Metropolitan West Fund

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 Metropolitan West Funds. Due to your ongoing sponsorship and market appreciation over the reporting period, assets across the Funds grew to over $31 billion by the end of September 2013.

We continue to be measured in the management of the Funds, both from the perspective of the underlying investments and the composition of the Fund family. Historically, we have chosen to be very selective in the addition of new vehicles to the complex. The Metropolitan West Unconstrained Bond Fund, rolled out in late 2011, served as a natural extension of our capabilities to prepare for an increase in interest rate sensitivity among investors, especially after so many years of accommodation by the US Federal Reserve. Following in this path, we are pleased to include our newest offering, the Metropolitan West Floating Rate Income Fund, in this Semi-Annual Report. Employing the same type of bottom-up research capability as our other strategies, the Floating Rate Income Fund seeks opportunities primarily from the $850 billion market for leveraged loans and high yield floating rate debt, in seeking attractive risk-adjusted yield with more limited interest rate risk than market duration strategies.

The September 30, 2013 Semi-Annual Report for the Metropolitan West Funds covers the following:

Since the middle of the second quarter markets have been shaped first, by the Federal Reserve’s (Fed) hints at changes to the contours of its latest Quantitative Easing (QE) program and then, by investor anticipation of the consequences of those changes. As a result, a five-month stretch ensued whereby the 10-Year US Treasury yield bottomed at 1.63% on May 2 only to race to just under 3% on September 5, a run-up of nearly 140 basis points (bps) in just a few months, reminiscent of 1994 and 2003 experiences. In tandem with the US Treasury volatility, risk premiums increased across the non-government fixed income sectors, atypically amplifying downside performance (mostly a second quarter occurrence) due to the uncertainty before recovering, particularly in July. However, before the Fed could execute on its telegraphed taper, a pair of uninspiring jobs reports in August and September (along with some fairly significant back-month revisions to the downside) led markets to begin factoring in an alteration to the Fed’s plans, namely a continuation of agency mortgage-backed securities (MBS) purchases and a less-than-expected cut to the US Treasury purchases. So while some moderation of the Fed’s taper plan was being priced in between early September and the mid-month Federal Open Market Committee (FOMC) meeting, markets were still surprised by the inaction of the September 18 meeting, and rallied sharply in the immediate aftermath with the 10-Year yield falling nearly 40 bps to 2.65% and equities, high yield, and emerging markets trading up significantly.

As the quarter came to a close, US Treasury yields continued to decline, albeit at a tempered pace, and the rise in equities faded as the market’s attention shifted to the impending government shutdown and debt ceiling debate. Nevertheless, equities finished the quarter up 5% and US Treasury yields maintained some of July and August’s increase: 10 and 30-Year yields closed at 2.61% and 3.69%, up 12 and 19 bps, respectively, while yields for 5-Year maturities and shorter fell modestly. The late-September rally spurred bond indexes to marginally positive returns for the quarter, though four straight months of negative returns to the US Treasury index from May through August have kept nearly all fixed income indexes in negative territory on a year-to-date basis. Significant exceptions to that have been high yield corporates (+3.7%) and non-agency MBS (> +5%) thus far in 2013. Within the bounds of the Barclays Aggregate Index, corporates gained 0.8% for the quarter with yield spreads down by approximately 10 bps. Financials (+1.5%) were the best performing corporate credits, largely due to the banking sub-sector where a conservative regulatory environment has helped capital ratios continue on a steadily increasing trend. Conversely, industrials (+0.5%) trailed as the sector has seen rising leverage with large leveraged buyouts (LBOs) starting to make their cyclical appearance.

Among securitized issues, beyond the generous performance of non-agency MBS, agency mortgages were positive (+1%) but volatile during the quarter, particularly lower coupon issues where Fed buying has the most impact. Commercial MBS (CMBS) also returned

just over 1%, with slight spread narrowing as ongoing modifications and an increase in refinancing activity helped to reduce delinquencies. In addition, new issuances were lighter than expected for the quarter due to marketing delays for deals expected to price in September, however, on a year-to-date basis, the pace of new private label and agency CMBS issuance far exceeds that of 2012. Asset-backed securities (ABS) lagged the overall fixed-income market with a modest 0.2% return. Yield spreads widened as new issue supply (largely auto and credit card related) outpaced light summer trading volumes.

While the significant rate rise from May to September suggested a quickening pace of economic expansion, the data continued to indicate a sluggish pace of growth without any indicators of a breakout. Weak employment growth remains a significant concern, with an optically improving unemployment rate masking what has become an alarming decrease in workforce participation, now at a 35-year low. The failure in this specific objective of the last round of QE, even as asset prices continued to climb, likely played a significant role in the Fed’s May hints at a forthcoming taper, so the passing of the September meeting without action wasn’t only surprising, it brought substantial risk to the central bank’s credibility. As a result, the Ben Bernanke Fed, which promised better visibility into the decision-making process, gets set to give way to a JanetYellen Fed (as President Obama’s nominee) under a cloud of uncertainty, which could lead to an extended period of distorted asset prices, heighten intermediate to longer term inflationary risks, and generate increased volatility as investors seek to prepare for the ultimate unwind of longstanding monetary accommodation.

In anticipation of this volatility, the Funds remain disciplined in their effort to reduce risk during periods of solid performance and selectively add back good risk-adjusted yield opportunities during periods of volatility. Positioning continues to reflect a view that interest rate pressures will heighten over time and that the credit cycle continues to age, informing a wariness of developments that may compromise quality. As such, the Fund maintains less interest rate risk via a duration position of approximately one year short of the index, and an underweight to US Treasuries in favor of select non-government fixed income asset classes. However, wariness of the aging credit cycle means that US Treasury exposure may increase as a placeholder for liquidity and relative value, especially as the Fed’s missed opportunity runs the risk of pushing prices ahead of fundamental value.

The Funds, where suitable, have retained a constructive view on non-agency MBS with an overweight, particularly floating rate issues which offer better total return potential and protection from higher interest rates. Although the return potential is lower than in previous years, an ongoing improvement in housing fundamentals and favorable technicals, i.e., limited new supply and strong demand, should be supportive. Agency MBS remains a liquid alternative to US Treasury securities, though rate risks, extending duration and the mammoth influence of the Fed informs caution and thus a slight underweight to agency MBS pass-throughs versus the index, while maintaining a lower coupon emphasis which provides better protection from prepayment risk. CMBS and ABS also appear relatively attractive, though only in select parts of each market. While vintage is an important component of issue selection among CMBS – avoid 2006-2007 vintage CMBS given weak underwriting standards during that period in favor of seasoned and newer issues that appear to have stronger underlying structures – collateral type drives the distinction in ABS issue selection. Index ABS such as credit cards and auto loan ABS offer little yield premium over Treasuries, while non-index collateral types such as student loans appear to provide higher quality cash flows, often with floating rates.

Corporate credit has become less attractive with leverage rising and yield spreads narrowing, thus informing a slight underweight, particularly among unregulated industrial credits. However, financials and utilities continue to represent an overweight as both are protected from increasing leverage due to regulatory oversight. While the financial sector may experience a drag from reduced earnings as net interest margins (the difference between what a bank pays on deposits and what it earns from loans) continue to decline, the sector remains relatively attractive given improving capital ratios and a conservative regulatory environment. Outside of the investment grade space, bank loans and high yield corporates remain a modest allocation, with a tilt toward issues that are higher in the capital structure and have shorter durations to reduce exposure to interest rate volatility.

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

With US Treasury rates moving higher over the past six months, particularly for maturities beyond five years, fixed income strategies beyond short duration were challenged to produce positive returns. Relative to the benchmarks for the broadly diversified Funds, notably Total Return, Intermediate and Low Duration, however, outperformance was generated, as (1) a defensive duration profile, (2) an underweight to lagging Government issues, and (3) a continuing emphasis to non-agency residential MBS, which have benefitted from good supply-demand dynamics and ongoing housing market improvement.

The High Yield Fund generated positive performance over the past six months, just shy of the benchmark return, as a tilt toward higher quality weighed slightly on performance with lower-rated cohorts pacing the markets thus far in 2013. Nevertheless, the risk-adjusted return profile for the Fund remains very appealing, as the credit cycle ages and informs a more cautious profile. In its first quarter of operation, the Floating Rate Income Fund generated returns of nearly 2%, as the early inflows to the Fund provided the basis for selective deployment of capital.

Finally, while the Unconstrained Fund, the Strategic Income Fund, the Ultra Short Fund and AlphaTrak 500 Fund all posted index-like performance over the past six months, the year-over-year results have been favorable to the respective benchmarks, as security-level contributions from the corporate and non-agency RMBS sectors have proved additive over the course of the last twelve months. The AlphaTrak 500 Fund has also benefitted from the buoyant S&P 500 return to gain more than 8% in the past six months and more than 20% in the past twelve months ended September 30, 2013.

The performance data presented below represents past performance and is no guarantee of future results. Total returns include reinvestment of dividends and distributions. Current performance may be lower or higher than the performance data presented. Performance data current to the most recent month end is available on the Fund’s website at TCW.com. Investment returns and principal value will fluctuate with market conditions. The value of an investment in the Fund, when redeemed, may be worth more or less than its original purchase cost.

For MWUSX, the total expense ratio is 0.64% and the net expense ratio is 0.50%. For MWUIX, the total expense ratio is 0.48% and the net expense ratio is 0.34%.

For MWLDX, the total expense ratio is 0.57% and the net expense ratio is 0.57%. For MWLIX, the total expense ratio is 0.38% and the net expense ratio is 0.38%. For MWLNX, the total expense ratio is 0.77% and the net expense ratio is 0.77%.

For MWIMX, the total expense ratio is 0.69% and the net expense ratio is 0.65%. For MWIIX, the total expense ratio is 0.48% 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 0.61% and the net expense ratio is 0.61%. For MWTIX, the total expense ratio is 0.40% and the net expense ratio is 0.40%. For MWTNX, the total expense ratio is 0.81% and the net expense ratio is 0.81%. For MWTSX, the total expense ratio is 0.40% and the net expense ratio is 0.39%.

For MWHYX, the total expense ratio is 0.81% and the net expense ratio is 0.79%. For MWHIX, the total expense ratio is 0.57% and the net expense ratio is 0.54%.

For MWCRX, the total expense ratio is 1.35% and the net expense ratio is 0.99%. For MWCIX, the total expense ratio is 1.10% and the net expense ratio is 0.75%.

¹ Non-Annualized; Cumulative return for the period June 28, 2013 through September 30, 2013.

For MWFLX, the total expense ratio is 2.30% and the net expense ratio is 0.85%. For MWFIX, the total expense ratio is 2.05% and the net expense ratio is 0.65%.

For MWSTX, the total expense ratio is 2.16% and the net expense ratio is 2.16%. For MWSIX, the total expense ratio is 1.91% and the net expense ratio is 1.91%.

Now, as much as ever, MetWest remains committed to an investment approach that emphasizes a long-term perspective and an understanding that, at times, market pricing can and will become disconnected to fundamental value. At other times, such as now, it is important to understand that adhering to discipline is a critical risk-control mechanism for Fund management to protect from downside performance. At all times, 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 Fund returns through time. While market conditions change constantly, our process is steadfast and vigilant to opportunities that bring and protect 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 High Yield Bond Fund is a non-diversified fund which purchases more speculative bonds, which are subject to greater risks than higher rated bonds, including“leverage risk”.The Strategic Income Fund is also a non-diversified fund which 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 Adviser has contractually agreed to waive and/or reimburse certain fees and expenses for the Metropolitan West Ultra Short Bond Fund, Intermediate Bond Fund, Total Return Bond Fund (Plan Class), HighYield Bond Fund, Unconstrained Bond Fund and AlphaTrak 500 Fund until July 31, 2014.

The views and forecasts expressed here are as of October 2013, 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, 400 Berwyn Park, Suite 110, 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, 2013. 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 – 84.52%
ASSET-BACKED SECURITIES — 1.38%**
Bayview Commercial Asset Trust,
Series 2007-3, Class A1
0.42%	07/25/37^2,3	$	960,937	$	782,437
GE Seaco Finance SRL, Series 2005-1A,
Class A (Barbados)
0.43%	11/17/20^2,3,4		216,667		214,604
Goal Capital Funding Trust, Series 2006-1,
Class A3
0.38%	11/25/26²		346,943		342,360
Nelnet Student Loan Trust, Series 2012-5A,
Class A
0.78%	10/27/36^2,3		266,966		265,761
SLM Student Loan Trust, Series 2003-12,
Class A5
0.53%	09/15/22^2,3		444,736		442,773
SLM Student Loan Trust, Series 2013-4,
Class A
0.73%	06/25/27²		377,154		377,578
Triton Container Finance LLC,
Series 2006-1A, Class NOTE
0.35%	11/26/21^2,3		126,667		124,331
Triton Container Finance LLC,
Series 2007-1A, Class NOTE
0.32%	02/26/19^2,3		53,125		52,658


Total Asset-Backed Securities
(Cost $2,766,394)					2,602,502


BANK LOANS — 0.34%*

Health Care — 0.34%
HCA, Inc., Term Loan B4
2.93%	05/01/18^2,5		640,641		640,125


Total Bank Loans
(Cost $640,641)

CORPORATES — 13.02%*

Automotive — 0.48%
Nissan Motor Acceptance Corp.
0.95%	09/26/16^2,3		900,000		902,006


Banking — 2.31%
Abbey National Treasury Services
PLC/London (United Kingdom)
1.84%	04/25/14^2,4		550,000		554,188
Bank of America N.A. (BKNT)
0.55%	06/15/17²		750,000		723,968
Commonwealth Bank of Australia (Australia)
0.98%	03/17/14^2,3,4		600,000		600,307
HSBC Bank PLC (United Kingdom)
1.07%	01/17/14^2,3,4		550,000		551,298
JPMorgan Chase Bank N.A.
0.58%	06/13/16²		550,000		543,791


Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Banking (continued)
JPMorgan Chase Bank N.A. (BKNT)
5.88%	06/13/16	$	295,000	$	329,125
Lloyds TSB Bank PLC (United Kingdom)
2.62%	01/24/14^2,4		500,000		503,527
National Australia Bank Ltd., Series REGS
(Australia)
0.99%	04/11/14^2,4		550,000		552,002


					4,358,206


Communications — 0.85%
AT&T, Inc.
2.50%	08/15/15		650,000		669,822
Verizon Communications, Inc.
1.78%	09/15/16²		900,000		927,555


					1,597,377


Consumer Discretionary — 0.29%
Anheuser-Busch InBev Worldwide, Inc.,
Series FRN
0.81%	01/27/14²		550,000		551,059


Electric — 0.32%
NextEra Energy Capital Holdings, Inc.
1.34%	09/01/15		600,000		602,367


Energy — 1.18%
CNOOC Finance 2013 Ltd. (China)
1.12%	05/09/16⁴		500,000		497,429
Florida Gas Transmission Co. LLC
4.00%	07/15/15³		550,000		580,395
Petrobras Global Finance BV (Netherlands)
1.88%	05/20/16^2,4		500,000		497,997
Trans-Canada Pipelines Ltd. (Canada)
0.93%	06/30/16^2,4		650,000		653,658


					2,229,479


Finance — 2.42%
Citigroup, Inc.
1.23%	07/25/16²		800,000		807,415
5.30%	01/07/16		275,000		297,724
Ford Motor Credit Co. LLC, Series FRN
1.52%	05/09/16²		600,000		608,342
General Electric Capital Corp. (MTN)
0.39%	06/20/14²		250,000		250,298
General Electric Capital Corp.,
Series A (MTN)
0.51%	09/15/14²		300,000		300,825
General Electric Capital Corp.,
Series G (MTN)
0.92%	07/12/16²		500,000		501,668
Goldman Sachs Group, Inc.
1.26%	02/07/14²		430,000		431,259


Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Finance (continued)
Goldman Sachs Group, Inc., Series B (MTN)
0.67%	07/22/15²	$	200,000	$	199,020
International Lease Finance Corp.
6.50%	09/01/14³		350,000		362,250
Macquarie Group Ltd. (Australia)
7.30%	08/01/14^3,4		518,000		544,068
Morgan Stanley (MTN)
0.72%	10/18/16²		260,000		255,678


					4,558,547


Food — 0.27%
Kraft Foods Group, Inc.
1.62%	06/04/15		500,000		507,723


Industrials — 0.35%
Heathrow Funding Ltd. (United Kingdom)
2.50%	06/25/15^3,4		650,000		661,187


Insurance — 0.68%
Farmers Insurance Exchange
6.00%	08/01/14³		460,000		474,964
Metropolitan Life Global Funding I
0.80%	07/15/16^2,3		250,000		250,725
1.70%	06/29/15³		550,000		557,671


					1,283,360


Real Estate Investment Trust (REIT) — 3.72%
Brandywine Operating Partnership LP
7.50%	05/15/15		700,000		767,297
Camden Property Trust
5.00%	06/15/15		320,000		340,342
Colonial Realty LP
5.50%	10/01/15		600,000		648,000
Duke Realty LP
5.40%	08/15/14		670,000		695,012
HCP, Inc.
2.70%	02/01/14		600,000		603,800
6.00%	01/30/17		1,100,000		1,238,003
Kimco Realty Corp. (MTN)
5.58%	11/23/15		560,000		614,016
Nationwide Health Properties, Inc.
6.00%	05/20/15		550,000		594,736
Realty Income Corp.
5.50%	11/15/15		700,000		763,290
Weingarten Realty Investors, Series A (MTN)
4.86%	01/15/14		750,000		758,084


					7,022,580


Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Transportation — 0.15%
JetBlue Airways Pass-Through Trust,
Series 2004, Class G1
0.64%	08/15/16²	$	287,610	$	275,746


Total Corporates
(Cost $24,282,828)					24,549,637


FOREIGN GOVERNMENT OBLIGATIONS — 0.34%
Foreign Government Obligations — 0.34%
Kommuninvest I Sverige AB (Sweden)
0.25%	09/12/14^2,3,4		645,000		644,892


Total Foreign Government Obligations
(Cost $645,000)
MORTGAGE-BACKED — 59.13%**
Commercial Mortgage-Backed — 10.18%
Banc of America Merrill Lynch Commercial
Mortgage, Inc., Series 2004-6, Class A3
4.51%	12/10/42		88,829		89,157
Banc of America Merrill Lynch Commercial
Mortgage, Inc., Series 2004-6, Class A5
4.81%	12/10/42		865,000		894,018
Banc of America Merrill Lynch Commercial
Mortgage, Inc., Series 2005-4, Class A4
5.37%	07/10/45²		700,000		709,432
Banc of America Merrill Lynch Commercial
Mortgage, Inc., Series 2005-6, Class A4
5.36%	09/10/47²		535,000		572,649
Banc of America Merrill Lynch Commercial
Mortgage, Inc., Series 2007-2, Class A2
5.63%	04/10/49²		528,001		530,281
Banc of America Merrill Lynch Commercial
Mortgage, Inc., Series 2007-3, Class A3
5.86%	06/10/49²		450,000		452,025
Bear Stearns Commercial Mortgage
Securities Trust, Series 2007-PW16,
Class AAB
5.90%	06/11/40²		342,131		356,097
Bear Stearns Commercial Mortgage
Securities Trust, Series 2007-PW17,
Class A3
5.74%	06/11/50		348,898		360,458
Commercial Mortgage Trust,
Series 2005-CD1, Class A3
5.39%	07/15/44²		806,452		814,346
Commercial Mortgage Trust,
Series 2005-GG5, Class A41
5.24%	04/10/37²		313,207		316,041
Commercial Mortgage Trust,
Series 2006-C7, Class A4
5.95%	06/10/46²		800,000		874,489
Commercial Mortgage Trust,
Series 2006-C8, Class AAB
5.29%	12/10/46		329,580		334,580


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed (continued)
Credit Suisse First Boston Commercial
Mortgage Trust, Series 2004-C3, Class A4
4.84%	07/15/36	$	395,603	$	395,491
Credit Suisse First Boston Commercial
Mortgage Trust, Series 2005-C1, Class A4
5.01%	02/15/38²		900,546		933,445
Credit Suisse Mortgage Capital Certificates,
Series 2006-C1, Class A3
5.57%	02/15/39²		750,591		763,707
GE Capital Commercial Mortgage Corp.
Trust, Series 2005-C1, Class A3
4.58%	06/10/48		349,876		354,361
GE Capital Commercial Mortgage Corp.
Trust, Series 2005-C1, Class A5
4.77%	06/10/48²		510,000		531,312
JPMorgan Chase Commercial Mortgage
Securities Corp., Series 2004-CBX,
Class A5
4.65%	01/12/37		460,561		462,140
JPMorgan Chase Commercial Mortgage
Securities Corp., Series 2004-CBX,
Class A6
4.90%	01/12/37		750,000		775,278
JPMorgan Chase Commercial Mortgage
Securities Corp., Series 2005-LDP2,
Class ASB
4.66%	07/15/42		295,069		301,137
JPMorgan Chase Commercial Mortgage
Securities Corp., Series 2005-LDP5,
Class A3
5.40%	12/15/44²		580,000		592,016
JPMorgan Chase Commercial Mortgage
Securities Corp., Series 2005-LDP5,
Class A4
5.37%	12/15/44²		425,000		456,548
JPMorgan Chase Commercial Mortgage
Securities Corp., Series 2006-CB14,
Class ASB
5.51%	12/12/44²		302,196		316,739
JPMorgan Chase Commercial Mortgage
Securities Corp., Series 2006-CB15,
Class ASB
5.79%	06/12/43²		295,440		308,757
JPMorgan Chase Commercial Mortgage
Securities Corp., Series 2006-LDP9,
Class A3S
5.24%	05/15/47³		270,000		270,323
JPMorgan Chase Commercial Mortgage
Securities Corp., Series 2007-LD11,
Class ASB
6.00%	06/15/49²		412,274		443,327
LB-UBS Commercial Mortgage Trust,
Series 2006-C1, Class A4
5.16%	02/15/31		635,000		682,367


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed (continued)
Merrill Lynch Mortgage Investors, Inc.,
Series 2004-KEY2, Class A4
4.86%	08/12/39²	$	780,843	$	800,418
Morgan Stanley Capital I Trust,
Series 2001-C3, Class A2
3.22%	08/15/49		650,000		680,771
Morgan Stanley Capital I Trust,
Series 2005-HQ6, Class A2A
4.88%	08/13/42		237,772		241,311
Morgan Stanley Capital I Trust,
Series 2005-T19, Class A4A
4.89%	06/12/47		545,000		576,229
Morgan Stanley Capital I Trust,
Series 2006-T23, Class A4
5.99%	08/12/41²		520,000		576,052
Morgan Stanley Capital I Trust,
Series 2007-HQ12, Class A2
5.76%	04/12/49²		1,164,603		1,183,562
Residential Accredit Loans, Inc.,
Series 2010-MB1, Class A1
2.37%	04/15/24³		285,900		289,046
Wachovia Bank Commercial Mortgage Trust,
Series 2004-C15, Class A4
4.80%	10/15/41		415,000		427,966
Wachovia Bank Commercial Mortgage Trust,
Series 2007-C31, Class A2
5.42%	04/15/47		279,853		280,421
WF-RBS Commercial Mortgage Trust,
Series 2011-C2, Class A1
2.50%	02/15/44³		246,117		249,743


					19,196,040


Non-Agency Mortgage-Backed — 11.83%
Aames Mortgage Trust, Series 2002-1,
Class A3 (STEP)
6.48%	06/25/32		34,578		33,360
Adjustable Rate Mortgage Trust,
Series 2005-1, Class 1A1
3.84%	05/25/35²		828,244		701,356
Adjustable Rate Mortgage Trust,
Series 2005-11, Class 2A12
2.71%	02/25/36²		613,456		585,471
Adjustable Rate Mortgage Trust,
Series 2005-11, Class 2A41
2.71%	02/25/36²		731,466		680,439
Asset-Backed Securities Corp. Home Equity
Loan Trust, Series 2005-HE4, Class M2
0.63%	05/25/35²		553,328		552,637
Banc of America Funding Corp.,
Series 2003-2, Class 1A1
6.50%	06/25/32		10,222		10,844


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Banc of America Funding Corp.,
Series 2006-G, Class 2A3
0.35%	07/20/36²	$	407,591	$	405,244
Banc of America Mortgage Securities, Inc.,
Series 2003-A, Class 2A2
3.18%	02/25/33²		3,637		3,559
BCAP LLC Trust, Series 2007-AA1,
Class 1A2
0.34%	02/25/47²		544,292		467,078
Centex Home Equity, Series 2005-D,
Class M1
0.61%	10/25/35²		575,000		553,367
Citigroup Mortgage Loan Trust, Inc.,
Series 2004-HYB1, Class A41
3.08%	02/25/34²		152,701		149,017
Citigroup Mortgage Loan Trust, Inc.,
Series 2005-WF2, Class MV1
0.82%	08/25/35²		688,199		674,352
Citigroup Mortgage Loan Trust, Inc.,
Series 2007-WFH2, Class A3
0.36%	03/25/37²		2,500,000		2,357,456
Citigroup Mortgage Loan Trust, Inc.,
Series 2007-WFH4, Class A2C
1.48%	07/25/37²		1,000,000		727,069
Conseco Financial Corp., Series 1994-1,
Class A5
7.65%	04/15/19		1,211		1,273
Conseco Financial Corp., Series 1995-8,
Class M1
7.30%	12/15/26		57,886		58,210
Countrywide Alternative Loan Trust,
Series 2004-J6, Class 2A1
6.50%	11/25/31		147,095		155,346
Credit Suisse First Boston Mortgage
Securities Corp., Series 2001-MH29,
Class A (STEP)
5.60%	09/25/31		66		66
Credit Suisse First Boston Mortgage
Securities Corp., Series 2002-AR31,
Class 4A2
3.03%	11/25/32²		200,000		177,444
Credit-Based Asset Servicing and
Securitization LLC, Series 2007-CB4,
Class A2A (STEP)
4.94%	04/25/37		91,404		92,769
DBRR Trust, Series 2012-EZ1, Class A
0.95%	09/25/45³		810,513		810,143
DBRR Trust, Series 2013-EZ2, Class A
0.85%	02/25/43^2,3		526,095		526,918
Downey Savings & Loan Association
Mortgage Loan Trust, Series 2004-AR3,
Class 2A2A
0.55%	07/19/44²		399,796		363,640


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Equifirst Mortgage Loan Trust, Series 2005-1,
Class M1
0.60%	04/25/35²	$	570,900	$	570,317
Fremont Home Loan Trust, Series 2005-C,
Class M1
0.66%	07/25/35²		380,806		381,562
GE Mortgage Services LLC,
Series 1998-HE1, Class A7
6.46%	06/25/28		101		101
GMAC Mortgage Corp. Loan Trust,
Series 2003-GH1, Class A5 (STEP)
5.60%	07/25/34		27,808		28,370
Green Tree Home Improvement Loan Trust,
Series 1995-F, Class B2
7.10%	01/15/21		7,332		7,330
Greenwich Capital Commercial Funding
Corp., Series 2005-GG3, Class A3
4.57%	08/10/42		231,013		232,792
GSAA Trust, Series 2006-2, Class 2A3
0.45%	12/25/35²		500,000		490,501
Home Equity Loan Trust, Series 2007-3,
Class APT
1.38%	11/20/36²		506,373		505,283
Indymac Index Mortgage Loan Trust,
Series 2004-AR12, Class A1
0.96%	12/25/34²		742,114		526,874
Indymac Index Mortgage Loan Trust,
Series 2004-AR6, Class 6A1
2.76%	10/25/34²		681,128		674,588
Indymac Manufactured Housing Contract,
Series 1998-2, Class A4
6.64%	08/25/29²		82,542		82,322
Irwin Home Equity Corp., Series 2003-A,
Class M2
2.83%	10/25/27²		64,914		63,383
JPMorgan Mortgage Trust, Series 2005-A2,
Class 9A1
2.78%	04/25/35²		545,620		532,583
MASTR Adjustable Rate Mortgages Trust,
Series 2004-1, Class 2A1
2.75%	01/25/34²		14,706		14,165
MASTR Adjustable Rate Mortgages Trust,
Series 2004-12, Class 5A1
3.12%	10/25/34²		790,206		713,529
MASTR Adjustable Rate Mortgages Trust,
Series 2004-5, Class 3A1
2.66%	06/25/34²		21,488		19,776
MASTR Adjustable Rate Mortgages Trust,
Series 2007-2, Class A2
0.29%	03/25/47²		855,703		821,268
MASTR Seasoned Securities Trust,
Series 2004-1, Class 4A1
2.71%	10/25/32²		105,059		106,431


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Merrill Lynch Mortgage Investors, Inc., Series
2007-C1,Class A2FL
0.49%	06/12/50³	$	326,296	$	323,127
Merrill Lynch Mortgage Investors, Inc.,
Series 2003-A1, Class 2A
2.32%	12/25/32²		305,682		312,870
Mid-State Trust, Series 6, Class A4
7.79%	07/01/35		33,116		36,070
ML-CFC Commercial Mortgage Trust,
Series 2006-3, Class ASB
5.38%	07/12/46²		128,403		128,515
Oakwood Mortgage Investors, Inc.,
Series 1998-B, Class A3
6.20%	01/15/15		765		770
Oakwood Mortgage Investors, Inc.,
Series 1998-B, Class A4
6.35%	03/15/17		38,276		38,548
Park Place Securities, Inc.,
Series 2005-WHQ2, Class A1B
0.45%	05/25/35²		796,099		787,197
Residential Asset Mortgage Products, Inc.,
Series 2003-RZ3, Class A6 (STEP)
3.90%	03/25/33		404,089		405,965
Residential Asset Mortgage Products, Inc.,
Series 2003-SL1, Class A11
7.12%	03/25/16		9,781		10,141
Residential Asset Mortgage Products, Inc.,
Series 2004-SL1, Class A2
8.50%	11/25/31		67,467		68,011
Residential Asset Mortgage Products, Inc.,
Series 2004-SL1, Class A8
6.50%	11/25/31		132,667		137,300
Residential Asset Securities Corp.,
Series 2004-IP2, Class 2A1
2.62%	12/25/34²		360,637		362,088
Residential Asset Securities Corp.,
Series 2005-KS12, Class A3
0.50%	01/25/36²		698,000		650,561
Residential Funding Mortgage Securities II,
Inc., Series 1999-HI6, Class AI7 (STEP)
8.60%	09/25/29		41,494		39,693
Residential Funding Mortgage Securities II,
Inc., Series 2000-HI1, Class AI7 (STEP)
8.29%	02/25/25		3,573		3,535
Soundview Home Equity Loan Trust,
Series 2006-WF2, Class A2C
0.32%	12/25/36²		623,387		604,101
Structured Asset Investment Loan Trust,
Series 2005-5, Class M1
0.81%	06/25/35²		798,000		792,988
Structured Asset Securities Corp.,
Series 2001-15A, Class 4A1
2.31%	10/25/31²		37,659		37,710


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Terwin Mortgage Trust, Series 2004-13AL,
Class 2PX (IO)
0.34%	08/25/34^3,6	$	5,454,455	$	80,514
UCFC Home Equity Loan, Series 1998-D,
Class BF1
8.96%	04/15/30²		1,243		587
WaMu Mortgage Pass-Through Certificates,
Series 2002-AR6, Class A
1.56%	06/25/42²		86,994		79,388
WaMu Mortgage Pass-Through Certificates,
Series 2003-AR6, Class A1
2.44%	06/25/33²		287,539		292,399
Washington Mutual Alternative Mortgage
Pass-Through Certificates, Series 2005-4,
Class CB13
0.68%	06/25/35²		461,691		343,627
Washington Mutual MSC Mortgage
Pass-Through Certificates, Series 2003-MS9,
Class 1A
7.00%	04/25/33		3,570		3,695
Wells Fargo Home Equity Trust,
Series 2005-3, Class AII3
0.52%	11/25/35²		17,324		17,321
Wells Fargo Home Equity Trust,
Series 2005-4, Class AI3
0.56%	12/25/35²		907,676		895,428


					22,310,382

U.S. Agency Mortgage-Backed — 37.12%
Fannie Mae Pool 111643
2.07%	09/01/20²		15,332		15,591
Fannie Mae Pool 190656
6.50%	02/01/14		4,352		4,818
Fannie Mae Pool 254548
5.50%	12/01/32		493,108		539,477
Fannie Mae Pool 523829
8.00%	11/01/19		86,098		97,956
Fannie Mae Pool 555098
2.81%	11/01/32²		68,539		73,154
Fannie Mae Pool 555424
5.50%	05/01/33		314,480		344,100
Fannie Mae Pool 567002
8.00%	05/01/23		61,935		71,397
Fannie Mae Pool 646884
1.92%	05/01/32²		6,255		6,343
Fannie Mae Pool 647903
1.77%	04/01/27²		41,230		43,341
Fannie Mae Pool 648860
6.50%	05/01/17		193,379		205,576
Fannie Mae Pool 655127
7.00%	07/01/32		27,443		31,215


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool 655133
7.00%	08/01/32	$	32,970	$	37,631
Fannie Mae Pool 655151
7.00%	08/01/32		24,290		27,486
Fannie Mae Pool 745506
5.66%	02/01/16		464,089		504,721
Fannie Mae Pool 754001
2.94%	12/01/33²		377,677		382,605
Fannie Mae Pool 762525
6.50%	11/01/33		60,852		68,259
Fannie Mae Pool 770900
2.31%	04/01/34²		359,544		381,171
Fannie Mae Pool 893489
2.45%	09/01/36²		89,365		94,063
Fannie Mae Pool AD0538
6.00%	05/01/24		297,086		328,441
Fannie Mae Pool AD0546
2.55%	11/01/37²		130,066		138,016
Fannie Mae Pool AE0443
6.50%	10/01/39		498,308		554,385
Fannie Mae Pool AL0851
6.00%	10/01/40		435,073		477,687
Fannie Mae REMICS, Series 2003-29,
Class F
0.68%	12/25/32²		1,214,557		1,218,240
Fannie Mae REMICS, Series 2003-64,
Class KS
9.41%	07/25/18²		218,762		244,645
Fannie Mae REMICS, Series 2003-90,
Class SL
16.22%	03/25/31²		25,297		25,717
Fannie Mae REMICS, Series 2004-38,
Class FT
0.61%	10/25/33²		1,577,232		1,582,860
Fannie Mae REMICS, Series 2006-84,
Class WF
0.48%	02/25/36²		831,823		833,979
Fannie Mae REMICS, Series 2009-111,
Class DA
5.00%	12/25/39		377,201		395,397
Fannie Mae REMICS, Series 2011-8,
Class PF
0.68%	01/25/40²		814,884		819,902
Fannie Mae REMICS, Series 2013-75,
Class FC
0.43%	07/25/42²		1,604,918		1,596,219
Fannie Mae, Series 1988-12, Class A
3.82%	02/25/18²		43,304		45,283
Fannie Mae, Series 1993-80, Class S
10.65%	05/25/23²		4,060		4,534


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae, Series 2001-42, Class SB
8.50%	09/25/31²	$	3,744	$	4,369
Fannie Mae, Series 2001-60, Class OF
1.13%	10/25/31²		378,495		385,909
Fannie Mae, Series 2002-30, Class FB
1.18%	08/25/31²		510,637		522,653
Fannie Mae, Series 2003-117, Class XF
0.53%	08/25/33²		769,369		769,503
Fannie Mae, Series 2003-124, Class TS
9.80%	01/25/34²		53,532		61,671
Fannie Mae, Series 2003-134, Class FC
0.78%	12/25/32²		1,768,730		1,785,083
Fannie Mae, Series 2004-60, Class FW
0.63%	04/25/34²		561,834		566,362
Fannie Mae, Series 2004-79, Class F
0.48%	08/25/32²		529,117		528,896
Fannie Mae, Series 2004-96, Class MT
7.00%	12/25/34²		17,457		17,721
Fannie Mae, Series 2006-56, Class FD
0.43%	07/25/36²		1,370,817		1,370,112
Fannie Mae, Series 2007-68, Class SC (IO)
6.52%	07/25/37²		651,860		88,056
Fannie Mae, Series 2008-47, Class PF
0.68%	06/25/38²		572,105		576,174
Fannie Mae, Series 2009-33, Class FB
1.00%	03/25/37²		546,695		553,859
Fannie Mae, Series 2010-109, Class PF
0.58%	10/25/40²		325,551		326,695
Fannie Mae, Series 2010-112, Class PI (IO)
6.00%	10/25/40		947,849		135,920
Fannie Mae, Series 2010-119, Class FK
0.68%	04/25/40²		1,523,088		1,529,915
Fannie Mae, Series 2010-26, Class S (IO)
6.05%	11/25/36²		1,798,750		258,799
Fannie Mae, Series 2010-35, Class FL
0.63%	07/25/38²		1,741,494		1,749,222
Fannie Mae, Series 2011-71, Class FB
0.68%	05/25/37²		655,160		660,318
Freddie Mac Gold Pool C90237
6.50%	11/01/18		53,711		59,466
Freddie Mac Gold Pool C90474
7.00%	08/01/21		76,355		85,117
Freddie Mac Gold Pool D93410
6.50%	04/01/19		44,087		48,882
Freddie Mac Gold Pool G13107
5.50%	07/01/20		425,166		450,251
Freddie Mac Gold Pool P20295
7.00%	10/01/29		54,858		56,613


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K701,
Class A2
3.88%	11/25/17	$	1,045,000	$	1,134,641
Freddie Mac Non Gold Pool 775554
2.64%	10/01/18²		3,517		3,492
Freddie Mac Non Gold Pool 865369
3.17%	06/01/22²		1,627		1,619
Freddie Mac REMICS, Series 2733,
Class FB
0.78%	10/15/33²		1,060,000		1,072,093
Freddie Mac REMICS, Series 2806,
Class FV
0.62%	11/15/33²		1,447,379		1,448,393
Freddie Mac REMICS, Series 2817,
Class FC
0.63%	07/15/31²		1,540,569		1,541,862
Freddie Mac REMICS, Series 3001,
Class HS
16.29%	02/15/35²		114,688		135,988
Freddie Mac REMICS, Series 3085,
Class FW
0.88%	08/15/35²		574,398		578,552
Freddie Mac REMICS, Series 3174,
Class FM
0.42%	05/15/36²		2,593,592		2,593,794
Freddie Mac REMICS, Series 3423,
Class FA
0.68%	06/15/36²		2,121,757		2,127,650
Freddie Mac REMICS, Series 3652,
Class PF
0.93%	07/15/32²		717,274		724,820
Freddie Mac REMICS, Series 3828,
Class TF
0.58%	04/15/29²		915,963		919,828
Freddie Mac REMICS, Series 3831,
Class PV
5.00%	05/15/25		1,074,677		1,156,365
Freddie Mac REMICS, Series 3877,
Class FQ
0.58%	08/15/38²		1,050,685		1,051,241
Freddie Mac REMICS, Series 4170,
Class FW
1.13%	01/15/33²		919,657		906,366
Freddie Mac Strips, Series 263, Class F5
0.68%	06/15/42²		992,496		995,673
Freddie Mac, Series 1526, Class L
6.50%	06/15/23		11,292		12,551
Freddie Mac, Series 2368, Class AF
1.13%	10/15/31²		250,915		256,031
Freddie Mac, Series 2642, Class BW (IO)
5.00%	06/15/23		11,381		1,159


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac, Series 2657, Class LX (IO)
6.00%	05/15/18	$	31,622	$	929
Freddie Mac, Series 2945, Class LD
4.00%	02/15/35		159,345		167,336
Freddie Mac, Series 2971, Class AB
5.00%	05/15/20		21,211		22,235
Freddie Mac, Series 3196, Class FA
0.53%	04/15/32²		1,352,629		1,356,655
Freddie Mac, Series 3300, Class FA
0.48%	08/15/35²		414,333		414,853
Freddie Mac, Series 3325, Class NF
0.48%	08/15/35²		416,484		417,010
Freddie Mac, Series 3345, Class FP
0.38%	11/15/36²		74,049		74,090
Freddie Mac, Series 3345, Class PF
0.36%	05/15/36²		84,048		84,080
Freddie Mac, Series 3346, Class FA
0.41%	02/15/19²		1,347,109		1,347,472
Freddie Mac, Series 3626, Class MA
5.00%	02/15/30		375,531		384,654
Freddie Mac, Series 3895, Class BF
0.68%	07/15/41²		725,335		729,185
Freddie Mac, Series 3946, Class FG
0.53%	10/15/39²		1,239,988		1,243,396
Freddie Mac, Series 4109, Class KF
0.58%	05/15/32²		2,130,000		2,125,257
Ginnie Mae II Pool 80546
1.62%	10/20/31²		27,349		28,449
Ginnie Mae II Pool 80610
1.62%	06/20/32²		326,909		340,924
Ginnie Mae II Pool 80614
1.75%	07/20/32²		44,731		46,546
Ginnie Mae II Pool 80687
1.62%	04/20/33²		203,718		212,454
Ginnie Mae II Pool 8339
1.62%	12/20/23²		48,605		50,553
Ginnie Mae II Pool 8684
1.75%	08/20/25²		68,718		71,498
Ginnie Mae II Pool MA0331
2.50%	08/20/42²		873,813		896,515
Ginnie Mae, Series 2002-72, Class FB
0.58%	10/20/32²		531,500		535,392
Ginnie Mae, Series 2002-72, Class FC
0.58%	10/20/32²		506,915		510,628
Ginnie Mae, Series 2003-39, Class GF
0.53%	05/20/32²		227,144		227,261
Ginnie Mae, Series 2004-2, Class FW
1.58%	01/16/34²		332,568		355,034


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Ginnie Mae, Series 2009-66, Class UF
1.18%	08/16/39²	$	650,760	$	663,881
Ginnie Mae, Series 2009-92, Class FC
0.98%	10/16/39²		667,601		676,207
Ginnie Mae, Series 2010-108, Class PF
0.58%	02/20/38²		1,812,405		1,819,530
Ginnie Mae, Series 2010-118, Class B
2.81%	07/16/39		648,014		655,765
Ginnie Mae, Series 2011-70, Class IL (IO)
0.60%	06/16/37²		9,227,085		139,259
Ginnie Mae, Series 2011-80, Class BF
0.51%	06/20/36²		2,014,990		2,020,195
Ginnie Mae, Series 2012-10, Class FP
0.48%	01/20/41²		1,514,107		1,514,521
Ginnie Mae, Series 2012-13, Class KF
0.48%	07/20/38²		1,964,281		1,967,875
Mortgage-Linked Amortizing Notes,
Series 2012-1, Class A10
2.06%	01/15/22		961,729		972,010
NCUA Guaranteed Notes, Series 2010-R1,
Class 1A
0.63%	10/07/20²		1,568,402		1,578,481
NCUA Guaranteed Notes, Series 2010-R2,
Class 1A
0.55%	11/06/17²		1,241,521		1,246,959
NCUA Guaranteed Notes, Series 2010-R3,
Class 1A
0.74%	12/08/20²		1,004,580		1,017,771
NCUA Guaranteed Notes, Series 2011-C1,
Class 2A
0.71%	03/09/21²		1,092,635		1,100,035
NCUA Guaranteed Notes, Series 2011-R3,
Class 1A
0.58%	03/11/20²		756,905		761,163
NCUA Guaranteed Notes, Series 2011-R4,
Class 1A
0.56%	03/06/20²		566,943		568,570
NCUA Guaranteed Notes, Series 2011-R5,
Class 1A
0.56%	04/06/20²		955,241		957,331
NCUA Guaranteed Notes, Series 2011-R6,
Class 1A
0.56%	05/07/20²		269,180		269,684


					70,019,536


Total Mortgage-Backed
(Cost $111,433,328)					111,525,958


Issues	Maturity Date	Principal Amount		Value
MUNICIPAL BONDS — 0.66%*
California — 0.28%
State of California, Taxable, Various Purpose,
Series 3
5.45%	04/01/15	$	500,000	$	535,555

Illinois — 0.38%
State of Illinois, Taxable Bonds
4.03%	03/01/14		300,000		303,600
4.07%	01/01/14		400,000		403,236


Total Municipal Bonds
(Cost $1,234,192)					1,242,391


U.S. AGENCY SECURITIES — 3.49%
U.S. Agency Securities — 3.49%
Fannie Mae
0.36%	06/23/14²		1,200,000		1,202,515
0.63%	05/23/16		1,120,000		1,118,440
0.65%	03/28/16		905,000		904,305
Federal Farm Credit Bank
0.14%	09/19/14²		780,000		780,547
Federal Home Loan Bank
0.55%	06/03/16		725,000		722,127
Federal Home Loan Bank (STEP)
0.75%	05/26/28		680,000		652,675
Freddie Mac
0.50%	09/14/15		1,210,000		1,209,658


Total U.S. Agency Securities
(Cost $6,618,651)					6,590,267


U.S. TREASURY SECURITIES — 6.16%
U.S. Treasury Notes — 6.16%
U.S. Treasury Notes - Treasury Inflation
Indexed Notes
0.50%	04/15/15⁷		3,475,000		3,829,215
1.25%	04/15/14⁷		2,115,000		2,354,970
2.00%	07/15/14⁷		4,275,000		5,434,332


Total U.S. Treasury Securities
(Cost $11,803,428)					11,618,517


Total Bonds – 84.52%
(Cost $159,424,462)					159,414,289


Issues	Maturity Date	Principal Amount/ Shares		Value
SHORT-TERM INVESTMENTS — 14.76%
Commercial Paper — 1.30%
Macquarie Bank Ltd. (Australia)
0.32%⁸	10/24/13^3,4	$	955,000	$	954,869
RBS Holdings USA, Inc.
0.36%⁸	01/22/14		1,500,000		1,498,851


					2,453,720


Money Market Funds — 1.99%
Dreyfus Cash Advantage Fund
0.06%⁹			1,881,000		1,881,000
DWS Money Market Series
Institutional Funds
0.05%⁹			1,881,000		1,881,000


					3,762,000


U.S. Agency Discount Notes — 11.47%
Fannie Mae
0.08%⁸	01/03/14		930,000		929,976
0.09%⁸	01/21/14		16,425,000		16,424,491
Freddie Mac
0.06%⁸	12/05/13		1,200,000		1,199,978
0.09%⁸	11/08/13		3,070,000		3,069,967


					21,624,412


Total Short-Term Investments
(Cost $27,835,151)					27,840,132


Total Investments – 99.28%

(Cost $187,259,613)¹					187,254,421


Cash and Other Assets, Less
Liabilities – 0.72%					1,351,171


Net Assets – 100.00%				$	188,605,592


Notes:

¹	Cost for federal income tax purposes is $187,266,772 and net unrealized appreciation/(depreciation) consists of:


Gross unrealized appreciation	$	1,559,488
Gross unrealized depreciation		(1,571,839	)

Net unrealized depreciation	$	(12,351	)

²	Floating rate security. The rate disclosed was in effect at September 30, 2013.

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, 2013, was $11,517,013, representing 6.11% 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 B4, 2.93%, 05/01/18	$	640,641	$	640,125	0.34%

⁶	Illiquid security as determined under procedures approved by the Fund’s Board of Trustees. The aggregate value of illiquid securities is $80,514, which is 0.04% of total net assets.

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, 2013.

*	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 more meaningful presentation for investors.

(BKNT): Banker’s Note, Inc.

(IO): Interest only

(MTN): Medium-term note

(STEP): Step coupon bond


Issues	Maturity Date	Principal Amount		Value
BONDS – 80.72%
ASSET-BACKED SECURITIES — 8.30%**
Aircastle Aircraft Lease Backed Trust,
Series 2007-1A, Class G1
0.49%	06/14/37^2,3	$	4,465,307	$	4,034,851
Alm Loan Funding, Series 2012-7A, Class A1
(Cayman Islands)
1.69%	10/19/24^2,3,4		4,200,000		4,217,136
Apidos CDO II, Series 2005-2A, Class C
(Cayman Islands)
2.06%	12/21/18^2,3,4		1,750,000		1,683,012
ARES CLO Ltd., Series 2007-12A, Class A
(Cayman Islands)
0.89%	11/25/20^3,4		6,796,971		6,758,669
Axis Equipment Finance Receivables LLC,
Series 2012-1I, Class D
5.50%	11/20/15^†		1,000,000		965,303
Axis Equipment Finance Receivables LLC,
Series 2012-1I, Class E1
6.25%	04/20/16^†		1,000,000		900,303
Babcock & Brown Air Funding I Ltd.,
Series 2007-1A, Class G1 (Bermuda)
0.48%	11/14/33^2,3,4		3,214,015		2,731,913
Bayview Commercial Asset Trust,
Series 2005-1A, Class A1
0.48%	04/25/35^2,3		685,340		584,832
Bayview Commercial Asset Trust,
Series 2005-2A, Class A1
0.49%	08/25/35^2,3		2,989,859		2,461,392
Bayview Commercial Asset Trust,
Series 2007-1, Class A1
0.40%	03/25/37^2,3		574,420		459,142
Bayview Commercial Asset Trust,
Series 2007-3, Class A1
0.42%	07/25/37^2,3		9,962,511		8,111,915
Brazos Higher Education Authority, Inc.,
Series 2003 I, Class A3
0.38%	09/26/22²		4,550,000		4,501,037
Brazos Higher Education Authority, Inc.,
Series 2010-1, Class A2
1.46%	02/25/35²		3,035,000		3,024,670
Brazos Higher Education Authority, Inc.,
Series 2011-2, Class A3
1.27%	10/27/36²		5,040,000		4,967,260
Castle Trust, Series 2003-1AW, Class A1
0.93%	05/15/27^2,3		914,772		832,443
CIFC Funding Ltd., Series 2012-2A,
Class A1L (Cayman Islands)
1.66%	12/05/24^3,4		400,000		400,771
CIFC Funding Ltd., Series 2012-2A,
Class A3L (Cayman Islands)
3.26%	12/05/24^2,3,4		1,000,000		985,777
Cronos Containers Program Ltd.,
Series 2012-2A, Class A (Bermuda)
3.81%	09/18/27^3,4		3,420,000		3,477,309


Issues	Maturity Date	Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Dryden XXII Senior Loan Fund, Series
2013-30A, Class A (Cayman Islands)
1.51%	11/15/25^3,4,†	$	7,500,000	$	7,459,417
GCO Education Loan Funding Trust,
Series 2006-2AR, Class A1RN
1.48%	08/27/46^2,3,†		10,270,000		9,705,288
GCO Education Loan Funding Trust,
Series 2007-1A, Class A5L
0.33%	05/25/23^2,3		2,918,004		2,876,867
GE Business Loan Trust, Series 2004-2A,
Class A
0.40%	12/15/32^2,3		5,059,886		4,771,650
GE Business Loan Trust, Series 2005-1A,
Class A3
0.43%	06/15/33^2,3		2,385,599		2,233,539
GE Seaco Finance SRL, Series 2004-1A,
Class A (Barbados)
0.48%	04/17/19^2,3,4		387,917		385,685
GE Seaco Finance SRL, Series 2005-1A,
Class A (Barbados)
0.43%	11/17/20^2,3,4		2,931,500		2,903,595
Goal Capital Funding Trust, Series 2006-1,
Class A3
0.38%	11/25/26²		4,901,809		4,837,044
Goal Capital Funding Trust, Series 2006-1,
Class B
0.71%	08/25/42²		4,704,734		4,200,502
Highland Loan Funding Ltd., Series 1A,
Class A2A (Cayman Islands)
0.94%	08/01/14^2,3,4		698,754		694,315
ING Investment Management Ltd.,
Series 2012-4A, Class A1 (Cayman Islands)
1.66%	10/15/23^2,3,4		4,550,000		4,558,245
Latitude CLO II Corp., Series 2006-2A,
Class A2 (Cayman Islands)
0.58%	12/15/18^2,3,4		5,000,000		4,886,870
LCM VI Ltd., Series 6A, Class A
(Cayman Islands)
0.49%	05/28/19^3,4		5,969,000		5,805,348
MSIM Peconic Bay, Ltd., Series 2007-1A,
Class C (Cayman Islands)
2.27%	07/20/19^3,4		3,170,000		3,167,608
National Collegiate Student Loan Trust,
Series 2006-3, Class A3
0.33%	10/25/27²		2,740,248		2,606,970
National Collegiate Student Loan Trust,
Series 2007-1, Class A3
0.42%	07/25/30²		2,200,000		1,779,908
National Collegiate Student Loan Trust,
Series 2007-4, Class A2A3
3.68%	12/26/25²		1,250,000		1,249,225
Nelnet Student Loan Trust, Series 2007-1,
Class A1
0.27%	11/27/18²		747,747		745,895


Issues	Maturity Date	Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Nelnet Student Loan Trust, Series 2012-5A,
Class A
0.78%	10/27/36^2,3	$	4,391,132	$	4,371,317
Nelnet Student Loan Trust, Series 2013-1A,
Class A
0.78%	06/25/41^2,3		6,408,452		6,359,559
Neptune Finance CCS Ltd., Series 2008-1A,
Class A (Cayman Islands)
0.88%	04/20/20^2,3,4		1,675,785		1,673,626
North Carolina State Education Authority,
Series 2011-1, Class A3
1.17%	10/25/41²		5,500,000		5,284,895
Northstar Education Finance, Inc.
0.36%	04/28/30²		5,605,000		5,349,757
Oak Hill Credit Partners, Series 2012-7A,
Class A (Cayman Islands)
1.68%	11/20/23^2,3,4		4,400,000		4,411,669
Octagon Investment Partners XI Ltd.,
Series 2007-1X, Class A1B
0.52%	08/25/21⁵		3,750,000		3,646,777
OHA Loan Funding Ltd., Series 2012-1A,
Class A (Cayman Islands)
1.66%	01/23/25^3,4		7,000,000		7,032,375
SLC Student Loan Trust, Series 2004-1,
Class B
0.55%	08/15/31²		2,290,100		2,028,657
SLC Student Loan Trust, Series 2007-1,
Class A4
0.32%	05/15/29²		8,000,000		7,672,240
SLM Student Loan Trust, Series 2003-12,
Class A5
0.53%	09/15/22^2,3		6,824,671		6,794,548
SLM Student Loan Trust, Series 2004-2,
Class B
0.74%	07/25/39²		2,620,034		2,360,122
SLM Student Loan Trust, Series 2004-5A,
Class A5
0.87%	10/25/23^2,3		7,000,000		7,026,867
SLM Student Loan Trust, Series 2004-7,
Class A5
0.44%	01/27/20²		686,596		683,163
SLM Student Loan Trust, Series 2004-9,
Class A5
0.42%	01/27/20²		171,725		170,711
SLM Student Loan Trust, Series 2004-A,
Class A3
0.65%	06/15/33²		1,900,000		1,698,807
SLM Student Loan Trust, Series 2004-B,
Class A3
0.58%	03/15/24²		5,100,000		4,434,935
SLM Student Loan Trust, Series 2004-B,
Class A4
0.68%	09/15/33		2,050,000		1,630,098


Issues	Maturity Date	Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
SLM Student Loan Trust, Series 2005-2,
Class A5
0.36%	04/27/20²	$	3,511,753	$	3,498,814
SLM Student Loan Trust, Series 2005-4,
Class B
0.45%	07/25/40²		3,199,600		2,771,887
SLM Student Loan Trust, Series 2006-2,
Class A6
0.44%	01/25/41²		6,000,000		5,226,603
SLM Student Loan Trust, Series 2006-4,
Class A4
0.35%	04/25/23²		1,843,636		1,842,960
SLM Student Loan Trust, Series 2006-8,
Class A6
0.43%	01/25/41²		6,000,000		5,226,696
SLM Student Loan Trust, Series 2006-B,
Class A5
0.52%	12/15/39²		1,400,000		1,161,951
SLM Student Loan Trust, Series 2007-2,
Class A2
0.27%	07/25/17²		2,225,112		2,219,209
SLM Student Loan Trust, Series 2007-7,
Class A3
0.51%	04/25/17²		7,000,000		6,965,940
SLM Student Loan Trust, Series 2008-5,
Class A3
1.57%	01/25/18²		6,100,000		6,161,869
SLM Student Loan Trust, Series 2008-5,
Class A4
1.97%	07/25/23²		7,000,000		7,325,657
SLM Student Loan Trust, Series 2012-5,
Class A2
0.48%	06/25/19²		575,000		573,011
SLM Student Loan Trust, Series 2012-6,
Class A2
0.46%	09/25/19²		485,000		482,803
SLM Student Loan Trust, Series 2012-7,
Class A3
0.83%	05/26/26²		4,460,000		4,421,039
SLM Student Loan Trust, Series 2013-4,
Class A
0.73%	06/25/27²		5,840,922		5,847,490
Sound Point CLO Ltd., Series 2012-1A,
Class C (Cayman Islands)
3.57%	10/20/23^2,3,4		1,750,000		1,742,275
South Carolina Student Loan Corp., Series A2
0.38%	12/01/20²		4,905,000		4,850,704
Student Loan Consolidation Center Student
Loan Trust I, Series 2002-2, Class B2
1.04%	07/01/42^2,3		4,500,000		3,433,860
Symphony CLO Ltd., Series 2012-9A,
Class C (Cayman Islands)
3.52%	04/16/22^2,3,4		1,800,000		1,806,665


Issues	Maturity Date	Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
TAL Advantage LLC, Series 2006-1,
Class NOTE
0.37%	04/20/21^2,3	$	1,517,708	$	1,496,588
TAL Advantage LLC, Series 2010-2A,
Class A
4.30%	10/20/25³		2,518,125		2,527,277
TAL Advantage LLC, Series 2011-1A,
Class A
4.60%	01/20/26³		1,100,000		1,114,916
TAL Advantage LLC, Series 2012-1A,
Class A
3.86%	05/20/27³		5,867,333		5,931,534
Textainer Marine Containers Ltd.,
Series 2005-1A, Class A (Bermuda)
0.43%	05/15/20^2,3,4		808,333		799,784
Triton Container Finance LLC,
Series 2006-1A, Class NOTE
0.35%	11/26/21^2,3		2,675,833		2,626,498
Triton Container Finance LLC,
Series 2007-1A, Class NOTE
0.32%	02/26/19^2,3		1,093,489		1,083,886
U-Haul S Fleet LLC, Series 2007-BT1,
Class BT
5.56%	02/25/20³		1,464,701		1,478,239


Total Asset-Backed Securities
(Cost $268,289,005)					271,213,984


BANK LOANS — 0.95%*
Electric — 0.12%
Texas Competitive Electric Holdings Co. LLC,
Term Loan EXT, 1st Lien
4.71%	10/10/17^2,5		5,500,000		3,713,270
Texas Competitive Electric Holdings Co. LLC,
Term Loan NONEXT, 1st Lien
3.71%	10/10/14^2,5		465,072		314,919


					4,028,189


Energy — 0.21%
Alinta Energy Finance Pty Ltd.,
Term Loan B, 1st Lien
6.38%	08/07/19^2,5		6,570,175		6,326,553
Alinta Energy Finance Pty Ltd.,
Term Loan DD, 1st Lien
0.50%	08/07/19^2,5		429,825		413,887


					6,740,440


Health Care — 0.34%
HCA, Inc., Term Loan B4
2.93%	05/01/18^2,5		6,081,382		6,076,487
Valeant Pharmaceuticals,
Term Loan
4.50%	05/30/20^2,5		4,962,500		4,999,371


					11,075,858


Issues	Maturity Date	Principal Amount		Value
BANK LOANS (continued)
Services — 0.05%
AABS Ltd., Series 2013-1, Class A (STEP)
4.72%	01/15/38^2,†	$	1,629,167	$	1,635,383


Transportation — 0.23%
US Airways, Inc., Term Loan B2, 1st Lien
3.50%	11/23/16^2,5		7,500,000		7,520,625


Total Bank Loans
(Cost $31,080,827)					31,000,495


CORPORATES — 20.01%*
Automotive — 0.91%
Daimler Finance North America LLC
1.88%	09/15/14³		7,000,000		7,063,897
General Motors Co.
3.50%	10/02/18³		7,500,000		7,537,500
Nissan Motor Acceptance Corp.
0.95%	09/26/16^2,3		15,000,000		15,033,436


					29,634,833


Banking — 3.38%
Abbey National Treasury Services
PLC/London (United Kingdom)
1.84%	04/25/14^2,4		9,405,000		9,476,619
Ally Financial, Inc.
2.46%	12/01/14²		1,424,000		1,421,693
Bank of America Corp.
6.50%	08/01/16		5,600,000		6,350,730
7.38%	05/15/14		1,365,000		1,420,450
Bank of America Corp., Series L (MTN)
5.65%	05/01/18		300,000		338,523
Bank of America N.A. (BKNT)
0.53%	06/15/16²		800,000		783,002
0.55%	06/15/17²		2,500,000		2,413,225
6.10%	06/15/17		5,000,000		5,654,368
Capital One Financial Corp.
1.00%	11/06/15		2,600,000		2,585,677
7.38%	05/23/14		5,000,000		5,213,655
Commonwealth Bank of Australia (Australia)
2.12%	03/17/14^3,4		10,000,000		10,067,081
HSBC Bank PLC (United Kingdom)
1.07%	01/17/14^2,3,4		10,000,000		10,023,600
JPMorgan Chase & Co.
3.45%	03/01/16		5,300,000		5,589,819
JPMorgan Chase Bank N.A.
0.58%	06/13/16²		4,250,000		4,202,022
JPMorgan Chase Bank N.A. (BKNT)
6.00%	10/01/17		12,700,000		14,543,837
Lloyds TSB Bank PLC (United Kingdom)
4.88%	01/21/16⁴		10,380,000		11,216,763


Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Banking (continued)
National Australia Bank Ltd., Series REGS
(Australia)
0.99%	04/11/14^2,4	$	8,775,000	$	8,806,934
Royal Bank of Scotland PLC
(United Kingdom)
2.55%	09/18/15⁴		5,000,000		5,105,542
Westpac Banking Corp. (Australia)
0.98%	03/31/14^2,3,4		5,000,000		5,015,625


					110,229,165

Communications — 0.55%
AT&T, Inc.
2.50%	08/15/15		5,991,000		6,173,696
Intelsat Jackson Holdings SA (Luxembourg)
7.25%	10/15/20⁴		4,605,000		4,950,375
Verizon Communications, Inc.
2.00%	09/14/18²		2,950,000		3,093,470
3.65%	09/14/18		3,456,000		3,648,694


					17,866,235

Electric — 1.77%
Cedar Brakes I LLC
8.50%	02/15/14³		370,589		376,785
Dayton Power & Light Co.
1.88%	09/15/16³		12,370,000		12,443,090
Energy Transfer Partners LP
3.28%	11/01/66^2,3		3,000,000		2,711,250
FirstEnergy Corp., Series A
2.75%	03/15/18		6,000,000		5,831,330
FPL Energy National Wind Portfolio LLC
6.12%	03/25/19³		50,442		42,119
Homer City Generation LP (PIK)
8.14%	10/01/19⁶		8,200,000		8,487,000
Ipalco Enterprises, Inc.
7.25%	04/01/16³		7,500,000		8,287,500
Oncor Electric Delivery Co. LLC
6.80%	09/01/18		14,109,000		16,884,386
W3A Funding Corp.
8.09%	01/02/17		2,771,163		2,769,469


					57,832,929

Energy — 1.67%
Arch Coal, Inc. (WI)
8.75%	08/01/16		1,540,000		1,547,700
CNOOC Finance 2013 Ltd. (China)
1.12%	05/09/16⁴		7,000,000		6,964,001
El Paso Pipeline Partners
4.10%	11/15/15		3,000,000		3,191,424
Florida Gas Transmission Co. LLC
4.00%	07/15/15³		6,450,000		6,806,450


Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Energy (continued)
Petrobras Global Finance BV (Netherlands)
1.88%	05/20/16^2,4	$	8,000,000	$	7,967,948
Sabine Pass LNG LP
7.50%	11/30/16		10,752,000		11,867,520
Sinopec Capital 2013 Ltd. (China)
1.25%	04/24/16^3,4		4,300,000		4,278,513
Tennessee Gas Pipeline Co. LLC
8.00%	02/01/16		8,673,000		9,974,288
Trans-Canada Pipelines Ltd. (Canada)
0.93%	06/30/16⁴		2,065,000		2,076,622


					54,674,466

Finance — 5.11%
Chase Capital II, Series B
0.76%	02/01/27²		2,398,000		1,966,360
Chase Capital VI
0.89%	08/01/28²		1,000,000		835,000
CIT Group, Inc.
4.25%	08/15/17		3,686,000		3,773,543
5.00%	05/15/17		3,500,000		3,692,500
Citigroup, Inc.
1.23%	07/25/16²		10,000,000		10,092,689
2.50%	09/26/18		10,000,000		9,950,573
5.50%	10/15/14		3,510,000		3,679,059
6.38%	08/12/14		10,500,000		11,004,207
Ford Motor Credit Co. LLC
7.00%	04/15/15		1,500,000		1,634,850
Ford Motor Credit Co. LLC, Series FRN
1.52%	05/09/16²		8,000,000		8,111,232
General Electric Capital Corp. (MTN)
0.39%	06/20/14²		3,500,000		3,504,175
0.65%	05/05/26²		6,300,000		5,814,094
General Electric Capital Corp.,
Series A (MTN)
0.51%	09/15/14²		10,169,000		10,196,953
General Electric Capital Corp.,
Series E (MTN)
0.39%	03/20/14²		5,500,000		5,498,587
General Electric Capital Corp.,
Series G (MTN)
0.92%	07/12/16²		5,485,000		5,503,295
Goldman Sachs Group, Inc.
0.77%	01/12/15²		1,900,000		1,898,299
1.26%	02/07/14²		4,000,000		4,011,712
2.38%	01/22/18		1,000,000		993,442
5.12%	01/15/15		583,000		613,429
6.15%	04/01/18		3,500,000		4,007,108
Hyundai Capital America
1.88%	08/09/16³		8,935,000		8,978,531


Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Finance (continued)
International Lease Finance Corp.
6.50%	09/01/14³	$	9,700,000	$	10,039,500
JPMorgan Chase Capital XIII, Series M
1.20%	09/30/34²		2,465,000		1,999,051
JPMorgan Chase Capital XXI, Series U
1.22%	02/02/37²		5,250,000		3,950,625
Macquarie Group Ltd. (Australia)
7.30%	08/01/14^3,4		5,000,000		5,251,620
Merrill Lynch & Co., Inc. (MTN)
8.68%	05/02/17²		30,000		33,489
8.95%	05/18/17²		30,000		33,750
9.57%	06/06/17²		5,184,000		5,955,379
Morgan Stanley
0.75%	10/15/15²		2,830,000		2,809,850
3.80%	04/29/16		3,800,000		3,997,717
4.20%	11/20/14		750,000		776,133
6.00%	05/13/14		3,890,000		4,009,046
Morgan Stanley, Series G (MTN)
0.57%	01/09/14²		1,405,000		1,404,727
Prudential Holdings LLC (AGM)
1.13%	12/18/17^2,3		10,665,000		10,579,420
Woodbourne Capital Trust I
2.69%	04/29/49^2,3,7		595,000		297,500
Woodbourne Capital Trust IV
2.68%	04/08/49^2,3,7		1,000,000		500,000
ZFS Finance USA Trust II
6.45%	12/15/65^2,3		8,966,000		9,616,035


					167,013,480

Food — 0.17%
Kraft Foods Group, Inc.
1.62%	06/04/15		5,325,000		5,407,250

Health Care — 0.70%
HCA, Inc.
7.25%	09/15/20		1,750,000		1,907,500
HCA, Inc. (WI)
8.50%	04/15/19		3,000,000		3,232,500
Providence Health & Services
Obligated Group
0.90%	10/01/15		3,000,000		3,003,113
1.05%	10/01/16		2,750,000		2,749,222
1.10%	10/01/17		11,940,000		11,949,309


					22,841,644

Industrials — 0.25%
Heathrow Funding Ltd. (United Kingdom)
2.50%	06/25/15^3,4		8,075,000		8,213,975


Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Insurance — 0.77%
Berkshire Hathaway, Inc.
0.96%	08/15/14²	$	785,000	$	789,984
2.20%	08/15/16		1,010,000		1,047,276
Farmers Insurance Exchange
6.00%	08/01/14³		6,835,000		7,057,346
Metropolitan Life Global Funding I
0.80%	07/15/16^2,3		2,000,000		2,005,802
1.88%	06/22/18³		7,500,000		7,410,993
5.12%	06/10/14³		3,230,000		3,334,035
Nationwide Mutual Insurance Co.
5.81%	12/15/24^2,3		3,550,000		3,616,563


					25,261,999


Materials — 0.07%
Rio Tinto Finance USA PLC, Series FRN
1.09%	06/17/16²		2,380,000		2,391,277


Real Estate Investment Trust (REIT) — 3.88%
Brandywine Operating Partnership LP
7.50%	05/15/15		8,247,000		9,039,858
BRE Properties, Inc.
5.50%	03/15/17		4,225,000		4,658,392
Colonial Realty LP
5.50%	10/01/15		9,640,000		10,411,200
HCP, Inc.
6.00%	01/30/17		16,073,000		18,089,470
HCP, Inc. (MTN)
6.30%	09/15/16		7,600,000		8,599,575
HCP, Inc., Series E (MTN)
6.00%	06/15/14		4,985,000		5,146,099
Health Care REIT, Inc.
3.62%	03/15/16		3,000,000		3,151,440
4.70%	09/15/17		6,291,000		6,851,799
Healthcare Realty Trust, Inc.
6.50%	01/17/17		3,771,000		4,234,754
Kimco Realty Corp., Series C (MTN)
5.19%	10/01/13		6,000,000		6,000,009
Liberty Property LP
5.12%	03/02/15		5,305,000		5,579,974
Nationwide Health Properties, Inc.
6.00%	05/20/15		3,000,000		3,244,017
Realty Income Corp.
5.50%	11/15/15		9,815,000		10,702,410
UDR, Inc. (MTN)
5.25%	01/15/16		6,425,000		6,924,300
Ventas Realty LP/Ventas Capital Corp.
1.55%	09/26/16		15,485,000		15,517,387
2.00%	02/15/18		4,935,000		4,840,569


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	$	3,500,000	$	3,808,777


							126,800,030

Transportation — 0.78%
American Airlines Pass-Through Trust,
Series 2013-2, Class A
4.95%		01/15/23	³		11,175,000		11,244,844
Continental Airlines Pass-Through Trust,
Series 1997, Class 4A
6.90%		01/02/18			135,641		144,373
Continental Airlines Pass-Through Trust,
Series 1999-1, Class A
6.54%		08/02/20			3,727,597		4,061,916
JetBlue Airways Pass-Through Trust,
Series 2004, Class G2
0.71%		11/15/16	²		7,725,000		6,986,297
UAL Pass-Through Trust, Series 2009-1
10.40%		11/01/16			2,611,528		2,944,498


							25,381,928


Total Corporates
(Cost $638,215,518)							653,549,211


FOREIGN GOVERNMENT OBLIGATIONS — 0.55%
Foreign Government Obligations — 0.55%
Kommunalbanken AS (Norway)
0.23%		08/28/14	^2,3,4		8,580,000		8,577,053
Kommuninvest I Sverige AB (Sweden)
0.25%		09/12/14	^2,3,4		9,490,000		9,488,405


							18,065,458


Total Foreign Government Obligations
(Cost $18,070,000)							18,065,458


MORTGAGE-BACKED — 41.67%**
Commercial Mortgage-Backed — 7.50%
Banc of America Merrill Lynch Commercial
Mortgage, Inc., Series 2005-4, Class A3
4.89%		07/10/45			2,478,435		2,499,347
Banc of America Merrill Lynch Commercial
Mortgage, Inc., Series 2005-4, Class A4
5.37%		07/10/45	²		10,000,000		10,134,745
Banc of America Merrill Lynch Commercial
Mortgage, Inc., Series 2005-6, Class A4
5.36%		09/10/47	²		6,715,000		7,187,548
Bayview Commercial Asset Trust,
Series 2006-1A, Class A1
0.45%		04/25/36	^2,3		1,189,114		949,509
Bayview Commercial Asset Trust,
Series 2006-3A, Class A1
0.43%		10/25/36	^2,3		6,364,095		4,779,724


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed (continued)
Bayview Commercial Asset Trust,
Series 2008-4, Class A2
2.68%	07/25/38^2,3	$	4,725,121	$	4,730,660
Bayview Commercial Asset Trust,
Series 2008-4, Class A3
2.93%	07/25/38^2,3		6,267,000		5,646,250
Bear Stearns Commercial Mortgage
Securities Trust, Series 2004-T16,
Class A6
4.75%	02/13/46²		8,084,729		8,338,387
Bear Stearns Commercial Mortgage
Securities Trust, Series 2005-PWR7,
Class A3
5.12%	02/11/41²		4,500,000		4,701,780
Bear Stearns Commercial Mortgage
Securities Trust, Series 2005-T20,
Class A4A
5.29%	10/12/42²		7,125,000		7,619,184
Commercial Mortgage Trust,
Series 2006-C7, Class A4
5.95%	06/10/46²		14,700,000		16,068,734
Credit Suisse First Boston Commercial
Mortgage Trust, Series 2004-C3, Class A5
5.11%	07/15/36²		7,978,000		8,111,544
Credit Suisse First Boston Commercial
Mortgage Trust, Series 2007-C4, Class AAB
5.95%	09/15/39²		3,000,846		3,200,058
DBRR Trust, Series 2011-LC2, Class A4A
4.54%	04/12/21³		3,480,000		3,731,042
DBUBS Mortgage Trust, Series 2011-LC1A,
Class A1
3.74%	11/10/46³		6,455,937		6,809,620
GE Business Loan Trust, Series 2003-2A,
Class A
0.55%	11/15/31^2,3		3,502,072		3,367,437
GE Business Loan Trust, Series 2005-2A,
Class B
0.68%	11/15/33^2,3		1,725,262		1,491,120
GE Business Loan Trust, Series 2006-2A,
Class A
0.36%	11/15/34^2,3		8,456,988		7,698,468
Greenwich Capital Commercial Funding
Corp., Series 2004-GG1, Class A7
5.32%	06/10/36²		5,460,402		5,513,903
GS Mortgage Securities Corp. II,
Series 2011-GC5, Class A4
3.71%	08/10/44²		8,850,000		9,116,805
GS Mortgage Securities Trust,
Series 2004-GG2, Class A6
5.40%	08/10/38²		9,713,515		9,907,402
GS Mortgage Securities Trust,
Series 2011-GC5, Class A2
3.00%	08/10/44		15,270,000		15,919,119


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed (continued)
JPMorgan Chase Commercial Mortgage
Securities Corp., Series 2004-CBX,
Class A6
4.90%	01/12/37	$	6,285,000	$	6,496,827
JPMorgan Chase Commercial Mortgage
Securities Corp., Series 2006-CB15,
Class ASB
5.79%	06/12/43²		960,779		1,004,088
JPMorgan Chase Commercial Mortgage
Securities Corp., Series 2006-LDP8,
Class A4
5.40%	05/15/45		5,420,000		5,939,556
JPMorgan Chase Commercial Mortgage
Securities Corp., Series 2006-LDP9,
Class A3S
5.24%	05/15/47³		4,160,000		4,164,984
JPMorgan Chase Commercial Mortgage
Securities Corp., Series 2007-C1,
Class ASB
5.86%	02/15/51		6,138,154		6,610,056
JPMorgan Chase Commercial Mortgage
Securities Corp., Series 2007-CB20,
Class ASB
5.69%	02/12/51		2,347,217		2,521,007
JPMorgan Chase Commercial Mortgage
Securities Corp., Series 2007-LD11,
Class ASB
6.00%	06/15/49²		7,152,947		7,691,722
JPMorgan Chase Commercial Mortgage
Securities Corp., Series 2007-LD12,
Class A3
6.12%	02/15/51²		2,535,952		2,606,208
LB-UBS Commercial Mortgage Trust,
Series 2005-C2, Class AAB
5.01%	04/15/30		3,142,530		3,203,074
LB-UBS Commercial Mortgage Trust,
Series 2007-C6, Class A3
5.93%	07/15/40		2,026,731		2,039,057
Morgan Stanley Capital I Trust,
Series 2001-C3, Class A2
3.22%	08/15/49		2,020,000		2,115,626
Morgan Stanley Capital I Trust,
Series 2005-IQ9, Class A5
4.70%	07/15/56		2,805,953		2,894,195
Morgan Stanley Capital I Trust,
Series 2005-T19, Class A4A
4.89%	06/12/47		405,000		428,207
Morgan Stanley Capital I Trust,
Series 2006-IQ11, Class A4
5.85%	10/15/42²		5,542,202		6,013,551
Morgan Stanley Capital I Trust,
Series 2006-T23, Class A4
5.99%	08/12/41²		8,185,000		9,067,282


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed (continued)
Morgan Stanley Capital I Trust,
Series 2007-HQ12, Class A2FL
0.43%	04/12/49²	$	5,254,098	$	5,168,315
Morgan Stanley Capital I Trust,
Series 2007-T27, Class A4
5.82%	06/11/42²		265,000		299,844
Spirit Master Funding LLC, Series 2005-1,
Class A1
5.05%	07/20/23³		3,808,387		3,846,471
Wachovia Bank Commercial Mortgage Trust,
Series 2004-C11, Class A5
5.22%	01/15/41²		3,811,921		3,857,664
Wachovia Bank Commercial Mortgage Trust,
Series 2005-C21, Class A4
5.41%	10/15/44²		8,609,792		9,163,178
Wachovia Bank Commercial Mortgage Trust,
Series 2006-C28, Class A3
5.68%	10/15/48		4,450,000		4,522,454
Wachovia Bank Commercial Mortgage Trust,
Series 2007-C33, Class A3
6.12%	02/15/51²		2,168,361		2,210,455
WF-RBS Commercial Mortgage Trust,
Series 2011-C5, Class A4
3.67%	11/15/44		5,350,000		5,460,304


					244,846,511

Non-Agency Mortgage-Backed — 18.83%
Accredited Mortgage Loan Trust,
Series 2007-1, Class A4
0.40%	02/25/37²		12,000,000		8,264,180
American Home Mortgage Assets,
Series 2007-4, Class A2
0.37%	08/25/37²		6,089,299		5,411,262
Amresco Residential Securities Mortgage
Loan Trust, Series 1998-1, Class A5 (STEP)
7.57%	10/25/27		26,329		27,240
Asset-Backed Securities Corp. Home Equity
Loan Trust, Series 2005-HE4, Class M2
0.63%	05/25/35²		1,161,989		1,160,539
Banc of America Alternative Loan Trust,
Series 2003-8, Class 1CB1.
5.50%	10/25/33		24,656,396		25,398,070
Banc of America Funding Corp.,
Series 2006-G, Class 2A3
0.35%	07/20/36²		3,060,898		3,043,270
Banco de Credito Y Securitizacion SA,
Series 2001-1, Class AF (Argentina)
8.00%	06/30/20^3,4,7		7,000		560
BCAP LLC Trust, Series 2007-AA1,
Class 1A2
0.34%	02/25/47²		8,373,729		7,185,815


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
BCAP LLC Trust, Series 2011-RR5,
Class 2A3
2.84%	06/26/37^2,3	$	6,222,276	$	6,211,885
Bear Stearns ARM Trust, Series 2004-3,
Class 4A
4.64%	07/25/34²		8,479,083		8,487,837
Bear Stearns ARM Trust, Series 2005-2,
Class A1
2.60%	03/25/35²		7,969,031		8,069,202
Bear Stearns Asset-Backed Securities Trust,
Series 2000-2, Class M2 (STEP)
8.28%	08/25/30		350,232		347,162
Bear Stearns Asset-Backed Securities Trust,
Series 2005-HE10, Class M1
0.73%	11/25/35²		9,704,279		9,667,354
Bear Stearns Asset-Backed Securities Trust,
Series 2005-SD1, Class 1A3
0.58%	08/25/43²		1,524,748		1,497,571
BHN I Mortgage Fund, Series 2000-1,
Class AF (Argentina)
8.00%	01/31/20^3,4,7,†		9,000		90
CC Mortgage Funding Corp., Series 2005-2A,
Class A1
0.36%	05/25/36^2,3		2,331,897		1,873,322
Chase Funding Mortgage Loan Asset-Backed
Certificates, Series 2002-2, Class 2M1
1.08%	02/25/32²		550,161		448,789
Chase Mortgage Finance Corp.,
Series 2007-A1, Class 8A1
3.01%	02/25/37²		27,599,286		27,806,280
Chase Mortgage Finance Corp.,
Series 2007-A2, Class 2A3
2.92%	07/25/37²		5,606,816		5,627,567
Citigroup Mortgage Loan Trust, Inc.,
Series 2004-HYB1, Class A41
3.08%	02/25/34²		325,337		317,488
Citigroup Mortgage Loan Trust, Inc.,
Series 2006-AMC1, Class A2B
0.34%	09/25/36²		5,629,136		2,832,880
Citigroup Mortgage Loan Trust, Inc.,
Series 2006-WFH4, Class A3
0.33%	11/25/36²		5,727,135		5,576,211
Citigroup Mortgage Loan Trust, Inc.,
Series 2007-WFH2, Class A2
0.33%	03/25/37²		4,145,633		4,149,323
Citigroup Mortgage Loan Trust, Inc.,
Series 2007-WFH2, Class A3
0.36%	03/25/37²		1,650,000		1,555,921
Citigroup Mortgage Loan Trust, Inc.,
Series 2007-WFH4, Class A2C
1.48%	07/25/37²		90,000		65,436


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Conseco Finance Securitizations Corp.,
Series 2001-4, Class A4
7.36%	09/01/33	$	5,964,165	$	6,401,700
Conseco Finance, Series 2001-D,
Class A5
6.69%	11/15/32²		83,809		84,292
Conseco Financial Corp., Series 1994-1,
Class A5
7.65%	04/15/19		71,447		75,118
Conseco Financial Corp., Series 1996-1,
Class M1
7.00%	03/15/27²		5,000,695		5,184,778
Conseco Financial Corp., Series 1997-2,
Class A7
7.62%	06/15/28²		2,811,855		3,005,410
Conseco Financial Corp., Series 1997-3,
Class A7
7.64%	03/15/28²		1,636,251		1,793,454
Conseco Financial Corp., Series 1997-7,
Class A9
7.37%	07/15/29²		5,265,760		5,716,169
Conseco Financial Corp., Series 1998-2,
Class A5
6.24%	12/01/28²		19,985		20,687
Countrywide Home Loan Mortgage
Pass-Through Trust, Series 2004-14,
Class 4A1
4.95%	08/25/34²		60,919		61,547
Credit Suisse First Boston Mortgage
Securities Corp., Series 2004-AR1, Class 5A1
2.56%	02/25/34²		6,026,802		6,076,584
Credit Suisse First Boston Mortgage
Securities Corp., Series 2013-7R, Class 5A1
0.44%	07/26/36^2,3		6,246,177		5,453,362
Credit-Based Asset Servicing and
Securitization LLC, Series 2005-CB7,
Class AF3 (STEP)
4.40%	11/25/35		1,259,663		1,297,464
Credit-Based Asset Servicing and
Securitization LLC, Series 2006-CB1,
Class AF2 (STEP)
3.85%	01/25/36		2,955,158		2,143,398
Credit-Based Asset Servicing and
Securitization LLC, Series 2007-CB2,
Class A2B (STEP)
5.06%	02/25/37		17,557,438		12,822,197
Credit-Based Asset Servicing and
Securitization LLC, Series 2007-CB5,
Class A1 (STEP)
0.24%	04/25/37²		4,726,295		2,879,617
DBRR Trust, Series 2012-EZ1, Class A
0.95%	09/25/45³		11,958,009		11,952,544
DBRR Trust, Series 2013-EZ2, Class A
0.85%	02/25/43^2,3		9,315,412		9,329,991


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Downey Savings & Loan Association
Mortgage Loan Trust, Series 2005-AR2,
Class 2A1A
0.39%	03/19/45²	$	2,706,969	$	2,292,619
Downey Savings & Loan Association
Mortgage Loan Trust, Series 2006-AR1,
Class 2A1A
1.10%	04/19/47²		63,243		52,066
First Franklin Mortgage Loan Asset-Backed
Certificates, Series 2004-FF5, Class A3C
1.18%	08/25/34²		1,852,058		1,816,032
First Horizon Alternative Mortgage Securities
Trust, Series 2004-AA3, Class A1
2.20%	09/25/34²		27,449		27,244
First Horizon Mortgage Pass-Through Trust,
Series 2004-AR7, Class 2A2
2.56%	02/25/35²		3,711,326		3,737,728
GE Business Loan Trust, Series 2007-1A,
Class A
0.35%	04/16/35^2,3		4,179,447		3,760,652
GMAC Mortgage Corp. Loan Trust,
Series 2000-HE2, Class A1
0.62%	06/25/30²		576,914		491,696
Green Tree Home Improvement Loan Trust,
Series 1997-E, Class HEB1
7.53%	01/15/29		165,396		165,514
GSAMP Trust, Series 2005-HE4, Class M1
0.63%	07/25/45²		7,729,422		7,669,322
GSR Mortgage Loan Trust, Series 2005-AR6,
Class 2A1
2.66%	09/25/35²		5,194,718		5,176,703
GSR Mortgage Loan Trust, Series 2005-AR7,
Class 2A1
2.66%	11/25/35²		709,706		684,142
Home Equity Loan Trust, Series 2005-3,
Class M1
0.60%	01/20/35²		2,960,221		2,903,469
Home Equity Loan Trust, Series 2006-3,
Class A4
0.42%	03/20/36²		9,323,000		9,084,732
Home Equity Loan Trust, Series 2007-1,
Class AS
0.38%	03/20/36²		5,839,822		5,728,138
Home Equity Loan Trust, Series 2007-2,
Class A3V
0.40%	07/20/36²		5,812,106		5,753,910
Impac CMB Trust, Series 2005-5, Class A1
0.82%	08/25/35²		4,042,720		3,413,313
Indymac Index Mortgage Loan Trust,
Series 2004-AR12, Class A1
0.96%	12/25/34²		477,223		338,811


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Indymac Index Mortgage Loan Trust,
Series 2004-AR8, Class 2A2A
0.98%	11/25/34²	$	1,676,361	$	1,421,990
Indymac Manufactured Housing Contract,
Series 1998-1, Class A4
6.49%	09/25/28		1,081,684		1,128,450
JPMorgan Chase Commercial Mortgage
Securities Trust, Series 2006-LDP9,
Class A3SF
0.34%	05/15/47		2,500,000		2,491,330
JPMorgan Mortgage Acquisition Corp.,
Series 2005-FRE1, Class A2F3 (STEP)
3.93%	10/25/35		2,313,764		2,029,174
JPMorgan Mortgage Acquisition Corp.,
Series 2007-HE1, Class AV4
0.46%	03/25/47²		50,000		26,265
JPMorgan Mortgage Trust, Series 2005-A3,
Class 5A3
2.76%	06/25/35²		103,745		95,640
JPMorgan Mortgage Trust, Series 2007-A1,
Class 1A1
2.82%	07/25/35²		4,271,846		4,194,599
JPMorgan Mortgage Trust, Series 2007-A1,
Class 5A2
2.95%	07/25/35²		1,018,832		1,023,000
Lehman ABS Manufactured Housing Contract
Trust, Series 2001-B, Class A3
4.35%	04/15/40		4,123,419		4,131,357
Lehman ABS Manufactured Housing Contract
Trust, Series 2001-B, Class A4
5.27%	04/15/40		3,418,698		3,623,307
Lehman ABS Manufactured Housing Contract
Trust, Series 2001-B, Class AIOC (IO)
0.55%	04/15/40^2,7		242,442,268		5,453,993
Long Beach Mortgage Loan Trust,
Series 2005-1, Class M1
0.93%	02/25/35²		1,368,858		1,363,810
Long Beach Mortgage Loan Trust,
Series 2005-2, Class M3
0.91%	04/25/35²		6,721,448		6,719,082
MASTR Adjustable Rate Mortgages Trust,
Series 2003-6, Class 4A2
4.65%	01/25/34²		49,608		49,128
MASTR Adjustable Rate Mortgages Trust,
Series 2004-1, Class 2A1
2.75%	01/25/34²		57,915		55,784
MASTR Adjustable Rate Mortgages Trust,
Series 2004-13, Class 3A1
2.62%	11/21/34²		4,632,494		4,803,282
MASTR Adjustable Rate Mortgages Trust,
Series 2004-3, Class 3A3
2.15%	04/25/34²		477,255		466,730


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
MASTR Adjustable Rate Mortgages Trust,
Series 2004-5, Class 3A1
2.66%	06/25/34²	$	113,582	$	104,532
MASTR Adjustable Rate Mortgages Trust,
Series 2004-9, Class 1A4
0.78%	11/25/34²		997,228		998,830
MASTR Alternative Loan Trust,
Series 2003-1, Class 1A1
6.25%	12/25/32		6,330,254		6,699,045
MASTR Alternative Loan Trust,
Series 2003-5, Class 4A1
5.50%	07/25/33		12,694,340		13,506,313
MASTR Alternative Loan Trust,
Series 2003-9, Class 4A1
5.25%	11/25/33		13,926,366		14,567,564
MASTR Alternative Loan Trust,
Series 2004-7, Class 1A1
6.00%	07/25/34		13,092,106		13,393,810
MASTR Asset-Backed Securities Trust,
Series 2006-AB1, Class A2
0.41%	02/25/36²		3,905,382		3,787,355
MASTR Seasoned Securities Trust,
Series 2004-1, Class 4A1
2.71%	10/25/32²		541,054		548,118
Merrill Lynch First Franklin Mortgage Loan
Trust, Series 2007-3, Class A2C
0.36%	06/25/37²		19,057,200		11,045,496
Merrill Lynch Mortgage Investors Trust,
Series 2004-A4, Class A1
2.51%	08/25/34²		4,373,510		4,524,158
Merrill Lynch Mortgage Investors Trust,
Series 2006-F1, Class 1A2
6.00%	04/25/36		5,320,467		5,173,202
Mid-State Trust, Series 2004-1, Class B
8.90%	08/15/37		1,892,194		2,360,357
Mid-State Trust, Series 2006-1, Class A
5.79%	10/15/40³		7,816,718		8,294,855
ML-CFC Commercial Mortgage Trust,
Series 2006-3, Class ASB
5.38%	07/12/46²		2,568,063		2,570,310
Morgan Stanley ABS Capital I,
Series 2004-NC7, Class M2
1.11%	07/25/34²		13,000,000		12,186,382
Morgan Stanley ABS Capital I,
Series 2005-HE3, Class M2
0.70%	07/25/35²		5,903,134		5,744,475
Morgan Stanley Capital I Trust,
Series 2005-NC2, Class M2
0.60%	03/25/35²		2,792,154		2,766,901
Morgan Stanley Mortgage Loan Trust,
Series 2004-6AR, Class 1A
0.63%	07/25/34²		1,471,284		1,410,514


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
MortgageIT Trust, Series 2005-3, Class A1
0.48%	08/25/35²	$	1,084,192	$	1,021,827
MortgageIT Trust, Series 2005-4, Class A1
0.46%	10/25/35²		16,085,414		13,976,085
Nationstar Home Equity Loan Trust,
Series 2007-C, Class 2AV3
0.36%	06/25/37²		7,807,200		5,761,198
New Century Home Equity Loan Trust,
Series 2005-3, Class M2
0.67%	07/25/35²		15,000,000		14,048,589
Oakwood Mortgage Investors, Inc.,
Series 1997-B, Class M
7.78%	08/15/27		3,554,606		3,725,649
Park Place Securities, Inc.,
Series 2004-MHQ1, Class M1
1.23%	12/25/34²		2,336,683		2,342,569
Park Place Securities, Inc.,
Series 2005-WCW1, Class A3D
0.52%	09/25/35²		1,919,652		1,906,465
Park Place Securities, Inc.,
Series 2005-WCW3, Class A1B
0.48%	08/25/35^2,3		10,413,297		10,337,769
Park Place Securities, Inc.,
Series 2005-WHQ1, Class M2
0.68%	03/25/35²		7,765,252		7,692,459
Park Place Securities, Inc.,
Series 2005-WHQ2, Class A1B
0.45%	05/25/35²		12,034,058		11,899,496
Park Place Securities, Inc.,
Series 2005-WHQ3, Class M1
0.60%	06/25/35²		4,471,813		4,459,162
Park Place Securities, Inc.,
Series 2005-WLL1, Class M1
0.60%	03/25/35²		3,634,379		3,632,293
Popular ABS Mortgage Pass-Through Trust,
Series 2007-A, Class A3
0.49%	06/25/47²		70,000		41,364
Residential Accredit Loans, Inc.,
Series 2005-QA3, Class NB1
3.01%	03/25/35²		12,085,879		8,696,439
Residential Asset Mortgage Products, Inc.,
Series 2004-SL4, Class A3
6.50%	07/25/32		1,368,196		1,422,752
Residential Asset Mortgage Products, Inc.,
Series 2005-RS5, Class AI3
0.52%	05/25/35²		546,703		540,595
Residential Asset Mortgage Products, Inc.,
Series 2005-RS8, Class A2
0.47%	10/25/33²		639,902		638,361
Residential Asset Mortgage Products, Inc.,
Series 2005-SL1, Class A5
6.50%	05/25/32		3,309,049		3,223,585


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Residential Asset Securities Corp., Series 2005-KS12, Class A2
0.43%	01/25/36²	$	2,023,544	$	2,004,487
Residential Funding Mortgage Securities I,
Inc., Series 2005-S8, Class A1
5.50%	11/25/35		7,512,155		7,387,497
Residential Funding Mortgage Securities II,
Inc., Series 2000-HI1, Class AI7 (STEP)
8.29%	02/25/25		2,646		2,619
SG Mortgage Securities Trust,
Series 2006-FRE1, Class A1B
0.45%	02/25/36²		1,164,091		866,068
Soundview Home Equity Loan Trust,
Series 2006-WF2, Class A2C
0.32%	12/25/36²		7,090,658		6,871,285
Specialty Underwriting & Residential Finance,
Series 2005-AB1, Class A1C
0.52%	03/25/36²		1,213,591		1,206,371
Structured Adjustable Rate Mortgage Loan
Trust, Series 2004-16, Class 6A
2.48%	11/25/34		12,058,623		11,569,388
Structured Asset Investment Loan Trust,
Series 2005-11, Class A5
0.47%	01/25/36²		13,244,843		13,179,181
Structured Asset Securities Corp.,
Series 2002-5A, Class 6A
2.00%	04/25/32²		19,156		17,070
Structured Asset Securities Corp.,
Series 2003-26A, Class 3A5
2.48%	09/25/33²		2,818,565		2,750,481
Structured Asset Securities Corp.,
Series 2005-WF4, Class A4
0.54%	11/25/35²		11,211,651		11,186,279
Structured Asset Securities Corp.,
Series 2007-WF1, Class A3
0.34%	02/25/37²		8,274,989		8,265,787
Terwin Mortgage Trust, Series 2004-7HE,
Class A1
1.28%	07/25/34^2,3		142,962		134,479
WaMu Mortgage Pass-Through Certificates
Trust, Series 2004-CB2, Class 2A
5.50%	07/25/34		14,671,551		15,393,126
WaMu Mortgage Pass-Through Certificates,
Series 2002-AR18, Class A
2.50%	01/25/33²		307,316		309,450
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR13, Class A1A1
0.47%	10/25/45²		6,166,064		5,678,285
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR2, Class 2A21
0.51%	01/25/45²		964,815		894,093


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Wells Fargo Home Equity Trust,
Series 2005-3, Class AII3
0.52%	11/25/35²	$	283,149	$	283,114
Wells Fargo Home Equity Trust,
Series 2007-2, Class A1
0.27%	04/25/37²		69,191		69,072
Wells Fargo Mortgage Backed Securities,
Series 2005-AR10, Class 2A14
2.64%	06/25/35		15,902,314		16,055,900
Wells Fargo Mortgage Backed Securities,
Series 2006-AR2, Class 2A5
2.64%	03/25/36		3,970,105		3,817,612
Wells Fargo Mortgage-Backed Securities,
Series 2005-AR9, Class 1A1
2.64%	05/25/35		380,657		390,464


					614,877,560


U.S. Agency Mortgage-Backed — 15.34%
Fannie Mae Pool 465761
3.16%	08/01/17		5,590,376		5,808,182
Fannie Mae Pool 555284
7.50%	10/01/17		861		928
Fannie Mae Pool 567002
8.00%	05/01/23		64,885		74,797
Fannie Mae Pool 735861
6.50%	09/01/33		31,403		35,749
Fannie Mae Pool 770900
2.31%	04/01/34²		535,964		568,201
Fannie Mae Pool 942553
5.88%	08/01/37²		2,881,542		3,105,169
Fannie Mae Pool 995182
5.50%	06/01/20		6,946,313		7,477,347
Fannie Mae Pool 995793
5.50%	09/01/36		4,385,422		4,810,812
Fannie Mae Pool AD0538
6.00%	05/01/24		2,178,629		2,408,564
Fannie Mae Pool AE0083
6.00%	01/01/40		5,154,627		5,637,109
Fannie Mae Pool AL0851
6.00%	10/01/40		7,003,325		7,689,282
Fannie Mae Pool FN0002
3.31%	12/01/17		5,891,721		6,280,024
Fannie Mae REMICS, Series 2009-111,
Class DA
5.00%	12/25/39		6,085,504		6,379,079
Fannie Mae REMICS, Series 2010-6,
Class BF
0.94%	02/25/40²		8,944,284		9,005,494
Fannie Mae REMICS, Series 2013-75,
Class FC
0.43%	07/25/42²		14,517,012		14,438,329


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae, Series 1997-76, Class FS
0.63%	09/17/27²	$	38,009	$	37,541
Fannie Mae, Series 2001-60, Class OF
1.13%	10/25/31²		2,599,788		2,650,710
Fannie Mae, Series 2003-134, Class FC
0.78%	12/25/32²		18,400,687		18,570,816
Fannie Mae, Series 2007-64, Class FA
0.65%	07/25/37²		2,486,856		2,504,022
Fannie Mae, Series 2009-33, Class FB
1.00%	03/25/37²		8,786,070		8,901,207
Fannie Mae, Series 2010-109, Class PF
0.58%	10/25/40²		5,356,048		5,374,878
Fannie Mae, Series 2010-26, Class S (IO)
6.05%	11/25/36²		32,494,557		4,675,229
Fannie Mae, Series 2010-43, Class DP
5.00%	05/25/40		5,248,980		5,733,812
Fannie Mae, Series 2010-95, Class S (IO)
6.42%	09/25/40²		17,866,058		2,939,672
Fannie Mae, Series 2010-99, Class NI (IO)
6.00%	09/25/40		10,568,252		1,359,500
Fannie Mae, Series 2011-71, Class FB
0.68%	05/25/37²		11,105,130		11,192,555
Fannie Mae, Series 2013-M11, Class A
1.50%	01/25/18		13,465,262		13,609,448
Fannie Mae, Series G92-10, Class Z
7.75%	01/25/22		6,922		7,590
Freddie Mac Gold Pool A45796
7.00%	01/01/33		18,217		19,955
Freddie Mac Gold Pool C46104
6.50%	09/01/29		23,843		26,948
Freddie Mac Gold Pool E04113
2.50%	11/01/27		11,741,460		11,820,807
Freddie Mac Gold Pool G13032
6.00%	09/01/22		3,598,007		3,975,062
Freddie Mac Gold Pool G13475
6.00%	01/01/24		457,914		503,593
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series K701,
Class A2
3.88%	11/25/17		9,097,000		9,877,352
Freddie Mac REMICS, Series 2733,
Class FB
0.78%	10/15/33²		5,335,000		5,395,866
Freddie Mac REMICS, Series 3828,
Class TF
0.58%	04/15/29²		3,151,044		3,164,342
Freddie Mac REMICS, Series 4170,
Class FW
1.13%	01/15/33²		13,094,392		12,905,145


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac REMICS, Series 4235,
Class FA
0.53%	01/15/34²	$	15,447,142	$	15,453,900
Freddie Mac Strips, Series 263, Class F5
0.68%	06/15/42²		7,382,748		7,406,378
Freddie Mac, Series 2174, Class PN
6.00%	07/15/29		1,461,534		1,614,510
Freddie Mac, Series 240, Class F30
0.48%	07/15/36²		13,038,627		13,034,689
Freddie Mac, Series 2454, Class FQ
1.18%	06/15/31²		24,319		24,850
Freddie Mac, Series 2657, Class LX (IO)
6.00%	05/15/18		5,481		161
Freddie Mac, Series 3294, Class CB
5.50%	03/15/37		2,006,284		2,202,591
Freddie Mac, Series 3345, Class FP
0.38%	11/15/36²		4,202,176		4,204,487
Freddie Mac, Series 3345, Class PF
0.36%	05/15/36²		1,834,051		1,834,737
Freddie Mac, Series 3346, Class FA
0.41%	02/15/19²		16,730,797		16,735,306
Freddie Mac, Series 3626, Class MA
5.00%	02/15/30		3,655,740		3,744,547
Freddie Mac, Series 3672, Class A
6.00%	05/15/40		1,401,320		1,498,700
Freddie Mac, Series 4109, Class KF
0.58%	05/15/32²		35,442,000		35,363,086
Ginnie Mae I Pool 422972
6.50%	07/15/29		43,924		49,319
Ginnie Mae II (TBA)
3.00%	10/20/42		15,075,000		14,903,050
Ginnie Mae II Pool 1849
8.50%	08/20/24		895		1,027
Ginnie Mae II Pool 2020
8.50%	06/20/25		2,023		2,357
Ginnie Mae II Pool 2286
8.50%	09/20/26		2,439		2,856
Ginnie Mae II Pool 2487
8.50%	09/20/27		16,739		19,569
Ginnie Mae II Pool 80059
1.62%	04/20/27²		39,472		41,162
Ginnie Mae II Pool 80589
1.62%	03/20/32²		80,389		83,190
Ginnie Mae II Pool 80610
1.62%	06/20/32²		27,518		28,697
Ginnie Mae II Pool 80968
1.75%	07/20/34²		786,057		816,132
Ginnie Mae II Pool 81201
2.12%	01/20/35²		19,880		20,713


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Ginnie Mae II Pool 8599
3.00%	02/20/25²	$	32,720	$	34,186
Ginnie Mae II Pool MA0949
3.00%	04/20/43²		14,599,881		14,994,159
Ginnie Mae, Series 2004-5, Class PF
0.73%	02/20/33²		5,391,075		5,423,644
Ginnie Mae, Series 2009-106, Class XI (IO)
6.62%	05/20/37²		17,518,876		2,976,807
Ginnie Mae, Series 2011-78, Class AB
2.45%	02/16/39		3,752,435		3,803,839
Ginnie Mae, Series 2012-13, Class KF
0.48%	07/20/38²		6,426,482		6,438,242
Ginnie Mae, Series 2013-53, Class AD
1.50%	12/20/26		11,876,318		11,661,416
Mortgage-Linked Amortizing Notes,
Series 2012-1, Class A10
2.06%	01/15/22		13,532,109		13,676,771
NCUA Guaranteed Notes, Series 2010-R1,
Class 1A
0.63%	10/07/20²		14,184,815		14,275,963
NCUA Guaranteed Notes, Series 2010-R2,
Class 1A
0.55%	11/06/17²		17,386,281		17,462,433
NCUA Guaranteed Notes, Series 2010-R2,
Class 2A
0.65%	11/05/20²		11,627,958		11,706,764
NCUA Guaranteed Notes, Series 2010-R3,
Class 1A
0.74%	12/08/20²		16,046,250		16,256,937
NCUA Guaranteed Notes, Series 2010-R3,
Class 2A
0.74%	12/08/20²		6,950,496		7,033,068
NCUA Guaranteed Notes, Series 2011-C1,
Class 2A
0.71%	03/09/21²		15,339,503		15,443,382
NCUA Guaranteed Notes, Series 2011-R1,
Class 1A
0.63%	01/08/20²		10,135,324		10,200,253
NCUA Guaranteed Notes, Series 2011-R2,
Class 1A
0.58%	02/06/20²		9,682,810		9,737,276
NCUA Guaranteed Notes, Series 2011-R3,
Class 1A
0.58%	03/11/20²		5,916,481		5,949,761
NCUA Guaranteed Notes, Series 2011-R4,
Class 1A
0.56%	03/06/20²		6,724,702		6,744,009
NCUA Guaranteed Notes, Series 2011-R5,
Class 1A
0.56%	04/06/20²		4,672,288		4,682,508


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
NCUA Guaranteed Notes, Series 2011-R6,
Class 1A
0.56%	05/07/20²	$	4,631,578	$	4,640,262


					501,192,810

Total Mortgage-Backed
(Cost $1,354,603,125)					1,360,916,881


MUNICIPAL BONDS — 0.69%*
California — 0.30%
State of California, Taxable, Various Purpose
4.85%	10/01/14		4,900,000		5,097,176
5.50%	03/01/16		1,775,000		1,958,073
6.20%	03/01/19		600,000		701,754
State of California, Taxable, Various Purpose,
Series 3
5.45%	04/01/15		1,715,000		1,836,954


					9,593,957

Illinois — 0.39%
State of Illinois, Build America Bonds
6.20%	07/01/21		6,750,000		7,321,050
State of Illinois, Taxable Bonds
4.03%	03/01/14		525,000		531,300
5.37%	03/01/17		2,250,000		2,443,320
State of Illinois, Taxable-Pension
4.35%	06/01/18		2,445,000		2,537,470


					12,833,140

Total Municipal Bonds
(Cost $21,825,284)					22,427,097


U.S. AGENCY SECURITIES — 2.89%
Fannie Mae
0.50%	01/15/16		16,435,000		16,409,246
0.50%	01/29/16		12,850,000		12,839,193
0.65%	03/28/16		13,270,000		13,259,809
Federal Home Loan Bank
0.55%	06/03/16		10,520,000		10,478,309
Federal Home Loan Bank (STEP)
0.75%	05/26/28		15,570,000		14,944,335
Freddie Mac
0.50%	09/14/15		17,660,000		17,655,002
0.60%	03/28/16		8,810,000		8,806,562


Total U.S. Agency Securities
(Cost $95,103,432)					94,392,456


Issues	Maturity Date			Principal Amount		Value
U.S. TREASURY SECURITIES — 5.66%
U.S. Treasury Notes — 5.66%
U.S. Treasury Notes - Treasury Inflation
Indexed Notes
0.50%		04/15/15	⁸	$	49,575,000	$	54,628,295
1.25%		04/15/14	⁸		33,273,000		37,048,186
1.63%		01/15/15	⁸		6,210,000		7,856,373
2.00%		07/15/14	⁸		67,165,000		85,379,399

Total U.S. Treasury Securities
(Cost $187,850,241)							184,912,253

Total Bonds – 80.72%
(Cost $2,615,037,432)							2,636,477,835

Issues	Maturity Date			Principal Amount/ Share		Value
SHORT-TERM INVESTMENTS — 20.56%
Commercial Paper — 2.04%
Macquarie Bank Ltd. (Australia)
0.32%⁹		10/24/13	^3,4		15,930,000		15,927,829
National Rural Utilities Co.
0.09%⁹		10/16/13			28,000,000		27,998,950
RBS Holdings USA, Inc.
0.36%⁹		01/22/14			22,825,000		22,807,509

							66,734,288

Money Market Funds — 1.99%
Dreyfus Cash Advantage Fund
0.06%^10,11					32,493,000		32,493,000
DWS Money Market Series
Institutional Funds
0.05%¹⁰					32,485,000		32,485,000

							64,978,000

Repurchase Agreements — 3.67%
RBS Securities, Inc. (Dated 9/30/13, total to be received $120,000,100, (collateralized by U.S. Treasury Note, 0.38%, due 6/30/15, par and fair value of $122,100,000 and $122,403,700, respectively))
0.03%		10/01/13			120,000,000		120,000,000

U.S. Agency Discount Notes — 12.86%
Fannie Mae
0.08%⁹		01/21/14			84,000,000		83,997,396
0.09%⁹		01/21/14			63,400,000		63,398,035
0.09%⁹		02/19/14			45,000,000		44,996,490
Federal Home Loan Bank
0.03%⁹		12/18/13			100,300,000		100,293,397
0.04%⁹		12/11/13			69,790,000		69,788,604
Freddie Mac
0.03%⁹		12/17/13			4,700,000		4,699,901


Issues	Maturity Date		Principal Amount/ Share		Value
SHORT-TERM INVESTMENTS (continued)
U.S. Agency Discount Notes (continued)
0.09%⁹		10/21/13	$	52,800,000	$	52,799,419

						419,973,242

Total Short-Term Investments
(Cost $671,625,212)						671,685,530


Total Investments – 101.28%

(Cost $3,286,662,644)¹						3,308,163,365


Liabilities in Excess of Other Assets – (1.28)%						(41,785,931	)

Net Assets – 100.00%					$	3,266,377,434


	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	$103,824	$(12,096)

		$(115,920)	$10,080	$103,824	$(12,096)

^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 $3,286,681,333 and net unrealized appreciation/(depreciation) consists of:


Gross unrealized appreciation	$	46,650,292
Gross unrealized depreciation		(25,168,260	)

Net unrealized appreciation	$	21,482,032

²	Floating rate security. The rate disclosed was in effect at September 30, 2013.

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, 2013, was $468,098,936, representing 14.33% 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
08/07/13	Alinta Energy Finance Pty Ltd., Term Loan B, 1st Lien, 6.38%, 08/07/19		$	6,247,559		$	6,326,553		0.20	%
08/07/13	Alinta Energy Finance Pty Ltd., Term Loan DD, 1st Lien, 0.50%, 08/07/19			408,333			413,887		0.01	%
10/22/07	HCA, Inc., Term Loan B4, 2.93%, 05/01/18			6,081,382			6,076,487		0.19	%
10/11/12	Octagon Investment Partners XI Ltd., Series 2007-1X, Class A1B, 0.52%, 08/25/21			3,549,343			3,646,777		0.11	%
05/10/12	Texas Competitive Electric Holdings Co. LLC, Term Loan EXT, 1st Lien, 4.71%, 10/10/17			3,843,817			3,713,270		0.11	%
10/31/07	Texas Competitive Electric Holdings Co. LLC, Term Loan NONEXT, 1st Lien, 3.71%, 10/10/14			465,072			314,919		0.01	%
05/21/13	US Airways, Inc., Term Loan B2, 1st Lien, 3.50%, 11/23/16			7,500,018			7,520,625		0.23	%
06/27/13	Valeant Pharmaceuticals, Term Loan, 4.50%, 05/30/20			4,889,511			4,999,371		0.15	%

			$	32,985,035		$	33,011,889		1.01	%

⁶	Payment-in-kind (“PIK”) security. Income may be paid in additional securities or cash at the discretion of the issuer. 8.14% cash or 8.64% payment-in-kind interest.

⁷	Illiquid security as determined under procedures approved by the Fund’s Board of Trustees. The aggregate value of illiquid securities is $6,252,143, which is 0.19% of total net assets.

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, 2013.

¹¹	Securities, or a portion thereof, pledged as collateral for swaps. The total market value of collateral pledged is $8,000.

^†

Fair valued security. The aggregate value of fair valued securities is $20,665,784, which is 0.63% 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

(MTN): Medium-term note

(PIK): Payment in kind

(STEP): Step coupon bond

(TBA): To be announced

(WI): When issued


Issues	Maturity Date	Principal Amount		Value
BONDS – 93.97%
ASSET-BACKED SECURITIES — 7.10%**
Academic Loan Funding Trust,
Series 2012-1A, Class A2
1.28%	12/27/44^2,3	$	950,000	$	953,059
Aircastle Aircraft Lease Backed Trust,
Series 2007-1A, Class G1
0.49%	06/14/37^2,3		761,893		688,446
Alm Loan Funding, Series 2012-7A, Class A1
(Cayman Islands)
1.69%	10/19/24^2,3,4		775,000		778,162
Avalon IV Capital Ltd., Series 2012-1A,
Class C (Cayman Islands)
3.87%	04/17/23^2,3,4		275,000		276,397
Axis Equipment Finance Receivables LLC,
Series 2012-1I, Class D
5.50%	11/20/15^†		175,000		168,927
Axis Equipment Finance Receivables LLC,
Series 2012-1I, Class E1
6.25%	04/20/16^†		175,000		157,553
Bayview Commercial Asset Trust,
Series 2004-3, Class A1
0.55%	01/25/35^2,3		1,222,695		1,115,388
Bayview Commercial Asset Trust,
Series 2005-2A, Class A1
0.49%	08/25/35^2,3		493,472		406,249
Brazos Higher Education Authority, Inc.,
Series 2005-3, Class A16
0.45%	06/25/26²		350,000		335,375
Brazos Higher Education Authority, Inc.,
Series 2010-1, Class A2
1.46%	02/25/35²		650,000		647,788
Brazos Higher Education Authority, Inc.,
Series 2011-2, Class A3
1.27%	10/27/36²		930,000		916,578
CIT Education Loan Trust, Series 2007-1,
Class A
0.34%	03/25/42^2,3		541,197		496,140
Cronos Containers Program Ltd.,
Series 2012-1A, Class A (Bermuda)
4.21%	05/18/27^3,4		368,333		373,833
Cronos Containers Program Ltd.,
Series 2012-2A, Class A (Bermuda)
3.81%	09/18/27^3,4		450,000		457,541
Educational Funding of the South, Inc.,
Series 2011-1, Class A2
0.92%	04/25/35²		780,000		776,474
GCO Education Loan Funding Trust,
Series 2006-2AR, Class A1RN
1.48%	08/27/46^2,3,†		1,140,000		1,077,315
GE Business Loan Trust, Series 2004-1,
Class A
0.47%	05/15/32^2,3		626,899		602,793


Issues	Maturity Date	Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
GE Business Loan Trust, Series 2004-1,
Class B
0.88%	05/15/32^2,3	$	340,698	$	313,738
GE Business Loan Trust, Series 2004-2A,
Class A
0.40%	12/15/32^2,3		832,798		785,357
GE Business Loan Trust, Series 2005-1A,
Class A3
0.43%	06/15/33^2,3		920,370		861,705
GE Seaco Finance SRL, Series 2004-1A,
Class A (Barbados)
0.48%	04/17/19^2,3,4		64,167		63,798
GE Seaco Finance SRL, Series 2005-1A,
Class A (Barbados)
0.43%	11/17/20^2,3,4		368,333		364,827
ING Investment Management Ltd.,
Series 2012-4A, Class A1 (Cayman Islands)
1.66%	10/15/23^2,3,4		800,000		801,450
LCM VI Ltd., Series 6A, Class A
(Cayman Islands)
0.49%	05/28/19^2,3,4		953,000		926,872
National Collegiate Student Loan Trust,
Series 2007-4, Class A2A3
3.68%	12/26/25²		100,000		99,938
Neptune Finance CCS Ltd., Series 2008-1A,
Class A (Cayman Islands)
0.88%	04/20/20^2,3,4		763,961		762,977
Oak Hill Credit Partners, Series 2012-7A,
Class A (Cayman Islands)
1.68%	11/20/23^2,3,4		775,000		777,055
Peach Finance Co., Series 2000, Class A
4.71%	04/15/48³		430,059		447,605
SLC Student Loan Trust, Series 2004-1,
Class B
0.55%	08/15/31²		316,896		280,718
SLC Student Loan Trust, Series 2008-1,
Class A4A
1.85%	12/15/32²		625,000		644,766
SLM Student Loan Trust, Series 2004-2,
Class B
0.74%	07/25/39²		352,439		317,477
SLM Student Loan Trust, Series 2005-4,
Class B
0.45%	07/25/40²		399,950		346,486
SLM Student Loan Trust, Series 2006-2,
Class A6
0.44%	01/25/41²		925,000		805,768
SLM Student Loan Trust, Series 2006-8,
Class A6
0.43%	01/25/41²		925,000		805,782
SLM Student Loan Trust, Series 2011-2,
Class A2
1.38%	10/25/34²		500,000		517,406


Issues	Maturity Date	Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
SLM Student Loan Trust, Series 2012-7,
Class A3
0.83%	05/26/26²	$	800,000	$	793,011
SLM Student Loan Trust, Series 2013-4,
Class A
0.73%	06/25/27²		808,896		809,805
Sound Point CLO Ltd., Series 2012-1A,
Class C (Cayman Islands)
3.57%	10/20/23^2,3,4		325,000		323,565
South Carolina Student Loan Corp., Series A2
0.38%	12/01/20²		725,000		716,975
Structured Receivables Finance LLC,
Series 2010-A, Class B
7.61%	01/16/46^3,†		800,000		943,044
Student Loan Consolidation Center Student
Loan Trust I, Series 2002-2, Class B2
1.04%	07/01/42^2,3		750,000		572,310
Symphony CLO Ltd., Series 2012-9A,
Class C (Cayman Islands)
3.52%	04/16/22^2,3,4		300,000		301,111
TAL Advantage LLC, Series 2006-1,
Class NOTE
0.37%	04/20/21^2,3		374,583		369,371
TAL Advantage LLC, Series 2010-2A,
Class A
4.30%	10/20/25³		442,708		444,317
TAL Advantage LLC, Series 2012-1A,
Class A
3.86%	05/20/27³		216,667		219,037
Textainer Marine Containers Ltd.,
Series 2005-1A, Class A (Bermuda)
0.43%	05/15/20^2,3,4		175,000		173,149
Trinity Rail Leasing LP, Series 2004-1A,
Class A
5.27%	08/14/27³		235,382		255,206
Trip Rail Master Funding LLC,
Series 2011-1A, Class A1A
4.37%	07/15/41³		537,319		572,005
Triton Container Finance LLC,
Series 2006-1A, Class NOTE
0.35%	11/26/21^2,3		593,750		582,803
Triton Container Finance LLC,
Series 2007-1A, Class NOTE
0.32%	02/26/19^2,3		154,948		153,587
U-Haul S Fleet LLC, Series 2007-BT1,
Class BT
5.56%	02/25/20³		336,713		339,825


Total Asset-Backed Securities
(Cost $27,095,086)					27,720,864

BANK LOANS — 0.19%*
Health Care — 0.12%
HCA, Inc., Term Loan B4
2.93%	05/01/18^2,5		455,133		454,767


Issues	Maturity Date	Principal Amount		Value
BANK LOANS (continued)
Services — 0.07%
AABS Ltd., Series 2013-1, Class A (STEP)
4.72%	01/15/38^2,†	$	287,500	$	288,597


Total Bank Loans
(Cost $745,466)					743,364


CORPORATES — 20.52%*
Banking — 3.39%
Abbey National Treasury Services
PLC/London (United Kingdom)
2.88%	04/25/14⁴		1,019,000		1,031,372
Bank of America N.A. (BKNT)
0.55%	06/15/17²		1,350,000		1,303,142
6.00%	06/15/16		650,000		712,427
6.10%	06/15/17		340,000		384,497
Barclays Bank PLC (United Kingdom)
5.20%	07/10/14⁴		850,000		879,921
Commonwealth Bank of Australia (Australia)
1.95%	03/16/15⁴		1,400,000		1,427,754
Credit Suisse/New York (Switzerland)
5.50%	05/01/14⁴		500,000		514,842
6.00%	02/15/18⁴		575,000		647,980
HBOS PLC, Series G (MTN)
(United Kingdom)
6.75%	05/21/18^3,4		915,000		1,009,769
JPMorgan Chase Bank N.A.
0.58%	06/13/16²		600,000		593,227
JPMorgan Chase Bank N.A. (BKNT)
6.00%	07/05/17		600,000		681,158
6.00%	10/01/17		500,000		572,592
National Australia Bank/New York (MTN)
(Australia)
2.00%	03/09/15⁴		1,200,000		1,224,153
Royal Bank of Scotland PLC
(United Kingdom)
2.55%	09/18/15⁴		1,370,000		1,398,918
Svenska Handelsbanken AB (Sweden)
4.88%	06/10/14^3,4		825,000		850,324


					13,232,076

Communications — 0.86%
Cellco Partnership/Verizon Wireless
Capital LLC
5.55%	02/01/14		350,000		355,488
Intelsat Jackson Holdings SA (Luxembourg)
8.50%	11/01/19⁴		1,300,000		1,413,750
Verizon Communications, Inc.
3.65%	09/14/18		1,500,000		1,583,634


					3,352,872


Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Electric — 2.05%
DPL, Inc.
6.50%	10/15/16	$	700,000	$	754,250
Energy Transfer Partners LP
3.28%	11/01/66^2,3		910,000		822,413
FirstEnergy Corp., Series A
2.75%	03/15/18		1,140,000		1,107,953
Mirant Mid Atlantic Pass-Through Trust,
Series C
10.06%	12/30/28		682,006		739,977
Oncor Electric Delivery Co. LLC
6.80%	09/01/18		900,000		1,077,039
PG&E Corp.
5.75%	04/01/14		910,000		932,100
Public Service Co. of New Mexico
7.95%	05/15/18		475,000		574,798
Southwestern Electric Power Co.
6.45%	01/15/19		534,000		627,688
Texas-New Mexico Power Co.
9.50%	04/01/19³		500,000		653,909
Tucson Electric Power
3.85%	03/15/23		700,000		688,427


					7,978,554

Energy — 1.69%
CNOOC Finance 2013 Ltd. (China)
1.12%	05/09/16⁴		1,000,000		994,857
Florida Gas Transmission Co. LLC
3.88%	07/15/22³		1,000,000		1,002,757
Petrobras Global Finance BV (Netherlands)
2.41%	01/15/19^2,4		1,194,000		1,176,261
Spectra Energy Partners LP
2.95%	09/25/18		1,275,000		1,302,510
Tennessee Gas Pipeline Co. LLC
8.00%	02/01/16		1,250,000		1,437,549
Valero Energy Corp.
9.38%	03/15/19		471,000		610,879
Williams Cos., Inc.
7.88%	09/01/21		70,000		83,607


					6,608,420

Finance — 5.67%
Bear Stearns Cos. LLC
7.25%	02/01/18		1,140,000		1,366,735
Chase Capital III, Series C
0.81%	03/01/27²		500,000		409,823
CIT Group, Inc.
4.25%	08/15/17		1,049,000		1,073,914


Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Finance (continued)
Citigroup, Inc.
0.81%	08/25/36²	$	205,000	$	168,222
1.96%	05/15/18²		583,000		605,974
5.30%	01/07/16		625,000		676,645
5.50%	10/15/14		371,000		388,869
6.00%	08/15/17		250,000		285,975
6.12%	05/15/18		345,000		399,450
6.38%	08/12/14		535,000		560,690
Ford Motor Credit Co. LLC
2.75%	05/15/15		500,000		511,641
Ford Motor Credit Co. LLC, Series FRN
1.52%	05/09/16²		1,000,000		1,013,904
General Electric Capital Corp.
4.62%	01/07/21		700,000		752,294
5.62%	05/01/18		730,000		837,331
General Electric Capital Corp. (MTN)
0.65%	05/05/26²		500,000		461,436
3.35%	10/17/16		750,000		794,673
General Electric Capital Corp.,
Series A (MTN)
0.51%	09/15/14²		694,000		695,908
General Electric Capital Corp.,
Series E (MTN)
0.39%	03/20/14²		300,000		299,923
Goldman Sachs Group, Inc.
5.95%	01/18/18		350,000		396,021
6.15%	04/01/18		1,100,000		1,259,377
7.50%	02/15/19		550,000		665,153
Goldman Sachs Group, Inc. (MTN)
6.00%	05/01/14		250,000		257,803
Goldman Sachs Group, Inc., Series B (MTN)
0.67%	07/22/15²		100,000		99,510
International Lease Finance Corp.
6.50%	09/01/14³		1,000,000		1,035,000
JPMorgan Chase Capital XIII, Series M
1.20%	09/30/34²		1,070,000		867,742
Merrill Lynch & Co., Inc. (MTN)
8.68%	05/02/17²		510,000		569,313
8.95%	05/18/17²		410,000		461,250
9.57%	06/06/17²		319,000		366,467
Morgan Stanley
0.75%	10/15/15²		187,000		185,669
Morgan Stanley (MTN)
0.72%	10/18/16²		1,185,000		1,165,301
6.25%	08/28/17		800,000		909,549
Prudential Holdings LLC (AGM)
1.13%	12/18/17^2,3		500,000		495,988
Reckson Operating Partnership LP
5.00%	08/15/18		700,000		750,585


Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Finance (continued)
ZFS Finance USA Trust II
6.45%	12/15/65^2,3	$	1,250,000	$	1,340,625


					22,128,760

Health Care — 0.73%
HCA, Inc. (WI)
7.88%	02/15/20		1,240,000		1,339,975
Providence Health & Services
Obligated Group
1.10%	10/01/17²		1,500,000		1,501,169


					2,841,144

Industrials — 0.48%
Heathrow Funding Ltd. (United Kingdom)
2.50%	06/25/15^3,4		1,000,000		1,017,211
Sydney Airport Finance Co. Pty Ltd.
(Australia)
3.90%	03/22/23^3,4		900,000		859,850


					1,877,061

Insurance — 1.77%
Berkshire Hathaway, Inc.
3.00%	05/15/22		475,000		462,210
3.00%	02/11/23		1,120,000		1,085,455
Farmers Insurance Exchange
6.00%	08/01/14³		1,615,000		1,667,537
Metropolitan Life Global Funding I
3.88%	04/11/22³		1,000,000		1,027,998
5.12%	06/10/14³		800,000		825,767
Nationwide Mutual Insurance Co.
5.81%	12/15/24^2,3		502,000		511,413
6.60%	04/15/34³		440,000		448,800
Pricoa Global Funding I
5.45%	06/11/14³		850,000		878,754


					6,907,934

Materials — 0.11%
Barrick Gold Corp. (WI)(Canada)
4.10%	05/01/23⁴		475,000		419,732

Real Estate Investment Trust (REIT) — 2.56%
Colonial Realty LP
5.50%	10/01/15		1,000,000		1,080,000
HCP, Inc.
2.62%	02/01/20		750,000		712,519
3.75%	02/01/19		525,000		545,646
6.00%	01/30/17		1,000,000		1,125,457
7.07%	06/08/15		200,000		219,447
HCP, Inc. (MTN)
6.30%	09/15/16		500,000		565,761


Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Real Estate Investment Trust (REIT) (continued)
Health Care REIT, Inc.
4.70%	09/15/17	$	1,000,000	$	1,089,143
Simon Property Group LP
4.20%	02/01/15		400,000		415,217
UDR, Inc. (MTN)
5.25%	01/15/15		1,000,000		1,049,306
Ventas Realty LP/Ventas Capital Corp.
1.55%	09/26/16		1,000,000		1,002,091
4.00%	04/30/19		1,200,000		1,263,280
WEA Finance LLC
7.12%	04/15/18³		775,000		923,510


					9,991,377

Transportation — 1.21%
American Airlines Pass-Through Trust,
Series 2013-2, Class A
4.95%	01/15/23³		1,050,000		1,056,563
Continental Airlines Pass-Through Trust,
Series 1997, Class 4A
6.90%	01/02/18		59,343		63,163
Continental Airlines Pass-Through Trust,
Series 1999, Class C2
7.26%	03/15/20		334,857		371,692
Continental Airlines Pass-Through Trust,
Series 2007, Class 1A
5.98%	04/19/22		327,213		349,300
JetBlue Airways Pass-Through Trust,
Series 2004, Class G1
0.64%	08/15/16²		11,504		11,030
JetBlue Airways Pass-Through Trust,
Series 2004, Class G2
0.71%	11/15/16²		1,161,000		1,049,979
Northwest Airlines Pass-Through Trust,
Series 2001-1, Class A-1
7.04%	04/01/22		184,141		208,079
UAL Pass-Through Trust, Series 2009-2A
9.75%	01/15/17		263,550		301,931
US Airways Pass-Through Trust,
Series 2012, Class 2A
4.62%	06/03/25		500,000		484,687
US Airways Pass-Through Trust,
Series 2012-1, Class A
5.90%	10/01/24		798,559		837,988


					4,734,412

Total Corporates
(Cost $76,223,526)					80,072,342


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED — 47.79%**
Commercial Mortgage-Backed — 5.75%
Banc of America Merrill Lynch Commercial
Mortgage, Inc., Series 2005-2, Class A5
4.86%	07/10/43²	$	950,000	$	996,726
Bayview Commercial Asset Trust,
Series 2008-4, Class A2
2.68%	07/25/38^2,3		679,822		680,619
Bear Stearns Commercial Mortgage
Securities Trust, Series 2005-T20,
Class A4A
5.29%	10/12/42²		1,140,000		1,219,069
Bear Stearns Commercial Mortgage
Securities Trust, Series 2006-T22,
Class A4
5.76%	04/12/38²		1,100,000		1,198,182
Credit Suisse First Boston Commercial
Mortgage Trust, Series 2006-C1, Class AAB
5.57%	02/15/39²		756,644		775,544
Credit Suisse Mortgage Capital Certificates,
Series 2006-C1, Class A3
5.57%	02/15/39²		1,103,811		1,123,099
DBRR Trust, Series 2011-LC2, Class A4A
4.54%	04/12/21³		516,997		554,292
GE Business Loan Trust, Series 2003-2A,
Class A
0.55%	11/15/31^2,3		790,075		759,701
GE Business Loan Trust, Series 2005-2A,
Class B
0.68%	11/15/33^2,3		420,533		363,460
GS Mortgage Securities Corp. II,
Series 2011-GC5, Class A4
3.71%	08/10/44²		1,715,000		1,766,703
JPMorgan Chase Commercial Mortgage
Securities Corp., Series 2006-CB15,
Class ASB
5.79%	06/12/43²		1,414,748		1,478,519
JPMorgan Chase Commercial Mortgage
Securities Corp., Series 2007-LD12,
Class ASB
5.83%	02/15/51²		1,294,898		1,399,416
Merrill Lynch Mortgage Investors, Inc.,
Series 2004-KEY2, Class A4
4.86%	08/12/39²		1,195,666		1,225,641
Merrill Lynch Mortgage Investors, Inc.,
Series 2005-LC1, Class A4
5.29%	01/12/44²		1,131,665		1,218,371
Morgan Stanley Capital I Trust,
Series 2001-C3, Class A2
3.22%	08/15/49		285,000		298,492
Morgan Stanley Capital I Trust,
Series 2005-T19, Class A4A
4.89%	06/12/47		1,040,000		1,099,594
Morgan Stanley Capital I Trust,
Series 2011-C3, Class A4
4.12%	08/15/49		165,000		173,826


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed (continued)
Morgan Stanley Capital I Trust,
Series 2012-C4, Class A4
3.24%	03/15/45	$	1,445,000	$	1,431,646
Spirit Master Funding LLC, Series 2005-1,
Class A1
5.05%	07/20/23³		617,425		623,599
Wachovia Bank Commercial Mortgage Trust,
Series 2005-C20, Class A7
5.12%	07/15/42²		940,000		996,429
WF-RBS Commercial Mortgage Trust,
Series 2011-C5, Class A4
3.67%	11/15/44		1,405,000		1,433,968
WF-RBS Commercial Mortgage Trust,
Series 2012-C7, Class A2
3.43%	06/15/45		1,605,000		1,597,532


					22,414,428

Non-Agency Mortgage-Backed — 14.33%
Ameriquest Mortgage Securities, Inc.,
Series 2005-R5, Class M1
0.61%	07/25/35²		1,645,065		1,621,759
Ameriquest Mortgage Securities, Inc.,
Series 2005-R6, Class A2
0.38%	08/25/35²		303,822		298,935
Asset Backed Securities Corp. Home Equity
Loan Trust, Series 2004-HE9, Class M1
1.15%	12/25/34²		941,685		827,374
Asset-Backed Securities Corp. Home Equity
Loan Trust, Series 2005-HE4, Class M2
0.63%	05/25/35²		1,310,281		1,308,645
Banc of America Funding Corp.,
Series 2003-2, Class 1A1
6.50%	06/25/32		4,718		5,005
Banc of America Funding Corp.,
Series 2006-G, Class 2A3
0.35%	07/20/36²		475,787		473,047
Bear Stearns Asset-Backed Securities Trust,
Series 2002-1, Class 1A5 (STEP)
6.89%	12/25/34		6,137		6,640
Bear Stearns Asset-Backed Securities Trust,
Series 2005-HE12, Class 1A3
0.57%	12/25/35²		800,000		784,438
Bear Stearns Asset-Backed Securities Trust,
Series 2005-HE9, Class M1
0.69%	10/25/35²		1,368,643		1,350,621
CC Mortgage Funding Corp., Series 2004-1A,
Class A1
0.46%	01/25/35^2,3		259,806		232,660
CC Mortgage Funding Corp., Series 2005-2A,
Class A1
0.36%	05/25/36^2,3		235,325		189,048


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Centex Home Equity, Series 2005-D,
Class M1
0.61%	10/25/35²	$	1,710,000	$	1,645,666
Chase Funding Mortgage Loan Asset-Backed
Certificates, Series 2004-2, Class 1A4
5.32%	02/25/35		6,973		7,073
Citigroup Mortgage Loan Trust, Inc.,
Series 2004-HYB1, Class A41
3.08%	02/25/34²		25,450		24,836
Citigroup Mortgage Loan Trust, Inc.,
Series 2007-WFH2, Class A3
0.36%	03/25/37²		1,526,500		1,439,463
Conseco Finance Securitizations Corp.,
Series 2000-E, Class M1
8.13%	08/15/31²		28,471		28,670
Conseco Finance Securitizations Corp.,
Series 2001-4, Class A4
7.36%	09/01/33		536,980		576,373
Conseco Finance, Series 2001-D,
Class A5
6.69%	11/15/32²		30,730		30,907
Conseco Finance, Series 2002-A,
Class A5 (STEP)
7.55%	04/15/32		107,587		111,213
Conseco Finance, Series 2002-C,
Class BF2
8.00%	06/15/32^2,3		257,029		284,063
Conseco Financial Corp., Series 1996-7,
Class M1
7.70%	10/15/27²		917,850		994,505
Conseco Financial Corp., Series 1997-3,
Class A7
7.64%	03/15/28²		310,096		339,888
Conseco Financial Corp., Series 1998-6,
Class A8
6.66%	06/01/30		949,696		1,026,473
Countryplace Manufactured Housing Contract
Trust, Series 2007-1, Class A4
5.85%	07/15/37^2,3		700,000		706,197
Countrywide Alternative Loan Trust,
Series 2005-27, Class 3A2
1.25%	08/25/35²		25,609		18,620
Countrywide Asset-Backed Certificates,
Series 2005-1, Class MV2
0.62%	07/25/35²		966,999		968,510
Countrywide Home Loan Mortgage
Pass-Through Trust, Series 2004-14,
Class 4A1
4.95%	08/25/34²		280,419		283,313
Credit-Based Asset Servicing and
Securitization LLC, Series 2003-CB3,
Class AF1 (STEP)
3.38%	12/25/32		1,462,825		1,416,765


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Credit-Based Asset Servicing and
Securitization LLC, Series 2006-CB2,
Class AF4 (STEP)
3.97%	12/25/36	$	1,162,101	$	916,228
Credit-Based Asset Servicing and
Securitization LLC, Series 2006-CB6,
Class A23
0.33%	07/25/36²		1,282,186		1,036,319
Credit-Based Asset Servicing and
Securitization LLC, Series 2007-CB5,
Class A1 (STEP)
0.24%	04/25/37²		235,695		143,603
Credit-Based Asset Servicing and
Securitization, LLC, Series 2007-CB5,
Class A3
0.43%	04/25/37²		2,800,668		1,753,089
DBRR Trust, Series 2012-EZ1, Class A
0.95%	09/25/45³		1,296,038		1,295,446
DBRR Trust, Series 2013-EZ2, Class A
0.85%	02/25/43^2,3		913,300		914,730
Equifirst Mortgage Loan Trust, Series 2005-1,
Class M1
0.60%	04/25/35²		1,379,675		1,378,266
First Horizon Alternative Mortgage Securities
Trust, Series 2004-AA3, Class A1
2.20%	09/25/34²		743,871		738,301
Green Tree Financial Corp., Series 1998-4,
Class A5
6.18%	04/01/30		487,381		506,101
Green Tree Home Improvement Loan Trust,
Series 1997-E, Class HEB1
7.53%	01/15/29		26,337		26,356
Green Tree, Series 2008-MH1, Class A2
8.97%	04/25/38^2,3		661,293		737,755
Green Tree, Series 2008-MH1, Class A3
8.97%	04/25/38^2,3		959,479		1,058,922
Greenpoint Manufactured Housing,
Series 1999-5, Class A5
7.82%	12/15/29²		611,520		637,510
Home Equity Loan Trust, Series 2006-2,
Class A1
0.33%	03/20/36²		1,266,202		1,244,257
Home Equity Loan Trust, Series 2006-4,
Class A3V
0.33%	03/20/36²		454,156		449,077
Home Equity Loan Trust, Series 2007-3,
Class APT
1.38%	11/20/36²		685,292		683,816
Indymac Index Mortgage Loan Trust,
Series 2004-AR6, Class 6A1
2.76%	10/25/34²		100,127		99,166


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Indymac Index Mortgage Loan Trust,
Series 2004-AR8, Class 2A2A
0.98%	11/25/34²	$	42,391	$	35,959
Indymac Index Mortgage Loan Trust,
Series 2007-AR11, Class 1A1
2.47%	06/25/37²		1,690,260		1,116,630
Indymac Manufactured Housing Contract,
Series 1997-1, Class A3
6.61%	02/25/28		382,090		379,731
Indymac Manufactured Housing Contract,
Series 1997-1, Class A4
6.75%	02/25/28		101,716		101,088
Indymac Manufactured Housing Contract,
Series 1998-1, Class A4
6.49%	09/25/28		237,446		247,711
JPMorgan Mortgage Trust, Series 2007-A3,
Class 3A2
5.06%	05/25/37²		670,938		575,582
Lehman ABS Manufactured Housing Contract
Trust, Series 2001-B, Class A4
5.27%	04/15/40		336,050		356,162
Lehman ABS Manufactured Housing Contract
Trust, Series 2001-B, Class A5
5.87%	04/15/40		193,092		209,032
Lehman ABS Manufactured Housing Contract
Trust, Series 2001-B, Class A6
6.47%	04/15/40²		608,522		661,909
MASTR Adjustable Rate Mortgages Trust,
Series 2003-6, Class 4A2
4.65%	01/25/34²		427,342		423,211
MASTR Adjustable Rate Mortgages Trust,
Series 2004-1, Class 2A1
2.75%	01/25/34²		735		708
MASTR Asset Securitization Trust,
Series 2002-8, Class 1A1
5.50%	12/25/17		2,372		2,449
MASTR Asset-Backed Securities Trust,
Series 2006-AB1, Class A2
0.41%	02/25/36²		1,670,226		1,619,749
MASTR Seasoned Securities Trust,
Series 2004-1, Class 4A1
2.71%	10/25/32²		2,732		2,767
MASTR Seasoned Securities Trust,
Series 2005-1, Class 4A1
2.43%	10/25/32²		28,009		28,073
Merrill Lynch First Franklin Mortgage Loan
Trust, Series 2007-3, Class A2C
0.36%	06/25/37²		811,700		470,459
Merrill Lynch First Franklin Mortgage Loan
Trust, Series 2007-3, Class A2D
0.43%	06/25/37²		1,500,000		878,315
Mid-State Trust, Series 11, Class A1
4.86%	07/15/38		1,144,436		1,231,088


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Mid-State Trust, Series 2004-1, Class A
6.00%	08/15/37	$	569,650	$	601,868
Mid-State Trust, Series 2004-1, Class B
8.90%	08/15/37		836,549		1,043,526
Mid-State Trust, Series 2004-1, Class M1
6.50%	08/15/37		597,535		696,015
Mid-State Trust, Series 2005-1, Class M2
7.08%	01/15/40		893,282		965,212
Morgan Stanley ABS Capital I,
Series 2004-NC7, Class M2
1.11%	07/25/34²		2,000,000		1,874,828
Morgan Stanley ABS Capital I,
Series 2005-HE3, Class M3
0.71%	07/25/35²		1,903,000		1,746,370
Oakwood Mortgage Investors, Inc.,
Series 1998-B, Class A4
6.35%	03/15/17		4,640		4,672
Origen Manufactured Housing,
Series 2004-A, Class M2
6.64%	01/15/35²		486,486		538,377
Park Place Securities, Inc.,
Series 2004-WCW1, Class M2
0.86%	09/25/34²		867,397		857,111
Park Place Securities, Inc.,
Series 2004-WWF1, Class M2
1.20%	12/25/34²		1,542,883		1,519,510
Residential Asset Mortgage Products, Inc.,
Series 2002-RS4, Class AI5 (STEP)
6.16%	08/25/32		2,220		1,615
Residential Asset Mortgage Products, Inc.,
Series 2003-RS1, Class AI5 (STEP)
5.69%	03/25/33		15,836		15,043
Residential Asset Mortgage Products, Inc.,
Series 2003-SL1, Class A41
8.00%	04/25/31		43,716		47,994
Residential Asset Securities Corp.,
Series 2004-IP2, Class 2A1
2.62%	12/25/34²		77,045		77,355
Residential Asset Securities Corp.,
Series 2005-EMX4 Class A3
0.52%	11/25/35²		703,999		703,931
Residential Funding Mortgage Securities II,
Inc., Series 2001-HI3, Class AI7 (STEP)
7.56%	07/25/26		302,160		306,855
Residential Funding Mortgage Securities II,
Inc., Series 2003-HS2, Class AI4 (STEP)
3.87%	07/25/33		8,915		8,894
SG Mortgage Securities Trust,
Series 2006-FRE1, Class A1B
0.45%	02/25/36²		59,697		44,414


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Soundview Home Equity Loan Trust,
Series 2006-WF2, Class A2C
0.32%	12/25/36²	$	1,051,781	$	1,019,241
Structured Asset Mortgage Investments, Inc.,
Series 2005-AR8, Class A2
1.65%	02/25/36²		1,132,223		921,650
Structured Asset Mortgage Investments, Inc.,
Series 2006-AR3, Class 22A1
2.11%	05/25/36²		3,552,988		2,343,721
UCFC Home Equity Loan, Series 1998-D,
Class BF1
8.96%	04/15/30²		3,657		1,727
UCFC Home Equity Loan, Series 1998-D,
Class MF1
6.90%	04/15/30		104,146		105,167
Vanderbilt Mortgage Finance, Series 2001-A,
Class M1
7.74%	04/07/31²		513,860		526,377
WaMu Mortgage Pass-Through Certificates,
Series 2002-AR18, Class A
2.50%	01/25/33²		16,943		17,060
Washington Mutual Alternative Mortgage
Pass-Through Certificates, Series 2007-OA2,
Class 2A
0.86%	01/25/47²		1,551,535		969,556


					55,918,361

U.S. Agency Mortgage-Backed — 27.71%
Fannie Mae Pool (TBA)
2.50%	10/25/27		1,260,000		1,267,481
3.00%	10/25/26		12,640,000		13,090,300
3.50%	10/25/42		12,345,000		12,574,540
4.00%	10/25/41		14,995,000		15,733,034
Fannie Mae Pool 253974
7.00%	08/01/31		12,460		14,053
Fannie Mae Pool 254232
6.50%	03/01/22		17,509		19,378
Fannie Mae Pool 527247
7.00%	09/01/26		85		96
Fannie Mae Pool 545191
7.00%	09/01/31		5,948		6,730
Fannie Mae Pool 545646
7.00%	09/01/26		62		70
Fannie Mae Pool 549740
6.50%	10/01/27		20,047		22,228
Fannie Mae Pool 555284
7.50%	10/01/17		409		441
Fannie Mae Pool 606108
7.00%	03/01/31		981		1,026
Fannie Mae Pool 630599
7.00%	05/01/32		12,159		14,152


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool 655928
7.00%	08/01/32	$	7,349	$	8,500
Fannie Mae Pool 735207
7.00%	04/01/34		4,763		5,405
Fannie Mae Pool 735646
4.50%	07/01/20		8,052		8,574
Fannie Mae Pool 735686
6.50%	12/01/22		78,742		87,129
Fannie Mae Pool 735861
6.50%	09/01/33		182,047		207,239
Fannie Mae Pool 764388
5.03%	03/01/34²		44,835		47,749
Fannie Mae Pool 776708
5.00%	05/01/34		331,181		364,448
Fannie Mae Pool 817611
5.29%	11/01/35²		58,207		62,696
Fannie Mae Pool 844773
5.21%	12/01/35²		5,188		5,589
Fannie Mae Pool 889125
5.00%	12/01/21		409,437		436,527
Fannie Mae Pool 889184
5.50%	09/01/36		395,054		432,420
Fannie Mae Pool 890221
5.50%	12/01/33		595,493		652,741
Fannie Mae Pool 895606
5.78%	06/01/36²		123,438		134,239
Fannie Mae Pool 918445
5.96%	05/01/37²		10,637		11,409
Fannie Mae Pool 939419
5.78%	05/01/37²		210,607		227,406
Fannie Mae Pool AB3685
4.00%	10/01/41		2,394,903		2,521,275
Fannie Mae Pool AD0791
4.76%	02/01/20		967,242		1,091,786
Fannie Mae Pool AE0134
4.40%	02/01/20		1,350,000		1,494,144
Fannie Mae Pool AE0600
3.98%	11/01/20		1,016,605		1,100,053
Fannie Mae Pool AE0605
4.67%	07/01/20		973,494		1,091,379
Fannie Mae Pool AH3428
3.50%	01/01/26		2,324,180		2,464,631
Fannie Mae Pool AJ0764
4.50%	09/01/41		893,685		955,301
Fannie Mae Pool AL0209
4.50%	05/01/41		925,154		1,003,287
Fannie Mae Pool AL2602
2.65%	10/01/22		1,476,221		1,489,332


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool FN0005
3.38%	11/01/20	$	1,420,248	$	1,475,159
Fannie Mae Pool FN0007
3.46%	11/01/20		1,390,000		1,450,299
Fannie Mae Pool MA1278
2.50%	12/01/22		2,641,297		2,723,219
Fannie Mae Pool MA1527
3.00%	07/01/33		3,453,309		3,460,324
Fannie Mae Pool MA1561
3.00%	09/01/33		3,471,619		3,478,670
Fannie Mae Whole Loan, Series 2003-W6,
Class 5T (IO)
0.55%	09/25/42²		24,662,157		274,080
Fannie Mae, Series 1989-25, Class G
6.00%	06/25/19		2,270		2,462
Fannie Mae, Series 1992-116, Class B
6.50%	06/25/22		246		263
Fannie Mae, Series 1993-225, Class SG
26.77%	12/25/13²		2,667		2,744
Fannie Mae, Series 1993-80, Class S
10.65%	05/25/23²		12,687		14,169
Fannie Mae, Series 2001-52, Class YZ
6.50%	10/25/31		265,950		299,680
Fannie Mae, Series 2007-64, Class FA
0.65%	07/25/37²		401,250		404,019
Fannie Mae, Series 2008-50, Class SA (IO)
5.87%	11/25/36²		4,292,278		601,831
Fannie Mae, Series 2009-M1, Class A2
4.29%	07/25/19		101,000		110,531
Fannie Mae, Series 2012-M12, Class 1A
2.94%	08/25/22²		2,070,358		2,044,121
Fannie Mae, Series 2012-M15, Class A
2.74%	10/25/22²		1,624,721		1,579,931
Freddie Mac Gold Pool A25162
5.50%	05/01/34		515,917		562,390
Freddie Mac Gold Pool A33262
5.50%	02/01/35		97,095		108,430
Freddie Mac Gold Pool A68781
5.50%	10/01/37		23,271		25,244
Freddie Mac Gold Pool A94843
4.00%	11/01/40		1,898,043		1,993,093
Freddie Mac Gold Pool C03813
3.50%	04/01/42		1,912,133		1,943,355
Freddie Mac Gold Pool C90504
6.50%	12/01/21		2,059		2,281
Freddie Mac Gold Pool E01279
5.50%	01/01/18		2,367		2,512
Freddie Mac Gold Pool E90474
6.00%	07/01/17		4,363		4,620


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Gold Pool G01548
7.50%	07/01/32	$	637,629	$	779,692
Freddie Mac Gold Pool G01601
4.00%	09/01/33		10,758		11,326
Freddie Mac Gold Pool G01611
4.00%	09/01/33		4,378		4,608
Freddie Mac Gold Pool G01644
5.50%	02/01/34		321,996		352,068
Freddie Mac Gold Pool G02366
6.50%	10/01/36		289,205		321,881
Freddie Mac Gold Pool G06499
4.00%	03/01/41		1,349,875		1,416,143
Freddie Mac Gold Pool G11707
6.00%	03/01/20		4,622		4,992
Freddie Mac Gold Pool G12393
5.50%	10/01/21		338,567		363,933
Freddie Mac Gold Pool G12909
6.00%	11/01/22		438,374		486,167
Freddie Mac Gold Pool G13032
6.00%	09/01/22		288,030		318,215
Freddie Mac Gold Pool J06246
5.50%	10/01/21		151,540		162,537
Freddie Mac Gold Pool J13884
3.50%	12/01/25		1,725,530		1,819,162
Freddie Mac Gold Pool Q05261
3.50%	12/01/41		1,276,336		1,299,170
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series K004,
Class A2
4.19%	08/25/19		930,000		1,018,796
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series K017,
Class A2
2.87%	12/25/21		2,040,000		2,017,533
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series K018,
Class A2
2.79%	01/25/22		2,085,000		2,046,564
Freddie Mac Pool Q20178
3.50%	07/01/43		1,698,770		1,729,855
Freddie Mac REMICS, Series 3460,
Class SA (IO)
6.02%	06/15/38²		4,433,234		615,323
Freddie Mac REMICS, Series 4030,
Class HS (IO)
6.43%	04/15/42²		4,083,958		636,133
Freddie Mac, Series 1602, Class SN
10.09%	10/15/23²		14,590		18,195
Freddie Mac, Series 1688, Class W
7.25%	03/15/14		194		195


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	$	105,318	$	116,342
Freddie Mac, Series 2929, Class PE
5.00%	05/15/33		7,360		7,407
Freddie Mac, Series K020, Class A2
2.37%	05/25/40		1,555,000		1,468,701
Ginnie Mae I Pool 782810
4.50%	11/15/39		2,104,332		2,289,858
Ginnie Mae II (TBA)
3.00%	10/20/42		2,430,000		2,402,283
Ginnie Mae II Pool 80968
1.75%	07/20/34²		56,083		58,229
Ginnie Mae, Series 2004-8, Class SE
13.93%	11/26/23²		90,439		104,577
Ginnie Mae, Series 2010-156, Class AC
2.76%	03/16/39		1,000,000		1,022,159
NCUA Guaranteed Notes, Series 2010-R2,
Class 1A
0.55%	11/06/17²		1,191,661		1,196,880
NCUA Guaranteed Notes, Series 2010-R2,
Class 2A
0.65%	11/05/20²		908,553		914,711
NCUA Guaranteed Notes, Series 2011-C1,
Class 2A
0.71%	03/09/21²		919,153		925,377
NCUA Guaranteed Notes, Series 2011-R2,
Class 1A
0.58%	02/06/20²		982,314		987,840


					108,127,067

Total Mortgage-Backed
(Cost $178,601,751)					186,459,856

MUNICIPAL BONDS — 1.34%*
California — 0.53%
State of California, Build America Bonds
5.70%	11/01/21		700,000		798,539
State of California, Taxable, Various Purpose
6.20%	10/01/19		866,000		1,019,602
State of California, Taxable, Various Purpose,
Series 3
5.95%	04/01/16		225,000		252,085


					2,070,226

Illinois — 0.58%
State of Illinois, Build America Bonds
6.20%	07/01/21		600,000		650,760
State of Illinois, Taxable Bonds
4.95%	06/01/23		210,000		208,627
5.67%	03/01/18		525,000		573,085


Issues	Maturity Date	Principal Amount		Value
MUNICIPAL BONDS (continued)
Illinois (continued)
State of Illinois, Taxable-Pension
4.35%	06/01/18	$	800,000	$	830,256


					2,262,728

Texas — 0.23%
City of Houston Texas, Taxable Pension
Obligation, Series A
6.29%	03/01/32		800,000		903,224

Total Municipal Bonds
(Cost $5,111,726)					5,236,178

U.S. AGENCY SECURITIES — 2.54%
U.S. Agency Securities — 2.54%
Fannie Mae
0.65%	03/28/16		1,610,000		1,608,764
Federal Farm Credit Bank
0.14%	09/19/14²		1,960,000		1,961,375
Federal Home Loan Bank
0.55%	06/03/16		1,720,000		1,713,184
Federal Home Loan Bank (STEP)
0.75%	05/26/28		1,610,000		1,545,304
Freddie Mac
0.50%	09/14/15		3,065,000		3,064,132


Total U.S. Agency Securities
(Cost $9,962,641)					9,892,759


U.S. TREASURY SECURITIES — 14.49%
U.S. Treasury Bonds — 0.36%
U.S. Treasury Bonds (Strip Principal)
0.00%	11/15/27⁶		2,285,000		1,427,222

U.S. Treasury Notes — 14.13%
U.S. Treasury Notes
0.25%	05/15/15		8,340,000		8,340,000
0.25%	08/15/15		3,095,000		3,092,097
1.38%	06/30/18		3,050,000		3,057,975
1.38%	09/30/18		7,900,000		7,894,754
U.S. Treasury Notes - Treasury Inflation
Indexed Notes
0.13%	04/15/17⁷		6,380,000		6,770,403
0.13%	04/15/18⁷		1,195,000		1,244,726
0.50%	04/15/15⁷		8,455,000		9,316,838
1.25%	04/15/14⁷		3,815,000		4,247,853
1.63%	01/15/15⁷		1,130,000		1,429,582
2.00%	07/15/14⁷		7,650,000		9,724,595


Total U.S. Treasury Securities
(Cost $57,470,761)					56,546,045


				Value
Total Bonds – 93.97%
(Cost $355,210,957)				$	366,671,408


Issues	Maturity Date	Principal Amount/ Shares		Value
SHORT-TERM INVESTMENTS — 18.15%
Commercial Paper — 1.63%
Macquarie Bank Ltd. (Australia)
0.32%⁸	10/24/13^3,4	$	3,090,000		3,089,579
RBS Holdings USA, Inc.
0.36%⁸	01/22/14		3,255,000		3,252,506


					6,342,085

Money Market Funds — 1.62%
Dreyfus Cash Advantage Fund
0.06%⁹			3,907,000		3,907,000
DWS Money Market Series
Institutional Funds
0.05%⁹			2,424,000		2,424,000


					6,331,000

U.S. Agency Discount Notes — 14.88%
Fannie Mae
0.06%⁸	02/12/14		14,980,000		14,978,891
Federal Home Loan Bank
0.07%⁸	10/04/13		10,090,000		10,089,983
0.08%⁸	02/21/14		5,800,000		5,799,542
0.09%⁸	02/21/14		3,650,000		3,649,712
Freddie Mac
0.06%⁸	10/15/13		13,000,000		12,999,900
0.08%⁸	02/24/14		8,485,000		8,484,313
0.09%⁸	11/08/13		2,060,000		2,059,978


					58,062,319

U.S. Treasury Bills — 0.02%
U.S. Treasury Bills
0.04%⁸	12/05/13¹⁰		20,000		20,000
0.05%⁸	12/05/13¹⁰		10,000		10,000
0.07%⁸	12/05/13¹⁰		50,000		50,000


					80,000

Total Short-Term Investments
(Cost $70,806,809)					70,815,404


	Value
Total Investments – 112.12%
(Cost $426,017,766)¹	$	437,486,812


Liabilities in Excess of Other
Assets – (12.12)%		(47,295,928	)


Net Assets – 100.00%	$	390,190,884


Contracts		Unrealized (Depreciation)
FUTURES CONTRACTS: SHORT POSITIONS
30	U.S. Treasury Ten Year Note,
	Expiration December 2013		$(61,810)


	Net unrealized (depreciation)		$(61,810)


Expiration Date	Premiums Paid/ (Received)	Notional Amount (000’s)	Appreciation	Value
SWAPS: INTEREST RATE
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			$	80,903			$	80,903


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		74,110		74,110


	$–	$	1,445	$	155,013	$	155,013

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	$	12,257	$	(1,428	)


	$	(13,685	)	$	1,190	$	12,257	$	(1,428	)

^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 $426,061,447 and net unrealized appreciation/(depreciation) consists of:


Gross unrealized appreciation	$14,066,682
Gross unrealized depreciation	(2,641,317	)

Net unrealized appreciation	$11,425,365

²	Floating rate security. The rate disclosed was in effect at September 30, 2013.

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, 2013, was $46,498,296, representing 11.92% 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
10/22/07	HCA, Inc., Term Loan B4,
	2.93%, 05/01/18	$	455,133	$	454,767		0.12	%

⁶	Zero coupon bond. The rate shown is the effective yield as of September 30, 2013.

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, 2013.

¹⁰	Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $79,999.

^†

Fair valued security. The aggregate value of fair valued securities is $2,635,436, which is 0.68% 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

(LIBOR): London InterBank Offer Rate

(MTN): Medium-term note

(STEP): Step coupon bond

(TBA): To be announced

(USD): U.S. dollar

(WI): When issued


Issues	Maturity Date	Principal Amount		Value
BONDS – 109.85%
ASSET-BACKED SECURITIES — 6.40%**
Academic Loan Funding Trust,
Series 2012-1A, Class A2
1.28%	12/27/44^2,3	$	14,950,000	$	14,998,141
Access Group, Inc., Series 2001, Class 2A1
0.62%	05/25/29²		3,556,203		3,201,198
Access Group, Inc., Series 2004-1, Class A2
0.46%	09/26/33²		77,500		75,733
Aircastle Aircraft Lease Backed Trust,
Series 2007-1A, Class G1
0.49%	06/14/37^2,3		39,885,235		36,040,298
Ally Auto Receivables Trust, Series 2012-1,
Class A3
0.93%	02/16/16		804,071		805,352
American Money Management Corp.,
Series 2013-12A, Class D1 (Cayman Islands)
4.02%	05/10/25^2,3,4		1,650,000		1,604,384
AMURF, Series 2012, Class B
11.00%	12/17/17^2,5,†		14,524,223		14,524,368
ARES CLO Ltd., Series 2012-3A, Class E
6.02%	01/17/24^2,3		500,000		481,643
ARES CLO Ltd., Series 2013-1A, Class D
(Cayman Islands)
4.04%	04/15/25^2,3,4		1,450,000		1,394,004
ARES CLO Ltd., Series 2013-1A, Class E
(Cayman Islands)
5.29%	04/15/25^2,3,4		475,000		423,299
Arizona Educational Loan Marketing Corp.,
Series 2004-A, Class B2
0.26%	12/01/38		8,800,000		8,800,000
Avalon IV Capital Ltd., Series 2012-1A,
Class C (Cayman Islands)
3.87%	04/17/23^2,3,4		11,145,000		11,201,617
Axis Equipment Finance Receivables LLC,
Series 2012-1I, Class D
5.50%	11/20/15^†		2,255,000		2,176,758
Axis Equipment Finance Receivables LLC,
Series 2012-1I, Class E1
6.25%	04/20/16^†		2,669,000		2,402,908
Axis Equipment Finance Receivables LLC,
Series 2012-1I, Class E2
7.00%	03/20/17^†		5,240,000		4,455,586
Babcock & Brown Air Funding I Ltd.,
Series 2007-1A, Class G1 (Bermuda)
0.48%	11/14/33^2,3,4		41,529,518		35,300,090
Babson CLO Ltd., Series 2005-3A, Class C
0.96%	11/10/19^2,3		1,700,000		1,657,054
Babson CLO Ltd., Series 2013-IA, Class C
2.91%	04/20/25^2,3		2,300,000		2,243,834
Babson CLO Ltd., Series 2013-IA, Class E
4.61%	04/20/25^2,3		1,750,000		1,593,930
Ballyrock Ltd., Series 2005-3A, Class C
1.00%	07/25/17^2,3		4,757,197		4,723,574


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Ballyrock Ltd., Series 2005-3X, Class D
2.13%		07/25/17	⁵	$	7,260,530	$	7,124,433
Bayview Commercial Asset Trust,
Series 2004-3, Class A1
0.55%		01/25/35	^2,3		4,577,091		4,175,391
Bayview Commercial Asset Trust,
Series 2005-1A, Class A1
0.48%		04/25/35	^2,3		4,585,761		3,913,236
Bayview Commercial Asset Trust,
Series 2005-2A, Class A1
0.49%		08/25/35	^2,3		28,991,758		23,867,377
Bayview Commercial Asset Trust,
Series 2006-4A, Class A1
0.41%		12/25/36	^2,3		259,231		210,849
Bayview Commercial Asset Trust,
Series 2007-1, Class A1
0.40%		03/25/37	^2,3		10,886,867		8,702,014
Bayview Commercial Asset Trust,
Series 2007-2A, Class A1
0.45%		07/25/37	^2,3		16,873,455		13,290,350
Bayview Commercial Asset Trust,
Series 2007-3, Class A1
0.42%		07/25/37	^2,3		2,636,739		2,146,949
Beacon Container Finance LLC,
Series 2012-1A, Class A
3.72%		09/20/27	³		15,546,164		15,769,806
BlueMountain CLO Ltd., Series 2012-2A,
Class A1 (Cayman Islands)
1.68%		11/20/24	^2,3,4		50,000,000		50,100,800
Brazos Higher Education Authority, Inc.,
Series 2003 I, Class A3
0.38%		09/26/22	²		50,000		49,462
Brazos Higher Education Authority, Inc.,
Series 2005-1, Class 1A4
0.42%		03/26/29	²		10,000,000		9,571,600
Brazos Higher Education Authority, Inc.,
Series 2010-1, Class A2
1.46%		02/25/35	²		12,790,000		12,746,466
Brazos Higher Education Authority, Inc.,
Series 2011-1, Class A2
1.06%		02/25/30	²		60,000		60,500
Brazos Higher Education Authority, Inc.,
Series 2011-1, Class A3
1.31%		11/25/33	²		16,050,000		16,339,058
Brazos Higher Education Authority, Inc.,
Series 2011-2, Class A2
1.12%		07/25/29	²		4,100,000		4,158,700
Brazos Higher Education Authority, Inc.,
Series 2011-2, Class A3
1.27%		10/27/36	²		24,490,000		24,136,546
Brazos Higher Education Authority, Inc.,
Series 2012-1, Class A1
0.88%		12/26/35	²		55,722		54,946


Issues	Maturity Date	Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
CAL Funding II Ltd., Series 2012-1A,
Class A (Bermuda)
3.47%	10/25/27^3,4	$	227,083	$	226,333
Cent CLO LP, Series 2013-17A, Class D
(Cayman Islands)
6.29%	01/30/25^2,3,4		805,000		784,655
CIFC Funding Ltd., Series 2012-2A,
Class A1L (Cayman Islands)
1.66%	12/05/24^2,3,4		54,900,000		55,005,847
CIT Education Loan Trust, Series 2007-1,
Class A
0.34%	03/25/42^2,3		20,281,721		18,593,169
CIT Education Loan Trust, Series 2007-1,
Class B
0.55%	06/25/42^2,3		28,104,292		25,435,811
College Loan Corp. Trust, Series 2005-2,
Class B
0.76%	01/15/37²		6,132,288		5,267,583
Columbus Nova CLO Ltd., Series 2007-2A,
Class D
4.77%	10/15/21^2,3		375,000		375,131
Cronos Containers Program Ltd.,
Series 2012-1A, Class A (Bermuda)
4.21%	05/18/27^3,4		20,150,000		20,450,880
Cronos Containers Program Ltd.,
Series 2012-2A, Class A (Bermuda)
3.81%	09/18/27^3,4		2,947,500		2,996,891
Doral CLO 1 Ltd., Series 2012-2A, Class B
(Cayman Islands)
2.76%	05/26/23^2,3,4		11,500,000		10,871,468
Dryden XXIII Senior Loan Fund,
Series 2012-23A, Class D (Cayman Islands)
6.27%	07/17/23^2,3,4		350,000		349,853
Dryden XXV Senior Loan Fund,
Series 2012-25A, Class A (Cayman Islands)
1.65%	01/15/25^2,3,4		24,100,000		24,148,200
Educational Funding of the South, Inc.,
Series 2011-1, Class A2
0.92%	04/25/35²		80,000		79,638
Educational Funding of the South, Inc.,
Series 2012-1, Class A
1.23%	03/25/36²		36,313,089		36,344,574
FM Leveraged Capital Fund II,
Series 2006-2A, Class C (Cayman Islands)
1.11%	11/15/20^2,3,4		2,666,212		2,665,683
FM Leveraged Capital Fund, Series 2006-2X,
Class E
4.01%	11/15/20⁵		4,600,000		4,608,721
Galaxy CLO Ltd., Series 2011-11A, Class E
5.26%	08/20/22^2,3		1,250,000		1,245,965
GCO Education Loan Funding Trust,
Series 2006-1, Class A11L
0.49%	05/25/36²		25,000,000		21,705,440


Issues	Maturity Date	Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
GE Business Loan Trust, Series 2004-1,
Class A
0.47%	05/15/32^2,3	$	23,590,134	$	22,683,010
GE Business Loan Trust, Series 2004-2A,
Class A
0.40%	12/15/32^2,3		12,357,191		11,653,264
GE Business Loan Trust, Series 2005-1A,
Class A3
0.43%	06/15/33^2,3		13,198,106		12,356,846
GE Business Loan Trust, Series 2005-2A,
Class A
0.42%	11/15/33^2,3		29,307,885		27,005,824
GE Seaco Finance SRL, Series 2004-1A,
Class A (Barbados)
0.48%	04/17/19^2,3,4		2,502,500		2,488,105
GE Seaco Finance SRL, Series 2005-1A,
Class A (Barbados)
0.43%	11/17/20^2,3,4		28,891,417		28,616,396
Goal Capital Funding Trust, Series 2005-2,
Class B
0.79%	11/25/44²		17,038,895		14,724,876
Goal Capital Funding Trust, Series 2006-1,
Class A3
0.38%	11/25/26²		49,563		48,908
Goal Capital Funding Trust, Series 2006-1,
Class B
0.71%	08/25/42²		4,920,547		4,393,186
Goldentree Loan Opportunities V Ltd.,
Series 2007-5A, Class C (Cayman Islands)
2.27%	10/18/21^2,3,4		650,000		659,926
Great Lakes CLO Ltd., Series 2012-1A,
Class B (Cayman Islands)
3.02%	01/15/23^2,3,4		5,000,000		5,059,790
Gulf Stream Compass CLO Ltd.,
Series 2005-2X, Class D
2.46%	01/24/20⁵		500,000		478,490
Halcyon Loan Advisors Funding Ltd.,
Series 2012-2A, Class C (Cayman Islands)
3.10%	12/20/24^2,3,4		8,650,000		8,275,403
Katonah CLO Ltd., Series 2006-9A,
Class B1L (Cayman Islands)
1.67%	01/25/19^2,3,4		350,000		326,120
Katonah VII CLO Ltd., Series 7A, Class C
(Cayman Islands)
1.01%	11/15/17^2,3,4		3,250,000		3,152,822
Latitude CLO Ltd., Series 2005-1X, Class C
2.10%	12/15/17⁵		5,000,000		4,738,551
LCM LP, Series 14A, Class C
(Cayman Islands)
3.02%	07/15/25^2,3,4		800,000		766,031
LCM LP, Series 14A, Class D
(Cayman Islands)
3.78%	07/15/25^2,3,4		750,000		711,235


Issues	Maturity Date	Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
National Collegiate Master Student Loan
Trust I, Series 2002-2, Class AR10
3.68%	11/01/42^2,3	$	37,075,000	$	36,889,625
National Collegiate Student Loan Trust,
Series 2006-3, Class A3
0.33%	10/25/27²		41,754,522		39,723,707
National Collegiate Student Loan Trust,
Series 2006-3, Class A4
0.45%	03/26/29²		6,850,000		5,618,695
National Collegiate Student Loan Trust,
Series 2006-4, Class A2
0.32%	12/27/27²		3,584,374		3,458,718
National Collegiate Student Loan Trust,
Series 2007-1, Class A3
0.42%	07/25/30²		15,000,000		12,135,737
National Collegiate Student Loan Trust,
Series 2007-4, Class A2A3
3.68%	12/26/25²		14,350,000		14,341,103
Navigator CDO Ltd., Series 2006-2A, Class D
(Cayman Islands)
3.75%	09/20/20^2,3,4		459,271		422,455
Nelnet Education Loan Funding, Inc.,
Series 2004-1A, Class B1
0.87%	02/25/36^2,3		10,125,000		7,391,250
Newstar Trust, Series 2012-2A, Class C
4.52%	01/20/23^2,3		5,000,000		5,024,795
North Carolina State Education Authority,
Series 2011-1, Class A3
1.17%	10/25/41²		24,000,000		23,061,360
Northstar Education Finance, Inc.
1.03%	01/29/46²		42,825,000		42,746,187
Oak Hill Credit Partners, Series 2012-7A,
Class A (Cayman Islands)
1.68%	11/20/23^2,3,4		11,950,000		11,981,691
Octagon Investment Partners XI Ltd.,
Series 2007-1X, Class A1B
0.52%	08/25/21⁵		10,000,000		9,724,740
Pam Capital Funding LP, Series 1998-1A,
Class B2 (Cayman Islands)
1.62%	05/01/14^2,3,4,6,†		689,235		137,843
Panhandle-Plains Higher Education Authority,
Inc., Series 2011-1, Class A3
1.22%	10/01/37²		16,950,000		16,880,991
Panthera Aviation, Series 2013-1
10.00%	01/25/22^2,5,†		19,225,000		19,225,188
Panthera Aviation, Series 2013-2
10.00%	03/20/24^2,5,†		34,625,000		34,625,342
Panthera Equipment Finance Axis,
Series 2013-1
8.00%	02/25/22^†		2,642,931		2,642,958
Race Point CLO Ltd., Series 2012-7A,
Class A (Cayman Islands)
1.69%	11/08/24^2,3,4		59,075,000		59,215,835


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Red River CLO Ltd., Series 1A, Class A
(Cayman Islands)
0.54%		07/27/18	^2,3,4	$	16,487,619	$	16,167,826
Scholar Funding Trust, Series 2012-B,
Class A2
1.28%		03/28/46	^2,3		38,825,000		38,750,538
SLC Student Loan Trust, Series 2008-1,
Class A4A
1.85%		12/15/32	²		17,375,000		17,924,484
SLM Student Loan Trust, Series 2003-11,
Class A6
0.54%		12/15/25	^2,3		14,605,000		14,460,540
SLM Student Loan Trust, Series 2004-1,
Class A4
0.53%		10/27/25	²		2,810,000		2,713,825
SLM Student Loan Trust, Series 2004-A,
Class A3
0.65%		06/15/33	²		40,400,000		36,122,004
SLM Student Loan Trust, Series 2004-B,
Class A3
0.58%		03/15/24	²		24,340,000		21,165,942
SLM Student Loan Trust, Series 2005-4,
Class B
0.45%		07/25/40	²		15,155,156		13,129,260
SLM Student Loan Trust, Series 2005-5,
Class A5
1.02%		10/25/40	²		25,000		24,984
SLM Student Loan Trust, Series 2005-A,
Class A3
0.45%		06/15/23	²		2,500,000		2,312,281
SLM Student Loan Trust, Series 2005-A,
Class A4
0.56%		12/15/38	²		9,280,000		7,583,737
SLM Student Loan Trust, Series 2005-B,
Class A3
0.52%		12/15/23	²		28,785,000		26,315,837
SLM Student Loan Trust, Series 2006-2,
Class A6
0.44%		01/25/41	²		42,655,000		37,156,792
SLM Student Loan Trust, Series 2006-8,
Class A6
0.43%		01/25/41	²		32,855,000		28,620,516
SLM Student Loan Trust, Series 2006-9,
Class A5
0.37%		01/26/26	²		8,350,000		8,137,034
SLM Student Loan Trust, Series 2007-1,
Class A5
0.36%		01/26/26	²		9,550,000		9,043,525
SLM Student Loan Trust, Series 2007-3,
Class A4
0.33%		01/25/22	²		7,285,000		6,920,713
SLM Student Loan Trust, Series 2008-3,
Class A3
1.27%		10/25/21	²		40,000		40,452


Issues	Maturity Date	Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
SLM Student Loan Trust, Series 2008-4,
Class A4
1.92%	07/25/22²	$	200,000	$	209,091
Sound Point CLO Ltd., Series 2012-1A,
Class C (Cayman Islands)
3.57%	10/20/23^2,3,4		11,500,000		11,449,239
South Carolina Student Loan Corp., Series A2
0.38%	12/01/22²		29,000,000		28,035,170
0.38%	12/01/20²		50,000		49,447
Stone Tower CLO Ltd., Series 2006-5A,
Class C1
1.87%	07/16/20^2,3		900,000		833,280
Student Loan Consolidation Center Student
Loan Trust I, Series 2002-2, Class B2
1.04%	07/01/42^2,3		25,050,000		19,115,154
Symphony CLO Ltd., Series 2012-9A,
Class C (Cayman Islands)
3.52%	04/16/22^2,3,4		1,090,000		1,094,036
Symphony CLO Ltd., Series 2012-9A,
Class D (Cayman Islands)
4.52%	04/16/22^2,3,4		1,700,000		1,694,443
TAL Advantage LLC, Series 2006-1,
Class NOTE
0.37%	04/20/21^2,3		28,864,875		28,463,192
TAL Advantage LLC, Series 2010-2A,
Class A
4.30%	10/20/25³		8,046,667		8,075,912
TAL Advantage LLC, Series 2011-1A,
Class A
4.60%	01/20/26³		11,000,000		11,149,161
TAL Advantage LLC, Series 2012-1A,
Class A
3.86%	05/20/27³		8,861,667		8,958,631
Textainer Marine Containers Ltd.,
Series 2005-1A, Class A (Bermuda)
0.43%	05/15/20^2,3,4		2,125,000		2,102,524
Textainer Marine Containers Ltd.,
Series 2011-1A, Class A (Bermuda)
4.70%	06/15/26^3,4		18,879,000		18,902,476
Textainer Marine Containers Ltd.,
Series 2012-1A, Class A (Bermuda)
4.21%	04/15/27^3,4		12,875,000		13,081,544
Trinity Rail Leasing LP, Series 2006-1A,
Class A1
5.90%	05/14/36³		6,616,888		7,332,835
Triton Container Finance LLC,
Series 2006-1A, Class NOTE
0.35%	11/26/21^2,3		21,875,650		21,472,318
Triton Container Finance LLC,
Series 2007-1A, Class NOTE
0.32%	02/26/19^2,3		7,665,406		7,598,085
Triton Container Finance LLC,
Series 2012-1A, Class A
4.21%	05/14/27³		4,008,333		4,069,635


Issues	Maturity Date	Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
U-Haul S Fleet LLC, Series 2007-BT1,
Class BT
5.56%	02/25/20³	$	15,808,667	$	15,954,787
Venture X CDO Ltd., Series 2012-10A,
Class C (Cayman Islands)
3.52%	07/20/22^2,3,4		10,000,000		10,024,120
Vermont Student Assistance Corp., Student
Loan Asset-Backed Notes, Series 2012-1,
Class A
0.88%	07/28/34²		11,296,656		11,121,714


Total Asset-Backed Securities
(Cost $1,560,971,063)					1,586,442,183


BANK LOANS — 0.77%*
Communications — 0.06%
Intelsat Jackson Holdings, Term Loan B-1,
1st Lien (Luxembourg)
4.25%	04/02/18^2,4,5		15,681,500		15,740,306

Electric — 0.24%
Texas Competitive Electric Holdings Co. LLC,
Term Loan EXT, 1st Lien
4.71%	10/10/17^2,5		59,033,320		39,855,755
Topaz Power Holdings LLC, Term Loan,
1st Lien
5.25%	02/26/20^2,5		18,832,688		18,879,769


					58,735,524

Energy — 0.25%
Alinta Energy Finance Pty Ltd.,
Term Loan B, 1st Lien
6.38%	08/07/19^2,5		24,403,509		23,498,627
Alinta Energy Finance Pty Ltd.,
Term Loan DD, 1st Lien
0.50%	08/07/19^2,5		1,596,491		1,537,293
Drillships Financing Holding, Term Loan B1,
1st Lien
6.00%	02/17/21^2,5		23,000,000		23,273,125
El Dorado, Secured Term Loan, 1st Lien
11.00%	04/03/17^2,6		14,270,195		14,270,196


					62,579,241

Health Care — 0.14%
HCA, Inc., Term Loan B4
2.93%	05/01/18^2,5		20,950,678		20,933,813
Valeant Pharmaceuticals,
Term Loan
4.50%	05/30/20^2,5		13,498,000		13,598,290


					34,532,103


Issues	Maturity Date	Principal Amount		Value
BANK LOANS (continued)
Services — 0.08%
AABS Ltd., Series 2013-1, Class A (STEP)
4.72%	01/15/38^2,†	$	19,526,042	$	19,600,550


Total Bank Loans (Cost $190,945,773)					191,187,724

CORPORATES — 18.90%*
Banking — 3.50%
Abbey National Treasury Services
PLC/London (United Kingdom)
2.88%	04/25/14⁴		837,000		847,162
3.88%	11/10/14^3,4		23,210,000		23,955,528
Ally Financial, Inc.
2.46%	12/01/14²		9,009,000		8,994,405
Bank of America Corp.
5.62%	07/01/20		36,593,000		41,057,675
5.75%	12/01/17		1,145,000		1,292,864
6.00%	09/01/17		300,000		340,026
7.38%	05/15/14		45,000		46,828
Bank of America N.A. (BKNT)
0.53%	06/15/16²		16,945,000		16,584,962
0.55%	06/15/17²		23,420,000		22,607,092
5.30%	03/15/17		30,625,000		33,778,671
6.00%	06/15/16		11,345,000		12,434,585
6.10%	06/15/17		76,491,000		86,501,656
Bank One Corp. (STEP)
8.53%	03/01/19		1,810,000		2,244,246
Barclays Bank PLC (United Kingdom)
5.00%	09/22/16⁴		110,000		121,654
5.20%	07/10/14⁴		12,079,000		12,504,193
Capital One Financial Corp.
7.38%	05/23/14		3,710,000		3,868,532
Commonwealth Bank of Australia (Australia)
0.98%	03/17/14^2,3,4		14,785,000		14,792,577
1.95%	03/16/15⁴		16,600,000		16,929,084
2.12%	03/17/14^3,4		28,275,000		28,464,671
Credit Suisse USA, Inc.
5.12%	08/15/15		15,000		16,200
Credit Suisse/New York (Switzerland)
5.50%	05/01/14⁴		11,790,000		12,139,974
6.00%	02/15/18⁴		36,896,000		41,578,877
Discover Bank/Greenwood DE (BKNT)
8.70%	11/18/19		3,676,000		4,677,894
First Chicago NBD Institutional Capital I
0.82%	02/01/27²		5,455,000		4,473,100
HBOS Capital Funding LP (United Kingdom)
6.07%	06/24/49^2,3,4		5,823,000		5,728,376
HBOS PLC (United Kingdom)
6.00%	11/01/33^3,4		3,500,000		3,311,875


Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Banking (continued)
HBOS PLC, Series G (MTN)
(United Kingdom)
6.75%	05/21/18^3,4	$	63,967,000	$	70,592,227
HSBC Bank PLC (United Kingdom)
1.07%	01/17/14^2,3,4		29,100,000		29,168,676
3.10%	05/24/16^3,4		28,270,000		29,769,694
HSBC Holdings PLC (United Kingdom)
5.10%	04/05/21⁴		23,495,000		25,949,924
JPMorgan Chase & Co.
4.25%	10/15/20		9,525,000		9,992,841
4.35%	08/15/21		12,540,000		13,059,161
4.62%	05/10/21		51,300,000		55,096,397
6.30%	04/23/19		170,000		199,350
JPMorgan Chase Bank N.A.
0.58%	06/13/16²		14,944,000		14,775,298
JPMorgan Chase Bank N.A. (BKNT)
5.88%	06/13/16		5,040,000		5,623,022
6.00%	07/05/17		1,678,000		1,904,973
6.00%	10/01/17		47,957,000		54,919,589
M&T Capital Trust III
9.25%	02/01/27		10,200,000		10,404,194
National Australia Bank/New York (MTN)
(Australia)
2.75%	03/09/17⁴		56,825,000		59,015,932
National Capital Trust II
5.49%	12/29/49^2,3		2,717,000		2,779,111
Royal Bank of Scotland PLC
(United Kingdom)
2.55%	09/18/15⁴		13,780,000		14,070,874
Svenska Handelsbanken AB (Sweden)
4.88%	06/10/14^3,4		23,240,000		23,953,375
Wachovia Corp.
0.60%	10/28/15²		13,165,000		13,115,315
Westpac Banking Corp. (Australia)
0.98%	03/31/14^2,3,4		32,750,000		32,852,344


					866,535,004

Communications — 0.94%
Cablevision Systems Corp.
5.88%	09/15/22		14,030,000		13,819,550
CCO Holdings LLC/CCO Holdings
Capital Corp.
7.00%	01/15/19		17,875,000		18,947,500
CCO Holdings LLC/CCO Holdings
Capital Corp. (WI)
8.12%	04/30/20		20,944,000		22,881,320
Cellco Partnership/Verizon Wireless
Capital LLC
7.38%	11/15/13		9,000,000		9,073,291


Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Communications (continued)
CSC Holdings LLC
6.75%	11/15/21	$	10,651,000	$	11,449,825
Intelsat Jackson Holdings SA (Luxembourg)
7.25%	10/15/20⁴		30,820,000		33,131,500
8.50%	11/01/19⁴		9,325,000		10,140,938
Sprint Nextel Corp.
9.00%	11/15/18³		41,220,000		48,330,450
Verizon Communications, Inc.
1.95%	03/28/14		7,883,000		7,935,467
5.15%	09/15/23		7,650,000		8,215,241
6.55%	09/15/43		40,508,000		45,757,130
Windstream Corp. (WI)
8.12%	09/01/18		2,730,000		2,948,400


					232,630,612

Consumer Discretionary — 0.06%
Reynolds Group Issuer, Inc./Reynolds Group
Issuer LLC
7.88%	08/15/19		2,826,000		3,122,730
Reynolds Group Issuer, Inc./Reynolds Group
Issuer LLC (WI)
5.75%	10/15/20		11,650,000		11,708,250


					14,830,980

Electric — 1.83%
Alabama Power Capital Trust V
3.37%	10/01/42²		290,000		280,589
Cedar Brakes I LLC
8.50%	02/15/14³		1,042,470		1,059,899
Cleco Power LLC
6.65%	06/15/18		17,887,000		21,233,139
Coso Geothermal Power Holdings
7.00%	07/15/26³		19,802,675		11,188,511
DPL, Inc.
6.50%	10/15/16		14,080,000		15,171,200
7.25%	10/15/21		23,670,000		24,320,925
Duquesne Light Holdings, Inc.
6.25%	08/15/35		42,000		44,875
Dynegy Escrow Holdings
0.00%	01/01/50^6,†		54,205,000		1,084,100
Energy Transfer Partners LP
3.28%	11/01/66^2,3		75,433,000		68,172,574
Entergy Gulf States Louisiana LLC (WI)
6.00%	05/01/18		17,500,000		20,324,938
FirstEnergy Corp.
4.25%	03/15/23		14,318,000		13,149,030
FirstEnergy Corp., Series C
7.38%	11/15/31		11,045,000		11,185,150
FPL Energy National Wind Portfolio LLC
6.12%	03/25/19³		165,738		138,391


Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Electric (continued)
FPL Energy Wind Funding LLC
6.88%	06/27/17³	$	435,887	$	381,401
GenOn Americas Generation LLC
8.50%	10/01/21		11,952,000		12,728,880
9.12%	05/01/31		8,569,000		9,040,295
Homer City Generation LP (PIK)
8.14%	10/01/19⁷		7,714,764		7,984,781
8.73%	10/01/26⁸		13,858,406		14,343,450
Ipalco Enterprises, Inc.
7.25%	04/01/16³		12,450,000		13,757,250
Kansas City Power & Light Co.
6.38%	03/01/18		4,320,000		5,031,707
Metropolitan Edison Co.
3.50%	03/15/23³		11,725,000		11,053,065
Mirant Mid Atlantic Pass-Through Trust,
Series B
9.12%	06/30/17		21,185,942		22,563,028
Mirant Mid Atlantic Pass-Through Trust,
Series C
10.06%	12/30/28		8,836,850		9,587,983
Nevada Power Co.
5.45%	05/15/41		600,000		663,431
Oncor Electric Delivery Co. LLC
5.25%	09/30/40		9,938,000		10,382,622
5.30%	06/01/42		65,865,000		69,926,960
PNM Resources, Inc.
9.25%	05/15/15		15,387,000		17,329,609
Public Service Co. of New Hampshire
6.00%	05/01/18		5,000,000		5,610,945
Public Service Co. of New Mexico
5.35%	10/01/21		5,320,000		5,813,654
7.95%	05/15/18		41,187,000		49,840,404
PVNGS II Funding Corp., Inc.
8.00%	12/30/15		817,000		857,160
Tucson Electric Power
3.85%	03/15/23		85,000		83,595


					454,333,541

Energy — 1.62%
Arch Coal, Inc.
7.00%	06/15/19		39,074,000		30,868,460
7.25%	06/15/21		2,000,000		1,525,000
Continental Resources, Inc.
4.50%	04/15/23		6,000,000		5,902,500
5.00%	09/15/22		7,000,000		7,056,875
El Paso Pipeline Partners
4.10%	11/15/15		46,175,000		49,121,334
5.00%	10/01/21		2,000,000		2,132,962


Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Energy (continued)
Newfield Exploration Co.
5.62%	07/01/24	$	51,020,000	$	49,680,725
Panhandle Eastern Pipeline Co. LP
8.12%	06/01/19		2,392,000		2,925,480
Petrobras Global Finance BV (Netherlands)
1.88%	05/20/16^2,4		18,970,000		18,893,996
4.38%	05/20/23⁴		20,000,000		18,324,876
Petrobras International Finance Co. - Pifco
(Cayman Islands)
5.38%	01/27/21⁴		28,475,000		28,702,895
5.75%	01/20/20⁴		8,000,000		8,386,680
6.88%	01/20/40⁴		150,000		148,726
Plains Exploration & Production Co.
6.12%	06/15/19		7,915,000		8,483,891
6.50%	11/15/20		11,000,000		11,825,000
6.75%	02/01/22		17,555,000		18,845,882
6.88%	02/15/23		27,775,000		29,927,563
Sabine Pass LNG LP
7.50%	11/30/16		33,822,000		37,331,033
7.50%	11/30/16³		19,273,000		20,477,563
Sinopec Capital 2013 Ltd. (China)
1.25%	04/24/16^3,4		5,020,000		4,994,915
Tennessee Gas Pipeline Co. LLC
7.62%	04/01/37		40,000		52,557
8.00%	02/01/16		25,955,000		29,849,262
8.38%	06/15/32		5,224,000		6,900,491
Trans-Canada Pipelines Ltd. (Canada)
6.35%	05/15/67^2,4		85,000		87,786
Williams Cos., Inc.
7.88%	09/01/21		5,881,000		7,024,213
8.75%	03/15/32		2,589,000		3,162,844


					402,633,509

Finance — 5.81%
Alta Wind Holdings LLC
7.00%	06/30/35³		15,723,694		16,760,137
Astoria Depositor Corp.
8.14%	05/01/21³		47,522,000		47,046,780
Bear Stearns Cos. LLC
4.65%	07/02/18		4,330,000		4,728,869
7.25%	02/01/18		20,725,000		24,846,995
Cantor Fitzgerald LP
6.38%	06/26/15³		10,320,000		10,732,800
Chase Capital II, Series B
0.76%	02/01/27²		31,185,000		25,571,700
Chase Capital III, Series C
0.81%	03/01/27²		4,500,000		3,688,410
Chase Capital VI
0.89%	08/01/28²		17,175,000		14,341,125


Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Finance (continued)
CIT Group, Inc.
4.25%	08/15/17	$	17,108,000	$	17,514,315
5.00%	05/15/17		3,500,000		3,692,500
5.25%	04/01/14³		22,795,000		23,336,381
5.50%	02/15/19³		6,500,000		6,857,500
6.62%	04/01/18³		20,150,000		22,265,750
Citigroup Capital III
7.62%	12/01/36		7,438,000		8,330,560
Citigroup, Inc.
0.55%	11/05/14²		14,309,000		14,292,430
0.81%	08/25/36²		49,749,000		40,823,875
1.23%	07/25/16²		36,535,000		36,873,638
1.75%	05/01/18		14,800,000		14,373,645
2.50%	09/26/18		8,500,000		8,457,987
4.59%	12/15/15		4,650,000		4,976,198
5.30%	01/07/16		23,609,000		25,559,851
5.38%	08/09/20		8,425,000		9,438,047
5.50%	10/15/14		72,000		75,468
5.85%	08/02/16		155,000		173,399
6.00%	08/15/17		28,913,000		33,073,581
6.12%	11/21/17		10,055,000		11,573,757
6.12%	05/15/18		2,850,000		3,299,807
6.38%	08/12/14		3,950,000		4,139,677
8.12%	07/15/39		5,299,000		7,383,049
Countrywide Capital III, Series B
8.05%	06/15/27		3,000,000		3,588,750
Discover Financial Services
3.85%	11/21/22		11,834,000		11,312,026
5.20%	04/27/22		4,515,000		4,766,309
Ford Motor Credit Co. LLC
1.70%	05/09/16		9,225,000		9,242,974
2.75%	05/15/15		7,425,000		7,597,876
3.88%	01/15/15		26,042,000		26,943,235
7.00%	04/15/15		31,214,000		34,020,139
Ford Motor Credit Co. LLC, Series FRN
1.52%	05/09/16²		10,525,000		10,671,340
General Electric Capital Corp.
4.62%	01/07/21		20,325,000		21,843,399
5.62%	05/01/18		295,000		338,373
5.90%	05/13/14		50,000		51,728
General Electric Capital Corp. (MTN)
0.39%	06/20/14²		1,250,000		1,251,491
0.65%	05/05/26²		57,410,000		52,982,082
0.74%	08/15/36²		13,220,000		10,650,270
4.38%	09/16/20		30,715,000		32,785,994
5.38%	10/20/16		3,700,000		4,136,868
5.88%	01/14/38		245,000		271,359


Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Finance (continued)
General Electric Capital Corp.,
Series A (MTN)
6.75%	03/15/32	$	30,540,000	$	36,530,299
General Electric Capital Corp.,
Series E (MTN)
0.39%	03/20/14²		30,100,000		30,092,264
General Electric Capital Corp.,
Series G (MTN)
3.10%	01/09/23		17,035,000		15,967,519
6.15%	08/07/37		14,393,000		16,361,833
6.88%	01/10/39		33,945,000		41,738,602
Goldman Sachs Group, Inc.
0.72%	03/22/16²		1,325,000		1,313,632
1.26%	02/07/14²		1,624,000		1,628,755
2.38%	01/22/18		18,810,000		18,686,646
3.62%	02/07/16		11,605,000		12,219,563
5.00%	10/01/14		50,000		52,107
5.25%	07/27/21		11,225,000		12,168,351
5.75%	10/01/16		3,600,000		4,030,300
5.95%	01/18/18		7,015,000		7,937,395
6.00%	06/15/20		9,510,000		10,798,601
6.15%	04/01/18		31,176,000		35,693,028
6.75%	10/01/37		500,000		522,260
7.50%	02/15/19		40,077,000		48,467,921
International Lease Finance Corp.
6.50%	09/01/14³		32,080,000		33,202,800
6.75%	09/01/16³		41,450,000		45,750,438
7.12%	09/01/18³		3,955,000		4,437,016
JPMorgan Chase Capital XIII, Series M
1.20%	09/30/34²		5,763,000		4,673,644
JPMorgan Chase Capital XXI, Series U
1.22%	02/02/37²		59,900,000		45,074,750
JPMorgan Chase Capital XXIII
1.26%	05/15/47²		60,609,000		45,369,723
Macquarie Bank Ltd. (Australia)
6.62%	04/07/21^3,4		800,000		873,540
Macquarie Group Ltd. (Australia)
7.30%	08/01/14^3,4		9,175,000		9,636,723
Merrill Lynch & Co., Inc. (MTN)
8.68%	05/02/17²		5,800,000		6,474,540
8.95%	05/18/17²		5,990,000		6,738,750
9.57%	06/06/17²		12,113,000		13,915,414
Morgan Stanley
0.75%	10/15/15²		5,730,000		5,689,202
3.80%	04/29/16		9,140,000		9,615,561
4.20%	11/20/14		8,625,000		8,925,530
5.50%	07/24/20		32,400,000		35,813,664
6.00%	05/13/14		19,985,000		20,596,601
7.30%	05/13/19		205,000		245,581


Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Finance (continued)
Morgan Stanley (MTN)
0.72%	10/18/16²	$	20,365,000	$	20,026,452
5.62%	09/23/19		600,000		671,510
5.75%	10/18/16		8,550,000		9,545,657
5.95%	12/28/17		125,000		141,556
6.25%	08/28/17		12,950,000		14,723,329
6.62%	04/01/18		7,930,000		9,215,485
Morgan Stanley, Series G (MTN)
0.57%	01/09/14²		2,970,000		2,969,424
5.45%	01/09/17		100,000		109,983
Pipeline Funding Co. LLC
7.50%	01/15/30³		26,750,000		32,345,298
Prudential Holdings LLC
8.70%	12/18/23³		22,375,000		28,354,677
Raymond James Financial, Inc.
8.60%	08/15/19		8,453,000		10,687,796
Reckson Operating Partnership LP
5.00%	08/15/18		14,845,000		15,917,758
Woodbourne Capital Trust I
2.69%	04/29/49^2,3,6		900,000		450,000
Woodbourne Capital Trust II
2.68%	04/08/49^2,3,6		925,000		462,500
Woodbourne Capital Trust III
2.68%	04/08/49^2,3,6		1,525,000		762,500
ZFS Finance USA Trust II
6.45%	12/15/65^2,3		23,561,000		25,269,173


					1,439,578,095

Health Care — 0.71%
CHS/Community Health Systems, Inc.
5.12%	08/15/18		3,725,000		3,799,500
7.12%	07/15/20		2,850,000		2,885,625
8.00%	11/15/19		14,425,000		15,218,375
HCA, Inc.
7.25%	09/15/20		88,757,000		96,745,130
HCA, Inc. (WI)
7.88%	02/15/20		4,951,000		5,350,174
8.50%	04/15/19		9,343,000		10,067,083
North Shore Long Island
Jewish Health Care, Inc.
4.80%	11/01/42		40,000		36,674
6.15%	11/01/43		4,000,000		4,180,000
NYU Hospitals Center, Series 13-A
5.75%	07/01/43		6,750,000		7,051,050
Tenet Healthcare Corp.
4.50%	04/01/21		7,100,000		6,691,750
VPI Escrow Corp.
6.38%	10/15/20³		22,905,000		23,849,831


					175,875,192


Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Industrials — 0.22%
General Electric Co.
5.25%	12/06/17	$	17,228,000	$	19,626,689
Sydney Airport Finance Co. Pty Ltd.
(Australia)
3.90%	03/22/23^3,4		10,000,000		9,553,890
Sydney Airport Finance Co., Pty Ltd.
(Australia)
5.12%	02/22/21^3,4		23,825,000		25,082,388


					54,262,967

Insurance — 1.11%
Berkshire Hathaway, Inc.
3.00%	02/11/23		75,000		72,687
3.75%	08/15/21		50,000		52,014
4.50%	02/11/43		44,115,000		41,460,353
Farmers Exchange Capital
7.05%	07/15/28³		19,252,000		23,324,705
7.20%	07/15/48³		18,265,000		21,038,849
Farmers Insurance Exchange
8.62%	05/01/24³		18,595,000		24,254,335
MetLife, Inc.
2.38%	02/06/14		10,775,000		10,853,032
Metropolitan Life Global Funding I
1.50%	01/10/18³		39,800,000		39,097,243
1.88%	06/22/18³		23,650,000		23,369,331
3.88%	04/11/22³		18,675,000		19,197,863
Nationwide Mutual Insurance Co.
5.81%	12/15/24^2,3		12,949,000		13,191,794
6.60%	04/15/34³		19,568,000		19,959,360
Pricoa Global Funding I
1.60%	05/29/18³		24,825,000		24,318,843
5.45%	06/11/14³		15,130,000		15,641,818


					275,832,227

Materials — 0.14%
ArcelorMittal (Luxembourg)
5.75%	08/05/20⁴		140,000		143,850
7.25%	03/01/41⁴		2,000,000		1,850,000
Barrick Gold Corp. (WI)(Canada)
4.10%	05/01/23⁴		10,015,000		8,849,723
Barrick NA Finance, LLC
5.75%	05/01/43		21,990,000		18,510,764
Barrick North America Finance LLC
4.40%	05/30/21		5,000,000		4,664,953
Southern Copper Corp.
6.38%	07/27/15		100,000		107,853


					34,127,143


Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Real Estate Investment Trust (REIT) — 1.91%
BRE Properties, Inc.
5.50%	03/15/17	$	100,000	$	110,258
Camden Property Trust
4.62%	06/15/21		600,000		634,220
Duke Realty LP
5.40%	08/15/14		1,400,000		1,452,263
ERP Operating LP
5.12%	03/15/16		70,000		76,598
5.75%	06/15/17		100,000		112,643
First Industrial LP (MTN)
7.50%	12/01/17		80,000		90,175
HCP, Inc.
2.62%	02/01/20		63,120,000		59,965,584
3.75%	02/01/19		10,509,000		10,922,264
5.38%	02/01/21		20,035,000		21,872,053
5.62%	05/01/17		1,508,000		1,686,793
6.00%	01/30/17		16,320,000		18,367,458
6.75%	02/01/41		150,000		176,065
7.07%	06/08/15		125,000		137,154
HCP, Inc. (MTN)
6.30%	09/15/16		27,844,000		31,506,126
Health Care REIT, Inc.
4.12%	04/01/19		19,500,000		20,587,015
4.70%	09/15/17		28,088,000		30,591,849
4.95%	01/15/21		13,350,000		14,159,109
5.25%	01/15/22		26,870,000		28,781,772
6.12%	04/15/20		7,275,000		8,271,377
6.50%	03/15/41		13,430,000		14,580,528
Healthcare Realty Trust, Inc.
5.75%	01/15/21		21,375,000		23,276,937
6.50%	01/17/17		380,000		426,732
Highwoods Realty LP
7.50%	04/15/18		6,810,000		8,019,116
Kimco Realty Corp., Series C (MTN)
5.19%	10/01/13		100,000		100,000
Nationwide Health Properties, Inc.
6.00%	05/20/15		22,580,000		24,416,635
Post Apartment Homes LP
4.75%	10/15/17		21,885,000		23,688,871
Simon Property Group LP
6.12%	05/30/18		1,290,000		1,514,557
SL Green Realty Corp./SL Green Operating
Partnership
7.75%	03/15/20		38,473,000		45,635,877
UDR, Inc. (MTN)
4.25%	06/01/18		5,500,000		5,851,935
5.25%	01/15/15		200,000		209,861
UDR, Inc., Series E (MTN)
5.13%	01/15/14		7,075,000		7,161,030


Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Real Estate Investment Trust (REIT) (continued)
Ventas Realty LP/Ventas Capital Corp.
2.00%	02/15/18	$	60,000	$	58,852
2.70%	04/01/20		4,315,000		4,118,568
4.75%	06/01/21		10,925,000		11,475,380
WEA Finance LLC
4.62%	05/10/21³		14,297,000		15,105,553
7.12%	04/15/18³		31,093,000		37,051,227
WEA Finance LLC/WT Finance Aust Pty Ltd.
6.75%	09/02/19³		30,000		35,715


					472,228,150

Transportation — 1.05%
American Airlines Pass-Through Trust,
Series 2011-1, Class A
5.25%	01/31/21		4,217,495		4,407,282
American Airlines Pass-Through Trust,
Series 2013-1, Class A
4.00%	07/15/25³		23,800,000		22,476,125
American Airlines Pass-Through Trust,
Series 2013-2, Class A
4.95%	01/15/23³		80,775,000		81,279,844
Autopistas Metropolitanas de Puerto
Rico LLC
6.75%	06/30/35³		3,315,000		3,305,499
Continental Airlines 1999-2 Class C-2
Pass-Through Trust, Series AMBC
6.24%	03/15/20		106,117		117,790
Continental Airlines Pass-Through Trust,
Series 1997, Class 4A
6.90%	01/02/18		2,468,670		2,627,590
Continental Airlines Pass-Through Trust,
Series 1999, Class C2
7.26%	03/15/20		9,991,019		11,090,031
Continental Airlines Pass-Through Trust,
Series 1999-1, Class A
6.54%	08/02/20		76,621		83,493
Continental Airlines Pass-Through Trust,
Series 2007, Class 1A
5.98%	04/19/22		4,289,734		4,579,291
Continental Airlines Pass-Through Trust,
Series 2007, Class 1B
6.90%	04/19/22		2,334,738		2,390,071
Continental Airlines Pass-Through Trust,
Series 2009, Class A2
7.25%	11/10/19		6,959,853		7,921,182
Delta Air Lines Pass-Through Trust,
Series 2002, Class G1
6.72%	01/02/23		45,239,581		49,424,242
JetBlue Airways Pass-Through Trust,
Series 2004, Class G2
0.71%	11/15/16²		13,575,000		12,276,891


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	$	2,881,809	$	3,256,444
UAL Pass-Through Trust, Series 2009-1
10.40%	11/01/16		49,305		55,592
UAL Pass-Through Trust, Series 2009-2A
9.75%	01/15/17		14,132,863		16,191,032
US Airways Pass-Through Trust,
Series 2010-1, Class A
6.25%	04/22/23		19,921,461		21,066,945
US Airways Pass-Through Trust,
Series 2011-1, Class A
7.12%	10/22/23		5,326,535		5,909,124
US Airways Pass-Through Trust,
Series 2012-1, Class A
5.90%	10/01/24		11,978,380		12,569,813


					261,028,281

Total Corporates (Cost $4,464,258,509)					4,683,895,701


FOREIGN GOVERNMENT OBLIGATIONS — 0.32%
Foreign Government Obligations — 0.32%
Kommunalbanken AS (Norway)
1.12%	05/23/18^3,4		81,650,000		79,380,311

Total Foreign Government Obligations
(Cost $81,458,506)
MORTGAGE-BACKED — 53.96%**
Commercial Mortgage-Backed — 4.04%
Banc of America Large Loan, Inc.,
Series 2010-UB4, Class A4A
5.04%	12/20/41^2,3		13,330,157		13,815,374
Banc of America Merrill Lynch Commercial
Mortgage, Inc., Series 2005-2, Class A5
4.86%	07/10/43²		1,000,000		1,049,185
Banc of America Merrill Lynch Commercial
Mortgage, Inc., Series 2005-4, Class A4
5.37%	07/10/45²		6,800,000		6,891,627
Banc of America Merrill Lynch Commercial
Mortgage, Inc., Series 2005-6, Class A4
5.36%	09/10/47²		105,251,000		112,657,723
Bayview Commercial Asset Trust,
Series 2004-2, Class A
0.61%	08/25/34^2,3		851,343		786,478
Bayview Commercial Asset Trust,
Series 2005-3A, Class A1
0.50%	11/25/35^2,3		30,940		26,384
Bayview Commercial Asset Trust,
Series 2006-3A, Class A1
0.43%	10/25/36^2,3		5,490,547		4,123,650


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed (continued)
Bayview Financial Mortgage Pass-Through
Trust, Series 2005-D, Class AF3
5.50%	12/28/35²	$	674,452	$	683,568
Bear Stearns Commercial Mortgage
Securities Trust, Series 2004-PWR5,
Class A5
4.98%	07/11/42²		55,510,000		57,137,759
Bear Stearns Commercial Mortgage
Securities Trust, Series 2005-T20,
Class A4A
5.29%	10/12/42²		75,225,000		80,442,542
Bear Stearns Commercial Mortgage
Securities Trust, Series 2006-T22,
Class A4
5.76%	04/12/38²		21,441,490		23,355,282
Commercial Mortgage Pass-Through
Certificates, Series 2005-C6, Class A5A
5.12%	06/10/44²		47,895,000		50,822,266
Credit Suisse First Boston Mortgage
Securities Corp., Series 2005-C6, Class A4
5.23%	12/15/40²		1,248,800		1,325,267
DBRR Trust, Series 2011-LC2, Class A4A
4.54%	04/12/21³		29,480,000		31,606,643
DBUBS Mortgage Trust, Series 2011-LC3A,
Class A2
3.64%	08/10/44		48,755,000		51,507,610
GE Business Loan Trust, Series 2003-2A,
Class A
0.55%	11/15/31^2,3		26,632		25,608
GMAC Commercial Mortgage Securities, Inc.,
Series 1998-C2, Class X (IO)
1.22%	05/15/35^2,6		9,869,986		311,457
GS Mortgage Securities Corp. II,
Series 2011-GC5, Class A4
3.71%	08/10/44²		107,315,000		110,550,279
JPMorgan Chase Commercial Mortgage
Securities Corp., Series 2005-CB12,
Class A4
4.90%	09/12/37		2,920,000		3,075,786
JPMorgan Chase Commercial Mortgage
Securities Corp., Series 2006-LDP9,
Class A3S
5.24%	05/15/47³		5,495,000		5,501,583
Lehman Brothers Small Balance Commercial,
Series 2007-1A, Class 2A3
5.62%	03/25/37^2,3		14,376,668		14,076,718
Merrill Lynch Mortgage Investors, Inc.,
Series 2005-LC1, Class A4
5.29%	01/12/44²		523,039		563,112
Merrill Lynch Mortgage Investors, Inc.,
Series 2005-MCP1, Class ASB
4.67%	06/12/43²		22,234		22,311


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed (continued)
Merrill Lynch/Countrywide Commercial
Mortgage Trust, Series 2006-4,
Class ASB
5.13%	12/12/49²	$	15,319,112	$	15,837,242
Morgan Stanley Capital I Trust,
Series 2001-C3, Class A2
3.22%	08/15/49		16,551,000		17,334,516
Morgan Stanley Capital I Trust,
Series 2005-HQ6, Class A2A
4.88%	08/13/42		37,842		38,405
Morgan Stanley Capital I Trust,
Series 2005-IQ10, Class A4A
5.23%	09/15/42²		51,734		54,809
Morgan Stanley Capital I Trust,
Series 2005-T19, Class A4A
4.89%	06/12/47		41,100,000		43,455,092
Morgan Stanley Capital I Trust,
Series 2006-IQ12, Class A4
5.33%	12/15/43		85,000		93,962
Morgan Stanley Capital I Trust,
Series 2006-T21, Class A4
5.16%	10/12/52²		35,975,000		38,613,532
Morgan Stanley Capital I Trust,
Series 2006-T23, Class A2
5.75%	08/12/41²		1,554		1,553
Morgan Stanley Capital I Trust,
Series 2006-T23, Class A4
5.99%	08/12/41²		44,680,000		49,496,169
Morgan Stanley Capital I Trust,
Series 2011-C3, Class A4
4.12%	08/15/49		13,563,000		14,288,465
Spirit Master Funding LLC, Series 2005-1,
Class A1
5.05%	07/20/23³		17,652,730		17,829,258
Spirit Master Funding LLC, Series 2006-1A,
Class A
5.76%	03/20/24³		8,364,919		8,302,183
Wachovia Bank Commercial Mortgage Trust,
Series 2005-C16, Class A4
4.85%	10/15/41²		4,320,113		4,474,987
Wachovia Bank Commercial Mortgage Trust,
Series 2005-C20, Class A7
5.12%	07/15/42²		37,720,000		39,984,350
WF-RBS Commercial Mortgage Trust,
Series 2010-C8, Class A3
3.00%	08/15/45		52,205,000		50,140,292
WF-RBS Commercial Mortgage Trust,
Series 2011-C5, Class A4
3.67%	11/15/44		62,612,000		63,902,903
WF-RBS Commercial Mortgage Trust,
Series 2012-C7, Class A2
3.43%	06/15/45		68,158,000		67,840,861


					1,002,046,791


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed — 16.84%
Aames Mortgage Trust, Series 2002-1,
Class A3 (STEP)
6.48%	06/25/32	$	69,156	$	66,719
Accredited Mortgage Loan Trust,
Series 2007-1, Class A4
0.40%	02/25/37²		46,125,000		31,765,443
ACE Securities Corp., Series 2006-HE3,
Class A2C
0.33%	06/25/36²		4,770,493		2,977,413
Adjustable Rate Mortgage Trust,
Series 2005-10, Class 6A1
0.72%	01/25/36²		588,869		515,978
Adjustable Rate Mortgage Trust,
Series 2005-5, Class 6A21
0.41%	09/25/35²		5,455,486		5,055,610
Aegis Asset-Backed Securities Trust,
Series 2005-5, Class 1A3
0.45%	12/25/35²		8,712,797		8,542,061
American Home Mortgage Assets,
Series 2007-1, Class A1
0.86%	02/25/47²		113,307,800		64,669,486
American Home Mortgage Assets,
Series 2007-2, Class A1
0.30%	03/25/47²		1,041,846		770,195
American Home Mortgage Assets,
Series 2007-4, Class A2
0.37%	08/25/37²		9,770,484		8,682,550
American Home Mortgage Investment Trust,
Series 2006-1, Class 12A1
0.38%	03/25/46²		3,043,217		2,389,625
American Home Mortgage Investment Trust,
Series 2007-1, Class GA1C
0.37%	05/25/47²		102,441,374		66,664,236
Ameriquest Mortgage Securities, Inc.,
Series 2005-R6, Class A2
0.38%	08/25/35²		20,617		20,285
Amresco Residential Securities Mortgage
Loan Trust, Series 1998-1, Class A5 (STEP)
7.57%	10/25/27		117,017		121,065
Argent Securities, Inc., Series 2005-W2,
Class A2B1
0.38%	10/25/35²		33,001		32,885
Argent Securities, Inc., Series 2005-W4,
Class A2C
0.48%	02/25/36²		1,340,105		1,333,858
Asset-Backed Funding Certificates,
Series 2006-OPT3, Class A3B
0.34%	11/25/36²		14,940,164		7,721,779
Asset-Backed Funding Certificates,
Series 2007-WMC1, Class A2B
1.18%	06/25/37²		40,504,034		26,313,518


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Asset-Backed Securities Corp. Home Equity,
Series 2005-HE6, Class M2
0.69%	07/25/35²	$	60,000	$	59,244
Asset-Backed Securities Corp. Home Equity,
Series 2006-HE6, Class A5
0.41%	11/25/36²		18,411,000		8,643,026
Banc of America Alternative Loan Trust,
Series 2003-2, Class CB4
5.50%	04/25/33		2,080,360		2,256,563
Banc of America Funding Corp.,
Series 2003-2, Class 1A1
6.50%	06/25/32		42,855		45,461
Banc of America Funding Corp.,
Series 2006-E, Class 2A1
2.82%	06/20/36²		256,798		202,628
Banc of America Funding Corp.,
Series 2006-G, Class 2A3
0.35%	07/20/36²		31,792,103		31,609,013
Banc of America Funding Corp.,
Series 2006-H, Class 3A1
2.87%	09/20/46²		4,732,311		3,709,086
Banc of America Mortgage Securities, Inc.,
Series 2003-1, Class ASS 3A1
3.12%	10/25/33²		2,939,238		2,977,166
Banc of America Mortgage Securities, Inc.,
Series 2004-F, Class 1A1
2.62%	07/25/34²		164,108		165,041
Banc of America Mortgage Securities, Inc.,
Series 2005-C, Class 2A2
2.95%	04/25/35²		1,787,676		1,551,197
Banc of America Mortgage Securities, Inc.,
Series 2005-E, Class 2A6
2.88%	06/25/35²		8,975		9,000
Banc of America Mortgage Securities, Inc.,
Series 2006-2, Class A2
6.00%	07/25/46²		611,903		558,409
Banc of America Mortgage Securities, Inc.,
Series 2007-1, Class 1A24
6.00%	03/25/37		3,509,526		3,277,430
Banc of America Mortgage Securities, Inc.,
Series 2007-3, Class 1A1
6.00%	09/25/37		1,786,664		1,648,812
Banco de Credito Y Securitizacion SA,
Series 2001-1, Class AF (Argentina)
8.00%	06/30/20^3,4,6		8,000		640
BCAP LLC Trust, Series 2011-RR3,
Class 1A5
2.87%	05/27/37^2,3		17,812,377		17,864,050
BCAP LLC Trust, Series 2007-AA1,
Class 2A1
0.36%	03/25/37²		1,589,171		1,286,087


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
BCAP LLC Trust, Series 2007-AA2,
Class 2A5
6.00%	04/25/37	$	710,009	$	605,069
BCAP LLC Trust, Series 2010-RR11,
Class 3A2
3.00%	06/27/36^2,3		11,445,489		11,519,358
BCAP LLC Trust, Series 2011-RR2,
Class 3A6
2.84%	11/21/35^2,3		22,426,424		20,825,262
BCAP LLC Trust, Series 2011-RR3,
Class 5A3
2.53%	11/27/37^2,3		14,087,037		13,681,697
BCAP LLC Trust, Series 2011-RR4,
Class 1A3
2.87%	03/26/36^2,3		20,097,956		19,719,854
BCAP LLC Trust, Series 2011-RR5,
Class 1A3
2.71%	03/26/37^2,3		1,537,047		1,525,821
BCAP LLC Trust, Series 2011-RR5,
Class 2A3
2.84%	06/26/37^2,3		8,607,884		8,593,509
Bear Stearns ALT-A Trust, Series 2006-3,
Class 1A1
0.56%	05/25/36²		3,458,511		2,155,202
Bear Stearns ALT-A Trust, Series 2006-4,
Class 32A1
2.74%	07/25/36²		4,569,996		2,835,358
Bear Stearns ARM Trust, Series 2003-4,
Class 3A1
2.53%	07/25/33²		75,289		75,149
Bear Stearns ARM Trust, Series 2004-1,
Class 13A2
3.14%	04/25/34²		29,074		28,935
Bear Stearns ARM Trust, Series 2004-10,
Class 14A1
5.14%	01/25/35²		11,653,614		11,575,931
Bear Stearns ARM Trust, Series 2006-4,
Class 2A1
2.73%	10/25/36²		1,745,372		1,396,122
Bear Stearns Asset-Backed Securities Trust,
Series 2002-1, Class 1A5 (STEP)
6.89%	12/25/34		84,380		91,296
Bear Stearns Asset-Backed Securities Trust,
Series 2003-AC7, Class A1 (STEP)
5.50%	01/25/34		1,886,230		1,954,275
Bear Stearns Asset-Backed Securities Trust,
Series 2003-AC7, Class A2 (STEP)
5.75%	01/25/34		1,700,563		1,783,515
Bear Stearns Asset-Backed Securities Trust,
Series 2005-AC5, Class 2A3
0.43%	08/25/20²		5,274,734		4,012,015


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Bear Stearns Asset-Backed Securities Trust,
Series 2005-SD1, Class 1A3
0.58%	08/25/43²	$	30,425	$	29,883
Bear Stearns Asset-Backed Securities Trust,
Series 2005-TC2, Class A3
0.55%	08/25/35²		10,084,200		9,971,474
Bear Stearns Asset-Backed Securities Trust,
Series 2006-AC2, Class 21A3
6.00%	03/25/36		3,921,274		3,368,504
Bear Stearns Mortgage Funding Trust,
Series 2006-AR3, Class 1A1
0.36%	10/25/36²		3,518,010		2,218,209
Bear Stearns Mortgage Funding Trust,
Series 2007-AR4, Class 2A1
0.39%	06/25/37²		366,841		278,782
BHN I Mortgage Fund, Series 1997-2,
Class A1 (Argentina)⁹
1.46%	05/31/17^{2,3,4,6,10,†}		13,760		138
BHN I Mortgage Fund, Series 1997-2,
Class A2 (Argentina)⁹
7.54%	05/31/17^3,4,6,10,†		2,500		25
BHN I Mortgage Fund, Series 2000-1,
Class AF (Argentina)
8.00%	01/31/20^3,4,6,†		6,000		60
Bombardier Capital Mortgage Securitization
Corp., Series 2001-A, Class A
6.80%	12/15/30²		21,650,289		24,026,787
CC Mortgage Funding Corp., Series 2004-1A,
Class A1
0.46%	01/25/35^2,3		1,761,448		1,577,398
Centex Home Equity, Series 2006-A,
Class AV3
0.34%	06/25/36²		32,009,665		31,599,269
Centex Home Equity, Series 2006-A,
Class AV4
0.43%	06/25/36²		200,000		173,123
Chase Mortgage Finance Corp.,
Series 2006-A1, Class 1A2
2.74%	09/25/36²		1,961,025		1,593,826
Chase Mortgage Finance Corp.,
Series 2006-S3, Class 2A1
5.50%	11/25/21		4,032,663		3,613,713
Chase Mortgage Finance Corp.,
Series 2007-A2, Class 2A3
2.92%	07/25/37²		8,509,039		8,540,531
Chaseflex Trust, Series 2005-2, Class 4A2
5.50%	05/25/20		9,624,037		9,573,194
Chaseflex Trust, Series 2006-2, Class A2B
0.38%	09/25/36²		2,648,524		1,842,864
CIT Mortgage Loan Trust, Series 2007-1,
Class 2A2
1.43%	10/25/37^2,3		11,984,645		11,993,668


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Citicorp Mortgage Securities, Inc.,
Series 2005-1, Class 1A12
5.00%	02/25/35	$	703,000	$	692,298
Citicorp Residential Mortgage Securities, Inc.,
Series 2006-2, Class A5 (STEP)
6.04%	09/25/36		525,000		507,250
Citicorp Residential Mortgage Securities, Inc.,
Series 2007-1, Class A5 (STEP)
6.05%	03/25/37		650,000		593,405
Citigroup Mortgage Loan Trust, Inc.,
Series 2004-HYB1, Class A41
3.08%	02/25/34²		366,906		358,054
Citigroup Mortgage Loan Trust, Inc.,
Series 2004-RR2, Class A2
4.68%	05/25/34^2,3		8,841,859		9,242,789
Citigroup Mortgage Loan Trust, Inc.,
Series 2005-5, Class 3A2A
2.46%	10/25/35²		1,534,537		1,148,323
Citigroup Mortgage Loan Trust, Inc.,
Series 2005-9, Class 1A1
0.44%	11/25/35²		408,982		281,696
Citigroup Mortgage Loan Trust, Inc.,
Series 2006-AMC1, Class A2B
0.34%	09/25/36²		6,256,882		3,148,795
Citigroup Mortgage Loan Trust, Inc.,
Series 2006-AR3, Class 1A2A
5.46%	06/25/36²		18,108,748		16,656,010
Citigroup Mortgage Loan Trust, Inc.,
Series 2006-WFH2, Class A2A
0.33%	08/25/36²		11,312,418		10,464,847
Citigroup Mortgage Loan Trust, Inc.,
Series 2007-6, Class 1A4A
5.36%	03/25/37²		1,330,700		826,076
Citigroup Mortgage Loan Trust, Inc.,
Series 2007-WFH1, Class A4
0.38%	01/25/37²		173,000		140,273
Citigroup Mortgage Loan Trust, Inc.,
Series 2007-WFH2, Class A3
0.36%	03/25/37²		40,607,000		38,291,690
Citigroup Mortgage Loan Trust, Inc.,
Series 2009-2, Class 4A2
5.50%	03/25/36³		1,452,123		1,456,310
Citigroup Mortgage Loan Trust, Inc.,
Series 2010-7, Class 2A1
2.67%	02/25/35^2,3		453,156		467,567
Citigroup Mortgage Loan Trust, Inc.,
Series 2010-9, Class 2A1
2.57%	11/25/35^2,3		445,299		458,598
Citigroup Mortgage Loan Trust, Inc.,
Series 2012-3, Class 4A1
2.28%	11/25/36^2,3		3,787,903		3,842,431


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Collateralized Mortgage Obligation Trust,
Series 57, Class D
9.90%	02/01/19	$	2,365	$	2,712
Conseco Finance Securitizations Corp.,
Series 2001-4, Class A4
7.36%	09/01/33		8,056,037		8,647,032
Conseco Finance, Series 2001-C,
Class A5 (STEP)
7.29%	08/15/33		1,393,794		1,396,722
Conseco Finance, Series 2001-D,
Class A5
6.69%	11/15/32²		32,283		32,469
Conseco Finance, Series 2002-A,
Class A5 (STEP)
7.55%	04/15/32		68,672		70,987
Conseco Finance, Series 2002-C,
Class BF2
8.00%	06/15/32^2,3		440,622		486,966
Conseco Financial Corp., Series 1996-7,
Class M1
7.70%	10/15/27²		16,458,084		17,832,597
Conseco Financial Corp., Series 1998-2,
Class A5
6.24%	12/01/28²		132,209		136,855
Conseco Financial Corp., Series 1998-3,
Class A6
6.76%	03/01/30²		7,261,496		7,776,323
Conseco Financial Corp., Series 1998-6,
Class A8
6.66%	06/01/30		9,527,483		10,297,723
Countryplace Manufactured Housing Contract
Trust, Series 2007-1, Class A4
5.85%	07/15/37^2,3		9,150,000		9,231,010
Countrywide Alternative Loan Trust,
Series 2004-J6, Class 2A1
6.50%	11/25/31		17,968		18,976
Countrywide Alternative Loan Trust,
Series 2005-27, Class 3A2
1.25%	08/25/35²		9,038		6,572
Countrywide Alternative Loan Trust,
Series 2005-84, Class 1A1
2.95%	02/25/36²		187,405		139,660
Countrywide Alternative Loan Trust,
Series 2006-24CB, Class A19
0.68%	06/25/36²		2,425,247		1,671,854
Countrywide Alternative Loan Trust,
Series 2006-HY13, Class 4A1
2.90%	02/25/37²		5,136,425		4,370,312
Countrywide Alternative Loan Trust,
Series 2006-OC5, Class 2A2A
0.35%	06/25/36²		2,614,110		2,059,731


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Countrywide Alternative Loan Trust,
Series 2007-J1, Class 2A1
0.38%	03/25/37²	$	1,240,031	$	608,413
Countrywide Asset-Backed Certificates,
Series 2005-11, Class AF4
5.19%	02/25/36²		7,000,000		5,870,536
Countrywide Asset-Backed Certificates,
Series 2005-12, Class 2A5
5.24%	02/25/36²		8,906,459		9,208,477
Countrywide Asset-Backed Certificates,
Series 2005-13, Class AF4
5.17%	04/25/36²		275,000		196,028
Countrywide Asset-Backed Certificates,
Series 2005-2, Class M2
0.62%	08/25/35²		14,000,000		13,461,266
Countrywide Asset-Backed Certificates,
Series 2005-4, Class MV1
0.64%	10/25/35²		126,204		126,370
Countrywide Asset-Backed Certificates,
Series 2005-7, Class MV1
0.69%	11/25/35²		5,323,700		5,305,546
Countrywide Asset-Backed Certificates,
Series 2005-BC2, Class M2
0.85%	05/25/35²		12,134		12,089
Countrywide Asset-Backed Certificates,
Series 2007-13, Class 2A2
0.98%	10/25/47²		25,265,857		21,341,388
Countrywide Home Loan Mortgage
Pass-Through Trust, Series 2001-HYB1,
Class 1A1
2.11%	06/19/31²		46,625		47,192
Countrywide Home Loan Mortgage
Pass-Through Trust, Series 2002-38,
Class A3
5.00%	02/25/18		2,351,588		2,401,559
Countrywide Home Loan Mortgage
Pass-Through Trust, Series 2003-J8,
Class 1A4
5.25%	09/25/23		331,934		345,776
Countrywide Home Loan Mortgage
Pass-Through Trust, Series 2004-14,
Class 4A1
4.95%	08/25/34²		4,738,894		4,787,800
Countrywide Home Loan Mortgage
Pass-Through Trust, Series 2004-25,
Class 1A1
0.51%	02/25/35²		280,373		238,582
Countrywide Home Loan Mortgage
Pass-Through Trust, Series 2004-29,
Class 3A1
2.49%	02/25/35²		6,844,685		4,799,887


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Countrywide Home Loan Mortgage
Pass-Through Trust, Series 2004-HYB3,
Class 1A
2.53%	06/20/34²	$	150,392	$	149,370
Countrywide Home Loan Mortgage
Pass-Through Trust, Series 2004-HYB4,
Class 2A1
2.50%	09/20/34²		4,272,342		4,067,133
Countrywide Home Loan Mortgage
Pass-Through Trust, Series 2004-HYB7,
Class 3A
2.74%	11/20/34²		4,309,035		4,043,878
Countrywide Home Loan Mortgage
Pass-Through Trust, Series 2005-11,
Class 1A2
3.04%	04/25/35²		2,052,150		1,710,192
Countrywide Home Loan Mortgage
Pass-Through Trust, Series 2005-31,
Class 2A3
2.80%	01/25/36²		622,202		484,879
Countrywide Home Loan Mortgage
Pass-Through Trust, Series 2005-4,
Class 4A1
0.47%	02/25/35²		235,501		174,293
Countrywide Home Loan Mortgage
Pass-Through Trust, Series 2005-9,
Class 1A1
0.48%	05/25/35²		9,090,629		7,634,274
Countrywide Home Loan Mortgage
Pass-Through Trust, Series 2007-HY5,
Class 1A1
2.90%	09/25/47²		2,793,573		2,289,646
Countrywide Home Loan Mortgage
Pass-Through Trust, Series 2007-HYB1,
Class 1A1
3.03%	03/25/37²		2,456,419		1,616,616
Credit Suisse First Boston Commercial
Mortgage Trust, Series 2004-AR5, Class 6A1
2.62%	06/25/34²		586,394		587,480
Credit Suisse First Boston Mortgage
Securities Corp., Series 2001-MH29,
Class A (STEP)
5.60%	09/25/31		74		74
Credit Suisse First Boston Mortgage
Securities Corp., Series 2003-AR20,
Class 2A4
2.46%	08/25/33²		42,647		42,424
Credit Suisse First Boston Mortgage
Securities Corp., Series 2004-1, Class 2A1
6.50%	02/25/34		81,010		87,173
Credit Suisse Mortgage Capital Certificates,
Series 2006-2, Class 2A1
0.88%	03/25/36²		8,226,868		5,709,669


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Credit Suisse Mortgage Capital Certificates,
Series 2007-2, Class 3A4
5.50%	03/25/37	$	7,860,477	$	7,479,645
Credit Suisse Mortgage Capital Certificates,
Series 2007-5, Class 1A11
7.00%	08/25/37		3,321,863		2,109,836
Credit Suisse Mortgage Capital Certificates,
Series 2010-17R, Class 1A1
2.52%	06/26/36^2,3		2,287,773		2,376,140
Credit-Based Asset Servicing and
Securitization LLC, Series 2003-CB1,
Class AF (STEP)
3.95%	01/25/33		33,212		32,997
Credit-Based Asset Servicing and
Securitization LLC, Series 2003-CB4,
Class M1
1.21%	03/25/33²		7,389,030		6,888,275
Credit-Based Asset Servicing and
Securitization LLC, Series 2003-CB5,
Class M1
1.20%	11/25/33²		56,317		52,462
Credit-Based Asset Servicing and
Securitization LLC, Series 2005-FR3,
Class M1
0.88%	04/25/35²		2,141,966		2,099,183
Credit-Based Asset Servicing and
Securitization LLC, Series 2006-CB1,
Class AF2 (STEP)
3.85%	01/25/36		11,651,035		8,450,582
Credit-Based Asset Servicing and
Securitization LLC, Series 2006-CB6,
Class A23
0.33%	07/25/36²		33,783,655		27,305,436
Credit-Based Asset Servicing and
Securitization LLC, Series 2006-CB8,
Class A2B
0.29%	10/25/36²		14,306,829		13,916,979
Credit-Based Asset Servicing and
Securitization LLC, Series 2007-BR1,
Class A2A
0.29%	02/25/37²		9,533,359		5,672,348
Credit-Based Asset Servicing and
Securitization LLC, Series 2007-BR1,
Class A2B
0.45%	02/25/37²		46,686,917		27,778,716
Credit-Based Asset Servicing and
Securitization LLC, Series 2007-BR2,
Class A2
0.41%	02/25/37²		73,928,754		36,420,831
Credit-Based Asset Servicing and
Securitization LLC, Series 2007-BR3,
Class A2B
0.40%	04/25/37²		61,305,622		34,510,406


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Credit-Based Asset Servicing and
Securitization LLC, Series 2007-BR5,
Class A2A
0.31%	05/25/37²	$	30,548,877	$	18,575,935
Credit-Based Asset Servicing and
Securitization LLC, Series 2007-BR5,
Class A2C
0.53%	05/25/37²		20,688,710		12,855,962
Credit-Based Asset Servicing and
Securitization LLC, Series 2007-CB1,
Class AF4 (STEP)
4.56%	01/25/37		9,685,089		4,950,969
Credit-Based Asset Servicing and
Securitization LLC, Series 2007-CB1,
Class AF5 (STEP)
4.56%	01/25/37		18,108,348		9,175,364
Credit-Based Asset Servicing and
Securitization LLC, Series 2007-CB2,
Class A2C (STEP)
5.08%	02/25/37		61,907,425		45,192,482
Credit-Based Asset Servicing and
Securitization LLC, Series 2007-CB2,
Class A2D (STEP)
5.08%	02/25/37		42,339,324		30,899,281
Credit-Based Asset Servicing and
Securitization LLC, Series 2007-CB2,
Class A2E (STEP)
5.08%	02/25/37		8,242,363		6,017,502
Credit-Based Asset Servicing and
Securitization LLC, Series 2007-CB5,
Class A2 (STEP)
0.35%	04/25/37²		43,955,309		27,096,413
Credit-Based Asset Servicing and
Securitization LLC, Series 2007-NC1,
Class A2B
0.33%	12/25/36²		51,738,567		26,276,570
Credit-Based Asset Servicing and
Securitization LLC, Series 2007-NC2,
Class A2B
0.32%	01/25/37²		29,535,111		17,733,442
CSAB Mortgage-Backed Trust,
Series 2006-4, Class A6B (STEP)
5.78%	12/25/36		5,268,016		1,765,411
DBRR Trust, Series 2012-EZ1, Class A
0.95%	09/25/45³		68,572,565		68,541,227
DBRR Trust, Series 2013-EZ2, Class A
0.85%	02/25/43^2,3		79,718,078		79,842,837
Deutsche ALT-A Securities Mortgage Loan
Trust, Series 2006-AR3, Class A1
0.37%	08/25/36²		3,036,489		2,094,102
Deutsche ALT-A Securities Mortgage Loan
Trust, Series 2006-AR4, Class A1
0.31%	12/25/36²		3,633,198		2,078,011


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Deutsche ALT-A Securities, Inc. Alternate
Loan Trust, Series 2005-3, Class 4A5
5.25%	06/25/35	$	29,114	$	28,356
Deutsche ALT-A Securities, Inc. Alternate
Loan Trust, Series 2005-6, Class 1A7
5.50%	12/25/35		1,086,187		850,968
Deutsche ALT-A Securities, Inc. Alternate
Loan Trust, Series 2006-AR6, Class A6
0.37%	02/25/37²		2,009,845		1,351,285
Deutsche ALT-A Securities, Inc. Alternate
Loan Trust, Series 2007-AR1, Class A2
0.36%	01/25/47²		1,634,868		906,757
Deutsche ALT-A Securities, Inc. Mortgage
Loan Trust, Series 2006-AR1, Class 2A1
2.99%	02/25/36²		2,365,559		1,764,537
Downey Savings & Loan Association
Mortgage Loan Trust, Series 2005-AR3,
Class 2A1A
0.42%	07/19/45²		517,010		435,689
Downey Savings & Loan Association
Mortgage Loan Trust, Series 2007-AR1,
Class 2A1A
0.32%	04/19/48²		13,760,425		10,907,160
DSLA Mortgage Loan Trust,
Series 2004-AR4, Class 2A1A
0.54%	01/19/45²		5,706,830		4,703,045
DSLA Mortgage Loan Trust,
Series 2005-AR1, Class 2A1A
0.43%	03/19/45²		1,086,940		943,834
Equifirst Mortgage Loan Trust, Series 2005-1,
Class M1
0.60%	04/25/35²		15,675,959		15,659,954
Equity One ABS, Inc., Series 1998-1,
Class A2 (STEP)
7.48%	11/25/29		83,984		76,475
Equity One ABS, Inc., Series 2002-4,
Class M1
5.22%	02/25/33²		15,733		14,792
Equity One Mortgage Pass-Through Trust,
Series 2002-5, Class M1 (STEP)
5.80%	11/25/32		163,371		158,240
First Franklin Mortgage Loan Asset-Backed
Certificates, Series 2005-FFH2, Class M1
0.90%	04/25/35^2,3		1,673,360		1,639,774
First Franklin Mortgage Loan Asset-Backed
Certificates, Series 2006-FF11, Class 2A3
0.33%	08/25/36²		33,493,475		25,742,147
First Franklin Mortgage Loan Asset-Backed
Certificates, Series 2006-FF18, Class A2B
0.29%	12/25/37²		20,289,875		11,721,927
First Franklin Mortgage Loan Asset-Backed
Certificates, Series 2006-FF18, Class A2C
0.34%	12/25/37²		59,039,010		34,343,051


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
First Franklin Mortgage Loan Asset-Backed
Certificates, Series 2006-FF18, Class A2D
0.39%	12/25/37²	$	42,789,808	$	25,098,148
First Franklin Mortgage Loan Asset-Backed
Certificates, Series 2007-FF1, Class A2C
0.32%	01/25/38²		106,963,573		64,049,477
First Franklin Mortgage Loan Asset-Backed
Certificates, Series 2007-FF2, Class A2B
0.28%	03/25/37²		57,766,362		32,110,212
First Franklin Mortgage Loan Asset-Backed
Certificates, Series 2007-FF2, Class A2C
0.33%	03/25/37²		25,358,718		14,157,526
First Franklin Mortgage Loan Asset-Backed
Certificates, Series 2007-FF2, Class A2D
0.40%	03/25/37²		47,217,260		26,472,026
First Horizon Alternative Mortgage Securities
Trust, Series 2004-AA3, Class A1
2.20%	09/25/34²		174,759		173,451
First Horizon Alternative Mortgage Securities
Trust, Series 2004-AA4, Class A1
2.35%	10/25/34²		6,367,639		6,180,732
First Horizon Alternative Mortgage Securities
Trust, Series 2006-FA8, Class 1A7
6.00%	02/25/37		28,880		23,592
First Horizon Asset Securities, Inc.,
Series 2004-AR5, Class 2A1
2.59%	10/25/34²		3,537,059		3,413,469
First Horizon Asset Securities, Inc.,
Series 2007-AR3, Class 1A1
2.44%	11/25/37²		828,998		712,189
First Horizon Mortgage Pass-Through Trust,
Series 2004-AR1, Class 2A1
2.54%	02/25/34²		1,993,308		2,010,648
First Horizon Mortgage Pass-Through Trust,
Series 2004-AR6, Class 2A1
2.65%	12/25/34²		1,415,247		1,377,358
First Horizon Mortgage Pass-Through Trust,
Series 2006-AR4, Class 1A2
2.57%	01/25/37²		436,827		373,703
FNBA Mortgage Pass-Through Certificates,
Series 2004-AR1, Class A2
0.58%	08/19/34²		41,953		39,042
Fremont Home Loan Trust, Series 2005-C,
Class M1
0.66%	07/25/35²		9,824,791		9,844,293
GE Business Loan Trust, Series 2004-2X,
Class B
0.66%	12/15/32		1,581,214		1,443,491
GE Business Loan Trust, Series 2007-1A,
Class A
0.35%	04/16/35^2,3		32,418,990		29,170,494


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
GMAC Mortgage Corp. Loan Trust,
Series 2000-HE2, Class A1
0.62%	06/25/30²	$	87,198	$	74,318
GMAC Mortgage Corp. Loan Trust,
Series 2003-AR2, Class 3A5
3.28%	12/19/33²		14,648,398		14,871,332
GMAC Mortgage Corp. Loan Trust,
Series 2004-AR1, Class 22A
3.44%	06/25/34²		14,997		14,201
GMAC Mortgage Corp. Loan Trust,
Series 2005-AR6, Class 3A1
3.54%	11/19/35²		2,517,125		2,349,220
GMAC Mortgage Corp. Loan Trust,
Series 2006-AR2, Class 1A1
3.69%	05/19/36²		3,588,297		2,666,399
Green Tree, Series 2008-MH1, Class A2
8.97%	04/25/38^2,3		34,901,578		38,937,073
Greenpoint Mortgage Funding Trust,
Series 2005-AR3, Class 1A1
0.42%	08/25/45²		3,310,920		2,729,021
Greenpoint Mortgage Funding Trust,
Series 2006-AR8, Class 1A2A
0.36%	01/25/47²		21,635,068		19,151,492
Greenpoint Mortgage Funding Trust,
Series 2007-AR1, Class 3A2
0.34%	02/25/37²		8,314,867		5,709,905
GS Mortgage Securities Corp.,
Series 2009-1R, Class 2A1
2.65%	11/25/35^2,3		93,341		95,417
GSAA Home Equity Trust, Series 2005-9,
Class 2A3
0.55%	08/25/35²		9,991,856		9,561,686
GSAA Trust, Series 2007-10, Class A2A
6.50%	11/25/37		2,668,207		1,982,064
GSAMP Trust, Series 2005-AHL2, Class A2D
0.53%	12/25/35²		25,693,000		14,588,069
GSAMP Trust, Series 2005-HE5, Class M1
0.60%	11/25/35²		17,000,000		15,808,742
GSR Mortgage Loan Trust, Series 2004-9,
Class 3A1
2.66%	08/25/34²		16,502		16,688
GSR Mortgage Loan Trust, Series 2004-9,
Class 5A7
2.59%	08/25/34²		1,469,000		1,405,644
GSR Mortgage Loan Trust, Series 2005-AR5,
Class 2A3
2.73%	10/25/35²		2,852,017		2,411,609
GSR Mortgage Loan Trust, Series 2005-AR5,
Class 2A4
2.73%	10/25/35²		7,355,059		7,317,077


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
GSR Mortgage Loan Trust, Series 2005-AR6,
Class 4A5
2.66%	09/25/35²	$	735,000	$	721,122
GSR Mortgage Loan Trust, Series 2006-OA1,
Class 2A1
0.37%	08/25/46²		11,799,240		11,259,663
GSR Mortgage Loan Trust, Series 2007-AR2,
Class 2A1
2.79%	05/25/47²		7,257,255		6,403,649
Harborview Mortgage Loan Trust,
Series 2004-1, Class 2A
2.56%	04/19/34²		24,833		24,197
Harborview Mortgage Loan Trust,
Series 2004-11, Class 3A2A
0.52%	01/19/35²		877,442		689,874
Harborview Mortgage Loan Trust,
Series 2005-4, Class 2A
2.84%	07/19/35²		933,832		844,943
Harborview Mortgage Loan Trust,
Series 2006-8, Class 2A1A
0.37%	07/21/36²		457,009		343,069
Harborview Mortgage Loan Trust,
Series 2007-7, Class 2A1A
1.18%	11/25/47²		1,525,373		1,322,738
Home Equity Loan Trust, Series 2005-2,
Class M1
0.64%	01/20/35²		300,821		298,179
Home Equity Loan Trust, Series 2005-3,
Class M1
0.60%	01/20/35²		350,322		343,606
Home Equity Loan Trust, Series 2006-1,
Class A1
0.34%	01/20/36²		22,222,471		21,743,932
Home Equity Loan Trust, Series 2006-2,
Class A1
0.33%	03/20/36²		29,428,105		28,918,072
Home Equity Loan Trust, Series 2006-4,
Class A3V
0.33%	03/20/36²		30,277		29,938
Home Equity Loan Trust, Series 2007-1,
Class AM
0.42%	03/20/36²		2,379,727		2,344,059
Home Equity Loan Trust, Series 2007-3,
Class A4
1.68%	11/20/36²		13,120,000		12,645,436
Home Equity Loan Trust, Series 2007-3,
Class APT
1.38%	11/20/36²		59,544,429		59,416,229
Homestar Mortgage Acceptance Corp.,
Series 2004-5, Class A4
0.75%	10/25/34²		6,854,055		6,770,761


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
HSI Asset Securitization Corp. Trust,
Series 2006-OPT1, Class 2A3
0.37%	12/25/35²	$	21,572,978	$	21,071,805
Impac CMB Trust, Series 2005-1, Class 1A1
0.70%	04/25/35²		10,108,539		9,769,499
Impac Secured Assets Corp., CMN Owners
Trust, Series 2004-3, Class 1
0.98%	11/25/34²		1,525,344		1,421,179
Indymac Index Mortgage Loan Trust,
Series 2004-AR4, Class 1A
2.40%	08/25/34²		2,886,451		2,346,855
Indymac Index Mortgage Loan Trust,
Series 2004-AR5, Class 2A1B
0.98%	08/25/34²		41,943		34,458
Indymac Index Mortgage Loan Trust,
Series 2004-AR6, Class 6A1
2.76%	10/25/34²		364,278		360,780
Indymac Index Mortgage Loan Trust,
Series 2004-AR7, Class A2
1.04%	09/25/34²		134,462		108,565
Indymac Index Mortgage Loan Trust,
Series 2004-AR8, Class 2A2A
0.98%	11/25/34²		101,671		86,243
Indymac Index Mortgage Loan Trust,
Series 2005-AR1, Class 4A1
2.58%	03/25/35²		2,743,658		2,555,276
Indymac Index Mortgage Loan Trust,
Series 2005-AR13, Class 4A1
2.44%	08/25/35²		224,853		186,568
Indymac Index Mortgage Loan Trust,
Series 2005-AR15, Class A1
4.69%	09/25/35²		1,124,210		998,355
Indymac Index Mortgage Loan Trust,
Series 2005-AR18, Class 2A1A
0.49%	10/25/36²		316,716		247,624
Indymac Index Mortgage Loan Trust,
Series 2005-AR25, Class 1A21
4.62%	12/25/35²		10,626,341		8,956,348
Indymac Index Mortgage Loan Trust,
Series 2005-AR31, Class 3A1
2.54%	01/25/36²		4,412,250		3,699,998
Indymac Index Mortgage Loan Trust,
Series 2005-AR6, Class 2A1
0.42%	04/25/35²		1,340,899		1,134,839
Indymac Index Mortgage Loan Trust,
Series 2006-AR14, Class 1A4A
0.35%	11/25/46²		22,751,562		20,091,006
Indymac Index Mortgage Loan Trust,
Series 2006-AR19, Class 1A2
2.82%	08/25/36²		30,353,343		20,771,582
Indymac Index Mortgage Loan Trust,
Series 2006-AR21, Class A1
0.30%	08/25/36²		394,193		259,465


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Indymac Index Mortgage Loan Trust,
Series 2006-AR4, Class A1A
0.39%	05/25/46²	$	2,058,938	$	1,689,505
Indymac Index Mortgage Loan Trust,
Series 2006-AR7, Class 1A1
2.96%	05/25/36²		8,459,883		6,053,621
Indymac Index Mortgage Loan Trust,
Series 2006-AR8, Class A3A
0.41%	07/25/46²		44,481,526		32,086,571
Indymac Index Mortgage Loan Trust,
Series 2007-AR1, Class 1A2
3.06%	03/25/37²		2,393,451		2,081,227
Indymac Index Mortgage Loan Trust,
Series 2007-AR11, Class 1A1
2.47%	06/25/37²		8,321,852		5,497,632
Indymac Index Mortgage Loan Trust,
Series 2007-AR5, Class 2A1
2.74%	05/25/37²		426,897		303,792
Indymac Index Mortgage Loan Trust,
Series 2007-AR7, Class 1A1
3.20%	11/25/37²		7,604,339		6,865,684
Indymac Index Mortgage Loan Trust,
Series 2007-AR9, Class 2A1
4.93%	04/25/37²		695,692		478,809
Indymac Manufactured Housing Contract,
Series 1997-1, Class A3
6.61%	02/25/28		315,281		313,334
JPMorgan Alternative Loan Trust,
Series 2006-A2, Class 1A3
0.35%	05/25/36²		6,448,748		5,795,361
JPMorgan Alternative Loan Trust,
Series 2006-A2, Class 2A1
2.78%	05/25/36²		1,993,926		1,379,976
JPMorgan Alternative Loan Trust,
Series 2006-A2, Class 5A1
5.14%	05/25/36²		20,288,071		15,120,030
JPMorgan Alternative Loan Trust,
Series 2006-S4, Class A4 (STEP)
5.96%	12/25/36		38,700,000		30,056,622
JPMorgan Mortgage Acquisition Corp.,
Series 2006-WF1, Class A6 (STEP)
6.00%	07/25/36		6,808,848		4,064,283
JPMorgan Mortgage Acquisition Corp.,
Series 2006-WMC1, Class A5
0.45%	03/25/36²		25,190,000		15,884,927
JPMorgan Mortgage Acquisition Corp.,
Series 2007-CH3, Class A4
0.39%	03/25/37²		1,310,000		1,021,958
JPMorgan Mortgage Acquisition Corp.,
Series 2007-HE1, Class AF1
0.28%	03/25/47²		344,336		242,648


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
JPMorgan Mortgage Acquisition Corp.,
Series 2007-HE1, Class AF2 (STEP)
4.67%	03/25/47	$	9,480,000	$	6,984,693
JPMorgan Mortgage Acquisition Corp.,
Series 2007-HE1, Class AF3 (STEP)
4.67%	03/25/47		10,000,000		7,365,710
JPMorgan Mortgage Acquisition Corp.,
Series 2007-HE1, Class AF4 (STEP)
4.67%	03/25/47		5,000,000		3,681,600
JPMorgan Mortgage Acquisition Corp.,
Series 2007-HE1, Class AV4
0.46%	03/25/47²		90,000		47,277
JPMorgan Mortgage Trust, Series 2003-A2,
Class 2A3
4.49%	11/25/33²		497,126		478,646
JPMorgan Mortgage Trust, Series 2004-A4,
Class 1A3
2.77%	09/25/34²		2,969,137		3,012,271
JPMorgan Mortgage Trust, Series 2005-A3,
Class 5A3
2.76%	06/25/35²		271,714		250,485
JPMorgan Mortgage Trust, Series 2005-A5,
Class TA1
5.24%	08/25/35²		565,674		565,006
JPMorgan Mortgage Trust, Series 2005-S2,
Class 4A3
5.50%	09/25/20		11,360,990		12,149,614
JPMorgan Mortgage Trust, Series 2006-A2,
Class 5A3
2.85%	11/25/33²		30,426		31,096
JPMorgan Mortgage Trust, Series 2006-A3,
Class 2A1
2.86%	05/25/36²		3,153,709		2,526,928
JPMorgan Mortgage Trust, Series 2006-A3,
Class 3A3
2.79%	05/25/36²		2,472,876		2,106,648
JPMorgan Mortgage Trust, Series 2006-A4,
Class 1A1
2.78%	06/25/36²		1,974,227		1,586,011
JPMorgan Mortgage Trust, Series 2006-A4,
Class 1A4
2.78%	06/25/36²		6,364,276		5,232,535
JPMorgan Mortgage Trust, Series 2006-A5,
Class 2A4
2.78%	08/25/36²		1,482,642		1,229,493
JPMorgan Mortgage Trust, Series 2007-A1,
Class 5A2
2.95%	07/25/35²		7,847,341		7,879,444
JPMorgan Mortgage Trust, Series 2007-A3,
Class 2A3
5.20%	05/25/37²		9,802,800		8,290,365


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
JPMorgan Mortgage Trust, Series 2007-A3,
Class 3A2
5.06%	05/25/37²	$	33,547	$	28,779
JPMorgan Mortgage Trust, Series 2007-A4,
Class 2A3
5.45%	06/25/37²		1,804,514		1,530,874
JPMorgan Resecuritization Trust,
Series 2010-1, Class 1A1
6.00%	02/26/37³		4,158,455		4,288,286
JPMorgan Resecuritization Trust,
Series 2010-4, Class 1A1
2.61%	07/26/36^2,3		743,582		751,465
Lehman ABS Manufactured Housing Contract
Trust, Series 2001-B, Class A4
5.27%	04/15/40		36,330		38,504
Lehman ABS Manufactured Housing Contract
Trust, Series 2001-B, Class A6
6.47%	04/15/40²		10,523,338		11,446,577
Lehman XS Trust, Series 2005-5N,
Class 3A1A
0.48%	11/25/35²		26,117,565		22,169,582
Lehman XS Trust, Series 2006-10N,
Class 1A3A
0.39%	07/25/46²		20,232,652		14,916,260
Lehman XS Trust, Series 2006-13,
Class 1A2
0.35%	09/25/36²		48,958,705		38,445,361
Lehman XS Trust, Series 2006-14N,
Class 3A2
0.30%	08/25/36²		263,803		174,921
Lehman XS Trust, Series 2006-16N,
Class A4A
0.37%	11/25/46²		679,982		516,390
Lehman XS Trust, Series 2006-19,
Class A2
0.35%	12/25/36²		34,083,411		26,320,471
Lehman XS Trust, Series 2006-9,
Class A1B
0.34%	05/25/46²		62,166,212		48,686,899
Lehman XS Trust, Series 2007-10H,
Class 2A2
7.50%	07/25/37		1,583,546		1,277,831
Long Beach Mortgage Loan Trust,
Series 2004-4, Class M1
1.08%	10/25/34²		75,000		69,551
MASTR Adjustable Rate Mortgages Trust,
Series 2003-6, Class 4A2
4.65%	01/25/34²		262,980		260,438
MASTR Adjustable Rate Mortgages Trust,
Series 2003-7, Class 3A1
2.27%	11/25/33²		2,700,675		2,767,553


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
MASTR Adjustable Rate Mortgages Trust,
Series 2004-13, Class 3A1
2.62%	11/21/34²	$	24,189,725	$	25,081,540
MASTR Adjustable Rate Mortgages Trust,
Series 2004-15, Class 9A1
2.90%	10/25/34²		2,477,684		2,478,150
MASTR Adjustable Rate Mortgages Trust,
Series 2004-5, Class 3A1
2.66%	06/25/34²		921		848
MASTR Alternative Loan Trust,
Series 2004-6, Class 3A1
4.75%	07/25/19		5,641,122		5,921,319
MASTR Asset Securitization Trust,
Series 2002-8, Class 1A1
5.50%	12/25/17		38,145		39,373
MASTR Asset Securitization Trust,
Series 2003-8, Class 3A12
5.25%	09/25/33		2,514,276		2,693,060
MASTR Asset Securitization Trust,
Series 2004-3, Class 3A2
4.50%	03/25/19		2,972,379		3,092,372
MASTR Asset-Backed Securities Trust,
Series 2006-HE4, Class A3
0.33%	11/25/36²		22,201,513		9,317,264
MASTR Asset-Backed Securities Trust,
Series 2006-HE4, Class A4
0.39%	11/25/36²		6,167,087		2,614,950
MASTR Asset-Backed Securities Trust,
Series 2007-HE1, Class A3
0.39%	05/25/37²		26,441,000		16,623,176
MASTR Seasoned Securities Trust,
Series 2004-1, Class 4A1
2.71%	10/25/32²		47,445		48,064
Mellon Residential Funding Corp.,
Series 2001-TBC1, Class A1
0.88%	11/15/31²		4,682,153		4,627,772
Merrill Lynch First Franklin Mortgage Loan
Trust, Series 2006-FF1, Class A4
0.29%	11/25/36²		7,416,961		7,408,354
Merrill Lynch First Franklin Mortgage Loan
Trust, Series 2006-FF13, Class A2C
0.34%	10/25/36²		7,065,242		5,082,988
Merrill Lynch First Franklin Mortgage Loan
Trust, Series 2007-1, Class A2B
0.35%	04/25/37²		18,305,850		10,069,975
Merrill Lynch First Franklin Mortgage Loan
Trust, Series 2007-1, Class A2C
0.43%	04/25/37²		43,902,620		24,419,910
Merrill Lynch First Franklin Mortgage Loan
Trust, Series 2007-2, Class A2B
0.35%	05/25/37²		16,827,317		9,950,548


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 A2C
0.42%	05/25/37²	$	62,328,991	$	38,331,700
Merrill Lynch First Franklin Mortgage Loan
Trust, Series 2007-2, Class A2D
0.50%	05/25/37²		28,525,419		17,215,575
Merrill Lynch First Franklin Mortgage Loan
Trust, Series 2007-3, Class A2C
0.36%	06/25/37²		23,372,500		13,546,631
Merrill Lynch First Franklin Mortgage Loan
Trust, Series 2007-3, Class A2D
0.43%	06/25/37²		34,732,000		20,337,079
Merrill Lynch First Franklin Mortgage Loan
Trust, Series 2007-4, Class 2A3
0.34%	07/25/37²		39,242,338		21,587,602
Merrill Lynch First Franklin Mortgage Loan
Trust, Series 2007-5, Class 2A2
1.18%	10/25/37²		21,760,148		16,822,139
Merrill Lynch Mortgage Investors Trust,
Series 2003-A6, Class 2A
3.10%	10/25/33²		1,707,764		1,676,898
Merrill Lynch Mortgage Investors Trust,
Series 2004-A4, Class A1
2.51%	08/25/34²		6,355,804		6,574,732
Merrill Lynch Mortgage Investors, Inc.,
Series 2005-A10, Class A
0.39%	02/25/36²		32,620		29,498
Merrill Lynch Mortgage Investors, Inc.,
Series 2006-WMC2, Class A2B (STEP)
5.07%	03/25/37		38,933,237		17,365,999
Merrill Lynch Mortgage Investors, Inc.,
Series 2006-WMC2, Class A2D (STEP)
5.07%	03/25/37		29,383,089		13,170,358
Merrill Lynch Mortgage-Backed Securities
Trust, Series 2007-2, Class 1A1
2.56%	08/25/36²		2,227,884		1,898,874
Mid-State Trust, Series 11, Class A1
4.86%	07/15/38		413,326		444,622
Mid-State Trust, Series 2004-1, Class A
6.00%	08/15/37		601,519		635,539
Mid-State Trust, Series 2005-1, Class A
5.74%	01/15/40		26,780,338		28,868,830
Mid-State Trust, Series 2006-1, Class A
5.79%	10/15/40³		18,201,382		19,314,733
Mid-State Trust, Series 6, Class A1
7.34%	07/01/35		139,435		152,739
Mid-State Trust, Series 6, Class A2
7.40%	07/01/35		8,715		9,487
Morgan Stanley ABS Capital I,
Series 2005-HE3, Class M2
0.70%	07/25/35²		77,105		75,032


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Morgan Stanley ABS Capital I,
Series 2006-HE1, Class A4
0.47%	01/25/36²	$	4,800,000	$	3,576,629
Morgan Stanley Home Equity Loan Trust,
Series 2005-3, Class M1
0.63%	08/25/35²		51,278		50,438
Morgan Stanley Mortgage Loan Trust,
Series 2004-11AR, Class 1A1
0.50%	01/25/35²		576,905		540,570
Morgan Stanley Mortgage Loan Trust,
Series 2004-3, Class 2A2
5.50%	04/25/34		712,083		735,709
Morgan Stanley Mortgage Loan Trust,
Series 2004-7AR, Class 2A4
2.07%	09/25/34²		3,625,192		3,400,168
Morgan Stanley Mortgage Loan Trust,
Series 2004-8AR, Class 4A1
2.52%	10/25/34²		317,084		308,764
Morgan Stanley Mortgage Loan Trust,
Series 2006-7, Class 5A2
5.96%	06/25/36²		267,706		158,817
Morgan Stanley Mortgage Loan Trust,
Series 2007-6XS, Class 1A2S (STEP)
5.50%	02/25/47		885,110		821,716
Morgan Stanley Mortgage Loan Trust,
Series 2007-7AX, Class 2A1
0.30%	04/25/37²		8,117,551		3,807,067
Morgan Stanley Resecuritization Trust,
Series 2010-R4, Class 1B
0.51%	01/26/36^2,3		12,832,887		12,713,811
Morgan Stanley Resecuritization Trust,
Series 2010-R9, Class 3A
3.25%	11/26/36³		142,027		142,136
MortgageIT Trust, Series 2005-4, Class A1
0.46%	10/25/35²		8,152,630		7,083,551
MortgageIT Trust, Series 2005-5, Class A1
0.44%	12/25/35²		3,033,001		2,708,970
Nationstar Home Equity Loan Trust,
Series 2007-C, Class 2AV4
0.43%	06/25/37²		7,955,000		5,022,588
New Century Home Equity Loan Trust,
Series 2003-6, Class M1
1.26%	01/25/34²		53,693		51,622
New Century Home Equity Loan Trust,
Series 2005-2, Class A2C
0.48%	06/25/35²		367,058		366,678
New Century Home Equity Loan Trust,
Series 2005-2, Class M1
0.61%	06/25/35²		65,000		63,690
New Century Home Equity Loan Trust,
Series 2005-4, Class A2B
0.45%	09/25/35²		15,529		15,451


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
New Century Home Equity Loan Trust,
Series 2005-4, Class M1
0.66%	09/25/35²	$	36,420,000	$	35,093,493
New Century Home Equity Loan Trust,
Series 2005-C, Class A2D
0.52%	12/25/35²		18,000,000		14,861,016
Newcastle Mortgage Securities Trust,
Series 2006-1, Class A4
0.46%	03/25/36²		71,929,000		66,950,794
Newcastle Mortgage Securities Trust,
Series 2007-1, Class 2A3
0.41%	04/25/37²		17,117,000		9,073,431
Oakwood Mortgage Investors, Inc.,
Series 1998-B, Class A4
6.35%	03/15/17		6,959		7,009
Option One Mortgage Loan Trust,
Series 2005-4, Class A3
0.44%	11/25/35²		48,555		47,814
Option One Mortgage Loan Trust,
Series 2005-5, Class A3
0.39%	12/25/35²		55,455		54,735
Option One Mortgage Loan Trust,
Series 2007-1, Class 2A4
0.40%	01/25/37²		6,000,000		3,089,286
Ownit Mortgage Loan Asset-Backed
Certificates, Series 2006-4, Class A2D
0.42%	05/25/37²		35,992,474		22,012,061
Park Place Securities, Inc.,
Series 2004-MHQ1, Class M1
1.23%	12/25/34²		2,846,809		2,853,980
Park Place Securities, Inc.,
Series 2005-WHQ4, Class A1A
0.44%	09/25/35²		76,134,871		74,011,203
Popular ABS Mortgage Pass-Through Trust,
Series 2005-3, Class AF6 (STEP)
4.76%	07/25/35		1,118,024		1,129,136
Popular ABS Mortgage Pass-Through Trust,
Series 2005-6, Class A5 (STEP)
4.69%	01/25/36		22,910,000		16,848,312
Popular ABS Mortgage Pass-Through Trust,
Series 2006-D, Class A3
0.44%	11/25/46²		85,000		62,073
Popular ABS Mortgage Pass-Through Trust,
Series 2007-A, Class A3
0.49%	06/25/47²		23,015,500		13,600,363
Provident Funding Mortgage Loan Trust,
Series 2003-1, Class A
2.50%	08/25/33²		1,569,824		1,575,620
Residential Accredit Loans, Inc.,
Series 2003-QS3, Class A4
5.50%	02/25/18		121,668		126,008


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Residential Accredit Loans, Inc.,
Series 2005-QA10, Class A31
3.72%	09/25/35²	$	1,219,617	$	998,325
Residential Accredit Loans, Inc.,
Series 2005-QA12, Class CB1
3.73%	12/25/35²		8,086,435		5,911,160
Residential Accredit Loans, Inc.,
Series 2005-QA4, Class A41
3.07%	04/25/35²		8,964,521		8,688,952
Residential Accredit Loans, Inc.,
Series 2005-QA7, Class A1
3.23%	07/25/35²		7,526,440		5,680,980
Residential Accredit Loans, Inc.,
Series 2005-QA8, Class CB21
3.33%	07/25/35²		6,445,160		5,231,280
Residential Accredit Loans, Inc.,
Series 2005-QA9, Class CB11
3.21%	08/25/35²		13,518,666		11,169,601
Residential Accredit Loans, Inc.,
Series 2005-QO4, Class 2A1
0.46%	12/25/45²		2,717,851		2,053,619
Residential Accredit Loans, Inc.,
Series 2005-QO5, Class A1
1.16%	01/25/46²		14,915,572		10,011,989
Residential Accredit Loans, Inc.,
Series 2006-Q08, Class 1A2A
0.33%	10/25/46²		9,412,966		8,967,771
Residential Accredit Loans, Inc.,
Series 2006-Q09, Class 1A2A
0.33%	12/25/46²		19,583,701		18,915,094
Residential Accredit Loans, Inc.,
Series 2006-QA1, Class A11
3.38%	01/25/36²		222,109		166,078
Residential Accredit Loans, Inc.,
Series 2006-QA1, Class A21
3.76%	01/25/36²		5,155,059		3,884,951
Residential Accredit Loans, Inc.,
Series 2006-QS10, Class AV (IO)
0.54%	08/25/36^2,6		72,557,294		1,863,489
Residential Accredit Loans, Inc.,
Series 2006-QS12, Class 2A9
0.56%	09/25/36²		629,939		412,723
Residential Accredit Loans, Inc.,
Series 2006-QS2, Class 1AV (IO)
0.48%	02/25/36^2,6		246,814,799		4,641,723
Residential Accredit Loans, Inc.,
Series 2006-QS7, Class AV (IO)
0.67%	06/25/36^2,6		126,462,546		3,296,120
Residential Accredit Loans, Inc.,
Series 2006-QS8, Class AV (IO)
0.77%	08/25/36^2,6		304,136,781		9,817,231


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Residential Accredit Loans, Inc.,
Series 2007-QS10, Class AV (IO)
0.45%	09/25/37^2,6	$	186,357,947	$	3,429,732
Residential Accredit Loans, Inc.,
Series 2007-QS4, Class 3AV (IO)
0.38%	03/25/37^2,6		117,681,228		1,790,638
Residential Accredit Loans, Inc.,
Series 2007-QS5, Class AV (IO)
0.25%	03/25/37^2,6		146,131,220		1,357,997
Residential Accredit Loans, Inc.,
Series 2007-QS6, Class AV (IO)
0.32%	04/25/37^2,6		317,697,101		4,342,443
Residential Accredit Loans, Inc.,
Series 2007-QS7, Class 2AV (IO)
0.38%	06/25/37^2,6		97,646,474		1,553,751
Residential Accredit Loans, Inc.,
Series 2007-QS8, Class AV (IO)
0.39%	06/25/37^2,6		248,133,575		3,621,634
Residential Asset Mortgage Products, Inc.,
Series 2003-RS10, Class AI6 (STEP)
5.86%	11/25/33		647,938		689,303
Residential Asset Mortgage Products, Inc.,
Series 2003-RS11, Class AI6A (STEP)
5.98%	12/25/33		321,908		319,400
Residential Asset Mortgage Products, Inc.,
Series 2003-RS9, Class AI6A (STEP)
6.11%	10/25/33		36,701		36,243
Residential Asset Mortgage Products, Inc.,
Series 2004-RS12, Class MII2
1.38%	12/25/34²		1,240,493		1,223,159
Residential Asset Mortgage Products, Inc.,
Series 2004-SL1, Class A8
6.50%	11/25/31		103,677		107,297
Residential Asset Mortgage Products, Inc.,
Series 2004-SL3, Class A2
6.50%	12/25/31		94,156		96,135
Residential Asset Mortgage Products, Inc.,
Series 2004-SL3, Class A4
8.50%	12/25/31		48,193		46,507
Residential Asset Mortgage Products, Inc.,
Series 2005-RS8, Class A2
0.47%	10/25/33²		7,419		7,401
Residential Asset Securities Corp.,
Series 2004-IP2, Class 1A1
2.61%	12/25/34²		505,724		509,225
Residential Asset Securities Corp.,
Series 2004-IP2, Class 2A1
2.62%	12/25/34²		72,674		72,966
Residential Asset Securities Corp.,
Series 2004-IP2, Class 3A1
2.63%	12/25/34²		1,413,997		1,407,095


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Residential Asset Securities Corp.,
Series 2006-A7CB, Class 1A3
6.25%	07/25/36	$	2,460,382	$	2,259,986
Residential Funding Mortgage Securities I,
Inc., Series 2005-SA5, Class 1A
3.08%	11/25/35²		14,993,509		11,695,042
Residential Funding Mortgage Securities I,
Inc., Series 2006-SA3, Class 3A1
4.22%	09/25/36²		2,932,130		2,475,638
Residential Funding Mortgage Securities I,
Inc., Series 2006-SA3, Class 4A1
6.10%	09/25/36²		1,258,389		1,073,603
Residential Funding Mortgage Securities I,
Inc., Series 2006-SA4, Class 2A1
3.80%	11/25/36²		255,347		215,223
Residential Funding Mortgage Securities I,
Inc., Series 2007-SA2, Class 2A2
3.21%	04/25/37²		1,709,959		1,451,039
Residential Funding Mortgage Securities II,
Inc., Series 1999-HI6, Class AI7 (STEP)
8.60%	09/25/29		131,194		125,499
Residential Funding Mortgage Securities II,
Inc., Series 2000-HI1, Class AI7 (STEP)
8.29%	02/25/25		104,529		103,438
Residential Funding Mortgage Securities
Trust, Series 1999-HI1, Class A6 (STEP)
7.58%	09/25/29		21,200		21,627
Residential Funding Mortgage Securities
Trust, Series 2003-S7, Class A7
5.50%	05/25/33		2,716,330		2,851,351
Residential Funding Mortgage Securities
Trust, Series 2004-S2, Class A9
5.50%	03/25/34		1,511,144		1,634,794
Residential Funding Mortgage Securities
Trust, Series 2004-S6, Class 1A6
5.50%	06/25/34		1,123,091		1,183,711
Saxon Asset Securities Trust, Series 2001-2,
Class AF6 (STEP)
6.62%	06/25/16		23,579		24,714
Saxon Asset Securities Trust, Series 2005-2,
Class M1
0.60%	10/25/35²		24,058,734		24,052,166
Saxon Asset Securities Trust, Series 2007-1,
Class A2C
0.33%	01/25/47²		13,135,000		9,193,205
Saxon Asset Securities Trust, Series 2007-3,
Class 2A3
0.58%	09/25/47²		32,174,000		16,798,721
Sequoia Mortgage Trust, Series 2004-3,
Class A
0.94%	05/20/34²		1,801,146		1,673,807


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
SG Mortgage Securities Trust,
Series 2006-FRE1, Class A1B
0.45%	02/25/36²	$	2,076,620	$	1,544,976
SG Mortgage Securities Trust,
Series 2007-NC1, Class A2
0.42%	12/25/36^2,3		14,202,437		8,402,943
Soundview Home Equity Loan Trust,
Series 2006-1, Class A3
0.37%	02/25/36²		12,490,624		12,235,815
Soundview Home Equity Loan Trust,
Series 2006-WF2, Class A2C
0.32%	12/25/36²		35,039,656		33,955,585
Soundview Home Equity Loan Trust,
Series 2007-NS1, Class A4
0.48%	01/25/37²		12,405,000		6,930,642
Structured Adjustable Rate Mortgage Loan
Trust, Series 2004-1, Class 3A3
2.58%	02/25/34²		54,024		54,313
Structured Adjustable Rate Mortgage Loan
Trust, Series 2004-14, Class 1A
2.62%	10/25/34²		381,349		382,796
Structured Adjustable Rate Mortgage Loan
Trust, Series 2004-14, Class 2A
2.48%	10/25/34²		33,157,080		32,440,708
Structured Adjustable Rate Mortgage Loan
Trust, Series 2004-16, Class 3A1
2.62%	11/25/34²		24,834,664		24,490,148
Structured Adjustable Rate Mortgage Loan
Trust, Series 2004-17, Class A1
1.14%	11/25/34²		111,541		106,552
Structured Adjustable Rate Mortgage Loan
Trust, Series 2004-20, Class 1A2
2.53%	01/25/35²		1,658,196		1,562,719
Structured Adjustable Rate Mortgage Loan
Trust, Series 2006-1, Class 5A1
2.92%	02/25/36²		3,552,069		3,483,634
Structured Adjustable Rate Mortgage Loan
Trust, Series 2007-9, Class 2A1
2.89%	10/25/47²		1,974,433		1,367,996
Structured Asset Investment Loan Trust,
Series 2006-1, Class A3
0.38%	01/25/36²		16,995,884		16,532,441
Structured Asset Mortgage Investments, Inc.,
Series 2006-AR3, Class 24A1
2.38%	05/25/36²		852,428		535,516
Structured Asset Mortgage Investments, Inc.,
Series 2007-AR3, Class 1A2
0.35%	04/25/37²		8,243,153		8,221,003
Structured Asset Mortgage Investments, Inc.,
Series 2007-AR6, Class A1
1.66%	08/25/47²		149,998,184		117,060,983


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Structured Asset Securities Corp. Mortgage
Loan Trust, Series 2006-BC4, Class A3
0.29%	12/25/36²	$	16,292,093	$	16,190,116
Structured Asset Securities Corp. Mortgage
Pass-Through Certificates, Series
2004-23XS, Class 2A1
0.48%	01/25/35²		5,740,418		5,140,252
Structured Asset Securities Corp. Trust,
Series 2005-5, Class 2A4
5.50%	04/25/35		11,958,895		12,072,659
Structured Asset Securities Corp.,
Series 1997-2, Class 2A4
7.25%	03/28/30		3,747		3,794
Structured Asset Securities Corp.,
Series 2001-15A, Class 4A1
2.31%	10/25/31²		11,716		11,732
Structured Asset Securities Corp.,
Series 2003-26A, Class 3A5
2.48%	09/25/33²		654,032		638,233
Structured Asset Securities Corp.,
Series 2003-34A, Class 5A4
2.52%	11/25/33²		4,581,710		4,611,322
Structured Asset Securities Corp.,
Series 2003-7H, Class A12
6.50%	03/25/33		55,220		58,323
Structured Asset Securities Corp.,
Series 2005-17, Class 4A4
5.50%	10/25/35		10,391,793		10,545,031
Structured Asset Securities Corp.,
Series 2005-WF4, Class A4
0.54%	11/25/35²		13,969,127		13,937,515
Structured Asset Securities Corp.,
Series 2006-WF1, Class A5
0.48%	02/25/36²		20,955,195		20,519,107
Structured Asset Securities Corp.,
Series 2006-WF2, Class A3
0.33%	07/25/36²		12,641,876		12,509,836
Structured Asset Securities Corp.,
Series 2006-WF2, Class A4
0.49%	07/25/36²		43,826,000		38,281,836
Structured Asset Securities Corp.,
Series 2006-WF3, Class A3
0.33%	09/25/36²		5,600,931		5,468,561
Structured Asset Securities Corp.,
Series 2007-BC4, Class A3
0.43%	11/25/37²		7,147,187		6,994,261
Structured Asset Securities Corp.,
Series 2007-EQ1, Class A4
0.43%	03/25/37²		26,129,166		14,837,656
Suntrust Adjustable Rate Mortgage Loan
Trust, Series 2007-3, Class 1A1
2.88%	06/25/37²		15,376,579		13,655,678


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Thornburg Mortgage Securities Trust,
Series 2004-4, Class 2A
2.37%	12/25/44²	$	424,574	$	407,379
Vanderbilt Acquisition Loan Trust,
Series 2002-1, Class A4
6.57%	05/07/27²		2,442,942		2,566,820
Wachovia Bank Commercial Mortgage Trust,
Series 2006-AMN1, Class A3
0.42%	08/25/36²		1,943,089		1,188,186
WaMu Asset-Backed Certificates,
Series 2007-HE1, Class 2A2
0.29%	01/25/37²		6,267,528		3,110,775
WaMu Asset-Backed Certificates,
Series 2007-HE1, Class 2A3
0.33%	01/25/37²		57,856,331		28,866,693
WaMu Asset-Backed Certificates,
Series 2007-HE1, Class 2A4
0.41%	01/25/37²		19,421,394		9,806,522
WaMu Asset-Backed Certificates,
Series 2007-HE2, Class 2A4
0.54%	04/25/37²		1,621,977		791,838
WaMu Asset-Backed Certificates,
Series 2007-HE3, Class 2A5
0.43%	05/25/47²		10,850,940		6,269,217
WaMu Mortgage Pass-Through Certificates,
Series 2002-AR18, Class A
2.50%	01/25/33²		28,753		28,953
WaMu Mortgage Pass-Through Certificates,
Series 2003-AR6, Class A1
2.44%	06/25/33²		48,119		48,932
WaMu Mortgage Pass-Through Certificates,
Series 2004-AR3, Class A2
2.46%	06/25/34²		145,143		147,847
WaMu Mortgage Pass-Through Certificates,
Series 2004-AR6, Class A
0.61%	05/25/44²		149,617		138,849
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR11, Class A1A
0.50%	08/25/45²		99,435,541		92,819,597
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR12, Class 1A6
2.41%	10/25/35²		310,000		291,362
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR13, Class A1A1
0.47%	10/25/45²		261,074		240,421
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR14, Class 2A1
2.86%	12/25/35²		13,460,164		12,365,597
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR15, Class A1A1
0.44%	11/25/45²		40,811,707		36,719,966


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR19, Class A1A1
0.45%	12/25/45²	$	2,946,324	$	2,724,471
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR2, Class 2A1A
0.49%	01/25/45²		3,166,132		2,944,845
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR6, Class 2A1A
0.41%	04/25/45²		434,442		405,667
WaMu Mortgage Pass-Through Certificates,
Series 2006-AR1, Class 2A1A
1.23%	01/25/46²		82,033,293		78,070,823
WaMu Mortgage Pass-Through Certificates,
Series 2006-AR16, Class 3A1
4.48%	12/25/36²		2,127,875		1,819,631
WaMu Mortgage Pass-Through Certificates,
Series 2006-AR3, Class A1A
1.16%	02/25/46²		1,839,920		1,694,584
WaMu Mortgage Pass-Through Certificates,
Series 2006-AR4, Class 1A1A
1.10%	05/25/46²		1,826,513		1,646,997
WaMu Mortgage Pass-Through Certificates,
Series 2006-AR7, Class 2A
1.14%	07/25/46²		5,720,122		4,683,327
WaMu Mortgage Pass-Through Certificates,
Series 2006-AR9, Class 2A
2.45%	08/25/46²		1,927,171		1,788,583
WaMu Mortgage Pass-Through Certificates,
Series 2007-HE2, Class 2A3
0.43%	04/25/37²		36,800,377		17,744,424
WaMu Mortgage Pass-Through Certificates,
Series 2007-HY1, Class 1A1
2.43%	02/25/37²		2,565,315		2,011,369
WaMu Mortgage Pass-Through Certificates,
Series 2007-HY1, Class 4A1
2.54%	02/25/37²		1,050,471		907,613
WaMu Mortgage Pass-Through Certificates,
Series 2007-HY6, Class 2A1
4.51%	06/25/37²		957,007		806,531
WaMu Mortgage Pass-Through Certificates,
Series 2007-HY7, Class 4A2
4.90%	07/25/37²		837,690		792,892
WaMu Mortgage Pass-Through Certificates,
Series 2007-OA1, Class A1A
0.86%	02/25/47²		6,201,037		4,921,620
WaMu Mortgage Pass-Through Certificates,
Series 2007-OA3, Class 5A
2.20%	04/25/47²		7,795,535		5,163,879
Washington Mutual Alternative Mortgage
Pass-Through Certificates, Series 2005-3,
Class 2A3
0.73%	05/25/35²		10,253,822		7,451,729


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Washington Mutual Alternative Mortgage
Pass-Through Certificates, Series 2005-4,
Class CB13
0.68%	06/25/35²	$	15,256,855	$	11,355,347
Washington Mutual Alternative Mortgage
Pass-Through Certificates, Series 2006-AR2,
Class A1A
1.10%	04/25/46²		18,730,399		13,806,327
Washington Mutual Alternative Mortgage
Pass-Through Certificates, Series 2006-AR3,
Class A1A
1.13%	05/25/46²		34,270,157		22,402,436
Washington Mutual Alternative Mortgage
Pass-Through Certificates, Series 2006-AR7,
Class A1A
1.08%	09/25/46²		10,033,093		5,633,622
Washington Mutual Alternative Mortgage
Pass-Through Certificates, Series 2007-1,
Class 2A1
6.00%	01/25/22		995,419		966,629
Washington Mutual Alternative Mortgage
Pass-Through Certificates, Series 2007-OA1,
Class 2A
0.88%	12/25/46²		9,800,163		5,443,442
Washington Mutual Alternative Mortgage
Pass-Through Certificates, Series 2007-OA2,
Class 2A
0.86%	01/25/47²		23,750,455		14,841,683
Washington Mutual Alternative Mortgage
Pass-Through Certificates, Series 2007-OA3,
Class 2A
0.91%	02/25/47²		45,305,548		27,707,700
Washington Mutual Alternative Mortgage
Pass-Through Certificates, Series 2007-OA3,
Class 4A1
0.93%	04/25/47²		2,845,599		2,128,952
Washington Mutual MSC Mortgage
Pass-Through Certificates, Series
2002-AR1,Class 1A1
2.48%	11/25/30²		553,355		543,706
Wells Fargo Alternative Loan Trust,
Series 2007-PA5, Class 1A1
6.25%	11/25/37		742,138		680,182
Wells Fargo Home Equity Trust,
Series 2004-2, Class AI6
5.00%	05/25/34²		6,722,160		6,861,621
Wells Fargo Home Equity Trust,
Series 2005-3, Class AII3
0.52%	11/25/35²		1,005,899		1,005,775
Wells Fargo Home Equity Trust,
Series 2007-2, Class A1
0.27%	04/25/37²		1,041,789		1,040,000
Wells Fargo Mortgage-Backed Securities
Trust, Series 2003-17, Class 2A10
5.50%	01/25/34		9,708,931		10,126,986


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Wells Fargo Mortgage-Backed Securities
Trust, Series 2003-M, Class A1
4.69%	12/25/33²	$	2,905,831	$	2,947,704
Wells Fargo Mortgage-Backed Securities
Trust, Series 2004-L, Class A8
4.79%	07/25/34²		927,360		932,733
Wells Fargo Mortgage-Backed Securities
Trust, Series 2004-S, Class A1
2.63%	09/25/34²		8,018,342		8,131,180
Wells Fargo Mortgage-Backed Securities
Trust, Series 2006-10, Class A4
6.00%	08/25/36		8,598,818		8,888,881
Wells Fargo Mortgage-Backed Securities
Trust, Series 2006-2, Class 2A3
5.50%	03/25/36		822,860		788,163
Wells Fargo Mortgage-Backed Securities
Trust, Series 2006-AR10, Class 5A1
2.61%	07/25/36²		684,085		651,150
Wells Fargo Mortgage-Backed Securities
Trust, Series 2006-AR10, Class 5A2
2.61%	07/25/36²		232,001		220,832
Wells Fargo Mortgage-Backed Securities
Trust, Series 2006-AR10, Class 5A3
2.61%	07/25/36²		496,172		466,129
Wells Fargo Mortgage-Backed Securities
Trust, Series 2006-AR10, Class 5A6
2.61%	07/25/36²		2,343,773		2,161,674
Wells Fargo Mortgage-Backed Securities
Trust, Series 2006-AR17, Class A1
2.63%	10/25/36²		5,295,650		4,819,270
Wells Fargo Mortgage-Backed Securities
Trust, Series 2006-AR8, Class 1A3
2.67%	04/25/36²		30,967		30,618
Wells Fargo Mortgage-Backed Securities,
Series 2007-5, Class 1A1
5.50%	05/25/37		14,137,578		14,586,206


					4,171,418,481

U.S. Agency Mortgage-Backed — 33.08%
Fannie Mae Pool (TBA)
2.50%	10/25/27		395,850,000		398,200,359
3.00%	10/25/26		915,535,000		948,150,934
3.00%	10/25/42		87,050,000		85,064,172
3.50%	10/25/42		784,685,000		799,275,237
4.00%	10/25/41		945,260,000		991,784,468
Fannie Mae Pool 190375
5.50%	11/01/36		3,930,681		4,288,650
Fannie Mae Pool 254232
6.50%	03/01/22		69,665		77,098
Fannie Mae Pool 313182
7.50%	10/01/26		6,642		7,601


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool 394854
6.50%	05/01/27	$	2,856	$	3,214
Fannie Mae Pool 467243
4.55%	01/01/21		2,669,332		2,943,086
Fannie Mae Pool 468587
3.84%	08/01/21		805,598		859,064
Fannie Mae Pool 545191
7.00%	09/01/31		20,086		22,724
Fannie Mae Pool 545831
6.50%	08/01/17		27,137		29,179
Fannie Mae Pool 555284
7.50%	10/01/17		4,196		4,524
Fannie Mae Pool 606108
7.00%	03/01/31		6,331		6,622
Fannie Mae Pool 613142
7.00%	11/01/31		39,344		45,750
Fannie Mae Pool 625666
7.00%	01/01/32		21,815		24,991
Fannie Mae Pool 633698
7.50%	02/01/31		136,404		165,741
Fannie Mae Pool 637093
8.50%	03/01/32		13,221		14,424
Fannie Mae Pool 646884
1.92%	05/01/32²		7,506		7,612
Fannie Mae Pool 655928
7.00%	08/01/32		353,664		409,040
Fannie Mae Pool 725257
5.50%	02/01/34		3,706,896		4,054,931
Fannie Mae Pool 734922
4.50%	09/01/33		5,297,524		5,662,458
Fannie Mae Pool 735207
7.00%	04/01/34		78,582		89,180
Fannie Mae Pool 735224
5.50%	02/01/35		15,787,926		17,280,117
Fannie Mae Pool 735646
4.50%	07/01/20		4,403,686		4,689,321
Fannie Mae Pool 735651
4.50%	06/01/35		15,628,129		16,747,101
Fannie Mae Pool 735686
6.50%	12/01/22		132,663		146,795
Fannie Mae Pool 740297
5.50%	10/01/33		7,543		8,258
Fannie Mae Pool 745592
5.00%	01/01/21		23,735		25,305
Fannie Mae Pool 817611
5.29%	11/01/35²		1,628,203		1,753,782
Fannie Mae Pool 839109
5.24%	11/01/35²		31,115		33,519


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool 841031
5.23%	11/01/35²	$	116,137	$	125,136
Fannie Mae Pool 844773
5.21%	12/01/35²		31,871		34,335
Fannie Mae Pool 888412
7.00%	04/01/37		2,457,244		2,727,343
Fannie Mae Pool 889125
5.00%	12/01/21		14,425,524		15,379,958
Fannie Mae Pool 889184
5.50%	09/01/36		14,041,862		15,369,986
Fannie Mae Pool 895606
5.78%	06/01/36²		104,779		113,947
Fannie Mae Pool 908408
5.55%	04/01/37²		7,000,609		7,523,800
Fannie Mae Pool 918445
5.96%	05/01/37²		139,964		150,114
Fannie Mae Pool 933033
6.50%	10/01/37		3,526,086		3,809,826
Fannie Mae Pool AB1613
4.00%	10/01/40		80,480,410		84,868,100
Fannie Mae Pool AB1803
4.00%	11/01/40		85,463,428		90,446,800
Fannie Mae Pool AB1960
4.00%	12/01/40		49,324,568		51,815,846
Fannie Mae Pool AB2051
3.50%	01/01/26		112,563,316		119,365,573
Fannie Mae Pool AB2127
3.50%	01/01/26		62,303,352		66,009,966
Fannie Mae Pool AB3679
3.50%	10/01/41		28,885,546		29,457,614
Fannie Mae Pool AB3864
3.50%	11/01/41		23,435,827		23,903,629
Fannie Mae Pool AB3866
3.50%	11/01/41		84,879,075		86,545,016
Fannie Mae Pool AB4044
3.50%	12/01/41		36,130,085		36,839,225
Fannie Mae Pool AB4045
3.50%	12/01/41		24,700,157		25,204,772
Fannie Mae Pool AD0791
4.76%	02/01/20		19,162,242		21,629,594
Fannie Mae Pool AD0849
4.25%	02/01/20		29,478,498		32,185,043
Fannie Mae Pool AD0850
4.31%	02/01/20		49,421,177		54,489,783
Fannie Mae Pool AE0482
5.50%	01/01/38		33,398,230		36,558,205
Fannie Mae Pool AE0600
3.98%	11/01/20		41,428,451		44,829,109


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool AE0605
4.67%	07/01/20	$	33,069,153	$	37,073,645
Fannie Mae Pool AE0918
3.66%	10/01/20		6,231,733		6,595,078
Fannie Mae Pool AH3428
3.50%	01/01/26		193,394		205,081
Fannie Mae Pool AH3429
3.50%	01/01/26		57,416,245		60,747,978
Fannie Mae Pool AH3780
4.00%	02/01/41		35,298,743		37,302,919
Fannie Mae Pool AH4793
4.00%	02/01/41		98,144,559		103,101,629
Fannie Mae Pool AH4815
3.50%	02/01/26		210,094		222,790
Fannie Mae Pool AJ0764
4.50%	09/01/41		56,600		60,502
Fannie Mae Pool AJ1404
4.00%	09/01/41		62,519,977		65,782,861
Fannie Mae Pool AL0209
4.50%	05/01/41		55,539,097		60,229,591
Fannie Mae Pool AL0290
4.45%	04/01/21		33,148,802		36,322,280
Fannie Mae Pool AL0600
4.30%	07/01/21		4,741,881		5,155,041
Fannie Mae Pool AL0834
4.06%	10/01/21		39,886,310		42,736,473
Fannie Mae Pool AL0851
6.00%	10/01/40		84,496,895		92,773,145
Fannie Mae Pool AL1410
4.50%	12/01/41		70,487,148		75,513,068
Fannie Mae Pool AL1445
4.34%	11/01/21		81,683,450		89,346,209
Fannie Mae Pool AL2602
2.65%	10/01/22		118,493		119,545
Fannie Mae Pool AL2669
4.48%	09/01/21		36,201,344		39,503,535
Fannie Mae Pool AL3306
2.46%	04/01/23		44,646		42,333
Fannie Mae Pool AU3739
3.50%	08/01/43		80,604,835		82,316,255
Fannie Mae Pool FN0000
3.58%	09/01/20		11,248,532		11,845,969
Fannie Mae Pool FN0001
3.76%	12/01/20		26,122,966		27,914,387
Fannie Mae Pool FN0002
3.31%	12/01/17		1,475,325		1,572,559
Fannie Mae Pool FN0003
4.30%	01/01/21		8,984,227		9,883,983


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool FN0005
3.38%	11/01/20	$	43,447,098	$	45,126,897
Fannie Mae Pool FN0007
3.46%	11/01/20		80,000		83,470
Fannie Mae Pool FN0010
3.84%	09/01/20		346,599		370,271
Fannie Mae Pool MA1241
2.50%	11/01/22		133,823		137,953
Fannie Mae Pool MA1275
3.00%	12/01/32		9,820,654		9,856,578
Fannie Mae Pool MA1278
2.50%	12/01/22		88,296,047		91,034,604
Fannie Mae Pool MA1307
3.00%	01/01/33		109,698,594		110,099,871
Fannie Mae Pool MA1490
3.00%	07/01/33		90,320,776		90,504,240
Fannie Mae Pool MA1527
3.00%	07/01/33		211,804,123		212,234,351
Fannie Mae Pool MA1561
3.00%	09/01/33		83,787,695		83,957,889
Fannie Mae Pool MA1584
3.50%	09/01/33		166,409,043		172,330,866
Fannie Mae REMICS, Series 2005-122,
Class SG (IO)
6.42%	11/25/35²		314,484		52,736
Fannie Mae REMICS, Series 2006-49,
Class SE
28.26%	04/25/36²		9,354,925		15,336,471
Fannie Mae REMICS, Series 2007-17,
Class SI (IO)
6.22%	03/25/37²		11,967,690		1,261,928
Fannie Mae REMICS, Series 2010-116,
Class SE (IO)
6.42%	10/25/40²		18,658,218		2,896,502
Fannie Mae REMICS, Series 2013-101,
Class BO (PO)
0.00%	10/25/43¹¹		37,811,154		27,377,544
Fannie Mae REMICS, Series 2013-101,
Class CO (PO)
0.00%	10/25/43¹¹		23,277,692		16,745,506
Fannie Mae REMICS, Series G92-12,
Class B
7.70%	02/25/22		712		783
Fannie Mae Whole Loan, Series 2003-W2,
Class 2A9
5.90%	07/25/42		56,657		63,804
Fannie Mae, Pool MA1608
3.50%	10/01/33		75,151,935		77,826,288
Fannie Mae, Series 1988-28, Class H
9.05%	12/25/18		1,592		1,734


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae, Series 1989-27, Class Y
6.90%	06/25/19	$	581	$	634
Fannie Mae, Series 1991-65, Class Z
6.50%	06/25/21		11,494		12,578
Fannie Mae, Series 1992-123, Class Z
7.50%	07/25/22		2,113		2,512
Fannie Mae, Series 1993-132, Class D (PO)
0.00%	10/25/22¹¹		113,050		110,281
Fannie Mae, Series 1993-199, Class SD (IO)
0.88%	10/25/23²		192,500		2,447
Fannie Mae, Series 1993-29, Class PK
7.00%	03/25/23		31,247		34,730
Fannie Mae, Series 1994-55, Class H
7.00%	03/25/24		45,717		51,467
Fannie Mae, Series 1997-34, Class SA
5.29%	10/25/23²		11,224		13,430
Fannie Mae, Series 1999-11, Class Z
5.50%	03/25/29		128,844		141,940
Fannie Mae, Series 2001-52, Class YZ
6.50%	10/25/31		319,717		360,265
Fannie Mae, Series 2003-106, Class WG
4.50%	11/25/23		32,004,000		34,707,259
Fannie Mae, Series 2005-104, Class NI (IO)
6.52%	03/25/35²		58,307,287		8,420,187
Fannie Mae, Series 2005-117, Class LC
5.50%	11/25/35		31,641,432		33,910,601
Fannie Mae, Series 2005-92, Class US (IO)
5.92%	10/25/25²		21,306,555		2,866,786
Fannie Mae, Series 2006-18, Class PD
5.50%	08/25/34		949,574		992,255
Fannie Mae, Series 2006-4, Class WE
4.50%	02/25/36		294,313		309,426
Fannie Mae, Series 2006-80, Class PG
6.00%	06/25/35		5,906,474		5,983,971
Fannie Mae, Series 2007-34, Class SB (IO)
5.93%	04/25/37²		16,060,947		2,497,360
Fannie Mae, Series 2008-24, Class NA
6.75%	06/25/37		5,083,949		5,516,171
Fannie Mae, Series 2010-17, Class SB (IO)
6.17%	03/25/40²		27,127,430		4,262,422
Fannie Mae, Series 2010-43, Class KS (IO)
6.24%	05/25/40²		50,632,426		6,746,209
Fannie Mae, Series 2010-99, Class NI (IO)
6.00%	09/25/40		35,227,506		4,531,666
Fannie Mae, Series 2011-101, Class HE
4.00%	10/25/41		10,100,000		9,458,155
Fannie Mae, Series 2011-111, Class DB
4.00%	11/25/41		24,977,334		25,891,130


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae, Series 2012-M12, Class 1A
2.94%	08/25/22²	$	147,157,006	$	145,292,129
Fannie Mae, Series 2012-M15, Class A
2.74%	10/25/22²		115,875,298		112,680,865
Fannie Mae, Series G92-36, Class Z
7.00%	07/25/22		394		432
Fannie Mae, Series G93-21, Class Z
7.20%	05/25/23		8,558		9,718
Freddie Mac Gold Pool A14189
4.00%	10/01/33		91,248		95,593
Freddie Mac Gold Pool A24156
6.50%	10/01/31		882,298		1,006,490
Freddie Mac Gold Pool A25162
5.50%	05/01/34		7,873,979		8,583,253
Freddie Mac Gold Pool A39012
5.50%	06/01/35		121,742		132,557
Freddie Mac Gold Pool A54856
5.00%	01/01/34		10,920,015		11,829,593
Freddie Mac Gold Pool A61164
5.00%	04/01/36		44,636		48,231
Freddie Mac Gold Pool A97038
4.00%	02/01/41		30,772,353		32,263,206
Freddie Mac Gold Pool C01492
5.00%	02/01/33		2,492,006		2,697,051
Freddie Mac Gold Pool C46104
6.50%	09/01/29		51,611		58,332
Freddie Mac Gold Pool C55789
7.50%	10/01/27		23,626		27,003
Freddie Mac Gold Pool C90573
6.50%	08/01/22		172,229		192,992
Freddie Mac Gold Pool E02402
6.00%	10/01/22		48,276		52,743
Freddie Mac Gold Pool G00992
7.00%	11/01/28		3,173		3,677
Freddie Mac Gold Pool G01515
5.00%	02/01/33		2,411,332		2,609,959
Freddie Mac Gold Pool G01601
4.00%	09/01/33		416,886		438,888
Freddie Mac Gold Pool G01611
4.00%	09/01/33		119,728		126,032
Freddie Mac Gold Pool G02579
5.00%	12/01/34		3,196,627		3,470,817
Freddie Mac Gold Pool G02884
6.00%	04/01/37		12,475,708		13,696,181
Freddie Mac Gold Pool G02955
5.50%	03/01/37		10,913,364		11,916,738
Freddie Mac Gold Pool G03357
5.50%	08/01/37		3,801,598		4,123,843


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Gold Pool G03676
5.50%	12/01/37	$	9,747,270	$	10,598,952
Freddie Mac Gold Pool G03783
5.50%	01/01/38		5,579,475		6,055,911
Freddie Mac Gold Pool G03985
6.00%	03/01/38		99,210		108,128
Freddie Mac Gold Pool G04438
5.50%	05/01/38		18,447,293		20,140,619
Freddie Mac Gold Pool G04703
5.50%	08/01/38		20,678,123		22,430,800
Freddie Mac Gold Pool G04706
5.50%	09/01/38		520,304		569,570
Freddie Mac Gold Pool G05866
4.50%	02/01/40		44,579,227		48,081,532
Freddie Mac Gold Pool G06361
4.00%	03/01/41		54,617		57,440
Freddie Mac Gold Pool G06498
4.00%	04/01/41		56,631,866		59,467,885
Freddie Mac Gold Pool G06499
4.00%	03/01/41		26,520,302		27,822,225
Freddie Mac Gold Pool G06620
4.50%	07/01/41		70,127,794		75,193,321
Freddie Mac Gold Pool G11707
6.00%	03/01/20		1,557,967		1,682,801
Freddie Mac Gold Pool G12393
5.50%	10/01/21		11,217,453		12,057,875
Freddie Mac Gold Pool G12399
6.00%	09/01/21		6,178		6,787
Freddie Mac Gold Pool G12824
6.00%	08/01/22		4,917,910		5,445,761
Freddie Mac Gold Pool G12909
6.00%	11/01/22		13,318,837		14,770,884
Freddie Mac Gold Pool G13032
6.00%	09/01/22		2,809,702		3,104,146
Freddie Mac Gold Pool G13058
4.50%	10/01/20		8,630,312		9,138,189
Freddie Mac Gold Pool H00790
5.50%	05/01/37		130,180		139,911
Freddie Mac Gold Pool H03161
6.50%	08/01/37		13,966		15,362
Freddie Mac Gold Pool H05069
5.50%	05/01/37		7,168,888		7,543,574
Freddie Mac Gold Pool H09082
6.50%	09/01/37		29,534		31,955
Freddie Mac Gold Pool J13884
3.50%	12/01/25		121,868,261		128,481,197
Freddie Mac Gold Pool Q05804
4.00%	01/01/42		86,029,918		90,583,685


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Gold Pool Q09896
3.50%	08/01/42	$	33,221,274	$	33,806,606
Freddie Mac Gold Pool Q17324
3.50%	04/01/43		65,322,884		66,389,486
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series K010,
Class A2
4.33%	10/25/20		60,000		65,663
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series K013,
Class A2
3.97%	01/25/21²		22,640,000		24,251,798
Freddie Mac Pool G07408
3.50%	06/01/43		45,428,523		46,258,979
Freddie Mac REMICS, Series 2313,
Class LA
6.50%	05/15/31		39,593		44,616
Freddie Mac REMICS, Series 3019,
Class SW (IO)
7.02%	08/15/35²		6,757,408		1,318,362
Freddie Mac REMICS, Series 3300,
Class SA (IO)
7.02%	08/15/35²		2,987,600		396,789
Freddie Mac REMICS, Series 3425,
Class SV (IO)
5.87%	08/15/35²		8,603,349		1,110,396
Freddie Mac REMICS, Series 3891,
Class HS (IO)
5.77%	07/15/41²		25,412,774		3,352,684
Freddie Mac REMICS, Series 4102,
Class TC
2.50%	09/15/41		43,270,369		43,283,528
Freddie Mac Strips, Series 309, Class PO
0.00%	08/15/43¹¹		59,659,433		45,940,924
Freddie Mac, Series 1004, Class H
7.95%	10/15/20		376		417
Freddie Mac, Series 1073, Class G
7.00%	05/15/21		1,695		1,893
Freddie Mac, Series 1107, Class ZC
6.50%	07/15/21		7,510		8,272
Freddie Mac, Series 165, Class K
6.50%	09/15/21		206		223
Freddie Mac, Series 1980, Class Z
7.00%	07/15/27		230,388		265,967
Freddie Mac, Series 1983, Class Z
6.50%	12/15/23		114,929		127,821
Freddie Mac, Series 2098, Class TZ
6.00%	01/15/28		961,093		991,324
Freddie Mac, Series 2174, Class PN
6.00%	07/15/29		60,090		66,379


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac, Series 2433, Class SA
20.46%	02/15/32²	$	35,745	$	53,182
Freddie Mac, Series 2481, Class AW
6.50%	08/15/32		132,501		147,618
Freddie Mac, Series 2642, Class BW (IO)
5.00%	06/15/23		83,840		8,542
Freddie Mac, Series 2929, Class PE
5.00%	05/15/33		212,091		213,452
Freddie Mac, Series 2971, Class AB
5.00%	05/15/20		9,109		9,549
Freddie Mac, Series 3063, Class YG
5.50%	11/15/35		8,794,000		9,843,391
Freddie Mac, Series 3067, Class SI (IO)
6.47%	11/15/35²		33,067,223		5,026,643
Freddie Mac, Series 3210, Class PD
6.00%	08/15/35		345,980		359,076
Freddie Mac, Series 3345, Class FP
0.38%	11/15/36²		10,294,340		10,300,001
Freddie Mac, Series 3345, Class PF
0.36%	05/15/36²		11,103,360		11,107,517
Freddie Mac, Series 3707, Class EI (IO)
5.00%	12/15/38		58,213,579		8,082,123
Freddie Mac, Series 3752, Class XL
4.50%	11/15/40		66,277,000		72,720,914
Freddie Mac, Series 3904, Class JB
4.50%	08/15/41		18,155,000		19,802,376
Freddie Mac, Series 3925, Class LB
4.50%	09/15/41		9,215,000		9,223,357
Freddie Mac, Series 3928, Class JD
4.00%	09/15/41		32,095,702		33,586,551
Freddie Mac, Series 4161, Class BA
2.50%	12/15/41		60,292,244		59,842,180
Freddie Mac, Series K020, Class A2
2.37%	05/25/40		110,305,000		104,183,300
Ginnie Mae I Pool 782817
4.50%	11/15/39		52,865,815		57,328,438
Ginnie Mae II (TBA)
3.00%	10/20/42		172,670,000		170,700,474
3.50%	10/20/42		95,355,000		98,394,450
Ginnie Mae II Pool 2631
7.00%	08/20/28		5,410		6,372
Ginnie Mae II Pool 80968
1.75%	07/20/34²		38,136		39,595
Ginnie Mae II Pool 81267
1.62%	03/20/35²		70,018		72,932
Ginnie Mae II Pool 8631
2.00%	05/20/25²		11,516		11,965
Ginnie Mae II Pool 8644
2.50%	06/20/25²		18,747		19,571


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Ginnie Mae II Pool G281432
1.75%	08/20/35²	$	71,894	$	74,812
Ginnie Mae II Pool G281497
1.62%	10/20/35²		64,153		66,735
Ginnie Mae, Series 2000-22, Class SG (IO)
10.62%	05/16/30²		477,168		79,079
Ginnie Mae, Series 2003-86, Class ZK
5.00%	10/20/33		24,930,667		26,758,037
Ginnie Mae, Series 2004-93, Class PC
5.00%	04/16/34		280,000		296,379
Ginnie Mae, Series 2005-78, Class ZA
5.00%	10/16/35		23,156,647		25,151,597
Ginnie Mae, Series 2007-35, Class PY (IO)
6.57%	06/16/37²		45,771,442		8,027,647
Ginnie Mae, Series 2009-106, Class SD (IO)
6.07%	03/20/36²		42,403,643		5,806,924
Ginnie Mae, Series 2009-106, Class XI (IO)
6.62%	05/20/37²		111,333,245		18,917,745
Ginnie Mae, Series 2009-124, Class SC (IO)
6.30%	12/20/39²		19,033,700		2,652,177
Ginnie Mae, Series 2010-116, Class MP
3.50%	09/16/40		319,118		332,858
Ginnie Mae, Series 2010-4, Class SL (IO)
6.22%	01/16/40²		218,925		33,456
Ginnie Mae, Series 2010-4, Class SM (IO)
5.62%	01/16/40²		39,804,493		4,701,946
Ginnie Mae, Series 2010-6, Class BS (IO)
6.32%	09/16/39²		19,821,832		2,477,987
Ginnie Mae, Series 2011-146, Class EI (IO)
5.00%	11/16/41		171,276		39,431
Ginnie Mae, Series 2011-50, Class PS (IO)
5.92%	02/20/41²		94,626,453		14,910,328
NCUA Guaranteed Notes, Series 2010-C1,
Class A2
2.90%	10/29/20		773,000		800,667
NCUA Guaranteed Notes, Series 2010-R1,
Class 1A
0.63%	10/07/20²		35,565,828		35,794,367
NCUA Guaranteed Notes, Series 2010-R3,
Class 1A
0.74%	12/08/20²		47,485,773		48,109,261
NCUA Guaranteed Notes, Series 2010-R3,
Class 2A
0.74%	12/08/20²		40,089,467		40,565,730
NCUA Guaranteed Notes, Series 2011-C1,
Class 2A
0.71%	03/09/21²		5,402,305		5,438,889


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
NCUA Guaranteed Notes, Series 2011-R6,
Class 1A
Class 1A
0.56%	05/07/20²	$	35,005	$	35,071


					8,196,470,653

Total Mortgage-Backed
(Cost $12,745,114,004)					13,369,935,925

MUNICIPAL BONDS — 2.12%*
California — 0.87%
Los Angeles Department of Water & Power,
Build America Bonds
6.57%	07/01/45		36,785,000		45,281,967
Los Angeles Department of Water & Power,
Build America Bonds, Series SY
6.01%	07/01/39		350,000		396,441
State of California, Build America Bonds
5.70%	11/01/21		24,230,000		27,640,857
6.65%	03/01/22		10,220,000		12,224,551
7.30%	10/01/39		21,990,000		27,695,745
7.35%	11/01/39		25,000,000		31,633,250
7.60%	11/01/40		2,525,000		3,328,102
7.95%	03/01/36		7,350,000		8,517,621
State of California, Build America Bonds,
Various Purpose
7.50%	04/01/34		3,885,000		4,934,183
7.55%	04/01/39		7,700,000		10,029,250
State of California, Taxable, Various Purpose
5.50%	03/01/16		8,450,000		9,321,533
6.20%	03/01/19		10,675,000		12,485,373
6.20%	10/01/19		17,995,000		21,186,773


					214,675,646

Illinois — 0.61%
State of Illinois, Build America Bonds
6.20%	07/01/21		30,175,000		32,727,805
7.35%	07/01/35		11,720,000		12,473,596
State of Illinois, Build America Bonds,
Series S
6.63%	02/01/35		11,275,000		11,230,689
State of Illinois, Taxable Bonds
4.07%	01/01/14		1,425,000		1,436,530
4.95%	06/01/23		31,460,000		31,254,252
5.67%	03/01/18		4,215,000		4,601,052
5.88%	03/01/19		16,000,000		17,183,520
State of Illinois, Taxable-Pension
4.35%	06/01/18		6,200,000		6,434,484
5.10%	06/01/33		38,246,000		33,948,297


					151,290,225


Issues	Maturity Date	Principal Amount		Value
MUNICIPAL BONDS (continued)
New Jersey — 0.09%
New Jersey State Turnpike Authority A, Build
America Bonds, Taxable
7.10%	01/01/41	$	10,550,000	$	13,342,691
New Jersey State Turnpike Authority, Build
America Bonds
7.41%	01/01/40		7,495,000		9,789,594


					23,132,285

New York — 0.02%
City of New York, Build America Bonds
5.52%	10/01/37		2,525,000		2,695,311
5.82%	10/01/31		220,000		233,026
City of New York, Build America Bonds,
Series F1
6.65%	12/01/31		250,000		279,273
Fiscal Year 2005 Securitization Corp.,
Special Obligation, Series B
4.93%	04/01/20		70,000		77,859
New York City Municipal Water Finance
Authority, Build America Bonds, Series SE
6.49%	06/15/42		400,000		437,848


					3,723,317

Texas — 0.53%
City of Houston Texas, Taxable Pension
Obligation, Series A
6.29%	03/01/32		82,680,000		93,348,200
County of Harris Texas, Prerefunded, Flood
Control Bonds, Series B
5.25%	10/01/13		7,000		7,000
North Texas Tollway Authority, Build America
Bonds
6.72%	01/01/49		50,000		60,236
State of Texas, Build America Bonds
5.52%	04/01/39		33,610,000		37,923,507


					131,338,943

Total Municipal Bonds
(Cost $517,499,470)					524,160,416

U.S. AGENCY SECURITIES — 1.23%
U.S. Agency Securities — 1.23%
Federal Home Loan Bank (STEP)
0.75%	05/26/28		112,670,000		108,142,469
Freddie Mac
0.38%	11/18/13²		50,000,000		50,020,817
0.50%	09/14/15		145,420,000		145,378,839


Total U.S. Agency Securities
(Cost $307,934,966)					303,542,125


Issues	Maturity Date	Principal Amount		Value
U.S. TREASURY SECURITIES — 26.15%
U.S. Treasury Bonds — 2.49%
U.S. Treasury Bonds
2.75%	08/15/42	$	216,090,000	$	179,169,079
3.13%	02/15/42		155,870,000		140,368,261
U.S. Treasury Bonds - Treasury Inflation
Indexed Bonds
2.13%	02/15/41¹²		157,325,000		199,182,384
U.S. Treasury Bonds (Strip Principal)
0.00%	11/15/27¹¹		158,200,000		98,812,511


					617,532,235

U.S. Treasury Notes — 23.66%
U.S. Treasury Notes
0.75%	06/30/17		731,010,000		725,213,091
0.75%	12/31/17		386,421,800		379,900,913
1.00%	01/15/14		149,000,000		149,421,968
1.38%	06/30/18		448,630,000		449,803,105
1.38%	07/31/18		263,000,000		263,523,830
1.38%	09/30/18		328,320,000		328,101,996
1.75%	05/15/23		452,855,000		419,686,994
3.50%	02/15/18		289,560,000		318,165,343
U.S. Treasury Notes - Treasury Inflation
Indexed Notes
0.13%	04/15/16¹²		485,560,000		527,708,463
0.13%	04/15/17¹²		790,100,000		838,447,589
0.13%	04/15/18¹²		411,280,000		428,394,072
0.50%	04/15/15¹²		405,205,000		446,508,492
1.25%	04/15/14¹²		228,925,000		254,899,046
2.00%	07/15/14¹²		260,025,000		330,540,880


					5,860,315,782

Total U.S. Treasury Securities
(Cost $6,631,374,752)					6,477,848,017

Total Bonds – 109.85%
(Cost $26,499,557,043)					27,216,392,402


Issues		Shares		Value
COMMON STOCK — 0.10%
Electric — 0.10%
Dynegy, Inc.⁹			1,255,250		24,251,426

Total Common Stock
(Cost $24,138,454)

Issues		Notional Amount		Value
PURCHASED SWAPTIONS — 0.24%
Option to enter into a 30-year Interest Rate Swap for the counterparty to pay the Fund a floating rate based on 3-month USD LIBOR in exchange for receiving from the Fund a fixed rate of 4.50% annually; Option Expiration Date of 03/13/18. Counterparty: Barclays, Inc.			166,500		1,642,030


Issues	Notional Amount		Value
PURCHASED SWAPTIONS (continued)

Option to enter into a 30-year Interest Rate Swap for the counterparty to pay the Fund a floating rate based on 3-month USD LIBOR in exchange for receiving from the Fund a fixed rate of 4.50% annually; Option Expiration Date of 03/13/18. Counterparty: Citigroup, Inc.	$	1,065,850	$	10,511,455

Option to enter into a 30-year Interest Rate Swap for the counterparty to pay the Fund a floating rate based on 3-month USD LIBOR in exchange for receiving from the Fund a fixed rate of 4.50% annually; Option Expiration Date of 03/13/18. Counterparty: Deutsche Bank AG		1,571,350		15,496,716

Option to enter into a 30-year Interest Rate Swap for the counterparty to pay the Fund a floating rate based on 3-month USD LIBOR in exchange for receiving from the Fund a fixed rate of 4.50% annually; Option Expiration Date of 03/13/18. Counterparty: Goldman Sachs Group, Inc.		994,500		9,807,799

Option to enter into a 30-year Interest Rate Swap for the Fund to pay a floating rate based on 3-month USD LIBOR in exchange for receiving a fixed rate of 4.50% annually; Option Expiration Date of 04/09/18. Counterparty: Barclays, Inc.		654,500		6,518,146

Option to enter into a 30-year Interest Rate Swap for the Fund to pay a floating rate based on 3-month USD LIBOR in exchange for receiving a fixed rate of 4.50% annually; Option Expiration Date of 04/09/18. Counterparty: Deutsche Bank AG		1,500,000		14,938,455

Total Purchased Swaptions
(Cost $40,976,721)				58,914,601


Issues	Maturity Date	Principal Amount/ Shares		Value
SHORT-TERM INVESTMENTS — 2.29%
Commercial Paper — 1.48%
Macquarie Bank Ltd. (Australia)
0.32%¹³	10/24/13^3,4		200,000,000		199,972,743
RBS Holdings USA, Inc.
0.36%¹³	01/22/14		168,155,000		168,026,143


					367,998,886

Money Market Funds — 0.46%
Dreyfus Cash Advantage Fund
0.06%^14,15			113,485,000		113,485,000

Repurchase Agreements — 0.32%
RBS Securities, Inc. (Dated 9/30/13, total to be received $80,000,067, (collateralized by U.S. government sponsored agency obligations, 0.11% to 0.45%, due from 6/23/14 to 8/14/15, par and fair value of $81,565,000 and $81,604,918, respectively))
0.03%	10/01/13		80,000,000		80,000,000


Issues	Maturity Date			Principal Amount/ Shares			Value
SHORT-TERM INVESTMENTS (continued)
U.S. Treasury Bills — 0.03%
U.S. Treasury Bills
0.04%¹³		12/05/13	¹⁶	$	7,597,000		$	7,596,985

Total Short-Term Investments
(Cost $569,005,582)								569,080,871


Issues				Notional Amount			Value
WRITTEN SWAPTIONS — 0.00%

Option to enter into a 10-year Interest Rate Swap for the Fund to pay a floating rate based on 3-month USD LIBOR in exchange for receiving a fixed rate of 3.50% annually; Option Expiration Date of 10/15/13. Counterparty: Barclays, Inc.					(73,400	)		(34	)

Option to enter into a 10-year Interest Rate Swap for the Fund to pay a floating rate based on 3-month USD LIBOR in exchange for receiving a fixed rate of 3.50% annually; Option Expiration Date of 10/15/13. Counterparty: Deutsche Bank AG					(1,041,050	)		(479	)

Option to enter into a 10-year Interest Rate Swap for the Fund to pay a floating rate based on 3-month USD LIBOR in exchange for receiving a fixed rate of 3.50% annually; Option Expiration Date of 10/15/13. Counterparty: Goldman Sachs, Inc.					(1,691,650	)		(778	)

Total Written Swaptions (Cost $(1,907,597))								(1,291	)


Total Investments – 112.48%
(Cost $27,131,770,203)¹								27,868,638,009


Liabilities in Excess of Other
Assets – (12.48)%								(3,092,506,615	)


Net Assets – 100.00%							$	24,776,131,394




Contracts		Unrealized Appreciation/ (Depreciation)
FUTURES CONTRACTS: LONG POSITIONS
4,550	Euro Dollar Ninety Day, Expiration December 2014	$	869,915
4,571	U.S. Treasury Five Year Note, Expiration December 2013		(114,354	)
2,187	U.S. Treasury Ten Year Note, Expiration December 2013		4,880,498

	Net unrealized appreciation	$	5,636,059


Contracts		Unrealized (Depreciation)
FUTURES CONTRACTS: SHORT POSITIONS
4,550	Euro Dollar Ninety Day, Expiration December 2015	$	(1,575,711	)

	Net unrealized depreciation	$	(1,575,711	)


	Expiration Date	Premiums Paid/ (Received)	Notional Amount (000’s)		Appreciation/ (Depreciation)			Value
	SWAPS: INTEREST RATE

The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 0.58% quarterly. Counterparty: Citigroup, Inc.

	06/09/15	$57	$	5,000	$	4,928		$	4,985

The Fund pays a floating rate based on 3-month USD LIBOR quarterly and the Fund receives from the counterparty a fixed rate equal to 3.15% semi-annually. Counterparty: Barclays, Inc.

	03/15/26	–		105,370		(5,853,535	)		(5,853,535	)

The Fund pays a floating rate based on 3-month USD LIBOR quarterly and the Fund receives from the counterparty a fixed rate equal to 3.15% semi-annually. Counterparty: Deutsche Bank AG

	03/15/26	–		176,000		(9,777,187	)		(9,777,187	)

The Fund pays a floating rate based on 3-month USD LIBOR quarterly and the Fund receives from the counterparty a fixed rate equal to 2.81% semi-annually. Counterparty: Barclays, Inc.

	04/09/26	–		195,580		(16,748,943	)		(16,748,943	)

The Fund pays a floating rate based on 3-month USD LIBOR quarterly and the Fund receives from the counterparty a fixed rate equal to 2.80% semi-annually. Counterparty: Goldman Sachs Group, Inc.

	04/09/26	–		100,730		(8,636,661	)		(8,636,661	)

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		5,552,707			5,552,707

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		5,158,895			5,158,895

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		7,449,107			7,449,107

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		7,449,107			7,449,107

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		8,812,559			8,812,559

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		9,152,768			9,152,768

The Fund pays a floating rate based on 3-month USD LIBOR quarterly and the Fund receives from the counterparty a fixed rate equal to 3.49% semi-annually. Counterparty: Barclays, Inc.

	03/15/46	–		47,250		5,027,787			5,027,787


Expiration Date	Premiums Paid/ (Received)	Notional Amount (000’s)		Appreciation/ (Depreciation)		Value
SWAPS: INTEREST RATE (continued)

The Fund pays a floating rate based on 3-month USD LIBOR quarterly and the Fund receives from the counterparty a fixed rate equal to 3.49% semi-annually. Counterparty: Deutsche Bank AG

03/15/46	$–	$	78,900	$	8,378,762	$	8,378,762

The Fund pays a floating rate based on 3-month USD LIBOR quarterly and the Fund receives from the counterparty a fixed rate equal to 3.13% semi-annually. Counterparty: Barclays, Inc.

04/09/46	–		87,920		14,960,775		14,960,775

The Fund pays a floating rate based on 3-month USD LIBOR quarterly and the Fund receives from the counterparty a fixed rate equal to 3.13% semi-annually. Counterparty: Goldman Sachs Group, Inc.

04/09/46	–		45,240		7,698,197		7,698,197


	$57	$	1,140,670	$	38,629,266	$	38,629,323


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 Goldman Sachs Group, Inc., 6.60%, due 01/15/12. Counterparty: Deutsche Bank AG

09/20/16		$427,576	$	9,800	$	(483,337	)	$	(55,761	)

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		1,064,575		24,400		(1,203,407	)		(138,832	)


	$	1,492,151	$	34,200	$	(1,686,744	)	$	(194,593	)


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	$	658,788	$	(76,752	)


	$	(735,540	)	$	63,960	$	658,788	$	(76,752	)

^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 $27,167,734,384 and net unrealized appreciation/(depreciation) consists of:


Gross unrealized appreciation	$	1,117,039,026
Gross unrealized depreciation		(416,135,401	)

Net unrealized appreciation	$	700,903,625

²	Floating rate security. The rate disclosed was in effect at September 30, 2013.

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, 2013, was $2,871,308,185, representing 11.59% 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
08/07/13	Alinta Energy Finance Pty Ltd., Term Loan B, 1st Lien, 6.38%, 08/07/19	$	23,205,170	$	23,498,627		0.09	%
08/07/13	Alinta Energy Finance Pty Ltd., Term Loan DD, 1st Lien, 0.50%, 08/07/19		1,516,667		1,537,293		0.01	%
11/16/12	AMURF, Series 2012, Class B, 11.00%, 12/17/17		14,524,222		14,524,368		0.06	%
04/25/13	Ballyrock Ltd., Series 2005-3X, Class D, 2.13%, 07/25/17		7,080,742		7,124,433		0.03	%
07/02/13	Drillships Financing Holding, Term Loan B1, 1st Lien, 6.00%, 02/17/21		22,546,909		23,273,125		0.09	%
05/15/13	FM Leveraged Capital Fund, Series 2006-2X, Class E, 4.01%, 11/15/20		4,567,226		4,608,721		0.02	%
05/15/13	Gulf Stream Compass CLO Ltd., Series 2005-2X, Class D, 2.47%, 01/24/20		485,824		478,490		0.00	%
10/10/07	HCA, Inc., Term Loan B4, 2.93%, 05/01/18		20,950,678		20,933,813		0.08	%
09/26/12	Intelsat Jackson Holdings, Term Loan B-1, 1st Lien (Luxembourg), 4.25%, 04/02/18		15,681,516		15,740,306		0.06	%
04/24/13	Latitude CLO Ltd., Series 2005-1X, Class C, 2.10%, 12/15/17		4,659,373		4,738,551		0.02	%
01/08/13	Octagon Investment Partners XI Ltd., Series 2007-1X, Class A1B, 0.52%, 08/25/21		9,473,038		9,724,740		0.04	%
01/25/13	Panthera Aviation, Series 2013-1, 10.00%, 01/25/22		19,225,000		19,225,188		0.08	%
03/06/13	Panthera Aviation, Series 2013-2, 10.00%, 03/20/24		34,625,000		34,625,342		0.14	%
05/16/12	Texas Competitive Electric Holdings Co. LLC, Term Loan EXT, 1st Lien, 4.71%, 10/10/17		41,085,938		39,855,755		0.16	%
02/25/13	Topaz Power Holdings LLC, Term Loan, 1st Lien, 5.25%, 02/26/20		18,782,668		18,879,769		0.08	%


Date of Purchase	Security	Amortized Cost		Value		%of Total Net Assets
06/27/13	Valeant Pharma- ceuticals, Term Loan, 4.50%,
	05/30/20	$	13,299,440	$	13,598,290		0.06	%

		$	251,709,411	$	252,366,811		1.02	%

⁶	Illiquid security as determined under procedures approved by the Fund’s Board of Trustees. The aggregate value of illiquid securities is $53,194,219, which is 0.21% of total net assets.

⁷	Payment-in-kind (“PIK”) security. Income may be paid in additional securities or cash at the discretion of the issuer. 8.14% cash or 8.64% payment-in-kind interest.

⁸	Payment-in-kind (“PIK”) security. Income may be paid in additional securities or cash at the discretion of the issuer. 8.73% cash or 9.23% payment-in-kind interest.

⁹	Non-income producing security.

¹⁰	Security is currently in default with regard to scheduled interest or principal payments.

¹¹	Zero coupon bond. The rate shown is the effective yield as of September 30, 2013.

¹²	Inflation protected security. Principal amount reflects original security face amount.

¹³	Represents annualized yield at date of purchase.

¹⁴	Represents the current yield as of September 30, 2013.

¹⁵	Securities, or a portion thereof, pledged as collateral for swaps. The total market value of collateral pledged is $90,000.

¹⁶	Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $7,596,924.

^†

Fair valued security. The aggregate value of fair valued securities is $ 100,875,824, which is 0.41% 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

(LIBOR): London InterBank Offer Rate

(MTN): Medium-term Note

(PIK): Payment in kind

(PO): Principal only

(STEP): Step coupon bond

(TBA): To be announced

(USD): U.S. dollar

(WI): When issued


Issues	Maturity Date			Principal Amount		Value
BONDS – 91.20%
ASSET-BACKED SECURITIES — 1.43%**
Alm Loan Funding, Series 2012-7A, Class B (Cayman Islands)
3.42%		10/19/24	^2,3,4	$	3,250,000	$	3,252,314
BlueMountain CLO Ltd., Series 2012-2A, Class C (Cayman Islands)
3.01%		11/20/24	^2,3,4		3,250,000		3,242,525
CIFC Funding Ltd., Series 2012-2A, Class A3L (Cayman Islands)
3.26%		12/05/24	^2,3,4		3,250,000		3,203,775
Dryden XXV Senior Loan Fund, Series 2012-25A, Class C (Cayman Islands)
3.27%		01/15/25	^2,3,4		2,420,000		2,422,836
Galaxy CLO Ltd., Series 2012-14A, Class C1 (Cayman Islands)
3.36%		11/15/24	^2,3,4		1,850,000		1,850,733
Halcyon Loan Advisors Funding Ltd., Series 2012-2A, Class C (Cayman Islands)
3.10%		12/20/24	^2,3,4		3,250,000		3,109,256
LCM LP, Series 12A, Class C (Cayman Islands)
3.52%		10/19/22	^2,3,4		2,300,000		2,294,910
LCM LP, Series 12A, Class D (Cayman Islands)
4.77%		10/19/22	^2,3,4		2,300,000		2,264,361
Oak Hill Credit Partners, Series 2012-7A, Class C1 (Cayman Islands)
3.51%		11/20/23	^2,3,4		2,800,000		2,818,875
Race Point CLO Ltd., Series 2012-7A, Class C (Cayman Islands)
3.27%		11/08/24	^2,3,4		3,250,000		3,212,937
Slater Mill Loan Fund LP, Series 2012-1A, Class C (Cayman Islands)
4.06%		08/17/22	^2,3,4		1,750,000		1,758,839
Sound Point CLO Ltd., Series 2012-1A, Class C (Cayman Islands)
3.57%		10/20/23	^2,3,4		2,300,000		2,289,848

Total Asset-Backed Securities
(Cost $31,222,885)							31,721,209

BANK LOANS — 10.83%*
Automotive — 0.46%
Navistar, Inc., Term Loan B, 1st Lien
5.75%		08/17/17	^3,5		10,000,000		10,143,750

Communications — 0.29%
Cricket Communications, Inc.
4.75%		03/08/20	^3,5		1,995,000		1,997,494
Level 3 Financing, Inc., Term Loan B, 1st Lien
4.00%		01/15/20	^3,5		2,000,000		2,000,630
Univision Communications, Inc.
4.50%		03/01/20	³		2,520,185		2,515,460


							6,513,584


Issues	Maturity Date			Principal Amount		Value
BANK LOANS (continued)
Consumer Discretionary — 0.42%
Hilton Worldwide Finance LLC, Term Loan B2, 1st Lien
0.00%		09/23/20	^3,5	$	6,500,000	$	6,498,895
Sun Products Corp., Term Loan B, 1st Lien
5.50%		03/18/20	^3,5		2,985,000		2,914,106


							9,413,001

Electric — 3.13%
Boston Generating LLC, Term Loan, 1st Lien⁶
0.00%		12/20/13	^3,5,7,8,†		254,344		–
Dynegy, Inc., Term Loan B2, 1st Lien
4.00%		04/23/20	^3,5		2,455,385		2,453,850
Entegra Holdings LLC, Term Loan B, 3rd Lien (PIK)
6.25%		10/19/15	^3,9		29,752,199		17,590,988
La Frontera Generation LLC, Term Loan B, 1st Lien
4.50%		09/30/20	^3,5		7,727,201		7,761,973
Texas Competitive Electric Holdings Co. LLC, Term Loan EXT, 1st Lien
4.71%		10/10/17	^3,5		42,522,569		28,708,687
Topaz Power Holdings LLC, Term Loan, 1st Lien
5.25%		02/26/20	^3,5		12,902,500		12,934,756


							69,450,254

Energy — 4.17%
Alinta Energy Finance Pty Ltd.,
Term Loan B, 1st Lien
6.38%		08/07/19	^3,5		6,100,877		5,874,657
Alinta Energy Finance Pty Ltd.,
Term Loan DD, 1st Lien
0.50%		08/07/19	^3,5		399,123		384,323
Drillships Financing Holding, Term Loan B1,
1st Lien
6.00%		02/17/21	^3,5		10,500,000		10,624,687
El Dorado, Secured Term Loan, 1st Lien
11.00%		04/03/17	^3,7		3,567,284		3,567,284
Equipower Resources Holdings, Term Loan,
1st Lien
4.25%		12/21/19	^3,5		3,491,250		3,505,215
Harvey Gulf International Marine,
Term Loan B, 1st Lien
5.50%		06/14/20	^3,5		6,250,000		6,265,625
MACH Gen LLC, Term Loan, 2nd Lien (PIK)
7.77%		02/15/15	^3,5,9		36,808,882		23,435,111
Moxie Liberty (Panda), Term Loan, 1st Lien
7.50%		08/21/20	^3,5		8,250,000		8,373,750
Panda Temple Power II LLC
7.25%		03/28/19	^3,5		2,000,000		2,036,250
Peabody Energy Corp., Term Loan, First Lien
4.25%		09/20/20	^3,5		4,500,000		4,459,680


Issues	Maturity Date			Principal Amount		Value
BANK LOANS (continued)
Energy (continued)
Power Buyer LLC, Delayed Draw Term Loan,
1st Lien
5.50%		05/06/20	^3,5	$	55,556	$	54,861
Power Buyer LLC, Term Loan, 1st Lien
4.25%		05/06/20	^3,5		443,333		437,792
Power Buyer LLC, Term Loan, 2nd Lien
8.25%		11/06/20	^3,5		5,400,000		5,413,500
Sabine Oil & Gas NFR Energy, Term Loan,
2nd Lien
8.75%		12/31/18	^3,5		9,500,000		9,565,360
TPF II LC LLC, Term Loan, 1st Lien
6.50%		07/25/19	^3,5		3,990,000		4,019,925
Walter Energy, Inc., Term Loan B, 1st Lien
6.75%		04/01/18	^3,5		4,750,000		4,576,103


							92,594,123

Finance — 0.16%
Centaur Acquisition LLC, Term Loan, 1st Lien
5.25%		02/20/19	^3,5		2,487,500		2,503,047
Centaur Acquisition LLC, Term Loan, 2nd Lien
8.75%		02/20/20	^3,5		1,000,000		1,010,000


							3,513,047

Industrials — 0.83%
Schaeffler AG, Term Loan C2, 1st Lien
4.25%		01/27/17	^3,5		11,400,000		11,461,788
Synagro Infrastructure, Term Loan, 1st Lien
6.25%		07/25/19	^3,5		7,000,000		6,919,080


							18,380,868

Materials — 1.01%
Fortescue Metals Group Ltd., Term Loan
5.25%		10/18/17	^3,5		22,250,126		22,355,369

Transportation — 0.36%
American Airlines, Inc.
4.75%		06/27/19	^3,5		7,980,000		7,945,087

Total Bank Loans
(Cost $256,673,305)							240,309,083


CORPORATES — 78.63%*
Automotive — 1.25%
General Motors Co.
3.50%		10/02/18	⁴		3,250,000		3,266,250
4.88%		10/02/23	⁴		3,000,000		2,992,500
Goodyear Tire & Rubber Co.
8.25%		08/15/20			19,110,000		21,450,975


							27,709,725


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Banking — 0.85%
Ally Financial, Inc.
4.75%		09/10/18		$	2,400,000	$	2,400,000
6.25%		12/01/17			2,000,000		2,140,000
Ally Financial, Inc. (WI)
7.50%		09/15/20			12,700,000		14,319,250


							18,859,250

Communications — 15.15%
Cablevision Systems Corp.
5.88%		09/15/22			290,000		285,650
CCO Holdings LLC/CCO Holdings
Capital Corp.
5.75%		09/01/23	⁴		2,000,000		1,905,000
6.50%		04/30/21			3,000,000		3,060,000
7.00%		01/15/19			565,000		598,900
7.38%		06/01/20			350,000		379,750
CCO Holdings LLC/CCO Holdings
Capital Corp. (WI)
8.12%		04/30/20			26,362,000		28,800,485
CenturyLink, Inc.
5.80%		03/15/22			14,810,000		14,008,121
CenturyLink, Inc., Series V
5.62%		04/01/20			1,000,000		979,694
Clear Channel Worldwide Holdings, Inc.
6.50%		11/15/22			30,608,000		31,449,720
6.50%		11/15/22			2,000,000		2,035,000
CSC Holdings LLC
6.75%		11/15/21			8,750,000		9,406,250
DISH DBS Corp.
5.88%		07/15/22			5,250,000		5,177,813
DISH DBS Corp. (WI)
6.75%		06/01/21			12,500,000		13,203,125
GCI, Inc. (WI)
8.62%		11/15/19			14,350,000		15,103,375
Intelsat Jackson Holdings SA (Luxembourg)
5.50%		08/01/23	^2,4		5,000,000		4,700,000
7.25%		10/15/20	²		9,645,000		10,368,375
7.50%		04/01/21	²		18,375,000		19,845,000
8.50%		11/01/19	²		6,820,000		7,416,750
Level 3 Financing, Inc.
7.00%		06/01/20			6,033,000		6,123,495
Level 3 Financing, Inc. (WI)
8.12%		07/01/19			6,665,000		7,181,537
9.38%		04/01/19			7,973,000		8,830,097
Lynx I Corp.
5.38%		04/15/21	⁴		2,460,000		2,410,800
MetroPCS Wireless, Inc.
6.25%		04/01/21	⁴		7,375,000		7,430,313
6.62%		04/01/23	⁴		7,400,000		7,437,000


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Communications (continued)
Qwest Corp.
7.25%		09/15/25		$	5,055,000	$	5,535,213
Sinclair Television Group, Inc.
5.38%		04/01/21			10,000,000		9,550,000
6.12%		10/01/22			7,640,000		7,640,000
Softbank Corp. (Japan)
4.50%		04/15/20	^2,4		17,685,000		16,889,175
Sprint Corp.
7.88%		09/15/23	⁴		12,000,000		12,270,000
Sprint Nextel Corp.
9.00%		11/15/18	⁴		17,324,000		20,312,390
9.25%		04/15/22			13,820,000		16,031,200
T-Mobile USA, Inc.
5.25%		09/01/18	⁴		2,500,000		2,550,000
Townsquare Radio LLC/Townsquare
Radio, Inc.
9.00%		04/01/19	⁴		6,475,000		6,912,063
Univision Communications, Inc.
6.88%		05/15/19	⁴		2,935,000		3,147,787
Visant Corp.
10.00%		10/01/17			8,475,000		7,924,125
Windstream Corp.
7.75%		10/15/20			12,830,000		13,311,125
7.75%		10/01/21	⁴		4,350,000		4,513,125
Windstream Corp. (WI)
7.50%		04/01/23			1,475,000		1,463,937


							336,186,390

Consumer Discretionary — 2.22%
Amsurg Corp.
5.62%		11/30/20			2,660,000		2,673,300
Hilton Worldwide Finance LLC/Hilton
Worldwide Finance Corp.
5.62%		10/15/21	⁴		4,870,000		4,918,700
LKQ Corp.
4.75%		05/15/23	⁴		3,350,000		3,115,500
Reynolds Group Issuer, Inc./Reynolds Group
Issuer LLC
6.88%		02/15/21			4,950,000		5,321,250
7.12%		04/15/19			10,590,000		11,304,825
7.88%		08/15/19			7,620,000		8,420,100
Reynolds Group Issuer, Inc./Reynolds Group
Issuer LLC (WI)
5.75%		10/15/20			11,300,000		11,356,500
Tempur-Pedic International, Inc.
6.88%		12/15/20			2,025,000		2,151,563


							49,261,738


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Electric — 8.33%
AES Corp.
4.88%		05/15/23		$	6,620,000	$	6,222,800
AES Red Oak LLC, Series A
8.54%		11/30/19			1,865,781		1,977,728
Amerenenergy Generating Co.
6.30%		04/01/20			1,720,000		1,328,700
Amerenenergy Generating Co., Series F
7.95%		06/01/32			3,550,000		2,724,625
Amerenenergy Generating Co., Series H
7.00%		04/15/18			3,665,000		3,087,763
Astoria Depositor Corp.
7.90%		05/01/21	⁴		305,308		296,149
Calpine Corp.
7.50%		02/15/21	⁴		5,100,000		5,444,250
Coso Geothermal Power Holdings
7.00%		07/15/26	⁴		4,364,545		2,465,968
DPL, Inc.
7.25%		10/15/21			23,048,000		23,681,820
Dynegy Escrow Holdings
0.00%		06/01/15	^7,†		8,350,000		62,625
0.00%		01/01/50	^7,†		23,846,000		476,920
Dynegy, Inc.
5.88%		06/01/23	⁴		10,570,000		9,777,250
Edison Mission Energy⁶
7.00%		05/15/17	⁸		15,060,000		10,052,550
7.20%		05/15/19	⁸		5,890,000		3,931,575
7.62%		05/15/27	⁸		14,845,000		9,909,037
7.75%		06/15/16	⁸		2,540,000		1,682,750
Electricite de France SA (France)
5.25%		07/29/49	^2,3,4		6,000,000		5,662,500
Energy Transfer Partners LP
3.28%		11/01/66	^3,4		39,897,000		36,056,914
FPL Energy National Wind Portfolio LLC
6.12%		03/25/19	⁴		2,272,772		1,897,765
GenOn Americas Generation LLC
8.50%		10/01/21			13,699,000		14,589,435
9.12%		05/01/31			13,085,000		13,804,675
Homer City Generation LP (PIK)
8.14%		10/01/19	¹⁰		4,000,000		4,140,000
8.73%		10/01/26	¹¹		7,292,869		7,548,119
Indiantown Cogeneration LP, Series A-10
9.77%		12/15/20			1,006,074		1,102,909
Mirant Mid Atlantic Pass-Through Trust,
Series B
9.12%		06/30/17			3,341,583		3,558,786
Mirant Mid Atlantic Pass-Through Trust,
Series C
10.06%		12/30/28			12,358,925		13,409,433


							184,893,046


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Energy — 23.45%
Access Midstream Partners LP/ACMP
Finance Corp.
5.88%		04/15/21		$	4,145,000	$	4,279,713
Approach Resources, Inc.
7.00%		06/15/21			7,000,000		7,035,000
Arch Coal, Inc.
7.00%		06/15/19			14,900,000		11,771,000
7.25%		10/01/20			1,250,000		953,125
Arch Coal, Inc. (WI)
8.75%		08/01/16			890,000		894,450
Chaparral Energy, Inc.
8.25%		09/01/21			26,868,000		28,480,080
9.88%		10/01/20			6,738,000		7,613,940
Chesapeake Energy Corp.
2.25%		12/15/38			11,215,000		10,289,763
2.50%		05/15/37			19,690,000		19,443,875
5.75%		03/15/23			2,425,000		2,443,187
Cimarex Energy Co.
5.88%		05/01/22			4,995,000		5,069,925
Concho Resources, Inc.
5.50%		04/01/23			16,615,000		16,490,388
Continental Resources, Inc.
5.00%		09/15/22			6,605,000		6,658,666
El Paso LLC, Series G (MTN)
7.75%		01/15/32			5,897,000		6,057,906
7.80%		08/01/31			8,739,000		8,931,634
8.05%		10/15/30			7,658,000		7,931,773
Energy XXI Gulf Coast, Inc.
7.50%		12/15/21	⁴		7,180,000		7,180,000
EP Energy LLC/EP Energy Finance, Inc.
9.38%		05/01/20			2,045,000		2,300,625
Linn Energy LLC/Linn Energy
Finance Corp.
6.50%		11/01/19	⁴		2,400,000		2,274,000
8.62%		04/15/20			22,045,000		23,037,025
MEG Energy Corp. (Canada)
7.00%		03/31/24	^2,4		7,300,000		7,363,875
Natural Resource Partners LP
9.12%		10/01/18	⁴		8,500,000		8,606,250
Newfield Exploration Co.
5.62%		07/01/24			12,810,000		12,473,738
5.75%		01/30/22			1,000,000		1,002,500
6.88%		02/01/20			4,875,000		5,143,125
Offshore Drilling Holding SA (Luxembourg)
8.38%		09/20/20	^2,4		11,250,000		11,432,813
Pacific Drilling SA (Luxembourg)
5.38%		06/01/20	^2,4		11,000,000		10,752,500
Pacific Drilling V Ltd. (Luxembourg)
7.25%		12/01/17	^2,4		22,440,000		24,235,200


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Energy (continued)
Parker Drilling Co.
9.12%		04/01/18		$	8,474,000	$	9,109,550
Peabody Energy Corp.
4.75%		12/15/41			29,295,000		23,655,713
Penn Virginia Corp.
8.50%		05/01/20			12,220,000		12,464,400
Plains Exploration & Production Co.
6.12%		06/15/19			8,900,000		9,539,687
6.75%		02/01/22			2,000,000		2,147,067
6.88%		02/15/23			17,950,000		19,341,125
QEP Resources, Inc.
5.25%		05/01/23			15,125,000		14,179,688
6.88%		03/01/21			8,000,000		8,540,000
Quicksilver Resources, Inc.
7.00%		06/21/19	^3,4		10,295,000		9,934,675
11.00%		07/01/21	⁴		3,275,000		3,127,625
RKI Exploration & Production LLC/RKI
Finance Corp.
8.50%		08/01/21	⁴		9,395,000		9,477,206
Rosetta Resources, Inc.
5.62%		05/01/21			5,385,000		5,142,675
Sabine Pass Liquefaction LLC
5.62%		02/01/21	⁴		11,400,000		11,214,750
5.62%		04/15/23	⁴		4,765,000		4,592,269
Sabine Pass LNG LP
7.50%		11/30/16			19,540,000		21,567,275
Sanchez Energy Corp.
7.75%		06/15/21	⁴		6,725,000		6,573,687
SandRidge Energy, Inc.
8.12%		10/15/22			13,065,000		13,326,300
8.75%		01/15/20			1,935,000		2,060,775
SM Energy Co.
5.00%		01/15/24	⁴		4,780,000		4,421,500
6.50%		11/15/21			8,055,000		8,417,475
6.50%		01/01/23			8,376,000		8,585,400
Summit Midstream Holdings LLC/Summit
Midstream Finance Corp.
7.50%		07/01/21	⁴		10,340,000		10,701,900
Targa Resources Partners LP/Targa
Resources Partners Finance Corp.
4.25%		11/15/23	⁴		3,595,000		3,280,437
Vanguard Natural Resources LLC/VNR
Finance Corp.
7.88%		04/01/20			7,040,000		7,180,800
Walter Energy, Inc.
8.50%		04/15/21	⁴		11,385,000		9,563,400
9.50%		10/15/19	⁴		4,300,000		4,466,625
9.88%		12/15/20	⁴		14,150,000		12,416,625
Whiting Petroleum Corp.
5.00%		03/15/19			3,850,000		3,869,250


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Energy (continued)
5.75%		03/15/21		$	1,425,000	$	1,453,500


							520,497,455

Entertainment — 0.19%
Carmike Cinemas, Inc.
7.38%		05/15/19			3,900,000		4,221,750

Finance — 7.73%
Alta Wind Holdings LLC
7.00%		06/30/35	⁴		2,327,020		2,480,408
Astoria Depositor Corp.
8.14%		05/01/21	⁴		27,758,000		27,480,420
Chase Capital II, Series B
0.76%		02/01/27	³		8,790,000		7,207,800
Chase Capital VI
0.89%		08/01/28	³		4,000,000		3,340,000
CIT Group, Inc.
4.25%		08/15/17			4,850,000		4,965,187
5.50%		02/15/19	⁴		15,015,000		15,840,825
6.62%		04/01/18	⁴		26,246,000		29,001,830
Citigroup, Inc.
0.81%		08/25/36	³		9,460,000		7,762,847
Denali Borrower LLC/Denali Finance Corp.
5.62%		10/15/20	⁴		4,465,000		4,364,537
General Electric Capital Corp. (MTN)
0.74%		08/15/36	³		10,480,000		8,442,877
GMAC LLC
8.00%		11/01/31			1,125,000		1,257,187
International Lease Finance Corp.
7.12%		09/01/18	⁴		20,020,000		22,459,938
JPMorgan Chase Capital XIII, Series M
1.20%		09/30/34	³		10,917,000		8,853,405
JPMorgan Chase Capital XXI, Series U
1.22%		02/02/37	³		7,750,000		5,831,875
JPMorgan Chase Capital XXIII
1.26%		05/15/47	³		2,320,000		1,736,669
Nielsen Co., Luxembourg SARL
(Luxembourg)
5.50%		10/01/21	^2,4		5,020,000		5,057,650
ZFS Finance USA Trust I
6.50%		05/09/37	^3,4		10,154,000		10,712,470
ZFS Finance USA Trust II
6.45%		12/15/65	^3,4		4,450,000		4,772,625


							171,568,550

Food — 0.48%
Post Holdings, Inc.
7.38%		02/15/22			9,990,000		10,551,937


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Health Care — 5.94%
Accellent, Inc.
8.38%		02/01/17		$	19,528,000	$	20,431,170
Alere, Inc.
7.25%		07/01/18			6,000,000		6,510,000
CHS/Community Health Systems, Inc.
5.12%		08/15/18			6,115,000		6,237,300
7.12%		07/15/20			3,500,000		3,543,750
8.00%		11/15/19			15,685,000		16,547,675
DaVita, Inc.
5.75%		08/15/22			7,735,000		7,686,656
HCA, Inc.
7.25%		09/15/20			26,269,000		28,633,210
7.50%		12/15/23			3,965,000		4,074,037
Tenet Healthcare Corp.
4.50%		04/01/21			11,090,000		10,452,325
Valeant Pharmaceuticals International
6.75%		08/15/21	⁴		14,391,000		15,038,595
6.88%		12/01/18	⁴		500,000		531,250
7.00%		10/01/20	⁴		1,500,000		1,603,125
7.25%		07/15/22	⁴		2,900,000		3,110,250
VPII Escrow Corp. (Canada)
7.50%		07/15/21	^2,4		6,885,000		7,470,225


							131,869,568

Industrials — 5.03%
ARD Finance SA (PIK) (Luxembourg)
11.12%		06/01/18	^2,4,12		12,973,044		13,913,590
Ardagh Packaging Finance PLC (Ireland)
9.12%		10/15/20	^2,4		17,045,000		18,110,313
Ball Corp.
4.00%		11/15/23			4,340,000		3,938,550
Bombardier, Inc. (Canada)
6.12%		01/15/23	^2,4		4,700,000		4,723,500
BWAY Holding Co.
10.00%		06/15/18			6,015,000		6,586,425
Cequel Communications Escrow 1
LLC/Cequel Communications Escrow
Capital Corp.
6.38%		09/15/20	⁴		11,140,000		11,307,100
Flexi-Van Leasing, Inc.
7.88%		08/15/18	⁴		3,750,000		3,900,000
Howard Hughes Corp.
6.88%		10/01/21	⁴		5,000,000		5,011,500
MasTec, Inc.
4.88%		03/15/23			6,690,000		6,322,050
Maxim Crane Works LP
12.25%		04/15/15	⁴		22,275,000		23,166,000
NESCO LLC/NESCO Holdings Corp.
11.75%		04/15/17	⁴		10,484,000		11,742,080


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Industrials (continued)
Plastipak Holdings, Inc.
6.50%		10/01/21	⁴	$	2,860,000	$	2,918,987


							111,640,095


Information Technology — 2.25%
Activision Blizzard, Inc.
5.62%		09/15/21	⁴		2,125,000		2,132,969
Audatex North America, Inc.
6.00%		06/15/21	⁴		5,600,000		5,740,000
First Data Corp.
7.38%		06/15/19	⁴		20,840,000		22,038,300
8.88%		08/15/20	⁴		4,370,000		4,839,775
Freescale Semiconductor, Inc.
5.00%		05/15/21	⁴		7,200,000		6,876,000
NXP BV/NXP Funding LLC (Netherlands)
3.75%		06/01/18	^2,4		6,000,000		5,865,000
5.75%		03/15/23	^2,4		2,450,000		2,468,375


							49,960,419


Insurance — 0.59%
Nationwide Mutual Insurance Co.
5.81%		12/15/24	^3,4		12,850,000		13,090,938

Materials — 1.58%
ArcelorMittal (Luxembourg)
6.00%		03/01/21	²		3,000,000		3,101,705
6.75%		02/25/22	²		5,435,000		5,720,337
10.35%		06/01/19	²		18,825,000		23,248,875
Nova Chemicals Corp. (Canada)
5.25%		08/01/23	^2,4		3,040,000		3,081,817


							35,152,734


Real Estate Investment Trust (REIT) — 1.00%
DuPont Fabros Technology LP
5.88%		09/15/21	⁴		4,500,000		4,511,250
Geo Group, Inc.
5.88%		01/15/22	⁴		7,320,000		7,265,100
Realogy Corp.
7.62%		01/15/20	⁴		9,260,000		10,394,350


							22,170,700

Services — 0.49%
Ceridian Corp.
8.88%		07/15/19	⁴		9,545,000		10,952,887

Transportation — 2.10%
American Airlines Pass-Through Trust,
Series 2013-1, Class B
5.62%		01/15/21	⁴		7,282,000		7,027,130


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Transportation (continued)
American Airlines Pass-Through Trust,
Series 2013-2, Class A
4.95%		01/15/23	⁴	$	8,790,000	$	8,844,937
Continental Airlines Pass-Through Trust,
Series 2007, Class 1B
6.90%		04/19/22			4,651,732		4,761,978
Continental Airlines Pass-Through Trust,
Series 2009, Class 1
9.00%		07/08/16			1,364,780		1,569,497
Delta Air Lines Pass-Through Trust,
Series 2002, Class G1
6.72%		01/02/23			13,699,792		14,967,023
Delta Air Lines Pass-Through Trust,
Series 2009, Class B1
9.75%		12/17/16			1,236,566		1,342,455
JetBlue Airways Pass-Through Trust,
Series 2004, Class G1
0.64%		08/15/16	³		1,342,182		1,286,817
US Airways Pass-Through Trust,
Series 2010-1, Class A
6.25%		04/22/23			2,177,209		2,302,398
US Airways Pass-Through Trust,
Series 2012, Class 2B
6.75%		06/03/21			1,100,000		1,130,250
US Airways Pass-Through Trust,
Series 2012-1, Class A
5.90%		10/01/24			3,194,235		3,351,950


							46,584,435

Total Corporates
(Cost $1,739,053,799)							1,745,171,617

MORTGAGE-BACKED — 0.02%**
Non-Agency Mortgage-Backed — 0.02%
BHN I Mortgage Fund, Series 2000-1,
Class AF (Argentina)
8.00%		01/31/20	^2,4,7,†		2,890		29
Countrywide Asset-Backed Certificates,
Series 2007-13, Class 2A1
1.08%		10/25/47	³		500,104		423,308


							423,337

U.S. Agency Mortgage-Backed — 0.00%
Fannie Mae, Series 1993-225, Class SG
26.77%		12/25/13	³		1,182		1,217

Total Mortgage-Backed
(Cost $355,555)							424,554

U.S. TREASURY SECURITIES — 0.29%**
U.S. Treasury Notes — 0.29%
U.S. Treasury Notes - Treasury Inflation
Indexed Notes
1.25%		04/15/14	¹³		1,130,000		1,258,211

Issues

Maturity
Date

Principal
Amount

Value

U.S. TREASURY SECURITIES (continued)

U.S. Treasury Notes (continued)

2.00%

07/15/14

¹³

4,085,000

5,192,806

Total U.S. Treasury Securities

(Cost $6,481,514)

6,451,017

Total Bonds – 91.20%

(Cost $2,033,787,058)

2,024,077,480



Issues	Shares		Value
COMMON STOCK — 0.66%
Electric — 0.66%
Dynegy, Inc.⁶		755,707		14,600,252


Total Common Stock
(Cost $14,505,785)


Issues	Shares		Value
PREFERRED STOCK — 0.33%
Finance — 0.33%
Citigroup Capital XIII
0.05%		267,702		7,353,774

Total Preferred Stock
(Cost $7,281,863)

Issues

Maturity
Date

Principal
Amount/
Shares

Value

SHORT-TERM INVESTMENTS — 6.74%

Money Market Funds — 1.99%

Dreyfus Cash Advantage Fund

0.06%¹⁴

22,058,000

DWS Money Market Series

Institutional Funds

0.05%¹⁴

22,058,000

44,116,000

Repurchase Agreements — 2.25%

Deutsche Bank AG (Dated 9/30/13, total to be received $50,000,139, (collateralized by U.S. government sponsored agency obligations, 0.78% to 4.75%, due from 12/16/16 to 5/24/18, par and fair value of $48,888,000 and $51,001,834, respectively))

0.10%

10/01/13

50,000,000

U.S. Agency Discount Notes — 2.49%

Fannie Mae

0.08%¹⁵

01/03/14

44,730,000

44,728,837

Federal Home Loan Bank

0.07%¹⁵

11/13/13

10,605,000

10,604,748

55,333,585

Issues

Maturity
Date

Principal
Amount/
Shares

Value

SHORT-TERM INVESTMENTS (continued)

U.S. Treasury Bills — 0.01%

U.S. Treasury Bills

0.01%¹⁵

12/05/13

¹⁶

183,000

Total Short-Term Investments

(Cost $149,623,831)

149,632,585

Total Investments – 98.93%

(Cost $2,205,198,537)¹

2,195,664,091

Cash and Other Assets, Less

Liabilities – 1.07%

23,683,818

Net Assets – 100.00%

$2,219,347,909

Notes:

¹	Cost for federal income tax purposes is $2,205,700,421 and net unrealized appreciation/(depreciation) consists of:


Gross unrealized appreciation	$	44,393,351
Gross unrealized depreciation		(54,429,681	)

Net unrealized depreciation	$	(10,036,330	)

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

³	Floating rate security. The rate disclosed was in effect at September 30, 2013.

⁴

Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The market value of these securities at September 30, 2013, was $719,554,020, representing 32.42% of total net assets.

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
08/07/13	Alinta Energy Finance Pty Ltd., Term Loan B, 1st Lien, 6.38%, 08/07/19	$	5,801,306	$	5,874,657	0.26%
08/07/13	Alinta Energy Finance Pty Ltd., Term Loan DD, 1st Lien, 0.50%, 08/07/19		379,167		384,323	0.02%
07/31/13	American Airlines, Inc.,
	4.75%, 06/27/19		7,941,103		7,945,087	0.36%
12/08/09	Boston Generating LLC, Term Loan, 1st Lien, 0.00%, 12/20/13		214,955		–	0.00%
02/15/13	Centaur Acquisition LLC, Term Loan, 1st Lien, 5.25%, 02/20/19		2,476,015		2,503,047	0.11%
02/15/13	Centaur Acquisition LLC, Term Loan, 2nd Lien, 8.75%, 02/20/20		990,738		1,010,000	0.05%
03/01/13	Cricket Communications, Inc., 4.75%, 03/08/20		1,981,053		1,997,494	0.09%
07/02/13	Drillships Financing Holding, Term Loan B1, 1st Lien, 6.00%, 02/17/21		10,293,165		10,624,687	0.48%


Date of Purchase	Security	Amortized Cost		Value		% of Total Net Assets
04/23/13	Dynegy, Inc., Term Loan
	B2, 1st Lien, 4.00%,
	04/23/20	$	2,458,305	$	2,453,850	0.11%
05/21/13	Equipower Resources
	Holdings, Term Loan, 1st
	Lien, 4.25%, 12/21/19		3,482,662		3,505,215	0.16%
10/12/12	Fortescue Metals Group
	Ltd., Term Loan, 5.25%,
	10/18/17		22,174,050		22,355,369	1.01%
06/14/13	Harvey Gulf International
	Marine, Term Loan B, 1st
	Lien, 5.50%, 06/14/20		6,160,051		6,265,625	0.28%
09/23/13	Hilton Worldwide Finance
	LLC, Term Loan B2, 1st
	Lien, 0.00%, 09/23/20		6,467,500		6,498,895	0.29%
05/09/13	La Frontera Generation
	LLC, Term Loan B, 1st
	Lien, 4.50%, 09/30/20		7,653,904		7,761,973	0.35%
08/14/13	Level 3 Financing, Inc.,
	Term Loan B, 1st Lien,
	4.00%, 01/15/20		1,995,000		2,000,630	0.09%
08/05/10	MACH Gen LLC, Term
	Loan, 2nd Lien (PIK),
	7.77%, 02/15/15		33,818,233		23,435,111	1.06%
08/20/13	Moxie Liberty (Panda),
	Term Loan, 1st Lien,
	7.50%, 08/21/20		8,168,427		8,373,750	0.38%
03/28/13	Navistar, Inc., Term Loan
	B, 1st Lien, 5.75%,
	08/17/17		10,000,017		10,143,750	0.46%
04/03/13	Panda Temple Power II
	LLC, 7.25%, 03/28/19		1,981,505		2,036,250	0.09%
09/20/13	Peabody Energy Corp.,
	Term Loan, First Lien,
	4.25%, 09/20/20		4,455,107		4,459,680	0.20%
05/06/13	Power Buyer LLC,
	Delayed Draw Term Loan,
	1st Lien, 5.50%, 05/06/20		55,278		54,861	0.00%
05/06/13	Power Buyer LLC, Term
	Loan, 1st Lien, 4.25%,
	05/06/20		441,255		437,792	0.02%
05/06/13	Power Buyer LLC, Term
	Loan, 2nd Lien, 8.25%,
	11/06/20		5,402,440		5,413,500	0.24%
01/16/13	Sabine Oil & Gas NFR
	Energy, Term Loan, 2nd
	Lien, 8.75%, 12/31/18		9,415,977		9,565,360	0.43%
02/24/12	Schaeffler AG, Term Loan
	C2, 1st Lien, 4.25%,
	01/27/17		11,443,043		11,461,788	0.52%
03/20/13	Sun Products Corp., Term
	Loan B, 1st Lien, 5.50%,
	03/18/20		2,957,391		2,914,106	0.13%
08/19/13	Synagro Infrastructure,
	Term Loan, 1st Lien,
	6.25%, 07/25/19		6,861,939		6,919,080	0.31%
02/27/10	Texas Competitive Electric
	Holdings Co. LLC,
	Term Loan EXT, 1st Lien,
	4.71%, 10/10/17		29,096,589		28,708,687	1.29%


Date of Purchase	Security	Amortized Cost			Value			% of Total Net Assets
02/25/13	Topaz Power Holdings
	LLC, Term Loan,
	1st Lien, 5.25%, 02/26/20		$	12,782,187		$	12,934,756		0.58	%
08/16/13	TPF II LC LLC, Term
	Loan, 1st Lien, 6.50%,
	07/25/19			3,891,506			4,019,925		0.18	%
07/16/13	Walter Energy, Inc., Term
	Loan B, 1st Lien, 6.75%,
	04/01/18			4,750,018			4,576,103		0.21	%

			$	225,989,886		$	216,635,351		9.76	%

⁶	Non-income producing security.

⁷	Illiquid security as determined under procedures approved by the Fund’s Board of Trustees. The aggregate value of illiquid securities is $4,106,858, which is 0.19% of total net assets.

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

⁹	Payment-in-kind (“PIK”) security. Income may be paid in additional securities or cash at the discretion of the issuer.

¹⁰	Payment-in-kind (“PIK”) security. Income may be paid in additional securities or cash at the discretion of the issuer. 8.14% cash or 8.64% payment-in-kind interest.

¹¹	Payment-in-kind (“PIK”) security. Income may be paid in additional securities or cash at the discretion of the issuer. 8.73% cash or 9.23% payment-in-kind interest.

¹²	Payment-in-kind (“PIK”) security. Income may be paid in additional securities or cash at the discretion of the issuer. 11.12% cash or payment-in-kind interest.

¹³	Inflation protected security. Principal amount reflects original security face amount.

¹⁴	Represents the current yield as of September 30, 2013.

¹⁵	Represents annualized yield at date of purchase.

¹⁶	Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $182,998.

^†

Fair valued security. The aggregate value of fair valued securities is $539,574, which is 0.02% 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.

(MTN): Medium-term note

(PIK): Payment in kind

(WI): When issued


Issues	Maturity Date			Principal Amount		Value
BONDS – 76.03%
ASSET-BACKED SECURITIES — 11.78%**
Access Group, Inc., Series 2001, Class 2A1
0.62%		05/25/29	²	$	3,701,025	$	3,331,563
Aircastle Aircraft Lease Backed Trust,
Series 2007-1A, Class G1
0.49%		06/14/37	^2,3		111,633		100,871
ARES CLO Ltd., Series 2007-12A, Class A
(Cayman Islands)
0.89%		11/25/20	^2,3,4		977,646		972,137
ARES CLO Ltd., Series 2013-1A, Class E
(Cayman Islands)
5.29%		04/15/25	^2,3,4		920,000		819,863
Avalon IV Capital Ltd., Series 2012-1A,
Class C (Cayman Islands)
3.87%		04/17/23	^2,3,4		15,000		15,076
Axis Equipment Finance Receivables LLC,
Series 2012-1I, Class D
5.50%		11/20/15	^†		10,000		9,653
Axis Equipment Finance Receivables LLC,
Series 2012-1I, Class E1
6.25%		04/20/16	^†		10,000		9,004
Axis Equipment Finance Receivables LLC,
Series 2012-1I, Class E2
7.00%		03/20/17	^†		15,000		12,755
Ballyrock Ltd., Series 2005-3X, Class D
2.13%		07/25/17	⁵		1,258,492		1,234,902
Bayview Commercial Asset Trust,
Series 2006-4A, Class A1
0.41%		12/25/36	^2,3		2,605,017		2,118,822
Bayview Commercial Asset Trust,
Series 2007-1, Class A1
0.40%		03/25/37	^2,3		2,403,565		1,921,201
Bayview Commercial Asset Trust,
Series 2007-3, Class A1
0.42%		07/25/37	^2,3		2,354,295		1,916,971
Beacon Container Finance LLC,
Series 2012-1A, Class A
3.72%		09/20/27	³		112,817		114,440
Brazos Higher Education Authority, Inc.,
Series 2005-3, Class A16
0.45%		06/25/26	²		150,000		143,732
Brazos Higher Education Authority, Inc.,
Series 2006-2, Class A9
0.26%		12/26/24	²		35,195		33,869
Brazos Higher Education Authority, Inc.,
Series 2011-1, Class A2
1.06%		02/25/30	²		200,000		201,667
CAL Funding II Ltd., Series 2012-1A,
Class A (Bermuda)
3.47%		10/25/27	^3,4		317,917		316,866
CIFC Funding Ltd., Series 2012-2A,
Class A1L (Cayman Islands)
1.66%		12/05/24	^2,3,4		200,000		200,386


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Columbus Nova CLO Ltd., Series 2007-2A,
Class D
4.77%		10/15/21	^2,3	$	1,170,000	$	1,170,410
Cronos Containers Program Ltd.,
Series 2012-1A, Class A (Bermuda)
4.21%		05/18/27	^3,4		43,333		43,980
Cronos Containers Program Ltd.,
Series 2012-2A, Class A (Bermuda)
3.81%		09/18/27	^3,4		90,000		91,508
Dryden Senior Loan Fund, Series 2013-26A,
Class C (Cayman Islands)
2.77%		07/15/25	^2,3,4		900,000		854,602
Dryden XXII Senior Loan Fund, Series
2013-30A, Class C (Cayman Islands)
3.11%		11/15/25	^2,3,4,†		1,130,000		1,100,285
Educational Funding of the South, Inc.,
Series 2012-1, Class A
1.23%		03/25/36	²		220,106		220,297
Educational Services of America, Inc.,
Series 2012-2, Class A
0.91%		04/25/39	^2,3		533,746		535,827
GCO Education Loan Funding Trust,
Series 2006-2AR, Class A1RN
1.48%		08/27/46	^2,3,†		3,750,000		3,543,801
GCO Education Loan Funding Trust,
Series 2007-1A, Class A5L
0.33%		05/25/23	^2,3		430,753		424,680
GE Business Loan Trust, Series 2004-1,
Class B
0.88%		05/15/32	^2,3		55,973		51,544
GE Business Loan Trust, Series 2004-2A,
Class A
0.40%		12/15/32	^2,3		1,209,945		1,141,021
GE Business Loan Trust, Series 2005-1A,
Class A3
0.43%		06/15/33	^2,3		2,135,258		1,999,155
GE Seaco Finance SRL, Series 2005-1A,
Class A (Barbados)
0.43%		11/17/20	^2,3,4		43,333		42,921
Goal Capital Funding Trust, Series 2006-1,
Class A3
0.38%		11/25/26	²		495,633		489,084
Goal Capital Funding Trust, Series 2006-1,
Class B
0.71%		08/25/42	²		863,254		770,734
Halcyon Loan Advisors Funding Ltd.,
Series 2012-2A, Class C (Cayman Islands)
3.10%		12/20/24	^2,3,4		400,000		382,678
Hewett’s Island CLO V Ltd., Series 2006-5A,
Class D (Cayman Islands)
1.71%		12/05/18	^2,3,4		600,000		572,196
Jasper CLO Ltd., Series 2005-1A, Class A
(Cayman Islands)
0.54%		08/01/17	^2,3,4		298,314		297,368


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
LCM LP, Series 14A, Class D
(Cayman Islands)
3.78%		07/15/25	^2,3,4	$	1,150,000	$	1,090,561
LCM VI Ltd., Series 6A, Class A
(Cayman Islands)
0.49%		05/28/19	^2,3,4		525,000		510,606
MSIM Peconic Bay, Ltd., Series 2007-1A,
Class C (Cayman Islands)
2.27%		07/20/19	^2,3,4		1,280,000		1,279,034
National Collegiate Student Loan Trust,
Series 2007-1, Class A3
0.42%		07/25/30	²		750,000		606,787
National Collegiate Student Loan Trust,
Series 2007-4, Class A2A3
3.68%		12/26/25	²		100,000		99,938
Nelnet Education Loan Funding, Inc.,
Series 2004-1A, Class B1
0.87%		02/25/36	^2,3		150,000		109,500
Nelnet Education Loan Funding, Inc.,
Series 2004-1A, Class B2
0.60%		02/25/36	^2,3		825,000		602,250
Nelnet Student Loan Trust, Series 2012-5A,
Class A
0.78%		10/27/36	^2,3		299,186		297,836
Northstar Education Finance, Inc.
1.03%		01/29/46	²		135,000		134,752
Oak Hill Credit Partners, Series 2007-5X,
Class C
5.27%		04/16/21	³		1,000,000		1,000,586
Oak Hill Credit Partners, Series 2012-7A,
Class A (Cayman Islands)
1.68%		11/20/23	^2,3,4		200,000		200,530
Panthera Equipment Finance Axis,
Series 2013-1
8.00%		02/25/22	^†		642,875		642,882
Race Point CLO Ltd., Series 2012-7A,
Class A (Cayman Islands)
1.69%		11/08/24	^2,3,4		250,000		250,596
Red River CLO Ltd., Series 1A, Class A
(Cayman Islands)
0.54%		07/27/18	^2,3,4		302,525		296,657
Scholar Funding Trust, Series 2011-A,
Class A
1.16%		10/28/43	^2,3		282,167		281,076
Scholar Funding Trust, Series 2012-B,
Class A2
1.28%		03/28/46	^2,3		150,000		149,712
SLC Student Loan Trust, Series 2004-1,
Class B
0.55%		08/15/31	²		1,126,741		998,109
SLC Student Loan Trust, Series 2005-2,
Class B
0.53%		03/15/40	²		884,751		769,871


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
SLC Student Loan Trust, Series 2006-1,
Class B
0.46%		03/15/39	²	$	1,384,720	$	1,194,447
SLC Student Loan Trust, Series 2006-2,
Class A5
0.35%		09/15/26	²		175,000		171,009
SLC Student Loan Trust, Series 2006-2,
Class B
0.48%		12/15/39	²		1,203,499		1,038,623
SLM Student Loan Trust, Series 2003-11,
Class A6
0.54%		12/15/25	^2,3		250,000		247,527
SLM Student Loan Trust, Series 2004-2,
Class B
0.74%		07/25/39	²		1,127,806		1,015,926
SLM Student Loan Trust, Series 2004-B,
Class A4
0.68%		09/15/33			1,500,000		1,192,755
SLM Student Loan Trust, Series 2005-4,
Class B
0.45%		07/25/40	²		1,136,700		984,749
SLM Student Loan Trust, Series 2005-9,
Class B
0.57%		01/25/41	²		1,373,120		1,194,879
SLM Student Loan Trust, Series 2006-2,
Class A6
0.44%		01/25/41	²		1,800,000		1,567,981
SLM Student Loan Trust, Series 2006-8,
Class A6
0.43%		01/25/41	²		1,800,000		1,568,009
SLM Student Loan Trust, Series 2006-9,
Class A5
0.37%		01/26/26	²		200,000		194,899
SLM Student Loan Trust, Series 2006-B,
Class A5
0.52%		12/15/39	²		2,595,000		2,153,759
SLM Student Loan Trust, Series 2007-3,
Class A4
0.33%		01/25/22	²		215,000		204,249
SLM Student Loan Trust, Series 2008-4,
Class A4
1.92%		07/25/22	²		2,200,000		2,300,001
SLM Student Loan Trust, Series 2011-1,
Class A2
1.33%		10/25/34	²		2,680,000		2,749,728
SLM Student Loan Trust, Series 2011-2,
Class A2
1.38%		10/25/34	²		1,535,000		1,588,436
SLM Student Loan Trust, Series 2012-7,
Class A3
0.83%		05/26/26	²		200,000		198,253
Sound Point CLO Ltd., Series 2012-1A,
Class C (Cayman Islands)
3.57%		10/20/23	^2,3,4		75,000		74,669


Issues	Maturity Date	Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Structured Receivables Finance LLC,
Series 2010-A, Class B
7.61%	01/16/46^3,†	$	925,000	$	1,090,395
Structured Receivables Finance LLC,
Series 2010-B, Class B
7.97%	08/15/36^3,†		720,000		859,418
Student Loan Consolidation Center Student
Loan Trust I, Series 2002-2, Class B2
1.04%	07/01/42^2,3		100,000		76,308
Symphony CLO Ltd., Series 2012-9A,
Class C (Cayman Islands)
3.52%	04/16/22^2,3,4		20,000		20,074
Symphony CLO Ltd., Series 2013-12A,
Class C (Cayman Islands)
3.00%	10/15/25^2,3,4,†		950,000		926,444
TAL Advantage LLC, Series 2006-1,
Class NOTE
0.37%	04/20/21^2,3		36,167		35,663
TAL Advantage LLC, Series 2010-2A,
Class A
4.30%	10/20/25³		42,500		42,654
Textainer Marine Containers Ltd.,
Series 2005-1A, Class A (Bermuda)
0.43%	05/15/20^2,3,4		70,833		70,084
Textainer Marine Containers Ltd.,
Series 2011-1A, Class A (Bermuda)
4.70%	06/15/26^3,4		38,750		38,798
Triton Container Finance LLC,
Series 2006-1A, Class NOTE
0.35%	11/26/21^2,3		15,833		15,541
Triton Container Finance LLC,
Series 2007-1A, Class NOTE
0.32%	02/26/19^2,3		60,562		60,031
U-Haul S Fleet LLC, Series 2007-BT1,
Class BT
5.56%	02/25/20³		50,507		50,974

Total Asset-Backed Securities
(Cost $59,654,053)					59,453,435

BANK LOANS — 0.46%*
Automotive — 0.10%
Navistar, Inc., Term Loan B, 1st Lien
5.75%	08/17/17^2,5		500,000		507,187

Electric — 0.12%
Dynegy, Inc., Term Loan B2, 1st Lien
4.00%	04/23/20^2,5		613,846		613,462

Energy — 0.19%
Alinta Energy Finance Pty Ltd.,
Term Loan B, 1st Lien
6.38%	08/07/19^2,5		938,596		903,795


Issues	Maturity Date	Principal Amount		Value
BANK LOANS (continued)
Energy (continued)
Alinta Energy Finance Pty Ltd.,
Term Loan DD, 1st Lien
0.50%	08/07/19^2,5	$	61,404	$	59,127

					962,922

Services — 0.05%
AABS Ltd., Series 2013-1, Class A (STEP)
4.72%	01/15/38^2,†		220,417		221,258

Total Bank Loans
(Cost $2,288,057)					2,304,829

CORPORATES — 22.28%*
Automotive — 1.02%
Daimler Finance North America LLC
0.87%	01/09/15^2,3		500,000		500,479
Ford Motor Co.
6.50%	08/01/18		1,000,000		1,160,000
General Motors Co.
4.88%	10/02/23³		2,000,000		1,995,000
Tenedora Nemak SA de CV (Mexico)
5.50%	02/28/23^3,4		500,000		473,750
Titan International, Inc.
6.88%	10/01/20³		1,000,000		1,012,500

					5,141,729

Banking — 2.06%
Abbey National Treasury Services PLC
(United Kingdom)
3.05%	08/23/18⁴		425,000		432,259
Abbey National Treasury Services
PLC/London (United Kingdom)
3.88%	11/10/14^3,4		125,000		129,015
Akbank TAS (Turkey)
5.00%	10/24/22^3,4		1,500,000		1,387,500
Bank of America Corp.
6.00%	09/01/17		75,000		85,007
Bank of America N.A. (BKNT)
0.53%	06/15/16²		122,000		119,408
5.30%	03/15/17		275,000		303,319
6.10%	06/15/17		1,100,000		1,243,961
BBVA Bancomer SA/Texas (Mexico)
6.75%	09/30/22^3,4		500,000		518,750
CorpGroup Banking SA (Chile)
6.75%	03/15/23^3,4		1,500,000		1,282,500
HBOS PLC, Series G (MTN)
(United Kingdom)
6.75%	05/21/18^3,4		1,425,000		1,572,591
National Australia Bank Ltd. (Australia)
1.60%	08/07/15⁴		250,000		253,869


Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Banking (continued)
Royal Bank of Scotland PLC
(United Kingdom)
2.55%	09/18/15⁴	$	350,000	$	357,388
6.10%	06/10/23⁴		700,000		707,987
6.12%	12/15/22⁴		100,000		101,153
Sberbank of Russia via SB Capital SA
(Luxembourg)
5.25%	05/23/23^3,4		500,000		458,850
VTB Bank OJSC via VTB Capital SA
(Luxembourg)
6.95%	10/17/22^3,4		500,000		500,625
Yapi ve Kredi Bankasi AS (Turkey)
5.50%	12/06/22^3,4		1,100,000		955,625


					10,409,807

Communications — 0.96%
Cablevision Systems Corp.
5.88%	09/15/22		60,000		59,100
CCO Holdings LLC/CCO Holdings
Capital Corp.
7.38%	06/01/20		560,000		607,600
CCO Holdings LLC/CCO Holdings
Capital Corp. (WI)
8.12%	04/30/20		65,000		71,013
CenturyLink, Inc.
5.80%	03/15/22		70,000		66,210
Intelsat Jackson Holdings SA (Luxembourg)
7.25%	10/15/20⁴		380,000		408,500
8.50%	11/01/19⁴		480,000		522,000
Myriad International Holdings BV
(Netherlands)
6.00%	07/18/20^3,4		500,000		536,250
Qwest Corp.
7.25%	09/15/25		300,000		328,499
Sprint Nextel Corp.
9.25%	04/15/22		810,000		939,600
VimpelCom Holdings BV (Netherlands)
5.95%	02/13/23^3,4		500,000		476,250
Windstream Corp. (WI)
8.12%	09/01/18		785,000		847,800


					4,862,822

Consumer Discretionary — 0.21%
Reynolds Group Issuer, Inc./Reynolds Group
Issuer LLC
7.88%	08/15/19		500,000		552,500
Reynolds Group Issuer, Inc./Reynolds Group
Issuer LLC (WI)
5.75%	10/15/20		150,000		150,750


Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Consumer Discretionary (continued)
Virgolino de Oliveira Finance Ltd.
(Luxembourg)
10.50%	01/28/18^3,4	$	500,000	$	382,500


					1,085,750

Electric — 2.54%
Calpine Corp.
7.50%	02/15/21³		350,000		373,625
DPL, Inc.
6.50%	10/15/16		545,000		587,237
Duquesne Light Holdings, Inc.
6.40%	09/15/20³		171,000		197,452
Electricite de France SA (France)
5.25%	07/29/49^2,3,4		975,000		920,156
Florida Gas Transmission Co. LLC
7.90%	05/15/19³		375,000		466,975
GenOn Americas Generation LLC
8.50%	10/01/21		150,000		159,750
9.12%	05/01/31		1,300,000		1,371,500
Homer City Generation LP (PIK)
8.14%	10/01/19⁶		1,300,000		1,345,500
Hrvatska Elektroprivreda (Croatia)
6.00%	11/09/17^3,4		500,000		515,000
Instituto Costarricense de Electricidad
(Costa Rica)
6.95%	11/10/21^3,4		1,520,000		1,569,400
Ipalco Enterprises, Inc.
7.25%	04/01/16³		1,500,000		1,657,500
Mexico Generadora de Energia S de RL
(Mexico)
5.50%	12/06/32^3,4		1,500,000		1,353,750
Mirant Mid Atlantic Pass-Through Trust,
Series B
9.12%	06/30/17		668,263		711,700
Mirant Mid Atlantic Pass-Through Trust,
Series C
10.06%	12/30/28		97,429		105,711
Oncor Electric Delivery Co. LLC
6.80%	09/01/18		1,000,000		1,196,710
PNM Resources, Inc.
9.25%	05/15/15		200,000		225,250
Public Service Co. of New Mexico
5.35%	10/01/21		50,000		54,640


					12,811,856

Energy — 3.01%
Arch Coal, Inc.
7.00%	06/15/19		25,000		19,750
Chaparral Energy, Inc.
8.25%	09/01/21		116,000		122,960


Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Energy (continued)
CNOOC Finance 2013 Ltd. (China)
1.12%	05/09/16⁴	$	1,000,000	$	994,857
EDC Finance Ltd.
4.88%	04/17/20³		500,000		480,000
Florida Gas Transmission Co. LLC
3.88%	07/15/22³		160,000		160,441
4.00%	07/15/15³		500,000		527,632
GeoPark Latin America Ltd., Agencia En Chile
(Bermuda)
7.50%	02/11/20^3,4		600,000		606,750
Newfield Exploration Co.
5.62%	07/01/24		165,000		160,669
6.88%	02/01/20		125,000		131,875
Pacific Drilling SA (Luxembourg)
5.38%	06/01/20^3,4		1,400,000		1,368,500
Pacific Drilling V Ltd. (Luxembourg)
7.25%	12/01/17^3,4		725,000		783,000
Pacific Rubiales Energy Corp., Series REGS
(Canada)
7.25%	12/12/21²		500,000		531,250
Peabody Energy Corp.
4.75%	12/15/41		900,000		726,750
Petrobras Global Finance BV (Netherlands)
2.41%	01/15/19^2,4		1,200,000		1,182,172
4.38%	05/20/23⁴		1,000,000		916,244
Petroleos de Venezuela SA, Series REGS
(Venezuela)
8.50%	11/02/17⁴		1,100,000		999,350
Petroleos Mexicanos (Mexico)
1.70%	12/20/22⁴		142,500		140,567
Plains Exploration & Production Co.
6.88%	02/15/23		900,000		969,750
QGOG Constellation SA (Luxembourg)
6.25%	11/09/19^3,4		500,000		478,750
Sabine Pass LNG LP
7.50%	11/30/16		1,550,000		1,710,813
SandRidge Energy, Inc.
8.12%	10/15/22		550,000		561,000
SM Energy Co.
6.50%	01/01/23		165,000		169,125
Southern Natural Gas Co. LLC
8.00%	03/01/32		100,000		130,918
Tennessee Gas Pipeline Co. LLC
8.00%	02/01/16		225,000		258,759
Walter Energy, Inc.
9.50%	10/15/19³		1,000,000		1,038,750


					15,170,632


Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Finance — 4.11%
Astoria Depositor Corp.
8.14%	05/01/21³	$	440,000	$	435,600
CIT Group, Inc.
6.62%	04/01/18³		1,000,000		1,105,000
Citigroup, Inc.
0.81%	08/25/36²		1,050,000		861,627
1.23%	07/25/16²		1,000,000		1,009,269
4.59%	12/15/15		125,000		133,767
6.12%	05/15/18		100,000		115,783
Ford Motor Credit Co. LLC
3.88%	01/15/15		400,000		413,843
General Electric Capital Corp. (MTN)
0.74%	08/15/36²		2,085,000		1,679,714
4.65%	10/17/21		70,000		74,953
Goldman Sachs Group, Inc.
2.90%	07/19/18		1,000,000		1,010,425
5.95%	01/18/18		75,000		84,862
Grupo Aval Ltd. (Cayman Islands)
4.75%	09/26/22^3,4		600,000		540,000
Hyundai Capital America
1.88%	08/09/16³		1,250,000		1,256,090
Industrial Senior Trust (Cayman Islands)
5.50%	11/01/22^3,4		600,000		550,500
International Lease Finance Corp.
6.50%	09/01/14³		175,000		181,125
6.75%	09/01/16³		400,000		441,500
JPMorgan Chase Capital XIII, Series M
1.20%	09/30/34²		225,000		182,469
JPMorgan Chase Capital XXI, Series U
1.22%	02/02/37²		4,910,000		3,694,775
JPMorgan Chase Capital XXIII
1.26%	05/15/47²		2,750,000		2,058,551
KKR Group Finance Co. LLC
6.38%	09/29/20³		400,000		455,014
Macquarie Bank Ltd. (Australia)
5.00%	02/22/17^3,4		170,000		184,409
6.62%	04/07/21^3,4		1,074,000		1,172,727
Raymond James Financial, Inc.
8.60%	08/15/19		530,000		670,121
Reckson Operating Partnership LP
5.00%	08/15/18		145,000		155,478
Schahin II Finance Co. SPV Ltd. (Cayman
Islands)
5.88%	09/25/22^3,4		479,000		458,642
ZFS Finance USA Trust II
6.45%	12/15/65^2,3		1,700,000		1,823,250


					20,749,494


Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Food — 0.18%
Pesquera Exalmar SAA (Peru)
7.38%	01/31/20^3,4	$	500,000	$	467,500
Tonon Bioenergia SA (Brazil)
9.25%	01/24/20^3,4		500,000		443,250


					910,750

Health Care — 1.48%
CHS/Community Health Systems, Inc.
5.12%	08/15/18		225,000		229,500
8.00%	11/15/19		175,000		184,625
DaVita, Inc.
5.75%	08/15/22		120,000		119,250
HCA, Inc.
7.25%	09/15/20		775,000		844,750
Hospira, Inc.
5.20%	08/12/20		1,000,000		1,022,950
North Shore Long Island
Jewish Health Care, Inc.
6.15%	11/01/43		2,250,000		2,351,250
Providence Health & Services
Obligated Group
1.10%	10/01/17²		1,800,000		1,801,403
Tenet Healthcare Corp.
4.50%	04/01/21		1,000,000		942,500


					7,496,228

Industrials — 0.90%
Cemex Espana Luxembourg (Spain)
9.88%	04/30/19^3,4		600,000		673,500
Flexi-Van Leasing, Inc.
7.88%	08/15/18³		1,000,000		1,040,000
Heathrow Funding Ltd. (United Kingdom)
2.50%	06/25/15^3,4		200,000		203,442
4.88%	07/15/21^3,4		700,000		737,926
Maxim Crane Works LP
12.25%	04/15/15³		350,000		364,000
Odebrecht Offshore Drilling Finance Ltd.
(Cayman Islands)
6.75%	10/01/22^3,4		500,000		513,750
Sydney Airport Finance Co. Pty Ltd.
(Australia)
3.90%	03/22/23^3,4		325,000		310,501
Sydney Airport Finance Co., Pty Ltd.
(Australia)
5.12%	02/22/21^3,4		660,000		694,832


					4,537,951

Information Technology — 0.18%
First Data Corp.
7.38%	06/15/19³		850,000		898,875


Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Insurance — 0.27%
Farmers Exchange Capital
7.20%	07/15/48³	$	150,000	$	172,780
Farmers Insurance Exchange
6.00%	08/01/14³		200,000		206,506
8.62%	05/01/24³		40,000		52,174
Metropolitan Life Global Funding I
1.50%	01/10/18³		500,000		491,171
1.70%	06/29/15³		175,000		177,441
Nationwide Mutual Insurance Co.
5.81%	12/15/24^2,3		250,000		254,687


					1,354,759

Materials — 0.77%
ArcelorMittal (Luxembourg)
6.75%	02/25/22⁴		240,000		252,600
Barrick Gold Corp. (WI)(Canada)
4.10%	05/01/23⁴		900,000		795,282
Cia. Minera Milpo SAA (Peru)
4.62%	03/28/23^3,4		500,000		451,250
Samarco Mineracao SA (Brazil)
4.12%	11/01/22^3,4		1,000,000		872,500
Southern Copper Corp.
5.25%	11/08/42		750,000		613,789
Vale Overseas Ltd. (Cayman Islands)
6.88%	11/21/36⁴		125,000		127,399
Vedanta Resources PLC (United Kingdom)
8.25%	06/07/21^3,4		500,000		510,625
Xstrata Finance Canada Ltd. (Canada)
4.95%	11/15/21^3,4		271,000		271,484


					3,894,929

Real Estate Investment Trust (REIT) — 3.25%
AvalonBay Communities, Inc.
3.62%	10/01/20		1,500,000		1,540,380
Boston Properties LP
5.62%	11/15/20		1,750,000		1,970,407
5.88%	10/15/19		200,000		230,626
Country Garden Holdings Co. Ltd.
(Cayman Islands)
7.25%	04/04/21^3,†		500,000		495,000
Duke Realty LP
5.40%	08/15/14		160,000		165,973
Essex Portfolio LP
3.62%	08/15/22		250,000		238,865
Evergrande Real Estate Group Ltd., Series
REGS (Cayman Islands)
13.00%	01/27/15⁴		1,000,000		1,078,775


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Real Estate Investment Trust (REIT) (continued)
HCP, Inc.
2.62%		02/01/20		$	1,290,000	$	1,225,532
3.75%		02/01/19			210,000		218,258
5.62%		05/01/17			100,000		111,856
6.00%		01/30/17			1,000,000		1,125,457
Healthcare Realty Trust, Inc.
5.75%		01/15/21			250,000		272,245
6.50%		01/17/17			875,000		982,607
Highwoods Realty LP
7.50%		04/15/18			800,000		942,040
Liberty Property LP (MTN)
7.50%		01/15/18			900,000		1,066,201
Mack-Cali Realty LP
2.50%		12/15/17			1,000,000		990,748
Post Apartment Homes LP
3.38%		12/01/22			100,000		93,542
4.75%		10/15/17			270,000		292,255
SL Green Realty Corp./SL Green Operating
Partnership
7.75%		03/15/20			1,375,000		1,630,997
WEA Finance LLC
4.62%		05/10/21	³		750,000		792,415
WEA Finance LLC/WCI Finance LLC
5.70%		10/01/16	³		125,000		139,931
WEA Finance LLC/WT Finance Aust Pty Ltd.
5.75%		09/02/15	³		150,000		163,233
6.75%		09/02/19	³		550,000		654,773


							16,422,116

Transportation — 1.34%
American Airlines Pass-Through Trust,
Series 2011-1, Class A
5.25%		01/31/21			64,226		67,116
American Airlines Pass-Through Trust,
Series 2013-2, Class A
4.95%		01/15/23	³		1,900,000		1,911,875
Autopistas Metropolitanas de Puerto
Rico LLC
6.75%		06/30/35	³		750,000		747,851
Continental Airlines Pass-Through Trust,
Series 1997, Class 4A
6.90%		01/02/18			114,447		121,815
Continental Airlines Pass-Through Trust,
Series 1999-1, Class A
6.54%		08/02/20			1,791,392		1,952,057
Continental Airlines Pass-Through Trust,
Series 2012-1, Class B
6.25%		04/11/20			75,000		77,484
Delta Air Lines Pass-Through Trust,
Series 2002, Class G1
6.72%		01/02/23			1,260,514		1,377,111


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Transportation (continued)
JetBlue Airways Pass-Through Trust,
Series 2004, Class G2
0.71%		11/15/16	²	$	250,000	$	226,094
JetBlue Airways Pass-Through Trust,
Series 2004-1, Class G-2
0.67%		03/15/14	²		130,000		127,705
US Airways Pass-Through Trust,
Series 2012-1, Class A
5.90%		10/01/24			124,775		130,936


							6,740,044

Total Corporates
(Cost $113,931,258)							112,487,742

FOREIGN GOVERNMENT OBLIGATIONS — 0.61%
Foreign Government Obligations — 0.61%
Brazil Minas SPE via State of Minas Gerais
(Brazil)
5.33%		02/15/28	^3,4		500,000		485,375
Hungary Government International Bond
(Hungary)
4.12%		02/19/18	⁴		750,000		746,250
Kommunalbanken AS (Norway)
0.23%		08/28/14	^2,3,4		710,000		709,756
Mexican Bonos (Mexico)
5.00%		06/15/17	⁴		8,600,000		669,255
Slovenia Government International Bond
(Slovenia)
5.50%		10/26/22	^3,4		500,000		469,400


Total Foreign Government Obligations
(Cost $3,147,353)							3,080,036


MORTGAGE-BACKED — 37.41%**
Commercial Mortgage-Backed — 7.76%
Banc of America Merrill Lynch Commercial
Mortgage, Inc., Series 2004-6, Class A3
4.51%		12/10/42			105,559		105,949
Banc of America Merrill Lynch Commercial
Mortgage, Inc., Series 2005-6, Class A4
5.36%		09/10/47	²		105,000		112,389
Banc of America Merrill Lynch Commercial
Mortgage, Inc., Series 2006-5, Class A2
5.32%		09/10/47			492,787		496,030
Banc of America Merrill Lynch Commercial
Mortgage, Inc., Series 2007-3, Class A2
5.86%		06/10/49	²		53,925		53,944
Bayview Commercial Asset Trust,
Series 2004-2, Class A
0.61%		08/25/34	^2,3		1,319,310		1,218,790


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed (continued)
Bayview Commercial Asset Trust,
Series 2005-3A, Class A1
0.50%	11/25/35^2,3	$	348,076	$	296,821
Bayview Commercial Asset Trust,
Series 2006-1A, Class A1
0.45%	04/25/36^2,3		2,069,939		1,652,848
Bayview Commercial Asset Trust,
Series 2006-3A, Class A1
0.43%	10/25/36^2,3		3,446,170		2,588,230
Bayview Commercial Asset Trust,
Series 2008-4, Class A3
2.93%	07/25/38^2,3		1,200,000		1,081,139
Bear Stearns Commercial Mortgage
Securities Trust, Series 2004-PWR4,
Class A3
5.47%	06/11/41²		993,858		1,014,683
Bear Stearns Commercial Mortgage
Securities Trust, Series 2004-PWRC,
Class A4
4.72%	02/11/41		57,574		58,054
Bear Stearns Commercial Mortgage
Securities Trust, Series 2006-PW14,
Class A3
5.21%	12/11/38		684,100		689,669
Bear Stearns Commercial Mortgage
Securities Trust, Series 2006-PWR11,
Class A2
5.56%	03/11/39²		219,451		219,236
Bear Stearns Commercial Mortgage
Securities Trust, Series 2006-T22,
Class A4
5.76%	04/12/38²		120,000		130,711
Bear Stearns Commercial Mortgage
Securities Trust, Series 2007-PW17,
Class A3
5.74%	06/11/50		941,065		972,245
Citigroup/Deutsche Bank Commercial
Mortgage Trust, Series 2007-CD4,
Class A2B
5.20%	12/11/49		26,146		26,171
Commercial Mortgage Trust,
Series 2006-C8, Class AAB
5.29%	12/10/46		659,160		669,159
Credit Suisse First Boston Commercial
Mortgage Trust, Series 2004-C3, Class A5
5.11%	07/15/36²		1,380,000		1,403,100
Credit Suisse First Boston Mortgage
Securities Corp., Series 2005-C5, Class A4
5.10%	08/15/38²		65,000		68,813
Credit Suisse First Boston Mortgage
Securities Corp., Series 2005-C6, Class A4
5.23%	12/15/40²		70,026		74,314
DBUBS Mortgage Trust, Series 2011-LC3A,
Class A2
3.64%	08/10/44		470,000		496,535


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed (continued)
GE Business Loan Trust, Series 2003-1,
Class B
1.48%	04/15/31^2,3	$	33,976	$	29,932
GE Business Loan Trust, Series 2003-2A,
Class A
0.55%	11/15/31^2,3		1,491,377		1,434,042
GE Business Loan Trust, Series 2004-2A,
Class C
1.03%	12/15/32^2,3		70,206		58,271
GE Business Loan Trust, Series 2006-2A,
Class A
0.36%	11/15/34^2,3		3,159,879		2,876,465
Greenwich Capital Commercial Funding
Corp., Series 2006-GG7, Class A4
6.06%	07/10/38²		1,269,769		1,397,338
GS Mortgage Securities Corp. II,
Series 2011-GC5, Class A4
3.71%	08/10/44		163,000		167,914
JPMorgan Chase Commercial Mortgage
Securities Corp., Series 2004-CBX,
Class A5
4.65%	01/12/37		419,316		420,756
JPMorgan Chase Commercial Mortgage
Securities Corp., Series 2005-CB12,
Class A4
4.90%	09/12/37		90,000		94,802
JPMorgan Chase Commercial Mortgage
Securities Corp., Series 2005-LDP2,
Class A3A
4.68%	07/15/42		502,465		504,580
JPMorgan Chase Commercial Mortgage
Securities Corp., Series 2005-LDP3,
Class A4A
4.94%	08/15/42²		1,570,000		1,662,480
JPMorgan Chase Commercial Mortgage
Securities Corp., Series 2005-LDP5,
Class A3
5.40%	12/15/44²		900,000		918,645
JPMorgan Chase Commercial Mortgage
Securities Corp., Series 2006-CB14,
Class ASB
5.51%	12/12/44²		175,651		184,104
JPMorgan Chase Commercial Mortgage
Securities Corp., Series 2006-CB17,
Class ASB
5.42%	12/12/43		125,631		132,488
JPMorgan Chase Commercial Mortgage
Securities Corp., Series 2006-LDP8,
Class A4
5.40%	05/15/45		175,000		191,775
JPMorgan Chase Commercial Mortgage
Securities Corp., Series 2007-C1,
Class ASB
5.86%	02/15/51		479,856		516,747


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed (continued)
JPMorgan Chase Commercial Mortgage
Securities Corp., Series 2007-CB19,
Class ASB
5.88%	02/12/49²	$	260,662	$	280,165
JPMorgan Chase Commercial Mortgage
Securities Corp., Series 2011-C5,
Class A3
4.17%	08/15/46		1,355,000		1,437,127
LB-UBS Commercial Mortgage Trust,
Series 2004-C7, Class A1A
4.48%	10/15/29		204,676		211,050
Merrill Lynch Mortgage Investors, Inc.,
Series 2005-LC1, Class A4
5.29%	01/12/44²		52,304		56,311
Morgan Stanley Bank of America Merrill
Lynch Trust, Series 2012-C6, Class A3
2.51%	11/15/45		947,000		918,529
Morgan Stanley Bank of America Merrill
Lynch Trust, Series 2012-C6, Class A4
2.86%	11/15/45		1,360,000		1,286,174
Morgan Stanley Capital I Trust,
Series 2001-C3, Class A2
3.22%	08/15/49		145,000		151,864
Morgan Stanley Capital I Trust,
Series 2005-IQ10, Class A4A
5.23%	09/15/42²		799,532		847,041
Morgan Stanley Capital I Trust,
Series 2005-T19, Class A4A
4.89%	06/12/47		125,000		132,163
Morgan Stanley Capital I Trust,
Series 2006-IQ12, Class A4
5.33%	12/15/43		100,000		110,544
Morgan Stanley Capital I Trust,
Series 2006-T21, Class A4
5.16%	10/12/52²		295,000		316,636
Morgan Stanley Capital I Trust,
Series 2006-T23, Class A2
5.75%	08/12/41²		12,435		12,426
Morgan Stanley Capital I Trust,
Series 2006-T23, Class A4
5.99%	08/12/41²		940,000		1,041,327
Morgan Stanley Capital I Trust,
Series 2007-T27, Class A4
5.82%	06/11/42²		1,100,000		1,244,635
Morgan Stanley Capital I Trust,
Series 2011-C3, Class A4
4.12%	08/15/49		90,000		94,814
Morgan Stanley Capital I Trust,
Series 2012-C4, Class A4
3.24%	03/15/45		1,200,000		1,188,910
Spirit Master Funding LLC, Series 2005-1,
Class A1
5.05%	07/20/23³		129,098		130,389


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed (continued)
Wachovia Bank Commercial Mortgage Trust,
Series 2005-C20, Class A7
5.12%	07/15/42²	$	595,000	$	630,718
WF-RBS Commercial Mortgage Trust,
Series 2010-C8, Class A3
3.00%	08/15/45		1,380,000		1,325,421
WF-RBS Commercial Mortgage Trust,
Series 2011-C2, Class A2
3.79%	02/15/44³		1,100,000		1,161,323
WF-RBS Commercial Mortgage Trust,
Series 2011-C5, Class A2
2.68%	11/15/44		110,000		113,656
WF-RBS Commercial Mortgage Trust,
Series 2011-C5, Class A4
3.67%	11/15/44		1,300,000		1,326,803
WF-RBS Commercial Mortgage Trust,
Series 2012-C9, Class A3
2.87%	11/15/45		1,185,000		1,123,540


					39,160,735

Non-Agency Mortgage-Backed — 24.68%
ACE Securities Corp., Series 2003-MH1,
Class B1
6.50%	08/15/30^2,3		41,865		42,833
Adjustable Rate Mortgage Trust,
Series 2005-5, Class 6A21
0.41%	09/25/35²		938,692		869,888
American Home Mortgage Investment Trust,
Series 2007-1, Class GA1C
0.37%	05/25/47²		963,532		627,023
Asset Backed Securities Corp. Home Equity
Loan Trust, Series 2004-HE9, Class M1
1.15%	12/25/34²		2,768,209		2,432,176
Asset-Backed Funding Certificates,
Series 2007-NC1, Class A2
0.48%	05/25/37^2,3		4,432,000		2,516,512
Banc of America Alternative Loan Trust,
Series 2003-3, Class A4
5.75%	05/25/33		954,250		1,024,288
Banc of America Alternative Loan Trust,
Series 2003-4, Class 1A5
5.50%	06/25/33		969,667		1,036,665
Banc of America Alternative Loan Trust,
Series 2003-8, Class 1CB1
5.50%	10/25/33		3,193,959		3,290,035
Banc of America Alternative Loan Trust,
Series 2003-9, Class 1CB5
5.50%	11/25/33		947,748		956,314
Banc of America Alternative Loan Trust,
Series 2005-2, Class 4A1
5.50%	03/25/20		276,578		283,125


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Banc of America Funding Corp.,
Series 2006-G, Class 2A1
0.40%	07/20/36²	$	2,029,791	$	1,857,989
BCAP LLC Trust, Series 2009-RR4,
Class 1A1
9.50%	06/26/37³		1,613,584		1,682,594
BCAP LLC Trust, Series 2013-RR2,
Class 6A1
3.00%	06/26/37^2,3		963,228		968,293
BCAP LLC Trust, Series 2013-RR3,
Class 8A1
0.33%	05/25/37^2,3		965,877		949,317
BCAP LLC Trust, Series 2013-RR4,
Class 3A1
0.33%	05/26/37^2,3		1,207,344		1,172,160
Bear Stearns ALT-A Trust, Series 2005-7,
Class 25A1
2.58%	09/25/35²		132,497		98,114
Bear Stearns ARM Trust, Series 2005-2,
Class A1
2.60%	03/25/35²		820,704		831,020
Bear Stearns Asset-Backed Securities Trust,
Series 2005-AC6, Class 1A3
5.50%	09/25/35²		1,593,400		1,646,349
Bear Stearns Asset-Backed Securities Trust,
Series 2006-AC2, Class 21A3
6.00%	03/25/36		460,047		395,196
Bear Stearns Asset-Backed Securities Trust,
Series 2006-HE9, Class 1A2
0.33%	11/25/36²		2,854,072		1,928,321
Centex Home Equity, Series 2005-D,
Class M1
0.61%	10/25/35²		350,000		336,832
Chase Mortgage Finance Corp.,
Series 2007-A1, Class 8A1
3.01%	02/25/37²		4,080,655		4,111,260
Citigroup Mortgage Loan Trust, Inc.,
Series 2005-9, Class 1A1
0.44%	11/25/35²		167,787		115,567
Citigroup Mortgage Loan Trust, Inc.,
Series 2005-WF2, Class MV1
0.82%	08/25/35²		1,076,413		1,054,756
Citigroup Mortgage Loan Trust, Inc.,
Series 2006-AR3, Class 1A2A
5.46%	06/25/36²		1,291,452		1,187,848
Citigroup Mortgage Loan Trust, Inc.,
Series 2006-HE2, Class A2D
0.42%	08/25/36²		2,300,000		1,724,103
Citigroup Mortgage Loan Trust, Inc.,
Series 2006-WFH2, Class A2A
0.33%	08/25/36²		383,948		355,181


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Citigroup Mortgage Loan Trust, Inc.,
Series 2007-WFH2, Class A3
0.36%	03/25/37²	$	1,500,000	$	1,414,474
Citigroup Mortgage Loan Trust, Inc.,
Series 2010-9, Class 5A (STEP)
9.00%	03/25/37³		290,000		310,267
Conseco Financial Corp., Series 1998-6,
Class A8
6.66%	06/01/30		93,613		101,181
Countrywide Alternative Loan Trust,
Series 2007-HY5R, Class 2A1A
4.98%	03/25/47²		105,167		102,856
Countrywide Home Loan Mortgage
Pass-Through Trust, Series 2004-HYB7,
Class 3A
2.74%	11/20/34²		231,337		217,102
Countrywide Home Loan Mortgage
Pass-Through Trust, Series 2005-4,
Class 4A1
0.47%	02/25/35²		100,979		74,734
Countrywide Home Loan Mortgage
Pass-Through Trust, Series 2005-9,
Class 1A1
0.48%	05/25/35²		124,703		104,725
Credit Suisse First Boston Commercial
Mortgage Trust, Series 2005-11, Class 1A1
6.50%	12/25/35		1,085,976		863,743
Credit Suisse First Boston Commercial
Mortgage Trust, Series 2006-8, Class 3A1
6.00%	10/25/21		755,081		725,758
Credit Suisse First Boston Mortgage
Securities Corp., Series 2004-AR5, Class 9A1
2.37%	06/25/34²		1,081,460		1,080,651
Credit Suisse Mortgage Capital Certificates,
Series 2013-3R, Class 5A1
2.73%	10/27/36^2,3		1,040,806		1,047,421
Credit-Based Asset Servicing and
Securitization LLC, Series 2006-CB1,
Class AF4 (STEP)
3.85%	01/25/36		3,041,096		2,238,785
Credit-Based Asset Servicing and
Securitization LLC, Series 2006-CB2,
Class AF3 (STEP)
4.00%	12/25/36		1,000,000		659,328
Credit-Based Asset Servicing and
Securitization LLC, Series 2006-CB3,
Class AV4
0.44%	03/25/36²		2,900,000		1,900,321
Credit-Based Asset Servicing and
Securitization LLC, Series 2007-BR2,
Class A2
0.41%	02/25/37²		2,144,631		1,056,548


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Credit-Based Asset Servicing and
Securitization LLC, Series 2007-BR4,
Class A2B
0.38%		05/25/37	²	$	3,354,887	$	1,913,897
Credit-Based Asset Servicing and
Securitization LLC, Series 2007-CB1,
Class AF2 (STEP)
4.56%		01/25/37			332,060		169,041
Credit-Based Asset Servicing and
Securitization LLC, Series 2007-CB2,
Class A2C (STEP)
5.08%		02/25/37			1,702,093		1,242,530
Credit-Based Asset Servicing and
Securitization LLC, Series 2007-CB3,
Class A3 (STEP)
4.45%		03/25/37			2,702,274		1,541,488
Credit-Based Asset Servicing and
Securitization LLC, Series 2007-CB5,
Class A1 (STEP)
0.24%		04/25/37	²		3,122,522		1,902,477
Credit-Based Asset Servicing and
Securitization LLC, Series 2007-NC1,
Class A2B
0.33%		12/25/36	²		2,764,042		1,403,780
DBRR Trust, Series 2012-EZ1, Class A
0.95%		09/25/45³			281,918		281,789
DBRR Trust, Series 2013-EZ2, Class A
0.85%		02/25/43	^2,3		900,674		902,084
Downey Savings & Loan Association
Mortgage Loan Trust, Series 2005-AR6,
Class 2A1A
0.47%		10/19/45	²		267,762		234,518
Downey Savings & Loan Association
Mortgage Loan Trust, Series 2006-AR2,
Class 2A1A
0.38%		10/19/36	²		1,073,787		870,573
Downey Savings & Loan Association
Mortgage Loan Trust, Series 2007-AR1,
Class 2A1A
0.32%		04/19/48	²		1,210,917		959,830
Equifirst Loan Securitization Trust, Series
2007-1, Class A2B
0.37%		04/25/37	²		330,000		208,454
First Franklin Mortgage Loan Asset-Backed
Certificates, Series 2005-FFA,
Class M2 (STEP)
5.98%		03/25/25			138,953		144,605
First Franklin Mortgage Loan Asset-Backed
Certificates, Series 2006-FF11, Class 2A3
0.33%		08/25/36	²		2,867,915		2,204,199
First Franklin Mortgage Loan Asset-Backed
Certificates, Series 2007-FF2, Class A2B
0.28%		03/25/37	²		1,271,827		706,962


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
First Horizon Alternative Mortgage Securities
Trust, Series 2004-AA3, Class A1
2.20%		09/25/34	²	$	411,737	$	408,654
First Horizon Alternative Mortgage Securities
Trust, Series 2004-AA7, Class 1A1
2.27%		02/25/35	²		238,096		230,759
First Horizon Asset Securities, Inc.,
Series 2004-AR5, Class 2A1
2.59%		10/25/34	²		219,439		211,772
First Horizon Mortgage Pass-Through Trust,
Series 2005-AR4, Class 2A1
2.60%		10/25/35	²		459,965		396,381
First Horizon Mortgage Pass-Through Trust,
Series 2007-AR2, Class 1A2
2.52%		08/25/37	²		481,475		395,778
GE Business Loan Trust, Series 2007-1A,
Class A
0.35%		04/16/35	^2,3		2,460,924		2,214,331
Green Tree, Series 2008-MH1, Class A3
8.97%		04/25/38	^2,3		45,689		50,425
Greenpoint Mortgage Funding Trust,
Series 2006-AR8, Class 1A2A
0.36%		01/25/47	²		694,524		614,797
Greenwich Capital Commercial Funding
Corp., Series 2005-GG3, Class A3
4.57%		08/10/42			202,841		204,403
GSAA Home Equity Trust, Series 2006-4,
Class 4A2
0.41%		03/25/36	²		1,370,970		1,123,392
GSAA Trust, Series 2006-2, Class 2A3
0.45%		12/25/35	²		500,000		490,501
GSAMP Trust, Series 2006-FM3, Class A2C
0.38%		11/25/36	²		4,620,138		2,425,438
GSR Mortgage Loan Trust, Series 2005-4F,
Class 4A3
5.50%		05/25/35			288,558		294,940
GSR Mortgage Loan Trust, Series 2005-7F,
Class 3A3 (IO)
5.32%		09/25/35	^2,7		147,713		17,794
GSR Mortgage Loan Trust, Series 2005-AR6,
Class 2A1
2.66%		09/25/35	²		798,340		795,572
GSR Mortgage Loan Trust, Series 2006-AR2,
Class 2A1
2.87%		04/25/36	²		756,761		701,475
Home Equity Loan Trust, Series 2007-2,
Class A3V
0.40%		07/20/36	²		280,698		277,888
Indymac Index Mortgage Loan Trust,
Series 2005-AR15, Class A1
4.69%		09/25/35	²		782,678		695,057


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Indymac Index Mortgage Loan Trust,
Series 2005-AR19, Class A1
4.89%	10/25/35²	$	1,699,457	$	1,499,250
Indymac Index Mortgage Loan Trust,
Series 2006-AR7, Class 3A1
2.72%	05/25/36²		309,940		232,915
Indymac Index Mortgage Loan Trust,
Series 2007-AR5, Class 2A1
2.74%	05/25/37²		2,429,044		1,728,576
Indymac Manufactured Housing Contract,
Series 1998-1, Class A4
6.49%	09/25/28		118,723		123,856
JPMorgan Mortgage Acquisition Corp.,
Series 2007-CH5, Class A4
0.34%	05/25/37²		1,773,000		1,464,896
JPMorgan Mortgage Trust, Series 2005-A6,
Class 7A1
2.70%	08/25/35²		195,549		183,003
JPMorgan Mortgage Trust, Series 2005-S2,
Class 2A9
5.50%	09/25/35		266,600		266,304
JPMorgan Mortgage Trust, Series 2006-A3,
Class 2A1
2.86%	05/25/36²		139,637		111,885
JPMorgan Mortgage Trust, Series 2006-S2,
Class 2A2
5.88%	06/25/21		1,511,687		1,514,875
JPMorgan Mortgage Trust, Series 2007-S1,
Class 1A2
5.50%	03/25/22		1,548,376		1,538,070
Lehman ABS Manufactured Housing Contract
Trust, Series 2001-B, Class A3
4.35%	04/15/40		40,871		40,950
Lehman XS Trust, Series 2005-4, Class 1A3
0.58%	10/25/35²		388,744		372,637
Luminent Mortgage Trust, Series 2007-2,
Class 1A3
0.40%	05/25/37²		2,443,299		2,110,690
MASTR Adjustable Rate Mortgages Trust,
Series 2003-7, Class 3A1
2.27%	11/25/33²		779,866		799,178
MASTR Adjustable Rate Mortgages Trust,
Series 2004-15, Class 8A1
4.83%	10/25/34²		572,947		561,599
MASTR Adjustable Rate Mortgages Trust,
Series 2004-3, Class 3A3
2.15%	04/25/34²		219,927		215,077
MASTR Adjustable Rate Mortgages Trust,
Series 2006-2, Class 4A1
2.65%	02/25/36²		476,379		457,076
MASTR Adjustable Rate Mortgages Trust,
Series 2007-2, Class A2
0.29%	03/25/47²		1,438,779		1,380,881


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
MASTR Asset-Backed Securities Trust,
Series 2007-HE1, Class A4
0.46%	05/25/37²	$	3,150,000	$	1,906,553
Merrill Lynch Alternative Note Asset,
Series 2007-A3, Class A2D
0.51%	04/25/37²		883,581		156,107
Merrill Lynch First Franklin Mortgage Loan
Trust, Series 2006-FF13, Class A2C
0.34%	10/25/36²		2,002,166		1,440,430
Merrill Lynch First Franklin Mortgage Loan
Trust, Series 2007-2, Class A2B
0.35%	05/25/37²		3,639,553		2,152,188
Merrill Lynch First Franklin Mortgage Loan
Trust, Series 2007-4, Class 2A4
0.43%	07/25/37²		2,058,148		1,168,490
Merrill Lynch Mortgage Investors Trust,
Series 2003-A6, Class 2A
3.10%	10/25/33²		817,547		802,770
Mid-State Trust, Series 2004-1, Class B
8.90%	08/15/37		119,507		149,075
Morgan Stanley Capital, Inc., Series
2006-HE4, Class A3
0.33%	06/25/36²		3,664,405		2,243,865
Morgan Stanley Mortgage Loan Trust,
Series 2004-7AR, Class 2A4
2.07%	09/25/34²		1,652,509		1,549,934
Morgan Stanley Mortgage Loan Trust,
Series 2005-6AR, Class 1A1
0.46%	11/25/35²		484,000		458,151
Morgan Stanley Mortgage Loan Trust,
Series 2006-2, Class 1A
5.25%	02/25/21		730,709		714,583
Morgan Stanley Reremic Trust,
Series 2013-R3, Class 12A
2.88%	01/26/47^2,3		1,004,953		1,013,910
MortgageIT Trust, Series 2005-4, Class A1
0.46%	10/25/35²		1,648,847		1,432,628
MortgageIT Trust, Series 2005-5, Class A1
0.44%	12/25/35²		1,597,294		1,426,647
New York Mortgage Trust, Series 2005-3,
Class A1
0.42%	02/25/36²		176,802		163,462
Residential Accredit Loans, Inc.,
Series 2005-QA4, Class A41
3.07%	04/25/35²		730,971		708,501
Residential Accredit Loans, Inc.,
Series 2005-QA8, Class CB21
3.33%	07/25/35²		1,583,188		1,285,011
Residential Accredit Loans, Inc.,
Series 2005-SP1, Class 4A1
7.00%	09/25/34		361,909		390,440


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Residential Accredit Loans, Inc.,
Series 2006-Q09, Class 1A4A
0.35%		12/25/46	²	$	415,074	$	349,590
Residential Accredit Loans, Inc.,
Series 2006-QS13, Class 2A1
5.75%		09/25/21			636,291		598,943
Residential Accredit Loans, Inc.,
Series 2006-QS16, Class A6
6.00%		11/25/36			1,707,280		1,303,504
Residential Accredit Loans, Inc.,
Series 2007-QS1, Class 2AV (IO)
0.17%		01/25/37	^2,7		7,519,927		85,374
Residential Accredit Loans, Inc.,
Series 2007-SP1, Class A2
0.53%		03/25/37	²		102,552		101,756
Residential Asset Mortgage Products, Inc.,
Series 2006-RS3, Class A3
0.38%		05/25/36	²		213,738		198,521
Residential Asset Securities Corp.,
Series 2004-KS9, Class AII4
0.78%		10/25/34	²		35,428		22,230
Residential Asset Securities Corp.,
Series 2005-KS12, Class A3
0.50%		01/25/36	²		1,500,000		1,398,054
Residential Asset Securities Corp.,
Series 2006-EMX1, Class A2
0.41%		01/25/36	²		179,461		175,426
Residential Funding Mortgage Securities I,
Inc., Series 2007-SA2, Class 1A
3.41%		04/25/37	²		747,844		509,281
Soundview Home Equity Loan Trust,
Series 2007-WMC1, Class 3A3
0.44%		02/25/37	²		1,417,377		575,533
Structured Adjustable Rate Mortgage Loan
Trust, Series 2006-11, Class 1A1
0.34%		12/25/36	²		431,754		316,819
Structured Asset Mortgage Investments, Inc.,
Series 2006-AR3, Class 22A1
2.11%		05/25/36	²		621,773		410,151
Structured Asset Mortgage Investments, Inc.,
Series 2006-AR5, Class 1A1
0.39%		05/25/46	²		863,527		569,034
Structured Asset Securities Corp. Trust,
Series 2005-5, Class 2A1
5.50%		04/25/35			169,805		169,775
Structured Asset Securities Corp.,
Series 2002-11A, Class 2A1
2.76%		06/25/32	²		215,353		205,295
Structured Asset Securities Corp.,
Series 2003-34A, Class 3A3
2.58%		11/25/33	²		302,801		301,459


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Structured Asset Securities Corp.,
Series 2005-2XS, Class 2A2
1.68%		02/25/35	²	$	492,335	$	478,269
Vanderbilt Mortgage Finance, Series 2001-C,
Class M1
6.76%		01/07/32			41,581		42,100
WaMu Asset-Backed Certificates,
Series 2007-HE1, Class 2A2
0.29%		01/25/37	²		2,738,338		1,359,125
WaMu Mortgage Pass-Through Certificates,
Series 2004-AR13, Class A1A
0.55%		11/25/34	²		589,042		550,357
WaMu Mortgage Pass-Through Certificates,
Series 2004-AR6, Class A
0.61%		05/25/44	²		339,131		314,725
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR1, Class A1A
0.50%		01/25/45	²		434,627		388,796
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR11, Class A1A
0.50%		08/25/45	²		1,470,627		1,372,779
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR12, Class 1A6
2.41%		10/25/35	²		385,000		361,852
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR13, Class A1A1
0.47%		10/25/45	²		801,722		738,300
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR14, Class 2A1
2.86%		12/25/35	²		117,991		108,396
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR6, Class 2A1A
0.41%		04/25/45	²		732,992		684,442
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR9, Class A1A
0.50%		07/25/45	²		649,655		608,835
WaMu Mortgage Pass-Through Certificates,
Series 2007-HY3, Class 1A1
2.30%		03/25/37	²		381,071		303,415
Washington Mutual Alternative Mortgage
Pass-Through Certificates, Series 2007-OA3,
Class 2A
0.91%		02/25/47	²		1,297,695		793,637
Wells Fargo Alternative Loan Trust,
Series 2007-PA5, Class 1A1
6.25%		11/25/37			138,996		127,392
Wells Fargo Home Equity Asset-Backed
Securities, Series 2007-1, Class A3
0.50%		03/25/37	²		4,690,000		2,831,269
Wells Fargo Home Equity Trust,
Series 2006-2, Class A3
0.32%		07/25/36	²		88,293		87,215


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Wells Fargo Mortgage-Backed Securities
Trust, Series 2006-AR10, Class 5A2
2.61%		07/25/36	²	$	276,744	$	263,420
Wells Fargo Mortgage-Backed Securities
Trust, Series 2006-AR17, Class A1
2.63%		10/25/36	²		512,622		466,508


							124,563,277

U.S. Agency Mortgage-Backed — 4.97%
Fannie Mae Pool AD0150
5.18%		05/01/19			335,791		381,539
Fannie Mae Pool AD0791
4.76%		02/01/20			339,971		383,746
Fannie Mae Pool AD0851
4.37%		02/01/20			479,176		526,876
Fannie Mae Pool AE0134
4.40%		02/01/20			740,000		819,012
Fannie Mae Pool AE0600
3.98%		11/01/20			306,900		332,092
Fannie Mae Pool AE0918
3.66%		10/01/20			368,895		390,404
Fannie Mae Pool AL0151
4.38%		04/01/21			483,987		528,700
Fannie Mae Pool AL0600
4.30%		07/01/21			138,524		150,594
Fannie Mae Pool AL2293
4.38%		06/01/21			1,536,215		1,683,250
Fannie Mae Pool AL3594
2.70%		04/01/23			1,447,595		1,399,037
Fannie Mae Pool FN0000
3.58%		09/01/20			481,282		506,844
Fannie Mae Pool FN0002
3.31%		12/01/17			1,666,926		1,776,787
Fannie Mae Pool FN0004
3.63%		12/01/20			923,334		977,941
Fannie Mae Pool FN0005
3.38%		11/01/20			786,894		817,318
Fannie Mae REMICS, Series 2003-64,
Class KS
9.41%		07/25/18	²		27,157		30,370
Fannie Mae REMICS, Series 2006-8,
Class HJ (IO)
6.42%		03/25/36	²		4,352,715		661,326
Fannie Mae REMICS, Series 2007-52,
Class LS (IO)
5.87%		06/25/37	²		226,091		28,856
Fannie Mae REMICS, Series 2007-88,
Class JI (IO)
6.27%		04/25/37	²		3,554,021		613,566


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae REMICS, Series 2008-62,
Class SN (IO)
6.02%		07/25/38	²	$	1,203,509	$	157,202
Fannie Mae REMICS, Series 2010-116,
Class SE (IO)
6.42%		10/25/40	²		264,998		41,138
Fannie Mae, Series 2006-11, Class PS
23.91%		03/25/36	²		69,173		101,394
Fannie Mae, Series 2007-77, Class SK (IO)
5.69%		08/25/37	²		411,208		47,473
Fannie Mae, Series 2008-18, Class SM (IO)
6.82%		03/25/38	²		270,485		40,448
Fannie Mae, Series 2010-35, Class IA (IO)
5.00%		07/25/38			129,039		5,025
Fannie Mae, Series 2010-M1, Class A2
4.45%		09/25/19			1,250,000		1,381,289
Fannie Mae, Series 2012-M12, Class 1A
2.94%		08/25/22	²		599,961		592,358
Fannie Mae, Series 2012-M15, Class A
2.74%		10/25/22	²		336,832		327,547
Fannie Mae-Aces, Series 2011-M1, Class A3
3.76%		06/25/21			600,000		630,159
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series K014,
Class A2
3.87%		04/25/21			930,000		988,774
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series K017,
Class A2
2.87%		12/25/21			1,960,000		1,938,415
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series K018,
Class A2
2.79%		01/25/22			1,975,000		1,938,592
Freddie Mac REMICS, Series 2711,
Class FA
1.18%		11/15/33	²		250,473		253,747
Freddie Mac REMICS, Series 2733,
Class FB
0.78%		10/15/33	²		545,000		551,218
Freddie Mac REMICS, Series 3001,
Class HS
16.29%		02/15/35	²		51,326		60,859
Freddie Mac REMICS, Series 3327,
Class LZ
6.00%		06/15/37			1,453,633		1,570,853
Freddie Mac REMICS, Series 3404,
Class AS (IO)
5.71%		01/15/38	²		269,947		40,562
Freddie Mac REMICS, Series 3417,
Class FA
0.68%		11/15/37	²		64,302		64,662


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac REMICS, Series 3828,
Class TF
0.58%		04/15/29	²	$	468,886	$	470,864
Freddie Mac REMICS, Series 4030,
Class HS (IO)
6.43%		04/15/42	²		626,923		97,652
Freddie Mac, Series 3262, Class KS (IO)
6.23%		01/15/37	²		206,802		26,354
Freddie Mac, Series 3339, Class JS
41.65%		07/15/37	²		60,568		120,268
Freddie Mac, Series 3439, Class SC (IO)
5.72%		04/15/38	²		218,666		28,151
Freddie Mac, Series 3885, Class PO (PO)
0.00%		11/15/33	⁸		96,496		88,365
Freddie Mac, Series K020, Class A2
2.37%		05/25/40			585,000		552,534
Ginnie Mae II Pool MA0243
2.00%		07/20/42	²		526,109		538,023
Ginnie Mae, Series 2011-146, Class EI (IO)
5.00%		11/16/41			326,982		75,278
Ginnie Mae, Series 2011-50, Class PS (IO)
5.92%		02/20/41	²		402,498		63,422
Ginnie Mae, Series 2011-69, Class GI (IO)
5.00%		05/16/40			844,187		126,318
Ginnie Mae, Series 2011-70, Class IL (IO)
0.60%		06/16/37	²		3,376,453		50,959
Ginnie Mae, Series 2011-81, Class IC (IO)
0.62%		07/20/35	²		7,378,512		89,433
Ginnie Mae, Series 2012-7, Class PI (IO)
3.50%		01/20/38			375,385		36,523


							25,104,117

Total Mortgage-Backed
(Cost $188,260,936)							188,828,129

MUNICIPAL BONDS — 0.74%*
California — 0.11%
State of California, Build America Bonds
5.70%		11/01/21			175,000		199,635
6.65%		03/01/22			150,000		179,421
7.95%		03/01/36			150,000		173,829


							552,885

Illinois — 0.41%
City of Chicago, Refunding Taxable Project,
Series E
6.05%		01/01/29			300,000		306,333
State of Illinois, Build America Bonds
6.20%		07/01/21			75,000		81,345


Issues	Maturity Date			Principal Amount		Value
MUNICIPAL BONDS (continued)
Illinois (continued)
State of Illinois, Taxable Bonds
4.95%		06/01/23		$	1,100,000	$	1,092,806
State of Illinois, Taxable-Pension
4.35%		06/01/18			565,000		586,368


							2,066,852

Texas — 0.22%
City of Houston Texas, Taxable Pension
Obligation, Series A
6.29%		03/01/32			1,000,000		1,129,030

Total Municipal Bonds
(Cost $3,814,130)							3,748,767


MUTUAL FUNDS — 0.42%
Blackrock Build America Bond Fund
0.01%⁹					89,263		1,679,037
Nuveen Build American Bond Fund
0.01%⁹					23,760		429,343

Total Mutual Funds
(Cost $2,116,714)							2,108,380


U.S. AGENCY SECURITIES — 0.90%
U.S. Agency Securities — 0.90%
Fannie Mae
0.50%		01/15/16			1,150,000		1,148,198
0.50%		01/29/16			1,250,000		1,248,949


Freddie Mac
0.50%		09/14/15			1,440,000		1,439,592
0.60%		03/28/16			705,000		704,725


Total U.S. Agency Securities
(Cost $4,543,983)							4,541,464

U.S. TREASURY SECURITIES — 1.43%
U.S. Treasury Notes — 1.43%
U.S. Treasury Notes - Treasury Inflation
Indexed Notes
0.50%		04/15/15	¹⁰		1,540,000		1,696,976
1.25%		04/15/14	¹⁰		1,510,000		1,681,326
2.00%		07/15/14	¹⁰		3,045,000		3,870,770


Total U.S. Treasury Securities
(Cost $7,358,712)							7,249,072


				Value
Total Bonds – 76.03%
(Cost $385,115,196)					$383,801,854


Issues		Shares		Value
COMMON STOCK — 0.73%
Real Estate Investment Trust (REIT) — 0.73%
American Capital Agency Corp.
			163,415		3,688,277

Total Common Stock
(Cost $3,589,280)

Issues	Maturity Date	Principal Amount/ Shares		Value
SHORT-TERM INVESTMENTS — 20.90%
Commercial Paper — 1.02%
Macquarie Bank Ltd. (Australia)
0.32%¹¹	10/24/13^3,4	$	1,815,000		1,814,753
RBS Holdings USA, Inc.
0.36%¹¹	01/22/14		3,325,000		3,322,452


					5,137,205


Money Market Funds — 1.99%
Dreyfus Cash Advantage Fund
0.06%⁹			5,023,000		5,023,000
DWS Money Market Series
Institutional Funds
0.05%⁹			5,023,000		5,023,000


					10,046,000

U.S. Agency Discount Notes — 17.69%
Fannie Mae
0.08%¹¹	01/21/14		2,290,000		2,289,929
0.09%¹¹	01/15/14		11,000,000		10,999,681
0.09%¹¹	02/19/14		6,485,000		6,484,494
Federal Home Loan Bank
0.03%¹¹	11/27/13		15,000,000		14,999,764
0.08%¹¹	02/21/14		10,970,000		10,969,133
0.09%¹¹	01/15/14		16,935,000		16,934,509
0.09%¹¹	02/21/14		8,930,000		8,929,295
Freddie Mac
0.08%¹¹	02/24/14		17,695,000		17,693,567


					89,300,372

Issues

Maturity

Date

Principal

Amount/

Shares

Value

SHORT-TERM INVESTMENTS (continued)

U.S. Treasury Bills — 0.20%

U.S. Treasury Bills

0.03%¹¹

12/05/13

¹²

35,000

0.04%¹¹

12/05/13

¹²

722,000

721,998

0.05%¹¹

12/05/13

¹²

240,000

996,998

Total Short-Term Investments

(Cost $105,460,578)

105,480,575

Total Investments – 97.66%

(Cost $494,165,054)¹

492,970,706

Cash and Other Assets, Less

Liabilities – 2.34%

11,832,225

Net Assets – 100.00%

504,802,931

Contracts

Unrealized

(Depreciation)


FUTURES CONTRACTS: SHORT POSITIONS
63	U.S. Treasury Five Year Note,
	Expiration December 2013	$	(70,023	)
291	U.S. Treasury Ten Year Note,
	Expiration December 2013		(598,658	)
16	U.S. Treasury Thirty Year Long Bond,
	Expiration December 2013		(60,593	)

	Net unrealized depreciation	$	(729,274	)


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		$(35,060)		$594		$79,814		$44,754


		$(35,060)		$594		$79,814		$44,754

^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 $ 494,172,457 and net unrealized appreciation/(depreciation) consists of:


Gross unrealized appreciation	$	5,016,934
Gross unrealized depreciation		(6,218,685	)

Net unrealized depreciation	$	(1,201,751	)

²	Floating rate security. The rate disclosed was in effect at September 30, 2013.

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
01/25/13	Alinta Energy Finance Pty Ltd., Term Loan B, 1st Lien, 6.38%, 08/07/19	$	892,524	$	903,795		0.18	%
08/07/13	Alinta Energy Finance Pty Ltd., Term Loan DD, 1st Lien, 0.50%, 08/07/19		58,333		59,127		0.01	%
04/25/13	Ballyrock Ltd., Series 2005-3X, Class D, 2.13%, 07/25/17		1,227,329		1,234,902		0.25	%
04/23/13	Dynegy, Inc., Term Loan B2, 1st Lien, 4.00%, 04/23/20		614,590		613,462		0.12	%
03/28/13	Navistar, Inc., Term Loan B, 1st Lien, 5.75%, 08/17/17		500,017		507,187		0.10	%

		$	3,292,793	$	3,318,473		0.66	%

⁶	Payment-in-kind (“PIK”) security. Income may be paid in additional securities or cash at the discretion of the issuer. 8.14% cash or 8.64% payment-in-kind interest.

⁷	Illiquid security as determined under procedures approved by the Fund’s Board of Trustees. The aggregate value of illiquid securities is $103,167, which is 0.02% of total net assets.

⁸	Zero coupon bond. The rate shown is the effective yield as of September 30, 2013.

⁹	Represents the current yield as of September 30, 2013.

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

¹¹	Represents annualized yield at date of purchase.

¹²	Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $996,990.

^†

Fair valued security. The aggregate value of fair valued securities is $8,415,895, which is 1.67% of total net assets, which have not been valued utilizing an independent quote and were valued pursuant to guidelines established by the Board of Trustees. This figure represents securities that are priced using a benchmark pricing system and securities that have been deemed permanently stale, see Notes to Financial Statements.

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

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

(BKNT): Banker’s Note, Inc.

(IO): Interest only

(MTN): Medium-term note

(PIK): Payment in kind

(PO): Principal only

(STEP): Step coupon bond

(WI): When issued


Issues	Maturity Date			Principal Amount		Value
BONDS – 85.55%
BANK LOANS — 70.07%*
Automotive — 1.81%
Allison Transmission, Inc., Term Loan B2,
1st Lien
3.19%		08/07/17	^2,3	$	468,710	$	469,833
Goodyear Tire & Rubber Co., Term Loan,
2nd Lien
4.75%		04/30/19	^2,3		500,000		503,685
Metaldyne LLC, Term Loan B, 1st Lien
5.00%		12/19/18	^2,3		498,744		502,609


							1,476,127

Communications — 5.74%
Cincinnati Bell, Term Loan, 1st Lien
4.00%		08/20/20	^2,3		500,000		497,937
eResearchTechnology, Inc., Term Loan B,
1st Lien
6.00%		05/02/18	^2,3		665,087		668,413
Intelsat Jackson Holdings, Term Loan B-1,
1st Lien (Luxembourg)
4.25%		04/02/18	^2,3,4		498,744		500,614
Level 3 Financing, Inc., Term Loan B, 1st Lien
4.00%		01/15/20	^2,3		1,000,000		1,000,315
Media General, Inc., Term Loan B-DD,
1st Lien
0.00%		07/31/20	^2,3		500,000		501,870
WideOpenWest Finance LLC, Term Loan B,
1st Lien
4.75%		04/01/19	^2,3		498,747		502,924
Windstream Corp., Term Loan B4, 1st Lien
3.50%		01/23/20	^2,3		498,744		498,327
Zayo Group LLC, Term Loan B, 1st Tier
4.50%		07/02/19	^2,3		498,737		499,815


							4,670,215

Consumer Discretionary — 5.54%
Hilton Worldwide Finance LLC,
Term Loan B2, 1st Lien
0.00%		09/23/20	^2,3		2,000,000		1,999,660
Reynolds Group Holdings, Inc., Term Loan,
1st Lien
4.75%		09/28/18	^2,3		498,741		500,748
Seven Seas Cruises S de RL LLC, Term Loan B1,
1st Lien
4.75%		12/21/18	^2,3		500,000		505,000
Spectrum Brands Holding, Inc., Term Loan,
1st Lien
3.50%		08/13/19	^2,3		1,000,000		1,001,575
Spin Holdco, Inc., Term Loan B, 1st Lien
4.25%		05/14/19	^2,3		500,000		500,000


							4,506,983


Issues	Maturity Date			Principal Amount		Value
BANK LOANS (continued)
Consumer Products — 1.24%
DS Waters of America, Inc., Term Loan, 1st
Lien
5.25%		08/01/20	^2,3	$	1,000,000	$	1,009,690

Electric — 6.09%
Calpine Corp., Term Loan B3, 1st Lien
4.00%		10/09/19	^2,3		498,741		499,551
Dynegy, Inc., Term Loan B2, 1st Lien
4.00%		04/23/20	^2,3		598,500		598,126
Essential Power LLC, Term Loan B
4.25%		08/08/19	^2,3		498,695		502,123
GIM Channelview Cogeneration LLC, Term
Loan B, 1st Lien
4.25%		05/02/20	^2,3		498,750		499,685
La Frontera Generation LLC, Term Loan B,
1st Lien
4.50%		09/30/20	^2,3		2,341,576		2,352,113
Topaz Power Holdings LLC, Term Loan,
1st Lien
5.25%		02/26/20	^2,3		498,744		499,991


							4,951,589

Energy — 17.94%
Alinta Energy Finance Pty Ltd.,
Term Loan B, 1st Lien
6.38%		08/07/19	^2,3		938,596		903,793
Alinta Energy Finance Pty Ltd.,
Term Loan DD, 1st Lien
0.50%		08/07/19	^2,3		61,404		59,127
Atlas Energy LP, Term Loan B, 1st Lien
6.50%		07/22/19	^2,3		1,000,000		1,012,500
Drillships Financing Holding, Term Loan B1,
1st Lien
6.00%		02/17/21	^2,3		500,000		505,937
EMG Utica LLC, Term Loan B, 1st Lien
4.75%		03/27/20	^2,3		600,000		603,375
EP Energy LLC, Term Loan B2, 1st Lien
4.50%		04/30/19	^2,3		187,500		187,812
Equipower Resources Holdings, Term Loan,
1st Lien
4.25%		12/21/19	^2,3		1,498,750		1,504,745
Foresight Energy LLC, Term Loan, 1st Lien
5.50%		08/19/20	^2,3		1,000,000		993,750
FREIF North American Power I LLC, Term
Loan B, 1st Lien
4.75%		03/29/19	^2,3		425,354		426,949
FREIF North American Power I LLC, Term
Loan C, 1st Lien
4.75%		03/29/19	^2,3		65,930		66,177
Harvey Gulf International Marine,
Term Loan B, 1st Lien
5.50%		06/14/20	^2,3		1,000,000		1,002,500


Issues	Maturity Date	Principal Amount		Value
BANK LOANS (continued)
Energy (continued)
MEG Energy Corp., Term Loan B, 1st Lien
(Canada)
3.75%	03/31/20^2,3,4	$	498,731	$	500,759
Moxie Liberty (Panda), Term Loan, 1st Lien
7.50%	08/21/20^2,3		1,000,000		1,015,000
Murray Energy Corp., Term Loan, 1st Lien
4.75%	05/24/19^2,3		498,750		499,550
Offshore Group Investment Ltd., Term Loan
B, 1st Lien
6.25%	10/25/17^2,3		493,506		494,740
Pacific Drilling SA, Term Loan B, 1st Lien
4.50%	06/03/18³		997,500		1,003,984
Peabody Energy Corp., Term Loan, First Lien
4.25%	09/20/20^2,3		1,000,000		991,040
Power Buyer LLC, Delayed Draw Term Loan,
1st Lien
5.50%	05/06/20^2,3		55,556		54,861
Power Buyer LLC, Term Loan, 1st Lien
4.25%	05/06/20^2,3		443,333		437,792
Sabine Oil & Gas NFR Energy, Term Loan,
2nd Lien
8.75%	12/31/18^2,3		600,000		604,128
TPF II LC LLC, Term Loan, 1st Lien
6.50%	07/25/19^2,3		997,500		1,004,981
Walter Energy, Inc., Term Loan B, 1st Lien
6.75%	04/01/18^2,3		750,000		722,543


					14,596,043

Entertainment — 0.61%
AMC Entertainment, Inc., Term Loan B,
1st Lien
3.50%	04/30/20^2,3		498,747		497,071

Finance — 1.84%
Centaur Acquisition LLC, Term Loan, 1st Lien
5.25%	02/20/19^2,3		498,747		501,864
Nuveen Investments, Inc., Term Loan B,
1st Lien
4.18%	05/13/17^2,3		500,000		494,845
Patriot Merger Corp./National Financial
Partners Corp.,
Term Loan B, 1st Lien
5.25%	07/01/20^2,3		498,750		503,324


					1,500,033

Food — 1.87%
New Hostess Brands Acquisition LLC, Term
Loan, 1st Lien
6.75%	03/20/20^2,3		1,000,000		1,028,335


Issues	Maturity Date	Principal Amount		Value
BANK LOANS (continued)
Food (continued)
Pinnacle Foods LLC, Term Loan H, 1st Lien
3.25%	04/29/20^2,3	$	500,000	$	495,625


					1,523,960

Gaming — 2.46%
American Casino & Entertainment Properties
LLC, Term Loan B, 1st Lien
6.00%	06/11/20^2,3		498,750		506,855
Boyd Gaming Corp., Term Loan B, 1st Lien
4.00%	08/08/20^2,3		500,000		500,250
Yonkers Racing Corp., Term Loan, 1st Lien
4.25%	07/22/19^2,3		1,000,000		995,000


					2,002,105

Health Care — 2.39%
Biomet, Inc., Term Loan B, 1st Lien
3.70%	07/25/17^2,3		498,750		501,673
Healogics, Inc., Term Loan, 1st Lien
5.25%	02/05/19^2,3		498,747		502,645
Hologic, Inc., Term Loan B, 1st Lien
3.75%	08/01/19^2,3		439,735		441,188
Surgical Care Affiliates, Inc., Term Loan C
4.25%	06/29/18^2,3		498,750		500,154


					1,945,660

Industrials — 5.52%
BWAY Holding Co., Term Loan B, 1st Lien
4.50%	08/06/17^2,3		498,744		501,238
Clondalkin Acquisition B.V., Term Loan,
1st Lien
5.75%	05/28/20^2,3		498,750		500,620
Consolidated Container Co. LLC,
Term Loan B, 1st Lien
5.00%	07/03/19^2,3		498,741		502,980
Intelligrated, Inc., Term Loan, 1st Lien
4.50%	07/30/18^2,3		498,741		499,676
OPE USIC Holdings, Inc., Term Loan, 1st Lien
4.75%	07/29/20^2,3		997,500		998,433
Polarpack, Inc./WNA Holdings, Inc., Term
Loan B, 1st Lien
4.53%	06/07/20^2,3		175,560		175,890
Polarpack, Inc./WNA Holdings, Inc., Term
Loan, 1st Lien
4.53%	06/07/20^2,3		323,190		323,798
Synagro Infrastructure, Term Loan, 1st Lien
6.25%	07/25/19^2,3		1,000,000		988,440


					4,491,075

Information Technology — 3.67%
Activision Blizzard, Inc., Term Loan, 1st Lien
0.00%	09/12/20^2,3		500,000		500,365


Issues	Maturity Date	Principal Amount		Value
BANK LOANS (continued)
Information Technology (continued)
Dell, Inc., Term Loan B, 1st Lien
0.00%	03/24/20^2,3	$	1,000,000	$	983,750
First Data Corp., Term Loan EXT, 1st Lien
4.18%	03/24/18^2,3		500,000		496,250
Freescale Semiconductor, Inc., Term Loan
B5, 1st Lien
5.00%	01/15/21^2,3		500,000		501,405
Symphony IRI Group, Inc., First Lien Term
Loan B
6.00%	09/26/20^2,3		500,000		501,250


					2,983,020

Insurance — 0.62%
Hub International, Ltd., Term Loan B, 1st Lien
4.75%	09/06/20^2,3		500,000		501,250

Materials — 2.59%
Fortescue Metals Group Ltd., Term Loan
5.25%	10/18/17^2,3		598,489		601,320
Royal Adhesives and Sealants LLC,
Term Loan B, 1st Lien
5.50%	07/26/18^2,3		500,000		505,625
Tata Chemicals North America, Inc., Term
Loan B, 1st Lien
3.75%	08/08/20^2,3		997,500		996,877


					2,103,822

Real Estate Investment Trust (REIT) — 0.93%
Realogy Group LLC, Term Loan B, 1st Lien
4.50%	03/05/20^2,3		748,120		753,847

Retail — 1.21%
JC Penney Corp., Inc., Term Loan, 1st Lien
6.00%	05/22/18^2,3		498,750		485,204
Serta Simmons Holdings LLC, Term Loan B,
1st Lien
5.00%	10/01/19^2,3		498,744		500,614


					985,818

Services — 2.46%
Bright Horizons Family Solutions, Inc., Term
Loan, 1st Lien
4.00%	01/30/20^2,3		498,744		499,160
Ceridian Corp., Replacement Term Loan
4.43%	05/09/17^2,3		500,000		501,043
Laureate Education, Inc., Term Loan B,
1st Lien
5.25%	06/16/18^2,3		498,729		500,445
Multi Packaging Solutions, Inc., Term Loan B,
1st Lien
4.25%	08/08/20^2,3		500,000		502,375


					2,003,023


Issues	Maturity Date	Principal Amount		Value
BANK LOANS (continued)
Transportation — 5.54%
Air Canada, Term Loan B, 1st Lien,
5.50%	09/20/19^2,3	$	500,000	$	500,207
American Airlines, Inc.
4.75%	06/27/19^2,3		997,500		993,136
Delta Air Lines, Term Loan B, 1st Lien
4.00%	10/18/18^2,3		498,744		500,926
Navios Maritime Partners LP, Term Loan B,
1st Lien (Greece)
5.25%	06/27/18^2,3,4		997,500		1,014,956
United Airlines, Inc., Term Loan B, 1st Lien
4.00%	04/01/19^2,3		498,747		502,113
US Airways, Inc., Term Loan B1, 1st Lien
4.25%	05/23/19^2,3		500,000		498,037
US Airways, Inc., Term Loan B2, 1st Lien
3.50%	11/23/16^2,3		500,000		501,375


					4,510,750

Total Bank Loans
(Cost $56,840,337)					57,012,081


CORPORATES — 15.48%*
Automotive — 2.48%
General Motors Co.
3.50%	10/02/18⁵		1,000,000		1,005,000
Titan International, Inc.
6.88%	10/01/20⁵		1,000,000		1,012,500


					2,017,500

Banking — 0.59%
Bank of America N.A. (BKNT)
0.55%	06/15/17³		500,000		482,645

Communications — 2.25%
Verizon Communications, Inc.
2.00%	09/14/18³		1,750,000		1,835,110

Energy — 4.98%
Enbridge, Inc. (Canada)
0.90%	10/01/16^3,4		1,000,000		1,001,480
Natural Resource Partners LP
9.12%	10/01/18⁵		1,000,000		1,012,500
Offshore Drilling Holding SA (Luxembourg)
8.38%	09/20/20^4,5		500,000		508,125
Sanchez Energy Corp.
7.75%	06/15/21⁵		500,000		488,750
Walter Energy, Inc.
9.50%	10/15/19⁵		1,000,000		1,038,750


					4,049,605


Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Finance — 1.43%
Chase Capital II, Series B
0.76%	02/01/27³	$	500,000	$	410,000
JPMorgan Chase Capital XXI, Series U
1.22%	02/02/37³		1,000,000		752,500


					1,162,500

Industrials — 1.28%
Flexi-Van Leasing, Inc.
7.88%	08/15/18⁵		1,000,000		1,040,000

Information Technology — 0.62%
Activision Blizzard, Inc.
5.62%	09/15/21⁵		500,000		501,875

Real Estate Investment Trust (REIT) — 0.61%
DuPont Fabros Technology LP
5.88%	09/15/21⁵		500,000		501,250

Transportation — 1.24%
American Airlines Pass-Through Trust,
Series 2013-2, Class A
4.95%	01/15/23⁵		1,000,000		1,006,250


Total Corporates
(Cost $12,361,114)					12,596,735


Total Bonds – 85.55%
(Cost $69,201,451)					69,608,816

Issues

Maturity
Date

Principal
Amount/
Shares

Value

SHORT-TERM INVESTMENTS — 25.06%

Money Market Funds — 1.98%

Dreyfus Cash Advantage Fund

0.06%⁶

817,000

DWS Money Market Series

Institutional Funds

0.05%⁶

794,000

1,611,000

U.S. Agency Discount Notes — 23.08%

Fannie Mae

0.06%⁷

02/12/14

4,530,000

4,529,665

Federal Home Loan Bank

0.08%⁷

11/06/13

4,250,000

4,249,958

0.08%⁷

02/21/14

3,880,000

3,879,693

0.09%⁷

01/15/14

915,000

914,973


Issues	Maturity Date		Principal Amount/ Shares		Value
SHORT-TERM INVESTMENTS (continued)
U.S. Agency Discount Notes (continued)
Freddie Mac
0.07%⁷		02/11/14	$	1,500,000	$	1,499,889
0.09%⁷		01/23/14		3,700,000		3,699,882


						18,774,060

Total Short-Term Investments
(Cost $20,381,719)						20,385,060


Total Investments – 110.61%

(Cost $89,583,170)¹						89,993,876


Liabilities in Excess of Other
Assets – (10.61%)						(8,629,272	)


Net Assets – 100.00%					$	81,364,604

Notes:

¹	Cost for federal income tax purposes is $89,583,182 and net unrealized appreciation/ (depreciation) consists of:


Gross unrealized appreciation	$	536,338
Gross unrealized depreciation		(125,644	)

Net unrealized appreciation	$	410,694

²	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
09/13/13	Activision Blizzard, Inc., Term Loan, 1st Lien, 0.00%, 09/12/20	$	497,500	$	500,365	0.61%
09/20/13	Air Canada, Term Loan B, 1st Lien,, 5.50%, 09/20/19		495,000		500,207	0.61%
08/07/13	Alinta Energy Finance Pty Ltd., Term Loan B, 1st Lien, 6.38%, 08/07/19		892,459		903,793	1.11%
08/07/13	Alinta Energy Finance Pty Ltd., Term Loan DD, 1st Lien, 0.50%, 08/07/19		58,333		59,127	0.07%
07/08/13	Allison Transmission, Inc., Term Loan B2, 1st Lien, 3.19%, 08/07/17		471,508		469,833	0.58%
07/01/13	AMC Entertainment, Inc., Term Loan B, 1st Lien, 3.50%, 04/30/20		498,765		497,071	0.61%
07/31/13	American Airlines, Inc., 4.75%, 06/27/19		992,653		993,136	1.22%
07/02/13	American Casino & Entertainment Properties LLC, Term Loan B, 1st Lien, 6.00%, 06/11/20		493,910		506,855	0.62%
07/22/13	Atlas Energy LP, Term Loan B, 1st Lien, 6.50%, 07/22/19		990,278		1,012,500	1.24%
09/12/13	Biomet, Inc., Term Loan B, 1st Lien, 3.70%, 07/25/17		497,503		501,673	0.62%


Date of Purchase	Security	Amortized Cost		Value		% of Total Net Assets
08/08/13	Boyd Gaming Corp., Term Loan B, 1st Lien, 4.00%, 08/08/20	$	497,564	$	500,250	0.61%
07/16/13	Bright Horizons Family Solutions, Inc., Term Loan, 1st Lien, 4.00%, 01/30/20		503,012		499,160	0.61%
07/11/13	BWAY Holding Co., Term Loan B, 1st Lien, 4.50%, 08/06/17		504,761		501,238	0.62%
07/08/13	Calpine Corp., Term Loan B3, 1st Lien, 4.00%, 10/09/19		498,157		499,551	0.61%
07/01/13	Centaur Acquisition LLC, Term Loan, 1st Lien, 5.25%, 02/20/19		500,584		501,864	0.62%
07/01/13	Ceridian Corp., Replacement Term Loan, 4.43%, 05/09/17		503,016		501,043	0.62%
08/20/13	Cincinnati Bell, Term Loan, 1st Lien, 4.00%, 08/20/20		496,298		497,937	0.61%
07/09/13	Clondalkin Acquisition B.V., Term Loan, 1st Lien, 5.75%, 05/28/20		500,603		500,620	0.62%
07/02/13	Consolidated Container Co. LLC, Term Loan B, 1st Lien, 5.00%, 07/03/19		501,191		502,980	0.62%
09/24/13	Dell, Inc., Term Loan B, 1st Lien, 0.00%, 03/24/20		990,000		983,750	1.21%
07/16/13	Delta Air Lines, Term Loan B, 1st Lien, 4.00%, 10/18/18		501,838		500,926	0.62%
07/02/13	Drillships Financing Holding, Term Loan B1, 1st Lien, 6.00%, 02/17/21		490,167		505,937	0.62%
08/19/13	DS Waters of America, Inc., Term Loan, 1st Lien, 5.25%, 08/01/20		990,102		1,009,690	1.24%
07/09/13	Dynegy, Inc., Term Loan B2, 1st Lien, 4.00%, 04/23/20		598,519		598,126	0.74%
07/11/13	EMG Utica LLC, Term Loan B, 1st Lien, 4.75%, 03/27/20		602,212		603,375	0.74%
07/08/13	EP Energy LLC, Term Loan B2, 1st Lien, 4.50%, 04/30/19		187,959		187,812	0.23%
07/01/13	Equipower Resources Holdings, Term Loan, 1st Lien, 4.25%, 12/21/19		1,503,579		1,504,745	1.85%
07/10/13	eResearchTechnology, Inc., Term Loan B, 1st Lien, 6.00%, 05/02/18		671,571		668,413	0.82%
07/02/13	Essential Power LLC, Term Loan B, 4.25%, 08/08/19		498,713		502,123	0.62%
07/01/13	First Data Corp., Term Loan EXT, 1st Lien, 4.18%, 03/24/18		488,692		496,250	0.61%
08/19/13	Foresight Energy LLC, Term Loan, 1st Lien, 5.50%, 08/19/20		990,150		993,750	1.22%
07/11/13	Fortescue Metals Group Ltd., Term Loan, 5.25%, 10/18/17		601,757		601,320	0.74%


Date of Purchase	Security	Amortized Cost		Value		% of Total Net Assets
09/06/13	Freescale Semiconductor, Inc., Term Loan B5, 1st Lien, 5.00%, 01/15/21	$	495,028	$	501,405	0.62%
07/16/13	FREIF North American Power I LLC, Term Loan B, 1st Lien, 4.75%, 03/29/19		428,476		426,949	0.52%
07/16/13	FREIF North American Power I LLC, Term Loan C, 1st Lien, 4.75%, 03/29/19		66,411		66,177	0.08%
07/16/13	GIM Channelview Cogeneration LLC, Term Loan B, 1st Lien, 4.25%, 05/02/20		503,026		499,685	0.61%
07/02/13	Goodyear Tire & Rubber Co., Term Loan, 2nd Lien, 4.75%, 04/30/19		503,063		503,685	0.62%
08/02/13	Harvey Gulf International Marine, Term Loan B, 1st Lien, 5.50%, 06/14/20		1,015,880		1,002,500	1.23%
07/02/13	Healogics, Inc., Term Loan, 1st Lien, 5.25%, 02/05/19		501,164		502,645	0.62%
09/23/13	Hilton Worldwide Finance LLC, Term Loan B2, 1st Lien, 0.00%, 09/23/20		1,990,000		1,999,660	2.46%
07/02/13	Hologic, Inc., Term Loan B, 1st Lien, 3.75%, 08/01/19		443,040		441,188	0.54%
09/17/13	Hub International, Ltd., Term Loan B, 1st Lien, 4.75%, 09/06/20		497,500		501,250	0.62%
07/02/13	Intelligrated, Inc., Term Loan, 1st Lien, 4.50%, 07/30/18		497,567		499,676	0.61%
07/11/13	Intelsat Jackson Holdings, Term Loan B-1, 1st Lien (Luxembourg), 4.25%, 04/02/18		504,147		500,614	0.62%
07/02/13	JC Penney Corp., Inc., Term Loan, 1st Lien, 6.00%, 05/22/18		500,579		485,204	0.60%
07/11/13	La Frontera Generation LLC, Term Loan B, 1st Lien, 4.50%, 09/30/20		2,358,756		2,352,113	2.89%
07/01/13	Laureate Education, Inc., Term Loan B, 1st Lien, 5.25%, 06/16/18		497,558		500,445	0.62%
08/14/13	Level 3 Financing, Inc., Term Loan B, 1st Lien, 4.00%, 01/15/20		998,769		1,000,315	1.23%
07/30/13	Media General, Inc., Term Loan B-DD, 1st Lien, 0.00%, 07/31/20		500,019		501,870	0.62%
07/01/13	MEG Energy Corp., Term Loan B, 1st Lien (Canada), 3.75%, 03/31/20		499,354		500,759	0.62%
07/01/13	Metaldyne LLC, Term Loan B, 1st Lien, 5.00%, 12/19/18		501,756		502,609	0.62%
08/20/13	Moxie Liberty (Panda), Term Loan, 1st Lien, 7.50%, 08/21/20		990,129		1,015,000	1.25%
08/08/13	Multi Packaging Solutions, Inc., Term Loan B, 1st Lien, 4.25%, 08/08/20		497,537		502,375	0.62%


Date of Purchase	Security	Amortized Cost		Value		% of Total Net Assets
07/08/13	Murray Energy Corp., Term Loan, 1st Lien, 4.75%, 05/24/19	$	497,554	$	499,550	0.61%
08/02/13	Navios Maritime Partners LP, Term Loan B, 1st Lien (Greece), 5.25%, 06/27/18		1,007,157		1,014,956	1.25%
07/08/13	New Hostess Brands Acquisition LLC, Term Loan, 1st Lien, 6.75%, 03/20/20		1,023,172		1,028,335	1.26%
07/17/13	Nuveen Investments, Inc., Term Loan B, 1st Lien, 4.18%, 05/13/17		502,420		494,845	0.61%
07/01/13	Offshore Group Investment Ltd., Term Loan B, 1st Lien, 6.25%, 10/25/17		494,693		494,740	0.61%
07/26/13	OPE USIC Holdings, Inc., Term Loan, 1st Lien, 4.75%, 07/29/20		992,637		998,433	1.23%
07/17/13	Patriot Merger Corp./ National Financial Partners Corp., Term Loan B, 1st Lien, 5.25%, 07/01/20		503,673		503,324	0.62%
09/20/13	Peabody Energy Corp., Term Loan, First Lien, 4.25%, 09/20/20		990,039		991,040	1.22%
09/10/13	Pinnacle Foods LLC, Term Loan H, 1st Lien, 3.25%, 04/29/20		491,875		495,625	0.61%
07/02/13	Polarpack, Inc./WNA Holdings, Inc., Term Loan B, 1st Lien, 4.53%, 06/07/20		175,347		175,890	0.22%
07/02/13	Polarpack, Inc./WNA Holdings, Inc., Term Loan, 1st Lien, 4.53%, 06/07/20		322,817		323,798	0.40%
07/01/13	Power Buyer LLC, Delayed Draw Term Loan, 1st Lien, 5.50%, 05/06/20		55,000		54,861	0.07%
07/01/13	Power Buyer LLC, Term Loan, 1st Lien, 4.25%, 05/06/20		439,040		437,792	0.54%
08/13/13	Realogy Group LLC, Term Loan B, 1st Lien, 4.50%, 03/05/20		757,435		753,847	0.93%
07/09/13	Reynolds Group Holdings, Inc., Term Loan, 1st Lien, 4.75%, 09/28/18		503,562		500,748	0.62%
07/26/13	Royal Adhesives and Sealants LLC, Term Loan B, 1st Lien, 5.50%, 07/26/18		495,148		505,625	0.62%
07/16/13	Sabine Oil & Gas NFR Energy, Term Loan, 2nd Lien, 8.75%, 12/31/18		605,896		604,128	0.74%
07/08/13	Serta Simmons Holdings LLC, Term Loan B, 1st Lien, 5.00%, 10/01/19		501,783		500,614	0.61%
07/01/13	Seven Seas Cruises S de RL LLC, Term Loan B1, 1st Lien, 4.75%, 12/21/18		503,661		505,000	0.62%
08/13/13	Spectrum Brands Holding, Inc., Term Loan, 1st Lien, 3.50%, 08/13/19		995,063		1,001,575	1.23%
08/13/13	Spin Holdco, Inc., Term Loan B, 1st Lien, 4.25%, 05/14/19		504,935		500,000	0.61%


Date of Purchase	Security	Amortized Cost		Value		% of Total Net Assets
07/02/13	Surgical Care Affiliates, Inc., Term Loan C, 4.25%, 06/29/18	$	498,164	$	500,154		0.61	%
09/26/13	Symphony IRI Group, Inc., First Lien Term Loan B, 6.00%, 09/26/20		497,500		501,250		0.61	%
08/19/13	Synagro Infrastructure, Term Loan, 1st Lien, 6.25%, 07/25/19		980,290		988,440		1.21	%
08/07/13	Tata Chemicals North America, Inc., Term Loan B, 1st Lien, 3.75%, 08/08/20		987,722		996,877		1.23	%
07/11/13	Topaz Power Holdings LLC, Term Loan, 1st Lien, 5.25%, 02/26/20		502,406		499,991		0.61	%
08/16/13	TPF II LC LLC, Term Loan, 1st Lien, 6.50%, 07/25/19		972,891		1,004,981		1.24	%
07/16/13	United Airlines, Inc., Term Loan B, 1st Lien, 4.00%, 04/01/19		502,484		502,113		0.62	%
07/16/13	US Airways, Inc., Term Loan B1, 1st Lien, 4.25%, 05/23/19		501,232		498,037		0.61	%
08/02/13	US Airways, Inc., Term Loan B2, 1st Lien, 3.50%, 11/23/16		501,984		501,375		0.61	%
07/01/13	Walter Energy, Inc., Term Loan B, 1st Lien, 6.75%, 04/01/18		737,885		722,543		0.89	%
07/08/13	WideOpenWest Finance LLC, Term Loan B, 1st Lien, 4.75%, 04/01/19		501,170		502,924		0.62	%
07/02/13	Windstream Corp., Term Loan B4, 1st Lien, 3.50%, 01/23/20		499,981		498,327		0.61	%
08/16/13	Yonkers Racing Corp., Term Loan, 1st Lien, 4.25%, 07/22/19		995,096		995,000		1.22	%

07/08/13	Zayo Group LLC, Term Loan B, 1st Tier, 4.50%, 07/02/19		501,168		499,815		0.61	%

		$	55,840,993	$	56,008,097		68.84	%

³	Floating rate security. The rate disclosed was in effect at September 30, 2013.

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

⁵

⁶	Represents the current yield as of September 30, 2013.

⁷	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.

(BKNT): Banker’s Note, Inc.


Issues	Maturity Date	Principal Amount		Value
BONDS – 88.61%
ASSET-BACKED SECURITIES — 16.99%**
Aircastle Aircraft Lease Backed Trust,
Series 2007-1A, Class G1
0.49%	06/14/37^2,3	$	742,357	$	670,794
Alm Loan Funding, Series 2012-7A, Class A1
(Cayman Islands)
1.69%	10/19/24^2,3,4		500,000		502,040
AMURF, Series 2012, Class B
11.00%	12/17/17^2,5,†		865,825		865,834
AMURF, Series 2012-I, Class A
14.00%	10/15/16^2,5,†		744,161		744,386
ARES CLO Ltd., Series 2007-12A, Class A
(Cayman Islands)
0.89%	11/25/20^3,4		512,101		509,215
ARES CLO Ltd., Series 2013-1A, Class E
(Cayman Islands)
5.29%	04/15/25^2,3,4		625,000		556,972
Avalon IV Capital Ltd., Series 2012-1A,
Class C (Cayman Islands)
3.87%	04/17/23^2,3,4		575,000		577,921
Axis Equipment Finance Receivables LLC,
Series 2012-1I, Class D
5.50%	11/20/15^†		225,000		217,193
Axis Equipment Finance Receivables LLC,
Series 2012-1I, Class E1
6.25%	04/20/16^†		225,000		202,566
Axis Equipment Finance Receivables LLC,
Series 2012-1I, Class E2
7.00%	03/20/17^†		250,000		212,576
Bayview Commercial Asset Trust,
Series 2004-3, Class A1
0.55%	01/25/35^2,3		468,700		427,565
Bayview Commercial Asset Trust,
Series 2006-4A, Class A1
0.41%	12/25/36^2,3		1,435,936		1,167,936
Bayview Commercial Asset Trust,
Series 2007-3, Class A1
0.42%	07/25/37^2,3		625,920		509,652
Brazos Higher Education Authority, Inc.,
Series 2011-1, Class A3
1.31%	11/25/33²		1,050,000		1,068,910
CIT Education Loan Trust, Series 2007-1,
Class A
0.34%	03/25/42^2,3		1,755,233		1,609,102
Cronos Containers Program Ltd.,
Series 2012-1A, Class A (Bermuda)
4.21%	05/18/27^3,4		238,333		241,892
Cronos Containers Program Ltd.,
Series 2012-2A, Class A (Bermuda)
3.81%	09/18/27^3,4		360,000		366,033
Crystal River, Series 2005-1A, Class A
(Cayman Islands)
0.62%	03/02/46^2,3,4		470,845		57,538


Issues	Maturity Date	Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Dryden Senior Loan Fund, Series 2013-26A,
Class C (Cayman Islands)
2.77%	07/15/25^3,4	$	525,000	$	498,518
Dryden XXII Senior Loan Fund, Series
2013-30A, Class C (Cayman Islands)
3.11%	11/15/25^3,4,†		625,000		608,565
EFS Volunteer LLC, Series 2010-1, Class A2
1.12%	10/25/35^2,3		800,000		786,270
GCO Education Loan Funding Trust,
Series 2006-2AR, Class A1RN
1.48%	08/27/46^3,†		1,985,000		1,875,852
GE Business Loan Trust, Series 2004-1,
Class A
0.47%	05/15/32^2,3		638,094		613,557
GE Business Loan Trust, Series 2004-2A,
Class A
0.40%	12/15/32^2,3		450,646		424,975
GE Business Loan Trust, Series 2005-1A,
Class A3
0.43%	06/15/33^2,3		1,104,444		1,034,046
GE Business Loan Trust, Series 2005-2A,
Class A
0.42%	11/15/33^2,3		948,894		874,361
GE Seaco Finance SRL, Series 2004-1A,
Class A (Barbados)
0.48%	04/17/19^2,3,4		70,000		69,597
GE Seaco Finance SRL, Series 2005-1A,
Class A (Barbados)
0.43%	11/17/20^2,3,4		276,250		273,620
GSAMP Trust, Series 2006-FM3, Class A2D
0.41%	11/25/36		1,699,915		898,244
Hewett’s Island CLO V Ltd., Series 2006-5A,
Class D (Cayman Islands)
1.71%	12/05/18^2,3,4		589,000		561,706
Highland Loan Funding Ltd., Series 1A,
Class A2A (Cayman Islands)
0.94%	08/01/14^2,3,4		419,252		416,589
ING Investment Management Ltd.,
Series 2012-4A, Class A1 (Cayman Islands)
1.66%	10/15/23^2,3,4		500,000		500,906
Leaf II Receivables Funding LLC,
Series 2013-1, Class E2
6.00%	09/15/21^3,†		520,000		478,412
MSIM Peconic Bay, Ltd., Series 2007-1A,
Class C (Cayman Islands)
2.27%	07/20/19^3,4		580,000		579,562
National Collegiate Student Loan Trust,
Series 2006-3, Class A4
0.45%	03/26/29²		975,000		799,741
National Collegiate Student Loan Trust,
Series 2007-1, Class A3
0.42%	07/25/30²		1,320,000		1,067,945


Issues	Maturity Date	Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Neptune Finance CCS Ltd., Series 2008-1A,
Class A (Cayman Islands)
0.88%	04/20/20^2,3,4	$	492,878	$	492,243
North Carolina State Education Authority,
Series 2011-1, Class A3
1.17%	10/25/41²		2,000,000		1,921,780
Oak Hill Credit Partners, Series 2012-7A,
Class A (Cayman Islands)
1.68%	11/20/23^2,3,4		500,000		501,326
Pam Capital Funding LP, Series 1998-1A,
Class B2 (Cayman Islands)
1.62%	05/01/14^2,3,4,6,†		328,207		65,641
Panthera Aviation, Series 2013-1
10.00%	01/25/22^2,5,†		500,000		500,005
Peach Finance Co., Series 2000, Class A
4.71%	04/15/48³		477,843		497,339
Scholar Funding Trust, Series 2012-B,
Class A2
1.28%	03/28/46^2,3		1,000,000		998,082
SLC Student Loan Trust, Series 2004-1,
Class B
0.55%	08/15/31		633,792		561,436
SLC Student Loan Trust, Series 2005-2,
Class B
0.53%	03/15/40		506,721		440,926
SLC Student Loan Trust, Series 2006-1,
Class B
0.46%	03/15/39		732,561		631,901
SLC Student Loan Trust, Series 2006-2,
Class B
0.48%	12/15/39		632,427		545,786
SLM Student Loan Trust, Series 2004-2,
Class B
0.74%	07/25/39		637,915		574,633
SLM Student Loan Trust, Series 2005-4,
Class B
0.45%	07/25/40		652,550		565,319
SLM Student Loan Trust, Series 2005-9,
Class B
0.57%	01/25/41		719,647		626,232
SLM Student Loan Trust, Series 2006-2,
Class A6
0.44%	01/25/41²		1,200,000		1,045,321
SLM Student Loan Trust, Series 2006-8,
Class A6
0.43%	01/25/41²		1,200,000		1,045,339
SLM Student Loan Trust, Series 2008-4,
Class A4
1.92%	07/25/22²		1,500,000		1,568,184
Sound Point CLO Ltd., Series 2012-1A,
Class C (Cayman Islands)
3.57%	10/20/23^2,3,4		625,000		622,241


Issues	Maturity Date	Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Structured Receivables Finance LLC,
Series 2010-A, Class B
7.61%	01/16/46^3,†	$	480,000	$	565,827
Structured Receivables Finance LLC,
Series 2010-B, Class B
7.97%	08/15/36^3,†		450,000		537,136
Symphony CLO Ltd., Series 2012-9A,
Class C (Cayman Islands)
3.52%	04/16/22^2,3,4		575,000		577,129
Symphony CLO Ltd., Series 2013-12A,
Class C (Cayman Islands)
3.00%	10/15/25^3,4,†		475,000		463,222
TAL Advantage LLC, Series 2006-1,
Class NOTE
0.37%	04/20/21^2,3		155,000		152,843
TAL Advantage LLC, Series 2010-2A,
Class A
4.30%	10/20/25³		364,792		366,118
TAL Advantage LLC, Series 2011-1A,
Class A
4.60%	01/20/26³		183,333		185,819
Textainer Marine Containers Ltd.,
Series 2005-1A, Class A (Bermuda)
0.43%	05/15/20^2,3,4		187,500		185,517
Triton Container Finance LLC,
Series 2006-1A, Class NOTE
0.35%	11/26/21^2,3		403,750		396,306
Triton Container Finance LLC,
Series 2007-1A, Class NOTE
0.32%	02/26/19^2,3		190,365		188,693

Total Asset-Backed Securities
(Cost $39,693,056)					39,692,935

BANK LOANS — 1.03%*
Electric — 0.22%
Boston Generating LLC, Term Loan, 1st Lien⁷
0.00%	12/20/13^2,5,6,8,†		107,166		–
Texas Competitive Electric Holdings Co. LLC,
Term Loan EXT, 1st Lien
4.71%	10/10/17^2,5		750,000		506,355


					506,355

Energy — 0.33%
MACH Gen LLC, Term Loan, 2nd Lien (PIK)
7.77%	02/15/15^2,5,9		1,196,268		761,628

Health Care — 0.32%
Valeant Pharmaceuticals,
Term Loan
4.50%	05/30/20^2,5		744,375		749,906


Issues	Maturity Date			Principal Amount		Value
BANK LOANS (continued)
Services — 0.16%
AABS Ltd., Series 2013-1, Class A (STEP)
4.72%		01/15/38	^2,†	$	383,333	$	384,796

Total Bank Loans
(Cost $2,890,408)							2,402,685

CORPORATES — 12.18%*
Banking — 0.68%
Bank of America Corp. (MTN)
5.00%		05/13/21			1,090,000		1,172,554
First Chicago NBD Institutional Capital I
0.82%		02/01/27	²		500,000		410,000


							1,582,554

Communications — 0.19%
CCO Holdings LLC/CCO Holdings
Capital Corp.
7.00%		01/15/19			75,000		79,500
Windstream Corp. (WI)
8.12%		09/01/18			345,000		372,600


							452,100

Electric — 1.63%
Dynegy Escrow Holdings
0.00%		01/01/50	^6,†		1,175,000		23,500
Energy Transfer Partners LP
3.28%		11/01/66	^2,3		2,200,000		1,988,250
GenOn Americas Generation LLC
9.12%		05/01/31			800,000		844,000
Mirant Mid Atlantic Pass-Through Trust,
Series B
9.12%		06/30/17			167,066		177,925
Mirant Mid Atlantic Pass-Through Trust,
Series C
10.06%		12/30/28			720,978		782,261


							3,815,936

Energy — 1.17%
Arch Coal, Inc.
7.00%		06/15/19			1,030,000		813,700
Pacific Drilling SA (Luxembourg)
5.38%		06/01/20	^3,4		1,075,000		1,050,814
Petrobras International Finance Co. - Pifco
(Cayman Islands)
2.88%		02/06/15	⁴		865,000		879,715


							2,744,229

Finance — 4.81%
Astoria Depositor Corp.
8.14%		05/01/21	³		1,200,000		1,188,000
Chase Capital II, Series B
0.76%		02/01/27	²		1,500,000		1,230,000


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Finance (continued)
Chase Capital VI
0.89%		08/01/28	²	$	500,000	$	417,500
CIT Group, Inc.
6.62%		04/01/18	³		1,195,000		1,320,475
Citigroup, Inc.
0.81%		08/25/36	²		3,350,000		2,749,000
General Electric Capital Corp. (MTN)
0.65%		05/05/26	²		819,000		755,832
0.74%		08/15/36	²		2,500,000		2,014,045
JPMorgan Chase Capital XIII, Series M
1.20%		09/30/34	²		700,000		567,682
JPMorgan Chase Capital XXIII
1.26%		05/15/47	²		200,000		149,713
Prudential Holdings LLC
8.70%		12/18/23	³		677,000		857,927


							11,250,174

Health Care — 0.34%
CHS/Community Health Systems, Inc.
8.00%		11/15/19			260,000		274,300
HCA, Inc.
7.25%		09/15/20			472,000		514,480


							788,780

Industrials — 0.36%
Maxim Crane Works LP
12.25%		04/15/15	³		800,000		832,000

Insurance — 0.52%
Farmers Exchange Capital
7.05%		07/15/28	³		1,000,000		1,211,547

Real Estate Investment Trust (REIT) — 0.24%
HCP, Inc.
7.07%		06/08/15			500,000		548,617

Transportation — 2.24%
American Airlines Pass-Through Trust,
Series 2013-2, Class A
4.95%		01/15/23	³		900,000		905,625
AWAS Aviation Capital Ltd. (Ireland)
7.00%		10/15/16	^3,4		494,000		511,290
Continental Airlines Pass-Through Trust,
Series 2007, Class 1B
6.90%		04/19/22			2,474,822		2,533,475
Delta Air Lines Pass-Through Trust,
Series 2002, Class G1
6.72%		01/02/23			642,696		702,146


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Transportation (continued)
JetBlue Airways Pass-Through Trust,
Series 2004, Class G1
0.64%		08/15/16	²	$	613,569	$	588,258


							5,240,794

Total Corporates
(Cost $26,497,617)							28,466,731

MORTGAGE-BACKED — 52.10%**
Commercial Mortgage-Backed — 5.68%
Bayview Commercial Asset Trust,
Series 2005-A4, Class A1
0.48%		01/25/36	^2,3		1,592,680		1,311,306
Bayview Commercial Asset Trust,
Series 2008-4, Class A3
2.93%		07/25/38	³		665,000		599,131
Bayview Commercial Mortgage Pass-Through
Trust, Series 2006-SP1, Class M1
0.63%		04/25/36	^2,3		1,275,000		1,043,827
Bear Stearns Commercial Mortgage
Securities Trust, Series 2004-PWR4,
Class A3
5.47%		06/11/41	²		766,964		783,035
Commercial Mortgage Trust,
Series 2006-C8, Class AAB
5.29%		12/10/46			503,525		511,163
GE Business Loan Trust, Series 2003-1,
Class B
1.48%		04/15/31	^2,3		200,084		176,268
GE Business Loan Trust, Series 2003-2A,
Class A
0.55%		11/15/31	^2,3		1,375,973		1,323,074
GE Business Loan Trust, Series 2005-1A,
Class C
0.88%		06/15/33	^2,3		449,905		371,447
GE Business Loan Trust, Series 2005-2A,
Class B
0.68%		11/15/33	^2,3		431,315		372,780
GE Business Loan Trust, Series 2006-2A,
Class A
0.36%		11/15/34	^2,3		2,139,120		1,947,260
Greenwich Capital Commercial Funding
Corp., Series 2006-GG7, Class A4
6.06%		07/10/38	²		959,826		1,056,255
Morgan Stanley Bank of America Merrill
Lynch Trust, Series 2012-C6, Class A4
2.86%		11/15/45			1,040,000		983,545
WF-RBS Commercial Mortgage Trust,
Series 2010-C8, Class A3
3.00%		08/15/45			1,055,000		1,013,275
WF-RBS Commercial Mortgage Trust,
Series 2011-C2, Class A2
3.79%		02/15/44	³		900,000		950,173


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed (continued)
WF-RBS Commercial Mortgage Trust,
Series 2011-C5, Class A4
3.67%		11/15/44		$	810,000	$	826,700


							13,269,239

Non-Agency Mortgage-Backed — 39.93%
ACE Securities Corp., Series 2003-MH1,
Class B1
6.50%		08/15/30	^2,3		168,220		172,111
ACE Securities Corp., Series 2006-HE3,
Class A2C
0.33%		06/25/36	²		2,258,899		1,409,849
Adjustable Rate Mortgage Trust,
Series 2005-11, Class 2A12
2.71%		02/25/36	²		374,435		357,354
Adjustable Rate Mortgage Trust,
Series 2005-11, Class 2A41
2.71%		02/25/36	²		803,007		746,989
Adjustable Rate Mortgage Trust,
Series 2005-5, Class 6A21
0.41%		09/25/35	²		776,849		719,907
Ameriquest Mortgage Securities, Inc.,
Series 2005-R2, Class M2
0.66%		04/25/35	²		1,200,000		1,134,688
Asset-Backed Securities Corp. Home Equity,
Series 2007-HE1, Class A4
0.32%		12/25/36	²		3,000,000		2,112,678
Banc of America Alternative Loan Trust,
Series 2003-3, Class A4
5.75%		05/25/33			1,454,096		1,560,819
Banc of America Alternative Loan Trust,
Series 2005-2, Class 4A1
5.50%		03/25/20			553,157		566,250
Banc of America Funding Corp.,
Series 2006-3, Class 5A3
5.50%		03/25/36			1,361,863		1,302,413
Banco de Credito Y Securitizacion SA,
Series 2001-1, Class AF (Argentina)
8.00%		06/30/20	^3,4,6		5,000		400
BCAP LLC Trust, Series 2011-RR3,
Class 1A5
2.87%		05/27/37	^2,3		1,543,431		1,547,908
BCAP LLC Trust, Series 2007-AA1,
Class 1A2
0.34%		02/25/47	²		1,004,847		862,298
BCAP LLC Trust, Series 2009-RR4,
Class 1A1
9.50%		06/26/37	³		972,991		1,014,604
BCAP LLC Trust, Series 2010-RR11,
Class 3A2
3.00%		06/27/36	^2,3		1,894,663		1,906,892


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
BCAP LLC Trust, Series 2011-RR3,
Class 5A3
2.53%		11/27/37	^2,3	$	2,237,752	$	2,173,363
BCAP LLC Trust, Series 2011-RR4,
Class 1A3
2.87%		03/26/36	^2,3		1,069,703		1,049,578
BCAP LLC Trust, Series 2013-RR4,
Class 3A1
0.33%		05/26/37	^2,3		1,062,463		1,031,501
Bear Stearns ALT-A Trust, Series 2005-1,
Class A1
0.74%		01/25/35	²		986,617		966,034
Bear Stearns ARM Trust, Series 2005-2,
Class A1
2.60%		03/25/35			492,422		498,612
BHN I Mortgage Fund, Series 2000-1,
Class AF (Argentina)
8.00%		01/31/20	^3,4,6,†		110		1
Centex Home Equity, Series 2006-A,
Class AV4
0.43%		06/25/36	²		2,150,000		1,861,070
Chase Mortgage Finance Corp.,
Series 2007-A1, Class 8A1
3.01%		02/25/37	²		415,622		418,740
Citicorp Residential Mortgage Securities, Inc.,
Series 2007-1, Class A5 (STEP)
6.05%		03/25/37			1,750,000		1,597,629
Citigroup Mortgage Loan Trust, Inc.,
Series 2005-OPT3, Class M2
0.63%		05/25/35	²		1,100,000		1,016,217
Citigroup Mortgage Loan Trust, Inc.,
Series 2006-WFH4, Class A3
0.33%		11/25/36	²		969,207		943,666
Citigroup Mortgage Loan Trust, Inc.,
Series 2007-WFH2, Class A3
0.36%		03/25/37	²		2,500,000		2,357,456
Conseco Finance Securitizations Corp.,
Series 2001-4, Class A4
7.36%		09/01/33			738,347		792,513
Conseco Finance Securitizations Corp.,
Series 2002-1, Class A
6.68%		12/01/33	²		28,889		29,589
Conseco Finance, Series 2002-C,
Class BF1
8.00%		06/15/32	²		2,727,669		3,013,487
Conseco Finance, Series 2002-C,
Class BF2
8.00%		06/15/32	^2,3		908,660		1,004,232
Conseco Financial Corp., Series 1996-7,
Class M1
7.70%		10/15/27	²		1,006,171		1,090,202


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Conseco Financial Corp., Series 1997-3,
Class A7
7.64%		03/15/28	²	$	382,672	$	419,437
Conseco Financial Corp., Series 1998-3,
Class A6
6.76%		03/01/30	²		774,208		829,098
Conseco Financial Corp., Series 1998-4,
Class A6
6.53%		04/01/30	²		926,996		973,553
Conseco Financial Corp., Series 1998-4,
Class A7
6.87%		04/01/30	²		459,020		491,682
Conseco Financial Corp., Series 1999-5,
Class A5
7.86%		03/01/30	²		117,220		105,672
Credit-Based Asset Servicing and
Securitization LLC, Series 2007-BR4,
Class A2C
0.47%		05/25/37	²		2,308,816		1,315,226
Credit-Based Asset Servicing and
Securitization LLC, Series 2007-CB2,
Class A2B (STEP)
5.06%		02/25/37			955,507		697,807
Credit-Based Asset Servicing and
Securitization LLC, Series 2007-CB2,
Class A2C (STEP)
5.08%		02/25/37			597,226		435,975
Credit-Based Asset Servicing and
Securitization LLC, Series 2007-CB3,
Class A1 (STEP)
4.43%		03/25/37			2,275,464		1,202,845
Credit-Based Asset Servicing and
Securitization LLC, Series 2007-CB3,
Class A3 (STEP)
4.45%		03/25/37			1,397,728		797,321
First Franklin Mortgage Loan Asset-Backed
Certificates, Series 2006-FF18, Class A2B
0.29%		12/25/37	²		1,230,600		710,946
First Franklin Mortgage Loan Asset-Backed
Certificates, Series 2007-FF1, Class A2D
0.40%		01/25/38	²		3,514,389		2,073,293
First Franklin Mortgage Loan Asset-Backed
Certificates, Series 2007-FF2, Class A2B
0.28%		03/25/37	²		1,271,827		706,962
Green Tree Home Improvement Loan Trust,
Series 1995-D, Class B2
7.45%		09/15/25			31,873		31,866
Green Tree Home Improvement Loan Trust,
Series 1995-F, Class B2
7.10%		01/15/21			3,877		3,876
Green Tree, Series 2008-MH1, Class A2
8.97%		04/25/38	^2,3		844,986		942,687
Green Tree, Series 2008-MH1, Class A3
8.97%		04/25/38	^2,3		1,242,754		1,371,556


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Greenpoint Mortgage Funding Trust,
Series 2006-AR8, Class 1A2A
0.36%	01/25/47²	$	1,402,152	$	1,241,193
GSAMP Trust, Series 2005-HE5, Class M1
0.60%	11/25/35²		1,285,000		1,194,955
GSR Mortgage Loan Trust, Series 2005-AR6,
Class 2A1
2.66%	09/25/35		523,051		521,237
Harborview Mortgage Loan Trust,
Series 2006-8, Class 2A1A
0.37%	07/21/36²		577,493		433,515
Home Equity Loan Trust, Series 2007-3,
Class A4
1.68%	11/20/36²		1,040,000		1,002,382
Home Equity Loan Trust, Series 2007-3,
Class APT
1.38%	11/20/36²		930,714		928,711
HSI Asset Loan Obligation Trust,
Series 2007-2, Class 2A12
6.00%	09/25/37		1,182,714		1,148,204
Impac CMB Trust, Series 2004-4, Class 1A2
0.80%	09/25/34²		1,001,965		910,578
Indymac Index Mortgage Loan Trust,
Series 2005-AR25, Class 2A1
4.79%	12/25/35²		1,189,719		1,024,691
Indymac Index Mortgage Loan Trust,
Series 2007-FLX2, Class A1C
0.37%	04/25/37²		2,641,969		1,706,855
Indymac Manufactured Housing Contract,
Series 1997-1, Class A3
6.61%	02/25/28		509,103		505,960
Indymac Manufactured Housing Contract,
Series 1997-1, Class A4
6.75%	02/25/28		214,316		212,993
Indymac Manufactured Housing Contract,
Series 1998-1, Class A4
6.49%	09/25/28		184,709		192,695
Indymac Manufactured Housing Contract,
Series 1998-1, Class A5
6.96%	09/25/28²		445,211		473,588
Indymac Manufactured Housing Contract,
Series 1998-2, Class A2
6.17%	08/25/29		62,256		63,379
Indymac Manufactured Housing Contract,
Series 1998-2, Class A4
6.64%	08/25/29²		616,362		614,717
JPMorgan Mortgage Acquisition Corp.,
Series 2007-HE1, Class AF6 (STEP)
4.64%	03/25/47		1,530,062		1,194,735
JPMorgan Mortgage Trust, Series 2006-S2,
Class 2A2
5.88%	06/25/21		1,209,349		1,211,900


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
JPMorgan Mortgage Trust, Series 2007-S1,
Class 1A2
5.50%	03/25/22	$	1,126,091	$	1,118,596
Lehman ABS Manufactured Housing Contract
Trust, Series 2001-B, Class A6
6.47%	04/15/40²		772,006		839,736
Lehman XS Trust, Series 2006-13,
Class 1A2
0.35%	09/25/36²		1,385,980		1,088,356
Lehman XS Trust, Series 2006-19,
Class A2
0.35%	12/25/36²		1,322,787		1,021,505
Lehman XS Trust, Series 2006-9,
Class A1B
0.34%	05/25/46²		1,419,006		1,111,327
MASTR Asset-Backed Securities Trust,
Series 2007-HE1, Class A4
0.46%	05/25/37²		1,810,500		1,095,814
Merrill Lynch Alternative Note Asset,
Series 2007-A3, Class A2D
0.51%	04/25/37²		1,696,107		299,661
Merrill Lynch Mortgage Investors, Inc.,
Series 2004-HE2, Class A2C
1.34%	08/25/35²		709,726		706,616
Mid-State Trust, Series 11, Class B
8.22%	07/15/38		15,371		15,791
Mid-State Trust, Series 2004-1, Class B
8.90%	08/15/37		1,110,618		1,385,405
Mid-State Trust, Series 2004-1, Class M1
6.50%	08/15/37		768,111		894,704
Mid-State Trust, Series 2005-1, Class A
5.74%	01/15/40		295,137		318,154
Mid-State Trust, Series 6, Class A3
7.54%	07/01/35		470,592		512,042
Mid-State Trust, Series 6, Class A4
7.79%	07/01/35		38,345		41,765
Morgan Stanley Mortgage Loan Trust,
Series 2004-7AR, Class 2A4
2.07%	09/25/34²		1,074,131		1,007,457
Morgan Stanley Mortgage Loan Trust,
Series 2006-7, Class 5A2
5.96%	06/25/36²		3,123,237		1,852,870
Oakwood Mortgage Investors, Inc.,
Series 1998-A, Class M
6.82%	05/15/28²		893,056		981,757
Oakwood Mortgage Investors, Inc.,
Series 1998-B, Class A4
6.35%	03/15/17		20,878		21,026
Oakwood Mortgage Investors, Inc.,
Series 1998-D, Class A
6.40%	01/15/29		458,777		472,144


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Oakwood Mortgage Investors, Inc.,
Series 1999-A, Class A2
5.89%	04/15/29	$	102,580	$	103,639
Oakwood Mortgage Investors, Inc.,
Series 1999-B, Class A4
6.99%	12/15/26		935,764		1,002,606
Oakwood Mortgage Investors, Inc.,
Series 2001-D, Class A3
5.90%	09/15/22²		1,414,283		1,239,483
Oakwood Mortgage Investors, Inc.,
Series 2002-A, Class A3
6.03%	05/15/24²		848,311		874,857
Opteum Mortgage Acceptance Corp.,
Series 2005-5, Class 2A1B
5.64%	12/25/35²		170,755		169,452
Origen Manufactured Housing,
Series 2005-A, Class M1
5.46%	06/15/36²		822,930		868,697
Park Place Securities, Inc.,
Series 2004-WWF1, Class M2
1.20%	12/25/34²		651,922		642,046
Park Place Securities, Inc.,
Series 2005-WCH1, Class M2
0.70%	01/25/36²		717,340		714,293
Residential Accredit Loans, Inc.,
Series 2005-QA3, Class NB1
3.01%	03/25/35²		1,549,999		1,115,307
Residential Asset Securities Corp.,
Series 2005-KS12, Class A3
0.50%	01/25/36²		1,100,000		1,025,240
SG Mortgage Securities Trust,
Series 2007-NC1, Class A2
0.42%	12/25/36^2,3		2,359,049		1,395,743
Specialty Underwriting & Residential Finance,
Series 2006-AB3, Class A2B
0.33%	09/25/37²		816,019		430,994
Structured Asset Investment Loan Trust,
Series 2005-4, Class M2
0.84%	05/25/35²		1,200,000		1,140,164
Terwin Mortgage Trust, Series 2004-7HE,
Class A1
1.28%	07/25/34^2,3		122,539		115,267
UCFC Home Equity Loan, Series 1998-D,
Class BF1
8.96%	04/15/30²		585		276
UCFC Manufactured Housing Contract,
Series 1997-4, Class A4
7.00%	04/15/29²		342,994		344,256
Vanderbilt Acquisition Loan Trust,
Series 2002-1, Class A4
6.57%	05/07/27²		522,827		549,340


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Vanderbilt Mortgage Finance, Series 2001-C,
Class M1
6.76%	01/07/32	$	374,231	$	378,904
Vanderbilt Mortgage Finance, Series 2002-C,
Class A5
7.60%	12/07/32		1,100,000		1,168,900
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR8, Class 2A1A
0.47%	07/25/45²		205,923		186,368
Washington Mutual Alternative Mortgage
Pass-Through Certificates, Series 2007-OA2,
Class 2A
0.86%	01/25/47²		1,906,172		1,191,169
Washington Mutual MSC Mortgage
Pass-Through Certificates, Series 2003-MS9,
Class 1A
7.00%	04/25/33		2,100		2,173
Wells Fargo Home Equity Asset-Backed
Securities, Series 2007-1, Class A3
0.50%	03/25/37²		1,500,000		905,523


					93,300,563

U.S. Agency Mortgage-Backed — 6.49%
Fannie Mae Pool 467225
3.63%	01/01/18		910,000		978,294
Fannie Mae Pool AB3866
3.50%	11/01/41		441,299		449,960
Fannie Mae Pool AD0660
4.53%	12/01/19		958,694		1,069,479
Fannie Mae Pool FN0003
4.30%	01/01/21		469,037		516,010
Fannie Mae REMICS, Series 2003-64,
Class KS
9.41%	07/25/18²		371,141		415,053
Fannie Mae, Series 1993-80, Class S
10.65%	05/25/23²		7,358		8,218
Fannie Mae, Series 2000-45, Class SA (IO)
7.77%	12/18/30²		1,279,725		230,803
Fannie Mae, Series 2001-42, Class SB
8.50%	09/25/31²		1,379		1,610
Fannie Mae, Series 2003-124, Class TS
9.80%	01/25/34²		18,324		21,110
Fannie Mae, Series 2005-92, Class US (IO)
5.92%	10/25/25²		4,475,495		602,176
Fannie Mae, Series 2006-125, Class SM (IO)
7.02%	01/25/37²		4,495,457		731,929
Fannie Mae, Series 2008-50, Class SA (IO)
5.87%	11/25/36²		4,414,915		619,027
Fannie Mae, Series 2010-112, Class PI (IO)
6.00%	10/25/40		2,566,708		368,062


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae, Series 2010-43, Class KS (IO)
6.24%	05/25/40²	$	3,592,264	$	478,629
Freddie Mac Gold Pool E04113
2.50%	11/01/27		437,255		440,210
Freddie Mac REMICS, Series 2990,
Class ND
16.43%	12/15/34²		450,167		567,103
Freddie Mac, Series 1602, Class SN
10.09%	10/15/23²		14,590		18,195
Freddie Mac, Series 1673, Class SD
13.23%	02/15/24²		346,728		440,623
Freddie Mac, Series 1760, Class ZD
2.36%	02/15/24²		745,206		755,336
Freddie Mac, Series 2642, Class BW (IO)
5.00%	06/15/23		27,314		2,783
Freddie Mac, Series 2657, Class LX (IO)
6.00%	05/15/18		92,196		2,709
Freddie Mac, Series 3242, Class SA (IO)
6.17%	11/15/36²		14,092,648		1,933,069
Freddie Mac, Series 3247, Class SI (IO)
0.15%	08/15/36²		46,252,617		262,923
Freddie Mac, Series 3260, Class AS (IO)
6.20%	01/15/37²		13,010,497		1,539,619
Freddie Mac, Series 3289, Class SD (IO)
5.94%	03/15/37²		2,845,736		322,134
Ginnie Mae II (TBA)
3.00%	10/20/42		1,665,000		1,646,009
Ginnie Mae, Series 2001-31, Class SJ
27.37%	02/20/31²		44,648		78,812
Ginnie Mae, Series 2004-8, Class SE
13.93%	11/26/23²		190,926		220,774
Ginnie Mae, Series 2012-7, Class PI (IO)
3.50%	01/20/38		4,714,140		458,657


					15,179,316

Total Mortgage-Backed
(Cost $114,023,441)					121,749,118


MUTUAL FUNDS — 0.52%
Blackrock Build America Bond Fund
0.01%¹⁰			51,616		970,897
Nuveen Build American Bond Fund
0.01%¹⁰			13,738		248,246


Total Mutual Funds
(Cost $1,223,962)					1,219,143


Issues	Maturity Date	Principal Amount		Value
U.S. AGENCY SECURITIES — 0.45%
U.S. Agency Securities — 0.45%
Federal Home Loan Bank (STEP)
0.75%	05/26/28	$	1,080,000	$	1,036,601

Total U.S. Agency Securities
(Cost $1,078,520)
U.S. TREASURY SECURITIES — 5.34%
U.S. Treasury Notes — 5.34%
U.S. Treasury Notes - Treasury Inflation
Indexed Notes
0.50%	04/15/15¹¹		4,390,000		4,837,483
1.25%	04/15/14¹¹		2,085,000		2,321,566
2.00%	07/15/14¹¹		4,190,000		5,326,281


Total U.S. Treasury Securities
(Cost $12,726,192)					12,485,330


Total Bonds – 88.61%
(Cost $198,133,196)					207,052,543


Issues		Shares		Value
COMMON STOCK — 0.71%
Electric — 0.22%
Dynegy, Inc.⁷
			27,210		525,697

Real Estate Investment Trust (REIT) — 0.49%
American Capital Agency Corp.
			50,407		1,137,686

Total Common Stock
(Cost $1,630,397)					1,663,383


Issues		Shares		Value
PREFERRED STOCK — 0.41%
Finance — 0.41%
Citigroup Capital XIII
0.05%			35,000		961,450

Total Preferred Stock
(Cost $875,000)

Issues	Maturity Date	Principal Amount/ Shares		Value
SHORT-TERM INVESTMENTS — 10.00%
Commercial Paper — 0.89%
RBS Holdings USA, Inc.
0.36%¹²	01/22/14		2,085,000		2,083,402

Money Market Funds — 2.00%
Dreyfus Cash Advantage Fund
0.06%¹⁰			2,334,000		2,334,000


Issues	Maturity Date			Principal Amount/ Shares		Value
SHORT-TERM INVESTMENTS (continued)
Money Market Funds (continued)
DWS Money Market Series
Institutional Funds
0.05%¹⁰				$	2,334,000	$	2,334,000


							4,668,000

U.S. Agency Discount Notes — 7.10%
Fannie Mae
0.08%¹²		01/21/14			5,035,000		5,033,747
0.09%¹²		02/19/14			3,515,000		3,514,726
Federal Home Loan Bank
0.07%¹²		10/04/13			2,100,000		2,099,997
0.08%¹²		12/17/13			2,270,000		2,269,952
0.08%¹²		02/21/14			1,400,000		1,399,889
Freddie Mac
0.06%¹²		10/15/13			2,280,000		2,279,982


							16,598,293

U.S. Treasury Bills — 0.01%
U.S. Treasury Bills
0.04%¹²		12/05/13	¹³		21,000		21,000


Total Short-Term Investments
(Cost $23,368,261)							23,370,695


Total Investments – 99.73%
(Cost $224,006,854)¹							233,048,071


Cash and Other Assets, Less
Liabilities – 0.27%							626,628


Net Assets – 100.00%						$	233,674,699


Contracts				Unrealized (Depreciation)


FUTURES CONTRACTS: SHORT POSITIONS
4	U.S. Treasury Ultra Bond
	Expiration December 2013	$(20,544	)


	Net unrealized depreciation	$(20,544	)


Expiration Date	Notional Amount (000’s)			Appreciation			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		$	333		$(4,001	)		$	(4,001	)


		$	333		$(4,001	)		$	(4,001	)

Notes:

¹	Cost for federal income tax purposes is $224,075,233 and net unrealized appreciation/(depreciation) consists of:


Gross unrealized appreciation	$	10,511,366
Gross unrealized depreciation		(1,538,528	)

Net unrealized appreciation	$	8,972,838

²	Floating rate security. The rate disclosed was in effect at September 30, 2013.

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, 2013, was $55,275,714, representing 23.65% 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
11/16/12	AMURF, Series 2012,
	Class B, 11.00%, 12/17/17		$	865,825		$	865,834		0.37	%
11/05/12	AMURF, Series 2012-I,
	Class A, 14.00%, 10/15/16			744,161			744,386		0.32	%
12/19/06	Boston Generating LLC,
	Term Loan, 1st Lien,
	0.00%, 12/20/13			107,166			–		0.00	%
04/01/11	MACH Gen LLC, Term
	Loan, 2nd Lien (PIK),
	7.77%, 02/15/15			1,134,652			761,628		0.33	%
01/25/13	Panthera Aviation, Series
	2013-1, 10.00%, 01/25/22			500,000			500,005		0.21	%
05/10/12	Texas Competitive Electric
	Holdings Co. LLC,
	Term Loan EXT, 1st Lien,
	4.71%, 10/10/17			528,044			506,355		0.22	%
06/27/13	Valeant Pharmaceuticals,
	Term Loan, 4.50%,
	05/30/20			733,442			749,906		0.32	%

			$	4,613,290		$	4,128,114		1.77	%

⁶	Illiquid security as determined under procedures approved by the Fund’s Board of Trustees. The aggregate value of illiquid securities is $89,543, which is 0.04% of total net assets.

⁷	Non-income producing security.

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

⁹	Payment-in-kind (“PIK”) security. Income may be paid in additional securities or cash at the discretion of the issuer.

¹⁰	Represents the current yield as of September 30, 2013.

¹¹	Inflation protected security. Principal amount reflects original security face amount.

¹²	Represents annualized yield at date of purchase.

¹³	Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $21,000.

^†

Fair valued security. The aggregate value of fair valued securities is $7,745,512, which is 3.31% 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 – 85.70%
ASSET-BACKED SECURITIES — 8.00%**
Access Group, Inc., Series 2005-2, Class A3
0.44%	11/22/24²	$	41,407	$	40,912
Ally Auto Receivables Trust, Series 2012-5, Class A3
0.62%	03/15/17		22,000		21,986
Aviation Capital Group Trust, Series 2003-2A, Class G2
0.98%	09/20/33^2,3		44,910		30,539
Bank of America Credit Card Trust, Series 2007-A1, Class A1
5.17%	06/15/19		20,000		22,591
Bayview Commercial Asset Trust, Series 2004-3, Class A1
0.55%	01/25/35^2,3		40,757		37,180
Brazos Higher Education Authority, Inc.,
Series 2004-I, Class A2
0.43%	06/27/22²		6,447		6,428
Brazos Higher Education Authority, Inc.,
Series 2005-2, Class A10
0.37%	12/26/19²		25,000		24,808
Brazos Higher Education Authority, Inc.,
Series 2010-1, Class A2
1.46%	02/25/35²		15,000		14,949
Brazos Higher Education Authority, Inc.,
Series 2011-2, Class A3
1.27%	10/27/36²		15,000		14,783
College Loan Corp. Trust, Series 2007-1,
Class A3
0.37%	04/25/29²		20,000		18,410
Collegiate Funding Services Education Loan Trust, Series 2004-A, Class A3
0.46%	09/28/26²		15,479		15,399
Educational Funding of the South, Inc.,
Series 2011-1, Class A2
0.92%	04/25/35²		10,000		9,955
Educational Funding of the South, Inc.,
Series 2012-1, Class A
1.23%	03/25/36²		13,206		13,218
GCO Education Loan Funding Trust,
Series 2007-1A, Class A5L
0.33%	05/25/23^2,3		27,790		27,399
Goal Capital Funding Trust, Series 2006-1,
Class A3
0.38%	11/25/26²		24,782		24,454
Iowa Student Loan Liquidity Corp.,
Series 2011-1, Class A
1.50%	06/25/42²		16,996		17,393
Nelnet Student Loan Trust, Series 2007-1,
Class A1
0.27%	11/27/18²		8,217		8,197
Nelnet Student Loan Trust, Series 2012-5A,
Class A
0.78%	10/27/36^2,3		27,617		27,493


Issues	Maturity Date	Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
North Carolina State Education Authority,
Series 2011-1, Class A3
1.17%	10/25/41²	$	15,000	$	14,413
Northstar Education Finance, Inc.
1.03%	01/29/46²		10,000		9,982
Scholar Funding Trust, Series 2011-A,
Class A
1.16%	10/28/43^2,3		10,648		10,607
SLC Student Loan Trust, Series 2006-2,
Class A5
0.35%	09/15/26²		15,000		14,658
SLM Student Loan Trust, Series 2003-12,
Class A5
0.53%	09/15/22^2,3		17,789		17,711
SLM Student Loan Trust, Series 2004-7,
Class A5
0.44%	01/27/20²		18,001		17,911
SLM Student Loan Trust, Series 2005-2,
Class A5
0.36%	04/27/20²		15,285		15,229
SLM Student Loan Trust, Series 2006-4,
Class A4
0.35%	04/25/23²		4,609		4,607
South Carolina Student Loan Corp., Series A1
0.36%	12/03/18²		5,187		5,183
South Carolina Student Loan Corp., Series A2
0.38%	12/01/20²		10,000		9,889

Total Asset-Backed Securities
(Cost $489,255)					496,284

CORPORATES — 21.92%*
Banking — 2.76%
Lloyds TSB Bank PLC (United Kingdom)
2.62%	01/24/14^2,4		70,000		70,494
National Australia Bank Ltd., Series REGS
(Australia)
0.99%	04/11/14^2,4		100,000		100,364


					170,858

Communications — 1.84%
AT&T, Inc.
2.50%	08/15/15		30,000		30,915
Qwest Corp.
7.50%	10/01/14		30,000		31,800
Verizon Communications, Inc.
1.78%	09/15/16²		50,000		51,531


					114,246

Electric — 1.30%
NextEra Energy Capital Holdings, Inc.
1.34%	09/01/15		35,000		35,138


Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Electric (continued)
Oncor Electric Delivery Co. LLC
6.80%	09/01/18	$	15,000	$	17,951
W3A Funding Corp.
8.09%	01/02/17		27,712		27,695


					80,784

Energy — 1.42%
Florida Gas Transmission Co. LLC
4.00%	07/15/15³		60,000		63,316
Petrobras Global Finance BV (Netherlands)
1.88%	05/20/16^2,4		25,000		24,900


					88,216

Finance — 7.29%
Chase Capital II, Series B
0.76%	02/01/27²		100,000		82,000
Citigroup, Inc.
1.96%	05/15/18²		102,000		106,019
General Electric Capital Corp. (MTN)
0.65%	05/05/26²		30,000		27,686
0.74%	08/15/36²		75,000		60,421
Macquarie Group Ltd. (Australia)
7.30%	08/01/14^3,4		35,000		36,761
Prudential Holdings LLC (AGM)
1.13%	12/18/17^2,3		100,000		99,198
Woodbourne Capital Trust I
2.69%	04/29/49^2,3,5		80,000		40,000


					452,085

Health Care — 0.40%
Providence Health & Services Obligated Group
1.10%	10/01/17²		25,000		25,019

Industrials — 0.57%
Heathrow Funding Ltd. (United Kingdom)
2.50%	06/25/15^3,4		35,000		35,602

Real Estate Investment Trust (REIT) — 4.52%
Brandywine Operating Partnership LP
7.50%	05/15/15		30,000		32,884
Duke Realty LP
5.40%	08/15/14		50,000		51,867
HCP, Inc.
2.70%	02/01/14		50,000		50,316
6.00%	01/30/17		30,000		33,764
Mack-Cali Realty LP
2.50%	12/15/17		25,000		24,769
Nationwide Health Properties, Inc.
6.00%	05/20/15		30,000		32,440


Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Real Estate Investment Trust (REIT) (continued)
Realty Income Corp.
5.50%	11/15/15	$	25,000	$	27,260
UDR, Inc. (MTN)
5.25%	01/15/16		25,000		26,943


					280,243

Transportation — 1.82%
Continental Airlines Pass-Through Trust, Series 1997, Class 4A
6.90%	01/02/18		105,970		112,791

Total Corporates

(Cost $1,344,053)					1,359,844

MORTGAGE-BACKED — 36.21%**
Commercial Mortgage-Backed — 7.66%
Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2006-5, Class A2
5.32%	09/10/47		29,410		29,604
Bear Stearns Commercial Mortgage Securities Trust, Series 2004-PWR4, Class A3
5.47%	06/11/41²		26,205		26,754
Bear Stearns Commercial Mortgage Securities Trust, Series 2006-T22, Class A4
5.76%	04/12/38²		30,000		32,678
Citigroup Commercial Mortgage Trust, Series 2004-C2, Class A4
4.62%	10/15/41		25,190		25,199
Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2007-CD4, Class A2B
5.20%	12/11/49		3,050		3,053
Commercial Mortgage Pass-Through Certificates, Series 2005-C6, Class A5A
5.12%	06/10/44²		33,000		35,017
Commercial Mortgage Trust, Series 2007-C9, Class A2
5.81%	12/10/49²		39,027		39,114
Credit Suisse First Boston Commercial Mortgage Trust, Series 2005-C1, Class A4
5.01%	02/15/38²		33,178		34,390
Credit Suisse First Boston Commercial Mortgage Trust, Series 2005-C3, Class A3
4.64%	07/15/37		34,186		34,248
Credit Suisse Mortgage Capital Certificates, Series 2006-C5, Class AAB
5.31%	12/15/39		17,672		17,677
GS Mortgage Securities Trust, Series 2005-GG4, Class AABA
4.68%	07/10/39		13,493		13,513


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed (continued)
JPMorgan Chase Commercial Mortgage
Securities Corp., Series 2005-LDP2,
Class A3A
4.68%	07/15/42	$	13,254	$	13,310
JPMorgan Chase Commercial Mortgage
Securities Corp., Series 2005-LPD4,
Class A4
4.92%	10/15/42²		24,854		26,243
JPMorgan Chase Commercial Mortgage
Securities Corp., Series 2006-LDP9,
Class A2S
5.30%	05/15/47		17,437		17,471
JPMorgan Chase Commercial Mortgage
Securities Corp., Series 2007-LD12,
Class ASB
5.83%	02/15/51²		25,898		27,988
Merrill Lynch Mortgage Investors, Inc.,
Series 2005-CIP1, Class A2
4.96%	07/12/38		13,527		13,620
Morgan Stanley Capital I Trust,
Series 2003-T11, Class A4
5.15%	06/13/41		965		965
Morgan Stanley Capital I Trust,
Series 2007-IQ14, Class A2FX
5.61%	04/15/49		31,452		31,636
Wachovia Bank Commercial Mortgage Trust,
Series 2005-C20, Class A7
5.12%	07/15/42²		50,000		53,002


					475,482

Non-Agency Mortgage-Backed — 16.78%
Argent Securities, Inc., Series 2005-W2,
Class A2B1
0.38%	10/25/35²		23,401		23,319
Asset-Backed Securities Corp. Home Equity,
Series 2005-HE6, Class M2
0.69%	07/25/35²		30,000		29,622
Banc of America Alternative Loan Trust,
Series 2003-4, Class 1A5
5.50%	06/25/33		35,261		37,697
Banc of America Alternative Loan Trust,
Series 2003-9, Class 1CB5
5.50%	11/25/33		34,464		34,775
Banc of America Mortgage Securities, Inc.,
Series 2003-A, Class 2A2
3.18%	02/25/33²		6,062		5,932
Bear Stearns Asset-Backed Securities Trust,
Series 2005-3, Class A1
0.63%	09/25/35²		19,079		18,828
Conseco Finance Securitizations Corp.,
Series 2000-E, Class M1
8.13%	08/15/31²		8,135		8,191


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Conseco Financial Corp., Series 1997-4,
Class A5
6.88%		02/15/29		$	26,763	$	28,332
Countrywide Alternative Loan Trust,
Series 2005-27, Class 3A2
1.25%		08/25/35²			60,633		44,084
Credit Suisse First Boston Mortgage
Securities Corp., Series 1997-2,
Class A
7.50%		06/25/20³			4,743		4,778
Credit-Based Asset Servicing and
Securitization LLC, Series 2003-CB5,
Class M1
1.20%		11/25/33²			32,181		29,978
Downey Savings & Loan Association
Mortgage Loan Trust, Series 2004-AR1,
Class A2A
1.00%		09/19/44²			39,871		36,605
Downey Savings & Loan Association
Mortgage Loan Trust, Series 2004-AR3,
Class 2A2A
0.55%		07/19/44²			11,262		10,243
Fremont Home Loan Trust, Series 2005-2,
Class M1
0.64%		06/25/35²			26,829		26,791
Green Tree Home Improvement Loan Trust,
Series 1995-F, Class B2
7.10%		01/15/21			16,990		16,985
GSAMP Trust, Series 2005-HE4, Class M1
0.63%		07/25/45²			30,918		30,677
Home Equity Loan Trust, Series 2006-1,
Class A1
0.34%		01/20/36²			14,750		14,432
Home Equity Loan Trust, Series 2006-2,
Class A1
0.33%		03/20/36²			54,906		53,955
Home Equity Loan Trust, Series 2007-3,
Class APT
1.38%		11/20/36²			28,694		28,633
Household Home Equity Loan Trust,
Series 2005-3, Class A1
0.44%		01/20/35²			30,653		30,169
Indymac Index Mortgage Loan Trust,
Series 2004-AR5, Class 2A1A
1.04%		08/25/34²			19,683		16,477
JPMorgan Mortgage Acquisition Corp.,
Series 2005-OPT1, Class M1
0.63%		06/25/35²			32,271		31,747
LB-UBS Commercial Mortgage Trust,
Series 2005-C5, Class A4
4.95%		09/15/30			25,000		26,350
Lehman XS Trust, Series 2006-2N,
Class 1A1
0.44%		02/25/46	²		54,308		37,350


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
MASTR Asset-Backed Securities Trust,
Series 2005-HE1, Class M2
0.63%	05/25/35²	$	26,899	$	26,841
Morgan Stanley Capital I Trust,
Series 2005-NC2, Class M2
0.60%	03/25/35²		31,024		30,743
Morgan Stanley Capital, Inc.,
Series 2005-HE6, Class A2C
0.50%	11/25/35²		29,757		28,959
New Century Home Equity Loan Trust,
Series 2005-2, Class M1
0.61%	06/25/35²		30,000		29,395
New Century Home Equity Loan Trust,
Series 2005-3, Class M2
0.67%	07/25/35²		40,000		37,463
Park Place Securities, Inc.,
Series 2005-WHQ2, Class A1B
0.45%	05/25/35²		32,399		32,037
Residential Asset Mortgage Products, Inc.,
Series 2003-RZ3, Class A6 (STEP)
3.90%	03/25/33		29,712		29,850
Residential Asset Mortgage Products, Inc.,
Series 2004-SL1, Class A2
8.50%	11/25/31		7,996		8,061
Residential Asset Mortgage Products, Inc.,
Series 2006-EFC1, Class A2
0.38%	02/25/36²		20,893		20,774
Residential Asset Securities Corp.,
Series 2005-KS12, Class A2
0.43%	01/25/36²		11,172		11,067
Soundview Home Equity Loan Trust,
Series 2005-OPT1, Class 2A4
0.48%	06/25/35²		4,788		4,785
Structured Asset Securities Corp.,
Series 2005-WF4, Class A4
0.54%	11/25/35²		29,504		29,438
Terwin Mortgage Trust, Series 2004-13AL,
Class 2PX (IO)
0.34%	08/25/34^3,5		7,864,972		116,096
WaMu Mortgage Pass-Through Certificates,
Series 2002-AR6, Class A
1.56%	06/25/42²		10,542		9,621


					1,041,080

U.S. Agency Mortgage-Backed — 11.77%
Fannie Mae Pool 646884
1.92%	05/01/32²		68,807		69,774
Fannie Mae Pool 802665
2.24%	12/01/34²		4,002		4,028
Fannie Mae Pool AL0851
6.00%	10/01/40		21,922		24,069


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae REMICS, Series 2003-11,
Class FA
1.18%	09/25/32²	$	28,350	$	28,940
Fannie Mae Whole Loan, Series 2003-W6,
Class F
0.53%	09/25/42²		92,574		91,726
Fannie Mae, Series 1997-91, Class SL (IO)
7.50%	11/25/23²		137,424		25,735
Fannie Mae, Series 2004-33, Class MW
4.50%	01/25/30		31,236		32,178
Fannie Mae, Series 2008-47, Class PF
0.68%	06/25/38²		28,542		28,745
Fannie Mae, Series 2010-109, Class PF
0.58%	10/25/40²		27,811		27,909
Fannie Mae, Series G-36, Class ZB
7.00%	11/25/21		1,775		2,036
Freddie Mac REMICS, Series 2581,
Class F
0.63%	12/15/32²		21,176		21,229
Freddie Mac REMICS, Series 2684,
Class F
1.08%	01/15/33²		30,684		31,274
Freddie Mac REMICS, Series 3831,
Class PV
5.00%	05/15/25		61,783		66,479
Freddie Mac Strips, Series 263, Class F5
0.68%	06/15/42²		52,488		52,656
Freddie Mac, Series 3501, Class JA
4.00%	04/15/37		48,326		49,951
Freddie Mac-Ginnie Mae, Series 2, Class L
8.00%	11/25/22		8,032		8,676
NCUA Guaranteed Notes, Series 2010-R1,
Class 1A
0.63%	10/07/20²		63,428		63,836
NCUA Guaranteed Notes, Series 2010-R3,
Class 1A
0.74%	12/08/20²		54,093		54,803
NCUA Guaranteed Notes, Series 2011-R5,
Class 1A
0.56%	04/06/20²		45,963		46,064


					730,108

Total Mortgage-Backed
(Cost $2,223,215)					2,246,670

MUNICIPAL BONDS — 1.24%*
California — 0.84%
State of California, Taxable, Various Purpose
4.85%	10/01/14		50,000		52,012


Issues	Maturity Date	Principal Amount		Value
MUNICIPAL BONDS (continued)
Illinois — 0.40%
State of Illinois, Taxable Bonds
4.07%	01/01/14	$	25,000	$	25,202

Total Municipal Bonds
(Cost $75,457)					77,214

U.S. AGENCY SECURITIES — 9.02%
Fannie Mae
0.50%	10/22/15		30,000		30,008
0.50%	01/15/16		65,000		64,898
0.50%	01/29/16		65,000		64,945
0.63%	05/23/16		65,000		64,909
0.65%	03/28/16		50,000		49,962
Federal Home Loan Bank
0.16%	11/15/13²		65,000		65,011
0.50%	01/08/16		65,000		64,937
0.55%	06/03/16		30,000		29,881
Freddie Mac
0.50%	09/14/15		65,000		64,982
0.60%	03/28/16		30,000		29,988
0.75%	10/05/16		30,000		29,924

Total U.S. Agency Securities
(Cost $559,941)					559,445


U.S. TREASURY SECURITIES — 9.31%

U.S. Treasury Notes — 9.31%
U.S. Treasury Notes - Treasury Inflation
Indexed Notes
0.50%	04/15/15⁶		175,000		192,838
1.25%	04/15/14⁶		100,000		111,346
2.00%	07/15/14⁶		215,000		273,306


					577,490

Total U.S. Treasury Securities
(Cost $587,195)
Total Bonds – 85.70%
(Cost $5,279,116)					5,316,947


Issues	Maturity Date	Principal Amount/ Shares		Value
SHORT-TERM INVESTMENTS — 10.69%
Money Market Funds — 2.06%
Dreyfus Cash Advantage Fund
0.06%⁷			64,000		64,000
DWS Money Market Series Institutional Funds
0.05%⁷			64,000		64,000


					128,000


Issues	Maturity Date	Principal Amount/ Shares		Value
SHORT-TERM INVESTMENTS (continued)
U.S. Agency Discount Notes — 7.50%
Fannie Mae
0.06%⁸	02/12/14	$	100,000	$	99,993
0.08%⁸	12/04/13		35,000		34,999
0.08%⁸	01/03/14		100,000		99,997
Federal Home Loan Bank
0.07%⁸	11/13/13		100,000		99,998
Freddie Mac
0.06%⁸	10/15/13		65,000		64,999
0.09%⁸	01/14/14		65,000		64,999


					464,985

U.S. Treasury Bills — 1.13%
U.S. Treasury Bills
0.04%⁸	12/05/13⁹		70,000		70,000


Total Short-Term Investments
(Cost $662,920)					662,985


Total Investments – 96.39%
(Cost $5,942,036)¹					5,979,932


Cash and Other Assets, Less Liabilities – 3.61%					224,054


Net Assets – 100.00%				$	6,203,986


Contracts				Unrealized (Depreciation)
FUTURES CONTRACTS: LONG POSITIONS


4	S&P 500 E Mini Index,
	Expiration December 2013	$(19)
3	S&P 500 Index,
	Expiration December 2013	(583)



	Net unrealized (depreciation)	$(602)


	Expiration Date	Notional Amount (000’s)	Appreciation		Value
SWAPS: TOTAL RETURN
The Fund pays a floating rate based on 1-month USD LIBOR plus 31 basis points and the Fund receives from the counterparty the price return on the Standard & Poor’s 500 Total Return Index. Counterparty: Barclays, Inc.
	10/03/13	$ 4		$139,566		$139,566


		$ 4		$139,566		$139,566

Notes:

¹	Cost for federal income tax purposes is $5,942,792 and net unrealized appreciation/ (depreciation) consists of:


Gross unrealized appreciation	$	254,104
Gross unrealized depreciation		(216,964	)

Net unrealized appreciation	$	37,140

²	Floating rate security. The rate disclosed was in effect at September 30, 2013.

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 $156,096, which is 2.52% of total net assets.

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

⁷	Represents the current yield as of September 30, 2013.

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 $69,999.

The Metropolitan West 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”). Metropolitan West 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 nine separate portfolios (each a “Fund” and collectively, the “Funds”): Metropolitan West Ultra Short Bond Fund (the “Ultra Short Bond Fund”), Metropolitan West Low Duration Bond Fund (the “Low Duration Bond Fund”), Metropolitan West Intermediate Bond Fund (the “Intermediate Bond Fund”), Metropolitan West Total Return Bond Fund (the “Total Return Bond Fund”), Metropolitan West High Yield Bond Fund (the “High Yield Bond Fund”), Metropolitan West Unconstrained Bond Fund (the “Unconstrained Bond Fund”), Metropolitan West Floating Rate Income Fund (the “Floating Rate Income Fund”), Metropolitan West Strategic Income Fund (the “Strategic Income Fund”) and Metropolitan West Alpha Trak 500 Fund (the “Alpha Trak 500 Fund”). The Ultra Short Bond Fund commenced investment operations on June 30, 2003 with the Class M shares. Class I was added on July 31, 2004. 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 Intermediate Bond Fund commenced investment operations on June 28, 2002 with the Class I shares. Class M was added on June 30, 2004. The Total Return Bond Fund commenced investment operations on March 31, 1997 with the Class M shares. Class I was added on March 31, 2000; Administrative Class was added on December 18, 2009; and the Plan Class added on August 1, 2011. The High Yield Bond Fund commenced investment operations on September 30, 2002 with Class M shares. Class I was added on March 31, 2003. The Unconstrained Bond Fund commenced investment operations on October 1, 2011 with Class M and Class I shares. The Floating Rate Income Fund commenced investment operation on June 28, 2013 with Class M and Class I shares. The Strategic Income Fund commenced investment operations on June 30, 2003 with Class M shares. Class I was added on March 31, 2004. The Alpha Trak 500 Fund commenced investment operations on June 29, 1998 with Class M shares.

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 Floating Rate Income Fund seeks primarily to maximize current income with a secondary objective of long term capital appreciation.

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 Metropolitan West (“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 are subject to examination by U.S. federal and state tax authorities for returns files for the prior three and four fiscal years, respectively.

As of and during the period ended September 30, 2013, 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 June 2013, the Financial Accounting Standards Board (the “FASB”) issued guidance that creates a two-tiered approach to assess whether an entity is an investment company. The guidance will also require an investment company to measure non controlling ownership interests in other investment companies at fair value and will require additional disclosures relating to investment company status, any changes thereto and information about financial support provided or contractually required to be provided to any of the investment company’s investees. The guidance is effective for financial statements with fiscal years beginning on or after December 15, 2013 and interim periods within those fiscal years. Management is evaluating the impact of this guidance on the Fund’s financial statement disclosures.

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:

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

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

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

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

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

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

Money market funds. Money market funds are open-ended mutual 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.

Short-term investments. Short-term investments (commercial paper and repurchase agreements) having a maturity of 60 days or less generally are valued at amortized cost which approximates fair market value. These investments are categorized as Level 2 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. and Foreign government and agency securities. U.S. and Foreign 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. Some government securities are actively traded and transparent in the market place. As such, they can be level 1. Other government and agencies securities are quoted based in similar securities and yields and therefore, would be in level 2.

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.

Foreign currency contracts. The fair value of foreign currency contracts are derived from indices, reference rates, and other inputs or a combination of these factors. These contracts are normally valued on the basis of broker dealer quotations or by pricing service providers. Depending on the product and the terms of the transaction, the value of financial derivatives can be estimated by a pricing service provider using a series of techniques, including simulation pricing models. The pricing models use inputs that are observed from actively quoted markets such as indices and exchange rates. Foreign currency contracts are categorized as Level 2 of the fair value hierarchy.

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 and Swaptions 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 and swaptions 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 options and swaptions 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, 2013, Level 3 securities consist of certain asset-backed securities, bank loans, collateralized mortgage obligations and corporate bonds.

The summary of inputs used to value each Fund’s net assets as of September 30, 2013 is as follows:

ULTRA SHORT BOND FUND

LEVEL 1

LEVEL 2

LEVEL 3

TOTAL

Investments in Securities

Assets

Short-Term Investments:

Commercial Paper

$–

$2,453,720

$–

$2,453,720

Money Market Funds

3,762,000

–

3,762,000

U.S. Agency Discount Notes

–

21,624,412

–

21,624,412

Long-Term Investments:

Asset-Backed Securities

–

2,602,502

–

2,602,502

Bank Loans

–

640,125

–

640,125

Corporates

–

24,549,637

–

24,549,637

Foreign Government Obligations

–

644,892

–

644,892

Mortgage-Backed

–

111,445,444

80,514

111,525,958

Municipal Bonds

–

1,242,391

–

1,242,391

U.S. Agency Securities

–

6,590,267

–

6,590,267

U.S. Treasury Securities

11,618,517

–

11,618,517

Total

$15,380,517

$171,793,390

$80,514

$187,254,421


LOW DURATION BOND FUND	LEVEL 1		LEVEL 2			LEVEL 3		TOTAL
Investments in Securities
Assets
Short-Term Investments:
Commercial Paper		$–		$66,734,288			$–		$66,734,288
Money Market Funds		64,978,000		–			–		64,978,000
Repurchase Agreements		–		120,000,000			–		120,000,000
U.S. Agency Discount Notes		–		419,973,242			–		419,973,242
Long-Term Investments:
Asset-Backed Securities		–		271,213,984			–		271,213,984
Bank Loans		–		31,000,495			–		31,000,495
Corporates		–		652,751,711			797,500		653,549,211
Foreign Government Obligations		–		18,065,458			–		18,065,458
Mortgage-Backed		–		1,355,462,238			5,454,643		1,360,916,881
Municipal Bonds		–		22,427,097			–		22,427,097
U.S. Agency Securities		–		94,392,456			–		94,392,456
U.S. Treasury Securities		184,912,253		–			–		184,912,253
Other Financial Instruments *
Liabilities:
Interest rate contracts		–		(12,096	)		–		(12,096	)

Total		$249,890,253		$3,052,008,873			$6,252,143		$3,308,151,269

*Other financial instruments include swaptions. Interest rate contracts include swaptions.


INTERMEDIATE BOND FUND	LEVEL 1			LEVEL 2			LEVEL 3		TOTAL
Investments in Securities
Assets
Short-Term Investments:
Commercial Paper	$	–		$	6,342,085		$	–	$	6,342,085
Money Market Funds		6,331,000			–			–		6,331,000
U.S. Agency Discount Notes		–			58,062,319			–		58,062,319
U.S. Treasury Bills		80,000			–			–		80,000
Long-Term Investments:
Asset-Backed Securities		–			27,720,864			–		27,720,864
Bank Loans		–			743,364			–		743,364
Corporates		–			80,072,342			–		80,072,342
Mortgage-Backed		–			186,459,856			–		186,459,856
Municipal Bonds		–			5,236,178			–		5,236,178
U.S. Agency Securities		–			9,892,759			–		9,892,759
U.S. Treasury Securities		56,546,045			–			–		56,546,045
Other Financial Instruments *
Assets:
Interest rate contracts		–			155,013			–		155,013
Liabilities:
Interest rate contracts		(61,810	)		(1,428	)		–		(63,238	)

Total	$	62,895,235		$	374,683,352		$	–	$	437,578,587

*Other financial instruments include futures, swap contracts and swaptions. Interest rate contracts include futures, interest rate swaps and swaptions.


TOTAL RETURN BOND FUND	LEVEL 1			LEVEL 2			LEVEL 3		TOTAL
Investments in Securities
Assets
Short-Term Investments:
Commercial Paper	$	–		$	367,998,886		$	–	$	367,998,886
Money Market Funds		113,485,000			–			–		113,485,000
Repurchase Agreements		–			80,000,000			–		80,000,000
U.S. Treasury Bills		7,596,985			–			–		7,596,985
Long-Term Investments:
Asset-Backed Securities		–			1,515,286,484			71,155,699		1,586,442,183
Bank Loans		–			176,917,528			14,270,196		191,187,724
Common Stock		24,251,426			–			–		24,251,426
Corporates		–			4,681,136,601			2,759,100		4,683,895,701
Foreign Government Obligations		–			79,380,311			–		79,380,311
Mortgage-Backed		–			13,333,908,847			36,027,078		13,369,935,925
Municipal Bonds		–			524,160,416			–		524,160,416
Purchased Swaptions		–			58,914,601			–		58,914,601
U.S. Agency Securities		–			303,542,125			–		303,542,125
U.S. Treasury Securities		6,477,848,017			–			–		6,477,848,017
Other Financial Instruments *
Assets:
Interest rate contracts		5,750,413			79,645,649			–		85,396,062
Liabilities:
Credit contracts		–			(194,593	)		–		(194,593	)
Interest rate contracts		(1,690,065	)		(41,094,369	)		–		(42,784,434	)

Total	$	6,627,241,776		$	21,159,602,486		$	124,212,073	$	27,911,056,335

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


HIGH YIELD BOND FUND	LEVEL 1		LEVEL 2		LEVEL 3			TOTAL
Investments in Securities
Assets
Short-Term Investments:
Money Market Funds	$	44,116,000	$	–	$	–		$	44,116,000
Repurchase Agreements		–		50,000,000		–			50,000,000
U.S. Agency Discount Notes		–		55,333,585		–			55,333,585
U.S. Treasury Bills		183,000		–		–			183,000
Long-Term Investments:
Asset-Backed Securities		–		31,721,209		–			31,721,209
Bank Loans		–		236,741,799		3,567,284	^*		240,309,083
Common Stock		14,600,252		–		–			14,600,252
Corporates		–		1,744,632,072		539,545			1,745,171,617
Mortgage-Backed		–		424,525		29			424,554
Preferred Stock		–		7,353,774		–			7,353,774
U.S. Treasury Securities		6,451,017		–		–			6,451,017

Total	$	65,350,269	$	2,126,206,964	$	4,106,858		$	2,195,664,091

*As of September 30, 2013, Boston Generating LLC, Term Loan 1st Lien had a $0 market value.


UNCONSTRAINED BOND FUND	LEVEL 1			LEVEL 2		LEVEL 3		TOTAL
Investments in Securities
Assets
Short-Term Investments:
Commercial Paper	$	–		$	5,137,205	$	–	$	5,137,205
Money Market Funds		10,046,000			–		–		10,046,000
U.S. Agency Discount Notes		–			89,300,372		–		89,300,372
U.S. Treasury Bills		996,998			–		–		996,998
Long-Term Investments:
Asset-Backed Securities		–			58,810,553		642,882		59,453,435
Bank Loans		–			2,304,829		–		2,304,829
Common Stock		3,688,277			–		–		3,688,277
Corporates		–			112,487,742		–		112,487,742
Foreign Government Obligations		–			3,080,036		–		3,080,036
Mortgage-Backed		–			188,724,961		103,168		188,828,129
Municipal Bonds		–			3,748,767		–		3,748,767
Mutual Funds		2,108,380			–		–		2,108,380
U.S. Agency Securities		–			4,541,464		–		4,541,464
U.S. Treasury Securities		7,249,072			–		–		7,249,072
Other Financial Instruments *
Assets:
Credit contracts		–			44,754		–		44,754
Liabilities:
Interest rate contracts		(729,274	)		–		–		(729,274	)

Total	$	23,359,453		$	468,180,683	$	746,050	$	492,286,186

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


FLOATING RATE INCOME FUND*	LEVEL 1		LEVEL 2		LEVEL 3		TOTAL
Investments in Securities
Assets
Short-Term Investments:
Money Market Funds	$	1,611,000	$	–	$	–	$	1,611,000
U.S. Agency Discount Notes		–		18,774,060		–		18,774,060
Long-Term Investments:
Bank Loans		–		57,012,081		–		57,012,081
Corporates		–		12,596,735		–		12,596,735

Total	$	1,611,000	$	88,382,876	$	–	$	89,993,876


STRATEGIC INCOME FUND	LEVEL 1			LEVEL 2			LEVEL 3				TOTAL
Investments in Securities
Assets
Short-Term Investments:
Commercial Paper		$	–		$	2,083,402		$	–			$	2,083,402
Money Market Funds			4,668,000			–			–				4,668,000
U.S. Agency Discount Notes			–			16,598,293			–				16,598,293
U.S. Treasury Bills			21,000			–			–				21,000
Long-Term Investments:
Asset-Backed Securities			–			37,517,069			2,175,866				39,692,935
Bank Loans			–			2,402,685			–	**			2,402,685
Common Stock			1,663,383			–			–				1,663,383
Corporates			–			28,443,231			23,500				28,466,731
Mortgage-Backed			–			121,748,717			401				121,749,118
Mutual Funds			1,219,143			–			–				1,219,143
Preferred Stock			–			961,450			–				961,450
U.S. Agency Securities			–			1,036,601			–				1,036,601
U.S. Treasury Securities			12,485,330			–			–				12,485,330
Other Financial Instruments *
Liabilities:
Interest rate contracts			(20,544)			–			–				(20,544)
Equity contracts			–			(4,001)			–				(4,001)

Total		$	20,036,312		$	210,787,447		$	2,199,767			$	233,023,526

*Other financial instruments include futures and swap contracts. Interest rate contracts include futures. Equity contracts include total return swaps.

**As of September 30, 2013, Boston Generating LLC, Term Loan 1st Lien had a $0 market value.


ALPHATRAK 500 FUND	LEVEL 1			LEVEL 2			LEVEL 3			TOTAL
Investments in Securities
Assets
Short-Term Investments:
Money Market Funds		$	128,000		$	–		$	–		$	128,000
U.S. Agency Discount Notes			–			464,985			–			464,985
U.S. Treasury Bills			70,000			–			–			70,000
Long-Term Investments:
Asset-Backed Securities			–			496,284			–			496,284
Corporates			–			1,319,844			40,000			1,359,844
Mortgage-Backed			–			2,130,574			116,096			2,246,670
Municipal Bonds			–			77,214			–			77,214
U.S. Agency Securities			–			559,445			–			559,445
U.S. Treasury Securities			577,490			–			–			577,490
Other Financial Instruments *
Assets:
Equity contracts			–			139,566			–			139,566

Liabilities:
Equity contracts			(602)			–			–			(602)

Total		$	774,888		$	5,187,912		$	156,096		$	6,118,896

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

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.

There were no financial assets transferred between levels for the six months ended September 30, 2013.

For the six months ended September 30, 2013, a reconciliation of level 3 investments is presented when the Fund had a significant amount of 1evel 3 investments at the beginning and/or end of the period in relation to net assets.The following tables are a reconciliation of level 3 investments for which significant unobservable inputs were used in determining fair value:

* The change in unrealized appreciation/(depreciation) on securities still held at September 30, 2013 was $ 15,905 and is included in the related realized gains/(losses) and net change in appreciation/(depreciation) in the statements of operations.

** Transfers into and transfers out of level 3 represent the values as of the end of the reporting period. As of September 30, 2013, the Fund used unobservable inputs in determining the value of certain investments. As of September 30, 2013, the Fund used significant observable inputs in determining the value of the same investments. As a result, investments with a end of period value of $0 transferred from level 2 to level 3 in the disclosure hierarchy.


LOW DURATION BOND FUND	ASSET-BACKED SECURITIES				CORPORATES				MORTGAGE-BACKED SECURITIES

Balance as of
April 1, 2013		$	4,160,478			$	813,450			$	3,839,878
Accrued discounts/premiums			–				46				–
Realized gain/(loss)			23				–				(117,967	)
Change in unrealized appreciation^*			(1,416	)			(15,996	)			1,732,732
Purchases			–				–				–
Sales			(4,159,085	)			–				–
Transfers into Level 3^**			–				–
Transfers out of Level 3^**			–				–				–

Balance as of
September 30, 2013		$	–			$	797,500			$	5,454,643

* The change in unrealized appreciation/(depreciation) on securities still held at September 30, 2013 was $ 1,716,736 and is included in the related realized gains/(losses) and net change in appreciation/(depreciation) in the statements of operations.


TOTAL RETURN BOND FUND	ASSET-BACKED SECURITIES			BANK LOANS			CORPORATES			MORTGAGE-BACKED SECURITIES
Balance as of
April 1, 2013	$	109,382,430		$	15,347,377		$	3,063,625		$	42,639,350
Accrued discounts/premiums		124			16,146			3,433			–
Realized (loss)		(1,970,439	)		(1,067,964	)		–			(3,747,269	)
Change in unrealized appreciation/(depreciation)^*		(151,640	)		(25,363	)		(307,958	)		(2,865,003	)
Purchases		–			–			–			–
Sales		(36,104,776	)		–			–			–
Transfers into Level 3^**		–			–			–			–
Transfers out of Level 3^**		–			–			–			–

Balance as of
September 30, 2013	$	71,155,699		$	14,270,196		$	2,759,100		$	36,027,078

* The change in unrealized appreciation/(depreciation) on securities still held at September 30, 2013 was $ 469,800 and is included in the related realized gains/(losses) and net change in appreciation/(depreciation) in the statements of operations.

HIGH YIELD

BOND FUND

BANK
LOANS

CORPORATE
BONDS

MORTGAGE-BACKED
SECURITIES

Balance as of

April 1, 2013

3,836,574

***

658,775

Realized (loss)

(262,950

)

–

Change in unrealized appreciation/ (depreciation)^*

(6,340

)

(119,230

)

–

Purchases

–

Sales

–

Transfers into Level 3^**

–

Transfers out of Level 3^**

–

Balance as of

September 30, 2013

3,567,284

***

539,545

* The change in unrealized appreciation/(depreciation) on securities still held at September 30, 2013 was $ 0 and is included in the related realized gains/(losses) and net change in appreciation/(depreciation) in the statements of operations.

*** As of September 30, 2013 and March 31, 2013, Boston Generating LLC, Term Loan 1st Lien had a $ 0 market value.


UNCONSTRAINED BOND FUND	ASSET-BACKED SECURITIES				MORTGAGE-BACKED SECURITIES

Balance as of April 1, 2013		$	703,410			$	118,466
Realized (loss)			(33,486	)			(9,466	)
Change in unrealized appreciation^*			(413	)			(5,832	)
Purchases			–				–
Sales			(26,629	)			–
Transfers into Level 3^**			–				–
Transfers out of Level 3^**			–				–

Balance as of September 30, 2013		$	642,882			$	103,168


STRATEGIC INCOME FUND	ASSET-BACKED SECURITIES				BANK LOANS				CORPORATES				MORTGAGE-BACKED SECURITIES				PREFERRED STOCK SECURITIES

Balance as of April 1, 2013		$	3,327,677			$	–	***		$	29,375			$	353			$	1
Realized (loss)			(243,198	)			–				–				–				–
Change in unrealized appreciation/ (depreciation)^*			(25,556	)			–				(5,875	)			85				2,892
Purchases			–				–				–				–				–
Sales			(883,057	)			–				–				(37	)			(2,893	)
Transfers into Level 3^**			–				–				–				–				–
Transfers out of Level 3^**			–				–				–				–				–

Balance as of September 30, 2013		$	2,175,866			$	–	***		$	23,500			$	401			$	–

* The change in unrealized appreciation/(depreciation) on securities still held at September 30, 2013 was $ 51,490 and is included in the related realized gains/(losses) and net change in appreciation/(depreciation) in the statements of operations.

*** As of September 30, 2013 and March 31, 2013, Boston Generating LLC, Term Loan 1st Lien had a $ 0 market value.

ALPHATRAK

500 FUND

CORPORATES

MORTGAGE-BACKED
SECURITIES

Balance as of April 1, 2013

40,800

102,790

Realized (loss)

–

(9,811

)

Change in unrealized appreciation^*

(800

)

23,117

Purchases

–

Sales

–

Transfers into Level 3^**

–

Transfers out of Level 3^**

–

Balance as of September 30, 2013

40,000

116,096

* The change in unrealized appreciation/(depreciation) on securities still held at September 30, 2013 was $ 22,317 and is included in the related realized gains/(losses) and net change in appreciation/(depreciation) in the statements of operations.

Significant unobservable valuations inputs for Level 3 investments as of September 30, 2013, are as follows:

STRATEGIC INCOME FUND

FAIR VALUE
AT 9/30/2013

VALUATION

TECHNIQUE*

UNOBSERVABLE
INPUT

RANGE

WEIGHTED
AVERAGE

Asset-Backed Securities

$2,175,866

Methods of Comparables/Consensus Pricing

Offered Quote

20.00 - 100.03

97.60

Bank Loans

$–

Methods of Comparables/Consensus Pricing

Offered Quote

–

Corporate Securities

$23,500

Methods of Comparables/Consensus Pricing

Offered Quote

2.00

Mortgage-Backed
Securities-Non-Agency

$401

Methods of Comparables/Consensus Pricing

Offered Quote

1.00 - 8.00

7.98

ALPHATRAK 500 FUND

FAIR VALUE
AT 9/30/2013

VALUATION

TECHNIQUE*

UNOBSERVABLE
INPUT

RANGE

WEIGHTED
AVERAGE

Corporate Securities

$40,000

Methods of Comparables/Consensus Pricing

Offered Quote

50.00

Mortgage-Backed Securities-
Non Agency

$116,096

Methods of Comparables/Consensus Pricing

Offered Quote

1.48

* The Methods of Comparables/Consensus Pricing valuation technique for Level 3 securities involves gathering observable and unobservable data related to securities that exhibit characteristics that are comparable to that of the Level 3 security, and using such information as an input into the valuation of the Level 3 security. Such observable and unobservable data may include offered quotes (prices offered to the Fund by potential buyers in the market), broker quotes, and vendor prices for the comparable securities.

Investments classified within Level 3 of the fair value hierarchy may be fair valued by the Advisor with consent by the Fund’s Pricing Committee in accordance with procedures approved by the Board of Trustees, and under the general oversight of the Board of Trustees. The Fund’s Pricing Committee employs various methods to determine fair valuations including a regular review of key inputs and assumptions and review of any related market activity. The Fund’s Pricing Committee reports to the Board of Trustees at their regularly scheduled meetings. It is possible that fair value prices will be used by the Fund to a significant extent. The value determined for an investment using the Fund’s fair value procedures may differ from recent market prices for the investment and may be significantly different from the value realized upon the sale of such investment. The Advisor, as part of the daily process, conducts back-testing of prices based on daily trade activities.

The Pricing Committee consists of the Chief Risk Officer, Chief Compliance Officer, Treasurer, Assistant Treasurer, Secretary, and a representative from the portfolio management team as well as alternate members as the Board of Trustees may from time to time designate. The Pricing Committee reviews and makes recommendations concerning the fair valuation of portfolio securities and the Fund’s pricing procedures in general.

The following is a summary of the location of derivative instruments on the Funds’ statements of assets and liabilities as of September 30, 2013:


	LOCATION ON THE STATEMENTS OF ASSETS AND LIABILITIES

DERIVATIVE TYPE	ASSET DERIVATIVES	LIABILITY DERIVATIVES

Interest rate contracts	Unrealized appreciation on swap contracts Premiums paid for swap contracts	Unrealized depreciation on swap contracts Premiums received on swap contracts
	Receivable for daily variation margin	Payable for daily variation margin

Credit contracts	Unrealized appreciation on swap contracts Premiums paid for swap contracts	Unrealized depreciation on swap contracts Premiums received for swap contracts

Equity contracts	Unrealized appreciation on swap contracts Premiums paid for swap contracts	Unrealized depreciation on swap contracts Premiums received for swap contracts
	Receivable for daily variation margin	Payable for daily variation margin

Foreign currency exchange contracts	Unrealized appreciation on foreign currency exchange contracts	Unrealized depreciation on foreign currency exchange contracts

The following is a summary of the Funds’ derivative instrument holdings categorized by primary risk exposure as of September 30, 2013:


				ASSET DERIVATIVE INVESTMENTS

	ULTRA SHORT BOND FUND			LOW DURATION BOND FUND			INTERMEDIATE BOND FUND			TOTAL RETURN BOND FUND
Interest contracts:
Futures¹		$	–		$	–		$	–		$	5,750,413
Swaps			–			–			155,013			79,645,649

Total		$	–		$	–		$	155,013		$	85,396,062

ASSET DERIVATIVE INVESTMENTS

HIGH YIELD
BOND FUND

UNCONSTRAINED
BOND FUND

FLOATING RATE
INCOME FUND^*

STRATEGIC
INCOME FUND

ALPHATRAK
500 FUND

Credit contracts:

Swaps

$–

$44,754

$–

–

Equity contracts:

Swaps

–

139,566

Total

$–

$44,754

$–

139,566

¹Includes cumulative appreciation/(depreciation) of financial futures contracts as reported in the Schedule of Portfolio Investments. Only current day’s margin variation is reported within the statements of assets and liabilities.


				LIABILITY DERIVATIVE INVESTMENTS

	ULTRA SHORT BOND FUND			LOW DURATION BOND FUND				INTERMEDIATE BOND FUND				TOTAL RETURN BOND FUND
Credit contracts:
Swaps		$	–		$	–			$	–			$	(194,593	)
Interest contracts:
Futures¹			–			–				(61,810	)			(1,690,065	)
Swaps			–			–				–				(41,016,326	)
Swaptions			–			(12,096	)			(1,428	)			(78,043	)

Total		$	–		$	(12,096	)		$	(63,238	)		$	(42,979,027	)


	LIABILITY DERIVATIVE INVESTMENTS

	HIGH YIELD BOND FUND			UNCONSTRAINED BOND FUND				FLOATING RATE INCOME FUND^*			STRATEGIC INCOME FUND				ALPHATRAK 500 FUND
Equity contracts:
Futures¹		$	–		$	–			$	–		$	–			$	(602	)
Swaps			–			–				–			(4,001	)			–
Interest contracts:
Futures¹			–			(729,274	)			–			(20,544	)			–

Total		$	–		$	(729,274	)		$	–		$	(24,545	)		$	(602	)

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, 2013:


	REALIZED GAIN/(LOSS) ON DERIVATIVES RECOGNIZED IN THE STATEMENTS OF OPERATIONS

	ULTRA SHORT BOND FUND			LOW DURATION BOND FUND				INTERMEDIATE BOND FUND				TOTAL RETURN BOND FUND
Credit contracts:
Swaps		$	–		$	–			$	–			$	6,551,306
Interest contracts:
Futures			–			–				(39,357	)			(17,433,727	)
Swaps			–			–				–				(2,421,597	)
Swaptions			–			–				–				9,830,966
Foreign currency exchange contracts:
Forwards			–			(166,138	)			10,561				(3,798,568	)

Total		$	–		$	(166,138	)		$	(28,796	)		$	(7,271,620	)

¹Includes cumulative appreciation/depreciation of financial futures contracts as reported in the Schedule of Investments.

A derivative contract may suffer a mark to market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract.

A Fund’s risk of loss from counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by such Fund. For OTC options purchased, each Fund bears the risk of loss of the amount of the premiums paid plus the positive change in market values net of any collateral held by such Fund should the counterparty fail to perform under the contracts. Options written by the Funds do not typically give rise to counterparty credit risk, as options written generally obligate the Funds, and not the counterparty to perform.

With exchange traded purchased options and futures and centrally cleared swaps, there is less counterparty credit risk to the Funds since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, the credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, a Fund does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency) of the clearing broker or clearinghouse. Additionally, credit risk exists in exchange traded futures and centrally cleared swaps with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Funds.

In order to better define its contractual rights and to secure rights that will help the Funds mitigate their counterparty risk, a Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between each Fund and a counterparty that governs OTC derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, each Fund may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events. In addition, certain ISDA Master Agreements allow counterparties to OTC derivatives to terminate derivative contracts prior to maturity in the event a Fund’s net assets decline by a stated percentage or the Fund fails to meet the terms of its ISDA Master Agreements, which would cause the Fund to accelerate payment of any net liability owed to the counterparty.

For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark to market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by a Fund and the counterparty.

Cash collateral that has been pledged to cover obligations of a Fund and cash collateral received from the counterparty, if any, is reported separately on the Statements of Assets and Liabilities as cash pledged as collateral and cash received as collateral, respectively. Non-cash collateral pledged by a Fund, if any, is noted in the Schedules of Investments. Generally, the amount of collateral due from or to a party has to exceed a minimum transfer amount threshold typically $250,000 or $500,000, before a transfer is required, which is determined at the close of business of the Fund and additional required collateral is delivered to/pledged by the Fund on the next business day. Typically, the Funds and counterparties are not permitted to sell, repledge or use the collateral they receive. To the extent amounts due to the Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty non-performance. Each Fund attempts to mitigate counterparty risk by entering into agreements only with counterparties that it believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties.

For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statements of Assets and Liabilities.

The Fund has implemented the disclosure requirements pursuant to FASB Accounting Standards update No. 2011-11, Disclosures about Offsetting Assets and Liabilities, that requires disclosures to make financial statements that are prepared under U.S. GAAP more comparable to those prepared under International Financial Reporting Standards. Under this guidance the Fund discloses in the statements of assets and liabilities both gross and net information about instruments and transactions eligible for offset such as instruments and transactions subject to an agreement similar to a master netting arrangement. In addition, the Fund discloses collateral received and posted in connection with master netting agreements or similar arrangements.

The following table presents the Fund’s OTC derivative assets and master repurchase agreements by counterparty net of amounts available for offset under an ISDA Master agreement or similar agreements and net of the related collateral received or pledged by the Fund as of September 30, 2013, are as follows:

¹ Represents the net amount receivable from the counterparty in the event of default.

The following table presents the Fund’s OTC derivative liabilities and master repurchase agreements by counterparty net of amounts available for offset under an ISDA Master Agreement or similar agreements and net of the related collateral received or pledged by the Fund as of September 30, 2013, are as follows:

³Represents the net amount payable to the counterparty in the event of default.


	INTERMEDIATE BOND FUND
COUNTERPARTY	GROSS ASSETS IN THE STATEMENT OF ASSETS AND LIABILITIES		COLLATERAL RECEIVED		ASSETS/(LIABILITIES) AVAILABLE FOR OFFSET		NET AMOUNT OF ASSETS¹
Barclays, Inc.
Swap agreements		$155,013		$–		$155,013		$155,013

Total Barclays, Inc.		155,013		–		155,013		155,013

Total		$155,013		$–		$155,013		$155,013

¹Represents the net amount receivable from the counterparty in the event of default.


	INTERMEDIATE BOND FUND
COUNTERPARTY	GROSS LIABILITIES IN THE STATEMENT OF ASSETS AND LIABILITIES		COLLATERAL PLEDGED		(ASSETS)/LIABILITIES AVAILABLE FOR OFFSET		NET AMOUNT OF LIABILITIES²
Citigroup, Inc.
Swaptions		$1,428		$–		$1,428		$1,428

Total Citigroup, Inc.		1,428		–		1,428		1,428

Total		$1,428		$–		$1,428		$1,428

²Represents the net amount payable to the counterparty in the event of default.


				TOTAL RETURN BOND FUND
COUNTERPARTY	GROSS ASSETS IN THE STATEMENT OF ASSETS AND LIABILITIES			COLLATERAL RECEIVED				ASSETS/(LIABILITIES) AVAILABLE FOR OFFSET				NET AMOUNT OF ASSETS¹
Barclays, Inc.
Swap agreements			$46,977,180		$	(27,948,911	)		$	19,028,269			$	–
Swaptions			8,160,176			–				8,160,176				–

Total Barclays, Inc.			55,137,356			(27,948,911	)			27,188,445				–

Citigroup, Inc.
Swap agreements			9,152,679			(11,729,000	)			(2,576,321	)			–
Swaptions			10,511,455			–				10,511,455				–

Total Citigroup, Inc.			19,664,134			(11,729,000	)			7,935,134				–

Deutsche Bank AG
Swap agreements			8,378,762			(8,200,000	)			(9,832,948	)			(9,654,186	)
Swaptions			30,435,172			–				(20,450,609	)			9,984,563

Total Deutsche Bank AG			38,813,934			(8,200,000	)			(30,283,557	)			330,377

Goldman Sachs Group, Inc.
Swap agreements			7,698,197			(1,000,000	)			(8,636,661	)			(1,938,464	)
Swaptions			9,807,799			–				(7,489,363	)			2,318,436

Total Goldman Sachs Group, Inc.			17,505,996			(1,000,000	)			(16,126,024	)			379,972

Morgan Stanley Capital Services, Inc.
Swap agreements			7,455,991			(7,700,000	)			(244,009	)			–

Total Morgan Stanley Capital Services, Inc.			7,455,991			(7,700,000	)			(244,009	)			–

RBS Securities, Inc.
Master Repurchase Agreement			80,000,000			(80,000,000	)²			–				–

Total RBS Securities, Inc.			80,000,000			(80,000,000	)			–				–

Total		$	218,577,411		$	(136,577,911	)		$	(11,530,011	)		$	710,349

¹Represents the net amount receivable from the counterparty in the event of default.

²Collateral with a value of $81,604,918 has been received in connection with a master repurchase agreement. Excess of collateral received from the individual master repurchase agreement is not shown for financial reporting purposes.


				TOTAL RETURN BOND FUND
COUNTERPARTY	GROSS LIABILITIES IN THE STATEMENT OF ASSETS AND LIABILITIES			COLLATERAL PLEDGED				(ASSETS)/LIABILITIES AVAILABLE FOR OFFSET				NET AMOUNT OF LIABILITIES³
Barclays, Inc.
Swap agreements			$22,602,478		$	–			$	(19,028,269	)		$	3,574,209
Swaptions			5,118,774			–				(8,160,176	)			(3,041,402	)

Total Barclays, Inc.			27,721,252			–				(27,188,445	)			532,807

Citigroup, Inc.
Swap agreements			–			–				2,576,321				2,576,321
Swaptions			7,996,018			–				(10,511,455	)			(2,515,437	)

Total Citigroup, Inc.			7,996,018			–				(7,935,134	)			60,884

Deutsche Bank AG
Swap agreements			9,832,948			–				9,832,948				–
Swaptions			20,450,609			–				20,450,609				–

Total Deutsche Bank AG			30,283,557			–				30,283,557				–

Goldman Sachs Group, Inc.
Swap agreements			8,636,661			–				8,636,661				–
Swaptions			7,489,363			–				7,489,363				–

Total Goldman Sachs Group, Inc.			16,126,024			–				16,126,024				–

JPMorgan Chase & Co.
Swap agreements			138,832			(90,000	)			48,832				48,832

Total JPMorgan Chase & Co.			138,832			(90,000	)			48,832				48,832

Morgan Stanley Capital Services, Inc.
Swap agreements			–			–				244,009				244,009

Total Morgan Stanley Capital Services, Inc.			–			–				244,009				244,009

Total		$	82,265,683		$	(90,000	)		$	11,578,843			$	886,532

³Represents the net amount payable to the counterparty in the event of default.

HIGH YIELD BOND FUND

COUNTERPARTY

GROSS
ASSETS IN THE
STATEMENT OF ASSETS
AND LIABILITIES

COLLATERAL
RECEIVED

ASSETS/(LIABILITIES)
AVAILABLE FOR OFFSET

NET AMOUNT
OF
ASSETS¹

Deutsche Bank AG

Master Repurchase Agreement

$50,000,000

$(50,000,000)²

$–

Total Deutsche Bank AG

50,000,000

(50,000,000

)

–

Total

$50,000,000

$(50,000,000)

$–

¹Represents the net amount receivable from the counterparty in the event of default.

²Collateral with a value of $51,001,834 has been received in connection with a master repurchase agreement. Excess of collateral received

from the individual master repurchase agreement is not shown for financial reporting purposes.

UNCONSTRAINED BOND FUND

COUNTERPARTY

GROSS
ASSETS IN THE
STATEMENT OF ASSETS
AND LIABILITIES

COLLATERAL
RECEIVED

ASSETS/(LIABILITIES)
AVAILABLE FOR OFFSET

NET AMOUNT

OF
ASSETS¹

JPMorgan Chase & Co.

Swap agreements

$44,754

$–

$44,754

Swaptions

–

Total JPMorgan Chase & Co.

44,754

–

44,754

Total

$44,754

$–

$44,754

¹Represents the net amount receivable from the counterparty in the event of default.

²Represents the net amount payable to the counterparty in the event of default.


	ALPHATRAK 500 FUND
COUNTERPARTY	GROSS ASSETS IN THE STATEMENT OF ASSETS AND LIABILITIES			COLLATERAL RECEIVED		ASSETS/(LIABILITIES) AVAILABLE FOR OFFSET			NET AMOUNT OF ASSETS¹
Barclays, Inc.
Swap agreements		$	137,991		$–		$	137,991		$	137,991

Total Barclays, Inc.			137,991		–			137,991			137,991
Total		$	137,991		$–		$	137,991		$	137,991

¹Represents the net amount receivable from the counterparty in the event of default.

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, 2013, 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, 2013, 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 payment-in-kind securities (“PIKs”). PIKs give the issuer the option at each interest payment date of making interest payments in either cash or additional debt securities. Those additional debt securities usually have the same terms, including maturity dates and interest rates, and associated risks as the original bonds. The daily market quotations of the original bonds may include the accrued interest (referred to as a dirty price) and require a pro-rata adjustment from the unrealized appreciation or depreciation on investments to interest receivable on the Statement of Assets and Liabilities.

For the six months ended September 30, 2013, the High Yield Bond Fund received in-kind payments with respect to PIK securities was $750,539.

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.

Master Repurchase Agreements (MRA) permit each Fund, under certain circumstances including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables under the MRA with collateral held and/or posted to the counterparty and create one single net payment due to or from each Fund. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of a MRA counterparty’s bankruptcy or insolvency. Pursuant to the terms of the MRA, each Fund receives securities as collateral with a market value in excess of the repurchase price to be received by each Fund upon the maturity of the repurchase transaction. Upon a bankruptcy or insolvency of the MRA counterparty, each Fund recognizes a liability with respect to such excess collateral to reflect each Fund’s obligation under bankruptcy law to return the excess to the counterparty. As of September 30, 2013, the Low Duration Bond Fund, Total Return Bond Fund and High Yield Bond 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.

Reverse repurchase transactions and treasury roll transactions are entered into by a Fund under Master Repurchase Agreements (MRA), which permit a Fund, under certain circumstances, including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables under the MRA with collateral held and/or posted to the counterparty and create one single net payment due to or from a Fund. With reverse repurchase transactions and treasury roll transactions, typically the Funds and the counterparties are permitted to sell, re-pledge, or use the collateral associated with the transaction. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of a MRA counterparty’s bankruptcy or insolvency. Pursuant to the terms of the MRA, a Fund receives or posts securities as collateral with a market value in excess of the repurchase price to be paid or received by a Fund upon the maturity of the transaction. Upon a bankruptcy or insolvency of the MRA counterparty, a Fund is considered an unsecured creditor with respect to excess collateral and, as such, the return of excess collateral may be delayed. There were no reverse repurchase agreements for the six months ended September 30, 2013.

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, 2013, 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, 2013, 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, 2013, 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, 2013, 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 underperform 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, 2013, 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		$	9,726,584		0.59	%		0.52	%		0.57	%		0.93	%		2.55	%
Sub Prime			11,003,706		1.07	%		1.77	%		0.06	%		0.93	%		2.00	%
Low Duration Bond Fund
Alt-A			104,480,733		0.55	%		0.41	%		0.36	%		0.50	%		1.38	%
Sub Prime			249,017,293		1.58	%		1.33	%		1.96	%		0.34	%		2.41	%
Intermediate Bond Fund
Alt-A			8,457,252		0.24	%		0.20	%		0.61	%		0.08	%		1.04	%
Sub Prime			33,136,867		1.04	%		2.65	%		0.67	%		1.72	%		2.41	%
Total Return Bond Fund
Alt-A			1,577,879,103		0.07	%		0.69	%		0.61	%		0.79	%		4.21	%
Sub Prime			1,965,072,375		0.38	%		0.72	%		0.95	%		0.42	%		5.45	%
High Yield Bond Fund
Alt-A			-		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%
Sub Prime			423,398		0.00	%		0.00	%		0.02	%		0.00	%		0.00	%
Unconstrained Bond Fund
Alt-A			45,340,221		0.00	%		1.31	%		1.09	%		0.43	%		6.16	%
Sub Prime			51,753,680		0.26	%		0.07	%		0.47	%		0.40	%		9.05	%
Floating Rate Income Fund^**
Alt-A			-		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%
Sub Prime			-		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%
Strategic Income Fund
Alt-A			28,850,027		0.00	%		0.80	%		3.76	%		0.43	%		7.36	%
Sub Prime			39,031,115		1.60	%		1.81	%		1.36	%		2.47	%		9.46	%
AlphaTrak 500 Fund
Alt-A			190,357		0.00	%		0.32	%		0.48	%		0.59	%		1.68	%
Sub Prime			724,071		2.18	%		5.06	%		1.09	%		1.03	%		2.31	%

Investment transactions for the six months ended September 30, 2013 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, 2013 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, the Unconstrained Bond Fund and the Floating Rate Income Fund a fee, computed daily and payable monthly, at an annual rate of 0.25%, 0.30%, 0.35%, 0.35%, 0.50%, 0.65% and 0.55%, respectively, of each Fund’s average daily net assets. 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 0.65% resulting in $2,049,463 of total management fees for the six months ended September 30, 2013. 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 0.00% resulting in $10,602 total management fees for the six months ended September 30, 2013.

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. 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 of the Fund are at or above the expense cap. However, if the total operating expenses 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 six months ended September 30, 2013, were as follows:

¹The Adviser has agreed not to reduce or discontinue this contractual expense limitation until July 31,2014, unless approved by the Board.

^*The Floating Rate Income Fund Class M and Class I commenced operations on June 28, 2013.

At September 30, 2013, the balance of recoupable expenses with expiration dates for the Funds were as follows:

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 Floating Rate Income 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 six months ended September 30, 2013. 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, 2013 (UNAUDITED)			YEAR ENDED MARCH 31, 2013			PERIOD ENDED SEPTEMBER 30, 2013 (UNAUDITED)			YEAR ENDED MARCH 31, 2013
Change in Fund shares:
Shares outstanding at beginning of period		13,217,475			8,866,998			15,745,736			17,853,233

Shares sold		20,509,238			8,434,044			6,274,431			5,631,129
Shares issued through reinvestment of distributions		102,331			157,343			115,670			276,292
Shares redeemed		(6,859,376	)		(4,240,910	)		(5,163,001	)		(8,014,918	)

Net increase/(decrease) in fund shares		13,752,193			4,350,477			1,227,100			(2,107,497	)

Shares outstanding at end of period		26,969,668			13,217,475			16,972,836			15,745,736


	LOW DURATION BOND FUND
	CLASS M			CLASS M			CLASS I			CLASS I			ADMINISTRATIVE CLASS			ADMINISTRATIVE CLASS
	PERIOD ENDED SEPTEMBER 30, 2013 (UNAUDITED)			YEAR ENDED MARCH 31, 2013			PERIOD ENDED SEPTEMBER 30, 2013 (UNAUDITED)			YEAR ENDED MARCH 31, 2013			PERIOD ENDED SEPTEMBER 30, 2013 (UNAUDITED)			YEAR ENDED MARCH 31, 2013
Change in Fund shares:
Shares outstanding at beginning of period		129,173,819			141,289,789			83,973,137			58,627,102			9,212			143,562

Shares sold		96,577,866			74,690,360			110,269,711			49,179,803			157,400			90,854
Shares issued through reinvestment of distributions		1,410,346			3,754,553			1,026,525			1,614,955			252			2,310
Shares redeemed		(23,196,697	)		(90,560,883	)		(27,318,484	)		(25,448,723	)		(6,123	)		(227,514	)

Net increase/(decrease) in fund shares		74,791,515			(12,115,970	)		83,977,752			25,346,035			151,529			(134,350	)

Shares outstanding at end of period		203,965,334			129,173,819			167,950,889			83,973,137			160,741			9,212


	INTERMEDIATE BOND FUND
	CLASS M			CLASS M			CLASS I			CLASS I
	PERIOD ENDED SEPTEMBER 30, 2013 (UNAUDITED)			YEAR ENDED MARCH 31, 2013			PERIOD ENDED SEPTEMBER 30, 2013 (UNAUDITED)			YEAR ENDED MARCH 31, 2013
Change in Fund shares:
Shares outstanding at beginning of period		10,811,912			8,591,271			18,502,990			18,476,679

Shares sold		3,643,772			4,813,370			13,260,135			6,279,142
Shares issued through reinvestment of distributions		118,772			351,864			312,095			846,071
Shares redeemed		(4,513,407	)		(2,944,593	)		(4,924,883	)		(7,098,902	)

Net increase/(decrease) in fund shares		(750,863	)		2,220,641			8,647,347			26,311

Shares outstanding at end of period		10,061,049			10,811,912			27,150,337			18,502,990


	TOTAL RETURN BOND FUND
	CLASS M			CLASS M			CLASS I			CLASS I
	PERIOD ENDED SEPTEMBER 30, 2013 (UNAUDITED)			YEAR ENDED MARCH 31, 2013			PERIOD ENDED SEPTEMBER 30, 2013 (UNAUDITED)			YEAR ENDED MARCH 31, 2013
Change in Fund shares:
Shares outstanding at beginning of period		989,142,309			773,362,330			1,253,790,292			1,069,617,054

Shares sold		168,424,393			371,473,377			291,467,182			530,159,127
Shares issued through reinvestment of distributions		15,073,795			46,060,743			18,352,565			56,641,587
Shares redeemed		(185,836,048	)		(201,754,141	)		(259,198,734	)		(402,627,476	)

Net increase/(decrease) in fund shares		(2,337,860	)		215,779,979			50,621,013			184,173,238

Shares outstanding at end of period		986,804,449			989,142,309			1,304,411,305			1,253,790,292


	TOTAL RETURN BOND FUND
	ADMINISTRATIVE CLASS			ADMINISTRATIVE CLASS			PLAN CLASS			PLAN CLASS
	PERIOD ENDED SEPTEMBER 30, 2013 (UNAUDITED)			YEAR ENDED MARCH 31, 2013			PERIOD ENDED SEPTEMBER 30, 2013 (UNAUDITED)			YEAR ENDED MARCH 31, 2013
Change in Fund shares:
Shares outstanding at beginning of period		1,444,027			669,268			33,826,317			12,040,750

Shares sold		1,213,149			858,040			17,732,497			23,729,506
Shares issued through reinvestment of distributions		27,120			53,476			657,131			1,471,910
Shares redeemed		(1,026,045	)		(136,757	)		(8,945,730	)		(3,415,849	)

Net increase in fund shares		214,224			774,759			9,443,898			21,785,567

Shares outstanding at end of period		1,658,251			1,444,027			43,270,215			33,826,317



	HIGH YIELD BOND FUND

	CLASS M			CLASS M			CLASS I			CLASS I

	PERIOD ENDED SEPTEMBER 30, 2013 (UNAUDITED)			YEAR ENDED MARCH 31, 2013			PERIOD ENDED SEPTEMBER 30, 2013 (UNAUDITED)			YEAR ENDED MARCH 31, 2013
Change in Fund shares:
Shares outstanding at beginning of period		126,097,260			121,442,818			94,178,471			105,125,720

Shares sold		39,809,331			59,798,354			25,537,452			53,447,496
Shares issued through reinvestment of distributions		3,051,446			7,912,157			1,937,191			5,689,555
Shares redeemed		(40,370,832	)		(63,056,069	)		(36,164,221	)		(70,084,300	)

Net increase/(decrease) in fund shares		2,489,945			4,654,442			(8,689,578	)		(10,947,249	)

Shares outstanding at end of period		128,587,205			126,097,260			85,488,893			94,178,471



	UNCONSTRAINED BOND FUND

	CLASS M			CLASS M			CLASS I			CLASS I

	PERIOD ENDED SEPTEMBER 30, 2013 (UNAUDITED)			YEAR ENDED MARCH 31, 2013			PERIOD ENDED SEPTEMBER 30, 2013 (UNAUDITED)			YEAR ENDED MARCH 31, 2013
Change in Fund shares:
Shares outstanding at beginning of period		8,473,001			881,012			7,448,148			692,785

Shares sold		14,105,632			9,199,585			19,931,675			7,023,093
Shares issued through reinvestment of distributions		160,294			160,110			213,648			78,078
Shares redeemed		(4,513,847	)		(1,767,706	)		(2,485,065	)		(345,808	)

Net increase in fund shares		9,752,079			7,591,989			17,660,258			6,755,363

Shares outstanding at end of period		18,225,080			8,473,001			25,108,406			7,448,148



	FLOATING RATE INCOME FUND

	CLASS M^*			CLASS I^*

	PERIOD ENDED SEPTEMBER 30, 2013 (UNAUDITED)			PERIOD ENDED SEPTEMBER 30, 2013 (UNAUDITED)
Change in Fund shares:
Shares outstanding at beginning of period		–			–

Shares sold		110,365			7,953,729
Shares issued through reinvestment of distributions		229			33,947
Shares redeemed		(75	)		(67,909	)

Net increase in fund shares		110,519			7,919,767

Shares outstanding at end of period		110,519			7,919,767

^*The Floating Rate Income Fund Class M and Class I commenced operations on June 28, 2013.


	STRATEGIC INCOME FUND
	CLASS M			CLASS M			CLASS I			CLASS I
	PERIOD ENDED SEPTEMBER 30, 2013 (UNAUDITED)			YEAR ENDED MARCH 31, 2013			PERIOD ENDED SEPTEMBER 30, 2013 (UNAUDITED)			YEAR ENDED MARCH 31, 2013
Change in Fund shares:
Shares outstanding at beginning of period		4,423,767			2,668,730			21,493,915			20,841,277

Shares sold		3,150,475			3,002,983			2,295,196			2,628,698
Shares issued through reinvestment of distributions		82,253			161,429			98,627			202,920
Shares redeemed		(1,945,603	)		(1,409,375	)		(1,082,043	)		(2,178,980	)

Net increase in fund shares		1,287,125			1,755,037			1,311,780			652,638

Shares outstanding at end of period		5,710,892			4,423,767			22,805,695			21,493,915


	ALPHATRAK FUND
	CLASS M			CLASS M
	PERIOD ENDED SEPTEMBER 30, 2013 (UNAUDITED)			YEAR ENDED MARCH 31, 2013
Change in Fund shares:
Shares outstanding at beginning of period		1,150,859			1,111,363

Shares sold		185,992			603,309
Shares issued through reinvestment of distributions		8,567			15,068
Shares redeemed		(265,898	)		(578,881	)

Net increase/(decrease) in fund shares		(71,339	)		39,496

Shares outstanding at end of period		1,079,520			1,150,859

At March 31, 2013, the following Funds had available for federal income tax purposes unused capital losses as follows:


FUND	EXPIRING IN 2014		EXPIRING IN 2015		EXPIRING IN 2016		EXPIRING IN 2017		EXPIRING IN 2018		EXPIRING IN 2019		NON-EXPIRING AMOUNTS*
Ultra Short Bond Fund	$	–	$	171,312	$	1,489,245	$	17,068,161	$	14,894,875	$	10,083,524	$	3,025,438
Low Duration Bond Fund		5,831,064		–		–		99,373,584		21,084,552		42,394,541		49,502,792
Strategic Income Fund		–		–		6,866,611		47,852,416		18,806,808		41,914,736		6,810,067
AlphaTrak 500 Fund		–		–		–		65,155,560		15,892,244		12,617,196		–

As of March 31, 2013, 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)		$	9,224			$	182,921			$	–			$	–
Undistributed long-term gains			–				–				253,587				140,074,197
Other temporary differences			(290,905	)			(4,838,137	)			(95,627	)			(7,832,999	)
Accumulated capital loss carryforwards and post-October losses			(46,732,555	)			(218,186,533	)			–				–
Net unrealized appreciation/(depreciation)			(396,977	)			33,449,717				16,119,404				1,211,290,724

Total accumulated earnings/(losses)		$	(47,411,213	)		$	(189,392,032	)		$	16,277,364			$	1,343,531,922

	HIGH YIELD BOND FUND				UNCONSTRAINED BOND FUND				STRATEGIC INCOME FUND				ALPHATRAK 500 FUND
Undistributed ordinary income (inclusive of short-term capital gains)		$	29,120,261			$	446,284			$	386,648			$	6,122
Undistributed long-term capital gains			–				137,083				–				–
Other temporary differences			(5,632,122	)			(29,857	)			(614,097	)			(2,183	)
Accumulated capital loss carryforwards and post-October losses			–				–				(122,250,638	)			(93,665,000	)
Net unrealized appreciation			64,827,130				3,669,515				12,964,845				52,610

Total accumulated earnings/(losses)		$	88,315,269			$	4,223,025			$	(109,513,242	)		$	(93,608,451	)

Permanent differences incurred during the fiscal year ended March 31, 2013, resulting from differences in book and tax accounting have been reclassified at year-end as follows:


	INTERMEDIATE BOND FUND						TOTAL RETURN BOND FUND

	MARCH 31, 2013			MARCH 31, 2012			MARCH 31, 2013			MARCH 31, 2012
Distributions from:
Ordinary income (inclusive of short-term capital gains)		$	13,383,964		$	9,908,053		$	1,111,625,675		$	775,273,191
Net long-term capital gains			2,349,615			–			169,182,910			59,387,861

Total taxable distributions		$	15,733,579		$	9,908,053		$	1,280,808,585		$	834,661,052


	HIGH YIELD BOND FUND						UNCONSTRAINED BOND FUND^*

	MARCH 31, 2013			MARCH 31, 2012			MARCH 31, 2013			MARCH 31, 2012
Distributions from:
Ordinary income (inclusive of short-term capital gains)		$	168,817,535		$	162,434,937		$	3,032,545		$	425,029
Net long-term capital gains			1,049,822			14,109,424			–			701

Total taxable distributions		$	169,867,357		$	176,544,361		$	3,032,545		$	425,730


	STRATEGIC INCOME FUND						ALPHATRAK 500 FUND

	MARCH 31, 2013			MARCH 31, 2012			MARCH 31, 2013			MARCH 31, 2012
Distributions from:
Ordinary income (inclusive of short-term capital gains)		$	10,343,830		$	12,434,140		$	79,175		$	221,649
Return of capital			–			–			–			174,648

Total taxable distributions		$	10,343,830		$	12,434,140		$	79,175		$	396,297

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

The Funds have entered into a $350,000,000 committed revolving line of credit agreement with The Bank of New York Mellon (the “Bank”) for temporary borrowing purpose with an expiration date of September 19, 2014. 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, 2013. 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:

Ÿ 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.

Ÿ 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.

Ÿ 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.

Ÿ 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.

Ÿ 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:

Ÿ Are subject to investment risks, including possible loss of the principal amount committed or invested, and earnings thereon.

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

The Adviser provides investment advisory services to all series of the Trust (the “Funds”) under an Investment Management Agreement dated February 6, 2013, which was amended on June 26, 2013 (the “Agreement”), between the Trust and the Adviser. That amendment was for the purpose of adding the Floating Rate Income Fund (referred to as the “Floating Rate Fund”). The Agreement was initially approved for a two-year initial term by the shareholders of each then-existing series of the Trust at a special meeting of shareholders held on November 28, 2012, and adjourned until December 20, 2012 with respect to certain series of the Trust. The addition of the Fund was approved by the Board (including a majority of the Independent Trustees) on May 20, 2013.

The approval of the Agreement with respect to the Fund was approved by the Board (including a majority of the Independent Trustees) upon the recommendation of the Independent Trustees. 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 Board receives a wide variety of materials relating to the services provided by the Adviser to the Funds, 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. Because the Floating Rate Fund had not yet commenced operations when the Agreement was approved by the Board with respect to that Fund, the Board necessarily relied in part on information with respect to the other Funds. The Adviser also provided information about the proposed Floating Rate Fund, including a discussion of the proposed investment objective and strategy, the Adviser’s expertise in managing investments consistent with the Floating Rate Fund’s proposed strategy and a written summary of how the Floating Rate Fund’s advisory fee and proposed total expenses (after giving effect to a proposed contractual limit on operating expenses) would compare to peer mutual funds.

Review process - The Independent Trustees had previously, in connection with the initial approval of the Agreement, 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 approval of the Agreement with respect to the Floating Rate Fund. In deciding to approve the Agreement with respect to the Floating Rate Fund, the Trustees did not identify any single or particular piece of information that, in isolation, was the controlling factor. Each 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; and the overall resources of its organization. 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 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 should benefit the Floating Rate Fund and its shareholders.

Because the Floating Rate Fund had not yet made any portfolio investments, it did not have any performance for the Board to consider. The Board, however, considered the favorable investment results of each other Fund, particularly from a longer-term perspective, which the Board believes is the most relevant. The Board concluded that the Floating Rate Fund also has the potential to achieve satisfactory performance.

The Board compared the proposed advisory fees and total expenses for the Floating Rate Fund (as a percentage of average net assets) with the median fee and expense levels of mutual funds in the relevant Lipper and Morningstar peer groups. These comparisons assisted the Board by providing a reasonable statistical measure to assess the Floating Rate Fund’s proposed fees relative to its relevant peers. The Board observed that the proposed advisory fee was below the median of the peer group funds. The Board further noted the relevant contractual expense limitation that the Adviser proposed with respect to the Floating Rate Fund. The Board concluded that the favorable level of the advisory fee charged by the Adviser and the proposed total expenses should benefit the Floating Rate Fund and its shareholders.

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

The Board did not consider the Adviser’s level of profitability with respect to the Floating Rate Fund because the Fund had not yet commenced operations. Because the Floating Rate Fund was newly formed, and was not expected to commence investment operations with substantial assets, the Adviser was expected to need to subsidize the Fund’s operations in order to maintain the contractually agreed expense level. For a similar reason, there were not expected to be immediate economies of scale for the Floating Rate Fund. The Independent Trustees considered the extent to which economies of scale could be realized as the Floating Rate Fund grows and whether the advisory fee reflected those economies of scale. They recognized that the advisory fee for the Floating Rate Fund does not have breakpoints, which would otherwise result in lower advisory fee rates as the Fund grows. They also recognized the Adviser’s assertion that the advisory fee compares favorably to peer group fees and expenses and would remain competitive even at higher asset levels. The Board also recognized the Adviser’s commitment to maintain reasonable overall operating expenses for the Floating Rate Fund.

The Board considered other actual and potential financial benefits to the Adviser in concluding that the contractual advisory fee would be fair and reasonable for the Floating Rate Fund. In particular, they noted that the Adviser does not have any affiliates that would materially benefit from the Adviser’s relationship to the Fund 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 should be fair and reasonable to the Floating Rate Fund and its shareholders, that Fund’s shareholders should receive reasonable value in return for the advisory fees to be paid to the Adviser by the Fund.

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 Floating Rate Income Fund		M-Class (MWFLX), I Class (MWFIX)
Metropolitan West Strategic Income Fund		M-Class (MWSTX), I Class (MWSIX)
Metropolitan West AlphaTrak 500 Fund		M-Class (MWATX)


	Performance Through September 30, 2013
	6 Months (Cumulative)	1 Year (Annualized)	3 Year (Annualized)	5 Year (Annualized)	10 Year (Annualized)	Since Inception (Annualized)
MWIMX (Inception: June 30, 2003)	-0.51%	1.54%	4.65%	7.90%	5.46%	5.43%
Barclays U.S. Intermediate Government/Credit Index	-1.10%	-0.49%	2.41%	4.95%	4.09%	3.99%
MWIIX (Inception: June 28, 2002)	-0.50%	1.65%	4.83%	8.13%	5.67%	6.52%
Barclays U.S. Intermediate Government/Credit Index	-1.10%	-0.49%	2.41%	4.95%	4.09%	4.58%


	Performance Through September 30, 2013
	6 Months (Cumulative)	1 Year (Annualized)	3 Year (Annualized)	5 Year (Annualized)	10 Year (Annualized)	Since Inception (Annualized)
MWTRX (Inception: March 31, 1997)	-1.20%	1.17%	5.29%	9.07%	6.71%	7.19%
Barclays U.S. Aggregate Bond Index	-1.77%	-1.68%	2.86%	5.41%	4.59%	5.91%
MWTIX (Inception: March 31, 2000)	-1.10%	1.38%	5.51%	9.30%	6.93%	7.11%
Barclays U.S. Aggregate Bond Index	-1.77%	-1.68%	2.86%	5.41%	4.59%	5.73%
MWTNX (Inception: December 18, 2009)	-1.39%	0.88%	5.05%	–	–	6.79%
Barclays U.S. Aggregate Bond Index	-1.77%	-1.68%	2.86%	–	–	4.08%
MWTSX (Inception: August 1, 2011)	-1.17%	1.27%	–	–	–	5.61%
Barclays U.S. Aggregate Bond Index	-1.77%	-1.68%	–	–	–	2.57%


	Performance Through September 30, 2013
	6 Months (Cumulative)	1 Year (Annualized)	3 Year (Annualized)	5 Year (Annualized)	10 Year (Annualized)	Since Inception (Annualized)
MWHYX (Inception: September 30, 2002)	0.55%	6.31%	7.11%	12.14%	8.17%	10.40%
Barclays U.S. Corporate High Yield Index - 2% Issuer Cap	0.81%	7.14%	9.16%	13.51%	8.84%	10.57%
MWHIX (Inception: March 31, 2003)	0.68%	6.68%	7.37%	12.42%	8.43%	9.38%
Barclays U.S. Corporate High Yield Index - 2% Issuer Cap	0.81%	7.14%	9.16%	13.51%	8.84%	9.68%


	Performance Through September 30, 2013
	6 Months (Cumulative)	1 Year (Annualized)	3 Year (Annualized)	5 Year (Annualized)	10 Year (Annualized)	Since Inception (Annualized)
MWATX (Inception: June 29, 1998)	8.65%	21.18%	18.45%	12.30%	7.26%	4.52%
Standard & Poor’s 500 Index	8.31%	19.34%	16.35%	10.07%	7.59%	4.51%


Metropolitan West Funds		September 30, 2013 (Unaudited)


Letter to Shareholders			1

Disclosure of Fund Expenses			7

Summary of Portfolio Holdings			10

Schedule of Portfolio Investments			15

Ultra Short Bond Fund			15

Low Duration Bond Fund			24

Intermediate Bond Fund			39

Total Return Bond Fund			51

High Yield Bond Fund			87

Unconstrained Bond Fund			95

Floating Rate Income Fund			112

Strategic Income Fund			118

AlphaTrak 500 Fund			128

Statements of Assets and Liabilities			135

Statements of Operations			137

Statements of Changes in Net Assets			139

Financial Highlights			143

Notes to Financials			163

Privacy Notice			202

Approval of Investment Management Agreement by Trustees			204


	Beginning Account Value 04/01/13	Ending Account Value 09/30/13	Expense Ratio¹	Expenses Paid During Period²
ULTRA SHORT BOND FUND
Actual Fund Return
Class M	$1,000.00	$1,001.37	0.50%	$2.51
Class I	$1,000.00	$ 999.84	0.34%	$1.70
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	$1,004.01	0.53%	$2.66
Class I	$1,000.00	$1,004.96	0.34%	$1.71
Administrative Class	$1,000.00	$1,002.51	0.73%	$3.66
Hypothetical 5% Return
Class M	$1,000.00	$1,022.41	0.53%	$2.69
Class I	$1,000.00	$1,023.36	0.34%	$1.72
Administrative Class	$1,000.00	$1,021.41	0.73%	$3.70


	Beginning Account Value 04/01/13	Ending Account Value 09/30/13	Expense Ratio	Expenses Paid During Period
FLOATING RATE INCOME FUND*
Actual Fund Return
Class M	$1,000.00	$1,017.90	0.85%¹	$ 2.14²
Class I	$1,000.00	$1,018.30	0.65%¹	$ 1.64²
Hypothetical 5% Return
Class M	$1,000.00	$1,010.35	0.85%¹	$ 2.13²
Class I	$1,000.00	$1,010.85	0.65%¹	$ 1.63²
STRATEGIC INCOME FUND
Actual Fund Return
Class M	$1,000.00	$1,002.79	2.23%³	$11.20⁴
Class I	$1,000.00	$1,002.79	1.98%³	$ 9.94⁴
Hypothetical 5% Return
Class M	$1,000.00	$1,013.89	2.23%³	$11.26⁴
Class I	$1,000.00	$1,015.14	1.98%³	$10.00⁴
ALPHATRAK 500 FUND
Actual Fund Return	$1,000.00	$1,086.47	0.90%³	$ 4.71⁴
Hypothetical 5% Return	$1,000.00	$1,020.56	0.90%³	$ 4.56⁴


ULTRA SHORT BOND FUND
Sector Diversification		Distribution by Quality Rating		Distribution by Maturity
U.S. Agency Mortgage-Backed	37.12%	AAA	74.22%	0 to 1 years	30.77%
Corporate Bonds	13.02%	AA	6.50%	1 year to 3 years	40.89%
Non-Agency Mortgage-Backed	11.83%	A	7.20%	3 years to 5 years	20.50%
U.S. Agency Discount Notes	11.47%	BBB	7.18%	5 years to 10 years	6.44%
Commercial Mortgage-Backed	10.18%	BB or below	4.89%	10 years to 20 years	1.40%
U.S. Treasury Securities	6.16%	Not rated	0.01%	20 years +	0.00%
U.S. Agency Securities	3.49%
Money Market RIC	1.99%
Asset-Backed Securities	1.38%
Commercial Paper	1.30%
Municipal Bonds	0.66%
Bank Loans	0.34%
Foreign Government Obligations	0.34%
Other *	0.72%
Total	100.00%	Total	100.00%	Total	100.00%

LOW DURATION BOND FUND
Sector Diversification		Distribution by Quality Rating		Distribution by Maturity
Corporate Bonds	20.01%	AAA	55.65%	0 to 1 years	30.30%
Non-Agency Mortgage-Backed	18.83%	AA	10.95%	1 year to 3 years	31.46%
U.S. Agency Mortgage-Backed	15.34%	A	13.99%	3 years to 5 years	23.14%
U.S. Agency Discount Notes	12.86%	BBB	9.91%	5 years to 10 years	12.80%
Asset-Backed Securities	8.30%	BB or below	9.33%	10 years to 20 years	1.98%
Commercial Mortgage-Backed	7.50%	Not rated	0.17%	20 years +	0.32%
U.S. Treasury Securities	5.66%
Repurchase Agreements	3.67%
U.S. Agency Securities	2.89%
Commercial Paper	2.04%
Money Market RIC	1.99%
Bank Loans	0.95%
Municipal Bonds	0.69%
Foreign Government Obligations	0.55%
Other *	(1.28)%
Total	100.00%	Total	100.00%	Total	100.00%


FLOATING RATE INCOME FUND**
Sector Diversification		Distribution by Quality Rating		Distribution by Maturity
Bank Loans	70.07%	AAA	14.86%	0 to 1 years	14.86%
U.S. Agency Discount Notes	23.08%	AA	0.00%	1 year to 3 years	0.00%
Corporate Bonds	15.48%	A	4.09%	3 years to 5 years	14.91%
Money Market RIC	1.98%	BBB	5.80%	5 years to 10 years	68.79%
Other *	(10.61)%	BB	41.16%	10 years to 20 years	0.51%
		B	33.49%	20 years +	0.93%
		CCC	0.60%
		CC or below	0.00%
		Not rated	0.00%
Total	100.00%	Total	100.00%	Total	100.00%
**The Floating Rate Income Fund commenced operations on June 28, 2013.

STRATEGIC INCOME FUND
Sector Diversification		Distribution by Quality Rating		Distribution by Maturity
Non-Agency Mortgage-Backed	39.93%	AAA	32.79%	0 to 1 years	16.36%
Asset-Backed Securities	16.99%	AA	12.67%	1 year to 3 years	16.05%
Corporate Bonds	12.18%	A	12.44%	3 years to 5 years	23.94%
U.S. Agency Discount Notes	7.10%	BBB	9.07%	5 years to 10 years	29.57%
U.S. Agency Mortgage-Backed	6.49%	BB or below	31.78%	10 years to 20 years	10.70%
Commercial Mortgage-Backed	5.68%	Not rated	1.25%	20 years +	3.38%
U.S. Treasury Securities	5.34%
Money Market RIC	2.00%
Bank Loans	1.03%
Commercial Paper	0.89%
Common Stock	0.71%
Mutual Funds	0.52%
U.S. Agency Securities	0.45%
Preferred Stock	0.41%
U.S. Treasury Bills	0.01%
Other *	0.27%
Total	100.00%	Total	100.00%	Total	100.00%


ASSETS:	ULTRA SHORT BOND FUND				LOW DURATION BOND FUND
Investments, at value (Cost $187,259,613, $3,286,662,644, $426,017,766, $27,133,677,800, $2,205,198,537, $494,165,054, $89,583,170, $224,006,854, and $5,942,036, respectively) (Note 2)		$	187,254,421			$	3,308,163,365
Cash and cash equivalents (Note 2)			1,072,351				1,228,306
Cash on deposit with brokers for collateral on swaps (Note 3)			–				–
Premiums paid for swap contracts			–				–
Foreign currency, at value (Cost $0, $0, $0, $0, $0, $650,$0, $0, and $0, respectively) (Note 2)			–				–
Unrealized appreciation on swap contracts			–				103,824
Dividends and interest receivable			398,533				9,950,815
Due from Adviser (Note 6)			9,928				–
Receivable for securities sold			98				–
Receivables from Lehman Brothers, at value (Cost $0, $0, $0, $0, $64,106, $0, $0, $121,802, and $0, respectively) (Note 3)			–				–
Receivable for capital stock sold			769,676				23,960,766
Receivable for daily variation margin on futures contracts (Note 3)			–				–
Other assets			26,426				53,289

Total assets			189,531,433				3,343,460,365


Liabilities:
Unrealized depreciation on swap contracts			–				–
Premiums received for swap contracts			–				115,920
Written option contracts, at value (Premiums received $0, $0, $0, $1,907,597, $0, $0, $0, $0, and $0, respectively) (Note 3)			–				–
Payable for securities purchased			536,151				68,066,073
Payable for capital stock redeemed			279,081				7,247,923
Payable for daily variation margin on interest rate swap (Note 3)			–				–
Payable for daily variation margin on futures contracts (Note 3)			–				–
Line of credit commitment fee payable			107				1,588
Distributions payable			4,434				333,112
Administrative fees payable			17,881				73,088
Advisory fees payable (Note 6)			37,211				749,169
Audit fees payable			22,591				28,790
Accrued trustees fees and expenses			–				–
Accrued distribution (12b-1) and service fees payable			14,387				265,888
Accrued other expenses			13,998				201,380

Total liabilities			925,841				77,082,931

Net assets		$	188,605,592			$	3,266,377,434


Class M Shares:
Net assets (Applicable to 26,969,668, 203,965,334, 10,061,049, 986,804,449, 128,587,205, 18,225,080, 110,519, 5,710,892, and 1,079,520, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value)		$	115,710,672			$	1,790,084,664

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


Class I Shares:
Net assets (Applicable to 16,972,836, 167,950,889, 27,150,337, 1,304,411,305, 85,488,893, 25,108,406, 7,919,767, 22,805,695, and 0, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value)		$	72,894,920			$	1,474,470,355

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


Administrative Class:
Net assets (Applicable to 0, 160,741, 0, 1,658,251, 0, 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			$	1,822,415

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


Plan Class:
Net assets (Applicable to 0, 0, 0, 43,270,215, 0, 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)		$	236,701,830			$	3,468,362,367
Undistributed (distributions in excess of) net investment income			282				443,121
Accumulated undistributed net realized gain/(loss) on investments, futures contracts, foreign currency exchange contracts, swap contracts and swaptions			(48,091,329	)			(224,032,601	)
Net unrealized appreciation/(depreciation) on investments			(5,191	)			21,500,723
Net unrealized appreciation/(depreciation) on futures contracts, swap contracts, foreign currency exchange contracts and swaptions			–				103,824

Net assets		$	188,605,592			$	3,266,377,434


	ULTRA SHORT BOND FUND				LOW DURATION BOND FUND
Investment Income:
Interest		$	1,288,255			$	28,611,209
Dividends			1,306				14,980


Total investment income			1,289,561				28,626,189


Expenses:
Investment advisory fees (Note 6)			193,150				3,539,288
Administration fees			55,331				188,406
Commitment fee			511				7,804
Custodian fees			11,772				46,673
Distribution (12b-1) and service fees - class specific (Note 7):
Class M			63,287				1,270,617
Administrative Class			–				864
Insurance expense			1,276				19,258
Miscellaneous expenses			1,791				7,944
Professional fees			19,164				29,993
Registration and filing fees			21,156				60,041
Reports to shareholders			4,952				91,712
Transfer agent fees			19,557				59,965
Trustees’ fees and expenses			813				11,842


Total operating expenses			392,760				5,334,407

Expenses waived and reimbursed (Note 6)			(66,787	)			–


Net expenses			325,973				5,334,407


Net investment income			963,588				23,291,782


Realized and Change in Unrealized Gain/(Loss) on Investments, Futures Contracts, Foreign Currency Exchange Contracts, Swap Contracts and Swaptions:
Net realized gain/(loss) on:
Investments			(1,069,618	)			(936,967	)
Futures contracts			–				–
Foreign currency exchange contracts			–				(166,138	)
Swap contracts			–				–
Swaptions			–				–
Net change in unrealized appreciation/(depreciation) on:
Investments			384,583				(12,068,135	)
Futures contracts			–				–
Foreign currency exchange contracts			–				365,283
Swap contracts			–				14,112
Swaptions			–				–

Net change in realized and unrealized gain/(loss) on investments, futures contracts, foreign currency exchange contracts, swap contracts and swaptions			(685,035	)			(12,791,845	)


Net Increase/(Decrease) in Net Assets from Operations		$	278,553			$	10,499,937


	ULTRA SHORT BOND FUND
	SIX MONTHS ENDED SEPTEMBER 30, 2013 (UNAUDITED)				YEAR ENDED MARCH 31, 2013
Operations:
Net investment income		$	963,588			$	1,828,753
Net realized gain/(loss) on investments			(1,069,618	)			(2,220,881	)
Net realized gain/(loss) on futures contracts, foreign currency exchange contracts, swap contracts and swaptions			–				117,409
Net change in unrealized appreciation/(depreciation) on investments			384,583				4,750,188
Net change in unrealized appreciation/(depreciation) on futures contracts, foreign currency exchange contracts, swap contracts and swaptions			–				136,759

Net increase/(decrease) in net assets resulting from operations			278,553				4,612,228


Distributions to Shareholders from:
Net investment income:
Class M			(456,082	)			(682,178	)
Class I			(507,496	)			(1,197,567	)
Administrative Class			–				–
Plan Class			–				–
Net realized gains:
Class M			–				–
Class I			–				–
Administrative Class			–				–
Plan Class			–				–

Net decrease in net assets resulting from distributions			(963,578	)			(1,879,745	)


Capital Share Transactions:
Class M:
Proceeds from sale of shares			88,076,885				36,086,581
Shares issued in reinvestment of distributions			439,620				670,600
Cost of shares redeemed			(29,464,376	)			(18,094,738	)

Total Class M capital share transactions			59,052,129				18,662,443

Class I:
Proceeds from sale of shares			26,981,201				23,980,077
Shares issued in reinvestment of distributions			497,392				1,176,329
Cost of shares redeemed			(22,163,995	)			(33,995,015	)

Total Class I capital share transactions			5,314,598				(8,838,609	)

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 in net assets resulting from capital share transactions			64,366,727				9,823,834

Net increase/(decrease) in net assets			63,681,702				12,556,317
Net assets at beginning of period			124,923,890				112,367,573

Net assets at end of period (including undistributed (distributions in excess of) net investment income of $282, $272, $443,121, $244,177, $137,943, $76,841, $10,145,909 and $2,615,146, respectively)		$	188,605,592			$	124,923,890


	HIGH YIELD BOND FUND

	SIX MONTHS ENDED SEPTEMBER 30, 2013 (UNAUDITED)				YEAR ENDED MARCH 31, 2013
Operations:
Net investment income		$	60,746,226			$	148,276,282
Net realized gain/(loss) on investments			31,499,021				34,713,157
Net realized gain/(loss) on futures contracts, foreign currency exchange contracts, swap contracts and swaptions			209,301				11,045,322
Net change in unrealized appreciation/(depreciation) on investments			(81,836,284	)			92,424,634
Net change in unrealized appreciation/(depreciation) on futures contracts, foreign currency exchange contracts, swap contracts and swaptions			287,564				(9,857,497	)

Net increase in net assets resulting from operations			10,905,828				276,601,898

Distributions to Shareholders from:
Net investment income:
Class M			(34,211,904	)			(81,823,827	)
Class I			(24,669,974	)			(74,811,164	)
Net realized gains:
Class M			–				(6,182,089	)
Class I			–				(5,358,464	)

Net decrease in net assets resulting from distributions			(58,881,878	)			(168,175,544	)

Capital Share Transactions:
Class M:
Proceeds from sale of shares			416,291,879				615,127,925
Shares issued in reinvestment of distributions			31,898,791				81,492,543
Cost of shares redeemed			(422,059,096	)			(646,643,076	)

Total Class M capital share transactions			26,131,574				49,977,392

Class I:
Proceeds from sale of shares			266,941,258				548,085,889
Shares issued in reinvestment of distributions			20,247,151				58,602,050
Cost of shares redeemed			(378,987,180	)			(722,468,790	)

Total Class I capital share transactions			(91,798,771	)			(115,780,851	)

Net increase/(decrease) in net assets resulting from capital share transactions			(65,667,197	)			(65,803,459	)

Net increase/(decrease) in net assets			(113,643,247	)			42,622,895
Net assets at beginning of period			2,332,991,156				2,290,368,261

Net assets at end of period (including undistributed (distributions in excess of) net investment income of $(146,252), $(2,010,600), $289,122, $41,944, $0, $70,751, $(57,990), $(65) and $3, 780, respectively)		$	2,219,347,909			$	2,332,991,156


UNCONSTRAINED BOND FUND							FLOATING RATE INCOME FUND*					STRATEGIC INCOME FUND									ALPHATRAK 500 FUND

SIX MONTHS ENDED SEPTEMBER 30, 2013 (UNAUDITED)			YEAR ENDED MARCH 31, 2013					PERIOD ENDED SEPTEMBER 30, 2013 (UNAUDITED)					SIX MONTHS ENDED SEPTEMBER 30, 2013 (UNAUDITED)				YEAR ENDED MARCH 31, 2013					SIX MONTHS ENDED SEPTEMBER 30, 2013 (UNAUDITED)				YEAR ENDED MARCH 31, 2013

	$4,893,812			$	2,297,616				$	346,275				$	4,183,529			$	9,947,679				$	48,681			$	86,442
	(2,344,393	)			1,382,191					155,738					765,976				(6,393,913	)				(3,691	)			55,503
	2,841,017				(63,361	)				–					2,487				(22,687	)				496,146				790,729
	(4,794,497	)			2,324,507					410,703					(4,135,896	)			18,416,060					(14,873	)			78,726
	(527,948	)			(164,793	)				–					(24,804	)			(673	)				(37,006	)			41,400

	67,991				5,776,160					912,716					791,292				21,946,466					489,257				1,052,800



	(1,996,952	)			(1,460,705	)				(2,862	)				(697,273	)			(1,329,169	)				(52,526	)			(80,166	)
	(2,649,682	)			(845,079	)				(343,413	)				(3,357,515	)			(8,608,589	)				–				–

	–				(492,793	)				–					–				–					–				–
	–				(251,924	)				–					–				–					–				–

	(4,646,634	)			(3,050,501	)				(346,275	)				(4,054,788	)			(9,937,758	)				(52,526	)			(80,166	)



	165,425,407				107,020,530					1,115,216					26,061,325				24,337,978					1,036,975				2,808,081
	1,874,447				1,868,770					2,315					679,810				1,303,129					47,775				74,123
	(52,850,969	)			(20,686,661	)				(756	)				(16,145,867	)			(11,437,094	)				(1,473,659	)			(2,839,053	)

	114,448,885				88,202,639					1,116,775					10,595,268				14,204,013					(388,909	)			43,151


	233,439,310				82,546,495					80,026,570					18,926,287				21,378,281					–				–
	2,495,250				912,630					343,413					814,272				1,631,004					–				–
	(28,981,940	)			(4,077,822	)				(688,595	)				(8,970,944	)			(17,477,792	)				–				–

	206,952,620				79,381,303					79,681,388					10,769,615				5,531,493					–				–

	321,401,505				167,583,942					80,798,163					21,364,883				19,735,506					(388,909	)			43,151

	316,822,862				170,309,601					81,364,604					18,101,387				31,744,214					47,822				1,015,785
	187,980,069				17,670,468					–					215,573,312				183,829,098					6,156,164				5,140,379

	$504,802,931			$	187,980,069				$	81,364,604				$	233,674,699			$	215,573,312				$	6,203,986			$	6,156,164


	ULTRA SHORT BOND FUND CLASS M
	SIX MONTHS ENDED SEPTEMBER 30, 2013 (UNAUDITED)			YEAR ENDED MARCH 31, 2013			YEAR ENDED MARCH 31, 2012			YEAR ENDED MARCH 31, 2011			YEAR ENDED MARCH 31, 2010			YEAR ENDED MARCH 31, 2009
Net Asset Value, Beginning of Period		$ 4.31			$ 4.20			$ 4.24			$ 4.04			$ 3.53			$ 4.64


Income from Investment Operations:
Net investment income¹		0.02			0.06			0.08			0.11			0.20			0.25
Net realized and unrealized gain/(loss) on investments,futures contracts and swap contracts		(0.01	)		0.12			(0.04	)		0.21			0.51			(1.10	)


Total Income/(Loss) from Investment Operations		0.01			0.18			0.04			0.32			0.71			(0.85	)


Less Distributions:
From net investment income		(0.03	)		(0.07	)		(0.08	)		(0.12	)		(0.20	)		(0.26	)


Total Distributions		(0.03	)		(0.07	)		(0.08	)		(0.12	)		(0.20	)		(0.26	)


Net Asset Value, End of Period		$ 4.29			$ 4.31			$ 4.20			$ 4.24			$ 4.04			$ 3.53

Total Return		0.14	%		4.26	%		1.00	%		8.01	%		20.74	%		(18.85	)%

Ratios/Supplemental Data:
Net Assets, end of period (in thousands)		$115,711			$56,977			$37,261			$42,174			$22,020			$35,929
Ratio of Expenses to Average Net Assets²
Before expense waivers and reimbursements		0.59	%³		0.64	%		0.68	%		0.65	%		0.95	%		0.63	%
After expense waivers and reimbursements		0.50	%³		0.50	%		0.51	%		0.50	%		0.73	%		0.50	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		1.16	%³		1.50	%		1.90	%		2.57	%		5.24	%		5.84	%
Portfolio Turnover Rate		21	%⁴		43	%		29	%		42	%		43	%		20	%


	ULTRA SHORT BOND FUND CLASS I
	SIX MONTHS ENDED SEPTEMBER 30, 2013 (UNAUDITED)			YEAR ENDED MARCH 31, 2013			YEAR ENDED MARCH 31, 2012			YEAR ENDED MARCH 31, 2011			YEAR ENDED MARCH 31, 2010			YEAR ENDED MARCH 31, 2009
Net Asset Value, Beginning of Period		$ 4.32			$ 4.21			$ 4.25			$ 4.04			$ 3.53			$ 4.64


Income from Investment Operations:
Net investment income¹		0.03			0.07			0.09			0.12			0.19			0.26
Net realized and unrealized gain/(loss) on investments, futures contracts and swap contracts		(0.03	)		0.11			(0.04	)		0.22			0.53			(1.10	)


Total Income/(Loss) from Investment Operations		–			0.18			0.05			0.34			0.72			(0.84	)


Less Distributions:
From net investment income		(0.03	)		(0.07	)		(0.09	)		(0.13	)		(0.21	)		(0.27	)


Total Distributions		(0.03	)		(0.07	)		(0.09	)		(0.13	)		(0.21	)		(0.27	)


Net Asset Value, End of Period		$ 4.29			$ 4.32			$ 4.21			$ 4.25			$ 4.04			$ 3.53

Total Return		(0.02	)%		4.42	%		1.17	%		8.43	%		20.93	%		(18.72	)%

Ratios/Supplemental Data:
Net Assets, end of period (in thousands)		$72,895			$67,947			$75,106			$71,173			$79,830			$60,060
Ratio of Expenses to Average Net Assets²
Before expense waivers and reimbursements		0.43	%³		0.48	%		0.52	%		0.49	%		0.79	%		0.47	%
After expense waivers and reimbursements		0.34	%³		0.34	%		0.35	%		0.34	%		0.57	%		0.34	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		1.34	%³		1.70	%		2.03	%		2.83	%		4.93	%		6.09	%
Portfolio Turnover Rate		21	%⁴		43	%		29	%		42	%		43	%		20	%


	LOW DURATION BOND FUND CLASS M
	SIX MONTHS ENDED SEPTEMBER 30, 2013 (UNAUDITED)				YEAR ENDED MARCH 31, 2013				YEAR ENDED MARCH 31, 2012				YEAR ENDED MARCH 31, 2011				YEAR ENDED MARCH 31, 2010				YEAR ENDED MARCH 31, 2009
Net Asset Value, Beginning of Period		$	8.83			$	8.60			$	8.65			$	8.21			$	7.08			$	8.81


Income from Investment Operations:
Net investment income¹			0.08				0.25				0.26				0.26				0.33				0.49
Net realized and unrealized gain/(loss) on investments,futures contracts, foreign currency exchange contracts and swap contracts			(0.04	)			0.23				(0.05	)			0.44				1.15				(1.70	)


Total Income/(Loss) from Investment Operations			0.04				0.48				0.21				0.70				1.48				(1.21	)


Less Distributions:
From net investment income			(0.09	)			(0.25	)			(0.26	)			(0.26	)			(0.35	)			(0.52	)


Total Distributions			(0.09	)			(0.25	)			(0.26	)			(0.26	)			(0.35	)			(0.52	)


Net Asset Value, End of Period		$	8.78			$	8.83			$	8.60			$	8.65			$	8.21			$	7.08

Total Return			0.40	%			5.64	%			2.53	%			8.63	%			21.45	%			(14.20	)%

Ratios/Supplemental Data:
Net Assets, end of period (in thousands)			$1,790,085				$1,140,625				$1,214,668				$1,356,201				$1,032,666				$656,275
Ratio of Expenses to Average Net Assets²
Before expense waivers and reimbursements			0.53	%³			0.57	%			0.59	%			0.58	%			0.71	%			0.62	%
After expense waivers and reimbursements			0.53	%³			0.57	%			0.59	%			0.58	%			0.69	%			0.59	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			1.91	%³			2.83	%			3.06	%			3.01	%			4.32	%			6.00	%
Portfolio Turnover Rate			21	%⁴			60	%			60	%			87	%			36	%			38	%


	LOW DURATION BOND FUND CLASS I
	SIX MONTHS ENDED SEPTEMBER 30, 2013 (UNAUDITED)				YEAR ENDED MARCH 31, 2013				YEAR ENDED MARCH 31, 2012				YEAR ENDED MARCH 31, 2011				YEAR ENDED MARCH 31, 2010				YEAR ENDED MARCH 31, 2009
Net Asset Value, Beginning of Period		$	8.83			$	8.60			$	8.66			$	8.22			$	7.08			$	8.82


Income from Investment Operations:
Net investment income¹			0.09				0.26				0.28				0.27				0.35				0.50
Net realized and unrealized gain/(loss) on investments,futures contracts, foreign currency exchange contracts,swap contracts and written options			(0.05	)			0.24				(0.06	)			0.45				1.16				(1.71	)


Total Income/(Loss) from Investment Operations			0.04				0.50				0.22				0.72				1.51				(1.21	)


Less Distributions:
From net investment income			(0.09	)			(0.27	)			(0.28	)			(0.28	)			(0.37	)			(0.53	)


Total Distributions			(0.09	)			(0.27	)			(0.28	)			(0.28	)			(0.37	)			(0.53	)


Net Asset Value, End of Period		$	8.78			$	8.83			$	8.60			$	8.66			$	8.22			$	7.08

Total Return			0.50	%			5.84	%			2.61	%			8.82	%			21.83	%			(14.13	)%

Ratios/Supplemental Data:
Net Assets, end of period (in thousands)			$1,474,470				$741,747				$504,182				$573,395				$476,233				$313,864
Ratio of Expenses to Average Net Assets²
Before expense waivers and reimbursements			0.34	%³			0.38	%			0.40	%			0.39	%			0.52	%			0.43	%
After expense waivers and reimbursements			0.34	%³			0.38	%			0.40	%			0.39	%			0.50	%			0.40	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			2.07	%³			3.00	%			3.24	%			3.20	%			4.52	%			6.19	%
Portfolio Turnover Rate			21	%⁴			60	%			60	%			87	%			36	%			38	%


	LOW DURATION BOND FUND ADMINISTRATIVE CLASS*
	SIX MONTHS ENDED SEPTEMBER 30, 2013 (UNAUDITED)				YEAR ENDED MARCH 31, 2013				YEAR ENDED MARCH 31, 2012				YEAR ENDED MARCH 31, 2011				PERIOD ENDED MARCH 31, 2010
Net Asset Value, Beginning of Period		$	11.41			$	11.11			$	11.18			$	10.61			$	10.00


Income from Investment Operations:
Net investment income¹			0.09				0.32				0.31				0.31				0.15
Net realized and unrealized gain/(loss) on investments, futures contracts, foreign currency exchange contracts and swap contracts			(0.06	)			0.28				(0.06	)			0.57				0.64


Total Income from Investment Operations			0.03				0.60				0.25				0.88				0.79


Less Distributions:
From net investment income			(0.10	)			(0.30	)			(0.32	)			(0.31	)			(0.18	)


Total Distributions			(0.10	)			(0.30	)			(0.32	)			(0.31	)			(0.18	)


Net Asset Value, End of Period		$	11.34			$	11.41			$	11.11			$	11.18			$	10.61

Total Return			0.25	%			5.46	%			2.28	%			8.41	%			7.91	%²

Ratios/Supplemental Data:
Net Assets, end of period (in thousands)			$1,822				$105				$1,594				$2,133				$1,029
Ratio of Expenses to Average Net Assets³
Before expense waivers and reimbursements			0.73	%⁴			0.77	%			0.79	%			0.78	%			0.91	%⁴
After expense waivers and reimbursements			0.73	%⁴			0.77	%			0.79	%			0.78	%			0.89	%⁴
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			1.54	%⁴			2.85	%			2.82	%			2.78	%			2.72	%⁴
Portfolio Turnover Rate			21	%²			60	%			60	%			87	%			36	%²


	INTERMEDIATE BOND FUND CLASS M
	SIX MONTHS ENDED SEPTEMBER 30, 2013 (UNAUDITED)				YEAR ENDED MARCH 31, 2013				YEAR ENDED MARCH 31, 2012				YEAR ENDED MARCH 31, 2011				YEAR ENDED MARCH 31, 2010				YEAR ENDED MARCH 31, 2009
Net Asset Value, Beginning of Period		$	10.69			$	10.47			$	10.31			$	10.17			$	9.09			$	10.17


Income from Investment Operations:
Net investment income¹			0.15				0.35				0.40				0.44				0.49				0.52
Net realized and unrealized gain/(loss) on investments, futures contracts, foreign currency exchange contracts and swap contracts			(0.20	)			0.40				0.16				0.50				1.14				(0.93	)

Total Income/(Loss) from Investment Operations			(0.05	)			0.75				0.56				0.94				1.63				(0.41	)


Less Distributions:
From net investment income			(0.15	)			(0.35	)			(0.40	)			(0.44	)			(0.49	)			(0.52	)
From net capital gains			–				(0.18	)			–				(0.36	)			(0.01	)			(0.15	)
From return of capital			–				–				–				–				(0.05	)			(0.00	)²

Total Distributions			(0.15	)			(0.53	)			(0.40	)			(0.80	)			(0.55	)			(0.67	)

Net Asset Value, End of Period		$	10.49			$	10.69			$	10.47			$	10.31			$	10.17			$	9.09

Total Return			(0.51	)%			7.28	%			5.56	%			9.50	%			18.32	%			(3.95	%)

Ratios/Supplemental Data:
Net Assets, end of period (in thousands)		$	105,522			$	115,576			$	89,990			$	56,748			$	44,805			$	25,901
Ratio of Expenses to Average Net Assets³
Before expense waivers and reimbursements			0.68	%⁴			0.69	%			0.72	%			0.72	%			0.81	%			0.77	%
After expense waivers and reimbursements			0.65	%⁴			0.65	%			0.66	%			0.65	%			0.70	%			0.65	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			2.81	%⁴			3.24	%			3.89	%			4.24	%			5.00	%			5.47	%
Portfolio Turnover Rate			98	%⁵			119	%			145	%			192	%			95	%			178	%


	INTERMEDIATE BOND FUND CLASS I
	SIX MONTHS ENDED SEPTEMBER 30, 2013 (UNAUDITED)				YEAR ENDED MARCH 31, 2013				YEAR ENDED MARCH 31, 2012				YEAR ENDED MARCH 31, 2011				YEAR ENDED MARCH 31, 2010				YEAR ENDED MARCH 31, 2009
Net Asset Value, Beginning of Period		$	10.69			$	10.47			$	10.30			$	10.17			$	9.09			$	10.17


Income from Investment Operations:
Net investment income¹			0.16				0.37				0.43				0.46				0.51				0.54
Net realized and unrealized gain/(loss) on investments, futures contracts, foreign currency exchange contracts and swap contracts			(0.21	)			0.40				0.16				0.50				1.14				(0.93	)

Total Income/(Loss) from Investment Operations			(0.05	)			0.77				0.59				0.96				1.65				(0.39	)


Less Distributions:
From net investment income			(0.16	)			(0.37	)			(0.42	)			(0.47	)			(0.51	)			(0.54	)
From net capital gains			–				(0.18	)			–				(0.36	)			(0.01	)			(0.15	)
From return of capital			–				–				–				–				(0.05	)			(0.00	)²

Total Distributions			(0.16	)			(0.55	)			(0.42	)			(0.83	)			(0.57	)			(0.69	)

Net Asset Value, End of Period		$	10.48			$	10.69			$	10.47			$	10.30			$	10.17			$	9.09

Total Return			(0.50	)%			7.50	%			5.89	%			9.62	%			18.57	%			(3.75	)%

Ratios/Supplemental Data:
Net Assets, end of period (in thousands)		$	284,669			$	197,719			$	193,480			$	144,364			$	162,363			$	140,274
Ratio of Expenses to Average Net Assets³
Before expense waivers and reimbursements			0.47	%⁴			0.48	%			0.51	%			0.51	%			0.60	%			0.56	%
After expense waivers and reimbursements			0.44	%⁴			0.44	%			0.45	%			0.44	%			0.49	%			0.44	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			2.96	%⁴			3.46	%			4.11	%			4.45	%			5.25	%			5.62	%
Portfolio Turnover Rate			98	%⁵			119	%			145	%			192	%			95	%			178	%


	TOTAL RETURN BOND FUND CLASS M

	SIX MONTHS ENDED SEPTEMBER 30, 2013 (UNAUDITED)				YEAR ENDED MARCH 31, 2013				YEAR ENDED MARCH 31, 2012				YEAR ENDED MARCH 31, 2011				YEAR ENDED MARCH 31, 2010				YEAR ENDED MARCH 31, 2009
Net Asset Value, Beginning of Period			$ 10.92				$ 10.54				$ 10.41				$ 10.16				$ 8.89				$ 9.82


Income from Investment Operations:
Net investment income¹			0.17				0.36				0.45				0.47				0.57				0.53
Net realized and unrealized gain/(loss) on investments, futures contracts, foreign currency exchange contracts, swap contracts and written options			(0.30	)			0.62				0.21				0.42				1.26				(0.74	)

Total Income/(Loss) from Investment Operations			(0.13	)			0.98				0.66				0.89				1.83				(0.21	)


Less Distributions:
From net investment income			(0.17	)			(0.38	)			(0.45	)			(0.47	)			(0.56	)			(0.55	)
From net capital gains			–				(0.22	)			(0.08	)			(0.17	)			–				(0.17	)

Total Distributions			(0.17	)			(0.60	)			(0.53	)			(0.64	)			(0.56	)			(0.72	)


Net Asset Value, End of Period			$ 10.62				$ 10.92				$ 10.54				$ 10.41				$ 10.16				$ 8.89

Total Return			(1.20	)%			9.46	%			6.55	%			8.86	%			21.16	%			(2.10	%)

Ratios/Supplemental Data:
Net Assets, end of period (in thousands)		$	10,478,137			$	10,806,099			$	8,154,998			$	6,999,143			$	4,645,082			$	3,275,319
Ratio of Expenses to Average Net Assets²
Before expense waivers and reimbursements			0.60	%³			0.61	%			0.63	%			0.63	%			0.72	%			0.65	%
After expense waivers and reimbursements			0.60	%³			0.61	%			0.63	%			0.63	%			0.72	%			0.65	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			3.20	%³			3.30	%			4.33	%			4.47	%			5.88	%			5.74	%
Portfolio Turnover Rate			128	%⁴			160	%			156	%			228	%			141	%			220	%


	TOTAL RETURN BOND FUND CLASS I

	SIX MONTHS ENDED SEPTEMBER 30, 2013 (UNAUDITED)				YEAR ENDED MARCH 31, 2013				YEAR ENDED MARCH 31, 2012				YEAR ENDED MARCH 31, 2011				YEAR ENDED MARCH 31, 2010				YEAR ENDED MARCH 31, 2009
Net Asset Value, Beginning of Period		$	10.92			$	10.54			$	10.41			$	10.16			$	8.89			$	9.82


Income from Investment Operations:
Net investment income¹			0.18				0.38				0.47				0.49				0.58				0.55
Net realized and unrealized gain/(loss) on investments, futures contracts, foreign currency exchange contracts, swap contracts and written options			(0.30	)			0.62				0.21				0.42				1.27				(0.75	)


Total Income/(Loss) from Investment Operations			(0.12	)			1.00				0.68				0.91				1.85				(0.20	)


Less Distributions:
From net investment income			(0.18	)			(0.40	)			(0.47	)			(0.49	)			(0.58	)			(0.56	)
From net capital gains			–				(0.22	)			(0.08	)			(0.17	)			–				(0.17	)


Total Distributions			(0.18	)			(0.62	)			(0.55	)			(0.66	)			(0.58	)			(0.73	)


Net Asset Value, End of Period		$	10.62			$	10.92			$	10.54			$	10.41			$	10.16			$	8.89

Total Return			(1.10	)%			9.69	%			6.78	%			9.08	%			21.42	%			(1.89	)%

Ratios/Supplemental Data:
Net Assets, end of period (in thousands)			$13,847,131				$13,693,971				$11,275,951				$5,972,132				$3,784,988				$2,021,994
Ratio of Expenses to Average Net Assets²
Before expense waivers and reimbursements			0.39	%³			0.40	%			0.42	%			0.42	%			0.51	%			0.44	%
After expense waivers and reimbursements			0.39	%³			0.40	%			0.42	%			0.42	%			0.51	%			0.44	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			3.41	%³			3.52	%			4.53	%			4.67	%			6.03	%			5.95	%
Portfolio Turnover Rate			128	%⁴			160	%			156	%			228	%			141	%			220	%


	TOTAL RETURN BOND FUND ADMINISTRATIVE CLASS*

	SIX MONTHS ENDED SEPTEMBER 30, 2013 (UNAUDITED)				YEAR ENDED MARCH 31, 2013				YEAR ENDED MARCH 31, 2012				YEAR ENDED MARCH 31, 2011				PERIOD ENDED MARCH 31, 2010
Net Asset Value, Beginning of Period		$	10.93			$	10.55			$	10.42			$	10.17			$	10.00


Income from Investment Operations:
Net investment income¹			0.16				0.33				0.43				0.44				0.13
Net realized and unrealized gain/(loss) on investments, futures contracts, foreign currency exchange contracts, swap contracts and written options			(0.31	)			0.63				0.21				0.42				0.17

Total Income/(Loss) from Investment Operations			(0.15	)			0.96				0.64				0.86				0.30


Less Distributions:
From net investment income			(0.16	)			(0.36	)			(0.43	)			(0.44	)			(0.13	)
From net capital gains			–				(0.22	)			(0.08	)			(0.17	)			–

Total Distributions			(0.16	)			(0.58	)			(0.51	)			(0.61	)			(0.13	)

Net Asset Value, End of Period		$	10.62			$	10.93			$	10.55			$	10.42			$	10.17


Total Return			(1.39	)%			9.24	%			6.34	%			8.63	%			3.05	%²

Ratios/Supplemental Data:
Net Assets, end of period (in thousands)			$17,617				$15,783				$7,061				$6,681				$1,194
Ratio of Expenses to Average Net Assets³
Before expense waivers and reimbursements			0.80	%⁴			0.81	%			0.83	%			0.83	%			0.92	%
After expense waivers and reimbursements			0.80	%⁴			0.81	%			0.83	%			0.83	%			0.92	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			2.99	%⁴			3.04	%			4.14	%			4.16	%			4.66	%
Portfolio Turnover Rate			128	%²			160	%			156	%			228	%			141	%²


	TOTAL RETURN BOND FUND PLAN CLASS*

	SIX MONTHS ENDED SEPTEMBER 30, 2013 (UNAUDITED)				YEAR ENDED MARCH 31, 2013				PERIOD ENDED MARCH 31, 2012
Net Asset Value, Beginning of Period		$	10.30			$	9.95			$	10.00


Income from Investment Operations:
Net investment income¹			0.17				0.35				0.30
Net realized and unrealized gain/(loss) on investments, futures contracts, foreign currency exchange contracts, swap contracts and written options			(0.29	)			0.60				0.07


Total Income/(Loss) from Investment Operations			(0.12	)			0.95				0.37


Less Distributions:
From net investment income			(0.17	)			(0.38	)			(0.34	)
From net capital gains			–				(0.22	)			(0.08	)


Total Distributions			(0.17	)			(0.60	)			(0.42	)


Net Asset Value, End of Period		$	10.01			$	10.30			$	9.95


Total Return			(1.17	)%			9.73	%			3.81	%²

Ratios/Supplemental Data:
Net Assets, end of period (in thousands)			$433,247				$348,453				$119,860
Ratio of Expenses to Average Net Assets³
Before expense waivers and reimbursements			0.39	%⁴			0.40	%			0.41	%⁴
After expense waivers and reimbursements			0.39	%⁴			0.39	%			0.40	%⁴
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			3.39	%⁴			3.42	%			4.43	%⁴
Portfolio Turnover Rate			128	%²			160	%			156	%²


	HIGH YIELD BOND FUND CLASS M
	SIX MONTHS ENDED SEPTEMBER 30, 2013 (UNAUDITED)				YEAR ENDED MARCH 31, 2013				YEAR ENDED MARCH 31, 2012				YEAR ENDED MARCH 31, 2011				YEAR ENDED MARCH 31, 2010
Net Asset Value, Beginning of Period		$	10.59			$	10.11			$	10.94			$	10.40			$	7.65

Income from Investment Operations:
Net investment income¹			0.29				0.64				0.73				0.82				0.92
Net realized and unrealized gain/(loss) on investments, futures contracts and swap contracts			(0.23	)			0.57				(0.68	)			0.59				2.78

Total Income from Investment Operations			0.06				1.21				0.05				1.41				3.70

Less Distributions:
From net investment income			(0.28	)			(0.68	)			(0.76	)			(0.82	)			(0.91	)
From net capital gains			–				(0.05	)			(0.12	)			(0.05	)			(0.04	)

Total Distributions			(0.28	)			(0.73	)			(0.88	)			(0.87	)			(0.95	)

Redemption fees added to paid-in capital (Note 8)			–				–				0.00	²			0.00	²			0.00

Net Asset Value, End of Period		$	10.37			$	10.59			$	10.11			$	10.94			$	10.40

Total Return			0.55	%			12.40	%			0.68	%			14.19	%			49.85	%
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)		$	1,333,229			$	1,335,683			$	1,227,806			$	1,351,022			$	523,717
Ratio of Expenses to Average Net Assets³
Before expense waivers and reimbursements			0.82	%⁴			0.81	%			0.85	%			0.85	%			0.88	%
After expense waivers and reimbursements			0.80	%⁴			0.79	%			0.82	%			0.80	%			0.81	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			5.44	%⁴			6.20	%			7.14	%			7.73	%			9.29	%
Portfolio Turnover Rate			37	%⁵			74	%			54	%			34	%			40	%


	HIGH YIELD BOND FUND CLASS I
	SIX MONTHS ENDED SEPTEMBER 30, 2013 (UNAUDITED)				YEAR ENDED MARCH 31, 2013				YEAR ENDED MARCH 31, 2012				YEAR ENDED MARCH 31, 2011				YEAR ENDED MARCH 31, 2010				YEAR ENDED MARCH 31, 2009
Net Asset Value, Beginning of Period		$	10.59			$	10.11			$	10.94			$	10.40			$	7.65			$	9.71

Income from Investment Operations:
Net investment income¹			0.30				0.66				0.75				0.85				0.95				0.91
Net realized and unrealized gain/(loss) on investments, futures contracts and swap contracts			(0.23	)			0.57				(0.68	)			0.59				2.77				(2.09	)

Total Income/(Loss) from Investment Operations			0.07				1.23				0.07				1.44				3.72				(1.18	)

Less Distributions:
From net investment income			(0.29	)			(0.70	)			(0.78	)			(0.85	)			(0.93	)			(0.89	)
From net capital gains			–				(0.05	)			(0.12	)			(0.05	)			(0.04	)			–

Total Distributions			(0.29	)			(0.75	)			(0.90	)			(0.90	)			(0.97	)			(0.89	)

Redemption fees added to paid-in capital (Note 8)			–				–				–				0.00	²			0.00	²			0.01

Net Asset Value, End of Period		$	10.37			$	10.59			$	10.11			$	10.94			$	10.40			$	7.65

Total Return			0.68	%			12.67	%			0.93	%			14.48	%			50.22	%			(12.37	)%
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)		$	886,119			$	997,308			$	1,062,563			$	765,086			$	252,022			$	106,895
Ratio of Expenses to Average Net Assets³
Before expense waivers and reimbursements			0.57	%⁴			0.57	%			0.60	%			0.60	%			0.63	%			0.73	%
After expense waivers and reimbursements			0.55	%⁴			0.54	%			0.57	%			0.55	%			0.56	%			0.55	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			5.69	%⁴			6.46	%			7.35	%			7.99	%			9.82	%			10.88	%
Portfolio Turnover Rate			37	%⁵			74	%			54	%			34	%			40	%			107	%


	UNCONSTRAINED BOND FUND CLASS M^*
	SIX MONTHS ENDED SEPTEMBER 30, 2013 (UNAUDITED)				YEAR ENDED MARCH 31, 2013				PERIOD ENDED MARCH 31, 2012
Net Asset Value, Beginning of Period		$	11.81			$	11.23			$	10.00


Income from Investment Operations:
Net investment income¹			0.16				0.36				0.32
Net realized and unrealized gain/(loss) on investments, futures contracts, foreign currency exchange contracts and swap contracts			(0.16	)			0.61				1.24

Total Income from Investment Operations			–				0.97				1.56


Less Distributions:
From net investment income			(0.15	)			(0.39	)			(0.31	)
From net capital gains			–				–				(0.02	)

Total Distributions			(0.15	)			(0.39	)			(0.33	)

Net Asset Value, End of Period		$	11.66			$	11.81			$	11.23

Total Return			0.04	%			9.72	%			15.72	%²

Ratios/Supplemental Data:
Net Assets, end of period (in thousands)		$	212,421			$	100,087			$	9,894
Ratio of Expenses to Average Net Assets³
Before expense waivers and reimbursements			1.02	%⁴			1.35	%			2.86	%⁴
After expense waivers and reimbursements			0.99	%⁴			0.99	%			0.99	%⁴
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			2.73	%⁴			3.07	%			6.11	%⁴
Portfolio Turnover Rate			32	%²			43	%			29	%²


	FLOATING RATE INCOME FUND CLASS M* PERIOD ENDED SEPTEMBER 30, 2013 (UNAUDITED)
Net Asset Value, Beginning of Period		$	10.00


Income from Investment Operations:
Net investment income¹			0.07
Net realized and unrealized gain on investments, futures contracts, foreign currency exchange contracts and swap contracts			0.11

Total Income from Investment Operations			0.18


Less Distributions:
From net investment income			(0.05	)

Total Distributions			(0.05	)

Net Asset Value, End of Period		$	10.13

Total Return			1.79	%²

Ratios/Supplemental Data:
Net Assets, end of period (in thousands)		$	1,120
Ratio of Expenses to Average Net Assets³
Before expense waivers and reimbursements			1.13	%⁴
After expense waivers and reimbursements			0.85	%⁴
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			2.71	%⁴
Portfolio Turnover Rate			20	%²


	FLOATING RATE INCOME FUND CLASS I*
	PERIOD ENDED SEPTEMBER 30, 2013 (UNAUDITED)
Net Asset Value, Beginning of Period		$ 10.00


Income from Investment Operations:
Net investment income¹		0.06
Net realized and unrealized gain on investments, futures contracts, foreign currency exchange contracts and swap contracts		0.12

Total Income from Investment Operations		0.18


Less Distributions:
From net investment income		(0.05	)

Total Distributions		(0.05	)

Net Asset Value, End of Period		$ 10.13

Total Return		1.83	%²

Ratios/Supplemental Data:
Net Assets, end of period (in thousands)		$80,245
Ratio of Expenses to Average Net Assets³
Before expense waivers and reimbursements		0.88	%⁴
After expense waivers and reimbursements		0.65	%⁴
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		2.52	%⁴
Portfolio Turnover Rate		20	%²


	STRATEGIC INCOME FUND CLASS M
	SIX MONTHS ENDED SEPTEMBER 30, 2013 (UNAUDITED)				YEAR ENDED MARCH 31, 2013				YEAR ENDED MARCH 31, 2012				YEAR ENDED MARCH 31, 2011				YEAR ENDED MARCH 31, 2010				YEAR ENDED MARCH 31, 2009
Net Asset Value, Beginning of Period		$	8.32			$	7.82			$	8.21			$	7.45			$	5.69			$	8.85


Income from Investment Operations:
Net investment income¹			0.15				0.39				0.44				0.40				0.58				0.89
Net realized and unrealized gain/(loss) on investments, futures contracts and swap contracts			(0.13	)			0.51				(0.36	)			0.78				1.91				(2.98	)

Total Income/(Loss) from Investment Operations			0.02				0.90				0.08				1.18				2.49				(2.09	)


Less Distributions:
From net investment income			(0.14	)			(0.40	)			(0.47	)			(0.42	)			(0.73	)			(1.07	)

Total Distributions			(0.14	)			(0.40	)			(0.47	)			(0.42	)			(0.73	)			(1.07	)

Net Asset Value, End of Period		$	8.20			$	8.32			$	7.82			$	8.21			$	7.45			$	5.69

Total Return			0.28	%			11.80	%			1.11	%			16.21	%			46.49	%			(25.33	)%

Ratios/Supplemental Data:
Net Assets, end of period (in thousands)		$	46,828			$	36,823			$	20,882			$	88,162			$	47,906			$	8,020
Ratio of Expenses to Average Net Assets²
Before expense waivers and reimbursements			2.23	%³			2.16	%			2.14	%			2.22	%			2.01	%			0.79	%
After expense waivers and reimbursements			2.23	%³			2.16	%			2.14	%			2.22	%			2.01	%			0.79	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			3.55	%³			4.85	%			5.52	%			5.10	%			8.41	%			11.19	%
Portfolio Turnover Rate			24	%⁴			50	%			70	%			93	%			208	%			294	%


	STRATEGIC INCOME FUND CLASS 1
	SIX MONTHS ENDED SEPTEMBER 30, 2013 (UNAUDITED)				YEAR ENDED MARCH 31, 2013				YEAR ENDED MARCH 31, 2012				YEAR ENDED MARCH 31, 2011				YEAR ENDED MARCH 31, 2010				YEAR ENDED MARCH 31, 2009
Net Asset Value, Beginning of Period		$	8.32			$	7.82			$	8.21			$	7.44			$	5.69			$	8.85


Income from Investment Operations:
Net investment income¹			0.16				0.42				0.49				0.43				0.71				0.95
Net realized and unrealized gain/(loss) on investments,futures contracts and swap contracts			(0.14	)			0.50				(0.39	)			0.78				1.79				(3.02	)

Total Income/(Loss) from Investment Operations			0.02				0.92				0.10				1.21				2.50				(2.07	)


Less Distributions:
From net investment income			(0.15	)			(0.42	)			(0.49	)			(0.44	)			(0.75	)			(1.09	)


Total Distributions			(0.15	)			(0.42	)			(0.49	)			(0.44	)			(0.75	)			(1.09	)


Net Asset Value, End of Period		$	8.19			$	8.32			$	7.82			$	8.21			$	7.44			$	5.69

Total Return			0.28	%			12.08	%			1.36	%			16.66	%			46.65	%			(25.14	)%

Ratios/Supplemental Data:
Net Assets, end of period (in thousands)		$	186,846			$	178,751			$	162,947			$	180,409			$	167,570			$	119,302
Ratio of Expenses to Average Net Assets²
Before expense waivers and reimbursements			1.98	%³			1.91	%			1.89	%			1.97	%			1.76	%			0.51	%
After expense waivers and reimbursements			1.98	%³			1.91	%			1.89	%			1.97	%			1.76	%			0.51	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			3.81	%³			5.18	%			6.19	%			5.41	%			10.56	%			12.39	%
Portfolio Turnover Rate			24	%⁴			50	%			70	%			93	%			208	%			294	%


	ALPHATRAK 500 FUND CLASS M
	SIX MONTHS ENDED SEPTEMBER 30, 2013 (UNAUDITED)				YEAR ENDED MARCH 31, 2013				YEAR ENDED MARCH 31, 2012				YEAR ENDED MARCH 31, 2011				YEAR ENDED MARCH 31, 2010				YEAR ENDED MARCH 31, 2009
Net Asset Value, Beginning of Period		$	5.35			$	4.63			$	4.48			$	3.79			$	2.96			$	6.71


Income from Investment Operations:
Net investment income¹			0.04				0.07				0.11				0.12				0.15				0.29
Net realized and unrealized gain/(loss) on investments,futures contracts and swap contracts			0.41				0.71				0.21				0.84				2.45				(4.01	)

Total Income/(Loss) from Investment Operations			0.45				0.78				0.32				0.96				2.60				(3.72	)


Less Distributions:
From net investment income			(0.05	)			(0.06	)			(0.09	)			(0.17	)			(0.18	)			(0.03	)
From net capital gains			–				–				–				–				(0.22	)			–
From return of capital			–				–				(0.08	)			(0.10	)			(1.37	)			–

Total Distributions			(0.05	)			(0.06	)			(0.17	)			(0.27	)			(1.77	)			(0.03	)

Net Asset Value, End of Period		$	5.75			$	5.35			$	4.63			$	4.48			$	3.79			$	2.96

Total Return			8.65	%			16.88	%			7.35	%			26.31	%			96.57	%			(55.65	)%

Ratios/Supplemental Data:
Net Assets, end of period (in thousands)		$	6,204			$	6,156			$	5,140			$	9,780			$	11,039			$	59,334
Ratio of Expenses to Average Net Assets²
Before expense waivers and reimbursements			2.79	%³			2.94	%			2.09	%			1.88	%			1.30	%			0.24	%
After expense waivers and reimbursements			0.90	%³			0.91	%⁴			0.97	%			0.90	%			1.21	%			0.22	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			1.60	%³			1.45	%			2.75	%			3.14	%			3.84	%			5.57	%
Portfolio Turnover Rate			22	%⁵			41	%			31	%			71	%			24	%			145	%