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 – 90.45%
ASSET-BACKED SECURITIES — 2.23%**
ABFS Mortgage Loan Trust 2002-3 A (STEP)
4.76%		09/15/33		$	12,455	$	12,252
Americredit Prime Automobile Receivable 2007-1 A4
0.22%		04/08/13	²		8,919		8,919
BMW Vehicle Lease Trust 2009-1 A3
2.91%		03/15/12			82,605		82,666
Capital Auto Receivables Asset Trust 2008-CPA A1
1.04%		01/15/13	^2,3		265,928		266,452
First Alliance Mortgage Loan Trust 1994-3 A1
7.83%		10/25/25			4,207		4,029
GE Seaco Finance SRL 2005-1A A (Barbados)
0.44%		11/17/20	^2,3,4		441,667		412,947
Harley-Davidson Motorcycle Trust 2009-4 A4
2.40%		07/15/14			90,000		91,250
Nissan Auto Lease Trust 2009-B A3
2.07%		01/15/15			457,891		458,808
Santander Drive Auto Receivables Trust 2010-1 A2
1.36%		03/15/13			569,073		570,288
Triton Container Finance LLC 2006-1A
0.36%		11/26/21	^2,3		216,667		204,643
Triton Container Finance LLC 2007-1A
0.33%		02/26/19	^2,3		137,500		132,073
Volkswagen Auto Lease Trust 2009-A A3
3.41%		04/16/12			336,381		337,405


Total Asset-Backed Securities
(Cost $2,574,426)							2,581,732


CORPORATES — 17.02%*
Banking — 4.69%
Abbey National Treasury Services Plc (United Kingdom)
1.85%		04/25/14	^2,4		550,000		547,359
Bank of America Corp. (MTN)
1.69%		01/30/14	²		550,000		549,855
Bank of America N.A.
0.55%		06/15/17	²		750,000		667,953
Commonwealth Bank of Australia (Australia)
0.98%		03/17/14	^2,3,4		600,000		600,748
HSBC Bank Plc (United Kingdom)
1.08%		01/17/14	^2,3,4		550,000		550,414
JPMorgan Chase Bank N.A.
0.58%		06/13/16	²		550,000		514,891
Lloyds TSB Bank Plc (United Kingdom)
2.62%		01/24/14	^2,4		500,000		507,330
National Australia Bank, Ltd. S (Australia)
1.01%		04/11/14	^2,4		550,000		548,262


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Banking (continued)
Royal Bank of Scotland Plc 1
(United Kingdom)
2.68%		08/23/13	^2,4	$	500,000	$	513,155
UBS AG (Switzerland)
2.25%		08/12/13	⁴		425,000		432,536


							5,432,503

Communications — 0.50%
Verizon Communications, Inc.
1.95%		03/28/14			575,000		585,344

Consumer Discretionary — 0.48%
Anheuser-Busch InBev Worldwide, Inc.
0.82%		01/27/14	²		550,000		552,964

Electric — 0.69%
KCP&L Greater Missouri Operations Co.
11.88%		07/01/12			730,000		804,471

Finance — 8.09%
Citigroup Funding, Inc. (MTN)
0.55%		03/30/12	²		815,000		817,134
Citigroup Funding, Inc. 2
0.60%		04/30/12	²		900,000		903,320
Citigroup, Inc.
5.30%		10/17/12			1,075,000		1,128,564
General Electric Capital Corp. (MTN)
0.39%		06/20/14	²		250,000		245,439
General Electric Capital Corp. A (MTN)
0.51%		09/15/14	²		300,000		294,852
General Electric Capital Corp. G (MTN)
0.42%		06/01/12	²		1,030,000		1,032,337
Goldman Sachs Group, Inc.
0.99%		12/05/11	²		690,000		692,645
1.27%		02/07/14	²		430,000		426,236
5.45%		11/01/12			500,000		528,254
Goldman Sachs Group, Inc. B (MTN)
0.67%		07/22/15	²		200,000		190,020
International Lease Finance Corp.
6.50%		09/01/14	³		350,000		370,125
Macquarie Group Ltd. (Australia)
7.30%		08/01/14	^3,4		318,000		356,165
Morgan Stanley
0.55%		02/10/12	²		990,000		992,450
0.60%		06/20/12	²		620,000		622,608
Morgan Stanley (MTN)
0.73%		10/18/16	²		260,000		239,086
Morgan Stanley 1
1.10%		12/01/11	²		535,000		537,199


							9,376,434


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Real Estate Investment Trust (REIT) — 1.69%
HCP, Inc.
2.70%		02/01/14		$	600,000	$	609,029
Kimco Realty Corp.
6.00%		11/30/12			275,000		291,095
Liberty Property LP
6.38%		08/15/12			500,000		525,716
Post Apartment Homes LP
6.30%		06/01/13			500,000		535,462


							1,961,302

Transportation — 0.88%
Delta Air Lines, Inc. 2001 A2
7.11%		09/18/11	⁵		600,000		606,720
JetBlue Airways Pass-Through Trust
2004-2 G1
0.64%		08/15/16	²		438,631		409,099


							1,015,819


Total Corporates
(Cost $19,321,065)							19,728,837


BANK LOANS — 0.54%*
Health Care — 0.54%
HCA, Inc. Term Loan
3.50%		05/01/18	^2,6		640,641		631,788


Total Bank Loans
(Cost $609,732)

MORTGAGE-BACKED — 66.91%**
Commercial Mortgage-Backed — 9.47%
Banc of America Commercial Mortgage, Inc. 2002-2 A3
5.12%		07/11/43			352,141		357,723
Banc of America Commercial Mortgage, Inc. 2002-PB2 A4
6.19%		06/11/35			505,418		513,966
Bayview Commercial Asset Trust 2007-3 A1
0.43%		07/25/37	^2,3		1,250,364		978,801
Bear Stearns Commercial Mortgage Securities 2002-PBW1 A2
4.72%		11/11/35	²		575,000		591,108
Commercial Mortgage Asset Trust 1999-C1 A4
6.98%		01/17/32	²		395,000		414,613
Credit Suisse First Boston Mortgage Securities Corp. 2001-CK6 A3
6.39%		08/15/36			162,847		163,680
Credit Suisse First Boston Mortgage Securities, Corp. 2002-CP3 A3
5.60%		07/15/35			575,000		593,196


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed (continued)
First Union National Bank Commercial Mortgage 2001-C4 A2
6.22%		12/12/33		$	460,016	$	461,966
First Union National Bank Commercial Mortgage 2002-C1 A2
6.14%		02/12/34			467,642		474,571
GE Capital Commercial Mortgage Corp. 2001-2 A4
6.29%		08/11/33			22,725		22,716
GE Capital Commercial Mortgage Corp. 2002-1A A3
6.27%		12/10/35			534,500		545,825
GE Capital Commercial Mortgage Corp. 2002-2A A3
5.35%		08/11/36			1,135,000		1,170,166
GE Capital Commercial Mortgage Corp. 2002-3A A2
5.00%		12/10/37			538,155		555,374
GE Capital Commercial Mortgage Corp. 2003-C1 A4
4.82%		01/10/38			570,000		591,720
GMAC Commercial Mortgage Securities, Inc. 2002-C1 A2
6.28%		11/15/39			278,314		280,233
GMAC Commercial Mortgage Securities, Inc. 2002-C2 A3
5.71%		10/15/38			346,976		355,333
Greenwich Capital Commercial Funding Corp. 2002-C1 A4
4.95%		01/11/35			545,000		563,295
JPMorgan Chase Commercial Mortgage Securities Corp. 2001-CIB3 A3
6.47%		11/15/35			177,898		179,134
JPMorgan Chase Commercial Mortgage Securities Corp. 2002-CA A3
5.38%		07/12/37			548,096		563,397
Morgan Stanley Dean Witter Capital I 2001-TOP5 A4
6.39%		10/15/35			383,130		386,887
Nomura Asset Securities Corp. 1998-D6 A3
7.52%		03/15/30	²		360,000		391,246
Salomon Brothers Mortgage Securities VII, Inc. 2002-KEY2 A3
4.87%		03/18/36			540,000		554,496
Wachovia Bank Commercial Mortgage Trust 2002-C1 A4
6.29%		04/15/34			261,766		267,462


							10,976,908


Non-Agency Mortgage-Backed — 20.63%
Aames Mortgage Trust 2002-1 A3 (STEP)
6.90%		06/25/32			34,578		31,357


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
ABFS Mortgage Loan Trust 2002-4 A (STEP)
4.93%		12/15/33		$	4,858	$	4,856
Adjustable Rate Mortgage Trust 2005-1 1A1
3.01%		05/25/35	²		1,131,004		882,612
American Home Mortgage Investment Trust 2004-3 3A
2.26%		10/25/34	²		842,638		684,684
Ameriquest Mortgage Securities. Inc., 2005-R11 A2C
0.42%		01/25/36	²		589,955		585,582
Banc of America Funding Corp. 2003-2 1A1
6.50%		06/25/32			22,303		23,232
Banc of America Funding Corp. 2007-8 2A1
7.00%		10/25/37			688,172		507,622
Banc of America Mortgage Securities, Inc. 2003-A 2A2
2.98%		02/25/33	²		4,979		4,325
Citigroup Mortgage Loan Trust, Inc. 2004-HYB1 A41
3.04%		02/25/34	²		182,158		166,932
Citigroup Mortgage Loan Trust, Inc. 2007-WFH2 A3
0.37%		03/25/37	²		2,500,000		1,838,183
Citigroup Mortgage Loan Trust, Inc. 2007-WFH4 A2C
1.49%		07/25/37	²		1,765,000		697,051
Conseco Financial Corp. 1994-1 A5
7.65%		04/15/19			4,881		5,226
Conseco Financial Corp. 1995-8 M1
7.30%		12/15/26			674,729		711,753
Conseco Financial Corp. 1996-8 A6
7.60%		10/15/27	²		11,026		11,560
Countrywide Alternative Loan Trust 2004-J6 2A1
6.50%		11/25/31			303,912		307,206
Countrywide Alternative Loan Trust 2005-16 A5
0.47%		06/25/35	²		741,490		235,000
Countrywide Alternative Loan Trust 2005-27 2A1
1.63%		08/25/35	²		1,563,442		902,414
Countrywide Alternative Loan Trust 2005-61 2A1
0.47%		12/25/35	²		1,034,553		691,403
Countrywide Asset-Backed Certificates 2003-BC1 M1
1.57%		12/25/32	²		351,357		157,197
Credit Suisse First Boston Mortgage Securities Corp. 2001-MH29 A (STEP)
5.60%		09/25/31			78,706		80,367


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Credit Suisse First Boston Mortgage Securities Corp. 2002-AR31 4A2
3.08%		11/25/32	²	$	200,000	$	181,001
Credit-Based Asset Servicing and Securitization LLC 2007-CB4 A2A (STEP)
5.84%		04/25/37			230,799		231,506
Deutsche Financial Capital Securitization LLC 1997-I A3
6.75%		09/15/27			104,853		107,113
Downey Savings & Loan Association Mortgage Loan Trust 2004-AR3 2A2A
0.56%		07/19/44	²		525,959		397,527
Fremont Home Loan Trust 2005-C M1
0.67%		07/25/35	²		500,000		444,599
GE Mortgage Services LLC 1998-HE1 A7
6.47%		06/25/28			383		381
GMAC Mortgage Corp. Loan Trust 2003-GH1 A5 (STEP)
5.60%		07/25/34			46,881		45,203
Green Tree Home Improvement Loan Trust 1995-C B2
7.60%		07/15/20			41,033		40,678
Green Tree Home Improvement Loan Trust 1995-F B2
7.10%		01/15/21			18,794		18,529
HSBC Home Equity Loan Trust 2006-3 A2V
0.32%		03/20/36	²		381,699		380,291
HSBC Home Equity Loan Trust 2007-3 APT
1.39%		11/20/36	²		517,262		462,020
IndyMac Index Mortgage Loan Trust 2004-AR12 A1
0.58%		12/25/34	²		916,549		556,267
IndyMac Index Mortgage Loan Trust 2006-AR2 1A1A
0.41%		04/25/46	²		1,368,586		758,080
IndyMac Index Mortgage Loan Trust 2007-FLX1 A1
0.29%		02/25/37	²		332,893		322,471
IndyMac Manufactured Housing Contract 1998-2 A4
6.64%		12/25/27	²		154,129		153,920
Irwin Home Equity Corp. 2003-A M2
2.84%		10/25/27	²		407,118		370,704
JPMorgan Mortgage Trust 2005-A2 9A1
2.64%		04/25/35	²		589,594		470,776
MASTR Adjustable Rate Mortgages Trust 2004-1 2A1
2.87%		01/25/34	²		37,285		32,655
MASTR Adjustable Rate Mortgages Trust 2004-12 5A1
3.61%		10/25/34	²		919,333		768,179


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
MASTR Adjustable Rate Mortgages Trust 2004-5 3A1
2.75%		06/25/34	²	$	50,051	$	40,061
MASTR Seasoned Securities Trust 2004-1 4A1
2.93%		10/25/32	²		147,830		134,471
MASTR Seasoned Securities Trust 2004-2 A2
6.50%		08/25/32			441,332		459,778
Merrill Lynch Mortgage Investors, Inc. 2003-A1 2A
2.38%		12/25/32	²		453,919		398,299
Mid-State Trust 6 A4
7.79%		07/01/35			42,081		41,823
Morgan Stanley ABS Capital I 2004-NC2 M2
1.99%		12/25/33	²		707,915		449,998
Oakwood Mortgage Investors, Inc. 1998-A A4
6.20%		05/15/28			2,280		2,302
Oakwood Mortgage Investors, Inc. 1998-B A3
6.20%		01/15/15			4,199		4,208
Oakwood Mortgage Investors, Inc. 1998-B A4
6.35%		03/15/17			210,229		211,023
Residential Asset Mortgage Products, Inc. 2003-SL1 A11
7.13%		03/25/16			89,163		91,713
Residential Asset Mortgage Products, Inc. 2004-SL1 A2
8.50%		11/25/31			120,729		122,898
Residential Asset Mortgage Products, Inc. 2004-SL1 A8
6.50%		11/25/31			224,273		227,935
Residential Asset Mortgage Products, Inc. 2005-EFC2 M1
0.63%		07/25/35	²		282,916		279,235
Residential Asset Securitization Trust 2004-IP2 2A1
2.73%		12/25/34	²		493,658		467,920
Residential Funding Mortgage Securities II, Inc. 1999-HI6 AI7 (STEP)
8.60%		09/25/29			101,336		95,810
Residential Funding Mortgage Securities II, Inc. 2000-HI1 AI7 (STEP)
8.79%		02/25/25			9,510		9,534
Saxon Asset Securities Trust 2002-1 M2
1.99%		11/25/31	²		189,045		93,005
Soundview Home Equity Loan Trust 2006-WF2 A2C
0.33%		12/25/36	²		1,055,000		924,684
Structured Asset Mortgage Investments, Inc. 2006-AR8 A1A
0.39%		10/25/36	²		1,782,372		1,104,603


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Structured Asset Mortgage Investments, Inc. 2007-AR3 2A1
0.38%		09/25/47	²	$	2,252,298	$	1,353,797
Structured Asset Securities Corp. 2001-15A 4A1
3.45%		10/25/31	²		41,423		41,369
Structured Asset Securities Corp. 2004-S4 M4
1.99%		12/25/34	²		229,230		221,044
Structured Asset Securities Corp. 2005-4XS 3A3 (STEP)
4.47%		03/25/35			119,630		120,981
Structured Asset Securities Corp. 2007-EQ1 A4
0.44%		03/25/37	²		3,000,000		1,113,558
Terwin Mortgage Trust 2004-13AL 2PX (IO)
0.34%		08/25/34	^3,7		7,532,122		68,921
UCFC Home Equity Loan 1998-D BF1
8.97%		04/15/30	²		1,243		538
Washington Mutual Alternative Mortgage Pass-Through Certificates 2005-4 CB13
0.69%		06/25/35	²		593,057		393,436
Washington Mutual Mortgage Pass-Through Certificates 2002-AR6 A
1.68%		06/25/42	²		112,928		90,259
Washington Mutual Mortgage Pass-Through Certificates 2003-AR6 A1
2.57%		06/25/33	²		454,012		455,895
Washington Mutual MSC Mortgage Pass-Through Certificates 2003-MS9 1A
7.00%		04/25/33			38,620		39,737
Wells Fargo Home Equity Trust 2005-3 AII3
0.53%		11/25/35	²		446,933		436,916
Wells Fargo Home Equity Trust 2006-1 A3
0.34%		05/25/36	²		148,870		146,283


							23,912,496


U.S. Agency Mortgage-Backed — 36.81%
Fannie Mae 1988-12 A
4.05%		02/25/18	²		81,975		84,719
Fannie Mae 1993-80 S
10.61%		05/25/23	²		6,932		7,626
Fannie Mae 2000-27 AN
6.00%		08/25/30			9,960		10,989
Fannie Mae 2001-42 SB
8.50%		09/25/31	²		5,069		5,089
Fannie Mae 2001-60 OF
1.14%		10/25/31	²		774,245		787,378
Fannie Mae 2002-82 FP
0.69%		02/25/32	²		581,283		582,159


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae 2003-117 XF
0.54%		08/25/33	²	$	1,054,064	$	1,058,005
Fannie Mae 2003-124 IO (IO)
5.25%		03/25/31			18,728		318
Fannie Mae 2003-124 TS
9.80%		01/25/34	²		87,234		94,475
Fannie Mae 2003-134 FC
0.79%		12/25/32	²		1,090,000		1,103,664
Fannie Mae 2003-37 IG (IO)
5.50%		05/25/32			76,970		5,889
Fannie Mae 2004-33 FM
0.99%		03/25/31	²		680,242		687,965
Fannie Mae 2004-60 FW
0.64%		04/25/34	²		892,353		893,506
Fannie Mae 2004-83 HB
5.00%		08/25/32			1,338,986		1,418,958
Fannie Mae 2004-96 MT
7.00%		12/25/34	²		96,584		95,402
Fannie Mae 2005-39 BN
4.55%		06/25/28			219,399		221,085
Fannie Mae 2007-65 PA
6.00%		03/25/31			276,107		281,092
Fannie Mae 2007-68 SC (IO)
6.51%		07/25/37	²		1,600,036		246,217
Fannie Mae 2008-47 PF
0.69%		06/25/38	²		816,728		823,018
Fannie Mae 2009-33 FB
1.01%		03/25/37	²		1,107,755		1,123,594
Fannie Mae 2010-112 PI (IO)
6.00%		10/25/40			2,250,618		434,939
Fannie Mae 2010-26 S (IO)
6.04%		11/25/36	²		3,631,021		559,359
Fannie Mae Pool 111643
3.10%		09/01/20	²		22,129		22,870
Fannie Mae Pool 190656
6.50%		02/01/14			82,698		93,726
Fannie Mae Pool 523829
8.00%		11/01/19			160,465		191,720
Fannie Mae Pool 555098
2.83%		11/01/32	²		97,020		102,115
Fannie Mae Pool 555177
2.40%		01/01/33	²		97,969		102,112
Fannie Mae Pool 555424
5.50%		05/01/33			841,549		915,382
Fannie Mae Pool 567002
8.00%		05/01/23			108,378		126,499
Fannie Mae Pool 646884
1.92%		05/01/32	²		7,050		7,092


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool 647903
1.82%		04/01/27	²	$	60,526	$	63,182
Fannie Mae Pool 648860
6.50%		05/01/17			447,180		486,249
Fannie Mae Pool 655127
7.00%		07/01/32			37,275		42,721
Fannie Mae Pool 655133
7.00%		08/01/32			42,488		48,721
Fannie Mae Pool 655151
7.00%		08/01/32			43,738		50,155
Fannie Mae Pool 754001
2.76%		12/01/33	²		407,791		411,043
Fannie Mae Pool 762525
6.50%		11/01/33			108,914		123,186
Fannie Mae Pool 770900
2.32%		04/01/34	²		427,396		449,437
Fannie Mae Pool 805268
1.82%		01/01/35	²		262,541		268,003
Fannie Mae Pool 893489
6.25%		09/01/36	²		369,825		398,661
Fannie Mae Pool AD0538
6.00%		05/01/24			729,664		796,246
Fannie Mae Pool AD0546
5.90%		11/01/37	²		287,254		307,365
Freddie Mac 1214 KA
1.02%		02/15/22	²		7,194		7,196
Freddie Mac 1526 L
6.50%		06/15/23			21,170		22,446
Freddie Mac 2043 CJ
6.50%		04/15/28			41,608		48,405
Freddie Mac 2368 AF
1.14%		10/15/31	²		747,768		754,844
Freddie Mac 2527 TI (IO)
6.00%		02/15/32			73,106		2,473
Freddie Mac 2561 BX (IO)
5.00%		05/15/17			90,010		1,737
Freddie Mac 2642 BW (IO)
5.00%		06/15/23			32,811		4,271
Freddie Mac 2657 LX (IO)
6.00%		05/15/18			130,317		9,945
Freddie Mac 2817 FA
0.69%		06/15/32	²		878,797		880,562
Freddie Mac 2877 MV
4.75%		12/15/28			191,355		193,745
Freddie Mac 2906 NX (IO)
5.31%		12/15/34	²		1,377,464		14,745
Freddie Mac 2945 LD
4.00%		02/15/35			622,514		644,732


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac 2971 AB
5.00%		05/15/20		$	21,211	$	22,411
Freddie Mac 3300 FA
0.49%		08/15/35	²		1,163,095		1,159,806
Freddie Mac 3325 NF
0.49%		08/15/35	²		1,169,132		1,165,827
Freddie Mac 3345 FP
0.39%		11/15/36	²		331,660		331,952
Freddie Mac 3345 PF
0.37%		05/15/36	²		333,369		333,304
Freddie Mac 3346 FA
0.42%		02/15/19	²		859,557		860,417
Freddie Mac 3626 MA
5.00%		02/15/30			887,162		941,932
Freddie Mac Gold C90237
6.50%		11/01/18			107,162		120,871
Freddie Mac Gold C90474
7.00%		08/01/21			148,431		172,341
Freddie Mac Gold D93410
6.50%		04/01/19			71,297		80,418
Freddie Mac Gold G13107
5.50%		07/01/20			910,674		991,667
Freddie Mac Gold O30092
5.50%		10/01/15			13,113		13,925
Freddie Mac Gold P20295
7.00%		10/01/29			60,109		66,238
Freddie Mac Non Gold Pool 1G2627
6.01%		03/01/37	²		399,909		419,770
Freddie Mac Non Gold Pool 1J1393
6.20%		10/01/36	²		424,368		442,876
Freddie Mac Non Gold Pool 1J1509
6.36%		11/01/36	²		416,795		439,982
Freddie Mac Non Gold Pool 1J1534
5.69%		03/01/37	²		732,727		777,934
Freddie Mac Non Gold Pool 775554
3.40%		10/01/18	²		5,197		5,208
Freddie Mac Non Gold Pool 782824
2.24%		11/01/34	²		544,680		560,914
Freddie Mac Non Gold Pool 865369
3.86%		06/01/22	²		3,727		3,776
Ginnie Mae 2002-72 FB
0.59%		10/20/32	²		919,277		922,489
Ginnie Mae 2002-72 FC
0.59%		10/20/32	²		876,756		879,820
Ginnie Mae 2003-28 LI (IO)
5.50%		02/20/32			80,613		4,231
Ginnie Mae 2004-2 FW
1.59%		01/16/34	²		332,837		351,674


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Ginnie Mae 2004-41 IE (IO)
5.50%		05/20/30		$	52,571	$	6
Ginnie Mae II Pool 80546
2.00%		10/20/31	²		35,759		36,860
Ginnie Mae II Pool 80610
3.38%		06/20/32	²		426,412		444,707
Ginnie Mae II Pool 80614
2.63%		07/20/32	²		56,045		58,127
Ginnie Mae II Pool 80687
3.50%		04/20/33	²		250,206		261,306
Ginnie Mae II Pool 8339
2.13%		12/20/23	²		64,885		66,923
Ginnie Mae II Pool 8684
2.63%		08/20/25	²		93,745		97,228
National Credit Union Administration Guaranteed Notes 2001-R2 1A
0.59%		02/06/20	²		1,385,817		1,387,062
National Credit Union Administration Guaranteed Notes 2010-R1 A1
0.64%		10/07/20	²		1,186,996		1,189,228
National Credit Union Administration Guaranteed Notes 2010-R2 1A
0.56%		11/06/17	²		1,174,817		1,175,182
National Credit Union Administration Guaranteed Notes 2010-R2 2A
0.66%		11/05/20	²		634,435		633,445
National Credit Union Administration Guaranteed Notes 2010-R3 1A
0.75%		12/08/20	²		372,176		374,297
National Credit Union Administration Guaranteed Notes 2010-R3 2A
0.75%		12/08/20	²		314,617		316,030
National Credit Union Administration Guaranteed Notes 2011-C1 2A
0.72%		03/09/21	²		1,702,232		1,704,360
National Credit Union Administration Guaranteed Notes 2011-R1 1A
0.64%		01/08/20	²		1,358,526		1,360,596
National Credit Union Administration Guaranteed Notes 2011-R3 1A
0.59%		03/11/20	²		1,132,944		1,134,803
National Credit Union Administration Guaranteed Notes 2011-R4 1A
0.57%		03/06/20	²		1,110,026		1,110,806
National Credit Union Administration Guaranteed Notes 2011-R5 1A
0.57%		04/06/20	²		1,062,641		1,063,430


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
National Credit Union Administration Guaranteed Notes 2011-R6 1A
0.57%		05/07/20	²	$	1,054,901	$	1,055,723


							42,656,934


Total Mortgage-Backed
(Cost $83,550,992)							77,546,338


MUNICIPAL BONDS — 0.79%*
Illinois — 0.79%
State of Illinois, Pension Funding G.O., Taxable
2.77%		01/01/12			190,000		191,041
4.03%		03/01/14			300,000		310,110
4.07%		01/01/14			400,000		414,368


Total Municipal Bonds
(Cost $889,183)							915,519


U.S. AGENCY SECURITIES — 2.96%
U.S. Agency Securities — 2.96%
Fannie Mae I
0.40%		02/01/13	²		1,190,000		1,192,404
Freddie Mac
0.25%		01/24/13	²		2,235,000		2,236,042


Total U.S. Agency Securities
(Cost $3,423,748)							3,428,446


Total Bonds – 90.45%
(Cost $110,369,146)							104,832,660


SHORT-TERM INVESTMENTS — 4.94%
Commercial Paper — 1.92%
Barclays U.S. Funding LLC
0.23%⁸		07/08/11			1,115,000		1,114,956
National Rural Utilities Cooperative Finance Corp.
0.13%⁸		08/08/11			1,110,000		1,109,848


							2,224,804


Money Market Fund — 3.02%
Dreyfus Cash Advantage Fund
0.13%⁹					1,117,000		1,117,000
DWS Money Market Series-Institutional
0.06%⁹					273,000		273,000
Fidelity Institutional Money Market Funds - Prime Money Market Portfolio
0.08%⁹					877,000		877,000


Issues	Maturity Date	Principal Amount		Value
SHORT-TERM INVESTMENTS (continued)
Money Market Fund (continued)
Goldman Sachs Financial Square Funds - Prime Obligations Fund
0.03%^9,10		$	1,235,000	$	1,235,000


					3,502,000


Total Short-Term Investments
(Cost $5,726,798)					5,726,804


Total Investments – 95.39%
(Cost $116,095,944)¹					110,559,464


Cash and Other Assets, Less Liabilities – 4.61%					5,339,992

Net Assets – 100.00%				$	115,899,456


Expiration Date	Notional Amount (000’s)			Appreciation/ (Depreciation)				Value
SWAPS: INTEREST RATE
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 1.38% quarterly.
Counterparty: CS First Boston
06/18/14		$	2,795		$	4,515			$	4,515
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 2.66% quarterly.
Counterparty: CS First Boston
06/18/17			1,170			(5,573	)			(5,573	)


		$	3,965		$	(1,058	)		$	(1,058	)


Expiration Date	Premiums (Received)				Notional Amount (000’s)^a			Appreciation			Value^b
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		$	(1,374,061	)		$	2,345		$	30,598		$	(1,343,463	)

		$	(1,374,061	)		$	2,345		$	30,598		$	(1,343,463	)

^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.

The 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 $116,120,684 and net unrealized appreciation/ (depreciation) consists of:


Gross unrealized appreciation	$	4,376,171
Gross unrealized depreciation		(9,937,391	)

Net unrealized depreciation	$	(5,561,220	)

²	Floating rate security. The rate disclosed was in effect at June 30, 2011.

Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The market value of these securities at June 30, 2011, was $3,941,289, representing 3.40% of total net assets.

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

⁵	Expected maturity date.

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

02/04/09

HCA, Inc. Term Loan,
3.50%, 05/01/18

$609,732

$631,788

0.54%

⁷	Illiquid security as determined under procedures approved by the Fund’s Board of Trustees. The aggregate value of illiquid securities is $68,921, which is 0.06% of total net assets.

⁸	Represents annualized yield at date of purchase.

⁹	Represents the current yield as of June 30, 2011.

¹⁰	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.

Note: For Fund compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industry sub-classifications for reporting ease. These classifications are unaudited.

(G.O.): General Obligation

(IO): Interest only

(LIBOR): London InterBank Offer Rate

(MTN): Medium-term note

(STEP): Step coupon bond


Issues	Maturity Date			Principal Amount		Value
BONDS – 98.57%
ASSET-BACKED SECURITIES — 4.65%**
Aircastle Aircraft Lease Backed Trust 2007-1A G1
0.45%		06/14/37	^2,3	$	5,383,822	$	4,818,664
Babcock & Brown Air Funding I Ltd. 2007-1A G1 (Bermuda)
0.49%		11/14/33	^2,3,4		6,921,137		6,003,005
Brazos Higher Education Authority, Inc. 2010-1 A2
1.46%		02/25/35	²		2,370,000		2,284,126
Castle Trust 2003-1AW A1
0.94%		05/15/27	^2,3,†		2,585,635		2,417,575
Conseco Finance Securitizations Corp. 2001-4 A4
7.36%		09/01/33			8,807,779		9,513,306
Discover Card Master Trust 2009-A2 A
1.49%		02/17/15	²		2,400,000		2,424,274
First Alliance Mortgage Loan Trust 1994-3 A1
7.83%		10/25/25			1,262		1,209
GE Corporate Aircraft Financing LLC 2005-1A B
0.84%		08/26/19	^2,3,†		1,462,500		1,330,882
GE Corporate Aircraft Financing LLC 2005-1A C
1.49%		08/26/19	^2,3		5,000,000		4,525,000
GE Seaco Finance SRL 2004-1A A (Barbados)
0.49%		04/17/19	^2,3,4		1,884,167		1,826,077
GE Seaco Finance SRL 2005-1A A (Barbados)
0.44%		11/17/20	^2,3,4		5,600,333		5,236,169
Genesis Funding Ltd. 2006-1A G1 (Bermuda)
0.43%		12/19/32	^2,3,4		7,575,919		6,685,748
Goal Capital Funding Trust 2006-1 B
0.71%		08/25/42	²		5,450,000		4,494,146
Green Tree Recreational Equipment & Consumer Trust 1996-D Certificates
7.24%		12/15/22			55,445		38,006
GSC Partners Gemini Fund Ltd. 1A A (Cayman Islands)
0.94%		10/10/14	^2,3,4		379,001		372,180
Keycorp Student Loan Trust 2002-A 1A2
0.44%		08/27/31	²		5,612,548		5,171,927
North Carolina State Education Authority 2011-1 A3
1.21%		10/25/41			6,500,000		6,062,485
Northstar Education Finance, Inc. 2007-1 A1, Student Loan Asset-Backed Note
0.40%		04/28/30	²		5,605,000		5,127,953
South Carolina Student Loan Corp. 2005 A2
0.43%		12/01/20	²		5,030,000		4,803,694
TAL Advantage LLC 2010-2A A
4.30%		10/20/25	³		3,318,000		3,471,304


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
TAL Advantage LLC 2011-A1 A
4.60%		01/20/26	³	$	1,437,500	$	1,482,374
Terwin Mortgage Trust 2005-9HGS A1
4.00%		08/25/35	^2,3		190,731		184,554
Textainer Marine Containers Ltd. 2005-1A A (Bermuda)
0.44%		05/15/20	^2,3,4		1,899,583		1,834,092
Textainer Marine Containers Ltd. 2011-1A A (Bermuda)
4.70%		06/15/26	^3,4,†		4,900,000		4,884,764
Triton Container Finance LLC 2006-1A
0.36%		11/26/21	^2,3		4,577,083		4,323,093
Triton Container Finance LLC 2007-1A
0.33%		02/26/19	^2,3		2,830,208		2,718,506


Total Asset-Backed Securities (Cost $91,390,123)							92,035,113

CORPORATES — 31.86%*
Banking — 9.40%
Abbey National Treasury Services Plc (United Kingdom)
1.85%		04/25/14	^2,4		9,405,000		9,359,836
Ally Financial, Inc.
2.45%		12/01/14	²		1,424,000		1,355,990
Bank of America Corp.
6.50%		08/01/16			2,400,000		2,679,526
Bank of America Corp. L (MTN)
5.65%		05/01/18			300,000		316,747
Bank of America N.A.
0.55%		06/15/17	²		2,500,000		2,226,510
6.10%		06/15/17			5,000,000		5,361,205
BankAmerica Capital III
0.85%		01/15/27	²		2,881,000		2,337,309
BankAmerica Institutional Capital A
8.07%		12/31/26	³		5,250,000		5,381,250
Capital One Financial Corp.
7.38%		05/23/14			5,000,000		5,712,940
City National Corp.
5.13%		02/15/13			8,000,000		8,360,456
Commonwealth Bank of Australia (Australia)
2.13%		03/17/14	^3,4		10,000,000		10,112,655
Credit Suisse/Guernsey 1 (Switzerland)
0.95%		05/29/49	^2,4		8,390,000		6,932,237
Credit Suisse/New York (MTN) (Switzerland)
3.45%		07/02/12	⁴		1,825,000		1,873,853
5.00%		05/15/13	⁴		11,000,000		11,746,812
Deutsche Bank AG/London G (MTN) (Germany)
4.88%		05/20/13	⁴		7,640,000		8,120,006
HSBC Bank Plc (United Kingdom)
1.08%		01/17/14	^2,3,4		10,000,000		10,007,523


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Banking (continued)
JPMorgan Chase & Co.
3.45%		03/01/16		$	18,000,000	$	18,450,668
4.75%		05/01/13			30,000		31,950
JPMorgan Chase & Co. C (MTN)
0.77%		07/23/13	²		1,500,000		1,478,400
JPMorgan Chase Bank N.A.
0.58%		06/13/16	²		4,250,000		3,978,703
Lloyds TSB Bank Plc (United Kingdom)
4.88%		01/21/16	⁴		10,380,000		10,614,538
National Australia Bank, Ltd. S (Australia)
1.01%		04/11/14	^2,4		8,775,000		8,747,271
Nationsbank Capital Trust II
7.83%		12/15/26			3,200,000		3,260,000
Nationsbank Capital Trust III
0.83%		01/15/27	²		7,650,000		6,221,592
Royal Bank of Scotland Plc 2 (United Kingdom)
3.40%		08/23/13	⁴		1,750,000		1,791,606
Royal Bank of Scotland Plc (United Kingdom)
4.88%		03/16/15	⁴		7,117,000		7,392,449
UBS AG (Switzerland)
2.25%		08/12/13	⁴		5,750,000		5,851,959
Union Bank N.A.
3.00%		06/06/16			10,000,000		10,024,680
Wachovia Corp. (MTN)
5.50%		05/01/13			5,655,000		6,083,773
Westpac Banking Corp. (Australia)
0.98%		03/31/14	^2,3,4		5,000,000		5,006,248
2.10%		08/02/13	⁴		5,000,000		5,065,060


							185,883,752

Communications — 2.52%
CSC Holdings LLC
8.50%		04/15/14			13,005,000		14,468,063
8.50%		06/15/15			205,000		221,656
iPCS, Inc.
2.40%		05/01/13	²		9,970,000		9,795,525
Nextel Communications, Inc. C
5.95%		03/15/14			1,000,000		1,002,500
Nextel Communications, Inc. E
6.88%		10/31/13			5,000,000		5,056,250
Qwest Communications International, Inc. B
7.50%		02/15/14			7,270,000		7,397,225
Telecom Italia Capital SA (Luxembourg)
6.20%		07/18/11	⁴		4,060,000		4,067,093
Verizon Communications, Inc.
1.95%		03/28/14			3,500,000		3,562,966


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Communications (continued)
Windstream Corp.
8.63%		08/01/16		$	4,000,000	$	4,190,000


							49,761,278

Consumer Discretionary — 0.23%
Anheuser-Busch InBev Worldwide, Inc.

0.82%		01/27/14	²		4,550,000		4,574,517

Electric — 0.96%
Calpine Construction Finance Co. LP
8.00%		06/01/16	³		340,000		368,900
Cedar Brakes I LLC
8.50%		02/15/14	³		1,358,780		1,447,243
Cedar Brakes II LLC
9.88%		09/01/13	³		4,346,876		4,590,842
FPL Energy National Wind Portfolio LLC
6.13%		03/25/19	³		93,328		91,056
KCP&L Greater Missouri Operations Co.
11.88%		07/01/12			7,149,000		7,878,305
Mirant Mid Atlantic Pass-Through Trust A
8.63%		06/30/12			993,451		1,017,045
W3A Funding Corp.
8.09%		01/02/17			3,558,343		3,586,955


							18,980,346

Energy — 1.93%
El Paso Pipeline Partners Operating Co. LLC
4.10%		11/15/15			3,000,000		3,134,217
Florida Gas Transmission, Co. LLC
4.00%		07/15/15	³		3,500,000		3,680,219
Hilcorp Energy I LP/Hilcorp Finance Co.
7.75%		11/01/15	³		575,000		595,125
OPTI Canada, Inc. (Canada)
7.88%		12/15/14	⁴		250,000		104,375
Panhandle Eastern Pipeline Co. LP
6.05%		08/15/13			2,375,000		2,591,346
Sabine Pass LNG LP
7.25%		11/30/13			14,045,000		14,466,350
Sonat, Inc.
7.63%		07/15/11			350,000		350,640
Southern Union Co.
7.20%		11/01/66	²		3,000,000		2,793,750
Tennessee Gas Pipeline Co.
8.00%		02/01/16			8,673,000		10,527,322


							38,243,344

Finance — 10.76%
Cantor Fitzgerald LP
6.38%		06/26/15	³		3,675,000		3,779,152


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Finance (continued)
Chase Capital II B
0.77%		02/01/27	²	$	6,655,000	$	5,497,508
CIT Group, Inc.
5.25%		04/01/14	³		4,295,000		4,292,316
7.00%		05/01/14			5,576,719		5,670,826
Citigroup, Inc.
1.11%		02/15/13	²		1,000,000		996,593
5.30%		10/17/12			1,424,000		1,494,954
5.50%		04/11/13			11,034,000		11,719,487
5.50%		10/15/14			3,510,000		3,819,944
6.38%		08/12/14			10,500,000		11,654,850
General Electric Capital Corp.
1.88%		09/16/13			2,200,000		2,220,126
General Electric Capital Corp. (MTN)
0.39%		06/20/14	²		3,500,000		3,436,139
0.65%		05/05/26	²		6,300,000		5,506,981
General Electric Capital Corp. A (MTN)
0.51%		09/15/14	²		10,169,000		9,994,500
General Electric Capital Corp. E (MTN)
0.39%		03/20/14	²		5,500,000		5,387,641
General Electric Capital Corp. G (MTN)
0.42%		06/01/12	²		12,605,000		12,633,605
Goldman Sachs Group, Inc.
0.70%		03/22/16	²		800,000		755,304
0.79%		01/12/15	²		1,900,000		1,833,789
0.99%		12/05/11	²		10,970,000		11,012,047
1.27%		02/07/14	²		4,000,000		3,964,983
3.63%		02/07/16			1,000,000		1,010,630
5.13%		01/15/15			583,000		626,124
5.45%		11/01/12			8,000,000		8,452,071
6.15%		04/01/18			3,500,000		3,814,485
International Lease Finance Corp.
6.50%		09/01/14	³		9,700,000		10,257,750
JPMorgan Chase Capital XIII M
1.20%		09/30/34	²		2,465,000		2,113,972
JPMorgan Chase Capital XXI U
1.22%		02/02/37	²		3,250,000		2,557,959
MBNA Capital A
8.28%		12/01/26			1,074,000		1,102,193
MBNA Capital B
1.07%		02/01/27	²		2,891,000		2,353,606
Merrill Lynch & Co., Inc. (MTN)
8.68%		05/02/17	²		30,000		33,750
8.95%		05/18/17	²		30,000		33,937
9.57%		06/06/17	²		5,184,000		5,974,560
Morgan Stanley
0.55%		02/10/12	²		18,310,000		18,355,317
0.60%		06/20/12	²		9,655,000		9,695,618
0.76%		10/15/15	²		2,830,000		2,681,501


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Finance (continued)
2.88%		01/24/14		$	5,500,000	$	5,568,975
3.80%		04/29/16			3,800,000		3,820,516
4.20%		11/20/14			750,000		779,495
6.00%		05/13/14			1,325,000		1,445,048
Morgan Stanley 1
1.10%		12/01/11	²		4,115,000		4,131,917
Morgan Stanley G (MTN)
0.59%		01/09/14	²		1,405,000		1,370,636
Power Receivable Finance LLC
6.29%		01/01/12	³		348,624		349,872
6.29%		01/01/12			365,931		366,505
Prudential Holdings LLC (AGM)
1.12%		12/18/17	^2,3		10,665,000		10,134,971
US Education Loan Trust IV LLC 2006-1 A4
0.31%		03/01/41	^3,†		7,175,000		6,314,017
Woodbourne Capital Trust I
2.73%		04/08/49	^2,3,5		595,000		297,500
Woodbourne Capital Trust II
2.73%		04/08/49	^2,3,5		700,000		350,000
Woodbourne Capital Trust IV
2.73%		04/08/49	^2,3,5		1,000,000		500,000
ZFS Finance USA Trust IV
5.88%		05/09/32	^2,3		2,575,000		2,594,313


							212,757,983

Health Care — 0.67%
Boston Scientific Corp.
5.45%		06/15/14			1,123,000		1,221,206
CHS/Community Health Systems, Inc.
8.88%		07/15/15			250,000		257,813
HCA, Inc.
9.25%		11/15/16			3,835,000		4,079,481
UnitedHealth Group, Inc.
4.88%		02/15/13			7,348,000		7,773,163


							13,331,663

Insurance — 1.42%
Berkshire Hathaway, Inc.
0.70%		02/11/13	²		5,475,000		5,507,346
Farmers Exchange Capital
7.20%		07/15/48	³		444,000		443,904
Farmers Insurance Exchange
6.00%		08/01/14	³		6,835,000		7,420,977
Metropolitan Life Global Funding I
2.88%		09/17/12	³		2,810,000		2,870,140
5.13%		04/10/13	³		4,550,000		4,843,384
5.13%		06/10/14	³		3,230,000		3,531,385


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Insurance (continued)
Nationwide Mutual Insurance Co.
5.81%		12/15/24	^2,3	$	3,550,000	$	3,479,096


							28,096,232

Materials — 0.01%
Lyondell Chemical Co.
11.00%		05/01/18			93,569		105,265

Real Estate Investment Trust (REIT) — 3.23%
AvalonBay Communities, Inc. (MTN)
6.13%		11/01/12			1,057,000		1,125,220
Duke Realty LP
5.88%		08/15/12			956,000		998,788
6.25%		05/15/13			9,000,000		9,702,666
HCP, Inc.
6.00%		01/30/17			930,000		1,025,287
6.45%		06/25/12			4,000,000		4,199,268
HCP, Inc. (MTN)
6.30%		09/15/16			7,600,000		8,505,297
Health Care REIT, Inc.
3.63%		03/15/16			3,000,000		3,024,632
4.70%		09/15/17			10,185,000		10,468,703
Healthcare Realty Trust, Inc.
5.13%		04/01/14			1,960,000		2,082,973
6.50%		01/17/17			2,375,000		2,650,804
Kimco Realty Corp. C (MTN)
5.19%		10/01/13			6,000,000		6,401,151
Liberty Property LP
5.13%		03/02/15			5,305,000		5,759,272
6.38%		08/15/12			1,645,000		1,729,606
WEA Finance LLC/WT Finance
7.50%		06/02/14	³		5,490,000		6,274,325


							63,947,992

Services — 0.02%
Mobile Mini, Inc.
6.88%		05/01/15			375,000		383,437

Transportation — 0.71%
Continental Airlines Pass-Through Trust 1997-4 A
6.90%		01/02/18			170,100		180,413
Delta Air Lines, Inc. 2001 A2
7.11%		09/18/11			8,751,000		8,849,011
UAL Pass-Through Trust 2009-1
10.40%		11/01/16			4,333,778		4,913,420


							13,942,844

Total Corporates
(Cost $606,803,171)							630,008,653


Issues	Maturity Date			Principal Amount		Value
BANK LOANS — 0.66%*
Communications — 0.06%
Cengage Learning Acquisitions, Inc. Term Loan
2.50%		07/03/14	^2,6	$	721,875	$	649,687
Dex Media West LLC Term Loan
7.00%		10/24/14	^2,6		687,614		577,023


							1,226,710

Electric — 0.02%
Texas Competitive Electric Holdings Co. LLC Non-Extended Term Loan
3.69%		10/10/14	^2,6		465,072		390,245

Gaming — 0.27%
Caesars Entertainment Operating Co., Inc. Term Loan B2
3.25%		01/28/15	^2,6		6,000,000		5,399,982

Health Care — 0.31%
HCA, Inc. Term Loan
3.50%		05/01/18	^2,6		6,081,382		5,997,344

Total Bank Loans
(Cost $13,070,089)							13,014,281

MORTGAGE-BACKED — 51.82%**
Commercial Mortgage-Backed — 6.40%
Banc of America Commercial Mortgage, Inc. 2002-2 A3

5.12%		07/11/43			3,722,889		3,781,905
Banc of America Commercial Mortgage, Inc. 2002-PB2 A4
6.19%		06/11/35			8,645,088		8,791,312
Bayview Commercial Asset Trust 2005-1A A1
0.49%		04/25/35	^2,3		1,014,828		867,944
Bayview Commercial Asset Trust 2005-2A A1
0.50%		08/25/35	^2,3		525,579		439,500
Bayview Commercial Asset Trust 2006-3A A1
0.44%		10/25/36	^2,3		4,574,401		3,409,941
Bayview Commercial Asset Trust 2007-1 A1
0.41%		03/25/37	^2,3		131,218		98,359
Bayview Commercial Asset Trust 2007-3 A1
0.43%		07/25/37	^2,3		625,182		489,401
Bear Stearns Commercial Mortgage Securities 2002-PBW1 A2
4.72%		11/11/35	²		6,240,000		6,414,803
Bear Stearns Commercial Mortgage Securities 2007-T28 AAB
5.75%		09/11/42			5,247,000		5,747,879


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	²	$	7,195,000	$	7,596,079
Bear Stearns Commercial Mortgage Securities, Inc. 2005-T20 A4A
5.30%		10/12/42	²		7,620,000		8,272,238
Credit Suisse First Boston Mortgage Securities Corp. 2002-CKS4 A2
5.18%		11/15/36			7,536,498		7,783,424
Credit Suisse First Boston Mortgage Securities Corp. 2004-C5 A2
4.18%		11/15/37			1,436,010		1,435,240
Credit Suisse First Boston Mortgage Securities, Corp. 2002-CP3 A3
5.60%		07/15/35			9,525,000		9,826,419
GE Capital Commercial Mortgage Corp. 2001-2 A4
6.29%		08/11/33			687,131		686,876
GE Capital Commercial Mortgage Corp. 2002-1A A3
6.27%		12/10/35			2,782,933		2,841,898
GMAC Commercial Mortgage Securities, Inc. 2001-C2 A2
6.70%		04/15/34			872,100		871,039
GMAC Commercial Mortgage Securities, Inc. 2004-C1 A4
4.91%		03/10/38			410,000		434,759
Greenwich Capital Commercial Funding Corp. 2004-GG1 A7
5.32%		06/10/36	²		7,355,000		7,907,551
Greenwich Capital Commercial Funding Corp. 2006-GG7 A4
6.08%		07/10/38	²		6,080,000		6,757,904
JPMorgan Chase Commercial Mortgage Securities Corp. 2001-CIB3 A3
6.47%		11/15/35			4,329,616		4,359,696
Merrill Lynch Mortgage Trust 2002-MW1 A4
5.62%		07/12/34			7,691,328		7,863,413
Merrill Lynch/Countrywide Commercial Mortgage Trust 2006-4 A3
5.17%		12/12/49	²		4,840,000		5,165,740
Morgan Stanley Capital I 2005-T19 A4A
4.89%		06/12/47			405,000		437,315
Morgan Stanley Capital I 2007-IQ16 A4
5.81%		12/12/49			2,570,000		2,824,014
Morgan Stanley Capital I 2007-T27 A4
5.79%		06/11/42	²		265,000		293,779
Morgan Stanley Dean Witter Capital I 2001-TOP3 A4
6.39%		07/15/33			657,683		657,315


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed (continued)
TIAA Seasoned Commercial Mortgage Trust 2007-C4 A3
5.98%		08/15/39	²	$	10,500,000	$	11,489,354
Wachovia Bank Commercial Mortgage Trust 2002-C1 A4
6.29%		04/15/34			8,915,949		9,109,934


							126,655,031

Non-Agency Mortgage-Backed — 20.98%
Accredited Mortgage Loan Trust 2007-1 A4
0.41%		02/25/37	²		12,000,000		6,392,220
Adjustable Rate Mortgage Trust 2005-1 1A1
3.01%		05/25/35	²		9,599,396		7,491,170
American Home Mortgage Assets 2007-2 A1
0.31%		03/25/47	²		19,420,870		10,943,827
American Home Mortgage Assets 2007-4 A2
0.38%		08/25/37	²		18,741,585		13,452,719
American Home Mortgage Investment Trust 2004-2 2A
2.23%		02/25/44	²		12,538,259		11,015,950
Amresco Residential Securities Mortgage Loan Trust 1998-1 A5 (STEP)
7.57%		10/25/27			36,266		37,871
Banc of America Funding Corp. 2007-5 3A1
6.00%		07/25/37			8,462,910		6,561,061
Banc of America Funding Corp. 2007-8 2A1
7.00%		10/25/37			8,258,067		6,091,468
Banco de Credito Y Securitizacion SA 2001-1 AF (Argentina)
8.00%		07/31/11	^3,4,5		266,350		21,308
BCAP LLC Trust 2011-RR5 2A3
5.06%		06/26/37	³		10,004,419		9,316,615
Bear Stearns Asset Backed Securities Trust 2000-2 M2 (STEP)
8.28%		08/25/30			2,200,720		2,147,287
Bear Stearns Mortgage Funding Trust 2006-AR3 2A1
0.39%		11/25/36	²		12,159,472		7,044,110
Bear Stearns Mortgage Funding Trust 2007-AR4 2A1
0.40%		06/25/37	²		15,038,048		9,296,739
BHN I Mortgage Fund 2000-1 AF (Argentina)
8.00%		01/31/20	^3,4,5,†		9,000		675
BlackRock Capital Finance LP 1997-R2 AP
1.26%		12/25/35	^2,3,5,†		14,580		8,311
Carrington Mortgage Loan Trust 2004-NC2 M1
1.22%		08/25/34	²		218,633		147,858
Carrington Mortgage Loan Trust 2007-FRE1 A3
0.45%		02/25/37	²		14,875,000		5,882,377


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Chase Funding Mortgage Loan Asset-Backed Certificates 2002-2 2M1
1.09%		02/25/32	²	$	736,243	$	398,303
Chase Mortgage Finance Corp. 2005-A1 2A3
2.94%		12/25/35	²		840,000		702,181
Chase Mortgage Finance Corp. 2007-A2 2A3
3.06%		07/25/37	²		10,027,217		9,305,242
Chevy Chase Mortgage Funding Corp. 2005-2A A1
0.37%		05/25/36	^2,3		2,965,819		1,864,238
Chevy Chase Mortgage Funding Corp. 2005-AA B2
0.81%		01/25/36	^2,3		680,842		200,210
Citigroup Mortgage Loan Trust, Inc. 2004-HYB1 A41
3.04%		02/25/34	²		388,098		355,659
Citigroup Mortgage Loan Trust, Inc. 2006-AMC1 A2B
0.16%		09/25/36	²		6,628,736		3,070,595
Citigroup Mortgage Loan Trust, Inc. 2007-WFH1 A2
0.29%		01/25/37	²		120,142		116,786
Citigroup Mortgage Loan Trust, Inc. 2007-WFH2 A3
0.37%		03/25/37	²		150,000		110,291
Citigroup Mortgage Loan Trust, Inc. 2007-WFH4 A2C
1.49%		07/25/37	²		90,000		35,544
Conseco Finance 2001-D A5
6.69%		11/15/32	²		309,178		315,376
Conseco Financial Corp. 1994-1 A5
7.65%		04/15/19			287,951		308,323
Conseco Financial Corp. 1997-2 A7
7.62%		06/15/28	²		4,997,030		5,512,737
Conseco Financial Corp. 1997-3 A7
7.64%		03/15/28	²		2,670,307		2,944,305
Conseco Financial Corp. 1997-7 A9
7.37%		07/15/29	²		7,479,343		8,223,652
Conseco Financial Corp. 1998-2 A5
6.24%		12/01/28	²		29,852		30,927
Countrywide Alternative Loan Trust 2005-27 2A1
1.63%		08/25/35	²		2,202,727		1,271,407
Countrywide Alternative Loan Trust 2005-51 2A2A
0.48%		11/20/35	²		5,152		5,085
Countrywide Alternative Loan Trust 2005-59 1A1
0.53%		11/20/35	²		9,264,143		5,845,123
Countrywide Alternative Loan Trust 2005-72 A1
0.46%		01/25/36	²		783,881		491,496


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Countrywide Alternative Loan Trust 2006-46 A4
6.00%		02/25/47		$	5,932,905	$	5,182,628
Countrywide Alternative Loan Trust 2006-OA12 A2
0.40%		09/20/46	²		4,652,255		2,028,560
Countrywide Asset-Backed Certificates 2007-11 2A1
0.25%		06/25/47	²		186,791		184,553
Countrywide Asset-Backed Certificates 2007-4 A1A
0.31%		09/25/37	²		3,107,044		3,032,420
Countrywide Asset-Backed Certificates 2007-7 2A1
0.27%		10/25/47	²		167,871		165,647
Countrywide Home Loan Mortgage Pass-Through Trust 2004-14 4A1
5.02%		08/25/34	²		95,585		92,918
Credit Suisse Mortgage Capital Certificates 2007-2 3A4
5.50%		03/25/37			5,000,000		4,334,757
Credit-Based Asset Servicing and Securitization LLC 2005-CB7 AF3 (STEP)
5.55%		11/25/35			1,523,814		1,482,594
Credit-Based Asset Servicing and Securitization LLC 2006-CB1 AF2 (STEP)
5.24%		01/25/36			2,551,124		1,606,105
Credit-Based Asset Servicing and Securitization LLC 2006-CB9 A4
0.42%		11/25/36	²		6,000,000		2,164,602
Credit-Based Asset Servicing and Securitization LLC 2007-CB2 A2B (STEP)
4.24%		02/25/37			20,580,000		14,189,550
Credit-Based Asset Servicing and Securitization LLC 2007-CB5 A1
0.25%		04/25/37	²		2,167,568		1,571,526
Downey Savings & Loan Association Mortgage Loan Trust 2005-AR2 2A1A
0.40%		03/19/45	²		3,474,501		2,380,683
Downey Savings & Loan Association Mortgage Loan Trust 2006-AR1 2A1A
1.22%		04/19/47	²		79,851		49,007
First Horizon Alternative Mortgage Securities 2004-AA3 A1
2.33%		09/25/34	²		33,742		27,953
GMAC Mortgage Corp. Loan Trust 2000-HE2 A1
0.63%		06/25/30	²		1,430,643		849,280
Green Tree Home Improvement Loan Trust 1997-E HEB1
7.53%		01/15/29			2,282,836		2,253,351
GSAA Trust 2006-9 A4A
0.43%		06/25/36	²		11,776,231		5,504,596


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Harborview Mortgage Loan Trust 2006-3 2A1A
5.77%		06/19/36	²	$	2,647,275	$	1,495,345
HSBC Home Equity Loan Trust 2005-3 M1
0.61%		01/20/35	²		3,647,339		3,271,736
HSBC Home Equity Loan Trust 2006-3 A4
0.43%		03/20/36	²		8,680,000		7,332,256
HSBC Home Equity Loan Trust 2007-1 AS
0.39%		03/20/36	²		9,001,522		8,045,854
Impac CMB Trust 2005-5 A1
0.51%		08/25/35	²		4,939,206		3,649,416
IndyMac Index Mortgage Loan Trust 2004-AR12 A1
0.58%		12/25/34	²		589,395		357,712
IndyMac Index Mortgage Loan Trust 2004-AR8 2A2A
0.59%		11/25/34	²		2,135,275		1,435,588
JPMorgan Mortgage Acquisition Corp. 2005-FRE1 A2F3 (STEP)
3.12%		10/25/35			2,483,287		2,351,702
JPMorgan Mortgage Acquisition Corp. 2007-CH1 AF2 (STEP)
5.45%		10/25/36			7,385,794		7,462,625
JPMorgan Mortgage Acquisition Corp. 2007-CH2 AF2 (STEP)
5.48%		01/25/37			15,244,510		11,309,791
JPMorgan Mortgage Acquisition Corp. 2007-CH5 A2
0.24%		05/25/37	²		1,642,463		1,580,691
JPMorgan Mortgage Acquisition Corp. 2007-HE1 AV4
0.47%		03/25/47	²		50,000		21,763
JPMorgan Mortgage Trust 2005-A3 5A3
2.83%		06/25/35	²		125,756		103,002
JPMorgan Mortgage Trust 2007-A1 5A2
2.97%		07/25/35	²		1,615,652		1,520,717
Lehman ABS Manufactured Housing Contract Trust 2001-B A3
4.35%		05/15/14			6,499,529		6,536,089
Lehman ABS Manufactured Housing Contract Trust 2001-B A4
5.27%		09/15/18			5,388,714		5,603,500
Lehman ABS Manufactured Housing Contract Trust 2001-B AIOC (IO)
0.55%		05/15/41	^2,5		317,979,525		4,618,812
Lehman XS Trust 2006-GP1 A4A
0.52%		05/25/46	²		11,268,672		3,134,871
Long Beach Mortgage Loan Trust 2005-1 M1
0.69%		02/25/35	²		3,287,672		3,223,786
MASTR Adjustable Rate Mortgages Trust 2003-6 4A2
5.17%		01/25/34	²		101,114		97,469


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
MASTR Adjustable Rate Mortgages Trust
2004-1 2A1
2.87%		01/25/34	²	$	146,841	$	128,608
MASTR Adjustable Rate Mortgages Trust 2004-5 3A1
2.75%		06/25/34	²		264,554		211,750
MASTR Adjustable Rate Mortgages Trust 2004-9 1A4
0.79%		11/25/34	²		4,094,997		3,845,124
MASTR Asset Backed Securities Trust 2007-HE1 A3
0.40%		05/25/37	²		55,000		22,916
MASTR Seasoned Securities Trust 2004-1 4A1
2.93%		10/25/32	²		761,325		692,525
Merrill Lynch First Franklin Mortgage Loan Trust 2007-3 A2C
0.37%		06/25/37	²		19,057,200		8,311,983
Mid-State Trust 2004-1 B
8.90%		08/15/37			884,449		848,437
Mid-State Trust 2006-1 A
5.79%		10/15/40	³		8,957,570		9,367,170
Morgan Stanley ABS Capital I 2004-NC2 M2
1.99%		12/25/33	²		173,439		110,249
Morgan Stanley ABS Capital I 2004-NC7 M2
0.81%		07/25/34	²		13,000,000		11,614,171
Morgan Stanley Mortgage Loan Trust 2007-10XS A18
6.00%		07/25/47	²		11,258,264		8,643,843
Nationstar Home Equity Loan Trust 2007-A AV4
0.42%		03/25/37	²		6,341,000		3,692,469
Nationstar Home Equity Loan Trust 2007-C 2AV3
0.37%		06/25/37	²		7,807,200		4,295,182
Park Place Securities, Inc. 2004-MHQ1 M1
0.89%		12/25/34	²		8,165,142		7,839,063
Park Place Securities, Inc. 2005-WCW A3D
0.53%		09/25/35	²		8,691,255		8,487,782
Park Place Securities, Inc. 2005-WHQ1 M2
0.69%		03/25/35	²		9,578,000		8,471,751
Popular ABS Mortgage Pass-Through Trust 2007-A A3
0.50%		06/25/47	²		70,000		34,896
Residential Asset Mortgage Products, Inc. 2004-SL4 A3
6.50%		07/25/32			2,049,367		2,091,502
Residential Asset Mortgage Products, Inc. 2005-SL1 A5
6.50%		05/25/32			4,165,001		3,954,691


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Residential Asset Securities Corp. 2005-KS12 A2
0.44%		01/25/36	²	$	6,376,467	$	5,875,238
Residential Funding Mortgage Securities II, Inc. 2000-HI1 AI7 (STEP)
8.79%		02/25/25			7,045		7,062
Resmae Mortgage Loan Trust 2006-1 A1B
0.46%		02/25/36	^2,3		914,411		25,080
SG Mortgage Securities Trust 2006-FRE1 A1B
0.46%		02/25/36	²		1,588,623		852,794
Soundview Home Equity Loan Trust 2006-WF2 A2C
0.33%		12/25/36	²		12,000,000		10,517,731
Specialty Underwriting & Residential Finance 2005-AB1 A1C
0.53%		03/25/36	²		5,384,815		5,093,437
Structured Asset Mortgage Investments, Inc. 2005-AR7 1A1
2.64%		12/27/35	²		15,164,480		8,247,437
Structured Asset Mortgage Investments, Inc. 2006-AR8 A1A
0.39%		10/25/36	²		14,036,177		8,698,745
Structured Asset Securities Corp. 2002-5A 6A
6.16%		04/25/32	²		24,965		23,016
Structured Asset Securities Corp. 2003-26 3A5
2.55%		09/25/33	²		4,165,075		3,850,406
Structured Asset Securities Corp. 2005-S2 M2
0.86%		06/25/35	²		1,258,029		1,225,950
Terwin Mortgage Trust 2004-7HE A1
0.74%		07/25/34	^2,3		142,962		126,945
Thornburg Mortgage Securities Trust 2007-3 4A3
0.40%		06/25/47	²		9,183,821		9,024,551
Washington Mutual Alternative Mortgage Pass-Through Certificates 2007-OA3 4A1
1.05%		04/25/47	²		14,596,379		8,517,111
Washington Mutual Mortgage Pass-Through Certificates 2002-AR18 A
2.61%		01/25/33	²		422,861		396,501
Washington Mutual Mortgage Pass-Through Certificates 2005-AR2 2A21
0.52%		01/25/45	²		1,264,075		1,022,383
Washington Mutual Mortgage Pass-Through Certificates 2006-AR7 3A1B
2.86%		07/25/46	²		9,801,401		3,940,914
Wells Fargo Home Equity Trust 2005-3 AII3
0.53%		11/25/35	²		7,304,901		7,141,177


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Wells Fargo Home Equity Trust 2007-2 A1
0.28%		04/25/37	²	$	494,191	$	478,541


							414,941,632

U.S. Agency Mortgage-Backed — 24.44%
Fannie Mae (TBA)
3.50%		07/25/26			32,875,000		33,481,149
Fannie Mae 1997-76 FS
0.67%		09/17/27	²		53,887		53,255
Fannie Mae 2001-60 OF
1.14%		10/25/31	²		5,318,095		5,408,304
Fannie Mae 2006-B2 AB
5.50%		05/25/14			986,612		991,556
Fannie Mae 2007-64 FA
0.66%		07/25/37	²		5,461,488		5,435,106
Fannie Mae 2009-33 FB
1.01%		03/25/37	²		17,802,998		18,057,553
Fannie Mae 2010-26 S (IO)
6.04%		11/25/36	²		65,594,666		10,104,858
Fannie Mae 2010-43 DP
5.00%		05/25/40			11,530,987		12,478,595
Fannie Mae 2010-95 S (IO)
6.41%		09/25/40	²		33,774,781		6,599,930
Fannie Mae 2010-99 NI (IO)
6.00%		09/25/40			25,819,958		5,298,224
Fannie Mae G92-10 Z
7.75%		01/25/22			12,978		14,571
Fannie Mae Interest Strip 405 F10
0.89%		10/25/40	²		14,363,114		14,367,042
Fannie Mae Pool 555177
2.40%		01/01/33	²		61,394		63,990
Fannie Mae Pool 555284
7.50%		10/01/17			3,909		4,275
Fannie Mae Pool 567002
8.00%		05/01/23			113,540		132,523
Fannie Mae Pool 735861
6.50%		09/01/33			48,940		55,702
Fannie Mae Pool 745383
2.49%		12/01/35	²		2,443,607		2,567,764
Fannie Mae Pool 770900
2.32%		04/01/34	²		637,108		669,964
Fannie Mae Pool 805256
2.18%		01/01/35	²		804,593		833,464
Fannie Mae Pool 890141
5.50%		12/01/20			13,607,066		14,745,595
Fannie Mae Pool 942553
5.89%		08/01/37	²		9,647,001		10,493,103
Fannie Mae Pool 995182
5.50%		06/01/20			15,484,304		16,779,905


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool 995793
5.50%		09/01/36		$	11,036,942	$	12,020,309
Fannie Mae Pool AD0538
6.00%		05/01/24			5,350,870		5,839,136
Freddie Mac 2174 PN
6.00%		07/15/29			2,679,333		2,908,576
Freddie Mac 2454 FQ
1.19%		06/15/31	²		44,166		44,707
Freddie Mac 2561 BX (IO)
5.00%		05/15/17			187,084		3,611
Freddie Mac 2657 LX (IO)
6.00%		05/15/18			22,588		1,724
Freddie Mac 3294 CB
5.50%		03/15/37			11,214,404		12,087,461
Freddie Mac 3345 FP
0.39%		11/15/36	²		7,222,208		7,228,572
Freddie Mac 3345 PF
0.37%		05/15/36	²		7,274,593		7,273,169
Freddie Mac 3346 FA
0.42%		02/15/19	²		12,415,642		12,428,056
Freddie Mac 3626 MA
5.00%		02/15/30			8,636,391		9,169,563
Freddie Mac 3672 A
6.00%		05/15/40			6,115,976		6,662,649
Freddie Mac Gold (TBA)
3.50%		07/15/26			11,130,000		11,336,951
Freddie Mac Gold A45796
7.00%		01/01/33			32,222		37,267
Freddie Mac Gold C46104
6.50%		09/01/29			38,135		43,222
Freddie Mac Gold G13032
6.00%		09/01/22			7,926,369		8,650,269
Freddie Mac Gold G13475
6.00%		01/01/24			990,268		1,084,747
Freddie Mac Non Gold Pool 1B1928
2.92%		08/01/34	²		1,971,831		2,055,259
Freddie Mac Non Gold Pool 1G2627
6.01%		03/01/37	²		5,745,666		6,031,013
Freddie Mac Non Gold Pool 1J1393
6.20%		10/01/36	²		5,932,626		6,191,366
Freddie Mac Non Gold Pool 1J1509
6.36%		11/01/36	²		3,906,318		4,123,631
Freddie Mac Non Gold Pool 1L0113
3.25%		05/01/35	²		1,804,889		1,897,389
Freddie Mac Non Gold Pool 1N0371
6.16%		01/01/37	²		5,201,016		5,488,601
Freddie Mac Non Gold Pool 1Q0196
5.78%		02/01/37	²		3,977,178		4,220,046


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Non Gold Pool 786781
3.07%		08/01/29	²	$	145,353	$	152,900
Ginnie Mae 2003-28 LI (IO)
5.50%		02/20/32			334,250		17,544
Ginnie Mae 2009-106 XI (IO)
6.61%		05/20/37	²		36,542,868		6,066,683
Ginnie Mae I Pool 422972
6.50%		07/15/29			47,232		53,896
Ginnie Mae II Pool 1849
8.50%		08/20/24			1,509		1,809
Ginnie Mae II Pool 2020
8.50%		06/20/25			2,688		3,233
Ginnie Mae II Pool 2286
8.50%		09/20/26			3,203		3,863
Ginnie Mae II Pool 2487
8.50%		09/20/27			18,414		22,255
Ginnie Mae II Pool 80059
3.38%		04/20/27	²		51,200		53,397
Ginnie Mae II Pool 80589
2.50%		03/20/32	²		133,652		138,490
Ginnie Mae II Pool 80610
3.38%		06/20/32	²		35,893		37,433
Ginnie Mae II Pool 80968
2.63%		07/20/34	²		999,602		1,031,879
Ginnie Mae II Pool 81201
2.25%		01/20/35	²		26,602		27,523
Ginnie Mae II Pool 8599
3.00%		02/20/25	²		44,770		46,502
National Credit Union Administration Guaranteed Notes 2001-R2 1A
0.59%		02/06/20	²		13,189,154		13,201,003
National Credit Union Administration Guaranteed Notes 2010-R1 A1
0.64%		10/07/20	²		21,374,867		21,415,052
National Credit Union Administration Guaranteed Notes 2010-R2 1A
0.56%		11/06/17	²		26,905,968		26,914,309
National Credit Union Administration Guaranteed Notes 2010-R2 2A
0.66%		11/05/20	²		14,640,062		14,617,224
National Credit Union Administration Guaranteed Notes 2010-R3 1A
0.75%		12/08/20	²		10,086,918		10,144,413
National Credit Union Administration Guaranteed Notes 2010-R3 2A
0.75%		12/08/20	²		8,542,320		8,580,694
National Credit Union Administration Guaranteed Notes 2011-C1 2A
0.72%		03/09/21	²		30,649,663		30,687,977


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
National Credit Union Administration Guaranteed Notes 2011-R1 1A
0.64%		01/08/20	²	$	13,784,765	$	13,805,765
National Credit Union Administration Guaranteed Notes 2011-R3 1A
0.59%		03/11/20	²		8,855,845		8,870,374
National Credit Union Administration Guaranteed Notes 2011-R4 1A
0.57%		03/06/20	²		13,166,400		13,175,657
National Credit Union Administration Guaranteed Notes 2011-R5 1A
0.57%		04/06/20	²		10,559,697		10,567,534
National Credit Union Administration Guaranteed Notes 2011-R6 1A
0.57%		05/07/20	²		18,150,917		18,165,096


							483,266,227

Total Mortgage-Backed
(Cost $1,081,553,741)							1,024,862,890

MUNICIPAL BONDS —1.09%*
California — 0.46%
State of California, Recreational Facility Improvements, G.O., Taxable Variable Purpose 3
5.45%		04/01/15			1,715,000		1,871,888
State of California, Refunding Bonds, G.O., Taxable Variable Purpose
4.85%		10/01/14			4,900,000		5,239,864
State of California, School Improvements, G.O., Taxable Variable Purpose
5.50%		03/01/16			1,775,000		1,938,867


							9,050,619

Illinois — 0.63%
State of Illinois, Pension Funding G.O., Taxable
4.03%		03/01/14			525,000		542,693
4.07%		01/01/14			9,275,000		9,608,158
5.37%		03/01/17			2,250,000		2,327,895


							12,478,746

Total Municipal Bonds
(Cost $20,517,969)							21,529,365

U.S. AGENCY SECURITIES —8.49%
Fannie Mae
0.21%		08/23/12	²		18,620,000		18,642,466
0.22%		10/18/12	²		17,850,000		17,861,158
0.28%		12/03/12	²		3,655,000		3,660,508
Fannie Mae 1
2.00%		04/19/13			15,795,000		15,877,260


Issues	Maturity Date			Principal Amount		Value
U.S. AGENCY SECURITIES (continued)
Fannie Mae I
0.40%		02/01/13	²	$	13,565,000	$	13,592,401
Federal Farm Credit Bank
0.18%		08/08/12	²		18,080,000		18,085,153
0.18%		08/20/12	²		16,110,000		16,114,382
Freddie Mac
0.22%		11/07/11	²		8,880,000		8,883,348
0.22%		10/12/12	²		35,865,000		35,890,249
0.25%		01/24/13	²		19,375,000		19,384,031

Total U.S. Agency Securities
(Cost $167,809,200)							167,990,956


Total Bonds – 98.57%
(Cost $1,981,144,293)							1,949,441,258


SHORT-TERM INVESTMENTS —3.38%
Commercial Paper — 0.94%
National Rural Utilities Cooperative Finance Corp.
0.13%⁷		08/08/11			18,635,000	$	18,632,443

Money Market Fund — 2.44%
Dreyfus Cash Advantage Fund
0.13%⁸					19,618,000		19,618,000
DWS Money Market Series-Institutional
0.06%⁸					4,271,000		4,271,000
Fidelity Institutional Money Market Funds -
Prime Money Market Portfolio
0.08%⁸					15,699,000		15,699,000
Goldman Sachs Financial Square Funds -
Prime Obligations Fund
0.03%^8,9					8,617,000		8,617,000


							48,205,000

Total Short-Term Investments
(Cost $66,837,443)							66,837,443


Total Investments – 101.95%

(Cost $2,047,981,736)¹							2,016,278,701


Liabilities in Excess of Other
Assets – (1.95)%							(38,634,298	)

Net Assets – 100.00%						$	1,977,644,403


	Expiration Date	Notional Amount (000’s)		Appreciation/ (Depreciation)			Value
SWAPS: INTEREST RATE
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 1.38% quarterly. Counterparty: CS First Boston
	06/18/14	$	48,465	$	78,289		$	78,289

The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 2.66% quarterly. Counterparty: CS First Boston
	06/18/17		20,305		(96,723	)		(96,723	)


		$	68,770		$(18,434)			$(18,434)


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

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	$	38,030	$	1,170	$	44,289	$	82,319

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		40,307		895		22,663		62,970

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.
	09/20/16		40,082		890		22,537		62,619

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		22,233		9,950		429,264		451,497


		$	140,652	$	12,905	$	518,753	$	659,405


	Expiration Date	Premiums (Received)			Notional Amount (000’s)^a		Appreciation		Value^b
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	$	(3,349,273	)	$	5,715	$	74,583	$	(3,274,690	)

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		(2,432,199	)		3,908		193,095		(2,239,104	)

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		(3,816,257	)		5,862		457,601		(3,358,656	)


		$	(9,597,729	)	$	15,485	$	725,279	$	(8,872,450	)


	Expiration Date	Premiums (Received)			Notional Amount (000’s)^a		Appreciation		Value^b
SWAPTION: 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 swaption 11/23/20. Counterparty: Citigroup, Inc.
	11/23/20	$	(115,920	)	$	10,080	$	82,656	$	(33,264	)


		$	(115,920	)	$	10,080	$	82,656	$	(33,264	)

^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.

The 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 $2,048,140,005 and net unrealized appreciation/(depreciation) consists of:


Gross unrealized appreciation	$	68,962,467
Gross unrealized depreciation		(100,823,771	)

Net unrealized depreciation	$	(31,861,304	)

²	Floating rate security. The rate disclosed was in effect at June 30, 2011.

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

⁵	Illiquid security as determined under procedures approved by the Fund‘s Board of Trustees. The aggregate value of illiquid securities is $5,796,606, which is 0.29% 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
06/09/11	Caesars Entertainment Operating Co., Inc. Term Loan B2, 3.25%, 01/28/15	$	5,407,732	$	5,399,982	0.27%
06/27/07	Cengage Learning Acqui- sitions, Inc. Term Loan, 2.50%, 07/03/14		718,755		649,687	0.03%
01/05/09	Dex Media West LLC Term Loan, 7.00%, 10/24/14		488,191		577,023	0.03%
10/22/07	HCA, Inc. Term Loan, 3.50%, 05/01/18		5,990,339		5,997,344	0.31%
10/31/07	Texas Competitive Electric Holdings Co. LLC Non- Extended Term Loan, 3.69%, 10/10/14		465,072		390,245	0.02%

		$	13,070,089	$	13,014,281	0.66%

⁷	Represents annualized yield at date of purchase.

⁸	Represents the current yield as of June 30, 2011.

⁹	Securities, or a portion thereof, pledged as collateral for swaps. The total market value of collateral pledged is $8,617,000.

^†

Fair valued security. The aggregate value of fair valued securities is $14,956,224, which is 0.76% 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 represents securities that are priced using a benchmark pricing system and securities that have been deemed permanently stale, see 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


Issues	Maturity Date			Principal Amount		Value
BONDS – 101.92%
ASSET-BACKED SECURITIES —5.44%**
Aerco Ltd. 2A A3 (United Kingdom)
0.65%		07/15/25	^2,3,4	$	1,347,713	$	1,084,909
Aircastle Aircraft Lease Backed Trust
2007-1A G1
0.45%		06/14/37	^3,4		701,891		628,211
Babcock & Brown Air Funding I Ltd.
2007-1A G1 (Bermuda)
0.49%		11/14/33	^2,3,4		851,496		738,540
Brazos Higher Education Authority, Inc.
2010-1 A2
1.46%		02/25/35	³		650,000		626,448
Brazos Higher Education Authority, Inc.
2011-2 A3
1.25%		10/27/36	³		225,000		210,949
CIT Education Loan Trust 2007-1 A
0.34%		03/25/42	^3,4		674,975		616,956
Conseco Finance Securitizations Corp.
2001-4 A4
7.36%		09/01/3	³		793,003		856,524
Discover Card Master Trust 2009-A2 A
1.49%		02/17/15	³		325,000		328,287
Educational Funding of The South, Inc.
2011-1 A2
0.92%		04/25/35	³		500,000		474,611
GE Corporate Aircraft Financing LLC
2005-1A B
0.84%		08/26/19	^3,4,†		675,000		614,253
GE Seaco Finance SRL 2004-1A A
(Barbados)
0.49%		04/17/19	^2,3,4		311,667		302,058
GE Seaco Finance SRL 2005-1A A
(Barbados)
0.44%		11/17/20	^2,3,4		507,917		474,889
Genesis Funding Ltd. 2006-1A G1 (Bermuda)
0.43%		12/19/32	^2,3,4		767,182		677,038
Keycorp Student Loan Trust 2002-A 1A2
0.44%		08/27/31	³		601,076		553,888
Peach Finance Co. 2000 A
4.71%		04/15/48	⁴		710,939		746,486
South Carolina Student Loan Corp. 2005 A2
0.43%		12/01/20	³		400,000		382,003
SVO VOI Mortgage Corp. 2003-AA A
3.95%		02/20/19	⁴		31,530		31,944
TAL Advantage LLC 2010-2A A
4.30%		10/20/25	⁴		406,000		424,759
Terwin Mortgage Trust 2005-9HGS A1
4.00%		08/25/35	^3,4		13,327		12,896
Textainer Marine Containers Ltd. 2005-1A A
(Bermuda)
0.44%		05/15/20	^2,3,4		411,250		397,070


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Textainer Marine Containers Ltd. 2011-1A A
(Bermuda)
4.70%		06/15/26	^2,4,†	$	550,000	$	548,290
Trip Rail Master Funding LLC
2011-1A A1A
4.37%		07/15/41	⁴		725,000		725,000
Triton Container Finance LLC 2006-1A
0.36%		11/26/21	^3,4		609,375		575,560
Triton Container Finance LLC 2007-1A
0.33%		02/26/19	^3,4		355,208		341,189


Total Asset-Backed Securities
(Cost $11,942,071)							12,372,758

CORPORATES — 27.97%*
Banking — 6.44%
Abbey National Treasury Services Plc
(United Kingdom)
2.88%		04/25/14	²		1,019,000		1,022,493
ANZ National International Ltd. (New
Zealand)
6.20%		07/19/13	^2,4		600,000		654,184
BAC Capital Trust XV
1.05%		06/01/56	³		1,432,000		1,005,316
Bank of America N.A.
0.55%		06/15/17	³		600,000		534,362
6.10%		06/15/17			340,000		364,562
Barclays Bank Plc (United Kingdom)
5.20%		07/10/14	²		850,000		920,153
Capital One Financial Corp. (MTN)
5.70%		09/15/11			876,000		884,909
Credit Suisse/Guernsey 1 (Switzerland)
0.95%		05/29/49	^2,3		770,000		636,213
Credit Suisse/New York (MTN) (Switzerland)
5.00%		05/15/13	²		700,000		747,524
Credit Suisse/New York (Switzerland)
5.50%		05/01/14	²		500,000		549,535
6.00%		02/15/18	²		575,000		621,311
Deutsche Bank AG/London G (MTN)
(Germany)
4.88%		05/20/13	²		760,000		807,749
Deutsche Bank Capital Funding Trust VII
5.63%		01/19/49	^3,4		120,000		106,800
HBOS Plc G (MTN) (United Kingdom)
6.75%		05/21/18	^2,4		915,000		881,723
JPMorgan Chase Bank N.A.
0.58%		06/13/16	³		600,000		561,699
6.00%		07/05/17			600,000		664,259
Nationsbank Capital Trust III
0.83%		01/15/27	³		616,000		500,980


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Banking (continued)
Royal Bank of Scotland Plc
(United Kingdom)
3.95%		09/21/15	²	$	1,000,000	$	1,005,039
Svenska Handelsbanken AB (Sweden)
4.88%		06/10/14	^2,4		825,000		891,744
Union Bank N.A.
3.00%		06/06/16			1,000,000		1,002,468
Wachovia Corp. (MTN)
5.50%		05/01/13			239,000		257,121


							14,620,144

Communications — 0.67%
Cellco Partnership/Verizon Wireless
Capital LLC
5.55%		02/01/14			350,000		386,014
Telecom Italia Capital SA (Luxembourg)
6.20%		07/18/11	²		520,000		520,908
Verizon Communications, Inc.
1.95%		03/28/14			600,000		610,794


							1,517,716

Electric — 2.12%
Cedar Brakes II LLC
9.88%		09/01/13	⁴		807,669		852,999
KCP&L Greater Missouri Operations Co.
11.88%		07/01/12			1,060,000		1,168,136
PG&E Corp.
5.75%		04/01/14			910,000		1,005,131
Public Service Co. of New Mexico
7.95%		05/15/18			475,000		536,848
Southwestern Electric Power Co.
6.45%		01/15/19			534,000		614,780
Texas-New Mexico Power Co.
9.50%		04/01/19	⁴		500,000		643,451


							4,821,345

Energy — 1.66%
Sabine Pass LNG LP
7.25%		11/30/13			935,000		963,050
Southern Union Co.
7.20%		11/01/66	³		910,000		847,438
Tennessee Gas Pipeline Co.
8.00%		02/01/16			1,000,000		1,213,804
Valero Energy Corp.
9.38%		03/15/19			471,000		602,468
Williams Cos., Inc.
7.88%		09/01/21			112,000		139,074


							3,765,834


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Finance — 10.26%
Bear Stearns Cos. LLC
7.25%		02/01/18		$	1,140,000	$	1,355,550
Citigroup Funding, Inc. 2
0.60%		04/30/12	³		655,000		657,416
Citigroup, Inc.
0.81%		08/25/36	³		205,000		152,891
5.50%		04/11/13			451,000		479,018
5.50%		10/15/14			371,000		403,760
6.00%		08/15/17			250,000		274,124
6.38%		08/12/14			535,000		593,842
6.50%		08/19/13			408,000		443,946
Countrywide Financial Corp. (MTN)
5.80%		06/07/12			285,000		297,119
General Electric Capital Corp.
5.63%		05/01/18			730,000		799,209
General Electric Capital Corp. (MTN)
0.65%		05/05/26	³		500,000		437,062
1.16%		05/22/13	³		340,000		341,372
General Electric Capital Corp. A (MTN)
0.51%		09/15/14	³		1,394,000		1,370,079
General Electric Capital Corp. E (MTN)
0.39%		03/20/14	³		300,000		293,871
Goldman Sachs Group, Inc.
0.45%		02/06/12	³		210,000		209,997
0.99%		12/05/11	³		785,000		788,009
6.15%		04/01/18			1,100,000		1,198,838
7.50%		02/15/19			550,000		640,739
Goldman Sachs Group, Inc. (MTN)
6.00%		05/01/14			250,000		274,420
Goldman Sachs Group, Inc. B (MTN)
0.67%		07/22/15	³		100,000		95,010
International Lease Finance Corp.
6.50%		09/01/14	⁴		1,000,000		1,057,500
JPMorgan Chase Capital XIII M
1.20%		09/30/34	³		1,070,000		917,627
Merrill Lynch & Co., Inc. (MTN)
8.68%		05/02/17	³		510,000		573,750
8.95%		05/18/17	³		410,000		463,813
9.57%		06/06/17	³		319,000		367,648
Morgan Stanley
0.55%		02/10/12	³		2,140,000		2,145,297
0.60%		06/20/12	³		1,150,000		1,154,838
0.76%		10/15/15	³		187,000		177,188
Morgan Stanley (MTN)
0.73%		10/18/16	³		1,185,000		1,089,679
6.25%		08/28/17			800,000		869,409
National Credit Union Administration
Guaranteed Notes A1
0.21%		06/12/13	^3,†		2,225,000		2,225,000


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Finance (continued)
Power Receivable Finance LLC
6.29%		01/01/12		$	75,411	$	75,530
Prudential Holdings LLC (AGM)
1.12%		12/18/17	^3,4		500,000		475,151
US Education Loan Trust IV LLC
2006-1 A4
0.31%		03/01/41	^4,†		700,000		616,002


							23,314,704

Health Care — 0.95%
HCA, Inc. (WI)
8.50%		04/15/19			430,000		475,150
UnitedHealth Group, Inc.
4.88%		02/15/13			760,000		803,974
WellPoint, Inc.
6.00%		02/15/14			800,000		890,318


							2,169,442

Insurance — 1.45%
Farmers Insurance Exchange
6.00%		08/01/14	⁴		1,000,000		1,085,732
Metropolitan Life Global Funding I
5.13%		06/10/14	⁴		800,000		874,646
Nationwide Mutual Insurance Co.
6.60%		04/15/34	⁴		440,000		409,577
Pricoa Global Funding I
5.45%		06/11/14	⁴		850,000		931,229


							3,301,184

Real Estate Investment Trust (REIT) — 2.95%
Duke Realty LP
6.25%		05/15/13			790,000		851,678
HCP, Inc.
7.07%		06/08/15			200,000		227,125
HCP, Inc. (MTN)
5.95%		09/15/11			820,000		828,012
6.30%		09/15/16			500,000		559,559
Health Care REIT, Inc.
4.70%		09/15/17			1,000,000		1,027,855
Shurgard Storage Centers LLC
5.88%		03/15/13			68,000		73,003
Simon Property Group LP
4.20%		02/01/15			400,000		426,533
UDR, Inc. (MTN)
5.00%		01/15/12			80,000		81,423
5.25%		01/15/15			1,000,000		1,071,965
WEA Finance LLC
7.13%		04/15/18	⁴		775,000		905,756


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Real Estate Investment Trust (REIT) (continued)
WEA Finance LLC/WT Finance
7.50%		06/02/14	⁴	$	570,000	$	651,433


							6,704,342

Transportation — 1.47%
Continental Airlines Pass-Through Trust
1997-4 A
6.90%		01/02/18			74,419		78,931
Continental Airlines Pass-Through Trust
1999-2 A-1
7.26%		03/15/20			388,924		418,093
Continental Airlines Pass-Through Trust
2007-1 A
5.98%		04/19/22			353,237		365,380
Delta Air Lines, Inc. 2001 A2
7.11%		09/18/11			1,202,000		1,215,462
JetBlue Airways Pass-Through Trust
2004-2 G1
0.64%		08/15/16	³		17,545		16,364
JetBlue Airways Pass-Through Trust
2004-2 G2
0.71%		11/15/16	³		661,000		621,340
Northwest Airlines, Inc. 2001 1 A1
7.04%		04/01/22			193,173		203,064
UAL Pass-Through Trust 2009-2 A
9.75%		01/15/17			369,141		418,975


							3,337,609


Total Corporates
(Cost $58,606,031)							63,552,320

BANK LOANS — 0.20%*
Health Care — 0.20%
HCA, Inc. Term Loan
3.50%		05/01/18	^3,5		455,133		448,844

Total Bank Loans
(Cost $ 451,290)
MORTGAGE-BACKED — 57.97%**
Commercial Mortgage-Backed — 9.69%
Banc of America Commercial Mortgage, Inc.
2005-2 A5
4.86%		07/10/43	³		950,000		1,003,215
Banc of America Commercial Mortgage, Inc.
2006-3 A4
5.89%		07/10/44	³		1,010,000		1,111,877
Bear Stearns Commercial Mortgage
Securities 2007-PW17 A4
5.69%		06/11/50	³		1,020,000		1,109,334
Bear Stearns Commercial Mortgage
Securities, Inc. 2003-PWR2 A4
5.19%		05/11/39	³		40,000		42,524


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed (continued)
Bear Stearns Commercial Mortgage
Securities, Inc. 2005-T20 A4A
5.30%		10/12/42	³	$	1,140,000	$	1,237,579
Bear Stearns Commercial Mortgage
Securities, Inc. 2006-PW13 A4
5.54%		09/11/41			470,000		512,795
Citigroup Commercial Mortgage Trust
2007-C6 A4
5.89%		12/10/49	³		40,000		43,731
Credit Suisse Mortgage Capital Certificates
2006-C5 A3
5.31%		12/15/39			1,045,000		1,120,605
GE Business Loan Trust 2003-2A A
0.56%		11/15/31	^3,4		772,267		711,328
GE Business Loan Trust 2004-1 A
0.48%		05/15/32	^3,4		801,675		745,753
GE Business Loan Trust 2004-2A A
0.41%		12/15/32	^3,4		537,876		487,471
GE Business Loan Trust 2005-1A A3
0.44%		06/15/33	^3,4		750,000		673,708
GE Capital Commercial Mortgage Corp.
2002-1A A3
6.27%		12/10/35			879,054		897,679
GE Capital Commercial Mortgage Corp.
2002-2A A3
5.35%		08/11/36			955,000		984,589
Greenwich Capital Commercial Funding Corp.
2002-C1 A4
4.95%		01/11/35			1,030,000		1,064,575
Greenwich Capital Commercial Funding Corp.
2003-C1 A4
4.11%		07/05/35			1,012,164		1,046,018
Greenwich Capital Commercial Funding Corp.
2004-GG1 A7
5.32%		06/10/36	³		1,110,000		1,193,390
Greenwich Capital Commercial Funding Corp.
2006-GG7 A4
6.08%		07/10/38	³		1,605,000		1,783,953
Greenwich Capital Commercial Funding Corp.
2007-GG9 A4
5.44%		03/10/39			945,000		1,015,022
JPMorgan Chase Commercial Mortgage
Securities Corp. 2001-CIB3 A3
6.47%		11/15/35			466,693		469,935
Merrill Lynch/Countrywide Commercial
Mortgage Trust 2006-4 A3
5.17%		12/12/49	³		760,000		811,149
Morgan Stanley Capital I 2005-T19 A4A
4.89%		06/12/47			935,000		1,009,604
Morgan Stanley Capital I 2007-IQ16 A4
5.81%		12/12/49			780,000		857,094


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed (continued)
Nomura Asset Securities Corp.
1998-D6 A3
7.52%		03/15/30	³	$	965,000	$	1,048,756
Wachovia Bank Commercial Mortgage Trust
2005-C20 A7
5.12%		07/15/42	³		940,000		1,021,784


							22,003,468

Non-Agency Mortgage-Backed — 16.91%
Ameriquest Mortgage Securities, Inc.
2005-R3 A3D
0.51%		05/25/35	³		560,501		523,231
Ameriquest Mortgage Securities, Inc.
2005-R6 A2
0.39%		08/25/35	³		615,433		586,007
Banc of America Funding Corp. 2003-2 1A1
6.50%		06/25/32			10,294		10,722
Banc of America Funding Corp. 2006-D 1A2
0.47%		05/20/36	³		2,000,000		426,754
Bear Stearns Asset Backed Securities Trust
2002-1 1A5 (STEP)
6.89%		12/25/34			10,089		9,874
Chase Funding Mortgage Loan Asset-Backed Certificates 2004-2 1A4
5.32%		02/25/35			10,399		9,843
Chevy Chase Mortgage Funding Corp.
2004-1A A1
0.47%		01/25/353,4			344,986		257,836
Chevy Chase Mortgage Funding Corp.
2005-2A A1
0.37%		05/25/36	^3,4		317,074		199,305
Citigroup Mortgage Loan Trust, Inc.
2004-HYB1 A41
3.04%		02/25/34	³		30,360		27,822
Citigroup Mortgage Loan Trust, Inc.
2007-WFH2 A3
0.37%		03/25/37	³		1,526,500		1,122,395
Conseco Finance 2001-D A5
6.69%		11/15/32	³		113,365		115,638
Conseco Finance 2002-A A5 (STEP)
7.55%		04/15/32			210,659		218,601
Conseco Finance 2002-C BF2
8.00%		06/15/32	^3,4		292,388		221,985
Conseco Finance 2002-C MF2
6.98%		06/15/32	³		4,495		4,508
Conseco Finance Home Loan Trust
2000-E M1
8.13%		08/15/31	³		85,260		83,541
Conseco Financial Corp. 1996-7 M1
7.70%		10/15/27	³		1,060,000		1,125,526
Conseco Financial Corp. 1997-3 A7
7.64%		03/15/28	³		506,066		557,993


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Countrywide Alternative Loan Trust
2005-27 2A1
1.63%		08/25/35	³	$	383,571	$	221,396
Countrywide Alternative Loan Trust
2005-27 3A2
1.38%		08/25/35	³		35,937		18,657
Countrywide Alternative Loan Trust
2005-72 A1
0.46%		01/25/36	³		764,726		479,486
Countrywide Alternative Loan Trust
2006-OA16 A2
0.38%		10/25/46	³		2,229,518		1,349,690
Countrywide Asset-Backed Certificates
2004-AB1 2A3
1.23%		02/25/35	³		417,684		408,626
Countrywide Home Loan Mortgage Pass-Through Trust 2004-14 4A1
5.02%		08/25/34	³		439,995		427,717
Credit-Based Asset Servicing and
Securitization LLC 2007-CB5 A1
0.25%		04/25/37	³		348,525		252,687
Deutsche ALT-A Securities, Inc.
2007-OA2 A1
1.07%		04/25/47	³		1,063,040		685,350
First Franklin Mortgage Loan Asset Backed
Certificates 2006-FF18 M1
0.42%		12/25/37	³		1,728,968		53,319
Green Tree 2008-MH1 A2
8.97%		04/25/38	^3,4		900,000		1,004,984
Green Tree Home Improvement Loan Trust
1995-C B2
7.60%		07/15/20			17		17
Green Tree Home Improvement Loan Trust
1997-E HEB1
7.53%		01/15/29			363,509		358,814
Greenpoint Manufactured Housing 1999-5 A5
7.82%		12/15/29	³		875,000		956,085
GSAMP Trust 2006-HE6 A4
0.43%		08/25/36	³		2,200,000		801,086
GSR Mortgage Loan Trust 2004-9 5A7
2.28%		08/25/34	³		1,469,000		1,309,636
HSBC Home Equity Loan Trust 2006-4 A3V
0.34%		03/20/36	³		1,500,000		1,445,870
HSBC Home Equity Loan Trust 2007-2 M1
0.50%		07/20/36	³		1,110,000		757,260
IndyMac Index Mortgage Loan Trust
2004-AR6 6A1
5.04%		10/25/34	³		156,202		149,822
IndyMac Index Mortgage Loan Trust
2004-AR8 2A2A
0.59%		11/25/34	³		53,996		36,303


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
IndyMac Index Mortgage Loan Trust
2007-AR5 1A1
4.97%		05/25/37	³	$	19,132	$	9,851
IndyMac Manufactured Housing Contract
1997-1 A3
6.61%		02/25/28			469,858		461,845
IndyMac Manufactured Housing Contract
1997-1 A4
6.75%		02/25/28			155,662		153,734
JPMorgan Mortgage Acquisition Corp.
2006-FRE1 A3
0.38%		05/25/35	³		864,314		744,312
Lehman ABS Manufactured Housing Contract
Trust 2001-B A4
5.27%		09/15/18			529,697		550,810
Lehman ABS Manufactured Housing Contract
Trust 2001-B A5
5.87%		05/15/22			304,361		321,136
Lehman ABS Manufactured Housing Contract
Trust 2001-B A6
6.47%		08/15/28	³		959,182		1,031,577
Lehman XS Trust 2007-12N 1A3A
0.39%		07/25/47	³		4,500,000		1,677,386
Lehman XS Trust 2007-14H A12
0.69%		07/25/47	³		7,170,175		1,170,142
MASTR Adjustable Rate Mortgages Trust
2004-1 2A1
2.87%		01/25/34	³		1,864		1,633
MASTR Asset Securitization Trust
2002-8 1A1
5.50%		12/25/17			6,019		6,221
MASTR Seasoned Securities Trust
2004-1 4A1
2.93%		10/25/32	³		3,844		3,496
MASTR Seasoned Securities Trust
2004-2 A2
6.50%		08/25/32			100,128		104,313
MASTR Seasoned Securities Trust
2005-1 4A1
2.90%		10/25/32	³		7,652		7,190
Merrill Lynch First Franklin Mortgage Loan
Trust 2007-3 A2C
0.37%		06/25/37	³		811,700		354,031
Merrill Lynch First Franklin Mortgage Loan
Trust 2007-3 A2D
0.44%		06/25/37	³		1,500,000		629,569
Mid-State Trust 11 A1
4.86%		07/15/38			1,289,002		1,260,848
Mid-State Trust 2004-1 A
6.01%		08/15/37			651,700		667,790
Mid-State Trust 2004-1 B
8.90%		08/15/37			837,899		803,782


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Mid-State Trust 2004-1 M1
6.50%		08/15/37		$	698,250	$	700,332
Mid-State Trust 2005-1 M2
7.08%		01/15/40			1,025,082		994,572
Morgan Stanley ABS Capital I 2004-NC7 M2
0.81%		07/25/34	³		2,000,000		1,786,796
Morgan Stanley ABS Capital I 2005-HE3 M3
0.72%		07/25/35	³		1,400,000		1,100,096
Nationstar Home Equity Loan Trust
2006-B AV4
0.47%		09/25/36	³		2,450,000		1,489,054
Oakwood Mortgage Investors, Inc. 1998-B A4
6.35%		03/15/17			25,482		25,579
Option One Mortgage Loan Trust 2007-6 2A4
0.44%		07/25/37	³		2,159,800		780,399
Residential Accredit Loans, Inc.
2003-QS17 NB1
5.25%		09/25/33			7,784		7,813
Residential Asset Mortgage Products, Inc.
2002-RS4 AI5 (STEP)
6.16%		08/25/32			2,220		1,260
Residential Asset Mortgage Products, Inc.
2003-RS1 AI5 (STEP)
5.69%		03/25/33			15,836		8,381
Residential Asset Mortgage Products, Inc.
2003-SL1 A41
8.00%		04/25/31			57,466		61,268
Residential Asset Securitization Trust
2004-IP2 2A1
2.73%		12/25/34	³		105,463		99,965
Residential Funding Mortgage Securities II,
Inc. 2003-HS2 AI4 (STEP)
3.87%		07/25/33			18,213		16,998
Resmae Mortgage Loan Trust 2006-1 A1B
0.46%		02/25/36	^3,4		51,817		1,421
SG Mortgage Securities Trust
2006-FRE1 A1B
0.46%		02/25/36	³		81,468		43,733
Soundview Home Equity Loan Trust
2006-WF2 A2C
0.33%		12/25/36	³		1,680,000		1,472,482
Structured Asset Mortgage Investments, Inc.
2005-AR3 1A1
0.46%		08/25/35	³		1,173,935		744,389
Structured Asset Mortgage Investments, Inc.
2005-AR8 A2
1.76%		02/25/36	³		1,447,050		986,636
UCFC Home Equity Loan 1998-D BF1
8.97%		04/15/30	³		3,657		1,583
UCFC Home Equity Loan 1998-D MF1
6.91%		04/15/30			118,429		121,662


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Washington Mutual Alternative Mortgage
Pass-Through Certificates 2007-0A2 2A
0.98%		01/25/47	³	$	2,290,239	$	1,027,935
Washington Mutual Alternative Mortgage
Pass-Through Certificates 2007-OA3 4A1
1.05%		04/25/47	³		787,060		459,256
Washington Mutual Mortgage Pass-Through
Certificates 2002-AR18 A
2.61%		01/25/33	³		23,313		21,859
Wells Fargo Home Equity Trust 2006-1 A3
0.34%		05/25/36	³		297,449		292,279


							38,423,800

U.S. Agency Mortgage-Backed — 31.37%
Fannie Mae (TBA)
4.00%		07/25/41			5,630,000		5,631,759
6.00%		07/25/41			2,655,000		2,917,181
Fannie Mae 1989-25 G
6.00%		06/25/19			3,176		3,476
Fannie Mae 1992-116 B
6.50%		06/25/22			517		569
Fannie Mae 1993-225 SG
26.60%		12/25/13	³		64,893		78,652
Fannie Mae 1993-80 S
10.61%		05/25/23	³		21,663		23,832
Fannie Mae 2001-52 YZ
6.50%		10/25/31			522,713		600,988
Fannie Mae 2003-27 SG (IO)
7.46%		04/25/17	³		3,654,300		191,937
Fannie Mae 2003-W6 5T (IO)
0.55%		09/25/42	³		37,870,531		726,114
Fannie Mae 2007-64 FA
0.66%		07/25/37	³		881,201		876,944
Fannie Mae 2008-50 SA (IO)
5.86%		11/25/36	³		8,122,497		1,262,723
Fannie Mae Pool 253974
7.00%		08/01/31			20,870		23,787
Fannie Mae Pool 254232
6.50%		03/01/22			33,077		37,488
Fannie Mae Pool 527247
7.00%		09/01/26			127		147
Fannie Mae Pool 545191
7.00%		09/01/31			10,714		12,211
Fannie Mae Pool 545646
7.00%		09/01/26			90		103
Fannie Mae Pool 549740
6.50%		10/01/27			36,703		41,671
Fannie Mae Pool 555177
2.40%		01/01/33	³		32,656		34,037


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool 555284
7.50%		10/01/17		$	1,857	$	2,031
Fannie Mae Pool 606108
7.00%		03/01/31			1,768		2,041
Fannie Mae Pool 630599
7.00%		05/01/32			17,628		20,389
Fannie Mae Pool 655928
7.00%		08/01/32			11,408		13,213
Fannie Mae Pool 735207
7.00%		04/01/34			8,951		10,244
Fannie Mae Pool 735646
4.50%		07/01/20			20,676		22,124
Fannie Mae Pool 735686
6.50%		12/01/22			179,121		203,006
Fannie Mae Pool 735861
6.50%		09/01/33			283,707		322,913
Fannie Mae Pool 764388
5.02%		03/01/34	³		225,043		241,354
Fannie Mae Pool 770869
2.33%		04/01/34	³		405,937		424,963
Fannie Mae Pool 776708
5.00%		05/01/34			740,786		793,802
Fannie Mae Pool 817611
5.27%		11/01/35	³		127,548		136,829
Fannie Mae Pool 844773
5.16%		12/01/35	³		10,133		10,873
Fannie Mae Pool 889117
5.00%		10/01/35			2,432,372		2,597,127
Fannie Mae Pool 889125
5.00%		12/01/21			920,396		993,848
Fannie Mae Pool 889184
5.50%		09/01/36			960,146		1,045,693
Fannie Mae Pool 890221
5.50%		12/01/33			1,570,449		1,708,232
Fannie Mae Pool 895606
5.71%		06/01/36	³		314,193		340,408
Fannie Mae Pool 918445
5.81%		05/01/37	³		31,856		34,514
Fannie Mae Pool 939419
5.63%		05/01/37	³		484,689		522,805
Fannie Mae Pool AD0249
5.50%		04/01/37			2,873,413		3,125,510
Fannie Mae Pool AD0791
4.76%		02/01/20			996,362		1,069,890
Fannie Mae Pool AE0600
3.98%		11/01/20			1,051,420		1,079,762
Fannie Mae Pool AE0605
4.67%		07/01/20			1,002,809		1,070,958


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool AH3428
3.50%		01/01/26		$	3,237,281	$	3,311,131
Fannie Mae Pool AI0209
4.50%		05/01/41			1,231,989		1,281,365
Freddie Mac 1602 SN
10.09%		10/15/23	³		14,590		14,171
Freddie Mac 1688 W
7.25%		03/15/14			3,390		3,583
Freddie Mac 2174 PN
6.00%		07/15/29			193,073		209,592
Freddie Mac 2561 BX (IO)
5.00%		05/15/17			40,505		782
Freddie Mac 2929 PE
5.00%		05/15/33			55,000		59,336
Freddie Mac Gold (TBA)
3.50%		07/15/26			6,910,000		7,038,485
Freddie Mac Gold A25162
5.50%		05/01/34			968,963		1,052,688
Freddie Mac Gold A33262
5.50%		02/01/35			145,194		159,015
Freddie Mac Gold A68781
5.50%		10/01/37			35,432		38,671
Freddie Mac Gold C90504
6.50%		12/01/21			4,284		4,832
Freddie Mac Gold E01279
5.50%		01/01/18			5,981		6,484
Freddie Mac Gold E90474
6.00%		07/01/17			11,953		13,086
Freddie Mac Gold G01548
7.50%		07/01/32			812,997		967,053
Freddie Mac Gold G01601
4.00%		09/01/33			22,783		23,060
Freddie Mac Gold G01611
4.00%		09/01/33			8,517		8,621
Freddie Mac Gold G01644
5.50%		02/01/34			795,624		866,139
Freddie Mac Gold G01673
5.50%		04/01/34			67,973		74,444
Freddie Mac Gold G02366
6.50%		10/01/36			569,931		641,217
Freddie Mac Gold G03640
5.50%		12/01/37			870,912		950,005
Freddie Mac Gold G06242
4.50%		09/01/40			2,601,738		2,709,161
Freddie Mac Gold G06354
4.00%		04/01/41			1,273,589		1,274,517
Freddie Mac Gold G06499
4.00%		03/01/41			1,772,911		1,777,326


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Gold G11707
6.00%		03/01/20		$	10,221	$	11,190
Freddie Mac Gold G12393
5.50%		10/01/21			815,573		884,706
Freddie Mac Gold G12909
6.00%		11/01/22			784,569		857,203
Freddie Mac Gold G13032
6.00%		09/01/22			634,528		692,478
Freddie Mac Gold J06246
5.50%		10/01/21			465,114		504,536
Freddie Mac Gold Pool A94843
4.00%		11/01/40			2,497,644		2,505,424
Freddie Mac Non Gold Pool 1B3413
5.91%		05/01/37	³		615,815		661,544
Freddie Mac Non Gold Pool 1J0045
5.08%		01/01/36	³		14,833		15,834
Freddie Mac Pool J13884
3.50%		12/01/25			2,677,836		2,731,963
Freddie Mac R001 AE
4.38%		04/15/15			208,456		210,612
Ginnie Mae 2003-28 LI (IO)
5.50%		02/20/32			37,751		1,981
Ginnie Mae 2004-8 SE
13.93%		11/26/23	³		140,800		156,460
Ginnie Mae I (TBA)
4.00%		07/15/41			1,230,000		1,253,063
Ginnie Mae I Pool 782810
4.50%		11/15/39			2,687,437		2,845,008
Ginnie Mae II Pool 80968
2.63%		07/20/34	³		71,319		73,621
National Credit Union Administration
Guaranteed Notes 2001-R2 1A
0.59%		02/06/20	³		1,338,030		1,339,235
National Credit Union Administration
Guaranteed Notes 2010-C1 A2
2.90%		10/29/20			1,100,000		1,099,600
National Credit Union Administration
Guaranteed Notes 2010-R2 1A
0.56%		11/06/17	³		2,111,135		2,111,789
National Credit Union Administration
Guaranteed Notes 2010-R2 2A
0.66%		11/05/20	³		1,143,905		1,142,121
National Credit Union Administration
Guaranteed Notes 2011-C1 2A
0.72%		03/09/21	³		1,431,961		1,433,751


							71,273,031

Total Mortgage-Backed
(Cost $126,784,143)							131,700,299


Issues	Maturity Date			Principal Amount		Value
MUNICIPAL BONDS — 1.13%*
California — 0.53%
State of California, Recreational Facility
Improvements, G.O., Taxable Variable
Purpose 3
5.95%		04/01/16		$	225,000	$	250,515
State of California, Refunding Bonds, G.O.,
Taxable Variable Purpose
6.20%		10/01/19			866,000		951,310


							1,201,825

Illinois — 0.60%
State of Illinois, Pension Funding G.O.,
Taxable
4.07%		01/01/14			800,000		828,736
5.67%		03/01/18			525,000		545,118


							1,373,854

Total Municipal Bonds
(Cost $ 2,429,789)							2,575,679

U.S. AGENCY SECURITIES — 4.85%
U.S. Agency Securities — 4.85%
Fannie Mae
0.36%		06/23/14	³		2,225,000		2,227,781
Federal Home Loan Bank
0.50%		12/20/12			4,395,000		4,394,125
Freddie Mac
0.22%		10/12/12	³		4,390,000		4,393,091


							11,014,997

Total U.S. Agency Securities
(Cost $ 11,007,968)
U.S. TREASURY SECURITIES — 4.36%
U.S. Treasury Notes — 4.36%
U.S. Treasury Notes
1.38%		06/30/16			4,235,000		4,181,410
1.75%		05/31/16			630,000		631,083
2.38%		05/31/18			3,690,000		3,670,397
2.63%		11/15/20			90,000		86,695
3.13%		05/15/21			1,340,000		1,336,336


Total U.S. Treasury Securities
(Cost $ 9,923,784)							9,905,921


Total Bonds – 101.92%
(Cost $ 221,145,076)							231,570,818

Issues

Maturity
Date

Principal
Amount

Value

SHORT-TERM INVESTMENTS — 5.54%

Commercial Paper — 3.09%

BNP Paribas Finance, Inc.

0.23%⁶

07/18/11

1,930,000

1,929,832

Deutsche Bank Financial Corp.

0.20%⁶

08/24/11

1,100,000

1,099,651

National Rural Utilities Cooperative

Finance Corp.

0.13%⁶

07/15/11

2,025,000

2,024,897

UBS Finance Corp.

0.18%⁶

08/02/11

1,970,000

1,969,694

7,024,074

Money Market Fund — 2.34%

Dreyfus Cash Advantage Fund

0.13%⁷

2,241,000

DWS Money Market Series-Institutional

0.06%⁷

792,000

Fidelity Institutional Money Market Funds -

Prime Money Market Portfolio

0.08%⁷

1,510,000

Goldman Sachs Financial Square Funds -

Prime Obligations Fund

0.03%^7,8

758,000

5,301,000

U.S. Treasury Bills — 0.11%

U.S. Treasury Bills

0.03%⁶

09/08/11

⁹

190,000

189,998

0.03%⁶

09/08/11

⁹

30,000

0.03%⁶

09/08/11

⁹

30,000

249,998

Total Short-Term Investments

(Cost $ 12,575,035)

12,575,072

Total Investments – 107.46%

(Cost $ 233,720,111)¹

244,145,890

Liabilities in Excess of Other

Assets – (7.46)%

(16,943,668

)

Net Assets – 100.00%

227,202,222


Issues	Contracts	Premiums (Received)			Value
CALL OPTIONS WRITTEN
U.S. Long Bond (CBT), Call
Strike $122, expires 08/26/11	(30)	$	(29,935	)	$	(47,813	)

Total Call Options Written		$	(29,935	)	$	(47,813	)


Contracts		Unrealized Appreciation
FUTURES CONTRACTS: LONG POSITIONS
18	U.S. Treasury Ten Year Note,
	Expiration September 2011	$	15,149

	Net unrealized appreciation	$	15,149


Contracts		Unrealized (Depreciation)
FUTURES CONTRACTS: SHORT POSITIONS
2	Euro Dollar Ninety Day,
	Expiration September 2011	$	(13,555	)
2	Euro Dollar Ninety Day,
	Expiration December 2011		(14,730	)
2	Euro Dollar Ninety Day,
	Expiration March 2012		(15,455	)
2	Euro Dollar Ninety Day,
	Expiration June 2012		(15,830	)

	Net unrealized depreciation	$	(59,570	)


Expiration Date	Notional Amount (000’s)	Appreciation/ (Depreciation)	Value
SWAPS: INTEREST RATE
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 1.38% quarterly.
Counterparty: CS First Boston
06/18/14	$ 5,560	$8,982		$ 8,982
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 2.66% quarterly. Counterparty: CS First Boston
06/18/17	2,330	(11,099)		(11,099)

	$7,890	$(2,117)		$(2,117)


Expiration Date	Premiums Paid		Notional Amount (000’s)^a		Appreciation		Value
SWAPS: CREDIT DEFAULT (PURCHASED) - SINGLE ISSUES
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		$5,688		$175		$6,625		$12,313
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		6,080		135		3,418		9,498
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.
09/20/16		6,080		135		3,418		9,498
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		283		125		5,389		5,672


Expiration Date	Premiums Paid			Notional Amount (000’s)^a			Appreciation			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 Toll Brothers, Inc., 5.15%, due 05/15/15. Counterparty: CS First Boston
09/20/16		$	1,397		$	625		$	26,963		$	28,360

		$	19,528		$	1,195		$	45,813		$	65,341


Expiration Date	Premiums Paid			Notional Amount (000’s)^a			Appreciation/ (Depreciation)				Value^b
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		$	636,975		$	1,120		$	(514,492	)		$	122,483
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			17,848			215			5,664				23,512
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			23,279			250			4,061				27,340
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			1,072,018			1,840			(870,796	)			201,222


		$	1,750,120		$	3,425		$	(1,375,563	)		$	374,557


Expiration Date	Premiums (Received)				Notional Amount (000’s)^a			Appreciation			Value^b
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		$	(1,316,808	)		$	2,247		$	29,323		$	(1,287,485	)
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			(90,390	)			147			6,425			(83,965	)


		$	(1,407,198	)		$	2,394		$	35,748		$	(1,371,450	)


Expiration Date	Premiums (Received)				Notional Amount (000’s)^a			Appreciation			Value^b
SWAPTION: 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 swaption 11/23/20. Counterparty: Citigroup, Inc.
11/23/20		$	(13,685	)		$	1,190		$	9,758		$	(3,927	)


		$	(13,685	)		$	1,190		$	9,758		$	(3,927	)

^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 $233,910,522 and net unrealized appreciation/(depreciation) consists of:


Gross unrealized appreciation	$	14,576,168
Gross unrealized depreciation		(4,340,800	)

Net unrealized appreciation	$	10,235,368

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

3	Floating rate security. The rate disclosed was in effect at June 30, 2011.

5	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, Inc. Term Loan, 3.50%, 05/01/18	$	451,290	$	448,844		0.20	%

6	Represents annualized yield at date of purchase.

7	Represents the current yield as of June 30, 2011.

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

9	Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $249,993.

†

Fair valued security. The aggregate value of fair valued securities is $4,003,545, which is 1.76% 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 represents securities that are priced using a benchmark pricing system and securities that have been deemed permanently stale, see 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 – 104.04%
ASSET-BACKED SECURITIES — 5.14%**
Aerco Ltd. 2A A3 (United Kingdom)
0.65%		07/15/25	^2,3,4	$	80,361,346	$	64,690,884
Aircastle Aircraft Lease Backed Trust 2007-1A G1
0.45%		06/14/37	^3,4		38,417,357		34,384,562
Babcock & Brown Air Funding I Ltd. 2007-1A G1 (Bermuda)
0.49%		11/14/33	^2,3,4		50,784,119		44,047,289
Brazos Higher Education Authority, Inc. 2005-1 1A4
0.46%		03/26/29			10,000,000		9,255,000
Brazos Higher Education Authority, Inc. 2011-2 A3
1.25%		10/27/36	³		24,400,000		22,876,210
Bryant Park CDO Ltd. 2005-1X Note
0.00%		01/15/19	†		3,075,000		2,306,257
CIT Education Loan Trust 2007-1 A
0.34%		03/25/42	^3,4		25,254,994		23,084,148
Countrywide Asset-Backed Certificates 2005-13 AF4
5.68%		04/25/36	³		50,000		26,933
Countrywide Asset-Backed Certificates 2005-4 MV1
0.65%		10/25/35	³		364,734		354,301
Discover Card Master Trust 2009-A2 A
1.49%		02/17/15	³		7,275,000		7,348,579
Equity One ABS, Inc. 2002-4 M1
5.22%		02/25/33	³		17,496		14,159
First Franklin Mortgage Loan Asset Backed Certificates 2006-FF18 A2C
0.35%		12/25/37	³		64,848,000		27,074,585
First Franklin Mortgage Loan Asset Backed Certificates 2007-FF2 A2D
0.41%		03/25/37	³		61,258,600		24,980,491
GE Seaco Finance SRL 2004-1A A (Barbados)
0.49%		04/17/19	^2,3,4		12,721,667		12,329,452
GE Seaco Finance SRL 2005-1A A (Barbados)
0.44%		11/17/20	^2,3,4		36,479,459		34,107,368
Genesis Funding Ltd. 2006-1A G1 (Bermuda)
0.43%		12/19/32	^2,3,4		41,413,425		36,547,348
Goal Capital Funding Trust 2005-2 B
0.79%		11/25/44	³		20,000,000		16,303,632
Green Tree Recreational Equipment & Consumer Trust 1996-D Certificates
7.24%		12/15/22			72,010		49,360
GSC Partners Gemini Fund Ltd. 1A A (Cayman Islands)
0.94%		10/10/14	^2,3,4		2,084,503		2,046,982
Lease Investment Flight Trust 1 A1
0.58%		07/15/31	³		23,260,000		15,584,200


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Lease Investment Flight Trust 1 A2
0.62%		07/15/31	³	$	59,645,000	$	39,962,150
Merrill Lynch Mortgage Investors, Inc. 2006-WMC2 A2B (STEP)
5.61%		03/25/37			41,320,901		15,675,848
North Carolina State Education Authority 2011-1 A3
1.21%		10/25/41			27,000,000		25,182,630
Northstar Education Finance, Inc. 2007-1 A2, Student Loan Asset Backed Note
1.04%		01/29/46	³		33,775,000		32,717,707
PAMCO CLO 1998-1A B2 (Cayman Islands)
1.62%		12/31/11	^2,3,4,5,†		892,246		17,845
Panhandle-Plains Higher Education Authority, Inc. 2011-1 A3
1.21%		10/01/37	³		16,665,000		15,854,756
Residential Asset Mortgage Products, Inc. 2003-RS9 AI6A
6.11%		10/25/33			41,310		41,620
South Carolina Student Loan Corp. 2006-1 A2
0.37%		12/01/22	³		29,000,000		26,740,900
TAL Advantage LLC 2006-1 NT
0.40%		04/20/21	⁴		14,113,334		13,347,221
TAL Advantage LLC 2010-2A A
4.30%		10/20/25	⁴		10,602,667		11,092,550
TAL Advantage LLC 2011-2A A
4.31%		05/20/26	⁴		11,652,083		11,466,947
TAL Advantage LLC 2011-A1 A
4.60%		01/20/26	⁴		14,375,000		14,823,740
Textainer Marine Containers Ltd. 2005-1A A (Bermuda)
0.44%		05/15/20	^2,3,4		3,035,417		2,930,765
Textainer Marine Containers Ltd. 2011-1A A (Bermuda)
4.70%		06/15/26	^2,4,†		24,435,000		24,359,022
Trinity Rail Leasing LP 2006-1A A1
5.90%		05/14/36	⁴		7,450,654		7,663,305
Triton Container Finance LLC 2006-1A
0.36%		11/26/21	^3,4		28,142,834		26,581,141
Triton Container Finance LLC 2007-1A
0.33%		02/26/19	^3,4		19,839,874		19,056,836
US Education Loan Trust LLC 2006-2A A1
0.43%		03/01/31	^3,4		51,025,000		46,049,710
Washington Mutual Asset-Backed Certificates 2007-HE2 2A3
0.44%		04/25/37	³		15,000,000		5,838,600

Total Asset-Backed Securities
(Cost $703,882,524)							716,815,033


Issues	Maturity Date			Principal Amount		Value
CORPORATES — 26.30%*
Banking — 6.47%
Abbey National Treasury Services Plc (YCD) (United Kingdom)
1.57%		04/25/13	^2,3	$	13,950,000	$	14,035,768
Abbey National Treasury Services Plc (United Kingdom)
3.88%		11/10/14	^2,4		23,210,000		23,654,355
Ally Financial, Inc.
2.45%		12/01/14	³		9,009,000		8,578,730
BAC Capital Trust XV
1.05%		06/01/56	³		14,500,000		10,179,522
Bank of America Corp.
5.63%		07/01/20			12,690,000		13,125,622
5.75%		12/01/17			1,145,000		1,219,084
5.88%		01/05/21			25,000,000		26,430,083
6.00%		09/01/17			300,000		323,230
6.50%		08/01/16			4,820,000		5,381,381
Bank of America Corp. (MTN)
5.00%		05/13/21			35,655,000		35,301,052
Bank of America N.A.
0.55%		06/15/17	³		14,740,000		13,127,503
6.10%		06/15/17			51,580,000		55,306,191
Bank One Corp. (STEP)
8.53%		03/01/19			1,700,000		2,055,349
BankAmerica Capital II
8.00%		12/15/26			800,000		818,000
BankAmerica Capital III
0.85%		01/15/27	³		7,947,000		6,447,274
BankAmerica Institutional Capital A
8.07%		12/31/26	⁴		350,000		358,750
Barclays Bank Plc (United Kingdom)
5.20%		07/10/14	²		12,079,000		13,075,916
Capital One Financial Corp.
7.38%		05/23/14			3,710,000		4,239,001
Capital One Financial Corp. (MTN)
5.70%		09/15/11			200,000		202,034
Chase Capital VI
0.90%		08/01/28	³		8,640,000		7,149,256
City National Corp.
5.13%		02/15/13			6,200,000		6,479,353
Commonwealth Bank of Australia (Australia)
0.98%		03/17/14	^2,3,4		14,785,000		14,803,443
2.13%		03/17/14	^2,4		28,275,000		28,593,531
Credit Suisse USA, Inc.
5.13%		08/15/15			15,000		16,502
Credit Suisse/Guernsey 1 (Switzerland)
0.95%		05/29/49	^2,3		61,409,000		50,739,186
Credit Suisse/New York (MTN) (Switzerland)
5.00%		05/15/13	²		14,868,000		15,877,418


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Banking (continued)
Credit Suisse/New York (Switzerland)
5.30%		08/13/19	²	$	630,000	$	672,084
5.50%		05/01/14	²		11,790,000		12,958,024
6.00%		02/15/18	²		36,759,000		39,719,607
Deutsche Bank AG/London G (MTN) (Germany)
4.88%		05/20/13	²		14,320,000		15,219,697
Discover Bank
8.70%		11/18/19			15,510,000		18,739,539
First Chicago NBD Institutional Capital I
0.82%		02/01/27	³		5,355,000		4,646,552
Fleet Capital Trust II
7.92%		12/11/26			770,000		789,635
HBOS Capital Funding LP (United Kingdom)
6.07%		06/24/49	^2,3,4		5,823,000		5,066,010
HBOS Plc G (MTN) (United Kingdom)
6.75%		05/21/18	^2,4		29,473,000		28,401,126
HSBC Bank Plc (United Kingdom)
1.08%		01/17/14	^2,3,4		29,100,000		29,121,892
3.10%		05/24/16	^2,4		28,270,000		28,301,291
5.10%		04/05/21	²		23,395,000		24,191,113
JPMorgan Chase & Co.
3.15%		07/05/16			9,190,000		9,229,710
4.25%		10/15/20			9,525,000		9,389,636
4.63%		05/10/21			36,300,000		36,624,993
5.50%		10/15/40			400,000		401,408
6.30%		04/23/19			170,000		191,439
JPMorgan Chase & Co. C (MTN)
0.77%		07/23/13	³		2,500,000		2,464,000
JPMorgan Chase Bank N.A.
5.88%		06/13/16			5,040,000		5,584,930
6.00%		07/05/17			13,000		14,392
6.00%		10/01/17			37,477,000		41,701,820
Lloyds TSB Bank Plc (United Kingdom)
6.38%		01/21/21	²		36,445,000		38,077,638
M&T Capital Trust III
9.25%		02/01/27			10,200,000		10,545,321
National Australia Bank Ltd. (Australia)
5.35%		06/12/13	^2,4		20,425,000		21,988,793
National Capital Trust II
5.49%		12/29/49	^3,4		2,717,000		2,602,522
Nationsbank Capital Trust II
7.83%		12/15/26			5,625,000		5,730,469
Nationsbank Capital Trust III
0.83%		01/15/27	³		8,684,000		7,062,524
Nationsbank Capital Trust IV
8.25%		04/15/27			3,549,000		3,651,034


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Banking (continued)
Royal Bank of Scotland Plc 1 (United Kingdom)
2.68%		08/23/13	^2,3	$	10,830,000	$	11,114,937
Royal Bank of Scotland Plc (United Kingdom)
3.25%		01/11/14	²		32,400,000		32,865,718
Royal Bank of Scotland Plc (United Kingdom)
3.95%		09/21/15	²		10,970,000		11,025,275
Svenska Handelsbanken AB (Sweden)
4.88%		06/10/14	^2,4		23,240,000		25,120,162
Union Bank N.A.
3.00%		06/06/16			15,875,000		15,914,179
Wachovia Corp.
0.61%		10/28/15	³		13,165,000		12,637,061
Wachovia Corp. (MTN)
5.50%		05/01/13			35,000		37,654
Westpac Banking Corp. (Australia)
0.98%		03/31/14	^2,3,4		32,750,000		32,790,925
4.88%		11/19/19	²		225,000		235,229


							902,345,873

Communications — 1.48%
CCH II Holdings LLC/CCH II Holdings Capital Corp.
13.50%		11/30/16			7,520,000		8,854,800
Cincinnati Bell, Inc.
8.25%		10/15/17			1,000,000		1,010,000
Comcast Cable Communications Holdings, Inc.
9.46%		11/15/22			250,000		348,455
CSC Holdings LLC
8.50%		04/15/14			26,784,000		29,797,200
8.50%		06/15/15			17,511,000		18,933,769
Frontier Communications Corp.
7.13%		03/15/19			1,825,000		1,879,750
Intelsat Jackson Holdings SA (Luxembourg)
9.50%		06/15/16	²		35,728,000		37,559,060
iPCS, Inc.
2.40%		05/01/13	³		6,255,000		6,145,537
Nextel Communications, Inc. C
5.95%		03/15/14			37,620,000		37,714,050
Nextel Communications, Inc. E
6.88%		10/31/13			22,401,000		22,653,011
Qwest Communications International, Inc.
8.00%		10/01/15			10,953,000		11,831,456
Qwest Communications International, Inc. B
7.50%		02/15/14			7,000,000		7,122,500
Telecom Italia Capital SA (Luxembourg)
7.72%		06/04/38	²		125,000		122,188


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Communications (continued)
Verizon Communications, Inc.
1.95%		03/28/14		$	18,000,000	$	18,323,823
Windstream Corp.
8.63%		08/01/16			4,295,000		4,499,013


							206,794,612

Consumer Discretionary — 0.00%
Altria Group, Inc.
10.20%		02/06/39			75,000		107,687

Electric — 2.71%
Calpine Construction Finance Co. LP
8.00%		06/01/16	⁴		74,577,000		80,916,045
Cedar Brakes I LLC
8.50%		02/15/14	⁴		3,779,798		4,025,881
Cedar Brakes II LLC
9.88%		09/01/13	⁴		4,848,397		5,120,510
Cleco Power LLC
6.65%		06/15/18			17,795,000		20,300,750
Coso Geothermal Power Holdings
7.00%		07/15/26	⁴		28,115,009		23,420,731
Dynegy Roseton/Danskammer Pass-Through Trust B
7.67%		11/08/16			54,205,000		48,242,450
Entergy Gulf States Louisiana LLC
6.00%		05/01/18			17,500,000		19,588,643
Entergy Louisiana, LLC
4.80%		05/01/21			500,000		512,451
FirstEnergy Corp. C
7.38%		11/15/31			120,000		137,016
FPL Energy National Wind Portfolio LLC
6.13%		03/25/19	⁴		306,648		299,185
FPL Energy Wind Funding LLC
6.88%		06/27/17	⁴		1,173,690		1,068,058
GenOn REMA LLC
9.68%		07/02/26			1,325,000		1,431,000
Kansas City Power & Light Co.
6.38%		03/01/18			4,290,000		4,897,756
KCP&L Greater Missouri Operations Co.
11.88%		07/01/12			27,754,000		30,585,324
Midwest Generation LLC B
8.56%		01/02/16			8,539,110		8,859,327
Mirant Mid Atlantic Pass-Through Trust A
8.63%		06/30/12			3,002,513		3,073,823
Mirant Mid Atlantic Pass-Through Trust B
9.13%		06/30/17			25,401,515		27,306,629
Mirant Mid Atlantic Pass-Through Trust C
10.06%		12/30/28			5,202,732		5,827,060
Nevada Power Co.
5.45%		05/15/41			600,000		599,709


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Electric (continued)
NextEra Energy Capital Holdings, Inc.
4.50%		06/01/21		$	500,000	$	493,705
5.35%		06/15/13			955,000		1,025,976
NiSource Finance Corp.
6.12%		03/01/22			400,000		443,163
NRG Energy, Inc.
7.38%		01/15/17			14,993,000		15,742,650
7.63%		01/15/18	⁴		8,920,000		9,031,500
PNM Resources, Inc.
9.25%		05/15/15			4,280,000		4,793,600
Public Service Co. of New Hampshire
4.05%		06/01/21			1,250,000		1,243,595
6.00%		05/01/18			5,000,000		5,644,480
Public Service Co. of New Mexico
7.95%		05/15/18			18,136,000		20,497,416
PVNGS II Funding Corp., Inc.
8.00%		12/30/15			1,529,000		1,680,033
Reliant Energy Mid-Atlantic Power Holdings LLC B
9.24%		07/02/17			18,757,245		20,257,825
Southwestern Electric Power Co.
6.45%		01/15/19			291,000		335,020
Texas-New Mexico Power Co.
9.50%		04/01/19	⁴		530,000		682,058
Virginia Electric & Power Co.
5.10%		11/30/12			9,295,000		9,847,597


							377,930,966

Energy — 2.37%
Allis-Chalmers Energy, Inc.
8.50%		03/01/17			1,000,000		1,055,000
Arch Coal, Inc.
7.00%		06/15/19	⁴		23,114,000		23,345,140
El Paso Pipeline Partners Operating Co. LLC
4.10%		11/15/15			46,175,000		48,240,823
Hilcorp Energy I LP/Hilcorp Finance Co.
7.75%		11/01/15	⁴		2,175,000		2,251,125
OPTI Canada, Inc. (Canada)
7.88%		12/15/14	²		750,000		313,125
Panhandle Eastern Pipeline Co. LP
6.20%		11/01/17			2,250,000		2,572,148
8.13%		06/01/19			2,292,000		2,774,214
Petrobras International Finance Co. - Pifco (Cayman Islands)
6.88%		01/20/40	²		150,000		160,564
Sabine Pass LNG LP
7.25%		11/30/13			56,704,000		58,405,120
7.50%		11/30/16			32,128,000		32,931,200
7.50%		11/30/16	⁴		15,768,000		15,373,800


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Energy (continued)
Sonat, Inc.
7.63%		07/15/11		$	1,600,000	$	1,602,925
Southern Union Co.
7.20%		11/01/66	³		72,053,000		67,099,356
Tennessee Gas Pipeline Co.
8.00%		02/01/16			16,620,000		20,173,422
Tesoro Corp.
6.50%		06/01/17			1,175,000		1,204,375
TransCanada PipeLines Ltd. (Canada)
6.10%		06/01/40	²		100,000		106,576
Valero Energy Corp.
6.63%		06/15/37			5,880,000		6,152,030
7.50%		04/15/32			8,720,000		9,862,058
10.50%		03/15/39			3,575,000		5,070,322
Williams Cos., Inc.
7.88%		09/01/21			21,337,000		26,494,793
8.75%		03/15/32			4,185,000		5,399,875


							330,587,991

Finance — 8.21%
Alta Wind Holdings LLC
7.00%		06/30/35	⁴		17,405,926		18,525,005
Astoria Depositor Corp.
8.14%		05/01/21	⁴		14,575,000		13,992,000
BankBoston Capital Trust III
1.00%		06/15/27	³		16,705,000		13,178,407
Barnett Capital III
0.90%		02/01/27	³		3,260,000		2,640,437
Bear Stearns Cos. LLC
4.65%		07/02/18			4,330,000		4,445,260
7.25%		02/01/18			20,595,000		24,489,123
Cantor Fitzgerald LP
6.38%		06/26/15	⁴		16,275,000		16,736,243
Chase Capital II B
0.77%		02/01/27	³		6,700,000		5,534,681
CIT Group, Inc.
5.25%		04/01/14	⁴		7,392,000		7,387,380
6.63%		04/01/18	⁴		11,285,000		11,813,984
7.00%		05/01/14			15,165,886		15,421,811
7.00%		05/01/15	⁴		8,173,000		8,203,649
Citigroup Capital III
7.63%		12/01/36			7,438,000		7,308,073
Citigroup Funding, Inc. 2
0.60%		04/30/12	³		30,870,000		30,983,879
Citigroup, Inc.
0.55%		11/05/14	³		14,309,000		13,668,629
0.81%		08/25/36	³		24,399,000		18,197,018
3.95%		06/15/16			12,775,000		13,096,215
4.59%		12/15/15			4,650,000		4,894,892


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Finance (continued)
5.30%		10/17/12		$	50,000	$	52,491
5.30%		01/07/16			20,019,000		21,488,267
5.38%		08/09/20			9,625,000		10,065,892
5.50%		08/27/12			100,000		104,848
5.85%		08/02/16			5,095,000		5,614,028
6.00%		08/15/17			19,063,000		20,902,484
6.13%		11/21/17			55,000		60,826
6.13%		05/15/18			2,850,000		3,142,937
6.38%		08/12/14			3,950,000		4,384,444
6.88%		03/05/38			6,881,000		7,682,189
8.13%		07/15/39			19,868,000		24,940,539
Countrywide Capital III B
8.05%		06/15/27			3,000,000		3,120,000
Countrywide Financial Corp. (MTN)
5.80%		06/07/12			1,830,000		1,907,817
Discover Financial Services
10.25%		07/15/19			4,515,000		5,843,945
General Electric Capital Corp.
1.88%		09/16/13			5,400,000		5,449,399
4.38%		09/16/20			30,655,000		30,396,477
5.63%		05/01/18			185,000		202,539
General Electric Capital Corp. (MTN)
0.39%		06/20/14	³		1,250,000		1,227,193
0.54%		08/07/18	³		22,453,000		21,105,820
0.65%		05/05/26	³		19,760,000		17,272,690
5.38%		10/20/16			3,700,000		4,080,962
General Electric Capital Corp. A (MTN)
6.75%		03/15/32			14,098,000		15,709,077
General Electric Capital Corp. E (MTN)
0.39%		03/20/14	³		30,100,000		29,485,087
General Electric Capital Corp. G (MTN)
6.88%		01/10/39			20,925,000		23,765,443
General Electric Capital, Corp.
4.63%		01/07/21			15,000,000		15,117,105
Goldman Sachs Group, Inc.
0.45%		02/06/12	³		1,305,000		1,304,983
0.70%		03/22/16	³		6,255,000		5,905,533
0.99%		12/05/11	³		30,365,000		30,481,383
1.27%		02/07/14	³		1,624,000		1,609,783
3.63%		02/07/16			41,935,000		42,380,777
5.75%		10/01/16			3,550,000		3,872,362
5.95%		01/18/18			100,000		107,934
6.00%		06/15/20			9,510,000		10,240,593
6.15%		04/01/18			31,176,000		33,977,257
6.25%		02/01/41			14,730,000		14,922,775
6.75%		10/01/37			500,000		490,050
7.50%		02/15/19			39,976,000		46,571,264
Goldman Sachs Group, Inc. B (MTN)
0.67%		07/22/15	³		2,035,000		1,933,456


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Finance (continued)
International Lease Finance Corp.
6.50%		09/01/14	⁴	$	27,605,000	$	29,192,288
6.75%		09/01/16	⁴		36,450,000		39,001,500
7.13%		09/01/18	⁴		700,000		752,500
JPMorgan Chase Capital XIII M
1.20%		09/30/34	³		5,543,000		4,753,649
JPMorgan Chase Capital XXI U
1.22%		02/02/37	³		8,010,000		6,304,385
JPMorgan Chase Capital XXIII
1.26%		05/15/47	³		17,295,000		13,791,708
JPMorgan Chase Capital XXVII AA
7.00%		11/01/39			5,225,000		5,234,536
Macquarie Bank Ltd. (Australia)
6.62%		04/07/21	^2,4		800,000		805,771
MBNA Capital A
8.28%		12/01/26			7,744,000		7,947,280
MBNA Capital B
1.07%		02/01/27	³		29,710,000		24,187,357
MBNA Corp.
6.13%		03/01/13			7,355,000		7,879,044
Merrill Lynch & Co., Inc. (MTN)
6.05%		08/15/12			125,000		131,625
8.68%		05/02/17	³		5,725,000		6,440,625
8.95%		05/18/17	³		5,800,000		6,561,250
9.57%		06/06/17	³		11,819,000		13,621,397
Morgan Stanley
0.60%		06/20/12	³		47,575,000		47,775,143
0.76%		10/15/15	³		1,615,000		1,530,256
3.80%		04/29/16			14,415,000		14,492,825
4.20%		11/20/14			8,585,000		8,922,622
5.50%		07/24/20			22,370,000		22,660,061
5.75%		01/25/21			6,700,000		6,791,629
6.00%		05/13/14			24,975,000		27,237,790
6.60%		04/01/12			715,000		746,670
7.30%		05/13/19			205,000		230,041
Morgan Stanley (MTN)
0.73%		10/18/16	³		15,310,000		14,078,464
5.62%		09/23/19			600,000		616,697
5.75%		10/18/16			6,800,000		7,270,508
5.95%		12/28/17			125,000		134,562
6.25%		08/28/17			8,000,000		8,694,085
6.63%		04/01/18			7,930,000		8,747,599
Morgan Stanley E (MTN)
5.45%		01/09/17			100,000		105,541
Morgan Stanley G (MTN)
0.59%		01/09/14	³		2,970,000		2,897,360
Pipeline Funding Co. LLC
7.50%		01/15/30	⁴		35,250,000		38,378,050


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Finance (continued)
Power Receivable Finance LLC
6.29%		01/01/12	⁴	$	35,851	$	35,980
6.29%		01/01/12			49,450		49,528
Prudential Financial, Inc. (MTN)
5.62%		05/12/41			450,000		421,659
Prudential Holdings LLC
8.70%		12/18/23	⁴		22,375,000		27,217,741
Raymond James Financial, Inc.
8.60%		08/15/19			9,233,000		11,292,402
Woodbourne Capital Trust I
2.73%		04/08/49	^3,4,5		900,000		450,000
Woodbourne Capital Trust II
2.73%		04/08/49	^3,4,5		925,000		462,500
Woodbourne Capital Trust III
2.73%		04/08/49	^3,4,5		1,525,000		762,500
ZFS Finance USA Trust II
6.45%		12/15/65	^3,4		6,475,000		6,636,875
ZFS Finance USA Trust IV
5.88%		05/09/32	^3,4		21,972,000		22,136,790


							1,144,818,128

Food — 0.01%
JBS USA LLC/JBS USA Finance, Inc.
11.63%		05/01/14			500,000		577,500
Kraft Foods, Inc.
6.50%		02/09/40			100,000		111,458
Ralcorp Holdings, Inc.
4.95%		08/15/20			150,000		153,777
Sara Lee Corp.
4.10%		09/15/20			125,000		119,215


							961,950

Health Care — 0.50%
CHS/Community Health Systems, Inc.
8.88%		07/15/15			21,025,000		21,682,031
HCA, Inc. (WI)
7.88%		02/15/20			28,925,000		31,600,563
8.50%		04/15/19			13,035,000		14,403,675
Universal Health Services, Inc.
6.75%		11/15/11			1,280,000		1,307,585
WellPoint, Inc.
5.88%		06/15/17			125,000		143,097
Wellpoint, Inc.
6.38%		06/15/37			50,000		54,723

							69,191,674

Industrials — 0.14%
General Electric Co.
5.25%		12/06/17			17,163,000		19,039,705


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Insurance — 1.10%
Farmers Exchange Capital
7.05%		07/15/28	⁴	$	17,426,000	$	17,993,861
7.20%		07/15/48	⁴		18,265,000		18,261,061
Farmers Insurance Exchange
8.63%		05/01/24	⁴		18,595,000		22,114,399
MetLife Capital Trust X
9.25%		04/08/38	⁴		11,500,000		14,087,500
MetLife, Inc.
2.38%		02/06/14			10,775,000		10,986,804
7.72%		02/15/19			5,487,000		6,651,462
Nationwide Mutual Insurance Co.
5.81%		12/15/24	^3,4		12,949,000		12,690,370
6.60%		04/15/34	⁴		19,518,000		18,168,468
Pricoa Global Funding I
0.37%		01/30/12	^3,4		15,690,000		15,645,895
5.45%		06/11/14	⁴		15,130,000		16,575,883


							153,175,703

Materials — 0.00%
ArcelorMittal (Luxembourg)
5.25%		08/05/20	²		140,000		138,670
Lyondell Chemical Co.
11.00%		05/01/18			441,113		496,252
Southern Copper Corp.
6.38%		07/27/15			100,000		110,168


							745,090

Real Estate Investment Trust (REIT) — 2.27%
Boston Properties LP
6.25%		01/15/13			26,000		27,895
BRE Properties, Inc.
5.50%		03/15/17			100,000		109,199
Camden Property Trust
4.62%		06/15/21			600,000		592,112
Duke Realty LP
5.40%		08/15/14			1,400,000		1,511,475
6.25%		05/15/13			75,000		80,856
ERP Operating LP
5.75%		06/15/17			100,000		111,004
HCP, Inc.
5.38%		02/01/21			19,730,000		20,363,288
5.63%		05/01/17			218,000		235,356
5.65%		12/15/13			2,813,000		3,042,653
6.00%		01/30/17			16,320,000		17,992,131
6.45%		06/25/12			11,800,000		12,387,841
6.75%		02/01/41			150,000		157,480
7.07%		06/08/15			125,000		141,953
HCP, Inc. (MTN)
5.95%		09/15/11			165,000		166,612


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Real Estate Investment Trust (REIT) (continued)
6.30%		09/15/16		$	21,204,000	$	23,729,778
6.70%		01/30/18			19,690,000		22,246,898
Health Care REIT, Inc.
4.70%		09/15/17			31,473,000		32,349,680
4.95%		01/15/21			5,975,000		5,900,192
5.25%		01/15/22			26,805,000		26,802,364
6.13%		04/15/20			4,385,000		4,704,829
6.50%		03/15/41			14,165,000		13,925,121
Healthcare Realty Trust, Inc.
5.75%		01/15/21			21,375,000		21,913,292
6.50%		01/17/17			220,000		245,548
Highwoods Properties, Inc.
7.50%		04/15/18			6,810,000		7,912,042
Kimco Realty Corp. C (MTN)
5.19%		10/01/13			100,000		106,686
Post Apartment Homes LP
4.75%		10/15/17			21,885,000		22,219,753
PPF Funding, Inc.
5.50%		01/15/14	⁴		195,000		209,624
Shurgard Storage Centers LLC
5.88%		03/15/13			624,000		669,910
Simon Property Group LP
6.13%		05/30/18			1,290,000		1,448,600
UDR, Inc.
6.05%		06/01/13			3,608,000		3,839,309
UDR, Inc. (MTN)
4.25%		06/01/18			5,500,000		5,447,431
5.00%		01/15/12			2,845,000		2,895,613
5.25%		01/15/15			200,000		214,393
UDR, Inc. E (MTN)
5.13%		01/15/14			7,075,000		7,487,893
Ventas Realty LP/Ventas Capital Corp.
4.75%		06/01/21			10,925,000		10,656,872
WEA Finance LLC
7.13%		04/15/18	⁴		38,063,000		44,484,875
Weingarten Realty Investors (MTN)
4.99%		09/03/13			18,000		18,969

							316,349,527

Services — 0.01%
Mobile Mini, Inc.
6.88%		05/01/15			750,000		766,875


Transportation — 1.03%
Continental Airlines Pass-Through Trust
1997-4A
6.90%		01/02/18			2,951,240		3,130,159
Continental Airlines Pass-Through Trust
1999-2 A-1
7.26%		03/15/20			11,480,914		12,341,983


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Transportation (continued)
Continental Airlines Pass-Through Trust
2007-1A
5.98%		04/19/22		$	4,630,913	$	4,790,100
Continental Airlines Pass-Through Trust
2007-1B
6.90%		04/19/22			2,432,620		2,438,702
Continental Airlines Pass-Through Trust
2009-2A
7.25%		11/10/19			5,211,745		5,609,141
Delta Air Lines 2010-2A Pass Through Trust
4.95%		05/23/19			492,839		493,455
Delta Air Lines, Inc.
9.50%		09/15/14	⁴		3,547,000		3,777,555
Delta Air Lines, Inc. 2001 A2
7.11%		09/18/11			7,918,000		8,006,682
Delta Air Lines, Inc. 2002 G1
6.72%		01/02/23			23,335,046		23,626,734
Delta Air Lines, Inc. 2002 G2
6.42%		07/02/12			9,370,000		9,651,100
Delta Air Lines, Inc. 2011-1 A
5.30%		04/15/19			15,625,000		15,664,063
Northwest Airlines, Inc. 2001 1 A1
7.04%		04/01/22			3,023,161		3,177,946
UAL Pass-Through Trust 2009-1
10.40%		11/01/16			15,455		17,522
UAL Pass-Through Trust 2009-2 A
9.75%		01/15/17			19,795,168		22,467,516
US Airways 2010-1 A Pass-Through Trust
6.25%		04/22/23			22,875,000		22,174,453
US Airways 2011-1 A Pass-Through Trust
7.13%		10/22/23			5,850,000		5,868,281

							143,235,392

Total Corporates
(Cost $3,448,723,445)							3,666,051,173


BANK LOANS — 0.68%*
Communications — 0.14%
Cengage Learning Acquisitions, Inc.
Term Loan
2.50%		07/03/14	^3,6		1,925,000		1,732,500
Dex Media West LLC Term Loan
7.00%		10/24/14	^3,6		1,650,274		1,384,855
Intelsat Jackson Holdings
Term Loan B
5.25%		04/02/18	^3,6		16,000,000		16,073,328

							19,190,683


Issues	Maturity Date			Principal Amount		Value
BANK LOANS (continued)
Electric — 0.02%
Texas Competitive Electric
Holdings Co. LLC
4.17%		10/10/17	^3,6	$	3,270,833	$	2,557,674

Finance — 0.08%
CIT Group, Inc. Term Loan
6.25%		08/11/15	^3,6		9,000,000		9,070,713
Kelson Holdings LLC
6.75%		03/08/14	^3,6		2,374,927		2,273,001

							11,343,714

Gaming — 0.27%
Caesars Entertainment Operating Co., Inc.
Term Loan B1
6.89%		01/28/15	^3,6		2,000,000		1,801,868
Caesars Entertainment Operating Co., Inc.
Term Loan B2
3.25%		01/28/15	^3,6		37,750,000		33,974,887
Caesars Entertainment Operating Co., Inc.
Term Loan B3
3.27%		01/28/15	³		1,976,169		1,779,162

							37,555,917

Health Care — 0.15%
HCA, Inc. Term Loan
3.50%		05/01/18	^3,6		20,950,678		20,661,161

Transportation — 0.02%
Delta Air Lines, Inc.
5.50%		04/20/17	^3,6		3,500,000		3,462,267

Total Bank Loans
(Cost $94,692,072)							94,771,416


MORTGAGE-BACKED — 59.84%**
Commercial Mortgage-Backed — 6.71%
Banc of America Commercial Mortgage, Inc.
2002-PB2 A4
6.19%		06/11/35			11,196,632		11,386,013
Banc of America Commercial Mortgage, Inc.
2005-2 A5
4.86%		07/10/43	³		15,000		15,840
Banc of America Re-REMIC Trust
2001-STRP A7
1.91%		02/17/42	⁴		11,976,438		11,954,366
Banc of America Re-REMIC Trust
2011-STRP A9
1.32%		07/17/39	⁴		8,300,000		8,223,094
Bayview Commercial Asset Trust
2006-3A A1
0.44%		10/25/36	^3,4		6,885,978		5,133,084
Bayview Commercial Asset Trust
2006-4A A1
0.42%		12/25/36	^3,4		317,945		237,015


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed (continued)
Bayview Commercial Asset Trust
2007-1 A1
0.41%		03/25/37	^3,4	$	3,650,340	$	2,736,227
Bayview Commercial Asset Trust
2007-2A A1
0.46%		07/25/37	^3,4		19,558,854		14,522,596
Bayview Commercial Asset Trust
2007-3 A1
0.43%		07/25/37	^3,4		3,430,906		2,685,758
Bear Stearns Commercial Mortgage
Securities 2002-PBW1 A2
4.72%		11/11/35	³		25,050,000		25,751,733
Bear Stearns Commercial Mortgage
Securities, Inc. 2001-TOP4 A3
5.61%		11/15/33			3,971,609		3,968,771
Bear Stearns Commercial Mortgage
Securities, Inc. 2003-PWR2 A4
5.19%		05/11/39	³		39,926,000		42,445,694
Bear Stearns Commercial Mortgage
Securities, Inc. 2003-T12 A4
4.68%		08/13/39	³		6,225,000		6,572,007
Bear Stearns Commercial Mortgage
Securities, Inc. 2005-T20 A4A
5.30%		10/12/42	³		75,995,000		82,499,830
Bear Stearns Commercial Mortgage
Securities, Inc. 2006-PW13 A4
5.54%		09/11/41			3,165,000		3,453,185
Citigroup Commercial Mortgage Trust
2007-C6 A4
5.89%		12/10/49	³		21,468,000		23,470,629
Citigroup/Deutsche Bank Commercial
Mortgage Trust 2007-CD5 A4
5.89%		11/15/44	³		1,943,000		2,122,359
Commercial Mortgage Asset Trust
1999-C1 A4
6.98%		01/17/32	³		28,775,600		30,204,406
Countrywide Home Loan Mortgage
Pass-Through Trust 2004-HYB3 1A
2.62%		06/20/34	³		187,226		168,325
Credit Suisse First Boston Mortgage
Securities Corp. 2001-CKN5 A4
5.44%		09/15/34			17,839,126		17,824,860
Credit Suisse First Boston Mortgage
Securities Corp. 2002-CKS4 A2
5.18%		11/15/36			3,184,702		3,289,046
Credit Suisse First Boston Mortgage
Securities Corp. 2003-CK2 A4
4.80%		03/15/36			10,000,000		10,417,331
Credit Suisse First Boston Mortgage
Securities, Corp. 2002-CP3 A3
5.60%		07/15/35			17,225,000		17,770,085


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed (continued)
Credit Suisse Mortgage Capital Certificates
2006-C1 A3
5.71%		02/15/39	³	$	247,670	$	256,704
Credit Suisse Mortgage Capital Certificates
2006-C5 A3
5.31%		12/15/39			27,537,500		29,529,808
GE Business Loan Trust 2004-1 A
0.48%		05/15/32	^3,4		31,720,860		29,508,117
GE Business Loan Trust 2005-1A A3
0.44%		06/15/33	^3,4		17,925,000		16,101,615
GE Business Loan Trust 2005-2A A
0.43%		11/15/33	^3,4		41,643,069		37,123,542
GE Capital Commercial Mortgage Corp.
2002-2A A3
5.35%		08/11/36			5,653,000		5,828,150
GE Capital Commercial Mortgage Corp.
2007-C1 A1
3.88%		12/10/49			7,280,787		7,277,103
GMAC Commercial Mortgage Securities, Inc.
1998-C2 X (IO)
1.09%		05/15/35	^3,5		24,432,409		776,284
GMAC Commercial Mortgage Securities, Inc.
2002-C1 A2
6.28%		11/15/39			21,828,554		21,979,066
GMAC Commercial Mortgage Securities, Inc.
2002-C2 A3
5.71%		10/15/38			3,650,012		3,737,919
Greenwich Capital Commercial Funding Corp.
2002-C1 A4
4.95%		01/11/35			35,055,000		36,231,740
Greenwich Capital Commercial Funding Corp.
2004-GG1 A7
5.32%		06/10/36	³		70,183,999		75,456,635
Greenwich Capital Commercial Funding Corp.
2006-GG7 A4
6.08%		07/10/38	³		52,804,554		58,692,124
Greenwich Capital Commercial Funding Corp.
2007-GG9 A4
5.44%		03/10/39			74,935,000		80,487,451
JPMorgan Chase Commercial Mortgage
Securities Corp. 2001-CIB3 A3
6.47%		11/15/35			2,310,361		2,326,412
JPMorgan Chase Commercial Mortgage
Securities Corp. 2002-C2 A2
5.05%		12/12/34			2,340,000		2,434,474
JPMorgan Chase Commercial Mortgage
Securities Corp. 2003-ML1A A2
4.77%		03/12/39			8,705,000		9,091,614
JPMorgan Chase Commercial Mortgage
Securities Corp. 2006-LDP7 A4
6.07%		04/15/45	³		33,110,000		36,788,451


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed (continued)
JPMorgan Chase Commercial Mortgage
Securities Corp. 2007-CB18 A4
5.44%		06/12/47		$	3,065,000	$	3,280,111
Merrill Lynch/Countrywide Commercial
Mortgage Trust 2006-4 A3
5.17%		12/12/49	³		32,840,000		35,050,188
Merrill Lynch/Countrywide Commercial
Mortgage Trust 2006-4 ASB
5.13%		12/12/49	³		25,000,000		26,550,505
Morgan Stanley Capital I 2005-T19 A4A
4.89%		06/12/47			10,000		10,798
Morgan Stanley Capital I 2006-HQ9 A4
5.73%		07/12/44	³		405,000		447,059
Morgan Stanley Capital I 2006-T21 A4
5.16%		10/12/52	³		31,350,000		34,076,657
Morgan Stanley Capital I 2006-T23 A4
5.99%		08/12/41	³		12,695,000		14,126,957
Morgan Stanley Capital I 2007-IQ16 A4
5.81%		12/12/49			30,457,500		33,467,868
Prudential Commercial Mortgage Trust
2003-PWR1 A1
3.67%		02/11/36			4,301,437		4,304,908
Salomon Brothers Mortgage Securities VII,
Inc. 2002-KEY2 A3
4.87%		03/18/36			415,000		426,140
TIAA Seasoned Commercial Mortgage Trust
2007-C4 A3
5.98%		08/15/39	³		3,115,000		3,408,508

							935,629,162

Non-Agency Mortgage-Backed — 17.03%
Aames Mortgage Trust 2002-1 A3 (STEP)
6.90%		06/25/32			69,156		62,714
Accredited Mortgage Loan Trust 2007-1 A4
0.41%		02/25/37	³		46,125,000		24,570,096
Adjustable Rate Mortgage Trust 2007-1 5A1
0.34%		03/25/37	³		14,109,792		6,480,942
American Home Mortgage Assets 2007-1 A1
0.98%		02/25/47	³		94,487,830		43,768,039
American Home Mortgage Assets 2007-4 A2
0.38%		08/25/37	³		30,071,498		21,585,336
American Home Mortgage Investment Trust
2006-1 2A3
2.15%		12/25/35	³		303,541		209,840
Ameriquest Mortgage Securities. Inc.,
2005-R11 A2C
0.42%		01/25/36	³		8,074,683		8,014,830
Amresco Residential Securities Mortgage
Loan Trust 1998-1 A5 (STEP)
7.57%		10/25/27			161,184		168,315


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Argent Securities, Inc. 2005-W4 A2C
0.49%		02/25/36	³	$	8,579,354	$	8,538,551
Argent Securities, Inc. 2005-W5 A2D
0.51%		01/25/36	³		26,678,000		11,423,039
Asset Backed Funding Certificates
2006-HE1 A2C
0.35%		01/25/37	³		6,155,000		2,248,772
Asset Backed Funding Certificates
2007-WMC1 A2B
1.19%		06/25/37	³		42,477,000		21,247,552
Banc of America Funding Corp. 2003-2 1A1
6.50%		06/25/32			93,502		97,395
Banc of America Funding Corp. 2005-B 3A1B
0.50%		04/20/35	³		13,955,475		11,187,162
Banc of America Funding Corp. 2007-8 2A1
7.00%		10/25/37			24,300,188		17,924,754
Banc of America Mortgage Securities, Inc.
2005-E 2A6
2.87%		06/25/35	³		100,000		93,951
Banco de Credito Y Securitizacion SA
2001-1 AF (Argentina)
8.00%		07/31/11	^2,4,5		304,400		24,352
Bayview Financial Acquisition Trust
2005-B 1A3 (STEP)
4.89%		04/28/39			1,444,834		1,419,924
Bayview Financial Acquisition Trust
2005-D AF3
5.50%		12/28/35	³		1,190,000		1,149,714
BCAP LLC Trust 2011-RR5 1A3
5.85%		03/26/37	⁴		2,392,654		2,213,205
BCAP LLC Trust 2007-AA2 2A5
6.00%		04/25/37			986,827		698,893
BCAP LLC Trust 2011-RR3 5A3
5.09%		11/27/37	⁴		17,593,978		16,005,103
BCAP LLC Trust 2011-RR3 1A5
5.55%		05/27/37	⁴		28,377,081		27,277,469
BCAP LLC Trust 2010-RR11 3A2
2.83%		06/27/36	^3,4		12,843,239		11,883,775
BCAP LLC Trust 2011-RR4 1A3
3.04%		03/26/36	⁴		26,869,159		24,518,107
BCAP LLC Trust 2011-RR5 2A3
5.06%		06/26/37	⁴		13,840,093		12,888,587
Bear Stearns Adjustable Rate Mortgage Trust
2003-4 3A1
5.02%		07/25/33	³		152,255		152,131
Bear Stearns Alt-A Trust 2005-4 21A1
2.74%		05/25/35	³		28,326,120		18,546,337
Bear Stearns Alt-A Trust 2006-3 1A1
0.38%		05/25/36	³		4,862,584		2,265,519


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Bear Stearns Alt-A Trust 2006-3 23A1
2.95%		05/25/36	³	$	5,279,593	$	2,965,057
Bear Stearns Asset Backed Securities Trust
2002-1 1A5 (STEP)
6.89%		12/25/34			63,056		61,714
Bear Stearns Asset Backed Securities Trust
2005-TC2 A3
0.56%		08/25/35	³		18,153,000		15,768,865
Bear Stearns Asset Backed Securities Trust
2006-HE10 1A2
0.39%		12/25/36	³		23,770,000		13,974,383
BHN I Mortgage Fund 1997-2 A1 (Argentina)
1.47%		05/31/17	^2,3,4,5,7,8^,†		13,760		1,032
BHN I Mortgage Fund 1997-2 A2 (Argentina)
7.54%		05/31/17	^2,4,5,7,8^,†		2,500		187
BHN I Mortgage Fund 2000-1 AF (Argentina)
8.00%		01/31/20	^2,4,5,†		6,000		450
BlackRock Capital Finance LP 1997-R2 AP
1.26%		12/25/35	^3,4,5,†		3,645		2,078
Bombardier Capital Mortgage Securitization
Corp. 2001-A A
6.81%		12/15/30	³		40,467,896		42,285,888
Carrington Mortgage Loan Trust
2006-NC2 A4
0.43%		06/25/36	³		11,445,000		4,166,667
Centex Home Equity 2006-A AV3
0.35%		06/25/36	³		12,527,779		10,984,319
Centex Home Equity 2006-A AV4
0.44%		06/25/36	³		125,000		74,709
Chase Mortgage Finance Corp. 2005-A1 2A3
2.94%		12/25/35	³		1,710,000		1,429,439
Chase Mortgage Finance Corp. 2007-A2 2A3
3.06%		07/25/37	³		15,217,547		14,121,860
Chaseflex Trust 2005-2 4A2
5.50%		05/25/20			17,731,463		17,450,254
Chaseflex Trust 2007-M1 1A2
0.42%		08/25/37	³		20,506,684		10,971,219
Chevy Chase Mortgage Funding Corp.
2004-1A A1
0.47%		01/25/35	^3,4		2,338,953		1,748,089
Citicorp Mortgage Securities, Inc.
2005-1 1A12
5.00%		02/25/35			703,000		646,922
Citicorp Residential Mortgage Securities, Inc.
2007-1 A5 (STEP)
6.05%		03/25/37			650,000		482,044
Citigroup Mortgage Loan Trust, Inc.
2004-RR2 A2
4.71%		05/25/34	^3,4		19,924,440		19,772,287


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Citigroup Mortgage Loan Trust, Inc.
2006-AMC1 A2B
0.16%		09/25/36	³	$	417,140	$	193,230
Citigroup Mortgage Loan Trust, Inc.
2006-NC1 A2D
0.44%		08/25/36	³		33,850,000		12,490,768
Citigroup Mortgage Loan Trust, Inc.
2007-AMC4 A2B
0.33%		05/25/37	³		21,600,000		13,063,715
Citigroup Mortgage Loan Trust, Inc.
2007-WFH1 A4
0.39%		01/25/37	³		28,000		12,920
Citigroup Mortgage Loan Trust, Inc.
2007-WFH2 A3
0.37%		03/25/37	³		35,903,000		26,398,521
Collateralized Mortgage Obligation Trust 57 D
9.90%		02/01/19			4,259		4,921
Conseco Finance 2001-C A5 (STEP)
7.29%		08/15/33			3,311,122		3,351,377
Conseco Finance 2001-D A5
6.69%		11/15/32	³		119,095		121,483
Conseco Finance 2002-C BF2
8.00%		06/15/32	^3,4		501,237		380,546
Conseco Financial Corp. 1996-7 M1
7.70%		10/15/27	³		19,007,000		20,181,954
Conseco Financial Corp. 1998-2 A5
6.24%		12/01/28	³		197,483		204,595
Countrywide Alternative Loan Trust
2004-J6 2A1
6.50%		11/25/31			39,489		39,917
Countrywide Alternative Loan Trust
2005-27 1A2
1.68%		08/25/35	³		16,645		11,602
Countrywide Alternative Loan Trust
2005-27 2A1
1.63%		08/25/35	³		9,082,322		5,242,290
Countrywide Alternative Loan Trust
2005-43 4A1
5.47%		10/25/35	³		361,971		287,838
Countrywide Alternative Loan Trust
2005-59 1A1
0.53%		11/20/35	³		222,576		140,432
Countrywide Alternative Loan Trust
2005-61 2A1
0.47%		12/25/35	³		314,670		210,298
Countrywide Alternative Loan Trust
2006-20CB A7
5.31%		07/25/36	^3,5		22,848,069		2,887,562
Countrywide Alternative Loan Trust
2006-46 A4
6.00%		02/25/47			6,445,211		5,630,148


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Countrywide Alternative Loan Trust
2006-OA10 1A1
1.12%		08/25/46	³	$	5,870,799	$	3,349,584
Countrywide Alternative Loan Trust
2006-OA14 3A1
1.13%		11/25/46	³		874,578		417,794
Countrywide Alternative Loan Trust
2006-OA17 1A1A
0.38%		12/20/46	³		39,628,787		21,129,693
Countrywide Alternative Loan Trust
2006-OA18 A1
0.31%		12/25/46	³		38,650,073		23,105,400
Countrywide Alternative Loan Trust
2006-OA22 A1
0.35%		02/25/47	³		1,159,230		718,580
Countrywide Alternative Loan Trust
2006-OA8 1A1
0.38%		07/25/46	³		27,915,247		15,487,041
Countrywide Alternative Loan Trust
2006-OC5 2A2A
0.36%		06/25/36	³		4,165,920		2,230,734
Countrywide Alternative Loan Trust
2007-22 2A16
6.50%		09/25/37			50,268,540		38,352,010
Countrywide Alternative Loan Trust
2007-5CB 1A14
5.16%		04/25/37	^3,5		43,950,261		5,836,252
Countrywide Alternative Loan Trust
2007-J1 2A1
0.39%		03/25/37	³		1,690,275		774,043
Countrywide Alternative Loan
Trust 2005-36 2A1A
0.50%		08/25/35	³		298,029		151,519
Countrywide Asset-Backed Certificates
2005-12 2A5
5.25%		02/25/36	³		12,657,319		12,200,618
Countrywide Asset-Backed Certificates
2005-2 M2
0.63%		08/25/35	³		14,000,000		13,363,941
Countrywide Asset-Backed Certificates
2006-18 2A2
0.35%		03/25/37	³		32,372,908		21,450,046
Countrywide Asset-Backed Certificates
2007-10 2A2
0.31%		06/25/47	³		28,501,000		25,267,889
Countrywide Asset-Backed Certificates
2007-13 2A2
0.99%		10/25/47	³		16,188,604		11,117,451
Countrywide Asset-Backed Certificates
2007-3 2A1
0.29%		05/25/47	³		9,106,219		8,797,937


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Countrywide Asset-Backed Certificates
2007-4 A1A
0.31%		09/25/37	³	$	7,080,790	$	6,910,727
Countrywide Asset-Backed Certificates
2007-5 2A2
0.36%		09/25/47	³		127,000		101,537
Countrywide Asset-Backed Certificates
2007-9 2A1
0.25%		06/25/47	³		36,904		36,375
Countrywide Home Loan Mortgage
Pass-Through Trust 2001-HYB1 1A1
2.22%		06/19/31	³		52,145		51,275
Countrywide Home Loan Mortgage
Pass-Through Trust 2003-J8 1A4
5.25%		09/25/23			782,363		807,228
Countrywide Home Loan Mortgage
Pass-Through Trust 2004-14 4A1
5.02%		08/25/34	³		7,306,640		7,102,752
Countrywide Home Loan Mortgage
Pass-Through Trust 2005-1 2A1
0.48%		03/25/35	³		310,532		191,403
Countrywide Home Loan Mortgage
Pass-Through Trust 2005-HYB5 4A1
4.92%		09/20/35	³		9,576,332		7,416,429
Countrywide Home Loan Mortgage
Pass-Through Trust 2007-HY3 2A1
5.25%		06/25/47	³		37,224,541		26,303,717
Credit Suisse First Boston Mortgage
Securities Corp. 2001-MH29 A (STEP)
5.60%		09/25/31			88,544		90,413
Credit Suisse First Boston Mortgage
Securities Corp. 2003-AR20 2A4
2.62%		08/25/33	³		62,345		55,101
Credit Suisse Mortgage Capital Certificates
2006-6 2A1
0.79%		07/25/36	³		221,756		98,175
Credit Suisse Mortgage Capital Certificates
2007-2 3A4
5.50%		03/25/37			9,200,000		7,975,954
Credit-Based Asset Servicing and
Securitization LLC 2003-CB4 M1
0.88%		03/25/33	³		9,953,772		9,061,265
Credit-Based Asset Servicing and
Securitization LLC 2006-CB6 A23
0.34%		07/25/36	³		24,381,651		15,401,453
Credit-Based Asset Servicing and
Securitization LLC 2006-CB8 A2B
0.30%		10/25/36	³		11,240,000		9,293,131
Credit-Based Asset Servicing and
Securitization LLC 2006-CB9 A3
0.34%		11/25/36	³		10,300,000		3,881,223


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Deutsche ALT-A Securities, Inc.
2005-3 4A5
5.25%		06/25/35		$	53,928	$	49,987
Deutsche ALT-A Securities, Inc.
2007-AR3 2A4
0.54%		06/25/37	³		19,285,000		5,150,215
Downey Savings & Loan Association
Mortgage Loan Trust 2007-AR1 2A1A
0.33%		04/19/48	³		3,919,941		2,518,454
Equity One ABS, Inc. 1998-1 A2 (STEP)
7.48%		11/25/29			71,396		66,381
First Franklin Mortgage Loan Asset Backed
Certificates 2005-FFH2 M1
0.67%		04/25/35	^3,4		4,529,074		4,299,624
First Franklin Mortgage Loan Asset Backed
Certificates 2007-FF1 A2C
0.33%		01/25/38	³		118,700,000		52,348,029
First Horizon Alternative Mortgage Securities
2004-AA3 A1
2.33%		09/25/34	³		112,472		93,175
First Horizon Alternative Mortgage Securities
2004-AA4 A1
2.36%		10/25/34	³		2,953,543		2,642,292
First Horizon Alternative Mortgage Securities
2007-FA3 A6 (IO)
5.21%		06/25/37	³		8,449,558		1,131,976
First Horizon Asset Securities, Inc.
2004-AR5 2A1
2.87%		10/25/34	³		17,259		16,799
First Horizon Asset Securities, Inc.
2005-AR6 2A1B
2.73%		01/25/36	³		26,990,000		18,843,206
Fremont Home Loan Trust 2005-C M1
0.67%		07/25/35	³		12,900,000		11,470,667
Fremont Home Loan Trust 2006-3 2A4
0.43%		02/25/37	³		12,106,000		5,143,388
Fremont Home Loan Trust 2006-C 2A2
0.34%		10/25/36	³		48,261,690		20,020,083
Fremont Home Loan Trust 2006-E 2A4
0.41%		01/25/37	³		9,500,000		3,478,439
GMAC Mortgage Corp Loan Trust
2004-AR1 22A
2.96%		06/25/34	³		18,392		15,777
GMAC Mortgage Corp. Loan Trust
2000-HE2 A1
0.63%		06/25/30	³		216,237		128,366
Green Tree 2008-MH1 A2
8.97%		04/25/38	^3,4		35,000,000		39,082,701
GSAA Trust 2006-16 A1
0.25%		10/25/36	³		10,713,192		5,047,295
GSAA Trust 2006-19 A1
0.28%		12/25/36	³		8,755,649		3,679,693


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
GSAA Trust 2007-4 A1
0.29%		03/25/37	³	$	6,135,558	$	2,750,024
GSAMP Trust 2006-FM1 A2C
0.35%		04/25/36	³		27,762,501		17,415,431
GSAMP Trust 2007-NC1 A2B
0.29%		12/25/46	³		68,707,000		25,601,080
GSAMP Trust 2007-NC1 A2C
0.34%		12/25/46	³		10,000,000		3,099,418
GSR Mortgage Loan Trust 2007-AR2 2A1
2.88%		05/25/47	³		9,490,749		7,034,730
Harborview Mortgage Loan Trust
2004-1 2A
2.73%		04/19/34	³		35,712		34,629
Harborview Mortgage Loan Trust
2005-4 2A
2.85%		07/19/35	³		1,204,039		788,217
Harborview Mortgage Loan Trust
2006-3 2A1A
5.77%		06/19/36	³		264,948		149,659
Harborview Mortgage Loan Trust
2007-7 2A1A
1.19%		11/25/47	³		2,021,021		1,399,018
Home Equity Asset Trust 2007-1 2A1
0.25%		05/25/37	³		37,747		36,899
HSBC Home Equity Loan Trust 2006-1 A1
0.35%		01/20/36	³		23,073,048		20,912,984
HSBC Home Equity Loan Trust 2007-3 A4
1.69%		11/20/36	³		9,985,000		8,446,576
HSBC Home Equity Loan Trust 2007-3 APT
1.39%		11/20/36	³		37,956,185		33,902,578
IndyMac Index Mortgage Loan Trust
2004-AR4 1A
2.70%		08/25/34	³		609,241		455,445
IndyMac Index Mortgage Loan Trust
2004-AR5 2A1B
0.99%		08/25/34	³		53,318		35,774
IndyMac Index Mortgage Loan Trust
2004-AR6 6A1
5.04%		10/25/34	³		473,743		454,394
IndyMac Index Mortgage Loan Trust
2004-AR7 A2
1.05%		09/25/34	³		171,351		113,579
IndyMac Index Mortgage Loan Trust
2004-AR8 2A2A
0.59%		11/25/34	³		97,896		65,817
IndyMac Index Mortgage Loan Trust
2005-AR18 2A1A
0.50%		10/25/36	³		379,019		232,668
IndyMac Index Mortgage Loan Trust
2006-AR19 1A2
4.04%		08/25/36	³		30,367,655		14,203,545


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
IndyMac Index Mortgage Loan Trust
2006-AR41 A3
0.37%		02/25/37	³	$	23,009,805	$	10,616,483
IndyMac Index Mortgage Loan Trust
2006-AR7 1A1
3.09%		05/25/36	³		10,121,736		5,408,825
IndyMac Index Mortgage Loan Trust
2006-AR8 A3A
0.42%		07/25/46	³		23,842,326		14,129,978
IndyMac Index Mortgage Loan Trust
2007-AR5 1A1
4.97%		05/25/37	³		175,379		90,298
IndyMac Index Mortgage Loan Trust
2007-AR5 3A1
4.99%		05/25/37	³		11,898,541		6,449,991
IndyMac Manufactured Housing Contract
1997-1 A3
6.61%		02/25/28			482,494		474,266
IndyMac Residential Asset Backed Trust
2007-A 2A4A
0.51%		04/25/47	³		10,646,000		4,201,939
JPMorgan Alternative Loan Trust
2006-A2 2A1
2.77%		05/25/36	³		2,027,050		1,148,386
JPMorgan Alternative Loan Trust
2006-A2 5A1
5.84%		05/25/36	³		27,080,949		17,155,510
JPMorgan Alternative Loan Trust
2006-A6 2A5
6.05%		11/25/36	³		610,000		396,542
JPMorgan Alternative Loan Trust
2007-A2 12A2
0.29%		06/25/37	³		4,606,817		4,249,365
JPMorgan Mortgage Acquisition Corp.
2006-CH2 AV4
0.33%		10/25/36	³		16,000,000		7,962,776
JPMorgan Mortgage Acquisition Corp.
2006-FRE1 A3
0.38%		05/25/35	³		10,570,014		9,102,458
JPMorgan Mortgage Acquisition Corp.
2007-CH1 AF6 (STEP)
5.50%		10/25/36			634,037		565,226
JPMorgan Mortgage Acquisition Corp.
2007-CH3 A4
0.40%		03/25/37	³		1,310,000		557,190
JPMorgan Mortgage Acquisition Corp.
2007-CH5 A3
0.30%		05/25/37	³		300,000		221,338
JPMorgan Mortgage Acquisition Corp.
2007-HE1 AF2 (STEP)
5.76%		03/25/47			2,480,000		1,367,538
JPMorgan Mortgage Trust 2005-S2 4A3
5.50%		09/25/20			23,160,352		22,791,051


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
JPMorgan Mortgage Trust 2003-A2 2A3
4.68%		11/25/33	³	$	995,000	$	1,004,837
JPMorgan Mortgage Trust 2005-A5 3A2
5.37%		08/25/35	³		111,505		110,392
JPMorgan Mortgage Trust 2005-A5 TA1
5.43%		08/25/35	³		1,492,902		1,456,770
JPMorgan Mortgage Trust 2006-A2 2A2
5.66%		04/25/36	³		2,325,000		1,880,252
JPMorgan Mortgage Trust 2006-A2 2A4
5.66%		04/25/36	³		17,325,000		13,784,628
JPMorgan Mortgage Trust 2006-A3 2A1
2.86%		05/25/36	³		4,784,410		3,388,042
JPMorgan Mortgage Trust 2006-A3 3A3
5.68%		05/25/36	³		3,683,693		2,968,160
JPMorgan Mortgage Trust 2006-A3 3A4
5.68%		05/25/36	³		21,641,694		18,880,727
JPMorgan Mortgage Trust 2007-A1 5A2
2.97%		07/25/35	³		11,622,005		10,939,101
Lehman ABS Manufactured Housing Contract
Trust 2001-B A6
6.47%		08/15/28	³		16,587,386		17,839,342
Lehman XS Trust 2006-13 1A2
0.36%		09/25/36	³		75,173,029		45,863,471
Lehman XS Trust 2006-19 A2
0.36%		12/25/36	³		54,446,076		31,350,976
Lehman XS Trust 2006-9 A1B
0.35%		05/25/46	³		43,881,843		25,294,912
Lehman XS Trust 2006-GP1 A4A
0.52%		05/25/46	³		31,131,781		8,660,659
Lehman XS Trust 2007-15N 2A1
0.44%		08/25/37	³		54,248,586		36,051,603
Lehman XS Trust 2007-16N 2A2
1.04%		09/25/47	³		432,639		289,515
MASTR Adjustable Rate Mortgages Trust
2003-6 4A2
5.17%		01/25/34	³		274,104		264,224
MASTR Adjustable Rate Mortgages Trust
2004-13 3A7
2.84%		11/21/34	³		60,000		57,569
MASTR Adjustable Rate Mortgages Trust
2004-13 3A7A
2.84%		11/21/34	³		440,000		412,099
MASTR Adjustable Rate Mortgages Trust
2004-5 3A1
2.75%		06/25/34	³		2,145		1,717
MASTR Adjustable Rate Mortgages Trust
2007-3 22A5
0.53%		05/25/47	³		735,000		106,467


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
MASTR Asset Backed Securities Trust
2007-HE1 A3
0.40%		05/25/37	³	$	441,000	$	183,745
MASTR Asset Backed Securities Trust
2007-HE1 A4
0.47%		05/25/37	³		19,985,500		7,679,548
MASTR Asset Securitization Trust
2002-8 1A1
5.50%		12/25/17			48,616		50,247
MASTR Seasoned Securities Trust
2004-1 4A1
2.93%		10/25/32	³		66,760		60,727
MASTR Seasoned Securities Trust
2004-2 A2
6.50%		08/25/32			3,001,517		3,126,971
Merrill Lynch First Franklin Mortgage Loan
Trust 2007-1 A2C
0.44%		04/25/37	³		51,972,000		21,620,404
Merrill Lynch First Franklin Mortgage Loan
Trust 2007-2 A2C
0.43%		05/25/37	³		43,849,000		18,573,884
Merrill Lynch First Franklin Mortgage Loan
Trust 2007-3 A2C
0.37%		06/25/37	³		18,116,200		7,901,556
Merrill Lynch Mortgage Investors, Inc.
2005-A10 A
0.40%		02/25/36	³		40,034		27,741
Mid-State Trust 11 A1
4.86%		07/15/38			465,538		455,370
Mid-State Trust 2004-1 A
6.01%		08/15/37			702,905		720,259
Mid-State Trust 2005-1 A
5.75%		01/15/40			30,731,648		32,267,515
Mid-State Trust 2006-1 A
5.79%		10/15/40	⁴		20,857,880		21,811,640
Mid-State Trust 6 A1
7.34%		07/01/35			66,444		69,458
Morgan Stanley ABS Capital I 2005-HE3 M1
0.68%		07/25/35	³		1,969,904		1,947,973
Morgan Stanley ABS Capital I 2006-HE5 A2C
0.33%		08/25/36	³		9,015,000		4,650,663
Morgan Stanley ABS Capital I 2006-HE5 A2D
0.44%		08/25/36	³		48,700,000		20,982,488
Morgan Stanley ABS Capital I 2006-NC5 A2D
0.42%		10/25/36	³		18,500,000		6,201,061
Morgan Stanley ABS Capital I 2007-HE2 A2B
0.28%		01/25/37	³		110,000		53,529
Morgan Stanley Home Equity Loan Trust
2006-3 A4
0.45%		04/25/36	³		10,000,000		4,228,875


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Morgan Stanley Mortgage Loan Trust
2006-7 5A2
5.96%		06/25/36	³	$	288,318	$	157,160
Morgan Stanley Mortgage Loan Trust
2007-10XS A18
6.00%		07/25/47	³		19,072,747		14,643,628
Morgan Stanley Mortgage Loan Trust
2007-2AX 2A1
0.28%		12/25/36	³		10,286,552		4,037,688
Morgan Stanley Mortgage Loan Trust
2007-7AX 2A1
0.31%		04/25/37	³		10,028,250		4,243,690
Nationstar Home Equity Loan Trust
2007-C 2AV4
0.44%		06/25/37	³		7,760,000		3,289,937
New Century Home Equity Loan Trust
2005-2 A2C
0.49%		06/25/35	³		6,257,656		6,090,780
Nomura Asset Acceptance Corp.
2006-AR4 A1A
0.36%		12/25/36	³		850,814		379,127
Novastar Home Equity Loan 2005-1 M4
0.87%		06/25/35	³		20,000,000		14,549,110
Oakwood Mortgage Investors, Inc. 1998-A A4
6.20%		05/15/28			8,956		9,043
Oakwood Mortgage Investors, Inc. 1998-B A4
6.35%		03/15/17			38,224		38,368
Option One Mortgage Loan Trust 2007-1 2A3
0.33%		01/25/37	³		39,728,000		14,690,596
Option One Mortgage Loan Trust 2007-1 2A4
0.41%		01/25/37	³		6,000,000		2,101,460
Option One Mortgage Loan Trust 2007-6 2A4
0.44%		07/25/37	³		100,000		36,133
Popular ABS Mortgage Pass-Through Trust
2005-3 AF6 (STEP)
4.76%		07/25/35			4,171,580		4,131,738
Popular ABS Mortgage Pass-Through Trust
2007-A A3
0.50%		06/25/47	³		22,639,500		11,285,961
Residential Accredit Loans, Inc.
2003-QS3 A4
5.50%		02/25/18			121,668		124,358
Residential Accredit Loans, Inc.
2007-QO4 A1
0.39%		05/25/47	³		23,609,551		14,123,410
Residential Asset Mortgage Products, Inc.
2003-RS10 AI6 (STEP)
5.86%		11/25/33			488,468		407,479
Residential Asset Mortgage Products, Inc.
2003-RS11 AI6A (STEP)
5.98%		12/25/33			340,598		321,522


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Residential Asset Mortgage Products, Inc.
2004-RS12 MII2
0.99%		12/25/34	³	$	2,402,028	$	2,180,749
Residential Asset Mortgage Products, Inc.
2004-SL1 A8
6.50%		11/25/31			140,378		142,670
Residential Asset Mortgage Products, Inc.
2004-SL3 A2
6.50%		12/25/31			137,990		138,245
Residential Asset Securities Corp.
2005-EMX2 M3
0.71%		07/25/35	³		6,839,000		3,449,125
Residential Asset Securitization Trust
2004-IP2 2A1
2.73%		12/25/34	³		47,122		44,665
Residential Asset Securitization Trust
2006-A7CB 1A3
6.25%		07/25/36			3,256,723		2,068,511
Residential Funding Mortgage Securities I
2006-SA3 4A1
6.01%		09/25/36	³		2,196,215		1,767,999
Residential Funding Mortgage Securities II,
Inc. 1999-HI6 AI7 (STEP)
8.60%		09/25/29			320,402		302,930
Residential Funding Mortgage Securities II,
Inc. 2000-HI1 AI7 (STEP)
8.79%		02/25/25			239,519		240,119
Resmae Mortgage Loan Trust 2006-1 A1B
0.46%		02/25/36	^3,4		1,949,769		53,476
Saxon Asset Securities Trust 2005-2 M1
0.61%		10/25/35	³		32,400,000		28,390,160
Saxon Asset Securities Trust 2007-1 A2C
0.34%		01/25/47	³		8,135,000		4,279,698
Securitized Asset Backed Receivables LLC
Trust 2005-FR3 M1
0.66%		04/25/35	³		3,499,713		3,236,144
Securitized Asset Backed Receivables LLC
Trust 2007-BR2 A2
0.42%		02/25/37	³		48,632,245		20,102,343
Securitized Asset Backed Receivables LLC
Trust 2007-BR3 A2B
0.41%		04/25/37	³		27,850,000		10,139,823
Securitized Asset Backed Receivables LLC
Trust 2007-NC1 A2B
0.34%		12/25/36	³		38,713,882		13,991,371
Securitized Asset Backed Receivables LLC
Trust 2007-NC2 A2B
0.33%		01/25/37	³		160,000		63,229
SG Mortgage Securities Trust
2006-FRE1 A1B
0.46%		02/25/36	³		2,833,941		1,521,296


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
SG Mortgage Securities Trust
2006-FRE1 A2B
0.37%		02/25/36	³	$	12,842,479	$	5,847,612
SG Mortgage Securities Trust
2006-OPT2 A3C
0.34%		10/25/36	³		12,348,460		4,311,234
SG Mortgage Securities Trust
2007-NC1 A2
0.43%		12/25/36	^3,4		16,268,011		8,158,432
Soundview Home Equity Loan Trust
2006-WF2 A2C
0.33%		12/25/36	³		23,720,000		20,790,049
Soundview Home Equity Loan Trust
2007-NS1 A4
0.49%		01/25/37	³		12,405,000		5,788,857
Soundview Home Equity Loan Trust
2007-OPT1 2A4
0.47%		06/25/37	³		29,546,000		9,558,604
Soundview Home Equity Loan Trust
2007-OPT2 2A3
0.37%		07/25/37	³		17,450,000		6,604,651
Structured Adjustable Rate Mortgage Loan
Trust 2007-7 1A1
0.49%		08/25/37	³		29,471,586		18,118,987
Structured Asset Mortgage Investments, Inc.
2005-AR7 1A1
2.64%		12/27/35	³		3,360,135		1,827,461
Structured Asset Mortgage Investments, Inc.
2007-AR1 1A1
0.35%		01/25/37	³		59,423,848		31,693,828
Structured Asset Mortgage Investments, Inc.
2007-AR6 A1
1.78%		08/25/47	³		137,659,382		73,887,572
Structured Asset Securities Corp.
1997-2 2A4
7.25%		03/28/30			5,340		5,434
Structured Asset Securities Corp.
2001-15A 4A1
3.45%		10/25/31	³		12,887		12,870
Structured Asset Securities Corp.
2003-34A 5A4
2.55%		11/25/33	³		6,124,072		5,932,144
Structured Asset Securities Corp.
2003-7H A12
6.50%		03/25/33			13,568		14,213
Structured Asset Securities Corp.
2005-4XS 3A3 (STEP)
4.47%		03/25/35			7,441,635		7,525,686
Structured Asset Securities Corp.
2006-WF3 A3
0.34%		09/25/36	³		220,000		187,771


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Structured Asset Securities Corp.
2007-BC3 2A1
0.32%		05/25/47	³	$	29,254,387	$	27,654,772
Structured Asset Securities Corp.
2007-BC4 A3
0.44%		11/25/37	³		11,917,736		11,358,275
Structured Asset Securities Corp.
2007-EQ1 A4
0.44%		03/25/37	³		26,325,800		9,771,768
Vanderbilt Acquisition Loan Trust 2002-1 A4
6.57%		05/07/27	³		4,230,095		4,533,598
Washington Mutual Alternative Mortgage
Pass-Through Certificates 2005-3 2A3
0.74%		05/25/35	³		12,528,544		9,143,056
Washington Mutual Alternative Mortgage
Pass-Through Certificates 2005-4 CB13
0.69%		06/25/35	³		18,984,707		12,594,517
Washington Mutual Alternative Mortgage
Pass-Through Certificates 2006-AR2 A1A
1.22%		04/25/46	³		14,264,087		7,729,631
Washington Mutual Alternative Mortgage
Pass-Through Certificates 2006-AR3 A1A
1.25%		05/25/46	³		36,103,942		19,361,750
Washington Mutual Alternative Mortgage
Pass-Through Certificates 2006-AR7 A1A
1.20%		09/25/46	³		14,972,073		6,935,865
Washington Mutual Alternative Mortgage
Pass-Through Certificates 2006-AR9 2A
1.12%		11/25/46	³		68,766,883		30,362,594
Washington Mutual Alternative Mortgage
Pass-Through Certificates 2007-0A1 2A
1.00%		12/25/46	³		13,607,560		5,895,735
Washington Mutual Alternative Mortgage
Pass-Through Certificates 2007-0A2 2A
0.98%		01/25/47	³		35,058,329		15,735,342
Washington Mutual Alternative Mortgage
Pass-Through Certificates 2007-1 2A1
6.00%		01/25/22			1,736,572		1,572,996
Washington Mutual Alternative Mortgage
Pass-Through Certificates 2007-OA3 2A
1.03%		02/25/47	³		60,220,612		27,946,284
Washington Mutual Alternative Mortgage
Pass-Through Certificates 2007-OA3 4A1
1.05%		04/25/47	³		24,556,260		14,328,787
Washington Mutual Asset-Backed Certificates
2006-HE2 A4
0.43%		05/25/36	³		11,165,000		4,300,350
Washington Mutual Asset-Backed Certificates
2007-HE1 2A3
0.34%		01/25/37	³		62,700,000		22,717,088
Washington Mutual Asset-Backed Certificates
2007-HE1 2A4
0.42%		01/25/37	³		21,687,000		8,064,268


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Washington Mutual Mortgage Pass-Through
Certificates 2002-AR18 A
2.61%		01/25/33	³	$	26,205	$	24,572
Washington Mutual Mortgage Pass-Through
Certificates 2003-AR6 A1
2.57%		06/25/33	³		75,977		76,292
Washington Mutual Mortgage Pass-Through
Certificates 2004-AR3 A2
2.58%		06/25/34	³		100,626		98,217
Washington Mutual Mortgage Pass-Through
Certificates 2004-AR6 A
0.61%		05/25/44	³		211,280		164,842
Washington Mutual Mortgage Pass-Through
Certificates 2005-AR12 1A6
2.72%		10/25/35	³		310,000		241,818
Washington Mutual Mortgage Pass-Through
Certificates 2005-AR16 1A4A
2.59%		12/25/35	³		380,000		283,427
Washington Mutual Mortgage Pass-Through
Certificates 2006-AR7 3A1B
2.86%		07/25/46	³		3,297,596		1,325,886
Washington Mutual Mortgage Pass-Through
Certificates 2007-HY5 2A5
5.86%		05/25/37	³		40,561,749		27,048,639
Washington Mutual Mortgage Pass-Through
Certificates 2007-OA1 A1A
0.98%		02/25/47	³		446,894		264,081
Washington Mutual Mortgage Pass-Through
Certificates 2007-OA3 2A
1.05%		04/25/47	³		231,802		148,597
Washington Mutual Mortgage Pass-Through
Certificates 2007-OA4 1A
1.05%		05/25/47	³		629,652		403,936
Washington Mutual Mortgage Pass-Through
Certificates 2007-OA6 1A
1.09%		07/25/47	³		458,639		294,987
Wells Fargo Home Equity Trust 2004-2 AI6
5.00%		05/25/34	³		13,085,000		13,400,074
Wells Fargo Home Equity Trust 2005-3 AII3
0.53%		11/25/35	³		25,950,940		25,369,302
Wells Fargo Home Equity Trust 2006-1 A3
0.34%		05/25/36	³		11,673,005		11,470,117
Wells Fargo Home Equity Trust 2007-2 A1
0.28%		04/25/37	³		7,440,891		7,205,249
Wells Fargo Mortgage Backed Securities
Trust 2003-17 2A10
5.50%		01/25/34			20,825,806		21,834,827
Wells Fargo Mortgage Backed Securities
Trust 2004-L A8
4.76%		07/25/34	³		1,740,000		1,785,280

							2,373,907,928


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed — 36.10%
Fannie Mae (TBA)
4.00%		07/25/41		$	308,660,000	$	308,756,456
6.00%		07/25/41			167,070,000		183,568,163
Fannie Mae 1988-28 H
9.05%		12/25/18			2,284		2,599
Fannie Mae 1989-27 Y
6.90%		06/25/19			1,034		1,120
Fannie Mae 1991-65 Z
6.50%		06/25/21			23,174		25,678
Fannie Mae 1992-123 Z
7.50%		07/25/22			3,430		3,990
Fannie Mae 1993-132 D (PO)
1.06%		10/25/22	⁹		175,565		156,622
Fannie Mae 1993-199 SD (IO)
0.88%		10/25/23	³		511,084		9,510
Fannie Mae 1993-29 PK
7.00%		03/25/23			80,084		88,324
Fannie Mae 1994-55 H
7.00%		03/25/24			84,923		95,579
Fannie Mae 1997-34 SA
7.53%		10/25/23	³		19,143		23,744
Fannie Mae 1999-11 Z
5.50%		03/25/29			342,389		374,645
Fannie Mae 2001-52 YZ
6.50%		10/25/31			254,752		292,900
Fannie Mae 2003-106 WG
4.50%		11/25/23			32,004,000		33,415,376
Fannie Mae 2003-W2 2A9
5.90%		07/25/42			83,524		90,800
Fannie Mae 2005-104 NI
6.51%		03/25/35	³		95,828,078		15,095,107
Fannie Mae 2005-117 LC
5.50%		11/25/35			87,526,445		95,179,083
Fannie Mae 2005-92 US (IO)
5.91%		10/25/25	³		39,185,865		4,953,223
Fannie Mae 2006-10 YD
6.50%		03/25/36			1,587		1,586
Fannie Mae 2006-18 PD
5.50%		08/25/34			1,165,000		1,286,745
Fannie Mae 2006-4 WE
4.50%		02/25/36			400,000		415,540
Fannie Mae 2006-80 PG
6.00%		06/25/35			23,300,000		25,906,688
Fannie Mae 2007-34 SB (IO)
5.92%		04/25/37	³		42,704,091		5,422,625
Fannie Mae 2008-24 NA
6.75%		06/25/37			16,767,024		18,708,477
Fannie Mae 2010-17 SB
6.16%		03/25/40	³		48,850,788		7,336,499


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae 2010-43 KS
6.23%		05/25/40	³	$	94,162,072	$	14,076,825
Fannie Mae 2010-99 NI (IO)
6.00%		09/25/40			86,066,526		17,660,748
Fannie Mae 3210 PD
6.00%		08/15/35			360,000		402,952
Fannie Mae G92-36 Z
7.00%		07/25/22			669		742
Fannie Mae G93-21 Z
7.20%		05/25/23			12,668		14,265
Fannie Mae Pool 190375
5.50%		11/01/36			13,027,523		14,129,215
Fannie Mae Pool 233672
2.80%		09/01/23	³		19,396		20,442
Fannie Mae Pool 254232
6.50%		03/01/22			93,367		105,818
Fannie Mae Pool 254868
5.00%		09/01/33			33,888,651		36,223,962
Fannie Mae Pool 308798
2.50%		04/01/25	³		5,592		5,895
Fannie Mae Pool 312155
2.30%		03/01/25	³		17,251		17,303
Fannie Mae Pool 313182
7.50%		10/01/26			10,067		11,768
Fannie Mae Pool 384569
6.20%		01/01/12			100,000		100,009
Fannie Mae Pool 384762
6.01%		02/01/12			153,962		154,610
Fannie Mae Pool 467243
4.55%		01/01/21			2,746,226		2,916,671
Fannie Mae Pool 545191
7.00%		09/01/31			14,749		16,810
Fannie Mae Pool 545269
5.72%		11/01/11			71,067		71,076
Fannie Mae Pool 545322
5.91%		11/01/11			54,244		54,258
Fannie Mae Pool 545831
6.50%		08/01/17			58,580		64,159
Fannie Mae Pool 555284
7.50%		10/01/17			8,306		9,084
Fannie Mae Pool 613142
7.00%		11/01/31			61,042		69,561
Fannie Mae Pool 625666
7.00%		01/01/32			42,803		49,581
Fannie Mae Pool 633698
7.50%		02/01/31			50,121		59,296
Fannie Mae Pool 637093
8.50%		03/01/32			19,224		22,803


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool 642322
2.42%		05/01/32	³	$	1,228	$	1,280
Fannie Mae Pool 646884
1.92%		05/01/32	³		8,460		8,510
Fannie Mae Pool 655928
7.00%		08/01/32			548,988		635,855
Fannie Mae Pool 725027
5.00%		11/01/33			38,630,447		41,247,057
Fannie Mae Pool 725232
5.00%		03/01/34			89,294		95,447
Fannie Mae Pool 725257
5.50%		02/01/34			7,783,097		8,476,554
Fannie Mae Pool 730957
5.00%		08/01/33			11,680,452		12,471,621
Fannie Mae Pool 734922
4.50%		09/01/33			13,568,259		14,172,333
Fannie Mae Pool 735207
7.00%		04/01/34			71,611		81,951
Fannie Mae Pool 735224
5.50%		02/01/35			38,557,310		41,992,681
Fannie Mae Pool 735646
4.50%		07/01/20			11,231,413		12,018,250
Fannie Mae Pool 735651
4.50%		06/01/35			42,248,094		44,030,007
Fannie Mae Pool 735686
6.50%		12/01/22			301,782		342,024
Fannie Mae Pool 740297
5.50%		10/01/33			26,076		28,399
Fannie Mae Pool 741862
5.50%		09/01/33			30,694		33,429
Fannie Mae Pool 745592
5.00%		01/01/21			52,898		57,189
Fannie Mae Pool 770284
5.00%		04/01/34			5,098,163		5,442,687
Fannie Mae Pool 770332
5.00%		04/01/34			19,497,208		20,814,792
Fannie Mae Pool 817611
5.27%		11/01/35	³		3,567,846		3,827,475
Fannie Mae Pool 839109
5.23%		11/01/35	³		17,413		18,681
Fannie Mae Pool 841031
5.28%		11/01/35	³		376,295		404,330
Fannie Mae Pool 844773
5.16%		12/01/35	³		62,243		66,789
Fannie Mae Pool 888412
7.00%		04/01/37			5,415,409		6,176,623
Fannie Mae Pool 888430
5.00%		11/01/33			30,996,600		33,096,136


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool 889117
5.00%		10/01/35		$	153,188,002	$	163,564,100
Fannie Mae Pool 889125
5.00%		12/01/21			32,427,914		35,015,814
Fannie Mae Pool 889184
5.50%		09/01/36			34,045,166		37,078,514
Fannie Mae Pool 895606
5.71%		06/01/36	³		143,701		155,691
Fannie Mae Pool 908408
5.52%		04/01/37	³		13,115,958		14,109,563
Fannie Mae Pool 918445
5.81%		05/01/37	³		419,153		454,126
Fannie Mae Pool 933033
6.50%		10/01/37			12,267,662		13,715,341
Fannie Mae Pool AB1613
4.00%		10/01/40			115,187,456		115,623,912
Fannie Mae Pool AB1803
4.00%		11/01/40			111,064,214		111,641,226
Fannie Mae Pool AB1960
4.00%		12/01/40			67,643,950		67,752,288
Fannie Mae Pool AB2051
3.50%		01/01/26			161,745,167		165,434,978
Fannie Mae Pool AB2127
3.50%		01/01/26			98,501,877		100,533,479
Fannie Mae Pool AD0791
4.76%		02/01/20			19,477,718		20,915,100
Fannie Mae Pool AD0849
4.25%		02/01/20			30,360,421		31,684,446
Fannie Mae Pool AE0482
5.50%		01/01/38			80,293,040		87,337,502
Fannie Mae Pool AE0600
3.98%		11/01/20			42,569,477		43,716,971
Fannie Mae Pool AE0605
4.67%		07/01/20			33,752,203		36,045,957
Fannie Mae Pool AE0918
3.67%		10/01/20			5,838,511		5,828,747
Fannie Mae Pool AH3429
3.50%		01/01/26			81,208,265		82,959,318
Fannie Mae Pool AH3780
4.00%		02/01/41			43,291,036		43,509,184
Fannie Mae Pool AH4793
4.00%		02/01/41			123,888,360		124,086,780
Fannie Mae Pool AH4815
3.50%		02/01/26			29,107		29,702
Fannie Mae Pool AI0209
4.50%		05/01/41			73,959,103		76,923,246
Fannie Mae Pool AI0290
4.45%		04/01/21			34,075,425		35,642,071


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool FN0001
3.76%		12/01/20		$	21,824,214	$	21,981,238
Freddie Mac 1004 H
7.95%		10/15/20			636		722
Freddie Mac 1073 G
7.00%		05/15/21			3,077		3,528
Freddie Mac 1107 ZC
6.50%		07/15/21			11,913		13,905
Freddie Mac 165 K
6.50%		09/15/21			442		487
Freddie Mac 1980 Z
7.00%		07/15/27			349,426		402,522
Freddie Mac 1983 Z
6.50%		12/15/23			202,591		227,876
Freddie Mac 2043 CJ
6.50%		04/15/28			49,681		57,797
Freddie Mac 2098 TZ
6.00%		01/15/28			952,516		1,033,801
Freddie Mac 2209 TC
8.00%		01/15/30			223,796		252,691
Freddie Mac 2433 SA
20.44%		02/15/32	³		12,815		18,022
Freddie Mac 2481 AW
6.50%		08/15/32			246,855		280,009
Freddie Mac 2624 QE
5.00%		09/15/28			19,576		19,577
Freddie Mac 2627 NI (IO)
5.00%		04/15/29			328,223		1,818
Freddie Mac 2642 BW (IO)
5.00%		06/15/23			64,529		8,399
Freddie Mac 2929 PE
5.00%		05/15/33			1,585,000		1,709,947
Freddie Mac 2971 AB
5.00%		05/15/20			9,109		9,624
Freddie Mac 3345 FP
0.39%		11/15/36	³		46,107,593		46,148,219
Freddie Mac 3345 PF
0.37%		05/15/36	³		44,040,458		44,031,839
Freddie Mac 3707 EI (IO)
5.00%		12/15/38			80,870,243		13,911,469
Freddie Mac Gold (TBA)
3.50%		07/15/26			435,115,000		443,205,528
Freddie Mac Gold A14189
4.00%		10/01/33			185,894		188,158
Freddie Mac Gold A24156
6.50%		10/01/31			1,491,171		1,690,081
Freddie Mac Gold A25162
5.50%		05/01/34			14,788,413		16,066,225


Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Gold A39012
5.50%		06/01/35	$	78,615	$	85,322
Freddie Mac Gold A54856
5.00%		01/01/34		20,690,772		22,129,218
Freddie Mac Gold A61164
5.00%		04/01/36		239,971		255,907
Freddie Mac Gold C01492
5.00%		02/01/33		6,039,729		6,447,411
Freddie Mac Gold C46104
6.50%		09/01/29		82,546		93,557
Freddie Mac Gold C55789
7.50%		10/01/27		34,740		40,485
Freddie Mac Gold C90573
6.50%		08/01/22		318,624		359,383
Freddie Mac Gold E02402
6.00%		10/01/22		102,243		112,573
Freddie Mac Gold G00992
7.00%		11/01/28		4,924		5,707
Freddie Mac Gold G01515
5.00%		02/01/33		6,418,204		6,851,433
Freddie Mac Gold G01601
4.00%		09/01/33		882,838		893,589
Freddie Mac Gold G01611
4.00%		09/01/33		232,952		235,789
Freddie Mac Gold G01673
5.50%		04/01/34		2,263,222		2,478,662
Freddie Mac Gold G02579
5.00%		12/01/34		10,764,601		11,501,195
Freddie Mac Gold G02884
6.00%		04/01/37		26,849,228		29,645,323
Freddie Mac Gold G02955
5.50%		03/01/37		20,191,725		22,040,532
Freddie Mac Gold G03357
5.50%		08/01/37		8,933,123		9,749,667
Freddie Mac Gold G03676
5.50%		12/01/37		20,870,867		22,781,858
Freddie Mac Gold G03783
5.50%		01/01/38		10,121,361		11,048,099
Freddie Mac Gold G03985
6.00%		03/01/38		123,567		136,435
Freddie Mac Gold G04053
5.50%		03/01/38		107,104		116,830
Freddie Mac Gold G04079
5.50%		03/01/38		42,001,518		45,847,287
Freddie Mac Gold G04438
5.50%		05/01/38		39,943,694		43,571,240
Freddie Mac Gold G04703
5.50%		08/01/38		53,064,468		57,483,746


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Gold G04706
5.50%		09/01/38		$	790,772	$	863,795
Freddie Mac Gold G05866
4.50%		02/01/40			62,940,973		65,546,491
Freddie Mac Gold G06242
4.50%		09/01/40			143,760,581		149,696,326
Freddie Mac Gold G06257
4.50%		02/01/41			125,087,060		130,265,191
Freddie Mac Gold G06354
4.00%		04/01/41			149,091,965		149,200,678
Freddie Mac Gold G06498
4.00%		04/01/41			71,780,150		71,832,550
Freddie Mac Gold G06499
4.00%		03/01/41			34,662,143		34,748,449
Freddie Mac Gold G06500
4.00%		04/01/41			101,366,203		101,555,243
Freddie Mac Gold G11707
6.00%		03/01/20			3,445,477		3,772,046
Freddie Mac Gold G12393
5.50%		10/01/21			27,021,691		29,312,201
Freddie Mac Gold G12399
6.00%		09/01/21			14,559		15,948
Freddie Mac Gold G12824
6.00%		08/01/22			8,842,939		9,664,364
Freddie Mac Gold G12909
6.00%		11/01/22			23,837,033		26,043,820
Freddie Mac Gold G13032
6.00%		09/01/22			6,189,741		6,755,038
Freddie Mac Gold G13058
4.50%		10/01/20			20,279,597		21,681,309
Freddie Mac Gold H00790
5.50%		05/01/37			288,421		310,777
Freddie Mac Gold H05069
5.50%		05/01/37			22,358,859		23,976,383
Freddie Mac Gold H09082
6.50%		09/01/37			98,674		109,659
Freddie Mac Gold Pool A93991
4.50%		09/01/40			108,478,667		112,957,654
Freddie Mac Multifamily Structured Pass
Through Certificates K013 A2
3.97%		01/25/21	³		22,640,000		22,959,029
Freddie Mac Non Gold Pool 1B1928
2.92%		08/01/34	³		11,024		11,491
Freddie Mac Non Gold Pool 1B3413
5.91%		05/01/37	³		24,785		26,626
Freddie Mac Non Gold Pool 1J0045
5.08%		01/01/36	³		177,996		190,003
Freddie Mac Non Gold Pool 781415
2.48%		04/01/34	³		3,944,411		4,135,575


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Non Gold Pool 781469
2.48%		04/01/34	³	$	3,008,445	$	3,163,125
Freddie Mac Non Gold Pool 781817
2.61%		08/01/34	³		58,865		61,110
Freddie Mac Non Gold Pool 788498
2.69%		02/01/30	³		310,044		325,881
Freddie Mac Non Gold Pool 847288
2.56%		05/01/34	³		4,971,286		5,204,827
Freddie Mac Pool J13884
3.50%		12/01/25			188,789,819		192,605,832
Ginnie Mae 2000-22 SG (IO)
10.61%		05/16/30	³		1,006,537		214,891
Ginnie Mae 2003-28 LI (IO)
5.50%		02/20/32			921,423		48,362
Ginnie Mae 2003-86 ZK
5.00%		10/20/33			22,283,185		23,562,017
Ginnie Mae 2005-78 ZA
5.00%		10/16/35			20,697,556		22,012,476
Ginnie Mae 2007-35 PY
6.56%		06/16/37	³		82,072,771		14,265,068
Ginnie Mae 2009-106 SD (IO)
6.06%		03/20/36	³		80,926,977		11,160,146
Ginnie Mae 2009-106 XI (IO)
6.61%		05/20/37	³		232,231,572		38,554,040
Ginnie Mae 2010-4 SM (IO)
5.61%		01/16/40	³		71,148,385		8,415,950
Ginnie Mae 2010-6 BS (IO)
6.31%		09/16/39	³		42,045,214		5,355,677
Ginnie Mae I (TBA)
4.00%		07/15/41			106,950,000		108,955,313
Ginnie Mae I Pool 782817
4.50%		11/15/39			71,501,850		75,638,346
Ginnie Mae II Pool 2631
7.00%		08/20/28			7,616		8,738
Ginnie Mae II Pool 80968
2.63%		07/20/34	³		48,497		50,063
Ginnie Mae II Pool 81267
1.75%		03/20/35	³		16,497		16,959
Ginnie Mae II Pool 8631
3.38%		05/20/25	³		15,325		15,983
Ginnie Mae II Pool 8644
3.38%		06/20/25	³		25,380		26,469
National Credit Union Administration
Guaranteed Notes 2010-C1 A2
2.90%		10/29/20			53,500,000		53,480,558
National Credit Union Administration
Guaranteed Notes 2010-R1 A1
0.64%		10/07/20	³		55,048,094		55,151,589


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
National Credit Union Administration
Guaranteed Notes 2010-R3 1A
0.75%		12/08/20	³	$	58,641,541	$	58,975,798
National Credit Union Administration
Guaranteed Notes 2010-R3 2A
0.75%		12/08/20	³		49,270,883		49,492,218
National Credit Union Administration
Guaranteed Notes 2011-C1 2A
0.72%		03/09/21	³		8,278,823		8,289,171


							5,032,623,071

Total Mortgage-Backed
(Cost $8,129,474,891)							8,342,160,161

MUNICIPAL BONDS — 1.40%*
California — 0.72%
Bay Area Toll Authority, Build America
Revenue Bonds
6.26%		04/01/49			400,000		431,312
Los Angeles Department of Water & Power,
Build America Revenue Bonds
6.01%		07/01/39			350,000		361,466
6.57%		07/01/45			40,650,000		45,608,487
San Diego County Water Authority, Build
America Bonds
6.14%		05/01/49			200,000		212,740
State of California, Public Improvements,
G.O., Build America Bonds
7.30%		10/01/39			20,460,000		22,705,280
7.60%		11/01/40			6,235,000		7,191,262
State of California, School Improvements,
G.O., Build America Bonds
6.65%		03/01/22			5,215,000		5,862,181
State of California, School Improvements,
G.O., Build America Bonds, Taxable Variable
Purpose
7.55%		04/01/39			7,351,000		8,419,541
State of California, School Improvements,
G.O., Taxable Variable Purpose
5.50%		03/01/16			8,450,000		9,230,106


							100,022,375

Illinois — 0.55%
State of Illinois, Build America Revenue
Bonds
7.35%		07/01/35			8,910,000		9,482,200
State of Illinois, Pension Funding G.O.,
Taxable
4.07%		01/01/14			1,425,000		1,476,186
5.10%		06/01/33			29,200,000		24,870,224


Issues	Maturity Date			Principal Amount		Value
MUNICIPAL BONDS (continued)
Illinois (continued)
5.67%		03/01/18		$	4,140,000	$	4,298,645
5.88%		03/01/19			35,000,000		36,010,450


							76,137,705

New Jersey — 0.12%
New Jersey State Turnpike Authority A, Build
America Bonds, Taxable
7.10%		01/01/41			10,550,000		12,277,668
New Jersey State Turnpike Authority, Build
America Bonds, Taxable
7.41%		01/01/40			3,855,000		4,656,994


							16,934,662

New York — 0.01%
City of New York, Build America Revenue
Bonds
5.82%		10/01/31			220,000		221,179
City of New York, Build America Revenue
Bonds, Taxable
6.65%		12/01/31			250,000		265,333
New York City Municipal Water Finance
Authority, Water & Sewer Revenue, Build
America Bonds
6.49%		06/15/42			400,000		419,056
Port Authority of New York & New Jersey,
Taxable Consolidated Bonds
5.65%		11/01/40			530,000		534,913


							1,440,481

Texas — 0.00%
County of Harris, Flood Control District
Contract B, Refunding Notes, G.O.
5.25%		10/01/20			7,000		7,707
North Texas Tollway Authority, Build America
Revenue Bonds
6.72%		01/01/49			300,000		327,906


							335,613


Total Municipal Bonds
(Cost $178,857,630)							194,870,836

U.S. AGENCY SECURITIES — 1.64%
U.S. Agency Securities — 1.64%
Freddie Mac
0.22%		10/12/12	³		228,905,000		229,066,149


Total U.S. Agency Securities
(Cost $228,905,000)

U.S. TREASURY SECURITIES — 9.04%
U.S. Treasury Bonds — 4.00%
U.S. Treasury Bonds
2.13%		02/15/41	¹⁰		61,440,000		68,679,937


Issues	Maturity Date			Principal Amount		Value
U.S. TREASURY SECURITIES (continued)
U.S. Treasury Bonds (continued)
4.38%		05/15/40		$	6,330,000	$	6,327,063
4.38%		05/15/41			316,330,000		315,885,161
8.00%		11/15/21			66,898,000		95,323,964
U.S. Treasury Notes (Strip Principal)
3.82%		11/15/21	⁹		103,555,000		72,050,048


							558,266,173

U.S. Treasury Notes — 5.04%
U.S. Treasury Notes
1.38%		06/30/16			603,675,000		596,036,096
2.38%		05/31/18			84,650,000		84,200,297
2.63%		11/15/20			23,220,000		22,367,385


							702,603,778


Total U.S. Treasury Securities
(Cost $1,255,681,142)							1,260,869,951


Total Bonds – 104.04%
(Cost $14,040,216,704)							14,504,604,719

SHORT-TERM INVESTMENTS — 4.77%
Commercial Paper — 2.25%
Barclays U.S. Funding LLC
0.22%¹¹		08/05/11			56,000,000		55,990,053
BNP Paribas Finance, Inc.
0.30%¹¹		08/26/11			100,370,000		100,341,475
Deutsche Bank Financial Corp.
0.21%¹¹		07/25/11			99,145,000		99,130,822
National Rural Utilities Cooperative
Finance Corp.
0.13%¹¹		07/15/11			57,510,000		57,507,092


							312,969,442

Money Market Fund — 2.43%
Dreyfus Cash Advantage Fund
0.13%¹²					138,027,000		138,027,000
DWS Money Market Series-Institutional
0.06%¹²					37,820,000		37,820,000
Fidelity Institutional Money Market Funds -
Prime Money Market Portfolio
0.08%¹²					101,310,000		101,310,000
Goldman Sachs Financial Square Funds -
Prime Obligations Fund
0.03%^12,13					61,695,000		61,695,000


							338,852,000

U.S. Treasury Bills — 0.09%
U.S. Treasury Bills
0.04%¹¹		09/08/11	¹⁴		12,814,000		12,813,872


Total Short-Term Investments
(Cost $664,614,529)							664,635,314


	Value
Total Investments – 108.81%
(Cost $14,704,831,233)¹	$	15,169,240,033


Liabilities in Excess of Other
Assets – (8.81)%		(1,228,394,499	)

NET ASSETS – 100.00%	$	13,940,845,534


Issues	Contracts	Premiums (Received)			Value
CALL OPTIONS WRITTEN
U.S. Long Bond (CBT), Call
Strike $122, expires 08/26/11	(1,720)	$	(1,716,736	)	$	(2,741,250	)
U.S. Long Bond (CBT), Call
Strike $124.50, expires
08/26/11	(890)		(888,069	)		(486,719	)


Total Call Options Written		$	(2,604,805	)	$	(3,227,969	)


Contracts		Unrealized Appreciation/ (Depreciation)
FUTURES CONTRACTS: LONG POSITIONS
749	U.S. Treasury Ten Year Note,
	Expiration September 2011	$	680,381
28	U.S. Treasury 30 Year Long Bond,
	Expiration September 2011		(32,762	)


	Net unrealized appreciation	$	647,619


Contracts		Unrealized (Depreciation)
FUTURES CONTRACTS: SHORT POSITIONS
13	Euro Dollar Ninety Day,
	Expiration September 2011	$	(94,608	)
13	Euro Dollar Ninety Day,
	Expiration December 2011		(102,408	)
13	Euro Dollar Ninety Day,
	Expiration March 2012		(107,932	)
13	Euro Dollar Ninety Day,
	Expiration June 2012		(110,370	)


	Net unrealized depreciation	$	(415,318	)


Expiration Date	Notional Amount (000’s)		Appreciation/ (Depreciation)		Value
SWAPS: INTEREST RATE
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 1.38% quarterly.
Counterparty: Barclays Capital, Inc.
06/18/14	$	100,045	$	161,611	$	161,611
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 1.38% quarterly.
Counterparty: CS First Boston
06/18/14		144,895		234,060		234,060


Expiration Date	Notional Amount (000’s)			Appreciation/ (Depreciation)				Value
SWAPS: INTEREST RATE (continued)
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 1.38% quarterly. Counterparty: Morgan Stanley
06/18/14		$	103,215		$	166,731			$	166,731
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 2.67% quarterly. Counterparty: Barclays Capital, Inc.
06/18/17			41,915			(187,246	)			(187,246	)
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 2.66% quarterly. Counterparty: CS First Boston
06/18/17			60,705			(289,168	)			(289,168	)
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 2.67% quarterly. Counterparty: Morgan Stanley
06/18/17			43,240			(193,166	)			(193,166	)
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			(1,891,028	)			(1,891,028	)
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			(2,028,880	)			(2,028,880	)
The Fund pays a fixed rate equal to 4.54% semi-annually and the Fund receives from the counterparty a floating rate based on 3-month USD LIBOR quarterly. Counterparty: Barclays Capital, Inc.
11/15/21			14,788			(3,423,522	)			(3,423,522	)
The Fund pays a fixed rate equal to 4.70% semi-annually and the Fund receives from the counterparty a floating rate based on 3-month USD LIBOR quarterly. Counterparty: Barclays Capital, Inc.
11/15/21			24,457			(6,308,617	)			(6,308,617	)

		$	551,146		$	(13,759,225	)		$	(13,759,225	)


Expiration Date	Premiums Paid		Notional Amount (000’s)^a		Appreciation		Value
SWAPS: CREDIT DEFAULT (PURCHASED) - SINGLE ISSUES
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	$	112,140	$	3,450	$	130,596	$	242,736
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		248,148		5,510		139,525		387,673
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.
09/20/16		258,957		5,750		145,602		404,559
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		15,570		6,875		296,394		311,964


Expiration Date	Premiums Paid		Notional Amount (000’s)^a		Appreciation			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 Toll Brothers, Inc., 5.15%, due 05/15/15. Counterparty: CS First Boston
09/20/16	$	74,587	$	16,500	$	674,126		$	748,713
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		14,446		6,465		278,913			293,359

	$	723,848	$	44,550	$	1,665,156		$	2,389,004


Expiration Date	Premiums Paid		Notional Amount (000’s)^a		Appreciation/ (Depreciation)			Value ^b
SWAPS: CREDIT DEFAULT (PURCHASED) - TRADED INDICES
The Fund pays a fixed rate equal to 0.25% 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-AA 1, due 10/12/52. Counterparty: Citigroup, Inc.
10/12/52	$	185,176	$	1,430	$	154,247		$	339,423
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		927,026		1,630		(748,769	)		178,257
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		14,540,514		25,000		(11,806,514	)		2,734,000
The Fund pays a fixed rate equal to 0.84% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of any issue in the CMBX-NA-AJ 1, due 10/12/52. Counterparty: Bank of America Corp.
10/12/52		11,810,612		20,450		(9,574,200	)		2,236,412
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		6,819,495		28,590		(3,692,893	)		3,126,602
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		1,280,926		15,430		406,499			1,687,425
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		1,995,013		21,425		348,025			2,343,038
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		2,697,523		4,870		(2,164,940	)		532,583
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		771,969		1,325		(627,067	)		144,902
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		465,729		805		(377,694	)		88,035


Expiration Date	Premiums Paid		Notional Amount (000’s)^a		Appreciation/ (Depreciation)			Value ^b
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	$	3,288,077	$	5,745	$	(2,659,804	)	$	628,273
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		22,431		95		(12,042	)		10,389
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		94,863		1,310		48,399			143,262

	$	44,899,354	$	128,105	$	(30,706,753	)	$	14,192,601


Expiration Date	Premiums (Received)			Notional Amount (000’s)^a		Appreciation		Value ^b
SWAPS: CREDIT DEFAULT (WRITTEN) - TRADED INDICES
The Fund receives a fixed rate equal to 1.00% and the Fund will pay to the counterparty at par, including interest accrued in the event of default of the JGB., 2.00%, due 03/21/22. Counterparty: Goldman Sachs Group, Inc.
03/20/16	$	(22,172	)	$	10,000	$	97,172	$	75,000
The Fund receives a fixed rate equal to 1.00% and the Fund will pay to the counterparty at par, including interest accrued in the event of default of the JGB., 2.00%, due 03/21/22. Counterparty: Morgan Stanley
03/20/16		(150,670	)		50,000		525,668		374,998
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		(13,309,149	)		21,689		882,121		(12,427,028	)
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		(6,742,055	)		10,356		808,429		(5,933,626	)
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		(6,541,871	)		9,770		944,111		(5,597,760	)
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		(14,826,787	)		24,425		832,386		(13,994,401	)
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		(14,797,941	)		24,425		803,540		(13,994,401	)


	$	(56,390,645	)	$	150,665	$	4,893,427	$	(51,497,218	)


Expiration Date	Premiums (Received)				Notional Amount (000’s)^a			Appreciation			Value^b
SWAPTION: 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 swaption 11/23/20. Counterparty: Citigroup, Inc.
11/23/20		$	(735,540	)		$	63,960		$	524,472		$	(211,068	)


		$	(735,540	)		$	63,960		$	524,472		$	(211,068	)

^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 $14,708,201,467 and net unrealized appreciation/(depreciation) consists of:


Gross unrealized appreciation	$691,768,340
Gross unrealized depreciation	(230,729,774	)

Net unrealized appreciation	$461,038,566

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

³	Floating rate security. The rate disclosed was in effect at June 30, 2011.

⁴

⁵	Illiquid security as determined under procedures approved by the Fund’s Board of Trustees. The aggregate value of illiquid securities is $11,221,042, which is 0.08% 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
10/05/10	Caesars Entertainment
	Operating Co., Inc. Term
	Loan B1, 6.89%, 01/28/15	$	1,782,585	$	1,801,868	0.01%
06/24/10	Caesars Entertainment
	Operating Co., Inc. Term
	Loan B2, 3.25%, 01/28/15		33,845,963		33,974,887	0.25%
06/27/07	Cengage Learning Acqui-
	sitions, Inc.
	Term Loan, 2.50%,
	07/03/14		1,916,679		1,732,500	0.01%
09/03/10	CIT Group, Inc. Term
	Loan, 6.25%, 08/11/15		9,028,495		9,070,713	0.06%


Date of Purchase	Security	Amortized Cost		Value		% of Total Net Assets
04/15/11	Delta Air Lines, Inc. Term
	Loan, 5.50%,04/20/17	$	3,449,015	$	3,462,267		0.02	%
01/05/09	Dex Media West LLC
	Term Loan, 7.00%,
	10/24/14		1,179,912		1,384,855		0.01	%
10/10/07	HCA, Inc. Term Loan,
	3.50%, 05/01/18		20,452,433		20,661,161		0.15	%
12/17/10	Intelsat Jackson Holdings
	Term Loan B, 5.25%,
	04/02/18		15,925,135		16,073,328		0.12	%
09/02/10	Kelson Holdings LLC,
	6.75%, 03/08/14		2,254,410		2,273,001		0.02	%
10/31/07	Texas Competitive Electric
	Holdings Co. LLC, 4.17%,
	10/10/17		3,107,393		2,557,674		0.02	%

		$	92,942,020	$	92,992,254		0.67	%

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

⁸	Non-income producing security.

⁹	Zero coupon bond. The rate shown is the effective yield as of June 30, 2011.

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

¹¹	Represents annualized yield at date of purchase.

¹²	Represents the current yield as of June 30, 2011.

¹³	Securities, or a portion thereof, pledged as collateral for swaps. The total market value of collateral pledged is $61,695,000.

¹⁴	Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $11,028,669.

^†

Fair valued security. The aggregate value of fair valued securities is $26,686,871, which is 0.19% 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 represents securities that are priced using a benchmark pricing system and securities that have been deemed permanently stale, see Notes to Financial Statements.

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

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

(G.O.): General Obligation

(IO): Interest only

(LIBOR): London InterBank Offer Rate

(MTN): Medium-term note

(PO): Principal only

(STEP): Step coupon bond

(TBA): To be announced

(WI): When issued

(YCD): Yankee Certificate of Deposit


Issues	Maturity Date			Principal Amount		Value
BONDS – 90.80%
CORPORATES — 81.38%*
Automotive — 3.05%
Chrysler Group LLC/CG Co-Issuer, Inc.
8.25%		06/15/21	²	$	4,100,000	$	4,048,750
Cooper-Standard Automotive, Inc.
8.50%		05/01/18			13,530,000		14,307,975
Goodyear Tire & Rubber Co.
8.25%		08/15/20			21,610,000		23,446,850
8.75%		08/15/20			2,500,000		2,756,250
Tenneco, Inc.
6.88%		12/15/20			6,700,000		6,850,750
8.13%		11/15/15			2,125,000		2,247,187
UCI International, Inc. (WI)
8.63%		02/15/19			3,175,000		3,278,187
Visteon Corp.
6.75%		04/15/19	²		5,600,000		5,404,000


							62,339,949

Banking — 2.62%
Ally Financial, Inc.
2.45%		12/01/14	³		5,553,000		5,316,253
8.00%		03/15/20			3,250,000		3,461,250
Ally Financial, Inc. (WI)
7.50%		09/15/20			3,450,000		3,622,500
Bank of America N.A.
0.55%		06/15/17	³		2,000,000		1,781,208
BankAmerica Capital III
0.85%		01/15/27	³		2,700,000		2,190,467
Chase Capital III C
0.80%		03/01/27	³		3,000,000		2,489,382
Chase Capital VI
0.90%		08/01/28	³		1,000,000		827,460
Credit Suisse/Guernsey 1 (Switzerland)
0.95%		05/29/49	^3,4		6,695,000		5,531,744
First Chicago NBD Institutional Capital I
0.82%		02/01/27	³		540,000		468,560
Fleet Capital Trust V
1.25%		12/18/28	³		3,750,000		3,091,117
Nationsbank Capital Trust III
0.83%		01/15/27	³		6,342,000		5,157,822
Provident Funding Associates
10.25%		04/15/17	²		17,795,000		19,618,988


							53,556,751

Communications — 11.14%
CCO Holdings LLC/CCO Holdings
Capital Corp.
7.00%		01/15/19			4,250,000		4,398,750
7.25%		10/30/17			5,000,000		5,200,000
7.88%		04/30/18			2,400,000		2,541,000


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Communications (continued)
CCO Holdings LLC/CCO Holdings
Capital Corp. (WI)
8.13%		04/30/20		$	4,002,000	$	4,362,180
Cengage Learning Acquisitions, Inc.
10.50%		01/15/15	²		14,482,000		13,178,620
Cequel Communications Holdings I
LLC/Cequel Capital Corp.
8.63%		11/15/17	²		28,150,000		29,416,750
Charter Communications Operating LLC/Charter Communications Operating Capital
8.00%		04/30/12	²		500,000		522,500
Cincinnati Bell, Inc.
8.25%		10/15/17			5,150,000		5,201,500
8.38%		10/15/20			4,750,000		4,750,000
Clearwire Communications LLC/Clearwire
Finance, Inc.
8.25%		12/01/40	²		4,650,000		4,082,235
12.00%		12/01/15	²		4,500,000		4,815,000
GCI, Inc. (WI)
8.63%		11/15/19			7,060,000		7,766,000
Intelsat Bermuda SA (PIK) (Bermuda)
11.50%		02/04/17	^2,4		5,655,000		6,135,675
Intelsat Jackson Holdings SA (Luxembourg)
8.50%		11/01/19	⁴		1,435,000		1,531,863
Intelsat Luxembourg SA (PIK) (WI) (Luxembourg)
11.50%		02/04/17	⁴		17,148,018		18,476,989
Intelsat Luxembourg SA (WI) (Luxembourg)
11.25%		02/04/17	⁴		1,500,000		1,614,375
iPCS, Inc. (PIK)
3.52%		05/01/14			9,000,000		8,662,500
Level 3 Financing, Inc.
4.22%		02/15/15	³		14,800,000		13,986,000
8.75%		02/15/17			11,315,000		11,597,875
9.38%		04/01/19	²		2,000,000		2,095,000
LIN Television Corp. B
6.50%		05/15/13			2,700,000		2,716,875
McClatchy Co.
11.50%		02/15/17			17,405,000		18,514,569
Mediacom Broadband LLC/Mediacom Broadband Corp.
8.50%		10/15/15			6,350,000		6,540,500
Nextel Communications, Inc. E
6.88%		10/31/13			1,505,000		1,521,931
Proquest LLC/Proquest Notes Co.
9.00%		10/15/18	²		3,000,000		3,075,000
Sprint Nextel Corp.
6.00%		12/01/16			7,000,000		7,026,250


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Communications (continued)
Telesat Canada LLC (WI) (Canada)
12.50%		11/01/17	⁴	$	2,000,000	$	2,410,000
Unitymedia Hessen GmbH & Co.
KG/Unitymedia NRW GmbH (Germany)
8.13%		12/01/17	^2,4		650,000		689,000
Univision Communications, Inc.
7.88%		11/01/20	²		2,000,000		2,060,000
UPC Holding BV (Netherlands)
9.88%		04/15/18	^2,4		1,750,000		1,951,250
Visant Corp.
10.00%		10/01/17			15,075,000		15,678,000
Windstream Corp.
7.75%		10/15/20			1,700,000		1,789,250
7.88%		11/01/17			7,125,000		7,597,031
Windstream Corp. (WI)
8.13%		09/01/18			5,545,000		5,919,287


							227,823,755

Consumer Discretionary — 2.24%
American Achievement Corp.
10.88%		04/15/16	²		8,000,000		7,240,000
Cott Beverages, Inc.
8.13%		09/01/18			8,055,000		8,477,888
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC
6.88%		02/15/21	²		4,000,000		3,920,000
7.13%		04/15/19	²		5,000,000		4,987,500
8.25%		02/15/21	²		5,920,000		5,564,800
9.00%		04/15/19	²		15,750,000		15,592,500


							45,782,688

Consumer Products — 0.62%
Levi Strauss & Co.
7.63%		05/15/20			4,775,000		4,775,000
Spectrum Brands, Inc.
9.50%		06/15/18	²		7,200,000		7,920,000


							12,695,000

Electric — 10.67%
AES Corp.
7.75%		10/15/15			4,636,000		4,972,110
AES Red Oak LLC A
8.54%		11/30/19			2,410,734		2,495,110
Calpine Construction Finance Co. LP
8.00%		06/01/16	²		6,875,000		7,459,375
Coso Geothermal Power Holdings
7.00%		07/15/26	²		6,467,294		5,387,469
Dynegy Holdings, Inc.
7.75%		06/01/19			19,620,000		14,371,650
8.38%		05/01/16			875,000		700,000


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Electric (continued)
Dynegy Roseton/Danskammer Pass-Through Trust B
7.67%		11/08/16		$	18,096,000	$	16,105,440
Edison Mission Energy
7.00%		05/15/17			30,010,000		24,308,100
7.20%		05/15/19			4,500,000		3,600,000
Energy Future Holdings Corp. Q
6.50%		11/15/24			9,600,000		4,848,000
Energy Future Intermediate Holding Co. LLC/Energy Future Intermediate Holding Co. Finance, Inc.
10.00%		12/01/20			7,781,000		8,337,030
FPL Energy National Wind Portfolio LLC
6.13%		03/25/19	²		4,205,070		4,102,736
Indiantown Cogeneration LP A-10
9.77%		12/15/20			1,583,571		1,692,442
Midwest Generation LLC B
8.56%		01/02/16			1,104,059		1,145,462
Mirant Americas Generation LLC
8.50%		10/01/21			27,415,000		28,237,450
9.13%		05/01/31			6,400,000		6,464,000
Mirant Mid Atlantic Pass-Through Trust B
9.13%		06/30/17			3,577,658		3,845,982
Mirant Mid Atlantic Pass-Through Trust C
10.06%		12/30/28			7,097,735		7,949,463
NRG Energy, Inc.
7.63%		01/15/18	²		33,885,000		34,308,563
7.63%		05/15/19	²		5,680,000		5,680,000
7.88%		05/15/21	²		14,000,000		14,035,000
PNM Resources, Inc.
9.25%		05/15/15			7,525,000		8,428,000
Puget Energy, Inc. (WI)
6.50%		12/15/20			5,000,000		5,175,000
Reliant Energy Mid-Atlantic Power Holdings LLC B
9.24%		07/02/17			2,328,717		2,515,015
Texas Competitive Electric Holdings Co. LLC A
10.25%		11/01/15			3,500,000		2,135,000


							218,298,397
Energy — 15.28%
Allis-Chalmers Energy, Inc.
8.50%		03/01/17			7,095,000		7,485,225
Alta Mesa Holdings/Alta Mesa Finance Services Corp.
9.63%		10/15/18	²		7,750,000		7,788,750
Antero Resources Finance Corp.
9.38%		12/01/17			8,760,000		9,460,800


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Energy (continued)
Arch Coal, Inc.
7.00%		06/15/19	²	$	7,360,000	$	7,433,600
7.25%		10/01/20			1,250,000		1,278,125
Arch Coal, Inc. (WI)
8.75%		08/01/16			2,500,000		2,712,500
Chaparral Energy, Inc.
8.88%		02/01/17			27,094,000		27,771,350
9.88%		10/01/20			3,750,000		4,031,250
Chesapeake Energy Corp.
2.25%		12/15/38			24,910,000		22,872,636
2.50%		05/15/37			6,250,000		6,609,375
2.75%		11/15/35			500,000		554,000
Concho Resources, Inc./Midland Texas
7.00%		01/15/21			2,750,000		2,818,750
Hilcorp Energy I LP/Hilcorp Finance Co.
7.63%		04/15/21	²		3,000,000		3,127,500
7.75%		11/01/15	²		1,875,000		1,940,625
Linn Energy LLC/Linn Energy Finance Corp.
6.50%		05/15/19	²		2,400,000		2,370,000
8.63%		04/15/20			2,000,000		2,180,000
Massey Energy Co.
3.25%		08/01/15			17,100,000		18,232,875
Milagro Oil & Gas
10.50%		05/15/16	²		12,000,000		11,040,000
OPTI Canada, Inc. (Canada)
7.88%		12/15/14	⁴		12,822,000		5,353,185
8.25%		12/15/14	⁴		18,950,000		7,959,000
Parker Drilling Co.
9.13%		04/01/18			10,757,000		11,402,420
Penn Virginia Corp.
10.38%		06/15/16			5,250,000		5,840,625
Petrohawk Energy Corp.
10.50%		08/01/14			2,160,000		2,440,800
Quicksilver Resources, Inc.
7.13%		04/01/16			1,000,000		990,000
8.25%		08/01/15			17,425,000		18,448,719
9.13%		08/15/19			1,000,000		1,080,000
11.75%		01/01/16			7,700,000		8,855,000
Sabine Pass LNG LP
7.25%		11/30/13			21,710,000		22,361,300
7.50%		11/30/16			27,480,000		28,167,000
SandRidge Energy, Inc.
8.00%		06/01/18	²		1,000,000		1,015,000
8.75%		01/15/20			1,750,000		1,872,500
9.88%		05/15/16	²		2,500,000		2,756,250
Southern Union Co.
7.20%		11/01/66	³		48,797,000		45,442,206
Tesoro Corp.
6.50%		06/01/17			7,575,000		7,764,375


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Energy (continued)
9.75%		06/01/19		$	1,000,000	$	1,122,500


							312,578,241

Entertainment — 1.47%
Live Nation Entertainment, Inc.
2.88%		07/15/27			3,250,000		3,071,250
8.13%		05/15/18	²		3,150,000		3,165,750
Pinnacle Entertainment, Inc. (WI)
8.63%		08/01/17			2,600,000		2,804,750
Regal Cinemas Corp.
8.63%		07/15/19			12,650,000		13,282,500
Regal Entertainment Group
9.13%		08/15/18			7,425,000		7,722,000


							30,046,250

Finance — 5.47%
Alta Wind Holdings LLC
7.00%		06/30/35	²		2,407,459		2,562,241
Astoria Depositor Corp.
8.14%		05/01/21	²		7,000,000		6,720,000
BankBoston Capital Trust III
1.00%		06/15/27	³		4,490,000		3,542,116
BankBoston Capital Trust IV
0.85%		06/08/28	³		4,900,000		3,995,382
Barnett Capital III
0.90%		02/01/27	³		2,800,000		2,267,860
Bumble Bee Acquisition Corp.
9.00%		12/15/17	²		5,500,000		5,582,500
Capital One Capital V
10.25%		08/15/39			3,875,000		4,131,719
Chase Capital II B
0.77%		02/01/27	³		11,790,000		9,739,387
CIT Group, Inc.
6.63%		04/01/18	²		8,000,000		8,375,000
7.00%		05/01/15	²		11,500,000		11,543,125
Citigroup, Inc.
0.81%		08/25/36	³		9,460,000		7,055,363
Community Choice Financial, Inc.
10.75%		05/01/19	²		6,530,000		6,644,275
Ford Motor Credit Co. LLC
8.00%		12/15/16			6,500,000		7,361,250
General Electric Capital Corp. (MTN)
0.74%		08/15/36	³		10,480,000		8,627,922
JPMorgan Chase Capital XIII M
1.20%		09/30/34	³		5,917,000		5,074,390
JPMorgan Chase Capital XXI U
1.22%		02/02/37	³		4,750,000		3,738,555
MBNA Capital B
1.07%		02/01/27	³		4,550,000		3,704,223


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Finance (continued)
ZFS Finance USA Trust II
6.45%		12/15/65	^2,3	$	10,850,000	$	11,121,250


							111,786,558

Food — 0.60%
Dean Foods Co.
7.00%		06/01/16			1,000,000		995,000
JBS USA LLC/JBS USA Finance, Inc.
7.25%		06/01/21	²		8,475,000		8,305,500
11.63%		05/01/14			2,500,000		2,887,500


							12,188,000

Gaming — 2.43%
Boyd Gaming Corp.
7.13%		02/01/16			9,250,000		8,579,375
CityCenter Holdings LLC/CityCenter Finance Corp.
7.63%		01/15/16	²		10,150,000		10,505,250
Marina District Finance Co., Inc.
9.50%		10/15/15			27,950,000		29,207,750
MGM Resorts International
9.00%		03/15/20			1,350,000		1,474,875


							49,767,250

Health Care — 5.30%
Accellent, Inc.
8.38%		02/01/17			23,228,000		24,128,085
Alere, Inc.
7.88%		02/01/16			1,000,000		1,040,000
9.00%		05/15/16			4,779,000		5,000,029
CHS/Community Health Systems, Inc.
8.88%		07/15/15			2,590,000		2,670,937
ConvaTec Healthcare E SA (Luxembourg)
10.50%		12/15/18	^2,4		7,000,000		7,262,500
HCA, Inc.
7.25%		09/15/20			4,520,000		4,875,950
7.50%		12/15/23			3,965,000		3,756,837
HCA, Inc. (WI)
7.88%		02/15/20			10,000,000		10,925,000
8.50%		04/15/19			6,939,000		7,667,595
Tenet Healthcare Corp.
6.88%		11/15/31			20,600,000		17,201,000
Universal Health Services, Inc.
7.00%		10/01/18			8,250,000		8,518,125
Vanguard Health Holding Co. II LLC/Vanguard Holding Co. II, Inc.
7.75%		02/01/19			11,145,000		11,367,900


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Health Care (continued)
Vanguard Health Systems, Inc.
0.00%		02/01/16	⁵	$	5,900,000	$	3,901,375


							108,315,333

Homebuilding — 0.68%
K Hovnanian Enterprises, Inc.
10.63%		10/15/16			10,000,000		10,025,000
Shea Homes LP/Shea Homes Funding Corp.
8.63%		05/15/19	²		4,000,000		3,950,000


							13,975,000

Industrials — 6.15%
American Reprographics Co.
10.50%		12/15/16			12,000,000		12,570,000
Ardagh Packaging Finance Plc (Ireland)
7.38%		10/15/17	^2,4		3,971,000		4,109,985
9.13%		10/15/20	^2,4		5,985,000		6,284,250
Berry Plastics Corp.
5.03%		02/15/15	³		7,470,000		7,413,975
8.25%		11/15/15			1,250,000		1,325,000
BWAY Holding Co.
10.00%		06/15/18			2,255,000		2,472,044
BWAY Parent Co., Inc. (PIK)
10.13%		11/01/15	²		10,822,825		10,876,939
Casella Waste Systems, Inc.
7.75%		02/15/19	²		3,300,000		3,349,500
11.00%		07/15/14			1,500,000		1,676,250
Graham Packaging Co. LP/GPC Capital Corp. I
8.25%		01/01/17			2,500,000		2,800,000
Maxim Crane Works LP
12.25%		04/15/15	²		12,775,000		12,902,750
Packaging Dynamics Corp.
8.75%		02/01/16	²		9,780,000		10,000,050
Polymer Group, Inc.
7.75%		02/01/19	²		6,875,000		6,926,563
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			26,730,000		27,732,375


							125,800,806

Information Technology — 0.22%
First Data Corp.
7.38%		06/15/19	²		655,000		661,550
8.88%		08/15/20	²		3,500,000		3,753,750


							4,415,300


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Insurance — 0.42%
Farmers Exchange Capital
7.05%		07/15/28	²	$	1,500,000	$	1,548,881
Nationwide Mutual Insurance Co.
5.81%		12/15/24	^2,3		7,250,000		7,105,196


							8,654,077

Materials — 2.08%
Exopack Holding Corp.
10.00%		06/01/18	²		4,000,000		4,000,000
FMG Resources August 2006 Pty Ltd. (Australia)
7.00%		11/01/15	^2,4		11,975,000		12,274,375
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance ULC
8.88%		02/01/18			3,000,000		3,135,000
Lyondell Chemical Co.
11.00%		05/01/18			669,024		752,652
NewPage Corp.
10.00%		05/01/12			20,533,000		6,262,562
10.93%		05/01/12			3,000,000		795,000
Sappi Papier Holding GmbH (Austria)
6.63%		04/15/21	^2,4		7,085,000		6,943,300
Verso Paper Holdings LLC/ Verso Paper, Inc.
11.50%		07/01/14			1,250,000		1,312,500
Verso Paper Holdings LLC/ Verso Paper, Inc. B
4.02%		08/01/14	³		3,737,000		3,582,848
11.38%		08/01/16			3,750,000		3,496,875


							42,555,112

Retail — 1.27%
Sears Holding Corp.
6.63%		10/15/18	²		28,150,000		25,968,375

Services — 2.77%
Geo Group, Inc.
7.75%		10/15/17			4,700,000		5,005,500
Mobile Mini, Inc.
6.88%		05/01/15			7,900,000		8,077,750
Mobile Mini, Inc. (WI)
7.88%		12/01/20			1,250,000		1,290,625
Neff Rental LLC/Neff Finance Corp.
9.63%		05/15/16	²		11,500,000		10,982,500
Service Corp. International/US
7.00%		05/15/19			6,925,000		7,323,187
Stonemor Operating LLC/Cornerstone Family Services of WV/Osiris Holdings
10.25%		12/01/17			11,925,000		11,835,563
TransUnion LLC/TransUnion Financing Corp.
11.38%		06/15/18			7,155,000		7,915,219


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Services (continued)
United Rentals North America, Inc.
10.88%		06/15/16		$	3,694,000	$	4,151,133


							56,581,477

Transportation — 6.90%
ACL I Corp. (PIK)
10.63%		02/15/16	²		11,940,000		11,044,500
Air Canada (Canada)
9.25%		08/01/15	^2,4		22,035,000		22,696,050
12.00%		02/01/16	^2,4		4,150,000		4,284,875
American Airlines, Inc.
7.50%		03/15/16	²		32,500,000		31,931,250
AWAS Aviation Capital Ltd. (Ireland)
7.00%		10/15/16	^2,4		11,290,720		11,643,555
Commercial Barge Line Co. (WI)
12.50%		07/15/17			2,975,000		3,354,313
Continental Airlines Pass-Through Trust 2007-1 B
6.90%		04/19/22			6,657,596		6,674,240
Continental Airlines Pass-Through Trust 2009-1 A
9.00%		07/08/16			1,596,930		1,832,477
Continental Airlines, Inc.
6.75%		09/15/15	²		3,250,000		3,282,500
Delta Air Lines, Inc. 2002 G1
6.72%		01/02/23			11,291,388		11,432,531
Delta Air Lines, Inc. B
9.75%		12/17/16			1,739,368		1,843,730
Florida East Coast Railway Corp.
8.13%		02/01/17	²		3,750,000		3,900,000
JetBlue Airways Pass-Through Trust 2004-2 G1
0.64%		08/15/16	³		2,046,944		1,909,130
Northwest Airlines, Inc. 2001 1 A1
7.04%		04/01/22			724,400		761,489
RailAmerica, Inc.
9.25%		07/01/17			11,829,000		13,041,473
United Air Lines, Inc.
9.88%		08/01/13	²		8,529,000		8,955,450
US Airways 2010-1 A Pass-Through Trust
6.25%		04/22/23			2,500,000		2,423,437


							141,011,000

Total Corporates
(Cost $1,620,690,070)							1,664,139,319


Issues	Maturity Date			Principal Amount		Value
BANK LOANS — 8.82%*
Automotive — 0.89%
Chrysler Term Loan
6.00%		04/28/17	^3,6		$17,500,000		$	17,091,673
Ford Motor Co.-Term Loan B 1st Lien
2.94%		12/15/13	^3,6		1,230,011			1,230,812


						18,322,485

Communications — 0.70%
Dex Media West LLC Term Loan
7.00%		10/24/14	^3,6		4,078,757			3,422,759
Intelsat Jackson Holdings Term Loan B
5.25%		04/02/18	^3,6		2,000,000			2,009,166
R.H. Donnelley, Inc. Term Loan D3
9.00%		10/24/14	^3,6		467,696			323,295
SuperMedia, Inc. Term Loan B Exit 1st Lien
10.82%		12/31/15	^3,6		2,358,871			1,433,856
Univision Communications, Inc. Term Loan
4.44%		03/31/17	^3,6		7,422,494			7,065,709


						14,254,785

Electric — 2.21%
Boston Generating LLC 1st Lien Term Loan
0.01%		12/20/13	^3,6		411,558			154,334
Entegra Holdings LLC
Term Loan B 3rd Lien (PIK)
6.31%		10/19/15	³		21,910,898			15,392,406
Texas Competitive Electric
Holdings Co. LLC
4.17%		10/10/17	^3,6		38,022,569			29,732,280


						45,279,020

Energy — 1.54%
MACH Gen LLC Term Loan C (PIK)
7.76%		02/15/15	^3,6		40,347,028	31,470,682

Finance — 1.18%
CIT Group, Inc. Term Loan
6.25%		08/11/15	^3,6		4,850,000			4,888,106
Kelson Holdings LLC
6.75%		03/08/14	^3,6		20,072,630			19,211,173


						24,099,279

Gaming — 1.69%
Caesars Entertainment Operating Co., Inc. Term Loan B1
6.89%		01/28/15	^3,6		3,000,000			2,702,802
Caesars Entertainment Operating Co., Inc. Term Loan B2
3.25%		01/28/15	^3,6		30,500,000			27,449,909


Issues	Maturity Date			Principal Amount		Value
BANK LOANS (continued)
Gaming (continued)
Caesars Entertainment Operating Co., Inc. Term Loan B3
3.27%		01/28/15	³	$	4,932,624	$	4,440,886


							34,593,597

Health Care — 0.02%
HCA, Inc. Term Loan 3.50%		05/01/18	^3,6		461,267		454,893

Industrials — 0.10%
Graham Packaging Co. LP Term Loan D
6.00%		09/23/16	^3,6		1,985,000		1,991,886

Information Technology — 0.22%
First Data Corp. Term Loan 2018
4.19%		03/24/18	^3,6		4,428,192		4,070,992
First Data Corp. Term Loan B1
2.94%		09/24/14	^3,6		471,249		437,378


							4,508,370

Transportation — 0.27%
Delta Air Lines, Inc. Term Loan 5.50%		04/20/17	^3,6		5,500,000		5,440,705

Total Bank Loans
(Cost $180,616,924)							180,415,702

MORTGAGE-BACKED — 0.60%**
Non-Agency Mortgage-Backed — 0.60%
BHN I Mortgage Fund 2000-1 AF (Argentina)
8.00%		01/31/20	^2,4,7,†		2,890		217
Citigroup Mortgage Loan Trust, Inc. 2007-AMC4 A2B
0.33%		05/25/37	³		4,900,000		2,963,528
Countrywide Asset-Backed Certificates 2007-13 2A1
1.09%		10/25/47	³		582,141		396,706
Credit-Based Asset Servicing and Securitization LLC 2006-CB6 A23
0.34%		07/25/36	³		3,984,744		2,517,091
Credit-Based Asset Servicing and Securitization LLC 2006-CB8 A2B
0.30%		10/25/36	³		3,800,000		3,141,806
Home Equity Asset Trust 2007-1 2A1
0.25%		05/25/37	³		95,966		93,812
HSBC Home Equity Loan Trust 2007-3 M1
2.44%		11/20/36	³		3,800,000		2,992,741
Securitized Asset Backed Receivables LLC Trust 2007-BR2 A2
0.42%		02/25/37	³		390,845		161,557


							12,267,458

Issues

Maturity

Date

Principal

Amount

Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed — 0.00%

Fannie Mae 1993-225 SG

26.60%

12/25/13

$28,767

$34,866

Ginnie Mae 2003-28 LI (IO)

5.50%

02/20/32

15,729

826

35,692

Total Mortgage-Backed

(Cost $7,697,410)

12,303,150

Total Bonds – 90.80%

(Cost $1,809,004,404)

1,856,858,171

Issues

Shares

Value

PREFERRED STOCK — 0.88%

Electric — 0.23%

PPL Corp.

0.24%

82,400

4,606,160

Finance — 0.65%

Citigroup Capital XIII

0.20%

481,100

13,364,958

Total Preferred Stock

(Cost $17,480,743)

17,971,118

Issues

Contracts

Value

PUT OPTIONS PURCHASED — 0.04%

U.S. Government — 0.04%

U.S. Long Bond (CBT) Put Strike $120,
expires 08/26/11

860

$873,438

Total Put Options Purchased

(Cost $1,978,663)


Issues	Maturity Date			Principal Amount		Value
SHORT-TERM INVESTMENTS — 2.16%
Money Market Fund — 1.95%
Dreyfus Cash Advantage Fund
0.13%⁸				$	19,956,000	$	19,956,000
DWS Money Market Series-Institutional
0.06%⁸					2,799,000		2,799,000
Fidelity Institutional Money Market Funds - Prime Money Market Portfolio
0.08%⁸					17,190,000		17,190,000


							39,945,000

U.S. Treasury Bills — 0.21%
U.S. Treasury Bills
0.04%⁹		09/08/11			500,000		499,995
0.04%⁹		09/08/11	¹⁰		3,085,000		3,084,970
0.06%⁹		08/04/11			720,000		719,993


							4,304,958


Total Short-Term Investments
(Cost $44,249,715)							44,249,958


Total Investments – 93.88%
(Cost $1,872,713,525)¹							1,919,952,685


Cash and Other Assets, Less
Liabilities – 6.12%							125,128,637

Net Assets – 100.00%						$	2,045,081,322


Issues	Contracts			Premiums (Received)				Value
CALL OPTIONS WRITTEN
U.S. Long Bond (CBT), Call Strike $126, expires 08/26/11		(860	)		$	(858,134	)		$	(1,021,250	)

Total Call Options Written					$	(858,134	)		$	(1,021,250	)


PUT OPTIONS WRITTEN

U.S. Long Bond (CBT) Put Strike $116, expires 08/26/11,		(860	)		$	(881,337	)		$	(295,625	)

Total Put Options Written					$	(881,337	)		$	(295,625	)


	Expiration Date	Notional Amount (000’s)			Appreciation/ (Depreciation)			Value
SWAPS: INTEREST RATE
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 1.38% quarterly. Counterparty: CS First Boston
	06/18/14		$	56,545		$	91,342		$	91,342


	Expiration Date	Notional Amount (000’s)		Appreciation/ (Depreciation)			Value
SWAPS: INTEREST RATE (continued)
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 2.66% quarterly. Counterparty: CS First Boston
	06/18/17	$	23,690	$	(112,847	)	$	(112,847	)


		$	80,235	$	(21,505	)	$	(21,505	)


	Expiration Date		Premiums Paid			Notional Amount (000’s)^a			Appreciation			Value
SWAPS: CREDIT DEFAULT (PURCHASED) - SINGLE ISSUES
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		$	11,377		$	350		$	13,248		$	24,625
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			13,511			300			7,596			21,107
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.
		09/20/16			13,286			295			7,470			20,756
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			4,520			1,000			40,856			45,376


				$	42,694		$	1,945		$	69,170		$	111,864


	Expiration Date		Premiums Paid/ (Received)			Notional Amount (000’s)a		Appreciation		Valueb
SWAPS: CREDIT DEFAULT (WRITTEN) - TRADED INDICES
The Fund receives a fixed rate equal to 5.00% and the Fund will pay to the counterparty at par including interest accrued in the event of default of any issue in the Dow Jones CDX Series NA HY 16, due 06/20/16. Counterparty: CS First Boston
		06/20/16	$	3,094		$	5,000	$	83,653	$	86,747
The Fund receives a fixed rate equal to 5.00% and the Fund will pay to the counterparty at par including interest accrued in the event of default of any issue in the Dow Jones CDX Series NA HY 16, due 06/20/16. Counterparty: CS First Boston
		06/20/16		(3,120	)		5,000		87,189		84,069
The Fund receives a fixed rate equal to 5.00% and the Fund will pay to the counterparty at par including interest accrued in the event of default of any issue in the Dow Jones CDX Series NA HY 16, due 06/20/16. Counterparty: JPMorgan Chase & Co.
		06/20/16		12,404			10,000		161,091		173,495
The Fund receives a fixed rate equal to 5.00% and the Fund will pay to the counterparty at par including interest accrued in the event of default of any issue in the Dow Jones CDX Series NA HY 16, due 06/20/16. Counterparty: JPMorgan Chase & Co.

		06/20/16		(3,120	)		5,000		87,189		84,069

			$	9,258		$	25,000	$	419,122	$	428,380

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 $1,873,009,136 and net unrealized appreciation/(depreciation) consists of:


Gross unrealized appreciation	$	84,745,125
Gross unrealized depreciation		(37,801,576	)

Net unrealized appreciation	$	46,943,549

³	Floating rate security. The rate disclosed was in effect at June 30, 2011.

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

⁵	Zero coupon bond. The rate shown is the effective yield as of June 30, 2011.

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
12/08/09	Boston Generating LLC
	1st Lien Term Loan,
	0.01%, 12/20/13	$	341,285	$	154,334	0.01%
10/05/10	Caesars Entertainment
	Operating Co., Inc. Term
	Loan B1, 6.89%, 01/28/15		2,673,877		2,702,802	0.13%
10/09/09	Caesars Entertainment
	Operating Co., Inc. Term
	Loan B2, 3.25%, 01/28/15		27,631,359		27,449,909	1.34%
05/19/11	Chrysler Term Loan,
	6.00%, 04/28/17		17,359,677		17,091,673	0.83%
09/13/10	CIT Group, Inc. Term
	Loan, 6.25%, 08/11/15		4,880,746		4,888,106	0.24%
04/15/11	Delta Air Lines, Inc. Term
	Loan, 5.50%, 04/20/17		5,419,881		5,440,705	0.27%
01/13/09	Dex Media West LLC
	Term Loan, 7.00%,
	10/24/14		3,330,815		3,422,759	0.17%
01/28/09	First Data Corp. Term
	Loan 2018, 4.19%,
	03/24/18		3,699,848		4,070,992	0.20%
05/21/10	First Data Corp. Term
	Loan B1, 2.94%, 09/24/14		413,979		437,378	0.02%
04/13/10	Ford Motor Co. - Term
	Loan B 1st Lien, 2.94%,
	12/15/13		1,205,152		1,230,812	0.06%
09/16/10	Graham Packaging Co.
	LP Term Loan D, 6.00%,
	09/23/16		1,972,022		1,991,886	0.10%
06/22/09	HCA, Inc. Term Loan,
	3.50%, 05/01/18		443,741		454,893	0.02%


Date of Purchase	Security	Amortized Cost		Value		% of Total Net Assets
12/17/10	Intelsat Jackson Holdings
	Term Loan B, 5.25%,
	04/02/18	$	1,990,642	$	2,009,166		0.10	%
08/16/10	Kelson Holdings LLC,
	6.75%, 03/08/14		18,883,228		19,211,173		0.94	%
01/08/09	MACH Gen LLC Term
	Loan C (PIK), 7.76%,
	02/15/15		31,678,176		31,470,682		1.54	%
01/11/10	R.H. Donnelley, Inc. Term
	Loan D3, 9.00%, 10/24/14		455,910		323,295		0.02	%
01/29/10	SuperMedia, Inc. Term
	Loan B Exit 1st Lien,
	10.82%, 12/31/15		2,055,793		1,433,856		0.07	%
06/11/09	Texas Competitive Electric
	Holdings Co. LLC, 4.17%,
	10/10/17		30,846,871		29,732,280		1.45	%
09/27/10	Univision Communica-
	tions, Inc. Term Loan,
	4.44%, 03/31/17		6,910,619		7,065,709		0.34	%

		$	162,193,621	$	160,582,410		7.85	%

⁷	Illiquid security as determined under procedures approved by the Fund’s Board of Trustees. The aggregate value of illiquid securities is $217, which is 0.00% of total net assets.

⁸	Represents the current yield as of June 30, 2011.

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 $3,814,900.

^†

Fair valued security. The aggregate value of fair valued securities is $217, which is 0.00% 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 represents securities that are priced using a benchmark pricing system and securities that have been deemed permanently stale, see 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.

(IO): Interest only

(LIBOR): London InterBank Offer Rate

(MTN): Medium-term note

(PIK): Payment in kind

(WI): When issued


Issues	Maturity Date			Principal Amount		Value
BONDS – 98.19%
ASSET-BACKED SECURITIES —16.01%**
Aerco Ltd. 2A A3 (United Kingdom)
0.65%		07/15/25	^2,3,4	$	2,445,940	$	1,968,981
Aircastle Aircraft Lease Backed Trust
2007-1A G1
0.45%		06/14/37	^3,4		1,060,812		949,455
Babcock & Brown Air Funding I Ltd. 2007-1A G1 (Bermuda)
0.49%		11/14/33	^2,3,4		1,178,995		1,022,594
Brazos Higher Education Authority, Inc.
2010-1 A2
1.46%		02/25/35	³		2,800,000		2,698,546
Bryant Park CDO Ltd. 2005-1X Note
0.00%		01/15/19	^†		900,000		675,002
CIT Education Loan Trust 2007-1 A
0.34%		03/25/42	^3,4		2,189,107		2,000,937
Conseco Finance Securitizations Corp.
2001-4 A4
7.36%		09/01/33			1,090,378		1,177,721
Crystal River 2005-1A A (Cayman Islands)
0.61%		03/02/46	^2,3,4		470,845		70,921
EFS Volunteer LLC 2010-1 A2
1.12%		10/25/35	^3,4		800,000		760,758
GE Corporate Aircraft Financing LLC
2005-1A B
0.84%		08/26/19	^3,4,†		432,810		393,859
GE Corporate Aircraft Financing LLC
2005-1A C
1.49%		08/26/19	^3,4		953,000		862,465
GE Seaco Finance SRL 2004-1A A (Barbados)
0.49%		04/17/19	^2,3,4		340,000		329,518
GE Seaco Finance SRL 2005-1A A (Barbados)
0.44%		11/17/20	^2,3,4		563,125		526,508
Genesis Funding Ltd. 2006-1A G1 (Bermuda)
0.43%		12/19/32	^2,3,4		1,030,900		909,770
Green Tree Recreational Equipment & Consumer Trust 1996-C Certificates
7.65%		10/15/17			726		663
Lease Investment Flight Trust 1 A1
0.58%		07/15/31	³		400,000		268,000
Lease Investment Flight Trust 1 A2
0.62%		07/15/31	³		2,300,000		1,541,000
Mid-State Trust 11 B
8.22%		07/15/38			17,313		16,871
North Carolina State Education Authority
2011-1 A3
1.21%		10/25/41			2,650,000		2,471,629
Northstar Education Finance, Inc. 2007-1 A3,
Student Loan Asset Backed Note
0.36%		01/29/46	³		2,250,000		2,068,992


	Maturity			Principal
Issues	Date			Amount		Value
ASSET-BACKED SECURITIES (continued)
PAMCO CLO 1998-1A B2 (Cayman Islands)
1.62%		12/31/11	^2,3,4,5,†	$	424,879	$	8,496
Peach Finance Co. 2000 A
4.71%		04/15/48	⁴		789,932		829,429
Structured Asset Receivables Trust 2005-1A Certificates
0.77%		01/21/15	^3,4,†		8,044,650		7,642,493
TAL Advantage LLC 2006-1 NT
0.40%		04/20/21	⁴		290,000		274,258
TAL Advantage LLC 2010-2A A
4.30%		10/20/25	⁴		480,667		502,875
TAL Advantage LLC 2011-2A A
4.31%		05/20/26	⁴		495,833		487,955
TAL Advantage LLC 2011-A1 A
4.60%		01/20/26	⁴		239,583		247,062
Textainer Marine Containers Ltd. 2005-1A A
(Bermuda)
0.44%		05/15/20	^2,3,4		440,625		425,434
Textainer Marine Containers Ltd. 2011-1A A
(Bermuda)
4.70%		06/15/26	^2,4,†		1,250,000		1,246,113
Trinity Rail Leasing LP 2006-1A A1
5.90%		05/14/36	⁴		853,721		878,087
Triton Container Finance LLC 2006-1A
0.36%		11/26/21	^3,4		690,625		652,301
Triton Container Finance LLC 2007-1A
0.33%		02/26/19	^3,4		492,708		473,262
US Education Loan Trust LLC 2006-2A A1
0.43%		03/01/31	^3,4		2,800,000		2,526,981


Total Asset-Backed Securities
(Cost $37,938,500)							36,908,936


CORPORATES — 24.52%*
Banking — 4.89%
Ally Financial, Inc.
2.45%		12/01/14	³		1,538,000		1,472,429
BAC Capital Trust XV
1.05%		06/01/56	³		2,000,000		1,404,072
Chase Capital VI
0.90%		08/01/28	³		1,000,000		827,460
Credit Suisse/Guernsey 1 (Switzerland)
0.95%		05/29/49	^2,3		4,900,000		4,048,625
Deutsche Bank Capital Funding Trust VII
5.63%		01/19/49	^3,4		1,000,000		890,000
Fleet Capital Trust V
1.25%		12/18/28	³		950,000		783,083
Nationsbank Capital Trust III
0.83%		01/15/27	³		1,000,000		813,280


	Maturity			Principal
Issues	Date			Amount		Value
CORPORATES (continued)
Banking (continued)
Nationsbank Capital Trust IV
8.25%		04/15/27		$	1,010,000	$	1,039,038


							11,277,987


Communications — 1.52%
CCH II Holdings LLC/CCH II Holdings
Capital Corp.
13.50%		11/30/16			525,000		618,188
CSC Holdings LLC
8.50%		06/15/15			1,510,000		1,632,688
Nextel Communications, Inc. C
5.95%		03/15/14			1,250,000		1,253,122


							3,503,998


Electric — 2.79%
Calpine Construction Finance Co. LP
8.00%		06/01/16	⁴		1,875,000		2,034,375
Dynegy Roseton/Danskammer
Pass-Through Trust B
7.67%		11/08/16			1,175,000		1,045,750
NRG Energy, Inc.
7.88%		05/15/21	⁴		915,000		917,288
Reliant Energy Mid-Atlantic
Power Holdings LLC B
9.24%		07/02/17			2,266,627		2,447,957


							6,445,370


Energy — 2.93%
Arch Coal, Inc.
7.00%		06/15/19	⁴		650,000		656,500
Sabine Pass LNG LP
7.25%		11/30/13			3,930,000		4,047,900
Southern Union Co.
7.20%		11/01/66	³		2,200,000		2,048,750


							6,753,150


Finance — 7.71%
Astoria Depositor Corp.
8.14%		05/01/21	⁴		1,200,000		1,152,000
Barnett Capital III
0.90%		02/01/27	³		1,000,000		809,950
Chase Capital II B
0.77%		02/01/27	³		3,144,000		2,597,170
CIT Group, Inc.
6.63%		04/01/18	⁴		1,195,000		1,251,016
Citigroup, Inc.
0.81%		08/25/36	³		3,350,000		2,498,464
General Electric Capital Corp. (MTN)
0.65%		05/05/26	³		2,319,000		2,027,094
0.74%		08/15/36	³		1,000,000		823,275


	Maturity			Principal
Issues	Date			Amount		Value
CORPORATES (continued)
Finance (continued)
Goldman Sachs Group, Inc.
0.79%		01/12/15	³	$	750,000	$	723,864
JPMorgan Chase Capital XXIII
1.26%		05/15/47	³		200,000		159,488
Morgan Stanley (MTN)
0.73%		10/18/16	³		4,050,000		3,724,218
Prudential Holdings LLC
8.70%		12/18/23	⁴		1,000,000		1,216,435
US Education Loan Trust IV LLC
2006-1 A4
0.31%		03/01/41	^4,†		900,000		792,002


							17,774,976


Health Care — 0.63%
CHS/Community Health Systems, Inc.
8.88%		07/15/15			485,000		500,156
HCA, Inc. (WI)
7.88%		02/15/20			870,000		950,475


							1,450,631


Insurance — 0.45%
Farmers Exchange Capital

7.05%		07/15/28	⁴		1,000,000		1,032,587

Real Estate Investment Trust (REIT) — 0.25%
HCP, Inc.

7.07%		06/08/15			500,000		567,812


Transportation — 3.35%
AWAS Aviation Capital Ltd. (Ireland)
7.00%		10/15/16	^2,4		618,800		638,138
Continental Airlines Pass-Through Trust
1997-1 A
7.46%		04/01/15			1,413,445		1,427,579
Continental Airlines Pass-Through Trust
2007-1 A
5.98%		04/19/22			488,661		505,458
Continental Airlines Pass-Through Trust
2007-1 B
6.90%		04/19/22			2,578,578		2,585,024
Delta Air Lines, Inc. 2002 G1
6.72%		01/02/23			759,620		769,116
JetBlue Airways Pass-Through Trust
2004-2 G1
0.64%		08/15/16	³		935,746		872,745
UAL Pass-Through Trust 2009-1
10.40%		11/01/16			818,209		927,644


							7,725,704


Total Corporates
(Cost $48,696,978)							56,532,215


	Maturity			Principal
Issues	Date			Amount		Value
BANK LOANS — 1.82%*
Electric — 0.03%
Boston Generating LLC 1st Lien Term Loan
0.01%		12/20/13	^3,6	$	173,407	$	65,028


Energy — 0.52%
MACH Gen LLC Term Loan C (PIK)
7.76%		02/15/15	^3,6		1,529,977		1,193,382


Gaming — 1.27%
Caesars Entertainment Operating Co., Inc.
Term Loan B2
3.25%		01/28/15	^3,6		3,250,000		2,924,990


Total Bank Loans
(Cost $4,305,433)							4,183,400


MORTGAGE-BACKED — 55.73%**
Commercial Mortgage-Backed — 3.97%
Bayview Commercial Asset Trust
2006-SP1 M1
0.64%		04/25/36	^3,4		1,275,000		931,261
Bayview Commercial Asset Trust
2007-1 A1
0.41%		03/25/37	^3,4		3,936,546		2,950,761
GE Business Loan Trust 2003-2A A
0.56%		11/15/31	^3,4		1,146,932		1,056,427
GE Business Loan Trust 2004-1 A
0.48%		05/15/32	^3,4		1,087,988		1,012,093
GE Business Loan Trust 2004-2A A
0.41%		12/15/32	^3,4		726,515		658,433
GE Business Loan Trust 2005-1A A3
0.44%		06/15/33	^3,4		1,500,000		1,347,416
GE Business Loan Trust 2005-2A A
0.43%		11/15/33	^3,4		1,348,267		1,201,940

							9,158,331

Non-Agency Mortgage-Backed — 38.17%
Asset Backed Securities Corp Home Equity
2007-HE1 A4
0.33%		12/25/36	³		3,000,000		1,277,752
Banc of America Funding Corp. 2006-D 1A2
0.47%		05/20/36	³		5,900,000		1,258,924
Banco de Credito Y Securitizacion SA
2001-1 AF (Argentina)
8.00%		07/31/11	^2,4,5		190,250		15,220
BCAP LLC Trust 2010-RR11 3A2
2.83%		06/27/36	^3,4		2,126,044		1,967,216
BCAP LLC Trust 2011-RR3 1A5
5.55%		05/27/37	⁴		2,458,855		2,363,575
BCAP LLC Trust 2011-RR3 5A3
5.09%		11/27/37	⁴		2,794,837		2,542,441
BCAP LLC Trust 2011-RR4 1A3
3.04%		03/26/36	⁴		1,430,096		1,304,969


	Maturity			Principal
Issues	Date			Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
BHN I Mortgage Fund 2000-1 AF (Argentina)
8.00%		01/31/20^2,4,5,†$ 110				$	8
Centex Home Equity 2006-A AV4
0.44%		06/25/36	³		4,300,000		2,569,972
Citicorp Residential Mortgage Securities, Inc.
2007-1 A5 (STEP)
6.05%		03/25/37			1,750,000		1,297,811
Citigroup Mortgage Loan Trust, Inc.
2007-WFH2 A3
0.37%		03/25/37	³		5,000,000		3,676,367
Citigroup Mortgage Loan Trust, Inc.
2007-WFH2 M1
0.59%		03/25/37	³		6,500,000		1,741,743
Conseco Finance 2002-C BF1
8.00%		06/15/32	³		3,763,000		3,377,855
Conseco Finance 2002-C BF2
8.00%		06/15/32	^3,4		1,033,661		784,771
Conseco Finance Securitizations Corp.
2002-1 A
6.68%		12/01/33	³		86,815		92,556
Conseco Financial Corp. 1996-10 M1
7.24%		11/15/28	³		2,700,000		2,851,301
Conseco Financial Corp. 1996-7 M1
7.70%		10/15/27	³		1,162,000		1,233,831
Conseco Financial Corp. 1996-8 A6
7.60%		10/15/27	³		24,415		25,597
Conseco Financial Corp. 1997-3 A7
7.64%		03/15/28	³		624,507		688,587
Conseco Financial Corp. 1998-3 A6
6.76%		03/01/30	³		1,074,888		1,136,225
Conseco Financial Corp. 1998-4 A6
6.53%		04/01/30	³		1,255,705		1,319,810
Conseco Financial Corp. 1998-4 A7
6.87%		04/01/30	³		621,786		664,750
Conseco Financial Corp. 1999-5 A5
7.86%		03/01/30	³		138,882		130,046
Countrywide Asset-Backed Certificates
2007-4 A2
5.53%		09/25/37			930,000		816,090
Credit-Based Asset Servicing and Securitization LLC 2006-CB4 AV3
0.34%		05/25/36	³		6,684,693		4,000,197
Credit-Based Asset Servicing and Securitization LLC 2006-CB6 A24
0.44%		07/25/36	³		3,000,000		1,085,721
Credit-Based Asset Servicing and Securitization LLC 2007-CB3 A1 (STEP)
5.42%		03/25/37			2,474,249		1,109,536
Deutsche ALT-A Securities, Inc.
2007-AR3 2A4
0.54%		06/25/37	³		4,800,000		1,281,879


	Maturity			Principal
Issues	Date			Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Deutsche Financial Capital Securitization LLC
1997-I A3
6.75%		09/15/27		$	42,309	$	43,221
First Franklin Mortgage Loan Asset Backed
Certificates 2007-FF1 A2D
0.41%		01/25/38	³		6,900,000		2,980,317
Green Tree 2008-MH1 A3
8.97%		04/25/38	^3,4		2,177,551		2,429,839
Green Tree Home Improvement Loan Trust
1995-C B2
7.60%		07/15/20			20,016		19,843
Green Tree Home Improvement Loan Trust
1995-D B2
7.45%		09/15/25			75,395		65,500
Green Tree Home Improvement Loan Trust
1995-F B2
7.10%		01/15/21			9,939		9,799
HSBC Home Equity Loan Trust 2007-1 M1
0.57%		03/20/36	³		1,210,000		849,667
HSBC Home Equity Loan Trust 2007-2 M2
0.56%		07/20/36	³		735,000		456,999
IndyMac Index Mortgage Loan Trust
2007-FLX2 A1C
0.38%		04/25/37	³		2,641,326		1,166,992
IndyMac Manufactured Housing Contract
1997-1 A3
6.61%		02/25/28			664,234		652,906
IndyMac Manufactured Housing Contract
1997-1 A4
6.75%		02/25/28			327,981		323,919
IndyMac Manufactured Housing Contract
1998-1 A4
6.49%		09/25/28			257,951		254,119
IndyMac Manufactured Housing Contract
1998-1 A5
6.96%		09/25/28	³		621,748		626,232
IndyMac Manufactured Housing Contract
1998-2 A2
6.17%		12/25/11			116,250		116,343
IndyMac Manufactured Housing Contract
1998-2 A4
6.64%		12/25/27	³		1,150,915		1,149,358
JPMorgan Mortgage Acquisition Corp.
2006-FRE1 A3
0.38%		05/25/35	³		729,130		627,896
JPMorgan Mortgage Acquisition Corp.
2007-CH5 A3
0.30%		05/25/37	³		1,575,000		1,162,025
Lehman ABS Manufactured Housing Contract
Trust 2001-B A6
6.47%		08/15/28	³		1,216,872		1,308,717


	Maturity			Principal
Issues	Date			Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Lehman ABS Mortgage Loan Trust
2007-1 2A1
0.28%		06/25/37	^3,4	$	126,157	$	44,179
Lehman XS Trust 2006-13 1A2
0.36%		09/25/36	³		2,128,086		1,298,357
Lehman XS Trust 2006-13 1A3
0.48%		09/25/36	³		4,998,476		1,196,093
Lehman XS Trust 2006-19 A2
0.36%		12/25/36	³		2,117,176		1,219,106
Lehman XS Trust 2006-9 A1B
0.35%		05/25/46	³		2,120,664		1,222,419
Lehman XS Trust 2007-12N 1A3A
0.39%		07/25/47	³		14,120,000		5,263,265
Merrill Lynch Mortgage Investors, Inc.
2004-HE2 A2C
0.77%		08/25/35	³		709,726		690,329
Mid-State Trust 2004-1 B
8.90%		08/15/37			1,297,813		1,244,969
Mid-State Trust 2004-1 M1
6.50%		08/15/37			897,577		900,254
Mid-State Trust 6 A4
7.79%		07/01/35			48,725		48,426
Morgan Stanley Mortgage Loan Trust
2006-7 5A2
5.96%		06/25/36	³		3,363,713		1,833,536
Nationstar Home Equity Loan Trust
2007-A AV4
0.42%		03/25/37	³		5,000,000		2,911,583
Oakwood Mortgage Investors, Inc. 1998-A A4
6.20%		05/15/28			1,628		1,644
Oakwood Mortgage Investors, Inc. 1998-B A4
6.35%		03/15/17			114,671		115,103
Oakwood Mortgage Investors, Inc. 1998-D A
6.40%		01/15/29			749,567		757,413
Oakwood Mortgage Investors, Inc. 1999-A A2
5.89%		04/15/29			163,488		163,262
Oakwood Mortgage Investors, Inc. 1999-B A4
6.99%		12/15/26			1,263,223		1,277,560
Oakwood Mortgage Investors, Inc. 2001-D A3
5.90%		09/15/22	³		1,710,646		1,382,101
Oakwood Mortgage Investors, Inc. 2002-A A3
6.03%		05/15/24	³		1,142,550		1,118,893
Oakwood Mortgage Investors, Inc.
2002-A AIO (IO)
6.00%		03/15/32	^5,†		176,245		35
Opteum Mortgage Acceptance Corp.
2005-5 2A1B
5.64%		12/25/35	³		619,706		610,587
Origen Manufactured Housing 2005-A M1
5.46%		06/15/36	³		1,157,395		1,197,850


	Maturity			Principal
Issues	Date			Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Origen Manufactured Housing 2006-A A1
0.34%		11/15/18	³	$	1,582,071	$	1,553,438
Securitized Asset Backed Receivables LLC
Trust 2006-H2 A2D
0.43%		07/25/36	³		2,200,000		761,279
Securitized Asset Backed Receivables LLC
Trust 2007-BR4 A2C
0.48%		05/25/37	³		2,600,000		891,345
SG Mortgage Securities Trust
2007-NC1 A2
0.43%		12/25/36	^3,4		1,158,062		580,770
Specialty Underwriting & Residential Finance
2004-BC4 A2C
0.68%		10/25/35	³		1,876,008		1,647,326
Terwin Mortgage Trust 2004-7HE A1
0.74%		07/25/34	^3,4		122,539		108,810
UCFC Home Equity Loan 1998-D BF1
8.97%		04/15/30	³		585		253
UCFC Manufactured Housing Contract
1997-4 A4
7.00%		04/15/29	³		654,517		674,014
Vanderbilt Mortgage Finance 2002-C A5
7.60%		12/07/32			1,100,000		1,136,553
Washington Mutual Alternative Mortgage Pass-Through Certificates 2007-0A2 2A
0.98%		01/25/47	³		2,813,723		1,262,892
Washington Mutual MSC Mortgage Pass-Through Certificates 2003-MS9 1A
7.00%		04/25/33			22,718		23,375


							87,995,461


U.S. Agency Mortgage-Backed — 13.59%
Fannie Mae (TBA)
3.50%		07/25/26			2,065,000		2,103,074
6.00%		07/25/41			1,135,000		1,247,081
Fannie Mae 1993-80 S
10.61%		05/25/23	³		12,565		13,822
Fannie Mae 2000-45 SA (IO)
7.76%		12/18/30	³		2,060,696		340,194
Fannie Mae 2001-42 SB
8.50%		09/25/31	³		1,868		1,875
Fannie Mae 2003-124 IO (IO)
5.25%		03/25/31			43,349		736
Fannie Mae 2003-124 TS
9.80%		01/25/34	³		29,860		32,339
Fannie Mae 2003-37 IG (IO)
5.50%		05/25/32			504,921		38,629
Fannie Mae 2005-92 US (IO)
5.91%		10/25/25	³		8,231,089		1,040,437
Fannie Mae 2006-125 SM
7.01%		01/25/37	³		9,500,559		1,631,970


	Maturity			Principal
Issues	Date			Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae 2006-8 HL
6.51%		03/25/36	³	$	8,826,422	$	1,703,876
Fannie Mae 2008-50 SA (IO)
5.86%		11/25/36	³		8,354,569		1,298,801
Fannie Mae 2010-112 PI (IO)
6.00%		10/25/40			6,094,518		1,177,784
Fannie Mae 2010-43 KS
6.23%		05/25/40	³		6,680,600		998,721
Fannie Mae Pool 889117
5.00%		10/01/35			1,041,343		1,111,878
Freddie Mac 1602 SN
10.09%		10/15/23	³		14,590		14,171
Freddie Mac 1673 SD
12.60%		02/15/24	³		668,894		823,202
Freddie Mac 1760 ZD
2.65%		02/15/24	³		1,437,624		1,452,131
Freddie Mac 2527 TI (IO)
6.00%		02/15/32			113,293		3,833
Freddie Mac 2561 BX (IO)
5.00%		05/15/17			281,282		5,430
Freddie Mac 2642 BW (IO)
5.00%		06/15/23			78,748		10,250
Freddie Mac 2657 LX (IO)
6.00%		05/15/18			379,946		28,995
Freddie Mac 2764 SH
7.50%		03/15/34	³		109,555		112,478
Freddie Mac 3242 SA (IO)
6.16%		11/15/36	³		28,588,028		4,179,495
Freddie Mac 3247 SI (IO)
0.15%		08/15/36	³		77,170,513		311,561
Freddie Mac 3260 AS (IO)
6.19%		01/15/37	³		31,799,829		4,790,466
Freddie Mac 3280 SI (IO)
6.25%		02/15/37	³		20,689,963		3,178,806
Freddie Mac 3289 SD (IO)
5.93%		03/15/37	³		9,345,680		1,115,764
Freddie Mac Gold (TBA)
3.50%		07/15/26			2,095,000		2,133,954
Ginnie Mae 2001-31 SJ
27.35%		02/20/31	³		65,457		103,029
Ginnie Mae 2003-28 LI (IO)
5.50%		02/20/32			43,649		2,291
Ginnie Mae 2004-8 SE
13.93%		11/26/23	³		297,245		330,305


							31,337,378


Total Mortgage-Backed
(Cost $129,677,681)							128,491,170

Maturity

Principal

Issues

Date

Amount

Value

MUNICIPAL BONDS — 0.11%*

Illinois — 0.11%

State of Illinois, Pension Funding G.O.,

Taxable

4.07%

01/01/14

250,000

258,980

Total Municipal Bonds

(Cost $248,778)

258,980

Total Bonds – 98.19%

(Cost $220,867,370)

226,374,701



Issues	Shares		Value
PREFERRED STOCK — 1.63%
Communications — 0.60%
Corts Trust for US West Communications
7.50%		7,118		179,800
Citizens Communications Co. Preferred Plus Trust
8.38%		12,100		306,130
Qwest Capital Funding Preferred Plus Trust
7.75%		9,650		244,821
8.00%		19,500		495,690
Verizon Global Funding Corp. Preferred Plus Trust
7.63%		6,100		160,186


				1,386,627


Electric — 0.55%
PPL Corp.
0.24%		22,500		1,257,750


Finance — 0.48%
Citigroup Capital XIII
0.20%		40,000		1,111,200
Terwin Mortgage Trust 2005-P1 A
0.00%^3,5,6,†		570		1


				1,111,201


Total Preferred Stock
(Cost $3,417,447)				3,755,578


	Maturity			Principal
Issues	Date			Amount		Value
SHORT-TERM INVESTMENTS — 2.03%
Money Market Fund — 2.00%
Dreyfus Cash Advantage Fund
0.13%⁷				$	2,298,000	$	2,298,000
DWS Money Market Series-Institutional
0.06%⁷					278,000		278,000
Fidelity Institutional Money Market Funds - Prime Money Market Portfolio
0.08%⁷					2,021,000		2,021,000
Goldman Sachs Financial Square Funds - Prime Obligations Fund
0.03%^7,8					20,000		20,000


							4,617,000

U.S. Treasury Bills — 0.03%
U.S. Treasury Bills
0.03%⁹		09/08/11	¹⁰		55,000		54,999


Total Short-Term Investments
(Cost $4,671,996)							4,671,999


Total Investments – 101.85%

(Cost $228,956,813)¹							234,802,278


Liabilities in Excess of Other
Assets – (1.85)%							(4,253,955	)


NET ASSETS – 100.00%						$	230,548,323


		Unrealized
Contracts		(Depreciation)
FUTURES CONTRACTS: SHORT POSITIONS
12	Euro Dollar Ninety Day,
	Expiration September 2011	$	(81,018	)
7	Euro Dollar Ninety Day,
	Expiration December 2011		(53,092	)
7	Euro Dollar Ninety Day,
	Expiration March 2012		(55,818	)
7	Euro Dollar Ninety Day,
	Expiration June 2012		(57,130	)

	Net unrealized depreciation	$	(247,058	)


			Notional
	Expiration		Amount
	Date		(000’s)		(Depreciation)			Value
SWAPS: TOTAL RETURN
Based on the change in the return of the markit IOS Index referencing the interest component of the 6.50% coupon, 30-year, fixed rate Fannie Mae residential mortgage-backed securities pools. Counterparty: Deutsche Bank AG
		01/12/39	$	996	$	(4,203	)	$	(4,203	)


			$	996	$	(4,203	)	$	(4,203	)


	Notional
Expiration	Amount			Appreciation/
Date	(000’s)			(Depreciation)				Value
SWAPS: INTEREST RATE
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 1.38% quarterly.
Counterparty: CS First Boston
06/18/14		$	6,325		$	10,217			$	10,217
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 2.66% quarterly.
Counterparty: CS First Boston
06/18/17			2,650			(12,623	)			(12,623	)


		$	8,975		$	(2,406	)		$	(2,406	)


				Notional
Expiration	Premiums			Amount
Date	Paid			(000’s)^a			Appreciation			Value
SWAPS: CREDIT DEFAULT (PURCHASED) - SINGLE ISSUES
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		$	5,525		$	170		$	6,435		$	11,960
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			5,855			130			3,292			9,147
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.
09/20/16			5,855			130			3,292			9,147
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			11,301			2,500			102,140			113,441


		$	28,536		$	2,930		$	115,159		$	143,695

^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 $229,348,113 and net unrealized appreciation/ (depreciation) consists of:


Gross unrealized appreciation	$	28,280,966
Gross unrealized depreciation		(22,826,801	)

Net unrealized appreciation	$	5,454,165

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

³	Floating rate security. The rate disclosed was in effect at June 30, 2011.

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, nor-mally to qualified institutional buyers. The market value of these securities at June 30, 2011, was $57,870,982, representing 25.10% of total net assets.

5 Illiquid security as determined under procedures approved by the Fund’s Board of Trustees. The aggregate value of illiquid securities is $23,760, which is 0.01% 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:


						% of
Date of		Amortized				Total
Purchase	Security	Cost		Value		Net Assets
12/19/06	Boston Generating LLC
	1st Lien Term Loan,
	0.01%, 12/20/13	$	173,408	$	65,028		0.03	%
06/24/10	Caesars Entertainment
	Operating Co., Inc. Term
	Loan B2, 3.25%, 01/28/15		2,864,711		2,924,990		1.27	%
04/01/11	MACH Gen LLC Term
	Loan C (PIK), 7.76%,
	02/15/15		1,267,314		1,193,382		0.52	%
04/19/05	Terwin Mortgage Trust
	2005-P1 A, 0.00%,		2,893		1		0.00	%

		$	4,308,326	$	4,183,401		1.82	%

⁷	Represents the current yield as of June 30, 2011.

⁸	Securities, or a portion thereof, pledged as collateral for swaps. The total market value of collateral pledged is $20,000.

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 $54,998.

^†

Fair valued security. The aggregate value of fair valued securities is $10,758,009, which is 4.67% 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 represents securities that are priced using a benchmark pricing system and securities that have been deemed permanently stale, see Notes to Financial Statements.

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

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

(G.O.): General Obligation

(IO): Interest only

(LIBOR): London InterBank Offer Rate

(MTN): Medium-term note

(PIK): Payment in kind

(STEP): Step coupon bond

(TBA): To be announced


Issues	Maturity Date			Principal Amount		Value
BONDS – 87.61%
ASSET-BACKED SECURITIES — 1.68%**
Aviation Capital Group Trust 2003-2A G2
0.99%		09/20/33	^2,3,†	$	54,753	$	46,267
BMW Vehicle Lease Trust 2009-1 A3
2.91%		03/15/12			9,011		9,018
Capital Auto Receivables Asset Trust
2008-CPA A1
1.04%		01/15/13	^2,3		30,219		30,279
Castle Trust 2003-1AW A1
0.94%		05/15/27	^2,3,†		76,612		71,632
Green Tree Recreational Equipment & Consumer Trust 1996-D Certificates
7.24%		12/15/22			13,861		9,501

Total Asset-Backed Securities
(Cost $126,421)							166,697

CORPORATES — 27.22%*
Banking — 4.14%
Abbey National Treasury Services Plc (YCD)
(United Kingdom)
1.57%		04/25/13	^2,4		50,000		50,307
Credit Suisse/Guernsey 1 (Switzerland)
0.95%		05/29/49	^2,4		230,000		190,037
Lloyds TSB Bank Plc (United Kingdom)
2.62%		01/24/14	^2,4		70,000		71,026
National Australia Bank, Ltd. S (Australia)
1.01%		04/11/14	^2,4		100,000		99,684

							411,054

Communications — 0.26%
Nextel Communications, Inc. E
6.88%		10/31/13			25,000		25,281

Consumer Discretionary — 0.71%
Anheuser-Busch InBev Worldwide, Inc.
0.82%		01/27/14	²		70,000		70,377

Electric — 1.25%
KCP&L Greater Missouri Operations Co.
11.88%		07/01/12			80,000		88,161
W3A Funding Corp.
8.09%		01/02/17			35,583		35,870

							124,031

Finance — 13.33%
Chase Capital II B
0.77%		02/01/27	²		325,000		268,473
Citigroup, Inc.
1.96%		05/15/18	²		305,000		306,044
General Electric Capital Corp. (MTN)
0.65%		05/05/26	²		325,000		284,090


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Finance (continued)
Macquarie Group Ltd. (Australia)
7.30%		08/01/14	^3,4	$	35,000	$	39,200
MBNA Capital A
8.28%		12/01/26			100,000		102,625
MBNA Capital B
1.07%		02/01/27	²		175,000		142,470
Prudential Holdings LLC (AGM)
1.12%		12/18/17	^2,3		100,000		95,030
Woodbourne Capital Trust I
2.73%		04/08/49	^2,3,5		80,000		40,000
Woodbourne Capital Trust II
2.73%		04/08/49	^2,3,5		90,000		45,000


							1,322,932

Health Care — 0.77%
Universal Health Services, Inc.
6.75%		11/15/11			75,000		76,616

Insurance — 0.51%
MetLife, Inc.
2.38%		02/06/14			50,000		50,983

Real Estate Investment Trust (REIT) — 4.76%
Duke Realty LP
5.40%		08/15/14			50,000		53,981
HCP, Inc.
2.70%		02/01/14			50,000		50,752
6.45%		06/25/12			85,000		89,234
Healthcare Realty Trust, Inc.
5.13%		04/01/14			40,000		42,510
Liberty Property LP
6.38%		08/15/12			45,000		47,314
Nationwide Health Properties, Inc.
6.50%		07/15/11			75,000		75,104
Post Apartment Homes LP
5.45%		06/01/12			55,000		56,589
WEA Finance LLC/WT Finance
7.50%		06/02/14	³		50,000		57,143


							472,627

Transportation — 1.49%
Continental Airlines Pass-Through Trust
1997-4 A
6.90%		01/02/18			132,891		140,947
Continental Airlines Pass-Through Trust
2002-1 G1
0.71%		08/15/11	²		7,267		7,158


							148,105

Total Corporates
(Cost $2,561,867)							2,702,006


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED — 55.39%**
Commercial Mortgage-Backed — 10.33%
Bayview Commercial Asset Trust
2004-3 A1
0.56%		01/25/35	^2,3	$	58,459	$	50,881
Bear Stearns Commercial Mortgage Securities 2002-PBW1 A2
4.72%		11/11/35	²		55,000		56,541
Commercial Mortgage Asset Trust
1999-C1 A4
6.98%		01/17/32	²		55,000		57,731
Credit Suisse First Boston Mortgage
Securities Corp. 2001-CKN5 A4
5.44%		09/15/34			26,482		26,461
Credit Suisse First Boston Mortgage
Securities, Corp. 2002-CP3 A3
5.60%		07/15/35			60,000		61,899
GE Capital Commercial Mortgage Corp.
2002-1A A3
6.27%		12/10/35			57,426		58,642
GE Capital Commercial Mortgage Corp.
2002-2A A3
5.35%		08/11/36			125,000		128,873
GE Capital Commercial Mortgage Corp.
2002-3A A2
5.00%		12/10/37			59,246		61,142
GMAC Commercial Mortgage Securities, Inc.
2002-C1 A2
6.28%		11/15/39			30,014		30,221
GMAC Commercial Mortgage Securities, Inc.
2002-C2 A3
5.71%		10/15/38			49,568		50,762
Greenwich Capital Commercial Funding Corp.
2002-C1 A4
4.95%		01/11/35			55,000		56,846
Greenwich Capital Commercial Funding Corp.
2003-C1 A4
4.11%		07/05/35			54,048		55,855
Greenwich Capital Commercial Funding Corp.
2004-GG1 A7
5.32%		06/10/36	²		35,000		37,629
JPMorgan Chase Commercial Mortgage
Securities Corp. 2002-C2 A2
5.05%		12/12/34			60,000		62,422
JPMorgan Chase Commercial Mortgage
Securities Corp. 2002-CA A3
5.38%		07/12/37			54,810		56,340
Nomura Asset Securities Corp.
1998-D6 A3
7.52%		03/15/30	²		55,000		59,774
Salomon Brothers Mortgage Securities VII,
Inc. 2002-KEY2 A3
4.87%		03/18/36			50,000		51,342


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	$	62,262

							1,025,623

Non-Agency Mortgage-Backed — 24.47%
Accredited Mortgage Loan Trust 2005-4 A2C
0.40%		12/25/35	²		15,784		15,438
ACE Securities Corp. 2004-FM1 B1A
5.44%		09/25/33	²		17,188		3,916
American Home Mortgage Investment Trust
2007-2 11A1
0.42%		03/25/47	²		99,790		48,838
Banc of America Mortgage Securities, Inc.
2003-A 2A2
2.98%		02/25/33	²		8,299		7,208
Conseco Finance Home Loan Trust
2000-E M1
8.13%		08/15/31	²		24,360		23,869
Conseco Financial Corp. 1997-4 A5
6.88%		02/15/29			58,188		60,988
Countrywide Alternative Loan Trust
2005-16 A5
0.47%		06/25/35	²		152,710		48,398
Countrywide Alternative Loan Trust
2005-27 3A2
1.38%		08/25/35	²		85,086		44,173
Countrywide Asset-Backed Certificates
2004-1 2A
0.43%		04/25/34	²		5,852		4,696
Credit Suisse First Boston Mortgage
Securities Corp. 1997-2 A
7.50%		06/25/20	³		8,759		9,107
Credit-Based Asset Servicing and
Securitization LLC 2003-CB1 AF (STEP)
3.95%		01/25/33			75,482		69,211
Downey Savings & Loan Association
Mortgage Loan Trust 2004-AR1 A2A
0.60%		09/19/44	²		52,262		37,396
Downey Savings & Loan Association
Mortgage Loan Trust 2004-AR3 2A2A
0.56%		07/19/44	²		14,816		11,198
GE Mortgage Services LLC 1998-HE1 A7
6.47%		06/25/28			1,148		1,143
Green Tree Home Improvement Loan Trust
1995-C B2
7.60%		07/15/20			13,321		13,206
Green Tree Home Improvement Loan Trust
1995-F B2
7.10%		01/15/21			43,551		42,938


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Harborview Mortgage Loan Trust
2004-8 2A4A
0.59%		11/19/34	²	$	78,249	$	53,171
Harborview Mortgage Loan Trust
2005-11 2A1A
0.50%		08/19/45	²		150,816		108,570
HSBC Home Equity Loan Trust 2006-1 A1
0.35%		01/20/36	²		53,889		48,844
HSBC Home Equity Loan Trust 2007-1 M1
0.57%		03/20/36	²		100,000		70,220
IndyMac Index Mortgage Loan Trust
2004-AR12 A1
0.58%		12/25/34²			203,788		123,682
IndyMac Index Mortgage Loan Trust
2004-AR5 2A1A
1.05%		08/25/34²			25,021		17,050
IndyMac Index Mortgage Loan Trust
2005-AR18 2A1B
0.97%		10/25/36²			105,735		67,894
IndyMac Index Mortgage Loan Trust
2005-AR2 2A2A
0.53%		02/25/35²			85,165		49,223
IndyMac Index Mortgage Loan Trust
2006-AR2 1A1A
0.41%		04/25/46²			110,660		61,296
IndyMac Manufactured Housing Contract
1997-1 A4
6.75%		02/25/28			172,319		170,185
Lehman XS Trust 2006-2N 1A1
0.45%		02/25/46	²		69,707		37,545
Merrill Lynch First Franklin Mortgage Loan
Trust 2007-3 A2D
0.44%		06/25/37²			100,000		41,971
Merrill Lynch First Franklin Mortgage Loan
Trust 2007-4 2A4
0.44%		07/25/37²			30,000		12,417
Nationstar Home Equity Loan Trust
2007-B 2AV4
0.51%		04/25/37²			205,000		79,207
Option One Mortgage Loan Trust 2003-2 A2
0.79%		04/25/33²			92,424		78,144
Option One Mortgage Loan Trust 2003-5 A2
0.83%		08/25/33²			63,605		52,006
Origen Manufactured Housing 2006-A A1
0.34%		11/15/18²			32,193		31,611
Park Place Securities, Inc. 2004-MHQ1 M1
0.89%		12/25/34²			51,179		49,135
Residential Asset Mortgage Products, Inc.
2003-RS1 AII
0.97%		02/25/33²			44,055		23,233


Issues	Maturity Date	Principal Amount	Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Residential Asset Mortgage Products, Inc.
2003-SL1 A11
7.13%	03/25/16	$65,491		$67,364
Residential Asset Mortgage Products, Inc.
2003-SL1 A41
8.00%	04/25/31	31,965		34,080
Residential Asset Mortgage Products, Inc.
2004-SL1 A2
8.50%	11/25/31	14,309		14,566
Residential Asset Securities Corp.
2003-KS3 A2
0.79%	05/25/33²	29,057		22,891
Residential Asset Securities Corp.
2005-KS12 A2
0.44%	01/25/36²	35,204		32,437
Resmae Mortgage Loan Trust 2006-1 A1B
0.46%	02/25/36^2,3	109,729		3,010
SACO I, Inc. 2005-2 A
0.59%	04/25/35^2,3	3,541		1,443
Saxon Asset Securities Trust 2004-1 M1
0.98%	03/25/35²	209,705		165,136
Structured Asset Mortgage Investments, Inc.
2006-AR5 1A1
0.40%	05/25/46²	123,481		68,530
Structured Asset Securities Corp.
2003-15A 2A1
2.54%	04/25/33²	69,625		66,379
Structured Asset Securities Corp.
2003-34A 5A4
2.55%	11/25/33²	55,778		54,030
Structured Asset Securities Corp.
2006-BC6 A2
0.27%	01/25/37²	52,123		51,289
Terwin Mortgage Trust 2004-13AL 2PX (IO)
0.34%	08/25/34^3,5	10,860,833		99,380
Washington Mutual Mortgage Pass-Through
Certificates 2002-AR6 A
1.68%	06/25/42²	13,685		10,933
Washington Mutual MSC Mortgage
Pass-Through Certificates 2003-MS9 1A
7.00%	04/25/33	71,190		73,251
Wells Fargo Home Equity Trust 2005-3 AII3
0.53%	11/25/35²	48,442		47,356


				2,429,202

U.S. Agency Mortgage-Backed — 20.59%
Fannie Mae 1997-91 SL (IO)
7.50%	11/25/23²	228,785		43,639
Fannie Mae 2001-70 OF
1.14%	10/25/31²	90,006		91,533
Fannie Mae 2002-97 FR
0.74%	01/25/33²	94,799		95,340


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		$	123,151	$	9,422
Fannie Mae 2003-62 IG (IO)
5.00%		10/25/31			1,000,000		79,647
Fannie Mae 2003-71 YF
0.59%		09/25/31	²		151,858		152,181
Fannie Mae 2003-76 GF
0.59%		09/25/31	²		176,471		176,871
Fannie Mae 2004-33 MW
4.50%		01/25/30			100,000		106,940
Fannie Mae 2007-36 F
0.42%		04/25/37	²		59,433		58,746
Fannie Mae 2008-47 PF
0.69%		06/25/38	²		89,641		90,331
Fannie Mae G-36 ZB
7.00%		11/25/21			2,697		3,064
Fannie Mae Interest Strip 405 F10
0.89%		10/25/40	²		102,760		102,789
Fannie Mae Pool 646884
1.92%		05/01/32	²		77,550		78,013
Fannie Mae Pool 802665
2.24%		12/01/34	²		18,426		19,236
Fannie Mae Whole Loan 2003-W6 F
0.54%		09/25/42	²		150,113		150,207
Freddie Mac 2777 FE
0.54%		10/15/32	²		94,466		94,662
Freddie Mac 3501 JA
4.00%		04/15/37			115,209		120,616
Freddie Mac Non Gold Pool 781908
2.58%		09/01/34	²		53,022		55,250
Freddie Mac-Ginnie Mae 2 L
8.00%		11/25/22			17,617		19,650
National Credit Union Administration
Guaranteed Notes 2011-C1 2A
0.72%		03/09/21	²		123,281		123,436
National Credit Union Administration
Guaranteed Notes 2011-R3 1A
0.59%		03/11/20	²		94,412		94,567
National Credit Union Administration
Guaranteed Notes 2011-R4 1A
0.57%		03/06/20	²		88,616		88,678
National Credit Union Administration
Guaranteed Notes 2011-R5 1A
0.57%		04/06/20	²		95,304		95,375


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
National Credit Union Administration
Guaranteed Notes 2011-R6 1A
0.57%		05/07/20	²	$	94,610	$	94,684


							2,044,877


Total Mortgage-Backed
(Cost $5,778,200)							5,499,702


MUNICIPAL BONDS — 1.20%*
California — 0.54%
State of California, Refunding Bonds, G.O.,
Taxable Variable Purpose
4.85%		10/01/14			50,000		53,468


Illinois — 0.66%
State of Illinois, Pension Funding G.O.,
Taxable
2.77%		01/01/12			40,000		40,219
4.07%		01/01/14			25,000		25,898

							66,117


Total Municipal Bonds
(Cost $116,373)							119,585


U.S. AGENCY SECURITIES — 2.12%
Federal Home Loan Bank
0.50%		12/20/12			105,000		104,979
Federal Home Loan Bank 1
0.50%		11/16/12			105,000		105,133

Total U.S. Agency Securities
(Cost $210,000)							210,112


Total Bonds – 87.61%
(Cost $8,792,861)							8,698,102

Issues

Maturity
Date

Principal
Amount

Value

SHORT-TERM INVESTMENTS — 8.09%

Money Market Fund — 2.00%

Dreyfus Cash Advantage Fund

0.13%⁶

92,000

DWS Money Market Series-Institutional

0.06%⁶

37,000

Fidelity Institutional Money Market Funds -

Prime Money Market Portfolio

0.08%⁶

69,000

198,000

U.S. Agency Discount Notes — 1.36%

Fannie Mae

0.08%⁷

10/26/11

135,000

134,987

U.S. Treasury Bills — 4.73%

U.S. Treasury Bills

0.03%⁷

09/08/11

⁸

470,000

469,995

Total Short-Term Investments

(Cost $802,934)

802,982

Total Investments – 95.70%

(Cost $9,595,795)¹

9,501,084

Cash and Other Assets, Less

Liabilities – 4.30%

427,069

Net Assets – 100.00%

9,928,153


Contracts		Unrealized Appreciation
FUTURES CONTRACTS: LONG POSITIONS
3	S&P 500 E Mini Index
	Expiration September 2011	$	7,374
19	S&P 500 Index,
	Expiration September 2011		45,590


	Net unrealized appreciation	$	52,964


Expiration Date	Notional Amount (000’s)		(Depreciation)			Value
SWAPS: TOTAL RETURN
The Fund pays a floating rate based on 1-month USD LIBOR plus 13 basis points and the Fund receives from the counterparty the price return on the Standard & Return Index. Counterparty: CS First Boston
07/06/11	$	2	$	(58,133	)	$	(58,133	)
The Fund pays a floating rate based on 1-month USD LIBOR plus 17 basis points and the Fund receives from the counterparty the price return on the Standard & Return Index. Counterparty: CS First Boston
08/03/11		2		—			—


	$	4	$	(58,133	)	$	(58,133	)

Expiration

Date

Premiums

Paid

Notional

Amount

(000’s)^a

Appreciation

Value

SWAPS: CREDIT DEFAULT (PURCHASED)—SINGLE ISSUES

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		$	1,463			$	45			$	1,703			$	3,166


09/20/16			1,801				40				1,013				2,814


09/20/16		1,802		40		1,013		2,815


	$	5,066	$	125	$	3,729	$	8,795

^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 $9,652,321 and net unrealized appreciation/ (depreciation) consists of:


Gross unrealized appreciation	$	2,005,295
Gross unrealized depreciation		(2,156,532	)

Net unrealized depreciation	$	(151,237	)

²	Floating rate security. The rate disclosed was in effect at June 30, 2011.

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

⁵	Illiquid security as determined under procedures approved by the ees. The aggregate value of illiquid securities is $184,380, which is 1.86% of total net assets.

⁶	Represents the current yield as of June 30, 2011.

⁷	Represents annualized yield at date of purchase.

⁸	Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $469,986.

^†

Fair valued security. The aggregate value of fair valued securities is $117,899, which is 1.19% 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 represents securities that are priced using a benchmark pricing system and securities that have been deemed permanently stale, see 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 500 Total made will have an effective maturity date less than the stated maturity date.

Note: For Fund compliance purposes, the refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or 500 Total as defined by Fund management. This definition may not apply for purposes of this report, which may combine industry sub-classifications for reporting ease. These classifications are unaudited.

Fixed-income securities for which market quotations are readily available are valued at prices as provided by approved independent pricing vendors or broker quotes. 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. The benchmark pricing system is continuously reviewed by the Adviser and implemented according to the pricing policy reviewed by the Board. Debt securities which mature in less than 60 days are valued at amortized cost if their original maturity was 60 days or less. If their original term to maturity exceeded 60 days, they are valued by amortizing the value as of the 61^stday 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.

Investments in registered open-ended investment companies, including those classified as money market funds, are valued based upon the reported net asset value of such investments.

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, including original issue discount, and premiums on securities are amortized using the interest method.

Distributions to shareholders are recorded on the ex-dividend date. The Funds (except the Alpha Trak 500 Fund) expect to declare distributions daily and pay monthly to shareholders. The Alpha Trak 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 June 30, 2011, 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.

On December 22, 2010, The U.S. government passed the Regulated Investment Company Modernization Act of 2010 (the “Modernization Act”). The Modernization Act is the first major piece of legislation affecting Regulated Investment Companies (“RICs”) since 1986 and it modernizes several of the federal income and excise tax provisions related to RICs. One of the provisions allows a RIC to carry forward capital losses indefinitely, and retain the character of the original loss. Under pre-enactment law, capital losses could be carried forward for eight years, and carried forward as short-term capital, irrespective of the character of the original loss. Except for the simplification provisions related to RIC qualification, the Modernization Act is effective for taxable years beginning after December 22, 2010. The provisions related to RIC qualification are effective for taxable years for which the extended due date of the tax return is after December 22, 2010.

The Trust has defined cash and cash equivalents as cash which can be in interest-bearing accounts. The Funds also maintain cash in bank account deposits that, at times, may exceed federally insured limits. The Funds have not experienced any losses in any such accounts and do not believe they are exposed to any significant credit risk on such bank deposits.

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.

Money Market Funds. Money Market Funds are open-ended mutual fund that invest in short-term debt securities To the extent that these funds are valued based upon the reported net asset value, they are categorized in Level 1 of the fair value hierarchy.

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 June 30, 2011, Level 3 securities consist of certain collateralized mortgage obligations, preferred stock, asset-backed securities and corporate bonds.

The summary of inputs used to value each Fund’s net assets as of June 30, 2011 is as follows:

The following table shows transfers between Level 1 and Level 2 of the fair value hierarchy:

** Financial assets transferred between Level 1 and Level 2 were due to a change in observable and/or unobservable inputs.

For the period ended June 30, 2011, none of the portfolios had 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 on a recurring basis:

In May 2011, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”) No. 2011-04 “Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements” in U.S. GAAP and International Financial Reporting Standards (“IFRSs”). ASU 2011-04 includes common requirements for measurement of and disclosure about fair value between U.S. GAAP and IFRS. ASU 2011-04 will require reporting entities to disclose the following information for fair value measurements categorized within Level 3 of the fair value hierarchy: quantitative information about the unobservable inputs used in the fair value measurement, the valuation processes used by the reporting entity and a narrative description of the sensitivity of the fair value measurement to changes in unobservable inputs and the interrelationships between those unobservable inputs. In addition, ASU 2011-04 will require reporting entities to make disclosures about amounts and reasons for all transfers in and out of Level 1 and Level 2 fair value measurements. The new and revised disclosures are effective for interim and annual reporting periods beginning after December 15, 2011. Management is currently evaluating the implications of ASU No. 2011-04 and its impact on the financial statements.

The following is a summary of the Funds’ derivative instrument holdings categorized by primary risk exposure as of June 30, 2011:

The Funds may invest in mortgage pass-through securities which represent interests in pools of mortgages in which payments of both principal and interest on the securities are generally made monthly, in effect “passing through” monthly payments made by borrowers on the residential or commercial mortgage loans which underlie the securities (net of any fees paid to the issuer or guarantor of the securities). Mortgage pass-through securities differ from other forms of debt securities, which normally provide for periodic payment of interest in fixed amounts with principal payments at maturity or specified call dates.

The Funds may invest in securities issued by Federal National Mortgage Association (“FNMA”) and Federal Home Loan Mortgage Corp. (“FHLMC”). These are fixed-income securities that derive their value from or represent interests in a pool of mortgages or mortgage securities. An unexpectedly high rate of defaults on the mortgages held by a mortgage pool may adversely affect the value of a mortgage-backed security and could result in losses to the Funds. The risk of such defaults is generally higher in the case of mortgage pools that include sub-prime mortgages. Sub-prime mortgages refer to loans made to borrowers with weakened credit histories or with a lower capacity to make timely payments on their mortgages.

Additionally, securities issued by FNMA and FHLMC are not backed by or entitled to the full faith and credit of the United States and are supported by the right to the issuer to borrow from the Treasury.

On September 7, 2008, the Federal Housing Finance Agency was appointed as conservator of FNMA and FHLMC. In addition, the U.S. Department of the Treasury has agreed to provide capital as needed to ensure FNMA and FHLMC continue to provide liquidity to the housing and mortgage markets.

The Funds may also invest in Collateralized Mortgage Obligations (“CMOs”). CMOs are debt obligations collateralized by residential or commercial mortgage loans or residential or commercial mortgage pass-through securities. Interest and principal are generally paid monthly. CMOs may be collateralized by whole mortgage loans or private mortgage pass-through securities but are more typically collateralized by portfolios of mortgage pass-through securities guaranteed by Government National Mortgage Association (“GNMA”), FHLMC, or FNMA. The issuer of a series of CMOs may elect to be treated for tax purposes as a Real Estate Mortgage Investment

Conduit. CMOs are structured into multiple classes, each bearing a different stated maturity. Monthly payment of principal received from the pool of underlying mortgages, including prepayments, is first returned to investors holding the shortest maturity class. Investors holding the longer maturity classes usually receive principal only after shorter classes have been retired. An investor may be partially protected against a sooner than desired return of principal because of the sequential payments.

The Funds may enter into to be announced (“TBA”) commitments to purchase or sell securities for a fixed price at a future date. TBA commitments are considered securities in themselves, and involve a risk of loss if the value of the security to be purchased or sold declines or increases prior to settlement date, which is in addition to the risk of decline in the value of the Funds’ other assets. Unsettled TBA commitments are valued at the current market value of the underlying securities, according to the procedures described in Note 2 under “Security Valuation”.

The Funds may invest in Collateralized Bond Obligations (“CBOs”), Collateralized Loan Obligations (“CLOs”) and other Collateralized Debt Obligations (“CDOs”), which are debt instruments backed solely by a pool of other debt securities. The risks of an investment in a CBO, CLO or other CDO depend largely on the type of the collateral securities and the class of the CBO, CLO or other CDO in which a Fund invests. Some CBOs, CLOs and other CDOs have credit ratings, but are typically issued in various classes with various priorities. Normally, CBOs, CLOs and other CDOs are privately offered and sold (that is, not registered under the securities laws) and may be characterized by the Funds as illiquid securities, but an active dealer market may exist for CBOs, CLOs and other CDOs that qualify for Rule 144A transactions. In addition to the normal interest rate, default and other risks of fixed income securities CBOs, CLOs and other CDOs carry additional risks, including the possibility that distributions from collateral securities will not be adequate to make interest or other payments, the quality of the collateral may decline in value or default, the Funds may invest in CBOs, CLOs and other CDOs that are subordinate to other classes, volatility in value, and the complex structure of the security may not be fully understood at the time of investment and produce disputes with the issuer or unexpected investment results.

The Funds may invest in stripped mortgage-backed securities issued by the U.S. Government, its agencies and instrumentalities. Stripped mortgage-backed securities are usually structured with two classes that receive different proportions of the interest and principal distributions on a pool of mortgage assets. In certain cases, one class will receive all of the interest (the interest-only or “IO” class), while the other class will receive all of the principal (the principal-only or “PO” class). During the year ended June 30, 2011, certain interest only securities were held as part of the overall mortgage portfolio holdings. The yield to maturity on IOs is sensitive to the rate of principal repayments (including prepayments) on the related underlying mortgage assets, and principal payments may have a material effect on yield to maturity. If the underlying mortgage assets experience greater than anticipated prepayments of principal, a Fund may not fully recoup its initial investment in IOs. Such securities will be considered liquid only if so determined in accordance with guidelines established by the Board. The Funds also may invest in stripped mortgage-backed securities that are privately issued. These securities will be considered illiquid for purposes of each Fund’s limit on illiquid securities.

The Funds may purchase participations in commercial loans, or may purchase assignments of such loans. Such indebtedness may be secured or unsecured. Loan participations typically represent direct participation in a loan to a corporate borrower, and generally are offered by banks or other financial institutions or lending syndicates. The Funds may participate in such syndications, or can buy part of a loan, becoming a part lender. When purchasing loan participations, a Fund assumes the credit risk associated with the corporate borrower and may assume the credit risk associated with an interposed bank or other financial intermediary.The participation interests in which a Fund intends to invest may not be rated by any nationally recognized rating service. Participations and assignments also involve special types of risk, including interest rate risk, liquidity risk, and the risk of being a lender. If the Fund purchases a participation, it may only be able to enforce its rights through the lender, and may assume the credit risk of the lender in addition to the borrower.

The Funds may also sell a debt or equity security short that is, without owning it and borrow the same security from a broker or other institution to complete the sale. The Adviser may use short sales when it believes a security is overvalued or as a partial hedge against a position in a related security of the same issuer held by a Fund. The Ultra Short Bond Fund, Low Duration Bond Fund, Intermediate Bond Fund, and Total Return Bond Fund, will not make total short sales exceeding 25% of the value of that Fund’s assets. The High Yield Bond Fund and Strategic Income Fund will not make total short sales exceeding 33 1/3% of the Fund’s assets. If the value of the security sold short increases, a Fund would lose money because it would need to replace the borrowed security by purchasing it at a higher price. The potential loss is unlimited. (If the short sale was intended as a hedge against another investment, the loss on the short sale may be fully or partially offset by gains in that other investment.) At June 30, 2011, the Funds did not hold any short debt or equity.

A lender may request that the borrowed securities be returned on short notice; if that occurs at a time when other short sellers of the subject security are receiving similar requests, a “short squeeze” can occur. This means that the Fund might be compelled, at the most disadvantageous time, to replace borrowed securities previously sold short, with purchases on the open market at prices significantly greater than those at which the securities were sold short. Short selling also may produce higher than normal portfolio turnover and result in increased transaction costs to the Fund. The Funds also may make short sales “against-the-box”, in which the Funds sell

short securities they own. The Funds will incur transaction costs, including interest expenses, in connection with opening, maintaining and closing short sales against-the-box, which result in a “constructive sale”, requiring the Fund to recognize any taxable gain from the transaction.

The Funds may enter into reverse repurchase agreements, whereby a Fund sells securities concurrently with entering into an agreement to repurchase those securities at a later date at a fixed price. During the reverse repurchase agreement period, the Fund continues to receive principal and interest payments on those securities. Reverse repurchase agreements are speculative techniques involving leverage and are considered borrowings by the Fund for purposes of the percentage limitations applicable to borrowings. There were no reverse repurchase agreements for the period ended June 30, 2011.

Each Fund may enter into when-issued, delayed-delivery, or forward commitment transactions in order to lock in the purchase price of the underlying security, or in order to adjust the interest rate exposure of the Fund’s existing portfolio. In when-issued, delayed-delivery, or forward commitment transactions, a Fund commits to purchase or sell particular securities, with payment and delivery to take place at a future date. Although a Fund does not pay for the securities or start earning interest on them until they are delivered, it immediately assumes the risks of ownership, including the risk of price fluctuation. If a Fund’s counterparty fails to deliver a security purchased on a when-issued, delayed-delivery, or forward commitment basis, there may be a loss, and that Fund may have missed an opportunity to make an alternative investment.

Prior to settlement of these transactions, the value of the subject securities will fluctuate, reflecting interest rate changes. In addition, because a Fund is not required to pay for when-issued, delayed-delivery, or forward commitment securities until the delivery date, they must result in a form of leverage to the extent a Fund does not maintain liquid assets equal to the face amount of the contract. The Funds segregate assets (cash and/or securities) to cover the amounts outstanding related to these transactions.

The Funds engaged in various portfolio investment strategies both to increase the return of the Fund and to economically hedge, or protect, their exposure to interest rate movements and movements in the securities markets. Losses may arise if the value of the contract decreases due to an unfavorable change in the price of the underlying security or if the counterparty does not perform under the contract. The Funds are subject to credit risk, equity price risk and interest rate risk in the normal course of pursuing its investment objectives by investing in various derivative financial instruments, as described below:

Over the reporting period, the Funds engaged in interest rate futures contracts, swap agreements and options as a means of managing interest rate risk and yield curve positioning consistent with the advisor’s current market perspectives. Additionally, credit default swaps were held for the purposes of (1) hedging valuation risks specific to identified market segments, industries and credits and (2) efficiently gaining income-bearing exposures to selected market segments, industries and credits. The market value of these instruments, realized and changes in unrealized gains and losses, the types of contracts are included in the Schedule of Portfolio Investments.

Options - The Funds purchased and wrote call and put options on securities, securities indices and on foreign currencies. A Fund may purchase put options on securities to seek to protect holdings in an underlying or related security against a substantial decline in market value. A Fund may purchase call options on securities to seek to protect against substantial increases in prices of securities the Fund intends to purchase pending its ability to invest in such securities in an orderly manner. A Fund may write a call or put option only if the option is covered by the Fund’s holding a position in the underlying securities or by other means which would permit immediate satisfaction of the Fund’s obligation as writer of the option. The purchase and writing of options involves certain risks. During the option period, the covered call writer has, in return for the premium on the option, given up the opportunity to profit from a price increase in the underlying securities above the sum of the premium and exercise price, but, as long as its obligation as a writer continues, has retained the risk of loss should the price of the underlying securities decline. The writer of an option has no control over the time when it maybe required to fulfill its obligation as a writer of the option. Once an option writer has received an exercise notice, it cannot effect a closing purchase transaction in order to terminate its obligation under the option and must deliver the underlying securities at the exercise price. If a put or call option purchased by the Fund is not sold when it has remaining value, and if the market price of the underlying security, in the case of a put, remains equal to or greater than the exercise price or, in the case of a call, remains less than or equal to the exercise price, the Fund will lose its entire investment in the option. There can be no assurance that a liquid market will exist when a Fund seeks to close out an option position. Furthermore, if trading restrictions or suspensions are imposed on the options markets, a Fund may be unable to close out a position.

The Funds may execute transactions in both listed and over-the-counter options. Listed options involve minimal counterparty risk since listed options are guaranteed against default by the exchange on which they trade. Transactions in certain over-the-counter options may expose the Funds to the risk of default by the counterparty to the transaction. In the event of default by the counterparty to the over-the-counter option transaction, the Fund’s maximum amount of loss is the premium paid (as purchaser) or the unrealized loss of the contract (as writer).

Futures - The Funds purchased or sold exchange-traded futures contracts, which are contracts that obligate the Fund to make or take delivery of a financial instrument or the cash value of a security index at a specified future date at a specified price. The Funds may use futures contracts to manage exposure to the stock and bond markets or changes in interest rates and currency values, or for gaining exposure to markets. Risks of entering into futures contracts include the possibility that there may be an illiquid market at the time the Adviser to the Fund may be attempting to sell some or all the Fund holdings or that a change in the value of the contract may not correlate with changes in the value of the underlying securities. Upon entering into a futures contract, the Fund is required to deposit either cash or securities (initial margin). Subsequent payments (variation margin) are made or received by the Fund, generally on a daily basis. The variation margin payments are equal to the daily changes in the contract value and are recorded as unrealized gains or losses. The Funds recognize a realized gain or loss when the contract is closed or expires.

Futures transactions involve minimal counterparty risk since futures contracts are guaranteed against default by the exchange on which they trade.

Swaps - The Funds invested in swap agreements. Swap agreements are two-party contracts entered into primarily by institutional investors for periods ranging from a few weeks to more than a year. In a standard swap transaction, two parties agree to exchange the returns earned on specific assets, such as the return on, or increase in value of, a particular dollar amount invested at a particular interest rate, in a particular foreign currency, or in a basket of securities representing a particular index. A swap contract may not be assigned without the consent of the counterparty (and in certain circumstances may not be assignable), and may result in losses in the event of a default or bankruptcy of the counterparty.

The Funds entered into credit default swap agreements. The buyer in a credit default contract is obligated to pay the seller a periodic, stream of payments over the term of the contract provided no event of default has occurred. In the event of default, the seller must pay the buyer the par value (full notional value) of the reference obligation in exchange for the reference obligation. The Funds may be either the buyer or seller in such transactions. If the Fund is a buyer and no event of default occurs, the Fund loses its investment and recovers nothing. However, if an event of default occurs, the buyer receives full notional value for a reference obligation that may have little or no value. As a seller of a credit default swap, the Fund receives a fixed rate of income throughout the term of the contract, provided there is no default event. If an event of default occurs, the seller may pay the notional value of the reference obligation. The value of the reference obligation received by the seller, coupled with the periodic payments previously received may be less than the full notional value it pays to the buyer, resulting in a loss of value to the Fund. Credit default swaps involve greater risks than if the Fund had invested in the reference obligation directly. In addition to general market risks, credit default swaps are subject to illiquidity risk, counterparty risk and credit risk.

The Funds entered into interest rate swap agreements. Interest rate swaps are agreements in which one party pays a floating rate of interest on a notional principal amount and receives a fixed rate of interest on the same notional principal amount for a specified period of time. Alternatively, a party may pay a fixed rate and receive a floating rate. In more complex swaps, the notional principal amount may decline (or amortize) over time. The Funds’ maximum risk of loss due to counterparty default is the discounted net asset value of the cash flows paid to/received from the counterparty over the interest rate swap’s remaining life. The Funds enter into interest rate swaps to manage duration, the yield curve or interest rate risk by economically hedging the value of the fixed-rate bonds which may decrease when interest rates rise (interest rate risk).

The Funds wrote (sold) and purchased put and call swaptions. Swaption contracts written by the Funds represent an option that gives the purchaser the right, but not the obligation, to enter into a new swap agreement, or to shorten, extend, cancel or modify an existing swap agreement, on a future date on specified terms. Depending on the terms of the particular option agreement, a Fund will generally incur a greater degree of risk when it writes a swaption than it will incur when it purchases a swaption. When a Fund purchases a swaption, it risks losing only the amount of the premium it has paid should it decide to let the option expire unexercised. However, when a Fund writes a swaption, upon exercise of the option the Fund will become obligated according to the terms of the underlying agreement. At June 30, 2011, the Low Duration Bond Fund, the Intermediate Bond Fund, and the Total Return Bond Fund held swaptions.

In addition to the securities listed above, the AlphaTrak 500 Fund invested in the following equity derivative instruments with a notional or contractual value up to its total assets: S&P 500 Index futures contracts, Mini S&P 500 Index futures contracts, options on the S&P 500 Index and S&P futures, and swap agreements involving the S&P 500 Index. When the above listed S&P Index derivatives appear to be overvalued relative to the S&P 500 Index, the Fund may invest up to 100% in the common stocks that comprise the S&P 500 Index. The Fund may also invest up to 25% of its total assets in these stocks indirectly by purchasing interests in one or more mutual funds, asset pools, or trusts that invest in such stocks.

The Funds may enter into total return swap agreements. Total return swap is the generic name for any non-traditional swap where one party agrees to pay the other the “total return” of a defined underlying asset, usually in return for receiving a stream of LIBOR based cashflows. The total return swap may be applied to any underlying asset but is most commonly used with equity indices, single stocks, bonds and defined portfolios of loans and mortgages. The total return swap is a mechanism for the user to accept the economic

benefits of asset ownership without utilizing the balance sheet. The other leg of the swap, usually LIBOR, is spread to reflect the non-balance sheet nature of the product. Total return swaps can be designed with any underlying asset agreed between two parties.

As a result, unrealized gains are reported as an asset and unrealized losses are reported as a liability on the Statements of Assets and Liabilities. The change in the value of the swaps, including periodic amounts of interest paid or received on swaps is reported as unrealized gains or losses in both the Statements of Assets and Liabilities and the Statements of Operations. A realized gain or loss is recorded upon payment or termination of swap agreements. Swap agreements are stated at fair value. Notional principal amounts are used upon payment or receipt of a periodic payment or termination of swap agreements to express the extent of involvement in these transactions, but the amounts subject to credit risk are much smaller. At June 30, 2011, the Funds had outstanding swap agreements as listed in the Funds’ Schedules of Portfolio Investments.

At March 31, 2011, the following Funds had available for federal income tax purposes unused capital losses as follows:

For the year ended March 31, 2011, the Total Return Bond and HighYield Bond utilized capital loss carryforwards of $140,337,903 and $4,931,657, respectively.

Under the recently enacted Modernization Act of 2010, capital losses incurred by the Funds after March 31, 2011 will not be subject to expiration. In addition, these losses must be utilized prior to the losses incurred in the years preceding enactment.

For additional information regarding the accounting policies of the MetropolitanWest Funds, refer to the most recent financial statements in the N-CSRS filing at www-sec-gov.

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

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

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

		$2,008,013,958		$2,008,013,958			$2,008,013,958		$2,008,013,958
ULTRA SHORT BOND FUND	LEVEL 1		LEVEL 2			LEVEL 3		TOTAL

Investments in Securities

Assets
Short-Term Investments	$	3,502,000	$	2,224,804		$	—	$	5,726,804
Long-Term Investments:
Asset-Backed Securities		—		2,581,732			—		2,581,732
Bank Loans		—		631,788			—		631,788
Corporates		—		19,728,837			—		19,728,837
Mortgage-Backed		—		77,546,338			—		77,546,338
Municipal Bonds		—		915,519			—		915,519
U.S. Agency Securities		—		3,428,446			—		3,428,446
Other Financial Instruments *

Assets:
Interest rate contracts		—		4,515			—		4,515
Liabilities:
Interest rate contracts		—		(5,573	)		—		(5,573	)
Credit contracts		—		(1,343,463	)		—		(1,343,463	)

Total	$	3,502,000	$	105,712,943		$	—	$	109,214,943


LOW DURATION BOND FUND	LEVEL 1		LEVEL 2			LEVEL 3		TOTAL

Investments in Securities

Assets
Short-Term Investments	$	48,205,000	$	18,632,443		$	—	$	66,837,443
Long-Term Investments:
Asset-Backed Securities		—		82,103,466			—		82,103,466
Bank Loans		—		13,014,281			—		13,014,281
Corporates		—		628,861,153			1,147,500		630,008,653
Mortgage-Backed		—		1,024,853,904			8,986		1,024,862,890
Municipal Bonds		—		31,461,012			—		31,461,012
U.S. Agency Securities		—		167,990,956			—		167,990,956
Other Financial Instruments *

Assets:
Interest rate contracts		—		78,289			—		78,289
Credit contracts		—		659,405			—		659,405
Liabilities:
Interest rate contracts		—		(129,987	)		—		(129,987	)
Credit contracts		—		(8,872,450	)		—		(8,872,450	)

Total	$	48,205,000	$	1,958,652,472		$	1,156,486	$	2,008,013,958

		$14,779,805,535			$14,779,805,535			$14,779,805,535		$14,779,805,535
INTERMEDIATE BOND FUND	LEVEL 1			LEVEL 2			LEVEL 3		TOTAL

Investments in Securities

Assets
Short-Term Investments	$	5,301,000		$	7,274,072		$	—	$	12,575,072
Long-Term Investments:
Asset-Backed Securities		—			11,990,755			—		11,990,755
Bank Loans		—			448,844			—		448,844
Corporates		—			63,552,320			—		63,552,320
Mortgage-Backed		—			131,700,299			—		131,700,299
Municipal Bonds		—			2,957,682			—		2,957,682
U.S. Agency Securities		—			11,014,997			—		11,014,997
U.S. Treasury Securities		—			9,905,921			—		9,905,921
Other Financial Instruments *

Assets:
Interest rate contracts		15,149			8,982			—		24,131
Credit contracts		—			439,898			—		439,898
Liabilities:
Interest rate contracts		(107,383	)		(15,026	)		—		(122,409	)
Credit contracts		—			(1,371,450	)		—		(1,371,450	)

Total	$	5,208,766		$	237,907,294		$	—	$	243,116,060


TOTAL RETURN BOND FUND	LEVEL 1			LEVEL 2			LEVEL 3		TOTAL

Investments in Securities

Assets
Short-Term Investments	$	338,852,000		$	325,783,314		$	—	$	664,635,314
Long-Term Investments:
Asset-Backed Securities		—			657,338,581			17,845		657,356,426
Bank Loans		—			94,771,416			—		94,771,416
Corporates		—			3,664,376,173			1,675,000		3,666,051,173
Mortgage-Backed		—			8,342,156,414			3,747		8,342,160,161
Municipal Bonds		—			254,329,443			—		254,329,443
U.S. Agency Securities		—			229,066,149			—		229,066,149
U.S. Treasury Securities		—			1,260,869,951			—		1,260,869,951
Other Financial Instruments *

Assets:
Interest rate contracts		680,381			562,402			—		1,242,783
Credit contracts		—			17,031,603			—		17,031,603
Liabilities:
Interest rate contracts		(3,676,049	)		(14,532,695	)		—		(18,208,744	)
Credit contracts		—			(51,947,216	)		—		(51,947,216	)

Total	$	335,856,332		$	14,779,805,535		$	1,696,592	$	15,117,358,459

		$230,313,824			$230,313,824			$230,313,824		$230,313,824
HIGH YIELD BOND FUND	LEVEL 1			LEVEL 2			LEVEL 3		TOTAL

Investments in Securities

Assets
Short-Term Investments	$	39,945,000		$	4,304,958		$	—	$	44,249,958
Long-Term Investments:
Bank Loans		—			180,415,702			—		180,415,702
Corporates		—			1,664,139,319			—		1,664,139,319
Mortgage-Backed		—			12,302,933			217		12,303,150
Preferred Stock		—			17,971,118			—		17,971,118
Put Options Purchased		873,438			—			—		873,438
Other Financial Instruments *

Assets:
Interest rate contracts		—			91,342			—		91,342
Credit contracts		—			540,244			—		540,244
Interest rate contracts		(1,316,875	)		(112,847	)		—		(1,429,722	)

Total	$	39,501,563		$	1,879,652,769		$	217	$	1,919,154,549


STRATEGIC INCOME FUND	LEVEL 1			LEVEL 2			LEVEL 3		TOTAL

Investments in Securities

Assets
Short-Term Investments	$	4,617,000		$	54,999		$	—	$	4,671,999
Long-Term Investments:
Asset-Backed Securities		—			34,831,448			8,496		34,839,944
Bank Loans		—			4,183,400			—		4,183,400
Corporates		—			56,532,215			—		56,532,215
Mortgage-Backed		—			128,491,127			43		128,491,170
Municipal Bonds		—			2,327,972			—		2,327,972
Preferred Stock		—			3,755,577			1		3,755,578
Other Financial Instruments *

Assets:
Interest rate contracts		—			10,217			—		10,217
Credit contracts		—			143,695			—		143,695
Liabilities:
Interest rate contracts		(247,058	)		(12,623	)		—		(259,681	)
Equity contracts		—			(4,203	)		—		(4,203	)

Total	$	4,369,942		$	230,313,824		$	8,540	$	234,692,306


ALPHATRAK 500 FUND	LEVEL 1			LEVEL 2		LEVEL 3		TOTAL

Investments in Securities

Assets
Short-Term Investments	$	198,000		$	604,982	$	—	$	802,982
Long-Term Investments:
Asset-Backed Securities		—			166,697		—		166,697
Corporates		—			2,617,006		85,000		2,702,006
Mortgage-Backed		—			5,499,702		—		5,499,702
Municipal Bonds		—			119,585		—		119,585
U.S. Agency Securities		—			210,112		—		210,112
Other Financial Instruments *

Assets:
Credit contracts		—			8,795		—		8,795
Equity contracts		52,964			—		—		52,964
Liabilities:
Interest rate contracts		—			—		—		—
Credit contracts		—			—		—		—
Equity contracts		(58,133	)		—		—		(58,133	)

Total	$	192,831		$	9,226,879	$	85,000	$	9,504,710


	TRANSFERS IN*		TRANSFERS OUT*
PORTFOLIO	LEVEL 1 QUOTED PRICES**	LEVEL 2 OTHER SIGNIFICANT OBSERVABLE INPUTS	LEVEL 1 QUOTED PRICES	LEVEL 2 OTHER SIGNIFICANT OBSERVABLEINPUTS**


Ultra Short Bond Fund	$ —	$ —	$ —	$ —
Low Duration Bond Fund	$ —	$ —	$ —	$ —
Intermediate Bond Fund	$ —	$ —	$ —	$ —
Total Return Bond Fund	$ —	$ —	$ —	$ —
High Yield Bond Fund	$ —	$ —	$ —	$ —
Strategic Income Fund	$ —	$ —	$ —	$ —
AlphaTrak 500 Fund	$ —	$ —	$ —	$ —


LOW DURATION BOND FUND	CORPORATES	MORTGAGE-BACKED SECURITIES
Balance as of April 1, 2011	$ 1,200,000	$ 8,986
Accrued discounts/premiums	36	1
Realized gain/(loss)	(356,025)	—
Change in unrealized appreciation/depreciation^**	652,464	(1)
Sales	(348,975	—

Balance as of June 30, 2011	$ 1,147,500	$ 8,986


TOTAL RETURN	ASSET-BACKED								MORTGAGE-BACKED
BOND FUND	SECURITIES				CORPORATES				SECURITIES
Balance as of April 1, 2011		$	—			$	2,040,000			$	3,747
Accrued discounts/premiums			—				1,951				—
Realized gain/(loss)			—				(797,153	)			—
Change in unrealized appreciation/depreciation^**			(874,401	)			1,296,452				—
Sales			—				(866,250	)			—
Transfers into Level 3^***			892,246				—				—

Balance as of June 30, 2011		$	17,845			$	1,675,000			$	3,747


HIGH YIELD BOND FUND	MORTGAGE-BACKED SECURITIES
HIGH YIELD BOND FUND	MORTGAGE-BACKED SECURITIES

Balance as of April 1, 2011		$	217


Balance as of June 30, 2011		$	217


STRATEGIC INCOME FUND	ASSET-BACKED SECURITIES				MORTGAGE-BACKED SECURITIES			PREFERRED STOCK SECURITIES
Balance as of April 1, 2011		$	—			$	43		$	1
Change in unrealized appreciation/depreciation^**			(416,382	)			—			—
Transfers into Level 3^***			424,878				—			—


Balance as of June 30, 2011		$	8,496			$	43		$	1


ALPHATRAK
500 FUND	CORPORATES
Balance as of April 1, 2011		$	120,000
Accrued discounts/premiums			—
Realized gain/(loss)			(65,650	)
Change in unrealized appreciation/depreciation^**			95,000
Sales			(64,350	)

Balance as of June 30, 2011		$	85,000


	ASSET DERIVATIVE INVESTMENTS

	ULTRA SHORT BOND FUND		LOW DURATION BOND FUND		INTERMEDIATE BOND FUND		TOTAL RETURN BOND FUND		HIGH YIELD BOND FUND		STRATEGIC INCOME FUND		ALPHATRAK 500 FUND
Credit contracts:
Swaps	$	30,598	$	1,244,032	$	91,286	$	7,515,753	$	488,292	$	115,159	$	3,729
Equity contracts:
Futures *		—		—		—		—		—		—		52,964
Interest contracts:
Futures *		—		—		15,149		680,381		—		—		—
Options		—		—		—		401,350		585,712		—		—
Swaps		4,515		160,945		18,740		1,086,874		91,342		10,217		—


	LIABILITY DERIVATIVE INVESTMENTS

	ULTRA SHORT BOND FUND		LOW DURATION BOND FUND		INTERMEDIATE BOND FUND		TOTAL RETURN BOND FUND		HIGH YIELD BOND FUND		STRATEGIC INCOME FUND		ALPHATRAK 500 FUND
Credit contracts:
Swaps	$	—	$	—	$	1,385,288	$	31,663,923	$	—	$	—	$	—
Equity contracts:
Swaps		—		—		—		—		—		4,203		58,133
Interest contracts:
Futures *		—		—		59,570		448,080		—		247,058		—
Options		—		—		17,878		1,024,514		163,116		—		—


FUND	EXPIRING IN 2014		EXPIRING IN 2015		EXPIRING IN 2016		EXPIRING IN 2017		EXPIRING IN 2018		EXPIRING IN 2019
Ultra Short Bond Fund	$	—	$	171,312	$	1,489,244	$	17,068,161	$	14,894,875	$	10,083,524
Low Duration Bond Fund		5,831,064		—		—		99,373,584		21,084,552		42,394,541
Strategic Income Fund		61,791		1,235,093		9,036,932		47,852,416		18,806,808		41,914,736
AlphaTrak 500 Fund		—		—		—		60,439,961		23,684,663		12,534,872


(Registrant)		Metropolitan West Funds

By (Signature and Title)*		/s/ David B. Lippman
		David B. Lippman, President and Principal Executive Officer (principal executive officer)

Date		8/25/11



By (Signature and Title)*		/s/ David S. DeVito
		David S. DeVito, Treasurer (principal financial officer)

Date		8/25/11