7.250%, 11/5/19⁽²⁾		360		405
National JSC Naftogaz of Ukraine 9.500%, 9/30/14		500		482
OGX Austria GmbH 144A 8.500%, 6/1/18⁽²⁾		750		671
Parker Drilling Co. 144A 9.125%, 4/1/18⁽²⁾		400		425
Petroleos de Venezuela SA RegS 8.500%, 11/2/17⁽⁴⁾		500		408
QEP Resources, Inc. 6.875%, 3/1/21		365		407
Quicksilver Resources, Inc. 7.125%, 4/1/16		400		310
SESI LLC 6.375%, 5/1/19		500		526
Targa Resources Partners LP (Targa Resources Partners Finance Corp.) 144A 6.375%, 8/1/22⁽²⁾		560		561
TNK-BP Finance S.A. RegS 7.250%, 2/2/20⁽⁴⁾		345		387
Venoco, Inc. 11.500%, 10/1/17		180		190

				10,926

Financials—16.5%
Agile Property Holdings Ltd. 144A 8.875%, 4/28/17⁽²⁾		520		515
Air Lease Corp. 144A 5.625%, 4/1/17⁽²⁾		755		747
Alfa Invest Ltd. RegS 7.875%, 9/25/17⁽⁴⁾		400		405
Ally Financial, Inc. 0.000%, 6/15/15		2,000		1,695


	PAR VALUE			VALUE
Financials—(continued)
Alta Mesa Holdings LP (Alta Mesa Finance Services Corp. ) 9.625%, 10/15/18	$	275		$	273
Antero Resources Finance Corp. 7.250%, 8/1/19		500			520
Avis Budget Car Rental LLC / Avis Budget Finance, Inc. 9.750%, 3/15/20		1,000			1,116
Banco Bilbao Vizcaya Argentaria Bancomer SA 144A 6.500%, 3/10/21⁽²⁾		250			253
Banco do Brasil SA 144A 9.250%, 10/15/49⁽²⁾		475			529
Bank of Georgia JSC 144A 7.750%, 7/5/17⁽²⁾		240			238
CIT Group, Inc. 144A 5.500%, 2/15/19⁽²⁾		1,000			1,030
CNL Lifestyle Properties, Inc. 7.250%, 4/15/19		500			463
Developers Diversified Realty Corp. 7.875%, 9/1/20		195			234
Felcor Lodging LP 6.750%, 6/1/19		1,000			1,029
Genworth Financial, Inc. 7.625%, 9/24/21		525			496
GRD Holdings III Corp. 144A 10.750%, 6/1/19⁽²⁾		320			318
Ineos Finance plc 144A 7.500%, 5/1/20⁽²⁾		220			223
Intelsat Jackson Holdings SA 7.250%, 10/15/20		980			1,031
International Lease Finance Corp.
8.750%, 3/15/17		715			806
6.250%, 5/15/19		455			464
Kazkommerts Bank International BV 144A 7.875%, 4/7/14⁽²⁾		600			595
Morgan Stanley 144A 10.090%, 5/3/17⁽²⁾		450	^BRL		231
Realogy Corp. 144A 7.875%, 2/15/19⁽²⁾		265			260
Regions Bank 7.500%, 5/15/18		250			282
Regions Financial Corp. 5.750%, 6/15/15		545			572
Reynolds Group Issuer Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer LLC 144A 8.500%, 5/15/18⁽²⁾		400			394
Springleaf Finance Corp.
5.850%, 6/1/13		250			241
5.400%, 12/1/15		250			209
United Rentals Financing Escrow Corp.
144A 5.750%, 7/15/18⁽²⁾		10			10
144A 7.375%, 5/15/20⁽²⁾		180			189
UPCB Finance V Ltd. 144A 7.250%, 11/15/21⁽²⁾		250			263
Vimpel Communications OJSC (VIP Finance Ireland Ltd.) 144A 7.748%, 2/2/21⁽²⁾		200			194

					15,825


	PAR VALUE		VALUE
Health Care—4.3%
Aviv Healthcare Properties LP / Aviv Healthcare Capital Corp. 7.750%, 2/15/19	$	465	$	481
Biomet, Inc. 11.625%, 10/15/17		400		433
Grifols, Inc. 8.250%, 2/1/18		500		539
HCA, Inc.
8.500%, 4/15/19		285		321
7.500%, 2/15/22		410		448
Health Management Associates, Inc. 144A 7.375%, 1/15/20⁽²⁾		250		267
Kinetic Concepts, Inc. 144A 10.500%, 11/1/18⁽²⁾		355		375
Symbion, Inc. 8.000%, 6/15/16		120		120
Tenet Healthcare Corp. 6.250%, 11/1/18		250		266
United Surgical Partners, Inc. / United Surgical Patners Finance Corp. 144A 9.000%, 4/1/20⁽²⁾		500		532
Valeant Pharmaceuticals International, Inc. 144A 7.250%, 7/15/22⁽²⁾		300		302

				4,084

Industrials—8.2%
ADS Tactical, Inc. 144A 11.000%, 4/1/18⁽²⁾		245		251
Aircastle Ltd. 7.625%, 4/15/20		715		729
Allison Transmission, Inc. 144A 7.125%, 5/15/19⁽²⁾		975		1,021
American Standard Americas 144A 10.750%, 1/15/16⁽²⁾		495		432
Briggs & Stratton Corp. 6.875%, 12/15/20		155		167
Cemex Finance LLC 144A 9.500%, 12/14/16⁽²⁾		550		539
CHC Helicopter SA 144A 9.250%, 10/15/20⁽²⁾		280		275
Deluxe Corp. 7.000%, 3/15/19		235		244
Dycom Investments, Inc. 7.125%, 1/15/21		1,000		1,030
DynCorp International, Inc. 10.375%, 7/1/17		1,110		955
GeoEye, Inc. 8.625%, 10/1/16		205		202
Iron Mountain, Inc. 7.750%, 10/1/19		435		472
JMC Steel Group 144A 8.250%, 3/15/18⁽²⁾		490		489
Kratos Defense & Security Solutions, Inc. 10.000%, 6/1/17		250		271
Masco Corp. 5.950%, 3/15/22		275		283
Pactiv LLC 8.125%, 6/15/17		535		495

				7,855

Information Technology—4.7%
Audatex North America, Inc. 144A 6.750%, 6/15/18⁽²⁾		290		307
CommScope, Inc. 144A 8.250%, 1/15/19⁽²⁾		950		1,009


	PAR VALUE		VALUE
Information Technology—(continued)
CoreLogic, Inc. 144A 7.250%, 6/1/21⁽²⁾	$	1,000	$	1,030
Digicel Ltd. 144A 8.250%, 9/1/17⁽²⁾		825		848
First Data Corp. 11.250%, 3/31/16		1,000		948
Freescale Semiconductor, Inc. 144A 9.250%, 4/15/18⁽²⁾		390		419

				4,561

Materials—5.4%
AEP Industries, Inc. 8.250%, 4/15/19		250		261
American Rock Salt Co. LLC 144A 8.250%, 5/1/18⁽²⁾		1,000		870
Ardagh Packaging Finance plc 144A 9.125%, 10/15/20⁽²⁾		275		290
Cascades, Inc. 7.875%, 1/15/20		880		885
Edgen Murray Corp. 12.250%, 1/15/15		260		260
FMG Resources Property Ltd. 144A 6.000%, 4/1/17⁽²⁾		300		302
Libbey Glass, Inc. 144A 6.875%, 5/15/20⁽²⁾		250		258
Momentive Performance Materials, Inc. 144A 10.000%, 10/15/20⁽²⁾		250		252
Sappi Papier Holding GmbH 144A 7.750%, 7/15/17⁽²⁾		250		254
144A 6.625%, 4/15/21⁽²⁾		500		475
Severstal OAO (Steel Capital SA) 144A 6.250%, 7/26/16⁽²⁾		695		698
Taseko Mines Ltd. 7.750%, 4/15/19		165		158
Vedanta Resources plc 144A 9.500%, 7/18/18⁽²⁾		250		254

				5,217

Telecommunication Services—7.5%
Cincinnati Bell, Inc. 8.250%, 10/15/17		230		240
Clearwire Communications LLC / Clearwire Finance, Inc. 144A 12.000%, 12/1/15⁽²⁾		200		183
Frontier Communications Corp. 8.125%, 10/1/18		295		315
GCI, Inc. 8.625%, 11/15/19		1,130		1,189
Hughes Satellite Systems Corp. 7.625%, 6/15/21		250		273
ITC DeltaCom, Inc. 10.500%, 4/1/16		845		904
MetroPCS Wireless, Inc. 6.625%, 11/15/20		570		563
NII Capital Corp. 7.625%, 4/1/21		750		647
Sprint Capital Corp. 6.875%, 11/15/28		650		523
Virgin Media Finance plc 8.375%, 10/15/19		250		282
West Corp. 7.875%, 1/15/19		375		394
Wind Acquisition Finance S.A.


	PAR VALUE		VALUE
Telecommunication Services—(continued)
144A 11.750%, 7/15/17⁽²⁾	$	300	$	244
144A 7.250%, 2/15/18⁽²⁾		370		324
Windstream Corp.
8.125%, 9/1/18		95		103
7.000%, 3/15/19		750		773
7.750%, 10/15/20		250		266

				7,223

Utilities—3.5%
AmeriGas Partners LP / AmeriGas Finance Corp.
6.250%, 8/20/19		230		232
7.000%, 5/20/22		300		310
Calpine Corp.
144A 7.875%, 7/31/20⁽²⁾		245		271
144A 7.500%, 2/15/21⁽²⁾		490		532
Covanta Holding Corp. 6.375%, 10/1/22		750		797
NRG Energy, Inc. 7.625%, 5/15/19		830		844
Texas Competitive Electric Holdings Co., LLC / Texas Competitive Holdings Finance, Inc. 144A 11.500%, 10/1/20⁽²⁾		500		344

				3,330

TOTAL CORPORATE BONDS AND NOTES (Identified Cost $75,035)				76,527

LOAN AGREEMENTS⁽³⁾—8.6%
Consumer Discretionary—2.9%
Cengage Learning Acquisitions, Inc. 2.500%, 7/3/14		324		301
Chrysler Group LLC / Chrysler Group Co-Issuer, Inc. Tranche B, 6.000%, 5/24/17		297		300
Clear Channel Communications, Inc.
Tranche A, 3.645%, 7/30/14		256		234
Tranche B, 3.895%, 1/29/16		581		465
Cumulus Media Holdings, Inc. Second Lien, 7.500%, 3/18/19		325		329
Granite Broadcasting Corp. Tranche B 8.500%, 5/23/18		195		193
Landry’s Restaurant, Inc. Tranche B, 6.500%, 4/24/18		399		401
SRAM LLC Second Lien, 8.500%, 12/7/18		235		237
TI Group Automotive Systems LLC 6.750%, 3/14/18		160		156


	PAR VALUE		VALUE
Consumer Discretionary—(continued)
Transtar Industries, Inc. Second Lien, 10.250%, 12/21/17	$	200	$	201

				2,817

Energy—1.0%
Chesapeake Energy Corp. 8.500%, 12/2/17		210		209
Frac Tech Services LLC 6.250%, 5/6/16		525		481
NGPL PipeCo LLC 6.750%, 9/15/17		267		262

				952

Financials—1.6%
Asurion LLC Second Lien, 9.000%, 5/24/19		230		235
First American Payment Systems LP 6.750%, 11/1/16		100		100
iStar Financial, Inc.
Tranche A-2, 7.000%, 6/30/14		375		375
Tranche A-2, 7.000%, 3/19/17		250		250
Lonestar Intermediate Super Holdings LLC 11.000%, 9/2/19		92		96
Nuveen Investments, Inc. Second Lien, 8.250%, 2/28/19		191		192
Springleaf Financial Funding Co. (American General Finance Corp.) 5.500%, 5/10/17		300		284

				1,532

Health Care—0.5%
AMN Healthcare, Inc. Tranche B, 6.000%, 4/5/18		489		492

Industrials—0.7%
Aveta, Inc.
(NAMM Holdings, Inc.) 8.500%, 4/4/17		123		123
(MMM Holdings, Inc.) 8.500%, 4/4/17		123		122
Harland Clarke Holdings Corp. Tranche B 2.788%, 6/30/14		277		249
Zuffa LLC 7.500%, 6/19/15		184		184

				678

Information Technology—1.6%
Blue Coat Systems, Inc. First Lien, 7.500%, 2/15/18		285		285
DynCorp International LLC 6.500%, 7/7/16		190		190
First Data Corp.
Tranche B-3 2.995%, 9/24/14		125		121
5.245%, 3/24/17		89		85
Lawson Software Tranche B, 6.250%, 4/5/18		400		403


	PAR VALUE		VALUE
Information Technology—(continued)
Spansion LLC 4.750%, 2/9/15	$	222	$	222
Zayo Group LLC 0.000%, 6/30/19		188		189

				1,495

Telecommunication Services—0.3%
Hawaiian Telcom Communications, Inc. 7.000%, 2/28/17		250		249

TOTAL LOAN AGREEMENTS (Identified Cost $8,166)				8,215


	SHARES		VALUE
PREFERRED STOCK—0.5%
Financials—0.5%
GMAC Capital Trust I Series 8.125%2		20,800		500

TOTAL PREFERRED STOCK (Identified Cost $520)				500

TOTAL LONG TERM INVESTMENTS—96.0% (Identified cost $90,593)				92,112

SHORT-TERM INVESTMENTS—3.3%
Money Market Mutual Funds—3.3%
BlackRock Liquidity Funds TempFund Portfolio - Insitutional Shares (seven-day effective yield 0.150%)		3,210,200		3,210

TOTAL SHORT-TERM INVESTMENTS (Identified Cost $3,210)				3,210

TOTAL INVESTMENTS—99.3% (Identified Cost $93,803)				95,322	⁽¹⁾
Other assets and liabilities, net—0.7%				646

NET ASSETS—100.0%			$	95,968

Abbreviations:

ADS	American Depositary Share

GmbH	Limited liability company.

OJSC	Open Joint Stock Company (Russia)

PIK	Payment-in-Kind Security

plc	Public Limited Co.

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at June 30, 2012, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2012, these securities amounted to a value of $31,283 or 32.6% of net assets.

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2012 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

The following is a reconciliation of assets of the Fund for Level 3 investments for which significant unobservable inputs were used to determine fair value.


	SHARES		VALUE
COMMON STOCKS—96.5%
Consumer Discretionary—5.4%
adidas AG (Germany)		2,800	$	200
British Sky Broadcasting Group plc (United Kingdom)		17,500		191
Reed Elsevier N.V. (Netherlands)		28,490		325
Sumitomo Rubber Industries Ltd. (Japan)		24,900		324

				1,040

Consumer Staples—11.6%
British American Tobacco plc (United Kingdom)		4,200		213
Colruyt SA (Belgium)		9,310		415
Nestle S.A. Registered Shares (Switzerland)⁽³⁾		10,180		607
Swedish Match AB (Sweden)		5,540		223
Tesco plc (United Kingdom)		43,900		213
Unilever N.V. (Netherlands)		6,412		214
Woolworths Ltd. (Australia)		12,120		334

				2,219

Energy—10.1%
BP plc (United Kingdom)		31,800		210
CNOOC Ltd. (Hong Kong)		121,000		244
Royal Dutch Shell plc A Shares (United Kingdom)		11,420		385
Royal Dutch Shell plc B Shares (United Kingdom)		8,500		296
Sakari Resources Ltd. (Singapore)		84,500		93
Total SA (France)		11,630		522
Woodside Petroleum Ltd. (Australia)		5,810		186

				1,936

Financials—10.1%
Hang Seng Bank Ltd. (Hong Kong)		26,000		357
Legal & General Group plc (United Kingdom)		121,900		243
Malayan Banking Bhd (Malaysia)		106,545		293
QBE Insurance Group Ltd. (Australia)		24,080		333
Tokyu REIT, Inc. (Japan)		43		211
United Overseas Bank Ltd. (Singapore)		16,200		241
Zurich Financial Services AG (Switzerland)⁽²⁾		1,090		245

				1,923

Health Care—10.9%
GlaxoSmithKline plc (United Kingdom)		11,800		267
Novartis AG Registered Shares (Switzerland)		8,970		500
Roche Holding AG (Switzerland)		3,260		562


	SHARES		VALUE
Health Care—(continued)
Sanofi (France)		5,180	$	392
Teva Pharmaceutical Industries Ltd. (Israel)		9,437		366

				2,087

Industrials—12.9%
Brambles Ltd. (Australia)		37,000		235
ComfortDelgro Corp., Ltd. (Singapore)		197,000		241
Deutsche Post AG Registered Shares (Germany)		12,279		216
Kone Oyj (Finland)		2,990		180
Koninklijke Vopak N.V. (Netherlands)		3,790		242
Legrand SA (France)		8,090		274
Makita Corp. (Japan)		7,800		274
Mitsubishi Electric Corp. (Japan)		33,000		276
Panalpina Welttransport Holding AG Registered
Shares (Switzerland)⁽²⁾		1,440		129
Schindler Holding AG (Switzerland)		1,003		112
Toyota Tsusho Corp. (Japan)		14,700		281

				2,460

Information Technology—8.3%
Advantech Co., Ltd. (Taiwan)		46,000		153
ASM Pacific Technology Ltd. (Hong Kong)		13,600		174
Computershare Ltd. (Australia)		25,900		198
Media Tek, Inc. (Taiwan)		11,000		102
SAP AG (Germany)		5,280		311
Venture Corp., Ltd. (Singapore)		29,000		180
VTech Holdings Ltd. (Hong Kong)		23,200		277
Wincor Nixdorf AG (Germany)		5,592		198

				1,593

Materials—10.0%
Air Liquide SA (France)		3,050		348
CRH plc (Ireland)⁽²⁾		11,000		210
Fuchs Petrolub AG (Germany)		4,877		266
Givaudan SA Registered Shares (Switzerland)⁽²⁾		116		114
Lafarge Malayan Cement BHD (Malaysia)		79,800		184
Rio Tinto Ltd. (Australia)		2,130		125
Shin-Etsu Chemical Co., Ltd. (Japan)		5,100		281
Symrise AG (Germany)		7,784		236
Syngenta AG Registered Shares (Switzerland)		400		136

				1,900

Telecommunication Services—11.5%
Axiata Group BHD (Malaysia)		31,100		54
Belgacom SA (Belgium)		7,570		215


	SHARES		VALUE
Telecommunication Services—(continued)
Bezeq The Israeli Telecommunication Corp., Ltd. (Israel)		128,496	$	134
Chunghwa Telecom Co., Ltd. (Taiwan)		75,600		238
Koninklijke KPN N.V. (Netherlands)		35,680		341
StarHub Ltd. (Singapore)		53,900		146
Telekom Malaysia Bhd (Malaysia)		143,800		257
Telenor ASA (Norway)		11,020		183
Telstra Corp., Ltd. (Australia)		67,000		254
Vodafone Group plc (United Kingdom)		133,500		375

				2,197

Utilities—5.7%
National Grid plc (United Kingdom)		22,100		234
Power Assets Holdings Ltd. (Hong Kong)		55,000		413
Scottish & Southern Energy plc (United Kingdom)		9,900		215
United Utilities Group plc (United Kingdom)		20,500		217

				1,079

TOTAL COMMON STOCKS (Identified Cost $18,249)				18,434

TOTAL LONG TERM INVESTMENTS—96.5% (Identified cost $18,249)				18,434

SHORT-TERM INVESTMENTS—3.2%
Money Market Mutual Funds—3.2%
Dreyfus Cash Management Fund—Institutional Shares (seven-day effective yield 0.080%)		611,532		612

TOTAL SHORT-TERM INVESTMENTS (Identified Cost $612)				612


TOTAL INVESTMENTS—99.7% (Identified Cost $18,861)		19,046	⁽¹⁾
Other assets and liabilities, net—0.3%		57

NET ASSETS—100.0%	$	19,103

Abbreviations:

AB	AktieBolag. The Swedish equivalent for “Inc.”, “Corp.”, “Ltd.” etc.

AG	Aktiengesellschaft a corporation that is limited by shares, i.e., owned by shareholders.

ASA	Allmennaksjeselskap a public limited company.

Bhd	Private company.

plc	Public Limited Co.

REIT	Real Estate Investment Trust

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at June 30, 2012, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Non-income producing.

⁽³⁾	All or a portion segregated as collateral for forward currency contracts.

At June 30, 2012, the Fund had entered into forward currency contracts as follows (reported in 000’s):

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2012 (See Security Valuation Note 1A in the Notes to Schedules of Investments):


	SHARES		VALUE
COMMON STOCKS—96.9%
Australia—19.3%
BGP Holdings plc^(2)(3)(4)		588,920	$	0
CFS Retail Property Trust		228,552		456
Dexus Property Group		959,115		918
GPT Group⁽²⁾		185,000		626
Westfield Group		296,573		2,904
Westfield Retail Trust		346,173		1,015

				5,919

Canada—15.0%
Allied Properties Real Estate Investment Trust		21,915		624
Brookfield Properties, Inc.		63,450		1,111
Canadian Real Estate Investment Trust		15,595		623
Cominar Real Estate Investment Trust		22,665		534
First Capital Realty, Inc.		25,085		452
RioCan Real Estate Investment Trust		46,050		1,253

				4,597

Finland—0.8%
Citycon Oyj		83,000		234


France—11.1%
Fonciere Des Regions		5,660		406
Klepierre		21,306		698
Societe Immobiliere de Location Pour L’industrie Et Le Commerce		3,047		288
Unibail-Rodamco		10,915		2,004

				3,396

Germany—1.9%
GSW Immobilien AG		17,390		594

Hong Kong—8.3%
Hongkong Land Holdings Ltd.		221,100		1,262
Link (The)		316,441		1,297

				2,559

Italy—0.9%
Beni Stabili SpA		616,257		267

Japan—6.8%
AEON Mall Co., Ltd.		34,530		736
Japan Prime Realty Investment Corp.		104		293
Japan Real Estate Investment Corp.		41		376


	SHARES		VALUE
Japan—(continued)
Nippon Building Fund, Inc.		72	$	696

				2,101

Netherlands—4.2%
Corio N.V.		16,361		717
Eurocommercial Properties N.V.		16,197		559

				1,276

Norway—1.3%
Norwegian Property ASA		284,600		389

Singapore—7.5%
CapitaCommercial Trust		152,400		153
CapitaMall Trust		263,650		400
CapitaRetail China Trust		430,725		446
Global Logistic Properties Ltd.⁽²⁾		501,500		835
Mapletree Logistics Trust		583,544		454

				2,288

Sweden—2.7%
Castellum AB		40,366		487
Fabege AB		45,000		352

				839

Switzerland—0.7%
PSP Swiss Property AG⁽²⁾		2,491		219


United Kingdom—16.4%
Big Yellow Group plc		135,161		614
British Land Co. plc		95,305		762
Derwent London plc		12,846		373
Great Portland Estates plc		37,018		228
Hammerson plc		124,609		864
Land Securities Group plc		109,685		1,269
Safestore Holdings plc		241,876		385
SEGRO plc		156,457		533

				5,028

TOTAL COMMON STOCKS (Identified Cost $25,295)				29,706

TOTAL LONG TERM INVESTMENTS—96.9% (Identified cost $25,295)				29,706


	SHARES		VALUE
SHORT-TERM INVESTMENTS—2.8%

Money Market Mutual Funds—2.8%
Dreyfus Cash Management Fund—Institutional Shares (seven-day effective yield 0.080%)		854,171	$	854

TOTAL SHORT-TERM INVESTMENTS (Identified Cost $854)				854

TOTAL INVESTMENTS—99.7% (Identified Cost $26,149)				30,560	⁽¹⁾
Other assets and liabilities, net—0.3%				83

NET ASSETS—100.0%			$	30,643

Abbreviations:

AB	AktieBolag. The Swedish equivalent for “Inc.”, “Corp.”, “Ltd.” etc.

AG	Aktiengesellschaft a corporation that is limited by shares, i.e., owned by shareholders.

ASA	Allmennaksjeselskap a public limited company.

N.V.	Naamloze Vennootschap a public limited liability company.

plc	Public Limited Co.

S.p.A.

Società delle azione unite Joint Stock Corp.

Footnote Legend:

⁽¹⁾	Federal Income Tax Information : For tax information at June 30, 2012, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Non-income producing.

⁽³⁾	Illiquid security.

⁽⁴⁾	Security valued at fair value as determined in good faith by or under the direction of the Trustees. This security is disclosed as a level 3 security in the disclosure table located after the Schedule of Investments.

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2012 (See Security Valuation Note 1A in the Notes to Schedules of Investments):


	PAR VALUE			VALUE
U.S. GOVERNMENT SECURITIES—3.4%
U.S. Treasury Bond 3.125%, 11/15/41	$	3,500		$	3,769
U.S. Treasury Note 2.000%, 11/15/21		7,750			8,041

TOTAL U.S. GOVERNMENT SECURITIES (Identified Cost $11,752)					11,810

MUNICIPAL BONDS—0.2%
Kentucky—0.1%
Commonwealth of Kentucky Taxable 3.165%, 4/1/18		505			522

Michigan—0.0%
Tobacco Settlement Finance Authority Taxable Series 06-A, 7.309%, 6/1/34		155			115

Virginia—0.1%
Tobacco Settlement Financing Corp. Taxable Series 07-A1, 6.706%, 6/1/46		345			220

TOTAL MUNICIPAL BONDS (Identified Cost $979)					857

FOREIGN GOVERNMENT SECURITIES—9.3%
Bolivarian Republic of Venezuela RegS 9.250%, 9/15/27⁽⁵⁾		360			294
9.375%, 1/13/34		950			736
Commonwealth of Australia Series 118, 6.500%, 5/15/13		2,880	^AUD		3,039
Commonwealth of Canada
2.000%, 9/1/12		4,534	^CAD		4,460
1.750%, 3/1/13		855			844
Commonwealth of New Zealand
Series 413, 6.500%, 4/15/13		2,104	^NZD		1,737
Series 415, 6.000%, 4/15/15		220	^NZD		193
Federative Republic of Brazil 8.500%, 1/5/24		6,195	^BRL		3,362
Kingdom of Norway Series 470 6.500%, 5/15/13		4,243	^NOK		744
Kingdom of Sweden Series 1041, 6.750%, 5/5/14		5,310	^SEK		847
Republic of Argentina
Provincia de Bueno Aires Series GDP, 144A 10.875%, 1/26/21⁽⁴⁾		500			273
Provincia de Neuquen 144A 7.875%, 4/26/21⁽⁴⁾		628			496
PIK Interest Capitalization 8.280%, 12/31/33		3,822			2,523
Series GDP 7.085%, 12/15/35⁽³⁾		1,740			178
Republic of Colombia 12.000%, 10/22/15		925,000	^COP		643
Republic of Hungary 4.750%, 2/3/15		775			748


	PAR VALUE			VALUE
Republic of Iceland 144A 5.875%, 5/11/22⁽⁴⁾	$	925		$	898
Republic of Indonesia Series FR-23, 11.000%, 12/15/12		6,200,000	^IDR		678
Republic of Lithuania
144A 7.375%, 2/11/20⁽⁴⁾		500			590
144A 6.625%, 2/1/22⁽⁴⁾		450			515
Republic of Poland Series 0414, 5.750%, 4/25/14		4,405	^PLZ		1,348
Republic of South Africa Series R206 7.500%, 1/15/14		11,845	^ZAR		1,497
Republic of Turkey
9.000%, 3/5/14		1,970	^TRY		1,099
6.750%, 5/30/40		500			584
Slovak Republic 144A 4.375%, 5/21/22⁽⁴⁾		850			837
State of Qatar 144A 4.500%, 1/20/22⁽⁴⁾		550			607
United Mexican States Series M, 6.000%, 6/18/15		32,842	^MXN		2,547

TOTAL FOREIGN GOVERNMENT SECURITIES (Identified Cost $31,501)					32,317

MORTGAGE-BACKED SECURITIES—17.3%
Agency—3.2%
FNMA
4.000%, 8/1/25		2,248			2,392
4.500%, 4/1/40		1,590			1,712
3.500%, 4/1/42		1,894			1,998
3.500%, 5/1/42		4,668			4,924

					11,026

Non-Agency—14.1%
JPMorgan Chase & Co. 06-A4, 3A1 5.518%, 6/25/36⁽³⁾		1,321			1,125
American Tower Trust 07-1A, C 144A 5.615%, 4/15/37⁽⁴⁾		750			788
Bank of America (Merrill Lynch) Commercial Mortgage, Inc. 07-1, AMFX 5.482%, 1/15/49⁽³⁾		1,390			1,421
Bear Stearns Commercial Mortgage Securities 07- PW18, AM 6.084%, 6/11/50⁽³⁾		725			779
Bear Stearns Commercial Mortgage Securities, Inc.
06-T22, AM 5.539%, 4/12/38⁽³⁾		900			962
06-PW12, AM 5.757%, 9/11/38⁽³⁾		650			707
06-PW14, A4 5.201%, 12/11/38		350			395
05-PW10, AM 5.449%, 12/11/40⁽³⁾		725			757
06-PW13, AM 5.582%, 9/11/41⁽³⁾		1,360			1,456
07-T28, A4 5.742%, 9/11/42⁽³⁾		800			931


	PAR VALUE		VALUE
Non-Agency—(continued)
07-PW18, A4 5.700%, 6/11/50	$	750	$	864
Chase Mortgage Finance Corp. 07-A1,10A1 3.029%, 2/25/37⁽³⁾		984		913
Citigroup—Deutsche Bank Commercial Mortgage Trust
05-CD1, AM 5.219%, 7/15/44⁽³⁾		610		659
07-CD4, A4 5.322%, 12/11/49		475		528
Countrywide Alternative Loan Trust
06-13T1, A5 6.000%, 5/25/36		884		610
06-13T1, A11 6.000%, 5/25/36		945		648
Countrywide Home Loan Mortgage Pass-Through- Trust 04-R1, 2A, 144A 6.500%, 11/25/34⁽⁴⁾		551		558
Credit Suisse Mortgage Capital Certificates 06-C1, A3 5.416%, 2/15/39⁽³⁾		446		454
Extended Stay America Trust 10-ESHA, D, 144A 5.498%, 11/5/27⁽⁴⁾		1,255		1,267
GE Capital Commercial Mortgage Corp. 03-C1, C 4.975%, 1/10/38⁽³⁾		595		604
GMAC Commercial Mortgage Securities, Inc. 04—C2, A3 5.134%, 8/10/38		398		412
GMAC Mortgage Corp. Loan Trust
06-HLTV, A4 5.810%, 10/25/29		962		936
05-AR6, 2A1 3.071%, 11/19/35⁽³⁾		595		431
Goldman Sachs Mortgage Pass-Through Securities Mortgage Loan Trust 05-RP1, 1A3 144A 8.000%, 1/25/35⁽⁴⁾		1,380		1,405
Goldman Sachs Mortgage Securities Corp. II 07- GG10, A4 5.790%, 8/10/45⁽³⁾		1,300		1,443
Greenwich Capital Commercial Funding Corp. 02- C1, A4 4.948%, 1/11/35		966		972
Homebanc Mortgage Trust 05-4, A2 0.575%, 10/25/35⁽³⁾		1,229		866
JPMorgan Chase Commercial Mortgage Securities Corp.
10-CNTR, A2, 144A 4.311%, 8/5/32⁽⁴⁾		750		795
06-CB17, AM 5.464%, 12/12/43		900		856
06-LDP7, AM 5.871%, 4/15/45⁽³⁾		1,000		1,079
06-LDP7, A4 5.871%, 4/15/45⁽³⁾		1,800		2,054
06-LDP9, A3 5.336%, 5/15/47		850		941
07-LD12, A4 5.882%, 2/15/51⁽³⁾		750		852
Lehman Brothers—UBS Commercial Mortgage Trust 06-C3, AM 5.712%, 3/15/39⁽³⁾		740		791


	PAR VALUE		VALUE
Non-Agency—(continued)
07-C2, A3 5.430%, 2/15/40	$	1,100	$	1,228
07-C7, A3 5.866%, 9/15/45⁽³⁾		600		688
Lehman Brothers Commercial Conduit Mortgage Trust 07-C3, A4 5.885%, 7/15/44⁽³⁾		500		577
MASTR Alternative Loans Trust 04-6,10A1 6.000%, 7/25/34		811		822
MASTR Reperforming Loan Trust 05-1, 1A5 144A 8.000%, 8/25/34⁽⁴⁾		846		881
Merrill Lynch Mortgage Investors, Inc. 98-C1, C 6.750%, 11/15/26⁽³⁾		1,260		1,376
Merrill Lynch Mortgage Trust 06-C1, AM 5.659%, 5/12/39⁽³⁾		715		773
Morgan Stanley Capital I 05-HQ5, A3 5.007%, 1/14/42		23		23
Morgan Stanley Capital I, Inc. 07-IQ14, A4 5.692%, 4/15/49⁽³⁾		970		1,068
Morgan Stanley Mortgage Loan Trust 07-11AR, 2A3 2.791%, 6/25/37⁽³⁾		1,693		728
Nomura Asset Acceptance Corp.
04-R1, A1 144A 6.500%, 3/25/34⁽⁴⁾		1,262		1,281
04-R3, A1 144A 6.500%, 2/25/35⁽⁴⁾		537		545
Residential Accredit Loans, Inc. 04-QS16, 1A5 5.500%, 12/25/34		1,260		1,223
Residential Funding Mortgage Securities I, Inc. 05- S1, 1A2 5.500%, 2/25/35		1,650		1,588
Royal Bank of Scotland Group Mortgage Pass- Through Certificates 07-B, 3A2 5.250%, 7/25/35⁽³⁾		519		495
SunTrust Adjustable Rate Mortgage Loan Trust 07-S1, 5A1 4.769%, 1/25/37⁽³⁾		1,029		1,029
Wachovia Bank Commercial Mortgage Trust 07-C33, A4 6.097%, 7/15/17⁽³⁾		550		617
06-C25, AM 5.736%, 5/15/43⁽³⁾		1,125		1,228
07-C30, A5 5.342%, 12/15/43		1,610		1,738
Washington Mutual Commercial Mortgage Securities Trust 06-SL1, A, 144A 5.296%, 11/23/43⁽³⁾⁽⁴⁾		630		617
Wells Fargo Mortgage Backed Securities Trust 07- 16, 1A7 6.000%, 12/28/37		358		338

				49,122

TOTAL MORTGAGE-BACKED SECURITIES (Identified Cost $56,700)				60,148


	PAR VALUE		VALUE
ASSET-BACKED SECURITIES—4.6%
ABSC Long Beach Home Equity Loan Trust 00-LB1, M1F 8.240%, 3/21/29⁽³⁾	$	957	$	704
AmeriCredit Automobile Receivables Trust
11-4, E, 144A 6.530%, 1/8/19⁽⁴⁾		300		310
11-5, E 6.760%, 3/8/19		600		648
Bombardier Capital Mortgage Securitization Corp. 99-A, A3 5.980%, 1/15/18⁽³⁾		590		584
Citicorp Residential Mortgage Securities, Inc. 07- 2, A3 6.080%, 6/25/37⁽³⁾		1,492		1,493
CLI Funding LLC 12-1A, A 144A 4.210%, 6/18/27⁽⁴⁾		835		835
Conseco Finance Securitizations Corp. 01-3, A4 6.910%, 5/1/33⁽³⁾		538		562
Conseco Financial Corp. 96-2, M1 7.600%, 4/15/26⁽³⁾		803		733
Countrywide Asset-Backed Certificates
04-13, AF4 4.583%, 1/25/33⁽³⁾		480		467
05-12, 1A4 5.323%, 2/25/36⁽³⁾		1,150		1,125
Dominos Pizza Master Issuer LLC 12-1A, A2, 144A 5.216%, 1/25/42⁽⁴⁾		1,245		1,299
Equity One ABS, Inc. 01-3, AF4 6.252%, 5/25/32⁽³⁾		876		668
GSAA Home Equity Trust 05-12, AF3W 4.999%, 9/25/35⁽³⁾		1,283		1,230
Hertz Vehicle Financing LLC 11-1A, A2, 144A 3.290%, 3/25/18⁽⁴⁾		655		692
IndyMac Manufactured Housing Contract 98-1, A3 6.370%, 9/25/28		393		409
Lehman XS Trust 05-5, 3A2B 5.420%, 11/25/35⁽³⁾		918		868
Popular ABS Mortgage Pass-Through-Trust 05-5, AF3 5.086%, 11/25/35⁽³⁾		294		271
Residential Funding Mortgage Securities II, Inc. 03- HS3, AJ4 5.050%, 9/25/33⁽³⁾		1,141		1,147
TAL advantage LLC 12-1A, A 144A 3.860%, 5/20/27⁽⁴⁾		992		994
Terwin Mortgage Trust 04-15AL, A1 144A 5.813%, 7/25/34⁽³⁾⁽⁴⁾		455		402
Trip Rail Master Funding LLC 11-1A, A1A, 144A 4.370%, 7/15/41⁽⁴⁾		383		390

TOTAL ASSET-BACKED SECURITIES (Identified Cost $15,603)				15,831


	PAR VALUE			VALUE
CORPORATE BONDS AND NOTES—46.6%
Consumer Discretionary—6.3%
American Axle & Manufacturing Holdings, Inc. 144A 9.250%, 1/15/17⁽⁴⁾	$	315		$	354
Arcos Dorados B.V. 144A 7.500%, 10/1/19⁽⁴⁾		175			190
Arcos Dorados Holdings, Inc. 144A 10.250%, 7/13/16⁽⁴⁾		1,125	^BRL		594
Boyd Gaming Corp. 9.125%, 12/1/18		215			223
144A 9.000%, 7/1/20⁽⁴⁾		425			428
Cengage Learning Acquisitions, Inc. 144A 10.500%, 1/15/15⁽⁴⁾		400			306
Cequel Communications Holdings I LLC / Cequel Capital Corp. 144A 8.625%, 11/15/17⁽⁴⁾		170			184
Claire’s Stores, Inc. 144A 9.000%, 3/15/19⁽⁴⁾		750			762
Clear Channel Communications, Inc. 9.000%, 3/1/21		500			438
Dana Holding Corp. 6.500%, 2/15/19		426			455
Gap, Inc. (The) 5.950%, 4/12/21		300			311
Gateway Casinos & Entertainment Ltd. 144A 8.875%, 11/15/17⁽⁴⁾		200	^CAD		210
Globo Comunicacao e Participacoes SA 144A 4.875%, 4/11/22⁽⁴⁾		930			967
HOA Restaurant Group LLC (HOA Finance Corp.) 144A 11.250%, 4/1/17⁽⁴⁾		715			666
Hyatt Hotels Corp. 144A 5.750%, 8/15/15⁽⁴⁾		100			110
5.375%, 8/15/21		500			550
International Game Technology 7.500%, 6/15/19		580			692
inVentiv Health, Inc. 144A 10.000%, 8/15/18⁽⁴⁾		400			344
Landry’s, Inc. 144A 9.375%, 5/1/20⁽⁴⁾		475			485
Lotte Shopping Co. Ltd. 144A 3.375%, 5/9/17⁽⁴⁾		800			813
Mediacom LLC (Mediacom Capital Corp.) 9.125%, 8/15/19		750			827
MGM Resorts International
7.500%, 6/1/16		745			775
7.625%, 1/15/17		400			415
Nara Cable Funding Ltd. 144A 8.875%, 12/1/18⁽⁴⁾		700			605
Northwest Airlines Pass-Through-Trust
01-1, B 7.691%, 4/1/17		738			760
02-1, G2 6.264%, 11/20/21		1,001			1,021
Ono Finance II plc 144A 10.875%, 7/15/19⁽⁴⁾		150			117
Penn National Gaming, Inc. 8.750%, 8/15/19		700			779


	PAR VALUE		VALUE
Consumer Discretionary—(continued)
Pittsburgh Glass Works LLC 144A 8.500%, 4/15/16⁽⁴⁾	$	650	$	601
QVC, Inc.
144A 7.500%, 10/1/19⁽⁴⁾		1,070		1,188
144A 5.125%, 7/2/22⁽⁴⁾		240		245
River Rock Entertainment Authority (The) 9.000%, 11/1/18		232		154
Seneca Gaming Corp. 144A 8.250%, 12/1/18⁽⁴⁾		70		72
Toys R Us Property Co. II LLC 8.500%, 12/1/17		600		628
TRW Automotive, Inc. 144A 8.875%, 12/1/17⁽⁴⁾		140		155
U.S. Airways Pass-Through-Trust
99-1A 8.360%, 1/20/19		1,064		1,085
11-1 A 7.125%, 10/22/23		713		756
UAL Pass-Through-Trust
09-2 9.750%, 1/15/17		509		579
07-01A 6.636%, 7/2/22		713		745
Univision Communications, Inc. 144A 7.875%, 11/1/20⁽⁴⁾		125		134
Wyndham Worldwide Corp. 7.375%, 3/1/20		590		703
Wynn Las Vegas LLC (Wynn Las Vegas Capital Corp.) 7.875%, 11/1/17		450		497

				21,923

Consumer Staples—0.5%
BAT International Finance plc 144A 3.250%, 6/7/22⁽⁴⁾		885		875
Flowers Foods, Inc. 4.375%, 4/1/22		650		658
Select Medical Holdings Corp. 6.494%, 9/15/15⁽³⁾		325		317

				1,850

Energy—8.2%
Afren plc 144A 11.500%, 2/1/16⁽⁴⁾		475		509
Antero Resources Finance Corp. 9.375%, 12/1/17		250		278
Atwood Oceanics, Inc. 6.500%, 2/1/20		825		866
Bill Barrett Corp. 7.625%, 10/1/19		650		653
BreitBurn Energy Partners LP / BreitBurn Finance Corp. 144A 7.875%, 4/15/22⁽⁴⁾		1,005		1,010
Bumi Investment Pte Ltd. 144A 10.750%, 10/6/17⁽⁴⁾		725		723
Calumet Specialty Products Partners LP (Calumet Finance Corp.) 9.375%, 5/1/19		763		769
Carrizo Oil & Gas, Inc. 8.625%, 10/15/18		686		720
Chesapeake Energy Corp. 6.775%, 3/15/19		320		312


	PAR VALUE		VALUE
Energy—(continued)
Cie Generale de Geophysique -Veritas 6.500%, 6/1/21	$	725	$	729
Cimarex Energy Co. 5.875%, 5/1/22		1,025		1,067
Compagnie Generale de Geophysique-Veritas 7.750%, 5/15/17		110		114
Energy Partners Ltd. 8.250%, 2/15/18		500		494
Energy XXI Gulf Coast, Inc. 9.250%, 12/15/17		500		538
EP Energy LLC (EP Energy Finance, Inc.) 144A 9.375%, 5/1/20⁽⁴⁾		840		872
EV Energy Partners LP / EV Energy Finance Corp. 8.000%, 4/15/19		325		324
Expro Finance Luxembourg SCA 144A 8.500%, 12/15/16⁽⁴⁾		460		443
Frontier Oil Corp. 6.875%, 11/15/18		210		219
Gazprom OAO (Gaz Capital SA)
144A 6.212%, 11/22/16⁽⁴⁾		935		1,014
144A 8.146%, 4/11/18⁽⁴⁾		460		548
144A 6.510%, 3/7/22⁽⁴⁾		315		349
Gulfmark Offshore, Inc. 144A 6.375%, 3/15/22⁽⁴⁾		760		770
Hercules Offshore, Inc. 144A 10.500%, 10/15/17⁽⁴⁾		640		643
Linn Energy LLC / Linn Energy Finance Corp. 144A 6.500%, 5/15/19⁽⁴⁾		512		509
Lukoil International Finance BV
144A 7.250%, 11/5/19^(4)(10)		525		591
144A 6.125%, 11/9/20⁽⁴⁾		500		524
MIE Holdings Corp. 144A 9.750%, 5/12/16⁽⁴⁾		550		538
National JSC Naftogaz of Ukraine 9.500%, 9/30/14		600		578
OGX Austria GmbH 144A 8.500%, 6/1/18⁽⁴⁾		800		716
Parker Drilling Co. 144A 9.125%, 4/1/18⁽⁴⁾		775		823
Petrobras International Finance Co. 5.375%, 1/27/21		500		539
Petroleos de Venezuela SA
RegS 5.250%, 4/12/17⁽⁵⁾		375		270
RegS 8.500%, 11/2/17⁽⁵⁾		1,420		1,157
Petroleos Mexicanos
6.000%, 3/5/20		270		312
5.500%, 1/21/21		550		622
144A 5.500%, 6/27/44⁽⁴⁾		650		665
Petroplus Finance Ltd. 144A 6.750%, 5/1/14^(4)(11)		535		67
Petropower I Funding Trust 144A 7.360%, 2/15/14⁽⁴⁾⁽⁶⁾		244		250
Pioneer Drilling Co. 144A 9.875%, 3/15/18⁽⁴⁾		120		127


	PAR VALUE		VALUE
Energy—(continued)
Pioneer Energy Services Corp. 9.875%, 3/15/18	$	110	$	116
QEP Resources, Inc. 6.875%, 3/1/21		480		535
Rowan Cos., Inc. 4.875%, 6/1/22		870		878
SESI LLC 6.375%, 5/1/19		650		684
Swift Energy Co. 8.875%, 1/15/20		500		528
Targa Resources Partners LP (Targa Resources Partners Finance Corp.) 144A 6.375%, 8/1/22⁽⁴⁾		1,050		1,053
Tesoro Corp. 6.500%, 6/1/17		680		702
TNK-BP Finance S.A. RegS 7.500%, 7/18/16⁽⁵⁾		165		183
TNK-BP Finance SA 144A 7.250%, 2/2/20⁽⁴⁾		100		112
Transocean, Inc. 6.375%, 12/15/21		280		321
Venoco, Inc.
11.500%, 10/1/17		600		633
8.875%, 2/15/19		225		206
Weatherford International Ltd. 9.625%, 3/1/19		318		415

				28,618

Financials—16.5%
ABN Amro Bank N.V. 144A 4.250%, 2/2/17⁽⁴⁾		850		865
ADCB Finance Cayman Ltd. 144A 4.750%, 10/8/14⁽⁴⁾		560		593
Agile Property Holdings Ltd. 144A 10.000%, 11/14/16⁽⁴⁾		240		251
Air Lease Corp. 144A 5.625%, 4/1/17⁽⁴⁾		770		762
Alfa Invest Ltd. RegS 7.875%, 9/25/17⁽⁵⁾		755		764
Allstate Corp. 6.125%, 5/15/37⁽³⁾		680		670
Alta Mesa Holdings LP (Alta Mesa Finance Services Corp. ) 9.625%, 10/15/18		775		769
American International Group, Inc. 4.875%, 6/1/22		350		358
8.175%, 5/15/58⁽³⁾		650		705
Associated Banc Corp. 5.125%, 3/28/16		355		380
Banco Bilbao Vizcaya Argentaria Bancomer SA 144A 6.500%, 3/10/21⁽⁴⁾		425		429
Banco Bradesco SA 144A 5.900%, 1/16/21⁽⁴⁾		1,150		1,193
Banco de Credito del Peru 144A 4.750%, 3/16/16⁽⁴⁾		600		616
Banco do Brasil SA 144A 5.375%, 1/15/21⁽⁴⁾		600		608
Banco Votorantim SA 144A 7.375%, 1/21/20⁽⁴⁾		550		582
Bank of Georgia JSC 144A 7.750%, 7/5/17⁽⁴⁾		515		510
Barclays Bank plc
144A 5.926%, 1/1/00^(3)(4)(8)(9)		600		546
144A 6.050%, 12/4/17⁽⁴⁾		435		440


	PAR VALUE		VALUE
Financials—(continued)
Blackstone Holdings Finance Co., LLC 144A 6.625%, 8/15/19⁽⁴⁾	$	385	$	422
Boston Properties LP 3.850%, 2/1/23		900		909
Brandywine Operating Partnership LP 4.950%, 4/15/18		560		574
Capital One Capital IV 8.875%, 5/15/40⁽⁹⁾		1,000		1,017
Chubb Corp. 6.375%, 3/29/67⁽³⁾		680		702
Citigroup, Inc. 5.500%, 2/15/17		1,110		1,160
City National Corp. 5.250%, 9/15/20		475		506
Discover Bank
8.700%, 11/18/19		250		311
7.000%, 4/15/20		700		815
Equity One, Inc. 6.250%, 12/15/14		375		402
Fidelity National Financial, Inc. 6.600%, 5/15/17		750		811
Fifth Third Capital Trust IV 6.500%, 4/15/37⁽³⁾		800		795
First Niagara Financial Group, Inc. 6.750%, 3/19/20		1,160		1,316
First Tennessee Bank N.A. 5.650%, 4/1/16		705		736
Ford Motor Credit Co. LLC
6.625%, 8/15/17		255		291
8.125%, 1/15/20		650		797
Genworth Financial, Inc. 5.750%, 6/15/14		500		508
7.625%, 9/24/21		700		662
Glen Meadow Pass-Through-Trust 144A 6.505%, 2/12/67⁽³⁾⁽⁴⁾		970		706
GRD Holdings III Corp. 144A 10.750%, 6/1/19⁽⁴⁾		520		517
Hana Bank
144A 4.500%, 10/30/15⁽⁴⁾		400		424
144A 3.500%, 10/25/17⁽⁴⁾		925		951
HBOS plc 144A 6.750%, 5/21/18⁽⁴⁾		115		109
HSBC Finance Corp. 6.676%, 1/15/21		500		542
Huntington Bancshares, Inc. 7.000%, 12/15/20		500		586
Hutchison Whampoa International 12 Ltd. Series 12 144A 6.000%, 12/31/49⁽³⁾⁽⁴⁾		980		992
ING Bank NV 144A 5.000%, 6/9/21⁽⁴⁾		600		624
International Lease Finance Corp.
5.650%, 6/1/14		600		618
6.250%, 5/15/19		399		407
Jefferies Group, Inc. 8.500%, 7/15/19		500		542
JPMorgan Chase Capital XXVII Series AA 7.000%, 11/1/39⁽⁹⁾		500		500
Kazkommerts Bank International BV


	PAR VALUE			VALUE
Financials—(continued)
RegS 8.500%, 4/16/13⁽⁵⁾	$	500		$	504
RegS 8.000%, 11/3/15⁽⁵⁾		250			235
Korea Development Bank 3.500%, 8/22/17		1,300			1,358
Korea Finance Corp. 4.625%, 11/16/21		700			759
Legg Mason, Inc. 144A 5.500%, 5/21/19⁽⁴⁾		200			202
Lincoln National Corp. 6.050%, 4/20/67⁽³⁾⁽⁹⁾		300			274
Lloyds Banking Group Capital No.1 PLC 144A 7.875%, 11/1/20⁽⁴⁾		600			543
Lloyds TSB Bank plc 144A 6.500%, 9/14/20⁽⁴⁾		750			739
Macquarie Bank Ltd. 144A 6.625%, 4/7/21⁽⁴⁾		150			151
Macquarie Group Ltd. 144A 7.625%, 8/13/19⁽⁴⁾		500			538
Morgan Stanley
5.750%, 10/18/16		100			103
144A 10.090%, 5/3/17⁽⁴⁾		1,000	^BRL		514
National Retail Properties, Inc. 5.500%, 7/15/21		600			636
ORIX Corp. 5.000%, 1/12/16		343			359
Progressive Corp. (The) 6.700%, 6/15/37⁽³⁾		1,200			1,248
Prudential Financial, Inc. 8.875%, 6/15/38⁽³⁾⁽⁹⁾		450			534
Realogy Corp. 144A 7.875%, 2/15/19⁽⁴⁾		500			491
Regions Bank 7.500%, 5/15/18		750			846
Regions Financial Corp.
7.750%, 11/10/14		200			216
5.750%, 6/15/15		210			221
Reliance Holdings USA, Inc. 144A 5.400%, 2/14/22⁽⁴⁾		1,000			1,001
Resona Bank Ltd. 144A 5.850%, 9/29/49^(3)(4)(8)(9)		750			772
Royal Bank of Scotland Group plc (The) 6.400%, 10/21/19		370			395
7.648%, 8/29/49^(3)(8)(9)		550			445
Royal Bank of Scotland plc (The) 4.875%, 3/16/15		285			295
3.950%, 9/21/15		205			209
5.625%, 8/24/20		750			796
Russian Agricultural Bank OJSC (RSHB Capital SA)
144A 9.000%, 6/11/14⁽⁴⁾		100			110
144A 6.299%, 5/15/17⁽⁴⁾		380			402
144A 5.298%, 12/27/17⁽⁴⁾		200			203
Santander U.S. Debt S.A. 144A 3.724%, 1/20/15⁽⁴⁾		800			744
Sberbank of Russia (Sberbank Capital SA) 144A 6.125%, 2/7/22^(4)(10)		750			781
Shinhan Bank 144A 4.375%, 7/27/17⁽⁴⁾		650			694


	PAR VALUE		VALUE
Financials—(continued)
Societe Generale S.A . 144A 5.922%, 4/29/49^(3)(4)(8)(9)	$	650	$	442
Sovereign Bank 8.750%, 5/30/18		400		434
Spansion LLC 7.875%, 11/15/17		350		338
Springleaf Finance Corp. 5.400%, 12/1/15		750		628
SunTrust Bank, Inc. 5.400%, 4/1/20		250		260
United Rentals Financing Escrow Corp.
144A 5.750%, 7/15/18⁽⁴⁾		25		26
144A 7.375%, 5/15/20⁽⁴⁾		480		503
Vanguard Health Holding Co. II, LLC / Vanguard
Holding Co. II, Inc. 7.750%, 2/1/19		466		473
Ventas Realty LP / Ventas Capital Corp. 4.000%, 4/30/19		775		795
Vnesheconombank (VEB Finance plc)
144A 6.902%, 7/9/20⁽⁴⁾		655		709
144A 6.800%, 11/22/25⁽⁴⁾		500		523
VTB Bank OJSC (VTB Capital SA) 144A 6.000%, 4/12/17⁽⁴⁾⁽¹⁰⁾		775		787
Webster Financial Corp. 5.125%, 4/15/14		205		202
Willis Group Holdings plc North America, Inc.
7.000%, 9/29/19		500		580
5.750%, 3/15/21		465		507
Yankee Candle Co. Holdings LLC / Yankee
Finance, Inc. PIK Interest Capitalization 10.250%, 2/15/16		440		450
Zions Bancorp
7.750%, 9/23/14		225		244
4.500%, 3/27/17		710		714

				57,226

Health Care—0.4%
Express Scripts Holding Co. 144A 3.900%, 2/15/22⁽⁴⁾		870		902
Omnicare, Inc. 7.750%, 6/1/20		240		263
Patheon, Inc. 144A 8.625%, 4/15/17⁽⁴⁾		110		108
Rotech Healthcare, Inc. 10.750%, 10/15/15		75		72
Select Medical Corp. 7.625%, 2/1/15		225		226
U.S. Oncology, Inc. 0.000%, 2/16/49⁽⁷⁾		300		0

				1,571

Industrials—5.8%
ADS Tactical, Inc. 144A 11.000%, 4/1/18⁽⁴⁾		600		615
Aircastle Ltd. 7.625%, 4/15/20		1,290		1,316


	PAR VALUE		VALUE
Industrials—(continued)
America West Airlines, Inc. Pass-Through-Trust 00-1, G 8.057%, 7/2/20	$	485	$	514
Atlas Air Pass-Through-Trust
98-1, A 7.380%, 1/2/18		656		656
99-1, A1 7.200%, 1/2/19		750		750
AWAS Aviation Capital Ltd. 144A 7.000%, 10/17/16⁽⁴⁾		1,118		1,163
CHC Helicopter SA 9.250%, 10/15/20		725		712
Continental Airlines Pass-Through-Trust
98-1, A, 6.648%, 9/15/17		281		296
97-4, A, 6.900%, 1/2/18		458		482
01-A1, 6.703%, 6/15/21		241		259
Deluxe Corp. 7.000%, 3/15/19		510		530
Embraer SA 5.150%, 6/15/22		1,040		1,068
Iron Mountain, Inc. 7.750%, 10/1/19		650		705
JMC Steel Group 144A 8.250%, 3/15/18⁽⁴⁾		570		569
Kratos Defense & Security Solutions, Inc. 10.000%, 6/1/17		625		677
Liberty Tire Recycling 144A 11.000%, 10/1/16⁽⁴⁾		170		156
Masco Corp. 5.950%, 3/15/22		1,560		1,607
Nortek, Inc. 8.500%, 4/15/21		500		491
Owens Corning, Inc. 6.500%, 12/1/16		595		662
Pactiv LLC 8.125%, 6/15/17		1,645		1,522
Production Resource Group, Inc. 8.875%, 5/1/19		250		190
Ryder System, Inc. 2.500%, 3/1/17		1,000		1,009
Steelcase, Inc. 6.375%, 2/15/21		675		716
Teekay Corp. 8.500%, 1/15/20		300		306
Thermadyne Holdings Corp. 9.000%, 12/15/17		500		514
U.S. Airways Pass-Through-Trust
01-1G 7.076%, 3/20/21		1,041		1,065
12-1A 5.900%, 10/1/24		500		512
Verso Paper Holdings LLC / Verso Paper, Inc. 144A 11.750%, 1/15/19⁽⁴⁾		275		210
Voto-Votorantim Ltd. 144A 6.750%, 4/5/21⁽⁴⁾		750		817

				20,089

Information Technology—1.5%
Amkor Technology, Inc. 6.625%, 6/1/21		900		902
Broadridge Financial Solutions, Inc. 6.125%, 6/1/17		525		552
Digicel Ltd. 144A 8.250%, 9/1/17⁽⁴⁾		425		437
eAccess Ltd. 144A 8.250%, 4/1/18⁽⁴⁾		400		368
EarthLink, Inc. 8.875%, 5/15/19		225		220


	PAR VALUE		VALUE
Information Technology—(continued)
Freescale Semiconductor, Inc. 144A 9.250%,
4/15/18⁽⁴⁾	$	300	$	323
Jabil Circuit, Inc. 8.250%, 3/15/18		1,100		1,295
Seagate HDD Cayman 7.750%, 12/15/18		600		667
Sorenson Communications, Inc. 144A 10.500%, 2/1/15⁽⁴⁾		500		390

				5,154

Materials—3.7%
Vale Overseas Ltd. 4.375%, 1/11/22		920		938
Arcelormittal 6.250%, 2/25/22		950		931
Braskem Finance Ltd. 144A 5.750%, 4/15/21⁽⁴⁾		500		514
Building Materials Corp. of America 144A 6.750%, 5/1/21⁽⁴⁾		46		49
Carpenter Technology Corp. 5.200%, 7/15/21		600		627
Cascades, Inc. 7.875%, 1/15/20		1,100		1,105
Catalyst Paper Corp. 7.375%, 3/1/14^(6)(11)		645		14
Celulosa Arauco y Constitucion SA 144A 4.750%, 1/11/22⁽⁴⁾		750		767
Edgen Murray Corp. 12.250%, 1/15/15		650		650
FMG Resources Property Ltd. 144A 8.250%, 11/1/19⁽⁴⁾		650		692
Gerdau Holdings, Inc. 144A 7.000%, 1/20/20⁽⁴⁾		250		279
Owens-Brockway Glass Container, Inc. 7.375%, 5/15/16		475		532
Packaging Corp. of America 3.900%, 6/15/22		945		949
Sappi Papier Holding GmbH
144A 7.750%, 7/15/17⁽⁴⁾		650		661
144A 8.375%, 6/15/19⁽⁴⁾		440		442
144A 6.625%, 4/15/21⁽⁴⁾		970		921
Severstal OAO (Steel Capital SA)
144A 6.250%, 7/26/16⁽⁴⁾		445		447
144A 6.700%, 10/25/17^(4)(10)		425		431
United States Steel Corp. 7.500%, 3/15/22		860		830
Vedanta Resources plc 144A 9.500%, 7/18/18⁽⁴⁾		775		787
Verso Paper Holdings LLC / Verso Paper, Inc.
Series B, 11.375%, 8/1/16		336		160

				12,726

Telecommunication Services—2.2%
Axtel SAB de CV 144A 9.000%, 9/22/19⁽⁴⁾		200		134
CenturyLink, Inc. 5.800%, 3/15/22		750		747
Cincinnati Bell, Inc. 8.250%, 10/15/17		705		737


	PAR VALUE		VALUE
Telecommunication Services—(continued)
Crown Castle Towers LLC 144A 4.883%, 8/15/20⁽⁴⁾	$	500	$	543
ITC DeltaCom, Inc. 10.500%, 4/1/16		400		428
Nextel Communications, Inc.
Series E 6.875%, 10/31/13		69		70
Series D, 7.375%, 8/1/15		650		654
Telecom Italia Capital SA 7.175%, 6/18/19		1,000		995
Telemar Norte Leste SA 144A 5.500%, 10/23/20⁽⁴⁾		305		311
Virgin Media Finance plc Series 1, 9.500%, 8/15/16		377		422
Vivendi SA 144A 4.750%, 4/12/22⁽⁴⁾		775		765
West Corp. 8.625%, 10/1/18		150		160
Wind Acquisition Finance S.A. 144A 11.750%, 7/15/17⁽⁴⁾		850		691
Windstream Corp. 7.750%, 10/15/20		1,005		1,070

				7,727

Utilities—1.5%
AmeriGas Partners LP / AmeriGas Finance Corp.
6.250%, 8/20/19		660		666
7.000%, 5/20/22		450		465
Calpine Corp. 144A 7.875%, 1/15/23⁽⁴⁾		1,250		1,369
Centrais Eletricas Brasileiras SA 144A 6.875%, 7/30/19⁽⁴⁾		100		116
Covanta Holding Corp. 6.375%, 10/1/22		1,065		1,132
Mega Advance Investments Ltd. 144A 5.000%, 5/12/21⁽⁴⁾		500		531
Midwest Generation LLC Series B 8.560%, 1/2/16		72		69
NRG Energy, Inc.
7.625%, 1/15/18		105		109
7.625%, 5/15/19		500		509
Suburban Propane Partners LP / Suburban Energy Finance Corp. 7.375%, 3/15/20		180		188
Texas Competitive Electric Holdings Co.,
LLC/Texas Competitive Electric Holdings Finance, Inc. Series A 10.250%, 11/1/15		200		52

				5,206

TOTAL CORPORATE BONDS AND NOTES (Identified Cost $159,367)				162,090


	PAR VALUE			VALUE
LOAN AGREEMENTS⁽³⁾—15.6%
Consumer Discretionary—5.5%
Advantage Sales & Marketing, Inc. Second Lien, 9.250%, 6/18/18	$	385		$	385
Affinity Gaming 5.500%, 11/9/17		591			595
AMF Bowling Worldwide, Inc. Tranche B, 3.250%, 6/7/13		462			430
August Holding Co., Inc. (Schrader)
First Lien, US 6.250%, 4/27/18		324			325
First Lien, LUX 6.250%, 4/27/18		421			422
Caesars Entertainment Operating Co., Inc.
(Harrah’s Operating Company, Inc.)
Tranche B-4, 9.500%, 10/31/16		210			213
Tranche B, 9.250%, 4/25/17		300			296
Tranche B-6, 5.495%, 1/28/18		948			847
Cengage Learning Acquisitions, Inc. 2.500%, 7/3/14		774			720
Chrysler Group LLC / Chrysler Group Co-Issuer, Inc. Tranche B, 6.000%, 5/24/17		248			250
Clear Channel Communications, Inc. Tranche A, 3.650%, 7/30/14		295			270
Tranche B, 3.895%, 1/29/16		237			190
Cumulus Media Holdings, Inc.
First Lien, 7.500%, 9/17/18		398			397
Second Lien, 7.500%, 3/18/19		500			505
Entercom Radio LLC Tranche B, 6.250%, 11/23/18		515			517
Focus Brands, Inc. First Lien, 6.583%, 2/21/18		717			720
Fram Group Holdings, Inc./Prestone Holdings, Inc. Second Lien, 10.500%, 1/29/18		500			438
Gateway Casinos & Entertainment Ltd. Tranche B, 6.750%, 5/12/16		462	^CAD		451
Getty Images, Inc. 5.625%, 11/7/16		313			314
Granite Broadcasting Corp. Tranche B 8.500%, 5/23/18		499			494
Guitar Center, Inc. Extended, 5.720%, 4/9/17		250			235
HD Supply, Inc. Tranche B, 0.000%, 10/12/17		1,030			1,039
HHI Holdings LLC 7.375%, 3/21/17		844			848
Hubbard Radio LLC Second Lien, 8.750%, 4/30/18		600			602
Intelsat Jackson Holding S.A. (Intelsat Jackson Holding Ltd.) 3.240%, 2/1/14		575			563


	PAR VALUE		VALUE
Consumer Discretionary—(continued)
Kalispel Tribal Economic Authority 7.500%, 2/25/17	$	470	$	462
Landry’s Restaurant, Inc. Tranche B, 6.500%, 4/24/18		1,097		1,102
Michaels Stores, Inc. Tranche B-2, 5.000%, 7/31/16		509		510
Nielsen Finance LLC Tranche B, 3.990%, 5/2/16		202		201
Oberthur Technologies, Inc. Tranche B-3, 6.250%, 11/30/18		725		709
Ozburn-Hessey Holding Co., LLC First Lien, 8.375%, 4/8/16		348		325
Radio One, Inc. 0.000%, 3/31/16		221		218
Sinclair Television Group, Inc. Tranche B 4.000%, 10/28/16		134		134
Sports Authority, Inc. (The) Tranche B, 7.500%, 11/16/17		320		309
SRAM LLC Second Lien, 8.500%, 12/7/18		229		231
Stackpole Powertrain International ULC 7.500%, 8/2/17		496		498
TI Group Automotive Systems LLC 6.750%, 3/14/18		1,096		1,074
Transtar Industries, Inc. Second Lien, 10.250%, 12/21/17		275		276
Visant Corp. (Jostens) Tranche B, 5.250%, 12/22/16		706		687
Vision Solutions, Inc. First Lien, 6.000%, 7/23/16		436		434

				19,236

Consumer Staples—0.4%
Del Monte Foods Co. 4.500%, 3/8/18		109		108
Revlon Consumer Products Corp. Tranche B, 4.750%, 11/19/17		440		438
Spectrum Brands Holdings, Inc. 5.417%, 6/17/16		538		541
U.S. Food Service, Inc. 5.750%, 3/31/17		248		238

				1,325

Energy—0.6%
Chesapeake Energy Corp. 8.500%, 12/2/17		360		357
Frac Tech Services LLC 6.250%, 5/6/16		1,305		1,196
NGPL PipeCo LLC 6.750%, 9/15/17		530		521

				2,074

Financials—1.1%
Asurion LLC Second Lien, 9.000%, 5/24/19		400		409


	PAR VALUE		VALUE
Financials—(continued)
iStar Financial, Inc.
Tranche A-2, 7.000%, 6/30/14	$	465	$	465
Tranche A-2, 7.000%, 3/19/17		250		250
Lonestar Intermediate Super Holdings LLC 11.000%, 9/2/19		108		112
Nuveen Investments, Inc. Second Lien, 8.250%, 2/28/19		464		467
Ocwen Financial Corp. 7.000%, 9/1/16		206		207
Pinnacle Foods Finance LLC Tranche E, 4.750%, 10/17/18		267		265
RPI Finance Trust 4.000%, 11/9/18		848		843
Springleaf Financial Funding Co. (American General Finance Corp.) 5.500%, 5/10/17		420		397
Walter Investment Management Corp. First Lien, 7.750%, 6/30/16		296		298

				3,713

Health Care—1.3%
Alkermes, Inc. First Lien, 6.750%, 9/16/17		498		501
AMN Healthcare, Inc. Tranche B, 6.000%, 4/5/18		758		763
Aptalis Pharma, Inc. (Axcan Intermediate Holdings, Inc.) Tranche B-1, 5.500%, 2/10/17		409		397
Ardent Health Services LLC 6.500%, 9/15/15		483		482
InVentiv Health, Inc. (Ventive Health, Inc) 6.500%, 8/4/16		294		276
Kinetic Concepts, Inc. Tranche B-1, 7.000%, 5/4/18		748		756
National Specialty Hospitals, Inc. Tranche DD, 0.750%, 2/3/17		74		72
8.350%, 2/3/17		420		410
Smile Brands, Inc. Tranche B, 7.000%, 12/21/17		369		368
Surgery Center Holdings, Inc. 6.500%, 2/6/17		396		395

				4,420

Industrials—1.6%
Aveta, Inc.
(NAMM Holdings, Inc.) 8.500%, 4/4/17		238		237
(MMM Holdings, Inc.) 8.500%, 4/4/17		238		238
AWAS Finance Luxemborg SA 0.000%, 7/1/18		208		208
Brickman Group Holdings, Inc. Tranche B-1, 5.500%, 10/14/16		509		510
Brock Holdings Ill, Inc. Second Lien, 10.000%, 3/16/18		285		282


	PAR VALUE		VALUE
Industrials—(continued)
CHG Companies, Inc. First Lien, 5.250%, 10/7/16	$	342	$	340
Goodman Global, Inc. Second Lien, 9.000%, 10/30/17		127		129
Harland Clarke Holdings Corp. Tranche B 2.788%, 6/30/14		964		866
Husky Injection Molding System (Yukon Acquisition, Inc.) 0.000%, 6/29/18		573		577
Intelligrated, Inc. First Lien, 7.500%, 2/17/17		441		441
Protection One, Inc. 5.750%, 3/21/19		369		368
Vertrue LLC (V2V Holdings LLC) First Lien, 6.500%, 8/16/14		165		52
Zuffa LLC First Lien, 7.500%, 6/8/15		1,145		1,145
7.500%, 6/19/15		207		207

				5,600

Information Technology—2.6%
Applied Systems, Inc. Second Lien, 9.250%, 6/8/17		333		333
Avaya, Inc.
Tranche B-1, 3.217%, 10/24/14		242		228
Tranche B-3, 4.967%, 10/26/17		485		431
AVG Technologies N.V. 7.688%, 3/15/16		372		363
Blue Coat Systems, Inc. First Lien, 7.688%, 2/15/18		550		550
DynCorp International LLC 6.500%, 7/7/16		523		523
First Data Corp.
Tranche B-1, 2.995%, 9/24/14		176		170
Tranche B-3 2.995%, 9/24/14		281		271
5.245%, 3/24/17		325		311
Freescale Semiconductor, Inc.
Tranche B-1, 4.490%, 12/1/16		389		369
Tranche B-2, 6.000%, 2/28/19		359		355
ILC Industries LLC (Data Device Corp.) 7.250%, 12/23/16		320		317
Ipreo Holdings LLC 8.000%, 8/5/17		496		495
Lawson Software Tranche B, 6.250%, 4/5/18		1,250		1,258
Novell, Inc. (Attachmate Corp.) First Lien, 7.250%, 11/22/17		650		644
Smart Modular Technologies (Global), Inc. 8.250%, 8/26/17		248		201
Sophia LP (DataTel, Inc.) 6.250%, 7/19/18		539		543


	PAR VALUE		VALUE
Information Technology—(continued)
Sorenson Communications, Inc. Tranche C, 6.000%, 8/16/13	$	213	$	206
Spansion LLC 4.750%, 2/9/15		281		282
SRA International, Inc. 6.500%, 7/20/18		504		490
Wall Street Systems, Inc. Second Lien, 9.000%, 6/20/18		335		334
Zayo Group LLC 0.000%, 7/2/19		544		547

				9,221

Materials—1.2%
Anchor Glass Container Corp. Second Lien, 10.000%, 9/2/16		760		760
AZ Chem US, Inc. 7.250%, 12/22/17		564		569
CPG International, Inc. 6.000%, 2/18/17		262		253
General Chemical Corp. Tranche B, 5.375%, 10/6/15		311		309
New Sunward Holding BV Tranche B, 4.740%, 2/14/14		252		234
NewPage Corp. 8.000%, 3/8/13		350		355
Noranda Aluminum Acquisition Corp. Tranche B, 5.750%, 2/28/19		823		830
Norit Holding B.V. 6.750%, 7/10/17		337		339
Waupaca Foundry, Inc. 0.000%, 6/29/17		471		470

				4,119

Telecommunication Services—1.2%
Hawaiian Telcom Communications, Inc. 7.000%, 2/28/17		480		479
Level 3 Financing, Inc.
Tranche A, 2.605%, 3/13/14		309		304
Tranche A, 2.720%, 9/3/18		1,000		1,002
Presidio, Inc. 7.250%, 3/31/17		219		221
Sidera Networks, Inc. (RCN Corp.) 6.000%, 8/26/16		529		519
U.S. TelePacific Corp. 5.750%, 2/23/17		911		847
Univision Communications, Inc. First Lien, 4.500%, 3/31/17		948		900

				4,272

Utilities—0.1%
Texas Compeptitive Electric Holdings Co. LLC Extended, 4.741%, 10/10/17		375		225

TOTAL LOAN AGREEMENTS (Identified Cost $54,331)				54,205


	SHARES		VALUE
PREFERRED STOCK—1.5%
Financials—1.3%
Ally Financial, Inc. 144A 7.000%⁽⁴⁾		321	$	286
Ally Financial, Inc. Series A, 8.500%		20,000		459
Banco Bilbao Vizcaya Argentaria S.A. International Preferred S.A. Unipersonal 5.919%⁽³⁾		675		398
Banco do Brasil S.A. 144A 8.500%⁽³⁾⁽⁴⁾		600		689
Bank of America Corp. Series K, 8.000%⁽³⁾		375		391
Citigroup Capital XVII Series E 6.350%		8,460		209
FNMA Series S, 8.250%⁽²⁾⁽³⁾		38		61
JPMorgan Chase & Co. 7.90%⁽³⁾		247		271
PNC Financial Services Group, Inc. Series K 8.250%⁽³⁾		350		361
U.S. Bancorp Series G 6.000%⁽³⁾		22,600		619
UOB Cayman Ltd. 144A 5.80%⁽³⁾⁽⁴⁾		500		513
Zions Bancorp, Series C, ADR 9.500%		9		236

				4,493

Industrials—0.2%
Seaspan Corp. Series C, 9.50%		20		544

TOTAL PREFERRED STOCK (Identified Cost $5,361)				5,037

COMMON STOCKS—0.0%
Consumer Discretionary—0.0%
Mark IV Industries⁽²⁾		446		15

TOTAL COMMON STOCKS (Identified Cost $4)				15

TOTAL LONG TERM INVESTMENTS—98.5% (Identified cost $335,598)				342,310

SHORT-TERM INVESTMENTS—1.1%
Money Market Mutual Funds—1.1%
BlackRock Liquidity Funds TempFund Portfolio - Insitutional Shares (seven-day effective yield 0.150%)		3,957,670		3,958

TOTAL SHORT-TERM INVESTMENTS (Identified Cost $3,958)				3,958


	SHARES	VALUE
TOTAL INVESTMENTS—99.6% (Identified Cost $339,556)			346,268	⁽¹⁾
Other assets and liabilities, net—0.4%			1,390

NET ASSETS—100.0%		$	347,658

Abbreviations:

ADR	American Depositary Receipt

FNMA	Federal National Mortgage Association (“Fannie Mae”).

GDP	Gross Domestic Product

GmbH	Limited liability company.

OJSC	Open Joint Stock Company.

PIK	Payment-in-Kind Security

plc	Public Limited Co.

S.A.	Sociedad Anonima or Sociedade Anonima.

SAB

de CV

A variable capital company.

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at June 30, 2012, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Non-income producing.

⁽³⁾	Variable or step coupon security; interest rate shown reflects the rate in effect at June 30, 2012.

⁽⁴⁾	Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2012, these securities amounted to a value of $81,547 or 23.5% of net assets.

⁽⁵⁾	Regulation S Security. Security is offered ans sold outside of the United States..

⁽⁶⁾	Illiquid security.

⁽⁷⁾	Security valued at fair value as determined in good faith by or under the direction of the Trustees. This security is disclosed as a Level 3 security in the disclosure table located after the Schedule of Investments.

⁽⁸⁾	No contractual maturity date

⁽⁹⁾	Interest payments may be deferred.

⁽¹⁰⁾	This note was issued for the sole purpose of funding a loan agreement between the issuer and the borrower. As the credit risk for this security lies solely with the borrower, the name represented here is that of the borrower.

⁽¹¹⁾	Security in default.

Foreign Currencies:

AUD	Australian Dollar

BRL	Brazilian Real

CAD	Canadian Dollar

COP	Colombian Peso

IDR	Indonesian Rupiah

MXN	Mexican Peso

NOK	Norwegian Krone

NZD	New Zealand Dollar

PLN	Polish Zloty

SEK	Swedish Krona

TRY	Turkish Lira

ZAR	South African Rand

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2012 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

The following is a reconciliation of assets of the Fund for Level 3 investments for which significant unobservable inputs were used to determine fair value.


	PAR VALUE			VALUE
U.S. GOVERNMENT SECURITIES—2.3%
U.S. Treasury Note
0.250%, 4/30/14	$	75,000		$	74,915
0.875%, 12/31/16		44,700			45,119
2.000%, 11/15/21		10,000			10,376

TOTAL U.S. GOVERNMENT SECURITIES (Identified Cost $130,085)					130,410

MUNICIPAL BONDS—0.5%
Connecticut—0.3%
Mashantucket Western Pequot Tribe Series A, 144A ( NATL Insured) 6.910%, 9/1/12⁽⁴⁾		915			907
State of Connecticut 5.000%, 5/15/22		13,215			16,263

					17,170

Kentucky—0.1%
Commonwealth of Kentucky Taxable 3.165%, 4/1/18		7,100			7,336

Virginia—0.1%
Tobacco Settlement Financing Corp. Taxable Series 07-A1, 6.706%, 6/1/46		4,850			3,100

TOTAL MUNICIPAL BONDS (Identified Cost $28,327)					27,606

FOREIGN GOVERNMENT SECURITIES—9.5%
Bolivarian Republic of Venezuela 8.500%, 10/8/14		11,840			11,781
RegS 5.750%, 2/26/16⁽⁵⁾		3,345			2,893
Commonwealth of Australia Series 118, 6.500%, 5/15/13		49,590	^AUD		52,334
Commonwealth of Canada 2.000%, 9/1/12		108,713	^CAD		106,943
Commonwealth of New Zealand Series 413, 6.500%, 4/15/13		44,229	^NZD		36,522
Federative Republic of Brazil
12.500%, 1/5/16		64,984	^BRL		39,351
12.500%, 1/5/22		16,730	^BRL		11,557
8.500%, 1/5/24		5,000	^BRL		2,713
Kingdom of Norway Series 470 6.500%, 5/15/13		117,682	^NOK		20,620
Kingdom of Sweden Series 1041, 6.750%, 5/5/14		88,310	^SEK		14,093
Republic of Argentina Provincia de Neuquen 144A 7.875%, 4/26/21⁽⁴⁾		6,544			5,170
PIK Interest Capitalization 8.280%, 12/31/33		52,226			34,469
Series GDP 4.368%, 12/15/35⁽³⁾		24,420			2,503


	PAR VALUE			VALUE
Republic of Colombia 12.000%, 10/22/15	$	9,935,000	^COP	$	6,902
Republic of Hungary 4.750%, 2/3/15		7,420			7,160
Republic of Indonesia Series FR-23, 11.000%, 12/15/12		26,600,000	^IDR		2,910
Series FR-30, 10.750%, 5/15/16		40,550,000	^IDR		5,116
Republic of Lithuania 144A 6.750%, 1/15/15⁽⁴⁾		10,600			11,448
144A 6.625%, 2/1/22⁽⁴⁾		5,955			6,819
Republic of Poland Series 0414, 5.750%, 4/25/14		67,160	^PLZ		20,551
3.875%, 7/16/15		12,250			12,934
Republic of South Africa Series R206 7.500%, 1/15/14		201,325	^ZAR		25,450
Republic of Turkey 9.000%, 3/5/14		33,325	^TRY		18,584
Russian Federation 144A 3.250%, 4/4/17⁽⁴⁾		18,000			18,112
RegS 7.500%, 3/31/30⁽⁵⁾		1,610			1,932
State of Qatar 144A 3.125%, 1/20/17⁽⁴⁾		12,000			12,510
United Mexican States Series M, 6.000%, 6/18/15		670,623	^MXN		52,016

TOTAL FOREIGN GOVERNMENT SECURITIES (Identified Cost $549,247)					543,393

MORTGAGE-BACKED SECURITIES—27.2%
Agency—3.9%
FHLMC 6.000%, 8/1/34		1,043			1,156
FNMA
5.500%, 1/1/17		195			212
6.000%, 5/1/17		60			66
5.500%, 8/1/17		14			15
4.500%, 4/1/18		344			370
5.000%, 10/1/19		1,103			1,197
5.500%, 2/1/20		611			670
5.500%, 3/1/20		807			884
5.500%, 3/1/20		282			309
5.500%, 3/1/20		27			29
5.500%, 3/1/20		236			259
5.500%, 4/1/20		522			571
5.000%, 6/1/20		1,607			1,744
4.000%, 8/1/25		37,586			39,996
3.000%, 6/1/27		1,956			2,053
6.000%, 12/1/32		119			134
5.500%, 2/1/33		241			265
5.500%, 5/1/34		1,184			1,301
6.000%, 8/1/34		741			835


	PAR VALUE		VALUE
Agency—(continued)
6.000%, 10/1/34	$	835	$	932
6.000%, 10/1/34		484		540
5.500%, 11/1/34		1,329		1,460
5.500%, 11/1/34		1,080		1,186
6.000%, 11/1/34		1,325		1,479
5.500%, 12/1/34		668		734
5.500%, 1/1/35		1,143		1,255
6.000%, 1/1/37		1,099		1,211
6.000%, 1/1/37		1,319		1,454
5.500%, 7/1/37		11		12
6.000%, 7/1/37		330		363
6.000%, 12/1/37		1,710		1,884
6.000%, 4/1/38		1,099		1,211
5.500%, 9/1/38		1,285		1,402
5.500%, 12/1/38		1,029		1,123
4.500%, 4/1/40		28,908		31,117
5.000%, 7/1/40		8,071		8,805
5.000%, 7/1/40		5,658		6,154
5.000%, 8/1/40		32,247		34,914
4.000%, 10/1/40		489		522
4.000%, 2/1/41		9,941		10,600
4.000%, 3/1/41		12,794		13,646
4.500%, 5/1/41		15,158		16,345
4.000%, 9/1/41		13,738		14,653
3.500%, 4/1/42		18,129		19,122
GNMA
6.500%, 7/15/31		22		26
6.500%, 8/15/31		51		60
6.500%, 11/15/31		33		39
6.500%, 2/15/32		26		30
6.500%, 4/15/32		75		87
6.500%, 4/15/32		85		99

				224,531

Non-Agency—23.3%
JPMorgan Chase & Co. 06-A4, 3A1 5.518%, 6/25/36⁽³⁾		1,026		874
ABN AMRO Mortgage Corp. 02-9, M 5.750%, 12/25/32		2,174		2,086
American General Mortgage Loan Trust 09-1, A6, 144A 5.750%, 9/25/48⁽³⁾⁽⁴⁾		13,850		14,214
10-1A, A1, 144A 5.150%, 3/25/58⁽³⁾⁽⁴⁾		8,967		9,163


	PAR VALUE		VALUE
Non-Agency—(continued)
American Tower Trust 07-1A, C 144A 5.615%, 4/15/37⁽⁴⁾	$	3,685	$	3,873
Americold LLC Trust 10-ARTA, A1 144A 3.847%, 1/14/29⁽⁴⁾		12,678		13,512
Banc of America Alternative Loan Trust 03-10, 2A1 6.000%, 12/25/33		5,936		6,242
Banc of America Funding Corp. 04-4, 3A1 4.750%, 10/25/19		9,593		9,835
Banc of America Mortgage Securities, Inc.
04-11, 2A1 5.750%, 1/25/35		6,075		6,253
05-1, 1A22 5.250%, 2/25/35		1,247		1,243
05-3, 2A2 5.500%, 3/25/35		2,759		2,771
Bank of America (Merrill Lynch) Commercial
Mortgage, Inc.
05-2, B 5.289%, 7/10/43⁽³⁾		10,141		10,413
05-6, AM 5.366%, 9/10/47⁽³⁾		1,630		1,782
07-1, AMFX 5.482%, 1/15/49⁽³⁾		15,350		15,695
Bear Stearns Adjustable Rate Mortgage Trust
03-9, 4A1 4.861%, 2/25/34⁽³⁾		18,314		18,396
05-4, 2AA1 144A 5.145%, 8/25/35⁽³⁾⁽⁴⁾		2,219		2,224
Bear Stearns Alt-A Trust 05-4, 24A1 2.950%,
5/25/35⁽³⁾		9,594		8,360
Bear Stearns Commercial Mortgage Securities, Inc.
06-T22, AM 5.713%, 4/12/38⁽³⁾		11,600		12,402
06-PW12, AM 5.757%, 9/11/38⁽³⁾		9,250		10,059
06-PW14, A4 5.201%, 12/11/38		7,400		8,360
06-PW14, AM 5.243%, 12/11/38		10,000		10,560
05-PW10, AM 5.449%, 12/11/40⁽³⁾		13,345		13,942
04-PWR3, A4 4.715%, 2/11/41		7,015		7,324
06-PW13, AM 5.582%, 9/11/41⁽³⁾		3,272		3,503
04-PWR5, A5 4.978%, 7/11/42⁽³⁾		3,925		4,174
07-T28, A4 5.742%, 9/11/42⁽³⁾		3,360		3,911
07-PW18, A4 5.700%, 6/11/50		16,500		18,997
Chase Mortgage Finance Corp. 07-A1, 1A1 2.869%, 2/25/37⁽³⁾		5,264		5,225
Citicorp Mortgage Securities, Inc.
07-1,A1 5.500%, 1/25/22		1,234		1,229
03-11, 2A10 5.500%, 12/25/33		5,325		5,376
04-4, A6 5.500%, 6/25/34		6,774		7,074
Citicorp Residential Mortgage Securities, Inc. 07- 12,A6 6.265%, 6/25/37⁽³⁾		13,043		12,595


	PAR VALUE		VALUE
Non-Agency—(continued)
Citigroup—Deutsche Bank Commercial Mortgage Trust
05-CD1, AM 5.394%, 7/15/44⁽³⁾	$	6,410	$	6,922
06-CD2, A4 5.302%, 1/15/46⁽³⁾		2,659		2,960
07-CD4, A4 5.322%, 12/11/49		8,380		9,310
Commercial Mortgage Pass-Through-Certificates
12-CR1, A1 1.116%, 1/15/17		3,374		3,382
11-THL, C ,144A 5.163%, 7/3/28⁽⁴⁾		9,000		9,149
01-J2A, A2, 144A 6.096%, 7/16/34⁽⁴⁾		53		53
12-LC4, AM 4.063%, 12/10/44		2,600		2,629
Countrywide Alternative Loan Trust
04-J10, 1A3 4.250%, 10/25/34		2,670		2,543
04-36CBC, 2A1 5.500%, 2/25/35		13,615		13,005
06-13T1, A11 6.000%, 5/25/36		4,923		3,377
06-13T1, A5 6.000%, 5/25/36		1,782		1,231
Countrywide Home Loan Mortgage Pass-Through-Trust
02-35, 1A2 5.000%, 2/25/18		2,921		2,990
03-28, A8 5.500%, 8/25/33		2,980		3,102
04-4, A6 5.500%, 5/25/34		2,363		2,412
Credit Suisse First Boston Mortgage Securities Corp.
04-8, 7A1 6.000%, 12/25/34		11,915		11,988
03-CPN1, C 4.763%, 3/15/35		7,964		7,892
05-11, 8A10 5.500%, 12/25/35		4,433		4,297
02-CKS4, B 5.333%, 11/15/36		5,710		5,714
02-CKS4, C 5.394%, 11/15/36		5,000		5,002
Credit Suisse Mortgage Capital Certificates 06-C1,
A3 5.416%, 2/15/39⁽³⁾		7,014		7,142
Deutsche Bank—UBS Mortgage Trust
11-LC3A, A2 3.642%, 8/10/44		11,500		12,398
11-LC1A, A3, 144A 5.002%, 11/10/46⁽⁴⁾		8,681		9,822
Entertainment Properties Trust 03-EPR, A2, 144A 5.244%, 2/15/18⁽⁴⁾		7,854		7,960
Extended Stay America Trust 10-ESHA, D, 144A 5.498%, 11/5/27⁽⁴⁾		30,545		30,831
First Horizon Asset Securities, Inc. 06-1, 1A8 6.000%, 5/25/36		4,622		4,448
GE Capital Commercial Mortgage Corp. 03-C1, C 4.975%, 1/10/38⁽³⁾		4,332		4,399
GMAC Commercial Mortgage Securities, Inc.
03-C1, D 4.283%, 5/10/36		10,000		10,147
04-C2, A3 5.134%, 8/10/38		1,062		1,098


	PAR VALUE		VALUE
Non-Agency—(continued)
04-C2, A4 5.301%, 8/10/38⁽³⁾	$	8,178	$	8,625
04-C3, A4 4.547%, 12/10/41		1,065		1,067
GMAC Mortgage Corp. Loan Trust
06-HLTV, A4 5.810%, 10/25/29		9,546		9,289
04-AR1, 12A 3.385%, 6/25/34⁽³⁾		9,561		9,632
Goldman Sachs Mortgage Securities Corp. II
07-EOP, G, 144A 2.790%, 3/6/20⁽³⁾⁽⁴⁾		7,070		6,998
07-EOP, H, 144A 3.300%, 3/6/20⁽³⁾⁽⁴⁾		1,850		1,835
11-ALF, B, 144A 3.215%, 2/10/21⁽⁴⁾		8,000		8,111
07-GG10, A4 5.790%, 8/10/45⁽³⁾		23,670		26,278
Greenwich Capital Commercial Funding Corp.
02-C1, A4 4.948%, 1/11/35		19,604		19,725
04-GG1, A7 5.317%, 6/10/36⁽³⁾		7,950		8,426
GS Mortgage Securities Corp. II 12-GCJ7, A2 2.318%, 5/10/45		10,000		10,255
GSR Mortgage Loan Trust
04-15F, 2A2 5.000%, 12/25/34		5,485		5,580
05-5F, 2A8 5.500%, 6/25/35		8,486		8,655
05-AR4, 6A1 5.250%, 7/25/35⁽³⁾		11,859		11,625
07-1F, 2A2 5.500%, 1/25/37		1,691		1,615
Heller Financial Commercial Mortgage Asset 00-PH1,
G, 144A 6.750%, 1/17/34⁽⁴⁾		2,925		3,081
Homebanc Mortgage Trust 05-4, A2 0.575%, 10/25/35⁽³⁾		14,995		10,561
Indymac Index Mortgage Loan Trust 05-AR1, 3A1 2.676%, 3/25/35⁽³⁾		2,286		1,919
JPMorgan Chase Commercial Mortgage Securities Corp.
09-IWST, A1, 144A 4.314%, 12/5/27⁽⁴⁾		15,138		16,376
10-CNTR, A1, 144A 3.300%, 8/5/32⁽⁴⁾		10,739		11,415
10-CNTR, A2, 144A 4.311%, 8/5/32⁽⁴⁾		4,550		4,824
04-C1, A3 4.719%, 1/15/38		5,565		5,775
06-CB17, AM 5.464%, 12/12/43		13,635		12,976
06-LDP7, AM 5.871%, 4/15/45⁽³⁾		18,260		19,703
06-LDP7, A4 6.064%, 4/15/45⁽³⁾		24,197		27,616
06-LDP9, A3 5.336%, 5/15/47		20,649		22,851
07-LD12, A4 5.882%, 2/15/51⁽³⁾		8,029		9,126
JPMorgan Chase Mortgage Trust
03-A2, 3A1 2.365%, 11/25/33⁽³⁾		11,105		10,600
05-A1, 4A1 4.731%, 2/25/35⁽³⁾		2,049		2,092
05-A2, 4A1 5.085%, 4/25/35⁽³⁾		2,296		2,265
05-A4, 3A1 2.611%, 7/25/35⁽³⁾		12,358		11,669


	PAR VALUE		VALUE
Non-Agency—(continued)
Lehman Brothers—UBS Commercial Mortgage Trust
04-C7, A6 4.786%, 10/15/29⁽³⁾	$	10,536	$	11,276
06-C3, AM 5.712%, 3/15/39⁽³⁾		7,615		8,144
06-C6, A4 5.372%, 9/15/39		11,830		13,440
07-C2, A2 5.303%, 2/15/40		1,384		1,385
07-C2, A3 5.430%, 2/15/40		7,825		8,737
07-C6, A2 5.845%, 7/15/40		5,426		5,547
07-C7, A3 5.866%, 9/15/45⁽³⁾		10,300		11,811
MASTR Adjustable Rate Mortgages Trust 04-12,3A1 2.807%, 11/25/34⁽³⁾		4,428		4,261
MASTR Alternative Loans Trust
04-7, 4A1 4.500%, 7/25/19		9,520		9,849
04-6, 7A1 6.000%, 7/25/34		7,674		7,710
04-6,10A1 6.000%, 7/25/34		10,090		10,234
05-2, 2A1 6.000%, 1/25/35		5,699		5,549
05-2, 1A1 6.500%, 3/25/35		14,989		14,424
MASTR Asset Securitization Trust
05-1, 1A1 5.000%, 5/25/20		2,201		2,243
06-1, 1A2 5.750%, 5/25/36		4,196		4,204
Merrill Lynch Floating Trust 08-LAQA, A1 144A 0.779%, 7/9/21⁽³⁾⁽⁴⁾		12,578		12,311
Merrill Lynch Mortgage Investors, Inc. 98-C1, B 6.750%, 11/15/26⁽³⁾		10,000		11,352
Merrill Lynch Mortgage Trust
06-C1, AM 5.659%, 5/12/39⁽³⁾		7,520		8,126
04-KEY2, A3 4.615%, 8/12/39		12,250		12,636
Merrill Lynch/Countrywide Commercial Mortgage Trust
06-3, A4 5.414%, 7/12/46⁽³⁾		11,700		13,226
06-4, A3 5.172%, 12/12/49⁽³⁾		9,500		10,528
Morgan Stanley Capital I
04-HQ4, A6 4.830%, 4/14/40		3,885		3,944
06-T23, AM 5.987%, 8/12/41⁽³⁾		10,575		11,824
Morgan Stanley Capital I, Inc.
06-IQ12, A4 5.332%, 12/15/43		14,865		16,890
07-IQ14, A4 5.692%, 4/15/49⁽³⁾		16,825		18,524
Morgan Stanley Mortgage Loan Trust
04-2AR, 3A 2.442%, 2/25/34⁽³⁾		2,868		2,838
04-2AR, 4A 4.769%, 2/25/34⁽³⁾		4,908		4,944
05-5AR, 4A1 5.272%, 9/25/35⁽³⁾		1,560		1,094
07-11AR, 2A3 2.791%, 6/25/37⁽³⁾		3,210		1,380
Nomura Asset Acceptance Corp.


	PAR VALUE		VALUE
Non-Agency—(continued)
04-R1, A1 144A 6.500%, 3/25/34⁽⁴⁾	$	3,866	$	3,924
04-R3, A1 144A 6.500%, 2/25/35⁽⁴⁾		6,314		6,407
Prudential Commercial Mortgage Trust 03-PWR1, D, 144A 4.775%, 2/11/36⁽⁴⁾		4,950		4,870
Residential Accredit Loans, Inc.
03-QS6, A4 4.250%, 3/25/33		6,100		6,286
04-QS16, 1A5 5.500%, 12/25/34		840		815
Residential Asset Mortgage Products, Inc.
04-SL2, A3 7.000%, 10/25/31		4,483		4,684
04-SL1, A8 6.500%, 11/25/31		5,381		5,437
04-RS6, AI4 5.457%, 5/25/32⁽³⁾		2,828		2,811
04-SL4, A3 6.500%, 7/25/32		2,586		2,678
Residential Funding Mortgage Securities I, Inc.
06-S12, 1A1 5.500%, 12/25/21		4,057		4,211
05-S1, 1A2 5.500%, 2/25/35		2,750		2,646
06-S4, A2 6.000%, 4/25/36		1,830		1,574
RIAL 2012-LT1A 12-LT1A, A, 144A 4.750%, 2/15/25⁽⁴⁾		7,299		7,314
S2 Hospitality LLC 12-LV1, A 144A 4.500%, 4/15/25⁽⁴⁾		9,200		9,244
Springleaf Mortgage Loan Trust 11-1A, A1, 144A 4.050%, 9/25/41⁽³⁾⁽⁴⁾		8,276		8,393
Structured Adjustable Rate Mortgage Loan Trust 04- 4, 3A4 2.818%, 4/25/34⁽³⁾		5,311		4,555
Structured Asset Securities Corp.
03-AL1, A, 144A 3.357%, 4/25/31⁽⁴⁾		12,810		12,463
03-21, 2A2 5.250%, 8/25/33		4,457		4,648
04-21XS, 2A4A 4.900%, 12/25/34⁽³⁾		4,940		5,016
SunTrust Adjustable Rate Mortgage Loan Trust 07- S1, 5A1 4.769%, 1/25/37⁽³⁾		1,786		1,786
Timberstar Trust 06-1A, A, 144A 5.668%, 10/15/36⁽⁴⁾		10,240		11,473
Wachovia Bank Commercial Mortgage Trust
07-C33, A4 6.097%, 7/15/17⁽³⁾		14,930		16,737
03-C8, 5 5.172%, 11/15/35⁽³⁾		5,500		5,532
04-C15, B 4.892%, 10/15/41		14,875		14,451
05-C20, AMFX 5.179%, 7/15/42⁽³⁾		6,000		6,505
06-C25, AM 5.736%, 5/15/43⁽³⁾		18,625		20,322
07-C30, A5 5.342%, 12/15/43		25,065		27,055
05-C22, AM 5.316%, 12/15/44⁽³⁾		12,245		13,014
07-C33, A5 5.900%, 2/15/51⁽³⁾		1,265		1,406
Washington Mutual Commercial Mortgage Securities Trust


	PAR VALUE		VALUE
Non-Agency—(continued)
06-SL1, A, 144A 5.296%, 11/23/43⁽³⁾⁽⁴⁾	$	14,305	$	14,017
07-SL3, A, 144A 6.107%, 3/23/45⁽³⁾⁽⁴⁾		5,300		5,355
Washington Mutual Mortgage Pass-Through Certificates 04-CB1, 5A 5.000%, 6/25/19		3,999		4,151
Wells Fargo Mortgage Backed Securities Trust
06-17, A1 5.500%, 11/25/21		583		586
03-G, A1 4.100%, 6/25/33⁽³⁾		3,296		3,319
04-4, A9 5.500%, 5/25/34		5,157		5,330
04-CC, A1 2.610%, 1/25/35⁽³⁾		6,060		5,745
05-AR10, A23 2.627%, 6/25/35⁽³⁾		7,517		7,164
05-12, 1A1 5.500%, 11/25/35		10,831		10,882
05-14, 2A1 5.500%, 12/25/35		7,898		8,037
06-4, 2A2 5.500%, 4/25/36		932		870
06-6, 1A15 5.750%, 5/25/36		1,660		1,625
06-9, 1A15 6.000%, 8/25/36		1,059		1,069
07-11, A88 6.000%, 8/25/37		1,045		1,041
07-16, 1A7 6.000%, 12/28/37		5,628		5,308
07-16, 1A1 6.000%, 12/28/37		16,008		16,464
07-AR10, 2A1 6.279%, 1/25/38⁽³⁾		8,273		8,298
WFDB Commercial Mortgage Trust 11, BXR, B, 144A 4.786%, 7/5/16⁽⁴⁾		15,000		15,377

				1,327,761

TOTAL MORTGAGE-BACKED SECURITIES (Identified Cost $1,481,524)				1,552,292

ASSET-BACKED SECURITIES—13.0%
1st Financial Bank USA
10-B, A, 144A 3.000%, 7/17/17⁽⁴⁾		5,000		5,002
10-C, B, 144A 5.190%, 9/17/18⁽⁴⁾		6,000		6,139
10-D, C, 144A 5.920%, 6/17/19⁽⁴⁾		3,000		3,055
ABSC Long Beach Home Equity Loan Trust 00-LB1, M1F 8.240%, 3/21/29⁽³⁾		3,401		2,503
Ally Auto Receivables Trust 12-3, A2 0.700%, 1/15/15		15,000		15,014
AmeriCredit Automobile Receivables Trust
11-3, C 2.860%, 1/9/17		23,000		23,630
11-1, D 4.260%, 2/8/17		11,119		11,801
11-5, D 5.050%, 12/8/17		5,010		5,231
12-1, C 2.670%, 1/8/18		2,000		2,035
12-3, C 2.420%, 5/8/18		12,750		12,751
12-3, D 3.030%, 7/9/18		11,562		11,561
11-3, E, 144A 5.760%, 12/10/18⁽⁴⁾		1,611		1,657
11-4, E, 144A 6.530%, 1/8/19⁽⁴⁾		3,950		4,076


	PAR VALUE		VALUE
11-5, E 6.760%, 3/8/19	$	8,400	$	9,069
Americredit Automobile Receivables Trust 12-3E, 144A 4.460%, 11/8/19⁽⁴⁾		4,812		4,874
Ameriquest Mortgage Securities, Inc. 03-10, AF6 4.710%, 11/25/33⁽³⁾		4,537		4,514
Asset Backed Funding Certificates 05-AQ1, A6 4.780%, 6/25/35⁽³⁾		7,229		7,142
Avis Budget Rental Car Funding AESOP LLC 11-3A, A, 144A 3.410%, 11/20/17⁽⁴⁾		10,000		10,586
Banc of America Funding Corp. 06-2, 3A1 6.000%, 3/25/36		5,284		4,932
Bayview Financial Acquisition Trust
06-B, 1A2 5.800%, 4/28/36⁽³⁾		858		860
07-A, 1A2 6.205%, 5/28/37⁽³⁾		6,298		6,365
06-A, 1A2 5.483%, 2/28/41⁽³⁾		308		309
Bombardier Capital Mortgage Securitization Corp. 99-A, A3 5.980%, 1/15/18⁽³⁾		2,238		2,216
Bush Truck Leasing LLC 11-44, A, 144A 5.000%, 9/25/18⁽⁴⁾		3,039		3,031
BXG Receivables Note Trust 10-A, A 144A 5.100%, 3/2/26⁽⁴⁾		4,869		4,974
CarNow Auto Receivables Trust
12-1A, B, 144A 3.240%, 3/15/16⁽⁴⁾		2,150		2,150
12-1A, C, 144A 4.940%, 3/15/16⁽⁴⁾		3,750		3,751
CIT Equipment Collateral 12-A1, B, 144A 4.120%, 10/21/19⁽⁴⁾		10,000		10,015
CIT Group, Inc. 10-VT1A, B 144A 3.880%, 9/16/13⁽⁴⁾		5,900		5,954
Citicorp Residential Mortgage Securities, Inc.
07-1, A3 5.667%, 3/25/37⁽³⁾		780		770
07-1, A6 5.702%, 3/25/37⁽³⁾		5,198		4,887
07-2, A3 6.080%, 6/25/37⁽³⁾		13,566		13,574
07-2, A4 6.538%, 6/25/37⁽³⁾		7,000		5,979
CLI Funding LLC 12-1A, A 144A 4.210%, 6/18/27⁽⁴⁾		3,350		3,350
CNH Equipment Trust
12-B, A4 1.160%, 6/15/20		10,000		10,005
12-B, B 1.780%, 6/15/20		4,000		3,972
Conseco Finance Securitizations Corp. 01-3, A4 6.910%, 5/1/33⁽³⁾		16,150		16,858
Conseco Financial Corp.
94-1, A5 7.650%, 4/15/19		574		607
96-2, M1 7.600%, 4/15/26⁽³⁾		14,687		13,409
Countrywide Asset-Backed Certificates


	PAR VALUE		VALUE
04-13, AF4 4.583%, 1/25/33⁽³⁾	$	2,068	$	2,015
04-10, AF6 4.485%, 12/25/34⁽³⁾		6,365		6,074
04-12, AF6 4.634%, 3/25/35⁽³⁾		2,966		2,902
Credit-Based Asset Servicing & Securitization LLC 05-CB6, A3 5.120%, 7/25/35⁽³⁾		1,337		1,109
Dominos Pizza Master Issuer LLC 12-1A, A2, 144A 5.216%, 1/25/42⁽⁴⁾		32,602		34,014
Drug Royalty Corp., Inc. 12-1, A2 144A 5.800%, 7/15/24⁽⁴⁾		6,265		6,263
DSC Floorplan Master Owner Trust 11-1, A, 144A 3.910%, 3/15/16⁽⁴⁾		8,500		8,723
DT Auto Owner Trust
10-1A, C, 144A 3.460%, 1/15/14⁽⁴⁾		2,881		2,884
09-1, B, 144A 5.920%, 10/15/15⁽⁴⁾		825		832
11-2A, C, 144A 3.050%, 2/16/16⁽⁴⁾		5,825		5,822
12-1A, C, 144A 3.380%, 10/16/17⁽⁴⁾		9,975		9,977
Ellington Loan Acquisition Trust 07-2, A2A, 144A 1.145%, 5/25/37⁽³⁾⁽⁴⁾		4,923		4,634
Franklin Auto Trust 08-A, D 144A 8.180%, 5/20/16⁽⁴⁾		6,411		6,494
GMAC Mortgage Corp. Loan Trust
06-HE2, A3 6.320%, 5/25/36⁽³⁾		6,829		5,007
07-HE1, A2 5.621%, 8/25/37⁽³⁾		768		762
Great America Leasing Receivables 09-1, B 144A 4.520%, 11/15/14⁽⁴⁾		3,000		3,070
GSAA Home Equity Trust 05-12, AF3W 4.999%, 9/25/35⁽³⁾		21,263		20,389
Harley-Davidson Motorcycle Trust
09-4, B 3.190%, 9/15/14		9,000		9,046
10-1, C 2.590%, 4/15/18		8,500		8,709
Hertz Vehicle Financing LLC
09-2A, A1, 144A 4.260%, 3/25/14⁽⁴⁾		5,000		5,090
11-1A, A2, 144A 3.290%, 3/25/18⁽⁴⁾		12,290		12,992
IMC Home Equity Loan Trust 97-5, A9 7.310%, 11/20/28		5,327		5,360
IndyMac Manufactured Housing Contract 98-1, A3 6.370%, 9/25/28		1,615		1,677
JPMorgan Chase Funding Mortgage Loan Asset- Backed Certificates 04-1,1A4 4.111%, 8/25/30		652		651
Lehman Brothers Manufactured Housing Contract Trust 01-B, A3 4.350%, 4/15/40		7,749		7,876
Lehman XS Trust 05-5, 3A2B 5.420%, 11/25/35⁽³⁾		8,944		8,455
Marriott Vacation Club Owner Trust 12-1A, A, 144A 2.510%, 5/20/30⁽⁴⁾		13,000		12,998


	PAR VALUE		VALUE
10-1A, A 144A 3.540%, 10/20/32⁽⁴⁾	$	1,304	$	1,338
10-1A, B 144A 4.520%, 10/20/32⁽⁴⁾		2,544		2,606
Miramax LLC 11-1A, A, 144A 6.250%, 10/20/21⁽⁴⁾		16,204		16,808
MMCA Automobile Trust 11-A, B, 144A 2.720%, 10/17/16⁽⁴⁾		3,500		3,613
New Century Home Equity Loan Trust 05-A, A4W 5.035%, 8/25/35⁽³⁾		15,640		14,150
Orange Lake Timeshare Trust 12-AA, B 144A 4.870%, 3/10/27⁽⁴⁾		1,013		1,034
Popular ABS Mortgage Pass-Through-Trust 05-5, AF3 5.086%, 11/25/35⁽³⁾		13,240		12,238
Renaissance Home Equity Loan Trust 05-3, AF4 5.140%, 11/25/35⁽³⁾		5,405		3,896
Rental Car Finance Corp. 11-1A, B1, 144A 4.380%, 2/25/16⁽⁴⁾		4,000		4,162
Residential Asset Mortgage Products, Inc. 03-RS8, AI7 5.015%, 9/25/33⁽³⁾		3,455		3,429
Residential Funding Mortgage Securities II, Inc.
04-HI3, A5 5.480%, 6/25/34⁽³⁾		3,708		3,420
06-HI2, A3 5.790%, 2/25/36		7,404		7,405
06-H11, M1 6.010%, 2/25/36⁽³⁾		6,661		6,225
07-HI1, A2 5.640%, 3/25/37		1,952		1,926
Santander Drive Auto Receivables Trust
11-2, B 2.660%, 1/15/16		9,560		9,714
11-1, C 3.110%, 5/16/16		10,000		10,063
10-B, C 144A 3.020%, 10/17/16⁽⁴⁾		20,925		21,293
10-3, C 3.060%, 11/15/17		10,000		10,127
12-2, D 3.870%, 2/15/18		12,000		12,121
Sierra Receivables Funding Co., LLC
07-2A, A1 144A 5.370%, 9/20/19⁽⁴⁾		1,840		1,897
10-3A, B, 144A 4.440%, 11/20/25⁽⁴⁾		8,643		8,888
11-1A, B, 144A 4.230%, 4/20/26⁽⁴⁾		8,099		8,095
SLM Corp.
12-B, A2, 144A 3.480%, 10/15/30⁽⁴⁾		12,000		12,303
12-C, A2, 144A 3.310%, 10/15/46⁽⁴⁾		11,700		11,737
SNAAC Auto Receivables Trust 12-1A, A, 144A 1.780%, 6/15/16⁽⁴⁾		3,700		3,706
Structured Asset Securities Corp. 02-AL1, A3 3.450%, 2/25/32		7,848		7,096
SVO MOI Mortgage Corp.
10-AA, A ,144A 3.650%, 7/20/27⁽⁴⁾		5,162		5,245
11-AA, A, 144A 3.670%, 11/20/27⁽⁴⁾		6,956		7,002
TAL Advantage LLC 1-1A, A, 144A 4.600%, 1/20/26⁽⁴⁾		9,442		9,703


	PAR VALUE			VALUE
TAL advantage LLC 12-1A, A 144A 3.860%, 5/20/27⁽⁴⁾	$	6,942		$	6,954
Terwin Mortgage Trust 04-15AL, A1 144A 5.813%, 7/25/34⁽³⁾⁽⁴⁾		8,671			7,664
Textainer Marine Containers Ltd. 12-1A, A 144A 4.210%, 4/15/27⁽⁴⁾		12,547			12,643
Tidewater Auto Receivables Trust 10-A, A 144A 5.920%, 5/15/17⁽⁴⁾		538			542
Trinity Rail Leasing LP 03-1A, A, 144A 5.640%, 10/12/26⁽⁴⁾		2,594			2,820
Trip Rail Master Funding LLC 11-1A, A1A, 144A 4.370%, 7/15/41⁽⁴⁾		7,190			7,321
U-Haul S Fleet LLC 10-BT1A, 1 144A 4.899%, 10/25/23⁽⁴⁾		22,442			23,591
World Omni Automobile Lease Securitization Trust 12-A, A3 0.930%, 11/16/15		5,700			5,706

TOTAL ASSET-BACKED SECURITIES (Identified Cost $736,932)					740,914

CORPORATE BONDS AND NOTES—33.7%
Consumer Discretionary—3.6%
Arcos Dorados Holdings, Inc. 144A 10.250%, 7/13/16⁽⁴⁾		10,225	^BRL		5,396
AutoZone, Inc. 5.750%, 1/15/15		4,420			4,869
Boyd Gaming Corp. 9.125%, 12/1/18		2,425			2,510
CBS Corp. 1.950%, 7/1/17		10,025			10,020
Daimler Finance North America LLC 144A 2.625%, 9/15/16⁽⁴⁾		11,000			11,324
Dana Holding Corp. 6.500%, 2/15/19		3,973			4,241
Dollar General Corp 4.125%, 7/15/17		1,485			1,513
GTP Acquisition Partners I LLC 144A 4.347%, 6/15/16⁽⁴⁾		3,000			3,140
Hyatt Hotels Corp.
144A 5.750%, 8/15/15⁽⁴⁾		900			987
3.875%, 8/15/16		7,000			7,419
Hyundai Capital America 144A 3.750%, 4/6/16⁽⁴⁾		500			519
International Game Technology 7.500%, 6/15/19		1,115			1,329
Korea Expressway Corp. 4.500%, 3/23/15		2,670			2,820
Lotte Shopping Co. Ltd. 144A 3.375%, 5/9/17⁽⁴⁾		14,095			14,332
MGM Resorts International 7.500%, 6/1/16		6,000			6,240
Nara Cable Funding Ltd. 144A 8.875%, 12/1/18⁽⁴⁾		9,665			8,360
Nissan Motor Acceptance Corp. 144A 4.500%, 1/30/15⁽⁴⁾		8,620			9,185
Northwest Airlines Pass-Through-Trust


	PAR VALUE		VALUE
Consumer Discretionary—(continued)
01-1, B 7.691%, 4/1/17	$	12,600	$	12,978
02-1, G2 6.264%, 11/20/21		20,154		20,557
Ono Finance II plc 144A 10.875%, 7/15/19⁽⁴⁾		1,035		807
Penn National Gaming, Inc. 8.750%, 8/15/19		6,615		7,359
Pittsburgh Glass Works LLC 144A 8.500%, 4/15/16⁽⁴⁾		4,135		3,825
QVC, Inc. 144A 7.125%, 4/15/17⁽⁴⁾		4,550		4,834
144A 7.500%, 10/1/19⁽⁴⁾		8,740		9,703
TRW Automotive, Inc. 144A 8.875%, 12/1/17⁽⁴⁾		780		864
U.S. Airways Pass-Through-Trust 99-1A 8.360%, 1/20/19		990		1,010
11-1 A 7.125%, 10/22/23		8,181		8,672
UAL Pass-Through-Trust 09-2 9.750%, 1/15/17		26,678		30,346
07-01A 6.636%, 7/2/22		7,321		7,650
Wyndham Worldwide Corp. 6.000%, 12/1/16		133		148
5.750%, 2/1/18		1,660		1,847

				204,804

Consumer Staples—0.4%
Altria Group, Inc. 8.500%, 11/10/13		2,775		3,049
BAT International Finance plc 144A 2.125%, 6/7/17⁽⁴⁾		6,845		6,839
144A 9.500%, 11/15/18⁽⁴⁾		1,410		1,921
Bunge Ltd. Finance Corp. 5.100%, 7/15/15		6,000		6,412
Sigma Alimentos SA de CV 144A 5.625%, 4/14/18⁽⁴⁾		5,850		6,303

				24,524

Energy—3.5%
Afren plc 144A 11.500%, 2/1/16⁽⁴⁾		4,790		5,137
Anadarko Petroleum Corp. 6.375%, 9/15/17		12,050		14,004
8.700%, 3/15/19		2,925		3,826
Bumi Investment Pte Ltd. 144A 10.750%, 10/6/17⁽⁴⁾		4,900		4,888
Calumet Specialty Products Partners LP (Calumet Finance Corp.) 9.375%, 5/1/19		7,491		7,547
Carrizo Oil & Gas, Inc. 8.625%, 10/15/18		3,989		4,188
Chesapeake Energy Corp. 6.775%, 3/15/19		5,545		5,413


	PAR VALUE		VALUE
Energy—(continued)
Compagnie Generale de Geophysique-Veritas 7.750%, 5/15/17	$	2,334	$	2,417
EP Energy LLC / EP Energy Finance, Inc. 144A 6.875%, 5/1/19⁽⁴⁾		4,000		4,185
Expro Finance Luxembourg SCA 144A 8.500%, 12/15/16⁽⁴⁾		4,529		4,359
Frontier Oil Corp. 6.875%, 11/15/18		2,550		2,665
Gazprom OAO (Gaz Capital SA)
144A 6.212%, 11/22/16⁽⁴⁾		10,405		11,289
144A 8.146%, 4/11/18⁽⁴⁾		2,880		3,429
144A 6.510%, 3/7/22⁽⁴⁾		3,235		3,587
Hercules Offshore, Inc. 144A 7.125%, 4/1/17⁽⁴⁾		9,250		8,984
KazMunaiGas National Co. 144A 8.375%, 7/2/13⁽⁴⁾		6,900		7,251
Kinder Morgan Energy Partners LP 6.850%, 2/15/20		2,545		3,057
Korea National Oil Corp.
144A 5.375%, 7/30/14⁽⁴⁾		4,345		4,617
144A 2.875%, 11/9/15⁽⁴⁾		5,000		5,082
Lukoil International Finance BV 144A 6.375%, 11/5/14⁽⁴⁾		4,900		5,256
Midcontinent Express Pipeline LLC 144A 6.700%, 9/15/19⁽⁴⁾		7,500		7,773
MIE Holdings Corp. 144A 9.750%, 5/12/16⁽⁴⁾		2,985		2,918
National JSC Naftogaz of Ukraine 9.500%, 9/30/14		2,900		2,795
OGX Austria GmbH 144A 8.500%, 6/1/18⁽⁴⁾		8,000		7,160
Petrobras International Finance Co.
3.875%, 1/27/16		12,430		12,837
3.500%, 2/6/17		2,000		2,054
Petroleos de Venezuela SA RegS 8.500%, 11/2/17⁽⁵⁾		23,545		19,189
Petroplus Finance Ltd. 144A 6.750%, 5/1/14^(4)(7)(11)		5,455		682
Pioneer Drilling Co. 144A 9.875%, 3/15/18⁽⁴⁾		1,765		1,862
Pioneer Energy Services Corp. 9.875%, 3/15/18		1,245		1,314
Pride International, Inc. 8.500%, 6/15/19		4,065		5,253
Quicksilver Resources, Inc. 7.125%, 4/1/16		3,190		2,472
TNK-BP Finance S.A. RegS 7.500%, 7/18/16⁽⁵⁾		2,835		3,151
TNK-BP Finance SA 144A 6.250%, 2/2/15⁽⁴⁾		500		526
Transocean, Inc. 4.950%, 11/15/15		3,955		4,259
Venoco, Inc. 8.875%, 2/15/19		5,675		5,193
Weatherford International Ltd. 9.625%, 3/1/19		4,110		5,359

				195,978


	PAR VALUE		VALUE
Financials—16.6%
Abbey National Treasury Services plc 4.000%, 4/27/16	$	5,000	$	4,928
ABN Amro Bank N.V.
144A 3.000%, 1/31/14⁽⁴⁾		9,000		9,040
144A 4.250%, 2/2/17⁽⁴⁾		4,425		4,505
ADCB Finance Cayman Ltd. 144A 4.750%, 10/8/14⁽⁴⁾		5,290		5,602
Aflac, Inc. 8.500%, 5/15/19		1,059		1,383
Air Lease Corp. 144A 5.625%, 4/1/17⁽⁴⁾		12,995		12,865
Akbank TAS 144A 5.125%, 7/22/15⁽⁴⁾		8,900		9,112
Alfa Invest Ltd. RegS 7.875%, 9/25/17⁽⁵⁾		9,750		9,862
Allstate Corp. 6.125%, 5/15/37⁽³⁾		4,730		4,659
Alta Mesa Holdings LP (Alta Mesa Finance Services Corp. ) 9.625%, 10/15/18		8,150		8,089
American Express Credit Corp. 5.875%, 5/2/13		4,805		5,005
Series C, 7.300%, 8/20/13		2,600		2,780
American Honda Finance Corp. 144A 6.700%, 10/1/13⁽⁴⁾		4,850		5,204
American International Group, Inc. 4.875%, 9/15/16		8,850		9,391
AON Corp. 3.500%, 9/30/15		1,980		2,069
Associated Banc Corp. 5.125%, 3/28/16		4,590		4,914
Assurant, Inc. 5.625%, 2/15/14		4,060		4,242
AvalonBay Communities, Inc. 5.700%, 3/15/17		2,950		3,402
Banco Bilbao Vizcaya Argentaria Bancomer SA 3.250%, 5/16/14		4,000		3,849
144A 4.500%, 3/10/16⁽⁴⁾		5,000		5,025
Banco Bradesco SA 144A 4.125%, 5/16/16⁽⁴⁾		7,000		7,227
144A 4.500%, 1/12/17⁽⁴⁾		7,000		7,293
Banco Continental SA Via Continental Senior Trustees II Cayman Ltd. 144A 5.750%, 1/18/17⁽⁴⁾⁽⁷⁾		10,000		10,300
Banco de Credito del Peru 144A 4.750%, 3/16/16⁽⁴⁾		14,800		15,207
Banco Santander SA 144A 4.500%, 4/6/15⁽⁴⁾		7,500		7,500
144A 3.750%, 9/22/15⁽⁴⁾		3,800		3,801
144A 4.625%, 2/13/17⁽⁴⁾		5,000		4,925
Banco Votorantim SA 144A 5.250%, 2/11/16⁽⁴⁾		8,500		8,691
Bank of Georgia JSC 144A 7.750%, 7/5/17⁽⁴⁾		5,810		5,756
Barclays Bank plc


	PAR VALUE		VALUE
Financials—(continued)
144A 5.926%, 1/1/00^(3)(4)(8)(9)	$	3,773	$	3,433
5.200%, 7/10/14		1,610		1,696
144A 6.050%, 12/4/17⁽⁴⁾		4,130		4,175
Bear Stearns Cos., Inc. LLC (The) 7.250%, 2/1/18		4,365		5,221
BioMed Realty LP 3.850%, 4/15/16		9,375		9,654
Brandywine Operating Partnership LP 4.950%, 4/15/18		4,700		4,816
Capital One Financial Corp. 6.150%, 9/1/16		4,300		4,809
Chubb Corp. 6.375%, 3/29/67⁽³⁾		8,205		8,472
CIT Group, Inc. 144A 5.250%, 4/1/14⁽⁴⁾		5,000		5,200
Citigroup, Inc.
4.875%, 5/7/15		12,075		12,388
0.738%, 6/9/16⁽³⁾		3,400		2,945
5.500%, 2/15/17		3,635		3,800
CNA Financial Corp. 5.850%, 12/15/14		7,575		8,128
Comerica Bank
5.700%, 6/1/14		1,900		2,025
4.800%, 5/1/15		1,828		1,950
5.750%, 11/21/16		5,940		6,714
Corporacion Andina de Fomento 5.200%, 5/21/13		1,000		1,035
Countrywide Financial Corp. 6.250%, 5/15/16		12,000		12,494
Credit Suisse 6.000%, 2/15/18		4,875		5,219
Danske Bank A/S 144A 3.875%, 4/14/16⁽⁴⁾		8,000		7,876
Deutsche Bank Financial LLC 5.375%, 3/2/15		2,933		3,052
Discover Bank 8.700%, 11/18/19		1,750		2,175
DNB Bank ASA 144A 3.200%, 4/3/17⁽⁴⁾		24,700		24,993
Equity One, Inc. 6.250%, 12/15/14		2,485		2,662
Fidelity National Financial, Inc. 6.600%, 5/15/17		6,475		6,998
Fifth Third Bancorp 4.500%, 6/1/18		6,745		7,172
Fifth Third Bank 4.750%, 2/1/15		750		798
First Horizon National Corp. 5.375%, 12/15/15		1,950		2,058
First Tennessee Bank N.A. 5.650%, 4/1/16		12,730		13,298
Ford Motor Credit Co. LLC 144A 4.207%, 4/15/16⁽⁴⁾		10,000		10,387
Gazprom OAO (Gaz Capital SA) 144A 4.950%, 5/23/16⁽⁴⁾⁽⁷⁾		5,000		5,177
General Electric Capital Corp. Series A 3.750%, 11/14/14		3,940		4,137
2.300%, 4/27/17		1,000		1,007
0.846%, 5/5/26⁽³⁾		8,000		6,543
Genworth Financial, Inc.
5.750%, 6/15/14		6,890		7,002
7.625%, 9/24/21		4,375		4,136


	PAR VALUE		VALUE
Financials—(continued)
Glen Meadow Pass-Through-Trust 144A 6.505%, 2/12/67⁽³⁾⁽⁴⁾	$	10,345	$	7,526
Goldman Sachs Group, Inc. (The)
5.350%, 1/15/16		3,225		3,387
5.625%, 1/15/17		2,800		2,938
7.500%, 2/15/19		2,451		2,797
Hana Bank
144A 4.500%, 10/30/15⁽⁴⁾		11,000		11,657
144A 3.500%, 10/25/17⁽⁴⁾		5,535		5,692
HBOS plc 144A 6.750%, 5/21/18⁽⁴⁾		685		647
HCP, Inc.
3.750%, 2/1/16		8,000		8,323
3.750%, 2/1/19		4,940		4,934
Health Care REIT, Inc.
4.700%, 9/15/17		8,565		9,069
4.125%, 4/1/19		4,100		4,167
Healthcare Realty Trust, Inc. 6.500%, 1/17/17		3,000		3,281
HSBC Bank plc 144A 3.100%, 5/24/16⁽⁴⁾		12,200		12,602
Huntington Bancshares, Inc. 7.000%, 12/15/20		1,025		1,201
Huntington National Bank (The) 4.900%, 1/15/14		1,400		1,421
Hutchison Whampoa International 11 Ltd. 144A 3.500%, 1/13/17⁽⁴⁾		9,000		9,336
Hyundai Capital Services, Inc.
144A 6.000%, 5/5/15⁽⁴⁾		4,975		5,413
144A 4.375%, 7/27/16⁽⁴⁾		1,500		1,577
144A 3.500%, 9/13/17⁽⁴⁾		8,000		8,071
ING Bank NV
144A 2.375%, 6/9/14⁽⁴⁾		5,000		4,962
144A 4.000%, 3/15/16⁽⁴⁾		9,000		9,064
International Lease Finance Corp. 5.650%, 6/1/14		5,820		5,995
IPIC GMTN Ltd.
144A 3.125%, 11/15/15⁽⁴⁾		2,000		2,063
144A 3.750%, 3/1/17⁽⁴⁾		500		520
Jefferies Group, Inc. 5.125%, 4/13/18		6,541		6,345
JPMorgan Chase & Co. 6.125%, 6/27/17		3,550		3,953
Kazkommerts Bank International BV
144A 7.875%, 4/7/14⁽⁴⁾		4,135		4,104
RegS 8.000%, 11/3/15⁽⁵⁾		1,000		940
KeyBank N.A.
5.700%, 8/15/12		1,800		1,809
5.800%, 7/1/14		1,450		1,555
7.413%, 5/6/15		3,000		3,371
4.950%, 9/15/15		1,295		1,390


	PAR VALUE			VALUE
Financials—(continued)
KeyCorp 6.500%, 5/14/13	$	2,925		$	3,064
Kookmin Bank 144A 7.250%, 5/14/14⁽⁴⁾		5,700			6,242
Korea Development Bank
4.375%, 8/10/15		2,525			2,692
3.875%, 5/4/17		7,000			7,445
3.500%, 8/22/17		9,750			10,183
Legg Mason, Inc. 144A 5.500%, 5/21/19⁽⁴⁾		2,080			2,105
Lincoln National Corp.
8.750%, 7/1/19		2,340			2,948
6.050%, 4/20/67⁽³⁾⁽⁹⁾		2,885			2,640
Lloyds TSB Bank plc
144A 4.375%, 1/12/15⁽⁴⁾		2,900			2,995
4.875%, 1/21/16		9,000			9,452
Manufacturers & Traders Trust Co.
1.968%, 4/1/13⁽³⁾		3,175			3,175
5.629%, 12/1/21⁽³⁾		5,000			4,996
Marshall & Ilsley Bank 5.000%, 1/17/17		3,500			3,774
Mercantile Bankshares Corp. Series B, 4.625%, 4/15/13		4,708			4,831
MetLife, Inc. 6.750%, 6/1/16		910			1,067
Metropolitan Life Global Funding I 144A 1.700%, 6/29/15⁽⁴⁾		13,770			13,782
Morgan Stanley
6.000%, 5/13/14		1,970			2,042
3.800%, 4/29/16		5,850			5,669
5.750%, 10/18/16		3,455			3,548
144A 10.090%, 5/3/17⁽⁴⁾		10,525	^BRL		5,411
Nationwide Health Properties, Inc. 6.250%, 2/1/13		4,825			4,955
Nordea Bank AB 144A 2.125%, 1/14/14⁽⁴⁾		5,000			5,008
OJSC AK Transneft (TransCapitalInvest Ltd.) 144A 5.670%, 3/5/14⁽⁴⁾		5,715			6,016
ORIX Corp. 5.000%, 1/12/16		5,228			5,478
PNC Funding Corp. 5.625%, 2/1/17		3,130			3,484
Principal Financial Group, Inc. 7.875%, 5/15/14		2,595			2,890
Progressive Corp. (The) 6.700%, 6/15/37⁽³⁾⁽⁹⁾		2,740			2,850
Prudential Financial, Inc.
4.750%, 9/17/15		4,770			5,136
8.875%, 6/15/38⁽³⁾		4,200			4,987
Regions Bank 7.500%, 5/15/18		12,001			13,531
Regions Financial Corp.
7.750%, 11/10/14		2,525			2,727
5.750%, 6/15/15		2,535			2,662


	PAR VALUE		VALUE
Financials—(continued)
Royal Bank of Scotland Group plc (The) 6.400%, 10/21/19	$	3,130	$	3,340
Royal Bank of Scotland plc (The) Series 2
3.400%, 8/23/13		7,000		7,073
4.875%, 3/16/15		3,230		3,343
3.950%, 9/21/15		3,860		3,932
Russian Agricultural Bank OJSC (RSHB Capital SA)
144A 9.000%, 6/11/14⁽⁴⁾		780		858
144A 6.299%, 5/15/17⁽⁴⁾		2,905		3,072
144A 5.298%, 12/27/17⁽⁴⁾		4,800		4,860
Santander U.S. Debt S.A. 144A 3.724%, 1/20/15⁽⁴⁾		8,100		7,535
Sberbank of Russia / Sberbank Capital SA 144A 4.950%, 2/7/17⁽⁴⁾⁽⁷⁾		10,000		10,150
Senior Housing Properties Trust 4.300%, 1/15/16		6,875		6,884
Shinhan Bank 144A 4.375%, 7/27/17⁽⁴⁾		11,700		12,484
SLM Corp. 6.250%, 1/25/16		9,200		9,660
Societe Generale S.A . 144A 5.922%, 4/29/49⁽³⁾⁽⁴⁾		6,800		4,620
Societe Generale S.A.
144A 3.100%, 9/14/15⁽⁴⁾		2,900		2,857
144A 3.500%, 1/15/16⁽⁴⁾		6,895		6,816
Sovereign Bank 5.125%, 3/15/13		7,000		6,998
Spansion LLC 7.875%, 11/15/17		2,955		2,852
State Street Corp. 4.956%, 3/15/18⁽⁹⁾		5,000		5,357
SunTrust Bank, Inc.
6.000%, 9/11/17		4,925		5,609
5.450%, 12/1/17		3,750		4,044
Svenska Handelsbanken AB 3.125%, 7/12/16		10,000		10,338
Turkiye Vakiflar Bankasi Tao 144A 5.750%, 4/24/17⁽⁴⁾		14,000		14,140
United Rentals Financing Escrow Corp. 144A 5.750%, 7/15/18⁽⁴⁾		7,895		8,231
Unum Group 7.125%, 9/30/16		6,620		7,638
Vanguard Health Holding Co. II, LLC / Vanguard
Holding Co. II, Inc. 7.750%, 2/1/19		3,212		3,260
Ventas Realty LP / Ventas Capital Corp. 4.000%, 4/30/19		8,030		8,239
Vnesheconombank (VEB Finance plc)
144A 5.375%, 2/13/17⁽⁴⁾		5,415		5,604
144A 5.450%, 11/22/17⁽⁴⁾⁽⁷⁾		1,500		1,552
144A 6.902%, 7/9/20⁽⁴⁾		7,345		7,947
VTB Bank OJSC (VTB Capital SA)
144A 6.465%, 3/4/15⁽⁴⁾⁽⁷⁾		6,000		6,292


	PAR VALUE		VALUE
Financials—(continued)
144A 6.000%, 4/12/17⁽⁴⁾	$	6,800	$	6,902
Wachovia Bank NA 5.000%, 8/15/15		2,600		2,837
Webster Financial Corp. 5.125%, 4/15/14		2,500		2,466
Wells Fargo & Co. 5.125%, 9/15/16		5,000		5,559
Westpac Banking Corp. 4.200%, 2/27/15		4,920		5,227
Willis Group Holdings plc 4.125%, 3/15/16		6,000		6,275
XL Group plc 5.250%, 9/15/14		4,335		4,567
Yapi Ve Kredi Bankasi Via Unicredit Luxembourg SA 144A 5.188%, 10/13/15⁽⁴⁾⁽⁷⁾		2,000		2,015
Zions Bancorp
5.650%, 5/15/14		1,775		1,836
7.750%, 9/23/14		6,194		6,718
4.500%, 3/27/17		8,120		8,167

				946,320

Health Care—0.3%
CareFusion Corp. 5.125%, 8/1/14		2,940		3,150
HCA, Inc. 7.250%, 9/15/20		8,000		8,840
Life Technologies Corp. 3.500%, 1/15/16		3,000		3,124
Patheon, Inc. 144A 8.625%, 4/15/17⁽⁴⁾		720		706
Select Medical Corp. 7.625%, 2/1/15		2,256		2,262
U.S. Oncology, Inc. 0.000%, 2/16/49⁽¹⁰⁾		1,263		0

				18,082

Industrials—4.5%
ADS Tactical, Inc. 144A 11.000%, 4/1/18⁽⁴⁾		7,416		7,601
Aircastle Ltd. 6.750%, 4/15/17		10,080		10,231
America West Airlines, Inc. Pass-Through-Trust
98-1A, 6.870%, 1/2/17		2,501		2,513
99-1, G 7.930%, 1/2/19		10,170		10,806
00-1, G 8.057%, 7/2/20		10,609		11,245
Atlas Air Pass-Through-Trust
98-1, A 7.380%, 1/2/18		11,424		11,424
99-1, A1 7.200%, 1/2/19		2,420		2,420
AWAS Aviation Capital Ltd. 144A 7.000%, 10/15/16⁽⁴⁾		11,089		11,533
Continental Airlines Pass-Through-Trust
98-1, A, 6.648%, 9/15/17		5,439		5,732
97-4, A, 6.900%, 1/2/18		4,955		5,215
01-A1, 6.703%, 6/15/21		13,581		14,600
Corp Andina de Fomento 3.750%, 1/15/16		10,000		10,395
Delta Air Lines Pass-Through-Trust
11-1, A 5.300%, 4/15/19		16,454		17,565


	PAR VALUE		VALUE
Industrials—(continued)
10-2A, 2A 4.950%, 5/23/19	$	7,330	$	7,788
09-1, A 7.750%, 12/17/19		558		634
12-1A, 1A 4.750%, 5/7/20		12,200		12,368
Deluxe Corp. 7.000%, 3/15/19		4,970		5,169
Express Scripts Holding Co. 144A 3.500%, 11/15/16⁽⁴⁾		10,000		10,533
Hutchison Whampoa International Ltd. 144A 4.625%, 9/11/15⁽⁴⁾		3,900		4,169
JMC Steel Group 144A 8.250%, 3/15/18⁽⁴⁾		6,030		6,015
Kratos Defense & Security Solutions, Inc. 10.000%, 6/1/17		8,570		9,277
Owens Corning, Inc. 6.500%, 12/1/16		11,150		12,403
PPL WEM Holdings plc 144A 3.900%, 5/1/16⁽⁴⁾		5,495		5,761
Ryder System, Inc.
3.600%, 3/1/16		3,120		3,288
2.500%, 3/1/17		11,980		12,093
Smiths Group plc 144A 7.200%, 5/15/19⁽⁴⁾		1,700		2,075
Toledo Edison Co. (The) 7.250%, 5/1/20		1,360		1,744
Transnet SOC Ltd. 144A 4.500%, 2/10/16⁽⁴⁾		9,000		9,386
U.S. Airways Pass-Through-Trust
01-1G 7.076%, 3/20/21		17,179		17,565
12-1A 5.900%, 10/1/24		11,500		11,773

				253,321

Information Technology—0.6%
Agilent Technologies, Inc. 5.500%, 9/14/15		2,185		2,446
Digicel Ltd. 144A 8.250%, 9/1/17⁽⁴⁾		5,215		5,359
EarthLink, Inc. 8.875%, 5/15/19		6,725		6,582
Intuit, Inc. 5.750%, 3/15/17		1,334		1,527
MDC-GMTN B.V. 144A 3.750%, 4/20/16⁽⁴⁾		4,000		4,186
National Semiconductor Corp. 6.600%, 6/15/17		3,330		4,118
Sorenson Communications, Inc. 144A 10.500%, 2/1/15⁽⁴⁾		3,400		2,652
Xerox Corp.
5.650%, 5/15/13		4,345		4,502
4.250%, 2/15/15		4,000		4,242

				35,614

Materials—2.2%
Allegheny Technologies, Inc. 9.375%, 6/1/19		7,245		9,224
Anglo American Capital plc 144A 9.375%, 4/8/19⁽⁴⁾		1,950		2,586
ArcelorMittal 5.375%, 6/1/13		4,825		4,962


	PAR VALUE		VALUE
Materials—(continued)
9.000%, 2/15/15	$	14,830	$	16,669
Catalyst Paper Corp.
7.375%, 3/1/14⁽¹¹⁾		1,055		24
144A 11.000%, 12/15/16^(4)(11)		3,520		1,742
CRH America, Inc.
4.125%, 1/15/16		4,000		4,068
8.125%, 7/15/18		4,770		5,685
Dow Chemical Co. (The) 7.600%, 5/15/14		2,950		3,284
FMG Resources Property Ltd.
144A 6.000%, 4/1/17⁽⁴⁾		2,485		2,504
144A 8.250%, 11/1/19⁽⁴⁾		8,600		9,159
Georgia-Pacific LLC 7.700%, 6/15/15		4,820		5,604
Gerdau Holdings, Inc. 144A 7.000%, 1/20/20⁽⁴⁾		1,950		2,174
International Paper Co. 9.375%, 5/15/19		5,330		7,159
Libbey Glass, Inc. 144A 6.875%, 5/15/20⁽⁴⁾		8,135		8,399
Sappi Papier Holding GmbH 144A 7.750%, 7/15/17⁽⁴⁾		12,830		13,038
144A 8.375%, 6/15/19⁽⁴⁾		4,860		4,884
Severstal OAO (Steel Capital SA) 144A 6.250%, 7/26/16⁽⁴⁾⁽⁷⁾		6,665		6,690
144A 6.700%, 10/25/17⁽⁴⁾⁽⁷⁾		5,975		6,059
Sinopec Group Overseas Development Ltd. 144A 2.750%, 5/17/17⁽⁴⁾		10,000		10,174
Verso Paper Holdings LLC / Verso Paper, Inc. 8.750%, 2/1/19		225		90

				124,178

Telecommunication Services—1.6%
America Movil SAB de CV 2.375%, 9/8/16		11,000		11,289
Axtel SAB de CV 144A 9.000%, 9/22/19⁽⁴⁾		750		503
CenturyLink, Inc. 6.000%, 4/1/17		10,050		10,681
Crown Castle Towers LLC
144A 4.523%, 1/15/15⁽⁴⁾		4,925		5,163
144A 3.214%, 8/15/15⁽⁴⁾		4,950		5,035
144A 5.495%, 1/15/17⁽⁴⁾		5,915		6,568
France Telecom SA 2.750%, 9/14/16		1,000		1,019
Nextel Communications, Inc. Series E 6.875%, 10/31/13		1,815		1,831
SBA Tower Trust 144A 4.254%, 4/15/15⁽⁴⁾		11,660		12,194
Telecom Italia Capital SA 6.175%, 6/18/14		4,900		4,937
7.175%, 6/18/19		2,395		2,383
Telefonica Emisiones SAU 6.421%, 6/20/16		7,500		7,199


	PAR VALUE		VALUE
Telecommunication Services—(continued)
Vivendi SA 144A 3.450%, 1/12/18⁽⁴⁾	$	10,500	$	10,287
Wind Acquisition Finance S.A. 144A 11.750%, 7/15/17⁽⁴⁾		6,425		5,220
Windstream Corp. 7.750%, 10/15/20		7,210		7,679

				91,988

Utilities—0.4%
AmeriGas Partners LP (AmeriGas Finance Corp.) 6.750%, 5/20/20		4,000		4,090
AmeriGas Partners LP / AmeriGas Finance Corp. 6.250%, 8/20/19		5,670		5,727
Enel Finance International N.V. 144A 3.875%, 10/7/14⁽⁴⁾		2,000		1,966
Korea Electric Power Corp. 144A 5.500%, 7/21/14⁽⁴⁾		3,420		3,640
Korea Gas Corp. 144A 6.000%, 7/15/14⁽⁴⁾		2,000		2,152
Korea Hydro & Nuclear Power Co., Ltd. 144A 3.125%, 9/16/15⁽⁴⁾		1,000		1,022
Midwest Generation LLC Series B 8.560%, 1/2/16		947		905
NRG Energy, Inc. 7.625%, 1/15/18		1,485		1,544
TransAlta Corp. 4.750%, 1/15/15		2,220		2,317

				23,363

TOTAL CORPORATE BONDS AND NOTES (Identified Cost $1,860,990)				1,918,172

LOAN AGREEMENTS⁽³⁾—12.4%
Consumer Discretionary—3.4%
Acosta, Inc. Tranche C, 0.000%, 3/31/18		8,000		8,015
Advantage Sales & Marketing, Inc. First Lien, 5.250%, 12/18/17		714		711
AMF Bowling Worldwide, Inc. Tranche B, 3.250%, 6/7/13		2,021		1,883
Avis Budget Group, Inc. Tranche B, 6.250%, 9/22/18		1,434		1,437
Boyd Gaming Corp. 6.000%, 12/17/15		4,875		4,908
Burger King Holdings, Inc. Tranche B, 4.500%, 10/19/16		1,538		1,535
Caesars Entertainment Operating Co., Inc. (Harrah’s Operating Company, Inc.)
Tranche B-4, 9.500%, 10/31/16		9,062		9,211
Tranche B-6, 5.495%, 1/28/18		946		845
Cedar Fair LP Tranche 1, 4.000%, 12/15/17		1,546		1,546


	PAR VALUE			VALUE
Consumer Discretionary—(continued)
Cengage Learning Acquisitions, Inc. 2.500%, 7/3/14	$	6,905		$	6,426
Charter Communications Operating LLC
Tranche C, 3.500%, 9/6/16		3,259			3,244
Tranche D, 3.500%, 5/15/19		4,988			4,967
Chrysler Group LLC / Chrysler Group Co-Issuer, Inc. Tranche B, 6.000%, 5/24/17		8,316			8,389
Cumulus Media Holdings, Inc. First Lien, 5.750%, 9/17/18		9,947			9,937
DineEquity, Inc. Tranche B-1, 4.250%, 10/19/17		3,078			3,071
Dunkin’ Brands, Inc. Tranche B-2, 4.625%, 11/23/17		3,888			3,845
EMI Group North America Holdings, Inc. 0.000%, 2/15/18		7,370			7,422
Entercom Radio LLC Tranche B, 6.250%, 11/23/18		5,434			5,454
Fram Group Holdings, Inc./Prestone Holdings, Inc.
First Lien, 6.500%, 7/29/17		7,444			7,193
Gateway Casinos & Entertainment Ltd. Tranche B, 6.750%, 5/12/16		3,222	^CAD		3,145
Getty Images, Inc. 5.625%, 11/7/16		6,406			6,430
Gymboree Corp. 5.000%, 2/23/18		2,737			2,597
HD Supply, Inc. Tranche B, 0.000%, 10/12/17		11,870			11,978
Hubbard Radio LLC First Lien, 5.250%, 4/28/17		3,724			3,724
Intelsat Jackson Holding S.A. (Intelsat Jackson Holding Ltd.)
3.240%, 2/1/14		2,335			2,285
Tranche B, 5.250%, 4/2/18		3,960			3,964
Landry’s Restaurant, Inc. Tranche B, 6.500%, 4/24/18		10,858			10,902
Leslie’s Poolmart, Inc. Tranche B, 4.500%, 11/21/16		3,324			3,281
Neiman Marcus Group, Inc. 4.750%, 5/16/18		8,102			8,026
Nielsen Finance LLC
Tranche A, 2.240%, 8/9/13		288			288
Tranche B, 3.991%, 5/2/16		3,283			3,279
Ozburn-Hessey Holding Co., LLC First Lien, 8.250%, 4/8/16		1,198			1,117
Penn National Gaming, Inc. Tranche B, 3.750%, 7/16/18		2,970			2,976
Pilot Travel Centers LLC Tranche B, 4.250%, 3/30/18		3,191			3,206
Radio One, Inc. 6.250%, 3/31/16		1,904			1,880


	PAR VALUE		VALUE
Consumer Discretionary—(continued)
Sinclair Television Group, Inc. Tranche B 4.000%, 10/28/16	$	1,018	$	1,021
Sports Authority, Inc. (The) Tranche B, 7.500%, 11/16/17		2,266		2,186
SRAM LLC First Lien, 4.750%, 6/7/18		2,352		2,317
TI Group Automotive Systems LLC 6.750%, 3/14/18		7,758		7,602
Toys “R” Us, Inc. 6.000%, 9/1/16		9,034		8,525
UCI International, Inc. 5.500%, 7/26/17		714		713
Visant Corp. (Jostens) Tranche B, 5.250%, 12/22/16		9,055		8,809
VWR Funding, Inc. 0.000%, 4/3/17		3,211		3,174

				193,464

Consumer Staples—0.4%
American Rock Salt Co. LLC 5.500%, 4/25/17		763		729
Del Monte Foods Co. 4.500%, 3/8/18		1,558		1,538
Michael Foods, Inc. Tranche B 4.500%, 2/25/18		3,258		3,264
Revlon Consumer Products Corp. Tranche B, 4.750%, 11/19/17		5,367		5,352
Reynolds Group Holdings, Inc.
Tranche B, 6.500%, 2/9/18		6,935		6,984
Tranche C 6.500%, 8/9/18		4,909		4,959

				22,826

Energy—0.9%
Buffalo Gulf Coast Terminals LLC 7.500%, 10/31/17		3,308		3,312
Chesapeake Energy Corp. 8.500%, 12/2/17		5,480		5,442
CITGO Petroleum Corp. Tranche C, 9.000%, 6/24/17		2,178		2,205
EP Energy LLC 6.500%, 5/24/18		6,150		6,227
Frac Tech Services LLC 6.250%, 5/6/16		13,385		12,263
Gibson Energy Tranche B, 4.750%, 6/15/18		3,848		3,851
Helix Energy Solutions Group, Inc. Extended, 3.744%, 7/1/16		9,474		9,418
NGPL PipeCo LLC 6.750%, 9/15/17		6,570		6,455

				49,173

Financials—1.4%
Asurion LLC (Asurion Corp.) First Lien, 5.500%, 5/24/18		4,480		4,464
Atlantic Broadband First Lien, 5.250%, 4/4/19		7,900		7,933


	PAR VALUE		VALUE
Financials—(continued)
Capital Automotive LP Tranche B, 5.250%, 3/11/17	$	5,161	$	5,115
Delos Aircraft, Inc. 4.750%, 4/12/16		244		245
Fortress Invest Group LLC (FIG LLC) 5.750%, 10/7/15		2,238		2,230
iPayment, Inc . 5.750%, 5/8/17		1,410		1,417
iStar Financial, Inc.
Tranche A-1, 5.000%, 6/28/13		2,769		2,767
Tranche A-2, 7.000%, 6/30/14		3,724		3,726
Tranche A-2, 7.000%, 3/19/17		4,000		4,002
MIP Delaware, LLC (MIPL (LUX) S.A.R.L) 5.500%, 7/12/18		2,315		2,321
MoneyGram International, Inc. 4.250%, 11/17/17		575		567
Nuveen Investments, Inc.
First Lien Extended, 5.963%, 5/13/17		6,455		6,369
First Lien Additional Extended , 5.964%, 5/13/17		3,245		3,213
Second Lien, 5.970%, 2/28/19		2,000		2,011
Pinnacle Foods Finance LLC
Extended, 3.854%, 10/2/16		2,379		2,359
Tranche E, 4.750%, 10/17/18		2,185		2,168
RPI Finance Trust 4.000%, 11/9/18		11,152		11,075
Springleaf Financial Funding Co. (American General Finance Corp.) 5.500%, 5/10/17		9,025		8,524
Tomkins, LLC (Pinafore LLC) Tranche B-1, 4.250%, 9/29/16		527		528
TransUnion LLC 5.500%, 2/10/18		2,853		2,858
Walter Investment Management Corp. First Lien, 7.750%, 6/30/16		3,088		3,111

				77,003

Health Care—1.5%
Alere, Inc.
Tranche B-1, 4.750%, 6/30/17		2,485		2,462
Tranche B-2, 5.375%, 6/30/17		4,988		4,941
Aptalis Pharma, Inc. (Axcan Intermediate Holdings, Inc.) Tranche B-1, 5.500%, 2/10/17		3,078		2,991
Ardent Health Services LLC 6.500%, 9/15/15		3,926		3,916
Capsugel Holdings, Inc. 5.250%, 8/1/18		2,952		2,971
Catalent Pharma Solutions, Inc. (Cardinal Health 409, Inc.) Tranche 2, 5.250%, 9/15/17		3,714		3,694
Emdeon, Inc. Tranche B-1, 5.000%, 11/2/18		2,486		2,490
HCA, Inc. Tranche B-3, 3.500%, 5/1/18		537		522


	PAR VALUE		VALUE
Health Care—(continued)
HCR ManoCare, Inc. (HCR Healthcare LLC) 5.000%, 4/6/18	$	659	$	643
Health Management Associates, Inc. Tranche B, 0.000%, 11/16/18		4,596		4,569
Houghton International, Inc. Tranche B-1, 6.750%, 1/29/16		3,343		3,368
Iasis Healthcare LLC Tranche B, 5.000%, 5/3/18		4,950		4,869
InVentiv Health, Inc. (Ventive Health, Inc) 6.500%, 8/4/16		3,111		2,916
Kinetic Concepts, Inc. Tranche B-1, 7.000%, 5/4/18		7,386		7,460
MultiPlan, Inc. Tranche B, 4.750%, 8/26/17		2,611		2,585
NBTY, Inc. Tranche B-1, 4.250%, 10/2/17		2,334		2,335
Onex Carestream Finance LP (Carestream Health, Inc.) 0.000%, 2/25/17		2,048		1,963
Quintiles Transnational Corp. Tranche B, 5.000%, 6/8/18		4,455		4,419
Rural/Metro Operating Co., LLC First Lien, 0.000%, 6/30/18		3,135		3,085
Sheridan Holdings, Inc. Tranche B, 0.000%, 6/13/18		8,675		8,675
Surgery Center Holdings, Inc. 6.500%, 2/6/17		4,068		4,048
Universal Health Services, Inc. Tranche B, 3.750%, 11/15/16		3,750		3,706
Valeant Pharmaceuticals International, Inc.
0.000%, 2/13/19		2,566		2,529
0.000%, 2/13/19		855		845
Vanguard Health Holding Co., LLC (Vanguard Health System, Inc.) 5.000%, 1/29/16		2,044		2,042

				84,044

Industrials—1.5%
AWAS Finance Luxemborg SA 0.000%, 6/30/18		3,452		3,446
Brickman Group Holdings, Inc. Tranche B-1, 5.500%, 10/14/16		5,774		5,789
Brock Holdings Ill, Inc. First Lien, 6.000%, 3/16/17		1,528		1,526
Building Materials Holdings Corp. Second Lien 8.000%, 1/5/15⁽⁶⁾		1,223		1,073
Ceridian Corp. 3.200%, 11/9/14		6,441		6,247
Ducommun, Inc. 5.500%, 6/28/17		1,403		1,403
Goodman Global, Inc. First Lien 5.750%, 10/28/16		2,543		2,548
Harland Clarke Holdings Corp. Tranche B 2.788%, 6/30/14		8,304		7,463


	PAR VALUE		VALUE
Industrials—(continued)
Husky Injection Molding System (Yukon Acquisition, Inc.) 0.000%, 6/29/18	$	5,638	$	5,677
Protection One, Inc. 5.750%, 3/21/19		6,902		6,893
ServiceMaster Co. (The) 2.740%, 7/24/14		7,736		7,655
Tranche DD, 2.740%, 7/24/14		770		762
Spirit Aerosystems, Inc. Tranche B 3.750%, 4/18/19		13,965		14,015
Swift Transportation Corp. Tranche B-2, 5.000%, 12/21/17		1,278		1,285
Terex Corp. 5.500%, 4/28/17		6,352		6,380
WCA Waste Corp. (WCA Waste Systems, Inc.) 5.500%, 3/23/18		9,489		9,495
WireCo Worldgroup, Inc. 0.000%, 6/1/17		2,515		2,521

				84,178


Information Technology—2.0%
Avaya, Inc.
Tranche B-1, 3.217%, 10/24/14		5,465		5,168
Tranche B-3, 4.967%, 10/26/17		3,067		2,725
Blue Coat Systems, Inc. First Lien, 7.500%, 2/15/18		4,800		4,797
CCC Information Services 5.500%, 11/11/15		406		406
CDW LLC
Non-Extended, 3.741%, 10/10/14		1,482		1,476
Extended, 4.000%, 7/15/17		5,309		5,204
Commscope, Inc. Tranche 1, 4.250%, 1/14/18		1,699		1,691
DynCorp International LLC 6.500%, 7/7/16		5,679		5,680
Edwards (Cayman Islands II) Ltd. First Lien, 5.500%, 5/31/16		3,009		2,996
First Data Corp.
Tranche B-1, 3.000%, 9/24/14		879		848
Tranche B-2, 3.000%, 9/24/14		219		211
Tranche B-3 3.000%, 9/24/14		6,838		6,600
Freescale Semiconductor, Inc.
Tranche B-1, 4.490%, 12/1/16		7,246		6,880
Tranche B-2, 6.000%, 2/28/19		5,516		5,446
Interactive Data Corp. Tranche B, 4.500%, 2/11/18		5,279		5,202
Lawson Software Tranche B, 6.250%, 4/5/18		13,310		13,401
MedAssets, Inc. 5.250%, 11/16/16		1,084		1,089
Mood Media Corp. First Lien 7.000%, 5/6/18		4,589		4,546
NDS Finance Ltd. Tranche B, 3.750%, 3/12/18		1,259		1,258


	PAR VALUE		VALUE
Information Technology—(continued)
Novell, Inc. (Attachmate Corp.) First Lien, 7.750%, 11/22/17	$	10,370	$	10,279
NuSil Technology LLC 5.250%, 4/7/17		1,089		1,087
Scitor Corp. 5.000%, 2/15/17		759		746
Sophia LP (DataTel, Inc.) 0.000%, 7/19/18		6,808		6,860
Spansion LLC 4.750%, 2/9/15		3,459		3,469
SRA International, Inc. 6.500%, 7/20/18		7,098		6,897
SSI Investments II Ltd. (Skillsoft) 0.000%, 5/26/17		2,991		3,021
Wall Street Systems, Inc. First Lien, 5.500%, 6/20/17		1,520		1,514
Zayo Group LLC 0.000%, 6/30/19		6,916		6,952

				116,449

Materials—0.9%
Anchor Glass Container Corp.
First Lien, 6.000%, 3/2/16		3,088		3,100
Second Lien, 10.000%, 9/2/16		3,975		3,975
Avantor Performance Materials, Inc. 5.000%, 6/24/17		2,333		2,322
AZ Chem US, Inc. 7.250%, 12/22/17		4,618		4,660
Berry Plastics Group, Inc. Tranche C, 2.250%, 4/3/15		3,578		3,460
CPG International, Inc. 6.000%, 2/18/17		2,388		2,303
General Chemical Corp. Tranche B, 5.375%, 10/6/15		5,151		5,128
Harko C.V.(OM Group, Inc.) Tranche B, 5.750%, 8/2/17		3,781		3,780
Huntsman International LLC Extended Tranche B, 2.850%, 4/19/17		8,147		8,013
Ineos Group Holdings Ltd. 6.500%, 5/4/18		2,993		2,936
JMC Steel Group 4.750%, 4/1/17		632		627
Momentive Performance Tranche B-1B 3.750%, 5/5/15		1,995		1,895
Momentive Performance Materials (Blitz 06-103 GmBH) Tranche B-1B, 3.750%, 5/5/15		1,740		1,691
New Sunward Holding BV Tranche B, 4.740%, 2/14/14		2,705		2,512
Norit Holding B.V. 6.750%, 7/10/17		2,749		2,763
Novelis, Inc. Tranche B, 4.000%, 3/10/17		2,389		2,346
Trinseo Materials Operating S.C.A. (Styron S.A.R.L) 6.375%, 8/2/17		2,381		2,237

				53,748


	PAR VALUE		VALUE
Telecommunication Services—0.3%
Level 3 Financing, Inc.
Tranche A, 2.491%, 3/13/14	$	8,053	$	7,933
Tranche A, 2.791%, 9/3/18		5,645		5,655
nTelos, Inc. Tranche B, 4.000%, 8/7/15		3,213		3,191
U.S. TelePacific Corp. 5.750%, 2/23/17		3,145		2,925

				19,704

Utilities—0.1%
NRG Energy, Inc. 4.000%, 7/1/18		4,455		4,432
Texas Compeptitive Electric Holdings Co. LLC
Extended, 4.740%, 10/10/17		5,925		3,558

				7,990

TOTAL LOAN AGREEMENTS (Identified Cost $709,882)				708,579


	SHARES		VALUE
PREFERRED STOCK—0.2%
Financials—0.2%
Ally Financial, Inc. 144A 7.000%⁽⁴⁾		702		625
Banco Bilbao Vizcaya Argentaria S.A. International Preferred S.A. Unipersonal 5.919%⁽³⁾		5,835		3,440
Banco do Brasil S.A. 144A 8.500%⁽³⁾⁽⁴⁾		700		804
JPMorgan Chase & Co. 7.90%⁽³⁾		3,360		3,684

TOTAL PREFERRED STOCK (Identified Cost $9,071)				8,553

COMMON STOCKS—0.0%
Financials—0.0%
CIT Group, Inc.⁽²⁾		26,344		939

TOTAL COMMON STOCKS (Identified Cost $955)				939

TOTAL LONG TERM INVESTMENTS—98.8% (Identified cost $5,507,013)				5,630,858

SHORT-TERM INVESTMENTS—1.1%
Money Market Mutual Funds—1.1%
BlackRock Liquidity Funds TempFund Portfolio - Insitutional Shares (seven-day effective yield 0.150%)		60,634,066		60,634

TOTAL SHORT-TERM INVESTMENTS (Identified Cost $60,634)				60,634

TOTAL INVESTMENTS—99.9% (Identified Cost $5,567,647)				5,691,492	⁽¹⁾
Other assets and liabilities, net—0.1%				7,503

NET ASSETS—100.0%			$	5,698,995

Abbreviations:


AB		AktieBolag. The Swedish equivalent for “Inc.”, “Corp.”, “Ltd.” etc.
ASA		Allmennaksjeselskap a public limited company.
FHLMC		Federal Home Loan Mortgage Corporation (“Freddie Mac”).
FNMA		Federal National Mortgage Association (“Fannie Mae”).
GDP		Gross Domestic Product
GmbH		Limited liability company.
GNMA		Government National Mortgage Association (“Ginnie Mae”)
NATL		National Public Finance Guarantee Corp.
N.V.		Naamloze Vennootschap a public limited liability company.
OJSC		Open Joint Stock Company.


PIK		Payment-in-Kind Security
plc		Public Limited Co.
REIT		Real Estate Investment Trust
S.A.		Sociedad Anonima or Sociedade Anonima
SAB de
CV		A variable capital company.

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at June 30, 2012, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Non-income producing.

⁽³⁾	Variable or step coupon security; interest rate shown reflects the rate in effect at June 30, 2012.

⁽⁴⁾	Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2012, these securities amounted to a value of $1,466,837 or 25.7% of net assets.

⁽⁵⁾	Regulation S security. Security is offered and sold outside of the United States, therefore, it is exempt from registration with the SEC under rules 903 and 904 of the Securities Act of 1933.

⁽⁶⁾	Illiquid security.

⁽⁷⁾	This note was issued for the sole purpose of funding a loan agreement between the issuer and the borrower. As the credit risk for this security lies solely with the borrower, the name represented here is that of the borrower.

⁽⁸⁾	No contractual maturity date

⁽⁹⁾	Interest payments may be deferred.

⁽¹⁰⁾	Security valued at fair value as determined in good faith by or under the direction of the Trustees. This security is disclosed as a Level 3 security in the disclosure table located after the Schedule of Investments.

⁽¹¹⁾	Security in default.

Foreign Currencies:


AUD		Australian Dollar
BRL		Brazilian Real
CAD		Canadian Dollar
COP		Colombian Peso
IDR		Indonesian Rupiah
MXN		Mexican Peso
NOK		Norwegian Krone
NZD		New Zealand Dollar
PLN		Polish Zloty
SEK		Swedish Krona
TRY		Turkish Lira
ZAR		South African Rand

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2012 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

for any investment security where a change in the pricing level occurred from the beginning to the end of the period.


	SHARES		VALUE
COMMON STOCKS—100.0%
Consumer Discretionary—16.7%
Abercrombie & Fitch Co. Class A		33,045	$	1,128
Amazon.com, Inc.⁽²⁾		144,865		33,080
Apollo Group, Inc. Class A⁽²⁾		42,980		1,555
AutoNation, Inc.⁽²⁾		16,456		581
AutoZone, Inc.⁽²⁾		10,590		3,888
Bed Bath & Beyond, Inc.⁽²⁾		93,183		5,759
Best Buy Co., Inc.		111,409		2,335
Big Lots, Inc.⁽²⁾		25,482		1,039
BorgWarner, Inc.⁽²⁾		45,880		3,009
Cablevision Systems Corp. Class A		85,871		1,141
CarMax, Inc.⁽²⁾		91,458		2,372
Carnival Corp.		182,238		6,245
CBS Corp. Class B		260,661		8,544
Chipotle Mexican Grill, Inc.⁽²⁾		12,651		4,807
Coach, Inc.		115,504		6,755
Comcast Corp. Class A		1,084,322		34,666
Darden Restaurants, Inc.		51,506		2,608
DeVry, Inc.		23,509		728
DIRECTV Class A⁽²⁾		263,417		12,860
Discovery Communications, Inc. Class A⁽²⁾		102,389		5,529
Dollar Tree, Inc.⁽²⁾		92,840		4,995
DR Horton, Inc.		112,616		2,070
Expedia, Inc.		36,111		1,736
Family Dollar Stores, Inc.		46,733		3,107
Ford Motor Co.		1,534,840		14,719
Fossil, Inc.⁽²⁾		20,750		1,588
GameStop Corp. Class A		52,153		958
Gannett Co., Inc.		94,266		1,389
Gap, Inc. (The)		133,705		3,658
Genuine Parts Co.		62,404		3,760
Goodyear Tire & Rubber Co. (The)⁽²⁾		98,179		1,160
H&R Block, Inc.		117,983		1,885
Harley-Davidson, Inc.		92,799		4,244
Harman International Industries, Inc.		28,213		1,117
Hasbro, Inc.		46,712		1,582
Home Depot, Inc. (The)		615,599		32,621
International Game Technology		118,652		1,869
Interpublic Group of Cos., Inc. (The)		178,182		1,933
J.C. Penney Co., Inc.⁽²⁾		58,621		1,366
Johnson Controls, Inc.		273,562		7,580
Kohl’s Corp.		96,205		4,376


	SHARES		VALUE
Consumer Discretionary—(continued)
Leggett & Platt, Inc.		56,113	$	1,186
Lennar Corp. Class A		65,137		2,013
Lowe’s Cos., Inc.		473,256		13,459
Ltd. Brands, Inc.		96,938		4,123
Macy’s, Inc.		166,165		5,708
Marriott International, Inc. Class A		106,334		4,168
Mattel, Inc.		136,888		4,441
McDonald’s Corp.		408,713		36,183
McGraw-Hill Cos., Inc. (The)		112,416		5,059
Netflix, Inc.⁽²⁾		22,144		1,516
Newell Rubbermaid, Inc.		116,524		2,114
News Corp. Class A		847,302		18,886
NIKE, Inc. Class B		147,383		12,937
Nordstrom, Inc.		64,111		3,186
O’Reilly Automotive, Inc.⁽²⁾		50,470		4,228
Omnicom Group, Inc.		109,478		5,321
priceline.com, Inc.⁽²⁾		19,866		13,201
PulteGroup, Inc.⁽²⁾		135,704		1,452
Ralph Lauren Corp.		25,888		3,626
Ross Stores, Inc.		90,402		5,647
Scripps Networks Interactive, Inc. Class A		37,104		2,110
Sears Holdings Corp.⁽²⁾		15,287		913
Staples, Inc.		277,167		3,617
Starbucks Corp.		305,043		16,265
Starwood Hotels & Resorts Worldwide, Inc.		79,212		4,201
Target Corp.		265,925		15,474
Tiffany & Co.		50,720		2,686
Time Warner Cable, Inc.		125,611		10,313
Time Warner, Inc.		386,058		14,863
TJX Cos., Inc.		297,964		12,792
TripAdvisor, Inc.⁽²⁾		38,141		1,705
Urban Outfitters, Inc.⁽²⁾		44,631		1,231
VF Corp.		34,652		4,624
Viacom, Inc. Class B		212,271		9,981
Walt Disney Co. (The)		718,838		34,864
Washington Post Co. (The) Class B		1,961		733
Whirlpool Corp.		30,930		1,892
Wyndham Worldwide Corp.		58,407		3,080
Wynn Resorts Ltd.		31,789		3,297
Yum! Brands, Inc.		185,234		11,933

				541,370

Consumer Staples—16.5%
Altria Group, Inc.		711,170		24,571


	SHARES		VALUE
Consumer Staples—(continued)
Archer-Daniels-Midland Co.		277,015	$	8,177
Avon Products, Inc.		209,460		3,395
Beam, Inc.		68,550		4,284
Brown-Forman Corp. Class B		43,775		4,240
Campbell Soup Co.		88,440		2,952
Clorox Co. (The)		56,760		4,113
Coca-Cola Co. (The)		872,970		68,258
Coca-Cola Enterprises, Inc.		140,330		3,935
Colgate-Palmolive Co.		190,865		19,869
ConAgra Foods, Inc.		186,160		4,827
Constellation Brands, Inc. Class A⁽²⁾		88,555		2,396
Costco Wholesale Corp.		172,650		16,402
CVS Caremark Corp.		509,500		23,809
Dean Foods Co.⁽²⁾		110,715		1,885
Dr. Pepper Snapple Group, Inc.		93,360		4,084
Estee Lauder Cos., Inc. (The) Class A		99,170		5,367
General Mills, Inc.		260,755		10,049
Heinz (H.J.) Co.		131,880		7,172
Hershey Co. (The)		65,965		4,751
Hormel Foods Corp.		75,005		2,282
J.M. Smucker Co. (The)		52,610		3,973
Kellogg Co.		108,650		5,360
Kimberly-Clark Corp.		156,970		13,149
Kraft Foods, Inc. Class A		640,005		24,717
Kroger Co. (The)		245,310		5,689
Lorillard, Inc.		55,420		7,313
McCormick & Co., Inc.		62,230		3,774
Mead Johnson Nutrition Co.		83,840		6,750
Molson Coors Brewing Co. Class B		77,085		3,208
Monster Beverage Corp.⁽²⁾		71,990		5,126
PepsiCo, Inc.		346,660		24,495
Philip Morris International, Inc.		659,975		57,589
Procter & Gamble Co. (The)		1,059,285		64,881
Reynolds American, Inc.		138,835		6,230
Safeway, Inc.		129,845		2,357
SYSCO Corp.		248,760		7,416
Tyson Foods, Inc. Class A		146,700		2,762
Wal-Mart Stores, Inc.		667,760		46,556
Walgreen Co.		355,590		10,518
Whole Foods Market, Inc.		68,085		6,490

				535,171

Health Care—16.7%
Abbott Laboratories		490,770		31,640


	SHARES		VALUE
Health Care—(continued)
Aetna, Inc.		131,220	$	5,087
Agilent Technologies, Inc.		127,800		5,015
Alexion Pharmaceuticals, Inc.⁽²⁾		70,350		6,986
Allergan, Inc.		116,255		10,762
AmerisourceBergen Corp.		95,585		3,761
Amgen, Inc.		286,180		20,903
Bard (C.R.), Inc.		32,740		3,518
Baxter International, Inc.		205,630		10,929
Becton, Dickinson & Co.		76,310		5,704
Biogen Idec, Inc.⁽²⁾		89,815		12,968
Boston Scientific Corp.⁽²⁾		530,915		3,010
Bristol-Myers Squibb Co.		624,720		22,459
Cardinal Health, Inc.		128,550		5,399
CareFusion Corp.⁽²⁾		81,375		2,090
Celgene Corp.⁽²⁾		162,085		10,399
Cerner Corp.⁽²⁾		53,765		4,444
CIGNA Corp.		109,620		4,823
Coventry Health Care, Inc.		52,365		1,665
Covidien plc		177,470		9,495
DaVita, Inc.⁽²⁾		34,520		3,390
DENTSPLY International, Inc.		51,915		1,963
Edwards Lifesciences Corp.⁽²⁾		41,965		4,335
Eli Lilly & Co.		375,770		16,124
Express Scripts Holding Co.⁽²⁾		312,058		17,422
Forest Laboratories, Inc.⁽²⁾		98,695		3,453
Gilead Sciences, Inc.⁽²⁾		278,685		14,291
Hospira, Inc.⁽²⁾		60,695		2,123
Humana, Inc.		64,210		4,972
Intuitive Surgical, Inc.⁽²⁾		14,491		8,025
Johnson & Johnson		1,010,595		68,276
Laboratory Corp. of America Holdings⁽²⁾		35,450		3,283
Life Technologies Corp.⁽²⁾		65,400		2,942
McKesson Corp.		88,913		8,336
Medtronic, Inc.		384,715		14,900
Merck & Co., Inc.		1,119,220		46,727
Mylan, Inc.⁽²⁾		157,735		3,371
Patterson Cos., Inc.		32,160		1,109
PerkinElmer, Inc.		41,800		1,078
Perrigo Co.		34,220		4,036
Pfizer, Inc.		2,755,465		63,376
Quest Diagnostics, Inc.		60,275		3,610
St. Jude Medical, Inc.		118,435		4,727
Stryker Corp.		121,040		6,669
Tenet Healthcare Corp.⁽²⁾		158,740		832


	SHARES		VALUE
Health Care—(continued)
Thermo Fisher Scientific, Inc.		135,080	$	7,012
UnitedHealth Group, Inc.		384,900		22,517
Varian Medical Systems, Inc.⁽²⁾		40,840		2,482
Waters Corp.⁽²⁾		32,550		2,587
Watson Pharmaceuticals, Inc.⁽²⁾		49,245		3,644
WellPoint, Inc.		124,910		7,968
Zimmer Holdings, Inc.		65,560		4,219

				540,856

Industrials—17.0%
3M Co.		292,800		26,235
Avery Dennison Corp.		52,780		1,443
Boeing Co. (The)		321,940		23,920
Caterpillar, Inc.		286,300		24,310
Cintas Corp.		54,540		2,106
Cooper Industries plc		65,150		4,442
CSX Corp.		515,490		11,526
Cummins, Inc.		145,580		14,108
Danaher Corp.		265,750		13,840
Deere & Co.		182,750		14,779
Donnelley (R.R.) & Sons Co.		107,350		1,264
Dover Corp.		91,120		4,885
Dun & Bradstreet Corp.		19,560		1,392
Eaton Corp.		169,900		6,733
Emerson Electric Co.		319,670		14,890
Equifax, Inc.		67,090		3,126
Expeditors International of Washington, Inc.		87,110		3,376
Fastenal Co.		121,450		4,896
FedEx Corp.		139,060		12,739
Flowserve Corp.		22,310		2,560
Fluor Corp.		101,080		4,987
General Dynamics Corp.		161,490		10,652
General Electric Co.		3,228,370		67,279
Goodrich Corp.		79,480		10,086
Grainger (W.W.), Inc.		32,760		6,265
Honeywell International, Inc.		338,290		18,890
Illinois Tool Works, Inc.		208,800		11,043
Ingersoll-Rand plc		122,840		5,181
Iron Mountain, Inc.		70,120		2,311
Jacobs Engineering Group, Inc.⁽²⁾		52,850		2,001
Joy Global, Inc.		43,400		2,462
L-3 Communications Holdings, Inc.		39,910		2,954
Lockheed Martin Corp.		115,990		10,100
Masco Corp.		163,550		2,268


	SHARES		VALUE
Industrials—(continued)
Norfolk Southern Corp.		157,380	$	11,295
Northrop Grumman Corp.		111,740		7,128
PACCAR, Inc.		170,740		6,691
Pall Corp.		69,490		3,809
Parker Hannifin Corp.		78,130		6,007
Pitney Bowes, Inc.		94,240		1,411
Precision Castparts Corp.		59,510		9,789
Quanta Services, Inc.⁽²⁾		87,360		2,103
Raytheon Co.		149,910		8,483
Republic Services, Inc.		129,410		3,424
Robert Half International, Inc.		82,920		2,369
Robinson (C.H.) Worldwide, Inc.		66,600		3,898
Rockwell Automation, Inc.		75,740		5,003
Rockwell Collins, Inc.		76,940		3,797
Roper Industries, Inc.		39,910		3,934
Ryder System, Inc.		38,150		1,374
Snap-On, Inc.		23,720		1,477
Southwest Airlines Co.		346,380		3,194
Stanley Black & Decker, Inc.		69,990		4,505
Stericycle, Inc.⁽²⁾		34,850		3,195
Textron, Inc.		143,930		3,580
Tyco International Ltd.		190,470		10,066
Union Pacific Corp.		213,290		25,448
United Parcel Service, Inc. Class B		402,000		31,662
United Technologies Corp.		389,640		29,429
Waste Management, Inc.		207,770		6,940
Xylem, Inc.		76,050		1,914

				550,974

Information Technology—14.4%
Accenture plc Class A		123,820		7,440
Adobe Systems, Inc.⁽²⁾		97,680		3,162
Advanced Micro Devices, Inc.⁽²⁾		128,960		739
Akamai Technologies, Inc.⁽²⁾		38,860		1,234
Altera Corp.		66,435		2,248
Amphenol Corp. Class A		33,220		1,824
Analog Devices, Inc.		60,320		2,272
Apple, Inc.⁽²⁾		179,740		104,968
Applied Materials, Inc.		252,720		2,896
Autodesk, Inc.⁽²⁾		47,640		1,667
Automatic Data Processing, Inc.		95,960		5,341
BMC Software, Inc.⁽²⁾		32,810		1,400
Broadcom Corp. Class A⁽²⁾		98,505		3,329
CA, Inc.		71,230		1,930


	SHARES		VALUE
Information Technology—(continued)
Cisco Systems, Inc.		1,029,800	$	17,682
Citrix Systems, Inc.⁽²⁾		37,950		3,186
Cognizant Technology Solutions Corp. Class A⁽²⁾		60,640		3,638
Computer Sciences Corp.		31,400		779
Corning, Inc.		297,485		3,847
Dell, Inc.⁽²⁾		290,680		3,639
eBay, Inc.⁽²⁾		224,720		9,441
Electronic Arts, Inc.⁽²⁾		65,320		807
EMC Corp.⁽²⁾		409,040		10,484
F5 Networks, Inc.⁽²⁾		15,140		1,507
Fidelity National Information Services, Inc.		49,965		1,703
Fiserv, Inc.⁽²⁾		27,710		2,001
FLIR Systems, Inc.		32,690		637
Google, Inc. Class A⁽²⁾		48,660		28,226
Harris Corp.		23,729		993
Hewlett-Packard Co.		315,520		6,345
Intel Corp.		824,740		21,979
International Business Machines Corp.		221,750		43,370
Intuit, Inc.		59,035		3,504
Jabil Circuit, Inc.		41,610		846
JDS Uniphase Corp.⁽²⁾		57,340		631
Juniper Networks, Inc.⁽²⁾		104,940		1,712
KLA-Tencor Corp.		34,450		1,697
Lam Research Corp.⁽²⁾		38,540		1,455
Lexmark International, Inc. Class A		17,230		458
Linear Technology Corp.		47,320		1,483
LSI Corp.⁽²⁾		123,100		784
MasterCard, Inc. Class A		20,709		8,907
Microchip Technology, Inc.		40,530		1,341
Micron Technology, Inc.⁽²⁾		202,580		1,278
Microsoft Corp.		1,437,315		43,967
Molex, Inc.		30,670		734
Motorola Solutions, Inc.		57,230		2,753
NetApp, Inc.⁽²⁾		73,060		2,325
NVIDIA Corp.⁽²⁾		125,650		1,737
Oracle Corp.		750,175		22,280
Paychex, Inc.		64,770		2,034
QUALCOMM, Inc.		331,540		18,460
Red Hat, Inc.⁽²⁾		40,160		2,268
SAIC, Inc.		52,935		642
Salesforce.com, Inc.⁽²⁾		28,350		3,920
SanDisk Corp.⁽²⁾		50,860		1,855
Seagate Technology plc		70,300		1,739
Symantec Corp.⁽²⁾		143,120		2,091


	SHARES		VALUE
Information Technology—(continued)
TE Connectivity Ltd.		81,910	$	2,614
Teradata Corp.⁽²⁾		35,390		2,548
Teradyne, Inc.⁽²⁾		45,790		644
Texas Instruments, Inc.		223,355		6,408
Total System Services, Inc.		35,150		841
VeriSign, Inc.⁽²⁾		33,350		1,453
Visa, Inc. Class A		95,500		11,807
Western Digital Corp.⁽²⁾		47,265		1,441
Western Union Co. (The)		121,460		2,045
Xerox Corp.		277,030		2,180
Xilinx, Inc.		54,090		1,816
Yahoo!, Inc.⁽²⁾		239,475		3,791

				469,203

Telecommunication Services—2.4%
AT&T, Inc.		1,127,090		40,192
CenturyLink, Inc.		124,885		4,932
Crown Castle International Corp.⁽²⁾		49,610		2,910
Frontier Communications Corp.		230,420		883
MetroPCS Communications, Inc.⁽²⁾		67,160		406
Sprint Nextel Corp.⁽²⁾		600,110		1,956
Verizon Communications, Inc.		549,100		24,402
Windstream Corp.		125,340		1,211

				76,892

Utilities—16.3%
AES Corp. (The)⁽²⁾		751,770		9,645
AGL Resources, Inc.		135,920		5,267
Ameren Corp.		283,625		9,513
American Electric Power Co., Inc.		564,000		22,504
CenterPoint Energy, Inc.		502,380		10,384
CMS Energy Corp.		308,370		7,247
Consolidated Edison, Inc.		341,895		21,262
Dominion Resources, Inc.		662,495		35,775
DTE Energy Co.		199,300		11,824
Duke Energy Corp.		1,430,825		32,995
Edison International		379,355		17,526
Entergy Corp.		205,375		13,943
Exelon Corp.		988,124		37,173
FirstEnergy Corp.		484,805		23,848
Integrys Energy Group, Inc.		91,710		5,215
NextEra Energy, Inc.		483,475		33,268
NiSource, Inc.		334,500		8,279
Northeast Utilities		363,540		14,109

($ reported in thousands)


	SHARES		VALUE
Utilities—(continued)
NRG Energy, Inc.⁽²⁾		263,980	$	4,583
ONEOK, Inc.		240,940		10,194
Pepco Holdings, Inc.		268,435		5,253
PG&E Corp.		492,115		22,278
Pinnacle West Capital Corp.		129,770		6,714
PPL Corp.		674,905		18,769
Progress Energy, Inc.		345,450		20,786
Public Service Enterprise Group, Inc.		586,440		19,059
SCANA Corp.		134,860		6,452
Sempra Energy		279,625		19,261
Southern Co. (The)		1,007,005		46,624
TECO Energy, Inc.		254,355		4,594
Wisconsin Energy Corp.		267,150		10,571
XCEL Energy, Inc.		569,350		16,175

				531,090

TOTAL COMMON STOCKS (Identified Cost $3,037,416)				3,245,556

TOTAL LONG TERM INVESTMENTS—100.0% (Identified cost $3,037,416)				3,245,556

SHORT-TERM INVESTMENTS—0.4%
Money Market Mutual Funds—0.4%
BlackRock Liquidity Funds TempFund Portfolio -
Insitutional Shares (seven-day effective yield 0.150%)		13,959,122		13,959

TOTAL SHORT-TERM INVESTMENTS (Identified Cost $13,959)				13,959

TOTAL INVESTMENTS—100.4% (Identified Cost $3,051,375)				3,259,515	⁽¹⁾
Other assets and liabilities, net—(0.4)%				(11,947	)

NET ASSETS—100.0%			$	3,247,568

Abbreviations:

plc	Public Limited Co.

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at June 30, 2012, see Note 3

Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Non-income producing.

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2012 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

There are no Level 2 (significant observable inputs) or Level 3 (significant unobservable inputs) priced securities.


	SHARES		VALUE
COMMON STOCKS—97.1%
REAL ESTATE INVESTMENT TRUSTS—97.1%
DIVERSIFIED—4.5%
Digital Realty Trust, Inc.		274,803	$	20,630
Vornado Realty Trust		434,047		36,451

				57,081

HEALTH CARE—12.1%
HCP, Inc.		884,271		39,041
Health Care REIT, Inc.		769,449		44,859
Ventas, Inc.		1,120,381		70,718

				154,618

INDUSTRIAL/OFFICE—19.1%
Industrial—4.7%
DCT Industrial Trust, Inc.		2,392,600		15,074
Prologis, Inc.		1,357,425		45,107

				60,181

Mixed—1.2%
Duke Realty Corp.		1,023,391		14,982

Office—13.2%
Alexandria Real Estate Equities, Inc.		119,375		8,681
BioMed Realty Trust, Inc.		1,314,015		24,546
Boston Properties, Inc.		531,983		57,651
Kilroy Realty Corp.		1,037,857		50,243
SL Green Realty Corp.		349,891		28,075

				169,196

				244,359

LODGING/RESORTS—4.8%
Host Hotels & Resorts, Inc.		2,432,152		38,477
LaSalle Hotel Properties		782,511		22,802

				61,279

RESIDENTIAL—21.2%
Apartments—19.1%
Apartment Investment & Management Co. Class A		280,057		7,570
AvalonBay Communities, Inc.		423,356		59,896
BRE Properties, Inc.		350,003		17,507
Camden Property Trust		505,200		34,187
Campus Crest Communities, Inc.		174,966		1,818
Equity Residential		1,148,165		71,600


	SHARES		VALUE
REAL ESTATE INVESTMENT TRUSTS—(continued)
Essex Property Trust, Inc.		212,741	$	32,745
UDR, Inc.		768,505		19,858

				245,181

Manufactured Homes—2.1%
Equity Lifestyle Properties, Inc.		386,964		26,689

				271,870

RETAIL—24.9%
Regional Malls—19.4%
General Growth Properties, Inc.		1,760,475		31,847
Macerich Co. (The)		254,975		15,056
Simon Property Group, Inc.		996,706		155,147
Taubman Centers, Inc.		614,280		47,398

				249,448

Shopping Centers—5.5%
DDR Corp.		1,421,126		20,805
Kimco Realty Corp.		1,110,275		21,129
Regency Centers Corp.		122,483		5,826
Weingarten Realty Investors		855,300		22,529

				70,289

				319,737

SELF STORAGE—10.5%
CubeSmart		870,155		10,154
Extra Space Storage, Inc.		1,716,202		52,516
Public Storage		501,551		72,429

				135,099

TOTAL COMMON STOCKS (Identified Cost $713,180)				1,244,043

TOTAL LONG TERM INVESTMENTS—97.1% (Identified cost $713,180)				1,244,043

SHORT-TERM INVESTMENTS—2.6%
Money Market Mutual Funds—2.6%
BlackRock Liquidity Funds TempFund Portfolio - Institutional Shares(seven-day effective yield 0.150%)		33,024,954		33,025

TOTAL SHORT-TERM INVESTMENTS (Identified Cost $33,025)				33,025

($ reported in thousands)


TOTAL INVESTMENTS—99.7% (Identified Cost $746,205)		1,277,068	⁽¹⁾
Other assets and liabilities, net—0.3%		4,420

NET ASSETS—100.0%	$	1,281,488


Abbreviations:

REIT		Real Estate Investment Trust

Footnote Legend

⁽¹⁾	Federal Income Tax Information: For tax information at June 30, 2012, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2012 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

There are no Level 2 (significant observable inputs) or Level 3 (significant unobservable inputs) priced securities.


	PAR VALUE			VALUE
FOREIGN GOVERNMENT SECURITIES—0.3%
Bolivarian Republic of Venezuela RegS 5.750%, 2/26/16⁽⁴⁾	$	735		$	636
Republic of Argentina PIK Interest Capitalization 8.280%, 12/31/33		1,202			793

TOTAL FOREIGN GOVERNMENT SECURITIES (Identified Cost $1,509)					1,429

ASSET-BACKED SECURITIES—0.6%
Miramax LLC 11-1A, A, 144A 6.250%, 10/20/21⁽³⁾		843			874
New Century Home Equity Loan Trust 05-A, A4W 5.035%, 8/25/35		998			903
Terwin Mortgage Trust 04-15AL, A1 144A 5.813%, 7/25/34⁽²⁾⁽³⁾		658			582

TOTAL ASSET-BACKED SECURITIES (Identified Cost $2,342)					2,359

CORPORATE BONDS AND NOTES—7.5%
Consumer Discretionary—1.2%
American Axle & Manufacturing Holdings, Inc. 144A 9.250%, 1/15/17⁽³⁾		315			354
Boyd Gaming Corp. 9.125%, 12/1/18		150			155
Cengage Learning Acquisitions, Inc. 144A 10.500%, 1/15/15⁽³⁾		450			344
Cequel Communications Holdings I LLC / Cequel Capital Corp. 144A 8.625%, 11/15/17⁽³⁾		750			812
Gateway Casinos & Entertainment Ltd. 144A 8.875%, 11/15/17⁽³⁾		140	^CAD		147
HOA Restaurant Group LLC (HOA Finance Corp.) 144A 11.250%, 4/1/17⁽³⁾		1,040			968
inVentiv Health, Inc. 144A 10.000%, 8/15/18⁽³⁾		270			232
Isle of Capri Casinos, Inc. 7.000%, 3/1/14		600			602
Landry’s, Inc. 144A 9.375%, 5/1/20⁽³⁾		450			460
Nara Cable Funding Ltd. 144A 8.875%, 12/1/18⁽³⁾		525			454
Ono Finance II plc 144A 10.875%, 7/15/19⁽³⁾		315			246
Pittsburgh Glass Works LLC 144A 8.500%, 4/15/16⁽³⁾		225			208

					4,982

Consumer Staples—0.1%
Select Medical Holdings Corp. 6.494%, 9/15/15⁽²⁾		465			454

Energy—2.2%
Afren plc 144A 11.500%, 2/1/16⁽³⁾		760			815


	PAR VALUE		VALUE
Energy—(continued)
Calumet Specialty Products Partners LP (Calumet Finance Corp.) 9.375%, 5/1/19	$	933	$	940
Carrizo Oil & Gas, Inc. 8.625%, 10/15/18		450		473
Compagnie Generale de Geophysique-Veritas 7.750%, 5/15/17		546		566
Energy Partners Ltd. 8.250%, 2/15/18		1,250		1,234
EP Energy LLC / EP Energy Finance, Inc. 144A 6.875%, 5/1/19⁽³⁾		445		466
Expro Finance Luxembourg SCA 144A 8.500%, 12/15/16⁽³⁾		735		707
Hercules Offshore, Inc. 144A 7.125%, 4/1/17⁽³⁾		750		728
144A 10.500%, 10/15/17⁽³⁾		685		688
MIE Holdings Corp. 144A 9.750%, 5/12/16⁽³⁾		430		420
Petroleos de Venezuela SA RegS 8.500%, 11/2/17⁽⁴⁾		1,870		1,524
Petroplus Finance Ltd. 144A 6.750%, 5/1/14⁽³⁾⁽⁶⁾		1,350		169
Venoco, Inc. 8.875%, 2/15/19		875		801

				9,531

Financials—1.2%
Air Lease Corp. 144A 5.625%, 4/1/17⁽³⁾		1,100		1,089
Alta Mesa Holdings LP (Alta Mesa Finance Services Corp. ) 9.625%, 10/15/18		1,300		1,290
Ford Motor Credit Co. LLC 6.625%, 8/15/17		205		234
SLM Corp. 6.250%, 1/25/16		375		394
8.450%, 6/15/18		475		532
Spansion LLC 7.875%, 11/15/17		275		265
Springleaf Finance Corp. 5.850%, 6/1/13		500		482
United Rentals Financing Escrow Corp. 144A 5.750%, 7/15/18⁽³⁾		55		57
Yankee Candle Co. Holdings LLC / Yankee Finance, Inc. PIK Interest Capitalization 10.250%, 2/15/16		605		619

				4,962

Health Care—0.1%
Rotech Healthcare, Inc. 10.750%, 10/15/15		100		96
Select Medical Corp. 7.625%, 2/1/15		238		239

				335

Industrials—1.5%
ADS Tactical, Inc. 144A 11.000%, 4/1/18⁽³⁾		875		897


	PAR VALUE		VALUE
Industrials—(continued)
Aircastle Ltd. 6.750%, 4/15/17	$	2,120	$	2,152
Atlas Air Pass-Through-Trust 98-1, A 7.380%, 1/2/18		950		950
AWAS Aviation Capital Ltd. 144A 7.000%, 10/17/16⁽³⁾		1,164		1,211
Kratos Defense & Security Solutions, Inc. 10.000%, 6/1/17		575		622
Liberty Tire Recycling 144A 11.000%, 10/1/16⁽³⁾		165		152
Production Resource Group, Inc. 8.875%, 5/1/19		500		380
Verso Paper Holdings LLC / Verso Paper, Inc. 144A 11.750%, 1/15/19⁽³⁾		205		157

				6,521

Information Technology—0.1%
Sorenson Communications, Inc. 144A 10.500%, 2/1/15⁽³⁾		750		585

Materials—0.8%
Appleton Papers, Inc. 144A 10.500%, 6/15/15⁽³⁾		625		672
Catalyst Paper Corp. 7.375%, 3/1/14⁽⁵⁾⁽⁶⁾		300		7
FMG Resources Property Ltd. 144A 8.250%, 11/1/19⁽³⁾		750		799
Sappi Papier Holding GmbH 144A 7.750%, 7/15/17⁽³⁾		670		681
Severstal OAO (Steel Capital SA) 144A 6.250%, 7/26/16⁽³⁾⁽⁷⁾		890		893
Verso Paper Holdings LLC / Verso Paper, Inc. Series B, 11.375%, 8/1/16		251		119

				3,171

Telecommunication Services—0.3%
ITC DeltaCom, Inc. 10.500%, 4/1/16		700		749
Level 3 Financing, Inc. 4.506%, 2/15/15⁽²⁾		200		194
Nextel Communications, Inc. Series D, 7.375%, 8/1/15		300		302

				1,245

TOTAL CORPORATE BONDS AND NOTES (Identified Cost $33,596)				31,786

LOAN AGREEMENTS⁽²⁾—92.8%
Consumer Discretionary—27.3%
99 Cents Only Stores Tranche B-1, 5.250%, 1/11/19		995		998
Academy Sports and Outdoors 6.000%, 8/3/18		1,592		1,602


	PAR VALUE		VALUE
Consumer Discretionary—(continued)
Acosta, Inc. Tranche B, 4.750%, 3/1/18	$	1,957	$	1,958
Advantage Sales & Marketing, Inc. First Lien, 5.250%, 12/18/17		254		253
Second Lien, 9.250%, 6/18/18		615		614
Affinity Gaming 5.500%, 11/9/17		1,060		1,068
Ameristar Casinos, Inc. Tranche B, 4.000%, 4/16/18		985		987
AMF Bowling Worldwide, Inc. Tranche B, 3.245%, 6/7/13		545		508
August Holding Co., Inc. (Schrader) First Lien, US 6.250%, 4/27/18		435		436
First Lien, LUX 6.250%, 4/27/18		565		567
Avis Budget Group, Inc. Tranche B, 6.250%, 9/22/18		266		266
Boyd Gaming Corp. 3.718%, 12/17/15		2,313		2,295
Bresnan Broadband Holdings LLC Tranche B, 4.500%, 12/14/17		985		981
Burger King Holdings, Inc. Tranche B, 4.500%, 10/19/16		1,259		1,256
Caesars Entertainment Operating Co., Inc. (Harrah’s Operating Company, Inc.) Tranche B-2, 3.245%, 1/28/15		1,000		935
Tranche B-4, 9.500%, 10/31/16		1,560		1,586
Tranche B, 9.250%, 4/25/17		900		887
Tranche B-6, 9.500%, 1/28/18		1,520		1,358
CCM Merger, Inc. 6.000%, 3/1/17		963		955
Cedar Fair LP Tranche 1, 4.000%, 12/15/17		870		869
Cengage Learning Acquisitions, Inc. 2.500%, 7/3/14		881		820
Cequel Communications LLC 4.000%, 2/14/19		1,796		1,762
Charter Communications Operating LLC Tranche D, 4.000%, 5/15/19		2,095		2,086
Chrysler Group LLC / Chrysler Group Co-Issuer, Inc. Tranche B, 6.000%, 5/24/17		2,968		2,993
Clear Channel Communications, Inc. Tranche A, 3.645%, 7/30/14		1,063		973
Tranche B, 3.895%, 1/29/16		4,098		3,284
Cumulus Media Holdings, Inc. First Lien, 5.750%, 9/17/18		1,989		1,987
Second Lien, 7.500%, 3/18/19		1,000		1,011
Dave & Buster’s, Inc. 5.500%, 6/1/16		1,413		1,412
Delphi Automotive LLP Tranche B, 3.500%, 3/31/17		407		407


	PAR VALUE			VALUE
Consumer Discretionary—(continued)
DineEquity, Inc. Tranche B-1, 4.250%, 10/19/17	$	679		$	677
EMI Group North America Holdings, Inc. 0.000%, 2/15/18		1,630			1,642
Emmis Operating Co. Tranche B, 4.402%, 11/1/13		489			479
Entercom Radio LLC Tranche B, 6.250%, 11/23/18		2,288			2,297
Focus Brands, Inc. First Lien, 6.583%, 2/21/18		1,377			1,383
Fram Group Holdings, Inc./Prestone Holdings, Inc.
First Lien, 6.500%, 7/29/17		1,489			1,438
Second Lien, 10.500%, 1/29/18		500			438
Gateway Casinos & Entertainment Ltd. Tranche B, 6.750%, 5/12/16		920	^CAD		898
General Nutrition Center Tranche B, 4.250%, 3/2/18		750			749
Getty Images, Inc. Tranche B-1, 3.995%, 11/5/15		951			953
5.625%, 11/7/16		1,166			1,170
Granite Broadcasting Corp. Tranche B 8.500%, 5/23/18		1,196			1,184
Guitar Center, Inc. Extended, 5.720%, 4/9/17		525			493
Gymboree Corp. 5.000%, 2/23/18		1,137			1,079
Harbor Freight Tools 5.500%, 11/14/17		1,500			1,497
HD Supply, Inc. Tranche B, 0.000%, 10/12/17		2,310			2,331
HHI Holdings LLC 7.375%, 3/21/17		1,481			1,489
Hubbard Radio LLC
First Lien, 5.250%, 4/28/17		926			926
Second Lien, 8.750%, 4/30/18		600			602
Intelsat Jackson Holding S.A. (Intelsat Jackson Holding Ltd.) 3.241%, 2/1/14		1,000			979
Tranche B, 5.250%, 4/2/18		1,980			1,982
Isle of Capri Casinos 4.750%, 11/1/13		1,481			1,485
J.Crew Group, Inc. 4.250%, 3/7/18		990			980
Jo-Ann Stores, Inc. 4.750%, 3/16/18		969			959
Kalispel Tribal Economic Authority 7.500%, 2/25/17		941			924
KAR Auction Services, Inc. 5.000%, 5/19/17		990			996
Lamar Media Corp. Tranche B, 4.000%, 12/30/16		830			831
Landry’s Restaurant, Inc. Tranche B, 6.500%, 4/24/18		2,768			2,779
Las Vegas Sands LLC
Non-Extended Tranche B, 1.750%, 5/23/14		315			313
Tranche DD-I, 1.750%, 5/23/14		65			64


	PAR VALUE		VALUE
Consumer Discretionary—(continued)
Extended Tranche B, 2.750%, 11/23/16	$	1,054	$	1,025
Extended Tranche DD-I, 2.750%, 11/23/16		212		207
Leslie’s Poolmart, Inc. Tranche B, 4.500%, 11/21/16		1,010		997
Live Nation Entertainment, Inc. Tranche B, 4.500%, 11/7/16		489		487
MCC LLC (Mediacom Broadband Group) Tranche F, 4.500%, 10/23/17		980		974
Metaldyne LLC 5.250%, 5/18/17		1,035		1,029
MGM Resorts International (MGM Mirage) Extended Tranche E, 5.000%, 2/23/15		2,225		2,247
Michaels Stores, Inc. Tranche B-2, 5.000%, 7/31/16		1,317		1,319
Midcontinent Communications Tranche B, 4.625%, 12/31/16		1,134		1,126
Neiman Marcus Group, Inc. 4.750%, 5/16/18		3,000		2,972
Nielsen Finance LLC Tranche A, 2.241%, 8/9/13		93		93
Tranche B, 3.991%, 5/2/16		1,576		1,575
Oberthur Technologies, Inc. Tranche B-3, 6.250%, 11/30/18		1,100		1,075
OSI Restaurant Partners, LLC
Tranche RC, 0.061%, 6/14/13		138		136
2.563%, 6/14/14		1,392		1,374
Ozburn-Hessey Holding Co., LLC First Lien, 8.375%, 4/8/16		784		731
Pelican Products, Inc. 0.000%, 3/7/17		886		882
Penn National Gaming, Inc. Tranche B, 0.000%, 7/16/18		1,500		1,503
PetCo Animal Supplies, Inc. 4.500%, 11/24/17		1,470		1,462
PF Changs China Bistro, Inc. 0.000%, 5/15/19		2,000		2,007
Pilot Travel Centers LLC Tranche B, 4.250%, 3/30/18		695		698
Playboy Enterprises, Inc. 8.250%, 3/6/17		458		451
Radio One, Inc. 0.000%, 3/31/16		601		594
Remy International, Inc. Tranche B, 6.250%, 12/16/16		481		482
San Juan Cable LLC Tranche B (Firs Lien), 6.000%, 6/9/17		990		987
Savers, Inc. 5.250%, 3/4/17		927		928
Sports Authority, Inc. (The) Tranche B, 7.500%, 11/16/17		1,084		1,046
SRAM LLC


	PAR VALUE		VALUE
Consumer Discretionary—(continued)
First Lien, 4.750%, 6/7/18	$	397	$	391
Second Lien, 8.500%, 12/7/18		571		575
Stackpole Powertrain International ULC 7.500%, 8/2/17		993		996
TI Group Automotive Systems LLC 6.750%, 3/14/18		2,065		2,023
Toys “R” Us, Inc. 6.000%, 9/1/16		1,842		1,739
Transtar Industries, Inc.
5.000%, 12/21/16		1,921		1,906
Second Lien, 10.250%, 12/21/17		450		452
U.S. Security Associates Holdings, Inc.
Tranche B, 6.000%, 7/28/17		831		833
Tranche DD, 6.000%, 7/28/17		163		163
UCI International, Inc. 5.500%, 7/26/17		1,256		1,254
Visant Corp. (Jostens) Tranche B, 5.250%, 12/22/16		2,698		2,625
Vision Solutions, Inc. First Lien, 6.000%, 7/23/16		769		765
VWR Funding, Inc. 0.000%, 4/3/17		1,225		1,211
Wendy’s International, Inc.
Tranche DD, 0.500%, 5/15/19		755		751
4.750%, 5/15/19		945		941

				116,163

Consumer Staples—5.4%
American Rock Salt Co. LLC 5.500%, 4/25/17		1,217		1,162
Amscan Holdings, Inc. 6.750%, 12/2/17		983		983
BJ’s Wholesale Club, Inc. First Lien, 5.250%, 9/28/18		1,672		1,680
Dean Foods Co. Tranche B, 3.250%, 4/2/16		1,571		1,550
Del Monte Foods Co. 4.500%, 3/8/18		2,258		2,230
Dole Food Co. Tranche B-2, 5.167%, 7/8/18		693		694
JBS USA Holdings, Inc. 4.750%, 5/25/18		990		963
Revlon Consumer Products Corp. Tranche B, 4.750%, 11/19/17		1,883		1,878
Reynolds Group Holdings, Inc. Tranche B, 6.500%, 2/9/18		3,712		3,738
Rite Aid Corp. Tranche 5, 4.500%, 3/3/18		1,922		1,890
Solvest Ltd. (Dole) Tranche C-2, 5.111%, 7/8/18		1,240		1,242
Spectrum Brands Holdings, Inc. 5.417%, 6/17/16		1,301		1,308
U.S. Food Service, Inc. 5.750%, 3/31/17		495		476
U.S. Foodservice, Inc. (U.S. Foods, Inc.) Non-
Extended, 3.000%, 7/3/14		1,477		1,433


	PAR VALUE		VALUE
Consumer Staples—(continued)
Yankee Candle Co., Inc. 5.250%, 4/2/19	$	1,995	$	1,994

				23,221

Energy—3.1%
Buffalo Gulf Coast Terminals LLC 7.500%, 10/31/17		662		663
Chesapeake Energy Corp. 8.500%, 12/2/17		2,250		2,234
CITGO Petroleum Corp. Tranche C, 9.000%, 6/24/17		231		233
Energy Transfer Equity LP 3.750%, 3/23/17		2,000		1,966
EP Energy LLC 6.500%, 5/24/18		850		861
Frac Tech Services LLC 6.250%, 5/6/16		2,267		2,077
Gibson Energy Tranche B, 4.750%, 6/15/18		2,886		2,888
Helix Energy Solutions Group, Inc. Extended, 3.744%, 7/1/16		1,008		1,002
NGPL PipeCo LLC 6.750%, 9/15/17		1,176		1,156

				13,080

Financials—7.3%
Asurion LLC Second Lien, 9.000%, 5/24/19		1,250		1,278
Asurion LLC (Asurion Corp.) First Lien, 5.500%, 5/24/18		1,179		1,175
Atlantic Broadband First Lien, 5.250%, 4/4/19		2,100		2,109
Capital Automotive LP Tranche B, 5.250%, 3/11/17		2,184		2,165
CB Richard Ellis Services, Inc. Tranche D, 3.741%, 9/4/19		990		981
CNO Financial Group, Inc. Tranche B-1, 6.250%, 9/30/16		895		897
Delos Aircraft, Inc. 4.750%, 4/12/16		728		731
First American Payment Systems LP 6.750%, 11/1/16		1,066		1,071
Fortress Invest Group LLC (FIG LLC) 5.750%, 10/7/15		105		104
iPayment, Inc . 5.750%, 5/8/17		470		472
iStar Financial, Inc.
Tranche A-1, 5.000%, 6/28/13		649		649
Tranche A-2, 7.000%, 6/30/14		846		846
Tranche A-2, 7.000%, 3/19/17		500		500
Lonestar Intermediate Super Holdings LLC 11.000%, 9/2/19		300		312
MIP Delaware, LLC (MIPL (LUX) S.A.R.L) 5.500%, 7/12/18		731		733


	PAR VALUE		VALUE
Financials—(continued)
MoneyGram International, Inc. 4.250%, 11/17/17	$	1,914	$	1,887
Nuveen Investments, Inc.
First Lien Additional Extended , 5.963%, 5/13/17		1,380		1,366
First Lien Extended, 5.966%, 5/13/17		1,045		1,031
Second Lien, 8.250%, 2/28/19		792		797
Ocwen Financial Corp. 7.000%, 9/1/16		823		829
Pinnacle Foods Finance LLC
Extended, 3.853%, 10/2/16		1,066		1,058
Tranche E, 4.750%, 10/17/18		213		212
Re/Max International, Inc. 5.500%, 4/16/16		882		879
Realogy Corp.
Extended, 2.248%, 10/10/16		233		221
First Lien, 4.491%, 10/10/16		2,479		2,349
RPI Finance Trust 4.000%, 11/9/18		1,347		1,338
Springleaf Financial Funding Co. (American General Finance Corp.) 5.500%, 5/10/17		950		897
Tomkins, LLC (Pinafore LLC) Tranche B-1, 4.250%, 9/29/16		279		279
TransUnion LLC 5.500%, 2/10/18		1,536		1,538
UPC Financing Partnership 4.750%, 12/31/17		1,600		1,594
Walter Investment Management Corp. First Lien, 7.750%, 6/30/16		739		745

				31,043

Health Care—13.6%
Alere, Inc.
Tranche B, 4.750%, 6/30/17		993		983
Tranche B-1, 4.750%, 6/30/17		995		986
Alkermes, Inc. First Lien, 6.750%, 9/16/17		1,493		1,502
AMN Healthcare, Inc. Tranche B, 6.000%, 4/5/18		1,428		1,438
Aptalis Pharma, Inc. (Axcan Intermediate Holdings, Inc.) Tranche B-1, 5.500%, 2/10/17		1,029		1,000
Ardent Health Services LLC 6.500%, 9/15/15		1,853		1,848
Bausch & Lomb, Inc. 5.250%, 5/17/19		2,000		1,992
Biomet, Inc. Tranche B, 3.319%, 3/25/15		972		963
Capsugel Holdings, Inc. 5.250%, 8/1/18		844		849
Catalent Pharma Solutions, Inc. (Cardinal Health 409, Inc.)
Tranche 1, 4.245%, 9/15/16		974		969
Tranche 2, 5.250%, 9/15/17		266		264
Community Health Systems, Inc. Extended, 3.964%, 1/25/17		3,275		3,231


	PAR VALUE		VALUE
Health Care—(continued)
ConvaTec Ltd. 5.750%, 12/22/16	$	1,454	$	1,459
CRC Health Corp. Tranche B-2, 4.961%, 11/16/15		1,457		1,350
Drumm Investors LLC (Golden Living) 5.000%, 5/4/18		1,732		1,641
Emdeon, Inc. Tranche B-1, 5.000%, 11/2/18		746		747
Generic Drug Holdings, Inc. 6.500%, 4/8/16		750		746
Tranche DD, 6.500%, 4/8/16		103		103
Grifols, Inc. Tranche B, 4.500%, 6/1/17		989		982
HCA, Inc. Tranche B-3, 3.495%, 5/1/18		2,326		2,261
HCR ManoCare, Inc. (HCR Healthcare LLC) 5.000%, 4/6/18		823		803
Health Management Associates, Inc. Tranche B, 4.500%, 11/16/18		2,570		2,555
Houghton International, Inc. Tranche B-1, 6.750%, 1/29/16		1,082		1,090
Iasis Healthcare LLC Tranche B, 5.000%, 5/3/18		1,975		1,943
InVentiv Health, Inc. (Ventive Health, Inc) 6.500%, 8/4/16		1,257		1,179
Kindred Healthcare, Inc. 5.250%, 6/1/18		1,238		1,179
Kinetic Concepts, Inc. Tranche B-1, 7.000%, 5/4/18		2,042		2,063
MultiPlan, Inc. Tranche B, 4.750%, 8/26/17		870		861
National Mentor Holdings, Inc. Tranche B, 7.000%, 2/9/17		988		970
National Specialty Hospitals, Inc.
Tranche DD, 0.750%, 2/3/17		223		217
8.250%, 2/3/17		1,261		1,230
NBTY, Inc. Tranche B-1, 4.250%, 10/2/17		831		831
Onex Carestream Finance LP (Carestream Health, Inc.) 0.000%, 2/25/17		1,239		1,187
Pharmaceutical Product Development, Inc. 6.250%, 12/5/18		1,990		2,004
Quintiles Transnational Corp. Tranche B, 5.000%, 6/8/18		1,485		1,473
Rural/Metro Operating Co., LLC First Lien, 5.750%, 6/30/18		825		812
Select Medical Holdings Tranche B, 5.500%, 6/1/18		988		972
Sheridan Holdings, Inc. Tranche B, 0.000%, 6/13/18		1,325		1,325
Smile Brands, Inc. Tranche B, 7.250%, 12/21/17		739		737


	PAR VALUE		VALUE
Health Care—(continued)
Station GVR Acquisition LLC (Green Valley Ranch Gaming LLC) First Lien 6.250%, 6/17/16	$	906	$	906
Surgery Center Holdings, Inc. 6.500%, 2/6/17		1,231		1,225
Surgical Care Affiliates LLC Tranche A, 5.500%, 6/29/18		1,485		1,458
United Surgical Partners International, Inc.
Tranche B, 6.000%, 4/3/19		998		985
Universal Health Services, Inc. Tranche B, 3.750%, 11/15/16		1,642		1,623
Valeant Pharmaceuticals International, Inc.
0.000%, 2/13/19		399		393
0.000%, 2/13/19		133		131
Vanguard Health Holding Co., LLC (Vanguard Health System, Inc.) 5.000%, 1/29/16		1,444		1,442
Warner Chilcott Corp. (WC Luxco S.A.R.L.)
Tranche B-2, 4.250%, 3/15/18		226		225
Tranche B-3, 4.250%, 3/15/18		310		309
Tranche B-1, 4.250%, 3/15/18		451		450

				57,892

Industrials—7.1%
Altegrity, Inc. (U.S. Investigations Services, Inc.) 2.994%, 2/21/15		1,138		1,083
Aveta, Inc.
(MMM Holdings, Inc.) 8.500%, 4/4/17		540		538
(NAMM Holdings, Inc.) 8.500%, 4/4/17		540		538
AWAS Finance Luxemborg SA 0.000%, 6/30/18		458		457
Brickman Group Holdings, Inc. Tranche B-1,
5.500%, 10/14/16		1,587		1,591
Brock Holdings Ill, Inc.
First Lien, 6.000%, 3/16/17		848		847
Second Lien, 10.000%, 3/16/18		450		445
Ceridian Corp. 3.195%, 11/9/14		2,004		1,944
CHG Companies, Inc. First Lien, 5.250%, 10/7/16		1,197		1,189
Delta Air Lines 5.500%, 4/20/17		990		990
Douglas Dynamics LLC 5.750%, 4/18/18		908		893
Ducommun, Inc. 5.500%, 6/28/17		577		577
Emergency Medical Services 5.250%, 5/25/18		881		874
Goodman Global, Inc. Second Lien, 9.000%, 10/30/17		345		350
Harland Clarke Holdings Corp. Tranche B 2.788%, 6/30/14		2,153		1,935


	PAR VALUE		VALUE
Industrials—(continued)
Husky Injection Molding System (Yukon Acquisition, Inc.) 0.000%, 6/29/18	$	1,433	$	1,443
Intelligrated, Inc. First Lien, 7.500%, 2/17/17		882		882
Protection One, Inc. 5.750%, 3/21/19		1,707		1,705
ServiceMaster Co. (The)
Tranche DD, 2.750%, 7/24/14		169		168
2.817%, 7/24/14		1,700		1,683
SI Organization, Inc. Tranche B, 4.500%, 11/22/16		985		970
Star West Generation LLC Tranche B, 6.000%, 5/17/18		1,058		1,025
Swift Transportation Corp. Tranche B-2, 5.000%, 12/21/17		1,108		1,114
TASC, Inc. Tranche B, 4.500%, 12/18/15		494		486
Terex Corp. 5.500%, 4/28/17		1,588		1,595
TransDigm, Inc. Tranche B-1, 4.000%, 2/14/17		749		749
Vertrue LLC (V2V Holdings LLC) First Lien, 9.250%, 8/16/14⁽⁶⁾		918		289
Waste Industries USA, Inc. Tranche B, 4.750%, 3/17/17		981		980
WCA Waste Corp. (WCA Waste Systems, Inc.) 5.500%, 3/23/18		949		949
WireCo Worldgroup, Inc. 0.000%, 6/1/17		450		451
Zuffa LLC
First Lien, 0.000%, 6/8/15		450		450
7.500%, 6/19/15		1,009		1,009

				30,199

Information Technology—14.2%
Applied Systems, Inc.
First Lien, 5.500%, 12/8/16		950		945
Second Lien, 9.250%, 6/8/17		334		334
Autotrader.com, Inc. Tranche B-1, 4.000%, 12/15/16		1,182		1,182
Avaya, Inc. Tranche B-1, 3.217%, 10/24/14		2,011		1,902
AVG Technologies N.V. 7.688%, 3/15/16		1,006		981
Ax Acquisition Corp. 5.750%, 5/9/18		885		859
Blue Coat Systems, Inc. First Lien, 7.500%, 2/15/18		1,205		1,204
CCC Information Services 5.500%, 11/11/15		644		644
CDW LLC
Non-Extended, 3.741%, 10/10/14		1,596		1,590
Extended, 4.000%, 7/15/17		941		922
Commscope, Inc. Tranche 1, 4.250%, 1/14/18		1,511		1,504


	PAR VALUE		VALUE
Information Technology—(continued)
CPI International Acquisition, Inc. (Catalyst Holdings, Inc.) Tranche B, 5.000%, 2/13/17	$	1,231	$	1,231
DynCorp International LLC 6.500%, 7/7/16		939		939
Edwards (Cayman Islands II) Ltd. First Lien, 5.500%, 5/31/16		860		856
Epicor Software Corp. (Eagle Parent Inc.) Tranche B, 5.000%, 5/16/18		2,970		2,936
First Data Corp.
Tranche B-3 2.995%, 9/24/14		1,864		1,800
5.245%, 3/24/17		1,116		1,067
4.245%, 3/23/18		2,500		2,300
Freescale Semiconductor, Inc.
Tranche B-1, 4.489%, 12/1/16		2,330		2,212
Tranche B-2, 6.000%, 2/28/19		409		404
Go Daddy Operating Company LLC Tranche B-1, 5.500%, 12/17/18		997		986
ILC Industries LLC (Data Device Corp.) 7.250%, 12/23/16		569		564
Interactive Data Corp. Tranche B, 4.500%, 2/11/18		2,386		2,351
Ipreo Holdings LLC 8.000%, 8/5/17		993		990
Lawson Software Tranche B, 6.250%, 4/5/18		4,100		4,128
MedAssets, Inc. 5.250%, 11/16/16		867		871
Microsemi Corp. Tranche B, 4.000%, 2/2/18		985		979
Mirion Technologies, Inc. 6.250%, 3/30/18		1,247		1,247
Mood Media Corp. First Lien 7.000%, 5/6/18		1,768		1,751
NDS Finance Ltd. Tranche B, 3.750%, 3/12/18		1,210		1,208
Novell, Inc. (Attachmate Corp.) First Lien, 7.250%, 11/22/17		2,050		2,032
NuSil Technology LLC 5.250%, 4/7/17		633		632
NXP BV/ NXP Funding LLC Tranche A-2 5.500%, 3/3/17		1,596		1,603
RedPrairie Corp. 6.000%, 3/24/16		1,173		1,168
Scitor Corp. 5.000%, 2/15/17		901		886
Sensata Technologies BV 4.000%, 5/12/18		1,485		1,479
Smart Modular Technologies (Global), Inc. 8.250%, 8/26/17		496		402
Sophia LP (DataTel, Inc.) 6.250%, 7/19/18		1,197		1,206
Sorenson Communications, Inc. Tranche C, 6.000%, 8/16/13		426		411
Sourcehov LLC (Corpsource Finance Holdings LLC) Tranche B (First Lien), 6.625%, 4/28/17		1,238		1,172
Spansion LLC 4.750%, 2/9/15		667		669
SRA International, Inc. 6.500%, 7/20/18		1,260		1,224


	PAR VALUE		VALUE
Information Technology—(continued)
SSI Investments II Ltd. (Skillsoft) 0.000%, 5/26/17	$	919	$	928
Sungard Data Systems, Inc. Tranche A, 1.993%, 2/28/14		16		16
SymphonyIRI Group, Inc. (Information Resources, Inc.) Tranche 2011, 5.000%, 12/1/17		495		492
Vantiv LLC (Fifth Third Processing Solutions LLC)
Tranche B, 3.750%, 3/27/19		713		713
Verifone Systems, Inc. Tranche B, 4.250%, 12/28/18		995		991
Vertafore, Inc. First Lien, 5.250%, 7/29/16		1,478		1,473
Wall Street Systems, Inc.
First Lien, 9.000%, 6/20/17		380		379
Second Lien, 5.500%, 6/20/18		330		329
Zayo Group LLC 0.000%, 6/30/19		1,240		1,246

				60,338

Materials—7.7%
Anchor Glass Container Corp.
First Lien, 6.000%, 3/2/16		478		480
Second Lien, 10.000%, 9/2/16		715		715
Armstrong World Industries, Inc. Tranche B-1, 4.000%, 3/10/18		1,237		1,231
Ashland, Inc. 3.750%, 8/23/18		992		995
Avantor Performance Materials, Inc. 5.000%, 6/24/17		637		633
AZ Chem US, Inc. 7.250%, 12/22/17		874		882
Berry Plastics Group, Inc. Tranche C, 2.245%, 4/3/15		2,699		2,610
Chemtura Corp. 5.500%, 8/29/16		500		502
CPG International, Inc. 6.000%, 2/18/17		985		950
General Chemical Corp. Tranche B, 5.375%, 10/6/15		1,430		1,424
Harko C.V.(OM Group, Inc.) Tranche B, 5.750%, 8/2/17		1,181		1,181
Huntsman International LLC Extended Tranche B, 0.000%, 4/19/17		1,299		1,277
Ineos Group Holdings Ltd. 6.500%, 5/4/18		2,496		2,449
JMC Steel Group 4.750%, 4/1/17		833		826
Momentive Performance Materials (Blitz 06-103 GmBH) Tranche B-1B, 3.750%, 5/5/15		870		846
Momentive Specialty Chemicals Inc. (Hexion Specialty Chemicals, Inc.)
Tranche C-1B, 4.000%, 5/5/15		2,118		2,050


	PAR VALUE		VALUE
Materials—(continued)
Tranche C-2B, 4.250%, 5/5/15	$	912	$	883
New Sunward Holding BV Tranche B, 4.742%, 2/14/14		540		502
NewPage Corp. 8.000%, 3/8/13		1,150		1,165
Noranda Aluminum Acquisition Corp. Tranche B, 5.750%, 2/28/19		1,297		1,307
Norit Holding B.V. 6.750%, 7/10/17		854		858
Nortek, Inc. 5.250%, 4/26/17		1,481		1,482
Novelis, Inc. Tranche B, 4.000%, 3/10/17		566		556
Omnova Solutions, Inc. Extended, 5.750%, 5/31/17		985		989
PQ Corp. First Lien, 3.995%, 7/30/14		2,042		1,981
Pro Mach, Inc. 6.250%, 7/6/17		978		973
Solutia, Inc. Tranche 1, 3.500%, 8/1/17		488		487
Trinseo Materials Operating S.C.A. (Styron
S.A.R.L) 6.375%, 8/2/17		568		534
Univar, Inc. Tranche B, 5.000%, 6/30/17		1,378		1,355
Waupaca Foundry, Inc. 0.000%, 6/5/17		571		570

				32,693

Telecommunication Services—5.2%
Hawaiian Telcom Communications, Inc. 7.000%, 2/28/17		1,000		998
Knology, Inc. Tranche B, 4.000%, 8/18/17		1,468		1,466
Level 3 Financing, Inc.
Tranche A, 2.605%, 3/13/14		2,450		2,414
Tranche A, 0.000%, 9/3/18		875		877
MetroPCS Wireless, Inc. Tranche B-3, 4.000%, 3/19/18		1,795		1,760
nTelos, Inc. Tranche B, 4.000%, 8/7/15		895		889
Presidio, Inc. 7.250%, 3/31/17		1,314		1,327
Securus Technologies Holdings, Inc. (Securus Technologies, Inc.) First Lien, 0.000%, 5/31/17		1,188		1,182
Sidera Networks, Inc. (RCN Corp.) 6.000%, 8/26/16		1,133		1,109
Syniverse Holdings, Inc. 5.000%, 4/23/19		1,500		1,493
Telesat Canada, Inc. Tranche B, 4.250%, 3/28/19		1,800		1,786
tw Telecom Holdings, Inc. Tranche B-2, 3.500%, 12/30/16		452		452
U.S. TelePacific Corp. 5.750%, 2/23/17		1,607		1,494
Univision Communications, Inc. First Lien, 4.495%, 3/31/17		3,116		2,956


	PAR VALUE		VALUE
Telecommunication Services—(continued)
West Corp. Tranche B-4, 4.569%, 7/15/16	$	1,969	$	1,964

				22,167

Utilities—1.9%
AES Corp. 4.250%, 6/1/18		1,975		1,978
New Development Holdings LLC (Calpine Corp.) 4.500%, 4/1/18		1,975		1,965
NRG Energy, Inc. 4.000%, 7/1/18		2,881		2,867
Texas Compeptitive Electric Holdings Co. LLC
Extended, 4.741%, 10/10/17		1,945		1,168

				7,978

TOTAL LOAN AGREEMENTS (Identified Cost $396,287)				394,774

TOTAL LONG TERM INVESTMENTS—101.2% (Identified cost $433,734)				430,348


	SHARES		VALUE
SHORT-TERM INVESTMENTS—4.1%

Money Market Mutual Funds—4.1%
BlackRock Liquidity Funds TempFund Portfolio - Insitutional Shares (seven-day effective yield 0.150%)		17,454,257		17,454
TOTAL SHORT-TERM INVESTMENTS (Identified Cost $17,454)				17,454
TOTAL INVESTMENTS—105.3% (Identified Cost $451,188)				447,802	⁽¹⁾
Other assets and liabilities, net—(5.3)%				(22,383	)

NET ASSETS—100.0%			$	425,419

Abbreviations:


ADS		American Depositary Share
GmbH		Limited liability company.
PIK		Payment-in-Kind Security
plc		Public Limited Co.
S.C.A.		Société en commandite par actions. Luxembourg partnership limited by shares.

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at June 30, 2012, see Note 2

Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Variable or step coupon security; interest rate shown reflects the rate in effect at June 30, 2012.

⁽³⁾	Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2012, these securities amounted to a value of $16,867 or 4.0% of net assets.

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2012 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

The following is a reconciliation of assets of the Fund for Level 3 investments for which significant unobservable inputs were used to determine fair value.

The following is a summary of significant accounting policies consistently followed by the Virtus Opportunities Trust, a trust consisting of 18 diversified Funds and 4 non-diversified Funds (each a “Fund”), in the preparation of the Schedules of Investments. The preparation of the Schedules of Investments in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, and disclosure of contingent assets and liabilities at the date of the Schedules of Investments. Actual results could differ from those estimates and those differences could be significant.

Security valuation procedures for the Funds, which include, nightly price variance, as well as back-testing such as bi-weekly unchanged price, monthly secondary source and transaction analysis, have been approved by the Board of Trustees (the “Board” or “Trustees”). All internally fair valued securities are approved by a Valuation Committee (the “Valuation Committee”) appointed by the Board. The valuation committee is comprised of the treasurer, assistant treasurer, secretary and chief compliance officer for the Trust. All internally fair valued securities referred to below are updated daily and reviewed in detail by the valuation committee monthly unless changes occur within the period. The Valuation Committee reviews the validity of any model inputs and any changes to the model when applicable. Internal fair valuations are reviewed by the Board at least quarterly.

The Funds utilize a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels.

A description of the valuation techniques applied to the Funds major categories of assets and liabilities measured at fair value on a recurring basis is as follows:

Equity securities are valued at the official closing price (typically last sale) on the exchange on which the securities are primarily traded, or if no closing price is available, at the last bid price and are categorized as Level 1 in the hierarchy. Restricted equity securities and private placements that are not widely traded, are illiquid or are internally fair valued by the valuation committee are generally categorized as Level 3 in the hierarchy.

Certain non - U.S. securities may be fair valued in cases where closing prices are not readily available or are deemed not reflective of readily available market prices. For example, significant events (such as movement in the U.S. securities market, or other regional and local developments) may occur between the time that non - U.S. markets close (where the security is principally traded) and the time that the Fund calculates its net asset value (generally, the close of the New York Stock Exchange “NYSE”) that may impact the value of securities traded in these non - U.S. markets. In such cases the Fund fair values non - U.S. securities using an independent pricing service which considers the correlation of the trading patterns of the non - U.S. security to the intraday trading in the U.S. markets for investments such as American Depositary Receipts, Financial Futures, Exchange Traded Funds, and certain indexes as well as prices for similar securities. Such fair valuations are categorized as Level 2 in the hierarchy. Because the frequency of significant events is not predictable, fair valuation of certain non - U.S. common stocks may occur on a frequent basis.

Other information regarding each Fund is available in the Fund’s most recent Report to Shareholders.

Debt securities, including restricted securities, are valued based on evaluated quotations received from independent pricing services or from dealers who make markets in such securities. For most bond types, the pricing service utilizes matrix pricing which considers one or more of the following factors: yield or price of bonds of comparable quality, coupon, maturity, current cash flows, type, and current day trade information, as well as dealer supplied prices. These valuations are generally categorized as Level 2 in the hierarchy. Structured debt instruments such as Mortgage-Backed and Asset-Backed Securities, may also incorporate collateral analysis and utilize cash flow models for valuation and are generally categorized as Level 2 in the hierarchy. Pricing services do not provide pricing for all securities and therefore indicative bids from dealers are utilized which are based on pricing models used by market makers in the security and are generally categorized as Level 2 in the hierarchy. Debt securities that are not widely traded, are illiquid, or are internally fair valued by the valuation committee are generally categorized as Level 3 in the hierarchy.

Listed derivatives that are actively traded are valued based on quoted prices from the exchange and are categorized as Level 1 in the hierarchy. Over the counter (OTC) derivative contracts, which include forward currency contracts and equity linked instruments, do not require material subjectivity as pricing inputs are observed from actively quoted markets and are categorized as Level 2 in the hierarchy.

Investments in open-end mutual funds are valued at their closing net asset value determined as of the close of regular trading on the NYSE (generally 4:00 p.m. Eastern time) each business day and are categorized as Level 1 in the hierarchy.

A summary of the inputs used to value the Funds’ net assets by each major security type is disclosed at the end of the Schedule of Investments for each Fund. The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. For example, money market securities may be valued using amortized cost, in accordance with the 1940 Act. Generally, amortized cost reflects the current fair value of a security, but since the value is not obtained from a quoted price in an active market, such securities valuation are reflected as Level 2.

The Funds own the following internally fair valued securities and which are categorized as Level 3 in the hierarchy:

The significant unobservable inputs used in the fair value measurement of these corporate bonds are based on comparable liquid assets adjusted for accretion rate, current yield, current swap rates, and discount rates related to differences in capital structure and liquidity. Significant increases (decreases) in any of these inputs in isolation would result in a significantly lower (higher) fair value measurement.

Generally, a change in the observable market assumptions would have direct impacts to the discount rates used related to capital structure and/or liquidity discounts.

Other information regarding each Fund is available in the Fund’s most recent Report to Shareholders.

A summary of the inputs used to value the Funds’ major categories of assets and liabilities, which primarily include investments of the Fund, by each major security type is disclosed at the end of the Schedule of Investments for each Fund. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

Disclosures on derivative Instruments and hedging activities are intended to improve financial reporting for derivative instruments by enhanced disclosure that enables investors to understand how and why a fund uses derivatives, how derivatives are accounted for, and how derivative instruments affect a fund’s results of operations and financial position. Summarized below are the specific types of derivative instruments used by the Funds.

Forward Currency Contracts: A forward currency contract involves an obligation to purchase or sell a specific currency at a future date, which may be any number of days from the date of the contract agreed upon by the parties, at a price set at the time of the contract. These contracts are traded directly between currency traders and their customers.

The Funds enter into forward non - U.S. currency contracts in conjunction with the planned purchase or sale of non - U.S. denominated securities in order to hedge the U.S. dollar cost of proceeds. This is done to protect the U.S. Dollar value of the portfolio. Forward currency contracts involve, to varying degrees, elements of market risk in excess of the amounts reflected on the Schedules of Investments. Risks arise from the possible movements in non - U.S. exchange rates or if the counterparty does not perform under the contract.

Warrants and Rights: Certain Funds hold warrants and rights acquired either through a direct purchase, including as part of private placement, or pursuant to corporate actions. Warrants and rights entitle the holder to buy a proportionate amount of common stock at a specific price and time through the expiration dates. Such warrants and rights are held as long positions by the Fund until exercised, sold or expired. Warrants and rights are valued at fair value in accordance with the Board of Trustees’ approved fair valuation procedures.

Certain Funds may loan securities to qualified brokers through a securities lending agent agreement with Bank of New York Mellon (“BNY Mellon”). Under the terms of the agreement, the Fund is required to maintain collateral with a market value not less than 100% of the market value of loaned securities. Collateral is adjusted daily in connection with changes in the market value of securities on loan. Collateral may consist of cash and securities issued by the U.S. Government. Cash collateral is invested in short-term money market fund. Dividends earned on the collateral and premiums paid by the borrower are recorded as income by the Fund net of fees and rebates charged by BNY Mellon for their services as securities lending agents and in connection with this securities lending program. Lending portfolio securities involves a risk of delay in the recovery of the loaned securities or in the declining value of the collateral.

Effective November 7, 2011, securities lending was suspended on all Virtus Funds.

In countries with limited or developing markets, investments may present greater risks than in more developed markets and the prices of such investments may be volatile. The consequences of political, social or economic changes in these markets may have disruptive effects on the market prices of these investments and the income they generate, as well as a Fund’s ability to repatriate such amounts.

High-yield/high-risk securities typically entail greater price volatility and/or principal and interest rate risk. There is a greater chance that an issuer will not be able to make principal and interest payments on time. Analysis of the creditworthiness of issuers of high-yield securities may be complex, and as a result, it may be more difficult for the Adviser and/or Subadviser to accurately predict risk.

Other information regarding each Fund is available in the Fund’s most recent Report to Shareholders.

Investments are generally considered illiquid if they cannot be disposed of within seven days in the ordinary course of business at the approximate amount at which such securities have been valued by the Fund. Additionally, the following information is also considered in determining liquidity: the frequency of trades and quotes for the investment, whether the investment is listed for trading on a recognized domestic exchange and/or whether two or more brokers are willing to purchase or sell the security at a comparable price, the extent of market making activity in the investment and the nature of the market for investment. Illiquid securities are footnoted as such at the end of each Fund’s Schedule of Investments where applicable.

Restricted securities are not registered under the Securities Act of 1933. Generally, 144A securities are excluded from this category, except where defined as illiquid.

At June 30, 2012, there were no illiquid and restricted securities held by the funds.

The Funds will bear any costs, including those involved in registration under the Securities Act of 1933, in connection with the disposition of such securities.

At June 30, 2012, federal tax cost and aggregate gross unrealized appreciation (depreciation) of securities held by the funds were as follows:

Other information regarding each Fund is available in the Fund’s most recent Report to Shareholders.

Management has evaluated the impact of all subsequent events on the Funds through the date the Schedules of Investments (“N-Q”) were available for filing, and has determined that there are no subsequent events requiring recognition or disclosure in the financial statements.

Other information regarding each Fund is available in the Fund’s most recent Report to Shareholders.

Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto.

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.


	Total Value at		Level 1
	June 30, 2012		Quoted Prices
Equity Securities:
Exchange-Traded Funds	$	53,397	$	53,397
Affiliated Mutual Funds		106,345		106,345
Short-Term Investments		672		672

Total Investments	$	160,414	$	160,414


	Expiration Date		Number of Contracts			Value of Contracts When Opened			Market Value of Contracts			Unrealized Appreciation (Depreciation)
U.S. 10YR Note Futures		September-12		(10	)	$	(1,323	)	$	(1,334	)	$	(11	)


Investments in Securities	Corporate Bonds And Notes
Balance as of September 30, 2011:	$	18
Accrued Discount/(Premium)		—	^(c)
Realized Gain (Loss)		—
Change in Unrealized Appreciation (Depreciation)		—	^(c)
Purchases		—
Sales^(b)		(2	)
Transfers Into Level 3 ^(a)		—
Transfers From Level 3 ^(a)		—

Balance as of June 30, 2012^(d)	$	16


	Total Value at June 30, 2012		Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs
Equity Securities:
Preferred Stock	$	10,910	$	10,693	$	—	$	217
Common Stocks		1,055,780		828,890		226,890		—
Short-Term Investments		15,044		15,044		—		—

Total Investments⁽¹⁾	$	1,081,734	$	854,627	$	226,890	$	217


Investments in Securities	Common Stocks
Balance as of September 30, 2011:
	$	—
Accrued Discount/(Premium)		—
Realized Gain (Loss)		—
Change in Unrealized Appreciation (Depreciation)		(7	)
Purchases		224
Sales^(b)		—
Transfers Into Level 3 ^(a)		—
Transfers From Level 3 ^(a)		—

Balance as of June 30, 2012	$	217	^(c)


	Total Value at June 30, 2012		Level 1 Quoted Prices
Equity Securities:
Exchange-Traded Funds	$	276,169	$	276,169
Short-Term Investments		18,895		18,895

Total Investments	$	295,064	$	295,064


	Total Value at June 30, 2012			Level 1 Quoted Prices			Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs
Debt Securities:
Corporate Bonds and Notes	$	48,995		$	—		$	48,979	$	16
Foreign Government Securities		555			—			555		—
Loan Agreements		2,097			—			2,097		—
Mortgage-Backed Securities		53,113			—			53,113		—
Municipal Bonds		4,336			—			4,336		—
U.S. Government Securities		48,849			—			48,849		—
Equity Securities:
Preferred Stock		1,538			—			1,538		—
Short-Term Investments		16,026			16,026			—		—

Total Investments	$	175,509		$	16,026			159,467	$	16

Other Financial Instruments Futures Contracts *	$	(11	)	$	(11	)	$	—	$	—


Country Weightings †
United Kingdom	28	%
India	13
Switzerland	9
United States	8
Netherlands	7
France	6
Canada	5
Other	24

Total	100	%


	Total Value at June 30, 2012		Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs
Equity Securities:
Common Stocks⁽²⁾	$	16,030	$	13,375	$	2,655	$	0	⁽¹⁾
Short-Term Investments		743		743		—		—

Total Investments	$	16,773	$	14,118	$	2,655	$	0	⁽¹⁾


Investments in Securities	Corporate Bonds And Notes
Balance as of September 30, 2011:	$	511
Accrued Discount/(Premium)		4
Realized Gain (Loss)		(4,799	)
Change in Unrealized Appreciation (Depreciation)		4,888
Purchases		—
Sales^(b)		(212	)
Transfers Into Level 3 ^(a)		—
Transfers From Level 3 ^(a)		—

Balance as of June 30, 2012 ^(c)	$	392


Contracts to Receive		In Exchange for		Counterparty	Settlement Date	Value		Unrealized Appreciation (Depreciation)
AUD	100	USD	102	State Street Bank	10/15/12	$	101	$	(1)

Contracts to Sell		In Exchange for		Counterparty	Settlement Date	Value		Unrealized Appreciation (Depreciation)
AUD	1,800	USD	1,808	State Street Bank	10/15/12	$	1,824	$	(16)

								$	(17)


Country Weightings †
Australia	19	%
United Kingdom	17
Canada	15
France	11
Hong Kong	8
Singapore	8
Japan	7
Other	15

Total	100	%


Country Weightings †
United States	73	%
Brazil	4
Canada	2
Russia	2
United Kingdom	2
Australia	1
South Korea	1
Other	15

Total	100	%


Investments in Securities	Total			Asset- Backed Securities			Corporate Bonds And Notes			Common Stocks
Balance as of September 30, 2011:	$	2,603		$	1,671		$	0	^(d)	$	932
Accrued Discount/(Premium)		—	^(c)		—	^(c)		—			—
Realized Gain (Loss)		(416	)		(319	)		—			(97	)
Change in Unrealized Appreciation (Depreciation)		437			337			—			100
Purchases		—			—			—			—
Sales^(b)		(2,624	)		(1,689	)		—			(935	)
Transfers Into Level 3 ^(a)		1,766			—			1,766			—
Transfers From Level 3 ^(a)		—			—			—			—

Balance as of June 30, 2012	$	1,766		$	—		$	1,766		$	—


Investments in Securities	Total		Corporate Bonds And Notes		Loan Agreements
Balance as of September 30, 2011:	$	—	$	—	$	—
Accrued Discount/(Premium)		—		—		—
Realized Gain (Loss)		—		—		—
Change in Unrealized Appreciation (Depreciation)		—		—		—
Purchases		—		—		—
Sales^(b)		—		—		—
Transfers Into Level 3 ^(a)		296		7		289
Transfers From Level 3 ^(a)		—		—		—

Balance as of June 30, 2012	$	296	$	7	$	289


Fund	Federal Tax Cost			Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
Allocator Premium
AlphaSector^TM Fund	$	287,426		$	9,992	$	(2,354	)	$	7,638
AlphaSector^TM Rotation Fund		412,174			55,627		(8,475	)		47,152
Alternatives Diversifier Fund		170,925			30,728		(41,239	)		(10,511	)
Bond Fund		167,929			8,095		(515	)		7,580
CA Tax-Exempt Bond		55,000			4,539		(665	)		3,874
Dynamic AlphaSector ^TMFund (Long positions)		195,680			3,807		(302	)		3,505
Dynamic AlphaSector^TM Fund (Short positions)		(23,749	)		—		(429	)		(429	)
Foreign Opportunities Fund		846,147			268,337		(32,750	)		235,587
Global Commodities Stock Fund		17,561			699		(1,112	)		(413	)
Global Infrastructure Fund		62,247			17,945		(2,586	)		15,359
Global Opportunities Fund		76,899			16,083		(3,000	)		13,083
Global Premium AlphaSecto^TM Fund		63,918			3,161		—			3,161
Global Real Estate Securities Fund		14,859			2,169		(255	)		1,914
Greater Asia ex Japan Opportunities Fund		6,695			1,699		(448	)		1,251
Greater European Opportunities Fund		4,519			1,439		(148	)		1,291
High Yield Fund		93,831			3,164		(1,672	)		1,492
International Equity Fund		19,032			1,272		(1,201	)		71


International Real Estate Securities Fund	30,048	1,257	(745	)	512
Multi-Sector Fixed Income	339,658	12,636	(6,712	)	5,924
Multi-Sector Short Term Bond Fund	5,568,511	184,488	(61,507	)	122,981
Premium AlphaSector^TM Fund	3,095,850	251,580	(87,915	)	163,665
Real Estate Securities Fund	784,546	531,138	(38,616	)	492,522
Senior Floating Rate Fund	451,249	3,204	(6,651	)	(3,447	)


(Registrant) Virtus Opportunities Trust

By (Signature and Title)*		/s/ GEORGE R. AYLWARD
		George R. Aylward, President
		(principal executive officer)

Date 8/28/12