Metropolitan West Funds

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 – 80.91%
ASSET-BACKED SECURITIES — 2.63%**
ABFS Mortgage Loan Trust 2002-3 A (STEP)
4.76%		09/15/33		$	16,763	$	16,113
Aerco Ltd. 2A A4 (United Kingdom)
0.78%		07/15/25	^2,3,4		124,400		116,512
BMW Vehicle Lease Trust 2009-1 A3
2.91%		03/15/12			475,236		479,040
Capital Auto Receivables Asset Trust 2008-CPA A1
1.11%		01/15/13	^3,4		477,555		478,771
Chrysler Financial Lease Trust 2010-A A2
1.78%		06/15/11	⁴		368,795		369,273
First Alliance Mortgage Loan Trust 1994-3 A1
7.83%		10/25/25			4,622		4,410
GE SeaCo Finance SRL 2005-1A A (Barbados)
0.51%		11/17/20	^2,3,4		491,667		455,579
Huntington Auto Trust 2008-1A A3A
4.81%		04/16/12	⁴		296,393		298,055
Triton Container Finance LLC 2006-1A
0.43%		11/26/21	^3,4		236,667		219,346
Triton Container Finance LLC 2007-1A
0.40%		02/26/19	^3,4		156,250		147,897


Total Asset-Backed Securities
(Cost $2,587,831)							2,584,996


CORPORATES — 14.08%*
Banking — 1.62%
Bank of America N.A.
0.60%		06/15/17	³		750,000		652,195
Royal Bank of Scotland Plc (The) 1 (United Kingdom)
2.70%		08/23/13	^2,3		500,000		508,077
UBS AG (Switzerland)
2.25%		08/12/13	²		425,000		428,896

							1,589,168

Communications — 0.52%
Qwest Corp.
7.88%		09/01/11			500,000		516,250

Electric — 0.84%
KCP&L Greater Missouri Operations Co.
11.88%		07/01/12			730,000		828,332

Finance — 9.55%
Citigroup Funding, Inc. (MTN)
0.60%		03/30/12	³		815,000		819,070
Citigroup Funding, Inc. 2
0.62%		04/30/12	³		900,000		904,856
Citigroup, Inc.
5.30%		10/17/12			1,075,000		1,138,955


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Finance (continued)
General Electric Capital Corp. (MTN)
0.44%		06/20/14	³	$	250,000	$	242,402
General Electric Capital Corp. A (MTN)
0.56%		09/15/14	³		300,000		291,150
General Electric Capital Corp. G (MTN)
0.47%		06/01/12	³		1,030,000		1,034,413
Goldman Sachs Group, Inc. (The)
1.06%		12/05/11	³		690,000		695,561
5.45%		11/01/12			500,000		535,166
Goldman Sachs Group, Inc. B (The) (MTN)
0.69%		07/22/15	³		200,000		191,840
Lehman Brothers Holdings, Inc. H (MTN)
0.00%		11/30/10	^3,5,6		883,000		203,090
Morgan Stanley
0.54%		01/18/11	³		395,000		395,038
0.57%		02/10/12	³		990,000		993,728
0.65%		06/20/12	³		620,000		623,584
5.05%		01/21/11			395,000		395,737
6.75%		04/15/11			155,000		157,597
Morgan Stanley (MTN)
0.74%		10/18/16	³		260,000		239,811
Morgan Stanley 1
1.15%		12/01/11	³		535,000		539,526

							9,401,524

Real Estate Investment Trust (REIT) — 0.49%
Healthcare Realty Trust, Inc.
8.13%		05/01/11			475,000		485,720


Transportation — 1.06%
Delta Air Lines, Inc. 2001 A2
7.11%		09/18/11	⁷		600,000		619,500
JetBlue Airways Pass-Through Trust 2004-2 G1
0.66%		08/15/16	³		456,076		418,450

							1,037,950

Total Corporates
(Cost $14,039,907)							13,858,944


BANK LOANS — 0.64%*
Health Care — 0.64%
HCA Term Loan A
1.55%		11/17/12	^3,8		640,641		632,133

Total Bank Loans
(Cost $598,754)


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED — 60.76%**
Commercial Mortgage-Backed — 6.32%
Banc of America Commercial Mortgage, Inc. 2001-1 A2
6.50%		04/15/36		$	95,118	$	95,439
Banc of America Commercial Mortgage, Inc. 2002-2 A3
5.12%		07/11/43			395,000		407,037
Bayview Commercial Asset Trust 2007-3 A1
0.50%		07/25/37	^3,4		1,308,507		1,011,524
Bear Stearns Commercial Mortgage Securities 2002-PBW1 A2
4.72%		11/11/35	³		405,000		421,288
Commercial Mortgage Asset Trust 1999-C1 A4
6.98%		01/17/32	³		395,000		426,398
Credit Suisse First Boston Mortgage Securities Corp. 2001-CK6 A3
6.39%		08/15/36			274,152		281,793
First Union National Bank-Bank of America Commercial Mortgage Trust 2001-C1 A2
6.14%		03/15/33			30,244		30,217
GE Capital Commercial Mortgage Corp. 2001-2 A4
6.29%		08/11/33			439,339		445,261
GE Capital Commercial Mortgage Corp. 2002-2A A3
5.35%		08/11/36			400,000		418,647
GE Capital Commercial Mortgage Corp. 2005-C4 A3A
5.32%		11/10/45	³		110,000		115,638
GMAC Commercial Mortgage Securities, Inc. 2002-C2 A3
5.71%		10/15/38			385,000		400,678
Greenwich Capital Commercial Funding Corp. 2002-C1 A4
4.95%		01/11/35			410,000		429,303
JPMorgan Chase Commercial Mortgage Securities Corp. 2001-CIB3 A3
6.47%		11/15/35			368,592		378,510
JPMorgan Chase Commercial Mortgage Securities Corp. 2002-CA A3
5.38%		07/12/37			385,000		402,420
Merrill Lynch/Countrywide Commercial Mortgage Trust 2007-7 A4
5.75%		06/12/50	³		280,000		288,990
Nomura Asset Securities Corp. 1998-D6 A3
7.26%		03/15/30	³		360,000		398,907
Prudential Mortgage Capital Funding LLC 2001-ROCK A2
6.61%		05/10/34			270,140		271,558

							6,223,608


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed — 25.43%
Aames Mortgage Trust 2002-1 A3 (STEP)
6.90%		06/25/32		$	34,578	$	27,203
ABFS Mortgage Loan Trust 2002-2 A7 (STEP)
5.72%		07/15/33			650		650
ABFS Mortgage Loan Trust 2002-4 A (STEP)
4.93%		12/15/33			8,778		8,791
Adjustable Rate Mortgage Trust 2005-1 1A1
3.35%		05/25/35	³		1,172,367		927,204
American Home Mortgage Investment Trust 2004-3 3A
2.26%		10/25/34	³		932,524		753,082
Banc of America Funding Corp. 2003-2 1A1
6.50%		06/25/32			22,720		23,756
Banc of America Funding Corp. 2007-8 2A1
7.00%		10/25/37			709,624		541,705
Banc of America Mortgage Securities, Inc. 2003-A 2A2
3.60%		02/25/33	³		5,447		4,922
Citigroup Mortgage Loan Trust, Inc. 2004-HYB1 A41
5.00%		02/25/34	³		216,598		214,540
Citigroup Mortgage Loan Trust, Inc. 2007-WFH2 A3
0.44%		03/25/37	³		2,500,000		1,544,671
Citigroup Mortgage Loan Trust, Inc. 2007-WFH4 A2C
1.56%		07/25/37	³		1,765,000		772,465
Conseco Financial Corp. 1994-1 A5
7.65%		04/15/19			5,703		5,940
Conseco Financial Corp. 1996-8 A6
7.60%		10/15/27	³		13,740		14,601
Countrywide Alternative Loan Trust 2004-J6 2A1
6.50%		11/25/31			347,041		363,687
Countrywide Alternative Loan Trust 2005-16 A5
0.54%		06/25/35	³		776,986		281,530
Countrywide Alternative Loan Trust 2005-27 2A1
1.68%		08/25/35	³		1,617,692		903,474
Countrywide Alternative Loan Trust 2005-61 2A1
0.54%		12/25/35	³		1,118,981		796,529
Countrywide Asset-Backed Certificates 2003-BC1 M1
1.64%		12/25/32	³		351,357		160,248
Credit Suisse First Boston Mortgage Securities Corp. 2001-MH29 A (STEP)
5.60%		09/25/31			91,785		93,762


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Credit Suisse First Boston Mortgage Securities Corp. 2002-AR31 4A2
3.10%		11/25/32	³	$	200,000	$	163,758
Credit-Based Asset Servicing and Securitization LLC 2007-CB4 A2A (STEP)
5.84%		04/25/37			290,660		292,251
Deutsche Financial Capital Securitization LLC 1997-I A3
6.75%		09/15/27			132,306		135,569
Downey Savings & Loan Association Mortgage Loan Trust 2004-AR3 2A2A
0.63%		07/19/44	³		562,423		446,599
Fremont Home Loan Trust 2005-C M1
0.74%		07/25/35	³		500,000		463,889
GE Mortgage Services LLC 1998-HE1 A7
6.47%		06/25/28			529		523
GMAC Mortgage Corp. Loan Trust 2003-GH1 A5 (STEP)
5.60%		07/25/34			54,220		52,314
Green Tree Home Improvement Loan Trust 1995-C B2
7.60%		07/15/20			56,454		52,111
Green Tree Home Improvement Loan Trust 1995-F B2
7.10%		01/15/21			20,391		19,623
GSAA Trust 2005-7 AF3
4.75%		05/25/35	³		1,100,000		944,932
HSBC Home Equity Loan Trust 2007-3 APT
1.46%		11/20/36	³		572,831		529,497
IndyMac Index Mortgage Loan Trust 2004-AR12 A1
0.65%		12/25/34	³		949,681		607,125
IndyMac Index Mortgage Loan Trust 2006-AR2 1A1A
0.48%		04/25/46	³		1,443,936		830,462
IndyMac Manufactured Housing Contract 1998-2 A4
6.64%		12/25/27	³		175,224		169,674
Irwin Home Equity Corp. 2003-A M2
2.91%		10/25/27	³		542,093		456,805
JPMorgan Mortgage Trust 2005-A2 9A1
3.56%		04/25/35	³		598,438		485,371
Keystone Owner Trust 1998-P1 M2
7.93%		05/25/25	⁴		9,406		9,406
MASTR Adjustable Rate Mortgages Trust 2004-1 2A1
4.49%		01/25/34	³		66,891		61,309
MASTR Adjustable Rate Mortgages Trust 2004-12 5A1
3.66%		10/25/34	³		986,972		849,799


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
MASTR Adjustable Rate Mortgages Trust 2004-5 3A1
2.84%		06/25/34	³	$	50,873	$	42,540
MASTR Seasoned Securities Trust 2004-1 4A1
2.99%		10/25/32	³		160,900		155,093
MASTR Seasoned Securities Trust 2004-2 A2
6.50%		08/25/32			499,149		519,887
Merrill Lynch Mortgage Investors, Inc. 2003-A1 2A
2.39%		12/25/32	³		462,204		466,340
Mid-State Trust 6 A4
7.79%		07/01/35			43,934		43,639
Morgan Stanley ABS Capital I 2004-NC2 M2
2.06%		12/25/33	³		748,429		331,520
Morgan Stanley IXIS Real Estate Capital Trust 2006-2 A1
0.31%		11/25/36	³		20,527		20,429
Oakwood Mortgage Investors, Inc. 1998-A A4
6.20%		05/15/28			2,943		2,977
Oakwood Mortgage Investors, Inc. 1998-B A3
6.20%		01/15/15			5,107		5,112
Oakwood Mortgage Investors, Inc. 1998-B A4
6.35%		03/15/17			255,674		256,440
Residential Asset Mortgage Products, Inc. 2003-SL1 A11
7.13%		03/25/16			117,816		110,041
Residential Asset Mortgage Products, Inc. 2004-SL1 A2
8.50%		11/25/31			129,788		132,242
Residential Asset Mortgage Products, Inc. 2004-SL1 A8
6.50%		11/25/31			257,228		258,533
Residential Asset Mortgage Products, Inc. 2005-EFC2 M1
0.70%		07/25/35	³		442,543		437,653
Residential Asset Securitization Trust 2004-IP2 2A1
2.79%		12/25/34	³		533,556		519,370
Residential Funding Mortgage Securities II, Inc. 1999-HI6 AI7 (STEP)
8.60%		09/25/29			116,719		106,198
Residential Funding Mortgage Securities II, Inc. 2000-HI1 AI7 (STEP)
8.79%		02/25/25			11,036		11,088
Saxon Asset Securities Trust 2002-1 M2
2.06%		11/25/31	³		189,045		87,985
Soundview Home Equity Loan Trust 2006-WF2 A2C
0.40%		12/25/36	³		1,055,000		912,468


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Structured Asset Mortgage Investments, Inc. 2006-AR8 A1A
0.46%		10/25/36	³	$	1,869,577	$	1,221,247
Structured Asset Mortgage Investments, Inc. 2007-AR3 2A1
0.45%		09/25/47	³		2,350,859		1,469,484
Structured Asset Securities Corp. 2001-15A 4A1
6.00%		10/25/31	³		42,615		39,940
Structured Asset Securities Corp. 2004-S4 M4
2.06%		12/25/34	³		427,882		409,391
Structured Asset Securities Corp. 2005-4XS 3A3 (STEP)
4.47%		03/25/35			356,029		361,428
Structured Asset Securities Corp. 2007-EQ1 A4
0.51%		03/25/37	³		3,000,000		1,230,416
Terwin Mortgage Trust 2004-13AL 2PX (IO)
0.34%		08/25/34	^4,9		7,852,081		67,822
UCFC Home Equity Loan 1998-D BF1
8.97%		04/15/30	³		1,243		539
Washington Mutual Alternative Mortgage Pass-Through Certificates 2005-4 CB13
0.76%		06/25/35	³		641,490		437,086
Washington Mutual Mortgage Pass-Through Certificates 2002-AR6 A
1.73%		06/25/42	³		117,666		99,098
Washington Mutual Mortgage Pass-Through Certificates 2003-AR6 A1
2.70%		06/25/33	³		494,644		490,021
Washington Mutual MSC Mortgage Pass-Through Certificates 2003-MS9 1A
7.00%		04/25/33			54,101		55,223
Wells Fargo Home Equity Trust 2005-3 AII3
0.60%		11/25/35	³		533,009		521,665
Wells Fargo Home Equity Trust 2006-1 A3
0.41%		05/25/36	³		190,883		188,482

							25,021,174

U.S. Agency Mortgage-Backed — 29.01%
Fannie Mae 1988-12 A
4.19%		02/25/18	³		95,363		98,775
Fannie Mae 1993-80 S
10.53%		05/25/23	³		7,715		8,804
Fannie Mae 1997-23 PB
6.63%		01/25/22			2,313		2,324
Fannie Mae 2000-27 AN
6.00%		08/25/30			10,188		11,072
Fannie Mae 2001-42 SB
8.50%		09/25/31	³		5,343		5,892


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae 2001-60 OF
1.21%		10/25/31	³	$	894,395	$	908,859
Fannie Mae 2002-82 FP
0.76%		02/25/32	³		796,210		798,761
Fannie Mae 2003-124 IO (IO)
5.25%		03/25/31			48,375		1,924
Fannie Mae 2003-124 TS
9.80%		01/25/34	³		97,090		107,061
Fannie Mae 2003-30 ET
3.50%		08/25/16			202,074		201,357
Fannie Mae 2003-37 IG (IO)
5.50%		05/25/32			112,035		14,932
Fannie Mae 2004-33 FM
1.06%		03/25/31	³		807,559		815,834
Fannie Mae 2004-60 FW
0.71%		04/25/34	³		961,982		964,777
Fannie Mae 2004-96 MT
7.00%		12/25/34	³		110,313		109,632
Fannie Mae 2005-39 BN
4.55%		06/25/28			384,042		389,284
Fannie Mae 2007-65 PA
6.00%		03/25/31			462,054		474,769
Fannie Mae 2007-68 SC (IO)
6.44%		07/25/37	³		1,803,458		272,845
Fannie Mae 2008-47 PF
0.76%		06/25/38	³		953,464		962,580
Fannie Mae 2010-26 S (IO)
5.97%		11/25/36	³		4,067,670		519,407
Fannie Mae Pool 111643
3.08%		09/01/20	³		24,910		25,839
Fannie Mae Pool 190656
6.50%		02/01/14			106,720		116,342
Fannie Mae Pool 523829
8.00%		11/01/19			174,446		206,006
Fannie Mae Pool 555098
2.84%		11/01/32	³		101,318		106,012
Fannie Mae Pool 555177
2.43%		01/01/33	³		104,721		108,976
Fannie Mae Pool 555424
5.50%		05/01/33			1,002,445		1,078,372
Fannie Mae Pool 567002
8.00%		05/01/23			111,132		127,811
Fannie Mae Pool 646884
1.92%		05/01/32	³		7,201		7,360
Fannie Mae Pool 647903
1.90%		04/01/27	³		60,845		63,069
Fannie Mae Pool 648860
6.50%		05/01/17			525,782		576,010


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool 655127
7.00%		07/01/32		$	37,584	$	42,433
Fannie Mae Pool 655133
7.00%		08/01/32			42,910		48,467
Fannie Mae Pool 655151
7.00%		08/01/32			44,561		50,332
Fannie Mae Pool 754001
3.47%		12/01/33	³		413,936		427,792
Fannie Mae Pool 762525
6.50%		11/01/33			140,700		156,666
Fannie Mae Pool 770900
2.44%		04/01/34	³		434,351		455,056
Fannie Mae Pool 805268
1.89%		01/01/35	³		266,340		272,399
Fannie Mae Pool 893489
6.25%		09/01/36	³		381,581		408,888
Fannie Mae Pool AD0538
6.00%		05/01/24			829,826		901,561
Fannie Mae Pool AD0546
5.90%		11/01/37	³		339,427		359,660
Freddie Mac 1214 KA
1.14%		02/15/22	³		13,606		13,609
Freddie Mac 1526 L
6.50%		06/15/23			24,209		25,805
Freddie Mac 2043 CJ
6.50%		04/15/28			47,842		53,593
Freddie Mac 2368 AF
1.21%		10/15/31	³		859,829		873,963
Freddie Mac 2527 TI (IO)
6.00%		02/15/32			120,042		4,961
Freddie Mac 2561 BX (IO)
5.00%		05/15/17			150,910		4,336
Freddie Mac 2642 BW (IO)
5.00%		06/15/23			39,532		5,357
Freddie Mac 2657 LX (IO)
6.00%		05/15/18			169,737		14,929
Freddie Mac 2817 FA
0.76%		06/15/32	³		1,180,087		1,183,505
Freddie Mac 2877 MV
4.75%		12/15/28			321,649		326,749
Freddie Mac 2906 NX (IO)
5.24%		12/15/34	³		1,942,642		42,414
Freddie Mac 2945 LD
4.00%		02/15/35			885,537		917,672
Freddie Mac 2971 AB
5.00%		05/15/20			21,211		22,583
Freddie Mac 3345 FP
0.46%		11/15/36	³		405,615		404,955


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac 3345 PF
0.44%		05/15/36	³	$	401,542	$	399,969
Freddie Mac 3346 FA
0.49%		02/15/19	³		1,044,477		1,045,354
Freddie Mac 3626 MA
5.00%		02/15/30			965,679		1,024,981
Freddie Mac Gold C90237
6.50%		11/01/18			120,311		132,759
Freddie Mac Gold C90474
7.00%		08/01/21			162,222		184,842
Freddie Mac Gold D93410
6.50%		04/01/19			80,095		88,543
Freddie Mac Gold G13107
5.50%		07/01/20			1,046,477		1,131,503
Freddie Mac Gold O30092
5.50%		10/01/15			19,716		20,867
Freddie Mac Gold P20295
7.00%		10/01/29			61,161		66,655
Freddie Mac Non Gold Pool 1G2627
6.01%		03/01/37	³		448,419		472,181
Freddie Mac Non Gold Pool 1J1393
6.23%		10/01/36	³		510,850		537,507
Freddie Mac Non Gold Pool 1J1509
6.35%		11/01/36	³		491,010		517,966
Freddie Mac Non Gold Pool 1J1534
5.72%		03/01/37	³		801,277		849,225
Freddie Mac Non Gold Pool 775554
3.52%		10/01/18	³		5,599		5,621
Freddie Mac Non Gold Pool 782824
2.24%		11/01/34	³		590,439		610,286
Freddie Mac Non Gold Pool 865369
4.86%		06/01/22	³		4,385		4,618
Ginnie Mae 2003-28 LI (IO)
5.50%		02/20/32			106,630		6,859
Ginnie Mae 2004-2 FW
1.66%		01/16/34	³		332,892		361,786
Ginnie Mae 2004-41 IE (IO)
5.50%		05/20/30			389,752		5,231
Ginnie Mae II Pool 80546
3.00%		10/20/31	³		37,818		38,908
Ginnie Mae II Pool 80610
3.38%		06/20/32	³		451,776		466,099
Ginnie Mae II Pool 80614
2.63%		07/20/32	³		59,355		60,797
Ginnie Mae II Pool 80687
3.50%		04/20/33	³		262,122		270,683
Ginnie Mae II Pool 8339
3.13%		12/20/23	³		67,403		69,393


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Ginnie Mae II Pool 8684
2.63%		08/20/25	³	$	99,651	$	102,072
National Credit Union Administration Guaranteed Notes 2010-R1 A1
0.72%		10/07/20	³		1,290,821		1,289,208
National Credit Union Administration Guaranteed Notes 2010-R2 1A
0.64%		11/06/17	³		1,306,244		1,305,839
National Credit Union Administration Guaranteed Notes 2010-R2 2A
0.74%		11/05/20	³		656,948		653,971
National Credit Union Administration Guaranteed Notes 2010-R3 1A
0.83%		12/08/20	³		390,000		389,513
National Credit Union Administration Guaranteed Notes 2010-R3 2A
0.83%		12/08/20	³		330,000		329,587

							28,545,194


Total Mortgage-Backed
(Cost $65,329,782)							59,789,976

MUNICIPAL BONDS — 1.17%*
Illinois — 0.26%
State of Illinois, Pension Funding G.O., Taxable
4.07%		01/01/14			250,000		252,390

Kentucky — 0.91%
Kentucky Asset Liability Commission General Fund Revenue Bonds
0.84%		04/01/11			900,000		899,721

Total Municipal Bonds
(Cost $1,148,551)							1,152,111


U.S. TREASURY SECURITIES — 1.63%
U.S. Treasury Notes — 1.63%
U.S. Treasury Notes
1.00%		08/31/11			1,175,000		1,181,105
U.S. Treasury Notes - Treasury Inflation Indexed Notes
3.50%		01/15/11	¹⁰		335,000		421,537


Total U.S. Treasury Securities
(Cost $1,602,049)							1,602,642

Total Bonds – 80.91%
(Cost $85,306,874)							79,620,802


Issues	Maturity Date		Shares/ Principal Amount		Value
SHORT-TERM INVESTMENTS — 17.63%
Commercial Paper — 1.48%
Deutsche Bank AG
0.25%¹¹		01/27/11	$	945,000	$	944,843
UBS Finance Corp.
0.23%¹¹		02/22/11		510,000		509,795


Money Market Fund — 14.72%
BlackRock Liquidity Funds TempFund Portfolio
0.18%¹²				4,278,000		4,278,000
Dreyfus Cash Advantage Fund
0.19%¹²				4,345,000		4,345,000
DWS Money Market Series-Institutional
0.17%¹²				288,000		288,000
Fidelity Institutional Money Market Funds - Prime Money Market Portfolio
0.17%¹²				4,345,000		4,345,000
Goldman Sachs Financial Square Funds - Prime Obligations Fund
0.13%^12,13				1,235,000		1,235,000


U.S. Treasury Bills — 1.43%
U.S. Treasury Bills
0.10%¹¹		02/10/11		529,000		528,955
0.10%¹¹		02/10/11		275,000		274,974
0.10%¹¹		02/10/11		600,000		599,928


Total Short-Term Investments
(Cost $17,349,541)						17,349,495


Total Investments – 98.54%

(Cost $102,656,415)¹						96,970,297


Cash and Other Assets, Less Liabilities – 1.46%						1,432,648

Net Assets – 100.00%					$	98,402,945


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 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	$	4,600	$	4,600

			$	–	$	500	$	4,600	$	4,600


	Expiration Date	Premiums (Received)			Notional Amount (000’s) ^b		Appreciation		Value^c
SWAPS: CREDIT DEFAULT (WRITTEN) - TRADED INDICES
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	$	(1,409,636	)	$	2,362	$	157,318	$	(1,252,318	)

		$	(1,409,636	)	$	2,362	$	157,318	$	(1,252,318	)

^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 $102,681,155 and net unrealized appreciation/(depreciation) consists of:


Gross unrealized appreciation	$	5,513,189
Gross unrealized depreciation		(11,224,048	)

Net unrealized depreciation	$	(5,710,859	)

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

³	Floating rate security. The rate disclosed is that in effect at December 31, 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 December 31, 2010, was $3,174,185, representing 3.23% of total net assets.

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

⁶	Non-income producing security.

⁷	Expected maturity date.

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
02/04/09	HCA Term Loan A, 1.55%, 11/17/12	$598,754	$632,133	0.64%

⁹	Illiquid security as determined under procedures approved by the Fund’s Board of Trustees. The aggregate value of illiquid securities is $67,822, which is 0.07% of total net assets.

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 December 31, 2010.

¹³	Securities, or a portion thereof, pledged as collateral for swaps. The total market value of collateral pledged is $1,235,000.

*	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.

(G.O.): General Obligation

(IO): Interest only

(MTN): Medium-term note

(STEP): Step coupon bond


Issues	Maturity Date			Principal Amount		Value
BONDS – 92.20%
ASSET-BACKED SECURITIES — 2.80%**
Aerco Ltd. 2A A4 (United Kingdom)
0.78%		07/15/25	^2,3,4	$	3,489,420	$	3,268,169
Aircastle Aircraft Lease Backed Trust 2007-1A G1
0.53%		06/14/37	^3,4,†		5,329,661		4,743,390
Babcock & Brown Air Funding I Ltd. 2007-1A G1 (Bermuda)
0.56%		11/14/33	^2,3,4,†		6,618,689		5,609,328
Castle Trust 2003-1AW A1
1.01%		05/15/27	^3,4,†		2,890,621		2,485,929
Discover Card Master Trust 2009-A2 A
1.56%		02/17/15	³		2,400,000		2,435,081
First Alliance Mortgage Loan Trust 1994-3 A1
7.83%		10/25/25			1,387		1,323
GE Corporate Aircraft Financing LLC 2005-1A B
0.91%		08/26/19	^4,†		1,462,500		1,276,027
GE Corporate Aircraft Financing LLC 2005-1A C
1.56%		08/26/19	^3,4,†		5,000,000		4,337,492
GE SeaCo Finance SRL 2004-1A A (Barbados)
0.56%		04/17/19	^2,3,4		2,216,667		2,131,050
GE SeaCo Finance SRL 2005-1A A (Barbados)
0.51%		11/17/20	^2,3,4		6,234,333		5,776,742
Genesis Funding Ltd. 2006-1A G1 (Bermuda)
0.50%		12/19/32	^2,3,4,†		8,359,226		7,272,500
Green Tree Recreational Equipment & Consumer Trust 1996-D Certificates
7.24%		12/15/22			78,428		56,231
GSC Partners Gemini Fund Ltd. 1A A (Cayman Islands)
0.94%		10/10/14	^2,3,4,†		506,615		488,883
Pegasus Aviation Lease Securitization 2000-1 B1
8.08%		03/25/30	^4,5,6		8,806,150		2,810
TAL Advantage LLC 2010-2A A
4.30%		10/20/25	⁴		3,495,750		3,587,416
Terwin Mortgage Trust 2005-9HGS A1
4.00%		08/25/35	^3,4		255,120		248,694
Textainer Marine Containers Ltd. 2005-1A A (Bermuda)
0.51%		05/15/20	^2,3,4		2,142,083		2,041,716
Triton Container Finance LLC 2006-1A
0.43%		11/26/21	^3,4		4,999,583		4,633,693
Triton Container Finance LLC 2007-1A
0.40%		02/26/19	^3,4		3,216,146		3,044,206


Total Asset-Backed Securities
(Cost $62,205,656)							53,440,680


Issues	Maturity Date			Principal Amount		Value
CORPORATES — 24.81%*
Banking — 4.69%
Ally Financial, Inc.
2.50%		12/01/14	³	$	1,424,000	$	1,297,620
Bank of America Corp. L (MTN)
5.65%		05/01/18			300,000		306,988
Bank of America N.A.
0.60%		06/15/17	³		2,500,000		2,173,983
BankAmerica Capital III
0.86%		01/15/27	³		2,881,000		2,055,611
BankAmerica Institutional Capital A
8.07%		12/31/26	⁴		5,250,000		5,322,187
Capital One Financial Corp.
7.38%		05/23/14			5,000,000		5,693,970
City National Corp.
5.13%		02/15/13			8,000,000		8,376,576
Credit Suisse/Guernsey 1 (Switzerland)
0.98%		05/29/49	^2,3		8,390,000		6,219,087
Credit Suisse/New York (MTN) (Switzerland)
3.45%		07/02/12	²		1,825,000		1,892,914
5.00%		05/15/13	²		11,000,000		11,845,735
Deutsche Bank AG/London G (MTN) (Germany)
4.88%		05/20/13	²		7,640,000		8,196,444
JPMorgan Chase & Co.
4.75%		05/01/13			30,000		32,137
JPMorgan Chase & Co. C (MTN)
0.77%		07/23/13	³		1,500,000		1,460,850
Nationsbank Capital Trust II
7.83%		12/15/26			3,200,000		3,224,000
Nationsbank Capital Trust III
0.84%		01/15/27	³		7,650,000		5,431,500
Royal Bank of Scotland Plc (The) (United Kingdom)
4.88%		03/16/15	²		7,117,000		7,287,018
Royal Bank of Scotland Plc (The) 2 (United Kingdom)
3.40%		08/23/13	²		1,750,000		1,768,883
UBS AG (Switzerland)
2.25%		08/12/13	²		5,750,000		5,802,716
Wachovia Corp. (MTN)
5.50%		05/01/13			5,655,000		6,157,136
Westpac Banking Corp. (Australia)
2.10%		08/02/13	²		5,000,000		5,053,940

							89,599,295


Communications — 0.99%
Cellco Partnership/Verizon Wireless Capital LLC (WI)
3.75%		05/20/11			5,440,000		5,507,205
Qwest Corp.
7.88%		09/01/11			8,995,000		9,287,337


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Communications (continued)
Telecom Italia Capital SA (Luxembourg)
6.20%		07/18/11	²	$	4,060,000	$	4,167,180

							18,961,722


Electric — 1.31%
Cedar Brakes I LLC
8.50%		02/15/14	⁴		1,772,066		1,873,229
Cedar Brakes II LLC
9.88%		09/01/13	⁴		5,220,242		5,554,434
FPL Energy National Wind Portfolio LLC
6.13%		03/25/19	⁴		101,334		96,338
KCP&L Greater Missouri Operations Co.
7.95%		02/01/11			2,500,000		2,512,605
11.88%		07/01/12			7,149,000		8,111,985
Mirant Mid Atlantic Pass-Through Trust A
8.63%		06/30/12			2,497,607		2,541,315
W3A Funding Corp.
8.09%		01/02/17			4,332,070		4,386,810

							25,076,716


Energy — 1.41%
Allis-Chalmers Energy, Inc.
9.00%		01/15/14			450,000		459,000
Aquila Canada Finance Corp. (Canada)
7.75%		06/15/11	²		1,835,000		1,886,318
Comstock Resources, Inc.
6.88%		03/01/12			150,000		150,563
El Paso Pipeline Partners Operating Co. LLC
4.10%		11/15/15			3,000,000		2,984,781
Florida Gas Transmission, Co. LLC
4.00%		07/15/15	⁴		3,500,000		3,616,315
Hilcorp Energy I LP/Hilcorp Finance Co.
7.75%		11/01/15	⁴		575,000		596,563
Massey Energy Co.
6.88%		12/15/13			375,000		381,563
OPTI Canada, Inc. (Canada)
7.88%		12/15/14	²		250,000		176,250
Premcor Refining Group, Inc. (The)
6.13%		05/01/11			8,000,000		8,124,152
Sabine Pass LNG LP
7.25%		11/30/13			2,250,000		2,199,375
Sonat, Inc.
7.63%		07/15/11			350,000		360,276
Tennessee Gas Pipeline Co.
8.00%		02/01/16			5,173,000		6,029,090

							26,964,246


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Finance — 10.78%
Bear Stearns Cos., Inc. (The) (MTN)
6.95%		08/10/12		$	10,000,000	$	10,892,548
Cantor Fitzgerald LP
6.38%		06/26/15	⁴		3,675,000		3,719,350
Chase Capital II B
0.79%		02/01/27	³		6,655,000		5,190,900
Citigroup, Inc.
5.30%		10/17/12			1,424,000		1,508,718
5.50%		04/11/13			11,034,000		11,755,613
5.50%		10/15/14			3,510,000		3,785,075
6.38%		08/12/14			10,500,000		11,657,978
Countrywide Financial Corp. (MTN)
5.80%		06/07/12			5,660,000		6,009,200
General Electric Capital Corp.
1.88%		09/16/13			2,200,000		2,205,230
General Electric Capital Corp. (MTN)
0.44%		06/20/14	³		3,500,000		3,393,631
0.67%		05/05/26	³		6,300,000		5,246,615
General Electric Capital Corp. A (MTN)
0.56%		09/15/14	³		10,169,000		9,869,015
General Electric Capital Corp. E (MTN)
0.41%		03/20/14	³		5,500,000		5,241,159
General Electric Capital Corp. G (MTN)
0.47%		06/01/12	³		12,605,000		12,659,000
Goldman Sachs Group, Inc. (The)
0.75%		03/22/16			800,000		756,522
0.79%		01/12/15	³		2,500,000		2,419,055
1.06%		12/05/11	³		10,970,000		11,058,407
5.13%		01/15/15			583,000		626,937
5.45%		11/01/12			8,000,000		8,562,653
6.15%		04/01/18			3,500,000		3,859,856
International Lease Finance Corp.
6.50%		09/01/14	⁴		8,400,000		8,862,000
JPMorgan Chase Capital XIII M
1.25%		09/30/34	³		2,465,000		1,922,700
JPMorgan Chase Capital XXI U
1.24%		02/02/37	³		3,250,000		2,470,000
Lehman Brothers Holdings, Inc. (MTN)
0.00%		06/20/16	^3,5,6		4,835,000		1,112,050
8.92%		02/16/17	^5,6		4,198,000		965,540
11.00%		11/07/16	^3,5,6		6,776,000		1,558,480
MBNA Capital A
8.28%		12/01/26			1,074,000		1,095,480
MBNA Capital B
1.09%		02/01/27	³		2,891,000		2,052,610
Merrill Lynch & Co., Inc. (MTN)
8.68%		05/02/17	³		30,000		32,100
8.95%		05/18/17	³		30,000		32,250
9.57%		06/06/17	³		5,184,000		5,702,400


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Finance (continued)
Morgan Stanley
0.54%		01/18/11	³	$	4,405,000	$	4,405,423
0.57%		02/10/12	³		18,310,000		18,378,955
0.65%		06/20/12	³		9,655,000		9,710,810
0.77%		10/15/15	³		2,830,000		2,656,419
4.20%		11/20/14			750,000		766,907
6.00%		05/13/14			1,325,000		1,432,188
Morgan Stanley 1
1.15%		12/01/11	³		4,115,000		4,149,813
Morgan Stanley G (MTN)
0.59%		01/09/14	³		1,405,000		1,356,698
5.63%		01/09/12			5,000,000		5,248,185
Power Receivable Finance LLC
6.29%		01/01/12	⁴		568,764		569,212
6.29%		01/01/12			597,000		605,521
Prudential Holdings LLC (AGM)
1.18%		12/18/17	^3,4		10,665,000		9,280,342
Woodbourne Capital Trust I
2.73%		04/08/49	^4,7		1,000,000		410,000
Woodbourne Capital Trust II
2.73%		04/08/49	^4,7		1,000,000		410,000
Woodbourne Capital Trust IV
2.73%		04/08/49	^4,7		1,000,000		410,000


							206,013,545

Health Care — 0.49%
Boston Scientific Corp.
5.45%		06/15/14			1,123,000		1,192,793
CHS/Community Health Systems, Inc.
8.88%		07/15/15			250,000		262,500
UnitedHealth Group, Inc.
4.88%		02/15/13			7,348,000		7,826,943


							9,282,236

Insurance — 1.51%
Berkshire Hathaway, Inc.
0.72%		02/11/13	³		5,475,000		5,505,589
Farmers Insurance Exchange
6.00%		08/01/14	⁴		6,315,000		6,689,033
Metropolitan Life Global Funding I
2.20%		06/10/11	^3,4		2,000,000		2,017,022
2.88%		09/17/12	⁴		2,810,000		2,883,014
5.13%		04/10/13	⁴		4,550,000		4,901,701
5.13%		06/10/14	⁴		3,230,000		3,516,197
Nationwide Mutual Insurance Co.
5.81%		12/15/24	^3,4		3,550,000		3,210,531


							28,723,087


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Materials — 0.01%
Lyondell Chemical Co.
11.00%		05/01/18		$	93,569	$	106,435


Real Estate Investment Trust (REIT) — 2.65%
AvalonBay Communities, Inc. (MTN)
6.13%		11/01/12			1,057,000		1,142,124
Duke Realty LP
5.88%		08/15/12			956,000		1,006,228
6.25%		05/15/13			9,000,000		9,676,413
HCP, Inc.
6.45%		06/25/12			4,000,000		4,221,296
HCP, Inc. (MTN)
6.30%		09/15/16			7,600,000		8,196,691
Health Care REIT, Inc.
4.70%		09/15/17			6,875,000		6,859,339
Healthcare Realty Trust, Inc.
6.50%		01/17/17			2,375,000		2,562,862
Kimco Realty Corp. C (MTN)
5.19%		10/01/13			6,000,000		6,411,644
Liberty Property LP
5.13%		03/02/15			4,180,000		4,459,805
Shurgard Storage Centers LLC
7.75%		02/22/11			1,500,000		1,515,768
WEA Finance LLC/WT Finance
7.50%		06/02/14	⁴		4,000,000		4,579,047


							50,631,217

Services — 0.02%
Mobile Mini, Inc.
6.88%		05/01/15			375,000		382,500


Transportation — 0.95%
American Airlines Pass-Through Trust 2001-02
6.98%		04/01/11	⁸		3,822		3,859
Continental Airlines Pass-Through Trust 1997-4 A
6.90%		01/02/18			181,311		192,643
Delta Air Lines, Inc. 2001 A1
6.62%		03/18/11			2,265,088		2,276,413
Delta Air Lines, Inc. 2001 A2
7.11%		09/18/11			8,751,000		9,035,407
Northwest Airlines, Inc. 2001 1 A2
6.84%		04/01/11			1,500,000		1,515,000
UAL Pass-Through Trust 2009-1
10.40%		11/01/16			4,501,509		5,187,989


							18,211,311


Total Corporates
(Cost $467,036,275)							473,952,310


Issues	Maturity Date			Principal Amount		Value
BANK LOANS — 0.51%*
Communications — 0.06%
Charter Communications, Inc. Term Loan 3rd Lien
2.76%		09/06/14	^3,9	$	500,000	$	483,229
Dex Media West LLC Term Loan
7.00%		10/24/14	^3,9		747,492		683,155


							1,166,384

Electric — 0.02%
TXU Energy Term Loan B3
3.76%		10/10/14	^3,9		483,750		374,164

Health Care — 0.31%
HCA Term Loan A
1.55%		11/17/12	^3,9		6,081,382		6,000,616

Insurance — 0.01%
Asurion Corp. Term Loan
3.27%		07/07/14	^3,9		246,875		234,878

Services — 0.04%
Cengage Learning Term Loan B
2.55%		07/03/14	^3,9		725,625		684,355

Transportation — 0.07%
Delta Air Lines, Inc. Term Loan 1st Lien
1.95%		04/30/12	^3,9		960,102		944,100
United Air Lines, Inc.
2.31%		02/01/14	^3,9		343,611		332,497


							1,276,597

Total Bank Loans
(Cost $9,711,222)							9,736,994


MORTGAGE-BACKED — 48.27%**
Commercial Mortgage-Backed — 8.18%
Bayview Commercial Asset Trust 2005-1A A1
0.56%		04/25/35	^3,4		1,073,212		870,366
Bayview Commercial Asset Trust 2005-2A A1
0.57%		08/25/35	^3,4		566,204		441,782
Bayview Commercial Asset Trust 2006-3A A1
0.51%		10/25/36	^3,4		4,777,371		3,186,482
Bayview Commercial Asset Trust 2007-1 A1
0.48%		03/25/37	^3,4		138,057		109,965
Bayview Commercial Asset Trust 2007-3 A1
0.50%		07/25/37	^3,4		654,254		505,762
Bear Stearns Commercial Mortgage Securities 2002-PBW1 A2
4.72%		11/11/35			6,240,000		6,490,960
Bear Stearns Commercial Mortgage Securities 2007-T28 AAB
5.75%		09/11/42			5,247,000		5,632,933


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed (continued)
Bear Stearns Commercial Mortgage Securities, Inc. 2003-T12 A4
4.68%		08/13/39	³	$	7,195,000	$	7,597,183
Bear Stearns Commercial Mortgage Securities, Inc. 2005-T20 A4A
5.14%		10/12/42	³		7,620,000		8,219,786
Credit Suisse First Boston Mortgage Securities Corp. 2002-CKS4 A2
5.18%		11/15/36			7,975,000		8,318,514
Credit Suisse First Boston Mortgage Securities Corp. 2004-C5 A2
4.18%		11/15/37			2,619,008		2,616,817
Credit Suisse First Boston Mortgage Securities, Corp. 2002-CP3 A3
5.60%		07/15/35			8,965,000		9,396,706
First Union National Bank-Bank of America Commercial Mortgage Trust 2001-C1 A2
6.14%		03/15/33			770,582		769,917
GE Capital Commercial Mortgage Corp. 2001-2 A4
6.29%		08/11/33			13,284,413		13,463,480
GE Capital Commercial Mortgage Corp. 2002-1A A3
6.27%		12/10/35			3,054,473		3,182,887
GE Capital Commercial Mortgage Corp. 2005-C4 A3A
5.32%		11/10/45	³		2,235,000		2,349,557
GMAC Commercial Mortgage Securities, Inc. 2001-C2 A2
6.70%		04/15/34			4,852,353		4,884,187
GMAC Commercial Mortgage Securities, Inc. 2004-C1 A4
4.91%		03/10/38			410,000		433,621
Greenwich Capital Commercial Funding Corp. 2004-GG1 A7
5.32%		06/10/36	³		7,355,000		7,939,183
Greenwich Capital Commercial Funding Corp. 2006-GG7 A4
5.88%		07/10/38	³		5,955,000		6,504,888
JPMorgan Chase Commercial Mortgage Securities Corp. 2001-CIB3 A3
6.47%		11/15/35			8,970,677		9,212,058
JPMorgan Chase Commercial Mortgage Securities Corp. 2007-CB19 A4
5.74%		02/12/49	³		1,918,000		2,040,747
JPMorgan Chase Commercial Mortgage Securities Corp. 2007-LD12 A4
5.88%		02/15/51	³		1,375,000		1,458,108
JPMorgan Chase Commercial Mortgage Securities Corp. 2007-LDPX A3
5.42%		01/15/49			1,610,000		1,677,047


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed (continued)
LB-UBS Commercial Mortgage Trust 2001-C2 A2
6.65%		11/15/27		$	2,405,156	$	2,410,782
Merrill Lynch Mortgage Trust 2002-MW1 A4
5.62%		07/12/34			8,375,000		8,714,219
Merrill Lynch/Countrywide Commercial Mortgage Trust 2006-4 A3
5.17%		12/12/49	³		4,840,000		5,016,735
Merrill Lynch/Countrywide Commercial Mortgage Trust 2007-7 A4
5.75%		06/12/50	³		3,895,000		4,020,052
Morgan Stanley Capital I 2005-T19 A4A
4.89%		06/12/47			405,000		431,031
Morgan Stanley Capital I 2007-IQ16 A4
5.81%		12/12/49			2,570,000		2,750,266
Morgan Stanley Capital I 2007-T27 A4
5.65%		06/11/42	³		265,000		288,198
Morgan Stanley Dean Witter Capital I 2001-TOP3 A4
6.39%		07/15/33			3,738,477		3,793,043
TIAA Seasoned Commercial Mortgage Trust 2007-C4 A3
6.05%		08/15/39	³		10,500,000		11,551,745
Wachovia Bank Commercial Mortgage Trust 2002-C1 A4
6.29%		04/15/34			9,537,000		9,967,167
Wachovia Bank Commercial Mortgage Trust 2004-C10 A3
4.39%		02/15/41			86,376		87,228


							156,333,402


Non-Agency Mortgage-Backed — 20.96%
ABFS Mortgage Loan Trust 2002-2 A7 (STEP)
5.72%		07/15/33			13,206		13,196
Accredited Mortgage Loan Trust 2007-1 A4
0.48%		02/25/37			12,000,000		6,302,406
Adjustable Rate Mortgage Trust 2005-1 1A1
3.35%		05/25/35	³		9,950,466		7,869,646
American Home Mortgage Assets 2007-2 A1
0.39%		03/25/47	³		20,231,784		12,433,168
American Home Mortgage Assets 2007-4 A2
0.45%		08/25/37	³		21,418,602		15,524,385
American Home Mortgage Investment Trust 2004-2 2A
2.27%		02/25/44	³		13,236,443		11,996,822
Amresco Residential Securities Mortgage Loan Trust 1998-1 A5 (STEP)
7.57%		10/25/27			38,555		40,318
Banc of America Funding Corp. 2007-5 3A1
6.00%		07/25/37			9,278,784		7,108,977


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Banc of America Funding Corp. 2007-8 2A1
7.00%		10/25/37		$	8,515,488	$	6,500,455
Banco de Credito Y Securitizacion SA 2001-1 AF (Argentina)
8.00%		05/31/10	^2,4,7		399,399		31,952
Bear Stearns Asset Backed Securities Trust 2000-2 M2 (STEP)
8.28%		08/25/30			2,660,885		2,596,986
Bear Stearns Mortgage Funding Trust 2006-AR3 2A1
0.46%		11/25/36	³		12,775,245		7,827,284
Bear Stearns Mortgage Funding Trust 2007-AR4 2A1
0.47%		06/25/37	³		15,716,089		9,761,003
BHN I Mortgage Fund 2000-1 AF (Argentina)
8.00%		03/31/11	^2,4,7		9,000		887
BlackRock Capital Finance LP 1997-R2 AP
1.21%		12/25/35	^3,4,7		14,580		14,588
Carrington Mortgage Loan Trust 2004-NC2 M1
0.95%		08/25/34	³		218,633		153,845
Carrington Mortgage Loan Trust 2007-FRE1 A3
0.52%		02/25/37	³		14,875,000		6,487,761
Chase Funding Mortgage Loan Asset-Backed Certificates 2002-2 2M1
1.16%		02/25/32	³		748,923		397,673
Chase Mortgage Finance Corp. 2007-A2 2A3
3.06%		07/25/37	³		10,801,947		10,475,204
Chevy Chase Mortgage Funding Corp. 2005-2A A1
0.44%		05/25/36	^3,4		3,120,507		2,088,524
Chevy Chase Mortgage Funding Corp. 2005-AA B2
0.88%		01/25/36	^3,4		693,427		245,810
Citigroup Mortgage Loan Trust, Inc. 2004-HYB1 A41
5.00%		02/25/34	³		461,474		457,089
Citigroup Mortgage Loan Trust, Inc. 2006-AMC1 A2B
0.42%		09/25/36	³		6,941,836		3,258,366
Citigroup Mortgage Loan Trust, Inc. 2007-WFH1 A2
0.36%		01/25/37	³		159,714		154,691
Citigroup Mortgage Loan Trust, Inc. 2007-WFH2 A3
0.44%		03/25/37	³		150,000		92,680
Citigroup Mortgage Loan Trust, Inc. 2007-WFH4 A2C
1.56%		07/25/37	³		90,000		39,389


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Citigroup Mortgage Loan Trust, Inc. 2007-WFH4 M1
1.91%		07/25/37	³	$	8,520,000	$	2,239,238
Conseco Finance 2001-D A5
6.19%		11/15/32	³		358,571		367,071
Conseco Financial Corp. 1994-1 A5
7.65%		04/15/19			336,481		350,467
Conseco Financial Corp. 1998-2 A5
6.24%		12/01/28	³		32,391		32,133
Countrywide Alternative Loan Trust 2005-27 2A1
1.68%		08/25/35	³		2,279,159		1,272,900
Countrywide Alternative Loan Trust 2005-51 2A2A
0.55%		11/20/35	³		31,628		31,180
Countrywide Alternative Loan Trust 2005-59 1A1
0.59%		11/20/35	³		9,580,447		5,913,373
Countrywide Alternative Loan Trust 2005-72 A1
0.53%		01/25/36	³		835,645		573,266
Countrywide Alternative Loan Trust 2006-46 A4
6.00%		02/25/47			7,215,994		5,837,553
Countrywide Alternative Loan Trust 2006-OA12 A2
0.47%		09/20/46	³		4,763,764		2,054,452
Countrywide Asset-Backed Certificates 2007-11 2A1
0.32%		06/25/47	³		286,646		280,114
Countrywide Asset-Backed Certificates 2007-4 A1A
0.38%		09/25/37	³		3,919,181		3,791,108
Countrywide Asset-Backed Certificates 2007-7 2A1
0.34%		10/25/47	³		252,998		247,278
Countrywide Home Loan Mortgage Pass-Through Trust 2004-14 4A1
5.02%		08/25/34	³		101,821		101,233
Credit-Based Asset Servicing and Securitization LLC 2005-CB7 AF3 (STEP)
5.55%		11/25/35			1,730,237		1,705,774
Credit-Based Asset Servicing and Securitization LLC 2006-CB1 AF2 (STEP)
5.24%		01/25/36			2,788,080		1,899,449
Credit-Based Asset Servicing and Securitization LLC 2006-CB9 A4
0.49%		11/25/36	³		6,000,000		2,575,713
Credit-Based Asset Servicing and Securitization LLC 2007-CB2 A2B (STEP)
4.88%		02/25/37			20,580,000		16,535,913


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Credit-Based Asset Servicing and Securitization LLC 2007-CB5 A1
0.32%		04/25/37	³	$	2,533,204	$	1,789,253
DLJ Mortgage Acceptance Corp. 1996-QA S (IO)
3.26%		01/25/26	^3,4,7		96,568		60
Downey Savings & Loan Association Mortgage Loan Trust 2005-AR2 2A1A
0.47%		03/19/45	³		3,643,042		2,477,950
Downey Savings & Loan Association Mortgage Loan Trust 2006-AR1 2A1A
1.27%		04/19/47	³		83,993		57,427
First Horizon Alternative Mortgage Securities 2004-AA3 A1
2.55%		09/25/34	³		34,397		29,034
First Union Home Equity Loan Trust 1997-3 B
7.39%		03/25/29			39,911		5,990
GMAC Mortgage Corp. Loan Trust 2000-HE2 A1
0.70%		06/25/30	³		2,023,812		1,155,217
Green Tree Home Improvement Loan Trust 1997-E HEB1
7.53%		01/15/29			2,707,194		2,674,395
GSAA Trust 2006-9 A4A
0.50%		06/25/36	³		12,388,339		6,081,504
Harborview Mortgage Loan Trust 2006-3 2A1A
5.89%		06/19/36	³		2,823,052		1,728,207
Harborview Mortgage Loan Trust 2007-2 2A1A
0.42%		05/25/38	³		14,610,440		9,035,417
Home Equity Mortgage Trust 2006-1 A1B
0.39%		05/25/36	³		663,870		612,471
HSBC Home Equity Loan Trust 2005-3 M1
0.68%		01/20/35	³		3,999,646		3,609,178
HSBC Home Equity Loan Trust 2006-3 A4
0.50%		03/20/36	³		8,680,000		7,369,246
HSBC Home Equity Loan Trust 2007-1 AS
0.46%		03/20/36	³		9,934,507		9,022,382
HSI Asset Securitization Corp. Trust 2006-OPT2 2A3
0.45%		01/25/36	³		2,153,451		2,016,720
Impac CMB Trust 2005-5 A1
0.58%		08/25/35	³		5,195,926		4,023,520
IndyMac Index Mortgage Loan Trust 2004-AR12 A1
0.65%		12/25/34	³		610,701		390,417
IndyMac Index Mortgage Loan Trust 2004-AR8 2A2A
0.66%		11/25/34	³		2,241,293		1,535,788


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
JPMorgan Mortgage Acquisition Corp. 2005-FRE1 A2F3 (STEP)
4.34%		10/25/35		$	2,691,357	$	2,599,633
JPMorgan Mortgage Acquisition Corp. 2007-CH1 AF2 (STEP)
5.45%		10/25/36			9,862,920		9,875,974
JPMorgan Mortgage Acquisition Corp. 2007-CH2 AF2 (STEP)
5.48%		01/25/37			15,300,000		13,017,546
JPMorgan Mortgage Acquisition Corp. 2007-CH5 A2
0.31%		05/25/37	³		2,174,214		2,101,874
JPMorgan Mortgage Acquisition Corp. 2007-HE1 AV4
0.54%		03/25/47	³		50,000		24,438
JPMorgan Mortgage Trust 2005-A3 5A3
2.81%		06/25/35	³		141,390		117,737
Lehman ABS Manufactured Housing Contract Trust 2001-B AIOC (IO)
0.55%		05/15/41	^3,7		337,304,039		4,973,278
Lehman XS Trust 2006-GP1 A4A
0.59%		05/25/46	³		11,753,812		3,094,815
Long Beach Mortgage Loan Trust 2005-1 M1
0.76%		02/25/35	³		4,095,745		4,027,068
MASTR Adjustable Rate Mortgages Trust 2003-6 4A2
5.18%		01/25/34	³		116,971		110,945
MASTR Adjustable Rate Mortgages Trust 2004-1 2A1
4.49%		01/25/34	³		263,440		241,454
MASTR Adjustable Rate Mortgages Trust 2004-5 3A1
2.84%		06/25/34	³		268,900		224,852
MASTR Adjustable Rate Mortgages Trust 2004-9 1A4
0.86%		11/25/34	³		4,746,542		4,589,436
MASTR Asset Backed Securities Trust 2007-HE1 A3
0.47%		05/25/37	³		55,000		26,801
MASTR Seasoned Securities Trust 2004-1 4A1
2.99%		10/25/32	³		828,635		798,728
Merrill Lynch Alternative Note Asset 2007-AF1 AV1
5.30%		06/25/37	³		7,369,400		4,244,307
Merrill Lynch First Franklin Mortgage Loan Trust 2007-3 A2C
0.44%		06/25/37	³		19,057,200		9,138,404
Mid-State Trust 2004-1 B
8.90%		08/15/37			910,042		863,962
Mid-State Trust 2006-1 A
5.79%		10/15/40	⁴		9,165,261		8,649,924


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Morgan Stanley ABS Capital I 2004-NC2 M2
2.06%		12/25/33	³	$	183,365	$	81,222
Morgan Stanley ABS Capital I 2004-NC7 M2
0.88%		07/25/34			13,000,000		11,557,404
Morgan Stanley Mortgage Loan Trust 2007-10XS A18
6.00%		07/25/47	³		12,614,140		9,590,859
Nationstar Home Equity Loan Trust 2007-A AV1
0.32%		03/25/37	³		13		13
Nationstar Home Equity Loan Trust 2007-A AV4
0.49%		03/25/37	³		5,928,000		3,722,242
Nationstar Home Equity Loan Trust 2007-B 2AV1
0.38%		04/25/37	³		231,954		227,175
Nationstar Home Equity Loan Trust 2007-C 2AV1
0.32%		06/25/37	³		32,626		32,086
Nationstar Home Equity Loan Trust 2007-C 2AV3
0.44%		06/25/37	³		7,807,200		4,900,693
Park Place Securities, Inc. 2004-MHQ1 M1
0.96%		12/25/34	³		8,987,594		8,690,267
Popular ABS Mortgage Pass-Through Trust 2007-A A3
0.57%		06/25/47	³		70,000		34,763
Residential Asset Mortgage Products, Inc. 2004-SL4 A3
6.50%		07/25/32			2,274,042		2,310,669
Residential Asset Mortgage Products, Inc. 2005-SL1 A5
6.50%		05/25/32			4,428,763		4,162,627
Residential Asset Securities Corp. 2005-KS12 A2
0.51%		01/25/36	³		7,611,590		7,281,875
Residential Funding Mortgage Securities II, Inc. 2000-HI1 AI7 (STEP)
8.79%		02/25/25			8,175		8,213
Resmae Mortgage Loan Trust 2006-1 A1B
0.53%		02/25/36	^3,4		2,042,576		175,853
SG Mortgage Securities Trust 2006-FRE1 A1B
0.53%		02/25/36	³		1,629,339		1,054,292
Soundview Home Equity Loan Trust 2006-OPT1 2A4
0.53%		03/25/36	³		7,300,000		4,476,787
Soundview Home Equity Loan Trust 2006-WF2 A2C
0.40%		12/25/36	³		12,000,000		10,378,786


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Specialty Underwriting & Residential Finance 2005-AB1 A1C
0.60%		03/25/36	³	$	6,268,371	$	6,058,328
Structured Asset Mortgage Investments, Inc. 2005-AR7 1A1
2.64%		12/27/35	³		16,561,629		10,078,894
Structured Asset Mortgage Investments, Inc. 2006-AR8 A1A
0.46%		10/25/36	³		14,722,916		9,617,318
Structured Asset Securities Corp. 2002-5A 6A
6.16%		04/25/32	³		24,965		23,991
Structured Asset Securities Corp. 2005-S2 M2
0.94%		06/25/35	³		2,131,958		2,028,458
Terwin Mortgage Trust 2004-7HE A1
0.81%		07/25/34	^3,4		142,962		130,247
Washington Mutual Alternative Mortgage Pass-Through Certificates 2007-OA3 4A1
1.10%		04/25/47	³		15,063,438		8,896,648
Washington Mutual Mortgage Pass-Through Certificates 2002-AR18 A
2.61%		01/25/33	³		447,308		433,662
Washington Mutual Mortgage Pass-Through Certificates 2005-AR2 2A21
0.59%		01/25/45	³		1,351,366		1,128,113
Washington Mutual Mortgage Pass-Through Certificates 2006-AR7 3A1B
3.16%		07/25/46	³		10,235,094		4,273,088
Wells Fargo Home Equity Trust 2005-3 AII3
0.60%		11/25/35	³		8,711,772		8,526,364
Wells Fargo Home Equity Trust 2007-2 A1
0.35%		04/25/37	³		588,871		573,820


							400,471,429

U.S. Agency Mortgage-Backed — 19.13%
Fannie Mae (TBA)
3.50%		01/25/26			32,875,000		33,111,306
Fannie Mae 1997-76 FS
0.73%		09/17/27	³		56,877		56,324
Fannie Mae 2001-60 OF
1.21%		10/25/31			6,143,375		6,242,724
Fannie Mae 2006-B2 AB
5.50%		05/25/14			3,400,302		3,464,931
Fannie Mae 2007-64 FA
0.73%		07/25/37	³		6,259,317		6,229,271
Fannie Mae 2010-26 S (IO)
5.97%		11/25/36	³		73,482,762		9,383,117
Fannie Mae 2010-43 DP
5.00%		05/25/40			12,871,194		13,761,898
Fannie Mae 2010-95 S (IO)
6.34%		09/25/40	³		36,761,298		5,843,576


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae G92-10 Z
7.75%		01/25/22		$	14,704	$	16,663
Fannie Mae Pool 555177
2.43%		01/01/33	³		65,625		68,292
Fannie Mae Pool 555284
7.50%		10/01/17			3,946		4,293
Fannie Mae Pool 567002
8.00%		05/01/23			116,424		133,898
Fannie Mae Pool 735861
6.50%		09/01/33			52,904		59,494
Fannie Mae Pool 745383
2.64%		12/01/35	³		2,556,192		2,674,858
Fannie Mae Pool 770900
2.44%		04/01/34	³		647,476		678,341
Fannie Mae Pool 805256
3.27%		01/01/35	³		817,474		843,562
Fannie Mae Pool 890141
5.50%		12/01/20			16,066,188		17,325,700
Fannie Mae Pool 942553
5.91%		08/01/37	³		10,661,315		11,455,983
Fannie Mae Pool 995182
5.50%		06/01/20			17,972,644		19,417,475
Fannie Mae Pool 995793
5.50%		09/01/36			12,812,118		13,778,532
Fannie Mae Pool AD0538
6.00%		05/01/24			6,085,394		6,611,448
Freddie Mac 2174 PN
6.00%		07/15/29			3,022,934		3,283,751
Freddie Mac 2454 FQ
1.26%		06/15/31	³		50,735		51,767
Freddie Mac 2561 BX (IO)
5.00%		05/15/17			313,661		9,013
Freddie Mac 2657 LX (IO)
6.00%		05/15/18			29,421		2,588
Freddie Mac 3345 FP
0.46%		11/15/36			8,832,649		8,818,282
Freddie Mac 3345 PF
0.44%		05/15/36			8,762,229		8,727,894
Freddie Mac 3346 FA
0.49%		02/15/19	³		15,086,657		15,099,330
Freddie Mac 3626 MA
5.00%		02/15/30			9,400,741		9,978,030
Freddie Mac 3672 A
6.00%		05/15/40			7,954,107		8,500,017
Freddie Mac Gold (TBA)
3.50%		01/15/26			11,130,000		11,199,563
Freddie Mac Gold A45796
7.00%		01/01/33			35,120		39,906


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Gold C46104
6.50%		09/01/29		$	38,840	$	43,678
Freddie Mac Gold G13032
6.00%		09/01/22			9,459,550		10,259,177
Freddie Mac Gold G13475
6.00%		01/01/24			1,169,134		1,276,913
Freddie Mac Non Gold Pool 1B1928
2.93%		08/01/34	³		2,311,221		2,416,403
Freddie Mac Non Gold Pool 1G2627
6.01%		03/01/37	³		6,442,630		6,784,031
Freddie Mac Non Gold Pool 1J1393
6.23%		10/01/36	³		7,141,636		7,514,305
Freddie Mac Non Gold Pool 1J1509
6.35%		11/01/36	³		4,601,885		4,854,519
Freddie Mac Non Gold Pool 1L0113
3.30%		05/01/35	³		2,250,386		2,364,307
Freddie Mac Non Gold Pool 1N0371
6.18%		01/01/37	³		6,453,860		6,860,501
Freddie Mac Non Gold Pool 1Q0196
5.78%		02/01/37	³		4,755,053		5,030,199
Freddie Mac Non Gold Pool 786781
3.16%		08/01/29	³		163,420		170,825
Ginnie Mae 2003-28 LI (IO)
5.50%		02/20/32			442,124		28,440
Ginnie Mae 2009-106 XI (IO)
6.54%		05/20/37			41,644,974		5,904,237
Ginnie Mae I Pool 422972
6.50%		07/15/29			69,909		79,381
Ginnie Mae II Pool 1849
8.50%		08/20/24			1,704		2,028
Ginnie Mae II Pool 2020
8.50%		06/20/25			3,086		3,687
Ginnie Mae II Pool 2286
8.50%		09/20/26			3,298		3,948
Ginnie Mae II Pool 2487
8.50%		09/20/27			18,739		22,472
Ginnie Mae II Pool 80059
3.38%		04/20/27	³		54,577		56,307
Ginnie Mae II Pool 80589
3.50%		03/20/32	³		156,572		161,556
Ginnie Mae II Pool 80610
3.38%		06/20/32	³		38,028		39,234
Ginnie Mae II Pool 80968
2.63%		07/20/34	³		1,063,914		1,104,214
Ginnie Mae II Pool 81201
3.00%		01/20/35	³		26,980		27,762
Ginnie Mae II Pool 8599
3.38%		02/20/25	³		46,183		47,632


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
National Credit Union Administration Guaranteed Notes 2010-R1 A1
0.72%		10/07/20		$	29,077,447	$	29,041,100
National Credit Union Administration Guaranteed Notes 2010-R2 1A
0.64%		11/06/17			29,915,935		29,906,661
National Credit Union Administration Guaranteed Notes 2010-R2 2A
0.74%		11/05/20			15,159,573		15,090,882
National Credit Union Administration Guaranteed Notes 2010-R3 1A
0.83%		12/08/20			10,570,000		10,556,788
National Credit Union Administration Guaranteed Notes 2010-R3 2A
0.83%		12/08/20			8,960,000		8,948,800


							365,471,814

Total Mortgage-Backed
(Cost $983,070,718)							922,276,645

MUNICIPAL BONDS — 0.90%*
California — 0.43%
State of California, Recreational Facility Improvements, G.O., Taxable Variable Purpose 3
5.45%		04/01/15			1,715,000		1,792,587
State of California, Refunding Bonds, G.O., Taxable Variable Purpose
4.85%		10/01/14			4,500,000		4,685,310
State of California, School Improvements, G.O., Taxable Variable Purpose
5.50%		03/01/16			1,775,000		1,825,321


							8,303,218

Illinois — 0.47%
State of Illinois, Pension Funding G.O., Taxable
4.07%		01/01/14			8,900,000		8,985,084

Total Municipal Bonds
(Cost $16,966,424)							17,288,302

U.S. AGENCY SECURITIES — 11.62%
Fannie Mae
0.28%		08/23/12	³		18,620,000		18,625,467
0.29%		10/18/12			17,850,000		17,861,156
0.38%		12/03/12			3,655,000		3,660,084
Fannie Mae 1
2.00%		04/19/13			15,795,000		15,975,368
Federal Farm Credit Bank
0.28%		08/08/12			18,080,000		18,075,932
0.28%		08/20/12			16,110,000		16,105,956
Federal Home Loan Bank
0.36%		06/15/11	³		32,665,000		32,678,196


Issues	Maturity Date			Principal Amount		Value
U.S. AGENCY SECURITIES (continued)
0.50%		05/16/12		$	16,805,000	$	16,780,032
Federal Home Loan Bank (STEP)
0.75%		03/28/13			6,435,000		6,441,853
Freddie Mac
0.32%		11/07/11	³		8,880,000		8,883,197
0.32%		10/12/12			35,865,000		35,972,703
0.41%		02/03/12	³		14,440,000		14,445,863
1.25%		01/26/12			16,405,000		16,412,399

Total U.S. Agency Securities
(Cost $221,696,030)							221,918,206


U.S. TREASURY SECURITIES — 3.29%
U.S. Treasury Notes — 3.29%
U.S. Treasury Notes
1.00%		08/31/11			11,025,000		11,082,286
1.25%		10/31/15			36,590,000		35,417,986
U.S. Treasury Notes - Treasury Inflation Indexed Notes
3.38%		01/15/12	¹⁰		12,760,000		16,440,236


Total U.S. Treasury Securities
(Cost $62,795,094)							62,940,508


Total Bonds – 92.20%
(Cost $1,823,481,419)							1,761,553,645


Issues	Maturity Date			Shares/ Principal Amount		Value
SHORT-TERM INVESTMENTS — 10.09%
Commercial Paper — 1.16%
Deutsche Bank AG
0.25%¹¹		01/27/11			9,980,000		9,978,337
UBS Finance Corp.
0.23%¹¹		02/22/11			12,140,000		12,135,110


							22,113,447

Money Market Fund — 8.44%
Dreyfus Cash Advantage Fund
0.19%¹²					86,189,000		86,189,000
DWS Money Market Series-Institutional
0.17%¹²					6,415,000		6,415,000
Fidelity Institutional Money Market Funds - Prime Money Market Portfolio
0.17%¹²					60,668,000		60,668,000
Goldman Sachs Financial Square Funds - Prime Obligations Fund
0.13%^12,13					8,047,000		8,047,000


							161,319,000

Issues

Maturity
Date

Shares/
Principal
Amount

Value

SHORT-TERM INVESTMENTS (continued)

U.S. Agency Discount Notes — 0.44%

Fannie Mae

0.29%¹¹

07/01/11

8,425,000

8,417,881

U.S. Treasury Bills — 0.05%

U.S. Treasury Bills

0.18%¹¹

02/10/11

840,000

839,911

Total Short-Term Investments

(Cost $192,686,234)

192,690,239

Total Investments – 102.29%

(Cost $2,016,167,653)¹

1,954,243,884

Liabilities in Excess of Other

Assets – (2.29)%

(43,668,653

)

Net Assets – 100.00%

1,910,575,231


	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		$(24,416)		$(24,416)
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		(4,417)		(4,417)
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		(11,941)		(11,941)
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		(14,879)		(14,879)
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		(13,299)		(13,299)
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		(34,478)		(34,478)
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., 7.13%, due 02/01/16. Counterparty: Morgan Stanley
	03/20/13		–		900		(34,478)		(34,478)


	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 1.85% 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	$	(49,578)	$	(49,578)
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		(13,389)		(13,389)
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		(37,484)		2,930		(38,215)		(75,699)
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		(37,548)		2,935		(38,280)		(75,828)
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		(110,115)		(110,115)
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		41,598		1,170		44,631		86,229
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		44,089		895		21,873		65,962
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		43,842		890		21,751		65,593
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		24,319		9,950		383,138		407,457


		$	78,816	$	35,245	$	83,908	$	162,724



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 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	$	50,599	$	50,599


		$	–	$	5,500	$	50,599	$	50,599


	Expiration Date	Premiums (Received)		Notional Amount (000’s) ^b		Appreciation		Value^c
SWAPS: CREDIT DEFAULT (WRITTEN) - TRADED INDICES
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		$(3,435,988)		$5,757		$383,463		$(3,052,525)
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		(2,495,171)		3,937		407,975		(2,087,196)
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		(3,915,063)		5,905		784,268		(3,130,795)


			$(9,846,222)		$15,599		$1,575,706		$(8,270,516)


Issues	Notional Amount (000’s)			Premiums (Received)			Value
SWAPS: RATE FLOOR INFLATION
The Fund received a fixed payment equal to $115,920 and the Fund will pay to the counterparty a floating rate based on the Consumer Price Indexes-Urban at expiration of the swap 11/23/2020. Counterparty: Citigroup, Inc.
	$	(10,080	)	$	(115,920	)	$	(105,840	)


	$	(10,080	)	$	(115,920	)	$	(105,840	)

^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 $2,016,325,922 and net unrealized appreciation/(depreciation) consists of:


Gross unrealized appreciation	$	67,239,137
Gross unrealized depreciation		(129,321,175	)

Net unrealized depreciation	$	(62,082,038	)

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

³	Floating rate security. The rate disclosed is that in effect at December 31, 2010.

⁴

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

⁶	Non-income producing security.

⁷	Illiquid security as determined under procedures approved by the Fund’s Board of Trustees. The aggregate value of illiquid securities is $6,250,765, which is 0.33% of total net assets.

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,
	3.27%, 07/07/14	$	245,637	$	234,878		0.01	%
06/27/07	Cengage Learning Term
	Loan B, 2.55%, 07/03/14		721,977		684,355		0.04	%
06/04/07	Charter Communications,
	Inc. Term Loan 3rd Lien,
	2.76%, 09/06/14		501,587		483,229		0.02	%
04/25/07	Delta Air Lines, Inc. Term
	Loan 1st Lien, 1.95%,
	04/30/12		960,102		944,100		0.05	%
01/05/09	Dex Media West LLC
	Term Loan, 7.00%,
	10/24/14		496,554		683,155		0.04	%
10/22/07	HCA Term Loan A, 1.55%,
	11/17/12		5,958,004		6,000,616		0.31	%
10/31/07	TXU Energy Term Loan
	B3, 3.76%, 10/10/14		483,750		374,164		0.02	%
02/01/07	United Air Lines, Inc.,
	2.31%, 02/01/14		343,611		332,497		0.02	%

		$	9,711,222	$	9,736,994		0.51	%

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 December 31, 2010.

¹³	Securities, or a portion thereof, pledged as collateral for swaps. The total market value of collateral pledged is $8,047,000.

†

Fair valued security. The aggregate value of fair valued securities is $26,213,549, which is 1.37% 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.))

(G.O.): General Obligation

(IO): Interest only

(LIBOR): London InterBank Offer Rate

(MTN): Medium-term note

(STEP): Step coupon bond

(TBA): To be announced

(WI): When issued


Issues	Maturity Date			Principal Amount		Value
BONDS – 106.95%
ASSET-BACKED SECURITIES — 4.16%**
Aerco Ltd. 2A A3 (United Kingdom)
0.72%		07/15/25	^2,3,4	$	1,472,483	$	1,119,087
Aerco Ltd. 2A A4 (United Kingdom)
0.78%		07/15/25	^2,3,4		388,750		364,101
Aircastle Aircraft Lease Backed Trust 2007-1A G1
0.53%		06/14/37	^3,4,†		750,416		667,869
Babcock & Brown Air Funding I Ltd. 2007-1A G1 (Bermuda)
0.56%		11/14/33	^2,3,4,†		857,571		726,790
Birch Real Estate CDO Ltd. 1A A1 (Cayman Islands)
5.16%		02/10/38	^2,4,†		104,090		101,966
Discover Card Master Trust 2009-A2 A
1.56%		02/17/15	³		325,000		329,750
GE Corporate Aircraft Financing LLC 2005-1A B
0.91%		08/26/19	^3,4,†		675,000		588,935
GE SeaCo Finance SRL 2004-1A A (Barbados)
0.56%		04/17/19	^2,3,4		366,667		352,504
GE SeaCo Finance SRL 2005-1A A (Barbados)
0.51%		11/17/20	^2,3,4		565,417		523,916
Genesis Funding Ltd. 2006-1A G1 (Bermuda)
0.50%		12/19/32	^2,3,4,†		773,108		672,601
Peach Finance Co. 2000 A
4.71%		04/15/48	^4,†		788,930		816,296
SVO VOI Mortgage Corp. 2003-AA A
3.95%		02/20/19	⁴		40,929		41,581
TAL Advantage LLC 2010-2A A
4.30%		10/20/25	⁴		427,750		438,967
Terwin Mortgage Trust 2005-9HGS A1
4.00%		08/25/35	^3,4		17,827		17,378
Textainer Marine Containers Ltd. 2005-1A A (Bermuda)
0.51%		05/15/20	^2,3,4		463,750		442,021
Triton Container Finance LLC 2006-1A
0.43%		11/26/21	^3,4		665,625		616,912
Triton Container Finance LLC 2007-1A
0.40%		02/26/19	^3,4		403,646		382,066


Total Asset-Backed Securities
(Cost $7,826,759)							8,202,740

CORPORATES — 30.55%*
Banking — 6.35%
ANZ National International Ltd. (New Zealand)
6.20%		07/19/13	^2,4		600,000		660,976
BAC Capital Trust XV
1.10%		06/01/56	³		1,432,000		895,550


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Banking (continued)
Bank of America N.A.
0.60%		06/15/17	³	$	600,000	$	521,756
Barclays Bank Plc (United Kingdom)
5.20%		07/10/14	²		850,000		918,810
Capital One Financial Corp. (MTN)
5.70%		09/15/11			876,000		901,649
Credit Suisse/Guernsey 1 (Switzerland)
0.98%		05/29/49	^2,3		770,000		570,763
Credit Suisse/New York (MTN) (Switzerland)
5.00%		05/15/13	²		700,000		753,819
Credit Suisse/New York (Switzerland)
5.50%		05/01/14	²		500,000		548,745
6.00%		02/15/18	²		575,000		617,464
Deutsche Bank AG/London G (MTN) (Germany)
4.88%		05/20/13	²		760,000		815,353
Deutsche Bank Capital Funding Trust VII
5.63%		01/19/49	^3,4		120,000		108,600
HBOS Plc G (MTN) (United Kingdom)
6.75%		05/21/18	^2,4		915,000		856,428
JPMorgan Chase Bank N.A.
0.63%		06/13/16	³		600,000		569,337
6.00%		07/05/17			600,000		651,643
Lloyds Banking Group Capital No. 1 Plc (United Kingdom)
8.00%		12/29/49	^2,3		650,000		552,500
Nationsbank Capital Trust III
0.84%		01/15/27	³		616,000		437,360
Royal Bank of Scotland Plc (The) (United Kingdom)
3.95%		09/21/15	²		1,000,000		981,219
Svenska Handelsbanken AB (Sweden)
4.88%		06/10/14	^2,4		825,000		877,659
Wachovia Corp. (MTN)
5.50%		05/01/13			239,000		260,222

							12,499,853


Communications — 0.77%
Cellco Partnership/Verizon Wireless Capital LLC
5.55%		02/01/14			350,000		386,222
Qwest Corp.
7.88%		09/01/11			575,000		593,687
Telecom Italia Capital SA (Luxembourg)
6.20%		07/18/11	²		520,000		533,727

							1,513,636


Electric — 2.36%
Cedar Brakes II LLC
9.88%		09/01/13	⁴		280,927		298,912


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Electric (continued)
KCP&L Greater Missouri Operations Co.
11.88%		07/01/12		$	1,060,000	$	1,202,784
PG&E Corp.
5.75%		04/01/14			910,000		996,786
Public Service Co. of New Mexico
7.95%		05/15/18			475,000		534,585
Southwestern Electric Power Co.
6.45%		01/15/19			534,000		595,751
Texas-New Mexico Power Co.
9.50%		04/01/19	⁴		800,000		1,020,117

							4,648,935


Energy — 2.49%
CenterPoint Energy Resources Corp. B
7.88%		04/01/13			450,000		508,961
Sabine Pass LNG LP
7.25%		11/30/13			935,000		913,963
Southern Union Co.
7.20%		11/01/66	³		910,000		841,750
Tennessee Gas Pipeline Co.
8.00%		02/01/16			1,000,000		1,165,492
Valero Energy Corp.
9.38%		03/15/19			1,071,000		1,331,405
Williams Cos., Inc. (The)
7.88%		09/01/21			112,000		132,445

							4,894,016


Finance — 11.18%
Bear Stearns Cos. LLC (The)
7.25%		02/01/18			1,140,000		1,352,887
Citigroup Funding, Inc. 2
0.62%		04/30/12	³		655,000		658,534
Citigroup, Inc.
0.84%		08/25/36	³		205,000		132,225
5.50%		04/11/13			451,000		480,495
5.50%		10/15/14			371,000		400,075
6.00%		08/15/17			250,000		271,546
6.38%		08/12/14			535,000		594,002
6.50%		08/19/13			408,000		448,280
8.50%		05/22/19			300,000		373,014
Countrywide Financial Corp. (MTN)
5.80%		06/07/12			625,000		663,560
General Electric Capital Corp.
5.63%		05/01/18			730,000		787,484
General Electric Capital Corp. (MTN)
1.18%		05/22/13	³		340,000		340,328
General Electric Capital Corp. A (MTN)
0.56%		09/15/14	³		1,394,000		1,352,877


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Finance (continued)
General Electric Capital Corp. E (MTN)
0.41%		03/20/14	³	$	300,000	$	285,881
General Electric Capital Corp. G (MTN)
6.88%		01/10/39			300,000		347,860
Goldman Sachs Group, Inc. (The)
0.47%		02/06/12	³		210,000		209,791
1.06%		12/05/11	³		785,000		791,327
6.15%		04/01/18			1,100,000		1,213,098
7.50%		02/15/19			550,000		644,237
Goldman Sachs Group, Inc. (The) (MTN)
6.00%		05/01/14			250,000		275,619
Goldman Sachs Group, Inc. B (The) (MTN)
0.69%		07/22/15	³		100,000		95,920
International Lease Finance Corp.
6.50%		09/01/14	⁴		1,000,000		1,055,000
JPMorgan Chase Capital XIII M
1.25%		09/30/34	³		1,070,000		834,600
Lehman Brothers Holdings, Inc. (MTN)
0.00%		06/20/16	^3,5,6		452,000		103,960
8.92%		02/16/17	^5,6		260,000		59,800
11.00%		11/07/16	^3,5,6		502,000		115,460
Lehman Brothers Holdings, Inc. H (MTN)
0.00%		11/30/10	^3,5,6		271,000		62,330
Merrill Lynch & Co., Inc. (MTN)
8.68%		05/02/17	³		510,000		545,700
8.95%		05/18/17	³		410,000		440,750
9.57%		06/06/17	³		319,000		350,900
Morgan Stanley
0.54%		01/18/11	³		345,000		345,033
0.57%		02/10/12	³		2,140,000		2,148,059
0.65%		06/20/12	³		1,150,000		1,156,647
0.77%		10/15/15	³		187,000		175,530
6.75%		04/15/11			180,000		183,016
Morgan Stanley (MTN)
0.74%		10/18/16	³		1,185,000		1,092,985
6.25%		08/28/17			800,000		866,710
Power Receivable Finance LLC
6.29%		01/01/12			123,030		124,787
Prime Property Funding II, Inc.
5.60%		06/15/11	⁴		206,000		208,470
Prudential Holdings LLC (AGM)
1.18%		12/18/17	^3,4		500,000		435,084

							22,023,861


Health Care — 1.10%
HCA, Inc. (WI)
8.50%		04/15/19			430,000		473,000
UnitedHealth Group, Inc.
4.88%		02/15/13			760,000		809,537


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Health Care (continued)
WellPoint, Inc.
6.00%		02/15/14		$	800,000	$	889,789

							2,172,326


Insurance — 1.32%
Fairfax Financial Holdings Ltd. (Canada)
7.75%		04/26/12	²		375,000		392,813
Metropolitan Life Global Funding I
5.13%		06/10/14	⁴		800,000		870,885
Nationwide Mutual Insurance Co.
6.60%		04/15/34	⁴		440,000		390,823
Pricoa Global Funding I
5.45%		06/11/14	⁴		850,000		943,052

							2,597,573


Real Estate Investment Trust (REIT) — 3.36%
Duke Realty LP
6.25%		05/15/13			790,000		849,374
HCP, Inc.
7.07%		06/08/15			200,000		223,343
HCP, Inc. (MTN)
5.95%		09/15/11			820,000		846,628
6.30%		09/15/16			500,000		539,256
Health Care REIT, Inc.
4.70%		09/15/17			1,000,000		997,722
Shurgard Storage Centers LLC
5.88%		03/15/13			68,000		73,188
Simon Property Group LP
4.20%		02/01/15			400,000		420,287
UDR, Inc. (MTN)
5.00%		01/15/12			80,000		82,323
5.25%		01/15/15			1,000,000		1,045,303
WEA Finance LLC
7.13%		04/15/18	⁴		775,000		892,831
WEA Finance LLC/WT Finance
7.50%		06/02/14	⁴		570,000		652,514

							6,622,769


Transportation — 1.62%
Continental Airlines Pass-Through Trust 1997-4 A
6.90%		01/02/18			79,324		84,281
Continental Airlines Pass-Through Trust 1999-2 A-1
7.26%		03/15/20			392,764		425,658
Continental Airlines Pass-Through Trust 2007-1 A
5.98%		04/19/22			359,804		380,723


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Transportation (continued)
Delta Air Lines, Inc. 2001 A2
7.11%		09/18/11		$	1,202,000	$	1,241,065
JetBlue Airways Pass-Through Trust 2004-2 G1
0.66%		08/15/16	³		18,243		16,738
Northwest Airlines, Inc. 2001 1 A1
7.04%		04/01/22			193,716		204,370
Northwest Airlines, Inc. 2001 1 A2
6.84%		04/01/11			400,000		404,000
UAL Pass-Through Trust 2009-2 A
9.75%		01/15/17			380,690		438,745

							3,195,580


Total Corporates
(Cost $56,470,371)							60,168,549

BANK LOANS — 0.23%*
Health Care — 0.23%
HCA Term Loan A
1.55%		11/17/12	^3,7		455,133		449,088


Total Bank Loans
(Cost $449,926)

MORTGAGE-BACKED — 53.49%**
Commercial Mortgage-Backed — 8.69%
Bear Stearns Commercial Mortgage Securities, Inc. 2003-PWR2 A4
5.19%		05/11/39	³		40,000		42,700
Bear Stearns Commercial Mortgage Securities, Inc. 2005-T20 A4A
5.14%		10/12/42	³		950,000		1,024,777
Bear Stearns Commercial Mortgage Securities, Inc. 2006-PW13 A4
5.54%		09/11/41			470,000		505,047
Citigroup Commercial Mortgage Trust 2007-C6 A4
5.70%		12/10/49	³		40,000		42,822
Citigroup/Deutsche Bank Commercial Mortgage Trust 2007-CD4 A4
5.32%		12/11/49			1,100,000		1,141,889
Credit Suisse Mortgage Capital Certificates 2006-C5 A3
5.31%		12/15/39			175,000		182,530
First Union National Bank-Bank of America Commercial Mortgage Trust 2001-C1 A2
6.14%		03/15/33			61,747		61,694
GE Business Loan Trust 2003-2A A
0.63%		11/15/31	^3,4		822,806		750,699
Greenwich Capital Commercial Funding Corp. 2002-C1 A4
4.95%		01/11/35			1,030,000		1,078,493


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed (continued)
Greenwich Capital Commercial Funding Corp. 2003-C1 A4
4.11%		07/05/35		$	1,030,000	$	1,075,935
Greenwich Capital Commercial Funding Corp. 2004-GG1 A7
5.32%		06/10/36	³		980,000		1,057,838
Greenwich Capital Commercial Funding Corp. 2006-GG7 A4
5.88%		07/10/38	³		1,605,000		1,753,207
Greenwich Capital Commercial Funding Corp. 2007-GG9 A4
5.44%		03/10/39			1,740,000		1,835,828
JPMorgan Chase Commercial Mortgage Securities Corp. 2001-CIB3 A3
6.47%		11/15/35			966,957		992,975
JPMorgan Chase Commercial Mortgage Securities Corp. 2007-CB19 A4
5.74%		02/12/49	³		955,000		1,016,118
JPMorgan Chase Commercial Mortgage Securities Corp. 2007-LD12 A4
5.88%		02/15/51	³		465,000		493,106
Merrill Lynch/Countrywide Commercial Mortgage Trust 2006-4 A3
5.17%		12/12/49	³		760,000		787,752
Morgan Stanley Capital I 2007-IQ16 A4
5.81%		12/12/49			2,060,000		2,204,494
Nomura Asset Securities Corp. 1998-D6 A3
7.26%		03/15/30	³		965,000		1,069,291

							17,117,195


Non-Agency Mortgage-Backed — 16.65%
ABFS Mortgage Loan Trust 2002-2 A7 (STEP)
5.72%		07/15/33			1,189		1,188
Ameriquest Mortgage Securities, Inc. 2005-R6 A2
0.46%		08/25/35	³		751,746		727,557
Banc of America Funding Corp. 2003-2 1A1
6.50%		06/25/32			10,486		10,964
Bear Stearns Asset Backed Securities Trust 2002-1 1A5 (STEP)
6.89%		12/25/34			11,668		11,394
Chase Funding Mortgage Loan Asset-Backed Certificates 2004-2 1A4
5.32%		02/25/35			12,875		12,658
Chevy Chase Mortgage Funding Corp. 2004-1A A1
0.54%		01/25/35	^3,4		355,312		281,822
Chevy Chase Mortgage Funding Corp. 2005-2A A1
0.44%		05/25/36	^3,4		333,612		223,283


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Citigroup Mortgage Loan Trust, Inc. 2004-HYB1 A41
5.00%		02/25/34	³	$	36,100	$	35,757
Citigroup Mortgage Loan Trust, Inc. 2007-WFH2 A3
0.44%		03/25/37	³		1,526,500		943,176
Conseco Finance 2001-D A5
6.19%		11/15/32	³		131,476		134,593
Conseco Finance 2002-A A5 (STEP)
7.55%		04/15/32			243,420		256,732
Conseco Finance 2002-C BF2
8.00%		06/15/32	^3,4		299,301		230,815
Conseco Finance 2002-C MF2
6.98%		06/15/32	³		11,030		11,110
Conseco Finance Home Loan Trust 2000-E M1
8.13%		08/15/31	³		98,562		97,079
Conseco Financial Corp. 1996-7 M1
7.70%		10/15/27	³		1,060,000		1,086,486
Countrywide Alternative Loan Trust 2005-27 2A1
1.68%		08/25/35	³		396,880		221,656
Countrywide Alternative Loan Trust 2005-27 3A2
1.43%		08/25/35	³		38,179		19,858
Countrywide Alternative Loan Trust 2005-72 A1
0.53%		01/25/36	³		815,225		559,258
Countrywide Alternative Loan Trust 2006-OA16 A2
Countrywide Alternative Loan Trust 2006-OA16 A2
0.45%		10/25/46	³		2,329,587		1,446,962
Countrywide Asset-Backed Certificates 2004-AB1 2A3
1.30%		02/25/35	³		523,458		514,679
Countrywide Home Loan Mortgage Pass-Through Trust 2004-14 4A1
5.02%		08/25/34	³		468,702		465,995
Credit-Based Asset Servicing and Securitization LLC 2007-CB5 A1
0.32%		04/25/37	³		407,316		287,695
Deutsche ALT-A Securities, Inc. 2007-OA2 A1
1.10%		04/25/47	³		1,112,842		668,654
First Franklin Mortgage Loan Asset Backed Certificates 2006-FF18 M1
0.49%		12/25/37	³		2,326,609		70,140
Green Tree 2008-MH1 A2
8.97%		04/25/38	^3,4		900,000		1,009,038
Green Tree Home Improvement Loan Trust 1995-C B2
7.60%		07/15/20			23		21


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Green Tree Home Improvement Loan Trust 1997-E HEB1
7.53%		01/15/29		$	431,082	$	425,859
GSR Mortgage Loan Trust 2004-9 5A7
3.83%		08/25/34	³		1,469,000		1,357,131
HSBC Home Equity Loan Trust 2006-4 A3V
0.41%		03/20/36	³		1,500,000		1,425,422
HSBC Home Equity Loan Trust 2007-2 M1
0.57%		07/20/36	³		1,110,000		711,311
IndyMac Index Mortgage Loan Trust 2004-AR6 6A1
5.51%		10/25/34	³		183,507		167,818
IndyMac Index Mortgage Loan Trust 2004-AR8 2A2A
0.66%		11/25/34	³		56,677		38,837
IndyMac Index Mortgage Loan Trust 2007-AR5 1A1
5.09%		05/25/37	³		20,737		10,418
IndyMac Manufactured Housing Contract 1997-1 A3
6.61%		02/25/28			502,358		461,968
IndyMac Manufactured Housing Contract 1997-1 A4
6.75%		02/25/28			166,429		153,807
JPMorgan Mortgage Acquisition Corp. 2006-FRE1 A3
0.45%		05/25/35	³		976,331		901,791
Keystone Owner Trust 1998-P1 M2
7.93%		05/25/25	⁴		17,558		17,558
Lehman ABS Manufactured Housing Contract Trust 2001-B A5
5.87%		05/15/22			331,005		335,273
Lehman XS Trust 2007-12N 1A3A
0.46%		07/25/47	^3,†		4,500,000		1,439,993
Lehman XS Trust 2007-14H A12
0.76%		07/25/47	³		7,828,605		723,907
MASTR Adjustable Rate Mortgages Trust 2004-1 2A1
4.49%		01/25/34	³		3,345		3,065
MASTR Asset Securitization Trust 2002-8 1A1
5.50%		12/25/17			7,545		7,795
MASTR Seasoned Securities Trust 2004-1 4A1
2.99%		10/25/32	³		4,183		4,032
MASTR Seasoned Securities Trust 2004-2 A2
6.50%		08/25/32			113,245		117,950
MASTR Seasoned Securities Trust 2005-1 4A1
2.94%		10/25/32	³		8,161		8,035


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Merrill Lynch First Franklin Mortgage Loan Trust 2007-3 A2C
0.44%		06/25/37	³	$	811,700	$	389,230
Merrill Lynch First Franklin Mortgage Loan Trust 2007-3 A2D
0.51%		06/25/37	³		1,500,000		726,429
Mid-State Trust 11 A1
4.86%		07/15/38			1,320,093		1,323,030
Mid-State Trust 2004-1 A
6.01%		08/15/37			311,330		307,868
Mid-State Trust 2004-1 B
8.90%		08/15/37			862,145		818,490
Mid-State Trust 2005-1 M2
7.08%		01/15/40			1,046,219		935,409
Morgan Stanley ABS Capital I 2004-NC7 M2
0.88%		07/25/34	³		2,000,000		1,778,062
Nationstar Home Equity Loan Trust 2006-B AV4
0.54%		09/25/36	³		2,450,000		1,445,613
Oakwood Mortgage Investors, Inc. 1998-B A4
6.35%		03/15/17			30,991		31,084
Option One Mortgage Loan Trust 2007-6 2A4
0.51%		07/25/37	³		2,159,800		926,687
Residential Accredit Loans, Inc. 2003-QS17 NB1
5.25%		09/25/33			9,368		9,368
Residential Asset Mortgage Products, Inc. 2002-RS4 AI5 (STEP)
6.16%		08/25/32			2,220		1,254
Residential Asset Mortgage Products, Inc. 2003-RS1 AI5 (STEP)
5.69%		03/25/33			15,836		8,500
Residential Asset Mortgage Products, Inc. 2003-SL1 A41
8.00%		04/25/31			65,064		67,023
Residential Asset Securitization Trust 2004-IP2 2A1
2.79%		12/25/34	³		113,987		110,956
Residential Funding Mortgage Securities II, Inc. 2003-HS2 AI4 (STEP)
3.87%		07/25/33			20,994		19,547
Resmae Mortgage Loan Trust 2006-1 A1B
0.53%		02/25/36	^3,4		115,746		9,965
Securitized Asset Backed Receivables LLC Trust 2006-HE2 A2C
0.41%		07/25/36	³		2,700,000		935,091
SG Mortgage Securities Trust 2006-FRE1 A1B
0.53%		02/25/36	³		83,556		54,066
Soundview Home Equity Loan Trust 2006-WF2 A2C
0.40%		12/25/36	³		1,680,000		1,453,030


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Soundview Home Equity Loan Trust 2007-OPT1 2A2
0.41%		06/25/37	³	$	1,872,000	$	850,246
Structured Asset Mortgage Investments, Inc. 2005-AR3 1A1
0.53%		08/25/35	³		1,383,539		899,997
Structured Asset Mortgage Investments, Inc. 2005-AR8 A2
1.81%		02/25/36	³		1,522,619		1,064,053
UCFC Home Equity Loan 1998-D BF1
8.97%		04/15/30	³		3,657		1,585
UCFC Home Equity Loan 1998-D MF1
6.91%		04/15/30			118,429		112,190
Washington Mutual Alternative Mortgage Pass-Through Certificates 2007-OA3 4A1
1.10%		04/25/47	³		812,244		479,721
Washington Mutual Mortgage Pass-Through Certificates 2002-AR18 A
2.61%		01/25/33	³		24,660		23,908
Wells Fargo Home Equity Trust 2006-1 A3
0.41%		05/25/36	³		381,393		376,594

							32,799,536


U.S. Agency Mortgage-Backed — 28.15%
Fannie Mae 1989-25 G
6.00%		06/25/19			3,726		4,113
Fannie Mae 1992-116 B
6.50%		06/25/22			571		629
Fannie Mae 1993-225 SG
26.33%		12/25/13	³		84,356		103,715
Fannie Mae 1993-80 S
10.53%		05/25/23	³		24,109		27,513
Fannie Mae 2001-52 YZ
6.50%		10/25/31			603,221		678,981
Fannie Mae 2003-27 SG (IO)
7.39%		04/25/17	³		5,071,813		343,697
Fannie Mae 2003-W6 5T (IO)
0.55%		09/25/42	³		39,524,443		764,968
Fannie Mae 2007-64 FA
0.73%		07/25/37	³		1,009,929		1,005,081
Fannie Mae 2008-50 SA (IO)
5.79%		11/25/36	³		8,805,226		1,188,328
Fannie Mae Pool 253974
7.00%		08/01/31			25,978		29,186
Fannie Mae Pool 254232
6.50%		03/01/22			37,830		41,865
Fannie Mae Pool 527247
7.00%		09/01/26			146		165
Fannie Mae Pool 545191
7.00%		09/01/31			11,828		13,289


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool 545646
7.00%		09/01/26		$	96	$	108
Fannie Mae Pool 549740
6.50%		10/01/27			48,998		54,715
Fannie Mae Pool 555177
2.43%		01/01/33	³		34,907		36,325
Fannie Mae Pool 555284
7.50%		10/01/17			1,875		2,039
Fannie Mae Pool 606108
7.00%		03/01/31			1,834		2,083
Fannie Mae Pool 630599
7.00%		05/01/32			18,437		21,031
Fannie Mae Pool 655928
7.00%		08/01/32			12,387		14,123
Fannie Mae Pool 735207
7.00%		04/01/34			9,504		10,716
Fannie Mae Pool 735646
4.50%		07/01/20			24,570		26,006
Fannie Mae Pool 735686
6.50%		12/01/22			211,394		232,144
Fannie Mae Pool 735861
6.50%		09/01/33			306,690		344,895
Fannie Mae Pool 764388
5.03%		03/01/34	³		269,936		287,464
Fannie Mae Pool 765387
6.00%		08/01/34			19,870		22,047
Fannie Mae Pool 770869
2.45%		04/01/34	³		413,285		431,267
Fannie Mae Pool 776708
5.00%		05/01/34			857,151		911,523
Fannie Mae Pool 789606
6.00%		08/01/34			14,904		16,537
Fannie Mae Pool 817611
5.31%		11/01/35	³		174,014		185,390
Fannie Mae Pool 844773
5.11%		12/01/35	³		12,108		12,903
Fannie Mae Pool 889125
5.00%		12/01/21			1,089,579		1,165,381
Fannie Mae Pool 889184
5.50%		09/01/36			1,124,067		1,208,504
Fannie Mae Pool 895606
5.75%		06/01/36	³		414,075		440,673
Fannie Mae Pool 918445
5.78%		05/01/37	³		36,568		38,855
Fannie Mae Pool 939419
5.62%		05/01/37	³		517,270		551,699
Fannie Mae Pool AD0791
4.76%		02/01/20			1,002,190		1,060,831


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool AE0600
3.97%		11/01/20		$	1,058,746	$	1,067,241
Fannie Mae Pool AE0605
4.67%		07/01/20			1,008,940		1,086,755
Freddie Mac 1602 SN
10.09%		10/15/23	³		14,590		16,660
Freddie Mac 1688 W
7.25%		03/15/14			4,314		4,417
Freddie Mac 2174 PN
6.00%		07/15/29			217,833		236,627
Freddie Mac 2561 BX (IO)
5.00%		05/15/17			67,909		1,951
Freddie Mac 2929 PE
5.00%		05/15/33			55,000		58,844
Freddie Mac Gold (TBA)
3.50%		01/15/26			9,035,000		9,091,469
Freddie Mac Gold A25162
5.50%		05/01/34			1,051,565		1,126,941
Freddie Mac Gold A33262
5.50%		02/01/35			158,812		172,243
Freddie Mac Gold A68781
5.50%		10/01/37			39,928		43,046
Freddie Mac Gold C90504
6.50%		12/01/21			4,750		5,261
Freddie Mac Gold E01279
5.50%		01/01/18			7,080		7,636
Freddie Mac Gold E90474
6.00%		07/01/17			13,643		14,893
Freddie Mac Gold G01548
7.50%		07/01/32			847,024		989,152
Freddie Mac Gold G01601
4.00%		09/01/33			23,896		24,024
Freddie Mac Gold G01611
4.00%		09/01/33			9,168		9,218
Freddie Mac Gold G01644
5.50%		02/01/34			942,027		1,012,276
Freddie Mac Gold G01673
5.50%		04/01/34			74,430		80,725
Freddie Mac Gold G02366
6.50%		10/01/36			638,395		709,317
Freddie Mac Gold G03436
6.00%		11/01/37			1,358,341		1,486,375
Freddie Mac Gold G03601
6.00%		07/01/37			25,340		27,705
Freddie Mac Gold G03640
5.50%		12/01/37			990,680		1,070,129
Freddie Mac Gold G11707
6.00%		03/01/20			12,024		13,125


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Gold G12393
5.50%		10/01/21		$	987,093	$	1,061,857
Freddie Mac Gold G12909
6.00%		11/01/22			883,980		966,231
Freddie Mac Gold G13032
6.00%		09/01/22			757,263		821,275
Freddie Mac Gold J06246
5.50%		10/01/21			582,052		625,706
Freddie Mac Gold Pool A94843
4.00%		11/01/40			2,560,373		2,545,164
Freddie Mac Non Gold Pool 1B3413
5.87%		05/01/37	³		764,992		819,447
Freddie Mac Non Gold Pool 1J0045
5.14%		01/01/36	³		16,751		17,855
Freddie Mac Pool J13884
3.50%		12/01/25			2,785,000		2,806,758
Freddie Mac R001 AE
4.38%		04/15/15			435,064		443,759
Ginnie Mae 2003-28 LI (IO)
5.50%		02/20/32			49,934		3,212
Ginnie Mae 2004-8 SE
13.78%		11/26/23	³		154,169		177,099
Ginnie Mae I (TBA)
4.00%		01/15/41			3,670,000		3,696,378
Ginnie Mae I Pool 782810
4.50%		11/15/39			2,789,456		2,920,974
Ginnie Mae II (TBA)
4.00%		01/20/41			4,215,000		4,240,716
Ginnie Mae II Pool 80968
2.63%		07/20/34	³		75,907		78,782
National Credit Union Administration Guaranteed Notes 2010-C1 A2
2.90%		10/29/20			1,100,000		1,071,232
National Credit Union Administration Guaranteed Notes 2010-R2 1A
0.64%		11/06/17	³		2,347,311		2,346,583
National Credit Union Administration Guaranteed Notes 2010-R2 2A
0.74%		11/05/20	³		1,184,497		1,179,130

							55,456,977

Total Mortgage-Backed
(Cost $100,814,164)							105,373,708

MUNICIPAL BONDS — 0.98%*
California — 0.57%
State of California, Recreational Facility Improvements, G.O., Taxable Variable Purpose 3
5.95%		04/01/16			225,000		236,097


Issues	Maturity Date			Principal Amount		Value
MUNICIPAL BONDS (continued)
California (continued)
State of California, Refunding Bonds, G.O., Taxable Variable Purpose
6.20%		10/01/19		$	866,000	$	878,133

							1,114,230

Illinois — 0.41%
State of Illinois, Pension Funding G.O., Taxable
4.07%		01/01/14			800,000		807,648


Total Municipal Bonds
(Cost $1,906,159)							1,921,878

U.S. AGENCY SECURITIES — 3.37%
U.S. Agency Securities — 3.37%
Federal Home Loan Bank
0.60%		06/04/12			2,245,000		2,245,000
Freddie Mac
0.32%		10/12/12	³		4,390,000		4,403,183

							6,648,183


Total U.S. Agency Securities
(Cost $6,635,000)							6,648,183


U.S. TREASURY SECURITIES — 14.17%
U.S. Treasury Notes — 14.17%
U.S. Treasury Notes
1.88%		08/31/17			2,400,000		2,291,438
3.00%		09/30/16			1,235,000		1,281,024
3.13%		04/30/17			15,870,000		16,446,525
3.63%		02/15/20			2,755,000		2,859,605
U.S. Treasury Notes - Treasury Inflation Indexed Notes
2.00%		01/15/16	⁸		1,699,000		2,041,023
3.38%		01/15/12	⁸		1,490,000		1,919,745
3.50%		01/15/11	⁸		855,000		1,075,863


Total U.S. Treasury Securities
(Cost $28,859,339)							27,915,223


Total Bonds – 106.95%
(Cost $202,961,718)							210,679,369


Issues	Maturity Date			Shares/ Principal Amount		Value
SHORT-TERM INVESTMENTS — 1.75%
Money Market Fund — 1.60%
Dreyfus Cash Advantage Fund
0.19%⁹					1,601,000		1,601,000


Issues	Maturity Date			Shares/ Principal Amount		Value
SHORT-TERM INVESTMENTS (continued)
Money Market Fund (continued)
DWS Money Market Series-Institutional
0.17%⁹				$	792,000	$	792,000
Goldman Sachs Financial Square Funds - Prime Obligations Fund
0.13%^9,10					758,000		758,000

							3,151,000

U.S. Treasury Bills — 0.15%
U.S. Treasury Bills
0.18%¹¹		02/10/11	¹²		285,000		284,970

Total Short-Term Investments
(Cost $3,435,946)							3,435,970


Total Investments – 108.70%
(Cost $206,397,664)¹							214,115,339


Liabilities in Excess of Other Assets – (8.70)%							(17,133,536	)

Net Assets – 100.00%						$	196,981,803


Issues	Contracts		Premiums (Received)			Value
WRITTEN PUT OPTIONS
U.S. Long Bond (CBT), Call
Strike $118, expires 02/18/11		(15)	$	(18,718	)	$	(9,141	)
U.S. Long Bond (CBT), Call
Strike $122, expires 02/18/11		(15)		(15,905	)		(35,156	)
U.S. Long Bond (CBT), Call
Strike $123, expires 02/18/11		(15)		(12,389	)		(45,703	)

Total Written Put Options			$	(47,012	)	$	(90,000	)


Contracts	Unrealized (Depreciation)
FUTURES CONTRACTS: SHORT POSITIONS
3	Euro Dollar Ninety Day, Expiration March 2011	$	(15,008	)
3	Euro Dollar Ninety Day, Expiration June 2011		(17,107	)
2	Euro Dollar Ninety Day, Expiration September 2011		(12,505	)
2	Euro Dollar Ninety Day, Expiration December 2011		(13,180	)
2	Euro Dollar Ninety Day, Expiration March 2012		(13,130	)
2	Euro Dollar Ninety Day, Expiration June 2012		(12,805	)

	Net unrealized depreciation	$	(83,735	)


	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	$	(1,436	)	$	(1,436	)
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		(353	)		(353	)
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		(760	)		(760	)
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		(1,827	)		(1,827	)
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		(1,757	)		(1,757	)
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		(2,873	)		(2,873	)
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		(2,873	)		(2,873	)
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		(2,479	)		(2,479	)
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		(13,451	)		(13,451	)
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		(9,738	)		(9,738	)
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		(10,230	)		(10,230	)
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		(3,905	)		(3,905	)
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	(3,326)		260		(3,391	)		(6,717	)


	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 Target Corp., 4.00%, due 06/15/13. Counterparty: Deutsche Bank AG
		12/20/14	$	(3,390	)	$	265	$	(3,457	)	$	(6,847	)
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		(9,176	)		(9,176	)
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		6,222			175		6,676			12,898
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		6,650			135		3,300			9,950
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		6,650			135		3,300			9,950
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		309			125		4,806			5,115
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		1,528			625		24,066			25,594

			$	14,643		$	3,660	$	(25,558	)	$	(10,915	)


	Expiration Date	Premiums Paid		Notional Amount (000’s) ^b		(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	$	645,129	$	1,120	$	(556,223	)	$	88,906
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		18,077		215		(1,010	)		17,067
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		23,577		250		(3,732	)		19,845
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		1,085,741		1,840		(939,682	)		146,059

		$	1,772,524	$	3,425	$	(1,500,647	)	$	271,877


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 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	$	7,360	$	7,360

			$	–	$	800	$	7,360	$	7,360


	Expiration Date	Premiums Paid			Notional Amount (000’s) ^b		(Depreciation)		Value^c
SWAPS: CREDIT DEFAULT (WRITTEN) - TRADED INDICES
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	$	(1,350,901	)	$	2,263	$	149,328	$	(1,201,573	)
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		(92,730	)		148		14,366		(78,364	)

		$	(1,443,631	)	$	2,411	$	163,694	$	(1,279,937	)


Issues	Notional Amount (000’s)			Premiums (Received)			Value
SWAPS: RATE FLOOR INFLATION
The Fund received a fixed payment equal to $13,685 and the Fund will pay to the counterparty a floating rate based on the Consumer Price Indexes-Urban at expiration of the swap 11/23/2020. Counterparty: Citigroup, Inc.
	$	(1,190	)	$	(13,685	)	$	(12,495	)

	$	(1,190	)	$	(13,685	)	$	(12,495	)

^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 $206,821,453 and net unrealized appreciation/(depreciation) consists of:


Gross unrealized appreciation	$	14,732,214
Gross unrealized depreciation		(7,438,328	)

Net unrealized appreciation	$	7,293,886

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

³	Floating rate security. The rate disclosed is that in effect at December 31, 2010.

⁴

⁵	Security is currently in default with regard 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, 1.55%, 11/17/12	$	449,926	$	449,088		0.23%

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

⁹	Represents the current yield as of December 31, 2010.

¹⁰	Securities, or a portion thereof, pledged as collateral for swaps. The total market value of collateral pledged is $758,000.

¹¹	Represents annualized yield at date of purchase.

¹²	Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $213,379.

^†

Fair valued security. The aggregate value of fair valued securities is $5,014,450, which is 2.55% 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.

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

(Financial Security Assurance, Inc.))

(G.O.): General Obligation

(IO): Interest only

(LIBOR): London InterBank Offer Rate

(MTN): Medium-term note

(STEP): Step coupon bond

(TBA): To be announced

(WI): When issued


Issues	Maturity Date			Principal Amount		Value
BONDS – 107.03%
ASSET-BACKED SECURITIES — 2.36%**
Aerco Ltd. 2A A3 (United Kingdom)
0.72%		07/15/25	^2,3,4	$	71,333,904	$	54,213,767
Aircastle Aircraft Lease Backed Trust 2007-1A G1
0.53%		06/14/37	^3,4,†		32,068,360		28,540,790
Babcock & Brown Air Funding I Ltd. 2007-1A G1 (Bermuda)
0.56%		11/14/33	^2,3,4,†		43,054,460		36,488,588
Birch Real Estate CDO Ltd. 1A A1 (Cayman Islands)
5.16%		02/10/38	^2,4,†		384,332		376,489
Discover Card Master Trust 2009-A2 A
1.56%		02/17/15	³		7,275,000		7,381,337
GE SeaCo Finance SRL 2004-1A A (Barbados)
0.56%		04/17/19	^2,3,4		9,633,333		9,261,254
GE SeaCo Finance SRL 2005-1A A (Barbados)
0.51%		11/17/20	^2,3,4		40,609,209		37,628,550
Genesis Funding Ltd. 2006-1A G1 (Bermuda)
0.50%		12/19/32	^2,3,4,†		38,370,296		33,382,038
Green Tree Recreational Equipment & Consumer Trust 1996-D Certificates
7.24%		12/15/22			101,859		73,030
GSC Partners Gemini Fund Ltd. 1A A (Cayman Islands)
0.94%		10/10/14	^2,3,4,†		2,786,381		2,688,853
PAMCO CLO 1998-1A B2 (Cayman Islands)
1.64%		10/31/10	^2,3,4,5,†		904,543		18,085
TAL Advantage LLC 2010-2A A
4.30%		10/20/25	⁴		11,170,667		11,463,585
Textainer Marine Containers Ltd. 2005-1A A (Bermuda)
0.51%		05/15/20	^2,3,4		3,422,917		3,262,536
Triton Container Finance LLC 2006-1A
0.43%		11/26/21	^3,4		30,740,634		28,490,905
Triton Container Finance LLC 2007-1A
0.40%		02/26/19	^3,4		22,545,312		21,340,004

Total Asset-Backed Securities
(Cost $261,442,838)							274,609,811

CORPORATES — 23.10%*
Banking — 4.11%
Ally Financial, Inc.
2.50%		12/01/14	³		9,009,000		8,209,451
BAC Capital Trust XV
1.10%		06/01/56	³		14,490,000		9,061,814
Bank of America Corp.
5.63%		07/01/20			6,590,000		6,730,743
5.75%		12/01/17			1,145,000		1,193,210
5.88%		01/05/21			20,000,000		20,604,776


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Banking (continued)
6.50%		08/01/16		$	3,045,000	$	3,307,984
Bank of America N.A.
0.60%		06/15/17	³		14,740,000		12,817,801
6.10%		06/15/17			30,115,000		31,503,783
Bank One Corp. (STEP)
8.53%		03/01/19			1,485,000		1,745,065
BankAmerica Capital II
8.00%		12/15/26			800,000		811,000
BankAmerica Capital III
0.86%		01/15/27	³		4,795,000		3,421,261
BankAmerica Institutional Capital A
8.07%		12/31/26	⁴		350,000		354,813
Barclays Bank Plc (United Kingdom)
5.20%		07/10/14	²		12,079,000		13,056,831
Capital One Financial Corp.
7.38%		05/23/14			3,710,000		4,224,926
Capital One Financial Corp. (MTN)
5.70%		09/15/11			200,000		205,856
Chase Capital VI
0.91%		08/01/28	³		3,640,000		2,839,200
City National Corp.
5.13%		02/15/13			6,200,000		6,491,846
Credit Suisse USA, Inc.
5.13%		08/15/15			15,000		16,400
Credit Suisse/Guernsey 1 (Switzerland)
0.98%		05/29/49	^2,3		21,793,000		16,154,061
Credit Suisse/New York (MTN) (Switzerland)
5.00%		05/15/13	²		14,868,000		16,011,126
Credit Suisse/New York (Switzerland)
5.50%		05/01/14	²		11,790,000		12,939,407
6.00%		02/15/18	²		36,420,000		39,109,653
Deutsche Bank AG/London G (MTN) (Germany)
4.88%		05/20/13	²		14,320,000		15,362,969
Discover Bank
8.70%		11/18/19			15,260,000		17,991,464
First Chicago NBD Institutional Capital I
0.84%		02/01/27	³		5,355,000		4,248,545
Fleet Capital Trust II
7.92%		12/11/26			770,000		779,625
HBOS Capital Funding LP (United Kingdom)
6.07%		06/24/49	^2,3,4		5,823,000		4,803,975
HBOS Plc G (MTN) (United Kingdom)
6.75%		05/21/18	^2,4		29,123,000		27,258,732
JPMorgan Chase & Co.
4.25%		10/15/20			9,125,000		8,932,657
5.50%		10/15/40			10,760,000		11,046,718
JPMorgan Chase & Co. C (MTN)
0.77%		07/23/13	³		2,500,000		2,434,750


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Banking (continued)
JPMorgan Chase Bank N.A.
6.00%		10/01/17		$	37,407,000	$	41,525,997
Lloyds Banking Group Capital No. 1 Plc (United Kingdom)
8.00%		12/29/49	^2,3		27,727,000		23,567,950
M&T Capital Trust III
9.25%		02/01/27			10,200,000		10,566,466
National Australia Bank Ltd. (Australia)
5.35%		06/12/13	^2,4		20,425,000		22,203,495
National Capital Trust II
5.49%		12/29/49	^3,4		2,717,000		2,619,848
Nationsbank Capital Trust II
7.83%		12/15/26			5,625,000		5,667,187
Nationsbank Capital Trust III
0.84%		01/15/27	³		8,684,000		6,165,640
Nationsbank Capital Trust IV
8.25%		04/15/27			3,464,000		3,533,280
Royal Bank of Scotland Plc (The) (United Kingdom)
3.95%		09/21/15	²		10,953,000		10,747,295
Royal Bank of Scotland Plc (The) 1 (United Kingdom)
2.70%		08/23/13	^2,3		10,830,000		11,004,948
Svenska Handelsbanken AB (Sweden)
4.88%		06/10/14	^2,4		23,240,000		24,723,386
Wachovia Corp.
0.63%		10/28/15	³		13,165,000		12,157,530
Wachovia Corp. (MTN)
5.50%		05/01/13			35,000		38,108

							478,191,572

Communications — 0.47%
Cincinnati Bell, Inc.
8.25%		10/15/17			1,000,000		995,000
Comcast Cable Communications LLC
6.75%		01/30/11			75,000		75,310
Frontier Communications Corp.
7.13%		03/15/19			1,825,000		1,884,313
Intelsat Corp.
9.25%		06/15/16			22,223,000		24,111,955
Intelsat Jackson Holdings SA (Luxembourg)
9.50%		06/15/16	²		500,000		530,000
Qwest Communications International, Inc. B
7.50%		02/15/14			7,000,000		7,122,500
Qwest Corp.
7.88%		09/01/11			19,150,000		19,772,375

							54,491,453


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Electric — 2.43%
Cedar Brakes I LLC
8.50%		02/15/14	⁴	$	4,929,460	$	5,210,873
Cedar Brakes II LLC
9.88%		09/01/13	⁴		5,603,496		5,962,222
Cleco Power LLC
6.65%		06/15/18			17,775,000		20,075,725
Coso Geothermal Power Holdings
7.00%		07/15/26	⁴		29,465,729		25,635,184
Dynegy Holdings, Inc.
6.88%		04/01/11			725,000		726,813
Dynegy Roseton/Danskammer Pass-Through Trust B
7.67%		11/08/16			54,205,000		50,952,700
Entergy Gulf States Louisiana LLC
6.00%		05/01/18			17,500,000		19,260,587
FPL Energy National Wind Portfolio LLC
6.13%		03/25/19	⁴		332,954		316,539
FPL Energy Wind Funding LLC
6.88%		06/27/17	⁴		1,504,200		1,468,475
Kansas City Power & Light Co.
6.38%		03/01/18			3,982,000		4,491,780
KCP&L Greater Missouri Operations Co.
7.95%		02/01/11			7,375,000		7,412,185
11.88%		07/01/12			23,934,000		27,157,958
Midwest Generation LLC B
8.56%		01/02/16			9,395,802		9,395,802
Mirant Mid Atlantic Pass-Through Trust A
8.63%		06/30/12			7,548,528		7,680,628
Mirant Mid Atlantic Pass-Through Trust B
9.13%		06/30/17			19,340,232		20,790,749
Mirant Mid Atlantic Pass-Through Trust C
10.06%		12/30/28			1,948,589		2,162,934
NextEra Energy Capital Holdings, Inc.
1.18%		06/17/11	³		1,000,000		1,003,708
5.35%		06/15/13			955,000		1,038,209
NRG Energy, Inc.
7.25%		02/01/14			1,845,000		1,886,513
7.38%		02/01/16			19,825,000		20,370,187
Public Service Co. of New Hampshire
6.00%		05/01/18			5,000,000		5,536,020
Public Service Co. of New Mexico
7.95%		05/15/18			17,924,000		20,172,440
PVNGS II Funding Corp., Inc.
8.00%		12/30/15			97,000		101,385
Reliant Energy Mid-Atlantic Power Holdings LLC B
9.24%		07/02/17			13,344,087		14,428,294
Southwestern Electric Power Co.
6.45%		01/15/19			275,000		306,800


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Electric (continued)
Virginia Electric & Power Co.
5.10%		11/30/12		$	9,295,000	$	9,994,384

							283,539,094

Energy — 2.45%
Allis-Chalmers Energy, Inc.
8.50%		03/01/17			1,000,000		1,022,500
Atlas Energy Operating Co. LLC/Atlas Energy Finance Corp.
10.75%		02/01/18			1,000,000		1,226,250
CenterPoint Energy Resources Corp. B
7.88%		04/01/13			170,000		192,274
Comstock Resources, Inc.
6.88%		03/01/12			850,000		853,187
El Paso Pipeline Partners Operating Co. LLC
4.10%		11/15/15			46,175,000		45,940,754
Florida Gas Transmission, Co. LLC
5.45%		07/15/20	⁴		12,430,000		12,969,251
Hilcorp Energy I LP/Hilcorp Finance Co.
7.75%		11/01/15	⁴		2,175,000		2,256,563
Massey Energy Co.
6.88%		12/15/13			1,500,000		1,526,250
OPTI Canada, Inc. (Canada)
7.88%		12/15/14	²		750,000		528,750
Panhandle Eastern Pipeline Co. LP
6.20%		11/01/17			2,250,000		2,400,511
8.13%		06/01/19			2,100,000		2,424,358
Premcor Refining Group, Inc. (The)
6.13%		05/01/11			4,275,000		4,341,344
Sabine Pass LNG LP
7.25%		11/30/13			40,731,000		39,814,553
7.50%		11/30/16			18,530,000		17,464,525
7.50%		11/30/16	⁴		15,768,000		13,994,100
Sonat, Inc.
7.63%		07/15/11			1,600,000		1,646,976
Southern Union Co.
7.20%		11/01/66	³		53,278,000		49,282,150
Tennessee Gas Pipeline Co.
8.00%		02/01/16			6,710,000		7,820,451
Tesoro Corp.
6.50%		06/01/17			1,175,000		1,183,813
Valero Energy Corp.
7.50%		04/15/32			20,000,000		21,810,200
9.38%		03/15/19			17,258,000		21,454,145
10.50%		03/15/39			3,575,000		4,758,640
Williams Cos., Inc. (The)
7.88%		09/01/21			21,337,000		25,232,027
8.75%		03/15/32			4,185,000		5,133,731

							285,277,303


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Finance — 8.63%
Alta Wind Holdings LLC
7.00%		06/30/35	⁴	$	15,625,000	$	16,672,656
Astoria Depositor Corp.
8.14%		05/01/21	⁴		14,575,000		14,575,000
BankBoston Capital Trust III
1.05%		06/15/27	³		16,705,000		11,860,550
Barnett Capital III
0.91%		02/01/27	³		3,150,000		2,231,605
Bear Stearns Cos. LLC (The)
4.65%		07/02/18			4,330,000		4,484,981
7.25%		02/01/18			20,580,000		24,423,171
Cantor Fitzgerald LP
6.38%		06/26/15	⁴		16,475,000		16,673,820
Chase Capital II B
0.79%		02/01/27	³		6,700,000		5,226,000
CIT Group, Inc.
7.00%		05/01/13			19,000,000		19,427,500
Citigroup Capital III
7.63%		12/01/36			7,438,000		7,719,815
Citigroup Funding, Inc. 2
0.62%		04/30/12	³		30,870,000		31,036,575
Citigroup, Inc.
0.57%		11/05/14	³		14,309,000		13,616,874
0.84%		08/25/36	³		17,538,000		11,312,010
4.59%		12/15/15			4,650,000		4,853,014
5.30%		10/17/12			50,000		52,975
5.38%		08/09/20			23,090,000		24,035,582
5.50%		08/27/12			100,000		106,058
6.00%		08/15/17			23,348,000		25,360,247
6.13%		11/21/17			55,000		60,359
6.13%		05/15/18			2,850,000		3,126,915
6.38%		08/12/14			3,950,000		4,385,620
6.88%		03/05/38			17,767,000		19,771,757
8.13%		07/15/39			23,993,000		30,620,083
Countrywide Capital III B
8.05%		06/15/27			3,000,000		3,146,250
Countrywide Financial Corp. (MTN)
5.80%		06/07/12			3,605,000		3,827,415
Countrywide Home Loans, Inc. L (MTN)
4.00%		03/22/11			1,600,000		1,611,750
Discover Financial Services
10.25%		07/15/19			4,515,000		5,656,889
General Electric Capital Corp.
1.88%		09/16/13			5,400,000		5,412,838
4.38%		09/16/20			30,635,000		30,235,036
General Electric Capital Corp. (MTN)
0.44%		06/20/14	³		1,250,000		1,212,011
0.49%		01/08/16	³		6,000,000		5,669,287
0.56%		08/07/18	³		22,453,000		19,927,037


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Finance (continued)
0.67%		05/05/26	³	$	5,820,000	$	4,846,873
5.38%		10/20/16			5,880,000		6,355,559
General Electric Capital Corp. A (MTN)
6.75%		03/15/32			18,998,000		21,571,659
General Electric Capital Corp. E (MTN)
0.41%		03/20/14	³		30,100,000		28,683,434
General Electric Capital Corp. G (MTN)
6.88%		01/10/39			9,181,000		10,645,682
Goldman Sachs Group, Inc. (The)
0.47%		02/06/12	³		1,305,000		1,303,704
0.75%		03/22/16	³		6,255,000		5,915,060
0.79%		01/12/15	³		3,050,000		2,951,247
1.06%		12/05/11	³		30,365,000		30,609,712
5.95%		01/18/18			100,000		108,645
6.00%		06/15/20			21,330,000		23,024,174
6.15%		04/01/18			31,176,000		34,381,392
7.50%		02/15/19			43,271,000		50,685,053
Goldman Sachs Group, Inc. (The) (MTN)
6.00%		05/01/14			6,000,000		6,614,844
Goldman Sachs Group, Inc. B (The) (MTN)
0.69%		07/22/15	³		1,940,000		1,860,852
International Lease Finance Corp.
6.50%		09/01/14	⁴		24,060,000		25,383,300
6.75%		09/01/16	⁴		36,450,000		39,092,625
JPMorgan Chase Capital XIII M
1.25%		09/30/34	³		5,199,000		4,055,220
JPMorgan Chase Capital XXI U
1.24%		02/02/37	³		2,000,000		1,520,000
JPMorgan Chase Capital XXIII
1.29%		05/15/47	³		17,280,000		13,437,118
JPMorgan Chase Capital XXVII AA
7.00%		11/01/39			11,225,000		11,790,179
Lehman Brothers Holdings, Inc. (MTN)
0.00%		06/20/16	^3,6,7		12,736,000		2,929,280
8.92%		02/16/17	^6,7		7,103,000		1,633,690
11.00%		11/07/16	^3,6,7		12,918,000		2,971,140
Lehman Brothers Holdings, Inc. H (MTN)
0.00%		11/30/10	^3,6,7		6,812,000		1,566,760
MBNA Capital A
8.28%		12/01/26			7,744,000		7,898,880
MBNA Capital B
1.09%		02/01/27	³		29,710,000		21,094,100
MBNA Corp.
6.13%		03/01/13			7,355,000		7,900,844
Merrill Lynch & Co., Inc. (MTN)
6.05%		08/15/12			125,000		132,413
8.68%		05/02/17	³		4,155,000		4,445,850
8.95%		05/18/17	³		5,485,000		5,896,375
9.57%		06/06/17	³		11,517,000		12,668,700


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Finance (continued)
Morgan Stanley
0.54%		01/18/11	³	$	1,010,000	$	1,010,097
0.65%		06/20/12	³		47,575,000		47,850,003
0.77%		10/15/15	³		1,615,000		1,515,942
4.20%		11/20/14			8,585,000		8,778,532
5.50%		07/24/20			29,045,000		29,383,490
6.00%		05/13/14			24,925,000		26,941,350
6.60%		04/01/12			680,000		727,096
Morgan Stanley (MTN)
0.74%		10/18/16	³		14,975,000		13,812,191
5.95%		12/28/17			125,000		132,444
6.25%		08/28/17			7,900,000		8,558,759
6.63%		04/01/18			7,570,000		8,223,579
Morgan Stanley G (MTN)
0.59%		01/09/14	³		2,970,000		2,867,894
5.63%		01/09/12			125,000		131,205
Pipeline Funding Co. LLC
7.50%		01/15/30	⁴		35,250,000		37,202,925
Power Receivable Finance LLC
6.29%		01/01/12	⁴		58,490		58,536
6.29%		01/01/12			80,676		81,827
Prime Property Funding II, Inc.
5.60%		06/15/11	⁴		125,000		126,499
Prudential Holdings LLC
8.70%		12/18/23	⁴		14,390,000		17,478,740
Raymond James Financial, Inc.
8.60%		08/15/19			9,233,000		10,959,525
Woodbourne Capital Trust I
2.73%		04/08/49	^4,5		900,000		369,000
Woodbourne Capital Trust II
2.73%		04/08/49	^4,5		1,525,000		625,250
Woodbourne Capital Trust III
2.73%		04/08/49	^4,5		1,525,000		625,250
Woodbourne Capital Trust IV
2.73%		04/08/49	^4,5		1,150,000		471,500
ZFS Finance USA Trust II
6.45%		12/15/65	^3,4		2,775,000		2,757,656
ZFS Finance USA Trust IV
5.88%		05/09/32	^3,4		21,972,000		21,524,430

							1,004,519,764

Food — 0.00%
JBS USA LLC/JBS USA Finance, Inc.
11.63%		05/01/14			500,000		587,500

Health Care — 0.30%
CHS/Community Health Systems, Inc.
8.88%		07/15/15			19,525,000		20,501,250
HCA, Inc. (WI)
8.50%		04/15/19			13,035,000		14,338,500


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Health Care (continued)
WellPoint, Inc.
5.88%		06/15/17		$	125,000	$	139,915

							34,979,665

Industrials — 0.16%
General Electric Co.
5.25%		12/06/17			16,828,000		18,202,309

Insurance — 1.35%
Fairfax Financial Holdings Ltd. (Canada)
7.75%		04/26/12	²		6,902,000		7,229,845
Farmers Exchange Capital
7.05%		07/15/28	⁴		17,126,000		16,793,310
7.20%		07/15/48	⁴		8,101,000		7,655,129
Farmers Insurance Exchange
8.63%		05/01/24	⁴		16,145,000		18,321,385
MetLife Capital Trust X
9.25%		04/08/38	⁴		11,500,000		13,570,000
MetLife, Inc.
2.38%		02/06/14			10,775,000		10,834,144
7.72%		02/15/19			6,487,000		7,976,759
Metropolitan Life Global Funding I
2.20%		06/10/11	^3,4		13,300,000		13,413,196
Nationwide Mutual Insurance Co.
5.81%		12/15/24	^3,4		12,403,000		11,216,963
6.60%		04/15/34	⁴		19,518,000		17,336,532
Pricoa Global Funding I
0.39%		01/30/12	^3,4		15,690,000		15,604,458
5.45%		06/11/14	⁴		15,130,000		16,786,326

							156,738,047

Materials — 0.00%
Lyondell Chemical Co.
11.00%		05/01/18			441,113		501,766

Real Estate Investment Trust (REIT) — 2.01%
BRE Properties, Inc.
5.50%		03/15/17			100,000		106,404
Duke Realty LP
5.40%		08/15/14			1,250,000		1,324,961
6.25%		05/15/13			75,000		80,637
ERP Operating LP
5.75%		06/15/17			100,000		109,717
HCP, Inc.
5.65%		12/15/13			2,795,000		2,991,396
6.00%		01/30/17			16,320,000		17,090,418
6.45%		06/25/12			11,800,000		12,452,823
7.07%		06/08/15			125,000		139,589
HCP, Inc. (MTN)
5.95%		09/15/11			165,000		170,359


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Real Estate Investment Trust (REIT) (continued)
6.30%		09/15/16		$	21,204,000	$	22,868,768
6.70%		01/30/18			19,125,000		20,525,516
Health Care REIT, Inc.
4.70%		09/15/17			31,323,000		31,251,646
4.95%		01/15/21			5,675,000		5,483,610
6.13%		04/15/20			4,285,000		4,518,665
Healthcare Realty Trust, Inc.
5.75%		01/15/21			20,925,000		21,021,299
Highwoods Properties, Inc.
7.50%		04/15/18			6,795,000		7,594,683
Post Apartment Homes LP
4.75%		10/15/17			21,785,000		20,973,069
Shurgard Storage Centers LLC
5.88%		03/15/13			624,000		671,607
7.75%		02/22/11			7,200,000		7,275,686
Simon Property Group LP
6.13%		05/30/18			1,290,000		1,452,078
UDR, Inc.
6.05%		06/01/13			3,590,000		3,828,516
UDR, Inc. (MTN)
5.00%		01/15/12			2,845,000		2,927,619
UDR, Inc. E (MTN)
5.13%		01/15/14			7,075,000		7,444,508
WEA Finance LLC
7.13%		04/15/18	⁴		36,800,000		42,395,072

							234,698,646

Services — 0.01%
Mobile Mini, Inc.
6.88%		05/01/15			750,000		765,000

Transportation — 1.18%
American Airlines Pass-Through Trust 2001-02
6.98%		04/01/11			7,470		7,545
Continental Airlines Pass-Through Trust 1997-4 A
6.90%		01/02/18			3,032,426		3,221,952
Continental Airlines Pass-Through Trust 1999-2 A-1
7.26%		03/15/20			6,748,352		7,313,526
Continental Airlines Pass-Through Trust 2007-1 A
5.98%		04/19/22			4,716,998		4,991,244
Continental Airlines Pass-Through Trust 2007-1 B
6.90%		04/19/22			2,455,712		2,504,826
Continental Airlines Pass-Through Trust 2009-2 A
7.25%		11/10/19			4,351,376		4,889,858


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Transportation (continued)
Delta Air Lines, Inc.
9.50%		09/15/14	⁴	$	3,547,000	$	3,861,796
Delta Air Lines, Inc. 2001 A2
7.11%		09/18/11			7,898,000		8,154,685
Delta Air Lines, Inc. 2002 G1
6.72%		01/02/23			19,358,767		19,842,736
Delta Air Lines, Inc. 2002 G2
6.42%		07/02/12			9,370,000		9,768,225
Northwest Airlines, Inc. 2001 1 A1
7.04%		04/01/22			3,031,650		3,198,391
Northwest Airlines, Inc. 2001 1 A2
6.84%		04/01/11			23,530,000		23,765,300
UAL Pass-Through Trust 2009-2 A
9.75%		01/15/17			20,414,513		23,527,726
US Airways 2010-1 A Pass-Through Trust
6.25%		04/22/23			22,875,000		22,817,813

							137,865,623

Total Corporates
(Cost $2,521,571,611)							2,690,357,742

BANK LOANS — 0.97%*
Communications — 0.36%
Charter Communications, Inc. Term Loan 3rd Lien
2.76%		09/06/14	^3,8		1,000,000		966,458
Dex Media West LLC Term Loan
7.00%		10/24/14	^3,8		1,793,982		1,639,572
Intelsat Jackson Holdings Term Loan B, 1st Lien
0.00%		04/03/18	^3,8		16,000,000		16,177,088
Visant Corp. Tranche B Term Loan
7.00%		12/22/16	^3,8		22,443,750		22,726,631

							41,509,749

Consumer Discretionary — 0.01%
Tribune 1st Lien Term Loan B
0.00%		06/04/14	^3,6,7,8		1,500,000		1,043,035

Electric — 0.10%
Calpine New Development Holdings LLC
7.00%		07/01/17	^3,8		9,379,249		9,549,980
TXU Energy Term Loan B1
3.76%		10/10/14	^3,8		982,234		761,175
TXU Energy Term Loan B3
3.76%		10/10/14	^3,8		2,419,962		1,871,759

							12,182,914

Finance — 0.10%
CIT Group, Inc. 3-DD 1st Lien Term Loan
6.25%		08/11/15	^3,8		9,000,000		9,193,122


Issues	Maturity Date			Principal Amount		Value
BANK LOANS (continued)
Finance (continued)
Kelson 2nd Lien (PIK)
6.80%		03/08/14	^3,8	$	2,295,710	$	2,106,314

							11,299,436

Gaming — 0.21%
Harrah’s Entertainment, Inc. Term Loan B2
3.29%		01/28/15	^3,8		22,750,000		20,631,406
Harrah’s Entertainment, Inc. Term Loan B3
0.00%		01/28/15			1,987,414		1,799,697
Harrah’s Operating Co., Inc. Term Loan
3.29%		01/28/15	^3,8		2,000,000		1,811,094

							24,242,197

Health Care — 0.18%
HCA Term Loan A
1.55%		11/17/12	^3,8		20,950,678		20,672,432

Insurance — 0.00%
Asurion Corp. Term Loan
3.27%		07/07/14	^3,8		740,625		704,635

Services — 0.01%
Cengage Learning Term Loan B
2.55%		07/03/14	^3,8		1,935,000		1,824,947

Transportation — 0.00%
Delta Air Lines, Inc. Term Loan 1st Lien
1.95%		04/30/12	^3,8		237,551		233,592

Total Bank Loans
(Cost $110,628,896)							113,712,937

MORTGAGE-BACKED — 56.55%**
Commercial Mortgage-Backed — 7.84%
Banc of America Commercial Mortgage, Inc. 2001-1 A2
6.50%		04/15/36			14,032,761		14,080,075
Banc of America Commercial Mortgage, Inc. 2002-PB2 A4
6.19%		06/11/35			11,709,764		12,125,987
Banc of America Commercial Mortgage, Inc. 2005-3 A3A
4.62%		07/10/43			350,000		362,329
Bayview Commercial Asset Trust 2006-3A A1
0.51%		10/25/36	^3,4		6,754,214		4,505,027
Bayview Commercial Asset Trust 2006-4A A1
0.49%		12/25/36	^3,4		329,951		252,380
Bayview Commercial Asset Trust 2007-1 A1
0.48%		03/25/37	^3,4		3,840,591		3,059,114
Bayview Commercial Asset Trust 2007-2A A1
0.53%		07/25/37	^3,4		20,118,380		15,316,736
Bayview Commercial Asset Trust 2007-3 A1
0.50%		07/25/37	^3,4		3,590,446		2,775,546


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed (continued)
Bear Stearns Commercial Mortgage Securities 2002-PBW1 A2
4.72%		11/11/35	³	$	25,050,000	$	26,057,458
Bear Stearns Commercial Mortgage Securities, Inc. 2001-TOP4 A3
5.61%		11/15/33			23,501,174		23,901,429
Bear Stearns Commercial Mortgage Securities, Inc. 2003-PWR2 A4
5.19%		05/11/39	³		39,006,000		41,638,570
Bear Stearns Commercial Mortgage Securities, Inc. 2003-T12 A4
4.68%		08/13/39	³		6,225,000		6,572,963
Bear Stearns Commercial Mortgage Securities, Inc. 2005-T20 A4A
5.14%		10/12/42	³		48,825,000		52,668,118
Bear Stearns Commercial Mortgage Securities, Inc. 2006-PW13 A4
5.54%		09/11/41			3,165,000		3,401,006
Citigroup Commercial Mortgage Trust 2007-C6 A4
5.70%		12/10/49	³		14,440,000		15,458,680
Citigroup/Deutsche Bank Commercial Mortgage Trust 2007-CD4 A4
5.32%		12/11/49			16,645,000		17,278,850
Citigroup/Deutsche Bank Commercial Mortgage Trust 2007-CD5 A4
5.89%		11/15/44	³		1,925,000		2,057,333
Commercial Mortgage Asset Trust 1999-C1 A4
6.98%		01/17/32	³		28,775,600		31,062,929
Credit Suisse First Boston Mortgage Securities Corp. 2001-CKN5 A4
5.44%		09/15/34			56,975,990		57,900,847
Credit Suisse First Boston Mortgage Securities Corp. 2002-CKS4 A2
5.18%		11/15/36			3,370,000		3,515,159
Credit Suisse First Boston Mortgage Securities Corp. 2003-CK2 A4
4.80%		03/15/36			10,000,000		10,522,789
Credit Suisse First Boston Mortgage Securities, Corp. 2002-CP3 A3
5.60%		07/15/35			6,945,000		7,279,434
Credit Suisse Mortgage Capital Certificates 2006-C1 A3
5.54%		02/15/39	³		350,000		369,634
Credit Suisse Mortgage Capital Certificates 2006-C5 A3
5.31%		12/15/39			22,527,500		23,496,831
First Union National Bank-Bank of America Commercial Mortgage Trust 2001-C1 A2
6.14%		03/15/33			3,176,919		3,174,178


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed (continued)
GE Capital Commercial Mortgage Corp. 2007-C1 A1
3.88%		12/10/49		$	17,306,259	$	17,294,477
GMAC Commercial Mortgage Securities, Inc. 1998-C2 X (IO)
0.95%		05/15/35	^3,5		27,370,801		1,008,882
GMAC Commercial Mortgage Securities, Inc. 2002-C1 A2
6.28%		11/15/39			38,785,413		39,825,506
GMAC Commercial Mortgage Securities, Inc. 2002-C2 A3
5.71%		10/15/38			4,050,000		4,214,920
Greenwich Capital Commercial Funding Corp. 2002-C1 A4
4.95%		01/11/35			34,500,000		36,124,274
Greenwich Capital Commercial Funding Corp. 2004-GG1 A7
5.32%		06/10/36	³		56,758,999		61,267,179
Greenwich Capital Commercial Funding Corp. 2006-GG7 A4
5.88%		07/10/38	³		52,354,554		57,189,000
Greenwich Capital Commercial Funding Corp. 2007-GG9 A4
5.44%		03/10/39			74,275,000		78,365,607
JPMorgan Chase Commercial Mortgage Securities Corp. 2001-CIB3 A3
6.47%		11/15/35			4,786,914		4,915,719
JPMorgan Chase Commercial Mortgage Securities Corp. 2002-C2 A2
5.05%		12/12/34			2,340,000		2,465,916
JPMorgan Chase Commercial Mortgage Securities Corp. 2003-ML1A A2
4.77%		03/12/39			6,065,000		6,369,564
JPMorgan Chase Commercial Mortgage Securities Corp. 2006-LDP7 A4
5.87%		04/15/45	³		33,110,000		36,253,695
JPMorgan Chase Commercial Mortgage Securities Corp. 2007-CB18 A4
5.44%		06/12/47			3,065,000		3,216,588
JPMorgan Chase Commercial Mortgage Securities Corp. 2007-CB19 A4
5.74%		02/12/49	³		17,773,000		18,910,428
JPMorgan Chase Commercial Mortgage Securities Corp. 2007-LD12 A4
5.88%		02/15/51	³		22,235,000		23,578,935
LB-UBS Commercial Mortgage Trust 2003-C8 A4
5.12%		11/15/32	³		320,000		342,201
Merrill Lynch/Countrywide Commercial Mortgage Trust 2006-4 A3
5.17%		12/12/49	³		32,840,000		34,039,166


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed (continued)
Merrill Lynch/Countrywide Commercial Mortgage Trust 2006-4 ASB
5.13%		12/12/49	³	$	25,000,000	$	26,285,253
Merrill Lynch/Countrywide Commercial Mortgage Trust 2007-7 A4
5.75%		06/12/50	³		19,426,500		20,050,205
Morgan Stanley Capital I 2006-T21 A4
5.16%		10/12/52	³		16,160,000		17,252,565
Morgan Stanley Capital I 2007-IQ16 A4
5.81%		12/12/49			30,007,500		32,112,301
Prudential Commercial Mortgage Trust 2003-PWR1 A1
3.67%		02/11/36			4,972,891		4,991,090
Prudential Mortgage Capital Funding LLC 2001-ROCK A2
6.61%		05/10/34			1,332,283		1,339,273
Salomon Brothers Mortgage Securities VII, Inc. 2002-KEY2 A3
4.87%		03/18/36			415,000		432,127
TIAA Seasoned Commercial Mortgage Trust 2007-C4 A3
6.05%		08/15/39	³		3,115,000		3,427,018
Wachovia Bank Commercial Mortgage Trust 2006-C28 A4
5.57%		10/15/48			1,980,000		2,076,479

							912,181,770


Non-Agency Mortgage-Backed — 16.11%
Aames Mortgage Trust 2002-1 A3 (STEP)
6.90%		06/25/32			69,156		54,407
ABFS Mortgage Loan Trust 2002-2 A7 (STEP)
5.72%		07/15/33			1,123		1,122
Adjustable Rate Mortgage Trust 2007-1 5A1
0.41%		03/25/37	³		16,108,870		7,214,196
American Home Mortgage Assets 2007-1 A1
1.03%		02/25/47	³		87,409,848		44,246,358
American Home Mortgage Assets 2007-4 A2
0.45%		08/25/37	³		34,366,861		24,909,393
American Home Mortgage Investment Trust 2006-1 2A3
2.21%		12/25/35	³		331,050		231,336
Amresco Residential Securities Mortgage Loan Trust 1998-1 A5 (STEP)
7.57%		10/25/27			171,355		179,190
Argent Securities, Inc. 2005-W4 A2C
0.56%		02/25/36	³		10,435,350		10,388,897
Argent Securities, Inc. 2005-W5 A2D
0.58%		01/25/36	³		26,678,000		12,822,821
Asset Backed Funding Certificates 2006-HE1 A2C
0.42%		01/25/37	³		6,155,000		2,589,347


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Asset Backed Funding Certificates 2007-WMC1 A2B
1.26%		06/25/37	³	$	41,977,000	$	21,270,229
Banc of America Funding Corp. 2003-2 1A1
6.50%		06/25/32			95,247		99,593
Banc of America Funding Corp. 2007-8 2A1
7.00%		10/25/37			25,057,676		19,128,241
Banc of America Mortgage Securities, Inc. 2005-E 2A6
2.87%		06/25/35	³		100,000		92,866
Banc of America Mortgage Securities, Inc. 2006-B 4A1
6.17%		11/20/46	³		14,540,523		12,839,005
Banco de Credito Y Securitizacion SA 2001-1 AF (Argentina)
8.00%		05/31/10	^2,4,5		456,456		36,516
Bayview Financial Acquisition Trust 2005-B 1A3 (STEP)
4.89%		04/28/39			2,172,573		2,098,817
Bayview Financial Acquisition Trust 2005-D AF3
5.50%		12/28/35	³		390,000		370,408
BCAP LLC Trust 2007-AAA2 2A5
6.00%		04/25/37			1,056,928		795,641
Bear Stearns Adjustable Rate Mortgage Trust 2003-4 3A1
5.01%		07/25/33	³		186,933		190,274
Bear Stearns Alt-A Trust 2005-4 21A1
3.01%		05/25/35	³		29,259,364		19,634,288
Bear Stearns Alt-A Trust 2006-3 1A1
0.45%		05/25/36	³		5,108,357		2,654,162
Bear Stearns Alt-A Trust 2006-3 23A1
4.97%		05/25/36	³		5,426,890		3,376,758
Bear Stearns Asset Backed Securities Trust 2002-1 1A5 (STEP)
6.89%		12/25/34			72,928		71,212
Bear Stearns Asset Backed Securities Trust 2006-HE10 1A2
0.46%		12/25/36	³		23,770,000		15,171,143
BHN I Mortgage Fund 1997-2 A1 (Argentina)
1.71%		05/31/17	^2,3,4,5,6,7		13,760		1,357
BHN I Mortgage Fund 1997-2 A2 (Argentina)
7.54%		05/31/17	^2,4,5,6,7		2,500		247
BHN I Mortgage Fund 2000-1 AF (Argentina)
8.00%		03/31/11	^2,4,5		6,000		592
BlackRock Capital Finance LP 1997-R2 AP
1.21%		12/25/35	^3,4,5		3,645		3,647
BNC Mortgage Loan Trust 2007-1 A3
0.36%		03/25/37	³		12,881,000		9,175,684
Centex Home Equity 2006-A AV3
0.42%		06/25/36	³		13,717,998		12,408,958


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Centex Home Equity 2006-A AV4
0.51%		06/25/36	³	$	100,000	$	66,129
Chase Mortgage Finance Corp. 2005-A1 2A3
2.95%		12/25/35	³		1,710,000		1,450,295
Chase Mortgage Finance Corp. 2007-A2 2A3
3.06%		07/25/37	³		16,393,295		15,897,422
Chaseflex Trust 2005-2 4A2
5.50%		05/25/20			19,435,511		19,113,876
Chevy Chase Mortgage Funding Corp. 2004-1A A1
0.54%		01/25/35	^3,4		2,408,961		1,910,710
Citicorp Residential Mortgage Securities, Inc. 2007-1 A5 (STEP)
6.05%		03/25/37			620,000		497,111
Citigroup Mortgage Loan Trust, Inc. 2004-RR2 A2
4.72%		05/25/34	^3,4		19,094,440		18,597,135
Citigroup Mortgage Loan Trust, Inc. 2006-AMC1 A2B
0.42%		09/25/36	³		436,843		205,046
Citigroup Mortgage Loan Trust, Inc. 2006-NC1 A2D
0.51%		08/25/36	³		33,850,000		14,803,197
Citigroup Mortgage Loan Trust, Inc. 2007-AMC4 A2B
0.40%		05/25/37	³		21,600,000		11,779,387
Citigroup Mortgage Loan Trust, Inc. 2007-WFH1 A4
0.46%		01/25/37	³		28,000		14,471
Citigroup Mortgage Loan Trust, Inc. 2007-WFH2 A3
0.44%		03/25/37	³		34,403,000		21,256,530
Collateralized Mortgage Obligation Trust 57 D
9.90%		02/01/19			4,594		5,131
Conseco Finance 2001-C A5 (STEP)
7.29%		08/15/33			3,827,077		3,892,895
Conseco Finance 2001-D A5
6.19%		11/15/32	³		138,122		141,396
Conseco Finance 2002-C BF2
8.00%		06/15/32	^3,4		513,087		395,682
Conseco Financial Corp. 1996-7 M1
7.70%		10/15/27	³		19,007,000		19,481,926
Conseco Financial Corp. 1998-2 A5
6.24%		12/01/28	³		214,279		212,574
Conseco Financial Corp. 1998-6 A7
6.45%		06/01/30			21,623		21,627
Countrywide Alternative Loan Trust 2004-J6 2A1
6.50%		11/25/31			45,093		47,256


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Countrywide Alternative Loan Trust 2005-27 2A1
1.68%		08/25/35	³	$	9,397,468	$	5,248,443
Countrywide Alternative Loan Trust 2005-36 2A1A
0.57%		08/25/35	³		310,164		165,956
Countrywide Alternative Loan Trust 2005-43 4A1
5.59%		10/25/35	³		396,842		308,609
Countrywide Alternative Loan Trust 2005-59 1A1
0.59%		11/20/35	³		230,175		142,072
Countrywide Alternative Loan Trust 2006-46 A4
6.00%		02/25/47			7,839,095		6,341,626
Countrywide Alternative Loan Trust 2006-OA10 1A1
1.30%		08/25/46	³		6,094,078		3,395,407
Countrywide Alternative Loan Trust 2006-OA14 3A1
1.18%		11/25/46	³		896,889		464,816
Countrywide Alternative Loan Trust 2006-OA17 1A1A
0.46%		12/20/46	³		40,694,988		21,430,632
Countrywide Alternative Loan Trust 2006-OA18 A1
0.38%		12/25/46	³		40,915,769		24,273,485
Countrywide Alternative Loan Trust 2006-OA22 A1
0.42%		02/25/47	³		1,211,794		791,894
Countrywide Alternative Loan Trust 2006-OA8 1A1
0.45%		07/25/46	³		28,297,340		16,301,257
Countrywide Alternative Loan Trust 2007-22 2A16
6.50%		09/25/37			53,405,247		38,042,213
Countrywide Asset-Backed Certificates 2005-12 2A5
5.25%		02/25/36	³		13,194,575		12,839,318
Countrywide Asset-Backed Certificates 2006-18 2A2
0.42%		03/25/37	³		16,400,213		12,435,609
Countrywide Asset-Backed Certificates 2007-10 2A2
0.38%		06/25/47	³		21,641,000		18,090,952
Countrywide Asset-Backed Certificates 2007-13 2A2
1.06%		10/25/47	³		16,786,158		12,200,028
Countrywide Asset-Backed Certificates 2007-3 2A1
0.36%		05/25/47	³		11,013,250		10,559,003


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Countrywide Asset-Backed Certificates 2007-4 A1A
0.38%		09/25/37	³	$	8,931,608	$	8,639,736
Countrywide Asset-Backed Certificates 2007-5 2A2
0.43%		09/25/47	³		127,000		101,632
Countrywide Asset-Backed Certificates 2007-7 2A2
0.42%		10/25/47	³		22,307,000		19,933,627
Countrywide Asset-Backed Certificates 2007-9 2A1
0.32%		06/25/47	³		54,345		52,465
Countrywide Home Loan Mortgage Pass-Through Trust 2001-HYB1 1A1
2.30%		06/19/31	³		53,292		52,951
Countrywide Home Loan Mortgage Pass-Through Trust 2004-14 4A1
5.02%		08/25/34	³		7,755,885		7,711,095
Countrywide Home Loan Mortgage Pass-Through Trust 2005-HYB5 4A1
4.96%		09/20/35	³		10,463,740		7,271,713
Countrywide Home Loan Mortgage Pass-Through Trust 2007-HY3 2A1
5.46%		06/25/47	³		39,027,827		30,172,452
Credit Suisse First Boston Mortgage Securities Corp. 2001-MH29 A (STEP)
5.60%		09/25/31			103,258		105,482
Credit Suisse First Boston Mortgage Securities Corp. 2003-AR20 2A4
2.70%		08/25/33	³		66,382		59,792
Credit Suisse Mortgage Capital Certificates 2006-6 2A1
0.86%		07/25/36	³		209,324		93,806
Credit-Based Asset Servicing and Securitization LLC 2003-CB4 M1
0.95%		03/25/33	³		10,801,619		9,517,993
Credit-Based Asset Servicing and Securitization LLC 2006-CB6 A23
0.41%		07/25/36	³		24,475,000		17,545,273
Credit-Based Asset Servicing and Securitization LLC 2006-CB8 A2B
0.37%		10/25/36	³		11,240,000		9,758,399
Credit-Based Asset Servicing and Securitization LLC 2006-CB9 A3
0.41%		11/25/36	³		10,300,000		4,374,405
Deutsche ALT-A Securities, Inc. 2005-3 4A5
5.25%		06/25/35			65,064		61,249
DLJ Mortgage Acceptance Corp. 1996-QA S (IO)
3.26%		01/25/26	^3,4,5		83,799		52
Downey Savings & Loan Association Mortgage Loan Trust 2007-AR1 2A1A
0.40%		04/19/48	³		4,102,175		2,844,748


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Ellington Loan Acquisition Trust 2007-2 A2C
1.36%		05/25/37	^3,4	$	5,106,000	$	3,073,398
Equity One ABS, Inc. 1998-1 A2 (STEP)
7.48%		11/25/29			72,498		68,137
First Franklin Mortgage Loan Asset Backed Certificates 2005-FFH2 M1
0.74%		04/25/35	^3,4		5,308,133		5,087,089
First Franklin Mortgage Loan Asset Backed Certificates 2007-FF1 A2C
0.40%		01/25/38	³		73,000,000		34,710,661
First Horizon Alternative Mortgage Securities 2004-AA3 A1
2.55%		09/25/34	³		114,658		96,778
First Horizon Asset Securities, Inc. 2004-AR5 2A1
2.88%		10/25/34	³		20,502		20,051
First Horizon Asset Securities, Inc. 2005-AR6 2A1B
3.22%		01/25/36	³		26,990,000		20,025,975
First Union Home Equity Loan Trust 1997-3 B
7.39%		03/25/29			91,796		13,776
Fremont Home Loan Trust 2005-C M1
0.74%		07/25/35	³		12,900,000		11,968,323
Fremont Home Loan Trust 2006-3 2A4
0.50%		02/25/37	³		12,106,000		5,288,833
Fremont Home Loan Trust 2006-C 2A2
0.41%		10/25/36	³		50,426,628		24,312,316
GMAC Mortgage Corp. Loan Trust 2000-HE2 A1
0.70%		06/25/30	³		305,892		174,607
Green Tree 2008-MH1 A2
8.97%		04/25/38	^3,4		15,000,000		16,817,297
GSAA Trust 2005-7 AF3
4.75%		05/25/35	³		41,377,454		35,544,433
GSAA Trust 2006-16 A1
0.32%		10/25/36	³		11,328,525		5,995,361
GSAA Trust 2006-19 A1
0.35%		12/25/36	³		9,317,931		4,677,331
GSAA Trust 2007-4 A1
0.36%		03/25/37	³		6,387,044		3,210,821
GSAMP Trust 2006-FM1 A2C
0.42%		04/25/36	³		30,166,626		20,490,907
GSAMP Trust 2007-NC1 A2B
0.36%		12/25/46	³		25,000,000		11,434,663
GSR Mortgage Loan Trust 2007-AR2 2A1
3.28%		05/25/47	³		10,367,164		7,842,796
Harborview Mortgage Loan Trust 2005-4 2A
2.95%		07/19/35	³		1,722,611		1,125,735


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Harborview Mortgage Loan Trust 2007-7 2A1A
1.26%		11/25/47	³	$	2,125,120	$	1,518,848
Home Equity Asset Trust 2007-1 2A1
0.32%		05/25/37	³		51,071		49,454
HSBC Home Equity Loan Trust 2006-1 A1
0.42%		01/20/36	³		20,010,124		18,492,116
HSBC Home Equity Loan Trust 2007-3 A4
1.76%		11/20/36	³		9,985,000		7,237,812
HSBC Home Equity Loan Trust 2007-3 APT
1.46%		11/20/36	³		30,749,581		28,423,391
HSI Asset Securitization Corp. Trust 2006-OPT2 2A3
0.45%		01/25/36	³		10,767,254		10,083,598
IndyMac Index Mortgage Loan Trust 2004-AR5 2A1B
1.06%		08/25/34	³		59,360		42,252
IndyMac Index Mortgage Loan Trust 2004-AR6 6A1
5.51%		10/25/34	³		556,556		508,975
IndyMac Index Mortgage Loan Trust 2004-AR7 A2
1.12%		09/25/34	³		183,447		126,218
IndyMac Index Mortgage Loan Trust 2004-AR8 2A2A
0.66%		11/25/34	³		102,757		70,411
IndyMac Index Mortgage Loan Trust 2005-AR18 2A1A
0.57%		10/25/36	³		396,926		258,148
IndyMac Index Mortgage Loan Trust 2006-AR19 1A2
5.54%		08/25/36	³		33,334,139		16,830,457
IndyMac Index Mortgage Loan Trust 2007-AR5 3A1
5.11%		05/25/37	³		13,260,945		7,631,044
IndyMac Manufactured Housing Contract 1997-1 A3
6.61%		02/25/28			515,869		474,393
IndyMac Residential Asset Backed Trust 2007-A 2A4A
0.58%		04/25/47	³		6,256,000		2,921,227
JPMorgan Alternative Loan Trust 2006-A6 2A5
6.05%		11/25/36	³		360,000		240,179
JPMorgan Alternative Loan Trust 2007-A1 2A1
5.90%		03/25/37	³		6,954,563		4,089,137
JPMorgan Alternative Loan Trust 2007-A2 12A2
0.36%		06/25/37	³		5,898,643		5,535,021


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
JPMorgan Mortgage Acquisition Corp. 2006-CH2 AV4
0.40%		10/25/36	³	$	16,000,000	$	7,124,736
JPMorgan Mortgage Acquisition Corp. 2006-FRE1 A3
0.45%		05/25/35	³		11,939,903		11,028,327
JPMorgan Mortgage Acquisition Corp. 2007-CH1 AF6 (STEP)
5.50%		10/25/36			648,400		581,261
JPMorgan Mortgage Acquisition Corp. 2007-CH3 A4
0.47%		03/25/37	³		1,310,000		595,208
JPMorgan Mortgage Acquisition Corp. 2007-Ch4 A4
0.42%		05/25/37	³		10,000,000		4,709,630
JPMorgan Mortgage Acquisition Corp. 2007-CH5 A3
0.37%		05/25/37	³		300,000		227,119
JPMorgan Mortgage Acquisition Corp. 2007-HE1 AF2 (STEP)
6.04%		03/25/47			2,480,000		1,434,674
JPMorgan Mortgage Trust 2003-A2 2A3
4.68%		11/25/33	³		705,000		720,342
JPMorgan Mortgage Trust 2005-A5 3A2
5.35%		08/25/35	³		167,596		166,271
JPMorgan Mortgage Trust 2005-A5 TA1
5.42%		08/25/35	³		1,911,544		1,896,080
JPMorgan Mortgage Trust 2006-A2 2A2
5.72%		04/25/36	³		1,475,000		1,244,351
JPMorgan Mortgage Trust 2006-A2 2A4
5.72%		04/25/36	³		17,325,000		14,247,318
JPMorgan Mortgage Trust 2006-A3 3A3
5.72%		05/25/36	³		4,000,000		3,306,206
JPMorgan Mortgage Trust 2006-A3 3A4
5.72%		05/25/36	³		23,500,000		19,111,241
Lehman XS Trust 2006-GP1 A4A
0.59%		05/25/46	³		32,472,070		8,549,997
Lehman XS Trust 2007-15N 2A1
0.51%		08/25/37	³		58,158,152		40,240,207
Lehman XS Trust 2007-16N 2A2
1.11%		09/25/47	³		457,282		291,200
LLB Financial (TBA)
4.00%		01/25/41			44,450,000		43,949,937
MASTR Adjustable Rate Mortgages Trust 2003-6 4A2
5.18%		01/25/34	³		281,859		267,336
MASTR Adjustable Rate Mortgages Trust 2004-13 3A7A
2.90%		11/21/34	³		440,000		420,539


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
MASTR Adjustable Rate Mortgages Trust 2004-5 3A1
2.84%		06/25/34	³	$	2,180	$	1,823
MASTR Adjustable Rate Mortgages Trust 2007-3 22A5
0.60%		05/25/47	³		735,000		106,789
MASTR Asset Backed Securities Trust 2006-AM3 A4
0.50%		10/25/36	³		5,000,000		2,157,570
MASTR Asset Backed Securities Trust 2007-HE1 A3
0.47%		05/25/37	³		441,000		214,897
MASTR Asset Backed Securities Trust 2007-HE1 A4
0.54%		05/25/37	³		10,000,000		4,658,740
MASTR Asset Securitization Trust 2002-8 1A1
5.50%		12/25/17			60,941		62,957
MASTR Seasoned Securities Trust 2004-1 4A1
2.99%		10/25/32	³		72,662		70,040
MASTR Seasoned Securities Trust 2004-2 A2
6.50%		08/25/32			3,394,733		3,535,778
Merrill Lynch Alternative Note Asset 2007-AF1 AV1
5.30%		06/25/37	³		7,228,348		4,163,070
Merrill Lynch First Franklin Mortgage Loan Trust 2007-1 A2C
0.51%		04/25/37	³		14,700,000		7,253,237
Merrill Lynch First Franklin Mortgage Loan Trust 2007-3 A2C
0.44%		06/25/37	³		273,800		131,294
Mid-State Trust 11 A1
4.86%		07/15/38			476,767		477,828
Mid-State Trust 2004-1 A
6.01%		08/15/37			59,871		59,205
Mid-State Trust 2005-1 A
5.75%		01/15/40			31,365,348		29,598,152
Mid-State Trust 2006-1 A
5.79%		10/15/40	⁴		21,341,491		20,141,519
Mid-State Trust 6 A1
7.34%		07/01/35			69,370		72,623
Morgan Stanley ABS Capital I 2005-HE3 M1
0.75%		07/25/35	³		2,614,038		2,592,185
Morgan Stanley ABS Capital I 2006-HE5 A2C
0.40%		08/25/36	³		9,015,000		6,346,335
Morgan Stanley ABS Capital I 2006-NC5 A2D
0.49%		10/25/36	³		12,100,000		4,682,591
Morgan Stanley ABS Capital I 2007-HE2 A2B
0.35%		01/25/37	³		110,000		55,915


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Morgan Stanley ABS Capital I 2007-HE6 A3
0.44%		05/25/37	³	$	49,270,000	$	18,434,863
Morgan Stanley ABS Capital, Inc. 2006-HE5 A2D
0.51%		08/25/36	³		48,700,000		22,260,234
Morgan Stanley Home Equity Loan Trust 2006-3 A4
0.52%		04/25/36	³		10,000,000		4,311,869
Morgan Stanley Mortgage Loan Trust 2006-7 5A2
5.96%		06/25/36	³		297,743		174,332
Morgan Stanley Mortgage Loan Trust 2007-10XS A18
6.00%		07/25/47	³		21,369,751		16,247,977
Morgan Stanley Mortgage Loan Trust 2007-15AR 2A1
5.19%		11/25/37	³		11,242,276		7,758,764
Morgan Stanley Mortgage Loan Trust 2007-2AX 2A1
0.35%		12/25/36	³		10,794,161		5,343,865
Morgan Stanley Mortgage Loan Trust 2007-7AX 2A1
0.38%		04/25/37	³		10,714,778		5,220,449
Nationstar Home Equity Loan Trust 2007-C 2AV4
0.51%		06/25/37	³		7,760,000		4,027,921
Nomura Asset Acceptance Corp. 2006-AR4 A1A
0.43%		12/25/36	³		959,290		460,439
Novastar Home Equity Loan 2005-1 M4
0.94%		06/25/35	³		20,000,000		14,778,950
Oakwood Mortgage Investors, Inc. 1998-A A4
6.20%		05/15/28			11,561		11,694
Oakwood Mortgage Investors, Inc. 1998-B A4
6.35%		03/15/17			46,486		46,625
Ocwen Residential MBS Corp. 1998-R2 AP
11.49%		11/25/34	^3,4		22,784		14,826
Option One Mortgage Loan Trust 2007-1 2A3
0.40%		01/25/37	³		19,278,000		8,110,669
Option One Mortgage Loan Trust 2007-6 2A4
0.51%		07/25/37	³		100,000		42,906
Popular ABS Mortgage Pass-Through Trust 2005-3 AF6 (STEP)
4.76%		07/25/35			4,502,877		4,487,427
Popular ABS Mortgage Pass-Through Trust 2007-A A3
0.57%		06/25/47	³		21,877,500		10,864,738
Residential Accredit Loans, Inc. 2003-QS3 A4
5.50%		02/25/18			121,668		123,124
Residential Accredit Loans, Inc. 2007-QO4 A1
0.46%		05/25/47	³		25,134,103		14,895,211


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Residential Asset Mortgage Products, Inc. 2003-RS10 AI6 (STEP)
5.86%		11/25/33		$	204,841	$	170,852
Residential Asset Mortgage Products, Inc. 2003-RS11 AI6A (STEP)
5.98%		12/25/33			340,598		322,508
Residential Asset Mortgage Products, Inc. 2004-RS12 MII2
1.06%		12/25/34	³		2,749,612		2,575,387
Residential Asset Mortgage Products, Inc. 2004-SL1 A8
6.50%		11/25/31			161,005		161,822
Residential Asset Mortgage Products, Inc. 2004-SL3 A2
6.50%		12/25/31			151,054		150,153
Residential Asset Securitization Trust 2004-IP2 2A1
2.79%		12/25/34	³		50,930		49,576
Residential Funding Mortgage Securities II, Inc. 1999-HI6 AI7 (STEP)
8.60%		09/25/29			369,036		335,772
Residential Funding Mortgage Securities II, Inc. 2000-HI1 AI7 (STEP)
8.79%		02/25/25			277,954		279,257
Resmae Mortgage Loan Trust 2006-1 A1B
0.53%		02/25/36	^3,4		4,355,316		374,967
Ryland Mortgage Securities Corp. 1994-5 A2
3.66%		10/25/23	³		112,291		115,333
Ryland Mortgage Securities Corp. 1994-5 M3
3.66%		10/25/23	³		285,527		235,707
Saxon Asset Securities Trust 2005-2 M1
0.68%		10/25/35	³		32,400,000		28,541,419
Saxon Asset Securities Trust 2007-1 A2C
0.41%		01/25/47	³		8,135,000		5,019,773
Securitized Asset Backed Receivables LLC Trust 2005-FR3 M1
0.73%		04/25/35	³		4,145,016		3,949,995
Securitized Asset Backed Receivables LLC Trust 2006-HE2 A2C
0.41%		07/25/36	³		15,053,000		5,213,307
Securitized Asset Backed Receivables LLC Trust 2007-BR2 A2
0.49%		02/25/37	³		45,666,845		21,949,929
Securitized Asset Backed Receivables LLC Trust 2007-BR3 A2B
0.48%		04/25/37	³		26,450,000		11,322,338
Securitized Asset Backed Receivables LLC Trust 2007-NC1 A2B
0.41%		12/25/36	³		38,713,882		17,090,127
Securitized Asset Backed Receivables LLC Trust 2007-NC2 A2B
0.40%		01/25/37	³		160,000		77,767


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
SG Mortgage Securities Trust 2006-FRE1 A1B
0.53%		02/25/36	³	$	2,906,573	$	1,880,749
SG Mortgage Securities Trust 2006-FRE1 A2B
0.44%		02/25/36	³		13,555,934		7,375,309
SG Mortgage Securities Trust 2006-OPT2 A3C
0.41%		10/25/36	³		12,348,460		4,689,371
SG Mortgage Securities Trust 2007-NC1 A2
0.50%		12/25/36	^3,4		16,381,369		8,892,346
Soundview Home Equity Loan Trust 2006-EQ1 A2
0.37%		10/25/36	³		15,949,353		15,545,426
Soundview Home Equity Loan Trust 2006-WF2 A2C
0.40%		12/25/36	³		23,000,000		19,892,672
Soundview Home Equity Loan Trust 2007-NS1 A4
0.56%		01/25/37	³		12,405,000		5,909,010
Soundview Home Equity Loan Trust 2007-OPT1 2A2
0.41%		06/25/37	³		95,000		43,148
Soundview Home Equity Loan Trust 2007-OPT1 2A4
0.54%		06/25/37	³		29,546,000		13,264,366
Soundview Home Equity Loan Trust 2007-OPT2 2A3
0.44%		07/25/37	³		17,450,000		8,267,697
Structured Adjustable Rate Mortgage Loan Trust 2007-7 1A1
0.56%		08/25/37	³		31,895,041		19,958,054
Structured Asset Mortgage Investments, Inc. 2005-AR7 1A1
2.64%		12/27/35	³		3,669,714		2,233,274
Structured Asset Mortgage Investments, Inc. 2007-AR1 1A1
0.42%		01/25/37	³		62,167,635		38,126,851
Structured Asset Mortgage Investments, Inc. 2007-AR6 A1
1.83%		08/25/47	³		51,985,356		31,908,248
Structured Asset Securities Corp. 1997-2 2A4
7.25%		03/28/30			5,586		5,523
Structured Asset Securities Corp. 2001-15A 4A1
6.00%		10/25/31	³		13,258		12,426
Structured Asset Securities Corp. 2003-34A 5A4
2.65%		11/25/33	³		6,320,873		6,199,648
Structured Asset Securities Corp. 2005-4XS 3A3 (STEP)
4.47%		03/25/35			22,146,937		22,482,787


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Structured Asset Securities Corp. 2006-WF3 A3
0.41%		09/25/36	³	$	220,000	$	184,373
Structured Asset Securities Corp. 2007-BC3 2A1
0.32%		05/25/47	³		34,288,139		32,683,968
Structured Asset Securities Corp. 2007-EQ1 A4
0.51%		03/25/37	³		26,325,800		10,797,224
Thornburg Mortgage Securities Trust 2007-3 3A1
0.48%		06/25/47	³		10,019,960		9,723,003
Vanderbilt Acquisition Loan Trust 2002-1 A4
6.57%		05/07/27	³		4,659,552		4,961,641
Washington Mutual Alternative Mortgage Pass-Through Certificates 2005-3 2A3
0.81%		05/25/35	³		13,888,729		10,023,648
Washington Mutual Alternative Mortgage Pass-Through Certificates 2005-4 CB13
0.76%		06/25/35	³		20,535,135		13,991,838
Washington Mutual Alternative Mortgage Pass-Through Certificates 2007-1 2A1
6.00%		01/25/22			1,960,866		1,697,951
Washington Mutual Alternative Mortgage Pass-Through Certificates 2007-OA3 4A1
1.10%		04/25/47	³		25,474,933		15,045,801
Washington Mutual Asset-Backed Certificates 2006-HE2 A4
0.50%		05/25/36	³		11,165,000		4,479,939
Washington Mutual Asset-Backed Certificates 2007-HE1 2A3
0.41%		01/25/37	³		39,470,000		15,765,451
Washington Mutual Mortgage Pass-Through Certificates 2002-AR18 A
2.61%		01/25/33	³		27,720		26,875
Washington Mutual Mortgage Pass-Through Certificates 2003-AR6 A1
2.70%		06/25/33	³		82,777		82,004
Washington Mutual Mortgage Pass-Through Certificates 2004-AR3 A2
2.71%		06/25/34	³		110,905		107,948
Washington Mutual Mortgage Pass-Through Certificates 2004-AR6 A
0.67%		05/25/44	³		245,372		186,665
Washington Mutual Mortgage Pass-Through Certificates 2005-AR12 1A6
2.72%		10/25/35	³		310,000		253,773
Washington Mutual Mortgage Pass-Through Certificates 2005-AR16 1A4A
2.59%		12/25/35	³		320,000		253,994
Washington Mutual Mortgage Pass-Through Certificates 2006-AR7 3A1B
3.16%		07/25/46	³		3,443,508		1,437,643


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Washington Mutual Mortgage Pass-Through Certificates 2007-OA1 A1A
1.03%		02/25/47	³	$	465,023	$	292,435
Washington Mutual Mortgage Pass-Through Certificates 2007-OA3 2A
1.10%		04/25/47	³		242,481		141,285
Washington Mutual Mortgage Pass-Through Certificates 2007-OA4 1A
1.10%		05/25/47	³		612,414		402,004
Washington Mutual Mortgage Pass-Through Certificates 2007-OA6 1A
1.14%		07/25/47	³		225,134		146,040
Wells Fargo Home Equity Trust 2004-2 AI6
5.00%		05/25/34	³		13,085,000		13,449,620
Wells Fargo Home Equity Trust 2005-3 AII3
0.60%		11/25/35	³		30,948,902		30,290,232
Wells Fargo Home Equity Trust 2006-1 A3
0.41%		05/25/36	³		14,967,270		14,778,944
Wells Fargo Home Equity Trust 2007-2 A1
0.35%		04/25/37	³		8,866,460		8,639,842
Wells Fargo Mortgage Backed Securities Trust 2003-17 2A10
5.50%		01/25/34			23,434,500		24,303,381
Wells Fargo Mortgage Backed Securities Trust 2004-G A3
4.75%		06/25/34	³		1,565,000		1,625,462
Wells Fargo Mortgage Backed Securities Trust 2004-L A8
4.75%		07/25/34	³		1,740,000		1,807,091

							1,876,001,040

U.S. Agency Mortgage-Backed — 32.60%
Fannie Mae (TBA)
3.50%		01/25/26			195,165,000		196,567,846
4.00%		01/15/41			125,000,000		124,394,531
Fannie Mae 1989-27 Y
6.90%		06/25/19			1,109		1,200
Fannie Mae 1991-65 Z
6.50%		06/25/21			26,375		28,742
Fannie Mae 1992-123 Z
7.50%		07/25/22			3,685		4,214
Fannie Mae 1992-83 Z
7.00%		06/25/22			1,262		1,262
Fannie Mae 1993-132 D (PO)
0.82%		10/25/22	⁹		204,222		178,185
Fannie Mae 1993-199 SD (IO)
0.88%		10/25/23	³		600,190		11,450
Fannie Mae 1993-29 PK
7.00%		03/25/23			98,176		108,142
Fannie Mae 1994-55 H
7.00%		03/25/24			95,550		106,936


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae 1997-34 SA
9.17%		10/25/23	³	$	21,493	$	25,523
Fannie Mae 1999-11 Z
5.50%		03/25/29			419,407		454,315
Fannie Mae 2001-52 YZ
6.50%		10/25/31			261,323		294,144
Fannie Mae 2003-106 WG
4.50%		11/25/23			32,004,000		32,867,596
Fannie Mae 2003-52 SV
17.37%		05/25/31	³		534,295		549,634
Fannie Mae 2003-W2 2A9
5.90%		07/25/42			87,700		96,943
Fannie Mae 2005-104 NI
6.44%		03/25/35	³		104,906,506		15,198,959
Fannie Mae 2005-117 LC
5.50%		11/25/35			46,177,000		49,784,264
Fannie Mae 2005-92 US (IO)
5.84%		10/25/25	³		44,959,900		5,619,403
Fannie Mae 2006-18 PD
5.50%		08/25/34			345,000		379,119
Fannie Mae 2006-4 WE
4.50%		02/25/36			400,000		412,164
Fannie Mae 2006-80 PG
6.00%		06/25/35			23,300,000		25,770,795
Fannie Mae 2007-34 SB (IO)
5.85%		04/25/37	³		50,276,452		6,014,431
Fannie Mae 2008-24 NA
6.75%		06/25/37			19,423,291		21,422,336
Fannie Mae 2010-17 SB
6.09%		03/25/40	³		53,349,025		7,880,110
Fannie Mae 2010-43 KS
6.16%		05/25/40	³		103,171,831		14,429,561
Fannie Mae 3210 PD
6.00%		08/15/35			360,000		398,605
Fannie Mae G92-36 Z
7.00%		07/25/22			755		845
Fannie Mae G93-21 Z
7.20%		05/25/23			13,927		15,869
Fannie Mae Pool 190375
5.50%		11/01/36			15,361,330		16,473,944
Fannie Mae Pool 233672
2.80%		09/01/23	³		20,102		21,059
Fannie Mae Pool 254232
6.50%		03/01/22			106,782		118,171
Fannie Mae Pool 254868
5.00%		09/01/33			38,615,081		40,847,321
Fannie Mae Pool 308798
2.50%		04/01/25	³		5,779		6,045


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool 312155
2.42%		03/01/25	³	$	19,622	$	19,631
Fannie Mae Pool 313182
7.50%		10/01/26			10,901		12,479
Fannie Mae Pool 384569
6.20%		01/01/12			100,000		102,519
Fannie Mae Pool 384762
6.01%		02/01/12			155,480		159,772
Fannie Mae Pool 545191
7.00%		09/01/31			16,282		18,293
Fannie Mae Pool 545269
5.94%		11/01/11			159,369		161,914
Fannie Mae Pool 545322
5.92%		11/01/11			72,101		72,390
Fannie Mae Pool 545831
6.50%		08/01/17			67,841		74,244
Fannie Mae Pool 555284
7.50%		10/01/17			8,386		9,124
Fannie Mae Pool 613142
7.00%		11/01/31			92,862		104,422
Fannie Mae Pool 625666
7.00%		01/01/32			50,685		57,790
Fannie Mae Pool 633698
7.50%		02/01/31			52,604		60,875
Fannie Mae Pool 637093
8.50%		03/01/32			19,390		22,583
Fannie Mae Pool 642322
2.54%		05/01/32	³		1,249		1,308
Fannie Mae Pool 646884
1.92%		05/01/32	³		8,642		8,832
Fannie Mae Pool 655928
7.00%		08/01/32			596,110		679,655
Fannie Mae Pool 725027
5.00%		11/01/33			44,432,235		46,903,778
Fannie Mae Pool 725232
5.00%		03/01/34			102,813		108,756
Fannie Mae Pool 725257
5.50%		02/01/34			8,954,871		9,644,666
Fannie Mae Pool 730957
5.00%		08/01/33			13,488,553		14,238,853
Fannie Mae Pool 734922
4.50%		09/01/33			14,754,339		15,260,105
Fannie Mae Pool 735207
7.00%		04/01/34			76,034		85,729
Fannie Mae Pool 735224
5.50%		02/01/35			44,608,253		48,090,127
Fannie Mae Pool 735646
4.50%		07/01/20			13,315,234		14,093,342


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool 735651
4.50%		06/01/35		$	47,782,060	$	49,330,399
Fannie Mae Pool 735686
6.50%		12/01/22			356,156		391,115
Fannie Mae Pool 735883
6.00%		03/01/33			9,676,424		10,678,085
Fannie Mae Pool 740297
5.50%		10/01/33			33,029		35,607
Fannie Mae Pool 741862
5.50%		09/01/33			34,033		36,689
Fannie Mae Pool 745592
5.00%		01/01/21			61,437		65,796
Fannie Mae Pool 765387
6.00%		08/01/34			333,369		369,897
Fannie Mae Pool 770284
5.00%		04/01/34			5,911,091		6,238,048
Fannie Mae Pool 770332
5.00%		04/01/34			22,017,039		23,234,857
Fannie Mae Pool 789606
6.00%		08/01/34			94,394		104,737
Fannie Mae Pool 817611
5.31%		11/01/35	³		4,867,634		5,185,855
Fannie Mae Pool 841031
5.27%		11/01/35	³		433,498		462,359
Fannie Mae Pool 844773
5.11%		12/01/35	³		74,379		79,261
Fannie Mae Pool 888412
7.00%		04/01/37			5,930,392		6,639,110
Fannie Mae Pool 888430
5.00%		11/01/33			35,186,635		37,143,892
Fannie Mae Pool 889125
5.00%		12/01/21			38,358,240		41,026,835
Fannie Mae Pool 889184
5.50%		09/01/36			39,857,558		42,851,546
Fannie Mae Pool 895606
5.75%		06/01/36	³		189,383		201,548
Fannie Mae Pool 908408
5.51%		04/01/37	³		15,673,278		16,601,624
Fannie Mae Pool 918445
5.78%		05/01/37	³		454,214		482,618
Fannie Mae Pool 933033
6.50%		10/01/37			16,105,521		17,673,293
Fannie Mae Pool AB1613
4.00%		10/01/40			117,501,228		117,088,141
Fannie Mae Pool AB1803
4.00%		11/01/40			113,493,634		113,147,831
Fannie Mae Pool AB1960
4.00%		12/01/40			68,299,926		68,027,792


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool AD0791
4.76%		02/01/20		$	19,591,646	$	20,738,013
Fannie Mae Pool AE0600
3.97%		11/01/20			42,866,101		43,210,018
Fannie Mae Pool AE0605
4.67%		07/01/20			33,958,564		36,577,655
Freddie Mac 1004 H
7.95%		10/15/20			716		814
Freddie Mac 1073 G
7.00%		05/15/21			3,245		3,735
Freddie Mac 1107 ZC
6.50%		07/15/21			12,983		14,910
Freddie Mac 165 K
6.50%		09/15/21			478		479
Freddie Mac 1980 Z
7.00%		07/15/27			389,880		453,629
Freddie Mac 1983 Z
6.50%		12/15/23			223,434		247,074
Freddie Mac 2043 CJ
6.50%		04/15/28			57,125		63,992
Freddie Mac 2098 TZ
6.00%		01/15/28			924,434		1,021,049
Freddie Mac 2209 TC
8.00%		01/15/30			244,901		270,916
Freddie Mac 2481 AW
6.50%		08/15/32			106,574		116,905
Freddie Mac 2624 QE
5.00%		09/15/28			82,501		82,499
Freddie Mac 2627 NI (IO)
5.00%		04/15/29			918,677		13,721
Freddie Mac 2642 BW (IO)
5.00%		06/15/23			77,746		10,536
Freddie Mac 2929 PE
5.00%		05/15/33			1,585,000		1,695,783
Freddie Mac 2971 AB
5.00%		05/15/20			3,688		3,927
Freddie Mac 3345 FP
0.46%		11/15/36	³		56,373,359		56,281,662
Freddie Mac 3345 PF
0.44%		05/15/36	³		53,032,277		52,824,470
Freddie Mac Gold (TBA)
3.50%		01/15/26			597,810,000		601,546,313
Freddie Mac Gold A14189
4.00%		10/01/33			201,763		202,838
Freddie Mac Gold A24156
6.50%		10/01/31			1,659,861		1,866,633
Freddie Mac Gold A25162
5.50%		05/01/34			16,049,087		17,199,481


Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Gold A39012
5.50%		06/01/35	$	84,092	$	90,054
Freddie Mac Gold A54856
5.00%		01/01/34		23,534,754		24,778,603
Freddie Mac Gold A61164
5.00%		04/01/36		280,752		295,459
Freddie Mac Gold A64183
6.00%		08/01/37		100,268		109,625
Freddie Mac Gold A65805
6.00%		09/01/37		2,082,032		2,278,280
Freddie Mac Gold C01492
5.00%		02/01/33		7,187,588		7,568,587
Freddie Mac Gold C46104
6.50%		09/01/29		84,072		94,545
Freddie Mac Gold C55789
7.50%		10/01/27		35,470		40,589
Freddie Mac Gold C90573
6.50%		08/01/22		367,802		407,697
Freddie Mac Gold E02402
6.00%		10/01/22		120,243		131,884
Freddie Mac Gold G00992
7.00%		11/01/28		5,480		6,238
Freddie Mac Gold G01515
5.00%		02/01/33		7,318,518		7,707,601
Freddie Mac Gold G01601
4.00%		09/01/33		925,979		930,912
Freddie Mac Gold G01611
4.00%		09/01/33		250,752		252,088
Freddie Mac Gold G01673
5.50%		04/01/34		2,478,199		2,687,784
Freddie Mac Gold G02579
5.00%		12/01/34		12,735,834		13,446,768
Freddie Mac Gold G02884
6.00%		04/01/37		29,093,313		31,644,660
Freddie Mac Gold G02955
5.50%		03/01/37		22,467,627		24,207,990
Freddie Mac Gold G03357
5.50%		08/01/37		9,767,338		10,530,029
Freddie Mac Gold G03601
6.00%		07/01/37		32,643,035		35,689,292
Freddie Mac Gold G03676
5.50%		12/01/37		23,656,646		25,518,682
Freddie Mac Gold G03783
5.50%		01/01/38		11,104,871		11,987,622
Freddie Mac Gold G03985
6.00%		03/01/38		140,387		152,764
Freddie Mac Gold G04053
5.50%		03/01/38		119,062		128,610


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Gold G04079
5.50%		03/01/38		$	47,021,480	$	50,722,583
Freddie Mac Gold G04438
5.50%		05/01/38			44,457,026		48,022,327
Freddie Mac Gold G04703
5.50%		08/01/38			60,557,233		64,708,716
Freddie Mac Gold G04706
5.50%		09/01/38			861,252		929,715
Freddie Mac Gold G05866
4.50%		02/01/40			65,760,932		67,984,340
Freddie Mac Gold G11707
6.00%		03/01/20			4,053,411		4,424,551
Freddie Mac Gold G12393
5.50%		10/01/21			32,704,492		35,181,602
Freddie Mac Gold G12399
6.00%		09/01/21			17,673		19,302
Freddie Mac Gold G12824
6.00%		08/01/22			9,741,748		10,577,407
Freddie Mac Gold G12909
6.00%		11/01/22			26,857,360		29,356,353
Freddie Mac Gold G13032
6.00%		09/01/22			7,387,010		8,011,442
Freddie Mac Gold G13058
4.50%		10/01/20			23,657,273		24,980,600
Freddie Mac Gold H00790
5.50%		05/01/37			336,746		356,572
Freddie Mac Gold H05069
5.50%		05/01/37			25,481,573		26,830,305
Freddie Mac Gold H09082
6.50%		09/01/37			116,573		127,539
Freddie Mac Non Gold Pool 1J0045
5.14%		01/01/36	³		201,010		214,262
Freddie Mac Non Gold Pool 781415
2.61%		04/01/34	³		4,016,411		4,182,779
Freddie Mac Non Gold Pool 781469
2.61%		04/01/34	³		3,550,301		3,701,359
Freddie Mac Non Gold Pool 781817
2.61%		08/01/34	³		70,231		73,311
Freddie Mac Non Gold Pool 788498
2.78%		02/01/30	³		322,582		338,374
Freddie Mac Non Gold Pool 847288
2.68%		05/01/34	³		5,290,424		5,520,556
Freddie Mac Pool J13884
3.50%		12/01/25			196,345,000		197,878,945
Ginnie Mae 2000-22 SG (IO)
10.54%		05/16/30	³		1,152,965		238,864
Ginnie Mae 2003-28 LI (IO)
5.50%		02/20/32			1,218,796		78,399


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Ginnie Mae 2003-86 ZK
5.00%		10/20/33		$	21,734,140	$	22,479,197
Ginnie Mae 2005-78 ZA
5.00%		10/16/35			20,187,580		20,909,845
Ginnie Mae 2007-35 PY
6.49%		06/16/37	³		88,122,797		14,082,323
Ginnie Mae 2009-106 SD (IO)
5.99%		03/20/36	³		91,100,493		11,536,001
Ginnie Mae 2009-106 XI (IO)
6.54%		05/20/37	³		264,655,680		37,521,691
Ginnie Mae 2010-4 SM (IO)
5.54%		01/16/40	³		78,041,585		9,180,196
Ginnie Mae 2010-6 BS (IO)
6.24%		09/16/39	³		47,143,831		6,013,441
Ginnie Mae I (TBA)
4.00%		01/15/41			319,620,000		321,917,269
Ginnie Mae I Pool 782817
4.50%		11/15/39			74,616,451		77,623,925
Ginnie Mae II (TBA)
4.00%		01/20/41			161,785,000		162,772,050
Ginnie Mae II Pool 2631
7.00%		08/20/28			8,145		9,181
Ginnie Mae II Pool 80968
2.63%		07/20/34	³		51,617		53,572
National Credit Union Administration Guaranteed Notes 2010-C1 A2
2.90%		10/29/20			53,500,000		52,100,831
National Credit Union Administration Guaranteed Notes 2010-R1 A1
0.72%		10/07/20	³		59,863,048		59,788,219
National Credit Union Administration Guaranteed Notes 2010-R3 1A
0.83%		12/08/20	³		61,450,000		61,373,187
National Credit Union Administration Guaranteed Notes 2010-R3 2A
0.83%		12/08/20	³		51,680,000		51,615,400

							3,796,141,732


Total Mortgage-Backed (Cost $6,262,971,992)							6,584,324,542

MUNICIPAL BONDS — 1.11%*
California — 0.76%
California State Build America Bonds
7.60%		11/01/40			6,225,000		6,488,629
Los Angeles Department of Water & Power Revenue
6.57%		07/01/45			40,650,000		40,943,899
State of California, Public Improvements, G.O., Build America Bonds
7.30%		10/01/39			20,010,000		20,172,081


Issues	Maturity Date			Principal Amount		Value
MUNICIPAL BONDS (continued)
California (continued)
State of California, School Improvements, G.O., Build America Bonds
6.65%		03/01/22		$	3,975,000	$	4,134,557
State of California, School Improvements, G.O., Build America Bonds, Taxable Variable Purpose
7.55%		04/01/39			7,799,000		8,096,454
State of California, School Improvements, G.O., Taxable Variable Purpose
5.50%		03/01/16			8,450,000		8,689,557

							88,525,177

Illinois — 0.25%
State of Illinois, Build America Revenue Bonds
7.35%		07/01/35			8,910,000		8,736,077
State of Illinois, Pension Funding G.O., Taxable
4.07%		01/01/14			17,070,000		17,233,189
5.10%		06/01/33			4,420,000		3,311,331

							29,280,597

New Jersey — 0.10%
New Jersey State Turnpike Authority
7.10%		01/01/41			10,250,000		11,119,507

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		7,782

Total Municipal Bonds (Cost $127,591,876)							128,933,063

U.S. AGENCY SECURITIES — 2.87%
U.S. Agency Securities — 2.87%
Federal Home Loan Bank
0.60%		06/04/12			105,180,000		105,180,000
Freddie Mac
0.32%		10/12/12	³		228,905,000		229,592,402

							334,772,402

Total U.S. Agency Securities (Cost $334,085,000)							334,772,402

U.S. TREASURY SECURITIES — 20.07%
U.S. Treasury Bonds — 4.05%
U.S. Treasury Bonds
4.38%		05/15/40			74,315,000		74,686,278
8.00%		11/15/21			79,578,000		112,618,396
U.S. Treasury Bonds - Treasury Inflation Indexed Bonds
2.38%		01/15/25	¹⁰		166,150,000		215,016,182


Issues	Maturity Date			Principal Amount		Value
U.S. TREASURY SECURITIES (continued)
U.S. Treasury Bonds (continued)
U.S. Treasury Notes (Strip Principal)
3.00%		11/15/21			$103,555,000	$	68,987,306

							471,308,162

U.S. Treasury Notes — 16.02%
U.S. Treasury Notes
1.00%		08/31/11			233,260,000		234,472,019
1.88%		08/31/17			189,170,000		180,613,084
3.00%		09/30/16			118,300,000		122,708,568
3.13%		04/30/17			315,607,500		327,072,889
3.38%		11/15/19			454,075,000		463,617,840
3.63%		02/15/20			249,525,000		258,999,215
U.S. Treasury Notes - Treasury Inflation Indexed Notes
2.00%		01/15/16	¹⁰		91,394,000		109,792,371
3.38%		01/15/12	¹⁰		43,980,000		56,664,700
3.50%		01/15/11	¹⁰		88,490,000		111,348,633

							1,865,289,319

Total U.S. Treasury Securities (Cost $2,390,868,685)							2,336,597,481

Total Bonds – 107.03% (Cost $12,009,160,898)							12,463,307,978

Issues

Maturity
Date

Shares/
Principal
Amount

Value

SHORT-TERM INVESTMENTS — 7.32%

Money Market Fund — 7.22%

Dreyfus Cash Advantage Fund

0.19%¹¹

523,461,000

DWS Money Market Series-Institutional

0.17%¹¹

37,820,000

Fidelity Institutional Money Market Funds - Prime Money Market Portfolio

0.17%¹¹

223,289,000

Goldman Sachs Financial Square Funds - Prime Obligations Fund

0.13%^11,12

56,330,000

840,900,000

U.S. Treasury Bills — 0.10%

U.S. Treasury Bills

0.15%¹³

02/10/11

¹⁴

600,000

599,937

0.15%¹³

02/10/11

¹⁴

2,860,000

2,859,698

0.15%¹³

02/10/11

¹⁴

372,000

371,954

0.15%¹³

02/10/11

¹⁴

3,920,000

3,919,493

0.15%¹³

02/10/11

¹⁴

605,000

604,936

0.15%¹³

02/10/11

¹⁴

85,000

84,991

0.15%¹³

02/10/11

¹⁴

140,000

139,985


Issues	Maturity Date			Shares/ Principal Amount		Value
SHORT-TERM INVESTMENTS (continued)
U.S. Treasury Bills (continued)
0.15%¹³		02/10/11	¹⁴	$	370,000	$	369,961
0.15%¹³		02/10/11	¹⁴		1,000,000		999,894
0.15%¹³		02/10/11	¹⁴		1,295,000		1,294,863

							11,245,712

Total Short-Term Investments (Cost $852,145,197)							852,145,712

Total Investments – 114.35% (Cost $12,861,306,095)¹							13,315,453,690

Liabilities in Excess of Other Assets – (14.35)%							(1,671,399,144	)

NET ASSETS – 100.00%						$	11,644,054,546


	Contracts		Premiums (Received)			Value
WRITTEN PUT OPTIONS
U.S. Long Bond (CBT), Call Strike $118, expires 02/18/11		(820)	$	(1,023,262	)	$	(499,688	)
U.S. Long Bond (CBT), Call Strike $122, expires 02/18/11		(820)		(869,471	)		(1,921,875	)
U.S. Long Bond (CBT), Call Strike $123, expires 02/18/11		(820)		(677,283	)		(2,498,437	)

Total Written Put Options			$	(2,570,016	)	$	(4,920,000	)


Contracts		Unrealized (Depreciation)
FUTURES CONTRACTS: SHORT POSITIONS
13	Euro Dollar Ninety Day, Expiration March 2011		$ (71,045	)
13	Euro Dollar Ninety Day, Expiration June 2011		(80,632	)
13	Euro Dollar Ninety Day, Expiration September 2011		(87,782	)
13	Euro Dollar Ninety Day, Expiration December 2011		(92,333	)
13	Euro Dollar Ninety Day, Expiration March 2012		(92,820	)
13	Euro Dollar Ninety Day, Expiration June 2012		(90,708	)

	Net unrealized depreciation		$(515,320	)


	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	$	(1,514,695	)	$	(1,514,695	)
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		(1,649,716	)		(1,649,716	)
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		(2,790,932	)		(2,790,932	)
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		(5,242,590	)		(5,242,590	)

			$	57,131	$	(11,197,933	)	$	(11,197,933	)


	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		$(45,960)		$(45,960)
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		(61,605)		(61,605)
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		(60,223)		(60,223)
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		(11,309)		(11,309)
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		(22,579)		(22,579)
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		(60,337)		(60,337)
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		(62,253)		(62,253)


	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 1.85% 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	$	(133,859	)	$	(133,859	)
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		(469,803	)		(469,803	)
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		(248,306	)		(248,306	)
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		(416,031	)		(416,031	)
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		(62,372	)		(62,372	)
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		(135,680	)		(135,680	)
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		(23,730	)		(23,730	)
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		(84,564	)		6,610		(86,210	)		(170,774	)
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		(60,205	)		5,000		(68,974	)		(129,179	)
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		(71,579	)		5,595		(72,972	)		(144,551	)
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		(250,819	)		(250,819	)
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		122,661			3,450		131,605			254,266
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		271,428			5,510		134,661			406,089


	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: Goldman Sachs Group, Inc. (The)
		09/20/16	$	283,251	$	5,750	$	140,526		$	423,777
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		17,031		6,875		264,289			281,320
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		81,585		16,500		593,583			675,168
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		15,802		6,465		248,943			264,745

			$	575,410	$	125,785	$	(779,415	)	$	(204,005	)


	Expiration Date		Premiums Paid		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	$	1,226,897	$	2,130	$	(1,057,818	)	$	169,079
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		14,726,650		25,000		(12,742,150	)		1,984,500
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		11,961,803		20,450		(10,338,482	)		1,623,321
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		6,906,793		28,590		(4,637,319	)		2,269,474
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		1,297,324		15,430		(72,491	)		1,224,833
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		2,020,551		21,425		(319,834	)		1,700,717
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		4,782,499		8,525		(4,105,784	)		676,715
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		781,851		1,325		(676,672	)		105,179


	Expiration Date	Premiums Paid			Notional Amount (000’s) ^b		Appreciation/ (Depreciation)			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: CS First Boston
	10/12/52	$	471,691		$	805	$	(407,790	)	$	63,901
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		4,211,257			7,265		(3,634,561	)		576,696
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		22,718			95		(15,177	)		7,541
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		96,077			1,310		7,911			103,988

		$	48,506,111		$	132,350	$	(38,000,167	)	$	10,505,944


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 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	$	110,399		$	110,399
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		200,558			200,558

		$	–		$	33,800	$	310,957		$	310,957


	Expiration Date	Premiums (Received)			Notional Amount (000’s) ^b		Appreciation			Value^c
SWAPS: CREDIT DEFAULT (WRITTEN) - TRADED INDICES
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	$	(13,653,731	)	$	21,848	$	2,069,791		$	(11,583,940	)
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		(6,916,611	)		10,432		1,385,541			(5,531,070	)
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		(6,711,245	)		9,841		1,493,254			(5,217,991	)
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		(15,210,662	)		24,603		2,165,685			(13,044,977	)


	Expiration Date	Premiums (Received)			Notional Amount (000’s) ^b		Appreciation		Value^c
SWAPS: CREDIT DEFAULT (WRITTEN) - TRADED INDICES (continued)
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	$	(15,181,070	)	$	24,604	$	2,136,093	$	(13,044,977	)

		$	(57,673,319	)	$	91,328	$	9,250,364	$	(48,422,955	)


Issues	Notional Amount (000’s)			Premiums (Received)			Value
SWAPS: RATE FLOOR INFLATION
The Fund received a fixed payment equal to $735,540 and the Fund will pay to the counterparty a floating rate based on the Consumer Price Indexes-Urban at expiration of the swap 11/23/2020. Counterparty: Citigroup, Inc.
	$	(63,960	)	$	(735,540	)	$	(671,580	)

	$	(63,960	)	$	(735,540	)	$	(671,580	)

^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 $12,867,075,769 and net unrealized appreciation/(depreciation) consists of:


Gross unrealized appreciation	$	701,146,377
Gross unrealized depreciation		(252,768,457	)

Net unrealized appreciation	$	448,377,920

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

³	Floating rate security. The rate disclosed is that in effect at December 31, 2010.

⁴

⁵	Illiquid security as determined under procedures approved by the Fund’s Board of Trustees. The aggregate value of illiquid securities is $3,160,378, which is 0.03% of total net assets.

⁶	Security is currently in default with regard 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, 3.27%, 07/07/14

736,911

704,635

0.00%


Date of Purchase	Security	Amortized Cost		Value		% of Total Net Assets
06/08/10	Calpine New Development Holdings LLC, 7.00%, 07/01/17	$	9,205,231	$	9,549,980		0.08%
06/27/07	Cengage Learning Term Loan B, 2.55%, 07/03/14		1,925,271		1,824,947		0.01%
06/04/07	Charter Communications, Inc. Term Loan 3rd Lien, 2.76%, 09/06/14		1,003,174		966,458		0.01%
09/03/10	CIT Group, Inc. 3-DD 1st Lien Term Loan, 6.25%, 08/11/15		9,031,891		9,193,122		0.08%
09/11/07	Delta Air Lines, Inc. Term Loan 1st Lien, 1.95%, 04/30/12		234,469		233,592		0.00%
01/05/09	Dex Media West LLC Term Loan, 7.00%, 10/24/14		1,201,202		1,639,572		0.01%
06/24/10	Harrah’s Entertainment, Inc. Term Loan B2, 3.29%, 01/28/15		19,585,436		20,631,406		0.18%
10/05/10	Harrah’s Operating Co., Inc. Term Loan, 3.29%, 01/28/15		1,752,809		1,811,094		0.01%
10/10/07	HCA Term Loan A, 1.55%, 11/17/12		20,275,477		20,672,432		0.18%
12/17/10	Intelsat Jackson Holdings Term Loan B, 1st Lien, 0.00%, 04/03/18		15,920,000		16,177,088		0.14%
09/02/10	Kelson 2nd Lien (PIK), 6.80%, 03/08/14		2,153,204		2,106,314		0.02%
11/25/08	Tribune 1st Lien Term Loan B, 0.00%, 06/04/14		450,000		1,043,035		0.01%
06/11/09	TXU Energy Term Loan B1, 3.76%, 10/10/14		804,398		761,175		0.01%
10/31/07	TXU Energy Term Loan B3, 3.76%, 10/10/14		2,415,412		1,871,759		0.02%
09/23/10	Visant Corp. Tranche B Term Loan, 7.00%, 12/22/16		22,205,146		22,726,631		0.20%

		$	108,900,031	$	111,913,240		0.96%

⁹	Zero coupon bond. The rate shown is the effective yield as of December 31, 2010.

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

¹¹	Represents the current yield as of December 31, 2010.

¹²	Securities, or a portion thereof, pledged as collateral for swaps. The total market value of collateral pledged is $56,330,000.

¹³	Represents annualized yield at date of purchase.

¹⁴	Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $10,908,499.

^†

Fair valued security. The aggregate value of fair valued securities is $101,494,843, which is 0.87% 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.


Issues	Maturity Date			Principal Amount		Value
BONDS – 91.52%
CORPORATES — 80.58%*
Automotive — 2.34%
Cooper-Standard Automotive, Inc.
8.50%		05/01/18	²	$	10,700,000	$	11,395,500
Goodyear Tire & Rubber Co. (The)
8.25%		08/15/20			14,650,000		15,272,625
Tenneco, Inc.
7.75%		08/15/18	²		8,000,000		8,520,000
8.13%		11/15/15			4,125,000		4,362,187

							39,550,312

Banking — 3.37%
Ally Financial, Inc.
2.50%		12/01/14	³		10,053,000		9,364,068
7.50%		09/15/20	²		3,450,000		3,635,437
8.00%		03/15/20			3,250,000		3,558,750
8.30%		02/12/15			2,900,000		3,197,250
Bank of America N.A.
0.60%		06/15/17	³		2,000,000		1,739,186
BankAmerica Capital II
8.00%		12/15/26			6,855,000		6,949,256
BankAmerica Capital III
0.86%		01/15/27	³		2,700,000		1,926,466
Chase Capital III C
0.85%		03/01/27	³		3,000,000		2,340,000
Chase Capital VI
0.91%		08/01/28	³		1,000,000		780,000
Discover Bank
8.70%		11/18/19			2,265,000		2,670,424
First Chicago NBD Institutional Capital I
0.84%		02/01/27	³		540,000		428,425
Fleet Capital Trust V
1.30%		12/18/28	³		3,750,000		2,662,500
Nationsbank Capital Trust III
0.84%		01/15/27	³		6,342,000		4,502,820
Nationsbank Capital Trust IV
8.25%		04/15/27			815,000		831,300
Provident Funding Associates
10.25%		04/15/17	²		12,055,000		12,507,063

							57,092,945

Communications — 12.94%
CCH II Holdings LLC/CCH II Holdings Capital Corp.
13.50%		11/30/16			1,329,000		1,591,477
CCO Holdings LLC/CCO Holdings Capital Corp.
7.88%		04/30/18			2,400,000		2,496,000
Cengage Learning Acquisitions, Inc.
10.50%		01/15/15	²		8,932,000		9,266,950


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Communications (continued)
Cequel Communications Holdings I LLC/Cequel Capital Corp.
8.63%		11/15/17	²	$	14,800,000	$	15,540,000
Charter Communications Operating LLC/Charter Communications Operating Capital
8.00%		04/30/12	²		500,000		527,500
10.88%		09/15/14	²		4,000,000		4,490,000
Cincinnati Bell, Inc.
8.25%		10/15/17			5,150,000		5,124,250
8.38%		10/15/20			4,750,000		4,571,875
Clearwire Communications LLC/Clearwire Finance, Inc.
8.25%		12/01/40	²		4,650,000		4,771,225
12.00%		12/01/15	²		4,500,000		4,860,000
Frontier Communications Corp.
7.13%		03/15/19			3,000,000		3,097,500
8.25%		04/15/17			1,250,000		1,378,125
GCI, Inc.
7.25%		02/15/14			500,000		508,750
GCI, Inc. (WI)
8.63%		11/15/19			1,700,000		1,848,750
Global Crossing Ltd. (WI) (Bermuda)
12.00%		09/15/15	⁴		2,000,000		2,265,000
Global Crossing UK Finance Plc (United Kingdom)
10.75%		12/15/14	⁴		2,000,000		2,080,000
Intelsat Corp.
9.25%		06/15/16			2,500,000		2,712,500
Intelsat Jackson Holdings SA (Luxembourg)
8.50%		11/01/19	^2,4		1,000,000		1,080,000
9.50%		06/15/16	⁴		2,250,000		2,385,000
11.25%		06/15/16	⁴		3,250,000		3,473,437
Intelsat Luxembourg SA (PIK) (WI) (Luxembourg)
11.50%		02/04/17	⁴		16,628,382		18,457,504
Intelsat Luxembourg SA (STEP) (Luxembourg)
9.50%		02/01/15	⁴		5,500,000		5,685,625
Intelsat Luxembourg SA (WI) (Luxembourg)
11.25%		02/04/17	⁴		1,500,000		1,642,500
iPCS, Inc. (PIK)
3.54%		05/01/14			9,000,000		8,685,000
Level 3 Financing, Inc.
4.34%		02/15/15	³		11,200,000		9,632,000
9.25%		11/01/14			3,400,000		3,366,000
LIN Television Corp.
6.50%		05/15/13			2,695,000		2,715,212
LIN Television Corp. B
6.50%		05/15/13			2,700,000		2,713,500


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Communications (continued)
McClatchy Co. (The)
11.50%		02/15/17		$	7,730,000	$	8,715,575
Nextel Communications, Inc. E
6.88%		10/31/13			9,005,000		9,072,536
Proquest LLC/Proquest Notes Co.
9.00%		10/15/18	²		3,000,000		3,112,500
Qwest Communications International, Inc. B
7.50%		02/15/14			10,928,000		11,119,240
Sprint Nextel Corp.
6.00%		12/01/16			7,000,000		6,798,750
Telesat Canada LLC (WI) (Canada)
12.50%		11/01/17	⁴		2,000,000		2,365,000
Umbrella Acquisitions, Inc. (PIK)
9.75%		03/15/15	²		9,004,512		9,769,896
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH (Germany)
8.13%		12/01/17	^2,4		650,000		679,250
Univision Communications, Inc.
7.88%		11/01/20	²		2,000,000		2,110,000
UPC Holding BV (Netherlands)
9.88%		04/15/18	^2,4		1,750,000		1,925,000
Visant Corp.
10.00%		10/01/17	²		15,000,000		15,975,000
Windstream Corp.
7.88%		11/01/17			5,000,000		5,281,250
8.63%		08/01/16			14,500,000		15,170,625


							219,060,302

Consumer Discretionary — 1.47%
American Achievement Corp.
10.88%		04/15/16	²		8,000,000		8,220,000
Cott Beverages, Inc.
8.13%		09/01/18			2,600,000		2,814,500
Reynolds Group Issuer, Inc.
9.00%		04/15/19	²		13,500,000		13,938,750


							24,973,250

Consumer Products — 0.97%
Hanesbrands, Inc.
8.00%		12/15/16			3,275,000		3,528,813
Levi Strauss & Co.
7.63%		05/15/20			4,775,000		4,948,094
Spectrum Brands, Inc.
9.50%		06/15/18	²		7,200,000		7,920,000


							16,396,907

Electric — 9.27%
AES Corp. (The)
7.75%		10/15/15			4,636,000		4,937,340


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Electric (continued)
AES Red Oak LLC A
8.54%		11/30/19		$	2,480,297	$	2,480,297
Calpine Construction Finance Co. LP
8.00%		06/01/16	²		10,925,000		11,662,437
Calpine Corp.
7.88%		07/31/20	²		2,250,000		2,261,250
Coso Geothermal Power Holdings
7.00%		07/15/26	²		6,778,000		5,896,860
Dynegy Holdings, Inc.
7.75%		06/01/19			15,200,000		10,222,000
Dynegy Roseton/Danskammer Pass-Through Trust B
7.67%		11/08/16			13,596,000		12,780,240
Edison Mission Energy
7.00%		05/15/17			28,660,000		22,928,000
7.75%		06/15/16			1,750,000		1,494,063
Energy Future Holdings Corp.
10.88%		11/01/17			3,439,000		2,407,300
Energy Future Holdings Corp. (PIK)
11.25%		11/01/17			401,057		242,639
Energy Future Holdings Corp. Q
6.50%		11/15/24			6,600,000		2,475,000
Energy Future Intermediate Holding Co. LLC/Energy Future Intermediate Holding Co. Finance, Inc.
10.00%		12/01/20			7,381,000		7,648,731
FPL Energy National Wind Portfolio LLC
6.13%		03/25/19	²		4,565,809		4,340,715
Indiantown Cogeneration LP A-10
9.77%		12/15/20			1,665,000		1,802,363
Midwest Generation LLC B
8.56%		01/02/16			1,214,825		1,214,825
Mirant Americas Generation LLC
8.50%		10/01/21			22,740,000		22,853,700
9.13%		05/01/31			6,400,000		6,336,000
Mirant Mid Atlantic Pass-Through Trust B
9.13%		06/30/17			3,578,073		3,846,428
Mirant Mid Atlantic Pass-Through Trust C
10.06%		12/30/28			1,914,489		2,125,082
NRG Energy, Inc.
7.38%		02/01/16			9,241,000		9,495,127
PNM Resources, Inc.
9.25%		05/15/15			7,525,000		8,352,750
Puget Energy, Inc.
6.50%		12/15/20	²		5,000,000		4,968,059
Reliant Energy Mid-Atlantic Power Holdings LLC B
9.24%		07/02/17			2,130,629		2,303,743


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Electric (continued)
Texas Competitive Electric Holdings Co. LLC A
10.25%		11/01/15		$	3,500,000	$	1,995,000

							157,069,949


Energy — 15.55%
Allis-Chalmers Energy, Inc.
8.50%		03/01/17			7,095,000		7,254,637
Alta Mesa Holdings/Alta Mesa Finance Services Corp.
9.63%		10/15/18	²		7,750,000		7,556,250
Antero Resources Finance Corp.
9.38%		12/01/17			8,760,000		9,208,950
Aquilex Holdings LLC/Aquilex Finance Corp. (WI)
11.13%		12/15/16			1,500,000		1,526,250
Arch Coal, Inc.
7.25%		10/01/20			1,250,000		1,325,000
Arch Coal, Inc. (WI)
8.75%		08/01/16			2,500,000		2,731,250
Atlas Energy Operating Co. LLC/Atlas Energy Finance Corp.
10.75%		02/01/18			5,100,000		6,253,875
12.13%		08/01/17			2,198,000		2,791,460
Chaparral Energy, Inc.
8.50%		12/01/15			3,500,000		3,561,250
8.88%		02/01/17			25,094,000		25,219,470
9.88%		10/01/20	²		3,750,000		3,956,250
Chesapeake Energy Corp.
2.25%		12/15/38			24,910,000		19,467,040
2.50%		05/15/37			2,750,000		2,468,125
2.75%		11/15/35			3,500,000		3,491,250
Concho Resources, Inc./Midland Texas
7.00%		01/15/21			2,750,000		2,832,500
Delta Petroleum Corp.
7.00%		04/01/15			1,000,000		660,000
El Paso Pipeline Partners Operating Co. LLC
6.50%		04/01/20			2,000,000		2,105,000
Hilcorp Energy I LP/Hilcorp Finance Co.
7.63%		04/15/21	²		3,000,000		3,112,500
7.75%		11/01/15	²		1,875,000		1,945,313
James River Coal Co.
9.38%		06/01/12			5,000,000		5,125,000
Linn Energy LLC/Linn Energy Finance Corp.
8.63%		04/15/20	²		2,000,000		2,165,000
Massey Energy Co.
3.25%		08/01/15			17,100,000		16,779,375
6.88%		12/15/13			6,200,000		6,308,500
OPTI Canada, Inc. (Canada)
7.88%		12/15/14	⁴		12,822,000		9,039,510


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Energy (continued)
8.25%		12/15/14	⁴	$	18,950,000	$	13,525,563
Parker Drilling Co.
9.13%		04/01/18			1,500,000		1,575,000
Penn Virginia Corp.
10.38%		06/15/16			5,250,000		5,880,000
Petrohawk Energy Corp.
10.50%		08/01/14			2,160,000		2,473,200
Quicksilver Resources, Inc.
7.13%		04/01/16			1,000,000		962,500
8.25%		08/01/15			3,925,000		4,091,813
9.13%		08/15/19			1,000,000		1,085,000
11.75%		01/01/16			500,000		585,000
Sabine Pass LNG LP
7.25%		11/30/13			11,700,000		11,436,750
7.50%		11/30/16			26,230,000		24,721,775
SandRidge Energy, Inc.
8.00%		06/01/18	²		1,000,000		987,500
8.75%		01/15/20			1,750,000		1,806,875
9.88%		05/15/16	²		2,500,000		2,656,250
Southern Union Co.
7.20%		11/01/66	³		38,812,000		35,901,100
Tesoro Corp.
6.50%		06/01/17			7,575,000		7,631,813
9.75%		06/01/19			1,000,000		1,112,500

							263,316,394


Entertainment — 1.32%
Live Nation Entertainment, Inc.
2.88%		07/15/27			3,250,000		2,920,937
8.13%		05/15/18	²		3,150,000		3,193,313
Pinnacle Entertainment, Inc. (WI)
8.63%		08/01/17			2,600,000		2,847,000
Regal Cinemas Corp.
8.63%		07/15/19			9,325,000		9,872,844
Regal Entertainment Group
9.13%		08/15/18			3,350,000		3,584,500

							22,418,594


Finance — 7.74%
Alta Wind Holdings LLC
7.00%		06/30/35	²		2,500,000		2,667,625
Astoria Depositor Corp.
8.14%		05/01/21	²		7,000,000		7,000,000
BankBoston Capital Trust III
1.05%		06/15/27	³		305,000		216,550
BankBoston Capital Trust IV
0.90%		06/08/28	³		1,900,000		1,349,000
Barnett Capital III
0.91%		02/01/27	³		800,000		566,757


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Finance (continued)
Bumble Bee Acquisition Corp.
9.00%		12/15/17	²	$	5,500,000	$	5,761,250
Cantor Fitzgerald LP
6.38%		06/26/15	²		3,250,000		3,289,221
Capital One Capital V
10.25%		08/15/39			3,875,000		4,170,469
Chase Capital II B
0.79%		02/01/27	³		11,790,000		9,196,200
CIT Group, Inc.
7.00%		05/01/13			26,068,884		26,655,434
7.00%		05/01/14			4,000,000		4,040,000
7.00%		05/01/15			500,000		502,500
Citigroup, Inc.
0.84%		08/25/36	³		9,460,000		6,101,700
Ford Motor Credit Co. LLC
8.00%		12/15/16			6,500,000		7,215,000
General Electric Capital Corp. (MTN)
0.77%		08/15/36	³		10,480,000		7,969,610
International Lease Finance Corp.
6.75%		09/01/16	²		3,250,000		3,485,625
7.13%		09/01/18	²		8,500,000		9,073,750
JPMorgan Chase Capital XIII M
1.25%		09/30/34	³		5,917,000		4,615,260
JPMorgan Chase Capital XXI U
1.24%		02/02/37	³		4,750,000		3,610,000
LBI Escrow Corp.
8.00%		11/01/17	²		5,525,000		6,077,500
Lehman Brothers Holdings, Inc. (MTN)
11.00%		11/07/16	^3,5,6		383,000		88,090
Lehman Brothers Holdings, Inc. H (MTN)
0.00%		11/30/10	^3,5,6		294,000		67,620
MBNA Capital B
1.09%		02/01/27	³		4,550,000		3,230,500
Prudential Holdings LLC
8.70%		12/18/23	²		2,500,000		3,036,612
Raymond James Financial, Inc.
8.60%		08/15/19			2,300,000		2,730,089
ZFS Finance USA Trust II
6.45%		12/15/65	^2,3		6,500,000		6,459,375
ZFS Finance USA Trust IV
5.88%		05/09/32	^2,3		2,000,000		1,959,260

							131,134,997


Food — 0.62%
Dole Food Co., Inc.
8.00%		10/01/16	²		1,000,000		1,060,000
13.88%		03/15/14			1,311,000		1,609,253
JBS USA LLC/JBS USA Finance, Inc.
11.63%		05/01/14			3,500,000		4,112,500


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Food (continued)
Simmons Foods, Inc.
10.50%		11/01/17	²	$	3,500,000	$	3,753,750

							10,535,503


Gaming — 2.26%
Boyd Gaming Corp.
7.13%		02/01/16			9,250,000		8,348,125
Marina District Finance Co., Inc.
9.50%		10/15/15	²		22,050,000		21,774,375
9.88%		08/15/18	²		650,000		643,500
MGM Mirage
9.00%		03/15/20	²		1,350,000		1,481,625
10.38%		05/15/14			2,400,000		2,700,000
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.
7.75%		08/15/20			3,100,000		3,363,500

							38,311,125


Health Care — 5.83%
Accellent, Inc.
8.38%		02/01/17			19,228,000		19,804,840
Alere, Inc.
9.00%		05/15/16			4,779,000		4,946,265
CHS/Community Health Systems, Inc.
8.88%		07/15/15			25,590,000		26,869,500
ConvaTec Healthcare E SA (Luxembourg)
10.50%		12/15/18	^2,4		8,000,000		8,172,896
HCA, Inc.
7.50%		12/15/23			3,965,000		3,657,713
9.13%		11/15/14			1,500,000		1,576,875
9.25%		11/15/16			10,100,000		10,800,687
9.88%		02/15/17			1,000,000		1,101,250
HCA, Inc. (WI)
8.50%		04/15/19			3,939,000		4,332,900
Patheon, Inc. (Canada)
8.63%		04/15/17	^2,4		2,500,000		2,493,750
Rotech Healthcare, Inc.
10.75%		10/15/15	²		3,500,000		3,613,750
Tenet Healthcare Corp.
6.88%		11/15/31			3,500,000		2,813,125
UHS Escrow Corp.
7.00%		10/01/18	²		8,250,000		8,476,875

							98,660,426


Homebuilding — 0.61%
K Hovnanian Enterprises, Inc.
10.63%		10/15/16			10,000,000		10,300,000


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Industrials — 4.40%
Ardagh Packaging Finance Plc (Ireland)
9.13%		10/15/20	^2,4	$	5,000,000	$	5,225,000
Ball Corp.
5.75%		05/15/21			1,750,000		1,706,250
Berry Plastics Corp.
5.04%		02/15/15	³		3,150,000		3,055,500
8.25%		11/15/15			1,250,000		1,331,250
BWAY Holding Co.
10.00%		06/15/18	²		2,100,000		2,275,875
BWAY Parent Co., Inc. (PIK)
10.13%		11/01/15	²		10,250,000		10,403,750
Casella Waste Systems, Inc.
11.00%		07/15/14			3,500,000		3,889,375
General Cable Corp.
0.88%		11/15/13			2,175,000		2,161,406
Graham Packaging Co. LP/GPC Capital Corp. I
8.25%		01/01/17			2,500,000		2,612,500
Maxim Crane Works LP
12.25%		04/15/15	²		8,950,000		8,692,687
New Enterprise Stone & Lime Co.
11.00%		09/01/18	²		2,700,000		2,578,500
Reddy Ice Corp. (WI)
11.25%		03/15/15			14,950,000		15,361,125
Solo Cup Co./Solo Cup Operating Corp.
10.50%		11/01/13			14,500,000		15,261,250

							74,554,468


Information Technology — 0.22%
First Data Corp.
8.88%		08/15/20	²		3,500,000		3,710,000


Insurance — 0.26%
Farmers Exchange Capital
7.05%		07/15/28	²		1,500,000		1,470,861
Nationwide Mutual Insurance Co.
5.81%		12/15/24	^2,3		3,250,000		2,939,219

							4,410,080


Materials — 1.93%
FMG Resources August 2006 Pty Ltd. (Australia)
7.00%		11/01/15	^2,4		4,250,000		4,388,125
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance ULC
8.88%		02/01/18			3,000,000		3,221,250
Lyondell Chemical Co.
11.00%		05/01/18			669,024		761,015
NewPage Corp.
10.00%		05/01/12			17,533,000		10,081,475


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Materials (continued)
Noranda Aluminum Acquisition Corp. (PIK)
5.19%		05/15/15		$	4,531,957	$	4,118,416
Verso Paper Holdings LLC/Verso Paper, Inc. B
4.04%		08/01/14	³		3,737,000		3,419,355
9.13%		08/01/14			2,900,000		3,001,500
11.38%		08/01/16			3,750,000		3,768,750

							32,759,886


Retail — 0.89%
Sears Holding Corp.
6.63%		10/15/18	²		12,350,000		11,670,750
Toys R US Property Co. II LLC (WI)
8.50%		12/01/17			3,150,000		3,402,000

							15,072,750


Services — 3.24%
American Reprographics Co.
10.50%		12/15/16	²		12,000,000		12,630,000
Geo Group, Inc. (The)
7.75%		10/15/17			4,700,000		4,958,500
Mobile Mini, Inc.
6.88%		05/01/15			7,900,000		8,058,000
7.88%		12/01/20	²		1,250,000		1,303,125
National Money Mart Co.
10.38%		12/15/16			3,250,000		3,526,250
RSC Equipment Rental, Inc./RSC Holdings III LLC
10.00%		07/15/17	²		3,450,000		3,898,500
Service Corp. International/US
7.00%		05/15/19			1,000,000		1,005,000
Stonemor Operating LLC/Cornerstone Family Services of WV/Osiris Holdings
10.25%		12/01/17			7,200,000		7,578,000
Trans Union LLC/Transunion Financing Corp.
11.38%		06/15/18	²		7,155,000		8,120,925
United Rentals North America, Inc.
9.25%		12/15/19			1,275,000		1,424,813
10.88%		06/15/16			500,000		573,750
Wyle Services Corp.
10.50%		04/01/18	²		1,850,000		1,799,125

							54,875,988


Transportation — 5.35%
Air Canada (Canada)
9.25%		08/01/15	^2,4		12,250,000		12,862,500
12.00%		02/01/16	^2,4		4,150,000		4,367,875
AWAS Aviation Capital Ltd. (Ireland)
7.00%		10/15/16	^2,4		11,860,000		11,822,938


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Transportation (continued)
Commercial Barge Line Co. (WI)
12.50%		07/15/17		$	2,975,000	$	3,451,000
Continental Airlines Pass-Through Trust 2007-1 A
5.98%		04/19/22			482,311		510,352
Continental Airlines Pass-Through Trust 2007-1 B
6.90%		04/19/22			6,720,793		6,855,209
Continental Airlines Pass-Through Trust 2009-1 A
9.00%		07/08/16			1,631,283		1,875,976
Continental Airlines, Inc.
6.75%		09/15/15	²		3,250,000		3,363,750
Delta Air Lines, Inc.
12.25%		03/15/15	²		2,000,000		2,257,500
Delta Air Lines, Inc. 2002 G1
6.72%		01/02/23			12,599,604		12,914,594
Delta Air Lines, Inc. 2002 G2
6.42%		07/02/12			1,450,000		1,511,625
Delta Air Lines, Inc. B
9.75%		12/17/16			2,254,486		2,474,299
JetBlue Airways Pass-Through Trust 2004-2 G1
0.66%		08/15/16	³		2,128,354		1,952,764
Northwest Airlines, Inc. 2001 1 A1
7.04%		04/01/22			726,434		766,388
Northwest Airlines, Inc. 2001 1 A2
6.84%		04/01/11			1,250,000		1,262,500
PHI, Inc.
8.63%		10/15/18	²		3,000,000		3,090,000
RailAmerica, Inc.
9.25%		07/01/17			5,124,000		5,655,615
United Air Lines, Inc.
9.88%		08/01/13	²		8,700,000		9,374,250
12.00%		11/01/13	²		1,500,000		1,653,750
US Airways 2010-1 A Pass-Through Trust
6.25%		04/22/23			2,500,000		2,493,750

							90,516,635


Total Corporates
(Cost $1,289,398,518)							1,364,720,511


BANK LOANS — 9.82%*
Automotive — 0.29%
Ford Motor Co. Term Loan B 1st Lien
3.03%		12/15/13	^3,7		4,986,768		4,973,592


Issues	Maturity Date			Principal Amount		Value
BANK LOANS (continued)
Communications — 1.32%
Charter Communications, Inc. Term Loan 3rd Lien
2.76%		09/06/14	^3,7	$	5,000,000	$	4,832,290
Dex Media West LLC Term Loan
7.00%		10/24/14	^3,7		4,433,941		4,052,307
Intelsat Jackson Holdings Term Loan B, 1st Lien
0.00%		04/03/18	^3,7		3,000,000		3,033,204
R.H. Donnelley, Inc., Term Loan D3
9.00%		10/24/14	^3,7		490,804		389,137
SuperMedia, Inc. Term Loan B Exit, 1st Lien
0.00%		12/31/15	^3,7		2,398,651		1,653,071
Univision Communications, Inc. 1st Lien Strip
4.51%		10/25/17	^3,7		3,957,277		3,788,333
Visant Corp. Tranche B Term Loan
7.00%		12/22/16	^3,7		4,488,750		4,545,326

							22,293,668


Consumer Discretionary — 0.48%
Reynolds Group Holdings, Inc., Term Loan D
6.50%		05/05/16	^3,7		6,000,000		6,066,648
Tribune 1st Lien Term Loan B
0.00%		06/04/14	^3,5,6,7		2,979,962		2,072,138

							8,138,786


Electric — 2.39%
Boston Generating LLC 1st Lien
5.51%		12/20/13	^3,7		6,346,447		6,100,522
Calpine New Development Holdings LLC
7.00%		07/01/17	^3,7		5,430,092		5,528,936
Entegra Holdings LLC, Term Loan B 3rd Lien (PIK)
0.00%		10/19/15	³		21,232,500		12,643,954
TXU Energy Term Loan B1
3.76%		10/10/14	^3,7		5,429,629		4,207,653
TXU Energy Term Loan B2
3.75%		10/10/14	^3,7		15,438,257		11,958,505

							40,439,570


Energy — 1.37%
MACH Gen LLC Term Loan C (PIK)
7.79%		02/15/15	^3,7		32,787,887		23,211,102


Finance — 1.24%
CIT Group, Inc. 3-DD 1st Lien Term Loan
6.25%		08/11/15	^3,7		4,850,000		4,954,071
Kelson 2nd Lien (PIK)
6.80%		03/08/14	^3,7		17,403,102		15,967,346

							20,921,417


Issues	Maturity Date			Principal Amount		Value
BANK LOANS (continued)
Gaming — 1.19%
Harrah’s Entertainment, Inc. Term Loan B2
3.29%		01/28/15	^3,7	$	14,250,000	$	12,922,969
Harrah’s Entertainment, Inc. Term Loan B3
0.00%		01/28/15			4,960,694		4,492,142
Harrah’s Operating Co., Inc. Term Loan
3.29%		01/28/15	^3,7		3,000,000		2,716,641

							20,131,752

Health Care — 0.08%
HCA Term Loan A
1.55%		11/17/12	^3,7		1,309,556		1,292,164

Industrials — 0.21%
Goodman Global, Inc. 2nd Lien
0.00%		10/28/17	³		1,500,000		1,548,930
Graham Packaging Co. LP/GPC Capital Corp. I Term Loan D
6.00%		09/23/16	^3,7		1,995,000		2,020,769

							3,569,699

Information Technology — 0.28%
First Data Corp. Term Loan B1
3.01%		09/24/14	^3,7		5,219,984		4,824,002

Services — 0.39%
Cengage Learning Term Loan B
2.55%		07/03/14	^3,7		4,987,113		4,703,471
Rental Services Term Loan 2nd Lien
0.00%		11/30/13	^3,7		2,000,000		1,959,000

							6,662,471

Transportation — 0.58%
Delta Air Lines, Inc. Term Loan 1st Lien
1.95%		04/30/12	^3,7		1,219,848		1,199,517
8.75%		09/16/13	^3,7		1,975,000		1,997,219
United Air Lines, Inc.
2.31%		02/01/14	^3,7		6,864,511		6,642,485

							9,839,221

Total Bank Loans (Cost $161,338,702)							166,297,444


MORTGAGE-BACKED — 0.71%**
Non-Agency Mortgage-Backed — 0.71%
BHN I Mortgage Fund 2000-1 AF (Argentina)
8.00%		03/31/11	^2,4,8		2,890		285
Citigroup Mortgage Loan Trust, Inc. 2007-AMC4 A2B
0.40%		05/25/37	³		4,900,000		2,672,176


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Countrywide Asset-Backed Certificates 2007-13 2A1
1.16%		10/25/47	³	$	603,629	$	402,875
Credit-Based Asset Servicing and Securitization LLC 2006-CB6 A23
0.41%		07/25/36	³		4,000,000		2,867,461
Credit-Based Asset Servicing and Securitization LLC 2006-CB8 A2B
0.37%		10/25/36	³		3,800,000		3,299,103
Home Equity Asset Trust 2007-1 2A1
0.32%		05/25/37	³		129,841		125,731
HSBC Home Equity Loan Trust 2007-3 M1
2.51%		11/20/36	³		3,800,000		2,404,863
Securitized Asset Backed Receivables LLC Trust 2007-BR2 A2
0.49%		02/25/37	³		391,270		188,065

U.S. Agency Mortgage-Backed — 0.00%
Fannie Mae 1993-225 SG
26.33%		12/25/13	³		37,395		45,977
Ginnie Mae 2003-28 LI (IO)
5.50%		02/20/32			20,806		1,338

Total Mortgage-Backed (Cost $7,571,196)							12,007,874


U.S. TREASURY SECURITIES — 0.41%**
U.S. Treasury Notes — 0.41%
U.S. Treasury Notes - Treasury Inflation Indexed Notes
3.50%		01/15/11	⁹		5,525,000		6,952,212

Total U.S. Treasury Securities (Cost $6,950,884)

Total Bonds – 91.52% (Cost $1,465,259,300)							1,549,978,041


Issues	Maturity Date			Shares		Value
PREFERRED STOCK — 1.11%
Electric — 0.27%
PPL Corp.
0.24%		07/01/13			82,400		4,529,528

Finance — 0.84%
Citigroup Capital XIII
0.20%		10/30/40			530,000		14,262,300

Total Preferred Stock (Cost $18,022,666)							18,791,828


Issues	Maturity Date			Shares/ Principal Amount		Value
SHORT-TERM INVESTMENTS — 5.70%
Money Market Fund — 5.32%
Dreyfus Cash Advantage Fund
0.19%¹⁰					75,789,000	$	75,789,000
DWS Money Market Series-Institutional
0.17%¹⁰					3,525,000		3,525,000
Fidelity Institutional Money Market Funds - Prime Money Market Portfolio
0.17%¹⁰					10,734,000		10,734,000

							90,048,000

U.S. Agency Discount Notes — 0.32%
Fannie Mae
0.29%¹¹		07/01/11		$	5,330,000		5,325,496

U.S. Treasury Bills — 0.06%
U.S. Treasury Bills
0.16%¹¹		02/10/11			585,000		584,938
0.16%¹¹		02/10/11	¹²		495,000		494,948

							1,079,886

Total Short-Term Investments (Cost $96,450,136)							96,453,382

Total Investments – 98.33% (Cost $1,579,732,102)¹							1,665,223,251

Cash and Other Assets, Less Liabilities – 1.67%							28,299,699

Net Assets – 100.00%						$	1,693,522,950


	Expiration Date	Premiums Paid		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	$	(265	)	$	(265	)
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		(543	)		(543	)
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		(3,831	)		(3,831	)


	Expiration Date	Premiums Paid		Notional Amount (000’s) ^a		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	$	–	$	100	$	(3,831	)	$	(3,831	)
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		(12,235	)		(12,235	)
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		4,945		1,000		35,974			40,919
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		12,444		350		13,351			25,795
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		14,778		300		7,332			22,110
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		14,532		295		7,210			21,742

		$	46,699	$	2,545	$	43,162		$	89,861

^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 $1,579,980,649 and net unrealized appreciation/(depreciation) consists of:


Gross unrealized appreciation	$	98,609,274
Gross unrealized depreciation		(13,366,673	)

Net unrealized appreciation	$	85,242,601

³	Floating rate security. The rate disclosed is that in effect at December 31, 2010.

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

⁵	Security is currently in default with regard 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

08/28/08

Boston Generating LLC

1st Lien, 5.51%, 12/20/13

5,196,706

6,100,522

0.36%


Date of Purchase	Security	Amortized Cost		Value		% of Total Net Assets
06/08/10	Calpine New Development Holdings LLC, 7.00%, 07/01/17	$	5,380,406	$	5,528,936		0.33%
10/04/10	Cengage Learning Term Loan B, 2.55%, 07/03/14		4,529,409		4,703,471		0.28%
01/05/09	Charter Communications, Inc. Term Loan 3rd Lien, 2.76%, 09/06/14		4,124,805		4,832,290		0.29%
09/13/10	CIT Group, Inc. 3-DD 1st Lien Term Loan, 6.25%, 08/11/15		4,884,409		4,954,071		0.29%
09/11/07	Delta Air Lines, Inc. Term Loan 1st Lien, 1.95%, 04/30/12		1,171,471		1,199,517		0.07%
09/29/09	Delta Air Lines, Inc. Term Loan 1st Lien, 8.75%, 09/16/13		1,947,944		1,997,219		0.12%
01/13/09	Dex Media West LLC Term Loan, 7.00%, 10/24/14		3,461,893		4,052,307		0.24%
01/28/09	First Data Corp. Term Loan B1, 3.01%, 09/24/14		4,252,797		4,824,002		0.28%
06/08/09	Ford Motor Co. Term Loan B 1st Lien, 3.03%, 12/15/13		4,714,951		4,973,592		0.29%
09/16/10	Graham Packaging Co. LP/GPC Capital Corp. I Term Loan D, 6.00%, 09/23/16		1,981,210		2,020,769		0.12%
10/09/09	Harrah’s Entertainment, Inc. Term Loan B2, 3.29%, 01/28/15		12,064,064		12,922,969		0.76%
10/05/10	Harrah’s Operating Co., Inc. Term Loan, 3.29%, 01/28/15		2,629,213		2,716,641		0.16%
06/22/09	HCA Term Loan A, 1.55%, 11/17/12		1,242,128		1,292,164		0.08%
12/17/10	Intelsat Jackson Holdings Term Loan B, 1st Lien, 0.00%, 04/03/18		2,985,000		3,033,204		0.18%
08/16/10	Kelson 2nd Lien (PIK), 6.80%, 03/08/14		16,186,925		15,967,346		0.94%
01/08/09	MACH Gen LLC Term Loan C (PIK), 7.79%, 02/15/15		24,426,709		23,211,102		1.37%
01/11/10	R.H. Donnelley, Inc., Term Loan D3, 9.00%, 10/24/14		476,608		389,137		0.02%


Date of Purchase	Security	Amortized Cost		Value		% of Total Net Assets
07/27/10	Rental Services Term Loan 2nd Lien, 0.00%, 11/30/13	$	1,902,356	$	1,959,000		0.12%
09/28/10	Reynolds Group Holdings, Inc., Term Loan D, 6.50%, 05/05/16		6,000,000		6,066,648		0.36%
01/29/10	SuperMedia, Inc. Term Loan B Exit, 1st Lien, 0.00%, 12/31/15		2,056,906		1,653,071		0.10%
05/17/07	Tribune 1st Lien Term Loan B, 0.00%, 06/04/14		2,142,194		2,072,138		0.12%
06/11/09	TXU Energy Term Loan B1, 3.76%, 10/10/14		4,288,567		4,207,653		0.25%
08/26/10	TXU Energy Term Loan B2, 3.75%, 10/10/14		12,098,271		11,958,505		0.71%
02/03/09	United Air Lines, Inc., 2.31%, 02/01/14		4,979,722		6,642,485		0.39%
09/27/10	Univision Communications, Inc. 1st Lien Strip, 4.51%, 10/25/17		3,478,964		3,788,333		0.22%
09/23/10	Visant Corp. Tranche B Term Loan, 7.00%, 12/22/16		4,467,419		4,545,326		0.27%

		$	143,071,047	$	147,612,418		8.72%

⁸	Illiquid security as determined under procedures approved by the Fund’s Board of Trustees. The aggregate value of illiquid securities is $285, which is 0.00% of total net assets.

⁹	Inflation protected security. Principal amount reflects original security face amount.

¹⁰	Represents the current yield as of December 31, 2010.

¹¹	Represents annualized yield at date of purchase.

¹²	Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $140,636.

*	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.

(IO): Interest only

(MTN): Medium-term note

(PIK): Payment in kind

(STEP): Step coupon bond

(WI): When issued


Issues	Maturity Date			Principal Amount		Value
BONDS – 98.80%
ASSET-BACKED SECURITIES — 8.81%**
Aerco Ltd. 2A A3 (United Kingdom)
0.72%		07/15/25	^2,3,4	$	2,672,382	$	2,031,011
Aircastle Aircraft Lease Backed Trust 2007-1A G1
0.53%		06/14/37	^3,4,†		793,054		705,816
Aviation Capital Group Trust 2003-2A B1
3.26%		09/20/33	^3,4,†		2,166,767		1,625,072
Babcock & Brown Air Funding I Ltd. 2007-1A G1 (Bermuda)
0.56%		11/14/33	^2,3,4,†		967,516		819,968
Birch Real Estate CDO Ltd. 1A A1 (Cayman Islands)
5.16%		02/10/38	^2,4,†		72,062		70,592
Crystal River 2005-1A A (Cayman Islands)
0.66%		03/02/46	^2,3,4		520,265		78,365
GE Corporate Aircraft Financing LLC 2005-1A B
0.91%		08/26/19	^3,4,†		432,810		377,625
GE Corporate Aircraft Financing LLC 2005-1A C
1.56%		08/26/19	^3,4,†		953,000		826,726
GE SeaCo Finance SRL 2004-1A A (Barbados)
0.56%		04/17/19	^2,3,4		400,000		384,550
GE SeaCo Finance SRL 2005-1A A (Barbados)
0.51%		11/17/20	^2,3,4		626,875		580,863
Genesis Funding Ltd. 2006-1A G1 (Bermuda)
0.50%		12/19/32	^2,3,4,†		893,906		777,695
Green Tree Recreational Equipment & Consumer Trust 1996-C Certificates
7.65%		10/15/17			5,033		4,396
Mid-State Trust 11 B
8.22%		07/15/38			17,730		16,657
PAMCO CLO 1998-1A B2 (Cayman Islands)
1.64%		10/31/10	^2,3,4,5,†		430,735		8,612
Peach Finance Co. 2000 A
4.71%		04/15/48	^4,†		876,588		906,995
Structured Asset Receivables Trust 2005-1A Certificates
0.79%		01/21/15	^3,4,†		10,438,273		9,942,390
TAL Advantage LLC 2010-2A A
4.30%		10/20/25	⁴		506,417		519,696
Textainer Marine Containers Ltd. 2005-1A A (Bermuda)
0.51%		05/15/20	^2,3,4		496,875		473,594
Triton Container Finance LLC 2006-1A
0.43%		11/26/21	^3,4		754,375		699,167


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Triton Container Finance LLC 2007-1A
0.40%		02/26/19	^3,4	$	559,896	$	529,963

Total Asset-Backed Securities (Cost $23,405,631)							21,379,753

CORPORATES — 30.97%*
Banking — 7.76%
Ally Financial, Inc.
2.50%		12/01/14	³		1,538,000		1,432,601
7.25%		03/02/11			1,266,000		1,278,660
BAC Capital Trust XV
1.10%		06/01/56	³		2,000,000		1,250,768
Bank of America Corp. (MTN)
0.50%		06/22/12	³		1,420,000		1,430,533
1.02%		12/02/11	³		1,560,000		1,571,076
Chase Capital VI
0.91%		08/01/28	³		1,000,000		780,000
Credit Suisse/Guernsey 1 (Switzerland)
0.98%		05/29/49	^2,3		4,900,000		3,632,125
Deutsche Bank Capital Funding Trust VII
5.63%		01/19/49	^3,4		1,000,000		905,000
Fleet Capital Trust V
1.30%		12/18/28	³		950,000		674,500
KeyCorp (MTN)
0.86%		12/19/11	³		2,410,000		2,424,692
Nationsbank Capital Trust III
0.84%		01/15/27	³		1,000,000		710,000
Nationsbank Capital Trust IV
8.25%		04/15/27			1,010,000		1,030,200
Wells Fargo & Co.
1.15%		12/09/11	³		1,675,000		1,689,299


							18,809,454

Communications — 0.36%
Qwest Corp.
7.88%		09/01/11			850,000		877,625

Electric — 0.87%
Dynegy Roseton/Danskammer Pass-Through Trust B
7.67%		11/08/16			1,175,000		1,104,500
KCP&L Greater Missouri Operations Co.
11.88%		07/01/12			876,000		993,999


							2,098,499

Energy — 2.70%
Sabine Pass LNG LP
7.25%		11/30/13			3,930,000		3,841,575
Southern Union Co.
7.20%		11/01/66	³		1,500,000		1,387,500


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Energy (continued)
Valero Energy Corp.
10.50%		03/15/39		$	1,000,000	$	1,331,088

							6,560,163

Finance — 11.04%
Astoria Depositor Corp.
8.14%		05/01/21	⁴		1,200,000		1,200,000
Barnett Capital III
0.91%		02/01/27	³		1,000,000		708,446
Chase Capital II B
0.79%		02/01/27	³		3,144,000		2,452,320
Citigroup Funding, Inc. (MTN)
0.60%		03/30/12	³		2,190,000		2,200,937
Citigroup, Inc.
0.84%		08/25/36	³		3,350,000		2,160,750
General Electric Capital Corp. (MTN)
0.67%		05/05/26	³		2,319,000		1,931,254
0.77%		08/15/36	³		1,000,000		760,459
General Electric Capital Corp. G (MTN)
0.60%		06/08/12	³		2,310,000		2,326,440
Goldman Sachs Group, Inc. (The)
0.47%		02/06/12	³		750,000		749,255
0.79%		01/12/15	³		750,000		725,717
1.06%		12/05/11	³		1,775,000		1,789,305
JPMorgan Chase Capital XXIII
1.29%		05/15/47	³		200,000		155,522
Morgan Stanley
0.50%		03/13/12	³		1,215,000		1,218,887
0.57%		02/10/12	³		2,420,000		2,429,114
Morgan Stanley (MTN)
0.74%		10/18/16	³		4,050,000		3,735,517
Prudential Holdings LLC
8.70%		12/18/23	⁴		1,000,000		1,214,645
Raymond James Financial, Inc.
8.60%		08/15/19			860,000		1,020,816

							26,779,384

Health Care — 0.43%
CHS/Community Health Systems, Inc.
8.88%		07/15/15			985,000		1,034,250

Insurance — 0.40%
Farmers Exchange Capital
7.05%		07/15/28	⁴		1,000,000		980,574

Real Estate Investment Trust (REIT) — 0.96%
CommonWealth REIT
0.90%		03/16/11	³		750,000		749,609
HCP, Inc.
7.07%		06/08/15			500,000		558,358


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Real Estate Investment Trust (REIT) (continued)
Shurgard Storage Centers LLC
7.75%		02/22/11		$	1,000,000	$	1,010,512

							2,318,479

Transportation — 6.45%
American Airlines Pass-Through Trust 2001-02
6.98%		04/01/11			7,296		7,369
AWAS Aviation Capital Ltd. (Ireland)
7.00%		10/15/16	^2,4		650,000		647,969
Continental Airlines Pass-Through Trust 1997-1 A
7.46%		04/01/15			2,121,306		2,211,462
Continental Airlines Pass-Through Trust 2007-1 A
5.98%		04/19/22			2,845,633		3,011,078
Continental Airlines Pass-Through Trust 2007-1 B
6.90%		04/19/22			2,603,055		2,655,116
Delta Air Lines, Inc. 2001 A2
7.11%		09/18/11			3,070,000		3,169,775
Delta Air Lines, Inc. 2002 G1
6.72%		01/02/23			847,630		868,820
JetBlue Airways Pass-Through Trust 2004-2 G1
0.66%		08/15/16	³		972,962		892,692
Northwest Airlines, Inc. 2001 1 A2
6.84%		04/01/11			1,200,000		1,212,000
UAL Pass-Through Trust 2009-1
10.40%		11/01/16			849,876		979,482

							15,655,763

Total Corporates (Cost $67,377,585)							75,114,191

BANK LOANS — 4.91%*
Consumer Discretionary — 1.14%
Tribune 1st Lien Term Loan B
0.00%		06/04/14	^3,6,7,8		3,969,987		2,760,559

Electric — 1.89%
Boston Generating LLC 1st Lien
5.51%		12/20/13	^3,6		2,674,034		2,570,416
Calpine New Development Holdings LLC
7.00%		07/01/17	^3,6		1,974,579		2,010,522

							4,580,938

Gaming — 1.03%
Harrah’s Entertainment, Inc. Term Loan B2
3.29%		01/28/15	^3,6		2,750,000		2,493,906


Issues	Maturity Date			Principal Amount		Value
BANK LOANS (continued)
Insurance — 0.38%
Asurion Corp. Term Loan
3.27%		07/07/14	^3,6	$	987,500	$	939,513

Transportation — 0.47%
United Air Lines, Inc.
2.31%		02/01/14	^3,6		1,176,156		1,138,114

Total Bank Loans (Cost $11,986,169)							11,913,030

MORTGAGE-BACKED — 44.10%**
Commercial Mortgage-Backed — 5.78%
Bayview Commercial Asset Trust 2007-1 A1
0.48%		03/25/37	^3,4		4,141,713		3,298,964
Bear Stearns Commercial Mortgage Securities, Inc. 2005-T20 A4A
5.14%		10/12/42	³		1,108,000		1,195,213
Commercial Mortgage Asset Trust 1999-C1 A4
6.98%		01/17/32	³		1,103,000		1,190,676
Credit Suisse First Boston Mortgage Securities, Corp. 2002-CP3 A3
5.60%		07/15/35			675,000		707,504
First Union National Bank Commercial Mortgage 2002-C1 A2
6.14%		02/12/34			266,329		276,149
GE Business Loan Trust 2003-2A A
0.63%		11/15/31	^3,4		1,221,989		1,114,899
GE Capital Commercial Mortgage Corp. 2001-1 A2
6.53%		05/15/33			305,599		307,247
Greenwich Capital Commercial Funding Corp. 2002-C1 A4
4.95%		01/11/35			1,170,000		1,225,084
Greenwich Capital Commercial Funding Corp. 2004-GG1 A7
5.32%		06/10/36	³		1,200,000		1,295,312
JPMorgan Chase Commercial Mortgage Securities Corp. 2001-C1 A3
5.86%		10/12/35			877,103		888,213
JPMorgan Chase Commercial Mortgage Securities Corp. 2001-CIB3 A3
6.47%		11/15/35			1,081,843		1,110,953
Wachovia Bank Commercial Mortgage Trust 2002-C1 A4
6.29%		04/15/34			1,345,000		1,405,666

							14,015,880

Non-Agency Mortgage-Backed — 25.21%
ABFS Mortgage Loan Trust 2002-2 A7 (STEP)
5.72%		07/15/33			611		610


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Asset Backed Funding Certificates 2007-WMC1 A2B
1.26%		06/25/37	³	$	5,000,000	$	2,533,557
Asset Backed Securities Corp Home Equity 2007-HE1 A4
0.40%		12/25/36	³		3,000,000		1,327,078
Asset Backed Securities Corp. Home Equity 2007-HE1 A2
0.31%		12/25/36	³		20,170		19,937
Banco de Credito Y Securitizacion SA 2001-1 AF (Argentina)
8.00%		05/31/10	^2,4,5		285,285		22,823
BHN I Mortgage Fund 2000-1 AF (Argentina)
8.00%		03/31/11	^2,4,5		110		11
Centex Home Equity 2006-A AV4
0.51%		06/25/36	³		4,300,000		2,843,560
Citicorp Residential Mortgage Securities, Inc. 2007-1 A5 (STEP)
6.05%		03/25/37			1,750,000		1,403,135
Citigroup Mortgage Loan Trust, Inc. 2007-WFH2 A3
0.44%		03/25/37	³		5,000,000		3,089,343
Citigroup Mortgage Loan Trust, Inc. 2007-WFH2 M1
0.66%		03/25/37	³		6,500,000		1,839,403
Conseco Finance 2002-C BF1
8.00%		06/15/32	³		3,763,000		3,416,883
Conseco Finance 2002-C BF2
8.00%		06/15/32	^3,4		1,058,100		815,985
Conseco Finance Securitizations Corp. 2002-1 A
6.68%		12/01/33	³		100,944		106,308
Conseco Financial Corp. 1996-10 M1
7.24%		11/15/28	³		2,700,000		2,703,948
Conseco Financial Corp. 1996-7 M1
7.70%		10/15/27	³		1,162,000		1,191,035
Conseco Financial Corp. 1996-8 A6
7.60%		10/15/27	³		30,424		32,331
Conseco Financial Corp. 1998-3 A6
6.76%		03/01/30	³		1,151,007		1,218,228
Conseco Financial Corp. 1998-4 A7
6.87%		04/01/30	³		664,382		678,578
Conseco Financial Corp. 1999-5 A5
7.86%		03/01/30	³		144,300		134,734
Countrywide Asset-Backed Certificates 2007-4 A1A
0.38%		09/25/37	³		598,191		578,643
Countrywide Asset-Backed Certificates 2007-4 A2
5.53%		09/25/37			930,000		828,721


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Credit-Based Asset Servicing and Securitization LLC 2006-CB4 AV3
0.41%		05/25/36	³	$	6,900,000	$	4,481,640
Credit-Based Asset Servicing and Securitization LLC 2006-CB6 A24
0.51%		07/25/36	³		3,000,000		1,359,655
Deutsche Financial Capital Securitization LLC 1997-I A3
6.75%		09/15/27			53,386		54,703
First Franklin Mortgage Loan Asset Backed Certificates 2007-FF1 A2D
0.48%		01/25/38	³		6,900,000		3,374,252
Green Tree 2008-MH1 A3
8.97%		04/25/38	^3,4		2,403,562		2,573,157
Green Tree Home Improvement Loan Trust 1995-C B2
7.60%		07/15/20			27,539		25,420
Green Tree Home Improvement Loan Trust 1995-D B2
7.45%		09/15/25			83,474		71,620
Green Tree Home Improvement Loan Trust 1995-F B2
7.10%		01/15/21			10,784		10,378
HSBC Home Equity Loan Trust 2007-1 M1
0.64%		03/20/36	³		1,210,000		743,806
HSBC Home Equity Loan Trust 2007-2 M1
0.57%		07/20/36	³		1,950,000		1,249,601
HSBC Home Equity Loan Trust 2007-2 M2
0.63%		07/20/36	³		650,000		318,367
IndyMac Manufactured Housing Contract 1997-1 A3
6.61%		02/25/28			710,180		653,081
IndyMac Manufactured Housing Contract 1997-1 A4
6.75%		02/25/28			350,668		324,073
IndyMac Manufactured Housing Contract 1998-1 A4
6.49%		09/25/28			184,949		154,755
IndyMac Manufactured Housing Contract 1998-1 A5
6.96%		09/25/28	³		660,532		565,913
IndyMac Manufactured Housing Contract 1998-2 A2
6.17%		12/25/11			132,160		132,322
IndyMac Manufactured Housing Contract 1998-2 A4
6.64%		12/25/27	³		841,171		814,531
JPMorgan Mortgage Acquisition Corp. 2006-FRE1 A3
0.45%		05/25/35	³		823,626		760,744


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
JPMorgan Mortgage Acquisition Corp. 2007-CH5 A3
0.37%		05/25/37	³	$	1,575,000	$	1,192,374
Lehman ABS Mortgage Loan Trust 2007-1 2A1
0.35%		06/25/37	^3,4		130,925		53,205
Lehman XS Trust 2007-12N 1A3A
0.46%		07/25/47	^3,†		14,120,000		4,518,378
Merrill Lynch Mortgage Investors, Inc. 2004-HE2 A2C
0.84%		08/25/35	³		817,319		744,838
Mid-State Trust 2004-1 B
8.90%		08/15/37			1,335,366		1,267,750
Mid-State Trust 6 A4
7.79%		07/01/35			50,871		50,529
Morgan Stanley Mortgage Loan Trust 2006-7 5A2
5.96%		06/25/36	³		3,473,673		2,033,874
Nationstar Home Equity Loan Trust 2007-A AV4
0.49%		03/25/37	³		5,000,000		3,139,543
Oakwood Mortgage Investors, Inc. 1998-A A4
6.20%		05/15/28			2,102		2,126
Oakwood Mortgage Investors, Inc. 1998-B A4
6.35%		03/15/17			139,459		139,877
Oakwood Mortgage Investors, Inc. 1999-A A2
5.89%		04/15/29			179,036		177,407
Oakwood Mortgage Investors, Inc. 2002-A AIO (IO)
6.00%		02/15/10	⁵		176,245		35
Opteum Mortgage Acceptance Corp. 2005-5 2A1B
5.64%		12/25/35	³		771,374		754,342
Origen Manufactured Housing 2006-A A1
0.41%		11/15/18	³		2,137,518		2,065,522
Residential Asset Mortgage Products, Inc. 2007-RZ1 A1
0.33%		02/25/37	³		14,393		14,263
Residential Asset Securities Corp. 2007-KS2 AI1
0.33%		02/25/37	³		29,924		29,427
SG Mortgage Securities Trust 2007-NC1 A2
0.50%		12/25/36	^3,4		1,166,131		633,014
Specialty Underwriting & Residential Finance 2004-BC4 A2C
0.75%		10/25/35	³		1,913,717		1,731,842
Terwin Mortgage Trust 2004-7HE A1
0.81%		07/25/34	^3,4		122,539		111,640
UCFC Home Equity Loan 1998-D BF1
8.97%		04/15/30	³		585		254


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		$	31,824	$	32,484

							61,145,593

U.S. Agency Mortgage-Backed — 13.11%
Fannie Mae (TBA)
3.50%		01/25/26			4,065,000		4,094,219
Fannie Mae 1993-80 S
10.53%		05/25/23	³		13,983		15,958
Fannie Mae 2000-45 SA (IO)
7.69%		12/18/30	³		2,257,649		381,352
Fannie Mae 2001-42 SB
8.50%		09/25/31	³		1,969		2,171
Fannie Mae 2003-107 SQ (IO)
7.39%		05/25/33	³		27,376		160
Fannie Mae 2003-124 IO (IO)
5.25%		03/25/31			111,971		4,454
Fannie Mae 2003-124 TS
9.80%		01/25/34	³		33,234		36,647
Fannie Mae 2003-37 IG (IO)
5.50%		05/25/32			734,950		97,954
Fannie Mae 2005-92 US (IO)
5.84%		10/25/25	³		9,443,940		1,180,370
Fannie Mae 2006-125 SM
6.94%		01/25/37	³		10,666,953		1,754,057
Fannie Mae 2006-8 HL
6.44%		03/25/36	³		9,480,944		1,598,866
Fannie Mae 2008-50 SA (IO)
5.79%		11/25/36	³		9,056,804		1,222,280
Fannie Mae 2010-43 KS
6.16%		05/25/40	³		7,319,823		1,023,747
Freddie Mac 1602 SN
10.09%		10/15/23	³		14,590		16,660
Freddie Mac 1673 SD
13.16%		02/15/24	³		803,854		948,447
Freddie Mac 1760 ZD
2.39%		02/15/24	³		1,727,685		1,744,506
Freddie Mac 2527 TI (IO)
6.00%		02/15/32			186,031		7,687
Freddie Mac 2561 BX (IO)
5.00%		05/15/17			471,592		13,551
Freddie Mac 2596 IJ (IO)
5.00%		01/15/17			11,297		–
Freddie Mac 2642 BW (IO)
5.00%		06/15/23			94,876		12,857
Freddie Mac 2657 LX (IO)
6.00%		05/15/18			494,877		43,527


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	$	132,357	$	133,977
Freddie Mac 3242 SA (IO)
6.09%		11/15/36	³		32,779,082		4,319,978
Freddie Mac 3247 SI (IO)
0.15%		08/15/36	³		85,206,662		335,254
Freddie Mac 3260 AS (IO)
6.12%		01/15/37	³		35,812,546		4,203,157
Freddie Mac 3280 SI (IO)
6.18%		02/15/37	³		22,746,071		2,816,118
Freddie Mac 3289 SD (IO)
5.86%		03/15/37	³		11,566,394		1,182,480
Freddie Mac Gold (TBA)
3.50%		01/15/26			4,095,000		4,120,594
Ginnie Mae 2001-31 SJ
27.09%		02/20/31	³		72,223		123,730
Ginnie Mae 2003-28 LI (IO)
5.50%		02/20/32			57,736		3,714
Ginnie Mae 2004-8 SE
13.78%		11/26/23	³		325,468		373,876


							31,812,348

Total Mortgage-Backed
(Cost $109,352,628)							106,973,821

MUNICIPAL BONDS — 0.31%*
Illinois — 0.31%
State of Illinois, Pension Funding G.O., Taxable
3.55%		06/01/11			500,000		503,610
4.07%		01/01/14			250,000		252,390

Total Municipal Bonds
(Cost $753,125)							756,000

U.S. AGENCY SECURITIES — 7.04%
U.S. Agency Securities — 7.04%
Fannie Mae
0.28%		08/23/12	³		2,630,000		2,630,772
0.29%		10/18/12	³		2,605,000		2,606,628
Federal Farm Credit Bank
0.28%		08/08/12	³		2,605,000		2,604,414
0.28%		08/20/12	³		2,605,000		2,604,346
Federal Home Loan Bank
0.50%		05/16/12			2,340,000		2,336,524
Federal Home Loan Bank (STEP)
0.75%		03/28/13			900,000		900,959
Freddie Mac
0.32%		11/07/11	³		1,170,000		1,170,421
0.41%		02/03/12	³		2,215,000		2,215,899


Issues	Maturity Date			Principal Amount		Value
U.S. AGENCY SECURITIES (continued)
U.S. Agency Securities (continued)
Total U.S. Agency Securities
(Cost $17,065,889)						$	17,069,963


Issues	Maturity Date			Principal Amount		Value
U.S. TREASURY SECURITIES — 2.66%
U.S. Treasury Notes — 2.66%
U.S. Treasury Notes
1.00%		08/31/11		$	2,920,000		2,935,172
U.S. Treasury Notes - Treasury Inflation Indexed Notes
3.38%		01/15/12	⁹		1,720,000		2,216,082
3.50%		01/15/11	⁹		1,030,000		1,296,068

Total U.S. Treasury Securities
(Cost $6,435,597)							6,447,322


Total Bonds – 98.80%
(Cost $236,376,624)							239,654,080


Issues	Maturity Date			Shares		Value
PREFERRED STOCK — 1.52%
Communications — 0.56%
Corts Trust for US West Communications
7.50%		11/15/43			7,118		178,590
Preferred Plus Trust Citizens Communications Co.
8.38%		10/01/46			12,100		305,041
Preferred Plus Trust Qwest Capital Funding
7.75%		02/15/31			9,650		239,803
8.00%		02/15/31			19,500		486,720
Preferred Plus Trust Verizon Global Funding Corp.
7.63%		12/01/30			6,100		157,136


							1,367,290

Electric — 0.51%
PPL Corp.
0.24%		07/01/13			22,500		1,236,825

Finance — 0.45%
Citigroup Capital XIII
0.20%		10/30/40			40,000		1,076,400
Terwin Mortgage Trust 2005-P1 A
0.00%^3,5,6					570		1


							1,076,401

Total Preferred Stock
(Cost $3,417,447)							3,680,516


Issues	Maturity Date			Shares/ Principal Amount			Value
SHORT-TERM INVESTMENTS — 2.32%
Money Market Fund — 2.21%
Dreyfus Cash Advantage Fund
0.19%¹⁰					4,406,000		$	4,406,000
DWS Money Market Series-Institutional
0.17%¹⁰					925,000			925,000
Goldman Sachs Financial Square Funds - Prime Obligations Fund
0.13%^10,11					20,000			20,000


								5,351,000

U.S. Treasury Bills — 0.11%
U.S. Treasury Bills
0.15%¹²		02/10/11	¹³		90,000			89,990
0.15%¹²		02/10/11	¹³		50,000			49,994
0.15%¹²		02/10/11	¹³		25,000			24,998
0.15%¹²		02/10/11	¹³		25,000			24,997
0.15%¹²		02/10/11	¹³		55,000			54,994
0.15%¹²		02/10/11	¹³		30,000			29,997


								274,970

Total Short-Term Investments
(Cost $5,625,955)								5,625,970


Total Investments – 102.64%
(Cost $245,420,026)¹								248,960,566


Liabilities in Excess of Other
Assets – (2.64)%								(6,409,316	)


NET ASSETS – 100.00%							$	242,551,250


Issues	Contracts			Premiums (Received)			Value
WRITTEN PUT OPTIONS
U.S. Long Bond (CBT), Call Strike $118, expires 02/18/11		(20	)	$	(24,958	)	$	(12,188	)
U.S. Long Bond (CBT), Call Strike $122, expires 02/18/11		(20	)		(21,207	)		(46,875	)
U.S. Long Bond (CBT), Call Strike $123, expires 02/18/11		(20	)		(16,519	)		(60,938	)


Total Written Put Options				$	(62,684	)	$	(120,001	)


Contracts		Unrealized (Depreciation)
FUTURES CONTRACTS: SHORT POSITIONS

12	Euro Dollar Ninety Day,
	Expiration March 2011	$	(59,605	)

12	Euro Dollar Ninety Day,
	Expiration June 2011		(68,305	)

12	Euro Dollar Ninety Day,
	Expiration September 2011		(74,717	)

7	Euro Dollar Ninety Day,
	Expiration December 2011		(47,668	)

7	Euro Dollar Ninety Day,
	Expiration March 2012		(47,680	)

7	Euro Dollar Ninety Day,
	Expiration June 2012		(46,543	)

	Net unrealized depreciation	$	(344,518	)


	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 0.53% 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	$	(14,362	)	$	(14,362	)
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		(1,060	)		(1,060	)
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		(3,256	)		(3,256	)
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		(11,493	)		(11,493	)
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		(11,493	)		(11,493	)
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		(8,188	)		640		(8,347	)		(16,535	)
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		(8,124	)		635		(8,282	)		(16,406	)
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		(36,705	)		(36,705	)
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		12,362			2,500		89,936			102,298


	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 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	$	6,044	$	170	$	6,485	$	12,529
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		6,404		130		3,177		9,581
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		6,404		130		3,177		9,581

		$	14,902	$	8,955	$	7,777	$	22,679

^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 $245,804,592 and net unrealized appreciation/(depreciation) consists of:


Gross unrealized appreciation	$	27,362,110
Gross unrealized depreciation		(24,206,136	)

Net unrealized appreciation	$	3,155,974

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

³	Floating rate security. The rate disclosed is that in effect at December 31, 2010.

⁴

⁵	Illiquid security as determined under procedures approved by the Fund’s Board of Trustees. The aggregate value of illiquid securities is $31,482, which is 0.01% of total net assets.

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

⁸	Non-income producing security.

⁹	Inflation protected security. Principal amount reflects original security face amount.

¹⁰	Represents the current yield as of December 31, 2010.

¹¹	Securities, or a portion thereof, pledged as collateral for swaps. The total market value of collateral pledged is $20,000.

¹²	Represents annualized yield at date of purchase.

¹³	Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $266,723.

^†

Fair valued security. The aggregate value of fair valued securities is $20,579,869, which is 8.48% 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

(MTN): Medium-term note

(STEP): Step coupon bond

(TBA): To be announced


Issues	Maturity Date			Principal Amount		Value
BONDS – 84.74%
ASSET-BACKED SECURITIES — 4.20%**
Aerco Ltd. 2A A4 (United Kingdom)
0.78%		07/15/25	^2,3,4	$	5,598	$	5,243
Aviation Capital Group Trust 2003-2A B1
3.26%		09/20/33	^3,4,†		66,363		49,773
Aviation Capital Group Trust 2003-2A G2
1.06%		09/20/33	^3,4,†		57,376		46,187
BMW Vehicle Lease Trust 2009-1 A3
2.91%		03/15/12			51,844		52,259
Capital Auto Receivables Asset Trust 2008-CPA A1
1.11%		01/15/13	^3,4		54,268		54,406
Castle Trust 2003-1AW A1
1.01%		05/15/27	^3,4,†		85,648		73,657
Green Tree Recreational Equipment & Consumer Trust 1996-D Certificates
7.24%		12/15/22			19,607		14,058
Structured Asset Receivables Trust 2005-1A Certificates
0.79%		01/21/15	^3,4,†		238,838		227,491

Total Asset-Backed Securities (Cost $469,486)							523,074

CORPORATES — 18.84%*
Banking — 1.67%
Credit Suisse/Guernsey 1 (Switzerland)
0.98%		05/29/49	^2,3		280,000		207,550

Electric — 1.08%
KCP&L Greater Missouri Operations Co.
11.88%		07/01/12			80,000		90,776
W3A Funding Corp.
8.09%		01/02/17			43,321		43,868

							134,644

Finance — 10.94%
Chase Capital II B
0.79%		02/01/27	³		325,000		253,500
Citigroup, Inc.
1.99%		05/15/18	³		305,000		290,837
General Electric Capital Corp. (MTN)
0.67%		05/05/26	³		325,000		270,659
MBNA Capital A
8.28%		12/01/26			100,000		102,000
MBNA Capital B
1.09%		02/01/27	³		175,000		124,250
Morgan Stanley
0.57%		02/10/12	³		110,000		110,414
Prudential Holdings LLC (AGM)
1.18%		12/18/17	^3,4		100,000		87,017


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Finance (continued)
Woodbourne Capital Trust I
2.73%		04/08/49	^4,5	$	150,000	$	61,500
Woodbourne Capital Trust II
2.73%		04/08/49	^4,5		150,000		61,500

							1,361,677

Health Care — 1.02%
Boston Scientific Corp.
4.25%		01/12/11			75,000		75,034
Universal Health Services, Inc.
6.75%		11/15/11			50,000		51,881

							126,915

Insurance — 0.40%
MetLife, Inc.
2.38%		02/06/14			50,000		50,274

Real Estate Investment Trust (REIT) — 2.42%
Duke Realty LP
5.40%		08/15/14			50,000		52,998
HCP, Inc.
6.45%		06/25/12			85,000		89,703
Healthcare Realty Trust, Inc.
8.13%		05/01/11			50,000		51,128
Nationwide Health Properties, Inc.
6.50%		07/15/11			50,000		51,159
Post Apartment Homes LP
5.45%		06/01/12			55,000		56,896

							301,884

Transportation — 1.31%
Continental Airlines Pass-Through Trust 1997-4 A
6.90%		01/02/18			141,649		150,502
Continental Airlines Pass-Through Trust 2002-1 G1
0.74%		08/15/11	³		12,122		11,955

							162,457

Total Corporates
(Cost $2,378,644)							2,345,401

BANK LOANS — 1.48%*
Transportation — 1.48%
United Air Lines, Inc.
2.31%		02/01/14	^3,6		190,834		184,662

Total Bank Loans
(Cost $190,834)


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED — 47.22%**
Commercial Mortgage-Backed — 7.98%
Banc of America Commercial Mortgage, Inc. 2002-2 A3
5.12%		07/11/43		$	60,000	$	61,828
Bayview Commercial Asset Trust 2004-3 A1
0.63%		01/25/35	^3,4		62,650		52,267
Bear Stearns Commercial Mortgage Securities 2002-PBW1 A2
4.72%		11/11/35	³		55,000		57,212
Commercial Mortgage Asset Trust 1999-C1 A4
6.98%		01/17/32	³		55,000		59,372
Credit Suisse First Boston Mortgage Securities, Corp. 2002-CP3 A3
5.60%		07/15/35			60,000		62,889
First Union National Bank Commercial Mortgage 2002-C1 A2
6.14%		02/12/34			13,542		14,041
GE Capital Commercial Mortgage Corp. 2001-1 A2
6.53%		05/15/33			12,949		13,019
GE Capital Commercial Mortgage Corp. 2002-2A A3
5.35%		08/11/36			60,000		62,797
GMAC Commercial Mortgage Securities, Inc. 2002-C1 A2
6.28%		11/15/39			53,330		54,760
GMAC Commercial Mortgage Securities, Inc. 2002-C2 A3
5.71%		10/15/38			55,000		57,240
GMAC Commercial Mortgage Securities, Inc. 2003-C2 A1
4.58%		05/10/40			50,878		52,960
Greenwich Capital Commercial Funding Corp. 2002-C1 A4
4.95%		01/11/35			55,000		57,589
Greenwich Capital Commercial Funding Corp. 2003-C1 A4
4.11%		07/05/35			55,000		57,453
JPMorgan Chase Commercial Mortgage Securities Corp. 2001-C1 A3
5.86%		10/12/35			36,095		36,552
JPMorgan Chase Commercial Mortgage Securities Corp. 2001-CIB3 A3
6.47%		11/15/35			47,869		49,157
JPMorgan Chase Commercial Mortgage Securities Corp. 2002-CA A3
5.38%		07/12/37			55,000		57,489
Nomura Asset Securities Corp. 1998-D6 A3
7.26%		03/15/30	³		55,000		60,944
Wachovia Bank Commercial Mortgage Trust 2002-C1 A4
6.29%		04/15/34			60,000		62,706


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed (continued)
Wachovia Bank Commercial Mortgage Trust 2002-C2 A4
4.98%		11/15/34		$	60,000	$	63,037

							993,312

Non-Agency Mortgage-Backed — 28.91%
Accredited Mortgage Loan Trust 2005-4 A2C
0.47%		12/25/35	³		21,728		21,066
ACE Securities Corp. 2004-FM1 B1A
5.51%		09/25/33	³		17,188		4,058
ACE Securities Corp. 2006-SL1 A
0.58%		09/25/35	³		339,392		71,754
American Home Mortgage Investment Trust 2007-2 11A1
0.49%		03/25/47	³		103,630		55,860
Banc of America Mortgage Securities, Inc. 2003-A 2A2
3.60%		02/25/33	³		9,078		8,204
Conseco Finance Home Loan Trust 2000-E M1
8.13%		08/15/31	³		28,160		27,737
Conseco Financial Corp. 1997-4 A5
6.88%		02/15/29			65,474		68,449
Countrywide Alternative Loan Trust 2005-16 A5
0.54%		06/25/35	³		160,020		57,981
Countrywide Alternative Loan Trust 2005-27 3A2
1.43%		08/25/35	³		90,393		47,016
Countrywide Alternative Loan Trust 2005-61 2A1
0.54%		12/25/35	³		329,112		234,273
Countrywide Asset-Backed Certificates 2004-1 2A
0.50%		04/25/34	³		5,852		4,840
Credit Suisse First Boston Mortgage Securities Corp. 1997-2 A
7.50%		06/25/20	⁴		9,879		10,099
Credit-Based Asset Servicing and Securitization LLC 2003-CB1 AF (STEP)
3.95%		01/25/33			85,916		76,885
Downey Savings & Loan Association Mortgage Loan Trust 2004-AR1 A2A
0.67%		09/19/44	³		56,941		43,627
Downey Savings & Loan Association Mortgage Loan Trust 2004-AR3 2A2A
0.63%		07/19/44	³		15,843		12,580
GE Mortgage Services LLC 1998-HE1 A7
6.47%		06/25/28			1,587		1,570
Green Tree Home Improvement Loan Trust 1995-C B2
7.60%		07/15/20			18,327		16,917


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Green Tree Home Improvement Loan Trust 1995-F B2
7.10%		01/15/21		$	47,253	$	45,473
Harborview Mortgage Loan Trust 2004-8 2A4A
0.66%		11/19/34	³		82,618		59,992
Harborview Mortgage Loan Trust 2005-11 2A1A
0.57%		08/19/45	³		155,719		111,509
HSBC Home Equity Loan Trust 2006-1 A1
0.42%		01/20/36	³		59,229		54,736
HSBC Home Equity Loan Trust 2007-1 M1
0.64%		03/20/36	³		550,000		338,094
IndyMac Index Mortgage Loan Trust 2004-AR12 A1
0.65%		12/25/34	³		211,155		134,990
Indymac Index Mortgage Loan Trust 2004-AR5 2A1A
1.12%		08/25/34	³		27,856		19,823
IndyMac Index Mortgage Loan Trust 2005-AR18 2A1B
1.04%		10/25/36	³		110,730		74,838
IndyMac Index Mortgage Loan Trust 2005-AR2 2A2A
0.60%		02/25/35	³		91,276		57,675
IndyMac Index Mortgage Loan Trust 2006-AR2 1A1A
0.48%		04/25/46	³		116,753		67,149
IndyMac Manufactured Housing Contract 1997-1 A4
6.75%		02/25/28			184,239		170,266
Lehman XS Trust 2006-2N 1A1
0.52%		02/25/46	³		74,038		45,688
Merrill Lynch First Franklin Mortgage Loan Trust 2007-3 A2D
0.51%		06/25/37	³		100,000		48,429
Merrill Lynch First Franklin Mortgage Loan Trust 2007-4 2A4
0.51%		07/25/37	³		30,000		13,570
Nationstar Home Equity Loan Trust 2007-B 2AV4
0.58%		04/25/37	³		205,000		92,750
Option One Mortgage Loan Trust 2002-1 A
0.84%		02/25/32	³		139,340		122,883
Option One Mortgage Loan Trust 2003-2 A2
0.86%		04/25/33	³		97,284		80,892
Option One Mortgage Loan Trust 2003-5 A2
0.90%		08/25/33	³		68,481		56,846
Origen Manufactured Housing 2006-A A1
0.41%		11/15/18	³		43,496		42,031
Park Place Securities, Inc. 2004-MHQ1 M1
0.96%		12/25/34	³		56,334		54,471


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Residential Asset Mortgage Products, Inc. 2003-RS1 AII
1.04%		02/25/33	³	$	45,384	$	25,113
Residential Asset Mortgage Products, Inc. 2003-SL1 A11
7.13%		03/25/16			86,537		80,826
Residential Asset Mortgage Products, Inc. 2003-SL1 A41
8.00%		04/25/31			36,192		37,281
Residential Asset Mortgage Products, Inc. 2004-SL1 A2
8.50%		11/25/31			15,382		15,673
Residential Asset Securities Corp. 2003-KS3 A2
0.86%		05/25/33	³		31,938		27,498
Residential Asset Securities Corp. 2005-KS12 A2
0.51%		01/25/36	³		42,023		40,202
Resmae Mortgage Loan Trust 2006-1 A1B
0.53%		02/25/36	^3,4		245,109		21,102
SACO I, Inc. 2005-2 A
0.46%		04/25/35	^3,4		3,541		1,484
Saxon Asset Securities Trust 2004-1 M1
1.06%		03/25/35	³		221,546		181,619
Structured Asset Mortgage Investments, Inc. 2006-AR5 1A1
0.47%		05/25/46	³		131,395		74,490
Structured Asset Securities Corp. 2003-15A 2A1
2.68%		04/25/33	³		70,205		68,535
Structured Asset Securities Corp. 2003-34A 5A4
2.65%		11/25/33	³		57,570		56,466
Terwin Mortgage Trust 2004-13AL 2PX (IO)
0.34%		08/25/34	^4,5		11,322,193		97,794
UCFC Home Equity Loan 1998-D MF1
6.91%		04/15/30			260,545		246,819
Washington Mutual Mortgage Pass-Through Certificates 2002-AR6 A
1.73%		06/25/42	³		14,260		12,009
Washington Mutual MSC Mortgage Pass-Through Certificates 2003-MS9 1A
7.00%		04/25/33			99,728		101,795
Wells Fargo Home Equity Trust 2005-3 AII3
0.60%		11/25/35	³		57,771		56,542

							3,600,269

U.S. Agency Mortgage-Backed — 10.33%
Fannie Mae 1997-91 SL (IO)
7.50%		11/25/23	³		251,774		51,631
Fannie Mae 2002-97 FR
0.81%		01/25/33	³		112,859		113,481


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae 2003-37 IG (IO)
5.50%		05/25/32		$	179,256	$	23,891
Fannie Mae 2003-62 IG (IO)
5.00%		10/25/31			1,000,000		112,288
Fannie Mae 2004-33 MW
4.50%		01/25/30			100,000		106,475
Fannie Mae 2008-47 PF
0.76%		06/25/38	³		104,648		105,649
Fannie Mae G-36 ZB
7.00%		11/25/21			2,852		3,363
Fannie Mae Pool 646884
1.92%		05/01/32	³		79,214		80,961
Fannie Mae Pool 802665
2.24%		12/01/34	³		18,688		19,405
Fannie Mae Whole Loan 2003-W6 F
0.61%		09/25/42	³		157,893		157,982
Freddie Mac Non Gold Pool 781908
2.57%		09/01/34	³		61,364		63,906
Freddie Mac-Ginnie Mae 2 L
8.00%		11/25/22			20,216		23,856
National Credit Union Administration Guaranteed Notes 2010-R1 A1
0.72%		10/07/20	³		126,170		126,013
National Credit Union Administration Guaranteed Notes 2010-R2 1A
0.64%		11/06/17	³		127,678		127,638
National Credit Union Administration Guaranteed Notes 2010-R2 2A
0.74%		11/05/20	³		59,723		59,452
National Credit Union Administration Guaranteed Notes 2010-R3 1A
0.83%		12/08/20	³		60,000		59,925
National Credit Union Administration Guaranteed Notes 2010-R3 2A
0.83%		12/08/20	³		50,000		49,938

							1,285,854

Total Mortgage-Backed
(Cost $6,552,381)							5,879,435


MUNICIPAL BONDS — 0.20%*
Illinois — 0.20%
State of Illinois, Pension Funding G.O., Taxable
4.07%		01/01/14			25,000		25,239

Total Municipal Bonds
(Cost $24,855)							25,239


Issues	Maturity Date			Principal Amount		Value
U.S. AGENCY SECURITIES — 11.97%
Fannie Mae
0.28%		08/23/12	³	$	220,000	$	220,065
0.29%		10/18/12	³		120,000		120,075
Federal Farm Credit Bank
0.28%		08/08/12	³		120,000		119,973
0.28%		08/20/12	³		120,000		119,970
Federal Home Loan Bank
0.36%		06/15/11	³		210,000		210,084
0.37%		11/16/11			90,000		90,011
0.40%		11/28/11	³		105,000		105,110
0.50%		05/16/12			110,000		109,837
Federal Home Loan Bank (STEP)
0.75%		03/28/13			100,000		100,107
Freddie Mac
0.32%		11/07/11	³		55,000		55,019
0.32%		10/12/12	³		240,000		240,721

Total U.S. Agency Securities (Cost $1,489,805)							1,490,972

U.S. TREASURY SECURITIES — 0.83%
U.S. Treasury Notes - Treasury Inflation Indexed Notes
3.38%		01/15/12	⁷		80,000		103,074

Total U.S. Treasury Securities
(Cost $102,591)							103,074


Total Bonds – 84.74%
(Cost $11,208,596)							10,551,857

Issues

Maturity
Date

Shares/

Principal
Amount

Value

SHORT-TERM INVESTMENTS — 14.23%

Money Market Fund — 7.81%

Dreyfus Cash Advantage Fund

0.19%⁸

567,000

DWS Money Market Series-Institutional

0.17%⁸

37,000

Fidelity Institutional Money Market Funds - Prime Money Market Portfolio

0.17%⁸

369,000

973,000

U.S. Agency Discount Notes — 0.44%

Fannie Mae

0.29%⁹

07/01/11

55,000

54,954

U.S. Treasury Bills — 5.98%

U.S. Treasury Bills

0.18%⁹

02/10/11

30,000

29,997

0.18%⁹

02/10/11

¹⁰

715,000

714,924

Issues

Maturity
Date

Shares/
Principal
Amount

Value

SHORT-TERM INVESTMENTS (continued)

U.S. Treasury Bills (continued)

744,921

Total Short-Term Investments

(Cost $1,772,778)

1,772,875

Total Investments – 98.97%

(Cost $12,981,374)¹

12,324,732

Cash and Other Assets, Less Liabilities – 1.03%

127,689

Net Assets – 100.00%

12,452,421


Contracts		Unrealized Appreciation
FUTURES CONTRACTS: LONG POSITIONS
29	S&P 500 Index,
	Expiration March 2011	$	384,037

	Net unrealized appreciation	$	384,037


Issues	Expiration Date		Notional Amount (000’s)		Value
SWAPS: TOTAL RETURN
The Fund pays a floating rate based on 1-month USD LIBOR plus 8 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
		01/05/11	$	2	$	205,910
The Fund pays a floating rate based on 1-month USD LIBOR plus 20 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
		02/03/11		2		–

					$	205,910


	Expiration Date		Premiums Paid		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	$	(1,217	)	$	(1,217	)
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		(9,176	)		(9,176	)
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		1,600		45		1,716			3,316


	Expiration Date		Premiums Paid		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: Deutsche Bank AG
		09/20/16	$	1,970	$	40	$	978		$	2,948
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		1,971		40		977			2,948

			$	5,541	$	300	$	(6,722	)	$	(1,181	)

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 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	$	1,840		$	1,840

			$	–	$	200	$	1,840		$	1,840

^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 $13,037,900 and net unrealized appreciation/ (depreciation) consists of:


Gross unrealized appreciation	$	2,038,826
Gross unrealized depreciation		(2,751,995	)

Net unrealized depreciation	$	(713,169	)

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

³	Floating rate security. The rate disclosed is that in effect at December 31, 2010.

⁴

⁵	Illiquid security as determined under procedures approved by the Fund’s Board of Trustees. The aggregate value of illiquid securities is $220,794, which is 1.77% 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.,
	2.31%, 02/01/14	$	190,834	$	184,662		1.48	%

⁷	Inflation protected security. Principal amount reflects original security face amount.

⁸	Represents the current yield as of December 31, 2010.

⁹	Represents annualized yield at date of purchase.

¹⁰	Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $693,481.

^†

Fair valued security. The aggregate value of fair valued securities is $397,108, which is 3.19% 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. 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 61st day prior to maturity (unless the Board determines that this method does not represent fair value). S&P 500 Index 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.

Security transactions are accounted for no later than the first net asset value calculation on the first business day following the trade date. However, for financial reporting purposes, portfolio securities transactions are reported on trade date. Cost is determined and gains and losses are based on the first-in first-out method for both financial statement and federal income tax purposes. Dividend income is recorded on the ex-dividend date. Interest income is accrued daily. Discounts and premiums on securities are amortized using the interest method.

Distributions to shareholders are recorded on the ex-dividend date. The Funds (except the AlphaTrak 500 Fund) expect to declare distributions daily and pay them monthly to shareholders. TheAlphaTrak 500 Fund expects to declare and pay distributions to shareholders quarterly. Distributions of net capital gains, if any, will be made at least annually. The Board may determine to declare and make distributions more or less frequently.

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.

Income and long-term capital gain distributions are determined in accordance with federal income tax regulations, which may differ from accounting principles generally accepted 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.

Management has analyzed the Funds’ tax positions taken on federal income tax returns for all open tax years (current and prior three tax years), and has concluded that no provision for federal income tax is required in the Funds’ financial statements. The Funds’ federal and state income and federal excise tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue.

As of and during the period ended December 31, 2010 (Unaudited), the Funds did not have a liability for any unrecognized tax benefits. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the statement of operations. During the period, the Funds did not incur any interest or penalties.

The Trust has defined cash and cash equivalents as cash which can be in interest-bearing and non-interest-bearing accounts.

The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

Various inputs are used in determining the fair value of investments, which are as follows:

* Level 2 - other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)

* Level 3 - significant unobservable inputs that are not corroborated by observable market data

The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those investments and the determination of the significance of a particular input to the fair value measurement in its entirety requires judgment and consideration of factors specific to each security.

The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.

In periods of market dislocation, the observability of prices and inputs may be reduced for many instruments. This condition, as well as changes related to liquidity of investments, could cause a security to be reclassified between Level 1, Level 2, or Level 3.

In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes the level in the fair value hierarchy within which the fair value measurement falls in its entirety is determined based on the lowest level input that is significant to the fair value measurement in its entirety.

Equity securities. Securities are generally valued based on quoted prices from the applicable exchange. To the extent these securities are actively traded, valuation adjustments are not applied and they are categorized in Level 1 of the fair value hierarchy. Restricted securities issued by publicly held companies are valued at a discount to similar publicly traded securities and may be categorized as Level 2 of the fair value hierarchy to the extent that the discount is considered to be insignificant to the fair value measurement in its entirety, otherwise they may be categorized as Level 3. Restricted securities held in non-public entities are included in Level 3 of the fair value hierarchy because they trade infrequently, and, therefore, the inputs are unobservable.

Corporate bonds. The fair value of corporate bonds is estimated using recently executed transactions, market price quotations (where observable), bond spreads, or credit default swap spreads adjusted for any basis difference between cash and derivative instruments. Corporate bonds are generally categorized in Level 2 of the fair value hierarchy; in instances where prices, spreads, or any of the other aforementioned key inputs are unobservable, they are categorized in Level 3 of the hierarchy.

Asset-Backed securities and mortgage backed securities. The fair value of asset backed securities and mortgage backed securities is estimated based on models that consider the estimated cash flows of each debt tranche of the issuer, establish a benchmark yield, and develop an estimated tranche specific spread to the benchmark yield based on the unique attributes of the tranche including, but not limited to, the prepayment speed assumptions and attributes of the collateral. To the extent the inputs are observable and timely, the values would be categorized in Level 2 of the fair value hierarchy, otherwise they would be categorized as Level 3.

Bank loans. The fair value of bank loans is estimated using recently executed transactions, market price quotations, credit/market events, and cross-asset pricing. Inputs are generally observable market inputs obtained from independent sources . Bank Loans are generally categorized in Level 2 of the fair value hierarchy, unless key inputs are unobservable which would then be in Level 3.

Municipal Bonds. Municipal bonds are fair valued based on pricing models that take into account, among other factors, information received from market makers and broker-dealers, current trades, bid-want lists, offerings, market movements, the callability of the bond, state of issuance, benchmark yield curves, and bond insurance. To the extent that these inputs are observable and timely, the fair values of municipal bonds would be categorized as Level 2; otherwise the fair values would be categorized as Level 3.

U.S. Government and agency securities. U.S. government and agency securities are normally valued using a model that incorporates market observable data such as reported sales of similar securities, broker quotes, yields, bids, offers, quoted market prices, and reference data. Accordingly, U.S. government and agency securities are normally categorized in Level 2 of the fair value hierarchy.

Restricted securities. Restricted securities that are deemed to be both Rule 144A securities and illiquid, as well as restricted securities held in non-public entities, are included in Level 3 of the fair value hierarchy because they trade infrequently, and, therefore, the inputs are unobservable. Any other restricted securities are valued at a discount to similar publicly traded securities and may be categorized as Level 2 of the fair value hierarchy to the extent that the discount is considered to be insignificant to the fair value measurement in its entirety, otherwise they may be categorized as Level 3.

Futures Contracts. Futures contracts and options on futures contracts are traded on commodity exchanges and are fair valued based on quoted prices from the applicable exchange, and to the extent valuation adjustments are not applied to futures contracts, they are categorized as Level 1. To the extent that valuation adjustments are observable and timely, the fair values of futures contracts would be categorized as Level 2; otherwise the fair values would be categorized as Level 3.

Options Contracts. Exchange listed options contracts are traded on securities exchanges and are fair valued based on quoted prices from the applicable exchange, and to the extent valuation adjustments are not applied or mean variation to exchange listed options contracts, they are categorized as Level 1. If valuation adjustments are applied and such adjustments are observable and timely, the fair values of exchange listed options contracts would be categorized as Level 2; otherwise the fair values would be categorized as Level 3. Options contracts traded over the counter (“OTC”) are fair valued based on pricing models and incorporates various inputs such as interest rates, credit spreads, currency exchange rates and volatility measurements for in-the-money, at-the-money, and out-of-the-money contracts based on a given strike price. To the extent that these inputs are observable and timely, the fair values of OTC option contracts would be categorized as Level 2; otherwise the fair values would be categorized as Level 3.

Interest Rate Swaps. Interest rate swaps are fair valued using pricing models that are based on real-time intraday snap shots of relevant interest rate curves that are built using the most actively traded securities for a given maturity. The pricing models also incorporate cash and money market rates. In addition, market data pertaining to interest rate swaps are monitored regularly to ensure that interest rates are properly depicting the current market rate. To the extent that these inputs are observable and timely, the fair values of interest rate swaps would be categorized as Level 2; otherwise the fair values would be categorized as Level 3.

Credit Default Swaps. Credit default swaps are fair valued using pricing models that take into account, among other factors, information received from market makers and broker-dealers, default probabilities from index specific credit spread curves, recovery rates, and cash flows. To the extent that these inputs are observable and timely, the fair values of credit default swaps would be categorized as Level 2; otherwise the fair values would be categorized as Level 3.

Total Return Swaps. Total Return swaps are fair valued using pricing models that take into account among other factors, index spread curves, nominal values, modified duration values and cash flows. To the extent that these inputs are observable and timely, the fair values of total return swaps would be categorized as Level 2; otherwise the fair values would be categorized as Level 3.

As of December 31, 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.

The summary of inputs used to value each Fund’s net assets as of December 31, 2010 is as follows:

* Other financial instruments include (but may not be limited to) swap contracts, futures and options.

In January 2010, the FASB issued amended guidance to improve disclosure about fair value measurements which require additional disclosures about transfers into and out of Levels 1 and 2 and separate disclosures about purchases, sales, issuances and settlements in the reconciliation for fair value measurements using significant unobservable inputs (Level 3). It also clarifies existing disclosure requirements relating to the levels of disaggregation for fair value measurement and inputs and valuation techniques used to measure fair value. The amended guidance is effective for financial statements for fiscal years and interim periods beginning after December 15, 2009 except for disclosures about purchases, sales, issuances and settlements in the rollforward of activity in Level 3 fair value measurements, which are effective for fiscal years beginning after December 15, 2010 and for interim periods within those fiscal years.

For the period ended December 31, 2010, none of the portfolios had significant transfers between Level 1 and Level 2.

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 December 31, 2010 was $607,110.