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—91.3%
Consumer Discretionary Select Sector SPDR Fund		361,175	$	17,131
Consumer Staples Select Sector SPDR Fund		483,087		16,826
Energy Select Sector SPDR Fund		236,820		16,919
Financial Select Sector SPDR Fund		1,039,340		17,045
Health Care Select Sector SPDR Fund		424,820		16,972
Industrial Select Sector SPDR Fund		450,880		17,088
iShares Barclays Treasury Inflation Protected Securities Bond Fund		237,460		28,830
iShares Dow Jones U.S. Real Estate Index Fund		299,215		19,365
iShares iBoxx $ High Yield Corporate Bond Fund		307,820		28,735
iShares iBoxx Investment Grade Corporate Bond Fund		238,920		28,907
Ishares MSCI Canada Index Fund		179,800		5,106
iShares MSCI Emerging Markets Index Fund		740,820		32,855
iShares MSCI Japan Index Fund		1,039,400		10,134
Ishares MSCI Pacific Ex-Japan Index Fund		219,300		10,338
Materials Select Sector SPDR Fund		460,600		17,291
PowerShares DB Gold Fund⁽²⁾		346,680		19,882
Utilities Select Sector SPDR Fund		483,910		16,913
Vanguard MSCI European Fund		656,560		32,066

TOTAL EXCHANGE-TRADED FUNDS (Identified Cost $336,658)				352,403

TOTAL LONG TERM INVESTMENTS—91.3% (Identified cost $336,658)				352,403

SHORT-TERM INVESTMENTS—8.3%
Money Market Mutual Funds—8.3%
Dreyfus Cash Management Fund—Institutional
Shares (seven-day effective yield 0.090%)		32,111,475		32,111

TOTAL SHORT-TERM INVESTMENTS (Identified Cost $32,111)				32,111

TOTAL INVESTMENTS—99.6% (Identified Cost $368,769)				384,514	⁽¹⁾
Other assets and liabilities, net—0.4%				1,533

NET ASSETS—100.0%			$	386,047

Abbreviations:


SPDR		S&P Depositary Receipt

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at December 31, 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 December 31, 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—75.7%
Consumer Discretionary—12.7%
Abercrombie & Fitch Co. Class A		3,290	$	158
Amazon.com, Inc.⁽²⁾		14,770		3,709
Apollo Group, Inc. Class A⁽²⁾		4,120		86
AutoNation, Inc.⁽²⁾		1,530		61
AutoZone, Inc.⁽²⁾		1,510		535
Bed Bath & Beyond, Inc.⁽²⁾		9,320		521
Best Buy Co., Inc.		10,820		128
Big Lots, Inc.⁽²⁾		2,300		65
BorgWarner, Inc.⁽²⁾		4,760		341
Cablevision Systems Corp. Class A		8,810		132
CarMax, Inc.⁽²⁾		9,380		352
Carnival Corp.		18,160		668
CBS Corp. Class B		24,020		914
Chipotle Mexican Grill, Inc.⁽²⁾		1,280		381
Coach, Inc.		11,600		644
Comcast Corp. Class A		108,320		4,049
Darden Restaurants, Inc.		5,180		233
Delphi Automotive plc		11,990		459
DIRECTV Class A⁽²⁾		24,610		1,234
Discovery Communications, Inc. Class A⁽²⁾		9,710		616
Dollar General Corp.⁽²⁾		10,700		472
Dollar Tree, Inc.⁽²⁾		9,230		374
DR Horton, Inc.		11,260		223
Expedia, Inc.		3,800		234
Family Dollar Stores, Inc.		3,890		247
Ford Motor Co.		155,250		2,011
Fossil, Inc.⁽²⁾		2,190		204
GameStop Corp. Class A		4,890		123
Gannett Co., Inc.		9,410		169
Gap, Inc. (The)		12,160		377
Garmin Ltd.		4,400		180
Genuine Parts Co.		6,350		404
Goodyear Tire & Rubber Co. (The)⁽²⁾		10,060		139
H&R Block, Inc.		11,210		208
Harley-Davidson, Inc.		9,200		449
Harman International Industries, Inc.		2,720		121
Hasbro, Inc.		4,650		167
Home Depot, Inc. (The)		60,990		3,772
International Game Technology		10,670		151
Interpublic Group of Cos., Inc. (The)		17,320		191
J.C. Penney Co., Inc.		5,700		112
Johnson Controls, Inc.		27,870		856


	SHARES		VALUE
Consumer Discretionary—(continued)
Kohl’s Corp.		8,640	$	371
Leggett & Platt, Inc.		5,800		158
Lennar Corp. Class A		6,690		259
Lowe’s Cos., Inc.		45,830		1,628
Ltd. Brands, Inc.		9,810		462
Macy’s, Inc.		16,040		626
Marriott International, Inc.		9,950		371
Mattel, Inc.		14,000		513
McDonald’s Corp.		40,920		3,610
McGraw-Hill Cos., Inc. (The)		11,280		617
Netflix, Inc.⁽²⁾		2,250		209
Newell Rubbermaid, Inc.		11,680		260
News Corp. Class A		82,230		2,100
NIKE, Inc. Class B		27,180		1,403
Nordstrom, Inc.		6,250		334
O’Reilly Automotive, Inc.⁽²⁾		4,700		420
Omnicom Group, Inc.		10,730		536
PetSmart, Inc.		4,360		298
priceline.com, Inc.⁽²⁾		2,040		1,267
PulteGroup, Inc.⁽²⁾		13,790		250
Ralph Lauren Corp.		2,480		372
Ross Stores, Inc.		9,090		492
Scripps Networks Interactive, Inc. Class A		3,520		204
Staples, Inc.		27,480		313
Starbucks Corp.		30,310		1,625
Starwood Hotels & Resorts Worldwide, Inc.		8,010		459
Target Corp.		26,530		1,570
Tiffany & Co.		4,910		282
Time Warner Cable, Inc.		12,320		1,197
Time Warner, Inc.		38,560		1,844
TJX Cos., Inc.		29,790		1,265
TripAdvisor, Inc.⁽²⁾		4,510		189
Urban Outfitters, Inc.⁽²⁾		4,400		173
VF Corp.		3,570		539
Viacom, Inc. Class B		18,840		994
Walt Disney Co. (The)		72,290		3,599
Washington Post Co. (The) Class B		270		99
Whirlpool Corp.		3,200		326
Wyndham Worldwide Corp.		5,720		304
Wynn Resorts Ltd.		3,230		363
Yum! Brands, Inc.		18,430		1,224

				59,595


	SHARES		VALUE
Energy—12.5%
Anadarko Petroleum Corp.		23,970	$	1,781
Apache Corp.		18,550		1,456
Baker Hughes, Inc.		24,030		981
Cabot Oil & Gas Corp.		18,690		930
Cameron International Corp.⁽²⁾		16,250		918
Chesapeake Energy Corp.		28,460		473
Chevron Corp.		82,230		8,892
ConocoPhillips		36,900		2,140
CONSOL Energy, Inc.		15,010		482
Denbury Resources, Inc.⁽²⁾		32,000		518
Devon Energy Corp.		17,880		931
Diamond Offshore Drilling, Inc.		4,720		321
Ensco plc Class A		9,580		568
EOG Resources, Inc.		13,570		1,639
EQT Corp.		6,180		365
Exxon Mobil Corp.		126,630		10,960
FMC Technologies, Inc.⁽²⁾		17,520		750
Halliburton Co.		45,700		1,585
Helmerich & Payne, Inc.		4,320		242
Hess Corp.		15,150		802
Kinder Morgan, Inc.		25,970		918
Marathon Oil Corp.		34,070		1,045
Marathon Petroleum Corp.		13,920		877
Murphy Oil Corp.		10,350		616
Nabors Industries Ltd.⁽²⁾		21,910		317
National Oilwell Varco, Inc.		22,300		1,524
Newfield Exploration Co.⁽²⁾		5,560		149
Noble Corp.		10,480		365
Noble Energy, Inc.		10,000		1,017
Occidental Petroleum Corp.		29,110		2,230
Peabody Energy Corp.		16,130		429
Phillips 66		25,690		1,364
Pioneer Natural Resources Co.		11,470		1,223
QEP Resources, Inc.		7,280		220
Range Resources Corp.		10,540		662
Rowan Cos. plc Class A⁽²⁾		13,770		431
Schlumberger Ltd.		57,050		3,953
Southwestern Energy Co.⁽²⁾		18,450		616
Spectra Energy Corp.		36,830		1,008
Tesoro Corp.		18,110		798
Valero Energy Corp.		31,870		1,087
Williams Cos., Inc. (The)		39,050		1,279


	SHARES		VALUE
Energy—(continued)
WPX Energy, Inc.⁽²⁾		8,270	$	123

				58,985

Financials—12.6%
ACE Ltd.		10,140		809
Aflac, Inc.		14,000		744
Allstate Corp. (The)		14,400		578
American Express Co.		29,050		1,670
American International Group, Inc.⁽²⁾		43,950		1,551
American Tower Corp.		11,780		910
Ameriprise Financial, Inc.		6,130		384
AON plc		9,520		529
Apartment Investment & Management Co. Class A		4,410		119
Assurant, Inc.		2,380		83
AvalonBay Communities, Inc.		3,430		465
Bank of America Corp.		320,330		3,716
Bank of New York Mellon Corp. (The)		34,770		894
BB&T Corp.		20,880		608
Berkshire Hathaway, Inc. Class B⁽²⁾		54,220		4,864
BlackRock, Inc.		3,750		775
Boston Properties, Inc.		4,470		473
Capital One Financial Corp.		17,310		1,003
CBRE Group, Inc.⁽²⁾		9,070		180
Charles Schwab Corp. (The)		32,670		469
Chubb Corp. (The)		7,820		589
Cincinnati Financial Corp.		4,350		170
Citigroup, Inc.		87,440		3,459
CME Group, Inc.		9,090		461
Comerica, Inc.		5,730		174
Discover Financial Services		15,080		581
E*Trade Financial Corp.⁽²⁾		7,520		67
Equity Residential		9,620		545
Fifth Third Bancorp		26,800		407
First Horizon National Corp.		7,130		71
Franklin Resources, Inc.		4,110		517
Genworth Financial, Inc. Class A⁽²⁾		15,050		113
Goldman Sachs Group, Inc. (The)		13,150		1,677
Hartford Financial Services Group, Inc. (The)		13,010		292
HCP, Inc.		13,530		611
Health Care REIT, Inc.		7,740		474
Host Hotels & Resorts, Inc.		21,760		341
Hudson City Bancorp, Inc.		13,920		113
Huntington Bancshares, Inc.		25,280		162


	SHARES		VALUE
Financials—(continued)
IntercontinentalExchange, Inc.⁽²⁾		2,180	$	270
Invesco Ltd.		13,320		348
JPMorgan Chase & Co.		112,980		4,968
KeyCorp		28,090		237
Kimco Realty Corp.		12,160		235
Legg Mason, Inc.		3,590		92
Leucadia National Corp.		5,940		141
Lincoln National Corp.		8,250		214
Loews Corp.		9,310		379
M&T Bank Corp.		3,650		359
Marsh & McLennan Cos., Inc.		16,170		557
MetLife, Inc.		32,620		1,074
Moody’s Corp.		5,790		291
Morgan Stanley		41,280		789
NASDAQ OMX Group, Inc. (The)		3,520		88
Northern Trust Corp.		6,500		326
NYSE Euronext, Inc.		7,260		229
People’s United Financial, Inc.		10,260		124
Plum Creek Timber Co., Inc.		4,790		213
PNC Financial Services Group, Inc.		15,790		921
Principal Financial Group, Inc.		8,230		235
Progressive Corp. (The)		16,470		348
Prologis, Inc.		13,790		503
Prudential Financial, Inc.		13,810		736
Public Storage		4,310		625
Regions Financial Corp.		42,400		302
Simon Property Group, Inc.		9,230		1,459
SLM Corp.		13,770		236
State Street Corp.		13,800		649
SunTrust Banks, Inc.		16,090		456
T. Rowe Price Group, Inc.		7,550		492
Torchmark Corp.		2,840		147
Travelers Cos., Inc. (The)		11,380		817
U.S. Bancorp		56,130		1,793
Unum Group		8,250		172
Ventas, Inc.		8,800		570
Vornado Realty Trust		5,050		404
Wells Fargo & Co.		145,510		4,974
Weyerhaeuser Co.		16,070		447
XL Group plc		9,070		227
Zions Bancorp		5,540		119

				59,214


	SHARES		VALUE
Industrials—12.6%
3M Co.		29,030	$	2,695
ADT Corp. (The)		10,280		478
Avery Dennison Corp.		5,470		191
Boeing Co. (The)		31,540		2,377
Caterpillar, Inc.		30,990		2,776
Cintas Corp.		5,740		235
CSX Corp.		55,420		1,093
Cummins, Inc.		14,480		1,569
Danaher Corp.		29,020		1,622
Deere & Co.		19,480		1,683
Dover Corp.		9,620		632
Dun & Bradstreet Corp.		2,010		158
Eaton Corp. plc		25,130		1,362
Emerson Electric Co.		34,090		1,805
Equifax, Inc.		7,180		389
Expeditors International of Washington, Inc.		9,270		367
Fastenal Co.		11,930		557
FedEx Corp.		13,940		1,279
Flowserve Corp.		2,220		326
Fluor Corp.		10,770		633
General Dynamics Corp.		16,090		1,115
General Electric Co.		345,280		7,247
Grainger (W.W.), Inc.		3,490		706
Honeywell International, Inc.		36,700		2,329
Illinois Tool Works, Inc.		20,150		1,225
Ingersoll-Rand plc		12,400		595
Iron Mountain, Inc.		7,440		231
Jacobs Engineering Group, Inc.⁽²⁾		5,830		248
Joy Global, Inc.		4,670		298
L-3 Communications Holdings, Inc.		4,220		323
Lockheed Martin Corp.		12,630		1,166
Masco Corp.		17,670		294
Norfolk Southern Corp.		16,500		1,020
Northrop Grumman Corp.		11,770		795
PACCAR, Inc.		18,240		825
Pall Corp.		7,210		435
Parker Hannifin Corp.		8,340		709
PentAir, Inc.		9,340		459
Pitney Bowes, Inc.		10,010		107
Precision Castparts Corp.		6,480		1,227
Quanta Services, Inc.⁽²⁾		9,400		257
Raytheon Co.		16,000		921
Republic Services, Inc.		13,200		387
Robert Half International, Inc.		8,880		283


	SHARES		VALUE
Industrials—(continued)
Robinson (C.H.) Worldwide, Inc.		7,140	$	451
Rockwell Automation, Inc.		8,030		674
Rockwell Collins, Inc.		8,040		468
Roper Industries, Inc.		4,350		485
Ryder System, Inc.		4,130		206
Snap-On, Inc.		2,570		203
Southwest Airlines Co.		35,920		368
Stanley Black & Decker, Inc.		7,530		557
Stericycle, Inc.⁽²⁾		3,820		356
Textron, Inc.		15,590		387
Tyco International Ltd.		20,740		607
Union Pacific Corp.		22,740		2,859
United Parcel Service, Inc. Class B		32,420		2,390
United Technologies Corp.		38,970		3,196
Waste Management, Inc.		21,090		712
Xylem, Inc.		8,190		222

				59,570

Materials—12.8%
Air Products & Chemicals, Inc.		28,080		2,359
Airgas, Inc.		9,500		867
Alcoa, Inc.		142,660		1,238
Allegheny Technologies, Inc.		15,010		456
Ball Corp.		20,690		926
Bemis Co., Inc.		14,460		484
CF Industries Holdings, Inc.		8,340		1,694
Cliffs Natural Resources, Inc.		19,250		742
Dow Chemical Co. (The)		156,200		5,048
Du Pont (E.I.) de Nemours & Co.		121,420		5,460
Eastman Chemical Co.		20,670		1,407
Ecolab, Inc.		34,370		2,471
FMC Corp.		18,440		1,079
Freeport-McMoRan Copper & Gold, Inc.		123,670		4,230
International Flavors & Fragrances, Inc.		11,180		744
International Paper Co.		58,230		2,320
LyondellBasell Industries N.V. Class A		49,480		2,825
MeadWestvaco Corp.		23,830		759
Monsanto Co.		69,600		6,588
Mosaic Co. (The)		36,500		2,067
Newmont Mining Corp.		50,750		2,357
Nucor Corp.		42,100		1,818
Owens-Illinois, Inc.⁽²⁾		22,980		489
PPG Industries, Inc.		20,260		2,742
Praxair, Inc.		38,680		4,234


	SHARES		VALUE
Materials—(continued)
Sealed Air Corp.		27,210	$	476
Sherwin-Williams Co. (The)		11,380		1,751
Sigma-Aldrich Corp.		16,040		1,180
United States Steel Corp.		20,350		486
Vulcan Materials Co.		17,690		921

				60,218

Utilities—12.5%
AES Corp. (The)		84,030		899
AGL Resources, Inc.		15,860		634
Ameren Corp.		33,030		1,015
American Electric Power Co., Inc.		65,910		2,813
CenterPoint Energy, Inc.		58,430		1,125
CMS Energy Corp.		36,540		891
Consolidated Edison, Inc.		39,850		2,213
Dominion Resources, Inc.		77,660		4,023
DTE Energy Co.		23,450		1,408
Duke Energy Corp.		87,810		5,602
Edison International		44,210		1,998
Entergy Corp.		24,050		1,533
Exelon Corp.		115,430		3,433
FirstEnergy Corp.		56,550		2,362
Integrys Energy Group, Inc.		10,730		560
NextEra Energy, Inc.		57,180		3,956
NiSource, Inc.		42,620		1,061
Northeast Utilities		42,420		1,658
NRG Energy, Inc.		43,520		1,001
ONEOK, Inc.		27,710		1,185
Pepco Holdings, Inc.		31,570		619
PG&E Corp.		58,450		2,348
Pinnacle West Capital Corp.		15,190		774
PPL Corp.		78,970		2,261
Public Service Enterprise Group, Inc.		68,370		2,092
SCANA Corp.		17,790		812
Sempra Energy		30,520		2,165
Southern Co. (The)		118,060		5,054
TECO Energy, Inc.		27,980		469
Wisconsin Energy Corp.		31,100		1,146
XCEL Energy, Inc.		66,570		1,778

				58,888

TOTAL COMMON STOCKS (Identified Cost $334,572)				356,470


	SHARES		VALUE
EXCHANGE-TRADED FUNDS—25.0%
Consumer Staples Select Sector SPDR Fund		1,685,100	$	58,692
Health Care Select Sector SPDR Fund		1,483,440		59,263

TOTAL EXCHANGE-TRADED FUNDS (Identified Cost $97,198)				117,955

TOTAL LONG TERM INVESTMENTS—100.7% (Identified cost $431,770)				474,425

TOTAL INVESTMENTS—100.7% (Identified Cost $431,770)				474,425	⁽¹⁾
Other assets and liabilities, net—(0.7)%				(3,436	)

NET ASSETS—100.0%			$	470,989

Abbreviations:


REIT		Real Estate Investment Trust
SPDR		S&P Depositary Receipt

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at December 31, 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 December 31, 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—65.6%
Equity Funds—59.4%
Virtus Global Commodities Stock Fund Class I		1,983,625	$	18,706
Virtus Global Dividend Fund Class I		2,496,768		32,258
Virtus Global Real Estate Securities Fund Class I		429,478		9,792
Virtus International Real Estate Securities Fund Class I		3,100,370		20,121
Virtus Real Estate Securities Class I		267,548		9,338

				90,215

Fixed Income Funds—6.2%
Virtus Senior Floating Rate Fund Class I		966,511		9,462

TOTAL AFFILIATED MUTUAL FUNDS (Identified Cost $85,359)				99,677

EXCHANGE-TRADED FUNDS—33.6%
PowerShares DB Commodity Index Tracking Fund⁽²⁾		751,700		20,882
PowerShares DB G10 Currency Harvest Fund⁽²⁾		861,900		22,539
WisdomTree Managed Futures Strategy Fund⁽²⁾		188,300		7,589

TOTAL EXCHANGE-TRADED FUNDS (Identified Cost $46,344)				51,010

TOTAL LONG TERM INVESTMENTS—99.2% (Identified cost $131,703)				150,687

SHORT-TERM INVESTMENTS—0.4%
Money Market Mutual Funds—0.4%
BlackRock Liquidity Funds TempFund Portfolio - Insitutional Shares (seven-day effective yield 0.140%)		581,294		581

TOTAL SHORT-TERM INVESTMENTS (Identified Cost $581)				581

TOTAL INVESTMENTS—99.6% (Identified Cost $132,284)				151,268	⁽¹⁾
Other assets and liabilities, net—0.4%				668

NET ASSETS—100.0%			$	151,936

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at December 31, 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 December 31, 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—0.8%
U.S. Treasury Bond 3.500%, 2/15/39	$	740		$	834

TOTAL U.S. GOVERNMENT SECURITIES (Identified Cost $887)					834

MUNICIPAL BONDS—1.0%
Michigan—0.1%
City of Flat Rock Finance Authority, Taxable Series A, 6.750%, 10/1/16		65			68

Rhode Island—0.9%
City of Woonsocket Pension Funding Taxable (AGM Insured) 5.660%, 7/15/13		1,000			1,017

TOTAL MUNICIPAL BONDS (Identified Cost $1,072)					1,085

FOREIGN GOVERNMENT SECURITIES—4.6%
Bolivarian Republic of Venezuela RegS 12.750%, 8/23/22⁽⁴⁾		245			287
Commonwealth of Australia Series 118, 6.500%, 5/15/13		255	^AUD		268
Commonwealth of Canada 1.750%, 3/1/13		270	^CAD		272
Commonwealth of New Zealand Series 413, 6.500%, 4/15/13		330	^NZD		276
Federative Republic of Brazil 8.500%, 1/5/24		475	^BRL		282
KIngdom of Morocco 144A 4.250%, 12/11/22⁽³⁾		270			272
Kingdom of Norway Series 470, 6.500%, 5/15/13		2,190	^NOK		401
Kingdom of Spain 5.850%, 1/31/22		130	^EUR		179
Republic of Colombia 4.375%, 3/21/23		490,000	^COP		276
Republic of Croatia 144A 6.375%, 3/24/21⁽³⁾		280			318
Republic of Mongolia 144A 5.125%, 12/5/22⁽³⁾		200			197
Republic of Peru 144A 7.840%, 8/12/20⁽³⁾		575	^PEN		284
Republic of Slovenia 144A 5.500%, 10/26/22⁽³⁾		270			283
Republic of Ukraine 144A 7.950%, 6/4/14⁽³⁾		200			204
United Mexican States
Series M, 6.000%, 6/18/15		6,990	^MXN		555
4.750%, 3/8/44		515			582

TOTAL FOREIGN GOVERNMENT SECURITIES (Identified Cost $4,754)					4,936

MORTGAGE-BACKED SECURITIES—29.0%
Agency—12.4%
FHLMC


	PAR VALUE			VALUE
Agency—(continued)
7.500%, 4/1/14	$	3		$	3
7.000%, 4/1/16		9			10
7.000%, 1/1/33		113			133
6.500%, 2/1/35		1,486			1,686
5.000%, 12/1/35		68			76
FNMA
7.000%, 5/1/14		3			3
6.000%, 10/1/14		53			55
6.500%, 6/1/16		48			51
6.000%, 7/1/17		29			31
5.500%, 9/1/17		64			69
5.000%, 4/1/20		178			193
5.000%, 8/1/21		45			49
6.000%, 5/1/29		76			85
6.500%, 5/1/30		3			4
7.500%, 3/1/31		61			74
7.000%, 7/1/31		48			58
7.000%, 9/1/31		68			79
6.500%, 3/1/32		60			71
5.500%, 4/1/36		205			223
5.500%, 9/1/36		1,065			1,161
6.500%, 5/1/37		749			836
6.000%, 9/1/37		33			37
6.000%, 1/1/38		71			79
6.000%, 2/1/38		71			79
6.000%, 3/1/38		422			469
6.000%, 7/1/38		1,190			1,301
6.000%, 8/1/38		201			224
6.000%, 8/1/38		357			391
6.000%, 8/1/38		980			1,094
6.000%, 8/1/38		74			81
5.000%, 6/1/39		1,482			1,645
5.000%, 9/1/39		348			383
5.500%, 9/1/39		909			992
4.500%, 9/1/40		449			507
FNMA 99-M2, B 6.634%, 3/25/29⁽²⁾		704			812
GNMA
8.500%, 11/15/22		—	⁽⁹⁾		—	⁽⁹⁾
6.500%, 9/15/28		59			69
7.500%, 9/15/29		100			121

					13,234


	PAR VALUE		VALUE
Non-Agency—16.6%
American General Mortgage Loan Trust 10-1A, A1, 144A 5.150%, 3/25/58⁽²⁾⁽³⁾	$	201	$	207
Banc of America Mortgage Trust 05-3, 1A15 5.500%, 4/25/35		275		290
Bank of America (Merrill Lynch) Commercial Mortgage, Inc. 05-2, B 5.113%, 7/10/43⁽²⁾		440		468
Bank of America Funding Corp. 04-B, 2A1 5.440%, 11/20/34⁽²⁾		261		263
Bayview Commercial Asset Trust 08-1, A2A 144A 1.210%, 1/25/38⁽²⁾⁽³⁾		316		313
BCAP LLC Trust 06-RR1, PE 5.000%, 11/25/36		500		517
Bear Stearns Commercial Mortgage Securities, Inc.
06-PW13, AM 5.582%, 9/11/41⁽²⁾		235		262
05-PWR9, A4B 4.943%, 9/11/42		1,130		1,221
07-T28, A3 5.793%, 9/11/42		1,114		1,152
Citigroup - Deutsche Bank Commercial Mortgage Trust 06-CD2, A3 5.367%, 1/15/46⁽²⁾		1,335		1,418
Countrywide Home Loan Mortgage Pass-Through-Trust
02-R2, 1M 144A 5.750%, 7/25/33⁽³⁾		259		218
04-6, 1A2 2.990%, 5/25/34⁽²⁾		542		534
Credit Suisse Mortgage Capital Certificates 06-C1, A3 5.409%, 2/15/39⁽²⁾		65		67
Goldman Sachs Mortgage Securities Corp. II 07- GG10, A4 5.789%, 8/10/45⁽²⁾		950		1,095
Greenwich Capital Commercial Funding Corp. 07- GG9, A4 5.444%, 3/10/39		25		29
JPMorgan Chase Commercial Mortgage Securities Corp.
10-CNTR, A1, 144A 3.300%, 8/5/32⁽³⁾		454		486
06-LDP7, AM 5.871%, 4/15/45⁽²⁾		475		531
JPMorgan Mortgage Trust 04-A4, 2A1 2.676%, 9/25/34⁽²⁾		467		476
Morgan Stanley Capital I
07-T27, A4 5.651%, 6/11/42⁽²⁾		1,110		1,314
05-IQ10, A4B 5.284%, 9/15/42⁽²⁾		855		945
08-T29, A4 6.275%, 1/11/43⁽²⁾		1,450		1,777
Morgan Stanley Capital I, Inc. 07-IQ14, A4 5.692%, 4/15/49⁽²⁾		300		348
Motel 6 Trust 12-MTLB, D 144A 3.781%, 10/5/25⁽³⁾		270		270
SMA Issuer I LLC 12-LV1, A 144A 3.500%, 8/20/25⁽³⁾		220		221


	PAR VALUE		VALUE
Non-Agency—(continued)
Springleaf Mortgage Loan Trust 12-3A, A 144A 1.570%, 12/25/59⁽²⁾⁽³⁾	$	529	$	532
Structured Adjustable Rate Mortgage Loan Trust 04-18, 1A2 2.754%, 12/25/34⁽²⁾		319		273
Structured Asset Securities Corp. 03-14, 3A1 5.508%, 5/25/33⁽²⁾		452		463
Wachovia Bank Commercial Mortgage Trust
07-C30, A5 5.342%, 12/15/43		450		516
07-C33, A4 5.921%, 2/15/51⁽²⁾		950		1,114
Washington Mutual Mortgage Pass-Through Certificates 03-S11, 3A5 5.950%, 11/25/33		469		497

				17,817

TOTAL MORTGAGE-BACKED SECURITIES (Identified Cost $29,699)				31,051

ASSET-BACKED SECURITIES—4.8%
AmeriCredit Automobile Receivables Trust 12-3, C 2.420%, 5/8/18		500		519
Avis Budget Rental Car Funding (AESOP) LLC
11-3A, A, 144A 3.410%, 11/20/17⁽³⁾		535		574
12-3A, A, 144A 2.100%, 3/20/19⁽³⁾		375		382
Centre Point Funding LLC 12-2A, 1, 144A 2.610%, 8/20/21⁽³⁾		534		537
Countrywide Asset-Backed Certificates 05-1, AF5A 5.497%, 7/25/35⁽²⁾		260		247
Fairway Outdoor Funding LLC 12-1A, A2, 144A 4.212%, 10/15/42⁽³⁾		160		163
GSAA Home Equity Trust 05-12, AF3W 4.999%, 9/25/35⁽²⁾		319		321
Santander Drive Auto Receivables Trust
12-2, D 3.870%, 2/15/18		500		524
12-3, C 3.010%, 4/16/18		545		562
Sierra Receivables Funding Co. LLC 12-3A, A, 144A 1.870%, 8/20/29⁽³⁾		498		497
Silverleaf Finance LLC 12-D, A, 144A 3.000%, 3/17/25⁽³⁾		250		250
Tidewater Auto Receivables Trust 12-AA, B, 144A 2.430%, 4/15/19⁽³⁾		215		215
Westgate Resorts LLC 12-2A, A 144A 3.000%, 1/20/25⁽³⁾		314		316

TOTAL ASSET-BACKED SECURITIES (Identified Cost $5,085)				5,107


	PAR VALUE		VALUE
CORPORATE BONDS AND NOTES—50.4%
Consumer Discretionary—2.9%
Brookfield Residential Properties, Inc. 144A 6.500%, 12/15/20⁽³⁾	$	215	$	221
Claire’s Stores, Inc. 144A 9.000%, 3/15/19⁽³⁾		210		226
Clear Channel Worldwide Holdings, Inc.
144A 6.500%, 11/15/22⁽³⁾		80		83
144A 6.500%, 11/15/22⁽³⁾		200		208
DISH DBS Corp. 4.625%, 7/15/17		300		314
Landry’s, Inc. 144A 9.375%, 5/1/20⁽³⁾		260		276
MGM Resorts International (MGM Mirage) 144A 6.750%, 10/1/20⁽³⁾		215		220
Nara Cable Funding Ltd. 144A 8.875%, 12/1/18⁽³⁾		230		235
NBC Universal Media LLC 2.875%, 1/15/23		145		145
Six Flags Entertainment Corp. 144A 5.250%, 1/15/21⁽³⁾		235		236
Time Warner Cable, Inc.
5.000%, 2/1/20		390		454
4.000%, 9/1/21		265		291
United Artists Theatre Circuit, Inc. Series 95-BD, 1 9.300%, 7/1/15⁽⁵⁾⁽⁶⁾		14		14
WMG Acquisition Corp. 144A 6.000%, 1/15/21⁽³⁾		165		175

				3,098

Consumer Staples—2.2%
American Rock Salt Co. LLC (American Rock Capital Corp.) 144A 8.250%, 5/1/18⁽³⁾		570		519
CVS Pass-Through-Trust 144A 7.507%, 1/10/32⁽³⁾		250		329
Flowers Foods, Inc. 4.375%, 4/1/22		275		281
Heineken NV 144A 3.400%, 4/1/22⁽³⁾		570		594
Kraft Foods Group, Inc. 144A 3.500%, 6/6/22⁽³⁾		285		304
Reynolds American, Inc. 3.250%, 11/1/22		295		296

				2,323

Energy—7.0%
BreitBurn Energy Partners LP (BreitBurn Finance Corp.) 144A 7.875%, 4/15/22⁽³⁾		175		182
Bristow Group, Inc. 6.250%, 10/15/22		35		38
Compagnie Generale de Geophysique-Veritas 6.500%, 6/1/21		200		215
Continental Resources, Inc. 5.000%, 9/15/22		430		465
Copano Energy LLC (Copano Energy Finance Corp.) 7.125%, 4/1/21		30		32


	PAR VALUE		VALUE
Energy—(continued)
El Paso Pipeline Partners Operating Co. LLC 7.500%, 11/15/40	$	505	$	692
Energy Transfer Partners LP 5.200%, 2/1/22		285		325
EPL Oil & Gas, Inc. 144A 8.250%, 2/15/18⁽³⁾		280		289
Expro Finance Luxembourg SCA 144A 8.500%, 12/15/16⁽³⁾		120		126
Gulfmark Offshore, Inc. 144A 6.375%, 3/15/22⁽³⁾		210		217
Halcon Resources Corp. 144A 8.875%, 5/15/21⁽³⁾		115		122
Hercules Offshore, Inc. 144A 10.500%, 10/15/17⁽³⁾		160		173
OGX Austria GmbH 144A 8.500%, 6/1/18⁽³⁾		560		507
Petrobras International Finance Co. 5.375%, 1/27/21		515		579
Petroleos de Venezuela SA RegS 8.500%, 11/2/17⁽⁴⁾		310		307
Petropower I Funding Trust 144A 7.360%, 2/15/14⁽³⁾⁽⁶⁾		32		33
Phillips 66
144A 4.300%, 4/1/22⁽³⁾		515		575
144A 5.875%, 5/1/42⁽³⁾		340		408
Plains Exploration & Production Co. 6.875%, 2/15/23		215		247
Rowan Cos., Inc. 4.875%, 6/1/22		255		277
SandRidge Energy, Inc. 7.500%, 3/15/21		575		618
Transocean, Inc. 3.800%, 10/15/22		360		369
Weatherford International Ltd. 4.500%, 4/15/22		310		329
Williams Cos., Inc. (The) 3.700%, 1/15/23		200		201
Zhaikmunai LP (Zhaikmanai International BV) 144A 7.125%, 11/13/19⁽³⁾		200		210

				7,536

Financials—21.0%
Aircastle Ltd. 7.625%, 4/15/20		200		225
Akbank TAS 144A 3.875%, 10/24/17⁽³⁾		350		360
Alfa Bank OJSC (Alfa Bond Issuance plc) RegS 7.875%, 9/25/17^(4)(10)		250		280
Ally Financial, Inc. 5.500%, 2/15/17		315		338
ALROSA Finance SA 144A 7.750%, 11/3/20⁽³⁾		240		280
AvalonBay Communities, Inc. 2.950%, 9/15/22		430		428
Avis Budget Car Rental LLC (Avis Budget Finance, Inc.) 144A 4.875%, 11/15/17⁽³⁾		220		224
Banco Santander Chile 144A 3.875%, 9/20/22⁽³⁾		450		461
Banco Votorantim SA 144A 7.375%, 1/21/20⁽³⁾		300		336
Bancolombia SA 5.125%, 9/11/22		260		270


	PAR VALUE		VALUE
Financials—(continued)
Bank of America Corp.
5.750%, 8/15/16	$	250	$	273
5.625%, 7/1/20		235		278
Barclays Bank plc 144A 6.050%, 12/4/17⁽³⁾		250		277
Boston Properties LP 3.850%, 2/1/23		380		399
Capital One Financial Corp. 6.150%, 9/1/16		355		406
Chubb Corp. (The) 6.375%, 3/29/67⁽²⁾		250		272
Citigroup, Inc. 5.000%, 9/15/14		510		537
CNL Lifestyle Properties, Inc. 7.250%, 4/15/19		225		216
Developers Diversified Realty Corp. 7.875%, 9/1/20		540		693
Development Bank of Kazakhstan JSC 144A 4.125%, 12/10/22⁽³⁾		290		292
Digital Realty Trust LP 5.250%, 3/15/21		625		691
E*trade Financial Corp. 6.375%, 11/15/19		175		180
Ford Motor Credit Co. LLC 5.000%, 5/15/18		380		420
General Electric Capital Corp. 1.600%, 11/20/17		240		240
General Motors Financial Co., Inc. 144A 4.750%, 8/15/17⁽³⁾		220		231
GFI Group, Inc. 8.625%, 7/19/18		620		547
Goldman Sachs Group, Inc. (The)
6.000%, 6/15/20		360		427
5.750%, 1/24/22		500		591
HCP, Inc. 2.625%, 2/1/20		300		299
HDTFS, Inc. 144A 5.875%, 10/15/20⁽³⁾		100		105
Highwoods Realty LP 3.625%, 1/15/23		270		264
Hutchison Whampoa International Ltd. Series 12 144A 6.000%^(2)(3)(7)(8)		310		329
Intelsat Jackson Holdings SA 144A 6.625%, 12/15/22⁽³⁾		175		181
International Lease Finance Corp. 4.875%, 4/1/15		250		259
Itau Unibanco Holding SA 144A 5.125%, 5/13/23⁽³⁾		295		302
JPMorgan Chase & Co.
3.450%, 3/1/16		365		388
4.400%, 7/22/20		425		479
3.250%, 9/23/22		735		756
Kazakhstan Temir Zholy Finance BV 144A 6.950%, 7/10/42⁽³⁾		215		270
Kazkommerts Bank International BV RegS 8.000%, 11/3/15⁽⁴⁾		115		111
KeyCorp 5.100%, 3/24/21		405		471
Lincoln National Corp. 4.200%, 3/15/22		530		568
Macquarie Bank Ltd. 144A 6.625%, 4/7/21⁽³⁾		15		17


	PAR VALUE		VALUE
Financials—(continued)
Morgan Stanley
5.550%, 4/27/17	$	330	$	366
5.500%, 7/28/21		200		227
6.375%, 7/24/42		435		509
Nordea Bank AB 144A 4.250%, 9/21/22⁽³⁾		265		273
Novatek OAO (Novatek Finance Ltd.) 144A 4.422%, 12/13/22^(3)(10)		285		286
PKO Finance AB 144A 4.630%, 9/26/22^(3)(10)		255		268
Post Apartment Homes LP 3.375%, 12/1/22		200		199
Prudential Financial, Inc.
7.375%, 6/15/19		250		317
8.875%, 6/15/38⁽²⁾		360		437
5.875%, 9/15/42⁽²⁾⁽⁸⁾		190		200
QGOG Constellation SA 144A 6.250%, 11/9/19⁽³⁾		220		230
Regions Financial Corp. 5.750%, 6/15/15		520		562
Resona Bank Ltd. 144A 5.850%^(2)(3)(7)(8)		830		893
Russian Agricultural Bank OJSC (RSHB Capital SA) 144A 5.298%, 12/27/17⁽³⁾		220		236
Santander Holdings USA, Inc. 3.000%, 9/24/15		200		204
Sberbank of Russia (Sberbank CapItal SA) 144A 5.125%, 10/29/22^(3)(10)		320		326
Spencer Spirit Holdings, Inc. (Spencer Gifts LLC, Spirit Halloween Superstores) 144A 11.000%, 5/1/17⁽³⁾		155		166
Turkiye Is Bankasi 144A 3.875%, 11/7/17⁽³⁾		335		341
UBS AG 7.625%, 8/17/22		500		552
United Rentals North America, Inc. 144A 7.375%, 5/15/20⁽³⁾		255		281
UPCB Finance VI Ltd. VI 144A 6.875%, 1/15/22⁽³⁾		165		179
Ventas Realty LP (Ventas Capital Corp.) 3.250%, 8/15/22		250		245
Wells Fargo & Co. 4.600%, 4/1/21		270		310

				22,578

Health Care—2.8%
Boston Scientific Corp. 6.000%, 1/15/20		305		356
CFR International SpA 144A 5.125%, 12/6/22⁽³⁾		200		208
Express Scripts Holding Co. 144A 2.650%, 2/15/17⁽³⁾		570		592
Gilead Sciences, Inc. 4.400%, 12/1/21		325		370
HCA, Inc. 6.500%, 2/15/20		330		372
inVentiv Health, Inc. 144A 9.000%, 1/15/18⁽³⁾		110		111
Mylan, Inc. PA 144A 3.125%, 1/15/23⁽³⁾		325		322


	PAR VALUE		VALUE
Health Care—(continued)
Tenet Healthcare Corp. 6.250%, 11/1/18	$	170	$	188
VPI Escrow Corp. 144A 6.375%, 10/15/20⁽³⁾		210		226
Watson Pharmaceuticals, Inc. 3.250%, 10/1/22		285		291

				3,036

Industrials—4.9%
Aircastle Ltd. 144A 6.250%, 12/1/19⁽³⁾		225		236
America West Airlines, Inc. Pass-Through-Trust Series 00-1, G 8.057%, 7/2/20		282		302
Belden, Inc. 144A 5.500%, 9/1/22⁽³⁾		110		114
CHC Helicopter SA 9.250%, 10/15/20		160		169
Continental Airlines Pass-Through-Trust
97-4, A 6.900%, 1/2/18		290		316
99-1, A 6.545%, 2/2/19		453		494
00-1, A-1 8.048%, 11/1/20		468		530
Delta Air Lines Pass-Through-Trust 12-1A, 1A 4.750%, 5/7/20		345		369
Hexion U.S. Finance Corp. 6.625%, 4/15/20		45		46
Iron Mountain, Inc. 5.750%, 8/15/24		390		397
Northwest Airlines Pass-Through-Trust 02-1, G2 6.264%, 11/20/21		391		414
ServiceMaster Co. 144A 7.000%, 8/15/20⁽³⁾		220		222
Spirit Aerosystems, Inc. 6.750%, 12/15/20		205		220
Sydney Airport Finance Co. Ltd. 144A 3.900%, 3/22/23⁽³⁾		305		311
U.S. Airways Pass-Through-Trust
99-1A 8.360%, 1/20/19		541		595
11-1 A 7.125%, 10/22/23		472		531

				5,266

Information Technology—1.4%
Dun & Bradstreet Corp. (The) 4.375%, 12/1/22		270		275
EarthLink, Inc. 8.875%, 5/15/19		165		174
First Data Corp. 144A 6.750%, 11/1/20⁽³⁾		275		279
Igloo Holdings Corp. PIK Capitalization Interest 144A 8.250%, 12/15/17⁽³⁾		45		45
NCR Corp. 144A 4.625%, 2/15/21⁽³⁾		215		216
SunGard Data Systems, Inc. 144A 6.625%, 11/1/19⁽³⁾		45		46
Xerox Corp. 4.500%, 5/15/21		425		450

				1,485

Materials—2.9%
Alpek SAB de CV 144A 4.500%, 11/20/22⁽³⁾		385		402


	PAR VALUE		VALUE
Materials—(continued)
Calumet Specialty Products Partners LP (Calumet Finance Corp.) 144A 9.625%, 8/1/20⁽³⁾	$	160	$	175
Cemex SAB de CV 144A 9.500%, 6/15/18⁽³⁾		200		225
Eldorado Gold Corp. 144A 6.125%, 12/15/20⁽³⁾		95		97
Eurochem Mineral & Chemical Co. OJSC (EuroChem GI Ltd.) 144A 5.125%, 12/12/17^(3)(10)		275		283
Ineos Finance plc 144A 8.375%, 2/15/19⁽³⁾		200		216
Methanex Corp. 3.250%, 12/15/19		215		216
NewMarket Corp. 144A 4.100%, 12/15/22⁽³⁾		288		293
Nufarm Australia Ltd. 144A 6.375%, 10/15/19⁽³⁾		305		320
PTT Global Chemical plc RegS 4.250%, 9/19/22⁽⁴⁾		225		233
Sappi Papier Holding GmbH 144A 7.750%, 7/15/17⁽³⁾		200		219
Sealed Air Corp. 144A 6.500%, 12/1/20⁽³⁾		60		65
Vale Overseas Ltd. 4.375%, 1/11/22		330		352

				3,096

Telecommunication Services—3.4%
AT&T, Inc. 3.875%, 8/15/21		425		473
CenturyLink, Inc. Series S, 6.450%, 6/15/21		495		547
Crown Castle Towers LLC 144A 4.883%, 8/15/20⁽³⁾		600		677
Digicel Group Ltd. 144A 8.250%, 9/30/20⁽³⁾		200		221
Frontier Communications Corp. 7.125%, 1/15/23		220		234
GCI, Inc. 8.625%, 11/15/19		200		214
Level 3 Financing, Inc. 144A 7.000%, 6/1/20⁽³⁾		160		168
Sprint Nextel Corp. 6.000%, 11/15/22		285		294
Univision Communications, Inc. 144A 6.750%, 9/15/22⁽³⁾		430		446
Windstream Corp. 7.750%, 10/15/20		330		358

				3,632

Utilities—1.9%
Abu Dhabi National Energy Co. 144A 2.500%, 1/12/18⁽³⁾		270		273
Calpine Corp.
144A 7.875%, 7/31/20⁽³⁾		125		141
144A 7.500%, 2/15/21⁽³⁾		351		389
CMS Energy Corp. 6.250%, 2/1/20		545		639
Dominion Resources, Inc. 8.875%, 1/15/19		100		137
NRG Energy, Inc. 7.625%, 5/15/19		195		209


	PAR VALUE		VALUE
Utilities—(continued)
Targa Resources Partners LP (Targa Resources Partners Finance Corp.) 144A 5.250%, 5/1/23⁽³⁾	$	225	$	234

				2,022

TOTAL CORPORATE BONDS AND NOTES (Identified Cost $51,325)				54,072

CONVERTIBLE BONDS—0.6%
General Electric Capital Corp. Series A 7.125%, 12/15/49⁽²⁾		590		667

TOTAL CONVERTIBLE BONDS (Identified Cost $590)				667

LOAN AGREEMENTS⁽²⁾—7.1%
Consumer Discretionary—1.1%
Caesars Entertainment Operating Co., Inc. (Harrah’s Operating Company, Inc.) Tranche B-6, 5.460%, 1/28/18		240		215
EB Sports Corp. 11.500%, 12/31/15		170		170
Leslie’s Poolmart, Inc. 4.170%, 10/16/19		160		161
MGM Resorts International (MGM Mirage) Tranche B, 4.250%, 12/20/19		28		28
Party City Holdings, Inc. 5.750%, 7/27/19		125		126
Peppermill Casinos, Inc. Tranche B, 7.250%, 11/9/18		217		213
Riverbed Technology, Inc. 0.000%, 12/18/19		68		69
Sequa Automotive Group 6.250%, 11/15/18		165		164
Tribune Co. 0.000%, 7/30/19		72		72

				1,218

Consumer Staples—0.5%
AdvancePierre Foods, Inc. First Lien, 9.500%, 10/10/17		210		215
Pinnacle Foods Finance LLC Tranche E, 4.750%, 10/17/18		103		104
Supervalu, Inc. 8.000%, 8/30/18		160		162

				481

Energy—0.4%
Chesapeake Energy Corp. 5.750%, 12/2/17		215		216
Frac Tech International LLC 8.500%, 5/6/16		220		183

				399

Financials—0.5%
iStar Financial, Inc. 5.750%, 10/15/17		208		210


	PAR VALUE		VALUE
Financials—(continued)
Nuveen Investments, Inc. Second Lien, 0.000%, 2/28/19	$	215	$	220
Walter Investment Management Corp. Tranche B, 5.750%, 11/28/17		135		136

				566

Health Care—1.0%
Ardent Medical Services, Inc.
0.000%, 11/2/18		79		81
0.000%, 11/21/18		69		70
Aveta, Inc. (MMM Holdings, Inc.) 9.750%, 10/26/17		69		70
Houghton International, Inc. First Lien, 0.000%, 7/30/19		220		222
MSO of Puerto Rico, Inc. 9.750%, 10/26/17		51		51
Par Pharmaceutical Tranche B, 0.000%, 9/30/19		360		360
Pharmaceutical Research Associates, Inc. 0.000%, 12/10/17		160		160
United Surgical Partners International, Inc. Tranche B, 0.000%, 4/3/19		56		56

				1,070

Industrials—1.1%
Alliance Laundry Systems LLC
First Lien, 5.500%, 12/10/18		220		222
Second Lien, 9.500%, 12/10/19		30		30
Aluma Systems, Inc. Tranche-1 6.250%, 10/23/18		31		31
AWAS Finance Luxemborg S.A. 4.750%, 7/16/18		80		81
Brand Energy & Infrastructure Services, Inc.
Tranche B-1 6.250%, 10/23/18		129		128
Tranche B-1 6.250%, 10/23/19		105		104
CHG Buyer Corp.
First Lien, 5.000%, 11/19/19		165		165
Second Lien, 9.000%, 11/19/20		52		52
MRC Global, Inc. 6.250%, 11/8/19		157		158
Silver II Borrower S.C.A. ( Silver US Holdings, LLC) 5.000%, 12/13/19		209		211

				1,182

Information Technology—1.5%
Blue Coat Systems, Inc. 5.750%, 2/15/18		274		276
CCC Information Services Group, Inc. 0.000%, 12/31/19		91		92


	PAR VALUE		VALUE
Information Technology—(continued)
Go Daddy Operating Co. LLC Tranche B-1, 5.500%, 12/17/18	$	234	$	236
IPC Systems, Inc. Tranche C First Lien, 7.750%, 7/31/17		165		161
Ipreo Holdings LLC
Tranche B-2 6.500%, 8/7/17		161		162
Tranche B-3 6.500%, 8/7/17		44		44
RP Crown Parent LLC 0.000%, 12/14/17		53		53
SCS Holdings, Inc. 0.000%, 12/7/18		118		119
Spansion LLC 5.250%, 12/13/18		70		70
Sungard Data Systems, Inc. Tranche D 4.500%, 1/31/20		24		24
Veyance Technologies, Inc. Second Lien, 0.000%, 7/31/15		230		223
Wall Street Systems Holdings, Inc. Second Lien, 0.000%, 10/25/20		110		110

				1,570

Materials—1.0%
Essar Steel Algoma, Inc. (Algoma Steel, Inc.) 8.750%, 9/19/14		214		213
Fortescue Metals Group Ltd. 5.250%, 10/18/17		284		287
Houghton International, Inc. Second Lien, 10.500%, 12/17/20		110		109
Kronos, Inc.
First Lien, 5.500%, 10/30/19		39		40
Second Lien, 9.750%, 4/30/20		110		110
Tomkin Air 5.000%, 11/9/18		62		63
Trinseo Materials Operating S.C.A. (Styron S.A.R.L) 8.000%, 8/2/17		270		264

				1,086

TOTAL LOAN AGREEMENTS (Identified Cost $7,546)				7,572


	SHARES		VALUE
PREFERRED STOCK—0.7%
Financials—0.7%
Citigroup Capital XIII 7.875%,		16,200		452
JPMorgan Chase & Co. Series 1 7.90%⁽²⁾		280,000		317

TOTAL PREFERRED STOCK (Identified Cost $685)				769


	SHARES		VALUE
TOTAL LONG TERM INVESTMENTS—99.0% (Identified cost $101,643)				106,093

SHORT-TERM INVESTMENTS—2.2%
Money Market Mutual Funds—2.2%
BlackRock Liquidity Funds TempFund Portfolio - Insitutional Shares (seven-day effective yield 0.140%)		2,385,607	$	2,386

TOTAL SHORT-TERM INVESTMENTS (Identified Cost $2,386)				2,386

TOTAL INVESTMENTS—101.2% (Identified Cost $104,029)				108,479	⁽¹⁾
Other assets and liabilities, net—(1.2)%				(1,255	)

NET ASSETS—100.0%			$	107,224


Abbreviations:

AGM		Assured Guaranty Municipal Corp.
FHLMC		Federal Home Loan Mortgage Corporation (“Freddie Mac”).
FNMA		Federal National Mortgage Association (“Fannie Mae”).
GNMA		Government National Mortgage Association (“Ginnie Mae”)
PIK		Payment-in-Kind Security

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at December 31, 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 December 31, 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 December 31, 2012, these securities amounted to a value of $28,123 or 26.2% of net assets.

⁽⁴⁾	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.

⁽⁵⁾	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.

⁽⁶⁾	Illiquid security.

⁽⁷⁾	No contractual maturity date

⁽⁸⁾	Interest payments may be deferred.

⁽⁹⁾	Amounts are less than $500.

⁽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.

Foreign Currencies:

AUD	Australian Dollar

BRL	Brazilian Real

CAD	Canadian Dollar

COP	Colombian Peso

EUR	European Currency Unit

MXN	Mexican Peso

NOK	Norwegian Krone

NZD	New Zealand Dollar

PEN	Peruvian Nuevo Sol

The following table provides a summary of inputs used to value the Fund’s investments as of December 31, 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
MUNICIPAL TAX-EXEMPT BONDS⁽²⁾—98.7%
Development Revenue—6.0%
Hercules Redevelopment Agency, Tax-Allocation (AMBAC Insured) 5.000%, 8/1/29	$	500	$	340
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		505
Santa Clara Redevelopment Agency, (NATL Insured) 5.000%, 6/1/22		1,000		1,012

				3,359

General Obligation—15.1%
Brea Olinda Unified School District, Series A (NATL, FGIC Insured) 6.000%, 8/1/15		150		170
Contra Costa Community College District, 4.000%, 8/1/28		200		224
Gilroy Unified School District, (NATL, FGIC Insured) 5.000%, 8/1/27		500		510
Los Angeles Unified School District, 2002 Election Series C (AGM Insured) 5.000%, 7/1/24		500		576
Series A-1 (NATL Insured) 4.500%, 1/1/28		500		551
New Haven Unified School District, (AGC Insured) 0.000%, 8/1/33		1,500		565
Norwalk - La Mirada Unified School District, 2002 Election Series D (AGM Insured) 0.000%, 8/1/33		1,475		564
Placer Union High School District, (AGM Insured) 0.000%, 8/1/32		1,500		592
Rancho Santiago Community College District, 2002 Election Series C (AGM Insured) 0.000%, 9/1/27		1,200		650
San Rafael City High School District, 2002 Election Series B (NATL, FGIC Insured) 0.000%, 8/1/26		1,000		567
Sequoia Union High School District 4.000%, 7/1/26		250		278
State of California, 5.500%, 3/1/26		500		587


	PAR VALUE		VALUE
General Obligation—(continued)
5.000%, 6/1/32	$	675	$	745
5.000%, 9/1/32		500		572
5.000%, 11/1/32		250		278
4.500%, 10/1/36		500		532
5.000%, 12/1/37		250		276
6.000%, 4/1/38		250		299

				8,536

General Revenue—19.7%
Anaheim Public Financing Authority, Series C (AGM Insured) 6.000%, 9/1/16		1,600		1,812
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		531
Golden State Tobacco Securitization Corp., Series A-1 5. 125%, 6/1/47		1,250		1,074
Los Angeles County Public Works Financing Authority, Series A (AGM Insured) 5.500%, 10/1/18		285		312
North City West School Facilities Financing Authority, Series B (AMBAC Insured) 5.250%, 9/1/19		1,000		1,180
Sacramento Area Flood Control Agency, (BHAC Insured) 5.500%, 10/1/28		350		411
5.000%, 10/1/37		750		835
South Bay Regional Public Communications Authority, Series B (ACA Insured) 4.750%, 1/1/31		535		524
State of California Public Works Board, Department of Health Services, Series B (XLCA Insured) 5.000%, 11/1/17		460		507
Department of General Services, Series A 6.125%, 4/1/29		500		605
Various Capital Projects, Series G-1 5.750%, 10/1/30		550		643
Department of Forestry & Fire Protection, Series E 5.000%, 11/1/32		500		539
University of California, Department of Mental Health, Series A 5.500%, 6/1/16		1,000		1,069

				11,083


	PAR VALUE		VALUE
Higher Education Revenue—7.9%
California Educational Facilities Authority, Univesity of Southern California, Series A 5.000%, 10/1/23	$	250	$	321
Stanford University, 5.250%, 4/1/40		500		694
Pomona Colllege, Series A 5.000%, 7/1/45		500		541
California State University, Series A (NATL, FGIC Insured) 5.250%, 11/1/38		635		727
University of California, Series D (NATL, FGIC Insured) 5.000%, 5/15/28		500		564
Regents Medical, Series A 4.750%, 5/15/31		500		536
Series G (NATL, FGIC Insured) 4.750%, 5/15/35		525		537
Series B 4.750%, 5/15/38		500		513

				4,433

Medical Revenue—4.5%
California Health Facilities Financing Authority, Cedars-Sinai Medical Center, 5.000%, 11/15/34		500		535
Providence Health & Services, Series C 6.500%, 10/1/38		295		357
Kaiser Permanente, Series A 5.250%, 4/1/39		500		546
California Statewide Communities Development Authority, Kaiser Permanente, Series B 5.000%, 3/1/41		500		537
St. Joseph Health System, (FGIC Insured) 5.750%, 7/1/47		500		554

				2,529

Natural Gas Revenue—1.5%
Roseville Natural Gas Financing Authority, 5.000%, 2/15/24		750		845

Power Revenue—4.1%
Imperial Irrigation District, Series B 5.000%, 11/1/36		300		335
Northern California Power Agency, 5.000%, 7/1/32		200		233
Sacramento Municipal Utilities District Financing Authority, (NATL Insured) 4.750%, 7/1/26		500		534
5.000%, 8/15/26		500		600
Southern California Public Power Authority, Series 1, 5.000%, 7/1/28		500		587

				2,289


	PAR VALUE		VALUE
Pre-Refunded—19.3%
Bay Area Toll Authority, Toll Bridge San Fransisco Bay Area , Series F (Pre-refunded 4/1/16 @ $100) 5.000%, 4/1/18	$	1,000	$	1,140
California Health Facilities Financing Authority, Stanford Hospital and Clinics, Series A (Pre-refunded 11/15/13 @ $100) 5.000%, 11/15/14		125		130
Providence Health & Services, Series C (Pre-refunded 10/1/18 @100) 6.500%, 10/1/38		5		6
California Infrastructure & Economic Development Bank, (Pre-refunded 7/1/26 @100) (AMBAC Insured) 5.125%, 7/1/37		755		1,025
California State University, Series A (Pre-refunded 5/1/13 @ $100) (NATL, FGIC Insured) 5.000%, 11/1/26		250		254
Contra Costa County Home Mortgage, (GNMA Collateralized) 7.500%, 5/1/14⁽³⁾		500		548
El Dorado Irrigation District & El Dorado Water Agency, Certificates of Participation, Series A (Pre-refunded 3/1/13 @ $100) (NATL, FGIC Insured) 5.250%, 3/1/16		365		368
Grossmont-Cuyamaca Community College District, Election of 2002 Series A (Pre-refunded 8/1/13 @100) (NATL Insured) 5.000%, 8/1/19		210		216
Los Angeles Harbor Department, 7.600%, 10/1/18⁽³⁾		595		720
Metropolitan Water District of Southern California, Series B-1 (Pre-refunded 10/1/13 @100) (NATL, FGIC Insured) 5.000%, 10/1/36		140		145
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 A (GNMA Collateralized) 7.800%, 5/1/21⁽³⁾		4,000		5,859
Stockton Housing Facility, Series A (Pre-refunded 9/20/17 @ 100) (GNMA Collateralized) 5.600%, 3/20/28		180		181

				10,863

Transportation Revenue—7.0%
Bay Area Toll Authority,
Series F-1 5.000%, 4/1/34		500		567
Series F-1 5.125%, 4/1/39		580		655


	PAR VALUE		VALUE
Transportation Revenue—(continued)
City of Long Beach Airport, Series A 5.000%, 6/1/30	$	200	$	224
Imperial County Transportation Authority, Series E 4.000%, 6/1/20		500		545
Los Angeles International Airport, Series A 5.000%, 5/15/40		510		573
San Diego County Regional Airport Authority,
Series B 5.000%, 7/1/40		500		544
Series A 5.000%, 7/1/40		250		272
San Francisco Municipal Transporation Agency, 5.000%, 3/1/42		500		559

				3,939

Water & Sewer Revenue—13.6%
Alameda County Water District Financing Authority, 3.500%, 6/1/41		1,000		998
California State Department of Water Resources 5.000%, 12/1/28		215		251
City of San Francisco Public Utilities Commission, Water Revenue
4.000%, 11/1/32		250		271
4.000%, 11/1/41		500		515
City of Santa Rosa Wastewater Revenue, Series A 5.000%, 9/1/33		500		580
Delta Diablo Sanitation District, Certificates of Participation (NATL Insured) 0.000%, 12/1/16		1,070		989
East Bay Municipal Utility District, 5.000%, 6/1/20		250		315
(NATL Insured) 5.000%, 6/1/35		500		542
Irvine Ranch Water District, Certificates of Participation, 5.000%, 3/1/24		500		585
Los Angeles Department of Water & Power, 5.000%, 7/1/25		700		866
Orange County Sanitation District, Series A 3.000%, 2/1/31		750		771
Sacramento Suburban Water District, 5.000%, 11/1/25		250		304
Santa Margarita-Dana Point Authority, 5.125%, 8/1/38		600		681

				7,668

TOTAL MUNICIPAL TAX-EXEMPT BONDS (Identified Cost $50,617)				55,544

TOTAL LONG TERM INVESTMENTS—98.7% (Identified cost $50,617)				55,544


	SHARES		VALUE
SHORT-TERM INVESTMENTS—1.1%
Money Market Mutual Funds—1.1%
BlackRock Liquidity Funds TempFund Portfolio - Insitutional Shares (seven-day effective yield 0.140%)		609,557	$	610

TOTAL SHORT-TERM INVESTMENTS (Identified Cost $610)				610

TOTAL INVESTMENTS—99.8% (Identified Cost $51,227)				56,154	⁽¹⁾
Other assets and liabilities, net—0.2%				132

NET ASSETS—100.0%			$	56,286

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.
VA		Department of Veterans Affairs
XLCA		XL Capital Assurance

Footnote Legend

⁽¹⁾	Federal Income Tax Information: For tax information at December 31, 2012, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾

At December 31, 2012, the concentration of the Fund’s investments by state or territory determined as a percentage of net assets is as follows: California 99%. At December 31, 2012, 48% 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 14.4% AND GNMA 11.7%.

⁽³⁾	Escrowed to maturity.

The following table provides a summary of inputs used to value the Fund’s investments as of December 31, 2012 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

($ reported in thousands)


	SHARES		VALUE
EXCHANGE-TRADED FUNDS—99.0%
iShares Russell 1000^(R)Value Index Fund		4,500	$	328
iShares Russell 2000^(R)Value Index Fund		4,400		332
iShares Russell Midcap^(R)Value Index Fund		6,600		331

TOTAL EXCHANGE- TRADED FUNDS (Identified Cost $998)				991

TOTAL LONG TERM INVESTMENTS—99.0% (Identified cost $998)				991

SHORT-TERM INVESTMENTS—1.0%
Money Market Mutual Funds—1.0%
BlackRock Liquidity Funds TempFund Portfolio - Insitutional Shares (seven-day effective yield 0.140%)		9,912		10

TOTAL SHORT-TERM INVESTMENTS (Identified Cost $10)				10

TOTAL INVESTMENTS—100.0% (Identified Cost $1,008)				1,001	⁽¹⁾
Other assets and liabilities, net—0.0%				0	⁽²⁾

NET ASSETS—100.0%			$	1,001

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at December 31, 2012, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Amounts are less than $500 (not reported in 000s).

The following table provides a summary of inputs used to value the Fund’s investments as of December 31, 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
EXCHANGE-TRADED FUNDS—98.9%
iShares Barclays Treasury Inflation Protected Securities Bond Fund		4,060	$	493
iShares iBoxx $ High Yield Corporate Bond Fund		1,330		124
iShares iBoxx Investment Grade Corporate Bond Fund		3,070		372

TOTAL EXCHANGE-TRADED FUNDS (Identified Cost $991)				989

TOTAL LONG TERM INVESTMENTS—98.9% (Identified cost $991)				989

SHORT-TERM INVESTMENTS—0.4%
Money Market Mutual Funds—0.4%
BlackRock Liquidity Funds TempFund Portfolio - Insitutional Shares (seven-day effective yield 0.140%)		3,985		4

TOTAL SHORT-TERM INVESTMENTS (Identified Cost $4)				4

TOTAL INVESTMENTS—99.3% (Identified Cost $995)				993	⁽¹⁾
Other assets and liabilities, net—0.7%				7

NET ASSETS—100.0%			$	1,000

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at December 31, 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 December 31, 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
EXCHANGE-TRADED FUNDS—99.4%
iShares MSCI Australia Index Fund		3,740	$	94
iShares MSCI France Index Fund		4,000		95
iShares MSCI Germany Index Fund		3,440		85
iShares MSCI Hong Kong Index Fund		1,660		32
iShares MSCI Italy Index Fund		1,700		23
iShares MSCI Japan Index Fund		23,560		230
iShares MSCI Netherlands Investable Market Index Fund		1,370		28
iShares MSCI Singapore Index Fund		1,390		19
iShares MSCI Spain Index Fund		1,000		30
iShares MSCI Sweden Index Fund		1,100		33
iShares MSCI Switzerland Index Fund		3,370		90
iShares MSCI United Kingdom Index Fund		13,700		246

TOTAL EXCHANGE-TRADED FUNDS (Identified Cost $994)				1,005

TOTAL LONG TERM INVESTMENTS—99.4% (Identified cost $994)				1,005

SHORT-TERM INVESTMENTS—0.6%
Money Market Mutual Funds—0.6%
BlackRock Liquidity Funds TempFund Portfolio - Insitutional Shares (seven-day effective yield 0.140%)		6,065		6

TOTAL SHORT-TERM INVESTMENTS (Identified Cost $6)				6

TOTAL INVESTMENTS—100.0% (Identified Cost $1,000)				1,011	⁽¹⁾
Other assets and liabilities, net—(0.1)%				(1	)

NET ASSETS—100.0%			$	1,010

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at December 31, 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 December 31, 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
EXCHANGE-TRADED FUNDS—124.9%
Consumer Discretionary Select Sector SPDR Fund		1,301,000	$	61,706
Consumer Staples Select Sector SPDR Fund		1,740,200		60,611
Energy Select Sector SPDR Fund		848,400		60,610
Financial Select Sector SPDR Fund		3,723,700		61,069
Health Care Select Sector SPDR Fund		1,530,200		61,132
Industrial Select Sector SPDR Fund		1,618,000		61,322
Materials Select Sector SPDR Fund		1,635,200		61,385
Utilities Select Sector SPDR Fund		1,740,400		60,827

TOTAL EXCHANGE-TRADED FUNDS (Identified Cost $474,568)				488,662

TOTAL LONG TERM INVESTMENTS—124.9% (Identified cost $474,568)				488,662

SHORT-TERM INVESTMENT—0.7%
Money Market Mutual Funds—0.7%
Dreyfus Cash Management Fund—Institutional Shares (seven-day effective yield 0.090%)		2,690,026		2,690

TOTAL SHORT-TERM INVESTMENTS (Identified Cost $2,690)				2,690

TOTAL INVESTMENTS—125.6% (Identified Cost $477,258)				491,352	⁽¹⁾
SECURITIES SOLD SHORT—(5.5)% (Proceeds ($21,065))				(21,714	)
Other assets and liabilities, net—(20.0)%				(78,339	)

NET ASSETS—100.0%			$	391,299

SECURITIES SOLD SHORT—5.5%
EXCHANGE-TRADED FUNDS SOLD SHORT—(5.5)%
Technology Select Sector SPDR Fund		750,055		(21,714	)

TOTAL EXCHANGE-TRADED FUNDS SOLD SHORT—(5.5)% (Proceeds ($21,065))				(21,714	)

TOTAL SECURITIES SOLD SHORT—(5.5)% (Proceeds ($21,065))				(21,714	)⁽¹⁾


Abbreviations:

SPDR S&P Depositary Receipt

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at December 31, 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 December 31, 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—28.1%
Bolivarian Republic of Venezuela
RegS 5.750%, 2/26/16⁽⁵⁾	$	230		$	220
RegS 7.000%, 12/1/18⁽⁵⁾		70			66
RegS 12.750%, 8/23/22⁽⁵⁾		30			35
7.650%, 4/21/25		775			686
9.375%, 1/13/34		325			323
KIngdom of Morocco 144A 4.250%, 12/11/22⁽⁴⁾		200			202
Kingdom of Spain 5.850%, 1/31/22		30	^EUR		41
Mongolia 144A 5.125%, 12/5/22⁽⁴⁾		200			197
Republic of Angola (Northern Lights III BV) RegS 7.000%, 8/16/19⁽⁵⁾		250			277
Republic of Argentina PIK Interest Capitalization 8.280%, 12/31/33		376			271
Republic of Belarus 8.950%, 1/26/18		100			104
Republic of Chile 5.500%, 8/5/20		83,500	^CLP		194
Republic of Croatia 144A 6.375%, 3/24/21⁽⁴⁾		300			341
Republic of Ecuador 144A 9.375%, 12/15/15⁽⁴⁾		100			101
Republic of El Salvador 144A 7.650%, 6/15/35⁽⁴⁾		250			287
Republic of Hungary 6.375%, 3/29/21		110			122
Republic of Iceland 144A 5.875%, 5/11/22⁽⁴⁾		250			279
Republic of Indonesia Series FR-30, 10.750%, 5/15/16		2,000,000	^IDR		247
Republic of Ivory Coast 144A 3.750%, 12/31/32⁽⁴⁾		100			93
Republic of Peru 144A 6.900%, 8/12/37⁽⁴⁾		400	^PEN		200
Republic of Poland 5.750%, 10/25/21		300	^PLZ		112
Republic of Romania 144A 6.750%, 2/7/22⁽⁴⁾		150			183
Republic of Serbia 144A 6.750%, 11/1/24⁽³⁾⁽⁴⁾		160			162
Republic of Slovenia 144A 5.500%, 10/26/22⁽⁴⁾		200			210
Republic of South Africa Series R-208 6.750%, 3/31/21		1,470	^ZAR		177
Republic of Turkey
9.000%, 3/8/17		400	^TRY		246
5.125%, 3/25/22		200			230
6.750%, 5/30/40		225			305
Republic of Ukraine
144A 7.950%, 6/4/14⁽⁴⁾		200			204
144A 7.750%, 9/23/20⁽⁴⁾		325			336
Republic of Zambia 144A 5.375%, 9/20/22⁽⁴⁾		200			200
Russian Federation 144A 5.625%, 4/4/42⁽⁴⁾		250			311
United Mexican States Series M, 6.000%, 6/18/15		3,855	^MXN		306
Series M, 6.500%, 6/9/22		2,250	^MXN		188

TOTAL FOREIGN GOVERNMENT SECURITIES (Identified Cost $7,153)					7,456


	PAR VALUE		VALUE
CORPORATE BONDS AND NOTES—69.2%
Australia—0.3%
FMG Resources Property Ltd. 144A 8.250%, 11/1/19⁽⁴⁾	$	75	$	80

Austria—0.8%
Sappi Papier Holding GmbH 144A 8.375%, 6/15/19⁽⁴⁾		200		219

Bermuda—1.2%
Aircastle Ltd. 144A 6.250%, 12/1/19⁽⁴⁾		100		105
Digicel Group Ltd. 144A 8.250%, 9/30/20⁽⁴⁾		200		221

				326

Brazil—7.1%
Banco ABC Brasil SA 144A 7.875%, 4/8/20⁽⁴⁾		100		110
Banco do Brasil S.A. 144A 9.250%^(3)(4)(7)(8)		200		248
Banco Votorantim SA 144A 7.375%, 1/21/20⁽⁴⁾		125		140
Embraer SA 5.150%, 6/15/22		100		110
Gerdau Holdings, Inc. 144A 7.000%, 1/20/20⁽⁴⁾		125		145
Itau Unibanco Holding SA RegS 5.650%, 3/19/22⁽⁵⁾		250		263
OGX Austria GmbH 144A 8.375%, 4/1/22⁽⁴⁾		225		188
QGOG Constellation SA 144A 6.250%, 11/9/19⁽⁴⁾		200		209
Telemar Norte Leste SA 144A 5.500%, 10/23/20⁽⁴⁾		250		260
Vale SA 5.625%, 9/11/42		200		217

				1,890

Canada—0.2%
Eldorado Gold Corp. 144A 6.125%, 12/15/20⁽⁴⁾		45		46

Cayman Islands—7.2%
Agile Property Holdings Ltd. 144A 8.875%, 4/28/17⁽⁴⁾		100		109
Braskem Finance Ltd. 144A 5.750%, 4/15/21⁽⁴⁾		250		263
Hutchison Whampoa International Ltd. Series 12 144A 6.000%, 5/29/49^(3)(4)(7)(8)		325		345
IPIC GMTN Ltd. 144A 6.875%, 11/1/41⁽⁴⁾		250		356
MIE Holdings Corp. 144A 9.750%, 5/12/16⁽⁴⁾		200		219
Odebrecht Finance Ltd. 144A 6.000%, 4/5/23⁽⁴⁾		252		291


	PAR VALUE		VALUE
Cayman Islands—(continued)
Petrobras International Finance Co. 6.750%, 1/27/41	$	100	$	126
Voto-Votorantim Ltd. 144A 6.750%, 4/5/21⁽⁴⁾		175		205

				1,914

Chile—1.5%
Banco Santander Chile 144A 3.875%, 9/20/22⁽⁴⁾		200		205
Cencosud SA 144A 4.875%, 1/20/23⁽⁴⁾		200		204

				409

Colombia—1.0%
Bancolombia SA 5.125%, 9/11/22		250		260

Croatia—0.8%
Hrvatska Elektroprivreda 144A 6.000%, 11/9/17⁽⁴⁾		200		211

Georgia—0.8%
Bank of Georgia JSC 144A 7.750%, 7/5/17⁽⁴⁾		200		203

India—0.6%
ICICI Bank Ltd. 144A 6.375%, 4/30/22⁽³⁾⁽⁴⁾		150		152

Indonesia—3.1%
Pertamina Persero PT
144A 5.250%, 5/23/21⁽⁴⁾		200		225
144A 6.000%, 5/3/42⁽⁴⁾		275		311
Perusahaan Listrik Negara PT 144A 5.500%, 11/22/21⁽⁴⁾		250		284

				820

Ireland—4.3%
Alfa Bank OJSC (Alfa Bond Issuance plc) 144A 7.500%, 9/26/19⁽⁴⁾⁽⁶⁾		200		212
Eurochem Mineral & Chemical Co. OJSC (EuroChem GI Ltd.) 144A 5.125%, 12/12/17⁽⁴⁾⁽⁶⁾		200		206
Novatek OAO (Novatek Finance Ltd.) 144A 4.422%, 12/13/22⁽⁴⁾⁽⁶⁾		200		201
Vimpel Communications OJSC (VIP Finance Ireland Ltd.) 144A 9.125%, 4/30/18⁽⁴⁾		250		304
Vnesheconombank (VEB Finance plc) 144A 6.800%, 11/22/25⁽⁴⁾⁽⁶⁾		175		214

				1,137

Israel—0.8%
Israel Electric Corp. Ltd. RegS 7.250%, 1/15/19		200		217


	PAR VALUE		VALUE
Italy—0.4%
Telecom Italia Capital SA 7.175%, 6/18/19	$	100	$	116

Kazakhstan—3.7%
Development Bank of Kazakhstan JSC 144A 4.125%, 12/10/22⁽⁴⁾		200		202
Eurasian Development Bank 144A 4.767%, 9/20/22⁽⁴⁾		200		207
Kazakhstan Temir Zholy Finance BV 144A 6.950%, 7/10/42⁽⁴⁾		200		251
Kazkommerts Bank International BV 144A 7.875%, 4/7/14⁽⁴⁾		100		101
Zhaikmunai LP (Zhaikmanai International BV) 144A 7.125%, 11/13/19⁽⁴⁾		200		210

				971

Luxembourg—5.6%
ALROSA Finance SA 144A 7.750%, 11/3/20⁽⁴⁾		200		233
Altice Financing SA 144A 7.875%, 12/15/19⁽⁴⁾		200		212
Gazprom Neft OAO (GPN Capital SA) 144A 4.375%, 9/19/22⁽⁴⁾		200		205
Gazprom OAO (Gaz Capital SA) RegS 6.510%, 3/7/22⁽⁵⁾		150		179
Russian Agricultural Bank OJSC (RSHB Capital SA) 144A 6.299%, 5/15/17⁽⁴⁾		125		138
Sberbank of Russia (Sberbank CapItal SA) 144A 5.125%, 10/29/22⁽⁴⁾⁽⁶⁾		200		204
Severstal OAO (Steel Capital SA) 144A 6.700%, 10/25/17⁽⁴⁾⁽⁶⁾		100		110
Wind Acquisition Finance S.A. 144A 7.250%, 2/15/18⁽⁴⁾		200		204

				1,485

Mexico—6.6%
Alpek SA de CV 144A 4.500%, 11/20/22⁽⁴⁾		200		209
America Movil SAB de CV Series 12 6.450%, 12/5/22		2,000		159
Banco Bilbao Vizcaya Argentaria Bancomer SA 144A 6.750%, 9/30/22⁽⁴⁾		150		169
Cemex SAB de CV 144A 9.500%, 6/15/18⁽⁴⁾		200		224
Mexichem SAB de CV 144A 4.875%, 9/19/22⁽⁴⁾		200		216
Petroleos Mexicanos
6.500%, 6/2/41		225		282
144A 5.500%, 6/27/44⁽⁴⁾		450		495

				1,754


	PAR VALUE		VALUE
Netherlands—3.2%
Ajecorp BV 6.500%, 5/14/22⁽⁴⁾	$	150	$	163
MDC-GMTN BV 144A 5.500%, 4/20/21⁽⁴⁾		250		291
OAO Lukoil International Finance BV 144A 6.125%, 11/9/20⁽⁴⁾⁽⁶⁾		350		404

				858

Paraguay—0.8%
Telefonica Celular del Paraguay SA 6.750%, 12/13/22⁽⁴⁾		200		210

Peru—2.6%
Banco Bilbao Vizcaya Argentaria S.A. Banco Continental SA 144A 5.000%, 8/26/22⁽⁴⁾		125		133
Banco de Credito del Peru 144A 5.375%, 9/16/20⁽⁴⁾		200		222
Banco Internacional del Peru SAA 144A 5.750%, 10/7/20⁽⁴⁾		100		109
Volcan Compania Minera SAA 144A 5.375%, 2/2/22⁽⁴⁾		200		221

				685

Russia—1.6%
Brunswick Rail Finance Ltd. 144A 6.500%, 11/1/17⁽⁴⁾		200		210
VTB Bank OJSC 144A 9.500%, 12/1/49⁽⁴⁾⁽⁶⁾		200		215

				425

Sweden—0.8%
PKO Finance AB 144A 4.630%, 9/26/22⁽⁴⁾⁽⁶⁾		200		211

Thailand—0.8%
PTT Global Chemical pcl 144A 4.250%, 9/19/22⁽⁴⁾		200		207

Trinidad and Tobago—0.3%
Petroleum Co. of Trinidad & Tobago Ltd. RegS 6.000%, 5/8/22⁽⁵⁾		79		87

Turkey—2.4%
Turkiye
Vakiflar Bankasi Tao 144A 5.750%, 4/24/17⁽⁴⁾		200		216
Garanti Bankasi AS 144A 5.250%, 9/13/22⁽⁴⁾		200		215
Is Bankasi AS 144A 6.000%, 10/24/22⁽⁴⁾		200		212

				643

Ukraine—1.6%
DP World Ltd. 144A 6.850%, 7/2/37⁽⁴⁾		250		293


	PAR VALUE			VALUE
Ukraine—(continued)
National JSC Naftogaz of Ukraine 9.500%, 9/30/14	$	125		$	129

					422

United Arab Emirates—1.2%
Abu Dhabi National Energy Co. 144A 5.875%, 12/13/21⁽⁴⁾		275			328

United Kingdom—0.4%
Lloyds TSB Bank plc 144A 6.500%, 9/14/20⁽⁴⁾		100			110

United States—2.2%
Igloo Holdings Corp. PIK Interset Capitalization 144A 8.250%, 12/15/17⁽⁴⁾		30			30
Morgan Stanley 144A 10.090%, 5/3/17⁽⁴⁾		250	^BRL		132
Pactiv LLC 8.125%, 6/15/17		100			100
Reliance Holdings USA, Inc. 144A 5.400%, 2/14/22⁽⁴⁾		250			280
Sealed Air Corp. 144A 6.500%, 12/1/20⁽⁴⁾		25			27

					569

Venezuela—4.7%
Petroleos de Venezuela SA RegS 8.500%, 11/2/17⁽⁵⁾		1,260			1,247

Virgin Islands (British)—0.6%
Arcos Dorados Holdings, Inc. 144A 10.250%, 7/13/16⁽⁴⁾		275	^BRL		144

TOTAL CORPORATE BONDS AND NOTES (Identified Cost $17,677)					18,356

TOTAL LONG TERM INVESTMENTS—97.3% (Identified cost $24,830)					25,812


	SHARES			VALUE
SHORT-TERM INVESTMENTS—1.5%
Money Market Mutual Funds—1.5%
BlackRock Liquidity Funds TempFund Portfolio - Insitutional Shares (seven-day effective yield 0.140%)		395,444			395

TOTAL SHORT-TERM INVESTMENTS (Identified Cost $395)					395

TOTAL INVESTMENTS—98.8% (Identified Cost $25,225)					26,207	⁽¹⁾
Other assets and liabilities, net—1.2%					331

NET ASSETS—100.0%				$	26,538

Abbreviations:

PIK	Payment-in-Kind Security

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at December 31, 2012, see Note 11 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽³⁾	Variable or step coupon security; interest rate shown reflects the rate in effect at December 31, 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 December 31, 2012, these securities amounted to a value of $18,170 or 68.5% 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⁾	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.

⁽⁷⁾	No contractual maturity date

⁽⁸⁾	Interest payments may be deferred.

The following table provides a summary of inputs used to value the Fund’s investments as of December 31, 2012 (See Security Valuation Note 1A in the Notes to Schedules of Investments):


	SHARES		VALUE
PREFERRED STOCK—5.0%
Consumer Staples—2.1%
Cia Brasileira de Distribuicao Grupo Pao de Acucar .120%		600	$	27
Companhia de Bebidas das Americas 2.890%		2,300		96

				123

Financials—0.4%
Banco do Estado do Rio Grande do Sul S.A. 1.140%		2,800		21

Materials—1.2%
Bradespar S.A. 4.770%		4,300		69

Utilities—1.3%
Companhia Energetica de Minas Gerais 6.920%		7,200		79

TOTAL PREFERRED STOCK (Identified Cost $267)				292

COMMON STOCKS—88.6%
Consumer Discretionary—6.8%
Anta Sports Products Ltd. (China)		43,000		39
Arcelik AS (Turkey)		3,116		20
Astra International Tbk PT (Indonesia)		66,500		53
Dongfeng Motor Group Co., Ltd. Class H (China)		6,000		9
Giant Manufacturing Co. Ltd. (Taiwan)		2,000		12
Great Wall Motor Co., Ltd. (China)		7,500		24
Kangwon Land, Inc. (South Korea)		1,700		46
Lojas Renner S.A. (Brazil)		1,100		43
MRV Engenharia e Participacoes S.A. (Brazil)		3,700		22
Naspers Ltd. (South Africa)		443		29
Parkson Holdings Bhd (Malaysia)		7,600		13
Truworths International Ltd. (South Africa)		2,032		26
UMW Holdings Bhd (Malaysia)		16,100		63

				399

Consumer Staples—6.5%
Grupo Modelo S.A.B. de C.V. Class C (Mexico)		5,500		49
Indofood Sukses Makmur Tbk PT (Indonesia)		22,000		13
Kimberly-Clark de Mexico S.A.B. de C.V. Class A (Mexico)		8,600		22
KT&G Corp. (South Korea)		1,711		129
Kuala Lumpur Kepong BHD (Malaysia)		2,900		23
President Chain Store Corp. (Taiwan)		7,000		38
Spar Group Ltd. (The) (South Africa)		3,883		61


	SHARES		VALUE
Consumer Staples—(continued)
Tiger Brands Ltd. (South Africa)		185	$	7
Wal-Mart de Mexico S.A.B. de C.V. (Mexico)		11,600		38

				380

Energy—12.8%
Banpu Pcl Class V (Thailand)		1,000		13
China Petroleum & Chemical Corp. Class H (China)		68,000		78
CNOOC Ltd. (China)		34,000		75
Ecopetrol S.A. (Colombia)		51,324		159
Gazprom OAO (Gazstream S.A.) Sponsored ADR (Russia)		13,070		127
Lukoil OAO Sponsored ADR (Russia)		1,100		74
PetroChina Co., Ltd. Class H (China)		74,000		107
PTT Pcl (Thailand)		1,900		20
Sasol Ltd. (South Africa)		587		26
Tambang Batubara Bukit Asam Persero Tbk PT (Indonesia)		5,500		9
Tupras-Turkiye Petro Rafinerileri AS (Turkey)		1,552		45
Ultrapar Participacoes S.A. (Brazil)		400		9
Yanzhou Coal Mining Co., Ltd. Class H (China)		6,000		10

				752

Financials—25.0%
ABSA Group Ltd. (South Africa)		3,039		59
African Bank Investments Ltd. (South Africa)		9,182		35
Alliance Financial Group Bhd (Malaysia)		25,900		37
AMMB Holdings Bhd (Malaysia)		20,500		46
Banco de Chile (Chile)		72,163		12
Banco Santander Chile S.A. (Chile)		2,125,911		150
Bank of China Ltd. (China)		285,000		129
Bank of the Philippine Islands (Philippines)		13,310		31
BR Properties SA (Brazil)		1,500		19
China Construction Bank Corp. (China)		191,000		156
China Minsheng Banking Corp. Ltd. (China)		22,500		26
Compartamos SAB de C.V. (Mexico)		15,800		23
Dongbu Insurance Co., Ltd. (South Korea)		1,460		63
Farglory Land Development Co., Ltd. (Taiwan)		27,000		49
Grupo Financiero Inbursa Sab de CV (Mexico)		17,600		53
Guangzhou R&F Properties Co., Ltd. (China)		20,800		35
Highwealth Construction Corp. (Taiwan)		6,400		12
Hyundai Marine & Fire Insurance Co., Ltd. (South Korea)		1,700		53


	SHARES		VALUE
Financials—(continued)
Industrial & Commercial Bank of China Ltd. (China)		203,000	$	147
Industrial Bank of Korea (South Korea)		3,290		37
Porto Seguro S.A. (Brazil)		1,500		17
Powszechna Kasa Oszczednosci Bank Polski S.A. (Poland)		4,835		58
Powszechny Zaklad Ubezpieczen S.A. (Poland)		377		53
Redefine Properties Ltd. (South Africa)⁽²⁾		6,627		7
RMB Holdings Ltd. (South Africa)		1,406		7
Samsung Fire & Marine Insurance Co., Ltd. (South Korea)		141		29
Sberbank of Russia (Russia)		719		9
Siam Commercial Bank Pcl (Thailand)		10,000		59
Soho China Ltd. (Cayman Islands)		22,500		18
Standard Bank Group Ltd. (South Africa)		2,994		42

				1,471

Industrials—6.9%
Aboitiz Equity Ventures, Inc. (Philippines)		48,700		63
Alfa Sab de CV (Mexico)		7,700		17
Arteris SA (Brazil)		2,500		23
Grupo Carso Sab de CV (Mexico)		3,900		19
Hyundai Heavy Industries Co., Ltd. (South Korea)		37		9
Jiangsu Expressway Co., Ltd. (China)		54,000		56
Reunert Ltd. (South Africa)		4,466		40
S1 Corp. (South Korea)		439		29
Samsung Engineering Co., Ltd. (South Korea)		72		11
Samsung Heavy Industries Co., Ltd. (South Korea)		1,450		53
Teco Electric and Machinery Co., Ltd. (Taiwan)		38,000		29
United Tractors Tbk PT (Indonesia)		11,500		24
Zhejiang Expressway Co., Ltd. (China)		42,000		33

				406

Information Technology—12.5%
Asseco Poland S.A. (Poland)		795		12
Chicony Electronics Co., Ltd. (Taiwan)		27,000		63
Cielo S.A. (Brazil)		1,000		28
Compal Electronics, Inc. (Taiwan)		57,000		38
HTC Corp. (Taiwan)		6,000		63
Lite-On Technology Corp. (Taiwan)		20,000		27
MediaTek, Inc. (Taiwan)		2,000		22
MStar Semiconductor, Inc. (Taiwan)		5,000		38


	SHARES		VALUE
Information Technology—(continued)
Novatek Microelectronics Corp. (Taiwan)		11,000	$	45
Quanta Computer, Inc. (Taiwan)		8,000		19
Richtek Technology Corp. (Taiwan)		5,000		29
Taiwan Semiconductor Manufacturing Co., Ltd. (Taiwan)		91,000		304
Tencent Holdings Ltd. (China)		1,300		43

				731

Materials—9.9%
China Bluechemical Ltd. Class H (China)		28,000		19
Companhia Siderurgica Nacional S.A. (Brazil)		8,100		47
Eregli Demir Ve Celik Fabrikalari TAS (Turkey)		5,066		7
Grupo Mexico S.A.B. de C.V. Series B (Mexico)		17,800		64
Jiangxi Copper Co., Ltd. (China)		31,000		84
Kumba Iron Ore Ltd. (South Africa)		1,913		129
Southern Copper Corp. (Peru)		2,297		87
TSRC Corp. (Taiwan)		72,000		147

				584

Telecommunication Services—6.5%
China Mobile Ltd. (China)		10,500		124
KT Corp. (South Korea)		1,040		35
MTN Group Ltd. (South Africa)		2,538		53
Rostelecom ADR (Russia)		585		14
SK Telecom Co., Ltd. (South Korea)		501		72
Telekomunikasi Indonesia Tbk PT (Indonesia)		18,000		17
Tim Participacoes S.A. (Brazil)		4,100		16
Turk Telekomunikasyon AS (Turkey)		13,483		52

				383

Utilities—1.7%
CEZ AS (Czech Republic)		1,127		40
Guangdong Investments Ltd. (China)		26,000		21
Perusahaan Gas Negara Persero Tbk PT (Indonesia)		45,500		22
Petronas Gas BHD (Malaysia)		3,000		19

				102

TOTAL COMMON STOCKS (Identified Cost $4,695)				5,208

EXCHANGE-TRADED FUNDS—3.7%
iPath MSCI India Index ETN⁽²⁾		3,727		222

TOTAL EXCHANGE-TRADED FUNDS (Identified Cost $193)				222


	SHARES		VALUE
TOTAL LONG TERM INVESTMENTS—97.3% (Identified cost $5,155)				5,722

SHORT-TERM INVESTMENTS—2.2%
Money Market Mutual Funds—2.2%
BlackRock Liquidity Funds TempFund Portfolio - Insitutional Shares (seven-day effective yield 0.140%)		129,990	$	130

TOTAL SHORT-TERM INVESTMENTS (Identified Cost $130)				130

TOTAL INVESTMENTS—99.5% (Identified Cost $5,285)				5,852	⁽¹⁾
Other assets and liabilities, net—0.5%				27

NET ASSETS—100.0%			$	5,879


Abbreviations:

ADR American Depositary Receipt

Footnote

Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at December 31, 2012, see Note 11 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 December 31, 2012 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

Securities held by the Fund with an end of period value of $3,189 were transferred from Level 1 to Level 2 based on our valuation procedures for non-US securities.


	SHARES		VALUE
COMMON STOCKS—94.6%
Consumer Discretionary—7.8%
Barrat Developments plc (United Kingdom)⁽²⁾		2,161,099	$	7,381
DKSH Holding AG (Switzerland)⁽²⁾		153,000		11,067
Domino’s Pizza plc (United Kingdom)		1,709,027		13,951
L’Occitane International SA (Hong Kong)		2,784,749		8,911
Paddy Power plc (Ireland)		264,155		21,762
Persimmon plc (United Kingdom)		957,021		12,563
Sands China Ltd. (Hong Kong)		5,241,497		23,433

				99,068

Consumer Staples—37.9%
Anheuser-Busch InBev N.V. (Belgium)		371,742		32,373
British American Tobacco plc (United Kingdom)		1,448,311		73,625
Coca-Cola Amatil Ltd. (Australia)		765,322		10,755
Diageo plc (United Kingdom)		1,107,712		32,264
Hindustan Unilever Ltd. (India)		739,423		7,123
Imperial Tobacco Group plc (United Kingdom)		602,974		23,378
ITC Ltd. (India)		5,984,778		31,515
Lindt & Spruengli AG (Switzerland)		5,924		19,319
Nestle India Ltd. (India)		116,697		10,641
Nestle S.A. Registered Shares (Switzerland)		739,835		48,270
Pernod-Ricard SA (France)		161,099		18,691
Philip Morris International, Inc. (United States)		744,484		62,269
SABMiller plc (United Kingdom)		834,677		38,739
Unilever N.V. (Netherlands)		1,419,382		54,311
Wal-Mart de Mexico S.A.B. de C.V. (Mexico)		4,299,292		14,029

				477,302

Energy—4.9%
Core Laboratories N.V. (Netherlands)		202,136		22,095
Enbridge, Inc. (Canada)		448,027		19,377
Royal Dutch Shell plc A Shares (United Kingdom)		423,188		14,566
TransCanada Corp. (Canada)		122,434		5,788

				61,826

Financials—19.4%
Daito Trust Construction Co., Ltd. (Japan)		107,400		10,150
Housing Development Finance Corp. (India)		3,666,990		56,020
Housing Development Finance Corp. Bank Ltd. (India)		3,670,336		45,758
Housing Development Finance Corp. Bank Ltd. ADR (India)		40,148		1,635
HSBC Holdings plc (United Kingdom)		3,581,018		37,947


	SHARES		VALUE
Financials—(continued)
Standard Chartered plc (United Kingdom)		1,351,432	$	34,975
UBS AG Registered Shares (Switzerland)		3,696,283		57,843

				244,328

Health Care—9.4%
Cie Generale D’optique Essilor International SA (France)		153,785		15,510
Novo Nordisk A/S Class B (Denmark)		261,268		42,544
Ramsay Health Care Ltd. (Australia)		9,405		266
Valeant Pharmaceuticals International, Inc. (Canada)⁽²⁾		1,014,022		60,493

				118,813

Industrials—5.8%
Bureau Veritas SA (France)		268,162		30,069
Rolls-Royce Holdings plc (United Kingdom)⁽²⁾⁽³⁾		94,319,040		153
Rolls-Royce Holdings plc (United Kingdom)		1,268,740		18,198
SGS SA Registered Shares (Switzerland)		11,127		24,714

				73,134

Information Technology—4.5%
Accenture plc Class A (Ireland)		243,668		16,204
SAP AG (Germany)		408,898		32,880
Tata Consultancy Services Ltd. (India)		319,825		7,369

				56,453

Materials—4.9%
Fresnillo plc (United Kingdom)		660,296		20,252
Goldcorp, Inc. (Canada)		586,116		21,549
Newcrest Mining Ltd. (Australia)		833,977		19,509

				61,310

TOTAL COMMON STOCKS (Identified Cost $852,505)				1,192,234

TOTAL LONG TERM INVESTMENTS—94.6% (Identified cost $852,505)				1,192,234

SHORT-TERM INVESTMENTS—6.1%
Money Market Mutual Funds—6.1%
Dreyfus Cash Management Fund—Institutional Shares (seven-day effective yield 0.090%)		76,778,649		76,779

TOTAL SHORT-TERM INVESTMENTS (Identified Cost $76,779)				76,779

TOTAL INVESTMENTS—100.7% (Identified Cost $929,284)				1,269,013	⁽¹⁾
Other assets and liabilities, net—(0.7)%				(9,037	)

NET ASSETS—100.0%			$	1,259,976

($ reported in thousands)


Country Weightings †
United Kingdom	26	%
India	13
Switzerland	13
United States	11
Canada	8
Netherlands	6
France	5
Other	18

Total	100	%

†	% of total investments as of December 31, 2012

The following table provides a summary of inputs used to value the Fund’s investments as of December 31, 2012 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

Securities held by the Fund with an end of period value of $968,377 were transferred from Level 1 to Level 2 based on our valuation procedures for non-U.S. securities.

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—89.1%
Consumer Staples—2.4%
BRF - Brasil Foods SA ADR (Brazil)		12,975	$	274
S&W Seed Co. (United States)⁽²⁾		33,584		259

				533

Energy—26.9%
Athabasca Oil Corp. (Canada)⁽²⁾		29,823		313
Cenovus Energy, Inc. (Canada)		17,242		578
Ceres, Inc. (United States)⁽²⁾		27,935		127
Continental Resources, Inc. (United States)⁽²⁾		7,409		545
Core Laboratories N.V. (Netherlands)		3,901		426
Ensco plc Class A (United Kingdom)		7,924		470
FX Energy, Inc. (United States)⁽²⁾		56,482		232
GeoSpace Technologies Corp. (United States)⁽²⁾		7,325		651
National Oilwell Varco, Inc. (United States)		4,228		289
Seadrill Ltd. (Bermuda)		20,955		771
Tesoro Corp. (United States)		5,509		243
Valero Energy Corp. (United States)		36,904		1,259

				5,904

Industrials—8.6%
AGCO Corp. (United States)⁽²⁾		12,234		601
Cervus Equipment Corp. (Canada)		3,683		70
Kubota Corp. ADR (Japan)		10,242		590
Lindsay Corp. (United States)		5,083		407
Rocky Mountain Dealerships, Inc. (Canada)		18,581		222

				1,890

Materials—51.2%
Agrium, Inc. (Canada)		7,568		756
Alamos Gold, Inc. (Canada)		9,279		163
Allied Nevada Gold Corp. (United States)⁽²⁾		3,233		97
Barrick Gold Corp. (Canada)		5,335		187
BHP Billiton Ltd. Sponsored ADR (Australia)		8,914		699
CF Industries Holdings, Inc. (United States)		4,591		933
Detour Gold Corp. (Canada)⁽²⁾		11,537		289
Eldorado Gold Corp. (Canada)		4,231		54
Franco-Nevada Corp. (Canada)		17,873		1,020
Goldcorp, Inc. (Canada)		8,871		326
Grupo Mexico S.A.B. de C.V. Series B (Mexico)		122,798		443
Major Drilling Group International (Canada)		50,133		494
MBAC Fertilizer Corp. (Canada)⁽²⁾		139,444		496
Monsanto Co. (United States)		11,661		1,104
New Gold, Inc. (Canada)⁽²⁾		40,833		450


	SHARES		VALUE
Materials—(continued)
Potash Corp. of Saskatchewan, Inc. (Canada)		16,612	$	676
Royal Gold, Inc. (United States)		11,251		915
Silver Wheaton Corp. (Canada)		11,248		406
Sociedad Quimica y Minera de Chile SA Sponsored ADR (Chile)		13,308		767
Syngenta AG ADR (Switzerland)		10,976		887
Tahoe Resources, Inc. (Canada)⁽²⁾		4,458		82

				11,244

TOTAL COMMON STOCKS (Identified Cost $17,426)				19,571

EXCHANGE-TRADED FUNDS—8.9%
PowerShares DB Gold Fund (United States)⁽²⁾		34,246		1,964

TOTAL EXCHANGE-TRADED FUNDS (Identified Cost $1,917)				1,964

TOTAL LONG TERM INVESTMENTS—98.0% (Identified cost $19,343)				21,535

SHORT-TERM INVESTMENTS—6.0%
Money Market Mutual Funds—6.0%
Dreyfus Cash Management Fund—Institutional Shares (seven-day effective yield 0.090%)		1,311,169		1,311

TOTAL SHORT-TERM INVESTMENTS (Identified Cost $1,311)				1,311

TOTAL INVESTMENTS—104.0% (Identified Cost $20,654)				22,846	⁽¹⁾
Other assets and liabilities, net—(4.0)%				(880	)

NET ASSETS—100.0%			$	21,966

Abbreviations:

ADR	American Depositary Receipt

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at December 31, 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 December 31, 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—97.8%
Consumer Discretionary—2.9%
Eutelsat Communications SA (France)		41,130	$	1,368
SES SA (Luxembourg)		56,460		1,626

				2,994

Energy—23.9%
Enbridge, Inc. (Canada)		164,280		7,117
Kinder Morgan, Inc. (United States)		85,800		3,031
Spectra Energy Corp. (United States)		124,980		3,422
TransCanada Corp. (Canada)		109,090		5,162
Williams Cos., Inc. (The) (United States)		165,000		5,402

				24,134

Financials—2.4%
American Tower Corp. (United States)		31,320		2,420

Industrials—15.9%
Abertis Infraestructuras S.A. (Spain)		101,590		1,678
Atlantia SpA (Italy)		115,061		2,089
Auckland International Airport Ltd. (New Zealand)		501,810		1,111
Ferrovial SA (Spain)		84,680		1,261
Flughafen Zuerich AG (Switzerland)		2,902		1,344
Fraport AG Frankfurt Airport Services Worldwide (Germany)		24,710		1,442
Koninklijke Vopak N.V. (Netherlands)		42,560		3,008
Transurban Group (Australia)		493,040		3,134
Vinci SA (France)		20,530		988

				16,055

Telecommunication Services—22.1%
AT&T, Inc. (United States)		143,830		4,849
BCE, Inc. (Canada)		22,670		973
BT Group plc (United Kingdom)		311,510		1,189
Crown Castle International Corp. (United States)⁽²⁾		43,660		3,151
Nippon Telegraph & Telephone Corp. ADR (Japan)		37,650		792
Singapore Telecommunications Ltd. (Singapore)		645,400		1,756
TELUS Corp. (Canada)		30,100		1,970
Verizon Communications, Inc. (United States)		54,660		2,365
Vodafone Group plc Sponsored ADR (United Kingdom)		171,830		4,328
Windstream Corp. (United States)		111,500		923

				22,296


	SHARES		VALUE
Utilities—30.6%
Allette, Inc. (United States)		16,400	$	672
APA Group (Australia)		191,640		1,106
CenterPoint Energy, Inc. (United States)		59,400		1,143
Centrica plc (United Kingdom)		165,360		902
CMS Energy Corp. (United States)		55,270		1,347
Consolidated Edison, Inc. (United States)		19,460		1,081
Dominion Resources, Inc. (United States)		30,860		1,599
DTE Energy Co. (United States)		16,100		967
E.ON AG (Germany)		28,140		528
FirstEnergy Corp. (United States)		40,370		1,686
National Grid plc (United Kingdom)		114,060		1,308
NextEra Energy, Inc. (United States)		29,650		2,051
NiSource, Inc. (United States)		51,110		1,272
Northeast Utilities (United States)		24,850		971
Northwest Natural Gas Co. (United States)		18,130		801
NV Energy, Inc. (United States)		62,370		1,131
ONEOK, Inc. (United States)		31,990		1,368
Pinnacle West Capital Corp. (United States)		23,190		1,182
Questar Corp. (United States)		41,330		817
Sempra Energy (United States)		28,710		2,037
SevernTrent plc (United Kingdom)		45,955		1,183
SP AusNet (Australia)		920,540		1,070
Terna Rete Elettrica Nazionale SpA (Italy)		237,130		949
United Utilities Group plc (United Kingdom)		93,020		1,024
Wisconsin Energy Corp. (United States)		44,210		1,629
XCEL Energy, Inc. (United States)		42,250		1,129

				30,953

TOTAL COMMON STOCKS (Identified Cost $80,211)				98,852

TOTAL LONG TERM INVESTMENTS—97.8% (Identified cost $80,211)				98,852

SHORT-TERM INVESTMENTS—1.3%
Money Market Mutual Funds—1.3%
Dreyfus Cash Management Fund—Institutional Shares (seven-day effective yield 0.090%)		1,309,890		1,310

TOTAL SHORT-TERM INVESTMENTS (Identified Cost $1,310)				1,310

The following table provides a summary of inputs used to value the Fund’s investments as of December 31, 2012 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

Securities held by the Fund with an end of period value of $ 30,064 were transferred from Level 2 to Level 1 based on our valuation procedures for non-US securities.


	SHARES		VALUE
COMMON STOCKS—98.7%
Consumer Discretionary—13.5%
Amazon.com, Inc. (United States)⁽²⁾		7,916	$	1,988
Chipotle Mexican Grill, Inc. (United States)⁽²⁾		8,143		2,422
Las Vegas Sands Corp. (United States)		42,403		1,957
McDonald’s Corp. (United States)		31,006		2,735
Norstar Founders Group Ltd. (Cayman Islands)⁽²⁾⁽³⁾		272,000		0
Paddy Power plc (Ireland)		15,037		1,239
Persimmon plc (United Kingdom)		84,004		1,103
Sands China Ltd. (Hong Kong)		180,083		805
Starbucks Corp. (United States)		18,100		971

				13,220

Consumer Staples—30.2%
Altria Group, Inc. (United States)		88,188		2,771
Anheuser-Busch InBev N.V. (Belgium)		21,729		1,892
British American Tobacco plc (United Kingdom)		108,975		5,540
Casey’s General Stores, Inc. (United States)		21,006		1,115
Coca-Cola Co. (The) (United States)		135,805		4,923
ITC Ltd. (India)		497,722		2,621
Mead Johnson Nutrition Co. (United States)		17,766		1,171
Nestle S.A. Registered Shares (Switzerland)		34,765		2,268
Philip Morris International, Inc. (United States)		49,623		4,151
Unilever N.V. (Netherlands)		83,720		3,203

				29,655

Energy—1.0%
Enbridge, Inc. (Canada)		23,479		1,015

Financials—24.0%
Citigroup, Inc. (United States)		122,200		4,834
Housing Development Finance Corp. (India)		208,193		3,180
Housing Development Finance Corp. Bank Ltd. (India)		210,145		2,620
Housing Development Finance Corp. Bank Ltd. ADR (India)		11,049		450
HSBC Holdings plc (United Kingdom)		202,232		2,143
JPMorgan Chase & Co. (United States)		99,356		4,369
Standard Chartered plc (United Kingdom)		63,045		1,632
UBS AG Registered Shares (Switzerland)		275,535		4,312

				23,540

Health Care—7.3%
Johnson & Johnson (United States)		27,905		1,956


	SHARES		VALUE
Health Care—(continued)
Novo Nordisk A/S Class B (Denmark)		10,388	$	1,692
Valeant Pharmaceuticals International, Inc. (Canada)⁽²⁾		58,590		3,495

				7,143

Industrials—3.9%
Bureau Veritas SA (France)		15,800		1,772
SGS SA Registered Shares (Switzerland)		466		1,035
TransDigm Group, Inc. (United States)⁽²⁾		7,750		1,057

				3,864

Information Technology—14.3%
Apple, Inc. (United States)		2,325		1,239
Cognizant Technology Solutions Corp. Class A (United States)⁽²⁾		30,943		2,291
FactSet Research Systems, Inc. (United States)		8,975		791
MasterCard, Inc. Class A (United States)		10,058		4,941
SAP AG (Germany)		21,630		1,739
Visa, Inc. Class A (United States)		19,559		2,965

				13,966

Materials—4.5%
Fresnillo plc (United Kingdom)		50,374		1,545
Goldcorp, Inc. (Canada)		39,631		1,457
Newcrest Mining Ltd. (Australia)		59,159		1,384

				4,386

TOTAL COMMON STOCKS (Identified Cost $76,391)				96,789

TOTAL LONG TERM INVESTMENTS—98.7% (Identified cost $76,391)				96,789

SHORT-TERM INVESTMENTS—1.0%
Money Market Mutual Funds—1.0%
Dreyfus Cash Management Fund—Institutional Shares (seven-day effective yield 0.090%)		977,415		977

TOTAL SHORT-TERM INVESTMENTS (Identified Cost $977)				977

TOTAL INVESTMENTS—99.7% (Identified Cost $77,368)				97,766	⁽¹⁾
Other assets and liabilities, net—0.3%				294

NET ASSETS—100.0%			$	98,060

The following table provides a summary of inputs used to value the Fund’s investments as of December 31, 2012 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

Securities held by the Fund with an end of period value of $ 41,725 were transferred from Level 1 to Level 2 based on our valuation procedures for non-US securities.


	SHARES		VALUE
EXCHANGE-TRADED FUNDS—96.7%
Consumer Discretionary Select Sector SPDR Fund		140,570	$	6,667
Consumer Staples Select Sector SPDR Fund		187,858		6,543
Energy Select Sector SPDR Fund		91,710		6,552
Financial Select Sector SPDR Fund		399,490		6,552
Health Care Select Sector SPDR Fund		164,280		6,563
Industrial Select Sector SPDR Fund		174,140		6,600
iShares MSCI Canada Index Fund		69,520		1,974
iShares MSCI Emerging Markets Index Fund		284,670		12,625
iShares MSCI Japan Index Fund		400,300		3,903
iShares MSCI Pacific Ex-Japan Index Fund		84,430		3,980
Materials Select Sector SPDR Fund		176,160		6,613
Utilities Select Sector SPDR Fund		187,830		6,565
Vanguard MSCI European ETF		252,630		12,338

TOTAL EXCHANGE-TRADED FUNDS (Identified Cost $82,753)				87,475

TOTAL LONG TERM INVESTMENTS—96.7% (Identified cost $82,753)				87,475

SHORT-TERM INVESTMENTS—10.0%
Money Market Mutual Funds—10.0%
Dreyfus Cash Management Fund—Institutional Shares (seven-day effective yield 0.080%)		9,030,589		9,031

TOTAL SHORT-TERM INVESTMENTS (Identified Cost $9,031)				9,031

TOTAL INVESTMENTS—106.7% (Identified Cost $91,784)				96,506	⁽¹⁾
Other assets and liabilities, net—(6.7)%				(6,066	)

NET ASSETS—100.0%			$	90,440

Abbreviations:

ETF	Exchange-Traded Fund

SPDR	S&P Depositary Receipt

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at December 31, 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 December 31, 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—97.7%
Australia—7.9%
BGP Holdings plc^(2)(3)(4)		13,566	$	0
CFS Retail Property Trust		67,700		136
Dexus Property Group		345,440		367
GPT Group		60,500		233
Westfield Group		85,950		949
Westfield Retail Trust		89,450		282

				1,967

Bermuda—1.8%
Hongkong Land Holdings Ltd.		64,900		454

Canada—6.2%
Allied Properties Real Estate Investment Trust		7,785		258
Brookfield Properties, Inc.		18,470		315
Canadian Real Estate Investment Trust		5,225		228
Cominar Real Estate Investment Trust		7,295		165
First Capital Realty, Inc.		11,980		227
RioCan Real Estate Investment Trust		13,062		362

				1,555

Finland—0.5%
Citycon OYJ⁽²⁾		34,941		119

France—4.3%
Fonciere Des Regions		1,104		93
Klepierre		5,520		221
Societe Immobiliere de Location Pour L’industrie Et Le Commerce		455		51
Unibail-Rodamco		2,963		718

				1,083

Germany—0.9%
GSW Immobilien AG		5,064		215

Hong Kong—3.5%
Hang Lung Properties Ltd.		63,000		254
Hysan Development Co. Ltd.		33,000		160
Link (The)		94,504		473

				887

Italy—0.2%
Beni Stabili SpA		75,478		44

Japan—2.6%
AEON Mall Co., Ltd.		5,970		147


	SHARES		VALUE
Japan—(continued)
Japan Prime Realty Investment Corp.		58	$	167
Japan Real Estate Investment Corp.		14		138
Nippon Building Fund, Inc.		20		207

				659

Netherlands—1.3%
Corio N.V.		3,515		161
Eurocommercial Properties N.V.		3,765		152

				313

Norway—0.5%
Norwegian Property ASA		78,775		122

Singapore—3.0%
CapitaMall Trust		73,450		129
CapitaRetail China Trust		111,275		150
Global Logistic Properties Ltd.		130,500		302
Mapletree Logistics Trust		181,545		171

				752

Sweden—0.9%
Castellum AB		10,840		154
Fabege AB		7,300		74

				228

Switzerland—0.2%
PSP Swiss Property AG⁽²⁾		565		53

United Kingdom—6.6%
Big Yellow Group plc		27,628		157
British Land Co. plc		25,600		237
Derwent London plc		3,710		128
Great Portland Estates plc		9,871		79
Hammerson plc		36,720		294
Land Securities Group plc		33,631		449
Safestore Holdings plc		74,726		131
SEGRO plc		44,290		180

				1,655

United States—57.3%
American Campus Communities, Inc.		5,675		262
AvalonBay Communities, Inc.		5,295		718
BioMed Realty Trust, Inc.		14,318		277
Boston Properties, Inc.		6,528		691
Camden Property Trust		5,910		403
DCT Industrial Trust, Inc.		41,623		270


	SHARES		VALUE
United States—(continued)
DDR Corp.		18,184	$	285
Digital Realty Trust, Inc.		2,885		196
Duke Realty Corp.		7,330		102
EastGroup Properties, Inc.		1,700		91
Equity Lifestyle Properties, Inc.		2,223		150
Equity Residential		14,956		848
Essex Property Trust, Inc.		2,719		399
Extra Space Storage, Inc.		14,795		538
General Growth Properties, Inc.		20,419		405
HCP, Inc.		5,979		270
Health Care REIT, Inc.		8,002		490
Host Hotels & Resorts, Inc.		34,208		536
Kilroy Realty Corp.		11,963		567
Kimco Realty Corp.		15,985		309
LaSalle Hotel Properties		9,115		231
Macerich Co. (The)		8,773		511
Prologis, Inc.		18,781		685
Public Storage		5,460		791
Simon Property Group, Inc.		11,681		1,847
SL Green Realty Corp.		4,131		317
Tanger Factory Outlet Centers		11,800		404
Taubman Centers, Inc.		6,605		520
UDR, Inc.		5,473		130
Ventas, Inc.		10,322		668
Vornado Realty Trust		3,275		262
Weingarten Realty Investors		6,607		177

				14,350

TOTAL COMMON STOCKS (Identified Cost $21,010)				24,456

TOTAL LONG TERM INVESTMENTS—97.7% (Identified cost $21,010)				24,456

SHORT-TERM INVESTMENTS—1.3%
Money Market Mutual Funds—1.3%
Dreyfus Cash Management Fund—Institutional Shares (seven-day effective yield 0.090%)		325,169		325

TOTAL SHORT-TERM INVESTMENTS (Identified Cost $325)				325


TOTAL INVESTMENTS—99.0% (Identified Cost $21,335)		24,781	⁽¹⁾
Other assets and liabilities, net—1.0%		241

NET ASSETS—100.0%	$	25,022

Abbreviations:

REIT	Real Estate Investment Trust

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at December 31, 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.


($ reported in thousands)

Country Weightings †
United States	59	%
Australia	8
United Kingdom	7
Canada	6
France	4
Hong Kong	4
Singapore	3
Other	9

Total	100	%

†	% of total investments as of December 31, 2012

The following table provides a summary of inputs used to value the Fund’s investments as of December 31, 2012 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

Securities held by the Fund with an end of period value of $7,967 were transferred from Level 1 to Level 2 based on our valuation procedures for non-US securities.


	SHARES		VALUE
COMMON STOCKS—98.6%
Consumer Discretionary—16.3%
Bajaj Auto Ltd. (India)		1,724	$	67
BEC World plc (Thailand)		33,300		77
Genting Bhd (Malaysia)		33,300		101
Genting Malaysia Bhd (Malaysia)		107,500		125
Jollibee Foods Corp. (Philippines)		18,200		45
Jubilant Foodworks Ltd. (India)⁽²⁾		7,600		180
Kangwon Land, Inc. (South Korea)		3,180		87
L’Occitane International SA (Hong Kong)		52,659		169
SA International Holdings Ltd. (Cayman Islands)		115,525		96
Sands China Ltd. (Hong Kong)		47,264		211
Super Retail Group Ltd. (Australia)		13,120		137
Television Broadcasts Ltd. (Hong Kong)		10,722		81
Titan Industries Ltd. (India)		23,400		123
Wynn Macau Ltd. (Cayman Islands)⁽²⁾		54,103		149

				1,648

Consumer Staples—36.0%
British American Tobacco Bangldesh Co., Ltd. (Bangladesh)		17,350		183
British American Tobacco Bhd (Malaysia)		2,900		59
Ceylon Tobacco Co., plc (Sri Lanka)		7,900		51
Coca-Cola Amatil Ltd. (Australia)		10,445		147
Colgate Palmolive India Ltd. (India)		3,000		87
CP ALL PCL (Thailand)		206,400		299
Dabur India Ltd. (India)		29,753		70
Dairy Farm International Holdings Ltd. (Bermuda)		8,250		90
Emami Ltd. (India)⁽²⁾		10,950		121
GlaxoSmithKline Consumer Healthcare Ltd. (India)		1,200		84
Gudang Garam tbk PT (Indonesia)		10,957		64
Guinness Anchor Bhd (Malaysia)		39,435		214
Hengan International Group Co., Ltd. (Cayman Islands)		8,413		77
Hindustan Unilever Ltd. (India)		25,277		243
ITC Ltd. (India)		77,809		410
LG Household & Health Care Ltd. (South Korea)		284		174
Marico Bangladesh Ltd. (Bangladesh)		13,050		62
Nestle India Ltd. (India)		2,708		247
Nestle Malaysia Bhd (Malaysia)		7,000		145
Nestle Pakistan Ltd. (Pakistan)		2,214		108
Orion Corp. (South Korea)		88		90
Puregold Price Club, Inc. (Philippines)		116,800		94


	SHARES		VALUE
Consumer Staples—(continued)
Tingyi Cayman Islands Holding Corp. (Cayman Islands)		39,874	$	112
Tsingtao Brewery Co., Ltd. (China)		20,683		123
Unilever Indonesia tbk PT (Indonesia)		53,597		116
Unilever Pakistan Ltd. (Pakistan)		1,139		120
Want Want China Holdings Ltd. (Cayman Islands)		36,065		51

				3,641

Financials—24.0%
Bangkok Bank plc (Thailand)		14,000		96
Commercial Bank of Ceylon plc (Sri Lanka)		40,180		33
Delta Brac Housing Finance Corp., Ltd. (Bangladesh)		69,000		48
Global Logistic Properties Ltd. (Singapore)		64,600		150
Housing Development Finance Corp. (India)		28,559		436
Housing Development Finance Corp. Bank Ltd. (India)		31,055		387
HSBC Holdings plc (United Kingdom)		48,609		515
Kasikornbank PCL (Thailand)		23,300		148
Link (The) (Hong Kong)		19,019		95
Malayan Banking Bhd (Malaysia)		43,350		131
Public Bank Bhd (Malaysia)		24,700		132
Shriram City Union Finance Ltd. (India)		4,095		74
Standard Chartered plc (United Kingdom)		6,801		176

				2,421

Health Care—3.4%
Cipla Ltd. (India)		13,096		100
Kalbe Farma Tbk PT (Indonesia)		1,405,813		155
Ramsay Health Care Ltd. (Australia)		76		2
Sun Pharmaceutical Industries Ltd. (India)		6,286		85

				342

Industrials—5.2%
Jardine Matheson Holdings Ltd. (Bermuda)		1,618		100
Jardine Strategic Holdings Ltd. (Bermuda)		1,706		61
Jasa Marga tbk PT (Indonesia)		103,800		59
Keells (John) Holdings plc (Sri Lanka)		100,733		175
SM Investments Corp. (Philippines)		3,170		68
Taiwan Secom Co., Ltd. (Taiwan)		26,836		60

				523

Information Technology—2.9%
Baidu, Inc. ADR (Cayman Islands)⁽²⁾		1,885		189


($ reported in thousands)

	SHARES		VALUE
Information Technology—(continued)
Tata Consultancy Services Ltd. (India)		4,400	$	101

				290

Materials—3.7%
Asian Paints Ltd. (India)		1,100		90
Newcrest Mining Ltd. (Australia)		5,582		130
Semen Gresik (Persero) tbk PT (Indonesia)		95,091		157

				377

Telecommunication Services—1.6%
China Mobile Ltd. (China)		13,600		160

Utilities—5.5%
Power Assets Holdings Ltd. (Hong Kong)		48,191		413
Power Grid Corp. of India Ltd. (India)		67,271		142

				555

TOTAL COMMON STOCKS (Identified Cost $7,473)				9,957

TOTAL LONG TERM INVESTMENTS—98.6% (Identified cost $7,473)				9,957

SHORT-TERM INVESTMENTS—0.7%
Money Market Mutual Funds—0.7%
Dreyfus Cash Management Fund—Institutional Shares (seven-day effective yield 0.090%)		69,683		70

TOTAL SHORT-TERM INVESTMENTS (Identified Cost $70)				70

TOTAL INVESTMENTS—99.3% (Identified Cost $7,543)				10,027	⁽¹⁾
Other assets and liabilities, net—0.7%				73

NET ASSETS—100.0%			$	10,100

Abbreviations:

ADR	American Depositary Receipt

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at December 31, 2012, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Non-income producing.


($ reported in thousands)

Country Weightings †
India	30	%
Hong Kong	10
Malaysia	9
Cayman Islands	7
United Kingdom	7
Thailand	6
Indonesia	5
Other	26

Total	100	%

†	% of total investments as of December 31, 2012

The following table provides a summary of inputs used to value the Fund’s investments as of December 31, 2012 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

Securities held by the Fund with an end of period value of $8,133 were transferred from Level 1 to Level 2 based on our valuation procedures for non-US securities.


	SHARES		VALUE
COMMON STOCKS—94.4%
Consumer Discretionary—11.4%
Barrat Developments plc (United Kingdom)⁽²⁾		77,845	$	266
Domino’s Pizza plc (United Kingdom)		20,543		168
Hermes International (France)		260		78
Luxottica Group SpA (Italy)		5,020		207
Paddy Power plc (Ireland)		4,204		346
Pearson plc (United Kingdom)⁽²⁾		6,859		133
Persimmon plc (United Kingdom)⁽²⁾		10,575		139

				1,337

Consumer Staples—28.6%
Anheuser-Busch InBev N.V. (Belgium)		4,871		424
British American Tobacco plc (United Kingdom)		8,722		443
Diageo plc (United Kingdom)		10,705		312
Groupe Danone S.A. (France)		3,308		219
Imperial Tobacco Group plc (United Kingdom)		3,446		134
L’Oreal S.A. (France)		1,080		150
Lindt & Spruengli AG (Switzerland)⁽²⁾		17		55
Nestle S.A. Registered Shares (Switzerland)		5,709		373
Pernod-Ricard S.A. (France)		1,070		124
Philip Morris International, Inc. (United States)		3,569		299
SABMiller plc (United Kingdom)		5,296		246
Unilever N.V. (Netherlands)		14,515		555

				3,334

Energy—5.6%
Core Laboratories N.V. (Netherlands)⁽²⁾		1,248		136
Royal Dutch Shell plc A Shares (United Kingdom)		7,640		263
Statoil ASA (Norway)		10,260		259

				658

Financials—13.1%
BNP Paribas SA (France)		4,635		264
Exor SpA (Italy)		4,489		113
HSBC Holdings plc (United Kingdom)		32,665		346
Reinet Investments SCA (Luxembourg)		7,545		138
Standard Chartered plc (United Kingdom)		7,934		205
UBS AG Registered Shares (Switzerland)		29,311		459

				1,525

Health Care—6.3%
Cie Generale D’optique Essilor International SA (France)		991		100


	SHARES		VALUE
Health Care—(continued)
Fresenius Medical Care AG & Co. KGaA (Germany)		2,204	$	152
Novartis AG Registered Shares (Switzerland)		3,374		213
Novo Nordisk A/S Class B (Denmark)⁽²⁾		1,679		274

				739

Industrials—15.7%
Bureau Veritas SA (France)		4,810		539
DKSH Holding AG (Switzerland)⁽²⁾		1,930		140
Indutrade AB (Sweden)		5,343		162
Kuehne & Nagel International AG (Switzerland)		966		116
Prosegur Cia de Seguridad SA (Spain)		21,280		125
Rolls-Royce Holdings plc (United Kingdom)⁽²⁾⁽³⁾		776,112		1
Rolls-Royce Holdings plc (United Kingdom)		19,372		278
SGS SA (Switzerland)		139		309
Zodiac Aerospace (France)		1,445		160

				1,830

Information Technology—9.0%
Accenture plc Class A (Ireland)		3,932		261
Amadeus IT Holding SA A Shares (Spain)		5,385		136
ARM Holdings plc (United Kingdom)		11,535		146
Domino Printing Sciences plc (United Kingdom)		14,353		137
SAP AG (Germany)		2,894		233
Wirecard AG (Germany)⁽²⁾		5,584		138

				1,051

Materials—4.7%
Air Liquide SA (France)		1,351		170
Fresnillo plc (United Kingdom)		8,701		267
Novozymes A/S Class B (Denmark)		3,875		110

				547

TOTAL COMMON STOCKS (Identified Cost $8,899)				11,021

TOTAL LONG TERM INVESTMENTS—94.4% (Identified cost $8,899)				11,021

SHORT-TERM INVESTMENTS—6.0%
Money Market Mutual Funds—6.0%
Dreyfus Cash Management Fund—Institutional Shares (seven-day effective yield 0.090%)		698,270		698

TOTAL SHORT-TERM INVESTMENTS (Identified Cost $698)				698


TOTAL INVESTMENTS—100.4% (Identified Cost $9,597)		11,719	⁽¹⁾
Other assets and liabilities, net—(0.4)%		(51	)

NET ASSETS—100.0%	$	11,668

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at December 31, 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 December 31, 2012 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

Securities held by the Fund with an end of period value of $9,515 were transferred from Level 1 to Level 2 based on our valuation procedures for non-US securities.

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
CLOSE-END FUNDS—88.3%
Equity Funds—42.1%
Adams Express Co.		3,149	$	33
Advent Claymore Enhanced Growth & Income Fund		1,708		16
AGIC Equity & Convertible Income Fund		2,000		33
Alpine Total Dynamic Dividend Fund		5,000		20
ASA Gold and Precious Metals Ltd.		1,000		22
BlackRock Enhanced Equity Dividend Trust		8,000		58
Central Securities Corp.		1,953		39
Cohen & Steers Infrastructure Fund, Inc.		2,000		38
Cohen & Steers REIT and Preferred Income Fund, Inc.		2,000		34
Eaton Vance Risk-Managed Diversified Equity Income Fund		2,500		26
Eaton Vance Tax Managed Global Buy Write Opportunities Fund		400		4
Eaton Vance Tax-Advantaged Global Dividend Opportunities Fund		1,600		32
Eaton Vance Tax-Managed Diversified Equity Income Fund		2,500		24
Eaton Vance Tax-Managed Global Diversified Equity Income Fund		4,700		41
General American Investors Co., Inc.		1,049		29
Guggenheim Enhanced Equitystrategy Fund		856		14
Liberty All Star Equity Fund		4,983		24
Petroleum & Resources Corp.		1,054		25
RMR Real Estate Income Fund		1,851		34
Royce Value Trust, Inc.		305		4
Source Capital, Inc.		500		26
Tri-Continental Corp.		2,500		40

				616

Fixed Income Funds—21.8%
AllianceBernstein Income Fund		7,000		57
American Select Portfolio		3,000		33
Helios Total Return Fund, Inc.		1,000		24
Montgomery Street Income Securities, Inc.		2,000		34
NexPoint Credit Strategies Fund		5,000		33
Nuveen Build America Bond Opportunity Fund		1,800		39
Nuveen Build American Bond Term Fund		1,500		32
Putnam Premier Income Trust		10,000		54


	SHARES		VALUE
Fixed Income Funds—(continued)
Western Asset/Claymore Inflation-Linked Opportunities & Income Fund		1,000	$	13

				319

International Equity Funds—21.0%
AGIC International & Premium Strategy Fund		3,000		29
BlackRock International Growth and Income Trust		5,500		40
Calamos Global Dynamic Income Fund		2,200		18
Clough Global Equity Fund		2,500		33
Clough Global Opportunities Fund		1,000		12
Delaware Enhanced Global Dividend and Income Fund		5,000		58
Korea Fund, Inc. (The)⁽²⁾		800		33
Morgan Stanley Asia Pacific Fund, Inc.		2,324		35
Singapore Fund, Inc. (The)		1,800		25
Thai Fund, Inc. (The)		1,222		24

				307

International Fixed Income Fund—3.4%
Nuveen Multi-Currency Short-Term Government Income Fund		3,850		50

TOTAL CLOSE-END FUNDS (Identified Cost $1,283)				1,292

TOTAL LONG TERM INVESTMENTS—88.3% (Identified cost $1,283)				1,292

SHORT-TERM INVESTMENTS—12.0%
Money Market Mutual Funds—12.0%
BlackRock Liquidity Funds TempFund Portfolio - Insitutional Shares (seven-day effective yield 0.140%)		175,486		175

TOTAL SHORT-TERM INVESTMENTS (Identified Cost $175)				175

TOTAL INVESTMENTS—100.3% (Identified Cost $1,458)				1,467	⁽¹⁾
Other assets and liabilities, net—(0.3)%				(4	)

NET ASSETS—100.0%			$	1,463

Abbreviations:

REIT	Real Estate Investment Trust

The following table provides a summary of inputs used to value the Fund’s investments as of December 31, 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—2.5%
Bolivarian Republic of Venezuela
RegS 5.750%, 2/26/16⁽⁴⁾	$	170		$	163
RegS 12.750%, 8/23/22⁽⁴⁾		250			293
Federative Republic of Brazil 8.500%, 1/5/24		1,040	^BRL		618
Mongolia 144A 5.125%, 12/5/22⁽²⁾		325			320
Republic of Argentina Provincia de Neuquen 144A 7.875%, 4/26/21⁽²⁾		235			204
Republic of Slovenia 144A 5.500%, 10/26/22⁽²⁾		265			278
Republic of Turkey 9.000%, 3/5/14		625	^TRY		362
United Mexican States
Series M, 6.000%, 6/18/15		2,445	^MXN		194
Series M, 6.500%, 6/9/22		3,645	^MXN		305

TOTAL FOREIGN GOVERNMENT SECURITIES (Identified Cost $2,624)					2,737

MORTGAGE-BACKED SECURITIES—2.7%
Non-Agency—2.7%
Countrywide Home Loan Mortgage Pass-Through-Trust
02-R2, 1M 144A 5.750%, 7/25/33⁽²⁾		481			403
05-22, 3A1 5.183%, 10/25/35⁽²⁾⁽³⁾		399			332
Goldman Sachs Mortgage Pass-Through-Securities Mortgage Loan Trust 05-RP1, 1A3 144A 8.000%, 1/25/35⁽²⁾		234			250
MASTR Reperforming Loan Trust 05-1, 1A5 144A 8.000%, 8/25/34⁽²⁾		307			319
Structured Adjustable Rate Mortgage Loan Trust
04-18, 1A2 2.754%, 12/25/34⁽³⁾		422			362
07-5, 2A1 5.036%, 6/25/37⁽³⁾		1,025			911
Structured Asset Securities Corp. 07-EQ1, A2 0.300%, 3/25/37⁽³⁾		102			80
SunTrust Adjustable Rate Mortgage Loan Trust 07-S1, 5A1 4.770%, 1/25/37⁽³⁾		303			298

TOTAL MORTGAGE-BACKED SECURITIES (Identified Cost $2,781)					2,955

ASSET-BACKED SECURITIES—1.3%
ABSC Long Beach Home Equity Loan Trust 00-LB1, M1F 8.240%, 3/21/29⁽³⁾		302			257
Countrywide Asset-Backed Certificates 05-1, AF5A 5.497%, 7/25/35⁽³⁾		400			380


	PAR VALUE		VALUE
Drug Royalty Corp., Inc 12-1, A2 144A 4.474%, 1/15/25⁽²⁾	$	325	$	326
Equity One ABS, Inc. 01-3, AF4 6.252%, 5/25/32⁽³⁾		236		188
Residential Funding Mortgage Securities II Home Loan Trust 06-H11, M1 6.010%, 2/25/36⁽³⁾		200		200
Terwin Mortgage Trust 04-15AL, A1 144A 5.797%, 7/25/34⁽²⁾		140		133

TOTAL ASSET-BACKED SECURITIES (Identified Cost $1,399)				1,484

CORPORATE BONDS AND NOTES—79.1%
Consumer Discretionary—13.4%
Allison Transmission, Inc. 144A 7.125%, 5/15/19⁽²⁾		975		1,046
American Axle & Manufacturing, Inc. 6.625%, 10/15/22		350		357
Ameristar Casinos, Inc. 7.500%, 4/15/21		500		544
Boyd Gaming Corp. 144A 9.000%, 7/1/20⁽²⁾		500		495
Brookfield Residential Properties, Inc. 144A 6.500%, 12/15/20⁽²⁾		385		397
Caesars Entertainment Operating Co., Inc.
10.000%, 12/15/18		345		230
144A 9.000%, 2/15/20⁽²⁾		500		503
CCO Holdings LLC (CCO Holdings Capital Corp.)
6.500%, 4/30/21		280		303
5.250%, 9/30/22		250		254
Chrysler Group LLC (Chrysler Group, Inc.) 8.250%, 6/15/21		200		221
Cinemark USA, Inc. 5.125%, 12/15/22⁽²⁾		500		509
Claire’s Stores, Inc. 144A 9.000%, 3/15/19⁽²⁾		335		361
Clear Channel Communications, Inc. 144A 9.000%, 12/15/19⁽²⁾		133		122
Clear Channel Worldwide Holdings, Inc.
144A 6.500%, 11/15/22⁽²⁾		70		72
144A 6.500%, 11/15/22⁽²⁾		185		193
Dana Holding Corp. 6.750%, 2/15/21		730		788
DISH DBS Corp.
4.625%, 7/15/17		590		618
5.875%, 7/15/22		260		281
HD Supply, Inc. 144A 8.125%, 4/15/19⁽²⁾		500		571
Landry’s, Inc. 144A 9.375%, 5/1/20⁽²⁾		150		159
MGM Resorts International 144A 6.750%, 10/1/20⁽²⁾		1,270		1,300
Nara Cable Funding Ltd. 144A 8.875%, 12/1/18⁽²⁾		675		690


	PAR VALUE		VALUE
Consumer Discretionary—(continued)
Petco Holdings, Inc. PIK Interest Capitalization 144A 8.500%, 10/15/17⁽²⁾⁽³⁾	$	145	$	150
Sally Holdings LLC (Sally Capital, Inc.) 5.750%, 6/1/22		300		327
Scientific Games International, Inc. 9.250%, 6/15/19		450		503
Sinclair Television Group, Inc. 144A 6.125%, 10/1/22⁽²⁾⁽⁷⁾		500		533
Sirius XM Radio, Inc. 144A 5.250%, 8/15/22⁽²⁾		275		279
Six Flags Entertainment Corp. 144A 5.250%, 1/15/21⁽²⁾		365		366
UCI International, Inc. 8.625%, 2/15/19		480		478
United Artists Theatre Circuit, Inc.
Series AW-0 9.300%, 7/1/15⁽⁵⁾⁽⁶⁾		1		1
Series BE-9 9.300%, 7/1/15⁽⁵⁾⁽⁶⁾		6		6
Series 95-BD, 1 9.300%, 7/1/15⁽⁵⁾⁽⁶⁾		178		181
Series 95-A 9.300%, 7/1/15⁽⁵⁾⁽⁶⁾		158		161
Univision Communications, Inc. 144A 7.875%, 11/1/20⁽²⁾		250		272
Valassis Communication, Inc. 6.625%, 2/1/21		885		943
Visteon Corp. 6.750%, 4/15/19		218		233
WMG Acquisition Corp. 144A 6.000%, 1/15/21⁽²⁾		320		339

				14,786

Consumer Staples—1.4%
American Rock Salt Co. LLC (American Rock Capital Corp.) 144A 8.250%, 5/1/18⁽²⁾		1,000		910
Cencosud SA 144A 4.875%, 1/20/23⁽²⁾		270		276
Rite Aid Corp. 9.500%, 6/15/17		350		367

				1,553

Energy—10.8%
Antero Resources Finance Corp. 7.250%, 8/1/19		500		547
Atlas Pipeline Partners LP (Atlas Pipeline Finance Corp.) 144A 6.625%, 10/1/20⁽²⁾		255		265
Atwood Oceanics, Inc. 6.500%, 2/1/20		375		405
Bill Barrett Corp. 7.625%, 10/1/19		250		265
BreitBurn Energy Partners LP (BreitBurn Finance Corp.) 144A 7.875%, 4/15/22⁽²⁾		295		307
Carrizo Oil & Gas, Inc. 8.625%, 10/15/18		230		250
Compagnie Generale de Geophysique-Veritas 6.500%, 6/1/21		235		253


	PAR VALUE		VALUE
Energy—(continued)
Copano Energy LLC (Copano Energy Finance Corp.) 7.125%, 4/1/21	$	470	$	507
Energy Transfer Equity LP 7.500%, 10/15/20		275		319
EP Energy LLC (EP Energy Finance, Inc.) 9.375%, 5/1/20		415		470
EPL Oil & Gas, Inc. 144A 8.250%, 2/15/18⁽²⁾		270		279
EV Energy Partners LP (EV Energy Finance Corp.) 8.000%, 4/15/19		125		133
Expro Finance Luxembourg SCA 144A 8.500%, 12/15/16⁽²⁾		172		181
Forest Oil Corp. 7.250%, 6/15/19		350		353
Frontier Oil Corp. 6.875%, 11/15/18		220		238
Gulfmark Offshore, Inc. 144A 6.375%, 3/15/22⁽²⁾		400		414
Halcon Resources Corp. 144A 8.875%, 5/15/21⁽²⁾		300		319
Hercules Offshore, Inc. 144A 10.500%, 10/15/17⁽²⁾		240		260
Linn Energy LLC (Linn Energy Finance Corp.) 7.750%, 2/1/21		490		524
National JSC Naftogaz of Ukraine 9.500%, 9/30/14		250		258
OGX Austria GmbH 144A 8.500%, 6/1/18⁽²⁾		750		679
Parker Drilling Co. 9.125%, 4/1/18		400		429
PDC Energy, Inc. 144A 7.750%, 10/15/22⁽²⁾		255		263
Petroleos de Venezuela SA RegS 8.500%, 11/2/17⁽⁴⁾		500		495
Plains Exploration & Production Co. 6.875%, 2/15/23		710		815
QEP Resources, Inc. 6.875%, 3/1/21		365		422
Quicksilver Resources, Inc. 7.125%, 4/1/16		400		322
Samson Investment Co. 144A 9.750%, 2/15/20⁽²⁾		265		282
SESI LLC 6.375%, 5/1/19		500		537
Targa Resources Partners LP (Targa Resources Partners Finance Corp.) 144A 6.375%, 8/1/22⁽²⁾		560		613
Venoco, Inc. 11.500%, 10/1/17		180		189
Zhaikmunai LP (Zhaikmanai International BV) 144A 7.125%, 11/13/19⁽²⁾		255		268

				11,861

Financials—16.6%
Agile Property Holdings Ltd. 144A 8.875%, 4/28/17⁽²⁾		520		564
Air Lease Corp. 5.625%, 4/1/17		755		804
Aircastle Ltd. 7.625%, 4/15/20		715		803
Alfa Bank OJSC (Alfa Bond Issuance plc)


	PAR VALUE			VALUE
Financials—(continued)
RegS 7.875%, 9/25/17⁽⁴⁾⁽⁷⁾	$	200		$	224
144A 7.500%, 9/26/19⁽²⁾⁽⁷⁾		200			212
Ally Financial, Inc. 0.000%, 6/15/15		2,000			1,815
ALROSA Finance SA 144A 7.750%, 11/3/20⁽²⁾		280			326
Alta Mesa Holdings LP (Alta Mesa Finance Services Corp.) 9.625%, 10/15/18		275			285
Avis Budget Car Rental LLC (Avis Budget Finance, Inc.) 9.750%, 3/15/20		1,000			1,160
Banco ABC Brasil SA 144A 7.875%, 4/8/20⁽²⁾		310			340
Banco Bilbao Vizcaya Argentaria Bancomer SA 144A 6.500%, 3/10/21⁽²⁾		250			278
Banco do Brasil S.A. 144A 9.250%, 10/31/49⁽²⁾⁽³⁾		475			590
Bank of Georgia JSC 144A 7.750%, 7/5/17⁽²⁾		240			244
Cequel Communications Holdings I LLC (Cequel Capital Corp.) 144A 6.375%, 9/15/20⁽²⁾		350			366
CIT Group, Inc. 144A 5.500%, 2/15/19⁽²⁾		1,000			1,095
CNL Lifestyle Properties, Inc. 7.250%, 4/15/19		500			480
E*TRADE Financial Corp. 6.375%, 11/15/19		265			273
General Motors Financial Co., Inc. 144A 4.750%, 8/15/17⁽²⁾		200			210
Genworth Financial, Inc. 7.625%, 9/24/21		265			292
Glen Meadow Pass-Through Trust 144A 6.505%, 2/12/67⁽²⁾⁽³⁾		480			445
GRD Holdings III Corp. 144A 10.750%, 6/1/19⁽²⁾		320			322
Griffey Intermediate, Inc. (Griffey Finance Sub LLC) 144A 7.000%, 10/15/20⁽²⁾		300			308
HDTFS, Inc. 144A 5.875%, 10/15/20⁽²⁾		235			247
ING U.S., Inc. 144A 5.500%, 7/15/22⁽²⁾		240			260
International Lease Finance Corp.
6.250%, 5/15/19		455			487
5.875%, 8/15/22		840			889
Kazkommerts Bank International BV 144A 7.875%, 4/7/14⁽²⁾		600			603
Landry’s Holdings II, Inc. 144A 10.250%, 1/1/18⁽²⁾		175			175
Morgan Stanley 144A 10.090%, 5/3/17		450	^BRL		238
QGOG Constellation SA 144A 6.250%, 11/9/19⁽²⁾		305			319
Regions Bank 7.500%, 5/15/18		250			302
Rent-A-Center, Inc. 6.625%, 11/15/20		495			542
Reynolds Group Issuer, Inc. (Reynolds Group Issuer LLC)
8.500%, 5/15/18		400			412
7.875%, 8/15/19		250			279


	PAR VALUE		VALUE
Financials—(continued)
Spencer Spirit Holdings, Inc. (Spencer Gifts LLC, Spirit Halloween Superstores) 144A 11.000%, 5/1/17⁽²⁾	$	375	$	402
Springleaf Finance Corp.
5.850%, 6/1/13		250		255
5.400%, 12/1/15		250		238
United Rentals North America, Inc. 144A 7.375%, 5/15/20⁽²⁾		640		706
UPCB Finance Ltd. V 144A 7.250%, 11/15/21⁽²⁾		250		276
UPCB Finance VI Ltd. VI 144A 6.875%, 1/15/22⁽²⁾		150		163

				18,229

Health Care—5.2%
Community Health Systems, Inc. (CHS)
5.125%, 8/15/18		245		256
7.125%, 7/15/20		180		192
Grifols, Inc. 8.250%, 2/1/18		500		553
HCA, Inc.
6.500%, 2/15/20		300		338
7.500%, 2/15/22		765		880
Health Management Associates, Inc. 7.375%, 1/15/20		250		271
IASIS Healthcare LLC (IASIS Capital Corp.) 8.375%, 5/15/19		590		561
inVentiv Health, Inc. 144A 9.000%, 1/15/18⁽²⁾		190		192
Select Medical Holdings Corp. 6.429%, 9/15/15⁽³⁾		270		270
Sky Growth Acquisition Corp. 144A 7.375%, 10/15/20⁽²⁾		350		350
Symbion, Inc. 8.000%, 6/15/16		320		331
Tenet Healthcare Corp. 6.250%, 11/1/18		250		276
United Surgical Partners International, Inc. 9.000%, 4/1/20		500		558
Valeant Pharmaceuticals International, Inc. 144A 7.250%, 7/15/22⁽²⁾		300		329
VPI Escrow Corp. 144A 6.375%, 10/15/20⁽²⁾		290		313

				5,670

Industrials—9.1%
ADS Tactical, Inc. 144A 11.000%, 4/1/18⁽²⁾		245		251
ADS Waste Holdings, Inc. 144A 8.250%, 10/1/20⁽²⁾		250		264
Aircastle Ltd. 144A 6.250%, 12/1/19⁽²⁾		270		283
America West Airlines, Inc. Pass-Through-Trust Series 00-1, G 8.057%, 7/2/20		69		74


	PAR VALUE		VALUE
Industrials—(continued)
Bombardier, Inc. 144A 7.750%, 3/15/20⁽²⁾	$	395	$	450
Briggs & Stratton Corp. 6.875%, 12/15/20		155		176
CDRT Holding Corp. PIK Capitalization Interest 144A 9.250%, 10/1/17⁽²⁾⁽³⁾		260		267
CHC Helicopter SA 9.250%, 10/15/20		280		296
Deluxe Corp. 7.000%, 3/15/19		235		250
Dycom Investments, Inc. 7.125%, 1/15/21		1,000		1,063
DynCorp International, Inc. 10.375%, 7/1/17		460		423
Harland Clarke Holdings Corp. 144A 9.750%, 8/1/18⁽²⁾		125		122
Hexion U.S. Finance Corp. 6.625%, 4/15/20		65		66
Iron Mountain, Inc. 5.750%, 8/15/24		425		432
Kratos Defense & Security Solutions, Inc. 10.000%, 6/1/17		350		386
Masco Corp. 5.950%, 3/15/22		275		305
Northwest Airlines Pass-Through-Trust 01-1, B 7.691%, 4/1/17		327		347
Sappi Papier Holding GmbH 144A 7.750%, 7/15/17⁽²⁾		250		273
ServiceMaster Co. 144A 7.000%, 8/15/20⁽²⁾		365		368
Spectrum Brands Escrow Corp. 144A 6.375%, 11/15/20⁽²⁾		385		405
Spirit Aerosystems, Inc. 6.750%, 12/15/20		315		339
U.S. Airways Pass-Through-Trust
98-1 6.850%, 1/30/18		500		525
98-1B 7.350%, 1/30/18		216		219
99-1A 8.360%, 1/20/19		329		362
01-1G 7.076%, 3/20/21		505		525
11-1 A 7.125%, 10/22/23		420		472
UAL Pass-Through-Trust 07-01A 6.636%, 7/2/22		720		774
Yankee Candle Co. Holdings LLC (Yankee Finance, Inc.) Series B, 9.750%, 2/15/17		335		350

				10,067

Information Technology—2.4%
CommScope, Inc. 144A 8.250%, 1/15/19⁽²⁾		475		523
CoreLogic, Inc. 7.250%, 6/1/21		1,000		1,092
Digicel Ltd. 144A 8.250%, 9/1/17⁽²⁾		325		351
Hughes Satellite Systems Corp. 7.625%, 6/15/21		250		286
Igloo Holdings Corp. PIK Interset Capitalization 144A 8.250%, 12/15/17⁽²⁾⁽³⁾		115		114
SunGard Data Systems, Inc. 144A 6.625%, 11/1/19⁽²⁾		65		67


	PAR VALUE			VALUE
Information Technology—(continued)
Virgin Media Finance plc 8.375%, 10/15/19	$	167		$	190

					2,623

Materials—6.5%
Ardagh Packaging Finance plc 144A 9.125%, 10/15/20⁽²⁾		275			300
Calumet Specialty Products Partners LP (Calumet Finance Corp.)
9.375%, 5/1/19		230			251
144A 9.625%, 8/1/20⁽²⁾		200			219
Cascades, Inc. 7.875%, 1/15/20		880			942
Cemex SAB de CV 144A 9.500%, 6/15/18⁽²⁾		570			640
Eldorado Gold Corp. 144A 6.125%, 12/15/20⁽²⁾		190			194
Eurochem Mineral & Chemical Co. OJSC (EuroChem GI Ltd.) 144A 5.125%, 12/12/17⁽²⁾⁽⁷⁾		235			242
FMG Resources Property Ltd. 144A 6.000%, 4/1/17⁽²⁾		300			307
Ineos Finance plc
144A 8.375%, 2/15/19⁽²⁾		140			151
144A 7.500%, 5/1/20⁽²⁾		220			232
JMC Steel Group 144A 8.250%, 3/15/18⁽²⁾		490			514
Libbey Glass, Inc. 6.875%, 5/15/20		500			540
Nufarm Australia Ltd. 144A 6.375%, 10/15/19⁽²⁾		255			268
Pactiv LLC 8.125%, 6/15/17		535			536
Sappi Papier Holding GmbH 144A 6.625%, 4/15/21⁽²⁾		500			496
Sealed Air Corp. 144A 6.500%, 12/1/20⁽²⁾		105			114
Severstal OAO (Steel Capital SA) 144A 6.250%, 7/26/16⁽²⁾⁽⁷⁾		695			746
Taseko Mines Ltd. 7.750%, 4/15/19		165			160
Vedanta Resources plc 144A 9.500%, 7/18/18⁽²⁾		250			291

					7,143

Telecommunication Services—9.8%
America Movil SAB de CV Series 12 6.450%, 12/5/22		2,000	^MXN		159
Cincinnati Bell, Inc. 8.250%, 10/15/17		230			249
Clearwire Communications LLC (Clearwire Finance, Inc.) 144A 12.000%, 12/1/15⁽²⁾		300			324
Digicel Group Ltd. 144A 8.250%, 9/30/20⁽²⁾		500			552
Frontier Communications Corp.
8.125%, 10/1/18		295			341
7.125%, 1/15/23		410			436


	PAR VALUE		VALUE
Telecommunication Services—(continued)
GCI, Inc. 8.625%, 11/15/19	$	665	$	710
Intelsat Jackson Holdings SA 7.250%, 10/15/20		980		1,066
ITC Deltacom, Inc. 10.500%, 4/1/16		773		831
Level 3 Financing, Inc. 144A 7.000%, 6/1/20⁽²⁾		200		210
MetroPCS Wireless, Inc. 6.625%, 11/15/20		570		608
SBA Telecommunications, Inc. 144A 5.750%, 7/15/20⁽²⁾		315		336
Sprint Capital Corp. 6.875%, 11/15/28		1,200		1,254
Sprint Nextel Corp. 6.000%, 11/15/22		270		279
Unitymedia Hessen Gmbh & Co. Kg (Unitymedia NRW Gmbh) 144A 5.500%, 1/15/23⁽²⁾		750		778
Univision Communications, Inc. 144A 6.750%, 9/15/22⁽²⁾		165		171
Vimpel Communications OJSC (VIP Finance Ireland Ltd.) 144A 7.748%, 2/2/21⁽²⁾⁽⁷⁾		200		231
WideOpenWest Finance LLC (WideOpenWest Capital Corp.) 144A 10.250%, 7/15/19⁽²⁾		350		374
Wind Acquisition Finance S.A.
144A 11.750%, 7/15/17⁽²⁾		300		316
144A 7.250%, 2/15/18⁽²⁾		370		374
Windstream Corp.
8.125%, 9/1/18		95		104
7.000%, 3/15/19		750		770
7.750%, 10/15/20		250		271

				10,744

Utilities—3.9%
AES Corp. (The) 7.375%, 7/1/21		500		558
AmeriGas Partners LP (AmeriGas Finance Corp.)
6.250%, 8/20/19		230		247
7.000%, 5/20/22		300		335
Calpine Corp.
144A 7.875%, 7/31/20⁽²⁾		225		254
144A 7.500%, 2/15/21⁽²⁾		638		708
Covanta Holding Corp. 6.375%, 10/1/22		750		818
NRG Energy, Inc.
7.625%, 5/15/19		830		892
144A 6.625%, 3/15/23⁽²⁾		70		75


	PAR VALUE		VALUE
Utilities—(continued)
Texas Competitive Electric Holdings Co., LLC (Texas Competitive Holdings Finance, Inc.) 144A 11.500%, 10/1/20⁽²⁾	$	500	$	394

				4,281

TOTAL CORPORATE BONDS AND NOTES (Identified Cost $82,047)				86,957

LOAN AGREEMENTS⁽³⁾—11.8%
Consumer Discretionary—3.4%
BJ’s Wholesale Club, Inc. Second Lien, 9.750%, 3/26/20		85		88
Cannery Casino Resorts LLC First Lien 6.000%, 10/2/18		166		166
Cengage Learning Acquisitions, Inc. 2.720%, 7/3/14		321		255
Chrysler Group LLC (Chrysler Group Co-Issuer, Inc.) Tranche B, 6.000%, 5/24/17		296		302
Clear Channel Communications, Inc.
Tranche A, 3.612%, 7/30/14		204		199
Tranche B, 3.862%, 1/29/16		448		371
Cumulus Media Holdings, Inc. Second Lien, 7.500%, 9/16/19		325		336
EB Sports Corp. 11.500%, 12/31/15		310		310
Granite Broadcasting Corp. Tranche B First Lien, 8.500%, 5/23/18		194		194
Landry’s, Inc. (Landry’s Restaurants, Inc.) Tranche B, 6.500%, 4/24/18		397		402
MGM Resorts International (MGM Mirage) Tranche B, 4.250%, 12/20/19		111		112
Peppermill Casinos, Inc. Tranche B, 7.250%, 11/9/18		340		333
SRAM LLC Second Lien, 8.500%, 12/7/18		235		239
Station GVR Acquisition LLC (Green Valley Ranch Gaming LLC) 0.000%, 9/28/19⁽⁸⁾		183		184
Transtar Holding Co. Second Lien, 9.750%, 10/9/19		200		203

				3,694

Consumer Staples—0.3%
Supervalu, Inc. 8.000%, 8/30/18		363		369

Energy—0.6%
Frac Tech International LLC 8.500%, 5/6/16		445		371


	PAR VALUE		VALUE
Energy—(continued)
NGPL Pipeco LLC 6.750%, 9/15/17	$	257	$	264

				635

Financials—1.6%
Asurion LLC (Asurion Corp.) Second Lien, 9.000%, 5/24/19		103		106
iStar Financial, Inc.
Tranche A-2 7.000%, 3/19/17		250		263
5.750%, 10/15/17		255		258
Lonestar Intermediate Super Holdings LLC 11.000%, 9/2/19		92		98
Nuveen Investments, Inc. Second Lien, 8.250%, 2/28/19		191		195
Realogy Corp.
Extended LOC, 2.231%, 10/10/16		28		28
Extended First Lien, 4.461%, 10/10/16		385		387
Springleaf Financial Funding Co. (American General Finance Corp.) 5.500%, 5/10/17		300		299
Walter Investment Management Corp. Tranche B, 5.750%, 11/28/17		86		87

				1,721

Health Care—1.6%
AMN Healthcare, Inc. Tranche B, 5.750%, 4/5/18		399		403
Ardent Medical Services, Inc.
7.250%, 11/2/18		120		123
7.250%, 11/21/18		167		169
Aveta, Inc. (MMM Holdings, Inc.) 9.750%, 10/26/17		111		111
Houghton International, Inc. Second Lien, 10.500%, 12/17/20		370		367
MModal, Inc. Tranche B, 6.750%, 8/16/19		249		241
MSO of Puerto Rico, Inc. 9.750%, 10/26/17		80		80
Pharmaceutical Research Associates, Inc. 0.000%, 12/10/17⁽⁸⁾		290		290

				1,784

Industrials—0.7%
Alliance Laundry Systems LLC Second Lien, 9.500%, 12/10/19		72		73
Brand Energy & Infrastructure Services, Inc. Tranche B-1 0.000%, 10/23/19⁽⁸⁾		255		252
CHG Buyer Corp. Second Lien, 9.000%, 11/19/20		131		132


	PAR VALUE		VALUE
Industrials—(continued)
Harland Clarke Holdings Corp. (Clarke American Corp.) Tranche B-2 5.462%, 6/30/17	$	190	$	176
Zuffa LLC 7.500%, 6/19/15		183		185

				818

Information Technology—1.9%
Blue Coat Systems, Inc. 5.750%, 2/15/18		328		331
Deltek, Inc. Second Lien, 10.000%, 10/10/19		53		54
DynCorp International, Inc. 6.250%, 7/7/16		149		150
First Data Corp.
5.211%, 3/24/17		289		285
5.211%, 3/24/17		125		123
IPC Systems, Inc. Tranche C First Lien, 7.750%, 7/31/17		279		273
RP Crown Parent LLC
0.000%, 12/14/17⁽⁸⁾		89		88
0.000%, 12/16/19⁽⁸⁾		120		121
Veyance Technologies, Inc. Second Lien, 5.964%, 7/31/15		230		223
Wall Street Systems Holdings, Inc. Second Lien, 9.250%, 10/25/20		275		276
Zayo Group LLC (Zayo Capital, Inc.) 5.250%, 7/2/19		187		190

				2,114

Materials—1.0%
Essar Steel Algoma, Inc. (Algoma Steel, Inc.) 8.750%, 9/19/14		419		416
Kronos, Inc. Second Lien, 9.750%, 4/30/20		260		261
Trinseo Materials Operating S.C.A. (Styron S.A.R.L) 8.000%, 8/2/17		375		367

				1,044

Telecommunication Services—0.7%
Hawaiian Telcom Communications, Inc. 7.000%, 2/28/17		249		254
Level 3 Financing, Inc. Tranche B 2019, 5.250%, 8/1/19		562		569

				823

TOTAL LOAN AGREEMENTS (Identified Cost $12,877)				13,002


	SHARES		VALUE
PREFERRED STOCK⁽³⁾—1.0%
Financials—1.0%
Citigroup Capital XVII Series E 6.350%		20,000	$	501
GMAC Capital Trust I Series 2 8.125%		20,800		554

TOTAL PREFERRED STOCK (Identified Cost $1,020)				1,055

TOTAL LONG TERM INVESTMENTS—98.4% (Identified cost $102,748)				108,190	⁽⁹⁾

SHORT-TERM INVESTMENTS—1.3%
Money Market Mutual Funds—1.3%
BlackRock Liquidity Funds TempFund Portfolio - Insitutional Shares (seven-day effective yield 0.140%)		1,407,516		1,408

TOTAL SHORT-TERM INVESTMENTS (Identified Cost $1,408)				1,408

TOTAL INVESTMENTS—99.7% (Identified Cost $104,156)				109,598	⁽¹⁾
Other assets and liabilities, net—0.3%				372

NET ASSETS—100.0%			$	109,970

Abbreviations:

PIK	Payment-in-Kind Security

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at December 31, 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 December 31, 2012, these securities amounted to a value of $39,422 or 35.8% of net assets.

⁽³⁾	Variable or step coupon security; interest rate shown reflects the rate in effect at December 31, 2012.

⁽⁴⁾	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.

⁽⁵⁾	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.

⁽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⁾	This loan will settle after Deccember 31, 2012, at which time the interest rate will be determined.

⁽⁹⁾	A portion of the Fund’s assets have been segregated for delayed delivery settlements.

Foreign Currencies:

BRL	Brazilian Real

MXN	Mexican Peso

TRY	Turkish Lira

The following table provides a summary of inputs used to value the Fund’s investments as of December 31, 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
PREFERRED STOCK—1.5%
Materials—1.5%
Fuchs Petrolub AG 1.78%		5,347	$	400

TOTAL PREFERRED STOCK (Identified Cost $243)				400

COMMON STOCKS—94.9%
Consumer Discretionary—5.2%
adidas AG (Germany)		3,310		295
British Sky Broadcasting Group plc (United Kingdom)		21,800		275
Reed Elsevier N.V. (Netherlands)		29,460		437
Sumitomo Rubber Industries Ltd. (Japan)		31,900		386

				1,393

Consumer Staples—11.1%
British American Tobacco plc (United Kingdom)		5,300		270
Colruyt SA (Belgium)		11,040		547
Nestle S.A. Registered Shares (Switzerland)		12,470		814
Swedish Match AB (Sweden)		9,090		305
Tesco plc (United Kingdom)		53,400		294
Unilever N.V. (Netherlands)		9,432		361
Woolworths Ltd. (Australia)		11,420		350

				2,941

Energy—10.9%
BP plc (United Kingdom)		41,300		287
CNOOC Ltd. (China)		213,000		469
Royal Dutch Shell plc A Shares (United Kingdom)		17,610		606
Royal Dutch Shell plc B Shares (United Kingdom)		10,900		389
Total SA (France)		14,770		769
Woodside Petroleum Ltd. (Australia)		10,710		382

				2,902

Financials—7.7%
Legal & General Group plc (United Kingdom)		138,400		332
Malayan Banking Bhd (Malaysia)		133,545		403
QBE Insurance Group Ltd. (Australia)		30,780		353
Tokyu REIT, Inc. (Japan)		54		295
United Overseas Bank Ltd. (Singapore)		19,200		315
Zurich Financial Services AG (Switzerland)		1,330		356

				2,054


	SHARES		VALUE
Health Care—10.0%
GlaxoSmithKline plc (United Kingdom)		16,000	$	348
Novartis AG Registered Shares (Switzerland)		10,730		678
Roche Holding AG (Switzerland)		3,830		774
Sanofi (France)		6,380		605
Teva Pharmaceutical Industries Ltd. (Israel)		6,717		250

				2,655

Industrials—16.7%
Atlas Copco AB Class A (Sweden)		11,860		329
Brambles Ltd. (Australia)		55,000		436
ComfortDelgro Corp., Ltd. (Singapore)		221,000		325
Deutsche Post AG Registered Shares (Germany)		13,836		305
Kone Oyj (Finland)		3,710		274
Koninklijke Vopak N.V. (Netherlands)		3,930		278
Legrand SA (France)		10,610		450
Makita Corp. (Japan)		9,500		441
Mitsubishi Electric Corp. (Japan)		49,000		417
Panalpina Welttransport Holding AG Registered Shares (Switzerland)		1,980		202
Schindler Holding AG (Switzerland)		1,155		167
SembCorp Industries Ltd. (Singapore)		45,000		196
Singapore Technologies Engineering Ltd. (Singapore)		62,000		196
Toyota Tsusho Corp. (Japan)		16,400		405

				4,421

Information Technology—10.1%
Advantech Co., Ltd. (Taiwan)		59,000		250
ASM Pacific Technology Ltd. (Hong Kong)		33,200		408
Computershare Ltd. (Australia)		41,800		394
MediaTek, Inc. (Taiwan)		24,000		268
SAP AG (Germany)		6,380		513
Venture Corp., Ltd. (Singapore)		40,000		265
VTech Holdings Ltd. (Hong Kong)		30,200		341
Wincor Nixdorf AG (Germany)		5,079		240

				2,679

Materials—8.7%
Air Liquide SA (France)		4,130		522
CRH plc (Ireland)⁽²⁾		15,000		305
Givaudan SA Registered Shares (Switzerland)		172		182
Lafarge Malayan Cement BHD (Malaysia)		79,500		250
Rio Tinto Ltd. (Australia)		3,130		220
Shin-Etsu Chemical Co., Ltd. (Japan)		6,100		372
Symrise AG (Germany)		8,364		300


	SHARES		VALUE
Materials—(continued)
Syngenta AG Registered Shares (Switzerland)		410	$	166

				2,317

Telecommunication Services—9.7%
Axiata Group BHD (Malaysia)		166,700		361
Belgacom SA (Belgium)		9,800		288
Bezeq The Israeli Telecommunication Corp., Ltd. (Israel)		100,606		116
China Mobile Ltd. (Hong Kong)		33,500		394
Chunghwa Telecom Co., Ltd. (Taiwan)		80,600		263
StarHub Ltd. (Singapore)		59,900		188
Telenor ASA (Norway)		14,260		290
Telstra Corp., Ltd. (Australia)		52,000		237
Vodafone Group plc (United Kingdom)		169,700		427

				2,564

Utilities—4.8%
National Grid plc (United Kingdom)		27,200		312
Power Assets Holdings Ltd. (Hong Kong)		44,500		382
Scottish & Southern Energy plc (United Kingdom)		12,600		293
United Utilities Group plc (United Kingdom)		27,200		299

				1,286

TOTAL COMMON STOCKS (Identified Cost $22,189)				25,212

TOTAL LONG TERM INVESTMENTS—96.4% (Identified cost $22,432)				25,612	⁽³⁾

SHORT-TERM INVESTMENTS—3.5%
Money Market Mutual Funds—3.5%
Dreyfus Cash Management Fund - Institutional Shares (seven-day effective yield 0.090%)		921,961		922

TOTAL SHORT-TERM INVESTMENTS (Identified Cost $922)				922


TOTAL INVESTMENTS—99.9% (Identified Cost $23,354)		26,534	⁽¹⁾
Other assets and liabilities, net—0.1%		13

NET ASSETS—100.0%	$	26,547

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at December 31, 2012, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Non-income producing.

⁽³⁾	A portion of the Fund’s assets have been segregated for delayed delivery settlements.

At December 31, 2012, the Fund had entered into forward currency contracts as follows (reported in 000’s):

($ reported in thousands)


Country Weightings †
United Kingdom	15	%
Switzerland	12
Australia	9
France	9
Japan	9
Germany	8
Hong Kong	6
Other	32

Total	100	%

†	% of total investments as of December 31, 2012

The following table provides a summary of inputs used to value the Fund’s investments as of December 31, 2012 (See Security Valuation Note 1A in the Notes to Schedules of Investments):


	SHARES		VALUE
COMMON STOCKS—99.2%
Australia—19.2%
BGP Holdings plc^(2)(3)(4)		588,920	$	0
CFS Retail Property Trust		228,552		457
Dexus Property Group		1,236,115		1,313
GPT Group		211,000		812
Westfield Group		301,473		3,330
Westfield Retail Trust		321,173		1,013

				6,925

Bermuda—4.4%
Hongkong Land Holdings Ltd.		228,100		1,594

Canada—15.1%
Allied Properties Real Estate Investment Trust		28,315		940
Brookfield Properties, Inc.		63,450		1,082
Canadian Real Estate Investment Trust		19,095		832
Cominar Real Estate Investment Trust		23,965		544
First Capital Realty, Inc.		42,405		802
RioCan Real Estate Investment Trust⁽²⁾		45,050		1,248

				5,448

Finland—1.0%
Citycon OYJ⁽²⁾		109,646		373


France—11.2%
Fonciere Des Regions		3,960		333
Klepierre		18,606		744
Societe Immobiliere de Location Pour L’industrie Et Le Commerce		3,047		338
Unibail-Rodamco		10,915		2,647

				4,062

Germany—2.0%
GSW Immobilien AG		17,390		737

Hong Kong—8.8%
Hang Lung Properties Ltd.		225,000		905
Hysan Development Co. Ltd.		131,000		637
Link (The)		328,441		1,645

				3,187

Italy—0.9%
Beni Stabili SpA		516,257		304

Japan—6.3%
AEON Mall Co., Ltd.		21,330		525


	SHARES		VALUE
Japan—(continued)
Japan Prime Realty Investment Corp.		214	$	618
Japan Real Estate Investment Corp.		41		404
Nippon Building Fund, Inc.		72		745

				2,292

Netherlands—2.8%
Corio N.V.		10,861		498
Eurocommercial Properties N.V.⁽²⁾		13,097		526

				1,024

Norway—1.2%
Norwegian Property ASA		284,600		441

Singapore—7.5%
CapitaMall Trust		262,650		462
CapitaRetail China Trust		417,725		565
Global Logistic Properties Ltd.		457,500		1,058
Mapletree Logistics Trust		676,544		637

				2,722

Sweden—2.2%
Castellum AB		37,366		533
Fabege AB		25,000		253

				786

Switzerland—0.7%
PSP Swiss Property AG⁽²⁾		2,491		236


United Kingdom—15.9%
Big Yellow Group plc		96,188		546
British Land Co. plc		95,305		880
Derwent London plc		12,846		445
Great Portland Estates plc		37,018		298
Hammerson plc		125,309		1,005
Land Securities Group plc		110,685		1,477
Safestore Holdings plc		261,876		459
SEGRO plc		156,457		635

				5,745

TOTAL COMMON STOCKS (Identified Cost $26,563)				35,876

TOTAL LONG TERM INVESTMENTS—99.2% (Identified cost $26,563)				35,876


	SHARES		VALUE
SHORT-TERM INVESTMENTS—0.3%
Money Market Mutual Funds—0.3%
Dreyfus Cash Management Fund - Institutional Shares (seven-day effective yield 0.090%)		110,925	$	111

TOTAL SHORT-TERM INVESTMENTS (Identified Cost $111)				111

TOTAL INVESTMENTS—99.5% (Identified Cost $26,674)				35,987	⁽¹⁾

Other assets and liabilities, net—0.5%				175

NET ASSETS—100.0%			$	36,162

Footnote Legend:

⁽¹⁾	Federal Income Tax Information : For tax information at December 31, 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 December 31, 2012 (See Security Valuation Note 1A in the Notes to Schedules of Investments):


	SHARES		VALUE
COMMON STOCKS—95.7%
Consumer Discretionary—13.8%
Goldlion Holdings Ltd. (Hong Kong)		349,600	$	188
Maisons France Confort (France)		4,500		143
Rightmove plc (United Kingdom)		2,300		54
Van de Velde NV (Belgium)		2,003		90
Watts Co., Ltd. (Japan)		8,000		109
Wotif.Com Holdings Ltd. (Australia)		32,400		180

				764

Consumer Staples—5.9%
Compania Cervecerias Unidas SA (Chile)		6,700		106
Distell Group Ltd. (South Africa)		5,100		64
Dongsuh Co., Inc. (South Korea)		9,200		158

				328

Energy—4.3%
Schoeller-Bleckmann Oilfield Equipment AG (Austria)		1,065		111
TGS Nopec Geophysical Co., ASA (Norway)		3,900		129

				240

Financials—14.9%
ARA Asset Management Ltd. 144A (Singapore)⁽²⁾		141,600		189
Austbrokers Holdings Ltd. (Australia)		1,900		17
Century 21 Real Estate of Japan Ltd. (Japan)		15		56
Euler Hermes SA (France)		1,000		87
Euroz Ltd. (Australia)		247,000		256
Hiscox Ltd. (Bermuda)		22,700		169
Rathbone Brothers plc (United Kingdom)		2,525		53

				827

Health Care—7.3%
Haw Par Corp. Ltd. (Singapore)		21,500		119
Nakanishi, Inc. (Japan)		1,000		100
Stallergenes SA (France)		715		40
Win International Co., Ltd. (Japan)		19,300		146

				405

Industrials—22.7%
AIT Corp. (Japan)		16,600		242
Amadeus Fire AG (Germany)		3,400		186
ASR Holdings Ltd. (Hong Kong)		240,000		61
Clasquin (France)		4,200		104
Freight Management Holdings Bhd (Malaysia)		172,900		54
Pfeiffer Vacuum Technology AG (Germany)		510		62


	SHARES		VALUE
Industrials—(continued)
Richelieu Hardware Ltd. (Canada)		5,350	$	199
Rotork plc (United Kingdom)		2,950		123
Thermador Groupe (France)		2,130		161
Vicom Ltd. (Singapore)		15,998		64

				1,256

Information Technology—12.9%
Carsales.Com Ltd. (Australia)		6,380		49
Computer Modelling Group Ltd. (Canada)		3,140		67
Domino Printing Sciences plc (United Kingdom)		16,500		157
Iress Ltd. (Australia)		9,900		86
MercadoLibre, Inc. (United States)		2,985		234
Pro-Ship, Inc. (Japan)		6,800		120

				713

Materials—13.9%
Assore Ltd. (South Africa)		1,955		94
Corp. Moctezuma SAB de CV (Mexico)		90,600		221
KPX Chemical Co., Ltd. (South Korea)		4,399		203
Uyemura (C) & Co., Ltd. (Japan)		3,800		120
Victrex plc (United Kingdom)		4,900		131

				769

TOTAL COMMON STOCKS (Identified Cost $5,034)				5,302

TOTAL LONG TERM INVESTMENTS—95.7% (Identified cost $5,034)				5,302

SHORT-TERM INVESTMENTS—4.8%
Money Market Mutual Funds—4.8%
BlackRock Liquidity Funds TempFund Portfolio - Insitutional Shares (seven-day effective yield 0.140%)		268,380		268

TOTAL SHORT-TERM INVESTMENTS (Identified Cost $268)				268

TOTAL INVESTMENTS—100.5% (Identified Cost $5,302)				5,570	⁽¹⁾
Other assets and liabilities, net—(0.5)%				(27	)

NET ASSETS—100.0%			$	5,543

The following table provides a summary of inputs used to value the Fund’s investments as of December 31, 2012 (See Security Valuation Note 1A in the Notes to Schedules of Investments):


	PAR VALUE			VALUE
U.S. GOVERNMENT SECURITIES—0.3%
U.S. Treasury Bond 3.125%, 11/15/41	$	1,500		$	1,564

TOTAL U.S. GOVERNMENT SECURITIES (Identified Cost $1,633)					1,564

MUNICIPAL BONDS—0.2%
Kentucky—0.1%
Commonwealth of Kentucky Taxable 3.165%, 4/1/18		505			529

Michigan—0.0%
Tobacco Settlement Finance Authority Taxable Series 06-A, 7.309%, 6/1/34		155			130

Virginia—0.1%
Tobacco Settlement Financing Corp. Taxable Series 07-A1, 6.706%, 6/1/46		345			245

TOTAL MUNICIPAL BONDS (Identified Cost $980)					904

FOREIGN GOVERNMENT SECURITIES—10.8%
Bolivarian Republic of Venezuela
RegS 5.750%, 2/26/16⁽⁵⁾		545			522
RegS 7.000%, 12/1/18⁽⁵⁾		510			478
RegS 12.750%, 8/23/22⁽⁵⁾		485			567
9.250%, 9/15/27		360			362
9.375%, 1/13/34		2,145			2,134
Commonwealth of Australia Series 118, 6.500%, 5/15/13		2,880	^AUD		3,031
Commonwealth of Canada 1.750%, 3/1/13		4,455	^CAD		4,484
Commonwealth of New Zealand
Series 413, 6.500%, 4/15/13		2,104	^NZD		1,758
Series 415, 6.000%, 4/15/15		220	^NZD		196
Federative Republic of Brazil
12.500%, 1/5/16		1,235	^BRL		743
8.500%, 1/5/24		6,195	^BRL		3,684
Kingdom of Morocco 144A 4.250%, 12/11/22⁽⁴⁾		1,030			1,038
Kingdom of Norway Series 470, 6.500%, 5/15/13		14,943	^NOK		2,734
Kingdom of Spain 5.850%, 1/31/22		460	^EUR		632
Mongolia 144A 5.125%, 12/5/22⁽⁴⁾		825			813
Republic of Argentina
Provincia de Bueno Aires Series GDP, 144A 10.875%, 1/26/21⁽⁴⁾		500			370
Provincia de Neuquen 144A 7.875%, 4/26/21⁽⁴⁾		628			546


	PAR VALUE			VALUE
PIK Interest Capitalization 8.280%, 12/31/33	$	2,441		$	1,758
Republic of Colombia
12.000%, 10/22/15		925,000	^COP		636
4.375%, 3/21/23		1,867,000	^COP		1,053
Republic of Croatia 144A 6.375%, 3/24/21⁽⁴⁾		1,045			1,189
Republic of Iceland 144A 5.875%, 5/11/22⁽⁴⁾		925			1,032
Republic of Peru
144A 7.840%, 8/12/20⁽⁴⁾		1,065	^PEN		526
RegS 6.900%, 8/12/37⁽⁵⁾		2,010	^PEN		1,004
Republic of Serbia 144A 5.250%, 11/21/17⁽⁴⁾		700			730
Republic of Slovak 144A 4.375%, 5/21/22⁽⁴⁾		850			926
Republic of Slovenia 144A 5.500%, 10/26/22⁽⁴⁾		1,000			1,050
Republic of South Africa
Series R206 7.500%, 1/15/14		11,845	^ZAR		1,431
Series R-208 6.750%, 3/31/21		6,720	^ZAR		811
Republic of Turkey 9.000%, 3/5/14		5,855	^TRY		3,389
Republic of Ukraine 144A 7.950%, 6/4/14⁽⁴⁾		550			560
State of Qatar 144A 4.500%, 1/20/22⁽⁴⁾		550			631
United Mexican States
Series M, 6.000%, 6/18/15		30,592	^MXN		2,431
Series M, 6.500%, 6/9/22		30,825	^MXN		2,580

TOTAL FOREIGN GOVERNMENT SECURITIES (Identified Cost $43,218)					45,829

MORTGAGE-BACKED SECURITIES—10.9%
Non-Agency—10.9%
Banc of America (Merrill Lynch) Commercial Mortgage, Inc. 05-3, AJ 4.767%, 7/10/43⁽³⁾		1,050			1,055
Bank of America Funding Corp. 06-2, 3A1 6.000%, 3/25/36		494			504
Bear Stearns Commercial Mortgage Securities, Inc.
06-T22, AM 5.573%, 4/12/38⁽³⁾		900			996
06-PW12, AM 5.751%, 9/11/38⁽³⁾		650			728
05-PW10, AM 5.449%, 12/11/40⁽³⁾		895			987
06-PW13, AM 5.582%, 9/11/41⁽³⁾		1,360			1,519
07-T28, A4 5.742%, 9/11/42⁽³⁾		800			954
07-PW18, AM 6.084%, 6/11/50⁽³⁾		1,525			1,698
Chase Mortgage Finance Corp. 07-A1, 10A1 3.081%, 2/25/37⁽³⁾		840			836
Citigroup - Deutsche Bank Commercial Mortgage Trust
05-CD1, AM 5.219%, 7/15/44⁽³⁾		610			671
07-CD4, A4 5.322%, 12/11/49		475			545


	PAR VALUE		VALUE
Non-Agency—(continued)
Commercial Mortgage Pass-Through Certificates 07-C2, A3 5.542%, 1/15/49⁽³⁾	$	1,555	$	1,767
Countrywide Home Loan Mortgage Pass-Through- Trust
02-R2, 1M 144A 5.750%, 7/25/33⁽⁴⁾		475		398
04-R1, 2A, 144A 6.500%, 11/25/34⁽⁴⁾		525		532
05-22, 3A1 5.163%, 10/25/35⁽³⁾		957		794
Credit Suisse Mortgage Capital Certificates 06-C1, A3 5.409%, 2/15/39⁽³⁾		426		436
GE Capital Commercial Mortgage Corp. 03-C1, C 4.975%, 1/10/38⁽³⁾		595		597
GMAC Commercial Mortgage Securities, Inc. 04- C2, A3 5.134%, 8/10/38		325		335
GMAC Mortgage Corp. Loan Trust 06-HLTV, A4 5.810%, 10/25/29		833		812
Goldman Sachs Mortgage Pass-Through- Securities Mortgage Loan Trust 05-RP1, 1A3 144A 8.000%, 1/25/35⁽⁴⁾		1,323		1,418
Goldman Sachs Mortgage Securities Corp. II 07- GG10, A4 5.789%, 8/10/45⁽³⁾		750		865
JPMorgan Chase Commercial Mortgage Securities Corp.
10-CNTR, A2, 144A 4.311%, 8/5/32⁽⁴⁾		750		829
06-CB17, AM 5.464%, 12/12/43		745		777
06-LDP7, AM 5.871%, 4/15/45⁽³⁾		1,500		1,677
06-LDP7, A4 5.871%, 4/15/45⁽³⁾		1,800		2,071
07-LD12, A4 5.882%, 2/15/51⁽³⁾		750		884
Lehman Brothers—UBS Commercial Mortgage Trust
06-C3, AM 5.712%, 3/15/39⁽³⁾		740		815
07-C2, A3 5.430%, 2/15/40		1,100		1,262
07-C7, A3 5.866%, 9/15/45⁽³⁾		600		715
Lehman Brothers Commercial Mortgage Trust 07- C3, A4 5.886%, 7/15/44⁽³⁾		500		588
MASTR Alternative Loans Trust 04-6, 10A1 6.000%, 7/25/34		729		739
MASTR Reperforming Loan Trust 05-1, 1A5 144A 8.000%, 8/25/34⁽⁴⁾		818		850
Merrill Lynch Mortgage Investors, Inc. 98-C1, C 6.750%, 11/15/26⁽³⁾		1,260		1,404
Merrill Lynch Mortgage Trust 06-C1, AM 5.684%, 5/12/39⁽³⁾		715		802


	PAR VALUE		VALUE
Non-Agency—(continued)
Morgan Stanley Capital I, Inc.
05-HQ5, A3 5.007%, 1/14/42	$	8	$	8
07-IQ14, A4 5.692%, 4/15/49⁽³⁾		970		1,126
Motel 6 Trust 12-MTLB, D 144A 3.781%, 10/5/25⁽⁴⁾		1,075		1,075
Nomura Asset Acceptance Corp.
04-R1, A1 144A 6.500%, 3/25/34⁽⁴⁾		1,643		1,729
04-R3, A1 144A 6.500%, 2/25/35⁽⁴⁾		507		526
Opteum Mortgage Acceptance Corp. 06-1, 2APT 5.750%, 4/25/36⁽³⁾		1,152		1,130
Residential Accredit Loans, Inc. 04-QS16, 1A5 5.500%, 12/25/34		1,216		1,183
Residential Funding Mortgage Securities I, Inc. 05- S1, 1A2 5.500%, 2/25/35		1,650		1,687
Structured Asset Securities Corp. 07-EQ1, A2 0.300%, 3/25/37⁽³⁾		374		294
SunTrust Adjustable Rate Mortgage Loan Trust 07-S1, 5A1 4.770%, 1/25/37⁽³⁾		896		884
Wachovia Bank Commercial Mortgage Trust
07-C33, A4 5.921%, 7/15/17⁽³⁾		550		645
06-C25, AM 5.736%, 5/15/43⁽³⁾		1,125		1,261
07-C30, A5 5.342%, 12/15/43		1,610		1,844
07-C32, A3 5.737%, 6/15/49⁽³⁾		360		420
Washington Mutual Commercial Mortgage Securities Trust 06-SL1, A, 144A 5.287%, 11/23/43⁽³⁾⁽⁴⁾		579		570

TOTAL MORTGAGE-BACKED SECURITIES (Identified Cost $42,392)				46,242

ASSET-BACKED SECURITIES—4.2%
ABSC Long Beach Home Equity Loan Trust 00- LB1, M1F 8.240%, 3/21/29⁽³⁾		886		754
AmeriCredit Automobile Receivables Trust
11-4, E, 144A 6.530%, 1/8/19⁽⁴⁾		300		327
11-5, E 6.760%, 3/8/19		600		661
Bombardier Capital Mortgage Securitization Corp. 99-A, A3 5.980%, 1/15/18⁽³⁾		556		553
Citicorp Residential Mortgage Securities, Inc. 07- 2, A3 6.080%, 6/25/37⁽³⁾		1,157		1,157
Conseco Financial Corp. 01-3, A4 6.910%, 5/1/33⁽³⁾		507		531
Countrywide Asset-Backed Certificates
04-13, AF4 4.583%, 1/25/33⁽³⁾		461		461
05-1, AF5A 5.497%, 7/25/35⁽³⁾		1,000		949
05-12, 1A4 5.323%, 2/25/36⁽³⁾		1,150		1,129


	PAR VALUE			VALUE
Dominos Pizza Master Issuer LLC 12-1A, A2 144A 5.216%, 1/25/42⁽⁴⁾	$	1,236		$	1,388
Drug Royalty Corp., Inc 12-1, A2 144A 4.474%, 1/15/25⁽⁴⁾		595			597
Equity One ABS, Inc. 01-3, AF4 6.252%, 5/25/32⁽³⁾		846			673
Fairway Outdoor Funding LLC 12-1A, A2, 144A 4.212%, 10/15/42⁽⁴⁾		594			606
GSAA Home Equity Trust 05-12, AF3W 4.999%, 9/25/35⁽³⁾		1,430			1,437
Hertz Vehicle Financing LLC 11-1A, A2 144A 3.290%, 3/25/18⁽⁴⁾		655			705
IndyMac Manufactured Housing Contract 98-1, A3 6.370%, 9/25/28		369			384
Lehman XS Trust 05-5, 3A2B 5.420%, 11/25/35⁽³⁾		844			824
Origen Manufactured Housing Contract Trust 04- B, M1 5.730%, 11/15/35⁽³⁾		715			760
Popular ABS Mortgage Pass-Through-Trust 05-5, AF3 5.086%, 11/25/35⁽³⁾		257			245
Residential Funding Mortgage Securities II Home Loan Trust
03-HS3, AI4 5.050%, 9/25/33⁽³⁾		984			1,004
07-HI1, A3 5.720%, 3/25/37		925			925
TAL Advantage LLC 12-1A, A 144A 3.860%, 5/20/27⁽⁴⁾		942			972
Terwin Mortgage Trust 04-15AL, A1 144A 5.797%, 7/25/34⁽³⁾⁽⁴⁾		405			386
Trip Rail Master Funding LLC 11-1A, A1A, 144A 4.370%, 7/15/41⁽⁴⁾		357			380

TOTAL ASSET-BACKED SECURITIES (Identified Cost $17,054)					17,808

CORPORATE BONDS AND NOTES—53.9%
Consumer Discretionary—4.4%
American Axle & Manufacturing, Inc. 6.625%, 10/15/22		945			964
Arcos Dorados Holdings, Inc. 144A 10.250%, 7/13/16⁽⁴⁾		1,125	^BRL		590
Boyd Gaming Corp. 9.125%, 12/1/18		215			220
144A 9.000%, 7/1/20⁽⁴⁾		425			421
Brookfield Residential Properties, Inc. 144A 6.500%, 12/15/20⁽⁴⁾		1,065			1,097
Claire’s Stores, Inc. 144A 9.000%, 3/15/19⁽⁴⁾		880			948
Clear Channel Communications, Inc.


	PAR VALUE			VALUE
Consumer Discretionary—(continued)
144A 9.000%, 12/15/19⁽⁴⁾	$	54		$	50
9.000%, 3/1/21		500			449
Clear Channel Worldwide Holdings, Inc.
144A 6.500%, 11/15/22⁽⁴⁾		275			284
144A 6.500%, 11/15/22⁽⁴⁾		740			771
Dana Holding Corp. 6.500%, 2/15/19		426			457
Gateway Casinos & Entertainment Ltd. 144A 8.875%, 11/15/17⁽⁴⁾		200	^CAD		211
Globo Comunicacao e Participacoes SA 144A 4.875%, 4/11/22⁽⁴⁾		930			1,011
HD Supply, Inc. 144A 8.125%, 4/15/19⁽⁴⁾		390			446
International Game Technology 7.500%, 6/15/19		580			686
Landry’s, Inc. 144A 9.375%, 5/1/20⁽⁴⁾		475			504
Lotte Shopping Co. Ltd. 144A 3.375%, 5/9/17⁽⁴⁾		800			830
MGM Resorts International 144A 6.750%, 10/1/20⁽⁴⁾		990			1,014
Nara Cable Funding Ltd. 144A 8.875%, 12/1/18⁽⁴⁾		1,100			1,125
Ono Finance II plc 144A 10.875%, 7/15/19⁽⁴⁾		150			144
Penn National Gaming, Inc. 8.750%, 8/15/19		700			801
Petco Holdings, Inc. PIK Interest Capitalization 144A 8.500%, 10/15/17⁽⁴⁾		455			470
Pittsburgh Glass Works LLC 144A 8.500%, 4/15/16⁽⁴⁾		650			601
QVC, Inc.
144A 7.500%, 10/1/19⁽⁴⁾		1,070			1,180
144A 5.125%, 7/2/22⁽⁴⁾		240			251
River Rock Entertainment Authority (The) 9.000%, 11/1/18		219			137
Six Flags Entertainment Corp. 144A 5.250%, 1/15/21⁽⁴⁾		1,140			1,143
Univision Communications, Inc. 144A 7.875%, 11/1/20⁽⁴⁾		125			136
WMG Acquisition Corp. 144A 6.000%, 1/15/21⁽⁴⁾		825			874
Wyndham Worldwide Corp. 7.375%, 3/1/20		590			711

					18,526

Consumer Staples—0.4%
Cencosud SA 144A 4.875%, 1/20/23⁽⁴⁾		535			547
Flowers Foods, Inc. 4.375%, 4/1/22		970			993

					1,540

Energy—8.4%
Afren plc 144A 11.500%, 2/1/16⁽⁴⁾		475			553


	PAR VALUE		VALUE
Energy—(continued)
Atlas Pipeline Partners LP (Atlas Pipeline Finance Corp.) 144A 6.625%, 10/1/20⁽⁴⁾	$	495	$	515
Atwood Oceanics, Inc. 6.500%, 2/1/20		825		891
Bill Barrett Corp. 7.625%, 10/1/19		650		689
BreitBurn Energy Partners LP (BreitBurn Finance Corp.) 144A 7.875%, 4/15/22⁽⁴⁾		1,005		1,048
Carrizo Oil & Gas, Inc. 8.625%, 10/15/18		686		744
Chesapeake Energy Corp. 6.775%, 3/15/19		320		321
Compagnie Generale de Geophysique-Veritas
7.750%, 5/15/17		110		115
6.500%, 6/1/21		725		779
EP Energy LLC (EP Energy Finance, Inc.) 9.375%, 5/1/20		840		951
EPL Oil & Gas, Inc.
8.250%, 2/15/18		500		518
144A 8.250%, 2/15/18⁽⁴⁾		620		640
EV Energy Partners LP (EV Energy Finance Corp.) 8.000%, 4/15/19		325		347
Expro Finance Luxembourg SCA 144A 8.500%, 12/15/16⁽⁴⁾		460		483
Frontier Oil Corp. 6.875%, 11/15/18		210		227
Gazprom OAO (Gaz Capital SA)
144A 6.212%, 11/22/16⁽⁴⁾		935		1,047
144A 8.146%, 4/11/18⁽⁴⁾		460		567
144A 6.510%, 3/7/22^(4)(11)		315		376
Gulfmark Offshore, Inc. 144A 6.375%, 3/15/22⁽⁴⁾		960		994
Halcon Resources Corp. 144A 8.875%, 5/15/21⁽⁴⁾		800		852
Hercules Offshore, Inc. 144A 10.500%, 10/15/17⁽⁴⁾		640		693
Lukoil International Finance BV 144A 7.250%, 11/5/19⁽⁴⁾		525		642
MIE Holdings Corp. 144A 9.750%, 5/12/16⁽⁴⁾		550		602
National JSC Naftogaz of Ukraine 9.500%, 9/30/14		600		619
OAO Lukoil International Finance BV 144A 6.125%, 11/9/20^(4)(11)		500		578
OGX Austria GmbH 144A 8.500%, 6/1/18⁽⁴⁾		800		724
Parker Drilling Co. 9.125%, 4/1/18		1,175		1,260
PDC Energy, Inc. 144A 7.750%, 10/15/22⁽⁴⁾		805		829
Petrobras International Finance Co. 5.375%, 1/27/21		500		562
Petroleos de Venezuela SA
Series 2014 4.900%, 10/28/14		1,005		963
RegS 5.250%, 4/12/17⁽⁵⁾		375		329


	PAR VALUE		VALUE
Energy—(continued)
RegS 8.500%, 11/2/17⁽⁵⁾	$	4,485	$	4,440
Petroleos Mexicanos
6.000%, 3/5/20		270		323
5.500%, 1/21/21		550		643
5.500%, 6/27/44		650		715
Petropower I Funding Trust 144A 7.360%, 2/15/14⁽⁴⁾⁽⁷⁾		186		189
Plains Exploration & Production Co. 6.875%, 2/15/23		995		1,142
QEP Resources, Inc. 6.875%, 3/1/21		480		556
Rowan Cos., Inc. 4.875%, 6/1/22		955		1,036
SESI LLC 6.375%, 5/1/19		650		699
Targa Resources Partners LP (Targa Resources Partners Finance Corp.) 144A 6.375%, 8/1/22⁽⁴⁾		1,050		1,150
Teekay Corp. 8.500%, 1/15/20		300		318
TNK-BP Finance SA RegS 7.500%, 7/18/16⁽⁵⁾		1,165		1,348
Venoco, Inc.
11.500%, 10/1/17		600		631
8.875%, 2/15/19		225		212
Weatherford International Ltd. 9.625%, 3/1/19		318		415
Williams Cos., Inc. (The) 3.700%, 1/15/23		800		806
Zhaikmunai LP (Zhaikmanai International BV) 144A 7.125%, 11/13/19⁽⁴⁾		790		829

				35,910

Financials—21.1%
Abbey National Treasury Services plc 144A 3.875%, 11/10/14⁽⁴⁾		815		846
ADCB Finance Cayman Ltd. 144A 4.750%, 10/8/14⁽⁴⁾		560		587
Agile Property Holdings Ltd. 144A 10.000%, 11/14/16⁽⁴⁾		240		265
Air Lease Corp. 5.625%, 4/1/17		770		820
Aircastle Ltd. 7.625%, 4/15/20		1,840		2,065
Akbank TAS 144A 3.875%, 10/24/17		1,280		1,316
Alfa Bank OJSC (Alfa Bond Issuance plc) RegS 7.875%, 9/25/17^(5)(11)		755		846
Allstate Corp. 6.125%, 5/15/37⁽³⁾		680		707
ALROSA Finance SA 144A 7.750%, 11/3/20⁽⁴⁾		1,065		1,241
Alta Mesa Holdings LP (Alta Mesa Finance Services Corp.) 9.625%, 10/15/18		775		802
American International Group, Inc. 4.875%, 6/1/22		350		399


	PAR VALUE		VALUE
Financials—(continued)
8.175%, 5/15/58⁽³⁾	$	650	$	847
Avis Budget Car Rental LLC (Avis Budget Finance, Inc.) 144A 4.875%, 11/15/17⁽⁴⁾		1,000		1,020
Banco ABC Brasil SA 144A 7.875%, 4/8/20⁽⁴⁾		1,025		1,122
Banco Bilbao Vizcaya Argentaria Bancomer SA
144A 6.500%, 3/10/21⁽⁴⁾		425		472
144A 6.750%, 9/30/22⁽⁴⁾		1,000		1,125
Banco Bradesco SA 144A 5.900%, 1/16/21⁽⁴⁾		1,150		1,253
Banco de Credito del Peru 144A 4.750%, 3/16/16⁽⁴⁾		600		633
Banco do Brasil SA 144A 5.375%, 1/15/21⁽⁴⁾		600		640
Banco Internacional del Peru SAA 144A 5.750%, 10/7/20⁽⁴⁾		1,060		1,158
Banco Santander Chile 144A 3.875%, 9/20/22⁽⁴⁾		945		968
Banco Votorantim SA 144A 7.375%, 1/21/20⁽⁴⁾		1,660		1,859
Bancolombia SA 5.125%, 9/11/22		1,015		1,056
Bank of Georgia JSC 144A 7.750%, 7/5/17⁽⁴⁾		515		523
Barclays Bank plc
144A 6.050%, 12/4/17⁽⁴⁾		435		481
144A 5.926%, 9/29/49^{(3)(4)(9)(10)}		600		587
Blackstone Holdings Finance Co., LLC 144A 6.625%, 8/15/19⁽⁴⁾		385		446
Braskem Finance Ltd. 144A 5.750%, 4/15/21⁽⁴⁾		500		526
Capital One Capital IV 8.875%, 5/15/40⁽¹⁰⁾		1,000		1,000
Chubb Corp. (The) 6.375%, 3/29/67⁽³⁾		680		741
Citigroup, Inc. 5.500%, 2/15/17		1,110		1,230
City National Corp. 5.250%, 9/15/20		475		529
Development Bank of Kazakhstan JSC 144A 4.125%, 12/10/22⁽⁴⁾		1,090		1,098
Discover Bank
8.700%, 11/18/19		250		325
7.000%, 4/15/20		700		868
E*TRADE Financial Corp. 6.375%, 11/15/19		840		865
Eurasian Development Bank 144A 4.767%, 9/20/22⁽⁴⁾		925		960
Fidelity National Financial, Inc. 5.500%, 9/1/22		240		265
Fifth Third Capital Trust IV 6.500%, 4/15/37⁽³⁾		800		800
First Niagara Financial Group, Inc. 6.750%, 3/19/20		1,160		1,372
First Tennessee Bank N.A. 5.650%, 4/1/16		1,210		1,318
Ford Motor Credit Co. LLC
6.625%, 8/15/17		255		298
8.125%, 1/15/20		650		835


	PAR VALUE			VALUE
Financials—(continued)
General Motors Financial Co., Inc. 144A 4.750%, 8/15/17⁽⁴⁾	$	900		$	947
Genworth Financial, Inc. 7.625%, 9/24/21		370			408
Glen Meadow Pass-Through Trust 144A 6.505%, 2/12/67⁽³⁾⁽⁴⁾		970			900
GRD Holdings III Corp. 144A 10.750%, 6/1/19⁽⁴⁾		520			524
HBOS plc 144A 6.750%, 5/21/18⁽⁴⁾		115			124
HDTFS, Inc. 144A 5.875%, 10/15/20⁽⁴⁾		865			908
Highwoods Realty LP 3.625%, 1/15/23		1,040			1,017
HSBC Finance Corp. 6.676%, 1/15/21		500			593
Huntington Bancshares, Inc. 7.000%, 12/15/20		500			611
Hutchison Whampoa International Ltd. Series 12 144A 6.000%, 12/31/49^(3)(4)(9)		1,130			1,198
ING Bank NV 144A 5.000%, 6/9/21⁽⁴⁾		600			675
ING U.S., Inc. 144A 5.500%, 7/15/22⁽⁴⁾		1,050			1,138
International Lease Finance Corp. 6.250%, 5/15/19		1,399			1,497
Itau Unibanco Holding SA 144A 5.125%, 5/13/23⁽⁴⁾		1,085			1,111
Jefferies Group, Inc. 8.500%, 7/15/19		500			598
Kazakhstan Temir Zholy Finance BV 144A 6.950%, 7/10/42⁽⁴⁾		795			1,000
Kazkommerts Bank International BV
RegS 8.500%, 4/16/13⁽⁵⁾		500			503
RegS 8.000%, 11/3/15⁽⁵⁾		250			241
Korea Development Bank 3.500%, 8/22/17		1,300			1,390
Korea Finance Corp. 4.625%, 11/16/21		700			790
Landry’s Holdings II, Inc. 144A 10.250%, 1/1/18⁽⁴⁾		425			425
Legg Mason, Inc. 144A 5.500%, 5/21/19⁽⁴⁾		200			215
Lincoln National Corp. 6.050%, 4/20/67^(3)(10)		300			299
Linn Energy LLC ( Linn Energy Finance Corp.) 6.500%, 5/15/19		512			520
Lloyds TSB Bank plc 144A 6.500%, 9/14/20⁽⁴⁾		750			828
Macquarie Bank Ltd. 144A 6.625%, 4/7/21⁽⁴⁾		189			209
Macquarie Group Ltd. 144A 7.625%, 8/13/19⁽⁴⁾		500			588
Morgan Stanley
5.750%, 10/18/16		100			111
144A 10.090%, 5/3/17⁽⁴⁾		1,000	^BRL		529
National Retail Properties, Inc. 5.500%, 7/15/21		600			683
Nordea Bank AB 144A 4.250%, 9/21/22⁽⁴⁾		1,360			1,399
Novatek OAO (Novatek Finance Ltd.) 144A 4.422%, 12/13/22^(4)(11)		1,105			1,109
PKO Finance AB 144A 4.630%, 9/26/22^(4)(11)		1,315			1,384
Progressive Corp. (The) 6.700%, 6/15/37⁽³⁾		1,200			1,296


	PAR VALUE		VALUE
Financials—(continued)
Prudential Financial, Inc. 5.875%, 9/15/42⁽³⁾	$	2,155	$	2,263
QGOG Constellation SA 144A 6.250%, 11/9/19⁽⁴⁾		1,000		1,045
Regions Bank 7.500%, 5/15/18		750		907
Regions Financial Corp. 5.750%, 6/15/15		210		227
Reliance Holdings USA, Inc. 144A 5.400%, 2/14/22⁽⁴⁾		1,000		1,117
Resona Bank Ltd. 144A 5.850%, 9/29/49^{(3)(4)(9)(10)}		750		807
Rosneft Oil Co. ( Rosneft International Finance Ltd.) 4.199%, 3/6/22^(4)(11)		300		305
Royal Bank of Scotland Group plc (The)
5.625%, 8/24/20		750		870
7.648%, 8/29/49⁽³⁾⁽⁹⁾		550		561
Royal Bank of Scotland plc (The) 6.400%, 10/21/19^(9)(10)		370		437
Russian Agricultural Bank OJSC (RSHB Capital SA)
144A 6.299%, 5/15/17⁽⁴⁾		380		421
144A 5.298%, 12/27/17⁽⁴⁾		515		552
Santander U.S. Debt S.A.U. 144A 3.724%, 1/20/15⁽⁴⁾		800		804
Sberbank of Russia (Sberbank CapItal SA)
144A 6.125%, 2/7/22^(4)(11)		1,800		2,056
144A 5.125%, 10/29/22^(4)(11)		990		1,009
Shinhan Bank 144A 4.375%, 7/27/17⁽⁴⁾		650		714
SLM Corp. 4.625%, 9/25/17		765		784
Societe Generale S.A. 144A 5.922%, 4/29/49^{(3)(4)(9)(10)(12)}		650		598
Sovereign Bank 8.750%, 5/30/18		400		471
Spansion LLC 7.875%, 11/15/17		350		361
Springleaf Finance Corp. 5.400%, 12/1/15		750		712
SunTrust Bank, Inc. 5.400%, 4/1/20		250		271
Telecom Italia Capital SA 7.175%, 6/18/19		1,000		1,160
Turkiye Garanti Bankasi AS 144A 5.250%, 9/13/22⁽⁴⁾		985		1,059
Turkiye Is Bankasi 144A 3.875%, 11/7/17⁽⁴⁾		1,200		1,222
United Rentals North America, Inc. 144A 7.375%, 5/15/20⁽⁴⁾		900		992
UPCB Finance VI Ltd. VI 144A 6.875%, 1/15/22⁽⁴⁾		665		723
Vnesheconombank (VEB Finance plc) 144A 6.800%, 11/22/25^(4)(11)		500		612
VTB Bank OJSC (VTB Capital SA) 144A 6.000%, 4/12/17^(4)(11)		1,225		1,324
Webster Financial Corp. 5.125%, 4/15/14		205		213


	PAR VALUE		VALUE
Financials—(continued)
Willis Group Holdings plc North America, Inc.
7.000%, 9/29/19	$	500	$	589
5.750%, 3/15/21		465		529
Yankee Candle Co. Holdings LLC (Yankee Finance, Inc.) PIK Interest Capitalization 10.250%, 2/15/16		440		457
Zions Bancorp 4.500%, 3/27/17		710		742

				89,796

Health Care—1.6%
CFR International SpA 144A 5.125%, 12/6/22⁽⁴⁾		300		311
Community Health Systems, Inc. (CHS) 7.125%, 7/15/20		330		353
Davita, Inc. 5.750%, 8/15/22		945		1,001
HCA, Inc. 6.500%, 2/15/20		1,295		1,460
inVentiv Health, Inc. 144A 9.000%, 1/15/18⁽⁴⁾		460		466
Symbion, Inc. 8.000%, 6/15/16		740		766
Tenet Healthcare Corp. 144A 4.750%, 6/1/20⁽⁴⁾		1,150		1,170
U.S. Oncology, Inc. 0.000%, 2/16/49⁽⁸⁾		300		0
Vanguard Health Holding Co. II, LLC (Vanguard Holding Co. II, Inc.) 7.750%, 2/1/19		466		485
VPI Escrow Corp. 144A 6.375%, 10/15/20⁽⁴⁾		920		991

				7,003

Industrials—7.7%
ADS Tactical, Inc. 144A 11.000%, 4/1/18⁽⁴⁾		600		615
America West Airlines, Inc. Pass-Through-Trust Series 00-1, G 8.057%, 7/2/20		843		904
Atlas Air Pass-Through-Trust
98-1, A 7.380%, 1/2/18		577		594
99-1, A1 7.200%, 1/2/19		677		677
00-1. A 8.707%, 1/2/19		253		270
AWAS Aviation Capital Ltd. 144A 7.000%, 10/17/16⁽⁴⁾		1,055		1,119
Bombardier, Inc. 144A 7.750%, 3/15/20⁽⁴⁾		1,115		1,271
Carpenter Technology Corp. 5.200%, 7/15/21		600		625
CDRT Holding Corp. PIK Capitalization Interest 144A 9.250%, 10/1/17⁽³⁾⁽⁴⁾		860		881
CHC Helicopter SA 9.250%, 10/15/20		725		767
Continental Airlines Pass-Through-Trust
98-1, A 6.648%, 9/15/17		281		301
97-4, A 6.900%, 1/2/18		452		492
99-1, A 6.545%, 2/2/19		780		851


	PAR VALUE		VALUE
Industrials—(continued)
00-1, A-1 8.048%, 11/1/20	$	870	$	985
01-A1 6.703%, 6/15/21		239		260
Deluxe Corp. 7.000%, 3/15/19		510		542
DP World Ltd. 144A 6.850%, 7/2/37⁽⁴⁾		400		469
Embraer SA 5.150%, 6/15/22		1,040		1,139
Harland Clarke Holdings Corp. 144A 9.750%, 8/1/18⁽⁴⁾		475		464
Hexion U.S. Finance Corp. 6.625%, 4/15/20		220		225
Iron Mountain, Inc. 5.750%, 8/15/24		1,560		1,587
Kratos Defense & Security Solutions, Inc. 10.000%, 6/1/17		625		689
Lloyds Banking Group Capital No.1 plc 144A 7.875%, 11/1/20⁽⁴⁾		600		645
Masco Corp. 5.950%, 3/15/22		1,560		1,728
Northwest Airlines Pass-Through-Trust
01-1, B 7.691%, 4/1/17		693		734
02-1, G2 6.264%, 11/20/21		945		1,002
Owens Corning, Inc. 6.500%, 12/1/16		121		136
Sappi Papier Holding GmbH
144A 7.750%, 7/15/17⁽⁴⁾		650		711
144A 8.375%, 6/15/19⁽⁴⁾		440		482
ServiceMaster Co. 144A 7.000%, 8/15/20⁽⁴⁾		955		962
Spirit Aerosystems, Inc. 6.750%, 12/15/20		930		1,000
Steelcase, Inc. 6.375%, 2/15/21		675		719
Sydney Airport Finance Co. Ltd. 144A 3.900%, 3/22/23⁽⁴⁾		1,130		1,153
U.S. Airways Pass-Through-Trust
98-1B 7.350%, 1/30/18		999		1,012
99-1A 8.360%, 1/20/19		987		1,085
01-1G 7.076%, 3/20/21		1,923		2,000
11-1 A 7.125%, 10/22/23		684		770
12-1A 5.900%, 10/1/24		500		545
UAL Pass-Through-Trust
09-2 9.750%, 1/15/17		486		563
07-01A 6.636%, 7/2/22		694		746
Voto-Votorantim Ltd. 144A 6.750%, 4/5/21⁽⁴⁾		750		879

				32,599

Information Technology—1.3%
Broadridge Financial Solutions, Inc. 6.125%, 6/1/17		525		590
Digicel Ltd. 144A 8.250%, 9/1/17⁽⁴⁾		848		916
Dun & Bradstreet Corp. (The) 4.375%, 12/1/22		1,170		1,194


	PAR VALUE		VALUE
Information Technology—(continued)
EarthLink, Inc. 8.875%, 5/15/19	$	225	$	237
Fidelity National Financial, Inc. 6.600%, 5/15/17		750		845
Igloo Holdings Corp. PIK Interset Capitalization 144A 8.250%, 12/15/17⁽⁴⁾		250		248
NCR Corp. 144A 4.625%, 2/15/21⁽⁴⁾		1,035		1,040
SunGard Data Systems, Inc. 144A 6.625%, 11/1/19⁽⁴⁾		210		216
Tech Data Corp. 3.750%, 9/21/17		95		97

				5,383

Materials—5.0%
Alpek SA de CV 144A 4.500%, 11/20/22⁽⁴⁾		1,480		1,543
Ardagh Packaging Finance plc (Ardagh Packaging Holdings, Inc.) 144A 7.375%, 10/15/17⁽⁴⁾		635		693
Calumet Specialty Products Partners LP (Calumet Finance Corp.) 9.375%, 5/1/19		763		832
Cascades, Inc. 7.875%, 1/15/20		1,100		1,177
Cemex SAB de CV 144A 9.500%, 6/15/18⁽⁴⁾		976		1,096
Eldorado Gold Corp. 144A 6.125%, 12/15/20⁽⁴⁾		455		465
Eurochem Mineral & Chemical Co. OJSC (EuroChem GI Ltd.) 144A 5.125%, 12/12/17^(4)(11)		550		566
FMG Resources Property Ltd. 144A 8.250%, 11/1/19⁽⁴⁾		650		695
Gerdau Holdings, Inc. 144A 7.000%, 1/20/20⁽⁴⁾		250		291
Ineos Finance plc 144A 8.375%, 2/15/19⁽⁴⁾		705		762
JMC Steel Group 144A 8.250%, 3/15/18⁽⁴⁾		570		598
Methanex Corp. 3.250%, 12/15/19		910		914
Mexichem SAB de CV 144A 4.875%, 9/19/22⁽⁴⁾		485		523
NewMarket Corp. 144A 4.100%, 12/15/22⁽⁴⁾		1,174		1,196
Nufarm Australia Ltd. 144A 6.375%, 10/15/19⁽⁴⁾		1,160		1,218
Packaging Corp. of America 3.900%, 6/15/22		945		978
Pactiv LLC 8.125%, 6/15/17		1,645		1,649
PTT Global Chemical pcl 144A 4.250%, 9/19/22⁽⁴⁾		800		829
PTT Global Chemical plc RegS 4.250%, 9/19/22⁽⁵⁾		200		207
Sappi Papier Holding GmbH 144A 6.625%, 4/15/21⁽⁴⁾		970		963
Sealed Air Corp. 144A 6.500%, 12/1/20⁽⁴⁾		230		250
Severstal OAO (Steel Capital SA)
144A 6.250%, 7/26/16^(4)(11)		445		478
144A 6.700%, 10/25/17^(4)(11)		425		467
United States Steel Corp. 7.500%, 3/15/22		860		909
Vale Overseas Ltd. 4.375%, 1/11/22		920		981


	PAR VALUE			VALUE
Materials—(continued)
Vedanta Resources plc 144A 9.500%, 7/18/18⁽⁴⁾	$	775		$	902

					21,182

Telecommunication Services—3.0%
America Movil SAB de CV Series 12 6.450%, 12/5/22		5,000	^MXN		397
Axtel SAB de CV 144A 9.000%, 9/22/19⁽⁴⁾		200			111
CenturyLink, Inc. Series T 5.800%, 3/15/22		750			794
Cincinnati Bell, Inc. 8.250%, 10/15/17		705			763
Crown Castle Towers LLC 144A 4.883%, 8/15/20⁽⁴⁾		1,700			1,917
Digicel Group Ltd. 144A 8.250%, 9/30/20⁽⁴⁾		370			409
Frontier Communications Corp. 7.125%, 1/15/23		945			1,005
ITC Deltacom, Inc. 10.500%, 4/1/16		356			383
Level 3 Financing, Inc. 144A 7.000%, 6/1/20⁽⁴⁾		725			760
SBA Telecommunications, Inc. 144A 5.750%, 7/15/20⁽⁴⁾		820			874
Sprint Nextel Corp. 6.000%, 11/15/22		1,305			1,347
Telefonica Emisiones, S.A.U. 5.462%, 2/16/21		580			618
Telemar Norte Leste SA 144A 5.500%, 10/23/20⁽⁴⁾		305			317
Univision Communications, Inc. 144A 6.750%, 9/15/22⁽⁴⁾		565			586
Wind Acquisition Finance S.A. 144A 11.750%, 7/15/17⁽⁴⁾		850			895
Windstream Corp. 7.750%, 10/15/20		1,530			1,660

					12,836

Utilities—1.0%
AmeriGas Partners LP (AmeriGas Finance Corp.)
6.250%, 8/20/19		660			709
7.000%, 5/20/22		450			503
Centrais Eletricas Brasileiras SA RegS 5.750%, 10/27/21⁽⁵⁾		900			967
Covanta Holding Corp. 6.375%, 10/1/22		1,065			1,161
Midwest Generation LLC Series B 8.560%, 1/2/16⁽⁶⁾		62			60
NRG Energy, Inc.
7.625%, 1/15/18		105			117
7.625%, 5/15/19		680			731
144A 6.625%, 3/15/23⁽⁴⁾		75			81


	PAR VALUE			VALUE
Utilities—(continued)
Texas Competitive Electric Holdings Co., LLC (Texas Competitive Electric Holdings Finance, Inc.) Series A 10.250%, 11/1/15	$	200		$	60

					4,389

TOTAL CORPORATE BONDS AND NOTES (Identified Cost $215,822)					229,164

LOAN AGREEMENTS⁽³⁾—17.0%
Consumer Discretionary—4.3%
Advantage Sales & Marketing, Inc. Second Lien, 9.250%, 6/18/18		385			388
Affinity Gaming LLC (Herbst Gaming LLC). 5.500%, 11/9/17		588			595
August Holding Co., Inc. (Schrader)
First Lien, US 6.250%, 4/27/18		323			328
First Lien, LUX 6.250%, 4/27/18		420			426
BJ’s Wholesale Club, Inc. Second Lien, 9.750%, 3/26/20		208			214
Caesars Entertainment Operating Co., Inc. (Harrah’s Operating Company, Inc.) Tranche B-6, 7.355%, 1/28/18		1,358			1,216
Cannery Casino Resorts LLC First Lien 6.000%, 10/2/18		495			497
Cengage Learning Acquisitions, Inc. 2.720%, 7/3/14		770			610
Chrysler Group LLC (Chrysler Group Co-Issuer, Inc.) Tranche B, 6.000%, 5/24/17		246			252
Clear Channel Communications, Inc. Tranche A, 3.612%, 7/30/14		235			229
Tranche B, 3.862%, 1/29/16		183			152
Cumulus Media Holdings, Inc.
0.000%, 9/17/18⁽¹³⁾		396			398
Second Lien, 7.500%, 9/16/19		500			516
EB Sports Corp. 11.500%, 12/31/15		625			625
Focus Brands, Inc. First Lien, 6.250%, 2/21/18		673			678
Fram Group Holdings, Inc. (Prestone Holdings, Inc.) Second Lien, 10.500%, 1/29/18		500			475
Gateway Casinos & Entertainment Ltd. Tranche B, 6.000%, 5/12/16		460	^CAD		461
Granite Broadcasting Corp. Tranche B First Lien, 8.500%, 5/23/18		497			498
HD Supply, Inc. 7.250%, 10/12/17		1,025			1,055


	PAR VALUE		VALUE
Consumer Discretionary—(continued)
Hubbard Radio LLC Second Lien, 8.750%, 4/30/18	$	600	$	612
Kalispel Tribal Economic Authority 7.500%, 2/25/17		457		453
Landry’s, Inc. (Landry’s Restaurants, Inc.) Tranche B, 6.500%, 4/24/18		1,092		1,105
MGM Resorts International (MGM Mirage) Tranche B, 4.250%, 12/20/19		106		107
Michaels Stores, Inc. Tranche B-2, 4.813%, 7/31/16		509		515
Ozburn-Hessey Holding Co., LLC First Lien, 8.250%, 4/8/16		310		310
Peppermill Casinos, Inc. Tranche B, 7.250%, 11/9/18		806		789
Radio One, Inc. 7.500%, 3/31/16		220		224
Sequa Automotive Group 0.000%, 11/15/18⁽¹³⁾		610		607
Seven Seas Cruises, Inc. Tranche B, 6.250%, 12/21/18		748		759
Sports Authority, Inc. (The) Tranche B, 7.500%, 11/16/17		319		321
SRAM LLC Second Lien, 8.500%, 12/7/18		229		233
Station GVR Acquisition LLC (Green Valley Ranch Gaming LLC) 0.000%, 9/28/19⁽¹³⁾		570		574
TI Group Automotive Systems LLC 0.000%, 3/14/18⁽¹³⁾		816		824
Transtar Holding Co. Second Lien, 9.750%, 10/9/19		380		386
Vertrue LLC (V2V Holdings LLC) First Lien, 9.250%, 8/16/14		125		41
Visant Corp. (Jostens) Tranche B, 5.250%, 12/22/16		693		632

				18,105

Consumer Staples—0.5%
AdvancePierre Foods, Inc.
First Lien, 5.750%, 7/10/17		110		111
Second Lien, 5.750%, 10/10/17		655		668
Supervalu, Inc. 8.000%, 8/30/18		1,313		1,335

				2,114

Energy—0.8%
Chesapeake Energy Corp. 5.750%, 12/2/17		1,000		1,003
Frac Tech International LLC 8.500%, 5/6/16		1,106		923


	PAR VALUE		VALUE
Energy—(continued)
NGPL Pipeco LLC 6.750%, 9/15/17	$	511	$	524
Samson Investment Co. Second Lien, 6.000%, 9/25/18		734		743

				3,193

Financials—1.1%
Asurion LLC (Asurion Corp.) Second Lien, 9.000%, 5/24/19		178		184
iPayment, Inc. 0.000%, 5/8/17⁽¹³⁾		585		584
iStar Financial, Inc.
Tranche A-2 7.000%, 3/19/17		250		263
5.750%, 10/15/17		699		706
Lonestar Intermediate Super Holdings LLC 11.000%, 9/2/19		108		115
Nuveen Investments, Inc. Second Lien, 8.250%, 2/28/19		864		883
Ocwen Financial Corp. 7.000%, 9/1/16		100		101
RPI Finance Trust 4.000%, 11/9/18		842		853
Springleaf Financial Funding Co. (American General Finance Corp.) 5.500%, 5/10/17		420		418
Walter Investment Management Corp. Tranche B, 5.750%, 11/28/17		635		639

				4,746

Health Care—2.0%
AMN Healthcare, Inc. Tranche B, 5.750%, 4/5/18		619		625
Ardent Health Services LLC 7.250%, 9/15/15		482		485
Ardent Medical Services, Inc.
0.000%, 11/2/18⁽¹³⁾		289		295
0.000%, 11/21/18⁽¹³⁾		347		351
Aveta, Inc. (MMM Holdings, Inc.) 9.750%, 10/26/17		341		342
Houghton International, Inc.
First Lien 0.000%, 7/30/19⁽¹³⁾		1,050		1,061
Second Lien, 10.500%, 12/17/20		630		625
InVentiv Health, Inc. (Ventive Health, Inc.) 7.500%, 8/4/16		158		154
Kinetic Concepts, Inc. Tranche C-1, 5.500%, 5/4/18		744		754
MModal, Inc. Tranche B, 6.750%, 8/16/19		1,097		1,059
MSO of Puerto Rico, Inc. 9.750%, 10/26/17		248		248
National Specialty Hospitals, Inc. Tranche B, 8.250%, 2/3/17		405		396


	PAR VALUE		VALUE
Health Care—(continued)
Par Pharmaceutical Companies, Inc. (Par Pharmaceutical, Inc.) Tranche B, 5.000%, 9/30/19	$	874	$	874
Pharmaceutical Research Associates, Inc. 0.000%, 12/10/17⁽¹³⁾		655		656
Smile Brands Group, Inc. Tranche B, 7.000%, 12/21/17		368		347
Surgery Center Holdings, Inc. 6.500%, 2/6/17		394		393

				8,665

Industrials—2.1%
ADS Waste Holdings, Inc. 5.250%, 10/9/19		504		511
Alliance Laundry Systems LLC
First Lien 0.000%, 12/10/18⁽¹³⁾		840		848
Second Lien, 5.500%, 12/10/19		114		116
Aluma Systems, Inc. (Brand Energy & Infrastructure) Tranche-1 6.250%, 10/23/18		112		111
AWAS Finance Luxemborg S.A. 4.750%, 7/16/18		642		648
Brand Energy & Infrastructure Services, Inc. (FR Brand Acquisition Corp.) Tranche B-1 First Lien, 6.250%, 10/23/18		467		463
Brand Energy & Infrastructure Services, Inc. Tranche B-1 0.000%, 10/23/19⁽¹³⁾		395		390
Brickman Group Holdings, Inc. Tranche B-1, 5.500%, 10/14/16		509		517
Brock Holdings Ill, Inc. Second Lien, 10.000%, 3/16/18		285		287
CHG Buyer Corp.
First Lien, 5.000%, 11/19/19		603		605
Second Lien, 9.000%, 11/19/20		193		194
Delta Air Lines, Inc. Tranche B-1, 5.250%, 10/18/18		300		303
Harland Clarke Holdings Corp. (Clarke American Corp.) Tranche B-2 5.462%, 6/30/17		660		614
Husky Injection Molding System (Yukon Acquisition, Inc.) 5.750%, 7/2/18		557		566
McJunkin Red Man Corp. 6.250%, 11/8/19		705		711
Silver II Borrower S.C.A. (Silver US Holdings, LLC) 5.000%, 12/13/19		805		814
Zuffa LLC 7.500%, 6/19/15		1,342		1,352

				9,050


	PAR VALUE		VALUE
Information Technology—4.0%
Applied Systems, Inc. Second Lien, 9.500%, 6/8/17	$	333	$	335
Avaya, Inc.
Tranche B-1, 3.062%, 10/24/14		120		118
Tranche B-3, 4.812%, 10/26/17		483		427
Tranche B-5, 8.000%, 3/31/18		120		118
AVG Technologies N.V. 7.500%, 3/15/16		182		183
Blue Coat Systems, Inc. 5.750%, 2/15/18		1,034		1,042
CCC Information Services Group, Inc. 0.000%, 12/31/19⁽¹³⁾		528		532
Deltek, Inc.
First Lien, 6.000%, 10/10/18		780		787
Second Lien, 10.000%, 10/10/19		113		115
DynCorp International, Inc. 6.250%, 7/7/16		579		583
First Data Corp.
5.211%, 3/24/17		457		450
5.211%, 3/24/17		880		867
Freescale Semiconductor, Inc.
Tranche B-1, 4.464%, 12/1/16		739		725
Tranche B-2, 6.000%, 2/28/19		243		241
Go Daddy Operating Co. LLC Tranche B-1, 5.500%, 12/17/18		808		812
Infor (US), Inc. (Lawson Software, Inc.) Tranche B-2 5.250%, 4/5/18		1,244		1,257
IPC Systems, Inc. Tranche C First Lien, 7.750%, 7/31/17		1,052		1,031
Ipreo Holdings LLC
Tranche B-2 6.500%, 8/7/17		766		771
Tranche B-3 6.500%, 8/7/17		209		210
Novell, Inc. (Attachmate Corp.) First Lien, 7.250%, 11/22/17		626		633
Oberthur Technologies Finance SAS Tranche B-3, 6.250%, 11/30/18		721		716
RP Crown Parent LLC 0.000%, 12/14/17⁽¹³⁾		264		262
SCS Holdings I, Inc. (Sirius Computer Solutions, Inc.) 0.000%, 12/7/18⁽¹³⁾		546		551
Smart Modular Technologies (Global), Inc. 8.250%, 8/26/17		246		206
Sophia LP (DataTel, Inc.) 6.250%, 7/19/18		523		531
Sorenson Communications, Inc. Tranche C, 6.000%, 8/16/13		207		203
Spansion LLC 5.250%, 12/13/18		328		331
SRA International, Inc. 6.500%, 7/20/18		490		465


	PAR VALUE		VALUE
Information Technology—(continued)
SunGard Data Systems, Inc. (Solar Capital Corp.) Tranche D 4.500%, 1/31/20	$	110	$	111
Veyance Technologies, Inc. Second Lien, 5.964%, 7/31/15		850		824
Vision Solutions, Inc. First Lien, 6.000%, 7/23/16		395		395
Wall Street Systems Holdings, Inc.
First Lien, 5.750%, 10/25/19		400		401
Second Lien, 9.250%, 10/25/20		407		408
Zayo Group LLC (Zayo Capital, Inc.) 5.250%, 7/2/19		541		549

				17,190

Materials—1.6%
AZ Chem US, Inc. 7.250%, 12/22/17		654		663
CPG International I, Inc. 5.750%, 9/21/19		311		314
Essar Steel Algoma, Inc. (Algoma Steel, Inc.) 8.750%, 9/19/14		1,586		1,575
Fortescue Metals Group Ltd. 5.250%, 10/18/17		327		331
General Chemical Corp. Tranche B, 5.000%, 10/6/15		299		301
Kronos, Inc.
First Lien, 5.500%, 10/30/19		190		193
Second Lien, 9.750%, 4/30/20		605		607
Noranda Aluminum Acquisition Corp. Tranche B, 5.750%, 2/28/19		819		825
QS0001 Corp. (Tomkins Air) First Lien, 0.000%, 11/9/18⁽¹³⁾		289		292
Trinseo Materials Operating S.C.A. (Styron S.A.R.L) 8.000%, 8/2/17		1,020		997
United Central Industrial Supply Co. LLC (UCIS Acquisition) Tranche B, 7.500%, 10/12/18		820		791

				6,889

Telecommunication Services—0.5%
Hawaiian Telcom Communications, Inc. 7.000%, 2/28/17		479		489
Level 3 Financing, Inc.
Tranche B 2016, 4.750%, 2/1/16		67		68
Tranche B 2019, 5.250%, 8/1/19		244		247
Sidera Networks, Inc. (RCN Corp.) 6.000%, 8/26/16		527		527


	PAR VALUE		VALUE
Telecommunication Services—(continued)
Univision Communications, Inc. First Lien, 4.462%, 3/31/17	$	758	$	747

				2,078

Utilities—0.1%
Texas Compeptitive Electric Holdings Co. LLC Extended, 7.167%, 10/10/17		375		251

TOTAL LOAN AGREEMENTS (Identified Cost $71,842)				72,281


	SHARES		VALUE
PREFERRED STOCK—1.7%
Financials—1.6%
Ally Financial, Inc. 144A 7.000%⁽⁴⁾		321		315
Ally Financial, Inc. Series A, 8.500%⁽³⁾		20,000		525
Banco Bilbao Vizcaya Argentaria S.A. International S.A. Unipersonal 5.919%⁽³⁾		675		547
Banco do Brasil S.A. 144A 8.500%⁽³⁾⁽⁴⁾		600		729
Bank of America Corp. Series K, 8.000%⁽³⁾		375		415
Citigroup Capital XVII Series E 6.350%		44,460		1,113
General Electric Capital Corp. Series B 6.25%⁽³⁾		1,300		1,415
JPMorgan Chase & Co. Series 1 7.90%⁽³⁾		247		280
PNC Financial Services Group, Inc. Series K 8.250%⁽³⁾		350		356
U.S. Bancorp Series G 6.00%⁽³⁾		22,600		627
Zions Bancorp, Series C, ADR 9.500%		9		233

				6,555

Industrials—0.1%
Seaspan Corp. Series C, 9.50%		20		551

TOTAL PREFERRED STOCK (Identified Cost $6,436)				7,106

COMMON STOCKS—0.0%
Consumer Discretionary—0.0%
Mark IV Industries		446		11

Materials—0.0%
Catalyst Paper Corp.⁽²⁾		948		1

TOTAL COMMON STOCKS (Identified Cost $5)				12


	SHARES		VALUE
TOTAL LONG TERM INVESTMENTS—99.0% (Identified cost $399,382)				420,910	⁽¹⁴⁾

SHORT-TERM INVESTMENTS—1.5%
Money Market Mutual Funds—1.5%
BlackRock Liquidity Funds TempFund Portfolio - Insitutional Shares (seven-day effective yield 0.140%)		6,527,556	$	6,528

TOTAL SHORT-TERM INVESTMENTS (Identified Cost $6,528)				6,528

TOTAL INVESTMENTS —100.5% (Identified Cost $405,910)				427,438	⁽¹⁾
Other assets and liabilities, net—(0.5)%				(2,050	)

NET ASSETS—100.0%			$	425,388

Abbreviations:

PIK	Payment-in-Kind Security

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at December 31, 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 December 31, 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 December 31, 2012, these securities amounted to a value of $134,577 or 31.6% of net assets.

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

⁽⁶⁾	Security in default.

⁽⁷⁾	Illiquid security.

⁽⁸⁾	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.

⁽⁹⁾	No contractual maturity date

⁽¹⁰⁾	Interest payments may be deferred.

⁽¹¹⁾	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.

⁽¹²⁾	Issuer may elect not to pay interest causing the payment to be forfeited and no longer due. The issuer has not invoked this election since the fund purchased this security.

⁽¹³⁾	This loan will settle after Deccember 31, 2012, at which time the Interest rate will be determined.

⁽¹⁴⁾	A portion of the Fund’s assets have been segregated for delayed delivery settlements.

Foreign Currencies:

AUD	Australian Dollar

BRL	Brazilian Real

CAD	Canadian Dollar

COP	Colombian Peso

EUR	European Currency Unit

MXN	Mexican Peso

NOK	Norwegian Krone

NZD	New Zealand Dollar

The following table provides a summary of inputs used to value the Fund’s investments as of December 31, 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—1.3%
U.S. Treasury Note
0.250%, 4/30/14	$	31,500		$	31,513
0.875%, 12/31/16		12,715			12,886
0.625%, 12/31/17		40,000			40,050
2.000%, 11/15/21		5,000			5,184

TOTAL U.S. GOVERNMENT SECURITIES (Identified Cost $89,327)					89,633

MUNICIPAL BONDS—0.2%
Kentucky—0.1%
Commonwealth of Kentucky Taxable 3.165%, 4/1/18		7,100			7,433

Virginia—0.1%
Tobacco Settlement Financing Corp. Taxable Series 07-A1, 6.706%, 6/1/46		4,850			3,451

TOTAL MUNICIPAL BONDS (Identified Cost $11,565)					10,884

FOREIGN GOVERNMENT SECURITIES—10.2%
Bolivarian Republic of Venezuela 8.500%, 10/8/14		20,840			21,424
RegS 5.750%, 2/26/16⁽⁵⁾		31,323			29,992
RegS 7.000%, 12/1/18⁽⁵⁾		8,350			7,828
Commonwealth of Australia Series 118, 6.500%, 5/15/13		49,590	^AUD		52,196
Commonwealth of Canada 1.750%, 3/1/13		103,245	^CAD		103,924
Commonwealth of New Zealand Series 413, 6.500%, 4/15/13		44,229	^NZD		36,962
Federative Republic of Brazil
12.500%, 1/5/16		100,359	^BRL		60,412
12.500%, 1/5/22		16,730	^BRL		12,236
8.500%, 1/5/24		5,000	^BRL		2,973
Kingdom of Norway Series 470, 6.500%, 5/15/13		277,652	^NOK		50,805
Republic of Argentina Provincia de Neuquen 144A 7.875%, 4/26/21⁽⁴⁾		6,544			5,693
PIK Interest Capitalization 8.280%, 12/31/33		40,328			29,036
Republic of Colombia 12.000%, 10/22/15		9,935,000	^COP		6,831
Republic of Indonesia Series FR-30, 10.750%, 5/15/16		40,550,000	^IDR		4,998
Republic of Korea Series 1312, 3.000%, 12/10/13		18,000,000	^KRW		16,847
Republic of Lithuania 144A 6.750%, 1/15/15⁽⁴⁾		10,600			11,649


	PAR VALUE			VALUE
Republic of Mongolia 144A 4.125%, 1/5/18⁽⁴⁾	$	11,000		$	10,918
Republic of Peru 144A 7.840%, 8/12/20⁽⁴⁾		50,140	^PEN		24,757
Republic of Serbia 144A 5.250%, 11/21/17⁽⁴⁾		8,900			9,278
Republic of South Africa Series R206 7.500%, 1/15/14		310,470	^ZAR		37,518
Republic of Turkey 9.000%, 3/5/14		87,260	^TRY		50,504
Republic of Ukraine 144A 7.950%, 6/4/14⁽⁴⁾		12,350			12,566
Russian Federation 144A 3.250%, 4/4/17⁽⁴⁾		18,000			19,125
RegS 7.500%, 3/31/30⁽³⁾⁽⁵⁾		1,550			1,991
State of Qatar 144A 3.125%, 1/20/17⁽⁴⁾		12,000			12,642
United Mexican States Series M, 6.000%, 6/18/15		1,096,623	^MXN		87,146

TOTAL FOREIGN GOVERNMENT SECURITIES (Identified Cost $701,896)					720,251

MORTGAGE-BACKED SECURITIES—23.9%
Agency—3.0%
FHLMC 6.000%, 8/1/34		838			921
FNMA
5.500%, 1/1/17		155			166
6.000%, 5/1/17		51			55
5.500%, 8/1/17		13			13
4.500%, 4/1/18		312			337
5.000%, 10/1/19		933			1,016
5.500%, 2/1/20		255			276
5.500%, 3/1/20		224			242
5.500%, 3/1/20		25			27
5.500%, 3/1/20		187			202
5.500%, 3/1/20		547			592
5.500%, 4/1/20		433			470
5.000%, 6/1/20		1,117			1,213
4.000%, 8/1/25		30,209			32,357
3.000%, 6/1/27		1,902			2,010
2.500%, 9/1/27		28,122			29,428
6.000%, 12/1/32		100			111
5.500%, 2/1/33		203			223
5.500%, 5/1/34		920			1,006
6.000%, 8/1/34		610			681
6.000%, 10/1/34		401			446
6.000%, 10/1/34		599			666
5.500%, 11/1/34		1,022			1,118
5.500%, 11/1/34		675			739
6.000%, 11/1/34		1,052			1,170
5.500%, 12/1/34		519			568


	PAR VALUE		VALUE
Agency—(continued)
5.500%, 1/1/35	$	808	$	884
6.000%, 1/1/37		1,029		1,127
6.000%, 1/1/37		954		1,044
5.500%, 7/1/37		10		11
6.000%, 7/1/37		254		278
6.000%, 12/1/37		1,143		1,251
6.000%, 4/1/38		759		831
5.500%, 9/1/38		882		958
5.500%, 12/1/38		697		757
4.500%, 4/1/40		22,483		24,364
5.000%, 7/1/40		4,704		5,120
5.000%, 7/1/40		7,106		7,721
5.000%, 8/1/40		28,190		31,400
4.000%, 10/1/40		360		387
4.000%, 2/1/41		7,915		8,493
4.000%, 3/1/41		10,984		11,790
4.500%, 5/1/41		12,786		13,880
4.000%, 9/1/41		11,111		11,926
3.500%, 4/1/42		15,528		16,602
GNMA
6.500%, 7/15/31		19		22
6.500%, 8/15/31		50		59
6.500%, 11/15/31		33		38
6.500%, 2/15/32		25		30
6.500%, 4/15/32		69		81
6.500%, 4/15/32		84		100

				215,207

Non-Agency—20.9%
JPMorgan Mortgage Trust 06-A4, 3A1 5.426%, 6/25/36⁽³⁾		8,351		7,153
ABN AMRO Mortgage Corp. 02-9, M 5.750%, 12/25/32		1,721		1,704
American General Mortgage Loan Trust 09-1, A6, 144A 5.750%, 9/25/48⁽³⁾⁽⁴⁾		13,850		14,243
10-1A, A1, 144A 5.150%, 3/25/58⁽³⁾⁽⁴⁾		7,080		7,300
Americold LLC Trust 10-ARTA, A1 144A 3.847%, 1/14/29⁽⁴⁾		12,078		12,973
Banc of America (Merrill Lynch) Commercial Mortgage, Inc. 05-3, AJ 4.767%, 7/10/43⁽³⁾		4,800		4,822
Banc of America Alternative Loan Trust 03-10, 2A1 6.000%, 12/25/33		5,513		5,797


	PAR VALUE		VALUE
Non-Agency—(continued)
Banc of America Funding Corp. 04-4, 3A1 4.750%, 10/25/19	$	7,512	$	7,691
Banc of America Mortgage Securities, Inc.
04-11, 2A1 5.750%, 1/25/35		5,067		5,195
05-1, 1A22 5.250%, 2/25/35		479		477
05-3, 2A2 5.500%, 3/25/35		1,825		1,854
05-3, 1A15 5.500%, 4/25/35		5,125		5,405
Bank of America (Merrill Lynch) - Deutsche Bank 12-OSI, A2FX 144A 3.352%, 4/13/29⁽⁴⁾		19,191		20,218
Bank of America (Merrill Lynch) Commercial Mortgage, Inc.
05-2, B 5.113%, 7/10/43⁽³⁾		10,916		11,598
05-6, AM 5.190%, 9/10/47⁽³⁾		1,630		1,800
Bank of America Funding Corp.
04-B, 2A1 5.440%, 11/20/34⁽³⁾		2,318		2,341
06-2, 3A1 6.000%, 3/25/36		5,027		5,129
Bank of America Re-Remic Trust 12-CLRN, E 144A 3.409%, 8/15/17⁽³⁾⁽⁴⁾		5,600		5,719
Bayview Commercial Asset Trust
06-RR1, PE 5.000%, 11/25/36		3,125		3,233
08-1, A2A 144A 1.210%, 1/25/38⁽³⁾⁽⁴⁾		22,451		22,168
08-1, A3 144A 1.710%, 1/25/38⁽³⁾⁽⁴⁾		29,970		25,210
Bear Stearns Adjustable Rate Mortgage Trust
03-9, 4A1 4.846%, 2/25/34⁽³⁾		15,653		15,971
04-10, 14A1 5.223%, 1/25/35⁽³⁾		3,510		3,576
05-4, 2AA1 144A 5.141%, 8/25/35⁽³⁾⁽⁴⁾		1,666		1,700
Bear Stearns Alternate Loan Trust 05-4, 24A1 2.980%, 5/25/35⁽³⁾		23,871		22,848
Bear Stearns Asset Backed Securities Trust 5.500%, 9/25/33⁽³⁾		4,741		4,898
Bear Stearns Commercial Mortgage Securities, Inc.
06-T22, AM 5.573%, 4/12/38⁽³⁾		11,600		12,842
06-PW12, AM 5.751%, 9/11/38⁽³⁾		9,250		10,352
06-PW14, AM 5.243%, 12/11/38		10,000		11,205
05-PW10, AM 5.449%, 12/11/40⁽³⁾		14,200		15,654
04-PWR3, A4 4.715%, 2/11/41		7,015		7,229
06-PW13, AM 5.582%, 9/11/41⁽³⁾		3,272		3,654
04-PWR5, A5 4.978%, 7/11/42⁽³⁾		3,925		4,164
07-T28, A4 5.742%, 9/11/42⁽³⁾		3,360		4,006
07-PW18, A4 5.700%, 6/11/50		16,950		20,211
07-PW18, AM 6.084%, 6/11/50⁽³⁾		12,400		13,806


	PAR VALUE		VALUE
Non-Agency—(continued)
Chase Mortgage Finance Corp. 07-A1, 1A1 2.993%, 2/25/37⁽³⁾	$	4,702	$	4,801
Citicorp Mortgage Securities, Inc.
07-1,A1 5.500%, 1/25/22		923		928
03-11, 2A10 5.500%, 12/25/33		3,048		3,078
04-4, A6 5.500%, 6/25/34		5,490		5,737
Citicorp Residential Mortgage Securities, Inc. 07-12, A6 6.265%, 6/25/37⁽³⁾		12,329		12,217
Citigroup—Deutsche Bank Commercial Mortgage Trust
05-CD1, AM 5.219%, 7/15/44⁽³⁾		6,410		7,048
06-CD2, A4 5.304%, 1/15/46⁽³⁾		2,659		2,978
07-CD4, A4 5.322%, 12/11/49		8,480		9,726
Commercial Mortgage Pass-Through Certificates 07-C2, A3 5.542%, 1/15/49⁽³⁾		12,995		14,770
Commercial Mortgage Pass-Through-Certificates
11-THL, C,144A 5.163%, 7/3/28⁽⁴⁾		9,000		9,305
01-J2A, A2, 144A 6.096%, 7/16/34⁽⁴⁾		19		19
Countrywide Alternative Loan Trust 6.000%, 9/25/34		18,251		18,916
04-36CBC, 2A1 5.500%, 2/25/35		11,175		10,360
Countrywide Home Loan Mortgage Pass-Through-Trust
02-35, 1A2 5.000%, 2/25/18		2,103		2,150
03-4, 1A15 5.500%, 4/25/33		3,712		3,870
02-R2, 1M 144A 5.750%, 7/25/33⁽⁴⁾		1,120		940
03-28, A8 5.500%, 8/25/33		2,285		2,358
04-6, 1A2 2.990%, 5/25/34⁽³⁾		2,871		2,831
04-4, A6 5.500%, 5/25/34		1,961		2,041
05-22, 3A1 5.163%, 10/25/35⁽³⁾		16,795		13,942
Credit Suisse First Boston Mortgage Securities Corp.
04-8, 7A1 6.000%, 12/25/34		11,222		11,287
03-CPN1, C 4.763%, 3/15/35		7,964		7,975
05-11, 8A10 5.500%, 12/25/35		4,284		4,401
Credit Suisse Mortgage Capital Certificates 06-C1, A3 5.409%, 2/15/39⁽³⁾		6,695		6,861
Deutsche Bank - UBS Mortgage Trust 11-LC3A, A2 3.642%, 8/10/44		11,500		12,510
First Horizon Asset Securities, Inc. 06-1, 1A8 6.000%, 5/25/36		2,301		2,320
GE Capital Commercial Mortgage Corp. 03-C1, C 4.975%, 1/10/38⁽³⁾		4,332		4,348


	PAR VALUE		VALUE
Non-Agency—(continued)
GMAC Commercial Mortgage Securities, Inc.
03-C1, D 4.283%, 5/10/36	$	10,000	$	10,077
04-C2, A3 5.134%, 8/10/38		867		893
04-C2, A4 5.301%, 8/10/38⁽³⁾		8,178		8,673
04-C3, A4 4.547%, 12/10/41		890		890
GMAC Mortgage Corp. Loan Trust
06-HLTV, A4 5.810%, 10/25/29		8,266		8,056
04-AR1, 12A 3.472%, 6/25/34⁽³⁾		11,248		11,596
05-AR1, 5A 5.278%, 3/18/35⁽³⁾		5,724		5,638
Goldman Sachs Mortgage Securities Corp. II
07-EOP, G 144A 2.790%, 3/6/20⁽³⁾⁽⁴⁾		7,670		7,697
07-EOP, H, 144A 3.300%, 3/6/20⁽³⁾⁽⁴⁾		2,850		2,863
11-ALF, B, 144A 3.215%, 2/10/21⁽⁴⁾		8,000		8,114
05-5F, 2A8 5.500%, 6/25/35		6,255		6,322
07-GG10, A4 5.789%, 8/10/45⁽³⁾		8,670		9,993
Greenwich Capital Commercial Funding Corp. 04-GG1, A7 5.317%, 6/10/36⁽³⁾		7,803		8,132
GSR Mortgage Loan Trust
04-15F, 2A2 5.000%, 12/25/34		4,854		4,936
05-AR4, 6A1 5.250%, 7/25/35⁽³⁾		11,292		11,205
07-1F, 2A2 5.500%, 1/25/37		1,107		1,115
Heller Financial Commercial Mortgage Asset 00-PH1, G, 144A 6.750%, 1/17/34⁽⁴⁾		2,925		3,008
Indymac Index Mortgage Loan Trust 05-AR1, 3A1 2.703%, 3/25/35⁽³⁾		2,180		2,022
JPMorgan Chase Commercial Mortgage Securities Corp.
09-IWST, A1, 144A 4.314%, 12/5/27⁽⁴⁾		14,386		15,630
10-CNTR, A1, 144A 3.300%, 8/5/32⁽⁴⁾		13,515		14,474
10-CNTR, A2, 144A 4.311%, 8/5/32⁽⁴⁾		4,550		5,031
04-C1, A3 4.719%, 1/15/38		5,565		5,736
06-CB17, AM 5.464%, 12/12/43		11,360		11,845
06-LDP7, A4 5.871%, 4/15/45⁽³⁾		24,197		27,843
06-LDP7, AM 5.871%, 4/15/45⁽³⁾		22,312		24,947
06-LDP9, A3 5.336%, 5/15/47		20,649		23,618
07-CB18, A3 5.447%, 6/12/47		3,809		3,939
07-LD12, A4 5.882%, 2/15/51⁽³⁾		8,029		9,468
JPMorgan Chase Mortgage Trust
03-A2, 3A1 2.365%, 11/25/33⁽³⁾		9,836		9,785
04-A4, 2A1 2.676%, 9/25/34		6,428		6,559
05-A1, 4A1 4.745%, 2/25/35⁽³⁾		1,662		1,684
05-A2, 4A1 5.059%, 4/25/35⁽³⁾		1,931		1,934
05-A4, 3A1 2.590%, 7/25/35⁽³⁾		10,881		10,784


	PAR VALUE		VALUE
Non-Agency—(continued)
06-A6, 3A3L 5.245%, 10/25/36⁽³⁾	$	2,450	$	2,185
Lehman Brothers - UBS Commercial Mortgage Trust
04-C7, A6 4.786%, 10/15/29⁽³⁾		10,536		11,199
06-C3, AM 5.712%, 3/15/39⁽³⁾		7,615		8,385
06-C6, A4 5.372%, 9/15/39		13,750		15,806
07-C2, A2 5.303%, 2/15/40		1,214		1,215
07-C2, A3 5.430%, 2/15/40		7,825		8,979
07-C6, A2 5.845%, 7/15/40		5,320		5,449
07-C7, A3 5.866%, 9/15/45⁽³⁾		14,742		17,571
MASTR Adjustable Rate Mortgages Trust 04-12,3A1 2.921%, 11/25/34⁽³⁾		3,752		3,767
MASTR Alternative Loans Trust
04-7, 4A1 4.500%, 7/25/19		8,477		8,773
04-6, 10A1 6.000%, 7/25/34		9,067		9,198
04-6, 7A1 6.000%, 7/25/34		9,457		9,648
05-2, 2A1 6.000%, 1/25/35		5,366		5,216
05-2, 1A1 6.500%, 3/25/35		14,584		14,114
MASTR Asset Securitization Trust
04-6, 4A1 5.000%, 7/25/19		1,356		1,411
05-1, 1A1 5.000%, 5/25/20		1,941		2,009
06-1, 1A2 5.750%, 5/25/36		1,743		1,747
Merrill Lynch Floating Trust 08-LAQA, A1 144A 0.751%, 7/9/21⁽³⁾⁽⁴⁾		12,389		12,328
Merrill Lynch Mortgage Investors, Inc. 98-C1, B 6.750%, 11/15/26⁽³⁾		10,000		11,487
Merrill Lynch Mortgage Trust
06-C1, AM 5.684%, 5/12/39⁽³⁾		7,520		8,433
04-KEY2, A3 4.615%, 8/12/39		12,250		12,556
Merrill Lynch/Countrywide Commercial Mortgage Trust
06-3, A4 5.414%, 7/12/46⁽³⁾		11,700		13,450
06-4, A3 5.172%, 12/12/49⁽³⁾		9,500		10,808
Morgan Stanley Capital I
04-HQ4, A6 4.830%, 4/14/40		3,143		3,162
06-T23, AM 5.818%, 8/12/41⁽³⁾		10,575		12,127
Morgan Stanley Capital I, Inc.
06-IQ12, A4 5.332%, 12/15/43		14,865		17,102
07-IQ14, A4 5.692%, 4/15/49⁽³⁾		16,825		19,532
Morgan Stanley Mortgage Loan Trust
04-2AR, 3A 2.498%, 2/25/34⁽³⁾		2,430		2,454
04-2AR, 4A 4.765%, 2/25/34⁽³⁾		3,884		3,969
Motel 6 Trust 12-MTLB, D 144A 3.781%, 10/5/25⁽⁴⁾		20,790		20,796


	PAR VALUE		VALUE
Non-Agency—(continued)
Nomura Asset Acceptance Corp.
04-R1, A1 144A 6.500%, 3/25/34⁽⁴⁾	$	3,711	$	3,904
04-R3, A1 144A 6.500%, 2/25/35⁽⁴⁾		5,958		6,184
Northstar Mortgage Trust 12-1 144A 1.410%, 8/25/29⁽³⁾		5,644		5,634
Opteum Mortgage Acceptance Corp. 06-1, 2APT 5.750%, 4/25/36⁽³⁾		2,931		2,876
ORES NPL LLC 144A 4.000%, 9/25/44⁽⁴⁾		12,710		12,755
Prudential Commercial Mortgage Trust 03-PWR1, D, 144A 4.775%, 2/11/36⁽⁴⁾		4,950		4,948
Residential Accredit Loans, Inc.
03-QS6, A4 4.250%, 3/25/33		5,226		5,416
04-QS16, 1A5 5.500%, 12/25/34		811		789
Residential Asset Mortgage Products, Inc.
04-SL2, A3 7.000%, 10/25/31		4,400		4,594
04-SL1, A8 6.500%, 11/25/31		4,934		5,088
04-SL4, A3 6.500%, 7/25/32		2,404		2,487
Residential Funding Mortgage Securities I, Inc.
06-S12, 1A1 5.500%, 12/25/21		3,479		3,617
05-S1, 1A2 5.500%, 2/25/35		2,750		2,812
06-S4, A2 6.000%, 4/25/36		1,665		1,543
RIAL 12-LT1A, A, 144A 4.750%, 2/15/25⁽⁴⁾		57		57
Royal Bank of Scotland Group plc - Greenwich Capital Holdings, Inc. Mortgage Loan Trust 05-RP1, 2A 144A 3.242%, 3/25/34⁽³⁾⁽⁴⁾		3,346		3,277
S2 Hospitality LLC 12-LV1, A 144A 4.500%, 4/15/25⁽⁴⁾		5,386		5,394
Sierra Receivables Funding Co., LLC 07-2A, A1 144A 5.370%, 9/20/19⁽⁴⁾		1,418		1,455
SMA Issuer I LLC 12-LV1, A 144A 3.500%, 8/20/25⁽⁴⁾		19,180		19,253
Springleaf Mortgage Loan Trust
11-1A, A1, 144A 4.050%, 9/25/41⁽³⁾⁽⁴⁾		7,360		7,577
12-3A, A 144A 1.570%, 12/25/59⁽³⁾⁽⁴⁾		5,394		5,425
Structured Adjustable Rate Mortgage Loan Trust 04-4, 3A4 2.824%, 4/25/34⁽³⁾		5,098		4,957
Structured Asset Securities Corp.
03-AL1, A 144A 3.357%, 4/25/31⁽⁴⁾		15,337		14,937
02-AL1, A3 3.450%, 2/25/32		7,209		7,145
03-14, 3A1 5.508%, 5/25/33⁽³⁾		3,066		3,139
03-21, 2A2 5.250%, 8/25/33		4,038		4,130
04-21XS, 2A4A 4.900%, 12/25/34⁽³⁾		3,668		3,706


	PAR VALUE		VALUE
Non-Agency—(continued)
SunTrust Adjustable Rate Mortgage Loan Trust 07-S1, 5A1 4.770%, 1/25/37⁽³⁾	$	1,556	$	1,534
Timberstar Trust 06-1A, A, 144A 5.668%, 10/15/36⁽⁴⁾		10,240		11,748
Wachovia Bank Commercial Mortgage Trust
07-C33, A4 5.921%, 7/15/17⁽³⁾		14,930		17,512
03-C8, 5 5.232%, 11/15/35⁽³⁾		5,500		5,674
04-C15, B 4.892%, 10/15/41		14,875		15,708
05-C20, AMFX 5.179%, 7/15/42⁽³⁾		6,000		6,572
06-C25, AM 5.736%, 5/15/43⁽³⁾		18,625		20,882
07-C30, A5 5.342%, 12/15/43		39,765		45,551
07-C31, A4 5.509%, 4/15/47		21,625		24,980
07-C32, A3 5.737%, 6/15/49⁽³⁾		14,977		17,451
07-C33, A5 5.921%, 2/15/51⁽³⁾		1,265		1,472
Washington Mutual Commercial Mortgage Securities Trust
06-SL1, A, 144A 5.287%, 11/23/43⁽³⁾⁽⁴⁾		13,143		12,939
07-SL3, A, 144A 5.933%, 3/23/45⁽³⁾⁽⁴⁾		3,846		3,884
Washington Mutual Mortgage Pass-Through Certificates 04-CB1, 5A 5.000%, 6/25/19		3,447		3,568
Wells Fargo Mortgage Backed Securities Trust
06-17, A1 5.500%, 11/25/21		465		467
03-G, A1 4.100%, 6/25/33⁽³⁾		2,627		2,664
04-4, A9 5.500%, 5/25/34		4,271		4,408
04-Z, 2A1 2.623%, 12/25/34⁽³⁾		13,553		13,720
04-CC, A1 2.619%, 1/25/35⁽³⁾		5,544		5,531
05-12, 1A1 5.500%, 11/25/35		9,909		10,141
05-14, 2A1 5.500%, 12/25/35		7,262		7,707
06-6, 1A15 5.750%, 5/25/36		1,007		1,006
06-9, 1A15 6.000%, 8/25/36		443		444
07-16, 1A1 6.000%, 12/28/37		13,135		13,660
07-AR10, 2A1 6.173%, 1/25/38⁽³⁾		7,272		7,410
WFDB Commercial Mortgage Trust 11,BXR, B, 144A 4.786%, 7/5/16⁽⁴⁾		15,000		15,785

				1,476,763

TOTAL MORTGAGE-BACKED SECURITIES (Identified Cost $1,597,148)				1,691,970

ASSET-BACKED SECURITIES—13.8%
1st Financial Bank USA
10-C, B, 144A 5.190%, 9/17/18⁽⁴⁾		6,000		6,086
10-D, C, 144A 5.920%, 6/17/19⁽⁴⁾		3,000		3,072


	PAR VALUE		VALUE
ABSC Long Beach Home Equity Loan Trust 00-LB1, M1F 8.240%, 3/21/29⁽³⁾	$	3,151	$	2,680
AmeriCredit Automobile Receivables Trust
11-3, C 2.860%, 1/9/17		23,000		23,834
11-1, D 4.260%, 2/8/17		11,119		11,826
11-5, D 5.050%, 12/8/17		5,010		5,418
12-1, C 2.670%, 1/8/18		4,625		4,756
12-3, C 2.420%, 5/8/18		16,750		17,374
12-3, D 3.030%, 7/9/18		11,562		11,830
12-4, D 2.680%, 10/9/18		6,700		6,769
11-3, E, 144A 5.760%, 12/10/18⁽⁴⁾		1,611		1,742
11-4, E, 144A 6.530%, 1/8/19⁽⁴⁾		3,950		4,300
11-5, E 6.760%, 3/8/19		8,400		9,258
12-3, E, 144A 4.460%, 11/8/19⁽⁴⁾		4,812		5,077
Ameriquest Mortgage Securities, Inc. 03-10, AF6 4.710%, 11/25/33⁽³⁾		3,472		3,538
Asset Backed Funding Certificates 05-AQ1, A6 4.780%, 6/25/35⁽³⁾		6,023		6,139
Avis Budget Rental Car Funding (AESOP) LLC
11-3A, A, 144A 3.410%, 11/20/17⁽⁴⁾		11,488		12,321
12-3A, A, 144A 2.100%, 3/20/19⁽⁴⁾		23,085		23,540
Bayview Financial Acquisition Trust
06-B, 1A2 5.800%, 4/28/36⁽³⁾		585		590
07-A, 1A2 6.205%, 5/28/37⁽³⁾		5,479		5,547
06-A, 1A2 5.483%, 2/28/41⁽³⁾		264		270
6.087%, 2/28/41⁽³⁾		15,978		17,224
Beacon Container Finance LLC 12-1A, A, 144A 3.720%, 9/20/27⁽⁴⁾		4,705		4,833
Bombardier Capital Mortgage Securitization Corp. 99-A, A3 5.980%, 1/15/18⁽³⁾		2,110		2,098
Bush Truck Leasing LLC 11-44, A, 144A 5.000%, 9/25/18⁽⁴⁾		2,305		2,298
BXG Receivables Note Trust
10-A, A 144A 5.100%, 3/2/26⁽⁴⁾		4,301		4,543
12-A, A 144A 2.660%, 12/2/27⁽⁴⁾		8,391		8,401
California Republic Auto Receivables Trust 12-1, B, 144A 1.760%, 1/16/18⁽⁴⁾		13,570		13,571
CarNow Auto Receivables Trust
12-1A, B, 144A 3.240%, 3/15/16⁽⁴⁾		2,150		2,153
12-1A, C, 144A 4.940%, 3/15/16⁽⁴⁾		3,750		3,759
Centre Point Funding LLC 12-2A, 1, 144A 2.610%, 8/20/21⁽⁴⁾		15,227		15,299
CIT Equipment Collateral 12-A1, B, 144A 4.120%, 10/21/19⁽⁴⁾		10,000		10,050


	PAR VALUE		VALUE
CIT Mortgage Loan Trust 10-VT1A, B 144A 1.460%, 10/25/37⁽³⁾⁽⁴⁾	$	14,013	$	13,542
Citicorp Residential Mortgage Securities, Inc.
07-1, A6 5.702%, 3/25/37⁽³⁾		4,914		4,998
07-2, A3 6.080%, 6/25/37⁽³⁾		10,522		10,520
07-2, A4 6.538%, 6/25/37⁽³⁾		7,000		6,760
CNH Equipment Trust
12-B, A4 1.160%, 6/15/20		10,000		10,099
12-B, B 1.780%, 6/15/20		4,000		4,042
Conseco Financial Corp.
94-1, A5 7.650%, 4/15/19		438		464
01-3, A4 6.910%, 5/1/33⁽³⁾		15,208		15,947
Countrywide Asset-Backed Certificates
04-13, AF4 4.583%, 1/25/33⁽³⁾		1,989		1,987
04-10, AF6 4.485%, 12/25/34⁽³⁾		4,976		4,880
04-12, AF6 4.634%, 3/25/35⁽³⁾		2,374		2,322
Credit-Based Asset Servicing & Securitization LLC 05-CB6, A3 4.853%, 7/25/35⁽³⁾		1,294		1,102
Cronos Containers Program Ltd 12-2A, A 144A 3.810%, 9/18/27⁽⁴⁾		9,750		10,081
Dominos Pizza Master Issuer LLC 12-1A, A2 144A 5.216%, 1/25/42⁽⁴⁾		32,357		36,342
Drug Royalty Corp., Inc 12-1, A2 144A 4.474%, 1/15/25⁽⁴⁾		13,440		13,491
Drug Royalty Corp., Inc. 12-1, A2 144A 5.800%, 7/15/24⁽⁴⁾		5,777		5,982
DSC Floorplan Master Owner Trust 11-1, A, 144A 3.910%, 3/15/16⁽⁴⁾		8,500		8,669
DT Auto Owner Trust
10-1A, C, 144A 3.460%, 1/15/14⁽⁴⁾		270		270
11-2A, C, 144A 3.050%, 2/16/16⁽⁴⁾		5,825		5,827
12-1A, C, 144A 3.380%, 10/16/17⁽⁴⁾		9,975		10,003
Exeter Automobile Receivables Trust
12-1A, C 144A 5.270%, 10/16/17⁽⁴⁾		8,500		9,095
12-2A, C 144A 3.060%, 7/16/18⁽⁴⁾		4,050		4,112
12-2A, D 144A 5.060%, 6/17/19⁽⁴⁾		5,500		5,604
Fairway Outdoor Funding LLC 12-1A, A2, 144A 4.212%, 10/15/42⁽⁴⁾		9,781		9,987
Great America Leasing Receivables 09-1, B 144A 4.520%, 11/15/14⁽⁴⁾		3,000		3,027
GSAA Home Equity Trust 05-12, AF3W 4.999%, 9/25/35⁽³⁾		17,859		17,946
Harley-Davidson Motorcycle Trust 09-4, B 3.190%, 9/15/14		2,531		2,532


	PAR VALUE		VALUE
10-1, C 2.590%, 4/15/18	$	8,500	$	8,682
Hertz Vehicle Financing LLC
09-2A, A1, 144A 4.260%, 3/25/14⁽⁴⁾		2,500		2,514
11-1A, A2 144A 3.290%, 3/25/18⁽⁴⁾		12,290		13,223
Home Equity Loan Trust 07-FRE1, 2AV1 0.340%, 4/25/37⁽³⁾		8,368		7,151
Huntington Auto Trust 12-2, R 0.000%, 5/15/19		111,111		4,549
Hyundai Auto Receivables Trust 12-B, C 1.950%, 10/15/18		10,000		10,202
IMC Home Equity Loan Trust 97-5, A9 7.310%, 11/20/28		4,946		4,976
IndyMac Manufactured Housing Contract 98-1, A3 6.370%, 9/25/28		1,515		1,577
JPMorgan Chase Funding Mortgage Loan Asset-Backed Certificates 04-1,1A4 4.111%, 8/25/30		20		21
Leaf II Receivables Funding LLC 12-1, D 144A 4.680%, 9/15/20⁽⁴⁾		5,859		5,771
Lehman Brothers Manufactured Housing Contract Trust 01-B, A3 4.350%, 4/15/40		6,965		7,357
Lehman XS Trust 05-5, 3A2B 5.420%, 11/25/35⁽³⁾		8,223		8,030
Marriott Vacation Club Owner Trust
12-1A, A, 144A 2.510%, 5/20/30⁽⁴⁾		11,495		11,696
10-1A, A 144A 3.540%, 10/20/32⁽⁴⁾		1,153		1,195
10-1A, B 144A 4.520%, 10/20/32⁽⁴⁾		2,249		2,311
Master Credit Card Trust 12-2A, A 144A 0.780%, 4/21/17⁽⁴⁾		49,460		49,563
Miramax LLC 11-1A, A, 144A 6.250%, 10/20/21⁽⁴⁾		16,611		17,472
MMCA Automobile Trust 11-A, B, 144A 2.720%, 10/17/16⁽⁴⁾		3,500		3,604
New Century Home Equity Loan Trust 05-A, A4W 5.035%, 8/25/35⁽³⁾		15,134		14,181
Orange Lake Timeshare Trust 12-AA, B, 144A 4.870%, 3/10/27⁽⁴⁾		922		948
Popular ABS Mortgage Pass-Through-Trust 05-5, AF3 5.086%, 11/25/35⁽³⁾		11,579		11,045
Renaissance Home Equity Loan Trust 05-3, AF4 5.140%, 11/25/35⁽³⁾		5,405		4,156
Rental Car Finance Corp. 11-1A, B1, 144A 4.380%, 2/25/16⁽⁴⁾		4,000		4,192
Residential Asset Mortgage Products, Inc. 03-RS8, AI7 5.015%, 9/25/33⁽³⁾		2,561		2,619
Residential Funding Mortgage Securities II Home Loan Trust 06-H11, M1 6.010%, 2/25/36⁽³⁾		6,661		6,663


	PAR VALUE		VALUE
07-HI1, A3 5.720%, 3/25/37	$	22,995	$	22,992
Residential Funding Mortgage Securities II, Inc. 07-HI1, A2 5.640%, 3/25/37		1		1
Santander Drive Auto Receivables Trust
11-2, B 2.660%, 1/15/16		9,560		9,769
10-B, C 144A 3.020%, 10/17/16⁽⁴⁾		20,925		21,313
12-2, D 3.870%, 2/15/18		17,575		18,429
12-6, C 1.940%, 3/15/18		9,645		9,640
12-5, C 2.700%, 8/15/18		4,850		5,011
12-6, D 2.520%, 10/15/18		7,000		6,995
Sierra Receivables Funding Co. LLC 12-3A, A, 144A 1.870%, 8/20/29⁽⁴⁾		4,517		4,508
Sierra Receivables Funding Co., LLC
10-3A, B, 144A 4.440%, 11/20/25⁽⁴⁾		7,600		7,898
11-1A, B, 144A 4.230%, 4/20/26⁽⁴⁾		7,005		7,170
12-2A, B, 144A 3.420%, 3/20/29⁽⁴⁾		9,308		9,536
Silverleaf Finance LLC 12-D, A, 144A 3.000%, 3/17/25⁽⁴⁾		15,702		15,699
SLM Corp.
12-B, A2, 144A 3.480%, 10/15/30⁽⁴⁾		12,000		12,800
12-C, A2 144A 3.310%, 10/15/46⁽⁴⁾		11,700		12,409
SNAAC Auto Receivables Trust 12-1A, A, 144A 1.780%, 6/15/16⁽⁴⁾		2,356		2,366
Soundview Home Loan Trust 05-OPT4, 2A3 0.470%, 12/25/35⁽³⁾		26,240		25,406
Structured Asset Securities Corp.
03-AL2, A, 144A 3.357%, 1/25/31⁽⁴⁾		17,434		17,476
01-SB1, A2 3.375%, 8/25/31		3,488		3,442
SVO MOI Mortgage Corp. 10-AA, A ,144A 3.650%, 7/20/27⁽⁴⁾		4,385		4,464
SVO VOI Mortgage Corp. 12-AA, A, 144A 2.000%, 9/20/29⁽⁴⁾		11,036		11,034
TAL Advantage LLC 12-1A, A 144A 3.860%, 5/20/27⁽⁴⁾		11,300		11,665
Terwin Mortgage Trust 04-15AL, A1 144A 5.797%, 7/25/34⁽³⁾⁽⁴⁾		7,716		7,365
Tidewater Auto Receivables Trust 12-AA, B, 144A 2.430%, 4/15/19⁽⁴⁾		7,488		7,478
Trinity Rail Leasing LP 03-1A, A, 144A 5.640%, 10/12/26⁽⁴⁾		2,462		2,785
Trip Rail Master Funding LLC 11-1A, A1A, 144A 4.370%, 7/15/41⁽⁴⁾		7,397		7,891
U-Haul S Fleet LLC 10-BT1A, 1, 144A 4.899%, 10/25/23⁽⁴⁾		27,218		29,545


	PAR VALUE			VALUE
Westgate Resorts LLC 12-2A, A 144A 3.000%, 1/20/25⁽⁴⁾	$	1,421		$	1,431
World Omni Automobile Lease Securitization Trust 12-A, A3 0.930%, 11/16/15		5,700			5,736

TOTAL ASSET-BACKED SECURITIES (Identified Cost $954,433)					975,779

CORPORATE BONDS AND NOTES—35.2%
Consumer Discretionary—2.0%
Arcos Dorados Holdings, Inc. 144A 10.250%, 7/13/16⁽⁴⁾		14,225	^BRL		7,455
Boyd Gaming Corp. 9.125%, 12/1/18		2,425			2,486
CBS Corp. 1.950%, 7/1/17		10,025			10,210
CCO Holdings LLC (CCO Holdings Capital Corp.) 7.375%, 6/1/20		6,700			7,470
Daimler Finance North America LLC 144A 2.625%, 9/15/16⁽⁴⁾		11,000			11,426
Dana Holding Corp. 6.500%, 2/15/19		3,973			4,261
DISH DBS Corp. 4.625%, 7/15/17		11,530			12,078
HD Supply, Inc. 144A 8.125%, 4/15/19⁽⁴⁾		2,935			3,353
Hyatt Hotels Corp. 3.875%, 8/15/16		7,000			7,452
Hyundai Motor Manufacturing 144A 4.500%, 4/15/15⁽⁴⁾		6,000			6,393
International Game Technology 7.500%, 6/15/19		1,115			1,319
Lotte Shopping Co. Ltd. 144A 3.375%, 5/9/17⁽⁴⁾		14,095			14,621
MGM Resorts International
7.500%, 6/1/16		6,000			6,465
144A 6.750%, 10/1/20⁽⁴⁾		6,500			6,654
Nara Cable Funding Ltd. 144A 8.875%, 12/1/18⁽⁴⁾		9,665			9,882
Ono Finance II plc 144A 10.875%, 7/15/19⁽⁴⁾		1,035			994
Penn National Gaming, Inc. 8.750%, 8/15/19		6,615			7,574
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			4,771
144A 7.500%, 10/1/19⁽⁴⁾		8,740			9,641
Wyndham Worldwide Corp.
6.000%, 12/1/16		133			150
5.750%, 2/1/18		1,660			1,855

					140,335

Consumer Staples—0.1%
Sigma Alimentos SA de CV 144A 5.625%, 4/14/18⁽⁴⁾		5,850			6,596


	PAR VALUE		VALUE
Energy—4.2%
Afren plc 144A 11.500%, 2/1/16⁽⁴⁾	$	4,790	$	5,580
Anadarko Petroleum Corp.
6.375%, 9/15/17		12,050		14,389
8.700%, 3/15/19		2,925		3,944
Carrizo Oil & Gas, Inc. 8.625%, 10/15/18		7,271		7,889
Chesapeake Energy Corp. 6.775%, 3/15/19		5,545		5,559
Compagnie Generale de Geophysique-Veritas 7.750%, 5/15/17		2,334		2,439
EP Energy LLC (Everest Acquisition Finance, Inc.) 6.875%, 5/1/19		4,000		4,360
Expro Finance Luxembourg SCA 144A 8.500%, 12/15/16⁽⁴⁾		4,529		4,755
Frontier Oil Corp. 6.875%, 11/15/18		2,550		2,754
Gazprom OAO (Gaz Capital SA)
144A 4.950%, 5/23/16⁽⁴⁾⁽⁶⁾		5,000		5,369
144A 6.212%, 11/22/16⁽⁴⁾		10,405		11,654
144A 8.146%, 4/11/18⁽⁴⁾		2,880		3,552
144A 6.510%, 3/7/22⁽⁴⁾⁽⁶⁾		3,235		3,858
Hercules Offshore, Inc. 144A 7.125%, 4/1/17⁽⁴⁾		9,250		9,736
KazMunayGas National Co. 144A 8.375%, 7/2/13⁽⁴⁾		6,900		7,124
Kinder Morgan Energy Partners LP 6.850%, 2/15/20		2,545		3,204
Korea National Oil Corp.
144A 5.375%, 7/30/14⁽⁴⁾		4,345		4,616
144A 2.875%, 11/9/15⁽⁴⁾		5,000		5,212
Lukoil International Finance BV 144A 6.375%, 11/5/14⁽⁴⁾		4,900		5,292
Midcontinent Express Pipeline LLC 144A 6.700%, 9/15/19⁽⁴⁾		7,500		7,923
MIE Holdings Corp. 144A 9.750%, 5/12/16⁽⁴⁾		2,985		3,268
National JSC Naftogaz of Ukraine 9.500%, 9/30/14		2,900		2,991
OGX Austria GmbH 144A 8.500%, 6/1/18⁽⁴⁾		8,000		7,240
OJSC AK Transneft (TransCapitalInvest Ltd.) 144A 5.670%, 3/5/14⁽⁴⁾		5,715		5,974
Parker Drilling Co. 9.125%, 4/1/18		9,382		10,062
Petrobras International Finance Co.
3.875%, 1/27/16		12,430		13,111
3.500%, 2/6/17		2,000		2,097
Petroleos de Venezuela SA
Series 2014 4.900%, 10/28/14		16,540		15,854
RegS 8.500%, 11/2/17⁽⁵⁾		69,925		69,226


	PAR VALUE		VALUE
Energy—(continued)
Plains Exploration & Production Co. 6.500%, 11/15/20	$	13,200	$	14,685
Pride International, Inc. 8.500%, 6/15/19		4,065		5,359
Quicksilver Resources, Inc. 7.125%, 4/1/16		3,190		2,568
TNK-BP Finance SA RegS 7.500%, 7/18/16⁽⁵⁾		13,235		15,319
Venoco, Inc. 8.875%, 2/15/19		5,675		5,349
Weatherford International Ltd. 9.625%, 3/1/19		4,110		5,358

				297,670

Financials—17.0%
Abbey National Treasury Services plc 144A 3.875%, 11/10/14⁽⁴⁾		11,599		12,035
ABN Amro Bank N.V.
144A 3.000%, 1/31/14⁽⁴⁾		9,000		9,172
144A 4.250%, 2/2/17⁽⁴⁾		4,425		4,826
ADCB Finance Cayman Ltd. 144A 4.750%, 10/8/14⁽⁴⁾		5,290		5,549
Air Lease Corp. 5.625%, 4/1/17		12,995		13,840
Akbank TAS
144A 5.125%, 7/22/15⁽⁴⁾		8,900		9,434
144A 3.875%, 10/24/17⁽⁴⁾		6,150		6,324
Alfa Bank OJSC (Alfa Bond Issuance plc) RegS 7.875%, 9/25/17⁽⁵⁾⁽⁶⁾		19,275		21,588
Allstate Corp. 6.125%, 5/15/37⁽³⁾		4,730		4,919
Alta Mesa Holdings LP (Alta Mesa Finance Services Corp.) 9.625%, 10/15/18		8,150		8,435
American International Group, Inc.
2.375%, 8/24/15		5,825		5,994
4.875%, 9/15/16		8,850		9,896
Anglo American Capital plc 144A 9.375%, 4/8/19⁽⁴⁾		1,950		2,534
Associated Banc Corp. 5.125%, 3/28/16		4,590		5,037
Assurant, Inc. 5.625%, 2/15/14		4,060		4,236
Avis Budget Car Rental LLC (Avis Budget Finance, Inc.) 144A 4.875%, 11/15/17⁽⁴⁾		13,470		13,739
Banco Bilbao Vizcaya Argentaria Bancomer SA
3.250%, 5/16/14		4,000		4,004
144A 4.500%, 3/10/16⁽⁴⁾		5,000		5,313
Banco Bradesco SA
144A 4.125%, 5/16/16⁽⁴⁾		7,000		7,381
144A 4.500%, 1/12/17⁽⁴⁾		13,000		13,845
Banco Continental SA Via Continental Senior Trustees II Cayman Ltd. 144A 5.750%, 1/18/17⁽⁴⁾⁽⁶⁾		10,000		10,950


	PAR VALUE		VALUE
Financials—(continued)
Banco de Credito del Peru 144A 4.750%, 3/16/16⁽⁴⁾	$	14,800	$	15,614
Banco de Credito e Inversiones 144A 3.000%, 9/13/17⁽⁴⁾		3,775		3,846
Banco Santander Chile SA 144A 3.750%, 9/22/15⁽⁴⁾		5,575		5,854
Banco Santander SA
144A 4.500%, 4/6/15⁽⁴⁾		7,500		7,762
144A 4.625%, 2/13/17⁽⁴⁾		6,000		6,345
Banco Votorantim SA 144A 5.250%, 2/11/16⁽⁴⁾		10,500		11,051
Bangkok Bank Plc 144A 2.750%, 3/27/18⁽⁴⁾		16,550		16,732
Bank of Georgia JSC 144A 7.750%, 7/5/17⁽⁴⁾		5,810		5,897
Barclays Bank plc 5.200%, 7/10/14		1,610		1,713
144A 6.050%, 12/4/17⁽⁴⁾		13,130		14,522
144A 5.926%, 9/29/49^(3)(4)(7)(8)		3,773		3,688
Bear Stearns Cos., Inc. LLC (The) 7.250%, 2/1/18		4,365		5,468
BioMed Realty LP 3.850%, 4/15/16		9,375		9,885
Capital One Financial Corp. 6.150%, 9/1/16		5,364		6,135
Chubb Corp. (The) 6.375%, 3/29/67⁽³⁾		8,205		8,943
CIT Group, Inc. 4.250%, 8/15/17		12,050		12,461
Citigroup, Inc.
4.875%, 5/7/15		12,075		12,836
0.581%, 6/9/16⁽³⁾		3,400		3,213
5.500%, 2/15/17		3,635		4,028
CNA Financial Corp. 5.850%, 12/15/14		7,575		8,224
Comerica Bank
5.700%, 6/1/14		1,900		2,026
4.800%, 5/1/15		1,828		1,975
5.750%, 11/21/16		5,940		6,871
Corporacion Andina de Fomento
5.200%, 5/21/13		1,000		1,015
3.750%, 1/15/16		10,000		10,551
Countrywide Financial Corp. 6.250%, 5/15/16		12,000		13,169
Danske Bank A/S 144A 3.875%, 4/14/16⁽⁴⁾		8,000		8,472
Deutsche Bank Financial LLC 5.375%, 3/2/15		2,933		3,106
Discover Bank 8.700%, 11/18/19		1,750		2,276
DNB Bank ASA 144A 3.200%, 4/3/17⁽⁴⁾		24,700		26,299
E*TRADE Financial Corp. 6.375%, 11/15/19		10,155		10,460
Fifth Third Bancorp 4.500%, 6/1/18		6,745		7,487
Fifth Third Bank 4.750%, 2/1/15		750		804
First Tennessee Bank N.A. 5.650%, 4/1/16		15,664		17,062
Ford Motor Credit Co. LLC 4.207%, 4/15/16		10,000		10,664


	PAR VALUE		VALUE
Financials—(continued)
General Electric Capital Corp.
1.600%, 11/20/17	$	10,000	$	10,003
0.693%, 5/5/26⁽³⁾		8,000		6,924
General Motors Financial Co., Inc. 144A 4.750%, 8/15/17⁽⁴⁾		17,940		18,877
Genworth Financial, Inc. 7.625%, 9/24/21		4,375		4,824
Glen Meadow Pass-Through Trust 144A 6.505%, 2/12/67⁽³⁾⁽⁴⁾		10,345		9,595
Goldman Sachs Group, Inc. (The)
5.350%, 1/15/16		3,225		3,564
5.625%, 1/15/17		2,800		3,071
7.500%, 2/15/19		2,451		3,082
Hana Bank
144A 4.500%, 10/30/15⁽⁴⁾		11,000		11,909
144A 3.500%, 10/25/17⁽⁴⁾		5,535		5,855
HBOS plc 144A 6.750%, 5/21/18⁽⁴⁾		685		737
HCP, Inc.
3.750%, 2/1/16		8,000		8,489
3.750%, 2/1/19		4,940		5,210
HDTFS, Inc. 144A 5.875%, 10/15/20⁽⁴⁾		9,420		9,891
Health Care REIT, Inc.
4.700%, 9/15/17		8,565		9,551
4.125%, 4/1/19		4,100		4,407
Healthcare Realty Trust, Inc. 6.500%, 1/17/17		3,000		3,429
HSBC USA, Inc. 1.625%, 1/16/18		12,910		12,917
Huntington Bancshares, Inc. 7.000%, 12/15/20		1,025		1,253
Huntington National Bank (The) 4.900%, 1/15/14		1,400		1,441
Hutchison Whampoa International Ltd. Series 12 144A 6.000%, 5/29/49^(3)(4)(7)(8)		13,210		14,003
Hyundai Capital Services, Inc.
144A 6.000%, 5/5/15⁽⁴⁾		4,975		5,463
144A 3.750%, 4/6/16⁽⁴⁾		500		528
144A 4.375%, 7/27/16⁽⁴⁾		1,500		1,613
144A 3.500%, 9/13/17⁽⁴⁾		8,000		8,445
144A 2.125%, 10/2/17⁽⁴⁾		2,940		2,960
ICICI Bank RegS 4.700%, 2/21/18⁽⁵⁾		13,000		13,649
ING Bank NV
144A 2.375%, 6/9/14⁽⁴⁾		5,000		5,065
144A 4.000%, 3/15/16⁽⁴⁾		9,000		9,576
International Lease Finance Corp. 5.650%, 6/1/14		5,820		6,086
Jefferies Group, Inc. 5.125%, 4/13/18		6,541		6,868
JPMorgan Chase & Co. 6.125%, 6/27/17		3,550		4,146
Kazkommerts Bank International BV


	PAR VALUE			VALUE
Financials—(continued)
144A 7.875%, 4/7/14⁽⁴⁾	$	4,135		$	4,158
RegS 8.000%, 11/3/15⁽⁵⁾		1,000			965
KeyBank N.A.
5.800%, 7/1/14		1,450			1,553
7.413%, 5/6/15		3,000			3,375
4.950%, 9/15/15		1,295			1,411
KeyCorp 6.500%, 5/14/13		2,925			2,988
Korea Development Bank
4.375%, 8/10/15		2,525			2,726
3.875%, 5/4/17		7,000			7,565
3.500%, 8/22/17		9,750			10,428
Legg Mason, Inc. 144A 6.000%, 5/21/19⁽⁴⁾		2,080			2,241
Lincoln National Corp.
8.750%, 7/1/19		2,340			3,127
6.050%, 4/20/67⁽³⁾⁽⁸⁾		2,885			2,874
Macquarie Bank Ltd. 144A 3.450%, 7/27/15⁽⁴⁾		7,920			8,235
Manufacturers & Traders Trust Co. 5.629%, 12/1/21⁽³⁾		5,000			5,142
Mercantile Bankshares Corp. Series B, 4.625%, 4/15/13		4,708			4,762
MetLife, Inc. 6.750%, 6/1/16		910			1,077
Metropolitan Life Global Funding I 144A 1.700%, 6/29/15⁽⁴⁾		13,770			14,056
Morgan Stanley
6.000%, 5/13/14		1,970			2,086
3.800%, 4/29/16		5,850			6,140
5.750%, 10/18/16		3,455			3,829
144A 10.090%, 5/3/17⁽⁴⁾		10,525	^BRL		5,564
Nationwide Health Properties, Inc. 6.250%, 2/1/13		4,825			4,845
Nordea Bank AB 144A 2.125%, 1/14/14⁽⁴⁾		5,000			5,048
ORIX Corp. 5.000%, 1/12/16		5,228			5,661
PNC Funding Corp. 5.625%, 2/1/17		3,130			3,613
Progressive Corp. (The) 6.700%, 6/15/37⁽³⁾		2,740			2,959
Prudential Financial, Inc.
4.750%, 9/17/15		4,770			5,228
8.875%, 6/15/38⁽³⁾⁽⁸⁾		11,200			13,608
QGOG Constellation SA 144A 6.250%, 11/9/19⁽⁴⁾		7,925			8,282
Regions Bank 7.500%, 5/15/18		12,001			14,506
Regions Financial Corp. 5.750%, 6/15/15		2,535			2,741
Reynolds Group Issuer, Inc. (Reynolds Group Issuer LLC)
7.875%, 8/15/19		2,500			2,794
144A 5.750%, 10/15/20⁽⁴⁾		12,945			13,398


	PAR VALUE		VALUE
Financials—(continued)
Rosneft Oil Co. ( Rosneft International Finance Ltd.) 144A 3.149%, 3/6/17⁽⁴⁾⁽⁶⁾	$	10,800	$	10,962
Royal Bank of Scotland plc (The) Series 2
3.400%, 8/23/13		7,000		7,104
4.875%, 3/16/15		3,230		3,469
3.950%, 9/21/15		3,860		4,098
6.400%, 10/21/19		3,130		3,696
Russian Agricultural Bank OJSC (RSHB Capital SA)
144A 6.299%, 5/15/17⁽⁴⁾		2,905		3,217
144A 5.298%, 12/27/17⁽⁴⁾		18,055		19,364
Ryder System, Inc. 2.500%, 3/1/17		11,980		12,178
Santander Holdings USA, Inc. 3.000%, 9/24/15		980		998
Santander U.S. Debt S.A.U. 144A 3.724%, 1/20/15⁽⁴⁾		8,100		8,137
Sberbank of Russia (Sberbank CapItal SA)
144A 4.950%, 2/7/17⁽⁴⁾⁽⁶⁾		26,100		28,155
144A 5.125%, 10/29/22⁽⁴⁾⁽⁶⁾		9,170		9,342
Senior Housing Properties Trust 4.300%, 1/15/16		6,875		7,126
Shinhan Bank 144A 4.375%, 7/27/17⁽⁴⁾		11,700		12,851
SLM Corp. 4.625%, 9/25/17		17,805		18,241
Societe Generale S.A.
144A 3.100%, 9/14/15⁽⁴⁾		2,900		2,995
144A 3.500%, 1/15/16⁽⁴⁾		6,895		7,173
144A 5.922%, 4/29/49^(3)(4)(7)(8)		6,800		6,254
Sovereign Bank 5.125%, 3/15/13		7,000		7,000
Spansion LLC 7.875%, 11/15/17		2,955		3,044
State Street Corp. 4.956%, 3/15/18⁽⁸⁾		5,000		5,661
SunTrust Bank, Inc.
6.000%, 9/11/17		4,925		5,818
5.450%, 12/1/17		3,750		4,235
Svenska Handelsbanken AB 3.125%, 7/12/16		10,000		10,608
Telecom Italia Capital SA
6.175%, 6/18/14		4,900		5,165
7.175%, 6/18/19		2,395		2,779
Turkiye Garanti Bankasi AS 144A 4.000%, 9/13/17⁽⁴⁾		7,000		7,219
Turkiye Is Bankasi 144A 3.875%, 11/7/17⁽⁴⁾		16,700		17,009
Turkiye Vakiflar Bankasi Tao 144A 5.750%, 4/24/17⁽⁴⁾		14,000		15,155
United Rentals Financing Escrow Corp. 144A 5.750%, 7/15/18⁽⁴⁾		7,895		8,546
Unum Group 7.125%, 9/30/16		6,620		7,797


	PAR VALUE		VALUE
Financials—(continued)
Ventas Realty LP (Ventas Capital Corp.)
2.000%, 2/15/18	$	2,000	$	2,001
4.000%, 4/30/19		8,030		8,625
Vnesheconombank (VEB Finance plc)
144A 5.375%, 2/13/17⁽⁴⁾		12,915		14,142
144A 5.450%, 11/22/17⁽⁴⁾⁽⁶⁾		3,500		3,894
VTB Bank OJSC (VTB Capital SA)
144A 6.465%, 3/4/15⁽⁴⁾		6,000		6,441
144A 6.000%, 4/12/17⁽⁴⁾⁽⁶⁾		12,445		13,453
Wachovia Bank NA 5.000%, 8/15/15		2,600		2,840
Webster Financial Corp. 5.125%, 4/15/14		2,500		2,596
Wells Fargo & Co. 5.125%, 9/15/16		5,000		5,630
Willis Group Holdings plc 4.125%, 3/15/16		6,000		6,398
Zions Bancorp
5.650%, 5/15/14		1,775		1,827
7.750%, 9/23/14		6,194		6,765
4.500%, 3/27/17		8,120		8,481

				1,204,410

Health Care—1.0%
Community Health Systems, Inc. (CHS)
5.125%, 8/15/18		9,320		9,739
7.125%, 7/15/20		3,185		3,404
Express Scripts Holding Co. 144A 3.500%, 11/15/16⁽⁴⁾		10,000		10,689
HCA, Inc. 6.500%, 2/15/20		18,765		21,158
inVentiv Health, Inc. 144A 9.000%, 1/15/18⁽⁴⁾		3,810		3,858
Symbion, Inc. 8.000%, 6/15/16		6,517		6,745
Tenet Healthcare Corp. 144A 4.750%, 6/1/20⁽⁴⁾		9,275		9,437
U.S. Oncology, Inc. 0.000%, 2/16/49⁽⁹⁾		1,263		—
Vanguard Health Holding Co. II, LLC (Vanguard Holding Co. II, Inc.) 7.750%, 2/1/19		3,212		3,340

				68,370

Industrials—5.4%
ADS Tactical, Inc. 144A 11.000%, 4/1/18⁽⁴⁾		7,416		7,601
Aircastle Ltd. 144A 6.250%, 12/1/19⁽⁴⁾		10,400		10,894
America West Airlines, Inc. Pass-Through-Trust 98-1A, 6.870%, 1/2/17		2,220		2,320
Series 99-1, G 7.930%, 1/2/19		9,860		10,574
Series 00-1, G 8.057%, 7/2/20		9,744		10,450
American Honda Finance Corp. 144A 6.700%, 10/1/13⁽⁴⁾		4,850		5,070


	PAR VALUE		VALUE
Industrials—(continued)
Atlas Air Pass-Through-Trust
98-1, A 7.380%, 1/2/18	$	10,058	$	10,360
99-1, A1 7.200%, 1/2/19		2,184		2,184
00-1. A 8.707%, 1/2/19		3,178		3,393
AWAS Aviation Capital Ltd. 144A 7.000%, 10/15/16⁽⁴⁾		10,468		11,096
Continental Airlines Pass-Through-Trust
98-1, A 6.648%, 9/15/17		5,439		5,826
97-4, A 6.900%, 1/2/18		5,604		6,095
99-1, A 6.545%, 2/2/19		11,029		12,021
00-1, A-1 8.048%, 11/1/20		7,613		8,621
01-A1 6.703%, 6/15/21		13,467		14,645
Delta Air Lines Pass-Through-Trust
11-1, A 5.300%, 4/15/19		15,293		16,861
09-1, A 7.750%, 12/17/19		522		597
12-1A, 1A 4.750%, 5/7/20		24,440		26,151
Deluxe Corp. 7.000%, 3/15/19		4,970		5,281
Hexion U.S. Finance Corp. 6.625%, 4/15/20		2,480		2,536
Kratos Defense & Security Solutions, Inc. 10.000%, 6/1/17		8,570		9,448
Northwest Airlines Pass-Through-Trust
01-1, B 7.691%, 4/1/17		11,823		12,532
02-1, G2 6.264%, 11/20/21		19,018		20,160
Owens Corning, Inc. 6.500%, 12/1/16		2,262		2,541
Sappi Papier Holding GmbH
144A 7.750%, 7/15/17⁽⁴⁾		12,830		14,033
144A 8.375%, 6/15/19⁽⁴⁾		7,770		8,518
ServiceMaster Co. 144A 7.000%, 8/15/20⁽⁴⁾		2,845		2,866
Spirit Aerosystems, Inc. 7.500%, 10/1/17		6,330		6,805
Toledo Edison Co. (The) 7.250%, 5/1/20		1,360		1,727
Transnet SOC Ltd. 144A 4.500%, 2/10/16⁽⁴⁾		9,000		9,566
U.S. Airways Pass-Through-Trust
98-1 6.850%, 1/30/18		5,108		5,364
98-1B 7.350%, 1/30/18		13,718		13,890
99-1A 8.360%, 1/20/19		6,685		7,354
01-1G 7.076%, 3/20/21		26,301		27,353
11-1 A 7.125%, 10/22/23		7,845		8,826
12-1A 5.900%, 10/1/24		11,500		12,535
UAL Pass-Through-Trust
09-2 9.750%, 1/15/17		28,771		33,302
07-01A 6.636%, 7/2/22		11,752		12,633

				382,029


	PAR VALUE		VALUE
Information Technology—0.7%
Digicel Ltd. 144A 8.250%, 9/1/17⁽⁴⁾	$	7,886	$	8,517
Dun & Bradstreet Corp. (The) 3.250%, 12/1/17		16,800		16,972
EarthLink, Inc. 8.875%, 5/15/19		5,100		5,368
Fidelity National Financial, Inc. 6.600%, 5/15/17		6,475		7,297
MDC-GMTN B.V. 144A 3.750%, 4/20/16⁽⁴⁾		4,000		4,210
Tech Data Corp. 3.750%, 9/21/17		790		810
Xerox Corp. 4.250%, 2/15/15		4,000		4,206

				47,380

Materials—2.1%
Allegheny Technologies, Inc. 9.375%, 6/1/19		7,245		9,211
Ardagh Packaging Finance plc (Ardagh Packaging Holdings, Inc.) 144A 7.375%, 10/15/17⁽⁴⁾		8,145		8,888
Calumet Specialty Products Partners LP (Calumet Finance Corp.) 9.375%, 5/1/19		7,491		8,165
Cemex SAB de CV 144A 9.500%, 6/15/18⁽⁴⁾		9,754		10,949
CRH America, Inc.
4.125%, 1/15/16		4,000		4,164
8.125%, 7/15/18		4,770		5,758
Eurochem Mineral & Chemical Co. OJSC (EuroChem GI Ltd.) 144A 5.125%, 12/12/17⁽⁴⁾⁽⁶⁾		11,920		12,278
FMG Resources Property Ltd.
144A 6.000%, 4/1/17⁽⁴⁾		2,485		2,547
144A 8.250%, 11/1/19⁽⁴⁾		8,600		9,202
Gerdau Holdings, Inc. 144A 7.000%, 1/20/20⁽⁴⁾		1,950		2,267
International Paper Co. 9.375%, 5/15/19		5,330		7,263
JMC Steel Group 144A 8.250%, 3/15/18⁽⁴⁾		6,030		6,332
Libbey Glass, Inc. 6.875%, 5/15/20		8,135		8,786
Methanex Corp. 3.250%, 12/15/19		10,800		10,853
Nufarm Australia Ltd. 144A 6.375%, 10/15/19⁽⁴⁾		16,010		16,811
Sealed Air Corp. 144A 6.500%, 12/1/20⁽⁴⁾		2,355		2,555
Severstal OAO (Steel Capital SA)
144A 6.250%, 7/26/16⁽⁴⁾⁽⁶⁾		6,665		7,156
144A 6.700%, 10/25/17⁽⁴⁾⁽⁶⁾		5,975		6,573
Sinopec Group Overseas Development Ltd. 144A 2.750%, 5/17/17⁽⁴⁾		10,000		10,366

				150,124

Telecommunication Services—1.8%
America Movil SAB de CV 2.375%, 9/8/16		11,000		11,430
Axtel SAB de CV 144A 9.000%, 9/22/19⁽⁴⁾		750		416
CenturyLink, Inc. 6.000%, 4/1/17		10,050		11,127
Crown Castle Towers LLC


	PAR VALUE		VALUE
Telecommunication Services—(continued)
144A 4.523%, 1/15/15⁽⁴⁾	$	4,925	$	5,192
144A 3.214%, 8/15/15⁽⁴⁾		4,950		5,161
144A 5.495%, 1/15/17⁽⁴⁾		5,915		6,746
France Telecom SA 2.750%, 9/14/16		1,000		1,049
Frontier Communications Corp. 7.125%, 3/15/19		12,200		13,328
GTP Acquisition Partners I LLC 144A 4.347%, 6/15/16⁽⁴⁾		3,000		3,179
SBA Tower Trust
144A 3.970%, 4/15/15⁽⁴⁾		13,535		14,220
144A 2.933%, 12/15/17⁽⁴⁾		13,275		13,811
Sprint Nextel Corp. 6.000%, 12/1/16		14,550		15,896
Telefonica Emisiones SAU 6.421%, 6/20/16		7,500		8,299
Wind Acquisition Finance S.A. 144A 11.750%, 7/15/17⁽⁴⁾		6,425		6,762
Windstream Corp. 7.750%, 10/15/20		12,125		13,156

				129,772

Utilities—0.9%
Abu Dhabi National Energy Co. 144A 2.500%, 1/12/18⁽⁴⁾		13,930		14,069
AmeriGas Partners LP (AmeriGas Finance Corp.)
6.250%, 8/20/19		5,670		6,095
6.750%, 5/20/20		4,000		4,410
Centrais Eletricas Brasileiras SA 144A 6.875%, 7/30/19⁽⁴⁾		10,875		12,370
Enel Finance International N.V. 144A 3.875%, 10/7/14⁽⁴⁾		2,000		2,059
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		2,141
Korea Hydro & Nuclear Power Co., Ltd. 144A 3.125%, 9/16/15⁽⁴⁾		1,000		1,044
Midwest Generation LLC Series B 8.560%, 1/2/16⁽¹⁰⁾		810		786
NRG Energy, Inc.
7.625%, 1/15/18		1,485		1,656
8.500%, 6/15/19		6,050		6,685
PPL WEM Holdings plc 144A 3.900%, 5/1/16⁽⁴⁾		5,495		5,785
TransAlta Corp. 4.750%, 1/15/15		2,220		2,353

				63,093

TOTAL CORPORATE BONDS AND NOTES (Identified Cost $2,353,052)				2,489,779


	PAR VALUE			VALUE
LOAN AGREEMENTS⁽³⁾—14.2%
Consumer Discretionary—3.3%
Acosta, Inc. Tranche D, 5.000%, 3/2/18	$	7,980		$	8,068
Advantage Sales & Marketing, Inc. First Lien, 5.250%, 12/18/17		711			717
Allison Transmission, Inc. Tranche B-3 4.250%, 8/23/19		7,735			7,812
Boyd Gaming Corp. 6.000%, 12/17/15		4,750			4,809
Caesars Entertainment Operating Co., Inc. (Harrah’s Operating Company, Inc.)
Tranche B-4, 9.500%, 10/31/16		5,951			6,046
Tranche B-6, 5.460%, 1/28/18		10,226			9,156
Cengage Learning Acquisitions, Inc. 2.720%, 7/3/14		6,868			5,446
Charter Communications Operating LLC
Tranche C, 3.470%, 9/6/16		2,174			2,187
Tranche D, 4.000%, 5/15/19		4,963			5,014
Chrysler Group LLC (Chrysler Group Co-Issuer, Inc.) Tranche B, 6.000%, 5/24/17		8,274			8,461
Cogeco Cable (Atlantic Broadband Sub) 0.000%, 12/2/19⁽¹²⁾		4,090			4,135
Cumulus Media Holdings, Inc. 0.000%, 9/17/18⁽¹²⁾		9,892			9,946
Entercom Radio LLC Tranche B, 6.250%, 11/23/18		5,838			5,895
Fram Group Holdings, Inc. (Prestone Holdings, Inc.) First Lien, 6.500%, 7/29/17		4,923			4,929
Gateway Casinos & Entertainment Ltd. Tranche B, 6.750%, 5/12/16		3,205	^CAD		3,214
Getty Images, Inc. 0.000%, 10/18/19⁽¹²⁾		6,400			6,417
HD Supply, Inc. 7.250%, 10/12/17		11,811			12,158
Hubbard Radio LLC First Lien, 5.250%, 4/28/17		3,327			3,366
Landry’s, Inc. (Landry’s Restaurants, Inc.) Tranche B, 6.500%, 4/24/18		10,803			10,938
MedAssets, Inc. Tranche B 4.000%, 12/13/19		769			771
MGM Resorts International (MGM Mirage) Tranche B, 4.250%, 12/20/19		1,809			1,830
MTL Publishing LLC (EMI Music Publishing Group North America Holdings, Inc.) Tranche B, 5.500%, 6/29/18		7,333			7,439
Neiman Marcus Group, Inc. (The) 4.750%, 5/16/18		5,402			5,417
Nielsen Finance LLC
Tranche A, 2.213%, 8/9/13		288			289
Tranche B, 3.963%, 5/2/16		3,266			3,285


	PAR VALUE		VALUE
Consumer Discretionary—(continued)
Ozburn-Hessey Holding Co., LLC First Lien, 8.250%, 4/8/16	$	1,066	$	1,066
Penn National Gaming, Inc. Tranche B, 3.750%, 7/16/18		12,206		12,262
Pilot Travel Centers LLC
Refinancing Tranche B, 3.750%, 3/30/18		3,183		3,207
First Amendment Tranche B, 4.250%, 8/7/19		417		420
PVH Corp. 0.000%, 12/31/19⁽¹²⁾		3,395		3,419
Radio One, Inc. 7.500%, 3/31/16		1,894		1,927
Riverbed Technology, Inc. 0.000%, 12/18/19⁽¹²⁾		4,350		4,399
ServiceMaster Co. (The) Tranche B, 4.460%, 1/31/17		4,232		4,251
Seven Seas Cruises, Inc. Tranche B, 6.250%, 12/21/18		5,126		5,203
Sports Authority, Inc. (The) Tranche B, 7.500%, 11/16/17		2,254		2,274
SRAM LLC First Lien, 4.750%, 6/7/18		2,249		2,255
Station GVR Acquisition LLC (Green Valley Ranch Gaming LLC) 0.000%, 9/28/19⁽¹²⁾		5,578		5,625
TCW Group 0.000%, 12/31/19⁽¹²⁾		4,631		4,643
TI Group Automotive Systems LLC 6.750%, 3/14/18		5,947		6,007
Toys “R” Us, Inc. 6.000%, 9/1/16		8,988		8,722
Tribune Co. 0.000%, 7/30/19⁽¹²⁾		4,613		4,610
Visant Corp. (Jostens) Tranche B, 5.250%, 12/22/16		8,886		8,097
VWR Funding, Inc. 4.462%, 4/3/17		3,194		3,211
WideOpenWest Finance LLC (WideOpenWest Capital Corp.) 6.250%, 7/17/18		9,154		9,272
WMG Acqusition Corp. 5.250%, 11/1/18		5,160		5,233

				233,848

Consumer Staples—0.4%
AdvancePierre Foods, Inc. First Lien, 5.750%, 7/10/17		213		216
American Rock Salt Co. LLC 5.500%, 4/25/17		10,759		10,649
Pinnacle Foods Finance LLC
Tranche E, 4.750%, 10/17/18		2,174		2,195
Tranche F, 4.750%, 10/17/18		7,084		7,162
Reynolds Group Holdings, Inc. 4.750%, 9/28/18		6,131		6,210

				26,432


	PAR VALUE		VALUE
Energy—0.9%
Buffalo Gulf Coast Terminals 5.250%, 10/31/17	$	3,291	$	3,345
Chesapeake Energy Corp. 5.750%, 12/2/17		13,270		13,309
CITGO Petroleum Corp. Tranche C, 9.000%, 6/24/17		1,897		1,926
EP Energy LLC (Everest Acquisition LLC)
Tranche B-1, 5.000%, 5/24/18		6,150		6,205
Tranche B-2, 4.500%, 4/30/19		2,047		2,057
Frac Tech International LLC 8.500%, 5/6/16		11,340		9,464
Gibson Energy ULC Tranche B, 4.750%, 6/15/18		3,828		3,889
Helix Energy Solutions Group, Inc. Extended, 3.710%, 7/1/16		9,225		9,237
NGPL Pipeco LLC 6.750%, 9/15/17		6,335		6,498
Plains Exploration & Production Co. 4.000%, 11/30/19		2,834		2,833
Samson Investment Co. Second Lien, 6.000%, 9/25/18		8,366		8,467

				67,230

Financials—1.4%
Alitsource Portfolio Solutions S.A.R.L Tranche B, 5.750%, 11/27/19		10,000		10,088
Asurion LLC (Asurion Corp.) First Lien, 5.500%, 5/24/18		8,855		8,958
Capital Automotive LP Tranche B, 5.250%, 3/11/17		4,930		4,990
iPayment, Inc . 0.000%, 5/8/17⁽¹²⁾		6,640		6,632
iStar Financial, Inc.
Tranche A-2 7.000%, 3/19/17		4,000		4,210
5.750%, 10/15/17		6,546		6,615
MIP Delaware, LLC (MIPL (LUX) S.A.R.L) 5.500%, 7/12/18		1,917		1,932
MoneyGram Payment Systems Worldwide, Inc. 4.250%, 11/17/17		575		575
Nuveen Investments, Inc.
First Lien Additional Extended , 5.812%, 5/13/17		3,245		3,265
First Lien Extended, 8.872%, 5/13/17		6,455		6,494
Second Lien, 8.250%, 2/28/19		2,000		2,044
Realogy Corp.
Extended LOC, 0.059%, 10/10/16		826		830
Extended First Lien, 4.461%, 10/10/16		11,426		11,478
RPI Finance Trust 4.000%, 11/9/18⁽¹²⁾		11,075		11,210


	PAR VALUE		VALUE
Financials—(continued)
Springleaf Financial Funding Co. (American General Finance Corp.) 5.500%, 5/10/17	$	9,025	$	8,991
TransUnion LLC 5.500%, 2/10/18		2,808		2,852
Walter Investment Management Corp. Tranche B, 5.750%, 11/28/17		7,771		7,818

				98,982

Health Care—2.2%
Alere, Inc.
Tranche B-1, 4.750%, 6/30/17		2,473		2,487
Tranche B-2, 4.750%, 6/30/17		4,963		4,992
Aptalis Pharma, Inc. (Axcan Intermediate Holdings, Inc.) Tranche B-1, 5.500%, 2/10/17		3,063		3,083
Ardent Health Services LLC 7.250%, 9/15/15		3,916		3,935
Ardent Medical Services, Inc. 7.250%, 11/21/18		4,372		4,424
Capsugel Holdings U.S., Inc. 4.750%, 8/1/18		2,804		2,840
Catalent Pharma Solutions, Inc. (Cardinal Health 409, Inc.) Tranche 2, 5.250%, 9/15/17		3,696		3,747
ConvaTec, Inc. 5.000%, 12/22/16		1,433		1,454
DaVita, Inc. Tranche B-2 4.000%, 11/1/19		10,784		10,875
Emdeon, Inc. Tranche B-1, 5.000%, 11/2/18		2,474		2,501
HCR ManoCare, Inc. (HCR Healthcare LLC) 5.000%, 4/6/18		655		623
Health Management Associates, Inc. Tranche B, 4.500%, 11/16/18		4,561		4,604
Hologic, Inc. Tranche B 4.500%, 8/1/19		14,464		14,655
Houghton International, Inc. First Lien 0.000%, 7/30/19⁽¹²⁾		14,470		14,619
Iasis Healthcare LLC Tranche B, 5.000%, 5/3/18		4,925		4,946
InVentiv Health, Inc. (Ventive Health, Inc.) 7.500%, 8/4/16		1,676		1,634
Kinetic Concepts, Inc. Tranche C-1, 5.500%, 5/4/18		7,349		7,444
MultiPlan, Inc. Tranche B, 4.750%, 8/26/17		2,395		2,416
NBTY, Inc. Tranche B-1, 4.250%, 10/1/17		2,334		2,361
Par Pharmaceutical Companies, Inc. (Par Pharmaceutical, Inc.) Tranche B, 5.000%, 9/30/19		10,826		10,832
Quintiles Transnational 0.000%, 6/8/18⁽¹²⁾		4,501		4,537
Rural/Metro Operating Co., LLC First Lien, 5.750%, 6/30/18		3,119		3,087
Sheridan Holdings, Inc. First Lien, 6.000%, 6/29/18		8,632		8,750


	PAR VALUE		VALUE
Health Care—(continued)
Surgery Center Holdings, Inc. 6.500%, 2/6/17	$	4,048	$	4,027
U.S. Renal Care, Inc. First Lien, 6.250%, 7/3/19		2,749		2,790
Universal Health Services, Inc. Tranche B, 3.750%, 11/15/16		1,934		1,950
Valeant Pharmaceuticals International, Inc.
Series D Tranche B, 4.250%, 2/13/19		13,386		13,494
Series C Tranche B, 4.250%, 12/11/19		2,175		2,191
Vanguard Health Holding Co., LLC (Vanguard Health System, Inc.) 5.000%, 1/29/16		2,033		2,058
Warner Chilcott Corp.
Tranche B-2, 4.250%, 3/15/18		1,897		1,917
Tranche B-1, 4.250%, 3/15/18		1,441		1,456
Tranche B-1, 4.250%, 3/15/18		3,795		3,835
(WC Luxco S.A.R.L.) Tranche B-3, 4.250%, 3/15/18		2,609		2,636

				157,200

Industrials—2.0%
ADS Waste Holdings, Inc. 5.250%, 10/9/19		4,102		4,158
Aluma Systems, Inc. (Brand Energy & Infrastructure) Tranche-1 6.250%, 10/23/18		1,873		1,858
AWAS Finance Luxemborg S.A. 4.750%, 7/16/18		10,637		10,734
Brand Energy & Infrastructure Services, Inc. (FR Brand Acquisition Corp.) Tranche B-1 First Lien, 6.250%, 10/23/18		7,803		7,742
Brickman Group Holdings, Inc. Tranche B-1, 5.500%, 10/14/16		5,774		5,868
Brock Holdings Ill, Inc. First Lien, 6.000%, 3/16/17		1,495		1,503
Ceridian Corp. Extended, 5.959%, 5/9/17		11,864		11,879
CHG Buyer Corp. First Lien, 5.000%, 11/19/19		10,229		10,246
Delta Air Lines, Inc. Tranche B-1, 5.250%, 10/18/18		6,444		6,513
Ducommun, Inc. 5.500%, 6/28/17		1,213		1,222
Garda Security Group, Inc. Tranche B 4.500%, 11/13/19		4,250		4,291
Genpact Ltd. 4.250%, 8/30/19		2,444		2,467
Harland Clarke Holdings Corp. (Clarke American Corp.) Tranche B-2 5.462%, 6/30/17		5,684		5,286
Husky Injection Molding System (Yukon Acquisition, Inc.) 5.750%, 7/2/18		5,480		5,564
McJunkin Red Man Corp. 6.250%, 11/8/19		7,036		7,089
Mirror Bidco, Inc. 0.000%, 12/18/19⁽¹²⁾		4,375		4,392
Sequa Corp. 5.250%, 6/19/17		5,250		5,291


	PAR VALUE		VALUE
Industrials—(continued)
Silver II Borrower S.C.A. (Silver US Holdings, LLC) 5.000%, 12/13/19	$	10,753	$	10,874
Spirit Aerosystems, Inc. Tranche B 3.750%, 4/18/19		13,895		14,008
Swift Transportation Corp. Tranche B-2, 5.000%, 12/21/17		1,147		1,160
Terex Corp. 4.500%, 4/28/17		6,320		6,415
WCA Waste Corp. (WCA Waste Systems, Inc.) 5.500%, 3/23/18		9,441		9,512
WireCo Worldgroup, Inc. 6.000%, 2/15/17		2,509		2,565

				140,637

Information Technology—2.2%
Avaya, Inc.
Tranche B-1, 3.062%, 10/24/14		2,714		2,667
Tranche B-3, 4.812%, 10/26/17		3,051		2,700
Tranche B-5, 8.000%, 3/31/18		2,718		2,679
Blue Coat Systems, Inc. 5.750%, 2/15/18		6,549		6,602
CCC Information Services Group, Inc. 0.000%, 12/31/19⁽¹²⁾		5,945		5,985
CDW LLC (CDW Corp.) Extended, 4.000%, 7/15/17		6,784		6,770
Commscope, Inc. Tranche 1, 4.250%, 1/14/18		1,690		1,703
Deltek, Inc. First Lien, 6.000%, 10/10/18		9,625		9,714
DynCorp International, Inc. 6.250%, 7/7/16		5,886		5,922
Edwards (Cayman Islands II) Ltd. First Lien, 5.500%, 5/31/16		2,911		2,919
First Data Corp.
5.211%, 3/24/17		6,045		5,952
5.211%, 3/24/17		7,935		7,814
Freescale Semiconductor, Inc.
Tranche B-1, 4.464%, 12/1/16		7,246		7,109
Tranche B-2, 6.000%, 2/28/19		3,738		3,720
IMS Health, Inc. Tranche B 4.500%, 8/26/17		7,987		8,020
Infor (US), Inc. (Lawson Software, Inc.) Tranche B-2 5.250%, 4/5/18		13,244		13,389
Interactive Data Corp. Tranche B, 4.500%, 2/11/18		5,279		5,315
Mood Media Corp. First Lien, 7.000%, 5/6/18		2,742		2,750
Novell, Inc. (Attachmate Corp.) First Lien, 7.250%, 11/22/17		9,981		10,091
NuSil Technology LLC 5.000%, 4/7/17		1,038		1,041
RP Crown Parent LLC 0.000%, 12/14/17⁽¹²⁾		3,333		3,311
Scitor Corp. 5.000%, 2/15/17		742		742


	PAR VALUE		VALUE
Information Technology—(continued)
Sophia LP (DataTel, Inc.) 6.250%, 7/19/18	$	6,615	$	6,709
Spansion LLC 5.250%, 12/13/18		4,325		4,359
SRA International, Inc. 6.500%, 7/20/18		6,905		6,543
SSI Investments II Ltd. (Skillsoft) 5.000%, 5/26/17		3,357		3,395
SunGard Data Systems, Inc. (Solar Capital Corp.) Tranche D 4.500%, 1/31/20		2,136		2,157
Wall Street Systems Holdings, Inc. First Lien, 5.750%, 10/25/19		6,555		6,571
Zayo Group LLC (Zayo Capital, Inc.) 5.250%, 7/2/19		6,881		6,976

				153,625

Materials—0.8%
Avantor Performance Materials Holdings, Inc. 5.000%, 6/24/17		2,322		2,322
AZ Chem US, Inc. 7.250%, 12/22/17		5,215		5,291
CPG International I, Inc. 5.750%, 9/21/19		2,657		2,677
Fortescue Metals Group Ltd. 5.250%, 10/18/17		7,051		7,124
General Chemical Corp. Tranche B, 5.000%, 10/6/15		4,949		4,986
Harko C.V.(OM Group, Inc.) Tranche B, 5.750%, 8/2/17		3,762		3,795
Huntsman International LLC Extended Tranche B, 2.757%, 4/19/17		8,065		8,089
Ineos US Finance LLC 6.500%, 5/4/18		8,947		9,057
JMC Steel Group, Inc. 4.750%, 4/1/17		629		635
Kronos, Inc. First Lien, 5.500%, 10/30/19		3,150		3,192
Momentive Specialty Chemicals, Inc. (Hexion Specialty Chemicals, Inc.)
Tranche C-1B, 4.000%, 5/5/15		1,268		1,274
Tranche C-2B, 4.063%, 5/5/15		542		544
Novelis, Inc. Tranche B, 4.000%, 3/10/17		2,801		2,833
QS0001 Corp. (Tomkins Air) First Lien, 5.000%, 11/9/18		3,874		3,915
Trinseo Materials Operating S.C.A. (Styron S.A.R.L) 8.000%, 8/2/17		2,139		2,091

				57,825

Telecommunication Services—0.8%
Intelsat Jackson Holding S.A. (Intelsat Jackson Holding Ltd.)
Tranche B-1, 4.500%, 2/1/14		2,335		2,338
3.210%, 4/2/18		13,465		13,602


	PAR VALUE		VALUE
Telecommunication Services—(continued)
Level 3 Financing, Inc.
Tranche B 2016, 4.750%, 2/1/16	$	1,429	$	1,450
Tranche B-II 2019, 4.750%, 8/1/19		9,850		9,921
Tranche B 2019, 5.250%, 8/1/19		6,319		6,394
nTelos, Inc. 5.750%, 11/9/19		3,890		3,749
Presidio, Inc. 5.750%, 3/31/17		11,251		11,364
West Corp. Tnrache B-6, 5.750%, 6/30/18		6,421		6,531

				55,349

Utilities—0.2%
Calpine Corp. 4.500%, 10/9/19		6,733		6,805
NRG Energy, Inc. 4.000%, 7/1/18		4,433		4,488
Texas Compeptitive Electric Holdings Co. LLC Extended, 7.167%, 10/10/17		5,925		3,962

				15,255

TOTAL LOAN AGREEMENTS (Identified Cost $998,452)				1,006,383


	SHARES		VALUE
PREFERRED STOCK—0.2%
Financials—0.2%
Ally Financial, Inc. 144A 7.000%⁽⁴⁾		702		689
Banco Bilbao Vizcaya Argentaria S.A. International S.A. Unipersonal 5.919%⁽³⁾		5,835		4,726
Banco do Brasil S.A. 144A 8.500%⁽³⁾⁽⁴⁾		700		851
JPMorgan Chase & Co. Series 1 7.90%⁽³⁾		3,360		3,807

TOTAL PREFERRED STOCK (Identified Cost $9,084)				10,073

COMMON STOCKS—0.0%
Financials—0.0%
CIT Group, Inc.⁽²⁾		26,344		1,018

Materials—0.0%
Catalyst Paper Corp.		2,284,459		1,691
Catalyst Paper Corp.⁽²⁾		133,375		133

				1,824

TOTAL COMMON STOCKS (Identified Cost $4,808)				2,842

TOTAL LONG TERM INVESTMENTS—99.0% (Identified cost $6,719,765)				6,997,594	⁽¹³⁾


	SHARES		VALUE
SHORT-TERM INVESTMENTS—1.0%
Money Market Mutual Funds—1.0%
BlackRock Liquidity Funds TempFund Portfolio - Institutional Shares (seven-day effective yield 0.140%)		70,032,301	$	70,032

TOTAL SHORT-TERM INVESTMENTS (Identified Cost $ 70,032)				70,032

TOTAL INVESTMENTS—100.0% (Identified Cost $ 6,789,797)				7,067,626	⁽¹⁾
Other assets and liabilities, net—0.0%				2,402

NET ASSETS—100.0%			$	7,070,028

Abbreviations:



FHLMC		Federal Home Loan Mortgage Corporation (“Freddie Mac”).
FNMA		Federal National Mortgage Association (“Fannie Mae”).
GNMA		Government National Mortgage Association (“Ginnie Mae”)
PIK		Payment-in-Kind Security
REIT		Real Estate Investment Trust
REMIC		Real Estate Mortgage Investment Conduit

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at December 31, 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 December 31, 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 December 31, 2012, these securities amounted to a value of $2,074,455 or 29.3% 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⁾	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.

⁽⁷⁾	No contractual maturity date

⁽⁸⁾	Interest payments may be deferred.

⁽⁹⁾	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.

⁽¹⁰⁾	Security in default.

⁽¹¹⁾	Issuer may elect not to pay interest causing the payment to be forfeited and no longer due. The issuer has not invoked this election since the fund purchased this security.

⁽¹²⁾	This loan will settle after Deccember 31, 2012, at which time the lnterest rate will be determined.

⁽¹³⁾	A portion of the Fund’s assets have been segregated for delayed delivery settlements.

Foreign Currencies:

AUD	Australian Dollar

BRL	Brazilian Real

CAD	Canadian Dollar

COP	Colombian Peso

IDR	Indonesian Rupiah

The following table provides a summary of inputs used to value the Fund’s investments as of December 31, 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—100.1%
Consumer Discretionary—12.7%
Abbvie, Inc.⁽²⁾		63,499	$	2,169
Abercrombie & Fitch Co. Class A		24,895		1,194
Amazon.com, Inc.⁽²⁾		112,101		28,153
Apollo Group, Inc. Class A⁽²⁾		31,180		652
AutoNation, Inc.⁽²⁾		11,586		460
AutoZone, Inc.⁽²⁾		11,430		4,051
Bed Bath & Beyond, Inc.⁽²⁾		70,693		3,952
Best Buy Co., Inc.		82,099		973
Big Lots, Inc.⁽²⁾		17,372		494
BorgWarner, Inc.⁽²⁾		36,100		2,585
Cablevision Systems Corp. Class A		66,831		998
CarMax, Inc.⁽²⁾		71,168		2,672
Carnival Corp.		137,848		5,069
CBS Corp. Class B		182,287		6,936
Chipotle Mexican Grill, Inc.⁽²⁾		9,661		2,874
Coach, Inc.		88,074		4,889
Comcast Corp. Class A		822,082		30,729
Darden Restaurants, Inc.		39,316		1,772
Delphi Automotive plc		91,010		3,481
DIRECTV Class A⁽²⁾		186,738		9,367
Discovery Communications, Inc. Class A⁽²⁾		73,699		4,678
Dollar General Corp.⁽²⁾		81,190		3,580
Dollar Tree, Inc.⁽²⁾		70,020		2,840
DR Horton, Inc.		85,436		1,690
Expedia, Inc.		28,761		1,767
Family Dollar Stores, Inc.		29,433		1,866
Ford Motor Co.		1,178,236		15,258
Fossil, Inc.⁽²⁾		16,590		1,545
GameStop Corp. Class A		37,133		932
Gannett Co., Inc.		71,406		1,286
Gap, Inc. (The)		92,285		2,864
Garmin Ltd.		33,380		1,363
Genuine Parts Co.		48,200		3,065
Goodyear Tire & Rubber Co. (The)⁽²⁾		76,369		1,055
H&R Block, Inc.		85,073		1,580
Harley-Davidson, Inc.		69,839		3,411
Harman International Industries, Inc.		20,603		920
Hasbro, Inc.		35,282		1,267
Home Depot, Inc. (The)		462,829		28,626
International Game Technology		81,002		1,148
Interpublic Group of Cos., Inc. (The)		131,462		1,449


	SHARES		VALUE
Consumer Discretionary—(continued)
J.C. Penney Co., Inc.		43,261	$	853
Johnson Controls, Inc.		211,532		6,494
Kohl’s Corp.		65,565		2,818
Leggett & Platt, Inc.		44,033		1,199
Lennar Corp. Class A		50,817		1,965
Lowe’s Cos., Inc.		347,845		12,355
Ltd. Brands, Inc.		74,488		3,505
Macy’s, Inc.		121,755		4,751
Marriott International, Inc.		75,554		2,816
Mattel, Inc.		106,288		3,892
McDonald’s Corp.		310,533		27,392
McGraw-Hill Cos., Inc. (The)		85,603		4,680
Netflix, Inc.⁽²⁾		16,994		1,577
Newell Rubbermaid, Inc.		88,654		1,974
News Corp. Class A		624,072		15,939
NIKE, Inc. Class B		184,736		9,532
Nordstrom, Inc.		47,461		2,539
O’Reilly Automotive, Inc.⁽²⁾		35,680		3,190
Omnicom Group, Inc.		81,418		4,068
PetSmart, Inc.		33,110		2,263
priceline.com, Inc.⁽²⁾		15,416		9,576
PulteGroup, Inc.⁽²⁾		104,664		1,901
Ralph Lauren Corp.		18,808		2,820
Ross Stores, Inc.		68,982		3,735
Scripps Networks Interactive, Inc. Class A		26,654		1,544
Staples, Inc.		208,517		2,377
Starbucks Corp.		230,000		12,333
Starwood Hotels & Resorts Worldwide, Inc.		60,812		3,488
Target Corp.		201,315		11,912
Tiffany & Co.		37,230		2,135
Time Warner Cable, Inc.		93,512		9,088
Time Warner, Inc.		292,654		13,998
TJX Cos., Inc.		226,104		9,598
TripAdvisor, Inc.⁽²⁾		34,261		1,438
Urban Outfitters, Inc.⁽²⁾		33,381		1,314
VF Corp.		27,052		4,084
Viacom, Inc. Class B		142,941		7,539
Walt Disney Co. (The)		548,628		27,316
Washington Post Co. (The) Class B		1,371		501
Whirlpool Corp.		24,210		2,463
Wyndham Worldwide Corp.		43,397		2,309
Wynn Resorts Ltd.		24,449		2,750


	SHARES		VALUE
Consumer Discretionary—(continued)
Yum! Brands, Inc.		139,844	$	9,286

				452,967

Consumer Staples—12.5%
Altria Group, Inc.		600,460		18,866
Archer-Daniels-Midland Co.		235,975		6,463
Avon Products, Inc.		177,810		2,553
Beam, Inc.		61,310		3,745
Brown-Forman Corp. Class B		58,602		3,707
Campbell Soup Co.		76,080		2,654
Clorox Co. (The)		50,540		3,701
Coca-Cola Co. (The)		1,265,850		45,887
Coca-Cola Enterprises, Inc.		107,020		3,396
Colgate-Palmolive Co.		150,665		15,751
ConAgra Foods, Inc.		155,070		4,575
Constellation Brands, Inc. Class A⁽²⁾		75,435		2,670
Costco Wholesale Corp.		147,890		14,607
CVS Caremark Corp.		420,430		20,328
Dean Foods Co.⁽²⁾		94,155		1,555
Dr. Pepper Snapple Group, Inc.		81,250		3,590
Estee Lauder Cos., Inc. (The) Class A		89,750		5,372
General Mills, Inc.		226,365		9,147
Heinz (H.J.) Co.		116,010		6,691
Hershey Co. (The)		57,115		4,125
Hormel Foods Corp.		62,095		1,938
J.M. Smucker Co. (The)		42,580		3,672
Kellogg Co.		92,640		5,174
Kimberly-Clark Corp.		135,379		11,430
Kraft Foods Group, Inc.		194,357		8,836
Kroger Co. (The)		190,644		4,961
Lorillard, Inc.		46,850		5,466
McCormick & Co., Inc.		53,040		3,370
Mead Johnson Nutrition Co.		73,220		4,824
Molson Coors Brewing Co. Class B		65,265		2,793
Mondelez International, Inc.		550,185		14,013
Monster Beverage Corp.⁽²⁾		56,450		2,985
PepsiCo, Inc.		291,240		19,930
Philip Morris International, Inc.		548,274		45,858
Procter & Gamble Co. (The)		897,765		60,949
Reynolds American, Inc.		118,415		4,906
Safeway, Inc.		109,485		1,981
SYSCO Corp.		212,030		6,713
Tyson Foods, Inc. Class A		123,660		2,399
Wal-Mart Stores, Inc.		549,250		37,475


	SHARES		VALUE
Consumer Staples—(continued)
Walgreen Co.		301,200	$	11,147
Whole Foods Market, Inc.		62,575		5,715

				445,918

Energy—12.5%
Anadarko Petroleum Corp.		181,920		13,518
Apache Corp.		140,754		11,049
Baker Hughes, Inc.		182,370		7,448
Cabot Oil & Gas Corp.		141,820		7,054
Cameron International Corp.⁽²⁾		123,320		6,963
Chesapeake Energy Corp.		216,010		3,590
Chevron Corp.		624,060		67,486
ConocoPhillips		280,030		16,239
CONSOL Energy, Inc.		113,908		3,656
Denbury Resources, Inc.⁽²⁾		242,880		3,935
Devon Energy Corp.		135,680		7,061
Diamond Offshore Drilling, Inc.		35,790		2,432
Ensco plc Class A		72,710		4,310
EOG Resources, Inc.		102,987		12,440
EQT Corp.		46,940		2,769
Exxon Mobil Corp.		960,990		83,174
FMC Technologies, Inc.⁽²⁾		132,950		5,694
Halliburton Co.		346,790		12,030
Helmerich & Payne, Inc.		32,830		1,839
Hess Corp.		114,980		6,089
Kinder Morgan, Inc.		197,110		6,964
Marathon Oil Corp.		258,590		7,928
Marathon Petroleum Corp.		105,678		6,658
Murphy Oil Corp.		78,570		4,679
Nabors Industries Ltd.⁽²⁾		166,288		2,403
National Oilwell Varco, Inc.		169,246		11,568
Newfield Exploration Co.⁽²⁾		42,200		1,130
Noble Corp.		79,520		2,769
Noble Energy, Inc.		75,870		7,719
Occidental Petroleum Corp.		220,941		16,926
Peabody Energy Corp.		122,430		3,258
Phillips 66		194,975		10,353
Pioneer Natural Resources Co.		87,060		9,280
QEP Resources, Inc.		55,220		1,672
Range Resources Corp.		79,989		5,026
Rowan Cos. plc Class A⁽²⁾		104,500		3,268
Schlumberger Ltd.		432,954		29,999
Southwestern Energy Co.⁽²⁾		140,030		4,678
Spectra Energy Corp.		279,510		7,653


	SHARES		VALUE
Energy—(continued)
Tesoro Corp.		137,436	$	6,054
Valero Energy Corp.		241,850		8,252
Williams Cos., Inc. (The)		296,340		9,702
WPX Energy, Inc.⁽²⁾		62,770		934

				447,649

Financials—12.5%
ACE Ltd.		76,920		6,138
Aflac, Inc.		106,140		5,638
Allstate Corp. (The)		109,220		4,387
American Express Co.		220,310		12,663
American International Group, Inc.⁽²⁾		333,250		11,764
American Tower Corp.		89,310		6,901
Ameriprise Financial, Inc.		46,450		2,909
AON plc		72,220		4,015
Apartment Investment & Management Co. Class A		33,420		904
Assurant, Inc.		18,020		625
AvalonBay Communities, Inc.		25,930		3,516
Bank of America Corp.		2,411,416		27,972
Bank of New York Mellon Corp. (The)		263,650		6,776
BB&T Corp.		158,320		4,609
Berkshire Hathaway, Inc. Class B⁽²⁾		408,578		36,649
BlackRock, Inc.		28,330		5,856
Boston Properties, Inc.		33,920		3,589
Capital One Financial Corp.		131,260		7,604
CBRE Group, Inc.⁽²⁾		68,790		1,369
Charles Schwab Corp. (The)		247,773		3,558
Chubb Corp. (The)		59,300		4,466
Cincinnati Financial Corp.		33,018		1,293
Citigroup, Inc.		663,090		26,232
CME Group, Inc.		68,970		3,497
Comerica, Inc.		43,440		1,318
Discover Financial Services		114,370		4,409
E*Trade Financial Corp.⁽²⁾		57,030		510
Equity Residential		72,951		4,134
Fifth Third Bancorp		203,210		3,087
First Horizon National Corp.		54,040		536
Franklin Resources, Inc.		31,060		3,904
Genworth Financial, Inc. Class A⁽²⁾		114,100		857
Goldman Sachs Group, Inc. (The)		99,730		12,722
Hartford Financial Services Group, Inc. (The)		98,667		2,214
HCP, Inc.		102,600		4,635
Health Care REIT, Inc.⁽²⁾		58,690		3,597


	SHARES		VALUE
Financials—(continued)
Host Hotels & Resorts, Inc.		164,990	$	2,585
Hudson City Bancorp, Inc.		105,560		858
Huntington Bancshares, Inc.		191,700		1,225
IntercontinentalExchange, Inc.⁽²⁾		16,490		2,042
Invesco Ltd.		100,980		2,635
JPMorgan Chase & Co.		850,434		37,394
KeyCorp		213,010		1,794
Kimco Realty Corp.		92,200		1,781
Legg Mason, Inc.		27,170		699
Leucadia National Corp.		45,040		1,072
Lincoln National Corp.		62,590		1,621
Loews Corp.		70,600		2,877
M&T Bank Corp.		27,570		2,715
Marsh & McLennan Cos., Inc.		122,620		4,227
MetLife, Inc.		247,340		8,147
Moody’s Corp.		43,880		2,208
Morgan Stanley		313,070		5,986
NASDAQ OMX Group, Inc. (The)		26,650		667
Northern Trust Corp.		49,269		2,471
NYSE Euronext, Inc.		54,970		1,734
People’s United Financial, Inc.		77,810		941
Plum Creek Timber Co., Inc.		36,330		1,612
PNC Financial Services Group, Inc.		119,710		6,980
Principal Financial Group, Inc.		62,400		1,780
Progressive Corp. (The)		124,900		2,635
Prologis, Inc.		104,600		3,817
Prudential Financial, Inc.		104,719		5,585
Public Storage		32,560		4,720
Regions Financial Corp.		321,490		2,289
Simon Property Group, Inc.		70,000		11,066
SLM Corp.		104,390		1,788
State Street Corp.		104,650		4,920
SunTrust Banks, Inc.		122,030		3,460
T. Rowe Price Group, Inc.		57,290		3,731
Torchmark Corp.		21,500		1,111
Travelers Cos., Inc. (The)		86,340		6,201
U.S. Bancorp		425,651		13,595
Unum Group		62,570		1,303
Ventas, Inc.		66,760		4,321
Vornado Realty Trust		38,330		3,069
Wells Fargo & Co.		1,095,920		37,459
Weyerhaeuser Co.		121,900		3,391
XL Group plc		68,780		1,724


	SHARES		VALUE
Financials—(continued)
Zions Bancorp		41,980	$	898

				447,987

Health Care—12.5%
Abbott Laboratories		393,930		25,802
Aetna, Inc.		100,840		4,669
Agilent Technologies, Inc.		102,106		4,180
Alexion Pharmaceuticals, Inc.⁽²⁾		57,196		5,366
Allergan, Inc.		92,895		8,521
AmerisourceBergen Corp.		71,587		3,091
Amgen, Inc.		222,160		19,177
Bard (C.R.), Inc.		23,740		2,320
Baxter International, Inc.		164,280		10,951
Becton, Dickinson & Co.		59,690		4,667
Biogen Idec, Inc.⁽²⁾		71,085		10,426
Boston Scientific Corp.⁽²⁾		405,635		2,324
Bristol-Myers Squibb Co.		487,550		15,889
Cardinal Health, Inc.		101,468		4,179
CareFusion Corp.⁽²⁾		66,005		1,886
Celgene Corp.⁽²⁾		124,561		9,805
Cerner Corp.⁽²⁾		43,075		3,344
CIGNA Corp.		87,170		4,660
Coventry Health Care, Inc.		39,245		1,759
Covidien plc		139,570		8,059
DaVita, Inc.⁽²⁾		24,660		2,726
DENTSPLY International, Inc.		41,615		1,648
Edwards Lifesciences Corp.⁽²⁾		33,895		3,056
Eli Lilly & Co.		300,650		14,828
Express Scripts Holding Co.⁽²⁾		253,188		13,672
Forest Laboratories, Inc.⁽²⁾		69,165		2,443
Gilead Sciences, Inc.⁽²⁾		222,765		16,362
Hospira, Inc.⁽²⁾		47,965		1,498
Humana, Inc.		50,310		3,453
Intuitive Surgical, Inc.⁽²⁾		11,661		5,718
Johnson & Johnson		805,305		56,452
Laboratory Corp. of America Holdings⁽²⁾		27,540		2,386
Life Technologies Corp.⁽²⁾		50,480		2,478
McKesson Corp.		71,613		6,944
Medtronic, Inc.		298,425		12,241
Merck & Co., Inc.		884,120		36,196
Mylan, Inc.⁽²⁾		119,375		3,280
Patterson Cos., Inc.		25,010		856
PerkinElmer, Inc.		34,210		1,086
Perrigo Co.		26,030		2,708


	SHARES		VALUE
Health Care—(continued)
Pfizer, Inc.		2,135,604	$	53,561
Quest Diagnostics, Inc.		48,145		2,805
St. Jude Medical, Inc.		93,517		3,380
Stryker Corp.		86,350		4,734
Tenet Healthcare Corp.⁽²⁾		31,985		1,039
Thermo Fisher Scientific, Inc.		105,780		6,747
UnitedHealth Group, Inc.		303,330		16,453
Varian Medical Systems, Inc.⁽²⁾		32,360		2,273
Waters Corp.⁽²⁾		25,370		2,210
Watson Pharmaceuticals, Inc.⁽²⁾		39,415		3,390
WellPoint, Inc.		91,559		5,578
Zimmer Holdings, Inc.		51,740		3,449

				446,725

Industrials—12.6%
3M Co.		220,320		20,457
ADT Corp. (The)		78,010		3,627
Avery Dennison Corp.		41,540		1,451
Boeing Co. (The)		239,370		18,039
Caterpillar, Inc.		235,210		21,070
Cintas Corp.		43,540		1,781
CSX Corp.		420,560		8,298
Cummins, Inc.		109,910		11,909
Danaher Corp.		220,220		12,310
Deere & Co.		147,800		12,773
Dover Corp.		73,040		4,799
Dun & Bradstreet Corp.		15,240		1,199
Eaton Corp. plc		190,720		10,337
Emerson Electric Co.		258,710		13,701
Equifax, Inc.		54,520		2,951
Expeditors International of Washington, Inc.		70,340		2,782
Fastenal Co.		90,520		4,226
FedEx Corp.		105,790		9,703
Flowserve Corp.		16,820		2,469
Fluor Corp.		81,720		4,800
General Dynamics Corp.		122,110		8,459
General Electric Co.		2,620,330		55,001
Grainger (W.W.), Inc.		26,390		5,340
Honeywell International, Inc.		278,530		17,678
Illinois Tool Works, Inc.		152,920		9,299
Ingersoll-Rand plc		94,090		4,513
Iron Mountain, Inc.		56,490		1,754
Jacobs Engineering Group, Inc.⁽²⁾		44,260		1,884
Joy Global, Inc.		35,420		2,259


	SHARES		VALUE
Industrials—(continued)
L-3 Communications Holdings, Inc.		31,890	$	2,443
Lockheed Martin Corp.		95,830		8,844
Masco Corp.		134,090		2,234
Norfolk Southern Corp.		125,200		7,742
Northrop Grumman Corp.		89,340		6,038
PACCAR, Inc.		138,390		6,257
Pall Corp.		54,720		3,297
Parker Hannifin Corp.		63,270		5,382
PentAir, Inc.		70,890		3,484
Pitney Bowes, Inc.		75,980		808
Precision Castparts Corp.		49,190		9,318
Quanta Services, Inc.⁽²⁾		71,370		1,948
Raytheon Co.		121,420		6,989
Republic Services, Inc.		100,140		2,937
Robert Half International, Inc.		67,420		2,145
Robinson (C.H.) Worldwide, Inc.		54,160		3,424
Rockwell Automation, Inc.		60,920		5,117
Rockwell Collins, Inc.		60,990		3,548
Roper Industries, Inc.		33,000		3,679
Ryder System, Inc.		31,210		1,558
Snap-On, Inc.		19,460		1,537
Southwest Airlines Co.		272,560		2,791
Stanley Black & Decker, Inc.		57,150		4,227
Stericycle, Inc.⁽²⁾		28,880		2,694
Textron, Inc.		118,310		2,933
Tyco International Ltd.		157,360		4,603
Union Pacific Corp.		172,590		21,698
United Parcel Service, Inc. Class B		246,050		18,141
United Technologies Corp.		295,750		24,254
Waste Management, Inc.		160,010		5,399
Xylem, Inc.		62,140		1,684

				452,022

Materials—12.3%
Air Products & Chemicals, Inc.		203,998		17,140
Airgas, Inc.		69,228		6,320
Alcoa, Inc.		1,040,313		9,030
Allegheny Technologies, Inc.		109,291		3,318
Ball Corp.		150,728		6,745
Bemis Co., Inc.		105,314		3,524
CF Industries Holdings, Inc.		60,746		12,341
Cliffs Natural Resources, Inc.		140,078		5,401
Dow Chemical Co. (The)		1,137,909		36,777
Du Pont (E.I.) de Nemours & Co.		884,548		39,778


	SHARES		VALUE
Materials—(continued)
Eastman Chemical Co.		150,489	$	10,241
Ecolab, Inc.		250,479		18,009
FMC Corp.		136,481		7,987
Freeport-McMoRan Copper & Gold, Inc.		907,216		31,027
International Flavors & Fragrances, Inc.		81,400		5,416
International Paper Co.		424,340		16,906
LyondellBasell Industries N.V. Class A		361,780		20,654
MeadWestvaco Corp.		173,681		5,535
Monsanto Co.		507,102		47,997
Mosaic Co. (The)		266,317		15,082
Newmont Mining Corp.		369,736		17,171
Nucor Corp.		306,880		13,251
Owens-Illinois, Inc.⁽²⁾		166,992		3,552
PPG Industries, Inc.		147,450		19,957
Praxair, Inc.		281,568		30,818
Sealed Air Corp.		198,228		3,471
Sherwin-Williams Co. (The)		82,882		12,749
Sigma-Aldrich Corp.		116,780		8,593
United States Steel Corp.		148,227		3,538
Vulcan Materials Co.		128,903		6,709

				439,037

Utilities—12.5%
AES Corp. (The)		637,720		6,824
AGL Resources, Inc.		120,370		4,811
Ameren Corp.		250,660		7,700
American Electric Power Co., Inc.		500,180		21,348
CenterPoint Energy, Inc.		443,430		8,536
CMS Energy Corp.		277,330		6,761
Consolidated Edison, Inc.		302,410		16,796
Dominion Resources, Inc.		589,350		30,528
DTE Energy Co.		178,000		10,689
Duke Energy Corp.		666,390		42,516
Edison International		335,540		15,163
Entergy Corp.		182,530		11,636
Exelon Corp.		876,030		26,053
FirstEnergy Corp.		429,130		17,920
Integrys Energy Group, Inc.		81,400		4,251
NextEra Energy, Inc.		433,930		30,024
NiSource, Inc.		323,480		8,051
Northeast Utilities		321,950		12,582
NRG Energy, Inc.		330,310		7,594
ONEOK, Inc.		210,300		8,990
Pepco Holdings, Inc.		239,570		4,698


	SHARES		VALUE
Utilities—(continued)
PG&E Corp.		443,550	$	17,822
Pinnacle West Capital Corp.		115,290		5,877
PPL Corp.		599,280		17,157
Public Service Enterprise Group, Inc.		518,850		15,877
SCANA Corp.		134,990		6,161
Sempra Energy		231,640		16,433
Southern Co. (The)		895,940		38,355
TECO Energy, Inc.		212,340		3,559
Wisconsin Energy Corp.		236,040		8,698
XCEL Energy, Inc.		505,200		13,494

				446,904

TOTAL COMMON STOCKS (Identified Cost $3,332,403)				3,579,209

TOTAL LONG TERM INVESTMENTS—100.1% (Identified cost $3,332,403)				3,579,209

SHORT-TERM INVESTMENTS—2.1%
Money Market Mutual Funds—2.1%
BlackRock Liquidity Funds TempFund Portfolio - Institutional Shares (seven-day effective yield 0.140%)		73,603,477		73,603

TOTAL SHORT-TERM INVESTMENTS (Identified Cost $73,603)				73,603

TOTAL INVESTMENTS—102.2% (Identified Cost $3,406,006)				3,652,812	⁽¹⁾
Other assets and liabilities, net—(2.2)%				(79,426	)

NET ASSETS—100.0%			$	3,573,386

Abbreviations:


REIT		Real Estate Investment Trust

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at December 31, 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 December 31, 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—98.7%
REAL ESTATE INVESTMENT TRUSTS—98.7%
DIVERSIFIED—3.1%
Digital Realty Trust, Inc.		254,503	$	17,278
Vornado Realty Trust		285,647		22,875

				40,153

HEALTH CARE—9.8%
HCP, Inc.		525,971		23,763
Health Care REIT, Inc.		722,105		44,258
Ventas, Inc.		928,481		60,091

				128,112

INDUSTRIAL/OFFICE—20.6%
Industrial—7.0%
DCT Industrial Trust, Inc.		3,866,496		25,094
Prologis, Inc.		1,799,025		65,646

				90,740

Mixed—0.7%
Duke Realty Corp.		682,391		9,465

Office—12.9%
BioMed Realty Trust, Inc.		1,339,835		25,899
Boston Properties, Inc.		584,983		61,897
Kilroy Realty Corp.		1,077,656		51,048
SL Green Realty Corp.		376,791		28,881

				167,725

				267,930

LODGING/RESORTS—5.5%
Host Hotels & Resorts, Inc.		3,126,752		48,996
LaSalle Hotel Properties		902,174		22,906

				71,902

RESIDENTIAL—20.9%
Apartments—19.1%
American Campus Communities, Inc.		476,216		21,968
AvalonBay Communities, Inc.		445,356		60,386
Camden Property Trust		559,500		38,163
Equity Residential		1,379,148		78,156
Essex Property Trust, Inc.		251,141		36,830
UDR, Inc.		603,905		14,361

				249,864


	SHARES		VALUE
REAL ESTATE INVESTMENT TRUSTS—(continued)
Manufactured Homes—1.8%
Equity Lifestyle Properties, Inc.		343,564	$	23,119

				272,983

RETAIL—29.4%
Regional Malls—22.0%
General Growth Properties, Inc.		1,795,475		35,640
Macerich Co. (The)		703,275		41,001
Simon Property Group, Inc.		1,026,291		162,246
Taubman Centers, Inc.		610,480		48,057

				286,944

Shopping Centers—7.4%
DDR Corp.		1,484,026		23,240
Kimco Realty Corp.		1,118,675		21,613
Tanger Factory Outlet Centers		997,900		34,128
Weingarten Realty Investors		629,871		16,862

				95,843

				382,787

SELF STORAGE—9.4%
Extra Space Storage, Inc.		1,395,445		50,780
Public Storage		490,351		71,082

				121,862

TOTAL COMMON STOCKS (Identified Cost $781,704)				1,285,729

TOTAL LONG TERM INVESTMENTS—98.7% (Identified cost $781,704)				1,285,729

SHORT-TERM INVESTMENTS—1.4%
Money Market Mutual Funds—1.4%
BlackRock Liquidity Funds TempFund Portfolio - Institutional Shares (seven-day effective yield 0.140%)		18,385,857		18,386

TOTAL SHORT-TERM INVESTMENTS (Identified Cost $18,386)				18,386

TOTAL INVESTMENTS—100.1% (Identified Cost $800,090)				1,304,115	⁽¹⁾
Other assets and liabilities, net—(0.1)%				(815	)

NET ASSETS—100.0%			$	1,303,300

The following table provides a summary of inputs used to value the Fund’s investments as of December 31, 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—0.2%
Venezuela—0.2%
Bolivarian Republic of Venezuela RegS 5.750%, 2/26/16⁽⁵⁾	$	735		$	704

TOTAL FOREIGN GOVERNMENT SECURITIES (Identified Cost $596)					704

ASSET-BACKED SECURITIES—0.5%
Drug Royalty Corp., Inc 12-1, A2 144A 4.474%, 1/15/25⁽⁴⁾		1,000			1,004
New Century Home Equity Loan Trust 05-A, A4W 5.035%, 8/25/35⁽³⁾		966			905
Terwin Mortgage Trust 04-15AL, A1 144A 5.797%, 7/25/34⁽³⁾⁽⁴⁾		586			559

TOTAL ASSET-BACKED SECURITIES (Identified Cost $2,412)					2,468

CORPORATE BONDS AND NOTES—9.9%
Consumer Discretionary—1.5%
American Axle & Manufacturing, Inc. 6.625%, 10/15/22		1,170			1,193
Boyd Gaming Corp. 9.125%, 12/1/18		150			154
CCO Holdings LLC (CCO Holdings Capital Corp.) 5.250%, 9/30/22		2,000			2,035
Clear Channel Communications, Inc. 144A 9.000%, 12/15/19⁽⁴⁾		944			869
Gateway Casinos & Entertainment Ltd. 144A 8.875%, 11/15/17⁽⁴⁾		140	^CAD		148
HD Supply, Inc. 144A 8.125%, 4/15/19⁽⁴⁾		450			514
Landry’s, Inc. 144A 9.375%, 5/1/20⁽⁴⁾		450			477
Nara Cable Funding Ltd. 144A 8.875%, 12/1/18⁽⁴⁾		525			537
Ono Finance II plc 144A 10.875%, 7/15/19⁽⁴⁾		315			302
Pittsburgh Glass Works LLC 144A 8.500%, 4/15/16⁽⁴⁾		225			208
Six Flags Entertainment Corp. 144A 5.250%, 1/15/21⁽⁴⁾		755			757

					7,194

Energy—1.7%
Carrizo Oil & Gas, Inc. 8.625%, 10/15/18		450			488
Compagnie Generale de Geophysique-Veritas 7.750%, 5/15/17		546			571
EPL Oil & Gas, Inc. 8.250%, 2/15/18		1,250			1,294


	PAR VALUE		VALUE
Energy—(continued)
Halcon Resources Corp. 144A 8.875%, 5/15/21⁽⁴⁾	$	500	$	533
Hercules Offshore, Inc.
144A 7.125%, 4/1/17⁽⁴⁾		750		789
144A 10.500%, 10/15/17⁽⁴⁾		685		742
Petroleos de Venezuela SA RegS 8.500%, 11/2/17⁽⁵⁾		1,870		1,851
Plains Exploration & Production Co. 6.500%, 11/15/20		1,000		1,112
Venoco, Inc. 8.875%, 2/15/19		875		825

				8,205

Financials—2.4%
Air Lease Corp. 5.625%, 4/1/17		1,100		1,171
Alta Mesa Holdings LP (Alta Mesa Finance Services Corp.) 9.625%, 10/15/18		750		776
Avis Budget Car Rental LLC (Avis Budget Finance, Inc.) 144A 4.875%, 11/15/17⁽⁴⁾		955		974
Cequel Communications Holdings I LLC (Cequel Capital Corp.) 144A 6.375%, 9/15/20⁽⁴⁾		1,000		1,046
CIT Group, Inc. 4.250%, 8/15/17		750		776
E*TRADE Financial Corp. 6.375%, 11/15/19		525		541
Ford Motor Credit Co. LLC 6.625%, 8/15/17		205		240
HDTFS, Inc. 144A 5.875%, 10/15/20⁽⁴⁾		345		362
QGOG Constellation SA 144A 6.250%, 11/9/19⁽⁴⁾		715		747
Reynolds Group Issuer, Inc. (Reynolds Group Issuer LLC)
9.000%, 4/15/19		500		523
144A 5.750%, 10/15/20⁽⁴⁾		940		973
SLM Corp.
4.625%, 9/25/17		315		323
8.450%, 6/15/18		475		556
Spansion LLC 7.875%, 11/15/17		275		283
United Rentals North America, Inc. 144A 7.375%, 5/15/20⁽⁴⁾		1,000		1,102
Yankee Candle Co. Holdings LLC (Yankee Finance, Inc.) PIK Interest Capitalization 10.250%, 2/15/16		605		628

				11,021

Health Care—0.5%
Community Health Systems, Inc. (CHS) 5.125%, 8/15/18		1,055		1,103
inVentiv Health, Inc. 144A 9.000%, 1/15/18⁽⁴⁾		315		319


	PAR VALUE		VALUE
Health Care—(continued)
Tenet Healthcare Corp. 144A 4.750%, 6/1/20⁽⁴⁾	$	695	$	707

				2,129

Industrials—1.7%
ADS Tactical, Inc. 144A 11.000%, 4/1/18⁽⁴⁾		875		897
Aircastle Ltd. 144A 6.250%, 12/1/19⁽⁴⁾		1,190		1,246
Atlas Air Pass-Through-Trust 98-1, A 7.380%, 1/2/18		837		862
AWAS Aviation Capital Ltd. 144A 7.000%, 10/17/16⁽⁴⁾		1,099		1,165
Hexion U.S. Finance Corp. 6.625%, 4/15/20		85		87
Kratos Defense & Security Solutions, Inc. 10.000%, 6/1/17		575		634
Sappi Papier Holding GmbH 144A 7.750%, 7/15/17⁽⁴⁾		670		733
ServiceMaster Co. 144A 7.000%, 8/15/20⁽⁴⁾		900		907
Spectrum Brands Escrow Corp. 144A 6.375%, 11/15/20⁽⁴⁾		715		752
U.S. Airways Pass-Through-Trust 98-1 6.850%, 1/30/18		714		749

				8,032

Information Technology—0.3%
First Data Corp. 144A 6.750%, 11/1/20⁽⁴⁾		1,000		1,015
Igloo Holdings Corp. PIK Interset Capitalization 144A 8.250%, 12/15/17⁽⁴⁾		285		283
SunGard Data Systems, Inc. 144A 6.625%, 11/1/19⁽⁴⁾		200		205

				1,503

Materials—1.2%
Ardagh Packaging Finance plc (Ardagh Packaging Holdings, Inc.) 144A 7.375%, 10/15/17⁽⁴⁾		1,200		1,309
Calumet Specialty Products Partners LP (Calumet Finance Corp.) 9.375%, 5/1/19		433		472
Cemex SAB de CV 144A 9.500%, 6/15/18⁽⁴⁾		1,499		1,683
FMG Resources Property Ltd. 144A 8.250%, 11/1/19⁽⁴⁾		750		802
Sealed Air Corp. 144A 6.500%, 12/1/20⁽⁴⁾		225		244
Severstal OAO (Steel Capital SA) 144A 6.250%, 7/26/16⁽⁴⁾⁽⁶⁾		890		956

				5,466


	PAR VALUE		VALUE
Telecommunication Services—0.6%
ITC Deltacom, Inc. 10.500%, 4/1/16	$	616	$	662
Level 3 Financing, Inc. 144A 7.000%, 6/1/20⁽⁴⁾		1,105		1,159
Univision Communications, Inc. 144A 6.750%, 9/15/22⁽⁴⁾		1,100		1,141

				2,962

TOTAL CORPORATE BONDS AND NOTES (Identified Cost $44,535)				46,512

LOAN AGREEMENTS⁽³⁾—91.1%
Consumer Discretionary—23.9%
99 Cents Only Stores Tranche B-1, 5.250%, 1/11/19		990		1,004
Academy Ltd. 4.750%, 8/3/18		1,584		1,597
Acosta, Inc. Tranche D, 5.000%, 3/2/18		1,957		1,979
Advantage Sales & Marketing, Inc. First Lien, 5.250%, 12/18/17		253		255
Second Lien, 9.250%, 6/18/18		615		620
Affinity Gaming LLC (Herbst Gaming LLC). 5.500%, 11/9/17		1,055		1,068
Allison Transmission, Inc. Tranche B-3 4.250%, 8/23/19		1,188		1,199
Ameristar Casinos, Inc. Tranche B, 4.000%, 4/16/18		985		994
August Holding Co., Inc. (Schrader) First Lien, US 6.250%, 4/27/18		434		440
First Lien, LUX 6.250%, 4/27/18		564		572
BJ’s Wholesale Club, Inc. First Lien, 5.750%, 9/26/19		1,000		1,015
Second Lien, 9.750%, 3/26/20		315		324
Boyd Gaming Corp. 3.712%, 12/17/15		1,277		1,287
Bresnan Broadband Holdings LLC Tranche B, 4.500%, 12/14/17		980		987
Caesars Entertainment Operating Co., Inc. (Harrah’s Operating Company, Inc.)
Tranche B-4, 9.500%, 10/31/16		1,552		1,577
Tranche B-6, 5.460%, 1/28/18		3,035		2,717
Cannery Casino Resorts LLC First Lien 6.000%, 10/2/18		908		912
Cengage Learning Acquisitions, Inc. 2.720%, 7/3/14		876		695
Cequel Communications LLC 4.000%, 2/14/19		1,787		1,798


	PAR VALUE			VALUE
Consumer Discretionary—(continued)
Charter Communications Operating LLC Tranche D, 4.000%, 5/15/19	$	3,328		$	3,362
Chrysler Group LLC (Chrysler Group Co-Issuer, Inc.) Tranche B, 6.000%, 5/24/17		2,953			3,019
Clear Channel Communications, Inc.
Tranche A, 3.612%, 7/30/14		848			826
Tranche B, 3.862%, 1/29/16		3,154			2,614
Cogeco Cable (Atlantic Broadband Sub) 0.000%, 12/2/19⁽⁷⁾		910			920
Cumulus Media Holdings, Inc.
0.000%, 9/16/18⁽⁷⁾		1,978			1,989
Second Lien, 7.500%, 9/16/19		1,000			1,033
Dave & Buster’s, Inc. 5.500%, 6/1/16		1,406			1,413
EB Sports Corp. 11.500%, 12/31/15		1,000			1,000
Entercom Radio LLC Tranche B, 5.000%, 11/23/18		2,502			2,527
Federal - Mogul Corp.
Tranche B, 2.148%, 12/29/14		1,978			1,827
Tranche C, 2.148%, 12/28/15		1,009			932
Focus Brands, Inc. First Lien, 6.250%, 2/21/18		1,292			1,301
Fram Group Holdings, Inc. (Prestone Holdings, Inc.)
First Lien, 6.500%, 7/29/17		973			974
Second Lien, 10.500%, 1/29/18		500			475
Gateway Casinos & Entertainment Ltd. Tranche B, 6.750%, 5/12/16		915	^CAD		918
General Nutrition Center 3.750%, 3/2/18		1,748			1,755
Getty Images, Inc. 0.000%, 10/18/19⁽⁷⁾		1,600			1,604
Granite Broadcasting Corp. Tranche B First Lien, 8.500%, 5/23/18		1,190			1,193
Harbor Freight Tools USA, Inc. (Central Purchasing LLC) 5.500%, 11/14/17		1,496			1,516
HD Supply, Inc. 7.250%, 10/12/17		2,298			2,366
Hubbard Radio LLC
First Lien, 5.250%, 4/28/17		827			837
Second Lien, 8.750%, 4/30/18		600			612
Isle of Capri Casinos 4.750%, 3/25/17		1,474			1,493
Kalispel Tribal Economic Authority 7.500%, 2/25/17		915			906
KAR Auction Services, Inc. 5.000%, 5/19/17		985			997
Lamar Media Corp. Tranche B, 4.000%, 12/30/16		58			58
Landry’s, Inc. (Landry’s Restaurants, Inc.) Tranche B, 6.500%, 4/24/18		2,754			2,789


	PAR VALUE		VALUE
Consumer Discretionary—(continued)
Las Vegas Sands LLC
Non-Extended Tranche B, 1.760%, 5/23/14	$	314	$	315
Tranche DD-I, 1.760%, 5/23/14		64		65
Extended Tranche B, 2.760%, 11/23/16		1,049		1,052
Extended Tranche DD-I, 2.760%, 11/23/16		211		212
Leslie’s Poolmart, Inc. Tranche B 4.170%, 10/16/19		1,975		1,994
Live Nation Entertainment, Inc. Tranche B, 4.500%, 11/7/16		486		492
MCC LLC (Mediacom Broadband Group)
Tranche F, 4.000%, 10/23/17		975		980
Tranche G, 4.500%, 1/20/20		998		1,002
MedAssets, Inc. Tranche B 4.000%, 12/13/19		214		215
Metaldyne LLC Tl B 1L 6.000%, 12/18/18		1,000		1,010
MGM Resorts International (MGM Mirage) Tranche B, 4.250%, 12/31/19		608		615
Michaels Stores, Inc. Tranche B-2, 4.813%, 7/31/16		1,317		1,331
Midcontinent Communications Tranche B, 4.000%, 12/31/16		1,128		1,132
MTL Publishing LLC (EMI Music Publishing Group North America Holdings, Inc.) Tranche B, 5.500%, 6/29/18		1,622		1,645
Neiman Marcus Group, Inc. (The) 4.750%, 5/16/18		2,000		2,006
Nielsen Finance LLC Tranche A,
2.213%, 8/9/13		93		93
Tranche B, 3.963%, 5/2/16		1,568		1,577
Ozburn-Hessey Holding Co., LLC First Lien, 8.250%, 4/8/16		697		697
Party City Holdings, Inc. 5.750%, 7/27/19		998		1,010
Peninsula Gaming LLC 5.750%, 11/20/17		1,000		1,014
Penn National Gaming, Inc. Tranche B, 3.750%, 7/16/18		2,096		2,106
Peppermill Casinos, Inc. Tranche B, 7.250%, 11/9/18		1,328		1,300
Pilot Travel Centers LLC Refinancing Tranche B, 3.750%, 3/30/18		693		698
First Amendment Tranche B, 4.250%, 8/7/19		82		82
Playboy Enterprises, Inc. 8.250%, 3/6/17		442		442
PVH Corp. 0.000%, 12/31/19⁽⁷⁾		568		572
Radio One, Inc. 7.500%, 3/31/16		598		609
Remy International, Inc. Tranche B, 6.250%, 12/16/16		478		483


	PAR VALUE		VALUE
Consumer Discretionary—(continued)
Riverbed Technology, Inc. 0.000%, 12/31/19⁽⁷⁾	$	312	$	315
San Juan Cable LLC Tranche B (Firs Lien), 6.000%, 6/9/17		985		993
Sequa Automotive Group 6.250%, 11/15/18		1,000		995
ServiceMaster Co. (The) Tranche B, 4.460%, 1/31/17		930		934
Seven Seas Cruises, Inc. Tranche B, 6.250%, 12/21/18		1,717		1,743
Sports Authority, Inc. (The) Tranche B, 7.500%, 11/16/17		1,078		1,087
SRAM LLC
First Lien, 4.750%, 6/7/18		380		381
Second Lien, 8.500%, 12/7/18		571		581
Station GVR Acquisition LLC (Green Valley Ranch Gaming LLC) 5.500%, 9/28/19		1,240		1,250
TCW Group 0.000%, 12/20/19⁽⁷⁾		779		781
TI Group Automotive Systems LLC 6.750%, 3/14/18		1,541		1,556
Toys “R” Us, Inc. 6.000%, 9/1/16		1,833		1,779
Transtar Holding Co.
First Lien, 5.500%, 10/9/18		998		1,007
Second Lien, 9.750%, 10/9/19		460		467
Tribune Co.
Tranche B 0.000%, 6/4/14⁽⁷⁾		494		411
0.000%, 7/30/19⁽⁷⁾		1,052		1,051
UCI International, Inc. 5.500%, 7/26/17		1,250		1,261
Vertrue LLC (V2V Holdings LLC) First Lien, 9.250%, 8/16/14		693		229
Visant Corp. (Jostens) Tranche B, 5.250%, 12/22/16		2,648		2,413
VWR Funding, Inc. 4.462%, 4/3/17		1,218		1,225
WideOpenWest Finance LLC (WideOpenWest Capital Corp.) 6.250%, 7/17/18		2,239		2,268
WMG Acqusition Corp. 5.250%, 11/1/18		840		852
Yankee Cable Acquisition LLC 5.250%, 8/26/16		963		976

				111,600

Consumer Staples—4.3%
AdvancePierre Foods, Inc.
First Lien, 5.750%, 7/10/17		1,090		1,104
Second Lien, 9.500%, 10/10/17		780		796
American Rock Salt Co. LLC 5.500%, 4/25/17		1,211		1,198
Del Monte Foods Co. 4.500%, 3/8/18		2,553		2,562


	PAR VALUE		VALUE
Consumer Staples—(continued)
Dole Food Co. Tranche B-2, 5.170%, 7/8/18	$	690	$	691
Pinnacle Foods Finance LLC
Tranche E, 4.750%, 10/17/18		212		214
Tranche F, 4.750%, 10/17/18		1,355		1,370
Revlon Consumer Products Corp. Tranche B, 4.750%, 11/19/17		1,873		1,890
Reynolds Group Holdings, Inc. 4.750%, 9/28/18		2,048		2,075
Rite Aid Corp. Tranche 5, 4.500%, 3/3/18		1,907		1,907
Smart & Final, Inc. 5.750%, 11/15/19		1,500		1,502
Solvest Ltd. (Dole) Tranche C-2, 5.111%, 7/8/18		1,234		1,237
Supervalu, Inc. 8.000%, 8/30/18		1,662		1,688
Yankee Candle Co., Inc. 5.250%, 4/2/19		1,805		1,827

				20,061

Energy—3.6%
Buffalo Gulf Coast Terminals 5.250%, 10/31/17		659		669
Chesapeake Energy Corp. 5.750%, 12/2/17		3,335		3,345
CITGO Petroleum Corp. Tranche C, 9.000%, 6/24/17		201		204
Energy Transfer Equity LP 3.750%, 3/24/17		2,000		2,018
EP Energy LLC (Everest Acquisition LLC)
Tranche B-1, 5.000%, 5/24/18		850		858
Tranche B-2, 4.500%, 4/30/19		953		957
Frac Tech International LLC 8.500%, 5/6/16		1,921		1,603
Gibson Energy ULC Tranche B, 4.750%, 6/15/18		2,871		2,917
Helix Energy Solutions Group, Inc. Extended, 3.711%, 7/1/16		982		983
NGPL Pipeco LLC 6.750%, 9/15/17		1,134		1,163
Plains Exploration & Production Co. 4.000%, 11/30/19		621		621
Samson Investment Co. Second Lien, 6.000%, 9/25/18		1,262		1,277

				16,615

Financials—6.9%
Alitsource Portfolio Solutions S.A.R.L Tranche B, 5.750%, 11/27/19		1,500		1,513
Asurion LLC (Asurion Corp.)
First Lien, 5.500%, 5/24/18		1,804		1,825
Second Lien, 9.000%, 5/24/19		557		575
Capital Automotive LP Tranche B, 5.250%, 3/11/17		2,087		2,112
Delos Aircraft, Inc. 4.750%, 4/12/16		728		735


	PAR VALUE		VALUE
Financials—(continued)
iPayment, Inc. 5.750%, 5/8/17	$	940	$	939
iStar Financial, Inc.
Tranche A-2 7.000%, 3/19/17		500		526
5.750%, 10/15/17		1,398		1,413
Lonestar Intermediate Super Holdings LLC 11.000%, 9/2/19		300		320
MIP Delaware, LLC (MIPL (LUX) S.A.R.L) 5.500%, 7/12/18		605		610
MoneyGram Payment Systems Worldwide, Inc. 4.250%, 11/17/17		1,914		1,917
Nuveen Investments, Inc.
First Lien Additional Extended , 5.811%, 5/13/17		1,880		1,892
First Lien Extended, 5.811%, 5/13/17		1,045		1,051
Second Lien, 8.250%, 2/28/19		1,792		1,831
Ocwen Financial Corp. 7.000%, 9/1/16		400		403
Re/Max International, Inc. 5.500%, 4/16/16		1,127		1,129
Realogy Corp. Extended LOC, 2.230%, 10/10/16		495		497
Extended First Lien, 4.461%, 10/10/16		6,342		6,371
RPI Finance Trust 4.000%, 11/9/18		1,338		1,354
Springleaf Financial Funding Co. (American General Finance Corp.) 5.500%, 5/10/17		950		947
TransUnion LLC 5.500%, 2/10/18		1,511		1,535
UPC Financing Partnership 4.000%, 1/31/21		2,000		2,008
Walter Investment Management Corp. Tranche B, 5.750%, 11/28/17		990		996

				32,499

Health Care—15.7%
Alere, Inc.
Tranche B, 4.750%, 6/30/17		988		993
Tranche B-1, 4.750%, 6/30/17		990		996
AMN Healthcare, Inc. Tranche B, 5.750%, 4/5/18		1,165		1,178
Aptalis Pharma, Inc. (Axcan Intermediate Holdings, Inc.) Tranche B-1, 5.500%, 2/10/17		1,024		1,031
Ardent Health Services LLC 7.250%, 9/15/15		1,848		1,857
Ardent Medical Services, Inc.
0.000%, 11/2/18⁽⁷⁾		375		383
0.000%, 11/21/18⁽⁷⁾		867		877
Aveta, Inc. (MMM Holdings, Inc.) 9.750%, 10/26/17		508		509
Bausch & Lomb, Inc. 5.250%, 5/17/19		1,990		2,010


	PAR VALUE		VALUE
Health Care—(continued)
Biomet, Inc. Tranche B, 0.000%, 7/25/17⁽⁷⁾	$	2,000	$	2,015
BSN Medical GmbH & Co. KG 5.000%, 8/28/19		1,000		1,007
Capsugel Holdings U.S., Inc. 4.750%, 8/1/18		801		811
Catalent Pharma Solutions, Inc. (Cardinal Health 409, Inc.)
Tranche 1, 4.209%, 9/15/16		969		976
Tranche 2, 5.250%, 9/15/17		264		268
Community Health Systems, Inc. Extended, 3.811%, 1/25/17		3,275		3,298
ConvaTec, Inc. 5.000%, 12/22/16		1,508		1,530
CRC Health Corp. Tranche B-2, 4.712%, 11/16/15		1,457		1,442
DaVita, Inc. Tranche B-2 4.000%, 11/1/19		3,043		3,069
Drumm Investors LLC (Golden Living) 0.000%, 5/4/18⁽⁷⁾		1,723		1,621
Emdeon, Inc. Tranche B-1, 5.000%, 11/2/18		743		751
Generic Drug Holdings, Inc. 6.000%, 10/29/19		870		878
Grifols, Inc. Tranche B, 4.500%, 6/1/17		982		993
HCA, Inc. Tranche B-3, 3.462%, 5/1/18		2,326		2,335
HCR ManoCare, Inc. (HCR Healthcare LLC) 5.000%, 4/6/18		818		777
Health Management Associates, Inc. Tranche B, 4.500%, 11/16/18		2,556		2,580
Hologic, Inc. Tranche B 4.500%, 8/1/19		3,367		3,411
Houghton International, Inc.
First Lien 0.000%, 7/30/19⁽⁷⁾		1,700		1,718
Second Lien, 10.500%, 12/17/20		630		624
Iasis Healthcare LLC Tranche B, 5.000%, 5/3/18		1,965		1,974
InVentiv Health, Inc. (Ventive Health, Inc.) 7.500%, 8/4/16		677		660
Kindred Healthcare, Inc. 5.250%, 6/1/18		1,231		1,206
Kinetic Concepts, Inc. Tranche C-1, 5.500%, 5/4/18		1,035		1,048
MModal, Inc. Tranche B, 6.750%, 8/16/19		1,621		1,564
MSO of Puerto Rico, Inc. 9.750%, 10/26/17		370		370
MultiPlan, Inc. Tranche B, 4.750%, 8/26/17		798		805
National Mentor Holdings, Inc. 6.500%, 2/9/17		983		983
National Specialty Hospitals, Inc. Tranche B, 8.250%, 2/3/17		1,216		1,189
NBTY, Inc. Tranche B-1, 4.250%, 10/1/17		831		841
Par Pharmaceutical Companies, Inc. (Par Pharmaceutical, Inc.) Tranche B, 5.000%, 9/30/19		1,380		1,380


	PAR VALUE		VALUE
Health Care—(continued)
Pharmaceutical Product Development, Inc. (Jaguar Holdings LLC) 6.250%, 12/5/18	$	1,980	$	2,015
Pharmaceutical Research Associates, Inc. 0.000%, 12/10/17⁽⁷⁾		1,285		1,287
Quintiles Transnational 0.000%, 6/30/18⁽⁷⁾		1,485		1,497
Rural/Metro Operating Co., LLC First Lien, 5.750%, 6/30/18		821		812
Select Medical Corp. Tranche B, 5.750%, 6/1/18		1,010		1,017
Sheridan Holdings, Inc. First Lien, 6.000%, 6/29/18		1,318		1,336
Smile Brands Group, Inc. Tranche B, 7.250%, 12/21/17		735		695
Surgery Center Holdings, Inc. 6.500%, 2/6/17		1,225		1,219
Surgical Care Affiliates LLC Tranche A, 5.500%, 6/29/18		1,478		1,480
U.S. Renal Care, Inc. First Lien, 6.250%, 7/3/19		485		492
United Surgical Partners International, Inc. Tranche B, 6.000%, 4/3/19		1,313		1,326
Universal Health Services, Inc. Tranche B, 3.750%, 11/15/16		847		854
Valeant Pharmaceuticals International, Inc.
Series D Tranche B, 4.250%, 2/13/19		3,425		3,453
Series C Tranche B, 4.250%, 12/11/19		800		806
Vanguard Health Holding Co., LLC (Vanguard Health System, Inc.) 5.000%, 1/29/16		1,437		1,454
Warner Chilcott Corp.
Tranche B-2, 4.250%, 3/15/18		320		324
Tranche B-1, 4.250%, 3/15/18		243		246
Tranche B-1, 4.250%, 3/15/18		641		648
(WC Luxco S.A.R.L.) Tranche B-3, 4.250%, 3/15/18		441		445

				73,364

Industrials—8.4%
ADS Waste Holdings, Inc. 5.250%, 10/9/19		1,018		1,032
Alliance Laundry Systems LLC
First Lien 5.500%, 12/10/18		1,010		1,020
Second Lien, 9.500%, 12/10/19		134		136
Altegrity, Inc. (U.S. Investigations Services, Inc.) 2.961%, 2/21/15		1,138		1,059
Aluma Systems, Inc. (Brand Energy & Infrastructure) Tranche-1 6.250%, 10/23/18		135		134
AWAS Finance Luxemborg S.A. 4.750%, 7/16/18		1,120		1,130


	PAR VALUE		VALUE
Industrials—(continued)
Booz Allen & Hamilton, Inc. 4.500%, 7/31/19	$	998	$	1,010
Brand Energy & Infrastructure Services, Inc. (FR Brand Acquisition Corp.) Tranche B-1 First Lien, 6.250%, 10/23/18		563		559
Brand Energy & Infrastructure Services, Inc. Tranche B-1 6.250%, 10/23/19		465		460
Brickman Group Holdings, Inc. Tranche B-1, 5.500%, 10/14/16		1,587		1,613
Brock Holdings Ill, Inc.
First Lien, 6.000%, 3/16/17		830		834
Second Lien, 10.000%, 3/16/18		450		453
Ceridian Corp. Extended, 5.959%, 5/9/17		3,203		3,207
CHG Buyer Corp.
First Lien, 5.000%, 11/19/19		1,197		1,199
Second Lien, 9.000%, 11/19/20		345		347
Delta Air Lines, Inc.
5.500%, 4/20/17		985		996
Tranche B-1, 5.250%, 10/18/18		442		447
Douglas Dynamics LLC 5.750%, 4/18/18		903		899
Ducommun, Inc. 5.500%, 6/28/17		499		503
Emergency Medical Services 5.250%, 5/25/18		808		815
Garda Security Group, Inc. Tranche B 4.500%, 11/13/19		698		705
Genpact Ltd. 4.250%, 8/30/19		499		503
Harland Clarke Holdings Corp. (Clarke American Corp.) Tranche B-2 5.462%, 6/30/17		1,474		1,371
Husky Injection Molding System (Yukon Acquisition, Inc.) 5.750%, 7/2/18		1,393		1,414
McJunkin Red Man Corp. 6.250%, 11/8/19		1,176		1,185
Mirror Bidco, Inc. 0.000%, 12/18/19⁽⁷⁾		625		627
Navistar, Inc. Tranche B, 7.000%, 8/17/17		900		906
Nortek, Inc. 5.250%, 4/26/17		399		402
Protection One, Inc. 5.750%, 3/21/19		1,948		1,976
Sequa Corp. 5.250%, 6/19/17		750		756
SI Organization, Inc. Tranche B, 4.500%, 11/22/16		980		978
Silver II Borrower S.C.A. (Silver US Holdings, LLC) 5.000%, 12/13/19		1,875		1,896
Star West Generation LLC Tranche B, 6.000%, 5/17/18		1,058		1,062
Swift Transportation Corp. Tranche B-2, 5.000%, 12/21/17		994		1,006
TASC, Inc. Tranche B, 4.500%, 12/18/15		492		492
Terex Corp. 4.500%, 4/28/17		1,580		1,604


	PAR VALUE		VALUE
Industrials—(continued)
U.S. Airways Group, Inc. 2.712%, 3/21/14	$	1,500	$	1,485
WCA Waste Corp. (WCA Waste Systems, Inc.) 5.500%, 3/23/18		944		951
WireCo Worldgroup, Inc. 6.000%, 2/15/17		449		459
Zuffa LLC 7.500%, 6/19/15		1,450		1,462

				39,093

Information Technology—14.0%
Aeroflex, Inc. Tranche B, 5.750%, 5/9/18		836		844
Applied Systems, Inc.
First Lien, 5.500%, 12/8/16		945		953
Second Lien, 9.500%, 6/8/17		334		336
Autotrader.com, Inc. Tranche B-1, 4.000%, 12/15/16		1,176		1,189
Avaya, Inc.
Tranche B-1, 3.062%, 10/24/14		999		981
Tranche B-5, 8.000%, 3/31/18		1,000		986
AVG Technologies N.V. 7.500%, 3/15/16		494		495
Blue Coat Systems, Inc. 5.750%, 2/15/18		1,465		1,477
CCC Information Services Group, Inc. 0.000%, 12/31/19⁽⁷⁾		710		715
CDW LLC (CDW Corp.) Extended, 4.000%, 7/15/17		2,566		2,561
Commscope, Inc. Tranche 1, 4.250%, 1/14/18		1,503		1,515
CPI International Acquisition, Inc. (Catalyst Holdings, Inc.) Tranche B, 5.000%, 2/13/17		1,201		1,212
Deltek, Inc.
First Lien, 6.000%, 10/10/18		1,405		1,418
Second Lien, 10.000%, 10/10/19		144		147
DynCorp International, Inc. 6.250%, 7/7/16		990		996
Edwards (Cayman Islands II) Ltd. First Lien, 5.500%, 5/31/16		832		834
Epicor Software Corp. (Eagle Parent Inc.) Tranche B, 5.000%, 5/16/18		2,955		2,975
First Data Corp.
5.211%, 3/24/17		2,516		2,478
5.211%, 3/24/17		1,864		1,836
4.211%, 3/23/18		2,500		2,383
Freescale Semiconductor, Inc.
Tranche B-1, 4.460%, 12/1/16		2,330		2,286
Tranche B-2, 6.000%, 2/28/19		277		276
Go Daddy Operating Co. LLC Tranche B-1, 5.500%, 12/17/18		1,491		1,499


	PAR VALUE		VALUE
Information Technology—(continued)
IMS Health, Inc. Tranche B 4.500%, 8/26/17	$	198	$	199
Infor (US), Inc. (Lawson Software, Inc.) Tranche B-2 5.250%, 4/5/18		4,080		4,124
Interactive Data Corp. Tranche B, 4.500%, 2/11/18		2,386		2,402
IPC Systems, Inc. Tranche C First Lien, 7.750%, 7/31/17		1,481		1,451
Ipreo Holdings LLC
Tranche B-2 6.500%, 8/7/17		973		979
Tranche B-3 6.500%, 8/7/17		265		267
Microsemi Corp. Tranche B, 4.000%, 2/2/18		918		927
Mirion Technologies, Inc. 0.000%, 3/30/18⁽⁷⁾		1,232		1,238
Mood Media Corp. First Lien, 7.000%, 5/6/18		1,056		1,059
Novell, Inc. (Attachmate Corp.) First Lien, 7.250%, 11/22/17		1,973		1,995
NuSil Technology LLC 5.750%, 4/7/17		603		605
NXP BV (NXP Funding LLC) Tranche A-2 5.500%, 3/3/17		1,588		1,622
Oberthur Technologies Finance SAS Tranche B-3, 3.130%, 11/30/18		1,095		1,086
RP Crown Parent LLC
0.000%, 12/14/17⁽⁷⁾		625		621
0.000%, 12/31/18⁽⁷⁾		533		539
Scitor Corp. 5.000%, 2/15/17		882		881
SCS Holdings I, Inc. (Sirius Computer Solutions, Inc.) 0.000%, 12/7/18⁽⁷⁾		643		649
Smart Modular Technologies (Global), Inc. 8.250%, 8/26/17		491		413
Sophia LP (DataTel, Inc.) 6.250%, 7/19/18		1,163		1,180
Sorenson Communications, Inc. Tranche C, 6.000%, 8/16/13		1,414		1,391
Sourcehov LLC (Corpsource Finance Holdings LLC) Tranche B (First Lien), 6.625%, 4/28/17		1,231		1,217
Spansion LLC 5.250%, 12/13/18		806		812
SRA International, Inc. 6.500%, 7/20/18		1,226		1,161
SSI Investments II Ltd. (Skillsoft) 5.000%, 5/26/17		1,031		1,042
SunGard Data Systems, Inc. (Solar Capital Corp.) Tranche D 4.500%, 12/31/19		529		534
SymphonyIRI Group, Inc. (Information Resources, Inc.) Tranche 2011, 5.000%, 12/1/17		493		494
Verifone, Inc. Tranche B, 4.250%, 12/28/18		428		430
Vertafore, Inc. First Lien, 5.250%, 7/29/16		1,470		1,485
Veyance Technologies, Inc. Second Lien, 5.964%, 7/31/15		1,200		1,164


	PAR VALUE		VALUE
Information Technology—(continued)
Vision Solutions, Inc. First Lien, 6.000%, 7/23/16	$	697	$	696
Wall Street Systems Holdings, Inc.
First Lien, 5.750%, 10/25/19		700		702
Second Lien, 9.250%, 10/25/20		497		498
Zayo Group LLC (Zayo Capital, Inc.) 5.250%, 7/2/19		1,234		1,251

				65,506

Materials—6.9%
Avantor Performance Materials Holdings, Inc. 5.000%, 6/24/17		633		633
AZ Chem US, Inc. 7.250%, 12/22/17		1,003		1,017
Cemex Espana S.A. 0.000%, 2/14/17⁽⁷⁾		1,000		953
Chemtura Corp. 5.500%, 8/29/16		750		762
CPG International I, Inc. 5.750%, 9/21/19		754		760
Custom Building Products, Inc. Tranche B, 6.000%, 12/14/19		2,000		2,001
Essar Steel Algoma, Inc. (Algoma Steel, Inc.) 8.750%, 9/19/14		1,945		1,932
Fortescue Metals Group Ltd. 5.250%, 10/18/17		4,045		4,087
General Chemical Corp. Tranche B, 5.000%, 10/6/15		1,374		1,384
Harko C.V.(OM Group, Inc.) Tranche B, 5.750%, 8/2/17		1,175		1,185
Ineos US Finance LLC 6.500%, 5/4/18		2,481		2,512
JMC Steel Group, Inc. 4.750%, 4/1/17		829		838
Kronos, Inc.
First Lien, 5.500%, 10/30/19		394		399
Second Lien, 9.750%, 4/30/20		715		717
Momentive Specialty Chemicals, Inc. (Hexion Specialty Chemicals, Inc.)
Tranche C-1B, 4.000%, 5/5/15		2,222		2,232
Tranche C-2B, 4.063%, 5/5/15		961		965
Noranda Aluminum Acquisition Corp. Tranche B, 5.750%, 2/28/19		1,290		1,301
Novelis, Inc. Tranche B, 4.000%, 3/10/17		637		644
Omnova Solutions, Inc. Extended, 5.500%, 5/31/17		980		992
PQ Corp. 5.250%, 4/15/17		2,000		2,014
Pro Mach, Inc. 5.000%, 7/6/17		978		987
QS0001 Corp. (Tomkins Air) First Lien, 5.000%, 11/9/18		414		418


	PAR VALUE		VALUE
Materials—(continued)
Trinseo Materials Operating S.C.A. (Styron S.A.R.L) 8.000%, 8/2/17	$	1,035	$	1,012
United Central Industrial Supply Co. LLC (UCIS Acquisition) Tranche B, 7.500%, 10/12/18		1,400		1,351
Univar, Inc. Tranche B, 5.000%, 6/30/17		1,371		1,369

				32,465

Telecommunication Services—5.6%
Hawaiian Telcom Communications, Inc. 7.000%, 2/28/17		998		1,018
Intelsat Jackson Holding S.A. (Intelsat Jackson Holding Ltd.)
Tranche B-1, 3.210%, 2/1/14		1,000		1,001
4.500%, 4/2/18		2,960		2,990
Level 3 Financing, Inc.
Tranche B 2016, 4.750%, 2/1/16		499		506
Tranche B-II 2019, 4.750%, 8/1/19		2,150		2,166
Tranche B 2019, 5.250%, 8/1/19		1,875		1,897
MetroPCS Wireless, Inc. Tranche B-3, 4.000%, 3/17/18		1,786		1,794
nTelos, Inc. 5.750%, 11/9/19		1,097		1,058
Presidio, Inc. 5.750%, 3/31/17		1,778		1,796
Securus Technologies Holdings, Inc. (Securus Technologies, Inc.) First Lien, 6.500%, 5/31/17		1,182		1,188
Sidera Networks, Inc. (RCN Corp.) 6.000%, 8/26/16		1,127		1,128
Syniverse Holdings, Inc. 5.000%, 4/23/19		1,493		1,508
Telesat Canada, Inc. Tranche B, 4.250%, 3/28/19		1,791		1,809
Univision Communications, Inc. First Lien, 4.462%, 3/31/17		3,770		3,715
West Corp.
Tranche B-4, 5.500%, 7/15/16		1,958		1,991
Tranche B-6, 5.750%, 6/30/18		605		615

				26,180

Utilities—1.8%
AES Corp. (The) 4.250%, 6/1/18		1,536		1,556
Calpine Corp.
4.500%, 4/1/18		1,965		1,988
4.500%, 10/9/19		748		756
NRG Energy, Inc. 4.000%, 7/1/18		2,867		2,902


	PAR VALUE		VALUE
Utilities—(continued)
Texas Compeptitive Electric Holdings Co. LLC Extended, 4.780%, 10/10/17	$	1,945	$	1,301

				8,503

TOTAL LOAN AGREEMENTS (Identified Cost $422,099)				425,886

COMMON STOCKS—0.2%

	SHARES		VALUE
Consumer Discretionary—0.2%
Tribune Co.⁽²⁾		25,978		1,060

Materials—0.0%
Catalyst Paper Corp.⁽²⁾		1,000		1

TOTAL COMMON STOCKS (Identified Cost $1,061)				1,061

TOTAL LONG TERM INVESTMENTS—101.9% (Identified cost $470,703)				476,631	⁽⁸⁾

SHORT-TERM INVESTMENTS—4.9%

Money Market Mutual Funds—4.9%
BlackRock Liquidity Funds TempFund Portfolio - Institutional Shares (seven-day effective yield 0.140%)		22,894,095		22,894

TOTAL SHORT-TERM INVESTMENTS (Identified Cost $22,894)				22,894

TOTAL INVESTMENTS—106.8% (Identified Cost $493,597)				499,525	⁽¹⁾

Other assets and liabilities, net—(6.8)%				(31,917	)

NET ASSETS—100.0%			$	467,608

Abbreviations:


PIK		Payment-in-Kind Security

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at December 31, 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 December 31, 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 December 31, 2012, these securities amounted to a value of $28,166 or 6.0% of net assets.

The following table provides a summary of inputs used to value the Fund’s investments as of December 31, 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—99.1%
Consumer Discretionary—36.4%
Amazon.com, Inc.⁽²⁾		32	$	8
AMC Networks, Inc.⁽²⁾		167		8
American Eagle Outfitters, Inc.		402		8
Apollo Group, Inc. Class A⁽²⁾		401		9
AutoNation, Inc.⁽²⁾		214		9
Buckle, Inc. (The)		189		9
Cabela’s, Inc.⁽²⁾		199		8
Cablevision Systems Corp. Class A		564		9
Carnival Corp.		225		8
CBS Corp. Class B		223		9
Choice Hotels International, Inc.		247		8
Columbia Sportswear Co.		155		8
Comcast Corp. Class A		224		8
Discovery Communications, Inc. Class A⁽²⁾		132		9
DISH Network Corp. Class A⁽²⁾		234		9
DR Horton, Inc.		421		8
DSW, Inc. Class A		128		9
Expedia, Inc.		139		9
Family Dollar Stores, Inc.		132		8
Fossil, Inc.⁽²⁾		90		9
Gap, Inc. (The)		265		8
Garmin Ltd.		203		8
Hyatt Hotels Corp. Class A⁽²⁾		215		8
Las Vegas Sands Corp.		180		8
Lennar Corp. Class A		216		8
Liberty Global, Inc. Class A⁽²⁾		133		9
Liberty Media Corp. - Interactive Class A⁽²⁾		427		9
Liberty Media Corp. - Liberty Capital⁽²⁾		72		8
Liberty Ventures⁽²⁾		130		9
Ltd. Brands, Inc.		176		8
Madison Square Garden Co./The⁽²⁾		187		8
Marriott International, Inc.		222		8
MGM Resorts International⁽²⁾		705		8
Morningstar, Inc.		131		8
News Corp. Class A		334		9
NIKE, Inc. Class B		158		8
Nordstrom, Inc.		159		9
Penske Automotive Group, Inc.		281		9
Ralph Lauren Corp.		55		8
Sears Holdings Corp.⁽²⁾		204		9
Sears Hometown and Outlet Stores, Inc.⁽²⁾		276		9
Starbucks Corp.		155		8


	SHARES		VALUE
Consumer Discretionary—(continued)
Tesla Motors, Inc.⁽²⁾		245	$	8
TripAdvisor, Inc.⁽²⁾		198		8
Under Armour, Inc. Class A⁽²⁾		169		8
Urban Outfitters, Inc.⁽²⁾		211		8
Viacom, Inc. Class B		157		8
Wendy’s Co. (The)		1,750		8
Wynn Resorts Ltd.		73		8

				410

Consumer Staples—5.9%
Brown-Forman Corp. Class B		132		8
Campbell Soup Co.		235		8
Dole Food Co., Inc.⁽²⁾		718		8
Estee Lauder Cos., Inc. (The) Class A		139		8
Harbinger Group, Inc.⁽²⁾		1,108		9
Monster Beverage Corp.⁽²⁾		160		9
PriceSmart, Inc.		110		9
Tootsie Roll Industries, Inc.		309		8

				67

Energy—5.1%
Continental Resources, Inc.⁽²⁾		112		8
CVR Energy, Inc.		169		8
Hess Corp.		156		8
Kinder Morgan Management LLC⁽²⁾		111		9
Occidental Petroleum Corp.		107		8
RPC, Inc.		669		8
W&T Offshore, Inc.		484		8

				57

Financials—19.2%
Altisource Portfolio Solutions SA⁽²⁾		95		8
Amtrust Financial Services, Inc.		289		8
Berkley (W.R.) Corp.		216		8
Berkshire Hathaway, Inc. Class B⁽²⁾		93		8
BOK Financial Corp.		150		8
Boston Properties, Inc.		79		9
Brown & Brown, Inc.		325		8
Charles Schwab Corp. (The)		581		8
Credit Acceptance Corp.⁽²⁾		84		9
Equity Lifestyle Properties, Inc.		124		9
Equity Residential		147		8
Erie Indemnity Co. Class A		124		9
Franklin Resources, Inc.		65		8
Greenlight Capital Re Ltd. Class A⁽²⁾		364		9


	SHARES		VALUE
Financials—(continued)
Hilltop Holdings Inc⁽²⁾		638	$	9
Host Hotels & Resorts, Inc.		527		8
Howard Hughes Corp. (The)⁽²⁾		114		8
Leucadia National Corp.		349		8
Loews Corp.		204		8
Mercury General Corp.		205		8
Ocwen Financial Corp.⁽²⁾		242		9
Progressive Corp. (The)		393		8
Raymond James Financial, Inc.		212		8
Simon Property Group, Inc.		53		9
Taubman Centers, Inc.		105		8
Vornado Realty Trust		104		8

				216

Health Care—4.4%
Bruker Corp.⁽²⁾		546		8
Cerner Corp.⁽²⁾		106		8
Halozyme Therapeutics, Inc.⁽²⁾		1,184		8
Opko Health, Inc.⁽²⁾		1,783		9
Pharmacyclics, Inc.⁽²⁾		138		8
Teva Pharmaceutical Industries Ltd.		219		8

				49

Industrials—7.4%
American Railcar Industries, Inc.		258		8
Cintas Corp.		200		8
Colfax Corp.⁽²⁾		211		9
Covanta Holding Corp.		464		9
Danaher Corp.		149		8
Fastenal Co.		181		9
FedEx Corp.		90		8
Grainger (W.W.), Inc.		42		9
Illinois Tool Works, Inc.		136		8
Rollins, Inc.		377		8

				84

Information Technology—14.7%
Amkor Technology, Inc.⁽²⁾		1,945		8
Anixter International, Inc.		132		9
Broadcom Corp. Class A⁽²⁾		251		8
Dell, Inc.		797		8
eBay, Inc.⁽²⁾		162		8
EchoStar Corp Class A⁽²⁾		243		8
Google, Inc. Class A⁽²⁾		12		9
IAC/InterActiveCorp.		179		9


	SHARES		VALUE
Information Technology—(continued)
Intuit, Inc.		135	$	8
Marvell Technology Group Ltd.		998		7
Molex, Inc.		307		9
National Instruments Corp.		325		8
Oracle Corp.		246		8
Paychex, Inc.		265		8
QUALCOMM, Inc.		135		8
Rackspace Hosting, Inc.⁽²⁾		114		9
Realpage, Inc.⁽²⁾		386		8
Salesforce.com, Inc.⁽²⁾		49		8
Syntel, Inc.⁽²⁾		153		8
Yahoo!, Inc.⁽²⁾		430		9

				165

Materials—6.0%
Airgas, Inc.		91		8
Huntsman Corp.		520		8
Kronos Worldwide, Inc.		480		9
LyondellBasell Industries N.V. Class A		151		9
NewMarket Corp.		32		8
Novagold Resources, Inc.⁽²⁾		1,861		9
Scotts Miracle-Gro Co. (The) Class A		190		8
Titanium Metals Corp.		8		—	⁽³⁾
Westlake Chemical Corp.		106		9

				68

TOTAL COMMON STOCKS (Identified Cost $1,085)				1,116

TOTAL LONG TERM INVESTMENTS—99.1% (Identified cost $1,085)				1,116

SHORT-TERM INVESTMENTS—0.4%
Money Market Mutual Funds—0.4%
BlackRock Liquidity Funds TempFund Portfolio - Insitutional Shares (seven-day effective yield 0.140%)		4,010		4

TOTAL SHORT-TERM INVESTMENTS (Identified Cost $4)				4

TOTAL INVESTMENTS—99.5% (Identified Cost $1,089)				1,120	⁽¹⁾
Other assets and liabilities, net—0.5%				6

NET ASSETS—100.0%			$	1,126

The following table provides a summary of inputs used to value the Fund’s investments as of December 31, 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.

The following is a summary of significant accounting policies consistently followed by the Virtus Opportunities Trust, a trust consisting of 26 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 Virtus High Yield Fund and the Virtus Bond Fund own the following internally fair valued securities 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/amortization rate, current yield, current swap rates, and discount rates related to differences in capital structure and liquidity. Significant changes in any of these inputs in isolation would result in a significantly lower or 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.”

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.

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

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.

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.

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 December 31, 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.

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

At December 31, 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 the following subsequent event requires recognition or disclosure in the financial statements:

Effective January 1, 2013, with the approval of the Board, VP Distributors LLC, the Funds’ former Administrator and Transfer Agent, assigned its rights and obligations under the Administration Agreements and Transfer Agency and Service Agreement to Virtus Fund Services, LLC.

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.


Investments in Securities	Corporate Bonds and Notes
Balance as of September 30, 2012:	$	14
Accrued discount/(premium)		—
Realized gain (loss)		—
Change in unrealized appreciation (depreciation)		—	^(c)
Purchases		—
Sales^(b)		—
Transfers into Level 3 ^(a)		—
Transfers from Level 3 ^(a)		—

Balance as of December 31, 2012	$	14	^(d)


	Total Value at December 31, 2012		Level 1 Quoted Prices
Equity Securities:
Exchange-Traded Funds	$	989	$	989
Short-Term Investments		4		4

Total Investments	$	993	$	993


	Total Value at December 31, 2012		Level 1 Quoted Prices
Equity Securities:
Exchange-Traded Funds	$	1,005	$	1,005
Short-Term Investments		6		6

Total Investments	$	1,011	$	1,011


	Total Value at December 31, 2012		Level 1 Quoted Prices
Equity Securities:
Exchange-Traded Funds	$	352,403	$	352,403
Short-Term Investments		32,111		32,111

Total Investments	$	384,514	$	384,514


Country Weightings †
United States	81	%
Brazil	2
Mexico	2
Australia	1
Cayman Islands	1
Ireland	1
Luxembourg	1
Other	11

Total	100	%


	Total Value at December 31, 2012		Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs
Debt Securities:
Asset-Backed Securities	$	5,107	$	—	$	5,107	$	—
Convertible Bonds		667		—		667		—
Corporate Bonds and Notes		54,072		—		54,058		14
Foreign Government Securities		4,936		—		4,936		—
Loan Agreements		7,572		—		7,572		—
Mortgage-Backed Securities		31,051		—		31,051		—
Municipal Bonds		1,085		—		1,085		—
U.S. Government Securities		834		—		834		—
Equity Securities:
Preferred Stock		769		—		769		—
Short-Term Investments		2,386		2,386		—		—

Total Investments	$	108,479	$	2,386	$	106,079	$	14


	Total Value at December 31, 2012		Level 1 Quoted Prices		Level 2 Significant Observable Inputs
Debt Securities:
Municipal Tax-Exempt Bonds	$	55,544	$	—	$	55,544
Equity Securities:
Short-Term Investments		610		610		—

Total Investments	$	56,154	$	610	$	55,544


($ reported in thousands)

Country Weightings †
Venezuela	10	%
Mexico	9
Cayman Islands	8
Brazil	7
Luxembourg	6
Turkey	5
Ireland	4
Other	51

Total	100	%


Country Weightings †
China	18	%
Taiwan	16
South Korea	10
Brazil	9
South Africa	9
United States	6
Mexico	5
Other	27

Total	100	%


Investments in Securities	Common Stocks
Balance as of September 30, 2012:	$	—
Accrued discount/(premium)		—
Realized gain (loss)		—
Change in unrealized appreciation (depreciation)		2
Purchases		151
Sales		—
Transfers into Level 3 ^(a)		—
Transfers from Level 3 ^(a)		—

Balance as of December 31, 2012	$	153


TOTAL INVESTMENTS—99.1% (Identified Cost $81,521)		100,162	⁽¹⁾
Other assets and liabilities, net—0.9%		865

NET ASSETS—100.0%	$	101,027


Country Weightings †
United States	80	%
Bermuda	2
Brazil	2
Canada	2
Ireland	2
Luxembourg	2
Mexico	2
Other	8

Total	100	%


Investments in Securities	Corporate Bonds and Notes
Balance as of September 30, 2012:	$	347
Accrued discount/(premium)		—	^(c)
Realized gain (loss)		—
Change in unrealized appreciation (depreciation)		2
Purchases		—
Sales^(b)		—
Transfers into Level 3 ^(a)		—
Transfers from Level 3 ^(a)		—

Balance as of December 31, 2012	$	349	^(d)


Contracts to Sell		In Exchange for		Counterparty	Settlement Date	Value		Unrealized Appreciation (Depreciation)
AUD	2,300	USD	2,350	State Street Bank and Trust Co.	3/20/13		$2,375	$	(25)

								$	(25)


Investments in Securities	Total			Asset- Backed Securities			Corporate Bonds and Notes			Common Stocks
Balance as of September 30, 2012:	$	133		$	0		$	21		$	112
Accrued discount/(premium)		4			4			—			—
Realized gain (loss)		(941	)		—			(941	)		—
Change in unrealized appreciation /(depreciation)		875			(66	)		921			20
Purchases		4,612			4,611			—			1
Sales^(b)		(1	)		—			(1	)		—
Transfers into Level 3 ^(a)		—			—			—			—
Transfers from Level 3 ^(a)		—			—			—			—

Balance as of December 31, 2012	$	4,682		$	4,549		$	0	^(c)	$	133


Investments in Securities	Total			Corporate Bonds and Notes			Loan Agreements			Common Stocks
Balance as of September 30, 2012:	$	292		$	6		$	286		$	—
Accrued discount/(premium)		—			—			—			—
Realized gain (loss)		(244	)		(248	)		4			—
Change in unrealized appreciation (depreciation)		250			242			8			—
Purchases		1			—			—			1
Sales^(b)		(69	)		—			(69	)		—
Transfers into Level 3 ^(a)		—			—			—			—
Transfers from Level 3 ^(a)		—			—			—			—

Balance as of December 31, 2012	$	230		$	—		$	229		$	1


Fund	Federal Tax Cost			Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation
Allocator Premium
AlphaSector^TM Fund	$	371,757		$	12,863	$	(106	)	$	12,757
AlphaSector^TM Rotation Fund		434,920			41,990		(2,485	)		39,505
Alternatives Diversifier Fund		154,577			32,341		(35,650	)		(3,309	)
Bond Fund		104,069			4,686		(276	)		4,410
CA Tax-Exempt Bond		51,227			5,265		(338	)		4,927
Disciplined Equity Style Fund		1,008			—		(7	)		(7	)
Disciplined Select Bond Fund		995			—		(2	)		(2	)
Disciplined Select Country Fund		1,000			11		—			11
Dynamic AlphaSector^TM Fund (Long positions)		482,400			9,424		(472	)		8,952
Dynamic AlphaSector^TM Fund (Short positions)		(21,065	)		—		(649	)		(649	)
Emerging Markets Debt Fund		25,225			1,003		(21	)		982
Emerging Markets Equity Income Fund		5,290			605		(43	)		562
Foreign Opportunities Fund		938,446			345,263		(14,696	)		330,567
Global Commoditities Stock Fund		21,430			1,835		(419	)		1,416
Global Dividend Fund		82,074			19,322		(1,234	)		18,088
Global Opportunities Fund		77,709			21,537		(1,480	)		20,057
Global Premium AlphaSector^TM Fund		92,552			3,983		(29	)		3,954
Global Real Estate Securities Fund		21,910			2,883		(12	)		2,871
Greater Asia ex Japan Opportunities Fund		7,581			2,651		(205	)		2,446
Greater European Opportunities Fund		9,662			2,060		(3	)		2,057
Herzfeld Fund		1,458			27		(18	)		9
High Yield Fund		104,169			6,022		(593	)		5,429
International Equity Fund		23,504			3,321		(291	)		3,030
International Real Estate Securities Fund		31,984			4,191		(188	)		4,003
International Small-Cap Fund		5,307			314		(51	)		263
Multi-Sector Fixed Income Fund		406,016			24,105		(2,683	)		21,422
Multi-Sector Short Term Bond Fund		6,792,322			295,396		(20,092	)		275,304
Premium AlphaSector^TM Fund		3,492,882			174,852		(14,922	)		159,930
Real Estate Securities Fund		836,037			468,078		—			468,078
Senior Floating Rate Fund		493,708			7,976		(2,159	)		5,817
Wealth Masters Fund		1,093			49		(22	)		27


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