Metropolitan West Funds

Gross unrealized appreciation

Gross unrealized depreciation

(5,023,923

Net unrealized depreciation

(1,483,467

Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR 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 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.

Thank you for your continued investment with the MetropolitanWest Funds. Due to your continued sponsorship and market appreciation, assets across the Funds grew to just under $27 billion at the end of September.

As you likely know from earlier communication or through our active proxy solicitation, this past August, TCW’s (and Metropolitan West’s) majority owner Société Générale signed a definitive agreement to sell its stake in TCW to investment funds affiliated with The Carlyle Group, LP, in partnership with TCW management. As a result of the transaction, along with expected incentives and vesting, TCW management and employees will increase their ownership in the firm from 17% to up to approximately 40%, with the Carlyle funds owning the balance. The sale is subject to customary closing conditions and is expected to be completed in the first quarter of 2013.

We are excited by the acquisition and the ongoing benefits it should confer to you as a shareholder in the MetWest Funds. Most importantly, TCW will maintain continuity in terms of management structure, with no anticipated changes to the current personnel, philosophies or processes guiding the management of the MetropolitanWest Funds. Remaining intact are all the capabilities, resources and platform to deliver on your current investment objectives, while continuing to develop future strategies for an ever-changing and demanding investment environment.

The September 30, 2012 Semi-Annual Report for the Metropolitan West Funds covers the following:

Still uninspired by deficient growth indicators, weak employment, and stalled fiscal initiatives, central bank leadership around the world yet again took stimulative action in the third quarter as the Federal Reserve and others announced significant new bond buying programs. In the case of the Fed, further to maintaining commitments already in place, it confirmed plans for an open-ended third round of quantitative easing (QE3) with an additional $40 billion in monthly agency mortgage purchases and a signal not to raise rates until 2015. The expectations for and implementation of these programs fueled a strong rally in the risk capital markets as the S&P 500 charged ahead with a 6.4% quarterly return (and now more than 16% year-to-date), while high yield rates at one point during September fell to a record low 6.15%, before easing mildly to end the quarter at 6.5%. After falling below a 1.4% yield in late July, the 10-Year U.S.Treasury Note sold off in appearing to fund the risk market rally, reaching nearly 1.9% in mid September and settling at 1.63% at quarter end.

Along with the declining risk premiums on high yield bonds that propelled them to a 6.4% return over the past six months (and now more than 12% year-to-date), investment grade corporates kept pace with a 6.5% gain as financials gained more than 7% on further fundamental (balance sheet deleveraging) and technical (limited new issuance) strength. While agency mortgage-backed securities (MBS) directly benefitted from the Fed’s largesse, the pedestrian 2.2% return to the sector trailed the brisk sprint of the non-agency MBS market, which carried its pace over from the second quarter. Though illustrative returns are difficult to find for this out-of-index component of the fixed income market, indications are that the returns averaged approximately 8% across the prime, alt-a, and subprime markets in the third quarter, with relatively stronger performance in the latter two segments. Blended with a gain of 4.7% to commercial MBS and 3.4% to U.S. Treasury issues, the bottom line for the six months was a very respectable 3.7% return to the Barclays Aggregate Index, leading to 4% on a year-to-date basis. Considering the low yield environment, not a bad showing for the benchmark, but there appears to have been plenty of opportunity to add value due to the wide range of returns across sectors and securities.

Looking forward, economic conditions remain subject to continued deleveraging among consumers and businesses, with the Fed committed to growing nominal GDP through inflation, if necessary. With inflationary pressures apparently still in check, the Fed

has assertively pursued its “full employment” mandate with QE3. And while dissenting voices to the approach still remain faint, there is some increasing volume that monetary solutions have diminished in effectiveness – as evidenced by an unemployment rate still near 8% – and fiscal action is required to set the stage for more robust growth. However, as year-end approaches, so too does the “fiscal cliff” of spending cuts and expiring tax breaks that have the potential to substantially reduce U.S. GDP starting in 2013. Globally, conditions in Europe remain unresolved, as short-term fixes lend occasional calm but create ongoing episodes of alarm and demand for immediate (if not lasting) remedies. As the only sizable economy growing with any vigor, China, too, faces an economic slowdown, limiting its potential contribution to global growth and challenging any export-led recovery in developed markets. As a result of the difficult growth conditions, the capital markets are likely to remain volatile and somewhat range bound. With the Fed’s added injection of liquidity, equities, emerging markets, and the spread sectors of the fixed income market have enjoyed good returns that warrant an ongoing assessment of the value proposition and adjustments at the margins of Fund strategy.

Thematically, Fund positioning remains consistent heading into the fourth quarter of 2012, though the summer rally has informed a degree of trimming and reallocation. As for what remains the same, given a view that the Fed’s efforts will bear fruit at lifting nominal GDP through higher future inflation, the Fund continues with a duration position of just less than two years short of the Index. The Fund’s mortgage orientation is comprised of a combination of residential (agency and non-agency MBS) and commercial mortgages, though the price appreciation across MBS in the third quarter has led to some reductions in exposure in anticipation of better entry points on price. Agency MBS remains focused on bonds with less negative convexity such as low coupon and low loan balance bonds as these issues should continue to benefit from large, steady Fed purchases, which will likely keep spreads tight in the near term. Non-agency MBS continues to represent an attractive risk-adjusted opportunity, captured in a Fund overweight, though recent strength has allowed for the reduction of risk through shedding issues that are vulnerable to potential volatility and moving shorter in maturity. Top-of-the-capital structure CMBS remain an overweight predicated on solid credit enhancement, with holdings split between seasoned and recent vintage issues. In summary, as returns have outpaced the yields that prevailed earlier in the year, the environment calls for a degree of caution and risk mitigation, which have been heeded in Fund actions. With the experience of the past several years, it is evident that ongoing, periodic shocks are likely to drive market volatility – both up and down – providing opportunity to add value through disciplined return-risk management.

In high yield, given a rally that has delivered near-record low rates and strong 2012 returns to the high yield market, a common question asks, “How much more?” Supply-demand technicals continue to be favorable, with steady and sizable inflows not meeting with any persistent reversal. Companies maintain seemingly unfettered access to the markets, as nearly $250 billion of issuance through September is already within $15 billion of 2010’s full-year record. Fundamentally, the early-cycle reductions in leverage have slowed and the rating agencies have begun to downgrade with more frequency than upgrade. Despite this, the constructive case on high yield is that defaults remain low and that yield spreads offer relative value. During a period of very sluggish growth, companies have successfully extended debt maturities, while using new debt to refinance remains the primary use of proceeds. Growth, aided by business investment, can drive spreads tighter, but requires wariness of interest rate duration to mitigate risk.

Data sources for the discussion above include Bloomberg, Barclays, and Merrill Lynch.

A general underweight to the lagging U.S. Treasury sector and broadened exposure across the spread sectors, particularly MBS, led the Funds to outperformance of their designated benchmarks over the past six months. While a short relative duration profile was a (very) minor drag on performance as U.S. Treasury yields eased a few basis points in a volatile quarter for rates, it was overcome with continued commitment to the value-added themes of the last several quarters. Most significantly, the outperformance was driven by significant allocations to the non-agency MBS market and a decided emphasis on the higher returning subprime category. Though not as substantial a contributor to the outperformance as the above, an emphasis in low coupon agency MBS has consistently been a source of incremental return over the past several quarters as the Fed’s buying program and restraints on borrower prepayments have been supportive to pricing. Among corporate issues, ongoing emphasis to the financial sector was additive, as continuing balance sheet improvement drove substantially tighter yield spreads and delivered excess return.

The High Yield Fund kept pace with its benchmark, after lagging over the prior six-month period. The improved performance results owed significantly to the ongoing overweight to utilities, which benefitted from an upturn in natural gas prices from April lows to lead to price improvement in bank loan issuers, particularly those with coal-fired plants in their electricity generating portfolios. Consolidation in that industry was also a catalyst to good returns with merger activity driving risk premiums down and lifting prices significantly on legacy bonds in the affected capital structures. Additionally, an overweight in communications was additive due to the strength in wireless – further validated as Softbank’s mid October acquisition of a 70% stake in Sprint is expected to result in an upgrade and further narrowing in yield spreads. A small tactical allocation (less than 2% of Fund market value) to the robust returns of the non-agency MBS market provided incremental performance.

For MWUSX, the total expense ratio is 0.67% and the net expense ratio is 0.50%. For MWUIX, the total expense ratio is 0.51% and the net expense ratio is 0.34%.

For MWLDX, the total expense ratio is 0.58% and the net expense ratio is 0.58%. For MWLIX, the total expense ratio is 0.39% and the net expense ratio is 0.39%. For MWLNX, the total expense ratio is 0.78% and the net expense ratio is 0.78%.

For MWIMX, the total expense ratio is 0.72% and the net expense ratio is 0.65%. For MWIIX, the total expense ratio is 0.51% and the net expense ratio is 0.44%.

M-Class (MWTRX), I-Class (MWTIX), Administrative-Class (MWTNX), Plan-Class (MWTSX)

For MWTRX, the total expense ratio is 0.62% and the net expense ratio is 0.62%. For MWTIX, the total expense ratio is 0.41% and the net expense ratio is 0.41%. For MWTNX, the total expense ratio is 0.82% and the net expense ratio is 0.82%. For MWTSX, the total expense ratio is 0.40% and the net expense ratio is 0.39%.

For MWHYX, the total expense ratio is 0.83% and the net expense ratio is 0.80%. For MWHIX, the total expense ratio is 0.58% and the net expense ratio is 0.55%.

For MWCRX, the total expense ratio is 2.86% and the net expense ratio is 0.99%. For MWCIX, the total expense ratio is 2.60% and the net expense ratio is 0.75%.

For MWSTX, the total expense ratio is 2.10% and the net expense ratio is 2.10%. For MWSIX, the total expense ratio is 1.85% and the net expense ratio is 1.85%.

MetWest remains committed to an investment approach that emphasizes a long-term perspective and an understanding that market pricing can and does become disconnected to fundamental value on a persistent basis. By maintaining discipline, we expect to continue adding value to client portfolios in a measured, risk-controlled manner. Diversification is a cornerstone to portfolio construction, not only in the traditional manner of allocating across maturities and issues, but also in the decisions – duration, yield curve positioning, sector allocation and security selection – that drive performance through time. While market conditions change constantly, our process is steadfast and vigilant to opportunities that bring value.

Again, we thank you for your continued support of the Metropolitan West Funds and look forward to the ongoing opportunity to meet your investment objectives.

Portfolio composition is subject to change. The current and future portfolio holdings of the Funds are subject to investment risk.

Bond Funds have similar interest rates, issues, and credit risks as those associated with the underlying bonds in their portfolio, all of which could reduce a Fund’s value. As interest rates rise, the value of a Bond Fund can decline and an investor can lose principal. Additional risks to the funds include derivatives risk, foreign securities risk, asset-backed securities risk, and prepayment risk. The HighYield Bond purchases more speculative bonds, which are subject to greater risks than higher rated bonds, including “leverage risk”. The Strategic Income Fund engages in sophisticated investment strategies, and is subject to short sales and leverage risks. The AlphaTrak 500 trades futures and derivative contracts. These Funds may not be suitable for all investors.

Derivatives risk refers to the risk that changes in the value of a derivative may not correlate perfectly with the underlying asset. Foreign securities risk refers to the value of the Fund’s investments in foreign securities on changing currency values, political and economic environments in the countries where the Fund invests. Asset-backed securities risk refers to certain asset-backed securities do not have the benefit of the same security interest in the related collateral as do mortgage-backed securities; nor are they provided government guarantees of repayment. Prepayment risk refers to the possibility that falling interest rates may cause the owners of the underlying to pay off their mortgages at a faster than expected rate. This tends to reduce returns since the funds prepaid will have to be reinvested at the then lower prevailing rates. Short sale risk refers to the limited ability of the Fund to sell a debt or equity security short (without owning it) and to borrow the same security from a broker or other institution to complete the sale. If the value of the short sale increases, a Fund would lose money because it will need to replace the borrowed security by purchasing it at a higher price. Leverage Risk refers to the limited ability of Fund to borrow from broker-dealers or other institutions to leverage a transaction, provided that the borrowing is fully-collateralized. The Fund’s assets may change in value while the borrowing is outstanding which could create interest expenses that can exceed the income from the assets retained.

The views and forecasts expressed here are as of November 2012, are subject to change without notice and may not come to pass. Investment strategies may not achieve the desired results due to implementation lag, other timing factors, portfolio management decision making, economic or market conditions or other unanticipated factors.

Funds are distributed by Foreside Funds Distributors LLC, 899 Cassatt Road., Berwyn, PA 19312.

We believe it is important for you to understand the impact of fees regarding your investment. All mutual funds have operating expenses. As a shareholder of a mutual fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund. A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing fees (in dollars) of investing in your Fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.

Actual Fund Return: This section helps you to estimate the actual expenses, after any applicable fee waivers, that you paid over the period. The “Ending Account Value” shown is derived from the Fund’s actual return for the past six-month period, the “Expense Ratio” column shows the period’s annualized expense ratio, and the “Expenses Paid During Period” column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund at the beginning of the period.

You may use the information here, together with your account value, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your Fund in the first line under the heading entitled “Expenses Paid During Period.”

Hypothetical 5% Return: This section is intended to help you compare your Fund’s costs with those of other mutual funds. It assumes that the Fund had an annual return of 5% before expenses, but that the expense ratio is unchanged. In this case, because the return used is not the Fund’s actual return, the results do not apply to your investment. This example is useful in making comparisons to other mutual funds because the Securities and Exchange Commission (SEC) requires all mutual funds to calculate expenses based on an assumed 5% annual return. You can assess your Fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.

Please note that the expense shown in the table are meant to highlight and help you compare your ongoing costs only and do not reflect any transactional costs such as sales charges (loads), redemption fees, or exchange fees. The Metropolitan West Funds do not charge any sales loads or exchange fees, but these may be present in other funds to which you compare this data. Therefore, the hypothetical portions of the table are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.

These tables are provided to give you a quick reference to the composition of each Fund. The “Sector Diversification” table is a percentage of net assets. The “Distribution by Quality Rating” and “Distribution by Maturity” tables are a percentage of market value. We hope that this information enhances your understanding of the different kinds of investments in the Funds.

* Includes cash and equivalents, futures, foreign currency exchange contracts, swaps, pending trades, Fund share transactions, interest and dividends receivable and accrued expenses payable.

The Sector Diversification is presented as a percentage of net assets. The Distribution by Quality Rating and Distribution by Maturity are presented as a percentage of market value. Credit rating distributions for each Fund were determined by giving each fixed income security the highest rating assigned by a nationally recognized statistical rating organization. If a security is not rated, the Adviser has assigned a credit rating based upon the credit rating of comparable quality-rated securities.

In addition to its annual and semi-annual reports, the Funds file a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds’ most recent Form N-Q was filed for the quarter ended June 30, 2012. The Funds’ Form N-Q is available on the SEC’s website at www.sec.gov and may be reviewed and copied at the Commission’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.


Issues	Maturity Date			Principal Amount		Value
BONDS – 93.12%
ASSET-BACKED SECURITIES — 1.37%**
Bayview Commercial Asset Trust, Series 2007-3, Class A1
0.46%		07/25/37	^2,3	$	1,101,934	$	784,687
GE Seaco Finance SRL, Series 2005-1A, Class A (Barbados)
0.47%		11/17/20	^2,3,4		316,667		307,122
Harley-Davidson Motorcycle Trust, Series 2009-4, Class A4
2.40%		07/15/14			16,748		16,763
Nissan Auto Lease Trust, Series 2011-B, Class A2
0.40%		02/17/14	²		156,152		156,679
Triton Container Finance LLC, Series 2006-1A, Class NOTE
0.39%		11/26/21	^2,3		166,667		162,116
Triton Container Finance LLC, Series 2007-1A, Class NOTE
0.36%		02/26/19	^2,3		90,625		89,347

Total Asset-Backed Securities (Cost $1,813,926)							1,516,714

BANK LOANS — 0.58%*
Health Care — 0.58%
HCA, Inc., Term Loan EXT B3
3.47%		05/01/18	^2,5		640,641		642,643

Total Bank Loans
(Cost $637,820)

CORPORATES — 12.87%*
Automotive — 0.45%
Daimler Finance North America LLC
1.60%		09/13/13	^2,3		500,000		499,877

Banking — 4.95%
Abbey National Treasury Services PLC/London (United Kingdom)
2.03%		04/25/14	^2,4		550,000		544,689
Bank of America Corp. (MTN)
1.87%		01/30/14	²		550,000		554,186
Bank of America N.A. (BKNT)
0.69%		06/15/17	²		750,000		690,462
Commonwealth Bank of Australia (Australia)
1.12%		03/17/14	^2,3,4		600,000		601,200
HSBC Bank PLC (United Kingdom)
1.26%		01/17/14	^2,3,4		550,000		549,865
JPMorgan Chase Bank N.A.
0.73%		06/13/16	²		550,000		530,741
Lloyds TSB Bank PLC (United Kingdom)
2.80%		01/24/14	^2,4		500,000		509,289


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Banking (continued)
National Australia Bank Ltd., Series REGS (Australia)
1.18%		04/11/14	^2,4	$	550,000	$	551,364
Royal Bank of Scotland PLC, Series 1 (United Kingdom)
2.85%		08/23/13	^2,4		500,000		506,023
UBS AG/Stamford CT (BKNT) (Switzerland)
2.25%		08/12/13	⁴		425,000		430,607

							5,468,426

Consumer Discretionary — 0.50%
Anheuser-Busch InBev Worldwide, Inc., Series FRN
1.00%		01/27/14	²		550,000		554,262

Finance — 3.85%
Citigroup, Inc.
5.30%		10/17/12			1,075,000		1,077,067
General Electric Capital Corp. (MTN)
0.52%		06/20/14	²		250,000		248,327
General Electric Capital Corp., Series A (MTN)
0.65%		09/15/14	²		300,000		298,333
Goldman Sachs Group, Inc.
1.44%		02/07/14	²		430,000		429,924
5.45%		11/01/12			500,000		502,014
Goldman Sachs Group, Inc., Series B (MTN)
0.85%		07/22/15	²		200,000		193,702
International Lease Finance Corp.
6.50%		09/01/14	³		350,000		376,250
Macquarie Group Ltd. (Australia)
7.30%		08/01/14	^3,4		318,000		342,627
Morgan Stanley (MTN)
0.90%		10/18/16	²		260,000		243,894
WT Finance Aust Pty Ltd./Westfield Capital/WEA Finance LLC (Australia)
5.12%		11/15/14	^3,4		500,000		540,177

							4,252,315

Food — 0.46%
Kraft Foods Group, Inc.
1.62%		06/04/15	³		500,000		508,374

Industrials — 0.37%
BAA Funding Ltd. (United Kingdom)
2.50%		06/25/15	^3,4		400,000		407,824

Insurance — 0.51%
Metropolitan Life Global Funding I
1.70%		06/29/15	³		550,000		561,379


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Real Estate Investment Trust (REIT) — 1.48%
Duke Realty LP
5.40%		08/15/14		$	220,000	$	234,840
HCP, Inc.
2.70%		02/01/14			600,000		612,797
Kimco Realty Corp.
6.00%		11/30/12			275,000		276,991
Post Apartment Homes LP
6.30%		06/01/13			500,000		515,172

							1,639,800

Transportation — 0.30%
JetBlue Airways Pass-Through Trust,
Series 2004, Class G1
0.81%		08/15/16	²		353,439		329,582

Total Corporates
(Cost $13,954,476)							14,221,839

MORTGAGE-BACKED — 68.44%**
Commercial Mortgage-Backed — 7.90%
Banc of America Merrill Lynch Commercial
Mortgage, Inc., Series 2003-1, Class A2
4.65%		09/11/36			246,736		247,883
Bank of America Commercial Mortgage, Inc.,
Series 2005-6, Class A4
5.36%		09/10/47	²		535,000		601,611
Bear Stearns Commercial Mortgage
Securities, Series 2003-T10, Class A2
4.74%		03/13/40			385,501		389,170
Commercial Mortgage Asset Trust, Series
1999-C1, Class A4
6.98%		01/17/32	²		282,303		287,602
Credit Suisse First Boston Mortgage
Securities Corp., Series 2002-CKN2,
Class A3
6.13%		04/15/37			14,635		14,896
GE Capital Commercial Mortgage Corp.,
Series 2003-C2, Class A4
5.14%		07/10/37			518,457		529,383
Greenwich Capital Commercial Funding
Corp., Series 2004-GG1, Class A7
5.32%		06/10/36	²		520,000		549,534
JPMorgan Chase Commercial Mortgage
Securities Corp., Series 2004-C1, Class A3
4.72%		01/15/38			555,000		575,970
JPMorgan Chase Commercial Mortgage
Securities Corp., Series 2004-C3, Class A5
4.88%		01/15/42			555,000		596,100
JPMorgan Chase Commercial Mortgage
Securities Corp., Series 2004-CB8,
Class A1A
4.16%		01/12/39	³		530,762		544,894


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed (continued)
JPMorgan Chase Commercial Mortgage
Securities Corp., Series 2006-CB14,
Class ASB
5.51%		12/12/44		$	477,583	$	509,557
JPMorgan Chase Commercial Mortgage
Securities Corp., Series 2006-CB15,
Class ASB
5.79%		06/12/43	²		435,383		466,335
JPMorgan Chase Commercial Mortgage
Securities Corp., Series 2006-LDP9,
Class A3S
5.24%		05/15/47	³		270,000		279,151
LB-UBS Commercial Mortgage Trust, Series
2003-C8, Class A4
5.12%		11/15/32	²		500,000		517,801
Morgan Stanley Capital I, Series 2005-T19,
Class A4A
4.89%		06/12/47			545,000		602,279
RBSCF Trust, Series 2010-MB1, Class A1
2.37%		04/15/24	³		485,012		495,779
TIAA Seasoned Commercial Mortgage Trust,
Series 2007-C4, Class A3
5.58%		08/15/39	²		520,000		555,820
Wachovia Bank Commercial Mortgage Trust,
Series 2003-C6, Class A4
5.12%		08/15/35	²		505,022		518,379
Wachovia Bank Commercial Mortgage Trust,
Series 2004-C15, Class A4
4.80%		10/15/41			415,000		446,970

							8,729,114

Non-Agency Mortgage-Backed — 17.26%
Aames Mortgage Trust, Series 2002-1,
Class A3 (STEP)
6.74%		06/25/32			34,578		32,074
Adjustable Rate Mortgage Trust, Series
2005-1, Class 1A1
3.17%		05/25/35	²		966,094		794,634
Ameriquest Mortgage Securities, Inc., Series
2005-R11, Class A2C
0.45%		01/25/36	²		145,820		145,427
Banc of America Funding Corp., Series
2003-2, Class 1A1
6.50%		06/25/32			16,414		17,276
Banc of America Funding Corp., Series
2006-G, Class 2A3
0.39%		07/20/36	²		348,001		344,029
Banc of America Funding Corp., Series
2007-8, Class 2A1
7.00%		10/25/37			616,524		369,363
Banc of America Mortgage Securities, Inc.,
Series 2003-A, Class 2A2
3.20%		02/25/33	²		4,508		4,458


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Centex Home Equity, Series 2005-D,
Class M1
0.65%		10/25/35	²	$	575,000	$	541,543
Citigroup Mortgage Loan Trust, Inc., Series
2004-HYB1, Class A41
3.17%		02/25/34	²		175,242		171,357
Citigroup Mortgage Loan Trust, Inc., Series
2007-WFH2, Class A3
0.40%		03/25/37	²		2,500,000		2,171,080
Citigroup Mortgage Loan Trust, Inc., Series
2007-WFH4, Class A2C
1.52%		07/25/37	²		1,765,000		975,852
Conseco Financial Corp., Series 1994-1,
Class A5
7.65%		04/15/19			2,514		2,662
Conseco Financial Corp., Series 1995-8,
Class M1
7.30%		12/15/26			326,749		335,843
Conseco Financial Corp., Series 1996-8,
Class A6
7.60%		10/15/27	²		4,335		4,425
Countrywide Alternative Loan Trust, Series
2004-J6, Class 2A1
6.50%		11/25/31			211,443		223,062
Countrywide Alternative Loan Trust, Series
2005-16, Class A5
0.50%		06/25/35	²		651,469		230,505
Credit Suisse First Boston Mortgage
Securities Corp., Series 2001-MH29,
Class A (STEP)
5.60%		09/25/31			49,199		50,038
Credit Suisse First Boston Mortgage
Securities Corp., Series 2002-AR31,
Class 4A2
2.82%		11/25/32	²		200,000		160,685
Credit-Based Asset Servicing and
Securitization LLC, Series 2007-CB4,
Class A2A (STEP)
5.32%		04/25/37			162,232		160,186
DBRR Trust, Series 2012-EZ1, Class A
0.95%		09/25/45	³		420,000		420,755
Deutsche Financial Capital Securitization
LLC, Series 1997-I, Class A3
6.75%		09/15/27			43,270		43,649
Downey Savings & Loan Association
Mortgage Loan Trust, Series 2004-AR3,
Class 2A2A
0.59%		07/19/44	²		455,421		417,103
Fremont Home Loan Trust, Series 2005-C,
Class M1
0.70%		07/25/35	²		440,866		419,085
GE Mortgage Services LLC, Series
1998-HE1, Class A7
6.46%		06/25/28			162		160


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
GMAC Mortgage Corp. Loan Trust, Series
2003-GH1, Class A5 (STEP)
5.60%		07/25/34		$	36,550	$	34,740
Green Tree Home Improvement Loan Trust,
Series 1995-C, Class B2
7.60%		07/15/20			551		551
Green Tree Home Improvement Loan Trust,
Series 1995-F, Class B2
7.10%		01/15/21			10,513		10,308
GSAA Trust, Series 2006-2, Class 2A3
0.49%		12/25/35			500,000		478,750
Home Equity Loan Trust, Series 2007-3,
Class APT
1.42%		11/20/36	²		419,211		412,649
Indymac Index Mortgage Loan Trust, Series
2004-AR12, Class A1
1.00%		12/25/34	²		843,610		595,081
Indymac Index Mortgage Loan Trust, Series
2004-AR6, Class 6A1
3.06%		10/25/34	²		874,969		865,162
Indymac Index Mortgage Loan Trust, Series
2006-AR2, Class 1A1A
0.44%		04/25/46	²		1,202,779		741,081
Indymac Index Mortgage Loan Trust, Series
2007-FLX1, Class A1
0.32%		02/25/37	²		111,748		111,337
Indymac Manufactured Housing Contract,
Series 1998-2, Class A4
6.64%		08/25/29	²		109,838		109,996
Irwin Home Equity Corp., Series 2003-A,
Class M2
2.87%		10/25/27	²		143,532		133,488
JPMorgan Mortgage Trust, Series 2005-A2,
Class 9A1
2.74%		04/25/35	²		563,958		543,323
Long Beach Mortgage Loan Trust, Series
2005-2, Class M2
0.68%		04/25/35	²		158,244		157,913
MASTR Adjustable Rate Mortgages Trust,
Series 2004-1, Class 2A1
3.12%		01/25/34	²		35,856		32,049
MASTR Adjustable Rate Mortgages Trust,
Series 2004-12, Class 5A1
3.33%		10/25/34	²		832,948		732,279
MASTR Adjustable Rate Mortgages Trust,
Series 2004-5, Class 3A1
3.06%		06/25/34	²		38,860		36,650
MASTR Seasoned Securities Trust, Series
2004-1, Class 4A1
2.78%		10/25/32	²		109,610		104,907
MASTR Seasoned Securities Trust, Series
2004-2, Class A2
6.50%		08/25/32			332,343		353,763


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Merrill Lynch Mortgage Investors, Inc., Series 2003-A1, Class 2A
2.67%		12/25/32	²	$	432,635	$	432,412
Mid-State Trust, Series 6, Class A4
7.79%		07/01/35			37,145		37,103
Morgan Stanley ABS Capital I, Series 2004-NC2, Class M2
2.02%		12/25/33	²		615,752		450,359
Oakwood Mortgage Investors, Inc., Series 1998-A, Class A4
6.20%		05/15/28			665		671
Oakwood Mortgage Investors, Inc., Series 1998-B, Class A3
6.20%		01/15/15			2,124		2,162
Oakwood Mortgage Investors, Inc., Series 1998-B, Class A4
6.35%		03/15/17			106,316		108,339
Residential Asset Mortgage Products, Inc., Series 2003-SL1, Class A11
7.12%		03/25/16			24,592		25,276
Residential Asset Mortgage Products, Inc., Series 2004-SL1, Class A2
8.50%		11/25/31			96,133		96,027
Residential Asset Mortgage Products, Inc., Series 2004-SL1, Class A8
6.50%		11/25/31			172,697		178,709
Residential Asset Mortgage Products, Inc., Series 2005-EFC2, Class M1
0.66%		07/25/35	²		30,868		30,774
Residential Asset Securitization Trust, Series 2004-IP2, Class 2A1
2.73%		12/25/34	²		439,305		445,185
Residential Funding Mortgage Securities II, Inc., Series 1999-HI6, Class AI7 (STEP)
8.60%		09/25/29			68,134		64,499
Residential Funding Mortgage Securities II, Inc., Series 2000-HI1, Class AI7 (STEP)
8.29%		02/25/25			6,138		6,086
Saxon Asset Securities Trust, Series 2002-1, Class M2
2.02%		11/25/31	²		124,567		92,339
Soundview Home Equity Loan Trust, Series 2006-WF2, Class A2C
0.36%		12/25/36	²		882,935		849,393
Structured Asset Securities Corp., Series 2001-15A, Class 4A1
2.56%		10/25/31	²		39,327		39,544
Structured Asset Securities Corp., Series 2007-EQ1, Class A4
0.47%		03/25/37	²		3,000,000		1,555,521
Terwin Mortgage Trust, Series 2004-13AL, Class 2PX
0.34%		08/25/34	^3,6		6,590,265		47,244


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
UCFC Home Equity Loan, Series 1998-D, Class BF1
8.74%		04/15/30	²	$	1,243	$	581
WaMu Mortgage Pass-Through Certificates, Series 2002-AR6, Class A
1.55%		06/25/42	²		97,636		91,608
WaMu Mortgage Pass-Through Certificates, Series 2003-AR6, Class A1
2.44%		06/25/33	²		361,073		372,467
Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2005-4, Class CB13
0.72%		06/25/35	²		511,757		357,134
Washington Mutual MSC Mortgage Pass-Through CTFS, Series 2003-MS9, Class 1A
7.00%		04/25/33			20,604		21,328
Wells Fargo Home Equity Trust, Series 2005-3, Class AII3
0.56%		11/25/35	²		224,680		224,333
Wells Fargo Home Equity Trust, Series 2006-1, Class A3
0.37%		05/25/36	²		47,491		46,967

							19,065,339

U.S. Agency Mortgage-Backed — 43.28%
Fannie Mae Pool 111643
3.10%		09/01/20	²		18,818		19,371
Fannie Mae Pool 190656
6.50%		02/01/14			29,808		33,522
Fannie Mae Pool 254548
5.50%		12/01/32			793,623		880,842
Fannie Mae Pool 523829
8.00%		11/01/19			124,257		142,687
Fannie Mae Pool 555098
2.59%		11/01/32	²		76,658		82,185
Fannie Mae Pool 555177
2.26%		01/01/33	²		87,307		92,577
Fannie Mae Pool 555424
5.50%		05/01/33			525,723		583,500
Fannie Mae Pool 567002
8.00%		05/01/23			78,119		93,528
Fannie Mae Pool 646884
2.16%		05/01/32	²		6,538		6,626
Fannie Mae Pool 647903
2.04%		04/01/27	²		51,726		55,047
Fannie Mae Pool 648860
6.50%		05/01/17			298,417		324,001
Fannie Mae Pool 655127
7.00%		07/01/32			36,438		41,046


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool 655133
7.00%		08/01/32		$	37,221	$	41,689
Fannie Mae Pool 655151
7.00%		08/01/32			24,949		27,891
Fannie Mae Pool 745506
5.66%		02/01/16			476,064		538,184
Fannie Mae Pool 754001
2.88%		12/01/33	²		392,017		402,298
Fannie Mae Pool 762525
6.50%		11/01/33			84,595		93,795
Fannie Mae Pool 770900
2.69%		04/01/34	²		409,781		441,333
Fannie Mae Pool 805268
1.68%		01/01/35	²		202,749		207,974
Fannie Mae Pool 893489
6.24%		09/01/36	²		245,743		264,097
Fannie Mae Pool AD0538
6.00%		05/01/24			487,283		545,626
Fannie Mae Pool AD0546
4.37%		11/01/37	²		183,493		196,960
Fannie Mae Pool AE0443
6.50%		10/01/39			914,267		1,041,953
Fannie Mae Pool AL0851
6.00%		10/01/40			840,326		929,821
Fannie Mae REMICS, Series 2003-64, Class KS
9.35%		07/25/18	²		360,094		405,646
Fannie Mae REMICS, Series 2003-90, Class SL
16.13%		03/25/31	²		312,708		342,707
Fannie Mae REMICS, Series 2009-111, Class DA
5.00%		12/25/39			828,533		885,707
Fannie Mae, Series 1988-12, Class A
3.75%		02/25/18	²		58,863		60,172
Fannie Mae, Series 1993-80, Class S
10.61%		05/25/23	²		5,291		6,089
Fannie Mae, Series 2001-42, Class SB
8.50%		09/25/31	²		4,360		4,217
Fannie Mae, Series 2001-60, Class OF
1.17%		10/25/31	²		538,294		551,148
Fannie Mae, Series 2002-30, Class FB
1.22%		08/25/31	²		744,197		757,351
Fannie Mae, Series 2002-82, Class FP
0.72%		02/25/32	²		108,841		108,946
Fannie Mae, Series 2003-117, Class XF
0.57%		08/25/33	²		694,934		697,194
Fannie Mae, Series 2003-124, Class TS
9.80%		01/25/34	²		68,387		79,842


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae, Series 2003-134, Class FC
0.82%		12/25/32	²	$	997,009	$	1,007,027
Fannie Mae, Series 2003-37, Class IG (IO)
5.50%		05/25/32			19,056		535
Fannie Mae, Series 2004-33, Class FM
1.03%		03/25/31	²		167,602		170,774
Fannie Mae, Series 2004-60, Class FW
0.67%		04/25/34	²		721,382		726,234
Fannie Mae, Series 2004-79, Class F
0.52%		08/25/32	²		758,679		760,287
Fannie Mae, Series 2004-96, Class MT
7.00%		12/25/34	²		75,661		74,065
Fannie Mae, Series 2007-68, Class SC (IO)
6.48%		07/25/37	²		1,122,571		183,136
Fannie Mae, Series 2008-47, Class PF
0.72%		06/25/38	²		453,508		456,950
Fannie Mae, Series 2009-33, Class FB
1.04%		03/25/37	²		797,073		811,548
Fannie Mae, Series 2010-109, Class PF
0.62%		10/25/40	²		551,467		553,165
Fannie Mae, Series 2010-112, Class PI (IO)
6.00%		10/25/40			1,748,122		245,160
Fannie Mae, Series 2010-26, Class S (IO)
6.01%		11/25/36	²		2,678,981		429,253
Fannie Mae, Series 2011-71, Class FB
0.72%		05/25/37	²		837,120		843,032
Freddie Mac Gold Pool C90237
6.50%		11/01/18			72,045		80,556
Freddie Mac Gold Pool C90474
7.00%		08/01/21			106,557		123,533
Freddie Mac Gold Pool D93410
6.50%		04/01/19			60,648		67,812
Freddie Mac Gold Pool G13107
5.50%		07/01/20			613,230		661,790
Freddie Mac Gold Pool P20295
7.00%		10/01/29			57,301		62,268
Freddie Mac Non Gold Pool 1 G2627
2.57%		03/01/37	²		290,506		310,809
Freddie Mac Non Gold Pool 1 J1509
2.34%		11/01/36	²		287,819		305,037
Freddie Mac Non Gold Pool 1 J1534
3.30%		03/01/37	²		533,233		572,991
Freddie Mac Non Gold Pool 775554
2.90%		10/01/18	²		4,293		4,326
Freddie Mac Non Gold Pool 782824
2.11%		11/01/34	²		470,523		490,692
Freddie Mac Non Gold Pool 865369
3.04%		06/01/22	²		2,755		2,792


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac REMICS, Series 2733, Class FB
0.82%		10/15/33	²	$	1,060,000	$	1,068,667
Freddie Mac REMICS, Series 3001, Class HS
16.20%		02/15/35	²		193,923		235,892
Freddie Mac REMICS, Series 3085, Class FW
0.92%		08/15/35	²		1,009,132		1,019,988
Freddie Mac REMICS, Series 3828, Class TF
0.62%		04/15/29	²		1,309,290		1,314,985
Freddie Mac REMICS, Series 3997, Class LF
0.62%		11/15/40	²		589,295		589,489
Freddie Mac Strips, Series 263, Class F5
0.72%		06/15/42	²		1,037,045		1,045,045
Freddie Mac, Series 1526, Class L
6.50%		06/15/23			15,174		15,658
Freddie Mac, Series 2043, Class CJ
6.50%		04/15/28			31,114		35,791
Freddie Mac, Series 2368, Class AF
1.17%		10/15/31	²		461,080		472,403
Freddie Mac, Series 2642, Class BW (IO)
5.00%		06/15/23			19,772		2,145
Freddie Mac, Series 2657, Class LX (IO)
6.00%		05/15/18			68,923		3,489
Freddie Mac, Series 2817, Class FA
0.72%		06/15/32	²		252,947		253,203
Freddie Mac, Series 2945, Class LD
4.00%		02/15/35			262,185		273,228
Freddie Mac, Series 2971, Class AB
5.00%		05/15/20			21,211		23,147
Freddie Mac, Series 3300, Class FA
0.52%		08/15/35	²		727,921		729,010
Freddie Mac, Series 3325, Class NF
0.52%		08/15/35	²		731,700		732,795
Freddie Mac, Series 3345, Class FP
0.42%		11/15/36	²		185,264		185,511
Freddie Mac, Series 3345, Class PF
0.40%		05/15/36	²		202,278		202,134
Freddie Mac, Series 3346, Class FA
0.45%		02/15/19	²		516,952		517,729
Freddie Mac, Series 3626, Class MA
5.00%		02/15/30			610,572		639,036
Freddie Mac, Series 3895, Class BF
0.72%		07/15/41	²		832,858		838,813
Freddie Mac, Series 3946, Class FG
0.57%		10/15/39	²		1,402,963		1,407,457
Ginnie Mae II Pool 80546
1.62%		10/20/31	²		31,640		32,948


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Ginnie Mae II Pool 80610
1.75%		06/20/32	²	$	381,409	$	397,403
Ginnie Mae II Pool 80614
1.62%		07/20/32	²		50,176		51,962
Ginnie Mae II Pool 80687
1.75%		04/20/33	²		235,363		245,232
Ginnie Mae II Pool 8339
1.62%		12/20/23	²		55,521		57,816
Ginnie Mae II Pool 8684
1.62%		08/20/25	²		79,730		82,568
Ginnie Mae II Pool MA0331
2.50%		08/20/42	²		1,026,646		1,087,804
Ginnie Mae, Series 2002-72, Class FB
0.62%		10/20/32	²		709,277		714,553
Ginnie Mae, Series 2002-72, Class FC
0.62%		10/20/32	²		676,470		681,502
Ginnie Mae, Series 2003-28, Class LI (IO)
5.50%		02/20/32			26,373		380
Ginnie Mae, Series 2003-39, Class GF
0.57%		05/20/32	²		1,005,154		1,007,471
Ginnie Mae, Series 2004-2, Class FW
1.63%		01/16/34	²		332,692		358,067
Ginnie Mae, Series 2009-66, Class UF
1.22%		08/16/39	²		930,705		952,519
Ginnie Mae, Series 2009-92, Class FC
1.02%		10/16/39	²		1,047,309		1,059,568
Ginnie Mae, Series 2011-70, Class IL (IO)
0.60%		06/16/37	²		13,257,136		212,651
NCUA Guaranteed Notes, Series 2010-R1, Class 1A
0.68%		10/07/20	²		1,519,449		1,526,287
NCUA Guaranteed Notes, Series 2010-R2, Class 1A
0.60%		11/06/17	²		1,556,442		1,563,252
NCUA Guaranteed Notes, Series 2010-R3, Class 1A
0.79%		12/08/20	²		1,127,043		1,134,515
NCUA Guaranteed Notes, Series 2011-C1, Class 2A
0.76%		03/09/21	²		1,367,720		1,375,974
NCUA Guaranteed Notes, Series 2011-R3, Class 1A
0.63%		03/11/20	²		913,661		919,175
NCUA Guaranteed Notes, Series 2011-R4, Class 1A
0.61%		03/06/20	²		766,237		767,486
NCUA Guaranteed Notes, Series 2011-R5, Class 1A
0.61%		04/06/20	²		1,446,233		1,449,453


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
NCUA Guaranteed Notes, Series 2011-R6, Class 1A
0.61%		05/07/20	²	$	614,259	$	615,603

							47,829,148

Total Mortgage-Backed (Cost $77,081,682)							75,623,601

MUNICIPAL BONDS — 0.66%*
Illinois — 0.66%
State of Illinois, Taxable Bonds
4.03%		03/01/14			300,000		311,394
4.07%		01/01/14			400,000		414,136


Total Municipal Bonds (Cost $699,501)							725,530

U.S. AGENCY SECURITIES — 3.65%
U.S. Agency Securities — 3.65%
Fannie Mae
0.36%		06/23/14	²		1,200,000		1,202,425
0.63%		02/22/16			1,080,000		1,080,840
1.00%		11/07/14			1,200,000		1,201,172
Federal Home Loan Bank
0.55%		10/05/15			550,000		550,135

Total U.S. Agency Securities (Cost $4,028,949)							4,034,572


U.S. TREASURY SECURITIES — 5.55%
U.S. Treasury Notes — 5.55%
U.S. Treasury Notes - Treasury Inflation
Indexed Notes
0.63%		04/15/13	⁷		3,972,000		4,349,296
1.25%		04/15/14	⁷		480,000		540,602
2.00%		01/15/14	⁷		960,000		1,243,576

Total U.S. Treasury Securities (Cost $6,147,773)							6,133,474

Total Bonds – 93.12% (Cost $104,364,127)							102,898,373


Issues	Maturity Date		Principal Amount/ Shares		Value
SHORT-TERM INVESTMENTS — 4.96%
Money Market Fund — 1.99%
BlackRock Liquidity Funds TempFund Portfolio
0.14%⁸			$	1,100,000	$	1,100,000
DWS Money Market Series Institutional Funds
0.15%⁸				1,101,000		1,101,000

						2,201,000

U.S. Agency Discount Notes — 1.25%
Federal Home Loan Bank
0.11%⁹		10/05/12		1,380,000		1,379,984
U.S. Treasury Bills — 1.72%
U.S. Treasury Bills
0.09%⁹		01/17/13		1,900,000		1,899,588

Total Short-Term Investments (Cost $5,480,448)						5,480,572


Total Investments – 98.08% (Cost $109,844,575)¹						108,378,945


Cash and Other Assets, Less
Liabilities – 1.92%						2,123,879

Net Assets – 100.00%					$	110,502,824

Notes:

¹	Cost for federal income tax purposes is $109,862,412 and net unrealized appreciation/(depreciation) consists of:

²	Floating rate security. The rate disclosed was in effect at September 30, 2012.

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 September 30, 2012, was $7,518,668, representing 6.80% of total net assets.

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

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

02/04/09

HCA, Inc., Term Loan EXT B3,
3.47%, 05/01/18

637,820

642,643

0.58%

⁶	Illiquid security as determined under procedures approved by the Fund’s Board of Trustees. The aggregate value of illiquid securities is $47,244, which is 0.04% of total net assets.

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

⁸	Represents the current yield as of September 30, 2012.

⁹	Represents annualized yield at date of purchase.

*	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.

(BKNT): Banker’s Note, Inc.

(IO): Interest only

(MTN): Medium-term note

(STEP): Step coupon bond


Issues	Maturity Date			Principal Amount		Value
BONDS – 95.12%
ASSET-BACKED SECURITIES — 7.30%**
Aircastle Aircraft Lease Backed Trust, Series 2007-1A, Class G1
0.49%		06/14/37	^2,3	$	5,522,726	$	4,970,453
Arizona Educational Loan Marketing Corp., Series 2004-A, Class A2
0.64%		12/01/23	²		5,135,329		5,016,656
Avalon IV Capital Ltd., Series 1A, Class SUB (Cayman Islands)
0.00%		04/17/23	^3,4		1,625,000		1,718,438
Avalon IV Capital Ltd., Series 2012-1A, Class C (Cayman Islands)
4.39%		04/17/23	^2,3,4		1,675,000		1,670,087
Axis Equipment Finance Receivables LLC, Series 2012-1I, Class D
5.50%		11/20/15	^†		1,000,000		872,495
Axis Equipment Finance Receivables LLC, Series 2012-1I, Class E1
6.25%		04/20/16	^†		1,000,000		836,995
Babcock & Brown Air Funding I Ltd., Series 2007-1A, Class G1 (Bermuda)
0.54%		11/14/33	^2,3,4		4,938,693		4,074,422
Bayview Commercial Asset Trust, Series 2005-1A, Class A1
0.52%		04/25/35	^2,3		811,434		679,020
Bayview Commercial Asset Trust, Series 2005-2A, Class A1
0.53%		08/25/35	^2,3		3,530,187		2,514,840
Bayview Commercial Asset Trust, Series 2007-1, Class A1
0.44%		03/25/37	^2,3		116,418		88,690
Bayview Commercial Asset Trust, Series 2007-3, Class A1
0.46%		07/25/37	^2,3		550,967		392,344
Brazos Higher Education Authority, Inc., Series 2003 I, Class A3
0.48%		09/26/22	²		4,550,000		4,493,282
Brazos Higher Education Authority, Inc., Series 2010-1, Class A2
1.63%		02/25/35	²		3,035,000		2,992,011
Brazos Higher Education Authority, Inc., Series 2011-2, Class A3
1.45%		10/27/36	²		5,040,000		4,855,896
Castle Trust, Series 2003-1AW, Class A1
0.97%		05/15/27	^2,3		1,667,834		1,551,086
Cronos Containers Program Ltd., Series 2012-2A, Class A (Bermuda)
3.81%		09/18/27	^3,4		4,000,000		4,052,000
GE Business Loan Trust, Series 2004-2A, Class A
0.44%		12/15/32	^2,3		6,145,282		5,724,091
GE Seaco Finance SRL, Series 2004-1A, Class A (Barbados)
0.52%		04/17/19	^2,3,4		1,052,917		1,035,535


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
GE Seaco Finance SRL, Series 2005-1A, Class A (Barbados)
0.47%		11/17/20	^2,3,4	$	4,284,500	$	4,155,362
Genesis Funding Ltd., Series 2006-1A, Class G1 (Bermuda)
0.46%		12/19/32	^2,3,4		5,280,679		4,608,976
Goal Capital Funding Trust, Series 2006-1, Class B
0.88%		08/25/42	²		5,149,209		4,377,106
GSC Partners Gemini Fund Ltd., Series 1A, Class A (Cayman Islands)
1.11%		10/10/14	^2,3,4		223,925		223,254
Highland Loan Funding Ltd., Series 1A, Class A2A (Cayman Islands)
1.12%		08/01/14	^2,3,4		1,750,000		1,682,515
Nelnet Student Loan Trust, Series 2007-1, Class A1
0.44%		11/27/18	²		1,347,927		1,343,265
North Carolina State Education Authority, Series 2011-1, Class A3
1.37%		10/25/41	²		5,500,000		5,364,865
Northstar Education Finance, Inc.
0.55%		04/28/30	²		5,605,000		5,204,192
Sound Point CLO Ltd., Series 2012-1A, Class C
3.71%		10/20/23	³		1,750,000		1,669,500
South Carolina Student Loan Corp., Series A2
0.54%		12/01/20	²		4,905,000		4,821,526
Student Loan Consolidation Center Student Loan Trust I, Series 2002-2, Class B2
1.74%		07/01/42	^2,3		4,500,000		3,465,000
Symphony CLO Ltd., Series 2012-9A, Class C (Cayman Islands)
3.70%		04/16/22	^2,3,4		1,800,000		1,757,961
TAL Advantage LLC, Series 2006-1, Class NOTE
0.41%		04/20/21	^2,3		2,105,208		2,062,275
TAL Advantage LLC, Series 2010-2A, Class A
4.30%		10/20/25	³		2,873,625		2,903,346
TAL Advantage LLC, Series 2011-1A, Class A
4.60%		01/20/26	³		1,250,000		1,337,396
TAL Advantage LLC, Series 2012-1A, Class A
3.86%		05/20/27	³		1,450,000		1,513,990
Textainer Marine Containers Ltd., Series 2005-1A, Class A (Bermuda)
0.47%		05/15/20	^2,3,4,†		1,293,333		1,275,554
Textainer Marine Containers Ltd., Series 2011-1A, Class A (Bermuda)
4.70%		06/15/26	^3,4		4,287,500		4,513,031
Trip Rail Master Funding LLC, Series 2011-1A, Class A1A
8.00%		07/06/14	^3,5,†		4,080,000		4,079,958


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Triton Container Finance LLC, Series 2006-1A, Class NOTE
0.39%		11/26/21	^2,3	$	3,520,833	$	3,424,690
Triton Container Finance LLC, Series 2007-1A, Class NOTE
0.36%		02/26/19	^2,3		1,865,364		1,839,066
Triton Container Finance LLC, Series 2012-1A, Class A
4.21%		05/14/27	³		3,383,333		3,572,375
U-Haul S Fleet LLC, Series 2007-BT1, Class BT
5.56%		02/25/20	³		1,765,731		1,845,621
US Education Loan Trust IV LLC, Series 2006-1, Class A4
0.31%		03/01/41	^3,6,†		7,500,000		6,224,991
Wind River CLO Ltd, Series 2004-1A, Class B1 (Cayman Islands)
1.48%		12/19/16	^2,3,4		1,750,000		1,585,696

Total Asset-Backed Securities (Cost $120,515,542)							122,389,852

BANK LOANS — 1.15%*
Automotive — 0.30%
Chrysler Group LLC, Term Loan, 1st Lien
6.00%		05/24/17	^2,7		4,949,875		5,056,777

Communications — 0.04%
Cengage Learning Acquisitions, Inc., Term Loan B
2.47%		07/03/14	^2,7		712,500		679,448

Electric — 0.25%
Texas Competitive Electric Holdings Co. LLC, Term Loan EXT, 1st Lien
4.76%		10/10/17	^2,7		5,500,000		3,802,733
Texas Competitive Electric Holdings Co. LLC, Term Loan NONEXT, 1st Lien
3.76%		10/10/14	^2,7		465,072		347,583

							4,150,316

Gaming — 0.20%
Caesars Entertainment Operating Co., Inc., Term Loan B6, 1st Lien
5.47%		01/28/18	^2,7		3,600,000		3,281,144

Health Care — 0.36%
HCA, Inc., Term Loan EXT B3
3.47%		05/01/18	^2,7		6,081,382		6,100,387

Total Bank Loans (Cost $18,660,619)							19,268,072


Issues	Maturity Date			Principal Amount		Value
CORPORATES — 28.14%*
Automotive — 0.53%
Daimler Finance North America LLC
1.60%		09/13/13	^2,3	$	1,800,000	$	1,799,556
1.88%		09/15/14	³		7,000,000		7,061,106

							8,860,662

Banking — 9.38%
Abbey National Treasury Services PLC/London (United Kingdom)
2.03%		04/25/14	^2,4		9,405,000		9,314,183
Ally Financial, Inc.
2.62%		12/01/14	²		1,424,000		1,398,881
Bank of America Corp.
6.50%		08/01/16			7,400,000		8,565,544
7.38%		05/15/14			1,365,000		1,501,213
Bank of America Corp., Series L (MTN)
5.65%		05/01/18			300,000		343,355
Bank of America N.A. (BKNT)
0.69%		06/15/17	²		2,500,000		2,301,540
6.10%		06/15/17			5,000,000		5,684,600
Capital One Financial Corp.
7.38%		05/23/14			5,000,000		5,505,085
City National Corp./CA
5.12%		02/15/13			8,000,000		8,102,184
Commonwealth Bank of Australia (Australia)
2.12%		03/17/14	^3,4		10,000,000		10,169,584
Credit Suisse/New York (MTN) (Switzerland)
5.00%		05/15/13	⁴		11,000,000		11,295,680
Deutsche Bank AG/London, Series G (MTN) (Germany)
4.88%		05/20/13	⁴		7,640,000		7,846,563
HSBC Bank PLC (United Kingdom)
1.26%		01/17/14	^2,3,4		10,000,000		9,997,544
JPMorgan Chase & Co.
3.45%		03/01/16			5,300,000		5,649,656
4.75%		05/01/13			30,000		30,765
JPMorgan Chase & Co., Series C (MTN)
0.00%		07/23/13	²		1,500,000		1,495,650
JPMorgan Chase Bank N.A.
0.73%		06/13/16	²		4,250,000		4,101,185
JPMorgan Chase Bank N.A. (BKNT)
6.00%		10/01/17			12,700,000		15,045,411
Lloyds TSB Bank PLC (United Kingdom)
4.88%		01/21/16	⁴		10,380,000		11,388,323
National Australia Bank Ltd., Series REGS (Australia)
1.18%		04/11/14	^2,4		8,775,000		8,796,762
Royal Bank of Scotland PLC (United Kingdom)
2.55%		09/18/15	⁴		5,000,000		5,062,581


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Banking (continued)
Royal Bank of Scotland PLC, Series 2 (United Kingdom)
3.40%		08/23/13	⁴	$	1,750,000	$	1,783,829
UBS AG/Stamford CT (BKNT) (Switzerland)
2.25%		08/12/13	⁴		5,750,000		5,825,860
Wachovia Corp. (MTN)
5.50%		05/01/13			5,655,000		5,822,790
Westpac Banking Corp. (Australia)
1.19%		03/31/14	^2,3,4		5,000,000		5,029,900
2.10%		08/02/13	⁴		5,000,000		5,069,100

							157,127,768

Communications — 0.60%
Frontier Communications Corp.
8.25%		05/01/14			71,000		77,390
iPCS, Inc.
2.57%		05/01/13	²		9,970,000		9,970,000

							10,047,390

Electric — 0.34%
Cedar Brakes I LLC
8.50%		02/15/14	³		894,529		926,779
Cedar Brakes II LLC
9.88%		09/01/13	³		1,421,330		1,459,681
FPL Energy National Wind Portfolio LLC
6.12%		03/25/19	³		68,554		54,151
W3A Funding Corp.
8.09%		01/02/17			3,104,021		3,226,465

							5,667,076

Energy — 2.29%
Arch Coal, Inc. (WI)
8.75%		08/01/16			1,540,000		1,505,350
El Paso Pipeline Partners
4.10%		11/15/15			3,000,000		3,203,637
Florida Gas Transmission Co. LLC
4.00%		07/15/15	³		3,500,000		3,675,585
Panhandle Eastern Pipeline Co. LP
6.05%		08/15/13			2,375,000		2,468,195
Sabine Pass LNG LP
7.25%		11/30/13			13,823,000		14,790,610
Southern Union Co.
3.46%		11/01/66	²		3,000,000		2,407,500
Tennessee Gas Pipeline Co.
8.00%		02/01/16			8,673,000		10,364,105

							38,414,982

Finance — 7.62%
Cantor Fitzgerald LP
6.38%		06/26/15	³		3,675,000		3,722,176


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Finance (continued)
Chase Capital II, Series B
0.94%		02/01/27	²	$	6,655,000	$	5,128,432
CIT Group, Inc.
5.25%		04/01/14	³		4,295,000		4,474,853
Citigroup, Inc.
1.28%		02/15/13	²		1,000,000		1,001,087
5.30%		10/17/12			1,424,000		1,426,738
5.50%		04/11/13			11,034,000		11,305,447
5.50%		10/15/14			3,510,000		3,786,806
6.38%		08/12/14			10,500,000		11,436,195
General Electric Capital Corp.
1.88%		09/16/13			2,200,000		2,230,207
General Electric Capital Corp. (MTN)
0.52%		06/20/14	²		3,500,000		3,476,575
0.82%		05/05/26	²		6,300,000		5,347,850
General Electric Capital Corp., Series A (MTN)
0.65%		09/15/14	²		10,169,000		10,112,483
General Electric Capital Corp., Series E (MTN)
0.56%		03/20/14	²		5,500,000		5,415,696
Goldman Sachs Group, Inc.
0.82%		03/22/16	²		800,000		769,545
0.96%		01/12/15	²		1,900,000		1,865,137
1.44%		02/07/14	²		4,000,000		3,999,292
3.62%		02/07/16			1,000,000		1,054,833
5.12%		01/15/15			583,000		627,205
5.45%		11/01/12			1,750,000		1,757,048
6.15%		04/01/18			3,500,000		4,089,974
International Lease Finance Corp.
6.50%		09/01/14	³		9,700,000		10,427,500
JPMorgan Chase Capital XIII, Series M
1.41%		09/30/34	²		2,465,000		1,888,345
JPMorgan Chase Capital XXI, Series U
1.39%		02/02/37	²		3,250,000		2,290,093
Merrill Lynch & Co., Inc. (MTN)
8.68%		05/02/17	²		30,000		34,239
8.95%		05/18/17	²		30,000		34,539
9.57%		06/06/17	²		5,184,000		6,123,859
Morgan Stanley
0.94%		10/15/15	²		2,830,000		2,698,501
3.80%		04/29/16			3,800,000		3,926,271
4.20%		11/20/14			750,000		780,003
6.00%		05/13/14			3,890,000		4,132,275
Morgan Stanley, Series G (MTN)
0.76%		01/09/14	²		1,405,000		1,386,623
Prudential Holdings LLC (AGM)
1.26%		12/18/17	^2,3		10,665,000		10,253,457


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Finance (continued)
Woodbourne Capital Trust I
2.74%		04/08/49	^2,3,5	$	595,000	$	232,050
Woodbourne Capital Trust IV
2.74%		04/08/49	^2,3,5		1,000,000		390,000

							127,625,334

Food — 0.32%
Kraft Foods Group, Inc.
1.62%		06/04/15	³		5,325,000		5,414,186

Health Care — 0.55%
Boston Scientific Corp.
5.45%		06/15/14			1,653,000		1,770,983
UnitedHealth Group, Inc.
4.88%		02/15/13			7,348,000		7,464,334

							9,235,317

Industrials — 0.24%
BAA Funding Ltd. (United Kingdom)
2.50%		06/25/15	^3,4		3,925,000		4,001,776

Insurance — 1.59%
Berkshire Hathaway, Inc.
0.87%		02/11/13	²		5,475,000		5,487,636
1.14%		08/15/14	²		785,000		795,243
2.20%		08/15/16			1,010,000		1,061,736
Farmers Exchange Capital
7.20%		07/15/48	³		444,000		522,738
Farmers Insurance Exchange
6.00%		08/01/14	³		6,835,000		7,281,497
Metropolitan Life Global Funding I
5.12%		04/10/13	³		4,550,000		4,660,233
5.12%		06/10/14	³		3,230,000		3,465,441
Nationwide Mutual Insurance Co.
5.81%		12/15/24	^2,3		3,550,000		3,334,799

							26,609,323

Real Estate Investment Trust (REIT) — 4.03%
AvalonBay Communities, Inc. (MTN)
6.12%		11/01/12			1,057,000		1,061,208
Duke Realty LP
6.25%		05/15/13			9,000,000		9,301,185
HCP, Inc.
6.00%		01/30/17			930,000		1,071,393
HCP, Inc. (MTN)
6.30%		09/15/16			7,600,000		8,714,547
HCP, Inc., Series E (MTN)
6.00%		06/15/14			4,985,000		5,335,922
Health Care REIT, Inc.
3.62%		03/15/16			3,000,000		3,170,443
4.70%		09/15/17			10,185,000		11,253,539


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Real Estate Investment Trust (REIT) (continued)
Healthcare Realty Trust, Inc.
5.12%		04/01/14		$	1,960,000	$	2,056,874
6.50%		01/17/17			2,375,000		2,706,611
Kimco Realty Corp., Series C (MTN)
5.19%		10/01/13			6,000,000		6,214,894
Liberty Property LP
5.12%		03/02/15			5,305,000		5,697,040
WEA Finance LLC/WT Finance Aust Pty Ltd.
5.75%		09/02/15	³		3,500,000		3,887,209
7.50%		06/02/14	³		6,415,000		6,954,840

							67,425,705

Transportation — 0.65%
Continental Airlines Pass-Through Trust, Series 1997, Class 4A
6.90%		01/02/18			150,831		163,604
JetBlue Airways Pass-Through Trust, Series 2004, Class G2
0.88%		11/15/16	²		7,725,000		6,798,000
UAL Pass-Through Trust, Series 2009-1
10.40%		11/01/16			3,470,582		3,999,846

							10,961,450

Total Corporates (Cost $450,764,365)							471,390,969

MORTGAGE-BACKED — 51.90%**
Commercial Mortgage-Backed — 6.86%
Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2005-5, Class A4
5.12%		10/10/45	²		3,810,000		4,245,731
Bank of America Commercial Mortgage, Inc., Series 2005-6, Class A4
5.36%		09/10/47	²		6,150,000		6,915,717
Bayview Commercial Asset Trust, Series 2006-3A, Class A1
0.47%		10/25/36	^2,3		4,124,272		2,489,458
Bear Stearns Commercial Mortgage Securities, Series 2003-T12, Class A4
4.68%		08/13/39	²		6,415,578		6,598,534
Bear Stearns Commercial Mortgage Securities, Series 2005-T20, Class A4A
5.30%		10/12/42	²		7,620,000		8,521,996
Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2005-CD1, Class A4
5.39%		07/15/44	²		1,000,000		1,114,777
DBRR Trust, Series 2011-LC2, Class A4A
4.54%		04/12/21	³		3,480,000		4,079,959
GE Business Loan Trust, Series 2003-2A, Class A
0.59%		11/15/31	^2,3		2,432,551		2,264,581


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed (continued)
GE Business Loan Trust, Series 2005-2A, Class B
0.72%		11/15/33	^2,3	$	2,075,637	$	1,673,755
GMAC Commercial Mortgage Securities, Inc., Series 2004-C1, Class A4
4.91%		03/10/38			410,000		428,290
Greenwich Capital Commercial Funding Corp., Series 2004-GG1, Class A7
5.32%		06/10/36	²		9,050,000		9,564,013
GS Mortgage Securities Corp. II, Series 2011-GC5, Class A4
3.71%		08/10/44	²		8,850,000		9,855,842
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2004-C3, Class A5
4.88%		01/15/42			5,341,000		5,736,521
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2004-CB8, Class A1A
4.16%		01/12/39	³		8,263,004		8,483,012
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2006-LDP9, Class A3S
5.24%		05/15/47	³		4,160,000		4,301,001
Morgan Stanley Capital I, Series 2001-C3, Class A2
3.22%		08/15/49			2,020,000		2,193,116
Morgan Stanley Capital I, Series 2005-T19, Class A4A
4.89%		06/12/47			405,000		447,565
Morgan Stanley Capital I, Series 2006-T23, Class A4
5.99%		08/12/41	²		7,265,000		8,623,668
Morgan Stanley Capital I, Series 2007-T27, Class A4
5.82%		06/11/42	²		265,000		315,086
Morgan Stanley Dean Witter Capital I, Series 2001-TOP3, Class A4
6.39%		07/15/33			122,729		122,706
Spirit Master Funding LLC, Series 2005-1, Class A1
5.05%		07/20/23	³		4,255,604		3,851,322
TIAA Seasoned Commercial Mortgage Trust, Series 2007-C4, Class A3
5.58%		08/15/39	²		10,500,000		11,223,298
Wachovia Bank Commercial Mortgage Trust, Series 2005-C21, Class A4
5.41%		10/15/44	²		5,255,853		5,865,255
WF-RBS Commercial Mortgage Trust, Series 2011-C5, Class A4
3.67%		11/15/44			5,350,000		5,964,239

							114,879,442


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed — 20.12%
Accredited Mortgage Loan Trust, Series 2007-1, Class A4
0.44%		02/25/37	²	$	12,000,000	$	5,929,404
Adjustable Rate Mortgage Trust, Series 2005-1, Class 1A1
3.17%		05/25/35	²		8,199,723		6,744,457
American Home Mortgage Assets, Series 2007-4, Class A2
0.41%		08/25/37	²		10,025,835		8,384,500
American Home Mortgage Investment Trust, Series 2004-2, Class 2A
2.48%		02/25/44	²		11,077,189		9,616,833
Amresco Residential Securities Mortgage Loan Trust, Series 1998-1, Class A5 (STEP)
7.57%		10/25/27			29,585		30,666
Banc of America Funding Corp., Series 2006-G, Class 2A3
0.39%		07/20/36	²		5,550,759		5,487,408
Banc of America Funding Corp., Series 2007-5, Class 3A1
6.00%		07/25/37			7,514,023		5,661,071
Banc of America Funding Corp., Series 2007-8, Class 2A1
7.00%		10/25/37			7,398,294		4,432,353
Banco de Credito Y Securitizacion SA, Series 2001-1, Class AF (Argentina)
8.00%		06/30/20	^3,4,5		7,000		525
BCAP LLC Trust, Series 2010-RR9, Class 3A3
4.00%		05/26/37	^2,3		1,098,294		1,106,288
BCAP LLC Trust, Series 2011-RR5, Class 2A3
3.04%		06/26/37	^2,3		7,202,167		7,155,943
Bear Stearns Asset Backed Securities Trust, Series 2000-2, Class M2 (STEP)
8.28%		08/25/30			1,060,905		1,038,477
Bear Stearns Asset Backed Securities Trust, Series 2005-SD1, Class 1A3
0.62%		08/25/43	²		2,111,620		2,031,245
BHN I Mortgage Fund, Series 2000-1, Class AF (Argentina)
8.00%		01/31/20	^3,4,5,†		9,000		90
CC Mortgage Funding Corp., Series 2005-2A, Class A1
0.40%		05/25/36	^2,3		2,516,828		1,920,881
CC Mortgage Funding Corp., Series 2005-AA, Class B2
0.84%		01/25/36	^2,3		610,357		240,840
Chase Funding Mortgage Loan Asset-Backed Certificates, Series 2002-2, Class 2M1
1.12%		02/25/32	²		704,894		507,534


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Chase Mortgage Finance Corp., Series 2007-A2, Class 2A3
2.87%		07/25/37	²	$	7,860,664	$	7,716,221
Citigroup Mortgage Loan Trust, Inc., Series 2004-HYB1, Class A41
3.17%		02/25/34	²		373,362		365,085
Citigroup Mortgage Loan Trust, Inc., Series 2006-AMC1, Class A2B
0.38%		09/25/36	²		6,119,883		2,948,333
Citigroup Mortgage Loan Trust, Inc., Series 2007-WFH1, Class A2
0.32%		01/25/37	²		22,860		22,801
Citigroup Mortgage Loan Trust, Inc., Series 2007-WFH2, Class A3
0.40%		03/25/37	²		150,000		130,265
Citigroup Mortgage Loan Trust, Inc., Series 2007-WFH4, Class A2C
1.52%		07/25/37	²		90,000		49,760
Conseco Finance Securitizations Corp., Series 2001-4, Class A4
7.36%		09/01/33			7,188,809		7,627,672
Conseco Finance, Series 2001-D, Class A5
6.69%		11/15/32	²		190,676		192,050
Conseco Financial Corp., Series 1994-1, Class A5
7.65%		04/15/19			148,345		157,072
Conseco Financial Corp., Series 1996-1, Class M1
7.00%		03/15/27	²		6,984,625		7,324,947
Conseco Financial Corp., Series 1997-2, Class A7
7.62%		06/15/28	²		3,640,330		3,927,716
Conseco Financial Corp., Series 1997-3, Class A7
7.64%		03/15/28	²		2,048,731		2,271,012
Conseco Financial Corp., Series 1997-7, Class A9
7.37%		07/15/29	²		6,301,044		6,957,367
Conseco Financial Corp., Series 1998-2, Class A5
6.24%		12/01/28	²		23,920		24,862
Countrywide Alternative Loan Trust, Series 2005-43, Class 4A1
5.28%		10/25/35	²		180,182		142,457
Countrywide Alternative Loan Trust, Series 2006-46, Class A4
6.00%		02/25/47			5,065,480		3,461,924
Countrywide Alternative Loan Trust, Series 2006-OA12, Class A2
0.43%		09/20/46	²		4,072,093		1,764,927
Countrywide Asset-Backed Certificates, Series 2007-4, Class A1A
0.36%		09/25/37	²		817,989		812,530


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2004-14, Class 4A1
4.94%		08/25/34	²	$	69,229	$	70,558
Credit Suisse Mortgage Capital Certificates, Series 2007-2, Class 3A4
5.50%		03/25/37			4,767,955		4,487,175
Credit-Based Asset Servicing and Securitization LLC, Series 2005-CB7, Class AF3 (STEP)
4.80%		11/25/35			1,266,959		1,259,831
Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB1, Class AF2 (STEP)
4.35%		01/25/36			2,472,688		1,473,688
Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB9, Class A4
0.45%		11/25/36	²		5,808,753		2,418,845
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB2, Class A2B (STEP)
5.43%		02/25/37			20,580,000		14,488,361
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB5, Class A1
0.28%		04/25/37	²		4,840,872		2,349,613
DBRR Trust, Series 2012-EZ1, Class A
0.95%		09/25/45	³		6,420,000		6,431,536
Downey Savings & Loan Association Mortgage Loan Trust, Series 2005-AR2, Class 2A1A
0.43%		03/19/45	²		3,015,664		2,370,597
Downey Savings & Loan Association Mortgage Loan Trust, Series 2006-AR1, Class 2A1A
1.09%		04/19/47	²		71,470		49,680
First Franklin Mortgage Loan Asset Backed Certificates, Series 2004-FF5, Class A3C
1.22%		08/25/34	²		1,852,058		1,831,619
First Horizon Alternative Mortgage Securities, Series 2004-AA3, Class A1
2.56%		09/25/34	²		30,730		30,338
GE Business Loan Trust, Series 2007-1A, Class A
0.39%		04/16/35	^2,3		3,551,285		3,042,239
GMAC Mortgage Corp. Loan Trust, Series 2000-HE2, Class A1
0.66%		06/25/30	²		749,534		497,331
Green Tree Home Improvement Loan Trust, Series 1997-E, Class HEB1
7.53%		01/15/29			1,044,290		1,031,581
GSAA Trust, Series 2006-9, Class A4A
0.46%		06/25/36	²		10,479,664		4,524,108


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Home Equity Loan Trust, Series 2005-3, Class M1
0.64%		01/20/35	²	$	2,983,974	$	2,814,192
Home Equity Loan Trust, Series 2006-3, Class A4
0.46%		03/20/36	²		8,680,000		7,902,732
Home Equity Loan Trust, Series 2007-1, Class AS
0.42%		03/20/36	²		7,385,323		7,100,878
Impac CMB Trust, Series 2005-5, Class A1
0.86%		08/25/35	²		4,476,667		3,218,561
Indymac Index Mortgage Loan Trust, Series 2004-AR12, Class A1
1.00%		12/25/34	²		542,490		382,672
Indymac Index Mortgage Loan Trust, Series 2004-AR8, Class 2A2A
1.02%		11/25/34	²		1,826,127		1,375,027
Indymac Manufactured Housing Contract, Series 1998-1, Class A4
6.49%		09/25/28			1,240,504		1,206,729
JPMorgan Mortgage Acquisition Corp., Series 2005-FRE1, Class A2F3 (STEP)
2.08%		10/25/35			2,300,674		2,065,307
JPMorgan Mortgage Acquisition Corp., Series 2007-CH1, Class AF2 (STEP)
5.45%		10/25/36			2,257,204		2,252,221
JPMorgan Mortgage Acquisition Corp., Series 2007-CH2, Class AF2 (STEP)
5.29%		01/25/37			11,172,007		8,984,117
JPMorgan Mortgage Acquisition Corp., Series 2007-CH5, Class A2
0.27%		05/25/37	²		407,315		401,270
JPMorgan Mortgage Acquisition Corp., Series 2007-HE1, Class AV4
0.50%		03/25/47	²		50,000		23,885
JPMorgan Mortgage Trust, Series 2005-A3, Class 5A3
2.90%		06/25/35	²		114,200		98,976
JPMorgan Mortgage Trust, Series 2007-A1, Class 5A2
2.91%		07/25/35	²		1,299,673		1,327,587
Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class A3
4.35%		04/15/40			5,126,238		5,148,665
Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class A4
5.27%		04/15/40			4,250,128		4,592,454
Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class AIOC
0.55%		04/15/40	^2,5		273,380,037		3,788,528
Long Beach Mortgage Loan Trust, Series 2005-1, Class M1
0.97%		02/25/35	²		1,835,184		1,813,674


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
MASTR Adjustable Rate Mortgages Trust, Series 2003-6, Class 4A2
5.03%		01/25/34	²	$	65,942	$	66,397
MASTR Adjustable Rate Mortgages Trust, Series 2004-1, Class 2A1
3.12%		01/25/34	²		141,211		126,220
MASTR Adjustable Rate Mortgages Trust, Series 2004-3, Class 3A3
2.28%		04/25/34	²		565,873		572,891
MASTR Adjustable Rate Mortgages Trust, Series 2004-5, Class 3A1
3.06%		06/25/34	²		205,401		193,723
MASTR Adjustable Rate Mortgages Trust, Series 2004-9, Class 1A4
0.82%		11/25/34	²		2,584,476		2,594,297
MASTR Seasoned Securities Trust, Series 2004-1, Class 4A1
2.78%		10/25/32	²		564,491		540,270
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-3, Class A2C
0.40%		06/25/37	²		19,057,200		8,949,690
Mid-State Trust, Series 2004-1, Class B
8.90%		08/15/37			2,034,873		2,098,819
Mid-State Trust, Series 2006-1, Class A
5.79%		10/15/40	³		8,377,669		8,905,805
Morgan Stanley ABS Capital I, Series 2004-NC2, Class M2
2.02%		12/25/33	²		150,859		110,338
Morgan Stanley ABS Capital I, Series 2004-NC7, Class M2
1.15%		07/25/34	²		13,000,000		11,842,220
Morgan Stanley Mortgage Loan Trust, Series 2004-6AR, Class 1A
0.67%		07/25/34	²		1,711,642		1,533,975
Nationstar Home Equity Loan Trust, Series 2007-C, Class 2AV3
0.40%		06/25/37	²		7,807,200		4,582,228
Oakwood Mortgage Investors, Inc., Series 1997-B, Class M
7.78%		08/15/27			5,027,301		5,371,013
Origen Manufactured Housing, Series 2006-A, Class A1
0.37%		11/15/18	²		853,004		845,230
Park Place Securities, Inc., Series 2004-MHQ1, Class M1
0.92%		12/25/34	²		4,723,616		4,707,707
Park Place Securities, Inc., Series 2005-WCW1, Class A3D
0.56%		09/25/35	²		4,357,373		4,319,804
Park Place Securities, Inc., Series 2005-WHQ1, Class M2
0.72%		03/25/35	²		9,099,287		8,511,360


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Popular ABS Mortgage Pass-Through Trust, Series 2007-A, Class A3
0.53%		06/25/47	²	$	70,000	$	36,039
RAAC, Series 2006-SP2, Class A2
0.39%		02/25/36	²		2,178,891		2,153,887
Residential Accredit Loans, Inc., Series 2005-QA3, Class NB1
3.27%		03/25/35	^2,†		12,346,086		8,148,455
Residential Asset Mortgage Products, Inc., Series 2004-SL4, Class A3
6.50%		07/25/32			1,505,759		1,563,247
Residential Asset Mortgage Products, Inc., Series 2005-RS5, Class AI3
0.56%		05/25/35	²		1,135,268		1,115,015
Residential Asset Mortgage Products, Inc., Series 2005-RS8, Class A2
0.51%		10/25/33	²		2,975,884		2,935,397
Residential Asset Mortgage Products, Inc., Series 2005-SL1, Class A5
6.50%		05/25/32			3,604,881		3,510,440
Residential Asset Securities Corp., Series 2005-KS12, Class A2
0.47%		01/25/36	²		3,806,295		3,732,542
Residential Funding Mortgage Securities II, Inc., Series 2000-HI1, Class AI7 (STEP)
8.29%		02/25/25			4,546		4,508
SG Mortgage Securities Trust, Series 2006-FRE1, Class A1B
0.49%		02/25/36	²		1,378,836		779,715
Soundview Home Equity Loan Trust, Series 2006-WF2, Class A2C
0.36%		12/25/36	²		10,042,861		9,661,340
Specialty Underwriting & Residential Finance, Series 2005-AB1, Class A1C
0.56%		03/25/36	²		2,820,082		2,793,731
Structured Asset Mortgage Investments, Inc., Series 2005-AR7, Class 1A1
2.47%		12/27/35	²		12,433,572		8,107,845
Structured Asset Securities Corp., Series 2002-5A, Class 6A
2.37%		04/25/32	²		19,482		19,207
Structured Asset Securities Corp., Series 2003-26A, Class 3A5
2.80%		09/25/33	²		3,603,686		3,577,354
Terwin Mortgage Trust, Series 2004-7HE, Class A1
0.77%		07/25/34	^2,3		142,962		128,075
WaMu Mortgage Pass-Through Certificates, Series 2002-AR18, Class A
2.40%		01/25/33	²		350,792		354,510
WaMu Mortgage Pass-Through Certificates, Series 2005-AR13, Class A1A1
0.51%		10/25/45	²		2,108,314		1,921,730


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
WaMu Mortgage Pass-Through Certificates, Series 2005-AR2, Class 2A21
0.55%		01/25/45	²	$	1,099,914	$	978,021
Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2007-OA3, Class 4A1
0.92%		04/25/47	²		12,948,154		8,838,695
Wells Fargo Home Equity Trust, Series 2005-3, Class AII3
0.56%		11/25/35	²		3,672,282		3,666,619
Wells Fargo Home Equity Trust, Series 2007-2, Class A1
0.31%		04/25/37	²		258,340		252,550

							337,191,000

U.S. Agency Mortgage-Backed — 24.92%
Fannie Mae Interest Strip, Series 405, Class F10
0.92%		10/25/40	²		9,649,414		9,743,149
Fannie Mae Pool 555177
2.26%		01/01/33	²		54,713		58,015
Fannie Mae Pool 555284
7.50%		10/01/17			1,629		1,808
Fannie Mae Pool 567002
8.00%		05/01/23			81,839		97,982
Fannie Mae Pool 735861
6.50%		09/01/33			39,734		46,440
Fannie Mae Pool 745383
2.58%		12/01/35	²		2,024,410		2,164,192
Fannie Mae Pool 770900
2.69%		04/01/34	²		610,850		657,884
Fannie Mae Pool 805256
2.33%		01/01/35	²		771,663		816,422
Fannie Mae Pool 942553
5.93%		08/01/37	²		6,558,000		7,145,651
Fannie Mae Pool 995182
5.50%		06/01/20			10,338,037		11,304,921
Fannie Mae Pool 995793
5.50%		09/01/36			7,166,969		7,954,615
Fannie Mae Pool AD0538
6.00%		05/01/24			3,573,409		4,001,254
Fannie Mae Pool AE0083
6.00%		01/01/40			9,286,195		10,295,233
Fannie Mae Pool AL0851
6.00%		10/01/40			13,526,645		14,967,232
Fannie Mae REMICS, Series 2009-111, Class DA
5.00%		12/25/39			13,366,995		14,289,410
Fannie Mae, Series 1997-76, Class FS
0.70%		09/17/27	²		45,754		45,689


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae, Series 2001-60, Class OF
1.17%		10/25/31	²	$	3,697,410	$	3,785,700
Fannie Mae, Series 2007-64, Class FA
0.69%		07/25/37	²		4,213,566		4,154,228
Fannie Mae, Series 2009-33, Class FB
1.04%		03/25/37	²		12,809,963		13,042,584
Fannie Mae, Series 2010-109, Class PF
0.62%		10/25/40	²		9,072,875		9,100,808
Fannie Mae, Series 2010-26, Class S (IO)
6.01%		11/25/36	²		48,395,994		7,754,490
Fannie Mae, Series 2010-43, Class DP
5.00%		05/25/40			8,613,644		9,402,464
Fannie Mae, Series 2010-95, Class S (IO)
6.38%		09/25/40	²		25,068,538		4,533,332
Fannie Mae, Series 2010-99, Class NI (IO)
6.00%		09/25/40			20,171,193		2,557,225
Fannie Mae, Series 2011-71, Class FB
0.72%		05/25/37	²		14,189,394		14,289,604
Fannie Mae, Series G92-10, Class Z
7.75%		01/25/22			9,343		10,378
Freddie Mac Gold Pool (TBA)
2.50%		11/15/27			12,680,000		13,290,224
Freddie Mac Gold Pool A45796
7.00%		01/01/33			24,839		29,589
Freddie Mac Gold Pool C46104
6.50%		09/01/29			30,804		35,189
Freddie Mac Gold Pool G13032
6.00%		09/01/22			5,247,016		5,882,520
Freddie Mac Gold Pool G13475
6.00%		01/01/24			682,811		769,904
Freddie Mac Non Gold Pool 1B1928
2.87%		08/01/34	²		1,860,157		1,995,775
Freddie Mac Non Gold Pool 1G2627
2.57%		03/01/37	²		4,173,822		4,465,530
Freddie Mac Non Gold Pool 1J1509
2.34%		11/01/36	²		2,697,514		2,858,892
Freddie Mac Non Gold Pool 1L0113
3.06%		05/01/35	²		1,483,841		1,587,336
Freddie Mac Non Gold Pool 1Q0196
3.09%		02/01/37	²		3,099,709		3,316,216
Freddie Mac Non Gold Pool 786781
2.92%		08/01/29	²		132,923		142,845
Freddie Mac REMICS, Series 2733, Class FB
0.82%		10/15/33	²		5,335,000		5,378,624
Freddie Mac REMICS, Series 3828, Class TF
0.62%		04/15/29	²		4,504,149		4,523,740
Freddie Mac Strips, Series 263, Class F5
0.72%		06/15/42	²		7,714,128		7,773,639


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac, Series 2174, Class PN
6.00%		07/15/29		$	2,033,772	$	2,292,081
Freddie Mac, Series 2454, Class FQ
1.22%		06/15/31	²		32,577		33,402
Freddie Mac, Series 2657, Class LX (IO)
6.00%		05/15/18			11,947		605
Freddie Mac, Series 3294, Class CB
5.50%		03/15/37			3,754,661		3,893,317
Freddie Mac, Series 3345, Class FP
0.42%		11/15/36	²		4,034,309		4,039,669
Freddie Mac, Series 3345, Class PF
0.40%		05/15/36	²		4,413,998		4,410,845
Freddie Mac, Series 3346, Class FA
0.45%		02/15/19	²		7,466,967		7,478,196
Freddie Mac, Series 3626, Class MA
5.00%		02/15/30			5,943,821		6,220,914
Freddie Mac, Series 3672, Class A
6.00%		05/15/40			3,074,083		3,295,680
Ginnie Mae I Pool 422972
6.50%		07/15/29			45,459		53,827
Ginnie Mae II (TBA)
3.00%		10/20/42			15,075,000		16,149,094
Ginnie Mae II Pool 1849
8.50%		08/20/24			1,253		1,504
Ginnie Mae II Pool 2020
8.50%		06/20/25			2,316		2,851
Ginnie Mae II Pool 2286
8.50%		09/20/26			2,751		3,389
Ginnie Mae II Pool 2487
8.50%		09/20/27			17,546		21,802
Ginnie Mae II Pool 80059
1.75%		04/20/27	²		44,672		46,545
Ginnie Mae II Pool 80589
1.62%		03/20/32	²		103,669		108,042
Ginnie Mae II Pool 80610
1.75%		06/20/32	²		32,105		33,451
Ginnie Mae II Pool 80968
1.62%		07/20/34	²		889,803		934,373
Ginnie Mae II Pool 81201
2.12%		01/20/35	²		23,771		24,844
Ginnie Mae II Pool 8599
3.00%		02/20/25	²		38,717		40,502
Ginnie Mae, Series 2003-28, Class LI (IO)
5.50%		02/20/32			109,350		1,578
Ginnie Mae, Series 2009-106, Class XI (IO)
6.58%		05/20/37	²		25,809,320		4,351,090
NCUA Guaranteed Notes, Series 2010-R1, Class 1A
0.68%		10/07/20	²		16,913,327		16,989,437


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
NCUA Guaranteed Notes, Series 2010-R2, Class 1A
0.60%		11/06/17	²	$	21,796,442	$	21,891,801
NCUA Guaranteed Notes, Series 2010-R2, Class 2A
0.70%		11/05/20	²		13,180,256		13,238,949
NCUA Guaranteed Notes, Series 2010-R3, Class 1A
0.79%		12/08/20	²		18,002,356		18,121,712
NCUA Guaranteed Notes, Series 2010-R3, Class 2A
0.79%		12/08/20	²		7,663,781		7,721,260
NCUA Guaranteed Notes, Series 2011-C1, Class 2A
0.76%		03/09/21	²		24,626,571		24,775,193
NCUA Guaranteed Notes, Series 2011-R1, Class 1A
0.68%		01/08/20	²		11,791,586		11,860,861
NCUA Guaranteed Notes, Series 2011-R2, Class 1A
0.63%		02/06/20	²		11,170,407		11,206,376
NCUA Guaranteed Notes, Series 2011-R3, Class 1A
0.63%		03/11/20	²		7,141,782		7,184,883
NCUA Guaranteed Notes, Series 2011-R4, Class 1A
0.61%		03/06/20	²		9,088,598		9,103,412
NCUA Guaranteed Notes, Series 2011-R5, Class 1A
0.61%		04/06/20	²		7,073,832		7,089,583
NCUA Guaranteed Notes, Series 2011-R6, Class 1A
0.61%		05/07/20	²		10,569,117		10,592,237

							417,484,038

Total Mortgage-Backed (Cost $887,286,397)							869,554,480

MUNICIPAL BONDS — 1.33%*
California — 0.55%
State of California, Taxable, Various Purpose
4.85%		10/01/14			4,900,000		5,261,522
5.50%		03/01/16			1,775,000		2,007,046
State of California, Taxable, Various Purpose, Series 3
5.45%		04/01/15			1,715,000		1,897,168

							9,165,736

Illinois — 0.78%
State of Illinois, Build America Bonds
6.20%		07/01/21			6,750,000		7,585,785
State of Illinois, Taxable Bonds


Issues	Maturity Date			Principal Amount/ Shares		Value
MUNICIPAL BONDS — (CONTINUED)
Illinois — (continued)
4.03%		03/01/14		$	525,000	$	544,939
5.37%		03/01/17			2,250,000		2,505,645
State of Illinois, Taxable-Pension
4.35%		06/01/18			2,445,000		2,549,010

							13,185,379

Total Municipal Bonds (Cost $21,200,734)							22,351,115

U.S. TREASURY SECURITIES — 5.30%
U.S. Treasury Notes — 5.30%
U.S. Treasury Notes - Treasury Inflation Indexed Notes
0.63%		04/15/13	⁸		35,050,000		38,379,361
1.25%		04/15/14	⁸		12,835,000		14,455,461
1.63%		01/15/15	⁸		6,210,000		7,991,089
1.88%		07/15/13	⁸		10,000,000		12,849,914
2.00%		01/15/14	⁸		11,630,000		15,065,411

Total U.S. Treasury Securities (Cost $88,727,600)							88,741,236

Total Bonds – 95.12% (Cost $1,587,155,257)							1,593,695,724

SHORT-TERM INVESTMENTS — 5.92%
Foreign Government Obligations — 1.77%
Japan Treasury Discount Bills (Japan)
0.10%⁹		12/10/12	⁴		1,990,000,000		25,496,072
Mexico Cetes Discount Treasury Bills (Mexico)
4.17%⁹		12/13/12	⁴		545,000,000		4,195,802

							29,691,874

Money Market Fund — 2.00%
BlackRock Liquidity Funds TempFund Portfolio
0.14%¹⁰					16,783,000		16,783,000
Dreyfus Cash Advantage Fund
0.12%^10,11					711,000		711,000
DWS Money Market Series Institutional Funds
0.15%¹⁰					15,980,000		15,980,000

							33,474,000


Issues	Maturity Date		Principal Amount/ Shares		Value
SHORT-TERM INVESTMENTS — (CONTINUED)
Repurchase Agreements — 2.15%
Deutsche Bank AG (Dated 09/28/12, total to be received $36,000,600, (collateralized by U.S. government sponsored agency obligations, 0.38% to 1.13%, due from 11/27/13 to 02/27/14, par and fair value of $36,276,000 and $36,720,663, respectively))
0.20%		10/01/12	$	36,000,000	$	36,000,000

Total Short-Term Investments (Cost $98,823,458)						99,165,874

Total Investments – 101.04 (Cost $1,685,978,715)¹						1,692,861,598

Liabilities in Excess of Other
Assets – (1.04)%						(17,435,894	)

Net Assets – 100.00%					$	1,675,425,704


Currency Purchased	Currency Sold		Unrealized (Depreciation)
FOREIGN CURRENCY EXCHANGE CONTRACT
Forward currency contract to sell Japanese Yen on 12/10/12 at 78.85 Counterparty: Barclays, Inc.
USD 16,106,225		JPY 1,270,000,000		$(179,063	)
Forward currency contract to sell Japanese Yen on 12/10/12 at 78.85 Counterparty: JPMorgan Chase & Co.
USD 9,131,088		JPY 720,000,000		(101,516	)
Forward currency contract to sell Mexican Peso on 12/13/12 at 13.12 Counterparty: JPMorgan Chase & Co.
USD 4,154,343		MXP 54,500,000		(47,380	)

Net unrealized (depreciation)				$(327,959	)


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		$93,744		$	(22,176	)

		$	(115,920	)		$	10,080		$93,744		$	(22,176	)

^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 $1,686,168,005 and net unrealized appreciation/(depreciation) consists of:


Gross unrealized appreciation	$	75,855,408
Gross unrealized depreciation		(69,161,815	)

Net unrealized appreciation	$	6,693,593

²	Floating rate security. The rate disclosed was in effect at September 30, 2012.

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 $8,491,151, which is 0.51% of total net assets.

⁶	Non-income producing security.

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


Date of Purchase	Security	Amortized Cost		Value		% of Total Net Assets
06/09/11	Caesars Entertainment Operating Co., Inc., Term Loan B6, 1st Lien, 5.47%, 01/28/18	$	3,335,204	$	3,281,144		0.20%
06/27/07	Cengage Learning Acquisitions, Inc., Term Loan B, 2.47%, 07/03/14		710,705		679,448		0.04%
11/03/11	Chrysler Group LLC, Term Loan, 1st Lien, 6.00%, 05/24/17		4,643,977		5,056,777		0.30%
10/22/07	HCA, Inc., Term Loan EXT B3, 3.47%, 05/01/18		6,073,073		6,100,387		0.36%
05/10/12	Texas Competitive Electric Holdings Co. LLC, Term Loan EXT, 1st Lien, 4.76%, 10/10/17		3,432,588		3,802,733		0.23%
10/31/07	Texas Competitive Electric Holdings Co. LLC, Term Loan NONEXT, 1st Lien, 3.76%, 10/10/14		465,072		347,583		0.02%

		$	18,660,619	$	19,268,072		1.15%

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

⁹	Represents annualized yield at date of purchase.

¹⁰	Represents the current yield as of September 30, 2012.

¹¹	Securities, or a portion thereof, pledged as collateral for swaps. The total market value of collateral pledged is $93,000.

^†

Fair valued security. The aggregate value of fair valued securities is $21,438,538, which is 1.28% 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 – 95.94%
ASSET-BACKED SECURITIES — 7.09%**
Academic Loan Funding Trust, Series 2012-1A, Class A2
1.32%		12/27/44	^2,3	$	950,000	$	881,158
Aircastle Aircraft Lease Backed Trust, Series 2007-1A, Class G1
0.49%		06/14/37	^2,3		942,315		848,084
Avalon IV Capital Ltd., Series 2012-1A, Class C (Cayman Islands)
4.39%		04/17/23	^2,3,4		275,000		274,193
Axis Equipment Finance Receivables LLC, Series 2012-1I, Class D
5.50%		11/20/15	^†		175,000		152,686
Axis Equipment Finance Receivables LLC, Series 2012-1I, Class E1
6.25%		04/20/16	^†		175,000		146,474
Babcock & Brown Air Funding I Ltd., Series 2007-1A, Class G1 (Bermuda)
0.54%		11/14/33	^2,3,4		819,862		676,386
Bayview Commercial Asset Trust, Series 2004-3, Class A1
0.59%		01/25/35	^2,3		1,465,709		1,264,758
Bayview Commercial Asset Trust, Series 2005-2A, Class A1
0.53%		08/25/35	^2,3		582,652		415,071
Brazos Higher Education Authority, Inc., Series 2005-3, Class A16
0.57%		06/25/26	²		350,000		336,139
Brazos Higher Education Authority, Inc., Series 2010-1, Class A2
1.63%		02/25/35	²		650,000		640,793
Brazos Higher Education Authority, Inc., Series 2011-2, Class A3
1.45%		10/27/36	²		930,000		896,028
CIT Education Loan Trust, Series 2007-1, Class A
0.46%		03/25/42	^2,3		594,640		541,223
Cronos Containers Program Ltd., Series 2012-1A, Class A (Bermuda)
4.21%		05/18/27	^3,4		410,833		411,851
Cronos Containers Program Ltd., Series 2012-2A, Class A (Bermuda)
3.81%		09/18/27	^3,4		500,000		506,500
Educational Funding of the South, Inc., Series 2011-1, Class A2
1.10%		04/25/35	²		580,000		571,454
GE Business Loan Trust, Series 2004-1, Class A
0.51%		05/15/32	^2,3		817,670		760,229
GE Business Loan Trust, Series 2004-1, Class B
0.92%		05/15/32	^2,3		444,376		358,312


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
GE Business Loan Trust, Series 2004-2A, Class A
0.44%		12/15/32	^2,3	$	1,011,441	$	942,118
GE Business Loan Trust, Series 2005-1A, Class A3
0.47%		06/15/33	^2,3		633,580		546,270
GE Seaco Finance SRL, Series 2004-1A, Class A (Barbados)
0.52%		04/17/19	^2,3,4		174,166		171,291
GE Seaco Finance SRL, Series 2005-1A, Class A (Barbados)
0.47%		11/17/20	^2,3,4		538,333		522,108
Genesis Funding Ltd., Series 2006-1A, Class G1 (Bermuda)
0.46%		12/19/32	^2,3,4		858,647		749,427
Peach Finance Co., Series 2000, Class A
4.71%		04/15/48	³		550,585		572,608
SLC Student Loan Trust, Series 2008-1, Class A4A
1.99%		12/15/32	²		625,000		645,059
SLM Student Loan Trust, Series 2011-2, Class A2
1.42%		10/25/34	²		500,000		486,813
Sound Point CLO Ltd., Series 2012-1A, Class C
3.71%		10/20/23	³		325,000		310,050
South Carolina Student Loan Corp., Series A2
0.54%		12/01/20	²		725,000		712,662
Student Loan Consolidation Center Student Loan Trust I, Series 2002-2, Class B2
1.74%		07/01/42	^2,3		750,000		577,500
Symphony CLO Ltd., Series 2012-9A, Class C (Cayman Islands)
3.70%		04/16/22	^2,3,4		300,000		292,994
TAL Advantage LLC, Series 2006-1, Class NOTE
0.41%		04/20/21	^2,3		519,583		508,987
TAL Advantage LLC, Series 2010-2A, Class A
4.30%		10/20/25	³		505,208		510,433
TAL Advantage LLC, Series 2012-1A, Class A
3.86%		05/20/27	³		241,667		252,332
Textainer Marine Containers Ltd., Series 2005-1A, Class A (Bermuda)
0.47%		05/15/20	^2,3,4,†		280,000		276,151
Textainer Marine Containers Ltd., Series 2011-1A, Class A (Bermuda)
4.70%		06/15/26	^3,4		809,375		851,950
Trinity Rail Leasing LP, Series 2004-1A, Class A
5.27%		08/14/27	^3,†		257,694		279,093
Trip Rail Master Funding LLC, Series 2011-1A, Class A1A
4.37%		07/15/41	³		622,004		644,939


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Triton Container Finance LLC, Series 2006-1A, Class NOTE
0.39%		11/26/21	^2,3	$	781,250	$	759,917
Triton Container Finance LLC, Series 2007-1A, Class NOTE
0.36%		02/26/19	^2,3		264,323		260,596
Triton Container Finance LLC, Series 2012-1A, Class A
4.21%		05/14/27	³		241,667		255,170
U-Haul S Fleet LLC, Series 2007-BT1, Class BT
5.56%		02/25/20	³		405,915		424,280
US Education Loan Trust IV LLC, Series 2006-1, Class A4
0.31%		03/01/41	^3,5,†		700,000		580,999
Wind River CLO Ltd, Series 2004-1A, Class B1 (Cayman Islands)
1.48%		12/19/16	^2,3,4		325,000		294,486

Total Asset-Backed Securities (Cost $21,699,070)							22,109,572

BANK LOANS — 0.15%*
Health Care — 0.15%
HCA, Inc., Term Loan EXT B3
3.47%		05/01/18	^2,6		455,133		456,555

Total Bank Loans (Cost $454,782)
CORPORATES — 23.40%*
Banking — 5.35%
Abbey National Treasury Services PLC/London (United Kingdom)
2.88%		04/25/14	⁴		1,019,000		1,032,609
ANZ National International Ltd. (New Zealand)
6.20%		07/19/13	^3,4		600,000		624,160
Bank of America Corp.
5.62%		07/01/20			1,150,000		1,313,448
Bank of America N.A. (BKNT)
0.69%		06/15/17	²		1,350,000		1,242,832
6.10%		06/15/17			340,000		386,553
Barclays Bank PLC (United Kingdom)
5.20%		07/10/14	⁴		850,000		907,707
Chase Capital III, Series C
0.97%		03/01/27	²		500,000		385,808
Commonwealth Bank of Australia/New York (Australia)
1.95%		03/16/15	⁴		1,400,000		1,429,965
Credit Suisse/New York (MTN) (Switzerland)
5.00%		05/15/13	⁴		700,000		718,816
Credit Suisse/New York (Switzerland)
5.50%		05/01/14	⁴		500,000		534,191


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Banking (continued)
6.00%		02/15/18	⁴	$	575,000	$	652,362
Deutsche Bank AG/London, Series G (MTN) (Germany)
4.88%		05/20/13	⁴		760,000		780,548
Deutsche Bank Capital Funding Trust VII
5.63%		01/19/49	^2,3		120,000		112,800
HBOS PLC, Series G (MTN) (United Kingdom)
6.75%		05/21/18	^3,4		915,000		934,048
JPMorgan Chase Bank N.A.
0.73%		06/13/16	²		600,000		578,991
JPMorgan Chase Bank N.A. (BKNT)
6.00%		07/05/17			600,000		704,256
6.00%		10/01/17			500,000		592,339
National Australia Bank/New York (MTN) (Australia)
2.00%		03/09/15	⁴		1,200,000		1,224,267
Royal Bank of Scotland PLC (United Kingdom)
2.55%		09/18/15	⁴		1,370,000		1,387,147
Svenska Handelsbanken AB (Sweden)
4.88%		06/10/14	^3,4		825,000		874,361
Wachovia Corp. (MTN)
5.50%		05/01/13			239,000		246,091

							16,663,299

Communications — 0.78%
Cellco Partnership/Verizon Wireless Capital LLC
5.55%		02/01/14			350,000		372,416
Frontier Communications Corp.
6.62%		03/15/15			650,000		708,500
Intelsat Jackson Holdings SA (Luxembourg)
8.50%		11/01/19	⁴		650,000		736,125
Verizon Communications, Inc.
1.95%		03/28/14			600,000		614,215

							2,431,256

Electric — 1.41%
Calpine Construction Finance Co. LP and CCFC Finance Corp.
8.00%		06/01/16	³		475,000		513,000
Cedar Brakes II LLC
9.88%		09/01/13	³		264,090		271,215
PG&E Corp.
5.75%		04/01/14			910,000		975,157
Public Service Co. of New Mexico
7.95%		05/15/18			475,000		582,959
Southwestern Electric Power Co.
6.45%		01/15/19			534,000		657,438


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Electric (continued)
Texas-New Mexico Power Co.
9.50%		04/01/19	³	$	500,000	$	681,219
Tucson Electric Power
3.85%		03/15/23			700,000		721,890

							4,402,878

Energy — 1.61%
Florida Gas Transmission Co. LLC
3.88%		07/15/22	³		1,000,000		1,053,148
Sabine Pass LNG LP
7.25%		11/30/13			935,000		1,000,450
Southern Union Co.
3.46%		11/01/66	²		910,000		730,275
Tennessee Gas Pipeline Co.
8.00%		02/01/16			1,250,000		1,493,731
Valero Energy Corp.
9.38%		03/15/19			471,000		640,524
Williams Cos., Inc.
7.88%		09/01/21			70,000		91,935

							5,010,063

Finance — 7.28%
Bear Stearns Cos. LLC
7.25%		02/01/18			1,140,000		1,424,176
CIT Group, Inc.
4.25%		08/15/17			1,049,000		1,096,205
Citigroup, Inc.
0.98%		08/25/36	²		205,000		138,146
2.14%		05/15/18	²		583,000		576,156
5.50%		04/11/13			451,000		462,095
5.50%		10/15/14			371,000		400,258
6.00%		08/15/17			250,000		291,511
6.12%		05/15/18			345,000		408,913
6.38%		08/12/14			535,000		582,701
6.50%		08/19/13			408,000		428,369
General Electric Capital Corp.
4.62%		01/07/21			700,000		783,091
5.62%		05/01/18			730,000		857,976
General Electric Capital Corp. (MTN)
0.82%		05/05/26	²		500,000		424,433
1.33%		05/22/13	²		340,000		341,937
3.35%		10/17/16			750,000		809,287
General Electric Capital Corp., Series A (MTN)
0.65%		09/15/14	²		694,000		690,143
General Electric Capital Corp., Series E (MTN)
0.56%		03/20/14	²		300,000		295,402
Goldman Sachs Group, Inc.
5.75%		01/24/22			500,000		574,017


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Finance (continued)
6.15%		04/01/18		$	1,100,000	$	1,285,420
7.50%		02/15/19			550,000		680,248
Goldman Sachs Group, Inc. (MTN)
6.00%		05/01/14			250,000		268,472
Goldman Sachs Group, Inc., Series B (MTN)
0.85%		07/22/15	²		100,000		96,851
International Lease Finance Corp.
6.50%		09/01/14	³		1,000,000		1,075,000
JPMorgan Chase Capital XIII, Series M
1.41%		09/30/34	²		1,070,000		819,687
Merrill Lynch & Co., Inc. (MTN)
8.68%		05/02/17	²		510,000		582,063
8.95%		05/18/17	²		410,000		472,033
9.57%		06/06/17	²		319,000		376,835
Morgan Stanley
0.94%		10/15/15	²		187,000		178,311
Morgan Stanley (MTN)
0.90%		10/18/16	²		1,185,000		1,111,597
6.25%		08/28/17			800,000		907,153
NCUA Guaranteed Notes, Series A1
0.25%		06/12/13	²		2,225,000		2,225,000
Prudential Holdings LLC (AGM)
1.26%		12/18/17	^2,3		500,000		480,706
Reckson Operating Partnership LP
5.00%		08/15/18			700,000		751,975
ZFS Finance USA Trust II
6.45%		12/15/65	^2,3		750,000		798,750

							22,694,917

Health Care — 0.97%
HCA, Inc. (WI)
8.50%		04/15/19			1,240,000		1,398,100
UnitedHealth Group, Inc.
4.88%		02/15/13			760,000		772,032
WellPoint, Inc.
6.00%		02/15/14			800,000		856,251

							3,026,383

Industrials — 0.33%
BAA Funding Ltd. (United Kingdom)
2.50%		06/25/15	^3,4		1,000,000		1,019,561

Insurance — 1.85%
Berkshire Hathaway, Inc.
3.00%		05/15/22			475,000		493,449
Farmers Insurance Exchange
6.00%		08/01/14	³		1,000,000		1,065,325
Metropolitan Life Global Funding I
3.88%		04/11/22	³		1,400,000		1,529,678
5.12%		06/10/14	³		800,000		858,314


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Insurance (continued)
Nationwide Mutual Insurance Co.
5.81%		12/15/24	^2,3	$	502,000	$	471,569
6.60%		04/15/34	³		440,000		451,707
Pricoa Global Funding I
5.45%		06/11/14	³		850,000		912,952

							5,782,994

Real Estate Investment Trust (REIT) — 2.75%
Duke Realty LP
6.25%		05/15/13			790,000		816,437
HCP, Inc.
3.75%		02/01/19			525,000		551,546
7.07%		06/08/15			200,000		225,595
HCP, Inc. (MTN)
6.30%		09/15/16			500,000		573,326
6.70%		01/30/18			275,000		330,265
Health Care REIT, Inc.
4.12%		04/01/19			500,000		534,154
4.70%		09/15/17			1,000,000		1,104,913
Shurgard Storage Centers LLC
5.88%		03/15/13			68,000		69,500
Simon Property Group LP
4.20%		02/01/15			400,000		425,613
UDR, Inc. (MTN)
5.25%		01/15/15			1,000,000		1,080,718
Ventas Realty LP/Ventas Capital Corp.
4.00%		04/30/19			1,200,000		1,288,010
WEA Finance LLC
7.12%		04/15/18	³		775,000		948,507
WEA Finance LLC/WT Finance Aust Pty Ltd.
7.50%		06/02/14	³		570,000		617,967

							8,566,551

Transportation — 1.07%
Continental Airlines Pass-Through Trust, Series 1997, Class 4A
6.90%		01/02/18			65,988		71,577
Continental Airlines Pass-Through Trust, Series 1999, Class C2
7.26%		03/15/20			368,786		405,664
Continental Airlines Pass-Through Trust, Series 2007, Class 1A
5.98%		04/19/22			340,177		379,297
JetBlue Airways Pass-Through Trust, Series 2004, Class G1
0.81%		08/15/16	²		14,138		13,183
JetBlue Airways Pass-Through Trust, Series 2004, Class G2
0.88%		11/15/16	²		1,161,000		1,021,680


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Transportation (continued)
Northwest Airlines Pass-Through Trust, Series 2001-1, Class A-1
7.04%		04/01/22		$	189,335	$	211,463
UAL Pass-Through Trust, Series 2009-2A
9.75%		01/15/17			318,933		367,570
US Airways Pass-Through Trust, Series 2012-1, Class A
5.90%		10/01/24			800,000		861,500

							3,331,934

Total Corporates (Cost $67,131,608)							72,929,836

MORTGAGE-BACKED — 40.74%**
Commercial Mortgage-Backed — 5.29%
Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2005-2, Class A5
4.86%		07/10/43	²		950,000		1,042,999
Bear Stearns Commercial Mortgage Securities, Series 2003-PWR2, Class A4
5.19%		05/11/39	²		38,966		40,191
Bear Stearns Commercial Mortgage Securities, Series 2005-T20, Class A4A
5.30%		10/12/42	²		1,140,000		1,274,944
Bear Stearns Commercial Mortgage Securities, Series 2006-T22, Class A4
5.71%		04/12/38	²		1,100,000		1,263,418
DBRR Trust, Series 2011-LC2, Class A4A
4.54%		04/12/21	³		516,997		606,128
GE Business Loan Trust, Series 2003-2A, Class A
0.59%		11/15/31	^2,3		666,612		620,582
GE Business Loan Trust, Series 2005-2A, Class B
0.72%		11/15/33	^2,3		505,937		407,978
Greenwich Capital Commercial Funding Corp., Series 2003-C1, Class A4
4.11%		07/05/35			901,585		912,000
Greenwich Capital Commercial Funding Corp., Series 2004-GG1, Class A7
5.32%		06/10/36	²		1,110,000		1,173,045
GS Mortgage Securities Corp. II, Series 2011-GC5, Class A4
3.71%		08/10/44	²		1,715,000		1,909,917
Merrill Lynch Mortgage Trust, Series 2005-LC1, Class A4
5.29%		01/12/44	²		1,190,000		1,330,562
Merrill Lynch Mortgage Trust, Series 2005-MCP1, Class A4
4.75%		06/12/43	²		935,000		1,016,029
Morgan Stanley Capital I, Series 2001-C3, Class A2
3.22%		08/15/49			285,000		309,425


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed (continued)
Morgan Stanley Capital I, Series 2005-T19, Class A4A
4.89%		06/12/47		$	1,040,000	$	1,149,303
Morgan Stanley Capital I, Series 2011-C3, Class A4
4.12%		08/15/49			165,000		187,544
Spirit Master Funding LLC, Series 2005-1, Class A1
5.05%		07/20/23	³		689,928		624,385
Wachovia Bank Commercial Mortgage Trust, Series 2005-C20, Class A7
5.12%		07/15/42	²		940,000		1,046,201
WF-RBS Commercial Mortgage Trust, Series 2011-C5, Class A4
3.67%		11/15/44			1,405,000		1,566,309

							16,480,960

Non-Agency Mortgage-Backed — 15.12%
Ameriquest Mortgage Securities, Inc., Series 2005-R6, Class A2
0.42%		08/25/35	²		621,453		602,303
Banc of America Funding Corp., Series 2003-2, Class 1A1
6.50%		06/25/32			7,576		7,973
Banc of America Funding Corp., Series 2006-G, Class 2A3
0.39%		07/20/36	²		862,812		852,965
Bear Stearns Asset Backed Securities Trust, Series 2002-1, Class 1A5 (STEP)
6.89%		12/25/34			8,196		7,942
Bear Stearns Asset Backed Securities Trust, Series 2005-HE12, Class 1A3
0.61%		12/25/35	²		800,000		744,975
CC Mortgage Funding Corp., Series 2004-1A, Class A1
0.50%		01/25/35	^2,3		298,175		242,292
CC Mortgage Funding Corp., Series 2005-2A, Class A1
0.40%		05/25/36	^2,3		269,073		205,360
Centex Home Equity, Series 2005-D, Class M1
0.65%		10/25/35	²		1,710,000		1,610,503
Chase Funding Mortgage Loan Asset-Backed Certificates, Series 2004-2, Class 1A4
5.32%		02/25/35			8,824		8,778
Citigroup Mortgage Loan Trust, Inc., Series 2004-HYB1, Class A41
3.17%		02/25/34	²		29,207		28,559
Citigroup Mortgage Loan Trust, Inc., Series 2007-WFH2, Class A3
0.40%		03/25/37	²		1,526,500		1,325,661


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Conseco Finance Home Loan Trust, Series 2000-E, Class M1
8.13%		08/15/31	²	$	51,879	$	50,692
Conseco Finance Securitizations Corp., Series 2001-4, Class A4
7.36%		09/01/33			647,240		686,752
Conseco Finance, Series 2001-D, Class A5
6.69%		11/15/32	²		69,914		70,418
Conseco Finance, Series 2002-A, Class A5 (STEP)
7.55%		04/15/32			155,709		162,044
Conseco Finance, Series 2002-C, Class BF2
8.00%		06/15/32	^2,3		267,279		206,848
Conseco Financial Corp., Series 1996-7, Class M1
7.70%		10/15/27	²		1,060,000		1,155,926
Conseco Financial Corp., Series 1997-3, Class A7
7.64%		03/15/28	²		388,268		430,393
Conseco Financial Corp., Series 1998-6, Class A8
6.66%		06/01/30			1,116,948		1,214,217
Countryplace Manufactured Housing Contract Trust, Series 2007-1, Class A4
5.85%		07/15/37	^2,3		700,000		642,764
Countrywide Alternative Loan Trust, Series 2005-27, Class 3A2
1.25%		08/25/35	²		29,578		15,466
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2004-14, Class 4A1
4.94%		08/25/34	²		318,673		324,793
Credit-Based Asset Servicing and Securitization LLC, Series 2003-CB3, Class AF1 (STEP)
3.38%		12/25/32			1,604,917		1,466,383
Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB2, Class AF4 (STEP)
4.41%		12/25/36			1,277,081		866,473
Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB6, Class A23
0.37%		07/25/36	²		1,454,332		865,299
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB5, Class A1
0.28%		04/25/37	²		241,409		117,173
DBRR Trust, Series 2012-EZ1, Class A
0.95%		09/25/45	³		1,185,000		1,187,129
First Franklin Mortgage Loan Asset Backed Certificates, Series 2006-FF18, Class M1
0.45%		12/25/37	²		222,144		188


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
First Horizon Alternative Mortgage Securities, Series 2004-AA3, Class A1
2.56%		09/25/34	²	$	832,772	$	822,163
Green Tree Financial Corp., Series 1998-4, Class A5
6.18%		04/01/30			564,186		569,659
Green Tree Home Improvement Loan Trust, Series 1995-C, Class B2
7.60%		07/15/20			–		–
Green Tree Home Improvement Loan Trust, Series 1997-E, Class HEB1
7.53%		01/15/29			166,288		164,265
Green Tree, Series 2008-MH1, Class A2
8.97%		04/25/38	^2,3		876,077		954,027
Green Tree, Series 2008-MH1, Class A3
8.97%		04/25/38	^2,3		1,271,111		1,403,578
Greenpoint Manufactured Housing, Series 1999-5, Class A5
7.82%		12/15/29	²		875,000		930,859
GSAMP Trust, Series 2006-HE6, Class A4
0.46%		08/25/36	²		2,200,000		1,059,249
Home Equity Loan Trust, Series 2006-4, Class A3V
0.37%		03/20/36	²		977,821		951,729
Home Equity Loan Trust, Series 2007-2, Class A2F (STEP)
5.69%		07/20/36			627,076		628,641
Indymac Index Mortgage Loan Trust, Series 2004-AR6, Class 6A1
3.06%		10/25/34	²		134,339		132,833
Indymac Index Mortgage Loan Trust, Series 2004-AR8, Class 2A2A
1.02%		11/25/34	²		46,179		34,771
Indymac Index Mortgage Loan Trust, Series 2007-AR11, Class 1A1
2.73%		06/25/37	²		1,888,484		963,185
Indymac Manufactured Housing Contract, Series 1997-1, Class A3
6.61%		02/25/28			478,743		477,923
Indymac Manufactured Housing Contract, Series 1997-1, Class A4
6.75%		02/25/28			127,445		127,236
Indymac Manufactured Housing Contract, Series 1998-1, Class A4
6.49%		09/25/28			272,309		264,895
JPMorgan Mortgage Trust, Series 2007-A3, Class 3A2
5.30%		05/25/37	²		835,402		703,189
Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class A4
5.27%		04/15/40			417,777		451,427


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class A5
5.87%		04/15/40		$	240,052	$	259,197
Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class A6
6.47%		04/15/40	²		756,515		841,762
MASTR Adjustable Rate Mortgages Trust, Series 2003-6, Class 4A2
5.03%		01/25/34	²		568,054		571,971
MASTR Adjustable Rate Mortgages Trust, Series 2004-1, Class 2A1
3.12%		01/25/34	²		1,793		1,602
MASTR Asset Securitization Trust, Series 2002-8, Class 1A1
5.50%		12/25/17			3,012		3,112
MASTR Seasoned Securities Trust, Series 2004-1, Class 4A1
2.78%		10/25/32	²		2,850		2,728
MASTR Seasoned Securities Trust, Series 2004-2, Class A2
6.50%		08/25/32			75,401		80,260
MASTR Seasoned Securities Trust, Series 2005-1, Class 4A1
2.51%		10/25/32	²		6,746		6,862
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-3, Class A2C
0.40%		06/25/37	²		811,700		381,193
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-3, Class A2D
0.47%		06/25/37	²		1,500,000		684,936
Mid-State Trust, Series 11, Class A1
4.86%		07/15/38			1,206,017		1,246,838
Mid-State Trust, Series 2004-1, Class A
6.00%		08/15/37			599,752		638,670
Mid-State Trust, Series 2004-1, Class B
8.90%		08/15/37			899,628		927,899
Mid-State Trust, Series 2004-1, Class M1
6.50%		08/15/37			642,592		644,339
Mid-State Trust, Series 2005-1, Class M2
7.08%		01/15/40			955,513		973,078
Morgan Stanley ABS Capital I, Series 2004-NC7, Class M2
1.15%		07/25/34	²		2,000,000		1,821,880
Morgan Stanley ABS Capital I, Series 2005-HE3, Class M3
0.75%		07/25/35	²		1,903,000		1,650,418
Nationstar Home Equity Loan Trust, Series 2006-B, Class AV4
0.50%		09/25/36	²		2,450,000		1,684,079
Oakwood Mortgage Investors, Inc., Series 1998-B, Class A4
6.35%		03/15/17			12,887		13,132


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Origen Manufactured Housing, Series 2004-A, Class M2
6.64%		01/15/35	²	$	564,580	$	628,398
Residential Accredit Loans, Inc., Series 2003-QS17, Class NB1
5.25%		09/25/33			2,202		2,200
Residential Asset Mortgage Products, Inc., Series 2002-RS4, Class AI5 (STEP)
6.16%		08/25/32			2,220		1,358
Residential Asset Mortgage Products, Inc., Series 2003-RS1, Class AI5 (STEP)
5.69%		03/25/33			15,836		11,675
Residential Asset Mortgage Products, Inc., Series 2003-SL1, Class A41
8.00%		04/25/31			49,786		53,437
Residential Asset Securitization Trust, Series 2004-IP2, Class 2A1
2.73%		12/25/34	²		93,852		95,108
Residential Funding Mortgage Securities II, Inc., Series 2001-HI3, Class AI7 (STEP)
7.56%		07/25/26			403,750		408,982
Residential Funding Mortgage Securities II, Inc., Series 2003-HS2, Class AI4 (STEP)
3.87%		07/25/33			12,302		11,694
SG Mortgage Securities Trust, Series 2006-FRE1, Class A1B
0.49%		02/25/36	²		70,709		39,985
Soundview Home Equity Loan Trust, Series 2006-WF2, Class A2C
0.36%		12/25/36	²		1,489,691		1,433,099
Structured Asset Mortgage Investments, Inc., Series 2005-AR3, Class 1A1
0.49%		08/25/35	²		1,044,335		767,788
Structured Asset Mortgage Investments, Inc., Series 2005-AR8, Class A2
1.63%		02/25/36	²		1,254,494		868,634
Structured Asset Mortgage Investments, Inc., Series 2006-AR3, Class 22A1
6.12%		05/25/36	²		3,801,231		1,860,418
UCFC Home Equity Loan, Series 1998-D, Class BF1
8.74%		04/15/30	²		3,657		1,708
UCFC Home Equity Loan, Series 1998-D, Class MF1
6.90%		04/15/30			118,429		119,678
Vanderbilt Mortgage Finance, Series 2000-C, Class ARM
0.58%		10/07/30	²		703,496		547,644
Vanderbilt Mortgage Finance, Series 2001-A, Class M1
7.74%		04/07/31	²		610,556		630,748


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
WaMu Mortgage Pass-Through Certificates, Series 2002-AR18, Class A
2.40%		01/25/33	²	$	19,339	$	19,544
Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2007-OA2, Class 2A
0.85%		01/25/47	²		1,883,506		871,104
Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2007-OA3, Class 4A1
0.92%		04/25/47	²		698,185		476,596
Wells Fargo Home Equity Trust, Series 2006-1, Class A3
0.37%		05/25/36	²		94,889		93,842

							47,117,494

U.S. Agency Mortgage-Backed — 20.33%
Fannie Mae Pool (TBA)
3.00%		11/25/42			1,760,000		1,853,775
Fannie Mae Pool 253974
7.00%		08/01/31			15,802		17,572
Fannie Mae Pool 254232
6.50%		03/01/22			23,078		25,954
Fannie Mae Pool 527247
7.00%		09/01/26			90		103
Fannie Mae Pool 545191
7.00%		09/01/31			7,650		8,519
Fannie Mae Pool 545646
7.00%		09/01/26			73		86
Fannie Mae Pool 549740
6.50%		10/01/27			22,920		26,009
Fannie Mae Pool 555177
2.26%		01/01/33	²		29,102		30,859
Fannie Mae Pool 555284
7.50%		10/01/17			774		859
Fannie Mae Pool 606108
7.00%		03/01/31			1,042		1,198
Fannie Mae Pool 630599
7.00%		05/01/32			15,396		18,447
Fannie Mae Pool 655928
7.00%		08/01/32			8,749		10,236
Fannie Mae Pool 735207
7.00%		04/01/34			6,939		7,738
Fannie Mae Pool 735646
4.50%		07/01/20			12,771		13,825
Fannie Mae Pool 735686
6.50%		12/01/22			119,341		134,214
Fannie Mae Pool 735861
6.50%		09/01/33			230,343		269,219


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool 764388
4.99%		03/01/34	²	$	137,667	$	149,192
Fannie Mae Pool 770869
2.70%		04/01/34	²		324,479		347,208
Fannie Mae Pool 776708
5.00%		05/01/34			505,063		572,424
Fannie Mae Pool 817611
5.28%		11/01/35	²		77,918		84,204
Fannie Mae Pool 844773
5.22%		12/01/35	²		6,643		7,189
Fannie Mae Pool 889125
5.00%		12/01/21			606,479		657,888
Fannie Mae Pool 889184
5.50%		09/01/36			636,125		706,034
Fannie Mae Pool 890221
5.50%		12/01/33			991,888		1,099,663
Fannie Mae Pool 895606
5.72%		06/01/36	²		264,875		288,884
Fannie Mae Pool 918445
5.80%		05/01/37	²		24,384		26,595
Fannie Mae Pool 939419
5.65%		05/01/37	²		436,521		472,984
Fannie Mae Pool AB3685
4.00%		10/01/41			2,901,594		3,199,073
Fannie Mae Pool AD0791
4.76%		02/01/20			980,805		1,155,841
Fannie Mae Pool AE0600
3.98%		11/01/20			1,032,709		1,182,358
Fannie Mae Pool AE0605
4.67%		07/01/20			987,155		1,162,835
Fannie Mae Pool AH3428
3.50%		01/01/26			2,786,939		3,026,971
Fannie Mae Pool AJ0764
4.50%		09/01/41			1,221,405		1,324,986
Fannie Mae Pool AL0209
4.50%		05/01/41			1,093,914		1,237,722
Fannie Mae Pool AL0602
4.32%		07/01/21			1,291,373		1,512,627
Fannie Mae Pool FN0007
3.46%		11/01/20			1,390,000		1,550,278
Fannie Mae Whole Loan, Series 2003-W6, Class 5T (IO)
0.55%		09/25/42	²		29,452,804		425,678
Fannie Mae, Series 1989-25, Class G
6.00%		06/25/19			2,758		3,031
Fannie Mae, Series 1992-116, Class B
6.50%		06/25/22			334		362
Fannie Mae, Series 1993-225, Class SG
26.60%		12/25/13	²		25,608		28,676


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae, Series 1993-80, Class S
10.61%		05/25/23	²	$	16,534	$	19,029
Fannie Mae, Series 2001-52, Class YZ
6.50%		10/25/31			369,463		426,614
Fannie Mae, Series 2003-27, Class SG (IO)
7.43%		04/25/17	²		519,010		11,031
Fannie Mae, Series 2007-64, Class FA
0.69%		07/25/37	²		679,851		670,277
Fannie Mae, Series 2008-50, Class SA (IO)
5.83%		11/25/36	²		6,111,502		1,047,174
Fannie Mae, Series 2012-M12, Class 1A
2.84%		08/25/22	²		2,105,000		2,212,881
Freddie Mac Gold Pool A25162
5.50%		05/01/34			690,088		760,229
Freddie Mac Gold Pool A33262
5.50%		02/01/35			118,188		132,547
Freddie Mac Gold Pool A68781
5.50%		10/01/37			28,187		31,013
Freddie Mac Gold Pool A94843
4.00%		11/01/40			2,245,183		2,496,688
Freddie Mac Gold Pool C90504
6.50%		12/01/21			3,065		3,427
Freddie Mac Gold Pool E01279
5.50%		01/01/18			3,694		3,993
Freddie Mac Gold Pool E90474
6.00%		07/01/17			7,675		8,285
Freddie Mac Gold Pool G01548
7.50%		07/01/32			715,171		880,453
Freddie Mac Gold Pool G01601
4.00%		09/01/33			16,701		18,050
Freddie Mac Gold Pool G01611
4.00%		09/01/33			6,397		6,914
Freddie Mac Gold Pool G01644
5.50%		02/01/34			513,183		563,825
Freddie Mac Gold Pool G02366
6.50%		10/01/36			429,244		482,027
Freddie Mac Gold Pool G06354
4.00%		04/01/41			1,168,284		1,299,155
Freddie Mac Gold Pool G06499
4.00%		03/01/41			1,615,933		1,784,830
Freddie Mac Gold Pool G06737
4.00%		10/01/41			3,029,762		3,321,258
Freddie Mac Gold Pool G11707
6.00%		03/01/20			6,786		7,326
Freddie Mac Gold Pool G12393
5.50%		10/01/21			516,215		558,480
Freddie Mac Gold Pool G12909
6.00%		11/01/22			578,365		649,051


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Gold Pool G13032
6.00%		09/01/22		$	420,038	$	470,912
Freddie Mac Gold Pool J06246
5.50%		10/01/21			274,288		299,955
Freddie Mac Gold Pool J13884
3.50%		12/01/25			2,230,856		2,398,718
Freddie Mac Gold Pool Q04090
4.00%		10/01/41			1,044,942		1,161,997
Freddie Mac Gold Pool Q04091
4.00%		10/01/41			2,396,127		2,626,660
Freddie Mac Gold Pool Q05261
3.50%		12/01/41			1,405,684		1,527,693
Freddie Mac Non Gold Pool 1B3413
5.92%		05/01/37	²		472,282		512,610
Freddie Mac Non Gold Pool 1J0045
5.06%		01/01/36	²		10,003		10,762
Freddie Mac REMICS, Series 3460, Class SA (IO)
5.98%		06/15/38	²		6,260,711		1,067,654
Freddie Mac REMICS, Series 4030, Class HS (IO)
6.39%		04/15/42	²		6,013,082		1,023,633
Freddie Mac, Series 1602, Class SN
10.09%		10/15/23	²		14,590		21,127
Freddie Mac, Series 1688, Class W
7.25%		03/15/14			1,308		1,350
Freddie Mac, Series 2174, Class PN
6.00%		07/15/29			146,554		165,168
Freddie Mac, Series 2929, Class PE
5.00%		05/15/33			47,018		48,259
Freddie Mac, Series K020, Class A2
2.37%		05/25/40			1,555,000		1,593,875
Ginnie Mae I Pool 782810
4.50%		11/15/39			2,456,338		2,778,253
Ginnie Mae II (TBA)
3.00%		10/20/42			2,430,000		2,603,138
Ginnie Mae II Pool 80968
1.62%		07/20/34	²		63,485		66,665
Ginnie Mae, Series 2003-28, Class LI (IO)
5.50%		02/20/32			12,350		178
Ginnie Mae, Series 2004-8, Class SE
13.87%		11/26/23	²		111,306		140,058
NCUA Guaranteed Notes, Series 2010-R2, Class 1A
0.60%		11/06/17	²		1,493,935		1,500,470
NCUA Guaranteed Notes, Series 2010-R2, Class 2A
0.70%		11/05/20	²		1,029,843		1,034,429


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
NCUA Guaranteed Notes, Series 2011-C1, Class 2A
0.76%		03/09/21	²	$	1,150,561	$	1,157,504
NCUA Guaranteed Notes, Series 2011-R2, Class 1A
0.63%		02/06/20	²		1,133,230		1,136,879

							63,383,820

Total Mortgage-Backed
(Cost $117,827,959)							126,982,274

MUNICIPAL BONDS — 1.48%*
California — 0.41%
State of California, Taxable, Various Purpose
6.20%		10/01/19			866,000		1,022,901
State of California, Taxable, Various Purpose, Series 3
5.95%		04/01/16			225,000		258,134

							1,281,035

Illinois — 0.75%
State of Illinois, Build America Bonds
6.20%		07/01/21			600,000		674,292
State of Illinois, Taxable Bonds
5.67%		03/01/18			525,000		592,153
5.88%		03/01/19			210,000		236,382
State of Illinois, Taxable-Pension
4.35%		06/01/18			800,000		834,032

							2,336,859

Texas — 0.32%
City of Houston Texas, Taxable Pension Obligation, Series A
6.29%		03/01/32			800,000		984,504

Total Municipal Bonds
(Cost $4,327,527)							4,602,398

U.S. AGENCY SECURITIES — 1.56%
U.S. Agency Securities — 1.56%
Fannie Mae
0.63%		02/22/16			1,525,000		1,526,186
Federal Home Loan Bank
0.45%		09/04/14			2,965,000		2,965,051
0.60%		08/06/15			386,296		386,311

Total U.S. Agency Securities
(Cost $4,876,296)							4,877,548


Issues	Maturity Date			Principal Amount/ Shares		Value
U.S. TREASURY SECURITIES — 21.52%
U.S. Treasury Bonds — 0.50%
U.S. Treasury Notes (Strip Principal)
0.00%		11/15/27		$	2,285,000	$	1,578,508


U.S. Treasury Notes — 21.02%
U.S. Treasury Notes
0.25%		05/15/15			8,340,000		8,332,836
0.25%		08/15/15			3,095,000		3,090,649
0.63%		08/31/17			9,450,000		9,457,380
0.75%		06/30/17			12,580,000		12,677,306
0.88%		01/31/17			8,790,000		8,924,871
1.75%		05/15/22			13,750,000		13,945,508
U.S. Treasury Notes - Treasury Inflation Indexed Notes
0.63%		04/15/13	⁷		6,975,000		7,637,548
1.63%		01/15/15	⁷		1,130,000		1,454,095


Total U.S. Treasury Securities
(Cost $66,652,214)							67,098,701


Total Bonds – 95.94%
(Cost $282,969,456)							299,056,884


SHORT-TERM INVESTMENTS — 5.03%

Foreign Government Obligations — 1.97%
Japan Treasury Discount Bills (Japan)
0.10%⁸		12/10/12	⁴		360,000,000		4,612,354
Mexico Cetes Discount Treasury Bills (Mexico)
4.17%⁸		12/13/12	⁴		198,000,000		1,524,347

							6,136,701


Money Market Fund — 2.01%
BlackRock Liquidity Funds TempFund Portfolio
0.14%⁹					3,114,000		3,114,000
Dreyfus Cash Advantage Fund
0.12%⁹					19,000		19,000
DWS Money Market Series Institutional Funds
0.15%⁹					3,124,000		3,124,000

							6,257,000


U.S. Agency Discount Notes — 1.05%
Federal Home Loan Bank
0.11%⁸		10/05/12			3,275,000		3,274,962


Total Short-Term Investments
(Cost $15,599,227)							15,668,663

Value

Total Investments – 100.97%

(Cost $298,568,683)¹

$314,725,547

Liabilities in Excess of Other

Assets – (0.97)%

(3,016,802

)

Net Assets – 100.00%

$311,708,745

Currency

Purchased

Currency

Sold

Unrealized

(Depreciation)

FOREIGN CURRENCY EXCHANGE CONTRACT

Forward currency contract to sell Japanese Yen on 12/10/12 at 78.85 Counterparty: Barclays, Inc.

USD 3,043,696

JPY 240,000,000

$(33,839)

Forward currency contract to sell Japanese Yen on 12/10/12 at 78.85 Counterparty: JPMorgan Chase & Co.

USD 1,521,848

JPY 120,000,000

(16,919)

Forward currency contract to sell Mexican Peso on 12/13/12 at 13.12 Counterparty: JPMorgan Chase & Co.

USD 1,509,284

MXP 19,800,000

(17,213

)

Net unrealized (depreciation)

$(67,971

)


Expiration Date	Notional Amount (000’s)		(Depreciation)			Value
SWAPS: INTEREST RATE

The Fund pays a fixed rate equal to 2.48% semi-annually and the Fund receives from the counterparty a floating rate based on 3-month USD LIBOR quarterly. Counterparty: Barclays, Inc.

11/15/27		$720		$(15,775)			$(15,775)

The Fund pays a fixed rate equal to 2.42% semi-annually and the Fund receives from the counterparty a floating rate based on 3-month USD LIBOR quarterly. Counterparty: Barclays, Inc.

11/15/27		725		(8,754	)		(8,754	)

		$1,445		$(24,529	)		$(24,529	)


Expiration Date	Premiums Paid		Notional Amount (000’s)^b		(Depreciation)			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 Toll Brothers, Inc., 5.15%, due 05/15/15. Counterparty: Citigroup, Inc.

09/20/16		$215		$125		$(588	)		$(373	)

		$215		$125		$(588	)		$(373	)


	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: Barclays, Inc.
	10/12/52	$22,516	$250	$8,199	$30,715

The Fund pays a fixed rate equal to 0.84% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of any issue in the CMBX-NA-AJ 1, due 10/12/52. Counterparty: Barclays, Inc.
	10/12/52	17,264	215	9,151	26,415

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, Inc.
	10/12/52	904,474	1,605	(707,284)	197,190

		$944,254	$2,070	$(689,934)	$254,320


	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		$11,067		$(2,618	)

				$(13,685	)		$1,190		$11,067		$(2,618	)

^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 $298,592,464 and net unrealized appreciation/(depreciation) consists of:

²	Floating rate security. The rate disclosed was in effect at September 30, 2012.

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

⁵	Non-income producing security.

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

10/22/07

HCA, Inc., Term Loan EXT

B3, 3.47%, 05/01/18

$454,782

$456,555

0.15%

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

⁸	Represents annualized yield at date of purchase.

⁹	Represents the current yield as of September 30, 2012.

^†

Fair valued security. The aggregate value of fair valued securities is $1,435,403, which is 0.46% 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.))

(BKNT): Banker’s Note, Inc.

(IO): Interest only

(JPY): Japanese Yen

(LIBOR): London InterBank Offer Rate

(MTN): Medium-term note

(MXP): Mexican Peso

(STEP): Step coupon bond

(TBA): To be announced

(USD): U.S. dollar

(WI): When issued


Issues	Maturity Date			Principal Amount		Value
BONDS – 98.32%
ASSET-BACKED SECURITIES — 4.60%**
Academic Loan Funding Trust, Series 2012-1A, Class A2
1.32%		12/27/44	^2,3	$	14,950,000	$	13,866,645
Aircastle Aircraft Lease Backed Trust, Series 2007-1A, Class G1
0.49%		06/14/37	^2,3		48,778,095		43,900,286
Avalon IV Capital Ltd., Series 2012-1A, Class C (Cayman Islands)
4.39%		04/17/23	^2,3,4		11,270,000		11,236,945
Axis Equipment Finance Receivables LLC, Series 2012-1I, Class D
5.50%		11/20/15	^†		2,255,000		1,967,478
Axis Equipment Finance Receivables LLC, Series 2012-1I, Class E1
6.25%		04/20/16	^†		2,669,000		2,233,941
Axis Equipment Finance Receivables LLC, Series 2012-1I, Class E2
7.00%		03/20/17	^†		5,240,000		3,992,857
Axis Equipment Funding LLC, Series 2012-MI, Class A
16.00%		06/17/17	^†		11,582,000		11,581,949
Babcock & Brown Air Funding I Ltd., Series 2007-1A, Class G1 (Bermuda)
0.54%		11/14/33	^2,3,4		48,112,631		39,692,920
Bayview Commercial Asset Trust, Series 2004-3, Class A1
0.59%		01/25/35	^2,3		5,486,800		4,734,549
Bayview Commercial Asset Trust, Series 2005-1A, Class A1
0.52%		04/25/35	^2,3		5,429,479		4,543,472
Bayview Commercial Asset Trust, Series 2005-2A, Class A1
0.53%		08/25/35	^2,3		28,438,913		20,259,356
Bayview Commercial Asset Trust, Series 2006-4A, Class A1
0.45%		12/25/36	^2,3		287,631		214,197
Bayview Commercial Asset Trust, Series 2007-1, Class A1
0.44%		03/25/37	^2,3		11,969,956		9,118,955
Bayview Commercial Asset Trust, Series 2007-2A, Class A1
0.49%		07/25/37	^2,3		18,075,299		10,624,883
Bayview Commercial Asset Trust, Series 2007-3, Class A1
0.46%		07/25/37	^2,3		3,023,626		2,153,124
Beacon Container Finance LLC, Series 2012-1A, Class A
3.72%		09/20/27	^3,†		17,225,000		17,241,719
Brazos Higher Education Authority, Inc., Series 2010-1, Class A2
1.63%		02/25/35	²		12,690,000		12,510,255


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Brazos Higher Education Authority, Inc., Series 2011-1, Class A3
1.48%		11/25/33	²	$	13,500,000	$	13,422,771
Brazos Higher Education Authority, Inc., Series 2011-2, Class A2
1.30%		07/25/29	²		700,000		707,089
Brazos Higher Education Authority, Inc., Series 2011-2, Class A3
1.45%		10/27/36	²		24,400,000		23,508,702
Brazos Higher Education Authority, Series 2005-1, Class 1A4
0.51%		03/26/29	²		10,000,000		9,467,100
CIT Education Loan Trust, Series 2007-1, Class A
0.46%		03/25/42	^2,3		22,249,165		20,250,525
CIT Education Loan Trust, Series 2007-1, Class B
0.67%		06/25/42	^2,3		28,650,000		21,787,534
College Loan Corp. Trust, Series 2005-2, Class B
0.94%		01/15/37	²		6,928,071		5,391,483
Cronos Containers Program Ltd., Series 2012-1A, Class A (Bermuda)
4.21%		05/18/27	^3,4		22,668,333		22,724,499
Cronos Containers Program Ltd., Series 2012-2A, Class A (Bermuda)
3.81%		09/18/27	^3,4		4,275,000		4,330,575
Doral CLO 1 Ltd., Series 2012-2A, Class B (Cayman Islands)
3.23%		05/26/23	^2,3,4		11,500,000		10,417,505
GE Business Loan Trust, Series 2004-1, Class A
0.51%		05/15/32	^2,3		24,265,307		22,560,693
GE Business Loan Trust, Series 2004-2A, Class A
0.44%		12/15/32	^2,3		15,007,931		13,979,302
GE Business Loan Trust, Series 2005-1A, Class A3
0.47%		06/15/33	^2,3		15,142,568		13,055,846
GE Business Loan Trust, Series 2005-2A, Class A
0.46%		11/15/33	^2,3		35,259,890		31,032,406
GE Seaco Finance SRL, Series 2004-1A, Class A (Barbados)
0.52%		04/17/19	^2,3,4		7,109,167		6,991,802
GE Seaco Finance SRL, Series 2005-1A, Class A (Barbados)
0.47%		11/17/20	^2,3,4		42,225,917		40,953,198
Genesis Funding Ltd., Series 2006-1A, Class G1 (Bermuda)
0.46%		12/19/32	^2,3,4		64,123,752		55,967,211
Goal Capital Funding Trust, Series 2005-2, Class B
0.96%		11/25/44	²		18,558,353		15,615,166


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Goal Capital Funding Trust, Series 2006-1, Class B
0.88%		08/25/42	²	$	5,385,411	$	4,577,890
GSC Partners Gemini Fund Ltd., Series 1A, Class A (Cayman Islands)
1.11%		10/10/14	^2,3,4		1,231,589		1,227,895
Nelnet Education Loan Funding, Inc., Series 2004-1A, Class B1
1.10%		02/25/36	^2,3		10,125,000		6,967,215
North Carolina State Education Authority, Series 2011-1, Class A3
1.37%		10/25/41	²		24,000,000		23,410,320
Northstar Education Finance, Inc.
1.20%		01/29/46	²		42,775,000		39,552,986
OFSI Fund Ltd., Series 2006-1, Class D (Cayman Islands)
2.13%		09/20/19	^2,3,4		6,100,000		4,560,598
PAMCO CLO, Series 1998-1A, Class B2 (Cayman Islands)
1.80%		05/01/13	^2,3,4,5,†		765,062		153,013
Panhandle-Plains Higher Education Authority, Inc., Series 2011-1, Class A3
1.41%		10/01/37	²		16,950,000		16,161,940
PMC Aviation LLC, Series 2012-1I, Class A
18.00%		04/15/15	^†		7,490,000		7,564,823
Scholar Funding Trust, Series 2012-B, Class A2
1.32%		03/28/46	^2,3		38,800,000		37,487,877
SLC Student Loan Trust, Series 2008-1, Class A4A
1.99%		12/15/32	²		17,375,000		17,932,651
Sound Point CLO Ltd., Series 2012-1A, Class C
3.71%		10/20/23	³		11,500,000		10,971,000
South Carolina Student Loan Corp., Series A2
0.59%		12/01/22	²		29,000,000		27,661,360
Student Loan Consolidation Center Student Loan Trust I, Series 2002-2, Class B2
1.74%		07/01/42	^2,3		25,050,000		19,288,500
Symphony CLO Ltd., Series 2012-9A, Class C (Cayman Islands)
3.70%		04/16/22	^2,3,4		1,090,000		1,064,543
TAL Advantage LLC, Series 2006-1, Class NOTE
0.41%		04/20/21	^2,3		40,038,376		39,221,833
TAL Advantage LLC, Series 2010-2A, Class A
4.30%		10/20/25	³		9,182,667		9,277,639
TAL Advantage LLC, Series 2011-1A, Class A
4.60%		01/20/26	³		12,500,001		13,373,963
TAL Advantage LLC, Series 2011-2A, Class A
4.31%		05/20/26	³		10,183,333		10,600,290
TAL Advantage LLC, Series 2012-1A, Class A
3.86%		05/20/27	³		9,884,167		10,320,365


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Textainer Marine Containers Ltd., Series 2005-1A, Class A (Bermuda)
0.47%		05/15/20	^2,3,4,†	$	3,400,000	$	3,353,259
Textainer Marine Containers Ltd., Series 2011-1A, Class A (Bermuda)
4.70%		06/15/26	^3,4		25,974,375		27,340,679
Textainer Marine Containers Ltd., Series 2012-1A, Class A (Bermuda)
4.21%		04/15/27	^3,4		14,375,000		15,209,232
Trinity Rail Leasing LP, Series 2006-1A, Class A1
5.90%		05/14/36	^3,†		7,006,222		7,797,655
Trip Rail Master Funding LLC, Series 2011-1A, Class A1A
8.00%		07/06/14	^3,5,†		29,021,429		29,021,132
Triton Container Finance LLC, Series 2006-1A, Class NOTE
0.39%		11/26/21	^2,3		28,783,750		27,997,752
Triton Container Finance LLC, Series 2007-1A, Class NOTE
0.36%		02/26/19	^2,3		13,076,281		12,891,932
Triton Container Finance LLC, Series 2012-1A, Class A
4.21%		05/14/27	³		19,478,333		20,566,675
U-Haul S Fleet LLC, Series 2007-BT1, Class BT
5.56%		02/25/20	³		19,057,720		19,919,977
Venture CDO Ltd., Series 2012-10A, Class C (Cayman Islands)
3.72%		07/20/22	^2,3,4		10,000,000		9,729,780
Veritas CLO Ltd., Series 2004-1A, Class C (Cayman Islands)
1.73%		09/05/16	^2,3,4		5,000,000		4,813,415

Total Asset-Backed Securities (Cost $1,012,810,785)							1,022,055,127


BANK LOANS — 0.90%*
Automotive — 0.22%
Chrysler Group LLC, Term Loan, 1st Lien
6.00%		05/24/17	^2,6		47,766,291		48,797,899

Communications — 0.08%
Cengage Learning Acquisitions, Inc., Term Loan B
2.47%		07/03/14	^2,6		1,900,000		1,811,861
Intelsat Jackson Holdings, Term Loan B, 1st Lien
5.25%		04/02/18	^2,6		15,800,000		15,878,020

							17,689,881

Electric — 0.22%
Texas Competitive Electric Holdings Co. LLC, Term Loan EXT, 1st Lien
4.76%		10/10/17	^2,6		72,033,320		49,804,269


Issues	Maturity Date			Principal Amount		Value
BANK LOANS (continued)
Energy — 0.07%
El Dorado, Secured Term Loan, 1st Lien
0.00%		04/03/17	^2,5,6	$	16,000,000	$	15,840,000

Gaming — 0.19%
Caesars Entertainment Operating Co., Inc., Term Loan B6, 1st Lien
5.47%		01/28/18	^2,6		47,229,758		43,046,571

Health Care — 0.10%
HCA, Inc., Term Loan EXT B3
3.47%		05/01/18	^2,6		20,950,678		21,016,149

Transportation — 0.02%
Delta Air Lines, Inc., Term Loan B, 1st Lien
5.50%		04/20/17	^2,6		3,456,250		3,492,973

Total Bank Loans (Cost $191,725,948)							199,687,742

CORPORATES — 18.89%*
Banking — 4.47%
Abbey National Treasury Services PLC/London (United Kingdom)
2.88%		04/25/14	⁴		740,000		749,883
3.88%		11/10/14	^3,4		23,210,000		23,700,056
Abbey National Treasury Services PLC/Stamford CT (YCD) (United Kingdom)
1.75%		04/25/13	^2,4		13,950,000		13,977,768
Ally Financial, Inc.
2.62%		12/01/14	²		9,009,000		8,850,081
Bank of America Corp.
5.62%		07/01/20			89,425,000		102,134,886
5.75%		12/01/17			1,145,000		1,318,880
6.00%		09/01/17			300,000		347,379
6.50%		08/01/16			4,820,000		5,579,179
Bank of America N.A. (BKNT)
0.67%		06/15/16	²		11,945,000		11,272,891
0.69%		06/15/17	²		33,420,000		30,766,987
5.30%		03/15/17			30,900,000		34,347,018
6.10%		06/15/17			73,616,000		83,695,503
Bank One Corp. (STEP)
8.53%		03/01/19			1,700,000		2,162,070
Barclays Bank PLC (United Kingdom)
5.20%		07/10/14	⁴		12,079,000		12,899,043
Capital One Financial Corp.
7.38%		05/23/14			3,710,000		4,084,773
Chase Capital III, Series C
0.97%		03/01/27	²		4,500,000		3,472,273
Chase Capital VI
1.07%		08/01/28	²		19,865,000		15,265,853
City National Corp./CA
5.12%		02/15/13			6,200,000		6,279,193


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Banking (continued)
Commonwealth Bank of Australia (Australia)
1.12%		03/17/14	^2,3,4	$	14,785,000	$	14,814,582
2.12%		03/17/14	^3,4		28,275,000		28,754,500
Commonwealth Bank of Australia/New York (Australia)
1.95%		03/16/15	⁴		16,600,000		16,955,298
Credit Suisse USA, Inc.
5.12%		08/15/15			15,000		16,621
Credit Suisse/New York (MTN) (Switzerland)
5.00%		05/15/13	⁴		14,868,000		15,267,652
Credit Suisse/New York (Switzerland)
5.50%		05/01/14	⁴		11,790,000		12,596,224
6.00%		02/15/18	⁴		36,759,000		41,704,666
Deutsche Bank AG/London, Series G (MTN) (Germany)
4.88%		05/20/13	⁴		14,320,000		14,707,170
Discover Bank/Greenwood DE (BKNT)
8.70%		11/18/19			15,510,000		19,953,848
First Chicago NBD Institutional Capital I
1.00%		02/01/27	²		5,355,000		4,137,060
HBOS Capital Funding LP (United Kingdom)
6.07%		06/24/49	^2,3,4		5,823,000		4,556,497
HBOS PLC, Series G (MTN) (United Kingdom)
6.75%		05/21/18	^3,4		33,673,000		34,373,984
HSBC Bank PLC (United Kingdom)
1.26%		01/17/14	^2,3,4		29,100,000		29,092,852
3.10%		05/24/16	^3,4		28,270,000		29,757,008
HSBC Holdings PLC (United Kingdom)
5.10%		04/05/21	⁴		23,395,000		27,156,965
JPMorgan Chase & Co.
4.25%		10/15/20			9,525,000		10,386,988
4.62%		05/10/21			51,300,000		57,298,127
6.30%		04/23/19			170,000		208,780
JPMorgan Chase & Co., Series C (MTN)
0.00%		07/23/13	²		2,500,000		2,492,750
JPMorgan Chase Bank N.A. (BKNT)
5.88%		06/13/16			5,040,000		5,800,602
6.00%		07/05/17			1,588,000		1,863,931
6.00%		10/01/17			47,807,000		56,635,901
M&T Capital Trust III
9.25%		02/01/27			10,200,000		10,416,424
National Australia Bank Ltd. (Australia)
5.35%		06/12/13	^3,4		20,425,000		21,086,076
National Australia Bank/New York (MTN) (Australia)
2.75%		03/09/17	⁴		69,825,000		73,199,116
National Capital Trust II
5.49%		12/29/49	^2,3		2,717,000		2,749,351


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Banking (continued)
Royal Bank of Scotland PLC (United Kingdom)
2.55%		09/18/15	⁴	$	13,700,000	$	13,871,473
Royal Bank of Scotland PLC, Series 1 (United Kingdom)
2.85%		08/23/13	^2,4		10,830,000		10,960,458
Svenska Handelsbanken AB (Sweden)
4.88%		06/10/14	^3,4		23,240,000		24,630,496
Wachovia Corp.
0.79%		10/28/15	²		13,165,000		12,915,234
Wachovia Corp. (MTN)
5.50%		05/01/13			35,000		36,038
Westpac Banking Corp. (Australia)
1.19%		03/31/14	^2,3,4		32,750,000		32,945,845
4.88%		11/19/19	⁴		225,000		258,714

							992,504,947

Communications — 0.75%
Cablevision Systems Corp.
5.88%		09/15/22			16,630,000		16,546,850
CCH II LLC/CCH II Capital Corp.
13.50%		11/30/16			7,520,000		8,149,800
CCO Holdings LLC/CCO Holdings Capital Corp.
7.00%		01/15/19			17,875,000		19,483,750
7.25%		10/30/17			4,432,000		4,853,040
7.88%		04/30/18			5,000,000		5,437,500
CCO Holdings LLC/CCO Holdings Capital Corp. (WI)
8.12%		04/30/20			16,029,000		18,232,988
Comcast Cable Communications Holdings, Inc.
9.46%		11/15/22			250,000		373,937
Frontier Communications Corp.
6.62%		03/15/15			1,625,000		1,771,250
8.25%		05/01/14			46,000		50,140
Frontier Communications Corp. (WI)
7.88%		04/15/15			2,265,000		2,542,463
Intelsat Jackson Holdings SA (Luxembourg)
7.25%		10/15/20	^3,4		12,820,000		13,845,600
7.25%		10/15/20	⁴		3,000,000		3,247,500
8.50%		11/01/19	⁴		4,970,000		5,628,525
ipcs, Inc.
2.57%		05/01/13	²		6,255,000		6,255,000
Nextel Communications, Inc., Series C
5.95%		03/15/14			37,620,000		37,690,538
Qwest Communications International, Inc.
8.00%		10/01/15			10,953,000		11,445,885
Telecom Italia Capital SA (Luxembourg)
7.72%		06/04/38	⁴		125,000		126,250


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Communications (continued)
Verizon Communications, Inc.
1.95%		03/28/14		$	9,646,000	$	9,874,527
Windstream Corp. (WI)
8.12%		09/01/18			1,725,000		1,845,750

							167,401,293

Consumer Discretionary — 0.07%
American Airlines, Series 2011-1, Class A Pass-Through Trust
5.25%		01/31/21			4,665,329		4,910,258
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC
5.75%		10/15/20	³		11,650,000		11,679,125

							16,589,383

Electric — 2.06%
Calpine Construction Finance Co. LP and CCFC Finance Corp.
8.00%		06/01/16	³		78,472,000		84,749,760
Cedar Brakes I LLC
8.50%		02/15/14	³		2,488,364		2,578,076
Cedar Brakes II LLC
9.88%		09/01/13	³		1,585,316		1,628,091
Cleco Power LLC
6.65%		06/15/18			17,795,000		21,238,582
Coso Geothermal Power Holdings
7.00%		07/15/26	³		26,070,774		11,210,433
Dynegy Roseton/Danskammer Pass-Through Trust, Series B
7.67%		11/08/16	^7,8		54,205,000		32,794,025
Entergy Gulf States Louisiana LLC (WI)
6.00%		05/01/18			17,500,000		20,405,280
FirstEnergy Corp., Series C
7.38%		11/15/31			120,000		159,319
FPL Energy National Wind Portfolio LLC
6.12%		03/25/19	³		225,250		177,925
FPL Energy Wind Funding LLC
6.88%		06/27/17	³		838,350		733,556
GenOn Americas Generation LLC
8.50%		10/01/21			11,952,000		13,057,560
Kansas City Power & Light Co.
6.38%		03/01/18			4,290,000		5,153,530
Mirant Mid Atlantic Pass-Through Trust, Series B
9.12%		06/30/17			23,874,360		26,142,424
Mirant Mid Atlantic Pass-Through Trust, Series C
10.06%		12/30/28			8,836,850		10,029,825
Nevada Power Co.
5.45%		05/15/41			600,000		740,257


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Electric (continued)
NextEra Energy Capital Holdings, Inc.
5.35%		06/15/13		$	955,000	$	985,407
NRG Energy, Inc.
7.62%		01/15/18			30,365,000		33,021,938
NRG Energy, Inc. (WI)
7.62%		05/15/19			17,558,000		18,611,480
Oncor Electric Delivery Co. LLC
5.25%		09/30/40			9,938,000		10,651,215
5.30%		06/01/42			65,865,000		72,249,163
PNM Resources, Inc.
9.25%		05/15/15			15,387,000		17,695,050
Public Service Co. of New Hampshire
6.00%		05/01/18			5,000,000		5,952,475
Public Service Co. of New Mexico
5.35%		10/01/21			5,320,000		6,036,921
7.95%		05/15/18			41,137,000		50,486,665
PVNGS II Funding Corp., Inc.
8.00%		12/30/15			1,138,000		1,183,869
Virginia Electric and Power Co.
5.10%		11/30/12			9,295,000		9,365,047

							457,037,873

Energy — 1.67%
Arch Coal, Inc.
7.00%		06/15/19			39,074,000		32,626,790
7.25%		06/15/21			2,000,000		1,680,000
El Paso Pipeline Partners
4.10%		11/15/15			46,175,000		49,309,313
5.00%		10/01/21			9,825,000		10,868,906
Newfield Exploration Co.
5.62%		07/01/24			37,800,000		42,123,375
Panhandle Eastern Pipeline Co. LP
6.20%		11/01/17			2,250,000		2,693,630
8.12%		06/01/19			2,292,000		2,860,870
Petrobras International Finance Co. - Pifco (Cayman Islands)
6.88%		01/20/40	⁴		150,000		189,291
Sabine Pass LNG LP
7.25%		11/30/13			60,519,000		64,755,330
7.50%		11/30/16			25,450,000		27,549,625
7.50%		11/30/16	³		19,273,000		20,092,103
Southern Union Co.
3.46%		11/01/66	²		75,433,000		60,534,983
Tennessee Gas Pipeline Co.
8.00%		02/01/16			25,955,000		31,015,836
Valero Energy Corp.
7.50%		04/15/32			3,720,000		4,658,593
Williams Cos., Inc.
7.88%		09/01/21			13,196,000		17,331,046


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Energy (continued)
8.75%		03/15/32		$	2,589,000	$	3,585,863

							371,875,554

Finance — 5.83%
Alta Wind Holdings LLC
7.00%		06/30/35	³		16,431,706		18,506,301
Astoria Depositor Corp.
8.14%		05/01/21	³		16,220,000		15,084,600
Bear Stearns Cos. LLC
4.65%		07/02/18			4,330,000		4,885,756
7.25%		02/01/18			20,595,000		25,728,860
Cantor Fitzgerald LP
6.38%		06/26/15	³		15,325,000		15,521,727
Chase Capital II, Series B
0.94%		02/01/27	²		31,185,000		24,031,579
CIT Group, Inc.
5.25%		04/01/14	³		34,392,000		35,832,165
6.62%		04/01/18	³		17,150,000		19,593,875
Citigroup Capital III
7.62%		12/01/36			7,438,000		8,033,040
Citigroup, Inc.
0.72%		11/05/14	²		14,309,000		14,094,179
0.98%		08/25/36	²		24,399,000		16,442,062
2.14%		05/15/18	²		2,560,000		2,529,948
4.50%		01/14/22			4,443,000		4,887,673
4.59%		12/15/15			4,650,000		5,049,156
5.30%		10/17/12			50,000		50,096
5.30%		01/07/16			20,019,000		22,018,243
5.38%		08/09/20			8,425,000		9,756,184
5.85%		08/02/16			5,095,000		5,808,462
5.88%		01/30/42			7,300,000		8,741,966
6.00%		08/15/17			43,663,000		50,912,936
6.12%		11/21/17			5,055,000		5,954,613
6.12%		05/15/18			2,850,000		3,377,974
6.38%		08/12/14			3,950,000		4,302,188
8.12%		07/15/39			22,199,000		33,073,291
Countrywide Capital III, Series B
8.05%		06/15/27			3,000,000		3,468,750
Discover Financial Services
5.20%		04/27/22	³		4,515,000		4,933,910
Dolphin Subsidiary II, Inc.
7.25%		10/15/21	³		10,230,000		11,636,625
General Electric Capital Corp.
4.62%		01/07/21			20,325,000		22,737,598
5.62%		05/01/18			185,000		217,432
General Electric Capital Corp. (MTN)
0.52%		06/20/14	²		1,250,000		1,241,634
0.71%		08/07/18	²		22,453,000		21,462,639
0.82%		05/05/26	²		62,410,000		52,977,665


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Finance (continued)
4.38%		09/16/20		$	30,655,000	$	33,837,491
5.38%		10/20/16			3,700,000		4,255,495
5.88%		01/14/38			9,795,000		11,713,684
General Electric Capital Corp., Series A (MTN)
6.75%		03/15/32			35,540,000		45,662,609
General Electric Capital Corp., Series E (MTN)
0.56%		03/20/14	²		30,100,000		29,638,627
General Electric Capital Corp., Series G (MTN)
6.15%		08/07/37			19,383,000		23,952,015
6.88%		01/10/39			40,750,000		54,636,622
Goldman Sachs Group, Inc.
0.82%		03/22/16	²		6,255,000		6,016,878
1.44%		02/07/14	²		1,624,000		1,623,713
3.62%		02/07/16			17,675,000		18,644,172
5.25%		07/27/21			17,775,000		19,609,525
5.75%		10/01/16			3,550,000		4,034,763
5.95%		01/18/18			100,000		116,259
6.00%		06/15/20			9,510,000		10,954,836
6.15%		04/01/18			31,176,000		36,431,151
6.25%		02/01/41			14,730,000		17,103,237
6.75%		10/01/37			500,000		539,395
7.50%		02/15/19			39,976,000		49,442,896
International Lease Finance Corp.
6.50%		09/01/14	³		32,080,000		34,486,000
6.75%		09/01/16	³		41,450,000		46,382,550
7.12%		09/01/18	³		3,955,000		4,627,350
JPMorgan Chase & Co.
4.35%		08/15/21			22,540,000		24,748,317
JPMorgan Chase Capital XIII, Series M
1.41%		09/30/34	²		5,543,000		4,246,287
JPMorgan Chase Capital XXI, Series U
1.39%		02/02/37	²		44,175,000		31,127,652
JPMorgan Chase Capital XXIII
1.44%		05/15/47	²		48,189,000		33,491,355
Macquarie Bank Ltd. (Australia)
6.62%		04/07/21	^3,4		800,000		857,479
MBNA Corp.
6.12%		03/01/13			7,355,000		7,516,884
Merrill Lynch & Co., Inc. (MTN)
8.68%		05/02/17	²		5,725,000		6,533,942
8.95%		05/18/17	²		5,800,000		6,677,540
9.57%		06/06/17	²		11,819,000		13,961,785
Morgan Stanley
0.94%		10/15/15	²		5,630,000		5,368,396
3.80%		04/29/16			9,140,000		9,443,717
4.20%		11/20/14			8,585,000		8,928,434


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Finance (continued)
5.50%		07/24/20		$	35,700,000	$	38,607,051
5.75%		01/25/21			4,950,000		5,442,436
6.00%		05/13/14			19,905,000		21,144,713
7.30%		05/13/19			205,000		242,224
Morgan Stanley (MTN)
0.90%		10/18/16	²		22,310,000		20,928,038
5.62%		09/23/19			600,000		654,111
5.75%		10/18/16			8,550,000		9,471,937
5.95%		12/28/17			125,000		140,565
6.25%		08/28/17			8,000,000		9,071,533
6.62%		04/01/18			7,930,000		9,121,744
Morgan Stanley, Series G (MTN)
0.76%		01/09/14	²		2,970,000		2,931,152
5.45%		01/09/17			100,000		109,261
Pipeline Funding Co. LLC
7.50%		01/15/30	³		26,750,000		32,623,857
Prudential Financial, Inc. (MTN)
5.62%		05/12/41			450,000		508,092
Prudential Holdings LLC
8.70%		12/18/23	³		22,375,000		28,915,709
Raymond James Financial, Inc.
8.60%		08/15/19			8,453,000		10,569,690
Reckson Operating Partnership LP
5.00%		08/15/18			14,845,000		15,947,243
Woodbourne Capital Trust I
2.74%		04/08/49	^2,3,5		900,000		351,000
Woodbourne Capital Trust II
2.74%		04/08/49	^2,3,5		925,000		360,750
Woodbourne Capital Trust III
2.74%		04/08/49	^2,3,5		1,525,000		594,750
WT Finance Aust Pty Ltd./Westfield Capital/WEA Finance LLC (Australia)
5.12%		11/15/14	^3,4		2,170,000		2,344,368
ZFS Finance USA Trust II
6.45%		12/15/65	^2,3		6,475,000		6,895,875

							1,296,480,282

Food — 0.00%
Ralcorp Holdings, Inc.
4.95%		08/15/20			150,000		158,442

Health Care — 0.81%
CHS/Community Health Systems, Inc.
5.12%		08/15/18			3,725,000		3,874,000
8.00%		11/15/19			14,425,000		15,867,500
HCA, Inc.
6.50%		02/15/20			9,550,000		10,648,250
7.25%		09/15/20			51,030,000		57,408,750
HCA, Inc. (WI)
7.88%		02/15/20			16,061,000		18,128,854


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Health Care (continued)
8.50%		04/15/19		$	26,920,000	$	30,352,300
Tenet Healthcare Corp.
8.88%		07/01/19			37,745,000		42,651,850

							178,931,504

Industrials — 0.09%
General Electric Co.
5.25%		12/06/17			17,163,000		20,330,432

Insurance — 0.79%
Farmers Exchange Capital
7.05%		07/15/28	³		19,151,000		23,347,956
7.20%		07/15/48	³		18,265,000		21,504,079
Farmers Insurance Exchange
8.62%		05/01/24	³		18,595,000		25,463,098
MetLife Capital Trust X
9.25%		04/08/38	³		11,500,000		15,237,500
MetLife, Inc.
2.38%		02/06/14			10,775,000		11,029,419
Metropolitan Life Global Funding I
3.88%		04/11/22	³		27,050,000		29,555,560
Nationwide Mutual Insurance Co.
5.81%		12/15/24	^2,3		12,949,000		12,164,032
6.60%		04/15/34	³		19,518,000		20,037,310
Pricoa Global Funding I
5.45%		06/11/14	³		15,130,000		16,250,543

							174,589,497

Materials — 0.00%
ArcelorMittal (Luxembourg)
5.50%		08/05/20	⁴		140,000		134,882
Southern Copper Corp.
6.38%		07/27/15			100,000		113,137

							248,019

Real Estate Investment Trust (REIT) — 1.71%
BRE Properties, Inc.
5.50%		03/15/17			100,000		113,293
Camden Property Trust
4.62%		06/15/21			600,000		674,711
Duke Realty LP
5.40%		08/15/14			1,400,000		1,494,435
6.25%		05/15/13			75,000		77,510
ERP Operating LP
5.75%		06/15/17			100,000		119,131
HCP, Inc.
3.75%		02/01/19			7,450,000		7,826,697
5.38%		02/01/21			15,225,000		17,322,159
5.62%		05/01/17			1,508,000		1,720,801
6.00%		01/30/17			16,320,000		18,801,227


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Real Estate Investment Trust (REIT) (continued)
6.75%		02/01/41		$	150,000	$	194,273
7.07%		06/08/15			125,000		140,997
HCP, Inc. (MTN)
6.30%		09/15/16			27,719,000		31,784,019
6.70%		01/30/18			36,430,000		43,751,108
Health Care REIT, Inc.
4.12%		04/01/19			21,800,000		23,289,127
4.70%		09/15/17			31,473,000		34,774,927
4.95%		01/15/21			5,975,000		6,550,118
5.25%		01/15/22			26,805,000		30,127,657
6.12%		04/15/20			4,385,000		5,106,052
6.50%		03/15/41			18,965,000		22,248,844
Healthcare Realty Trust, Inc.
5.75%		01/15/21			21,375,000		23,726,985
6.50%		01/17/17			220,000		250,717
Highwoods Realty LP
7.50%		04/15/18			6,810,000		8,024,298
Kimco Realty Corp., Series C (MTN)
5.19%		10/01/13			100,000		103,582
Post Apartment Homes LP
4.75%		10/15/17			21,885,000		24,051,177
PPF Funding, Inc.
5.50%		01/15/14	³		195,000		199,883
Shurgard Storage Centers LLC
5.88%		03/15/13			624,000		637,763
Simon Property Group LP
6.12%		05/30/18			1,290,000		1,577,402
UDR, Inc.
6.05%		06/01/13			3,608,000		3,723,727
UDR, Inc. (MTN)
4.25%		06/01/18			5,500,000		6,081,805
5.25%		01/15/15			200,000		216,144
UDR, Inc., Series E (MTN)
5.13%		01/15/14			7,075,000		7,382,966
Ventas Realty LP/Ventas Capital Corp.
4.75%		06/01/21			10,925,000		12,009,150
WEA Finance LLC
7.12%		04/15/18	³		38,063,000		46,584,544
Weingarten Realty Investors (MTN)
4.99%		09/03/13			18,000		18,584

							380,705,813

Transportation — 0.64%
Continental Airlines Pass-Through Trust, Series 1997, Class 4A
6.90%		01/02/18			2,616,916		2,838,536
Continental Airlines Pass-Through Trust, Series 1999, Class C2
7.26%		03/15/20			10,886,456		11,975,102


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Transportation (continued)
Continental Airlines Pass-Through Trust, Series 2007, Class 1A
5.98%		04/19/22		$	4,459,691 $		4,972,555
Continental Airlines Pass-Through Trust, Series 2007, Class 1B
6.90%		04/19/22			2,384,782		2,509,983
Continental Airlines Pass-Through Trust, Series 2009, Class A2
7.25%		11/10/19			7,371,770		8,422,247
Delta Air Lines Pass-Through Trust, Series 2002, Class G1
6.72%		01/02/23			31,745,536		34,880,407
Delta Air Lines Pass-Through Trust, Series 2011, Class A
5.30%		04/15/19			10,100,414		10,958,949
Northwest Airlines Pass-Through Trust, Series 2001-1, Class A-1
7.04%		04/01/22			2,963,092		3,309,403
UAL Pass-Through Trust, Series 2009-2A
9.75%		01/15/17			17,102,783		19,710,957
US Airways Pass-Through Trust, Series 2010-1, Class A
6.25%		04/22/23			21,398,258		22,896,136
US Airways Pass-Through Trust, Series 2011-1, Class A
7.12%		10/22/23			5,756,024		6,356,809
US Airways Pass-Through Trust, Series 2012-1, Class A
5.90%		10/01/24			12,000,000		12,922,500

							141,753,584

Total Corporates
(Cost $3,867,306,679)							4,198,606,623

MORTGAGE-BACKED — 49.13%**
Commercial Mortgage-Backed — 5.65%
Banc of America Large Loan, Inc., Series 2010-UB4, Class A4A
5.04%		12/20/41	^2,3		14,510,000		15,268,873
Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2005-2, Class A5
4.86%		07/10/43	²		855,000		938,699
Banc of America Re-Remic Trust, Series 2011-STRP, Class A7
1.90%		02/17/42	³		2,655,108		2,654,292
Banc of America Re-Remic Trust, Series 2011-STRP, Class A9
1.32%		07/17/39	³		1,834,367		1,832,608
Bank of America Commercial Mortgage, Inc., Series 2005-6, Class A4
5.36%		09/10/47	²		105,251,000		118,355,476


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed (continued)
Bayview Commercial Asset Trust, Series 2006-3A, Class A1
0.47%		10/25/36	^2,3	$	6,208,387	$	3,747,454
Bear Stearns Commercial Mortgage Securities, Series 2003-PWR2, Class A4
5.19%		05/11/39	²		38,893,522		40,116,820
Bear Stearns Commercial Mortgage Securities, Series 2003-T12, Class A4
4.68%		08/13/39	²		5,550,656		5,708,947
Bear Stearns Commercial Mortgage Securities, Series 2004-PWR5, Class A5
4.98%		07/11/42	²		55,510,000		58,904,653
Bear Stearns Commercial Mortgage Securities, Series 2005-T20, Class A4A
5.30%		10/12/42	²		75,095,000		83,984,160
Bear Stearns Commercial Mortgage Securities, Series 2006-T22, Class A4
5.71%		04/12/38	²		21,441,490		24,626,870
Commercial Mortgage Asset Trust, Series 1999-C1, Class A4
6.98%		01/17/32	²		14,783,627		15,061,131
Commercial Mortgage Pass-Through Certificates, Series 2005-C6, Class A5A
5.12%		06/10/44	²		47,895,000		53,009,420
Commercial Mortgage Pass-Through Certificates, Series 2005-LP5, Class A4
4.98%		05/10/43	²		19,501,000		21,522,084
Credit Suisse First Boston Mortgage Securities Corp., Series 2002-CKN2, Class A3
6.13%		04/15/37			44,932		45,734
Credit Suisse First Boston Mortgage Securities Corp., Series 2005-C6, Class A4
5.23%		12/15/40	²		1,470,000		1,633,361
DBRR Trust, Series 2011-LC2, Class A4A
4.54%		04/12/21	³		29,480,000		34,562,411
DBUBS Mortgage Trust, Series 2011-LC3A, Class A2
3.64%		08/10/44			48,755,000		53,513,317
GMAC Commercial Mortgage Securities, Inc., Series 1998-C2, Class X
1.08%		05/15/35	^2,5		21,058,103		503,036
Greenwich Capital Commercial Funding Corp., Series 2004-GG1, Class A7
5.32%		06/10/36	²		65,368,999		69,081,762
GS Mortgage Securities Corp. II, Series 2011-GC5, Class A4
3.71%		08/10/44	²		97,585,000		108,675,974
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2003-ML1A, Class A2
4.77%		03/12/39			8,104,704		8,161,219


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed (continued)
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2005-CB12, Class A4
4.90%		09/12/37		$	2,920,000	$	3,229,416
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2005-LDP5, Class A4
5.36%		12/15/44	²		4,380,000		4,925,313
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2006-LDP9, Class A3S
5.24%		05/15/47	³		5,495,000		5,681,250
Lehman Brothers Small Balance Commercial, Series 2007-1A, Class 2A3
5.62%		03/25/37	^2,3,†		15,000,000		12,730,033
Merrill Lynch Mortgage Trust, Series 2005-LC1, Class A4
5.29%		01/12/44	²		550,000		614,966
Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2006-4, Class ASB
5.13%		12/12/49	²		20,865,860		22,012,094
Morgan Stanley Capital I, Series 2001-C3, Class A2
3.22%		08/15/49			16,551,000		17,969,437
Morgan Stanley Capital I, Series 2005-T19, Class A4A
4.89%		06/12/47			41,015,000		45,325,656
Morgan Stanley Capital I, Series 2006-HQ9, Class A4
5.73%		07/12/44	²		405,000		468,994
Morgan Stanley Capital I, Series 2006-T21, Class A4
5.16%		10/12/52	²		35,975,000		40,496,698
Morgan Stanley Capital I, Series 2006-T23, Class A4
5.99%		08/12/41	²		44,680,000		53,035,857
Morgan Stanley Capital I, Series 2011-C3, Class A4
4.12%		08/15/49			13,563,000		15,416,152
Prudential Commercial Mortgage Trust, Series 2003-PWR1, Class A1
3.67%		02/11/36			381,831		381,595
RBSCF Trust, Series 2010-MB1, Class A2
3.69%		04/15/24	³		15,000,000		16,023,518
Spirit Master Funding LLC, Series 2005-1, Class A1
5.05%		07/20/23	³		19,725,681		17,851,741
Spirit Master Funding LLC, Series 2006-1A, Class A
5.76%		03/20/24	³		8,627,559		7,807,941
TIAA Seasoned Commercial Mortgage Trust, Series 2007-C4, Class A3
5.58%		08/15/39	²		3,115,000		3,329,578


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed (continued)
Wachovia Bank Commercial Mortgage Trust, Series 2005-C16, Class A4
4.85%		10/15/41	²	$	4,320,113	$	4,679,577
Wachovia Bank Commercial Mortgage Trust, Series 2005-C20, Class A7
5.12%		07/15/42	²		37,720,000		41,981,606
Wachovia Bank Commercial Mortgage Trust, Series 2005-C21, Class A4
5.41%		10/15/44	²		21,447,630		23,934,425
WF-RBS Commercial Mortgage Trust, Series 2010-C8, Class A3
3.00%		08/15/45			52,205,000		54,744,068
WF-RBS Commercial Mortgage Trust, Series 2011-C5, Class A4
3.67%		11/15/44			62,497,000		69,672,343
WF-RBS Commercial Mortgage Trust, Series 2012-C7, Class A2
3.43%		06/15/45			67,165,000		72,658,560

							1,256,879,119

Non-Agency Mortgage-Backed — 16.79%
Aames Mortgage Trust, Series 2002-1, Class A3 (STEP)
6.74%		06/25/32			69,156		64,148
Accredited Mortgage Loan Trust, Series 2007-1, Class A4
0.44%		02/25/37	²		46,125,000		22,791,147
ACE Securities Corp., Series 2006-HE3, Class A2C
0.37%		06/25/36	²		5,237,707		2,157,003
Adjustable Rate Mortgage Trust, Series 2005-10, Class 6A1
0.76%		01/25/36	²		603,264		470,679
Adjustable Rate Mortgage Trust, Series 2005-5, Class 6A21
0.45%		09/25/35	²		6,099,242		5,535,940
Adjustable Rate Mortgage Trust, Series 2007-1, Class 5A1
0.37%		03/25/37	²		11,457,679		5,634,021
American Home Mortgage Assets, Series 2007-1, Class A1
0.85%		02/25/47	²		87,762,555		48,537,476
American Home Mortgage Assets, Series 2007-4, Class A2
0.41%		08/25/37	²		16,086,785		13,453,210
American Home Mortgage Investment Trust, Series 2006-1, Class 12A1
0.42%		03/25/46	²		3,272,638		2,119,056
American Home Mortgage Investment Trust, Series 2006-1, Class 2A3
2.46%		12/25/35	²		248,834		167,228


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
American Home Mortgage Investment Trust,
Series 2007-1, Class GA1C
0.41%		05/25/47	²	$	54,135,852	$	31,934,198
Ameriquest Mortgage Securities, Inc., Series
2005-R11, Class A2C
0.45%		01/25/36	²		2,106,778		2,101,098
Amresco Residential Securities Mortgage
Loan Trust, Series 1998-1, Class A5 (STEP)
7.57%		10/25/27			131,486		136,293
Argent Securities, Inc., Series 2005-W4,
Class A2C
0.52%		02/25/36	²		4,610,281		4,526,722
Argent Securities, Inc., Series 2005-W5,
Class A2D
0.54%		01/25/36	²		28,478,000		12,606,128
Asset Backed Funding Certificates, Series
2007-WMC1, Class A2B
1.22%		06/25/37	²		42,477,000		22,739,455
Asset Backed Securities Corp. Home Equity,
Series 2006-HE6, Class A5
0.45%		11/25/36	²		18,411,000		7,896,110
Banc of America Funding Corp., Series
2003-2, Class 1A1
6.50%		06/25/32			68,811		72,426
Banc of America Funding Corp., Series
2005-B, Class 3A1B
0.53%		04/20/35	²		12,556,568		10,890,199
Banc of America Funding Corp., Series
2006-G, Class 2A3
0.39%		07/20/36	²		57,520,821		56,864,336
Banc of America Funding Corp., Series
2007-8, Class 2A1
7.00%		10/25/37			21,770,220		13,042,641
Banc of America Funding Corp., Series
2010-R4, Class 3A3
1.26%		09/26/46	^2,3		19,909,147		7,128,968
Banc of America Mortgage Securities, Inc.,
Series 2004-F, Class 1A1
3.00%		07/25/34	²		210,710		197,799
Banc of America Mortgage Securities, Inc.,
Series 2005-C, Class 2A2
3.13%		04/25/35	²		2,296,513		1,982,029
Banc of America Mortgage Securities, Inc.,
Series 2005-E, Class 2A6
3.11%		06/25/35	²		62,209		57,892
Banc of America Mortgage Securities, Inc.,
Series 2007-3, Class 1A1
6.00%		09/25/37			2,326,911		2,177,203
Banco de Credito Y Securitizacion SA, Series
2001-1, Class AF (Argentina)
8.00%		06/30/20	^3,4,5		8,000		600


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Bayview Financial Acquisition Trust, Series
2005-D, Class AF3
5.50%		12/28/35	²	$	808,807	$	845,475
BCAP LLC Trust, Series 2011-RR3,
Class 1A5
3.10%		05/27/37	^2,3		21,515,012		21,040,692
BCAP LLC Trust, Series 2007-AA1,
Class 2A1
0.40%		03/25/37	²		1,884,430		1,343,693
BCAP LLC Trust, Series 2007-AA2,
Class 2A5
6.00%		04/25/37			828,590		678,176
BCAP LLC Trust, Series 2010-RR11,
Class 3A2
3.02%		06/27/36	^2,3		12,180,696		11,386,760
BCAP LLC Trust, Series 2011-RR2,
Class 3A6
3.03%		11/21/35	^2,3		23,190,859		21,620,153
BCAP LLC Trust, Series 2011-RR3,
Class 5A3
2.84%		11/27/37	^2,3		15,603,664		14,873,241
BCAP LLC Trust, Series 2011-RR4,
Class 1A3
3.10%		03/26/36	^2,3		22,050,460		21,109,644
BCAP LLC Trust, Series 2011-RR5,
Class 1A3
2.86%		03/26/37	^2,3		1,869,696		1,735,078
BCAP LLC Trust, Series 2011-RR5,
Class 2A3
3.04%		06/26/37	^2,3		9,963,464		9,899,518
Bear Stearns Adjustable Rate Mortgage Trust,
Series 2003-4, Class 3A1
4.98%		07/25/33	²		104,463		106,771
Bear Stearns Adjustable Rate Mortgage Trust,
Series 2004-10, Class 14A1
5.24%		01/25/35	²		15,779,175		15,972,628
Bear Stearns Adjustable Rate Mortgage Trust,
Series 2006-4, Class 2A1
2.71%		10/25/36	²		2,065,082		1,451,958
Bear Stearns Adjustable Rate Mortgage Trust,
Series 2007-1, Class 2A1
2.78%		02/25/47	²		5,789,065		3,647,070
Bear Stearns Alt-A Trust, Series 2005-4,
Class 21A1
2.97%		05/25/35	²		25,904,339		17,298,838
Bear Stearns Alt-A Trust, Series 2006-3,
Class 1A1
0.41%		05/25/36	²		4,165,691		2,316,997
Bear Stearns Alt-A Trust, Series 2006-3,
Class 23A1
2.94%		05/25/36	²		4,739,774		2,387,810


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Bear Stearns Alt-A Trust, Series 2006-4, Class 32A1
2.95%		07/25/36	²	$	5,655,288	$	2,486,401
Bear Stearns Asset Backed Securities Trust, Series 2002-1, Class 1A5 (STEP)
6.89%		12/25/34			51,227		49,635
Bear Stearns Asset Backed Securities Trust, Series 2005-TC2, Class A3
0.59%		08/25/35	²		16,393,003		15,852,796
Bear Stearns Asset Backed Securities Trust, Series 2006-HE10, Class 1A2
0.42%		12/25/36	²		23,770,000		17,418,875
Bear Stearns Mortgage Funding Trust, Series 2006-AR3, Class 1A1
0.40%		10/25/36	²		3,846,230		2,204,082
BHN I Mortgage Fund, Series 1997-2, Class A1 (Argentina)
1.51%		05/31/17	^{2,3,4,5,7,8,†}		13,760		138
BHN I Mortgage Fund, Series 1997-2, Class A2 (Argentina)
7.54%		05/31/17	^{3,4,5,7,8,†}		2,500		25
BHN I Mortgage Fund, Series 2000-1, Class AF (Argentina)
8.00%		01/31/20	^3,4,5,†		6,000		60
Bombardier Capital Mortgage Securitization Corp., Series 2001-A, Class A
6.80%		12/15/30	²		32,096,417		33,298,027
CC Mortgage Funding Corp., Series 2004-1A, Class A1
0.50%		01/25/35	^2,3		2,021,580		1,642,703
Centex Home Equity, Series 2006-A, Class AV3
0.38%		06/25/36	²		27,071,617		26,326,863
Centex Home Equity, Series 2006-A, Class AV4
0.47%		06/25/36	²		125,000		98,672
Chase Mortgage Finance Corp., Series 2006-A1, Class 1A2
3.05%		09/25/36	²		2,299,675		1,816,436
Chase Mortgage Finance Corp., Series 2007-A2, Class 2A3
2.87%		07/25/37	²		11,929,533		11,710,324
Chaseflex Trust, Series 2005-2, Class 4A2
5.50%		05/25/20			12,761,494		12,445,519
Chaseflex Trust, Series 2006-2, Class A2B
0.42%		09/25/36	²		3,281,635		2,267,503
Chaseflex Trust, Series 2007-M1, Class 1A2
0.45%		08/25/37	²		16,418,322		8,976,510
Citicorp Mortgage Securities, Inc., Series 2005-1, Class 1A12
5.00%		02/25/35			703,000		702,173


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Citicorp Residential Mortgage Securities, Inc., Series 2007-1, Class A5 (STEP)
6.05%		03/25/37	^†	$	650,000	$	552,500
Citigroup Mortgage Loan Trust, Inc. 2006-WFH2 A2A
0.37%		08/25/36	²		6,895,802		6,094,513
Citigroup Mortgage Loan Trust, Inc., Series 2004-HYB1, Class A41
3.17%		02/25/34	²		294,503		287,975
Citigroup Mortgage Loan Trust, Inc., Series 2004-RR2, Class A2
4.70%		05/25/34	^2,3		14,627,809		15,238,037
Citigroup Mortgage Loan Trust, Inc., Series 2005-5, Class 3A2A
2.74%		10/25/35	²		17,234,582		9,235,857
Citigroup Mortgage Loan Trust, Inc., Series 2006-AMC1, Class A2B
0.38%		09/25/36	²		385,118		185,536
Citigroup Mortgage Loan Trust, Inc., Series 2007-WFH1, Class A4
0.42%		01/25/37	²		28,000		21,060
Citigroup Mortgage Loan Trust, Inc., Series 2007-WFH2, Class A3
0.40%		03/25/37	²		39,857,000		34,613,094
Citigroup Mortgage Loan Trust, Inc., Series 2012-3, Class 4A1
2.50%		11/25/36	^2,3		4,516,090		4,529,722
Collateralized Mortgage Obligation Trust, Series 57, Class D
9.90%		02/01/19			3,120		3,637
Conseco Finance Securitizations Corp., Series 2001-4, Class A4
7.36%		09/01/33			9,710,212		10,303,001
Conseco Finance, Series 2001-C, Class A5 (STEP)
7.29%		08/15/33			2,301,900		2,302,571
Conseco Finance, Series 2001-D, Class A5
6.69%		11/15/32	²		73,448		73,978
Conseco Finance, Series 2002-C, Class BF2
8.00%		06/15/32	^2,3		458,193		354,597
Conseco Financial Corp., Series 1996-7, Class M1
7.70%		10/15/27	²		19,007,000		20,727,067
Conseco Financial Corp., Series 1998-2, Class A5
6.24%		12/01/28	²		158,238		164,471
Conseco Financial Corp., Series 1998-3, Class A6
6.76%		03/01/30	²		8,454,782		9,144,085
Conseco Financial Corp., Series 1998-6, Class A8
6.66%		06/01/30			11,205,386		12,181,202


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Countryplace Manufactured Housing Contract Trust, Series 2007-1, Class A4
5.85%		07/15/37	^2,3	$	9,150,000	$	8,401,848
Countrywide Alternative Loan Trust, Series 2004-J6, Class 2A1
6.50%		11/25/31			27,474		28,984
Countrywide Alternative Loan Trust, Series 2005-27, Class 1A2
1.55%		08/25/35	²		14,416		10,294
Countrywide Alternative Loan Trust, Series 2005-36, Class 2A1A
0.53%		08/25/35	²		265,486		169,043
Countrywide Alternative Loan Trust, Series 2005-43, Class 4A1
5.28%		10/25/35	²		310,014		245,105
Countrywide Alternative Loan Trust, Series 2006-0A21, Class A3
0.50%		03/20/47	²		656,947		8,451
Countrywide Alternative Loan Trust, Series 2006-20CB, Class A7 (IO)
5.28%		07/25/36	^2,5		18,532,121		3,338,469
Countrywide Alternative Loan Trust, Series 2006-24CB, Class A19
0.72%		06/25/36	²		2,913,121		1,630,660
Countrywide Alternative Loan Trust, Series 2006-46, Class A4
6.00%		02/25/47			5,502,884		3,760,861
Countrywide Alternative Loan Trust, Series 2006-HY13, Class 4A1
2.90%		02/25/37	²		5,643,854		4,305,346
Countrywide Alternative Loan Trust, Series 2006-OC5, Class 2A2A
0.39%		06/25/36	²		3,114,910		2,081,942
Countrywide Alternative Loan Trust, Series 2007-16CB, Class 3A1
6.75%		08/25/37			12,772,783		7,454,158
Countrywide Alternative Loan Trust, Series 2007-5CB, Class 1A14 (IO)
5.13%		04/25/37	^2,5		36,601,381		5,322,829
Countrywide Alternative Loan Trust, Series 2007-J1, Class 2A1
0.42%		03/25/37	²		1,431,756		531,512
Countrywide Asset-Backed Certificates, Series 2005-11, Class AF4
5.21%		02/25/36	²		7,000,000		4,816,385
Countrywide Asset-Backed Certificates, Series 2005-12, Class 2A5
5.24%		02/25/36	²		10,434,205		10,753,371
Countrywide Asset-Backed Certificates, Series 2005-13, Class AF4
5.42%		04/25/36	²		50,000		29,894


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Countrywide Asset-Backed Certificates, Series 2005-2, Class M2
0.66%		08/25/35	²	$	14,000,000	$	12,587,561
Countrywide Asset-Backed Certificates, Series 2005-4, Class MV1
0.68%		10/25/35	²		186,181		181,784
Countrywide Asset-Backed Certificates, Series 2005-7, Class MV1
0.73%		11/25/35	²		8,109,181		8,047,369
Countrywide Asset-Backed Certificates, Series 2007-13, Class 2A2
1.02%		10/25/47	²		15,515,338		11,330,145
Countrywide Asset-Backed Certificates, Series 2007-4, Class A1A
0.36%		09/25/37	²		1,989,005		1,975,731
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2001-HYB1, Class 1A1
2.08%		06/19/31	²		49,104		44,220
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2003-J8, Class 1A4
5.25%		09/25/23			470,585		489,366
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2004-14, Class 4A1
4.94%		08/25/34	²		5,385,351		5,488,774
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2004-HYB3, Class 1A
2.56%		06/20/34	²		157,153		156,344
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2004-HYB7, Class 3A
2.96%		11/20/34	²		5,072,318		5,267,701
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2005-1, Class 2A1
0.51%		03/25/35	²		252,866		149,274
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2005-11, Class 1A2
3.30%		04/25/35	²		2,283,828		1,580,773
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2005-9, Class 1A1
0.52%		05/25/35	²		10,491,334		8,187,936
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2005-HYB5, Class 4A1
4.94%		09/20/35	²		7,890,720		6,846,872
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2006-HYB2, Class 2A1B
2.76%		04/20/36	²		5,651,190		3,918,190


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2007-HY3, Class 2A1
2.96%		06/25/47	²	$	29,466,961	$	21,406,153
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2007-HY5, Class 1A1
3.54%		09/25/47	²		3,248,943		2,416,268
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2007-HYB1, Class 1A1
3.41%		03/25/37	²		2,673,813		1,599,768
Countrywide Home Loans Mortgage Pass-Through Trust, Series 2004-29, Class 3A1
2.77%		02/25/35	²		7,799,906		4,624,941
Credit Suisse First Boston Mortgage Securities Corp., Series 2001-MH29, Class A (STEP)
5.60%		09/25/31			55,349		56,293
Credit Suisse First Boston Mortgage Securities Corp., Series 2003-AR2, Class 2A1
2.64%		02/25/33	²		74,067		71,405
Credit Suisse First Boston Mortgage Securities Corp., Series 2003-AR20, Class 2A4
2.70%		08/25/33	²		52,462		51,900
Credit Suisse Mortgage Capital Certificates, Series 2006-6, Class 2A1
0.82%		07/25/36	²		198,094		71,413
Credit Suisse Mortgage Capital Certificates, Series 2007-2, Class 3A4
5.50%		03/25/37			8,773,038		8,256,403
Credit Suisse Mortgage Capital Certificates, Series 2007-5, Class 1A11
7.00%		08/25/37			4,495,814		2,491,736
Credit-Based Asset Servicing and Securitization LLC, Series 2003-CB4, Class M1
0.91%		03/25/33	²		8,901,385		7,912,338
Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB1, Class AF2 (STEP)
4.35%		01/25/36			12,074,147		7,196,029
Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB6, Class A23
0.37%		07/25/36	²		38,319,442		22,799,321
Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB8, Class A2B
0.33%		10/25/36	²		14,712,846		14,189,303


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB9, Class A3
0.37%		11/25/36	²	$	9,971,693	$	4,098,428
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB1, Class AF4 (STEP)
5.10%		01/25/37			10,045,421		4,141,215
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB1, Class AF5 (STEP)
5.10%		01/25/37			18,782,068		7,741,442
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB2, Class A2C (STEP)
5.43%		02/25/37			22,100,000		15,674,226
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB2, Class A2D (STEP)
5.49%		02/25/37			42,536,000		30,285,419
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB2, Class A2E (STEP)
5.68%		02/25/37			8,787,211		6,420,358
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB5, Class A2
0.39%		04/25/37	²		35,610,000		17,990,973
CSAB Mortgage Backed Trust, Series 2006-4, Class A6B (STEP)
5.78%		12/25/36			5,268,016		1,558,369
DBRR Trust, Series 2012-EZ1, Class A
0.95%		09/25/45	³		84,165,000		84,316,234
Deutsche ALT-A Securities, Inc. Alternate Loan Trust, Series 2005-3, Class 4A5
5.25%		06/25/35			35,017		34,499
Deutsche ALT-A Securities, Inc. Alternate Loan Trust, Series 2005-6, Class 1A7
5.50%		12/25/35			1,261,250		962,196
Deutsche ALT-A Securities, Inc. Alternate Loan Trust, Series 2006-AR6, Class A6
0.41%		02/25/37	²		2,390,365		1,403,129
Deutsche ALT-A Securities, Inc. Alternate Loan Trust, Series 2007-AR1, Class A2
0.40%		01/25/47	²		1,943,348		891,114
Deutsche ALT-A Securities, Inc. Mortgage Loan Trust, Series 2006-AR1, Class 2A1
3.08%		02/25/36	²		2,909,165		1,992,006
Downey Savings & Loan Association Mortgage Loan Trust, Series 2005-AR3, Class 2A1A
0.46%		07/19/45	²		591,438		463,099


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Educational Funding of the South, Inc., Series 2012-1, Class A
1.27%		03/25/36	²	$	27,703,538	$	27,531,216
Equity One ABS, Inc., Series 1998-1, Class A2 (STEP)
7.48%		11/25/29			69,301		62,153
Equity One ABS, Inc., Series 2002-4, Class M1
5.22%		02/25/33	²		17,496		15,463
First Franklin Mortgage Loan Asset Backed Certificates, Series 2005-FFH2, Class M1
0.70%		04/25/35	^2,3		2,798,203		2,771,468
First Franklin Mortgage Loan Asset Backed Certificates, Series 2006-FF11, Class 2A3
0.37%		08/25/36	²		35,299,235		23,444,951
First Franklin Mortgage Loan Asset Backed Certificates, Series 2006-FF18, Class A2B
0.33%		12/25/37	²		23,722,238		14,029,666
First Franklin Mortgage Loan Asset Backed Certificates, Series 2006-FF18, Class A2C
0.38%		12/25/37	²		64,848,000		33,345,976
First Franklin Mortgage Loan Asset Backed Certificates, Series 2006-FF18, Class A2D
0.43%		12/25/37	²		28,000,000		14,484,467
First Franklin Mortgage Loan Asset Backed Certificates, Series 2007-FF1, Class A2C
0.36%		01/25/38	²		118,700,000		64,418,882
First Franklin Mortgage Loan Asset Backed Certificates, Series 2007-FF2, Class A2B
0.32%		03/25/37	²		34,291,748		17,038,798
First Franklin Mortgage Loan Asset Backed Certificates, Series 2007-FF2, Class A2C
0.37%		03/25/37	²		29,556,717		14,802,698
First Franklin Mortgage Loan Asset Backed Certificates, Series 2007-FF2, Class A2D
0.44%		03/25/37	²		55,033,822		27,866,211
First Horizon Alternative Mortgage Securities, Series 2004-AA3, Class A1
2.56%		09/25/34	²		107,554		106,183
First Horizon Alternative Mortgage Securities, Series 2004-AA4, Class A1
2.60%		10/25/34	²		6,872,987		6,480,639
First Horizon Alternative Mortgage Securities, Series 2007-FA3, Class A6 (IO)
5.18%		06/25/37	^2,5		7,792,794		1,528,038
First Horizon Asset Securities, Inc., Series 2004-AR5, Class 2A1
2.62%		10/25/34	²		4,532,457		4,526,490
First Horizon Asset Securities, Inc., Series 2007-AR3, Class 1A1
3.84%		11/25/37	²		929,804		755,412


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Fremont Home Loan Trust, Series 2005-C, Class M1
0.70%		07/25/35	²	$	11,374,353	$	10,812,391
Fremont Home Loan Trust, Series 2006-A, Class 2A3
0.38%		05/25/36	²		23,800,509		10,336,395
Fremont Home Loan Trust, Series 2006-C, Class 2A2
0.37%		10/25/36	²		89,698,570		35,868,216
GE Business Loan Trust, Series 2004-2X, Class B
0.70%		12/15/32			1,920,401		1,555,525
GE Business Loan Trust, Series 2007-1A, Class A
0.39%		04/16/35	^2,3		11,622,389		9,956,418
GMAC Mortgage Corp. Loan Trust, Series 2000-HE2, Class A1
0.66%		06/25/30	²		113,290		75,170
GMAC Mortgage Corp. Loan Trust, Series 2004-AR1, Class 22A
3.26%		06/25/34	²		17,241		16,987
GMAC Mortgage Corp. Loan Trust, Series 2005-AR1, Class 3A
3.49%		03/18/35	²		7,155,699		7,046,728
GMAC Mortgage Corp. Loan Trust, Series 2005-AR6, Class 3A1
4.92%		11/19/35	²		2,907,135		2,726,232
Green Tree, Series 2008-MH1, Class A2
8.97%		04/25/38	^2,3		46,237,390		50,351,408
Greenpoint Mortgage Funding Trust, Series 2005-AR3, Class 1A1
0.46%		08/25/45	²		3,796,217		2,586,582
Greenpoint Mortgage Funding Trust, Series 2007-AR1, Class 1A1A
0.30%		02/25/47	²		13,953,529		12,269,247
Greenpoint Mortgage Funding Trust, Series 2007-AR1, Class 3A2
0.38%		02/25/37	²		630,609		325,159
GSAA Trust, Series 2006-16, Class A1
0.28%		10/25/36	²		9,752,520		4,476,173
GSAA Trust, Series 2006-19, Class A1
0.31%		12/25/36	²		7,823,752		4,111,448
GSAA Trust, Series 2007-10, Class A2A
6.50%		11/25/37			3,134,853		2,202,658
GSAA Trust, Series 2007-4, Class A1
0.32%		03/25/37	²		5,475,056		2,727,577
GSAMP Trust, Series 2005-AHL2, Class A2D
0.57%		12/25/35	²		25,693,000		11,074,225
GSAMP Trust, Series 2007-FM2, Class A2B
0.31%		01/25/37	²		17,607,768		6,803,351
GSAMP Trust, Series 2007-NC1, Class A2B
0.32%		12/25/46	²		67,833,454		31,528,664


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
GSR Mortgage Loan Trust, Series 2004-9, Class 3A1
2.84%		08/25/34	²	$	18,572	$	18,404
GSR Mortgage Loan Trust, Series 2004-9, Class 5A7
2.83%		08/25/34	²		1,469,000		1,470,363
GSR Mortgage Loan Trust, Series 2007-AR2, Class 2A1
2.73%		05/25/47	²		8,613,507		7,083,576
Harborview Mortgage Loan Trust, Series 2004-1, Class 2A
2.83%		04/19/34	²		32,055		32,009
Harborview Mortgage Loan Trust, Series 2005-4, Class 2A
3.11%		07/19/35	²		1,096,160		978,408
Harborview Mortgage Loan Trust, Series 2007-7, Class 2A1A
1.22%		11/25/47	²		1,726,896		1,379,513
Home Equity Asset Trust, Series 2007-1, Class 2A1
0.28%		05/25/37	²		12,478		12,341
Home Equity Asset Trust, Series 2007-AR1, Class 2A1
2.83%		01/25/37	²		28,709,216		19,731,686
Home Equity Loan Trust, Series 2006-1, Class A1
0.38%		01/20/36	²		20,278,706		19,756,550
Home Equity Loan Trust, Series 2007-1, Class AM
0.46%		03/20/36	²		3,009,519		2,784,520
Home Equity Loan Trust, Series 2007-3, Class A4
1.72%		11/20/36	²		9,985,000		8,700,305
Home Equity Loan Trust, Series 2007-3, Class APT
1.42%		11/20/36	²		38,464,302		37,862,202
Home Equity Loan Trust, Series 2007-FRE1, Class 2AV3
0.45%		04/25/37	²		14,448,000		6,850,512
Home Equity Loan Trust, Series 2007-FRE1, Class 2AV4
0.56%		04/25/37	²		13,545,000		6,261,982
HSI Asset Securitization Corp. Trust, Series 2006-OPT1, Class 2A3
0.41%		12/25/35	²		25,371,105		24,772,385
Impac CMB Trust, Series 2005-1, Class 1A1
0.74%		04/25/35	²		11,061,236		9,980,238
Impac Secured Assets Corp., CMN Owners Trust, Series 2004-3, Class 1
1.02%		11/25/34	²		1,611,483		1,610,634
Indymac INDA Mortgage Loan Trust, Series 2007-AR1, Class 1A2
3.16%		03/25/37	²		2,686,762		2,251,625


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Indymac INDA Mortgage Loan Trust, Series 2007-AR7, Class 1A1
5.49%		11/25/37	²	$	8,430,492	$	7,491,381
Indymac Index Mortgage Loan Trust, Series 2004-AR4, Class 1A
2.66%		08/25/34	²		3,236,366		2,379,389
Indymac Index Mortgage Loan Trust, Series 2004-AR5, Class 2A1B
1.02%		08/25/34	²		47,033		35,797
Indymac Index Mortgage Loan Trust, Series 2004-AR6, Class 6A1
3.06%		10/25/34	²		407,435		402,868
Indymac Index Mortgage Loan Trust, Series 2004-AR7, Class A2
1.08%		09/25/34	²		152,722		116,385
Indymac Index Mortgage Loan Trust, Series 2004-AR8, Class 2A2A
1.02%		11/25/34	²		83,723		63,041
Indymac Index Mortgage Loan Trust, Series 2005-AR1, Class 4A1
2.73%		03/25/35	²		3,409,901		3,058,343
Indymac Index Mortgage Loan Trust, Series 2005-AR15, Class A1
4.81%		09/25/35	²		739,906		565,830
Indymac Index Mortgage Loan Trust, Series 2005-AR18, Class 2A1A
0.53%		10/25/36	²		341,739		241,248
Indymac Index Mortgage Loan Trust, Series 2005-AR18, Class 2A1B
1.00%		10/25/36	²		352,006		258,525
Indymac Index Mortgage Loan Trust, Series 2005-AR25, Class 1A21
5.18%		12/25/35	²		11,453,979		9,643,941
Indymac Index Mortgage Loan Trust, Series 2005-AR31, Class 3A1
2.57%		01/25/36	²		4,923,502		3,833,916
Indymac Index Mortgage Loan Trust, Series 2005-AR6, Class 2A1
0.46%		04/25/35	²		1,498,774		1,187,179
Indymac Index Mortgage Loan Trust, Series 2006-AR19, Class 1A2
3.03%		08/25/36	²		34,483,620		20,752,932
Indymac Index Mortgage Loan Trust, Series 2006-AR21, Class A1
0.34%		08/25/36	²		453,043		266,346
Indymac Index Mortgage Loan Trust, Series 2006-AR4, Class A1A
0.43%		05/25/46	²		2,282,197		1,669,037
Indymac Index Mortgage Loan Trust, Series 2006-AR41, Class A3
0.40%		02/25/37	²		17,825,039		9,654,965


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Indymac Index Mortgage Loan Trust, Series 2006-AR7, Class 1A1
3.15%		05/25/36	²	$	8,967,268	$	5,001,277
Indymac Index Mortgage Loan Trust, Series 2006-AR8, Class A3A
0.45%		07/25/46	²		51,892,052		33,646,158
Indymac Index Mortgage Loan Trust, Series 2007-AR11, Class 1A1
2.73%		06/25/37	²		9,297,789		4,742,159
Indymac Index Mortgage Loan Trust, Series 2007-AR15, Class 2A1
4.75%		08/25/37	²		13,138,363		10,089,514
Indymac Index Mortgage Loan Trust, Series 2007-AR5, Class 3A1
4.82%		05/25/37	²		9,332,925		6,102,538
Indymac Index Mortgage Loan Trust, Series 2007-AR9, Class 2A1
5.09%		04/25/37	²		814,675		585,211
Indymac Manufactured Housing Contract, Series 1997-1, Class A3
6.61%		02/25/28			395,034		394,357
Indymac Residential Asset Backed Trust, Series 2007-A, Class 2A4A
0.54%		04/25/47	²		13,246,000		6,632,344
JPMorgan Alternative Loan Trust, Series 2006-A2, Class 2A1
2.93%		05/25/36	²		1,733,981		1,016,671
JPMorgan Alternative Loan Trust, Series 2006-A2, Class 5A1
5.45%		05/25/36	²		23,616,386		17,376,464
JPMorgan Alternative Loan Trust, Series 2006-S4, Class A4 (STEP)
5.96%		12/25/36			38,700,000		27,618,820
JPMorgan Alternative Loan Trust, Series 2007-A2, Class 12A2
0.34%		06/25/37	²		1,775,349		1,768,608
JPMorgan Mortgage Acquisition Corp., Series 2006-CH2, Class AV4
0.36%		10/25/36	²		16,800,000		9,732,702
JPMorgan Mortgage Acquisition Corp., Series 2006-WF1, Class A3A (STEP)
5.83%		07/25/36			8,499,476		5,117,492
JPMorgan Mortgage Acquisition Corp., Series 2006-WF1, Class A6 (STEP)
6.00%		07/25/36			7,300,649		4,417,977
JPMorgan Mortgage Acquisition Corp., Series 2007-CH3, Class A4
0.43%		03/25/37	²		1,310,000		599,905
JPMorgan Mortgage Acquisition Corp., Series 2007-HE1, Class AF1
0.32%		03/25/47	²		471,453		320,350


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
JPMorgan Mortgage Acquisition Corp., Series 2007-HE1, Class AF2 (STEP)
5.08%		03/25/47		$	9,480,000	$	5,505,207
JPMorgan Mortgage Acquisition Corp., Series 2007-HE1, Class AF3 (STEP)
5.08%		03/25/47			10,000,000		5,770,220
JPMorgan Mortgage Acquisition Corp., Series 2007-HE1, Class AF4 (STEP)
5.08%		03/25/47			5,000,000		2,977,245
JPMorgan Mortgage Trust, Series 2003-A2, Class 2A3
4.66%		11/25/33	²		755,271		721,285
JPMorgan Mortgage Trust, Series 2005-A3, Class 5A3
2.90%		06/25/35	²		299,096		259,224
JPMorgan Mortgage Trust, Series 2005-A5, Class 3A2
2.74%		08/25/35	²		49,598		49,272
JPMorgan Mortgage Trust, Series 2005-A5, Class TA1
5.41%		08/25/35	²		951,624		953,508
JPMorgan Mortgage Trust, Series 2005-S2, Class 4A3
5.50%		09/25/20			16,875,845		16,751,111
JPMorgan Mortgage Trust, Series 2006-A2, Class 2A4
5.39%		04/25/36	²		15,709,972		13,731,340
JPMorgan Mortgage Trust, Series 2006-A3, Class 2A1
3.01%		05/25/36	²		3,776,392		2,975,529
JPMorgan Mortgage Trust, Series 2006-A3, Class 3A3
5.43%		05/25/36	²		2,958,296		2,458,702
JPMorgan Mortgage Trust, Series 2006-A4, Class 1A4
3.00%		06/25/36	²		7,958,818		6,402,969
JPMorgan Mortgage Trust, Series 2007-A1, Class 5A2
2.91%		07/25/35	²		9,349,045		9,549,844
JPMorgan Mortgage Trust, Series 2007-A3, Class 2A3
5.42%		05/25/37	²		9,307,766		7,488,147
JPMorgan Mortgage Trust, Series 2007-A3, Class 3A2
5.30%		05/25/37	²		41,770		35,159
JPMorgan Mortgage Trust, Series 2007-A4, Class 1A1
2.99%		06/25/37	²		4,246,404		3,355,022
JPMorgan Mortgage Trust, Series 2007-A4, Class 2A3
5.59%		06/25/37	²		2,289,846		1,923,308


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class A6
6.47%		04/15/40	²	$	13,082,621	$	14,556,810
Lehman XS Trust 2006-14N 3A2
0.34%		08/25/36	²		321,915		188,915
Lehman XS Trust, Series 2005-2, Class 1A1
0.50%		08/25/35	²		704,744		598,114
Lehman XS Trust, Series 2005-5N, Class 1A1
0.52%		11/25/35	²		4,445,478		3,465,430
Lehman XS Trust, Series 2005-5N, Class 3A1A
0.52%		11/25/35	²		3,719,531		2,949,164
Lehman XS Trust, Series 2006-10N, Class 1A3A
0.43%		07/25/46	²		23,757,451		14,079,067
Lehman XS Trust, Series 2006-13, Class 1A2
0.39%		09/25/36	²		59,885,445		46,097,240
Lehman XS Trust, Series 2006-18N, Class A2A
0.37%		12/25/36	²		20,157,316		17,464,480
Lehman XS Trust, Series 2006-19, Class A2
0.39%		12/25/36	²		42,802,430		31,250,889
Lehman XS Trust, Series 2006-20, Class A2
0.39%		01/25/37	²		27,392,808		19,654,600
Lehman XS Trust, Series 2006-9, Class A1B
0.38%		05/25/46	²		74,801,732		57,475,744
Lehman XS Trust, Series 2007-10H, Class 2A2
7.50%		07/25/37			1,258,330		794,002
Long Beach Mortgage Loan Trust, Series 2006-4, Class 2A3
0.38%		05/25/36	²		22,861,392		8,326,256
Long Beach Mortgage Loan Trust, Series 2006-4, Class 2A4
0.48%		05/25/36	²		18,927,835		7,045,129
Long Beach Mortgage Loan Trust, Series 2006-5, Class 2A4
0.46%		06/25/36	²		43,031,181		16,773,946
MASTR Adjustable Rate Mortgages Trust, Series 2003-6, Class 4A2
5.03%		01/25/34	²		182,731		183,991
MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Class 3A7
2.62%		11/21/34	²		60,000		61,560
MASTR Adjustable Rate Mortgages Trust, Series 2004-5, Class 3A1
3.06%		06/25/34	²		1,665		1,571


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
MASTR Adjustable Rate Mortgages Trust, Series 2007-3, Class 22A5
0.56%		05/25/47	²	$	728,850	$	106,098
MASTR Asset Backed Securities Trust, Series 2006-HE4, Class A3
0.37%		11/25/36	²		23,882,637		9,642,961
MASTR Asset Backed Securities Trust, Series 2006-HE4, Class A4
0.43%		11/25/36	²		6,634,066		2,706,254
MASTR Asset Backed Securities Trust, Series 2007-HE1, Class A3
0.43%		05/25/37	²		26,441,000		12,872,021
MASTR Asset Backed Securities Trust, Series 2007-HE1, Class A4
0.50%		05/25/37	²		19,985,500		9,881,461
MASTR Asset Securitization Trust, Series 2002-8, Class 1A1
5.50%		12/25/17			24,329		25,135
MASTR Seasoned Securities Trust, Series 2004-1, Class 4A1
2.78%		10/25/32	²		49,500		47,376
MASTR Seasoned Securities Trust, Series 2004-2, Class A2
6.50%		08/25/32			2,260,278		2,405,957
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-1, Class A2C
0.47%		04/25/37	²		49,075,833		24,844,297
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-2, Class A2B
0.39%		05/25/37	²		19,878,029		11,164,723
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-2, Class A2C
0.46%		05/25/37	²		65,551,000		32,885,003
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-2, Class A2D
0.54%		05/25/37	²		30,000,000		15,241,785
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-3, Class A2C
0.40%		06/25/37	²		18,116,200		8,507,775
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-3, Class A2D
0.47%		06/25/37	²		34,732,000		15,859,465
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-4, Class 2A3
0.38%		07/25/37	²		41,375,000		20,197,910
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-5, Class 2A2
1.22%		10/25/37	²		24,708,472		15,313,992
Merrill Lynch First Franklin Mortgage, Series 2007-1, Class A2B
0.39%		04/25/37	²		20,462,899		10,250,060


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Merrill Lynch Mortgage Backed Securities Trust, Series 2007-2, Class 1A1
2.55%		08/25/36	²	$	2,607,309	$	2,145,144
Merrill Lynch Mortgage Investors, Inc., Series 2005-A10, Class A
0.43%		02/25/36	²		36,088		27,780
Merrill Lynch Mortgage Investors, Inc., Series 2006-WMC2, Class A2B (STEP)
5.61%		03/25/37			39,801,407		14,927,597
Merrill Lynch Mortgage Investors, Inc., Series 2006-WMC2, Class A2D (STEP)
5.90%		03/25/37			30,038,299		11,392,821
Mid-State Trust, Series 11, Class A1
4.86%		07/15/38			435,567		450,310
Mid-State Trust, Series 2004-1, Class A
6.00%		08/15/37			646,876		688,851
Mid-State Trust, Series 2005-1, Class A
5.74%		01/15/40			28,646,010		30,390,065
Mid-State Trust, Series 2006-1, Class A
5.79%		10/15/40	³		19,507,568		20,737,344
Mid-State Trust, Series 6, Class A1
7.34%		07/01/35			58,650		61,032
Morgan Stanley ABS Capital I, Series 2006-HE1, Class A4
0.51%		01/25/36	²		4,800,000		2,652,161
Morgan Stanley ABS Capital I, Series 2006-HE5, Class A2C
0.36%		08/25/36	²		7,996,244		4,653,661
Morgan Stanley Home Equity Loan Trust, Series 2007-1, Class A2
0.32%		12/25/36	²		6,533,853		3,737,096
Morgan Stanley Mortgage Loan Trust, Series 2004-11AR, Class 1A1
0.54%		01/25/35	²		662,945		570,016
Morgan Stanley Mortgage Loan Trust, Series 2004-8AR, Class 4A1
2.82%		10/25/34	²		321,594		307,816
Morgan Stanley Mortgage Loan Trust, Series 2006-7, Class 5A2
5.96%		06/25/36	²		274,568		161,006
Morgan Stanley Mortgage Loan Trust, Series 2007-2AX, Class 2A1
0.31%		12/25/36	²		9,213,725		4,119,194
Morgan Stanley Mortgage Loan Trust, Series 2007-6XS, Class 1A2S (STEP)
5.50%		02/25/47			1,038,896		1,020,261
Morgan Stanley Mortgage Loan Trust, Series 2007-7AX, Class 2A1
0.34%		04/25/37	²		8,801,327		3,885,500
Morgan Stanley Reremic Trust, Series 2010-R4, Class 1B
0.57%		01/26/36	^2,3		7,700,000		6,983,307


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
MortgageIT Trust, Series 2005-4, Class A1
0.50%		10/25/35	²	$	3,263,992	$	2,667,550
MortgageIT Trust, Series 2005-5, Class A1
0.48%		12/25/35	²		1,235,384		864,790
Nationstar Home Equity Loan Trust, Series 2007-C, Class 2AV4
0.47%		06/25/37	²		7,760,000		3,479,184
New Century Home Equity Loan Trust, Series 2005-2, Class A2C
0.52%		06/25/35	²		3,275,820		3,234,314
New Century Home Equity Loan Trust, Series 2005-C, Class A2D
0.56%		12/25/35	²		18,000,000		9,297,814
Newcastle Mortgage Securities Trust, Series 2006-1, Class A4
0.50%		03/25/36	²		65,579,000		57,721,849
Newcastle Mortgage Securities Trust, Series 2007-1, Class 2A3
0.45%		04/25/37	²		17,117,000		7,890,595
Nomura Asset Acceptance Corp., Series 2006-AR4, Class A1A
0.39%		12/25/36	²		676,552		380,547
Oakwood Mortgage Investors, Inc., Series 1998-A, Class A4
6.20%		05/15/28			2,611		2,635
Oakwood Mortgage Investors, Inc., Series 1998-B, Class A4
6.35%		03/15/17			19,330		19,698
Option One Mortgage Loan Trust, Series 2007-1, Class 2A4
0.44%		01/25/37	²		6,000,000		2,884,338
Ownit Mortgage Loan Asset Backed Certificates, Series 2006-4, Class A2D
0.46%		05/25/37	²		36,886,000		15,160,828
Park Place Securities, Inc., Series 2004-MHQ1, Class M1
0.92%		12/25/34	²		5,754,838		5,735,456
Popular ABS Mortgage Pass-Through Trust, Series 2005-3, Class AF6 (STEP)
4.76%		07/25/35			2,961,760		3,001,113
Popular ABS Mortgage Pass-Through Trust, Series 2005-6, Class A5 (STEP)
5.18%		01/25/36			22,910,000		15,505,683
Popular ABS Mortgage Pass-Through Trust, Series 2007-A, Class A3
0.53%		06/25/47	²		23,015,500		11,849,530
Residential Accredit Loans, Inc., Series 2003-QS3, Class A4
5.50%		02/25/18			121,668		127,286
Residential Accredit Loans, Inc., Series 2005-QA12, Class CB1
3.72%		12/25/35	²		8,852,814		6,112,177


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Residential Accredit Loans, Inc., Series 2005-QA4, Class A41
3.32%		04/25/35	²	$	9,844,295	$	8,808,074
Residential Accredit Loans, Inc., Series 2005-QA7, Class A1
3.45%		07/25/35	²		596,809		387,553
Residential Accredit Loans, Inc., Series 2005-QA8, Class CB21
3.57%		07/25/35	²		7,114,801		4,562,575
Residential Accredit Loans, Inc., Series 2005-QO4, Class 2A1
0.50%		12/25/45	²		3,009,130		1,993,410
Residential Accredit Loans, Inc., Series 2005-QO5, Class A1
1.15%		01/25/46	²		15,925,654		10,083,957
Residential Accredit Loans, Inc., Series 2006-QA1, Class A21
3.93%		01/25/36	²		5,629,720		3,741,279
Residential Accredit Loans, Inc., Series 2006-QS10, Class AV (IO)
0.54%		08/25/36	^2,5		84,089,232		1,876,830
Residential Accredit Loans, Inc., Series 2006-QS12, Class 2A9
0.60%		09/25/36	²		723,800		366,368
Residential Accredit Loans, Inc., Series 2006-QS2, Class 1AV (IO)
0.48%		02/25/36	^2,5		284,377,685		5,550,768
Residential Accredit Loans, Inc., Series 2006-QS7, Class AV (IO)
0.67%		06/25/36	^2,5		146,228,473		3,656,151
Residential Accredit Loans, Inc., Series 2006-QS8, Class AV (IO)
0.76%		08/25/36	^2,5		358,507,111		11,527,079
Residential Accredit Loans, Inc., Series 2007-QS10, Class AV (IO)
0.44%		09/25/37	^2,5		208,657,003		3,787,438
Residential Accredit Loans, Inc., Series 2007-QS4, Class 3AV (IO)
0.37%		03/25/37	^2,5		137,521,082		2,077,325
Residential Accredit Loans, Inc., Series 2007-QS5, Class AV (IO)
0.23%		03/25/37	^2,5		172,242,167		1,698,824
Residential Accredit Loans, Inc., Series 2007-QS6, Class AV (IO)
0.33%		04/25/37	^2,5		380,748,626		5,127,542
Residential Accredit Loans, Inc., Series 2007-QS7, Class 2AV (IO)
0.37%		06/25/37	^2,5		110,798,856		1,616,888
Residential Accredit Loans, Inc., Series 2007-QS8, Class AV (IO)
0.39%		06/25/37	^2,5		282,474,230		4,704,467


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Residential Asset Mortgage Products, Inc., Series 2003-RS10, Class AI6 (STEP)
5.86%		11/25/33		$	483,961	$	484,074
Residential Asset Mortgage Products, Inc., Series 2003-RS11, Class AI6A (STEP)
5.98%		12/25/33			340,078		335,756
Residential Asset Mortgage Products, Inc., Series 2003-RS9, Class AI6A (STEP)
6.11%		10/25/33			40,309		39,779
Residential Asset Mortgage Products, Inc., Series 2004-RS12, Class MII2
1.02%		12/25/34	²		1,753,214		1,593,284
Residential Asset Mortgage Products, Inc., Series 2004-SL1, Class A8
6.50%		11/25/31			108,096		111,859
Residential Asset Mortgage Products, Inc., Series 2004-SL3, Class A2
6.50%		12/25/31			108,118		111,094
Residential Asset Securities Corp., Series 2005-EMX2, Class M3
0.74%		07/25/35	²		450,000		217,744
Residential Asset Securitization Trust, Series 2004-IP2, Class 1A1
2.67%		12/25/34	²		657,510		610,375
Residential Asset Securitization Trust, Series 2004-IP2, Class 2A1
2.73%		12/25/34	²		41,934		42,495
Residential Asset Securitization Trust, Series 2004-IP2, Class 3A1
2.69%		12/25/34	²		1,594,738		1,579,076
Residential Asset Securitization Trust, Series 2006-A7CB, Class 1A3
6.25%		07/25/36			2,810,825		1,955,286
Residential Funding Mortgage Securities I, Inc., Series 2005-SA5, Class 1A
3.14%		11/25/35	²		13,072,885		9,610,303
Residential Funding Mortgage Securities I, Inc., Series 2006-SA3, Class 3A1
6.01%		09/25/36	²		3,738,302		3,002,832
Residential Funding Mortgage Securities I, Inc., Series 2006-SA3, Class 4A1
6.06%		09/25/36	²		1,819,695		1,450,618
Residential Funding Mortgage Securities I, Inc., Series 2006-SA4, Class 2A1
3.76%		11/25/36	²		282,555		232,526
Residential Funding Mortgage Securities I, Inc., Series 2007-SA2, Class 2A2
3.31%		04/25/37	²		1,263,336		1,093,530
Residential Funding Mortgage Securities II, Inc., Series 1999-HI6, Class AI7 (STEP)
8.60%		09/25/29			215,424		203,930


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Residential Funding Mortgage Securities II, Inc., Series 2000-HI1, Class AI7 (STEP)
8.29%		02/25/25		$	154,581	$	153,271
Saxon Asset Securities Trust, Series 2005-2, Class M1
0.64%		10/25/35	²		28,660,619		27,748,007
Saxon Asset Securities Trust, Series 2007-1, Class A2C
0.37%		01/25/47	²		13,135,000		8,189,695
Saxon Asset Securities Trust, Series 2007-3, Class 2A3
0.62%		09/25/47	²		32,174,000		14,966,997
Securitized Asset Backed Receivables LLC Trust 2007-BR5 A2A
0.35%		05/25/37	²		34,176,329		18,148,041
Securitized Asset Backed Receivables LLC Trust, Series 2005-FR3, Class M1
0.92%		04/25/35	²		2,940,170		2,724,538
Securitized Asset Backed Receivables LLC Trust, Series 2007-BR2, Class A2
0.45%		02/25/37	²		78,231,194		32,468,644
Securitized Asset Backed Receivables LLC Trust, Series 2007-BR3, Class A2B
0.44%		04/25/37	²		50,701,434		23,850,664
Securitized Asset Backed Receivables LLC Trust, Series 2007-NC1, Class A2B
0.37%		12/25/36	²		55,074,330		26,494,691
Securitized Asset Backed Receivables LLC Trust, Series 2007-NC2, Class A2B
0.36%		01/25/37	²		160,000		69,051
Securitized Asset Backed Receivables LLC, Series 2007-BR1, Class A2A
0.33%		02/25/37	²		10,155,312		5,239,014
Securitized Asset Backed Receivables LLC, Series 2007-BR1, Class A2B
0.49%		02/25/37	²		49,732,760		25,765,498
Securitized Asset Backed Receivables LLC, Series 2007-BR5, Class A2C
0.57%		05/25/37	²		22,000,000		10,065,392
SG Mortgage Securities Trust, Series 2006-FRE1, Class A1B
0.49%		02/25/36	²		2,459,703		1,390,931
SG Mortgage Securities Trust, Series 2006-FRE1, Class A2B
0.40%		02/25/36	²		28,578,398		15,761,444
SG Mortgage Securities Trust, Series 2007-NC1, Class A2
0.46%		12/25/36	^2,3		15,138,770		7,246,520
Soundview Home Equity Loan Trust, Series 2006-WF2, Class A2C
0.36%		12/25/36	²		26,596,844		25,586,449


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Soundview Home Equity Loan Trust, Series 2007-NS1, Class A4
0.52%		01/25/37	^2,†	$	12,405,000	$	6,233,527
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-14, Class 1A
2.85%		10/25/34	²		417,836		393,926
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-20, Class 1A2
2.83%		01/25/35	²		1,733,812		1,464,302
Structured Adjustable Rate Mortgage Loan Trust, Series 2007-4, Class 1A1
0.46%		05/25/37	²		5,378,546		3,093,955
Structured Adjustable Rate Mortgage Loan Trust, Series 2007-9, Class 2A1
4.93%		10/25/47	²		2,354,890		1,432,630
Structured Asset Mortgage Investments, Inc., Series 2005-AR7, Class 1A1
2.47%		12/27/35	²		2,755,022		1,796,530
Structured Asset Mortgage Investments, Inc., Series 2006-AR3, Class 24A1
2.34%		05/25/36	²		990,993		618,926
Structured Asset Mortgage Investments, Inc., Series 2007-AR6, Class A1
1.65%		08/25/47	²		117,302,152		76,650,070
Structured Asset Securities Corp., Series 1997-2, Class 2A4
7.25%		03/28/30			3,985		4,047
Structured Asset Securities Corp., Series 2001-15A, Class 4A1
2.56%		10/25/31	²		12,235		12,303
Structured Asset Securities Corp., Series 2003-26A, Class 3A5
2.80%		09/25/33	²		836,214		830,104
Structured Asset Securities Corp., Series 2003-34A, Class 5A4
2.78%		11/25/33	²		5,594,858		5,703,448
Structured Asset Securities Corp., Series 2003-7H, Class A12
6.50%		03/25/33			10,444		11,042
Structured Asset Securities Corp., Series 2005-WF4, Class A4
0.58%		11/25/35	²		23,968,752		23,855,523
Structured Asset Securities Corp., Series 2006-WF1, Class A5
0.52%		02/25/36	²		28,421,000		27,770,955
Structured Asset Securities Corp., Series 2006-WF2, Class A3
0.37%		07/25/36	²		19,276,240		18,903,385
Structured Asset Securities Corp., Series 2006-WF2, Class A4
0.53%		07/25/36	²		43,826,000		39,531,271


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Structured Asset Securities Corp., Series 2006-WF3, Class A3
0.37%		09/25/36	²	$	166,989	$	159,705
Structured Asset Securities Corp., Series 2007-BC4, Class A3
0.47%		11/25/37	²		8,837,355		8,653,676
Structured Asset Securities Corp., Series 2007-EQ1, Class A4
0.47%		03/25/37	²		26,325,800		13,650,112
Suntrust Adjustable Rate Mortgage Loan Trust, Series 2007-3, Class 1A1
3.15%		06/25/37	²		17,219,259		13,133,997
Thornburg Mortgage Securities Trust, Series 2004-4, Class 2A
2.23%		12/25/44	²		442,168		438,297
Vanderbilt Acquisition Loan Trust, Series 2002-1, Class A4
6.57%		05/07/27	²		3,136,689		3,299,737
Wachovia Mortgage Loan Trust LLC, Series 2006-AMN1, Class A3
0.46%		08/25/36	²		2,096,880		982,040
WaMu Asset-Backed Certificates, Series 2007-HE1, Class 2A2
0.33%		01/25/37	²		6,767,822		3,114,207
WaMu Asset-Backed Certificates, Series 2007-HE1, Class 2A3
0.37%		01/25/37	²		61,675,780		28,520,176
WaMu Asset-Backed Certificates, Series 2007-HE1, Class 2A4
0.45%		01/25/37	²		20,673,302		9,653,109
WaMu Asset-Backed Certificates, Series 2007-HE2, Class 2A4
0.58%		04/25/37	²		1,728,096		801,380
WaMu Mortgage Pass-Through Certificates, Series 2002-AR18, Class A
2.40%		01/25/33	²		21,739		21,970
WaMu Mortgage Pass-Through Certificates, Series 2003-AR6, Class A1
2.44%		06/25/33	²		60,425		62,331
WaMu Mortgage Pass-Through Certificates, Series 2004-AR10, Class A1B
0.61%		07/25/44	²		528,888		499,331
WaMu Mortgage Pass-Through Certificates, Series 2004-AR3, Class A2
2.58%		06/25/34	²		183,633		187,707
WaMu Mortgage Pass-Through Certificates, Series 2004-AR6, Class A
0.61%		05/25/44	²		175,555		162,111
WaMu Mortgage Pass-Through Certificates, Series 2005-AR11, Class A1A
0.54%		08/25/45	²		103,322,658		94,612,507


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
WaMu Mortgage Pass-Through Certificates, Series 2005-AR12, Class 1A6
2.49%		10/25/35	²	$	310,000	$	284,870
WaMu Mortgage Pass-Through Certificates, Series 2005-AR14, Class 2A1
4.95%		12/25/35	²		16,027,651		15,424,587
WaMu Mortgage Pass-Through Certificates, Series 2005-AR15, Class A1A2
0.50%		11/25/45	²		1,585,934		1,296,993
WaMu Mortgage Pass-Through Certificates, Series 2005-AR17, Class A1A2
0.51%		12/25/45	²		16,459,118		14,684,232
WaMu Mortgage Pass-Through Certificates, Series 2005-AR18, Class 1A3A
2.46%		01/25/36	²		340,000		314,549
WaMu Mortgage Pass-Through Certificates, Series 2005-AR19, Class A1A2
0.51%		12/25/45	²		10,237,092		9,336,315
WaMu Mortgage Pass-Through Certificates, Series 2005-AR2, Class 2A1A
0.53%		01/25/45	²		3,609,474		3,482,049
WaMu Mortgage Pass-Through Certificates, Series 2006-AR1, Class 2A1A
1.22%		01/25/46	²		44,802,967		42,540,215
WaMu Mortgage Pass-Through Certificates, Series 2006-AR16, Class 3A1
4.91%		12/25/36	²		2,732,482		2,459,698
WaMu Mortgage Pass-Through Certificates, Series 2006-AR3, Class A1A
1.15%		02/25/46	²		11,841,702		10,591,982
WaMu Mortgage Pass-Through Certificates, Series 2006-AR7, Class 2A
1.13%		07/25/46	²		6,382,212		4,722,250
WaMu Mortgage Pass-Through Certificates, Series 2007-HY1, Class 1A1
2.54%		02/25/37	²		3,003,700		2,201,550
WaMu Mortgage Pass-Through Certificates, Series 2007-HY1, Class 4A1
2.71%		02/25/37	²		1,259,962		946,039
WaMu Mortgage Pass-Through Certificates, Series 2007-HY7, Class 4A2
5.19%		07/25/37	²		1,069,941		970,418
WaMu Mortgage Pass-Through Certificates, Series 2007-OA3, Class 2A
0.92%		04/25/47	²		203,856		133,114
WaMu Mortgage Pass-Through Certificates, Series 2007-OA4, Class 1A
0.92%		05/25/47	²		2,546,804		1,969,991
WaMu Mortgage Pass-Through Certificates, Series 2007-OA5, Class 1A
0.90%		06/25/47	²		13,277,972		10,150,306


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
WaMu Mortgage Pass-Through Certificates, Series 2007-OA6, Class 1A
0.96%		07/25/47	²	$	2,242,462	$	1,667,871
Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2005-3, Class 2A3
0.77%		05/25/35	²		11,482,993		8,473,415
Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2005-4, Class CB13
0.72%		06/25/35	²		16,382,163		11,432,440
Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2006-AR2, Class A1A
1.09%		04/25/46	²		12,761,164		7,107,124
Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2006-AR3, Class A1A
1.12%		05/25/46	²		36,593,130		22,489,534
Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2006-AR4, Class DA
1.12%		06/25/46	²		6,481,236		2,884,889
Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2006-AR7, Class A1A
1.07%		09/25/46	²		12,045,722		5,482,628
Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2006-AR8, Class 2A
1.00%		10/25/46	²		1,786,629		931,220
Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2006-AR9, Class 2A
0.99%		11/25/46	²		55,355,008		25,905,036
Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2007-1, Class 2A1
6.00%		01/25/22			1,211,383		1,218,054
Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2007-OA1, Class 2A
0.87%		12/25/46	²		11,643,821		5,238,582
Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2007-OA2, Class 2A
0.85%		01/25/47	²		28,832,177		13,334,608
Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2007-OA3, Class 2A
0.90%		02/25/47	^2,†		52,542,892		24,892,216
Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2007-OA3, Class 4A1
0.92%		04/25/47	²		22,052,484		15,053,511


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Washington Mutual Mortgage Pass-Through Certificates 2006-AR4 1A1A
1.09%		05/25/46	²	$	2,016,308	$	1,763,037
Washington Mutual Mortgage Pass-Through Certificates 2007-HY6 2A1
4.98%		06/25/37	²		1,042,437		789,066
Washington Mutual Mortgage Pass-Through Certificates, Series 2007-HE2, Class 2A3
0.47%		04/25/37	²		39,208,067		17,927,732
Washington Mutual Mortgage Pass-Through Certificates, Series 2007-OA1, Class A1A
0.85%		02/25/47	²		5,124,090		3,454,664
Washington Mutual MSC Mortgage Pass-Through CTFS, Series 2002-AR1, Class 1A1
2.50%		11/25/30	²		885,649		886,633
Wells Fargo Home Equity Trust, Series 2004-2, Class AI6
5.00%		05/25/34	²		12,617,517		12,744,278
Wells Fargo Home Equity Trust, Series 2005-3, Class AII3
0.56%		11/25/35	²		13,045,920		13,025,803
Wells Fargo Home Equity Trust, Series 2006-1, Class A3
0.37%		05/25/36	²		3,723,809		3,682,698
Wells Fargo Home Equity Trust, Series 2007-2, Class A1
0.31%		04/25/37	²		3,889,748		3,802,575
Wells Fargo Mortgage Backed Securities Trust, Series 2003-17, Class 2A10
5.50%		01/25/34			14,261,845		15,035,044
Wells Fargo Mortgage Backed Securities Trust, Series 2004-L, Class A8
4.76%		07/25/34	²		1,580,751		1,544,436
Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR10, Class 5A1
2.61%		07/25/36	²		800,291		686,820
Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR10, Class 5A3
2.61%		07/25/36	²		580,458		461,800
Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR10, Class 5A6
2.61%		07/25/36	²		2,464,880		1,965,798
Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR17, Class A1
2.61%		10/25/36	²		6,409,682		5,604,427

							3,730,981,502

U.S. Agency Mortgage-Backed — 26.69%
Fannie Mae Pool (TBA)
2.50%		11/25/27			132,965,000		139,488,595
3.00%		11/25/42			125,670,000		132,365,855
3.50%		12/25/42			322,715,000		344,649,535


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool 190375
5.50%		11/01/36		$	7,712,802	$	8,468,846
Fannie Mae Pool 233672
2.62%		09/01/23	²		17,207		18,505
Fannie Mae Pool 254232
6.50%		03/01/22			65,142		73,260
Fannie Mae Pool 308798
2.25%		04/01/25	²		5,125		5,504
Fannie Mae Pool 312155
2.17%		03/01/25	²		11,025		11,100
Fannie Mae Pool 313182
7.50%		10/01/26			8,230		9,838
Fannie Mae Pool 467243
4.55%		01/01/21			2,705,127		3,181,532
Fannie Mae Pool 468587
3.84%		08/01/21			832,495		944,308
Fannie Mae Pool 545191
7.00%		09/01/31			10,531		11,727
Fannie Mae Pool 545831
6.50%		08/01/17			39,724		43,221
Fannie Mae Pool 555284
7.50%		10/01/17			3,461		3,842
Fannie Mae Pool 613142
7.00%		11/01/31			59,204		67,911
Fannie Mae Pool 625666
7.00%		01/01/32			24,238		29,076
Fannie Mae Pool 633698
7.50%		02/01/31			43,827		53,739
Fannie Mae Pool 637093
8.50%		03/01/32			13,515		14,779
Fannie Mae Pool 642322
2.67%		05/01/32	²		1,175		1,257
Fannie Mae Pool 646884
2.16%		05/01/32	²		7,846		7,952
Fannie Mae Pool 655928
7.00%		08/01/32			421,063		492,577
Fannie Mae Pool 725257
5.50%		02/01/34			5,188,476		5,758,687
Fannie Mae Pool 734922
4.50%		09/01/33			9,189,711		10,254,220
Fannie Mae Pool 735207
7.00%		04/01/34			55,510		61,906
Fannie Mae Pool 735224
5.50%		02/01/35			25,231,399		28,004,318
Fannie Mae Pool 735646
4.50%		07/01/20			6,937,210		7,509,994
Fannie Mae Pool 735651
4.50%		06/01/35			26,552,616		28,790,328


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool 735686
6.50%		12/01/22		$	201,066	$	226,122
Fannie Mae Pool 740297
5.50%		10/01/33			13,546		15,035
Fannie Mae Pool 745592
5.00%		01/01/21			34,818		37,971
Fannie Mae Pool 817611
5.28%		11/01/35	²		2,179,568		2,355,406
Fannie Mae Pool 839109
5.25%		11/01/35	²		11,400		12,331
Fannie Mae Pool 841031
5.25%		11/01/35	²		162,560		175,901
Fannie Mae Pool 844773
5.22%		12/01/35	²		40,805		44,161
Fannie Mae Pool 888412
7.00%		04/01/37			3,578,951		4,040,380
Fannie Mae Pool 889125
5.00%		12/01/21			21,367,821		23,179,078
Fannie Mae Pool 889184
5.50%		09/01/36			22,555,918		25,034,804
Fannie Mae Pool 895606
5.72%		06/01/36	²		121,144		132,125
Fannie Mae Pool 908408
5.50%		04/01/37	²		9,557,037		10,328,862
Fannie Mae Pool 918445
5.80%		05/01/37	²		320,847		349,930
Fannie Mae Pool 933033
6.50%		10/01/37			6,245,051		6,930,299
Fannie Mae Pool AB1613
4.00%		10/01/40			99,849,941		110,486,296
Fannie Mae Pool AB1803
4.00%		11/01/40			100,000,532		111,534,080
Fannie Mae Pool AB1960
4.00%		12/01/40			61,362,776		67,061,778
Fannie Mae Pool AB2051
3.50%		01/01/26			138,274,548		150,183,790
Fannie Mae Pool AB2127
3.50%		01/01/26			81,368,982		88,063,761
Fannie Mae Pool AB3679
3.50%		10/01/41			33,668,924		36,500,720
Fannie Mae Pool AB3864
3.50%		11/01/41			27,326,761		29,659,295
Fannie Mae Pool AB3866
3.50%		11/01/41			100,672,753		108,419,834
Fannie Mae Pool AB4044
3.50%		12/01/41			42,187,352		45,433,799
Fannie Mae Pool AB4045
3.50%		12/01/41			27,547,844		29,985,336


Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool AD0194
5.94%		11/01/17	$	868,856	$	1,051,520
Fannie Mae Pool AD0791
4.76%		02/01/20		19,173,587		22,595,355
Fannie Mae Pool AD0849
4.25%		02/01/20		29,901,703		34,481,745
Fannie Mae Pool AD0850
4.31%		02/01/20		50,183,469		57,796,595
Fannie Mae Pool AE0482
5.50%		01/01/38		52,631,213		58,415,360
Fannie Mae Pool AE0600
3.98%		11/01/20		41,811,906		47,870,865
Fannie Mae Pool AE0605
4.67%		07/01/20		33,225,327		39,138,308
Fannie Mae Pool AE0918
3.66%		10/01/20		6,330,763		7,134,569
Fannie Mae Pool AH3429
3.50%		01/01/26		69,892,969		75,949,320
Fannie Mae Pool AH3780
4.00%		02/01/41		39,691,405		44,269,208
Fannie Mae Pool AH4793
4.00%		02/01/41		115,810,725		126,566,522
Fannie Mae Pool AH4815
3.50%		02/01/26		25,222		27,395
Fannie Mae Pool AJ1404
4.00%		09/01/41		74,831,495		82,054,486
Fannie Mae Pool AL0209
4.50%		05/01/41		65,670,122		74,303,254
Fannie Mae Pool AL0290
4.45%		04/01/21		33,585,309		39,411,914
Fannie Mae Pool AL0600
4.30%		07/01/21		5,064,977		5,931,945
Fannie Mae Pool AL0834
4.06%		10/01/21		40,442,912		46,762,215
Fannie Mae Pool AL0851
6.00%		10/01/40		163,202,405		180,583,461
Fannie Mae Pool AL1410
4.50%		12/01/41		95,155,286		103,531,292
Fannie Mae Pool AL1445
4.34%		11/01/21		82,809,606		96,756,589
Fannie Mae Pool FN0000
3.58%		09/01/20		11,433,899		12,720,313
Fannie Mae Pool FN0001
3.76%		12/01/20		26,482,231		29,987,154
Fannie Mae Pool FN0003
4.30%		01/01/21		9,113,117		10,503,520
Fannie Mae Pool FN0005
3.38%		11/01/20		44,209,182		49,070,620


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool FN0010
3.84%		09/01/20		$	352,214	$	398,124
Fannie Mae REMICS, Series 2006-49, Class SE
28.13%		04/25/36	²		12,129,072		20,761,221
Fannie Mae REMICS, Series 2007-17, Class SI (IO)
6.18%		03/25/37	²		23,806,438		2,941,509
Fannie Mae REMICS, Series 2010-116, Class SE (IO)
6.38%		10/25/40	²		31,681,518		4,263,927
Fannie Mae REMICS, Series 2011-14, Class PB
5.00%		03/25/41			7,438,423		8,866,957
Fannie Mae Whole Loan, Series 2003-W2, Class 2A9
5.90%		07/25/42			64,510		74,834
Fannie Mae, Series 1988-28, Class H
9.05%		12/25/18			1,679		1,886
Fannie Mae, Series 1989-27, Class Y
6.90%		06/25/19			787		851
Fannie Mae, Series 1991-65, Class Z
6.50%		06/25/21			16,146		17,901
Fannie Mae, Series 1992-123, Class Z
7.50%		07/25/22			2,639		3,164
Fannie Mae, Series 1993-132, Class D (PO)
0.00%		10/25/22	⁹		136,100		118,915
Fannie Mae, Series 1993-199, Class SD (IO)
0.88%		10/25/23	²		306,049		4,668
Fannie Mae, Series 1993-29, Class PK
7.00%		03/25/23			47,740		53,323
Fannie Mae, Series 1994-55, Class H
7.00%		03/25/24			61,252		70,937
Fannie Mae, Series 1997-34, Class SA
6.06%		10/25/23	²		14,518		17,050
Fannie Mae, Series 1999-11, Class Z
5.50%		03/25/29			192,274		214,242
Fannie Mae, Series 2001-52, Class YZ
6.50%		10/25/31			180,063		207,917
Fannie Mae, Series 2003-106, Class WG
4.50%		11/25/23			32,004,000		35,612,627
Fannie Mae, Series 2005-104, Class NI (IO)
6.48%		03/25/35	²		74,334,086		12,241,441
Fannie Mae, Series 2005-117, Class LC
5.50%		11/25/35			52,927,448		57,228,332
Fannie Mae, Series 2005-92, Class US (IO)
5.88%		10/25/25	²		29,233,722		4,314,345
Fannie Mae, Series 2006-18, Class PD
5.50%		08/25/34			1,165,000		1,254,722


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae, Series 2006-4, Class WE
4.50%		02/25/36		$	400,000	$	424,916
Fannie Mae, Series 2006-80, Class PG
6.00%		06/25/35			23,300,000		24,286,056
Fannie Mae, Series 2007-34, Class SB (IO)
5.89%		04/25/37	²		27,142,585		3,878,941
Fannie Mae, Series 2008-24, Class NA
6.75%		06/25/37			10,166,251		11,348,891
Fannie Mae, Series 2010-17, Class SB (IO)
6.13%		03/25/40	²		37,690,717		6,006,570
Fannie Mae, Series 2010-43, Class KS (IO)
6.20%		05/25/40	²		71,550,111		11,922,602
Fannie Mae, Series 2010-99, Class NI (IO)
6.00%		09/25/40			67,237,311		8,524,084
Fannie Mae, Series 2011-101, Class HE
4.00%		10/25/41			10,100,000		10,998,525
Fannie Mae, Series 2011-111, Class DB
4.00%		11/25/41			24,977,334		26,280,566
Fannie Mae, Series 2012-M12, Class 1A
2.84%		08/25/22	²		149,409,263		157,066,488
Fannie Mae, Series G92-36, Class Z
7.00%		07/25/22			513		568
Fannie Mae, Series G93-21, Class Z
7.20%		05/25/23			10,354		11,861
Freddie Mac Gold Pool A14189
4.00%		10/01/33			127,461		137,756
Freddie Mac Gold Pool A24156
6.50%		10/01/31			1,066,043		1,253,571
Freddie Mac Gold Pool A25162
5.50%		05/01/34			10,532,185		11,602,683
Freddie Mac Gold Pool A39012
5.50%		06/01/35			63,668		70,139
Freddie Mac Gold Pool A54856
5.00%		01/01/34			14,082,292		15,411,622
Freddie Mac Gold Pool A61164
5.00%		04/01/36			103,403		112,883
Freddie Mac Gold Pool A93991
4.50%		09/01/40			93,343,589		104,757,348
Freddie Mac Gold Pool A97038
4.00%		02/01/41			36,132,980		39,609,367
Freddie Mac Gold Pool C01492
5.00%		02/01/33			3,892,673		4,258,068
Freddie Mac Gold Pool C46104
6.50%		09/01/29			66,678		76,169
Freddie Mac Gold Pool C55789
7.50%		10/01/27			28,829		34,894
Freddie Mac Gold Pool C90573
6.50%		08/01/22			233,608		261,204


Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Gold Pool E02402
6.00%		10/01/22	$	68,562	$	76,108
Freddie Mac Gold Pool G00992
7.00%		11/01/28		3,897		4,683
Freddie Mac Gold Pool G01515
5.00%		02/01/33		4,240,907		4,638,989
Freddie Mac Gold Pool G01601
4.00%		09/01/33		647,177		699,450
Freddie Mac Gold Pool G01611
4.00%		09/01/33		174,959		189,090
Freddie Mac Gold Pool G02579
5.00%		12/01/34		5,730,304		6,271,229
Freddie Mac Gold Pool G02884
6.00%		04/01/37		19,508,827		21,680,926
Freddie Mac Gold Pool G02955
5.50%		03/01/37		15,179,234		17,023,443
Freddie Mac Gold Pool G03357
5.50%		08/01/37		6,045,489		6,651,454
Freddie Mac Gold Pool G03676
5.50%		12/01/37		14,470,122		16,182,505
Freddie Mac Gold Pool G03783
5.50%		01/01/38		7,668,721		8,443,381
Freddie Mac Gold Pool G03985
6.00%		03/01/38		93,627		103,651
Freddie Mac Gold Pool G04438
5.50%		05/01/38		29,713,448		33,286,356
Freddie Mac Gold Pool G04703
5.50%		08/01/38		35,373,753		38,787,160
Freddie Mac Gold Pool G04706
5.50%		09/01/38		553,876		621,169
Freddie Mac Gold Pool G05866
4.50%		02/01/40		53,965,387		60,564,104
Freddie Mac Gold Pool G06242
4.50%		09/01/40		119,747,597		134,389,955
Freddie Mac Gold Pool G06257
4.50%		02/01/41		111,520,616		125,157,004
Freddie Mac Gold Pool G06354
4.00%		04/01/41		136,764,489		152,084,866
Freddie Mac Gold Pool G06498
4.00%		04/01/41		65,479,732		72,814,781
Freddie Mac Gold Pool G06499
4.00%		03/01/41		31,593,059		34,895,170
Freddie Mac Gold Pool G06500
4.00%		04/01/41		92,758,231		101,682,583
Freddie Mac Gold Pool G06620
4.50%		07/01/41		83,784,922		93,937,300
Freddie Mac Gold Pool G11707
6.00%		03/01/20		2,287,705		2,469,524


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Gold Pool G12393
5.50%		10/01/21		$	17,103,310	$	18,503,643
Freddie Mac Gold Pool G12399
6.00%		09/01/21			9,431		10,390
Freddie Mac Gold Pool G12824
6.00%		08/01/22			6,681,540		7,499,935
Freddie Mac Gold Pool G12909
6.00%		11/01/22			17,572,090		19,719,688
Freddie Mac Gold Pool G13032
6.00%		09/01/22			4,097,420		4,593,689
Freddie Mac Gold Pool G13058
4.50%		10/01/20			13,023,489		14,000,832
Freddie Mac Gold Pool H00790
5.50%		05/01/37			202,378		218,815
Freddie Mac Gold Pool H05069
5.50%		05/01/37			15,546,049		16,815,238
Freddie Mac Gold Pool H09082
6.50%		09/01/37			55,746		61,669
Freddie Mac Gold Pool J13884
3.50%		12/01/25			157,277,371		169,111,784
Freddie Mac Gold Pool Q04090
4.00%		10/01/41			42,235,959		46,967,237
Freddie Mac Gold Pool Q04091
4.00%		10/01/41			205,324,357		225,078,798
Freddie Mac Gold Pool Q09896
3.50%		08/01/42			38,072,817		40,812,274
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K013, Class A2
3.97%		01/25/21	²		22,640,000		26,289,942
Freddie Mac Non Gold Pool 1B1928
2.87%		08/01/34	²		10,400		11,158
Freddie Mac Non Gold Pool 1B3413
5.92%		05/01/37	²		19,008		20,631
Freddie Mac Non Gold Pool 1J0045
5.06%		01/01/36	²		120,039		129,149
Freddie Mac Non Gold Pool 781415
2.36%		04/01/34	²		3,435,145		3,672,101
Freddie Mac Non Gold Pool 781469
2.36%		04/01/34	²		2,695,948		2,889,817
Freddie Mac Non Gold Pool 788498
2.56%		02/01/30	²		289,583		309,912
Freddie Mac Non Gold Pool 847288
2.44%		05/01/34	²		4,056,573		4,337,948
Freddie Mac REMICS, Series 3019, Class SW (IO)
6.98%		08/15/35	²		11,871,754		1,857,805
Freddie Mac REMICS, Series 3300, Class SA (IO)
6.98%		08/15/35	²		5,248,767		778,636


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac REMICS, Series 3425, Class SV (IO)
5.83%		08/15/35	²	$	15,114,798	$	1,855,473
Freddie Mac REMICS, Series 3891,
Class HS (IO)
5.73%		07/15/41	²		35,874,773		5,387,770
Freddie Mac, Series 1004, Class H
7.95%		10/15/20			474		531
Freddie Mac, Series 1073, Class G
7.00%		05/15/21			2,204		2,473
Freddie Mac, Series 1107, Class ZC
6.50%		07/15/21			9,385		10,436
Freddie Mac, Series 165, Class K
6.50%		09/15/21			286		311
Freddie Mac, Series 1980, Class Z
7.00%		07/15/27			289,819		338,078
Freddie Mac, Series 1983, Class Z
6.50%		12/15/23			152,993		172,536
Freddie Mac, Series 2043, Class CJ
6.50%		04/15/28			37,151		42,735
Freddie Mac, Series 2098, Class TZ
6.00%		01/15/28			1,026,509		1,081,719
Freddie Mac, Series 2209, Class TC
8.00%		01/15/30			191,596		218,318
Freddie Mac, Series 2433, Class SA
20.36%		02/15/32	²		9,694		14,386
Freddie Mac, Series 2481, Class AW
6.50%		08/15/32			174,435		197,814
Freddie Mac, Series 2642, Class BW (IO)
5.00%		06/15/23			38,886		4,219
Freddie Mac, Series 2929, Class PE
5.00%		05/15/33			1,354,963		1,390,740
Freddie Mac, Series 2971, Class AB
5.00%		05/15/20			9,109		9,940
Freddie Mac, Series 3063, Class YG
5.50%		11/15/35			8,794,000		10,413,244
Freddie Mac, Series 3067, Class SI (IO)
6.43%		11/15/35	²		47,410,977		8,196,661
Freddie Mac, Series 3210, Class PD
6.00%		08/15/35			360,000		395,855
Freddie Mac, Series 3345, Class FP
0.42%		11/15/36	²		25,755,593		25,789,817
Freddie Mac, Series 3345, Class PF
0.40%		05/15/36	²		26,722,385		26,703,299
Freddie Mac, Series 3707, Class EI (IO)
5.00%		12/15/38			69,196,577		9,948,060
Freddie Mac, Series 3752, Class XL
4.50%		11/15/40			66,277,000		75,133,854


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac, Series 3904, Class JB
4.50%		08/15/41		$	18,155,000	$	20,719,523
Freddie Mac, Series 3925, Class LB
4.50%		09/15/41			9,215,000		10,366,114
Freddie Mac, Series 3928, Class JD
4.00%		09/15/41			32,095,702		34,942,831
Freddie Mac, Series K020, Class A2
2.37%		05/25/40			110,205,000		112,960,125
Ginnie Mae I Pool 782817
4.50%		11/15/39			63,651,942		71,655,677
Ginnie Mae II (TBA)
3.00%		10/20/42			181,235,000		194,147,994
3.50%		10/20/42			95,355,000		104,324,320
Ginnie Mae II Pool 2631
7.00%		08/20/28			6,503		7,526
Ginnie Mae II Pool 80968
1.62%		07/20/34	²		43,170		45,332
Ginnie Mae II Pool 81267
1.62%		03/20/35	²		15,107		15,744
Ginnie Mae II Pool 8631
2.00%		05/20/25	²		13,019		13,604
Ginnie Mae II Pool 8644
2.50%		06/20/25	²		21,633		22,576
Ginnie Mae, Series 2000-22, Class SG (IO)
10.58%		05/16/30	²		711,566		119,610
Ginnie Mae, Series 2003-28, Class LI (IO)
5.50%		02/20/32			301,444		4,349
Ginnie Mae, Series 2003-86, Class ZK
5.00%		10/20/33			23,717,247		26,563,724
Ginnie Mae, Series 2005-78, Class ZA
5.00%		10/16/35			22,029,573		26,324,205
Ginnie Mae, Series 2007-35, Class PY (IO)
6.53%		06/16/37	²		64,550,665		12,025,744
Ginnie Mae, Series 2009-106, Class SD (IO)
6.03%		03/20/36	²		59,076,632		9,190,634
Ginnie Mae, Series 2009-106, Class XI (IO)
6.58%		05/20/37	²		164,019,389		27,651,373
Ginnie Mae, Series 2009-124, Class SC (IO)
6.26%		12/20/39	²		25,684,838		3,578,430
Ginnie Mae, Series 2010-4, Class SM (IO)
5.58%		01/16/40	²		54,495,954		6,456,632
Ginnie Mae, Series 2010-6, Class BS (IO)
6.28%		09/16/39	²		30,615,000		3,974,253
Ginnie Mae, Series 2011-50, Class PS (IO)
5.88%		02/20/41	²		123,245,115		19,917,633
NCUA Guaranteed Notes, Series 2010-C1, Class A2
2.90%		10/29/20			773,000		833,149


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
NCUA Guaranteed Notes, Series 2010-R1, Class 1A
0.68%		10/07/20	²	$	42,407,072	$	42,597,904
NCUA Guaranteed Notes, Series 2010-R3, Class 1A
0.79%		12/08/20	²		53,274,490		53,627,700
NCUA Guaranteed Notes, Series 2010-R3, Class 2A
0.79%		12/08/20	²		44,203,595		44,535,122
NCUA Guaranteed Notes, Series 2011-C1, Class 2A
0.76%		03/09/21	²		6,651,917		6,692,062

							5,931,399,827

Total Mortgage-Backed
(Cost $10,199,849,714)							10,919,260,448

MUNICIPAL BONDS — 1.92%*
California — 0.85%
Los Angeles Department of Water & Power, Build America Bonds
6.57%		07/01/45			40,650,000		58,714,454
Los Angeles Department of Water & Power, Build America Bonds, Series SY
6.01%		07/01/39			350,000		447,321
State of California, Build America Bonds
6.65%		03/01/22			315,000		378,876
7.30%		10/01/39			31,325,000		40,967,148
7.60%		11/01/40			39,650,000		54,432,313
State of California, Build America Bonds, Various Purpose
7.50%		04/01/34			3,885,000		5,124,548
7.55%		04/01/39			14,231,000		19,318,725
State of California, Taxable, Various Purpose
5.50%		03/01/16			8,450,000		9,554,669

							188,938,054

Illinois — 0.65%
State of Illinois, Build America Bonds
6.20%		07/01/21			30,175,000		33,911,269
7.35%		07/01/35			8,910,000		10,505,336
State of Illinois, Build America Bonds, Series S
6.63%		02/01/35			11,275,000		12,583,238
State of Illinois, Taxable Bonds
4.07%		01/01/14			1,425,000		1,475,359
5.67%		03/01/18			4,140,000		4,669,547
5.88%		03/01/19			35,000,000		39,397,050


Issues	Maturity Date			Principal Amount		Value
MUNICIPAL BONDS (continued)
Illinois (continued)
State of Illinois, Taxable-Pension
4.35%		06/01/18		$	6,125,000	$	6,385,556
5.10%		06/01/33			35,540,000		34,479,486

							143,406,841

New Jersey — 0.08%
New Jersey State Turnpike Authority A, Build
America Bonds, Taxable
7.10%		01/01/41			10,550,000		15,071,625
New Jersey State Turnpike Authority, Build
America Bonds
7.41%		01/01/40			2,495,000		3,684,142

							18,755,767

New York — 0.00%
City of New York, Build America Bonds
5.82%		10/01/31			220,000		250,672
City of New York, Build America Bonds, Series F1
6.65%		12/01/31			250,000		303,223
New York City Municipal Water Finance
Authority, Build America Bonds, Series SE
6.49%		06/15/42			400,000		472,712

							1,026,607

Texas — 0.34%
City of Houston Texas, Taxable Pension
Obligation, Series A
6.29%		03/01/32			60,750,000		74,760,773
County of Harris Texas, Prerefunded, Flood
Control Bonds, Series B
5.25%		10/01/20			7,000		7,338

							74,768,111

Total Municipal Bonds
(Cost $375,408,592)							426,895,380

U.S. AGENCY SECURITIES — 1.42%
U.S. Agency Securities — 1.42%
Federal Home Loan Bank
0.45%		07/30/14			36,800,000		36,824,141
Freddie Mac
0.28%		10/12/12	²		228,905,000		228,915,987
0.44%		11/18/13	²		50,000,000		50,197,419

Total U.S. Agency Securities
(Cost $315,699,350)							315,937,547


Issues	Maturity Date			Principal Amount/ Shares		Value
U.S. TREASURY SECURITIES — 21.46%
U.S. Treasury Bonds — 3.22%
U.S. Treasury Bonds
2.75%		08/15/42		$	447,885,000	$	440,536,999
3.13%		02/15/42			155,870,000		165,831,028
U.S. Treasury Notes (Strip Principal)
0.00%		11/15/27			158,200,000		109,286,617

							715,654,644

U.S. Treasury Notes — 18.24%
U.S. Treasury Notes
0.63%		08/31/17			660,690,000		661,205,999
0.75%		06/30/17			1,316,225,000		1,326,406,000
0.88%		01/31/17			993,050,000		1,008,287,061
1.75%		05/15/22			693,645,000		703,507,765
U.S. Treasury Notes - Treasury Inflation
Indexed Notes
0.63%		04/15/13	¹⁰		154,125,000		168,765,165
1.88%		07/15/13	¹⁰		30,000,000		38,549,742
2.13%		02/15/41	¹⁰		95,310,000		146,575,552

							4,053,297,284

Total U.S. Treasury Securities
(Cost $4,718,731,709)							4,768,951,928

Total Bonds – 98.32%
(Cost $20,681,532,777)							21,851,394,795

SHORT-TERM INVESTMENTS — 5.49%
Commercial Paper — 1.19%
Lloyds TSB Bank PLC (United Kingdom)
0.39%¹¹		10/25/12	⁴		97,840,000		97,818,341
0.43%¹¹		10/11/12	⁴		51,720,000		51,715,229
RBS Holdings USA, Inc.
0.32%¹¹		11/16/12			116,000,000		115,952,569

							265,486,139

Foreign Government Obligations — 1.95%
Japan Treasury Discount Bills (Japan)
0.10%¹¹		12/10/12	⁴		25,390,000,000		325,299,123
Mexico Cetes Discount Treasury Bills
(Mexico)
4.17%¹¹		12/13/12	⁴		13,989,000,000		107,697,395

							432,996,518

Money Market Fund — 2.30%
BlackRock Liquidity Funds
TempFund Portfolio
0.14%¹²					215,207,000		215,207,000
Dreyfus Cash Advantage Fund
0.12%^12,13					75,749,000		75,749,000

Issues

Maturity
Date

Principal
Amount/
Shares

Value

SHORT-TERM INVESTMENTS (continued)

Money Market Fund (continued)

DWS Money Market Series

Institutional Funds

0.15%¹²

219,933,000

510,889,000

Repurchase Agreements — 0.03%

Deutsche Bank AG (Dated 09/28/12, total to be received $8,000,133, (collateralized by

U.S. government sponsored agency obligations, 4.88%, due from 01/17/17, par and fair value of $6,860,000 and $8,160,756, respectively))

0.20%

10/01/12

8,000,000

U.S. Treasury Bills — 0.02%

U.S. Treasury Bills

0.10%¹¹

12/13/12

¹⁴

3,580,000

3,579,421

Total Short-Term Investments

(Cost $1,216,047,102)

1,220,951,078

Total Investments – 103.81%

(Cost $21,897,579,879)¹

23,072,345,873

Liabilities in Excess of Other

Assets – (3.81)%

(846,701,880

)

NET ASSETS – 100.00%

22,225,643,993


Currency Purchased			Currency Sold		Unrealized (Depreciation)
FOREIGN CURRENCY EXCHANGE CONTRACT
Forward currency contract to sell Japanese Yen on 12/10/12 at 78.85 Counterparty:
Barclays, Inc.
USD	214,707,394	JPY		16,930,000,000	$	(2,387,036	)
Forward currency contract to sell Japanese Yen on 12/10/12 at 78.85 Counterparty:
JPMorgan Chase & Co.
USD	107,290,286	JPY		8,460,000,000		(1,192,814	)
Forward currency contract to sell Mexican Peso on 12/13/12 at 13.12 Counterparty:
JPMorgan Chase & Co.
USD	106,633,229	MXP		1,398,900,000		(1,216,153	)

Net unrealized (depreciation)					$	(4,796,003	)


Contracts			Unrealized Appreciation
	FUTURES CONTRACTS: LONG POSITIONS
	1,138	U.S. Treasury Ten Year Note,
		Expiration December 2012	$	1,102,101
	791	U.S. Treasury Thirty Year Long Bond,
		Expiration December 2012		1,417,330

		Net unrealized appreciation	$	2,519,431


Expiration Date	Notional Amount (000’s)		(Depreciation)			Value
SWAPS: INTEREST RATE
The Fund pays a fixed rate equal to 2.48% semi-annually and the Fund receives from the counterparty a floating rate based on 3-month USD LIBOR quarterly. Counterparty: Barclays, Inc.
11/15/27	$	50,120	$	(1,098,108	)	$	(1,098,108	)
The Fund pays a fixed rate equal to 2.42% semi-annually and the Fund receives from the counterparty a floating rate based on 3-month USD LIBOR quarterly. Counterparty: Barclays, Inc.
11/15/27		49,760		(600,869	)		(600,869	)
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 2.72% quarterly.
Counterparty: Barclays, Inc.
02/17/42		45,000		(1,286,741	)		(1,286,741	)
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 2.72% quarterly.
Counterparty: Morgan Stanley
02/17/42		45,000		(1,286,741	)		(1,286,741	)
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 2.75% quarterly.
Counterparty: Barclays, Inc.
02/17/42		54,815		(1,871,556	)		(1,871,556	)
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 2.72% quarterly.
Counterparty: Citigroup, Inc.
08/15/42		53,985		(1,307,204	)		(1,307,204	)

	$	298,680	$	(7,451,219	)	$	(7,451,219	)


Expiration Date	Premiums Paid		Notional Amount (000’s)^a		(Depreciation)			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 Toll Brothers, Inc., 5.15%, due 05/15/15. Counterparty: Citigroup, Inc.
09/20/16	$	11,833	$	6,875	$	(32,328	)	$	(20,495	)
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Toll Brothers, Inc., 5.15%, due 05/15/15. Counterparty: CS First Boston
09/20/16		17,177		5,000		(32,083	)		(14,906	)
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 Goldman Sachs Group, Inc., 6.60%, due 01/15/12. Counterparty: Deutsche Bank AG
09/20/16		571,414		9,800		(331,080	)		240,334
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 Goldman Sachs Group, Inc., 6.60%, due 01/15/12. Counterparty: JPMorgan Chase & Co.
09/20/16		1,422,704		24,400		(824,322	)		598,382

	$	2,023,128	$	46,075	$	(1,219,813	)	$	803,315


	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: Barclays, Inc.
	10/12/52	$	1,238,971	$	15,430	$	656,759		$	1,895,730
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		7,780,345		13,830		(6,081,191	)		1,699,154
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, Inc.
	10/12/52		2,609,168		4,870		(2,010,840	)		598,328
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		896,662		1,630		(696,400	)		200,262
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		179,551		1,430		216,357			395,908
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, Inc.
	10/12/52		746,684		1,325		(583,895	)		162,789
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		67,241		960		50,705			117,946
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		450,474		805		(351,572	)		98,902
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		21,696		95		(10,024	)		11,672
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		1,804,706		3,260		(1,404,182	)		400,524
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		11,423,767		20,450		(8,911,280	)		2,512,487
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, Inc.
	10/12/52		1,929,668		21,425		702,607			2,632,275
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		6,596,129		28,590		(3,083,562	)		3,512,567

		$	35,745,062	$	114,100	$	(21,506,518	)	$	14,238,544


	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 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 18, due 12/20/16. Counterparty: Barclays, Inc.
	06/20/17	$(3,419,586)	$49,500	$3,757,878	$338,292
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 18, due 06/20/17. Counterparty: JPMorgan Chase & Co.
	06/20/17	(696,906)	9,306	760,505	63,599
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 18, due 06/20/17. Counterparty: Barclays, Inc.
	06/20/17	(2,495,632)	34,650	2,732,436	236,804
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 18, due 06/20/17. Counterparty: Barclays, Inc.
	06/20/17	(4,000,054)	59,400	4,406,004	405,950
The Fund receives a fixed rate equal to 0.09% and the Fund will pay to the counterparty at par, including interest accrued in the event of default of the ABX-HE-AAA 07-1, due 01/25/38. Counterparty: JPMorgan Chase & Co.
	08/25/37	(14,201,979)	23,013	2,011,665	(12,190,314)
The Fund receives a fixed rate equal to 0.09% and the Fund will pay to the counterparty at par, including interest accrued in the event of default of the ABX-HE-AAA 07-1, due 01/25/38. Counterparty: Morgan Stanley
	08/25/37	(14,924,920)	23,013	2,734,606	(12,190,314)
The Fund receives a fixed rate equal to 0.09% and the Fund will pay to the counterparty at par, including interest accrued in the event of default of the ABX-HE-AAA 07-1, due 01/25/38. Counterparty: Barclays, Inc.
	08/25/37	(8,741,340)	13,808	1,427,152	(7,314,188)
The Fund receives a fixed rate equal to 0.09% and the Fund will pay to the counterparty at par, including interest accrued in the event of default of the ABX-HE-AAA 07-1, due 01/25/38. Counterparty: Barclays, Inc.
	08/25/37	(5,855,231)	9,205	979,105	(4,876,126)
The Fund receives a fixed rate equal to 0.09% and the Fund will pay to the counterparty at par, including interest accrued in the event of default of the ABX-HE-AAA 07-1, due 01/25/38. Counterparty: Barclays, Inc.
	08/25/37	(568,079)	921	80,466	(487,613)
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: Morgan Stanley
	01/25/38	(5,723,459)	9,262	1,023,037	(4,700,422)
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	(5,908,846)	9,262	1,208,424	(4,700,422)
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	(6,089,659)	9,817	1,107,212	(4,982,447)
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	(13,366,016)	23,154	1,614,961	(11,751,055)

		$(85,991,707)	$274,311	$23,843,451	$(62,148,256)


	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	$594,828		$(140,712	)


			$(735,540	)		$63,960	$594,828		$(140,712	)

^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 $21,900,898,056 and net unrealized appreciation/(depreciation) consists of:

²	Floating rate security. The rate disclosed was in effect at September 30, 2012.

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 $98,637,152, which is 0.44% 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
08/25/10	Caesars Entertainment Operating Co., Inc., Term Loan B6, 1st Lien, 5.47%, 01/28/18	$	43,478,880	$	43,046,571	0.19%
06/27/07	Cengage Learning Acquisitions, Inc., Term Loan B, 2.47%, 07/03/14		1,895,213		1,811,861	0.01%
11/03/11	Chrysler Group LLC, Term Loan, 1st Lien, 6.00%, 05/24/17		44,811,259		48,797,899	0.22%
04/15/11	Delta Air Lines, Inc., Term Loan B, 1st Lien, 5.50%, 04/20/17		3,416,779		3,492,973	0.02%


Date of Purchase	Security	Amortized Cost		Value		% of Total Net Assets
04/13/12	El Dorado, Secured Term Loan, 1st Lien, 0.00%, 04/03/17	$	15,840,581	$	15,840,000	0.07%
10/10/07	HCA, Inc., Term Loan EXT B3, 3.47%, 05/01/18		20,905,203		21,016,149	0.10%
12/17/10	Intelsat Jackson Holdings, Term Loan B, 1st Lien, 5.25%, 04/02/18		15,739,812		15,878,020	0.07%
10/31/07	Texas Competitive Electric Holdings Co. LLC, Term Loan EXT, 1st Lien, 4.76%, 10/10/17		45,638,221		49,804,269	0.22%

		$	191,725,948	$	199,687,742	0.90%

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 September 30, 2012.

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 September 30, 2012.

¹³	Securities, or a portion thereof, pledged as collateral for swaps. The total market value of collateral pledged is $70,377,000.

¹⁴	Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $3,579,391.

^†

Fair valued security. The aggregate value of fair valued securities is $129,316,325, which is 0.58% 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.

(BKNT): Banker’s Note, Inc.

(IO): Interest only

(JPY): Japanese Yen

(LIBOR): London InterBank Offer Rate

(MTN): Medium-term Note

(MXP): Mexican Peso

(PO): Principal only

(STEP): Step coupon bond

(TBA): To be announced

(USD): U.S. dollar

(WI): When issued

(YCD): Yankee Certificate of Deposit


Issues	Maturity Date			Principal Amount		Value
BONDS – 92.47%
ASSET-BACKED SECURITIES — 0.27%**
LCM LP, Series 12A, Class C (Cayman Islands)
4.17%		10/19/22	^2,3,4,†	$	2,300,000	$	2,263,396
LCM LP, Series 12A, Class D (Cayman Islands)
5.42%		10/19/22	^2,3,4,†		2,300,000		2,156,636
Sound Point CLO Ltd., Series 2012-1A, Class C
3.71%		10/20/23	⁴		2,300,000		2,194,200


Total Asset-Backed Securities
(Cost $6,614,223)							6,614,232


BANK LOANS — 10.23%*
Automotive — 1.56%
Chrysler Group LLC, Term Loan, 1st Lien
6.00%		05/24/17	^3,5		26,699,887		27,276,524
Navistar, Inc., Term Loan B, 1st Lien
7.00%		08/17/17	^3,5		11,000,000		11,178,750


							38,455,274


Communications — 0.60%
Cengage Learning Acquisitions, Inc., Term Loan B
2.47%		07/03/14	^3,5		7,659,659		7,304,335
Univision Communications, Inc., 1st Lien Strip
4.47%		03/31/17	^3,5		7,532,849		7,475,306


							14,779,641


Electric — 2.54%
Boston Generating LLC, Term Loan, 1st Lien
0.01%		12/20/13	^{3,5,6,7,8,†}		254,344		–
Entegra Holdings LLC
6.36%		10/19/15	³		27,167,621		15,983,608
Texas Competitive Electric Holdings Co. LLC, Term Loan EXT, 1st Lien
4.76%		10/10/17	^3,5		67,522,569		46,685,509


							62,669,117


Energy — 1.02%
El Dorado, Secured Term Loan, 1st Lien
0.00%		04/03/17	^3,5,6		4,000,000		3,960,000
MACH Gen LLC, Term Loan 2nd Lien (PIK)
7.93%		02/15/15	^3,5		33,297,892		21,282,914


							25,242,914


Finance — 0.19%
Samson Investment Co., Term Loan, 2nd Lien
5.91%		09/10/18	^3,5		4,750,000		4,786,613


Issues	Maturity Date			Principal Amount		Value
BANK LOANS (continued)
Gaming — 1.90%
Caesars Entertainment Operating Co., Inc., Term Loan B6, 1st Lien
5.47%		01/28/18	^3,5	$	51,644,740	$	47,070,513


Health Care — 0.21%
Hologic, Inc., Term Loan B, 1st Lien
4.50%		08/01/19	^3,5		5,000,000		5,065,000


Industrials — 0.69%
Schaeffler AG, C2 Term Loan
6.00%		01/27/17	³		17,000,000		17,170,000


Information Technology — 0.71%
First Data Corp., Term Loan B1
2.97%		09/24/14	^3,5		20,910		20,840
First Data Corp., Term Loan EXT, 1st Lien
4.22%		03/24/18	^3,5		18,428,192		17,648,127


							17,668,967


Insurance — 0.31%
Asurion LLC, Term Loan B, 1st Lien
5.50%		05/24/18	^3,5		7,533,636		7,584,021


Services — 0.28%
Protection One, Term Loan, 1st Lien
5.75%		03/20/19	^3,5		6,965,000		7,008,531


Transportation — 0.22%
Delta Air Lines, Inc., Term Loan B, 1st Lien
5.50%		04/20/17	^3,5		5,431,250		5,488,957


Total Bank Loans
(Cost $263,025,440)							252,989,548


CORPORATES — 78.57%*
Automotive — 2.36%
Cooper Standard Automotive, Inc.
8.50%		05/01/18			11,900,000		12,971,000
Ford Motor Co.
4.25%		11/15/16			5,850,000		8,042,580
Goodyear Tire & Rubber Co.
8.25%		08/15/20			24,110,000		26,762,100
Tenneco, Inc.
6.88%		12/15/20			9,595,000		10,554,500

							58,330,180


Banking — 2.02%
Ally Financial, Inc.
2.62%		12/01/14	³		2,553,000		2,522,433
8.30%		02/12/15			3,250,000		3,607,500
Ally Financial, Inc., Series 8
6.75%		12/01/14			3,450,000		3,704,437


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Banking (continued)
Bank of America Corp.
5.62%		07/01/20		$	5,705,000	$	6,515,846
Bank of America N.A. (BKNT)
0.69%		06/15/17	³		2,000,000		1,841,232
BankAmerica Institutional Capital B
7.70%		12/31/26	⁴		3,000,000		3,067,500
Chase Capital III, Series C
0.97%		03/01/27	³		3,000,000		2,314,849
Chase Capital VI
1.07%		08/01/28	³		4,000,000		3,073,919
First Chicago NBD Institutional Capital I
1.00%		02/01/27	³		5,290,000		4,086,844
Provident Funding Associates LP/PFG Finance Corp.
10.25%		04/15/17	⁴		17,795,000		19,263,087

							49,997,647


Communications — 16.25%
Cablevision Systems Corp.
5.88%		09/15/22			2,450,000		2,437,750
CCO Holdings LLC/CCO Holdings Capital Corp.
7.00%		01/15/19			18,245,000		19,887,050
7.25%		10/30/17			5,000,000		5,475,000
7.88%		04/30/18			2,400,000		2,610,000
CCO Holdings LLC/CCO Holdings Capital Corp. (WI)
8.12%		04/30/20			18,212,000		20,716,150
Cengage Learning Acquisitions, Inc.
10.50%		01/15/15	⁴		10,207,000		8,561,121
11.50%		04/15/20	⁴		12,525,000		13,464,375
CenturyLink, Inc.
5.80%		03/15/22			7,700,000		8,407,614
Cequel Communications Holdings I LLC/Cequel Capital Corp.
8.62%		11/15/17	⁴		21,770,000		23,280,294
Clearwire Communications LLC/Clearwire Finance, Inc.
8.25%		12/01/40	⁴		2,650,000		1,945,630
12.00%		12/01/15	⁴		3,945,000		3,925,275
12.00%		12/01/15	⁴		2,500,000		2,475,000
Cricket Communications, Inc. (WI)
7.75%		05/15/16			13,765,000		14,590,900
Frontier Communications Corp.
6.62%		03/15/15			1,539,000		1,677,510
Frontier Communications Corp. (WI)
7.88%		04/15/15			10,747,000		12,063,507
GCI, Inc. (WI)
8.62%		11/15/19			14,350,000		15,569,750


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Communications (continued)
Intelsat Jackson Holdings SA (Luxembourg)
8.50%		11/01/19	²	$	15,185,000	$	17,197,013
Intelsat Jackson Holdings SA (WI) (Luxembourg)
7.25%		04/01/19	²		1,400,000		1,519,000
Intelsat Luxembourg SA (PIK) (WI) (Luxembourg)
11.50%		02/04/17	²		20,803,018		22,129,210
Intelsat Luxembourg SA (WI) (Luxembourg)
11.25%		02/04/17	²		11,000,000		11,673,750
Level 3 Communications, Inc. (WI)
11.88%		02/01/19			2,640,000		3,009,600
Level 3 Financing, Inc.
4.47%		02/15/15	³		17,025,000		16,939,875
7.00%		06/01/20	⁴		7,923,000		8,061,653
Level 3 Financing, Inc. (WI)
9.38%		04/01/19			9,295,000		10,363,925
McClatchy Co.
11.50%		02/15/17			17,405,000		18,797,400
Nara Cable Funding Ltd. (Ireland)
8.88%		12/01/18	^2,4		9,520,000		8,758,400
ProQuest LLC/ProQuest Notes Co.
9.00%		10/15/18	⁴		3,000,000		2,805,000
Sinclair Television Group, Inc.
6.12%		10/01/22	⁴		7,640,000		7,687,750
Sprint Capital Corp.
6.88%		11/15/28			5,205,000		4,801,613
Sprint Nextel Corp.
9.00%		11/15/18	⁴		33,799,000		40,812,293
9.25%		04/15/22			10,940,000		12,416,900
Townsquare Radio LLC/Townsquare Radio, Inc.
9.00%		04/01/19	⁴		4,475,000		4,833,000
Univision Communications, Inc.
6.88%		05/15/19	⁴		4,900,000		5,034,750
7.88%		11/01/20	⁴		4,000,000		4,300,000
Visant Corp.
10.00%		10/01/17			8,475,000		8,432,625
Windstream Corp.
7.00%		03/15/19			3,000,000		3,075,000
7.75%		10/15/20			1,700,000		1,831,750
7.88%		11/01/17			14,575,000		16,360,437
Windstream Corp. (WI)
7.50%		06/01/22			1,600,000		1,704,000
7.50%		04/01/23			6,000,000		6,300,000
8.12%		09/01/18			5,545,000		5,933,150

							401,865,020


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Consumer Discretionary — 2.73%
American Achievement Corp.
10.88%		04/15/16	⁴	$	12,075,000	$	10,535,437
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC
5.75%		10/15/20	⁴		5,000,000		5,012,500
6.88%		02/15/21			4,000,000		4,220,000
7.12%		04/15/19			12,000,000		12,660,000
7.88%		08/15/19			600,000		651,000
8.25%		02/15/21			5,920,000		5,905,200
9.00%		04/15/19			21,800,000		22,345,000
9.88%		08/15/19			2,800,000		2,975,000
Spectrum Brands Holdings, Inc.
9.50%		06/15/18	⁴		2,815,000		3,173,913

							67,478,050


Electric — 6.88%
AES Red Oak LLC, Series A
8.54%		11/30/19			2,106,969		2,259,724
Coso Geothermal Power Holdings
7.00%		07/15/26	⁴		5,997,058		2,578,735
Dynegy Holdings, Inc.
7.50%		06/01/15	^7,8		8,350,000		4,801,250
Dynegy Roseton/Danskammer Pass-Through Trust, Series B
7.67%		11/08/16	^7,8		23,846,000		14,426,830
Edison Mission Energy
7.00%		05/15/17			40,430,000		21,124,675
7.20%		05/15/19			5,890,000		3,033,350
7.62%		05/15/27			14,845,000		7,682,287
7.75%		06/15/16			2,540,000		1,333,500
Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc.
6.88%		08/15/17	⁴		4,500,000		4,646,250
FPL Energy National Wind Portfolio LLC
6.12%		03/25/19	⁴		3,088,870		2,439,901
GenOn Americas Generation LLC
8.50%		10/01/21			31,365,000		34,266,263
9.12%		05/01/31			6,400,000		6,848,000
Homer City Funding LLC
8.73%		10/01/26			3,050,824		3,142,349
Indiantown Cogeneration LP, Series A-10
9.77%		12/15/20			1,190,067		1,255,521
Mirant Mid Atlantic Pass-Through Trust, Series B
9.12%		06/30/17			4,203,125		4,602,421
Mirant Mid Atlantic Pass-Through Trust, Series C
10.06%		12/30/28			12,358,925		14,027,379
NRG Energy, Inc.
7.62%		01/15/18			32,285,000		35,109,937


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Electric (continued)
NRG Energy, Inc. (WI)
7.62%		05/15/19		$	1,780,000	$	1,886,800
PNM Resources, Inc.
9.25%		05/15/15			4,050,000		4,657,500

							170,122,672


Energy — 18.47%
Alpha Appalachia Holdings, Inc.
3.25%		08/01/15			20,010,000		18,559,275
Alpha Natural Resources, Inc.
2.38%		04/15/15			21,605,000		19,012,400
9.75%		04/15/18			12,905,000		12,770,659
Arch Coal, Inc.
7.00%		06/15/19			19,400,000		16,199,000
7.25%		10/01/20			1,250,000		1,056,250
7.25%		06/15/21			4,170,000		3,502,800
Arch Coal, Inc. (WI)
8.75%		08/01/16			3,780,000		3,694,950
Chaparral Energy, Inc.
7.62%		11/15/22	⁴		9,673,000		10,446,840
8.25%		09/01/21			26,618,000		28,880,530
9.88%		10/01/20			8,610,000		9,772,350
Chesapeake Energy Corp.
2.25%		12/15/38			36,815,000		29,829,206
2.50%		05/15/37			15,050,000		13,592,031
Cimarex Energy Co.
5.88%		05/01/22			5,120,000		5,388,800
Concho Resources, Inc.
5.50%		04/01/23			11,615,000		12,152,194
Continental Resources, Inc.
5.00%		09/15/22			5,000,000		5,237,500
5.00%		09/15/22	⁴		4,270,000		4,462,150
El Paso LLC, Series G (MTN)
7.75%		01/15/32			4,150,000		4,853,919
7.80%		08/01/31			3,745,000		4,512,725
8.05%		10/15/30			4,300,000		5,090,125
EP Energy LLC/Everest Acquisition Finance, Inc.
7.75%		09/01/22	⁴		10,700,000		11,047,750
Linn Energy LLC/Linn Energy Finance Corp.
6.25%		11/01/19	⁴		11,484,000		11,440,935
6.50%		05/15/19	⁴		8,885,000		8,885,000
8.62%		04/15/20			1,710,000		1,878,863
Milagro Oil & Gas (WI)
10.50%		05/15/16			12,000,000		8,580,000
Newfield Exploration Co.
5.62%		07/01/24			5,385,000		6,000,909
Parker Drilling Co.
9.12%		04/01/18			22,674,000		24,544,605


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Energy (continued)
Peabody Energy Corp.
4.75%		12/15/41		$	10,075,000	$	8,538,563
Penn Virginia Corp.
10.38%		06/15/16			5,250,000		5,479,687
QEP Resources, Inc.
5.25%		05/01/23			9,700,000		9,942,500
Quicksilver Resources, Inc.
8.25%		08/01/15			18,425,000		17,641,937
9.12%		08/15/19			1,260,000		1,184,400
11.75%		01/01/16			7,700,000		7,815,500
Sabine Pass LNG LP
7.25%		11/30/13			20,650,000		22,095,500
7.50%		11/30/16			17,615,000		19,068,237
Samson Investment Co.
9.75%		02/15/20	⁴		6,250,000		6,445,313
SandRidge Energy, Inc.
7.50%		03/15/21	⁴		3,170,000		3,273,025
7.50%		03/15/21			1,000,000		1,035,000
7.50%		02/15/23	⁴		12,065,000		12,487,275
8.00%		06/01/18	⁴		9,350,000		9,724,000
8.12%		10/15/22	⁴		3,600,000		3,838,500
SM Energy Co.
6.50%		11/15/21			2,900,000		3,088,500
6.50%		01/01/23	⁴		4,110,000		4,320,637
Southern Union Co.
3.46%		11/01/66	³		48,797,000		39,159,593

							456,529,933

Entertainment — 1.04%
Carmike Cinemas, Inc.
7.38%		05/15/19			3,900,000		4,212,000
Regal Cinemas Corp.
8.62%		07/15/19			19,300,000		21,398,875

							25,610,875

Finance — 6.25%
Alta Wind Holdings LLC
7.00%		06/30/35	⁴		2,272,712		2,559,654
Astoria Depositor Corp.
8.14%		05/01/21	⁴		24,558,000		22,838,940
Boyd Acquisition Sub LLC/Boyd Acquisition Finance Corp.
8.38%		02/15/18	⁴		2,400,000		2,490,000
Bumble Bee Acquisition Corp.
9.00%		12/15/17	⁴		12,187,000		12,811,584
Capital One Capital V
10.25%		08/15/39			3,875,000		4,010,625
Chase Capital II, Series B
0.94%		02/01/27	³		11,790,000		9,085,532


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Finance (continued)
CIT Group, Inc.
5.50%		02/15/19	⁴	$	2,600,000	$	2,827,500
6.62%		04/01/18	⁴		18,565,000		21,210,513
Citigroup, Inc.
0.98%		08/25/36	³		9,460,000		6,374,929
Dolphin Subsidiary II, Inc.
7.25%		10/15/21	⁴		5,453,000		6,202,787
General Electric Capital Corp. (MTN)
0.92%		08/15/36	³		10,480,000		7,766,120
Goldman Sachs Group, Inc.
5.75%		01/24/22			5,100,000		5,854,970
International Lease Finance Corp.
7.12%		09/01/18	⁴		6,385,000		7,470,450
JPMorgan Chase Capital XIII, Series M
1.41%		09/30/34	³		10,917,000		8,363,109
JPMorgan Chase Capital XXI, Series U
1.39%		02/02/37	³		4,750,000		3,347,059
JPMorgan Chase Capital XXIII
1.44%		05/15/47	³		2,320,000		1,612,400
Legg Mason, Inc.
5.50%		05/21/19	⁴		5,200,000		5,583,510
ZFS Finance USA Trust I
6.50%		05/09/37	^3,4		10,154,000		10,788,625
ZFS Finance USA Trust II
6.45%		12/15/65	^3,4		12,450,000		13,259,250

							154,457,557

Food — 0.67%
JBS USA LLC/JBS USA Finance, Inc.
7.25%		06/01/21	⁴		15,415,000		14,413,025
8.25%		02/01/20	⁴		2,280,000		2,257,200

							16,670,225

Gaming — 0.68%
CityCenter Holdings LLC/CityCenter Finance Corp. (WI)
7.62%		01/15/16			10,150,000		10,784,375
Marina District Finance Co., Inc.
9.50%		10/15/15			5,960,000		6,041,950

							16,826,325

Health Care — 7.84%
Accellent, Inc.
8.38%		02/01/17			22,728,000		23,466,660
Alere, Inc.
7.88%		02/01/16			7,915,000		8,310,750
CHS/Community Health Systems, Inc.
5.12%		08/15/18			10,115,000		10,519,600
7.12%		07/15/20			10,865,000		11,544,063


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Health Care (continued)
8.00%		11/15/19		$	9,135,000	$	10,048,500
ConvaTec Healthcare E SA (Luxembourg)
10.50%		12/15/18	^2,4		7,000,000		7,630,000
DaVita, Inc.
5.75%		08/15/22			5,210,000		5,444,450
HCA, Inc.
6.50%		02/15/20			20,000		22,300
7.25%		09/15/20			18,675,000		21,009,375
7.50%		12/15/23			3,965,000		4,024,475
HCA, Inc. (WI)
7.88%		02/15/20			7,805,000		8,809,894
8.50%		04/15/19			7,809,000		8,804,647
Health Management Associates, Inc.
7.38%		01/15/20	⁴		5,285,000		5,760,650
Tenet Healthcare Corp.
6.88%		11/15/31			23,302,000		21,088,310
8.88%		07/01/19			2,400,000		2,712,000
10.00%		05/01/18			14,552,000		16,880,320
Universal Health Services, Inc.
7.00%		10/01/18			5,975,000		6,453,000
Vanguard Health Holding Co. II LLC/ Vanguard Holding Co. II, Inc.
7.75%		02/01/19			10,145,000		10,766,889
Vanguard Health Holding Co. II LLC/ Vanguard Holding Co. II, Inc. (WI)
8.00%		02/01/18			9,930,000		10,600,275

							193,896,158

Homebuilding — 0.39%
K Hovnanian Enterprises, Inc.
7.25%		10/15/20	⁴		5,000,000		5,150,000
Shea Homes LP/Shea Homes
Funding Corp. (WI)
8.62%		05/15/19			4,000,000		4,480,000

							9,630,000

Industrials — 5.07%
ADS Waste Holdings, Inc.
8.25%		10/01/20	⁴		1,400,000		1,421,000
American Reprographics Co.
10.50%		12/15/16			8,250,000		8,703,750
ARD Finance SA (PIK) (Luxembourg)
11.12%		06/01/18	^2,4		11,058,562		11,141,502
Ardagh Packaging Finance PLC (Ireland)
9.12%		10/15/20	^2,4		17,695,000		18,889,413
Ardagh Packaging Finance, PLC/Ardagh MP
Holdings USA, Inc. (Ireland)
7.38%		10/15/17	^2,4		1,760,000		1,909,600
BWAY Holding Co.
10.00%		06/15/18			6,015,000		6,796,950


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Industrials (continued)
BWAY Parent Co., Inc. (PIK)
10.12%		11/01/15		$	12,031,806	$	12,753,715
Casella Waste Systems, Inc. (WI)
7.75%		02/15/19			3,300,000		3,267,000
Isabelle Acquisition Sub, Inc. (PIK)
10.00%		11/15/18	⁴		5,230,000		5,687,625
Maxim Crane Works LP
12.25%		04/15/15	⁴		12,775,000		13,094,375
NESCO LLC/NESCO Holdings Corp.
11.75%		04/15/17	⁴		9,300,000		9,904,500
Packaging Dynamics Corp.
8.75%		02/01/16	⁴		9,780,000		10,427,925
Roofing Supply Group LLC/Roofing Supply Finance, Inc.
10.00%		06/01/20	⁴		3,100,000		3,348,000
Schaeffler Finance B.V. (Netherlands)
7.75%		02/15/17	^2,4		1,555,000		1,694,950
8.50%		02/15/19	^2,4		2,875,000		3,212,813
Seadrill Ltd. (Bermuda)
5.62%		09/15/17	^2,4		12,890,000		13,002,787

							125,255,905

Information Technology — 0.90%
First Data Corp.
7.38%		06/15/19	⁴		655,000		673,013
8.25%		01/15/21	⁴		7,630,000		7,649,075
First Data Corp. (WI)
12.62%		01/15/21			13,330,000		13,863,200

							22,185,288

Insurance — 0.49%
Nationwide Mutual Insurance Co.
5.81%		12/15/24	^3,4		12,850,000		12,071,033

Materials — 1.29%
ArcelorMittal (Luxembourg)
6.50%		02/25/22	²		5,770,000		5,669,025
FMG Resources August 2006 Pty Ltd. (Australia)
7.00%		11/01/15	^2,4		3,640,000		3,617,250
Hexion US Finance Corp. (WI)
6.62%		04/15/20			5,570,000		5,667,475
NewPage Corp.
6.50%		05/01/13	^7,8		3,000,000		97,500
10.00%		05/01/13	^7,8		20,533,000		667,323
Nufarm Australia Ltd. (Australia)
6.38%		10/15/19	^2,4		1,250,000		1,250,000
Sappi Papier Holding GmbH (Austria)
6.62%		04/15/21	^2,4		8,810,000		8,501,650


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Materials (continued)
Vale SA (Brazil)
5.62%		09/11/42	²	$	6,225,000	$	6,350,284

							31,820,507

Real Estate Investment Trust (REIT) — 0.58%
Realogy Corp.
7.62%		01/15/20	⁴		13,065,000		14,404,163

Retail — 0.35%
Sears Holdings Corp.
6.62%		10/15/18			9,228,000		8,697,390

Services — 1.67%
Ceridian Corp.
8.88%		07/15/19	⁴		9,545,000		10,404,050
11.25%		11/15/15			1,615,000		1,598,850
Laureate Education, Inc.
9.25%		09/01/19	⁴		15,975,000		16,134,750
Mobile Mini, Inc. (WI)
7.88%		12/01/20			1,250,000		1,362,500
Neff Rental LLC/Neff Finance Corp.
9.62%		05/15/16	⁴		11,580,000		11,840,550

							41,340,700

Transportation — 2.64%
ACL I Corp. (PIK)
10.62%		02/15/16			6,876,093		6,772,952
Air Canada (Canada)
9.25%		08/01/15	^2,4		12,835,000		13,412,575
American Airlines, Inc.
7.50%		03/15/16	^4,7,8		8,390,000		8,557,800
Commercial Barge Line Co. (WI)
12.50%		07/15/17			2,975,000		3,328,281
Continental Airlines Pass-Through Certificates, Series 2012-2, Class B
5.50%		10/29/20			1,820,000		1,870,050
Continental Airlines Pass-Through Trust, Series 2007, Class 1B
6.90%		04/19/22			4,751,440		5,000,891
Continental Airlines Pass-Through Trust, Series 2009, Class 1
9.00%		07/08/16			1,457,644		1,690,867
Delta Air Lines Pass-Through Trust, Series 2002, Class G1
6.72%		01/02/23			14,313,216		15,726,647
Delta Air Lines Pass-Through Trust, Series 2009, Class B1
9.75%		12/17/16			1,333,562		1,480,254
JetBlue Airways Pass-Through Trust, Series 2004, Class G1
0.81%		08/15/16	³		1,649,383		1,538,050


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Transportation (continued)
US Airways Pass-Through Trust, Series 2010-1, Class A
6.25%		04/22/23		$	2,338,607	$	2,502,310
US Airways Pass-Through Trust, Series 2012-1, Class A
5.90%		10/01/24			3,200,000		3,446,000

							65,326,677

Total Corporates
(Cost $1,915,861,362)							1,942,516,305

MORTGAGE-BACKED — 1.67%**
Non-Agency Mortgage-Backed — 1.67%
BHN I Mortgage Fund, Series 2000-1, Class AF (Argentina)
8.00%		01/31/20	^2,4,6,†		2,890		29
Countrywide Asset-Backed Certificates, Series 2007-13, Class 2A1
1.12%		10/25/47	³		524,898		386,235
Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB6, Class A23
0.37%		07/25/36	³		3,525,653		2,097,695
Home Equity Asset Trust, Series 2007-1, Class 2A1
0.28%		05/25/37	³		31,723		31,374
MASTR Asset Backed Securities Trust, Series 2007-HE1, Class A2
0.37%		05/25/37	³		18,325,000		13,913,929
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-5, Class 2A2
1.22%		10/25/37	³		19,660,825		12,185,526
Securitized Asset Backed Receivables LLC Trust, Series 2007-BR2, Class A2
0.45%		02/25/37	³		30,708,802		12,745,212

							41,360,000

U.S. Agency Mortgage-Backed — 0.00%
Fannie Mae, Series 1993-225, Class SG
26.60%		12/25/13	³		11,352		12,713
Ginnie Mae, Series 2003-28, Class LI (IO)
5.50%		02/20/32			5,146		74

							12,787

Total Mortgage-Backed
(Cost $32,460,063)							41,372,787

Issues

Maturity
Date

Principal
Amount

Value

MUNICIPAL BONDS — 0.06%*

New York — 0.06%

New York City Industrial Development Agency

11.00%

03/01/29

⁴

1,067,000

1,473,943

Total Municipal Bonds

(Cost $1,306,288)

U.S. AGENCY SECURITIES — 1.67%

U.S. Agency Securities — 1.67%

Fannie Mae

0.36%

06/23/14

20,660,000

20,701,754

Freddie Mac

0.44%

11/18/13

20,420,000

20,500,626

Total U.S. Agency Securities

(Cost $41,063,261)

41,202,380

Total Bonds – 92.47%

(Cost $2,260,330,637)

2,286,169,195

Issues

Shares

Value

PREFERRED STOCK — 1.17%

Electric — 0.37%

PPL Corp.

0.12%

168,000

8,996,400

Finance — 0.80%

Citigroup Capital XIII

0.05%

712,702

19,848,751

Total Preferred Stock

(Cost $28,535,152)

28,845,151

SHORT-TERM INVESTMENTS — 6.75%

Commercial Paper — 1.85%

Lloyds TSB Bank PLC (United Kingdom)

0.43%⁹

10/11/12

22,180,000

22,177,954

RBS Holdings USA, Inc.

0.32%⁹

11/16/12

23,530,000

23,520,379

45,698,333

Money Market Fund — 1.99%

BlackRock Liquidity Funds

TempFund Portfolio

0.14%¹⁰

24,692,000

Issues

Maturity
Date

Principal
Amount/
Shares

Value

SHORT-TERM INVESTMENT (continued)

Money Market Fund (continued)

DWS Money Market Series

Institutional Funds

0.15%¹⁰

24,692,000

49,384,000

Repurchase Agreements — 2.83%

RBS (Dated 09/28/12, total to be received

$70,000,583, (collateralized by U.S. Treasury

Note, 0.25%, due 09/15/15, par and fair value

of $,71,570,000 and $71,402,243 respectively))

0.20%

10/01/12

70,000,000

U.S. Treasury Bills — 0.08%

U.S. Treasury Bills

0.10%⁹

12/13/12

¹¹

1,930,000

1,929,687

Total Short-Term Investments

(Cost $167,011,348)

167,012,020

Total Investments – 100.39%

(Cost $2,455,877,137)¹

2,482,026,366

Liabilities in Excess of Other

Assets – (0.39%)

(9,622,291

)

Net Assets – 100.00%

2,472,404,075


Contracts		Unrealized Appreciation
FUTURES CONTRACTS: SHORT POSITIONS
365	U.S. Treasury Thirty Year Long Bond, Expiration December 2012	$	134,628

	Net unrealized appreciation	$	134,628


	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 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 18, due 12/20/16. Counterparty: Barclays, Inc.
	06/20/17	$	(341,959	)	$	4,950	$	375,788	$	33,829
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 18, due 12/20/16. Counterparty: Morgan Stanley
	06/20/17		(5,129,379	)		74,250		5,636,817		507,438

		$	(5,471,338	)	$	79,200	$	6,012,605	$	541,267

^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 $2,456,016,486 and net unrealized appreciation/(depreciation) consists of:


Gross unrealized appreciation	$	105,427,201
Gross unrealized depreciation		(79,417,321	)

Net unrealized appreciation	$	26,009,880

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

³	Floating rate security. The rate disclosed was in effect at September 30, 2012.

⁴

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
03/14/12	Asurion LLC, Term Loan B, 1st Lien, 5.50%, 05/24/18	$	7,430,371	$	7,584,021		0.31	%
12/08/09	Boston Generating LLC, Term Loan, 1st Lien, 0.01%, 12/20/13		214,955		–		0.00	%
10/05/10	Caesars Entertainment Operating Co., Inc., Term Loan B6, 1st Lien, 5.47%, 01/28/18		47,963,198		47,070,513		1.90	%
07/29/11	Cengage Learning Acquisitions, Inc., Term Loan B, 2.47%, 07/03/14		7,034,093		7,304,335		0.30	%
05/19/11	Chrysler Group LLC, Term Loan, 1st Lien, 6.00%, 05/24/17		26,166,885		27,276,524		1.11	%
04/15/11	Delta Air Lines, Inc., Term Loan B, 1st Lien, 5.50%, 04/20/17		5,369,225		5,488,957		0.22	%
04/13/12	El Dorado, Secured Term Loan, 1st Lien, 0.00%, 04/03/17		3,960,145		3,960,000		0.16	%
05/21/10	First Data Corp., Term Loan B1, 2.97%, 09/24/14		19,355		20,840		0.00	%
01/28/09	First Data Corp., Term Loan EXT, 1st Lien, 4.22%, 03/24/18		16,614,400		17,648,127		0.71	%
07/19/12	Hologic, Inc., Term Loan B, 1st Lien, 4.50%, 08/01/19		4,951,097		5,065,000		0.21	%


Date of Purchase	Security	Amortized Cost		Value		% of Total Net Assets
08/05/10	MACH Gen LLC, Term Loan 2nd Lien (PIK), 7.93%, 02/15/15	$	28,478,867	$	21,282,914		0.86%
08/16/12	Navistar, Inc., Term Loan B, 1st Lien, 7.00%, 08/17/17		11,113,786		11,178,750		0.45%
03/16/12	Protection One, Term Loan, 1st Lien, 5.75%, 03/20/19		6,881,805		7,008,531		0.28%
09/19/12	Samson Investment Co., Term Loan, 2nd Lien, 5.91%, 09/10/18		4,726,334		4,786,613		0.19%
08/26/10	Texas Competitive Electric Holdings Co. LLC, Term Loan EXT, 1st Lien, 4.76%, 10/10/17		47,989,737		46,685,509		1.89%
09/27/10	Univision Communications, Inc., 1st Lien Strip, 4.47%, 03/31/17		7,015,855		7,475,306		0.30%

		$	225,930,108	$	219,835,940		8.89%

⁶	Illiquid security as determined under procedures approved by the Fund’s Board of Trustees. The aggregate value of illiquid securities is $3,960,029, which is 0.16% of total net assets.

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

⁸	Non-income producing security.

⁹	Represents annualized yield at date of purchase.

¹⁰	Represents the current yield as of September 30, 2012.

¹¹	Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $1,059,820.

†

Fair valued security. The aggregate value of fair valued securities is $4,420,061, which is 0.18% 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.

(BKNT): Banker’s Note, Inc.

(IO): Interest only

(MTN): Medium-term note

(PIK): Payment in kind

(WI): When issued


Issues	Maturity Date			Principal Amount		Value
BONDS – 85.42%
ASSET-BACKED SECURITIES — 4.28%**
Aircastle Aircraft Lease Backed Trust, Series
2007-1A, Class G1
0.49%		06/14/37	^2,3	$	69,034	$	62,131
Avalon IV Capital Ltd., Series 2012-1A, Class C (Cayman Islands)
4.39%		04/17/23	^2,3,4		15,000		14,956
Axis Equipment Finance Receivables LLC, Series 2012-1I, Class D
5.50%		11/20/15	^†		10,000		8,725
Axis Equipment Finance Receivables LLC, Series 2012-1I, Class E1
6.25%		04/20/16	^†		10,000		8,370
Axis Equipment Finance Receivables LLC, Series 2012-1I, Class E2
7.00%		03/20/17	^†		15,000		11,430
Babcock & Brown Air Funding I Ltd., Series 2007-1A, Class G1 (Bermuda)
0.54%		11/14/33	^2,3,4		170,219		140,431
Bayview Commercial Asset Trust, Series 2006-4A, Class A1
0.45%		12/25/36	^2,3		281,991		209,997
Beacon Container Finance LLC, Series 2012-1A, Class A
3.72%		09/20/27	^3,†		125,000		125,121
Brazos Higher Education Authority, Inc., Series 2005-3, Class A16
0.57%		06/25/26	²		150,000		144,059
Brazos Higher Education Authority, Inc., Series 2006-2, Class A9
0.48%		12/26/24	²		35,195		32,250
Cronos Containers Program Ltd., Series 2012-1A, Class A (Bermuda)
4.21%		05/18/27	^3,4		48,333		48,453
Cronos Containers Program Ltd., Series 2012-2A, Class A (Bermuda)
3.81%		09/18/27	^3,4		100,000		101,300
GE Business Loan Trust, Series 2004-1, Class B
0.92%		05/15/32	^2,3		73,006		58,867
GE Business Loan Trust, Series 2004-2A, Class A
0.44%		12/15/32	^2,3		57,612		53,663
GE Seaco Finance SRL, Series 2005-1A, Class A (Barbados)
0.47%		11/17/20	^2,3,4		63,333		61,424
Genesis Funding Ltd., Series 2006-1A, Class G1 (Bermuda)
0.46%		12/19/32	^2,3,4		171,729		149,885
Nelnet Education Loan Funding, Inc., Series 2004-1A, Class B1
1.10%		02/25/36	^2,3		150,000		103,218


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Northstar Education Finance, Inc.
1.20%		01/29/46	²	$	135,000	$	124,831
PMC Aviation LLC, Series 2012-1I, Class A
18.00%		04/15/15	^†		30,000		30,300
Scholar Funding Trust, Series 2012-B, Class A2
1.32%		03/28/46	^2,3		150,000		144,927
SLM Student Loan Trust, Series 2003-11, Class A6
0.68%		12/15/25	^2,3		250,000		244,097
SLM Student Loan Trust, Series 2011-1, Class A2
1.37%		10/25/34			150,000		153,796
Sound Point CLO Ltd., Series 2012-1A, Class C
3.71%		10/20/23	³		75,000		71,550
Student Loan Consolidation Center Student Loan Trust I, Series 2002-2, Class B2
1.74%		07/01/42	^2,3		100,000		77,000
Symphony CLO Ltd., Series 2012-9A, Class C (Cayman Islands)
3.70%		04/16/22	^2,3,4		20,000		19,533
TAL Advantage LLC, Series 2006-1, Class NOTE
0.41%		04/20/21	^2,3		50,167		49,144
TAL Advantage LLC, Series 2010-2A, Class A
4.30%		10/20/25	³		48,500		49,002
TAL Advantage LLC, Series 2011-2A, Class A
4.31%		05/20/26	³		52,000		54,129
Textainer Marine Containers Ltd., Series 2005-1A, Class A (Bermuda)
0.47%		05/15/20	^2,3,4,†		113,333		111,776
Textainer Marine Containers Ltd., Series 2011-1A, Class A (Bermuda)
4.70%		06/15/26	^3,4		43,750		46,051
Triton Container Finance LLC, Series 2006-1A, Class NOTE
0.39%		11/26/21	^2,3		20,833		20,264
Triton Container Finance LLC, Series 2007-1A, Class NOTE
0.36%		02/26/19	^2,3		103,312		101,856
U-Haul S Fleet LLC, Series 2007-BT1, Class BT
5.56%		02/25/20	³		60,887		63,642
Wind River CLO Ltd, Series 2004-1A, Class B1 (Cayman Islands)
1.48%		12/19/16	^2,3,4		65,000		58,897

Total Asset-Backed Securities
(Cost $2,718,333)							2,755,075


Issues	Maturity Date			Principal Amount		Value
BANK LOANS — 0.79%*
Automotive — 0.79%
Navistar, Inc., Term Loan B, 1st Lien
7.00%		08/17/17	^2,5	$	500,000	$	508,125

Total Bank Loans
(Cost $495,036)
CORPORATES — 28.92%*
Banking — 4.12%
Abbey National Treasury Services PLC/London (United Kingdom)
3.88%		11/10/14	^3,4		125,000		127,639
Banco Bradesco SA/Cayman Islands (Brazil)
5.75%		03/01/22	^3,4		400,000		427,000
Banco Davivienda SA (Colombia)
5.88%		07/09/22	^3,4		200,000		207,500
Bank of America Corp.
6.00%		09/01/17			75,000		86,845
Bank of America N.A. (BKNT)
0.67%		06/15/16	²		122,000		115,135
5.30%		03/15/17			100,000		111,155
6.10%		06/15/17			100,000		113,692
BBVA Bancomer SA/Texas (Mexico)
6.75%		09/30/22	^3,4		200,000		219,350
Chase Capital VI
1.07%		08/01/28	²		50,000		38,424
HBOS PLC, Series G (MTN) (United Kingdom)
6.75%		05/21/18	^3,4		375,000		382,807
National Australia Bank Ltd. (Australia)
1.60%		08/07/15	⁴		250,000		252,464
Royal Bank of Scotland PLC (United Kingdom)
2.55%		09/18/15	⁴		350,000		354,381
Sberbank of Russia Via SB Capital SA (Luxembourg)
5.72%		06/16/21	⁴		200,000		216,750

							2,653,142

Communications — 1.59%
Cablevision Systems Corp.
5.88%		09/15/22			60,000		59,700
CCO Holdings LLC/CCO Holdings Capital Corp.
7.25%		10/30/17			40,000		43,800
CCO Holdings LLC/CCO Holdings Capital Corp. (WI)
8.12%		04/30/20			65,000		73,937
CenturyLink, Inc.
5.80%		03/15/22			70,000		76,433
Frontier Communications Corp.
6.62%		03/15/15			90,000		98,100


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Communications (continued)
Intelsat Jackson Holdings SA (WI) (Luxembourg)
7.25%		04/01/19	⁴	$	80,000	$	86,800
Sprint Nextel Corp.
9.00%		11/15/18	³		130,000		156,975
9.25%		04/15/22			160,000		181,600
VimpelCom Holdings BV, Series REGS (Netherlands)
7.50%		03/01/22	⁴		200,000		210,250
Windstream Corp. (WI)
8.12%		09/01/18			35,000		37,450

							1,025,045

Consumer Discretionary — 0.85%
American Airlines, Series 2011-1, Class A Pass-Through Trust
5.25%		01/31/21			71,046		74,775
JetBlue Airways, Series 2004-1, Class G-2 Pass-Through Trust
0.81%		03/15/14	²		130,000		125,455
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC
5.75%		10/15/20	³		150,000		150,375
Virgolino de Oliveira Finance Ltd. (Luxembourg)
10.50%		01/28/18	^3,4		200,000		200,000

							550,605

Electric — 1.72%
Calpine Construction Finance Co. LP and CCFC Finance Corp.
8.00%		06/01/16	³		75,000		81,000
Cia. Energetica de Sao Paulo, Series REGS (Brazil)
9.50%		01/15/15	⁴		250,000		182,500
GenOn Americas Generation LLC
8.50%		10/01/21			150,000		163,875
Instituto Costarricense de Electricidad (Costa Rica)
6.95%		11/10/21	^3,4		200,000		223,000
NRG Energy, Inc.
7.62%		01/15/18			155,000		168,563
PNM Resources, Inc.
9.25%		05/15/15			200,000		230,000
Public Service Co. of New Mexico
5.35%		10/01/21			50,000		56,738

							1,105,676

Energy — 4.03%
Abu Dhabi National Energy Co. (United Arab Emirates)
5.88%		12/13/21	^3,4		200,000		233,500


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Energy (continued)
Arch Coal, Inc.
7.00%		06/15/19		$	25,000	$	20,875
Bumi Investment Pte Ltd. (Singapore)
10.75%		10/06/17	⁴		200,000		157,500
Chaparral Energy, Inc.
7.62%		11/15/22	³		49,000		52,920
8.25%		09/01/21			116,000		125,860
Florida Gas Transmission Co. LLC
3.88%		07/15/22	³		160,000		168,504
Gazprom OAO Via Gaz Capital SA
(Luxembourg)
4.95%		07/19/22	^3,4		200,000		210,740
Newfield Exploration Co.
5.62%		07/01/24			165,000		183,872
Pertamina Persero PT (Indonesia)
6.00%		05/03/42	^3,4		200,000		219,000
Petroleos de Venezuela SA, Series REGS
(Venezuela)
8.50%		11/02/17	⁴		400,000		363,000
Petroleos Mexicanos (Mexico)
1.70%		12/20/22	⁴		150,000		151,227
Sabine Pass LNG LP
7.25%		11/30/13			115,000		123,050
SM Energy Co.
6.50%		01/01/23	³		165,000		173,456
Southern Natural Gas Co. LLC
8.00%		03/01/32			100,000		141,942
Tennessee Gas Pipeline Co.
8.00%		02/01/16			225,000		268,872

							2,594,318

Finance — 5.50%
Ajecorp BV (Netherlands)
6.50%		05/14/22	^3,4		200,000		213,000
Astoria Depositor Corp.
8.14%		05/01/21	³		120,000		111,600
Banco do Brasil SA (Brazil)
5.88%		01/26/22	^3,4		200,000		215,000
Blackstone Holdings Finance Co., LLC
4.75%		02/15/23	³		250,000		261,193
Chase Capital II, Series B
0.94%		02/01/27	²		110,000		84,767
Citigroup, Inc.
2.14%		05/15/18	²		125,000		123,533
4.59%		12/15/15			125,000		135,730
6.12%		05/15/18			100,000		118,525
General Electric Capital Corp. (MTN)
0.82%		05/05/26	²		135,000		114,597
4.65%		10/17/21			70,000		78,775


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Finance (continued)
Goldman Sachs Group, Inc.
5.75%		01/24/22		$	75,000	$	86,102
Grupo Aval Ltd. (Cayman Islands)
4.75%		09/26/22	^3,4		300,000		296,250
International Lease Finance Corp.
6.50%		09/01/14	³		175,000		188,125
JPMorgan Chase Capital XIII, Series M
1.41%		09/30/34	²		225,000		172,364
JPMorgan Chase Capital XXI, Series U
1.39%		02/02/37	²		750,000		528,483
Macquarie Bank Ltd. (Australia)
5.00%		02/22/17	^3,4		170,000		180,855
Metalloinvest Finance Ltd. (Ireland)
6.50%		07/21/16	^3,4		200,000		204,000
Morgan Stanley (MTN)
0.90%		10/18/16	²		175,000		164,160
Reckson Operating Partnership LP
5.00%		08/15/18			145,000		155,766
ZFS Finance USA Trust II
6.45%		12/15/65	^2,3		100,000		106,500

							3,539,325

Health Care — 1.11%
CHS/Community Health Systems, Inc.
5.12%		08/15/18			225,000		234,000
7.12%		07/15/20			175,000		185,937
DaVita, Inc.
5.75%		08/15/22			120,000		125,400
HCA, Inc.
7.25%		09/15/20			100,000		112,500
Tenet Healthcare Corp.
8.88%		07/01/19			50,000		56,500

							714,337

Industrials — 0.64%
BAA Funding Ltd. (United Kingdom)
2.50%		06/25/15	^3,4		200,000		203,912
Cemex Espana Luxembourg (Spain)
9.88%		04/30/19	^3,4		200,000		206,000

							409,912

Insurance — 0.64%
Farmers Exchange Capital
7.20%		07/15/48	³		150,000		176,601
Farmers Insurance Exchange
8.62%		05/01/24	³		40,000		54,774
Metropolitan Life Global Funding I
1.70%		06/29/15	³		175,000		178,621

							409,996


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Materials — 2.64%
ALROSA Finance SA, Series REGS (Luxembourg)
7.75%		11/03/20	⁴	$	200,000	$	227,500
AngloGold Holdings PLC (South Africa)
5.12%		08/01/22	⁴		200,000		205,513
ArcelorMittal (Luxembourg)
6.50%		02/25/22	⁴		150,000		147,375
Corporacion Nacional del Cobre de Chile (Chile)
4.25%		07/17/42	^3,4		200,000		198,788
Inversiones CMPC SA (Chile)
4.50%		04/25/22	^3,4		200,000		208,763
Vale Overseas Ltd. (Cayman Islands)
6.88%		11/21/36	⁴		125,000		145,360
Vale SA (Brazil)
5.62%		09/11/42	⁴		150,000		153,019
Vedanta Resources PLC (United Kingdom)
8.25%		06/07/21	^3,4		200,000		196,750
Volcan Cia. Minera SAA (Peru)
5.38%		02/02/22	^3,4		200,000		217,000

							1,700,068

Real Estate Investment Trust (REIT) — 4.09%
Boston Properties LP
5.88%		10/15/19			200,000		239,549
Country Garden Holdings Co. Ltd. (Cayman Islands)
11.12%		02/23/18	^3,4		200,000		219,750
Duke Realty LP
5.40%		08/15/14			160,000		170,792
Essex Portfolio LP
3.62%		08/15/22	³		250,000		252,331
Evergrande Real Estate Group Ltd., Series REGS (Cayman Islands)
13.00%		01/27/15	⁴		200,000		204,375
HCP, Inc.
3.75%		02/01/19			210,000		220,618
5.62%		05/01/17			100,000		114,111
Health Care REIT, Inc.
4.12%		04/01/19			150,000		160,246
4.70%		09/15/17			150,000		165,737
Healthcare Realty Trust, Inc.
6.50%		01/17/17			125,000		142,453
Post Apartment Homes LP
4.75%		10/15/17			270,000		296,725
WEA Finance LLC/WCI Finance LLC
5.70%		10/01/16	³		125,000		141,198


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Real Estate Investment Trust (REIT) (continued)
WEA Finance LLC/WT Finance Aust Pty Ltd.
5.75%		09/02/15	³	$	150,000	$	166,595
7.50%		06/02/14	³		125,000		135,519

							2,629,999

Transportation — 1.99%
Continental Airlines Pass-Through Trust,
Series 1997, Class 4A
6.90%		01/02/18			127,264		138,041
Continental Airlines Pass-Through Trust, Series 1999-1, Class A
6.54%		08/02/20			377,837		410,898
Continental Airlines Pass-Through Trust, Series 2012-1, Class B
6.25%		04/11/20			75,000		78,281
Delta Air Lines Pass-Through Trust, Series 2002, Class G1
6.72%		01/02/23			75,812		83,298
DP World Ltd., Series REGS (United Arab Emirates)
6.85%		07/02/37	⁴		200,000		216,500
JetBlue Airways Pass-Through Trust, Series 2004, Class G2
0.88%		11/15/16	²		250,000		220,000
US Airways Pass-Through Trust, Series 2012-1, Class A
5.90%		10/01/24			125,000		134,609

							1,281,627

Total Corporates
(Cost $17,747,549)							18,614,050

FOREIGN GOVERNMENT OBLIGATIONS — 2.64%
Foreign Sovereign — 2.64%
Croatia Government International Bond (Croatia)
6.38%		03/24/21	^3,4		200,000		222,830
Indonesia Government International Bond (Indonesia)
3.75%		04/25/22	^3,4		250,000		265,000
Mexican Udibonos (Mexico)
2.00%		06/09/22	⁴		285,000		114,634
Mexico Government International Bond (MTN) (Mexico)
4.75%		03/08/44	⁴		200,000		223,750
Russian Foreign Bond - Eurobond (Russia)
4.50%		04/04/22	^3,4		200,000		223,760
Slovakia Government International Bond (Slovakia)
4.38%		05/21/22	^3,4		200,000		211,375
Sri Lanka Government International Bond (Sri Lanka)
5.88%		07/25/22	^3,4		200,000		217,000


Issues	Maturity Date			Principal Amount		Value
FOREIGN GOVERNMENT OBLIGATIONS (continued)
Foreign Sovereign (continued)
Turkey Government International Bond (Turkey)
5.12%		03/25/22	⁴	$	200,000	$	223,510

Total Foreign Government Obligations
(Cost $1,561,156)							1,701,859

MORTGAGE-BACKED — 42.55%**
Commercial Mortgage-Backed — 9.15%
Banc of America Commercial Mortgage, Inc., Series 2004-1, Class A4
4.76%		11/10/39			285,000		295,695
Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2005-5, Class A4
5.12%		10/10/45	²		50,000		55,718
Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2006-5, Class A2
5.32%		09/10/47			115,826		118,795
Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2007-3, Class A2
5.80%		06/10/49	²		132,021		132,098
Bank of America Commercial Mortgage, Inc., Series 2005-6, Class A4
5.36%		09/10/47	²		105,000		118,073
Bear Stearns Commercial Mortgage Securities, Series 2004-PWRC, Class A4
4.72%		02/11/41			110,000		113,924
Bear Stearns Commercial Mortgage Securities, Series 2006-T22, Class A4
5.71%		04/12/38	²		120,000		137,827
Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2007-CD4, Class A2B
5.20%		12/11/49			128,020		130,490
Commercial Mortgage Pass-Through Certificates, Series 2003-LB1A, Class A2
4.08%		06/10/38			117,197		118,842
Commercial Mortgage Pass-Through Certificates, Series 2005-C6, Class A5A
5.12%		06/10/44	²		155,000		171,552
Credit Suisse First Boston Mortgage Securities Corp., Series 2005-C5, Class A4
5.10%		08/15/38	²		65,000		72,235
Credit Suisse First Boston Mortgage Securities Corp., Series 2005-C6, Class A4
5.23%		12/15/40	²		90,000		100,002
DBUBS Mortgage Trust, Series 2011-LC3A, Class A2
3.64%		08/10/44			220,000		241,471
GE Business Loan Trust, Series 2003-1, Class B
1.52%		04/15/31	^2,3		84,783		74,662


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed (continued)
GE Business Loan Trust, Series 2004-2A, Class C
1.07%		12/15/32	^2,3	$	85,266	$	46,896
GE Capital Commercial Mortgage Corp., Series 2004-C3, Class A3
4.86%		07/10/39	²		53,738		53,826
Greenwich Capital Commercial Funding Corp., Series 2003-C1, Class A4
4.11%		07/05/35			43,766		44,272
GS Mortgage Securities Corp. II, Series 2011-GC5, Class A4
3.71%		08/10/44			163,000		181,526
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2003-PM1A, Class A4
5.33%		08/12/40	²		160,000		163,613
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2004-C3, Class A5
4.88%		01/15/42			183,000		196,552
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2005-CB11, Class A4
5.34%		08/12/37	²		125,000		138,590
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2005-CB12, Class A4
4.90%		09/12/37			90,000		99,537
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2005-LDP5, Class A4
5.36%		12/15/44	²		113,000		127,069
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2006-CB14, Class ASB
5.51%		12/12/44			277,595		296,180
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2006-CB17, Class ASB
5.42%		12/12/43			171,308		183,850
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2006-LDP8, Class A4
5.40%		05/15/45			175,000		202,646
Merrill Lynch Mortgage Trust, Series 2005-CIP1, Class A4
5.05%		07/12/38	²		120,000		133,983
Merrill Lynch Mortgage Trust, Series 2005-LC1, Class A4
5.29%		01/12/44	²		55,000		61,497
Merrill Lynch Mortgage Trust, Series 2005-MCP1, Class A2
4.56%		06/12/43			106,069		106,425
Morgan Stanley Capital I, Inc., Series 2003-IQ4, Class A2
4.07%		05/15/40			141,793		143,612
Morgan Stanley Capital I, Series 2001-C3, Class A2
3.22%		08/15/49			145,000		157,426


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed (continued)
Morgan Stanley Capital I, Series 2005-IQ10, Class A4A
5.23%		09/15/42	²	$	150,000	$	164,729
Morgan Stanley Capital I, Series 2005-T19, Class A4A
4.89%		06/12/47			125,000		138,137
Morgan Stanley Capital I, Series 2006-IQ12, Class A4
5.33%		12/15/43			100,000		116,648
Morgan Stanley Capital I, Series 2006-T23, Class A2
5.92%		08/12/41	²		118,036		120,181
Morgan Stanley Capital I, Series 2006-T23, Class A4
5.99%		08/12/41	²		120,000		142,442
Morgan Stanley Capital I, Series 2011-C3, Class A4
4.12%		08/15/49			90,000		102,297
Morgan Stanley Dean Witter Capital I, Series 2002-IQ3, Class A4
5.08%		09/15/37			88,788		88,808
Spirit Master Funding LLC, Series 2005-1, Class A1
5.05%		07/20/23	³		144,258		130,553
Wachovia Bank Commercial Mortgage Trust, Series 2003-C5, Class A2
3.99%		06/15/35			146,136		148,149
Wachovia Bank Commercial Mortgage Trust, Series 2005-C20, Class A7
5.12%		07/15/42	²		65,000		72,344
Wachovia Bank Commercial Mortgage Trust, Series 2005-C21, Class A4
5.41%		10/15/44	²		35,724		39,866
WF-RBS Commercial Mortgage Trust, Series 2011-C5, Class A2
2.68%		11/15/44			110,000		117,459
WF-RBS Commercial Mortgage Trust, Series 2011-C5, Class A4
3.67%		11/15/44			260,000		289,851

							5,890,348

Non-Agency Mortgage-Backed — 23.27%
ACE Securities Corp., Series 2003-MH1, Class B1
6.50%		08/15/30	^2,3		61,822		62,331
Banc of America Funding Corp., Series 2006-G, Class 2A1
0.44%		07/20/36	²		100,717		79,149
Banc of America Funding Corp., Series 2007-8, Class 2A1
7.00%		10/25/37			584,465		350,156


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Bear Stearns Alt-A Trust, Series 2005-7, Class 25A1
2.91%		09/25/35	²	$	154,249	$	117,050
Centex Home Equity, Series 2005-D, Class M1
0.65%		10/25/35	²		350,000		329,635
Citicorp Mortgage Securities, Inc., Series 2005-8, Class 1A2
5.50%		11/25/35			562,046		569,012
Citigroup Mortgage Loan Trust, Inc. 2006-WFH2 A2A
0.37%		08/25/36	²		317,570		280,668
Citigroup Mortgage Loan Trust, Inc., Series 2005-9, Class 1A1
0.48%		11/25/35	²		180,088		108,603
Conseco Financial Corp., Series 1998-6, Class A8
6.66%		06/01/30			59,837		65,047
Countrywide Alternative Loan Trust, Series 2007-HY5R, Class 2A1A
5.46%		03/25/47	²		187,006		180,987
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2005-4, Class 4A1
0.51%		02/25/35	²		120,312		78,220
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2005-9, Class 1A1
0.52%		05/25/35	²		139,436		108,823
Credit Suisse First Boston Mortgage Securities Corp., Series 2005-11, Class 8A9
5.25%		12/25/35			239,037		239,494
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB1, Class AF2 (STEP)
5.06%		01/25/37			344,414		142,028
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB2, Class A2C (STEP)
5.43%		02/25/37			170,000		120,571
DBRR Trust, Series 2012-EZ1, Class A
0.95%		09/25/45	³		240,000		240,431
Downey Savings & Loan Association Mortgage Loan Trust, Series 2005-AR6, Class 2A1A
0.51%		10/19/45	²		296,183		235,042
Downey Savings & Loan Association Mortgage Loan Trust, Series 2006-AR2, Class 2A1A
0.42%		10/19/36	²		293,549		217,232
Equifirst Loan Securitization Trust, Series 2007-1, Class A2B
0.41%		04/25/37	²		330,000		155,899


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
First Horizon Mortgage Pass-Through Trust, Series 2007-AR2, Class 1A2
2.53%		08/25/37	²	$	454,616	$	334,565
Fremont Home Loan Trust, Series 2006-2, Class 2A3
0.39%		02/25/36	²		300,000		168,243
Green Tree, Series 2008-MH1, Class A3
8.97%		04/25/38	^2,3		60,529		66,837
Greenwich Capital Commercial Funding Corp., Series 2005-GG3, Class A3
4.57%		08/10/42			338,353		341,012
GSAA Trust, Series 2006-2, Class 2A3
0.49%		12/25/35			500,000		478,750
GSR Mortgage Loan Trust, Series 2005-4F, Class 4A3
5.50%		05/25/35			563,201		583,387
GSR Mortgage Loan Trust, Series 2005-7F, Class 3A3 (IO)
5.28%		09/25/35	^2,6		229,412		31,157
GSR Mortgage Loan Trust, Series 2006-AR2, Class 2A1
2.92%		04/25/36	²		396,981		356,442
Home Equity Asset Trust, Series 2007-AR1, Class 2A1
2.83%		01/25/37	²		316,943		217,833
Indymac Index Mortgage Loan Trust, Series 2006-AR7, Class 3A1
2.94%		05/25/36	²		351,974		251,468
Indymac Manufactured Housing Contract, Series 1998-1, Class A4
6.49%		09/25/28			136,155		132,447
JPMorgan Mortgage Trust, Series 2005-A6, Class 7A1
3.03%		08/25/35	²		231,655		202,329
JPMorgan Mortgage Trust, Series 2006-A3, Class 2A1
3.01%		05/25/36	²		167,207		131,747
Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class A3
4.35%		04/15/40			50,811		51,033
Lehman XS Trust, Series 2005-4, Class 1A3
0.62%		10/25/35	²		395,450		346,012
MASTR Adjustable Rate Mortgages Trust, Series 2004-15, Class 8A1
4.70%		10/25/34	²		210,317		200,732
MASTR Adjustable Rate Mortgages Trust, Series 2007-2, Class A2
0.33%		03/25/47			500,006		477,505
Merrill Lynch Alternative Note Asset, Series 2007-A3, Class A2D
0.55%		04/25/37	²		883,581		91,698


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-2, Class A2B
0.39%		05/25/37	²	$	534,106	$	299,987
Mid-State Trust, Series 2004-1, Class B
8.90%		08/15/37			128,518		132,557
Morgan Stanley Mortgage Loan Trust, Series 2005-6AR, Class 1A1
0.50%		11/25/35			606,567		553,492
Origen Manufactured Housing, Series 2006-A, Class A1
0.37%		11/15/18	²		19,648		19,469
RAAC Series, Series 2005-SP1, Class 4A1
7.00%		09/25/34			431,685		462,442
RAAC Series, Series 2007-SP1, Class A2
0.57%		03/25/37	²		270,299		265,619
Residential Accredit Loans, Inc., Series 2005-QA4, Class A41
3.32%		04/25/35	²		373,766		334,423
Residential Accredit Loans, Inc., Series 2006-Q09, Class 1A4A
0.39%		12/25/46	²		461,518		333,184
Residential Accredit Loans, Inc., Series 2007-QS1, Class 2AV (IO)
0.17%		01/25/37	^2,6		8,844,222		66,628
Residential Asset Mortgage Products, Inc., Series 2006-RS3, Class A3
0.42%		05/25/36	²		352,585		303,218
Residential Asset Securities Corp., Series 2004-KS9, Class AII4
0.82%		10/25/34	²		39,418		18,270
Residential Asset Securities Corp., Series 2006-EMX1, Class A2
0.45%		01/25/36	²		284,519		276,672
Structured Adjustable Rate Mortgage Loan Trust, Series 2006-11, Class 1A1
0.38%		12/25/36	²		525,954		353,984
Structured Asset Mortgage Investments, Inc., Series 2006-AR3, Class 22A1
6.12%		05/25/36	²		665,215		325,573
Structured Asset Mortgage Investments, Inc., Series 2006-AR5, Class 1A1
0.43%		05/25/46	²		179,644		104,426
Structured Asset Securities Corp., Series 2002-11A, Class 2A1
3.18%		06/25/32	²		271,918		270,964
Structured Asset Securities Corp., Series 2005-2XS, Class 2A2
1.72%		02/25/35	²		287,851		245,649
Vanderbilt Mortgage Finance, Series 2001-C, Class M1
6.76%		01/07/32			50,784		51,759


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
WaMu Mortgage Pass-Through Certificates, Series 2005-AR12, Class 1A6
2.49%		10/25/35	²	$	260,000	$	238,923
WaMu Mortgage Pass-Through Certificates, Series 2005-AR13, Class A1A1
0.51%		10/25/45	²		184,333		168,020
WaMu Mortgage Pass-Through Certificates, Series 2005-AR19, Class A1A2
0.51%		12/25/45	²		434,097		395,900
WaMu Mortgage Pass-Through Certificates, Series 2005-AR9, Class A1A
0.54%		07/25/45	²		185,275		166,126
WaMu Mortgage Pass-Through Certificates, Series 2007-HY3, Class 1A1
2.59%		03/25/37	²		449,726		327,761
Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2007-OA3, Class 2A
0.90%		02/25/47	^2,†		811,171		384,292
Wells Fargo Alternative Loan Trust, Series 2007-PA5, Class 1A1
6.25%		11/25/37			164,031		155,328
Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR10, Class 5A2
2.61%		07/25/36	²		323,755		258,202
Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR17, Class A1
2.61%		10/25/36	²		368,070		321,829

							14,978,272

U.S. Agency Mortgage-Backed — 10.13%
Fannie Mae Pool AD0825
4.59%		02/01/20			150,309		178,074
Fannie Mae Pool AE0600
3.98%		11/01/20			146,138		167,315
Fannie Mae Pool AE0918
3.66%		10/01/20			262,233		295,528
Fannie Mae Pool AL0600
4.30%		07/01/21			147,963		173,290
Fannie Mae REMICS, Series 2003-64, Class KS
9.35%		07/25/18	²		44,701		50,356
Fannie Mae REMICS, Series 2006-104, Class GL
16.16%		11/25/36	²		54,247		72,619
Fannie Mae REMICS, Series 2007-52, Class LS (IO)
5.83%		06/25/37	²		364,920		51,432
Fannie Mae REMICS, Series 2008-62, Class SN (IO)
5.98%		07/25/38	²		1,848,520		245,211


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae REMICS, Series 2010-116, Class SE (IO)
6.38%		10/25/40	²	$	449,965	$	60,560
Fannie Mae, Series 2006-11, Class PS
23.77%		03/25/36	²		117,684		171,554
Fannie Mae, Series 2007-77, Class SK (IO)
5.65%		08/25/37	²		655,592		93,208
Fannie Mae, Series 2008-18, Class SM (IO)
6.78%		03/25/38	²		404,004		70,032
Fannie Mae, Series 2010-35, Class IA (IO)
5.00%		07/25/38			312,102		19,383
Fannie Mae, Series 2012-M12, Class 1A
2.84%		08/25/22	²		410,000		431,013
Fannie Mae-Aces, Series 2011-M1, Class A3
3.76%		06/25/21			250,000		279,485
Freddie Mac REMICS, Series 2711, Class FA
1.22%		11/15/33	²		446,798		456,909
Freddie Mac REMICS, Series 2733, Class FB
0.82%		10/15/33	²		545,000		549,456
Freddie Mac REMICS, Series 3001, Class HS
16.20%		02/15/35	²		86,786		105,568
Freddie Mac REMICS, Series 3404, Class AS (IO)
5.67%		01/15/38	²		375,252		55,985
Freddie Mac REMICS, Series 3417, Class FA
0.72%		11/15/37	²		96,673		97,452
Freddie Mac REMICS, Series 3828, Class TF
0.62%		04/15/29	²		670,232		673,147
Freddie Mac REMICS, Series 4030, Class HS (IO)
6.39%		04/15/42	²		923,061		157,137
Freddie Mac, Series 3262, Class KS (IO)
6.19%		01/15/37	²		368,056		54,501
Freddie Mac, Series 3339, Class JS
41.40%		07/15/37	²		83,260		160,012
Freddie Mac, Series 3439, Class SC (IO)
5.68%		04/15/38	²		318,630		50,283
Freddie Mac, Series 3885, Class PO (PO)
0.00%		11/15/33	⁷		123,287		115,694
Freddie Mac, Series K020, Class A2
2.37%		05/25/40			285,000		292,125
Ginnie Mae II Pool MA0243
2.00%		07/20/42	²		582,479		604,550
Ginnie Mae, Series 2010-20, Class SE (IO)
6.03%		02/20/40	²		1,089,887		180,202
Ginnie Mae, Series 2011-146, Class EI (IO)
5.00%		11/16/41			375,812		79,039


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Ginnie Mae, Series 2011-50, Class PS (IO)
5.88%		02/20/41	²	$	529,785	$	85,619
Ginnie Mae, Series 2011-69, Class GI (IO)
5.00%		05/16/40			1,008,476		157,555
Ginnie Mae, Series 2011-70, Class IL (IO)
0.60%		06/16/37	²		4,851,164		77,815
Ginnie Mae, Series 2011-81, Class IC (IO)
0.62%		07/20/35	²		11,084,239		158,503
Ginnie Mae, Series 2012-7, Class PI (IO)
3.50%		01/20/38			414,199		54,212

							6,524,824

Total Mortgage-Backed
(Cost $25,740,915)							27,393,444

MUNICIPAL BONDS — 1.13%*
California — 0.48%
State of California, Build America Bonds
7.60%		11/01/40			150,000		205,923
State of California, Build America Bonds,
Various Purpose
7.55%		04/01/39			75,000		101,813

							307,736

Illinois — 0.65%
State of Illinois, Build America Bonds
6.20%		07/01/21			75,000		84,287
State of Illinois, Taxable Bonds
5.88%		03/01/19			100,000		112,563
State of Illinois, Taxable-Pension
4.35%		06/01/18			215,000		224,146

							420,996

Total Municipal Bonds
(Cost $707,025)							728,732

U.S. AGENCY SECURITIES — 1.74%
U.S. Agency Securities — 1.74%
Fannie Mae
0.63%		02/22/16			615,000		615,478
1.00%		11/07/14			135,000		135,132

Federal Home Loan Bank
0.55%		10/05/15			315,000		315,077
0.60%		08/06/15			51,852		51,854

Total U.S. Agency Securities
(Cost $1,116,828)							1,117,541


Issues	Maturity Date			Principal Amount/ Shares		Value
U.S. TREASURY SECURITIES — 3.37%
U.S. Treasury Notes — 3.37%
U.S. Treasury Notes - Treasury Inflation
Indexed Notes
0.63%		04/15/13	⁸	$	1,640,000	$	1,795,782
1.88%		07/15/13	⁸		290,000		372,647

Total U.S. Treasury Securities
(Cost $2,164,279)							2,168,429

Total Bonds – 85.42%
(Cost $52,251,121)							54,987,255

SHORT-TERM INVESTMENTS — 17.25%
Commercial Paper — 0.44%
Lloyds TSB Bank PLC (United Kingdom)
0.39%⁹		10/25/12	⁴		285,000		284,937

Money Market Fund — 1.97%
BlackRock Liquidity Funds TempFund Portfolio
0.14%¹⁰					620,000		620,000
Dreyfus Cash Advantage Fund
0.12%¹⁰					59,000		59,000
DWS Money Market Series Institutional Funds
0.15%¹⁰					591,000		591,000

							1,270,000

U.S. Agency Discount Notes — 13.60%
Fannie Mae
0.12%⁹		10/24/12			370,000		369,986
0.13%⁹		10/03/12			272,000		271,999
0.13%⁹		12/19/12			1,930,000		1,929,873
Federal Home Loan Bank
0.12%⁹		11/09/12			3,500,000		3,499,564
0.13%⁹		10/05/12			1,330,000		1,329,981
0.13%⁹		11/07/12			1,350,000		1,349,826

							8,751,229

U.S. Treasury Bills — 1.24%
U.S. Treasury Bills
0.10%⁹		12/13/12	¹¹		130,000		129,979
0.10%⁹		10/04/12			665,000		664,994

							794,973

Total Short-Term Investments
(Cost $11,100,710)							11,101,139


	Value
Total Investments – 102.67%
(Cost $63,351,831)¹	$	66,088,394


Liabilities in Excess of Other
Assets – (2.67)%		(1,716,273	)

NET ASSETS – 100.00%	$	64,372,121


Contracts			Unrealized Appreciation/ (Depreciation)
	FUTURES CONTRACTS: SHORT POSITIONS
	24	U.S. Treasury Five Year Note
		Expiration December 2012		$	(11,289	)
	74	U.S. Treasury Ten Year Note
		Expiration December 2012			(61,362	)
	11	U.S. Treasury Thirty Year Long Bond,
		Expiration December 2012			5,728

		Net unrealized depreciation		$	(66,923	)


	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 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 18, due 06/20/17. Counterparty: JPMorgan Chase & Co.
	06/20/17		$	(44,483	)		$	594		$48,543		$	4,060

			$	(44,483	)		$	594		$48,543		$	4,060

^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 $63,351,831 and net unrealized appreciation/ (depreciation) consists of:


Gross unrealized appreciation	$	3,064,084
Gross unrealized depreciation		(327,521	)

Net unrealized appreciation	$	2,736,563

²	Floating rate security. The rate disclosed was in effect at September 30, 2012.

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

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

08/16/12

Navistar, Inc., Term Loan B, 1st

Lien, 7.00%, 08/17/17

$495,036

508,125

0.79

⁶	Illiquid security as determined under procedures approved by the Fund’s Board of Trustees. The aggregate value of illiquid securities is $97,785, which is 0.15% of total net assets.

⁷	Zero coupon bond. The rate shown is the effective yield as of September 30, 2012.

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

⁹	Represents annualized yield at date of purchase.

¹⁰	Represents the current yield as of September 30, 2012.

¹¹	Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $129,978.

^†

Fair valued security. The aggregate value of fair valued securities is $680,014, which is 1.06% of total net assets, which have not been valued utilizing an independent quote and were valued pursuant to guidelines established by the Board of Trustees. This figure 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.

(BKNT): Banker’s Note, Inc.

(IO): Interest only

(MTN): Medium-term note

(PO): Principal only

(STEP): Step coupon bond

(WI): When issued


Issues	Maturity Date			Principal Amount		Value
BONDS – 81.14%
ASSET-BACKED SECURITIES — 12.50%**
Aircastle Aircraft Lease Backed Trust, Series 2007-1A, Class G1
0.49%		06/14/37	^2,3	$	918,153	$	826,338
Avalon IV Capital Ltd., Series 1A, Class SUB (Cayman Islands)
0.00%		04/17/23	^3,4		175,000		185,063
Avalon IV Capital Ltd., Series 2012-1A, Class C (Cayman Islands)
4.39%		04/17/23	^2,3,4		575,000		573,314
Axis Equipment Finance Receivables LLC, Series 2012-1I, Class D
5.50%		11/20/15	^†		225,000		196,311
Axis Equipment Finance Receivables LLC, Series 2012-1I, Class E1
6.25%		04/20/16	^†		225,000		188,324
Axis Equipment Finance Receivables LLC, Series 2012-1I, Class E2
7.00%		03/20/17	^†		250,000		190,499
Babcock & Brown Air Funding I Ltd., Series 2007-1A, Class G1 (Bermuda)
0.54%		11/14/33	^2,3,4		839,383		692,491
Bayview Commercial Asset Trust, Series 2004-3, Class A1
0.59%		01/25/35	^2,3		561,855		484,824
Bayview Commercial Asset Trust, Series 2006-4A, Class A1
0.45%		12/25/36	^2,3		1,297,159		965,984
Bayview Commercial Asset Trust, Series 2007-3, Class A1
0.46%		07/25/37	^2,3		717,761		511,118
CIT Education Loan Trust, Series 2007-1, Class A
0.46%		03/25/42	^2,3		1,928,561		1,755,319
Cronos Containers Program Ltd., Series 2012-1A, Class A (Bermuda)
4.21%		05/18/27	^3,4		265,833		266,492
Cronos Containers Program Ltd., Series 2012-2A, Class A (Bermuda)
3.81%		09/18/27	^3,4		400,000		405,200
Crystal River, Series 2005-1A, Class A (Cayman Islands)
0.78%		03/02/46	^2,3,4		470,845		57,361
EFS Volunteer LLC, Series 2010-1, Class A2
1.30%		10/25/35	^2,3		800,000		766,195
GE Business Loan Trust, Series 2004-1, Class A
0.51%		05/15/32	^2,3		832,271		773,805
GE Business Loan Trust, Series 2004-2A, Class A
0.44%		12/15/32	^2,3		547,314		509,802
GE Business Loan Trust, Series 2005-1A, Class A3
0.47%		06/15/33	^2,3		1,267,160		1,092,539


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
GE Business Loan Trust, Series 2005-2A, Class A
0.46%		11/15/33	^2,3	$	1,141,601	$	1,004,728
GE Seaco Finance SRL, Series 2004-1A, Class A (Barbados)
0.52%		04/17/19	^2,3,4		190,000		186,863
GE Seaco Finance SRL, Series 2005-1A, Class A (Barbados)
0.47%		11/17/20	^2,3,4		403,750		391,581
Genesis Funding Ltd., Series 2006-1A, Class G1 (Bermuda)
0.46%		12/19/32	^2,3,4		923,045		805,634
Highland Loan Funding Ltd., Series 1A, Class A2A (Cayman Islands)
1.12%		08/01/14	^2,3,4		1,050,000		1,009,509
North Carolina State Education Authority, Series 2011-1, Class A3
1.37%		10/25/41	²		2,000,000		1,950,860
OFSI Fund Ltd., Series 2006-1, Class D (Cayman Islands)
2.13%		09/20/19	^2,3,4		550,000		411,201
PAMCO CLO, Series 1998-1A, Class B2 (Cayman Islands)
1.80%		05/01/13	^2,3,4,5,†		364,315		72,863
Peach Finance Co., Series 2000, Class A
4.71%		04/15/48	³		611,761		636,231
PMC Aviation LLC, Series 2012-1I, Class A
18.00%		04/15/15	^†		475,000		479,745
Scholar Funding Trust, Series 2012-B, Class A2
1.32%		03/28/46	^2,3		1,000,000		966,182
Sound Point CLO Ltd., Series 2012-1A, Class C
3.71%		10/20/23	³		625,000		596,250
Symphony CLO Ltd., Series 2012-9A, Class C (Cayman Islands)
3.70%		04/16/22	^2,3,4		575,000		561,571
TAL Advantage LLC, Series 2006-1, Class NOTE
0.41%		04/20/21	^2,3		215,000		210,615
TAL Advantage LLC, Series 2010-2A, Class A
4.30%		10/20/25	³		416,292		420,597
TAL Advantage LLC, Series 2011-1A, Class A
4.60%		01/20/26	³		208,333		222,899
TAL Advantage LLC, Series 2011-2A, Class A
4.31%		05/20/26	³		433,333		451,076
Textainer Marine Containers Ltd., Series 2005-1A, Class A (Bermuda)
0.47%		05/15/20	^2,3,4,†		300,000		295,876
Textainer Marine Containers Ltd., Series 2011-1A, Class A (Bermuda)
4.70%		06/15/26	^3,4		1,093,750		1,151,283


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Trip Rail Master Funding LLC, Series 2011-1A, Class A1A
8.00%		07/06/14	^3,5,†	$	461,429	$	461,424
Triton Container Finance LLC, Series 2006-1A, Class NOTE
0.39%		11/26/21	^2,3		531,250		516,743
Triton Container Finance LLC, Series 2007-1A, Class NOTE
0.36%		02/26/19	^2,3		324,740		320,162
US Education Loan Trust IV LLC, Series 2006-1, Class A4
0.31%		03/01/41	^3,6,†		900,000		746,999
Wind River CLO Ltd, Series 2004-1A, Class B1 (Cayman Islands)
1.48%		12/19/16	^2,3,4		500,000		453,056

Total Asset-Backed Securities
(Cost $25,201,964)							24,764,927


BANK LOANS — 2.75%*
Automotive — 0.51%
Chrysler Group LLC, Term Loan, 1st Lien
6.00%		05/24/17	^2,7		989,975		1,011,355

Electric — 0.52%
Boston Generating LLC, Term Loan, 1st Lien
0.01%		12/20/13	^{2,5,6,7,8,†}		107,166		—
Texas Competitive Electric Holdings Co. LLC, Term Loan EXT, 1st Lien
4.76%		10/10/17	^2,7		1,500,000		1,037,109

							1,037,109

Energy — 0.36%
MACH Gen LLC, Term Loan 2nd Lien (PIK)
7.93%		02/15/15	^2,7		1,106,537		707,262

Gaming — 1.36%
Caesars Entertainment Operating Co., Inc., Term Loan B6, 1st Lien
5.47%		01/28/18	^2,7		2,950,000		2,688,716

Total Bank Loans
(Cost $5,681,795)							5,444,442


CORPORATES — 17.16%*
Banking — 1.74%
Bank of America Corp.
5.62%		07/01/20			470,000		536,801
Bank of America Corp. (MTN)
5.00%		05/13/21			1,090,000		1,200,223
Chase Capital VI
1.07%		08/01/28	²		1,000,000		768,480
Deutsche Bank Capital Funding Trust VII
5.63%		01/19/49	^2,3		1,000,000		940,000

							3,445,504


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Communications — 0.36%
CCO Holdings LLC/CCO Holdings Capital Corp.
7.00%		01/15/19		$	310,000	$	337,900
Windstream Corp. (WI)
8.12%		09/01/18			345,000		369,150

							707,050

Electric — 1.82%
Calpine Construction Finance Co. LP and CCFC Finance Corp.
8.00%		06/01/16	³		720,000		777,600
Dynegy Roseton/Danskammer Pass-Through Trust, Series B
7.67%		11/08/16	^6,8		1,175,000		710,875
Mirant Mid Atlantic Pass-Through Trust, Series C
10.06%		12/30/28			1,402,984		1,592,387
NRG Energy, Inc.
7.62%		01/15/18			475,000		516,563

							3,597,425

Energy — 3.18%
Arch Coal, Inc.
7.00%		06/15/19			1,030,000		860,050
Sabine Pass LNG LP
7.25%		11/30/13			3,430,000		3,670,100
Southern Union Co.
3.46%		11/01/66	²		2,200,000		1,765,500

							6,295,650

Finance — 5.97%
Astoria Depositor Corp.
8.14%		05/01/21	³		1,200,000		1,116,000
Chase Capital II, Series B
0.94%		02/01/27	²		3,144,000		2,422,808
CIT Group, Inc.
6.62%		04/01/18	³		1,195,000		1,365,287
Citigroup, Inc.
0.98%		08/25/36	²		3,350,000		2,257,507
General Electric Capital Corp. (MTN)
0.82%		05/05/26	²		2,319,000		1,968,518
0.92%		08/15/36	²		1,000,000		741,042
JPMorgan Chase Capital XIII, Series M
1.41%		09/30/34	²		700,000		536,244
JPMorgan Chase Capital XXIII
1.44%		05/15/47	²		200,000		139,000
Prudential Holdings LLC
8.70%		12/18/23	³		1,000,000		1,292,322

							11,838,728


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Health Care — 0.83%
CHS/Community Health Systems, Inc.
8.00%		11/15/19		$	260,000	$	286,000
HCA, Inc.
7.25%		09/15/20			472,000		531,000
HCA, Inc. (WI)
7.88%		02/15/20			398,000		449,243
Tenet Healthcare Corp.
10.00%		05/01/18			326,000		378,160

							1,644,403

Insurance — 0.61%
Farmers Exchange Capital
7.05%		07/15/28	³		1,000,000		1,219,150

Real Estate Investment Trust (REIT) — 0.28%
HCP, Inc.
7.07%		06/08/15			500,000		563,987

Transportation — 2.37%
AWAS Aviation Capital Ltd. (Ireland)
7.00%		10/15/16	^3,4		556,400		589,784
Continental Airlines Pass-Through Trust, Series 2007, Class 1B
6.90%		04/19/22			2,527,869		2,660,582
Delta Air Lines Pass-Through Trust, Series 2002, Class G1
6.72%		01/02/23			671,474		737,781
JetBlue Airways Pass-Through Trust, Series 2004, Class G1
0.81%		08/15/16	²		754,004		703,109

							4,691,256

Total Corporates
(Cost $32,153,526)							34,003,153


MORTGAGE-BACKED — 48.73%**
Commercial Mortgage-Backed — 2.20%
Bayview Commercial Asset Trust, Series 2005-A4, Class A1
0.52%		01/25/36	^2,3		1,873,626		1,395,145
Bayview Commercial Asset Trust, Series 2006-SP1, Class M1
0.67%		04/25/36	^2,3		1,275,000		904,579
GE Business Loan Trust, Series 2003-1, Class B
1.52%		04/15/31	^2,3		499,280		439,679
GE Business Loan Trust, Series 2003-2A, Class A
0.59%		11/15/31	^2,3		877,122		816,555
GE Business Loan Trust, Series 2005-1A, Class C
0.92%		06/15/33	^2,3		516,189		381,916


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed (continued)
GE Business Loan Trust, Series 2005-2A, Class B
0.72%		11/15/33	^2,3	$	518,909	$	418,439

							4,356,313

Non-Agency Mortgage-Backed — 35.88%
ACE Securities Corp., Series 2003-MH1, Class B1
6.50%		08/15/30	^2,3		248,413		250,457
ACE Securities Corp., Series 2006-HE3, Class A2C
0.37%		06/25/36	²		2,480,132		1,021,373
Asset Backed Securities Corp. Home Equity, Series 2007-HE1, Class A4
0.36%		12/25/36	²		3,000,000		1,594,225
Banco de Credito Y Securitizacion SA, Series 2001-1, Class AF (Argentina)
8.00%		06/30/20	^3,4,5		5,000		375
BCAP LLC Trust, Series 2011-RR3, Class 1A5
3.10%		05/27/37	^2,3		1,864,262		1,823,162
BCAP LLC Trust, Series 2010-RR11, Class 3A2
3.02%		06/27/36	^2,3		2,016,368		1,884,941
BCAP LLC Trust, Series 2011-RR3, Class 5A3
2.84%		11/27/37	^2,3		2,478,672		2,362,642
BCAP LLC Trust, Series 2011-RR4, Class 1A3
3.10%		03/26/36	^2,3		1,173,624		1,123,549
Bear Stearns Alt-A Trust, Series 2005-1, Class A1
0.78%		01/25/35	²		1,142,238		1,058,629
BHN I Mortgage Fund, Series 2000-1, Class AF (Argentina)
8.00%		01/31/20	^3,4,5,†		110		1
Centex Home Equity, Series 2006-A, Class AV4
0.47%		06/25/36	²		4,300,000		3,394,315
Citicorp Residential Mortgage Securities, Inc., Series 2007-1, Class A5 (STEP)
6.05%		03/25/37	^†		1,750,000		1,487,499
Citigroup Mortgage Loan Trust, Inc., Series 2007-WFH2, Class A3
0.40%		03/25/37	²		2,500,000		2,171,080
Conseco Finance Securitizations Corp., Series 2001-4, Class A4
7.36%		09/01/33			889,954		944,284
Conseco Finance Securitizations Corp., Series 2002-1, Class A
6.68%		12/01/33	²		52,937		55,406
Conseco Finance, Series 2002-C, Class BF1
8.00%		06/15/32	²		3,340,143		3,334,769


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Conseco Finance, Series 2002-C, Class BF2
8.00%		06/15/32	^2,3	$	944,896	$	731,259
Conseco Financial Corp., Series 1996-10, Class M1
7.24%		11/15/28	²		2,700,000		2,968,647
Conseco Financial Corp., Series 1996-7, Class M1
7.70%		10/15/27	²		1,162,000		1,267,157
Conseco Financial Corp., Series 1996-8, Class A6
7.60%		10/15/27	²		9,599		9,798
Conseco Financial Corp., Series 1997-3, Class A7
7.64%		03/15/28	²		479,139		531,124
Conseco Financial Corp., Series 1998-3, Class A6
6.76%		03/01/30	²		901,434		974,926
Conseco Financial Corp., Series 1998-4, Class A6
6.53%		04/01/30	²		1,073,080		1,122,893
Conseco Financial Corp., Series 1998-4, Class A7
6.87%		04/01/30	²		531,356		571,295
Conseco Financial Corp., Series 1999-5, Class A5
7.86%		03/01/30	²		126,787		111,191
Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB6, Class A24
0.47%		07/25/36	²		3,000,000		1,416,052
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB3, Class A1 (STEP)
4.96%		03/25/37			2,375,686		1,136,993
Deutsche Financial Capital Securitization LLC, Series 1997-I, Class A3
6.75%		09/15/27			17,460		17,613
First Franklin Mortgage Loan Asset Backed Certificates, Series 2006-FF18, Class A2B
0.33%		12/25/37	²		1,473,588		871,501
First Franklin Mortgage Loan Asset Backed Certificates, Series 2007-FF1, Class A2D
0.44%		01/25/38	²		3,900,000		1,960,452
Green Tree Home Improvement Loan Trust, Series 1995-C, Class B2
7.60%		07/15/20			269		269
Green Tree Home Improvement Loan Trust, Series 1995-D, Class B2
7.45%		09/15/25			47,540		42,829
Green Tree Home Improvement Loan Trust, Series 1995-F, Class B2
7.10%		01/15/21			5,560		5,451


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Green Tree, Series 2008-MH1, Class A3
8.97%		04/25/38	^2,3	$	1,646,392	$	1,817,968
GSAMP Trust, Series 2007-FM2, Class A2B
0.31%		01/25/37	²		2,600,000		1,004,597
Harborview Mortgage Loan Trust, Series 2006-8, Class 2A1A
0.41%		07/21/36	²		680,762		476,682
Indymac Index Mortgage Loan Trust, Series 2007-FLX2, Class A1C
0.41%		04/25/37	²		2,641,326		1,222,073
Indymac Manufactured Housing Contract, Series 1997-1, Class A3
6.61%		02/25/28			637,886		636,792
Indymac Manufactured Housing Contract, Series 1997-1, Class A4
6.75%		02/25/28			268,529		268,088
Indymac Manufactured Housing Contract, Series 1998-1, Class A4
6.49%		09/25/28			211,829		206,062
Indymac Manufactured Housing Contract, Series 1998-1, Class A5
6.96%		09/25/28	²		510,580		546,540
Indymac Manufactured Housing Contract, Series 1998-2, Class A2
6.17%		08/25/29			82,843		82,854
Indymac Manufactured Housing Contract, Series 1998-2, Class A4
6.64%		08/25/29	²		820,181		821,361
JPMorgan Mortgage Acquisition Corp., Series 2007-HE1, Class AF6 (STEP)
5.05%		03/25/47			1,609,120		1,021,673
Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class A6
6.47%		04/15/40	²		959,758		1,067,907
Lehman ABS Mortgage Loan Trust, Series 2007-1, Class 2A1
0.31%		06/25/37	^2,3		115,015		52,441
Lehman XS Trust, Series 2006-13, Class 1A2
0.39%		09/25/36	²		1,695,307		1,304,975
Lehman XS Trust, Series 2006-19, Class A2
0.39%		12/25/36	²		1,661,175		1,212,856
Lehman XS Trust, Series 2006-9, Class A1B
0.38%		05/25/46	²		1,714,763		1,317,581
Merrill Lynch Alternative Note Asset, Series 2007-A3, Class A2D
0.55%		04/25/37	²		1,696,107		176,022
Merrill Lynch Mortgage Investors, Inc., Series 2004-HE2, Class A2C
0.80%		08/25/35	²		709,726		602,455


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Mid-State Trust, Series 11, Class B
8.22%		07/15/38		$	16,198	$	16,130
Mid-State Trust, Series 2004-1, Class B
8.90%		08/15/37			1,194,363		1,231,896
Mid-State Trust, Series 2004-1, Class M1
6.50%		08/15/37			826,030		828,277
Mid-State Trust, Series 2005-1, Class A
5.74%		01/15/40			315,698		334,919
Mid-State Trust, Series 6, Class A3
7.54%		07/01/35			527,853		536,799
Mid-State Trust, Series 6, Class A4
7.79%		07/01/35			43,010		42,961
Morgan Stanley Mortgage Loan Trust, Series 2006-7, Class 5A2
5.96%		06/25/36	²		3,203,296		1,878,402
Oakwood Mortgage Investors, Inc. 2001-D A3
5.90%		09/15/22	²		1,537,836		1,155,579
Oakwood Mortgage Investors, Inc., Series 1998-A, Class A4
6.20%		05/15/28			475		479
Oakwood Mortgage Investors, Inc., Series 1998-B, Class A4
6.35%		03/15/17			57,991		59,094
Oakwood Mortgage Investors, Inc., Series 1998-D, Class A
6.40%		01/15/29			591,526		597,608
Oakwood Mortgage Investors, Inc., Series 1999-A, Class A2
5.89%		04/15/29			129,406		131,479
Oakwood Mortgage Investors, Inc., Series 1999-B, Class A4
6.99%		12/15/26			1,084,220		1,095,803
Oakwood Mortgage Investors, Inc., Series 2002-A, Class A3
6.03%		05/15/24	²		983,607		985,144
Oakwood Mortgage Investors, Inc. 2002-A AIO (IO)
6.00%		03/15/32	^5,†		176,245		2
Opteum Mortgage Acceptance Corp., Series 2005-5, Class 2A1B
5.64%		12/25/35	²		312,850		312,366
Origen Manufactured Housing, Series 2005-A, Class M1
5.46%		06/15/36	²		969,222		1,027,175
Origen Manufactured Housing, Series 2006-A, Class A1
0.37%		11/15/18	²		375,503		372,082
Park Place Securities, Inc., Series 2005-WCH1, Class M2
0.74%		01/25/36	²		925,488		907,235


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Residential Accredit Loans, Inc., Series 2005-QA3, Class NB1
3.27%		03/25/35	^2,†	$	1,583,370	$	1,045,029
Securitized Asset Backed Receivables LLC Trust, Series 2007-BR4, Class A2C
0.51%		05/25/37	²		2,476,261		1,216,879
SG Mortgage Securities Trust, Series 2007-NC1, Class A2
0.46%		12/25/36	^2,3		2,514,575		1,203,659
Specialty Underwriting & Residential Finance, Series 2006-AB3, Class A2B
0.37%		09/25/37	²		887,527		436,220
Terwin Mortgage Trust, Series 2004-7HE, Class A1
0.77%		07/25/34	^2,3		122,539		109,779
UCFC Home Equity Loan, Series 1998-D, Class BF1
8.74%		04/15/30	²		585		273
UCFC Manufactured Housing Contract, Series 1997-4, Class A4
7.00%		04/15/29	²		468,812		479,260
Vanderbilt Acquisition Loan Trust, Series 2002-1, Class A4
6.57%		05/07/27	²		671,299		706,194
Vanderbilt Mortgage Finance, Series 2000-C, Class ARM
0.58%		10/07/30	²		733,599		571,078
Vanderbilt Mortgage Finance, Series 2001-C, Class M1
6.76%		01/07/32			457,056		465,830
Vanderbilt Mortgage Finance, Series 2002-C, Class A5
7.60%		12/07/32			1,100,000		1,133,451
WaMu Mortgage Pass-Through Certificates, Series 2005-AR19, Class A1A2
0.51%		12/25/45	²		1,150,357		1,049,135
Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2007-OA2, Class 2A
0.85%		01/25/47	²		2,333,550		1,070,213
Washington Mutual MSC Mortgage Pass-Through CTFS, Series 2003-MS9, Class 1A
7.00%		04/25/33			12,120		12,546

							71,098,060

U.S. Agency Mortgage-Backed — 10.65%
Fannie Mae Pool AB3866
3.50%		11/01/41			523,610		563,904
Fannie Mae REMICS, Series 2003-64, Class KS
9.35%		07/25/18	²		610,919		688,199


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae REMICS, Series 2006-104,
Class GL
16.16%		11/25/36	²	$	755,285	$	1,011,078
Fannie Mae, Series 1993-80, Class S
10.61%		05/25/23	²		9,590		11,037
Fannie Mae, Series 2000-45, Class SA (IO)
7.73%		12/18/30	²		1,681,167		307,762
Fannie Mae, Series 2001-42, Class SB
8.50%		09/25/31	²		1,606		1,554
Fannie Mae, Series 2003-124, Class TS
9.80%		01/25/34	²		23,409		27,330
Fannie Mae, Series 2003-37, Class IG (IO)
5.50%		05/25/32			125,005		3,512
Fannie Mae, Series 2005-92, Class US (IO)
5.88%		10/25/25	²		6,140,617		906,239
Fannie Mae, Series 2006-125, Class SM (IO)
6.98%		01/25/37	²		6,763,404		1,136,168
Fannie Mae, Series 2008-50, Class SA (IO)
5.83%		11/25/36	²		6,286,116		1,077,093
Fannie Mae, Series 2010-112, Class PI (IO)
6.00%		10/25/40			4,733,792		663,877
Fannie Mae, Series 2010-43, Class KS (IO)
6.20%		05/25/40	²		5,076,329		845,883
Freddie Mac Gold Pool (TBA)
2.50%		11/15/27			470,000		492,619
Freddie Mac REMICS, Series 2990,
Class ND
16.33%		12/15/34	²		658,825		855,097
Freddie Mac, Series 1602, Class SN
10.09%		10/15/23	²		14,590		21,127
Freddie Mac, Series 1673, Class SD
15.64%		02/15/24	²		478,399		658,375
Freddie Mac, Series 1760, Class ZD
1.24%		02/15/24	²		1,028,200		1,043,745
Freddie Mac, Series 2642, Class BW (IO)
5.00%		06/15/23			47,454		5,149
Freddie Mac, Series 2657, Class LX (IO)
6.00%		05/15/18			200,949		10,171
Freddie Mac, Series 2764, Class SH
7.50%		03/15/34	²		45,200		45,458
Freddie Mac, Series 3242, Class SA (IO)
6.13%		11/15/36	²		20,896,593		3,294,446
Freddie Mac, Series 3247, Class SI (IO)
0.15%		08/15/36	²		61,285,862		261,752


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac, Series 3260, Class AS (IO)
6.16%		01/15/37	²	$	21,249,920	$	2,865,834
Freddie Mac, Series 3289, Class SD (IO)
5.90%		03/15/37	²		5,130,499		612,175
Ginnie Mae II (TBA)
3.00%		10/20/42			1,665,000		1,783,631
Ginnie Mae, Series 2001-31, Class SJ
27.24%		02/20/31	²		53,775		94,620
Ginnie Mae, Series 2003-28, Class LI (IO)
5.50%		02/20/32			14,280		206
Ginnie Mae, Series 2004-8, Class SE
13.87%		11/26/23	²		234,979		295,678
Ginnie Mae, Series 2010-20, Class SE (IO)
6.03%		02/20/40	²		5,155,751		852,451
Ginnie Mae, Series 2012-7, Class PI (IO)
3.50%		01/20/38			5,201,568		680,807

							21,116,977

Total Mortgage-Backed
(Cost $88,424,823)							96,571,350

Total Bonds – 81.14%
(Cost $151,462,108)							160,783,872


Issues		Shares		Value
PREFERRED STOCK — 1.17%
Electric — 0.61%
PPL Corp.
0.12%			22,500		1,204,875

Finance — 0.56%
Citigroup Capital XIII
0.05%			40,000		1,114,000
Terwin Mortgage Trust 2005-P1 A
0.00%^5,7,†	11/25/35		570		1

					1,114,001

Total Preferred Stock
(Cost $2,166,143)					2,318,876


Issues	Maturity Date			Principal Amount/ Shares		Value
SHORT-TERM INVESTMENTS — 18.57%
Commercial Paper — 1.87%
Lloyds TSB Bank PLC (United Kingdom)
0.25%⁹		12/03/12	⁴	$	1,856,000	$	1,854,938
RBS Holdings USA, Inc.
0.32%⁹		11/16/12			1,855,000		1,854,242

							3,709,180

Money Market Fund — 1.99%
BlackRock Liquidity Funds
TempFund Portfolio
0.14%¹⁰					1,957,000		1,957,000
Dreyfus Cash Advantage Fund
0.12%¹⁰					9,000		9,000
DWS Money Market Series
Institutional Funds
0.15%¹⁰					1,976,000		1,976,000

							3,942,000

Repurchase Agreements — 13.12%
Deutsche Bank AG (Dated 09/28/12, total to be received $26,000,433, (collateralized by U.S. government sponsored agency obligations, 1.13% to 4.00%, due from 06/12/13 to 02/27/14, par and fair value of $26,056,573 and $26,520,001, respectively))
0.20%		10/01/12			26,000,000		26,000,000

U.S. Agency Discount Notes — 1.59%
Federal Home Loan Bank
0.11%⁹		10/05/12			3,155,000		3,154,963

Total Short-Term Investments
(Cost $36,806,393)							36,806,143

Total Investments – 100.88%
(Cost $190,434,644)¹							199,908,891


Liabilities in Excess of Other
Assets – (0.88)%							(1,748,035	)

NET ASSETS – 100.00%						$	198,160,856


	Expiration Date	Notional Amount (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 6.00% coupon, 30-year, fixed rate Fannie Mae residential mortgage-backed securities pools. Counterparty: Deutsche Bank AG
	01/12/39	$	617	$	(6,456	)	$	(6,456	)

		$	617	$	(6,456	)	$	(6,456	)

Notes:

¹	Cost for federal income tax purposes is $190,538,388 and net unrealized appreciation/(depreciation) consists of:


Gross unrealized appreciation	$	19,308,409
Gross unrealized depreciation		(9,937,906	)

Net unrealized appreciation	$	9,370,503

²	Floating rate security. The rate disclosed was in effect at September 30, 2012.

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 $534,666, which is 0.27% of total net assets.

⁶	Non-income producing security.

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


Date of Purchase	Security	Amortized Cost		Value		% of Total Net Assets
12/19/06	Boston Generating LLC, Term Loan, 1st Lien, 0.01%, 12/20/13	$	107,166		–		0.00%
06/24/10	Caesars Entertainment Operating Co., Inc., Term Loan B6, 1st Lien, 5.47%, 01/28/18		2,705,571		2,688,716		1.36%
12/12/2011	Chrysler Group LLC, Term Loan, 1st Lien, 6.00%, 05/24/17		925,243		1,011,355		0.51%
04/01/2011	MACH Gen LLC, Term Loan 2nd Lien (PIK), 7.93%, 02/15/15		1,000,737		707,262		0.36%
04/19/05	Terwin Mortgage Trust 2005-P1 A, 0.00%, 11/25/35		2,893		1		0.00%
05/10/12	Texas Competitive Electric Holdings Co. LLC, Term Loan EXT, 1st Lien, 4.76%, 10/10/17		943,078		1,037,109		0.52%

		$	5,684,688	$	5,444,443		2.75%

⁸	Security is currently in default with regard to scheduled interest or principal payments.

⁹	Represents annualized yield at date of purchase.

¹⁰	Represents the current yield as of September 30, 2012.

^†

Fair valued security. The aggregate value of fair valued securities is $5,164,573, which is 2.61% 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 – 67.86%
ASSET-BACKED SECURITIES — 4.80%**
Access Group, Inc., Series 2005-2, Class A3
0.61%		11/22/24	²	$	50,000	$	48,999
Arizona Educational Loan Marketing Corp., Series 2003-C, Class C1
0.67%		06/01/23	²		15,721		15,717
Aviation Capital Group Trust, Series 2003-2A, Class G2
1.02%		09/20/33	^2,3		51,767		40,120
Bayview Commercial Asset Trust, Series 2004-3, Class A1
0.59%		01/25/35	^2,3		48,857		42,159
Brazos Higher Education Authority, Inc., Series 2004-I, Class A2
0.53%		06/27/22	²		12,388		12,343
Brazos Higher Education Authority, Inc., Series 2005-2, Class A10
0.49%		12/26/19	²		25,000		24,797
College Loan Corp. Trust, Series 2007-1, Class A3
0.55%		04/25/29	²		20,000		18,139
Collegiate Funding Services Education Loan Trust, Series 2004-A, Class A3
0.57%		09/28/26	²		20,000		19,877
Iowa Student Loan Liquidity Corp., Series 2011-1, Class A
1.62%		06/25/42	²		18,380		18,529
Nelnet Student Loan Trust, Series 2007-1, Class A1
0.44%		11/27/18	²		14,812		14,761
North Carolina State Education Authority, Series 2011-1, Class A3
1.37%		10/25/41	²		15,000		14,631
Scholar Funding Trust, Series 2011-A, Class A
1.35%		10/28/43	^2,3		12,616		12,370
SLM Student Loan Trust, Series 2006-4, Class A4
0.53%		04/25/23	²		12,004		12,001
South Carolina Student Loan Corp., Series A1
0.52%		12/03/18	²		13,860		13,839

Total Asset-Backed Securities
(Cost $297,412)							308,282


CORPORATES — 18.09%*
Banking — 2.67%
Lloyds TSB Bank PLC (United Kingdom)
2.80%		01/24/14	^2,4		70,000		71,300
National Australia Bank Ltd., Series REGS (Australia)
1.18%		04/11/14	^2,4		100,000		100,248

							171,548


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Electric — 0.50%
W3A Funding Corp.
8.09%		01/02/17		$	31,040	$	32,265

Finance — 9.80%
Chase Capital II, Series B
0.94%		02/01/27	²		200,000		154,123
Citigroup, Inc.
2.14%		05/15/18	²		142,000		140,333
General Electric Capital Corp. (MTN)
0.82%		05/05/26	²		200,000		169,773
Macquarie Group Ltd. (Australia)
7.30%		08/01/14	^3,4		35,000		37,710
Prudential Holdings LLC (AGM)
1.26%		12/18/17	^2,3		100,000		96,141
Woodbourne Capital Trust I
2.74%		04/08/49	^2,3,5		80,000		31,200

							629,280

Real Estate Investment Trust (REIT) — 3.13%
Duke Realty LP
5.40%		08/15/14			50,000		53,373
HCP, Inc.
2.70%		02/01/14			50,000		51,066
Healthcare Realty Trust, Inc.
5.12%		04/01/14			40,000		41,977
WEA Finance LLC/WT Finance Aust Pty Ltd.
7.50%		06/02/14	³		50,000		54,208

							200,624

Transportation — 1.99%
Continental Airlines Pass-Through Trust, Series 1997, Class 4A
6.90%		01/02/18			117,837		127,816

Total Corporates
(Cost $1,135,129)							1,161,533

MORTGAGE-BACKED — 34.78%**
Commercial Mortgage-Backed — 7.14%
Banc of America Commercial Mortgage, Inc., Series 2004-1, Class A4
4.76%		11/10/39			20,000		20,751
Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2005-1, Class A3
4.88%		11/10/42			15,562		15,713
Bear Stearns Commercial Mortgage Securities, Series 2006-T22, Class A3
5.71%		04/12/38	²		21,830		21,824
Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2007-CD4, Class A2B
5.20%		12/11/49			14,936		15,224


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed (continued)
Commercial Mortgage Asset Trust, Series 1999-C1, Class A4
6.98%		01/17/32	²	$	27,003	$	27,510
Commercial Mortgage Pass-Through Certificates, Series 2005-C6, Class A5A
5.12%		06/10/44	²		33,000		36,524
Credit Suisse Mortgage Capital Certificates, Series 2006-C5, Class AAB
5.31%		12/15/39			22,828		23,221
GS Mortgage Securities Corp. II, Series 2003-C1, Class A3
4.61%		01/10/40			4,654		4,662
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2002-C2, Class A2
5.05%		12/12/34			12,183		12,185
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2004-C3, Class A5
4.88%		01/15/42			25,000		26,851
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2005-CB11, Class A4
5.34%		08/12/37	²		25,000		27,718
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2005-LDP2, Class A3A
4.68%		07/15/42			22,623		22,949
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2005-LPD4, Class A4
4.92%		10/15/42	²		25,000		27,846
LB-UBS Commercial Mortgage Trust, Series 2003-C8, Class A4
5.12%		11/15/32	²		29,000		30,032
LB-UBS Commercial Mortgage Trust, Series 2005-C3, Class A5
4.74%		07/15/30			20,000		21,832
LB-UBS Commercial Mortgage Trust, Series 2005-C7, Class A2
5.10%		11/15/30			29,904		29,966
Merrill Lynch Mortgage Trust, Series 2005-CIP1, Class A2
4.96%		07/12/38			16,890		17,267
Prudential Commercial Mortgage Trust, Series 2003-PWR1, Class A1
3.67%		02/11/36			3,962		3,959
Prudential Commercial Mortgage Trust, Series 2003-PWR1, Class A2
4.49%		02/11/36			25,000		25,234
Wachovia Bank Commercial Mortgage Trust, Series 2004-C10, Class A4
4.75%		02/15/41			21,316		22,182
Wachovia Bank Commercial Mortgage Trust, Series 2006-C25, Class A3
5.89%		05/15/43	²		25,000		25,102

							458,552


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed — 6.99%
Banc of America Mortgage Securities, Inc., Series 2003-A, Class 2A2
3.20%		02/25/33	²	$	7,514	$	7,430
Conseco Finance Home Loan Trust, Series 2000-E, Class M1
8.13%		08/15/31	²		14,823		14,483
Conseco Financial Corp., Series 1997-4, Class A5
6.88%		02/15/29			40,004		41,870
Countrywide Alternative Loan Trust, Series 2005-16, Class A5
0.50%		06/25/35	²		134,170		47,472
Countrywide Alternative Loan Trust, Series 2005-27, Class 3A2
1.25%		08/25/35	²		70,031		36,619
Credit Suisse First Boston Mortgage Securities Corp., Series 1997-2, Class A
7.50%		06/25/20	³		6,526		6,742
Downey Savings & Loan Association Mortgage Loan Trust, Series 2004-AR1, Class A2A
0.63%		09/19/44	²		44,779		37,051
Downey Savings & Loan Association Mortgage Loan Trust, Series 2004-AR3, Class 2A2A
0.59%		07/19/44	²		12,829		11,749
Educational Funding of the South, Inc., Series 2012-1, Class A 1.27%		03/25/36	²		14,537		14,447
Green Tree Home Improvement Loan Trust, Series 1995-C, Class B2
7.60%		07/15/20			179		179
Green Tree Home Improvement Loan Trust, Series 1995-F, Class B2
7.10%		01/15/21			24,362		23,886
Indymac Index Mortgage Loan Trust, Series 2004-AR5, Class 2A1A
1.08%		08/25/34	²		22,071		16,499
LB-UBS Commercial Mortgage Trust, Series 2005-C5, Class A4
4.95%		09/15/30			25,000		27,586
Lehman XS Trust, Series 2006-2N, Class 1A1
0.48%		02/25/46	²		59,982		37,370
Origen Manufactured Housing, Series 2006-A, Class A1
0.37%		11/15/18	²		7,641		7,571
Residential Asset Mortgage Products, Inc., Series 2004-SL1, Class A2
8.50%		11/25/31			11,394		11,381
Residential Asset Securities Corp., Series 2005-KS12, Class A2
0.47%		01/25/36	²		21,014		20,607


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Structured Asset Securities Corp., Series
2006-BC6, Class A2
0.30%		01/25/37	²	$	6,815	$	6,808
Terwin Mortgage Trust, Series 2004-13AL,
Class 2PX
0.34%		08/25/34	^3,5		9,502,736		68,122
WaMu Mortgage Pass-Through Certificates,
Series 2002-AR6, Class A
1.55%		06/25/42	²		11,832		11,102

							448,974

U.S. Agency Mortgage-Backed — 20.65%
Fannie Mae Pool 646884
2.16%		05/01/32	²		71,921		72,893
Fannie Mae Pool 802665
2.48%		12/01/34	²		12,213		12,419
Fannie Mae Pool AL0851
6.00%		10/01/40			42,342		46,851
Fannie Mae REMICS, Series 2003-11,
Class FA
1.22%		09/25/32	²		41,726		42,639
Fannie Mae Whole Loan, Series 2003-W6,
Class F
0.57%		09/25/42	²		110,228		110,038
Fannie Mae, Series 1997-91, Class SL (IO)
7.50%		11/25/23	²		174,644		38,008
Fannie Mae, Series 2003-37, Class IG (IO)
5.50%		05/25/32			30,489		857
Fannie Mae, Series 2004-33, Class MW
4.50%		01/25/30			68,290		71,267
Fannie Mae, Series 2004-78, Class FC
0.52%		12/25/22	²		19,944		19,955
Fannie Mae, Series 2007-36, Class F
0.45%		04/25/37	²		38,833		38,599
Fannie Mae, Series 2008-47, Class PF
0.72%		06/25/38	²		49,775		50,153
Fannie Mae, Series 2010-109, Class PF
0.62%		10/25/40	²		47,110		47,255
Fannie Mae, Series G-36, Class ZB
7.00%		11/25/21			2,246		2,608
Freddie Mac Non Gold Pool 781908
2.36%		09/01/34	²		43,665		46,633
Freddie Mac REMICS, Series 2581,
Class F
0.67%		12/15/32	²		63,858		63,996
Freddie Mac REMICS, Series 2649,
Class GP
4.50%		10/15/30			83,785		84,210
Freddie Mac REMICS, Series 2684,
Class F
1.12%		01/15/33	²		48,914		49,796


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac REMICS, Series 3016,
Class HK
4.50%		09/15/23		$	84,352	$	84,843
Freddie Mac Strips, Series 263, Class F5
0.72%		06/15/42	²		54,844		55,267
Freddie Mac, Series 2649, Class KX
5.00%		07/15/33			42,530		42,843
Freddie Mac, Series 2777, Class FE
0.57%		10/15/32	²		38,778		38,824
Freddie Mac, Series 3501, Class JA
4.00%		04/15/37			83,013		86,788
Freddie Mac-Ginnie Mae, Series 2, Class L
8.00%		11/25/22			11,737		12,893
NCUA Guaranteed Notes, Series 2010-R1,
Class 1A
0.68%		10/07/20	²		75,629		75,969
NCUA Guaranteed Notes, Series 2010-R3,
Class 1A
0.79%		12/08/20	²		60,687		61,089
NCUA Guaranteed Notes, Series 2011-R5,
Class 1A
0.61%		04/06/20	²		69,588		69,743

							1,326,436

Total Mortgage-Backed
(Cost $2,280,762)							2,233,962


MUNICIPAL BONDS — 1.24%*
California — 0.84%
State of California, Taxable, Various Purpose
4.85%		10/01/14			50,000		53,689

Illinois — 0.40%
State of Illinois, Taxable Bonds
4.07%		01/01/14			25,000		25,884

Total Municipal Bonds
(Cost $75,859)							79,573

U.S. AGENCY SECURITIES — 4.09%
Fannie Mae
0.50%		10/22/15			30,000		30,000
0.63%		02/22/16			65,000		65,051
Federal Home Loan Bank
0.23%		11/15/13	²		65,000		65,020
0.45%		09/04/14			60,000		60,001
0.55%		10/05/15			35,000		35,008
0.60%		08/06/15			7,778		7,778

Total U.S. Agency Securities
(Cost $262,748)							262,858


Issues	Maturity Date	Principal Amount/ Shares	Value
U.S. TREASURY SECURITIES — 4.86%
U.S. Treasury Notes — 4.86%
U.S. Treasury Notes - Treasury Inflation
Indexed Notes
0.63%	04/15/13⁶	$285,000		$ 312,072

Total U.S. Treasury Securities
(Cost $311,632)
Total Bonds – 67.86%
(Cost $4,363,542)				4,358,280


SHORT-TERM INVESTMENTS — 30.02%

Money Market Fund — 1.99%
BlackRock Liquidity Funds
TempFund Portfolio
0.14%⁷		64,000		64,000
DWS Money Market Series
Institutional Funds
0.15%⁷		64,000		64,000

				128,000

U.S. Agency Discount Notes — 16.51%
Fannie Mae
0.12%⁸	10/03/12	280,000		279,998
0.13%⁸	10/03/12	75,000		75,000
0.13%⁸	10/03/12	55,000		55,000
Federal Home Loan Bank
0.12%⁸	11/09/12	230,000		229,971
0.13%⁸	10/05/12	360,000		359,995
Freddie Mac
0.12%⁸	11/26/12	60,000		59,996

				1,059,960

U.S. Treasury Bills — 11.52%
U.S. Treasury Bills
0.09%⁸	01/17/13	195,000		194,958
0.10%⁸	12/13/12⁹	135,000		134,978
0.10%⁸	10/04/12	410,000		409,996

				739,932


Total Short-Term Investments
(Cost $1,927,867)				1,927,892


Total Investments – 97.88%
(Cost $6,291,409)¹				6,286,172

Cash and Other Assets, Less
Liabilities – 2.12%				136,279

Net Assets – 100.00%				$6,422,451


Contracts			Unrealized Appreciation
	FUTURES CONTRACTS: LONG POSITIONS
	7	S&P 500 Index, Expiration December 2012	$	18,945

		Net unrealized appreciation	$	18,945


	Expiration Date		Notional Amount (000’s)		Appreciation		Value
SWAPS: TOTAL RETURN
The Fund pays a floating rate based on 1-month USD LIBOR plus 10 basis points and the Fund receives from the counterparty the price return on the Standard & Poor’s 500 Total Return Index. Counterparty: RBS
		10/03/12	$	4	$	96,891	$	96,891

			$	4	$	96,891	$	96,891

Notes:

¹	Cost for federal income tax purposes is $ 6,292,320 and net unrealized appreciation/(depreciation) consists of:

²	Floating rate security. The rate disclosed was in effect at September 30, 2012.

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 $99,322, which is 1.55% of total net assets.

⁶	Inflation protected security. Principal amount reflects original security face amount.

⁷	Represents the current yield as of September 30, 2012.

⁸	Represents annualized yield at date of purchase.

⁹	Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $134,977.

*	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.))

(IO): Interest only

(LIBOR): London InterBank Offer Rate

(MTN): Medium-term note

(USD): U.S. dollar

* The Unconstrained Bond Fund Class M and Class I commenced operations on October 1, 2011.

The MetropolitanWest Funds (the “Trust”) is an open-end management investment company organized as a Delaware statutory trust on December 9, 1996 and registered under the Investment Company Act of 1940, as amended (the “1940 Act”). MetropolitanWest Asset Management, LLC (the “Adviser”), a federally registered investment adviser, provides the Funds (as defined below) with investment management services. The Trust currently consists of eight separate portfolios (each a “Fund” and collectively, the “Funds”): MetropolitanWest Ultra Short Bond Fund (the “Ultra Short Bond Fund”), MetropolitanWest Low Duration Bond Fund (the “Low Duration Bond Fund”), MetropolitanWest Intermediate Bond Fund (the “Intermediate Bond Fund”), MetropolitanWest Total Return Bond Fund (the “Total Return Bond Fund”), MetropolitanWest High Yield Bond Fund (the “High Yield Bond Fund”), Metropolitan West Strategic Income Fund (the “Strategic Income Fund”), MetropolitanWest AlphaTrak 500 Fund (the “AlphaTrak 500 Fund”), and Metropolitan West Unconstrained Bond Fund (the “Unconstrained Bond Fund”). The Low Duration Bond Fund commenced investment operations on March 31, 1997 with the Class M shares. Class I was added on March 31, 2000, and the Administration Class was added on September 22, 2009. The Total Return Bond Fund also commenced operations on March 31, 1997 with the Class M shares. Class I was added on March 31, 2000; Administrative Class followed on December 18, 2009 and the new Plan Class launched on August 1, 2011. The AlphaTrak 500 Fund – Class M commenced investment operations on June 29, 1998. The Intermediate Bond Fund – Class I commenced operations on June 28, 2002. The High Yield Bond Fund – Class M commenced operations on September 30, 2002. The High Yield Bond Fund – Class I commenced operations on March 31, 2003. Class M shares of the Intermediate Bond Fund, the Ultra Short Bond Fund, and the Strategic Income Fund commenced operations on June 30, 2003. The Strategic Income Fund – Class I commenced operations on March 31, 2004 and the Ultra Short Bond Fund – Class I commenced operations on July 31, 2004. The Unconstrained Bond Fund – Class M and Class I each commenced operations on October 1, 2011.

The Ultra Short Bond Fund seeks to maximize current income, consistent with preservation of capital. This Fund invests in a diversified portfolio of fixed-income securities of varying maturities with a portfolio duration of up to one year. The Fund’s dollar-weighted average portfolio maturity will normally exceed one year.

The Low Duration Bond Fund seeks to maximize current income, consistent with preservation of capital. This Fund invests in a diversified portfolio of fixed-income securities of varying maturities with a portfolio duration of up to three years. The Fund’s dollar-weighted average maturity is expected to range from one to five years.

The Intermediate Bond Fund seeks to maximize current income, consistent with preservation of capital. This Fund invests in a diversified portfolio of fixed-income securities of varying maturities with a portfolio duration of one to six years. The Fund’s dollar-weighted average maturity is expected to range from three to seven years.

The Total Return Bond Fund seeks to maximize long-term total return. This Fund invests in a diversified portfolio of fixed-income securities of varying maturities with a portfolio duration of two to eight years. The Fund’s dollar-weighted average maturity is expected to range from two to fifteen years.

The High Yield Bond Fund seeks to maximize long-term total return consistent with preservation of capital. This Fund invests in a diversified portfolio of high-yield, fixed-income securities of varying maturities with a portfolio duration of two to eight years. The Fund’s dollar-weighted average maturity is expected to range from two to fifteen years.

The Unconstrained Bond Fund seeks to provide investors with positive long-term returns irrespective of general securities market conditions. The Fund intends to pursue its objective by utilizing a flexible investment approach that allocates investments across a range of global investment opportunities related to credit, currencies and interest rates.

The Strategic Income Fund seeks to maximize long-term total return without tracking any particular markets or indices. This Fund uses techniques intended to provide absolute (positive) returns in all markets by employing a strategy intended to produce high income while exploiting disparities or inefficiencies in markets. The Fund will focus on inefficiencies related to secured or asset-backed debt compared with unsecured and subordinated debt or equity of companies and issuers. Additionally, the Fund will focus on longer-term cyclical anomalies in the fixed income markets to both enhance yield and realize potential price appreciation. These anomalies include shifts in the portfolio’s duration, yield curve anomalies, and sector- and issue-specific dislocations.

The AlphaTrak 500 Fund seeks to achieve a total return that exceeds the total return of the Standard & Poor’s 500 Index (the “S&P 500 Index”). The Fund combines non-leveraged investments in S&P 500 Index futures contracts and swaps with a diversified portfolio of fixed-income securities of varying maturities with a portfolio duration of up to three years. The Fund’s dollar-weighted average maturity is expected to range from one to five years.

A more complete description of the objectives and strategies of each of the Funds can be found in the Prospectuses and the Statement of Additional Information, which can be obtained at www.mwamllc.com or by calling (800) 241-4671.

The following is a summary of significant accounting policies consistently followed by the Funds:

The Net Asset Value of each Fund’s shares is determined by dividing the net assets attributable to each class of shares of the Fund by the number of issued and outstanding shares of the Class/Fund on each business day as of 4 p.m. ET.

Fixed-income securities for which market quotations are readily available are valued at prices as provided by independent pricing vendors or broker quotes. The Funds receive pricing information from independent pricing vendors approved by the Board of Trustees (the “Board”). 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 vendors’ 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 composed 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 61st day prior to maturity (unless the Board determines that this method does not represent fair value). S&P 500 Index futures contracts are valued at the first sale price after 4 p.m. ET on the Chicago Mercantile Exchange. All other futures contracts are valued at the official settlement price of the exchange where it is traded. Equity securities, including depository receipts, are valued at the last reported sale price or the market’s closing price on the exchange or market on which such securities are traded, as of the close of business on the day the securities are being valued or, lacking any sales, at the average of the bid and asked prices. In cases where equity securities are traded on more than one exchange, the securities are valued on the exchange or market determined by the Adviser to be the broadest and most representative market, which may be either a securities exchange or the over-the-counter market. Securities and other assets that cannot be valued as described above will be valued at their fair value as determined by the Adviser under guidelines established by and under the general supervision and responsibility of the Board.

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.

Fair value methods used by the Board include, but are not limited to, obtaining market quotations from secondary pricing services, broker-dealers, or widely used quotation systems. General factors considered in determining the fair value of securities include fundamental analytical data, the nature and duration of any restrictions on disposition of the securities, and an evaluation of the forces that influenced the market in which the investments are purchased and sold. These securities are either categorized as Level 2 or 3 depending on the relevant inputs used. In the event that the security or asset cannot be valued pursuant to one of the valuation methods established by the Board, the value of the security or asset will be determined in good faith by the Pricing Committee of the Board, generally based upon recommendation provided by MetWest. When the Fund uses these fair valuation methods applied by MetWest that use significant unobservable inputs to determine its NAV, securities will be priced by a method that the Board or persons acting at their direction believe accurately reflect fair value and are categorized as Level 3 of the fair value hierarchy. These methods may require subjective determinations about the value of a security. While the Fund’s policy is intended to result in a calculation of the Fund’s NAV that fairly reflects security values as of the time of pricing, the Fund cannot guarantee that values determined by the Board or persons acting at their direction would accurately reflect the price that the Fund could obtain for a security if it were to dispose of that security as of the time of pricing (for instance, in a forced or distressed sale). The prices used by the Fund may differ from the value that would be realized if the securities were sold.

The books and records of each Fund are maintained in U.S. dollars as follows: (1) the foreign currency market value of investment securities, and other assets and liabilities stated in foreign currencies, are translated using the daily spot rate; and (2) purchases, sales, income and expenses are translated at the rate of exchange prevailing on the respective dates of such transactions. The resultant exchange gains and losses are included in net realized or net unrealized gain (loss) in the statements of operations. Pursuant to U.S. federal income tax regulations, certain foreign exchange gains and losses included in realized and unrealized gains and losses are reclassified to ordinary income for federal income tax purposes.

The Funds may be subject to withholding taxes on income and capital gains imposed by certain countries in which they invest. The withholding tax on income is netted against the income accrued or received. Any reclaimable taxes are recorded as income. The withholding tax on realized or unrealized gain is recorded as a liability.

Securities 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 AlphaTrak 500 Fund) expect to declare distributions daily and pay them monthly to shareholders. The AlphaTrak 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 September 30, 2012, 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.

In December 2011, the FASB issued ASU No. 2011-11, Balance Sheet (Topic 210), Disclosures about Offsetting Assets and Liabilities, which requires entities to disclose information about financial instruments and derivative instruments that have been offset or that are subject to enforceable master netting arrangements, to enable users of its financial statements to understand the effect of those arrangements on its financial position. Entities will be required to provide both net (offset amounts) and gross information in the notes to the financial statements for relevant assets and liabilities that are offset or subject to the arrangements. The amendments in ASU No. 2011-11 are effective for interim and annual periods beginning on or after January 1, 2013 and an entity should provide the disclosures required by the amendments retrospectively for all comparative periods presented. The Fund is in the process of evaluating the disclosure requirements and any impact the new disclosures will have on its financial statements.

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.

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:

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 funds 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 incorporate 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 September 30, 2012, Level 3 securities consist of certain asset-backed securities, bank loans, collateralized mortgage obligations, preferred stock and corporate bonds.

The summary of inputs used to value each Fund’s net assets as of September 30, 2012 is as follows:



ULTRA SHORT BOND FUND	LEVEL 1		LEVEL 2		LEVEL 3		TOTAL

Investments in Securities
Assets
Short-Term Investments:
Money Market Funds	$	2,201,000	$	–	$	–	$	2,201,000
U.S. Agency Discount Notes		–		1,379,984		–		1,379,984
U.S. Treasury Bills		–		1,899,588		–		1,899,588
Long-Term Investments:
Asset-Backed Securities		–		1,516,714		–		1,516,714
Bank Loans		–		642,643		–		642,643
Corporates		–		14,221,839		–		14,221,839
Mortgage-Backed		–		75,623,601		–		75,623,601
Municipal Bonds		–		725,530		–		725,530
U.S. Agency Securities		–		4,034,572		–		4,034,572
U.S. Treasury Securities		–		6,133,474		–		6,133,474


Total	$	2,201,000	$	106,177,945	$	–	$	108,378,945



LOW DURATION BOND FUND	LEVEL 1		LEVEL 2			LEVEL 3		TOTAL

Investments in Securities
Assets
Short-Term Investments:
Foreign Government Obligations	$	–	$	29,691,874		$	–	$	29,691,874
Money Market Funds		33,474,000		–			–		33,474,000
Repurchase Agreements		–		36,000,000			–		36,000,000
Long-Term Investments:
Asset-Backed Securities		–		122,389,852			–		122,389,852
Bank Loans		–		19,268,072			–		19,268,072
Corporates		–		470,768,919			622,050		471,390,969
Mortgage-Backed		–		869,554,390			90		869,554,480
Municipal Bonds		–		22,351,115			–		22,351,115
U.S. Treasury Securities		–		88,741,236			–		88,741,236
Other Financial Instruments *
Liabilities:
Foreign currency exchange contracts		–		(327,959	)		–		(327,959	)
Interest rate contracts		–		(22,176	)		–		(22,176	)


Total	$	33,474,000	$	1,658,415,323		$	622,140	$	1,692,511,463

*Other financial instruments include swaptions and foreign currency exchange contracts. Interest rate contracts include swaptions.



INTERMEDIATE BOND FUND	LEVEL 1		LEVEL 2			LEVEL 3		TOTAL

Investments in Securities
Assets
Short-Term Investments:
Foreign Government Obligations	$	–	$	6,136,701		$	–	$	6,136,701
Money Market Funds		6,257,000		–			–		6,257,000
U.S. Agency Discount Notes		–		3,274,962			–		3,274,962
Long-Term Investments:
Asset-Backed Securities		–		22,109,572			–		22,109,572
Bank Loans		–		456,555			–		456,555
Corporates		–		72,929,836			–		72,929,836
Mortgage-Backed		–		126,982,274			–		126,982,274
Municipal Bonds		–		4,602,398			–		4,602,398
U.S. Agency Securities		–		4,877,548			–		4,877,548
U.S. Treasury Securities		–		67,098,701			–		67,098,701
Other Financial Instruments *
Assets:
Credit contracts		–		254,320			–		254,320
Liabilities:
Credit contracts		–		(373	)		–		(373	)
Foreign currency exchange contracts		–		(67,971	)		–		(67,971	)
Interest rate contracts		–		(27,147	)		–		(27,147	)


Total	$	6,257,000	$	308,627,376		$	–	$	314,884,376

*Other financial instruments include swap contracts, swaptions and foreign currency exchange contracts. Credit contracts include credit default swaps. Interest rate contracts include interest rate swaps and swaptions.

*Other financial instruments include swap contracts, swaptions, foreign currency exchange contracts and futures. Interest rate contracts include interest rate swaps, swaptions and futures. Credit contracts include credit default swaps.

*Other financial instruments include swap contracts and futures. Credit contracts include credit default swaps. Interest rate contracts include futures.

*Other financial instruments include swap contracts. Equity contracts include total return swaps.

**As of September 30, 2012, Boston Generating LLC, Term Loan 1st Lien had a $0 market value.

Certain of the Fund’s investments are categorized as Level 3 investments with values derived utilizing prices from prior transactions or third party pricing information without adjustment for which such inputs are unobservable. A significant change in the unobservable inputs could result in a significantly lower or higher value in such Level 3 investments.

For the six months ended September 30, 2012, the Funds had insignificant exposure in level 3 securities and no transfers between levels.

The significant unobservable inputs used in fair value measurement of the Fund’s private investments are (i) an estimation of a normalized earnings level for the company; (ii) the discounts applied to the selection of comparable investments due to the private nature of the investment; and (iii) the likelihood of achieving normalized earnings. Significant changes in any of those inputs in isolation would result in a significantly lower or higher fair value measurement. Generally, a change in the assumptions used for the normalized earnings level will be accompanied by a directionally similar change in the discounts applied to the list of comparable investments.

The following is a summary of the location of derivative instruments on the Funds’ statements of assets and liabilities as of September 30, 2012:

The following is a summary of the Funds’ derivative instrument holdings categorized by primary risk exposure as of September 30, 2012:

The following is a summary of the Funds’ realized gain/(loss) and change in unrealized appreciation/(depreciation) on derivative investments recognized in the statements of operations categorized by primary risk exposure for the six months ended September 30, 2012:

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 six months ended September 30, 2012, 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 September 30, 2012, 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 invest in repurchase agreements. In a repurchase agreement, the Funds purchase a security from a counterparty who agrees to repurchase the same security at a mutually agreed upon date and price. On a daily basis, the counterparty is required to

maintain collateral subject to the agreement and in value no less than the agreed repurchase amount. The agreements are conditioned upon the collateral being deposited under the Federal Reserve book entry system or held in a segregated account by the Funds’ custodian or designated sub-custodians under tri-party repurchase agreements. In the event the counterparty defaults and the fair value of the collateral declines, the Funds could experience losses, delays and costs in liquidating the collateral. As of September 30, 2012, the Low Duration Bond Fund, Total Return Bond Fund, High Yield Bond Fund and Strategic Income Fund held repurchase agreements.

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 six months ended September 30, 2012.

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, foreign currency exchange contracts, swap agreements and swaptions 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 and the Notes to Financial Statements.

Options - The Funds may purchase and write call and put options on securities, securities indices and on foreign currencies. A Fund may purchase put options on securities to seek to protect holdings in an underlying or related security against a substantial decline in market value. A Fund may purchase call options on securities to seek to protect against substantial increases in prices of securities the Fund intends to purchase pending its ability to invest in such securities in an orderly manner. A Fund may write a call or put option only if the option is covered by the Fund 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). As of September 30, 2012, the Funds did not hold any options.

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.

Foreign Currency - The Funds may hold foreign currency as an economic hedge against either specific transactions or portfolio instruments or to obtain exposure to foreign currencies (foreign currency exchange rate risk).

Foreign Currency Exchange Contracts - The Funds entered into foreign currency exchange contracts as an economic hedge against either specific transactions or portfolio instruments or to obtain exposure to foreign currencies (foreign currency exchange rate risk). A foreign currency exchange contract is an agreement between two parties to buy and sell a currency at a set exchange rate on a future date. Foreign currency exchange contracts, when used by a Fund, help to manage the overall exposure to the currencies in which some of the investments held by a Fund are denominated. The contract is marked-to-market daily and the change in market value is recorded by a Fund as an unrealized gain or loss. When the contract is closed, a Fund records a realized gain or loss equal to the difference between the value at the time it was opened and the value at the time it was closed. The use of foreign currency exchange contracts involves the risk that the value of a foreign currency exchange contract changes unfavorably due to movements in the value of the referenced foreign currencies and the risk that a counterparty to the contract does not perform its obligations under the agreement.

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 aggregate fair value of credit default swaps in a net liability position is reflected as unrealized depreciation and is disclosed in the Notes to Schedules of Investments. The collateral posted, net of assets received as collateral, for swap contracts is also disclosed in the Notes to Schedules of Investments. The maximum potential amount of future payments (undiscounted) that a portfolio as a seller of protection could be required to make under a credit default swap agreement is an amount equal to the notional amount of the agreement. Notional amounts of all credit default swap agreements outstanding as of September 30, 2012 for which a portfolio is the seller of protection are disclosed in the Notes to Schedules of Investments. These potential amounts are partially offset by any recovery

values of the respective referenced obligations, upfront payments received upon entering into the agreement, or net amounts received from the settlement of buy protection credit default swap agreements entered into by a portfolio for the same referenced entity or entities.

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 may write (sell) and purchase put and call swaptions. Swaption contracts written by the Funds represent an option that gives the purchaser the right, but not the obligation, to enter into a new swap agreement, or to shorten, extend, cancel or modify an existing swap agreement, on a future date on specified terms. Depending on the terms of the particular option agreement, a Fund will generally incur a greater degree of risk when it writes a swaption than it will incur when it purchases a swaption. When a Fund purchases a swaption, it risks losing only the amount of the premium it has paid should it decide to let the option expire unexercised. However, when a Fund writes a swaption, upon exercise of the option the Fund will become obligated according to the terms of the underlying agreement. At September 30, 2012, 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 cash flows. 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 in 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 September 30, 2012, the Funds had outstanding swap agreements as listed in the Funds’ Schedules of Portfolio Investments. Swap transactions present risk of loss in excess of the related amounts in the statements of assets and liabilities.

Market Risk: Because the values of the Funds’ investments will fluctuate with market conditions, so will the value of your investment in the Funds. You could lose money on your investment in the Funds or the Funds could under perform other investments.

Liquidity Risk: The Funds’ investments in illiquid securities may reduce the returns of the Funds because they may not be able to sell the illiquid securities at an advantageous time or price. Investments in high-yield securities, foreign securities, derivatives or other securities with substantial market and/or credit risk tend to have the greatest exposure to liquidity risk. Certain investments in private placements and Rule 144A securities may be considered illiquid investments. The Funds may invest in private placements and Rule 144A securities.

Interest Rate Risk: The values of the Funds’ investments fluctuate in response to movements in interest rates. If rates rise, the values of debt securities generally fall. The longer the average duration of the Funds’ investment portfolio, the greater the change in value.

Mortgage-Backed and Other Asset-Backed Securities Risk: Each Fund may invest in mortgage-backed or other asset-backed securities. The values of some mortgaged-backed or other asset-backed securities may expose a Fund to a lower rate of return upon

reinvestment of principal. When interest rates rise, the value of mortgage-related securities generally will decline; however, when interest rates are declining, the value of mortgage related-securities with prepayment features may not increase as much as other fixed-income securities. The rate of prepayments on underlying mortgages will affect the price and volatility of a mortgage-related security, and may shorten or extend the effective maturity of the security beyond what was anticipated at the time of purchase. If unanticipated rate of prepayment on underlying mortgages increases the effective maturity of a mortgage-related security, the volatility of the security can be expected to increase. The value of these securities may fluctuate in response to the market’s perception of the creditworthiness of the issuers. Additionally, although mortgages and mortgage-related securities are generally supported by some form of government or private guarantee and/or insurance, there is no assurance that private guarantors or insurers will meet their obligations.

Derivatives Risk: Use of derivatives, which at times is an important part of the Funds’ investment strategy, involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional investments. Investments in derivatives could cause the Funds to lose more than the principal amount invested. Also, suitable derivative transactions may not be available in all circumstances and there can be no assurance that the Funds will engage in these transactions to reduce exposure to other risks when that would be beneficial.

Credit Risk: The values of any of the Funds’ investments may also decline in response to events affecting the issuer or its credit rating. The lower rated debt securities in which the Fund may invest are considered speculative and are subject to greater volatility and risk of loss than investment-grade securities, particularly in deteriorating economic conditions. The value of some mortgage-related securities in which the Funds invest also may fall because of unanticipated levels of principal prepayments that can occur when interest rates decline.

Certain of the Funds invest a material portion of their assets in securities of issuers that hold mortgage- and asset-backed securities and direct investments in securities backed by commercial and residential mortgage loans and other financial assets. The value and related income of these securities are sensitive to changes in economic conditions, including delinquencies and/or defaults. Continuing shifts in the market’s perception of credit quality on securities backed by commercial and residential mortgage loans and other financial assets may result in increased volatility of market price and periods of illiquidity that can negatively impact the valuation of certain issuers held by the Funds.

Mortgage-backed securities (“MBS”) and Asset-backed securities (“ABS”) are characterized and classified in a variety of different ways. These classifications include a view of the securities’ cash flow structure (pass-through, sequential pay, prepayment-protected, interest-only, principal-only, etc.), the security of the claim on the underlying assets, (senior, mezzanine and subordinated), as well as types of underlying collateral (prime conforming loans, prime non-conforming loans, Alt-A loans, subprime loans, commercial loans, etc.) In many cases, the classification incorporates a degree of subjectivity: a particular loan might be categorized as “prime” by the underwriting standards of one mortgage issuer while another might classify the loan as “subprime.” In addition to other functions, the risk associated with an investment in a mortgage loan must take into account the nature of the collateral, the form and the level of credit enhancement, the vintage of the loan, the geography of the loan, the purpose of the loan (refinance versus purchase versus equity take-out), the borrower’s credit quality (e.g. FICO score), and whether the loan is a first trust deed or a second lien.

The mortgage industry lacks a single bright-line as to what separates a subprime loan from an Alt-A loan. Often it is a combination of loan characteristics involving both borrower criteria as well as collateral criteria that determine which category a loan is placed in. However, in order to be both conservative and objective as possible, the Adviser applied the following criteria to the Funds’ residential mortgage and asset-backed holdings in coming up with its categorizations:

Sub Prime - Any asset-backed bond whose collateral was residential mortgages were considered to be subprime, provided that the loans did not belong to the classification of manufactured housing loans.

Alt-A - Any mortgage-backed security whose average borrower FICO score was less than 730 and/or was listed as an Alt-A pool by Bloomberg were considered to be Alt-A bonds.

Counterparty Risk: The Funds may be exposed to counterparty risk, or the risk that an entity with which the Funds have unsettled or open transactions may default. Financial assets, which potentially expose the Funds to credit and counterparty risks, consist principally of investments and cash due from counterparties. The extent of the Funds’ exposure to credit and counterparty risks with respect to these financial assets is approximated by their fair value recorded in the Funds’ statements of assets and liabilities.

While no single measure can account for all the risk factors, one of the most commonly referenced aggregate risk metrics is the

bond’s ratings per Moody’s and S&P. As of September 30, 2012, the market value exposure of these positions was as follows (unaudited):


			PERCENTAGE OF TOTAL NET ASSETS BY CREDIT QUALITY
PORTFOLIO	MARKET VALUE		AAA			AA			A			BBB			BIG^*
Ultra Short Bond Fund
Alt-A	$	9,673,764		4.32	%		0.32	%		0.77	%		1.25	%		2.10	%
Sub Prime		9,181,116		0.68	%		1.22	%		0.33	%		0.03	%		6.05	%
Low Duration Bond Fund
Alt-A		145,967,509		3.19	%		0.38	%		0.42	%		0.49	%		4.23	%
Sub Prime		144,055,466		2.17	%		1.77	%		0.12	%		0.35	%		4.18	%
Intermediate Bond Fund
Alt-A		8,879,624		1.64	%		0.01	%		0.16	%		0.01	%		1.03	%
Sub Prime		23,079,518		1.94	%		2.43	%		0.50	%		0.30	%		2.24	%
Total Return Bond Fund
Alt-A		1,402,955,656		0.52	%		0.51	%		0.02	%		0.35	%		4.92	%
Sub Prime		1,763,203,768		0.92	%		0.48	%		0.31	%		0.00	%		6.21	%
High Yield Bond Fund
Alt-A		-		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%
Sub Prime		41,535,036		0.00	%		0.02	%		0.00	%		0.00	%		1.66	%
Unconstrained Bond Fund
Alt-A		8,422,016		0.87	%		1.54	%		0.00	%		0.00	%		10.67	%
Sub Prime		2,651,278		0.00	%		0.51	%		0.00	%		0.21	%		3.40	%
Strategic Income Fund
Alt-A		21,360,213		1.07	%		0.00	%		0.76	%		0.00	%		8.95	%
Sub Prime		26,001,783		0.53	%		0.73	%		1.71	%		2.33	%		7.81	%
AlphaTrak 500 Fund
Alt-A		205,432		1.19	%		0.00	%		0.00	%		0.00	%		2.01	%
Sub Prime		155,156		0.11	%		1.43	%		0.00	%		0.32	%		0.55	%

Investment transactions for the six months ended September 30, 2012 excluding U.S. government and short-term investments, were as follows:

Investment transactions in U.S. government securities for the six months ended September 30, 2012 were as follows:

As compensation for advisory services, the Adviser charges the Ultra Short Bond Fund, the Low Duration Bond Fund, the Intermediate Bond Fund, the Total Return Bond Fund, the High Yield Bond Fund, and the Unconstrained Bond Fund a fee, computed daily and payable monthly, at an annual rate of 0.25%, 0.30%, 0.35%, 0.35%, 0.50%, and 0.65% respectively, of each Fund’s average daily net assets. The Adviser charges the AlphaTrak 500 Fund a basic fee of 0.35% of the Fund’s average daily net assets. The basic fee may be adjusted upward or downward (by up to 0.35% of the Fund’s average daily net assets for the relevant three-month performance period), depending on whether, and to what extent, the investment performance of the AlphaTrak 500 Fund before management fees, for the relevant performance period, exceeds or is exceeded by, the performance of the S&P 500 Index, plus an annualized margin of 1.00% over the same period. Under this agreement, the basic fee was decreased by 0.10% resulting in $15,981 total management fees for the period ended September 30, 2012. The Adviser charges the Strategic Income Fund a basic fee of 1.20% of the Fund’s average daily net assets. The basic fee may be adjusted upward or downward (by up to 0.70% of the Fund’s average daily net assets for the relevant 12-month performance period), depending on whether, and to what extent, the investment performance of the Strategic Income Fund, for the relevant performance period, exceeds or is exceeded by, the performance of the Merrill Lynch Three Month U.S. Treasury Bill Index, plus 2.00% over the same period. Under this agreement, the basic fee was increased by 0.51% resulting in $1,546,327 of total management fees for the period ended September 30, 2012.

The Adviser has agreed in an operating expenses agreement with the Trust to limit each Fund’s expenses as described in the table below. The operating expenses agreement has a one-year term, renewable at the end of each fiscal year. Each Fund has agreed to reimburse the Adviser, for a period of up to three years, for any such payments to the extent that the Fund’s operating expenses are otherwise below its expense cap (excluding the AlphaTrak 500 Fund and the Strategic Income Fund, which shall reimburse the Adviser to the extent that the Fund’s other expenses are below an agreed-upon cap). The Adviser’s obligation will not be recorded as a liability on the books of the applicable Fund to the extent that the total operating expenses (other expenses with respect to the AlphaTrak 500 Fund and the Strategic Income Fund) of the Fund are at or above the expense cap. However, if the total operating expenses (other expenses with respect to the AlphaTrak 500 Fund and the Strategic Income Fund) of a Fund fall below the expense cap, the reimbursement to the Adviser (up to the cap) will be accrued by the Fund as a liability if the Adviser seeks to recoup those amounts and the independent trustees have approved that reimbursement. The Adviser may not request or receive reimbursement from a Fund for prior reductions or reimbursements before the payment of a Fund’s operating expenses for the year.

Investment advisory fees and related contractual expense limitations for the period ended September 30, 2012, were as follows:

At September 30, 2012, the balance of recoupable expenses with expiration dates for the Funds were as follows:

For the six months ended September 30, 2012, the Adviser recouped $136,781 from Class M, $62,349 from Class I and $214 from the Administrative Class of the Low Duration Bond Fund.

Certain officers and trustees of the Funds are also officers and directors of the Adviser. Such officers and trustees serve without direct compensation from the Funds. Each of the independent trustees receives an annual retainer of $20,000 and $6,250 for each meeting of the Board attended. The chairman of the Board receives an annual retainer of $35,000.TheTrust has an unfunded, nonqualified deferred compensation plan (the “Plan”) for certain eligible Trustees. The Plan allows Trustees to defer some or all of their annual trustees’ fees otherwise payable by the Trust for a minimum of three years. The fees deferred are posted to a bookkeeping account maintained by the Trust. The various series of the Trust will use the returns on those Funds selected by the Trustee to determine the income, gains and losses to allocate to the account. At the time for commencing distributions from a Trustee’s deferral account, which is no later than when the Trustee ceases to be a member of the Board, deferred fees will be paid out in a single sum in cash or a maximum of 10 annual installments. The expenses related to the annual retainer, meeting fees, and/or any fluctuation in the selected Funds under the Plan are recorded in Trustees’ fees and expenses in the statements of operations.

The Trust has a Share Marketing Plan (or the “Plan”) pursuant to Rule 12b-1 of the 1940 Act with respect to Class M shares of the Ultra Short Bond Fund, the Low Duration Bond Fund, the Intermediate Bond Fund, the Total Return Bond Fund, the HighYield Bond Fund, the Unconstrained Bond Fund, the Strategic Income Fund, the AlphaTrak 500 Fund and the Administrative Class shares of the Low Duration Bond Fund and Total Return Bond Fund. Under the Plan, the Trust pays Foreside Funds Distributor LLC, as the Trust’s distribution coordinator, an annual fee up to 0.25% of the particular Fund’s average daily net assets attributable to Class M shares and Administrative Class shares to reimburse expenses in connection with the promotion and distribution of shares of the respective Fund. The Adviser has undertaken to limit the Rule 12b-1 expenses to 0.16% for the Ultra Short Bond Fund, 0.19% for the Low Duration Bond Fund, and 0.21% for the Intermediate Bond Fund and the Total Return Bond Fund, for the period ended September 30, 2012. The AlphaTrak 500 Fund is currently not incurring Rule 12b-1 fees.

The Funds’ Board of Trustees has adopted a Shareholder Servicing Plan that allows each Fund to pay to broker-dealers and other financial intermediaries a fee for shareholder services provided to Fund shareholders who invest in the Administrative Class shares of a Fund through the intermediary. The fee is payable under the Plan at an annual rate not to exceed 0.25% of the particular Fund’s average daily net assets attributable to the Administrative Share class but the Adviser has undertaken to limit these expenses for the current fiscal year to 0.20% of the Fund’s average daily net assets invested through the intermediary.

Each Fund is authorized to issue an unlimited number of shares of beneficial interest with a par value of $0.01 per share. Transactions in shares of beneficial interest were as follows:



	ULTRA SHORT BOND FUND

	CLASS M			CLASS M			CLASS I			CLASS I

	PERIOD ENDED SEPTEMBER 30, 2012 (UNAUDITED)			YEAR ENDED MARCH 31, 2012			PERIOD ENDED SEPTEMBER 30, 2012 (UNAUDITED)			YEAR ENDED MARCH 31, 2012


Change in Fund shares:
Shares outstanding at beginning of period		8,866,998			9,941,749			17,853,233			16,757,944

Shares sold		2,771,542			7,624,892			2,613,019			15,183,222
Shares issued through reinvestment of distributions		80,992			148,672			158,926			379,294
Shares redeemed		(1,741,451	)		(8,848,315	)		(4,840,027	)		(14,467,227	)

Net increase/(decrease) in fund shares		1,111,083			(1,074,751	)		(2,068,082	)		1,095,289

Shares outstanding at end of period		9,978,081			8,866,998			15,785,151			17,853,233

^* The Total Return Bond Fund Plan Class Shares commenced operations on August 1, 2011.

^* The Unconstrained Bond Fund Class M and Class I commenced operations on October 1, 2011.

At March 31, 2012, the following Funds had available for federal income tax purposes unused capital losses as follows:

As of March 31, 2012, the components of accumulated earnings/(accumulated losses) on a tax basis were as follows:


	ULTRA SHORT BOND FUND			LOW DURATION BOND FUND			INTERMEDIATE BOND FUND			TOTAL RETURN BOND FUND
Undistributed ordinary income (inclusive of short-term gains)	$	28,909		$	705,047		$	638,579		$	91,404,171
Undistributed long-term gains		–			–			440,888			44,189,933
Accumulated capital loss carryforwards and post-October losses		(44,854,465	)		(198,255,808	)		–			–
Net unrealized appreciation/(depreciation)		(5,302,419	)		(36,496,478	)		9,654,675			505,989,177
Distributions payable		(10,552	)		(313,771	)		(258,799	)		(10,893,748	)
Deferred director’s compensation and other temporary adjustments		(5,169	)		(53,116	)		(5,941	)		(289,086	)

Total accumulated earnings/(losses)	$	(50,143,696	)	$	(234,414,126	)	$	10,469,402		$	630,400,447

	HIGH YIELD BOND FUND			UNCONSTRAINED BOND FUND^*			STRATEGIC INCOME FUND			ALPHATRAK 500 FUND
Undistributed ordinary income (inclusive of short-term capital gains)	$	7,706,295		$	237,456		$	801,913		$	–
Undistributed long-term capital gains		1,080,531			–			–			–
Accumulated capital loss carryforwards and post-October losses		(7,323,617	)		(2,369	)		(116,018,166	)		(94,552,633	)
Net unrealized appreciation/(depreciation)		(18,354,772	)		1,272,694			(5,463,740	)		(25,957	)
Distributions payable		(3,188,354	)		(10,338	)		(833,935	)		–
Deferred director’s compensation and other temporary adjustments		(31,168	)		(102	)		(8,022	)		(2,495	)

Total accumulated earnings/(losses)	$	(20,111,085	)	$	1,497,341		$	(121,521,950	)	$	(94,581,085	)

*The Unconstrained Bond Fund Class M and Class I commenced operations on October 1, 2011.

Permanent differences incurred during the fiscal year ended March 31, 2012, resulting from differences in book and tax accounting have been reclassified at year-end as follows:

*The Unconstrained Bond Fund Class M and Class I commenced operations on October 1, 2011.

The Funds have entered into a $200,000,000 committed revolving line of credit agreement with The Bank of New York Mellon (the “Bank”) for temporary borrowing purpose with an expiration date of August 23, 2013. The interest rate on borrowing is higher of the federal funds rate or the overnight LIBOR rate, plus 1.25%. There were no borrowings from the line of credit during the six months ended September 30, 2012. The Funds pay the Bank a commitment fee equal to 0.10% per annum on the daily unused portion of the committed line amount up to a maximum of $200,000 annually. The commitment fees incurred by the Funds are presented in the statements of operations. The commitment fees are allocated to each applicable portfolio in proportion to its relative average daily net assets and the interest expenses are charged directly to the applicable portfolio.

Under the Funds’ organizational documents, its officers and trustees are indemnified against certain liability arising out of the performance of their duties to the Funds. In addition, in the normal course of business, the Funds enter into contracts with their vendors and others that provide general indemnification. The Funds’ maximum exposure under these arrangements is unknown, as this would involve further claims that may be made against the Funds. However, based on experience, the Funds expect the risk of loss to be remote.

Management has evaluated the impact of all subsequent events on the Funds through the date the financial statements were issued and has determined that there were no subsequent events requiring adjustment or additional disclosure in the financial statements.

We, The TCW Group, Inc. and its subsidiaries, the TCW Funds, Inc., TCW Strategic Income Fund, Inc. and the Metropolitan West Funds (collectively, “TCW”) are committed to protecting the nonpublic personal and financial information of our customers and consumers who obtain or seek to obtain financial products or services primarily for personal, family or household purposes. We fulfill our commitment by establishing and implementing policies and systems to protect the security and confidentiality of this information.

In our offices, we limit access to nonpublic personal and financial information about you to those TCW personnel who need to know the information in order to provide products or services to you. We maintain physical, electronic and procedural safeguards to protect your nonpublic personal and financial information.

At TCW, we recognize the importance of keeping information about you secure and confidential. We do not sell or share your nonpublic personal and financial information with marketers or others outside our affiliated group of companies.

We carefully manage information among our affiliated group of companies to safeguard your privacy and to provide you with consistently excellent service.

We are providing this notice to you to comply with the requirements of Regulation S-P, “Privacy of Consumer Financial Information,” issued by the U.S. Securities and Exchange Commission.

We may collect the following types of nonpublic personal and financial information about you from the following sources:

• Your name, address and identifying numbers, and other personal and financial information, from you and from identification cards and papers you submit to us, on applications, subscription agreements or other forms or communications.

• Information about your account balances and financial transactions with us, our affiliated entities, or nonaffiliated third parties, from our internal sources, from affiliated entities and from nonaffiliated third parties.

• Information about your account balances and financial transactions and other personal and financial information, from consumer credit reporting agencies or other nonaffiliated third parties, to verify information received from you or others.

• We may disclose your name, address and account and other identifying numbers, as well as information about your pending or past transactions and other personal financial information, to nonaffiliated third parties, for our everyday business purposes such as necessary to execute, process, service and confirm your securities transactions and mutual fund transactions, to administer and service your account and commingled investment vehicles in which you are invested, to market our products and services through joint marketing arrangements or to respond to court orders and legal investigations.

• We may disclose nonpublic personal and financial information concerning you to law enforcement agencies, federal regulatory agencies, self-regulatory organizations or other nonaffiliated third parties, if required or requested to do so by a court order, judicial subpoena or regulatory inquiry.

We do not otherwise disclose your nonpublic personal and financial information to nonaffiliated third parties, except where we believe in good faith that disclosure is required or permitted by law. Because we do not disclose your nonpublic personal and financial information to nonaffiliated third parties, our Customer Privacy Policy does not contain opt-out provisions.

We do not disclose nonpublic personal and financial information about former customers to nonaffiliated third parties unless required or requested to do so by a court order, judicial subpoena or regulatory inquiry, or otherwise where we believe in good faith that disclosure is required or permitted by law.

Should you have any questions about our Customer Privacy Policy, please contact us by email or by regular mail at the address at the end of this policy.

Financial products offered by The TCW Group, Inc. and its subsidiaries, the TCW Funds, Inc., TCW Strategic Income Fund, Inc. and the Metropolitan West Funds:

Attention: Privacy Officer | 865 South Figueroa St. Suite 1800 | Los Angeles, CA 90017 | email: privacy@tcw.com

The Adviser provides investment advisory services to each Fund under an Investment Management Agreement dated March 31, 2010 (the “Agreement”) between the Trust and the Adviser. The Agreement was initially approved for a two-year initial term by the shareholders of each Fund at a special meeting of shareholders held on March 31, 2010, except for the Metropolitan West Strategic Income Fund and the Metropolitan West Intermediate Bond Fund which were approved by shareholders on April 9, 2010. The addition of the Unconstrained Bond Fund was approved by the Board (including a majority of the Independent Trustees) on September 19, 2011. At a meeting held on May 21, 2012, the Board extended the term of the Agreement, which was previously renewed at a meeting held in 2011, until September 30, 2012 with respect to each Fund except the Unconstrained Bond Fund, which was still within its initial term.

Factors Considered by the Trustees in Connection with Recent Approval of Prior Agreement

On September 10, 2012, the Board approved the renewal of the Agreement for an additional one-year term from October 1, 2012 through September 30, 2013. The renewal of the Agreement was approved by the Board (including a majority of the Independent Trustees) upon the recommendation of the Independent Trustees. The Independent Trustees met separately by telephone and in person on various occasions with their independent legal counsel to discuss and review the information that had been presented for their consideration before the Board’s vote to renew the Agreement. The information, material facts, and conclusions that formed the basis for their recommendation and the Board’s subsequent approval are described below.

Materials reviewed - During the course of each year, the Independent Trustees receive a wide variety of materials relating to the services provided by the Adviser, including reports on each Fund’s investment results, portfolio composition, portfolio trading practices, shareholder services, and other information relating to the nature, extent, and quality of services provided by the Adviser to the Funds. In addition, the Board reviewed supplementary information furnished to the Independent Trustees in response to a detailed request sent to the Adviser on their behalf. That information response included extensive materials regarding each Fund’s investment results, independently prepared advisory fee and expense comparisons to other mutual funds, advisory fee comparisons to advisory fees charged by the Adviser to its institutional clients, financial and profitability information regarding the Adviser, descriptions of various functions such as compliance monitoring and portfolio trading practices, and information about the personnel providing investment management services to each Fund.

Review process - The Independent Trustees reviewed advice regarding legal and industry standards provided by legal counsel to the Trust and by their independent legal counsel, who assisted them in their review and consideration of the renewal of the Agreement. The Independent Trustees discussed the renewal of the Agreement with the Adviser’s representatives and in private sessions at which no representatives of the Adviser were present. In deciding to recommend the renewal of the prior Agreement with respect to each Fund, the Independent Trustees did not identify any single or particular piece of information that, in isolation, was the controlling factor. Each Independent Trustee may also have weighed factors differently. This summary describes the most important, but not all, of the factors considered by the Board.

The Board considered the depth and quality of the Adviser’s investment management process, including its research and intellectual capabilities; the experience, capability, and integrity of its senior management and other personnel; the relatively low turnover rates of its key personnel; the overall resources of its organization; and the ability of its organizational structure to address the growth in assets and products under its management. The Board also considered that the Adviser made available to its investment professionals a variety of resources and systems relating to investment management, compliance, trading, results, and portfolio accounting. They considered the Adviser’s commitment to investing in information technology supporting investment management and compliance. They noted the substantial additional resources made available by The TCW Group, Inc. (“TCW”), the parent company of the Adviser, and the integration and harmonization of operations between the Adviser and TCW. They further noted the high level of regular communication between the Adviser and the Board.

The Board and the Independent Trustees concluded that the nature, extent, and quality of the services provided by the Adviser are of a high quality and have benefited and should continue to benefit the Funds and their shareholders.

The Board considered the investment results of each Fund in light of its investment objective. They compared each Fund’s total returns with the total returns of other mutual funds in peer group reports prepared by Lipper, an independent data provider, with respect to various longer and more recent periods. In reviewing each Fund’s relative performance, the Board took into account each Fund’s unique characteristics and its asset size, diversification, and range of investments.

Approval of Investment Management Agreement by Trustees (Unaudited) (Concluded)

The Board noted that each Fund’s performance was acceptable over the relevant periods and in some cases very favorable, particularly from a longer-term perspective, which the Board believes is the most relevant. The Board concluded that the Adviser was implementing each Fund’s investment objective and that the Adviser’s record in managing the Funds indicates that its continued management should benefit each Fund and its shareholders.

The Board compared the advisory fees and total expenses of each Fund (each as a percentage of average net assets) with the median fee and expense levels of all other mutual funds in the relevant Lipper peer groups. These comparisons assisted the Board by providing a reasonable statistical measure to assess each Fund’s fees relative to its relevant peers. The Board observed that each Fund’s advisory fee was below the median of the peer group funds on a current basis with the exception of the Strategic Income Fund and the Unconstrained Bond Fund. The Board discussed why the Lipper peer group was not a suitable comparison for the Strategic Income Fund and why that Fund should instead be compared to private absolute value funds, which the Adviser views as that Fund’s closest relevant comparison and to which it compares very favorably. The Board further noted that the AlphaTrak 500 Fund and Strategic Income Fund both employ a fulcrum fee that adjusts upward from a basic fee only if the Fund enjoys favorable performance against its specified benchmark (and adjusts downward in the case of unfavorable relative performance). The Board further noted the relevant contractual expense limitations that the Adviser has agreed to with respect to each Fund and the fact that the Adviser historically has absorbed any expenses in excess of these limits. The Board concluded that the relatively low level of the fees charged by the Adviser will benefit each Fund and its shareholders.

The Board also reviewed information regarding the advisory fees paid by institutional clients with similar investment mandates, with accounts managed by affiliates of TCW. It concluded that, although the fees paid by those clients generally were lower than those paid by the Funds, the differences appropriately reflected the Adviser’s significantly greater responsibilities and expenses with respect to the Funds, including the costs of complying with the more comprehensive regulatory regime applicable to mutual funds.

The Independent Trustees reviewed information regarding the Adviser’s costs of providing services to the Funds, as well as the resulting level of profits to the Adviser. They reviewed the Adviser’s stated assumptions and methods of allocating certain costs, such as personnel costs, which constitute the Adviser’s largest operating cost. The Independent Trustees recognized that the Adviser should be entitled to earn a reasonable level of profits for the services it provides to each Fund. Based on their review, the Independent Trustees concluded that they were satisfied that the Adviser’s level of profitability from its relationship with each Fund was not unreasonable or excessive.

The Independent Trustees considered the extent to which economies of scale would be realized as the Funds grow and whether the advisory fees reflect those economies of scale. They recognized that the advisory fees for the Funds do not have breakpoints, even the largest Funds, which would otherwise result in lower advisory fee rates as the Funds grow larger. They also recognized the Adviser’s assertion that the advisory fees compare favorably to peer group fees and expenses and remain competitive even at higher asset levels. The Board also recognized the benefits to the Funds of the Adviser’s past investment in the Funds’ operations (through some past subsidies of the Funds’ operating expenses when they were newer and smaller) and its commitment to maintain reasonable overall operating expenses for each Fund. The Board also recognized that the Funds benefit from receiving investment advice from an organization with other types of advisory clients rather than strictly mutual funds.

The Board considered other actual and potential financial benefits to the Adviser in concluding that the contractual advisory fees are fair and reasonable for the Funds. In particular, they noted that the Adviser does not have any affiliates that materially benefit from the Adviser’s relationship to the Funds except through TCW’s ownership of the Adviser.

Based on their overall review, including their consideration of each of the factors referred to above (and others), the Board and the Independent Trustees concluded that the Agreement is fair and reasonable to each Fund and its shareholders, that the Fund’s shareholders received reasonable value in return for the advisory fees and other amounts paid to the Adviser by each Fund, and that the renewal of the Agreement was in the best interests of each Fund and its shareholders.

BOARD OF TRUSTEES

Andrew Tarica

Laird R. Landmann

Peter McMillan

Martin Luther King, III

Daniel D. Villanueva

Ronald J. Consiglio

Robert G. Rooney

Patrick C. Haden

Charles W. Baldiswieler

OFFICERS

David Lippman

President and Principal Executive Officer

David S. DeVito

Treasurer, Chief Financial Officer and Principal

Accounting Officer

Vincent Bencivenga

Chief Compliance Officer

ADVISER

Metropolitan West Asset Management, LLC

865 South Figueroa Street, Floor 1800

Los Angeles, CA 90017

CUSTODIAN

The Bank of New York Mellon

One Wall Street

New York, NY 10286

TRANSFER AGENT

BNY Mellon Investment Servicing (U.S.) Inc.

760 Moore Road

King of Prussia, PA 19406

INDEPENDENT REGISTERED PUBLIC

ACCOUNTING FIRM

Deloitte & Touche LLP

350 S. Grand Ave., Suite 200

Los Angeles, CA 90071

DISTRIBUTOR

Foreside Funds Distributors LLC

899 Cassatt Road, 400 Berwyn Park

Berwyn, PA 19312

LEGAL COUNSEL

Paul Hastings LLP

55 Second Street, 24th Floor

San Francisco, CA 94105-3441

There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant’s board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.

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.


Metropolitan West Ultra Short Bond Fund		M-Class (MWUSX), I-Class (MWUIX)
Metropolitan West Low Duration Bond Fund		M-Class (MWLDX), I-Class (MWLIX),
		Administrative-Class (MWLNX)
Metropolitan West Intermediate Bond Fund		M-Class (MWIMX), I-Class (MWIIX)
Metropolitan West Total Return Bond Fund		M-Class (MWTRX), I-Class (MWTIX),
		Administrative-Class (MWTNX),
		Plan-Class (MWTSX)
Metropolitan West High Yield Bond Fund		M-Class (MWHYX), I-Class (MWHIX)
Metropolitan West Unconstrained Bond Fund		M-Class (MWCRX), I Class (MWCIX)
Metropolitan West Strategic Income Fund		M-Class (MWSTX), I-Class (MWSIX)
Metropolitan West AlphaTrak 500 Fund		M-Class (MWATX)


	Performance Through September 30, 2012
	6 Months (Cumulative)	1 Year (Annualized)	3 Year (Annualized)	5 Year (Annualized)	10 Year (Annualized)	Since Inception (Annualized)
MWLDX (Inception: March 31, 1997)	3.54%	7.12%	7.25%	3.05%	3.89%	4.53%
Merrill Lynch 1-3 Year U.S. Treasury Index	0.45%	0.56%	1.43%	2.78%	2.80%	4.19%

MWLIX (Inception: March 31, 2000)	3.76%	7.45%	7.49%	3.24%	4.10%	4.11%
Merrill Lynch 1-3 Year U.S. Treasury Index	0.45%	0.56%	1.43%	2.78%	2.80%	3.81%
MWLNX (Inception: September 22, 2009)	3.53%	7.06%	7.06%	—	—	7.34%
Merrill Lynch 1-3 Year U.S. Treasury Index	0.45%	0.56%	1.43%	—	—	1.47%


	Performance Through September 30, 2012
	6 Months (Cumulative)	1 Year (Annualized)	3 Year (Annualized)	5 Year (Annualized)	10 Year (Annualized)	Since Inception (Annualized)
MWIMX (Inception: June 30, 2003)	5.12%	8.68%	8.97%	7.39%	—	5.86%
Barclays U.S. Intermediate Government/Credit Index	2.90%	4.40%	5.17%	5.70%	—	4.48%

MWIIX (Inception: June 28, 2002)	5.23%	8.91%	9.20%	7.62%	6.67%	7.00%
Barclays U.S. Intermediate Government/Credit Index	2.90%	4.40%	5.17%	5.70%	4.75%	5.08%


	Performance Through September 30, 2012
	6 Months (Cumulative)	1 Year (Annualized)	3 Year (Annualized)	5 Year (Annualized)	10 Year (Annualized)	Since Inception (Annualized)
MWTRX (Inception: March 31, 1997)	6.89%	10.78%	9.86%	8.66%	8.10%	7.59%
Barclays U.S. Aggregate Bond Index	3.68%	5.16%	6.19%	6.53%	5.32%	6.42%

MWTIX (Inception: March 31, 2000)	7.00%	11.02%	10.09%	8.89%	8.34%	7.58%
Barclays U.S. Aggregate Bond Index	3.68%	5.16%	6.19%	6.53%	5.32%	6.35%
MWTNX (Inception: December 18, 2009)	6.78%	10.66%	—	—	—	9.00%
Barclays U.S. Aggregate Bond Index	3.68%	5.16%	—	—	—	6.23%
MWTSX (Inception: August 1, 2011)	7.10%	10.67%	—	—	—	9.45%
Barclays U.S. Aggregate Bond Index	3.68%	5.16%	—	—	—	6.32%


	Performance Through September 30, 2012
	6 Months (Cumulative)	1 Year (Annualized)	3 Year (Annualized)	5 Year (Annualized)	10 Year (Annualized)	Since Inception (Annualized)
MWHYX (Inception: September 30, 2002)	6.31%	17.45%	10.41%	8.94%	10.82%	10.82%
Barclays U.S. Corporate High Yield Index - 2% Issuer Cap	6.40%	19.35%	12.80%	9.49%	10.92%	10.92%

MWHIX (Inception: March 31, 2003)	6.34%	17.62%	10.65%	9.19%	—	9.67%
Barclays U.S. Corporate High Yield Index - 2% Issuer Cap	6.40%	19.35%	12.80%	9.49%	—	9.96%


		METROPOLITAN WEST FUNDS

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


Metropolitan West Funds		September 30, 2012
Table of Contents


Letter to Shareholders			1

Disclosure of Fund Expenses			6

Summary of Portfolio Holdings			9

Schedule of Portfolio Investments			13

Ultra Short Bond Fund			13

Low Duration Bond Fund			21

Intermediate Bond Fund			33

Total Return Bond Fund			44

High Yield Bond Fund			75

Unconstrained Bond Fund			83

Strategic Income Fund			93

Alpha Trak 500 Fund			101

Statements of Assets and Liabilities			105

Statements of Operations			107

Statements of Changes in Net Assets			109

Financial Highlights			113

Notes to Financials			131

Privacy Notice			157

Approval of Investment Management Agreement by Trustees (Unaudited)			159


	Beginning Account Value 04/01/12	Ending Account Value 09/30/12	Expense Ratio¹	Expenses Paid During Period²
ULTRA SHORT BOND FUND
Actual Fund Return
Class M	$1,000.00	$1,030.58	0.50%	$2.55
Class I	$1,000.00	$1,028.98	0.34%	$1.73
Hypothetical 5% Return
Class M	$1,000.00	$1,022.56	0.50%	$2.54
Class I	$1,000.00	$1,023.36	0.34%	$1.72
LOW DURATION BOND FUND
Actual Fund Return
Class M	$1,000.00	$1,035.43	0.58%	$2.96
Class I	$1,000.00	$1,037.58	0.39%	$1.99
Administrative Class	$1,000.00	$1,035.33	0.78%	$3.98
Hypothetical 5% Return
Class M	$1,000.00	$1,022.16	0.58%	$2.94
Class I	$1,000.00	$1,023.11	0.39%	$1.98
Administrative Class	$1,000.00	$1,021.16	0.78%	$3.95


	Beginning Account Value 04/01/12		Ending Account Value 09/30/12		Expense Ratio¹	Expenses Paid During Period²
INTERMEDIATE BOND FUND
Actual Fund Return
Class M		$1,000.00		$1,051.20	0.65%	$3.34
Class I		$1,000.00		$1,052.28	0.44%	$2.26
Hypothetical 5% Return
Class M		$1,000.00		$1,021.81	0.65%	$3.29
Class I		$1,000.00		$1,022.86	0.44%	$2.23
TOTAL RETURN BOND FUND
Actual Fund Return
Class M		$1,000.00		$1,068.92	0.60%	$3.11
Class I		$1,000.00		$1,070.04	0.39%	$2.02
Administrative Class		$1,000.00		$1,067.83	0.80%	$4.15
Plan Class		$1,000.00		$1,070.96	0.38%	$1.97
Hypothetical 5% Return
Class M		$1,000.00		$1,022.06	0.60%	$3.04
Class I		$1,000.00		$1,023.11	0.39%	$1.98
Administrative Class		$1,000.00		$1,021.06	0.80%	$4.05
Plan Class		$1,000.00		$1,023.16	0.38%	$1.93
HIGH YIELD BOND FUND
Actual Fund Return
Class M		$1,000.00		$1,063.06	0.77%	$3.98
Class I		$1,000.00		$1,063.35	0.52%	$2.69
Hypothetical 5% Return
Class M		$1,000.00		$1,021.21	0.77%	$3.90
Class I		$1,000.00		$1,022.46	0.52%	$2.64
UNCONSTRAINED BOND FUND
Actual Fund Return
Class M		$1,000.00		$1,057.89	0.99%	$5.11
Class I		$1,000.00		$1,059.15	0.75%	$3.87
Hypothetical 5% Return
Class M		$1,000.00		$1,020.10	0.99%	$5.01
Class I		$1,000.00		$1,021.31	0.75%	$3.80


	Beginning Account Value 04/01/12		Ending Account Value 09/30/12		Expense Ratio¹	Expenses Paid During Period²
STRATEGIC INCOME FUND
Actual Fund Return
Class M		$1,000.00		$1,071.04	2.07%	$10.75
Class I		$1,000.00		$1,071.06	1.82%	$9.45
Hypothetical 5% Return
Class M		$1,000.00		$1,014.69	2.07%	$10.45
Class I		$1,000.00		$1,015.94	1.82%	$9.20
ALPHATRAK 500 FUND
Actual Fund Return		$1,000.00		$1,047.85	0.91%	$4.67
Hypothetical 5% Return		$1,000.00		$1,020.51	0.91%	$4.61


ULTRA SHORT BOND FUND
Sector Diversification			Distribution by Quality Rating			Distribution by Maturity
U.S. Agency Mortgage-Backed	43.28	%	AAA	72.46	%	0 to 1 years	22.15	%
Non-Agency Mortgage-Backed	17.26	%	AA	4.98	%	1 year to 3 years	40.71	%
Corporate Bonds	12.87	%	A	9.42	%	3 years to 5 years	20.29	%
Commercial Mortgage-Backed	7.90	%	BBB	4.38	%	5 years to 10 years	13.83	%
U.S. Treasury Securities	5.55	%	BB or below	8.76	%	10 years to 20 years	3.02	%
U.S. Agency Securities	3.65	%				20 years +	0.00	%
Money Market RIC	1.99	%
U.S. Treasury Bills	1.72	%
Asset-Backed Securities	1.37	%
U.S. Agency Discount Notes	1.25	%
Municipal Bonds	0.66	%
Bank Loans	0.58	%
Other *	1.92	%
Total	100.00	%	Total	100.00	%	Total	100.00	%


LOW DURATION BOND FUND
Sector Diversification			Distribution by Quality Rating			Distribution by Maturity
Corporate Bonds	28.14	%	AAA	48.77	%	0 to 1 years	16.56	%
U.S. Agency Mortgage-Backed	24.92	%	AA	9.83	%	1 year to 3 years	36.13	%
Non-Agency Mortgage-Backed	20.12	%	A	18.87	%	3 years to 5 years	26.43	%
Asset-Backed Securities	7.30	%	BBB	10.22	%	5 years to 10 years	17.73	%
Commercial Mortgage-Backed	6.86	%	BB or below	12.31	%	10 years to 20 years	2.87	%
U.S. Treasury Securities	5.30	%				20 years +	0.28	%
Repurchase Agreements	2.15	%
Money Market RIC	2.00	%
Foreign Government Obligations	1.77	%
Municipal Bonds	1.33	%
Bank Loans	1.15	%
Other *	(1.04	)%
Total	100.00	%	Total	100.00	%	Total	100.00	%


ASSETS:	ULTRA SHORT BOND FUND			LOW DURATION BOND FUND
Investments, at value (Cost $109,844,575, $1,685,978,715, $298,568,683, $21,897,579,879, $2,455,877,137, $63,351,831, $190,434,644, and $6,291,409, respectively) (Note 2)	$	108,378,945		$	1,692,861,598
Cash and cash equivalents (Note 2)		3,299,920			678,748
Cash on deposit with brokers for collateral on options (Note 3)		–			–
Premiums paid for swap contracts		–			–
Foreign currency, at value (Cost $0, $7,050, $4,084, $127,802, $0, $274, $0, and $0, respectively) (Note 2)		–			7,052
Unrealized appreciation on swap contracts		–			93,744
Dividends and interest receivable		272,920			8,057,086
Due from Adviser (Note 6)		13,975			–
Receivable for securities sold		2,710			31,206,838
Receivables from Lehman Brothers, at value (Cost $0, $0, $0, $0, $66,631, $0, $126,599, and $0, respectively) (Note 3)		–			–
Receivable for capital stock sold		229,015			8,739,927
Receivable for daily variation margin on futures contracts (Note 3)		–			–
Other assets		22,611			24,327

Total assets		112,220,096			1,741,669,320

Liabilities:
Unrealized depreciation on foreign currency exchange contracts		–			327,959
Unrealized depreciation on swap contracts		–			–
Premiums received for swap contracts		–			115,920
Payable for securities purchased		1,539,294			61,567,314
Payable for capital stock redeemed		75,847			2,970,789
Payable for daily variation margin on futures contracts (Note 3)		–			–
Line of credit commitment fee payable		93			1,233
Distributions payable		2,878			247,830
Advisory fees payable (Note 6)		22,377			440,565
Audit fees payable		25,902			40,490
Accrued trustees fees and expenses		5,900			63,783
Accrued distribution (12b-1) and service fees payable		5,455			176,530
Accrued other expenses		39,526			291,203

Total liabilities		1,717,272			66,243,616

Net assets	$	110,502,824		$	1,675,425,704

Class M Shares:
Net assets (Applicable to 9,978,081, 129,173,473, 9,645,824, 843,755,905, 124,142,494, 3,992,142, 3,765,432, and 1,335,968, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value)	$	42,767,099		$	1,133,484,969

Net asset value, offering and redemption price per Class M share	$	4.29		$	8.77

Class I Shares:
Net assets (Applicable to 15,785,151, 61,514,404, 19,189,101, 1,142,433,889, 114,141,933, 1,532,326, 20,594,112, and 0, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value)	$	67,735,725		$	540,002,772

Net asset value, offering and redemption price per Class I share	$	4.29		$	8.78

Administrative Class:
Net assets (Applicable to 0, 170,954, 0, 1,042,646, 0, 0, 0, and 0, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value)		N/A		$	1,937,963

Net asset value, offering and redemption price per Administrative Class share		N/A		$	11.34

Plan Class:
Net assets (Applicable to 0, 0, 0, 25,068,192, 0, 0, 0, and 0, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value)		N/A			N/A

Net asset value, offering and redemption price per Plan Class share		N/A			N/A

Net Assets Consist of:
Capital paid-in (Note 8)	$	158,551,400		$	1,875,390,581
Undistributed (distributions in excess of) net investment income		(25,200	)		173,971
Accumulated undistributed net realized gain/(loss) on investments, futures contracts, foreign currency exchange contracts and swap contracts		(46,557,747	)		(206,787,517	)
Net unrealized appreciation/(depreciation) on investments		(1,465,481	)		6,882,883
Net unrealized appreciation/(depreciation) on futures contracts, swap contracts and foreign currency exchange contracts		(148	)		(234,214	)

	$	110,502,824		$	1,675,425,704


INTERMEDIATE BOND FUND			TOTAL RETURN BOND FUND			HIGH YIELD BOND FUND			UNCONSTRAINED BOND FUND			STRATEGIC INCOME FUND			ALPHATRAK 500 FUND
$	314,725,547		$	23,072,345,873		$	2,482,026,366		$	66,088,394		$	199,908,891		$	6,286,172
	4,815,446			281,711			4,887,963			2,413,477			–			209,247
	–			–			2,819			–			1,478,325			–
	944,469			37,768,190			–			–			–			–
	4,085			127,835			–			277			–			–
	28,417			26,058,235			6,012,605			48,543			–			96,891
	1,551,775			107,610,900			43,146,021			377,354			1,058,126			17,869
	8,483			1,227			55,558			19,788			–			9,576
	11,637,876			1,529,820,243			18,338,160			120,281			2,797,238			118
	–			–			14,831			–			28,179			–
	254,024			168,522,616			12,292,962			569,266			357,968			40,000
	–			–			45,625			1,781			–			700
	18,034			211,220			34,015			53,634			20,100			10,548

	333,988,156			24,942,748,050			2,566,856,925			69,692,795			205,648,827			6,671,121



	67,971			4,796,003			–			–			–			–
	732,401			31,797,507			–			–			6,456			–
	13,685			86,727,247			5,471,338			44,483			–			–
	19,558,362			2,456,570,250			72,661,340			5,141,389			6,282,205			65,000
	1,489,427			118,401,272			12,102,574			65,920			191,839			115,700
	–			116,656			–			–			–			12,250
	227			16,994			1,827			44			130			5
	204,268			7,762,543			2,501,163			17,304			596,822			2,843
	88,292			6,240,587			1,007,636			32,189			297,970			3,515
	37,145			42,769			29,439			–			23,781			20,589
	10,233			448,933			49,879			5,080			8,228			11,791
	17,323			1,591,762			264,595			9,048			5,980			–
	60,077			2,591,534			363,059			5,217			74,560			16,977

	22,279,411			2,717,104,057			94,452,850			5,320,674			7,487,971			248,670

$	311,708,745		$	22,225,643,993		$	2,472,404,075		$	64,372,121		$	198,160,856		$	6,422,451



$	104,294,398		$	9,326,981,323		$	1,288,238,540		$	46,525,387		$	30,653,041		$	6,422,451

$	10.81		$	11.05		$	10.38		$	11.65		$	8.14		$	4.81



$	207,414,347		$	12,625,539,966		$	1,184,165,535		$	17,846,734		$	167,507,815			N/A

$	10.81		$	11.05		$	10.37		$	11.65		$	8.13			N/A



	N/A		$	11,531,355			N/A			N/A			N/A			N/A

	N/A		$	11.06			N/A			N/A			N/A			N/A



	N/A		$	261,591,349			N/A			N/A			N/A			N/A

	N/A		$	10.44			N/A			N/A			N/A			N/A



$	291,754,385		$	20,601,939,159		$	2,432,505,069		$	61,088,388		$	312,213,754		$	100,725,561
	(70,181	)		9,337,166			(4,422,039	)		29,104			26,144			(2,875	)
	4,639,630			447,617,489			12,076,380			536,438			(123,450,126	)		(94,410,834	)
	16,156,865			1,174,765,991			26,097,432			2,736,567			9,375,824			(5,238	)
	(771,954	)		(8,015,812	)		6,147,233			(18,376	)		(4,740	)		115,837

$	311,708,745		$	22,225,643,993		$	2,472,404,075		$	64,372,121		$	198,160,856		$	6,422,451


	ULTRA SHORT BOND FUND			LOW DURATION BOND FUND
Investment Income:
Interest	$	1,206,467		$	30,975,740
Dividends		2,315			41,119

Total investment income		1,208,782			31,016,859

Expenses:
Investment advisory fees (Note 6)		136,659			2,560,383
Administration fees		30,874			142,468
Commitment fee		435			6,797
Custodian fees		10,967			37,596
Distribution (12b-1) and service fees - class specific (Note 7):
Class M		31,218			1,112,321
Administrative Class		–			3,549
Insurance expense		403			6,969
Miscellaneous expenses		22,486			43,998
Professional fees		18,791			30,081
Registration and filing fees		24,716			36,795
Reports to shareholders		5,682			114,297
Tax expense		1,751			19,782
Transfer agent fees		19,856			137,948
Trustees’ fees and expenses		782			11,822
Repayment of reimbursed expenses (Note 6)		–			199,344

Total operating expenses		304,620			4,464,150
Expenses waived and reimbursed (Note 6)		(85,795	)		–
Reimbursement of litigation expense		–			–
Net expenses		218,825			4,464,150

Net investment income		989,957			26,552,709

Realized and Change in Unrealized Gain/(Loss) on Investments, Futures Contracts, Foreign Currency Exchange Contracts and Swap Contracts:
Net realized gain/(loss) on:
Investments		(1,794,994	)		(9,922,660	)
Futures contracts		–			159,800
Foreign currency exchange contracts		–			(7,418	)
Swap contracts		117,409			1,352,844
Net change in unrealized appreciation/(depreciation) on:
Investments		3,674,629			43,050,713
Futures contracts		–			(96,900	)
Foreign currency exchange contracts		–			(461,419	)
Swap contracts		136,463			362,809

Net change in realized and unrealized gain on investments, futures contracts, foreign currency exchange contracts and swap contracts		2,133,507			34,437,769

Net Increase in Net Assets from Operations	$	3,123,464		$	60,990,478


	ULTRA SHORT BOND FUND
	SIX MONTHS ENDED SEPTEMBER 30, 2012 (UNAUDITED)			YEAR ENDED MARCH 31, 2012
Operations:
Net investment income	$	989,957		$	2,200,423
Net realized gain/(loss) on investments		(1,794,994	)		(287,933	)
Net realized gain/(loss) on futures contracts, foreign currency exchange contracts, swap contracts and written options		117,409			90,890
Net change in unrealized appreciation/(depreciation) on investments		3,674,629			(397,692	)
Net change in unrealized appreciation/(depreciation) on futures contracts, foreign currency exchange contracts, swap contracts and written options		136,463			(298,391	)

Net increase in net assets resulting from operations		3,123,464			1,307,297

Distributions to Shareholders from:
Net investment income:
Class M		(348,061	)		(655,357	)
Class I		(680,283	)		(1,615,691	)
Administrative Class		–			–
Plan Class		–			–
Net realized gains:
Class M		–			–
Class I		–			–
Administrative Class		–			–
Plan Class		–			–

Net decrease in net assets resulting from distributions		(1,028,344	)		(2,271,048	)

Capital Share Transactions:
Class M:
Proceeds from sale of shares		11,714,503			31,912,300
Shares issued in reinvestment of distributions		342,083			623,651
Cost of shares redeemed		(7,336,079	)		(37,094,102	)

Total Class M capital share transactions		4,720,507			(4,558,151	)

Class I:
Proceeds from sale of shares		10,983,115			63,399,820
Shares issued in reinvestment of distributions		670,933			1,589,591
Cost of shares redeemed		(20,334,424	)		(60,446,917	)

Total Class I capital share transactions		(8,680,376	)		4,542,494

Administrative Class:
Proceeds from sale of shares		–			–
Shares issued in reinvestment of distributions		–			–
Cost of shares redeemed		–			–

Total Administrative Class capital share transactions		–			–

Plan Class:
Proceeds from sale of shares		–			–
Shares issued in reinvestment of distributions		–			–
Cost of shares redeemed		–			–

Total Plan Class capital share transactions		–			–

Net increase/(decrease) in net assets resulting from capital share transactions		(3,959,869	)		(15,657	)

Net increase/(decrease) in net assets		(1,864,749	)		(979,408	)
Net assets at beginning of period		112,367,573			113,346,981

Net assets at end of period (including undistributed (distributions in excess of) net investment income of $(25,200), $13,187, $173,971, $162,491, $(70,181), $(79,867), $9,337,166 and $7,295,152, respectively)	$	110,502,824		$	112,367,573


LOW DURATION BOND FUND						INTERMEDIATE BOND FUND						TOTAL RETURN BOND FUND
SIX MONTHS ENDED SEPTEMBER 30, 2012 (UNAUDITED)			YEAR ENDED MARCH 31, 2012			SIX MONTHS ENDED SEPTEMBER 30, 2012 (UNAUDITED)			YEAR ENDED MARCH 31, 2012			SIX MONTHS ENDED SEPTEMBER 30, 2012 (UNAUDITED)			YEAR ENDED MARCH 31, 2012

	$26,552,709		$	56,555,597		$	5,497,509		$	10,043,048		$	418,210,918		$	704,078,088
	(9,922,660	)		(4,838,547	)		3,690,660			3,555,894			329,369,814			399,272,866
	1,505,226			1,222,241			90,009			(173,160	)		9,215,236			(63,506,507	)
	43,050,713			(9,841,980	)		5,674,977			(363,562	)		651,210,991			(21,115,372	)
	(195,510	)		(1,850,090	)		19,626			632,091			1,466,332			29,501,882

	60,990,478			41,247,221			14,972,781			13,694,311			1,409,473,291			1,048,230,957


	(17,883,746	)		(39,803,002	)		(1,689,374	)		(3,076,358	)		(167,480,900	)		(335,855,163	)
	(8,631,716	)		(17,199,667	)		(3,798,449	)		(6,962,523	)		(245,155,909	)		(365,311,406	)
	(25,767	)		(39,238	)		–			–			(160,496	)		(282,959	)
	–			–			–			–			(3,371,599	)		(1,203,850	)
	–			–			–			–			–			(66,632,216	)
	–			–			–			–			–			(71,002,058	)
	–			–			–			–			–			(54,870	)
	–			–			–			–			–			(110,545	)

	(26,541,229	)		(57,041,907	)		(5,487,823	)		(10,038,881	)		(416,168,904	)		(840,453,067	)


	292,413,788			615,771,082			20,662,623			68,928,490			1,541,901,998			3,636,993,464
	17,764,553			38,239,787			1,328,946			2,509,572			160,295,117			384,067,836
	(414,756,283	)		(784,677,135	)		(10,746,100	)		(39,161,285	)		(944,062,443	)		(2,959,557,727	)

	(104,577,942	)		(130,666,266	)		11,245,469			32,276,777			758,134,672			1,061,503,573

	122,458,085			255,043,363			23,312,798			62,114,877			2,432,799,042			6,875,317,684
	7,398,447			15,417,091			2,870,642			5,397,319			204,943,986			366,861,008
	(105,044,690	)		(334,743,616	)		(18,675,038	)		(21,085,793	)		(1,859,002,522	)		(2,049,965,513	)

	24,811,842			(64,283,162	)		7,508,402			46,426,403			778,740,506			5,192,213,179

	986,336			2,546,020			–			–			4,009,497			299,135
	24,585			36,904			–			–			151,835			311,725
	(712,595	)		(3,123,733	)		–			–			(126,325	)		(317,623	)

	298,326			(540,809	)		–			–			4,035,007			293,237

	–			–			–			–			140,736,494			120,954,580
	–			–			–			–			3,388,040			1,297,955
	–			–			–			–			(10,565,521	)		(4,126,572	)

	–			–			–			–			133,559,013			118,125,963

	(79,467,774	)		(195,490,237	)		18,753,871			78,703,180			1,674,469,198			6,372,135,952

	(45,018,525)			(211,284,923	)		28,238,829			82,358,610			2,667,773,585			6,579,913,842
	1,720,444,229			1,931,729,152			283,469,916			201,111,306			19,557,870,408			12,977,956,566


	$1,675,425,704		$	1,720,444,229		$	311,708,745		$	283,469,916		$	22,225,643,993		$	19,557,870,408


	HIGH YIELD BOND FUND
	SIX MONTHS ENDED SEPTEMBER 30, 2012 (UNAUDITED)			YEAR ENDED MARCH 31, 2012
Operations:
Net investment income	$	77,059,233		$	148,926,338
Net realized gain/(loss) on investments		19,874,300			6,860,803
Net realized gain/(loss) on futures contracts, foreign currency exchange contracts, swap contracts and written options		1,806,360			(10,393,295	)
Net change in unrealized appreciation/(depreciation) on investments		46,280,086			(135,953,278	)
Net change in unrealized appreciation/(depreciation) on futures contracts, foreign currency exchange contracts, swap contracts and written options		(3,422,700	)		9,530,681

Net increase/(decrease) in net assets resulting from operations		141,597,279			18,971,249

Distributions to Shareholders from:
Net investment income:
Class M		(42,466,367	)		(89,361,566	)
Class I		(39,120,821	)		(64,608,675	)
Net realized gains:
Class M		–			(13,681,604	)
Class I		–			(10,130,577	)
Tax return of capital:
Class M		–			–

Net decrease in net assets resulting from distributions		(81,587,188	)		(177,782,422	)

Capital Share Transactions:
Class M:
Proceeds from sale of shares		319,315,401			1,010,020,608
Shares issued in reinvestment of distributions		39,357,650			95,546,977
Cost of shares redeemed		(330,219,092	)		(1,131,034,762	)

Total Class M capital share transactions		28,453,959			(25,467,177	)

Class I:
Proceeds from sale of shares		329,271,257			942,382,828
Shares issued in reinvestment of distributions		27,824,643			52,289,619
Cost of shares redeemed		(263,524,136	)		(636,133,689	)

Total Class I capital share transactions		93,571,764			358,538,758

Net increase/(decrease) in net assets resulting from capital share transactions		122,025,723			333,071,581

Net increase/(decrease) in net assets		182,035,814			174,260,408
Net assets at beginning of period		2,290,368,261			2,116,107,853

Net assets at end of period (including undistributed (distributions in excess of) net investment income of $(4,422,039), $105,917, $29,104, $13,478, $26,144, $(62,818), $(2,875) and $(2,494), respectively)	$	2,472,404,075		$	2,290,368,261


UNCONSTRAINED BOND FUND						STRATEGIC INCOME FUND						ALPHATRAK 500 FUND
SIX MONTHS ENDED SEPTEMBER 30, 2012 (UNAUDITED)			YEAR ENDED MARCH 31, 2012*			SIX MONTHS ENDED SEPTEMBER 30, 2012 (UNAUDITED)			YEAR ENDED MARCH 31, 2012			SIX MONTHS ENDED SEPTEMBER 30, 2012 (UNAUDITED)			YEAR ENDED MARCH 31, 2012

$	736,876		$	419,066		$	5,536,181		$	12,666,683		$	50,759		$	224,945
	484,935			233,960			(7,327,365	)		3,178,449			18,959			(541,126	)
	(113,854	)		(42,384	)		(15,374	)		(180,658	)		257,412			30,012
	1,460,927			1,275,640			14,728,501			(13,247,631	)		20,719			173,148
	(61,242	)		42,866			(5,672	)		251,654			(18,734	)		57,607

	2,507,642			1,929,148			12,916,271			2,668,497			329,115			(55,414	)



	(501,539	)		(237,938	)		(665,842	)		(2,255,254	)		(51,140	)		(194,455	)
	(219,711	)		(175,575	)		(4,781,377	)		(10,447,101	)		–			–

	–			(13,756	)		–			–			–			–
	–			(8,799	)		–			–			–			–

	–			–			–			–			–			(174,648	)

	(721,250	)		(436,068	)		(5,447,219	)		(12,702,355	)		(51,140	)		(369,103	)



	39,299,286			10,228,054			11,838,614			17,768,958			1,654,382			3,034,678
	490,435			245,607			653,046			2,190,528			48,187			340,841
	(4,473,000	)		(1,418,965	)		(3,755,835	)		(85,361,801	)		(698,472	)		(7,590,634	)

	35,316,721			9,054,696			8,735,825			(65,402,315	)		1,004,097			(4,215,115	)


	9,478,550			6,949,976			6,727,749			20,226,485			–			–
	172,067			176,759			906,820			2,248,787			–			–
	(52,077	)		(4,043	)		(9,507,688	)		(31,780,945	)		–			–

	9,598,540			7,122,692			(1,873,119	)		(9,305,673	)		–			–

	44,915,261			16,177,388			6,862,706			(74,707,988	)		1,004,097			(4,215,115	)

	46,701,653			17,670,468			14,331,758			(84,741,846	)		1,282,072			(4,639,632	)
	17,670,468			–			183,829,098			268,570,944			5,140,379			9,780,011


$	64,372,121		$	17,670,468		$	198,160,856		$	183,829,098		$	6,422,451		$	5,140,379


	ULTRA SHORT BOND FUND CLASS M
	SIX MONTHS ENDED SEPTEMBER 30, 2012 (UNAUDITED)			YEAR ENDED MARCH 31, 2012			YEAR ENDED MARCH 31, 2011			YEAR ENDED MARCH 31, 2010			YEAR ENDED MARCH 31, 2009			YEAR ENDED MARCH 31, 2008
Net Asset Value, Beginning of Period	$	4.20		$	4.24		$	4.04		$	3.53		$	4.64		$	5.12

Income from Investment Operations:
Net investment income¹		0.04			0.08			0.11			0.20			0.25			0.26
Net realized and unrealized gain/(loss) on investments, futures contracts, swap contracts and written options		0.09			(0.04	)		0.21			0.51			(1.10	)		(0.48	)

Total Income/(Loss) from Investment Operations		0.13			0.04			0.32			0.71			(0.85	)		(0.22	)

Less Distributions:
From net investment income		(0.04	)		(0.08	)		(0.12	)		(0.20	)		(0.26	)		(0.26	)

Total Distributions		(0.04	)		(0.08	)		(0.12	)		(0.20	)		(0.26	)		(0.26	)

Net Asset Value, End of Period	$	4.29		$	4.20		$	4.24		$	4.04		$	3.53		$	4.64

Total Return		3.06	%		1.00	%		8.01	%		20.74	%		(18.85	)%		(4.48	)%
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)	$	42,767		$	37,261		$	42,174		$	22,020		$	35,929		$	133,051
Ratio of Expenses to Average Net Assets²
Before expense waivers and reimbursements		0.66	%³		0.68	%		0.65	%		0.95	%		0.63	%		0.54	%
After expense waivers and reimbursements		0.50	%³		0.51	%		0.50	%		0.73	%		0.50	%		0.50	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		1.70	%³		1.90	%		2.57	%		5.24	%		5.84	%		5.23	%
Portfolio Turnover Rate		27	%⁴		29	%		42	%		43	%		20	%		30	%


	ULTRA SHORT BOND FUND CLASS I
	SIX MONTHS ENDED SEPTEMBER 30, 2012 (UNAUDITED)			YEAR ENDED MARCH 31, 2012			YEAR ENDED MARCH 31, 2011			YEAR ENDED MARCH 31, 2010			YEAR ENDED MARCH 31, 2009			YEAR ENDED MARCH 31, 2008
Net Asset Value, Beginning of Period	$	4.21		$	4.25		$	4.04		$	3.53		$	4.64		$	5.12

Income from Investment Operations:
Net investment income¹		0.04			0.09			0.12			0.19			0.26			0.27
Net realized and unrealized gain/(loss) on investments, futures contracts, swap contracts and written options		0.08			(0.04	)		0.22			0.53			(1.10	)		(0.48	)

Total Income/(Loss) from Investment Operations		0.12			0.05			0.34			0.72			(0.84	)		(0.21	)

Less Distributions:
From net investment income		(0.04	)		(0.09	)		(0.13	)		(0.21	)		(0.27	)		(0.27	)

Total Distributions		(0.04	)		(0.09	)		(0.13	)		(0.21	)		(0.27	)		(0.27	)

Net Asset Value, End of Period	$	4.29		$	4.21		$	4.25		$	4.04		$	3.53		$	4.64

Total Return		2.90	%		1.17	%		8.43	%		20.93	%		(18.72	)%		(4.32	)%
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)	$	67,736		$	75,106		$	71,173		$	79,830		$	60,060		$	120,380
Ratio of Expenses to Average Net Assets²
Before expense waivers and reimbursements		0.50	%³		0.52	%		0.49	%		0.79	%		0.47	%		0.38	%
After expense waivers and reimbursements		0.34	%³		0.35	%		0.34	%		0.57	%		0.34	%		0.34	%
Ratio of Net Investment Income to Average Net Assets After expense waivers and reimbursements		1.85	%³		2.03	%		2.83	%		4.93	%		6.09	%		5.40	%
Portfolio Turnover Rate		27	%⁴		29	%		42	%		43	%		20	%		30	%


	LOW DURATION BOND FUND CLASS M
	SIX MONTHS ENDED SEPTEMBER 30, 2012 (UNAUDITED)			YEAR ENDED MARCH 31, 2012			YEAR ENDED MARCH 31, 2011			YEAR ENDED MARCH 31, 2010			YEAR ENDED MARCH 31, 2009			YEAR ENDED MARCH 31, 2008
Net Asset Value, Beginning of Period	$	8.60		$	8.65		$	8.21		$	7.08		$	8.81		$	9.49

Income from Investment Operations:
Net investment income¹		0.13			0.26			0.26			0.33			0.49			0.48
Net realized and unrealized gain/(loss) on investments, futures contracts, foreign currency exchange contracts, swap contracts and written options		0.17			(0.05	)		0.44			1.15			(1.70	)		(0.67	)

Total Income/(Loss) from Investment Operations		0.30			0.21			0.70			1.48			(1.21	)		(0.19	)

Less Distributions:
From net investment income		(0.13	)		(0.26	)		(0.26	)		(0.35	)		(0.52	)		(0.49	)

Total Distributions		(0.13	)		(0.26	)		(0.26	)		(0.35	)		(0.52	)		(0.49	)

Net Asset Value, End of Period	$	8.77		$	8.60		$	8.65		$	8.21		$	7.08		$	8.81

Total Return		3.54	%		2.53	%		8.63	%		21.45	%		(14.20	)%		(2.11	)%
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)	$	1,133,485		$	1,214,668		$	1,356,201		$	1,032,666		$	656,275		$	1,313,261
Ratio of Expenses to Average Net Assets²
Before expense waivers and reimbursements		0.58	%³		0.59	%		0.58	%		0.71	%		0.62	%		0.59	%
After expense waivers and reimbursements		0.58	%³		0.59	%		0.58	%		0.69	%		0.59	%		0.58	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		3.04	%³		3.06	%		3.01	%		4.32	%		6.00	%		5.21	%
Portfolio Turnover Rate		28	%⁴		60	%		87	%		36	%		38	%		95	%


	LOW DURATION BOND FUND CLASS I
	SIX MONTHS ENDED SEPTEMBER 30, 2012 (UNAUDITED)			YEAR ENDED MARCH 31, 2012			YEAR ENDED MARCH 31, 2011			YEAR ENDED MARCH 31, 2010			YEAR ENDED MARCH 31, 2009			YEAR ENDED MARCH 31, 2008
Net Asset Value, Beginning of Period	$	8.60		$	8.66		$	8.22		$	7.08		$	8.82		$	9.49

Income from Investment Operations:
Net investment income¹		0.14			0.28			0.27			0.35			0.50			0.50
Net realized and unrealized gain/(loss) on investments, futures contracts, foreign currency exchange contracts, swap contracts and written options		0.18			(0.06	)		0.45			1.16			(1.71	)		(0.66	)

Total Income/(Loss) from Investment Operations		0.32			0.22			0.72			1.51			(1.21	)		(0.16	)

Less Distributions:
From net investment income		(0.14	)		(0.28	)		(0.28	)		(0.37	)		(0.53	)		(0.51	)

Total Distributions		(0.14	)		(0.28	)		(0.28	)		(0.37	)		(0.53	)		(0.51	)

Net Asset Value, End of Period	$	8.78		$	8.60		$	8.66		$	8.22		$	7.08		$	8.82

Total Return		3.76	%		2.61	%		8.82	%		21.83	%		(14.13	)%		(1.82	)%
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)	$	540,003		$	504,182		$	573,395		$	476,233		$	313,864		$	595,595
Ratio of Expenses to Average Net Assets²
Before expense waivers and reimbursements		0.39	%³		0.40	%		0.39	%		0.52	%		0.43	%		0.40	%
After expense waivers and reimbursements		0.39	%³		0.40	%		0.39	%		0.50	%		0.40	%		0.39	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		3.22	%³		3.24	%		3.20	%		4.52	%		6.19	%		5.39	%
Portfolio Turnover Rate		28	%⁴		60	%		87	%		36	%		38	%		95	%


	LOW DURATION BOND ADMINISTRATIVE CLASS*
	SIX MONTHS ENDED SEPTEMBER 30, 2012 (UNAUDITED)			YEAR ENDED MARCH 31, 2012			YEAR ENDED MARCH 31, 2011			PERIOD ENDED MARCH 31, 2010
Net Asset Value, Beginning of Period	$	11.11		$	11.18		$	10.61		$	10.00

Income from Investment Operations:
Net investment income¹		0.16			0.31			0.31			0.15
Net realized and unrealized gain/(loss) on investments, futures contracts, foreign currency exchange contracts, swap contracts and written options		0.23			(0.06	)		0.57			0.64

Total Income from Investment Operations		0.39			0.25			0.88			0.79

Less Distributions:
From net investment income		(0.16	)		(0.32	)		(0.31	)		(0.18	)

Total Distributions		(0.16	)		(0.32	)		(0.31	)		(0.18	)

Net Asset Value, End of Period	$	11.34		$	11.11		$	11.18		$	10.61

Total Return		3.53	%		2.28	%		8.41	%		7.91	%²
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)	$	1,938		$	1,594		$	2,133		$	1,029
Ratio of Expenses to Average Net Assets³
Before expense waivers and reimbursements		0.78	%⁴		0.79	%		0.78	%		0.91	%⁴
After expense waivers and reimbursements		0.78	%⁴		0.79	%		0.78	%		0.89	%⁴
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		2.81	%⁴		2.82	%		2.78	%		2.72	%⁴
Portfolio Turnover Rate		28	%²		60	%		87	%		36	%²


	INTERMEDIATE BOND FUND CLASS M
	SIX MONTHS ENDED SEPTEMBER 30, 2012 (UNAUDITED)			YEAR ENDED MARCH 31, 2012			YEAR ENDED MARCH 31, 2011			YEAR ENDED MARCH 31, 2010			YEAR ENDED MARCH 31, 2009			YEAR ENDED MARCH 31, 2008
Net Asset Value, Beginning of Period	$	10.47		$	10.31		$	10.17		$	9.09		$	10.17		$	10.14

Income from Investment Operations:
Net investment income¹		0.19			0.40			0.44			0.49			0.52			0.48
Net realized and unrealized gain/(loss) on investments, futures contracts, foreign currency exchange contracts, swap contracts and written options		0.34			0.16			0.50			1.14			(0.93	)		0.06

Total Income/(Loss) from Investment Operations		0.53			0.56			0.94			1.63			(0.41	)		0.54

Less Distributions:
From net investment income		(0.19	)		(0.40	)		(0.44	)		(0.49	)		(0.52	)		(0.51	)
From net capital gains		–			–			(0.36	)		(0.01	)		(0.15	)		–
From return of capital		–			–			–			(0.05	)		(0.00	)²		–

Total Distributions		(0.19	)		(0.40	)		(0.80	)		(0.55	)		(0.67	)		(0.51	)

Net Asset Value, End of Period	$	10.81		$	10.47		$	10.31		$	10.17		$	9.09		$	10.17

Total Return		5.12	%		5.56	%		9.50	%		18.32	%		(3.95	%)		5.48	%
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)	$	104,294		$	89,990		$	56,748		$	44,805		$	25,901		$	15,231
Ratio of Expenses to Average Net Assets³
Before expense waivers and reimbursements		0.69	%⁴		0.72	%		0.72	%		0.81	%		0.77	%		0.76	%
After expense waivers and reimbursements		0.65	%⁴		0.66	%		0.65	%		0.70	%		0.65	%		0.65	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		3.58	%⁴		3.89	%		4.24	%		5.00	%		5.47	%		4.79	%
Portfolio Turnover Rate		56	%⁵		145	%		192	%		95	%		178	%		94	%


	INTERMEDIATE BOND FUND CLASS I
	SIX MONTHS ENDED SEPTEMBER 30, 2012 (UNAUDITED)			YEAR ENDED MARCH 31, 2012			YEAR ENDED MARCH 31, 2011			YEAR ENDED MARCH 31, 2010			YEAR ENDED MARCH 31, 2009			YEAR ENDED MARCH 31, 2008
Net Asset Value, Beginning of Period	$	10.47		$	10.30		$	10.17		$	9.09		$	10.17		$	10.14

Income from Investment Operations:
Net investment income¹		0.20			0.43			0.46			0.51			0.54			0.50
Net realized and unrealized gain/(loss) on investments, futures contracts, foreign currency exchange contracts, swap contracts and written options		0.34			0.16			0.50			1.14			(0.93	)		0.06

Total Income/(Loss) from Investment Operations		0.54			0.59			0.96			1.65			(0.39	)		0.56

Less Distributions:
From net investment income		(0.20	)		(0.42	)		(0.47	)		(0.51	)		(0.54	)		(0.53	)
From net capital gains		–			–			(0.36	)		(0.01	)		(0.15	)		–
From return of capital		–			–			–			(0.05	)		(0.00	)²		–

Total Distributions		(0.20	)		(0.42	)		(0.83	)		(0.57	)		(0.69	)		(0.53	)

Net Asset Value, End of Period	$	10.81		$	10.47		$	10.30		$	10.17		$	9.09		$	10.17

Total Return		5.23	%		5.89	%		9.62	%		18.57	%		(3.75	)%		5.70	%
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)	$	207,414		$	193,480		$	144,364		$	162,363		$	140,274		$	138,668
Ratio of Expenses to Average Net Assets³
Before expense waivers and reimbursements		0.48	%⁴		0.51	%		0.51	%		0.60	%		0.56	%		0.55	%
After expense waivers and reimbursements		0.44	%⁴		0.45	%		0.44	%		0.49	%		0.44	%		0.44	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		3.79	%⁴		4.11	%		4.45	%		5.25	%		5.62	%		4.97	%
Portfolio Turnover Rate		56	%⁵		145	%		192	%		95	%		178	%		94	%


	TOTAL RETURN BOND FUND CLASS M
	SIX MONTHS ENDED SEPTEMBER 30, 2012 (UNAUDITED)			YEAR ENDED MARCH 31, 2012			YEAR ENDED MARCH 31, 2011			YEAR ENDED MARCH 31, 2010			YEAR ENDED MARCH 31, 2009			YEAR ENDED MARCH 31, 2008
Net Asset Value, Beginning of Period	$	10.54		$	10.41		$	10.16		$	8.89		$	9.82		$	9.79

Income from Investment Operations:
Net investment income¹		0.21			0.45			0.47			0.57			0.53			0.48
Net realized and unrealized gain/(loss) on investments, futures contracts, foreign currency exchange contracts, swap contracts and written options		0.51			0.21			0.42			1.26			(0.74	)		0.04

Total Income/(Loss) from Investment Operations		0.72			0.66			0.89			1.83			(0.21	)		0.52

Less Distributions:
From net investment income		(0.21	)		(0.45	)		(0.47	)		(0.56	)		(0.55	)		(0.49	)
From net capital gains		–			(0.08	)		(0.17	)		–			(0.17	)		–

Total Distributions		(0.21	)		(0.53	)		(0.64	)		(0.56	)		(0.72	)		(0.49	)

Net Asset Value, End of Period	$	11.05		$	10.54		$	10.41		$	10.16		$	8.89		$	9.82

Total Return		6.89	%		6.55	%		8.86	%		21.16	%		(2.10	%)		5.44	%
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)	$	9,326,981		$	8,154,998		$	6,999,143		$	4,645,082		$	3,275,319		$	3,533,010
Ratio of Expenses to Average Net Assets²
Before expense waivers and reimbursements		0.60	%³		0.63	%		0.63	%		0.72	%		0.65	%		0.66	%
After expense waivers and reimbursements		0.60	%³		0.63	%		0.63	%		0.72	%		0.65	%		0.65	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		3.88	%³		4.33	%		4.47	%		5.88	%		5.74	%		4.89	%
Portfolio Turnover Rate		74	%⁴		156	%		228	%		141	%		220	%		124	%


	TOTAL RETURN BOND FUND CLASS I
	SIX MONTHS ENDED SEPTEMBER 30, 2012 (UNAUDITED)			YEAR ENDED MARCH 31, 2012			YEAR ENDED MARCH 31, 2011			YEAR ENDED MARCH 31, 2010			YEAR ENDED MARCH 31, 2009			YEAR ENDED MARCH 31, 2008
Net Asset Value, Beginning of Period	$	10.54		$	10.41		$	10.16		$	8.89		$	9.82		$	9.79


Income from Investment Operations:
Net investment income¹		0.22			0.47			0.49			0.58			0.55			0.50
Net realized and unrealized gain/(loss) on investments, futures contracts, foreign currency exchange contracts, swap contracts and written options		0.51			0.21			0.42			1.27			(0.75	)		0.04

Total Income/(Loss) from Investment Operations		0.73			0.68			0.91			1.85			(0.20	)		0.54


Less Distributions:
From net investment income		(0.22	)		(0.47	)		(0.49	)		(0.58	)		(0.56	)		(0.51	)
From net capital gains		–			(0.08	)		(0.17	)		–			(0.17	)		–

Total Distributions		(0.22	)		(0.55	)		(0.66	)		(0.58	)		(0.73	)		(0.51	)

Net Asset Value, End of Period	$	11.05		$	10.54		$	10.41		$	10.16		$	8.89		$	9.82

Total Return		7.00	%		6.78	%		9.08	%		21.42	%		(1.89	)%		5.65	%

Ratios/Supplemental Data:
Net Assets, end of period (in thousands)	$	12,625,540		$	11,275,951		$	5,972,132		$	3,784,988		$	2,021,994		$	2,227,359
Ratio of Expenses to Average Net Assets²
Before expense waivers and reimbursements		0.39	%³		0.42	%		0.42	%		0.51	%		0.44	%		0.44	%
After expense waivers and reimbursements		0.39	%³		0.42	%		0.42	%		0.51	%		0.44	%		0.44	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		4.09	%³		4.53	%		4.67	%		6.03	%		5.95	%		5.11	%
Portfolio Turnover Rate		74	%⁴		156	%		228	%		141	%		220	%		124	%


	TOTAL RETURN BOND FUND ADMINISTRATIVE CLASS*
	SIX MONTHS ENDED SEPTEMBER 30, 2012 (UNAUDITED)			YEAR ENDED MARCH 31, 2012			YEAR ENDED MARCH 31, 2011			PERIOD ENDED MARCH 31, 2010
Net Asset Value, Beginning of Period	$	10.55		$	10.42		$	10.17		$	10.00

Income from Investment Operations:
Net investment income¹		0.20			0.43			0.44			0.13
Net realized and unrealized gain on investments, futures contracts, foreign currency exchange contracts, swap contracts and written options		0.51			0.21			0.42			0.17

Total Income from Investment Operations		0.71			0.64			0.86			0.30

Less Distributions:
From net investment income		(0.20	)		(0.43	)		(0.44	)		(0.13	)
From net capital gains		–			(0.08	)		(0.17	)		–

Total Distributions		(0.20	)		(0.51	)		(0.61	)		(0.13	)

Net Asset Value, End of Period	$	11.06		$	10.55		$	10.42		$	10.17

Total Return		6.78	%		6.34	%		8.63	%		3.05	%²
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)	$	11,531		$	7,061		$	6,681		$	1,194
Ratio of Expenses to Average Net Assets³
Before expense waivers and reimbursements		0.80	%⁴		0.83	%		0.83	%		0.92	%
After expense waivers and reimbursements		0.80	%⁴		0.83	%		0.83	%		0.92	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		3.68	%⁴		4.14	%		4.16	%		4.66	%
Portfolio Turnover Rate		74	%²		156	%		228	%		141	%²


	TOTAL RETURN BOND FUND PLAN CLASS*
	SIX MONTHS ENDED SEPTEMBER 30, 2012 (UNAUDITED)			PERIOD ENDED MARCH 31, 2012
Net Asset Value, Beginning of Period	$	9.95		$	10.00

Income from Investment Operations:
Net investment income¹		0.21			0.30
Net realized and unrealized gain on investments, futures contracts, foreign currency exchange contracts, swap contracts and written options		0.49			0.07


Total Income from Investment Operations		0.70			0.37

Less Distributions:
From net investment income		(0.21	)		(0.34	)
From net capital gains		–			(0.08	)


Total Distributions		(0.21	)		(0.42	)


Net Asset Value, End of Period	$	10.44		$	9.95

Total Return		7.10	%		3.81	%²
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)	$	261,591		$	119,860
Ratio of Expenses to Average Net Assets³
Before expense waivers and reimbursements		0.38	%⁴		0.41	%⁴
After expense waivers and reimbursements		0.38	%⁴		0.40	%⁴
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		4.13	%⁴		4.43	%⁴
Portfolio Turnover Rate		74	%²		156	%²


	HIGH YIELD BOND FUND CLASS M
	SIX MONTHS ENDED SEPTEMBER 30, 2012 (UNAUDITED)			YEAR ENDED MARCH 31, 2012			YEAR ENDED MARCH 31, 2011			YEAR ENDED MARCH 31, 2010			YEAR ENDED MARCH 31, 2009			YEAR ENDED MARCH 31, 2008
Net Asset Value, Beginning of Period	$	10.11		$	10.94		$	10.40		$	7.65		$	9.71		$	10.97

Income from Investment Operations:
Net investment income¹		0.33			0.73			0.82			0.92			0.88			0.86
Net realized and unrealized gain/(loss) on investments, futures contracts, swap contracts and written options		0.29			(0.68	)		0.59			2.78			(2.08	)		(1.16	)


Total Income/(Loss) from Investment Operations		0.62			0.05			1.41			3.70			(1.20	)		(0.30	)

Less Distributions:
From net investment income		(0.35	)		(0.76	)		(0.82	)		(0.91	)		(0.87	)		(0.92	)
From net capital gains		–			(0.12	)		(0.05	)		(0.04	)		–			–
From return of capital		–			–			–			–			–			(0.04	)


Total Distributions		(0.35	)		(0.88	)		(0.87	)		(0.95	)		(0.87	)		(0.96	)


Redemption fees added to paid-in capital (Note 8)		–			–			0.00	²		0.00	²		0.01			0.00	²


Net Asset Value, End of Period	$	10.38		$	10.11		$	10.94		$	10.40		$	7.65		$	9.71

Total Return		6.31	%		0.68	%		14.19	%		49.85	%		(12.59	)%		(3.13	)%
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)	$	1,288,239		$	1,227,806		$	1,351,022		$	523,717		$	60,702		$	41,266
Ratio of Expenses to Average Net Assets³
Before expense waivers and reimbursements		0.80	%⁴		0.85	%		0.85	%		0.88	%		0.99	%		0.98	%
After expense waivers and reimbursements		0.77	%⁴		0.82	%		0.80	%		0.81	%		0.80	%		0.80	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		6.54	%⁴		7.14	%		7.73	%		9.29	%		10.24	%		8.15	%
Portfolio Turnover Rate		29	%⁵		54	%		34	%		40	%		107	%		120	%



	HIGH YIELD BOND FUND CLASS I
	SIX MONTHS ENDED SEPTEMBER 30, 2012 (UNAUDITED)			YEAR ENDED MARCH 31, 2012			YEAR ENDED MARCH 31, 2011			YEAR ENDED MARCH 31, 2010			YEAR ENDED MARCH 31, 2009			YEAR ENDED MARCH 31, 2008
Net Asset Value, Beginning of Period	$	10.11		$	10.94		$	10.40		$	7.65		$	9.71		$	10.97

Income from Investment Operations:
Net investment income¹		0.34			0.75			0.85			0.95			0.91			0.88
Net realized and unrealized gain/(loss) on investments, futures contracts, swap contracts and written options		0.29			(0.68	)		0.59			2.77			(2.09	)		(1.16	)

Total Income/(Loss) from Investment Operations		0.63			0.07			1.44			3.72			(1.18	)		(0.28	)

Less Distributions:
From net investment income		(0.37	)		(0.78	)		(0.85	)		(0.93	)		(0.89	)		(0.91	)
From net capital gains		–			(0.12	)		(0.05	)		(0.04	)		–			–
From return of capital		–			–			–			–			–			(0.07	)

Total Distributions		(0.37	)		(0.90	)		(0.90	)		(0.97	)		(0.89	)		(0.98	)

Redemption fees added to paid-in capital (Note 8)		–			–			0.00	²		0.00	²		0.01			0.00	²

Net Asset Value, End of Period	$	10.37		$	10.11		$	10.94		$	10.40		$	7.65		$	9.71

Total Return		6.34	%		0.93	%		14.48	%		50.22	%		(12.37	)%		(2.88	)%
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)	$	1,184,166		$	1,062,563		$	765,086		$	252,022		$	106,895		$	63,589
Ratio of Expenses to Average Net Assets³
Before expense waivers and reimbursements		0.55	%⁴		0.60	%		0.60	%		0.63	%		0.73	%		0.73	%
After expense waivers and reimbursements		0.52	%⁴		0.57	%		0.55	%		0.56	%		0.55	%		0.55	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		6.79	%⁴		7.35	%		7.99	%		9.82	%		10.88	%		8.40	%
Portfolio Turnover Rate		29	%⁵		54	%		34	%		40	%		107	%		120	%


	UNCONSTRAINED BOND FUND CLASS M

	SIX MONTHS ENDED SEPTEMBER 30, 2012 (UNAUDITED)			PERIOD ENDED MARCH 31, 2012*
Net Asset Value, Beginning of Period	$	11.23		$	10.00


Income from Investment Operations:
Net investment income¹		0.22			0.32
Net realized and unrealized gain on investments, futures contracts, foreign currency exchange contracts, and swap contracts		0.42			1.24

Total Income from Investment Operations		0.64			1.56


Less Distributions:
From net investment income		(0.22	)		(0.31	)
From net capital gains		–			(0.02	)

Total Distributions		(0.22	)		(0.33	)

Net Asset Value, End of Period	$	11.65		$	11.23

Total Return		5.79	%		15.72	%²

Ratios/Supplemental Data:
Net Assets, end of period (in thousands)	$	46,525		$	9,894
Ratio of Expenses to Average Net Assets³
Before expense waivers and reimbursements		1.54	%⁴		2.86	%⁴
After expense waivers and reimbursements		0.99	%⁴		0.99	%⁴
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		3.83	%⁴		6.11	%⁴
Portfolio Turnover Rate		15	%²		29	%²


	STRATEGIC INCOME FUND CLASS M
	SIX MONTHS ENDED SEPTEMBER 30, 2012 (UNAUDITED)			YEAR ENDED MARCH 31, 2012			YEAR ENDED MARCH 31, 2011			YEAR ENDED MARCH 31, 2010			YEAR ENDED MARCH 31, 2009			YEAR ENDED MARCH 31, 2008
Net Asset Value, Beginning of Period	$	7.82		$	8.21		$	7.45		$	5.69		$	8.85		$	11.09


Income from Investment Operations:
Net investment income¹		0.23			0.44			0.40			0.58			0.89			0.79
Net realized and unrealized gain/(loss) on investments, futures contracts, swap contracts and written options		0.32			(0.36	)		0.78			1.91			(2.98	)		(2.21	)

Total Income/(Loss) from Investment Operations		0.55			0.08			1.18			2.49			(2.09	)		(1.42	)


Less Distributions:
From net investment income		(0.23	)		(0.47	)		(0.42	)		(0.73	)		(1.07	)		(0.82	)

Total Distributions		(0.23	)		(0.47	)		(0.42	)		(0.73	)		(1.07	)		(0.82	)

Net Asset Value, End of Period	$	8.14		$	7.82		$	8.21		$	7.45		$	5.69		$	8.85

Total Return		7.10	%		1.11	%		16.21	%		46.49	%		(25.33	)%		(13.44	)%

Ratios/Supplemental Data:
Net Assets, end of period (in thousands)	$	30,653		$	20,882		$	88,162		$	47,906		$	8,020		$	43,785
Ratio of Expenses to Average Net Assets²
Before expense waivers and reimbursements		2.07	%³		2.14	%		2.22	%		2.01	%		0.79	%		1.61	%
After expense waivers and reimbursements		2.07	%³		2.14	%		2.22	%		2.01	%		0.79	%		1.61	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		5.76	%³		5.52	%		5.10	%		8.41	%		11.19	%		7.49	%
Portfolio Turnover Rate		19	%⁴		70	%		93	%		208	%		294	%		74	%


	STRATEGIC INCOME FUND CLASS I
	SIX MONTHS ENDED SEPTEMBER 30, 2012 (UNAUDITED)			YEAR ENDED MARCH 31, 2012			YEAR ENDED MARCH 31, 2011			YEAR ENDED MARCH 31, 2010			YEAR ENDED MARCH 31, 2009			YEAR ENDED MARCH 31, 2008
Net Asset Value, Beginning of Period	$	7.82		$	8.21		$	7.44		$	5.69		$	8.85		$	11.08


Income from Investment Operations:
Net investment income¹		0.24			0.49			0.43			0.71			0.95			0.85
Net realized and unrealized gain/(loss) on investments, futures contracts, swap contracts and written options		0.31			(0.39	)		0.78			1.79			(3.02	)		(2.23	)

Total Income/(Loss) from Investment Operations		0.55			0.10			1.21			2.50			(2.07	)		(1.38	)


Less Distributions:
From net investment income		(0.24	)		(0.49	)		(0.44	)		(0.75	)		(1.09	)		(0.85	)

Total Distributions		(0.24	)		(0.49	)		(0.44	)		(0.75	)		(1.09	)		(0.85	)

Net Asset Value, End of Period	$	8.13		$	7.82		$	8.21		$	7.44		$	5.69		$	8.85

Total Return		7.11	%		1.36	%		16.66	%		46.65	%		(25.14	)%		(13.22	)%

Ratios/Supplemental Data:
Net Assets, end of period (in thousands)	$	167,508		$	162,947		$	180,409		$	167,570		$	119,302		$	271,639
Ratio of Expenses to Average Net Assets²
Before expense waivers and reimbursements		1.82	%³		1.89	%		1.97	%		1.76	%		0.51	%		1.34	%
After expense waivers and reimbursements		1.82	%³		1.89	%		1.97	%		1.76	%		0.51	%		1.34	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		6.02	%³		6.19	%		5.41	%		10.56	%		12.39	%		8.13	%
Portfolio Turnover Rate		19	%⁴		70	%		93	%		208	%		294	%		74	%