Metropolitan West Fund

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.


Issues	Maturity Date		Principal Amount		Value
BONDS – 81.37%
ASSET-BACKED SECURITIES — 14.67%**
Aames Mortgage Trust 2002-1 A3 (STEP)
6.90%	06/25/32		$	34,578	$	25,439
ABFS Mortgage Loan Trust 2002-2 A7 (STEP)
5.72%	07/15/33			1,692		1,681
ABFS Mortgage Loan Trust 2002-3 A (STEP)
4.76%	09/15/33			16,763		16,457
ABFS Mortgage Loan Trust 2002-4 A (STEP)
4.93%	12/15/33			15,051		14,829
Aerco Ltd. 2A A4 (United Kingdom)
0.87%	07/15/25	^2,3,4,†		275,200		253,189
BMW Vehicle Lease Trust 2009-1 A3
2.91%	03/15/12			825,000		834,155
Capital Auto Receivables Asset Trust 2007-SN2 A4
1.38%	05/16/11	^3,4		564,041		564,343
Capital Auto Receivables Asset Trust 2008-CPA A1
1.20%	01/15/13	^3,4		734,546		737,402
Capital One Prime Auto Receivables Trust 2006-2 A4
4.94%	07/15/12			825,752		829,245
Chrysler Financial Lease Trust 2010-A A2
1.78%	06/15/11	⁴		750,000		752,685
Citigroup Mortgage Loan Trust, Inc. 2007-WFH2 A3
0.53%	03/25/37	³		2,500,000		1,115,479
Citigroup Mortgage Loan Trust, Inc. 2007-WFH4 A2C
1.65%	07/25/37	³		1,765,000		697,340
Conseco Financial Corp. 1994-1 A5
7.65%	04/15/19			6,594		6,861
Conseco Financial Corp. 1996-8 A6
7.60%	10/15/27	³		16,659		17,211
Countrywide Asset-Backed Certificates 2003-BC1 M1
1.73%	12/25/32	³		351,357		143,887
Credit Suisse First Boston Mortgage Securities Corp. 2001-MH29 A (STEP)
5.60%	09/25/31			104,140		106,138
Deutsche Financial Capital Securitization LLC 1997-I A3
6.75%	09/15/27			156,323		160,119
First Alliance Mortgage Loan Trust 1994-3 A1
7.83%	10/25/25			5,013		4,765
Ford Credit Auto Lease Trust 2009-A A2
2.60%	05/15/11	⁴		336,722		337,358
GE Dealer Floorplan Master Note Trust 2007-2 A
0.36%	07/20/12	³		300,000		299,943


Issues	Maturity Date		Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
GE Mortgage Services LLC 1998-HE1 A7
6.47%	06/25/28		$	642	$	626
Green Tree Home Improvement Loan Trust 1995-C B2
7.60%	07/15/20			75,968		67,423
Green Tree Home Improvement Loan Trust 1995-F B2
7.10%	01/15/21			28,407		25,798
GSAA Trust 2005-7 AF3
4.75%	05/25/35	³		1,100,000		941,057
HSBC Home Equity Loan Trust 2007-3 APT
1.55%	11/20/36	³		628,249		530,298
Huntington Auto Trust 2008-1A A3A
4.81%	04/16/12	⁴		839,569		850,992
IndyMac Manufactured Housing Contract 1998-2 A4
6.64%	12/25/27	³		195,344		187,899
Irwin Home Equity Corp. 2003-A M2
3.00%	10/25/27	³		640,019		578,489
Keystone Owner Trust 1998-P1 M2
7.93%	05/25/25	⁴		9,406		9,321
Mid-State Trust 6 A4
7.79%	07/01/35			45,834		43,637
Morgan Stanley ABS Capital I 2004-NC2 M2
2.15%	12/25/33	³		942,608		500,621
Morgan Stanley IXIS Real Estate Capital Trust 2006-2 A1
0.40%	11/25/36	³		45,983		45,130
Oakwood Mortgage Investors, Inc. 1998-A A4
6.20%	05/15/28			3,587		3,626
Oakwood Mortgage Investors, Inc. 1998-B A3
6.20%	01/15/15			6,038		6,020
Oakwood Mortgage Investors, Inc. 1998-B A4
6.35%	03/15/17			302,306		302,106
Residential Asset Mortgage Products, Inc. 2005-EFC2 M1
0.79%	07/25/35	³		564,775		554,485
Residential Funding Mortgage Securities II, Inc. 1999-HI6 AI7 (STEP)
8.60%	09/25/29			133,283		98,758
Residential Funding Mortgage Securities II, Inc. 2000-HI1 AI7 (STEP)
8.79%	02/25/25			12,875		11,985
Saxon Asset Securities Trust 2002-1 M2
2.15%	11/25/31	³		189,045		56,944
SLM Student Loan Trust 2007-3 A1
0.31%	10/27/14	³		430,066		429,974
Soundview Home Equity Loan Trust 2006-WF2 A2C
0.49%	12/25/36	³		1,055,000		846,638


Issues	Maturity Date		Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Structured Asset Securities Corp. 2007-EQ1 A4
0.60%	03/25/37	³	$	3,000,000	$	1,125,612
Terwin Mortgage Trust 2004-13AL 2PX (IO)
0.34%	08/25/34	^4,5		8,628,775		64,271
Triton Container Finance LLC 2006-1A
0.52%	11/26/21	³		256,667		230,236
UCFC Home Equity Loan 1998-D BF1
8.97%	04/15/30	³		1,243		543
Wells Fargo Home Equity Trust 2006-1 A3
0.50%	05/25/36	³		238,069		230,826


Total Asset-Backed Securities
(Cost $18,228,676)						14,661,841


CORPORATES — 10.71%*
Banking — 0.65%
Bank of America N.A.
0.84%	06/15/17	³		750,000		643,664


Communications — 0.52%
Qwest Corp.
7.88%	09/01/11			500,000		522,500


Electric — 0.84%
KCP&L Greater Missouri Operations Co.
11.88%	07/01/12			730,000		841,039


Finance — 6.47%
Citigroup Funding, Inc. 2
0.67%	04/30/12	³		900,000		907,636
Citigroup, Inc.
5.30%	10/17/12			1,075,000		1,114,633
General Electric Capital Corp. (MTN)
0.68%	06/20/14	³		250,000		235,779
General Electric Capital Corp. A (MTN)
0.80%	09/15/14	³		300,000		283,089
Goldman Sachs Group, Inc. (The)
1.15%	12/05/11	³		690,000		698,192
5.45%	11/01/12			500,000		528,351
Goldman Sachs Group, Inc. B (The) (MTN)
0.71%	07/22/15	³		200,000		180,808
Lehman Brothers Holdings, Inc. H (MTN)
0.00%	11/30/10	^3,6,7		883,000		167,770
Morgan Stanley
0.55%	01/18/11	³		395,000		392,526
0.89%	06/20/12	³		620,000		625,826
5.05%	01/21/11			395,000		400,925
6.75%	04/15/11			155,000		160,396
Morgan Stanley (MTN)
0.75%	10/18/16	³		260,000		227,695


Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Finance (continued)
Morgan Stanley 1
1.39%	12/01/11	³	$	535,000	$	542,860


						6,466,486


Transportation — 2.23%
American Airlines Pass-Through Trust 2003-1 (AMBAC)
3.86%	07/09/10			1,168,554		1,169,980
Delta Air Lines, Inc. 2001 A2
7.11%	09/18/11	⁸		600,000		624,750
JetBlue Airways Pass-Through Trust 2004-2 G1
0.81%	08/15/16	³		508,399		437,223


						2,231,953


Total Corporates (Cost $10,904,864)						10,705,642


BANK LOANS — 0.61%*
Health Care — 0.61%
HCA Term Loan A

2.03%	11/17/12	⁹		640,641		606,841


Total Bank Loans (Cost $587,281)

MORTGAGE-BACKED — 47.05%**
Commercial Mortgage-Backed — 5.31%
Banc of America Commercial Mortgage, Inc. 2001-1 A2
6.50%	04/15/36			161,103		164,365
Bayview Commercial Asset Trust 2007-3 A1
0.59%	07/25/37	^3,4		1,373,927		843,029
Chase Commercial Mortgage Securities Corp. 2000-3 A2
7.32%	10/15/32			462,664		463,975
Credit Suisse Mortgage Capital Certificates 2007-C2 A2
5.45%	01/15/49	³		560,000		572,871
First Union National Bank-Bank of America Commercial Mortgage Trust 2001-C1 A2
6.14%	03/15/33			324,623		327,708
GE Capital Commercial Mortgage Corp. 2005-C4 A3A
5.51%	11/10/45	³		110,000		116,075
GMAC Commercial Mortgage Securities, Inc. 2000-C3 A2
6.96%	09/15/35			638,153		643,035
JPMorgan Chase Commercial Mortgage Securities Corp. 2007-LD11 A2
5.97%	06/15/49	³		290,000		299,783
JPMorgan Chase Commercial Mortgage Securities Corp. 2007-LD12 A2
5.83%	02/15/51			500,000		519,053


Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed (continued)
Merrill Lynch/Countrywide Commercial Mortgage Trust 2007-7 A4
5.81%	06/12/50	³	$	565,000	$	553,805
Prudential Mortgage Capital Funding LLC
2001-ROCK A2
6.61%	05/10/34			786,885		805,200


						5,308,899


Non-Agency Mortgage-Backed — 18.76%
Adjustable Rate Mortgage Trust 2005-1 1A1
3.66%	05/25/35	^3,†		1,262,081		809,483
American Home Mortgage Investment Trust 2004-3 3A
2.34%	10/25/34	³		973,088		685,886
Banc of America Funding Corp. 2003-2 1A1
6.50%	06/25/32			25,376		26,492
Banc of America Funding Corp. 2007-8 2A1
7.00%	10/25/37			757,434		538,923
Banc of America Mortgage Securities, Inc. 2003-A 2A2
3.62%	02/25/33	³		5,707		4,990
Citigroup Mortgage Loan Trust, Inc. 2004-HYB1 A41
5.13%	02/25/34	³		273,206		273,049
Countrywide Alternative Loan Trust 2004-J6 2A1
6.50%	11/25/31			387,293		401,091
Countrywide Alternative Loan Trust 2005-16 A5
0.63%	06/25/35	³		814,242		285,889
Countrywide Alternative Loan Trust 2005-27 2A1
1.77%	08/25/35	³		1,664,594		761,258
Countrywide Alternative Loan Trust 2005-61 2A1
0.63%	12/25/35	³		1,208,190		788,778
Credit Suisse First Boston Mortgage Securities Corp. 2002-AR31 4A2
3.44%	11/25/32	³		200,000		133,452
Downey Savings & Loan Association Mortgage Loan Trust 2004-AR3 2A2A
0.72%	07/19/44	³		618,907		453,404
First Horizon Asset Securities, Inc. 2002-AR2 2A1
3.12%	12/27/32	³		27,833		27,675
First Horizon Asset Securities, Inc. 2003-AR2 1A1
3.50%	07/25/33	³		98,499		96,079
GMAC Mortgage Corp. Loan Trust 2003-GH1 A5 (STEP)
5.60%	07/25/34			63,192		61,484


Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
IndyMac Index Mortgage Loan Trust 2004-AR12 A1
0.74%	12/25/34	³	$	991,496	$	519,525
IndyMac Index Mortgage Loan Trust 2006-AR2 1A1A
0.57%	04/25/46	³		1,541,289		744,580
JPMorgan Mortgage Trust 2005-A2 9A1
3.68%	04/25/35	³		606,351		480,506
MASTR Adjustable Rate Mortgages Trust 2004-1 2A1
4.63%	01/25/34	³		67,693		60,602
MASTR Adjustable Rate Mortgages Trust 2004-12 5A1
3.95%	10/25/34	³		1,028,736		835,830
MASTR Adjustable Rate Mortgages Trust 2004-5 3A1
2.77%	06/25/34	³		51,685		42,399
MASTR Seasoned Securities Trust 2004-1 4A1
3.15%	10/25/32	³		163,925		133,856
MASTR Seasoned Securities Trust 2004-2 A2
6.50%	08/25/32			615,676		659,658
Merrill Lynch Mortgage Investors, Inc. 2003-A1 2A
2.67%	12/25/32	³		469,952		442,622
Residential Asset Mortgage Products, Inc. 2003-SL1 A11
7.13%	03/25/16			158,173		157,162
Residential Asset Mortgage Products, Inc. 2004-SL1 A2
8.50%	11/25/31			152,407		149,379
Residential Asset Mortgage Products, Inc. 2004-SL1 A8
6.50%	11/25/31			273,231		267,880
Residential Asset Securitization Trust 2004-IP2 2A1
2.86%	12/25/34	³		562,617		520,392
Structured Asset Mortgage Investments, Inc. 2006-AR8 A1A
0.55%	10/25/36	³		1,959,591		1,085,456
Structured Asset Mortgage Investments, Inc. 2007-AR3 2A1
0.54%	09/25/47	³		2,462,820		1,371,419
Structured Asset Securities Corp. 2001-15A 4A1
6.00%	10/25/31	³		42,681		40,744
Structured Asset Securities Corp. 2004-S4 M4
2.15%	12/25/34	³		610,747		567,468
Washington Mutual Alternative Mortgage Pass-Through Certificates 2005-4 CB13
0.85%	06/25/35	³		706,794		488,109


Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Washington Mutual Alternative Mortgage Pass-Through Certificates 2007-OA3 4A1
1.19%	04/25/47	³	$	2,949,490	$	1,562,517
Washington Mutual Mortgage Pass-Through Certificates 2002-AR6 A
1.82%	06/25/42	³		127,110		101,400
Washington Mutual Mortgage Pass-Through Certificates 2003-AR6 A1
2.70%	06/25/33	³		531,269		520,943
Washington Mutual Mortgage Pass-Through Certificates 2007-HY4 1A1
5.42%	04/25/37	³		1,177,014		847,599
Washington Mutual Mortgage Pass-Through Certificates 2007-OA4 1A
1.19%	05/25/47	³		1,244,892		695,209
Washington Mutual Mortgage Pass-Through Certificates 2007-OA6 1A
1.23%	07/25/47	³		1,767,332		1,030,273
Washington Mutual MSC Mortgage Pass- Through Certificates 2003-MS9 1A
7.00%	04/25/33			79,614		79,636


						18,753,097


U.S. Agency Mortgage-Backed — 22.98%
Fannie Mae 1988-12 A
4.65%	02/25/18	³		105,679		109,992
Fannie Mae 1993-80 S
10.42%	05/25/23	³		8,613		10,579
Fannie Mae 1997-23 PB
6.63%	01/25/22			9,612		10,599
Fannie Mae 2000-27 AN
6.00%	08/25/30			11,306		12,429
Fannie Mae 2001-42 SB
8.50%	09/25/31	³		5,551		6,505
Fannie Mae 2002-82 FP
0.85%	02/25/32	³		1,074,411		1,078,694
Fannie Mae 2003-124 IO (IO)
5.25%	03/25/31			59,034		3,274
Fannie Mae 2003-124 TS
9.80%	01/25/34	³		106,933		128,989
Fannie Mae 2003-30 ET
3.50%	08/25/16			461,635		467,869
Fannie Mae 2003-37 IG (IO)
5.50%	05/25/32			143,134		11,216
Fannie Mae 2003-85 IE (IO)
5.50%	06/25/29			24,385		152
Fannie Mae 2004-96 MT
7.00%	12/25/34	³		131,669		128,610
Fannie Mae 2005-39 BN
4.55%	06/25/28			554,004		570,590


Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae 2005-47 SL
7.50%	06/25/35	³	$	135,797	$	137,469
Fannie Mae 2007-65 PA
6.00%	03/25/31			593,394		612,544
Fannie Mae 2007-68 SC (IO)
6.35%	07/25/37	³		2,037,155		260,498
Fannie Mae 2010-26 S (IO)
5.88%	11/25/36	³		4,599,897		487,453
Fannie Mae Pool 111643
4.58%	09/01/20	³		26,289		27,234
Fannie Mae Pool 190656
6.50%	02/01/14			137,533		148,247
Fannie Mae Pool 523829
8.00%	11/01/19			199,221		231,145
Fannie Mae Pool 555098
3.28%	11/01/32	³		108,362		112,686
Fannie Mae Pool 555177
2.55%	01/01/33	³		109,499		113,844
Fannie Mae Pool 555207
7.00%	11/01/17			35,367		38,500
Fannie Mae Pool 555424
5.50%	05/01/33			1,202,204		1,294,718
Fannie Mae Pool 567002
8.00%	05/01/23			119,193		136,539
Fannie Mae Pool 646884
1.92%	05/01/32	³		7,336		7,512
Fannie Mae Pool 647903
1.70%	04/01/27	³		61,107		62,825
Fannie Mae Pool 648860
6.50%	05/01/17			623,718		679,958
Fannie Mae Pool 655127
7.00%	07/01/32			37,918		42,221
Fannie Mae Pool 655133
7.00%	08/01/32			43,311		48,221
Fannie Mae Pool 655151
7.00%	08/01/32			45,360		50,498
Fannie Mae Pool 754001
3.61%	12/01/33	³		622,610		647,285
Fannie Mae Pool 762525
6.50%	11/01/33			151,209		165,961
Fannie Mae Pool 770900
2.45%	04/01/34	³		551,030		575,457
Fannie Mae Pool 805268
2.18%	01/01/35	³		590,159		606,125
Fannie Mae Pool 811267
3.07%	12/01/34	³		176,912		184,218
Fannie Mae Pool 893489
6.19%	09/01/36	³		458,991		488,969


Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool AD0546
5.80%	11/01/37	³	$	445,803	$	476,727
Freddie Mac 1214 KA
1.21%	02/15/22	³		22,547		22,551
Freddie Mac 1526 L
6.50%	06/15/23			27,098		28,960
Freddie Mac 2043 CJ
6.50%	04/15/28			55,345		58,200
Freddie Mac 2368 AF
1.30%	10/15/31	³		1,055,513		1,072,182
Freddie Mac 2527 TI (IO)
6.00%	02/15/32			184,775		10,462
Freddie Mac 2561 BX (IO)
5.00%	05/15/17			230,605		8,196
Freddie Mac 2642 BW (IO)
5.00%	06/15/23			49,041		6,331
Freddie Mac 2657 LX (IO)
6.00%	05/15/18			198,980		16,871
Freddie Mac 2817 FA
0.85%	06/15/32	³		1,576,559		1,578,755
Freddie Mac 2856 ST
7.00%	09/15/23	³		169,301		170,333
Freddie Mac 2877 MV
4.75%	12/15/28			456,172		468,651
Freddie Mac 2906 NX (IO)
5.15%	12/15/34	³		3,004,729		77,478
Freddie Mac 2971 AB
5.00%	05/15/20			21,211		20,911
Freddie Mac 3202 HS (IO)
6.30%	08/15/36	³		1,158,683		14,441
Freddie Mac 3330 PA
5.50%	02/15/26			543,742		547,777
Freddie Mac 3346 FA
0.58%	02/15/19	³		1,261,156		1,263,409
Freddie Mac 3626 MA
5.00%	02/15/30			1,023,904		1,094,369
Freddie Mac Gold C90237
6.50%	11/01/18			131,331		144,884
Freddie Mac Gold C90474
7.00%	08/01/21			181,595		202,693
Freddie Mac Gold D93410
6.50%	04/01/19			98,764		109,302
Freddie Mac Gold O30092
5.50%	10/01/15			70,857		75,254
Freddie Mac Gold P20295
7.00%	10/01/29			62,174		67,310
Freddie Mac Non Gold Pool 1G2627
6.02%	03/01/37	³		525,490		550,855


Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Non Gold Pool 1J1393
6.24%	10/01/36	³	$	610,936	$	642,795
Freddie Mac Non Gold Pool 1J1509
6.33%	11/01/36	³		653,741		689,881
Freddie Mac Non Gold Pool 1J1534
5.70%	03/01/37	³		859,207		914,224
Freddie Mac Non Gold Pool 1N1446
4.68%	01/01/37	³		580,833		603,285
Freddie Mac Non Gold Pool 775554
4.02%	10/01/18	³		5,926		6,104
Freddie Mac Non Gold Pool 782824
2.72%	11/01/34	³		652,796		672,841
Freddie Mac Non Gold Pool 865369
4.86%	06/01/22	³		4,654		4,852
Ginnie Mae 2003-28 LI (IO)
5.50%	02/20/32			142,244		4,243
Ginnie Mae 2004-2 FW
1.75%	01/16/34	³		332,946		333,097
Ginnie Mae 2004-41 IE (IO)
5.50%	05/20/30			835,629		8,625
Ginnie Mae II Pool 80546
3.00%	10/20/31	³		40,035		41,004
Ginnie Mae II Pool 80610
4.38%	06/20/32	³		483,405		499,680
Ginnie Mae II Pool 80614
3.63%	07/20/32	³		62,193		63,966
Ginnie Mae II Pool 80687
4.50%	04/20/33	³		285,849		295,675
Ginnie Mae II Pool 81018
3.63%	08/20/34	³		206,055		211,928
Ginnie Mae II Pool 8339
3.13%	12/20/23	³		74,745		76,601
Ginnie Mae II Pool 8684
3.63%	08/20/25	³		106,335		109,366


						22,964,694


Total Mortgage-Backed
(Cost $52,180,684)						47,026,690


U.S. AGENCY SECURITIES — 8.33%
U.S. Agency Securities — 8.33%
Fannie Mae (STEP)
0.75%	01/22/13			1,240,000		1,240,042
Federal Home Loan Bank
0.33%	06/15/11	³		2,255,000		2,256,170
0.37%	11/28/11	³		1,125,000		1,125,814
Freddie Mac
0.29%	11/07/11	³		1,790,000		1,789,560
0.47%	02/03/12	³		1,015,000		1,016,062


Issues	Maturity Date	Principal Amount		Value
U.S. AGENCY SECURITIES (continued)
U.S. Agency Securities (continued)
1.25%	01/26/12	$	900,000	$	903,551


Total U.S. Agency Securities (Cost $8,326,489)					8,331,199


Total Bonds – 81.37% (Cost $90,227,994)					81,332,213


Issues	Maturity Date	Shares/ Principal Amount		Value
SHORT TERM INVESTMENTS — 27.03%
Commercial Paper — 1.73%
General Electric Capital Corp.
0.25%¹⁰	07/14/10	$	605,000		604,945
JPMorgan Chase & Co.
0.25%¹⁰	07/06/10		1,125,000		1,124,961


					1,729,906


Money Market Fund — 8.18%
Fidelity Institutional Money Market Funds - Prime Money Market Portfolio
0.22%¹¹			575,000		575,000
Goldman Sachs Financial Square Funds - Prime Obligations Fund
0.13%^11,12			7,600,000		7,600,000


					8,175,000


U.S. Agency Discount Notes — 17.12%
Fannie Mae
0.17%¹⁰	10/18/10		350,000		349,851
0.20%¹⁰	10/20/10		5,575,000		5,572,592
Freddie Mac
0.18%¹⁰	10/13/10		5,600,000		5,597,738
0.18%¹⁰	10/13/10		5,590,000		5,587,742


					17,107,923


Total Short Term Investments
(Cost $27,010,470)					27,012,829


Total Investments – 108.40%
(Cost $117,238,464)¹					108,345,042


Liabilities in Excess of Other
Assets – (8.40)%					(8,397,721	)


Net Assets – 100.00%				$	99,947,321


Expiration Date	Credit Rating^a	Premiums Paid/ (Received)	Notional Amount (000’s)^b	Appreciation	Value^c
SWAPS: CREDIT DEFAULT (WRITTEN) - SINGLE ISSUES
The Fund receives a fixed rate equal to 6.55% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the General Electric Capital Corp., 5.63%, due 09/15/17. Counterparty: CS First Boston
12/20/10	AAA	$—	$640	$16,045	$16,045
The Fund receives a fixed rate equal to 4.00% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the Berkshire Hathaway, Inc., 4.63%, due 10/15/13. Counterparty: Barclays Capital, Inc.
03/20/11	AAA	—	500	9,598	9,598


		$—	$1,140	$25,643	$25,643


	Expiration Date	Premiums Paid/ (Received)	Notional Amount (000’s)^b	Appreciation/ (Depreciation)	Value^c
SWAPS: CREDIT DEFAULT (WRITTEN) - TRADED INDICES
The Fund receives a fixed rate equal to 0.09% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 07-1, due 08/25/37. Counterparty: Goldman Sachs Group, Inc. (The)
	08/25/37	$(1,098,729)	$ 2,273	$(212,480)	$(1,311,209)
The Fund receives a fixed rate equal to 0.09% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 07-1, due 08/25/37. Counterparty: Morgan Stanley
	08/25/37	(931,531)	1,927	(180,146)	(1,111,677)
The Fund receives a fixed rate equal to 0.76% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-PENAAA 07-2, due 01/25/38. Counterparty: Barclays Capital, Inc.
	01/25/38	(2,836,384)	4,665	155,441	(2,680,943)
The Fund receives a fixed rate equal to 0.17% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 06-2, due 05/25/46. Counterparty: Bank of America Corp.
	05/25/46	(354,313)	456	(27,504)	(381,817)
The Fund receives a fixed rate equal to 0.17% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 06-2, due 05/25/46. Counterparty: CS First Boston
	05/25/46	(708,627)	912	(55,007)	(763,634)
The Fund receives a fixed rate equal to 0.17% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 06-2, due 05/25/46. Counterparty: CS First Boston
	05/25/46	(421,264)	547	(36,916)	(458,180)
The Fund receives a fixed rate equal to 0.17% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 06-2, due 05/25/46. Counterparty: Royal Bank of Scotland Group Plc
	05/25/46	(354,313)	456	(27,504)	(381,817)
The Fund receives a fixed rate equal to 0.17% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 06-2, due 05/25/46. Counterparty: Goldman Sachs Group, Inc. (The)
	05/25/46	(282,581)	365	(22,873)	(305,454)


		$(6,987,742)	$11,601	$(406,989)	$(7,394,731)

^a	Using Standard & Poor’s rating of the issuer.

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

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

Notes:

¹	Cost for federal income tax purposes is $117,238,464 and net unrealized appreciation/ (depreciation) consists of:


Gross unrealized appreciation	$	5,687,031
Gross unrealized depreciation		(14,580,453	)


Net unrealized depreciation	$	(8,893,422	)

²	U.S. dollar denominated security issued by foreign domiciled entity.

³	Floating rate security. The rate disclosed is that in effect at June 30, 2010.

⁴

Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The market value of these securities at June 30, 2010 was $4,412,590 representing 4.41% of total net assets.

⁵	Illiquid security as determined under procedures approved by the Fund’s Board of Trustees. The aggregate value of illiquid securities is $64,271 which is 0.06% of total net assets.

⁶	Security is currently in default with regards to scheduled interest or principal payments.

⁷	Non-income producing security.

⁸	Expected maturity date.

⁹	Non-Rule 144A securities determined to be restricted private placements under procedures approved by the Fund’s Board of Trustees. Information related to these securities is as follows:

Date of
Purchase

Security

Amortized
Cost

Value

% of
Total
Net Assets

02/04/09

HCA Term Loan A, 2.03%,

11/17/12

$587,281

$606,841

0.61%

¹⁰	Represents annualized yield at date of purchase.

¹¹	Represents the current yield as of June 30, 2010.

¹²	Securities, or a portion there of, pledged as collateral for swaps. The total market value of collateral pledged is $7,600,000.

†

Fair valued security. The aggregate value of fair valued securities is $1,062,672 which is 1.06% of total net assets, which have not been valued utilizing an independent quote and were valued pursuant to guidelines established by the Board of Trustees. This figure does not necessarily indicate the treatment of those securities under ASC 820, as discussed in the Notes to Financial Statements.

*	Securities with a call or reset feature will have an effective maturity date less than the stated maturity.

**	Securities backed by mortgage or consumer loans where payment is periodically made will have an effective maturity date less than the stated maturity date.

(AMBAC): American Municipal Bond Assurance Corp.

(IO): Interest only

(MTN): Medium term note

(STEP): Step coupon bond


Issues	Maturity Date		Principal Amount		Value
BONDS – 88.92%
ASSET-BACKED SECURITIES — 15.27%**
ABFS Mortgage Loan Trust 2002-2 A7 (STEP)
5.72%	07/15/33	²	$	34,360	$	34,128
Aerco Ltd. 2A A4 (United Kingdom)
0.87%	07/15/25	^2,3,4,†		7,719,360		7,101,944
Aircastle Aircraft Lease Backed Trust 2007-1A G1
0.61%	06/14/37	^2,4		4,220,502		3,418,679
Amresco Residential Securities Mortgage Loan Trust 1998-1 A5 (STEP)
7.57%	10/25/27	²		40,389		38,882
Babcock & Brown Air Funding I Ltd. 2007-1A G1 (Bermuda)
0.65%	11/14/33	^2,3,4,†		3,907,469		3,008,819
Bayview Financial Acquisition Trust 2005-A A1
1.35%	02/28/40	^2,4		5,718,836		3,100,754
Bayview Financial Revolving Mortgage Loan Trust 2005-E A1
1.35%	12/28/40	^2,4,†		8,562,279		4,881,503
Bear Stearns Asset Backed Securities Trust 2000-2 M2 (STEP)
8.28%	08/25/30	²		3,078,738		2,948,235
Capital One Prime Auto Receivables Trust 2006-2 A4
4.94%	07/15/12			6,354,703		6,381,581
Carrington Mortgage Loan Trust 2004-NC2 M1
1.04%	08/25/34	²		218,633		137,595
Carrington Mortgage Loan Trust 2007-FRE1 A3
0.61%	02/25/37	²		14,875,000		5,868,820
Castle Trust 2003-1AW A1
1.10%	05/15/27	^2,4,†		3,240,531		2,398,048
Chase Funding Mortgage Loan Asset-Backed Certificates 2001-4 1A6
6.24%	01/25/13	²		3,882,997		3,752,956
Chase Funding Mortgage Loan Asset-Backed Certificates 2002-2 2M1
1.25%	02/25/32	²		748,923		240,108
Citigroup Mortgage Loan Trust, Inc. 2006-AMC1 A2B
0.51%	09/25/36	²		7,252,029		3,228,991
Citigroup Mortgage Loan Trust, Inc. 2007-WFH1 A2
0.45%	01/25/37	²		216,473		205,904
Citigroup Mortgage Loan Trust, Inc. 2007-WFH2 A3
0.53%	03/25/37	²		150,000		66,929
Citigroup Mortgage Loan Trust, Inc. 2007-WFH4 A2C
1.65%	07/25/37	²		90,000		35,558


Issues	Maturity Date		Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Citigroup Mortgage Loan Trust, Inc. 2007-WFH4 M1
2.00%	07/25/37	^2,†	$	8,520,000	$	1,379,353
Conseco Finance 2001-D A5
6.19%	11/15/32	²		403,853		407,341
Conseco Financial Corp. 1994-1 A5
7.65%	04/15/19			389,065		404,814
Conseco Financial Corp. 1998-2 A5
6.24%	12/01/28	²		35,076		35,234
Countrywide Asset-Backed Certificates 2007-11 2A1
0.41%	06/25/47	²		439,582		422,169
Countrywide Asset-Backed Certificates 2007-4 A1A
0.38%	09/25/37	²		4,912,923		4,522,205
Countrywide Asset-Backed Certificates 2007-7 2A1
0.43%	10/25/47	²		379,444		360,136
Credit-Based Asset Servicing and Securitization LLC 2006-CB1 AF2 (STEP)
5.24%	01/25/36	²		3,126,789		1,886,167
Credit-Based Asset Servicing and Securitization LLC 2006-CB9 A4
0.58%	11/25/36	²		6,000,000		2,339,058
Credit-Based Asset Servicing and Securitization LLC 2007-CB2 A2B (STEP)
5.07%	02/25/37	^2,†		20,580,000		11,936,754
Credit-Based Asset Servicing and Securitization LLC 2007-CB5 A1
0.41%	04/25/37	²		2,947,281		2,068,423
Discover Card Master Trust 2009-A2 A
1.65%	02/17/15	²		2,400,000		2,443,047
First Alliance Mortgage Loan Trust 1994-3 A1
7.83%	10/25/25			1,504		1,429
First Union Home Equity Loan Trust 1997-3 B
7.39%	03/25/29			43,598		6,543
Ford Credit Auto Lease Trust 2009-A A2
2.60%	05/15/11	⁴		6,139,557		6,151,168
GE Dealer Floorplan Master Note Trust 2007-2 A
0.36%	07/20/12	²		6,525,000		6,523,757
GE SeaCo Finance SRL 2004-1A A (Barbados)
0.65%	04/17/19	^2,3,4,†		2,549,167		2,396,260
GE SeaCo Finance SRL 2005-1A A (Barbados)
0.60%	11/17/20	^2,3,4,†		2,437,500		2,230,354
Genesis Funding Ltd. 2006-1A G1 (Bermuda)
0.59%	12/19/32	^2,3,4,†		8,423,300		6,738,929
GMAC Mortgage Corp. Loan Trust 2000-HE2 A1
0.79%	06/25/30	²		2,627,542		1,416,713


Issues	Maturity Date		Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Green Tree 2008-MH1 A3
8.97%	04/25/38	⁴	$	5,405,585	$	5,839,914
Green Tree Home Improvement Loan Trust 1997-E HEB1
7.53%	01/15/29			3,048,488		2,959,303
Green Tree Recreational Equipment & Consumer Trust 1996-D Certificates
7.24%	12/15/22			107,923		79,244
GSAA Trust 2006-9 A4A
0.59%	06/25/36	²		13,188,285		6,324,444
GSC Partners Gemini Fund Ltd. 1A A (Cayman Islands)
0.94%	10/10/14	^2,3,4,†		623,026		591,885
Home Equity Mortgage Trust 2006-1 A1B
0.48%	05/25/36	²		870,119		734,359
HSBC Home Equity Loan Trust 2005-3 M1
0.77%	01/20/35	²		4,272,522		3,960,143
HSBC Home Equity Loan Trust 2006-3 A4
0.59%	03/20/36	²		8,680,000		6,736,331
HSBC Home Equity Loan Trust 2007-1 AS
0.55%	03/20/36	²		10,787,459		8,788,158
HSI Asset Securitization Corp. Trust 2006-OPT2 2A3
0.54%	01/25/36	²		2,391,287		2,191,806
JPMorgan Mortgage Acquisition Corp. 2007-CH1 AF2 (STEP)
5.45%	10/25/36	²		12,415,000		12,358,071
JPMorgan Mortgage Acquisition Corp. 2007-CH2 AF2 (STEP)
5.48%	01/25/37	²		15,300,000		11,121,991
JPMorgan Mortgage Acquisition Corp. 2007-CH5 A2
0.40%	05/25/37	²		2,744,760		2,556,146
JPMorgan Mortgage Acquisition Corp. 2007-HE1 AV4
0.63%	03/25/47	²		50,000		18,597
Lehman ABS Manufactured Housing Contract Trust 2001-B AIOC (IO)
0.55%	05/15/41	^2,5,†		356,919,551		5,378,331
Lehman XS Trust 2006-GP1 A4A
0.68%	05/25/46	²		12,240,489		3,129,053
MASTR Asset Backed Securities Trust 2007-HE1 A3
0.56%	05/25/37	²		55,000		24,792
Merrill Lynch First Franklin Mortgage Loan Trust 2007-3 A2C
0.53%	06/25/37	²		19,057,200		8,893,185
Mid-State Trust 2004-1 B
8.90%	08/15/37			938,050		905,851
Mid-State Trust 2006-1 A
5.79%	10/15/40	⁴		9,386,601		9,688,843


Issues	Maturity Date		Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Morgan Stanley ABS Capital I 2004-NC2 M2
2.15%	12/25/33	²	$	230,939	$	122,652
Morgan Stanley ABS Capital I 2007-HE7 M2
2.35%	07/25/37	²		3,525,000		241,558
Morgan Stanley Mortgage Loan Trust 2007-10XS A18
6.00%	07/25/47	²		14,553,770		10,304,724
Nationstar Home Equity Loan Trust 2007-A AV1
0.41%	03/25/37	²		2,237		2,206
Nationstar Home Equity Loan Trust 2007-A AV4
0.58%	03/25/37	²		5,928,000		3,262,309
Nationstar Home Equity Loan Trust 2007-B 2AV1
0.47%	04/25/37	²		336,174		320,780
Nationstar Home Equity Loan Trust 2007-C 2AV1
0.41%	06/25/37	²		39,990		38,600
Nationstar Home Equity Loan Trust 2007-C 2AV3
0.53%	06/25/37	²		7,807,200		4,382,509
Pegasus Aviation Lease Securitization 2000-1 B1
8.08%	03/25/30	^4,6,7		8,806,150		2,810
Popular ABS Mortgage Pass-Through Trust 2007-A A3
0.66%	06/25/47	²		70,000		25,368
Residential Funding Mortgage Securities II, Inc. 2000-HI1 AI7 (STEP)
8.79%	02/25/25	²		9,537		8,878
Resmae Mortgage Loan Trust 2006-1 A1B
0.62%	02/25/36	^2,4		2,142,840		389,800
Securitized Asset Backed Receivables LLC Trust 2007-BR5 A2A
0.48%	05/25/37	²		8,711,991		6,464,598
SG Mortgage Securities Trust 2006-FRE1 A1B
0.62%	02/25/36	²		1,747,971		1,062,932
Soundview Home Equity Loan Trust 2006-OPT1 2A4
0.62%	03/25/36	²		7,300,000		3,962,298
Soundview Home Equity Loan Trust 2006-WF2 A2C
0.49%	12/25/36	²		12,000,000		9,630,011
Soundview Home Equity Loan Trust 2007-OPT5 M2
2.50%	10/25/37	^2,4		90,000		9,185
Specialty Underwriting & Residential Finance 2005-AB1 A1C
0.69%	03/25/36	²		6,973,805		6,327,406
Structured Asset Securities Corp. 2007-BC2 A3
0.48%	03/25/37	²		1,000,000		790,873


Issues	Maturity Date		Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Terwin Mortgage Trust 2004-7HE A1
0.90%	07/25/34	^2,4	$	142,962	$	123,395
Terwin Mortgage Trust 2005-9HGS A1
4.00%	08/25/35	^2,4		361,586		339,656
Textainer Marine Containers Ltd. 2005-1A A (Bermuda)
0.60%	05/15/20	^2,3,4		2,384,583		2,171,458
Triton Container Finance LLC 2006-1A
0.52%	11/26/21	^2,4		5,422,083		4,863,726
Triton Container Finance LLC 2007-1A
0.49%	02/26/19	^2,4		3,602,083		3,320,430
Wells Fargo Home Equity Trust 2007-2 A1
0.44%	04/25/37	²		727,029		697,133


Total Asset-Backed Securities (Cost $311,023,932)						251,665,030


CORPORATES — 24.21%*
Banking — 4.88%
Ally Financial, Inc.
2.74%	12/01/14	²		1,424,000		1,215,740
Bank of America Corp. L (MTN)
5.65%	05/01/18			300,000		307,927
Bank of America N.A.
0.84%	06/15/17	²		2,500,000		2,145,548
BankAmerica Capital III
0.87%	01/15/27	²		2,881,000		1,872,650
BankAmerica Institutional Capital A
8.07%	12/31/26	⁴		5,250,000		5,131,875
Capital One Financial Corp.
7.38%	05/23/14			5,000,000		5,722,170
Chase Capital II B
0.84%	02/01/27	²		6,655,000		5,018,476
City National Corp.
5.13%	02/15/13			8,000,000		8,364,256
Credit Suisse/Guernsey 1 (Switzerland)
1.13%	05/29/49	^2,3		8,390,000		5,974,100
Credit Suisse/New York (MTN) (Switzerland)
3.45%	07/02/12	³		1,825,000		1,885,877
5.00%	05/15/13	³		11,000,000		11,760,067
Deutsche Bank AG/London (Germany)
4.88%	05/20/13	³		7,640,000		8,162,973
JPMorgan Chase & Co.
4.75%	05/01/13			30,000		32,025
JPMorgan Chase & Co. C (MTN)
0.00%	07/23/13	²		1,500,000		1,443,450
Nationsbank Capital Trust III
0.85%	01/15/27	²		7,650,000		5,072,011
NB Capital Trust II
7.83%	12/15/26			3,200,000		3,096,000


Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Banking (continued)
Royal Bank of Scotland Plc (The) (United Kingdom)
4.88%	03/16/15	³	$	7,117,000	$	7,088,489
Wachovia Corp. (MTN)
5.50%	05/01/13			5,655,000		6,141,624


						80,435,258


Communications — 1.06%
Cellco Partnership/Verizon Wireless Capital LLC
3.75%	05/20/11			5,440,000		5,573,008
Qwest Corp.
7.88%	09/01/11			7,220,000		7,544,900
Telecom Italia Capital SA (Luxembourg)
6.20%	07/18/11	³		4,060,000		4,208,190
Visant Holding Corp.
8.75%	12/01/13			200,000		203,000


						17,529,098


Electric — 1.71%
AES Corp. (The)
8.75%	05/15/13	⁴		92,000		93,840
Cedar Brakes I LLC
8.50%	02/15/14	⁴		1,772,066		1,776,009
Cedar Brakes II LLC
9.88%	09/01/13	⁴		6,004,583		6,199,978
FPL Energy National Wind Portfolio LLC
6.13%	03/25/19	⁴		109,751		107,681
KCP&L Greater Missouri Operations Co.
7.95%	02/01/11			2,500,000		2,586,913
11.88%	07/01/12			7,149,000		8,236,420
Mirant Mid Atlantic Pass-Through Trust A
8.63%	06/30/12			2,506,291		2,556,417
NiSource Finance Corp.
7.88%	11/15/10			2,050,000		2,095,231
W3A Funding Corp.
8.09%	01/02/17			4,332,070		4,513,527


						28,166,016


Energy — 1.07%
Allis-Chalmers Energy, Inc.
9.00%	01/15/14			450,000		417,375
Aquila Canada Finance Corp. (Canada)
7.75%	06/15/11	³		1,835,000		1,920,140
Chesapeake Energy Corp.
7.00%	08/15/14			250,000		255,313
Comstock Resources, Inc.
6.88%	03/01/12			150,000		149,625
Corral Petroleum Holdings AB (Sweden)
2.00%	09/18/11	^2,3,4		199,463		184,503


Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Energy (continued)
Hilcorp Energy I LP/Hilcorp Finance Co.
7.75%	11/01/15	⁴	$	575,000	$	569,250
Massey Energy Co.
6.88%	12/15/13			375,000		367,969
OPTI Canada, Inc. (Canada)
7.88%	12/15/14	³		250,000		217,500
Premcor Refining Group, Inc. (The)
6.13%	05/01/11			8,000,000		8,218,512
Sempra Energy Employee Stock Ownership Plan & Trust
5.78%	11/01/14	^4,†		5,000,000		5,039,453
Sonat, Inc.
7.63%	07/15/11			350,000		362,801


						17,702,441


Finance — 9.63%
Bear Stearns Cos., Inc. (The) (MTN)
6.95%	08/10/12			10,000,000		11,047,701
Citigroup, Inc.
5.30%	10/17/12			1,424,000		1,476,500
5.50%	04/11/13			11,034,000		11,477,214
5.50%	10/15/14			3,510,000		3,612,102
6.00%	12/13/13			2,500,000		2,624,815
6.38%	08/12/14			8,000,000		8,535,598
Countrywide Financial Corp. (MTN)
5.80%	06/07/12			5,660,000		5,970,517
General Electric Capital Corp. (MTN)
0.68%	06/20/14	²		3,500,000		3,300,903
0.73%	05/05/26	²		6,300,000		4,932,409
General Electric Capital Corp. A (MTN)
0.80%	09/15/14	²		10,169,000		9,595,773
General Electric Capital Corp. E (MTN)
0.59%	03/20/14	²		5,500,000		5,184,256
Goldman Sachs Group, Inc. (The)
0.79%	01/12/15	²		2,500,000		2,304,160
1.15%	12/05/11	²		10,970,000		11,100,247
5.13%	01/15/15			1,400,000		1,472,092
5.45%	11/01/12			8,000,000		8,453,623
6.15%	04/01/18			2,500,000		2,622,820
Goldman Sachs Group, Inc. B (The) (MTN)
0.71%	07/22/15	²		800,000		723,230
JPMorgan Chase Capital XIII M
1.48%	09/30/34	²		2,465,000		1,836,161
JPMorgan Chase Capital XXI U
1.29%	02/02/37	²		3,250,000		2,371,070
Lehman Brothers Holdings, Inc. (MTN)
0.00%	06/20/16	^2,6,7		4,835,000		918,650
8.92%	02/16/17	^6,7		4,198,000		797,620
11.00%	11/07/16	^2,6,7		6,776,000		1,287,440


Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Finance (continued)
MBNA Capital A
8.28%	12/01/26		$	1,074,000	$	1,055,205
MBNA Capital B
1.14%	02/01/27	²		2,891,000		1,960,965
Merrill Lynch & Co., Inc. (MTN)
8.68%	05/02/17	²		30,000		31,988
8.95%	05/18/17	²		30,000		32,213
9.57%	06/06/17	²		5,184,000		5,695,920
Morgan Stanley
0.55%	01/18/11	²		4,405,000		4,377,411
0.78%	10/15/15	²		2,830,000		2,529,491
0.89%	06/20/12	²		9,655,000		9,745,730
4.20%	11/20/14			750,000		741,310
6.00%	05/13/14			1,325,000		1,407,729
Morgan Stanley (MTN)
5.63%	01/09/12			5,000,000		5,217,406
Morgan Stanley 1
1.39%	12/01/11	²		4,115,000		4,175,453
Morgan Stanley G (MTN)
0.60%	01/09/14	²		1,405,000		1,294,574
Pemex Finance Ltd. (Cayman Islands)
8.88%	11/15/10	³		977,867		1,002,548
Power Receivable Finance LLC
6.29%	01/01/12	⁴		786,497		802,306
6.29%	01/01/12			825,543		842,136
Prudential Holdings LLC (AGM)
1.41%	12/18/17	^2,4		10,665,000		9,103,825
Woodbourne Capital Trust I
2.73%	04/08/49	^2,4,5		1,000,000		430,000
Woodbourne Capital Trust II
2.73%	04/08/49	^2,4,5		1,000,000		430,000
Woodbourne Capital Trust IV
2.73%	04/08/49	^2,4,5		1,000,000		430,000
ZFS Finance USA Trust I
6.15%	12/15/65	^2,4		6,000,000		5,640,000


						158,591,111


Health Care — 0.50%
CHS/Community Health Systems, Inc.
8.88%	07/15/15			250,000		257,500
UnitedHealth Group, Inc.
4.88%	02/15/13			7,348,000		7,900,555


						8,158,055


Insurance — 1.45%
Berkshire Hathaway, Inc.
0.86%	02/11/13	²		5,475,000		5,488,923
Farmers Insurance Exchange
6.00%	08/01/14	⁴		2,000,000		2,068,510


Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Insurance (continued)
Metropolitan Life Global Funding I
2.44%	06/10/11	^2,4	$	2,000,000	$	2,025,608
2.88%	09/17/12	⁴		2,810,000		2,849,110
5.13%	04/10/13	⁴		4,550,000		4,924,337
5.13%	06/10/14	⁴		3,230,000		3,511,960
Nationwide Mutual Insurance Co.
5.81%	12/15/24	^2,4		3,550,000		3,021,156


						23,889,604


Materials — 0.01%
Lyondell Chemical Co.
11.00%	05/01/18			93,569		100,821


Real Estate Investment Trust (REIT) — 2.43%
AvalonBay Communities, Inc. (MTN)
6.13%	11/01/12			1,057,000		1,142,881
Duke Realty LP
5.88%	08/15/12			956,000		1,003,346
6.25%	05/15/13			9,000,000		9,598,365
HCP, Inc.
6.45%	06/25/12			4,000,000		4,264,300
HCP, Inc. (MTN)
6.30%	09/15/16			7,600,000		7,875,515
Liberty Property LP
5.13%	03/02/15			4,180,000		4,323,269
Shurgard Storage Centers LLC
7.75%	02/22/11			1,500,000		1,540,435
WEA Finance LLC/WT Finance
7.50%	06/02/14	⁴		4,000,000		4,585,762
Westfield Capital Corp. Ltd. (Multinational)
4.38%	11/15/10	^3,4		5,690,000		5,752,283


						40,086,156


Services — 0.03%
Mobile Mini, Inc.
6.88%	05/01/15			375,000		349,687
United Rentals North America, Inc.
7.00%	02/15/14			125,000		118,125


						467,812


Transportation — 1.44%
American Airlines Pass-Through Trust 2001-02
6.98%	04/01/11	⁸		10,790		10,763
American Airlines Pass-Through Trust 2003-1 (AMBAC)
3.86%	07/09/10			4,709,273		4,715,018
Continental Airlines Pass-Through Trust 1997-4 A
6.90%	01/02/18			185,249		185,712


Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Transportation (continued)
Delta Air Lines, Inc. 2001 A1
6.62%	03/18/11		$	3,125,920	$	3,110,290
Delta Air Lines, Inc. 2001 A2
7.11%	09/18/11			8,751,000		9,111,979
Northwest Airlines, Inc. 2001 1A-2
6.84%	04/01/11			1,500,000		1,517,250
UAL Pass-Through Trust 2009-1
10.40%	11/01/16			4,645,555		5,017,200


						23,668,212


Total Corporates (Cost $397,088,926)						398,794,584


BANK LOANS — 0.62%*
Communications — 0.08%
Charter Communications, Inc. Term Loan 3rd Lien
3.04%	09/06/14	⁹		500,000		446,750
Dex Media West LLC Term Loan
7.50%	10/24/14	^2,9		846,058		762,661
Univision Communications, Inc. 1st Lien Strip
2.60%	09/29/14	⁹		124,211		104,562


						1,313,973


Electric — 0.04%
TPF Generation Holdings LLC 2nd Lien
4.78%	12/15/14	⁹		250,000		224,250
TXU Energy Term Loan B3
3.85%	10/10/14	⁹		486,250		360,661


						584,911


Health Care — 0.38%
Carestream Health, Inc. Term Loan
5.60%	10/30/13	⁹		500,000		463,541
HCA Term Loan A
2.03%	11/17/12	⁹		6,081,382		5,760,529


						6,224,070


Insurance — 0.01%
Asurion Corp. Term Loan
3.36%	07/07/14	⁹		248,125		235,542

Services — 0.04%
Cengage Learning Term Loan B
3.03%	07/03/14	⁹		729,375		631,912

Transportation — 0.07%
Delta Air Lines, Inc. Term Loan 1st Lien
2.21%	04/30/12	⁹		960,102		919,298


Issues	Maturity Date		Principal Amount		Value
BANK LOANS (continued)
Transportation (continued)
United Air Lines, Inc.
2.36%	02/01/14	⁹	$	346,111	$	304,954


						1,224,252


Total Bank Loans (Cost $10,574,855)						10,214,660


MORTGAGE-BACKED — 32.03%**
Commercial Mortgage-Backed — 7.91%
Bayview Commercial Asset Trust 2005-1A A1
0.65%	04/25/35	^2,4		1,152,607		913,306
Bayview Commercial Asset Trust 2005-2A A1
0.66%	08/25/35	^2,4		602,935		414,187
Bayview Commercial Asset Trust 2006-3A A1
0.60%	10/25/36	^2,4		4,968,913		3,283,341
Bayview Commercial Asset Trust 2007-1 A1
0.57%	03/25/37	^2,4		142,580		103,825
Bayview Commercial Asset Trust 2007-3 A1
0.59%	07/25/37	^2,4		686,963		421,515
Bear Stearns Commercial Mortgage Securities 2007-T28 AAB
5.75%	09/11/42			5,247,000		5,755,490
Bear Stearns Commercial Mortgage Securities, Inc. 2003-T12 A4
4.68%	08/13/39	²		7,195,000		7,609,799
Bear Stearns Commercial Mortgage Securities, Inc. 2005-T20 A4A
5.15%	10/12/42	²		7,620,000		8,121,241
Chase Commercial Mortgage Securities Corp. 2000-3 A2
7.32%	10/15/32			6,901,401		6,920,961
Commercial Mortgage Loan Trust 2008-LS1 A4B
6.02%	12/10/49	²		8,485,000		8,407,685
Credit Suisse First Boston Mortgage Securities Corp. 2004-C5 A2
4.18%	11/15/37			2,950,823		2,951,627
Credit Suisse Mortgage Capital Certificates 2007-C2 A2
5.45%	01/15/49	²		8,000,000		8,183,874
First Union National Bank-Bank of America Commercial Mortgage Trust 2001-C1 A2
6.14%	03/15/33			4,801,716		4,847,346
GE Capital Commercial Mortgage Corp. 2005-C4 A3A
5.51%	11/10/45	²		2,235,000		2,358,426
GMAC Commercial Mortgage Securities, Inc. 2000-C3 A2
6.96%	09/15/35			5,090,880		5,129,828


Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed (continued)
GMAC Commercial Mortgage Securities, Inc. 2004-C1 A4
4.91%	03/10/38		$	410,000	$	418,279
Greenwich Capital Commercial Funding Corp. 2004-GG1 A7
5.32%	06/10/36	²		7,150,000		7,520,942
Greenwich Capital Commercial Funding Corp. 2006-GG7 A4
5.89%	07/10/38	²		5,955,000		6,235,482
JPMorgan Chase Commercial Mortgage Securities Corp. 2007-CB19 A4
5.74%	02/12/49	²		1,918,000		1,911,934
JPMorgan Chase Commercial Mortgage Securities Corp. 2007-LD11 A2
5.97%	06/15/49	²		4,179,000		4,319,978
JPMorgan Chase Commercial Mortgage Securities Corp. 2007-LD12 A2
5.83%	02/15/51			7,450,000		7,733,893
JPMorgan Chase Commercial Mortgage Securities Corp. 2007-LD12 A4
5.88%	02/15/51	²		3,030,000		3,045,340
JPMorgan Chase Commercial Mortgage Securities Corp. 2007-LDPX A3
5.42%	01/15/49			2,830,000		2,771,643
Merrill Lynch/Countrywide Commercial Mortgage Trust 2006-4 A3
5.17%	12/12/49	²		4,840,000		4,788,144
Merrill Lynch/Countrywide Commercial Mortgage Trust 2007-7 A4
5.81%	06/12/50	²		7,300,000		7,155,353
Morgan Stanley Capital I 2005-T19 A4A
4.89%	06/12/47			405,000		429,416
Morgan Stanley Capital I 2007-IQ16 A4
5.81%	12/12/49			2,570,000		2,666,385
Morgan Stanley Capital I 2007-T27 A4
5.80%	06/11/42	²		265,000		278,105
Morgan Stanley Dean Witter Capital I 2001-TOP3 A4
6.39%	07/15/33			4,488,703		4,637,611
TIAA Seasoned Commercial Mortgage Trust 2007-C4 A3
6.07%	08/15/39	²		10,040,000		10,956,579


						130,291,535


Non-Agency Mortgage-Backed — 10.52%
Adjustable Rate Mortgage Trust 2005-1 1A1
3.66%	05/25/35	^2,†		10,711,909		6,870,491
American Home Mortgage Assets 2007-2 A1
0.47%	03/25/47	²		21,254,377		10,760,998
American Home Mortgage Assets 2007-4 A2
0.54%	08/25/37	²		22,500,000		14,999,951


Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
American Home Mortgage Investment Trust 2004-2 2A
2.68%	02/25/44	²	$	13,547,607	$	12,146,118
Banc of America Funding Corp. 2007-5 3A1
6.00%	07/25/37			10,304,182		7,485,303
Banc of America Funding Corp. 2007-8 2A1
7.00%	10/25/37			9,089,208		6,467,081
Banco de Credito Y Securitizacion SA 2001-1 AF (Argentina)
8.00%	05/31/10	^3,4,5		571,163		45,693
Bear Stearns Mortgage Funding Trust 2006-AR3 2A1
0.55%	11/25/36	²		13,310,871		7,126,567
Bear Stearns Mortgage Funding Trust 2007-AR4 2A1
0.56%	06/25/37	²		16,391,521		8,808,336
BHN I Mortgage Fund 2000-1 AF (Argentina)
8.00%	03/31/11	^3,4,5		9,000		1,080
BlackRock Capital Finance LP 1997-R2 AP
10.32%	12/25/35	^2,4,5		14,653		14,661
Chase Mortgage Finance Corp. 2007-A2 2A3
3.56%	07/25/37	²		11,674,446		11,230,677
Chase Mortgage Finance Corp. 2007-S2 1A7
6.00%	03/25/37			4,617,134		4,530,322
Chevy Chase Mortgage Funding Corp. 2005-2A A1
0.53%	05/25/36	^2,4		3,416,131		1,863,267
Chevy Chase Mortgage Funding Corp. 2005-AA B2
0.97%	01/25/36	^2,4		702,064		–
Citigroup Mortgage Loan Trust, Inc. 2004-HYB1 A41
5.13%	02/25/34	²		582,081		581,745
Countrywide Alternative Loan Trust 2005-27 2A1
1.77%	08/25/35	²		2,345,238		1,072,532
Countrywide Alternative Loan Trust 2005-51 2A2A
0.64%	11/20/35	²		62,391		60,697
Countrywide Alternative Loan Trust 2005-59 1A1
0.67%	11/20/35	²		9,927,968		5,759,825
Countrywide Alternative Loan Trust 2005-72 A1
0.62%	01/25/36	²		881,148		534,859
Countrywide Alternative Loan Trust 2006-46 A4
6.00%	02/25/47			8,779,456		7,616,144
Countrywide Alternative Loan Trust 2006-OA12 A2
0.56%	09/20/46	²		4,924,779		2,156,596


Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Countrywide Home Loan Mortgage Pass-Through Trust 2004-14 4A1
5.11%	08/25/34	²	$	111,138	$	110,609
DLJ Mortgage Acceptance Corp. 1996-QA S (IO)
3.26%	01/25/26	^2,4,5		98,077		61
Downey Savings & Loan Association Mortgage Loan Trust 2005-AR2 2A1A
0.56%	03/19/45	²		3,823,076		2,178,060
Downey Savings & Loan Association Mortgage Loan Trust 2006-AR1 2A1A
1.35%	04/19/47	²		89,180		51,815
First Horizon Alternative Mortgage Securities 2004-AA3 A1
2.33%	09/25/34	²		35,054		27,874
First Horizon Asset Securities, Inc. 2002-7 2A2
5.25%	12/25/17			27,944		28,178
Harborview Mortgage Loan Trust 2006-3 2A1A
6.23%	06/19/36	²		2,976,098		1,665,933
Harborview Mortgage Loan Trust 2007-2 2A1A
0.51%	05/25/38	²		15,930,663		8,645,651
Impac CMB Trust 2005-5 A1
0.67%	08/25/35	²		5,544,904		3,890,693
IndyMac Index Mortgage Loan Trust 2004-AR12 A1
0.74%	12/25/34	²		637,590		334,085
IndyMac Index Mortgage Loan Trust 2004-AR8 2A2A
0.75%	11/25/34	²		2,407,113		1,484,322
JPMorgan Mortgage Trust 2005-A3 5A3
2.84%	06/25/35	²		156,547		122,601
MASTR Adjustable Rate Mortgages Trust 2003-6 4A2
5.18%	01/25/34	²		127,777		127,683
MASTR Adjustable Rate Mortgages Trust 2004-1 2A1
4.63%	01/25/34	²		266,596		238,672
MASTR Adjustable Rate Mortgages Trust 2004-5 3A1
2.77%	06/25/34	²		273,190		224,110
MASTR Seasoned Securities Trust 2004-1 4A1
3.15%	10/25/32	²		844,214		689,358
Merrill Lynch Alternative Note Asset 2007-AF1 AV1
5.42%	06/25/37	²		7,721,461		3,998,107
Residential Asset Mortgage Products, Inc. 2004-SL4 A3
6.50%	07/25/32			2,605,202		2,693,045


Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Residential Asset Mortgage Products, Inc. 2005-SL1 A5
6.50%	05/25/32		$	5,063,451	$	4,740,458
Structured Asset Mortgage Investments, Inc. 2005-AR7 1A1
2.76%	12/27/35	²		17,465,485		9,802,722
Structured Asset Mortgage Investments, Inc. 2006-AR8 A1A
0.55%	10/25/36	²		15,431,780		8,547,964
Structured Asset Securities Corp. 2002-5A 6A
6.16%	04/25/32	²		24,965		23,622
Washington Mutual Alternative Mortgage Pass-Through Certificates 2007-OA3 4A1
1.19%	04/25/47	²		15,608,195		8,268,574
Washington Mutual Mortgage Pass-Through Certificates 2002-AR18 A
2.77%	01/25/33	²		470,978		467,319
Washington Mutual Mortgage Pass-Through Certificates 2005-AR2 2A21
0.68%	01/25/45	²		1,453,859		1,103,380
Washington Mutual Mortgage Pass-Through Certificates 2006-AR7 3A1B
3.33%	07/25/46	²		10,828,854		3,768,582


						173,366,421


U.S. Agency Mortgage-Backed — 13.60%
Fannie Mae 1997-76 FS
0.83%	09/17/27	²		56,605		56,012
Fannie Mae 2006-B2 AB
5.50%	05/25/14			5,663,856		5,817,141
Fannie Mae 2007-64 FA
0.82%	07/25/37	²		8,672,996		8,630,345
Fannie Mae 2010-26 S (IO)
5.88%	11/25/36	²		83,097,481		8,805,882
Fannie Mae 2010-43 DP
5.00%	05/25/40			14,284,163		15,139,147
Fannie Mae G92-10 Z
7.75%	01/25/22			16,657		18,688
Fannie Mae Pool 555177
2.55%	01/01/33	²		68,620		71,343
Fannie Mae Pool 555284
7.50%	10/01/17			3,982		4,309
Fannie Mae Pool 555424
5.50%	05/01/33			17,585,789		18,939,070
Fannie Mae Pool 567002
8.00%	05/01/23			124,869		143,041
Fannie Mae Pool 735861
6.50%	09/01/33			56,481		63,068
Fannie Mae Pool 745383
2.95%	12/01/35	²		2,948,140		3,080,709


Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool 770900
2.45%	04/01/34	²	$	821,405	$	857,818
Fannie Mae Pool 805256
3.25%	01/01/35	²		1,024,243		1,058,786
Fannie Mae Pool 890141
5.50%	12/01/20			18,565,188		20,112,124
Fannie Mae Pool 942553
5.89%	08/01/37	²		12,785,917		13,621,004
Fannie Mae Pool 995793
5.50%	09/01/36			15,085,610		16,244,138
Freddie Mac 2174 PN
6.00%	07/15/29			3,377,495		3,691,052
Freddie Mac 2454 FQ
1.35%	06/15/31	²		57,577		58,755
Freddie Mac 2561 BX (IO)
5.00%	05/15/17			479,306		17,035
Freddie Mac 2657 LX (IO)
6.00%	05/15/18			34,490		2,924
Freddie Mac 3346 FA
0.58%	02/15/19	²		18,216,417		18,248,963
Freddie Mac 3626 MA
5.00%	02/15/30			9,967,549		10,653,515
Freddie Mac 3672 A
6.00%	05/15/40			10,554,599		11,321,445
Freddie Mac Gold A45796
7.00%	01/01/33			38,079		43,201
Freddie Mac Gold C46104
6.50%	09/01/29			41,175		45,835
Freddie Mac Gold G13032
6.00%	09/01/22			11,408,246		12,463,509
Freddie Mac Gold G13475
6.00%	01/01/24			1,403,523		1,529,566
Freddie Mac Non Gold Pool 1B1928
3.41%	08/01/34	²		2,340,195		2,432,972
Freddie Mac Non Gold Pool 1G2627
6.02%	03/01/37	²		7,549,936		7,914,364
Freddie Mac Non Gold Pool 1J1393
6.24%	10/01/36	²		8,540,829		8,986,215
Freddie Mac Non Gold Pool 1J1509
6.33%	11/01/36	²		6,127,041		6,465,755
Freddie Mac Non Gold Pool 1L0113
3.47%	05/01/35	²		2,437,125		2,545,221
Freddie Mac Non Gold Pool 1N0371
6.19%	01/01/37	²		7,899,785		8,408,499
Freddie Mac Non Gold Pool 1N1446
4.68%	01/01/37	²		6,644,561		6,901,403
Freddie Mac Non Gold Pool 1Q0196
5.79%	02/01/37	²		5,521,781		5,870,827


Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Non Gold Pool 786781
3.38%	08/01/29	²	$	172,572	$	179,547
Ginnie Mae 2003-28 LI (IO)
5.50%	02/20/32			589,792		17,592
Ginnie Mae GNSF (TBA)
4.50%	07/15/40			854,000		889,761
5.00%	07/15/40			1,020,000		1,086,619
Ginnie Mae I Pool 422972
6.50%	07/15/29			70,908		79,519
Ginnie Mae II Pool 1849
8.50%	08/20/24			1,774		2,053
Ginnie Mae II Pool 2020
8.50%	06/20/25			4,036		4,679
Ginnie Mae II Pool 2286
8.50%	09/20/26			4,118		4,781
Ginnie Mae II Pool 2487
8.50%	09/20/27			22,610		26,289
Ginnie Mae II Pool 80059
4.38%	04/20/27	²		57,079		59,001
Ginnie Mae II Pool 80589
3.50%	03/20/32	²		159,009		163,097
Ginnie Mae II Pool 80610
4.38%	06/20/32	²		40,691		42,061
Ginnie Mae II Pool 80968
3.63%	07/20/34	²		1,120,172		1,154,354
Ginnie Mae II Pool 81201
3.00%	01/20/35	²		27,345		27,993
Ginnie Mae II Pool 8599
3.38%	02/20/25	²		49,336		50,574


						224,051,601

Total Mortgage-Backed
(Cost $581,970,854)						527,709,557


MUNICIPAL BONDS — 0.98%*
California — 0.51%
State of California, Recreational Facility Improvements, G.O., Taxable Variable Purpose 3
5.45%	04/01/15			1,715,000		1,800,818
State of California, Refunding Bonds, G.O., Taxable Variable Purpose
4.85%	10/01/14			4,500,000		4,670,505
State of California, School Improvements, G.O., Taxable Variable Purpose
5.50%	03/01/16			1,775,000		1,846,444


						8,317,767

Illinois — 0.47%
State of Illinois, Pension Funding G.O., Taxable


Issues	Maturity Date		Principal Amount		Value
MUNICIPAL BONDS (continued)
Illinois (continued)
4.07%	01/01/14		$	7,900,000	$	7,809,229

Total Municipal Bonds (Cost $15,983,970)						16,126,996

U.S. AGENCY SECURITIES — 6.37%
Fannie Mae 1
2.00%	04/19/13			15,795,000		16,003,101
Federal Home Loan Bank
0.33%	06/15/11	²		32,665,000		32,681,953
Freddie Mac
0.29%	11/07/11	²		8,880,000		8,877,816
0.47%	02/03/12	²		14,440,000		14,455,104
1.00%	08/28/12			16,365,000		16,438,364
1.25%	01/26/12			16,405,000		16,469,718
Total U.S. Agency Securities (Cost $104,754,808)						104,926,056


U.S. TREASURY SECURITIES — 9.44%
U.S. Treasury Notes — 9.44%
U.S. Treasury Notes
0.63%	06/30/12			100,000,000		100,023,600
1.13%	06/15/13			28,162,000		28,278,478
2.13%	05/31/15			26,770,000		27,234,352

						155,536,430

Total U.S. Treasury Securities (Cost $154,935,785)						155,536,430

Total Bonds – 88.92% (Cost $1,576,333,130)						1,464,973,313


Issues	Maturity Date		Shares/ Principal Amount		Value
SHORT TERM INVESTMENTS — 18.41%
Money Market Fund — 9.69%
Dreyfus Cash Advantage Fund
0.19%¹⁰			$	38,167,000		38,167,000
Fidelity Institutional Money Market Funds - Prime Money Market Portfolio
0.22%¹⁰				73,690,000		73,690,000
Goldman Sachs Financial Square Funds - Prime Obligations Fund
0.13%^10,11				47,791,100		47,791,100


						159,648,100


U.S. Agency Discount Notes — 8.63%
Fannie Mae
0.17%¹²	10/18/10			7,230,000		7,226,935
Freddie Mac
0.17%¹²	10/13/10			80,995,000		80,962,278


Issues	Maturity Date		Shares/ Principal Amount		Value
SHORTTERM INVESTMENTS (continued)
U.S. Agency Discount Notes (continued)
0.17%¹²	10/19/10		$	53,990,000	$	53,966,892


						142,156,105

U.S. Treasury Bills — 0.09%
U.S. Treasury Bills
0.15%¹²	08/12/10	¹³		1,475,000		1,474,922

Total Short Term Investments (Cost $303,266,297)						303,279,127

Total Investments – 107.33% (Cost $1,879,599,427)¹						1,768,252,440


Liabilities in Excess of Other Assets – (7.33)%						(120,837,842	)


Net Assets – 100.00%					$	1,647,414,598


		Unrealized
Contracts		Appreciation
FUTURES CONTRACTS: LONG POSITIONS
856	U.S. Treasury Two Year Note,
	Expiration September 2010	$754,279

	Net unrealized appreciation	$754,279


	Expiration Date	Premiums Paid/ Received	Notional Amount (000’s)^b	Appreciation/ Depreciation		Value
SWAPS: CREDIT DEFAULT (PURCHASED) - SINGLE ISSUES
The Fund pays a fixed rate equal to 0.53% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Home Depot, Inc., 3.75%, due 09/15/09. Counterparty: Morgan Stanley
	09/20/12	$–	$4,250	$ (18,693)		$ (18,693)
The Fund pays a fixed rate equal to 0.41% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Lowe’s Cos., Inc., 8.25%, due 06/01/10. Counterparty: Citigroup, Inc.
	12/20/12	–	1,250	(866	)	(866	)
The Fund pays a fixed rate equal to 0.45% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Lowe’s Cos., Inc., 8.25%, due 06/01/10. Counterparty: Citigroup, Inc.
	12/20/12	–	2,750	(4,648	)	(4,648	)
The Fund pays a fixed rate equal to 3.65% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Centex Corp., 5.25%, due 06/15/15. Counterparty: Merrill Lynch & Co., Inc.
	12/20/12	–	1,850	(116,644	)	(116,644	)
The Fund pays a fixed rate equal to 3.56% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Centex Corp., 5.25%, due 06/15/15. Counterparty: Merrill Lynch & Co., Inc.
	12/20/12	–	2,800	(170,335	)	(170,335	)
The Fund pays a fixed rate equal to 0.74% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Home Depot, Inc., 3.75%, due 09/15/09. Counterparty: Citigroup, Inc.
	12/20/12	–	1,425	(13,211	)	(13,211	)


	Expiration Date	Premiums Paid/ Received		Notional Amount (000’s)^b	Appreciation/ Depreciation		Value
SWAPS: CREDIT DEFAULT (PURCHASED) - SINGLE ISSUES (continued)
The Fund pays a fixed rate equal to 0.72% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Home Depot, Inc., 3.75%, due 09/15/09. Counterparty: Merrill Lynch & Co., Inc.
	12/20/12	$ –		$1,325	$ (11,623)		$ (11,623)
The Fund pays a fixed rate equal to 2.25% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Darden Restaurants, Inc., 7.13%, due 02/01/16. Counterparty: Deutsche Bank AG
	03/20/13	–		900	(37,908	)	(37,908	)
The Fund pays a fixed rate equal to 2.25% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Darden Restaurants, Inc., 7.13%, due 02/01/16. Counterparty: Morgan Stanley
	03/20/13	–		900	(37,908	)	(37,908	)
The Fund pays a fixed rate equal to 1.85% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Darden Restaurants, Inc., 7.13%, due 02/01/16. Counterparty: Goldman Sachs Group, Inc. (The)
	06/20/13	–		1,600	(52,420	)	(52,420	)
The Fund pays a fixed rate equal to 4.40% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Centex Corp., 5.25%, due 06/15/15. Counterparty: Deutsche Bank AG
	12/20/13	–		275	(28,478	)	(28,478	)
The Fund pays a fixed rate equal to 2.25% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Darden Restaurants, Inc., 6.00%, due 08/15/35. Counterparty: Deutsche Bank AG
	03/20/14	–		275	(13,721	)	(13,721	)
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Target Corp., 4.00%, due 06/15/13. Counterparty: CS First Boston
	12/20/14	(42,303	)	2,930	(21,005	)	(63,308	)
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Target Corp., 4.00%, due 06/15/13. Counterparty: Deutsche Bank AG
	12/20/14	(42,375	)	2,935	(21,041	)	(63,416	)
The Fund pays a fixed rate equal to 2.40% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Darden Restaurants, Inc., 7.13%, due 02/01/16. Counterparty: Citigroup, Inc.
	03/20/15	–		1,800	(108,779	)	(108,779	)
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the D.R. Horton, Inc., 5.38%, due 06/15/12. Counterparty: Citigroup, Inc.
	09/20/16	45,305		1,170	77,181		122,486
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the D.R. Horton, Inc., 5.38%, due 06/15/12. Counterparty: Deutsche Bank AG
	09/20/16	48,018		895	45,679		93,697
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the D.R. Horton, Inc., 5.38%, due 06/15/12. Counterparty: Goldman Sachs Group, Inc. (The)
	09/20/16	47,750		890	45,423		93,173
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Pulte Homes, Inc., 5.25%, due 01/15/14. Counterparty: Deutsche Bank AG
	09/20/16	142,907		4,200	309,150		452,057


	Expiration Date	Premiums Paid/ Received			Notional Amount (000’s)^b		Appreciation/ Depreciation			Value
SWAPS: CREDIT DEFAULT (PURCHASED) - SINGLE ISSUES (continued)

The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Pulte Homes, Inc., 5.25%, due 01/15/14. Counterparty: Deutsche Bank AG

	09/20/16		$131,374			$ 3,600		$ 256,103			$ 387,477

The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Pulte Homes, Inc., 5.25%, due 01/15/14. Counterparty: Deutsche Bank AG

	09/20/16		35,333			1,900		169,169			204,502

The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Pulte Homes, Inc., 5.25%, due 01/15/14. Counterparty: CS First Boston

	09/20/16		67,520			1,900		136,982			204,502

The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Pulte Homes, Inc., 5.25%, due 01/15/14. Counterparty: Goldman Sachs Group, Inc. (The)

	09/20/16		82,951			2,275		161,913			244,864

The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Toll Brothers, Inc., 5.15%, due 05/15/15. Counterparty: CS First Boston

	09/20/16		26,487			9,950		624,625			651,112


			$542,967			$54,045		$1,168,945			$1,711,912


Expiration Date	Credit Rating^a	Premiums Paid/ Received			Notional Amount (000’s)^b		Appreciation			Value^c
SWAPS: CREDIT DEFAULT (WRITTEN) - SINGLE ISSUES

The Fund receives a fixed rate equal to 6.55% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the General Electric Capital Corp., 5.63%, due 09/15/17. Counterparty: CS First Boston

12/20/10	AAA		$–			$3,250		$81,477			$81,477

The Fund receives a fixed rate equal to 4.00% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the Berkshire Hathaway, Inc., 4.63%, due 10/15/13. Counterparty: Barclays Capital, Inc.

03/20/11	AAA		–			5,500		105,580			105,580


			$–			$8,750		$187,057			$187,057


	Expiration Date	Premiums Paid/ (Received)			Notional Amount (000’s)^b		Appreciation/ Depreciation			Value^c
SWAPS: CREDIT DEFAULT (WRITTEN) - TRADED INDICES
The Fund receives a fixed rate equal to 0.09% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 07-1, due 08/25/37. Counterparty: Barclays Capital, Inc.
	08/25/37	$	(728,399	)	$	1,976	$	(411,783	)	$	(1,140,182	)
The Fund receives a fixed rate equal to 0.09% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 07-1, due 08/25/37. Counterparty: CS First Boston

	08/25/37		(1,944,869	)		3,656		(164,467	)		(2,109,336	)

The Fund receives a fixed rate equal to 0.09% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 07-1, due 08/25/37. Counterparty: Goldman Sachs Group, Inc. (The)

	08/25/37		(3,152,873	)		6,521		(609,726	)		(3,762,599	)


	Expiration Date	Premiums Paid/ (Received)			Notional Amount (000’s)^b		Appreciation/ Depreciation			Value^c
SWAPS: CREDIT DEFAULT (WRITTEN) - TRADED INDICES (continued)

The Fund receives a fixed rate equal to 0.09% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 07-1, due 08/25/37. Counterparty: Morgan Stanley

	08/25/37	$	(1,502,728	)	$	3,162	$	(321,563	)	$	(1,824,291	)

The Fund receives a fixed rate equal to 0.09% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 07-1, due 08/25/37. Counterparty: Morgan Stanley

	08/25/37		(2,675,165	)		5,533		(517,343	)		(3,192,508	)

The Fund receives a fixed rate equal to 0.09% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 07-1, due 08/25/37. Counterparty: CS First Boston

	08/25/37		(1,219,430	)		7,538		(3,130,363	)		(4,349,793	)

The Fund receives a fixed rate equal to 0.76% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-PENAAA 07-2, due 01/25/38. Counterparty: Barclays Capital, Inc.

	01/25/38		(9,565,253	)		15,731		524,200			(9,041,053	)

The Fund receives a fixed rate equal to 0.76% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-PENAAA 07-2, due 01/25/38. Counterparty: Barclays Capital, Inc.

	01/25/38		(2,563,726	)		3,970		282,072			(2,281,654	)

The Fund receives a fixed rate equal to 0.76% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-PENAAA 07-2, due 01/25/38. Counterparty: Citigroup, Inc.

	01/25/38		(4,022,631	)		5,955		600,150			(3,422,481	)

The Fund receives a fixed rate equal to 0.17% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 06-2, due 05/25/46. Counterparty: Bank of America Corp.

	05/25/46		(3,117,959	)		4,014		(242,030	)		(3,359,989	)

The Fund receives a fixed rate equal to 0.17% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 06-2, due 05/25/46. Counterparty: CS First Boston

	05/25/46		(4,251,762	)		5,474		(330,042	)		(4,581,804	)

The Fund receives a fixed rate equal to 0.17% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 06-2, due 05/25/46. Counterparty: CS First Boston

	05/25/46		(2,948,844	)		3,832		(258,419	)		(3,207,263	)

The Fund receives a fixed rate equal to 0.17% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 06-2, due 05/25/46. Counterparty: Royal Bank of Scotland Group Plc

	05/25/46		(2,480,194	)		3,193		(192,525	)		(2,672,719	)

The Fund receives a fixed rate equal to 0.17% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 06-2, due 05/25/46. Counterparty: Goldman Sachs Group, Inc. (The)

	05/25/46		(2,331,296	)		3,011		(188,696	)		(2,519,992	)
The Fund receives a fixed rate equal to 0.11% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 06-2, due 05/25/46. Counterparty: Citigroup, Inc.
	05/25/46		(1,766,065	)		4,898		(532,245	)		(2,298,310	)


		$	(44,271,194	)		$78,464	$	(5,492,780	)	$	(49,763,974	)

^a	Using Standard & Poor’s rating of the issuer.

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

Notes:

¹	Cost for federal income tax purposes is $1,879,599,427 and net unrealized appreciation/(depreciation) consists of:


Gross unrealized appreciation	$	52,715,092
Gross unrealized depreciation		(164,062,079	)

Net unrealized depreciation	$	(111,346,987	)

²	Floating rate security. The rate disclosed is that in effect at June 30, 2010.

³	U.S. dollar denominated security issued by foreign domiciled entity.

⁴

⁵	Illiquid security as determined under procedures approved by the Fund’s Board of Trustees. The aggregate value of illiquid securities is $6,729,826 which is 0.41% of total net assets.

⁶	Security is currently in default with regards to scheduled interest or principal payments.

⁷	Non-income producing security.

⁸	Expected maturity date.

⁹	Non-Rule 144A securities determined to be restricted private placements under procedures approved by the Fund’s Board of Trustees. Information related to these securities is as follows:


Date of Purchase	Security	Amortized Cost		Value		% of Total Net Assets
07/03/07	Asurion Corp. Term Loan,
	3.36%, 07/07/14	$	246,700	$	235,542	0.01%
06/01/07	Carestream Health, Inc.
	Term Loan, 5.60%,
	10/30/13		503,588		463,541	0.03%
06/27/07	Cengage Learning Term
	Loan B, 3.03%, 07/03/14		725,174		631,912	0.04%
06/04/07	Charter Communications,
	Inc. Term Loan 3rd Lien, 3.04%,
	09/06/14		501,807		446,750	0.03%
04/25/07	Delta Air Lines, Inc. Term
	Loan 1st Lien, 2.21%,
	04/30/12		960,102		919,298	0.05%
12/30/08	Dex Media West LLC
	Term Loan, 7.50%,
	10/24/14		519,325		762,661	0.04%
10/22/07	HCA Term Loan A, 2.03%,
	11/17/12		5,924,129		5,760,529	0.35%
11/06/07	TPF Generation Holdings
	LLC 2nd Lien, 4.78%,
	12/15/14		243,311		224,250	0.02%
10/31/07	TXU Energy Term Loan
	B3, 3.85%, 10/10/14		486,250		360,661	0.02%
02/01/07	United Air Lines, Inc.,
	2.36%, 02/01/14		346,111		304,954	0.02%
11/30/07	Univision Communications, Inc. 1st Lien Strip,
	2.60%, 09/29/14		118,358		104,562	0.01%

		$	10,574,855	$	10,214,660	0.62%

¹⁰	Represents the current yield as of June 30, 2010.

¹¹	Securities, or a portion there of, pledged as collateral for swaps. The total market value of collateral pledged is $47,791,100.

¹²	Represents annualized yield at date of purchase.

¹³	Securities, or a portion there of, pledged as collateral for futures. The total market value of collateral pledged is $1,314,750.

^†

Fair valued security. The aggregate value of fair valued securities is $59,952,124 which is 3.64% of total net assets, which have not been valued utilizing an independent quote and were valued pursuant to guidelines established by the Board of Trustees. This figure does not necessarily indicate the treatment of those securities under ASC 820, as discussed in the Notes to Financial Statements.

*	Securities with a call or reset feature will have an effective maturity date less than the stated maturity.

**	Securities backed by mortgage or consumer loans where payment is periodically made will have an effective maturity date less than the stated maturity date.

(AGM): Assurance Guaranty Municipal Corp. (formerly known as FSA (Financial Security Assurance, Inc.)

(AMBAC): American Municipal Bond Assurance Corp.

(G.O.): General Obligation

(IO): Interest only

(MTN): Medium term note

(STEP): Step coupon bond

(TBA): To be announced


Issues	Maturity Date		Principal Amount		Value
BONDS – 94.85%
ASSET-BACKED SECURITIES — 12.38%**
ABFS Mortgage Loan Trust 2002-2 A7 (STEP)
5.72%	07/15/33		$	3,092	$	3,072
Aerco Ltd. 2A A3 (United Kingdom)
0.80%	07/15/25	^2,3,4		1,699,781		1,019,868
Aerco Ltd. 2A A4 (United Kingdom)
0.87%	07/15/25	^2,3,4,†		860,000		791,215
Aircastle Aircraft Lease Backed Trust 2007-1A G1
0.61%	06/14/37	^3,4		559,772		453,425
Ameriquest Mortgage Securities, Inc. 2005-R6 A2
0.55%	08/25/35	³		910,065		858,232
Babcock & Brown Air Funding I Ltd. 2007-1A G1 (Bermuda)
0.65%	11/14/33	^2,3,4,†		485,400		373,766
Bayview Financial Acquisition Trust 2005-A A1
1.35%	02/28/40	^3,4		713,281		386,741
Bayview Financial Revolving Mortgage Loan Trust 2005-E A1
1.35%	12/28/40	^3,4,†		1,159,677		661,152
Bear Stearns Asset Backed Securities Trust 2002-1 1A5 (STEP)
6.89%	12/25/34			13,673		12,810
Birch Real Estate CDO Ltd. 1A A1 (Cayman Islands)
5.16%	02/10/38	^2,4,†		650,000		622,030
Chase Funding Mortgage Loan Asset-Backed Certificates 2004-2 1A4
5.32%	02/25/35			15,379		14,137
Citigroup Mortgage Loan Trust, Inc. 2007-WFH2 A3
0.53%	03/25/37	³		1,526,500		681,111
Conseco Finance 2001-D A5
6.19%	11/15/32	³		148,080		149,358
Conseco Finance 2002-A A5 (STEP)
7.55%	04/15/32			271,182		280,792
Conseco Finance 2002-C BF2
8.00%	06/15/32	^3,4		310,675		164,427
Conseco Finance 2002-C MF2
6.98%	06/15/32	³		19,765		19,709
Conseco Finance Home Loan Trust 2000-E M1
8.13%	08/15/31			112,895		109,845
Conseco Financial Corp. 1996-7 M1
7.70%	10/15/27			1,060,000		1,105,629
Countrywide Asset-Backed Certificates 2004-AB1 2A3
0.87%	02/25/35	³		690,182		666,997


Issues	Maturity Date		Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Credit-Based Asset Servicing and Securitization LLC 2007-CB5 A1
0.41%	04/25/37	³	$	472,489	$	331,596
Discover Card Master Trust 2009-A2 A
1.65%	02/17/15	³		325,000		330,829
First Franklin Mortgage Loan Asset Backed Certificates 2006-FF18 M1
0.58%	12/25/37	³		2,500,000		81,165
GE SeaCo Finance SRL 2004-1A A (Barbados)
0.65%	04/17/19	^2,3,4,†		421,667		396,374
GE SeaCo Finance SRL 2005-1A A (Barbados)
0.60%	11/17/20	^2,3,4,†		162,500		148,690
Green Tree Home Improvement Loan Trust 1995-C B2
7.60%	07/15/20			31		27
Green Tree Home Improvement Loan Trust 1997-E HEB1
7.53%	01/15/29			485,428		471,227
HSBC Home Equity Loan Trust 2006-4 A3V
0.50%	03/20/36	³		1,500,000		1,388,457
HSBC Home Equity Loan Trust 2007-2 M1
0.66%	07/20/36	^3,†		1,110,000		643,819
IndyMac Manufactured Housing Contract 1997-1 A3
6.61%	02/25/28			540,597		396,514
IndyMac Manufactured Housing Contract 1997-1 A4
6.75%	02/25/28			179,098		132,072
JP Morgan Mortgage Acquisition Corp. 2006-FRE1 A3
0.54%	05/25/35	³		1,058,397		903,265
JPMorgan Mortgage Acquisition Corp. 2007-CH4 A3
0.46%	05/25/37	³		1,195,000		737,849
Keystone Owner Trust 1998-P1 M2
7.93%	05/25/25	⁴		17,558		17,399
Merrill Lynch First Franklin Mortgage Loan Trust 2007-3 A2C
0.53%	06/25/37	³		811,700		378,786
Merrill Lynch First Franklin Mortgage Loan Trust 2007-3 A2D
0.60%	06/25/37	³		1,500,000		690,553
Mid-State Trust 11 A1
4.86%	07/15/38			1,348,150		1,298,527
Mid-State Trust 2004-1 A
6.01%	08/15/37			320,912		334,560
Mid-State Trust 2004-1 B
8.90%	08/15/37			234,513		226,463
Mid-State Trust 2005-1 M2
7.08%	01/15/40			1,065,283		963,116


Issues	Maturity Date		Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Morgan Stanley ABS Capital I 2006-HE6 A2B
0.45%	09/25/36	³	$	233,537	$	211,162
Nationstar Home Equity Loan Trust 2006-B AV4
0.63%	09/25/36	³		2,450,000		1,186,115
Nationstar Home Equity Loan Trust 2007-C 2AV2
0.48%	06/25/37	³		1,150,000		802,791
Oakwood Mortgage Investors, Inc. 1998-B A4
6.35%	03/15/17			36,643		36,619
Option One Mortgage Loan Trust 2007-6 2A4
0.60%	07/25/37	³		2,159,800		843,259
Residential Asset Mortgage Products, Inc. 2002-RS4 AI5 (STEP)
6.16%	08/25/32			2,220		1,264
Residential Asset Mortgage Products, Inc. 2003-RS1 AI5 (STEP)
5.69%	03/25/33			15,836		7,770
Residential Funding Mortgage Securities II, Inc. 2003-HS2 AI4 (STEP)
3.87%	07/25/33			24,391		22,243
Resmae Mortgage Loan Trust 2006-1 A1B
0.62%	02/25/36	^3,4		121,428		22,089
Securitized Asset Backed Receivables LLC Trust 2006-HE2 A2C
0.50%	07/25/36	³		2,700,000		995,001
SG Mortgage Securities Trust 2006-FRE1 A1B
0.62%	02/25/36	³		89,640		54,509
Soundview Home Equity Loan Trust 2006-WF2 A2C
0.49%	12/25/36	³		1,680,000		1,348,202
Soundview Home Equity Loan Trust 2007-OPT1 2A2
0.50%	06/25/37	³		1,872,000		882,423
Soundview Home Equity Loan Trust 2007-OPT3 2A2
0.48%	08/25/37	³		1,170,000		776,084
SVO VOI Mortgage Corp. 2003-AA A
3.95%	02/20/19	⁴		52,100		52,460
Terwin Mortgage Trust 2005-9HGS A1
4.00%	08/25/35	^3,4		25,266		23,734
Textainer Marine Containers Ltd. 2005-1A A (Bermuda)
0.60%	05/15/20	^2,3,4		516,250		470,109
Triton Container Finance LLC 2006-1A
0.52%	11/26/21	^3,4		721,875		647,537
Triton Container Finance LLC 2007-1A
0.49%	02/26/19	^3,4		452,083		416,734
UCFC Home Equity Loan 1998-D BF1
8.97%	04/15/30	³		3,657		1,597


Issues	Maturity Date		Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
UCFC Home Equity Loan 1998-D MF1
6.91%	04/15/30		$	118,429	$	109,901
Wells Fargo Home Equity Trust 2006-1 A3
0.50%	05/25/36	³		475,671		461,199

Total Asset-Backed Securities (Cost $29,094,299)						27,618,406


CORPORATES — 25.83%*
Banking — 5.15%
ANZ National International Ltd. (New Zealand)
6.20%	07/19/13	^2,4		600,000		665,199
BAC Capital Trust XV
1.34%	06/01/56	³		1,432,000		939,852
Bank of America N.A.
0.84%	06/15/17	³		600,000		514,931
Barclays Bank Plc (United Kingdom)
5.20%	07/10/14	²		850,000		897,860
Capital One Financial Corp. (MTN)
5.70%	09/15/11			876,000		915,928
Credit Suisse/Guernsey 1 (Switzerland)
1.13%	05/29/49	^2,3		770,000		548,278
Credit Suisse/New York (MTN) (Switzerland)
5.00%	05/15/13	²		700,000		748,368
Credit Suisse/New York (Switzerland)
5.50%	05/01/14	²		500,000		547,144
6.00%	02/15/18	²		575,000		600,907
Deutsche Bank AG/London (Germany)
4.88%	05/20/13	²		760,000		812,024
Deutsche Bank Capital Funding Trust VII
5.63%	01/19/49	^3,4		120,000		90,900
HBOS Plc (United Kingdom)
6.75%	05/21/18	^2,4		915,000		857,712
JPMorgan Chase Bank N.A.
0.87%	06/13/16	³		600,000		557,093
6.00%	07/05/17			600,000		650,468
Lloyds Banking Group Capital No. 1 Plc (United Kingdom)
8.00%	12/29/49	^2,3		775,000		608,375
Nationsbank Capital Trust III
0.85%	01/15/27	³		616,000		408,413
Svenska Handelsbanken AB (Sweden)
4.88%	06/10/14	^2,4		825,000		871,858
Wachovia Corp. (MTN)
5.50%	05/01/13			239,000		259,566


						11,494,876


Communications — 0.69%
Cellco Partnership/Verizon Wireless Capital LLC
5.55%	02/01/14			350,000		392,722


Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Communications (continued)
Qwest Corp.
7.88%	09/01/11		$	575,000	$	600,875
Telecom Italia Capital SA (Luxembourg)
6.20%	07/18/11	²		520,000		538,980


						1,532,577


Electric — 2.72%
Cedar Brakes II LLC
9.88%	09/01/13	⁴		323,136		333,652
Entergy Louisiana LLC
5.83%	11/01/10			758,000		759,323
KCP&L Greater Missouri Operations Co.
11.88%	07/01/12			1,060,000		1,221,234
NiSource Finance Corp.
10.75%	03/15/16			450,000		577,335
PG&E Corp.
5.75%	04/01/14			910,000		1,008,992
Public Service Co. of New Mexico
7.95%	05/15/18			475,000		501,037
Southwestern Electric Power Co.
6.45%	01/15/19			534,000		588,058
Texas-New Mexico Power Co.
9.50%	04/01/19	⁴		800,000		1,014,521
Union Electric Co.
6.70%	02/01/19			54,000		62,877


						6,067,029


Energy — 1.61%
CenterPoint Energy Resources Corp. B
7.88%	04/01/13			450,000		515,966
Sabine Pass LNG LP
7.25%	11/30/13			935,000		846,175
Southern Union Co.
7.20%	11/01/66	³		910,000		806,488
Valero Energy Corp.
9.38%	03/15/19			1,071,000		1,299,302
Williams Cos., Inc. (The)
7.88%	09/01/21			112,000		128,608


						3,596,539


Finance — 9.14%
Bear Stearns Cos. LLC (The)
7.25%	02/01/18			1,140,000		1,333,163
Citigroup Funding, Inc. 2
0.67%	04/30/12	³		655,000		660,558
Citigroup, Inc.
0.63%	11/05/14	³		625,000		573,047
1.05%	08/25/36	³		205,000		134,869
5.50%	04/11/13			451,000		469,116


Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Finance (continued)
5.50%	10/15/14		$	371,000	$	381,792
6.01%	01/15/15			250,000		262,480
6.38%	08/12/14			535,000		570,818
6.50%	08/19/13			408,000		434,899
8.50%	05/22/19			300,000		358,215
Countrywide Financial Corp. (MTN)
5.80%	06/07/12			625,000		659,288
Ford Motor Credit Co. LLC
8.63%	11/01/10			319,000		324,306
General Electric Capital Corp.
5.63%	05/01/18			730,000		782,782
General Electric Capital Corp. (MTN)
1.38%	05/22/13	³		340,000		337,331
6.88%	01/10/39			300,000		332,331
General Electric Capital Corp. A (MTN)
0.80%	09/15/14	³		1,394,000		1,315,420
General Electric Capital Corp. E (MTN)
0.59%	03/20/14	³		300,000		282,778
Goldman Sachs Group, Inc. (The)
0.53%	02/06/12	³		210,000		204,818
1.15%	12/05/11	³		785,000		794,320
5.13%	01/15/15			750,000		788,620
6.15%	04/01/18			600,000		629,477
7.50%	02/15/19			800,000		916,917
Goldman Sachs Group, Inc. (The) (MTN)
6.00%	05/01/14			250,000		268,896
Goldman Sachs Group, Inc. B (The) (MTN)
0.71%	07/22/15	³		100,000		90,404
JPMorgan Chase Capital XIII M
1.48%	09/30/34	³		1,070,000		797,036
Lehman Brothers Holdings, Inc. (MTN)
0.00%	06/20/16	^3,5,6		452,000		85,880
8.92%	02/16/17	^5,6		260,000		49,400
11.00%	11/07/16	^3,5,6		502,000		95,380
Lehman Brothers Holdings, Inc. H (MTN)
0.00%	11/30/10	^3,5,6		271,000		51,490
Merrill Lynch & Co., Inc. (MTN)
8.68%	05/02/17	³		510,000		543,787
8.95%	05/18/17	³		410,000		440,238
9.57%	06/06/17	³		319,000		350,501
Morgan Stanley
0.55%	01/18/11	³		345,000		342,839
0.78%	10/15/15	³		187,000		167,143
0.89%	06/20/12	³		1,150,000		1,160,807
5.38%	10/15/15			800,000		811,222
6.75%	04/15/11			180,000		186,266
Morgan Stanley (MTN)
0.75%	10/18/16	³		570,000		499,178


Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Finance (continued)
Morgan Stanley G (MTN)
0.60%	01/09/14	³	$	615,000	$	566,664
Pemex Finance Ltd. (Cayman Islands)
8.88%	11/15/10	²		50,000		51,262
Power Receivable Finance LLC
6.29%	01/01/12			170,129		173,548
Prime Property Funding II, Inc.
5.60%	06/15/11	⁴		206,000		209,087
Prudential Holdings LLC (AGM)
1.41%	12/18/17	^3,4		500,000		426,808
ZFS Finance USA Trust I
6.15%	12/15/65	^3,4		500,000		470,000


						20,385,181


Health Care — 0.97%
HCA, Inc.
8.50%	04/15/19			430,000		455,800
UnitedHealth Group, Inc.
4.88%	02/15/13			760,000		817,151
WellPoint, Inc.
6.00%	02/15/14			800,000		897,810


						2,170,761


Insurance — 1.42%
Allied World Assurance Co. Holdings Ltd. (Bermuda)
7.50%	08/01/16	²		244,000		269,052
Fairfax Financial Holdings Ltd. (Canada)
7.75%	04/26/12	²		375,000		393,750
MetLife, Inc.
7.72%	02/15/19			270,000		321,881
Metropolitan Life Global Funding I
5.13%	06/10/14	⁴		800,000		869,835
Nationwide Mutual Insurance Co.
6.60%	04/15/34	⁴		440,000		389,022
Pricoa Global Funding I
5.45%	06/11/14	⁴		850,000		924,955


						3,168,495


Real Estate Investment Trust (REIT) — 2.49%
Duke Realty LP
6.25%	05/15/13			790,000		842,523
HCP, Inc.
7.07%	06/08/15			200,000		217,692
HCP, Inc. (MTN)
5.95%	09/15/11			820,000		850,294
6.30%	09/15/16			500,000		518,126
Shurgard Storage Centers LLC
5.88%	03/15/13			68,000		73,407


Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Real Estate Investment Trust (REIT) (continued)
Simon Property Group LP
4.20%	02/01/15		$	400,000	$	414,407
UDR, Inc. (MTN)
5.00%	01/15/12			80,000		82,276
5.25%	01/15/15			1,000,000		1,023,166
WEA Finance LLC
7.13%	04/15/18	⁴		775,000		875,781
WEA Finance LLC/WT Finance
7.50%	06/02/14	⁴		570,000		653,471

						5,551,143


Transportation — 1.64%
American Airlines Pass-Through Trust 2003-1 (AMBAC)
3.86%	07/09/10			16,827		16,848
American Airlines Pass-Through Trust 2009-1A
10.38%	07/02/19			446,901		496,060
Continental Airlines Pass-Through Trust 1997-4 A
6.90%	01/02/18			81,047		81,249
Continental Airlines Pass-Through Trust 1999-2 A-1
7.26%	03/15/20			392,764		400,619
Continental Airlines Pass-Through Trust 2007-1 A
5.98%	04/19/22			366,394		369,351
Delta Air Lines, Inc. 2001 A2
7.11%	09/18/11			1,202,000		1,251,582
JetBlue Airways Pass-Through Trust 2004-2 G1
0.81%	08/15/16	³		20,336		17,489
Northwest Airlines, Inc. 2001 1A-2
6.84%	04/01/11			400,000		404,600
Northwest Airlines, Inc. 2001-1 A1
7.04%	04/01/22			205,084		203,033
UAL Pass-Through Trust 2009-2 A
9.75%	01/15/17			400,000		425,000

						3,665,831


Total Corporates (Cost $54,042,638)						57,632,432

BANK LOANS — 0.19%*
Health Care — 0.19%
HCA Term Loan A
2.03%	11/17/12	⁷		455,133		431,120


Total Bank Loans (Cost $448,495)


Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED — 29.80%**
Commercial Mortgage-Backed — 7.46%
Bear Stearns Commercial Mortgage Securities, Inc. 2003-PWR2 A4
5.19%	05/11/39	³	$	40,000	$	42,436
Bear Stearns Commercial Mortgage Securities, Inc. 2005-T20 A4A
5.15%	10/12/42	³		950,000		1,012,491
Bear Stearns Commercial Mortgage Securities, Inc. 2006-PW13 A4
5.54%	09/11/41			470,000		491,100
Chase Commercial Mortgage Securities Corp. 2000-3 A2
7.32%	10/15/32			1,002,438		1,005,279
Citigroup Commercial Mortgage Trust 2007-C6 A4
5.70%	12/10/49	³		40,000		40,848
Citigroup/Deutsche Bank Commercial Mortgage Trust 2007-CD4 A4
5.32%	12/11/49			1,100,000		1,070,698
Commercial Mortgage Loan Trust 2008-LS1 A4B
6.02%	12/10/49	³		1,125,000		1,114,749
Commercial Mortgage Loan Trust 2008-LS1 AJ
6.02%	12/10/49	³		210,000		107,664
Credit Suisse Mortgage Capital Certificates 2006-C5 A3
5.31%	12/15/39			370,000		366,850
CW Capital Cobalt Ltd. 2006-C1 A4
5.22%	08/15/48			1,060,000		1,060,929
First Union National Bank-Bank of America Commercial Mortgage Trust 2001-C1 A2
6.14%	03/15/33			662,772		669,070
GMAC Commercial Mortgage Securities, Inc. 2000-C3 A2
6.96%	09/15/35			702,685		708,061
Greenwich Capital Commercial Funding Corp. 2006-GG7 A4
5.89%	07/10/38	³		1,605,000		1,680,596
Greenwich Capital Commercial Funding Corp. 2007-GG9 A4
5.44%	03/10/39			1,740,000		1,746,623
JPMorgan Chase Commercial Mortgage Securities Corp. 2007-CB19 A4
5.74%	02/12/49	³		955,000		951,979
JPMorgan Chase Commercial Mortgage Securities Corp. 2007-LD12 A4
5.88%	02/15/51	³		1,685,000		1,693,531
Merrill Lynch/Countrywide Commercial Mortgage Trust 2006-4 A3
5.17%	12/12/49	³		760,000		751,857


Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed (continued)
Morgan Stanley Capital I 2007-IQ16 A4
5.81%	12/12/49		$	2,060,000	$	2,137,258

						16,652,019

Non-Agency Mortgage-Backed — 4.93%
Banc of America Funding Corp. 2003-2 1A1
6.50%	06/25/32			11,712		12,227
Chevy Chase Mortgage Funding Corp. 2004-1A A1
0.63%	01/25/35	^3,4		369,016		275,450
Chevy Chase Mortgage Funding Corp. 2005-2A A1
0.53%	05/25/36	^3,4		365,217		199,201
Citigroup Mortgage Loan Trust, Inc. 2004-HYB1 A41
5.13%	02/25/34	³		45,534		45,508
Countrywide Alternative Loan Trust 2005-27 2A1
1.77%	08/25/35	³		408,387		186,765
Countrywide Alternative Loan Trust 2005-27 3A2
1.52%	08/25/35	³		40,880		20,705
Countrywide Alternative Loan Trust 2005-72 A1
0.62%	01/25/36	³		859,616		521,789
Countrywide Alternative Loan Trust 2006-OA16 A2
0.54%	10/25/46	³		2,445,541		1,337,053
Countrywide Home Loan Mortgage Pass-Through Trust 2004-14 4A1
5.11%	08/25/34	³		511,589		509,150
Deutsche ALT-A Securities, Inc. 2007-OA2 A1
1.19%	04/25/47	³		1,171,339		648,920
First Horizon Asset Securities, Inc. 2002-7 2A2
5.25%	12/25/17			71,258		71,855
GSR Mortgage Loan Trust 2004-9 5A7
3.90%	08/25/34	³		1,469,000		1,435,946
IndyMac Index Mortgage Loan Trust 2004-AR6 6A1
5.52%	10/25/34	³		190,408		168,252
IndyMac Index Mortgage Loan Trust 2004-AR8 2A2A
0.75%	11/25/34	³		60,871		37,535
IndyMac Index Mortgage Loan Trust 2007-AR5 1A1
5.37%	05/25/37	³		23,651		12,642
Lehman XS Trust 2007-12N 1A3A
0.55%	07/25/47	^3,†		4,500,000		1,260,077
Lehman XS Trust 2007-14H A12
0.85%	07/25/47	^3,†		8,475,227		565,457


Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
MASTR Adjustable Rate Mortgages Trust 2004-1 2A1
4.63%	01/25/34	³	$	3,385	$	3,030
MASTR Asset Securitization Trust 2002-8 1A1
5.50%	12/25/17			9,172		9,492
MASTR Seasoned Securities Trust 2004-1 4A1
3.15%	10/25/32	³		4,262		3,480
MASTR Seasoned Securities Trust 2004-2 A2
6.50%	08/25/32			139,682		149,661
MASTR Seasoned Securities Trust 2005-1 4A1
3.06%	10/25/32	³		8,673		8,167
Nomura Asset Acceptance Corp. 2007-1 1A1A (STEP)
6.00%	03/25/47	^†		2,004,502		1,097,434
Residential Accredit Loans, Inc. 2003-QS17 NB1
5.25%	09/25/33			12,852		12,403
Residential Asset Mortgage Products, Inc. 2003-SL1 A41
8.00%	04/25/31			72,924		72,824
Residential Asset Securitization Trust 2004-IP2 2A1
2.86%	12/25/34	³		120,195		111,175
Structured Asset Mortgage Investments, Inc. 2005-AR3 1A1
0.62%	08/25/35	³		1,444,568		838,767
Structured Asset Mortgage Investments, Inc. 2005-AR8 A2
1.90%	02/25/36	³		1,597,256		904,643
Washington Mutual Alternative Mortgage Pass-Through Certificates 2007-OA3 4A1
1.19%	04/25/47	³		841,618		445,854
Washington Mutual Mortgage Pass-Through Certificates 2002-AR18 A
2.77%	01/25/33	³		25,965		25,764

						10,991,226


U.S. Agency Mortgage-Backed — 17.41%
Fannie Mae 1989-25 G
6.00%	06/25/19			4,598		5,135
Fannie Mae 1992-116 B
6.50%	06/25/22			653		721
Fannie Mae 1993-225 SG
25.93%	12/25/13	³		102,750		124,993
Fannie Mae 1993-80 S
10.42%	05/25/23	³		26,914		33,060
Fannie Mae 2001-52 YZ
6.50%	10/25/31			641,521		723,234


Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae 2003-27 SG (IO)
7.30%	04/25/17	³	$	6,665,528	$	380,864
Fannie Mae 2003-W6 5T (IO)
0.55%	09/25/42	^3,†		41,115,015		806,240
Fannie Mae 2007-64 FA
0.82%	07/25/37	³		1,399,372		1,392,490
Fannie Mae 2008-50 SA (IO)
5.70%	11/25/36	³		9,748,198		1,052,926
Fannie Mae Pool 253974
7.00%	08/01/31			30,579		33,905
Fannie Mae Pool 254232
6.50%	03/01/22			43,769		48,740
Fannie Mae Pool 527247
7.00%	09/01/26			168		190
Fannie Mae Pool 545191
7.00%	09/01/31			15,307		16,971
Fannie Mae Pool 545646
7.00%	09/01/26			101		114
Fannie Mae Pool 549740
6.50%	10/01/27			65,400		72,442
Fannie Mae Pool 555177
2.55%	01/01/33	³		36,500		37,948
Fannie Mae Pool 555207
7.00%	11/01/17			2,526		2,750
Fannie Mae Pool 555284
7.50%	10/01/17			1,891		2,047
Fannie Mae Pool 606108
7.00%	03/01/31			2,268		2,566
Fannie Mae Pool 630599
7.00%	05/01/32			19,473		22,037
Fannie Mae Pool 655928
7.00%	08/01/32			13,424		15,268
Fannie Mae Pool 725027
5.00%	11/01/33			1,462,172		1,554,186
Fannie Mae Pool 725425
5.50%	04/01/34			1,368,184		1,473,043
Fannie Mae Pool 735207
7.00%	04/01/34			10,220		11,366
Fannie Mae Pool 735224
5.50%	02/01/35			1,317,251		1,420,861
Fannie Mae Pool 735646
4.50%	07/01/20			29,720		31,711
Fannie Mae Pool 735686
6.50%	12/01/22			242,855		262,300
Fannie Mae Pool 735861
6.50%	09/01/33			327,424		365,610
Fannie Mae Pool 764388
4.94%	03/01/34	³		350,002		371,048


Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool 765387
6.00%	08/01/34		$	22,347	$	24,918
Fannie Mae Pool 770869
2.43%	04/01/34	³		421,350		440,026
Fannie Mae Pool 776708
5.00%	05/01/34			961,371		1,021,798
Fannie Mae Pool 789606
6.00%	08/01/34			18,223		20,084
Fannie Mae Pool 817611
5.31%	11/01/35	³		211,250		225,880
Fannie Mae Pool 844773
5.06%	12/01/35	³		14,946		15,957
Fannie Mae Pool 888430
5.00%	11/01/33			1,216,755		1,293,325
Fannie Mae Pool 889125
5.00%	12/01/21			1,266,701		1,360,120
Fannie Mae Pool 889184
5.50%	09/01/36			1,309,738		1,410,117
Fannie Mae Pool 895606
5.77%	06/01/36	³		525,504		559,826
Fannie Mae Pool 918445
5.79%	05/01/37	³		43,689		46,542
Fannie Mae Pool 939419
5.65%	05/01/37	³		693,076		744,892
Freddie Mac 1602 SN
10.09%	10/15/23	³		14,590		18,735
Freddie Mac 1688 W
7.25%	03/15/14			4,314		4,462
Freddie Mac 2174 PN
6.00%	07/15/29			243,383		265,978
Freddie Mac 2561 BX (IO)
5.00%	05/15/17			103,772		3,688
Freddie Mac 2929 PE
5.00%	05/15/33			55,000		59,242
Freddie Mac Gold A25162
5.50%	05/01/34			1,200,938		1,293,026
Freddie Mac Gold A33262
5.50%	02/01/35			173,939		189,498
Freddie Mac Gold A68781
5.50%	10/01/37			42,813		46,330
Freddie Mac Gold A72702
5.50%	02/01/38			1,429,183		1,548,151
Freddie Mac Gold A72860
6.00%	02/01/38			35,488		38,572
Freddie Mac Gold C90504
6.50%	12/01/21			5,265		5,853
Freddie Mac Gold E01279
5.50%	01/01/18			8,340		9,017


Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Gold E90474
6.00%	07/01/17		$	17,193	$	18,743
Freddie Mac Gold G01548
7.50%	07/01/32			940,317		1,096,251
Freddie Mac Gold G01601
4.00%	09/01/33			24,820		25,209
Freddie Mac Gold G01611
4.00%	09/01/33			10,240		10,400
Freddie Mac Gold G01644
5.50%	02/01/34			1,128,789		1,218,810
Freddie Mac Gold G01673
5.50%	04/01/34			78,896		84,946
Freddie Mac Gold G02366
6.50%	10/01/36			741,196		815,489
Freddie Mac Gold G03243
5.50%	07/01/37			70,412		76,164
Freddie Mac Gold G03436
6.00%	11/01/37			1,596,766		1,747,960
Freddie Mac Gold G03601
6.00%	07/01/37			28,784		31,505
Freddie Mac Gold G03640
5.50%	12/01/37			1,148,728		1,234,351
Freddie Mac Gold G04079
5.50%	03/01/38			1,599,824		1,731,247
Freddie Mac Gold G05119
6.50%	09/01/38			30,623		33,614
Freddie Mac Gold G11707
6.00%	03/01/20			13,811		15,056
Freddie Mac Gold G12393
5.50%	10/01/21			1,212,871		1,314,686
Freddie Mac Gold G12909
6.00%	11/01/22			1,000,060		1,094,441
Freddie Mac Gold G13032
6.00%	09/01/22			913,261		997,738
Freddie Mac Gold J06246
5.50%	10/01/21			767,482		832,299
Freddie Mac Non Gold Pool 1B3413
5.86%	05/01/37	³		812,851		875,419
Freddie Mac Non Gold Pool 1J0045
5.13%	01/01/36	³		19,826		21,106
Freddie Mac R001 AE
4.38%	04/15/15			714,958		731,844
Ginnie Mae 2003-28 LI (IO)
5.50%	02/20/32			66,612		1,987
Ginnie Mae 2004-8 SE
13.61%	11/26/23	³		168,388		197,891
Ginnie Mae GNSF (TBA)
5.50%	07/15/40			615,000		664,488


Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Ginnie Mae I Pool 782810
4.50%	11/15/39		$	2,860,223	$	2,986,877
Ginnie Mae II Pool 80968
3.63%	07/20/34	³		79,921		82,360


						38,851,684


Total Mortgage-Backed (Cost $62,127,465)						66,494,929

MUNICIPAL BONDS — 0.87%*
California — 0.51%
State of California, Recreational Facility Improvements, G.O., Taxable Variable Purpose 3

5.95%	04/01/16			225,000		239,211
State of California, Refunding Bonds, G.O., Taxable Variable Purpose
6.20%	10/01/19			866,000		906,156


						1,145,367

Illinois — 0.36%
State of Illinois, Pension Funding G.O., Taxable
4.07%	01/01/14			800,000		790,808

Total Municipal Bonds (Cost $1,907,536)						1,936,175

U.S. AGENCY SECURITIES — 1.54%
U.S. Agency Securities — 1.54%
Fannie Mae
2.38%	07/28/15			2,220,000		2,245,714
Freddie Mac
0.29%	11/07/11	³		1,200,000		1,199,705


						3,445,419

Total U.S. Agency Securities (Cost $3,412,843)						3,445,419


U.S. TREASURY SECURITIES — 24.24%
U.S. Treasury Notes — 24.24%
1.88%	06/30/15			18,465,000		18,538,583
2.00%	01/15/16	⁸		1,699,000		2,015,512
2.13%	05/31/15			4,405,000		4,481,409
2.38%	02/28/15			15,555,000		16,033,195
3.25%	12/31/16			4,235,000		4,464,617
3.38%	11/15/19			8,275,000		8,571,742

Total U.S. Treasury Securities (Cost $52,796,171)						54,105,058


	Value
Total Bonds – 94.85% (Cost $203,829,447)	$	211,663,539


Issues	Maturity Date		Shares/ Principal Amount		Value
SHORTTERM INVESTMENTS — 8.38%
Commercial Paper — 1.32%
Moody’s Corp.
0.40%⁹	07/07/10		$	2,945,000	$	2,944,804

Money Market Fund — 5.18%
Fidelity Institutional Money Market Funds - Prime Money Market Portfolio
0.22%¹⁰				7,774,000		7,774,000
Goldman Sachs Financial Square Funds - Prime Obligations Fund
0.13%^10,11				3,780,000		3,780,000


						11,554,000

U.S. Agency Discount Notes — 1.77%
Freddie Mac
0.18%⁹	10/25/10			3,955,000		3,953,217

U.S. Treasury Bills — 0.11%
U.S. Treasury Bills
0.15%⁹	08/12/10	¹²		255,000		254,986

Total Short Term Investments (Cost $18,706,466)						18,707,007


Total Investments – 103.23% (Cost $222,535,913)¹						230,370,546


Liabilities in Excess of
Other Assets – (3.23)%						(7,213,166	)

Net Assets – 100.00%					$	223,157,380


Contracts		Unrealized Appreciation
FUTURES CONTRACTS: LONG POSITIONS
150	U.S. Treasury Five Year Note, Expiration September 2010	$201,990
29	U.S. Treasury Ten Year Note, Expiration September 2010	52,155


	Net unrealized appreciation	$254,145


Contracts		Unrealized Depreciation
FUTURES CONTRACTS: SHORT POSITIONS
3	Euro Dollar Ninety Day,
	Expiration September 2010	$(7,245)
3	Euro Dollar Ninety Day,
	Expiration December 2010	(9,308)
3	Euro Dollar Ninety Day,
	Expiration March 2011	(11,445)
3	Euro Dollar Ninety Day,
	Expiration June 2011	(13,357)
2	Euro Dollar Ninety Day,
	Expiration September 2011	(9,855)
2	Euro Dollar Ninety Day,
	Expiration December 2011	(10,380)
2	Euro Dollar Ninety Day,
	Expiration March 2012	(10,430)
2	Euro Dollar Ninety Day,
	Expiration June 2012	(10,305)


	Net unrealized depreciation	$(82,325)


Expiration Date	Premiums Paid/ Received	Notional Amount (000’s)^b	Appreciation/ Depreciation		Value
SWAPS: CREDIT DEFAULT (PURCHASED) - SINGLE ISSUES
The Fund pays a fixed rate equal to 0.53% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Home Depot, Inc., 3.75%, due 09/15/09. Counterparty: Morgan Stanley

09/20/12	$–	$250	$ (1,100)		$ (1,100)

The Fund pays a fixed rate equal to 3.65% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Centex Corp., 5.25%, due 06/15/15. Counterparty: Merrill Lynch & Co., Inc.

12/20/12	–	120	(7,566	)	(7,566)

The Fund pays a fixed rate equal to 3.56% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Centex Corp., 5.25%, due 06/15/15. Counterparty: Merrill Lynch & Co., Inc.

12/20/12	–	175	(10,646	)	(10,646)

The Fund pays a fixed rate equal to 0.74% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Home Depot, Inc., 3.75%, due 09/15/09. Counterparty: Citigroup, Inc.

12/20/12	–	175	(1,622	)	(1,622)

The Fund pays a fixed rate equal to 0.72% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Home Depot, Inc., 3.75%, due 09/15/09. Counterparty: Merrill Lynch & Co., Inc.

12/20/12	–	175	(1,535	)	(1,535)

The Fund pays a fixed rate equal to 0.41% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Lowe’s Cos., Inc., 8.25%, due 06/01/10. Counterparty: Citigroup, Inc.

12/20/12	–	100	(69	)	(69)

The Fund pays a fixed rate equal to 0.45% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Lowe’s Cos., Inc., 8.25%, due 06/01/10. Counterparty: Citigroup, Inc.

12/20/12	–	175	(296	)	(296)

The Fund pays a fixed rate equal to 2.25% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Darden Restaurants, Inc., 7.13%, due 02/01/16. Counterparty: Deutsche Bank AG

03/20/13	–	75	(3,159	)	(3,159)


Expiration Date	Premiums Paid/ Received	Notional Amount (000’s)^b		Appreciation/ Depreciation				Value
SWAPS: CREDIT DEFAULT (PURCHASED) - SINGLE ISSUES (continued)
The Fund pays a fixed rate equal to 2.25% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Darden Restaurants, Inc., 7.13%, due 02/01/16. Counterparty: Morgan Stanley
03/20/13	$ –	$	75	$	(3,159	)	$(3,159)
The Fund pays a fixed rate equal to 1.85% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Darden Restaurants, Inc., 7.13%, due 02/01/16. Counterparty: Goldman Sachs Group, Inc. (The)
06/20/13	–		80		(2,621	)	(2,621)
The Fund pays a fixed rate equal to 4.40% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Centex Corp., 5.25%, due 06/15/15. Counterparty: Deutsche Bank AG
12/20/13	–		200		(20,711	)	(20,711)
The Fund pays a fixed rate equal to 2.73% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Darden Restaurants, Inc., 6.00%, due 08/15/35. Counterparty: Citigroup, Inc.
03/20/14	–		210		(14,148	)	(14,148)
The Fund pays a fixed rate equal to 2.25% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Darden Restaurants, Inc., 6.00%, due 08/15/35. Counterparty: Deutsche Bank AG
03/20/14	–		200		(9,979	)	(9,979)
The Fund pays a fixed rate equal to 2.67% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Home Depot, Inc., 5.88%, due 12/16/36. Counterparty: Citigroup, Inc.
03/20/14	–		135		(10,778	)	(10,778)
The Fund pays a fixed rate equal to 1.20% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Lowe’s Cos., Inc., 8.25%, due 06/01/10. Counterparty: Citigroup, Inc.
03/20/14	–		140		(3,509	)	(3,509)
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Target Corp., 4.00%, due 06/15/13. Counterparty: CS First Boston
12/20/14	(3,754)		260		(1,864	)	(5,618)
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Target Corp., 4.00%, due 06/15/13. Counterparty: Deutsche Bank AG
12/20/14	(3,826)		265		(1,900	)	(5,726)
The Fund pays a fixed rate equal to 2.40% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Darden Restaurants, Inc., 7.13%, due 02/01/16. Counterparty: Citigroup, Inc.
03/20/15	–		150		(9,065	)	(9,065)
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the D.R. Horton, Inc., 5.38%, due 06/15/12. Counterparty: Citigroup, Inc.
09/20/16	6,777		175		11,544		18,321
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the D.R. Horton, Inc., 5.38%, due 06/15/12. Counterparty: Deutsche Bank AG
09/20/16	7,243		135		6,890		14,133
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the D.R.Horton, Inc., 5.38%, due 06/15/12. Counterparty: Goldman Sachs Group, Inc. (The)
09/20/16	7,243		135		6,890		14,133


	Expiration Date	Premiums Paid/ Received		Notional Amount (000’s)^b		Appreciation/ Depreciation		Value
SWAPS: CREDIT DEFAULT (PURCHASED) - SINGLE ISSUES (continued)

The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Pulte Homes, Inc., 5.25%, due 01/15/14. Counterparty: Deutsche Bank AG

	09/20/16	$	5,954	$	175	$	12,882	$	18,836

The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Pulte Homes, Inc., 5.25%, due 01/15/14. Counterparty: Deutsche Bank AG

	09/20/16		4,927		135		9,603		14,530

The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Pulte Homes, Inc., 5.25%, due 01/15/14. Counterparty: Deutsche Bank AG

	09/20/16		4,184		225		20,033		24,217

The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Pulte Homes, Inc., 5.25%, due 01/15/14. Counterparty: CS First Boston

	09/20/16		7,996		225		16,221		24,217

The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Pulte Homes, Inc., 5.25%, due 01/15/14. Counterparty: Goldman Sachs Group, Inc. (The)

	09/20/16		10,676		340		25,919		36,595

The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Toll Brothers, Inc., 5.15%, due 05/15/15. Counterparty: Citigroup, Inc.

	09/20/16		337		125		7,843		8,180

The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Toll Brothers, Inc., 5.15%, due 05/15/15. Counterparty: CS First Boston

	09/20/16		1,664		625		39,235		40,899


		$	49,421	$	5,255	$	53,333	$	102,754


	Expiration Date	Premiums Paid/ (Received)		Notional Amount (000’s)^b		Appreciation/ (Depreciation)			Value^c
SWAPS: CREDIT DEFAULT (PURCHASED) - TRADED INDICES

The Fund pays a fixed rate equal to 0.84% and the Fund will receive from the counterparty at par including interest accrued in the event of default of any issue in the CMBX-NA-AJ 1, due 10/12/52. Counterparty: Bank of America Corp.

	10/12/52	$	653,602	$	1,120	$	(420,687	)	$	232,915

The Fund pays a fixed rate equal to 0.84% and the Fund will receive from the counterparty at par including interest accrued in the event of default of any issue in the CMBX-NA-AJ 1, due 10/12/52. Counterparty: Barclays Capital, Inc.

	10/12/52		18,314		215		26,397			44,711

The Fund pays a fixed rate equal to 0.84% and the Fund will receive from the counterparty at par including interest accrued in the event of default of any issue in the CMBX-NA-AJ 1, due 10/12/52. Counterparty: Barclays Capital, Inc.

	10/12/52		23,886		250		28,104			51,990

The Fund pays a fixed rate equal to 0.84% and the Fund will receive from the counterparty at par including interest accrued in the event of default of any issue in the CMBX-NA-AJ 1, due 10/12/52. Counterparty: Barclays Capital, Inc.

	10/12/52		1,100,001		1,840		(717,355	)		382,646



		$	1,795,803	$	3,425	$	(1,083,541	)	$	712,262


Expiration Date	Credit Rating^a	Premiums Paid/ Received	Notional Amount (000’s)b	Appreciation	Value^c
SWAPS: CREDIT DEFAULT (WRITTEN) - SINGLE ISSUES

The Fund receives a fixed rate equal to 6.55% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the General

Electric Capital Corp., 5.63%, due 09/15/17. Counterparty: CS First Boston

12/20/10	AAA	$–	$365	$9,151	$9,151

The Fund receives a fixed rate equal to 4.00% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the Berkshire

Hathaway, Inc., 4.63%, due 10/15/13. Counterparty: Barclays Capital, Inc.

03/20/11	AAA	–	800	15,357	15,357



		$–	$1,165	$24,508	$24,508


	Expiration Date	Premiums Paid/ (Received)			Notional Amount (000’s)^b		Appreciation/ (Depreciation)			Value^c
SWAPS: CREDIT DEFAULT (WRITTEN) - TRADED INDICES

The Fund receives a fixed rate equal to 0.09% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 07-1, due 08/25/37. Counterparty: CS First Boston

	08/25/37	$	(120,664	)	$	746	$	(309,755	)	$	(430,419	)

The Fund receives a fixed rate equal to 0.09% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 07-1, due 08/25/37. Counterparty: CS First Boston

	08/25/37		(788,460	)		1,482		(66,676	)		(855,136	)

The Fund receives a fixed rate equal to 0.09% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 07-1, due 08/25/37. Counterparty: Goldman Sachs Group, Inc. (The)

	08/25/37		(277,071	)		573		(53,582	)		(330,653	)

The Fund receives a fixed rate equal to 0.09% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 07-1, due 08/25/37. Counterparty: Morgan Stanley

	08/25/37		(84,528	)		178		(18,088	)		(102,616	)

The Fund receives a fixed rate equal to 0.09% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 07-1, due 08/25/37. Counterparty: Morgan Stanley

	08/25/37		(429,937	)		889		(83,145	)		(513,082	)

The Fund receives a fixed rate equal to 0.76% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-PENAAA 07-2, due 01/25/38. Counterparty: Barclays Capital, Inc.

	01/25/38		(1,388,018	)		2,283		76,067			(1,311,951	)

The Fund receives a fixed rate equal to 0.76% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-PENAAA 07-2, due 01/25/38. Counterparty: Barclays Capital, Inc.

	01/25/38		(95,278	)		149		9,716			(85,562	)

The Fund receives a fixed rate equal to 0.17% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 06-2, due 05/25/46. Counterparty: Bank of America Corp.

	05/25/46		(212,588	)		274		(16,502	)		(229,090	)

The Fund receives a fixed rate equal to 0.17% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 06-2, due 05/25/46. Counterparty: CS First Boston

	05/25/46		(248,019	)		319		(19,253	)		(267,272	)

The Fund receives a fixed rate equal to 0.17% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 06-2, due 05/25/46. Counterparty: CS First Boston

	05/25/46		(245,737	)		319		(21,535	)		(267,272	)


Expiration Date	Premiums Paid/ (Received)		Notional Amount (000’s)^b	Appreciation/ (Depreciation)		Value^c
SWAPS: CREDIT DEFAULT (WRITTEN) - TRADED INDICES (continued)
The Fund receives a fixed rate equal to 0.17% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 06-2, due 05/25/46. Counterparty: Royal Bank of Scotland Group Plc
05/25/46	$ (177,157	)	$ 228	$ (13,751	)	$ (190,908)
The Fund receives a fixed rate equal to 0.17% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 06-2, due 05/25/46. Counterparty: Goldman Sachs Group, Inc. (The)
05/25/46	(141,291	)	183	(11,436	)	(152,727)
The Fund receives a fixed rate equal to 0.11% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 06-2, due 05/25/46. Counterparty: Citigroup, Inc.
05/25/46	(79,473	)	220	(23,951	)	(103,424)


	$(4,288,221	)	$7,843	$(551,891	)	$(4,840,112)

Using Standard & Poor’s rating of the issuer.

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

Notes:

Cost for federal income tax purposes is $222,535,913 and net unrealized appreciation/(depreciation) consists of:


Gross unrealized appreciation	$	15,683,978
Gross unrealized depreciation		(7,849,345	)

Net unrealized appreciation	$	7,834,633

U.S. dollar denominated security issued by foreign domiciled entity.

Floating rate security. The rate disclosed is that in effect at June 30, 2010.

⁴

⁵

Security is currently in default with regards to scheduled interest or principal payments.

⁶

Non-income producing security.

⁷

Non-Rule 144A securities determined to be restricted private placements under procedures approved by the Fund’s Board of Trustees. Information related to these securities is as follows:


Date of Purchase	Security	Amortized Cost	Value	% of Total Net Assets
10/22/07	HCA Term Loan A, 2.03%,
	11/17/12	$448,495	$431,120	0.19%

⁸	Inflation protected security. Principal amount reflects original security face amount.

⁹	Represents annualized yield at date of purchase.

¹⁰	Represents the current yield as of June 30, 2010.

¹¹	Securities, or a portion there of, pledged as collateral for swaps. The total market value of collateral pledged is $3,780,000.

¹²	Securities, or a portion there of, pledged as collateral for futures. The total market value of collateral pledged is $254,952.

†

Fair valued security. The aggregate value of fair valued securities is $7,366,254 which is 3.30% of total net assets, which have not been valued utilizing an independent quote and were valued pursuant to guidelines established by the Board of Trustees. This figure does not necessarily indicate the treatment of those securities under ASC 820, as discussed in the Notes to Financial Statements.

*	Securities with a call or reset feature will have an effective maturity date less than the stated maturity.

**	Securities backed by mortgage or consumer loans where payment is periodically made will have an effective maturity date less than the stated maturity date.

(AGM): Assurance Guaranty Municipal Corp. (formerly known as FSA

(Financial Security Assurance, Inc.)

(AMBAC): American Municipal Bond Assurance Corp.

(G.O.): General Obligation

(IO): Interest only

(MTN): Medium term note

(STEP): Step coupon bond

(TBA): To be announced


Issues	Maturity Date		Principal Amount		Value
BONDS – 99.03%
ASSET-BACKED SECURITIES — 10.56%**
Aames Mortgage Trust 2002-1 A3 (STEP)
6.90%	06/25/32		$	69,156	$	50,878
ABFS Mortgage Loan Trust 2002-2 A7 (STEP)
5.72%	07/15/33			2,921		2,901
Aerco Ltd. 2A A3 (United Kingdom)
0.80%	07/15/25	^2,3,4		70,622,653		42,373,592
Aircastle Aircraft Lease Backed Trust 2007-1A G1
0.61%	06/14/37	^3,4		24,390,058		19,756,366
Amresco Residential Securities Mortgage Loan Trust 1998-1 A5 (STEP)
7.57%	10/25/27			179,507		172,811
Argent Securities, Inc. 2005-W4 A2C
0.65%	02/25/36	³		11,857,416		11,578,548
Argent Securities, Inc. 2005-W5 A2D
0.67%	01/25/36	³		26,678,000		11,670,691
Asset Backed Funding Certificates 2007-WMC1 A2B
1.35%	06/25/37	³		41,977,000		18,736,770
Asset Backed Securities Corp. Home Equity 2003-HE4 M2
3.35%	08/15/33	³		3,068,593		1,640,622
Babcock & Brown Air Funding I Ltd. 2007-1A G1 (Bermuda)
0.65%	11/14/33	^2,3,4,†		12,410,705		9,556,456
Bayview Financial Acquisition Trust 2005-B 1A3 (STEP)
4.89%	04/28/39			3,151,891		2,956,042
Bayview Financial Acquisition Trust 2005-D AF3
5.50%	12/28/35	³		390,000		336,648
Bear Stearns Asset Backed Securities Trust 2002-1 1A5 (STEP)
6.89%	12/25/34			85,456		80,062
Bear Stearns Asset Backed Securities Trust 2006-HE10 1A2
0.55%	12/25/36	³		23,770,000		14,595,933
Birch Real Estate CDO Ltd. 1A A1 (Cayman Islands)
5.16%	02/10/38	^2,4,†		2,400,000		2,296,725
BNC Mortgage Loan Trust 2007-1 A3
0.45%	03/25/37	³		12,881,000		9,263,313
Carrington Mortgage Loan Trust 2007-FRE1 A1
0.47%	02/25/37	³		9,906,796		9,045,717
Centex Home Equity 2006-A AV3
0.51%	06/25/36	³		15,049,757		12,919,998
Centex Home Equity 2006-A AV4
0.60%	06/25/36	³		100,000		54,433


Issues	Maturity Date		Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Citicorp Residential Mortgage Securities, Inc. 2007-1 A5 (STEP)
6.05%	03/25/37		$	620,000	$	597,338
Citigroup Mortgage Loan Trust, Inc. 2006-AMC1 A2B
0.51%	09/25/36	³		456,363		203,197
Citigroup Mortgage Loan Trust, Inc. 2006-NC1 A2D
0.60%	08/25/36	³		33,850,000		13,011,415
Citigroup Mortgage Loan Trust, Inc. 2007-AMC4 A2B
0.49%	05/25/37	³		21,600,000		8,970,914
Citigroup Mortgage Loan Trust, Inc. 2007-WFH1 A4
0.55%	01/25/37	³		28,000		12,063
Citigroup Mortgage Loan Trust, Inc. 2007-WFH2 A3
0.53%	03/25/37	³		34,403,000		15,350,326
Citigroup Mortgage Loan Trust, Inc. 2007-WFH4 M3B
1.35%	07/25/37	³		3,090,000		195,234
Conseco Finance 2001-C A5 (STEP)
7.29%	08/15/33			4,277,321		4,313,715
Conseco Finance 2001-D A5
6.19%	11/15/32	³		155,564		156,908
Conseco Finance 2002-C BF2
8.00%	06/15/32	^3,4		532,586		281,876
Conseco Financial Corp. 1996-7 M1
7.70%	10/15/27			19,007,000		19,825,179
Conseco Financial Corp. 1998-2 A5
6.24%	12/01/28	³		232,039		233,089
Conseco Financial Corp. 1998-6 A7
6.45%	06/01/30			82,201		82,279
Countrywide Asset-Backed Certificates 2005-12 2A5
5.25%	02/25/36	³		13,566,973		12,943,706
Countrywide Asset-Backed Certificates 2006-18 2A2
0.51%	03/25/37	³		17,559,927		12,257,233
Countrywide Asset-Backed Certificates 2007-10 2A2
0.47%	06/25/47	³		18,666,000		14,599,724
Countrywide Asset-Backed Certificates 2007-13 2A2
1.15%	10/25/47	³		17,197,987		12,510,435
Countrywide Asset-Backed Certificates 2007-3 2A1
0.45%	05/25/47	³		12,818,301		12,081,076
Countrywide Asset-Backed Certificates 2007-4 A1A
0.38%	09/25/37	³		11,153,628		10,266,596


Issues	Maturity Date		Principal Amount		Value
Issues	Maturity Date		Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Countrywide Asset-Backed Certificates 2007-5 2A2
0.52%	09/25/47	³	$	127,000	$	102,300
Countrywide Asset-Backed Certificates 2007-7 2A2
0.51%	10/25/47	³		22,307,000		18,136,269
Countrywide Asset-Backed Certificates 2007-9 2A1
0.41%	06/25/47	³		77,211		72,869
Credit Suisse First Boston Mortgage Securities Corp. 2001-MH29 A (STEP)
5.60%	09/25/31			117,157		119,405
Credit-Based Asset Servicing and Securitization LLC 2006-CB6 A23
0.50%	07/25/36	³		24,475,000		13,603,577
Credit-Based Asset Servicing and Securitization LLC 2006-CB8 A2B
0.46%	10/25/36	³		11,240,000		9,614,319
Discover Card Master Trust 2009-A2 A
1.65%	02/17/15	³		7,275,000		7,405,485
Ellington Loan Acquisition Trust 2007-2 A2C
1.45%	05/25/37	^3,4		5,106,000		3,105,472
Embarcadero Aircraft Securitization Trust 2000-A A1
0.82%	08/15/25	^3,4		1,055,569		453,895
First Franklin Mortgage Loan Asset Backed Certificates 2005-FFH2 M1
0.83%	04/25/35	^3,4		6,228,550		5,832,149
First Franklin Mortgage Loan Asset Backed Certificates 2007-FF1 A2C
0.49%	01/25/38	³		73,000,000		33,833,785
First Union Home Equity Loan Trust 1997-3 B
7.39%	03/25/29			100,276		15,048
GE SeaCo Finance SRL 2004-1A A (Barbados)
0.65%	04/17/19	^2,3,4,†		11,078,333		10,413,824
GE SeaCo Finance SRL 2005-1A A (Barbados)
0.60%	11/17/20	^2,3,4,†		12,255,208		11,213,726
Genesis Funding Ltd. 2006-1A G1 (Bermuda)
0.59%	12/19/32	^2,3,4,†		12,269,778		9,816,244
GMAC Mortgage Corp. Loan Trust 2000-HE2 A1
0.79%	06/25/30	³		397,144		214,131
Green Tree 2008-MH1 A3
8.97%	04/25/38	⁴		33,205,734		35,873,755
Green Tree Recreational Equipment & Consumer Trust 1996-D Certificates
7.24%	12/15/22			140,166		102,918
GSAA Trust 2005-7 AF3
4.75%	05/25/35	³		41,377,454		35,398,681
GSAMP Trust 2006-FM1 A2C
0.51%	04/25/36	³		8,725,597		5,477,040


Issues	Maturity Date		Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
GSAMP Trust 2007-NC1 A2B
0.45%	12/25/46	³	$	25,000,000	$	8,654,038
GSC Partners Gemini Fund Ltd. 1A A (Cayman Islands)
0.94%	10/10/14	^2,3,4,†		3,426,644		3,255,370
Home Equity Asset Trust 2007-1 2A1
0.41%	05/25/37	³		63,972		59,829
HSBC Home Equity Loan Trust 2007-3 A4
1.85%	11/20/36	³		9,985,000		6,570,085
HSBC Home Equity Loan Trust 2007-3 APT
1.55%	11/20/36	³		33,724,392		28,466,405
HSI Asset Securitization Corp. Trust 2006-OPT2 2A3
0.54%	01/25/36	³		11,956,434		10,959,029
IndyMac Manufactured Housing Contract 1997-1 A3
6.61%	02/25/28			555,137		407,178
IndyMac Residential Asset Backed Trust 2007-A 2A4A
0.67%	04/25/47	³		6,256,000		2,585,578
JP Morgan Mortgage Acquisition Corp. 2006-FRE1 A3
0.54%	05/25/35	³		3,396,958		2,899,055
JPMorgan Mortgage Acquisition Corp. 2007-CH1 AF6 (STEP)
5.50%	10/25/36			663,997		541,107
JPMorgan Mortgage Acquisition Corp. 2007-CH3 A4
0.56%	03/25/37	³		1,310,000		449,829
JPMorgan Mortgage Acquisition Corp. 2007-CH5 A3
0.46%	05/25/37	³		300,000		167,773
Lehman XS Trust 2006-GP1 A4A
0.68%	05/25/46	³		33,816,605		8,644,586
MASTR Asset Backed Securities Trust 2007-HE1 A3
0.56%	05/25/37	³		441,000		198,786
Merrill Lynch First Franklin Mortgage Loan Trust 2007-1 A2C
0.60%	04/25/37	³		14,700,000		6,941,024
Merrill Lynch First Franklin Mortgage Loan Trust 2007-3 A2C
0.53%	06/25/37	³		273,800		127,771
Mid-State Trust 11 A1
4.86%	07/15/38			486,900		468,978
Mid-State Trust 2004-1 A
6.01%	08/15/37			61,714		64,338
Mid-State Trust 2005-1 A
5.75%	01/15/40			31,936,873		33,246,748
Mid-State Trust 2006-1 A
5.79%	10/15/40	⁴		21,856,887		22,560,663


Issues	Maturity Date		Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Mid-State Trust 6 A1
7.34%	07/01/35		$	72,369	$	73,759
Morgan Stanley ABS Capital 2007-HE2 A2B
0.44%	01/25/37	³		110,000		53,903
Morgan Stanley ABS Capital I 2005-HE3 M1
0.84%	07/25/35	³		3,604,437		3,546,851
Morgan Stanley ABS Capital I 2007-HE6 A3
0.53%	05/25/37	³		48,020,000		18,317,373
Morgan Stanley Home Equity Loan Trust 2006-3 A4
0.61%	04/25/36	³		10,000,000		4,009,541
Morgan Stanley Mortgage Loan Trust 2007-10XS A18
6.00%	07/25/47	³		24,655,699		17,457,344
Oakwood Mortgage Investors, Inc. 1998-A A4
6.20%	05/15/28			14,094		14,247
Oakwood Mortgage Investors, Inc. 1998-B A4
6.35%	03/15/17			54,965		54,928
Option One Mortgage Loan Trust 2006-3 2A2
0.45%	02/25/37	³		23,960,183		14,565,827
Option One Mortgage Loan Trust 2007-1 2A3
0.49%	01/25/37	³		14,278,000		5,655,523
Option One Mortgage Loan Trust 2007-6 2A4
0.60%	07/25/37	³		100,000		39,043
PAMCO CLO 1998-1A B2 (Cayman Islands)
1.60%	05/01/10	^2,3,4,5,†		1,179,521		82,648
Popular ABS Mortgage Pass-Through Trust 2005-3 AF6 (STEP)
4.76%	07/25/35			4,971,523		4,856,708
Popular ABS Mortgage Pass-Through Trust 2005-6 A5 (STEP)
6.09%	01/25/36			165,000		83,297
Popular ABS Mortgage Pass-Through Trust 2007-A A3
0.66%	06/25/47	³		21,877,500		7,928,362
Residential Asset Mortgage Products, Inc. 2003-RS10 AI6 (STEP)
5.86%	11/25/33			222,198		180,059
Residential Asset Mortgage Products, Inc. 2003-RS11 AI6A (STEP)
5.98%	12/25/33			355,698		325,218
Residential Asset Mortgage Products, Inc. 2004-RS12 MII2
1.15%	12/25/34	³		3,142,388		2,889,172
Residential Funding Mortgage Securities II, Inc. 1999-HI6 AI7 (STEP)
8.60%	09/25/29			421,410		312,250
Residential Funding Mortgage Securities II, Inc. 2000-HI1 AI7 (STEP)
8.79%	02/25/25			324,257		301,840
Resmae Mortgage Loan Trust 2006-1 A1B
0.62%	02/25/36	^3,4		4,569,106		831,157


Issues	Maturity Date		Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Saxon Asset Securities Trust 2005-2 M1
0.77%	10/25/35	³	$	32,400,000	$	27,237,449
Saxon Asset Securities Trust 2007-1 A2C
0.50%	01/25/47	³		8,135,000		3,425,811
Securitized Asset Backed Receivables LLC Trust 2005-FR3 M1
0.82%	04/25/35	³		4,674,462		4,332,607
Securitized Asset Backed Receivables LLC Trust 2006-HE2 A2C
0.50%	07/25/36	³		15,053,000		5,547,317
Securitized Asset Backed Receivables LLC Trust 2007-BR2 A2
0.58%	02/25/37	³		9,667,882		4,556,724
Securitized Asset Backed Receivables LLC Trust 2007-BR5 A2A
0.48%	05/25/37	³		13,769,868		10,217,717
Securitized Asset Backed Receivables LLC Trust 2007-NC1 A2B
0.50%	12/25/36	³		19,025,000		7,730,752
Securitized Asset Backed Receivables LLC Trust 2007-NC2 A2B
0.49%	01/25/37	³		160,000		68,339
SG Mortgage Securities Trust 2006-FRE1 A1B
0.62%	02/25/36	³		3,118,201		1,896,163
SG Mortgage Securities Trust 2006-FRE1 A2B
0.53%	02/25/36	³		14,463,217		7,556,377
SG Mortgage Securities Trust 2006-OPT2 A3C
0.50%	10/25/36	³		12,348,460		5,116,387
Signature 5 CBO
4.00%	10/27/12	⁵		2,000,000		200,000
Soundview Home Equity Loan Trust 2006-EQ1 A2
0.46%	10/25/36	³		21,406,460		20,560,873
Soundview Home Equity Loan Trust 2006-EQ1 A3
0.51%	10/25/36	³		48,751,000		25,209,410
Soundview Home Equity Loan Trust 2006-WF2 A2C
0.49%	12/25/36	³		23,000,000		18,457,521
Soundview Home Equity Loan Trust 2007-NS1 A4
0.65%	01/25/37	³		12,405,000		4,664,938
Soundview Home Equity Loan Trust 2007-OPT1 2A2
0.50%	06/25/37	³		95,000		44,781
Soundview Home Equity Loan Trust 2007-OPT1 2A4
0.63%	06/25/37	³		26,246,000		10,773,038
Soundview Home Equity Loan Trust 2007-OPT3 2A2
0.48%	08/25/37	³		100,000		66,332


Issues	Maturity Date		Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Structured Asset Securities Corp. 2006-WF3 A3
0.50%	09/25/36	³	$	220,000	$	154,222
Structured Asset Securities Corp. 2007-BC2 A3
0.48%	03/25/37	³		225,000		177,946
Structured Asset Securities Corp. 2007-BC3 2A1
0.41%	05/25/47	³		39,900,681		37,425,402
Structured Asset Securities Corp. 2007-EQ1 A4
0.60%	03/25/37	³		26,325,800		9,877,546
Terwin Mortgage Trust 2005-7SL A1
0.62%	07/25/35	^3,4		6,732		6,682
Textainer Marine Containers Ltd. 2005-1A A (Bermuda)
0.60%	05/15/20	^2,3,4		3,810,417		3,469,856
Triton Container Finance LLC 2006-1A
0.52%	11/26/21	^3,4		30,771,767		27,602,942
Triton Container Finance LLC 2007-1A
0.49%	02/26/19	^3,4		19,414,500		17,896,443
Vanderbilt Acquisition Loan Trust 2002-1 A4
6.57%	05/07/27	³		5,024,569		5,364,920
Washington Mutual Asset-Backed Certificates 2006-HE2 A4
0.59%	05/25/36	³		11,165,000		3,930,404
Wells Fargo Home Equity Trust 2006-1 A3
0.50%	05/25/36	³		18,667,108		18,099,161
Wells Fargo Home Equity Trust 2007-2 A1
0.44%	04/25/37	³		10,946,673		10,496,530


Total Asset-Backed Securities
(Cost $1,004,532,287)						1,016,797,511


CORPORATES — 23.18%*
Banking — 4.30%
Ally Financial, Inc.
2.74%	12/01/14	³		9,009,000		7,691,434
BAC Capital Trust VI
5.63%	03/08/35			8,200,000		6,929,057
BAC Capital Trust XV
1.34%	06/01/56	³		14,490,000		9,510,091
Bank of America Corp.
5.75%	12/01/17			1,145,000		1,189,243
6.50%	08/01/16			4,855,000		5,260,805
Bank of America N.A.
0.84%	06/15/17	³		11,140,000		9,560,560
6.10%	06/15/17			14,130,000		14,534,241
Bank One Corp. (STEP)
8.53%	03/01/19			1,485,000		1,796,850
BankAmerica Capital II
8.00%	12/15/26			800,000		782,000


Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Banking (continued)
BankAmerica Capital III
0.87%	01/15/27	³	$	4,795,000	$	3,116,750
BankAmerica Institutional Capital A
8.07%	12/31/26	⁴		350,000		342,125
Barclays Bank Plc (United Kingdom)
5.20%	07/10/14	²		12,079,000		12,759,120
Capital One Financial Corp.
7.38%	05/23/14			3,710,000		4,245,850
Capital One Financial Corp. (MTN)
5.70%	09/15/11			200,000		209,116
Chase Capital II B
0.84%	02/01/27	³		6,700,000		5,052,410
Chase Capital VI
0.97%	08/01/28	³		3,640,000		2,876,612
City National Corp.
5.13%	02/15/13			6,200,000		6,482,298
Credit Suisse USA, Inc.
5.13%	08/15/15			15,000		16,347
Credit Suisse/Guernsey 1 (Switzerland)
1.13%	05/29/49	^2,3		21,793,000		15,517,706
Credit Suisse/New York (MTN) (Switzerland)
5.00%	05/15/13	²		14,868,000		15,895,334
Credit Suisse/New York (Switzerland)
5.30%	08/13/19	²		3,600,000		3,823,114
5.50%	05/01/14	²		11,790,000		12,901,656
6.00%	02/15/18	²		36,220,000		37,851,928
Deutsche Bank AG/London (Germany)
4.88%	05/20/13	²		14,320,000		15,300,233
Discover Bank
8.70%	11/18/19			11,645,000		12,949,310
First Chicago NBD Institutional Capital I
0.89%	02/01/27	³		5,355,000		3,989,711
Fleet Capital Trust II
7.92%	12/11/26			770,000		749,595
Goldman Sachs Group, Inc. (The)
6.00%	06/15/20			23,600,000		23,955,798
HBOS Capital Funding LP (United Kingdom)
6.07%	06/24/49	^2,3,4		5,823,000		4,076,100
HBOS Plc (United Kingdom)
6.75%	05/21/18	^2,4		29,123,000		27,299,609
JPMorgan Chase & Co. C (MTN)
0.00%	07/23/13	³		2,500,000		2,405,750
JPMorgan Chase Bank N.A.
6.00%	10/01/17			37,407,000		40,794,989
Lloyds Banking Group Capital No. 1 Plc (United Kingdom)
7.88%	11/01/20	^2,4		2,030,000		1,654,450
8.00%	12/29/49	^2,3		39,467,000		30,981,595


Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Banking (continued)
National Australia Bank Ltd. (Australia)
5.35%	06/12/13	^2,4	$	20,425,000	$	21,928,202
National Capital Trust II (Australia)
5.49%	12/29/49	^2,3,4		2,717,000		2,366,344
Nationsbank Capital Trust III
0.85%	01/15/27	³		8,684,000		5,757,561
NB Capital Trust II
7.83%	12/15/26			5,625,000		5,442,188
Svenska Handelsbanken AB (Sweden)
4.88%	06/10/14	^2,4		23,240,000		24,559,962
Wachovia Corp.
0.68%	10/28/15	³		13,165,000		11,785,661
Wachovia Corp. (MTN)
5.50%	05/01/13			35,000		38,012

						414,379,717


Communications — 0.36%
Cequel Communications Holdings I LLC/Cequel Capital Corp.
8.63%	11/15/17	⁴		2,000,000		2,002,500
Cincinnati Bell, Inc.
8.25%	10/15/17			1,000,000		940,000
Comcast Cable Communications LLC
6.75%	01/30/11			75,000		77,358
CSC Holdings LLC
7.63%	07/15/18			1,550,000		1,575,187
Frontier Communications Corp.
7.13%	03/15/19			1,825,000		1,697,250
Intelsat Jackson Holdings SA (Bermuda)
9.50%	06/15/16	²		500,000		527,500
Qwest Communications International, Inc. B
7.50%	02/15/14			7,000,000		7,052,500
Qwest Corp.
7.88%	09/01/11			19,150,000		20,011,750
Visant Holding Corp.
8.75%	12/01/13			925,000		938,875

						34,822,920


Electric — 2.68%
AES Corp. (The)
8.75%	05/15/13	⁴		362,000		369,240
Cedar Brakes I LLC
8.50%	02/15/14	⁴		4,929,460		4,940,428
Cedar Brakes II LLC
9.88%	09/01/13	⁴		6,445,420		6,655,161
Cleco Power LLC
6.65%	06/15/18			17,775,000		20,332,609
Coso Geothermal Power Holdings
7.00%	07/15/26	⁴		14,398,455		13,867,959


Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Electric (continued)
Dynegy Holdings, Inc.
6.88%	04/01/11		$	725,000	$	735,875
Dynegy Roseton/Danskammer Pass Through Trust B
7.67%	11/08/16			47,835,000		42,094,800
Entergy Gulf States Louisiana LLC
6.00%	05/01/18			17,500,000		19,626,950
Entergy Gulf States, Inc.
5.25%	08/01/15			2,054,000		2,056,736
Entergy Louisiana LLC
5.83%	11/01/10			503,000		503,878
FPL Energy National Wind Portfolio LLC
6.13%	03/25/19	⁴		360,611		353,810
FPL Energy Wind Funding LLC
6.88%	06/27/17	⁴		1,504,545		1,493,261
FPL Group Capital, Inc.
1.42%	06/17/11	³		1,000,000		1,006,708
5.35%	06/15/13			955,000		1,038,830
GWF Energy LLC
6.13%	12/30/11	⁴		1,036,950		1,055,698
Kansas City Power & Light Co.
6.38%	03/01/18			7,102,000		8,079,661
KCP&L Greater Missouri Operations Co.
7.95%	02/01/11			7,375,000		7,631,392
11.88%	07/01/12			23,934,000		27,574,553
Midwest Generation LLC B
8.56%	01/02/16			10,308,229		10,243,803
Mirant Mid Atlantic Pass Through Trust B
9.13%	06/30/17			19,342,375		19,995,180
Mirant Mid Atlantic Pass-Through Trust A
8.63%	06/30/12			7,574,773		7,726,268
NiSource Finance Corp.
10.75%	03/15/16			6,590,000		8,454,753
NRG Energy, Inc.
7.25%	02/01/14			1,845,000		1,874,981
7.38%	02/01/16			825,000		822,938
Public Service Co. of New Hampshire
6.00%	05/01/18			5,000,000		5,691,380
Public Service Co. of New Mexico
7.95%	05/15/18			17,924,000		18,906,486
PVNGS II Funding Corp., Inc.
8.00%	12/30/15			119,000		128,458
Reliant Energy Mid-Atlantic Power Holdings LLC B
9.24%	07/02/17			14,188,012		14,737,797
Southwestern Electric Power Co.
6.45%	01/15/19			275,000		302,839


Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Electric (continued)
Virginia Electric & Power Co.
5.10%	11/30/12		$	9,295,000	$	10,093,180


						258,395,612

Energy — 1.84%
Allis-Chalmers Energy, Inc.
8.50%	03/01/17			1,000,000		870,000
Atlas Energy Operating Co. LLC/Atlas Energy Finance Corp.
10.75%	02/01/18			1,000,000		1,071,250
CenterPoint Energy Resources Corp. B
7.88%	04/01/13			170,000		194,920
Chesapeake Energy Corp.
7.00%	08/15/14			925,000		944,656
Comstock Resources, Inc.
6.88%	03/01/12			850,000		847,875
8.38%	10/15/17			900,000		896,625
Corral Petroleum Holdings AB (Sweden)
2.00%	09/18/11	^2,3,4		398,933		369,013
Dynegy Roseton/Danskammer Pass-Through Trust A
7.27%	11/08/10			625,858		625,858
Hilcorp Energy I LP/Hilcorp Finance Co.
7.75%	11/01/15	⁴		2,175,000		2,153,250
Massey Energy Co.
6.88%	12/15/13			1,500,000		1,471,875
OPTI Canada, Inc. (Canada)
7.88%	12/15/14	²		750,000		652,500
Premcor Refining Group, Inc. (The)
6.13%	05/01/11			4,275,000		4,391,767
Sabine Pass LNG LP
7.25%	11/30/13			37,111,000		33,585,455
7.50%	11/30/16			11,955,000		10,012,313
Sonat, Inc.
7.63%	07/15/11			1,600,000		1,658,518
Southern Union Co.
7.20%	11/01/66	³		50,778,000		45,002,003
Tesoro Corp.
6.50%	06/01/17			1,175,000		1,081,000
Valero Energy Corp.
7.50%	04/15/32			20,000,000		21,025,420
9.38%	03/15/19			17,258,000		20,936,836
10.50%	03/15/39			3,575,000		4,785,792
Williams Cos., Inc. (The)
7.88%	09/01/21			18,207,000		20,906,861
Williams Cos., Inc. (The) A
7.50%	01/15/31			3,545,000		3,781,005


						177,264,792


Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Finance — 8.82%
Astoria Depositor Corp.
8.14%	05/01/21	⁴	$	14,575,000	$	14,429,250
BankBoston Capital Trust III
1.29%	06/15/27	³		10,755,000		7,296,751
Barnett Capital III
0.97%	02/01/27	³		3,150,000		2,121,327
Bear Stearns Cos. LLC (The)
4.65%	07/02/18			4,330,000		4,347,631
7.25%	02/01/18			20,580,000		24,067,096
Cantor Fitzgerald LP
6.38%	06/26/15	⁴		12,300,000		12,357,822
Citigroup Capital III
7.63%	12/01/36			7,438,000		6,859,333
Citigroup Funding, Inc. 2
0.67%	04/30/12	³		30,870,000		31,131,932
Citigroup, Inc.
0.63%	11/05/14	³		14,309,000		13,119,579
1.05%	08/25/36	³		12,038,000		7,919,800
5.30%	10/17/12			50,000		51,843
5.50%	08/27/12			100,000		104,290
6.00%	08/15/17			22,453,000		23,356,239
6.13%	11/21/17			55,000		57,522
6.13%	05/15/18			7,600,000		7,944,333
6.13%	08/25/36			5,998,000		5,468,365
6.38%	08/12/14			3,950,000		4,214,451
6.50%	08/19/13			7,644,000		8,147,961
6.88%	03/05/38			17,767,000		18,697,795
8.13%	07/15/39			23,993,000		28,711,943
City National Capital Trust I
9.63%	02/01/40			15,000,000		15,825,210
Countrywide Capital III B
8.05%	06/15/27			3,000,000		2,984,310
Countrywide Financial Corp. (MTN)
5.80%	06/07/12			23,045,000		24,309,286
Countrywide Home Loans, Inc. L (MTN)
4.00%	03/22/11			1,600,000		1,629,470
Discover Financial Services
10.25%	07/15/19			3,885,000		4,630,815
General Electric Capital Corp.
5.63%	05/01/18			5,718,000		6,131,436
General Electric Capital Corp. (MTN)
0.49%	01/08/16	³		6,000,000		5,493,000
0.68%	06/20/14	³		1,250,000		1,178,894
0.73%	05/05/26	³		1,900,000		1,487,552
1.38%	05/22/13	³		4,650,000		4,613,494
6.88%	01/10/39			12,115,000		13,420,621
General Electric Capital Corp. A (MTN)
0.80%	09/15/14	³		34,687,000		32,731,694


Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Finance (continued)
General Electric Capital Corp. E (MTN)
0.59%	03/20/14	³	$	30,100,000	$	28,372,019
Goldman Sachs Group, Inc. (The)
0.53%	02/06/12	³		1,305,000		1,272,799
0.79%	01/12/15	³		3,800,000		3,502,323
0.99%	03/22/16	³		130,000		116,159
1.15%	12/05/11	³		30,365,000		30,725,524
4.75%	07/15/13			9,150,000		9,596,197
5.95%	01/18/18			100,000		104,029
6.15%	04/01/18			26,326,000		27,619,344
7.50%	02/15/19			46,316,000		53,084,903
Goldman Sachs Group, Inc. (The) (MTN)
6.00%	05/01/14			6,000,000		6,453,498
Goldman Sachs Group, Inc. B (The) (MTN)
0.71%	07/22/15	³		8,715,000		7,878,691
JPMorgan Chase Capital XIII M
1.48%	09/30/34	³		3,699,000		2,755,359
JPMorgan Chase Capital XXI U
1.29%	02/02/37	³		2,000,000		1,459,120
JPMorgan Chase Capital XXIII
1.44%	05/15/47	³		17,280,000		12,746,385
JPMorgan Chase Capital XXVII
7.00%	11/01/39			6,925,000		7,064,386
Lehman Brothers Holdings, Inc. (MTN)
0.00%	06/20/16	^3,6,7		12,736,000		2,419,840
8.92%	02/16/17	^6,7		7,103,000		1,349,570
11.00%	11/07/16	^3,6,7		12,918,000		2,454,420
Lehman Brothers Holdings, Inc. H (MTN)
0.00%	11/30/10	^3,6,7		6,812,000		1,294,280
M&T Capital Trust III
9.25%	02/01/27			10,200,000		10,863,775
MBNA Capital A
8.28%	12/01/26			7,744,000		7,608,480
MBNA Capital B
1.14%	02/01/27	³		21,350,000		14,481,705
MBNA Corp.
6.13%	03/01/13			7,355,000		7,900,778
Merrill Lynch & Co., Inc. (MTN)
6.05%	08/15/12			125,000		132,972
8.68%	05/02/17	³		2,935,000		3,129,444
8.95%	05/18/17	³		4,970,000		5,336,538
9.57%	06/06/17	³		11,517,000		12,654,304
Morgan Stanley
0.55%	01/18/11	³		1,010,000		1,003,674
0.78%	10/15/15	³		1,615,000		1,443,508
0.89%	06/20/12	³		47,575,000		48,022,072
4.20%	11/20/14			18,585,000		18,369,656
5.38%	10/15/15			7,900,000		8,010,813
6.00%	05/13/14			24,925,000		26,481,250


Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Finance (continued)
6.60%	04/01/12		$	680,000	$	721,738
Morgan Stanley (MTN)
0.75%	10/18/16	³		14,975,000		13,114,356
5.63%	01/09/12			125,000		130,435
5.95%	12/28/17			125,000		126,772
6.63%	04/01/18			7,570,000		7,946,373
Morgan Stanley G (MTN)
0.60%	01/09/14	³		8,105,000		7,467,988
Pemex Finance Ltd. (Cayman Islands)
8.88%	11/15/10	²		50,000		51,262
Pipeline Funding Co. LLC
7.50%	01/15/30	⁴		35,250,000		38,321,861
Power Receivable Finance LLC
6.29%	01/01/12	⁴		80,881		82,507
6.29%	01/01/12			111,560		113,802
Prime Property Funding II, Inc.
5.60%	06/15/11	⁴		125,000		126,873
Prudential Holdings LLC
8.70%	12/18/23	⁴		14,390,000		18,240,266
Raymond James Financial, Inc.
8.60%	08/15/19			9,233,000		10,892,133
Woodbourne Capital Trust I
2.73%	04/08/49	^3,4,5		900,000		387,000
Woodbourne Capital Trust II
2.73%	04/08/49	^3,4,5		1,525,000		655,750
Woodbourne Capital Trust III
2.73%	04/08/49	^3,4,5		1,525,000		655,750
Woodbourne Capital Trust IV
2.73%	04/08/49	^3,4,5		1,150,000		494,500
ZFS Finance USA Trust I
6.15%	12/15/65	^3,4		29,446,000		27,679,240
ZFS Finance USA Trust II
6.45%	12/15/65	^3,4		2,775,000		2,511,375
ZFS Finance USA Trust IV
5.88%	05/09/32	^3,4		21,972,000		19,500,590

						849,769,431


Food — 0.01%
JBS USA LLC/JBS USA Finance, Inc.
11.63%	05/01/14			500,000		563,125


Health Care — 0.18%
CHS/Community Health Systems, Inc.
8.88%	07/15/15			3,775,000		3,888,250
HCA, Inc.
8.50%	04/15/19			13,035,000		13,817,100
WellPoint, Inc.
5.88%	06/15/17			125,000		139,458

						17,844,808


Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Industrials — 0.19%
General Electric Co.
5.25%	12/06/17		$	16,828,000	$	18,327,156


Insurance — 1.49%
Allied World Assurance Co. Holdings Ltd. (Bermuda)
7.50%	08/01/16	²		375,000		413,502
Fairfax Financial Holdings Ltd. (Canada)
7.75%	04/26/12	²		6,902,000		7,247,100
Farmers Exchange Capital
7.05%	07/15/28	⁴		15,176,000		14,511,883
7.20%	07/15/48	⁴		5,700,000		5,281,078
Farmers Insurance Exchange
8.63%	05/01/24	⁴		16,145,000		18,017,594
MetLife Capital Trust X
9.25%	04/08/38	^3,4		11,500,000		12,477,500
MetLife, Inc.
7.72%	02/15/19			10,080,000		12,016,902
Metropolitan Life Global Funding I
2.44%	06/10/11	^3,4		13,300,000		13,470,293
Nationwide Mutual Insurance Co.
5.81%	12/15/24	^3,4		12,403,000		10,555,325
6.60%	04/15/34	⁴		19,518,000		17,256,664
Pricoa Global Funding I
0.44%	01/30/12	^3,4		15,690,000		15,392,878
5.45%	06/11/14	⁴		15,130,000		16,464,194
Travelers Cos., Inc. (The)
6.25%	03/15/37	³		370,000		347,661


						143,452,574


Materials — 0.10%
Barrick Gold Finance Co. LLC (Canada)
6.13%	09/15/13	²		7,920,000		8,835,734
Lyondell Chemical Co.
11.00%	05/01/18			441,113		475,299


						9,311,033


Real Estate Investment Trust (REIT) — 1.67%
BRE Properties, Inc.
5.50%	03/15/17			100,000		102,025
Duke Realty LP
5.40%	08/15/14			1,250,000		1,298,822
6.25%	05/15/13			75,000		79,986
ERP Operating LP
5.75%	06/15/17			100,000		107,905
First Industrial LP (MTN)
7.50%	12/01/17			280,000		256,344
HCP, Inc.
5.65%	12/15/13			3,290,000		3,474,190
6.00%	01/30/17			5,750,000		5,813,446


Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Real Estate Investment Trust (REIT) (continued)
6.45%	06/25/12		$	11,800,000	$	12,579,685
7.07%	06/08/15			125,000		136,058
HCP, Inc. (MTN)
4.88%	09/15/10			8,055,000		8,094,228
5.95%	09/15/11			165,000		171,096
6.30%	09/15/16			20,274,000		21,008,973
6.70%	01/30/18			8,650,000		9,141,558
Highwoods Properties, Inc.
7.50%	04/15/18			6,795,000		7,315,830
Shurgard Storage Centers LLC
5.88%	03/15/13			624,000		673,614
7.75%	02/22/11			7,200,000		7,394,090
Simon Property Group LP
4.88%	08/15/10			24,080,000		24,141,982
5.30%	05/30/13			5,123,000		5,515,104
6.13%	05/30/18			1,290,000		1,426,123
UDR, Inc.
6.05%	06/01/13			3,590,000		3,816,098
UDR, Inc. (MTN)
5.00%	01/15/12			2,845,000		2,925,940
UDR, Inc. E (MTN)
5.13%	01/15/14			7,075,000		7,278,081
Washington Real Estate Investment Trust
5.95%	06/15/11			250,000		257,855
WEA Finance LLC
7.13%	04/15/18	⁴		33,350,000		37,686,834


						160,695,867


Services — 0.01%
Mobile Mini, Inc.
6.88%	05/01/15			750,000		699,375
United Rentals North America, Inc.
7.00%	02/15/14			375,000		354,375


						1,053,750


Transportation — 1.53%
American Airlines Pass-Through Trust 2001-02
6.98%	04/01/11			21,089		21,036
American Airlines Pass-Through Trust 2003-1 (AMBAC)
3.86%	07/09/10			3,819,302		3,823,962
American Airlines Pass-Through Trust 2009-1A
10.38%	07/02/19			15,001,959		16,652,174
Continental Airlines Pass-Through Trust 1997-4 A
6.90%	01/02/18			4,378,254		4,389,200


Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Transportation (continued)
Continental Airlines Pass-Through Trust 1999-2 A-1
7.26%	03/15/20		$	6,748,352	$	6,883,319
Continental Airlines Pass-Through Trust 2007-1 A
5.98%	04/19/22			4,803,400		4,842,163
Continental Airlines Pass-Through Trust 2007-1 B
6.90%	04/19/22			2,478,252		2,302,296
Continental Airlines Pass-Through Trust 2009-2 A
7.25%	11/10/19			22,005,000		23,413,320
Delta Air Lines, Inc.
9.50%	09/15/14	⁴		4,095,000		4,320,225
Delta Air Lines, Inc. 2001 A2
7.11%	09/18/11			7,898,000		8,223,793
Delta Air Lines, Inc. 2002 G1
6.72%	01/02/23			1,968,688		1,850,567
Delta Air Lines, Inc. 2002 G2
6.42%	07/02/12			21,370,000		21,797,400
Delta Air Lines, Inc. 2007 1A
6.82%	08/10/22			1,023,878		1,011,079
Northwest Airlines, Inc. 2001 1A-2
6.84%	04/01/11			23,530,000		23,800,595
Northwest Airlines, Inc. 2001-1 A1
7.04%	04/01/22			1,056,181		1,045,619
UAL Pass-Through Trust 2009-2 A
9.75%	01/15/17			21,450,000		22,790,625


						147,167,373


Total Corporates
(Cost $2,089,295,541)						2,233,048,158


BANK LOANS — 0.58%*

Communications — 0.03%
Charter Communications, Inc. Term Loan 3rd Lien
3.04%	09/06/14	⁸		1,000,000		893,500
Dex Media West LLC Term Loan
7.50%	10/24/14	^3,8		2,030,538		1,830,386
Univision Communications, Inc. 1st Lien Strip
2.60%	09/29/14	⁸		372,634		313,686


						3,037,572


Consumer Discretionary — 0.01%
Tribune 1st Lien Term Loan B
3.25%	06/04/14	^6,7,8		1,500,000		917,250


Electric — 0.13%
Calpine New Development Holdings LLC
11.54%	06/08/17	⁸		9,500,000		9,418,576


Issues	Maturity Date		Principal Amount		Value
BANK LOANS (continued)
Electric (continued)
TPF Generation Holdings LLC 2nd Lien
4.78%	12/15/14	⁸	$	1,000,000	$	897,000
TXU Energy Term Loan B1
3.85%	10/10/14	⁸		987,310		732,460
TXU Energy Term Loan B3
3.85%	10/10/14	⁸		2,432,469		1,804,208


						12,852,244


Finance — 0.07%
Kelson 1st Lien
3.78%	03/08/13	⁸		6,862,989		6,557,586


Gaming — 0.10%
Harrah’s Entertainment, Inc. Term Loan B2
3.32%	01/28/15	⁸		12,250,000		10,215,349


Health Care — 0.21%
Carestream Health, Inc. Term Loan
5.60%	10/30/13	⁸		250,000		231,771
HCA Term Loan A
2.03%	11/17/12	⁸		20,950,678		19,845,320


						20,077,091


Insurance — 0.01%
Asurion Corp. Term Loan
3.36%	07/07/14	⁸		744,375		706,625


Services — 0.02%
Cengage Learning Term Loan B
3.03%	07/03/14	⁸		1,945,000		1,685,099


Transportation — 0.00%
Delta Air Lines, Inc. Term Loan 1st Lien
2.21%	04/30/12	⁸		237,551		227,455

Total Bank Loans
(Cost $56,224,693)						56,276,271


MORTGAGE-BACKED — 40.28%**
Commercial Mortgage-Backed — 9.39%
Banc of America Commercial Mortgage, Inc. 2001-1 A2
6.50%	04/15/36			23,767,407		24,248,647
Banc of America Commercial Mortgage, Inc. 2005-3 A3A
4.62%	07/10/43			350,000		359,045
Bayview Commercial Asset Trust 2006-3A A1
0.60%	10/25/36	^3,4		7,025,015		4,641,965
Bear Stearns Commercial Mortgage Securities, Inc. 2001-TOP4 A3
5.61%	11/15/33			25,000,000		25,828,560
Bear Stearns Commercial Mortgage Securities, Inc. 2003-PWR2 A4
5.19%	05/11/39	³		39,006,000		41,381,532


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed (continued)
Bear Stearns Commercial Mortgage Securities, Inc. 2003-T12 A4
4.68%	08/13/39³	$	6,225,000	$	6,583,877
Bear Stearns Commercial Mortgage Securities, Inc. 2005-T20 A4A
5.15%	10/12/42³		29,045,000		30,955,571
Bear Stearns Commercial Mortgage Securities, Inc. 2006-PW13 A4
5.54%	09/11/41		3,165,000		3,307,090
Chase Commercial Mortgage Securities Corp. 2000-3 A2
7.32%	10/15/32		41,159,723		41,276,378
Citigroup Commercial Mortgage Trust 2007-C6 A4
5.70%	12/10/49³		14,440,000		14,746,017
Citigroup/Deutsche Bank Commercial Mortgage Trust 2007-CD4 A4
5.32%	12/11/49		16,645,000		16,201,607
Citigroup/Deutsche Bank Commercial Mortgage Trust 2007-CD5 A4
5.89%	11/15/44³		1,925,000		1,955,790
Commercial Mortgage Loan Trust 2008-LS1 A4B
6.02%	12/10/49³		48,895,000		48,449,474
Commercial Mortgage Loan Trust 2008-LS1 AJ
6.02%	12/10/49³		8,018,000		4,110,701
Credit Suisse Mortgage Capital Certificates 2006-C1 A3
5.71%	02/15/39³		350,000		361,877
Credit Suisse Mortgage Capital Certificates 2006-C5 A3
5.31%	12/15/39		50,195,000		49,767,685
Credit Suisse Mortgage Capital Certificates 2007-C2 A2
5.45%	01/15/49³		4,974,000		5,088,323
CW Capital Cobalt Ltd. 2006-C1 A4
5.22%	08/15/48		4,275,000		4,278,746
First Union National Bank-Bank of America Commercial Mortgage Trust 2001-C1 A2
6.14%	03/15/33		34,099,824		34,423,868
GE Capital Commercial Mortgage Corp. 2000-1 A2
6.50%	01/15/33		33,239,488		33,653,915
GMAC Commercial Mortgage Securities, Inc. 1998-C2 X (IO)
1.09%	05/15/35^3,5		28,201,369		1,107,956
GMAC Commercial Mortgage Securities, Inc. 2000-C3 A2
6.96%	09/15/35		31,627,988		31,869,961
GMAC Commercial Mortgage Securities, Inc. 2002-C1 A2
6.28%	11/15/39		20,000,000		20,888,464


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed (continued)
Greenwich Capital Commercial Funding Corp. 2002-C1 A4
4.95%	01/11/35	$	34,500,000	$	36,086,524
Greenwich Capital Commercial Funding Corp. 2006-GG7 A4
5.89%	07/10/38³		52,354,554		54,820,469
Greenwich Capital Commercial Funding Corp. 2007-GG9 A4
5.44%	03/10/39		74,275,000		74,557,713
JPMorgan Chase Commercial Mortgage Securities Corp. 2001-CIBC A3
6.26%	03/15/33		25,116,394		25,460,137
JPMorgan Chase Commercial Mortgage Securities Corp. 2006-LDP7 A4
6.06%	04/15/45³		33,110,000		35,339,505
JPMorgan Chase Commercial Mortgage Securities Corp. 2007-CB18 A4
5.44%	06/12/47		3,065,000		3,067,186
JPMorgan Chase Commercial Mortgage Securities Corp. 2007-CB19 A4
5.74%	02/12/49³		17,773,000		17,716,786
JPMorgan Chase Commercial Mortgage Securities Corp. 2007-LD12 A4
5.88%	02/15/51³		48,970,000		49,217,915
LB-UBS Commercial Mortgage Trust 2003-C8 A4
5.12%	11/15/32³		320,000		342,112
Merrill Lynch/Countrywide Commercial Mortgage Trust 2006-2 A1
5.77%	06/12/46³		4,285,107		4,317,740
Merrill Lynch/Countrywide Commercial Mortgage Trust 2006-4 A3
5.17%	12/12/49³		32,840,000		32,488,149
Merrill Lynch/Countrywide Commercial Mortgage Trust 2006-4 ASB
5.13%	12/12/49³		25,000,000		26,415,705
Merrill Lynch/Countrywide Commercial Mortgage Trust 2007-7 A4
5.81%	06/12/50³		36,440,000		35,717,952
Morgan Stanley Capital I 2006-T21 A4
5.16%	10/12/52³		16,160,000		16,934,592
Morgan Stanley Capital I 2007-IQ16 A4
5.81%	12/12/49		30,007,500		31,132,904
Prudential Commercial Mortgage Trust 2003-PWR1 A1
3.67%	02/11/36		5,614,346		5,646,045
Prudential Mortgage Capital Funding LLC 2001-ROCK A2
6.61%	05/10/34		3,880,775		3,971,098
Salomon Brothers Mortgage Securities VII, Inc. 2002-KEY2 A3
4.87%	03/18/36		415,000		433,571


Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed (continued)
TIAA Seasoned Commercial Mortgage Trust 2007-C4 A3
6.07%	08/15/39	³	$	3,115,000	$	3,399,377
Wachovia Bank Commercial Mortgage Trust 2006-C28 A4
5.57%	10/15/48			1,980,000		2,052,151


						904,604,680


Non-Agency Mortgage-Backed — 5.73%
American Home Mortgage Assets 2007-4 A2
0.54%	08/25/37	³		36,102,000		24,067,922
American Home Mortgage Investment Trust 2006-1 2A3
5.10%	12/25/35	³		352,810		240,282
Banc of America Funding Corp. 2003-2 1A1
6.50%	06/25/32			106,384		111,064
Banc of America Funding Corp. 2007-8 2A1
7.00%	10/25/37			26,745,904		19,030,031
Banc of America Mortgage Securities, Inc. 2005-E 2A6
2.87%	06/25/35	³		100,000		86,547
Banc of America Mortgage Securities, Inc. 2006-B 4A1
6.17%	11/20/46	³		17,202,915		16,533,092
Banco de Credito Y Securitizacion SA 2001-1 AF (Argentina)
8.00%	05/31/10	^2,4,5		652,758		52,221
Bear Stearns Adjustable Rate Mortgage Trust 2003-4 3A1
5.00%	07/25/33	³		225,191		231,901
Bear Stearns Alt-A Trust 2005-4 21A1
3.03%	05/25/35	³		29,960,713		20,334,449
BHN I Mortgage Fund 1997-2 A1 (Argentina)
1.80%	05/31/17	^2,3,4,5,6,7		13,760		1,926
BHN I Mortgage Fund 1997-2 A2 (Argentina)
7.54%	05/31/17	^2,4,5,6,7		2,500		349
BHN I Mortgage Fund 2000-1 AF (Argentina)
8.00%	03/31/11	^2,4,5		6,000		720
BlackRock Capital Finance LP 1997-R2 AP
10.32%	12/25/35	^3,4,5		3,663		3,665
Chase Mortgage Finance Corp. 2005-A1 2A3
5.23%	12/25/35	³		1,710,000		1,407,293
Chase Mortgage Finance Corp. 2007-A2 2A3
3.56%	07/25/37	³		17,728,789		17,054,883
Chevy Chase Mortgage Funding Corp. 2004-1A A1
0.63%	01/25/35	^3,4		2,501,877		1,867,507
Citigroup Mortgage Loan Trust, Inc. 2004-RR2 A2
4.72%	05/25/34	^3,4		19,094,440		18,125,894


Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Collateralized Mortgage Obligation Trust 57 D
9.90%	02/01/19		$	5,195	$	5,681
Countrywide Alternative Loan Trust 2004-J6 2A1
6.50%	11/25/31			50,323		52,116
Countrywide Alternative Loan Trust 2005-27 2A1
1.77%	08/25/35	³		9,669,927		4,422,284
Countrywide Alternative Loan Trust 2005-36 2A1A
0.66%	08/25/35	³		325,092		129,106
Countrywide Alternative Loan Trust 2005-43 4A1
5.59%	10/25/35	³		406,913		303,192
Countrywide Alternative Loan Trust 2005-59 1A1
0.67%	11/20/35	³		238,524		138,383
Countrywide Alternative Loan Trust 2006-46 A4
6.00%	02/25/47			9,537,562		8,273,799
Countrywide Alternative Loan Trust 2006-OA10 1A1
1.35%	08/25/46	³		6,275,153		3,162,737
Countrywide Alternative Loan Trust 2006-OA14 3A1
1.27%	11/25/46	³		919,053		395,046
Countrywide Alternative Loan Trust 2006-OA17 1A1A
0.54%	12/20/46	³		41,881,062		20,702,604
Countrywide Alternative Loan Trust 2006-OA18 A1
0.47%	12/25/46	³		43,015,773		22,490,625
Countrywide Alternative Loan Trust 2006-OA22 A1
0.51%	02/25/47	³		1,271,132		761,022
Countrywide Alternative Loan Trust 2006-OA8 1A1
0.54%	07/25/46	³		29,197,440		15,165,553
Countrywide Alternative Loan Trust 2007-22 2A16
6.50%	09/25/37			55,207,840		40,292,288
Countrywide Home Loan Mortgage Pass-Through Trust 2001-HYB1 1A1
2.56%	06/19/31	³		54,406		44,616
Countrywide Home Loan Mortgage Pass-Through Trust 2004-14 4A1
5.11%	08/25/34	³		8,465,555		8,425,208
Countrywide Home Loan Mortgage Pass-Through Trust 2005-HYB5 4A1
5.00%	09/20/35	³		10,635,627		7,265,322
Countrywide Home Loan Mortgage Pass-Through Trust 2007-HY3 2A1
5.49%	06/25/47	³		39,908,996		28,958,586


Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Credit Suisse First Boston Mortgage Securities Corp. 2003-AR20 2A4
2.92%	08/25/33	³	$	71,739	$	62,947
Credit Suisse Mortgage Capital Certificates 2006-6 2A1
0.95%	07/25/36	³		225,406		87,123
Deutsche ALT-A Securities, Inc. 2005-3 4A5
5.25%	06/25/35			79,165		71,363
DLJ Mortgage Acceptance Corp. 1996-QA S (IO)
3.26%	01/25/26	^3,4,5		85,109		53
Equity One ABS, Inc. 1998-1 A2 (STEP)
7.48%	11/25/29			73,775		66,442
First Horizon Alternative Mortgage Securities 2004-AA3 A1
2.33%	09/25/34	³		116,848		92,913
First Horizon Asset Securities, Inc. 2004-AR5 2A1
3.00%	10/25/34	³		23,109		22,231
First Horizon Asset Securities, Inc. 2005-AR6 2A1B
5.51%	01/25/36	³		26,990,000		19,003,775
Harborview Mortgage Loan Trust 2007-7 2A1A
1.35%	11/25/47	³		2,283,917		1,479,091
IndyMac Index Mortgage Loan Trust 2004-AR5 2A1B
1.15%	08/25/34	³		62,011		37,281
IndyMac Index Mortgage Loan Trust 2004-AR6 6A1
5.52%	10/25/34	³		577,487		510,291
IndyMac Index Mortgage Loan Trust 2004-AR7 A2
1.21%	09/25/34	³		197,462		113,702
IndyMac Index Mortgage Loan Trust 2004-AR8 2A2A
0.75%	11/25/34	³		110,359		68,052
IndyMac Index Mortgage Loan Trust 2005-AR18 2A1A
0.66%	10/25/36	³		419,240		256,315
IndyMac Index Mortgage Loan Trust 2006-AR19 1A2
5.73%	08/25/36	³		36,329,798		18,279,864
JPMorgan Alternative Loan Trust 2006-A6 2A5
6.05%	11/25/36	³		360,000		232,228
JPMorgan Alternative Loan Trust 2007-A2 12A2
0.45%	06/25/37	³		7,349,322		6,707,950
JPMorgan Mortgage Trust 2003-A2 2A3
4.70%	11/25/33	³		705,000		637,022


Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
JPMorgan Mortgage Trust 2005-A5 3A2
5.36%	08/25/35	³	$	286,907	$	269,025
JPMorgan Mortgage Trust 2005-A5 TA1
5.43%	08/25/35	³		2,278,607		2,199,470
JPMorgan Mortgage Trust 2006-A2 2A2
5.75%	04/25/36	³		1,475,000		1,219,582
JPMorgan Mortgage Trust 2006-A2 2A4
5.75%	04/25/36	³		17,325,000		13,814,825
JPMorgan Mortgage Trust 2006-A3 3A4
5.74%	05/25/36	³		23,500,000		18,285,496
Lehman XS Trust 2007-15N 2A1
0.60%	08/25/37	³		62,523,209		39,546,054
Lehman XS Trust 2007-16N 2A2
1.20%	09/25/47	³		483,422		270,560
MASTR Adjustable Rate Mortgages Trust 2003-6 4A2
5.18%	01/25/34	³		307,897		307,669
MASTR Adjustable Rate Mortgages Trust 2004-13 3A7A
2.96%	11/21/34	³		440,000		414,808
MASTR Adjustable Rate Mortgages Trust 2004-5 3A1
2.77%	06/25/34	³		2,215		1,817
MASTR Asset Securitization Trust 2002-8 1A1
5.50%	12/25/17			74,085		76,664
MASTR Seasoned Securities Trust 2004-1 4A1
3.15%	10/25/32	³		74,029		60,449
MASTR Seasoned Securities Trust 2004-2 A2
6.50%	08/25/32			4,187,243		4,486,369
Merrill Lynch Alternative Note Asset 2007-AF1 AV1
5.42%	06/25/37	³		7,573,670		3,921,583
Morgan Stanley Mortgage Loan Trust 2006-7 5A2
5.96%	06/25/36	³		300,000		165,178
Ocwen Residential MBS Corp. 1998-R2 AP
12.91%	11/25/34	^3,4		22,895		14,898
Residential Accredit Loans, Inc. 2003-QS3 A4
5.50%	02/25/18			121,668		117,098
Residential Accredit Loans, Inc. 2007-QO4 A1
0.55%	05/25/47	³		26,861,042		13,859,425
Residential Asset Mortgage Products, Inc. 2004-SL1 A8
6.50%	11/25/31			171,023		167,673
Residential Asset Mortgage Products, Inc. 2004-SL3 A2
6.50%	12/25/31			190,103		182,936


Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Residential Asset Securitization Trust 2004-IP2 2A1
2.86%	12/25/34	³	$	53,704	$	49,674
Ryland Mortgage Securities Corp. 1994-5 A2
3.62%	10/25/23	³		128,732		127,890
Ryland Mortgage Securities Corp. 1994-5 M3
3.62%	10/25/23	³		304,717		216,187
Structured Asset Mortgage Investments, Inc. 2005-AR7 1A1
2.76%	12/27/35	³		3,869,990		2,172,080
Structured Asset Mortgage Investments, Inc. 2007-AR1 1A1
0.51%	01/25/37	³		65,575,339		35,808,135
Structured Asset Mortgage Investments, Inc. 2007-AR6 A1
1.92%	08/25/47	³		53,715,211		30,244,699
Structured Asset Securities Corp. 1997-2 2A4
7.25%	03/28/30			5,857		6,108
Structured Asset Securities Corp. 2001-15A 4A1
6.00%	10/25/31	³		13,279		12,676
Thornburg Mortgage Securities Trust 2007-3 3A1
0.57%	06/25/47	³		10,982,938		10,210,711
Washington Mutual Alternative Mortgage Pass-Through Certificates 2005-3 2A3
0.90%	05/25/35	³		15,693,882		10,303,277
Washington Mutual Alternative Mortgage Pass-Through Certificates 2005-4 CB13
0.85%	06/25/35	³		22,625,618		15,625,168
Washington Mutual Alternative Mortgage Pass-Through Certificates 2007-OA3 4A1
1.19%	04/25/47	³		26,396,212		13,983,618
Washington Mutual Mortgage Pass-Through Certificates 2002-AR18 A
2.77%	01/25/33	³		29,187		28,961
Washington Mutual Mortgage Pass-Through Certificates 2003-AR6 A1
2.70%	06/25/33	³		88,906		87,178
Washington Mutual Mortgage Pass-Through Certificates 2004-AR3 A2
2.71%	06/25/34	³		118,962		117,749
Washington Mutual Mortgage Pass-Through Certificates 2004-AR6 A
0.80%	05/25/44	³		254,853		180,070
Washington Mutual Mortgage Pass-Through Certificates 2005-AR12 1A6
4.80%	10/25/35	³		310,000		250,455
Washington Mutual Mortgage Pass-Through Certificates 2005-AR16 1A4A
5.07%	12/25/35	³		320,000		260,374


Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Washington Mutual Mortgage Pass-Through Certificates 2006-AR7 3A1B
3.33%	07/25/46	³	$	3,643,274	$	1,267,907
Washington Mutual Mortgage Pass-Through Certificates 2007-OA1 A1A
1.12%	02/25/47	³		487,545		271,981
Washington Mutual Mortgage Pass-Through Certificates 2007-OA3 2A
1.19%	04/25/47	³		253,934		129,719
Washington Mutual Mortgage Pass-Through Certificates 2007-OA4 1A
1.19%	05/25/47	³		638,509		356,575
Washington Mutual Mortgage Pass-Through Certificates 2007-OA6 1A
1.23%	07/25/47	³		234,274		136,571
Wells Fargo Mortgage Backed Securities Trust 2004-G A3
4.75%	06/25/34	³		1,565,000		1,529,839
Wells Fargo Mortgage Backed Securities Trust 2004-L A8
4.76%	07/25/34	³		1,740,000		1,686,191


						552,311,929


U.S. Agency Mortgage-Backed — 25.16%
Fannie Mae 1989-27 Y
6.90%	06/25/19			1,205		1,300
Fannie Mae 1991-65 Z
6.50%	06/25/21			30,414		33,318
Fannie Mae 1992-123 Z
7.50%	07/25/22			4,118		4,715
Fannie Mae 1992-83 Z
7.00%	06/25/22			4,798		4,831
Fannie Mae 1993-132 D (PO)
0.98%	10/25/22	⁹		228,634		207,257
Fannie Mae 1993-199 SD (IO)
0.88%	10/25/23	³		718,123		15,458
Fannie Mae 1993-29 PK
7.00%	03/25/23			120,162		131,821
Fannie Mae 1994-55 H
7.00%	03/25/24			105,884		118,526
Fannie Mae 1997-34 SA
10.11%	10/25/23	³		23,838		29,873
Fannie Mae 1999-11 Z
5.50%	03/25/29			555,164		606,172
Fannie Mae 2001-52 YZ
6.50%	10/25/31			277,915		313,314
Fannie Mae 2003-106 WG
4.50%	11/25/23			32,004,000		33,512,179
Fannie Mae 2003-52 SV
17.17%	05/25/31	³		1,170,832		1,248,731


Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae 2003-85 IP (IO)
5.50%	12/25/28		$	40,250	$	103
Fannie Mae 2003-W2 2A9
5.90%	07/25/42			92,524		101,849
Fannie Mae 2005-104 NI
6.35%	03/25/35	³		114,272,698		14,133,259
Fannie Mae 2005-117 LC
5.50%	11/25/35			46,177,000		50,949,425
Fannie Mae 2005-92 US (IO)
5.75%	10/25/25	³		50,906,942		5,295,203
Fannie Mae 2006-18 PD
5.50%	08/25/34			345,000		377,024
Fannie Mae 2006-4 WE
4.50%	02/25/36			400,000		420,674
Fannie Mae 2006-80 PG
6.00%	06/25/35			23,300,000		25,711,492
Fannie Mae 2007-34 SB (IO)
5.76%	04/25/37	³		56,027,677		5,651,467
Fannie Mae 2008-24 NA
6.75%	06/25/37			22,733,095		24,781,986
Fannie Mae 2010-17 SB
6.00%	03/25/40	³		58,568,194		6,679,070
Fannie Mae 2010-43 KS
6.07%	05/25/40	³		114,195,355		13,780,262
Fannie Mae 3210 PD
6.00%	08/15/35			360,000		402,522
Fannie Mae G92-36 Z
7.00%	07/25/22			830		920
Fannie Mae G93-21 Z
7.20%	05/25/23			15,462		17,476
Fannie Mae Pool 190375
5.50%	11/01/36			18,555,619		19,951,350
Fannie Mae Pool 233672
3.50%	09/01/23	³		20,990		21,716
Fannie Mae Pool 254232
6.50%	03/01/22			123,547		137,579
Fannie Mae Pool 254868
5.00%	09/01/33			45,541,449		48,439,500
Fannie Mae Pool 308798
2.51%	04/01/25	³		6,363		6,653
Fannie Mae Pool 312155
2.42%	03/01/25	³		21,943		22,116
Fannie Mae Pool 313182
7.50%	10/01/26			11,944		13,586
Fannie Mae Pool 383124
6.48%	01/01/11			121,250		124,166
Fannie Mae Pool 384569
6.20%	01/01/12			100,000		105,435


Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool 384762
6.01%	02/01/12		$	156,917	$	165,704
Fannie Mae Pool 545191
7.00%	09/01/31			21,072		23,363
Fannie Mae Pool 545269
5.98%	11/01/11			179,211		185,839
Fannie Mae Pool 545322
5.94%	11/01/11			90,465		93,054
Fannie Mae Pool 545831
6.50%	08/01/17			78,192		85,345
Fannie Mae Pool 555207
7.00%	11/01/17			41,502		45,179
Fannie Mae Pool 555284
7.50%	10/01/17			8,461		9,156
Fannie Mae Pool 613142
7.00%	11/01/31			93,784		105,423
Fannie Mae Pool 625666
7.00%	01/01/32			51,367		58,232
Fannie Mae Pool 633698
7.50%	02/01/31			53,289		61,259
Fannie Mae Pool 637093
8.50%	03/01/32			19,549		22,734
Fannie Mae Pool 642322
2.54%	05/01/32	³		1,269		1,326
Fannie Mae Pool 646884
1.92%	05/01/32	³		8,803		9,014
Fannie Mae Pool 655928
7.00%	08/01/32			646,028		734,773
Fannie Mae Pool 725027
5.00%	11/01/33			53,210,834		56,559,371
Fannie Mae Pool 725232
5.00%	03/01/34			121,939		129,699
Fannie Mae Pool 725257
5.50%	02/01/34			10,211,300		11,014,482
Fannie Mae Pool 725372
6.96%	12/01/10			179,635		177,989
Fannie Mae Pool 725425
5.50%	04/01/34			37,814,699		40,712,840
Fannie Mae Pool 730957
5.00%	08/01/33			16,562,981		17,605,283
Fannie Mae Pool 734922
4.50%	09/01/33			16,013,958		16,800,142
Fannie Mae Pool 735207
7.00%	04/01/34			81,759		90,932
Fannie Mae Pool 735224
5.50%	02/01/35			52,057,527		56,152,177
Fannie Mae Pool 735646
4.50%	07/01/20			16,106,252		17,185,088


Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool 735651
4.50%	06/01/35		$	58,594,930	$	61,288,462
Fannie Mae Pool 735686
6.50%	12/01/22			409,162		441,922
Fannie Mae Pool 735883
6.00%	03/01/33			10,701,622		11,975,674
Fannie Mae Pool 740297
5.50%	10/01/33			38,012		41,002
Fannie Mae Pool 741862
5.50%	09/01/33			37,509		40,460
Fannie Mae Pool 745592
5.00%	01/01/21			71,135		76,520
Fannie Mae Pool 765387
6.00%	08/01/34			374,935		418,064
Fannie Mae Pool 770284
5.00%	04/01/34			7,029,966		7,464,671
Fannie Mae Pool 770332
5.00%	04/01/34			26,009,306		27,617,615
Fannie Mae Pool 789606
6.00%	08/01/34			115,409		127,196
Fannie Mae Pool 817611
5.31%	11/01/35	³		5,909,221		6,318,469
Fannie Mae Pool 836952
5.40%	10/01/35	³		153,578		164,581
Fannie Mae Pool 841031
5.27%	11/01/35	³		526,438		563,257
Fannie Mae Pool 844773
5.06%	12/01/35	³		91,810		98,020
Fannie Mae Pool 888412
7.00%	04/01/37			7,415,428		8,180,395
Fannie Mae Pool 888430
5.00%	11/01/33			41,342,557		43,944,227
Fannie Mae Pool 888873
6.50%	08/01/37			8,159,670		8,956,194
Fannie Mae Pool 889125
5.00%	12/01/21			44,593,754		47,882,544
Fannie Mae Pool 889184
5.50%	09/01/36			46,441,135		50,000,412
Fannie Mae Pool 895606
5.77%	06/01/36	³		240,347		256,044
Fannie Mae Pool 908408
5.50%	04/01/37	³		19,802,731		21,070,541
Fannie Mae Pool 918445
5.79%	05/01/37	³		542,660		578,103
Fannie Mae Pool 928920
6.50%	12/01/37			22,712,354		24,914,032
Fannie Mae Pool 933033
6.50%	10/01/37			21,205,156		22,990,200


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac 1004 H
7.95%	10/15/20	$	948	$	947
Freddie Mac 1073 G
7.00%	05/15/21		3,426		3,811
Freddie Mac 1107 ZC
6.50%	07/15/21		14,040		15,391
Freddie Mac 165 K
6.50%	09/15/21		573		574
Freddie Mac 1980 Z
7.00%	07/15/27		420,359		475,597
Freddie Mac 1983 Z
6.50%	12/15/23		244,595		273,893
Freddie Mac 2043 CJ
6.50%	04/15/28		66,084		69,492
Freddie Mac 2098 TZ
6.00%	01/15/28		897,180		992,207
Freddie Mac 2209 TC
8.00%	01/15/30		262,203		298,843
Freddie Mac 2481 AW
6.50%	08/15/32		119,232		130,807
Freddie Mac 2624 QE
5.00%	09/15/28		159,461		163,901
Freddie Mac 2627 NI (IO)
5.00%	04/15/29		1,773,835		73,952
Freddie Mac 2642 BW (IO)
5.00%	06/15/23		96,447		12,452
Freddie Mac 2929 PE
5.00%	05/15/33		1,585,000		1,707,250
Freddie Mac 2971 AB
5.00%	05/15/20		3,688		3,636
Freddie Mac Gold A14189
4.00%	10/01/33		214,407		217,768
Freddie Mac Gold A24156
6.50%	10/01/31		1,882,898		2,096,019
Freddie Mac Gold A25162
5.50%	05/01/34		18,328,835		19,734,284
Freddie Mac Gold A39012
5.50%	06/01/35		90,771		97,561
Freddie Mac Gold A54856
5.00%	01/01/34		26,359,253		28,001,559
Freddie Mac Gold A61164
5.00%	04/01/36		342,367		363,993
Freddie Mac Gold A64183
6.00%	08/01/37		114,360		125,188
Freddie Mac Gold A65805
6.00%	09/01/37		2,625,775		2,874,403
Freddie Mac Gold A73260
6.00%	02/01/38		256,648		278,946


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Gold A83009
6.00%	11/01/38	$	26,096,500	$	28,384,023
Freddie Mac Gold C01492
5.00%	02/01/33		8,913,166		9,472,675
Freddie Mac Gold C03094
6.00%	11/01/37		229,263		250,971
Freddie Mac Gold C46104
6.50%	09/01/29		89,126		99,214
Freddie Mac Gold C55789
7.50%	10/01/27		41,031		46,849
Freddie Mac Gold C90573
6.50%	08/01/22		407,901		452,715
Freddie Mac Gold E02402
6.00%	10/01/22		148,170		161,106
Freddie Mac Gold G00992
7.00%	11/01/28		6,131		6,871
Freddie Mac Gold G01515
5.00%	02/01/33		9,216,254		9,794,790
Freddie Mac Gold G01601
4.00%	09/01/33		961,756		976,834
Freddie Mac Gold G01611
4.00%	09/01/33		280,058		284,449
Freddie Mac Gold G01644
5.50%	02/01/34		32,994,726		35,626,058
Freddie Mac Gold G01673
5.50%	04/01/34		2,626,912		2,828,343
Freddie Mac Gold G02366
6.50%	10/01/36		13,234,133		14,560,643
Freddie Mac Gold G02461
6.50%	11/01/36		13,384,833		14,726,485
Freddie Mac Gold G02579
5.00%	12/01/34		16,415,017		17,451,898
Freddie Mac Gold G02884
6.00%	04/01/37		32,253,848		35,093,195
Freddie Mac Gold G02955
5.50%	03/01/37		24,779,312		26,783,919
Freddie Mac Gold G03357
5.50%	08/01/37		11,412,519		12,344,690
Freddie Mac Gold G03436
6.00%	11/01/37		52,081,693		57,013,183
Freddie Mac Gold G03601
6.00%	07/01/37		37,079,187		40,584,331
Freddie Mac Gold G03676
5.50%	12/01/37		26,738,185		28,963,930
Freddie Mac Gold G03739
6.00%	11/01/37		30,552,931		33,445,915
Freddie Mac Gold G03783
5.50%	01/01/38		12,174,339		13,187,758


Issues	Maturity Date		Principal Amount		Value
Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Gold G03985
6.00%	03/01/38		$	155,292	$	169,220
Freddie Mac Gold G04053
5.50%	03/01/38			143,914		154,641
Freddie Mac Gold G04079
5.50%	03/01/38			53,247,156		57,621,324
Freddie Mac Gold G04438
5.50%	05/01/38			51,164,385		54,978,052
Freddie Mac Gold G04484
6.00%	08/01/38			179,361		196,457
Freddie Mac Gold G04516
6.00%	07/01/38			123,048		134,872
Freddie Mac Gold G04703
5.50%	08/01/38			72,527,509		77,952,908
Freddie Mac Gold G04706
5.50%	09/01/38			980,636		1,062,880
Freddie Mac Gold G04710
6.00%	09/01/38			10,026,285		10,897,382
Freddie Mac Gold G04711
6.00%	09/01/38			462,366		502,537
Freddie Mac Gold G05866
4.50%	02/01/40			67,936,514		70,496,871
Freddie Mac Gold G11707
6.00%	03/01/20			4,655,711		5,075,270
Freddie Mac Gold G12393
5.50%	10/01/21			40,185,009		43,558,351
Freddie Mac Gold G12399
6.00%	09/01/21			21,647		23,591
Freddie Mac Gold G12824
6.00%	08/01/22			11,269,803		12,342,195
Freddie Mac Gold G12909
6.00%	11/01/22			30,384,153		33,251,658
Freddie Mac Gold G13032
6.00%	09/01/22			8,908,756		9,732,816
Freddie Mac Gold G13058
4.50%	10/01/20			27,613,834		29,472,104
Freddie Mac Gold H00790
5.50%	05/01/37			418,831		449,288
Freddie Mac Gold H05069
5.50%	05/01/37			30,156,089		32,100,921
Freddie Mac Gold H09082
6.50%	09/01/37			163,455		177,361
Freddie Mac Non Gold Pool 1J0045
5.13%	01/01/36	³		237,910		253,270
Freddie Mac Non Gold Pool 781415
2.61%	04/01/34	³		4,145,672		4,307,550
Freddie Mac Non Gold Pool 781469
2.61%	04/01/34	³		3,659,591		3,800,562


Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Non Gold Pool 781817
2.74%	08/01/34	³	$	71,605 $	73,735
Freddie Mac Non Gold Pool 788498
2.90%	02/01/30	³		341,100	358,044
Freddie Mac Non Gold Pool 847288
2.68%	05/01/34	³		5,949,880	6,183,378
Ginnie Mae 2000-22 SG (IO)
10.45%	05/16/30	³		1,301,701	253,306
Ginnie Mae 2003-28 LI (IO)
5.50%	02/20/32			1,625,871	48,496
Ginnie Mae 2003-86 ZK
5.00%	10/20/33			21,198,624	22,818,057
Ginnie Mae 2005-78 ZA
5.00%	10/16/35			19,690,170	19,992,079
Ginnie Mae 2007-35 PY
6.40%	06/16/37	³		94,373,049	14,041,785
Ginnie Mae 2010-4 SM (IO)
5.45%	01/16/40	³		91,739,692	9,579,587
Ginnie Mae 2010-6 BS (IO)
6.15%	09/16/39	^3,†		51,787,032	6,032,380
Ginnie Mae GNSF (TBA)
4.50%	07/15/40			510,515,000	531,892,816
5.50%	07/15/40			22,745,000	24,575,267
Ginnie Mae I Pool 782817
4.50%	11/15/39			78,026,301	81,489,531
Ginnie Mae II Pool 2631
7.00%	08/20/28			8,575	9,579
Ginnie Mae II Pool 80968
3.63%	07/20/34	³		54,346	56,005
Ginnie Mae II Pool 81018
3.63%	08/20/34	³		44,155	45,413


					2,423,504,195

Total Mortgage-Backed
(Cost $3,601,028,355)					3,880,420,804

MUNICIPAL BONDS — 0.79%*
California — 0.59%
State of California, Public Improvements, G.O., Build America Bonds
7.30%	10/01/39			19,880,000	20,716,749
State of California, School Improvements, G.O., Build America Bonds
6.65%	03/01/22			3,975,000	4,185,794
State of California, School Improvements, G.O., Build America Bonds, Taxable Variable
Purpose
7.55%	04/01/39			21,414,000	22,999,707


Issues	Maturity Date		Principal Amount		Value
MUNICIPAL BONDS (continued)
California (continued)
State of California, School Improvements, G.O., Taxable Variable Purpose
5.50%	03/01/16		$	8,450,000	$	8,790,113


						56,692,363


Illinois — 0.17%
State of Illinois, Pension Funding G.O., Taxable
4.07%	01/01/14			16,100,000		15,915,011


Pennsylvania — 0.03%
Pennsylvania Economic Development Financing Authority, Electric Light & Power Improvements, Series A Revenue Bonds
6.75%	12/01/36			2,985,000		3,077,744


Texas — 0.00%
County of Harris, Flood Control District Contract, Series B Refunding Notes, G.O., Pre-Refunded 10/01/13 @ 100
5.25%	10/01/20			7,000		7,947

Total Municipal Bonds
(Cost $71,267,118)						75,693,065


U.S. TREASURY SECURITIES — 23.64%
U.S. Treasury Bonds — 3.92%
4.25%	05/15/39			8,140,000		8,608,050
8.00%	11/15/21			80,863,000		117,643,034
1.75%	01/15/28	¹⁰		131,899,000		139,566,239
2.38%	01/15/27	¹⁰		35,265,000		42,209,849
8.00%	11/15/21			103,555,000		69,294,553


						377,321,725


U.S. Treasury Notes — 19.72%
1.13%	06/15/13			290,000		291,199
1.88%	06/30/15			286,745,000		287,887,679
2.00%	01/15/16	¹⁰		26,339,000		31,245,768
2.13%	05/31/15			151,025,000		153,644,680
2.38%	02/28/15			342,555,000		353,085,894
2.50%	03/31/15			445,905,000		462,138,617
3.25%	12/31/16			178,655,000		188,341,496
3.38%	11/15/19			408,810,000		423,469,927


						1,900,105,260

Total U.S. Treasury Securities (Cost $2,187,434,549)						2,277,426,985

Total Bonds – 99.03% (Cost $9,009,782,543)						9,539,662,794


Issues	Maturity Date		Shares/ Principal Amount		Value
SHORTTERM INVESTMENTS — 8.12%
Commercial Paper — 1.12%
JPMorgan Chase & Co.
0.25%¹¹	07/06/10		$	48,310,000	$	48,308,323
Moody’s Corp.
0.40%¹¹	07/07/10			59,965,000		59,961,002

						108,269,325

Money Market Fund — 6.91%
Dreyfus Cash Advantage Fund
0.19%¹²				47,107,000		47,107,000
Fidelity Institutional Money Market Funds - Prime Money Market Portfolio
0.22%¹²				432,046,000		432,046,000
Goldman Sachs Financial Square Funds - Prime Obligations Fund
0.13%^12,13				186,379,000		186,379,000

						665,532,000

U.S. Treasury Bills — 0.09%
U.S. Treasury Bills
0.15%¹¹	08/12/10	¹⁴		7,990,000		7,989,579
0.15%¹¹	08/12/10	¹⁴		300,000		299,984
0.15%¹¹	08/12/10	¹⁴		200,000		199,990

						8,489,553

Total Short Term Investments
(Cost $782,289,846)						782,290,878

Total Investments – 107.15%
(Cost $9,792,072,389)¹						10,321,953,672

Liabilities in Excess of Other
Assets – (7.15)%						(688,493,889	)

NET ASSETS – 100.00%					$	9,633,459,783


Contracts		Unrealized Appreciation
Contracts		Unrealized Appreciation
FUTURES CONTRACTS: LONG POSITIONS
3,114	U.S. Treasury Five Year Note, Expiration September 2010	$4,083,164
1,294	U.S. Treasury Ten Year Note, Expiration September 2010	2,323,199
62	U.S. Treasury Thirty Year Bond, Expiration September 2010	158,947

	Net unrealized appreciation	$6,565,310


Contracts		Unrealized Depreciation
FUTURES CONTRACTS: SHORT POSITIONS
13	Euro Dollar Ninety Day, Expiration September 2010	$	(36,595	)
13	Euro Dollar Ninety Day, Expiration December 2010		(45,857	)
13	Euro Dollar Ninety Day, Expiration March 2011		(55,608	)
13	Euro Dollar Ninety Day, Expiration June 2011		(64,382	)
13	Euro Dollar Ninety Day, Expiration September 2011		(70,557	)
13	Euro Dollar Ninety Day, Expiration December 2011		(74,133	)
13	Euro Dollar Ninety Day, Expiration March 2012		(75,270	)
13	Euro Dollar Ninety Day, Expiration June 2012		(74,458	)

	Net unrealized depreciation	$	(496,860	)


	Expiration Date	Notional Amount (000’s)		Depreciation			Value
SWAPS: INTEREST RATE
The Fund pays a fixed rate equal to 4.42% semi-annually and the Fund receives from the counterparty a floating rate based on 3-month USD LIBOR quarterly. Counterparty: Barclays Capital, Inc.
	11/15/21	$	9,002	$	(1,809,863	)	$	(1,809,863	)
The Fund pays a fixed rate equal to 4.52% semi-annually and the Fund receives from the counterparty a floating rate based on 3-month USD LIBOR quarterly. Counterparty: Barclays Capital, Inc.
	11/15/21		8,884		(1,941,747	)		(1,941,747	)
The Fund pays a fixed rate equal to 4.54% semi-annually and the Fund receives from the counterparty a floating rate based on 3-month USD LIBOR quarterly. Counterparty: Barclays Capital, Inc.
	11/15/21		14,788		(3,278,803	)		(3,278,803	)
The Fund pays a fixed rate equal to 4.70% semi-annually and the Fund receives from the counterparty a floating rate based on 3-month USD LIBOR quarterly. Counterparty: Barclays Capital, Inc.
	11/15/21		24,457		(6,068,515	)		(6,068,515	)
The Fund pays a fixed rate equal to 4.10% semi-annually and the Fund receives from the counterparty a floating rate based on 3-month USD LIBOR quarterly. Counterparty: Citigroup, Inc.
	10/24/38		56,660		(4,445,770	)		(4,445,770	)

		$	113,791	$	(17,544,698	)	$	(17,544,698	)


	Expiration Date	Premiums Paid/ (Received)	Notional Amount (000’s)^b	Appreciation/ Depreciation	Value
SWAPS: CREDIT DEFAULT (PURCHASED) - SINGLE ISSUES
The Fund pays a fixed rate equal to 0.53% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Home Depot, Inc., 3.75%, due 09/15/09. Counterparty: Morgan Stanley
	09/20/12	$—	$8,000	$(35,187)	$(35,187)


	Expiration Date	Premiums Paid/ (Received)	Notional Amount (000’s)^b	Appreciation/ Depreciation			Value
SWAPS: CREDIT DEFAULT (PURCHASED) - SINGLE ISSUES (continued)

The Fund pays a fixed rate equal to 0.74% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Home Depot, Inc., 3.75%, due 09/15/09. Counterparty: Citigroup, Inc.

	12/20/12	$—	$5,900	$	(54,700	)	$	(54,700	)

The Fund pays a fixed rate equal to 0.72% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Home Depot, Inc., 3.75%, due 09/15/09. Counterparty: Merrill Lynch & Co., Inc.

	12/20/12	—	6,000		(52,633	)		(52,633	)

The Fund pays a fixed rate equal to 3.65% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Centex Corp., 5.25%, due 06/15/15. Counterparty: Merrill Lynch & Co., Inc.

	12/20/12	—	2,060		(129,884	)		(129,884	)

The Fund pays a fixed rate equal to 3.56% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Centex Corp., 5.25%, due 06/15/15. Counterparty: Merrill Lynch & Co., Inc.

	12/20/12	—	4,580		(278,620	)		(278,620	)

The Fund pays a fixed rate equal to 0.41% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Lowe’s Cos., Inc., 8.25%, due 06/01/10. Counterparty: Citigroup, Inc.

	12/20/12	—	3,200		(2,217	)		(2,217	)

The Fund pays a fixed rate equal to 0.45% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Lowe’s Cos., Inc., 8.25%, due 06/01/10. Counterparty: Citigroup, Inc.

	12/20/12	—	5,200		(8,788	)		(8,788	)

The Fund pays a fixed rate equal to 2.25% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Darden Restaurants, Inc., 7.13%, due 02/01/16. Counterparty: Morgan Stanley

	03/20/13	—	1,625		(68,445	)		(68,445	)

The Fund pays a fixed rate equal to 2.25% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Darden Restaurants, Inc., 7.13%, due 02/01/16. Counterparty: Deutsche Bank AG

	03/20/13	—	1,575		(66,339	)		(66,339	)

The Fund pays a fixed rate equal to 1.85% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Darden Restaurants, Inc., 7.13%, due 02/01/16. Counterparty: Goldman Sachs Group, Inc. (The)

	06/20/13	—	4,320		(141,534	)		(141,534	)

The Fund pays a fixed rate equal to 4.40% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Centex Corp., 5.25%, due 06/15/15. Counterparty: Deutsche Bank AG

	12/20/13	—	7,875		(815,497	)		(815,497	)

The Fund pays a fixed rate equal to 2.73% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Darden Restaurants, Inc., 6.00%, due 08/15/35. Counterparty: Citigroup, Inc.

	03/20/14	—	7,335		(494,163	)		(494,163	)

The Fund pays a fixed rate equal to 2.25% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Darden Restaurants, Inc., 6.00%, due 08/15/35. Counterparty: Deutsche Bank AG

	03/20/14	—	5,100		(254,467	)		(254,467	)

The Fund pays a fixed rate equal to 2.67% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Home Depot, Inc., 5.88%, due 12/16/36. Counterparty: Citigroup, Inc.

	03/20/14	—	5,490		(438,295	)		(438,295	)


	Expiration Date	Premiums Paid/ (Received)		Notional Amount (000’s)^b	Appreciation/ Depreciation			Value
SWAPS: CREDIT DEFAULT (PURCHASED) - SINGLE ISSUES (continued)

The Fund pays a fixed rate equal to 3.25% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Home Depot, Inc., 5.88%, due 12/16/36. Counterparty: Citigroup, Inc.

	03/20/14	$—		$660	$	(66,752	)	$	(66,752	)

The Fund pays a fixed rate equal to 1.20% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Lowe’s Cos., Inc., 8.25%, due 06/01/10. Counterparty: Citigroup, Inc.

	03/20/14	—		4,865		(121,927	)		(121,927	)

The Fund pays a fixed rate equal to 1.45% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Lowe’s Cos., Inc., 8.25%, due 06/01/10. Counterparty: Citigroup, Inc.

	03/20/14	—		660		(22,597	)		(22,597	)

The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Target Corp., 4.00%, due 06/15/13. Counterparty: CS First Boston

	12/20/14	(95,434	)	6,610		(47,387	)		(142,821	)

The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Target Corp., 4.00%, due 06/15/13. Counterparty: CS First Boston

	12/20/14	(67,945	)	5,000		(40,089	)		(108,034	)

The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Target Corp., 4.00%, due 06/15/13. Counterparty: Deutsche Bank AG

	12/20/14	(80,780	)	5,595		(40,110	)		(120,890	)

The Fund pays a fixed rate equal to 2.40% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Darden Restaurants, Inc., 7.13%, due 02/01/16. Counterparty: Citigroup, Inc.

	03/20/15	—		4,100		(247,775	)		(247,775	)

The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the D.R. Horton, Inc., 5.38%, due 06/15/12. Counterparty: Citigroup, Inc.

	09/20/16	133,593		3,450		227,585			361,178

The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the D.R. Horton, Inc., 5.38%, due 06/15/12. Counterparty: Deutsche Bank AG

	09/20/16	295,619		5,510		281,218			576,837

The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the D.R. Horton, Inc., 5.38%, due 06/15/12. Counterparty: Goldman Sachs Group, Inc. (The)

	09/20/16	308,495		5,750		293,468			601,963

The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Toll Brothers, Inc., 5.15%, due 05/15/15. Counterparty: Citigroup, Inc.

	09/20/16	18,549		6,875		431,340			449,889

The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Toll Brothers, Inc., 5.15%, due 05/15/15. Counterparty: CS First Boston

	09/20/16	88,856		16,500		990,878			1,079,734

The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Toll Brothers, Inc., 5.15%, due 05/15/15. Counterparty: CS First Boston

	09/20/16	17,210		6,465		405,849			423,059

The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Pulte Homes, Inc., 5.25%, due 01/15/14. Counterparty: Deutsche Bank AG

	09/20/16	138,144		4,060		298,844			436,988


	Expiration Date	Premiums Paid/ (Received)	Notional Amount (000’s)^b	Appreciation/ Depreciation	Value
SWAPS: CREDIT DEFAULT (PURCHASED) - SINGLE ISSUES (continued)

The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Pulte Homes, Inc., 5.25%, due 01/15/14. Counterparty: Deutsche Bank AG

	09/20/16	$ 91,779	$ 2,515	$ 178,917	$ 270,696

The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Pulte Homes, Inc., 5.25%, due 01/15/14. Counterparty: Deutsche Bank AG

	09/20/16	147,748	7,945	707,393	855,141

The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Pulte Homes, Inc., 5.25%, due 01/15/14. Counterparty: CS First Boston

	09/20/16	313,614	8,825	636,243	949,857

The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Pulte Homes, Inc., 5.25%, due 01/15/14. Counterparty: Goldman Sachs Group, Inc. (The)

	09/20/16	193,589	6,165	469,966	663,555

The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Pulte Homes, Inc., 5.25%, due 01/15/14. Counterparty: Goldman Sachs Group, Inc. (The)

	09/20/16	281,669	7,725	549,792	831,461

		$1,784,706	$177,535	$2,044,087	$3,828,793


	Expiration Date	Premiums Paid/ (Received)	Notional Amount (000’s)^b	Appreciation/ (Depreciation)	Value^c
SWAPS: CREDIT DEFAULT (PURCHASED) - TRADED INDICES

The Fund pays a fixed rate equal to 0.84% and the Fund will receive from the counterparty at par including interest accrued in the event of default of any issue in the CMBX-NA-AJ 1, due 10/12/52. Counterparty: Bank of America Corp.

	10/12/52	$1,243,011	$2,130	$(800,056)	$442,955

The Fund pays a fixed rate equal to 0.84% and the Fund will receive from the counterparty at par including interest accrued in the event of default of any issue in the CMBX-NA-AJ 1, due 10/12/52. Counterparty: Bank of America Corp.

	10/12/52	14,920,066	25,000	(9,721,066)	5,199,000

The Fund pays a fixed rate equal to 0.84% and the Fund will receive from the counterparty at par including interest accrued in the event of default of any issue in the CMBX-NA-AJ 1, due 10/12/52. Counterparty: Bank of America Corp.

	10/12/52	12,118,906	20,450	(7,866,124)	4,252,782

The Fund pays a fixed rate equal to 0.84% and the Fund will receive from the counterparty at par including interest accrued in the event of default of any issue in the CMBX-NA-AJ 1, due 10/12/52. Counterparty: Bank of America Corp.

	10/12/52	6,997,505	28,590	(1,051,929)	5,945,576

The Fund pays a fixed rate equal to 0.84% and the Fund will receive from the counterparty at par including interest accrued in the event of default of any issue in the CMBX-NA-AJ 1, due 10/12/52. Counterparty: Barclays Capital, Inc.

	10/12/52	1,314,362	15,430	1,894,461	3,208,823

The Fund pays a fixed rate equal to 0.84% and the Fund will receive from the counterparty at par including interest accrued in the event of default of any issue in the CMBX-NA-AJ 1, due 10/12/52. Counterparty: Barclays Capital, Inc.

	10/12/52	2,047,089	21,425	2,408,454	4,455,543

The Fund pays a fixed rate equal to 0.84% and the Fund will receive from the counterparty at par including interest accrued in the event of default of any issue in the CMBX-NA-AJ 1, due 10/12/52. Counterparty: Barclays Capital, Inc.

	10/12/52	4,845,311	8,525	(3,072,452)	1,772,859


	Expiration Date	Premiums Paid/ (Received)		Notional Amount (000’s)^b		(Depreciation) Appreciation/			Value^c
SWAPS: CREDIT DEFAULT (PURCHASED) - TRADED INDICES (continued)

The Fund pays a fixed rate equal to 0.84% and the Fund will receive from the counterparty at par including interest accrued in the event of default of any issue in the CMBX-NA-AJ 1, due 10/12/52. Counterparty: Barclays Capital, Inc.

	10/12/52		$ 792,120		$ 1,325		$ (516,573)			$ 275,547

The Fund pays a fixed rate equal to 0.84% and the Fund will receive from the counterparty at par including interest accrued in the event of default of any issue in the CMBX-NA-AJ 1, due 10/12/52. Counterparty: CS First Boston

	10/12/52		477,886		805		(310,478	)		167,408

The Fund pays a fixed rate equal to 0.84% and the Fund will receive from the counterparty at par including interest accrued in the event of default of any issue in the CMBX-NA-AJ 1, due 10/12/52. Counterparty: CS First Boston

	10/12/52		4,266,567		7,265		(2,755,738	)		1,510,829

The Fund pays a fixed rate equal to 0.84% and the Fund will receive from the counterparty at par including interest accrued in the event of default of any issue in the CMBX-NA-AJ 1, due 10/12/52. Counterparty: CS First Boston

	10/12/52		23,017		95		(3,261	)		19,756

The Fund pays a fixed rate equal to 0.84% and the Fund will receive from the counterparty at par including interest accrued in the event of default of any issue in the CMBX-NA-AJ 1, due 10/12/52. Counterparty: JPMorgan Chase & Co.

	10/12/52		97,339		1,310		175,089			272,428

		$	49,143,179	$	132,350	$	(21,619,673	)	$	27,523,506


	Expiration Date	Credit Rating^a	Premiums Paid/ Received	Notional Amount (000’s)^b	Appreciation	Value^c
SWAPS: CREDIT DEFAULT (WRITTEN) - SINGLE ISSUES

The Fund receives a fixed rate equal to 6.55% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the General Electric Capital Corp., 5.63%, due 09/15/17. Counterparty: CS First Boston

	12/20/10	AAA	$—	$11,525	$288,930	$288,930

The Fund receives a fixed rate equal to 4.00% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the Berkshire Hathaway, Inc., 4.63%, due 10/15/13. Counterparty: Barclays Capital, Inc.

	03/20/11	AAA	—	12,000	230,356	230,356

The Fund receives a fixed rate equal to 4.00% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the Berkshire Hathaway, Inc., 4.63%, due 10/15/13. Counterparty: Morgan Stanley

	03/20/11	AAA	—	21,800	418,479	418,479

			$—	$45,325	$937,765	$937,765


	Expiration Date	Premiums Paid/ (Received)	Notional Amount (000’s)^b	Appreciation/ (Depreciation)	Value^c
SWAPS: CREDIT DEFAULT (WRITTEN) - TRADED INDICES

The Fund receives a fixed rate equal to 0.09% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 07-1, due 08/25/37. Counterparty: Barclays Capital, Inc.

	08/25/37	$ (220,572)	$ 1,368	$ (569,004)	$ (789,576)

The Fund receives a fixed rate equal to 0.09% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 07-1, due 08/25/37. Counterparty: CS First Boston

	08/25/37	(4,070,626)	25,165	(10,449,586)	(14,520,212)


	Expiration Date	Premiums Paid/ (Received)			Notional Amount (000’s)^b		Appreciation/ (Depreciation)		Value^c
SWAPS: CREDIT DEFAULT (WRITTEN) - TRADED INDICES (continued)
The Fund receives a fixed rate equal to 0.09% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 07-1, due 08/25/37. Counterparty: Barclays Capital, Inc.
	08/25/37	$	(1,689,887	)	$	4,584	$(955,334)		$ (2,645,221)
The Fund receives a fixed rate equal to 0.09% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 07-1, due 08/25/37. Counterparty: CS First Boston
	08/25/37		(14,192,284	)		26,676	(1,200,167)		(15,392,451)
The Fund receives a fixed rate equal to 0.09% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 07-1, due 08/25/37. Counterparty: Goldman Sachs Group, Inc. (The)
	08/25/37		(11,703,848	)		24,206	(2,263,376)		(13,967,224)
The Fund receives a fixed rate equal to 0.09% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 07-1, due 08/25/37. Counterparty: Morgan Stanley
	08/25/37		(2,949,103	)		6,205	(631,067)		(3,580,170)
The Fund receives a fixed rate equal to 0.09% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 07-1, due 08/25/37. Counterparty: Morgan Stanley
	08/25/37		(10,987,286	)		22,724	(2,124,802)		(13,112,088)
The Fund receives a fixed rate equal to 0.76% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-PENAAA 07-2, due 01/25/38. Counterparty: Barclays Capital, Inc.
	01/25/38		(14,028,873	)		22,034	1,365,694		(12,663,179)
The Fund receives a fixed rate equal to 0.76% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-PENAAA 07-2, due 01/25/38. Counterparty: Barclays Capital, Inc.
	01/25/38		(12,608,403	)		19,701	1,285,696		(11,322,707)
The Fund receives a fixed rate equal to 0.76% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-PENAAA 07-2, due 01/25/38. Counterparty: Barclays Capital, Inc.
	01/25/38		(9,613,974	)		14,888	1,057,772		(8,556,202)
The Fund receives a fixed rate equal to 0.76% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-PENAAA 07-2, due 01/25/38. Counterparty: Citigroup, Inc.
	01/25/38		(7,106,648	)		10,521	1,060,265		(6,046,383)
The Fund receives a fixed rate equal to 0.76% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-PENAAA 07-2, due 01/25/38. Counterparty: Citigroup, Inc.
	01/25/38		(6,895,639	)		9,925	1,191,504		(5,704,135)
The Fund receives a fixed rate equal to 0.76% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-PENAAA 07-2, due 01/25/38. Counterparty: Goldman Sachs Group, Inc.
	01/25/38		(15,628,582	)		24,813	1,368,246		(14,260,336)
The Fund receives a fixed rate equal to 0.76% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-PENAAA 07-2, due 01/25/38. Counterparty: Goldman Sachs Group, Inc.
	01/25/38		(15,598,176	)		24,813	1,337,840		(14,260,336)
The Fund receives a fixed rate equal to 0.17% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 06-2, due 05/25/46. Counterparty: Bank of America Corp.
	05/25/46		(10,841,992	)		13,958	(841,607)		(11,683,599)
The Fund receives a fixed rate equal to 0.17% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 06-2, due 05/25/46. Counterparty: CS First Boston
	05/25/46		(13,463,912	)		17,334	(1,045,133	)	(14,509,045)


	Expiration Date	Premiums Paid/ (Received)			Notional Amount (000’s)^b		Appreciation/ (Depreciation)			Value^c
SWAPS: CREDIT DEFAULT (WRITTEN) - TRADED INDICES (continued)
The Fund receives a fixed rate equal to 0.17% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 06-2, due 05/25/46. Counterparty: CS First Boston
	05/25/46		$ (9,829,482)			$ 12,772		$ (861,393)		$(10,690,875)
The Fund receives a fixed rate equal to 0.17% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 06-2, due 05/25/46. Counterparty: Royal Bank of Scotland Group Plc
	05/25/46		(8,432,661)			10,857		(654,583)		(9,087,244)
The Fund receives a fixed rate equal to 0.17% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 06-2, due 05/25/46. Counterparty: Goldman Sachs Group, Inc. (The)
	05/25/46		(7,770,986	)		10,035		(628,987	)	(8,399,973)
The Fund receives a fixed rate equal to 0.11% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 06-2, due 05/25/46. Counterparty: Citigroup, Inc.
	05/25/46		(4,877,873	)		13,530		(1,470,060	)	(6,347,933)

		$	(182,510,807	)	$	316,109	$	(15,028,082	)	$(197,538,889)

^a	Using Standard & Poor’s rating of the issuer.

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

Notes:

¹	Cost for federal income tax purposes is $9,792,072,389 and net unrealized appreciation/(depreciation) consists of:


Gross unrealized appreciation	$	696,454,186
Gross unrealized depreciation		(166,572,903	)

Net unrealized appreciation	$	529,881,283

²	U.S. dollar denominated security issued by foreign domiciled entity.

³	Floating rate security. The rate disclosed is that in effect at June 30, 2010.

⁴

⁵	Illiquid security as determined under procedures approved by the Fund’s Board of Trustees. The aggregate value of illiquid securities is $3,583,657 which is 0.04% of total net assets.

⁶	Security is currently in default with regards to scheduled interest or principal payments.

⁷	Non-income producing security.

⁸	Non-Rule 144A securities determined to be restricted private placements under procedures approved by the Fund’s Board of Trustees. Information related to these securities is as follows:


Date of Purchase	Security	Amortized Cost	Value	% of Total Net Assets
07/03/07	Asurion Corp. Term Loan,
	3.36%, 07/07/14	$740,099	$706,625	0.01%


Date of Purchase	Security	Amortized Cost	Value	% of Total Net Assets
06/08/10	Calpine New Development Holdings LLC, 11.54%, 06/08/17	9,310,000	9,418,576	0.10%
06/01/07	Carestream Health, Inc. Term Loan, 5.60%, 10/30/13	251,794	231,771	0.00%
06/27/07	Cengage Learning Term Loan B, 3.03%, 07/03/14	1,933,797	1,685,099	0.02%
06/04/07	Charter Communications, Inc. Term Loan 3rd Lien, 3.04%, 09/06/14	1,003,615	893,500	0.01%
09/11/07	Delta Air Lines, Inc. Term Loan 1st Lien, 2.21%, 04/30/12	233,282	227,455	0.00%
01/05/09	Dex Media West LLC Term Loan, 7.50%, 10/24/14	1,259,719	1,830,386	0.02%
06/24/10	Harrah’s Entertainment, Inc. Term Loan B2, 3.32%, 01/28/15	10,265,000	10,215,349	0.10%
10/10/07	HCA Term Loan A, 2.03%, 11/17/12	20,090,386	19,845,320	0.20%
03/07/07	Kelson 1st Lien, 3.78%, 03/08/13	6,146,989	6,557,586	0.07%
11/06/07	TPF Generation Holdings LLC 2nd Lien, 4.78%, 12/15/14	973,244	897,000	0.01%
11/25/08	Tribune 1st Lien Term Loan B, 3.25%, 06/04/14	450,000	917,250	0.01%
06/11/09	TXU Energy Term Loan B1, 3.85%, 10/10/14	784,392	732,460	0.01%
10/31/07	TXU Energy Term Loan B3, 3.85%, 10/10/14	2,427,303	1,804,208	0.02%


Date of Purchase	Security	Amortized Cost		Value		% of Total Net Assets
11/30/07	Univision Communica- tions, Inc. 1st Lien Strip, 2.60%, 09/29/14		355,073		313,686	0.00	%

		$	56,224,693	$	56,276,271	0.58	%

⁹	Zero coupon bond. The rate shown is the effective yield as of June 30, 2010.

¹⁰	Inflation protected security. Principal amount reflects original security face amount.

¹¹	Represents annualized yield at date of purchase.

¹²	Represents the current yield as of June 30, 2010.

¹³	Securities, or a portion there of, pledged as collateral for swaps. The total market value of collateral pledged is $186,379,002.

¹⁴	Securities, or a portion there of, pledged as collateral for futures. The total market value of collateral pledged is $4,423,159.

†

Fair valued security. The aggregate value of fair valued securities is $52,667,373 which is 0.55% of total net assets, which have not been valued utilizing an independent quote and were valued pursuant to guidelines established by the Board of Trustees. This figure does not necessarily indicate the treatment of those securities under ASC 820, as discussed in the Notes to Financial Statements.

*	Securities with a call or reset feature will have an effective maturity date less than the stated maturity.

**	Securities backed by mortgage or consumer loans where payment is periodically made will have an effective maturity date less than the stated maturity date.

(AMBAC): American Municipal Bond Assurance Corp.

(G.O.): General Obligation

(IO): Interest only

(LIBOR): London InterBank Offer Rate

(MTN): Medium Term Note

(PO): Principal only

(STEP): Step coupon bond

(TBA): To be announced


Issues	Maturity Date	Principal Amount		Value
BONDS – 89.57%
ASSET-BACKED SECURITIES — 1.27%**
Bear Stearns Asset Backed Securities Trust 2006-SD4 3A1
1.42%	10/25/36²	$	2,776,267	$	1,076,967
Citigroup Mortgage Loan Trust, Inc. 2007-AMC4 A2B
0.49%	05/25/37²		4,900,000		2,035,068
Countrywide Asset-Backed Certificates 2007-13 2A1
1.25%	10/25/47²		618,438		422,235
Credit-Based Asset Servicing and Securitization LLC 2006-CB6 A23
0.50%	07/25/36²		4,000,000		2,223,261
Credit-Based Asset Servicing and Securitization LLC 2006-CB8 A2B
0.46%	10/25/36²		3,800,000		3,250,393
Home Equity Asset Trust 2007-1 2A1
0.41%	05/25/37²		162,641		152,108
HSBC Home Equity Loan Trust 2007-3 M1
2.60%	11/20/36²		3,800,000		1,958,638
Securitized Asset Backed Receivables LLC Trust 2007-BR2 A2
0.58%	02/25/37²		405,241		191,000

Total Asset-Backed Securities (Cost $8,742,870)					11,309,670


CORPORATES — 77.57%*
Automotive — 1.36%
Cooper-Standard Automotive, Inc.
8.50%	05/01/18³		3,200,000		3,240,000
Navistar International Corp.
8.25%	11/01/21		2,485,000		2,534,700
Oshkosh Corp.
8.25%	03/01/17		1,750,000		1,828,750
Tenneco, Inc.
8.13%	11/15/15		2,125,000		2,146,250
Tenneco, Inc. B
10.25%	07/15/13		500,000		514,375
TRW Automotive
3.50%	12/01/15		1,545,000		1,778,681


					12,042,756

Banking — 4.28%
Ally Financial, Inc.
2.74%	12/01/14²		10,053,000		8,663,957
8.00%	03/15/20³		3,250,000		3,176,875
8.30%	02/12/15³		2,900,000		2,943,500
Bank of America N.A.
0.84%	06/15/17²		2,000,000		1,716,438
BankAmerica Capital III
0.87%	01/15/27²		2,300,000		1,495,000


Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Banking (continued)
Chase Capital II B
0.84%	02/01/27²	$	8,390,000	$	6,326,823
Chase Capital VI
0.97%	08/01/28²		1,000,000		790,278
Discover Bank
8.70%	11/18/19		2,265,000		2,518,694
Fleet Capital Trust V
1.54%	12/18/28²		3,750,000		2,732,460
HBOS Capital Funding LP (United Kingdom)
6.07%	06/24/49^2,3,4		300,000		210,000
Lloyds Banking Group Capital No. 1 Plc (United Kingdom)
8.00%	12/29/49^2,4		640,000		502,400
Nationsbank Capital Trust III
0.85%	01/15/27²		6,342,000		4,204,797
Nationsbank Capital Trust IV
8.25%	04/15/27		815,000		800,737
Provident Funding Associates
10.25%	04/15/17³		1,850,000		1,868,500


					37,950,459

Communications — 13.18%
CCO Holdings LLC/CCO Holdings Capital Corp.
7.88%	04/30/18³		2,400,000		2,424,000
Cengage Learning Acquisitions, Inc.
10.50%	01/15/15³		6,877,000		6,429,995
Cequel Communications Holdings I LLC/Cequel Capital Corp.
8.63%	11/15/17³		12,800,000		12,816,000
Charter Communications Operating LLC/Charter Communications Operating Capital
8.00%	04/30/12³		500,000		522,500
Cincinnati Bell, Inc.
8.25%	10/15/17		5,150,000		4,841,000
Frontier Communications Corp.
7.13%	03/15/19		3,000,000		2,790,000
GCI, Inc.
7.25%	02/15/14		500,000		501,875
8.63%	11/15/19³		1,700,000		1,704,250
Global Crossing, Ltd. (Bermuda)
12.00%	09/15/15^3,4		2,000,000		2,130,000
Intelsat Jackson Holdings SA (Bermuda)
8.50%	11/01/19^3,4		1,000,000		1,010,000
9.50%	06/15/16⁴		2,250,000		2,373,750
11.25%	06/15/16⁴		3,250,000		3,469,375
Intelsat Luxembourg SA (PIK) (Bermuda)
11.50%	02/04/17⁴		9,062,007		9,084,662


Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Communications (continued)
Intelsat Luxembourg SA (STEP) (Bermuda)
11.25%	02/04/17	⁴	$	1,500,000	$	1,526,250
iPCS, Inc. (PIK)
3.59%	05/01/14	²		4,100,000		3,772,000
Level 3 Financing, Inc.
4.14%	02/15/15	²		7,200,000		5,616,000
LIN Television Corp.
6.50%	05/15/13			2,695,000		2,641,100
LIN Television Corp. B
6.50%	05/15/13			2,700,000		2,605,500
McClatchy Co. (The)
11.50%	02/15/17	³		5,730,000		5,844,600
New Communications Holdings, Inc.
8.25%	04/15/17	³		1,250,000		1,259,375
Nextel Communications, Inc. E
6.88%	10/31/13			8,730,000		8,500,837
Qwest Communications International, Inc. B
7.50%	02/15/14			7,398,000		7,453,485
Sinclair Television Group, Inc.
9.25%	11/01/17	³		1,500,000		1,522,500
Sprint Nextel Corp.
6.00%	12/01/16			7,000,000		6,317,500
Telesat Canada LLC (Canada)
12.50%	11/01/17	⁴		2,000,000		2,250,000
Umbrella Acquisitions, Inc. (PIK)
9.75%	03/15/15	³		5,105,000		4,275,438
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH (Germany)
8.13%	12/01/17	^3,4		650,000		637,000
UPC Holding BV (Netherlands)
9.88%	04/15/18	^3,4		1,750,000		1,767,500
Visant Corp.
7.63%	10/01/12			325,000		326,625
Visant Holding Corp.
8.75%	12/01/13			1,625,000		1,649,375
Visant Holding Corp. (STEP)
10.25%	12/01/13			1,185,000		1,216,106
Wind Acquisition Holdings Finance SA (Luxembourg) (PIK)
12.25%	07/15/17	^3,4		3,000,000		2,745,000
Windstream Corp.
7.88%	11/01/17			5,000,000		4,906,250

						116,929,848


Consumer Products — 1.28%
Hanesbrands, Inc.
8.00%	12/15/16			3,275,000		3,336,406
Levi Strauss & Co.
7.63%	05/15/20	³		4,775,000		4,691,438


Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Consumer Products (continued)
Spectrum Brands, Inc.
9.50%	06/15/18	³	$	3,200,000	$	3,304,000

						11,331,844


Electric — 10.26%
AES Red Oak LLC A
8.54%	11/30/19			2,609,406		2,589,836
Calpine Construction Finance Co. LP
8.00%	06/01/16	³		7,675,000		7,886,062
Coso Geothermal Power Holdings
7.00%	07/15/26	³		4,662,712		4,490,919
Dynegy Holdings, Inc.
7.75%	06/01/19			2,000,000		1,392,500
Dynegy Roseton/Danskammer Pass Through Trust B
7.67%	11/08/16			12,596,000		11,084,480
Edison Mission Energy
7.00%	05/15/17			11,460,000		7,449,000
7.63%	05/15/27			4,250,000		2,465,000
7.75%	06/15/16			1,750,000		1,227,188
Energy Future Holdings Corp.
10.88%	11/01/17			17,500,000		12,906,250
Energy Future Holdings Corp. (PIK)
11.25%	11/01/17			1,921,356		1,258,488
FPL Energy National Wind Portfolio LLC
6.13%	03/25/19	³		4,945,078		4,851,814
Indiantown Cogeneration LP A-10
9.77%	12/15/20			1,665,000		1,841,906
Midwest Generation LLC B
8.56%	01/02/16			1,332,797		1,324,467
Mirant Americas Generation LLC
8.50%	10/01/21			9,260,000		8,658,100
9.13%	05/01/31			2,300,000		2,127,500
Mirant Mid Atlantic Pass Through Trust B
9.13%	06/30/17			3,578,469		3,699,242
NRG Energy, Inc.
7.38%	02/01/16			3,000,000		2,992,500
PNM Resources, Inc.
9.25%	05/15/15			7,525,000		8,042,344
Reliant Energy Mid-Atlantic Power Holdings LLC B
9.24%	07/02/17			2,265,378		2,353,161
Texas Competitive Electric Holdings Co. LLC A
10.25%	11/01/15			3,500,000		2,327,500

						90,968,257


Energy — 17.16%
Allis-Chalmers Energy, Inc.
8.50%	03/01/17			7,095,000		6,172,650


Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Energy (continued)
Anadarko Petroleum Corp.
6.95%	06/15/19	$	5,150,000	$	4,503,278
Antero Resources Finance Corp.
9.38%	12/01/17³		6,430,000		6,462,150
Aquilex Holdings LLC/Aquilex Finance Corp.
11.13%	12/15/16³		1,500,000		1,507,500
Arch Coal, Inc.
8.75%	08/01/16³		2,500,000		2,612,500
Atlas Energy Operating Co. LLC/Atlas Energy Finance Corp.
10.75%	02/01/18		5,100,000		5,463,375
12.13%	08/01/17		2,198,000		2,439,780
Chaparral Energy, Inc.
8.50%	12/01/15		1,500,000		1,395,000
8.88%	02/01/17		9,060,000		8,380,500
Chesapeake Energy Corp.
2.25%	12/15/38		10,075,000		7,316,969
2.50%	05/15/37		2,750,000		2,155,312
Comstock Resources, Inc.
8.38%	10/15/17		2,600,000		2,590,250
Corral Petroleum Holdings AB (Sweden)
2.00%	09/18/11^2,3,4		797,869		738,029
Delta Petroleum Corp.
7.00%	04/01/15		1,000,000		750,000
Dynegy Roseton/Danskammer Pass-Through Trust A
7.27%	11/08/10		340,140		340,140
El Paso Pipeline Partners Operating Co. LLC
6.50%	04/01/20		2,000,000		2,022,500
Hilcorp Energy I LP/Hilcorp Finance Co.
7.75%	11/01/15³		1,875,000		1,856,250
James River Coal Co.
9.38%	06/01/12		5,000,000		5,087,500
Linn Energy LLC/Linn Energy Finance Corp.
8.63%	04/15/20³		2,000,000		2,057,500
Massey Energy Co.
3.25%	08/01/15		13,540,000		11,322,825
OPTI Canada, Inc. (Canada)
7.88%	12/15/14⁴		4,550,000		3,958,500
8.25%	12/15/14⁴		7,200,000		6,300,000
Parker Drilling Co.
9.13%	04/01/18³		1,500,000		1,432,500
Penn Virginia Corp.
10.38%	06/15/16		3,750,000		4,012,500
Petrohawk Energy Corp.
10.50%	08/01/14		2,160,000		2,332,800
Quicksilver Resources, Inc.
7.13%	04/01/16		1,000,000		927,500
8.25%	08/01/15		3,925,000		3,895,563


Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Energy (continued)
9.13%	08/15/19	$	1,000,000	$	1,010,000
11.75%	01/01/16		500,000		553,750
Sabine Pass LNG LP
7.25%	11/30/13		9,200,000		8,326,000
7.50%	11/30/16		8,950,000		7,495,625
SandRidge Energy, Inc.
8.00%	06/01/18³		1,000,000		940,000
8.75%	01/15/20³		1,750,000		1,671,250
9.88%	05/15/16³		2,500,000		2,550,000
Southern Union Co.
7.20%	11/01/66²		16,267,000		14,416,629
Tesoro Corp.
6.50%	06/01/17		9,925,000		9,131,000
9.75%	06/01/19		1,000,000		1,042,500
Transocean, Inc. (Cayman Islands)
6.00%	03/15/18		2,700,000		2,447,607
Western Refining, Inc.
11.25%	06/15/17³		5,000,000		4,575,000


					152,192,732

Entertainment — 1.02%
Live Nation Entertainment, Inc.
8.13%	05/15/18³		3,150,000		3,063,375
Pinnacle Entertainment, Inc.
8.63%	08/01/17³		2,600,000		2,691,000
Regal Cinemas Corp.
8.63%	07/15/19		3,325,000		3,325,000

					9,079,375

Finance — 8.77%
Astoria Depositor Corp.
8.14%	05/01/21³		7,000,000		6,930,000
BankBoston Capital Trust IV
1.14%	06/08/28²		1,900,000		1,225,836
Barnett Capital III
0.97%	02/01/27²		800,000		538,750
Cantor Fitzgerald LP
6.38%	06/26/15³		3,250,000		3,265,278
Capital One Capital V
10.25%	08/15/39		3,875,000		4,112,344
CIT Group, Inc.
7.00%	05/01/13		14,468,884		13,926,301
Citigroup, Inc.
1.05%	08/25/36²		1,260,000		828,954
City National Capital Trust I
9.63%	02/01/40		3,000,000		3,165,042
Ford Motor Credit Co. LLC
8.00%	12/15/16		6,500,000		6,711,250


Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Finance (continued)
JPMorgan Chase Capital XIII M
1.48%	09/30/34	²	$	1,100,000	$	819,382
JPMorgan Chase Capital XXI U
1.29%	02/02/37	²		4,750,000		3,465,410
LBI Escrow Corp.
8.00%	11/01/17	³		6,125,000		6,331,719
Lehman Brothers Holdings, Inc. (MTN)
11.00%	11/07/16	^2,5,6		383,000		72,770
Lehman Brothers Holdings, Inc. H (MTN)
0.00%	11/30/10	^2,5,6		294,000		55,860
MBNA Capital B
1.14%	02/01/27	²		4,000,000		2,713,200
Prudential Holdings LLC
8.70%	12/18/23	³		2,500,000		3,168,913
Raymond James Financial, Inc.
8.60%	08/15/19			2,300,000		2,713,301
Trans Union, LLC Transunion Financing Corp.
11.38%	06/15/18	³		2,600,000		2,713,750
ZFS Finance USA Trust I
6.15%	12/15/65	^2,3		12,420,000		11,674,800
ZFS Finance USA Trust II
6.45%	12/15/65	^2,3		1,750,000		1,583,750
ZFS Finance USA Trust IV
5.88%	05/09/32	^2,3		2,000,000		1,775,040


						77,791,650

Food — 1.11%
Dole Food Co., Inc.
8.00%	10/01/16	³		1,000,000		1,007,500
13.88%	03/15/14			1,311,000		1,543,703
JBS USA LLC/JBS USA Finance, Inc.
11.63%	05/01/14			3,500,000		3,941,875
Smithfield Foods, Inc.
10.00%	07/15/14	³		3,000,000		3,337,500


						9,830,578

Gaming — 1.06%
Herbst Gaming, Inc.
8.13%	06/01/12	^5,6		575,000		6,109
MGM Mirage
9.00%	03/15/20	³		1,350,000		1,392,188
10.38%	05/15/14			2,400,000		2,610,000
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.
6.63%	12/01/14			5,350,000		5,390,125


						9,398,422


Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Health Care — 4.34%
Accellent, Inc.
8.38%	02/01/17	³	$	5,650,000	$	5,565,250
Capella Healthcare, Inc.
9.25%	07/01/17	³		2,250,000		2,278,125
CHS/Community Health Systems, Inc.
8.88%	07/15/15			12,365,000		12,735,950
HCA, Inc.
7.50%	12/15/23			3,965,000		3,528,850
8.50%	04/15/19			3,939,000		4,175,340
9.13%	11/15/14			1,500,000		1,573,125
Inverness Medical Innovations, Inc.
3.00%	05/15/16			2,430,000		2,101,950
9.00%	05/15/16			1,379,000		1,385,895
Patheon, Inc. (Canada)
8.63%	04/15/17	^3,4		2,500,000		2,468,750
Tenet Healthcare Corp.
6.88%	11/15/31			3,500,000		2,695,000


						38,508,235

Homebuilding — 0.79%
K Hovnanian Enterprises, Inc.
10.63%	10/15/16			7,000,000		7,035,000

Industrials — 2.60%
Berry Plastics Corp.
5.05%	02/15/15	²		3,150,000		3,000,375
8.25%	11/15/15			1,250,000		1,246,875
Casella Waste Systems, Inc.
11.00%	07/15/14	³		3,500,000		3,797,500
General Cable Corp.
0.88%	11/15/13			2,175,000		1,903,125
Graham Packaging Co. LP/GPC Capital Corp. I
8.25%	01/01/17	³		2,500,000		2,475,000
Maxim Crane Works LP
12.25%	04/15/15	³		3,150,000		3,083,063
Reddy Ice Corp.
11.25%	03/15/15	³		3,950,000		4,088,250
Solo Cup Co./Solo Cup Operating Corp.
10.50%	11/01/13			1,100,000		1,141,250
Spirit Aerosystems, Inc.
7.50%	10/01/17			500,000		492,500
Wyle Services Corp.
10.50%	04/01/18	³		1,850,000		1,840,750


						23,068,688

Insurance — 0.28%
Farmers Exchange Capital
7.05%	07/15/28	³		1,500,000		1,434,358


Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Insurance (continued)
MetLife Capital Trust X
9.25%	04/08/38	^2,3	$	1,000,000	$	1,085,000


						2,519,358

Materials — 2.17%
Cellu Tissue Holdings, Inc.
11.50%	06/01/14			2,000,000		2,170,000
Hexion Finance Escrow, LLC
8.88%	02/01/18			3,000,000		2,722,500
Lyondell Chemical Co.
11.00%	05/01/18			669,024		720,873
NewPage Corp.
11.38%	12/31/14			4,600,000		4,197,500
Noranda Aluminium Acquisition Corp. (PIK)
5.37%	05/15/15			4,413,399		3,420,384
Verso Paper Holdings LLC/Verso Paper, Inc. B
4.09%	08/01/14	²		3,737,000		3,223,163
9.13%	08/01/14			2,900,000		2,784,000


						19,238,420

Retail — 0.37%
Toys R Us Property Co. LLC
8.50%	12/01/17	³		3,150,000		3,244,500

Services — 2.50%
Geo Group, Inc. (The)
7.75%	10/15/17	³		250,000		253,125
Mobile Mini, Inc.
6.88%	05/01/15			7,900,000		7,366,750
National Money Mart Co. (Canada)
10.38%	12/15/16	^3,4		750,000		765,000
RSC Equipment Rental, Inc./RSC Holdings III LLC
10.00%	07/15/17	³		3,450,000		3,717,375
Stonemor Operating LLC/Cornerstone Family Services/Osiris Holdings
10.25%	12/01/17	³		3,950,000		4,029,000
United Rentals North America, Inc.
7.00%	02/15/14			3,450,000		3,260,250
7.75%	11/15/13			975,000		950,625
9.25%	12/15/19			1,275,000		1,290,937
10.88%	06/15/16			500,000		538,750


						22,171,812

Transportation — 5.04%
Commercial Barge Line Co.
12.50%	07/15/17			2,975,000		3,157,219
Continental Airlines Pass-Through Trust
2007-1 A
5.98%	04/19/22			491,145		495,109


Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Transportation (continued)
Continental Airlines Pass-Through Trust
2007-1 B
6.90%	04/19/22		$	6,782,481	$	6,300,925
Continental Airlines Pass-Through Trust
2009-1 A
9.00%	07/08/16			1,665,637		1,801,386
Delta Air Lines, Inc.
9.50%	09/15/14	³		2,000,000		2,110,000
12.25%	03/15/15	³		2,000,000		2,155,000
Delta Air Lines, Inc. 2002 G1
6.72%	01/02/23			6,070,122		5,705,915
Delta Air Lines, Inc. 2002 G2
6.42%	07/02/12			1,450,000		1,479,000
Delta Air Lines, Inc. B
9.75%	12/17/16			2,375,597		2,452,803
JetBlue Airways Pass-Through Trust 2004-2 G1
0.81%	08/15/16	²		2,372,530		2,040,376
Martin Midstream Partners LP/Martin
Midstream Finance Corp.
8.88%	04/01/18	³		1,250,000		1,243,750
Navios Maritime Holdings, Inc./Navios Maritime Finance US, Inc. (Greece)
8.88%	11/01/17	^3,4		625,000		632,812
Northwest Airlines, Inc. 2001 1A-2
6.84%	04/01/11			1,250,000		1,264,375
Northwest Airlines, Inc. 2001-1 A1
7.04%	04/01/22			769,064		761,373
RailAmerica, Inc.
9.25%	07/01/17			2,374,000		2,498,635
United Air Lines, Inc.
9.88%	08/01/13	³		8,700,000		8,995,800
12.00%	11/01/13	³		1,500,000		1,571,250


						44,665,728

Total Corporates (Cost $652,414,704)						687,967,662


BANK LOANS — 9.67%*
Automotive — 0.69%
Ford Motor Co. Term Loan B 1st Lien
3.33%	12/15/13	⁷		6,436,963		6,095,669

Communications — 1.79%
Charter Communications, Inc. Term Loan 3rd Lien
3.04%	09/06/14	⁷		5,000,000		4,467,500
Dex Media West LLC Term Loan
7.50%	10/24/14	^2,7		5,018,606		4,523,917
R.H. Donnelley, Inc., Term Loan
9.25%	10/24/14	^2,7		528,483		473,873


Issues	Maturity Date		Principal Amount		Value
BANK LOANS (continued)
Communications (continued)
SuperMedia, Inc.
11.00%	12/31/15	^2,7	$	2,542,133	$	2,187,597
Univision Communications, Inc. 1st Lien Strip
2.60%	09/29/14	⁷		4,968,456		4,182,476


						15,835,363

Consumer Discretionary — 0.21%
Tribune 1st Lien Term Loan B
3.25%	06/04/14	^5,6,7		2,979,962		1,822,247

Electric — 1.45%
Boston Generating LLC 1st Lien
2.36%	12/21/13	⁷		6,925,874		5,849,891
Calpine New Development Holdings LLC
11.54%	06/08/17	⁷		4,500,000		4,461,430
TPF Generation Holdings LLC 2nd Lien
4.78%	12/15/14	⁷		1,250,000		1,121,250
TXU Energy Term Loan B1
3.85%	10/10/14	⁷		1,957,689		1,452,361


						12,884,932

Energy — 1.24%
MACH Gen LLC Term Loan C (PIK)
8.01%	02/15/15	⁷		16,692,012		11,044,554

Finance — 1.70%
First Data Corp. Term Loan B1
3.10%	09/24/14	⁷		5,448,020		4,595,252
Kelson 1st Lien
3.78%	03/08/13	⁷		4,878,592		4,661,494
Kelson 2nd Lien (PIK)
7.03%	03/08/14	⁷		6,661,586		5,868,857


						15,125,603

Gaming — 1.25%
Harrah’s Entertainment, Inc. Term Loan B2
3.32%	01/28/15	⁷		13,250,000		11,049,254

Health Care — 0.30%
Carestream Health, Inc. Term Loan
5.60%	10/30/13	⁷		1,500,000		1,390,625
HCA Term Loan A
2.03%	11/17/12	⁷		1,309,556		1,240,464


						2,631,089

Transportation — 1.04%
Delta Air Lines, Inc. Term Loan 1st Lien
2.21%	04/30/12	⁷		1,219,848		1,168,005
8.75%	09/16/13	⁷		1,985,000		1,999,475


Issues	Maturity Date		Principal Amount		Value
BANK LOANS (continued)
Transportation (continued)
United Air Lines, Inc.
2.36%	02/01/14	⁷	$	6,914,455	$	6,092,243


						9,259,723

Total Bank Loans
(Cost $83,341,586)						85,748,434


MORTGAGE-BACKED — 0.01%**
Non-Agency Mortgage-Backed — 0.00%
BHN I Mortgage Fund 2000-1 AF (Argentina)
8.00%	03/31/11	^3,4,8		2,890		347

U.S. Agency Mortgage-Backed — 0.01%
Fannie Mae 1993-225 SG
25.93%	12/25/13	²		45,549		55,409
Ginnie Mae 2003-28 LI (IO)
5.50%	02/20/32			27,755		828


						56,237

Total Mortgage-Backed
(Cost $51,992)						56,584


MUNICIPAL BONDS — 1.05%*
Pennsylvania — 1.05%
Pennsylvania Economic Development Financing Authority, Electric Light & Power Improvements, Series A Revenue Bonds
6.75%	12/01/36			9,035,000		9,315,717

Total Municipal Bonds (Cost $7,850,060)						9,315,717

Total Bonds – 89.57% (Cost $752,401,212)						794,398,067



Issues		Shares	Value
PREFERRED STOCK — 0.31%
Electric — 0.31%
PPL Corp.
0.24%	07/01/13	52,400	2,728,730

Total Preferred Stock (Cost $2,707,975)			2,728,730



Issues	Maturity Date	Shares/ Principal Amount	Value
SHORTTERM INVESTMENTS — 10.56%
Commercial Paper — 1.55%
General Electric Capital Corp.
0.25%⁹	07/14/10	$13,755,000	13,753,758


Issues	Maturity Date	Shares/ Principal Amount		Value
SHORTTERM INVESTMENTS (continued)

Money Market Fund — 8.67%

Dreyfus Cash Advantage Fund
0.19%¹⁰		$	36,207,000	$	36,207,000
Fidelity Institutional Money Market Funds - Prime Money Market Portfolio
0.22%¹⁰			39,932,000		39,932,000
Goldman Sachs Financial Square Funds - Prime Obligations Fund
0.13%^10,11			790,000		790,000


					76,929,000


U.S. Agency Discount Notes — 0.34%
Fannie Mae
0.17%⁹	10/01/10		2,996,000		2,994,928


Total Short Term Investments (Cost $93,677,457)					93,677,686


Total Investments – 100.44% (Cost $848,786,644)¹					890,804,483


Liabilities in Excess of Other
Assets – (0.44%)					(3,860,262	)


Net Assets – 100.00%				$	886,944,221


	Expiration Date	Premiums Paid/ Received	Notional Amount (000’s)^a	Appreciation/ Depreciation		Value
SWAPS: CREDIT DEFAULT (PURCHASED) - SINGLE ISSUES

The Fund pays a fixed rate equal to 0.41% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Lowe’s Cos., Inc., 8.25%, due 06/01/10. Counterparty: Citigroup, Inc.

	12/20/12	$—	$ 75	$ (52)		$(52)

The Fund pays a fixed rate equal to 0.45% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Lowe’s Cos., Inc., 8.25%, due 06/01/10. Counterparty: Citigroup, Inc.

	12/20/12	—	125	(211	)	(211	)

The Fund pays a fixed rate equal to 2.25% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Darden Restaurants, Inc., 7.13%, due 02/01/16. Counterparty: Deutsche Bank AG

	03/20/13	—	100	(4,212	)	(4,212	)

The Fund pays a fixed rate equal to 2.25% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Darden Restaurants, Inc., 7.13%, due 02/01/16. Counterparty: Morgan Stanley

	03/20/13	—	100	(4,212	)	(4,212	)


	Expiration Date	Premiums Paid/ Received	Notional Amount (000’s)^a	Appreciation/ Depreciation		Value
SWAPS: CREDIT DEFAULT (PURCHASED) - SINGLE ISSUES (continued)

The Fund pays a fixed rate equal to 3.55% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Centex Corp., 5.25%, due 06/15/15. Counterparty: UBS AG

	06/20/13	$ —	$1,000	$(68,427)		$(68,427)

The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Pulte Homes, Inc., 5.25%, due 01/15/14. Counterparty: Deutsche Bank AG

	06/20/14	34,547	1,000	23,989		58,536

The Fund pays a fixed rate equal to 2.40% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Darden Restaurants, Inc., 7.13%, due 02/01/16. Counterparty: Citigroup, Inc.

	03/20/15	—	200	(12,087	)	(12,087	)

The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the D.R. Horton, Inc., 5.38%, due 06/15/12. Counterparty: Citigroup, Inc.

	09/20/16	13,553	350	23,088		36,641

The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the D.R. Horton, Inc., 5.38%, due 06/15/12. Counterparty: Deutsche Bank AG

	09/20/16	16,095	300	15,312		31,407

The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the D.R. Horton, Inc., 5.38%, due 06/15/12. Counterparty: Goldman Sachs Group, Inc. (The)

	09/20/16	15,827	295	15,056		30,883

The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Pulte Homes, Inc., 5.25%, due 01/15/14. Counterparty: Deutsche Bank AG

	09/20/16	5,784	170	12,514		18,298

The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Pulte Homes, Inc., 5.25%, due 01/15/14. Counterparty: Deutsche Bank AG

	09/20/16	6,934	190	13,516		20,450

The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Pulte Homes, Inc., 5.25%, due 01/15/14. Counterparty: Deutsche Bank AG

	09/20/16	5,579	300	26,711		32,290

The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Pulte Homes, Inc., 5.25%, due 01/15/14. Counterparty: CS First Boston

	09/20/16	10,661	300	21,629		32,290

The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Pulte Homes, Inc., 5.25%, due 01/15/14. Counterparty: Goldman Sachs Group, Inc. (The)

	09/20/16	3,768	120	9,148		12,916

The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Toll Brothers, Inc., 5.15%, due 05/15/15. Counterparty: CS First Boston

	09/20/16	5,385	1,000	60,053		65,438


		$118,133	$5,625	$131,815		$249,948


	Expiration Date	Premiums Paid/ (Received)		Notional Amount (000’s)^a	Appreciation/ (Depreciation)		Value^b

SWAPS: CREDIT DEFAULT (WRITTEN) - TRADED INDICES

The Fund receives a fixed rate equal to 5.00% and the Fund will pay to the counterparty at par including interest accrued in the event of default of any issue in the Dow Jones CDX Series NA HY 14, due 06/20/15. Counterparty: Bank of America Corp.

	06/20/15	$ (226,142)		$ 5,000	$ (45,228)		$ (271,370)
The Fund receives a fixed rate equal to 5.00% and the Fund will pay to the counterparty at par including interest accrued in the event of default of any issue in the Dow Jones CDX Series NA HY 14, due 06/20/15. Counterparty: JPMorgan Chase & Co.

	06/20/15	(389,067	)	10,000	(153,672	)	(542,739	)
The Fund receives a fixed rate equal to 5.00% and the Fund will pay to the counterparty at par including interest accrued in the event of default of any issue in the Dow Jones CDX Series NA HY 14, due 06/20/15. Counterparty: JPMorgan Chase & Co.

	06/20/15	(294,006	)	5,000	22,636		(271,370	)
The Fund receives a fixed rate equal to 5.00% and the Fund will pay to the counterparty at par including interest accrued in the event of default of any issue in the Dow Jones CDX Series NA HY 14, due 06/20/15. Counterparty: JPMorgan Chase & Co.

	06/20/15	(325,864	)	5,000	54,494		(271,370	)
The Fund receives a fixed rate equal to 5.00% and the Fund will pay to the counterparty at par including interest accrued in the event of default of any issue in the Dow Jones CDX Series NA HY 14, due 06/20/15. Counterparty: JPMorgan Chase & Co.

	06/20/15	(474,477	)	10,000	(75,039	)	(549,516	)


		$(1,709,556)		$35,000	$(196,809)		$(1,906,365)

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

Notes:

¹	Cost for federal income tax purposes is $848,786,644 and net unrealized appreciation/(depreciation) consists of:


Gross unrealized appreciation	$	51,905,697
Gross unrealized depreciation		(9,887,858	)

Net unrealized appreciation	$	42,017,839

²	Floating rate security. The rate disclosed is that in effect at June 30, 2010.

⁴	U.S. dollar denominated security issued by foreign domiciled entity.

⁵	Security is currently in default with regards to scheduled interest or principal payments.

⁶	Non-income producing security.

⁷	Non-Rule 144A securities determined to be restricted private placements under procedures approved by the Fund’s Board of Trustees. Information related to these securities is as follows:


Date of Purchase	Security	Amortized Cost		Value		% of Total Net Assets
12/19/06	Boston Generating LLC 1st Lien, 2.36%, 12/21/13	$	5,549,696	$	5,849,891	0.66%
06/08/10	Calpine New Development Holdings LLC, 11.54%, 06/08/17		4,435,000		4,461,430	0.50%
04/12/07	Carestream Health, Inc. Term Loan, 5.60%, 10/30/13		1,503,576		1,390,625	0.16%
01/05/09	Charter Communications, Inc. Term Loan 3rd Lien, 3.04%, 09/06/14		4,003,503		4,467,500	0.50%
09/29/09	Delta Air Lines, Inc. Term Loan 1st Lien, 2.21%, 04/30/12		1,152,841		1,168,005	0.13%
09/11/07	Delta Air Lines, Inc. Term Loan 1st Lien, 8.75%, 09/16/13		1,952,739		1,999,475	0.22%
01/05/09	Dex Media West LLC Term Loan, 7.50%, 10/24/14		3,675,676		4,523,917	0.51%
01/28/09	First Data Corp. Term Loan B1, 3.10%, 09/24/14		4,285,633		4,595,252	0.52%
06/08/09	Ford Motor Co. Term Loan B 1st Lien, 3.33%, 12/15/13		5,812,937		6,095,669	0.69%
10/09/09	Harrah’s Entertainment, Inc. Term Loan B2, 3.32%, 01/28/15		10,918,330		11,049,254	1.25%
06/22/09	HCA Term Loan A, 2.03%, 11/17/12		1,223,679		1,240,464	0.14%
02/09/09	Kelson 1st Lien, 3.78%, 03/08/13		4,390,436		4,661,494	0.53%
09/16/08	Kelson 2nd Lien (PIK), 7.03%, 03/08/14		5,598,384		5,868,857	0.66%
01/08/09	MACH Gen LLC Term Loan C (PIK), 8.01%, 02/15/15		12,264,240		11,044,554	1.24%
01/11/10	R.H. Donnelley, Inc., Term Loan, 9.25%, 10/24/14		511,152		473,873	0.05%
01/29/10	SuperMedia, Inc., 11.00%, 12/31/15		2,142,991		2,187,597	0.25%
12/21/06	TPF Generation Holdings LLC 2nd Lien, 4.78%, 12/15/14		1,229,933		1,121,250	0.13%
05/17/07	Tribune 1st Lien Term Loan B, 3.25%, 06/04/14		2,142,194		1,822,247	0.21%
06/11/09	TXU Energy Term Loan B1, 3.85%, 10/10/14		1,555,332		1,452,361	0.16%
02/03/09	United Air Lines, Inc., 2.36%, 02/01/14		4,700,924		6,092,243	0.69%
11/30/07	Univision Communications, Inc. 1st Lien Strip, 2.60%, 09/29/14		4,292,390		4,182,476	0.47%

		$	83,341,586	$	85,748,434	9.67%

⁸	Illiquid security as determined under procedures approved by the Fund’s Board of Trustees. The aggregate value of illiquid securities is $347 which is 0.00% of total net assets.

⁹	Represents annualized yield at date of purchase.

¹⁰	Represents the current yield as of June 30, 2010.

¹¹	Securities, or a portion there of, pledged as collateral for swaps. The total market value of collateral pledged is $790,000.

*	Securities with a call or reset feature will have an effective maturity date less than the stated maturity.

**	Securities backed by mortgage or consumer loans where payment is periodically made will have an effective maturity date less than the stated maturity date.


Issues	Maturity Date		Principal Amount		Value
BONDS – 85.81%
ASSET-BACKED SECURITIES — 27.45%**
ABFS Mortgage Loan Trust 2002-2 A7 (STEP)
5.72%	07/15/33		$	1,589	$	1,578
Aerco Ltd. 2A A3 (United Kingdom)
0.80%	07/15/25	^2,3,4		3,084,902		1,850,941
Aircastle Aircraft Lease Backed Trust 2007-1A G1
0.61%	06/14/37	^3,4		559,772		453,425
Asset Backed Funding Certificates 2007-WMC1 A2B
1.35%	06/25/37	³		5,000,000		2,231,790
Asset Backed Securities Corp. Home Equity 2007-HE1 A2
0.40%	12/25/36	³		40,609		39,474
Aviation Capital Group Trust 2003-2A B1
3.35%	09/20/33	^3,4,†		2,355,885		1,342,895
Babcock & Brown Air Funding I Ltd. 2007-1A G1 (Bermuda)
0.65%	11/14/33	^2,3,4,†		509,670		392,455
Birch Real Estate CDO Ltd. 1A A1 (Cayman Islands)
5.16%	02/10/38	^2,4,†		450,000		430,636
Centex Home Equity 2006-A AV4
0.60%	06/25/36	³		4,300,000		2,340,608
Citicorp Residential Mortgage Securities, Inc. 2007-1 A5 (STEP)
6.05%	03/25/37			1,750,000		1,686,034
Citigroup Mortgage Loan Trust, Inc. 2007-WFH2 A3
0.53%	03/25/37	³		5,000,000		2,230,957
Citigroup Mortgage Loan Trust, Inc. 2007-WFH2 M1
0.75%	03/25/37	³		6,500,000		1,376,430
Conseco Finance 2002-C BF1
8.00%	06/15/32	³		3,763,000		3,413,617
Conseco Finance 2002-C BF2
8.00%	06/15/32	^3,4		1,098,310		581,290
Conseco Finance Securitizations Corp. 2002-1 A
6.68%	12/01/33	³		114,963		117,499
Conseco Financial Corp. 1996-10 M1
7.24%	11/15/28	³		2,700,000		2,531,408
Conseco Financial Corp. 1996-7 M1
7.70%	10/15/27			1,162,000		1,212,020
Conseco Financial Corp. 1996-8 A6
7.60%	10/15/27	³		36,887		38,109
Conseco Financial Corp. 1998-4 A7
6.87%	04/01/30	³		706,164		722,304
Conseco Financial Corp. 1999-5 A5
7.86%	03/01/30	³		149,955		140,149


Issues	Maturity Date		Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Countrywide Asset-Backed Certificates 2007-4 A1A
0.38%	09/25/37	³	$	749,867	$	690,231
Countrywide Asset-Backed Certificates 2007-4 A2
5.53%	09/25/37			930,000		791,052
Credit-Based Asset Servicing and Securitization LLC 2006-CB4 AV3
0.50%	05/25/36	³		6,900,000		3,725,358
Crystal River 2005-1A A (Cayman Islands)
0.90%	03/02/46	^2,3,4,†		569,329		39,863
Deutsche Financial Capital Securitization LLC 1997-I A3
6.75%	09/15/27			63,078		64,610
First Franklin Mortgage Loan Asset Backed Certificates 2007-FF1 A2D
0.57%	01/25/38	³		6,900,000		3,200,558
GE SeaCo Finance SRL 2004-1A A (Barbados)
0.65%	04/17/19	^2,3,4,†		460,000		432,408
GE SeaCo Finance SRL 2005-1A A (Barbados)
0.60%	11/17/20	^2,3,4,†		176,042		161,081
Green Tree 2008-MH1 A3
8.97%	04/25/38	^3,4		2,625,570		2,836,529
Green Tree Home Improvement Loan Trust 1995-C B2
7.60%	07/15/20			37,058		32,889
Green Tree Home Improvement Loan Trust 1995-D B2
7.45%	09/15/25			93,861		79,863
Green Tree Home Improvement Loan Trust 1995-F B2
7.10%	01/15/21			15,023		13,643
Green Tree Recreational Equipment & Consumer Trust 1996-C Certificates
7.65%	10/15/17			7,681		6,711
HSBC Home Equity Loan Trust 2004-1 A
0.70%	09/20/33	³		930,470		842,315
HSBC Home Equity Loan Trust 2007-1 M1
0.73%	03/20/36	³		1,210,000		658,112
HSBC Home Equity Loan Trust 2007-2 M1
0.66%	07/20/36	^3,†		1,950,000		1,131,034
HSBC Home Equity Loan Trust 2007-2 M2
0.72%	07/20/36	³		650,000		248,397
IndyMac Manufactured Housing Contract 1997-1 A3
6.61%	02/25/28			764,238		560,549
IndyMac Manufactured Housing Contract 1997-1 A4
6.75%	02/25/28			377,361		278,278


Issues	Maturity Date		Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
IndyMac Manufactured Housing Contract 1998-1 A4
6.49%	09/25/28		$	200,347	$	165,233
IndyMac Manufactured Housing Contract 1998-1 A5
6.96%	09/25/28	³		715,524		605,206
IndyMac Manufactured Housing Contract 1998-2 A2
6.17%	12/25/11			147,336		140,289
IndyMac Manufactured Housing Contract 1998-2 A4
6.64%	12/25/27	³		937,761		902,020
JPMorgan Mortgage Acquisition Corp. 2007-CH5 A3
0.46%	05/25/37	³		1,575,000		880,810
Lehman ABS Mortgage Loan Trust 2007-1 2A1
0.44%	06/25/37	^3,4		136,312		55,820
Merrill Lynch Mortgage Investors, Inc. 2004-HE2 A2C
0.93%	08/25/35	³		1,144,805		960,981
Mid-State Trust 11 B
8.22%	07/15/38			18,107		17,476
Mid-State Trust 2004-1 B
8.90%	08/15/37			1,376,465		1,329,217
Mid-State Trust 6 A4
7.79%	07/01/35			53,071		50,527
Nationstar Home Equity Loan Trust 2007-A AV4
0.58%	03/25/37	³		5,000,000		2,751,610
Oakwood Mortgage Investors, Inc. 1998-A A4
6.20%	05/15/28			2,562		2,590
Oakwood Mortgage Investors, Inc. 1998-B A4
6.35%	03/15/17			164,894		164,785
Oakwood Mortgage Investors, Inc. 1999-A A2
5.89%	04/15/29			194,921		192,272
Oakwood Mortgage Investors, Inc. 2002-A AIO (IO)
6.00%	02/15/10	⁵		176,245		35
Origen Manufactured Housing 2006-A A1
0.50%	11/15/18	³		2,343,002		2,180,591
PAMCO CLO 1998-1A B2 (Cayman Islands)
1.60%	05/01/10	^2,3,4,5,†		561,677		39,356
Residential Asset Mortgage Products, Inc. 2007-RZ1 A1
0.42%	02/25/37	³		35,147		34,416
Residential Asset Securities Corp. 2007-KS2 AI1
0.42%	02/25/37	³		51,742		49,691
Specialty Underwriting & Residential Finance 2004-BC4 A2C
0.84%	10/25/35	³		1,913,717		1,614,829


Issues	Maturity Date		Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Structured Asset Receivables Trust 2005-1A Certificates
0.81%	01/21/15	^3,4,†	$	11,532,895	$	10,265,070
Structured Asset Securities Corp. 2007-BC3 2A2
0.49%	05/25/47	³		1,960,000		1,215,756
Terwin Mortgage Trust 2004-7HE A1
0.90%	07/25/34	^3,4		122,539		105,767
Textainer Marine Containers Ltd. 2005-1A A (Bermuda)
0.60%	05/15/20	^2,3,4		553,125		503,689
Triton Container Finance LLC 2006-1A
0.52%	11/26/21	^3,4		818,125		733,876
Triton Container Finance LLC 2007-1A
0.49%	02/26/19	^3,4		481,250		443,620
UCFC Home Equity Loan 1998-D BF1
8.97%	04/15/30	³		585		256
Wells Fargo Home Equity Trust 2007-2 M1
0.72%	04/25/37	³		5,000,000		99,305


Total Asset-Backed Securities (Cost $89,594,206)						64,432,193


CORPORATES — 27.91%*
Banking — 7.84%
Ally Financial, Inc.
2.74%	12/01/14	³		1,538,000		1,325,491
7.25%	03/02/11			1,266,000		1,292,903
BAC Capital Trust XV
1.34%	06/01/56	³		2,000,000		1,312,642
Bank of America Corp. (MTN)
0.74%	06/22/12	³		1,420,000		1,429,704
1.11%	12/02/11	³		1,560,000		1,578,001
Chase Capital II B
0.84%	02/01/27	³		3,144,000		2,370,862
Chase Capital VI
0.97%	08/01/28	³		1,000,000		790,278
Credit Suisse/Guernsey 1 (Switzerland)
1.13%	05/29/49	^2,3		4,900,000		3,489,045
Deutsche Bank Capital Funding Trust VII
5.63%	01/19/49	^3,4		1,000,000		757,500
Fleet Capital Trust V
1.54%	12/18/28	³		950,000		692,223
Nationsbank Capital Trust III
0.85%	01/15/27	³		1,000,000		663,008
Nationsbank Capital Trust IV
8.25%	04/15/27			1,010,000		992,325
Wells Fargo & Co.
1.39%	12/09/11	³		1,675,000		1,698,946

						18,392,928


Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Communications — 0.38%
Qwest Corp.
7.88%	09/01/11	$	850,000	$	888,250

Electric — 0.80%
Dynegy Roseton/Danskammer Pass Through Trust B
7.67%	11/08/16		1,000,000		880,000
KCP&L Greater Missouri Operations Co.
11.88%	07/01/12		876,000		1,009,247

					1,889,247


Energy — 2.70%
Dynegy Roseton/Danskammer Pass-Through Trust A
7.27%	11/08/10		107,711		107,711
Sabine Pass LNG LP
7.25%	11/30/13		3,930,000		3,556,650
Southern Union Co.
7.20%	11/01/66³		1,500,000		1,329,375
Valero Energy Corp.
10.50%	03/15/39		1,000,000		1,338,683

					6,332,419


Finance — 7.66%
Astoria Depositor Corp.
8.14%	05/01/21⁴		1,200,000		1,188,000
Barnett Capital III
0.97%	02/01/27³		1,000,000		673,437
Citigroup, Inc.
1.05%	08/25/36³		2,350,000		1,546,065
General Electric Capital Corp. (MTN)
0.73%	05/05/26³		2,319,000		1,815,596
General Electric Capital Corp. G (MTN)
0.84%	06/08/12³		2,310,000		2,329,880
Goldman Sachs Group, Inc. (The)
0.53%	02/06/12³		750,000		731,494
0.79%	01/12/15³		750,000		691,248
1.15%	12/05/11³		1,775,000		1,796,075
JPMorgan Chase Capital XXIII
1.44%	05/15/47³		200,000		147,528
Morgan Stanley
0.74%	03/13/12³		1,215,000		1,221,823
Morgan Stanley (MTN)
0.75%	10/18/16³		4,050,000		3,546,787
Prudential Holdings LLC
8.70%	12/18/23⁴		1,000,000		1,267,565
Raymond James Financial, Inc.
8.60%	08/15/19		860,000		1,014,539

					17,970,037


Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Health Care — 0.43%
CHS/Community Health Systems, Inc.
8.88%	07/15/15	$	985,000	$	1,014,550

Insurance — 0.41%
Farmers Exchange Capital
7.05%	07/15/28⁴		1,000,000		956,239

Real Estate Investment Trust (REIT) — 0.99%
HCP, Inc.
7.07%	06/08/15		500,000		544,230
HRPT Properties Trust
1.14%	03/16/11³		750,000		745,784
Shurgard Storage Centers LLC
7.75%	02/22/11		1,000,000		1,026,957

					2,316,971


Transportation — 6.70%
American Airlines Pass-Through Trust 2001-02
6.98%	04/01/11		20,599		20,547
American Airlines Pass-Through Trust 2009-1A
10.38%	07/02/19		993,113		1,102,355
Continental Airlines Pass-Through Trust 1997-1 A
7.46%	04/01/15		2,251,363		2,226,599
Continental Airlines Pass-Through Trust 2007-1 A
5.98%	04/19/22		2,897,757		2,921,141
Continental Airlines Pass-Through Trust 2007-1 B
6.90%	04/19/22		2,626,948		2,440,434
Delta Air Lines, Inc.
9.50%	09/15/14⁴		700,000		738,500
Delta Air Lines, Inc. 2001 A2
7.11%	09/18/11		3,070,000		3,196,638
JetBlue Airways Pass-Through Trust 2004-2 G1
0.81%	08/15/16³		1,084,585		932,743
Northwest Airlines, Inc. 2001 1A-2
6.84%	04/01/11		1,200,000		1,213,800
UAL Pass-Through Trust 2009-1
10.40%	11/01/16		877,072		947,237

					15,739,994


Total Corporates (Cost $59,015,578)					65,500,635

BANK LOANS — 7.04%*
Consumer Discretionary — 1.03%
Tribune 1st Lien Term Loan B
3.25%	06/04/14^6,7,8		3,969,987		2,427,647


Issues	Maturity Date		Principal Amount		Value
BANK LOANS (continued)
Electric — 1.86%
Boston Generating LLC 1st Lien
2.36%	12/21/13	⁶	$	2,918,172	$	2,464,814
Calpine New Development Holdings LLC
11.54%	06/08/17	⁶		1,000,000		991,429
TPF Generation Holdings LLC 2nd Lien
4.78%	12/15/14	⁶		1,000,000		897,000

						4,353,243

Finance — 1.44%
Kelson 1st Lien
3.78%	03/08/13	⁶		3,539,368		3,381,866

Gaming — 0.98%
Harrah’s Entertainment, Inc. Term Loan B2
3.32%	01/28/15	⁶		2,750,000		2,293,242

Health Care — 0.89%
Carestream Health, Inc. Term Loan
5.60%	10/30/13	⁶		2,250,000		2,085,937

Insurance — 0.40%
Asurion Corp. Term Loan
3.36%	07/07/14	⁶		992,500		942,166

Transportation — 0.44%
United Air Lines, Inc.
2.36%	02/01/14	⁶		1,184,713		1,043,837

Total Bank Loans (Cost $17,820,079)						16,527,938


MORTGAGE-BACKED — 20.76%**

Commercial Mortgage-Backed — 1.33%
Bayview Commercial Asset Trust 2007-1 A1
0.57%	03/25/37	^3,4		4,277,398		3,114,762


Non-Agency Mortgage-Backed — 3.35%
Banco de Credito Y Securitizacion SA 2001-1 AF (Argentina)
8.00%	05/31/10	^2,4,5		407,974		32,638
BHN I Mortgage Fund 2000-1 AF (Argentina)
8.00%	03/31/11	^2,4,5		110		13
Lehman XS Trust 2007-12N 1A3A
0.55%	07/25/47	^3,†		14,120,000		3,953,843
Morgan Stanley Mortgage Loan Trust 2006-7 5A2
5.96%	06/25/36	³		3,500,000		1,927,079
Nomura Asset Acceptance Corp. 2007-1 1A1A (STEP)
6.00%	03/25/47	^†		2,150,203		1,177,202
Opteum Mortgage Acceptance Corp. 2005-5 2A1B
5.64%	12/25/35	³		913,174		732,836


Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)

Washington Mutual MSC Mortgage
Pass-Through Certificates 2003-MS9 1A
7.00%	04/25/33		$	46,832	$	46,845

						7,870,456

U.S. Agency Mortgage-Backed — 16.08%
Fannie Mae 1993-80 S
10.42%	05/25/23	³		15,610		19,175
Fannie Mae 2000-45 SA (IO)
7.60%	12/18/30	³		2,487,299		463,269
Fannie Mae 2001-42 SB
8.50%	09/25/31	³		2,045		2,396
Fannie Mae 2003-107 SQ (IO)
7.30%	05/25/33	³		125,454		1,879
Fannie Mae 2003-124 IO (IO)
5.25%	03/25/31			136,643		7,578
Fannie Mae 2003-124 TS
9.80%	01/25/34	³		36,603		44,153
Fannie Mae 2003-37 IG (IO)
5.50%	05/25/32			938,957		73,577
Fannie Mae 2003-85 IP (IO)
5.50%	12/25/28			9,450		24
Fannie Mae 2005-47 SL
7.50%	06/25/35	³		231,986		234,842
Fannie Mae 2005-92 US (IO)
5.75%	10/25/25	³		10,693,131		1,112,271
Fannie Mae 2006-125 SM
6.85%	01/25/37	^3,†		11,764,003		1,755,410
Fannie Mae 2006-8 HL
6.35%	03/25/36	³		10,156,257		1,536,888
Fannie Mae 2008-50 SA (IO)
5.70%	11/25/36	³		10,026,718		1,083,010
Fannie Mae 2010-43 KS
6.07%	05/25/40	³		8,101,919		977,680
Freddie Mac 1602 SN
10.09%	10/15/23	³		14,590		18,735
Freddie Mac 2527 TI (IO)
6.00%	02/15/32			286,349		16,213
Freddie Mac 2561 BX (IO)
5.00%	05/15/17			720,641		25,612
Freddie Mac 2596 IJ (IO)
5.00%	01/15/17			127,176		988
Freddie Mac 2642 BW (IO)
5.00%	06/15/23			117,698		15,196
Freddie Mac 2657 LX (IO)
6.00%	05/15/18			580,136		49,188
Freddie Mac 2764 CT
7.50%	03/15/34	³		105,485		106,092


Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac 2764 SH
7.50%	03/15/34	³	$	157,108	$	157,683
Freddie Mac 2827 JT
8.50%	12/15/32	³		52,505		53,493
Freddie Mac 2856 ST
7.00%	09/15/23	³		106,182		106,829
Freddie Mac 3242 SA (IO)
6.00%	11/15/36	³		37,566,392		3,988,811
Freddie Mac 3247 SI (IO)
0.15%	08/15/36	³		93,240,055		319,021
Freddie Mac 3260 AS (IO)
6.03%	01/15/37	³		41,789,892		3,975,105
Freddie Mac 3280 SI (IO)
6.09%	02/15/37	³		25,970,047		2,896,156
Freddie Mac 3289 SD (IO)
5.77%	03/15/37	³		15,172,653		1,517,176
Ginnie Mae 2001-31 SJ
26.78%	02/20/31	³		77,565		130,737
Ginnie Mae 2003-28 LI (IO)
5.50%	02/20/32			77,020		2,297
Ginnie Mae 2004-8 SE
13.61%	11/26/23	³		355,487		417,771
Ginnie Mae GNSF (TBA)
5.00%	07/15/40			15,600,000		16,618,883

						37,728,138

Total Mortgage-Backed (Cost $41,427,272)						48,713,356

MUNICIPAL BONDS — 0.22%*
Illinois — 0.22%
State of Illinois, Pension Funding G.O.,
Taxable
3.55%	06/01/11			500,000		509,015

Total Municipal Bonds (Cost $510,227)						509,015

U.S. AGENCY SECURITIES — 2.43%
U.S. Agency Securities — 2.43%
Fannie Mae
0.75%	12/30/11	^†		2,310,000		2,311,264
Freddie Mac
0.29%	11/07/11	³		1,170,000		1,169,712
0.47%	02/03/12	³		2,215,000		2,217,317

						5,698,293

Total U.S. Agency Securities (Cost $5,694,363)						5,698,293


				Value
Total Bonds – 85.81% (Cost $214,061,725)				$	201,381,430

Issues	Maturity Date	Shares		Value
PREFERRED STOCK — 1.13%
Automotive — 0.09%
Corts Trust for Ford Motor Co.
8.00%	07/16/31		700		16,786
Preferred Plus Trust Ford Motor Co.
8.25%	07/16/31		8,100		194,400

					211,186

Communications — 0.54%
Corts Trust for US West Communications
7.50%	11/15/43		7,118		163,002
Preferred Plus Trust Citizens Communications Co.
8.38%	10/01/46		12,100		287,980
Preferred Plus Trust Qwest Capital Funding
7.75%	02/15/31		9,650		217,125
8.00%	02/15/31		19,500		438,750
Preferred Plus Trust Verizon Global Funding Corp.
7.63%	12/01/30		6,100		157,441

					1,264,298

Electric — 0.50%
PPL Corp.
0.24%	07/01/13		22,500		1,171,687

Finance — 0.00%
Terwin Mortgage Trust 2005-P1 A
0.00%			570		1

Total Preferred Stock (Cost $2,653,824)					2,647,172

Issues	Maturity Date	Shares/ Principal Amount		Value
SHORT TERM INVESTMENTS — 34.36%
Commercial Paper — 0.76%
General Electric Capital Corp.
0.25%⁹	07/14/10	$	1,795,000	$	1,794,838

Money Market Fund — 17.23%
Fidelity Institutional Money Market Funds - Prime Money Market Portfolio
0.22%¹⁰			9,296,000		9,296,000
Goldman Sachs Financial Square Funds - Prime Obligations Fund
0.13%^10,11			31,143,000		31,143,000

					40,439,000


Issues	Maturity Date		Shares/ Principal Amount		Value
SHORTTERM INVESTMENTS (continued)

U.S. Agency Discount Notes - 16.33%
Fannie Mae
0.17%⁹	10/18/10		$	2,730,000	$	2,728,843
0.20%⁹	10/20/10			6,855,000		6,852,039
Freddie Mac
0.17%⁹	10/13/10			8,175,000		8,171,697
0.17%⁹	10/13/10			4,701,000		4,699,101
0.17%⁹	10/19/10			5,955,000		5,952,451
0.18%⁹	10/18/10			2,445,000		2,443,963
0.18%⁹	10/20/10			4,385,000		4,383,106
0.20%⁹	10/05/10			3,090,000		3,088,847


						38,320,047


U.S. Treasury Bills - 0.04%
U.S. Treasury Bills
0.15%⁹	08/12/10	¹²		90,000		89,995


Total Short Term Investments (Cost $80,639,223)						80,643,880


Total Investments – 121.30% (Cost $297,354,772)¹						284,672,482


Liabilities in Excess of Other Assets – (21.30)%						(49,978,620	)

NET ASSETS – 100.00%					$	234,693,862


Contracts		Unrealized Depreciation
FUTURES CONTRACTS: SHORT POSITIONS
12	Euro Dollar Ninety Day, Expiration September 2010	$	(27,430	)
12	Euro Dollar Ninety Day, Expiration December 2010		(36,255	)
12	Euro Dollar Ninety Day, Expiration March 2011		(45,355	)
12	Euro Dollar Ninety Day, Expiration June 2011		(53,305	)
12	Euro Dollar Ninety Day, Expiration September 2011		(58,817	)
7	Euro Dollar Ninety Day, Expiration December 2011		(37,868	)
7	Euro Dollar Ninety Day,
	Expiration March 2012		(38,230	)
7	Euro Dollar Ninety Day, Expiration June 2012		(37,793	)

	Net unrealized depreciation	$	(335,053	)


Expiration Date	Notional Amount (000’s)	Depreciation	Value
SWAPS: INTEREST RATE
The Fund pays a fixed rate equal to 4.10% semi-annually and the Fund receives from the counterparty a floating rate based on 3-month USD LIBOR quarterly. Counterparty: Citigroup, Inc.
10/24/38	$2,025	$(158,890)	$(158,890)


	$2,025	$(158,890)	$(158,890)


Expiration Date	Premiums Paid/ Received			Notional Amount (000’s)^b		Appreciation/ Depreciation			Value
SWAPS: CREDIT DEFAULT (PURCHASED) - SINGLE ISSUES
The Fund pays a fixed rate equal to 0.53% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Home Depot, Inc., 3.75%, due 09/15/09. Counterparty: Morgan Stanley
09/20/12	$	-		$	2,500	$	(10,996	)	$	(10,996	)
The Fund pays a fixed rate equal to 0.41% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Lowe’s Cos., Inc., 8.25%, due 06/01/10. Counterparty: Citigroup, Inc.
12/20/12		-			300		(208	)		(208	)
The Fund pays a fixed rate equal to 0.45% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Lowe’s Cos., Inc., 8.25%, due 06/01/10. Counterparty: Citigroup, Inc.
12/20/12		-			750		(1,268	)		(1,268	)
The Fund pays a fixed rate equal to 3.56% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Centex Corp., 5.25%, due 06/15/15. Counterparty: Merrill Lynch & Co., Inc.
12/20/12		-			700		(42,584	)		(42,584	)
The Fund pays a fixed rate equal to 3.65% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Centex Corp., 5.25%, due 06/15/15. Counterparty: Merrill Lynch & Co., Inc.
12/20/12		-			475		(29,949	)		(29,949	)
The Fund pays a fixed rate equal to 2.25% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Darden Restaurants, Inc., 7.13%, due 02/01/16. Counterparty: Deutsche Bank AG
03/20/13		-			300		(12,636	)		(12,636	)
The Fund pays a fixed rate equal to 2.25% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Darden Restaurants, Inc., 7.13%, due 02/01/16. Counterparty: Morgan Stanley
03/20/13		-			300		(12,636	)		(12,636	)
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Target Corp., 4.00%, due 06/15/13. Counterparty: CS First Boston
12/20/14		(9,240	)		640		(4,588	)		(13,828	)
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Target Corp., 4.00%, due 06/15/13. Counterparty: Deutsche Bank AG
12/20/14		(9,168	)		635		(4,552	)		(13,720	)
The Fund pays a fixed rate equal to 2.40% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Darden Restaurants, Inc., 7.13%, due 02/01/16. Counterparty: Citigroup, Inc.
03/20/15		-			600		(36,260	)		(36,260	)
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Toll Brothers, Inc., 5.15%, due 05/15/15. Counterparty: CS First Boston
09/20/16		13,463			2,500		150,133			163,596


	Expiration Date	Premiums Paid/ Received		Notional Amount (000’s)^b		Appreciation/ Depreciation		Value

SWAPS: CREDIT DEFAULT (PURCHASED) - SINGLE ISSUES (continued)

The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the D.R. Horton, Inc., 5.38%, due 06/15/12. Counterparty: Citigroup, Inc.

	09/20/16	$	6,583	$	170	$	11,214	$	17,797

The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the D.R. Horton, Inc., 5.38%, due 06/15/12. Counterparty: Deutsche Bank AG

	09/20/16		6,975		130		6,635		13,610

The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the D.R. Horton, Inc., 5.38%, due 06/15/12. Counterparty: Goldman Sachs Group, Inc. (The)

	09/20/16		6,975		130		6,635		13,610

The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Pulte Homes, Inc., 5.25%, due 01/15/14. Counterparty: Deutsche Bank AG

	09/20/16		1,531		45		3,312		4,843

The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Pulte Homes, Inc., 5.25%, due 01/15/14. Counterparty: Deutsche Bank AG

	09/20/16		14,877		800		71,229		86,106

The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Pulte Homes, Inc., 5.25%, due 01/15/14. Counterparty: Goldman Sachs Group, Inc. (The)

	09/20/16		65,943		2,100		160,085		226,028


		$	97,939	$	13,075	$	253,566	$	351,505


Expiration Date	Credit Rating^a	Premiums Paid/ (Received)		Notional Amount (000’s)^b		Appreciation		Value^c

SWAPS: CREDIT DEFAULT (WRITTEN) - SINGLE ISSUES

The Fund receives a fixed rate equal to 6.55% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the General Electric Capital Corp., 5.63%, due 09/15/17. Counterparty: CS First Boston

12/20/10	AAA		$—	$	460	$	11,532	$	11,532


	Expiration Date	Premiums Paid/ (Received)			Notional Amount (000’s)^b		Depreciation			Value^c

SWAPS: CREDIT DEFAULT (WRITTEN) - TRADED INDICES

The Fund receives a fixed rate equal to 0.09% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 07-1, due 08/25/37. Counterparty: CS First Boston

	08/25/37	$	(1,576,921	)	$	2,964	$	(133,351	)	$	(1,710,272	)

The Fund receives a fixed rate equal to 0.09% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 07-1, due 08/25/37. Counterparty: Goldman Sachs Group, Inc. (The)

	08/25/37		(2,292,999	)		4,742		(443,437	)		(2,736,436	)

The Fund receives a fixed rate equal to 0.09% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 07-1, due 08/25/37. Counterparty: Morgan Stanley

	08/25/37		(544,739	)		1,146		(116,566	)		(661,305	)


	Expiration Date	Premiums Paid/ (Received)			Notional Amount (000’s)^b		Depreciation			Value^c

SWAPS: CREDIT DEFAULT (WRITTEN) - TRADED INDICES (continued)

The Fund receives a fixed rate equal to 0.09% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 07-1, due 08/25/37. Counterparty: Morgan Stanley

	08/25/37	$	(1,003,187	)	$	2,075	$	(194,004	)	$	(1,197,191	)

The Fund receives a fixed rate equal to 0.09% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 07-1, due 08/25/37. Counterparty: CS First Boston

	08/25/37		(605,719	)		3,745		(1,554,925	)		(2,160,644	)

The Fund receives a fixed rate equal to 0.76% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 07-2, due 01/25/38. Counterparty: Barclays Capital, Inc.

	01/25/38		(2,588,405	)		4,963		(321,006	)		(2,909,411	)

The Fund receives a fixed rate equal to 0.76% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 07-2, due 01/25/38. Counterparty: CS First Boston

	01/25/38		(2,718,991	)		5,260		(361,537	)		(3,080,528	)

The Fund receives a fixed rate equal to 0.76% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 07-2, due 01/25/38. Counterparty: Royal Bank of Scotland Group Plc

	01/25/38		(1,604,195	)		3,176		(255,747	)		(1,859,942	)

The Fund receives a fixed rate equal to 0.76% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 07-2, due 01/25/38. Counterparty: Goldman Sachs Group, Inc. (The)

	01/25/38		(375,983	)		744		(59,941	)		(435,924	)

The Fund receives a fixed rate equal to 0.76% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 07-2, due 01/25/38. Counterparty: Morgan Stanley

	01/25/38		(1,017,234	)		2,382		(377,722	)		(1,394,956	)

The Fund receives a fixed rate equal to 0.17% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 06-2, due 05/25/46. Counterparty: Bank of America Corp.

	05/25/46		(2,834,508	)		3,649		(220,028	)		(3,054,536	)

The Fund receives a fixed rate equal to 0.17% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 06-2, due 05/25/46. Counterparty: CS First Boston

	05/25/46		(3,543,135	)		4,562		(275,035	)		(3,818,170	)

The Fund receives a fixed rate equal to 0.17% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 06-2, due 05/25/46. Counterparty: CS First Boston

	05/25/46		(2,738,213	)		3,558		(239,959	)		(2,978,172	)

The Fund receives a fixed rate equal to 0.17% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 06-2, due 05/25/46. Counterparty: Royal Bank of Scotland Group Plc

	05/25/46		(2,409,332	)		3,102		(187,023	)		(2,596,355	)

The Fund receives a fixed rate equal to 0.11% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 06-2, due 05/25/46. Counterparty: Citigroup, Inc.

	05/25/46		(388,535	)		1,078		(117,093	)		(505,628	)


		$	(26,242,096	)	$	47,146	$	(4,857,374	)	$	(31,099,470	)

^a	Using Standard & Poor’s rating of the issuer.

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

Notes:

¹	Cost for federal income tax purposes is $297,354,772 and net unrealized appreciation/(depreciation) consists of:


Gross unrealized appreciation	$	23,676,237
Gross unrealized depreciation		(36,358,527	)

Net unrealized depreciation	$	(12,682,290	)

²	U.S. dollar denominated security issued by foreign domiciled entity.

³	Floating rate security. The rate disclosed is that in effect at June 30, 2010.

⁴

⁵	Illiquid security as determined under procedures approved by the Fund’s Board of Trustees. The aggregate value of illiquid securities is $72,042 which is 0.03% of total net assets.

⁶	Non-Rule 144A securities determined to be restricted private placements under procedures approved by the Fund’s Board of Trustees. Information related to these securities is as follows:


Date of Purchase	Security	Amortized Cost		Value		% of Total Net Assets
07/03/07	Asurion Corp. Term Loan, 3.36%, 07/07/14	$	986,799	$	942,166	0.40	%
12/19/06	Boston Generating LLC 1st Lien, 2.36%, 12/21/13		2,918,172		2,464,814	1.05	%
06/08/10	Calpine New Development Holdings LLC, 11.54%, 06/08/17		980,000		991,429	0.43	%
04/12/07	Carestream Health, Inc. Term Loan, 5.60%, 10/30/13		2,260,727		2,085,937	0.89	%
06/24/10	Harrah’s Entertainment, Inc. Term Loan B2, 3.32%, 01/28/15		2,310,000		2,293,242	0.98	%
04/16/08	Kelson 1st Lien, 3.78%, 03/08/13		3,334,487		3,381,866	1.44	%
12/21/06	TPF Generation Holdings LLC 2nd Lien, 4.78%, 12/15/14		1,000,000		897,000	0.38	%
05/17/07	Tribune 1st Lien Term Loan B, 3.25%, 06/04/14		2,845,181		2,427,647	1.03	%
02/01/07	United Air Lines, Inc., 2.36%, 02/01/14		1,184,713		1,043,837	0.44	%

		$	17,820,079	$	16,527,938	7.04	%

⁷	Security is currently in default with regards to scheduled interest or principal payments.

⁸	Non-income producing security.

⁹	Represents annualized yield at date of purchase.

¹⁰	Represents the current yield as of June 30, 2010.

¹¹	Securities, or a portion there of, pledged as collateral for swaps. The total market value of collateral pledged is $31,143,000.

¹²	Securities, or a portion there of, pledged as collateral for futures. The total market value of collateral pledged is $89,983.

^†

Fair valued security. The aggregate value of fair valued securities is $23,432,517 which is 9.98% of total net assets, which have not been valued utilizing an independent quote and were valued pursuant to guidelines established by the Board of Trustees. This figure does not necessarily indicate the treatment of those securities under ASC 820, as discussed in the Notes to Financial Statements.

^*	Securities with a call or reset feature will have an effective maturity date less than the stated maturity.

^**	Securities backed by mortgage or consumer loans where payment is periodically made will have an effective maturity date less than the stated maturity date.

(G.O.): General Obligation

(IO): Interest only

(LIBOR): London InterBank Offer Rate

(MTN): Medium term note

(STEP): Step coupon bond

(TBA): To be announced


Issues	Maturity Date		Principal Amount		Value
BONDS – 72.34%
ASSET-BACKED SECURITIES — 27.99%**
ACE Securities Corp. 2004-FM1 B1A
5.60%	09/25/33	²	$	17,188	$	3,020
ACE Securities Corp. 2006-SL1 A
0.51%	09/25/35	²		355,453		70,872
Aerco Ltd. 2A A4 (United Kingdom)
0.87%	07/15/25	^2,3,4,†		12,384		11,394
Aviation Capital Group Trust 2003-2A B1
3.35%	09/20/33	^2,4,†		72,156		41,130
Aviation Capital Group Trust 2003-2A G2
1.15%	09/20/33	^2,4,†		59,920		41,945
BMW Vehicle Lease Trust 2009-1 A3
2.91%	03/15/12			90,000		90,999
Capital Auto Receivables Asset Trust 2008-CPA A1
Capital Auto Receivables Asset Trust 2008-CPA A1
1.20%	01/15/13	^2,4		83,471		83,796
Castle Trust 2003-1AW A1
1.10%	05/15/27	^2,4,†		96,016		71,053
Citigroup Mortgage Loan Trust, Inc.
2007-WFH4 M2
2.50%	07/25/37	²		114,000		6,058
Conseco Finance Home Loan Trust 2000-E
M1
8.13%	08/15/31			32,256		31,384
Conseco Financial Corp. 1997-4 A5
6.88%	02/15/29			72,786		77,570
Countrywide Asset-Backed Certificates
2004-1 2A
0.59%	04/25/34	²		5,852		4,632
Credit-Based Asset Servicing and Securitization LLC 2003-CB1 AF (STEP)

3.95%	01/25/33			89,817		77,011
GE Mortgage Services LLC 1998-HE1 A7
6.47%	06/25/28			1,927		1,878
Green Tree Home Improvement Loan Trust
1995-C B2
7.60%	07/15/20			24,662		21,888
Green Tree Home Improvement Loan Trust
1995-F B2
7.10%	01/15/21			65,827		59,781
Green Tree Home Improvement Loan Trust
1996-B A
6.45%	10/15/15			3,671		3,669
Green Tree Recreational Equipment & Consumer Trust 1996-D Certificates

7.24%	12/15/22			26,981		19,811
HSBC Home Equity Loan Trust 2007-1 M1
0.73%	03/20/36	²		550,000		299,142
IndyMac Home Equity Loan Asset Backed Trust 2002-A M1
IndyMac Home Equity Loan Asset Backed Trust 2002-A M1
1.47%	05/25/33	²		470,335		272,442


Issues	Maturity Date		Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
IndyMac Manufactured Housing Contract
1997-1 A4
6.75%	02/25/28		$	198,263	$	146,205
Lehman XS Trust 2006-2N 1A1
0.61%	02/25/46	²		78,668		39,464
Merrill Lynch First Franklin Mortgage Loan
Trust 2007-3 A2D
0.60%	06/25/37	²		100,000		46,037
Merrill Lynch First Franklin Mortgage Loan Trust 2007-4 2A4

0.60%	07/25/37	²		30,000		13,654
Nationstar Home Equity Loan Trust 2007-B 2AV4
Nationstar Home Equity Loan Trust 2007-B 2AV4
0.67%	04/25/37	²		205,000		83,353
Option One Mortgage Loan Trust 2002-1 A
0.93%	02/25/32	²		147,471		97,913
Option One Mortgage Loan Trust 2003-2 A2
0.95%	04/25/33	²		104,782		82,845
Option One Mortgage Loan Trust 2003-5 A2
0.99%	08/25/33	²		70,658		57,325
Residential Asset Mortgage Products, Inc.
2003-RS1 AII
1.13%	02/25/33	²		50,459		26,543
Residential Asset Securities Corp. 2003-KS3 A2
Residential Asset Securities Corp. 2003-KS3 A2
0.95%	05/25/33	²		34,862		20,810
Residential Asset Securities Corp. 2007-KS4 A2
Residential Asset Securities Corp. 2007-KS4 A2
0.53%	05/25/37	²		100,000		66,149
Resmae Mortgage Loan Trust 2006-1 A1B
0.62%	02/25/36	^2,4		257,141		46,776
SACO I, Inc. 2005-2 A
0.55%	04/25/35	^2,4		3,541		1,394
Saxon Asset Securities Trust 2004-1 M1
1.14%	03/25/35	²		242,111		164,530
Structured Asset Receivables Trust 2005-1A Certificates
Structured Asset Receivables Trust 2005-1A Certificates
0.81%	01/21/15	^2,4,†		263,884		234,875
Terwin Mortgage Trust 2004-13AL 2PX (IO)
0.34%	08/25/34	^4,5		12,442,137		92,675
Terwin Mortgage Trust 2005-7SL A1
0.62%	07/25/35	^2,4		3,004		2,981
UCFC Home Equity Loan 1998-D MF1
6.91%	04/15/30			260,545		241,783


Total Asset-Backed Securities
(Cost $3,816,706)						2,754,787


CORPORATES — 18.50%*
Banking — 4.51%
Chase Capital II B
0.84%	02/01/27	²		325,000		245,079


Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Banking (continued)
Credit Suisse/Guernsey 1 (Switzerland)
1.13%	05/29/49	^2,3	$	280,000	$	199,374


						444,453

Electric — 1.39%
KCP&L Greater Missouri Operations Co.
11.88%	07/01/12			80,000		92,169
W3A Funding Corp.
8.09%	01/02/17			43,321		45,135


						137,304

Finance — 9.88%
Citigroup, Inc.
2.14%	05/15/18	²		305,000		286,317
General Electric Capital Corp. (MTN)
0.73%	05/05/26	²		325,000		254,450
MBNA Capital A
8.28%	12/01/26			100,000		98,250
MBNA Capital B
1.14%	02/01/27	²		175,000		118,702
Prudential Holdings LLC (AGM)
1.41%	12/18/17	^2,4		100,000		85,362
Woodbourne Capital Trust I
2.73%	04/08/49	^2,4,5		150,000		64,500
Woodbourne Capital Trust II
2.73%	04/08/49	^2,4,5		150,000		64,500


						972,081

Real Estate Investment Trust (REIT) — 1.06%
Duke Realty LP
5.40%	08/15/14			50,000		51,953
Nationwide Health Properties, Inc.
6.50%	07/15/11			50,000		51,947


						103,900

Transportation — 1.66%
Continental Airlines Pass-Through Trust
1997-4 A
6.90%	01/02/18			144,726		145,088
Continental Airlines Pass-Through Trust
2002-1 G1
0.89%	08/15/11	^2,†		19,510		18,730


						163,818


Total Corporates
(Cost $1,894,261)						1,821,556


Issues	Maturity Date		Principal Amount		Value
BANK LOANS — 1.72%*
Transportation — 1.72%
United Air Lines, Inc.
2.36%	02/01/14	⁶	$	192,222	$	169,365


Total Bank Loans
(Cost $192,222)
MORTGAGE-BACKED — 20.37%**
Commercial Mortgage-Backed — 0.50%
Bayview Commercial Asset Trust 2004-3 A1
0.72%	01/25/35	^2,4		64,628		49,277

Non-Agency Mortgage-Backed — 15.83%
American Home Mortgage Investment Trust
2007-2 11A1
0.58%	03/25/47	²		106,154		55,354
Banc of America Mortgage Securities, Inc.
2003-A 2A2
3.62%	02/25/33	²		9,512		8,317
Countrywide Alternative Loan Trust 2005-16
A5
0.63%	06/25/35	²		167,693		58,879
Countrywide Alternative Loan Trust 2005-27
3A2
1.52%	08/25/35	²		96,789		49,021
Countrywide Alternative Loan Trust 2005-61
2A1
0.63%	12/25/35	²		580,694		379,111
Credit Suisse First Boston Mortgage
Securities Corp. 1997-2 A
7.50%	06/25/20	⁴		10,862		11,123
Downey Savings & Loan Association
Mortgage Loan Trust 2004-AR1 A2A
0.76%	09/19/44	²		63,210		38,649
Downey Savings & Loan Association
Mortgage Loan Trust 2004-AR3 2A2A
0.72%	07/19/44	²		17,434		12,772
First Horizon Asset Securities, Inc. 2003-AR1
2A1
2.79%	03/25/33	²		16,489		15,987
Harborview Mortgage Loan Trust 2004-8
2A4A
0.75%	11/19/34	²		87,738		53,289
Harborview Mortgage Loan Trust 2005-11
2A1A
0.66%	08/19/45	²		165,752		102,174
IndyMac Index Mortgage Loan Trust
2004-AR12 A1
0.74%	12/25/34	²		220,452		115,513
Indymac Index Mortgage Loan Trust
2004-AR5 2A1A
1.21%	08/25/34	²		29,100		17,384
IndyMac Index Mortgage Loan Trust
2005-AR18 2A1B
1.13%	10/25/36	²		116,955		65,781


Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
IndyMac Index Mortgage Loan Trust
2005-AR2 2A2A
0.69%	02/25/35	²	$	96,410	$	55,256
IndyMac Index Mortgage Loan Trust
2006-AR2 1A1A
0.57%	04/25/46	²		124,624		60,205
Residential Asset Mortgage Products, Inc.
2003-SL1 A11
7.13%	03/25/16			116,179		115,437
Residential Asset Mortgage Products, Inc.
2003-SL1 A41
8.00%	04/25/31			40,564		40,508
Residential Asset Mortgage Products, Inc.
2004-SL1 A2
8.50%	11/25/31			18,063		17,704
Structured Asset Mortgage Investments, Inc.
2006-AR5 1A1
0.56%	05/25/46	²		134,255		70,198
Structured Asset Securities Corp. 2003-15A
2A1
2.46%	04/25/33	²		74,328		55,927
Washington Mutual Mortgage Pass-Through
Certificates 2002-AR6 A
1.82%	06/25/42	²		15,404		12,288
Washington Mutual MSC Mortgage
Pass-Through Certificates 2003-MS9 1A
7.00%	04/25/33			146,757		146,797


						1,557,674

U.S. Agency Mortgage-Backed — 4.04%
Fannie Mae 1997-91 SL (IO)
7.50%	11/25/23	²		278,585		56,747
Fannie Mae 2003-37 IG (IO)
5.50%	05/25/32			229,014		17,946
Fannie Mae 2003-62 IG (IO)
5.00%	10/25/31			1,000,000		120,449
Fannie Mae G-36 ZB
7.00%	11/25/21			3,105		3,419
Fannie Mae Pool 646884
1.92%	05/01/32	²		80,695		82,629
Fannie Mae Pool 802665
2.74%	12/01/34	²		18,932		19,099
Freddie Mac 2 L
8.00%	11/25/22			23,199		26,078
Freddie Mac Non Gold Pool 781908
2.79%	09/01/34	²		69,256		71,581


						397,948


Total Mortgage-Backed
(Cost $2,310,030)						2,004,899


Issues	Maturity Date		Principal Amount		Value
U.S. AGENCY SECURITIES — 3.76%
Federal Home Loan Bank
0.33%	06/15/11	²	$	210,000	$	210,109
0.37%	11/28/11	²		105,000		105,076
Freddie Mac
0.29%	11/07/11	²		55,000		54,986


Total U.S. Agency Securities
(Cost $369,970)						370,171


Total Bonds – 72.34%
(Cost $8,583,189)						7,120,778


Issues	Maturity Date		Shares/ Principal Amount		Value
SHORTTERM INVESTMENTS — 29.17%
Money Market Fund — 4.39%
Fidelity Institutional Money Market Funds -
Prime Money Market Portfolio
0.22%⁷			$	432,000		432,000

U.S. Agency Discount Notes — 17.87%
Fannie Mae
0.17%⁸	10/18/10			680,000		679,712
Freddie Mac
0.18%⁸	10/13/10			540,000		539,782
0.18%⁸	10/13/10			540,000		539,781


						1,759,275

U.S. Treasury Bills — 6.91%
U.S. Treasury Bills
0.15%⁸	08/12/10	⁹		680,000		679,964


Total Short Term Investments
(Cost $2,870,969)						2,871,239


Total Investments – 101.51%
(Cost $11,454,158)¹						9,992,017


Liabilities in Excess of Other
Assets – (1.51)%						(148,365	)

Net Assets – 100.00%					$	9,843,652


Contracts		Unrealized Depreciation
FUTURES CONTRACTS: LONG POSITIONS
4	S&P 500 E Mini Index
	Expiration September 2010	$	(15,701	)
27	S&P 500 Index,
	Expiration September 2010		(303,341	)

	Net unrealized depreciation	$	(319,042	)


Issues	Expiration Date	Notional Amount (000’s)	Value
SWAPS: TOTAL RETURN
The Fund pays a floating rate based on 1-month USD LIBOR plus 15 basis points and the Fund receives from the counterparty the price return on the Standard & Poor’s 500 Total Return Index. Counterparty: CS First Boston
	07/06/10	$2	$	(144,962	)
The Fund pays a floating rate based on 1-month USD LIBOR plus 15 basis points and the Fund receives from the counterparty the price return on the Standard & Poor’s 500 Total Return Index. Counterparty: CS First Boston
	08/04/10	2		–


			$	(144,962	)


	Expiration Date	Premiums Paid/ Received		Notional Amount (000’s)^b	Appreciation/ Depreciation			Value
SWAPS: CREDIT DEFAULT (PURCHASED) - SINGLE ISSUES
The Fund pays a fixed rate equal to 2.25% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Darden Restaurants, Inc., 6.00%, due 08/15/35. Counterparty: Deutsche Bank AG

	03/20/14	$	–	$25	$	(1,247	)	$	(1,247	)

The Fund pays a fixed rate equal to 2.40% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Darden Restaurants, Inc., 7.13%, due 02/01/16. Counterparty: Citigroup, Inc.

	03/20/15		–	150		(9,065	)		(9,065	)

The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Pulte Homes, Inc., 5.25%, due 01/15/14. Counterparty: Deutsche Bank AG

	09/20/16		3,403	100		7,360			10,763

The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Pulte Homes, Inc., 5.25%, due 01/15/14. Counterparty: Deutsche Bank AG

	09/20/16		1,488	80		7,123			8,611

The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the D.R. Horton, Inc., 5.38%, due 06/15/12. Counterparty: Citigroup, Inc.

	09/20/16		1,742	45		2,969			4,711

The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the D.R. Horton, Inc., 5.38%, due 06/15/12. Counterparty: Deutsche Bank AG

	09/20/16		2,146	40		2,042			4,188

The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the D.R. Horton, Inc., 5.38%, due 06/15/12. Counterparty: Goldman Sachs Group, Inc. (The)

	09/20/16		2,146	40		2,042			4,188


			$10,925	$480		$11,224			$22,149


Expiration Date	Credit Rating^a	Premiums Paid/ Received		Notional Amount (000’s)^b		Appreciation		Value^c
SWAPS: CREDIT DEFAULT (WRITTEN) - SINGLE ISSUES
The Fund receives a fixed rate equal to 6.55% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the General Electric Capital Corp., 5.63%, due 09/15/17. Counterparty: CS First Boston
12/20/10	AAA	$	—	$	255	$	6,393	$	6,393


Expiration Date	Credit Rating^a	Premiums Paid/ Received	Notional Amount (000’s)^b	Appreciation	Value^c
SWAPS: CREDIT DEFAULT (WRITTEN) - SINGLE ISSUES (continued)
The Fund receives a fixed rate equal to 4.00% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the Berkshire Hathaway, Inc., 4.63%, due 10/15/13. Counterparty: Barclays Capital, Inc.
03/20/11	AAA	$–	$200	$ 3,839	$ 3,839

		$–	$455	$10,232	$10,232

^a	Using Standard & Poor’s rating of the issuer.

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

Notes:

¹	Cost for federal income tax purposes is $11,454,158 and net unrealized appreciation/ (depreciation) consists of:


Gross unrealized appreciation	$	278,485
Gross unrealized depreciation		(1,740,626	)

Net unrealized depreciation	$	(1,462,141	)

²	Floating rate security. The rate disclosed is that in effect at June 30, 2010.

³	U.S. dollar denominated security issued by foreign domiciled entity.

⁴

⁵	Illiquid security as determined under procedures approved by the Fund’s Board of Trustees. The aggregate value of illiquid securities is $221,675 which is 2.25% of total net assets.

⁶	Non-Rule 144A securities determined to be restricted private placements under procedures approved by the Fund’s Board of Trustees. Information related to these securities is as follows:


Date of Purchase	Security	Amortized Cost		Value		% of Total Net Assets
02/01/07	United Air Lines, Inc.,
	2.36%, 02/01/14	$	192,222	$	169,365	1.72	%

⁷	Represents the current yield as of June 30, 2010.

⁸	Represents annualized yield at date of purchase.

⁹	Securities, or a portion there of, pledged as collateral for futures. The total market value of collateral pledged is $679,871.

^†

Fair valued security. The aggregate value of fair valued securities is $419,127 which is 4.26% of total net assets, which have not been valued utilizing an independent quote and were valued pursuant to guidelines established by the Board of Trustees. This figure does not necessarily indicate the treatment of those securities under ASC 820, as discussed in the Notes to Financial Statements.

^*	Securities with a call or reset feature will have an effective maturity date less than the stated maturity.

^**	Securities backed by mortgage or consumer loans where payment is periodically made will have an effective maturity date less than the stated maturity date.

Fixed-income securities for which market quotations are readily available are valued at prices as provided by independent pricing vendors. The Funds receive pricing information from independent pricing vendors approved by the Board of Trustees (the “Board”), which also use information provided by market makers or estimates of values obtained from yield data relating to investments of securities with similar characteristics. As appropriate, quotations for high yield bonds may also take additional factors into consideration such as the activity of the underlying equity or sector movements. However, securities with a demand feature exercisable within one to seven days are valued at par. The Funds also use a benchmark pricing system to the extent vendor’s prices for their securities are either inaccurate (such as when the reported prices are different from recent known market transactions) or are not available from another pricing source. For a security priced using this system, the Adviser initially selects a proxy comprised of a relevant security (i.e. U.S. Treasury Note) or benchmark (e.g. LIBOR) and a multiplier, divisor or margin that the Adviser believes would together best reflect changes in the market value of the security. The value of the security changes daily based on changes to the market price of the assigned benchmark. At least once each month the Adviser obtains from one or more dealers an independent review of prices produced by the benchmark system as well as a review of the benchmark selected to adjust the price. The benchmark pricing system is continuously reviewed by the Adviser and implemented according to the pricing policy reviewed by the Board. Debt securities, which mature in less than 60 days, are valued at amortized cost if their original maturity was 60 days or less. If their original term to maturity exceeded 60 days, they are valued by amortizing the value as of the 61^st day prior to maturity (unless the Board determines that this method does not represent fair value). S&P 500 futures contracts are valued at the first sale price after 4 p.m. ET on the Chicago Mercantile Exchange. All other futures contracts are valued at the official settlement price of the exchange where it is traded. Equity securities, including depository receipts, are valued at the last reported sale price or the market’s closing price on the exchange or market on which such securities are traded, as of the close of business on the day the securities are being valued or, lacking any sales, at the average of the bid and asked prices. In cases where equity securities are traded on more than one exchange, the securities are valued on the exchange or market determined by the Adviser to be the broadest and most representative market, which may be either a securities exchange or the over-the-counter market. Securities and other assets that cannot be valued as described above will be valued at their fair value as determined by the Adviser under guidelines established by and under the general supervision and responsibility of the Board. The fair valued securities at June 30, 2010 are referenced on each Fund’s schedule of portfolio investments by a footnote.

It is each Fund’s policy to continue to comply with the requirements of the Internal Revenue Code applicable to regulated investment companies and to distribute all of its net taxable income, including any net realized gain on investments, to its shareholders. Therefore, no federal income tax provision is required.

Distributions to shareholders are recorded on the ex-dividend date. Income and long-term capital gain distributions are determined in accordance with federal income tax regulations, which may differ from generally accepted accounting principles in the United States of America (“GAAP”). Distributions determined in accordance with tax regulations may differ in amount or character from net investment income and realized gains for financial reporting purposes. Financial reporting records are adjusted for permanent book/tax differences to reflect tax character. Financial records are not adjusted for temporary differences. The amount and character of tax-basis distributions and compostion of net assets are finalized at fiscal year-end; accordingly, tax-basis balances have not been determined as of June 30, 2010.

Various inputs are used in determining the value of the Series’ assets or liabilities carried at market value. These inputs are summarized in three broad levels. Level 1 includes quoted prices in active markets for identical assets and liabilities. Level 2 includes other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). Level 3 includes significant unobservable inputs (including the Series’ own assumptions in determining the fair value of investments). The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

As of June 30, 2010, Level 3 securities consist of certain asset-backed securities, collateralized mortgage obligations, corporate bonds and interest only securities that trade in over the counter markets. These securities are valued using indicative bid and ask quotations from bond dealers and market makers. Indicative quotations and other information used by the Funds may not always be directly observable in the marketplace due to the nature of these markets and the manner of execution. These inputs, the methodology used for valuing such securities, and the characterization of such securities as Level 3 securities are not necessarily an indication of liquidity, or the risk associated with investing in these securities.

The summary of inputs used to value each Fund’s net assets as of June 30, 2010 is as follows:

* Other financial instruments include (but may not be limited to) swap contracts, futures and options.

Following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value:

** The change in unrealized appreciation/depreciation on securities still held at June 30, 2010 was $0.

*** The Fund’s policy is to recognize transfers in and transfers out as of the end of the period.

** The change in unrealized appreciation/depreciation on securities still held at June 30, 2010 was $63,000.

*** The Fund’s policy is to recognize transfers in and transfers out as of the end of the period.

The following is a summary of the Funds’ derivative instrument holdings categorized by primary risk exposure as of June 30, 2010:

* Includes cumulative appreciation/depreciation of financial futures contracts as reported in the Schedule of Investments.

The Funds may engage in various portfolio investment strategies both to increase the return of the Fund and to economically hedge, or protect, their exposure to interest rate movements and movements in the securities markets. Losses may arise if the value of the contract decreases due to an unfavorable change in the price of the underlying security or if the counterparty does not perform under the contract. The Funds are subject to credit risk, equity price risk and interest rate risk in the normal course of pursuing its investment objectives by investing in various derivative financial instruments, as described below.

Options - The Funds may purchase and write call and put options on securities, securities indices and on foreign currencies. A Fund may purchase put options on securities to seek to protect holdings in an underlying or related security against a substantial decline in market value. A Fund may purchase call options on securities to seek to protect against substantial increases in prices of securities the Fund intends to purchase pending its ability to invest in such securities in an orderly manner. A Fund may write a call or put option only if the option is covered by the Fund’s holding a position in the underlying securities or by other means which would permit immediate satisfaction of the Fund’s obligation as writer of the option. The purchase and writing of options involves certain risks. During the option period, the covered call writer has, in return for the premium on the option, given up the opportunity to profit from a price increase in the underlying securities above the sum of the premium and exercise price, but, as long as its obligation as a writer continues, has retained the risk of loss should the price of the underlying securities decline. The writer of an option has no control over the time when it maybe required to fulfill its obligation as a writer of the option. Once an option writer has received an exercise notice, it cannot effect a closing purchase transaction in order to terminate its obligation under the option and must deliver the underlying securities at the exercise price. If a put or call option purchased by the Fund is not sold when it has remaining value, and if the market price of the underlying security, in the case of a put, remains equal to or greater than the exercise price or, in the case of a call, remains less than or equal to the exercise price, the Fund will lose its entire investment in the option. There can be no assurance that a liquid market will exist when a Fund seeks to close out an option position. Furthermore, if trading restrictions or suspensions are imposed on the options markets, a Fund may be unable to close out a position.

The Funds may execute transactions in both listed and over-the-counter options. Listed options involve minimal counterparty risk since listed options are guaranteed against default by the exchange on which they trade. Transactions in certain over-the-counter options may expose the Funds to the risk of default by the counterparty to the transaction. In the event of default by the counterparty to the over-the-counter option transaction, the Fund’s maximum amount of loss is the premium paid (as purchaser) or the unrealized loss of the contract (as writer).

Futures - The Funds may purchase or sell exchange-traded futures contracts, which are contracts that obligate the Fund to make or take delivery of a financial instrument or the cash value of a security index at a specified future date at a specified price. The Funds may use futures contracts to manage exposure to the stock and bond markets or changes in interest rates and currency values, or for gaining exposure to markets. Risks of entering into futures contracts include the possibility that there may be an illiquid market at the time the Adviser to the Fund may be attempting to sell some or all the Fund holdings or that a change in the value of the contract may not correlate with changes in the value of the underlying securities. Upon entering into a futures contract, the Fund is required to deposit either cash or securities (initial margin). Subsequent payments (variation margin) are made or received by the Fund, generally on a daily basis. The variation margin payments are equal to the daily changes in the contract value and are recorded as unrealized gains or losses. The Funds recognize a realized gain or loss when the contract is closed or expires.

Futures transactions involve minimal counterparty risk since futures contracts are guaranteed against default by the exchange on which they trade.

Swaps - The Funds may invest in swap agreements. Swap agreements are two-party contracts entered into primarily by institutional investors for periods ranging from a few weeks to more than a year. In a standard swap transaction, two parties agree to exchange the returns earned on specific assets, such as the return on, or increase in value of, a particular dollar amount invested at a particular interest rate, in a particular foreign currency, or in a basket of securities representing a particular index. A swap contract may not be assigned without the consent of the counter-party (and in certain circumstances may not be assignable), and may result in losses in the event of a default or bankruptcy of the counterparty.

The Funds may enter into credit default swap agreements. The buyer in a credit default contract is obligated to pay the seller a periodic, stream of payments over the term of the contract provided no event of default has occurred. In the event of default, the seller must pay the buyer the par value (full notional value) of the reference obligation in exchange for the reference obligation. The Funds may be either the buyer or seller in such transactions. If the Fund is a buyer and no event of default occurs, the Fund loses its investment and recovers nothing. However, if an event of default occurs, the buyer receives full notional value for a reference obligation that may have little or no value. As a seller of a credit default swap, the Fund receives a fixed rate of income throughout the term of the contract, provided there is no default event. If an event of default occurs, the seller may pay the notional value of the reference obligation. The value of the reference obligation received by the seller, coupled with the periodic payments previously received may be less than the full notional value it pays to the buyer, resulting in a loss of value to the Fund. Credit default swaps involve greater risks than if the Fund had invested in the reference obligation directly. In addition to general market risks, credit default swaps are subject to illiquidity risk, counterparty risk and credit risk.

The Funds may enter into interest rate swap agreements. Interest rate swaps are agreements in which one party pays a floating rate of interest on a notional principal amount and receives a fixed rate of interest on the same notional principal amount for a specified period of time. Alternatively, a party may pay a fixed rate and receive a floating rate. In more complex swaps, the notional principal amount may decline (or amortize) over time. The Funds’ maximum risk of loss due to counterparty default is the discounted net asset

value of the cash flows paid to/received from the counterparty over the interest rate swap’s remaining life. The Funds enter into interest rate swaps to manage duration, the yield curve or interest rate risk by economically hedging the value of the fixed rate bonds which may decrease when interest rates rise (interest rate risk).

The Funds may write (sell) and purchase put and call swaptions. Swaption contracts written by the Funds represent an option that gives the purchaser the right, but not the obligation, to enter into a new swap agreement, or to shorten, extend, cancel or modify an existing swap agreement, on a future date on specified terms. Depending on the terms of the particular option agreement, a Fund will generally incur a greater degree of risk when it writes a swaption than it will incur when it purchases a swaption. When a Fund purchases a swaption, it risks losing only the amount of the premium it has paid should it decide to let the option expire unexercised. However, when a Fund writes a swaption, upon exercise of the option the Fund will become obligated according to the terms of the underlying agreement. At June 30, 2010, the Funds did not hold swaptions.

In addition to the securities listed above, the AlphaTrak 500 Fund may invest in the following equity derivative instruments with a notional or contractual value up to its total assets: S&P 500 Index futures contracts, Mini S&P 500 Index futures contracts, options on the S&P 500 Index and S&P futures, and swap agreements involving the S&P 500 Index. When the above listed S&P Index derivatives appear to be overvalued relative to the S&P 500 Index, the Fund may invest up to 100% in the common stocks that comprise the S&P 500 Index. The Fund may also invest up to 25% of its total assets in these stocks indirectly by purchasing interests in one or more mutual funds, asset pools, or trusts that invest in such stocks.

The Funds also may enter into total return swap agreements. Total Return Swap is the generic name for any non-traditional swap where one party agrees to pay the other the “total return” of a defined underlying asset, usually in return for receiving a stream of LIBOR based cashflows. The Total Return Swap may be applied to any underlying asset but is most commonly used with equity indices, single stocks, bonds and defined portfolios of loans and mortgages. The Total Return Swap is a mechanism for the user to accept the economic benefits of asset ownership without utilizing the balance sheet. The other leg of the swap, usually LIBOR, is spread to reflect the non-balance sheet nature of the product. Total Return Swaps can be designed with any underlying asset agreed between two parties.

At March 31, 2010, the following Funds had available for federal income tax purposes unused capital losses as follows:

For additional information regarding the accounting policies of the Metropolitan West Funds, refer to the most recent financial statements in the N-CSR filing at www-sec-gov.

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.


INTERMEDIATE BOND FUND	LEVEL 1			LEVEL 2			LEVEL 3		TOTAL
Investments in Securities

Assets

Short Term Investments		$11,554,000			$7,153,007			$—		$18,707,007

Long Term Investments:

Asset-Backed Securities		—			27,618,406			—		27,618,406

Bank Loans		—			431,120			—		431,120

Corporates		—			57,632,432			—		57,632,432

Mortgage-Backed		—			66,494,929			—		66,494,929

Municipal Bonds		—			1,936,175			—		1,936,175

U.S. Agency Securities		—			3,445,419			—		3,445,419

U.S. Treasury Securities		—			54,105,058			—		54,105,058

Other Financial Instruments *

Assets:

Interest rate contracts		254,145			—			—		254,145

Credit contracts		—			950,831			—		950,831

Liabilities:

Interest rate contracts		(82,325	)		—			—		(82,325	)

Credit contracts		—			(4,951,419	)		—		(4,951,419	)

Total		$11,725,820			$214,815,958			$—		$226,541,778


TOTAL RETURN BOND FUND	LEVEL 1			LEVEL 2			LEVEL 3		TOTAL
Investments in Securities

Assets

Short Term Investments		$665,532,000			$116,758,878			$—		$782,290,878

Long Term Investments:

Asset-Backed Securities		—			1,016,597,511			200,000		1,016,797,511

Bank Loans		—			56,276,271			—		56,276,271

Corporates		—			2,230,855,158			2,193,000		2,233,048,158

Mortgage-Backed		—			3,880,346,972			73,832		3,880,420,804

Municipal Bonds		—			75,693,065			—		75,693,065

U.S. Treasury Securities		—			2,277,426,985			—		2,277,426,985

Other Financial Instruments *

Assets:

Interest rate contracts		6,565,310			—			—		6,565,310

Credit contracts		—			35,961,629			—		35,961,629

Liabilities:

Interest rate contracts		(496,860	)		(17,544,698	)		—		(18,041,558	)

Credit contracts		—			(201,210,454	)		—		(201,210,454	)

Total		$671,600,450			$9,471,161,317			$2,466,832		$10,145,228,599


HIGH YIELD BOND FUND	LEVEL 1				LEVEL 2				LEVEL 3			TOTAL
Investments in Securities

Assets

Short Term Investments		$	76,929,000			$	16,748,686				$–		$	93,677,686

Long Term Investments:

Asset-Backed Securities			–				11,309,670				–			11,309,670

Bank Loans			–				85,748,434				–			85,748,434

Corporates			–				687,967,662				–			687,967,662

Mortgage-Backed			–				56,237				347			56,584

Municipal Bonds			–				9,315,717				–			9,315,717

Preferred Stock			–				2,728,730				–			2,728,730

Other Financial Instruments *

Assets:

Interest rate contracts			–				–				–			–

Credit contracts			–				339,149				–			339,149

Liabilities:

Interest rate contracts			–				–				–			–

Credit contracts			–				(1,995,566	)			–			(1,995,566	)

Total		$	76,929,000			$	812,218,719				$347		$	889,148,066


STRATEGIC INCOME FUND	LEVEL 1				LEVEL 2				LEVEL 3			TOTAL
Investments in Securities

Assets

Short Term Investments		$	40,439,000			$	40,204,880			$	–		$	80,643,880

Long Term Investments:

Asset-Backed Securities			–				64,432,193				–			64,432,193

Bank Loans			–				16,527,938				–			16,527,938

Corporates			–				65,500,635				–			65,500,635

Mortgage-Backed			–				48,680,705				32,651			48,713,356

Municipal Bonds			–				509,015				–			509,015

U.S. Agency Securities			–				5,698,293				–			5,698,293

Preferred Stock			–				2,647,171				1			2,647,172

U.S. Agency Securities			–				–				–			–

Other Financial Instruments *

Assets:

Interest rate contracts			–				–				–			–

Credit contracts			–				537,122				–			537,122

Liabilities:

Interest rate contracts			(335,053	)			(158,890	)			–			(493,943	)

Credit contracts			–				(31,273,555	)			–			(31,273,555	)

Total		$	40,103,947			$	213,305,507			$	32,652		$	253,442,106


ALPHATRAK 500 FUND	LEVEL 1		LEVEL 2		LEVEL 3		TOTAL
Investments in Securities

Assets

Short Term Investments	$	432,000	$	2,439,239	$	–	$	2,871,239

Long Term Investments:

Asset-Backed Securities		–		2,754,787		–		2,754,787

Bank Loans		–		169,365		–		169,365

Corporates		–		1,692,556		129,000		1,821,556

Mortgage-Backed		–		2,004,899		–		2,004,899

U.S. Agency Securities		–		370,171		–		370,171

Other Financial Instruments *

Assets:

Interest rate contracts		–		–		–		–

Credit contracts		–		42,693		–		42,693

Liabilities:

Interest rate contracts		–		(144,962)		–		(144,962)

Credit contracts		(319,042)		(10,312)		–		(329,354)


Total	$	112,958	$	9,318,436	$	129,000	$	9,560,394


LOW DURATION BOND FUND	ASSET-BACKED SECURITIES	CORPORATES	MORTGAGE-BACKED SECURITIES
Balance as of March 31, 2010	$9,571	$ 880,000	$80,145
Accrued discounts/premiums	–	39	268
Realized gain (loss)	–	(598,221)	29
Change in unrealized appreciation (depreciation)^**	–	1,408,182	53,310
Purchases	–	–	–
Sales	–	(400,000)	–
Transfers into Level 3^***	–	–	(72,257)
Transfers out of Level 3^***	(9,571)	–	–


Balance as of June 30, 2010	$ –	$1,290,000	$61,495


TOTAL RETURN BOND FUND	ASSET-BACKED SECURITIES	CORPORATES	MORTGAGE-BACKED SECURITIES
Balance as of March 31, 2010	$ 215,551	$ 1,342,000	$ 95,146
Accrued discounts/premiums	213	2,277	299
Realized gain (loss)	–	(600,000)	32
Change in unrealized appreciation (depreciation)^**	(213)	1,848,723	60,935
Purchases	–	–	–
Sales	–	(400,000)	(82,580)
Transfers into Level 3^***	–	–	–
Transfers out of Level 3^***	(15,551)	–	–

Balance as of June 30, 2010	$ 200,000	$ 2,193,000	$ 73,832

The change in unrealized appreciation/depreciation on securities still held at June 30, 2010 was $1,909,445. * The Fund’s policy is to recognize transfers in and transfers out as of the end of the period.
HIGH YIELD BOND FUND	MORTGAGE-BACKED SECURITIES
Balance as of March 31, 2010	$ 347
Accrued discounts/premiums	–
Realized gain (loss)	–
Change in unrealized appreciation (depreciation)^**	–
Purchases	–
Sales	–
Transfers into Level 3^***	–
Transfers out of Level 3^***	–

Balance as of June 30, 2010	$ 347

The change in unrealized appreciation/depreciation on securities still held at June 30, 2010 was $0. * The Fund’s policy is to recognize transfers in and transfers out as of the end of the period.
STRATEGIC INCOME FUND	MORTGAGE-BACKED SECURITIES	PREFERRED STOCK
Balance as of March 31, 2010	$ 45,972	$ 1
Accrued discounts/premiums	9,559	–
Realized gain (loss)	800	–
Change in unrealized appreciation (depreciation)^**	27,887	–
Purchases	–	–
Sales	(51,567)	–
Transfers into Level 3^***	–	–
Transfers out of Level 3^***	–	–

Balance as of June 30, 2010	$ 32,651	$ 1


ALPHATRAK 500 FUND	ASSET-BACKED SECURITIES	CORPORATES
Balance as of March 31, 2010	$ 3,669	$ 132,000
Accrued discounts/premiums	–	–
Realized gain (loss)	–	(180,000)
Change in unrealized appreciation (depreciation)^**	–	297,000
Purchases	–	–
Sales	–	(120,000)
Transfers into of Level 3^***	–	–
Transfers out of Level 3^***	(3,669)	–

Balance as of June 30, 2010	$ –	$ 129,000


FUND	EXPIRING IN 2014	EXPIRING IN 2015	EXPIRING IN 2016	EXPIRING IN 2017	EXPIRING IN 2018
Ultra Short Bond Fund	$ –	$ 171,312	$1,489,244	$ 17,068,161	$14,894,875
Low Duration Bond Fund	5,831,064	–	–	99,373,584	21,084,552
Total Return Bond Fund	–	–	–	140,337,903	–
High Yield Bond Fund	–	–	–	4,931,657	–
Strategic Income Fund	61,791	1,235,093	9,036,932	47,852,416	18,806,808
AlphaTrak 500 Fund	–	–	–	60,439,961	23,684,663


(Registrant) Metropolitan West Funds

By (Signature and Title)* /s/ David Lippman
		David Lippman, President and Principal Executive Officer (principal executive officer)

Date 8/27/10

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.

By (Signature and Title)* /s/ David Lippman
		David Lippman, President and Principal Executive Officer
		(principal executive officer)

Date 8/27/10

By (Signature and Title)* /s/ Joseph D. Hattesohl
		Joseph D. Hattesohl, Treasurer
		(principal financial officer)

Date 8/27/10