Virtus Opportunities Trust

TOTAL INVESTMENTS—98.2%

(Identified Cost $8,670)

Other assets and liabilities, net—1.8%

NET ASSETS—100.0%

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.

($ reported in thousands)


	SHARES		VALUE
EXCHANGE-TRADED FUNDS—56.8%
Consumer Discretionary Select Sector SPDR Fund		423,515	$	23,886
Consumer Staples Select Sector SPDR Fund		594,527		23,585
Energy Select Sector SPDR Fund		296,470		23,232
Financial Select Sector SPDR Fund		1,211,510		23,612
Health Care Select Sector SPDR Fund		495,030		23,568
Industrial Select Sector SPDR Fund		547,220		23,295
iShares MSCI Japan Index Fund		1,404,740		15,761
Materials Select Sector SPDR Fund		592,790		22,728
SPDR S&P 500^® ETF Trust Series 1		317,550		50,811
Utilities Select Sector SPDR Fund		637,710		23,997
Vanguard FTSE Europe ETF		855,790		41,224

TOTAL EXCHANGE-TRADED FUNDS (Identified Cost $268,777)				295,699

TOTAL LONG TERM INVESTMENTS—56.8% (Identified cost $268,777)				295,699

SHORT-TERM INVESTMENTS—38.2%
Money Market Mutual Funds—38.2%
Fidelity Money Market Portfolio - Institutional Shares (Seven-day effective yield 0.012%)		199,114,823		199,115

TOTAL SHORT-TERM INVESTMENTS (Identified Cost $199,115)				199,115

TOTAL INVESTMENTS—95.0% (Identified Cost $467,892)				494,814	⁽¹⁾
Other assets and liabilities, net—5.0%				25,937

NET ASSETS—100.0%			$	520,751

Abbreviations:


ETF		Exchange-Traded Fund
SPDR		S&P Depositary Receipt

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at June 30, 2013, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2013 (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—74.5%
Consumer Discretionary—12.7%
Abercrombie & Fitch Co. Class A		3,240	$	147
Amazon.com, Inc.⁽²⁾		15,070		4,185
AutoNation, Inc.⁽²⁾		1,610		70
AutoZone, Inc.⁽²⁾		1,500		635
Bed Bath & Beyond, Inc.⁽²⁾		9,050		642
Best Buy Co., Inc.		11,110		304
BorgWarner, Inc.		4,780		412
Cablevision Systems Corp. Class A		8,950		150
CarMax, Inc.⁽²⁾		9,290		429
Carnival Corp.		18,500		634
CBS Corp. Class B		23,770		1,162
Chipotle Mexican Grill, Inc.⁽²⁾		1,280		466
Coach, Inc.		11,630		664
Comcast Corp. Class A		109,670		4,593
Darden Restaurants, Inc.		5,370		271
Delphi Automotive plc		12,030		610
DIRECTV Class A⁽²⁾		23,260		1,433
Discovery Communications, Inc. Class A⁽²⁾		10,130		782
Dollar General Corp.⁽²⁾		12,470		629
Dollar Tree, Inc.⁽²⁾		9,260		471
Expedia, Inc.		3,860		232
Family Dollar Stores, Inc.		3,950		246
Ford Motor Co.		163,720		2,533
Fossil Group, Inc.⁽²⁾		2,190		226
GameStop Corp. Class A		4,930		207
Gannett Co., Inc.		9,470		232
Gap, Inc. (The)		12,000		501
Garmin Ltd.		4,530		164
General Motors Co.⁽²⁾		32,060		1,068
Genuine Parts Co.		6,410		500
Goodyear Tire & Rubber Co. (The)⁽²⁾		10,160		155
H&R Block, Inc.		11,270		313
Harley-Davidson, Inc.		9,280		509
Harman International Industries, Inc.		2,810		152
Hasbro, Inc.		4,770		214
Home Depot, Inc. (The)		60,840		4,713
Horton (D.R.), Inc.		11,600		247
Host Hotels & Resorts, Inc.		22,500		380
International Game Technology		10,780		180
Interpublic Group of Cos., Inc. (The)		17,840		259
J.C. Penney Co., Inc.⁽²⁾		5,930		101
Johnson Controls, Inc.		28,530		1,021


	SHARES		VALUE
Consumer Discretionary—(continued)
Kohl’s Corp.		8,430	$	426
Leggett & Platt, Inc.		5,910		184
Lennar Corp. Class A		6,850		247
Lowe’s Cos., Inc.		44,670		1,827
Ltd. Brands, Inc.		9,940		489
Macy’s, Inc.		15,980		767
Marriott International, Inc.		9,920		400
Mattel, Inc.		14,300		648
McDonald’s Corp.		41,750		4,133
McGraw-Hill Cos., Inc. (The)		8,230		438
Netflix, Inc.⁽²⁾		2,320		490
Newell Rubbermaid, Inc.		11,940		313
News Corp. Class A		82,890		2,702
NIKE, Inc. Class B		30,150		1,920
Nordstrom, Inc.		6,160		369
O’Reilly Automotive, Inc.⁽²⁾		4,570		515
Omnicom Group, Inc.		10,700		673
PetSmart, Inc.		4,280		287
Phillips-Van Heusen Corp.		3,350		419
priceline.com, Inc.⁽²⁾		2,130		1,762
PulteGroup, Inc.⁽²⁾		14,110		268
Ralph Lauren Corp.		2,520		438
Ross Stores, Inc.		9,100		590
Scripps Networks Interactive, Inc. Class A		3,520		235
Staples, Inc.		27,650		438
Starbucks Corp.		31,180		2,042
Starwood Hotels & Resorts Worldwide, Inc.		8,050		509
Target Corp.		26,730		1,841
Tiffany & Co.		4,960		361
Time Warner Cable, Inc.		12,040		1,354
Time Warner, Inc.		38,820		2,245
TJX Cos., Inc.		29,980		1,501
TripAdvisor, Inc.⁽²⁾		4,570		278
Urban Outfitters, Inc.⁽²⁾		4,560		183
VF Corp.		3,630		701
Viacom, Inc. Class B		18,580		1,264
Walt Disney Co. (The)		75,010		4,737
Washington Post Co. (The) Class B		190		92
Whirlpool Corp.		3,280		375
Wyndham Worldwide Corp.		5,620		322
Wynn Resorts Ltd.		3,300		422
Yum! Brands, Inc.		18,740		1,299

				73,346


	SHARES		VALUE
Energy—12.3%
Anadarko Petroleum Corp.		26,520	$	2,279
Apache Corp.		20,530		1,721
Baker Hughes, Inc.		26,610		1,228
Cabot Oil & Gas Corp.		20,770		1,475
Cameron International Corp.⁽²⁾		18,070		1,105
Chesapeake Energy Corp.		31,380		640
Chevron Corp.		89,970		10,647
ConocoPhillips		41,050		2,484
CONSOL Energy, Inc.		16,620		450
Denbury Resources, Inc.⁽²⁾		34,130		591
Devon Energy Corp.		19,800		1,027
Diamond Offshore Drilling, Inc.		5,150		354
Ensco plc Class A		10,520		611
EOG Resources, Inc.		14,980		1,973
EQT Corp.		6,790		539
Exxon Mobil Corp.		136,320		12,317
FMC Technologies, Inc.⁽²⁾		19,370		1,079
Halliburton Co.		50,700		2,115
Helmerich & Payne, Inc.		4,800		300
Hess Corp.		16,860		1,121
Kinder Morgan, Inc.		28,700		1,095
Marathon Oil Corp.		37,810		1,307
Marathon Petroleum Corp.		14,660		1,042
Murphy Oil Corp.		11,120		677
Nabors Industries Ltd.		24,640		377
National Oilwell Varco, Inc.		24,630		1,697
Newfield Exploration Co.⁽²⁾		6,120		146
Noble Corp.		11,430		430
Noble Energy, Inc.		22,240		1,335
Occidental Petroleum Corp.		31,950		2,851
Peabody Energy Corp.		17,860		261
Phillips 66		28,130		1,657
Pioneer Natural Resources Co.		13,970		2,022
QEP Resources, Inc.		8,090		225
Range Resources Corp.		11,560		894
Rowan Cos. plc Class A⁽²⁾		15,270		520
Schlumberger Ltd.		63,030		4,517
Southwestern Energy Co.⁽²⁾		20,420		746
Spectra Energy Corp.		40,810		1,406
Tesoro Corp.		19,410		1,016
Valero Energy Corp.		34,590		1,203
Williams Cos., Inc. (The)		43,770		1,421


	SHARES		VALUE
Energy—(continued)
WPX Energy, Inc.⁽²⁾		9,040	$	171

				71,072

Financials—12.2%
ACE Ltd.		10,210		914
Aflac, Inc.		14,000		814
Allstate Corp. (The)		14,070		677
American Express Co.		28,880		2,159
American International Group, Inc.		44,610		1,994
American Tower Corp.		11,880		869
Ameriprise Financial, Inc.		6,050		489
AON plc		9,280		597
Apartment Investment & Management Co. Class A		4,380		132
Assurant, Inc.		2,310		118
AvalonBay Communities, Inc.		3,650		492
Bank of America Corp.		325,710		4,189
Bank of New York Mellon Corp. (The)		35,070		984
BB&T Corp.		21,200		718
Berkshire Hathaway, Inc. Class B⁽²⁾		54,870		6,141
BlackRock, Inc.		3,750		963
Boston Properties, Inc.		4,560		481
Capital One Financial Corp.		17,650		1,109
CBRE Group, Inc.⁽²⁾		9,120		213
Charles Schwab Corp. (The)		33,260		706
Chubb Corp. (The)		7,780		659
Cincinnati Financial Corp.		4,410		202
Citigroup, Inc.		91,940		4,410
CME Group, Inc.		9,220		701
Comerica, Inc.		5,600		223
Discover Financial Services		14,730		702
E*Trade Financial Corp.⁽²⁾		8,610		109
Equity Residential		9,620		559
Fifth Third Bancorp		26,420		477
Franklin Resources, Inc.		4,150		564
Genworth Financial, Inc. Class A		14,810		169
Goldman Sachs Group, Inc. (The)		12,940		1,957
Hartford Financial Services Group, Inc. (The)		13,690		423
HCP, Inc.		13,650		620
Health Care REIT, Inc.		8,540		572
Hudson City Bancorp, Inc.		14,270		131
Huntington Bancshares, Inc.		25,340		200
IntercontinentalExchange, Inc.⁽²⁾		2,190		389
Invesco Ltd.		13,350		424


	SHARES		VALUE
Financials—(continued)
JPMorgan Chase & Co.		114,200	$	6,029
KeyCorp		27,810		307
Kimco Realty Corp.		12,270		263
Legg Mason, Inc.		3,350		104
Leucadia National Corp.		8,860		232
Lincoln National Corp.		8,060		294
Loews Corp.		9,230		410
M&T Bank Corp.		3,680		411
Macerich Co. (The)		4,130		252
Marsh & McLennan Cos., Inc.		16,630		664
MetLife, Inc.		33,090		1,514
Moody’s Corp.		5,820		355
Morgan Stanley		41,460		1,013
NASDAQ OMX Group, Inc. (The)		3,540		116
Northern Trust Corp.		6,540		379
NYSE Euronext, Inc.		7,300		302
People’s United Financial, Inc.		10,180		152
Plum Creek Timber Co., Inc.		4,890		228
PNC Financial Services Group, Inc.		16,000		1,167
Principal Financial Group, Inc.		8,280		310
Progressive Corp. (The)		16,740		425
Prologis, Inc.		14,960		564
Prudential Financial, Inc.		13,990		1,022
Public Storage		4,340		665
Regions Financial Corp.		42,710		407
Simon Property Group, Inc.		9,330		1,473
SLM Corp.		13,340		305
State Street Corp.		13,690		893
SunTrust Banks, Inc.		16,280		514
T. Rowe Price Group, Inc.		7,790		570
Torchmark Corp.		2,780		181
Travelers Cos., Inc. (The)		11,300		903
U.S. Bancorp		55,890		2,020
Unum Group		8,020		236
Ventas, Inc.		8,800		611
Vornado Realty Trust		5,110		423
Wells Fargo & Co.		148,820		6,142
XL Group plc		8,700		264
Zions Bancorp		5,530		160

				70,530

Industrials—12.4%
3M Co.		30,730		3,360
ADT Corp. (The)		10,260		409


	SHARES		VALUE
Industrials—(continued)
Avery Dennison Corp.		5,780	$	247
Boeing Co. (The)		33,660		3,448
Caterpillar, Inc.		33,100		2,730
Cintas Corp.		5,900		269
CSX Corp.		58,150		1,349
Cummins, Inc.		15,350		1,665
Danaher Corp.		30,850		1,953
Deere & Co.		20,460		1,662
Dover Corp.		9,710		754
Dun & Bradstreet Corp.		1,870		182
Eaton Corp. plc		27,300		1,797
Emerson Electric Co.		35,930		1,960
Equifax, Inc.		7,700		454
Expeditors International of Washington, Inc.		9,690		368
Fastenal Co.		12,660		580
FedEx Corp.		14,820		1,461
Flowserve Corp.		6,710		362
Fluor Corp.		11,110		659
General Dynamics Corp.		17,060		1,336
General Electric Co.		361,380		8,380
Grainger (W.W.), Inc.		3,680		928
Honeywell International, Inc.		39,180		3,109
Illinois Tool Works, Inc.		20,790		1,438
Ingersoll-Rand plc		13,040		724
Iron Mountain, Inc.		7,870		209
Jacobs Engineering Group, Inc.		6,140		339
Joy Global, Inc.		4,990		242
Kansas City Southern		5,170		548
L-3 Communications Holdings, Inc.		4,220		362
Lockheed Martin Corp.		13,220		1,434
Masco Corp.		18,750		365
Norfolk Southern Corp.		17,460		1,269
Northrop Grumman Corp.		11,920		987
PACCAR, Inc.		19,420		1,042
Pall Corp.		7,670		510
Parker Hannifin Corp.		8,830		842
PentAir, Inc.		9,580		553
Pitney Bowes, Inc.		10,840		159
Precision Castparts Corp.		6,860		1,550
Quanta Services, Inc.⁽²⁾		9,990		264
Raytheon Co.		16,760		1,108
Republic Services, Inc.		13,920		472
Robert Half International, Inc.		9,260		308
Robinson (C.H.) Worldwide, Inc.		7,530		424


	SHARES		VALUE
Industrials—(continued)
Rockwell Automation, Inc.		8,480	$	705
Rockwell Collins, Inc.		8,220		521
Roper Industries, Inc.		4,650		578
Ryder System, Inc.		4,420		269
Snap-On, Inc.		2,730		244
Southwest Airlines Co.		37,380		482
Stanley Black & Decker, Inc.		7,600		588
Stericycle, Inc.⁽²⁾		4,050		447
Textron, Inc.		16,380		427
Tyco International Ltd.		21,910		722
Union Pacific Corp.		23,980		3,700
United Parcel Service, Inc. Class B		34,140		2,952
United Technologies Corp.		41,480		3,855
Waste Management, Inc.		22,610		912
Xylem, Inc.		8,690		234

				71,207

Materials—12.2%
Air Products & Chemicals, Inc.		31,070		2,845
Airgas, Inc.		10,030		958
Alcoa, Inc.		161,220		1,261
Allegheny Technologies, Inc.		17,000		447
Ball Corp.		22,670		942
Bemis Co., Inc.		16,190		634
CF Industries Holdings, Inc.		8,830		1,514
Cliffs Natural Resources, Inc.		23,270		378
Dow Chemical Co. (The)		180,410		5,804
Du Pont (E.I.) de Nemours & Co.		137,290		7,208
Eastman Chemical Co.		23,580		1,651
Ecolab, Inc.		37,650		3,207
FMC Corp.		20,670		1,262
Freeport-McMoRan Copper & Gold, Inc.		154,850		4,275
International Flavors & Fragrances, Inc.		12,520		941
International Paper Co.		66,640		2,953
LyondellBasell Industries N.V. Class A		56,650		3,754
MeadWestvaco Corp.		27,250		930
Monsanto Co.		79,620		7,866
Mosaic Co. (The)		41,300		2,222
Newmont Mining Corp.		74,450		2,230
Nucor Corp.		47,660		2,065
Owens-Illinois, Inc.⁽²⁾		25,980		722
PPG Industries, Inc.		21,290		3,117
Praxair, Inc.		44,110		5,080
Sealed Air Corp.		31,040		743


	SHARES		VALUE
Materials—(continued)
Sherwin-Williams Co. (The)		12,770	$	2,255
Sigma-Aldrich Corp.		18,160		1,459
United States Steel Corp.		22,900		401
Vulcan Materials Co.		20,000		968
Weyerhaeuser Co.		17,340		494

				70,586

Utilities—12.7%
AES Corp. (The)		96,930		1,162
AGL Resources, Inc.		18,370		787
Ameren Corp.		38,050		1,310
American Electric Power Co., Inc.		75,930		3,400
CenterPoint Energy, Inc.		67,590		1,588
CMS Energy Corp.		42,230		1,147
Consolidated Edison, Inc.		45,860		2,674
Dominion Resources, Inc.		89,830		5,104
DTE Energy Co.		27,340		1,832
Duke Energy Corp.		101,230		6,833
Edison International		50,900		2,451
Entergy Corp.		27,710		1,931
Exelon Corp.		133,080		4,110
FirstEnergy Corp.		65,030		2,428
Integrys Energy Group, Inc.		12,460		729
NextEra Energy, Inc.		66,030		5,380
NiSource, Inc.		49,290		1,412
Northeast Utilities		48,920		2,056
NRG Energy, Inc.		50,150		1,339
ONEOK, Inc.		32,050		1,324
Pepco Holdings, Inc.		39,210		791
PG&E Corp.		69,120		3,161
Pinnacle West Capital Corp.		17,500		971
PPL Corp.		92,460		2,798
Public Service Enterprise Group, Inc.		78,680		2,570
SCANA Corp.		21,690		1,065
Sempra Energy		35,240		2,881
Southern Co. (The)		135,350		5,973
TECO Energy, Inc.		32,340		556
Wisconsin Energy Corp.		35,570		1,458
XCEL Energy, Inc.		77,990		2,210

				73,431

TOTAL COMMON STOCKS (Identified Cost $374,192)				430,172


	SHARES		VALUE
EXCHANGE-TRADED FUNDS—25.0%
Consumer Staples Select Sector SPDR Fund		1,814,710	$	71,989
Health Care Select Sector SPDR Fund		1,510,770		71,928

TOTAL EXCHANGE-TRADED FUNDS (Identified Cost $106,595)				143,917

TOTAL LONG TERM INVESTMENTS—99.5% (Identified cost $480,787)				574,089

SHORT-TERM INVESTMENTS—0.7%
Money Market Mutual Funds—0.7%
Fidelity Money Market Portfolio - Institutional Shares (Seven-day effective yield 0.012%)		4,159,278		4,159

TOTAL SHORT-TERM INVESTMENTS (Identified Cost $4,159)				4,159

TOTAL INVESTMENTS—100.2% (Identified Cost $484,946)				578,248	⁽¹⁾
Other assets and liabilities, net—(0.2)%				(1,040	)

NET ASSETS—100.0%			$	577,208

Abbreviations:


REIT		Real Estate Investment Trust
SPDR		S&P Depositary Receipt

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at June 30, 2013, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Non-income producing.

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2013 (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
AFFILIATED MUTUAL FUNDS—67.8%
Equity Funds—58.6%
Virtus Global Commodities Stock Fund Class I		2,426,246	$	20,259
Virtus Global Dividend Fund Class I		3,309,223		44,244
Virtus Global Real Estate Securities Fund Class I		595,986		13,785
Virtus International Real Estate Securities Fund Class I		3,246,052		20,353
Virtus Real Estate Securities Class I		621,330		22,486

				121,127

Fixed Income Funds—9.2%
Virtus Senior Floating Rate Fund Class I		1,959,721		19,147

TOTAL AFFILIATED MUTUAL FUNDS (Identified Cost $128,307)				140,274

EXCHANGE-TRADED FUNDS—32.0%
Market Vectors Agribusiness		77,600		3,972
Market Vectors Coal		199,700		3,527
PowerShares DB Commodity Index Tracking Fund		841,000		21,134
PowerShares DB G10 Currency Harvest Fund⁽²⁾		1,331,700		33,838
WisdomTree Managed Futures Strategy Fund		90,300		3,781

TOTAL EXCHANGE-TRADED FUNDS (Identified Cost $66,398)				66,252

TOTAL LONG TERM INVESTMENTS—99.8% (Identified cost $194,705)				206,526

SHORT-TERM INVESTMENTS—0.2%
Money Market Mutual Funds—0.2%
Fidelity Money Market Portfolio - Institutional Shares (Seven-day effective yield 0.012%)		371,566		372

TOTAL SHORT-TERM INVESTMENTS (Identified Cost $372)				372

TOTAL INVESTMENTS—100.0% (Identified Cost $195,077)				206,898	⁽¹⁾
Other assets and liabilities, net—0.0%				(85	)

NET ASSETS—100.0%			$	206,813

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at June 30, 2013, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Non-income producing.

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2013 (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
MUNICIPAL BONDS—1.4%
Georgia—0.3%
Rockdale County Water & Sewerage Authority, Taxable 3.060%, 7/1/24	$	255		$	242

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

Rhode Island—1.0%
City of Woonsocket Pension Funding Taxable (AGM Insured) 5.660%, 7/15/13		1,000			1,001

TOTAL MUNICIPAL BONDS (Identified Cost $1,321)					1,311

FOREIGN GOVERNMENT SECURITIES—5.8%
Bolivarian Republic of Venezuela
RegS 12.750%, 8/23/22⁽⁵⁾		245			252
RegS 8.250%, 10/13/24⁽⁵⁾		125			97
Commonwealth of Australia New South Wales Treasury Corp. Series 17 5.500%, 3/1/17		190	^AUD		187
Commonwealth of Canada 2.000%, 3/1/14		270	^CAD		258
Commonwealth of New Zealand Series 415, 6.000%, 4/15/15		120	^NZD		98
Federative Republic of Brazil 8.500%, 1/5/24		475	^BRL		196
Hellenic Republic
2.000%, 2/24/23⁽³⁾		130	^EUR		92
2.000%, 2/24/27⁽³⁾		185	^EUR		110
Kingdom of Morocco 144A 4.250%, 12/11/22⁽⁴⁾		270			238
Kingdom of Norway Treasury Bill, 0.000%, 12/18/13		1,150	^NOK		188
Mongolia 144A 5.125%, 12/5/22⁽⁴⁾		200			178
Republic of Colombia 4.375%, 3/21/23		490,000	^COP		224
Republic of Croatia 144A 6.375%, 3/24/21⁽⁴⁾		280			293
Republic of Indonesia Series FR63, 5.625%, 5/15/23		1,478,000	^IDR		133
Republic of Peru 144A 7.840%, 8/12/20⁽⁴⁾		575	^PEN		238
Republic of Philippines 4.950%, 1/15/21		6,000	^PHP		143
Republic of Portugal Treasury Obligation 4.950%, 10/25/23		130	^EUR		152
Republic of Turkey 9.000%, 3/8/17		610	^TRY		327
Republic of Uruguay 4.375%, 12/15/28⁽¹³⁾		4,983	^UYU		283
Russian Federation 144A 7.850%, 3/10/18⁽⁴⁾		15,000	^RUB		476


	PAR VALUE			VALUE
Series 6207 8.150%, 2/3/27	$	10,050	^RUB	$	314
United Mexican States Series M, 6.000%, 6/18/15		6,990	^MXN		556
4.750%, 3/8/44		515	^MXN		458

TOTAL FOREIGN GOVERNMENT SECURITIES (Identified Cost $6,064)					5,491

MORTGAGE-BACKED SECURITIES—22.9%
Agency—8.7%
FHLMC
7.500%, 4/1/14		2			2
7.000%, 4/1/16		6			7
7.000%, 1/1/33		99			114
5.000%, 12/1/35		58			65
FNMA
7.000%, 5/1/14		2			2
6.000%, 10/1/14		27			28
6.500%, 6/1/16		38			40
6.000%, 7/1/17		24			25
5.500%, 9/1/17		50			53
5.000%, 4/1/20		166			177
5.000%, 8/1/21		42			45
6.000%, 5/1/29		63			70
6.500%, 5/1/30		3			3
7.500%, 3/1/31		50			59
7.000%, 7/1/31		45			52
7.000%, 9/1/31		57			65
6.500%, 3/1/32		50			58
5.500%, 4/1/36		165			181
5.500%, 9/1/36		384			417
6.500%, 5/1/37		640			712
6.000%, 9/1/37		32			35
6.000%, 1/1/38		65			72
6.000%, 2/1/38		67			74
6.000%, 3/1/38		353			389
6.000%, 7/1/38		941			1,022
6.000%, 8/1/38		59			64
6.000%, 8/1/38		183			202
6.000%, 8/1/38		354			386
6.000%, 8/1/38		733			811
5.000%, 6/1/39		1,232			1,359
5.000%, 9/1/39		297			323
5.500%, 9/1/39		671			732
4.500%, 9/1/40		434			474


	PAR VALUE			VALUE
Agency—(continued)
GNMA
8.500%, 11/15/22	$	—	⁽¹²⁾	$	—	⁽¹²⁾
6.500%, 9/15/28		57			66
7.500%, 9/15/29		97			112

					8,296

Non-Agency—14.2%
A-10 Securitization LLC 13-1, B 144A 4.120%, 11/15/25⁽⁴⁾		260			256
Banc of America (Merrill Lynch) Commercial Mortgage, Inc. 05-2, B 5.292%, 7/10/43⁽³⁾		440			462
Banc of America Mortgage Securities, Inc. 05-3, 1A15 5.500%, 4/25/35		245			251
Bank of America Funding Corp. 04-B, 2A1 5.462%, 11/20/34⁽³⁾		159			156
Bayview Commercial Asset Trust 08-1, A2A 144A 1.190%, 1/25/38⁽³⁾⁽⁴⁾		262			258
BCAP LLC Trust 06-RR1, PE 5.000%, 11/25/36		500			498
Bear Stearns Commercial Mortgage Securities, Inc.
06-PW13, AM 5.582%, 9/11/41⁽³⁾		235			257
07-T28, A3 5.793%, 9/11/42		999			1,023
07- PW, R15 5.363%, 2/11/44		250			251
Citigroup - Deutsche Bank Commercial Mortgage Trust 06-CD2, A3 5.547%, 1/15/46⁽³⁾		1,335			1,388
Commercial Mortgage Pass-Through-Certificates 07-C9, A4 5.993%, 12/10/49⁽³⁾		151			171
Countrywide Home Loan Mortgage Pass-Through-Trust 04-6, 1A2 2.685%, 5/25/34⁽³⁾		507			494
Credit Suisse First Boston Mortgage Securities Corp.
04-CF2, 1M1 144A 5.250%, 1/25/43⁽⁴⁾		235			255
13-IVR3, A2 3.000%, 5/25/43		264			259
Extended Stay America Trust 13-ESH7, A27 144A 2.958%, 12/5/31⁽⁴⁾		270			262
Goldman Sachs Mortgage Securities Corp. II 07- GG10, A4 5.982%, 8/10/45⁽³⁾		950			1,058
Greenwich Capital Commercial Funding Corp. 07- GG9, A4 5.444%, 3/10/39		145			160
JPMorgan Chase Commercial Mortgage Securities Trust
10-CNTR, A1 144A 3.300%, 8/5/32⁽⁴⁾		430			448
06-LDP7, AM 6.056%, 4/15/45⁽³⁾		475			522


	PAR VALUE		VALUE
Non-Agency—(continued)
JPMorgan Chase Mortgage Trust 04-A4, 2A1 2.611%, 9/25/34⁽³⁾	$	410	$	410
Morgan Stanley Capital I Trust
07-T27, A4 5.816%, 6/11/42⁽³⁾		565		639
05-IQ10, A4B 5.284%, 9/15/42⁽³⁾		855		908
08-T29, A4 6.459%, 1/11/43⁽³⁾		650		755
07-IQ14, A4 5.692%, 4/15/49⁽³⁾		300		334
07-IQ14, AM 5.876%, 4/15/49⁽³⁾		190		191
Motel 6 Trust 12-MTLB, D 144A 3.781%, 10/5/25⁽⁴⁾		270		261
SMA Issuer I LLC 12-LV1, A 144A 3.500%, 8/20/25⁽⁴⁾		113		114
Structured Asset Securities Corp. Mortgage Pass- Through Certificates 03-14, 3A1 5.490%, 5/25/33⁽³⁾		362		371
Wachovia Bank Commercial Mortgage Trust 07- C30, A5 5.342%, 12/15/43		715		793
Washington Mutual Mortgage Pass-Through Certificates 03-S11, 3A5 5.950%, 11/25/33		369		391

				13,596

TOTAL MORTGAGE-BACKED SECURITIES (Identified Cost $21,448)				21,892

ASSET-BACKED SECURITIES—5.8%
AmeriCredit Automobile Receivables Trust 12-3, C 2.420%, 5/8/18		500		506
Avis Budget Rental Car Funding LLC
(AESOP) 11-3A, A 144A 3.410%, 11/20/16⁽⁴⁾		535		560
(AESOP) 12-3A, A 144A 2.100%, 3/20/19⁽⁴⁾		375		368
Centre Point Funding LLC 12-2A, 1 144A 2.610%, 8/20/21⁽⁴⁾		465		466
Countrywide Asset-Backed Certificates 05-1, AF5A 5.497%, 7/25/35⁽³⁾		317		307
Fairway Outdoor Funding LLC 12-1A, A2 144A 4.212%, 10/15/42⁽⁴⁾		157		157
GSAA Home Equity Trust 05-12, AF3W 4.999%, 9/25/35⁽³⁾		281		277
Orange Lake Timeshare Trust 12-AA, A 144A 3.450%, 3/10/27⁽⁴⁾		137		141
Santander Drive Auto Receivables Trust
12-2, D 3.870%, 2/15/18		500		513
12-3, C 3.010%, 4/16/18		545		560
13-1, D 2.270%, 1/15/19		215		208


	PAR VALUE		VALUE
Security National Mortgage Loan Trust 04-1A, AF3, 144A 6.420%, 6/25/32⁽³⁾⁽⁴⁾	$	306	$	283
Sierra Timeshare Receivables Funding, LLC 12- 3A, A 144A 1.870%, 8/20/29⁽⁴⁾		374		375
Silverleaf Finance XV LLC 12-D, A 144A 3.000%, 3/17/25⁽⁴⁾		201		201
Springleaf Loan Trust 10-1A, A1 144A 5.150%, 3/25/58⁽³⁾⁽⁴⁾		136		138
Tidewater Auto Receivables Trust 12-AA, B 144A 2.430%, 4/15/19⁽⁴⁾		215		213
Westgate Resorts LLC 12-2A, A 144A 3.000%, 1/20/25⁽⁴⁾		259		262

TOTAL ASSET-BACKED SECURITIES (Identified Cost $5,569)				5,535

CORPORATE BONDS—50.4%
Consumer Discretionary—4.9%
American Axle & Manufacturing, Inc. 6.250%, 3/15/21		220		225
Automotores Gildemeister SA 144A 6.750%, 1/15/23⁽⁴⁾		215		184
Bon-Ton Department Stores, Inc. (The)144A 8.000%, 6/15/21⁽⁴⁾		165		168
Boyd Gaming Corp. 9.000%, 7/1/20		200		204
Brookfield Residential Properties, Inc. 144A 6.500%, 12/15/20⁽⁴⁾		215		218
Claire’s Stores, Inc. 144A 9.000%, 3/15/19⁽⁴⁾		210		232
Clear Channel Communications, Inc. 144A 9.000%, 12/15/19⁽⁴⁾		90		88
Clear Channel Worldwide Holdings, Inc. Series B 7.625%, 3/15/20		175		182
Hot Topic, Inc. 144A 9.250%, 6/15/21⁽⁴⁾		100		102
Isle of Capri Casinos, Inc. 5.875%, 3/15/21		210		202
Jones Group, Inc. (The) Apparel Group Holdings 6.875%, 3/15/19		245		247
KOC Holding AS 144A 3.500%, 4/24/20⁽⁴⁾		200		173
Landry’s, Inc. 144A 9.375%, 5/1/20⁽⁴⁾		260		276
Meritor, Inc. 6.750%, 6/15/21		170		163
MGM Resorts International 6.750%, 10/1/20		215		223
QVC, Inc. 144A 4.375%, 3/15/23⁽⁴⁾		265		247
Seminole Hard Rock Entertainment, Inc. (Seminole Hard Rock International LLC) 144A 5.875%, 5/15/21⁽⁴⁾		265		257
ServiceMaster Co. 7.000%, 8/15/20		220		210


	PAR VALUE		VALUE
Consumer Discretionary—(continued)
Six Flags Entertainment Corp. 144A 5.250%, 1/15/21⁽⁴⁾	$	235	$	227
Station Casinos LLC 144A 7.500%, 3/1/21⁽⁴⁾		230		233
Taylor Morrison Communities, Inc. (Monarch Communities, Inc.) 144A 5.250%, 4/15/21⁽⁴⁾		265		252
TRW Automotive, Inc. 144A 4.500%, 3/1/21⁽⁴⁾		70		70
United Artists Theatre Circuit, Inc. Series BD-1 9.300%, 7/1/15⁽⁶⁾⁽⁷⁾		12		12
Wyndham Worldwide Corp. 3.900%, 3/1/23		260		248

				4,643

Consumer Staples—1.5%
American Rock Salt Co. LLC 144A 8.250%, 5/1/18⁽⁴⁾		270		258
Chiquita Brands International, Inc. (Chiquita Brands LLC) 144A 7.875%, 2/1/21⁽⁴⁾		145		152
CVS Pass-Through-Trust 144A 7.507%, 1/10/32⁽⁴⁾		247		304
Flowers Foods, Inc. 4.375%, 4/1/22		275		269
Ingles Markets, Inc. 144A 5.750%, 6/15/23⁽⁴⁾		170		168
Reynolds American, Inc. 3.250%, 11/1/22		295		274

				1,425

Energy—5.2%
CHC Helicopter SA 9.250%, 10/15/20		160		165
Chesapeake Energy Corp. 5.375%, 6/15/21		215		215
Compagnie Generale de Geophysique-Veritas 6.500%, 6/1/21		200		203
El Paso Pipeline Partners Operating Co. LLC 7.500%, 11/15/40		505		634
Energy Transfer Partners LP 5.200%, 2/1/22		285		301
EPL Oil & Gas, Inc. 8.250%, 2/15/18		280		290
Gazprom OAO (Gaz Capital SA) 144A 3.850%, 2/6/20^(4)(10)		430		400
OGX Austria GmbH 144A 8.500%, 6/1/18⁽⁴⁾		330		107
Petrobras International Finance Co. 5.375%, 1/27/21		515		517
Petroleos de Venezuela SA RegS 8.500%, 11/2/17⁽⁵⁾		310		285
Petroleos Mexicanos 144A 3.500%, 1/30/23⁽⁴⁾		355		328
Petropower I Funding Trust 144A 7.360%, 2/15/14⁽⁴⁾⁽⁷⁾		22		21
Phillips 66 5.875%, 5/1/42		340		375
QGOG Constellation S.A. 144A 6.250%, 11/9/19⁽⁴⁾		220		216


	PAR VALUE			VALUE
Energy—(continued)
Regency Energy Partners LP (Regency Energy Finance Corp.) 144A 4.500%, 11/1/23⁽⁴⁾	$	200		$	182
Rowan Cos., Inc. 4.875%, 6/1/22		255			263
Weatherford International Ltd. 4.500%, 4/15/22		310			306
Williams Cos., Inc. (The) 3.700%, 1/15/23		200			186

					4,994

Financials—22.5%
Air Lease Corp. 4.750%, 3/1/20		215			207
Aircastle Ltd.
6.250%, 12/1/19		225			235
7.625%, 4/15/20		200			221
Akbank TAS
144A 3.875%, 10/24/17⁽⁴⁾		350			338
144A 7.500%, 2/5/18⁽⁴⁾		375	^TRY		179
Alfa Bank OJSC (Alfa Bond Issuance plc) RegS 7.875%, 9/25/17^(5)(10)		250			267
ALROSA Finance SA 144A 7.750%, 11/3/20⁽⁴⁾		240			258
Banco de Credito e Inversiones 144A 4.000%, 2/11/23⁽⁴⁾		275			259
Banco Santander Brasil SA 144A 8.000%, 3/18/16⁽⁴⁾		415	^BRL		171
Banco Santander Chile 144A 3.875%, 9/20/22⁽⁴⁾		450			418
Banco Votorantim SA 144A 7.375%, 1/21/20⁽⁴⁾		300			316
Bancolombia SA 5.125%, 9/11/22		260			248
Bank of America Corp.
5.750%, 8/15/16		250			272
5.625%, 7/1/20		235			259
Bank of India
144A 3.250%, 4/18/18⁽⁴⁾		265			248
144A 3.625%, 9/21/18⁽⁴⁾		265			249
Barclays Bank plc 144A 6.050%, 12/4/17⁽⁴⁾		250			270
Capital One Financial Corp. 6.150%, 9/1/16		455			508
Carlyle Holdings Finance LLC 144A 3.875%, 2/1/23⁽⁴⁾		270			261
Chubb Corp. (The) 6.375%, 3/29/67⁽³⁾		250			267
Corporate Office Properties LP 144A 3.600%, 5/15/23⁽⁴⁾		265			244
Developers Diversified Realty Corp. 7.875%, 9/1/20		540			659
Development Bank of Kazakhstan JSC 144A 4.125%, 12/10/22⁽⁴⁾		290			258
Digital Realty Trust LP 5.250%, 3/15/21		625			652


	PAR VALUE		VALUE
Financials—(continued)
ESAL GmbH 144A 6.250%, 2/5/23⁽⁴⁾	$	200	$	184
Ford Motor Credit Co. LLC 5.750%, 2/1/21		235		255
General Electric Capital Corp. 4.650%, 10/17/21		95		101
General Motors Financial Co., Inc. 144A 4.750%, 8/15/17⁽⁴⁾		220		227
Goldman Sachs Group, Inc. (The)
6.000%, 6/15/20		360		404
5.750%, 1/24/22		500		551
Hutchison Whampoa International Ltd. Series 12 144A 6.000% ^(3)(4)(8)(9)		310		322
ING (U.S.), Inc. 144A 5.650%, 5/15/53^(3)(4)(9)		210		198
Intelsat Jackson Holdings SA 144A 6.625%, 12/15/22⁽⁴⁾		175		171
International Lease Finance Corp. 6.250%, 5/15/19		240		248
Intesa San Paolo SpA 3.125%, 1/15/16		215		211
Inversiones CMPC SA 144A 4.375%, 5/15/23⁽⁴⁾		375		359
Itau Unibanco Holding SA 144A 5.125%, 5/13/23⁽⁴⁾		295		275
Jefferies Group LLC 5.125%, 1/20/23		65		64
JPMorgan Chase & Co.
6.125%, 6/27/17		320		361
4.400%, 7/22/20		425		444
3.250%, 9/23/22		480		455
Kazakhstan Temir Zholy Finance BV 144A 6.950%, 7/10/42⁽⁴⁾		215		219
Kazkommertsbank JSC RegS 8.000%, 11/3/15⁽⁵⁾		115		115
KeyCorp 5.100%, 3/24/21		205		228
Korea Finance Corp. 4.625%, 11/16/21		200		203
Legg Mason, Inc. 5.500%, 5/21/19		240		247
Level 3 Financing, Inc. 7.000%, 6/1/20		160		160
Liberty Mutual Group, Inc. 144A 4.250%, 6/15/23⁽⁴⁾		245		237
Lincoln National Corp. 4.200%, 3/15/22		530		538
Lukoil International Finance BV 144A 4.563%, 4/24/23⁽⁴⁾		275		256
Macquarie Bank Ltd. 144A 6.625%, 4/7/21⁽⁴⁾		15		16
Macquarie Group Ltd. 144A 6.250%, 1/14/21⁽⁴⁾		210		223
MMI International Ltd. 144A 8.000%, 3/1/17⁽⁴⁾		205		207
Morgan Stanley
5.550%, 4/27/17		330		357
4.100%, 5/22/23		155		143
6.375%, 7/24/42		435		486
Nordea Bank AB 144A 4.250%, 9/21/22⁽⁴⁾		265		261


	PAR VALUE		VALUE
Financials—(continued)
Novatek OAO (Novatek Finance Ltd.) 144A 4.422%, 12/13/22^(4)(10)	$	285	$	261
Phosagro OAO (Phosagro Bond Funding Ltd.) 144A 4.204%, 2/13/18^(4)(10)		265		261
PKO Finance AB 144A 4.630%, 9/26/22^(4)(10)		255		248
Prudential Financial, Inc.
5.875%, 9/15/42⁽³⁾⁽⁹⁾		190		190
5.200%, 3/15/44⁽³⁾		770		728
Russian Agricultural Bank OJSC (RSHB Capital SA) 144A 5.298%, 12/27/17⁽⁴⁾		220		224
Sberbank of Russia (Sberbank CapItal SA)
144A 4.950%, 2/7/17^(4)(10)		200		207
144A 5.125%, 10/29/22^(4)(10)		320		300
SLM Corp. 5.500%, 1/25/23		225		214
TMK OAO (TMK Capital SA) 144A 6.750%, 4/3/20^(4)(10)		210		195
Turkiye Garanti Bankasi AS 144A 5.250%, 9/13/22⁽⁴⁾		305		286
Turkiye Is Bankasi 144A 3.875%, 11/7/17⁽⁴⁾		335		327
UBS AG 7.625%, 8/17/22		500		548
UPCB Finance Ltd. VI 144A 6.875%, 1/15/22⁽⁴⁾		165		172
Ventas Realty LP (Ventas Capital Corp.) 3.250%, 8/15/22		250		232
VTB Bank OJSC (VTB Capital SA) 144A 6.000%, 4/12/17^(4)(10)		500		520
Wells Fargo & Co. 3.450%, 2/13/23		310		296
Yapi ve Kredi Bankasi AS 144A 4.000%, 1/22/20⁽⁴⁾		270		242

				21,441

Health Care—1.4%
Cardinal Health, Inc. 3.200%, 3/15/23		130		121
HCA, Inc. 6.500%, 2/15/20		285		309
inVentiv Health, Inc. 144A 9.000%, 1/15/18⁽⁴⁾		110		115
Mylan, Inc. 144A 3.125%, 1/15/23⁽⁴⁾		325		297
Tenet Healthcare Corp. 144A 4.500%, 4/1/21⁽⁴⁾		335		313
Valeant Pharmaceuticals International, Inc.
Escrow Corp.
144A 6.750%, 8/15/18⁽⁴⁾		130		134
144A 7.500%, 7/15/21⁽⁴⁾		25		26

				1,315

Industrials—4.9%
AAR Corp. 144A 7.250%, 1/15/22⁽⁴⁾		190		205


	PAR VALUE			VALUE
Industrials—(continued)
Ahern Rentals, Inc. 144A 9.500%, 6/15/18⁽⁴⁾	$	160		$	160
Air Canada Pass-Through-Trust 13-1B 144A 5.375%, 5/15/21⁽⁴⁾		101			100
America West Airlines Pass-Through-Trust 00-1, G 8.057%, 7/2/20		265			294
American Airlines Pass-Through-Trust 13-1, A 144A 4.000%, 7/15/25⁽⁴⁾		210			198
Avis Budget Car Rental LLC 144A 5.500%, 4/1/23⁽⁴⁾		265			257
Bombardier, Inc. 144A 6.125%, 1/15/23⁽⁴⁾		215			215
Builders FirstSource, Inc. 144A 7.625%, 6/1/21⁽⁴⁾		155			150
Carpenter Technology Corp. 4.450%, 3/1/23		250			244
Continental Airlines Pass-Through-Trust
97-4, A 6.900%, 1/2/18		270			284
99-1, A 6.545%, 2/2/19		414			460
00-1, A1 8.048%, 11/1/20		457			512
Delta Air Lines Pass-Through-Trust 12-1A, 1A 4.750%, 5/7/20		333			348
Northwest Airlines Pass-Through-Trust 02-1, G2 6.264%, 11/20/21		370			394
Odebrecht Finance Ltd. 144A 8.250%, 4/25/18⁽⁴⁾		320	^BRL		128
Rexel SA 144A 5.250%, 6/15/20⁽⁴⁾		210			211
Sappi Papier Holding GmbH 144A 7.750%, 7/15/17⁽⁴⁾		200			212
Spirit Aerosystems, Inc. 6.750%, 12/15/20		205			214
TransDigm, Inc. 144A 7.500%, 7/15/21⁽⁴⁾		145			149

					4,735

Information Technology—2.0%
Ceridian Corp. 144A 11.000%, 3/15/21⁽⁴⁾		5			6
Dun & Bradstreet Corp. (The) 4.375%, 12/1/22		270			261
EarthLink, Inc. 8.875%, 5/15/19		165			161
First Data Corp.
11.250%, 3/31/16		198			195
144A 6.750%, 11/1/20⁽⁴⁾		275			281
144A 11.750%, 8/15/21⁽⁴⁾		420			380
Freescale Semiconductor, Inc. 144A 5.000%, 5/15/21⁽⁴⁾		150			143
Igloo Holdings Corp. PIK Interest Capitalization, 144A 8.250%, 12/15/17⁽⁴⁾		45			46
SunGard Data Systems, Inc. 144A 6.625%, 11/1/19⁽⁴⁾		45			45


	PAR VALUE		VALUE
Information Technology—(continued)
Xerox Corp. 4.500%, 5/15/21	$	425	$	438

				1,956

Materials—4.8%
Alpek SA de CV 144A 4.500%, 11/20/22⁽⁴⁾		385		370
Calumet Specialty Products Partners LP 144A 9.625%, 8/1/20⁽⁴⁾		160		175
Cemex SAB de CV 144A 5.875%, 3/25/19⁽⁴⁾		265		258
Eldorado Gold Corp. 144A 6.125%, 12/15/20⁽⁴⁾		95		92
EuroChem Mineral & Chemical Co. OJSC (EuroChem GI Ltd.) 144A 5.125%, 12/12/17^(4)(10)		275		272
Gerdau Holdings, Inc. 144A 4.750%, 4/15/23⁽⁴⁾		315		288
Hexion Corp.
144A 8.875%, 2/1/18⁽⁴⁾		265		272
6.625%, 4/15/20		65		65
144A 6.625%, 4/15/20⁽⁴⁾		200		200
Ineos Finance plc 144A 8.375%, 2/15/19⁽⁴⁾		200		219
NewMarket Corp. 4.100%, 12/15/22		288		279
Nufarm Australia Ltd. 144A 6.375%, 10/15/19⁽⁴⁾		305		306
PTT Global Chemical plc RegS 4.250%, 9/19/22⁽⁵⁾		225		216
Reynolds Group Issuer, Inc. (Reynolds Group Issuer LLC)
9.875%, 8/15/19		145		156
8.250%, 2/15/21		140		139
Tronox Finance LLC 144A 6.375%, 8/15/20⁽⁴⁾		160		152
Turkiye Sise Ve Cam Fabrikalari AS 144A 4.250%, 5/9/20⁽⁴⁾		320		293
United States Steel Corp. 6.875%, 4/1/21		265		258
Vale Overseas Ltd. 4.375%, 1/11/22		330		313
Vedanta Resources plc 144A 9.500%, 7/18/18⁽⁴⁾		215		236

				4,559

Telecommunication Services—2.0%
AT&T, Inc. 3.875%, 8/15/21		425		438
CenturyLink, Inc. Series S, 6.450%, 6/15/21		245		257
Cincinnati Bell, Inc. 8.375%, 10/15/20		210		217
Frontier Communications Corp. 7.125%, 1/15/23		220		220
Koninklijke KPN NV 144A 7.000%, 3/28/73^(3)(4)(9)		210		199
Telefonica Emisiones Sau 4.570%, 4/27/23		225		215
Windstream Corp. 7.750%, 10/15/20		330		343

				1,889


	PAR VALUE		VALUE
Utilities—1.2%
Abu Dhabi National Energy Co. 144A 2.500%, 1/12/18⁽⁴⁾	$	270	$	263
Centrais Eletricas Brasileiras SA RegS 5.750%, 10/27/21⁽⁵⁾		200		193
Dominion Resources, Inc. 8.875%, 1/15/19		100		131
Electricite de France SA 144A 5.250% ^(3)(4)(8)(9)		280		268
Israel Electric Corp. Ltd. 144A 5.625%, 6/21/18⁽⁴⁾		250		257

				1,112

TOTAL CORPORATE BONDS (Identified Cost $49,209)				48,069

CONVERTIBLE BONDS—0.3%
General Electric Capital Corp. Series A 7.125%, 12/15/49⁽³⁾⁽⁸⁾		290		328

TOTAL CONVERTIBLE BONDS (Identified Cost $290)				328

LOAN AGREEMENTS⁽³⁾—9.9%
Consumer Discretionary—1.4%
Caesars Entertainment Operating Co., Inc. (Harrah’s Operating Company, Inc.) Tranche B-6, 5.443%, 1/28/18		192		170
CBAC Borrower LLC 0.000%, 4/26/20⁽¹¹⁾		49		50
Clear Channel Communications, Inc. Tranche B, 3.845%, 1/29/16		190		174
0.000%, 1/30/19⁽¹¹⁾		45		41
EB Sports Corp. 11.500%, 12/31/15		170		169
Leslie’s Poolmart, Inc. 5.250%, 10/16/19		206		207
Peppermill Casinos, Inc. Tranche B, 7.250%, 11/9/18		216		221
Tower Automotive Holdings U.S.A. LLC 5.750%, 4/23/20		123		124
Tribune Co. Tranche B, 4.000%, 12/31/19		72		72
TWCC Holding Corp. 0.000%, 12/11/20⁽¹¹⁾		82		83

				1,311

Consumer Staples—0.7%
AdvancePierre Foods, Inc. Second Lien, 9.500%, 10/10/17		210		214
Hostess Brands Acquisition LLC 0.000%, 4/9/20⁽¹¹⁾		178		182
Rite Aid Corp. 0.000%, 8/21/20⁽¹¹⁾		14		14


	PAR VALUE		VALUE
Consumer Staples—(continued)
0.000%, 6/21/21⁽¹¹⁾	$	145	$	145
Supervalu, Inc. 5.000%, 3/21/19		124		123

				678

Energy—0.7%
Aluma Systems, Inc. (Brand Energy & Infrastructure) Tranche 1, 6.250%, 10/23/18		31		31
Brand Energy & Infrastructure Services, Inc. (FR Brand Acquisition Corp.)
Tranche B-1, First Lien, 6.250%, 10/23/18		128		129
Second Lien, 11.000%, 10/23/19		105		108
FTS International, Inc. (Frac Tech International LLC) 8.500%, 5/6/16		220		213
SES International Holdings Ltd. (Saxon) 0.000%, 2/15/19⁽¹¹⁾		179		179

				660

Financials—0.8%
Altisource Portfolio Solutions S.A.R.L Tranche B, 5.750%, 11/27/19		121		121
Capital Automotive LP 0.000%, 4/30/20⁽¹¹⁾		24		24
iStar Financial, Inc. 4.500%, 10/15/17		190		190
Nuveen Investments, Inc. Tranche B, Second Lien 6.500%, 2/28/19		215		213
Walter Investment Management Corp. 0.000%, 11/28/17⁽¹¹⁾		229		231

				779

Health Care—1.0%
Ardent Medical Services, Inc.
0.000%, 7/2/18⁽¹¹⁾		69		69
0.000%, 1/2/19⁽¹¹⁾		79		80
INC Research, LLC 6.000%, 7/12/18		78		78
InVentiv Health, Inc. (Ventive Health, Inc.) 7.500%, 8/4/16		110		108
MMM Holdings, Inc. 9.750%, 12/12/17		68		69
MSO of Puerto Rico, Inc. 9.750%, 12/12/17		49		50
Pharmaceutical Research Associates, Inc. First Lien, 6.500%, 12/10/17		208		210
Rural/Metro Operating Co. LLC 0.000%, 6/30/18⁽¹¹⁾		105		102
Surgery Center Holdings, Inc. First Lien 6.000%, 4/11/19		113		113


	PAR VALUE		VALUE
Health Care—(continued)
United Surgical Partners International, Inc. Tranche B, 4.750%, 4/3/19	$	80	$	80

				959

Industrials—2.1%
Alliance Laundry Systems LLC
First Lien, 4.500%, 12/10/18		314		316
Second Lien, 9.500%, 12/10/19		25		25
American Airlines, Inc. 0.000%, 6/21/19⁽¹¹⁾		191		191
AWAS Finance Luxemborg S.A. 3.500%, 7/16/18		78		79
Ceridian Corp. Extended, 5.942%, 5/9/17		215		216
CHG Buyer Corp. Second Lien, 9.000%, 11/19/20		64		65
Commercial Barge Line Co. 0.000%, 9/22/19⁽¹¹⁾		264		261
Doncasters Group Ltd. (Doncasters US LLC) Tranche B, 5.500%, 4/9/20		196		196
Hawker Beechcraft Acquisition Company LLC 5.750%, 2/14/20		215		215
McJunkin Red Man Corp. 6.000%, 11/8/19		156		157
Navistar, Inc. Tranche B, 5.750%, 8/17/17		149		150
SESAC Holding Co. II LLC First Lien, 6.000%, 2/7/19		97		97

				1,968

Information Technology—2.1%
Alcatel-Lucent U.S.A., Inc.
6.250%, 8/1/16		16		16
7.250%, 1/30/19		226		228
Allflex Holdings III, Inc. 0.000%, 6/7/21⁽¹¹⁾		109		110
Blue Coat Systems, Inc.
4.500%, 5/31/19		273		272
0.000%, 6/26/20⁽¹¹⁾		138		138
CCC Holdings, Inc. 4.000%, 12/20/19		91		90
IPC Systems, Inc. Tranche C, First Lien, 7.750%, 7/31/17		164		158
Ipreo Holdings LLC
Tranche B-3, 6.500%, 8/7/17		43		44
Tranche B-2, 6.500%, 8/7/17		159		161
Kronos, Inc.
First Lien, 4.500%, 10/30/19		39		39
Second Lien, 9.750%, 4/30/20		110		114
Riverbed Technology, Inc. 4.000%, 12/18/19		62		62
RP Crown Parent LLC First Lien 6.750%, 12/21/18		153		154


	PAR VALUE			VALUE
Information Technology—(continued)
SCS Holdings I, Inc. (Sirius Computer Solutions, Inc.) 7.000%, 12/7/18	$	105		$	105
Sorenson Communications, Inc. 0.000%, 10/31/14⁽¹¹⁾		160			160
Spansion LLC 5.250%, 12/13/18		68			69
Wall Street Systems Holdings, Inc. Second Lien, 9.250%, 10/25/20		110			111

					2,031

Materials—0.9%
Ameriforge Group, Inc.
First Lien, 5.000%, 12/19/19		50			50
Second Lien, 8.750%, 12/21/20		40			41
Fortescue Metals Group Ltd. 5.250%, 10/18/17		283			282
Houghton International, Inc. Holding Corp.
First Lien, 4.000%, 12/20/19		219			218
Second Lien, 9.500%, 12/21/20		110			113
Noranda Aluminum Acquisition Corp. Tranche B, 5.750%, 2/28/19		153			150
Tronox Pigments B.V. 4.500%, 3/19/20⁽¹¹⁾		57			57

					911

Telecommunication Services—0.2%
Integra Telecom Holdings, Inc. Tranche B, 5.250%, 2/22/19		161			161

TOTAL LOAN AGREEMENTS (Identified Cost $9,418)					9,458


	SHARES			VALUE
PREFERRED STOCK—2.5%
Financials—2.5%
Bank of America Corp. Series U, 5.20%⁽³⁾		150,000	⁽¹⁵⁾		142
Citigroup Capital XIII 7.875%,⁽³⁾		16,200			451
Fifth Third Bancorp 5.10%⁽³⁾		285,000	⁽¹⁵⁾		270
General Electric Capital Corp. Series C, 5.25%⁽³⁾		300,000	⁽¹⁵⁾		287
JPMorgan Chase & Co. Series 1 7.90%⁽³⁾		280,000	⁽¹⁵⁾		316
JPMorgan Chase & Co. Series Q 5.15%⁽³⁾		255,000	⁽¹⁵⁾		244
PNC Financial Services Group, Inc. (The) Series R 9.875%⁽³⁾		215,000	⁽¹⁵⁾		200
Wells Fargo & Co. Series K, 7.98%⁽³⁾		230,000	⁽¹⁵⁾		260
Zions Bancorp, Series C, ADR 9.500%		10,190			259

TOTAL PREFERRED STOCK (Identified Cost $2,424)					2,429


	SHARES		VALUE
TOTAL LONG TERM INVESTMENTS—99.0% (Identified cost $95,743)			$	94,513	⁽¹⁴⁾

SHORT-TERM INVESTMENTS—0.4%
Money Market Mutual Funds—0.4%
Fidelity Money Market Portfolio - Institutional Shares (Seven-day effective yield 0.012%)		377,597		378

TOTAL SHORT-TERM INVESTMENTS (Identified Cost $378)				378

TOTAL INVESTMENTS—99.4% (Identified Cost $96,121)				94,891	⁽¹⁾
Other assets and liabilities, net—0.6%				532

NET ASSETS—100.0%			$	95,423

Abbreviations:


ADR		American Depositary Receipt
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 June 30, 2013, see Note 3 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 June 30, 2013.

⁽⁴⁾	Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2013, these securities amounted to a value of $29,062 or 30.5% 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⁾	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.

⁽⁷⁾	Illiquid security.

⁽⁸⁾	No contractual maturity date

⁽⁹⁾	Interest payments may be deferred.

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

⁽¹¹⁾	This loan will settle after June 30, 2013, at which time the interest rate, based on the London Interbank Offered Rate (“LIBOR”) and the agreed upon spread on trade date, will be reflected.

⁽¹²⁾	Amounts are less than $500 (not reported in 000s).

⁽¹³⁾	Principal amount is adjusted pursuant to the change in the Index.

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

⁽¹⁵⁾	Value shown as par value

Foreign Currencies (reported in thousands):

AUD	Australian Dollar

BRL	Brazilian Real

CAD	Canadian Dollar

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2013 (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⁾—95.3%
Development Revenue—6.6%
Hercules Redevelopment Agency, Tax-Allocation (AMBAC Insured) 5.000%, 8/1/29	$	500	$	333
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		1,000
Tax Allocation Series A (AMBAC Insured) 4.750%, 9/1/30		500		486
Santa Clara Redevelopment Agency, Bayshore North Project (NATL Insured) 5.000%, 6/1/22		1,000		1,011

				3,331

General Obligation—19.4%
Brea Olinda Unified School District, Series A (NATL, FGIC Insured) 6.000%, 8/1/15		150		165
Contra Costa Community College District, 4.000%, 8/1/28		245		248
Gilroy Unified School District, (NATL, FGIC Insured) 5.000%, 8/1/13		500		502
Los Angeles Unified School District, 2002 Election Series C (AGM Insured) 5.000%, 7/1/24		500		550
Series A-1 (NATL Insured) 4.500%, 1/1/28		750		779
Norwalk - La Mirada Unified School District, 2002 Election Series D (AGM Insured) 0.000%, 8/1/33		1,475		522
Placer Union High School District, (AGM Insured) 0.000%, 8/1/32		1,500		545
Rancho Santiago Community College District, 2002 Election Series C (AGM Insured) 0.000%, 9/1/27		1,200		615
Riverside Unified School District, Series C (AGM Insured) 5.000%, 8/1/32		375		406
Ross Valley School District, 2010 Election Series B 5.000%, 8/1/37		500		539
San Diego Unified School District, 1998 Election, Series C2 (AGM Insured) 5.500%, 7/1/25		225		271
San Rafael City High School District, 2002 Election Series B (NATL, FGIC Insured) 0.000%, 8/1/26		1,000		544


	PAR VALUE		VALUE
General Obligation—(continued)
Sequoia Union High School District, 4.000%, 7/1/26	$	250	$	260
State of California, 5.500%, 3/1/26		500		562
5.000%, 2/1/27		290		329
5.000%, 6/1/32		675		715
5.000%, 9/1/32		300		316
5.000%, 11/1/32		250		258
4.500%, 10/1/36		605		608
(AMBAC-BHAC Insured) 4.500%, 10/1/36		300		307
5.000%, 12/1/37		275		283
6.000%, 4/1/38		250		284
5.000%, 2/1/43		250		259

				9,867

General Revenue—18.2%
Anaheim Public Financing Authority, Series C (AGM Insured) 6.000%, 9/1/16		1,600		1,767
City of Pomona, Certificates of Participation, (AMBAC Insured) 5.500%, 6/1/28		1,000		1,013
Golden State Tobacco Securitization Corp., Series A-1 5.125%, 6/1/47		1,250		961
Los Angeles County Public Works Financing Authority, Series A (AGM Insured) 5.500%, 10/1/18		235		261
North City West School Facilities Financing Authority, Series B (AMBAC Insured) 5.250%, 9/1/19		1,000		1,142
Sacramento Area Flood Control Agency, (BHAC Insured) 5.500%, 10/1/28		350		387
5.000%, 10/1/37		750		790
South Bay Regional Public Communications Authority, Series B (ACA Insured) 4.750%, 1/1/31		535		478
State of California Public Works Board, L Judicial Council Projects-Series A 5.000%, 3/1/29		115		121
Department of General Services, Series A 6.125%, 4/1/29		500		582
Various Capital Projects, Series G-1 5.750%, 10/1/30		550		615
Department of Forestry & Fire Protection, Series E 5.000%, 11/1/32		500		524


	PAR VALUE		VALUE
General Revenue—(continued)
Judicial Council Projects, Series A 5.000%, 3/1/38	$	300	$	306
Ventura County Public Financing Authority, Series A 5.000%, 11/1/25		250		279

				9,226

Higher Education Revenue—4.5%
California Educational Facilities Authority, University of Southern California, Series A 5.000%, 10/1/23		250		299
Pomona College, Series A 5.000%, 7/1/45		500		525
California State University, Series A (NATL, FGIC Insured) 5.250%, 11/1/38		635		676
University of California, Series D (NATL, FGIC Insured) 5.000%, 5/15/28		710		767

				2,267

Medical Revenue—6.9%
California Health Facilities Financing Authority, Stanford Hospital and Clinics, Series A 5.000%, 11/15/13		125		127
Cedars-Sinai Medical Center, 5.000%, 11/15/34		500		520
Providence Health & Services, Series C 6.500%, 10/1/38		295		339
Kaiser Permanente, Series A 5.250%, 4/1/39		500		507
California Statewide Communities Development Authority, Sutter Health, Series B, (AMBAC Insured) 5.000%, 11/15/38		205		213
St. Joseph Health System, (FGIC Insured) 5.750%, 7/1/47		500		542
Golden State Tobacco Securitization Corp., Enhanced Asset, Series A 5.000%, 6/1/29		500		514
San Benito Health Care District, (CA MTG Insured) 4.000%, 3/1/18		140		152
University of California, Regents Medical, Series A 4.750%, 5/15/31		550		573

				3,487

Natural Gas Revenue—2.0%
Roseville Natural Gas Financing Authority, 5.000%, 2/15/24		750		791
Series A 5.000%, 2/15/27		195		204

				995


	PAR VALUE		VALUE
Power Revenue—3.9%
Imperial Irrigation District, Series B 5.000%, 11/1/36	$	300	$	312
Northern California Power Agency, 5.000%, 7/1/32		200		212
Sacramento Municipal Utilities District, Financing Authority, (NATL Insured) 4.750%, 7/1/26		500		524
Series X 5.000%, 8/15/26		350		390
Southern California Public Power Authority, Windy Flats Project, Series 1, 5.000%, 7/1/28		500		549

				1,987

Pre-Refunded—16.2%
California Health Facilities Financing Authority, Providence Health & Services, Series C (Pre- refunded 10/1/18 @100) 6.500%, 10/1/18		5		6
California Infrastructure & Economic Development Bank, Bay Area Toll Bridges (Pre-refunded 7/1/26 @100) (AMBAC Insured) 5.125%, 7/1/37		755		927
City of Stockton, O’Connors Woods Project Series A (Pre-refunded 9/20/17 @ 100) (GNMA Collateralized) 5.600%, 3/20/28		175		176
Contra Costa County Home Mortgage, (Pre- refunded 10/1/23 @100) (GNMA Collateralized) 7.500%, 5/1/14⁽³⁾⁽⁴⁾		550		583
Grossmont-Cuyamaca Community College District, Election of 2002 Series A (Pre-refunded 8/1/13 @100) (NATL Insured) 5.000%, 8/1/13		210		211
Metropolitan Water District of Southern California, Series A, (Pre-refunded 4/1/22 @100) 5.000%, 10/1/33		330		362
Series B-1 (Pre-refunded 10/1/13 @100) (NATL, FGIC Insured) 5.000%, 10/1/36		140		142
Northern California Power Agency, Series A (Pre- refunded 7/1/21 @ 100) (AMBAC Insured) 7.500%, 7/1/23		195		257
Riverside County Single Family, Series A (GNMA Collateralized) 7.800%, 5/1/21⁽³⁾		4,000		5,550

				8,214

Transportation Revenue—8.4%
Bay Area Toll Authority,
Series F-1 5.000%, 4/1/34		500		524
Series F-1 5.125%, 4/1/39		580		606


	PAR VALUE		VALUE
Transportation Revenue—(continued)
City of Long Beach Airport, Series A 5.000%, 6/1/30	$	200	$	207
City of Los Angeles, International Airport, Series A 5.000%, 5/15/40		510		519
Contra Costa Transportation Authority, Series B 5.000%, 3/1/29		320		356
Imperial County Transportation Authority, Series E 4.000%, 6/1/20		500		531
San Diego County Regional Airport Authority,
Series A 5.000%, 7/1/23		200		234
Series B 5.000%, 7/1/40		500		511
Subordinate Series A 5.000%, 7/1/40		250		256
San Francisco Municipal Transporation Agency, Subordinate Series A 5.000%, 3/1/42		500		521

				4,265

Water & Sewer Revenue—9.2%
Alameda County Water District Financing Authority, 3.500%, 6/1/41		375		301
California State Department of Water Resources, Central Valley Projects, Series AE 5.000%, 12/1/28		35		39
City of Manteca Water Revenue Refinance, 5.000%, 7/1/27		380		422
City of San Francisco Public Utilities Commission Water Revenue,
Series C 4.000%, 11/1/32		250		242
Series A 4.500%, 11/1/35		225		227
City of Santa Rosa Wastewater Revenue, Series A 5.000%, 9/1/33		500		530
Contra Costa Water District, Series R 5.000%, 10/1/43		400		422
Delta Diablo Sanitation District, Certificates of Participation, Wastewater Facilities Project (NATL Insured) 0.000%, 12/1/16		1,070		1,017
East Bay Municipal Utility District, Subordinate Series A, (NATL Insured) 5.000%, 6/1/35		500		524
Sacramento Suburban Water District, Series A 5.000%, 11/1/25		250		282


	PAR VALUE		VALUE
Water & Sewer Revenue—(continued)
Santa Margarita-Dana Point Authority, Water Districts Improvements, Districts 2,3,4, Series A 5.125%, 8/1/38	$	630	$	669

				4,675

TOTAL MUNICIPAL TAX-EXEMPT BONDS (Identified Cost $46,657)				48,314

TOTAL LONG TERM INVESTMENTS—95.3% (Identified cost $46,657)				48,314	⁽⁵⁾

TOTAL INVESTMENTS—95.3% (Identified Cost $46,657)				48,314	⁽¹⁾
Other assets and liabilities, net—4.7%				2,402

NET ASSETS—100.0%			$	50,716

Abbrevations


ACA		American Capital Access Financial Guarantee 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

Footnote Legend

⁽¹⁾	Federal Income Tax Information: For tax information at June 30, 2013, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾

At June 30, 2013, the concentration of the Fund’s investments by state or territory determined as a percentage of net assets is as follows: California 100%. At June 30, 2013, 52.2% 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 14.5%, GNMA 12.6% and AMBAC 11.2%.

⁽³⁾	Escrowed to maturity.

⁽⁴⁾	When-issued security.

⁽⁵⁾	A portion of the Fund’s assets have been segregated for when issued security.

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2013 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

There are no Level 1 (Quoted Prices) or Level 3 (significant unobservable inputs) priced securities.


	SHARES		VALUE
EXCHANGE-TRADED FUNDS—100.2%
iShares Russell 1000^® Growth Index Fund		5,970	$	434
iShares Russell 2000^® Growth Index Fund		4,040		451
iShares Russell Midcap^® Growth Index Fund		6,110		438

TOTAL EXCHANGE-TRADED FUNDS (Identified Cost $1,280)				1,323

TOTAL LONG TERM INVESTMENTS—100.2% (Identified cost $1,280)				1,323

SHORT-TERM INVESTMENTS—0.7%
Money Market Mutual Funds—0.7%
Fidelity Money Market Portfolio - Institutional Shares (Seven-day effective yield 0.012%)		9,189		9

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

TOTAL INVESTMENTS—100.9% (Identified Cost $1,289)				1,332	⁽¹⁾
Other assets and liabilities, net—(0.9)%				(12	)

NET ASSETS—100.0%			$	1,320

Abbreviations:

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at June 30, 2013, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2013 (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—99.1%
iShares Barclays 7-10 Year Treasury Bond Fund		1,650	$	169
iShares Barclays Treasury Inflation Protected Securities Bond Fund		4,500		504
iShares Lehman 1-3 Year Treasury Bond Fund		2,040		172
iShares Lehman 20+ Year Treasury Bond Fund		1,530		169

TOTAL EXCHANGE-TRADED FUNDS (Identified Cost $1,045)				1,014

TOTAL LONG TERM INVESTMENTS—99.1% (Identified cost $1,045)				1,014

SHORT-TERM INVESTMENTS—0.8%
Money Market Mutual Funds—0.8%
Fidelity Money Market Portfolio - Institutional Shares (Seven-day effective yield 0.012%)		8,211		8

TOTAL SHORT-TERM INVESTMENTS (Identified Cost $8)				8

TOTAL INVESTMENTS—99.9% (Identified Cost $1,053)				1,022	⁽¹⁾
Other assets and liabilities, net—0.1%				1

NET ASSETS—100.0%			$	1,023

Abbreviations:

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at June 30, 2013, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2013 (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—98.6%
iShares MSCI France Index Fund		4,560	$	106
iShares MSCI Germany Index Fund		6,060		150
iShares MSCI Japan Index Fund		21,280		239
iShares MSCI Netherlands Investable Market Index Fund		1,300		27
iShares MSCI Singapore Index Fund		4,330		55
iShares MSCI Sweden Index Fund		1,240		37
iShares MSCI Switzerland Index Fund		5,520		158
iShares MSCI United Kingdom Index Fund		16,960		299

TOTAL EXCHANGE-TRADED FUNDS (Identified Cost $1,040)				1,071

TOTAL LONG TERM INVESTMENTS—98.6% (Identified cost $1,040)				1,071

SHORT-TERM INVESTMENTS—0.9%
Money Market Mutual Funds—0.9%
Fidelity Money Market Portfolio - Institutional Shares (Seven-day effective yield 0.012%)		9,605		10

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

TOTAL INVESTMENTS—99.5% (Identified Cost $1,050)				1,081	⁽¹⁾
Other assets and liabilities, net—0.5%				5

NET ASSETS—100.0%			$	1,086

Abbreviations:

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at June 30, 2013, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2013 (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—124.7%
Consumer Discretionary Select Sector SPDR Fund		3,129,300	$	176,493
Consumer Staples Select Sector SPDR Fund		4,409,100		174,909
Energy Select Sector SPDR Fund		2,218,200		173,818
Financial Select Sector SPDR Fund		9,019,200		175,784
Health Care Select Sector SPDR Fund		3,670,500		174,753
Industrial Select Sector SPDR Fund		4,070,700		173,290
Materials Select Sector SPDR Fund		4,448,000		170,536
Utilities Select Sector SPDR Fund		4,746,800		178,622

TOTAL EXCHANGE-TRADED FUNDS (Identified Cost $1,319,939)				1,398,205

TOTAL LONG TERM INVESTMENTS—124.7% (Identified cost $1,319,939)				1,398,205	⁽²⁾

SHORT-TERM INVESTMENTS—0.2%
Money Market Mutual Funds—0.2%
Fidelity Money Market Portfolio - Institutional Shares (Seven-day effective yield 0.012%)		2,308,374		2,308

TOTAL SHORT-TERM INVESTMENTS (Identified Cost $2,308)				2,308

TOTAL INVESTMENTS—124.9% (Identified Cost $1,322,247)				1,400,513	⁽¹⁾
SECURITIES SOLD SHORT—(5.5)% (Proceeds ($61,378))				(61,416	)
Other assets and liabilities, net—(19.4)%				(217,932	)

NET ASSETS—100.0%			$	1,121,165

SECURITIES SOLD SHORT—5.5%
EXCHANGE-TRADED FUNDS SOLD SHORT—(5.5)%
Technology Select Sector SPDR Fund		2,007,700		(61,416	)

TOTAL EXCHANGE-TRADED FUNDS SOLD SHORT—(5.5)% (Proceeds ($61,378))				(61,416	)

TOTAL SECURITIES SOLD SHORT—(5.5)% (Proceeds ($61,378))				(61,416	)⁽¹⁾

Abbreviations:


SPDR		S&P Depositary Receipt

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at June 30, 2013, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	A portion of the Fund’s assets have been segregated as collateral for margin borrowing.

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2013 (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—26.0%
Argentine Republic
7.000%, 10/3/15	$	45		$	39
PIK Interest Capitalization 8.280%, 12/31/33		215			122
Bolivarian Republic of Venezuela
RegS 5.750%, 2/26/16⁽⁴⁾		480			431
RegS 7.000%, 12/1/18⁽⁴⁾		70			59
RegS 12.750%, 8/23/22⁽⁴⁾		30			31
7.650%, 4/21/25		775			581
9.375%, 1/13/34		325			267
Dominican Republic 144A 5.875%, 4/18/24⁽³⁾		100			97
Federative Republic of Brazil 10.250%, 1/10/28		250	^BRL		115
Hellenic Republic
2.000%, 2/24/23⁽²⁾		40	^EUR		28
2.000%, 2/24/27⁽²⁾		235	^EUR		140
Honduras Republic 7.500%, 3/15/24		200			173
Hungary
6.375%, 3/29/21		110			115
5.375%, 2/21/23		76			73
Kingdom of Morocco 144A 4.250%, 12/11/22⁽³⁾		200			176
Mongolia 144A 5.125%, 12/5/22⁽³⁾		200			178
Republic of Angola (Northern Lights III BV) RegS 7.000%, 8/16/19⁽⁴⁾⁽⁵⁾		250			258
Republic of Belarus 8.950%, 1/26/18		100			100
Republic of Cote d’ Ivoire 144A 5.750%, 12/31/32⁽²⁾⁽³⁾		100			83
Republic of Croatia 144A 6.375%, 3/24/21⁽³⁾		300			314
Republic of Ecuador 144A 9.375%, 12/15/15⁽³⁾		100			104
Republic of El Salvador 144A 7.650%, 6/15/35⁽³⁾		70			69
Republic of Guatemala 144A 4.875%, 2/13/28⁽³⁾		200			183
Republic of Indonesia
Series FR-30, 10.750%, 5/15/16		910,000	^IDR		102
Series FR63, 5.625%, 5/15/23		624,000	^IDR		56
Republic of Peru 144A 6.900%, 8/12/37⁽³⁾		400	^PEN		148
Republic of Philippines 4.950%, 1/15/21		5,000	^PHP		119
Republic of Poland 5.750%, 10/25/21		300	^PLZ		100
Republic of Portugal Treasury Obligation 4.950%, 10/25/23		45	^EUR		53
Republic of Serbia 144A 6.750%, 11/1/24⁽²⁾⁽³⁾		79			79
Republic of South Africa Series R208, 6.750%, 3/31/21		1,470	^ZAR		143
Republic of Sri Lanka 144A 5.875%, 7/25/22⁽³⁾		200			191
Republic of Turkey


	PAR VALUE			VALUE
9.000%, 3/8/17	$	310	^TRY	$	166
5.125%, 3/25/22		200			205
6.750%, 5/30/40		225			249
Republic of Uruguay 4.375%, 12/15/28⁽⁸⁾		4,756	^UYU		270
Republic of Zambia 144A 5.375%, 9/20/22⁽³⁾		200			179
Romania 144A 6.750%, 2/7/22⁽³⁾		150			168
Russian Federation
144A 7.850%, 3/10/18⁽³⁾		5,000	^RUB		159
Series 6207 8.150%, 2/3/27		3,610	^RUB		113
144A 5.625%, 4/4/42⁽³⁾		250			259
Ukraine
144A 7.950%, 6/4/14⁽³⁾		200			199
144A 6.580%, 11/21/16⁽³⁾		200			186
144A 7.750%, 9/23/20⁽³⁾		325			298
144A 7.500%, 4/17/23⁽³⁾		200			176
United Mexican States
Series M, 6.000%, 6/18/15		3,855	^MXN		306
Series M, 6.500%, 6/9/22		2,250	^MXN		182

TOTAL FOREIGN GOVERNMENT SECURITIES (Identified Cost $8,545)					7,842

CORPORATE BONDS—71.2%
Austria—0.7%
Sappi Papier Holding GmbH 144A 8.375%, 6/15/19⁽³⁾		200			212

Bermuda—1.7%
Aircastle Ltd. 6.250%, 12/1/19		100			104
Digicel Group Ltd. 144A 8.250%, 9/30/20⁽³⁾		200			208
GeoPark Latin America Ltd. (Agencia en Chile) 144A 7.500%, 2/11/20⁽³⁾		200			207

					519

Brazil—5.8%
Banco ABC Brasil SA 144A 7.875%, 4/8/20⁽³⁾		100			105
Banco do Brasil SA 144A 9.250%, 10/31/49^(2)(3)(6)(7)		200			218
Banco Santander Brasil SA 144A 8.000%, 3/18/16⁽³⁾		300	^BRL		124
Banco Votorantim SA 144A 7.375%, 1/21/20⁽³⁾		125			132
BRF SA 144A 7.750%, 5/22/18⁽³⁾		400	^BRL		155
Centrais Eletricas Brasileiras SA 144A 6.875%, 7/30/19⁽³⁾		100			105
Embraer SA 5.150%, 6/15/22		100			100
Gerdau Holdings, Inc. 144A 7.000%, 1/20/20⁽³⁾		125			132


	PAR VALUE			VALUE
Brazil—(continued)
Itau Unibanco Holding SA RegS 5.650%, 3/19/22⁽⁴⁾	$	250		$	242
OGX Austria GmbH 144A 8.375%, 4/1/22⁽³⁾		225			68
QGOG Constellation S.A. 144A 6.250%, 11/9/19⁽³⁾		200			196
Vale SA 5.625%, 9/11/42		200			175

					1,752

Canada—0.5%
Eldorado Gold Corp. 144A 6.125%, 12/15/20⁽³⁾		45			44
Pacific Rubiales Energy Corp. 144A 5.125%, 3/28/23⁽³⁾		100			95

					139

Cayman Islands—6.3%
Braskem Finance Ltd. 144A 5.375%, 5/2/22⁽³⁾		200			191
Country Garden Holdings Co., Ltd. 144A 7.500%, 1/10/23⁽³⁾		200			184
Hutchison Whampoa International Ltd. Series 12 144A 6.000%, 5/29/49^(2)(3)(6)(7)		325			337
IPIC GMTN Ltd. 144A 6.875%, 11/1/41⁽³⁾		250			294
Kaisa Group Holdings Ltd. 144A 8.875%, 3/19/18⁽³⁾		200			192
MIE Holdings Corp. 144A 9.750%, 5/12/16⁽³⁾		200			208
Petrobras International Finance Co. 6.750%, 1/27/41		300			300
Voto-Votorantim Ltd. 144A 6.750%, 4/5/21⁽³⁾		175			186

					1,892

Chile—3.8%
Automotores Gildemeister SA 144A 6.750%, 1/15/23⁽³⁾		150			128
Banco Santander Chile 144A 3.875%, 9/20/22⁽³⁾		200			186
Cencosud SA 144A 4.875%, 1/20/23⁽³⁾		200			196
CorpGroup Banking SA 144A 6.750%, 3/15/23⁽³⁾		250			253
Inversiones CMPC SA 144A 4.375%, 5/15/23⁽³⁾		200			191
SACI Falabella 144A 6.500%, 4/30/23⁽³⁾		100,000	^CLP		187

					1,141

China—0.6%
China Railway Resources Huitung Ltd. 3.850%, 2/5/23		200			179

Colombia—1.4%
Bancolombia SA 5.125%, 9/11/22		250			238


	PAR VALUE			VALUE
Colombia—(continued)
Colombia Telecomunicaciones SA ESP 144A 5.375%, 9/27/22⁽³⁾	$	200		$	190

					428

Georgia—0.7%
Bank of Georgia JSC 144A 7.750%, 7/5/17⁽³⁾		200			204

Greece—0.3%
Hellenic Railways 5.460%, 1/30/14		75	^EUR		92

Hong Kong—0.7%
Bank of China Hong Kong Ltd. 144A 5.550%, 2/11/20⁽³⁾		200			209

India—1.6%
Bank of India 144A 3.625%, 9/21/18⁽³⁾		200			188
ICICI Bank Ltd. 144A 6.375%, 4/30/22⁽²⁾⁽³⁾		300			288

					476

Indonesia—3.0%
Gajah Tunggal TBK PT 144A 7.750%, 2/6/18⁽³⁾		200			200
Pertamina Persero PT
144A 5.250%, 5/23/21⁽³⁾		200			199
144A 6.000%, 5/3/42⁽³⁾		275			258
Perusahaan Listrik Negara PT 144A 5.500%, 11/22/21⁽³⁾		250			246

					903

Ireland—4.8%
Alfa Bank OJSC (Alfa Bond Issuance plc) 144A 7.500%, 9/26/19⁽³⁾⁽⁵⁾		200			205
Ardagh Packaging Finance plc 144A 7.000%, 11/15/20⁽³⁾		200			193
EuroChem Mineral & Chemical Co. OJSC (EuroChem GI Ltd.) 144A 5.125%, 12/12/17⁽³⁾⁽⁵⁾		200			197
Metalloinvest Finance Ltd. 144A 5.625%, 4/17/20⁽³⁾		200			184
Nomos Bank Via Nomos Capital plc 144A 7.250%, 4/25/18⁽³⁾⁽⁵⁾		200			198
Novatek OAO (Novatek Finance Ltd.) 144A 4.422%, 12/13/22⁽³⁾⁽⁵⁾		200			184
Vimpel Communications OJSC (VIP Finance Ireland Ltd.) 144A 9.125%, 4/30/18⁽³⁾		250			286

					1,447


	PAR VALUE			VALUE
Israel—1.4%
Israel Electric Corp. Ltd.
144A 5.625%, 6/21/18⁽³⁾	$	200		$	206
RegS 7.250%, 1/15/19⁽⁴⁾		200			213

					419

Kazakhstan—3.5%
Development Bank of Kazakhstan JSC 144A 4.125%, 12/10/22⁽³⁾		200			178
Eurasian Development Bank 144A 4.767%, 9/20/22⁽³⁾		200			189
Kazakhstan Temir Zholy Finance BV 144A 6.950%, 7/10/42⁽³⁾		200			203
Kazkommerts Bank International BV 144A 7.875%, 4/7/14⁽³⁾		100			101
KazMunayGas National Co. JSC 144A 5.750%, 4/30/43⁽³⁾		200			177
Zhaikmunai LP 144A 7.125%, 11/13/19⁽³⁾		200			201

					1,049

Luxembourg—5.5%
ALROSA Finance SA 144A 7.750%, 11/3/20⁽³⁾		200			215
Altice Financing SA 144A 7.875%, 12/15/19⁽³⁾		200			210
Cosan Luxembourg SA 144A 5.000%, 3/14/23⁽³⁾		200			191
Gazprom Neft OAO (GPN Capital SA) 144A 4.375%, 9/19/22⁽³⁾⁽⁵⁾		200			183
Sberbank of Russia (Sberbank CapItal SA) 144A 5.125%, 10/29/22⁽³⁾⁽⁵⁾		400			375
Severstal OAO (Steel Capital SA) 144A 6.700%, 10/25/17⁽³⁾⁽⁵⁾		100			103
TMK OAO (TMK Capital SA) 144A 6.750%, 4/3/20⁽³⁾⁽⁵⁾		200			186
Wind Acquisition Finance S.A. 144A 7.250%, 2/15/18⁽³⁾		200			202

					1,665

Mexico—4.8%
Alpek SA de CV 144A 4.500%, 11/20/22⁽³⁾		200			193
America Movil SAB de CV Series 12 6.450%, 12/5/22		2,000	^MXN		149
Axtel SAB de CV 144A 7.000%, 1/31/20⁽³⁾		60			56
Banco Bilbao Vizcaya Argentaria Bancomer SA 144A 6.750%, 9/30/22⁽³⁾		150			162
Cemex SAB de CV 144A 5.875%, 3/25/19⁽³⁾		200			194
Grupo Televisa SAB 7.250%, 5/14/43		2,000	^MXN		131


	PAR VALUE			VALUE
Mexico—(continued)
Mexichem SAB de CV 144A 4.875%, 9/19/22⁽³⁾	$	200		$	201
Petroleos Mexicanos 144A 5.500%, 6/27/44⁽³⁾		200			180
Tenedora Nemak SA de CV 144A 5.500%, 2/28/23⁽³⁾		200			190

					1,456

Netherlands—1.5%
Bharti Airtel International Netherlands BV 144A 5.125%, 3/11/23⁽³⁾		200			183
Lukoil International Finance BV 144A 4.563%, 4/24/23⁽³⁾		200			186
Petrobras Global Finance BV 4.375%, 5/20/23		100			91

					460

Panama—1.1%
AES El Salvador Trust II 144A 6.750%, 3/28/23⁽³⁾		200			195
Banco Latinoamericano de Comercio Exterior SA 144A 3.750%, 4/4/17⁽³⁾		150			152

					347

Peru—2.6%
Banco Bilbao Vizcaya Argentaria S.A. Banco Continental SA 144A 5.000%, 8/26/22⁽³⁾		125			122
Banco de Credito del Peru 144A 5.375%, 9/16/20⁽³⁾		200			204
Banco Internacional del Peru SAA 144A 5.750%, 10/7/20⁽³⁾		100			102
Transportadora de Gas del Peru SA 144A 4.250%, 4/30/28⁽³⁾		200			177
Volcan Compania Minera SAA 144A 5.375%, 2/2/22⁽³⁾		200			197

					802

Russia—1.8%
AHML Finance Ltd. 144A 7.750%, 2/13/18⁽³⁾		5,000	^RUB		149
Brunswick Rail Finance Ltd. 144A 6.500%, 11/1/17⁽³⁾		200			199
VTB Bank OJSC 144A 9.500%, 12/1/49^(2)(3)(5)		200			211

					559

Sri Lanka—0.7%
Bank of Ceylon 144A 6.875%, 5/3/17⁽³⁾		200			203

Sweden—0.6%
PKO Finance AB 144A 4.630%, 9/26/22⁽³⁾⁽⁵⁾		200			194


	PAR VALUE			VALUE
Thailand—0.6%
PTT Global Chemical plc 144A 4.250%, 9/19/22⁽³⁾	$	200		$	192

Trinidad and Tobago—0.3%
Petroleum Co. of Trinidad & Tobago Ltd. RegS 6.000%, 5/8/22⁽⁴⁾		75			79

Turkey—4.8%
Akbank TAS 144A 7.500%, 2/5/18⁽³⁾		300	^TRY		143
Arcelik AS 144A 5.000%, 4/3/23⁽³⁾		200			180
KOC Holding AS 144A 3.500%, 4/24/20⁽³⁾		200			173
Turkiye Is Bankasi AS 144A 6.000%, 10/24/22⁽³⁾		200			197
Turkiye Garanti Bankasi AS 144A 5.250%, 9/13/22⁽³⁾		200			187
Turkiye Sise Ve Cam Fabrikalari AS 144A 4.250%, 5/9/20⁽³⁾		200			183
Turkiye Vakiflar Bankasi Tao 144A 5.750%, 4/24/17⁽³⁾		200			207
Yapi ve Kredi Bankasi AS 144A 4.000%, 1/22/20⁽³⁾		200			180

					1,450

Ukraine—0.8%
DP World Ltd. 144A 6.850%, 7/2/37⁽³⁾		250			258

United Arab Emirates—1.0%
Abu Dhabi National Energy Co. 144A 5.875%, 12/13/21⁽³⁾		275			305

United Kingdom—1.1%
Lloyds TSB Bank plc 144A 6.500%, 9/14/20⁽³⁾		100			107
Vedanta Resources plc 144A 9.500%, 7/18/18⁽³⁾		200			219

					326

United States—2.9%
Chiquita Brands International, Inc. (Chiquita Brands LLC) 144A 7.875%, 2/1/21⁽³⁾		65			68
First Data Corp.
11.250%, 3/31/16		32			31
144A 10.625%, 6/15/21⁽³⁾		40			40
144A 11.750%, 8/15/21⁽³⁾		50			45
Igloo Holdings Corp. PIK Interest Capitalization, 144A 8.250%, 12/15/17⁽³⁾		30			31
Morgan Stanley 144A 10.090%, 5/3/17⁽³⁾		250	^BRL		111
Reliance Holdings USA, Inc. 144A 5.400%, 2/14/22⁽³⁾		250			254


	PAR VALUE			VALUE
United States—(continued)
Reynolds Group Issuer, Inc. (Reynolds Group Issuer LLC) 8.250%, 2/15/21	$	100		$	99
Sealed Air Corp. 144A 6.500%, 12/1/20⁽³⁾		25			27
Tronox Finance LLC 144A 6.375%, 8/15/20⁽³⁾		170			161

					867

Venezuela—3.9%
Corp Andina de Fomento 4.375%, 6/15/22		200			204
Petroleos de Venezuela SA RegS 8.500%, 11/2/17⁽⁴⁾		1,055			969

					1,173

Virgin Islands (British)—0.4%
Arcos Dorados Holdings, Inc. 144A 10.250%, 7/13/16⁽³⁾		275	^BRL		125

TOTAL CORPORATE BONDS (Identified Cost $22,845)					21,522

LOAN AGREEMENTS⁽²⁾—0.3%
Information Technology—0.3%
Alcatel-Lucent U.S.A., Inc. 7.250%, 1/30/19		100			100

TOTAL LOAN AGREEMENTS (Identified Cost $101)					100

TOTAL LONG TERM INVESTMENTS—97.5% (Identified cost $31,491)					29,464	⁽⁹⁾


	SHARES			VALUE
SHORT-TERM INVESTMENTS—0.4%
Money Market Mutual Funds—0.4%
Fidelity Money Market Portfolio - Institutional Shares (Seven-day effective yield 0.012%)		113,656			114

TOTAL SHORT-TERM INVESTMENTS (Identified Cost $114)					114

TOTAL INVESTMENTS—97.9% (Identified Cost $31,605)					29,578	⁽¹⁾
Other assets and liabilities, net—2.1%					628

NET ASSETS—100.0%				$	30,206

Abbreviations:

PIK	Payment-in-Kind Security

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at June 30, 2013, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Variable or step coupon security; interest rate shown reflects the rate in effect at June 30, 2013.

⁽³⁾	Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2013, these securities amounted to a value of $21,372 or 70.8% 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⁾	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.

⁽⁶⁾	No contractual maturity date

⁽⁷⁾	Interest payments may be deferred.

⁽⁸⁾	Principal amount is adjusted pursuant to the change in the Index.

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

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2013 (See Security Valuation Note 1A in the Notes to Schedules of Investments):


	SHARES		VALUE
PREFERRED STOCK—3.3%
Consumer Staples—2.1%
Companhia Brasileira de Distribuicao Grupo Pao de Acucar 2.420%		400	$	18
Companhia de Bebidas das Americas 2.290%		4,400		164

				182

Utilities—1.2%
Cia Energetica de Sao Paulo, Class B		4,700		41
Companhia Paranaense de Energia 1.490%, Class B		5,700		70

				111

TOTAL PREFERRED STOCK (Identified Cost $306)				293

COMMON STOCKS—80.9%
Consumer Discretionary—6.6%
Anta Sports Products Ltd. (China)		63,000		55
Arcelik AS (Turkey)		4,853		32
China Motor Corp. (Taiwan)		44,000		39
Dongfeng Motor Group Co., Ltd. Class H (China)		6,000		8
Giant Manufacturing Co., Ltd. (Taiwan)		2,000		14
Halla Visteon Climate Control Corp. (South Korea)		1,970		63
Kangwon Land, Inc. (South Korea)		2,530		70
Lojas Renner S.A. (Brazil)		2,300		66
MRV Engenharia e Participacoes S.A. (Brazil)		7,100		21
Naspers Ltd. (South Africa)		675		50
Parkson Holdings Bhd (Malaysia)		9,300		11
Truworths International Ltd. (South Africa)		3,610		32
UMW Holdings Bhd (Malaysia)		25,400		117

				578

Consumer Staples—5.5%
Indofood Sukses Makmur Tbk PT (Indonesia)		40,500		30
Kimberly-Clark de Mexico S.A.B. de C.V. Class A (Mexico)		15,200		50
KT&G Corp. (South Korea)		2,250		146
President Chain Store Corp. (Taiwan)		7,000		46
Souza Cruz S.A. (Brazil)		4,500		56
Spar Group Ltd. (The) (South Africa)		7,491		91
Tiger Brands Ltd. (South Africa)		185		5
Wal-Mart de Mexico S.A.B. de C.V. (Mexico)		21,800		61

				485


	SHARES		VALUE
Energy—8.9%
China Petroleum & Chemical Corp. Class H (China)		111,800	$	79
CNOOC Ltd. (China)		42,000		71
Ecopetrol S.A. (Colombia)		41,546		88
Lukoil OAO Sponsored ADR (Russia)		2,400		138
PTT PCL (Thailand)		3,500		38
Sasol Ltd. (South Africa)		2,990		131
Tambang Batubara Bukit Asam Persero Tbk PT (Indonesia)		33,500		45
Tatneft OAO (Russia)		2,203		80
Ultrapar Participacoes S.A. (Brazil)		4,900		117

				787

Financials—25.4%
ABSA Group Ltd. (South Africa)		3,927		59
African Bank Investments Ltd. (South Africa)		17,799		29
Alliance Financial Group Bhd (Malaysia)		43,700		73
AMMB Holdings Bhd (Malaysia)		37,600		87
Banco de Chile (Chile)		357,389		52
Banco do Brasil SA (Brazil)		600		6
Banco Santander Chile SA (Chile)		3,999,994		246
Bank of China Ltd. (China)		461,000		190
Bank of the Philippine Islands (Philippines)		19,080		42
BR Properties SA (Brazil)		2,600		22
China Construction Bank Corp. (China)		266,000		188
China Minsheng Banking Corp. Ltd. (China)		30,500		30
CIMB Group Holdings Bhd (Malaysia)		3,800		10
Compartamos SAB de C.V. (Mexico)		36,100		62
Dongbu Insurance Co., Ltd. (South Korea)		1,820		77
Farglory Land Development Co., Ltd. (Taiwan)		40,000		74
Grupo Financiero Inbursa Sab de CV (Mexico)		36,500		80
Guangzhou R&F Properties Co., Ltd. (China)		26,800		39
Highwealth Construction Corp. (Taiwan)		10,400		22
Hyundai Marine & Fire Insurance Co., Ltd. (South Korea)		3,510		93
Industrial & Commercial Bank of China Ltd. (China)		281,000		177
Industrial Bank of Korea (South Korea)		2,370		23
Komercni Banka A.S. (Czech Republic)		485		90
Nedbank Group Ltd. (South Africa)		401		7
Porto Seguro S.A. (Brazil)		2,400		26
Powszechna Kasa Oszczednosci Bank Polski S.A. (Poland)		8,882		95
Powszechny Zaklad Ubezpieczen S.A. (Poland)		590		73


	SHARES		VALUE
Financials—(continued)
Redefine Properties Ltd. (South Africa)		50,295	$	53
RMB Holdings Ltd. (South Africa)		2,085		8
Samsung Fire & Marine Insurance Co., Ltd. (South Korea)		187		38
Siam Commercial Bank PCL (Thailand)		16,000		85
Soho China Ltd. (Cayman Islands)		27,500		22
Standard Bank Group Ltd. (South Africa)		5,270		60

				2,238

Industrials—6.5%
Aboitiz Equity Ventures, Inc. (Philippines)		63,500		74
Alfa Sab de CV (Mexico)		11,100		27
Arteris SA (Brazil)		5,400		48
China Communications Construction Co., Ltd. (China)		25,000		19
Grupo Aeroportuario del Pacifico Sab de CV (Mexico)		6,400		32
Grupo Carso Sab de CV (Mexico)		8,800		42
Jiangsu Expressway Co., Ltd. (China)		60,000		62
Reunert Ltd. (South Africa)		6,992		49
S-1 Corp. (South Korea)		650		36
Samsung Engineering Co., Ltd. (South Korea)		437		28
Samsung Heavy Industries Co., Ltd. (South Korea)		1,710		54
Teco Electric and Machinery Co., Ltd. (Taiwan)		54,000		54
Zhejiang Expressway Co., Ltd. (China)		60,000		49

				574

Information Technology—10.6%
Asustek Computer, Inc. (Taiwan)		5,000		43
Catcher Technology Co., Ltd. (Taiwan)		18,000		94
Cielo S.A. (Brazil)		1,820		46
Kinsus Interconnect Technology Corp. (Taiwan)		9,000		34
Lite-On Technology Corp. (Taiwan)		29,000		51
MStar Semiconductor, Inc. (Taiwan)		7,000		50
Quanta Computer, Inc. (Taiwan)		42,000		91
Radiant Opto-Electronics Corp. (Taiwan)		36,000		118
Taiwan Semiconductor Manufacturing Co., Ltd. (Taiwan)		79,000		293
Transcend Information, Inc. (Taiwan)		33,000		102
Tripod Technology Corp. (Taiwan)		4,000		9

				931

Materials—9.0%
China Bluechemical Ltd. Class H (China)		70,000		43


	SHARES		VALUE
Materials—(continued)
Grupo Mexico S.A.B. de C.V. Series B (Mexico)		77,600	$	225
Industrias Penoles S.A.B de C.V. (Mexico)		3,275		98
Jiangxi Copper Co., Ltd. (China)		44,000		74
Kumba Iron Ore Ltd. (South Africa)		3,072		143
PTT Global Chemical PCL (Thailand)		47,300		105
Shougang Fushan Resources Group Ltd. (Hong Kong)		204,000		79
Uralkali OJSC Sponsored GDR (Russia)		664		22

				789

Telecommunication Services—6.6%
China Communications Services Corp. Ltd. (China)		88,000		55
China Mobile Ltd. (Hong Kong)		13,500		141
MTN Group Ltd. (South Africa)		5,678		106
SK Telecom Co., Ltd. (South Korea)		705		129
Telekomunikasi Indonesia Persero Tbk PT (Indonesia)		32,500		37
Tim Participacoes S.A. (Brazil)		6,800		25
Turk Telekomunikasyon AS (Turkey)		22,302		87

				580

Utilities—1.8%
CEZ AS (Czech Republic)		1,992		48
Guangdong Investments Ltd. (China)		40,000		35
Perusahaan Gas Negara Persero Tbk PT (Indonesia)		139,000		80

				163

TOTAL COMMON STOCKS (Identified Cost $7,142)				7,125

EXCHANGE-TRADED FUNDS—6.1%
iPath MSCI India Index ETN		10,030		537

TOTAL EXCHANGE-TRADED FUNDS (Identified Cost $526)				537

TOTAL LONG TERM INVESTMENTS—90.3% (Identified cost $7,974)				7,955

SHORT-TERM INVESTMENTS—7.9%
Money Market Mutual Funds—7.9%
Fidelity Money Market Portfolio - Institutional Shares (Seven-day effective yield 0.012%)		695,698		696

TOTAL SHORT-TERM INVESTMENTS (Identified Cost $696)				696

Abbreviations:


ADR		American Depositary Receipt
ETN		Exchange Traded Note

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at June 30, 2013, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2013 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

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


	SHARES		VALUE
PREFERRED STOCK—0.1%
Industrials—0.1%
Rolls-Royce Holdings plc Series C (United Kingdom)⁽³⁾		182,578,844	$	278

TOTAL PREFERRED STOCK (Identified Cost $279)				278

COMMON STOCKS—94.0%
Consumer Discretionary—8.3%
Barrat Developments plc (United Kingdom)⁽²⁾		3,320,830		15,637
Domino’s Pizza plc (United Kingdom)		2,135,379		21,777
Hermes International (France)		40,644		13,120
L’Occitane International SA (Hong Kong)		4,730,551		12,747
Luxottica Group SpA (Italy)		212,391		10,738
Paddy Power plc (Ireland)⁽²⁾		276,892		23,758
Persimmon plc (United Kingdom)		1,169,921		21,015
Sands China Ltd. (Hong Kong)		3,751,912		17,681

				136,473

Consumer Staples—36.1%
Anheuser-Busch InBev N.V. (Belgium)		181,093		16,121
British American Tobacco plc (United Kingdom)		1,815,758		93,000
Diageo plc (United Kingdom)		1,547,623		44,253
Hindustan Unilever Ltd. (India)		1,911,469		18,822
ITC Ltd. (India)		9,099,057		49,664
L’Oreal S.A. (France)		163,371		26,847
Lindt & Spruengli AG (Switzerland)		7,624		28,638
Nestle S.A. Registered Shares (Switzerland)		1,055,289		69,213
Pernod-Ricard S.A. (France)		230,953		25,610
Philip Morris International, Inc. (United States)		943,184		81,698
SABMiller plc (United Kingdom)		1,070,845		51,345
Unilever N.V. (Netherlands)		1,901,507		74,884
Wal-Mart de Mexico S.A.B. de C.V. (Mexico)		5,762,459		16,152

				596,247

Energy—5.1%
Core Laboratories N.V. (Netherlands)		354,831		53,813
Enbridge, Inc. (Canada)		732,162		30,778

				84,591

Financials—20.2%
Bank of Nova Scotia (Canada)		480,132		25,666
Daito Trust Construction Co., Ltd. (Japan)		211,200		19,910
Housing Development Finance Corp. (India)		5,009,798		74,108


	SHARES		VALUE
Financials—(continued)
Housing Development Finance Corp. Bank Ltd. (India)		4,580,436	$	51,605
Housing Development Finance Corp. Bank Ltd. ADR (India)		2,898		105
HSBC Holdings plc (United Kingdom)		3,825,415		39,681
Link REIT (The) (Hong Kong)		3,348,970		16,473
Standard Chartered plc (United Kingdom)		1,460,642		31,702
UBS AG Registered Shares (Switzerland)		4,365,104		74,311

				333,561

Health Care—6.3%
Cie Generale D’optique Essilor International SA (France)		250,593		26,662
Novartis AG Registered Shares (Switzerland)		56,412		4,007
Novo Nordisk A/S Class B (Denmark)		311,545		48,552
Ramsay Health Care Ltd. (Australia)		635,988		20,829
Roche Holding AG (Switzerland)		15,128		3,764

				103,814

Industrials—9.6%
Bureau Veritas SA (France)		1,763,892		45,678
Cheung Kong Infrastructure Holdings Ltd. (Hong Kong)		936,793		6,244
DKSH Holding AG (Switzerland)		372,380		30,633
Rolls-Royce Holdings plc (United Kingdom)		1,719,776		29,662
SGS SA Registered Shares (Switzerland)		21,352		45,867

				158,084

Information Technology—3.7%
Accenture plc Class A (Ireland)		312,568		22,492
SAP AG (Germany)		518,898		37,999

				60,491

Materials—4.7%
Fresnillo plc (United Kingdom)		1,770,135		23,746
Goldcorp, Inc. (Canada)		1,436,832		35,685
Newcrest Mining Ltd. (Australia)		2,111,817		19,063

				78,494

TOTAL COMMON STOCKS (Identified Cost $1,281,867)				1,551,755

TOTAL LONG TERM INVESTMENTS—94.1% (Identified cost $1,282,146)				1,552,033


	SHARES		VALUE
SHORT-TERM INVESTMENTS—5.3%
Money Market Mutual Funds—5.3%
Fidelity Money Market Portfolio - Institutional Shares (Seven-day effective yield 0.012%)		88,129,902	$	88,130

TOTAL SHORT-TERM INVESTMENTS (Identified Cost $88,130)				88,130

TOTAL INVESTMENTS—99.4% (Identified Cost $1,370,276)				1,640,163	⁽¹⁾
Other assets and liabilities, net—0.6%				10,372

NET ASSETS—100.0%			$	1,650,535

Abbreviations:

ADR	American Depositary Receipt

REIT	Real Estate Investment Trust

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at June 30, 2013, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Non-income producing.

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

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2013 (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—93.5%
Consumer Staples—13.9%
Andersons, Inc. (The) (United States)		8,220	$	437
BRF - Brasil Foods SA ADR (Brazil)		27,100		588
KWS Saat AG (Germany)		2,039		738
Nutreco N.V. (Netherlands)		5,443		231
S&W Seed Co. (United States)		52,193		437
Tyson Foods, Inc. Class A (United States)		30,633		787

				3,218

Energy—34.6%
Athabasca Oil Corp. (Canada)		46,981		291
Cameron International Corp. (United States)		16,386		1,002
Cenovus Energy, Inc. (Canada)		20,569		587
Ceres, Inc. (United States)⁽²⁾		33,899		106
Concho Resources, Inc. (United States)		4,033		338
Continental Resources, Inc. (United States)		6,227		536
Core Laboratories N.V. (Netherlands)		4,772		724
Ensco plc Class A (United Kingdom)		10,628		618
Evogene Ltd. (Israel)		12,700		78
FX Energy, Inc. (United States)		64,322		206
GeoSpace Technologies Corp. (United States)		10,418		720
MEG Energy Corp. (Canada)		17,632		483
National Oilwell Varco, Inc. (United States)		3,674		253
Seadrill Ltd. (Bermuda)		21,332		869
Valero Energy Corp. (United States)		34,498		1,199

				8,010

Industrials—15.0%
AGCO Corp. (United States)		5,071		254
Cervus Equipment Corp. (Canada)		5,024		95
JGC Corp. (Japan)		12,000		432
Komatsu Ltd. (Japan)		13,000		301
Kubota Corp. Sponsored ADR (Japan)		16,647		1,212
Lindsay Corp. (United States)		12,062		904
Rocky Mountain Dealerships, Inc. (Canada)		20,684		267

				3,465

Materials—30.0%
Agrium, Inc. (Canada)		3,298		287
BHP Billiton Ltd. Sponsored ADR (Australia)		11,540		665
CF Industries Holdings, Inc. (United States)		2,240		384
Franco Nevada Corp. (Canada)		6,237		223
Goldcorp, Inc. (Canada)		8,220		203
Grupo Mexico S.A.B. de C.V. Series B (Mexico)		289,398		838


	SHARES		VALUE
Materials—(continued)
Imperial Metals Corp. (Canada)		20,093	$	201
JFE Holdings, Inc. (Japan)		8,600		189
Johnson Matthey plc (United Kingdom)		5,683		227
Major Drilling Group International (Canada)		30,198		206
MBAC Fertilizer Corp. (Canada)		165,825		319
Monsanto Co. (United States)		12,494		1,234
Nippon Steel & Sumitomo Metal Corp. (Japan)		69,000		186
Potash Corp. of Saskatchewan, Inc. (Canada)		6,724		256
Sociedad Quimica y Minera de Chile S.A. Sponsored ADR (Chile)		4,764		193
Syngenta AG ADR (Switzerland)		6,846		533
Teck Cominco Ltd. Class B (Canada)		26,531		567
Vale SA Sponsored ADR (Brazil)		18,659		245

				6,956

TOTAL COMMON STOCKS (Identified Cost $21,468)				21,649

EXCHANGE-TRADED FUNDS—4.8%
PowerShares DB Gold Fund (United States)		26,888		1,121

TOTAL EXCHANGE-TRADED FUNDS (Identified Cost $1,463)				1,121

TOTAL LONG TERM INVESTMENTS—98.3% (Identified cost $22,931)				22,770

SHORT-TERM INVESTMENTS—1.7%
Money Market Mutual Funds—1.7%
Fidelity Money Market Portfolio - Institutional Shares (Seven-day effective yield 0.012%)		402,321		402

TOTAL SHORT-TERM INVESTMENTS (Identified Cost $402)				402

TOTAL INVESTMENTS—100.0% (Identified Cost $23,333)				23,172	⁽¹⁾
Other assets and liabilities, net—0.0%				(10	)

NET ASSETS—100.0%			$	23,162

Abbreviations:

ADR	American Depositary Receipt

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at June 30, 2013, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Non-income producing.

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2013 (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—95.7%
Consumer Discretionary—2.3%
Eutelsat Communications SA (France)		50,700	$	1,439
SES SA (Luxembourg)		59,890		1,715

				3,154

Energy—22.4%
Enbridge, Inc. (Canada)		202,380		8,514
Kinder Morgan, Inc. (United States)		141,530		5,399
Spectra Energy Corp. (United States)		139,930		4,822
TransCanada Corp. (Canada)		128,860		5,555
Williams Cos., Inc. (The) (United States)		192,590		6,254

				30,544

Financials—2.1%
American Tower Corp. (United States)		38,700		2,832

Industrials—15.2%
Abertis Infraestructuras S.A. (Spain)		125,400		2,187
Atlantia SpA (Italy)		141,961		2,315
Auckland International Airport Ltd. (New Zealand)		619,210		1,425
Ferrovial SA (Spain)		104,550		1,671
Flughafen Zuerich AG (Switzerland)		3,608		1,813
Fraport AG Frankfurt Airport Services Worldwide (Germany)		30,540		1,848
Koninklijke Vopak N.V. (Netherlands)		48,800		2,879
Sydney Airport (Australia)		513,870		1,589
Transurban Group (Australia)		608,290		3,761
Vinci SA (France)		25,390		1,274

				20,762

Telecommunication Services—22.9%
AT&T, Inc. (United States)		177,820		6,295
BCE, Inc. (Canada)		27,950		1,147
BT Group plc (United Kingdom)		384,330		1,807
Crown Castle International Corp. (United States)		53,820		3,896
Nippon Telegraph & Telephone Corp. ADR (Japan)		46,540		1,211
Singapore Telecommunications Ltd. (Singapore)		794,400		2,363
TDC A/S (Denmark)		215,400		1,746
TELUS Corp. (Canada)		74,550		2,176
Verizon Communications, Inc. (United States)		67,430		3,394
Vodafone Group plc Sponsored ADR (United Kingdom)		211,980		6,092


	SHARES		VALUE
Telecommunication Services—(continued)
Windstream Corp. (United States)		138,320	$	1,066

				31,193

Utilities—30.8%
Allette, Inc. (United States)		28,970		1,444
APA Group (Australia)		236,350		1,295
CenterPoint Energy, Inc. (United States)		73,220		1,720
Centrica plc (United Kingdom)		313,470		1,717
CMS Energy Corp. (United States)		68,360		1,857
Dominion Resources, Inc. (United States)		38,110		2,165
DTE Energy Co. (United States)		19,880		1,332
Keyera Corp. (Canada)		27,090		1,457
National Grid plc (United Kingdom)		352,450		3,999
NextEra Energy, Inc. (United States)		36,680		2,989
NiSource, Inc. (United States)		63,160		1,809
Northeast Utilities (United States)		30,760		1,292
Northwest Natural Gas Co. (United States)		22,320		948
ONEOK, Inc. (United States)		29,210		1,207
Pinnacle West Capital Corp. (United States)		28,660		1,590
Public Service Enterprise Group, Inc. (United States)		50,670		1,655
Questar Corp. (United States)		50,970		1,216
Sempra Energy (United States)		35,550		2,907
SevernTrent plc (United Kingdom)		52,635		1,332
SP AusNet (Australia)		1,133,900		1,218
Terna Rete Elettrica Nazionale SpA (Italy)		292,350		1,215
United Utilities Group plc (United Kingdom)		106,340		1,106
UNS Energy Corp. (United States)		29,550		1,322
Wisconsin Energy Corp. (United States)		47,930		1,965
XCEL Energy, Inc. (United States)		46,300		1,312

				42,069

TOTAL COMMON STOCKS (Identified Cost $109,772)				130,554

TOTAL LONG TERM INVESTMENTS—95.7% (Identified cost $109,772)				130,554

SHORT-TERM INVESTMENTS—3.6%
Money Market Mutual Funds—3.6%
Fidelity Money Market Portfolio - Institutional Shares (Seven-day effective yield 0.012%)		4,918,379		4,918

TOTAL SHORT-TERM INVESTMENTS (Identified Cost $4,918)				4,918


TOTAL INVESTMENTS—99.3% (Identified Cost $114,690)		135,472	⁽¹⁾
Other assets and liabilities, net—0.7%		913

NET ASSETS—100.0%	$	136,385

ADR	American Depositary Receipt

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at June 30, 2013, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2013 (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—95.6%
Consumer Discretionary—9.5%
Amazon.com, Inc. (United States)		6,189	$	1,719
Chipotle Mexican Grill, Inc. (United States)		3,007		1,096
Las Vegas Sands Corp. (United States)		33,428		1,769
Norstar Founders Group Ltd. (Cayman Islands)^(2)(3)(4)		272,000		0
Paddy Power plc (Ireland)⁽²⁾		13,688		1,174
Persimmon plc (United Kingdom)		85,504		1,536
priceline.com, Inc. (United States)		1,283		1,061
TJX Cos., Inc. (United States)		35,413		1,773

				10,128

Consumer Staples—36.3%
Altria Group, Inc. (United States)		82,503		2,887
Anheuser-Busch InBev N.V. (Belgium)		5,959		530
British American Tobacco plc (United Kingdom)		120,862		6,190
Coca-Cola Co. (The) (United States)		140,209		5,624
Diageo plc (United Kingdom)		44,517		1,273
ITC Ltd. (India)		538,712		2,940
Mead Johnson Nutrition Co. (United States)		17,666		1,400
Nestle S.A. Registered Shares (Switzerland)		55,386		3,633
Philip Morris International, Inc. (United States)		68,509		5,934
SABMiller plc (United Kingdom)		36,093		1,731
Unilever N.V. (Netherlands)		92,884		3,658
Wal-Mart Stores, Inc. (United States)		22,128		1,648
Whole Foods Market, Inc. (United States)		21,711		1,118

				38,566

Energy—2.2%
Core Laboratories N.V. (Netherlands)		5,435		824
Enbridge, Inc. (Canada)		36,478		1,534

				2,358

Financials—20.6%
Capital One Financial Corp. (United States)		18,575		1,167
Citigroup, Inc. (United States)		22,421		1,075
Housing Development Finance Corp. (India)		230,493		3,409
Housing Development Finance Corp. Bank Ltd. (India)		309,745		3,490
HSBC Holdings plc (United Kingdom)		187,951		1,950
JPMorgan Chase & Co. (United States)		30,337		1,601
Standard Chartered plc (United Kingdom)		24,319		528
UBS AG Registered Shares (Switzerland)		219,524		3,737


	SHARES		VALUE
Financials—(continued)
Wells Fargo & Co. (United States)		120,979	$	4,993

				21,950

Health Care—6.9%
Covidien plc (Ireland)		10,813		680
Johnson & Johnson (United States)		28,405		2,439
Novartis AG Registered Shares (Switzerland)		3,651		259
Novo Nordisk A/S Class B (Denmark)		13,335		2,078
Roche Holding AG (Switzerland)		979		244
Zoetis, Inc. (United States)		53,486		1,652

				7,352

Industrials—4.5%
Bureau Veritas SA (France)		69,340		1,795
Cheung Kong Infrastructure Holdings Ltd. (Hong Kong)		61,231		408
DKSH Holding AG (Switzerland)		2,781		229
SGS SA Registered Shares (Switzerland)		1,073		2,305

				4,737

Information Technology—11.0%
Cognizant Technology Solutions Corp. Class A (United States)		16,825		1,053
MasterCard, Inc. Class A (United States)		9,443		5,425
SAP AG (Germany)		24,188		1,771
Visa, Inc. Class A (United States)		19,009		3,474

				11,723

Materials—4.6%
Fresnillo plc (United Kingdom)		110,314		1,480
Goldcorp, Inc. (Canada)		94,808		2,355
Newcrest Mining Ltd. (Australia)		122,223		1,103

				4,938

TOTAL COMMON STOCKS (Identified Cost $84,254)				101,752

TOTAL LONG TERM INVESTMENTS—95.6% (Identified cost $84,254)				101,752

SHORT-TERM INVESTMENTS—4.0%
Money Market Mutual Funds—4.0%
Fidelity Money Market Portfolio - Institutional Shares (Seven-day effective yield 0.012%)		4,252,689		4,253

TOTAL SHORT-TERM INVESTMENTS (Identified Cost $4,253)				4,253

($ reported in thousands)


TOTAL INVESTMENTS—99.6% (Identified Cost $88,507)		106,005	⁽¹⁾
Other assets and liabilities, net—0.4%		374

NET ASSETS—100.0%	$	106,379

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at June 30, 2013, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Non-income producing.

⁽³⁾	Illiquid security.

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

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2013 (See Security Valuation Note 1A in the Notes to Schedules of Investments):


	SHARES		VALUE
EXCHANGE-TRADED FUNDS—78.1%
Consumer Discretionary Select Sector SPDR Fund		154,620	$	8,721
Consumer Staples Select Sector SPDR Fund		217,788		8,640
Energy Select Sector SPDR Fund		108,790		8,525
Financial Select Sector SPDR Fund		444,190		8,657
Health Care Select Sector SPDR Fund		181,260		8,630
Industrial Select Sector SPDR Fund		200,630		8,541
iShares MSCI Japan Index Fund		513,870		5,766
Materials Select Sector SPDR Fund		217,430		8,336
Utilities Select Sector SPDR Fund		234,030		8,806
Vanguard FTSE Europe ETF		313,790		15,115

TOTAL EXCHANGE-TRADED FUNDS (Identified Cost $80,196)				89,737

TOTAL LONG TERM INVESTMENTS—78.1% (Identified cost $80,196)				89,737

SHORT-TERM INVESTMENTS—16.5%
Money Market Mutual Funds—16.5%
Fidelity Money Market Portfolio - Institutional Shares (Seven-day effective yield 0.012%)		18,929,943		18,930

TOTAL SHORT-TERM INVESTMENTS (Identified Cost $18,930)				18,930

TOTAL INVESTMENTS—94.6% (Identified Cost $99,126)				108,667	⁽¹⁾
Other assets and liabilities, net—5.4%				6,231

NET ASSETS—100.0%			$	114,898

Abbreviations:

ETF	Exchange-Traded Fund

SPDR	S&P Depositary Receipt

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at June 30, 2013, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2013 (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—98.4%
Australia—6.8%
BGP Holdings plc^(2)(3)(4)		13,566	$	0
CFS Retail Property Trust		107,200		196
Dexus Property Group		587,440		575
GPT Group		109,500		385
Westfield Group		125,150		1,309
Westfield Retail Trust		155,450		441

				2,906

Bermuda—1.4%
Hongkong Land Holdings Ltd.		88,900		611

Canada—5.6%
Allied Properties Real Estate Investment Trust		18,385		559
Brookfield Properties, Inc.		29,870		497
Canadian Real Estate Investment Trust		8,275		343
Cominar Real Estate Investment Trust		7,095		141
First Capital Realty, Inc.		21,880		371
RioCan Real Estate Investment Trust		19,262		463

				2,374

Finland—0.4%
Citycon OYJ		61,070		190

France—3.8%
Fonciere Des Regions		2,154		161
Klepierre		5,220		206
Unibail-Rodamco SE		5,373		1,252

				1,619

Germany—1.0%
GSW Immobilien AG		4,164		161
LEG Immobilien AG		4,754		248

				409

Hong Kong—3.8%
Hang Lung Properties Ltd.		144,000		502
Hysan Development Co. Ltd.		73,000		317
Link REIT (The)		159,504		784

				1,603

Italy—0.4%
Beni Stabili SpA		252,478		156

Japan—4.6%
AEON Mall Co., Ltd.		6,070		150


	SHARES		VALUE
Japan—(continued)
GLP J-REIT		155	$	152
Japan Prime Realty Investment Corp.		87		266
Japan Real Estate Investment Corp.		28		312
Kenedix Realty Investment Corp.		55		219
Nippon Building Fund, Inc.		34		394
Nippon Prologis REIT, Inc.		28		244
Tokyu REIT, Inc.		41		238

				1,975

Mexico—0.7%
TF Administradora Industrial S de Rl de CV		148,222		309

Netherlands—0.9%
Corio N.V.		5,031		200
Eurocommercial Properties N.V.		4,965		182

				382

Norway—0.5%
Norwegian Property ASA		156,775		199

Singapore—2.8%
CapitaMall Trust		50,450		79
CapitaRetail China Trust		296,275		330
Global Logistic Properties Ltd.		252,500		548
Mapletree Logistics Trust		291,545		253

				1,210

Sweden—0.8%
Castellum AB		23,840		324

Switzerland—0.2%
PSP Swiss Property AG		965		84

United Kingdom—6.7%
Big Yellow Group plc		29,628		173
British Land Co. plc		47,400		409
Derwent London plc		6,210		217
Great Portland Estates plc		29,971		242
Hammerson plc		58,620		435
Land Securities Group plc		57,131		768
Safestore Holdings plc		118,726		224
SEGRO plc		85,490		363

				2,831

United States—58.0%
American Campus Communities, Inc.		14,438		587
AvalonBay Communities, Inc.		8,495		1,146


	SHARES		VALUE
United States—(continued)
Boston Properties, Inc.		11,828	$	1,247
Camden Property Trust		11,110		768
DCT Industrial Trust, Inc.		102,823		735
DDR Corp.		35,445		590
Digital Realty Trust, Inc.		3,485		213
EastGroup Properties, Inc.		5,400		304
Equity Lifestyle Properties, Inc.		4,823		379
Equity Residential		25,289		1,468
Essex Property Trust, Inc.		4,979		791
Extra Space Storage, Inc.		16,895		708
General Growth Properties, Inc.		54,019		1,073
HCP, Inc.		3,679		167
Health Care REIT, Inc.		16,731		1,121
Host Hotels & Resorts, Inc.		60,208		1,016
Kilroy Realty Corp.		17,863		947
Kimco Realty Corp.		13,885		298
LaSalle Hotel Properties		19,915		492
Macerich Co. (The)		15,673		956
Pebblebrook Hotel Trust		12,326		319
Prologis, Inc.		39,148		1,477
Public Storage		11,060		1,696
Retail Opportunity Investments Corp		7,000		97
Simon Property Group, Inc.		17,631		2,784
SL Green Realty Corp.		9,431		832
Tanger Factory Outlet Centers		23,100		773
Taubman Centers, Inc.		755		57
UDR, Inc.		9,073		231
Ventas, Inc.		17,472		1,214
Vornado Realty Trust		2,075		172
Weingarten Realty Investors		1,670		51

				24,709

TOTAL COMMON STOCKS (Identified Cost $39,211)				41,891

TOTAL LONG TERM INVESTMENTS—98.4% (Identified cost $39,211)				41,891

SHORT-TERM INVESTMENTS—1.0%
Money Market Mutual Funds—1.0%
Fidelity Money Market Portfolio - Institutional Shares (Seven-day effective yield 0.012%)		430,188		430

TOTAL SHORT-TERM INVESTMENTS (Identified Cost $430)				430

Abbreviations:

REIT	Real Estate Investment Trust

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at June 30, 2013, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Non-income producing.

⁽³⁾	Illiquid security.

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

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2013 (See Security Valuation Note 1A in the Notes to Schedules of Investments):


	SHARES		VALUE
COMMON STOCKS—89.9%
Consumer Discretionary—12.8%
Bajaj Auto Ltd. (India)		3,288	$	106
BEC World plc (Thailand)		75,100		142
Genting Bhd (Malaysia)		30,100		100
Genting Malaysia Bhd (Malaysia)		105,200		130
Jollibee Foods Corp. (Philippines)		17,800		61
Kangwon Land, Inc. (South Korea)		3,050		84
L’Occitane International SA (Hong Kong)		51,559		139
Matahari Department Store Tbk PT (Indonesia)⁽²⁾		89,873		105
SA International Holdings Ltd. (Cayman Islands)		106,925		106
Sands China Ltd. (Hong Kong)		41,213		194
Super Retail Group Ltd. (Australia)		12,105		133

				1,300

Consumer Staples—32.4%
British American Tobacco Bangldesh Co., Ltd. (Bangladesh)		17,350		240
British American Tobacco Bhd (Malaysia)		2,900		55
Coca-Cola Amatil Ltd. (Australia)		10,245		119
Colgate Palmolive India Ltd. (India)		2,900		66
CP ALL PCL (Thailand)		187,500		236
Dairy Farm International Holdings Ltd. (Bermuda)		8,050		97
Emami Ltd. (India)⁽²⁾		14,776		119
Guinness Anchor Bhd (Malaysia)		38,335		231
Hindustan Unilever Ltd. (India)		34,093		336
ITC Ltd. (India)		77,809		425
LG Household & Health Care Ltd. (South Korea)		294		144
Nestle India Ltd. (India)		2,708		221
Nestle Malaysia Bhd (Malaysia)		9,100		193
Nestle Pakistan Ltd. (Pakistan)		2,214		145
Orion Corp. (South Korea)		88		73
Puregold Price Club, Inc. (Philippines)		81,300		68
Thai Beverage PCL (Thailand)		208,000		97
Tingyi Cayman Islands Holding Corp. (Cayman Islands)		39,235		102
Tsingtao Brewery Co., Ltd. (China)		20,283		145
Unilever Indonesia Tbk PT (Indonesia)		52,497		163

				3,275

Financials—26.2%
Axis Bank Ltd. (India)		5,924		132
Bangkok Bank plc (Thailand)		23,100		155
Bank Central Asia Tbk PT (Indonesia)		5,400		5


	SHARES		VALUE
Financials—(continued)
DBS Group Holdings Ltd. (Singapore)		10,000	$	122
Delta Brac Housing Finance Corp., Ltd. (Bangladesh)		69,000		61
Housing Development Finance Corp. (India)		31,133		461
Housing Development Finance Corp. Bank Ltd. (India)		42,665		481
HSBC Holdings plc (United Kingdom)		28,565		299
Kasikornbank PCL (Thailand)		25,200		159
Link REIT (The) (Hong Kong)		32,319		159
Malayan Banking Bhd (Malaysia)		77,217		254
Public Bank Bhd (Malaysia)		24,200		130
Standard Chartered plc (United Kingdom)		10,484		231

				2,649

Health Care—4.4%
Cipla Ltd. (India)		12,796		84
Kalbe Farma Tbk PT (Indonesia)		992,013		144
Ramsay Health Care Ltd. (Australia)		3,278		107
Sun Pharmaceutical Industries Ltd. (India)		6,636		113

				448

Industrials—4.4%
Havells India Ltd. (India)		12,566		155
Jardine Matheson Holdings Ltd. (Bermuda)		1,618		98
Keells (John) Holdings plc (Sri Lanka)		57,854		112
SM Investments Corp. (Philippines)		3,070		76

				441

Information Technology—1.2%
NetEase, Inc. ADR (China)		100		6
Tata Consultancy Services Ltd. (India)		4,300		110

				116

Materials—3.8%
Asian Paints Ltd. (India)		1,100		86
Newcrest Mining Ltd. (Australia)		20,846		188
Semen Gresik (Persero) tbk PT (Indonesia)		62,290		107

				381

Telecommunication Services—0.4%
Advanced Info Service PCL (Thailand)		2,800		26
Telekomunikasi Indonesia Persero Tbk PT (Indonesia)		16,970		19

				45


	SHARES		VALUE
Utilities—4.3%
NTPC Ltd. (India)⁽²⁾		6,427	$	15
Power Assets Holdings Ltd. (Hong Kong)		49,119		424

				439

TOTAL COMMON STOCKS (Identified Cost $7,257)				9,094

TOTAL LONG TERM INVESTMENTS—89.9% (Identified cost $7,257)				9,094

SHORT-TERM INVESTMENTS—8.7%
Money Market Mutual Funds—8.7%
Fidelity Money Market Portfolio - Institutional Shares (Seven-day effective yield 0.012%)		880,533		881

TOTAL SHORT-TERM INVESTMENTS (Identified Cost $881)				881

TOTAL INVESTMENTS—98.6% (Identified Cost $8,138)				9,975	⁽¹⁾
Other assets and liabilities, net—1.4%				144

NET ASSETS—100.0%			$	10,119

Abbreviations:

ADR	American Depositary Receipt

REIT	Real Estate Investment Trust

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at June 30, 2013, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Non-income producing.

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2013 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

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


	SHARES		VALUE
PREFERRED STOCK—0.0%
Industrials—0.0%
Rolls-Royce Holdings plc⁽³⁾		1,980,041	$	3

TOTAL PREFERRED STOCK (Identified Cost $3)				3

COMMON STOCKS—94.1%
Consumer Discretionary—11.0%
Barrat Developments plc (United Kingdom)⁽²⁾		58,659		276
Domino’s Pizza plc (United Kingdom)		16,703		170
Hermes International (France)		403		130
Luxottica Group SpA (Italy)		4,916		249
Paddy Power plc (Ireland)⁽²⁾		3,445		296
Persimmon plc (United Kingdom)		8,865		159

				1,280

Consumer Staples—33.5%
Anheuser-Busch InBev N.V. (Belgium)		3,389		302
British American Tobacco plc (United Kingdom)		12,933		662
Diageo plc (United Kingdom)		13,298		380
L’Oreal S.A. (France)		1,662		273
Lindt & Spruengli AG (Switzerland)		33		124
Nestle S.A. Registered Shares (Switzerland)		6,511		427
Pernod-Ricard S.A. (France)		1,736		193
Philip Morris International, Inc. (United States)		6,486		562
SABMiller plc (United Kingdom)		9,783		469
Unilever N.V. (Netherlands)		12,744		502

				3,894

Energy—3.3%
Core Laboratories N.V. (Netherlands)		2,105		319
Statoil ASA (Norway)		3,300		68

				387

Financials—12.8%
HSBC Holdings plc (United Kingdom)		31,231		324
Reinet Investments SCA (Luxembourg)⁽²⁾		8,785		157
Standard Chartered plc (United Kingdom)		14,419		313
Svenska Handelsbanken AB Class A (Sweden)		3,900		156
UBS AG Registered Shares (Switzerland)		31,830		542

				1,492

Health Care—6.4%
Cie Generale D’optique Essilor International SA (France)		2,510		267


	SHARES		VALUE
Health Care—(continued)
Novartis AG Registered Shares (Switzerland)		417	$	30
Novo Nordisk A/S Class B (Denmark)		2,583		402
Roche Holding AG (Switzerland)		168		42

				741

Industrials—14.3%
Bureau Veritas SA (France)		16,588		430
DKSH Holding AG (Switzerland)⁽²⁾		3,069		252
Indutrade AB (Sweden)		4,463		138
Rolls-Royce Holdings plc (United Kingdom)		16,639		287
SGS SA Registered Shares (Switzerland)		134		288
Zodiac Aerospace (France)		1,982		262

				1,657

Information Technology—6.4%
Accenture plc Class A (Ireland)		3,281		236
SAP AG (Germany)		4,285		314
Wirecard AG (Germany)		7,000		190

				740

Materials—6.4%
Air Liquide SA (France)		1,730		214
Fresnillo plc (United Kingdom)		18,058		242
Novozymes A/S Class B (Denmark)		3,436		110
Randgold Resources Ltd (Jersey)		1,353		84
Randgold Resources Ltd. ADR (Jersey)		1,449		93

				743

TOTAL COMMON STOCKS (Identified Cost $9,098)				10,934

RIGHTS—0.0%
Consumer Discretionary—0.0%
Persimmon plc Class B		8,865		0

TOTAL RIGHTS (Identified Cost $0)				0

TOTAL LONG TERM INVESTMENTS—94.1% (Identified cost $9,101)				10,937

SHORT-TERM INVESTMENTS—5.9%
Money Market Mutual Funds—5.9%
Fidelity Money Market Portfolio - Institutional Shares (Seven-day effective yield 0.012%)		689,721		690


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

TOTAL INVESTMENTS—100.0% (Identified Cost $9,791)		11,627	⁽¹⁾
Other assets and liabilities, net—0.0%		(4	)

NET ASSETS—100.0%	$	11,623

Abbreviation:


ADR		American Depositary Receipt

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at June 30, 2013, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Non-income producing.

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

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2013 (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
CLOSED-END FUNDS—95.1%
Convertible Funds—4.6%
Advent Claymore Convertible Securities and Income Fund		16,125	$	273
AllianzGI Equity & Convertible Income Fund		6,982		128

				401

Equity Funds—28.0%
Adams Express Co.		24,149		289
Advent Claymore Enhanced Growth & Income Fund		1,708		17
Alpine Total Dynamic Dividend Fund		87,104		341
ASA Gold and Precious Metals Ltd.		4,500		57
BlackRock Enhanced Equity Dividend Trust		8,000		61
Boulder Growth & Income Fund, Inc.		10,000		74
Central Securities Corp.		3,736		79
Cohen & Steers Infrastructure Fund, Inc.		12,000		227
Cohen & Steers REIT and Preferred Income Fund, Inc.		10,991		190
Eaton Vance Risk-Managed Diversified Equity Income Fund		2,500		27
Gabelli Healthcare & WellnessRx Trust (The)		10,007		98
General American Investors Co., Inc.		7,328		234
Liberty All Star Equity Fund		48,138		250
Nuveen Real Asset Income and Growth Fund		12,033		225
Petroleum & Resources Corp.		8,154		209
Tri-Continental Corp.		2,500		45

				2,423

Fixed Income Funds—27.5%
AllianceBernstein Income Fund		7,000		52
American Select Portfolio		34,543		352
Avenue Income Credit Strategies Fund		147		3
BlackRock Build America Bond Trust		7,000		141
BlackRock Credit Allocation Income Trust IV		13,768		179
First Trust Mortgage Income Fund		19,400		308
Guggenheim Build America Bonds Managed Duration Trust		6,099		134
Montgomery Street Income Securities, Inc.		5,300		86
Morgan Stanley Income Securities, Inc.		10,278		175
Nuveen Build America Bond Opportunity Fund		5,250		105
Pimco Dynamic Income Fund		11,500		336
Putnam High Income Securities Fund		31,503		249
Putnam Master Intermediate Income Trust		8,600		43


	SHARES		VALUE
Fixed Income Funds—(continued)
Putnam Premier Income Trust		29,000	$	155
Western Asset/Claymore Inflation-Linked Opportunities & Income Fund		5,000		59

				2,377

Hybrid Fund—0.8%
Calamos Global Dynamic Income Fund		8,000		67

International Equity Funds—24.7%
Aberdeen Indonesia Fund, Inc. (The)		3,900		46
Alpine Global Dynamic Dividend Fund		69,333		319
BlackRock International Growth and Income Trust		17,000		125
Clough Global Equity Fund		2,500		37
Clough Global Opportunities Fund		5,000		64
Delaware Enhanced Global Dividend and Income Fund		9,000		105
Eaton Vance Tax-Managed Global Diversified Equity Income Fund		4,700		44
Japan Equity Fund, Inc.		54,484		352
Japan Smaller Capitalization Fund, Inc.		27,357		234
JF China Region Fund, Inc.		3,112		41
Korea Fund, Inc. (The)⁽²⁾		4,918		170
Macquarie Global Infrastructure Total Return Fund, Inc.		3,900		80
Morgan Stanley Asia Pacific Fund, Inc.		3,981		62
New Germany Fund, Inc. (The)		4,700		83
Singapore Fund, Inc. (The)		5,100		66
Templeton Dragon Fund, Inc.		4,400		110
Thai Fund, Inc. (The)		9,222		199

				2,137

International Fixed Income Funds—3.5%
Aberdeen Asia-Pacific Income Fund, Inc.		7,034		44
Morgan Stanley Emerging Markets Domestic Debt Fund, Inc.		14,685		212
Nuveen Diversified Currency Opportunities Fund		3,850		43

				299

Municipal Bond Funds—6.0%
Nuveen Dividend Advantage Municipal Fund 3		16,000		212
Nuveen Dividend Advantage Municipal Income Fund		20,434		273


	SHARES		VALUE
Municipal Bond Funds—(continued)
Nuveen Municipal Market Opportunity Fund, Inc.		3,000	$	39

				524

TOTAL CLOSED-END FUNDS (Identified Cost $8,551)				8,228


	PAR VALUE		VALUE
RIGHTS—0.0%
Gabelli Healthcare & WellnessRx Trust (The)		10,007		2

TOTAL RIGHTS (Identified Cost $0)				2

TOTAL LONG TERM INVESTMENTS—95.1% (Identified cost $8,551)				8,230


	SHARES		VALUE
SHORT-TERM INVESTMENTS—3.4%
Money Market Mutual Funds—3.4%
Fidelity Money Market Portfolio - Institutional Shares (Seven-day effective yield 0.012%)		294,966		295

TOTAL SHORT-TERM INVESTMENTS (Identified Cost $295)				295

TOTAL INVESTMENTS—98.5% (Identified Cost $8,846)				8,525	⁽¹⁾
Other assets and liabilities, net—1.5%				132

NET ASSETS—100.0%			$	8,657

Abbreviations:

REIT	Real Estate Investment Trust

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at June 30, 2013, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Non-income producing.

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2013 (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—0.5%
Provincia de Neuquen 144A 7.875%, 4/26/21⁽³⁾	$	228		$	203
Republic of Uruguay 4.375%, 12/15/28⁽¹¹⁾		4,077	^UYU		232

TOTAL FOREIGN GOVERNMENT SECURITIES (Identified Cost $482)					435

MORTGAGE-BACKED SECURITIES—1.4%
Non-Agency—1.4%
Goldman Sachs Mortgage Pass-Through- Securities Mortgage Loan Trust 05-RP1, 1A3 144A 8.000%, 1/25/35⁽³⁾		225			240
MASTR Reperforming Loan Trust 05-1, 1A5 144A 8.000%, 8/25/34⁽³⁾		294			308
Structured Adjustable Rate Mortgage Loan Trust 07-5, 2A1 4.826%, 6/25/37⁽²⁾		910			758

TOTAL MORTGAGE-BACKED SECURITIES (Identified Cost $1,237)					1,306

ASSET-BACKED SECURITIES—0.6%
Residential Funding Mortgage Securities II Home Loan Trust 06-H11, M1 6.010%, 2/25/36		200			199
Security National Mortgage Loan Trust 04-1A, AF3, 144A 6.420%, 6/25/32⁽²⁾⁽³⁾		273			252
Terwin Mortgage Trust 04-15AL, A1 144A 5.775%, 7/25/34⁽²⁾⁽³⁾		139			139

TOTAL ASSET-BACKED SECURITIES (Identified Cost $565)					590

CORPORATE BONDS—82.7%
Consumer Discretionary—18.5%
Allison Transmission, Inc. 144A 7.125%, 5/15/19⁽³⁾		475			505
American Axle & Manufacturing, Inc. 6.250%, 3/15/21		275			281
Ameristar Casinos, Inc. 7.500%, 4/15/21		500			522
Automotores Gildemeister SA 144A 6.750%, 1/15/23⁽³⁾		160			137
Bon-Ton Department Stores, Inc. (The) 144A 8.000%, 6/15/21⁽³⁾		345			352
Boyd Gaming Corp. 144A 9.000%, 7/1/20		500			509
Brookfield Residential Properties, Inc. 144A 6.500%, 12/15/20⁽³⁾		385			390
Caesars Entertainment Operating Co., Inc.
10.000%, 12/15/18		345			209


	PAR VALUE		VALUE
Consumer Discretionary—(continued)
144A 9.000%, 2/15/20⁽³⁾	$	500	$	479
CCO Holdings LLC (CCO Holdings Capital Corp.)
6.500%, 4/30/21		280		293
5.250%, 9/30/22		250		239
Chrysler Group LLC (Chrysler Group, Inc.) 8.250%, 6/15/21		200		222
Claire’s Stores, Inc.
144A 9.000%, 3/15/19⁽³⁾		335		370
144A 7.750%, 6/1/20⁽³⁾		250		243
Clear Channel Communications, Inc. 144A 9.000%, 12/15/19⁽³⁾		493		481
Clear Channel Worldwide Holdings, Inc. Series B 7.625%, 3/15/20		375		390
Gajah Tunggal TBK PT 144A 7.750%, 2/6/18⁽³⁾		400		399
Hot Topic, Inc. 144A 9.250%, 6/15/21⁽³⁾		260		265
Isle of Capri Casinos, Inc. 5.875%, 3/15/21		390		374
Jones Group, Inc. (The)
Apparel Group Holdings 6.875%, 3/15/19		260		263
Apparel Group Holdings 6.125%, 11/15/34		200		160
Landry’s, Inc. 144A 9.375%, 5/1/20⁽³⁾		150		159
Levi Strauss & CO 6.875%, 5/1/22		100		109
Lynx II Corp. 144A 6.375%, 4/15/23⁽³⁾		250		253
Meritor, Inc. 6.750%, 6/15/21		445		427
MGM Resorts International 6.750%, 10/1/20		760		788
Nara Cable Funding Ltd. 144A 8.875%, 12/1/18⁽³⁾		340		355
Regal Entertainment Group 5.750%, 6/15/23		500		486
Rent-A-Center, Inc.
6.625%, 11/15/20		250		263
144A 4.750%, 5/1/21⁽³⁾		175		167
Sally Holdings LLC (Sally Capital, Inc.) 5.750%, 6/1/22		300		306
Seminole Hard Rock Entertainment, Inc. (Seminole Hard Rock International LLC) 144A 5.875%, 5/15/21⁽³⁾		1,140		1,108
ServiceMaster Co. 7.000%, 8/15/20		365		348
Sinclair Television Group, Inc. 5.375%, 4/1/21		560		540
Sirius XM Radio, Inc. 144A 4.250%, 5/15/20⁽³⁾		565		533
Six Flags Entertainment Corp. 144A 5.250%, 1/15/21⁽³⁾		365		353
Sonic Automotive, Inc. 144A 5.000%, 5/15/23⁽³⁾		300		293
Station Casinos LLC 144A 7.500%, 3/1/21⁽³⁾		620		629


	PAR VALUE		VALUE
Consumer Discretionary—(continued)
Taylor Morrison Communities, Inc. (Monarch Communities, Inc.) 144A 5.250%, 4/15/21⁽³⁾	$	560	$	533
UCI International, Inc. 8.625%, 2/15/19		480		492
United Artists Theatre Circuit, Inc.
Series 95-A 9.300%, 7/1/15⁽⁵⁾⁽⁶⁾		134		138
Series BD-1 9.300%, 7/1/15⁽⁵⁾⁽⁶⁾		151		155
Series BE-9 9.300%, 7/1/15⁽⁵⁾⁽⁶⁾		5		5
Series AW-0 9.300%, 7/1/15⁽⁵⁾⁽⁶⁾		1		1
Univision Communications, Inc.
144A 8.500%, 5/15/21⁽³⁾		365		390
144A 6.750%, 9/15/22⁽³⁾		165		174
Valassis Communication, Inc. 6.625%, 2/1/21		885		872

				16,960

Consumer Staples—4.9%
American Rock Salt Co. LLC 144A 8.250%, 5/1/18⁽³⁾		1,000		955
Chiquita Brands International, Inc. (Chiquita Brands LLC) 144A 7.875%, 2/1/21⁽³⁾		375		394
Constellation Brands, Inc. 4.250%, 5/1/23		600		568
Hawk Acquisition Sub, Inc. 144A 4.250%, 10/15/20⁽³⁾		330		316
Ingles Markets, Inc. 144A 5.750%, 6/15/23⁽³⁾		550		544
Revlon Consumer Products Corp. 144A 5.750%, 2/15/21⁽³⁾		300		294
Rite Aid Corp.
9.500%, 6/15/17		350		364
144A 6.750%, 6/15/21⁽³⁾		500		494
Supervalu Inc 144A 6.750%, 6/1/21⁽³⁾		300		280
Vector Group Ltd. 7.750%, 2/15/21		300		311

				4,520

Energy—7.7%
Alta Mesa Holdings LP 9.625%, 10/15/18		275		287
Atlas Pipeline Partners LP 144A 6.625%, 10/1/20⁽³⁾		255		257
CHC Helicopter SA 9.250%, 10/15/20		280		288
Chesapeake Energy Corp.
6.625%, 8/15/20		260		281
5.375%, 6/15/21		855		853
Compagnie Generale de Geophysique-Veritas 6.500%, 6/1/21		235		238
Energy Transfer Equity LP 7.500%, 10/15/20		275		302


	PAR VALUE			VALUE
Energy—(continued)
EP Energy LLC 9.375%, 5/1/20	$	415		$	471
EV Energy Partners LP 8.000%, 4/15/19		125			127
Forest Oil Corp. 7.250%, 6/15/19		350			331
Gulfmark Offshore, Inc. 6.375%, 3/15/22		400			399
Linn Energy LLC (Linn Energy Finance Corp.) 7.750%, 2/1/21		490			494
Memorial Production Partners LP (Memorial Production Finance Corp.) 144A 7.625%, 5/1/21⁽³⁾		290			287
Petroleos de Venezuela SA RegS 8.500%, 11/2/17⁽⁴⁾		225			207
QEP Resources, Inc. 6.875%, 3/1/21		365			395
Quicksilver Resources, Inc. 7.125%, 4/1/16		400			354
Sabine Pass Liquefaction LLC 144A 5.625%, 2/1/21⁽³⁾		285			277
Samson Investment Co. 144A 10.000%, 2/15/20⁽³⁾		265			280
Targa Resources Partners LP 6.375%, 8/1/22		420			442
Venoco, Inc. 11.500%, 10/1/17		180			191
Zhaikmunai LP 144A 7.125%, 11/13/19⁽³⁾		255			257

					7,018

Financials—11.4%
Aircastle Ltd. 7.625%, 4/15/20		240			265
Alfa Bank OJSC (Alfa Bond Issuance plc) 144A 7.500%, 9/26/19⁽³⁾⁽⁷⁾		200			205
Banco ABC Brasil SA 144A 7.875%, 4/8/20⁽³⁾		310			327
Banco Bilbao Vizcaya Argentaria Bancomer SA 144A 6.500%, 3/10/21⁽³⁾		250			262
Banco do Brasil SA 144A 9.250% ^(2)(3)(8)(9)		475			519
Banco Santander Brasil SA 144A 8.000%, 3/18/16⁽³⁾		550	^BRL		227
Burlington Holdings LLC (Burlington Holding Finance, Inc.) PIK Interest Capitalization, 144A 9.000%, 2/15/18⁽³⁾		285			294
CIT Group, Inc. 144A 5.500%, 2/15/19⁽³⁾		700			726
CNL Lifestyle Properties, Inc. 7.250%, 4/15/19		500			501
E*TRADE Financial Corp. 6.375%, 11/15/19		265			270
Glen Meadow Pass-Through Trust 144A 6.505%, 2/12/67⁽²⁾⁽³⁾		480			456
GRD Holdings III Corp. 144A 10.750%, 6/1/19⁽³⁾		320			344
Griffey Intermediate, Inc. (Griffey Finance Sub LLC) 144A 7.000%, 10/15/20⁽³⁾		300			291
ING (U.S.), Inc. 144A 5.650%, 5/15/53^(2)(3)(9)		570			537


	PAR VALUE			VALUE
Financials—(continued)
Intelsat Jackson Holdings SA 144A 6.625%, 12/15/22⁽³⁾	$	510		$	497
International Lease Finance Corp.
3.875%, 4/15/18		300			282
6.250%, 5/15/19		455			470
5.875%, 8/15/22		840			833
iStar Financial, Inc. 4.875%, 7/1/18		335			316
Landry’s Holdings II, Inc. 144A 10.250%, 1/1/18⁽³⁾		175			182
Level 3 Financing, Inc. 7.000%, 6/1/20		200			201
MMI International Ltd. 144A 8.000%, 3/1/17⁽³⁾		535			540
Morgan Stanley 144A 10.090%, 5/3/17⁽³⁾		700	^BRL		311
Nationstar Mortgage LLC (Nationstar Capital Corp.) 6.500%, 7/1/21		275			265
SLM Corp. 5.500%, 1/25/23		330			314
Springleaf Finance Corp. 5.750%, 9/15/16		300			294
TMK OAO (TMK Capital SA) 144A 6.750%, 4/3/20⁽³⁾⁽⁷⁾		335			311
UPCB Finance Ltd.
V 144A 7.250%, 11/15/21⁽³⁾		250			266
VI 144A 6.875%, 1/15/22⁽³⁾		150			156

					10,462

Health Care—6.3%
Alere, Inc. 144A 6.500%, 6/15/20⁽³⁾		415			404
HCA, Inc.
6.500%, 2/15/20		910			987
7.500%, 2/15/22		415			461
Health Management Associates, Inc. 7.375%, 1/15/20		250			275
IASIS Healthcare LLC (IASIS Capital Corp.) 8.375%, 5/15/19		590			598
inVentiv Health, Inc. 144A 9.000%, 1/15/18⁽³⁾		335			351
Sky Growth Acquisition Corp. 144A 7.375%, 10/15/20⁽³⁾		350			361
Symbion, Inc. 8.000%, 6/15/16		320			334
Tenet Healthcare Corp. 144A 4.500%, 4/1/21⁽³⁾		650			608
United Surgical Partners International, Inc. 9.000%, 4/1/20		500			543
Universal Hospital Services Inc 7.625%, 8/15/20		300			315
Valeant Pharmaceuticals International, Inc. Escrow Corp. 144A
6.750%, 8/15/18⁽³⁾		215			221


	PAR VALUE			VALUE
Health Care—(continued)
144A 7.500%, 7/15/21⁽³⁾	$	40		$	41
144A 7.250%, 7/15/22⁽³⁾		300			306

					5,805

Industrials—8.5%
AAR Corp. 144A 7.250%, 1/15/22⁽³⁾		285			307
ADS Tactical, Inc. 144A 11.000%, 4/1/18⁽³⁾		245			238
ADS Waste Holdings, Inc. 144A 8.250%, 10/1/20⁽³⁾		250			256
Ahern Rentals, Inc. 144A 9.500%, 6/15/18⁽³⁾		300			300
America West Airlines Pass-Through-Trust 00-1, G 8.057%, 7/2/20		65			72
Ashton Woods USA LLC (Ashton Woods Finance Co.) 144A 6.875%, 2/15/21⁽³⁾		340			344
Avis Budget Car Rental LLC 144A 5.500%, 4/1/23⁽³⁾		385			373
Bharti Airtel International Netherlands BV 144A 5.125%, 3/11/23⁽³⁾		275			251
Bombardier, Inc. 144A 6.125%, 1/15/23⁽³⁾		565			564
Builders FirstSource, Inc. 144A 7.625%, 6/1/21⁽³⁾		445			432
Dycom Investments, Inc. 7.125%, 1/15/21		500			532
DynCorp International, Inc. 10.375%, 7/1/17		460			465
Harland Clarke Holdings Corp. 144A 9.750%, 8/1/18⁽³⁾		125			131
HD Supply, Inc. 144A 7.500%, 7/15/20⁽³⁾		330			335
Hellenic Railways 5.460%, 1/30/14		225	^EUR		277
Iron Mountain, Inc. 5.750%, 8/15/24		425			401
Kratos Defense & Security Solutions, Inc. 10.000%, 6/1/17		350			376
Rexel SA 144A 5.250%, 6/15/20⁽³⁾		335			336
Sappi Papier Holding GmbH 144A 7.750%, 7/15/17⁽³⁾		250			265
Spectrum Brands Escrow Corp. 144A 6.375%, 11/15/20⁽³⁾		385			404
Spirit Aerosystems, Inc. 6.750%, 12/15/20		315			329
TransDigm, Inc. 144A 7.500%, 7/15/21⁽³⁾		485			497
United Rentals North America, Inc. 7.375%, 5/15/20		295			316

					7,801

Information Technology—6.0%
Avaya, Inc. 144A 7.000%, 4/1/19⁽³⁾		300			272
Ceridian Corp. 144A 11.000%, 3/15/21⁽³⁾		40			44
CoreLogic, Inc. 7.250%, 6/1/21		1,000			1,070


	PAR VALUE		VALUE
Information Technology—(continued)
EarthLink, Inc. 144A 7.375%, 6/1/20⁽³⁾	$	510	$	492
First Data Corp.
11.250%, 3/31/16		526		517
144A 6.750%, 11/1/20⁽³⁾		650		665
144A 8.250%, 1/15/21⁽³⁾		215		220
144A 11.750%, 8/15/21⁽³⁾		1,700		1,538
Hughes Satellite Systems Corp. 7.625%, 6/15/21		250		267
Igloo Holdings Corp. PIK Interest Capitalization, 144A 8.250%, 12/15/17⁽³⁾		115		118
Softbank Corp. 144A 4.500%, 4/15/20⁽³⁾		200		193
SunGard Data Systems, Inc. 144A 6.625%, 11/1/19⁽³⁾		65		66

				5,462

Materials—10.1%
Ardagh Packaging Finance plc 144A 9.125%, 10/15/20⁽³⁾		275		293
Calumet Specialty Products Partners LP
9.375%, 5/1/19		230		247
144A 9.625%, 8/1/20⁽³⁾		200		219
Cascades, Inc. 7.875%, 1/15/20		880		924
Cemex SAB de CV
144A 9.500%, 6/15/18⁽³⁾		225		244
144A 5.875%, 3/25/19⁽³⁾		400		389
Eldorado Gold Corp. 144A 6.125%, 12/15/20⁽³⁾		190		184
EuroChem Mineral & Chemical Co. OJSC (EuroChem GI Ltd.) 144A 5.125%, 12/12/17⁽³⁾⁽⁷⁾		235		232
Evraz Group SA 144A 6.500%, 4/22/20⁽³⁾		325		293
FMG Resources Property Ltd. 144A 6.000%, 4/1/17⁽³⁾		300		293
Hexion Corp.
144A 8.875%, 2/1/18⁽³⁾		545		559
144A 6.625%, 4/15/20⁽³⁾		450		451
6.625%, 4/15/20		95		95
Ineos Finance plc
144A 8.375%, 2/15/19⁽³⁾		140		153
144A 7.500%, 5/1/20⁽³⁾		220		235
JMC Steel Group 144A 8.250%, 3/15/18⁽³⁾		490		481
Libbey Glass, Inc. 6.875%, 5/15/20		450		473
Pactiv LLC 8.125%, 6/15/17		265		276
Reynolds Group Issuer, Inc. (Reynolds Group Issuer LLC)
9.875%, 8/15/19		260		280
8.500%, 5/15/18		400		414


	PAR VALUE			VALUE
Materials—(continued)
8.250%, 2/15/21	$	270		$	268
Sappi Papier Holding GmbH 144A 6.625%, 4/15/21⁽³⁾		500			488
Sealed Air Corp. 144A 5.250%, 4/1/23⁽³⁾		105			102
Tenedora Nemak SA de CV 144A 5.500%, 2/28/23⁽³⁾		390			371
Tronox Finance LLC 144A 6.375%, 8/15/20⁽³⁾		335			317
Turkiye Sise Ve Cam Fabrikalari AS 144A 4.250%, 5/9/20⁽³⁾		200			183
United States Steel Corp. 6.875%, 4/1/21		340			332
Vedanta Resources plc 144A 9.500%, 7/18/18⁽³⁾		395			434

					9,230

Telecommunication Services—7.1%
America Movil SAB de CV Series 12 6.450%, 12/5/22		2,000	^MXN		149
CenturyLink, Inc. Series V 5.625%, 4/1/20		600			609
Cequel Communications Holdings I LLC (Cequel Capital Corp.) 144A 6.375%, 9/15/20⁽³⁾		350			358
Cincinnati Bell, Inc. 8.375%, 10/15/20		280			290
Clearwire Communications LLC (Clearwire Finance, Inc.) 144A 12.000%, 12/1/15⁽³⁾		300			319
Frontier Communications Corp. 7.125%, 1/15/23		480			479
Intelsat Luxembourg SA
144A 6.750%, 6/1/18⁽³⁾		510			516
144A 7.750%, 6/1/21⁽³⁾		335			340
Koninklijke KPN NV 144A 7.000%, 3/28/73^(2)(3)(9)		335			318
MetroPCS Wireless, Inc. 6.625%, 11/15/20		310			323
SBA Telecommunications, Inc. 144A 5.750%, 7/15/20⁽³⁾		315			317
Sprint Capital Corp. 6.875%, 11/15/28		520			502
Sprint Nextel Corp. 6.000%, 11/15/22		270			266
Vimpel Communications OJSC 144A 7.748%, 2/2/21⁽³⁾⁽⁷⁾		200			214
WideOpenWest Finance LLC 10.250%, 7/15/19		350			374
Wind Acquisition Finance S.A.
144A 11.750%, 7/15/17⁽³⁾		300			313
144A 7.250%, 2/15/18⁽³⁾		370			371
Windstream Corp. 7.000%, 3/15/19		450			452

					6,510

Utilities—2.2%
AES Corp. (The) 7.375%, 7/1/21		500			551


	PAR VALUE		VALUE
Utilities—(continued)
AmeriGas Partners LP (AmeriGas Finance Corp.)
6.250%, 8/20/19	$	230	$	232
7.000%, 5/20/22		300		308
Calpine Corp. 144A 7.500%, 2/15/21⁽³⁾		295		317
Energy Future Intermediate Holding Co. LLC ( Energy Future Intermediate Holding Finance, Inc.) 10.000%, 12/1/20		250		275
Texas Competitive Electric Holdings Co., LLC (Texas Competitive Holdings Finance, Inc.) 144A 11.500%, 10/1/20⁽³⁾		500		376

				2,059

TOTAL CORPORATE BONDS (Identified Cost $75,990)				75,827

LOAN AGREEMENTS⁽²⁾ —12.1%
Consumer Discretionary—4.1%
BJ’s Wholesale Club, Inc. Second Lien, 9.750%, 3/26/20		85		87
CBAC Borrower LLC 0.000%, 4/26/20⁽¹⁰⁾		142		145
Clear Channel Communications, Inc. Tranche B, 3.845%, 1/29/16		918		841
0.000%, 1/30/19⁽¹⁰⁾		249		228
Cumulus Media Holdings, Inc. Second Lien, 7.500%, 9/16/19		315		322
EB Sports Corp. 11.500%, 12/31/15		310		309
Four Seasons Holdings, Inc. 0.000%, 12/24/20⁽¹⁰⁾		60		61
Granite Broadcasting Corp. 0.000%, 5/23/18⁽¹⁰⁾		301		303
Landry’s, Inc. Tranche B, 4.750%, 4/24/18		394		395
Merrill Communications LLC 7.250%, 3/8/18		279		281
Peppermill Casinos, Inc. Tranche B, 7.250%, 11/9/18		338		346
Transtar Holding Co. Second Lien, 9.750%, 10/9/19		200		205
TWCC Holding Corp. 0.000%, 12/11/20⁽¹⁰⁾		202		204

				3,727

Consumer Staples—1.1%
AdvancePierre Foods, Inc. Second Lien, 9.500%, 10/10/17		290		296
Crossmark Holdings, Inc. Second Lien, 8.750%, 12/21/20		190		190
Hostess Brands Acquisition LLC 0.000%, 4/9/20⁽¹⁰⁾		262		268
Rite Aid Corp.


	PAR VALUE		VALUE
Consumer Staples—(continued)
0.000%, 8/21/20⁽¹⁰⁾	$	21	$	21
0.000%, 6/21/21⁽¹⁰⁾		180		180

				955

Energy—0.9%
Brand Energy & Infrastructure Services, Inc. (FR Brand Acquisition Corp.) Second Lien, 11.000%, 10/23/19		255		262
NGPL Pipeco LLC 6.750%, 9/15/17		255		254
Sabine Oil & Gas LLC Second Lien, 8.750%, 12/31/18		285		285

				801

Financials—0.3%
Lonestar Intermediate Super Holdings LLC 11.000%, 9/2/19		92		96
Nuveen Investments, Inc. Tranche B, Second Lien 6.500%, 2/28/19		191		189

				285

Health Care—0.8%
American Renal Holdings, Inc. 0.000%, 2/20/20⁽¹⁰⁾		292		292
Ardent Medical Services, Inc.
0.000%, 7/2/18⁽¹⁰⁾		166		168
0.000%, 1/2/19⁽¹⁰⁾		120		122
MMM Holdings, Inc. 9.750%, 12/12/17		108		109
MSO of Puerto Rico, Inc. 9.750%, 12/12/17		78		79

				770

Industrials—0.5%
Alliance Laundry Systems LLC Second Lien, 9.500%, 12/10/19		59		60
CHG Buyer Corp. Second Lien, 9.000%, 11/19/20		153		156
Harland Clarke Holdings Corp. (Clarke American Corp.) 0.000%, 6/30/17⁽¹⁰⁾		180		174
SESAC Holding Co. II LLC First Lien, 6.000%, 2/7/19		101		102

				492

Information Technology—2.7%
Alcatel-Lucent U.S.A., Inc.
6.250%, 8/1/16		24		24
7.250%, 1/30/19		247		250
Allflex Holdings III, Inc. 0.000%, 6/7/21⁽¹⁰⁾		193		194
Blue Coat Systems, Inc. 0.000%, 6/26/20⁽¹⁰⁾		445		445


	PAR VALUE		VALUE
Information Technology—(continued)
Deltek, Inc.
0.000%, 10/10/19⁽¹⁰⁾	$	100	$	101
Second Lien, 10.000%, 10/10/19		53		54
IPC Systems, Inc. Tranche C, First Lien, 7.750%, 7/31/17		278		268
Kronos, Inc. Second Lien, 9.750%, 4/30/20		260		269
RP Crown Parent LLC
First Lien 6.750%, 12/21/18		189		190
Second Lien, 11.250%, 12/21/19		120		124
Sorenson Communications, Inc. 0.000%, 10/31/14⁽¹⁰⁾		279		280
Wall Street Systems Holdings, Inc. Second Lien, 9.250%, 10/25/20		275		277

				2,476

Materials—1.0%
Ameriforge Group, Inc. Second Lien, 8.750%, 12/21/20		80		81
Essar Steel Algoma, Inc. (Algoma Steel, Inc.) 8.750%, 9/19/14		417		426
Houghton International, Inc. Holding Corp. Second Lien, 9.500%, 12/21/20		370		379

				886

Telecommunication Services—0.7%
Hawaiian Telcom Communications, Inc. 5.000%, 6/6/19		248		248
Integra Telecom Holdings, Inc. Second Lien, 9.750%, 2/21/20		126		130
Securus Technologies Holdings, Inc. (Securus Technologies, Inc.) Second Lien 9.000%, 4/30/21		285		286

				664

TOTAL LOAN AGREEMENTS (Identified Cost $10,882)				11,056


	SHARES		VALUE
PREFERRED STOCK—1.1%
Financials—1.1%
Citigroup, Inc. Series D 5.350%⁽²⁾		510,000		480
GMAC Capital Trust I Series 2 8.125%		20,800		542

TOTAL PREFERRED STOCK (Identified Cost $1,032)				1,022


TOTAL LONG TERM INVESTMENTS—98.4% (Identified cost $90,188)		90,236

TOTAL INVESTMENTS—98.4% (Identified Cost $90,188)		90,236	⁽¹⁾
Other assets and liabilities, net—1.6%		1,454

NET ASSETS—100.0%	$	91,690

Abbreviations:

PIK	Payment-in-Kind Security

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at June 30, 2013, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Variable or step coupon security; interest rate shown reflects the rate in effect at June 30, 2013.

⁽³⁾	Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2013, these securities amounted to a value of $41,409 or 45.2% 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⁾	This note was issued for the sole purpose of funding a loan agreement between the issuer and the borrower. As the credit risk for this security lies solely with the borrower, the name represented here is that of the borrower.

⁽⁸⁾	No contractual maturity date (9) Interest payments may be deferred.

⁽¹⁰⁾	This loan will settle after June 30, 2013, at which time the interest rate, based on the London Interbank Offered Rate (“LIBOR”) and the agreed upon spread on trade date, will be reflected.

⁽¹¹⁾	Principal amount is adjusted pursuant to the change in the local inflation index.

Foreign Currencies:

BRL	Brazilian Real

EUR	European Currency Unit

MXN	Mexican Peso

UYU	Uruguayan Peso

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2013 (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.

Refer to the last paragraph under “Note 1A. Securities Valuation” for a description of the valuation process in place and a qualitative discussion about sensitive inputs used in Level 3 internally fair valued measurement.


	SHARES		VALUE
COMMON STOCKS—121.5%
Consumer Discretionary—19.7%
Anheuser-Busch InBev N.V. Sponsored ADR (Belgium)		6,800	$	614
Bayerische Motoren Werke AG (Germany)		7,793		681
Bridgestone Corp. (Japan)		18,900		644
Compass Group plc (United Kingdom)		45,249		578
Swatch Group AG (The) (Switzerland)		1,021		559
Tata Motors Ltd. Sponsored ADR (India)		29,100		682

				3,758

Energy—10.3%
Canadian Natural Resources Ltd. (Canada)		21,200		599
Transocean Ltd. (Switzerland)		14,600		700
Tullow Oil plc (United Kingdom)		43,602		664

				1,963

Financials—37.6%
Aviva plc (United Kingdom)		139,346		720
AXA SA Sponsored ADR (France)		37,700		742
Banco Bilbao Vizcaya Argentaria SA Sponsored ADR (Spain)		86,000		723
Barclays plc Sponsored ADR (United Kingdom)		42,800		733
BNP Paribas SA (France)		14,203		776
Credit Suisse Group AG Sponsored ADR (Switzerland)		26,000		688
DBS Group Holdings Ltd. (Singapore)		61,000		746
Intesa Sanpaolo SpA (Italy)		363,723		583
Prudential plc ADR (United Kingdom)		23,200		759
Sumitomo Mitsui Financial Group, Inc. Sponsored ADR (Japan)		74,700		689

				7,159

Health Care—9.6%
Astellas Pharma, Inc. (Japan)		12,300		668
H Lundbeck A/S Sponsored ADR (Denmark)		31,000		552
Smith & Nephew plc Sponsored ADR (United Kingdom)		10,800		606

				1,826

Industrials—16.6%
FANUC Corp. (Japan)		4,500		652
Hutchison Whampoa Ltd. (Hong Kong)		58,000		610
Itochu Corp. (Japan)		54,200		626
Komatsu Ltd. (Japan)		23,900		552


	SHARES		VALUE
Industrials—(continued)
Nidec Corp. (Japan)		10,500	$	733

				3,173

Information Technology—6.6%
SAP AG Sponsored ADR (Germany)		8,600		627
Taiwan Semiconductor Manufacturing Co., Ltd. Sponsored ADR (Taiwan)		34,500		632

				1,259

Materials—14.3%
Nitto Denko Corp. (Japan)		11,400		733
Shin-Etsu Chemical Co., Ltd. (Japan)		10,500		697
Svenska Cellulosa AB B Shares (Sweden)		26,426		663
Syngenta AG Registered Shares (Switzerland)		1,599		626

				2,719

Telecommunication Services—3.8%
SK Telecom Co., Ltd. ADR (South Korea)		35,500		722

Utilities—3.0%
Centrica plc (United Kingdom)		106,663		584

TOTAL COMMON STOCKS (Identified Cost $24,558)				23,163

TOTAL LONG TERM INVESTMENTS—121.5% (Identified cost $24,558)				23,163	⁽²⁾

SHORT-TERM INVESTMENTS—3.0%
Money Market Mutual Funds—3.0%
Fidelity Money Market Portfolio - Institutional Shares (Seven-day effective yield 0.012%)		568,257		568

TOTAL SHORT-TERM INVESTMENTS (Identified Cost $568)				568

TOTAL INVESTMENTS—124.5% (Identified Cost $25,126)				23,731	⁽¹⁾
Other assets and liabilities, net—(24.5)%				(4,676	)

NET ASSETS—100.0%			$	19,055

Abbreviations:

ADR	American Depositary Receipt

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at June 30, 2013, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	A portion of the Fund’s assets have been segregated for forward currency contracts.

At June 30, 2013, the Fund had entered into forward currency contracts as follows (reported in 000’s):

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2013 (See Security Valuation Note 1A in the Notes to Schedules of Investments):


	SHARES		VALUE
COMMON STOCKS—97.6%
Australia—16.6%
BGP Holdings plc^(2)(3)(4)		588,920	$	0
CFS Retail Property Trust		262,552		480
Dexus Property Group		1,371,115		1,342
GPT Group		272,000		955
Westfield Group		309,473		3,238
Westfield Retail Trust		370,173		1,049

				7,064

Bermuda—3.5%
Hongkong Land Holdings Ltd.		216,100		1,485

Canada—13.9%
Allied Properties Real Estate Investment Trust		44,715		1,361
Brookfield Properties, Inc.		73,750		1,226
Canadian Real Estate Investment Trust		20,595		853
Cominar Real Estate Investment Trust		20,265		402
First Capital Realty, Inc.		53,305		905
RioCan Real Estate Investment Trust		49,050		1,178

				5,925

Finland—1.1%
Citycon OYJ		145,320		452

France—9.2%
Fonciere Des Regions		5,260		395
Klepierre		12,856		507
Unibail-Rodamco SE		13,010		3,031

				3,933

Germany—2.4%
GSW Immobilien AG		10,490		406
LEG Immobilien AG		11,861		617

				1,023

Hong Kong—8.6%
Hang Lung Properties Ltd.		320,000		1,116
Hysan Development Co. Ltd.		170,000		738
Link REIT (The)		365,441		1,797

				3,651

Italy—0.9%
Beni Stabili SpA		616,257		380

Japan—11.4%
AEON Mall Co., Ltd.		17,830		442


	SHARES		VALUE
Japan—(continued)
GLP J-REIT		370	$	362
Japan Prime Realty Investment Corp.		211		646
Japan Real Estate Investment Corp.		67		748
Kenedix Realty Investment Corp.		134		533
Nippon Building Fund, Inc.		82		949
Nippon Prologis REIT, Inc.		68		592
Tokyu REIT, Inc.		98		570

				4,842

Mexico—1.8%
TF Administradora Industrial S de Rl de CV		366,852		765

Netherlands—2.1%
Corio N.V.		12,312		490
Eurocommercial Properties N.V.		11,097		407

				897

Norway—1.2%
Norwegian Property ASA		385,600		489

Singapore—6.5%
CapitaMall Trust		125,650		198
CapitaRetail China Trust		712,725		793
Global Logistic Properties Ltd.		556,500		1,207
Mapletree Logistics Trust		653,544		567

				2,765

Sweden—1.8%
Castellum AB		57,866		785

Switzerland—0.5%
PSP Swiss Property AG		2,491		216

United Kingdom—16.1%
Big Yellow Group plc		81,188		475
British Land Co. plc		114,305		985
Derwent London plc		15,146		530
Great Portland Estates plc		73,818		596
Hammerson plc		142,309		1,055
Land Securities Group plc		136,885		1,840
Safestore Holdings plc		271,876		514
SEGRO plc		207,457		881

				6,876

TOTAL COMMON STOCKS (Identified Cost $35,146)				41,548


	SHARES		VALUE
TOTAL LONG TERM INVESTMENTS—97.6% (Identified cost $35,146)			$	41,548

SHORT-TERM INVESTMENTS—1.8%
Money Market Mutual Funds—1.8%
Fidelity Money Market Portfolio - Institutional Shares (Seven-day effective yield 0.012%)		769,622		770

TOTAL SHORT-TERM INVESTMENTS (Identified Cost $770)				770

TOTAL INVESTMENTS—99.4% (Identified Cost $35,916)				42,318	⁽¹⁾
Other assets and liabilities, net—0.6%				274

NET ASSETS—100.0%			$	42,592

Abbreviations:


REIT		Real Estate Investment Trust

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at June 30, 2013, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Non-income producing.

⁽³⁾	Illiquid security.

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

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2013 (See Security Valuation Note 1A in the Notes to Schedules of Investments):


	SHARES		VALUE
COMMON STOCKS—86.8%
Consumer Discretionary—8.9%
Goldlion Holdings Ltd. (Hong Kong)		778,600	$	375
Maisons France Confort (France)		8,350		255
Rightmove plc (United Kingdom)		2,100		66
Watts Co., Ltd. (Japan)		24,200		240
Wotif.Com Holdings Ltd. (Australia)		66,300		275

				1,211

Consumer Staples—6.9%
Compania Cervecerias Unidas SA (Chile)		12,800		183
Distell Group Ltd. (South Africa)		4,143		51
Dongsuh Co., Inc. (South Korea)		20,000		483
Wawel SA (Poland)		921		216

				933

Energy—6.3%
Calfrac Well Services Ltd. (Canada)		6,800		196
Schoeller-Bleckmann Oilfield Equipment AG (Austria)		3,916		399
TGS Nopec Geophysical Co., ASA (Norway)		8,750		254

				849

Financials—14.0%
ARA Asset Management Ltd. (Singapore)		339,760		466
Euler Hermes SA (France)		3,800		383
Euroz Ltd. (Australia)		572,000		523
Hiscox Ltd. (Bermuda)		44,300		384
Rathbone Brothers plc (United Kingdom)		5,790		139

				1,895

Health Care—5.5%
Haw Par Corp. Ltd. (Singapore)		49,719		284
Nakanishi, Inc. (Japan)		1,200		153
Stallergenes SA (France)		1,300		91
WIN-Partners Co., Ltd. (Japan)		25,200		222

				750

Industrials—25.7%
AIT Corp. (Japan)		47,000		573
Amadeus Fire AG (Germany)		5,795		331
ASR Holdings Ltd. (Hong Kong)		2,524,500		218
Clasquin (France)		5,100		141
Freight Management Holdings Bhd (Malaysia)		453,641		202
Goodpack Ltd. (Singapore)		220,000		273
Pfeiffer Vacuum Technology AG (Germany)		1,300		135


	SHARES		VALUE
Industrials—(continued)
Richelieu Hardware Ltd. (Canada)		6,350	$	247
Riverstone Holdings Ltd. (Singapore)		966,000		385
Rotork plc (United Kingdom)		6,385		259
SMT Scharf AG (Germany)		7,867		242
Thermador Groupe (France)		4,200		323
Vicom Ltd. (Singapore)		39,998		148

				3,477

Information Technology—6.8%
Domino Printing Sciences plc (United Kingdom)		36,000		342
Iress Ltd. (Australia)		21,900		150
MercadoLibre, Inc. (United States)		990		107
Pro-Ship, Inc. (Japan)		16,800		322

				921

Materials—12.7%
Corp. Moctezuma SAB de CV (Mexico)		92,500		288
KPX Chemical Co., Ltd. (South Korea)		9,019		499
Rimoni Industries Ltd. (Israel)		51,000		352
Uyemura (C) & Co., Ltd. (Japan)		8,200		339
Victrex plc (United Kingdom)		10,600		249

				1,727

TOTAL COMMON STOCKS (Identified Cost $11,200)				11,763

TOTAL LONG TERM INVESTMENTS—86.8% (Identified cost $11,200)				11,763

SHORT-TERM INVESTMENTS—17.6%
Money Market Mutual Funds—17.6%
Fidelity Money Market Portfolio - Institutional Shares (Seven-day effective yield 0.012%)		2,380,876		2,381

TOTAL SHORT-TERM INVESTMENTS (Identified Cost $2,381)				2,381

TOTAL INVESTMENTS—104.4% (Identified Cost $13,581)				14,144	⁽¹⁾
Other assets and liabilities, net—(4.4)%				(601	)

NET ASSETS—100.0%			$	13,543

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at June 30, 2013, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2013 (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—95.6%
iShares S&P 100 Index Fund⁽³⁾		20,000	$	1,439

TOTAL EXCHANGE-TRADED FUNDS (Identified Cost $1,465)				1,439

PURCHASED OPTIONS—0.1%
Call Options—0.1%
CBOE Volatility Index expiring 7/17/13 at strike price $23⁽²⁾		34		2

TOTAL PURCHASED OPTIONS (Identified Cost $4)				2

TOTAL INVESTMENTS BEFORE WRITTEN OPTIONS— 95.7% (Identified Cost $1,469)				1,441

WRITTEN OPTIONS—(0.1)%
Call Options—(0.1)%
S&P 500^® Index expiring 7/20/13 at strike price $1,700⁽²⁾		9		(1	)

TOTAL WRITTEN OPTIONS (Identified Cost $(2))				(1	)

TOTAL INVESTMENTS NET OF WRITTEN OPTIONS — 95.6% (Identified Cost $1,467)				1,440	⁽¹⁾
Other assets and liabilities, net—4.4%				66

NET ASSETS—100.0%			$	1,506

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at June 30, 2013, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Non-income producing.

⁽³⁾	All or a portion segregated as collateral for written options.

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2013 (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
MUNICIPAL BONDS—0.2%
Kentucky—0.1%
Commonwealth of Kentucky Taxable 3.165%, 4/1/18	$	417		$	423

Michigan—0.0%
Tobacco Settlement Finance Authority Taxable Series 06-A, 7.309%, 6/1/34		145			125

Virginia—0.1%
Tobacco Settlement Financing Corp. Taxable Series 07-A1, 6.706%, 6/1/46		335			251

TOTAL MUNICIPAL BONDS (Identified Cost $875)					799

FOREIGN GOVERNMENT SECURITIES—10.4%
Argentine Republic 7.000%, 10/3/15		665			580
Provincia de Bueno Aires, Series GDP, 144A 10.875%, 1/26/21⁽³⁾		500			327
PIK Interest Capitalization 8.280%, 12/31/33		2,091			1,187
Bolivarian Republic of Venezuela
RegS 7.000%, 12/1/18⁽⁴⁾		510			427
RegS 12.750%, 8/23/22⁽⁴⁾		485			500
RegS 8.250%, 10/13/24⁽⁴⁾		1,110			866
9.250%, 9/15/27		360			306
9.375%, 1/13/34		2,145			1,764
Commonwealth of Australia Series 125 6.250%, 6/15/14		1,400	^AUD		1,326
New South Wales Treasury Corp. Series 17 5.500%, 3/1/17		610	^AUD		602
Commonwealth of Canada 2.000%, 3/1/14		4,460	^CAD		4,266
Commonwealth of New Zealand Series 415, 6.000%, 4/15/15		2,010	^NZD		1,642
Federative Republic of Brazil 8.500%, 1/5/24		6,195	^BRL		2,554
Hellenic Republic
2.000%, 2/24/23⁽²⁾		580	^EUR		410
2.000%, 2/24/27⁽²⁾		1,210	^EUR		719
Kingdom of Morocco 144A 4.250%, 12/11/22⁽³⁾		1,030			907
Kingdom of Norway Treasury Bill, 0.000%, 12/18/13		7,800	^NOK		1,275
Mongolia 144A 5.125%, 12/5/22⁽³⁾		825			734
Provincia de Neuquen 144A 7.875%, 4/26/21⁽³⁾		609			542
Republic of Colombia


	PAR VALUE			VALUE
12.000%, 10/22/15	$	925,000	^COP	$	553
4.375%, 3/21/23		1,867,000	^COP		855
Republic of Costa Rica 144A 4.375%, 4/30/25⁽³⁾		520			481
Republic of Croatia 144A 6.375%, 3/24/21⁽³⁾		1,045			1,093
Republic of Iceland 144A 5.875%, 5/11/22⁽³⁾		925			980
Republic of Indonesia Series FR63, 5.625%, 5/15/23		6,141,000	^IDR		552
Republic of Korea Treasury Bond, Series 1312, 3.000%, 12/10/13		895,000	^KRW		785
Republic of Peru 144A 7.840%, 8/12/20⁽³⁾		1,065	^PEN		441
RegS 6.900%, 8/12/37⁽⁴⁾		2,010	^PEN		742
Republic of Philippines 4.950%, 1/15/21		32,000	^PHP		761
Republic of Portugal Treasury Obligation 4.950%, 10/25/23		520	^EUR		608
Republic of Serbia 144A 5.250%, 11/21/17⁽³⁾		700			686
Republic of Slovak 144A 4.375%, 5/21/22⁽³⁾		850			869
Republic of South Africa
Series R206, 7.500%, 1/15/14		11,845	^ZAR		1,212
Series R208, 6.750%, 3/31/21		6,720	^ZAR		652
Republic of Turkey 9.000%, 3/5/14		3,865	^TRY		2,024
Republic of Uruguay 4.375%, 12/15/28⁽¹²⁾		19,817	^UYU		1,126
Russian Federation 144A 7.850%, 3/10/18⁽³⁾		60,000	^RUB		1,904
Series 6207 8.150%, 2/3/27		45,960	^RUB		1,437
State of Qatar 144A 4.500%, 1/20/22⁽³⁾		550			590
United Mexican States
Series M, 6.000%, 6/18/15		30,592	^MXN		2,432
Series M, 6.500%, 6/9/22		30,825	^MXN		2,500

TOTAL FOREIGN GOVERNMENT SECURITIES (Identified Cost $47,145)					44,217

MORTGAGE-BACKED SECURITIES—9.1%
Non-Agency—9.1%
A-10 Securitization LLC 13-1, B 144A 4.120%, 11/15/25⁽³⁾		1,100			1,084
Banc of America Alternative Loan Trust 03-2, CB3 5.750%, 4/25/33		1,125			1,217
Bank of America Funding Corp. 06-2, 3A1 6.000%, 3/25/36		474			470
Bear Stearns Commercial Mortgage Securities, Inc.
06-T22, AM 5.766%, 4/12/38⁽²⁾		900			975
06-PW12, AM 5.941%, 9/11/38⁽²⁾		650			703


	PAR VALUE		VALUE
Non-Agency—(continued)
05-PW10, AM 5.449%, 12/11/40⁽²⁾	$	895	$	957
06-PW13, AM 5.582%, 9/11/41⁽²⁾		1,360		1,486
07-PW18, AM 6.084%, 6/11/50⁽²⁾		1,525		1,696
Chase Mortgage Finance Corp. 07-A1, 10A1 2.903%, 2/25/37⁽²⁾		778		750
Citigroup - Deutsche Bank Commercial Mortgage Trust
05-CD1, AM 5.392%, 7/15/44⁽²⁾		610		650
07-CD4, A4 5.322%, 12/11/49		475		523
Commercial Mortgage Pass-Through Certificates 07-C2, A3 5.542%, 1/15/49⁽²⁾		1,555		1,722
Countrywide Alternative Loan Trust 04-24CB, 1A1 6.000%, 11/25/34		164		164
Credit Suisse First Boston Mortgage Securities Corp. 04-CF2, 1M1 144A 5.250%, 1/25/43⁽²⁾⁽³⁾		1,042		1,133
Extended Stay America Trust 13-ESHM, M 144A 7.625%, 12/5/19⁽³⁾		1,510		1,517
GMAC Commercial Mortgage Securities, Inc. 04- C2, A3 5.134%, 8/10/38		211		213
Goldman Sachs Mortgage Pass-Through- Securities Mortgage Loan Trust
05-RP1, 1A3 144A 8.000%, 1/25/35⁽³⁾		1,275		1,360
06-RP1, 1A4 144A 8.500%, 1/25/36⁽³⁾		976		1,049
Goldman Sachs Mortgage Securities Corp. II 07- GG10, A4 5.982%, 8/10/45⁽²⁾		750		836
JPMorgan Chase Commercial Mortgage Securities Trust
10-CNTR, A2, 144A 4.311%, 8/5/32⁽³⁾		750		783
06-LDP7, AM 6.056%, 4/15/45⁽²⁾		1,500		1,648
Lehman Brothers - UBS Commercial Mortgage Trust
07-C2, A3 5.430%, 2/15/40		1,100		1,206
07-C7, A3 5.866%, 9/15/45⁽²⁾		576		642
Lehman Brothers Commercial Mortgage Trust 07- C3, A4 6.081%, 7/15/44⁽²⁾		500		566
MASTR Alternative Loan Trust 04-6, 10A1 6.000%, 7/25/34		670		692
MASTR Reperforming Loan Trust 05-1, 1A5 144A 8.000%, 8/25/34⁽³⁾		784		819
Merrill Lynch Mortgage Investors, Inc. 98-C1, C 6.750%, 11/15/26⁽²⁾		1,260		1,354
Merrill Lynch Mortgage Trust 06-C1, AM 5.872%, 5/12/39⁽²⁾		715		777


	PAR VALUE		VALUE
Non-Agency—(continued)
Morgan Stanley Capital I Trust
05-HQ5, A3 5.007%, 1/14/42	$	8	$	8
07-IQ14, AM 5.876%, 4/15/49⁽²⁾		800		805
Motel 6 Trust 12-MTLB, D 144A 3.781%, 10/5/25⁽³⁾		1,075		1,038
Nomura Asset Acceptance Corp.
04-R1, A1 144A 6.500%, 3/25/34⁽³⁾		1,559		1,641
04-R3, A1 144A 6.500%, 2/25/35⁽³⁾		482		503
Residential Accredit Loans, Inc. 04-QS16, 1A5 5.500%, 12/25/34		1,146		1,151
Residential Funding Mortgage Securities I, Inc. 05- S1, 1A2 5.500%, 2/25/35		1,650		1,653
SunTrust Adjustable Rate Mortgage Loan Trust 07-S1, 5A1 4.789%, 1/25/37⁽²⁾		796		774
Wachovia Bank Commercial Mortgage Trust
06-C25, AM 5.919%, 5/15/43⁽²⁾		1,125		1,225
07-C30, A5 5.342%, 12/15/43		1,610		1,787
07-C32, A3 5.937%, 6/15/49⁽²⁾		360		403
Washington Mutual Commercial Mortgage Securities Trust 06-SL1, A, 144A 5.423%, 11/23/43⁽²⁾⁽³⁾		456		448

TOTAL MORTGAGE-BACKED SECURITIES (Identified Cost $36,388)				38,428

ASSET-BACKED SECURITIES—4.0%
AABS Ltd. 13-1, A 0.000%, 1/10/38⁽²⁾		682		692
Cheesecake Factory Holdings, Inc. 13-1A, A2 144A 4.474%, 3/20/43⁽³⁾		618		617
Citicorp Residential Mortgage Securities, Inc. 07- 2, A3 5.991%, 6/25/37⁽²⁾		775		787
Conseco Financial Corp. 01-3, A4 6.910%, 5/1/33⁽²⁾		476		536
Countrywide Asset-Backed Certificates
05-1, AF5A 5.497%, 7/25/35⁽²⁾		1,220		1,179
05-12, 1A4 5.323%, 2/25/36⁽²⁾		1,150		1,179
Dominos Pizza Master Issuer LLC 12-1A, A2 144A 5.216%, 1/25/42⁽³⁾		1,227		1,309
Drug Royalty LP II 12-1, A2 144A 4.474%, 1/15/25⁽³⁾		534		536
Fairway Outdoor Funding LLC 12-1A, A2 144A 4.212%, 10/15/42⁽³⁾		585		585
GMAC Mortgage Corp. Loan Trust 06-HLTV, A4 5.810%, 10/25/29		708		699


	PAR VALUE			VALUE
GSAA Home Equity Trust 05-12, AF3W 4.999%, 9/25/35⁽²⁾	$	1,257		$	1,243
IndyMac Manufactured Housing Contract 98-1, A3 6.370%, 9/25/28		343			354
Lehman XS Trust 05-5, 3A2B 5.420%, 11/25/35⁽²⁾		777			746
Origen Manufactured Housing Contract Trust 04- B, M1 5.730%, 11/15/35⁽²⁾		656			692
Popular ABS Mortgage Pass-Through-Trust 05-5, AF3 4.959%, 11/25/35⁽²⁾		240			236
Residential Asset Mortgage Trust 04-RZ1, M1 4.320%, 3/25/34⁽²⁾		1,081			1,112
Residential Funding Mortgage Securities II Home Loan Trust
03-HS3, AI4 5.050%, 9/25/33⁽²⁾		814			850
07-HI1, A3 5.720%, 3/25/37		801			795
Security National Mortgage Loan Trust 04-1A, AF3, 144A 6.420%, 6/25/32⁽²⁾⁽³⁾		1,334			1,232
TAL Advantage I LLC 12-1A, A 144A 3.860%, 5/20/27⁽³⁾		892			896
Terwin Mortgage Trust 04-15AL, A1 144A 5.775%, 7/25/34⁽²⁾⁽³⁾		402			402
Trip Rail Master Funding LLC 11-1A, A1A, 144A 4.370%, 7/15/41⁽³⁾		331			352

TOTAL ASSET-BACKED SECURITIES (Identified Cost $16,547)					17,029

CORPORATE BONDS—58.1%
Consumer Discretionary—6.3%
American Axle & Manufacturing, Inc. 6.250%, 3/15/21		900			919
Arcelik AS 144A 5.000%, 4/3/23⁽³⁾		540			486
Arcos Dorados Holdings, Inc. 144A 10.250%, 7/13/16⁽³⁾		1,125	^BRL		513
Automotores Gildemeister SA 144A 6.750%, 1/15/23⁽³⁾		300			256
Bon-Ton Department Stores, Inc. (The) 144A 8.000%, 6/15/21⁽³⁾		880			899
Boyd Gaming Corp. 144A 9.000%, 7/1/20		870			886
Brookfield Residential Properties, Inc. 144A 6.500%, 12/15/20⁽³⁾		1,065			1,078
Cencosud SA 144A 4.875%, 1/20/23⁽³⁾		535			524
Claire’s Stores, Inc. 144A 9.000%, 3/15/19⁽³⁾		945			1,044
Clear Channel Communications, Inc. 144A
9.000%, 12/15/19⁽³⁾		54			53


	PAR VALUE			VALUE
Consumer Discretionary—(continued)
9.000%, 3/1/21	$	500		$	477
Clear Channel Worldwide Holdings, Inc. Series B 7.625%, 3/15/20		1,085			1,128
Gateway Casinos & Entertainment Ltd. 144A 8.875%, 11/15/17⁽³⁾		200	^CAD		200
Hot Topic, Inc. 144A 9.250%, 6/15/21⁽³⁾		595			605
International Game Technology 7.500%, 6/15/19		580			671
Isle of Capri Casinos, Inc. 5.875%, 3/15/21		1,320			1,267
Jones Group, Inc. (The) Apparel Group Holdings 6.875%, 3/15/19		1,080			1,091
KOC Holding AS 144A 3.500%, 4/24/20⁽³⁾		830			718
Landry’s, Inc. 144A 9.375%, 5/1/20⁽³⁾		475			503
Lynx I Corp. 144A 5.375%, 4/15/21⁽³⁾		415			419
Meritor, Inc. 6.750%, 6/15/21		960			922
Nara Cable Funding Ltd. 144A 8.875%, 12/1/18⁽³⁾		550			575
ONO Finance II plc 144A 10.875%, 7/15/19⁽³⁾		150			157
Pittsburgh Glass Works LLC 144A 8.500%, 4/15/16⁽³⁾		650			647
Rent-A-Center, Inc. 144A 4.750%, 5/1/21⁽³⁾		360			343
River Rock Entertainment Authority (The) 9.000%, 11/1/18		198			163
Seminole Hard Rock Entertainment, Inc. (Seminole Hard Rock International LLC) 144A 5.875%, 5/15/21⁽³⁾		1,215			1,181
ServiceMaster Co. 7.000%, 8/15/20		955			911
Sinclair Television Group, Inc. 5.375%, 4/1/21		1,155			1,115
Sirius XM Radio, Inc. 144A 4.250%, 5/15/20⁽³⁾		1,185			1,117
Six Flags Entertainment Corp. 144A 5.250%, 1/15/21⁽³⁾		1,140			1,103
Station Casinos LLC 144A 7.500%, 3/1/21⁽³⁾		970			985
Taylor Morrison Communities, Inc. (Monarch Communities, Inc.) 144A 5.250%, 4/15/21⁽³⁾		1,410			1,343
TRW Automotive, Inc. 144A 4.500%, 3/1/21⁽³⁾		325			326
Univision Communications, Inc.
144A 8.500%, 5/15/21⁽³⁾		630			673
144A 5.125%, 5/15/23⁽³⁾		1,185			1,126
Yankee Candle Co. Holdings LLC (Yankee Finance, Inc.) PIK Interest Capitalization 10.250%, 2/15/16		440			453

					26,877


	PAR VALUE		VALUE
Consumer Staples—0.4%
Chiquita Brands International, Inc. (Chiquita Brands LLC) 144A 7.875%, 2/1/21⁽³⁾	$	885	$	929
Ingles Markets, Inc. 144A 5.750%, 6/15/23⁽³⁾		975		965

				1,894

Energy—7.6%
Afren plc 144A 11.500%, 2/1/16⁽³⁾		475		530
Alta Mesa Holdings LP 9.625%, 10/15/18		775		808
Atlas Pipeline Partners LP 144A 6.625%, 10/1/20⁽³⁾		495		499
Carrizo Oil & Gas, Inc. 8.625%, 10/15/18		686		737
CHC Helicopter SA 9.250%, 10/15/20		725		747
Chesapeake Energy Corp. 5.375%, 6/15/21		1,050		1,047
Compagnie Generale de Geophysique-Veritas 6.500%, 6/1/21		725		736
EP Energy LLC 9.375%, 5/1/20		840		953
EPL Oil & Gas, Inc. 8.250%, 2/15/18		1,120		1,159
EV Energy Partners LP 8.000%, 4/15/19		325		330
Expro Finance Luxembourg SCA 144A 8.500%, 12/15/16⁽³⁾		460		485
Frontier Oil Corp. 6.875%, 11/15/18		210		226
Gazprom OAO (Gaz Capital SA)
144A 8.146%, 4/11/18⁽³⁾		460		527
144A 3.850%, 2/6/20⁽³⁾⁽⁹⁾		1,115		1,037
144A 6.510%, 3/7/22⁽³⁾⁽⁹⁾		315		333
Gulfmark Offshore, Inc. 6.375%, 3/15/22		960		958
Linn Energy LLC 6.500%, 5/15/19		512		503
Lukoil International Finance BV 144A 7.250%, 11/5/19⁽³⁾		525		589
Memorial Production Partners LP (Memorial Production Finance Corp.) 144A 7.625%, 5/1/21⁽³⁾		980		970
MIE Holdings Corp. 144A 9.750%, 5/12/16⁽³⁾		550		572
OGX Austria GmbH 144A 8.500%, 6/1/18⁽³⁾		800		260
Petrobras International Finance Co. 5.375%, 1/27/21		500		502
Petroleos de Venezuela SA Series 2014
4.900%, 10/28/14		1,005		945
RegS 5.250%, 4/12/17⁽⁴⁾		375		307
RegS 8.500%, 11/2/17⁽⁴⁾		5,110		4,695
Petroleos Mexicanos
6.000%, 3/5/20		270		297
5.500%, 1/21/21		550		586


	PAR VALUE			VALUE
Energy—(continued)
5.500%, 6/27/44	$	650		$	585
Petropower I Funding Trust 144A 7.360%, 2/15/14⁽³⁾⁽⁵⁾		127			124
Plains Exploration & Production Co. 6.875%, 2/15/23		995			1,066
QEP Resources, Inc. 6.875%, 3/1/21		480			520
QGOG Constellation S.A. 144A 6.250%, 11/9/19⁽³⁾		1,000			982
Quicksilver Resources, Inc. 144A 11.000%, 7/1/21⁽³⁾		835			743
Regency Energy Partners LP (Regency Energy Finance Corp.) 144A 4.500%, 11/1/23⁽³⁾		1,160			1,053
Rosneft Oil Co. ( Rosneft International Finance Ltd.) 144A 4.199%, 3/6/22⁽³⁾⁽⁹⁾		300			278
Sabine Pass Liquefaction LLC 144A 5.625%, 2/1/21⁽³⁾		915			890
Targa Resources Partners LP 6.375%, 8/1/22		787			828
Teekay Corp. 8.500%, 1/15/20		300			328
TNK-BP Finance SA RegS 7.500%, 7/18/16⁽⁴⁾		1,165			1,292
Venoco, Inc.
11.500%, 10/1/17		600			637
8.875%, 2/15/19		225			220
Weatherford International Ltd. 9.625%, 3/1/19		318			402
Zhaikmunai LP 144A 7.125%, 11/13/19⁽³⁾		790			796

					32,082

Financials—21.8%
ADCB Finance Cayman Ltd. 144A 4.750%, 10/8/14⁽³⁾		560			578
Air Lease Corp. 4.750%, 3/1/20		1,095			1,057
Aircastle Ltd. 7.625%, 4/15/20		1,840			2,033
Akbank TAS
144A 3.875%, 10/24/17⁽³⁾		1,280			1,237
144A 7.500%, 2/5/18⁽³⁾		1,565	^TRY		745
Alfa Bank OJSC (Alfa Bond Issuance plc) RegS 7.875%, 9/25/17⁽⁴⁾⁽⁹⁾		755			805
Allstate Corp. 6.125%, 5/15/37⁽²⁾		680			731
ALROSA Finance SA 144A 7.750%, 11/3/20⁽³⁾		1,065			1,145
Banco ABC Brasil SA 144A 7.875%, 4/8/20⁽³⁾		1,025			1,081
Banco Bilbao Vizcaya Argentaria Bancomer SA
144A 6.500%, 3/10/21⁽³⁾		425			446
144A 6.750%, 9/30/22⁽³⁾		1,000			1,080
Banco Bradesco SA 144A 5.900%, 1/16/21⁽³⁾		1,150			1,170
Banco de Credito del Peru 144A 4.250%, 4/1/23⁽³⁾		657			606


	PAR VALUE			VALUE
Financials—(continued)
Banco do Brasil SA 144A 5.375%, 1/15/21⁽³⁾	$	600		$	585
Banco Internacional del Peru SAA 144A 5.750%, 10/7/20⁽³⁾		1,060			1,081
Banco Santander Brasil SA 144A 8.000%, 3/18/16⁽³⁾		900	^BRL		371
Banco Santander Chile 144A 3.875%, 9/20/22⁽³⁾		945			878
Banco Votorantim SA 144A 7.375%, 1/21/20⁽³⁾		1,660			1,747
Bancolombia SA 5.125%, 9/11/22		1,015			967
Bank of Georgia JSC 144A 7.750%, 7/5/17⁽³⁾		515			525
Bank of India
144A 3.250%, 4/18/18⁽³⁾		1,150			1,077
144A 3.625%, 9/21/18⁽³⁾		1,125			1,056
Barclays Bank plc
144A 6.050%, 12/4/17⁽³⁾		435			470
144A 5.926%^(2)(3)(7)(8)		600			588
Braskem Finance Ltd. 144A 5.750%, 4/15/21⁽³⁾		500			488
Burlington Holdings LLC (Burlington Holding Finance, Inc.) PIK Interest Capitalization, 144A 9.000%, 2/15/18⁽³⁾		660			680
Carlyle Holdings Finance LLC 144A 3.875%, 2/1/23⁽³⁾		1,160			1,122
Chubb Corp. (The) 6.375%, 3/29/67⁽²⁾		680			728
City National Corp. 5.250%, 9/15/20		475			514
CorpGroup Banking SA 144A 6.750%, 3/15/23⁽³⁾		1,075			1,087
Credit Bank of Moscow 144A 7.700%, 2/1/18⁽³⁾⁽⁹⁾		245			250
Development Bank of Kazakhstan JSC 144A 4.125%, 12/10/22⁽³⁾		1,090			970
E*TRADE Financial Corp. 6.375%, 11/15/19		840			857
ESAL GmbH 144A 6.250%, 2/5/23⁽³⁾		1,110			1,019
Eurasian Development Bank 144A 4.767%, 9/20/22⁽³⁾		925			872
Fidelity National Financial, Inc. 5.500%, 9/1/22		240			254
Fifth Third Capital Trust IV 6.500%, 4/15/37⁽²⁾		800			797
First Niagara Financial Group, Inc. 6.750%, 3/19/20		1,160			1,343
Ford Motor Credit Co. LLC
8.125%, 1/15/20		650			785
5.750%, 2/1/21		275			298
General Motors Financial Co., Inc. 144A 4.750%, 8/15/17⁽³⁾		900			927
Genworth Financial, Inc. 7.625%, 9/24/21		435			505
Glen Meadow Pass-Through Trust 144A 6.505%, 2/12/67⁽²⁾⁽³⁾		970			922


	PAR VALUE			VALUE
Financials—(continued)
GRD Holdings III Corp. 144A 10.750%, 6/1/19⁽³⁾	$	520		$	559
HBOS plc 144A 6.750%, 5/21/18⁽³⁾		115			122
Hertz Corp. (The) 5.875%, 10/15/20		865			895
HSBC Finance Corp. 6.676%, 1/15/21		500			553
Huntington Bancshares, Inc. 7.000%, 12/15/20		500			596
Hutchison Whampoa International Ltd. Series 12 144A 6.000%^(2)(3)(7)(8)		1,130			1,172
ING (U.S.), Inc.
144A 5.500%, 7/15/22⁽³⁾		1,050			1,116
144A 5.650%, 5/15/53^(2)(3)(8)		1,210			1,140
ING Bank NV 144A 5.000%, 6/9/21⁽³⁾		600			644
International Lease Finance Corp. 6.250%, 5/15/19		1,399			1,445
Intesa San Paolo SpA 3.125%, 1/15/16		875			860
Inversiones CMPC SA 144A 4.375%, 5/15/23⁽³⁾		1,450			1,387
Itau Unibanco Holding SA 144A 5.125%, 5/13/23⁽³⁾		1,085			1,013
Jefferies Group LLC
8.500%, 7/15/19		500			603
5.125%, 1/20/23		175			174
Kazakhstan Temir Zholy Finance BV 144A 6.950%, 7/10/42⁽³⁾		795			808
Kazkommertsbank JSC RegS 8.000%, 11/3/15⁽⁴⁾		250			251
Korea Development Bank 3.500%, 8/22/17		1,300			1,327
Korea Finance Corp. 4.625%, 11/16/21		700			711
Landry’s Holdings II, Inc. 144A 10.250%, 1/1/18⁽³⁾		425			442
Legg Mason, Inc. 5.500%, 5/21/19		1,240			1,277
Level 3 Financing, Inc. 7.000%, 6/1/20		935			937
Lincoln National Corp. 6.050%, 4/20/67⁽²⁾⁽⁸⁾		300			294
Lloyds TSB Bank plc 144A 6.500%, 9/14/20⁽³⁾		750			799
Lukoil International Finance BV 144A 4.563%, 4/24/23⁽³⁾		495			460
Macquarie Bank Ltd. 144A 6.625%, 4/7/21⁽³⁾		189			200
Macquarie Group Ltd.
144A 7.625%, 8/13/19⁽³⁾		500			580
144A 6.250%, 1/14/21⁽³⁾		675			717
MMI International Ltd. 144A 8.000%, 3/1/17⁽³⁾		1,105			1,116
Morgan Stanley
144A 10.090%, 5/3/17⁽³⁾		2,400	^BRL		1,065
4.100%, 5/22/23		710			656
Nationstar Mortgage LLC (Nationstar Capital Corp.) 6.500%, 7/1/21		1,000			965
Nordea Bank AB 144A 4.250%, 9/21/22⁽³⁾		1,360			1,341


	PAR VALUE		VALUE
Financials—(continued)
Novatek OAO (Novatek Finance Ltd.) 144A 4.422%, 12/13/22⁽³⁾⁽⁹⁾	$	1,105	$	1,014
Phosagro OAO (Phosagro Bond Funding Ltd.) 144A 4.204%, 2/13/18⁽³⁾⁽⁹⁾		875		862
PKO Finance AB 144A 4.630%, 9/26/22⁽³⁾⁽⁹⁾		1,315		1,278
Progressive Corp. (The) 6.700%, 6/15/37⁽²⁾		1,200		1,296
Prudential Financial, Inc.
5.875%, 9/15/42⁽²⁾		2,155		2,160
5.200%, 3/15/44⁽²⁾⁽⁸⁾		220		208
Regions Bank 7.500%, 5/15/18		750		877
Reliance Holdings USA, Inc. 144A 5.400%, 2/14/22⁽³⁾		1,000		1,015
Resona Bank Ltd. 144A 5.850% ^(2)(3)(7)(8)		750		800
Royal Bank of Scotland Group plc (The)
6.400%, 10/21/19		370		411
5.625%, 8/24/20		750		813
7.648%, 8/29/49^(2)(7)(8)		550		509
Russian Agricultural Bank OJSC
(RSHB Capital SA) 144A 6.299%, 5/15/17⁽³⁾		380		403
(RSHB Capital SA) 144A 5.298%, 12/27/17⁽³⁾		515		526
Santander U.S. Debt S.A.U. 144A 3.724%, 1/20/15⁽³⁾		800		807
Sberbank of Russia (Sberbank CapItal SA)
144A 6.125%, 2/7/22⁽³⁾⁽⁹⁾		1,800		1,879
144A 5.125%, 10/29/22⁽³⁾⁽⁹⁾		990		928
Shinhan Bank 144A 4.375%, 7/27/17⁽³⁾		650		682
SLM Corp.
4.625%, 9/25/17		765		755
5.500%, 1/25/23		655		623
Societe Generale S.A. 144A 5.922% ^{(2)(3)(7)(8)(10)}		650		614
Sovereign Bank 8.750%, 5/30/18		400		484
Spansion LLC 7.875%, 11/15/17		350		361
SunTrust Bank, Inc. 5.400%, 4/1/20		250		274
Telecom Italia Capital SA 7.175%, 6/18/19		500		556
TMK OAO (TMK Capital SA) 144A 6.750%, 4/3/20⁽³⁾⁽⁹⁾		1,130		1,048
Turkiye Garanti Bankasi AS 144A 5.250%, 9/13/22⁽³⁾		985		922
Turkiye Is Bankasi 144A 3.875%, 11/7/17⁽³⁾		1,200		1,170
UPCB Finance Ltd. VI 144A 6.875%, 1/15/22⁽³⁾		665		692
Vnesheconombank (VEB Finance plc) 144A 6.800%, 11/22/25⁽³⁾⁽⁹⁾		500		533


	PAR VALUE		VALUE
Financials—(continued)
VTB Bank OJSC (VTB Capital SA) 144A 6.000%, 4/12/17⁽³⁾⁽⁹⁾	$	1,655	$	1,721
Webster Financial Corp. 5.125%, 4/15/14		205		209
Wells Fargo & Co. 3.450%, 2/13/23		885		845
Willis Group Holdings plc
7.000%, 9/29/19		500		574
5.750%, 3/15/21		465		503
Yapi ve Kredi Bankasi AS 144A 4.000%, 1/22/20⁽³⁾		1,080		969
Zions Bancorporation 4.500%, 6/13/23		405		398

				92,421

Health Care—1.5%
Alere, Inc. 144A 6.500%, 6/15/20⁽³⁾		865		842
HCA, Inc. 6.500%, 2/15/20		1,785		1,936
inVentiv Health, Inc. 144A 9.000%, 1/15/18⁽³⁾		460		482
Symbion, Inc. 8.000%, 6/15/16		740		773
Tenet Healthcare Corp.
4.750%, 6/1/20		1,150		1,111
144A 4.500%, 4/1/21⁽³⁾		470		439
U.S. Oncology, Inc. 0.000%, 2/16/49⁽⁵⁾⁽⁶⁾		300		0
Valeant Pharmaceuticals International, Inc. Escrow Corp.
144A 6.750%, 8/15/18⁽³⁾		710		729
144A 7.500%, 7/15/21⁽³⁾		130		135

				6,447

Industrials—8.1%
AAR Corp. 144A 7.250%, 1/15/22⁽³⁾		1,135		1,223
ADS Tactical, Inc. 144A 11.000%, 4/1/18⁽³⁾		600		582
Ahern Rentals, Inc. 144A 9.500%, 6/15/18⁽³⁾		925		926
Air Canada Pass-Through-Trust 13-1B 144A 5.375%, 5/15/21⁽³⁾		542		541
America West Airlines Pass-Through-Trust 00-1, G 8.057%, 7/2/20		793		880
American Airlines Pass-Through-Trust 13-1, A 144A 4.000%, 7/15/25⁽³⁾		1,200		1,134
Ashton Woods USA LLC (Ashton Woods Finance Co.) 144A 6.875%, 2/15/21⁽³⁾		1,100		1,114
Atlas Air Pass-Through-Trust
98-1, A 7.380%, 1/2/18		479		495
99-1, A1 7.200%, 1/2/19		636		665
00-1, A 8.707%, 1/2/19		232		247


	PAR VALUE			VALUE
Industrials—(continued)
Automotores Gildemeister SA 144A 8.250%, 5/24/21⁽³⁾	$	730		$	679
Avis Budget Car Rental LLC
144A 4.875%, 11/15/17⁽³⁾		1,000			1,010
144A 5.500%, 4/1/23⁽³⁾		1,325			1,285
AWAS Aviation Capital Ltd. 144A 7.000%, 10/17/16⁽³⁾		993			1,037
Bharti Airtel International Netherlands BV 144A 5.125%, 3/11/23⁽³⁾		880			804
Bombardier, Inc. 144A 6.125%, 1/15/23⁽³⁾		1,305			1,302
Builders FirstSource, Inc. 144A 7.625%, 6/1/21⁽³⁾		940			912
Carpenter Technology Corp. 5.200%, 7/15/21		600			618
Continental Airlines Pass-Through-Trust
98-1, A 6.648%, 9/15/17		222			235
97-4, A 6.900%, 1/2/18		421			442
99-1, A 6.545%, 2/2/19		712			792
00-1, A1 8.048%, 11/1/20		849			951
01-1, A1 6.703%, 6/15/21		239			254
DP World Ltd. 144A 6.850%, 7/2/37⁽³⁾		400			413
Embraer SA 5.150%, 6/15/22		1,040			1,043
Harland Clarke Holdings Corp. 144A 9.750%, 8/1/18⁽³⁾		475			496
Hellenic Railways 5.460%, 1/30/14		1,200	^EUR		1,476
Kratos Defense & Security Solutions, Inc. 10.000%, 6/1/17		625			672
Lloyds Banking Group Capital No.1 plc 144A 7.875%, 11/1/20⁽³⁾		600			619
Northwest Airlines Pass-Through-Trust 02-1, G2 6.264%, 11/20/21		895			953
Odebrecht Finance Ltd. 144A 8.250%, 4/25/18⁽³⁾		650	^BRL		261
Rexel SA 144A 5.250%, 6/15/20⁽³⁾		1,130			1,133
Sappi Papier Holding GmbH
144A 7.750%, 7/15/17⁽³⁾		650			689
144A 8.375%, 6/15/19⁽³⁾		440			466
Spirit Aerosystems, Inc. 6.750%, 12/15/20		1,225			1,280
Steelcase, Inc. 6.375%, 2/15/21		675			729
TransDigm, Inc. 144A 7.500%, 7/15/21⁽³⁾		640			656
U.S. Airways Pass-Through-Trust
01-1G 7.076%, 3/20/21		1,859			1,984
12-1A 5.900%, 10/1/24		499			524
UAL Pass-Through-Trust
09-2 9.750%, 1/15/17		434			499
11-1 A 7.125%, 10/22/23		660			746


	PAR VALUE		VALUE
Industrials—(continued)
United Rentals North America, Inc. 7.375%, 5/15/20	$	900	$	965
Voto-Votorantim Ltd. 144A 6.750%, 4/5/21⁽³⁾		750		799

				34,531

Information Technology—2.6%
Avaya, Inc. 144A 7.000%, 4/1/19⁽³⁾		130		118
Ceridian Corp. 144A 11.000%, 3/15/21⁽³⁾		40		44
Digicel Ltd. 144A 8.250%, 9/1/17⁽³⁾		848		886
EarthLink, Inc.
8.875%, 5/15/19		225		220
144A 7.375%, 6/1/20⁽³⁾		450		434
Equinix, Inc. 4.875%, 4/1/20		465		458
Fidelity National Financial, Inc. 6.600%, 5/15/17		750		831
First Data Corp.
11.250%, 3/31/16		1,270		1,248
144A 8.250%, 1/15/21⁽³⁾		1,090		1,117
144A 11.750%, 8/15/21⁽³⁾		2,370		2,145
Freescale Semiconductor, Inc. 144A 5.000%, 5/15/21⁽³⁾		940		895
Igloo Holdings Corp. PIK Interest Capitalization, 144A 8.250%, 12/15/17⁽³⁾		250		256
NCR Corp. 4.625%, 2/15/21		1,035		994
QVC, Inc. 5.125%, 7/2/22		240		242
SunGard Data Systems, Inc. 144A 6.625%, 11/1/19⁽³⁾		210		212
Tech Data Corp. 3.750%, 9/21/17		95		97
VeriSign, Inc. 144A 4.625%, 5/1/23⁽³⁾		810		790

				10,987

Materials—5.7%
Alpek SA de CV 144A 4.500%, 11/20/22⁽³⁾		1,480		1,424
Ardagh Packaging Finance plc / Ardagh MP Holdings USA, Inc. 144A 4.875%, 11/15/22⁽³⁾		275		258
Calumet Specialty Products Partners LP 9.375%, 5/1/19		763		820
Cascades, Inc. 7.875%, 1/15/20		1,100		1,155
Cemex SAB de CV 144A 9.500%, 6/15/18⁽³⁾		976		1,059
Eldorado Gold Corp. 144A 6.125%, 12/15/20⁽³⁾		455		441
EuroChem Mineral & Chemical Co. OJSC (EuroChem GI Ltd.) 144A 5.125%, 12/12/17⁽³⁾⁽⁹⁾		550		543
FMG Resources Property Ltd. 144A 8.250%, 11/1/19⁽³⁾		650		673


	PAR VALUE			VALUE
Materials—(continued)
Gerdau Holdings, Inc.
144A 7.000%, 1/20/20⁽³⁾	$	250		$	264
144A 4.750%, 4/15/23⁽³⁾		590			540
Hexion Corp.
144A 8.875%, 2/1/18⁽³⁾		1,285			1,317
6.625%, 4/15/20		315			316
144A 6.625%, 4/15/20⁽³⁾		935			937
Huntsman International LLC 4.875%, 11/15/20		440			437
Ineos Finance plc 144A 8.375%, 2/15/19⁽³⁾		705			773
JMC Steel Group 144A 8.250%, 3/15/18⁽³⁾		570			560
Mexichem SAB de CV 144A 4.875%, 9/19/22⁽³⁾		485			487
NewMarket Corp. 4.100%, 12/15/22		1,174			1,139
Nufarm Australia Ltd. 144A 6.375%, 10/15/19⁽³⁾		1,160			1,163
PTT Global Chemical plc
144A 4.250%, 9/19/22⁽³⁾		800			766
RegS 4.250%, 9/19/22⁽⁴⁾		200			192
Reynolds Group Issuer, Inc. (Reynolds Group Issuer LLC) 8.250%, 2/15/21		1,670			1,660
Sappi Papier Holding GmbH 144A 6.625%, 4/15/21⁽³⁾		970			946
Sealed Air Corp. 144A 5.250%, 4/1/23⁽³⁾		255			249
Severstal OAO (Steel Capital SA) 144A 6.700%, 10/25/17⁽³⁾⁽⁹⁾		425			439
Tenedora Nemak SA de CV 144A 5.500%, 2/28/23⁽³⁾		970			921
Tronox Finance LLC 144A 6.375%, 8/15/20⁽³⁾		865			820
Turkiye Sise Ve Cam Fabrikalari AS 144A 4.250%, 5/9/20⁽³⁾		695			636
United States Steel Corp. 6.875%, 4/1/21		1,360			1,326
Vale Overseas Ltd. 4.375%, 1/11/22		920			873
Vedanta Resources plc 144A 9.500%, 7/18/18⁽³⁾		945			1,037

					24,171

Telecommunication Services—2.4%
America Movil SAB de CV Series 12 6.450%, 12/5/22		5,000	^MXN		374
CenturyLink, Inc. Series T 5.800%, 3/15/22		750			744
Cincinnati Bell, Inc. 8.375%, 10/15/20		930			963
Frontier Communications Corp. 7.125%, 1/15/23		945			944
Intelsat Luxembourg SA 144A 7.750%, 6/1/21⁽³⁾		675			684
Koninklijke KPN NV 144A 7.000%, 3/28/73^(2)(3)(8)		885			839
SBA Telecommunications, Inc. 144A 5.750%, 7/15/20⁽³⁾		820			825


	PAR VALUE		VALUE
Telecommunication Services—(continued)
Sprint Nextel Corp. 6.000%, 11/15/22	$	1,305	$	1,286
Telefonica Emisiones, S.A.U. 5.462%, 2/16/21		975		1,005
Wind Acquisition Finance S.A. 144A 11.750%, 7/15/17⁽³⁾		850		888
Windstream Corp. 7.750%, 10/15/20		1,530		1,591

				10,143

Utilities—1.7%
AmeriGas Partners LP (AmeriGas Finance Corp.)
6.250%, 8/20/19		660		667
7.000%, 5/20/22		450		462
Calpine Corp. 144A 7.500%, 2/15/21⁽³⁾		810		869
Centrais Eletricas Brasileiras SA RegS 5.750%, 10/27/21⁽⁴⁾		900		871
Covanta Holding Corp. 6.375%, 10/1/22		1,065		1,081
Electricite de France SA 144A 5.250%^(2)(3)(7)(8)		1,360		1,300
Israel Electric Corp. Ltd. 144A 5.625%, 6/21/18⁽³⁾		900		925
NRG Energy, Inc.
7.625%, 1/15/18		105		113
7.625%, 5/15/19		680		714
144A 6.625%, 3/15/23⁽³⁾		75		75
Texas Competitive Electric Holdings Co., LLC Series A 10.250%, 11/1/15		200		20

				7,097

TOTAL CORPORATE BONDS (Identified Cost $247,621)				246,650

LOAN AGREEMENTS⁽²⁾—14.8%
Consumer Discretionary—2.9%
Advantage Sales & Marketing, Inc. Second Lien, 8.250%, 6/17/18		351		353
Affinity Gaming LLC (Herbst Gaming LLC). 5.500%, 11/9/17		569		578
BJ’s Wholesale Club, Inc. Second Lien, 9.750%, 3/26/20		208		213
Caesars Entertainment Operating Co., Inc. (Harrah’s Operating Company, Inc.) Tranche B- 6, 5.443%, 1/28/18		1,084		961
CBAC Borrower LLC 0.000%, 4/26/20⁽¹¹⁾		292		297
Centaur Acquisition LLC First Lien, 5.250%, 2/20/19		230		230
Clear Channel Communications, Inc.


	PAR VALUE		VALUE
Consumer Discretionary—(continued)
Tranche B, 3.845%, 1/29/16	$	1,080	$	989
0.000%, 1/30/19⁽¹¹⁾		348		318
Cumulus Media Holdings, Inc. Second Lien, 7.500%, 9/16/19		484		496
EB Sports Corp. 11.500%, 12/31/15		625		622
Fram Group Holdings, Inc. (Prestone Holdings, Inc.) Second Lien, 10.500%, 1/29/18		500		488
Granite Broadcasting Corp. 0.000%, 5/23/18⁽¹¹⁾		1,145		1,154
Landry’s, Inc. Tranche B, 4.750%, 4/24/18		1,082		1,087
Leslie’s Poolmart, Inc. 0.000%, 10/16/19⁽¹¹⁾		675		678
Ozburn - Hessey Holding Co. LLC 6.750%, 5/23/19		358		357
Peppermill Casinos, Inc. Tranche B, 7.250%, 11/9/18		1,066		1,092
Seven Sea Cruises S. DE R.L. Tranche B-1, 4.750%, 12/21/18		748		753
Sports Authority, Inc. (The) Tranche B, 7.500%, 11/16/17		317		318
Tower Automotive Holdings U.S.A. LLC 5.750%, 4/23/20		538		544
Transtar Holding Co. Second Lien, 9.750%, 10/9/19		380		390
TWCC Holding Corp. 0.000%, 12/11/20⁽¹¹⁾		448		452

				12,370

Consumer Staples—0.5%
AdvancePierre Foods, Inc.
First Lien, 5.750%, 7/10/17		110		110
Second Lien, 9.500%, 10/10/17		655		669
Hostess Brands Acquisition LLC 0.000%, 4/9/20⁽¹¹⁾		756		772
Rite Aid Corp. 0.000%, 8/21/20⁽¹¹⁾		56		57
Supervalu, Inc. 5.000%, 3/21/19		506		504

				2,112

Energy—1.1%
Aluma Systems, Inc. (Brand Energy & Infrastructure) Tranche 1, 6.250%, 10/23/18		190		192
Brand Energy & Infrastructure Services, Inc. (FR Brand Acquisition Corp.)
Tranche B-1, First Lien, 6.250%, 10/23/18		793		800
Second Lien, 11.000%, 10/23/19		395		406
FTS International, Inc. (Frac Tech International LLC) 8.500%, 5/6/16		1,106		1,069


	PAR VALUE		VALUE
Energy—(continued)
NGPL Pipeco LLC 6.750%, 9/15/17	$	505	$	503
Samson Investment Co. Second Lien, 6.000%, 9/25/18		734		734
SES International Holdings Ltd. (Saxon) 0.000%, 2/15/19⁽¹¹⁾		915		919

				4,623

Financials—1.2%
Altisource Portfolio Solutions S.A.R.L Tranche B, 5.750%, 11/27/19		533		536
Capital Automotive LP 0.000%, 4/30/20⁽¹¹⁾		106		107
iPayment, Inc . 5.750%, 5/8/17		577		571
iStar Financial, Inc. 4.500%, 10/15/17		636		637
Lonestar Intermediate Super Holdings LLC 11.000%, 9/2/19		108		113
Nuveen Investments, Inc. Tranche B, Second Lien 6.500%, 2/28/19		1,144		1,133
RPI Finance Trust 4.000%, 11/9/18		832		835
Walter Investment Management Corp. 0.000%, 11/28/17⁽¹¹⁾		1,060		1,066

				4,998

Health Care—1.3%
American Renal Holdings, Inc. 0.000%, 2/20/20⁽¹¹⁾		909		910
Ardent Medical Services, Inc.
0.000%, 7/2/18⁽¹¹⁾		345		349
0.000%, 1/2/19⁽¹¹⁾		289		294
INC Research, LLC 6.000%, 7/12/18		343		344
InVentiv Health, Inc. (Ventive Health, Inc.) 7.500%, 8/4/16		583		575
MMM Holdings, Inc. 9.750%, 12/12/17		332		336
MSO of Puerto Rico, Inc. 9.750%, 12/12/17		242		244
National Specialty Hospitals, Inc. 0.000%, 2/3/17⁽¹¹⁾		405		405
Pharmaceutical Research Associates, Inc. First Lien, 6.500%, 12/10/17		856		864
Rural/Metro Operating Co. LLC 0.000%, 6/30/18⁽¹¹⁾		705		681
Smile Brands Group, Inc. 0.000%, 12/21/17⁽¹¹⁾		366		359
Surgery Center Holdings, Inc. First Lien 6.000%, 4/11/19		306		307

				5,668


	PAR VALUE		VALUE
Industrials—2.7%
Alliance Laundry Systems LLC Second Lien, 9.300%, 12/10/19	$	93	$	95
American Airlines, Inc. 0.000%, 6/21/19⁽¹¹⁾		1,031		1,033
AWAS Finance Luxemborg S.A. 3.500%, 7/16/18		626		632
Brickman Group Holdings, Inc. Tranche B-3, 4.000%, 9/28/18		283		283
Brock Holdings Ill, Inc. Second Lien, 10.000%, 3/16/18		285		290
Ceridian Corp. Extended, 5.942%, 5/9/17		1,073		1,079
CHG Buyer Corp. Second Lien, 0.000%, 11/19/20⁽¹¹⁾		244		248
Commercial Barge Line Co. 0.000%, 9/22/19⁽¹¹⁾		1,127		1,112
Doncasters Group Ltd. (Doncasters US LLC) Tranche B, 5.500%, 4/9/20		842		843
DynCorp International, Inc. 6.250%, 7/7/16		579		584
Harland Clarke Holdings Corp. (Clarke American Corp.) 0.000%, 6/30/17⁽¹¹⁾		626		604
Hawker Beechcraft Acquisition Company LLC 5.750%, 2/14/20		1,145		1,148
HD Supply, Inc. 4.500%, 10/12/17		1,020		1,020
Husky Injection Molding System (Yukon Acquisition, Inc.) 4.250%, 7/2/18		535		533
McJunkin Red Man Corp. 6.000%, 11/8/19		702		707
Navistar, Inc. Tranche B, 5.750%, 8/17/17		729		732
SESAC Holding Co. II LLC First Lien, 6.000%, 2/7/19		393		396
Velo Holdings, Inc. (Velo ACU LLC) 15.000%, 2/2/18		27		27

				11,366

Information Technology—3.5%
Alcatel-Lucent U.S.A., Inc.
6.250%, 8/1/16		87		88
7.250%, 1/30/19		853		862
Allflex Holdings III, Inc. 0.000%, 6/7/21⁽¹¹⁾		599		602
Applied Systems, Inc. Second Lien, 8.250%, 6/8/17		333		336
Avaya, Inc. Tranche B-3, 4.773%, 10/26/17		480		422
Blue Coat Systems, Inc.
4.500%, 5/31/19		1,070		1,067
0.000%, 6/26/20⁽¹¹⁾		985		985
CCC Holdings, Inc. 4.000%, 12/20/19		525		523
Deltek, Inc.


	PAR VALUE		VALUE
Information Technology—(continued)
First Lien, 5.000%, 10/10/18	$	776	$	775
0.000%, 10/10/19⁽¹¹⁾		225		228
Second Lien, 10.000%, 10/10/19		113		114
Go Daddy Operating Co. LLC Tranche B-1, 0.000%, 12/17/18⁽¹¹⁾		804		802
IPC Systems, Inc. Tranche C, First Lien, 7.750%, 7/31/17		1,047		1,010
Ipreo Holdings LLC
Tranche B-2, 6.500%, 8/7/17		759		767
Tranche B-3, 6.500%, 8/7/17		207		209
Kronos, Inc.
First Lien, 4.500%, 10/30/19		189		190
Second Lien, 9.750%, 4/30/20		605		626
Novell, Inc. (Attachmate Corp.) First Lien, 7.625%, 11/22/17		601		603
Oberthur Technologies Finance SAS Tranche B-3, 0.000%, 11/30/18⁽¹¹⁾		718		715
RP Crown Parent LLC First Lien 6.750%, 12/21/18		708		712
SCS Holdings I, Inc. (Sirius Computer Solutions, Inc.) 7.000%, 12/7/18		487		487
Smart Modular Technologies (Global), Inc. 8.250%, 8/26/17		242		220
Sorenson Communications, Inc. 0.000%, 10/31/14⁽¹¹⁾		703		705
Spansion LLC 5.250%, 12/13/18		321		323
SRA International, Inc. 6.500%, 7/20/18		490		488
Vision Solutions, Inc. 0.000%, 7/23/16⁽¹¹⁾		381		381
Wall Street Systems Holdings, Inc.
First Lien, 5.750%, 10/25/19		398		399
Second Lien, 9.250%, 10/25/20		407		411

				15,050

Materials—1.1%
Ameriforge Group, Inc.
First Lien, 5.000%, 12/19/19		219		219
Second Lien, 8.750%, 12/21/20		150		152
AZ Chem US, Inc. 0.000%, 12/22/17⁽¹¹⁾		613		619
Fortescue Metals Group Ltd. 5.250%, 10/18/17		326		324
Houghton International, Inc. Holding Corp.
First Lien, 4.000%, 12/20/19		1,045		1,041
Second Lien, 9.250%, 12/21/20		630		646
Noranda Aluminum Acquisition Corp. Tranche B, 5.750%, 2/28/19		1,317		1,294


	PAR VALUE			VALUE
Materials—(continued)
Tronox Pigments B.V. 4.500%, 3/19/20	$	235		$	236

					4,531

Telecommunication Services—0.4%
Hawaiian Telcom Communications, Inc. 5.000%, 6/6/19		475			476
Integra Telecom Holdings, Inc. Tranche B, 5.250%, 2/22/19		654			656
Level 3 Financing, Inc.
Tranche B 2016, 4.750%, 2/1/16		66			67
Tranche B 2019, 5.250%, 8/1/19		244			245
Securus Technologies Holdings, Inc. (Securus Technologies, Inc.) Second Lien 9.000%, 4/30/21		480			482

					1,926

Utilities—0.1%
Texas Competitive Electric Holdings Co. LLC 2017 Extended, 4.734%, 10/10/17		375			263

TOTAL LOAN AGREEMENTS (Identified Cost $62,497)					62,907


	SHARES			VALUE
PREFERRED STOCK—3.0%
Financials—2.9%
Ally Financial, Inc. Series A, 8.500%⁽²⁾		20,000	⁽¹⁴⁾		517
Banco Bilbao Vizcaya Argentaria S.A. International S.A. Unipersonal 5.919%⁽²⁾		675,000	⁽¹⁴⁾		604
Banco do Brasil S.A. 144A 8.500%⁽²⁾⁽³⁾		600,000	⁽¹⁴⁾		645
Bank of America Corp. Series K, 8.000%⁽²⁾		375,000	⁽¹⁴⁾		418
Bank of America Corp. Series U, 5.20%⁽²⁾		330,000	⁽¹⁴⁾		312
Citigroup Capital XVII Series E 6.350%		44,460	⁽¹⁴⁾		1,115
Citigroup, Inc. Series D 5.35%⁽³⁾		321	⁽¹⁴⁾		305
Citigroup, Inc. Series D 5.350%⁽²⁾		1,210,000	⁽¹⁴⁾		1,139
Fifth Third Bancorp 5.10%⁽²⁾		775,000	⁽¹⁴⁾		734
General Electric Capital Corp. Series B 6.25%⁽²⁾		700,000	⁽¹⁴⁾		744
General Electric Capital Corp. Series C, 5.25%⁽²⁾		600,000	⁽¹⁴⁾		573
JPMorgan Chase & Co. Series 1 7.90%⁽²⁾		247,000	⁽¹⁴⁾		279
JPMorgan Chase & Co. Series Q 5.15%⁽²⁾		1,595,000	⁽¹⁴⁾		1,527
PNC Financial Services Group, Inc. (The) Series R 9.875%⁽²⁾		965,000	⁽¹⁴⁾		900
PNC Financial Services Group, Inc. Series K 4.4936%⁽²⁾		350,000	⁽¹⁴⁾		348


	SHARES			VALUE
Financials—(continued)
U.S. Bancorp Series G 6.00%⁽²⁾		22,600	⁽¹⁴⁾	$	619
Wells Fargo & Co. Series K, 7.98%⁽²⁾		950,000	⁽¹⁴⁾		1,074
Zions Bancorp, Series C, ADR 9.500%		9,000			229

					12,082

Industrials—0.1%
Seaspan Corp. Series C, 9.50%		20,000			539

TOTAL PREFERRED STOCK (Identified Cost $12,413)					12,621

COMMON STOCKS—0.0%
Consumer Discretionary—0.0%
Mark IV Industries		446			16

Industrials—0.0%
Velo Holdings, Inc.⁽⁵⁾⁽⁶⁾		12,667			0

TOTAL COMMON STOCKS (Identified Cost $4)					16

TOTAL LONG TERM INVESTMENTS—99.6% (Identified cost $423,490)					422,667	⁽¹³⁾

SHORT-TERM INVESTMENTS—0.2%
Money Market Mutual Funds—0.2%
Fidelity Money Market Portfolio - Institutional Shares (Seven-day effective yield 0.012%)		863,377			863

TOTAL SHORT-TERM INVESTMENTS (Identified Cost $863)					863

TOTAL INVESTMENTS—99.8% (Identified Cost $424,353)					423,530	⁽¹⁾
Other assets and liabilities, net—0.2%					645

NET ASSETS—100.0%				$	424,175

Abbreviations:


ADR		American Depositary Receipt
PIK		Payment-in-Kind Security

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at June 30, 2013, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Variable or step coupon security; interest rate shown reflects the rate in effect at June 30, 2013.

⁽³⁾	Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2013, these securities amounted to a value of $164,854 or 38.9% 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⁾	Illiquid security.

⁽⁶⁾	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.

⁽⁷⁾	No contractual maturity date

⁽⁸⁾	Interest payments may be deferred.

⁽⁹⁾	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.

⁽¹⁰⁾	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.

⁽¹¹⁾	This loan will settle after June 30, 2013, at which time the interest rate, based on the London Interbank Offered Rate (“LIBOR”) and the agreed upon spread on trade date, will be reflected.

⁽¹²⁾	Principal amount is adjusted pursuant to the change in the local inflation index.

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

⁽¹⁴⁾	Value shown as par value.

Foreign Currencies(report in thousands):


AUD		Australian Dollar
BRL		Brazilian Real
CAD		Canadian Dollar
COP		Colombian Peso
EUR		European Currency Unit
IDR		Indonesian Rupiah
KRW		South Korean Won
MXN		Mexican Peso
NOK		Norwegian Krone
NZD		New Zealand Dollar
PEN		Peruvian Nuevo Sol
PHP		Philippines Peso
RUB		Russian Ruble
TRY		Turkish Lira
UYU		Uruguayan Peso
ZAR		South African Rand

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2013 (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—0.2%
U.S. Treasury Note 0.250%, 4/30/14	$	12,800		$	12,808

TOTAL U.S. GOVERNMENT SECURITIES (Identified Cost $12,796)					12,808

MUNICIPAL BONDS—0.1%
Kentucky—0.1%
Commonwealth of Kentucky Taxable 3.165%, 4/1/18		5,868			5,949

Virginia—0.0%
Tobacco Settlement Financing Corp. Taxable Series 07-A1, 6.706%, 6/1/46		4,715			3,540

TOTAL MUNICIPAL BONDS (Identified Cost $10,213)					9,489

FOREIGN GOVERNMENT SECURITIES—8.3%
Argentine Republic
7.000%, 10/3/15		11,560			10,086
PIK Interest Capitalization 8.280%, 12/31/33		33,322			18,910
Bolivarian Republic of Venezuela
RegS 8.500%, 10/8/14⁽⁵⁾		20,840			20,788
RegS 5.750%, 2/26/16⁽⁵⁾		31,323			28,112
RegS 7.000%, 12/1/18⁽⁵⁾		8,350			6,993
Commonwealth of Australia Series 125 6.250%, 6/15/14		23,300	^AUD		22,069
New South Wales Treasury Corp. Series 17 5.500%, 3/1/17		10,665	^AUD		10,521
Commonwealth of Canada 2.000%, 3/1/14		103,515	^CAD		99,005
Commonwealth of New Zealand Series 415, 6.000%, 4/15/15		40,545	^NZD		33,130
Federative Republic of Brazil
12.500%, 1/5/16		92,159	^BRL		43,987
12.500%, 1/5/22		11,730	^BRL		6,151
Kingdom of Norway Treasury Bill, 0.000%, 12/18/13		134,200	^NOK		21,940
Mongolia 144A 4.125%, 1/5/18⁽⁴⁾		11,000			10,285
Provincia de Neuquen 144A 7.875%, 4/26/21⁽⁴⁾		6,348			5,649
Republic of Colombia 12.000%, 10/22/15		27,535,000	^COP		16,456
Republic of Indonesia Series FR-30, 10.750%, 5/15/16		132,050,000	^ID^R		14,782
Republic of Korea Treasury Bond, Series 1312, 3.000%, 12/10/13		36,776,000	^KRW		32,255


	PAR VALUE			VALUE
Republic of Lithuania 144A 6.750%, 1/15/15⁽⁴⁾	$	10,600		$	11,295
Republic of Peru 144A 7.840%, 8/12/20⁽⁴⁾		50,140	^PEN		20,743
Republic of Portugal Treasury Obligation 4.450%, 6/15/18		9,500	^EUR		11,850
Republic of Serbia 144A 5.250%, 11/21/17⁽⁴⁾		8,900			8,722
Republic of South Africa Series R206, 7.500%, 1/15/14		310,470	^ZAR		31,755
Republic of Turkey 9.000%, 3/5/14		62,360	^TRY		32,656
Russian Federation
144A 3.250%, 4/4/17⁽⁴⁾		16,000			16,458
144A 7.850%, 3/10/18⁽⁴⁾		1,005,000	^RUB		31,888
Series 6204 RUB, 7.500%, 3/15/18		740,650	^RUB		23,247
RegS 7.500%, 3/31/30⁽³⁾⁽⁵⁾		1,490			1,745
State of Qatar 144A 3.125%, 1/20/17⁽⁴⁾		12,000			12,435
United Mexican States Series M, 6.000%, 6/18/15		1,096,623	^MXN		87,184

TOTAL FOREIGN GOVERNMENT SECURITIES (Identified Cost $736,222)					691,097

MORTGAGE-BACKED SECURITIES—21.8%
Agency—2.1%
FHLMC
6.000%, 8/1/34		650			714
4.000%, 8/1/42		12,027			12,581
FNMA
5.500%, 1/1/17		119			126
6.000%, 5/1/17		40			43
4.500%, 4/1/18		255			270
5.000%, 10/1/19		715			766
5.500%, 2/1/20		240			253
5.500%, 3/1/20		178			188
5.500%, 3/1/20		23			25
5.500%, 3/1/20		158			167
5.500%, 3/1/20		351			370
5.500%, 4/1/20		369			398
5.000%, 6/1/20		996			1,067
4.000%, 8/1/25		24,922			26,277
3.000%, 6/1/27		1,715			1,765
2.500%, 5/1/28		21,837			21,974
6.000%, 12/1/32		83			93
5.500%, 2/1/33		116			127
5.500%, 5/1/34		714			782
6.000%, 8/1/34		497			548
6.000%, 10/1/34		323			356
6.000%, 10/1/34		489			538


	PAR VALUE		VALUE
Agency—(continued)
5.500%, 11/1/34	$	835	$	915
5.500%, 11/1/34		302		331
6.000%, 11/1/34		675		743
5.500%, 12/1/34		366		401
5.500%, 1/1/35		595		652
6.000%, 1/1/37		749		815
6.000%, 1/1/37		720		783
5.500%, 7/1/37		10		11
6.000%, 7/1/37		193		210
6.000%, 12/1/37		806		875
6.000%, 4/1/38		530		576
4.500%, 4/1/40		16,580		17,564
5.000%, 7/1/40		3,782		4,116
5.000%, 7/1/40		6,383		6,952
5.000%, 8/1/40		23,877		25,901
4.000%, 10/1/40		302		315
4.000%, 3/1/41		9,298		9,697
4.500%, 5/1/41		10,483		11,114
3.500%, 4/1/42		14,454		14,685
GNMA
6.500%, 7/15/31		16		17
6.500%, 8/15/31		46		52
6.500%, 11/15/31		32		36
6.500%, 2/15/32		25		29
6.500%, 4/15/32		58		66
6.500%, 4/15/32		58		66
2.586%, 4/16/54		9,710		10,266

				176,616

Non-Agency—19.7%
JPMorgan Mortgage Trust 06-A4, 3A1 5.290%, 6/25/36⁽³⁾		9,216		7,906
A10 Securitization LLC 13-1, A 144A 2.400%, 11/15/25⁽⁴⁾		4,925		4,881
ABN AMRO Mortgage Corp. 02-9, M 5.750%, 12/25/32		1,352		1,339
American General Mortgage Loan Trust 09-1, A7 144A 5.750%, 9/25/48⁽³⁾⁽⁴⁾		17,220		17,730
Americold LLC Trust 10-ARTA, A1 144A 3.847%, 1/14/29⁽⁴⁾		11,463		11,945
Banc of America (Merrill Lynch) Commercial Mortgage, Inc. 05-2, B 5.292%, 7/10/43⁽³⁾		10,916		11,467
Banc of America Alternative Loan Trust


	PAR VALUE		VALUE
Non-Agency—(continued)
03-2, CB3 5.750%, 4/25/33	$	22,675		$ 24,529
03-10, 2A1 6.000%, 12/25/33		5,030		5,378
Banc of America Funding Corp. 04-4, 3A1 4.750%, 10/25/19		6,559		6,710
Banc of America Mortgage Securities, Inc.
04-11, 2A1 5.750%, 1/25/35		4,025		4,124
05-3, 2A2 5.500%, 3/25/35		1,229		1,229
05-3, 1A15 5.500%, 4/25/35		4,574		4,671
Bank of America (Merrill Lynch) - Deutsche Bank 12-OSI, A2FX 144A 3.352%, 4/13/29⁽⁴⁾		19,916		20,447
Bank of America Funding Corp.
04-B, 2A1 5.462%, 11/20/34⁽³⁾		1,409		1,390
06-2, 3A1 6.000%, 3/25/36		4,821		4,784
Bank of America Re-Remic Trust 12-CLRN, E 144A 3.393%, 8/15/17⁽³⁾⁽⁴⁾		7,500		7,547
Bayview Commercial Asset Trust
07-5A, A2 1.093%, 10/25/37⁽³⁾⁽⁴⁾		19,932		19,088
08-1, A2A 144A 1.190%, 1/25/38⁽³⁾⁽⁴⁾		18,577		18,277
08-1, A3 144A 1.690%, 1/25/38⁽³⁾⁽⁴⁾		29,970		26,657
BCAP LLC Trust 06-RR1, PE 5.000%, 11/25/36		3,125		3,115
Bear Stearns Adjustable Rate Mortgage Trust
03-9, 4A1 4.831%, 2/25/34⁽³⁾		13,064		13,024
04-10, 14A1 5.147%, 1/25/35⁽³⁾		2,872		2,829
05-8, A3 144A 5.145%, 8/25/35⁽³⁾⁽⁴⁾		1,189		1,212
Bear Stearns Alternate Loan Trust 05-4, 24A1 2.744%, 5/25/35⁽³⁾		20,626		20,362
Bear Stearns Asset Backed Securities Trust 03- AC4. A 5.500%, 9/25/33⁽³⁾		11,422		11,651
Bear Stearns Commercial Mortgage Securities, Inc.
06-T22, AM 5.766%, 4/12/38⁽³⁾		11,600		12,566
06-PW12, AM 5.941%, 9/11/38⁽³⁾		9,250		10,000
06-PW14, AM 5.243%, 12/11/38		10,000		10,892
05-PW10, AM 5.449%, 12/11/40⁽³⁾		14,200		15,181
04-PWR3, A4 4.715%, 2/11/41		5,662		5,724
06-PW13, AM 5.582%, 9/11/41⁽³⁾		3,272		3,574
04-PWR5, A5 4.978%, 7/11/42⁽³⁾		3,925		4,061
07- PW, R15 5.363%, 2/11/44		17,100		17,169
07- PW ,R17 5.694%, 6/11/50⁽³⁾		19,210		21,726
07-PW18, A4 5.700%, 6/11/50		16,950		19,245
07-PW18, AM 6.084%, 6/11/50⁽³⁾		12,400		13,793
Chase Mortgage Finance Corp. 07-A1, 1A1 2.858%, 2/25/37⁽³⁾		4,106		4,073


	PAR VALUE		VALUE
Non-Agency—(continued)
Citicorp Mortgage Securities, Inc.
07-1,A1 5.500%, 1/25/22	$	545	$	547
REMIC 03-9, A24 5.500%, 10/25/33		18,128		18,432
03-11, 2A10 5.500%, 12/25/33		974		975
04-4, A6 5.500%, 6/25/34		4,225		4,409
Citicorp Residential Mortgage Securities, Inc. 07- 12,A6 5.991%, 6/25/37⁽³⁾		11,497		11,663
Citigroup - Deutsche Bank Commercial Mortgage Trust
05-CD1, AM 5.392%, 7/15/44⁽³⁾		6,410		6,833
06-CD2, A4 5.484%, 1/15/46⁽³⁾		2,659		2,874
07-CD4, A4 5.322%, 12/11/49		8,480		9,334
Citigroup Commercial Mortgage 2.110%, 1/1/18		6,551		6,561
Commercial Mortgage Pass-Through Certificates
07-C2, A3 5.542%, 1/15/49⁽³⁾		12,995		14,387
Countrywide Alternative Loan Trust
04-18CB, 1A1 6.000%, 9/25/34		16,718		17,323
04-36CBC, 2A1 5.500%, 2/25/35		9,580		9,029
Countrywide Home Loan Mortgage Pass-Through- Trust
02-35, 1A2 5.000%, 2/25/18		1,589		1,622
03-4, 1A15 5.500%, 4/25/33		3,041		3,170
03-28, A8 5.500%, 8/25/33		1,866		1,925
04-6, 1A2 2.685%, 5/25/34⁽³⁾		2,686		2,618
04-4, A6 5.500%, 5/25/34		1,749		1,805
Credit Suisse First Boston Mortgage Securities Corp.
03-27, 5A3 5.250%, 11/25/33		3,475		3,615
04-8, 7A1 6.000%, 12/25/34		9,931		10,265
03-CPN1, C 4.763%, 3/15/35		2,546		2,548
05-11, 8A10 5.500%, 12/25/35		3,903		4,020
04-CF2, 1M1 144A 5.250%, 1/25/43⁽³⁾⁽⁴⁾		3,625		3,942
13-IVR3, A2 3.000%, 5/25/43		6,313		6,187
Extended Stay America Trust
13-ESH7, A17 144A 2.295%, 12/5/31⁽⁴⁾		29,200		28,447
13-ESH7, A27 144A 2.958%, 12/5/31⁽⁴⁾		8,340		8,091
First Horizon Asset Securities, Inc. 06-1, 1A8 6.000%, 5/25/36		829		821
GMAC Commercial Mortgage Securities, Inc.
04-C2, A3 5.134%, 8/10/38		564		568
04-C3, A4 4.547%, 12/10/41		886		888
GMAC Mortgage Corp. Loan Trust
03-J7 5.500%, 11/25/33		2,676		2,758


	PAR VALUE		VALUE
Non-Agency—(continued)
04-AR1, 12A 3.268%, 6/25/34⁽³⁾	$	11,087	$	11,215
05-AR1, 5A 5.275%, 3/18/35⁽³⁾		5,341		5,292
Goldman Sachs Mortgage Securities Corp. II
07-EOP, G 144A 2.790%, 3/6/20⁽³⁾⁽⁴⁾		8,870		8,897
07-EOP, H 144A 3.300%, 3/6/20⁽³⁾⁽⁴⁾		6,238		6,274
11-ALF, B, 144A 3.215%, 2/10/21⁽⁴⁾		8,000		8,066
05-5F, 2A8 5.500%, 6/25/35		4,057		4,087
07-GG10, A4 5.982%, 8/10/45⁽³⁾		23,995		26,734
Greenwich Capital Commercial Funding Corp. 04- GG1, A7 5.317%, 6/10/36⁽³⁾		7,222		7,355
GSR Mortgage Loan Trust
04-15F, 2A2 5.000%, 12/25/34		4,132		4,239
05-AR4, 6A1 5.250%, 7/25/35⁽³⁾		9,964		9,814
07-1F, 2A2 5.500%, 1/25/37		966		908
Heller Financial Commercial Mortgage Asset 00- PH1, G, 144A 6.750%, 1/17/34⁽⁴⁾		2,172		2,277
JPMorgan Chase Commercial Mortgage Pass-Through-Certificates 04-C1, A3 4.719%, 1/15/38		5,303		5,371
JPMorgan Chase Commercial Mortgage Securities Trust
10-CNTR, A1 144A 3.300%, 8/5/32⁽⁴⁾		12,808		13,351
10-CNTR, A2, 144A 4.311%, 8/5/32⁽⁴⁾		4,550		4,753
06-LDP7, AM 6.056%, 4/15/45⁽³⁾		22,312		24,514
06-LDP7, A4 6.056%, 4/15/45⁽³⁾		26,601		29,387
06-LDP9, A3 5.336%, 5/15/47		20,649		22,740
07-LDPX, AM 5.464%, 1/15/49⁽³⁾		19,209		19,224
07-LD12, A4 5.882%, 2/15/51⁽³⁾		8,029		9,052
JPMorgan Chase Commercial Mortgage SecuritiesTrust 09-IWST, A1, 144A 4.314%, 12/5/27⁽⁴⁾		13,572		14,374
JPMorgan Chase Mortgage Trust
03-A2, 3A1 2.115%, 11/25/33⁽³⁾		8,449		8,323
04-A4, 2A1 2.611%, 9/25/34⁽³⁾		6,296		6,288
05-A1, 4A1 4.534%, 2/25/35⁽³⁾		1,405		1,404
05-A2, 4A1 5.054%, 4/25/35⁽³⁾		1,825		1,799
05-A4, 3A1 2.351%, 7/25/35⁽³⁾		10,464		10,305
06-A6, 3A3L 5.179%, 10/25/36⁽³⁾		2,288		2,005
Lehman Brothers - UBS Commercial Mortgage Trust
04-C7, A6 4.786%, 10/15/29⁽³⁾		10,536		10,873
06-C3, AM 5.712%, 3/15/39⁽³⁾		7,615		8,247
06-C6, A4 5.372%, 9/15/39		13,750		15,124


	PAR VALUE		VALUE
Non-Agency—(continued)
07-C2, A2 5.303%, 2/15/40	$	875	$	876
07-C2, A3 5.430%, 2/15/40		7,825		8,582
07-C6, A2 5.845%, 7/15/40		5,282		5,268
07-C6, A4 5.858%, 7/15/40⁽³⁾		14,903		16,500
07-C7, A3 5.866%, 9/15/45⁽³⁾		14,155		15,773
MASTR Adjustable Rate Mortgages Trust 04- 12,3A1 2.835%, 11/25/34⁽³⁾		3,405		3,343
MASTR Alternative Loan Trust
04-7, 4A1 4.500%, 7/25/19		6,791		7,011
04-6, 7A1 6.000%, 7/25/34		8,695		8,929
04-6, 10A1 6.000%, 7/25/34		8,342		8,617
05-2, 2A1 6.000%, 1/25/35		4,946		4,999
05-2, 1A1 6.500%, 3/25/35		13,537		14,096
MASTR Asset Securitization Trust
04-6, 4A1 5.000%, 7/25/19		2,227		2,314
05-1, 1A1 5.000%, 5/25/20		1,595		1,648
Merrill Lynch Mortgage Investors, Inc. 98-C1, B 6.750%, 11/15/26⁽³⁾		10,000		11,110
Merrill Lynch Mortgage Trust
06-C1, AM 5.872%, 5/12/39⁽³⁾		7,520		8,174
04-KEY2, A3 4.615%, 8/12/39		1,749		1,749
Merrill Lynch/Countrywide Commercial Mortgage Trust
06-3, A4 5.414%, 7/12/46⁽³⁾		11,700		12,867
06-4, A3 5.172%, 12/12/49⁽³⁾		10,300		11,253
Morgan Stanley Capital I Trust
06-T23, AM 5.987%, 8/12/41⁽³⁾		10,575		11,596
06-IQ12, A4 5.332%, 12/15/43		14,865		16,358
07-IQ14, A4 5.692%, 4/15/49⁽³⁾		17,390		19,360
07-IQ14, AM 5.876%, 4/15/49⁽³⁾		13,883		13,964
07- LQ1, 4 5.877%, 4/15/49		5,000		5,227
07- LQ1, 6 5.809%, 12/12/49		22,735		25,654
Morgan Stanley Mortgage Loan Trust
04-2AR, 3A 2.299%, 2/25/34⁽³⁾		2,384		2,357
04-2AR, 4A 4.688%, 2/25/34⁽³⁾		2,609		2,620
Motel 6 Trust 12-MTLB, D 144A 3.781%, 10/5/25⁽⁴⁾		20,790		20,084
Nomura Asset Acceptance Corp.
04-R1, A1 144A 6.500%, 3/25/34⁽⁴⁾		13,892		14,625
04-R3, A1 144A 6.500%, 2/25/35⁽⁴⁾		5,664		5,920
Northstar Mortgage Trust 12-1 144A 1.393%, 8/25/29⁽³⁾⁽⁴⁾		5,637		5,620
ORES NPL LLC 12-LV1, A 144A 4.000%, 9/25/44⁽⁴⁾		5,906		5,902


	PAR VALUE		VALUE
Non-Agency—(continued)
Residential Accredit Loans, Inc.
03-QS6, A4 4.250%, 3/25/33	$	3,976	$	4,096
04-QS16, 1A5 5.500%, 12/25/34		764		767
Residential Asset Mortgage Products, Inc.
04-SL2, A3 7.000%, 10/25/31		3,781		4,060
04-SL1, A8 6.500%, 11/25/31		4,408		4,545
04-SL4, A3 6.500%, 7/25/32		2,332		2,413
Residential Asset Securitization Trust
13-LT2, A 144A 2.833%, 5/22/28⁽⁴⁾		18,377		18,320
03,A11, A9 5.750%, 11/25/33		4,227		4,448
04-A1 5.500%, 4/25/34		17,576		18,573
04-QS, 8 5.500%, 6/25/34		9,972		10,321
Residential Funding Mortgage Securities I, Inc.
06-S12, 1A1 5.500%, 12/25/21		2,841		2,950
05-S1, 1A2 5.500%, 2/25/35		2,750		2,755
06-S4, A2 6.000%, 4/25/36		1,527		1,430
Royal Bank of Scotland Group plc - Greenwich Capital Holdings, Inc. Mortgage Loan Trust 05- RP1, 2A 144A 3.234%, 3/25/34⁽³⁾⁽⁴⁾		3,236		3,165
S2 Hospitality LLC 12-LV1, A 144A 4.500%, 4/15/25⁽⁴⁾		3,762		3,757
SBA Tower Trust 144A 4.254%, 4/15/15⁽⁴⁾		13,535		14,010
SMA Issuer I LLC 12-LV1, A 144A 3.500%, 8/20/25⁽⁴⁾		9,880		9,924
Springleaf Loan Trust 09-1, A6, 144A 5.750%, 9/25/48⁽³⁾⁽⁴⁾		13,850		13,989
Springleaf Mortgage Loan Trust
11-1A, A1, 144A 4.050%, 9/25/41⁽³⁾⁽⁴⁾		6,337		6,547
12-3A, A 144A 1.570%, 12/25/59⁽³⁾⁽⁴⁾		5,495		5,522
Structured Adjustable Rate Mortgage Loan Trust
04-4, 3A2 2.593%, 4/25/34⁽³⁾		4,768		4,707
04-4, 3A4 2.593%, 4/25/34⁽³⁾		4,855		4,739
Structured Asset Securities Corp.
03-AL1, A 144A 3.357%, 4/25/31⁽⁴⁾		13,820		13,467
02-AL1, A3 3.450%, 2/25/32		6,485		6,396
03-33H, 1A1 5.500%, 10/25/33		5,865		6,011
04-21XS, 2A4A 4.900%, 12/25/34⁽³⁾		2,725		2,741
Structured Asset Securities Corp. Mortgage Pass- Through Certificates
03-14, 3A1 5.490%, 5/25/33⁽³⁾		2,454		2,512
03-21, 2A2 5.250%, 8/25/33		3,498		3,575
SunTrust Adjustable Rate Mortgage Loan Trust 07-S1, 5A1 4.789%, 1/25/37⁽³⁾		1,652		1,605


	PAR VALUE		VALUE
Non-Agency—(continued)
Timberstar Trust 06-1A, A, 144A 5.668%, 10/15/36⁽⁴⁾	$	10,240	$	11,457
Wachovia Bank Commercial Mortgage Trust
03-C8, 5 5.415%, 11/15/35⁽³⁾		5,500		5,577
04-C15, B 4.892%, 10/15/41		14,875		15,439
05-C20, AMFX 5.179%, 7/15/42⁽³⁾		11,936		12,711
06-C25, AM 5.919%, 5/15/43⁽³⁾		18,625		20,277
07-C30, A5 5.342%, 12/15/43		39,765		44,127
07-C30, AM 5.383%, 12/15/43		9,300		9,802
07-C31, A4 5.509%, 4/15/47		11,952		13,136
07-31, AM 5.591%, 4/15/47⁽³⁾		31,400		33,272
07-C32, A3 5.937%, 6/15/49⁽³⁾		17,577		19,656
07-C33, A5 6.122%, 2/15/51⁽³⁾		1,265		1,439
Washington Mutual Commercial Mortgage Securities Trust
06-SL1, A, 144A 5.423%, 11/23/43⁽³⁾⁽⁴⁾		10,340		10,181
07-SL3, A, 144A 6.098%, 3/23/45⁽³⁾⁽⁴⁾		2,696		2,732
Washington Mutual Mortgage Pass-Through Certificates
04-CB1, 5A 5.000%, 6/25/19		2,837		2,930
03-AR6, A1 2.441%, 6/25/33⁽³⁾		1,729		1,736
Wells Fargo Mortgage Backed Securities Trust
06-17, A1 5.500%, 11/25/21		367		372
03-G, A1 4.182%, 6/25/33⁽³⁾		2,057		2,042
03-J, 5A1 4.486%, 10/25/33⁽³⁾		969		960
04-4, A9 5.500%, 5/25/34		3,591		3,729
04-Z, 2A1 2.624%, 12/25/34⁽³⁾		12,390		12,321
04-CC, A1 2.619%, 1/25/35⁽³⁾		4,985		4,913
05-12, 1A1 5.500%, 11/25/35		8,792		8,895
05-14, 2A1 5.500%, 12/25/35		6,119		6,466
06-6, 1A15 5.750%, 5/25/36		874		864
06-16, A5 5.000%, 11/25/36		2,866		2,947
07-16, 1A1 6.000%, 12/28/37		10,293		10,710
07-AR10, 2A1 6.173%, 1/25/38⁽³⁾		6,678		6,531
WFDB Commercial Mortgage Trust 11,BXR, B, 144A 4.786%, 7/5/16⁽⁴⁾		15,000		15,157

				1,628,365

TOTAL MORTGAGE-BACKED SECURITIES (Identified Cost $1,756,636)				1,804,981

ASSET-BACKED SECURITIES—14.9%
1st Financial Bank USA 10-C, B, 144A 5.190%, 9/17/18⁽⁴⁾		6,000		6,021


	PAR VALUE		VALUE
10-D, C, 144A 5.920%, 6/17/19⁽⁴⁾	$	3,000	$	3,041
AABS Ltd. 13-1, A 4.875%, 1/10/38⁽³⁾		12,150		12,332
AmeriCredit Automobile Receivables Trust
10-4, C 2.760%, 5/9/16		2,833		2,879
11-1, C 2.850%, 8/8/16		800		817
11-2, C 3.190%, 10/12/16		1,500		1,533
10-4, D 4.200%, 11/8/16		2,700		2,804
11-1, D 4.260%, 2/8/17		11,119		11,629
11-5, D 5.050%, 12/8/17		5,010		5,330
12-1, C 2.670%, 1/8/18		4,625		4,730
12-3, C 2.420%, 5/8/18		16,750		16,954
12-3, D 3.030%, 7/9/18		19,762		19,976
12-4, D 2.680%, 10/9/18		7,150		7,098
13-2, D 2.420%, 5/8/19		20,600		20,071
Ameriquest Mortgage Securities, Inc. 03-10, AF6 5.210%, 11/25/33⁽³⁾		2,768		2,854
Asset Backed Funding Certificates 05-AQ1, A6 4.780%, 6/25/35⁽³⁾		5,533		5,698
Avis Budget Rental Car Funding LLC
(AESOP) 11-3A, A 144A 3.410%, 11/20/16⁽⁴⁾		12,848		13,454
(AESOP) 12-3A, A 144A 2.100%, 3/20/19⁽⁴⁾		23,085		22,667
(AESOP) 13-1A, A 144A 1.920%, 9/20/19⁽⁴⁾		18,200		17,770
Bayview Financial Acquisition Trust 07-A, 1A2 6.205%, 5/28/37⁽³⁾		12,578		13,529
Bayview Financial Mortgage-Pass-Through Trust
06-B, 1A2 5.800%, 4/28/36⁽³⁾		404		410
06-A, 1A2 5.483%, 2/28/41⁽³⁾		232		237
06-A, 1A4 6.087%, 2/28/41⁽³⁾		15,978		17,370
Beacon Container Finance LLC 12-1A, A 144A 3.720%, 9/20/27⁽⁴⁾		11,358		11,322
Bush Truck Leasing LLC 11-44, A, 144A 5.000%, 9/25/18⁽⁴⁾		1,653		1,645
BXG Receivables Note Trust
10-A, A 144A 5.100%, 3/2/26⁽⁴⁾		3,775		3,928
12-A, A 144A 2.660%, 12/2/27⁽⁴⁾		7,494		7,388
California Republic Auto Receivables Trust
12-1, B 144A 1.760%, 1/16/18⁽⁴⁾		13,570		13,413
13-1, B 144A 2.240%, 1/15/19⁽⁴⁾		11,600		11,598
Capital Auto Receivables Asset Trust 13-1, C 1.740%, 10/22/18		5,425		5,322
CarMax Auto Owner Trust 12-1, B 1.760%, 8/15/17		6,190		6,265
CarNow Auto Receivables Trust 12-1A, B, 144A 3.240%, 3/15/16⁽⁴⁾		2,150		2,165


	PAR VALUE		VALUE
12-1A, C, 144A 4.940%, 3/15/16⁽⁴⁾	$	3,750	$	3,833
13-1A, B 144A 1.970%, 11/15/17⁽⁴⁾		4,570		4,524
13-1A,C 2.980%, 11/15/17⁽⁴⁾		7,244		7,168
Centre Point Funding LLC 12-2A, 1 144A 2.610%, 8/20/21⁽⁴⁾		13,243		13,286
CFC LLC 13 - 1A, B 144A 2.750%, 11/15/18⁽⁴⁾		6,740		6,616
Cheesecake Factory Holdings, Inc. 13-1A, A2 144A 4.474%, 3/20/43⁽⁴⁾		24,025		23,997
CIT Equipment Collateral 12-VT1, D 144A 4.120%, 10/21/19⁽⁴⁾		10,000		10,002
Citicorp Residential Mortgage Securities, Inc.
07-1, A6 5.702%, 3/25/37⁽³⁾		4,557		4,747
07-2, A4 5.991%, 6/25/37⁽³⁾		7,000		6,877
07-2, A3 5.991%, 6/25/37⁽³⁾		7,045		7,156
CNH Equipment Trust
12-B, A4 1.160%, 6/15/20		10,000		9,987
12-B, B 1.780%, 6/15/20		4,000		3,993
Conseco Financial Corp.
94-1, A5 7.650%, 4/15/19		298		313
01-3, A4 6.910%, 5/1/33⁽³⁾		14,283		16,073
Countrywide Asset-Backed Certificates
04-10, AF6 4.485%, 12/25/34⁽³⁾		3,892		4,027
04-12, AF6 4.634%, 3/25/35⁽³⁾		2,048		2,107
05-12, 2A3 5.069%, 2/25/36⁽³⁾		3,732		3,878
Cronos Containers Program Ltd 12-2A, A 144A 3.810%, 9/18/27⁽⁴⁾		16,446		16,419
Direct Capital Funding IV LLC 13-1, D 144A 4.599%, 10/20/19⁽⁴⁾		3,555		3,555
Dominos Pizza Master Issuer LLC 12-1A, A2 144A 5.216%, 1/25/42⁽⁴⁾		39,692		42,356
Drug Royalty LP
I 12-1, A2 144A 5.800%, 7/15/24⁽⁴⁾		5,221		5,360
II 12-1, A1 144A 4.277%, 1/15/25⁽³⁾⁽⁴⁾		5,156		5,234
II 12-1, A2 144A 4.474%, 1/15/25⁽⁴⁾		12,344		12,390
DSC Floorplan Master Owner Trust 11-1, A, 144A 3.910%, 3/15/16⁽⁴⁾		8,500		8,578
DT Auto Owner Trust
11-2A, C, 144A 3.050%, 2/16/16⁽⁴⁾		831		832
12-1A, C, 144A 3.380%, 10/16/17⁽⁴⁾		9,975		10,063
13-1A, C 144A 2.730%, 2/15/19⁽⁴⁾		17,775		17,755
Exeter Automobile Receivables Trust
12-1A, C 144A 5.270%, 10/16/17⁽⁴⁾		8,500		8,860
12-2A, C 144A 3.060%, 7/16/18⁽⁴⁾		8,050		8,065
13-1A, C 144A 3.520%, 2/15/19⁽⁴⁾		15,000		14,703


	PAR VALUE		VALUE
13-1A, D 144A 5.050%, 10/15/19⁽⁴⁾	$	5,000	$	4,881
Fairway Outdoor Funding LLC 12-1A, A2 144A 4.212%, 10/15/42⁽⁴⁾		13,454		13,447
Global Science Finance S.R.L. 13-1A, A 144A 2.980%, 4/17/28⁽⁴⁾		24,288		23,412
GMAC Mortgage Corp. Loan Trust 06-HLTV, A4 5.810%, 10/25/29		7,026		6,931
Great America Leasing Receivables 13-1, A4 144A 1.160%, 5/15/18⁽⁴⁾		2,085		2,062
GSAA Home Equity Trust 05-12, AF3W 4.999%, 9/25/35⁽³⁾		15,704		15,521
GSAA Trust 05-1, AF4 5.442%, 11/25/34⁽³⁾		975		1,040
Harley-Davidson Motorcycle Trust 10-1, C 2.590%, 4/15/18		8,500		8,621
Hertz Vehicle Financing LLC
13-1A, A1 144A 1.120%, 8/25/17⁽⁴⁾		18,325		18,119
11-1A, A2 144A 3.290%, 3/25/18⁽⁴⁾		12,290		12,918
Huntington Auto Trust 12-2, R 144A 3.800%, 5/15/19⁽⁴⁾		84,141		3,629
Hyundai Auto Receivables Trust 12-B, C 1.950%, 10/15/18		10,000		10,142
IMC Home Equity Loan Trust 97-5, A9 7.310%, 11/20/28		4,653		4,680
IndyMac Manufactured Housing Contract 98-1, A3 6.370%, 9/25/28		1,406		1,453
Leaf II Receivables Funding LLC 12-1, D 144A 4.680%, 9/15/20⁽⁴⁾		5,859		5,779
Lehman Brothers Manufactured Housing Contract Trust 01-B, A3 4.350%, 4/15/40		6,256		6,555
Lehman XS Trust 05-5, 3A2B 5.420%, 11/25/35⁽³⁾		7,567		7,266
Marriott Vacation Club Owner Trust
12-1A, A 144A 2.510%, 5/20/30⁽⁴⁾		20,005		20,113
10-1A, A 144A 3.540%, 10/20/32⁽⁴⁾		994		1,022
10-1A, B 144A 4.520%, 10/20/32⁽⁴⁾		1,939		1,997
Master Credit Card Trust 12-2A, A 144A 0.780%, 4/21/17⁽⁴⁾		14,460		14,351
Miramax LLC 11-1A, A, 144A 6.250%, 10/20/21⁽⁴⁾		13,601		14,197
Nations Equipment Finance Funding I LLC
11-A, B, 144A 2.720%, 10/17/16⁽⁴⁾		3,500		3,570
13-1A, B 144A 3.818%, 5/20/21⁽⁴⁾		4,000		4,000
13-1A, C 144A 5.500%, 5/20/21⁽⁴⁾		7,833		7,529
New Century Home Equity Loan Trust 05-A, A4W 4.884%, 8/25/35⁽³⁾		18,712		17,459
Orange Lake Timeshare Trust


	PAR VALUE		VALUE
12-AA, A 144A 3.450%, 3/10/27⁽⁴⁾	$	8,615	$	8,852
12-AA, B, 144A 4.870%, 3/10/27⁽⁴⁾		811		828
Popular ABS Mortgage Pass-Through-Trust 05-5, AF3 4.959%, 11/25/35⁽³⁾		10,817		10,660
Rental Car Finance Corp. 11-1A, B1, 144A 4.380%, 2/25/16⁽⁴⁾		4,000		4,130
Residential Asset Mortgage Products, Inc. 03-RS8, AI7 5.015%, 9/25/33⁽³⁾		1,873		1,905
Residential Funding Mortgage Securities II Home Loan Trust
06-HI2, A3 5.790%, 2/25/36		7,225		7,361
06-H11, M1 6.010%, 2/25/36⁽³⁾		6,661		6,624
07-HI1, A3 5.720%, 3/25/37		19,913		19,776
Santander Drive Auto Receivables Trust
11-2, B 2.660%, 1/15/16		9,560		9,654
10-B, C 144A 3.020%, 10/17/16⁽⁴⁾		20,549		20,792
12-4, C 2.940%, 12/15/17		5,170		5,253
12-2, D 3.870%, 2/15/18		26,045		26,722
12-6, C 1.940%, 3/15/18		9,645		9,573
12-5, C 2.700%, 8/15/18		4,850		4,880
12-6, D 2.520%, 10/15/18		12,000		11,848
13-1, D 2.270%, 1/15/19		13,305		12,888
13-3, C 1.810%, 4/15/19		15,400		14,951
Sierra Timeshare Receivables Funding, LLC
07-2A, A1 144A 5.370%, 9/20/19⁽⁴⁾		1,126		1,142
10-3A, B 144A 4.440%, 11/20/25⁽⁴⁾		5,970		6,141
11-1A, B, 144A 4.230%, 4/20/26⁽⁴⁾		6,362		6,517
12-2A, B, 144A 3.420%, 3/20/29⁽⁴⁾		8,166		8,308
12-3A, A 144A 1.870%, 8/20/29⁽⁴⁾		3,392		3,400
13-1A, A 144A 1.590%, 11/20/29⁽⁴⁾		12,158		12,070
Silverleaf Finance XV LLC 12-D, A 144A 3.000%, 3/17/25⁽⁴⁾		18,076		18,105
SLM Corp.
12-B, A2, 144A 3.480%, 10/15/30⁽⁴⁾		12,000		12,537
12-C, A2 144A 3.310%, 10/15/46⁽⁴⁾		11,700		12,104
SNAAC Auto Receivables Trust 12-1A, A 144A 1.780%, 6/15/16⁽⁴⁾		1,246		1,251
Soundview Home Loan Trust 05-OPT4, 2A3 0.453%, 12/25/35⁽³⁾		22,834		22,519
Springleaf Loan Trust 10-1A, A1 144A 5.150%, 3/25/58⁽³⁾⁽⁴⁾		4,812		4,855
Structured Asset Investment Loan Trust 2005-He1 05-HE1, M1 0.663%, 7/25/35⁽³⁾		5,700		5,232
Structured Asset Securities Corp.


	PAR VALUE			VALUE
01-SB1, A2 3.375%, 8/25/31	$	3,128		$	3,073
05-S7, A2 144A 0.493%, 12/25/35⁽³⁾⁽⁴⁾		7,649			7,287
SVO VOI Mortgage Corp.
10-AA, A 144A 3.650%, 7/20/27⁽⁴⁾		6,941			7,153
12-AA, A 144A 2.000%, 9/20/29⁽⁴⁾		13,477			13,382
TAL Advantage I LLC
12-1A, A 144A 3.860%, 5/20/27⁽⁴⁾		14,980			15,051
13-1A, A 144A 2.830%, 2/22/38⁽⁴⁾		6,380			6,119
Terwin Mortgage Trust 04-15AL, A1 144A 5.775%, 7/25/34⁽³⁾⁽⁴⁾		7,672			7,675
Tidewater Auto Receivables Trust 12-AA, B 144A 2.430%, 4/15/19⁽⁴⁾		7,488			7,431
Trinity Rail Leasing LP 03-1A, A 144A 5.640%, 10/12/26⁽⁴⁾		4,909			5,406
Trip Rail Master Funding LLC 11-1A, A1A, 144A 4.370%, 7/15/41⁽⁴⁾		16,122			17,132
U-Haul S Fleet LLC 10-BT1A, 1 144A 4.899%, 10/25/17⁽⁴⁾		25,329			26,605
Volvo Financial Equipment LLLC 13-1A, B 144A 1.240%, 8/15/19⁽⁴⁾		15,835			15,567
Wachovia Asset Securitization Issuance II LLC 07- HE2A, A 144A 0.323%, 7/25/37⁽³⁾⁽⁴⁾		13,148			11,126
Westgate Resorts LLC
12-2A, A 144A 3.000%, 1/20/25⁽⁴⁾		1,170			1,184
13-1A, A 144A 2.250%, 8/20/25⁽⁴⁾		13,826			13,847

TOTAL ASSET-BACKED SECURITIES (Identified Cost $1,229,789)					1,234,614

CORPORATE BONDS—36.5%
Consumer Discretionary—1.6%
Arcos Dorados Holdings, Inc. 144A 10.250%, 7/13/16⁽⁴⁾		14,225	^BRL		6,487
Boyd Gaming Corp.
9.125%, 12/1/18		2,425			2,540
144A 9.000%, 7/1/20		5,350			5,450
CCO Holdings LLC 7.375%, 6/1/20		6,700			7,320
Claire’s Stores, Inc. 144A 9.000%, 3/15/19⁽⁴⁾		2,775			3,067
Daimler Finance North America LLC
144A 2.625%, 9/15/16⁽⁴⁾		11,000			11,288
144A 1.875%, 1/11/18⁽⁴⁾		7,100			6,926
Dana Holding Corp. 6.500%, 2/15/19		3,973			4,246
Hyatt Hotels Corp. 3.875%, 8/15/16		7,000			7,376
Hyundai Motor Manufacturing 144A 4.500%, 4/15/15⁽⁴⁾		6,000			6,259


	PAR VALUE		VALUE
Consumer Discretionary—(continued)
International Game Technology 7.500%, 6/15/19	$	1,115	$	1,290
KOC Holding AS 144A 3.500%, 4/24/20⁽⁴⁾		13,595		11,760
Lynx I Corp. 144A 5.375%, 4/15/21⁽⁴⁾		5,035		5,085
MGM Resorts International 6.750%, 10/1/20		6,500		6,744
Nara Cable Funding Ltd. 144A 8.875%, 12/1/18⁽⁴⁾		4,885		5,105
ONO Finance II plc 144A 10.875%, 7/15/19⁽⁴⁾		1,035		1,082
Penn National Gaming, Inc. 8.750%, 8/15/19		6,615		7,277
Pittsburgh Glass Works LLC 144A 8.500%, 4/15/16⁽⁴⁾		4,135		4,114
ServiceMaster Co. 7.000%, 8/15/20		7,845		7,482
Sirius XM Radio, Inc. 144A 4.250%, 5/15/20⁽⁴⁾		20,955		19,750
Wyndham Worldwide Corp.
6.000%, 12/1/16		133		148
2.500%, 3/1/18		2,960		2,906

				133,702

Consumer Staples—0.4%
Hawk Acquisition Sub, Inc. 144A 4.250%, 10/15/20⁽⁴⁾		20,949		20,085
Sigma Alimentos SA de CV 144A 5.625%, 4/14/18⁽⁴⁾		12,490		13,395

				33,480

Energy—4.1%
Afren plc 144A 11.500%, 2/1/16⁽⁴⁾		4,790		5,341
AK Transneft OJSC (Via Transcapitalinvest Ltd) 144A 8.700%, 8/7/18⁽⁴⁾⁽⁶⁾		5,000		5,887
Alta Mesa Holdings LP 9.625%, 10/15/18		8,150		8,496
Carrizo Oil & Gas, Inc. 8.625%, 10/15/18		7,271		7,816
CNOC Finance Ltd.
1.125%, 5/9/16		2,000		1,967
1.750%, 5/9/18		2,000		1,912
Compagnie Generale de Geophysique-Veritas 7.750%, 5/15/17		2,334		2,381
EP Energy LLC (Everest Acquisition Finance, Inc.) 6.875%, 5/1/19		4,000		4,300
Expro Finance Luxembourg SCA 144A 8.500%, 12/15/16⁽⁴⁾		4,529		4,778
Frontier Oil Corp. 6.875%, 11/15/18		2,550		2,748
Gazprom OAO (Gaz Capital SA)
144A 4.950%, 5/23/16⁽⁴⁾⁽⁶⁾		5,000		5,192
144A 6.212%, 11/22/16⁽⁴⁾		10,405		11,258
144A 8.146%, 4/11/18⁽⁴⁾		2,880		3,298


	PAR VALUE		VALUE
Energy—(continued)
144A 6.510%, 3/7/22⁽⁴⁾⁽⁶⁾	$	3,235	$	3,421
Hercules Offshore, Inc. 144A 7.125%, 4/1/17⁽⁴⁾		7,250		7,739
Kinder Morgan Energy Partners LP 6.850%, 2/15/20		2,545		3,029
Korea National Oil Corp.
144A 5.375%, 7/30/14⁽⁴⁾		4,345		4,517
144A 2.875%, 11/9/15⁽⁴⁾		5,000		5,112
Linn Energy LLC (Linn Energy Finance Corp.) 144A 6.250%, 11/1/19⁽⁴⁾		12,500		11,969
Lukoil International Finance BV 144A 6.375%, 11/5/14⁽⁴⁾		4,900		5,186
Midcontinent Express Pipeline LLC 144A 6.700%, 9/15/19⁽⁴⁾		7,500		7,745
MIE Holdings Corp. 144A 9.750%, 5/12/16⁽⁴⁾		2,985		3,104
OGX Austria GmbH 144A 8.500%, 6/1/18⁽⁴⁾		8,000		2,600
OJSC AK Transneft (TransCapitalInvest Ltd.) 144A 5.670%, 3/5/14⁽⁴⁾		5,715		5,858
Petrobras International Finance Co.
3.875%, 1/27/16		12,430		12,787
3.500%, 2/6/17		2,000		1,991
Petroleos de Venezuela SA
RegS 8.000%, 11/17/13⁽⁵⁾		10,000		10,025
Series 2014 4.900%, 10/28/14		16,540		15,548
RegS 8.500%, 11/2/17⁽⁵⁾		80,300		73,776
Plains Exploration & Production Co. 6.500%, 11/15/20		13,200		14,006
Pride International, Inc. 8.500%, 6/15/19		4,065		5,168
QGOG Constellation S.A. 144A 6.250%, 11/9/19⁽⁴⁾		7,925		7,786
Quicksilver Resources, Inc.
7.125%, 4/1/16		3,190		2,823
144A 11.000%, 7/1/21⁽⁴⁾		1,665		1,482
Rosneft Oil Co. ( Rosneft International Finance Ltd.) 144A 3.149%, 3/6/17⁽⁴⁾⁽⁶⁾		10,800		10,638
Sabine Pass Liquefaction LLC 144A 5.625%, 2/1/21⁽⁴⁾		8,000		7,780
Sinopec Capital 2013 Ltd.
144A 1.250%, 4/24/16⁽⁴⁾		12,000		11,869
144A 1.875%, 4/24/18⁽⁴⁾		11,750		11,279
TNK-BP Finance SA RegS 7.500%, 7/18/16⁽⁵⁾		13,235		14,674
Venoco, Inc. 8.875%, 2/15/19		5,675		5,561
Weatherford International Ltd. 9.625%, 3/1/19		4,110		5,194

				338,041


	PAR VALUE			VALUE
Financials—17.3%
Abbey National Treasury Services plc 144A 3.875%, 11/10/14⁽⁴⁾	$	11,599		$	11,943
ABN AMRO Bank N.V.
144A 3.000%, 1/31/14⁽⁴⁾		9,000			9,108
144A 4.250%, 2/2/17⁽⁴⁾		4,425			4,718
ADCB Finance Cayman Ltd. 144A 4.750%, 10/8/14⁽⁴⁾		5,290			5,462
Air Lease Corp. 4.750%, 3/1/20		18,185			17,549
Aircastle Ltd. 6.250%, 12/1/19		10,400			10,855
Akbank TAS
144A 5.125%, 7/22/15⁽⁴⁾		8,900			9,212
144A 3.875%, 10/24/17⁽⁴⁾		6,150			5,942
144A 7.500%, 2/5/18⁽⁴⁾		12,140	^TRY		5,780
Alfa Bank OJSC (Alfa Bond Issuance plc) RegS 7.875%, 9/25/17⁽⁵⁾⁽⁶⁾		19,275			20,551
Allstate Corp. 6.125%, 5/15/37⁽³⁾		4,730			5,082
American International Group, Inc.
2.375%, 8/24/15		5,825			5,916
4.875%, 9/15/16		8,850			9,692
American Tower Trust I 144A 1.551%, 3/15/18⁽⁴⁾		6,900			6,778
Anglo American Capital plc 144A 9.375%, 4/8/19⁽⁴⁾		1,950			2,459
Associated Banc Corp. 5.125%, 3/28/16		8,635			9,294
Assurant, Inc. 5.625%, 2/15/14		4,060			4,174
Banco Bilbao Vizcaya Argentaria U.S. Senior S.A.U
3.250%, 5/16/14		4,000			4,036
4.664%, 10/9/15		15,000			15,450
Banco Bilbao Vizcaya Argentaria Bancomer SA 144A 4.500%, 3/10/16⁽⁴⁾		5,000			5,188
Banco Bradesco SA
144A 4.125%, 5/16/16⁽⁴⁾		7,000			7,210
144A 4.500%, 1/12/17⁽⁴⁾		13,000			13,520
Banco Continental SA Via Continental Senior Trustees II Cayman Ltd. 144A 5.750%, 1/18/17⁽⁴⁾⁽⁶⁾		10,000			10,575
Banco de Credito del Peru 144A 4.750%, 3/16/16⁽⁴⁾		14,800			15,299
Banco de Credito e Inversiones 144A 3.000%, 9/13/17⁽⁴⁾		3,775			3,699
Banco Santander Brasil SA
144A 4.500%, 4/6/15⁽⁴⁾		17,500			17,588
144A 8.000%, 3/18/16⁽⁴⁾		28,335	^BRL		11,683
144A 4.625%, 2/13/17⁽⁴⁾		9,300			9,440


	PAR VALUE		VALUE
Financials—(continued)
Banco Santander Chile
144A 3.750%, 9/22/15⁽⁴⁾	$	5,575	$	5,731
144A 2.150%, 6/7/18⁽³⁾⁽⁴⁾		5,300		5,288
Banco Votorantim SA 144A 5.250%, 2/11/16⁽⁴⁾		10,500		10,763
Bangkok Bank plc 144A 2.750%, 3/27/18⁽⁴⁾		16,550		16,246
Bank of America Corp. 5.490%, 3/15/19		2,868		3,091
Bank of Georgia JSC 144A 7.750%, 7/5/17⁽⁴⁾		5,810		5,926
Bank of India
144A 3.250%, 4/18/18⁽⁴⁾		24,470		22,916
144A 3.625%, 9/21/18⁽⁴⁾		20,380		19,125
Barclays Bank plc
5.200%, 7/10/14		1,610		1,679
144A 6.050%, 12/4/17⁽⁴⁾		13,130		14,198
144A 5.926%^(3)(4)(7)(8)		3,773		3,698
BBVA Banco Continental SA 144A 3.250%, 4/8/18⁽⁴⁾		8,270		8,043
BioMed Realty LP 3.850%, 4/15/16		9,375		9,829
Capital One Financial Corp. 6.150%, 9/1/16		5,364		5,985
Chubb Corp. (The) 6.375%, 3/29/67⁽³⁾		8,205		8,779
Citigroup, Inc.
0.544%, 6/9/16⁽³⁾		3,400		3,281
5.500%, 2/15/17		15,460		16,902
CNA Financial Corp. 5.850%, 12/15/14		7,575		8,057
CNH Capital LLC 144A 3.625%, 4/15/18⁽⁴⁾		20,225		19,315
Comerica Bank
Series A1 5.700%, 6/1/14		1,900		1,981
4.800%, 5/1/15		1,828		1,938
5.750%, 11/21/16		5,940		6,755
Corporacion Andina de Fomento 3.750%, 1/15/16		11,785		12,439
Countrywide Financial Corp. 6.250%, 5/15/16		9,110		9,933
Danske Bank A/S 144A 3.875%, 4/14/16⁽⁴⁾		8,000		8,378
Deutsche Bank Financial LLC 5.375%, 3/2/15		2,933		3,102
Discover Bank 8.700%, 11/18/19		1,750		2,235
DNB Bank ASA 144A 3.200%, 4/3/17⁽⁴⁾		24,700		25,565
E*TRADE Financial Corp. 6.375%, 11/15/19		10,155		10,358
Fifth Third Bancorp 4.500%, 6/1/18		6,745		7,261
Fifth Third Bank 4.750%, 2/1/15		750		790
First Tennessee Bank N.A. 5.650%, 4/1/16		15,664		16,986
Ford Motor Credit Co. LLC 4.207%, 4/15/16		10,000		10,445
General Electric Capital Corp. 0.653%, 5/5/26⁽³⁾		8,000		7,368
General Motors Financial Co., Inc. 144A 4.750%, 8/15/17⁽⁴⁾		17,940		18,478
Genworth Financial, Inc. 7.625%, 9/24/21		5,125		5,953


	PAR VALUE		VALUE
Financials—(continued)
Glen Meadow Pass-Through Trust 144A 6.505%, 2/12/67⁽³⁾⁽⁴⁾	$	10,345	$	9,828
Goldman Sachs Group, Inc. (The)
5.625%, 1/15/17		6,000		6,501
7.500%, 2/15/19		2,451		2,910
Hana Bank
144A 4.500%, 10/30/15⁽⁴⁾		11,000		11,640
144A 3.500%, 10/25/17⁽⁴⁾		5,535		5,597
HBOS plc 144A 6.750%, 5/21/18⁽⁴⁾		685		725
HCP, Inc.
3.750%, 2/1/16		8,000		8,422
3.750%, 2/1/19		4,940		5,067
Health Care REIT, Inc.
4.700%, 9/15/17		8,565		9,304
4.125%, 4/1/19		4,100		4,287
Healthcare Realty Trust, Inc. 6.500%, 1/17/17		3,000		3,353
Hertz Corp. (The)
144A 4.250%, 4/1/18⁽⁴⁾		3,030		2,969
5.875%, 10/15/20		9,420		9,750
Huntington Bancshares, Inc. 7.000%, 12/15/20		1,025		1,222
Huntington National Bank (The) 4.900%, 1/15/14		1,400		1,416
Hutchison Whampoa International Ltd. Series 12 144A 6.000%^(3)(4)(7)(8)		13,210		13,705
Hyundai Capital Services, Inc.
144A 6.000%, 5/5/15⁽⁴⁾		4,975		5,342
144A 3.750%, 4/6/16⁽⁴⁾		500		519
144A 4.375%, 7/27/16⁽⁴⁾		1,500		1,590
144A 3.500%, 9/13/17⁽⁴⁾		8,000		8,143
144A 2.125%, 10/2/17⁽⁴⁾		2,940		2,841
ICICI Bank RegS 4.700%, 2/21/18⁽⁵⁾		13,000		13,042
ING Bank NV
144A 2.375%, 6/9/14⁽⁴⁾		5,000		5,068
144A 1.375%, 3/7/16⁽⁴⁾		9,000		8,892
ING U.S., Inc. 144A 2.900%, 2/15/18⁽⁴⁾		22,250		22,354
International Lease Finance Corp.
3.875%, 4/15/18		12,360		11,618
5.875%, 4/1/19		5,800		5,858
Intesa San Paolo SpA 3.125%, 1/15/16		12,190		11,984
iStar Financial, Inc. 4.875%, 7/1/18		12,250		11,546
Jefferies Group, Inc. 5.125%, 4/13/18		6,541		6,835
JPMorgan Chase & Co. 6.125%, 6/27/17		8,850		9,980
Kazkommerts Bank International BV 144A 7.875%, 4/7/14⁽⁴⁾		4,135		4,176


	PAR VALUE			VALUE
Financials—(continued)
Kazkommertsbank JSC RegS 8.000%, 11/3/15⁽⁵⁾	$	1,000		$	1,004
KeyBank N.A.
5.800%, 7/1/14		1,450			1,516
7.413%, 5/6/15		3,000			3,312
4.950%, 9/15/15		1,295			1,395
Korea Development Bank
4.375%, 8/10/15		2,525			2,659
3.875%, 5/4/17		7,000			7,189
3.500%, 8/22/17		9,750			9,949
Legg Mason, Inc. 5.500%, 5/21/19		13,868			14,283
Level 3 Financing, Inc. 7.000%, 6/1/20		4,065			4,075
Lincoln National Corp.
8.750%, 7/1/19		2,340			2,999
6.050%, 4/20/67⁽³⁾⁽⁸⁾		2,885			2,826
Lukoil International Finance Bv 144A 3.416%, 4/24/18⁽⁴⁾		6,000			5,835
Macquarie Bank Ltd. 144A 3.450%, 7/27/15⁽⁴⁾		7,920			8,207
Manufacturers & Traders Trust Co. 5.629%, 12/1/21⁽³⁾		5,000			5,141
MetLife, Inc. 6.750%, 6/1/16		910			1,041
Metropolitan Life Global Funding I 144A 1.700%, 6/29/15⁽⁴⁾		13,770			13,984
Morgan Stanley
5.550%, 4/27/17		10,200			11,031
144A 10.090%, 5/3/17⁽⁴⁾		22,595	^BRL		10,025
Nordea Bank AB 144A 2.125%, 1/14/14⁽⁴⁾		5,000			5,045
ORIX Corp. 5.000%, 1/12/16		5,228			5,543
Penske Truck Leasing Co. LP (PTL Finance Corp.) 144A 2.875%, 7/17/18⁽⁴⁾		8,505			8,586
Phosagro OAO (Phosagro Bond Funding Ltd.) 144A 4.204%, 2/13/18⁽⁴⁾⁽⁶⁾		14,800			14,578
PNC Funding Corp. 5.625%, 2/1/17		3,130			3,472
Progressive Corp. (The) 6.700%, 6/15/37⁽³⁾		2,740			2,959
Prudential Financial, Inc.
4.750%, 9/17/15		4,770			5,132
8.875%, 6/15/38⁽³⁾⁽⁸⁾		11,200			13,440
QBE Insurance Group Ltd. 144A 2.400%, 5/1/18⁽⁴⁾		7,750			7,595
Regions Bank 7.500%, 5/15/18		12,001			14,028
Regions Financial Corp. 5.750%, 6/15/15		2,535			2,735
Royal Bank of Scotland Group plc (The) 6.400%, 10/21/19		3,130			3,476
Russian Agricultural Bank OJSC (RSHB Capital SA) 144A 6.299%, 5/15/17⁽⁴⁾		2,905			3,083


	PAR VALUE		VALUE
Financials—(continued)
(RSHB Capital SA) 144A 5.298%, 12/27/17⁽⁴⁾	$	18,055	$	18,422
Ryder System, Inc. 2.500%, 3/1/17		11,980		12,020
Santander Holdings USA, Inc. 3.000%, 9/24/15		980		1,005
Santander U.S. Debt S.A.U.
144A 3.724%, 1/20/15⁽⁴⁾		8,100		8,175
Unipersonal 144A 3.781%, 10/7/15⁽⁴⁾		8,000		8,153
SBA Tower Trust 144A 2.933%, 12/15/17⁽⁴⁾		13,275		13,393
Sberbank of Russia (Sberbank CapItal SA)
144A 4.950%, 2/7/17⁽⁴⁾⁽⁶⁾		35,165		36,378
144A 5.125%, 10/29/22⁽⁴⁾⁽⁶⁾		9,170		8,597
Senior Housing Properties Trust 4.300%, 1/15/16		6,875		7,125
Shinhan Bank
144A 4.375%, 7/27/17⁽⁴⁾		11,700		12,279
144A 1.875%, 7/30/18⁽⁴⁾		1,000		934
Skandinaviska Enskilda Banken AB 144A 1.750%, 3/19/18⁽⁴⁾		6,775		6,586
SLM Corp. 4.625%, 9/25/17		24,805		24,495
Societe Generale S.A.
144A 3.100%, 9/14/15⁽⁴⁾		2,900		2,989
144A 3.500%, 1/15/16⁽⁴⁾		6,895		7,154
144A 5.922%^(3)(4)(7)(8)		6,800		6,424
Spansion LLC 7.875%, 11/15/17		2,955		3,044
State Street Corp. 4.956%, 3/15/18⁽⁸⁾		5,000		5,507
SunTrust Bank, Inc.
6.000%, 9/11/17		4,925		5,646
5.450%, 12/1/17		3,750		4,173
Svenska Handelsbanken AB 3.125%, 7/12/16		10,000		10,500
Swedbank AB 144A 1.750%, 3/12/18⁽⁴⁾		19,200		18,648
Telecom Italia Capital SA
6.175%, 6/18/14		3,184		3,295
7.175%, 6/18/19		2,395		2,664
TMK OAO (TMK Capital SA) 144A 6.750%, 4/3/20⁽⁴⁾⁽⁶⁾		12,135		11,255
Turkiye Garanti Bankasi AS 144A 4.000%, 9/13/17⁽⁴⁾		12,500		12,188
Turkiye Is Bankasi
144A 3.875%, 11/7/17⁽⁴⁾		16,700		16,283
144A 3.750%, 10/10/18⁽⁴⁾		12,630		11,872
Turkiye Vakiflar Bankasi Tao
144A 5.750%, 4/24/17⁽⁴⁾		14,000		14,518
144A 3.750%, 4/15/18⁽⁴⁾		4,000		3,760
Unum Group 7.125%, 9/30/16		6,620		7,655
Ventas Realty LP (Ventas Capital Corp.)


	PAR VALUE		VALUE
Financials—(continued)
4.000%, 4/30/19	$	7,100	$	7,380
2.700%, 4/1/20		2,948		2,785
Vnesheconombank (VEB Finance plc)
144A 5.375%, 2/13/17⁽⁴⁾		12,915		13,415
144A 5.450%, 11/22/17⁽⁴⁾⁽⁶⁾		3,500		3,640
VTB Bank OJSC (VTB Capital SA)
144A 6.465%, 3/4/15⁽⁴⁾⁽⁶⁾		15,900		16,722
144A 6.000%, 4/12/17⁽⁴⁾⁽⁶⁾		16,175		16,822
Wachovia Corp. 5.625%, 10/15/16		2,500		2,809
Webster Financial Corp. 5.125%, 4/15/14		2,500		2,544
Wells Fargo & Co. 5.125%, 9/15/16		5,000		5,525
Willis Group Holdings plc 4.125%, 3/15/16		6,000		6,280
Willis North America, Inc. 6.200%, 3/28/17		4,960		5,522
Yapi ve Kredi Bankasi AS 144A 4.000%, 1/22/20⁽⁴⁾		18,650		16,738
Zions Bancorp
5.650%, 5/15/14		1,775		1,851
4.500%, 3/27/17		8,120		8,585

				1,435,402

Health Care—1.0%
Alere, Inc. 144A 6.500%, 6/15/20⁽⁴⁾		6,175		6,013
Community Health Systems, Inc. (CHS) 5.125%, 8/15/18		9,320		9,483
Express Scripts Holding Co. 3.500%, 11/15/16		10,000		10,613
HCA, Inc. 6.500%, 2/15/20		23,035		24,979
inVentiv Health, Inc. 144A 9.000%, 1/15/18⁽⁴⁾		3,810		3,991
Symbion, Inc. 8.000%, 6/15/16		6,517		6,810
Tenet Healthcare Corp. 4.750%, 6/1/20		9,275		8,939
U.S. Oncology, Inc. 0.000%, 2/16/49^(10)(11)		1,263		0
Valeant Pharmaceuticals International, Inc. Escrow Corp. 144A 6.750%, 8/15/18⁽⁴⁾		8,590		8,815
Vanguard Health Holding Co. II, LLC (Vanguard Holding Co. II, Inc.) 7.750%, 2/1/19		3,212		3,421
Zoetis, Inc. 144A 1.875%, 2/1/18⁽⁴⁾		1,975		1,933

				84,997

Industrials—6.1%
ADS Tactical, Inc. 144A 11.000%, 4/1/18⁽⁴⁾		7,416		7,194
Air Canada Pass-Through-Trust 13-1B 144A 5.375%, 5/15/21⁽⁴⁾		9,855		9,830
America West Airlines Pass-Through-Trust
98-1, A 6.870%, 1/2/17		2,197		2,318
99-1, G 7.930%, 1/2/19		9,643		10,318


	PAR VALUE			VALUE
Industrials—(continued)
00-1, G 8.057%, 7/2/20	$	9,170		$	10,179
01-1, G 7.100%, 4/2/21		40,654			42,687
American Airlines Pass-Through-Trust 13-1, A 144A 4.000%, 7/15/25⁽⁴⁾		7,721			7,296
American Honda Finance Corp. 144A 6.700%, 10/1/13⁽⁴⁾		4,850			4,923
Atlas Air Pass-Through-Trust
98-1, A 7.380%, 1/2/18		8,341			8,632
99-1, A1 7.200%, 1/2/19		2,051			2,143
00-1, A 8.707%, 1/2/19		5,162			5,500
Avis Budget Car Rental LLC 144A 4.875%, 11/15/17⁽⁴⁾		13,470			13,605
AWAS Aviation Capital Ltd. 144A 7.000%, 10/17/16⁽⁴⁾		9,846			10,289
British Airways plc 144A 5.625%, 6/20/20⁽⁴⁾		8,863			8,897
Continental Airlines Pass-Through-Trust
98-1, A 6.648%, 9/15/17		4,298			4,534
97-4, A 6.900%, 1/2/18		5,212			5,473
99-1, A 6.545%, 2/2/19		11,374			12,654
09-2, A 7.250%, 11/10/19		788			922
99-2, C2 6.236%, 3/15/20		14,752			16,375
00-1, A1 8.048%, 11/1/20		7,432			8,324
01-1, A1 6.703%, 6/15/21		13,467			14,342
Delta Air Lines Pass-Through-Trust
11-1, A 5.300%, 4/15/19		10,188			10,952
09-1, A 7.750%, 12/17/19		3,206			3,727
12-1A, 1A 4.750%, 5/7/20		30,126			31,482
Deluxe Corp.
7.000%, 3/15/19		7,490			7,939
6.000%, 11/15/20		2,950			3,068
HD Supply, Inc.
8.125%, 4/15/19		2,935			3,229
144A 7.500%, 7/15/20⁽⁴⁾		7,675			7,790
Hellenic Railways 5.460%, 1/30/14		16,710	^EUR		20,554
IPIC GMTN Ltd. RegS 3.750%, 3/1/17⁽⁵⁾		14,800			15,422
Kratos Defense & Security Solutions, Inc. 10.000%, 6/1/17		8,570			9,213
Northwest Airlines Pass-Through-Trust 02-1, G2 6.264%, 11/20/21		22,103			23,540
Odebrecht Finance Ltd. 144A 8.250%, 4/25/18⁽⁴⁾		12,850	^BRL		5,152
Rexel SA 144A 5.250%, 6/15/20⁽⁴⁾		15,970			16,010
Sappi Papier Holding GmbH
144A 7.750%, 7/15/17⁽⁴⁾		12,830			13,600


	PAR VALUE		VALUE
Industrials—(continued)
144A 8.375%, 6/15/19⁽⁴⁾	$	7,770	$	8,226
Spirit Aerosystems, Inc. 7.500%, 10/1/17		6,330		6,646
Toledo Edison Co. (The) 7.250%, 5/1/20		1,201		1,486
Transnet SOC Ltd. 144A 4.500%, 2/10/16⁽⁴⁾		9,000		9,224
U.S. Airways Pass-Through-Trust
98-1 6.850%, 1/30/18		5,108		5,312
01-1G 7.076%, 3/20/21		25,415		27,131
12-1A 5.900%, 10/1/24		11,479		12,053
UAL Pass-Through-Trust
09-2 9.750%, 1/15/17		26,376		30,332
07-01A 6.636%, 7/2/22		11,434		12,234
11-1 A 7.125%, 10/22/23		7,571		8,555
United Rentals North America, Inc. 5.750%, 7/15/18		7,895		8,329

				507,641

Information Technology—0.9%
Avaya, Inc. 144A 7.000%, 4/1/19⁽⁴⁾		2,935		2,663
Ceridian Corp. 144A 11.000%, 3/15/21⁽⁴⁾		280		311
Digicel Ltd. 144A 8.250%, 9/1/17⁽⁴⁾		7,886		8,241
Dun & Bradstreet Corp. (The) 3.250%, 12/1/17		16,800		16,916
EarthLink, Inc.
8.875%, 5/15/19		4,100		4,008
144A 7.375%, 6/1/20⁽⁴⁾		7,770		7,498
Equinix, Inc. 4.875%, 4/1/20		8,062		7,941
Fidelity National Financial, Inc. 6.600%, 5/15/17		6,475		7,175
First Data Corp. 11.250%, 3/31/16		15,454		15,184
MDC-GMTN B.V. 144A 3.750%, 4/20/16⁽⁴⁾		4,000		4,226
Tech Data Corp. 3.750%, 9/21/17		790		802

				74,965

Materials—2.8%
Allegheny Technologies, Inc. 9.375%, 6/1/19		7,245		8,937
Ardagh Packaging Finance plc (Ardagh Packaging Holdings, Inc.) 144A 7.375%, 10/15/17⁽⁴⁾		8,145		8,725
Calumet Specialty Products Partners LP 9.375%, 5/1/19		8,441		9,074
Cemex SAB de CV 144A 9.500%, 6/15/18⁽⁴⁾		9,754		10,583
CRH America, Inc.
4.125%, 1/15/16		4,000		4,207
8.125%, 7/15/18		4,770		5,802
EuroChem Mineral & Chemical Co. OJSC (EuroChem GI Ltd.) 144A 5.125%, 12/12/17⁽⁴⁾⁽⁶⁾		11,920		11,771


	PAR VALUE		VALUE
Materials—(continued)
FMG Resources Property Ltd.
144A 6.000%, 4/1/17⁽⁴⁾	$	2,485	$	2,429
144A 8.250%, 11/1/19⁽⁴⁾		8,600		8,901
Gerdau Holdings, Inc. 144A 7.000%, 1/20/20⁽⁴⁾		1,950		2,057
Hexion Corp.
144A 8.875%, 2/1/18⁽⁴⁾		14,485		14,847
6.625%, 4/15/20		3,540		3,549
144A 6.625%, 4/15/20⁽⁴⁾		10,605		10,632
Huntsman International LLC 4.875%, 11/15/20		3,910		3,881
International Paper Co. 9.375%, 5/15/19		5,330		6,964
JMC Steel Group 144A 8.250%, 3/15/18⁽⁴⁾		6,030		5,924
Korea Resources Corp 144A 2.125%, 5/2/18⁽⁴⁾		14,800		13,952
Methanex Corp. 3.250%, 12/15/19		10,800		10,450
Nufarm Australia Ltd. 144A 6.375%, 10/15/19⁽⁴⁾		16,010		16,050
Reynolds Group Issuer, Inc. 5.750%, 10/15/20		12,945		13,074
Reynolds Group Issuer, Inc. (Reynolds Group Issuer LLC) 9.875%, 8/15/19		2,580		2,774
Sealed Air Corp. 144A 6.500%, 12/1/20⁽⁴⁾		2,355		2,496
Severstal OAO (Steel Capital SA) 144A 6.700%, 10/25/17⁽⁴⁾⁽⁶⁾		5,975		6,174
Sinopec Group Overseas Development Ltd. 144A 2.750%, 5/17/17⁽⁴⁾		10,000		10,051
Tronox Finance LLC 144A 6.375%, 8/15/20⁽⁴⁾		10,840		10,271
Turkiye Sise Ve Cam Fabrikalari AS 144A 4.250%, 5/9/20⁽⁴⁾		12,755		11,671
Vedanta Resources plc
144A 9.500%, 7/18/18⁽⁴⁾		13,090		14,366
144A 6.000%, 1/31/19⁽⁴⁾		6,000		5,730

				235,342

Telecommunication Services—1.2%
America Movil SAB de CV 2.375%, 9/8/16		11,000		11,143
Crown Castle Towers LLC
144A 4.523%, 1/15/15⁽⁴⁾		4,925		5,154
144A 3.214%, 8/15/15⁽⁴⁾		4,950		5,095
144A 5.495%, 1/15/17⁽⁴⁾		5,915		6,499
France Telecom SA 2.750%, 9/14/16		1,000		1,025
Frontier Communications Corp. 7.125%, 3/15/19		12,200		12,902
Intelsat Luxembourg SA 144A 7.750%, 6/1/21⁽⁴⁾		8,000		8,110
Sprint Nextel Corp. 6.000%, 12/1/16		7,550		7,984
Telefonica Emisiones SAU
6.421%, 6/20/16		7,500		8,234
3.192%, 4/27/18		2,805		2,716


	PAR VALUE		VALUE
Telecommunication Services—(continued)
Wind Acquisition Finance S.A.
144A 11.750%, 7/15/17⁽⁴⁾	$	6,425	$	6,714
144A 7.250%, 2/15/18⁽⁴⁾		7,000		7,088
Windstream Corp. 7.750%, 10/15/20		12,125		12,610

				95,274

Utilities—1.1%
Abu Dhabi National Energy Co. 144A 2.500%, 1/12/18⁽⁴⁾		13,930		13,582
AmeriGas Partners LP (AmeriGas Finance Corp.)
6.250%, 8/20/19		5,670		5,727
6.750%, 5/20/20		4,000		4,160
Centrais Eletricas Brasileiras SA 144A 6.875%, 7/30/19⁽⁴⁾		10,875		11,365
Enel Finance International N.V. 144A 3.875%, 10/7/14⁽⁴⁾		2,000		2,048
Israel Electric Corp. Ltd. 144A 5.625%, 6/21/18⁽⁴⁾		14,735		15,140
Korea Electric Power Corp. 144A 5.500%, 7/21/14⁽⁴⁾		3,420		3,558
Korea Gas Corp. 144A 6.000%, 7/15/14⁽⁴⁾		2,000		2,088
Korea Hydro & Nuclear Power Co., Ltd. 144A 3.125%, 9/16/15⁽⁴⁾		1,000		1,030
Korea Western Power Co., Ltd. 144A 3.125%, 5/10/17⁽⁴⁾		9,800		9,784
NRG Energy, Inc.
7.625%, 1/15/18		1,485		1,596
8.500%, 6/15/19		6,050		6,496
PPL WEM Holdings plc 144A 3.900%, 5/1/16⁽⁴⁾		5,495		5,742
State Grid Overseas Investment Ltd. 144A 1.750%, 5/22/18⁽⁴⁾		5,000		4,790
TransAlta Corp. 4.750%, 1/15/15		2,220		2,320

				89,426

TOTAL CORPORATE BONDS (Identified Cost $3,005,505)				3,028,270

LOAN AGREEMENTS⁽³⁾—16.8%
Consumer Discretionary—4.2%
Acosta, Inc. 0.000%, 3/2/18⁽¹²⁾		7,980		8,043
Acquisitions Cogeco Cable II L.P. (Atlantic Broadband (Penn) Holdings, Inc.) Tranche B, 3.250%, 11/30/19		4,059		4,049
Affinia Group, Inc. Tranche B-2, 4.750%, 4/25/20		4,660		4,654


	PAR VALUE			VALUE
Consumer Discretionary—(continued)
Allison Transmission, Inc. Tranche B-3, 4.250%, 8/23/19	$	7,697		$	7,733
Boyd Gaming Corp. 6.000%, 12/17/15		4,625			4,646
Caesars Entertainment Operating Co., Inc. (Harrah’s Operating Company, Inc.)
Tranche B-4, 9.500%, 10/31/16		5,920			5,910
Tranche B-6, 5.443%, 1/28/18		8,164			7,237
Charter Communications Operations LLC
0.000%, 4/10/20⁽¹²⁾		9,577			9,481
Tranche F, 3.000%, 12/31/20		5,710			5,672
Chrysler Group LLC Tranche B, 4.250%, 5/24/17		8,232			8,276
Clear Channel Communications, Inc. Tranche B, 3.845%, 1/29/16		9,000			8,241
CSC Holdings, Inc. Tranche B, 2.695%, 4/17/20		10,663			10,563
Cumulus Media Holdings, Inc. First Lien, 4.500%, 9/17/18		9,448			9,481
Entercom Radio LLC Tranche B-1, 5.000%, 11/23/18		5,426			5,489
Estado de Santa Catarina 0.000%, 12/27/22⁽¹²⁾		15,000			15,075
Fram Group Holdings, Inc. (Prestone Holdings, Inc.) First Lien, 6.500%, 7/29/17		4,808			4,775
Gateway Casinos & Entertainment Ltd. Tranche B, 6.750%, 5/12/16		2,839	^CAD		2,698
Getty Images, Inc. 0.000%, 10/18/19⁽¹²⁾		13,350			13,222
Hubbard Radio LLC Tranche 1, 4.500%, 4/29/19		4,679			4,702
Landry’s, Inc. Tranche B, 4.750%, 4/24/18		10,708			10,757
MGM Resorts International (MGM Grand Detroit LLC) Tranche B, 3.500%, 12/20/19		7,225			7,194
Neiman Marcus Group, Inc. (The) 4.000%, 5/16/18		5,402			5,393
Nine Entertainment Group Ltd. (PBL Media Group Limited) Tranche B, 3.500%, 2/5/20		14,265			14,212
Penn National Gaming, Inc. Tranche B, 3.750%, 7/16/18		10,957			11,021
PVH Corp. (Phillips-Van Heusen Corp.) Tranche B, 3.250%, 2/13/20		3,387			3,388
Radio One, Inc. 7.500%, 3/31/16		1,884			1,929
Scientific Games International, Inc. 0.000%, 5/22/20⁽¹²⁾		15,445			15,296
Seminole Hard Rock Entertainment, Inc. (Seminole Hard Rock International LLC) Tranche B, 3.500%, 5/14/20		2,845			2,841
Seminole Tribe of Florida 0.000%, 4/29/20⁽¹²⁾		15,949			15,936
ServiceMaster Co. (The)


	PAR VALUE		VALUE
Consumer Discretionary—(continued)
Tranche C, 4.250%, 1/31/17	$	3,980	$	3,939
Tranche B, 4.450%, 1/31/17		4,211		4,178
Seven Sea Cruises S. DE R.L. Tranche B-1, 4.750%, 12/21/18		5,128		5,160
Sports Authority, Inc. (The) Tranche B, 7.500%, 11/16/17		2,243		2,251
SRAM LLC First Lien, 4.000%, 4/10/20		2,120		2,102
Station Casinos LLC Tranche B, 5.000%, 3/2/20		12,537		12,552
TI Group Auto Systems LLC 5.500%, 3/28/19		6,678		6,758
Tribune Co. Tranche B, 4.000%, 12/31/19		4,590		4,578
TWCC Holding Corp. 0.000%, 12/11/20⁽¹²⁾		8,500		8,585
Univision Communications, Inc.
4.000%, 3/1/20		10,927		10,724
First Lien, 4.500%, 3/1/20		19,950		19,784
Virgin Media Investment Holdings Ltd. Tranche B, 3.500%, 6/8/20		13,968		13,842
WideOpenWest Finance LLC
Tranche B-1, 4.250%, 7/17/17		1,210		1,216
0.000%, 4/1/19⁽¹²⁾		8,877		8,918
Zuffa LLC 4.500%, 2/25/20		10,951		10,920

				343,421

Consumer Staples—0.8%
AdvancePierre Foods, Inc. First Lien, 5.750%, 7/10/17		212		214
American Rock Salt Co. LLC 5.500%, 4/25/17		10,705		10,702
Aramark Corp. Tranche D, 4.000%, 9/9/19		10,099		10,099
Del Monte Foods Co. 4.000%, 3/8/18		13,263		13,241
Heinz (H.J.) Co. Tranche B-2, 3.500%, 6/5/20		5,704		5,710
Hostess Brands Acquisition LLC 0.000%, 4/9/20⁽¹²⁾		5,251		5,360
Rite Aid Corp.
0.000%, 2/21/20⁽¹²⁾		6,983		6,968
0.000%, 8/21/20⁽¹²⁾		720		732
0.000%, 6/21/21⁽¹²⁾		14,688		14,684

				67,710

Energy—1.0%
Aluma Systems, Inc. (Brand Energy & Infrastructure) Tranche 1, 6.250%, 10/23/18		1,863		1,880
Brand Energy & Infrastructure Services, Inc. (FR Brand Acquisition Corp.) Tranche B-1, First Lien, 6.250%, 10/23/18		7,764		7,832


	PAR VALUE		VALUE
Energy—(continued)
Buffalo Gulf Coast Terminals LLC 5.250%, 10/31/17	$	3,275	$	3,324
Chesapeake Energy Corp. 5.750%, 12/2/17		16,495		16,732
CITGO Petroleum Corp. Tranche C, 9.000%, 6/24/17		1,886		1,922
EP Energy LLC (Everest Acquisition LLC)
Tranche B-3, 3.500%, 5/24/18		6,150		6,109
Tranche B-2, 4.500%, 4/30/19		2,047		2,054
FTS International, Inc. (Frac Tech International LLC) 8.500%, 5/6/16		11,340		10,963
MEG Energy Corp. 3.750%, 3/31/20		10,972		10,980
NGPL Pipeco LLC 6.750%, 9/15/17		6,265		6,239
Quicksilver Reseources. Inc. 0.000%, 6/21/19⁽¹²⁾		8,750		8,531
Samson Investment Co. Second Lien, 6.000%, 9/25/18		8,366		8,366

				84,932

Financials—1.7%
Altisource Portfolio Solutions S.A.R.L Tranche B, 5.750%, 11/27/19		14,847		14,939
Asurion LLC (Asurion Corp.) Tranche B-1, 4.500%, 5/24/19		10,326		10,251
Capital Automotive LP
Tranche B-1, 4.000%, 4/10/19		3,817		3,829
0.000%, 4/30/20⁽¹²⁾		429		433
Clipper Acquisitions Corp. 4.000%, 2/6/20		6,346		6,361
iPayment, Inc . 5.750%, 5/8/17		6,546		6,486
iStar Financial, Inc.
Tranche A-2, 7.000%, 3/19/17		4,000		4,212
4.500%, 10/15/17		14,348		14,366
MIP Delaware LLC Tranche B-1, 4.000%, 3/9/20		6,909		6,947
Nuveen Investments, Inc.
Tranche B, First Lien 4.195%, 5/13/17		9,700		9,648
Tranche B, Second Lien 6.500%, 2/28/19		10,991		10,886
Realogy Corp.
Extended LOC, 0.000%, 10/10/16⁽¹²⁾		743		745
Tranche B, 4.500%, 3/5/20		18,007		18,066
RPI Finance Trust 4.000%, 11/9/18		10,944		10,979
Springleaf Financial Funding Co. (American General Finance Corp.) 5.500%, 5/10/17		4,898		4,909
Trans Union LLC 4.250%, 2/8/19		2,794		2,812


	PAR VALUE		VALUE
Financials—(continued)
Walter Investment Management Corp. 0.000%, 11/28/17⁽¹²⁾	$	17,631	$	17,719

				143,588

Health Care—2.1%
Alere, Inc. 0.000%, 6/30/17⁽¹²⁾		4,938		4,971
Alere, Inc. (IM U.S. Holdings LLC)
0.000%, 6/30/17⁽¹²⁾		2,460		2,477
Tranche B, 5.500%, 6/30/17		1,326		1,335
American Renal Holdings, Inc. Tranche B, First Lien, 4.500%, 8/20/19		9,439		9,386
Aptalis Pharma, Inc. (Axcan Intermediate Holdings, Inc.) Tranche B-1, 5.500%, 2/10/17		3,047		3,055
Ardent Medical Services, Inc. 0.000%, 7/2/18⁽¹²⁾		4,350		4,394
Capsugel Holdings U.S., Inc. 4.250%, 8/1/18		2,720		2,736
Catalent Pharma Solutions, Inc. (Cardinal Health 409, Inc.) Tranche 2, 4.250%, 9/15/17		3,677		3,691
ConvaTec, Inc. 5.000%, 12/22/16		1,389		1,400
DaVita, Inc. Tranche B-2 4.000%, 11/1/19		10,730		10,762
Emdeon, Inc. 0.000%, 11/2/18⁽¹²⁾		4,132		4,118
Health Management Associates, Inc. Tranche B, 3.500%, 11/16/18		8,496		8,488
Hologic, Inc. Tranche B, 4.500%, 8/1/19		14,391		14,453
Iasis Healthcare LLC Tranche B-2, 4.500%, 5/3/18		5,833		5,832
InVentiv Health, Inc. (Ventive Health, Inc.) 7.500%, 8/4/16		8,750		8,619
Kinetic Concepts, Inc.
0.000%, 11/4/16⁽¹²⁾		6,754		6,762
0.000%, 5/4/18⁽¹²⁾		590		592
MedAssets, Inc. Tranche B, 4.000%, 12/13/19		624		625
Par Pharmaceutical Cos, Inc. (Par Pharmaceutical, Inc.) Tranche B-1, 4.250%, 9/30/19		10,772		10,719
Quintiles Transnational Corp. Tranche B-2, 4.500%, 6/8/18		4,429		4,437
Rural/Metro Operating Co. LLC 5.750%, 6/30/18		8,799		8,495
Sheridan Holdings, Inc. First Lien, 4.500%, 6/29/18		8,588		8,621
Surgery Center Holdings, Inc. First Lien 6.000%, 4/11/19		3,611		3,631
U.S. Renal Care, Inc. First Lien, 6.250%, 7/3/19		2,735		2,756
United Surgical Partners International, Inc. Tranche B, 4.750%, 4/3/19		3,807		3,805


	PAR VALUE		VALUE
Health Care—(continued)
Valeant Pharmaceuticals International, Inc.
Series D-1, Tranche B, 3.500%, 2/13/19	$	14,197	$	14,123
Series C-1, Tranche B, 3.500%, 12/11/19		3,920		3,897
Vanguard Health Holding Company II LLC Tranche B, 3.750%, 1/29/16		5,328		5,338
VWR Funding, Inc.
Tranche B-1, 4.195%, 4/3/17		829		825
4.445%, 4/3/17		3,178		3,162
Warner Chilcott Corp.
0.000%, 3/15/18⁽¹²⁾		443		444
Tranche B-1, 4.250%, 3/15/18		1,434		1,437
Tranche B-1, 4.250%, 3/15/18		3,294		3,302
(WC Luxco S.A.R.L.) Tranche B-3, 4.250%, 3/15/18		2,596		2,602

				171,290

Industrials—2.2%
ADS Waste Holdings Tranche B, 4.250%, 10/9/19		14,821		14,806
American Airlines, Inc. 0.000%, 6/21/19⁽¹²⁾		22,901		22,937
AWAS Finance Luxemborg S.A. 3.500%, 7/16/18		10,374		10,474
Brickman Group Holdings, Inc.
Tranche B-2, 3.273%, 10/14/16		2,548		2,579
Tranche B-3, 4.000%, 9/28/18		3,214		3,210
Brock Holdings Ill, Inc. First Lien, 6.000%, 3/16/17		1,487		1,502
Ceridian Corp. Extended, 5.942%, 5/9/17		13,415		13,492
CHG Buyer Corp. First Lien, 5.000%, 11/19/19		10,121		10,181
Delta Air Lines, Inc. Tranche B-1, 4.000%, 10/18/18		6,428		6,441
DynCorp International, Inc. 6.250%, 7/7/16		5,886		5,935
Edwards Ltd. First Lien, 4.750%, 3/26/20		7,747		7,766
Envision Healthcare Corp. (Emergency Medical Services Corp.) 4.000%, 5/25/18		6,765		6,759
Garda Security Group, Inc. Tranche B, 4.500%, 11/13/19		4,229		4,273
Harland Clarke Holdings Corp. (Clarke American Corp.) 0.000%, 6/30/17⁽¹²⁾		5,393		5,205
HD Supply, Inc. 4.500%, 10/12/17		11,751		11,759
Husky Injection Molding System (Yukon Acquisition, Inc.) 4.250%, 7/2/18		5,258		5,242
McJunkin Red Man Corp. 6.000%, 11/8/19		7,001		7,051
Mirror Bidco, Inc. 5.250%, 12/28/19		4,353		4,362
Sequa Corp. 5.250%, 6/19/17		5,224		5,245


	PAR VALUE		VALUE
Industrials—(continued)
Spirit Aerosystems, Inc. Tranche B 3.750%, 4/18/19	$	13,825	$	13,960
Swift Transportation Tranche B-2, 4.000%, 12/21/17		815		818
Terex Corp. 4.500%, 4/28/17		1,014		1,025
US Airways, Inc.
0.000%, 11/23/16⁽¹²⁾		6,235		6,251
0.000%, 5/23/19⁽¹²⁾		7,126		7,052
WireCo Worldgroup, Inc. 6.000%, 2/15/17		2,496		2,499

				180,824

Information Technology—2.5%
Alcatel-Lucent U.S.A., Inc.
6.250%, 8/1/16		1,444		1,461
7.250%, 1/30/19		15,853		16,035
Avaya, Inc.
Tranche B-3, 4.773%, 10/26/17		3,033		2,667
Tranche B-5, 8.000%, 3/31/18		2,509		2,360
Blue Coat Systems, Inc.
4.500%, 5/31/19		8,283		8,259
0.000%, 6/26/20⁽¹²⁾		11,569		11,569
CCC Holdings, Inc. 4.000%, 12/20/19		5,915		5,886
CDW LLC 3.500%, 4/29/20		12,513		12,362
Deltek, Inc. First Lien, 5.000%, 10/10/18		9,577		9,570
First Data Corp.
4.193%, 3/24/17		13,980		13,688
4.193%, 3/23/18		22,100		21,600
Genpact Ltd. 3.500%, 8/30/19		3,714		3,716
Infor (U.S.), Inc. (Lawson Software, Inc.)
Tranche B-2, 5.250%, 4/5/18		7,463		7,500
0.000%, 6/3/20⁽¹²⁾		4,931		4,872
Interactive Data Corp. 3.750%, 2/11/18		5,279		5,261
ION Trading Technologies S.A.R.L. First Lien, 4.500%, 5/22/20		3,622		3,611
Kronos, Inc. First Lien, 4.500%, 10/30/19		3,134		3,149
Moneygram International, Inc. 4.250%, 3/27/20		4,673		4,694
Mood Media Corp. First Lien, 7.000%, 5/6/18		2,728		2,733
Novell, Inc. (Attachmate Corp.) First Lien, 7.625%, 11/22/17		9,592		9,623
NuSil Technology LLC 5.250%, 4/7/17		1,029		1,031
Presidio, Inc. 5.750%, 3/31/17		11,195		11,111
Riverbed Technology, Inc. 4.000%, 12/18/19		3,972		3,996
RP Crown Parent LLC First Lien 6.750%, 12/21/18		12,406		12,484


	PAR VALUE		VALUE
Information Technology—(continued)
Scitor Corp. 5.000%, 2/15/17	$	742	$	728
Sophia LP Tranche B, 4.500%, 7/19/18		6,582		6,607
Spansion LLC 5.250%, 12/13/18		4,231		4,258
SRA International, Inc. 6.500%, 7/20/18		6,905		6,879
SSI Investments II Ltd. (Skillsoft) 5.000%, 5/26/17		3,340		3,366
Wall Street Systems Holdings, Inc. First Lien, 5.750%, 10/25/19		6,522		6,537

				207,613

Materials—1.1%
Air Distribution Technologies, Inc. (QS0001 Corp.) First Lien, 5.000%, 11/9/18		3,855		3,884
Ameriforge Group, Inc. First Lien, 5.000%, 12/19/19		2,796		2,792
Arysta LifeScience SPC LLC 0.000%, 5/29/20⁽¹²⁾		8,533		8,464
Avantor Performance Materials Holdings, Inc. 5.250%, 6/24/17		2,310		2,316
AZ Chem US, Inc. 0.000%, 12/22/17⁽¹²⁾		4,892		4,938
Berry Plastics Group, Inc. Tranche D, 3.500%, 2/8/20		5,938		5,884
CPG International I, Inc. 5.750%, 9/21/19		2,644		2,660
Cyanco Intermediate Corp. 5.500%, 5/1/20		3,604		3,602
Fortescue Metals Group Ltd. 5.250%, 10/18/17		7,016		6,984
General Chemical Corp. 0.000%, 10/6/15⁽¹²⁾		4,384		4,413
Houghton International, Inc. Holding Corp. First Lien, 4.000%, 12/20/19		14,398		14,344
Ineos US Finance LLC 4.000%, 5/4/18		12,603		12,369
JMC Steel Group, Inc. 4.750%, 4/1/17		626		628
Pact Group (USA), Inc. 0.000%, 5/29/20⁽¹²⁾		10,114		10,076
Reynolds Group Holdings, Inc. 0.000%, 9/28/18⁽¹²⁾		6,100		6,126
Tronox Pigments B.V. 4.500%, 3/19/20		3,985		4,010

				93,490

Telecommunication Services—0.8%
Cricket Communications, Inc. Tranche C, 4.750%, 3/8/20		15,400		15,309
Global Tel*link Corp. First Lien, 5.000%, 5/23/20		9,987		9,968
Intelsat Jackson Holding S.A. (Intelsat Jackson Holding Ltd.) Tranche B-1, 4.250%, 4/2/18		13,398		13,443
Level 3 Financing, Inc.
Tranche B 2016, 4.750%, 2/1/16		1,422		1,430
Tranche B-II 2019, 4.750%, 8/1/19		9,850		9,871
Tranche B 2019, 5.250%, 8/1/19		6,319		6,340


	PAR VALUE			VALUE
Telecommunication Services—(continued)
West Corp. Tranche B-8, 3.750%, 6/30/18	$	6,359		$	6,349
Windstream Corp. Tranche B-4, 3.500%, 1/23/20		3,677			3,687

					66,397

Utilities—0.4%
Accudyne Industries Borrower S.C.A. (Accudyne Industries LLC) (Silver II US Holdings LLC) 4.000%, 12/13/19		13,178			13,099
Calpine Corp. 4.000%, 10/9/19		6,699			6,704
NRG Energy, Inc. 0.000%, 7/1/18⁽¹²⁾		6,835			6,780
Texas Compeptitive Electric Holdings Co. LLC 2017 Extended, 4.734%, 10/10/17		5,925			4,150

					30,733

TOTAL LOAN AGREEMENTS (Identified Cost $1,390,573)					1,389,998


	SHARES			VALUE
PREFERRED STOCK—0.4%
Financials—0.4%
Banco Bilbao Vizcaya Argentaria S.A. International S.A. Unipersonal 5.919%⁽³⁾		5,835,000	⁽¹⁴⁾		5,222
Banco do Brasil S.A. 144A 8.500%⁽³⁾⁽⁴⁾		700,000	⁽¹⁴⁾		753
Citigroup, Inc. Series D 5.35%⁽⁴⁾		702	⁽¹⁴⁾		667
JPMorgan Chase & Co. Series 1 7.90%⁽³⁾		3,360,000	⁽¹⁴⁾		3,797
Wells Fargo & Co. Series K, 7.98%⁽³⁾		16,155,000	⁽¹⁴⁾		18,255
Zions Bancorp, Series C, ADR 9.500%		251,925			6,399

TOTAL PREFERRED STOCK (Identified Cost $34,419)					35,093

COMMON STOCKS—0.0%
Financials—0.0%
CIT Group, Inc.⁽²⁾		26,344			1,228

Materials—0.0%
Catalyst Paper Corp.		2,284,459			1,645

TOTAL COMMON STOCKS (Identified Cost $3,820)					2,873

TOTAL LONG TERM INVESTMENTS—99.0% (Identified cost $8,179,973)					8,209,223	⁽¹³⁾


	SHARES		VALUE
SHORT-TERM INVESTMENTS—1.0%
Money Market Mutual Funds—1.0%
Fidelity Money Market Portfolio - Institutional Shares (Seven-day effective yield 0.012%)		81,000,544	$	81,001

TOTAL SHORT-TERM INVESTMENTS (Identified Cost $81,001)				81,001

TOTAL INVESTMENTS—100.0% (Identified Cost $8,260,974)				8,290,224	⁽¹⁾
Other assets and liabilities, net—0.0%				(1,173	)

NET ASSETS—100.0%			$	8,289,051

Abbreviations:


ADR		American Depositary Receipt
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 June 30, 2013, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Non-income producing.

⁽³⁾	Variable or step coupon security; interest rate shown reflects the rate in effect at June 30, 2013.

⁽⁴⁾	Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2013, these securities amounted to a value of $2,793,893 or 33.7% of net assets.

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

⁽⁶⁾	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⁾	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.

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

⁽¹¹⁾	Illiquid security.

⁽¹²⁾	This loan will settle after June 30, 2013, at which time the interest rate, based on the London Interbank Offered Rate (“LIBOR”) and the agreed upon spread on trade date, will be reflected.

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

⁽¹⁴⁾	Value shown as par value.

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2013 (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—99.4%
Consumer Discretionary—13.2%
AbbVie, Inc.		528,850	$	21,863
Abercrombie & Fitch Co. Class A⁽²⁾		27,675		1,252
Amazon.com, Inc.⁽²⁾		128,670		35,730
AutoNation, Inc.⁽²⁾		13,716		595
AutoZone, Inc.⁽²⁾		12,830		5,436
Bed Bath & Beyond, Inc.⁽²⁾		77,223		5,475
Best Buy Co., Inc.		94,849		2,592
BorgWarner, Inc.⁽²⁾		40,830		3,518
Cablevision Systems Corp. Class A		76,431		1,286
CarMax, Inc.⁽²⁾		79,338		3,662
Carnival Corp.		156,868		5,379
CBS Corp. Class B		201,607		9,853
Chipotle Mexican Grill, Inc.⁽²⁾		10,921		3,979
Coach, Inc.		99,274		5,668
Comcast Corp. Class A		930,382		38,964
Darden Restaurants, Inc.		45,866		2,315
Delphi Automotive plc		102,730		5,207
DIRECTV Class A⁽²⁾		197,340		12,160
Discovery Communications, Inc. Class A⁽²⁾		86,459		6,675
Dollar General Corp.⁽²⁾		106,420		5,367
Dollar Tree, Inc.⁽²⁾		79,080		4,020
DR Horton, Inc.		99,056		2,108
Expedia, Inc.		32,941		1,981
Family Dollar Stores, Inc.		33,713		2,101
Ford Motor Co.		1,388,890		21,486
Fossil Group, Inc.⁽²⁾		18,660		1,928
GameStop Corp. Class A		42,043		1,767
Gannett Co., Inc.		80,866		1,978
Gap, Inc. (The)		102,445		4,275
Garmin Ltd.		38,690		1,399
General Motors Co.		271,980		9,060
Genuine Parts Co.		54,750		4,274
Goodyear Tire & Rubber Co. (The)⁽²⁾		86,749		1,326
H&R Block, Inc.		96,213		2,670
Harley-Davidson, Inc.		79,189		4,341
Harman International Industries, Inc.		24,013		1,302
Hasbro, Inc.		40,682		1,824
Home Depot, Inc. (The)		516,100		39,982
Host Hotels & Resorts, Inc.		190,880		3,220
International Game Technology		92,002		1,537
Interpublic Group of Cos., Inc. (The)		151,352		2,202


	SHARES		VALUE
Consumer Discretionary—(continued)
J.C. Penney Co., Inc.⁽²⁾		50,591	$	864
Johnson Controls, Inc.		242,012		8,662
Kohl’s Corp.		71,985		3,636
Leggett & Platt, Inc.		50,483		1,570
Lennar Corp. Class A		58,457		2,107
Lowe’s Cos., Inc.		378,880		15,496
Ltd. Brands, Inc.		84,858		4,179
Macy’s, Inc.		135,540		6,506
Marriott International, Inc.		84,634		3,417
Mattel, Inc.		122,028		5,529
McDonald’s Corp.		354,200		35,066
McGraw-Hill Cos., Inc. (The)		70,253		3,737
Netflix, Inc.⁽²⁾		19,834		4,187
Newell Rubbermaid, Inc.		101,924		2,676
News Corp. Class A		703,240		22,926
NIKE, Inc. Class B		255,730		16,285
Nordstrom, Inc.		52,541		3,149
O’Reilly Automotive, Inc.⁽²⁾		39,030		4,396
Omnicom Group, Inc.		91,358		5,744
PetSmart, Inc.		36,500		2,445
Phillips-Van Heusen Corp.		28,630		3,580
priceline.com, Inc.⁽²⁾		18,216		15,067
PulteGroup, Inc.⁽²⁾		120,474		2,285
Ralph Lauren Corp.		21,518		3,739
Ross Stores, Inc.		77,662		5,033
Scripps Networks Interactive, Inc. Class A		30,044		2,006
Staples, Inc.		234,557		3,720
Starbucks Corp.		264,510		17,323
Starwood Hotels & Resorts Worldwide, Inc.		68,742		4,344
Target Corp.		226,710		15,611
Tiffany & Co.		42,370		3,086
Time Warner Cable, Inc.		102,800		11,563
Time Warner, Inc.		329,340		19,042
TJX Cos., Inc.		254,294		12,730
TripAdvisor, Inc.⁽²⁾		39,001		2,374
Urban Outfitters, Inc.⁽²⁾		38,931		1,566
VF Corp.		30,952		5,976
Viacom, Inc. Class B		157,611		10,725
Walt Disney Co. (The)		636,270		40,180
Washington Post Co. (The) Class B		1,591		770
Whirlpool Corp.		27,970		3,199
Wyndham Worldwide Corp.		48,007		2,747
Wynn Resorts Ltd.		28,189		3,608


	SHARES		VALUE
Consumer Discretionary—(continued)
Yum! Brands, Inc.		158,924	$	11,020

				645,628

Consumer Staples—12.5%
Altria Group, Inc.		737,240		25,796
Archer-Daniels-Midland Co.		291,145		9,873
Avon Products, Inc.		220,640		4,640
Beam, Inc.		76,700		4,840
Brown-Forman Corp. Class B		72,622		4,906
Campbell Soup Co.		93,650		4,195
Clorox Co. (The)		63,090		5,245
Coca-Cola Co. (The)		1,555,080		62,374
Coca-Cola Enterprises, Inc.		126,550		4,449
Colgate-Palmolive Co.		368,280		21,099
ConAgra Foods, Inc.		196,190		6,853
Constellation Brands, Inc. Class A⁽²⁾		94,225		4,911
Costco Wholesale Corp.		184,820		20,436
CVS Caremark Corp.		511,240		29,233
Dr. Pepper Snapple Group, Inc.		98,160		4,508
Estee Lauder Cos., Inc. (The) Class A		111,100		7,307
General Mills, Inc.		279,775		13,577
Hershey Co. (The)		70,525		6,296
Hormel Foods Corp.		77,555		2,992
J.M. Smucker Co. (The)		52,290		5,394
Kellogg Co.		117,400		7,541
Kimberly-Clark Corp.		164,299		15,960
Kraft Foods Group, Inc.		241,356		13,485
Kroger Co. (The)		238,814		8,249
Lorillard, Inc.		168,470		7,359
McCormick & Co., Inc.		65,010		4,574
Mead Johnson Nutrition Co.		90,000		7,131
Molson Coors Brewing Co. Class B		80,865		3,870
Mondelez International, Inc.⁽²⁾		683,165		19,491
Monster Beverage Corp.		67,640		4,110
PepsiCo, Inc.		359,970		29,442
Philip Morris International, Inc.		664,014		57,517
Procter & Gamble Co. (The)		1,112,755		85,671
Reynolds American, Inc.		144,095		6,970
Safeway, Inc.		136,695		3,234
SYSCO Corp.		264,720		9,043
Tyson Foods, Inc. Class A		151,420		3,888
Wal-Mart Stores, Inc.		665,170		49,548
Walgreen Co.		373,170		16,494


	SHARES		VALUE
Consumer Staples—(continued)
Whole Foods Market, Inc.		155,160	$	7,988

				610,489

Energy—12.3%
Anadarko Petroleum Corp.		225,040		19,338
Apache Corp.		174,134		14,598
Baker Hughes, Inc.		225,670		10,410
Cabot Oil & Gas Corp.		176,150		12,510
Cameron International Corp.⁽²⁾		153,280		9,374
Chesapeake Energy Corp.		266,230		5,426
Chevron Corp.		763,230		90,321
ConocoPhillips		348,260		21,070
CONSOL Energy, Inc.		141,048		3,822
Denbury Resources, Inc.⁽²⁾		289,510		5,014
Devon Energy Corp.		167,990		8,715
Diamond Offshore Drilling, Inc.		44,000		3,027
Ensco plc Class A		89,780		5,218
EOG Resources, Inc.		127,877		16,839
EQT Corp.		57,970		4,601
Exxon Mobil Corp.		1,156,460		104,486
FMC Technologies, Inc.⁽²⁾		164,310		9,149
Halliburton Co.		430,150		17,946
Helmerich & Payne, Inc.		41,010		2,561
Hess Corp.		143,090		9,514
Kinder Morgan, Inc.		243,480		9,289
Marathon Oil Corp.		320,750		11,091
Marathon Petroleum Corp.		125,158		8,894
Murphy Oil Corp.		94,910		5,779
Nabors Industries Ltd.		209,058		3,201
National Oilwell Varco, Inc.		208,986		14,399
Newfield Exploration Co.⁽²⁾		52,200		1,247
Noble Corp.		97,600		3,668
Noble Energy, Inc.		188,610		11,324
Occidental Petroleum Corp.		271,031		24,184
Peabody Energy Corp.		151,490		2,218
Phillips 66		238,635		14,058
Pioneer Natural Resources Co.		119,290		17,267
QEP Resources, Inc.		69,080		1,919
Range Resources Corp.		98,669		7,629
Rowan Cos. plc Class A⁽²⁾		129,500		4,412
Schlumberger Ltd.		534,704		38,317
Southwestern Energy Co.⁽²⁾		173,220		6,328
Spectra Energy Corp.		346,190		11,930
Tesoro Corp.		164,626		8,613


	SHARES		VALUE
Energy—(continued)
Valero Energy Corp.		293,500	$	10,205
Williams Cos., Inc. (The)		371,290		12,056
WPX Energy, Inc.⁽²⁾		77,160		1,461

				603,428

Financials—12.2%
ACE Ltd.		87,190		7,802
Aflac, Inc.		119,500		6,945
Allstate Corp. (The)		120,120		5,780
American Express Co.		244,980		18,315
American International Group, Inc.⁽²⁾		378,390		16,914
American Tower Corp.		101,360		7,417
Ameriprise Financial, Inc.		51,650		4,177
AON plc		79,230		5,098
Apartment Investment & Management Co. Class A		37,400		1,124
Assurant, Inc.		19,730		1,004
AvalonBay Communities, Inc.		31,170		4,205
Bank of America Corp.		2,763,036		35,533
Bank of New York Mellon Corp. (The)		297,480		8,344
BB&T Corp.		179,850		6,093
Berkshire Hathaway, Inc. Class B⁽²⁾		465,568		52,106
BlackRock, Inc.		32,000		8,219
Boston Properties, Inc.		38,890		4,102
Capital One Financial Corp.		149,720		9,404
CBRE Group, Inc.⁽²⁾		77,830		1,818
Charles Schwab Corp. (The)		282,133		5,990
Chubb Corp. (The)		66,430		5,623
Cincinnati Financial Corp.		37,668		1,729
Citigroup, Inc.		779,900		37,412
CME Group, Inc.		78,730		5,982
Comerica, Inc.		47,840		1,905
Discover Financial Services		125,700		5,988
E*Trade Financial Corp.⁽²⁾		73,520		931
Equity Residential		82,161		4,770
Fifth Third Bancorp		224,170		4,046
Franklin Resources, Inc.		35,420		4,818
Genworth Financial, Inc. Class A⁽²⁾		126,380		1,442
Goldman Sachs Group, Inc. (The)		110,470		16,709
Hartford Financial Services Group, Inc. (The)		116,847		3,613
HCP, Inc.		116,490		5,293
Health Care REIT, Inc.		72,900		4,887
Hudson City Bancorp, Inc.		121,840		1,116
Huntington Bancshares, Inc.		214,980		1,694


	SHARES		VALUE
Financials—(continued)
IntercontinentalExchange, Inc.⁽²⁾		18,650	$	3,315
Invesco Ltd.		113,960		3,624
JPMorgan Chase & Co.		968,744		51,140
KeyCorp		235,930		2,605
Kimco Realty Corp.		104,770		2,245
Legg Mason, Inc.		28,580		886
Leucadia National Corp.		75,620		1,983
Lincoln National Corp.		68,810		2,510
Loews Corp.		78,760		3,497
M&T Bank Corp.		31,410		3,510
Macerich Co. (The)		35,240		2,149
Marsh & McLennan Cos., Inc.		141,080		5,632
MetLife, Inc.		280,660		12,843
Moody’s Corp.		49,700		3,028
Morgan Stanley		351,670		8,591
NASDAQ OMX Group, Inc. (The)		30,170		989
Northern Trust Corp.		55,799		3,231
NYSE Euronext, Inc.		62,280		2,578
People’s United Financial, Inc.		86,900		1,295
Plum Creek Timber Co., Inc.		41,740		1,948
PNC Financial Services Group, Inc.		135,690		9,895
Principal Financial Group, Inc.		70,690		2,647
Progressive Corp. (The)		142,050		3,611
Prologis, Inc.		127,700		4,817
Prudential Financial, Inc.		119,439		8,723
Public Storage		37,000		5,673
Regions Financial Corp.		362,250		3,452
Simon Property Group, Inc.		79,670		12,581
SLM Corp.		113,850		2,603
State Street Corp.		116,890		7,622
SunTrust Banks, Inc.		138,140		4,361
T. Rowe Price Group, Inc.		66,470		4,862
Torchmark Corp.		23,700		1,544
Travelers Cos., Inc. (The)		96,480		7,711
U.S. Bancorp		474,071		17,138
Unum Group		68,420		2,010
Ventas, Inc.		75,140		5,219
Vornado Realty Trust		43,600		3,612
Wells Fargo & Co.		1,262,460		52,102
XL Group plc		74,250		2,251
Zions Bancorp		47,220		1,364

				599,745


	SHARES		VALUE
Health Care—12.0%
Abbott Laboratories		441,250	$	15,391
Actavis, Inc.⁽²⁾		45,015		5,682
Aetna, Inc.		129,738		8,244
Agilent Technologies, Inc.		115,036		4,919
Alexion Pharmaceuticals, Inc.⁽²⁾		65,166		6,011
Allergan, Inc.		101,735		8,570
AmerisourceBergen Corp.		80,047		4,469
Amgen, Inc.		250,440		24,708
Bard (C.R.), Inc.		26,620		2,893
Baxter International, Inc.		183,670		12,723
Becton, Dickinson & Co.		66,590		6,581
Biogen Idec, Inc.		81,045		17,441
Boston Scientific Corp.⁽²⁾		454,765		4,216
Bristol-Myers Squibb Co.		551,290		24,637
Cardinal Health, Inc.		115,298		5,442
CareFusion Corp.⁽²⁾		73,405		2,705
Celgene Corp.⁽²⁾		139,291		16,284
Cerner Corp.⁽²⁾		48,785		4,688
CIGNA Corp.		98,580		7,146
Covidien plc		157,110		9,873
DaVita, Inc.⁽²⁾		28,260		3,414
DENTSPLY International, Inc.		47,845		1,960
Edwards Lifesciences Corp.⁽²⁾		37,725		2,535
Eli Lilly & Co.		331,050		16,261
Express Scripts Holding Co.⁽²⁾		286,988		17,704
Forest Laboratories, Inc.⁽²⁾		79,295		3,251
Gilead Sciences, Inc.⁽²⁾		509,360		26,084
Hospira, Inc.⁽²⁾		55,265		2,117
Humana, Inc.		56,510		4,768
Intuitive Surgical, Inc.⁽²⁾		13,401		6,789
Johnson & Johnson		937,975		80,535
Laboratory Corp. of America Holdings⁽²⁾		31,040		3,107
Life Technologies Corp.⁽²⁾		57,540		4,259
McKesson Corp.		77,953		8,926
Medtronic, Inc.		339,305		17,464
Merck & Co., Inc.		1,008,340		46,837
Mylan, Inc.⁽²⁾		127,255		3,949
Patterson Cos., Inc.		27,930		1,050
PerkinElmer, Inc.		37,380		1,215
Perrigo Co.		29,520		3,572
Pfizer, Inc.		2,228,394		62,417
Quest Diagnostics, Inc.		54,735		3,319
Regeneron Pharmaceuticals, Inc.⁽²⁾		25,500		5,735
St. Jude Medical, Inc.		97,107		4,431


	SHARES		VALUE
Health Care—(continued)
Stryker Corp.		97,540	$	6,309
Tenet Healthcare Corp.⁽²⁾		35,865		1,653
Thermo Fisher Scientific, Inc.		119,860		10,144
UnitedHealth Group, Inc.		343,410		22,486
Varian Medical Systems, Inc.⁽²⁾		36,210		2,442
Waters Corp.⁽²⁾		28,610		2,862
WellPoint, Inc.		102,969		8,427
Zimmer Holdings, Inc.		57,140		4,282
Zoetis, Inc.		166,910		5,156

				588,083

Industrials—12.3%
3M Co.		260,720		28,510
ADT Corp. (The)		87,600		3,491
Avery Dennison Corp.		49,330		2,109
Boeing Co. (The)		285,560		29,253
Caterpillar, Inc.		280,770		23,161
Cintas Corp.		50,320		2,292
CSX Corp.		493,290		11,439
Cummins, Inc.		130,140		14,115
Danaher Corp.		261,670		16,564
Deere & Co.		173,490		14,096
Dover Corp.		82,900		6,438
Dun & Bradstreet Corp.		16,000		1,559
Eaton Corp. plc		231,610		15,242
Emerson Electric Co.		304,790		16,623
Equifax, Inc.		65,720		3,873
Expeditors International of Washington, Inc.		82,730		3,145
Fastenal Co.		108,100		4,956
FedEx Corp.		126,520		12,472
Flowserve Corp.		57,250		3,092
Fluor Corp.		94,850		5,626
General Dynamics Corp.		144,670		11,332
General Electric Co.		3,065,640		71,092
Grainger (W.W.), Inc.		31,390		7,916
Honeywell International, Inc.		332,380		26,371
Illinois Tool Works, Inc.		176,370		12,200
Ingersoll-Rand plc		111,300		6,179
Iron Mountain, Inc.		67,183		1,788
Jacobs Engineering Group, Inc.⁽²⁾		52,370		2,887
Joy Global, Inc.		42,550		2,065
Kansas City Southern		44,120		4,675
L-3 Communications Holdings, Inc.		36,040		3,090
Lockheed Martin Corp.		112,810		12,235


	SHARES		VALUE
Industrials—(continued)
Masco Corp.		159,040	$	3,100
Norfolk Southern Corp.		148,110		10,760
Northrop Grumman Corp.		101,730		8,423
PACCAR, Inc.		164,760		8,841
Pall Corp.		65,450		4,348
Parker Hannifin Corp.		75,380		7,191
PentAir, Inc.		81,810		4,720
Pitney Bowes, Inc.		92,500		1,358
Precision Castparts Corp.		58,590		13,242
Quanta Services, Inc.⁽²⁾		85,260		2,256
Raytheon Co.		142,240		9,405
Republic Services, Inc.		118,830		4,033
Robert Half International, Inc.		79,020		2,626
Robinson (C.H.) Worldwide, Inc.		64,290		3,620
Rockwell Automation, Inc.		72,350		6,015
Rockwell Collins, Inc.		70,200		4,451
Roper Industries, Inc.		39,650		4,925
Ryder System, Inc.		37,760		2,296
Snap-On, Inc.		23,330		2,085
Southwest Airlines Co.		317,110		4,088
Stanley Black & Decker, Inc.		64,830		5,011
Stericycle, Inc.⁽²⁾		34,550		3,815
Textron, Inc.		138,930		3,619
Tyco International Ltd.		185,790		6,122
Union Pacific Corp.		203,430		31,385
United Parcel Service, Inc. Class B		289,660		25,050
United Technologies Corp.		351,830		32,699
Waste Management, Inc.		191,820		7,736
Xylem, Inc.		74,190		1,999

				605,105

Materials—12.2%
Air Products & Chemicals, Inc.		263,618		24,139
Airgas, Inc.		84,058		8,024
Alcoa, Inc.		1,367,673		10,695
Allegheny Technologies, Inc.		139,031		3,658
Ball Corp.		192,288		7,988
Bemis Co., Inc.		131,864		5,161
CF Industries Holdings, Inc.		75,336		12,920
Cliffs Natural Resources, Inc.		197,428		3,208
Dow Chemical Co. (The)		1,530,169		49,225
Du Pont (E.I.) de Nemours & Co.		1,164,418		61,132
Eastman Chemical Co.		197,019		13,793
Ecolab, Inc.		319,332		27,204


	SHARES		VALUE
Materials—(continued)
FMC Corp.		175,321	$	10,705
Freeport-McMoRan Copper & Gold, Inc.		1,313,366		36,262
International Flavors & Fragrances, Inc.		103,960		7,814
International Paper Co.		565,370		25,052
LyondellBasell Industries N.V. Class A		480,500		31,838
MeadWestvaco Corp.		225,781		7,701
Monsanto Co.		675,322		66,722
Mosaic Co. (The)		350,287		18,849
Newmont Mining Corp.		631,416		18,911
Nucor Corp.		404,310		17,515
Owens-Illinois, Inc.⁽²⁾		210,552		5,851
PPG Industries, Inc.		180,590		26,440
Praxair, Inc.		374,138		43,086
Sealed Air Corp.		250,548		6,001
Sherwin-Williams Co. (The)		109,042		19,257
Sigma-Aldrich Corp.		154,060		12,380
United States Steel Corp.		186,307		3,266
Vulcan Materials Co.		165,743		8,024
Weyerhaeuser Co.⁽²⁾		146,950		4,187

				597,008

Utilities—12.7%
AES Corp. (The)		822,240		9,859
AGL Resources, Inc.		155,900		6,682
Ameren Corp.		322,760		11,116
American Electric Power Co., Inc.		644,110		28,843
CenterPoint Energy, Inc.		573,340		13,468
CMS Energy Corp.		358,260		9,734
Consolidated Edison, Inc.		389,050		22,685
Dominion Resources, Inc.		762,050		43,300
DTE Energy Co.		231,910		15,540
Duke Energy Corp.		858,770		57,967
Edison International		431,710		20,791
Entergy Corp.		235,060		16,379
Exelon Corp.		1,129,010		34,864
FirstEnergy Corp.		551,700		20,600
Integrys Energy Group, Inc.		106,350		6,225
NextEra Energy, Inc.		560,170		45,643
NiSource, Inc.		418,100		11,974
Northeast Utilities		415,040		17,440
NRG Energy, Inc.		425,420		11,359
ONEOK, Inc.		271,890		11,232
Pepco Holdings, Inc.		332,620		6,706
PG&E Corp.		586,360		26,814


	SHARES		VALUE
Utilities—(continued)
Pinnacle West Capital Corp.		148,420	$	8,233
PPL Corp.		784,350		23,734
Public Service Enterprise Group, Inc.		667,460		21,799
SCANA Corp.		184,020		9,035
Sempra Energy		298,950		24,442
Southern Co. (The)		1,148,200		50,670
TECO Energy, Inc.		274,330		4,716
Wisconsin Energy Corp.		301,730		12,368
XCEL Energy, Inc.		661,610		18,750

				622,968

TOTAL COMMON STOCKS (Identified Cost $4,224,813)				4,872,454

TOTAL LONG TERM INVESTMENTS—99.4% (Identified cost $4,224,813)				4,872,454

SHORT-TERM INVESTMENTS—0.4%
Money Market Mutual Funds—0.4%
Fidelity Money Market Portfolio - Institutional Shares (Seven-day effective yield 0.012%)		19,387,020		19,387

TOTAL SHORT-TERM INVESTMENTS (Identified Cost $19,387)				19,387

TOTAL INVESTMENTS—99.8% (Identified Cost $4,244,200)				4,891,841	⁽¹⁾
Other assets and liabilities, net—0.2%				8,240

NET ASSETS—100.0%			$	4,900,081

Abbreviations:


REIT		Real Estate Investment Trust

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at June 30, 2013, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Non-income producing.

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2013 (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—99.6%
REAL ESTATE INVESTMENT TRUSTS—99.6%
DIVERSIFIED—1.7%
Digital Realty Trust, Inc.		261,303	$	15,940
Vornado Realty Trust		99,497		8,243

				24,183

HEALTH CARE—10.1%
HCP, Inc.		155,471		7,064
Health Care REIT, Inc.		1,014,474		68,000
Ventas, Inc.		942,381		65,458

				140,522

INDUSTRIAL/OFFICE—21.8%
Industrial—9.3%
DCT Industrial Trust, Inc.		5,699,196		40,749
Eastgroup Properties, Inc.		150,835		8,487
Prologis, Inc.		2,114,025		79,741

				128,977

Office—12.5%
Boston Properties, Inc.		676,083		71,306
Kilroy Realty Corp.		1,038,856		55,070
SL Green Realty Corp.		531,291		46,855

				173,231

				302,208

LODGING/RESORTS—7.2%
Host Hotels & Resorts, Inc.		3,452,152		58,238
LaSalle Hotel Properties		1,124,274		27,770
Pebblebrook Hotel Trust		526,819		13,618

				99,626

RESIDENTIAL—21.4%
Apartments—19.8%
American Campus Communities, Inc.		787,617		32,025
AvalonBay Communities, Inc.		461,656		62,282
Camden Property Trust		636,600		44,015
Equity Residential		1,452,391		84,326
Essex Property Trust, Inc.		277,040		44,027
UDR, Inc.		289,305		7,374

				274,049

Manufactured Homes—1.6%
Equity Lifestyle Properties, Inc.		284,364		22,348


	SHARES		VALUE
REAL ESTATE INVESTMENT TRUSTS—(continued)
			$	296,397

RETAIL—27.3%
Regional Malls—20.0%
General Growth Properties, Inc.		2,984,075		59,294
Macerich Co. (The)		922,575		56,249
Simon Property Group, Inc.		1,009,191		159,372
Taubman Centers, Inc.		34,880		2,621

				277,536

Shopping Centers—7.3%
DDR Corp.		2,088,416		34,772
Kimco Realty Corp.		705,075		15,110
Retail Opportunity Investments Corp.		270,000		3,753
Tanger Factory Outlet Centers		1,328,300		44,445
Weingarten Realty Investors		90,000		2,769

				100,849

				378,385

SELF STORAGE—10.1%
Extra Space Storage, Inc.		998,345		41,861
Public Storage		641,101		98,300

				140,161

TOTAL COMMON STOCKS (Identified Cost $897,072)				1,381,482

TOTAL LONG TERM INVESTMENTS—99.6% (Identified cost $897,072)				1,381,482

SHORT-TERM INVESTMENTS—0.3%
Money Market Mutual Funds—0.3%
Fidelity Money Market Portfolio - Institutional Shares (Seven-day effective yield 0.120%)		4,392,715		4,393

TOTAL SHORT-TERM INVESTMENTS (Identified Cost $4,393)				4,393

TOTAL INVESTMENTS—99.9% (Identified Cost $901,465)				1,385,875	⁽¹⁾
Other assets and liabilities, net—0.1%				1,122

NET ASSETS—100.0%			$	1,386,997

Abbreviations:

REIT	Real Estate Investment Trust

Footnote Legend

⁽¹⁾	Federal Income Tax Information: For tax information at June 30, 2013, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2013 (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—0.1%
Bolivarian Republic of Venezuela RegS 5.750%, 2/26/16⁽⁵⁾	$	1,260		$	1,131

TOTAL FOREIGN GOVERNMENT SECURITIES (Identified Cost $1,117)					1,131

MORTGAGE-BACKED SECURITIES—0.5%
Non-Agency—0.5%
Extended Stay America Trust 13-ESHM, M 144A 7.625%, 12/5/19⁽⁴⁾		2,375			2,386
Residential Asset Securitization Trust 13-LT2, A 144A 2.833%, 5/22/28⁽⁴⁾		1,511			1,506

TOTAL MORTGAGE-BACKED SECURITIES (Identified Cost $4,012)					3,892

ASSET-BACKED SECURITIES—0.5%
AABS Ltd. 13-1, A 4.875%, 1/15/38⁽³⁾		804			816
Drug Royalty LP II 12-1, A2 144A 4.474%, 1/15/25⁽⁴⁾		897			900
New Century Home Equity Loan Trust 05-A, A4W 4.884%, 8/25/35⁽³⁾		935			873
Security National Mortgage Loan Trust 04-1A, AF3, 144A 6.420%, 6/25/32⁽³⁾⁽⁴⁾		1,269			1,172
Terwin Mortgage Trust 04-15AL, A1 144A 5.775%, 7/25/34⁽³⁾⁽⁴⁾		582			582

TOTAL ASSET-BACKED SECURITIES (Identified Cost $4,275)					4,343

CORPORATE BONDS—9.3%
Consumer Discretionary—1.9%
Boyd Gaming Corp. 9.125%, 12/1/18		1,150			1,205
CCO Holdings LLC (CCO Holdings Capital Corp.) 5.250%, 9/30/22		2,000			1,910
Clear Channel Communications, Inc. 144A 9.000%, 12/15/19⁽⁴⁾		944			920
DISH DBS Corp. 144A 4.250%, 4/1/18⁽⁴⁾		1,000			985
Gateway Casinos & Entertainment Ltd. 144A 8.875%, 11/15/17⁽⁴⁾		140	^CAD		140
Isle of Capri Casinos, Inc. 5.875%, 3/15/21		830			797
Landry’s, Inc. 144A 9.375%, 5/1/20⁽⁴⁾		450			477
Lynx I Corp. 144A 5.375%, 4/15/21⁽⁴⁾		500			505
MGM Resorts International 7.625%, 1/15/17		500			549
Nara Cable Funding Ltd. 144A 8.875%, 12/1/18⁽⁴⁾		525			549


	PAR VALUE		VALUE
Consumer Discretionary—(continued)
ONO Finance II plc 144A 10.875%, 7/15/19⁽⁴⁾	$	315	$	329
Pittsburgh Glass Works LLC 144A 8.500%, 4/15/16⁽⁴⁾		225		224
ServiceMaster Co. 7.000%, 8/15/20		900		858
Sinclair Television Group, Inc. 5.375%, 4/1/21		1,870		1,805
Sirius XM Radio, Inc. 144A 4.250%, 5/15/20⁽⁴⁾		1,800		1,696
Taylor Morrison Communities, Inc. (Monarch Communities, Inc.) 144A 5.250%, 4/15/21⁽⁴⁾		750		714
Univision Communications, Inc. 144A 6.750%, 9/15/22⁽⁴⁾		1,100		1,160
Yankee Candle Co. Holdings LLC (Yankee Finance, Inc.) PIK Interest Capitalization 10.250%, 2/15/16		605		623

				15,446

Consumer Staples—0.4%
Chiquita Brands International, Inc. (Chiquita Brands LLC) 144A 7.875%, 2/1/21⁽⁴⁾		1,400		1,470
Hawk Acquisition Sub, Inc. 144A 4.250%, 10/15/20⁽⁴⁾		2,170		2,081

				3,551

Energy—1.3%
Alta Mesa Holdings LP 9.625%, 10/15/18		750		782
Carrizo Oil & Gas, Inc. 8.625%, 10/15/18		450		484
Chesapeake Energy Corp. 5.375%, 6/15/21		1,535		1,531
Compagnie Generale de Geophysique-Veritas 7.750%, 5/15/17		546		557
EPL Oil & Gas, Inc. 8.250%, 2/15/18		1,250		1,294
Hercules Offshore, Inc. 144A 7.125%, 4/1/17⁽⁴⁾		750		801
Linn Energy LLC (Linn Energy Finance Corp.) 144A 6.250%, 11/1/19⁽⁴⁾		500		479
Memorial Production Partners LP (Memorial Production Finance Corp.) 144A 7.625%, 5/1/21⁽⁴⁾		1,350		1,336
Petroleos de Venezuela SA RegS 8.500%, 11/2/17⁽⁵⁾		1,370		1,259
Plains Exploration & Production Co. 6.500%, 11/15/20		1,000		1,061
Venoco, Inc. 8.875%, 2/15/19		875		857

				10,441

Financials—1.3%
Air Lease Corp. 4.750%, 3/1/20		1,190		1,148


	PAR VALUE			VALUE
Financials—(continued)
Aircastle Ltd. 6.250%, 12/1/19	$	1,190		$	1,242
Banco Santander Brasil SA 144A 8.000%, 3/18/16⁽⁴⁾		1,300	^BRL		536
International Lease Finance Corp. 3.875%, 4/15/18		1,790			1,683
iStar Financial, Inc. 4.875%, 7/1/18		1,415			1,334
Level 3 Financing, Inc. 7.000%, 6/1/20		1,105			1,108
Nationstar Mortgage LLC (Nationstar Capital Corp.) 6.500%, 7/1/21		1,295			1,250
SLM Corp.
4.625%, 9/25/17		315			311
5.500%, 1/25/23		1,020			971
Spansion LLC 7.875%, 11/15/17		275			283

					9,866

Health Care—0.4%
Community Health Systems, Inc. (CHS) 5.125%, 8/15/18		1,055			1,074
inVentiv Health, Inc. 144A 9.000%, 1/15/18⁽⁴⁾		315			330
Tenet Healthcare Corp. 144A 4.500%, 4/1/21⁽⁴⁾		1,000			935
Valeant Pharmaceuticals International, Inc. Escrow Corp. 144A 6.750%, 8/15/18⁽⁴⁾		965			990

					3,329

Industrials—1.0%
Atlas Air Pass-Through-Trust 98-1, A 7.380%, 1/2/18		694			718
Avis Budget Car Rental LLC 144A 4.875%, 11/15/17⁽⁴⁾		455			460
HD Supply, Inc. 10.500%, 1/15/21		1,240			1,288
Kratos Defense & Security Solutions, Inc. 10.000%, 6/1/17		575			618
Rexel SA 144A 5.250%, 6/15/20⁽⁴⁾		1,230			1,233
Sappi Papier Holding GmbH 144A 7.750%, 7/15/17⁽⁴⁾		670			710
Spectrum Brands Escrow Corp. 144A 6.375%, 11/15/20⁽⁴⁾		715			751
U.S. Airways Pass-Through-Trust 98-1 6.850%, 1/30/18		714			742
United Rentals North America, Inc. 7.375%, 5/15/20	$	1,000		$	1,073

					7,593


	PAR VALUE		VALUE
Information Technology—0.9%
Avaya, Inc. 144A 7.000%, 4/1/19⁽⁴⁾		1,590		1,443
Ceridian Corp. 144A 11.000%, 3/15/21⁽⁴⁾		55		61
Equinix, Inc. 4.875%, 4/1/20		580		571
First Data Corp.
11.250%, 3/31/16		1,291		1,268
144A 6.750%, 11/1/20⁽⁴⁾		1,000		1,023
144A 11.750%, 8/15/21⁽⁴⁾		2,540		2,299
Igloo Holdings Corp. PIK Interest Capitalization, 144A 8.250%, 12/15/17⁽⁴⁾		285		291
SunGard Data Systems, Inc. 144A 6.625%, 11/1/19⁽⁴⁾		200		202

				7,158

Materials—1.8%
Ardagh Packaging Finance plc (Ardagh Packaging Holdings, Inc.) 144A 7.375%, 10/15/17⁽⁴⁾		1,200		1,286
Calumet Specialty Products Partners LP 9.375%, 5/1/19		433		465
Cemex SAB de CV
144A 9.500%, 6/15/18⁽⁴⁾		1,499		1,626
144A 5.875%, 3/25/19⁽⁴⁾		815		793
FMG Resources Property Ltd. 144A 8.250%, 11/1/19⁽⁴⁾		750		776
Hexion Corp.
144A 8.875%, 2/1/18⁽⁴⁾		1,375		1,409
144A 6.625%, 4/15/20⁽⁴⁾		1,250		1,253
6.625%, 4/15/20		120		120
Huntsman International LLC 4.875%, 11/15/20		890		883
Reynolds Group Issuer, Inc. (Reynolds Group Issuer LLC) 9.000%, 4/15/19		1,500		1,556
5.750%, 10/15/20		940		949
Sealed Air Corp. 144A 6.500%, 12/1/20⁽⁴⁾		225		239
Tronox Finance LLC 144A 6.375%, 8/15/20⁽⁴⁾		1,000		948
United States Steel Corp. 6.875%, 4/1/21		1,235		1,204
Vedanta Resources plc 144A 9.500%, 7/18/18⁽⁴⁾		685		752

				14,259

Telecommunication Services—0.3%
Cequel Communications Holdings I LLC (Cequel Capital Corp.) 144A 6.375%, 9/15/20⁽⁴⁾		1,000		1,022


	PAR VALUE		VALUE
Telecommunication Services—(continued)
Intelsat Luxembourg SA 144A 7.750%, 6/1/21⁽⁴⁾	$	1,230	$	1,247

				2,269

TOTAL CORPORATE BONDS (Identified Cost $74,622)				73,912

LOAN AGREEMENTS⁽³⁾—90.4%
Consumer Discretionary—24.8%
99 Cents Only Stores Tranche B-1, 5.583%, 1/11/19		985		986
Academy Ltd. 4.500%, 8/3/18		1,576		1,585
Acosta, Inc. 0.000%, 3/2/18⁽⁸⁾		1,957		1,973
Acquisitions Cogeco Cable II L.P. (Atlantic Broadband (Penn) Holdings, Inc.) Tranche B, 3.250%, 11/30/19		903		901
Advantage Sales & Marketing, Inc.
First Lien, 4.250%, 12/18/17		2,598		2,603
Second Lien, 8.250%, 6/17/18		570		573
Affinia Group, Inc. Tranche B-2, 4.750%, 4/25/20		672		671
Affinity Gaming LLC (Herbst Gaming LLC). 5.500%, 11/9/17		1,022		1,037
Allison Transmission, Inc. Tranche B-3, 4.250%, 8/23/19		1,182		1,187
Ameristar Casinos, Inc. Tranche B, 4.000%, 4/14/18		968		971
ARC Automotive Group, Inc. (Casco Automotive Group, Inc.) 6.250%, 11/15/18		995		998
Armstrong World Industries, Inc. Tranche B, 3.500%, 3/15/20		3,990		3,996
August Holding Co.
(U.S.)Tranche B-1, First Lien 5.000%, 4/27/18		921		924
(Luxenborg / U.K.) Tranche B-1, First Lien, 5.000%, 4/27/18		1,072		1,076
BJ’s Wholesale Club, Inc.
First Lien, 4.250%, 9/26/19		1,993		1,989
Second Lien, 9.750%, 3/26/20		315		323
Boyd Gaming Corp. 3.664%, 12/17/15		1,242		1,246
Bresnan Broadband Holdings LLC Tranche B, 0.000%, 12/14/17⁽⁸⁾		929		932
Bright Horizons Family Solutions LLC (Bright Horizons Family Solutions, Inc.) Tranche B, 4.625%, 1/30/20		1,493		1,500


	PAR VALUE			VALUE
Consumer Discretionary—(continued)
Caesars Entertainment Operating Co., Inc. (Harrah’s Operating Company, Inc.)
Tranche B-4, 9.500%, 10/31/16	$	1,544		$	1,542
Tranche B-6, 5.443%, 1/28/18		3,822			3,388
Cannery Casino Resorts LLC First Lien, 6.000%, 10/2/18		903			903
CBAC Borrower LLC 0.000%, 4/26/20⁽⁸⁾		1,854			1,886
Centaur Acquisition LLC First Lien, 5.250%, 2/20/19		421			421
Cequel Communications LLC 3.500%, 2/14/19		1,778			1,767
Charter Communications Operations LLC
0.000%, 4/10/20⁽⁸⁾		4,423			4,379
Tranche F, 3.000%, 12/31/20		3,320			3,298
Chrysler Group LLC Tranche B, 4.250%, 5/24/17		3,707			3,726
Clear Channel Communications, Inc. Tranche B,
3.845%, 1/29/16		7,921			7,253
0.000%, 1/30/19⁽⁸⁾		2,933			2,678
CSC Holdings, Inc. Tranche B, 2.695%, 4/17/20		4,178			4,139
Cumulus Media Holdings, Inc.
First Lien, 4.500%, 9/17/18		1,890			1,896
Second Lien, 7.500%, 9/16/19		968			991
Dave & Buster’s, Inc. 4.500%, 6/1/16		1,397			1,405
EB Sports Corp. 11.500%, 12/31/15		1,000			995
Entercom Radio LLC Tranche B-1, 5.000%, 11/23/18		2,326			2,352
Federal - Mogul Corp.
Tranche B, 2.128%, 12/29/14		2,625			2,515
Tranche C, 2.128%, 12/28/15		1,341			1,285
Four Seasons Holdings, Inc.
0.000%, 6/24/20⁽⁸⁾		1,200			1,208
0.000%, 12/24/20⁽⁸⁾		190			192
Fram Group Holdings, Inc. (Prestone Holdings, Inc.)
First Lien, 6.500%, 7/29/17		950			943
Second Lien, 10.500%, 1/29/18		500			488
Gateway Casinos & Entertainment Ltd. Tranche B, 6.750%, 5/12/16		811	^CAD		771
General Nutrition Centers, Inc. Tranche B, 0.000%, 3/2/18⁽⁸⁾		1,747			1,746
Getty Images, Inc. 0.000%, 10/18/19⁽⁸⁾		2,589			2,565
Granite Broadcasting Corp. 0.000%, 5/23/18⁽⁸⁾		2,273			2,290
Harbor Freight Tools USA, Inc. (Central Purchasing LLC) 6.500%, 11/14/17		1,489			1,500


	PAR VALUE		VALUE
Consumer Discretionary—(continued)
Hubbard Radio LLC Tranche 1, 4.500%, 4/29/19	$	1,044	$	1,049
KAR Auction Services, Inc. 3.750%, 5/19/17		2,617		2,642
Landry’s, Inc. Tranche B, 4.750%, 4/24/18		2,730		2,742
Las Vegas Sands LLC
Tranche DD-I, 1.700%, 5/23/14		64		64
Non-Extended Tranche B, 1.700%, 5/23/14		312		312
Extended Tranche B, 2.700%, 11/23/16		1,043		1,042
Extended Tranche DD-I, 2.700%, 11/23/16		210		210
Laureate Education, Inc. Series 2018, 5.250%, 6/15/18		1,991		1,981
Leslie’s Poolmart, Inc. 5.250%, 10/16/19		2,314		2,325
Liberty Cablevision of Puerto Rico LLC Tranche B, First Lien, 6.000%, 6/9/17		980		990
Live Nation Entertainment, Inc. Tranche B, 4.500%, 11/7/16		484		487
MCC LLC (Mediacom Broadband Group)
Tranche G, 4.000%, 1/20/20		993		998
Tranche H, 3.250%, 1/29/21		2,000		1,989
Merrill Communications LLC 7.250%, 3/8/18		1,721		1,731
Metaldyne LLC 5.000%, 12/18/18		995		1,000
MGM Resorts International (MGM Grand Detroit LLC)
Tranche A, 3.195%, 12/20/17		1,990		1,991
Tranche B, 3.500%, 12/20/19		3,876		3,859
Michaels Stores, Inc. Tranche B, 3.750%, 1/28/20		4,000		3,995
Midcontinent Communications Tranche B, 4.000%, 12/31/16		1,110		1,117
Neiman Marcus Group, Inc. (The) 4.000%, 5/16/18		2,000		1,997
Nielsen Finance LLC Tranche E, 2.943%, 5/1/16		1,653		1,660
Nine Entertainment Group Ltd. (PBL Media Group Limited) Tranche B, 3.500%, 2/5/20		3,500		3,487
Oceania Cruises, Inc. 0.000%, 6/28/20⁽⁸⁾		3,000		2,993
Ozburn - Hessey Holding Co. LLC 6.750%, 5/23/19		803		800
Party City Holdings, Inc. 4.250%, 7/27/19		2,993		2,978
Peninsula Gaming LLC Tranche B, 4.250%, 11/20/17		995		997
Penn National Gaming, Inc. Tranche B, 3.750%, 7/16/18		1,882		1,893
Peppermill Casinos, Inc. Tranche B, 7.250%, 11/9/18		2,321		2,377


	PAR VALUE		VALUE
Consumer Discretionary—(continued)
PVH Corp. (Phillips-Van Heusen Corp.) Tranche B, 3.250%, 2/13/20		4,557		4,558
Radio One, Inc. 7.500%, 3/31/16	$	595	$	609
Remy International, Inc. Tranche B, 4.250%, 3/5/20		1,990		1,993
Salem Communications Corp. 4.500%, 3/13/20		987		998
Scientific Games International, Inc.
Tranche B-1, 3.450%, 6/30/15		1,989		1,970
0.000%, 5/22/20⁽⁸⁾		3,725		3,689
Seminole Hard Rock Entertainment, Inc. (Seminole Hard Rock International LLC) Tranche B, 3.500%, 5/14/20		966		965
Seminole Tribe of Florida 0.000%, 4/29/20⁽⁸⁾		3,844		3,841
ServiceMaster Co. (The)
Tranche C, 4.250%, 1/31/17		1,617		1,600
Tranche B, 4.450%, 1/31/17		1,923		1,908
Seven Sea Cruises S. DE R.L. Tranche B-1, 4.750%, 12/21/18		2,718		2,735
Sports Authority, Inc. (The) Tranche B, 7.500%, 11/16/17		1,073		1,077
SRAM LLC First Lien, 4.000%, 4/10/20		2,834		2,810
Station Casinos LLC Tranche B, 5.000%, 3/2/20		2,426		2,429
TI Group Auto Systems LLC 5.500%, 3/28/19		1,580		1,599
Tower Automotive Holdings U.S.A. LLC 5.750%, 4/23/20		1,377		1,392
Transtar Holding Co.
First Lien, 5.500%, 10/9/18		993		1,000
Second Lien, 9.750%, 10/9/19		460		472
Tribune Co. Tranche B, 4.000%, 12/31/19		1,047		1,044
TWCC Holding Corp. 0.000%, 12/11/20⁽⁸⁾		1,524		1,539
UCI International, Inc. (United Components) 5.500%, 7/26/17		1,243		1,248
Univision Communications, Inc.
4.000%, 3/1/20		6,231		6,115
First Lien, 4.500%, 3/1/20		4,115		4,080
Veyance Technologies, Inc. 5.250%, 9/8/17		1,995		1,983
Virgin Media Investment Holdings Ltd. Tranche B, 3.500%, 6/7/20		3,847		3,812
Weight Watchers International, Inc. Tranche B-2, 3.750%, 4/2/20		2,000		1,992
WideOpenWest Finance LLC Tranche B-1, 4.250%, 7/17/17		286		288


	PAR VALUE		VALUE
Consumer Discretionary—(continued)
4.750%, 4/1/19	$	2,106	$	2,115
Yankee Cable Acquisition LLC 5.250%, 3/1/20		930		935
Zuffa LLC 4.500%, 2/25/20		3,694		3,683

				198,178

Consumer Staples—7.4%
AdvancePierre Foods, Inc.
First Lien, 5.750%, 7/10/17		1,087		1,093
Second Lien, 9.500%, 10/10/17		1,035		1,057
American Rock Salt Co. LLC 5.500%, 4/25/17		1,204		1,204
Aramark Corp. Tranche D, 4.000%, 9/9/19		4,457		4,457
CIH International S.A R.L. 2.750%, 5/1/20		5,000		4,993
Crossmark Holdings, Inc.
First Lien, 4.500%, 12/20/19		2,029		2,027
Second Lien, 8.750%, 12/21/20		520		520
Del Monte Foods Co. 4.000%, 3/8/18		3,446		3,440
Dole Food Co., Inc. Tranche B, 3.750%, 4/1/20		3,990		3,978
Heinz (H.J.) Co.
Tranche B-1, 3.250%, 6/7/19		1,730		1,731
Tranche B-2, 3.500%, 6/5/20		9,231		9,241
Hostess Brands Acquisition LLC 0.000%, 4/9/20⁽⁸⁾		2,923		2,984
Pinnacle Foods Finance LLC Tranche G, 3.250%, 4/29/20		6,683		6,653
Revlon Consumer Products Corp. 4.000%, 11/20/17		1,605		1,616
Reynolds Group Holdings, Inc. 0.000%, 9/28/18⁽⁸⁾		2,038		2,046
Rite Aid Corp.
0.000%, 2/21/20⁽⁸⁾		5,985		5,973
0.000%, 8/21/20⁽⁸⁾		101		103
0.000%, 6/21/21⁽⁸⁾		1,417		1,417
Smart & Final, Inc. First Lien, 4.500%, 11/15/19		1,991		1,981
Supervalu, Inc. 5.000%, 3/21/19		981		977
Yankee Candle Co., Inc. (The) 5.250%, 4/2/19		1,805		1,810

				59,301

Energy—2.9%
Aluma Systems, Inc. (Brand Energy & Infrastructure) Tranche 1, 6.250%, 10/23/18		248		250
Brand Energy & Infrastructure Services, Inc. (FR Brand Acquisition Corp.)
Tranche B-1, First Lien, 6.250%, 10/23/18		1,034		1,043
Second Lien, 11.000%, 10/23/19		465		478


	PAR VALUE		VALUE
Energy—(continued)
Buffalo Gulf Coast Terminals LLC 5.250%, 10/31/17	$	655	$	665
Chesapeake Energy Corp. 5.750%, 12/2/17		2,910		2,952
CITGO Petroleum Corp. Tranche C, 9.000%, 6/24/17		200		203
Energy Transfer Equity LP 3.750%, 3/24/17		900		904
EP Energy LLC (Everest Acquisition LLC)
Tranche B-3, 3.500%, 5/24/18		850		844
Tranche B-2, 4.500%, 4/30/19		1,953		1,960
FTS International, Inc. (Frac Tech International LLC) 8.500%, 5/6/16		1,921		1,857
MEG Energy Corp. 3.750%, 3/31/20		3,485		3,487
NGPL Pipeco LLC 6.750%, 9/15/17		1,121		1,117
Quicksilver Reseources. Inc. 0.000%, 6/12/19⁽⁸⁾		2,250		2,194
Sabine Oil & Gas LLC Second Lien, 8.750%, 12/31/18		1,290		1,290
Samson Investment Co. Second Lien, 6.000%, 9/25/18		1,262		1,262
SES International Holdings Ltd. (Saxon) 0.000%, 2/15/19⁽⁸⁾		1,526		1,534
Tesoro Corp. 2.523%, 1/28/16		1,000		1,002

				23,042

Financials—6.7%
Altisource Portfolio Solutions S.A.R.L Tranche B, 5.750%, 11/27/19		1,993		2,006
Asurion LLC (Asurion Corp.) Tranche B-1, 4.500%, 5/24/19		3,288		3,264
Capital Automotive LP
Tranche B-1, 4.000%, 4/10/19		1,615		1,620
0.000%, 4/30/20⁽⁸⁾		185		187
Clipper Acquisitions Corp. 4.000%, 2/6/20		1,009		1,011
GEO Group, Inc. (The) 3.250%, 4/3/20		4,000		4,004
Home Loan Servicing Solutions Ltd. 0.000%, 6/21/20⁽⁸⁾		4,000		3,965
iPayment, Inc . 5.750%, 5/8/17		927		918
iStar Financial, Inc.
Tranche A-2, 7.000%, 3/19/17		500		526
4.500%, 10/15/17		3,391		3,395
Lonestar Intermediate Super Holdings LLC
11.000%, 9/2/19		300		314
MIP Delaware LLC Tranche B-1, 4.000%, 3/9/20		1,656		1,665
MMI International Ltd. 7.250%, 11/2/18		2,000		1,960


	PAR VALUE		VALUE
Financials—(continued)
National Financial Partners 0.000%, 6/19/20⁽⁸⁾	$	3,000	$	2,994
Nuveen Investments, Inc.
Tranche B, First Lien 4.195%, 5/13/17		2,925		2,909
Tranche B, Second Lien 6.500%, 2/28/19		4,292		4,251
RE/MAX LLC (RE/MAX International LLC) 5.500%, 4/16/16		1,082		1,090
Realogy Corp.
Extended LOC, 2.223%, 10/10/16		445		446
Tranche B, 4.500%, 3/5/20		7,546		7,570
RPI Finance Trust 4.000%, 11/9/18		1,322		1,326
Springleaf Financial Funding Co. (American General Finance Corp.) 5.500%, 5/10/17		1,050		1,053
Starwood Property Trust, Inc. 3.500%, 4/17/20		3,591		3,585
Trans Union LLC 4.250%, 2/8/19		1,504		1,514
Walter Investment Management Corp. 0.000%, 11/28/17⁽⁸⁾		1,891		1,901

				53,474

Health Care—11.6%
Alere, Inc. (IM U.S. Holdings LLC) 0.000%, 6/30/17⁽⁸⁾		985		992
Tranche B, 4.875%, 6/30/17		1,646		1,657
Alkermes, Inc. First Lien, 0.000%, 9/25/19⁽⁸⁾		1,000		992
American Renal Holdings, Inc.
Tranche B, First Lien, 4.500%, 8/20/19		1,533		1,525
0.000%, 2/20/20⁽⁸⁾		1,860		1,862
AMN Healthcare, Inc. Tranche B, 3.750%, 4/5/18		1,526		1,539
Aptalis Pharma, Inc. (Axcan Intermediate Holdings, Inc.) Tranche B-1, 5.500%, 2/10/17		1,019		1,021
Ardent Medical Services, Inc.
0.000%, 7/2/18⁽⁸⁾		863		871
0.000%, 1/2/19⁽⁸⁾		375		381
Baushc & Lomb, Inc. 4.000%, 5/18/19		1,980		1,980
Biomet, Inc. Tranche B-1A, 3.964%, 7/25/17		1,985		1,980
BSN Medical Luxembourg Holding, S.A.R.L. (P&F Capital) 5.000%, 8/28/19		1,000		1,007
Capsugel Holdings U.S., Inc. 4.250%, 8/1/18		777		782
Catalent Pharma Solutions, Inc. (Cardinal Health 409, Inc.)
Tranche 1, 3.695%, 9/15/16		964		965
Tranche 2, 4.250%, 9/15/17		263		264
Community Health Systems, Inc. Extended, 3.774%, 1/25/17		3,275		3,283


	PAR VALUE		VALUE
Health Care—(continued)
ConvaTec, Inc. 5.000%, 12/22/16	$	1,463	$	1,474
CRC Health Corp. Tranche B-2, 4.695%, 11/16/15		1,439		1,443
DaVita, Inc. Tranche B-2 4.000%, 11/1/19		3,028		3,037
Drumm Investors LLC (Golden Living) 0.000%, 5/4/18⁽⁸⁾		1,714		1,652
Emdeon, Inc. 0.000%, 11/2/18⁽⁸⁾		1,063		1,059
Generic Drug Holdings, Inc. 5.000%, 10/29/19		865		870
Grifols, Inc. Tranche B, 4.250%, 6/1/17		976		981
HCA, Inc. Tranche B-4, 2.945%, 5/1/18		5,326		5,308
Healogics, Inc. (National Healing Corp.) Tranche B, First Lien, 0.000%, 2/5/19⁽⁸⁾		359		361
Health Management Associates, Inc. Tranche B, 3.500%, 11/16/18		3,309		3,306
Hologic, Inc. Tranche B, 4.500%, 8/1/19		3,350		3,364
Iasis Healthcare LLC Tranche B-2, 4.500%, 5/3/18		2,017		2,016
INC Research, LLC 6.000%, 7/12/18		556		558
InVentiv Health, Inc. (Ventive Health, Inc.) 7.500%, 8/4/16		1,177		1,159
Kinetic Concepts, Inc.
0.000%, 11/4/16⁽⁸⁾		949		950
0.000%, 5/4/18⁽⁸⁾		83		83
MedAssets, Inc. Tranche B, 4.000%, 12/13/19		174		174
MMM Holdings, Inc. 9.750%, 12/12/17		496		501
MSO of Puerto Rico, Inc. 9.750%, 12/12/17		360		364
Multiplan, Inc. Tranche B-1, 4.000%, 8/26/17		4,140		4,148
National Mentor Holdings, Inc. 6.500%, 2/9/17		978		986
National Specialty Hospitals, Inc. 0.000%, 2/3/17⁽⁸⁾		1,216		1,216
NBTY, Inc. Tranche B-2, 3.500%, 10/1/17		2,782		2,785
Par Pharmaceutical Cos, Inc. (Par Pharmaceutical, Inc.) Tranche B-1, 4.250%, 9/30/19		1,373		1,366
Pharmaceutical Product Development, Inc. (Jaguar Holdings LLC) 4.250%, 12/5/18		1,990		1,996
Pharmaceutical Research Associates, Inc. First Lien, 6.500%, 12/10/17		1,527		1,541
Quintiles Transnational Corp. Tranche B-2, 4.500%, 6/8/18		1,461		1,464
Rural/Metro Operating Co. LLC 5.750%, 6/30/18		2,005		1,936
Select Medical Corp. Series C, Tranche B, 4.000%, 6/1/18		998		998
Sheridan Holdings, Inc. First Lien, 4.500%, 6/29/18		1,859		1,866
Smile Brands Group, Inc. 0.000%, 12/21/17⁽⁸⁾		731		718


	PAR VALUE		VALUE
Health Care—(continued)
Surgery Center Holdings, Inc. First Lien 6.000%, 4/11/19	$	1,305	$	1,312
Surgical Care Affiliates LLC 4.250%, 6/29/18		3,474		3,484
U.S. Renal Care, Inc. First Lien, 6.250%, 7/3/19		482		486
United Surgical Partners International, Inc. Tranche B, 4.750%, 4/3/19		2,105		2,104
Valeant Pharmaceuticals International, Inc.
Series D-1, Tranche B, 3.500%, 2/13/19		3,526		3,507
Series C-1, Tranche B, 3.500%, 12/11/19		1,030		1,024
0.000%, 5/30/20⁽⁸⁾		5,000		4,989
Vanguard Health Holding Company II LLC Tranche B, 3.750%, 1/29/16		2,133		2,137
VWR Funding, Inc.
Tranche B-1, 4.195%, 4/3/17		166		165
4.445%, 4/3/17		1,212		1,206
Warner Chilcott Corp.
0.000%, 3/15/18⁽⁸⁾		75		75
Tranche B-1, 4.250%, 3/15/18		242		243
Tranche B-1, 4.250%, 3/15/18		556		558
(WC Luxco S.A.R.L.) Tranche B-3, 4.250%, 3/15/18		438		439

				92,510

Industrials—9.9%
ADS Waste Holdings Tranche B, 4.250%, 10/9/19		3,089		3,086
Alliance Laundry Systems LLC
First Lien, 4.500%, 12/10/18		2,542		2,557
Second Lien, 9.500%, 12/10/19		110		112
Altegrity, Inc. (U.S. Investigations Services, Inc.) 5.000%, 2/21/15		1,138		1,130
American Airlines, Inc. 0.000%, 6/21/19⁽⁸⁾		4,031		4,037
Apex Tool Group LLC Tranche B, 4.500%, 1/31/20		2,993		2,999
Avis Budget Car Rental LLC 3.000%, 3/15/19		2,823		2,833
AWAS Finance Luxemborg S.A. 3.500%, 7/16/18		1,092		1,102
Brickman Group Holdings, Inc.
Tranche B-2, 3.273%, 10/14/16		700		709
Tranche B-3, 4.000%, 9/28/18		883		882
Brock Holdings Ill, Inc.
First Lien, 6.000%, 3/16/17		825		833
Second Lien, 10.000%, 3/16/18		450		458
Ceridian Corp. Extended, 5.942%, 5/9/17		3,694		3,716
CHG Buyer Corp.
First Lien, 5.000%, 11/19/19		1,184		1,191
Second Lien, 9.000%, 11/19/20		425		432
Commercial Barge Line Co. 0.000%, 9/22/19⁽⁸⁾		2,704		2,667
Delta Air Lines, Inc.


	PAR VALUE		VALUE
Industrials—(continued)
4.250%, 4/20/17	$	983	$	988
Tranche B-1, 4.000%, 10/18/18		441		442
Doncasters Group Ltd. (Doncasters US LLC) Tranche B, 5.500%, 4/9/20		1,652		1,654
Douglas Dynamics LLC 5.750%, 4/18/18		899		901
Ducommun, Inc. Tranche B-1, 4.750%, 6/28/17		1,554		1,577
DynCorp International, Inc. 6.250%, 7/7/16		990		998
Edwards Ltd. First Lien, 4.750%, 3/26/20		1,817		1,822
Envision Healthcare Corp. (Emergency Medical Services Corp.) 4.000%, 5/25/18		3,731		3,728
Garda Security Group, Inc. Tranche B, 4.500%, 11/13/19		695		702
Harland Clarke Holdings Corp. (Clarke American Corp.)
0.000%, 6/30/17⁽⁸⁾		1,399		1,350
Tranche B-3, 7.000%, 5/22/18		1,000		964
Hawker Beechcraft Acquisition Company LLC 5.750%, 2/14/20		1,600		1,605
HD Supply, Inc. 4.500%, 10/12/17		3,282		3,284
Husky Injection Molding System (Yukon Acquisition, Inc.) 4.250%, 7/2/18		1,337		1,333
McJunkin Red Man Corp. 6.000%, 11/8/19		1,170		1,178
Mirion Technologies, Inc. 5.750%, 3/30/18		1,226		1,230
Mirror Bidco, Inc. 5.250%, 12/28/19		622		623
Navistar, Inc. Tranche B, 5.750%, 8/17/17		1,319		1,324
Nortek, Inc. 5.250%, 4/26/17		399		401
Protection One, Inc. 0.000%, 3/21/19⁽⁸⁾		3,182		3,192
Sequa Corp. 5.250%, 6/19/17		746		749
SESAC Holding Co. II LLC First Lien, 6.000%, 2/7/19		466		469
SI Organization, Inc. (The) Tranche B, 5.500%, 11/22/16		975		974
Spin Holdco, Inc. First Lien, 4.250%, 11/14/19		4,000		3,991
Swift Transportation Tranche B-2, 4.000%, 12/21/17		706		709
Terex Corp. 4.500%, 4/28/17		254		256
TransDigm, Inc. Tranche C, 3.750%, 2/28/20		7,025		6,955
US Airways, Inc.
0.000%, 11/23/16⁽⁸⁾		765		767
0.000%, 5/23/19⁽⁸⁾		2,874		2,844
Utex Industries, Inc. First Lien, 4.750%, 4/10/20		2,000		1,994
Velo Holdings, Inc. (Velo ACU LLC) 15.000%, 2/2/18		149		150


	PAR VALUE		VALUE
Industrials—(continued)
WCA Waste Corp. (WCA Waste Systems, Inc.) 4.000%, 3/23/18	$	939	$	940
WireCo Worldgroup, Inc. 6.000%, 2/15/17		447		447

				79,285

Information Technology—12.4%
Alcatel-Lucent U.S.A., Inc.
6.250%, 8/1/16		215		217
7.250%, 1/30/19		4,698		4,752
Allflex Holdings III, Inc.
0.000%, 6/5/20⁽⁸⁾		5,000		5,008
0.000%, 6/7/21⁽⁸⁾		789		792
Applied Systems, Inc.
First Lien, 4.250%, 12/8/16		1,426		1,435
Second Lien, 8.250%, 6/8/17		334		337
Autotrader.com, Inc. Tranche B-1, 4.000%, 12/15/16		1,170		1,180
Avaya, Inc. Tranche B-5, 8.000%, 3/31/18		1,467		1,380
Blue Coat Systems, Inc.
4.500%, 5/31/19		2,851		2,843
0.000%, 6/5/20⁽⁸⁾		2,154		2,154
CCC Holdings, Inc. 4.000%, 12/20/19		706		703
CDW LLC 3.500%, 4/29/20		5,475		5,409
Commscope, Inc. Tranche 2, 3.750%, 1/14/18		1,496		1,501
CPI International Acquisition, Inc. (Catalyst Holdings, Inc.) Tranche B, 5.000%, 2/13/17		1,201		1,203
Deltek, Inc.
First Lien, 5.000%, 10/10/18		1,393		1,392
5.000%, 12/18/18		2,000		1,999
0.000%, 10/10/19⁽⁸⁾		385		390
Second Lien, 10.000%, 10/10/19		144		146
Epicor Software Corp. (Eagle Parent Inc.) Tranche B-1, 4.500%, 5/16/18		2,940		2,951
First Data Corp.
4.193%, 3/24/17		4,381		4,289
4.193%, 3/23/18		4,500		4,398
Freescale Seminconductor, Inc. Tranche B-4, 5.000%, 3/1/20		2,933		2,916
Genpact Ltd. 3.500%, 8/30/19		1,239		1,240
Go Daddy Operating Co. LLC Tranche B-1, 0.000%, 12/17/18⁽⁸⁾		3,103		3,094
IMS Health, Inc. Tranche B-1, 3.750%, 9/1/17		2,683		2,686
Infor (U.S.), Inc. (Lawson Software, Inc.)


	PAR VALUE		VALUE
Information Technology—(continued)
Tranche B-2, 5.250%, 4/5/18	$	3,693	$	3,711
3.750%, 6/3/20		569		562
Interactive Data Corp. 3.750%, 2/11/18		2,386		2,378
ION Trading Technologies S.A.R.L. First Lien, 4.500%, 5/22/20		1,378		1,374
IPC Systems, Inc. Tranche C, First Lien, 7.750%, 7/31/17		1,971		1,902
Ipreo Holdings LLC
Tranche B-2, 6.500%, 8/7/17		963		974
Tranche B-3, 6.500%, 8/7/17		263		266
Kronos, Inc.
First Lien, 4.500%, 10/30/19		392		394
Second Lien, 9.750%, 4/30/20		715		740
Microsemi Corp. 3.750%, 2/19/20		854		857
Mitchell International, Inc. 3.813%, 3/28/16		2,256		2,253
Moneygram International, Inc. 4.250%, 3/27/20		813		817
Mood Media Corp. First Lien, 7.000%, 5/6/18		1,051		1,053
Novell, Inc. (Attachmate Corp.) First Lien, 7.625%, 11/22/17		1,896		1,902
NuSil Technology LLC 5.250%, 4/7/17		598		599
Oberthur Technologies Finance SAS Tranche B-3, 0.000%, 11/30/18⁽⁸⁾		1,089		1,084
Presidio, Inc. 5.750%, 3/31/17		1,769		1,756
Riverbed Technology, Inc. 4.000%, 12/18/19		285		287
RP Crown Parent LLC
First Lien 6.750%, 12/21/18		2,192		2,206
Second Lien, 11.250%, 12/21/19		533		552
Scitor Corp. 5.000%, 2/15/17		882		864
SCS Holdings I, Inc. (Sirius Computer Solutions, Inc.) 7.000%, 12/7/18		574		573
Smart Modular Technologies (Global), Inc. 8.250%, 8/26/17		484		440
Sophia LP Tranche B, 4.500%, 7/19/18		1,157		1,162
Sorenson Communications, Inc. 0.000%, 10/31/14⁽⁸⁾		1,995		1,999
Spansion LLC 5.250%, 12/13/18		788		794
SRA International, Inc. 6.500%, 7/20/18		1,226		1,221
SSI Investments II Ltd. (Skillsoft) 5.000%, 5/26/17		1,025		1,033
SunGard Data Systems, Inc. (Solar Capital Corp.)
Tranche D, 4.250%, 1/31/20		2,516		2,530
Tranche E, 0.000%, 3/8/20⁽⁸⁾		590		591
SymphonyIRI Group, Inc. (Information Resources, Inc.) 4.500%, 12/1/17		536		536


	PAR VALUE		VALUE
Information Technology—(continued)
Verifone, Inc.
Tranche B, 4.250%, 12/28/18	$	426	$	426
4.250%, 10/3/19		1,463		1,469
Vision Solutions, Inc. 0.000%, 7/23/16⁽⁸⁾		672		672
Wall Street Systems Holdings, Inc.
First Lien, 5.750%, 10/25/19		697		698
Second Lien, 9.250%, 10/25/20		497		501
Websense, Inc. 0.000%, 6/25/20⁽⁸⁾		1,500		1,501
Zayo Group LLC (Zayo Capital, Inc.) 4.500%, 7/2/19		2,223		2,224

				99,316

Materials—7.2%
AI Chem & Cy S.C.A.
Tranche B-1, 4.500%, 10/4/19		658		656
Tranche B-2, 4.500%, 10/4/19		342		340
Air Distribution Technologies, Inc. (QS0001 Corp.) First Lien, 5.000%, 11/9/18		412		415
American Builders & Contractors Supply Co., Inc. Tranche B, 3.500%, 4/16/20		5,000		4,973
Ameriforge Group, Inc.
First Lien, 5.000%, 12/19/19		1,055		1,053
Second Lien, 8.750%, 12/21/20		580		589
Arysta LifeScience SPC LLC 0.000%, 5/29/20⁽⁸⁾		1,467		1,455
Avantor Performance Materials Holdings, Inc. 5.250%, 6/24/17		630		632
AZ Chem US, Inc. 0.000%, 12/22/17⁽⁸⁾		941		949
Berlin Packaging, Inc. First Lien, 4.750%, 4/2/19		2,500		2,509
Berry Plastics Group, Inc. Tranche D, 3.500%, 2/8/20		3,639		3,606
CEMEX Espana S.A. Tranche A-1, 4.773%, 2/14/17		894		878
Chemtura Corp. 5.875%, 8/29/16		746		751
CPG International I, Inc. 5.750%, 9/21/19		750		755
Custom Building Products, Inc. 6.000%, 12/14/19		1,991		1,998
Cyanco Intermediate Corp. 5.500%, 5/1/20		1,314		1,313
Distribution International, Inc. 0.000%, 6/21/19⁽⁸⁾		2,000		1,998
Essar Steel Algoma, Inc. (Algoma Steel, Inc.) 8.750%, 9/19/14		1,935		1,978
Fortescue Metals Group Ltd. 5.250%, 10/18/17		5,025		5,002
General Chemical Corp. 0.000%, 10/6/15⁽⁸⁾		1,217		1,225
Houghton International, Inc. Holding Corp.
First Lien, 4.000%, 12/20/19		1,692		1,685


	PAR VALUE		VALUE
Materials—(continued)
Second Lien, 9.500%, 12/21/20	$	630	$	646
Huntsman International LLC Extended Tranche B, 2.731%, 4/19/17		1,000		1,001
Ineos US Finance LLC 4.000%, 5/4/18		5,204		5,107
JFB Firth Rixson, Inc. 4.250%, 6/30/17		1,990		1,983
JMC Steel Group, Inc. 4.750%, 4/1/17		825		829
Noranda Aluminum Acquisition Corp. Tranche B, 5.750%, 2/28/19		2,281		2,241
Novelis, Inc. 3.750%, 3/10/17		634		637
Pact Group (USA), Inc. 0.000%, 5/29/20⁽⁸⁾		3,801		3,787
PQ Corp. 4.500%, 8/7/17		1,990		1,995
Pro Mach, Inc. 5.000%, 7/6/17		1,478		1,488
Tronox Pigments B.V. 4.500%, 3/19/20		1,200		1,208
Univar, Inc. Tranche B, 5.000%, 6/30/17		1,364		1,334

				57,016

Telecommunication Services—4.7%
Cricket Communications, Inc. Tranche C, 4.750%, 3/8/20		2,000		1,988
Global Tel*link Corp.
First Lien, 7.000%, 5/23/20		2,013		2,009
0.000%, 11/23/20⁽⁸⁾		660		649
Grande Communications Networks LLC 4.500%, 5/29/20		1,000		997
Hawaiian Telcom Communications, Inc. 5.000%, 6/6/19		1,990		1,993
Integra Telecom Holdings, Inc.
Tranche B, 5.250%, 2/22/19		1,190		1,193
Second Lien, 9.750%, 2/21/20		449		462
Intelsat Jackson Holding S.A. (Intelsat Jackson Holding Ltd.) Tranche B-1, 4.250%, 4/2/18		2,945		2,955
Level 3 Financing, Inc.
Tranche B 2016, 4.750%, 2/1/16		496		499
Tranche B-II 2019, 4.750%, 8/1/19		2,150		2,155
Tranche B 2019, 5.250%, 8/1/19		1,875		1,881
LTS Buyer LLC (Sidera Networks, Inc.) Tranche B, 4.500%, 4/13/20		2,000		1,991
Securus Technologies Holdings, Inc. (Securus Technologies, Inc.)
First Lien, 4.750%, 4/30/20		2,400		2,387
Second Lien 9.000%, 4/30/21		685		688
Syniverse Holdings, Inc.
4.000%, 4/23/19		1,000		998


	PAR VALUE		VALUE
Telecommunication Services—(continued)
5.000%, 4/23/19	$	1,485	$	1,484
Telesat Canada, Inc. Tranche B-2, 3.500%, 3/28/19		3,782		3,793
TW Telecom Holdings, Inc. (Time Warner Telecom Holdings, Inc.) Tranche B, 2.700%, 4/17/20		2,000		2,005
UPC Financing Partnership 4.000%, 1/31/21		3,250		3,256
West Corp. Tranche B-8, 3.750%, 6/30/18		2,539		2,535
Windstream Corp. Tranche B-4, 3.500%, 1/23/20		1,234		1,238

				37,156

Utilities—2.8%
Accudyne Industries Borrower S.C.A. (Accudyne Industries LLC) (Silver II US Holdings LLC) 4.000%, 12/13/19		2,742		2,726
AES Corp. 3.750%, 6/1/18		1,529		1,535
Calpine Construction Finance Co. LP
0.000%, 5/3/20⁽⁸⁾		2,000		1,977
0.000%, 1/31/22⁽⁸⁾		2,000		1,967
Calpine Corp.
4.000%, 4/1/18		1,955		1,955
4.000%, 10/9/19		744		745
InterGen N.V. 5.500%, 5/21/20		2,690		2,656
NRG Energy, Inc. 0.000%, 7/1/18⁽⁸⁾		5,415		5,372
Texas Compeptitive Electric Holdings Co. LLC 2017 Extended, 4.734%, 10/10/17		4,945		3,464

				22,397

TOTAL LOAN AGREEMENTS (Identified Cost $720,953)				721,675


	SHARES		VALUE
COMMON STOCKS—0.2%
Consumer Discretionary—0.2%
Tribune Co.⁽²⁾		25,978		1,478
Velo Holdings, Inc.⁽⁶⁾⁽⁷⁾		70,371		0

TOTAL COMMON STOCKS (Identified Cost $1,060)				1,478

TOTAL LONG TERM INVESTMENTS—101.0% (Identified cost $806,039)				806,431	⁽⁹⁾


	SHARES		VALUE
SHORT-TERM INVESTMENTS—10.5%

Money Market Mutual Funds—10.5%
Fidelity Money Market Portfolio - Institutional Shares (Seven-day effective yield 0.012%)		83,844,297	$	83,844

TOTAL SHORT-TERM INVESTMENTS (Identified Cost $ 83,844)				83,844

TOTAL INVESTMENTS—111.5% (Identified Cost $ 889,883)				890,275	⁽¹⁾

Other assets and liabilities, net—(11.5)%				(91,523	)

NET ASSETS—100.0%			$	798,752

Abbreviation:


PIK		Payment-in-Kind Security

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at June 30, 2013, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Non-income producing.

⁽³⁾	Variable or step coupon security; interest rate shown reflects the rate in effect at June 30, 2013.

⁽⁴⁾	Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2013, these securities amounted to a value of $43,027 or 5.4% 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⁾	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.

⁽⁷⁾	Illiquid security.

⁽⁸⁾	This loan will settle after June 30, 2013, at which time the interest rate, based on the London Interbank Offered Rate (“LIBOR”) and the agreed upon spread on trade date, will be reflected.

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

Foreign Currencies:

BRL	Brazilian Real

CAD	Canadian Dollar

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2013 (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—98.9%
Consumer Discretionary—36.4%
Amazon.com, Inc.		136	$	38
AMC Networks, Inc.		586		38
American Eagle Outfitters, Inc.		2,041		37
Apollo Group, Inc. Class A		1,931		34
AutoNation, Inc.		865		38
Buckle, Inc. (The)		716		37
Cabela’s, Inc.		560		36
Cablevision Systems Corp. Class A		2,484		42
Carnival Corp.		1,111		38
CBS Corp. Class B		793		39
Central European Media Enterprises Ltd. Class A		10,814		36
Choice Hotels International, Inc.		946		38
Columbia Sportswear Co.		604		38
Comcast Corp. Class A		935		39
Dick’s Sporting Goods, Inc.		740		37
Discovery Communications, Inc. Class A		493		38
DISH Network Corp. Class A		920		39
DR Horton, Inc.		1,761		37
DSW, Inc. Class A		511		38
Expedia, Inc.		631		38
Family Dollar Stores, Inc.		598		37
Federal-Mogul Corp.		3,816		39
Fossil Group, Inc.		371		38
Gap, Inc. (The)		900		38
Garmin Ltd.		1,072		39
Host Hotels & Resorts, Inc.		2,300		39
Hyatt Hotels Corp. Class A		949		38
Las Vegas Sands Corp.		711		38
Lennar Corp. Class A		1,052		38
Liberty Global plc Class A		530		39
Liberty Media Corp.		302		38
Liberty Media Corp. - Interactive Class A		1,682		39
Liberty Ventures Class A		452		38
Ltd. Brands, Inc.		721		35
Madison Square Garden Co. (The)		641		38
Marriott International, Inc.		954		38
Marriott Vacations Worldwide Corp.		870		38
MGM Resorts International		2,693		40
Mohawk Industries, Inc.		341		38
Morningstar, Inc.		495		38
News Corp. Class A		1,183		39
NIKE, Inc. Class B		614		39


	SHARES		VALUE
Consumer Discretionary—(continued)
Nordstrom, Inc.		639	$	38
Penske Automotive Group, Inc.		1,297		40
Ralph Lauren Corp.		220		38
Sears Holdings Corp.		845		36
Sears Hometown and Outlet Stores, Inc.		889		39
Starbucks Corp.		575		38
Starz - Liberty Capital		1,696		37
Tesla Motors, Inc.		376		40
Under Armour, Inc. Class A		655		39
Urban Outfitters, Inc.		941		38
Viacom, Inc. Class B		566		39
Wendy’s Co. (The)		6,495		38
Wynn Resorts Ltd.		287		37

				2,093

Consumer Staples—6.5%
Boston Beer Co., Inc. (The) Class A		221		38
Brown-Forman Corp. Class B		544		37
Campbell Soup Co.		853		38
Dole Food Co., Inc.		2,906		37
Estee Lauder Cos., Inc. (The) Class A		565		37
Hain Celestial Group, Inc. (The)		580		38
Harbinger Group, Inc.		4,917		37
Monster Beverage Corp.		662		40
PriceSmart, Inc.		423		37
Tootsie Roll Industries, Inc.		1,176		37

				376

Energy—4.6%
Chesapeake Energy Corp.		1,839		37
Continental Resources, Inc.		442		38
CVR Energy, Inc.		755		36
Hess Corp.		581		39
RPC, Inc.		2,749		38
W&T Offshore, Inc.		2,692		38
Western Refining, Inc.		1,340		38

				264

Financials—16.5%
Air Lease Corp.		1,406		39
Altisource Portfolio Solutions SA		391		37
Amtrust Financial Services, Inc.		1,041		37
Berkley (W.R.) Corp.		924		38
Berkshire Hathaway, Inc. Class B		331		37
BOK Financial Corp.		590		38


	SHARES		VALUE
Financials—(continued)
Boston Properties, Inc.		365	$	38
Brown & Brown, Inc.		1,180		38
Charles Schwab Corp. (The)		1,802		38
Credit Acceptance Corp.		351		37
Equity Lifestyle Properties, Inc.		496		39
Equity Residential		679		39
Franklin Resources, Inc.		271		37
Greenlight Capital Re Ltd. Class A		1,526		37
Hilltop Holdings, Inc.		2,298		38
Howard Hughes Corp. (The)		354		40
Leucadia National Corp.		1,447		38
Loews Corp.		852		38
Mercury General Corp.		875		38
Ocwen Financial Corp.		895		37
Progressive Corp. (The)		1,514		38
Raymond James Financial, Inc.		873		38
Simon Property Group, Inc.		237		37
Taubman Centers, Inc.		499		38
Vornado Realty Trust		475		39

				948

Health Care—4.7%
Bruker Corp.		2,324		37
Cerner Corp.		393		38
Halozyme Therapeutics, Inc.		6,038		48
MannKind Corp.		5,493		36
Opko Health, Inc.		5,298		38
Pharmacyclics, Inc.		459		36
Teva Pharmaceutical Industries Ltd.		959		38

				271

Industrials—8.6%
American Railcar Industries, Inc.		1,187		40
Cintas Corp.		824		37
Colfax Corp.		732		38
Covanta Holding Corp.		1,876		38
Danaher Corp.		599		38
Fastenal Co.		825		38
FedEx Corp.		385		38
Grainger (W.W.), Inc.		148		37
Illinois Tool Works, Inc.		543		38
MSC Industrial Direct Co., Inc. Class A		476		37
Navistar International Corp.		1,375		38
Rollins, Inc.		1,503		39


	SHARES		VALUE
Industrials—(continued)
Werner Enterprises, Inc.		1,552	$	37

				493

Information Technology—16.4%
Amkor Technology, Inc.		9,153		39
Anixter International, Inc.		497		38
Broadcom Corp. Class A		1,118		38
Dell, Inc.		2,787		37
DST Systems, Inc.		573		37
eBay, Inc.		727		38
EchoStar Corp. Class A		962		38
Google, Inc. Class A		42		37
IAC/InterActiveCorp.		786		37
Intuit, Inc.		643		39
Marvell Technology Group Ltd.		3,324		39
Mentor Graphics Corp.		1,944		38
Molex, Inc.		1,278		37
National Instruments Corp.		1,401		39
Oracle Corp.		1,234		38
Paychex, Inc.		1,000		37
Pegasystems, Inc.		1,160		38
QUALCOMM, Inc.		613		37
Rackspace Hosting, Inc.		999		38
Salesforce.com, Inc.		971		37
Syntel Co.		587		37
Take-Two Interactive Software, Inc.		2,471		37
TeleTech Holdings, Inc.		1,570		37
WebMD Health Corp.		1,434		42
Yahoo!, Inc.		1,475		37

				946

Materials—5.2%
Airgas, Inc.		392		38
Huntsman Corp.		2,227		37
Kronos Worldwide, Inc.		2,267		37
LyondellBasell Industries N.V. Class A		557		37
NewMarket Corp.		138		36
Novagold Resources, Inc.		17,611		37
Scotts Miracle-Gro Co. (The) Class A		774		37
Westlake Chemical Corp.		396		38

				297

TOTAL COMMON STOCKS (Identified Cost $5,415)				5,688


	SHARES		VALUE
TOTAL LONG TERM INVESTMENTS—98.9% (Identified cost $5,415)			$	5,688

SHORT-TERM INVESTMENTS—0.3%
Money Market Mutual Funds—0.3%
Fidelity Money Market Portfolio - Institutional Shares (Seven-day effective yield 0.012%)		18,732		19

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

TOTAL INVESTMENTS—99.2% (Identified Cost $5,434)				5,707	⁽¹⁾
Other assets and liabilities, net—0.8%				49

NET ASSETS—100.0%			$	5,756

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at June 30, 2013, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2013 (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 5 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 each Fund, 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 the “Trustees”). All internally fair valued securities are approved by a valuation committee appointed by the Board. The valuation committee is comprised of the treasurer, assistant treasurer, and two other appropriate investment professionals of the Virtus Product Management team who previously have been identified to the Board. 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 the model inputs and any changes to the model. Fair valuations are ratified by the Board of Directors 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.

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

This stock is internally fair valued based on the details of a pending corporate action.

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.

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.

Options contracts: An options contract provides the purchaser with the right, but not the obligation, to buy (call option) or sell (put option) a financial instrument at an agreed upon price. The Fund may purchase or write both put and call options on portfolio securities. The Fund is subject to equity price risk in the normal course of pursuing its investment objectives. The Fund may use options contracts to hedge against changes in the values of equities.

When the Fund purchases an option, it pays a premium and an amount equal to that premium is recorded as an asset. When the Fund writes an option, it receives a premium and an amount equal to that premium is recorded as a liability. The asset or liability is adjusted daily to reflect the current market value of the option. Holdings of the Fund designated to cover outstanding written options are noted in the Schedules of Investments.

The risk in writing call options is that the Fund gives up the opportunity for profit if the market price of the security increases and the option is exercised. The risk in writing put options is that the Fund may incur a loss if the market price of the security decreases and the option is exercised. The risk in buying options is that the Fund pays a premium whether or not the option is exercised. The use of such instruments may involve certain additional risks as a result of unanticipated movements in the market. Writers (sellers) of options are subject to unlimited risk of loss, as the seller will be obligated to deliver or take delivery of the security at a predetermined price which may, upon exercise of the option, be significantly different from the then-market value.

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.

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

Certain Funds may sell securities short. A short sale is a transaction in which a Fund sells a security it does not own in anticipation of a decline in market price. To sell a security short, a Fund must borrow the security. The Fund’s obligation to replace the security borrowed and sold short will be fully collateralized at all times by the proceeds from the short sale retained by the broker and by cash and securities deposited in a segregated account with the Fund’s custodian. If the price of the security sold short increases between the time of the short sale and the time the Fund replaces the borrowed security, the Fund will realize a loss, and if the price declines during the period, the Fund will realize a gain. Any realized gain will be decreased, and any realized loss increased, by the amount of transaction costs. On ex-dividend date, dividends on short sales are recorded as an expense to the Fund.

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

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

At June 30, 2013, 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 June 30, 2013, federal tax cost and aggregate gross unrealized appreciation (depreciation) of securities held by the funds were as follows:

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

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

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

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

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


Investments in Securities	Corporate Bonds And Notes
Balance as of September 30, 2012:	$	14
Accrued discount/(premium)		—	^(c)
Realized gain (loss)		—	^(c)
Change in unrealized appreciation (depreciation)		—	^(c)
Purchases		—
Sales^(b)		(2	)
Transfers into Level 3 ^(a)		—
Transfers from Level 3 ^(a)		—

Balance as of June 30, 2013	$	12	^(d)


	Total Value at June 30, 2013		Level 2 Significant Observable Inputs
Debt Securities:
Municipal Tax-Exempt Bonds	$	48,314	$	48,314

Total Investments	$	48,314	$	48,314


	Total Value at June 30, 2013		Level 1 Quoted Prices
Equity Securities:
Exchange-Traded Funds	$	1,323	$	1,323
Short-Term Investments		9		9

Total Investments	$	1,332	$	1,332


	Total Value at June 30, 2013		Level 1 Quoted Prices
Equity Securities:
Exchange-Traded Funds	$	1,014	$	1,014
Short-Term Investments		8		8

Total Investments	$	1,022	$	1,022


	Total Value at		Level 1
	June 30, 2013		Quoted Prices
Equity Securities:
Exchange-Traded Funds	$	1,071	$	1,071
Short-Term Investments		10		10

Total Investments	$	1,081	$	1,081


Country Weightings †
United States	73	%
Luxembourg	3
Brazil	2
Chile	2
Mexico	2
Turkey	2
Cayman Islands	1
Other	15

Total	100	%


	Total Value at December 31, 2012			Level 1 Quoted Prices
Equity Securities:
Exchange-Traded Funds	$	1,398,205		$	1,398,205
Short Term Investments		2,308			2,308

Total Investments	$	1,400,513		$	1,400,513

Other Financial Instruments:
Exchange-Traded Funds Sold Short	$	(61,416	)	$	(61,416	)


Country Weightings †
Venezuela	9	%
Cayman Islands	7
Turkey	7
Brazil	6
Luxembourg	6
Mexico	6
Ireland	5
Other	54

Total	100	%


Country Weightings †
China	14	%
Taiwan	13
South Africa	9
South Korea	9
Brazil	8
Mexico	8
United States	8
Other	31

Total	100	%


Country Weightings †
United Kingdom	23	%
Switzerland	16
India	12
United States	10
France	8
Netherlands	8
Canada	6
Other	17

Total	100	%


	Total Value at June 30, 2013		Level 1 Quoted Prices		Level 3 Significant Unobservable Inputs
Equity Securities:
Common Stocks	$	1,551,755	$	1,551,755	$	—
Preferred Stock		278		—		278	⁽¹⁾
Short-Term Investments		88,130		88,130		—

Total Investments	$	1,640,163	$	1,639,885	$	278	⁽¹⁾


Investments in Securities	Preferred Stocks
Balance as of September 30, 2012:	$	—
Accrued discount/(premium)		—
Realized gain (loss)		—
Change in unrealized appreciation (depreciation)		(1	)
Purchases		279
Sales		—
Transfers into Level 3 ^(a)		—
Transfers from Level 3 ^(a)		—

Balance as of June 30, 2013	$	278


	Total Value at March 31, 2013		Level 1 Quoted Prices		Level 3 Significant Unobservable Inputs
Equity Securities:
Common Stocks	$	101,752	$	101,752	$	0	⁽¹⁾
Short-Term Investments		4,253		4,253		—

Total Investments	$	106,005	$	106,005	$	0	⁽¹⁾


Country Weightings †
United States	59	%
Australia	7
United Kingdom	7
Canada	5
Japan	5
France	4
Hong Kong	4
Other	9

Total	100	%


Country Weightings †
India	29	%
Malaysia	11
Hong Kong	9
United States	9
Thailand	8
Australia	6
Indonesia	5
Other	23

Total	100	%


Contracts to Receive		In Exchange for		Counterparty	Settlement Date	Value		Unrealized Appreciation (Depreciation)
AUD	2,750	USD	2,676	Bank of New York Mellon (The)	9/24/13		$2,499	$	(177)

Contracts to Sell		In Exchange for		Counterparty	Settlement Date	Value		Unrealized Appreciation (Depreciation)
AUD	2,450	USD	2,488	State Street Bank and Trust Co.	9/24/13		$2,226	$	262
AUD	300	USD	305	JPMorgan Chase & Co.	9/24/13		$272	$	33

									295

								$	118


	Total Value at June 30, 2013		Level 1 Quoted Prices		Level 2 Significant Observable Inputs
Equity Securities:
Common Stocks	$	23,163	$	23,163	$	—
Short-Term Investments		568		568		—

Total Investments	$	23,731	$	23,731	$	—

Other Financial Instruments:
Forward Currency Contracts*	$	118	$	—	$	118


	Total Value at June 30, 2013		Level 1 Quoted Prices		Level 3 Significant Unobservable Inputs
Equity Securities:
Common Stocks	$	41,548	$	41,548	$	0	⁽¹⁾
Short-Term Investments		770		770		—

Total Investments	$	42,318	$	42,318	$	0	⁽¹⁾


Investments in Securities	Total			Asset- Backed Securities			Corporate Bonds And Notes			Loan Agreements			Common Stocks
Balance as of September 30, 2012:	$	76		$	0		$	13		$	51		$	12
Accrued discount/(premium)		—			—			—			—			—
Realized gain (loss)		1			—			—			1			—
Change in unrealized appreciation (depreciation)		546			4			592			(54	)		4
Purchases		743			703			—			40			—
Sales^(b)		(631	)		(15	)		(605	)		(11	)		—
Transfers into Level 3 ^(a)		—			—			—			—			—
Transfers from Level 3 ^(a)		(27	)		—			—			(27	)		—

Balance as of June 30, 2013	$	708		$	692		$	0	^(c)	$	—		$	16


Investments in Securities	Total			Corporate Bonds And Notes			Asset-Backed Securities			Loan Agreements			Common Stocks
Balance as of September 30, 2012:	$	292		$	6		$	—		$	286		$	—
Accrued discount/(premium)		(1	)		—			—			(1	)		—
Realized gain (loss)		(382	)		—			—			(382	)		—
Change in unrealized appreciation (depreciation)		665			243			4			418			—
Purchases		2,769			—			829			1,940			—
Sales^(b)		(417	)		(249	)		(17	)		(151	)		—
Transfers into Level 3 ^(a)		—			—			—			—			—
Transfers from Level 3 ^(a)		(150	)		—			—			(150	)		—

Balance as of June 30, 2013	$	2,776		$	—		$	816		$	1,960		$	—	^(c)


Virtus Foreign Opportunities Fund		Rolls Royce C shares
Virtus Greater European Opportunities Fund		Rolls Royce C shares


Bond Fund		United Artists Theatre Circuit, Inc.
High Yield Fund		United Artists Theatre Circuit, Inc.


Fund	Federal Tax Cost			Unrealized Appreciation			Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
Allocator Premium AlphaSector^(R)Fund	$	470,536		$	24,360		$	(82	)	$	24,278
AlphaSector^(R) Rotation Fund		488,301			93,403			(3,456	)		89,947
Alternatives Diversifier Fund		217,447			29,624			(40,173	)		(10,549	)
Bond Fund		96,161			1,699			(2,969	)		(1,270	)
CA Tax-Exempt Bond		46,657			2,719			(1,062	)		1,657
Disciplined Equity Style Fund		1,289			43			—			43
Disciplined Select Bond Fund		1,083			—			(61	)		(61	)
Disciplined Select Country Fund		1,051			38			(8	)		30
Dynamic AlphaSector^(R) Fund (Long positions)		1,327,816			74,130			(1,433	)		72,697
Dynamic AlphaSector^(R) Fund (Short positions)		(61,378	)		—			(38	)		(38	)
Emerging Markets Debt Fund		31,606			86			(2,114	)		(2,028	)
Emerging Markets Equity Income Fund		8,688			356			(393	)		(37	)
Foreign Opportunities Fund		1,382,683			316,708			(59,228	)		257,480
Global Commoditities Stock Fund		24,055			1,321			(2,204	)		(883	)
Global Dividend Fund		115,225			21,552			(1,305	)		20,247
Global Opportunities Fund		88,859			20,955			(3,712	)		17,243
Global Premium AlphaSector^(R) Fund		99,808			8,864			(5	)		8,859
Global Real Estate Securities Fund		40,213			2,621			(513	)		2,108
Greater Asia ex Japan Opportunities Fund		8,235			2,115			(375	)		1,740
Greater European Opportunities Fund		9,876			2,013			(262	)		1,751
Herzfeld Fund		8,848			51			(374	)		(323	)
High Yield Fund		90,189			1,908			(1,861	)		47
International Equity Fund		25,196			31			(1,496	)		(1,465	)
International Real Estate Securities Fund		44,876			(2,044	)		(514	)		(2,558	)
International Small-Cap Fund		13,586			914			(356	)		558
Low Volatility Equity Fund		1,467			2			(29	)		(27	)
Multi-Sector Intermediate Bond Fund		424,440			11,380			(12,290	)		(910	)
Multi-Sector Short Term Bond Fund		8,262,335			166,410			(138,522	)		27,888
Premium AlphaSector^(R)Fund		4,352,666			570,235			(31,060	)		539,175
Real Estate Securities Fund		934,323			454,862			(3,310	)		451,552
Senior Floating Rate Fund		889,927			5,046			(4,698	)		348
Wealth Masters Fund		5,459			337			(89	)		248


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