MetWest Fund

FUTURES CONTRACTS: LONG POSITIONS

S&P 500 E Mini Index,
Expiration June 2014

Net unrealized (depreciation)

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.

We are pleased to present this Annual Report for the Metropolitan West Funds for the period ended March 31, 2014. With your continued investment in and ongoing sponsorship of the Funds, assets grew to over $34 billion by the end of March 2014. As fund advisor, MetWest appreciates this steady growth not only as an indicator that we continue to meet the portfolio needs of our clients, but as a basis to maintain and enhance the resources of the investment team to deliver returns in all types of market environments.

The March 31, 2014 Annual Report for the Metropolitan West Funds covers the following:

Coming into 2014, much was made of December’s Federal Reserve (Fed) announcement to begin slowing its purchases of U.S. Treasury and agency mortgage-backed securities (MBS). Would the economy suffer? Would government rates continue their rise that saw the 10-Year U.S. Treasury yield peak at 3.03% to close the year? Would other securities markets face increased volatility or fall back as the Fed withdrew support? Though it seemed rather clear that the ongoing securities purchases were not providing much thrust to the real economy by way of job creation and GDP expansion, it was fairly evident that asset prices were rising through 2013, whether on homes, equities or high yield bonds, to cite a few. Therefore, it has been unsurprising that the Fed was, and is expected to be, resolute in its meeting-by-meeting reduction, bringing what had been an $85 billion monthly buying program down to $55 billion by quarter-end. Meanwhile, the world kept on spinning, offering no shortage of other (potentially adverse) influences in the first quarter. Severe winter weather across much of the U.S. slowed economic activity domestically, China’s growth engine seemed to sputter, and Russia amplified global tensions with its annexation of Crimea.

Despite the uncertainties, capital markets rebounded from a slow start in January to finish the quarter in positive territory. The S&P 500 Index gained 1.8%, reaching new highs throughout the quarter and credit spreads narrowed across investment grade and high yield markets. With the yield on the 10-Year U.S. Treasury falling by approximately 30 basis points since the beginning of the year, the Barclays Aggregate return of 1.8% was nearly enough to overcome the 2% calendar year loss for 2013. So, ironically, it was the U.S.Treasury market that faced the most pronounced spasm of volatility when, following the March Federal Open Markets Committee meeting, new Chair Janet Yellen suggested that a hike to the Fed Funds rate could be in the works as early as six months following the conclusion of the buying program, a date the market interpreted to be in early 2015, sooner than previously priced into the U.S. Treasury curve. The immediate impact was a spike in rate volatility as short U.S. Treasuries sold off, and a sharp one day run-up in 5-Year U.S. Treasury yields. As the quarter came to a close, with the 5-Year largely unchanged and longer rates down 30 to 40 basis points, a much flatter term structure was in place.

Lower interest rates and tighter spreads drove positive returns across non-government fixed income sectors, with down-in-quality outperforming on a continuing quest for yield. High yield credit benefitted from steady inflows during the quarter, gaining 3% and producing 200 basis points of excess return, while emerging market debt recovered from a January setback to post a solid gain for the quarter. Among investment grade sectors, corporates returned nearly 3% as risk premiums fell to near the lows seen in 2007, prior to the financial crisis. Despite increased leverage in the sector, industrial credits outpaced utilities and financials on a duration-adjusted basis. Performance among securitized products was generally favorable outside of agency MBS, which struggled in the first quarter as changing expectations for future Fed policy drove episodic volatility and pushed spreads wider among lower coupon issues. Non-agency residential MBS remained sought-after sources of attractive risk-adjusted yield and commercial MBS were buoyed by strengthening collateral performance. Lastly, asset-backed securities (ABS) backed by student loans were beneficiaries of good demand for short duration, floating rates and a significant degree of government backing.

Expectations for the economy remain consistent with the past several quarters, continuing the expansion but bearing little evidence of an accelerating pace. While the withdrawal of monetary accommodation would typically presage a slowing, the absence of a sustained breakout – in terms of GDP and job growth - since 2008 argues that the effect has been far more meaningful on asset valuations than the economy. To the contrary, risks accumulated over the prolonged period of stimulus continue to argue for an upward normalization of rates, particularly if inflation appears.

As a result, strategy across the Funds continues to be largely influenced by a view that interest rate pressures will heighten over time and that late-stage credit cycle dynamics such as increased leverage and looser underwriting standards warrant a cautious and selective investment strategy. Interest rate risk is constrained via a shorter-than-Index duration position and selective asset allocation across non-government fixed income sectors. The Funds, where appropriate, retain a constructive view on non-agency residential MBS with an overweight, particularly among floating rate issues which generally offer better total return potential and protection from higher interest rates. ABS and commercial MBS continue to represent a relative overweight, with security selection focused on non-traditional ABS collateral types such as student loans while the emphasis among commercial MBS has shifted to agency-backed issues with some exposure to super-senior tranches of seasoned and de-levered non-agency commercial MBS.

Corporate credit has become less attractive with leverage rising and yield spreads narrowing, thus informing an underweight, particularly among industrial credits. However, financials and utilities continue to represent an overweight as both are somewhat protected from increasing leverage due to regulatory oversight. 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. In the High Yield Fund, this approach manifests itself in a tilt away from the lower quality and less well-collateralized segments of the market, reducing potential risk as the credit cycle ages.

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

Performance across the Funds was generally favorable over the past year, with the defensive duration positioning in the middle part of last year proving beneficial on a relative return basis as rates climbed sharply in the wake of Fed comments regarding asset purchases. While relative performance was favorable, the Funds benefitted from the ongoing allocation to non-agency residential mortgage-backed securities, which continue to fare well in recovering from the 2008 financial crisis, to generate decidedly positive returns compared to broad market indexes, which posted slight losses over the annual reporting period.

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, by (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 gained nearly 6% over the year, though an underweight to lower quality issues cost it performance relative to the Index, as liquid markets continue to reward even the most leveraged issuers with richer valuations. Nevertheless, the Fund continues to perform very well from a risk-adjusted standpoint and should be well-poised to capitalize as the credit cycle continues to mature and would-be volatility picks up. Overall, the Fund continues to exhibit favorable default and loss-given-default measures, a sign of solid security selection, which is anticipated to benefit the Fund as the market becomes more discriminating in the quarters ahead.

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%.

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%.

In an environment of unprecedented and ongoing Fed accommodation and an aging credit cycle, it’s as important as ever to maintain a value-oriented discipline and a long-term perspective to carry through to our investment management. Key to this is diversification and risk control, with an awareness to opportunities that generate returns and protect those gains as they are earned.

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 purchases more speculative bonds, which are subject to greater risks than higher rated bonds, including “leverage risk”. The Strategic Income Fund engages in sophisticated investment strategies, and is subject to short sales and leverage risks. The AlphaTrak 500 trades futures and derivative contracts. These Funds may not be suitable for all investors.

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

The 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), High Yield Bond Fund, Unconstrained Bond Fund and AlphaTrak 500 Fund until July 31, 2014.

The views and forecasts expressed here are as of April 2014, 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.

The graphs below illustrate the assumed investment of $10,000 for each of the Metropolitan West Funds. The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher than the performance data quoted. Performance data current to the most recent month-end may be obtained at www.mwamllc.com. Returns are due in part to market conditions which may not be repeated in the future. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost.

The performance tables and graphs do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. Unlike an index, the Fund’s total returns are reduced by transaction costs, taxes, management fees and other expenses.

The graph below compares the increase in value of a $10,000 investment in the Metropolitan West Ultra Short Bond Fund Class M with the performance of the Merrill Lynch 1-Year U.S. Treasury Index. The one year and average annual 10 year total returns for the Metropolitan West Ultra Short Bond Fund Class M were 0.74% and 1.84%, respectively. The inception date for the Class M was June 30, 2003. The graph assumes that distributions were reinvested.

The inception date for the Metropolitan West Ultra Short Bond Fund Class I was July 31, 2004. The one year and average annual since inception total returns for the Metropolitan West Ultra Short Bond Fund Class I were 0.90% and 1.99%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Ultra Short Bond Fund Class I shares would have been valued at $12,103.

The graph below compares the increase in value of a $10,000 investment in the Metropolitan West Low Duration Bond Fund Class M with the performance of the Merrill Lynch 1-3 Year U.S. Treasury Index. The one year and average annual 10 year total returns for the Metropolitan West Low Duration Bond Fund Class M were 1.45% and 3.20%, respectively. The graph assumes that distributions were reinvested.

For the Metropolitan West Low Duration Bond Fund Class I, the one year and average annual 10 year total returns for the Metropolitan West Low Duration Bond Fund Class I were 1.64% and 3.40%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Low Duration Bond Fund Class I shares would have been valued at $13,969.

The inception date for the Metropolitan West Low Duration Bond Fund Administrative Class was September 22, 2009. The one year and average annual since inception total returns for the Metropolitan West Low Duration Bond Fund Administrative Class were 1.21% and 5.56%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Low Duration Bond Fund Administrative Class shares would have been valued at $12,772.

The graph below compares the increase in value of a $10,000 investment in the Metropolitan West Intermediate Bond Fund Class M with the performance of the Barclays U.S. Intermediate Government/Credit Bond Index. The one year and average annual 10 year total returns for the Metropolitan West Intermediate Bond Fund Class M were 0.80% and 5.18%, respectively. The inception date for Class M was June 30, 2003. The graph assumes that distributions were reinvested.

The inception date for the Metropolitan West Intermediate Bond Fund Class I was June 28, 2002. The one year and average annual 10 year total returns total returns for the Metropolitan West Intermediate Bond Fund Class I were 1.02% and 5.41%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Intermediate Bond Fund Class I shares would have been valued at $16,934.

The graph below compares the increase in value of a $10,000 investment in the Metropolitan West Total Return Bond Fund Class M with the performance of the Barclays U.S. Aggregate Bond Index. The one year and average annual 10 year total returns for the Metropolitan West Total Return Bond Fund Class M were 1.07% and 6.30%, respectively. The graph assumes that distributions were reinvested.

For the Metropolitan West Total Return Bond Fund Class I, the one year and average annual 10 year total returns for the Metropolitan West Total Return Bond Fund Class I were 1.29% and 6.53%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Total Return Bond Fund Class I shares would have been valued at $18,817.

The inception date for the Metropolitan West Total Return Bond Fund Administrative Class was December 18, 2009. The one year and average annual since inception total returns for the Metropolitan West Total Return Bond Fund Administrative Class were 0.79% and 6.52%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Total Return Bond Fund Administrative Class shares would have been valued at $13,106.

The inception date for the Metropolitan West Total Return Bond Fund Plan Class was August 1, 2011. The one year and average annual since inception total returns for the Metropolitan West Total Return Bond Fund Plan Class 1.30% and 5.50%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Total Return Bond Fund Plan Class shares would have been valued at $11,539.

The graph below compares the increase in value of a $10,000 investment in the Metropolitan West High Yield Bond Fund Class M with the performance of the Barclays U.S. Corporate High Yield Index - 2% Issuer Cap. The one year and average annual 10 year total returns for the Metropolitan West High Yield Bond Fund Class M were 5.89% and 7.99%, respectively. The inception date for Class M was September 30, 2002. The graph assumes that distributions were reinvested.

The inception date for the Metropolitan West High Yield Bond Fund Class I was March 31, 2003. The one year and average annual 10 year total returns for the Metropolitan West High Yield Bond Fund Class I were 6.16% and 8.25%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West High Yield Bond Fund Class I shares would have been valued at $22,094.

The graph below compares the increase in value of a $10,000 investment in the Metropolitan West Unconstrained Bond Fund Class M with the performance of the Merrill Lynch U.S. Libor 3- month average Index. The one year and average annual since inception total returns for the Metropolitan West Unconstrained Bond Fund Class M were 3.09% and 11.36%, respectively. The inception date for Class M was October 1, 2011. The graph assumes that distributions were reinvested.

The inception date for the Metropolitan West Unconstrained Bond Fund Class I was October 1, 2011. The one year and average annual since inception total returns for the Metropolitan West Unconstrained Bond Fund Class I were 3.34% and 11.58%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Unconstrained Bond Fund Class I shares would have been valued at $13,155.

The graph below compares the increase in value of a $10,000 investment in the Metropolitan West Floating Rate Income Fund Class M with the performance of the S&P/LSTA Leveraged Loan Index. The one year and average annual since inception total returns for the Metropolitan West Floating Rate Income Fund Class M were 3.29% and 5.15%, respectively. The inception date for Class M was June 28, 2013. The graph assumes that distributions were reinvested.

The inception date for the Metropolitan West Floating Rate Income Fund Class I was June 28, 2013. The one year and average annual since inception total returns for the Metropolitan West Unconstrained Bond Fund Class I were 3.39% and 5.29%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Unconstrained Bond Fund Class I shares would have been valued at $10,529.

The graph below compares the increase in value of a $10,000 investment in the Metropolitan West Strategic Income Fund Class M with the performance of the Merrill Lynch 3-month U.S. Treasury Index plus 200 basis points. The one year and average annual 10 year total returns for the Metropolitan West Strategic Income Fund Class M were 2.42% and 3.79%, respectively. The inception date for Class M was June 30, 2003. The graph assumes that distributions were reinvested.

The inception date for the Metropolitan West Strategic Income Fund Class I was March 31, 2004. The one year and average annual since inception total returns for the Metropolitan West Strategic Income Fund Class I were 2.69% and 4.05%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Strategic Income Fund Class I shares would have been valued at $14,881.

The graph below compares the increase in value of a $10,000 investment in the Metropolitan WestAlphaTrak 500 Fund with the performance of the S&P 500 Index. The one year and average annual 10 year total returns for the Metropolitan West AlphaTrak 500 Fund were 22.75% and 7.09%, respectively. The graph assumes that distributions were reinvested.

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 Maturity” table is 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.

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 December 31, 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 – 86.19%
ASSET-BACKED SECURITIES — 3.65%**
Goal Capital Funding Trust, Series 2006-1, Class A3
0.36%		11/25/26	²	$	290,907	$	288,284
Nelnet Student Loan Trust, Series 2012-5A, Class A
0.75%		10/27/36	^2,3		248,420		249,456
SLC Student Loan Trust, Series 2005-1, Class A2
0.32%		11/15/21	²		984,463		984,085
SLM Student Loan Trust, Series 2003-12, Class A5
0.51%		09/15/22	^2,3		395,244		395,373
SLM Student Loan Trust, Series 2005-8, Class A3
0.35%		10/25/24	²		987,057		984,948
SLM Student Loan Trust, Series 2006-4, Class A5
0.34%		10/27/25	²		980,000		976,729
SLM Student Loan Trust, Series 2007-7, Class A3
0.48%		04/25/17	²		990,000		988,292
SLM Student Loan Trust, Series 2008-5, Class A3
1.54%		01/25/18	²		960,000		968,085
SLM Student Loan Trust, Series 2008-8, Class A2
1.14%		10/25/17	²		298,218		299,701
SLM Student Loan Trust, Series 2012-6, Class A2
0.43%		09/25/19	²		700,000		699,358
SLM Student Loan Trust, Series 2013-4, Class A
0.70%		06/25/27	²		358,949		358,299
Triton Container Finance LLC, Series 2007-1A, Class NOTE
0.29%		02/26/19	^2,3		34,375		34,242

Total Asset-Backed Securities
(Cost $7,223,273)							7,226,852


BANK LOANS — 0.32%*
Health Care — 0.32%
HCA, Inc., Term Loan B4
2.98%		05/01/18	²		637,438		637,999

Total Bank Loans
(Cost $637,438)

CORPORATES — 12.13%*
Automotive — 0.46%
Nissan Motor Acceptance Corp.
0.94%		09/26/16	^2,3		900,000		905,053


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Banking — 2.06%
Abbey National Treasury Services PLC/London (United Kingdom)
1.82%		04/25/14	^2,4	$	550,000	$	550,491
3.88%		11/10/14	^3,4		500,000		510,292
Bank of America N.A. (BKNT)
0.53%		06/15/17	²		750,000		736,800
Credit Suisse/New York (YCD) (Switzerland)
0.56%		08/24/15	^2,4		850,000		850,055
JPMorgan Chase Bank N.A.
0.56%		06/13/16	²		550,000		547,470
JPMorgan Chase Bank N.A. (BKNT)
5.88%		06/13/16			295,000		325,351
National Australia Bank Ltd., Series REGS
(Australia)
0.96%		04/11/14	^2,4		550,000		550,084

							4,070,543

Communications — 0.81%
AT&T, Inc.
2.50%		08/15/15			650,000		666,377
Verizon Communications, Inc.
1.76%		09/15/16	²		900,000		926,784

							1,593,161

Electric — 0.31%
NextEra Energy Capital Holdings, Inc.
1.34%		09/01/15			600,000		604,570

Energy — 0.62%
Florida Gas Transmission Co. LLC
4.00%		07/15/15	³		550,000		572,954
Trans-Canada Pipelines Ltd. (Canada)
0.91%		06/30/16	^2,4		650,000		655,360

							1,228,314

Finance — 2.08%
Citigroup, Inc.
1.20%		07/25/16	²		800,000		809,285
5.30%		01/07/16			275,000		295,770
Ford Motor Credit Co. LLC, Series FRN
1.49%		05/09/16	²		600,000		609,814
General Electric Capital Corp. (MTN)
0.38%		06/20/14	²		250,000		250,129
General Electric Capital Corp.,
Series A (MTN)
0.49%		09/15/14	²		300,000		300,359
General Electric Capital Corp.,
Series G (MTN)
0.89%		07/12/16	²		500,000		505,159
Goldman Sachs Group, Inc., Series B (MTN)
0.64%		07/22/15	²		200,000		199,965


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Finance (continued)
International Lease Finance Corp.
6.50%		09/01/14	³	$	350,000	$	359,187
Macquarie Group Ltd. (Australia)
7.30%		08/01/14	^3,4		518,000		529,321
Morgan Stanley (MTN)
0.69%		10/18/16	²		260,000		259,272

							4,118,261

Food — 0.26%
Kraft Foods Group, Inc.
1.62%		06/04/15			500,000		505,991

Health Care — 0.41%
McKesson Corp.
0.64%		09/10/15	²		800,000		801,097

Industrials — 0.33%
Heathrow Funding Ltd. (United Kingdom)
2.50%		06/25/15	^3,4		650,000		660,021

Insurance — 0.64%
Farmers Insurance Exchange
6.00%		08/01/14	³		460,000		466,154
Metropolitan Life Global Funding I
0.77%		07/15/16	^2,3		250,000		251,791
1.70%		06/29/15	³		550,000		557,420

							1,275,365

Real Estate Investment Trust (REIT) — 4.04%
Brandywine Operating Partnership LP
7.50%		05/15/15			700,000		749,776
Camden Property Trust
5.00%		06/15/15			320,000		336,114
HCP, Inc.
6.00%		01/30/17			1,100,000		1,238,218
7.07%		06/08/15			625,000		671,588
Kimco Realty Corp. (MTN)
5.58%		11/23/15			560,000		602,039
Mid-America Apartments LP
5.50%		10/01/15	³		900,000		959,161
Nationwide Health Properties, Inc.
6.00%		05/20/15			1,025,000		1,085,877
Pan Pacific Retail Properties, Inc.
5.25%		09/01/15			500,000		529,951
Realty Income Corp.
5.50%		11/15/15			700,000		750,792
WEA Finance LLC/WT Finance Aust Pty Ltd.
5.75%		09/02/15	³		1,000,000		1,066,879

							7,990,395


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Transportation — 0.11%
JetBlue Airways Pass-Through Trust,
Series 2004, Class G1
0.61%		08/15/16	²	$	225,777	$	222,954

Total Corporates
(Cost $23,697,928)							23,975,725


FOREIGN GOVERNMENT OBLIGATIONS — 0.33%
Foreign Government Obligations — 0.33%
Kommuninvest I Sverige AB (Sweden)
0.22%		09/12/14	^2,3,4		645,000		645,065

Total Foreign Government Obligations
(Cost $645,000)

MORTGAGE-BACKED — 63.23%**
Commercial Mortgage-Backed — 8.64%
Banc of America Merrill Lynch Commercial
Mortgage, Inc., Series 2004-6, Class A5
4.81%		12/10/42			865,000		873,759
Banc of America Merrill Lynch Commercial
Mortgage, Inc., Series 2005-4, Class A4
5.19%		07/10/45	²		700,000		707,856
Banc of America Merrill Lynch Commercial
Mortgage, Inc., Series 2005-6, Class A4
5.18%		09/10/47	²		535,000		565,540
Banc of America Merrill Lynch Commercial
Mortgage, Inc., Series 2007-3, Class A3
5.60%		06/10/49	²		432,176		432,956
Bear Stearns Commercial Mortgage
Securities Trust, Series 2007-PW16,
Class AAB
5.72%		06/11/40	²		295,189		305,792
Bear Stearns Commercial Mortgage
Securities Trust, Series 2007-PW17,
Class A3
5.74%		06/11/50			340,493		351,442
Commercial Mortgage Trust,
Series 2005-GG5, Class A41
5.24%		04/10/37	²		305,880		306,553
Commercial Mortgage Trust,
Series 2006-C7, Class A4
5.77%		06/10/46	²		764,785		830,978
Commercial Mortgage Trust,
Series 2006-C8, Class AAB
5.29%		12/10/46			181,566		184,318
Credit Suisse First Boston Commercial
Mortgage Trust, Series 2005-C1, Class A4
5.01%		02/15/38	²		842,119		861,204
DBUBS Mortgage Trust, Series 2011-LX2A,
Class A1
3.53%		07/10/44	³		978,188		1,028,105
GE Capital Commercial Mortgage Corp.
Trust, Series 2005-C1, Class A3
4.58%		06/10/48			234,129		237,213


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed (continued)
GE Capital Commercial Mortgage Corp.
Trust, Series 2005-C1, Class A5
4.77%		06/10/48	²	$	510,000	$	522,468
JPMorgan Chase Commercial Mortgage
Securities Corp., Series 2004-CBX,
Class A5
4.65%		01/12/37			425,120		425,922
JPMorgan Chase Commercial Mortgage
Securities Corp., Series 2004-CBX,
Class A6
4.90%		01/12/37			1,600,000		1,629,330
JPMorgan Chase Commercial Mortgage
Securities Corp., Series 2005-LDP2,
Class ASB
4.66%		07/15/42			169,147		170,996
JPMorgan Chase Commercial Mortgage
Securities Corp., Series 2005-LDP5,
Class A3
5.27%		12/15/44	²		328,427		332,687
JPMorgan Chase Commercial Mortgage
Securities Corp., Series 2005-LDP5,
Class A4
5.24%		12/15/44	²		425,000		448,706
JPMorgan Chase Commercial Mortgage
Securities Corp., Series 2006-CB14,
Class ASB
5.51%		12/12/44	²		215,019		221,528
JPMorgan Chase Commercial Mortgage
Securities Corp., Series 2006-LDP9,
Class A3S
5.24%		05/15/47	³		116,110		116,923
JPMorgan Chase Commercial Mortgage
Securities Corp., Series 2007-CB20,
Class ASB
5.69%		02/12/51			169,104		180,306
JPMorgan Chase Commercial Mortgage
Securities Corp., Series 2007-LD11,
Class ASB
5.82%		06/15/49	²		348,073		370,763
LB-UBS Commercial Mortgage Trust,
Series 2006-C1, Class A4
5.16%		02/15/31			635,000		672,594
Merrill Lynch Mortgage Investors, Inc.,
Series 2004-KEY2, Class A4
4.86%		08/12/39	²		754,170		760,009
Merrill Lynch Mortgage Trust,
Series 2004-BPC1, Class A5
4.86%		10/12/41	²		701,740		708,296
Morgan Stanley Capital I Trust,
Series 2001-C3, Class A2
3.22%		08/15/49			617,748		644,950
Morgan Stanley Capital I Trust,
Series 2005-T19, Class A4A
4.89%		06/12/47			542,132		564,214


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed (continued)
Morgan Stanley Capital I Trust,
Series 2006-T23, Class A4
5.81%		08/12/41	²	$	520,000	$	567,035
Morgan Stanley Capital I Trust,
Series 2007-HQ12, Class A2
5.58%		04/12/49	²		976,641		999,006
Wachovia Bank Commercial Mortgage Trust,
Series 2004-C15, Class A4
4.80%		10/15/41			415,000		421,221
Wachovia Bank Commercial Mortgage Trust,
Series 2007-C31, Class A2
5.42%		04/15/47			203,424		203,329
WF-RBS Commercial Mortgage Trust,
Series 2011-C2, Class A1
2.50%		02/15/44	³		426,751		431,630

							17,077,629

Non-Agency Mortgage-Backed — 10.46%
Aames Mortgage Trust, Series 2002-1,
Class A3 (STEP)
6.45%		06/25/32			34,578		33,625
Adjustable Rate Mortgage Trust,
Series 2005-1, Class 1A1
2.92%		05/25/35	²		819,400		719,966
Adjustable Rate Mortgage Trust,
Series 2005-11, Class 2A12
2.63%		02/25/36	²		368,756		359,543
Adjustable Rate Mortgage Trust,
Series 2005-11, Class 2A41
2.63%		02/25/36	²		561,115		542,137
Asset-Backed Securities Corp. Home Equity
Loan Trust, Series 2005-HE4, Class M2
0.60%		05/25/35	²		385,203		385,188
Banc of America Funding Corp.,
Series 2003-2, Class 1A1
6.50%		06/25/32			9,033		9,577
Banc of America Funding Corp.,
Series 2006-G, Class 2A3
0.33%		07/20/36	²		265,625		265,415
Banc of America Mortgage Securities, Inc.,
Series 2003-A, Class 2A2
2.98%		02/25/33	²		3,419		3,425
BCAP LLC Trust, Series 2007-AA1,
Class 1A2
0.31%		02/25/47	²		443,074		397,779
Centex Home Equity Loan Trust,
Series 2005-D, Class M1
0.58%		10/25/35	²		575,000		559,957
Citigroup Mortgage Loan Trust, Inc.,
Series 2004-HYB1, Class A41
2.86%		02/25/34	²		119,623		118,207


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Citigroup Mortgage Loan Trust, Inc., Series 2005-WF2, Class MV1
0.80%		08/25/35	²	$	401,740	$	396,742
Citigroup Mortgage Loan Trust, Inc., Series 2007-WFH2, Class A3
0.33%		03/25/37	²		2,500,000		2,439,869
Conseco Financial Corp., Series 1994-1, Class A5
7.65%		04/15/19			798		837
Countrywide Alternative Loan Trust, Series 2004-J6, Class 2A1
6.50%		11/25/31			130,997		138,051
Credit Suisse Commercial Mortgage Trust, Series 2007-C5, Class AAB
5.62%		09/15/40	²		781,385		834,402
Credit Suisse First Boston Mortgage Securities Corp., Series 2002-AR31, Class 4A2
2.66%		11/25/32	²		200,000		181,978
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB4, Class A2A (STEP)
4.68%		04/25/37			53,204		53,609
DBRR Trust, Series 2012-EZ1, Class A
0.95%		09/25/45	³		240,533		241,025
DBRR Trust, Series 2013-EZ2, Class A
0.85%		02/25/43	^2,3		613,581		610,820
Downey Savings & Loan Association Mortgage Loan Trust, Series 2004-AR3, Class 2A2A
0.53%		07/19/44	²		380,759		366,278
Equifirst Mortgage Loan Trust, Series 2005-1, Class M1
0.57%		04/25/35	²		464,834		464,615
Fremont Home Loan Trust, Series 2005-C, Class M1
0.63%		07/25/35	²		348,962		349,740
GE Mortgage Services LLC, Series 1998-HE1, Class A7
6.46%		06/25/28			92		92
GMAC Mortgage Corp. Loan Trust, Series 2003-GH1, Class A5 (STEP)
5.60%		07/25/34			24,639		25,062
Green Tree Home Improvement Loan Trust, Series 1995-F, Class B2
7.10%		01/15/21			6,039		6,039
Greenwich Capital Commercial Funding Corp., Series 2005-GG3, Class A3
4.57%		08/10/42			135,575		136,147
GSAA Trust, Series 2006-2, Class 2A3
0.42%		12/25/35	²		500,000		495,859


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Home Equity Loan Trust, Series 2007-3, Class APT
1.36%		11/20/36	²	$	821,314	$	817,370
IndyMac Index Mortgage Loan Trust, Series 2004-AR12, Class A1
0.93%		12/25/34	²		695,407		588,831
IndyMac Index Mortgage Loan Trust, Series 2004-AR6, Class 6A1
2.72%		10/25/34	²		622,449		623,944
IndyMac Manufactured Housing Contract, Series 1998-2, Class A4
6.64%		08/25/29	²		70,555		70,359
Irwin Home Equity Corp., Series 2003-A, Class M2
2.80%		10/25/27	²		27,651		27,343
JPMorgan Mortgage Trust, Series 2005-A2, Class 9A1
2.50%		04/25/35	²		538,574		544,730
MASTR Adjustable Rate Mortgages Trust, Series 2004-1, Class 2A1
2.75%		01/25/34	²		14,443		14,079
MASTR Adjustable Rate Mortgages Trust, Series 2004-12, Class 5A1
2.80%		10/25/34	²		753,653		741,005
MASTR Adjustable Rate Mortgages Trust, Series 2004-5, Class 3A1
2.59%		06/25/34	²		16,265		15,122
MASTR Adjustable Rate Mortgages Trust, Series 2007-2, Class A2
0.26%		03/25/47	²		689,213		672,652
MASTR Seasoned Securities Trust, Series 2004-1, Class 4A1
2.58%		10/25/32	²		84,016		85,497
Merrill Lynch Mortgage Investors, Inc., Series 2003-A1, Class 2A
2.19%		12/25/32	²		226,818		235,517
Mid-State Trust, Series 6, Class A4
7.79%		07/01/35			31,166		33,617
Oakwood Mortgage Investors, Inc., Series 1998-B, Class A3
6.20%		01/15/15			143		143
Oakwood Mortgage Investors, Inc., Series 1998-B, Class A4
6.35%		03/15/17			7,153		7,162
Park Place Securities, Inc., Series 2005-WHQ2, Class A1B
0.42%		05/25/35	²		698,878		695,942
Residential Asset Mortgage Products, Inc., Series 2003-RZ3, Class A6 (STEP)
3.90%		03/25/33			354,173		356,467
Residential Asset Mortgage Products, Inc., Series 2003-SL1, Class A11
7.12%		03/25/16			7,251		7,444


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Residential Asset Mortgage Products, Inc., Series 2004-SL1, Class A2
8.50%		11/25/31		$	67,467	$	67,467
Residential Asset Mortgage Products, Inc., Series 2004-SL1, Class A8
6.50%		11/25/31			124,792		129,041
Residential Asset Securities Corp.,
Series 2004-IP2, Class 2A1
2.50%		12/25/34	²		309,179		314,588
Residential Asset Securities Corp.,
Series 2005-KS12, Class A3
0.47%		01/25/36	²		698,000		668,505
Residential Funding Mortgage Securities II, Inc., Series 1999-HI6, Class AI7 (STEP)
8.60%		09/25/29			29,363		29,398
Residential Funding Mortgage Securities II, Inc., Series 2000-HI1, Class AI7 (STEP)
8.29%		02/25/25			2,693		2,689
Soundview Home Equity Loan Trust,
Series 2006-WF2, Class A2C
0.29%		12/25/36	²		708,982		700,026
Structured Asset Investment Loan Trust, Series 2005-5, Class M1
0.78%		06/25/35	²		777,994		775,089
Structured Asset Securities Corp.,
Series 2001-15A, Class 4A1
2.18%		10/25/31	²		36,786		36,762
Terwin Mortgage Trust, Series 2004-13AL, Class 2PX (IO)
0.34%		08/25/34	^3,5		5,165,542		75,655
UCFC Home Equity Loan, Series 1998-D, Class BF1
8.96%		04/15/30	²		1,243		501
WaMu Alternative Mortgage Pass-Through Certificates, Series 2005-4, Class CB13
0.65%		06/25/35	²		449,861		341,233
WaMu Mortgage Pass-Through Certificates,
Series 2002-AR6, Class A
1.53%		06/25/42	²		81,972		77,541
WaMu Mortgage Pass-Through Certificates,
Series 2003-AR6, Class A1
2.44%		06/25/33	²		260,105		264,504
WaMu Mortgage Pass-Through Certificates,
Series 2003-MS9, Class 1A
7.00%		04/25/33			2,173		2,241
Wells Fargo Home Equity Trust,
Series 2005-3, Class M1
0.56%		11/25/35	²		759,105		758,495
Wells Fargo Home Equity Trust,
Series 2005-4, Class AI3
0.53%		12/25/35	²		774,187		764,280

							20,681,223


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed — 44.13%
Fannie Mae Pool 111643
1.93%		09/01/20	²	$	10,565	$	10,668
Fannie Mae Pool 254548
5.50%		12/01/32			416,796		464,442
Fannie Mae Pool 523829
8.00%		11/01/19			77,747		86,342
Fannie Mae Pool 555098
2.47%		11/01/32	²		56,432		59,930
Fannie Mae Pool 555424
5.50%		05/01/33			266,628		297,454
Fannie Mae Pool 567002
8.00%		05/01/23			59,615		67,275
Fannie Mae Pool 646884
1.79%		05/01/32	²		6,107		6,276
Fannie Mae Pool 648860
6.50%		05/01/17			165,033		173,484
Fannie Mae Pool 655127
7.00%		07/01/32			17,280		18,813
Fannie Mae Pool 655133
7.00%		08/01/32			32,577		36,772
Fannie Mae Pool 655151
7.00%		08/01/32			18,584		20,093
Fannie Mae Pool 745506
5.66%		02/01/16			456,011		487,469
Fannie Mae Pool 754001
2.63%		12/01/33	²		370,968		377,713
Fannie Mae Pool 762525
6.50%		11/01/33			59,931		66,459
Fannie Mae Pool 770900
2.31%		04/01/34	²		353,004		373,866
Fannie Mae Pool 893489
2.42%		09/01/36	²		74,584		79,432
Fannie Mae Pool AD0538
6.00%		05/01/24			245,761		271,054
Fannie Mae Pool AE0443
6.50%		10/01/39			401,366		452,494
Fannie Mae Pool AL0851
6.00%		10/01/40			341,869		381,170
Fannie Mae REMICS, Series 2003-29, Class F
0.65%		12/25/32	²		975,311		978,726
Fannie Mae REMICS, Series 2003-64, Class KS
9.44%		07/25/18	²		179,207		195,659
Fannie Mae REMICS, Series 2004-38, Class FT
0.58%		10/25/33	²		1,327,246		1,335,258
Fannie Mae REMICS, Series 2005-57, Class EG
0.45%		03/25/35	²		1,560,424		1,562,770


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae REMICS, Series 2006-84, Class WF
0.45%		02/25/36	²	$	649,649	$	651,109
Fannie Mae REMICS, Series 2009-111, Class DA
5.00%		12/25/39			294,830		315,025
Fannie Mae REMICS, Series 2011-8, Class PF
0.65%		01/25/40	²		747,596		752,135
Fannie Mae REMICS, Series 2012-19, Class FP
0.65%		12/25/39	²		1,756,587		1,761,125
Fannie Mae REMICS, Series 2013-75, Class FC
0.40%		07/25/42	²		1,544,633		1,539,028
Fannie Mae REMICS. Series 2004-92, Class FD
0.50%		05/25/34	²		1,765,572		1,767,168
Fannie Mae, Series 1988-12, Class A
3.74%		02/25/18	²		34,984		36,338
Fannie Mae, Series 1993-80, Class S
10.69%		05/25/23	²		3,623		4,040
Fannie Mae, Series 2001-42, Class SB
8.50%		09/25/31	²		3,208		3,472
Fannie Mae, Series 2001-60, Class OF
1.10%		10/25/31	²		326,406		335,337
Fannie Mae, Series 2002-30, Class FB
1.15%		08/25/31	²		449,662		459,970
Fannie Mae, Series 2003-117, Class XF
0.50%		08/25/33	²		591,546		591,684
Fannie Mae, Series 2003-124, Class TS
9.80%		01/25/34	²		47,125		54,735
Fannie Mae, Series 2003-134, Class FC
0.75%		12/25/32	²		1,504,243		1,518,094
Fannie Mae, Series 2004-60, Class FW
0.60%		04/25/34	²		501,293		505,065
Fannie Mae, Series 2004-79, Class F
0.45%		08/25/32	²		450,832		451,621
Fannie Mae, Series 2004-96, Class MT
7.00%		12/25/34	²		10,049		10,351
Fannie Mae, Series 2006-56, Class FD
0.40%		07/25/36	²		1,789,525		1,791,969
Fannie Mae, Series 2007-68, Class SC (IO)
6.55%		07/25/37	²		536,441		83,485
Fannie Mae, Series 2008-47, Class PF
0.65%		06/25/38	²		444,289		447,260
Fannie Mae, Series 2009-33, Class FB
0.97%		03/25/37	²		479,647		488,072
Fannie Mae, Series 2010-109, Class PF
0.55%		10/25/40	²		281,764		283,249


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae, Series 2010-119, Class FK
0.65%		04/25/40	²	$	1,262,865	$	1,268,109
Fannie Mae, Series 2010-26, Class S (IO)
6.08%		11/25/36	²		1,495,821		199,992
Fannie Mae, Series 2010-35, Class FL
0.60%		07/25/38	²		1,498,061		1,503,628
Fannie Mae, Series 2011-71, Class FB
0.65%		05/25/37	²		596,937		601,245
Fannie Mae, Series 2012-33, Class F
0.67%		04/25/42	²		1,784,208		1,794,987
Freddie Mac Gold Pool C90237
6.50%		11/01/18			46,706		52,316
Freddie Mac Gold Pool C90474
7.00%		08/01/21			61,232		68,716
Freddie Mac Gold Pool D93410
6.50%		04/01/19			40,648		45,527
Freddie Mac Gold Pool G13107
5.50%		07/01/20			354,553		378,561
Freddie Mac Gold Pool P20295
7.00%		10/01/29			53,566		55,218
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series K004,
Class A2
4.19%		08/25/19			855,000		934,813
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series K010,
Class A1
3.32%		07/25/20			801,135		845,980
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series K701,
Class A2
3.88%		11/25/17			1,045,000		1,126,151
Freddie Mac Non Gold Pool 775554
2.64%		10/01/18	²		3,133		3,100
Freddie Mac Non Gold Pool 865369
2.78%		06/01/22	²		1,418		1,402
Freddie Mac REMICS, Series 2733,
Class FB
0.76%		10/15/33	²		1,060,000		1,078,515
Freddie Mac REMICS, Series 2806,
Class FV
0.60%		11/15/33	²		568,892		569,314
Freddie Mac REMICS, Series 2817,
Class FC
0.60%		07/15/31	²		855,772		856,926
Freddie Mac REMICS, Series 2990,
Class DE
0.54%		11/15/34	²		2,405,715		2,412,221
Freddie Mac REMICS, Series 2990,
Class LE
0.48%		10/15/34	²		1,413,808		1,417,062


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac REMICS, Series 3001, Class HS
16.36%		02/15/35	²	$	86,725	$	101,835
Freddie Mac REMICS, Series 3085, Class FW
0.86%		08/15/35	²		1,896,652		1,923,262
Freddie Mac REMICS, Series 3174, Class FM
0.40%		05/15/36	²		1,960,761		1,963,830
Freddie Mac REMICS, Series 3423, Class FA
0.66%		06/15/36	²		1,573,548		1,577,354
Freddie Mac REMICS, Series 3652, Class PF
0.90%		07/15/32	²		564,848		570,639
Freddie Mac REMICS, Series 3806, Class DF
0.56%		08/15/25	²		803,765		807,341
Freddie Mac REMICS, Series 3828,
Class TF
0.56%		04/15/29	²		820,881		824,355
Freddie Mac REMICS, Series 3831,
Class PV
5.00%		05/15/25			1,040,141		1,119,303
Freddie Mac REMICS, Series 3877,
Class FQ
0.56%		08/15/38	²		305,616		305,699
Freddie Mac REMICS, Series 4170, Class FW
1.10%		01/15/33	²		1,367,014		1,338,114
Freddie Mac Strips, Series 263, Class F5
0.66%		06/15/42	²		958,835		961,852
Freddie Mac, Series 1526, Class L
6.50%		06/15/23			9,572		10,545
Freddie Mac, Series 2368, Class AF
1.10%		10/15/31	²		196,999		202,342
Freddie Mac, Series 2642, Class BW (IO)
5.00%		06/15/23			9,337		918
Freddie Mac, Series 2657, Class LX (IO)
6.00%		05/15/18			13,816		160
Freddie Mac, Series 2945, Class LD
4.00%		02/15/35			123,289		128,937
Freddie Mac, Series 2971, Class AB
5.00%		05/15/20			21,211		22,496
Freddie Mac, Series 3196, Class FA
0.50%		04/15/32	²		1,231,784		1,234,624
Freddie Mac, Series 3300, Class FA
0.46%		08/15/35	²		1,765,147		1,767,358
Freddie Mac, Series 3325, Class NF
0.46%		08/15/35	²		354,593		355,039


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac, Series 3345, Class FP
0.36%		11/15/36	²	$	52,280	$	52,284
Freddie Mac, Series 3345, Class PF
0.34%		05/15/36	²		59,458		59,465
Freddie Mac, Series 3346, Class FA
0.38%		02/15/19	²		1,489,163		1,490,951
Freddie Mac, Series 3626, Class MA
5.00%		02/15/30			269,726		274,455
Freddie Mac, Series 3895, Class BF
0.66%		07/15/41	²		679,207		683,175
Freddie Mac, Series 3946, Class FG
0.50%		10/15/39	²		1,149,890		1,152,562
Freddie Mac, Series 4109, Class KF
0.56%		05/15/32	²		2,061,561		2,064,028
Ginnie Mae II Pool 80546
1.62%		10/20/31	²		25,000		26,085
Ginnie Mae II Pool 80610
1.62%		06/20/32	²		306,739		319,363
Ginnie Mae II Pool 80614
1.62%		07/20/32	²		41,272		42,926
Ginnie Mae II Pool 80687
1.62%		04/20/33	²		199,454		207,665
Ginnie Mae II Pool 8339
1.62%		12/20/23	²		45,998		47,986
Ginnie Mae II Pool 8684
1.62%		08/20/25	²		63,469		66,006
Ginnie Mae II Pool MA0331
2.50%		08/20/42	²		821,980		846,282
Ginnie Mae, Series 2001-22, Class FK
0.50%		05/16/31	²		1,705,135		1,712,925
Ginnie Mae, Series 2001-51, Class FA
0.66%		10/16/31	²		1,901,339		1,916,905
Ginnie Mae, Series 2002-16, Class FV
0.56%		02/16/32	²		1,903,103		1,915,382
Ginnie Mae, Series 2002-20, Class FC
0.46%		03/16/32	²		902,818		902,711
Ginnie Mae, Series 2002-72, Class FB
0.56%		10/20/32	²		471,273		474,479
Ginnie Mae, Series 2002-72, Class FC
0.56%		10/20/32	²		449,474		452,532
Ginnie Mae, Series 2003-42, Class FA
0.56%		07/16/31	²		1,920,332		1,927,121
Ginnie Mae, Series 2004-2, Class FW
1.56%		01/16/34	²		489,329		519,020
Ginnie Mae, Series 2009-66, Class UF
1.16%		08/16/39	²		548,350		559,929
Ginnie Mae, Series 2009-92, Class FC
0.96%		10/16/39	²		564,452		571,708


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Ginnie Mae, Series 2010-108, Class PF
0.56%		02/20/38	²	$	1,601,474	$	1,607,110
Ginnie Mae, Series 2010-118, Class B
2.81%		07/16/39			166,536		167,349
Ginnie Mae, Series 2010-132, Class AD
3.15%		05/16/40			625,428		633,037
Ginnie Mae, Series 2010-2, Class FA
0.66%		05/20/37	²		1,767,754		1,772,339
Ginnie Mae, Series 2011-70, Class IL (IO)
0.60%		06/16/37	²		7,680,140		129,857
Ginnie Mae, Series 2011-80, Class BF
0.49%		06/20/36	²		1,787,572		1,788,775
Ginnie Mae, Series 2012-10, Class FP
0.46%		01/20/41	²		1,350,570		1,350,957
Ginnie Mae, Series 2012-13, Class KF
0.46%		07/20/38	²		1,815,994		1,819,069
Mortgage-Linked Amortizing Notes,
Series 2012-1, Class A10
2.06%		01/15/22			740,815		745,498
NCUA Guaranteed Notes, Series 2010-R1, Class 1A
0.61%		10/07/20	²		1,444,364		1,453,024
NCUA Guaranteed Notes, Series 2010-R2, Class 1A
0.53%		11/06/17	²		1,107,923		1,110,953
NCUA Guaranteed Notes, Series 2010-R3, Class 1A
0.72%		12/08/20	²		1,158,487		1,168,857
NCUA Guaranteed Notes, Series 2011-C1, Class 2A
0.79%		03/09/21	²		981,310		987,311
NCUA Guaranteed Notes, Series 2011-R3, Class 1A
0.56%		03/11/20	²		688,815		691,869
NCUA Guaranteed Notes, Series 2011-R4, Class 1A
0.54%		03/06/20	²		481,495		482,624
NCUA Guaranteed Notes, Series 2011-R5, Class 1A
0.54%		04/06/20	²		765,926		767,467
NCUA Guaranteed Notes, Series 2011-R6, Class 1A
0.54%		05/07/20	²		209,481		209,718

							87,255,496

Total Mortgage-Backed
(Cost $124,298,734)							125,014,348


Issues	Maturity Date			Principal Amount		Value
MUNICIPAL BONDS — 0.27%*
California — 0.27%
State of California, Taxable, Various Purpose, Series 3
5.45%		04/01/15		$	500,000	$	525,395

Total Municipal Bonds
(Cost $522,909)

U.S. AGENCY SECURITIES — 3.63%
U.S. Agency Securities — 3.63%
Fannie Mae
0.36%		06/23/14	²		1,200,000		1,200,711
Federal Farm Credit Bank
0.17%		09/19/14	²		780,000		780,087
0.18%		09/14/16	²		985,000		985,303
Federal Home Loan Bank
0.22%		10/07/15	²		940,000		941,189
0.55%		06/03/16			725,000		723,079
Federal Home Loan Bank (STEP)
0.75%		05/26/28			680,000		660,558
Freddie Mac
0.40%		04/30/15			1,880,000		1,880,465

Total U.S. Agency Securities
(Cost $7,188,695)							7,171,392


U.S. TREASURY SECURITIES — 2.63%
U.S. Treasury Notes — 2.63%
U.S. Treasury Notes - Treasury Inflation Indexed Notes
0.50%		04/15/15	⁶		1,000,000		1,101,858
1.25%		04/15/14	⁶		435,000		481,796
2.00%		07/15/14	⁶		2,875,000		3,627,249

Total U.S. Treasury Securities
(Cost $5,209,692)							5,210,903

Total Bonds – 86.19%
(Cost $169,423,669)							170,407,679

Issues

Maturity
Date

Principal
Amount/
Shares

Value

SHORT-TERM INVESTMENTS — 11.37%

Commercial Paper — 0.71%

Macquarie Bank Ltd. (Australia)

0.20%⁷

05/28/14

1,400,000

1,399,601

Money Market Funds — 1.99%

Dreyfus Cash Advantage Fund

0.05%⁸

1,965,000


Issues	Maturity Date		Principal Amount/ Shares		Value
SHORT-TERM INVESTMENTS (continued)
Money Market Funds (continued)
DWS Money Market Series
Institutional Funds
0.04%⁸			$	1,966,000	$	1,966,000

						3,931,000

U.S. Agency Discount Notes — 8.12%
Federal Home Loan Bank
0.04%⁷		04/21/14		1,495,000		1,494,967
0.05%⁷		05/19/14		1,000,000		999,933
0.06%⁷		04/25/14		3,805,000		3,804,924
0.07%⁷		06/20/14		1,740,000		1,739,923
0.08%⁷		05/16/14		3,365,000		3,364,874
0.08%⁷		05/14/14		4,650,000		4,649,835

						16,054,456

U.S. Treasury Bills — 0.55%
U.S. Treasury Bills
0.06%⁷		04/24/14		1,085,000		1,084,973


Total Short-Term Investments
(Cost $22,469,241)						22,470,030


Total Investments – 97.56%
(Cost $191,892,910)¹						192,877,709


Cash and Other Assets, Less
Liabilities – 2.44%						4,833,850

Net Assets – 100.00%					$	197,711,559

Notes:

¹	Cost for federal income tax purposes is $191,901,966 and net unrealized appreciation/(depreciation) consists of:


Gross unrealized appreciation	$	2,914,229
Gross unrealized depreciation		(1,938,486	)

Net unrealized appreciation	$	975,743

²	Floating rate security. The rate disclosed was in effect at March 31, 2014.

³	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.

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

⁵	Illiquid security as determined under procedures approved by the Funds’ Board of Trustees. The aggregate value of illiquid securities is $75,655, which is 0.04% of total net assets.

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

⁷	Represents annualized yield at date of purchase.

⁸	Represents the current yield as of March 31, 2014.

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

**	Securities backed by mortgage or consumer loans where payment is periodically made will have an effective maturity date sooner 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

(YCD): Yankee Certificate of Deposit


Issues	Maturity Date			Principal Amount		Value
BONDS – 84.92%
ASSET-BACKED SECURITIES — 12.81%**
Aircastle Aircraft Lease Backed Trust, Series 2007-1A, Class G1
0.46%		06/14/37	^2,3	$	3,832,288	$	3,662,230
Alm Loan Funding, Series 2012-7A, Class A1 (Cayman Islands)
1.66%		10/19/24	^2,3,4		4,200,000		4,193,494
Apidos CDO II, Series 2005-2A, Class C (Cayman Islands)
2.04%		12/21/18	^2,3,4		1,750,000		1,720,264
ARES CLO Ltd., Series 2007-12A, Class A (Cayman Islands)
0.86%		11/25/20	^2,3,4		5,996,808		5,969,322
Axis Equipment Finance Receivables LLC, Series 2012-1I, Class D
5.50%		11/20/15			1,000,000		1,004,295
Axis Equipment Finance Receivables LLC, Series 2012-1I, Class E1
6.25%		04/20/16			1,000,000		1,006,322
Bayview Commercial Asset Trust, Series 2005-1A, Class A1
0.45%		04/25/35	^2,3		641,770		584,920
Bayview Commercial Asset Trust, Series 2005-2A, Class A1
0.46%		08/25/35	^2,3		2,778,026		2,417,950
Bayview Commercial Asset Trust, Series 2007-1, Class A1
0.37%		03/25/37	^2,3		531,103		460,190
Bayview Commercial Asset Trust, Series 2007-3, Class A1
0.39%		07/25/37	^2,3		4,457,247		3,877,262
Blue Hill CLO Ltd., Series 2013-1A, Class A
1.77%		01/15/26	^2,3		8,350,000		8,350,843
BlueMountain CLO Ltd., Series 2013-4A, Class A (Cayman Islands)
1.74%		04/15/25	^2,3,4		4,475,000		4,479,390
Brazos Higher Education Authority, Inc., Series 2003 I, Class A3
0.38%		09/26/22	²		4,575,000		4,531,909
Brazos Higher Education Authority, Inc., Series 2010-1, Class A2
1.44%		02/25/35	²		3,070,000		3,166,546
Brazos Higher Education Authority, Inc., Series 2011-1, Class A2
1.04%		02/25/30	²		393,652		397,618
Brazos Higher Education Authority, Inc., Series 2011-2, Class A3
1.24%		10/27/36	²		5,075,000		5,157,146
Castle Trust, Series 2003-1AW, Class A1
0.90%		05/15/27	^2,3		608,774		578,335
Cent CLO LP, Series 2013-19A, Class A1A (Cayman Islands)
1.57%		10/29/25	^2,3,4		10,217,760		10,159,263


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Cronos Containers Program Ltd., Series 2012-2A, Class A (Bermuda)
3.81%		09/18/27	^3,4	$	3,230,000	$	3,257,967
Dryden XXII Senior Loan Fund, Series 2013-30A, Class A (Cayman Islands)
1.49%		11/15/25	^2,3,4		7,500,000		7,423,523
Education Loan Asset-Backed Trust, Series 2013-1A, Class A2
0.95%		04/26/32	^2,3		8,375,000		8,269,515
Flatiron CLO Ltd., Series 2013-1A, Class A1 (Cayman Islands)
1.69%		01/17/26	^2,3,4		7,850,000		7,819,778
GCO Education Loan Funding Trust, Series 2006-2AR, Class A1RN
0.80%		08/27/46	^2,3		9,250,486		8,926,355
GCO Education Loan Funding Trust, Series 2007-1A, Class A5L
0.30%		05/25/23	^2,3		2,528,101		2,507,363
GE Business Loan Trust, Series 2004-2A, Class A
0.38%		12/15/32	^2,3		4,241,545		4,029,539
GE Business Loan Trust, Series 2005-1A, Class A3
0.40%		06/15/33	^2,3		2,458,740		2,310,366
Goal Capital Funding Trust, Series 2006-1, Class A3
0.36%		11/25/26	²		4,159,966		4,122,455
Goal Capital Funding Trust, Series 2006-1, Class B
0.68%		08/25/42	²		4,493,552		4,001,225
ING Investment Management Ltd., Series 2012-4A, Class A1 (Cayman Islands)
1.63%		10/15/23	^2,3,4		4,550,000		4,541,555
J.G. Wentworth XXX LLC, Series 2013-3A, Class A
4.08%		01/17/73	³		5,597,862		5,694,006
Latitude CLO II Corp., Series 2006-2A, Class A2 (Cayman Islands)
0.56%		12/15/18	^2,3,4		5,000,000		4,930,345
LCM VI Ltd., Series 6A, Class A (Cayman Islands)
0.46%		05/28/19	^2,3,4		5,969,000		5,837,695
Limerock CLO, Series 2014-2A, Class A (Cayman Islands)
1.74%		04/18/26	^2,3,4		7,425,000		7,432,410
MSIM Peconic Bay Ltd., Series 2007-1A, Class C (Cayman Islands)
2.24%		07/20/19	^2,3,4		3,170,000		3,176,101
National Collegiate Student Loan Trust, Series 2006-1, Class A3
0.34%		05/25/26	²		7,006,956		6,911,970
National Collegiate Student Loan Trust, Series 2006-3, Class A3
0.30%		10/25/27	²		2,344,053		2,266,203


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
National Collegiate Student Loan Trust, Series 2007-1, Class A2
0.28%		11/27/28	²	$	927,260	$	902,961
National Collegiate Student Loan Trust, Series 2007-2, Class A2
0.28%		06/26/28	²		5,969,463		5,687,490
National Collegiate Student Loan Trust, Series 2007-4, Class A2A3
3.65%		12/26/25	²		700,000		696,809
Nelnet Student Loan Trust, Series 2007-1, Class A1
0.24%		11/27/18	²		1,010,704		1,008,890
Nelnet Student Loan Trust, Series 2008-4, Class A4
1.72%		04/25/24	²		8,310,000		8,542,888
Nelnet Student Loan Trust, Series 2012-5A, Class A
0.75%		10/27/36	^2,3		4,128,910		4,146,130
Nelnet Student Loan Trust, Series 2013-1A, Class A
0.75%		06/25/41	^2,3		6,031,488		6,062,683
North Carolina State Education Authority, Series 2011-1, Class A3
1.14%		10/25/41	²		5,500,000		5,514,265
Northstar Education Finance, Inc.
0.34%		04/28/30	²		5,605,000		5,437,343
Oak Hill Credit Partners, Series 2012-7A,
Class A (Cayman Islands)
1.66%		11/20/23	^2,3,4		4,400,000		4,388,080
Octagon Investment Partners XI Ltd.,
Series 2007-1X, Class A1B
0.50%		08/25/21	⁵		3,750,000		3,667,562
OHA Credit Partners IX Ltd., Series 2013-9A,
Class A1 (Cayman Islands)
1.64%		10/20/25	^2,3,4		9,859,383		9,836,470
OHA Loan Funding Ltd., Series 2012-1A, Class A (Cayman Islands)
1.63%		01/23/25	^2,3,4		7,000,000		6,967,590
SLC Student Loan Trust I, Series 2002-2, Class B2
1.64%		07/01/42	^2,3		4,500,000		3,451,189
SLC Student Loan Trust, Series 2004-1, Class B
0.53%		08/15/31	²		2,184,769		1,967,107
SLC Student Loan Trust, Series 2005-1, Class A2
0.32%		11/15/21	²		491,653		491,464
SLC Student Loan Trust, Series 2006-1, Class A4
0.31%		12/15/21	²		226,975		226,397
SLC Student Loan Trust, Series 2007-1, Class A3
0.27%		11/15/21	²		6,849,616		6,845,951


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
SLC Student Loan Trust, Series 2007-1,
Class A4
0.30%		05/15/29	²	$	8,000,000	$	7,736,400
SLM Student Loan Trust, Series 2003-11, Class A5
0.28%		12/15/22	^2,3		9,095,000		9,032,056
SLM Student Loan Trust, Series 2003-12, Class A5
0.51%		09/15/22	^2,3		8,612,734		8,615,548
SLM Student Loan Trust, Series 2003-8,
Class A4
0.43%		03/15/19	²		2,541,884		2,537,500
SLM Student Loan Trust, Series 2004-1,
Class A3
0.45%		04/25/23	²		220,037		219,713
SLM Student Loan Trust, Series 2004-2,
Class B
0.71%		07/25/39	²		2,512,156		2,275,744
SLM Student Loan Trust, Series 2004-5A, Class A5
0.84%		10/25/23	^2,3		7,235,000		7,277,743
SLM Student Loan Trust, Series 2004-7,
Class A5
0.41%		01/27/20	²		602,241		599,724
SLM Student Loan Trust, Series 2004-8,
Class B
0.70%		01/25/40	²		933,875		832,599
SLM Student Loan Trust, Series 2004-9,
Class A5
0.39%		01/27/20	²		339,795		338,116
SLM Student Loan Trust, Series 2004-A, Class A3
0.63%		06/15/33	²		1,900,000		1,778,339
SLM Student Loan Trust, Series 2004-B, Class A3
0.56%		03/15/24	²		5,100,000		4,798,825
SLM Student Loan Trust, Series 2004-B, Class A4
0.66%		09/15/33	²		2,050,000		1,732,028
SLM Student Loan Trust, Series 2005-10, Class A4
0.35%		10/25/19	²		8,395,251		8,383,749
SLM Student Loan Trust, Series 2005-2,
Class A5
0.33%		04/27/20	²		3,144,896		3,135,945
SLM Student Loan Trust, Series 2005-4,
Class B
0.42%		07/25/40	²		3,084,097		2,717,703
SLM Student Loan Trust, Series 2005-5,
Class A3
0.34%		04/25/25	²		718,738		715,906
SLM Student Loan Trust, Series 2005-8,
Class A3
0.35%		10/25/24	²		3,741,121		3,733,129


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
SLM Student Loan Trust, Series 2006-2,
Class A4
0.33%		10/25/22	²	$	9,172,913	$	9,165,263
SLM Student Loan Trust, Series 2006-2,
Class A6
0.41%		01/25/41	²		6,000,000		5,455,032
SLM Student Loan Trust, Series 2006-4,
Class A4
0.32%		04/25/23	²		674,956		674,925
SLM Student Loan Trust, Series 2006-4,
Class A5
0.34%		10/27/25	²		8,450,000		8,421,794
SLM Student Loan Trust, Series 2006-5,
Class A5
0.35%		01/25/27	²		9,000,000		8,874,639
SLM Student Loan Trust, Series 2006-8,
Class A6
0.40%		01/25/41	²		6,000,000		5,442,174
SLM Student Loan Trust, Series 2006-B,
Class A5
0.50%		12/15/39	²		1,400,000		1,262,083
SLM Student Loan Trust, Series 2007-2,
Class A2
0.24%		07/25/17	²		1,732,695		1,728,593
SLM Student Loan Trust, Series 2007-6,
Class B
1.09%		04/27/43	²		1,077,011		964,168
SLM Student Loan Trust, Series 2007-7,
Class A3
0.48%		04/25/17	²		7,000,000		6,987,927
SLM Student Loan Trust, Series 2008-2,
Class B
1.44%		01/25/29	²		1,095,000		995,949
SLM Student Loan Trust, Series 2008-3,
Class B
1.44%		04/25/29	²		1,095,000		1,015,803
SLM Student Loan Trust, Series 2008-4,
Class A4
1.89%		07/25/22	²		4,531,000		4,783,263
SLM Student Loan Trust, Series 2008-4,
Class B
2.09%		04/25/29	²		1,095,000		1,064,436
SLM Student Loan Trust, Series 2008-5,
Class A3
1.54%		01/25/18	²		8,865,000		8,939,657
SLM Student Loan Trust, Series 2008-5,
Class A4
1.94%		07/25/23	²		7,000,000		7,359,114
SLM Student Loan Trust, Series 2008-5,
Class B
2.09%		07/25/29	²		1,095,000		1,110,866
SLM Student Loan Trust, Series 2008-6,
Class B
2.09%		07/25/29	²		1,095,000		1,083,340


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
SLM Student Loan Trust, Series 2008-7,
Class B
2.09%		07/25/29	²	$	1,095,000	$	1,087,212
SLM Student Loan Trust, Series 2008-8,
Class A4
1.74%		04/25/23	²		8,200,000		8,538,619
SLM Student Loan Trust, Series 2008-8,
Class B
2.49%		10/25/29	²		1,095,000		1,129,172
SLM Student Loan Trust, Series 2008-9,
Class A
1.74%		04/25/23	²		794,010		820,021
SLM Student Loan Trust, Series 2008-9,
Class B
2.49%		10/25/29	²		1,095,000		1,146,728
SLM Student Loan Trust, Series 2010-1,
Class A
0.55%		03/25/25	²		2,524,041		2,529,923
SLM Student Loan Trust, Series 2011-1,
Class A1
0.67%		03/25/26	²		750,796		753,341
SLM Student Loan Trust, Series 2012-1,
Class A2
0.60%		11/25/20	²		1,841,487		1,844,327
SLM Student Loan Trust, Series 2012-1,
Class A3
1.10%		09/25/28	²		949,000		977,203
SLM Student Loan Trust, Series 2012-5,
Class A2
0.45%		06/25/19	²		2,185,000		2,184,973
SLM Student Loan Trust, Series 2012-6,
Class A2
0.43%		09/25/19	²		1,755,000		1,753,391
SLM Student Loan Trust, Series 2012-7,
Class A2
0.43%		09/25/19	²		3,170,000		3,172,222
SLM Student Loan Trust, Series 2012-7,
Class A3
0.80%		05/26/26	²		4,460,000		4,463,916
SLM Student Loan Trust, Series 2013-1,
Class A2
0.40%		09/25/19	²		1,370,000		1,368,637
SLM Student Loan Trust, Series 2013-3,
Class A2
0.45%		05/26/20	²		8,715,000		8,725,916
SLM Student Loan Trust, Series 2013-4,
Class A
0.70%		06/25/27	²		8,203,883		8,189,029
SLM Student Loan Trust, Series 2013-5,
Class A2
0.55%		10/26/20	²		8,745,000		8,778,581
SLM Student Loan Trust, Series 2013-6,
Class A2
0.65%		02/25/21	²		8,690,000		8,731,960


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
SLM Student Loan Trust, Series 2014-1, Class A3
0.75%		02/26/29	²	$	6,900,000	$	6,911,760
SLM Student Loan Trust, Series 2014-2, Class A2
0.54%		10/25/21	²		4,665,000		4,668,790
South Carolina Student Loan Corp., Series A2
0.36%		12/01/20	²		4,905,000		4,839,744
TAL Advantage LLC, Series 2006-1, Class NOTE
0.35%		04/20/21	^2,3		1,223,958		1,210,137
TAL Advantage LLC, Series 2012-1A, Class A
3.86%		05/20/27	³		5,528,833		5,543,869
Textainer Marine Containers Ltd., Series 2005-1A, Class A (Bermuda)
0.41%		05/15/20	^2,3,4		565,833		564,748
Triton Container Finance LLC, Series 2007-1A, Class NOTE
0.29%		02/26/19	^2,3		707,552		704,813

Total Asset-Backed Securities
(Cost $458,008,077)							463,445,764


BANK LOANS — 0.76%*
Energy — 0.35%
Alinta Energy Finance Pty Ltd., Term Loan B, 1st Lien
6.38%		08/13/19	²		6,537,325		6,643,556
Alinta Energy Finance Pty Ltd., Term Loan DD, 1st Lien
0.50%		08/13/19	²		429,825		436,809
Offshore Group Investment Ltd., Term Loan B, 1st Lien
5.00%		10/25/17	²		5,684,210		5,688,957

							12,769,322

Health Care — 0.36%
HCA, Inc., Term Loan B4
2.98%		05/01/18	²		6,050,976		6,056,300
Valeant Pharmaceuticals International, Inc., Term Loan (Canada)
3.75%		08/05/20	^2,4		6,914,150		6,944,399

							13,000,699

Services — 0.05%
AABS Ltd. Loan, Series 2013-1, Class A (STEP) (Bermuda)
5.22%		01/15/38	^2,4,†		1,576,042		1,587,798

Total Bank Loans
(Cost $26,881,342)							27,357,819


Issues	Maturity Date			Principal Amount		Value
CORPORATES — 18.77%*
Automotive — 0.61%
Daimler Finance North America LLC
1.88%		09/15/14	³	$	7,000,000	$	7,035,956
Nissan Motor Acceptance Corp.
0.94%		09/26/16	^2,3		15,000,000		15,084,221

							22,120,177

Banking — 3.08%
Abbey National Treasury Services PLC/London (United Kingdom)
1.82%		04/25/14	^2,4		9,405,000		9,413,402
3.88%		11/10/14	^3,4		3,185,000		3,250,560
Ally Financial, Inc.
2.44%		12/01/14	²		1,424,000		1,429,340
Bank of America Corp.
6.50%		08/01/16			5,600,000		6,275,741
7.38%		05/15/14			1,365,000		1,376,262
Bank of America Corp., Series L (MTN)
5.65%		05/01/18			300,000		339,869
Bank of America N.A. (BKNT)
0.51%		06/15/16	²		1,900,000		1,884,064
0.53%		06/15/17	²		2,500,000		2,456,000
6.10%		06/15/17			5,000,000		5,698,266
Capital One Financial Corp.
1.00%		11/06/15			2,600,000		2,606,147
7.38%		05/23/14			5,000,000		5,048,735
Credit Suisse/New York (YCD) (Switzerland)
0.56%		08/24/15	^2,4		20,000,000		20,001,300
JPMorgan Chase & Co.
3.45%		03/01/16			5,300,000		5,551,890
JPMorgan Chase Bank N.A.
0.56%		06/13/16	²		4,250,000		4,230,447
JPMorgan Chase Bank N.A. (BKNT)
6.00%		10/01/17			12,700,000		14,478,368
Lloyds TSB Bank PLC (United Kingdom)
4.88%		01/21/16	⁴		10,380,000		11,139,648
National Australia Bank Ltd., Series REGS (Australia)
0.96%		04/11/14	^2,4		8,775,000		8,776,335
Royal Bank of Scotland PLC, Series E (MTN)
(United Kingdom)
0.97%		09/29/15	²		2,300,000		2,277,000
Royal Bank of Scotland PLC
(United Kingdom)
2.55%		09/18/15	⁴		5,000,000		5,110,849

							111,344,223

Communications — 0.86%
AT&T, Inc.
2.50%		08/15/15			3,991,000		4,091,553


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Communications (continued)
Intelsat Jackson Holdings SA (Luxembourg)
7.25%		10/15/20	⁴	$	4,605,000	$	5,019,450
T-Mobile USA, Inc.
6.46%		04/28/19			5,000,000		5,375,000
Verizon Communications, Inc.
1.00%		06/17/19	²		5,750,000		5,807,063
1.98%		09/14/18	²		2,950,000		3,111,538
3.65%		09/14/18			3,456,000		3,673,485
Windstream Corp.
7.88%		11/01/17			3,450,000		3,958,875

							31,036,964

Consumer Discretionary — 0.36%
Catholic Health Initiatives
2.60%		08/01/18			13,000,000		13,096,362

Electric — 1.66%
Dayton Power & Light Co.
1.88%		09/15/16	³		12,370,000		12,566,611
FirstEnergy Corp., Series A
2.75%		03/15/18			6,000,000		5,991,480
Florida Gas Transmission Co. LLC
7.90%		05/15/19	³		3,320,000		4,088,292
FPL Energy National Wind Portfolio LLC
6.12%		03/25/19	³		43,661		42,897
Homer City Generation LP (PIK)
8.14%		10/01/19	⁶		8,200,000		8,692,000
Ipalco Enterprises, Inc.
7.25%		04/01/16	³		8,830,000		9,701,963
Oncor Electric Delivery Co. LLC
6.80%		09/01/18			14,109,000		16,674,193
W3A Funding Corp.
8.09%		01/02/17			2,322,988		2,320,609

							60,078,045

Energy — 1.25%
El Paso Pipeline Partners
4.10%		11/15/15			3,000,000		3,149,901
Energy Transfer Partners LP
3.26%		11/01/66	²		3,000,000		2,760,000
Florida Gas Transmission Co. LLC
4.00%		07/15/15	³		6,450,000		6,719,182
Petrobras Global Finance BV (Netherlands)
1.86%		05/20/16	^2,4		4,500,000		4,447,527
Sabine Pass LNG LP
7.50%		11/30/16			10,752,000		11,934,720
7.50%		11/30/16	³		4,275,000		4,595,625
Tennessee Gas Pipeline Co. LLC
8.00%		02/01/16			8,673,000		9,723,699


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Energy (continued)
Trans-Canada Pipelines Ltd. (Canada)
0.91%		06/30/16	^2,4	$	2,065,000	$	2,082,028

							45,412,682

Finance — 4.20%
Chase Capital II, Series B
0.74%		02/01/27	²		2,398,000		2,026,310
Chase Capital VI
0.86%		08/01/28	²		1,000,000		845,000
CIT Group, Inc.
4.25%		08/15/17			3,686,000		3,888,730
5.00%		05/15/17			3,500,000		3,736,250
Citigroup, Inc.
1.20%		07/25/16	²		10,000,000		10,116,060
2.50%		09/26/18			10,000,000		10,072,694
5.50%		10/15/14			3,510,000		3,602,983
6.38%		08/12/14			10,500,000		10,726,691
Ford Motor Credit Co. LLC
7.00%		04/15/15			1,500,000		1,596,196
Ford Motor Credit Co. LLC, Series FRN
1.49%		05/09/16	²		8,000,000		8,130,858
General Electric Capital Corp. (MTN)
0.38%		06/20/14	²		3,500,000		3,501,803
0.62%		05/05/26	²		6,300,000		5,729,009
General Electric Capital Corp., Series A (MTN)
0.49%		09/15/14	²		10,169,000		10,181,160
General Electric Capital Corp., Series G (MTN)
0.89%		07/12/16	²		5,485,000		5,541,593
Goldman Sachs Group, Inc.
0.74%		01/12/15	²		1,900,000		1,902,586
2.38%		01/22/18			1,000,000		1,007,496
5.12%		01/15/15			583,000		603,582
6.15%		04/01/18			3,500,000		4,004,763
International Lease Finance Corp.
6.50%		09/01/14	³		9,700,000		9,954,625
JPMorgan Chase Capital XIII, Series M
1.18%		09/30/34	²		2,465,000		2,119,900
JPMorgan Chase Capital XXI, Series U
1.19%		02/02/37	²		5,250,000		4,226,250
JPMorgan Chase Capital XXIII
1.24%		05/15/47	²		7,950,000		6,121,500
Macquarie Group Ltd. (Australia)
7.30%		08/01/14	^3,4		5,000,000		5,109,280
Merrill Lynch & Co., Inc. (MTN)
8.68%		05/02/17	²		30,000		33,039
8.95%		05/18/17	²		30,000		33,264
9.57%		06/06/17	²		5,184,000		5,857,920


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Finance (continued)
Morgan Stanley
0.72%		10/15/15	²	$	2,830,000	$	2,832,417
3.80%		04/29/16			3,800,000		4,015,246
4.20%		11/20/14			750,000		767,131
6.00%		05/13/14			3,890,000		3,914,851
Prudential Holdings LLC (AGM)
1.11%		12/18/17	^2,3		9,141,429		9,067,098
Woodbourne Capital Trust I
2.66%		04/29/49	^2,3,7		595,000		327,250
Woodbourne Capital Trust IV
2.66%		04/08/49	^2,3,7		1,000,000		550,000
ZFS Finance USA Trust II
6.45%		12/15/65	^2,3		8,966,000		9,728,110

							151,871,645

Food — 0.15%
Kraft Foods Group, Inc.
1.62%		06/04/15			5,325,000		5,388,806

Health Care — 0.60%
Catholic Health Initiatives
1.60%		11/01/17			1,145,000		1,125,989
HCA, Inc.
3.75%		03/15/19			1,000,000		1,000,050
7.25%		09/15/20			1,750,000		1,896,563
Providence Health & Services
Obligated Group
0.90%		10/01/15	²		3,000,000		2,997,889
1.05%		10/01/16	²		2,750,000		2,746,657
1.20%		10/01/17	²		11,940,000		11,919,352

							21,686,500

Industrials — 0.23%
Heathrow Funding Ltd. (United Kingdom)
2.50%		06/25/15	^3,4		8,075,000		8,199,496

Insurance — 0.89%
Berkshire Hathaway, Inc.
0.94%		08/15/14	²		785,000		787,232
2.20%		08/15/16			1,010,000		1,045,494
Farmers Insurance Exchange
6.00%		08/01/14	³		6,835,000		6,926,443
Metropolitan Life Global Funding I
0.77%		07/15/16	^2,3		2,000,000		2,014,330
1.88%		06/22/18	³		7,500,000		7,484,583
5.12%		06/10/14	³		3,230,000		3,259,606
Nationwide Mutual Insurance Co.
5.81%		12/15/24	^2,3		3,550,000		3,598,813


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Insurance (continued)
New York Life Global Funding
1.12%		03/01/17	³	$	7,000,000	$	6,973,736

							32,090,237

Materials — 0.06%
Rio Tinto Finance USA PLC, Series FRN (United Kingdom)
1.07%		06/17/16	^2,4		2,380,000		2,396,622

Real Estate Investment Trust (REIT) — 4.00%
Arc Properties Operating Partnership LP Clark Acquisition LLC
2.00%		02/06/17	³		10,000,000		9,965,862
Brandywine Operating Partnership LP
7.50%		05/15/15			8,247,000		8,833,428
BRE Properties, Inc.
5.50%		03/15/17			6,820,000		7,559,643
HCP, Inc.
6.00%		01/30/17			16,073,000		18,092,621
7.07%		06/08/15			1,000,000		1,074,542
HCP, Inc. (MTN)
6.30%		09/15/16			7,600,000		8,549,696
HCP, Inc., Series E (MTN)
6.00%		06/15/14			4,985,000		5,037,553
Health Care REIT, Inc.
3.62%		03/15/16			3,000,000		3,149,598
4.70%		09/15/17			6,291,000		6,880,033
Healthcare Realty Trust, Inc.
6.50%		01/17/17			3,771,000		4,258,138
Host Hotels & Resorts LP (WI)
5.88%		06/15/19			10,051,000		10,891,726
Liberty Property LP
5.12%		03/02/15			5,305,000		5,509,248
Mid-America Apartments LP
5.50%		10/01/15	³		9,640,000		10,273,676
Nationwide Health Properties, Inc.
6.00%		05/20/15			3,000,000		3,178,176
Realty Income Corp.
5.50%		11/15/15			9,815,000		10,527,183
UDR, Inc. (MTN)
5.25%		01/15/16			6,425,000		6,840,858
Ventas Realty LP/Ventas Capital Corp.
1.55%		09/26/16			15,485,000		15,618,934
2.00%		02/15/18			4,935,000		4,928,283
WEA Finance LLC/WT Finance Aust Pty Ltd.
5.75%		09/02/15	³		3,500,000		3,734,069

							144,903,267


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Transportation — 0.82%
American Airlines Pass-Through Trust, Series 2013-2, Class A
4.95%		01/15/23	³	$	10,844,224	$	11,698,207
Continental Airlines Pass-Through Trust, Series 1997, Class 4A
6.90%		01/02/18			108,709		117,406
Continental Airlines Pass-Through Trust, Series 1999-1, Class A
6.54%		08/02/20			3,336,885		3,715,413
JetBlue Airways Pass-Through Trust, Series 2004, Class G2
0.69%		11/15/16	²		7,725,000		7,546,359
UAL Pass-Through Trust, Series 2009-1
10.40%		11/01/16			2,204,946		2,505,370
UAL Pass-Through Trust, Series 2009-2A
9.75%		01/15/17			3,445,990		3,971,504

							29,554,259

Total Corporates
(Cost $661,408,729)							679,179,285


FOREIGN GOVERNMENT OBLIGATIONS — 0.50%
Foreign Government Obligations — 0.50%
Kommunalbanken AS (Norway)
0.23%		08/28/14	^2,3,4		8,580,000		8,578,682
Kommuninvest I Sverige AB (Sweden)
0.22%		09/12/14	^2,3,4		9,490,000		9,490,960

							18,069,642

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

MORTGAGE-BACKED — 43.77%**
Commercial Mortgage-Backed — 6.71%
Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2005-4, Class A3
4.89%		07/10/45			2,394,460		2,408,023
Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2005-4, Class A4
5.19%		07/10/45	²		10,000,000		10,112,225
Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2005-6, Class A4
5.18%		09/10/47	²		6,715,000		7,098,324
Bayview Commercial Asset Trust, Series 2006-1A, Class A1
0.42%		04/25/36	^2,3		1,123,943		982,577
Bayview Commercial Asset Trust, Series 2008-4, Class A2
2.65%		07/25/38	^2,3		1,642,816		1,708,413
Bayview Commercial Asset Trust, Series 2008-4, Class A3
2.90%		07/25/38	^2,3		6,267,000		6,066,125


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed (continued)
Bear Stearns Commercial Mortgage Securities Trust, Series 2004-T16, Class A6
4.75%		02/13/46	²	$	6,103,863	$	6,196,423
Bear Stearns Commercial Mortgage Securities Trust, Series 2005-PWR7, Class A3
5.12%		02/11/41	²		4,500,000		4,629,262
Bear Stearns Commercial Mortgage Securities Trust, Series 2005-T20, Class A4A
5.14%		10/12/42	²		7,746,000		8,164,299
Bear Stearns Commercial Mortgage Securities Trust, Series 2007-PW16, Class AAB
5.72%		06/11/40	²		5,792,264		6,000,328
Commercial Mortgage Trust, Series 2006-C7, Class A4
5.77%		06/10/46	²		14,052,919		15,269,222
Credit Suisse First Boston Commercial Mortgage Trust, Series 2007-C4, Class AAB
5.97%		09/15/39	²		2,506,440		2,656,629
DBRR Trust, Series 2011-LC2, Class A4A
4.54%		04/12/21	^2,3		3,480,000		3,761,132
DBUBS Mortgage Trust, Series 2011-LC1A, Class A1
3.74%		11/10/46	³		17,403,632		18,183,969
GE Business Loan Trust, Series 2003-2A, Class A
0.52%		11/15/31	^2,3		2,831,256		2,715,159
GE Business Loan Trust, Series 2005-2A, Class B
0.66%		11/15/33	^2,3		1,573,609		1,444,451
GE Business Loan Trust, Series 2006-2A, Class A
0.34%		11/15/34	^2,3		7,776,388		7,210,519
GS Mortgage Securities Corp. II, Series 2011-GC5, Class A4
3.71%		08/10/44	²		8,850,000		9,181,862
GS Mortgage Securities Trust, Series 2011-GC5, Class A2
3.00%		08/10/44			15,270,000		15,847,117
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2004-CBX, Class A6
4.90%		01/12/37			6,285,000		6,400,210
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2005-LDP3, Class ASB
4.89%		08/15/42	²		3,791,172		3,890,602
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2006-LDP8, Class A4
5.40%		05/15/45			5,372,389		5,821,674


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed (continued)
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2006-LDP9, Class A3S
5.24%		05/15/47	³	$	1,788,949	$	1,801,482
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-C1, Class ASB
5.86%		02/15/51			6,989,580		7,452,821
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-CB20, Class ASB
5.69%		02/12/51			2,007,331		2,140,301
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-LD11, Class ASB
5.82%		06/15/49	²		13,374,131		14,245,964
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-LD12, Class A3
5.96%		02/15/51	²		1,363,150		1,373,239
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2010-C2, Class A1
2.75%		11/15/43	³		12,269,510		12,587,347
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2011-C5, Class ASB
3.68%		08/15/46			1,513,000		1,596,295
LB-UBS Commercial Mortgage Trust, Series 2005-C2, Class AAB
5.01%		04/15/30			2,090,131		2,115,345
Merrill Lynch Mortgage Trust, Series 2004-BPC1, Class A5
4.86%		10/12/41	²		2,157,851		2,178,012
Morgan Stanley Capital I Trust, Series 2001-C3, Class A2
3.22%		08/15/49			1,919,769		2,004,306
Morgan Stanley Capital I Trust, Series 2005-IQ9, Class A5
4.70%		07/15/56			2,559,872		2,599,564
Morgan Stanley Capital I Trust, Series 2005-T19, Class A4A
4.89%		06/12/47			402,869		419,278
Morgan Stanley Capital I Trust, Series 2006-IQ11, Class A4
5.64%		10/15/42	²		5,343,804		5,691,316
Morgan Stanley Capital I Trust, Series 2006-T23, Class A4
5.81%		08/12/41	²		8,185,000		8,925,350
Morgan Stanley Capital I Trust, Series 2007-HQ12, Class A2FL
0.41%		04/12/49	²		4,406,109		4,354,811


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed (continued)
Morgan Stanley Capital I Trust, Series 2007-T27, Class A4
5.65%		06/11/42	²	$	265,000	$	296,855
PNC Mortgage Acceptance Corp., Series 2001-C1, Class J
5.91%		03/12/34	³		7,451,000		7,773,714
Spirit Master Funding LLC, Series 2005-1, Class A1
5.05%		07/20/23	³		3,574,509		3,660,654
Wachovia Bank Commercial Mortgage Trust, Series 2004-C11, Class A5
5.22%		01/15/41	²		1,377,272		1,391,917
Wachovia Bank Commercial Mortgage Trust, Series 2005-C21, Class A4
5.24%		10/15/44	²		8,442,242		8,888,798
WF-RBS Commercial Mortgage Trust, Series 2011-C5, Class A4
3.67%		11/15/44			5,350,000		5,515,695

							242,761,609

Non-Agency Mortgage-Backed — 18.39%
Accredited Mortgage Loan Trust, Series 2007-1, Class A4
0.37%		02/25/37	²		12,000,000		8,905,789
American Home Mortgage Assets, Series 2007-4, Class A2
0.34%		08/25/37	²		4,438,993		4,127,984
Amresco Residential Securities Mortgage Loan Trust, Series 1998-1, Class A5 (STEP)
7.57%		10/25/27			25,706		26,537
Asset-Backed Securities Corp. Home Equity Loan Trust, Series 2005-HE4, Class M2
0.60%		05/25/35	²		808,927		808,896
Banc of America Alternative Loan Trust, Series 2003-8, Class 1CB1
5.50%		10/25/33			22,435,186		23,075,816
Banc of America Funding Corp., Series 2006-G, Class 2A3
0.33%		07/20/36	²		1,994,770		1,993,192
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
0.31%		02/25/47	²		6,816,523		6,119,676
BCAP LLC Trust, Series 2011-RR5, Class 2A3
2.84%		06/26/37	^2,3		5,763,285		5,742,727
BCAP LLC Trust, Series 2012-R11, Class 11A1
2.60%		09/26/36	^2,3		13,515,215		13,750,179


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
BCAP LLC Trust, Series 2013-RR2, Class 5A1
2.61%		03/26/36	^2,3	$	10,686,471	$	10,948,488
Bear Stearns ARM Trust, Series 2004-3, Class 4A
4.58%		07/25/34	²		7,157,790		7,166,770
Bear Stearns ARM Trust, Series 2005-2, Class A1
2.56%		03/25/35	²		7,175,678		7,295,257
Bear Stearns Asset-Backed Securities Trust, Series 2005-HE10, Class M1
0.70%		11/25/35	²		7,675,685		7,651,768
Bear Stearns Asset-Backed Securities Trust, Series 2005-SD1, Class 1A3
0.55%		08/25/43	²		1,310,568		1,296,762
BHN I Mortgage Fund, Series 2000-1, Class AF (Argentina)
8.00%		01/31/20	^3,4,7,†		9,000		3
CC Mortgage Funding Corp., Series 2005-2A, Class A1
0.33%		05/25/36	^2,3		2,095,927		1,792,345
Chase Funding Mortgage Loan Asset-Backed Certificates, Series 2002-2, Class 2M1
1.05%		02/25/32	²		493,458		473,454
Chase Mortgage Finance Corp., Series 2007-A1, Class 8A1
2.65%		02/25/37	²		25,132,139		25,639,632
Chase Mortgage Finance Corp., Series 2007-A2, Class 2A3
2.66%		07/25/37	²		5,096,434		5,142,613
Citigroup Mortgage Loan Trust, Inc., Series 2004-HYB1, Class A41
2.86%		02/25/34	²		254,864		251,846
Citigroup Mortgage Loan Trust, Inc., Series 2006-AMC1, Class A2B
0.31%		09/25/36	²		5,393,835		2,803,181
Citigroup Mortgage Loan Trust, Inc., Series 2006-WFH4, Class A3
0.30%		11/25/36	²		4,798,272		4,684,625
Citigroup Mortgage Loan Trust, Inc., Series 2007-WFH2, Class A2
0.30%		03/25/37	²		2,452,758		2,457,298
Citigroup Mortgage Loan Trust, Inc., Series 2007-WFH2, Class A3
0.33%		03/25/37	²		1,650,000		1,610,314
Citigroup Mortgage Loan Trust, Inc., Series 2007-WFH4, Class A2C
1.45%		07/25/37	²		90,000		76,084
Conseco Finance Securitizations Corp., Series 2001-4, Class A4
7.36%		09/01/33			5,379,878		5,888,669


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Conseco Finance, Series 2001-D, Class A5
6.69%		11/15/32	²	$	36,637	$	36,777
Conseco Financial Corp., Series 1994-1, Class A5
7.65%		04/15/19			47,119		49,367
Conseco Financial Corp., Series 1996-1, Class M1
7.00%		03/15/27	²		4,031,756		4,155,821
Conseco Financial Corp., Series 1997-2, Class A7
7.62%		06/15/28	²		2,358,888		2,499,026
Conseco Financial Corp., Series 1997-3, Class A7
7.64%		03/15/28	²		1,435,760		1,556,814
Conseco Financial Corp., Series 1997-7, Class A9
7.37%		07/15/29	²		4,658,769		5,001,159
Conseco Financial Corp., Series 1998-2, Class A5
6.24%		12/01/28	²		18,287		18,886
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2004-14, Class 4A1
4.95%		08/25/34	²		43,800		44,204
Credit Suisse Commercial Mortgage Trust, Series 2007-C1, Class AAB
5.34%		02/15/40			2,622,833		2,732,275
Credit Suisse First Boston Mortgage Securities Corp., Series 2004-AR1, Class 5A1
2.41%		02/25/34	²		5,574,122		5,697,433
Credit Suisse First Boston Mortgage Securities Corp., Series 2013-7R, Class 5A1
0.41%		07/26/36	^2,3		5,733,219		5,069,358
Credit-Based Asset Servicing and Securitization LLC, Series 2005-CB7,
Class AF3 (STEP)
4.20%		11/25/35			1,259,663		1,335,479
Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB1, Class AF2 (STEP)
3.55%		01/25/36			2,922,056		2,158,976
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB2, Class A2B (STEP)
4.82%		02/25/37			16,760,186		12,332,362
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB5, Class A1 (STEP)
0.21%		04/25/37	²		4,576,374		2,971,110
DBRR Trust, Series 2012-EZ1, Class A
0.95%		09/25/45	³		3,734,654		3,742,291
DBRR Trust, Series 2013-EZ2, Class A
0.85%		02/25/43	^2,3		20,975,409		20,881,019


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
0.37%		03/19/45	²	$	2,550,438	$	2,345,671
Downey Savings & Loan Association Mortgage Loan Trust, Series 2006-AR1, Class 2A1A
1.07%		04/19/47	²		59,690		52,463
First Franklin Mortgage Loan Asset-Backed Certificates, Series 2004-FF5, Class A3C
1.15%		08/25/34	²		1,852,058		1,846,217
First Franklin Mortgage Loan Asset-Backed Certificates, Series 2005-FF6, Class M1
0.57%		05/25/36	²		3,774,581		3,721,246
First Horizon Alternative Mortgage Securities Trust, Series 2004-AA3, Class A1
2.20%		09/25/34	²		26,087		25,511
First Horizon Mortgage Pass-Through Trust, Series 2004-AR7, Class 2A2
2.56%		02/25/35	²		3,121,247		3,103,977
GE Business Loan Trust, Series 2007-1A, Class A
0.32%		04/16/35	^2,3		3,822,868		3,464,445
GMAC Mortgage Corp. Loan Trust, Series 2000-HE2, Class A1
0.59%		06/25/30	²		516,009		456,770
GSAMP Trust, Series 2005-HE4, Class M1
0.60%		07/25/45	²		6,736,929		6,690,197
GSR Mortgage Loan Trust, Series 2005-AR6, Class 2A1
2.65%		09/25/35	²		4,624,736		4,681,912
GSR Mortgage Loan Trust, Series 2005-AR7, Class 2A1
2.62%		11/25/35	²		2,475,544		2,422,831
Home Equity Loan Trust, Series 2005-3, Class M1
0.58%		01/20/35	²		2,541,512		2,530,472
Home Equity Loan Trust, Series 2006-3, Class A4
0.40%		03/20/36	²		9,323,000		9,152,352
Home Equity Loan Trust, Series 2007-1, Class AS
0.36%		03/20/36	²		5,031,948		4,949,409
Home Equity Loan Trust, Series 2007-2, Class A3V
0.38%		07/20/36	²		3,577,703		3,548,198
Household Home Equity Loan Trust, Series 2006-1, Class A2
0.34%		01/20/36	²		1,929,837		1,917,532
Impac CMB Trust, Series 2005-5, Class A1
0.79%		08/25/35	²		3,834,539		3,387,873


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
IndyMac Index Mortgage Loan Trust, Series 2004-AR12, Class A1
0.93%		12/25/34	²	$	447,187	$	378,653
IndyMac Index Mortgage Loan Trust, Series 2004-AR8, Class 2A2A
0.95%		11/25/34	²		1,627,058		1,428,388
IndyMac Manufactured Housing Contract, Series 1998-1, Class A4
6.49%		09/25/28			1,006,953		1,048,096
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2006-LDP9, Class A3SF
0.31%		05/15/47	²		1,075,090		1,077,777
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2011-C5, Class A2
3.15%		08/15/46			14,326,431		14,983,433
JPMorgan Mortgage Acquisition Corp., Series 2005-FRE1, Class A2F3 (STEP)
4.07%		10/25/35			2,313,764		2,182,065
JPMorgan Mortgage Acquisition Corp., Series 2007-HE1, Class AV4
0.43%		03/25/47	²		50,000		27,895
JPMorgan Mortgage Trust, Series 2005-A3, Class 5A3
2.71%		06/25/35	²		101,978		95,675
JPMorgan Mortgage Trust, Series 2007-A1, Class 1A1
2.78%		07/25/35	²		4,173,551		4,163,622
JPMorgan Mortgage Trust, Series 2007-A1, Class 5A2
2.66%		07/25/35	²		938,384		942,933
Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class A3
4.35%		04/15/40			3,652,343		3,761,271
Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class A4
5.27%		04/15/40			3,028,132		3,182,992
Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class AIOC (IO)
0.55%		04/15/40	^2,7		227,733,606		5,060,218
Long Beach Mortgage Loan Trust, Series 2005-1, Class M1
0.90%		02/25/35	²		460,159		460,038
Long Beach Mortgage Loan Trust, Series 2005-2, Class M3
0.89%		04/25/35	²		11,938,072		11,934,240
MASTR Adjustable Rate Mortgages Trust, Series 2003-6, Class 4A2
4.43%		01/25/34	²		39,139		38,938
MASTR Adjustable Rate Mortgages Trust, Series 2004-1, Class 2A1
2.75%		01/25/34	²		56,881		55,448


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Class 3A1
2.65%		11/21/34	²	$	4,106,497	$	4,210,258
MASTR Adjustable Rate Mortgages Trust, Series 2004-3, Class 3A3
2.07%		04/25/34	²		403,199		386,719
MASTR Adjustable Rate Mortgages Trust, Series 2004-5, Class 3A1
2.59%		06/25/34	²		85,975		79,929
MASTR Alternative Loan Trust, Series 2003-1, Class 1A1
6.25%		12/25/32			5,861,625		6,197,977
MASTR Alternative Loan Trust, Series 2003-5, Class 4A1
5.50%		07/25/33			11,414,959		12,066,273
MASTR Alternative Loan Trust, Series 2003-9, Class 4A1
5.25%		11/25/33			12,549,131		13,068,552
MASTR Alternative Loan Trust, Series 2004-7, Class 1A1
5.50%		07/25/34			12,316,277		12,612,721
MASTR Asset-Backed Securities Trust, Series 2006-AB1, Class A2
0.38%		02/25/36	²		4,560,120		4,467,466
MASTR Seasoned Securities Trust, Series 2004-1, Class 4A1
2.58%		10/25/32	²		432,681		440,313
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-3, Class A2C
0.33%		06/25/37	²		19,057,200		12,259,087
Merrill Lynch Mortgage Investors Trust, Series 2004-A4, Class A1
2.49%		08/25/34	²		3,949,745		4,038,902
Merrill Lynch Mortgage Investors Trust, Series 2006-F1, Class 1A2
6.00%		04/25/36			4,852,651		4,337,615
Mid-State Trust, Series 2004-1, Class B
8.90%		08/15/37			1,832,931		2,212,141
Mid-State Trust, Series 2006-1, Class A
5.79%		10/15/40	³		7,610,880		8,071,041
Morgan Stanley Capital I Trust, Series 2004-NC7, Class M2
1.08%		07/25/34	²		13,000,000		12,399,569
Morgan Stanley Capital I Trust, Series 2005-HE3, Class M2
0.93%		07/25/35	²		5,158,894		5,014,966
Morgan Stanley Capital I Trust, Series 2005-NC2, Class M2
0.78%		03/25/35	²		10,237,900		10,145,687
Morgan Stanley Mortgage Loan Trust, Series 2004-6AR, Class 1A
0.60%		07/25/34	²		1,369,863		1,327,666


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
MortgageIT Trust, Series 2005-3, Class A1
0.45%		08/25/35	²	$	1,029,689	$	971,830
MortgageIT Trust, Series 2005-4, Class A1
0.43%		10/25/35	²		15,540,514		14,234,955
Nationstar Home Equity Loan Trust, Series 2007-C, Class 2AV3
0.33%		06/25/37	²		7,807,200		6,131,345
New Century Home Equity Loan Trust, Series 2005-3, Class M2
0.64%		07/25/35	²		15,000,000		14,231,537
Nomura Resecuritization Trust, Series 2013-1R, Class 3A1
0.32%		10/26/36	^2,3		15,015,360		14,553,717
Nomura Resecuritization Trust, Series 2014-1R, Class 1A1
0.31%		10/25/36	^3,†		11,511,000		11,108,077
Nomura Resecuritization Trust, Series 2014-1R, Class 4A1
0.33%		01/25/37	^3,†		7,987,000		7,857,250
Oakwood Mortgage Investors, Inc., Series 1997-B, Class M
7.78%		08/15/27			2,820,143		2,916,367
Park Place Securities, Inc., Series 2004-MHQ1, Class M1
1.20%		12/25/34	²		1,031,014		1,034,869
Park Place Securities, Inc., Series 2005-WCW1, Class A3D
0.49%		09/25/35	²		547,585		546,463
Park Place Securities, Inc., Series 2005-WCW3, Class A1B
0.45%		08/25/35	^2,3		10,214,324		10,171,056
Park Place Securities, Inc., Series 2005-WHQ1, Class M2
0.65%		03/25/35	²		6,645,731		6,612,769
Park Place Securities, Inc., Series 2005-WHQ2, Class A1B
0.42%		05/25/35	²		10,564,430		10,520,060
Park Place Securities, Inc., Series 2005-WHQ3, Class M1
0.57%		06/25/35	²		2,930,687		2,927,870
Park Place Securities, Inc., Series 2005-WLL1, Class M1
0.57%		03/25/35	²		1,231,445		1,232,828
Residential Accredit Loans, Inc., Series 2005-QA3, Class NB1
2.91%		03/25/35	²		10,301,455		7,555,808
Residential Asset Mortgage Products, Inc., Series 2004-SL4, Class A3
6.50%		07/25/32			1,223,665		1,270,844
Residential Asset Mortgage Products, Inc., Series 2005-RS5, Class AI3
0.49%		05/25/35	²		289,745		288,815


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Residential Asset Mortgage Products, Inc., Series 2005-SL1, Class A5
6.50%		05/25/32		$	2,684,629	$	2,612,774
Residential Asset Securities Corp., Series 2005-KS12, Class A2
0.40%		01/25/36	²		1,149,763		1,145,522
Residential Funding Mortgage Securities I, Inc., Series 2005-S8, Class A1
5.50%		11/25/35			5,277,212		5,201,717
Residential Funding Mortgage Securities II, Inc., Series 2000-HI1, Class AI7 (STEP)
8.29%		02/25/25			1,995		1,992
SG Mortgage Securities Trust, Series 2006-FRE1, Class A1B
0.42%		02/25/36	²		1,056,859		815,129
Soundview Home Equity Loan Trust, Series 2006-WF2, Class A2C
0.29%		12/25/36	²		6,249,360		6,170,416
Specialty Underwriting & Residential Finance, Series 2005-AB1, Class A1C
0.49%		03/25/36	²		854,590		849,616
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-16, Class 6A
2.39%		11/25/34	²		11,782,612		11,408,371
Structured Asset Investment Loan Trust, Series 2005-11, Class A5
0.44%		01/25/36	²		9,951,081		9,924,696
Structured Asset Securities Corp., Series 2002-5A, Class 6A
2.00%		04/25/32	²		19,156		16,660
Structured Asset Securities Corp., Series 2003-26A, Class 3A5
2.44%		09/25/33	²		2,537,416		2,533,869
Structured Asset Securities Corp., Series 2005-WF4, Class A4
0.51%		11/25/35	²		8,072,671		8,061,918
Structured Asset Securities Corp., Series 2007-WF1, Class A3
0.31%		02/25/37	²		3,118,163		3,120,832
Terwin Mortgage Trust, Series 2004-7HE, Class A1
1.25%		07/25/34	^2,3		140,917		134,788
WaMu Mortgage Pass-Through Certificates Trust, Series 2004-CB2, Class 2A
5.50%		07/25/34			14,050,324		14,656,268
WaMu Mortgage Pass-Through Certificates, Series 2002-AR18, Class A
2.50%		01/25/33	²		297,853		303,499
WaMu Mortgage Pass-Through Certificates, Series 2004-AR14, Class A1
2.40%		01/25/35	²		2,202,168		2,217,768


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
WaMu Mortgage Pass-Through Certificates, Series 2005-AR13, Class A1A1
0.44%		10/25/45	²	$	5,810,238	$	5,384,336
WaMu Mortgage Pass-Through Certificates, Series 2005-AR2, Class 2A21
0.48%		01/25/45	²		935,688		875,138
Wells Fargo Home Equity Trust, Series 2005-3, Class M1
0.56%		11/25/35	²		14,861,172		14,849,223
Wells Fargo Mortgage-Backed Securities Trust, Series 2004-Q, Class 1A1
2.62%		09/25/34	²		3,893,323		3,978,055
Wells Fargo Mortgage-Backed Securities Trust, Series 2005-AR10, Class 2A14
2.61%		06/25/35	²		14,096,533		14,232,397
Wells Fargo Mortgage-Backed Securities Trust, Series 2005-AR9, Class 1A1
2.62%		05/25/35	²		351,138		364,524
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR2, Class 2A5
2.61%		03/25/36	²		3,639,764		3,531,768

							665,026,198

U.S. Agency Mortgage-Backed — 18.67%
Fannie Mae Pool 465761
3.16%		08/01/17			5,538,718		5,703,389
Fannie Mae Pool 555284
7.50%		10/01/17			478		509
Fannie Mae Pool 567002
8.00%		05/01/23			62,454		70,479
Fannie Mae Pool 735861
6.50%		09/01/33			30,362		34,633
Fannie Mae Pool 770900
2.31%		04/01/34	²		526,214		557,313
Fannie Mae Pool 942553
5.81%		08/01/37	²		1,829,589		1,972,104
Fannie Mae Pool 995182
5.50%		06/01/20			5,764,438		6,200,347
Fannie Mae Pool 995793
5.50%		09/01/36			3,753,039		4,156,341
Fannie Mae Pool AD0538
6.00%		05/01/24			1,802,245		1,987,726
Fannie Mae Pool AD0791
4.76%		02/01/20			18,709,863		20,927,513
Fannie Mae Pool AE0083
6.00%		01/01/40			4,355,911		4,867,605
Fannie Mae Pool AL0851
6.00%		10/01/40			5,503,034		6,135,648
Fannie Mae Pool FN0002
3.31%		12/01/17			5,844,650		6,199,378


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae REMICS, Series 2007-61,
Class A
0.43%		03/25/37	²	$	6,864,187	$	6,867,449
Fannie Mae REMICS, Series 2009-111, Class DA
5.00%		12/25/39			4,756,588		5,082,410
Fannie Mae REMICS, Series 2009-85,
Class LF
1.35%		10/25/49	²		11,765,534		11,990,842
Fannie Mae REMICS, Series 2010-6,
Class BF
0.91%		02/25/40	²		7,052,516		7,150,670
Fannie Mae REMICS, Series 2013-75,
Class FC
0.40%		07/25/42	²		13,971,712		13,921,016
Fannie Mae, Series 1997-76, Class FS
0.60%		09/17/27	²		35,634		35,637
Fannie Mae, Series 2001-60, Class OF
1.10%		10/25/31	²		2,242,001		2,303,343
Fannie Mae, Series 2003-134, Class FC
0.75%		12/25/32	²		15,649,141		15,793,237
Fannie Mae, Series 2007-64, Class FA
0.62%		07/25/37	²		1,926,490		1,934,947
Fannie Mae, Series 2009-33, Class FB
0.97%		03/25/37	²		7,708,533		7,843,920
Fannie Mae, Series 2010-109, Class PF
0.55%		10/25/40	²		4,635,659		4,660,094
Fannie Mae, Series 2010-26, Class S (IO)
6.08%		11/25/36	²		27,022,117		3,612,868
Fannie Mae, Series 2010-39, Class FE
0.92%		06/25/37	²		14,389,001		14,605,398
Fannie Mae, Series 2010-43, Class DP
5.00%		05/25/40			4,369,646		4,681,528
Fannie Mae, Series 2010-95, Class S (IO)
6.45%		09/25/40	²		15,990,510		2,727,135
Fannie Mae, Series 2010-M1, Class A1
3.30%		06/25/19			3,430,653		3,569,164
Fannie Mae, Series 2011-71, Class FB
0.65%		05/25/37	²		10,118,237		10,191,248
Fannie Mae, Series 2012-33, Class F
0.67%		04/25/42	²		17,325,255		17,429,922
Fannie Mae, Series 2013-M11, Class A
1.50%		01/25/18			13,086,590		13,217,194
Fannie Mae, Series G92-10, Class Z
7.75%		01/25/22			5,766		6,266
Freddie Mac Gold Pool A45796
7.00%		01/01/33			15,824		18,092
Freddie Mac Gold Pool C46104
6.50%		09/01/29			20,766		23,805


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Gold Pool E04113
2.50%		11/01/27		$	11,174,195	$	11,188,498
Freddie Mac Gold Pool G13032
6.00%		09/01/22			3,064,601		3,369,114
Freddie Mac Gold Pool G13475
6.00%		01/01/24			393,055		431,619
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K004, Class A2
4.19%		08/25/19			17,405,000		19,029,738
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K005, Class A2
4.32%		11/25/19			16,592,000		18,194,397
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K007, Class A2
4.22%		03/25/20			14,910,000		16,320,685
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K033, Class A1
2.87%		02/25/23			16,373,269		16,766,493
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K701, Class A2
3.88%		11/25/17			9,097,000		9,803,439
Freddie Mac REMICS, Series 2733,
Class FB
0.76%		10/15/33	²		5,335,000		5,428,186
Freddie Mac REMICS, Series 3084, Class FN
0.66%		12/15/34	²		10,925,861		10,983,812
Freddie Mac REMICS, Series 3524,
Class FC
1.10%		06/15/38	²		4,838,380		4,888,648
Freddie Mac REMICS, Series 3531,
Class FM
1.06%		05/15/39	²		5,718,541		5,783,280
Freddie Mac REMICS, Series 3828,
Class TF
0.56%		04/15/29	²		2,823,950		2,835,902
Freddie Mac REMICS, Series 4170,
Class FW
1.10%		01/15/33	²		16,623,277		16,271,836
Freddie Mac REMICS, Series 4235,
Class FA
0.50%		01/15/34	²		14,963,230		14,962,132
Freddie Mac Strips, Series 263, Class F5
0.66%		06/15/42	²		7,132,360		7,154,797
Freddie Mac Strips, Series 319, Class F2
0.66%		11/15/43	²		29,793,398		29,674,752
Freddie Mac, Series 2174, Class PN
6.00%		07/15/29			1,320,903		1,443,247


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac, Series 240, Class F30
0.46%		07/15/36	²	$	10,384,830	$	10,388,320
Freddie Mac, Series 2454, Class FQ
1.16%		06/15/31	²		20,763		21,351
Freddie Mac, Series 2657, Class LX (IO)
6.00%		05/15/18			2,395		28
Freddie Mac, Series 3294, Class CB
5.50%		03/15/37			1,551,936		1,666,977
Freddie Mac, Series 3300, Class FA
0.46%		08/15/35	²		3,089,174		3,093,044
Freddie Mac, Series 3325, Class NF
0.46%		08/15/35	²		7,966,508		7,976,534
Freddie Mac, Series 3345, Class FP
0.36%		11/15/36	²		2,966,813		2,967,050
Freddie Mac, Series 3345, Class PF
0.34%		05/15/36	²		1,297,466		1,297,610
Freddie Mac, Series 3346, Class FA
0.38%		02/15/19	²		13,440,933		13,457,069
Freddie Mac, Series 3626, Class MA
5.00%		02/15/30			2,625,743		2,671,782
Freddie Mac, Series 3672, Class A
6.00%		05/15/40			1,003,529		1,073,335
Freddie Mac, Series 4109, Class KF
0.56%		05/15/32	²		34,303,211		34,344,261
Ginnie Mae I Pool 422972
6.50%		07/15/29			43,116		48,648
Ginnie Mae II Pool (TBA)
3.00%		04/20/43			15,075,000		14,827,675
Ginnie Mae II Pool 1849
8.50%		08/20/24			692		779
Ginnie Mae II Pool 2020
8.50%		06/20/25			1,682		1,924
Ginnie Mae II Pool 2286
8.50%		09/20/26			1,936		2,223
Ginnie Mae II Pool 2487
8.50%		09/20/27			16,338		18,844
Ginnie Mae II Pool 80059
1.62%		04/20/27	²		36,907		38,424
Ginnie Mae II Pool 80589
1.62%		03/20/32	²		78,661		81,586
Ginnie Mae II Pool 80610
1.62%		06/20/32	²		25,820		26,882
Ginnie Mae II Pool 80968
1.62%		07/20/34	²		734,800		761,015
Ginnie Mae II Pool 81201
2.12%		01/20/35	²		19,527		20,363
Ginnie Mae II Pool 8599
3.00%		02/20/25	²		30,836		32,293


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Ginnie Mae II Pool MA0949
3.00%		04/20/43	²	$	13,340,643	$	13,837,484
Ginnie Mae, Series 2003-11, Class FK
0.46%		02/16/33	²		3,093,309		3,100,954
Ginnie Mae, Series 2004-5, Class PF
0.71%		02/20/33	²		4,488,734		4,513,589
Ginnie Mae, Series 2006-3, Class C
5.24%		04/16/39			8,033,987		8,578,587
Ginnie Mae, Series 2009-106, Class XI (IO)
6.64%		05/20/37	²		15,196,064		2,566,243
Ginnie Mae, Series 2010-118, Class B
2.81%		07/16/39			4,121,771		4,141,894
Ginnie Mae, Series 2011-78, Class AB
2.45%		02/16/39			3,255,082		3,287,410
Ginnie Mae, Series 2012-13, Class KF
0.46%		07/20/38	²		5,941,335		5,951,398
Ginnie Mae, Series 2013-53, Class AD
1.50%		12/20/26			10,595,336		10,417,526
Mortgage-Linked Amortizing Notes, Series 2012-1, Class A10
2.06%		01/15/22			10,423,724		10,489,614
NCUA Guaranteed Notes, Series 2010-R1, Class 1A
0.61%		10/07/20	²		13,062,996		13,141,323
NCUA Guaranteed Notes, Series 2010-R2, Class 1A
0.53%		11/06/17	²		15,515,378		15,557,802
NCUA Guaranteed Notes, Series 2010-R2, Class 2A
0.63%		11/05/20	²		10,981,388		11,039,732
NCUA Guaranteed Notes, Series 2010-R3, Class 1A
0.72%		12/08/20	²		15,322,282		15,459,432
NCUA Guaranteed Notes, Series 2010-R3, Class 2A
0.72%		12/08/20	²		6,595,433		6,660,356
NCUA Guaranteed Notes, Series 2011-C1, Class 2A
0.79%		03/09/21	²		13,776,602		13,860,853
NCUA Guaranteed Notes, Series 2011-R1, Class 1A
0.61%		01/08/20	²		9,379,455		9,438,809
NCUA Guaranteed Notes, Series 2011-R2, Class 1A
0.56%		02/06/20	²		9,066,938		9,110,148
NCUA Guaranteed Notes, Series 2011-R3, Class 1A
0.56%		03/11/20	²		5,384,239		5,408,111
NCUA Guaranteed Notes, Series 2011-R4, Class 1A
0.54%		03/06/20	²		5,711,183		5,724,569


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
NCUA Guaranteed Notes, Series 2011-R5,
Class 1A
0.54%		04/06/20	²	$	3,746,309	$	3,753,845
NCUA Guaranteed Notes, Series 2011-R6,
Class 1A
0.54%		05/07/20	²		3,604,381		3,608,464

							675,475,905

Total Mortgage-Backed
(Cost $1,572,015,633)							1,583,263,712


MUNICIPAL BONDS — 0.79%*
California — 0.26%
State of California, Taxable, Various Purpose
4.85%		10/01/14			4,900,000		5,011,817
5.50%		03/01/16			1,775,000		1,929,709
6.20%		03/01/19			600,000		705,624
State of California, Taxable, Various Purpose,
Series 3
5.45%		04/01/15			1,715,000		1,802,105

							9,449,255

Illinois — 0.53%
State of Illinois, Build America Bonds
6.20%		07/01/21	²		6,750,000		7,598,678
State of Illinois, Taxable Bonds
5.36%		03/01/17			2,250,000		2,465,055
State of Illinois, Taxable Pension Bonds
4.05%		06/01/15	²		1,040,000		1,078,366
4.35%		06/01/18	²		7,445,000		7,889,467

							19,031,566

Total Municipal Bonds
(Cost $27,536,631)							28,480,821


U.S. AGENCY SECURITIES — 4.77%
Fannie Mae
0.50%		01/15/16			16,435,000		16,437,433
0.50%		01/29/16			12,850,000		12,854,343
Federal Farm Credit Bank
0.18%		09/14/16	²		17,560,000		17,565,395
0.21%		02/27/17	²		17,135,000		17,152,066
Federal Home Loan Bank
0.22%		10/07/15	²		16,250,000		16,270,556
0.24%		01/21/15			33,325,000		33,335,597
0.55%		06/03/16			10,520,000		10,492,133
Federal Home Loan Bank (STEP)
0.75%		05/26/28			15,570,000		15,124,838

Issues

Maturity
Date

Principal
Amount

Value

U.S. AGENCY SECURITIES (continued)

Freddie Mac

0.40%

04/30/15

33,345,000

33,353,245

Total U.S. Agency Securities

(Cost $172,976,591)

172,585,606

U.S. TREASURY SECURITIES — 2.75%

U.S. Treasury Notes — 2.75%

U.S. Treasury Notes - Treasury Inflation

Indexed Notes

0.50%

04/15/15

⁸

17,780,000

19,591,027

1.25%

04/15/14

⁸

6,878,000

7,617,923

1.62%

01/15/15

⁸

6,210,000

7,806,896

2.00%

07/15/14

⁸

51,155,000

64,539,802

Total U.S. Treasury Securities

(Cost $99,642,126)

99,555,648

Total Bonds – 84.92%

(Cost $3,036,539,129)

3,071,938,297

Issues

Notional
Amount
(000’s)

Value

PURCHASED SWAPTIONS — 0.02%

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 6.00% annually; Option Expiration Date of 12/24/23. Counterparty: Goldman Sachs Group, Inc.

30,000

826,855

Total Purchased Swaptions

(Cost $939,000)

Issues

Maturity
Date

Principal
Amount/
Share

Value

SHORT-TERM INVESTMENTS — 15.32%

Commercial Paper — 2.40%

Macquarie Bank Ltd. (Australia)

0.20%⁹

05/27/14

^3,4

2,780,000

2,779,248

0.20%⁹

05/28/14

^3,4

25,000,000

24,992,882

National Rural Utilities Cooperative

Finance Corp.

0.09%⁹

04/03/14

33,000,000

32,999,835

RBS Holdings USA, Inc.

0.25%⁹

04/22/14

26,000,000

25,997,364

86,769,329

Money Market Funds — 2.00%

Dreyfus Cash Advantage Fund

0.05%^10,11

36,215,000


Issues	Maturity Date		Principal Amount/ Share		Value
SHORT-TERM INVESTMENTS (continued)
Money Market Funds (continued)
DWS Money Market Series
Institutional Funds
0.04%¹⁰			$	36,207,000	$	36,207,000

						72,422,000

Repurchase Agreements — 1.72%
Deutsche Bank AG (Dated 3/31/14, total to be received $27,000,060, (collateralized by U.S. government sponsored agency obligations, 0.38% to 6.25%, due from 12/21/15 to 5/15/29, par and fair value of $25,207,000 and $27,540,730, respectively))
0.08%		04/01/14		27,000,000		27,000,000
RBS (Dated 3/31/14, total to be received $35,000,039, (collateralized by U.S. treasury note obligation, 2.75%, due 2/15/24, par and fair value of $35,475,000 and $35,701,849 respectively))
0.04%		04/01/14		35,000,000		35,000,000

						62,000,000

U.S. Agency Discount Notes — 9.20%
Federal Farm Credit Bank
0.06%⁹		06/30/14		18,000,000		17,999,100
Federal Home Loan Bank
0.04%⁹		04/21/14		50,000,000		49,999,450
0.05%⁹		04/23/14		17,000,000		16,999,690
0.05%⁹		04/29/14		30,000,000		29,999,762
0.05%⁹		04/30/14		40,000,000		39,999,680
0.06%⁹		04/21/14		19,860,000		19,859,782
0.06%⁹		04/25/14		73,000,000		72,998,540
0.08%⁹		04/30/14		50,000,000		49,999,600
0.08%⁹		06/06/14		35,000,000		34,998,705

						332,854,309

Total Short-Term Investments
(Cost $554,029,627)						554,045,638

Total Investments – 100.26%
(Cost $3,591,507,756)¹						3,626,810,790

Liabilities in Excess of Other
Assets – (0.26)%						(9,554,046	)

Net Assets – 100.00%					$	3,617,256,744


Issues	Notional Amount (000’s)		Premiums (Received)		Value
WRITTEN SWAPTIONS
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 7.00% annually; Option Expiration Date of 12/24/23. Counterparty: Goldman Sachs Group, Inc.
		$(30,000)		$(540,000)		$(504,911)

Total Written Swaptions				$(540,000)		$(504,911)


	Expiration Date	Premiums (Received)		Notional Amount (000’s)		Appreciation		Value
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		$106,848		$(9,072)

			$(115,920)		$10,080		$106,848		$(9,072)

Notes:

¹	Cost for federal income tax purposes is $3,592,258,064 and net unrealized appreciation/(depreciation) consists of:


Gross unrealized appreciation	$	76,309,741
Gross unrealized depreciation		(41,757,015	)

Net unrealized appreciation	$	34,552,726

²	Floating rate security. The rate disclosed was in effect at March 31, 2014.

³	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.

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

⁵	Private placements under procedures approved by the Fund’s Board of Trustees.

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 Funds’ Board of Trustees. The aggregate value of illiquid securities is $5,938,031, which is 0.16% 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 March 31, 2014.

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 $20,553,128, which is 0.57% 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 sooner than the stated maturity.

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


Issues	Maturity Date			Principal Amount		Value
BONDS – 88.84%
ASSET-BACKED SECURITIES — 5.38%**
Academic Loan Funding Trust,
Series 2012-1A, Class A2
1.25%		12/27/44	^2,3	$	950,000	$	967,577
Aircastle Aircraft Lease Backed Trust,
Series 2007-1A, Class G1
0.46%		06/14/37	^2,3		653,884		624,868
Alm Loan Funding, Series 2012-7A, Class A1 (Cayman Islands)
1.66%		10/19/24	^2,3,4		775,000		773,800
Axis Equipment Finance Receivables LLC, Series 2012-1I, Class D
5.50%		11/20/15			175,000		175,752
Axis Equipment Finance Receivables LLC, Series 2012-1I, Class E1
6.25%		04/20/16			175,000		176,106
Bayview Commercial Asset Trust, Series 2004-3, Class A1
0.52%		01/25/35	^2,3		1,116,155		1,039,774
Bayview Commercial Asset Trust, Series 2005-2A, Class A1
0.46%		08/25/35	^2,3		458,509		399,079
Brazos Higher Education Authority, Inc., Series 2005-3, Class A16
0.43%		06/25/26	²		350,000		343,809
Brazos Higher Education Authority, Inc., Series 2010-1, Class A2
1.44%		02/25/35	²		650,000		670,441
Brazos Higher Education Authority, Inc., Series 2011-2, Class A3
1.24%		10/27/36	²		930,000		945,053
CIT Education Loan Trust, Series 2007-1, Class A
0.32%		03/25/42	^2,3		515,170		482,113
Cronos Containers Program Ltd., Series 2012-1A, Class A (Bermuda)
4.21%		05/18/27	^3,4		347,083		348,064
Cronos Containers Program Ltd., Series 2012-2A, Class A (Bermuda)
3.81%		09/18/27	^3,4		425,000		428,680
Educational Funding of the South, Inc.,Series 2011-1, Class A2
0.89%		04/25/35	²		780,000		778,234
GCO Education Loan Funding Trust, Series 2006-2AR, Class A1RN
0.80%		08/27/46	^2,3		1,026,831		990,851
GE Business Loan Trust, Series 2004-1, Class A
0.44%		05/15/32	^2,3		373,071		356,756
GE Business Loan Trust, Series 2004-1, Class B
0.86%		05/15/32	^2,3		202,751		189,762


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
GE Business Loan Trust, Series 2004-2A, Class A
0.38%		12/15/32	^2,3	$	698,108	$	663,215
GE Business Loan Trust, Series 2005-1A, Class A3
0.40%		06/15/33	^2,3		821,771		772,181
ING Investment Management Ltd., Series 2012-4A, Class A1 (Cayman Islands)
1.63%		10/15/23	^2,3,4		1,050,000		1,048,051
J.G. Wentworth XXX LLC, Series 2013-3A, Class A
4.08%		01/17/73	³		660,893		672,244
LCM VI Ltd., Series 6A, Class A (Cayman Islands)
0.46%		05/28/19	^2,3,4		953,000		932,036
Limerock CLO, Series 2014-2A, Class A (Cayman Islands)
1.74%		04/18/26	^2,3,4		1,200,000		1,201,198
National Collegiate Student Loan Trust, Series 2007-4, Class A2A3
3.65%		12/26/25	²		50,000		49,772
Oak Hill Credit Partners, Series 2012-7A, Class A (Cayman Islands)
1.66%		11/20/23	^2,3,4		775,000		772,901
Peach Finance Co., Series 2000, Class A
4.71%		04/15/48	³		361,493		377,746
SLC Student Loan Trust I, Series 2002-2, Class B2
1.64%		07/01/42	^2,3		750,000		575,198
SLC Student Loan Trust, Series 2004-1, Class B
0.53%		08/15/31	²		302,320		272,201
SLC Student Loan Trust, Series 2008-1, Class A4A
1.83%		12/15/32	²		625,000		656,351
SLM Student Loan Trust, Series 2004-2, Class B
0.71%		07/25/39	²		337,928		306,126
SLM Student Loan Trust, Series 2004-8, Class B
0.70%		01/25/40	²		338,254		301,571
SLM Student Loan Trust, Series 2005-4, Class B
0.42%		07/25/40	²		385,512		339,713
SLM Student Loan Trust, Series 2006-2, Class A6
0.41%		01/25/41	²		925,000		840,984
SLM Student Loan Trust, Series 2006-8, Class A6
0.40%		01/25/41	²		925,000		839,002
SLM Student Loan Trust, Series 2007-6, Class B
1.09%		04/27/43	²		157,372		140,883


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
SLM Student Loan Trust, Series 2008-2,
Class B
1.44%		01/25/29	²	$	160,000	$	145,527
SLM Student Loan Trust, Series 2008-3,
Class B
1.44%		04/25/29	²		160,000		148,428
SLM Student Loan Trust, Series 2008-4,
Class B
2.09%		04/25/29	²		160,000		155,534
SLM Student Loan Trust, Series 2008-5,
Class B
2.09%		07/25/29	²		160,000		162,318
SLM Student Loan Trust, Series 2008-6,
Class B
2.09%		07/25/29	²		160,000		158,296
SLM Student Loan Trust, Series 2008-7,
Class B
2.09%		07/25/29	²		160,000		158,862
SLM Student Loan Trust, Series 2008-8,
Class B
2.49%		10/25/29	²		160,000		164,993
SLM Student Loan Trust, Series 2008-9,
Class B
2.49%		10/25/29	²		160,000		167,558
SLM Student Loan Trust, Series 2011-2,
Class A2
1.35%		10/25/34	²		500,000		520,530
SLM Student Loan Trust, Series 2012-7,
Class A3
0.80%		05/26/26	²		800,000		800,702
SLM Student Loan Trust, Series 2013-4,
Class A
0.70%		06/25/27	²		769,852		768,458
South Carolina Student Loan Corp., Series A2
0.36%		12/01/20	²		725,000		715,355
Structured Receivables Finance LLC,
Series 2010-A, Class B
7.61%		01/16/46	^3,†		792,088		940,280
TAL Advantage LLC, Series 2006-1,
Class NOTE
0.35%		04/20/21	^2,3		302,083		298,672
TAL Advantage LLC, Series 2012-1A,
Class A
3.86%		05/20/27	³		204,167		204,722
Textainer Marine Containers Ltd.,
Series 2005-1A, Class A (Bermuda)
0.41%		05/15/20	^2,3,4		122,500		122,265
Trinity Rail Leasing LP, Series 2004-1A,
Class A
5.27%		08/14/27	³		223,571		240,330
Trip Rail Master Funding LLC,
Series 2011-1A, Class A1A
4.37%		07/15/41	³		493,945		523,821


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Triton Container Finance LLC,
Series 2007-1A, Class NOTE
0.29%		02/26/19	^2,3	$	100,260	$	99,872


Total Asset-Backed Securities
(Cost $26,138,075)							26,948,615


BANK LOANS — 0.15%*
Health Care — 0.09%
HCA, Inc., Term Loan B4
2.98%		05/01/18	²		452,857		453,256


Services — 0.06%
AABS Ltd. Loan, Series 2013-1, Class A
(STEP) (Bermuda)
5.22%		01/15/38	^2,4,†		278,125		280,200


Total Bank Loans
(Cost $733,666)							733,456


CORPORATES — 19.95%*
Banking — 3.03%
Abbey National Treasury Services
PLC/London (United Kingdom)
2.88%		04/25/14	⁴		1,019,000		1,020,386
Bank of America Corp. (MTN)
1.10%		04/01/19	²		1,000,000		1,004,642
Bank of America N.A. (BKNT)
0.53%		06/15/17	²		1,350,000		1,326,240
6.00%		06/15/16			650,000		715,657
6.10%		06/15/17			340,000		387,482
Barclays Bank PLC (United Kingdom)
5.20%		07/10/14	⁴		850,000		861,181
Commonwealth Bank of Australia (Australia)
1.95%		03/16/15	⁴		1,400,000		1,420,487
Credit Suisse/New York (Switzerland)
5.50%		05/01/14	⁴		500,000		502,054
6.00%		02/15/18	⁴		288,000		329,998
Credit Suisse/New York (YCD) (Switzerland)
0.56%		08/24/15	^2,4		1,250,000		1,250,081
HBOS PLC, Series G (MTN) (United Kingdom)
6.75%		05/21/18	^3,4		915,000		1,038,340
JPMorgan Chase Bank N.A.
0.56%		06/13/16	²		600,000		597,240
JPMorgan Chase Bank N.A. (BKNT)
6.00%		07/05/17			600,000		680,665
6.00%		10/01/17			500,000		570,015
National Australia Bank/New York (MTN) (Australia)
2.00%		03/09/15	⁴		1,200,000		1,218,891


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Banking (continued)
Royal Bank of Scotland PLC
(United Kingdom)
2.55%		09/18/15	⁴	$	1,370,000	$	1,400,373
Svenska Handelsbanken AB (Sweden)
4.88%		06/10/14	^3,4		825,000		832,038

							15,155,770

Communications — 0.47%
Verizon Communications, Inc.
3.45%		03/15/21			765,000		776,666
3.65%		09/14/18			1,500,000		1,594,394

							2,371,060

Consumer Discretionary — 0.40%
Catholic Health Initiatives
2.60%		08/01/18			1,000,000		1,007,412
4.20%		08/01/23			1,000,000		1,020,136

							2,027,548

Electric — 2.34%
DPL, Inc.
6.50%		10/15/16			700,000		760,375
Duquesne Light Holdings, Inc.
6.40%		09/15/20	³		1,363,000		1,594,406
FirstEnergy Corp., Series A
2.75%		03/15/18			1,140,000		1,138,381
Florida Gas Transmission Co. LLC
7.90%		05/15/19	³		500,000		615,707
Ipalco Enterprises, Inc. (WI)
5.00%		05/01/18			1,000,000		1,064,629
Metropolitan Edison Co.
7.70%		01/15/19			500,000		604,751
Mirant Mid Atlantic Pass-Through Trust, Series C
10.06%		12/30/28			682,006		760,437
Oncor Electric Delivery Co. LLC
6.80%		09/01/18			900,000		1,063,631
PG&E Corp.
5.75%		04/01/14			910,000		910,000
Public Service Co. of New Mexico
7.95%		05/15/18			475,000		568,924
Southwestern Electric Power Co.
6.45%		01/15/19			1,109,000		1,295,260
Texas-New Mexico Power Co.
9.50%		04/01/19	³		500,000		631,994
Tucson Electric Power
3.85%		03/15/23			700,000		695,309

							11,703,804


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Energy — 1.43%
Energy Transfer Partners LP
3.26%		11/01/66	²	$	910,000	$	837,200
Florida Gas Transmission Co. LLC
3.88%		07/15/22	³		1,000,000		1,014,414
Petrobras Global Finance BV (Netherlands)
2.38%		01/15/19	^2,4		1,194,000		1,172,995
Ruby Pipeline LLC
6.00%		04/01/22	³		1,250,000		1,359,513
Spectra Energy Partners LP
2.95%		09/25/18			1,275,000		1,308,534
Tennessee Gas Pipeline Co. LLC
8.00%		02/01/16			1,250,000		1,401,433
Williams Cos., Inc.
7.88%		09/01/21			70,000		83,289

							7,177,378

Finance — 5.03%
Bear Stearns Cos. LLC
7.25%		02/01/18			1,140,000		1,358,211
Chase Capital III, Series C
0.79%		03/01/27	²		500,000		422,500
CIT Group, Inc.
4.25%		08/15/17			1,049,000		1,106,695
Citigroup, Inc.
0.78%		08/25/36	²		205,000		162,754
1.30%		11/15/16			1,000,000		1,001,279
1.94%		05/15/18	²		583,000		605,203
5.30%		01/07/16			625,000		672,206
5.50%		10/15/14			371,000		380,828
6.00%		08/15/17			250,000		283,585
6.12%		05/15/18			345,000		396,883
6.38%		08/12/14			535,000		546,550
Ford Motor Credit Co. LLC
2.75%		05/15/15			500,000		510,336
Ford Motor Credit Co. LLC, Series FRN
1.49%		05/09/16	²		1,000,000		1,016,357
General Electric Capital Corp.
4.62%		01/07/21			700,000		771,843
5.62%		05/01/18			730,000		835,414
General Electric Capital Corp. (MTN)
0.62%		05/05/26	²		1,610,000		1,464,080
3.35%		10/17/16			750,000		794,753
General Electric Capital Corp.,
Series A (MTN)
0.49%		09/15/14	²		694,000		694,830
Goldman Sachs Group, Inc.
5.95%		01/18/18			350,000		396,711
6.15%		04/01/18			1,100,000		1,258,640
7.50%		02/15/19			550,000		666,309


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Finance (continued)
Goldman Sachs Group, Inc. (MTN)
6.00%		05/01/14		$	250,000	$	251,103
Goldman Sachs Group, Inc., Series B (MTN)
0.64%		07/22/15	²		100,000		99,983
International Lease Finance Corp.
6.50%		09/01/14	³		1,000,000		1,026,250
JPMorgan Chase Capital XIII, Series M
1.18%		09/30/34	²		1,070,000		920,200
JPMorgan Chase Capital XXI, Series U
1.19%		02/02/37	²		1,650,000		1,328,250
Merrill Lynch & Co., Inc. (MTN)
8.68%		05/02/17	²		510,000		561,663
8.95%		05/18/17	²		410,000		454,608
9.57%		06/06/17	²		319,000		360,470
Morgan Stanley
0.72%		10/15/15	²		187,000		187,160
Morgan Stanley (MTN)
0.69%		10/18/16	²		1,185,000		1,181,681
6.25%		08/28/17			800,000		917,002
Prudential Holdings LLC (AGM)
1.11%		12/18/17	^2,3		428,571		425,087
Reckson Operating Partnership LP
5.00%		08/15/18			700,000		759,917
ZFS Finance USA Trust II
6.45%		12/15/65	^2,3		1,250,000		1,356,250

							25,175,591

Health Care — 0.82%
CHS/Community Health Systems, Inc.
5.12%		08/15/18			1,100,000		1,157,750
HCA, Inc.
3.75%		03/15/19			1,000,000		1,000,050
Providence Health & Services Obligated Group
1.20%		10/01/17	²		1,975,000		1,971,585

							4,129,385

Industrials — 0.53%
Heathrow Funding Ltd. (United Kingdom)
2.50%		06/25/15	^3,4		1,000,000		1,015,417
Sydney Airport Finance Co. Pty Ltd. (Australia)
3.90%		03/22/23	^3,4		900,000		882,001
5.12%		02/22/21	^3,4		690,000		747,979

							2,645,397

Insurance — 1.40%
Farmers Insurance Exchange
6.00%		08/01/14	³		1,615,000		1,636,607


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Insurance (continued)
Metropolitan Life Global Funding I
3.88%		04/11/22	³	$	1,000,000	$	1,033,143
5.12%		06/10/14	³		800,000		807,333
Nationwide Mutual Insurance Co.
5.81%		12/15/24	^2,3		1,002,000		1,015,778
6.60%		04/15/34	³		440,000		441,375
New York Life Global Funding
1.12%		03/01/17	³		1,200,000		1,195,498
Pricoa Global Funding I
5.45%		06/11/14	³		850,000		858,149

							6,987,883

Materials — 0.09%
Barrick Gold Corp. (WI)(Canada)
4.10%		05/01/23	⁴		475,000		452,116

Real Estate Investment Trust (REIT) — 3.30%
Arc Properties Operating Partnership LP Clark Acquisition LLC
2.00%		02/06/17	³		2,000,000		1,993,172
HCP, Inc.
2.62%		02/01/20			750,000		733,155
3.75%		02/01/19			525,000		552,746
6.00%		01/30/17			1,000,000		1,125,653
7.07%		06/08/15			200,000		214,908
HCP, Inc. (MTN)
6.30%		09/15/16			500,000		562,480
Health Care REIT, Inc.
4.70%		09/15/17			1,000,000		1,093,631
5.25%		01/15/22			930,000		1,022,743
Host Hotels & Resorts LP (WI)
5.88%		06/15/19			1,245,000		1,349,139
Mid-America Apartments LP
5.50%		10/01/15	³		1,000,000		1,065,734
Simon Property Group LP
4.20%		02/01/15			400,000		408,330
SL Green Realty Corp./SL Green Operating Partnership
7.75%		03/15/20			650,000		778,744
UDR, Inc. (MTN)
5.25%		01/15/15			1,000,000		1,034,787
Ventas Realty LP/Ventas Capital Corp.
1.55%		09/26/16			1,000,000		1,008,649
4.00%		04/30/19			1,200,000		1,273,026
WEA Finance LLC
7.12%		04/15/18	³		775,000		921,981
WEA Finance LLC/WT Finance Aust Pty Ltd.
5.75%		09/02/15	³		1,320,000		1,408,278

							16,547,156


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Transportation — 1.11%
American Airlines Pass-Through Trust, Series 2013-2, Class A
4.95%		01/15/23	³	$	1,018,920	$	1,099,160
Continental Airlines Pass-Through Trust, Series 1997, Class 4A
6.90%		01/02/18			47,560		51,365
Continental Airlines Pass-Through Trust, Series 1999, Class C2
7.26%		03/15/20			297,430		324,942
Continental Airlines Pass-Through Trust, Series 1999-1, Class A
6.54%		08/02/20			617,307		687,332
Continental Airlines Pass-Through Trust, Series 2007, Class 1A
5.98%		04/19/22			320,767		367,279
JetBlue Airways Pass-Through Trust, Series 2004, Class G1
0.61%		08/15/16	²		9,031		8,918
JetBlue Airways Pass-Through Trust, Series 2004, Class G2
0.69%		11/15/16	²		1,161,000		1,134,152
Northwest Airlines Pass-Through Trust, Series 2001-1, Class A-1
7.04%		04/01/22			171,172		200,271
UAL Pass-Through Trust, Series 2009-2A
9.75%		01/15/17			240,390		277,049
US Airways Pass-Through Trust, Series 2012, Class 2A
4.62%		06/03/25			498,284		523,510
US Airways Pass-Through Trust, Series 2012-1, Class A
5.90%		10/01/24			768,372		862,978

							5,536,956

Total Corporates
(Cost $95,646,297)							99,910,044


MORTGAGE-BACKED — 38.63%**
Commercial Mortgage-Backed — 4.77%
Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2005-2, Class A5
4.86%		07/10/43	²		1,938,434		2,004,533
Bayview Commercial Asset Trust, Series 2008-4, Class A2
2.65%		07/25/38	^2,3		236,359		245,796
Bear Stearns Commercial Mortgage Securities Trust, Series 2005-T20, Class A4A
5.14%		10/12/42	²		1,140,000		1,201,562
Bear Stearns Commercial Mortgage Securities Trust, Series 2006-T22, Class A4
5.58%		04/12/38	²		1,089,615		1,170,449


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed (continued)
Credit Suisse First Boston Commercial Mortgage Trust, Series 2006-C1, Class AAB
5.47%		02/15/39	²	$	512,242	$	521,260
DBRR Trust, Series 2011-LC2, Class A4A
4.54%		04/12/21	^2,3		516,997		558,763
GE Business Loan Trust, Series 2003-2A, Class A
0.52%		11/15/31	^2,3		638,737		612,545
GE Business Loan Trust, Series 2005-2A, Class B
0.66%		11/15/33	^2,3		383,567		352,085
GS Mortgage Securities Corp. II, Series 2011-GC5, Class A4
3.71%		08/10/44	²		1,715,000		1,779,310
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2005-CB13, Class A3A1
5.24%		01/12/43	²		1,178,214		1,196,302
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-LD12, Class ASB
5.83%		02/15/51	²		1,093,332		1,165,619
Morgan Stanley Capital I Trust, Series 2001-C3, Class A2
3.22%		08/15/49			270,859		282,786
Morgan Stanley Capital I Trust, Series 2005-T19, Class A4A
4.89%		06/12/47			1,034,527		1,076,664
Morgan Stanley Capital I Trust, Series 2011-C3, Class A4
4.12%		08/15/49			165,000		175,058
Morgan Stanley Capital I Trust, Series 2012-C4, Class A4
3.24%		03/15/45			1,445,000		1,446,855
Spirit Master Funding LLC, Series 2005-1, Class A1
5.05%		07/20/23	³		579,508		593,474
Wachovia Bank Commercial Mortgage Trust, Series 2004-C15, Class 175B
5.46%		10/15/41	^2,3		2,700,000		2,761,690
Wachovia Bank Commercial Mortgage Trust, Series 2004-C15, Class 175C
5.46%		10/15/41	^2,3		440,000		450,053
Wachovia Bank Commercial Mortgage Trust, Series 2005-C20, Class A7
5.12%		07/15/42	²		873,701		913,260
WF-RBS Commercial Mortgage Trust, Series 2011-C4, Class A1
1.61%		06/15/44	³		2,281,663		2,300,537
WF-RBS Commercial Mortgage Trust, Series 2011-C5, Class A4
3.67%		11/15/44			1,405,000		1,448,514


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed (continued)
WF-RBS Commercial Mortgage Trust,
Series 2012-C7, Class A2
3.43%		06/15/45		$	1,605,000	$	1,616,238

							23,873,353

Non-Agency Mortgage-Backed — 14.51%
Accredited Mortgage Loan Trust, Series
2005-3, Class A1
0.39%		09/25/35	²		1,643,010		1,638,652
Ameriquest Mortgage Securities, Inc., Series 2005-R5, Class M1
0.58%		07/25/35	²		2,396,065		2,364,950
Ameriquest Mortgage Securities, Inc., Series 2005-R6, Class A2
0.35%		08/25/35	²		230,870		229,526
Asset-Backed Securities Corp. Home Equity Loan Trust, Series 2004-HE9, Class M1
1.13%		12/25/34	²		904,168		804,789
Asset-Backed Securities Corp. Home Equity Loan Trust, Series 2005-HE4, Class M2
0.60%		05/25/35	²		912,161		912,126
Banc of America Funding Corp., Series 2003-2, Class 1A1
6.50%		06/25/32			4,169		4,420
Banc of America Funding Corp., Series 2006-G, Class 2A3
0.33%		07/20/36	²		310,068		309,823
Bear Stearns Asset-Backed Securities Trust, Series 2002-1, Class 1A5 (STEP)
6.89%		12/25/34			4,568		4,768
Bear Stearns Asset-Backed Securities Trust, Series 2005-HE12, Class 1A3
0.54%		12/25/35	²		800,000		794,692
Bear Stearns Asset-Backed Securities Trust, Series 2005-HE9, Class M1
0.66%		10/25/35	²		1,097,889		1,085,685
CC Mortgage Funding Corp., Series 2004-1A, Class A1
0.43%		01/25/35	^2,3		239,958		215,708
CC Mortgage Funding Corp., Series 2005-2A, Class A1
0.33%		05/25/36	^2,3		211,512		180,876
Centex Home Equity Loan Trust, Series 2005-D, Class M1
0.58%		10/25/35	²		1,710,000		1,665,263
Chase Funding Mortgage Loan Asset-Backed Certificates, Series 2004-2, Class 1A4
5.32%		02/25/35			6,973		7,084
Citigroup Mortgage Loan Trust, Inc., Series 2004-HYB1, Class A41
2.86%		02/25/34	²		19,937		19,701


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Citigroup Mortgage Loan Trust, Inc., Series 2007-WFH2, Class A3
0.33%		03/25/37	²	$	1,526,500	$	1,489,784
Conseco Finance Securitizations Corp., Series 2000-E, Class M1
8.13%		08/15/31	²		17,414		17,506
Conseco Finance Securitizations Corp., Series 2001-4, Class A4
7.36%		09/01/33			484,374		530,182
Conseco Finance, Series 2001-D, Class A5
6.69%		11/15/32	²		13,434		13,485
Conseco Finance, Series 2002-A, Class A5 (STEP)
7.55%		04/15/32			83,028		85,319
Conseco Finance, Series 2002-C, Class BF2
8.00%		06/15/32	^2,3		248,472		273,756
Conseco Financial Corp., Series 1996-7, Class M1
7.70%		10/15/27	²		837,112		903,962
Conseco Financial Corp., Series 1997-3, Class A7
7.64%		03/15/28	²		272,100		295,041
Conseco Financial Corp., Series 1998-6, Class A8
6.66%		06/01/30			872,125		938,605
Countryplace Manufactured Housing Contract Trust, Series 2007-1, Class A4
5.85%		07/15/37	^2,3		700,000		705,526
Countrywide Alternative Loan Trust, Series 2005-27, Class 3A2
1.23%		08/25/35	²		24,327		17,255
Countrywide Asset-Backed Certificates, Series 2005-1, Class MV2
0.59%		07/25/35	²		599,719		600,706
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2004-14, Class 4A1
4.95%		08/25/34	²		201,619		203,480
Credit-Based Asset Servicing and Securitization LLC, Series 2003-CB3, Class AF1 (STEP)
3.38%		12/25/32			1,397,851		1,362,603
Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB2, Class AF4 (STEP)
3.84%		12/25/36			1,103,506		874,232
Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB6, Class A23
0.30%		07/25/36	²		1,181,612		978,542


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB5, Class A1 (STEP)
0.21%		04/25/37	²	$	228,219	$	148,166
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB5, Class A3
0.40%		04/25/37	²		2,711,828		1,825,277
DBRR Trust, Series 2012-EZ1, Class A
0.95%		09/25/45	³		384,621		385,407
DBRR Trust, Series 2013-EZ2, Class A
0.85%		02/25/43	^2,3		739,706		736,377
Equifirst Mortgage Loan Trust, Series 2005-1, Class M1
0.57%		04/25/35	²		1,123,348		1,122,820
First Franklin Mortgage Loan Asset-Backed Certificates, Series 2005-FF4, Class M1
0.58%		05/25/35	²		2,535,088		2,530,114
First Horizon Alternative Mortgage Securities Trust, Series 2004-AA3, Class A1
2.20%		09/25/34	²		706,951		691,348
Green Tree Financial Corp., Series 1998-4, Class A5
6.18%		04/01/30			454,243		470,714
Green Tree, Series 2008-MH1, Class A2
8.97%		04/25/38	^2,3		554,096		605,182
Green Tree, Series 2008-MH1, Class A3
8.97%		04/25/38	^2,3		803,945		869,479
Greenpoint Manufactured Housing, Series 1999-5, Class A5
7.82%		12/15/29	²		468,537		481,943
Home Equity Loan Trust, Series 2006-2, Class A1
0.31%		03/20/36	²		1,094,522		1,074,791
Home Equity Loan Trust, Series 2006-4, Class A3V
0.31%		03/20/36	²		156,156		155,687
Home Equity Loan Trust, Series 2007-3, Class APT
1.36%		11/20/36	²		1,475,432		1,468,347
IndyMac Index Mortgage Loan Trust, Series 2004-AR6, Class 6A1
2.72%		10/25/34	²		91,501		91,721
IndyMac Index Mortgage Loan Trust, Series 2004-AR8, Class 2A2A
0.95%		11/25/34	²		41,145		36,121
IndyMac Index Mortgage Loan Trust, Series 2007-AR11, Class 1A1
2.49%		06/25/37	²		1,603,827		1,044,040
IndyMac Manufactured Housing Contract, Series 1997-1, Class A3
6.61%		02/25/28			348,378		346,271


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
IndyMac Manufactured Housing Contract, Series 1997-1, Class A4
6.75%		02/25/28		$	92,741	$	92,179
IndyMac Manufactured Housing Contract, Series 1998-1, Class A4
6.49%		09/25/28			221,041		230,073
JPMorgan Mortgage Trust, Series 2007-A3, Class 3A2
4.82%		05/25/37	²		599,238		503,263
LB-UBS Commercial Mortgage Trust, Series 2005-C5, Class A4
4.95%		09/15/30			1,454,684		1,510,021
Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class A4
5.27%		04/15/40			297,658		312,880
Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class A5
5.87%		04/15/40			171,033		184,056
Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class A6
6.47%		04/15/40	²		539,002		580,636
MASTR Adjustable Rate Mortgages Trust, Series 2003-6, Class 4A2
4.43%		01/25/34	²		337,165		335,428
MASTR Adjustable Rate Mortgages Trust, Series 2004-1, Class 2A1
2.75%		01/25/34	²		722		704
MASTR Asset Securitization Trust, Series 2002-8, Class 1A1
5.50%		12/25/17			1,872		1,927
MASTR Asset-Backed Securities Trust, Series 2006-AB1, Class A2
0.38%		02/25/36	²		1,483,675		1,453,530
MASTR Seasoned Securities Trust, Series 2004-1, Class 4A1
2.58%		10/25/32	²		2,184		2,223
MASTR Seasoned Securities Trust, Series 2005-1, Class 4A1
2.40%		10/25/32	²		25,949		26,253
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-3, Class A2C
0.33%		06/25/37	²		811,700		522,149
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-3, Class A2D
0.40%		06/25/37	²		1,500,000		989,441
Mid-State Trust, Series 11, Class A1
4.86%		07/15/38			1,107,469		1,189,963
Mid-State Trust, Series 2004-1, Class A
6.00%		08/15/37			590,397		622,938
Mid-State Trust, Series 2004-1, Class B
8.90%		08/15/37			810,348		977,999


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Mid-State Trust, Series 2004-1, Class M1
6.50%		08/15/37		$	578,820	$	632,879
Mid-State Trust, Series 2005-1, Class M2
7.08%		01/15/40			866,387		934,474
Morgan Stanley Capital I Trust,
Series 2004-NC7, Class M2
1.08%		07/25/34	²		2,000,000		1,907,626
Morgan Stanley Capital I Trust,
Series 2005-HE3, Class M3
0.95%		07/25/35	²		1,903,000		1,779,324
New Century Home Equity Loan Trust,
Series 2005-3, Class M1
0.63%		07/25/35	²		1,918,800		1,910,472
Oakwood Mortgage Investors, Inc.,
Series 1998-B, Class A4
6.35%		03/15/17			867		868
Origen Manufactured Housing,
Series 2004-A, Class M2
6.64%		01/15/35	²		452,603		498,270
Park Place Securities, Inc.,
Series 2004-WCW1, Class M2
0.83%		09/25/34	²		708,754		701,763
Park Place Securities, Inc.,
Series 2004-WWF1, Class M2
1.17%		12/25/34	²		1,224,327		1,206,455
RBSSP Resecuritization Trust, Series 2009-6, Class 11A4
0.57%		08/26/36	^2,3		2,514,240		2,403,520
Residential Asset Mortgage Products, Inc., Series 2002-RS4, Class AI5 (STEP)
6.16%		08/25/32			2,220		1,986
Residential Asset Mortgage Products, Inc., Series 2003-RS1, Class AI5 (STEP)
6.19%		03/25/33			15,836		15,078
Residential Asset Mortgage Products, Inc., Series 2003-SL1, Class A41
8.00%		04/25/31			43,021		47,155
Residential Asset Securities Corp.,
Series 2004-IP2, Class 2A1
2.50%		12/25/34	²		66,052		67,207
Residential Asset Securities Corp., Series 2005-EMX4 Class A3
0.49%		11/25/35	²		592,416		593,223
Residential Funding Mortgage Securities II, Inc., Series 2001-HI3, Class AI7 (STEP)
7.56%		07/25/26			253,457		256,956
Residential Funding Mortgage Securities II,
Inc., Series 2003-HS2, Class AI4 (STEP)
3.87%		07/25/33			7,409		7,392
SG Mortgage Securities Trust,
Series 2006-FRE1, Class A1B
0.42%		02/25/36	²		54,198		41,801


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Soundview Home Equity Loan Trust,
Series 2006-WF2, Class A2C
0.29%		12/25/36	²	$	874,861	$	863,810
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-15, Class A
2.48%		10/25/34	²		2,318,840		2,256,338
Structured Asset Mortgage Investments II Trust, Series 2005-AR1, Class A1
0.64%		04/19/35	²		2,298,827		2,143,674
Structured Asset Mortgage Investments, Inc., Series 2005-AR8, Class A2
1.61%		02/25/36	²		1,085,877		914,425
Structured Asset Mortgage Investments, Inc.,
Series 2006-AR3, Class 22A1
1.91%		05/25/36	²		3,552,101		2,404,751
Structured Asset Securities Corp.,
Series 2005-WF2, Class A3
0.45%		05/25/35	²		2,416,948		2,416,798
UCFC Home Equity Loan, Series 1998-D, Class BF1
8.96%		04/15/30	²		3,657		1,473
UCFC Home Equity Loan, Series 1998-D, Class MF1
6.90%		04/15/30			90,680		93,858
Vanderbilt Mortgage Finance, Series 2001-A, Class M1
7.74%		04/07/31	²		457,545		462,632
WaMu Alternative Mortgage Pass-Through Certificates, Series 2007-OA2, Class 2A
0.83%		01/25/47	²		1,475,592		1,056,345
WaMu Mortgage Pass-Through Certificates, Series 2002-AR18, Class A
2.50%		01/25/33	²		16,421		16,732
WaMu Mortgage Pass-Through Certificates, Series 2005-AR13, Class A1A3
0.93%		10/25/45	²		2,501,143		2,406,421
Wells Fargo Home Equity Trust,
Series 2005-3, Class M1
0.56%		11/25/35	²		1,476,873		1,475,685

							72,666,906

U.S. Agency Mortgage-Backed — 19.35%
Fannie Mae Pool (TBA)
2.50%		04/25/28			1,570,000		1,569,264
3.00%		04/25/27			1,150,000		1,181,625
3.00%		04/25/43			6,245,000		6,029,352
3.50%		04/25/42			75,000		75,469
4.00%		04/25/41			10,975,000		11,410,570
Fannie Mae Pool 253974
7.00%		08/01/31			9,691		10,874
Fannie Mae Pool 254232
6.50%		03/01/22			15,325		17,223


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool 527247
7.00%		09/01/26		$	76	$	85
Fannie Mae Pool 545191
7.00%		09/01/31			5,057		5,646
Fannie Mae Pool 545646
7.00%		09/01/26			56		63
Fannie Mae Pool 549740
6.50%		10/01/27			18,872		21,204
Fannie Mae Pool 555284
7.50%		10/01/17			227		242
Fannie Mae Pool 606108
7.00%		03/01/31			947		988
Fannie Mae Pool 630599
7.00%		05/01/32			10,846		12,469
Fannie Mae Pool 655928
7.00%		08/01/32			6,370		7,208
Fannie Mae Pool 735207
7.00%		04/01/34			3,622		4,099
Fannie Mae Pool 735646
4.50%		07/01/20			6,755		7,174
Fannie Mae Pool 735686
6.50%		12/01/22			66,313		74,440
Fannie Mae Pool 735861
6.50%		09/01/33			176,011		200,769
Fannie Mae Pool 764388
3.88%		03/01/34	²		43,787		46,831
Fannie Mae Pool 776708
5.00%		05/01/34			295,916		327,164
Fannie Mae Pool 817611
5.31%		11/01/35	²		41,091		44,349
Fannie Mae Pool 844773
5.21%		12/01/35	²		4,419		4,770
Fannie Mae Pool 889125
5.00%		12/01/21			343,063		367,677
Fannie Mae Pool 889184
5.50%		09/01/36			342,442		381,148
Fannie Mae Pool 890221
5.50%		12/01/33			516,025		575,686
Fannie Mae Pool 895606
5.78%		06/01/36	²		96,025		102,728
Fannie Mae Pool 918445
6.04%		05/01/37	²		9,838		10,591
Fannie Mae Pool 939419
4.79%		05/01/37	²		143,645		154,697
Fannie Mae Pool AB3685
4.00%		10/01/41			2,301,832		2,398,851
Fannie Mae Pool AE0605
4.67%		07/01/20			1,239,978		1,378,655


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool AJ0764
4.50%		09/01/41		$	858,893	$	916,700
Fannie Mae Pool AJ7696
4.50%		12/01/41			3,399,131		3,627,377
Fannie Mae Pool AL0209
4.50%		05/01/41			870,482		936,414
Fannie Mae Pool AL2602
2.65%		10/01/22			1,465,458		1,437,902
Fannie Mae Pool AL3306
2.46%		04/01/23			2,445,913		2,353,847
Fannie Mae Pool AL3366
2.44%		02/01/23			2,457,356		2,371,638
Fannie Mae Pool AL3400
2.54%		03/01/23			2,443,388		2,365,588
Fannie Mae Pool FN0005
3.38%		11/01/20			1,407,094		1,475,184
Fannie Mae Pool FN0007
3.46%		11/01/20			1,390,000		1,462,858
Fannie Mae Pool MA1561
3.00%		09/01/33			3,387,405		3,382,774
Fannie Mae Pool MA1582
3.50%		09/01/43			2,411,095		2,404,011
Fannie Mae Whole Loan, Series 2003-W6, Class 5T (IO)
0.55%		09/25/42	²		23,438,592		395,791
Fannie Mae, Pool MA1608
3.50%		10/01/33			3,716,346		3,826,134
Fannie Mae, Series 1989-25, Class G
6.00%		06/25/19			2,087		2,246
Fannie Mae, Series 1992-116, Class B
6.50%		06/25/22			210		223
Fannie Mae, Series 1993-80, Class S
10.69%		05/25/23	²		11,321		12,625
Fannie Mae, Series 2001-52, Class YZ
6.50%		10/25/31			230,880		257,547
Fannie Mae, Series 2007-64, Class FA
0.62%		07/25/37	²		310,836		312,200
Fannie Mae, Series 2008-50, Class SA (IO)
5.90%		11/25/36	²		3,661,579		539,082
Fannie Mae, Series 2009-M1, Class A2
4.29%		07/25/19			101,000		110,794
Fannie Mae, Series 2012-M12, Class 1A
2.84%		08/25/22	²		2,052,184		2,049,250
Fannie Mae, Series 2012-M15, Class A
2.66%		10/25/22	²		1,613,592		1,576,122
Freddie Mac Gold Pool A25162
5.50%		05/01/34			454,300		502,693
Freddie Mac Gold Pool A33262
5.50%		02/01/35			93,332		104,718


Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Gold Pool A68781
5.50%		10/01/37	$	20,070	$	22,161
Freddie Mac Gold Pool C03813
3.50%		04/01/42		1,881,965		1,893,213
Freddie Mac Gold Pool C90504
6.50%		12/01/21		1,784		2,002
Freddie Mac Gold Pool E01279
5.50%		01/01/18		1,867		2,007
Freddie Mac Gold Pool E90474
6.00%		07/01/17		3,504		3,671
Freddie Mac Gold Pool G01548
7.50%		07/01/32		616,783		743,993
Freddie Mac Gold Pool G01644
5.50%		02/01/34		277,590		307,935
Freddie Mac Gold Pool G02366
6.50%		10/01/36		220,237		246,340
Freddie Mac Gold Pool G11707
6.00%		03/01/20		3,806		4,074
Freddie Mac Gold Pool G12393
5.50%		10/01/21		288,668		312,265
Freddie Mac Gold Pool G12909
6.00%		11/01/22		380,675		419,568
Freddie Mac Gold Pool G13032
6.00%		09/01/22		245,330		269,707
Freddie Mac Gold Pool J06246
5.50%		10/01/21		121,014		131,985
Freddie Mac Gold Pool Q05261
3.50%		12/01/41		1,231,017		1,241,067
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series K004, Class A2
4.19%		08/25/19		3,385,000		3,700,986
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series K017, Class A2
2.87%		12/25/21		2,040,000		2,043,890
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series K018, Class A2
2.79%		01/25/22		2,235,000		2,222,437
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series K026, Class A2
2.51%		11/25/22		2,540,000		2,440,892
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series K032, Class A2
3.31%		05/25/23		2,305,000		2,334,216
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series K035, Class A2
3.46%		08/25/23		2,300,000		2,352,879


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series K036, Class A2
3.53%		10/25/23		$	2,265,000	$	2,319,006
Freddie Mac Pool Q20178
3.50%		07/01/43			1,666,774		1,680,236
Freddie Mac REMICS, Series 3460, Class SA (IO)
6.04%		06/15/38	²		3,746,236		514,141
Freddie Mac REMICS, Series 4030, Class HS (IO)
6.46%		04/15/42	²		3,616,094		578,688
Freddie Mac, Series 1602, Class SN
10.09%		10/15/23	²		14,590		18,742
Freddie Mac, Series 2174, Class PN
6.00%		07/15/29			95,184		104,001
Freddie Mac, Series 2929, Class PE
5.00%		05/15/33			531		530
Freddie Mac, Series K020, Class A2
2.37%		05/25/40			1,555,000		1,493,553
Ginnie Mae I Pool 782810
4.50%		11/15/39			1,984,565		2,157,284
Ginnie Mae II Pool (TBA)
3.00%		04/20/43			2,430,000		2,390,133
Ginnie Mae II Pool 80968
1.62%		07/20/34	²		52,426		54,296
Ginnie Mae, Series 2004-8, Class SE
13.99%		11/26/23	²		81,944		100,571
Ginnie Mae, Series 2011-152, Class A
1.62%		07/16/33			2,275,194		2,281,195
NCUA Guaranteed Notes, Series 2010-R2, Class 1A
0.53%		11/06/17	²		1,063,429		1,066,336
NCUA Guaranteed Notes, Series 2010-R2, Class 2A
0.63%		11/05/20	²		858,034		862,592
NCUA Guaranteed Notes, Series 2011-C1, Class 2A
0.79%		03/09/21	²		825,503		830,551
NCUA Guaranteed Notes, Series 2011-R2, Class 1A
0.56%		02/06/20	²		919,834		924,218

							96,916,990

Total Mortgage-Backed
(Cost $186,726,096)							193,457,249


MUNICIPAL BONDS — 1.18%*
California — 0.42%
State of California, Build America Bonds
5.70%		11/01/21			700,000		818,244


Issues	Maturity Date			Principal Amount		Value
MUNICIPAL BONDS (continued)
California (continued)
State of California, Taxable, Various Purpose
6.20%		10/01/19		$	866,000	$	1,026,054
State of California, Taxable, Various Purpose,
Series 3
5.95%		04/01/16			225,000		247,788

							2,092,086

Illinois — 0.57%
State of Illinois, Build America Bonds
6.20%		07/01/21			600,000		675,438
State of Illinois, Taxable Bonds
4.95%		06/01/23			1,275,000		1,332,694
State of Illinois, Taxable Pension Bonds
4.35%		06/01/18			800,000		847,760

							2,855,892

Texas — 0.19%
City of Houston Texas, Taxable Pension
Obligation, Series A
6.29%		03/01/32			790,000		951,160

Total Municipal Bonds
(Cost $5,655,888)							5,899,138


U.S. AGENCY SECURITIES — 4.07%
U.S. Agency Securities — 4.07%
Federal Farm Credit Bank
0.17%		09/19/14	²		1,960,000		1,960,219
0.18%		09/14/16	²		2,460,000		2,460,756
0.21%		02/27/17	²		2,415,000		2,417,405
Federal Home Loan Bank
0.22%		10/07/15	²		1,955,000		1,957,473
0.24%		01/21/15			4,340,000		4,341,380
0.55%		06/03/16			1,720,000		1,715,444
Federal Home Loan Bank (STEP)
0.75%		05/26/28			1,610,000		1,563,968
Freddie Mac
0.40%		04/30/15			3,930,000		3,930,972

Total U.S. Agency Securities
(Cost $20,387,141)							20,347,617


U.S. TREASURY SECURITIES — 19.48%
U.S. Treasury Bonds — 0.29%
U.S. Treasury Bonds (Strip Principal)
0.00%		11/15/27	⁵		2,285,000		1,476,939

U.S. Treasury Notes — 19.19%
U.S. Treasury Notes
0.25%		05/15/15			8,340,000		8,349,774
0.25%		08/15/15			3,095,000		3,097,779


Issues	Maturity Date			Principal Amount		Value
U.S. TREASURY SECURITIES (continued)
U.S. Treasury Notes (continued)
1.62%		03/31/19		$	49,840,000	$	49,588,936
2.12%		01/31/21			2,555,000		2,530,247
2.75%		02/15/24			10,440,000		10,463,657
U.S. Treasury Notes - Treasury Inflation Indexed Notes
0.12%		04/15/17	⁶		6,380,000		6,759,200
0.12%		04/15/18	⁶		1,195,000		1,237,715
0.50%		04/15/15	⁶		2,455,000		2,705,060
1.25%		04/15/14	⁶		785,000		869,449
1.62%		01/15/15	⁶		1,130,000		1,420,579
2.00%		07/15/14	⁶		7,185,000		9,064,969


Total U.S. Treasury Securities
(Cost $98,006,251)							97,564,304


Total Bonds – 88.84%
(Cost $433,293,414)							444,860,423


Issues	Maturity Date			Principal Amount/ Shares		Value
SHORT-TERM INVESTMENTS — 13.88%
Commercial Paper — 0.92%
Macquarie Bank Ltd. (Australia)
0.20%⁷		05/27/14	^3,4		4,605,000		4,603,754

Money Market Funds — 1.99%
Dreyfus Cash Advantage Fund
0.05%⁸					4,996,000		4,996,000
DWS Money Market Series
Institutional Funds
0.04%⁸					4,996,000		4,996,000

							9,992,000

U.S. Agency Discount Notes — 10.97%
Fannie Mae
0.05%⁷		05/21/14			3,060,000		3,059,788
Federal Home Loan Bank
0.05%⁷		04/30/14			5,000,000		4,999,960
0.05%⁷		04/16/14			13,075,000		13,074,890
0.06%⁷		04/16/14			10,910,000		10,909,908
0.06%⁷		04/09/14			2,200,000		2,199,981
0.07%⁷		06/20/14			6,000,000		5,999,736
0.08%⁷		05/16/14			5,495,000		5,494,794
0.08%⁷		05/14/14			3,350,000		3,349,881
0.08%⁷		07/11/14			5,835,000		5,834,510

							54,923,448

Issues

Maturity
Date

Principal
Amount/
Shares

Value

SHORT-TERM INVESTMENTS (continued)

U.S. Treasury Bills — 0.00%

U.S. Treasury Bills

0.06%⁷

04/24/14

⁹

11,000

Total Short-Term Investments

(Cost $69,527,561)

69,530,202

Total Investments – 102.72%

(Cost $502,820,975)¹

514,390,625

Liabilities in Excess of Other
Assets – (2.72)%

(13,626,459

)

Net Assets – 100.00%

500,764,166


	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		$ 63,616		$63,616

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		56,699		56,699

		$–		$1,445		$120,315		$120,315


	Expiration Date	Premiums (Received)		Notional Amount (000’s)		Appreciation		Value
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		$12,614		$(1,071)

			$(13,685)		$1,190		$12,614		$(1,071)

Notes:

¹	Cost for federal income tax purposes is $502,828,721 and net unrealized appreciation/(depreciation) consists of:


Gross unrealized appreciation	$	14,923,697
Gross unrealized depreciation		(3,361,793	)

Net unrealized appreciation	$	11,561,904

²	Floating rate security. The rate disclosed was in effect at March 31, 2014.

³	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.

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

⁵	Zero coupon bond. The rate shown is the effective yield as of March 31, 2014.

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

⁷	Represents annualized yield at date of purchase.

⁸	Represents the current yield as of March 31, 2014.

⁹	Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $11,000.

†

Fair valued security. The aggregate value of fair valued securities is $1,220,480, which is 0.24% 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 sooner than the stated maturity.

**	Securities backed by mortgage or consumer loans where payment is periodically made will have an effective maturity date sooner 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

(YCD): Yankee Certificate of Deposit


Issues	Maturity Date			Principal Amount		Value
BONDS – 97.74%
ASSET-BACKED SECURITIES — 5.87%**
Academic Loan Funding Trust, Series 2012-1A, Class A2
1.25%		12/27/44	^2,3	$	14,950,000	$	15,226,600
Access Group, Inc., Series 2001, Class 2A1
0.60%		05/25/29	²		3,300,125		3,155,136
Access Group, Inc., Series 2004-1, Class A2
0.44%		09/26/33	²		77,500		76,213
Aircastle Aircraft Lease Backed Trust, Series 2007-1A, Class G1
0.46%		06/14/37	^2,3		34,230,955		32,711,957
Ally Auto Receivables Trust, Series 2012-1, Class A3
0.93%		02/16/16			437,194		438,150
American Money Management Corp., Series 2013-12A, Class D1 (Cayman Islands)
3.99%		05/10/25	^2,3,4		1,650,000		1,618,538
AMURF, Series 2012, Class B
11.00%		12/17/17	^2,5,†		12,896,511		12,896,447
ARES CLO Ltd., Series 2012-3A, Class E
5.99%		01/17/24	^2,3		500,000		495,653
ARES CLO Ltd., Series 2013-1A, Class E (Cayman Islands)
5.24%		04/15/25	^2,3,4		475,000		448,275
Avalon IV Capital Ltd., Series 2012-1A, Class C (Cayman Islands)
3.84%		04/17/23	^2,3,4		9,445,000		9,447,179
Avery Point CLO Ltd., Series 2014-1A, Class A
1.75%		04/25/26	^3,†		8,000,000		8,000,042
Axis Equipment Finance Receivables LLC, Series 2012-1I, Class D
5.50%		11/20/15			2,255,000		2,264,685
Axis Equipment Finance Receivables LLC, Series 2012-1I, Class E1
6.25%		04/20/16			2,669,000		2,685,870
Axis Equipment Finance Receivables LLC, Series 2012-1I, Class E2
7.00%		03/20/17	^†		5,240,000		5,045,591
Babcock & Brown Air Funding I Ltd., Series 2007-1A, Class G1 (Bermuda)
0.46%		11/14/33	^2,3,4		943,812		783,364
Babson CLO Ltd., Series 2005-3A, Class C (Cayman Islands)
0.94%		11/10/19	^2,3,4		1,700,000		1,632,081
Babson CLO Ltd., Series 2013-IA, Class C (Cayman Islands)
2.94%		04/20/25	^2,3,4		2,300,000		2,275,128
Bayview Commercial Asset Trust,
Series 2004-3, Class A1
0.52%		01/25/35	^2,3		4,178,264		3,892,333


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Bayview Commercial Asset Trust, Series 2005-1A, Class A1
0.45%		04/25/35	^2,3	$	9,582,899	$	8,734,008
Bayview Commercial Asset Trust, Series 2005-2A, Class A1
0.46%		08/25/35	^2,3		26,937,687		23,446,132
Bayview Commercial Asset Trust, Series 2006-4A, Class A1
0.38%		12/25/36	^2,3		236,918		206,444
Bayview Commercial Asset Trust, Series 2007-1, Class A1
0.37%		03/25/37	^2,3		10,065,878		8,721,876
Bayview Commercial Asset Trust, Series 2007-2A, Class A1
0.42%		07/25/37	^2,3		16,124,917		13,399,227
Bayview Commercial Asset Trust, Series 2007-3, Class A1
0.39%		07/25/37	^2,3		2,446,070		2,127,784
Beacon Container Finance LLC, Series 2012-1A, Class A
3.72%		09/20/27	³		14,686,258		14,723,690
BlueMountain CLO Ltd., Series 2012-2A, Class A1 (Cayman Islands)
1.66%		11/20/24	^2,3,4		50,000,000		49,890,900
BlueMountain CLO Ltd., Series 2012-2A, Class C (Cayman Islands)
2.98%		11/20/24	^2,3,4		125,000		122,951
BlueMountain CLO Ltd., Series 2014-1A, Class A (Cayman Islands)
1.76%		04/30/26	^2,3,4,†		9,250,000		9,245,109
Brazos Higher Education Authority, Inc., Series 2003 I, Class A3
0.38%		09/26/22	²		50,000		49,529
Brazos Higher Education Authority, Inc., Series 2005-1, Class 1A4
0.42%		03/26/29	²		10,000,000		9,719,000
Brazos Higher Education Authority, Inc., Series 2010-1, Class A2
1.44%		02/25/35	²		13,355,000		13,774,991
Brazos Higher Education Authority, Inc., Series 2011-1, Class A2
1.04%		02/25/30	²		56,236		56,803
Brazos Higher Education Authority, Inc., Series 2011-1, Class A3
1.28%		11/25/33	²		16,050,000		16,330,540
Brazos Higher Education Authority, Inc., Series 2011-2, Class A2
1.09%		07/25/29	²		4,075,036		4,119,381
Brazos Higher Education Authority, Inc., Series 2011-2, Class A3
1.24%		10/27/36	²		24,490,000		24,886,404
Brazos Higher Education Authority, Inc., Series 2012-1, Class A1
0.85%		12/26/35	²		52,147		52,079


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	$	214,583	$	213,645
Cent CLO LP, Series 2013-17A, Class D (Cayman Islands)
6.24%		01/30/25	^2,3,4		805,000		807,452
CIFC Funding Ltd., Series 2012-2A, Class A1L (Cayman Islands)
1.64%		12/05/24	^2,3,4		58,350,000		58,242,403
CIT Education Loan Trust, Series 2007-1, Class A
0.32%		03/25/42	^2,3		19,306,346		18,067,498
CIT Education Loan Trust, Series 2007-1, Class B
0.53%		06/25/42	^2,3		26,752,720		24,144,330
College Loan Corp. Trust, Series 2005-2, Class B
0.73%		01/15/37	²		5,825,925		5,148,629
Columbus Nova CLO Ltd., Series 2007-2A, Class D
4.74%		10/15/21	^2,3		375,000		375,125
Cronos Containers Program Ltd., Series 2012-1A, Class A (Bermuda)
4.21%		05/18/27	^3,4		18,987,500		19,041,140
Cronos Containers Program Ltd., Series 2012-2A, Class A (Bermuda)
3.81%		09/18/27	^3,4		2,783,750		2,807,853
Doral CLO 1 Ltd., Series 2012-2A, Class B (Cayman Islands)
2.73%		05/26/23	^2,3,4		11,500,000		11,068,244
Dryden XXIII Senior Loan Fund, Series 2012-23A, Class D (Cayman Islands)
6.24%		07/17/23	^2,3,4		350,000		351,174
Dryden XXV Senior Loan Fund, Series 2012-25A, Class A (Cayman Islands)
1.62%		01/15/25	^2,3,4		24,100,000		24,003,721
Education Loan Asset-Backed Trust, Series 2013-1A, Class A2
0.95%		04/26/32	^2,3		9,150,000		9,034,753
Educational Funding of the South, Inc., Series 2011-1, Class A2
0.89%		04/25/35	²		125,000		124,717
Educational Funding of the South, Inc., Series 2012-1, Class A
1.20%		03/25/36	²		36,083,162		36,739,775
EFS Volunteer No. 2 LLC
1.51%		03/25/36	^2,3		685,000		701,937
Ford Credit Auto Owner Trust, Series 2012-C, Class A4
0.79%		11/15/17			155,000		154,775
GCO Education Loan Funding Trust, Series 2006-1, Class A11L
0.46%		05/25/36	²		25,000,000		22,352,371


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
GE Business Loan Trust, Series 2004-1, Class A
0.44%		05/15/32	^2,3	$	14,038,604	$	13,424,689
GE Business Loan Trust, Series 2004-2A, Class A
0.38%		12/15/32	^2,3		10,358,648		9,840,891
GE Business Loan Trust, Series 2005-1A, Class A3
0.40%		06/15/33	^2,3		11,784,203		11,073,079
GE Business Loan Trust, Series 2005-2A, Class A
0.40%		11/15/33	^2,3		26,731,680		24,842,124
Genesis Funding Ltd., Series 2006-1A, Class G1 (Bermuda)
0.40%		12/19/32	^2,3,4		633,620		590,471
Goal Capital Funding Trust, Series 2005-2, Class B
0.76%		11/25/44	²		16,365,850		14,600,671
Goal Capital Funding Trust, Series 2006-1, Class A3
0.36%		11/25/26	²		41,558		41,183
Goal Capital Funding Trust, Series 2006-1, Class B
0.68%		08/25/42	²		4,699,678		4,184,768
GoldenTree Loan Opportunities V Ltd., Series 2007-5A, Class C (Cayman Islands)
2.24%		10/18/21	^2,3,4		650,000		650,142
GoldenTree Loan Opportunities VIII Ltd., Series 2014-8A, Class E (Cayman Islands)
4.67%		04/19/26	^2,3,4,†		730,000		671,233
Great Lakes CLO Ltd., Series 2012-1A, Class B (Cayman Islands)
2.99%		01/15/23	^2,3,4		5,000,000		5,000,018
Halcyon Loan Advisors Funding Ltd., Series 2012-2A, Class C (Cayman Islands)
3.08%		12/20/24	^2,3,4		8,525,000		8,475,717
Honda Auto Receivables Owner Trust, Series 2012-1, Class A4
0.97%		04/16/18			32,000		32,155
ING Investment Management CLO Ltd., Series 2013-3A, Class D (Cayman Islands)
4.74%		01/18/26	^2,3,4		395,000		357,530
J.G. Wentworth XXX LLC, Series 2013-3A, Class A
4.08%		01/17/73	³		1,080,116		1,098,667
Katonah VII CLO Ltd., Series 7A, Class C (Cayman Islands)
0.99%		11/15/17	^2,3,4		3,250,000		3,159,852
Latitude CLO Ltd., Series 2005-1X, Class C
2.08%		12/15/17	⁵		5,000,000		4,842,103
LCM LP, Series 14A, Class D (Cayman Islands)
3.74%		07/15/25	^2,3,4		750,000		730,429


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Limerock CLO, Series 2014-2A, Class E (Cayman Islands)
4.74%		04/18/26	^2,3,4	$	705,000	$	634,060
National Collegiate Master Student Loan Trust I, Series 2002-2, Class AR10
3.66%		11/01/42	^2,3		29,025,000		29,025,000
National Collegiate Student Loan Trust, Series 2006-1, Class A3
0.34%		05/25/26	²		9,896,101		9,761,950
National Collegiate Student Loan Trust, Series 2006-3, Class A3
0.30%		10/25/27	²		35,717,505		34,531,273
National Collegiate Student Loan Trust, Series 2006-4, Class A2
0.29%		12/27/27	²		3,054,385		3,005,893
National Collegiate Student Loan Trust, Series 2007-4, Class A2A3
3.65%		12/26/25	²		8,800,000		8,759,890
Nelnet Education Loan Funding, Inc., Series 2004-1A, Class B1
1.06%		02/25/36	^2,3,†		10,125,000		7,846,830
Nelnet Student Loan Trust, Series 2008-3, Class A4
1.88%		11/25/24	²		2,520,000		2,654,927
Newstar Trust, Series 2012-2A, Class C
4.49%		01/20/23	^2,3		5,000,000		5,017,066
Nissan Auto Receivables Owner Trust, Series 2012-B, Class A4
0.66%		12/17/18			85,000		84,828
North Carolina State Education Authority, Series 2011-1, Class A3
1.14%		10/25/41	²		24,545,000		24,608,659
Northstar Education Finance, Inc.
0.99%		01/29/46	²		42,825,000		42,722,567
Northwoods Capital Corp., Series 2014-11A, Class A (Cayman Islands)
1.83%		04/15/25	^2,3,4,†		10,000,000		9,999,967
Oak Hill Credit Partners, Series 2012-7A, Class A (Cayman Islands)
1.66%		11/20/23	^2,3,4		11,950,000		11,917,627
Octagon Investment Partners XI Ltd., Series 2007-1X, Class A1B
0.50%		08/25/21	⁵		10,000,000		9,780,166
Pam Capital Funding LP, Series 1998-1A, Class B2 (Cayman Islands)
1.59%		05/01/14	^2,3,4,6,†		305,102		61,020
Panhandle-Plains Higher Education Authority, Inc., Series 2011-1, Class A3
1.20%		10/01/37	²		16,950,000		17,135,786
Panthera Aviation, Series 2013-1
10.00%		01/25/22	^2,5,†		19,225,000		19,224,919
Panthera Aviation, Series 2013-2
10.00%		03/20/24	^2,5,†		34,513,384		34,513,242


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Race Point CLO Ltd., Series 2012-7A, Class A (Cayman Islands)
1.66%		11/08/24	^2,3,4	$	59,075,000	$	59,083,389
Red River CLO Ltd., Series 1A, Class A (Cayman Islands)
0.51%		07/27/18	^2,3,4		13,459,070		13,314,052
Scholar Funding Trust, Series 2012-B, Class A2
1.25%		03/28/46	^2,3		38,825,000		39,462,613
SLC Student Loan Trust I, Series 2002-2, Class B2
1.64%		07/01/42	^2,3		25,050,000		19,211,622
SLC Student Loan Trust, Series 2006-1, Class B
0.44%		03/15/39	²		163,582		145,912
SLC Student Loan Trust, Series 2008-1, Class A4A
1.83%		12/15/32	²		17,702,000		18,589,948
SLC Student Loan Trust, Series 2008-2, Class B
1.98%		09/15/22	²		4,015,000		4,005,507
SLM Student Loan Trust, Series 2003-11, Class A6
0.98%		12/15/25	^2,3		14,605,000		14,608,009
SLM Student Loan Trust, Series 2004-1, Class A4
0.50%		10/27/25	²		2,810,000		2,752,065
SLM Student Loan Trust, Series 2004-8, Class B
0.70%		01/25/40	²		2,099,379		1,871,709
SLM Student Loan Trust, Series 2004-A, Class A3
0.63%		06/15/33	²		40,400,000		37,813,107
SLM Student Loan Trust, Series 2004-B, Class A3
0.56%		03/15/24	²		24,340,000		22,902,626
SLM Student Loan Trust, Series 2005-4, Class B
0.42%		07/25/40	²		14,608,070		12,872,617
SLM Student Loan Trust, Series 2005-5, Class A5
0.99%		10/25/40	²		60,000		58,286
SLM Student Loan Trust, Series 2005-A, Class A3
0.43%		06/15/23	²		2,500,000		2,405,429
SLM Student Loan Trust, Series 2005-A, Class A4
0.54%		12/15/38	²		9,280,000		8,173,380
SLM Student Loan Trust, Series 2005-B, Class A3
0.50%		12/15/23	²		28,785,000		27,669,955
SLM Student Loan Trust, Series 2006-2, Class A6
0.41%		01/25/41	²		42,655,000		38,780,732


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
SLM Student Loan Trust, Series 2006-8, Class A6
0.40%		01/25/41	²	$	32,855,000	$	29,800,438
SLM Student Loan Trust, Series 2006-9, Class A5
0.34%		01/26/26	²		8,350,000		8,188,777
SLM Student Loan Trust, Series 2007-1, Class A5
0.33%		01/26/26	²		9,550,000		9,242,332
SLM Student Loan Trust, Series 2007-3, Class A4
0.30%		01/25/22	²		7,285,000		7,041,003
SLM Student Loan Trust, Series 2007-6, Class B
1.09%		04/27/43	²		7,478,098		6,694,584
SLM Student Loan Trust, Series 2008-2, Class B
1.44%		01/25/29	²		38,909,000		35,389,389
SLM Student Loan Trust, Series 2008-3, Class A3
1.24%		10/25/21	²		40,000		40,761
SLM Student Loan Trust, Series 2008-3, Class B
1.44%		04/25/29	²		1,750,000		1,623,429
SLM Student Loan Trust, Series 2008-4, Class A4
1.89%		07/25/22	²		365,000		385,321
SLM Student Loan Trust, Series 2008-4, Class B
2.09%		04/25/29	²		4,384,000		4,261,634
SLM Student Loan Trust, Series 2008-5, Class A4
1.94%		07/25/23	²		245,000		257,569
SLM Student Loan Trust, Series 2008-5, Class B
2.09%		07/25/29	²		32,444,000		32,914,097
SLM Student Loan Trust, Series 2008-6, Class B
2.09%		07/25/29	²		31,779,000		31,440,601
SLM Student Loan Trust, Series 2008-7, Class B
2.09%		07/25/29	²		17,437,000		17,312,984
SLM Student Loan Trust, Series 2008-8, Class A4
1.74%		04/25/23	²		1,480,000		1,541,117
SLM Student Loan Trust, Series 2008-8, Class B
2.49%		10/25/29	²		560,000		577,476
SLM Student Loan Trust, Series 2008-9, Class B
2.49%		10/25/29	²		31,692,000		33,189,146
Sound Point CLO Ltd., Series 2012-1A, Class C (Cayman Islands)
3.54%		10/20/23	^2,3,4		11,500,000		11,602,097


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
South Carolina Student Loan Corp., Series A2
0.36%		12/01/20	²	$	50,000	$	49,335
0.36%		12/01/22	²		29,000,000		28,556,880
Symphony CLO Ltd., Series 2012-9A, Class D (Cayman Islands)
4.49%		04/16/22	^2,3,4		1,700,000		1,700,929
TAL Advantage LLC, Series 2006-1, Class NOTE
0.35%		04/20/21	^2,3		23,278,126		23,015,257
TAL Advantage LLC, Series 2012-1A, Class A
3.86%		05/20/27	³		8,350,417		8,373,126
Textainer Marine Containers Ltd., Series 2005-1A, Class A (Bermuda)
0.41%		05/15/20	^2,3,4		1,487,500		1,484,647
Textainer Marine Containers Ltd., Series 2011-1A, Class A (Bermuda)
4.70%		06/15/26	^3,4		17,661,000		17,683,138
Textainer Marine Containers Ltd., Series 2012-1A, Class A (Bermuda)
4.21%		04/15/27	^3,4		12,125,000		12,138,072
Trinity Rail Leasing LP, Series 2006-1A, Class A1
5.90%		05/14/36	³		6,402,676		7,006,320
Triton Container Finance LLC, Series 2007-1A, Class NOTE
0.29%		02/26/19	^2,3		4,959,969		4,940,769
Triton Container Finance LLC, Series 2012-1A, Class A
4.21%		05/14/27	³		3,777,083		3,788,643
Venture X CDO Ltd., Series 2012-10A, Class C (Cayman Islands)
3.49%		07/20/22	^2,3,4		10,000,000		10,006,215
Vermont Student Assistance Corp., Student Loan Asset-Backed Notes, Series 2012-1, Class A
0.86%		07/28/34	²		10,521,130		10,506,546

Total Asset-Backed Securities
(Cost $1,547,697,414)							1,595,454,614


BANK LOANS — 0.50%*
Communications — 0.06%
Intelsat Jackson Holdings SA, Term Loan B1, 1st Lien (Luxembourg)
3.75%		06/30/19	^2,4		15,151,012		15,210,101

Electric — 0.07%
Topaz Power Holdings LLC, Term Loan, 1st Lien
5.25%		02/26/20	²		18,737,812		18,425,453

Energy — 0.20%
Alinta Energy Finance Pty Ltd., Term Loan B, 1st Lien
6.38%		08/13/19	²		28,951,009		29,421,463


Issues	Maturity Date			Principal Amount		Value
BANK LOANS (continued)
Energy (continued)
Alinta Energy Finance Pty Ltd., Term Loan DD, 1st Lien
0.50%		08/13/19	²	$	1,903,509	$	1,934,441
Drillships Financing Holding, Term Loan B1, 1st Lien
6.00%		03/31/21	²		22,885,000		23,371,306

							54,727,210

Health Care — 0.10%
HCA, Inc., Term Loan B4
2.98%		05/01/18	²		15,858,456		15,872,411
Valeant Pharmaceuticals International, Inc., Term Loan (Canada)
3.75%		08/05/20	^2,4		12,506,156		12,560,871

							28,433,282

Services — 0.07%
AABS Ltd. Loan, Series 2013-1, Class A (STEP) (Bermuda)
5.22%		01/15/38	^2,4,†		18,889,323		19,030,227

Total Bank Loans
(Cost $133,140,671)							135,826,273


CORPORATES — 15.72%*
Banking — 3.14%
Abbey National Treasury Services PLC/London (United Kingdom)
2.88%		04/25/14	⁴		837,000		838,139
3.88%		11/10/14	^3,4		23,210,000		23,687,755
Ally Financial, Inc.
2.44%		12/01/14	²		9,009,000		9,042,784
Bank of America Corp.
5.62%		07/01/20			36,593,000		41,696,516
5.75%		12/01/17			1,145,000		1,297,387
7.38%		05/15/14			45,000		45,371
Bank of America N.A. (BKNT)
0.51%		06/15/16	²		16,945,000		16,802,873
0.53%		06/15/17	²		23,420,000		23,007,808
5.30%		03/15/17			30,625,000		33,724,373
6.00%		06/15/16			11,345,000		12,490,970
6.10%		06/15/17			76,491,000		87,173,205
Bank One Corp. (STEP)
8.53%		03/01/19			1,810,000		2,260,884
Barclays Bank PLC (United Kingdom)
5.00%		09/22/16	⁴		110,000		120,551
5.20%		07/10/14	⁴		12,079,000		12,237,887
Capital One Financial Corp.
7.38%		05/23/14			3,710,000		3,746,161
Commonwealth Bank of Australia (Australia)
1.95%		03/16/15	⁴		16,600,000		16,842,912


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Banking (continued)
Credit Suisse USA, Inc.
5.12%		08/15/15		$	15,000	$	15,896
Credit Suisse/New York (Switzerland)
5.50%		05/01/14	⁴		11,790,000		11,838,422
6.00%		02/15/18	⁴		18,692,000		21,417,798
Credit Suisse/New York (YCD) (Switzerland)
0.56%		08/24/15	^2,4		105,983,000		105,989,889
Discover Bank/Greenwood DE (BKNT)
8.70%		11/18/19			3,676,000		4,615,942
First Chicago NBD Institutional Capital I
0.79%		02/01/27	²		5,455,000		4,609,475
HBOS Capital Funding LP (United Kingdom)
6.07%		06/24/49	^2,3,4		5,823,000		5,852,115
HBOS PLC (United Kingdom)
6.00%		11/01/33	^3,4		3,500,000		3,683,872
HBOS PLC, Series G (MTN) (United Kingdom)
6.75%		05/21/18	^3,4		63,967,000		72,589,622
HSBC Bank PLC (United Kingdom)
3.10%		05/24/16	^3,4		28,270,000		29,594,307
HSBC Holdings PLC (United Kingdom)
5.10%		04/05/21	⁴		23,495,000		26,231,497
JPMorgan Chase & Co.
4.25%		10/15/20			9,525,000		10,224,746
4.35%		08/15/21			12,540,000		13,509,821
4.50%		01/24/22			320,000		345,301
4.62%		05/10/21			51,300,000		56,202,764
6.30%		04/23/19			170,000		199,940
JPMorgan Chase Bank N.A.
0.56%		06/13/16	²		14,944,000		14,875,249
JPMorgan Chase Bank N.A. (BKNT)
5.88%		06/13/16			5,040,000		5,558,535
6.00%		07/05/17			1,678,000		1,903,592
6.00%		10/01/17			47,957,000		54,672,371
M&T Capital Trust III
9.25%		02/01/27			10,200,000		10,368,504
National Australia Bank/ New York (MTN) (Australia)
2.75%		03/09/17	⁴		56,825,000		59,274,144
National Capital Trust II
5.49%		12/29/49	^2,3		2,717,000		2,778,790
Royal Bank of Scotland PLC (United Kingdom)
2.55%		09/18/15	⁴		13,780,000		14,085,500
Svenska Handelsbanken AB (Sweden)
4.88%		06/10/14	^3,4		23,240,000		23,438,260
Wachovia Corp.
0.58%		10/28/15	²		13,165,000		13,172,623


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Banking (continued)
Wells Fargo & Co.
1.50%		01/16/18		$	220,000	$	218,100

							852,282,651

Communications — 0.31%
Cablevision Systems Corp.
8.62%		09/15/17			913,000		1,086,470
CCO Holdings LLC/CCO Holdings Capital Corp.
7.00%		01/15/19			10,925,000		11,607,813
CCO Holdings LLC/CCO Holdings Capital Corp. (WI)
8.12%		04/30/20			15,194,000		16,637,430
Intelsat Jackson Holdings SA (Luxembourg)
7.25%		10/15/20	⁴		11,205,000		12,213,450
Sprint Nextel Corp.
9.00%		11/15/18	³		26,230,000		32,097,651
Verizon Communications, Inc.
5.15%		09/15/23			7,650,000		8,381,042
Windstream Corp. (WI)
8.12%		09/01/18			2,730,000		2,910,863

							84,934,719

Consumer Discretionary — 0.03%
Anheuser-Busch Inbev Finance, Inc.
3.70%		02/01/24			1,250,000		1,265,457
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC (WI)
5.75%		10/15/20			6,650,000		6,990,813

							8,256,270

Electric — 1.27%
Alabama Power Capital Trust V
3.35%		10/01/42	²		290,000		272,197
Cleco Power LLC
6.65%		06/15/18			17,887,000		20,869,908
Coso Geothermal Power Holdings
7.00%		07/15/26	³		18,827,898		10,920,181
DPL, Inc.
6.50%		10/15/16			14,080,000		15,294,400
7.25%		10/15/21			18,881,000		19,589,038
Duquesne Light Holdings, Inc.
6.25%		08/15/35			42,000		47,922
Dynegy Escrow Holdings
0.00%		01/01/50	^6,7,†		54,205,000		–
Entergy Gulf States Louisiana LLC (WI)
6.00%		05/01/18			17,500,000		20,116,513
FirstEnergy Corp., Series C
7.38%		11/15/31			11,045,000		12,719,764


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Electric (continued)
FPL Energy National Wind Portfolio LLC
6.12%		03/25/19	³	$	143,457	$	140,946
FPL Energy Wind Funding LLC
6.88%		06/27/17	³		435,887		429,349
GenOn Americas Generation LLC
8.50%		10/01/21			10,932,000		10,494,720
9.12%		05/01/31			4,184,000		3,964,340
Homer City Generation LP (PIK)
8.14%		10/01/19	⁸		10,009,738		10,610,322
8.73%		10/01/26	⁹		30,309,199		31,976,205
Ipalco Enterprises, Inc.
7.25%		04/01/16	³		9,450,000		10,383,188
Jersey Central Power & Light Co.
4.70%		04/01/24	³		7,288,000		7,565,192
Kansas City Power & Light Co.
6.38%		03/01/18			4,320,000		4,973,607
Metropolitan Edison Co.
3.50%		03/15/23	³		11,725,000		11,310,153
Mirant Mid Atlantic Pass-Through Trust, Series B
9.12%		06/30/17			19,179,063		20,617,493
Mirant Mid Atlantic Pass-Through Trust, Series C
10.06%		12/30/28			8,836,850		9,853,088
Nevada Power Co.
5.45%		05/15/41			600,000		695,909
Oncor Electric Delivery Co. LLC
5.25%		09/30/40			9,938,000		11,020,060
5.30%		06/01/42			29,358,000		32,776,739
PNM Resources, Inc.
9.25%		05/15/15			15,387,000		16,848,919
Public Service Co. of New Hampshire
6.00%		05/01/18			5,000,000		5,479,680
Public Service Co. of New Mexico
5.35%		10/01/21			5,320,000		5,689,245
7.95%		05/15/18			41,187,000		49,331,109
PVNGS II Funding Corp., Inc.
8.00%		12/30/15			543,000		566,306
Tucson Electric Power
3.85%		03/15/23			85,000		84,430

							344,640,923

Energy — 1.63%
Arch Coal, Inc.
7.00%		06/15/19			14,345,000		11,153,238
Continental Resources, Inc.
5.00%		09/15/22			7,000,000		7,363,125
El Paso Pipeline Partners
4.10%		11/15/15			46,175,000		48,482,226


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Energy (continued)
5.00%		10/01/21		$	2,000,000	$	2,127,786
Energy Transfer Partners LP
3.26%		11/01/66	²		75,433,000		69,398,360
Newfield Exploration Co.
5.62%		07/01/24			51,020,000		53,124,575
Panhandle Eastern Pipeline Co. LP
8.12%		06/01/19			2,392,000		2,894,980
Petrobras Global Finance BV (Netherlands)
1.86%		05/20/16	^2,4		18,970,000		18,748,795
Plains Exploration & Production Co.
6.12%		06/15/19			7,915,000		8,741,128
6.50%		11/15/20			11,000,000		12,165,313
6.75%		02/01/22			17,555,000		19,420,183
6.88%		02/15/23			27,775,000		31,038,563
Ruby Pipeline LLC
6.00%		04/01/223			51,505,000		56,017,353
Sabine Pass LNG LP
7.50%		11/30/16			32,152,000		35,688,720
7.50%		11/30/16	³		19,273,000		20,718,475
Tennessee Gas Pipeline Co. LLC
7.62%		04/01/37			40,000		52,760
8.00%		02/01/16			25,955,000		29,099,344
8.38%		06/15/32			5,224,000		6,994,978
Trans-Canada Pipelines Ltd. (Canada)
6.35%		05/15/67	^2,4		85,000		88,273
Weatherford International Ltd. (Switzerland)
4.50%		04/15/22	⁴		220,000		230,761
Williams Cos., Inc.
7.88%		09/01/21			5,881,000		6,997,502
8.75%		03/15/32			2,589,000		3,128,752

							443,675,190

Finance — 4.86%
Alta Wind Holdings LLC
7.00%		06/30/35	³		15,379,743		16,930,405
Astoria Depositor Corp.
8.14%		05/01/21	³		47,522,000		49,898,100
Bear Stearns Cos. LLC
4.65%		07/02/18			4,330,000		4,758,719
7.25%		02/01/18			20,725,000		24,692,034
Cantor Fitzgerald LP
6.38%		06/26/15	³		10,320,000		10,784,400
Chase Capital II, Series B
0.74%		02/01/27	²		36,735,000		31,041,075
Chase Capital III, Series C
0.79%		03/01/27	²		5,900,000		4,985,500
Chase Capital VI
0.86%		08/01/28	²		17,175,000		14,512,875


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Finance (continued)
CIT Group, Inc.
4.25%		08/15/17		$	8,708,000	$	9,186,940
5.25%		04/01/14	³		22,795,000		22,681,025
6.62%		04/01/18	³		6,385,000		7,175,144
Citigroup Capital III
7.62%		12/01/36			7,438,000		8,888,261
Citigroup, Inc.
0.52%		11/05/14	²		14,309,000		14,314,953
0.78%		08/25/36	²		61,134,000		48,535,719
1.20%		07/25/16	²		36,535,000		36,959,024
1.30%		11/15/16			5,625,000		5,632,195
1.75%		05/01/18			17,650,000		17,361,437
2.50%		09/26/18			8,500,000		8,561,790
4.50%		01/14/22			210,000		222,656
4.59%		12/15/15			4,650,000		4,934,055
5.30%		01/07/16			23,609,000		25,392,165
5.38%		08/09/20			8,425,000		9,492,523
5.50%		10/15/14			72,000		73,907
5.85%		08/02/16			155,000		171,433
6.00%		08/15/17			28,913,000		32,797,115
6.12%		11/21/17			10,055,000		11,522,648
6.38%		08/12/14			3,950,000		4,035,279
Countrywide Capital III, Series B
8.05%		06/15/27			3,000,000		3,593,241
Discover Financial Services
3.85%		11/21/22			11,834,000		11,637,674
5.20%		04/27/22			4,515,000		4,843,642
Ford Motor Credit Co. LLC
1.70%		05/09/16			9,225,000		9,328,968
2.75%		05/15/15			7,425,000		7,578,490
3.88%		01/15/15			26,042,000		26,668,935
7.00%		04/15/15			31,214,000		33,215,779
Ford Motor Credit Co. LLC, Series FRN
1.49%		05/09/16	²		10,525,000		10,697,160
General Electric Capital Corp.
4.62%		01/07/21			20,325,000		22,411,016
5.62%		05/01/18			295,000		337,599
5.90%		05/13/14			50,000		50,314
General Electric Capital Corp. (MTN)
0.38%		06/20/14	²		1,250,000		1,250,644
0.62%		05/05/26	²		57,410,000		52,206,728
0.72%		08/15/36	²		13,220,000		10,985,765
4.38%		09/16/20			30,715,000		33,480,130
5.00%		01/08/16			250,000		268,970
5.38%		10/20/16			3,700,000		4,111,050
General Electric Capital Corp., Series A (MTN)
6.75%		03/15/32			13,915,000		17,941,681


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Finance (continued)
General Electric Capital Corp., Series G (MTN)
3.10%		01/09/23		$	17,035,000	$	16,701,318
6.15%		08/07/37			14,393,000		17,514,870
Goldman Sachs Group, Inc.
0.68%		03/22/16	²		1,325,000		1,326,457
2.38%		01/22/18			18,810,000		18,951,009
3.62%		02/07/16			11,605,000		12,160,233
5.00%		10/01/14			50,000		51,126
5.25%		07/27/21			11,445,000		12,704,517
5.75%		10/01/16			3,600,000		4,000,404
5.95%		01/18/18			7,015,000		7,951,222
6.00%		06/15/20			9,510,000		10,959,777
6.15%		04/01/18			31,176,000		35,672,140
6.75%		10/01/37			500,000		574,285
7.50%		02/15/19			40,077,000		48,552,083
International Lease Finance Corp.
6.50%		09/01/14	³		32,080,000		32,922,100
6.75%		09/01/16	³		41,450,000		46,477,885
JPMorgan Chase Capital XIII, Series M
1.18%		09/30/34	²		4,238,000		3,644,680
JPMorgan Chase Capital XXI, Series U
1.19%		02/02/37	²		63,900,000		51,439,500
JPMorgan Chase Capital XXIII
1.24%		05/15/47	²		67,309,000		51,827,930
Macquarie Bank Ltd. (Australia)
6.62%		04/07/21	^3,4		800,000		906,414
Macquarie Group Ltd. (Australia)
7.30%		08/01/14	^3,4		9,175,000		9,375,529
Merrill Lynch & Co., Inc. (MTN)
8.68%		05/02/17	²		5,800,000		6,387,540
8.95%		05/18/17	²		5,990,000		6,641,712
9.57%		06/06/17	²		12,113,000		13,687,690
Morgan Stanley
0.72%		10/15/15	²		5,730,000		5,734,893
3.80%		04/29/16			9,140,000		9,657,722
4.20%		11/20/14			8,625,000		8,822,012
5.50%		07/24/20			32,400,000		36,611,903
6.00%		05/13/14			19,985,000		20,112,674
7.30%		05/13/19			205,000		248,895
Morgan Stanley (MTN)
0.69%		10/18/16	²		20,365,000		20,307,968
5.62%		09/23/19			600,000		683,168
5.75%		10/18/16			8,550,000		9,510,828
5.95%		12/28/17			125,000		142,812
6.25%		08/28/17			12,950,000		14,843,977
6.62%		04/01/18			8,180,000		9,544,440
Morgan Stanley, Series G (MTN)
5.45%		01/09/17			100,000		110,580


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Finance (continued)
Pipeline Funding Co. LLC
7.50%		01/15/30	³	$	20,725,000	$	25,695,897
Prudential Holdings LLC
8.70%		12/18/23	³		14,885,486		18,774,825
Raymond James Financial, Inc.
8.60%		08/15/19			8,453,000		10,707,145
Reckson Operating Partnership LP
5.00%		08/15/18			14,845,000		16,115,662
Woodbourne Capital Trust I
2.66%		04/29/49	^2,3,6		900,000		495,000
Woodbourne Capital Trust II
2.66%		04/08/49	^2,3,6		925,000		508,750
Woodbourne Capital Trust III
2.66%		04/08/49	^2,3,6		1,525,000		838,750
ZFS Finance USA Trust II
6.45%		12/15/65	^2,3		23,561,000		25,563,685

							1,321,611,170

Health Care — 0.45%
Catholic Health Initiatives
2.95%		11/01/22			7,655,000		7,220,322
CHS/Community Health Systems, Inc.
5.12%		08/15/18			3,725,000		3,920,563
7.12%		07/15/20			2,850,000		3,103,080
8.00%		11/15/19			13,050,000		14,452,875
HCA, Inc.
5.88%		03/15/22			2,860,000		3,088,800
7.25%		09/15/20			44,280,000		47,988,450
North Shore Long Island Jewish Health Care, Inc.
4.80%		11/01/42			40,000		37,022
6.15%		11/01/43			27,975,000		32,146,853
NYU Hospitals Center, Series 13-A
5.75%		07/01/43			5,440,000		6,089,483
Tenet Healthcare Corp.
4.50%		04/01/21			4,240,000		4,187,000

							122,234,448

Industrials — 0.20%
General Electric Co.
5.25%		12/06/17			17,228,000		19,539,894
Sydney Airport Finance Co. Pty Ltd. (Australia)
3.90%		03/22/23	^3,4		10,000,000		9,800,010
5.12%		02/22/21	^3,4		23,825,000		25,826,967

							55,166,871

Information Technology — 0.00%
Oracle Corp.
3.75%		07/08/14			230,000		232,057


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Insurance — 0.95%
Berkshire Hathaway, Inc.
4.50%		02/11/43		$	16,870,000	$	16,731,743
Farmers Exchange Capital
7.20%		07/15/48	³		18,265,000		22,154,941
Farmers Exchange Capital II
6.15%		11/01/53	^2,3		58,200,000		63,766,073
MetLife, Inc.
5.00%		06/15/15			250,000		263,270
Metropolitan Life Global Funding I
1.50%		01/10/18	³		39,800,000		39,533,706
1.88%		06/22/18	³		23,650,000		23,601,386
3.88%		04/11/22	³		18,675,000		19,293,946
Nationwide Mutual Insurance Co.
5.81%		12/15/24	^2,3		12,949,000		13,127,049
6.60%		04/15/34	³		19,568,000		19,629,150
Pricoa Global Funding I
1.60%		05/29/18	³		24,825,000		24,301,156
5.45%		06/11/14	³		15,130,000		15,275,051

							257,677,471

Materials — 0.09%
ArcelorMittal (Luxembourg)
5.75%		08/05/20	⁴		140,000		149,450
Barrick Gold Corp. (WI)(Canada)
4.10%		05/01/23	⁴		1,215,000		1,156,464
Barrick NA Finance LLC
5.75%		05/01/43			18,130,000		17,824,864
Barrick North America Finance LLC
4.40%		05/30/21			5,000,000		5,048,896

							24,179,674

Real Estate Investment Trust (REIT) — 1.84%
Arc Properties Operating Partnership LP Clark Acquisition LLC
2.00%		02/06/17	³		15,410,000		15,357,393
Avalonbay Communities, Inc., (MTN)
3.95%		01/15/21			7,245,000		7,560,496
BRE Properties, Inc.
5.50%		03/15/17			100,000		110,845
Camden Property Trust
4.62%		06/15/21			600,000		646,042
ERP Operating LP
5.12%		03/15/16			70,000		75,739
5.75%		06/15/17			100,000		112,948
First Industrial LP (MTN)
7.50%		12/01/17			80,000		92,877
HCP, Inc.
2.62%		02/01/20			63,120,000		61,702,329
3.15%		08/01/22			2,850,000		2,728,685


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Real Estate Investment Trust (REIT) (continued)
3.75%		02/01/19		$	10,509,000	$	11,064,392
4.25%		11/15/23			6,000,000		6,123,658
5.38%		02/01/21			20,035,000		22,401,915
5.62%		05/01/17			1,508,000		1,688,657
6.00%		01/30/17			16,320,000		18,370,657
7.07%		06/08/15			125,000		134,318
HCP, Inc. (MTN)
6.30%		09/15/16			27,844,000		31,323,386
Health Care REIT, Inc.
4.12%		04/01/19			19,500,000		20,735,628
4.70%		09/15/17			28,088,000		30,717,908
4.95%		01/15/21			16,142,000		17,554,414
5.25%		01/15/22			26,870,000		29,549,574
6.12%		04/15/20			7,275,000		8,349,547
6.50%		03/15/41			13,430,000		16,345,999
Healthcare Realty Trust, Inc.
5.75%		01/15/21			21,375,000		23,738,346
6.50%		01/17/17			380,000		429,088
Highwoods Realty LP
7.50%		04/15/18			6,810,000		7,978,630
Nationwide Health Properties, Inc.
6.00%		05/20/15			22,580,000		23,921,071
Post Apartment Homes LP
4.75%		10/15/17			21,885,000		23,979,985
Simon Property Group LP
6.12%		05/30/18			1,290,000		1,502,026
SL Green Realty Corp./SL Green Operating Partnership
7.75%		03/15/20			38,473,000		46,093,253
UDR, Inc. (MTN)
5.25%		01/15/15			200,000		206,957
Ventas Realty LP/Ventas Capital Corp.
2.00%		02/15/18			60,000		59,918
2.70%		04/01/20			4,315,000		4,205,869
4.75%		06/01/21			10,925,000		11,816,947
WEA Finance LLC
4.62%		05/10/21	³		14,297,000		15,668,054
7.12%		04/15/18	³		31,093,000		36,989,881
WEA Finance LLC/WT Finance Aust Pty Ltd.
6.75%		09/02/19	³		30,000		36,104

							499,373,536

Transportation — 0.95%
American Airlines Pass-Through Trust, Series 2011-1, Class A
5.25%		01/31/21			3,999,793		4,339,775
American Airlines Pass-Through Trust, Series 2013-1, Class A
4.00%		07/15/25	³		23,155,231		23,459,143


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	³	$	78,384,092	$	84,556,840
Autopistas Metropolitanas de Puerto Rico LLC
6.75%		06/30/35	³		3,315,000		2,901,079
Continental Airlines 1999-2 Class C-2 Pass-Through Trust, Series AMBC
6.24%		03/15/20			94,256		103,040
Continental Airlines Pass-Through Trust, Series 1997, Class 4A
6.90%		01/02/18			1,978,504		2,136,785
Continental Airlines Pass-Through Trust, Series 1999, Class C2
7.26%		03/15/20			8,874,291		9,695,163
Continental Airlines Pass-Through Trust, Series 1999-1, Class A
6.54%		08/02/20			68,590		76,370
Continental Airlines Pass-Through Trust, Series 2007, Class 1B
6.90%		04/19/22			2,308,888		2,500,757
Continental Airlines Pass-Through Trust, Series 2009, Class A2
7.25%		11/10/19			6,753,177		7,880,113
Delta Air Lines Pass-Through Trust, Series 2002, Class G1
6.72%		01/02/23			43,213,928		50,668,331
JetBlue Airways Pass-Through Trust, Series 2004, Class G2
0.69%		11/15/16	²		13,575,000		13,261,078
Northwest Airlines Pass-Through Trust, Series 2001-1, Class A-1
7.04%		04/01/22			967,120		1,131,530
UAL Pass-Through Trust, Series 2009-1
10.40%		11/01/16			41,629		47,301
UAL Pass-Through Trust, Series 2009-2A
9.75%		01/15/17			12,890,913		14,856,777
US Airways Pass-Through Trust, Series 2010-1, Class A
6.25%		04/22/23			19,183,063		21,844,712
US Airways Pass-Through Trust, Series 2011-1, Class A
7.12%		10/22/23			5,137,072		6,000,742
US Airways Pass-Through Trust, Series 2012-1, Class A
5.90%		10/01/24			11,525,576		12,944,663

							258,404,199

Total Corporates
(Cost $4,008,132,503)							4,272,669,179


Issues	Maturity Date			Principal Amount		Value
FOREIGN GOVERNMENT OBLIGATIONS — 0.29%
Foreign Government Obligations — 0.29%
Kommunalbanken AS (Norway)
1.12%		05/23/18	^3,4	$	81,650,000	$	79,578,612

Total Foreign Government Obligations
(Cost $81,478,639)

MORTGAGE-BACKED — 44.95%**
Commercial Mortgage-Backed — 2.77%
Banc of America Large Loan, Inc., Series 2010-UB4, Class A4A
5.00%		12/20/41	^2,3		9,553,617		9,749,227
Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2005-4, Class A4
5.19%		07/10/45	²		6,800,000		6,876,313
Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2005-6, Class A4
5.18%		09/10/47	²		65,251,000		68,975,837
Bayview Commercial Asset Trust, Series 2004-2, Class A
0.58%		08/25/34	^2,3		751,463		707,951
Bayview Commercial Asset Trust, Series 2005-3A, Class A1
0.47%		11/25/35	^2,3		28,636		25,082
Bayview Commercial Asset Trust, Series 2006-3A, Class A1
0.40%		10/25/36	^2,3		5,108,424		4,298,289
Bayview Financial Mortgage Pass-Through Trust, Series 2005-D, Class AF3
5.50%		12/28/35	²		594,132		606,570
Bear Stearns Commercial Mortgage Securities Trust, Series 2005-T20, Class A4A
5.14%		10/12/42	²		40,390,000		42,571,137
Bear Stearns Commercial Mortgage Securities Trust, Series 2006-T22, Class A4
5.58%		04/12/38	²		21,239,068		22,814,646
DBRR Trust, Series 2011-LC2, Class A4A
4.54%		04/12/21	^2,3		29,480,000		31,861,542
DBRR Trust, Series 2011-LC2, Class A4C
4.54%		07/12/44	^2,3		1,227,782		1,297,984
DBUBS Mortgage Trust, Series 2011-LC3A, Class A2
3.64%		08/10/44			48,755,000		51,305,228
GE Business Loan Trust, Series 2003-2A, Class A
0.52%		11/15/31	^2,3		21,530		20,648
GE Commercial Mortgage Corp. Trust, Series 2005-C4, Class A4
5.31%		11/10/45	²		20,000,000		21,140,260
GMAC Commercial Mortgage Securities, Inc., Series 1998-C2, Class X (IO)
1.06%		05/15/35	^2,6		9,000,329		276,211


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed (continued)
GS Mortgage Securities Corp. II, Series 2011-GC5, Class A4
3.71%		08/10/44	²	$	107,315,000	$	111,339,152
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2005-CB12, Class A4
4.90%		09/12/37			2,920,000		3,037,664
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2006-LDP9, Class A3S
5.24%		05/15/47	³		2,363,047		2,379,601
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2005-CB13, Class A4
5.24%		01/12/43	²		20,000,000		21,124,570
Lehman Brothers Small Balance Commercial Mortgage Trust, Series 2007-1A, Class 2A3
5.62%		03/25/37	^2,3		12,146,493		12,261,456
Merrill Lynch Mortgage Investors, Inc., Series 2005-LC1, Class A4
5.29%		01/12/44	²		511,571		542,617
Merrill Lynch Mortgage Investors, Inc., Series 2005-MCP1, Class ASB
4.67%		06/12/43	²		6,634		6,644
Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2006-4, Class ASB
5.13%		12/12/49	²		11,954,531		12,286,341
Morgan Stanley Capital I Trust, Series 2001-C3, Class A2
3.22%		08/15/49			15,729,754		16,422,413
Morgan Stanley Capital I Trust, Series 2006-IQ12, Class A4
5.33%		12/15/43			83,344		90,837
Morgan Stanley Capital I Trust, Series 2006-T21, Class A4
5.16%		10/12/52	²		35,975,000		38,125,460
Morgan Stanley Capital I Trust, Series 2006-T23, Class A4
5.81%		08/12/41	²		44,680,000		48,721,395
Morgan Stanley Capital I Trust, Series 2011-C3, Class A4
4.12%		08/15/49			13,563,000		14,389,767
Spirit Master Funding LLC, Series 2005-1, Class A1
5.05%		07/20/23	³		16,568,651		16,967,955
Spirit Master Funding LLC, Series 2006-1A, Class A
5.76%		03/20/24	³		8,227,553		8,577,224
WF-RBS Commercial Mortgage Trust, Series 2010-C8, Class A3
3.00%		08/15/45			52,205,000		50,918,356


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		$	62,612,000	$	64,551,156
WF-RBS Commercial Mortgage Trust, Series 2012-C7, Class A2
3.43%		06/15/45			68,158,000		68,635,242

							752,904,775

Non-Agency Mortgage-Backed — 15.12%
Aames Mortgage Trust, Series 2002-1, Class A3 (STEP)
6.45%		06/25/32			69,156		67,250
Accredited Mortgage Loan Trust, Series 2007-1, Class A4
0.37%		02/25/37	²		46,125,000		34,231,627
ACE Securities Corp., Series 2006-HE3, Class A2C
0.30%		06/25/36	²		4,590,867		2,764,852
Adjustable Rate Mortgage Trust, Series 2005-10, Class 6A1
0.69%		01/25/36	²		578,040		525,182
Adjustable Rate Mortgage Trust, Series 2005-5, Class 6A21
0.38%		09/25/35	²		5,164,952		4,911,652
Aegis Asset-Backed Securities Trust, Series 2005-5, Class 1A3
0.42%		12/25/35	²		7,850,182		7,725,129
American Home Mortgage Assets, Series 2007-2, Class A1
0.28%		03/25/47	²		967,957		756,810
American Home Mortgage Assets, Series 2007-4, Class A2
0.34%		08/25/37	²		7,122,512		6,623,488
American Home Mortgage Investment Trust, Series 2006-1, Class 12A1
0.35%		03/25/46	²		2,835,703		2,275,822
American Home Mortgage Investment Trust, Series 2007-1, Class GA1C
0.34%		05/25/47	²		96,296,991		68,808,148
Ameriquest Mortgage Securities, Inc., Series 2005-R6, Class A2
0.35%		08/25/35	²		15,666		15,575
Amresco Residential Securities Mortgage Loan Trust, Series 1998-1, Class A5 (STEP)
7.57%		10/25/27			114,246		117,942
Argent Securities, Inc., Series 2004-W6, Class AV2
0.60%		05/25/34	²		18,496,542		17,657,169
Argent Securities, Inc., Series 2005-W2, Class A2B1
0.35%		10/25/35	²		23,410		23,363


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Argent Securities, Inc., Series 2005-W4, Class A2C
0.45%		02/25/36	²	$	424,542	$	424,559
Asset-Backed Funding Certificates, Series 2006-OPT3, Class A3B
0.31%		11/25/36	²		14,616,863		7,852,120
Asset-Backed Funding Certificates, Series 2007-WMC1, Class A2B
1.15%		06/25/37	²		38,422,518		25,883,767
Asset-Backed Securities Corp. Home Equity, Series 2005-HE6, Class M2
0.66%		07/25/35	²		55,109		54,539
Asset-Backed Securities Corp. Home Equity, Series 2006-HE6, Class A5
0.38%		11/25/36	²		18,411,000		10,923,007
Banc of America Alternative Loan Trust, Series 2003-2, Class CB4
5.50%		04/25/33			1,877,364		2,063,273
Banc of America Funding Corp., Series 2003-2, Class 1A1
6.50%		06/25/32			37,870		40,148
Banc of America Funding Corp., Series 2006-E, Class 2A1
2.81%		06/20/36	²		243,285		204,095
Banc of America Funding Corp., Series 2006-G, Class 2A3
0.33%		07/20/36	²		20,723,901		20,707,509
Banc of America Funding Corp., Series 2006-H, Class 3A1
2.88%		09/20/46	²		4,554,865		3,663,154
Banc of America Mortgage Securities, Inc., Series 2003-1, Class ASS 3A1
2.79%		10/25/33	²		2,765,921		2,838,520
Banc of America Mortgage Securities, Inc., Series 2004-F, Class 1A1
2.62%		07/25/34	²		150,298		152,379
Banc of America Mortgage Securities, Inc., Series 2005-C, Class 2A2
2.82%		04/25/35	²		1,631,564		1,472,169
Banc of America Mortgage Securities, Inc., Series 2006-2, Class A2
6.00%		07/25/46	²		578,896		514,911
Banc of America Mortgage Securities, Inc., Series 2007-1, Class 1A24
6.00%		03/25/37			3,066,455		2,894,182
Banc of America Mortgage Securities, Inc., Series 2007-3, Class 1A1
6.00%		09/25/37			1,565,538		1,477,279
Banco de Credito Y Securitizacion SA, Series 2001-1, Class AF (Argentina)
8.00%		06/30/20	^3,4,6		8,000		640


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
BCAP LLC Trust, Series 2011-RR3, Class 1A5
2.82%		05/27/37	^2,3	$	16,257,003	$	16,375,013
BCAP LLC Trust, Series 2007-AA1, Class 2A1
0.33%		03/25/37	²		1,611,117		1,307,723
BCAP LLC Trust, Series 2007-AA2, Class 2A5
6.00%		04/25/37			660,934		580,002
BCAP LLC Trust, Series 2009-RR10, Class 7A1
2.43%		10/26/35	^2,3		14,687,948		15,013,719
BCAP LLC Trust, Series 2010-RR11, Class 3A2
2.78%		06/27/36	^2,3		7,914,494		7,942,369
BCAP LLC Trust, Series 2011-RR2, Class 3A6
2.71%		11/21/35	^2,3		22,104,935		20,675,635
BCAP LLC Trust, Series 2011-RR3, Class 5A3
2.51%		11/27/37	^2,3		13,652,426		13,221,726
BCAP LLC Trust, Series 2011-RR4, Class 1A3
1.45%		03/26/36	^2,3		19,488,384		19,048,355
BCAP LLC Trust, Series 2011-RR5, Class 1A3
2.53%		03/26/37	^2,3		1,409,595		1,389,913
BCAP LLC Trust, Series 2011-RR5, Class 2A3
2.84%		06/26/37	^2,3		7,972,917		7,944,477
Bear Stearns ALT-A Trust, Series 2006-3, Class 1A1
0.53%		05/25/36	²		3,316,837		2,201,289
Bear Stearns ALT-A Trust, Series 2006-4, Class 32A1
2.70%		07/25/36	²		4,424,923		2,803,937
Bear Stearns ARM Trust, Series 2003-4, Class 3A1
2.46%		07/25/33	²		70,399		70,394
Bear Stearns ARM Trust, Series 2004-1, Class 13A2
2.72%		04/25/34	²		26,492		26,745
Bear Stearns ARM Trust, Series 2004-10, Class 14A1
5.07%		01/25/35	²		10,250,398		10,431,461
Bear Stearns ARM Trust, Series 2006-4, Class 2A1
2.50%		10/25/36	²		1,659,348		1,412,792
Bear Stearns Asset-Backed Securities Trust, Series 2002-1, Class 1A5 (STEP)
6.89%		12/25/34			62,809		65,565


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Bear Stearns Asset-Backed Securities Trust, Series 2003-AC7, Class A1 (STEP)
5.50%		01/25/34		$	1,707,359	$	1,771,198
Bear Stearns Asset-Backed Securities Trust, Series 2003-AC7, Class A2 (STEP)
5.75%		01/25/34			1,539,299		1,615,965
Bear Stearns Asset-Backed Securities Trust, Series 2005-AC5, Class 2A3
0.40%		08/25/20	²		4,968,269		3,808,034
Bear Stearns Asset-Backed Securities Trust, Series 2005-SD1, Class 1A3
0.55%		08/25/43	²		26,152		25,876
Bear Stearns Asset-Backed Securities Trust, Series 2005-TC2, Class A3
0.52%		08/25/35	²		7,152,019		7,086,245
Bear Stearns Asset-Backed Securities Trust, Series 2006-AC2, Class 21A3
6.00%		03/25/36			3,686,909		3,271,802
Bear Stearns Mortgage Funding Trust, Series 2006-AR3, Class 1A1
0.33%		10/25/36	²		3,419,220		2,269,833
Bear Stearns Mortgage Funding Trust, Series 2007-AR4, Class 2A1
0.36%		06/25/37	²		347,971		286,376
BHN I Mortgage Fund, Series 1997-2, Class A1 (Argentina)¹⁰
1.44%		05/31/17	^{2,3,4,6,11,†}		13,760		688
BHN I Mortgage Fund, Series 1997-2, Class A2 (Argentina)¹⁰
7.54%		05/31/17	^3,4,6,11,†		2,500		125
BHN I Mortgage Fund, Series 2000-1, Class AF (Argentina)
8.00%		01/31/20	^3,4,6,†		6,000		2
Bombardier Capital Mortgage Securitization Corp., Series 2001-A, Class A
6.80%		12/15/30	²		19,082,365		19,860,059
CC Mortgage Funding Corp., Series 2004-1A, Class A1
0.43%		01/25/35	^2,3		1,626,880		1,462,471
Centex Home Equity Loan Trust, Series 2006-A, Class AV3
0.31%		06/25/36	²		27,943,804		27,599,970
Centex Home Equity Loan Trust, Series 2006-A, Class AV4
0.40%		06/25/36	²		200,000		177,672
Chase Mortgage Finance Corp., Series 2006-A1, Class 1A2
2.70%		09/25/36	²		1,835,255		1,525,542
Chase Mortgage Finance Corp., Series 2006-S3, Class 2A1
5.50%		11/25/21			3,742,409		3,277,250


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Chase Mortgage Finance Corp., Series 2007-A2, Class 2A3
2.66%		07/25/37	²	$	7,734,472	$	7,804,554
Chaseflex Trust, Series 2005-2, Class 4A2
5.50%		05/25/20			8,217,718		8,098,237
Chaseflex Trust, Series 2006-2, Class A2B
0.35%		09/25/36	²		2,603,320		2,140,812
CIT Mortgage Loan Trust, Series 2007-1, Class 2A2
1.40%		10/25/37	^2,3		7,825,302		7,846,792
Citicorp Mortgage Securities, Inc., Series 2005-1, Class 1A12
5.00%		02/25/35			703,000		682,975
Citicorp Residential Mortgage Securities, Inc., Series 2006-2, Class A5 (STEP)
6.04%		09/25/36			525,000		508,335
Citicorp Residential Mortgage Securities, Inc., Series 2007-1, Class A5 (STEP)
6.05%		03/25/37			650,000		599,724
Citigroup Mortgage Loan Trust, Inc., Series 2004-HYB1, Class A41
2.86%		02/25/34	²		287,428		284,024
Citigroup Mortgage Loan Trust, Inc., Series 2004-RR2, Class A2
4.23%		05/25/34	^2,3		7,447,499		7,754,343
Citigroup Mortgage Loan Trust, Inc., Series 2005-5, Class 3A2A
2.47%		10/25/35	²		1,530,771		1,186,605
Citigroup Mortgage Loan Trust, Inc., Series 2005-9, Class 1A1
0.41%		11/25/35	²		401,260		276,112
Citigroup Mortgage Loan Trust, Inc., Series 2006-AMC1, Class A2B
0.31%		09/25/36	²		5,995,340		3,115,784
Citigroup Mortgage Loan Trust, Inc., Series 2006-AR3, Class 1A2A
5.40%		06/25/36	²		16,050,849		14,877,530
Citigroup Mortgage Loan Trust, Inc., Series 2006-WFH2, Class A2A
0.30%		08/25/36	²		10,375,883		9,709,647
Citigroup Mortgage Loan Trust, Inc., Series 2007-6, Class 1A4A
2.78%		03/25/37	²		1,263,538		815,780
Citigroup Mortgage Loan Trust, Inc., Series 2007-WFH1, Class A4
0.35%		01/25/37	²		173,000		145,392
Citigroup Mortgage Loan Trust, Inc., Series 2007-WFH2, Class A3
0.33%		03/25/37	²		40,607,000		39,630,304
Citigroup Mortgage Loan Trust, Inc., Series 2010-7, Class 2A1
2.40%		02/25/35	^2,3		415,834		428,155


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Citigroup Mortgage Loan Trust, Inc., Series 2010-9, Class 2A1
2.51%		11/25/35	^2,3	$	378,859	$	389,790
Citigroup Mortgage Loan Trust, Inc., Series 2012-3, Class 4A1
2.18%		11/25/36	^2,3		3,636,768		3,679,325
Collateralized Mortgage Obligation Trust, Series 57, Class D
9.90%		02/01/19			1,810		2,048
Conseco Finance Securitizations Corp., Series 2001-4, Class A4
7.36%		09/01/33			7,266,816		7,954,061
Conseco Finance, Series 2001-C, Class A5 (STEP)
7.29%		08/15/33			912,792		914,624
Conseco Finance, Series 2001-D, Class A5
6.69%		11/15/32	²		14,113		14,166
Conseco Finance, Series 2002-A, Class A5 (STEP)
7.55%		04/15/32			52,996		54,459
Conseco Finance, Series 2002-C, Class BF2
8.00%		06/15/32	^2,3		425,953		469,296
Conseco Financial Corp., Series 1996-7, Class M1
7.70%		10/15/27	²		15,010,360		16,209,057
Conseco Financial Corp., Series 1998-2, Class A5
6.24%		12/01/28	²		120,975		124,938
Conseco Financial Corp., Series 1998-3, Class A6
6.76%		03/01/30	²		6,709,208		7,160,546
Conseco Financial Corp., Series 1998-6, Class A8
6.66%		06/01/30			8,749,283		9,416,215
Countryplace Manufactured Housing Contract Trust, Series 2007-1, Class A4
5.85%		07/15/37	^2,3		9,150,000		9,222,236
Countrywide Alternative Loan Trust, Series 2004-J6, Class 2A1
6.50%		11/25/31			16,002		16,864
Countrywide Alternative Loan Trust, Series 2005-27, Class 3A2
1.23%		08/25/35	²		8,586		6,090
Countrywide Alternative Loan Trust, Series 2005-84, Class 1A1
2.69%		02/25/36	²		180,555		139,141
Countrywide Alternative Loan Trust, Series 2006-24CB, Class A19
0.65%		06/25/36	²		2,272,491		1,625,417


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Countrywide Alternative Loan Trust, Series 2006-HY13, Class 4A1
2.67%		02/25/37	²	$	4,843,729	$	4,275,134
Countrywide Alternative Loan Trust, Series 2006-OC5, Class 2A2A
0.32%		06/25/36	²		2,403,786		1,974,011
Countrywide Alternative Loan Trust, Series 2007-J1, Class 2A1
0.35%		03/25/37	²		1,166,422		565,023
Countrywide Asset-Backed Certificates, Series 2005-11, Class AF4
5.10%		02/25/36	²		7,000,000		5,661,439
Countrywide Asset-Backed Certificates, Series 2005-12, Class 2A5
5.24%		02/25/36	²		8,337,443		8,584,128
Countrywide Asset-Backed Certificates, Series 2005-13, Class AF4
5.07%		04/25/36	²		275,000		199,225
Countrywide Asset-Backed Certificates, Series 2005-2, Class M2
0.59%		08/25/35	²		12,180,534		11,821,726
Countrywide Asset-Backed Certificates, Series 2005-4, Class MV1
0.61%		10/25/35	²		58,655		58,761
Countrywide Asset-Backed Certificates, Series 2005-7, Class MV1
0.66%		11/25/35	²		3,627,232		3,616,419
Countrywide Asset-Backed Certificates, Series 2007-13, Class 2A2
0.95%		10/25/47	²		24,326,125		20,920,686
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2001-HYB1, Class 1A1
2.08%		06/19/31	²		45,349		45,462
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2002-38, Class A3
5.00%		02/25/18			1,959,877		1,990,028
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2003-J8, Class 1A4
5.25%		09/25/23			290,430		302,166
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2004-14, Class 4A1
4.95%		08/25/34	²		3,407,224		3,438,666
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2004-25, Class 1A1
0.48%		02/25/35	²		262,140		236,645
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2004-29, Class 3A1
2.32%		02/25/35	²		6,593,628		4,920,491


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
2.52%		06/20/34	²	$	131,426	$	130,733
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2004-HYB4, Class 2A1
2.50%		09/20/34	²		3,996,040		3,915,632
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2004-HYB7, Class 3A
2.65%		11/20/34	²		3,792,044		3,639,539
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2005-11, Class 1A2
2.90%		04/25/35	²		2,019,888		1,741,624
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2005-31, Class 2A3
2.57%		01/25/36	²		598,369		524,291
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2005-4, Class 4A1
0.44%		02/25/35	²		165,364		127,622
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2005-9, Class 1A1
0.45%		05/25/35	²		8,685,711		7,519,463
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2007-HY5, Class 1A1
2.86%		09/25/47	²		2,668,795		2,343,525
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2007-HYB1, Class 1A1
2.96%		03/25/37	²		2,350,368		1,717,595
Credit Suisse Commercial Mortgage Trust, Series 2009-14R, Class 2A1
5.00%		06/26/37	³		36,851,701		38,577,109
Credit Suisse Commercial Mortgage Trust, Series 2011-16R, Class 5A1
2.62%		09/27/35	^2,3		11,364,807		11,513,555
Credit Suisse First Boston Commercial Mortgage Trust, Series 2004-AR5, Class 6A1
2.55%		06/25/34	²		542,484		546,675
Credit Suisse First Boston Mortgage Securities Corp., Series 2003-AR20, Class 2A4
2.58%		08/25/33	²		40,266		40,036
Credit Suisse First Boston Mortgage Securities Corp., Series 2004-1, Class 2A1
6.50%		02/25/34			76,500		81,722
Credit Suisse Mortgage Capital Certificates, Series 2006-2, Class 2A1
0.85%		03/25/36	²		7,917,425		4,656,372


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		$	6,926,457	$	6,719,519
Credit Suisse Mortgage Capital Certificates, Series 2007-5, Class 1A11
7.00%		08/25/37			3,101,883		1,999,440
Credit Suisse Mortgage Capital Certificates, Series 2010-17R, Class 1A1
2.39%		06/26/36	^2,3		2,054,895		2,122,299
Credit-Based Asset Servicing and Securitization LLC, Series 2003-CB1, Class AF (STEP)
3.95%		01/25/33			30,248		30,053
Credit-Based Asset Servicing and Securitization LLC, Series 2003-CB4, Class M1
1.19%		03/25/33	²		7,030,623		6,658,443
Credit-Based Asset Servicing and Securitization LLC, Series 2003-CB5, Class M1
1.17%		11/25/33	²		53,629		50,779
Credit-Based Asset Servicing and Securitization LLC, Series 2005-FR3, Class M1
0.86%		04/25/35	²		1,874,608		1,845,755
Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB1, Class AF2 (STEP)
3.55%		01/25/36			11,520,524		8,512,000
Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB6, Class A23
0.30%		07/25/36	²		31,133,698		25,783,092
Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB8, Class A2B
0.26%		10/25/36	²		13,252,740		13,027,971
Credit-Based Asset Servicing and Securitization LLC, Series 2007-BR1, Class A2A
0.26%		02/25/37	²		9,197,100		5,066,459
Credit-Based Asset Servicing and Securitization LLC, Series 2007-BR1, Class A2B
0.42%		02/25/37	²		45,040,186		25,215,928
Credit-Based Asset Servicing and Securitization LLC, Series 2007-BR2, Class A2
0.38%		02/25/37	²		72,345,156		35,646,904
Credit-Based Asset Servicing and Securitization LLC, Series 2007-BR5, Class A2A
0.28%		05/25/37	²		29,406,497		19,942,990


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 A2C
0.50%		05/25/37	²	$	19,915,052	$	13,771,778
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB1, Class AF4 (STEP)
4.30%		01/25/37			9,454,901		4,694,358
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB1, Class AF5 (STEP)
4.30%		01/25/37			17,677,964		8,601,116
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB2, Class A2C (STEP)
4.82%		02/25/37			59,096,315		43,480,823
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB2, Class A2D (STEP)
4.82%		02/25/37			40,416,768		29,732,272
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB2, Class A2E (STEP)
4.82%		02/25/37			7,868,091		5,788,901
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB5, Class A2 (STEP)
0.32%		04/25/37	²		47,594,434		31,685,756
Credit-Based Asset Servicing and Securitization LLC, Series 2007-NC1, Class A2B
0.30%		12/25/36	²		50,629,140		27,227,947
Credit-Based Asset Servicing and Securitization LLC, Series 2007-NC2, Class A2B
0.29%		01/25/37	²		28,252,791		19,203,377
CSAB Mortgage-Backed Trust, Series 2006-4, Class A6B (STEP)
5.78%		12/25/36			5,268,016		1,691,426
DBRR Trust, Series 2012-EZ1, Class A
0.95%		09/25/45	³		10,225,561		10,246,472
Deutsche ALT-A Securities Mortgage Loan Trust, Series 2006-AR3, Class A1
0.34%		08/25/36	²		2,821,321		2,156,731
Deutsche ALT-A Securities Mortgage Loan Trust, Series 2006-AR4, Class A1
0.28%		12/25/36	²		3,529,097		2,177,185
Deutsche ALT-A Securities, Inc. Alternate Loan Trust, Series 2005-3, Class 4A5
5.25%		06/25/35			28,080		27,929
Deutsche ALT-A Securities, Inc. Alternate Loan Trust, Series 2005-6, Class 1A7
5.50%		12/25/35			1,009,332		823,484


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Deutsche ALT-A Securities, Inc. Alternate Loan Trust, Series 2006-AR6, Class A6
0.34%		02/25/37	²	$	1,911,631	$	1,411,263
Deutsche ALT-A Securities, Inc. Mortgage Loan Trust, Series 2006-AR1, Class 2A1
2.87%		02/25/36	²		2,327,797		1,807,299
Downey Savings & Loan Association Mortgage Loan Trust, Series 2005-AR3, Class 2A1A
0.40%		07/19/45	²		498,317		452,310
Downey Savings & Loan Association Mortgage Loan Trust, Series 2007-AR1,
Class 2A1A
0.30%		04/19/48	²		13,454,905		11,556,647
DSLA Mortgage Loan Trust, Series 2004-AR4, Class 2A1A
0.52%		01/19/45	²		5,411,045		4,794,082
DSLA Mortgage Loan Trust, Series 2005-AR1, Class 2A1A
0.41%		03/19/45	²		1,028,650		929,053
Equifirst Mortgage Loan Trust, Series 2005-1, Class M1
0.57%		04/25/35	²		12,763,555		12,757,556
Equity One ABS, Inc., Series 1998-1, Class A2 (STEP)
7.48%		11/25/29			83,887		75,110
Equity One ABS, Inc., Series 2002-4, Class M1
5.22%		02/25/33	²		13,750		13,155
Equity One Mortgage Pass-Through Trust, Series 2002-5, Class M1 (STEP)
5.80%		11/25/32			148,415		144,894
First Franklin Mortgage Loan Asset-Backed Certificates, Series 2005-FF4, Class M1
0.58%		05/25/35	²		6,337,720		6,325,285
First Franklin Mortgage Loan Asset-Backed Certificates, Series 2005-FFH2, Class M1
0.87%		04/25/35	^2,3		1,191,231		1,172,749
First Franklin Mortgage Loan Asset-Backed Certificates, Series 2006-FF11, Class 2A3
0.30%		08/25/36	²		31,246,246		22,972,052
First Franklin Mortgage Loan Asset-Backed Certificates, Series 2006-FF18, Class A2B
0.26%		12/25/37	²		19,591,594		11,656,509
First Franklin Mortgage Loan Asset-Backed Certificates, Series 2006-FF18, Class A2C
0.31%		12/25/37	²		57,007,167		34,163,255
First Franklin Mortgage Loan Asset-Backed Certificates, Series 2006-FF18, Class A2D
0.36%		12/25/37	²		41,317,185		24,938,929
First Franklin Mortgage Loan Asset-Backed Certificates, Series 2007-FF1, Class A2C
0.29%		01/25/38	²		103,586,010		62,409,421


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
First Franklin Mortgage Loan Asset-Backed Certificates, Series 2007-FF2, Class A2B
0.25%		03/25/37	²	$	46,537,443	$	28,663,109
First Franklin Mortgage Loan Asset-Backed Certificates, Series 2007-FF2, Class A2C
0.30%		03/25/37	²		24,057,600		14,875,848
First Franklin Mortgage Loan Asset-Backed Certificates, Series 2007-FF2, Class A2D
0.37%		03/25/37	²		44,794,613		27,910,762
First Horizon Alternative Mortgage Securities Trust, Series 2004-AA2, Class 1A1
2.17%		08/25/34	²		26,220,622		25,169,437
First Horizon Alternative Mortgage Securities Trust, Series 2004-AA3, Class A1
2.20%		09/25/34	²		166,086		162,420
First Horizon Alternative Mortgage Securities Trust, Series 2004-AA4, Class A1
2.23%		10/25/34	²		6,147,158		6,090,158
First Horizon Alternative Mortgage Securities Trust, Series 2006-FA8, Class 1A7
6.00%		02/25/37			27,267		23,299
First Horizon Asset Securities, Inc., Series 2004-AR5, Class 2A1
2.58%		10/25/34	²		2,799,026		2,757,800
First Horizon Asset Securities, Inc., Series 2007-AR3, Class 1A1
2.40%		11/25/37	²		803,856		687,064
First Horizon Mortgage Pass-Through Trust, Series 2004-AR1, Class 2A1
2.54%		02/25/34	²		1,953,299		1,981,180
First Horizon Mortgage Pass-Through Trust, Series 2004-AR6, Class 2A1
2.62%		12/25/34	²		1,169,070		1,168,700
First Horizon Mortgage Pass-Through Trust, Series 2006-AR4, Class 1A2
2.55%		01/25/37	²		417,355		364,346
FNBA Mortgage Pass-Through Certificates, Series 2004-AR1, Class A2
0.56%		08/19/34	²		38,953		36,723
Fremont Home Loan Trust, Series 2005-C, Class M1
0.63%		07/25/35	²		9,003,228		9,023,288
GE Business Loan Trust, Series 2004-2X, Class B
0.64%		12/15/32			1,325,483		1,248,629
GE Business Loan Trust, Series 2007-1A, Class A
0.32%		04/16/35	^2,3		29,653,090		26,872,890
GMAC Mortgage Corp. Loan Trust, Series 2000-HE2, Class A1
0.59%		06/25/30	²		77,993		69,039


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
GMAC Mortgage Corp. Loan Trust, Series 2003-AR2, Class 3A5
2.96%		12/19/33	²	$	13,388,482	$	13,830,630
GMAC Mortgage Corp. Loan Trust, Series 2004-AR1, Class 22A
2.97%		06/25/34	²		12,539		11,881
GMAC Mortgage Corp. Loan Trust, Series 2005-AR6, Class 3A1
2.92%		11/19/35	²		2,366,189		2,271,545
GMAC Mortgage Corp. Loan Trust, Series 2006-AR2, Class 1A1
2.90%		05/19/36	²		2,837,966		2,190,499
Green Tree, Series 2008-MH1, Class A2
8.97%		04/25/38	^2,3		29,243,939		31,940,135
Greenpoint Mortgage Funding Trust, Series 2005-AR3, Class 1A1
0.39%		08/25/45	²		3,261,973		2,852,671
Greenpoint Mortgage Funding Trust, Series 2006-AR8, Class 1A2A
0.33%		01/25/47	²		19,890,158		18,437,102
Greenpoint Mortgage Funding Trust, Series 2007-AR1, Class 3A2
0.31%		02/25/37	²		8,065,165		6,150,109
GS Mortgage Securities Corp., Series 2009-1R, Class 2A1
2.63%		11/25/35	^2,3		72,480		73,908
GSAA Home Equity Trust, Series 2005-9, Class 2A3
0.52%		08/25/35	²		9,280,567		8,750,593
GSAMP Trust, Series 2005-AHL2, Class A2D
0.50%		12/25/35	²		25,693,000		16,881,331
GSAMP Trust, Series 2005-HE5, Class M1
0.57%		11/25/35	²		17,000,000		16,150,986
GSR Mortgage Loan Trust, Series 2004-9, Class 3A1
2.74%		08/25/34	²		14,843		15,136
GSR Mortgage Loan Trust, Series 2004-9, Class 5A7
2.62%		08/25/34	²		1,469,000		1,415,264
GSR Mortgage Loan Trust, Series 2005-AR5, Class 2A3
2.70%		10/25/35	²		2,683,647		2,409,319
GSR Mortgage Loan Trust, Series 2005-AR5, Class 2A4
2.70%		10/25/35	²		5,716,666		5,709,097
GSR Mortgage Loan Trust, Series 2005-AR6, Class 4A5
2.68%		09/25/35	²		735,000		734,672
GSR Mortgage Loan Trust, Series 2006-OA1, Class 2A1
0.34%		08/25/46	²		10,525,249		10,006,810


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
GSR Mortgage Loan Trust, Series 2007-AR2, Class 2A1
2.69%		05/25/47	²	$	6,824,060	$	6,147,468
Harborview Mortgage Loan Trust, Series 2004-1, Class 2A
2.47%		04/19/34	²		23,020		22,569
Harborview Mortgage Loan Trust, Series 2004-11, Class 3A2A
0.50%		01/19/35	²		847,976		721,234
Harborview Mortgage Loan Trust, Series 2005-4, Class 2A
2.74%		07/19/35	²		916,166		848,311
Harborview Mortgage Loan Trust, Series 2006-8, Class 2A1A
0.35%		07/21/36	²		408,568		332,266
Harborview Mortgage Loan Trust, Series 2007-7, Class 2A1A
1.15%		11/25/47	²		1,443,368		1,336,383
Home Equity Loan Trust, Series 2005-3, Class M1
0.58%		01/20/35	²		300,771		299,464
Home Equity Loan Trust, Series 2006-1, Class A1
0.32%		01/20/36	²		19,423,319		19,118,344
Home Equity Loan Trust, Series 2006-2, Class A1
0.31%		03/20/36	²		25,438,039		24,979,480
Home Equity Loan Trust, Series 2006-4, Class A3V
0.31%		03/20/36	²		10,410		10,379
Home Equity Loan Trust, Series 2007-1, Class AM
0.40%		03/20/36	²		2,050,519		2,024,459
Home Equity Loan Trust, Series 2007-3, Class A4
1.66%		11/20/36	²		13,120,000		12,747,274
Home Equity Loan Trust, Series 2007-3, Class APT
1.36%		11/20/36	²		51,738,374		51,489,927
Homestar Mortgage Acceptance Corp., Series 2004-5, Class A4
0.72%		10/25/34	²		6,118,532		6,113,270
HSI Asset Securitization Corp. Trust, Series 2006-OPT1, Class 2A3
0.34%		12/25/35	²		18,996,622		18,595,755
Impac CMB Trust, Series 2005-1, Class 1A1
0.67%		04/25/35	²		9,801,659		8,900,848
Impac Secured Assets Corp., CMN Owners Trust, Series 2004-3, Class 1
0.95%		11/25/34	²		1,525,344		1,496,715
IndyMac Index Mortgage Loan Trust, Series 2004-AR4, Class 1A
2.36%		08/25/34	²		2,767,904		2,297,048


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
IndyMac Index Mortgage Loan Trust, Series 2004-AR5, Class 2A1B
0.95%		08/25/34	²	$	40,919	$	36,443
IndyMac Index Mortgage Loan Trust, Series 2004-AR6, Class 6A1
2.72%		10/25/34	²		332,896		333,696
IndyMac Index Mortgage Loan Trust, Series 2004-AR7, Class A2
1.01%		09/25/34	²		128,074		110,846
IndyMac Index Mortgage Loan Trust, Series 2004-AR8, Class 2A2A
0.95%		11/25/34	²		98,681		86,631
IndyMac Index Mortgage Loan Trust, Series 2005-AR1, Class 4A1
2.46%		03/25/35	²		2,613,151		2,531,111
IndyMac Index Mortgage Loan Trust, Series 2005-AR13, Class 4A1
2.40%		08/25/35	²		211,965		181,353
IndyMac Index Mortgage Loan Trust, Series 2005-AR15, Class A1
4.61%		09/25/35	²		1,070,274		956,932
IndyMac Index Mortgage Loan Trust, Series 2005-AR17, Class 3A1
2.35%		09/25/35	²		10,283,327		8,488,290
IndyMac Index Mortgage Loan Trust, Series 2005-AR18, Class 2A1A
0.46%		10/25/36	²		314,894		245,486
IndyMac Index Mortgage Loan Trust, Series 2005-AR25, Class 1A21
5.01%		12/25/35	²		10,273,825		8,655,369
IndyMac Index Mortgage Loan Trust, Series 2005-AR31, Class 3A1
2.42%		01/25/36	²		4,171,397		3,585,182
IndyMac Index Mortgage Loan Trust, Series 2005-AR6, Class 2A1
0.39%		04/25/35	²		1,296,091		1,194,492
IndyMac Index Mortgage Loan Trust, Series 2006-AR14, Class 1A4A
0.32%		11/25/46	²		20,245,313		19,041,419
IndyMac Index Mortgage Loan Trust, Series 2006-AR19, Class 1A2
2.77%		08/25/36	²		29,083,300		20,597,491
IndyMac Index Mortgage Loan Trust, Series 2006-AR21, Class A1
0.27%		08/25/36	²		377,828		261,879
IndyMac Index Mortgage Loan Trust, Series 2006-AR4, Class A1A
0.36%		05/25/46	²		1,973,595		1,716,885
IndyMac Index Mortgage Loan Trust, Series 2006-AR7, Class 1A1
2.88%		05/25/36	²		8,181,321		6,075,457


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
IndyMac Index Mortgage Loan Trust, Series 2006-AR8, Class A3A
0.38%		07/25/46	²	$	42,195,581	$	33,908,875
IndyMac Index Mortgage Loan Trust, Series 2007-AR1, Class 1A2
2.82%		03/25/37	²		2,112,906		1,928,804
IndyMac Index Mortgage Loan Trust, Series 2007-AR11, Class 1A1
2.49%		06/25/37	²		7,896,308		5,140,244
IndyMac Index Mortgage Loan Trust, Series 2007-AR5, Class 2A1
2.72%		05/25/37	²		409,019		301,669
IndyMac Index Mortgage Loan Trust, Series 2007-AR7, Class 1A1
2.82%		11/25/37	²		7,456,076		7,120,985
IndyMac Index Mortgage Loan Trust, Series 2007-AR9, Class 2A1
4.63%		04/25/37	²		679,953		477,901
IndyMac Manufactured Housing Contract, Series 1997-1, Class A3
6.61%		02/25/28			287,463		285,725
IndyMac Residential Asset Backed Trust, Series 2005-C, Class AI1
0.41%		10/25/35	²		20,648,397		20,406,542
JPMorgan Alternative Loan Trust, Series 2006-A2, Class 1A3
0.32%		05/25/36	²		5,576,559		5,006,634
JPMorgan Alternative Loan Trust, Series 2006-A2, Class 2A1
2.69%		05/25/36	²		1,865,154		1,409,791
JPMorgan Alternative Loan Trust, Series 2006-A2, Class 5A1
5.04%		05/25/36	²		18,193,971		14,299,642
JPMorgan Alternative Loan Trust, Series 2006-S4, Class A4 (STEP)
5.96%		12/25/36			38,700,000		31,624,808
JPMorgan Mortgage Acquisition Corp., Series 2006-WF1, Class A6 (STEP)
6.00%		07/25/36			6,590,698		4,049,991
JPMorgan Mortgage Acquisition Corp., Series 2007-CH3, Class A4
0.36%		03/25/37	²		3,566,818		3,048,991
JPMorgan Mortgage Acquisition Corp., Series 2007-HE1, Class AF1
0.25%		03/25/47	²		310,797		227,732
JPMorgan Mortgage Acquisition Corp., Series 2007-HE1, Class AF2 (STEP)
4.56%		03/25/47			9,480,000		7,246,379
JPMorgan Mortgage Acquisition Corp., Series 2007-HE1, Class AF3 (STEP)
4.56%		03/25/47			10,000,000		7,643,050


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
JPMorgan Mortgage Acquisition Corp., Series 2007-HE1, Class AF4 (STEP)
4.56%		03/25/47		$	5,000,000	$	3,820,170
JPMorgan Mortgage Acquisition Corp., Series 2007-HE1, Class AV4
0.43%		03/25/47	²		90,000		50,212
JPMorgan Mortgage Trust, Series 2003-A2, Class 2A3
1.94%		11/25/33	²		437,923		426,670
JPMorgan Mortgage Trust, Series 2004-A4, Class 1A3
2.77%		09/25/34	²		2,757,917		2,869,436
JPMorgan Mortgage Trust, Series 2005-A3, Class 5A3
2.71%		06/25/35	²		267,085		250,577
JPMorgan Mortgage Trust, Series 2005-A5, Class TA1
5.25%		08/25/35	²		451,107		451,203
JPMorgan Mortgage Trust, Series 2005-S2, Class 4A3
5.50%		09/25/20			10,025,582		10,718,771
JPMorgan Mortgage Trust, Series 2006-A2, Class 5A3
2.55%		11/25/33	²		28,121		29,039
JPMorgan Mortgage Trust, Series 2006-A3, Class 2A1
2.76%		05/25/36	²		2,954,281		2,463,734
JPMorgan Mortgage Trust, Series 2006-A3, Class 3A3
2.73%		05/25/36	²		2,315,410		2,060,807
JPMorgan Mortgage Trust, Series 2006-A4, Class 1A1
2.74%		06/25/36	²		1,810,030		1,556,903
JPMorgan Mortgage Trust, Series 2006-A4, Class 1A4
2.74%		06/25/36	²		5,834,960		5,076,078
JPMorgan Mortgage Trust, Series 2006-A5, Class 2A4
2.75%		08/25/36	²		1,335,052		1,152,647
JPMorgan Mortgage Trust, Series 2007-A1, Class 5A2
2.66%		07/25/35	²		7,227,707		7,262,740
JPMorgan Mortgage Trust, Series 2007-A3, Class 2A3
3.37%		05/25/37	²		8,558,258		7,422,577
JPMorgan Mortgage Trust, Series 2007-A3, Class 3A2
4.82%		05/25/37	²		29,962		25,163
JPMorgan Mortgage Trust, Series 2007-A4, Class 2A3
4.44%		06/25/37	²		1,651,490		1,459,826


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
JPMorgan Resecuritization Trust, Series 2010-1, Class 1A1
6.00%		02/26/37	³	$	2,093,078	$	2,164,683
JPMorgan Resecuritization Trust, Series 2010-4, Class 1A1
2.61%		07/26/36	^2,3		586,969		594,083
Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class A4
5.27%		04/15/40			32,179		33,825
Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class A6
6.47%		04/15/40	²		9,321,110		10,041,091
Lehman XS Trust, Series 2005-5N, Class 3A1A
0.45%		11/25/35	²		25,071,321		22,008,257
Lehman XS Trust, Series 2006-10N, Class 1A3A
0.36%		07/25/46	²		22,673,290		17,805,652
Lehman XS Trust, Series 2006-13, Class 1A2
0.32%		09/25/36	²		45,438,580		37,535,266
Lehman XS Trust, Series 2006-14N, Class 3A2
0.27%		08/25/36	²		245,289		180,481
Lehman XS Trust, Series 2006-16N, Class A4A
0.34%		11/25/46	²		666,503		545,058
Lehman XS Trust, Series 2006-19, Class A2
0.32%		12/25/36	²		30,872,553		25,013,776
Lehman XS Trust, Series 2006-9, Class A1B
0.31%		05/25/46	²		56,269,563		45,635,572
Long Beach Mortgage Loan Trust, Series 2004-4, Class M1
1.05%		10/25/34	²		75,000		71,099
MASTR Adjustable Rate Mortgages Trust, Series 2003-6, Class 4A2
4.43%		01/25/34	²		207,486		206,417
MASTR Adjustable Rate Mortgages Trust, Series 2003-7, Class 3A1
2.08%		11/25/33	²		2,496,409		2,576,677
MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Class 3A1
2.65%		11/21/34	²		21,443,099		21,984,912
MASTR Adjustable Rate Mortgages Trust, Series 2004-15, Class 9A1
2.81%		10/25/34	²		2,303,747		2,328,963
MASTR Adjustable Rate Mortgages Trust, Series 2004-5, Class 3A1
2.59%		06/25/34	²		697		648


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
MASTR Alternative Loan Trust, Series 2004-6, Class 3A1
4.75%		07/25/19		$	4,759,699	$	4,970,492
MASTR Asset Securitization Trust, Series 2002-8, Class 1A1
5.50%		12/25/17			30,101		30,977
MASTR Asset Securitization Trust, Series 2003-8, Class 3A12
5.25%		09/25/33			2,233,250		2,425,071
MASTR Asset Securitization Trust, Series 2004-3, Class 3A2
4.50%		03/25/19			2,423,302		2,514,987
MASTR Asset-Backed Securities Trust, Series 2006-HE4, Class A3
0.30%		11/25/36	²		21,429,545		9,423,344
MASTR Asset-Backed Securities Trust, Series 2006-HE4, Class A4
0.36%		11/25/36	²		5,952,651		2,641,185
MASTR Asset-Backed Securities Trust, Series 2007-HE1, Class A3
0.36%		05/25/37	²		26,441,000		17,101,544
MASTR Seasoned Securities Trust, Series 2004-1, Class 4A1
2.58%		10/25/32	²		37,941		38,611
Mellon Residential Funding Corp., Series 2001-TBC1, Class A1
0.86%		11/15/31	²		4,371,528		4,387,804
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2006-FF13, Class A2C
0.31%		10/25/36	²		6,443,506		4,753,463
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-1, Class A2B
0.32%		04/25/37	²		17,814,691		9,727,053
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-1, Class A2C
0.40%		04/25/37	²		42,724,682		23,596,757
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-2, Class A2B
0.32%		05/25/37	²		16,211,977		9,730,736
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-2, Class A2C
0.39%		05/25/37	²		52,400,509		31,665,344
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-2, Class A2D
0.47%		05/25/37	²		27,482,304		16,835,110
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-3, Class A2C
0.33%		06/25/37	²		23,372,500		15,035,027
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-3, Class A2D
0.40%		06/25/37	²		34,732,000		22,910,165


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-4, Class 2A3
0.31%		07/25/37	²	$	37,921,763	$	22,838,003
Merrill Lynch Mortgage Investors Trust, Series 2003-A6, Class 2A
2.65%		10/25/33	²		1,597,847		1,581,529
Merrill Lynch Mortgage Investors Trust, Series 2004-A4, Class A1
2.49%		08/25/34	²		5,739,967		5,869,535
Merrill Lynch Mortgage Investors, Inc., Series 2005-A10, Class A
0.36%		02/25/36	²		31,213		28,701
Merrill Lynch Mortgage Investors, Inc., Series 2006-WMC2, Class A2B (STEP)
4.86%		03/25/37			38,859,507		16,660,443
Merrill Lynch Mortgage Investors, Inc., Series 2006-WMC2, Class A2D (STEP)
4.86%		03/25/37			29,327,444		12,590,946
Merrill Lynch Mortgage-Backed Securities Trust, Series 2007-2, Class 1A1
2.53%		08/25/36	²		2,045,565		1,884,452
Mid-State Trust, Series 11, Class A1
4.86%		07/15/38			399,975		429,769
Mid-State Trust, Series 2004-1, Class A
6.00%		08/15/37			582,679		614,795
Mid-State Trust, Series 2005-1, Class A
5.74%		01/15/40			25,974,017		27,949,587
Mid-State Trust, Series 2006-1, Class A
5.79%		10/15/40	³		17,722,085		18,793,580
Mid-State Trust, Series 6, Class A1
7.34%		07/01/35			131,224		142,260
Mid-State Trust, Series 6, Class A2
7.40%		07/01/35			8,202		8,843
Morgan Stanley Capital I Trust, Series 2005-HE3, Class M2
0.93%		07/25/35	²		67,384		65,504
Morgan Stanley Capital I Trust, Series 2006-NC1, Class A4
0.45%		12/25/35	²		31,040,527		29,538,694
Morgan Stanley Home Equity Loan Trust, Series 2005-3, Class M1
0.60%		08/25/35	²		39,657		39,096
Morgan Stanley Mortgage Loan Trust, Series 2004-11AR, Class 1A1
0.47%		01/25/35	²		540,303		499,968
Morgan Stanley Mortgage Loan Trust, Series 2004-3, Class 2A2
5.50%		04/25/34			656,523		687,924
Morgan Stanley Mortgage Loan Trust, Series 2004-7AR, Class 2A4
2.06%		09/25/34	²		3,354,667		3,222,035


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Morgan Stanley Mortgage Loan Trust, Series 2004-8AR, Class 4A1
2.46%		10/25/34	²	$	293,959	$	289,041
Morgan Stanley Mortgage Loan Trust, Series 2006-7, Class 5A2
5.96%		06/25/36	²		260,738		155,888
Morgan Stanley Mortgage Loan Trust, Series 2007-6XS, Class 1A2S (STEP)
5.50%		02/25/47			780,616		769,735
Morgan Stanley Mortgage Loan Trust, Series 2007-7AX, Class 2A1
0.27%		04/25/37	²		7,727,193		4,286,367
Morgan Stanley Resecuritization Trust, Series 2010-R4, Class 1B
0.49%		01/26/36	^2,3		10,960,748		10,860,139
Morgan Stanley Resecuritization Trust, Series 2010-R9, Class 3A
3.25%		11/26/36	³		46,097		46,387
MortgageIT Trust, Series 2005-4, Class A1
0.43%		10/25/35	²		7,876,456		7,214,755
MortgageIT Trust, Series 2005-5, Class A1
0.41%		12/25/35	²		2,897,754		2,672,283
Nationstar Home Equity Loan Trust, Series 2007-C, Class 2AV4
0.40%		06/25/37	²		7,955,000		5,541,119
New Century Home Equity Loan Trust, Series 2003-6, Class M1
1.23%		01/25/34	²		51,565		46,593
New Century Home Equity Loan Trust, Series 2005-2, Class M1
0.58%		06/25/35	²		65,000		64,119
New Century Home Equity Loan Trust, Series 2005-4, Class A2B
0.42%		09/25/35	²		1,290		1,291
New Century Home Equity Loan Trust, Series 2005-4, Class M1
0.63%		09/25/35	²		36,420,000		35,313,269
Newcastle Mortgage Securities Trust, Series 2006-1, Class A4
0.43%		03/25/36	²		71,929,000		71,593,372
Nomura Resecuritization Trust, Series 2011-4RA, Class 1A1
2.32%		12/26/36	^2,3		40,071,734		40,389,262
Nomura Resecuritization Trust, Series 2013-1R, Class 2A1
0.30%		11/26/36	^2,3		19,783,985		18,926,927
Nomura Resecuritization Trust, Series 2013-1R, Class 3A1
0.32%		10/26/36	^2,3		15,710,330		15,227,321
Oakwood Mortgage Investors, Inc., Series 1998-B, Class A4
6.35%		03/15/17			1,300		1,302


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Octagon Investment Partners XIX Ltd., Series 2014-1A, Class A (Cayman Islands)
1.75%		04/15/26	^2,3,4,†	$	10,000,000	$	9,999,967
Option One Mortgage Loan Trust, Series 2005-4, Class A3
0.41%		11/25/35	²		39,464		38,894
Option One Mortgage Loan Trust, Series 2005-5, Class A3
0.36%		12/25/35	²		47,368		46,787
Ownit Mortgage Loan Asset-Backed Certificates, Series 2006-4, Class A2D
0.39%		05/25/37	²		35,201,271		22,586,544
Park Place Securities, Inc., Series 2004-MHQ1, Class M1
1.20%		12/25/34	²		1,256,097		1,260,793
Park Place Securities, Inc., Series 2005-WHQ4, Class A1A
0.41%		09/25/35	²		62,893,508		62,284,535
Popular ABS Mortgage Pass-Through Trust, Series 2005-3, Class AF6 (STEP)
4.76%		07/25/35			585,337		588,244
Popular ABS Mortgage Pass-Through Trust, Series 2005-6, Class A5 (STEP)
6.08%		01/25/36			22,910,000		17,359,374
Popular ABS Mortgage Pass-Through Trust, Series 2006-D, Class A3
0.41%		11/25/46	²		85,000		68,696
Popular ABS Mortgage Pass-Through Trust, Series 2007-A, Class A3
0.46%		06/25/47	²		23,015,500		14,370,388
Provident Funding Mortgage Loan Trust, Series 2003-1, Class A
2.50%		08/25/33	²		1,525,242		1,550,764
Residential Accredit Loans, Inc., Series 2003-QS3, Class A4
5.50%		02/25/18			121,668		125,295
Residential Accredit Loans, Inc., Series 2005-QA10, Class A31
3.56%		09/25/35	²		1,150,354		965,004
Residential Accredit Loans, Inc., Series 2005-QA12, Class CB1
3.48%		12/25/35	²		7,870,273		5,848,722
Residential Accredit Loans, Inc., Series 2005-QA4, Class A41
3.00%		04/25/35	²		8,034,053		7,935,676
Residential Accredit Loans, Inc., Series 2005-QA7, Class A1
3.16%		07/25/35	²		7,361,706		5,705,234
Residential Accredit Loans, Inc., Series 2005-QA8, Class CB21
3.32%		07/25/35	²		6,287,408		5,258,204


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Residential Accredit Loans, Inc., Series 2005-QA9, Class CB11
3.14%		08/25/35	²	$	13,048,277	$	11,139,945
Residential Accredit Loans, Inc., Series 2005-QO4, Class 2A1
0.43%		12/25/45	²		2,625,280		1,804,763
Residential Accredit Loans, Inc., Series 2005-QO5, Class A1
1.13%		01/25/46	²		14,453,979		10,373,505
Residential Accredit Loans, Inc., Series 2006-Q09, Class 1A2A
0.30%		12/25/46	²		11,401,310		11,115,587
Residential Accredit Loans, Inc., Series 2006-QA1, Class A11
3.23%		01/25/36	²		212,473		164,134
Residential Accredit Loans, Inc., Series 2006-QA1, Class A21
3.73%		01/25/36	²		4,909,818		3,840,932
Residential Accredit Loans, Inc., Series 2006-QS10, Class AV (IO)
0.55%		08/25/36	^2,6		67,321,531		1,735,078
Residential Accredit Loans, Inc., Series 2006-QS12, Class 2A9
0.53%		09/25/36	²		593,954		397,026
Residential Accredit Loans, Inc., Series 2006-QS2, Class 1AV (IO)
0.48%		02/25/36	^2,6		229,311,395		4,311,857
Residential Accredit Loans, Inc., Series 2006-QS7, Class AV (IO)
0.67%		06/25/36	^2,6		119,543,593		3,837,845
Residential Accredit Loans, Inc., Series 2006-QS8, Class AV (IO)
0.77%		08/25/36	^2,6		288,587,480		9,274,927
Residential Accredit Loans, Inc., Series 2007-QS10, Class AV (IO)
0.46%		09/25/37	^2,6		177,599,617		3,266,501
Residential Accredit Loans, Inc., Series 2007-QS4, Class 3AV (IO)
0.38%		03/25/37	^2,6		109,702,340		1,681,956
Residential Accredit Loans, Inc., Series 2007-QS5, Class AV (IO)
0.25%		03/25/37	^2,6		137,203,514		1,254,863
Residential Accredit Loans, Inc., Series 2007-QS6, Class AV (IO)
0.32%		04/25/37	^2,6		300,833,387		4,261,756
Residential Accredit Loans, Inc., Series 2007-QS7, Class 2AV (IO)
0.38%		06/25/37	^2,6		91,509,403		1,417,023
Residential Accredit Loans, Inc., Series 2007-QS8, Class AV (IO)
0.39%		06/25/37	^2,6		235,490,461		3,493,972


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Residential Asset Mortgage Products, Inc., Series 2003-RS10, Class AI6 (STEP)
5.86%		11/25/33		$	615,231	$	657,108
Residential Asset Mortgage Products, Inc., Series 2003-RS11, Class AI6A (STEP)
5.98%		12/25/33			311,823		310,005
Residential Asset Mortgage Products, Inc., Series 2003-RS9, Class AI6A (STEP)
6.11%		10/25/33			35,034		34,503
Residential Asset Mortgage Products, Inc., Series 2004-RS12, Class MII2
1.35%		12/25/34	²		1,037,507		1,023,629
Residential Asset Mortgage Products, Inc., Series 2004-SL1, Class A8
6.50%		11/25/31			97,523		100,843
Residential Asset Mortgage Products, Inc., Series 2004-SL3, Class A2
6.50%		12/25/31			81,152		82,608
Residential Asset Mortgage Products, Inc., Series 2004-SL3, Class A4
8.50%		12/25/31			46,742		44,549
Residential Asset Securities Corp., Series 2004-IP2, Class 1A1
2.48%		12/25/34	²		463,521		469,918
Residential Asset Securities Corp., Series 2004-IP2, Class 2A1
2.50%		12/25/34	²		62,304		63,394
Residential Asset Securities Corp., Series 2004-IP2, Class 3A1
2.49%		12/25/34	²		1,315,718		1,329,152
Residential Asset Securities Corp., Series 2006-A7CB, Class 1A3
6.25%		07/25/36			2,357,621		2,178,032
Residential Funding Mortgage Securities I, Inc., Series 2005-SA5, Class 1A
2.87%		11/25/35	²		14,400,436		11,917,066
Residential Funding Mortgage Securities I, Inc., Series 2006-SA3, Class 3A1
3.86%		09/25/36	²		2,901,073		2,530,032
Residential Funding Mortgage Securities I, Inc., Series 2006-SA3, Class 4A1
6.06%		09/25/36	²		1,166,610		1,017,731
Residential Funding Mortgage Securities I, Inc., Series 2006-SA4, Class 2A1
3.56%		11/25/36	²		252,365		219,191
Residential Funding Mortgage Securities I, Inc., Series 2007-SA2, Class 2A2
3.04%		04/25/37	²		1,573,159		1,374,367
Residential Funding Mortgage Securities II, Inc., Series 1999-HI6, Class AI7 (STEP)
8.60%		09/25/29			92,839		92,949


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Residential Funding Mortgage Securities II, Inc., Series 2000-HI1, Class AI7 (STEP)
8.29%		02/25/25		$	78,796	$	78,667
Residential Funding Mortgage Securities Trust, Series 1999-HI1, Class A6 (STEP)
7.58%		09/25/29			10,726		10,801
Residential Funding Mortgage Securities Trust, Series 2003-S7, Class A7
5.50%		05/25/33			2,488,331		2,651,013
Residential Funding Mortgage Securities Trust, Series 2004-S2, Class A9
5.50%		03/25/34			1,394,726		1,539,281
Residential Funding Mortgage Securities Trust, Series 2004-S6, Class 1A6
5.50%		06/25/34			963,350		1,038,805
Saxon Asset Securities Trust, Series 2001-2, Class AF6 (STEP)
6.81%		06/25/16			21,124		22,142
Saxon Asset Securities Trust, Series 2005-2, Class M1
0.57%		10/25/35	²		21,508,333		21,490,266
Saxon Asset Securities Trust, Series 2007-1, Class A2C
0.30%		01/25/47	²		13,135,000		9,305,283
Saxon Asset Securities Trust, Series 2007-3, Class 2A3
0.55%		09/25/47	²		32,174,000		19,180,382
Sequoia Mortgage Trust, Series 2004-3, Class A
0.88%		05/20/34	²		1,666,034		1,596,023
SG Mortgage Securities Trust, Series 2006-FRE1, Class A1B
0.42%		02/25/36	²		1,885,327		1,454,106
SG Mortgage Securities Trust, Series 2007-NC1, Class A2
0.39%		12/25/36	^2,3		13,875,516		8,096,003
Soundview Home Equity Loan Trust, Series 2006-1, Class A3
0.34%		02/25/36	²		10,856,612		10,655,228
Soundview Home Equity Loan Trust, Series 2006-WF2, Class A2C
0.29%		12/25/36	²		29,145,659		28,777,482
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-1, Class 3A3
2.50%		02/25/34	²		45,898		46,593
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-12, Class 2A
2.40%		09/25/34	²		27,163,910		27,086,601
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-14, Class 1A
2.48%		10/25/34	²		378,274		383,460


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-14, Class 2A
2.38%		10/25/34	²	$	32,324,040	$	32,890,648
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-15, Class A
2.48%		10/25/34	²		5,176,162		5,036,643
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-16, Class 3A1
2.49%		11/25/34	²		23,418,942		23,456,042
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-17, Class A1
1.02%		11/25/34	²		109,341		104,025
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-20, Class 1A2
2.49%		01/25/35	²		1,612,862		1,547,142
Structured Adjustable Rate Mortgage Loan Trust, Series 2006-1, Class 5A1
2.58%		02/25/36	²		529,313		526,843
Structured Adjustable Rate Mortgage Loan Trust, Series 2007-9, Class 2A1
2.64%		10/25/47	²		1,863,231		1,441,852
Structured Asset Investment Loan Trust, Series 2006-1, Class A3
0.35%		01/25/36	²		14,617,506		14,232,693
Structured Asset Mortgage Investments, Inc., Series 2006-AR3, Class 24A1
2.31%		05/25/36	²		846,073		538,293
Structured Asset Mortgage Investments, Inc., Series 2007-AR3, Class 1A2
0.32%		04/25/37	²		2,689,120		2,693,761
Structured Asset Mortgage Investments, Inc., Series 2007-AR6, Class A1
1.63%		08/25/47	²		144,191,677		127,635,444
Structured Asset Securities Corp. Mortgage Loan Trust, Series 2006-BC4, Class A3
0.26%		12/25/36	²		7,169,858		7,156,338
Structured Asset Securities Corp. Mortgage Pass-Through Certificates, Series 2004-23XS, Class 2A1
0.45%		01/25/35	²		5,422,216		4,778,895
Structured Asset Securities Corp. Trust, Series 2005-5, Class 2A4
5.50%		04/25/35			10,308,093		10,281,519
Structured Asset Securities Corp., Series 1997-2, Class 2A4
7.25%		03/28/30			3,262		3,300
Structured Asset Securities Corp., Series 2001-15A, Class 4A1
2.18%		10/25/31	²		11,445		11,437
Structured Asset Securities Corp., Series 2003-26A, Class 3A5
2.44%		09/25/33	²		588,793		587,970


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Structured Asset Securities Corp., Series 2003-34A, Class 5A4
2.41%		11/25/33	²	$	4,359,149	$	4,432,367
Structured Asset Securities Corp., Series 2003-7H, Class A12
6.50%		03/25/33			47,805		50,375
Structured Asset Securities Corp., Series 2005-17, Class 4A4
5.50%		10/25/35			9,928,585		10,057,683
Structured Asset Securities Corp., Series 2005-WF4, Class A4
0.51%		11/25/35	²		10,058,123		10,044,726
Structured Asset Securities Corp., Series 2006-WF1, Class A5
0.45%		02/25/36	²		17,863,949		17,527,660
Structured Asset Securities Corp., Series 2006-WF2, Class A3
0.30%		07/25/36	²		9,623,437		9,558,316
Structured Asset Securities Corp., Series 2006-WF2, Class A4
0.46%		07/25/36	²		43,826,000		40,454,992
Structured Asset Securities Corp., Series 2006-WF3, Class A1
0.29%		09/25/36	²		24,641,418		23,818,449
Structured Asset Securities Corp., Series 2006-WF3, Class A3
0.30%		09/25/36	²		4,883,789		4,801,676
Structured Asset Securities Corp., Series 2007-BC4, Class A3
0.40%		11/25/37	²		6,126,480		6,058,069
Suntrust Adjustable Rate Mortgage Loan Trust, Series 2007-3, Class 1A1
2.84%		06/25/37	²		14,337,328		13,030,409
Thornburg Mortgage Securities Trust, Series 2004-4, Class 2A
2.03%		12/25/44	²		386,471		379,079
Vanderbilt Acquisition Loan Trust, Series 2002-1, Class A4
6.57%		05/07/27	²		2,178,368		2,281,362
Wachovia Bank Commercial Mortgage Trust, Series 2006-AMN1, Class A3
0.39%		08/25/36	²		1,877,504		1,112,251
WaMu Alternative Mortgage Pass-Through Certificates, Series 2005-3, Class 2A3
0.70%		05/25/35	²		8,640,894		6,971,767
WaMu Alternative Mortgage Pass-Through Certificates, Series 2005-4, Class CB13
0.65%		06/25/35	²		14,865,921		11,276,251
WaMu Alternative Mortgage Pass-Through Certificates, Series 2006-AR2, Class A1A
1.07%		04/25/46	²		18,262,549		14,499,715


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
WaMu Alternative Mortgage Pass-Through Certificates, Series 2006-AR3, Class A1A
1.10%		05/25/46	²	$	33,173,563	$	24,895,929
WaMu Alternative Mortgage Pass-Through Certificates, Series 2006-AR7, Class A1A
1.05%		09/25/46	²		9,437,477		5,894,714
WaMu Alternative Mortgage Pass-Through Certificates, Series 2007-1, Class 2A1
6.00%		01/25/22			838,899		820,495
WaMu Alternative Mortgage Pass-Through Certificates, Series 2007-OA1, Class 2A
0.85%		12/25/46	²		9,233,067		5,723,366
WaMu Alternative Mortgage Pass-Through Certificates, Series 2007-OA2, Class 2A
0.83%		01/25/47	²		22,587,943		16,170,234
WaMu Alternative Mortgage Pass-Through Certificates, Series 2007-OA3, Class 2A
0.88%		02/25/47	²		43,446,998		29,575,414
WaMu Alternative Mortgage Pass-Through Certificates, Series 2007-OA3, Class 4A1
0.90%		04/25/47	²		2,741,605		2,141,558
WaMu Asset-Backed Certificates, Series 2007-HE1, Class 2A2
0.26%		01/25/37	²		6,034,856		3,441,232
WaMu Asset-Backed Certificates, Series 2007-HE1, Class 2A3
0.30%		01/25/37	²		55,708,503		32,069,268
WaMu Asset-Backed Certificates, Series 2007-HE1, Class 2A4
0.38%		01/25/37	²		18,700,404		10,833,168
WaMu Asset-Backed Certificates, Series 2007-HE2, Class 2A4
0.51%		04/25/37	²		1,569,124		791,275
WaMu Asset-Backed Certificates, Series 2007-HE3, Class 2A5
0.40%		05/25/47	²		10,550,704		6,671,200
WaMu Mortgage Pass-Through Certificates, Series 2002-AR1, Class 1A1
2.33%		11/25/30	²		526,403		513,780
WaMu Mortgage Pass-Through Certificates, Series 2002-AR18, Class A
2.50%		01/25/33	²		27,868		28,396
WaMu Mortgage Pass-Through Certificates, Series 2003-AR6, Class A1
2.44%		06/25/33	²		14,641,269		14,888,904
WaMu Mortgage Pass-Through Certificates, Series 2004-AR3, Class A2
2.44%		06/25/34	²		132,628		135,591
WaMu Mortgage Pass-Through Certificates, Series 2004-AR6, Class A
0.61%		05/25/44	²		139,800		134,851


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
WaMu Mortgage Pass-Through Certificates, Series 2005-AR1, Class A1A
0.47%		01/25/45	²	$	1,939,472	$	1,845,978
WaMu Mortgage Pass-Through Certificates, Series 2005-AR11, Class A1A
0.47%		08/25/45	²		93,808,965		87,720,669
WaMu Mortgage Pass-Through Certificates, Series 2005-AR12, Class 1A6
2.35%		10/25/35	²		310,000		297,417
WaMu Mortgage Pass-Through Certificates, Series 2005-AR13, Class A1A1
0.44%		10/25/45	²		246,008		227,975
WaMu Mortgage Pass-Through Certificates, Series 2005-AR14, Class 2A1
2.48%		12/25/35	²		11,732,204		10,987,115
WaMu Mortgage Pass-Through Certificates, Series 2005-AR15, Class A1A1
0.41%		11/25/45	²		38,964,815		36,157,906
WaMu Mortgage Pass-Through Certificates, Series 2005-AR19, Class A1A2
0.44%		12/25/45	²		19,272,102		17,996,617
WaMu Mortgage Pass-Through Certificates, Series 2005-AR2, Class 1A1A
0.48%		01/25/45	²		28,114,839		26,154,813
WaMu Mortgage Pass-Through Certificates, Series 2005-AR2, Class 2A1A
0.46%		01/25/45	²		3,104,990		2,908,548
WaMu Mortgage Pass-Through Certificates, Series 2005-AR6, Class 2A1A
0.38%		04/25/45	²		415,629		389,505
WaMu Mortgage Pass-Through Certificates, Series 2006-AR1, Class 2A1A
1.20%		01/25/46	²		78,832,106		76,199,965
WaMu Mortgage Pass-Through Certificates, Series 2006-AR16, Class 3A1
4.16%		12/25/36	²		1,922,213		1,752,514
WaMu Mortgage Pass-Through Certificates, Series 2006-AR3, Class A1A
1.14%		02/25/46	²		1,756,952		1,645,943
WaMu Mortgage Pass-Through Certificates, Series 2006-AR4, Class 1A1A
1.07%		05/25/46	²		1,756,021		1,657,172
WaMu Mortgage Pass-Through Certificates, Series 2006-AR7, Class 2A
1.11%		07/25/46	²		5,453,465		4,594,588
WaMu Mortgage Pass-Through Certificates, Series 2006-AR9, Class 2A
2.28%		08/25/46	²		1,850,145		1,725,971
WaMu Mortgage Pass-Through Certificates, Series 2007-HE2, Class 2A3
0.40%		04/25/37	²		35,601,216		17,769,510


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
WaMu Mortgage Pass-Through Certificates, Series 2007-HY1, Class 1A1
2.22%		02/25/37	²	$	2,423,013	$	1,999,965
WaMu Mortgage Pass-Through Certificates, Series 2007-HY1, Class 4A1
2.45%		02/25/37	²		991,640		875,330
WaMu Mortgage Pass-Through Certificates, Series 2007-HY6, Class 2A1
4.30%		06/25/37	²		870,786		736,021
WaMu Mortgage Pass-Through Certificates, Series 2007-HY7, Class 4A2
4.73%		07/25/37	²		767,496		711,556
WaMu Mortgage Pass-Through Certificates, Series 2007-OA1, Class A1A
0.83%		02/25/47	²		20,154,200		16,496,757
WaMu Mortgage Pass-Through Certificates, Series 2007-OA3, Class 5A
2.03%		04/25/47	²		7,343,118		5,342,228
Wells Fargo Alternative Loan Trust, Series 2007-PA5, Class 1A1
6.25%		11/25/37			673,116		641,266
Wells Fargo Home Equity Trust, Series 2004-2, Class AI6
5.00%		05/25/34	²		4,900,484		4,962,076
Wells Fargo Mortgage-Backed Securities Trust, Series 2003-17, Class 2A10
5.50%		01/25/34			8,388,294		8,597,982
Wells Fargo Mortgage-Backed Securities Trust, Series 2003-M, Class A1
2.62%		12/25/33	²		2,681,623		2,685,077
Wells Fargo Mortgage-Backed Securities Trust, Series 2004-L, Class A8
4.67%		07/25/34	²		733,306		739,484
Wells Fargo Mortgage-Backed Securities Trust, Series 2004-S, Class A1
2.62%		09/25/34	²		6,933,933		7,130,839
Wells Fargo Mortgage-Backed Securities Trust, Series 2005-AR10, Class 2A14
2.61%		06/25/35	²		3,000,800		3,029,722
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-10, Class A4
6.00%		08/25/36			7,351,116		7,543,108
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-2, Class 2A3
5.50%		03/25/36			766,057		738,437
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR10, Class 5A1
2.61%		07/25/36	²		624,225		606,074
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR10, Class 5A2
2.61%		07/25/36	²		211,700		205,544


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR10, Class 5A3
2.61%		07/25/36	²	$	452,755	$	440,237
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR10, Class 5A6
2.61%		07/25/36	²		2,138,683		2,079,553
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR17, Class A1
2.61%		10/25/36	²		5,025,794		4,804,649
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR8, Class 1A3
2.62%		04/25/36	²		28,496		28,392
Wells Fargo Mortgage-Backed Securities Trust, Series 2007-5, Class 1A1
5.50%		05/25/37			12,770,457		13,514,259
Wells Fargo Mortgage-Backed Securities, Series 2005-AR10, Class 2A17
2.61%		06/25/35	²		70,482,667		71,563,590

							4,111,553,659

U.S. Agency Mortgage-Backed — 27.06%
Fannie Mae FNCL (TBA)
4.50%		04/25/39			300,830,000		320,995,026
Fannie Mae Pool (TBA)
2.50%		04/25/28			317,910,000		317,760,996
3.00%		04/25/27			129,580,000		133,143,450
3.00%		04/25/43			645,675,000		623,379,003
3.50%		04/25/26			287,405,000		301,415,994
3.50%		04/25/42			731,190,000		735,759,938
4.00%		04/25/41			481,945,000		501,072,192
Fannie Mae Pool 190375
5.50%		11/01/36			3,102,506		3,434,935
Fannie Mae Pool 254232
6.50%		03/01/22			60,975		68,525
Fannie Mae Pool 313182
7.50%		10/01/26			6,154		6,922
Fannie Mae Pool 394854
6.50%		05/01/27			2,483		2,836
Fannie Mae Pool 467243
4.55%		01/01/21			2,649,981		2,923,056
Fannie Mae Pool 468587
3.84%		08/01/21			791,488		845,835
Fannie Mae Pool 545191
7.00%		09/01/31			17,074		19,063
Fannie Mae Pool 545831
6.50%		08/01/17			22,161		23,614
Fannie Mae Pool 555284
7.50%		10/01/17			2,328		2,482
Fannie Mae Pool 606108
7.00%		03/01/31			6,110		6,379


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool 613142
7.00%		11/01/31		$	28,740	$	33,300
Fannie Mae Pool 625666
7.00%		01/01/32			21,474		24,299
Fannie Mae Pool 633698
7.50%		02/01/31			125,266		149,359
Fannie Mae Pool 637093
8.50%		03/01/32			13,061		14,194
Fannie Mae Pool 646884
1.79%		05/01/32	²		7,328		7,532
Fannie Mae Pool 655928
7.00%		08/01/32			306,575		346,878
Fannie Mae Pool 725257
5.50%		02/01/34			3,244,153		3,611,166
Fannie Mae Pool 734922
4.50%		09/01/33			4,882,295		5,226,844
Fannie Mae Pool 735207
7.00%		04/01/34			59,766		67,639
Fannie Mae Pool 735224
5.50%		02/01/35			13,459,194		14,980,301
Fannie Mae Pool 735646
4.50%		07/01/20			3,694,607		3,923,595
Fannie Mae Pool 735651
4.50%		06/01/35			13,728,730		14,688,379
Fannie Mae Pool 735686
6.50%		12/01/22			111,724		125,416
Fannie Mae Pool 740297
5.50%		10/01/33			6,403		7,127
Fannie Mae Pool 745592
5.00%		01/01/21			19,869		21,295
Fannie Mae Pool 817611
5.31%		11/01/35	²		1,149,417		1,240,555
Fannie Mae Pool 839109
5.33%		11/01/35	²		20,973		22,637
Fannie Mae Pool 841031
5.23%		11/01/35	²		103,891		112,147
Fannie Mae Pool 844773
5.21%		12/01/35	²		27,144		29,302
Fannie Mae Pool 888412
7.00%		04/01/37			1,813,116		2,004,396
Fannie Mae Pool 889125
5.00%		12/01/21			12,086,982		12,954,210
Fannie Mae Pool 889184
5.50%		09/01/36			12,171,809		13,547,578
Fannie Mae Pool 895606
5.78%		06/01/36	²		81,509		87,199
Fannie Mae Pool 908408
4.69%		04/01/37	²		6,858,067		7,342,130


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool 918445
6.04%		05/01/37	²	$	129,442	$	139,352
Fannie Mae Pool 933033
6.50%		10/01/37			2,884,837		3,184,026
Fannie Mae Pool AB1613
4.00%		10/01/40			77,173,828		80,525,318
Fannie Mae Pool AB1803
4.00%		11/01/40			81,836,947		85,466,020
Fannie Mae Pool AB2127
3.50%		01/01/26			57,331,521		60,218,994
Fannie Mae Pool AB3679
3.50%		10/01/41			27,736,951		27,963,396
Fannie Mae Pool AB3864
3.50%		11/01/41			22,495,843		22,686,530
Fannie Mae Pool AB3866
3.50%		11/01/41			81,662,750		82,283,637
Fannie Mae Pool AB4044
3.50%		12/01/41			34,759,362		35,023,639
Fannie Mae Pool AB4045
3.50%		12/01/41			23,520,983		23,749,761
Fannie Mae Pool AB9703
3.50%		06/01/43			53,635,036		53,476,884
Fannie Mae Pool AD0791
4.76%		02/01/20			18,920,034		21,162,595
Fannie Mae Pool AD0849
4.25%		02/01/20			29,252,538		31,759,210
Fannie Mae Pool AD0850
4.31%		02/01/20			49,011,987		53,816,279
Fannie Mae Pool AE0482
5.50%		01/01/38			28,645,675		31,957,590
Fannie Mae Pool AE0600
3.98%		11/01/20			41,078,224		44,408,140
Fannie Mae Pool AE0605
4.67%		07/01/20			31,867,189		35,431,174
Fannie Mae Pool AE0918
3.66%		10/01/20			6,179,559		6,566,265
Fannie Mae Pool AH3780
4.00%		02/01/41			33,698,298		35,196,868
Fannie Mae Pool AJ0764
4.50%		09/01/41			54,397		58,058
Fannie Mae Pool AJ1404
4.00%		09/01/41			58,705,007		61,151,811
Fannie Mae Pool AL0209
4.50%		05/01/41			52,256,982		56,215,036
Fannie Mae Pool AL0290
4.45%		04/01/21			32,892,106		36,090,312
Fannie Mae Pool AL0600
4.30%		07/01/21			4,708,964		5,133,338


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool AL0834
4.06%		10/01/21		$	39,587,998	$	42,564,648
Fannie Mae Pool AL0851
6.00%		10/01/40			66,395,498		74,028,152
Fannie Mae Pool AL1410
4.50%		12/01/41			66,065,470		70,511,983
Fannie Mae Pool AL1445
4.34%		11/01/21			81,077,147		89,239,633
Fannie Mae Pool AL2602
2.65%		10/01/22			117,629		115,417
Fannie Mae Pool AL2669
4.48%		09/01/21			35,927,702		39,424,012
Fannie Mae Pool AL3306
2.46%		04/01/23			44,203		42,539
Fannie Mae Pool AU3739
3.50%		08/01/43			78,197,029		78,939,283
Fannie Mae Pool FN0000
3.58%		09/01/20			11,007,162		11,653,695
Fannie Mae Pool FN0001
3.76%		12/01/20			25,931,253		27,478,093
Fannie Mae Pool FN0002
3.31%		12/01/17			1,463,538		1,552,365
Fannie Mae Pool FN0003
4.30%		01/01/21			8,915,001		9,762,361
Fannie Mae Pool FN0005
3.38%		11/01/20			43,044,715		45,127,680
Fannie Mae Pool FN0007
3.46%		11/01/20			80,000		84,193
Fannie Mae Pool FN0010
3.84%		09/01/20			343,612		367,655
Fannie Mae Pool MA1490
3.00%		07/01/33			48,096,538		48,030,850
Fannie Mae Pool MA1527
3.00%		07/01/33			157,912,730		157,696,925
Fannie Mae Pool MA1561
3.00%		09/01/33			81,755,188		81,643,427
Fannie Mae Pool MA1582
3.50%		09/01/43			34,969,333		34,866,591
Fannie Mae Pool MA1584
3.50%		09/01/33			161,474,686		165,769,273
Fannie Mae REMICS, Series 2005-122, Class SG (IO)
6.45%		11/25/35	²		278,385		44,522
Fannie Mae REMICS, Series 2006-49,
Class SE
28.38%		04/25/36	²		7,934,173		12,741,619
Fannie Mae REMICS, Series 2007-17, Class SI (IO)
6.25%		03/25/37	²		10,001,760		1,163,461


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae REMICS, Series 2010-116, Class SE (IO)
6.45%		10/25/40	²	$	16,148,667	$	2,835,024
Fannie Mae REMICS, Series 2013-101, Class BO (PO)
0.00%		10/25/43	¹²		36,929,638		27,918,637
Fannie Mae REMICS, Series 2013-101, Class CO (PO)
0.00%		10/25/43	¹²		22,689,391		17,140,733
Fannie Mae REMICS, Series G92-12, Class B
7.70%		02/25/22			603		656
Fannie Mae Whole Loan, Series 2003-W2, Class 2A9
5.90%		07/25/42			53,265		59,819
Fannie Mae, Pool MA1608
3.50%		10/01/33			108,850,964		112,066,617
Fannie Mae, Series 1988-28, Class H
9.05%		12/25/18			1,320		1,426
Fannie Mae, Series 1989-27, Class Y
6.90%		06/25/19			476		515
Fannie Mae, Series 1991-65, Class Z
6.50%		06/25/21			10,380		11,293
Fannie Mae, Series 1992-123, Class Z
7.50%		07/25/22			1,944		2,284
Fannie Mae, Series 1993-132, Class D (PO)
0.00%		10/25/22	¹²		98,885		94,197
Fannie Mae, Series 1993-199, Class SD (IO)
0.88%		10/25/23	²		149,616		1,753
Fannie Mae, Series 1993-29, Class PK
7.00%		03/25/23			25,178		27,831
Fannie Mae, Series 1994-55, Class H
7.00%		03/25/24			40,491		45,143
Fannie Mae, Series 1997-34, Class SA
4.26%		10/25/23	²		9,995		11,217
Fannie Mae, Series 1999-11, Class Z
5.50%		03/25/29			114,335		124,385
Fannie Mae, Series 2001-52, Class YZ
6.50%		10/25/31			277,556		309,614
Fannie Mae, Series 2003-106, Class WG
4.50%		11/25/23			32,004,000		34,422,990
Fannie Mae, Series 2005-104, Class NI (IO)
6.55%		03/25/35	²		50,875,293		6,696,064
Fannie Mae, Series 2005-117, Class LC
5.50%		11/25/35			26,668,958		28,853,336
Fannie Mae, Series 2005-92, Class US (IO)
5.95%		10/25/25	²		18,642,544		2,528,960
Fannie Mae, Series 2006-18, Class PD
5.50%		08/25/34			689,865		713,811


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae, Series 2006-4, Class WE
4.50%		02/25/36		$	254,096	$	266,692
Fannie Mae, Series 2006-80, Class PG
6.00%		06/25/35			2,276,825		2,296,192
Fannie Mae, Series 2007-34, Class SB (IO)
5.96%		04/25/37	²		13,230,962		2,409,686
Fannie Mae, Series 2008-24, Class NA
6.75%		06/25/37			3,919,589		4,251,769
Fannie Mae, Series 2010-17, Class SB (IO)
6.20%		03/25/40	²		24,016,505		3,753,451
Fannie Mae, Series 2010-43, Class KS (IO)
6.27%		05/25/40	²		44,397,392		7,147,561
Fannie Mae, Series 2011-101, Class HE
4.00%		10/25/41			10,100,000		10,400,040
Fannie Mae, Series 2011-111, Class DB
4.00%		11/25/41			24,977,334		25,572,681
Fannie Mae, Series 2012-M12, Class 1A
2.84%		08/25/22	²		145,865,226		145,656,697
Fannie Mae, Series 2012-M15, Class A
2.66%		10/25/22	²		115,081,566		112,409,188
Fannie Mae, Series G92-36, Class Z
7.00%		07/25/22			343		373
Fannie Mae, Series G93-21, Class Z
7.20%		05/25/23			7,907		8,897
Freddie Mac Gold Pool A24156
6.50%		10/01/31			775,415		881,881
Freddie Mac Gold Pool A25162
5.50%		05/01/34			6,933,567		7,672,154
Freddie Mac Gold Pool A39012
5.50%		06/01/35			113,021		124,848
Freddie Mac Gold Pool A54856
5.00%		01/01/34			9,862,569		10,767,382
Freddie Mac Gold Pool A61164
5.00%		04/01/36			40,115		43,832
Freddie Mac Gold Pool A97038
4.00%		02/01/41			29,206,287		30,375,682
Freddie Mac Gold Pool C01492
5.00%		02/01/33			2,255,598		2,466,003
Freddie Mac Gold Pool C46104
6.50%		09/01/29			44,949		51,529
Freddie Mac Gold Pool C55789
7.50%		10/01/27			22,848		25,786
Freddie Mac Gold Pool C90573
6.50%		08/01/22			161,330		182,220
Freddie Mac Gold Pool E02402
6.00%		10/01/22			43,598		47,879
Freddie Mac Gold Pool G00992
7.00%		11/01/28			2,956		3,413


Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Gold Pool G01515
5.00%		02/01/33	$	2,143,179	$	2,343,098
Freddie Mac Gold Pool G02579
5.00%		12/01/34		2,813,663		3,074,496
Freddie Mac Gold Pool G02884
6.00%		04/01/37		10,497,437		11,725,909
Freddie Mac Gold Pool G02955
5.50%		03/01/37		9,744,837		10,941,709
Freddie Mac Gold Pool G03357
5.50%		08/01/37		3,244,453		3,580,431
Freddie Mac Gold Pool G03676
5.50%		12/01/37		8,154,461		9,137,093
Freddie Mac Gold Pool G03783
5.50%		01/01/38		4,807,037		5,309,334
Freddie Mac Gold Pool G03985
6.00%		03/01/38		87,361		96,831
Freddie Mac Gold Pool G04438
5.50%		05/01/38		16,493,921		18,327,406
Freddie Mac Gold Pool G04703
5.50%		08/01/38		17,062,676		18,827,745
Freddie Mac Gold Pool G04706
5.50%		09/01/38		477,391		534,292
Freddie Mac Gold Pool G05866
4.50%		02/01/40		41,735,475		44,819,982
Freddie Mac Gold Pool G06361
4.00%		03/01/41		52,104		54,350
Freddie Mac Gold Pool G06498
4.00%		04/01/41		54,285,042		56,526,428
Freddie Mac Gold Pool G06499
4.00%		03/01/41		25,395,041		26,423,739
Freddie Mac Gold Pool G06620
4.50%		07/01/41		66,403,559		71,197,062
Freddie Mac Gold Pool G11707
6.00%		03/01/20		1,282,838		1,373,400
Freddie Mac Gold Pool G12393
5.50%		10/01/21		9,564,175		10,346,015
Freddie Mac Gold Pool G12399
6.00%		09/01/21		5,269		5,785
Freddie Mac Gold Pool G12824
6.00%		08/01/22		4,337,657		4,774,228
Freddie Mac Gold Pool G12909
6.00%		11/01/22		11,565,802		12,747,452
Freddie Mac Gold Pool G13032
6.00%		09/01/22		2,393,162		2,630,958
Freddie Mac Gold Pool G13058
4.50%		10/01/20		7,177,666		7,602,382
Freddie Mac Gold Pool H00790
5.50%		05/01/37		99,984		108,374


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Gold Pool H03161
6.50%		08/01/37		$	11,980	$	12,996
Freddie Mac Gold Pool H05069
5.50%		05/01/37			5,465,945		5,897,883
Freddie Mac Gold Pool H09082
6.50%		09/01/37			16,995		18,771
Freddie Mac Gold Pool Q05804
4.00%		01/01/42			82,708,381		86,297,526
Freddie Mac Gold Pool U95034
4.00%		09/01/42			61,937,983		63,866,292
Freddie Mac Gold Pool U99054
4.00%		06/01/43			65,024,591		67,048,995
Freddie Mac Gold Pool V80356
3.50%		08/01/43			80,116,428		80,714,114
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K010, Class A2
4.33%		10/25/20			60,000		66,103
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K013, Class A2
3.97%		01/25/21	²		22,640,000		24,440,106
Freddie Mac Pool G07408
3.50%		06/01/43			44,041,532		44,397,215
Freddie Mac REMICS, Series 2313, Class LA
6.50%		05/15/31			35,923		40,858
Freddie Mac REMICS, Series 3019, Class SW (IO)
7.04%		08/15/35	²		5,753,232		1,265,912
Freddie Mac REMICS, Series 3300, Class SA (IO)
7.04%		08/15/35	²		2,543,632		328,342
Freddie Mac REMICS, Series 3425, Class SV (IO)
5.90%		08/15/35	²		7,324,860		1,063,401
Freddie Mac REMICS, Series 3891, Class HS (IO)
5.80%		07/15/4	¹²		22,777,701		3,320,271
Freddie Mac REMICS, Series 4102, Class TC
2.50%		09/15/41			41,156,718		40,936,465
Freddie Mac Strips, Series 309, Class PO (PO)
0.00%		08/15/431	²		58,324,802		43,837,338
Freddie Mac Strips, Series 319, Class F2
0.66%		11/15/43	²		11,770,428		11,723,555
Freddie Mac, Series 1004, Class H
7.95%		10/15/20			340		374
Freddie Mac, Series 1073, Class G
7.00%		05/15/21			1,564		1,731


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac, Series 1107, Class ZC
6.50%		07/15/21		$	6,585	$	7,193
Freddie Mac, Series 165, Class K
6.50%		09/15/21			156		169
Freddie Mac, Series 1980, Class Z
7.00%		07/15/27			204,612		233,592
Freddie Mac, Series 1983, Class Z
6.50%		12/15/23			103,224		114,103
Freddie Mac, Series 2098, Class TZ
6.00%		01/15/28			893,158		912,763
Freddie Mac, Series 2174, Class PN
6.00%		07/15/29			54,308		59,338
Freddie Mac, Series 2433, Class SA
20.53%		02/15/32	²		31,651		44,015
Freddie Mac, Series 2481, Class AW
6.50%		08/15/32			120,324		133,331
Freddie Mac, Series 2642, Class BW (IO)
5.00%		06/15/23			68,780		6,761
Freddie Mac, Series 2929, Class PE
5.00%		05/15/33			15,296		15,285
Freddie Mac, Series 2971, Class AB
5.00%		05/15/20			9,109		9,661
Freddie Mac, Series 3063, Class YG
5.50%		11/15/35			8,794,000		9,814,874
Freddie Mac, Series 3067, Class SI (IO)
6.50%		11/15/35	²		28,823,440		4,619,809
Freddie Mac, Series 3210, Class PD
6.00%		08/15/35			216,915		223,287
Freddie Mac, Series 3345, Class FP
0.36%		11/15/36	²		7,267,991		7,268,573
Freddie Mac, Series 3345, Class PF
0.34%		05/15/36	²		7,854,872		7,855,743
Freddie Mac, Series 3707, Class EI (IO)
5.00%		12/15/38			54,233,576		9,088,430
Freddie Mac, Series 3752, Class XL
4.50%		11/15/40			66,277,000		71,950,046
Freddie Mac, Series 3904, Class JB
4.50%		08/15/41			18,155,000		19,405,698
Freddie Mac, Series 3925, Class LB
4.50%		09/15/41			9,215,000		10,056,928
Freddie Mac, Series 3928, Class JD
4.00%		09/15/41			32,095,702		33,310,621
Freddie Mac, Series 4161, Class BA
2.50%		12/15/41			58,153,226		58,026,016
Freddie Mac, Series K020, Class A2
2.37%		05/25/40			110,305,000		105,946,188
Ginnie Mae I Pool 782817
4.50%		11/15/39			49,712,573		53,811,842


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Ginnie Mae II Pool (TBA)
3.00%		04/20/43		$	132,130,000	$	129,962,236
3.50%		04/20/43			95,355,000		97,336,591
4.50%		04/21/44			188,735,000		203,509,421
Ginnie Mae II Pool 2631
7.00%		08/20/28			4,968		5,777
Ginnie Mae II Pool 80968
1.62%		07/20/34	²		35,650		36,921
Ginnie Mae II Pool 81267
1.62%		03/20/35	²		68,735		71,521
Ginnie Mae II Pool 8631
2.00%		05/20/25	²		10,887		11,378
Ginnie Mae II Pool 8644
2.50%		06/20/25	²		17,979		18,822
Ginnie Mae II Pool G281432
1.62%		08/20/35	²		65,413		68,035
Ginnie Mae II Pool G281497
1.62%		10/20/35	²		61,078		63,729
Ginnie Mae, Series 2000-22, Class SG (IO)
10.64%		05/16/30	²		392,865		62,693
Ginnie Mae, Series 2003-86, Class ZK
5.00%		10/20/33			23,346,578		25,341,156
Ginnie Mae, Series 2004-93, Class PC
5.00%		04/16/34			244,690		260,886
Ginnie Mae, Series 2005-78, Class ZA
5.00%		10/16/35			23,741,627		26,126,862
Ginnie Mae, Series 2007-35, Class PY (IO)
6.60%		06/16/37	²		40,596,456		6,695,557
Ginnie Mae, Series 2009-106, Class SD (IO)
6.09%		03/20/36	²		37,112,473		5,895,417
Ginnie Mae, Series 2009-106, Class XI (IO)
6.64%		05/20/37	²		96,571,668		16,308,589
Ginnie Mae, Series 2009-124, Class SC (IO)
6.32%		12/20/39	²		16,903,978		2,535,845
Ginnie Mae, Series 2010-4, Class SL (IO)
6.24%		01/16/40	²		191,395		30,703
Ginnie Mae, Series 2010-4, Class SM (IO)
5.64%		01/16/40	²		34,799,102		4,104,481
Ginnie Mae, Series 2010-6, Class BS (IO)
6.34%		09/16/39	²		16,372,833		2,004,745
Ginnie Mae, Series 2011-146, Class EI (IO)
5.00%		11/16/41			159,420		39,209
Ginnie Mae, Series 2011-50, Class PS (IO)
5.94%		02/20/412			85,099,900		14,351,170
NCUA Guaranteed Notes, Series 2010-C1, Class A2
2.90%		10/29/20			773,000		805,855


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
NCUA Guaranteed Notes, Series 2010-R1, Class 1A
0.61%		10/07/20	²	$	32,753,074	$	32,949,464
NCUA Guaranteed Notes, Series 2010-R3, Class 1A
0.72%		12/08/20	²		45,343,330		45,749,198
NCUA Guaranteed Notes, Series 2010-R3, Class 2A
0.72%		12/08/20	²		38,041,513		38,415,984
NCUA Guaranteed Notes, Series 2011-C1, Class 2A
0.79%		03/09/21	²		4,851,879		4,881,550
NCUA Guaranteed Notes, Series 2011-R6, Class 1A
0.54%		05/07/20	²		27,242		27,273

							7,356,994,556

Total Mortgage-Backed
(Cost $11,635,360,217)							12,221,452,990


MUNICIPAL BONDS — 1.96%*
California — 0.55%
Access to Loans for Learning Student Loan Corp., Series 2004-IV, Class A13
0.44%		04/25/24	²		1,211,686		1,199,368
Los Angeles Department of Water & Power, Build America Bonds, Series SY
6.01%		07/01/39			350,000		413,896
State of California, Build America Bonds
5.70%		11/01/21			24,230,000		28,322,932
6.65%		03/01/22			10,220,000		12,301,507
7.30%		10/01/39			12,565,000		16,827,928
7.35%		11/01/39			25,000,000		33,677,750
7.95%		03/01/36			7,350,000		8,657,051
State of California, Build America Bonds, Various Purpose
7.50%		04/01/34			3,885,000		5,243,973
State of California, Taxable, Various Purpose
5.50%		03/01/16			8,450,000		9,186,502
6.20%		03/01/19			10,675,000		12,554,227
6.20%		10/01/19			17,995,000		21,320,836

							149,705,970

Illinois — 0.69%
State of Illinois, Build America Bonds
6.20%		07/01/21			30,175,000		33,968,903
7.10%		07/01/35			21,490,000		23,878,184
7.35%		07/01/35			11,720,000		13,693,062
State of Illinois, Build America Bonds, Series S
6.63%		02/01/35			13,210,000		14,602,334


Issues	Maturity Date			Principal Amount		Value
MUNICIPAL BONDS (continued)
Illinois (continued)
State of Illinois, Taxable Bonds
4.95%		06/01/23		$	31,825,000	$	33,265,081
5.66%		03/01/18			2,850,000		3,163,813
5.88%		03/01/19			16,000,000		17,935,360
State of Illinois, Taxable Pension Bonds
4.35%		06/01/18			8,885,000		9,415,435
5.10%		06/01/33			38,246,000		37,784,369

							187,706,541

New York — 0.22%
City of New York, Build America Bonds
5.52%		10/01/37			2,525,000		2,841,130
5.82%		10/01/31			220,000		241,149
City of New York, Build America Bonds, Series F1
6.65%		12/01/31			46,470,000		53,523,681
Fiscal Year 2005 Securitization Corp., Special Obligation, Series B
4.93%		04/01/20			65,000		71,491
New York City Municipal Water Finance Authority, Build America Bonds, Series SE
6.49%		06/15/42			3,405,000		3,773,761

							60,451,212

Texas — 0.50%
City of Houston Texas, Taxable Pension Obligation, Series A
6.29%		03/01/32			78,145,000		94,086,580
North Texas Tollway Authority, Build America Bonds
6.72%		01/01/49			50,000		65,974
State of Texas, Build America Bonds
5.52%		04/01/39			33,610,000		40,002,958

							134,155,512

Total Municipal Bonds
(Cost $512,713,138)							532,019,235

U.S. AGENCY SECURITIES — 1.12%
U.S. Agency Securities — 1.12%
Federal Farm Credit Bank
0.21%		02/27/17	²		133,065,000		133,197,533
Federal Home Loan Bank
0.22%		10/07/15	²		61,965,000		62,043,386
Federal Home Loan Bank (STEP)
0.75%		05/26/28			112,670,000		109,448,652

Total U.S. Agency Securities
(Cost $307,550,615)							304,689,571


Issues	Maturity Date			Principal Amount		Value
U.S. TREASURY SECURITIES — 27.33%
U.S. Treasury Bonds — 5.31%
U.S. Treasury Bonds
2.75%		08/15/42		$	59,290,000	$	50,632,711
3.12%		02/15/42			155,870,000		144,313,642
3.62%		02/15/44			33,855,000		34,251,747
3.75%		11/15/43			897,150,000		928,971,013
U.S. Treasury Bonds - Treasury Inflation Indexed Bonds
1.38%		02/15/44	¹³		177,185,000		181,910,067
U.S. Treasury Bonds (Strip Principal)
0.00%		11/15/27	¹²		158,200,000		102,254,627

							1,442,333,807

U.S. Treasury Notes — 22.02%
U.S. Treasury Notes
0.75%		06/15/14			700,000		701,025
0.75%		01/15/17			167,080,000		166,845,086
0.75%		06/30/17			331,010,000		327,958,419
1.38%		07/31/18			263,000,000		261,465,832
1.50%		01/31/19			471,370,000		467,263,896
1.62%		03/31/19			446,535,000		444,285,625
1.88%		04/30/14			150,000,000		150,222,600
2.12%		01/31/21			419,265,000		415,203,161
2.38%		08/31/14			120,000,000		121,139,064
2.75%		11/15/23			429,887,000		431,868,521
2.75%		02/15/24			1,757,475,000		1,761,457,438
U.S. Treasury Notes - Treasury Inflation Indexed Notes
0.12%		04/15/16	¹³		386,040,000		420,380,535
0.12%		04/15/17	¹³		360,170,000		381,576,932
0.12%		04/15/18	¹³		107,455,000		111,295,974
0.50%		04/15/15	¹³		138,030,000		152,089,397
1.25%		04/15/14	¹³		46,450,000		51,447,002
2.00%		07/15/14	¹³		255,510,000		322,364,673

							5,987,565,180

Total U.S. Treasury Securities
(Cost $7,448,817,543)							7,429,898,987

Total Bonds – 97.74%
(Cost $25,674,890,740)							26,571,589,461


Issues	Shares		Value
COMMON STOCK — 0.12%
Electric — 0.12%
Dynegy, Inc.¹⁰		1,255,250		31,305,930

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


Issues		Notional Amount (000’s)		Value
PURCHASED SWAPTIONS — 0.17%

Option to enter into a 5-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 5.00% annually; Option Expiration Date of 01/14/19. Counterparty: Barclays, Inc.			$ 57,150	$	2,723,878

Option to enter into a 5-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 5.00% annually; Option Expiration Date of 01/14/19. Counterparty: Morgan Stanley			90,000		4,289,571

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.¹⁴			16,650		1,126,276

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.¹⁵			106,585		7,209,857

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 AG¹⁶			157,135		10,629,271

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.¹⁷			99,450		6,727,216

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.¹⁸			65,450		4,488,050

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 AG¹⁹			150,000		10,285,830

Total Purchased Swaptions (Cost $50,818,471)					47,479,949



Issues	Maturity Date	Principal Amount/ Shares		Value
SHORT-TERM INVESTMENTS — 14.50%
Commercial Paper — 2.08%
Macquarie Bank Ltd. (Australia)
0.20%²⁰	05/27/14^3,4		111,745,000		111,714,786


Issues	Maturity Date		Principal Amount/ Shares		Value
SHORT-TERM INVESTMENTS (continued)
Commercial Paper (continued)
0.20%²⁰		05/28/14^3,4	$	130,985,000	$	130,947,707
National Rural Utilities Cooperative Finance Corp.
0.10%²⁰		04/15/14		97,065,000		97,061,225
RBS Holdings USA, Inc.
0.25%²⁰		04/22/14		225,805,000		225,782,105


						565,505,823


Money Market Funds — 1.97%
Dreyfus Cash Advantage Fund
0.05%^21,22				275,715,000		275,715,000
DWS Money Market Series Institutional Funds
0.04%²¹				260,264,000		260,264,000


						535,979,000

Repurchase Agreements — 1.58%
Deutsche Bank AG (Dated 3/31/14, total to be received $62,500,087, (collateralized by U.S. Treasury obligations, 0.63% to 3.38%, due from 9/30/17 to 4/15/32, par and fair value of $63,893,600 and $63,750,002, respectively))
0.05%		04/01/14		62,500,000		62,500,000
RBS (Dated 3/31/14, total to be received $165,000,774, (collateralized by U.S. government sponsored agency obligations, 0.00% to 8.88%, due from 4/10/14 to 4/15/30, par and fair value of $180,070,000 and $168,300,791, respectively))
0.04%		04/01/14		165,000,000		165,000,000
RBS (Dated 3/31/14, total to be received $200,001,833, (collateralized by U.S. government sponsored agency obligations, 0.00% to 9.38%, due from 4/15/14 to 4/15/30, par and fair value of $323,412,000 and $204,001,870, respectively))
0.05%		04/01/14		200,000,000		200,000,000


						427,500,000

U.S. Agency Discount Notes — 8.84%
Federal Home Loan Bank
0.04%²⁰		04/21/14		150,000,000		149,998,350
0.05%²⁰		04/23/14		137,000,000		136,995,814
0.05%²⁰		04/29/14		245,000,000		244,998,056
0.05%²⁰		04/30/14		197,360,000		197,358,421
0.05%²⁰		04/16/14		195,000,000		194,998,358
0.06%²⁰		04/23/14		4,170,000		4,169,924
0.06%²⁰		04/25/14		130,000,000		129,997,400
0.06%²⁰		05/09/14		221,000,000		220,993,002
0.07%²⁰		04/23/14		87,555,000		87,553,406
0.07%²⁰		05/21/14		296,180,000		296,173,872
0.07%²⁰		06/25/14		100,000,000		99,995,300


Issues	Maturity Date			Principal Amount/ Shares		Value
SHORT-TERM INVESTMENTS (continued)
U.S. Agency Discount Notes (continued)
0.08%²⁰		05/16/14		$	80,000,000	$	79,997,000
0.08%²⁰		06/06/14			300,000,000		299,988,900
0.08%²⁰		05/14/14			260,000,000		259,990,748


							2,403,208,551

U.S. Treasury Bills — 0.03%
U.S. Treasury Bills
0.04%²⁰		04/10/14	²³		250,000		249,997
0.06%²⁰		04/24/14	²³		8,021,000		8,020,718


							8,270,715


Total Short-Term Investments (Cost $3,940,326,600)							3,940,464,089


Total Investments – 112.53% (Cost $29,690,174,265)¹							30,590,839,429


Liabilities in Excess of Other Assets – (12.53)%							(3,405,694,654	)


Net Assets – 100.00%						$	27,185,144,775



Issues	Notional Amount (000’s)			Premiums (Received)			Value
WRITTEN SWAPTIONS
Option to enter into a 5-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 5.00% annually; Option Expiration Date of 01/14/19. Counterparty: Barclays, Inc.
	$	(216,060	)	$	(5,592,141	)	$	(4,250,246	)
Option to enter into a 5-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 5.00% annually; Option Expiration Date of 01/14/19. Counterparty: Morgan Stanley
		(340,000	)		(8,730,000	)		(6,688,344	)


Total Written Swaptions				$	(14,322,141	)	$	(10,938,590	)


Contracts		Unrealized Appreciation/ (Depreciation)
FUTURES CONTRACTS: LONG POSITIONS
7,020	Euro Dollar Ninety Day,
	Expiration March 2015	$	594,204
4,170	U.S. Treasury Five Year Note,
	Expiration June 2014		(2,215,801	)
2,143	U.S. Treasury Ten Year Note,
	Expiration June 2014		(1,214,212	)


	Net unrealized depreciation	$	(2,835,809	)


Contracts		Unrealized Appreciation/ (Depreciation)
FUTURES CONTRACTS: SHORT POSITIONS
7,020	Euro Dollar Ninety Day,
	Expiration March 2016	$	4,506,116

826	U.S. Treasury Thirty Year Long Bond,
	Expiration June 2014		(934,034	)


	Net unrealized appreciation	$	3,572,082


	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 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	$	(7,262,235	)	$	(7,262,235	)
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		(4,347,851	)		(4,347,851	)
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		(7,213,477	)		(7,213,477	)
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		(13,985,476	)		(13,985,476	)
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		3,946,892			3,946,892
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		4,366,239			4,366,239
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		7,650,167			7,650,167
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		6,493,733			6,493,733
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		6,493,733			6,493,733
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		7,980,240			7,980,240
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 3.68% quarterly. Counterparty: Citigroup, Inc.
	11/15/43	—		50,000		(1,919,904	)		(1,919,904	)


	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 and the Fund receives from the counterparty a fixed rate equal to 3.68% quarterly. Counterparty: Citigroup, Inc.
		11/15/43		$–		$	43,685		$	(1,671,564	)		$	(1,671,564	)
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			5,478,524				5,478,524
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			3,291,251				3,291,251
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			6,118,547				6,118,547
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			11,890,863				11,890,863

				$–		$	1,229,355		$	27,309,682			$	27,309,682


	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		$	355,853		$	9,800		$	(468,443	)		$	(112,590	)
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			886,001			24,400			(1,166,329	)			(280,328	)

				$	1,241,854		$	34,200		$	(1,634,772	)		$	(392,918	)


	Expiration Date		Premiums (Received)				Notional Amount (000’s)			Appreciation			Value
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		$	677,976		$	(57,564	)

				$	(735,540	)		$	63,960		$	677,976		$	(57,564	)

^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 $29,699,268,043 and net unrealized appreciation/(depreciation) consists of:


Gross unrealized appreciation	$	1,161,113,385
Gross unrealized depreciation		(269,541,999	)

Net unrealized appreciation	$	891,571,386

²	Floating rate security. The rate disclosed was in effect at March 31, 2014.

³	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.

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

⁵	Private placements under procedures approved by the Fund’s Board of Trustees.

⁶	Illiquid security as determined under procedures approved by the Funds’ Board of Trustees. The aggregate value of illiquid securities is $36,716,966, which is 0.14% of total net assets.

⁷	Worthless due to company bankruptcy filing.

⁸	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.

⁹	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.

¹⁰	Non-income producing security.

¹¹	Security is currently in default with regard to scheduled interest or principal payments.

¹²	Zero coupon bond. The rate shown is the effective yield as of March 31, 2014.

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

¹⁴	Forward settling fee due at maturity in the amount of $(1,263,735).

¹⁵	Forward settling fee due at maturity in the amount of $(7,919,266).

¹⁶	Forward settling fee due at maturity in the amount of $(11,675131).

¹⁷	Forward settling fee due at maturity in the amount of $(7,488,585).

¹⁸	Forward settling fee due at maturity in the amount of $(3,855,005).

¹⁹	Forward settling fee due at maturity in the amount of $(8,775,000).

^†

Fair valued security. The aggregate value of fair valued securities is $136,535,409, which is 0.50% 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.

²⁰	Represents annualized yield at date of purchase.

²¹	Represents the current yield as of March 31, 2014.

²²	Securities, or a portion thereof, pledged as collateral for swaps. The total market value of collateral pledged is $4,310,000.

²³	Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $8,270,837.


Issues	Maturity Date			Principal Amount		Value
BONDS – 91.16%
ASSET-BACKED SECURITIES — 3.17%**
Alm Loan Funding, Series 2012-7A, Class B (Cayman Islands)
3.39%		10/19/24	^2,3,4	$	3,125,000	$	3,129,647
ARES XXVI CLO Ltd., Series 2013-1A, Class B (Cayman Islands)
1.99%		04/15/25	^2,3,4		4,210,000		4,113,385
Babson CLO Ltd., Series 2013-IA, Class B (Cayman Islands)
1.84%		04/20/25	^2,3,4		5,615,000		5,486,237
BlueMountain CLO Ltd., Series 2012-2A, Class C (Cayman Islands)
2.98%		11/20/24	^2,3,4		3,125,000		3,073,766
BlueMountain CLO Ltd., Series 2013-4A, Class B1 (Cayman Islands)
2.14%		04/15/25	^2,3,4		4,680,000		4,653,067
Cent CLO LP, Series 2013-18A, Class B1 (Cayman Islands)
1.79%		07/23/25	^2,3,4		4,680,000		4,521,264
CIFC Funding IV, Ltd., Series 2013-4A, Class B1 (Cayman Islands)
2.08%		11/27/24	^2,3,4		4,675,000		4,614,987
CIFC Funding Ltd., Series 2012-2A, Class A3L (Cayman Islands)
3.24%		12/05/24	^2,3,4		3,125,000		3,096,428
Dryden Senior Loan Fund, Series 2014-31A, Class B (Cayman Islands)
2.17%		04/18/26	^2,3,4		5,615,000		5,557,856
Dryden XXV Senior Loan Fund, Series 2012-25A, Class C (Cayman Islands)
3.24%		01/15/25	^2,3,4		2,420,000		2,423,007
Galaxy CLO Ltd., Series 2012-14A, Class C1 (Cayman Islands)
3.34%		11/15/24	^2,3,4		1,850,000		1,851,929
GoldenTree Loan Opportunities VIII Ltd., Series 2014-8A, Class B1 (Cayman Islands)
2.19%		04/19/26	^2,3,4,†		5,600,000		5,575,906
Halcyon Loan Advisors Funding Ltd., Series 2012-2A, Class C (Cayman Islands)
3.08%		12/20/24	^2,3,4		3,250,000		3,231,212
Highbridge Loan Management Ltd., Series 3A-2014, Class A2 (Cayman Islands)
2.07%		01/18/25	^2,3,4		4,680,000		4,620,054
LCM LP, Series 12A, Class C (Cayman Islands)
3.49%		10/19/22	^2,3,4		2,300,000		2,303,416
LCM LP, Series 12A, Class D (Cayman Islands)
4.74%		10/19/22	^2,3,4		2,300,000		2,308,287
Oak Hill Credit Partners, Series 2012-7A, Class C1 (Cayman Islands)
3.48%		11/20/23	^2,3,4		2,800,000		2,806,569


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Race Point CLO Ltd., Series 2012-7A, Class C (Cayman Islands)
3.24%		11/08/24	^2,3,4	$	3,300,000	$	3,309,587
Slater Mill Loan Fund LP, Series 2012-1A, Class C (Cayman Islands)
4.04%		08/17/22	^2,3,4		1,750,000		1,751,587
Sound Point CLO Ltd., Series 2012-1A, Class C (Cayman Islands)
3.54%		10/20/23	^2,3,4		2,300,000		2,320,419

Total Asset-Backed Securities
(Cost $70,151,335)							70,748,610


BANK LOANS — 9.91%*
Automotive — 0.46%
Navistar, Inc., Term Loan B, 1st Lien
5.75%		08/17/17	³		10,000,000		10,183,300

Communications — 0.20%
Level 3 Financing, Inc., Term Loan B, 1st Lien
4.00%		01/15/20	³		2,000,000		2,006,500
Univision Communications, Inc., Converted Extended Term Loan, 1st Lien
4.00%		03/01/20	³		2,507,568		2,514,878

							4,521,378

Consumer Discretionary — 0.22%
Hilton Worldwide Finance LLC, Term Loan B2, 1st Lien
3.50%		10/25/20	³		4,960,527		4,974,267

Consumer Products — 0.13%
Sun Products Corp., Term Loan
5.50%		03/23/20	³		2,970,000		2,832,637

Electric — 2.70%
Boston Generating LLC, Term Loan, 1st Lien⁵
0.00%		06/30/14	^3,6,7,8,†		254,344		–
Dynegy, Inc., Term Loan B2, 1st Lien
4.00%		04/23/20	³		2,443,077		2,457,589
Entegra Holdings LLC, Term Loan B, 3rd Lien (PIK)
6.15%		10/19/15	^3,9		28,699,308		17,721,822
Entegra Holdings LLC, Term Loan, 2nd Lien (PIK)
10.00%		03/27/17	^3,6,9		5,000,000		4,975,000
La Frontera Generation LLC, Term Loan B, 1st Lien
4.50%		09/30/20	³		7,685,951		7,706,357
Topaz Power Holdings LLC, Term Loan, 1st Lien
5.25%		02/26/20	³		12,837,500		12,623,499
Utility Services Associates, Term Loan B, 1st Lien
6.75%		10/18/19	³		7,980,000		8,029,875


Issues	Maturity Date			Principal Amount		Value
BANK LOANS (continued)
Electric (continued)
Viva Alamo LLC, Term Loan B, 1st Lien
4.75%		02/22/21	³	$	6,750,000	$	6,779,565

							60,293,707

Energy — 3.54%
Alinta Energy Finance Pty Ltd., Term Loan B, 1st Lien
6.38%		08/13/19	³		6,070,373		6,169,016
Alinta Energy Finance Pty Ltd., Term Loan DD, 1st Lien
0.50%		08/13/19	³		399,123		405,608
Drillships Financing Holding, Term Loan B1, 1st Lien
6.00%		03/31/21	³		10,447,500		10,669,509
Harvey Gulf International Marine, Term Loan B, 1st Lien
5.50%		06/18/20	³		6,218,750		6,239,489
MACH Gen LLC, Term Loan, 2nd Lien (PIK)⁵
0.00%		02/22/15	^3,8,9		38,282,349		22,076,095
Moxie Liberty (Panda), Term Loan, 1st Lien
7.50%		08/21/20	³		8,250,000		8,476,875
Murray Energy Corp., Term Loan B, 1st Lien
5.25%		12/05/19	³		2,300,000		2,323,000
Pacific Drilling SA, Term Loan B, 1st Lien
4.50%		06/03/18	³		994,987		1,000,335
Panda Temple Power II LLC
7.25%		04/03/19	³		2,000,000		2,057,500
Peabody Energy Corp., Term Loan, 1st Lien
4.25%		09/24/20	³		4,477,500		4,496,328
Power Buyer LLC, Delayed Draw Term Loan, 1st Lien
3.68%		05/06/20	³		55,000		54,862
Power Buyer LLC, Term Loan, 1st Lien
4.25%		05/06/20	³		441,111		440,008
Power Buyer LLC, Term Loan, 2nd Lien
8.25%		11/06/20	³		4,150,000		4,124,063
Sabine Oil & Gas LLC, Term Loan, 2nd Lien
8.75%		12/31/18	³		6,350,000		6,449,251
TPF II LC LLC, Term Loan, 1st Lien
6.50%		08/21/19	³		3,970,000		4,039,475

							79,021,414

Finance — 0.12%
Delos Finance SARL, Term Loan B, 1st Lien
3.50%		03/06/21			2,750,000		2,756,875

Health Care — 0.26%
CHS/Community Health Systems, Inc., Term Loan D, 1st Lien
4.25%		01/27/21	³		3,491,250		3,525,150


Issues	Maturity Date			Principal Amount		Value
BANK LOANS (continued)
Health Care (continued)
Valeant Pharmaceuticals International, Inc., Term Loan (Canada)
3.75%		08/05/20	^2,3	$	2,316,298	$	2,326,432

							5,851,582

Industrials — 1.10%
Maxim Crane Works LP, Term Loan B, 2nd Lien
10.25%		11/26/18	³		6,000,000		6,138,780
Schaeffler AG, Term Loan C2, 1st Lien (Netherlands)
4.25%		01/27/17	^2,3		11,400,000		11,467,659
Synagro Infrastructure, Term Loan, 1st Lien
6.25%		08/22/20	³		6,965,000		7,025,944

							24,632,383

Materials — 0.82%
FMG Resources Ltd., Term Loan B, 1st Lien (Australia)
4.25%		06/30/19	^2,3		18,158,875		18,322,123

Transportation — 0.36%
American Airlines, Inc., Term Loan B
3.75%		06/27/19	³		7,940,000		7,978,271

Total Bank Loans
(Cost $240,192,737)							221,367,937


CORPORATES — 77.82%*
Automotive — 0.96%
Goodyear Tire & Rubber Co.
8.25%		08/15/20			19,110,000		21,403,200

Banking — 1.12%
Ally Financial, Inc.
3.50%		01/27/19			4,380,000		4,396,425
4.75%		09/10/18			2,400,000		2,547,000
6.25%		12/01/17			2,000,000		2,245,000
Ally Financial, Inc. (WI)
7.50%		09/15/20			12,700,000		15,144,750
CIT Group, Inc.
5.25%		03/15/18			750,000		810,000

							25,143,175

Communications — 19.58%
Cablevision Systems Corp.
8.62%		09/15/17			11,000,000		13,090,000
CCO Holdings LLC/CCO Holdings Capital Corp.
5.75%		09/01/23			2,000,000		1,995,000
6.50%		04/30/21			3,000,000		3,191,250
7.00%		01/15/19			565,000		600,313


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Communications (continued)
7.38%		06/01/20		$	350,000	$	383,687
CCO Holdings LLC/CCO Holdings Capital Corp. (WI)
8.12%		04/30/20			27,737,000		30,372,015
CenturyLink, Inc.
5.80%		03/15/22			17,810,000		18,352,764
CenturyLink, Inc., Series W
6.75%		12/01/23			2,850,000		3,037,638
Clear Channel Worldwide Holdings, Inc.
6.50%		11/15/22			30,608,000		32,903,600
6.50%		11/15/22			90,000		96,187
CSC Holdings LLC
6.75%		11/15/21			10,405,000		11,679,613
DISH DBS Corp.
5.88%		07/15/22			5,250,000		5,624,063
DISH DBS Corp. (WI)
6.75%		06/01/21			11,700,000		13,133,250
GCI, Inc. (WI)
8.62%		11/15/19			15,175,000		16,313,125
Intelsat Jackson Holdings SA (Luxembourg)
5.50%		08/01/23	^2,4		5,000,000		4,918,750
7.25%		10/15/20	²		16,000,000		17,440,000
7.50%		04/01/21	²		20,597,000		22,656,700
Level 3 Financing, Inc.
6.12%		01/15/21	⁴		1,000,000		1,057,500
7.00%		06/01/20			6,033,000		6,568,429
Level 3 Financing, Inc. (WI)
8.12%		07/01/19			11,165,000		12,309,413
9.38%		04/01/19			7,973,000		8,889,895
Lynx I Corp.
5.38%		04/15/21	⁴		5,860,000		6,079,750
Nielsen Finance LLC Co.
5.00%		04/15/22	⁴		800,000		806,000
Qwest Corp.
6.75%		12/01/21			5,155,000		5,768,320
7.25%		09/15/25			5,055,000		5,792,324
Sinclair Television Group, Inc.
5.38%		04/01/21			10,000,000		9,900,000
6.12%		10/01/22			7,640,000		7,773,700
Softbank Corp. (Japan)
4.50%		04/15/20	^2,4		21,965,000		21,855,175
Sprint Corp.
7.25%		09/15/21	⁴		1,225,000		1,338,313
7.88%		09/15/23	⁴		12,000,000		13,260,000
Sprint Nextel Corp.
9.00%		11/15/18	⁴		23,874,000		29,214,614
9.25%		04/15/22			12,870,000		15,637,050
T-Mobile USA, Inc.
5.25%		09/01/18			2,500,000		2,653,125


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Communications (continued)
6.25%		04/01/21		$	7,375,000	$	7,863,594
6.46%		04/28/19			14,700,000		15,802,500
6.50%		01/15/24			4,335,000		4,551,750
6.54%		04/28/20			6,890,000		7,441,200
6.62%		04/01/23			3,065,000		3,271,887
6.73%		04/28/22			3,000,000		3,221,250
6.84%		04/28/23			3,440,000		3,706,600
Townsquare Radio LLC/Townsquare Radio, Inc.
9.00%		04/01/19	⁴		4,765,000		5,265,325
Univision Communications, Inc.
6.88%		05/15/19	⁴		2,935,000		3,162,463
Virgin Media Secured Finance PLC (United Kingdom)
5.50%		01/15/25	^2,4		9,500,000		9,642,500
Virgin Media Secured Finance PLC (United Kingdom)
5.25%		01/15/21	²		6,575,000		6,838,000
Windstream Corp.
7.75%		10/15/20			14,811,000		15,958,853
7.88%		11/01/17			2,500,000		2,868,750
Windstream Corp. (WI)
8.12%		09/01/18			2,860,000		3,049,475

							437,335,710

Consumer Discretionary — 2.37%
Amsurg Corp.
5.62%		11/30/20			2,660,000		2,779,700
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp.
5.62%		10/15/21	⁴		4,870,000		5,125,675
LKQ Corp.
4.75%		05/15/23	⁴		1,250,000		1,187,500
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC
6.88%		02/15/21			4,950,000		5,358,375
7.12%		04/15/19			10,590,000		11,278,350
7.88%		08/15/19			7,620,000		8,429,625
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC (WI)
5.75%		10/15/20			17,800,000		18,712,250

							52,871,475

Electric — 5.23%
AES Corp.
4.88%		05/15/23			6,620,000		6,380,025
5.50%		03/15/24			9,355,000		9,343,774
AES Red Oak LLC, Series A
8.54%		11/30/19			2,414,824		2,583,861
Amerenenergy Generating Co.
6.30%		04/01/20			1,720,000		1,453,400


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Electric (continued)
Amerenenergy Generating Co., Series F
7.95%		06/01/32		$	3,550,000	$	2,982,000
Amerenenergy Generating Co., Series H
7.00%		04/15/18			3,665,000		3,225,200
Astoria Depositor Corp.
7.90%		05/01/21	⁴		270,616		284,147
Calpine Corp.
6.00%		01/15/22	⁴		2,595,000		2,737,725
7.50%		02/15/21	⁴		4,590,000		5,037,525
Coso Geothermal Power Holdings
7.00%		07/15/26	⁴		4,149,703		2,406,827
DPL, Inc.
7.25%		10/15/21			15,318,000		15,892,425
Dynegy Escrow Holdings
0.00%		06/01/15	^6,7,†		8,350,000		0
0.00%		01/01/50	^6,7,†		23,846,000		0
Dynegy, Inc.
5.88%		06/01/23	⁴		10,570,000		10,437,875
Electricite de France SA (France)
5.25%		07/29/49	^2,3,4		3,000,000		3,015,000
FPL Energy National Wind Portfolio LLC
6.12%		03/25/19	⁴		1,967,229		1,932,802
GenOn Americas Generation LLC
8.50%		10/01/21			14,694,000		14,106,240
Homer City Generation LP (PIK)
8.14%		10/01/19	¹⁰		7,377,360		7,820,002
8.73%		10/01/26	¹¹		13,027,869		13,744,402
Indiantown Cogeneration LP, Series A-10
9.77%		12/15/20			908,609		1,031,271
Mirant Mid Atlantic Pass-Through Trust, Series C
10.06%		12/30/28			11,219,000		12,509,185

							116,923,686

Energy — 22.93%
Access Midstream Partners LP/ACMP Finance Corp.
4.88%		03/15/24			5,475,000		5,468,156
5.88%		04/15/21			15,017,000		16,068,190
Approach Resources, Inc.
7.00%		06/15/21			9,000,000		9,315,000
Arch Coal, Inc.
7.00%		06/15/19			8,415,000		6,542,663
8.00%		01/15/19	⁴		8,500,000		8,542,500
Chaparral Energy, Inc.
8.25%		09/01/21			6,403,000		7,075,315
9.88%		10/01/20			14,847,000		16,962,697
Chesapeake Energy Corp.
2.50%		05/15/37			4,450,000		4,569,483


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Energy (continued)
Cimarex Energy Co.
5.88%		05/01/22		$	4,995,000	$	5,444,550
Concho Resources, Inc.
5.50%		04/01/23			16,615,000		17,362,675
Continental Resources, Inc.
5.00%		09/15/22			6,520,000		6,858,225
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp.
6.12%		03/01/22	⁴		2,850,000		2,992,500
El Paso LLC
6.50%		09/15/20			8,578,000		9,455,444
El Paso LLC, Series G (MTN)
7.75%		01/15/32			5,897,000		6,336,492
7.80%		08/01/31			8,739,000		9,335,183
8.05%		10/15/30			7,658,000		8,199,558
Energy Transfer Partners LP
3.26%		11/01/66	³		33,367,000		30,697,640
EP Energy LLC/EP Energy Finance, Inc.
9.38%		05/01/20			2,045,000		2,361,975
Linn Energy LLC/Linn Energy Finance Corp.
8.62%		04/15/20			22,045,000		24,029,050
MEG Energy Corp. (Canada)
6.50%		03/15/21	^2,4		3,000,000		3,165,000
7.00%		03/31/24	^2,4		14,300,000		15,193,750
Memorial Production Partners LP/Memorial Production Finance Corp.
7.62%		05/01/21	⁴		5,935,000		6,291,100
Newfield Exploration Co.
5.62%		07/01/24			8,194,000		8,532,003
5.75%		01/30/22			1,000,000		1,067,500
6.88%		02/01/20			4,875,000		5,216,250
Pacific Drilling SA (Luxembourg)
5.38%		06/01/20	^2,4		11,000,000		10,972,500
Pacific Drilling V Ltd. (Luxembourg)
7.25%		12/01/17	^2,4		22,440,000		24,347,400
Peabody Energy Corp.
4.75%		12/15/41			29,295,000		23,838,806
Penn Virginia Corp.
8.50%		05/01/20			8,750,000		9,778,125
Plains Exploration & Production Co.
6.12%		06/15/19			8,900,000		9,828,937
6.75%		02/01/22			2,000,000		2,212,496
6.88%		02/15/23			17,950,000		20,059,125
QEP Resources, Inc.
5.25%		05/01/23			18,298,000		18,298,000
6.88%		03/01/21			8,000,000		8,840,000
Quicksilver Resources, Inc.
7.00%		06/21/19	^3,4		12,295,000		12,179,734


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Energy (continued)
Sabine Pass Liquefaction LLC
5.62%		02/01/21		$	11,400,000	$	11,813,250
5.62%		04/15/23			235,000		234,706
Sabine Pass LNG LP
7.50%		11/30/16			21,895,000		24,303,450
SandRidge Energy, Inc.
8.12%		10/15/22			5,795,000		6,345,525
8.75%		01/15/20			1,485,000		1,607,513
SM Energy Co.
6.50%		11/15/21			8,055,000		8,739,675
6.50%		01/01/23			10,066,000		10,795,785
Summit Midstream Holdings LLC/Summit Midstream Finance Corp.
7.50%		07/01/21	⁴		10,340,000		11,141,350
Targa Resources Partners LP/Targa Resources Partners Finance Corp.
4.25%		11/15/23	⁴		3,595,000		3,352,337
Vanguard Natural Resources LLC/VNR Finance Corp.
7.88%		04/01/20			7,040,000		7,620,800
Walter Energy, Inc.
9.50%		10/15/19	⁴		10,720,000		10,947,800
9.88%		12/15/20			14,470,000		9,586,375
11.00%		04/01/20	⁴		17,900,000		16,423,250
Walter Energy, Inc. (WI)
8.50%		04/15/21			5,265,000		3,343,275
Whiting Petroleum Corp.
5.00%		03/15/19			8,065,000		8,569,063

							512,262,176

Entertainment — 0.24%
Carmike Cinemas, Inc.
7.38%		05/15/19			3,900,000		4,275,375
WMG Acquisition Corp.
5.62%		04/15/22	⁴		1,000,000		1,008,750

							5,284,125

Finance — 5.71%
Alta Wind Holdings LLC
7.00%		06/30/35	⁴		2,276,117		2,505,606
Astoria Depositor Corp.
8.14%		05/01/21	⁴		23,858,000		25,050,900
Chase Capital II, Series B
0.74%		02/01/27	³		8,790,000		7,427,550
Chase Capital VI
0.86%		08/01/28	³		4,000,000		3,380,000
CIT Group, Inc.
4.25%		08/15/17			4,850,000		5,116,750
6.62%		04/01/18	⁴		18,696,000		21,009,630


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Finance (continued)
Citigroup, Inc.
0.78%		08/25/36	³	$	9,460,000	$	7,510,516
General Electric Capital Corp. (MTN)
0.72%		08/15/36	³		10,480,000		8,708,836
International Lease Finance Corp.
7.12%		09/01/18	⁴		7,170,000		8,366,494
JPMorgan Chase Capital XIII, Series M
1.18%		09/30/34	³		10,917,000		9,388,620
JPMorgan Chase Capital XXI, Series U
1.19%		02/02/37	³		7,750,000		6,238,750
JPMorgan Chase Capital XXIII
1.24%		05/15/47	³		2,320,000		1,786,400
Nielsen Co., Luxembourg SARL (Luxembourg)
5.50%		10/01/21	^2,4		5,020,000		5,271,000
ZFS Finance USA Trust I
6.50%		05/09/37	^3,4		10,154,000		10,940,935
ZFS Finance USA Trust II
6.45%		12/15/65	^3,4		4,450,000		4,828,250

							127,530,237

Food — 0.54%
Post Holdings, Inc.
6.75%		12/01/21	⁴		1,150,000		1,226,187
7.38%		02/15/22			9,990,000		10,789,200

							12,015,387

Health Care — 8.28%
Alere, Inc.
7.25%		07/01/18			6,000,000		6,630,000
CHS/Community Health Systems, Inc.
5.12%		08/15/18			6,115,000		6,436,037
5.12%		08/01/21	⁴		5,735,000		5,907,050
6.88%		02/01/22	⁴		11,475,000		12,048,750
7.12%		07/15/20			3,500,000		3,810,800
8.00%		11/15/19			10,860,000		12,027,450
DaVita, Inc.
5.75%		08/15/22			12,435,000		13,289,906
Fresenius Medical Care U.S. Finance II, Inc.
5.62%		07/31/19	⁴		710,000		766,800
Fresenius Medical Care U.S. Finance, Inc.
5.75%		02/15/21	⁴		3,000,000		3,202,500
HCA, Inc.
3.75%		03/15/19			3,650,000		3,650,183
5.00%		03/15/24			4,000,000		4,012,700
5.88%		03/15/22			3,500,000		3,780,000
6.50%		02/15/20			1,900,000		2,128,000
7.25%		09/15/20			23,769,000		25,759,654
7.50%		12/15/23			3,965,000		4,331,763


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Health Care (continued)
LifePoint Hospitals, Inc.
5.50%		12/01/21	⁴	$	12,000,000	$	12,570,000
Salix Pharmaceuticals Ltd.
6.00%		01/15/21	⁴		2,750,000		2,928,750
Tenet Healthcare Corp.
4.50%		04/01/21			7,590,000		7,495,125
5.00%		03/01/19	⁴		4,900,000		4,924,500
Valeant Pharmaceuticals International, Inc. (Canada)
5.62%		12/01/21	^2,4		15,842,000		16,693,507
6.75%		08/15/21	^2,4		14,391,000		15,578,257
6.88%		12/01/18	^2,4		500,000		533,750
7.00%		10/01/20	^2,4		5,000,000		5,425,000
7.25%		07/15/22	^2,4		2,900,000		3,222,625
VPII Escrow Corp. (Canada)
7.50%		07/15/21	^2,4		6,885,000		7,788,656

							184,941,763

Industrials — 2.84%
Ardagh Packaging Finance PLC (Ireland)
9.12%		10/15/20	^2,4		17,045,000		19,047,787
Ball Corp.
4.00%		11/15/23			4,340,000		4,074,175
5.00%		03/15/22			2,000,000		2,060,000
Bombardier, Inc. (Canada)
6.12%		01/15/23	^2,4		4,700,000		4,752,875
BWAY Holding Co.
10.00%		06/15/18			6,015,000		6,413,494
Cequel Communications Escrow 1 LLC/Cequel Communications Escrow Capital Corp.
6.38%		09/15/20	⁴		9,490,000		9,964,500
Howard Hughes Corp.
6.88%		10/01/21	⁴		7,000,000		7,595,000
MasTec, Inc.
4.88%		03/15/23			6,690,000		6,589,650
Plastipak Holdings, Inc.
6.50%		10/01/21	⁴		2,860,000		3,010,150

							63,507,631

Information Technology — 3.33%
Audatex North America, Inc.
6.00%		06/15/21	⁴		8,300,000		8,901,750
First Data Corp.
6.75%		11/01/20	⁴		13,434,000		14,508,720
7.38%		06/15/19	⁴		27,840,000		29,997,600
8.88%		08/15/20	⁴		4,370,000		4,861,625
Freescale Semiconductor, Inc.
5.00%		05/15/21	⁴		7,200,000		7,380,000


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Information Technology (continued)
NXP BV/NXP Funding LLC (Netherlands)
3.75%		06/01/18	^2,4	$	6,000,000	$	6,090,000
5.75%		03/15/23	^2,4		2,450,000		2,572,500

							74,312,195

Insurance — 0.48%
Nationwide Mutual Insurance Co.
5.81%		12/15/24	^3,4		10,497,000		10,641,334

Materials — 0.80%
ArcelorMittal (Luxembourg)
10.35%		06/01/19	²		8,520,000		10,831,050
Exopack Holdings SA (Luxembourg)
7.88%		11/01/19	^2,4		1,850,000		1,963,313
Momentive Performance Materials, Inc.
8.88%		10/15/20			4,625,000		5,035,469

							17,829,832

Real Estate Investment Trust (REIT) — 0.55%
DuPont Fabros Technology LP (WI)
5.88%		09/15/21			4,500,000		4,781,250
Geo Group, Inc.
5.88%		01/15/22			7,320,000		7,548,750

							12,330,000

Services — 0.49%
Ceridian Corp.
8.88%		07/15/19	⁴		9,545,000		10,905,163

Transportation — 2.37%
American Airlines Pass-Through Trust, Series 2013-1, Class B
5.62%		01/15/21	⁴		11,922,267		12,428,963
American Airlines Pass-Through Trust, Series 2013-2, Class A
4.95%		01/15/23	⁴		8,529,820		9,201,543
Continental Airlines Pass-Through Trust, Series 2007, Class 1B
6.90%		04/19/22			4,600,229		4,982,508
Continental Airlines Pass-Through Trust, Series 2009, Class 1
9.00%		07/08/16			1,317,461		1,516,727
Delta Air Lines Pass-Through Trust, Series 2002, Class G1
6.72%		01/02/23			13,086,369		15,343,767
Delta Air Lines Pass-Through Trust, Series 2009, Class B1
9.75%		12/17/16			1,189,566		1,403,687
JetBlue Airways Pass-Through Trust, Series 2004, Class G1
0.61%		08/15/16	³		1,053,624		1,040,454


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Transportation (continued)
US Airways Pass-Through Trust, Series 2010-1, Class A
6.25%		04/22/23		$	2,096,510	$	2,387,400
US Airways Pass-Through Trust, Series 2012, Class 2B
6.75%		06/03/21			1,095,706		1,191,580
US Airways Pass-Through Trust, Series 2012-1, Class A
5.90%		10/01/24			3,073,487		3,451,910

							52,948,539

Total Corporates (Cost $1,684,568,737)							1,738,185,628


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	^2,4,6,†		2,890		1
Countrywide Asset-Backed Certificates, Series 2007-13, Class 2A1
1.05%		10/25/47	³		481,503		419,839

							419,840

Total Mortgage-Backed (Cost $343,390)
U.S. TREASURY SECURITIES — 0.24%
U.S. Treasury Notes — 0.24%
U.S. Treasury Notes - Treasury Inflation Indexed Notes
1.25%		04/15/14	¹²		235,000		260,281
2.00%		07/15/14	¹²		4,085,000		5,153,848

Total U.S. Treasury Securities (Cost $5,378,543)							5,414,129

Total Bonds – 91.16% (Cost $2,000,634,742)							2,036,136,144


Issues				Shares		Value
COMMON STOCK — 0.84%
Electric — 0.84%
Dynegy, Inc.⁵					755,707		18,847,324

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


Issues	Maturity Date			Principal Amount/ Shares		Value
SHORT-TERM INVESTMENTS — 6.37%
Money Market Funds — 1.75%
Dreyfus Cash Advantage Fund
0.05%¹³				$	22,380,000	$	22,380,000
DWS Money Market Series Institutional Funds
0.04%¹³					16,783,000		16,783,000

							39,163,000

U.S. Agency Discount Notes — 4.62%
Federal Home Loan Bank
0.05%¹⁴		04/30/14			35,000,000		34,999,720
0.05%¹⁴		04/16/14			19,090,000		19,089,839
0.06%¹⁴		04/09/14			12,000,000		11,999,894
0.07%¹⁴		06/20/14			15,000,000		14,999,340
0.08%¹⁴		06/06/14			22,000,000		21,999,186

							103,087,979

U.S. Treasury Bills — 0.00%
U.S. Treasury Bills
0.06%¹⁴		04/24/14	¹⁵		11,000		11,000

Total Short-Term Investments (Cost $142,256,608)							142,261,979


Total Investments – 98.37% (Cost $2,157,397,135)¹							2,197,245,447


Cash and Other Assets, Less
Liabilities – 1.63%							36,320,549

Net Assets – 100.00%							$2,233,565,996


	Expiration Date	Premiums Paid	Notional Amount (000’s) ^a	Appreciation/ (Depreciation)	Value
SWAPS: CREDIT DEFAULT (PURCHASED) - SINGLE ISSUES
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Alcoa, Inc., 5.72%, due 02/23/19 Counterparty: Goldman Sachs, Inc.
	03/20/19	$325,268	$9,750	$ (85,586)	$239,682
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 Alcoa, Inc., 5.72%, due 02/23/19 Counterparty: Goldman Sachs, Inc.
	03/20/19	381,223	9,650	(143,999)	237,224
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 Teck Resources Limited, 3.15%, due 01/15/17. Counterparty: Morgan Stanley
	03/20/19	184,401	5,000	(16,192)	168,209
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 Teck Resources Limited., 3.15%, due 01/15/17. Counterparty: Morgan Stanley
	03/20/19	179,957	5,000	(11,748)	168,209


	Expiration Date		Premiums Paid		Notional Amount (000’s) ^a		Appreciation/ (Depreciation)		Value
SWAPS: CREDIT DEFAULT (PURCHASED) - SINGLE ISSUES (continued)
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Freeport- McMoran Copper & Gold, Inc., 3.55%, due 03/01/22 Counterparty: Credit Suisse First Boston
		03/20/19		$ 213,423		$ 9,850		$ 6,088		$ 219,511
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 Alcoa, Inc., 5.72%, due 02/23/19 Counterparty: Morgan Stanley
		03/20/19		407,553		10,000		(161,725)		245,828

				$1,691,825		$49,250		$(413,162)		$1,278,663

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

Notes:

¹	Cost for federal income tax purposes is $2,158,742,732 and net unrealized appreciation/(depreciation) consists of:


Gross unrealized appreciation	$ 76,963,660
Gross unrealized depreciation	(38,460,945	)

Net unrealized appreciation	$ 38,502,715

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

³	Floating rate security. The rate disclosed was in effect at March 31, 2014.

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.

⁵	Non-income producing security.

⁶	Illiquid security as determined under procedures approved by the Funds’ Board of Trustees. The aggregate value of illiquid securities is $4,975,001, which is 0.22% of total net assets.

⁷	Worthless due to company bankruptcy filing.

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

¹³	Represents the current yield as of March 31, 2014.

¹⁴	Represents annualized yield at date of purchase.

¹⁵	Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $11,000.

†

Fair valued security. The aggregate value of fair valued securities is $5,575,907, which is 0.25% 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 sooner than the stated maturity.

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

(MTN): Medium-term note

(PIK): Payment in kind

(WI): When issued


Issues	Maturity Date			Principal Amount		Value
BONDS – 88.79%
ASSET-BACKED SECURITIES — 18.79%**
Access Group, Inc., Series 2001, Class 2A1
0.60%		05/25/29	²	$	3,434,520	$	3,283,626
Aircastle Aircraft Lease Backed Trust, Series 2007-1A, Class G1
0.46%		06/14/37	^2,3		95,807		91,556
American Money Management Corp., Series 2013-13A, Class A1L (Cayman Islands)
1.74%		01/24/26	^2,3,4		1,150,000		1,148,373
ARES CLO Ltd., Series 2007-12A, Class A (Cayman Islands)
0.86%		11/25/20	^2,3,4		862,555		858,601
Avalon IV Capital Ltd., Series 2012-1A, Class C (Cayman Islands)
3.84%		04/17/23	^2,3,4		1,715,000		1,715,396
Axis Equipment Finance Receivables LLC, Series 2012-1I, Class D
5.50%		11/20/15			10,000		10,046
Axis Equipment Finance Receivables LLC, Series 2012-1I, Class E1
6.25%		04/20/16			10,000		10,063
Axis Equipment Finance Receivables LLC, Series 2012-1I, Class E2
7.00%		03/20/17	^†		15,000		14,443
Babson CLO Ltd., Series 2013-IA, Class A (Cayman Islands)
1.34%		04/20/25	^2,3,4		1,400,000		1,376,927
Beacon Container Finance LLC, Series 2012-1A, Class A
3.72%		09/20/27	³		106,577		106,848
Blue Hill CLO Ltd., Series 2013-1A, Class C1
3.29%		01/15/26	^2,3		1,300,000		1,296,451
BlueMountain CLO Ltd., Series 2013-1A, Class A1 (Cayman Islands)
1.44%		05/15/25	^2,3,4		1,580,000		1,563,108
BlueMountain CLO Ltd., Series 2013-4A, Class E (Cayman Islands)
5.34%		04/15/25	^2,3,4		50,000		47,404
Brazos Higher Education Authority, Inc., Series 2005-3, Class A16
0.43%		06/25/26	²		150,000		147,347
Brazos Higher Education Authority, Inc., Series 2006-2, Class A9
0.24%		12/26/24	²		35,195		33,931
Brazos Higher Education Authority, Inc., Series 2011-1, Class A2
1.04%		02/25/30	²		187,453		189,342
CAL Funding II Ltd., Series 2012-1A, Class A (Bermuda)
3.47%		10/25/27	^3,4		300,417		299,102
Cent CLO LP, Series 2013-17A, Class A1 (Cayman Islands)
1.54%		01/30/25	^2,3,4		1,710,000		1,695,391


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
CIFC Funding Ltd., Series 2012-2A, Class A1L (Cayman Islands)
1.64%		12/05/24	^2,3,4	$	1,900,000	$	1,896,496
Cronos Containers Program Ltd., Series 2012-1A, Class A (Bermuda)
4.21%		05/18/27	^3,4		40,833		40,949
Cronos Containers Program Ltd., Series 2012-2A, Class A (Bermuda)
3.81%		09/18/27	^3,4		85,000		85,736
Dryden Senior Loan Fund, Series 2013-26A, Class C (Cayman Islands)
2.74%		07/15/25	^2,3,4		900,000		870,723
Dryden XXII Senior Loan Fund, Series 2013-30A, Class C (Cayman Islands)
3.09%		11/15/25	^2,3,4		1,330,000		1,329,695
Education Loan Asset-Backed Trust, Series 2013-1A, Class A2
0.95%		04/26/32	^2,3		3,465,000		3,421,357
Educational Funding of the South, Inc., Series 2012-1, Class A
1.20%		03/25/36	²		218,712		222,692
Educational Services of America, Inc., Series 2012-2, Class A
0.88%		04/25/39	^2,3		473,755		476,641
Flatiron CLO Ltd., Series 2013-1A, Class A1 (Cayman Islands)
1.69%		01/17/26	^2,3,4		1,300,000		1,294,995
GCO Education Loan Funding Trust, Series 2006-2AR, Class A1RN
0.80%		08/27/46	^2,3		3,377,733		3,259,380
GCO Education Loan Funding Trust, Series 2007-1A, Class A5L
0.30%		05/25/23	^2,3		359,501		356,552
GE Business Loan Trust, Series 2004-1, Class B
0.86%		05/15/32	^2,3		33,310		31,176
GE Business Loan Trust, Series 2004-2A, Class A
0.38%		12/15/32	^2,3		1,206,454		1,146,152
GE Business Loan Trust, Series 2005-1A, Class A3
0.40%		06/15/33	^2,3		1,906,510		1,791,460
Goal Capital Funding Trust, Series 2006-1, Class A3
0.36%		11/25/26	²		415,581		411,834
Goal Capital Funding Trust, Series 2006-1, Class B
0.68%		08/25/42	²		824,505		734,170
GoldenTree Loan Opportunities VII Ltd., Series 2013-7A, Class A (Cayman Islands)
1.39%		04/25/25	^2,3,4		1,800,000		1,776,843
GoldenTree Loan Opportunities VIII Ltd., Series 2014-8A, Class C (Cayman Islands)
2.86%		04/19/26	^2,3,4,†		1,875,000		1,851,558


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Halcyon Loan Advisors Funding Ltd., Series 2012-2A, Class C (Cayman Islands)
3.08%		12/20/24	^2,3,4	$	400,000	$	397,688
ING Investment Management CLO Ltd., Series 2013-1A, Class A1 (Cayman Islands)
1.38%		04/15/24	^2,3,4		1,350,000		1,330,066
ING Investment Management CLO Ltd., Series 2013-3A, Class B (Cayman Islands)
2.94%		01/18/26	^2,3,4		1,500,000		1,490,613
ING Investment Management Ltd., Series 2012-4A, Class A1 (Cayman Islands)
1.63%		10/15/23	^2,3,4		1,800,000		1,796,659
J.G. Wentworth XX LLC, Series 2010-1A, Class B
9.31%		07/15/61	³		685,000		858,019
J.G. Wentworth XXX LLC, Series 2013-3A, Class B
5.54%		01/15/75	³		1,295,000		1,372,851
Jasper CLO Ltd., Series 2005-1A, Class A (Cayman Islands)
0.51%		08/01/17	^2,3,4		236,056		235,576
LCM VI Ltd., Series 6A, Class A (Cayman Islands)
0.46%		05/28/19	^2,3,4		525,000		513,451
Limerock CLO, Series 2014-2A, Class A (Cayman Islands)
1.74%		04/18/26	^2,3,4		1,700,000		1,701,697
MSIM Peconic Bay Ltd., Series 2007-1A, Class C (Cayman Islands)
2.24%		07/20/19	^2,3,4		1,280,000		1,282,464
National Collegiate Student Loan Trust, Series 2006-1, Class A3
0.34%		05/25/26	²		1,313,248		1,295,445
National Collegiate Student Loan Trust, Series 2006-2, Class A2
0.30%		07/25/26	²		1,549,971		1,537,884
National Collegiate Student Loan Trust, Series 2006-4, Class A2
0.29%		12/27/27	²		2,435,326		2,396,663
National Collegiate Student Loan Trust, Series 2007-2, Class A2
0.28%		06/26/28	²		1,743,816		1,661,445
National Collegiate Student Loan Trust, Series 2007-4, Class A2A3
3.65%		12/26/25	²		50,000		49,772
Nelnet Education Loan Funding, Inc., Series 2004-1A, Class B1
1.06%		02/25/36	^2,3,†		150,000		116,249
Nelnet Education Loan Funding, Inc., Series 2004-1A, Class B2
1.13%		02/25/36	^2,3,†		825,000		639,371
Nelnet Student Loan Trust, Series 2008-4, Class A4
1.72%		04/25/24	²		1,575,000		1,619,139


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Nelnet Student Loan Trust, Series 2012-5A, Class A
0.75%		10/27/36	^2,3	$	278,402	$	279,563
Neuberger Berman CLO Ltd., Series 2014-16A, Class A1
1.74%		04/15/26	^2,3		1,710,000		1,708,938
Nomad CLO Ltd., Series 2013-1A, Class A1 (Cayman Islands)
1.44%		01/15/25	^2,3,4		1,680,000		1,661,307
North End CLO Ltd., Series 2013-1A, Class C (Cayman Islands)
2.99%		07/17/25	^2,3,4		1,550,000		1,517,177
Northstar Education Finance, Inc.
0.99%		01/29/46	²		135,000		134,677
Oak Hill Credit Partners, Series 2012-7A, Class A (Cayman Islands)
1.66%		11/20/23	^2,3,4		200,000		199,458
Race Point CLO Ltd., Series 2012-7A, Class A (Cayman Islands)
1.66%		11/08/24	^2,3,4		250,000		250,035
Red River CLO Ltd., Series 1A, Class A (Cayman Islands)
0.51%		07/27/18	^2,3,4		246,955		244,295
Scholar Funding Trust, Series 2011-A, Class A
1.14%		10/28/43	^2,3		262,204		263,394
Scholar Funding Trust, Series 2012-B, Class A2
1.25%		03/28/46	^2,3		150,000		152,463
SLC Student Loan Trust I, Series 2002-2, Class B2
1.64%		07/01/42	^2,3		100,000		76,693
SLC Student Loan Trust, Series 2004-1, Class B
0.53%		08/15/31	²		1,074,917		967,826
SLC Student Loan Trust, Series 2005-2, Class B
0.51%		03/15/40	²		851,699		765,701
SLC Student Loan Trust, Series 2006-1, Class B
0.44%		03/15/39	²		1,644,427		1,466,800
SLC Student Loan Trust, Series 2006-2, Class A5
0.33%		09/15/26	²		175,000		171,651
SLC Student Loan Trust, Series 2006-2, Class B
0.46%		12/15/39	²		1,159,641		1,030,871
SLM Student Loan Trust, Series 2003-11, Class A6
0.98%		12/15/25	^2,3		250,000		250,052
SLM Student Loan Trust, Series 2004-2, Class B
0.71%		07/25/39	²		1,081,369		979,605


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
SLM Student Loan Trust, Series 2004-5A, Class A5
0.84%		10/25/23	^2,3	$	1,720,000	$	1,730,161
SLM Student Loan Trust, Series 2004-B, Class A4
0.66%		09/15/33	²		1,500,000		1,267,338
SLM Student Loan Trust, Series 2005-10, Class A4
0.35%		10/25/19	²		1,720,866		1,718,508
SLM Student Loan Trust, Series 2005-4, Class B
0.42%		07/25/40	²		1,095,666		965,500
SLM Student Loan Trust, Series 2005-8, Class A3
0.35%		10/25/24	²		1,762,601		1,758,836
SLM Student Loan Trust, Series 2005-9, Class B
0.54%		01/25/41	²		1,627,101		1,432,546
SLM Student Loan Trust, Series 2006-2, Class A4
0.33%		10/25/22	²		3,362,558		3,359,754
SLM Student Loan Trust, Series 2006-2, Class A6
0.41%		01/25/41	²		1,800,000		1,636,510
SLM Student Loan Trust, Series 2006-4, Class A5
0.34%		10/27/25	²		3,290,000		3,279,018
SLM Student Loan Trust, Series 2006-8, Class A6
0.40%		01/25/41	²		1,800,000		1,632,652
SLM Student Loan Trust, Series 2006-9, Class A5
0.34%		01/26/26	²		200,000		196,138
SLM Student Loan Trust, Series 2006-B, Class A5
0.50%		12/15/39	²		2,595,000		2,339,360
SLM Student Loan Trust, Series 2007-3, Class A4
0.30%		01/25/22	²		215,000		207,799
SLM Student Loan Trust, Series 2007-6, Class B
1.09%		04/27/43	²		698,336		625,168
SLM Student Loan Trust, Series 2007-7, Class B
0.99%		10/25/28	²		1,740,000		1,563,183
SLM Student Loan Trust, Series 2007-8, Class B
1.24%		04/27/43	²		1,664,365		1,512,306
SLM Student Loan Trust, Series 2008-2, Class B
1.44%		01/25/29	²		710,000		645,775
SLM Student Loan Trust, Series 2008-3, Class B
1.44%		04/25/29	²		710,000		658,649


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
SLM Student Loan Trust, Series 2008-4, Class A4
1.89%		07/25/22	²	$	2,200,000	$	2,322,485
SLM Student Loan Trust, Series 2008-4, Class B
2.09%		04/25/29	²		710,000		690,182
SLM Student Loan Trust, Series 2008-5, Class A3
1.54%		01/25/18	²		215,000		216,811
SLM Student Loan Trust, Series 2008-5, Class A4
1.94%		07/25/23	²		2,930,000		3,080,315
SLM Student Loan Trust, Series 2008-5, Class B
2.09%		07/25/29	²		1,525,000		1,547,096
SLM Student Loan Trust, Series 2008-6, Class B
2.09%		07/25/29	²		710,000		702,440
SLM Student Loan Trust, Series 2008-7, Class B
2.09%		07/25/29	²		710,000		704,950
SLM Student Loan Trust, Series 2008-8, Class A4
1.74%		04/25/23	²		3,210,000		3,342,557
SLM Student Loan Trust, Series 2008-8, Class B
2.49%		10/25/29	²		710,000		732,157
SLM Student Loan Trust, Series 2008-9, Class B
2.49%		10/25/29	²		1,500,000		1,570,861
SLM Student Loan Trust, Series 2010-1, Class A
0.55%		03/25/25	²		641,900		643,396
SLM Student Loan Trust, Series 2011-1, Class A2
1.30%		10/25/34	²		2,680,000		2,753,149
SLM Student Loan Trust, Series 2011-2, Class A2
1.35%		10/25/34	²		1,535,000		1,598,026
SLM Student Loan Trust, Series 2012-1, Class A3
1.10%		09/25/28	²		1,300,000		1,338,635
SLM Student Loan Trust, Series 2012-2, Class A
0.85%		01/25/29	²		1,663,287		1,671,400
SLM Student Loan Trust, Series 2012-7, Class A3
0.80%		05/26/26	²		200,000		200,176
SLM Student Loan Trust, Series 2013-3, Class A2
0.45%		05/26/20	²		3,360,000		3,364,208
SLM Student Loan Trust, Series 2013-4, Class A
0.70%		06/25/27	²		3,211,652		3,205,837


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
SLM Student Loan Trust, Series 2013-6, Class A2
0.65%		02/25/21	²	$	1,760,000	$	1,768,498
SLM Student Loan Trust, Series 2014-1, Class A3
0.75%		02/26/29	²		1,670,000		1,672,846
Sound Point CLO Ltd., Series 2012-1A, Class C (Cayman Islands)
3.54%		10/20/23	^2,3,4		1,800,000		1,815,980
Spirit Master Funding LLC, Series 2013-2A, Class A
5.27%		12/20/43	³		1,537,652		1,577,386
Structured Receivables Finance LLC, Series 2010-A, Class B
7.61%		01/16/46	^3,†		915,852		1,087,198
Structured Receivables Finance LLC, Series 2010-B, Class B
7.97%		08/15/36	^3,†		720,000		883,021
Symphony CLO Ltd., Series 2012-9A, Class C (Cayman Islands)
3.49%		04/16/22	^2,3,4		1,645,000		1,645,359
Symphony CLO Ltd., Series 2013-12A, Class C (Cayman Islands)
2.98%		10/15/25	^2,3,4		950,000		938,383
TAL Advantage LLC, Series 2006-1, Class NOTE
0.35%		04/20/21	^2,3		29,167		28,837
Textainer Marine Containers Ltd., Series 2005-1A, Class A (Bermuda)
0.41%		05/15/20	^2,3,4		49,583		49,488
Textainer Marine Containers Ltd., Series 2011-1A, Class A (Bermuda)
4.70%		06/15/26	^3,4		36,250		36,295
Triton Container Finance LLC, Series 2007-1A, Class NOTE
0.29%		02/26/19	^2,3		39,188		39,036

Total Asset-Backed Securities
(Cost $133,473,879)							135,058,131


BANK LOANS — 0.54%*
Automotive — 0.07%
Navistar, Inc., Term Loan B, 1st Lien
5.75%		08/17/17	²		500,000		509,165

Electric — 0.09%
Dynegy, Inc., Term Loan B2, 1st Lien
4.00%		04/23/20	²		610,769		614,397

Energy — 0.14%
Alinta Energy Finance Pty Ltd., Term Loan B, 1st Lien
6.38%		08/13/19	²		933,904		949,079


Issues	Maturity Date			Principal Amount		Value
BANK LOANS (continued)
Energy (continued)
Alinta Energy Finance Pty Ltd., Term Loan DD, 1st Lien
0.50%		08/13/19	²	$	61,404	$	62,402

							1,011,481

Finance — 0.21%
Delos Finance SARL, Term Loan B, 1st Lien
3.50%		03/06/21			1,500,000		1,503,750

Services — 0.03%
AABS Ltd. Loan, Series 2013-1, Class A (STEP) (Bermuda)
5.22%		01/15/38	^2,4,†		213,229		214,820

Total Bank Loans
(Cost $3,769,603)							3,853,613


CORPORATES — 19.78%*
Automotive — 0.54%
Daimler Finance North America LLC
0.84%		01/09/15	^2,3		500,000		501,594
Ford Motor Co.
6.50%		08/01/18			1,000,000		1,151,082
General Motors Co.
4.88%		10/02/23	³		1,710,000		1,748,475
Tenedora Nemak SA de CV (Mexico)
5.50%		02/28/23	^3,4		500,000		509,375

							3,910,526

Banking — 2.01%
Abbey National Treasury Services PLC (United Kingdom)
3.05%		08/23/18	⁴		425,000		438,014
Abbey National Treasury Services PLC/London (United Kingdom)
3.88%		11/10/14	^3,4		125,000		127,573
Akbank TAS (Turkey)
5.00%		10/24/22	^3,4		1,000,000		952,350
Banco de Costa Rica (Costa Rica)
5.25%		08/12/18	^3,4		1,000,000		1,018,750
Banco Santander SA (Spain)
5.95%		01/30/24	^2,3,4		700,000		724,500
Bank of America N.A. (BKNT)
0.51%		06/15/16	²		122,000		120,977
5.30%		03/15/17			1,575,000		1,734,396
6.10%		06/15/17			1,100,000		1,253,618
BBVA Bancomer SA/Texas (Mexico)
6.75%		09/30/22	^3,4		500,000		548,750
Credit Suisse/New York (YCD) (Switzerland)
0.56%		08/24/15	^2,4		3,500,000		3,500,228


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Banking (continued)
HBOS PLC, Series G (MTN) (United Kingdom)
6.75%		05/21/18	^3,4	$	1,425,000	$	1,617,087
National Australia Bank Ltd. (Australia)
1.60%		08/07/15	⁴		250,000		253,278
Royal Bank of Scotland PLC (United Kingdom)
2.55%		09/18/15	⁴		350,000		357,759
6.10%		06/10/23	⁴		700,000		729,556
6.12%		12/15/22	⁴		100,000		104,675
Sberbank of Russia via SB Capital SA (Luxembourg)
5.25%		05/23/23	^3,4		500,000		465,000
VTB Bank OJSC via VTB Capital SA (Luxembourg)
6.95%		10/17/22	^3,4		500,000		500,005

							14,446,516

Communications — 0.60%
CCO Holdings LLC/CCO Holdings Capital Corp. (WI)
8.12%		04/30/20			65,000		71,175
CSC Holdings LLC
6.75%		11/15/21			60,000		67,350
Intelsat Jackson Holdings SA (Luxembourg)
7.25%		10/15/20	⁴		860,000		937,400
Myriad International Holdings BV (Netherlands)
6.00%		07/18/20	^3,4		500,000		548,750
Qwest Corp.
7.25%		09/15/25			300,000		343,758
Sprint Nextel Corp.
9.00%		11/15/18	³		1,250,000		1,529,625
Windstream Corp. (WI)
8.12%		09/01/18			785,000		837,006

							4,335,064

Consumer Discretionary — 0.41%
Catholic Health Initiatives
4.20%		08/01/23			2,700,000		2,754,366
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC (WI)
5.75%		10/15/20			150,000		157,687

							2,912,053

Electric — 2.79%
DPL, Inc.
6.50%		10/15/16			545,000		592,006
Duquesne Light Holdings, Inc.
6.40%		09/15/20	³		2,641,000		3,089,382


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Electric (continued)
Electricite de France SA (France)
5.25%		07/29/49	^2,3,4	$	125,000	$	125,625
5.62%		12/29/49	^2,3,4		1,275,000		1,306,875
Florida Gas Transmission Co. LLC
7.90%		05/15/19	³		1,375,000		1,693,193
GenOn Americas Generation LLC
8.50%		10/01/21			1,025,000		984,000
Homer City Generation LP (PIK)
8.14%		10/01/19	⁵		2,100,000		2,226,000
Hrvatska Elektroprivreda (Croatia)
6.00%		11/09/17	^3,4		500,000		522,500
Ipalco Enterprises, Inc.
7.25%		04/01/16	³		2,850,000		3,131,438
Metropolitan Edison Co.
7.70%		01/15/19			2,230,000		2,697,189
Oncor Electric Delivery Co. LLC
6.80%		09/01/18			1,000,000		1,181,813
PNM Resources, Inc.
9.25%		05/15/15			200,000		219,002
Public Service Co. of New Mexico
5.35%		10/01/21			50,000		53,470
Southwestern Electric Power Co.
6.45%		01/15/19			1,885,000		2,201,591

							20,024,084

Energy — 1.53%
EDC Finance Ltd. (Ireland)
4.88%		04/17/20	^3,4		500,000		456,875
Florida Gas Transmission Co. LLC
4.00%		07/15/15	³		500,000		520,867
GeoPark Latin America Ltd., Agencia En Chile (Bermuda)
7.50%		02/11/20	^3,4		600,000		624,000
Newfield Exploration Co.
5.62%		07/01/24			165,000		171,806
6.88%		02/01/20			125,000		133,750
Pacific Drilling SA (Luxembourg)
5.38%		06/01/20	^3,4		1,400,000		1,396,500
Pacific Drilling V Ltd. (Luxembourg)
7.25%		12/01/17	^3,4		725,000		786,625
Pacific Rubiales Energy Corp., Series REGS
(Canada)
7.25%		12/12/21	²		500,000		551,250
Peabody Energy Corp.
4.75%		12/15/41			900,000		732,375
Petrobras Global Finance BV (Netherlands)
2.38%		01/15/19	^2,4		1,200,000		1,178,890
Petroleos Mexicanos (Mexico)
1.70%		12/20/22	⁴		135,000		132,183


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Energy (continued)
Plains Exploration & Production Co.
6.88%		02/15/23		$	900,000	$	1,005,750
Ruby Pipeline LLC
6.00%		04/01/22	³		1,600,000		1,740,176
Sabine Pass LNG LP
7.50%		11/30/16	³		500,000		537,500
SandRidge Energy, Inc.
8.12%		10/15/22			550,000		602,250
SM Energy Co.
6.50%		01/01/23			165,000		176,963
Tennessee Gas Pipeline Co. LLC
8.00%		02/01/16			225,000		252,258

							11,000,018

Finance — 4.05%
Astoria Depositor Corp.
8.14%		05/01/21	³		440,000		462,000
CIT Group, Inc.
6.62%		04/01/18	³		1,000,000		1,123,750
Citigroup, Inc.
0.78%		08/25/36	²		4,050,000		3,215,390
1.20%		07/25/16	²		1,000,000		1,011,606
4.59%		12/15/15			125,000		132,636
6.12%		05/15/18			100,000		115,039
Ford Motor Credit Co. LLC
3.88%		01/15/15			400,000		409,630
General Electric Capital Corp. (MTN)
0.62%		05/05/26	²		1,000,000		909,366
0.72%		08/15/36	²		4,085,000		3,394,618
4.65%		10/17/21			70,000		77,049
Goldman Sachs Group, Inc.
2.90%		07/19/18			1,000,000		1,020,753
5.95%		01/18/18			75,000		85,009
Goldman Sachs Group, Inc., (MTN)
1.83%		11/29/23	²		1,000,000		1,026,827
Grupo Aval Ltd. (Cayman Islands)
4.75%		09/26/22	^3,4		600,000		580,500
International Lease Finance Corp.
6.50%		09/01/14	³		175,000		179,594
6.75%		09/01/16	³		400,000		448,520
JPMorgan Chase Capital XIII, Series M
1.18%		09/30/34	²		225,000		193,500
JPMorgan Chase Capital XXI, Series U
1.19%		02/02/37	²		7,410,000		5,965,050
JPMorgan Chase Capital XXIII
1.24%		05/15/47	²		3,750,000		2,887,500
KKR Group Finance Co. LLC
6.38%		09/29/20	³		400,000		462,933


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Finance (continued)
Macquarie Bank Ltd. (Australia)
5.00%		02/22/17	^3,4	$	170,000	$	185,751
6.62%		04/07/21	^3,4		1,074,000		1,216,860
Raymond James Financial, Inc.
8.60%		08/15/19			530,000		671,334
Reckson Operating Partnership LP
5.00%		08/15/18			145,000		157,411
Schahin II Finance Co. SPV Ltd. (Cayman Islands)
5.88%		09/25/22	^3,4		464,333		451,564
ZFS Finance USA Trust II
6.45%		12/15/65	^2,3		2,475,000		2,685,375

							29,069,565

Health Care — 1.36%
DaVita, Inc.
5.75%		08/15/22			120,000		128,250
Hartford HealthCare Corp.
5.75%		04/01/44			1,775,000		1,813,277
Hospira, Inc.
5.20%		08/12/20			1,000,000		1,069,737
North Shore Long Island Jewish Health Care, Inc.
6.15%		11/01/43			2,250,000		2,585,538
Providence Health & Services Obligated Group
1.20%		10/01/17	²		3,200,000		3,194,466
Tenet Healthcare Corp.
4.50%		04/01/21			1,000,000		987,500

							9,778,768

Industrials — 0.45%
Cemex Espana Luxembourg (Spain)
9.88%		04/30/19	^3,4		600,000		699,000
Heathrow Funding Ltd. (United Kingdom)
2.50%		06/25/15	^3,4		200,000		203,083
4.88%		07/15/21	^3,4		700,000		755,470
Odebrecht Offshore Drilling Finance Ltd. (Cayman Islands)
6.75%		10/01/22	^3,4		486,450		505,908
Sydney Airport Finance Co. Pty Ltd. (Australia)
3.90%		03/22/23	^3,4		325,000		318,500
5.12%		02/22/21	^3,4		660,000		715,458

							3,197,419

Insurance — 0.56%
Farmers Exchange Capital
7.20%		07/15/48	³		150,000		181,946


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Insurance (continued)
Farmers Exchange Capital II
6.15%		11/01/53	^2,3	$	2,500,000	$	2,739,093
Farmers Insurance Exchange
6.00%		08/01/14	³		200,000		202,675
Metropolitan Life Global Funding I
1.50%		01/10/18	³		500,000		496,655
1.70%		06/29/15	³		175,000		177,361
Nationwide Mutual Insurance Co.
5.81%		12/15/24	^2,3		250,000		253,437

							4,051,167

Materials — 0.29%
Barrick Gold Corp. (WI)(Canada)
4.10%		05/01/23	⁴		900,000		856,640
Cia. Minera Milpo SAA (Peru)
4.62%		03/28/23	^3,4		500,000		467,500
Southern Copper Corp.
5.25%		11/08/42			750,000		647,414
Vale Overseas Ltd. (Cayman Islands)
6.88%		11/21/36	⁴		125,000		133,810

							2,105,364

Real Estate Investment Trust (REIT) — 3.43%
Arc Properties Operating Partnership LP Clark Acquisition LLC
2.00%		02/06/17	³		2,700,000		2,690,783
AvalonBay Communities, Inc.
3.62%		10/01/20			1,500,000		1,543,495
Boston Properties LP
5.62%		11/15/20			1,750,000		1,993,565
5.88%		10/15/19			200,000		231,026
BRE Properties, Inc.
5.50%		03/15/17			2,197,000		2,435,269
Essex Portfolio LP
3.62%		08/15/22			250,000		242,526
HCP, Inc.
2.62%		02/01/20			1,290,000		1,261,027
3.75%		02/01/19			210,000		221,098
5.62%		05/01/17			100,000		111,980
6.00%		01/30/17			1,000,000		1,125,653
Health Care REIT, Inc.
4.95%		01/15/21			1,020,000		1,109,249
Healthcare Realty Trust, Inc.
5.75%		01/15/21			250,000		277,641
6.50%		01/17/17			875,000		988,033
Highwoods Realty LP
7.50%		04/15/18			800,000		937,284
Host Hotels & Resorts LP (WI)
5.88%		06/15/19			2,250,000		2,438,204


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Real Estate Investment Trust (REIT) (continued)
Liberty Property LP (MTN)
7.50%		01/15/18		$	900,000	$	1,045,674
Mack-Cali Realty LP
2.50%		12/15/17			1,000,000		1,006,973
Post Apartment Homes LP
3.38%		12/01/22			100,000		94,760
4.75%		10/15/17			270,000		295,846
SL Green Realty Corp./SL Green Operating Partnership
7.75%		03/15/20			2,375,000		2,845,410
WEA Finance LLC
4.62%		05/10/21	³		750,000		821,923
WEA Finance LLC/WCI Finance LLC
5.70%		10/01/16	³		125,000		138,766
WEA Finance LLC/WT Finance Aust Pty Ltd.
5.75%		09/02/15	³		150,000		160,032
6.75%		09/02/19	³		550,000		661,916

							24,678,133

Transportation — 1.76%
America West Airlines Pass-Through Trust, Series 2001-1, Class 11G
7.10%		04/02/21			1,905,674		2,103,388
American Airlines Pass-Through Trust, Series 2011-1, Class A
5.25%		01/31/21			60,911		66,088
American Airlines Pass-Through Trust, Series 2013-2, Class A
4.95%		01/15/23	³		1,843,761		1,988,957
Autopistas Metropolitanas de Puerto Rico LLC
6.75%		06/30/35	³		750,000		656,353
Continental Airlines Pass-Through Trust, Series 1997, Class 4A
6.90%		01/02/18			91,723		99,061
Continental Airlines Pass-Through Trust, Series 1999-1, Class A
6.54%		08/02/20			2,186,637		2,434,684
Continental Airlines Pass-Through Trust, Series 2012-1, Class B
6.25%		04/11/20			71,199		76,450
Delta Air Lines Pass-Through Trust, Series 2002, Class G1
6.72%		01/02/23			1,204,073		1,411,775
JetBlue Airways Pass-Through Trust, Series 2004, Class G2
0.69%		11/15/16	²		250,000		244,219
UAL Pass-Through Trust, Series 2009-2A
9.75%		01/15/17			2,403,900		2,770,495
US Airways Pass-Through Trust, Series 2010-1, Class A
6.25%		04/22/23			587,023		668,472


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Transportation (continued)
US Airways Pass-Through Trust, Series 2012-1, Class A
5.90%		10/01/24		$	120,058	$	134,840

							12,654,782

Total Corporates
(Cost $139,274,800)							142,163,459


FOREIGN GOVERNMENT OBLIGATIONS — 0.65%
Foreign Government Obligations — 0.65%
Hungary Government International Bond (Hungary)
4.12%		02/19/18	⁴		750,000		765,000
Kommunalbanken AS (Norway)
0.23%		08/28/14	^2,3,4		710,000		709,891
Perusahaan Penerbit SBSN Indonesia (Indonesia)
6.12%		03/15/19	^3,4		1,000,000		1,097,500
Republic of Serbia (Republic of Serbia)
7.25%		09/28/21	⁴		450,000		505,732
Romanian Government Bond (Romania)
4.88%		01/22/24	^3,4		1,000,000		1,025,000
Slovenia Government International Bond (Slovenia)
5.50%		10/26/22	^3,4		500,000		535,000

Total Foreign Government Obligations
(Cost $4,468,296)							4,638,123


MORTGAGE-BACKED — 42.92%**
Commercial Mortgage-Backed — 5.69%
Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2005-6, Class A4
5.18%		09/10/47	²		105,000		110,994
Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2006-5, Class A2
5.32%		09/10/47			461,875		464,896
Bayview Commercial Asset Trust, Series 2004-2, Class A
0.58%		08/25/34	^2,3		1,164,527		1,097,099
Bayview Commercial Asset Trust, Series 2005-3A, Class A1
0.47%		11/25/35	^2,3		322,150		282,171
Bayview Commercial Asset Trust, Series 2008-4, Class A3
2.90%		07/25/38	^2,3		1,200,000		1,161,537
Bear Stearns Commercial Mortgage Securities Trust, Series 2004-PWR4, Class A3
5.47%		06/11/41	²		274,304		274,532


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed (continued)
Bear Stearns Commercial Mortgage Securities Trust, Series 2006-PW14, Class A3
5.21%		12/11/38		$	539,548	$	543,859
Bear Stearns Commercial Mortgage Securities Trust, Series 2006-T22, Class A4
5.58%		04/12/38	²		118,867		127,685
Bear Stearns Commercial Mortgage Securities Trust, Series 2007-PW17, Class A3
5.74%		06/11/50			918,394		947,926
Commercial Mortgage Trust, Series 2006-C8, Class AAB
5.29%		12/10/46			363,132		368,636
Credit Suisse First Boston Mortgage Securities Corp., Series 2005-C5, Class A4
5.10%		08/15/38	²		64,652		67,257
Credit Suisse First Boston Mortgage Securities Corp., Series 2005-C6, Class A4
5.23%		12/15/40	²		66,057		69,522
DBUBS Mortgage Trust, Series 2011-LC3A, Class A2
3.64%		08/10/44			470,000		494,584
GE Business Loan Trust, Series 2003-1, Class B
1.46%		04/15/31	^2,3		25,442		22,914
GE Business Loan Trust, Series 2003-2A, Class A
0.52%		11/15/31	^2,3		1,205,706		1,156,265
GE Business Loan Trust, Series 2004-2A, Class C
1.00%		12/15/32	^2,3		58,851		52,678
GE Business Loan Trust, Series 2006-2A, Class A
0.34%		11/15/34	^2,3		2,905,579		2,694,147
Greenwich Capital Commercial Funding Corp., Series 2006-GG7, Class A4
5.82%		07/10/38	²		1,241,774		1,349,958
GS Mortgage Securities Corp. II, Series 2011-GC5, Class A4
3.71%		08/10/44			163,000		169,112
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2004-C3, Class A5
4.88%		01/15/42			3,300,000		3,367,653
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2004-CBX, Class A5
4.65%		01/12/37			387,050		387,780
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2005-CB12, Class A4
4.90%		09/12/37			90,000		93,627


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		$	452,786	$	458,067
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2005-LDP3, Class A4A
4.94%		08/15/42	²		1,562,985		1,629,838
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2005-LDP5, Class A3
5.27%		12/15/44	²		509,628		516,239
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2006-CB14, Class ASB
5.51%		12/12/44	²		124,980		128,763
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2006-CB17, Class ASB
5.42%		12/12/43			101,291		105,831
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2006-LDP8, Class A4
5.40%		05/15/45			173,463		187,969
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-C1, Class ASB
5.86%		02/15/51			426,845		455,134
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-CB19, Class ASB
5.68%		02/12/49	²		222,302		235,973
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2011-C5, Class A3
4.17%		08/15/46			1,355,000		1,446,172
LB-UBS Commercial Mortgage Trust, Series 2004-C7, Class A1A
4.48%		10/15/29			191,687		194,412
Lehman Brothers Small Balance Commercial Mortgage Trust, Series 2006-2A, Class 1A
0.35%		09/25/36	²^,3		1,400,500		1,290,988
Merrill Lynch Mortgage Investors, Inc., Series 2005-LC1, Class A4
5.29%		01/12/44	²		51,157		54,262
Merrill Lynch Mortgage Trust, Series 2005-CIP1, Class A3A
4.95%		07/12/38	²		3,500,000		3,541,836
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-C6, Class A3
2.51%		11/15/45			947,000		933,419
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-C6, Class A4
2.86%		11/15/45			1,360,000		1,304,723


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed (continued)
Morgan Stanley Capital I Trust, Series 2006-T23, Class A3
5.81%		08/12/41	²	$	3,040,562	$	3,076,769
Morgan Stanley Capital I Trust, Series 2001-C3, Class A2
3.22%		08/15/49			137,805		143,873
Morgan Stanley Capital I Trust, Series 2005-T19, Class A4A
4.89%		06/12/47			124,342		129,407
Morgan Stanley Capital I Trust, Series 2006-IQ12, Class A4
5.33%		12/15/43			98,052		106,867
Morgan Stanley Capital I Trust, Series 2006-T21, Class A4
5.16%		10/12/52	²		295,000		312,633
Morgan Stanley Capital I Trust, Series 2006-T23, Class A4
5.81%		08/12/41	²		940,000		1,025,025
Morgan Stanley Capital I Trust, Series 2007-T27, Class A4
5.65%		06/11/42	²		1,100,000		1,232,227
Morgan Stanley Capital I Trust, Series 2011-C3, Class A4
4.12%		08/15/49			90,000		95,486
Morgan Stanley Capital I Trust, Series 2012-C4, Class A4
3.24%		03/15/45			1,200,000		1,201,540
Spirit Master Funding LLC, Series 2005-1, Class A1
5.05%		07/20/23	³		121,170		124,090
Wachovia Bank Commercial Mortgage Trust, Series 2005-C20, Class A7
5.12%		07/15/42	²		553,034		578,074
WF-RBS Commercial Mortgage Trust, Series 2010-C8, Class A3
3.00%		08/15/45			1,380,000		1,345,989
WF-RBS Commercial Mortgage Trust, Series 2011-C2, Class A2
3.79%		02/15/44	³		1,100,000		1,150,213
WF-RBS Commercial Mortgage Trust, Series 2011-C5, Class A2
2.68%		11/15/44			110,000		113,793
WF-RBS Commercial Mortgage Trust, Series 2011-C5, Class A4
3.67%		11/15/44			1,300,000		1,340,262
WF-RBS Commercial Mortgage Trust, Series 2012-C9, Class A3
2.87%		11/15/45			1,185,000		1,139,073

							40,903,779


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed — 31.10%
Aames Mortgage Investment Trust, Series 2006-1, Class A4
0.43%		04/25/36	²	$	1,725,000	$	1,439,224
ACE Securities Corp., Series 2003-MH1, Class B1
6.50%		08/15/30	^2,3		32,403		33,144
ACE Securities Corp., Series 2006-OP2, Class A2C
0.30%		08/25/36	²		872,395		677,644
ACE Securities Corp., Series 2007-ASP1, Class A2D
0.53%		03/25/37	²		4,516,961		2,619,995
Adjustable Rate Mortgage Trust, Series 2005-5, Class 6A21
0.38%		09/25/35	²		888,702		845,118
American Home Mortgage Investment Trust, Series 2007-1, Class GA1C
0.34%		05/25/47	²		905,740		647,188
Asset-Backed Funding Certificates, Series 2007-NC1, Class A2
0.45%		05/25/37	^2,3		4,432,000		2,705,537
Asset-Backed Funding Certificates, Series 2007-WMC1, Class A2B
1.15%		06/25/37	²		3,753,877		2,528,842
Asset-Backed Securities Corp. Home Equity Loan Trust, Series 2004-HE9, Class M1
1.13%		12/25/34	²		2,657,921		2,365,783
Banc of America Alternative Loan Trust, Series 2003-3, Class A4
5.75%		05/25/33			982,016		1,070,310
Banc of America Alternative Loan Trust, Series 2003-4, Class 1A5
5.50%		06/25/33			996,640		1,077,389
Banc of America Alternative Loan Trust, Series 2003-8, Class 1CB1
5.50%		10/25/33			2,906,226		2,989,213
Banc of America Alternative Loan Trust, Series 2003-9, Class 1CB5
5.50%		11/25/33			974,112		1,004,119
Banc of America Alternative Loan Trust, Series 2005-2, Class 4A1
5.50%		03/25/20			237,118		240,693
Banc of America Funding Corp., Series 2004-B, Class 5A1
2.83%		11/20/34	²		1,033,350		997,420
Banc of America Funding Corp., Series 2006-G, Class 2A1
0.38%		07/20/36	²		3,502,183		3,292,763
Banc of America Funding Corp., Series 2006-G, Class 2A4
0.45%		07/20/36	²		1,550,000		1,421,364


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Banc of America Funding Corp., Series 2006-H, Class 2A3
2.81%		09/20/46	²	$	2,311,039	$	1,936,010
BCAP LLC Trust, Series 2009-RR4, Class 1A1
9.50%		06/26/37	³		1,294,424		1,360,091
BCAP LLC Trust, Series 2012-R11, Class 11A1
2.60%		09/26/36	^2,3		2,353,518		2,394,434
BCAP LLC Trust, Series 2013-RR2, Class 6A1
3.00%		06/26/37	^2,3		816,743		818,566
Bear Stearns ALT-A Trust, Series 2005-7, Class 25A1
2.52%		09/25/35	²		116,257		94,506
Bear Stearns ARM Trust, Series 2005-2, Class A1
2.56%		03/25/35	²		738,999		751,314
Bear Stearns Asset-Backed Securities Trust, Series 2005-AC6, Class 1A3
5.50%		09/25/35	²		1,413,006		1,457,746
Bear Stearns Asset-Backed Securities Trust, Series 2006-AC2, Class 21A3
6.00%		03/25/36			432,551		383,851
Bear Stearns Asset-Backed Securities Trust, Series 2006-HE9, Class 1A2
0.30%		11/25/36	²		2,750,494		1,926,689
BNC Mortgage Loan Trust, Series 2007-4, Class A3A
0.40%		11/25/37	²		372,435		371,296
Centex Home Equity Loan Trust, Series 2005-D, Class M1
0.58%		10/25/35	²		350,000		340,843
Centex Home Equity Loan Trust, Series 2006-A, Class AV4
0.40%		06/25/36	²		4,450,000		3,953,198
Chase Mortgage Finance Corp., Series 2007-A1, Class 8A1
2.65%		02/25/37	²		3,715,878		3,790,913
Citigroup Mortgage Loan Trust, Inc., Series 2005-9, Class 1A1
0.41%		11/25/35	²		164,619		113,277
Citigroup Mortgage Loan Trust, Inc., Series 2005-WF2, Class MV1
0.80%		08/25/35	²		628,363		620,545
Citigroup Mortgage Loan Trust, Inc., Series 2006-AR3, Class 1A2A
5.40%		06/25/36	²		1,144,690		1,061,013
Citigroup Mortgage Loan Trust, Inc., Series 2006-HE2, Class A2D
0.39%		08/25/36	²		2,300,000		1,910,223


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Citigroup Mortgage Loan Trust, Inc., Series 2006-NC1, Class A2C
0.29%		08/25/36		$	4,170,855	$	3,096,860
Citigroup Mortgage Loan Trust, Inc., Series 2006-WFH2, Class A2A
0.30%		08/25/36	²		352,162		329,549
Citigroup Mortgage Loan Trust, Inc., Series 2007-WFH1, Class A4
0.35%		01/25/37	²		4,000,000		3,361,660
Citigroup Mortgage Loan Trust, Inc., Series 2007-WFH2, Class A3
0.33%		03/25/37	²		1,500,000		1,463,921
Citigroup Mortgage Loan Trust, Inc., Series 2010-9, Class 5A (STEP)
8.24%		03/25/37	³		290,000		303,118
Conseco Financial Corp., Series 1998-6, Class A8
6.66%		06/01/30			85,967		92,520
Countrywide Alternative Loan Trust, Series 2007-HY5R, Class 2A1A
3.02%		03/25/47	²		76,421		75,334
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2004-HYB7, Class 3A
2.65%		11/20/34	²		203,581		195,394
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2005-4, Class 4A1
0.44%		02/25/35	²		70,905		54,722
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2005-9, Class 1A1
0.45%		05/25/35	²		238,298		206,301
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2007-J2, Class 2A1
0.80%		07/25/37	²		3,572,923		2,503,315
Credit Suisse First Boston Commercial Mortgage Trust, Series 2003-AR26, Class 3A1
2.48%		11/25/33	²		3,163,310		3,207,023
Credit Suisse First Boston Commercial Mortgage Trust, Series 2005-11, Class 1A1
6.50%		12/25/35			1,137,111		926,873
Credit Suisse First Boston Commercial Mortgage Trust, Series 2006-8, Class 3A1
6.00%		10/25/21			675,384		647,377
Credit Suisse First Boston Mortgage Securities Corp., Series 2004-AR5, Class 9A1
2.30%		06/25/34	²		992,808		1,009,513
Credit Suisse Mortgage Capital Certificates, Series 2013-3R, Class 5A1
2.50%		10/27/36	^2,3		964,514		968,414


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB1, Class AF4 (STEP)
3.55%		01/25/36		$	3,007,031	$	2,263,348
Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB2, Class AF3 (STEP)
3.84%		12/25/36			1,000,000		661,464
Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB3, Class AV4
0.41%		03/25/36	²		2,900,000		1,941,506
Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB9, Class A2
0.26%		11/25/36	²		4,905,132		2,699,878
Credit-Based Asset Servicing and Securitization LLC, Series 2007-BR2, Class A2
0.38%		02/25/37	²		2,098,692		1,034,097
Credit-Based Asset Servicing and Securitization LLC, Series 2007-BR4, Class A2B
0.35%		05/25/37	²		3,964,475		2,518,296
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB1, Class AF2 (STEP)
4.30%		01/25/37			324,168		177,989
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB2, Class A2B (STEP)
4.82%		02/25/37			4,601,314		3,385,707
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB2, Class A2C (STEP)
4.82%		02/25/37			1,624,804		1,195,469
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB3, Class A3 (STEP)
4.29%		03/25/37			2,647,407		1,651,646
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB5, Class A1 (STEP)
0.21%		04/25/37	²		3,023,473		1,962,923
Credit-Based Asset Servicing and Securitization LLC, Series 2007-NC1, Class A2B
0.30%		12/25/36	²		3,493,279		1,878,658
DBRR Trust, Series 2012-EZ1, Class A
0.95%		09/25/45	³		83,664		83,835
DBRR Trust, Series 2013-EZ2, Class A
0.85%		02/25/43	^2,3		729,480		726,197
Deutsche Mortgage Securities, Inc., Series 2010-RS2, Class A3
3.89%		06/28/47	^2,3		3,400,000		3,459,619


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Downey Savings & Loan Association Mortgage Loan Trust, Series 2005-AR6, Class 2A1A
0.45%		10/19/45	²	$	330,407	$	287,261
Downey Savings & Loan Association Mortgage Loan Trust, Series 2006-AR2, Class 2A1A
0.36%		10/19/36	²		1,153,529		1,004,413
Downey Savings & Loan Association Mortgage Loan Trust, Series 2007-AR1, Class 2A1A
0.30%		04/19/48	²		1,522,126		1,307,380
DSLA Mortgage Loan Trust, Series 2004-AR4, Class 2A1A
0.52%		01/19/45	²		2,133,379		1,890,133
Equifirst Loan Securitization Trust, Series 2007-1, Class A2B
0.34%		04/25/37	²		330,000		220,893
First Franklin Mortgage Loan Asset-Backed Certificates, Series 2005-FFA, Class M2 (STEP)
5.98%		03/25/25			105,476		108,969
First Franklin Mortgage Loan Asset-Backed Certificates, Series 2006-FF11, Class 2A3
0.30%		08/25/36	²		2,675,494		1,967,007
First Franklin Mortgage Loan Asset-Backed Certificates, Series 2006-FF18, Class A2D
0.36%		12/25/37	²		3,010,880		1,817,358
First Franklin Mortgage Loan Asset-Backed Certificates, Series 2007-FF2, Class A2B
0.25%		03/25/37	²		1,206,571		743,145
First Horizon Alternative Mortgage Securities Trust, Series 2004-AA3, Class A1
2.20%		09/25/34	²		391,301		382,665
First Horizon Alternative Mortgage Securities Trust, Series 2004-AA3, Class A3
2.20%		09/25/34	²		3,991,273		3,858,206
First Horizon Alternative Mortgage Securities Trust, Series 2004-AA7, Class 1A1
2.24%		02/25/35	²		225,608		204,555
First Horizon Alternative Mortgage Securities Trust, Series 2005-AA7, Class 2A1
2.24%		09/25/35	²		3,970,670		3,524,044
First Horizon Alternative Mortgage Securities, Series 2005-AA3, Class 3A1
2.25%		05/25/35	²		3,483,947		3,307,692
First Horizon Asset Securities, Inc., Series 2004-AR5, Class 2A1
2.58%		10/25/34	²		173,652		171,094
First Horizon Mortgage Pass-Through Trust, Series 2005-AR4, Class 2A1
2.58%		10/25/35	²		451,644		399,745


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
First Horizon Mortgage Pass-Through Trust, Series 2007-AR2, Class 1A2
2.53%		08/25/37	²	$	460,235	$	388,105
First NLC Trust, Series 2005-4, Class A4
0.54%		02/25/36	²		2,200,000		1,601,629
GE Business Loan Trust, Series 2007-1A, Class A
0.32%		04/16/35	^2,³		2,250,965		2,039,920
GMAC Mortgage Corp. Loan Trust, Series 2006-AR1, Class 1A1
2.87%		04/19/36	²		3,539,483		3,146,101
Green Tree, Series 2008-MH1, Class A3
8.97%		04/25/38	^2,³		38,283		41,404
Greenpoint Mortgage Funding Trust, Series 2006-AR8, Class 1A2A
0.33%		01/25/47	²		557,766		517,019
Greenwich Capital Commercial Funding Corp., Series 2005-GG3, Class A3
4.57%		08/10/42			119,041		119,543
GSAA Home Equity Trust, Series 2006-4, Class 4A2
0.38%		03/25/36	²		1,170,012		1,043,060
GSAA Trust, Series 2006-2, Class 2A3
0.42%		12/25/35	²		500,000		495,859
GSAMP Trust, Series 2006-FM3, Class A2C
0.35%		11/25/36	²		4,499,939		2,521,366
GSR Mortgage Loan Trust, Series 2005-4F, Class 4A3
5.50%		05/25/35			244,744		255,886
GSR Mortgage Loan Trust, Series 2005-7F, Class 3A3 (IO)
5.35%		09/25/35	^2,6		114,855		9,828
GSR Mortgage Loan Trust, Series 2005-AR6, Class 2A1
2.65%		09/25/35	²		710,744		719,531
GSR Mortgage Loan Trust, Series 2006-AR2, Class 2A1
2.58%		04/25/36	²		772,411		730,380
GSR Mortgage Loan Trust, Series 2007-AR2, Class 5A1A
5.19%		05/25/47	²		3,434,081		3,150,051
Home Equity Loan Trust, Series 2007-2, Class A3V
0.38%		07/20/36	²		172,787		171,362
IndyMac Index Mortgage Loan Trust, Series 2005-AR15, Class A1
4.61%		09/25/35	²		745,127		666,219
IndyMac Index Mortgage Loan Trust, Series 2005-AR19, Class A1
4.80%		10/25/35	²		1,557,491		1,383,364


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
IndyMac Index Mortgage Loan Trust, Series 2006-AR7, Class 3A1
2.70%		05/25/36	²	$	387,687	$	302,336
IndyMac Index Mortgage Loan Trust, Series 2007-AR5, Class 2A1
2.72%		05/25/37	²		2,327,318		1,716,497
IndyMac Manufactured Housing Contract, Series 1998-1, Class A4
6.49%		09/25/28			110,521		115,036
JPMorgan Mortgage Acquisition Corp., Series 2007-CH5, Class A4
0.31%		05/25/37	²		1,773,000		1,532,943
JPMorgan Mortgage Trust, Series 2005-A6, Class 7A1
2.74%		08/25/35	²		184,551		175,976
JPMorgan Mortgage Trust, Series 2006-A3, Class 2A1
2.76%		05/25/36	²		130,807		109,087
JPMorgan Mortgage Trust, Series 2006-S2, Class 2A2
5.88%		06/25/21			1,318,529		1,320,118
JPMorgan Mortgage Trust, Series 2007-S1, Class 1A2
5.50%		03/25/22			1,151,517		1,145,470
Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class A3
4.35%		04/15/40			36,202		37,281
Lehman XS Trust, Series 2005-4, Class 1A3
0.55%		10/25/35	²		376,164		366,300
Luminent Mortgage Trust, Series 2007-2, Class 1A3
0.37%		05/25/37	²		2,142,996		1,935,205
MASTR Adjustable Rate Mortgages Trust, Series 2003-7, Class 3A1
2.08%		11/25/33	²		720,880		744,059
MASTR Adjustable Rate Mortgages Trust, Series 2004-15, Class 8A1
4.58%		10/25/34	²		462,770		459,052
MASTR Adjustable Rate Mortgages Trust, Series 2004-3, Class 3A3
2.07%		04/25/34	²		250,315		240,084
MASTR Adjustable Rate Mortgages Trust, Series 2006-2, Class 4A1
2.63%		02/25/36	²		416,425		407,050
MASTR Adjustable Rate Mortgages Trust, Series 2007-2, Class A2
0.26%		03/25/47	²		1,158,843		1,130,997
MASTR Asset-Backed Securities Trust, Series 2007-HE1, Class A4
0.43%		05/25/37	²		3,150,000		2,048,404
Merrill Lynch Alternative Note Asset, Series 2007-A3, Class A2D
0.48%		04/25/37	²		883,581		144,424


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2006-FF13, Class A2C
0.31%		10/25/36	²	$	1,825,976	$	1,347,048
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-2, Class A2B
0.32%		05/25/37	²		4,318,143		2,591,832
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-4, Class 2A4
0.40%		07/25/37	²		1,988,888		1,237,587
Merrill Lynch Mortgage Investors Trust, Series 2003-A6, Class 2A
2.65%		10/25/33	²		764,927		757,115
Mid-State Trust, Series 2004-1, Class B
8.90%		08/15/37			115,764		139,714
Morgan Stanley Capital, Inc., Series 2006-HE4, Class A3
0.30%		06/25/36	²		3,309,927		2,341,608
Morgan Stanley Home Equity Loan Trust, Series 2006-2, Class A4
0.43%		02/25/36	²		4,000,000		3,536,739
Morgan Stanley Mortgage Loan Trust, Series 2004-7AR, Class 2A4
2.06%		09/25/34	²		1,739,457		1,670,685
Morgan Stanley Mortgage Loan Trust, Series 2005-6AR, Class 1A1
0.43%		11/25/35	²		439,354		436,889
Morgan Stanley Mortgage Loan Trust, Series 2006-2, Class 1A
5.25%		02/25/21			659,040		645,155
Morgan Stanley Reremic Trust, Series 2013-R3, Class 12A
2.71%		01/26/47	^2,3		896,201		900,940
MortgageIT Trust, Series 2005-4, Class A1
0.43%		10/25/35	²		1,592,991		1,459,164
MortgageIT Trust, Series 2005-5, Class A1
0.41%		12/25/35	²		1,526,068		1,407,326
New York Mortgage Trust, Series 2005-3, Class A1
0.39%		02/25/36	²		165,727		155,965
Popular ABS Mortgage Pass-Through Trust, Series 2007-A, Class A3
0.46%		06/25/47	²		5,152,000		3,216,799
Residential Accredit Loans, Inc., Series 2005-QA13, Class 2A1
3.58%		12/25/35	²		3,286,555		2,721,863
Residential Accredit Loans, Inc., Series 2005-QA4, Class A41
3.00%		04/25/35	²		655,100		647,078
Residential Accredit Loans, Inc., Series 2005-QA7, Class A21
3.05%		07/25/35	²		3,653,796		3,333,651


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Residential Accredit Loans, Inc., Series 2005-QA8, Class CB21
3.32%		07/25/35	²	$	1,544,438	$	1,291,625
Residential Accredit Loans, Inc., Series 2005-SP1, Class 4A1
7.00%		09/25/34			322,848		352,734
Residential Accredit Loans, Inc., Series 2006-QS13, Class 2A1
5.75%		09/25/21			564,405		535,983
Residential Accredit Loans, Inc., Series 2006-QS16, Class A6
6.00%		11/25/36			1,597,521		1,221,632
Residential Accredit Loans, Inc., Series 2007-QS1, Class 2AV (IO)
0.18%		01/25/37	^2,6		6,974,802		55,588
Residential Accredit Loans, Inc., Series 2007-SP1, Class A2
0.50%		03/25/37	²		46,892		46,775
Residential Asset Mortgage Products, Inc., Series 2006-RS3, Class A3
0.35%		05/25/36	²		155,456		149,342
Residential Asset Securities Corp., Series 2004-KS9, Class AII4
0.75%		10/25/34	²		31,890		18,524
Residential Asset Securities Corp., Series 2005-KS12, Class A3
0.47%		01/25/36	²		1,500,000		1,436,616
Residential Asset Securities Corp., Series 2006-EMX1, Class A2
0.38%		01/25/36	²		117,239		115,869
Residential Funding Mortgage Securities I, Inc., Series 2007-SA2, Class 1A
3.25%		04/25/37	²		688,364		482,338
Soundview Home Equity Loan Trust, Series 2007-WMC1, Class 3A3
0.41%		02/25/37	²		1,391,978		662,218
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-12, Class 2A
2.40%		09/25/34	²		2,395,005		2,388,189
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-2, Class 4A2
2.50%		03/25/34	²		3,442,390		3,453,261
Structured Adjustable Rate Mortgage Loan Trust, Series 2006-11, Class 1A1
0.31%		12/25/36	²		419,293		337,181
Structured Asset Mortgage Investments, Inc., Series 2006-AR3, Class 22A1
1.91%		05/25/36	²		883,585		598,182
Structured Asset Mortgage Investments, Inc., Series 2006-AR5, Class 1A1
0.36%		05/25/46	²		818,336		587,862


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Structured Asset Securities Corp., Series 2002-11A, Class 2A1
2.74%		06/25/32	²	$	182,262	$	177,516
Structured Asset Securities Corp., Series 2003-34A, Class 3A3
2.48%		11/25/33	²		264,651		265,928
Structured Asset Securities Corp., Series 2005-2XS, Class 2A2
1.66%		02/25/35	²		456,904		438,742
Suntrust Adjustable Rate Mortgage Loan Trust, Series 2007-S1, Class 2A1
2.76%		01/25/37	²		3,039,115		3,005,167
WaMu Alternative Mortgage Pass-Through Certificates, Series 2007-OA3, Class 2A
0.88%		02/25/47	²		1,244,460		847,134
WaMu Asset-Backed Certificates, Series 2007-HE1, Class 2A2
0.26%		01/25/37	²		5,049,015		2,879,080
WaMu Mortgage Pass-Through Certificates, Series 2004-AR13, Class A1A
0.51%		11/25/34	²		541,434		521,408
WaMu Mortgage Pass-Through Certificates, Series 2004-AR14, Class A1
2.40%		01/25/35	²		2,551,868		2,569,946
WaMu Mortgage Pass-Through Certificates, Series 2004-AR6, Class A
0.61%		05/25/44	²		316,880		305,663
WaMu Mortgage Pass-Through Certificates, Series 2005-AR1, Class A1A
0.47%		01/25/45	²		408,559		388,864
WaMu Mortgage Pass-Through Certificates, Series 2005-AR11, Class A1A
0.47%		08/25/45	²		1,387,412		1,297,367
WaMu Mortgage Pass-Through Certificates, Series 2005-AR12, Class 1A6
2.35%		10/25/35	²		385,000		369,372
WaMu Mortgage Pass-Through Certificates, Series 2005-AR13, Class A1A1
0.44%		10/25/45	²		970,956		899,783
WaMu Mortgage Pass-Through Certificates, Series 2005-AR14, Class 2A1
2.48%		12/25/35	²		102,844		96,312
WaMu Mortgage Pass-Through Certificates, Series 2005-AR6, Class 2A1A
0.38%		04/25/45	²		701,252		657,175
WaMu Mortgage Pass-Through Certificates, Series 2005-AR9, Class A1A
0.47%		07/25/45	²		612,353		576,292
WaMu Mortgage Pass-Through Certificates, Series 2006-AR4, Class 1A1A
1.07%		05/25/46	²		3,053,949		2,882,039


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
WaMu Mortgage Pass-Through Certificates, Series 2006-AR7, Class 2A
1.11%		07/25/46	²	$	3,681,406	$	3,101,614
WaMu Mortgage Pass-Through Certificates, Series 2007-HY3, Class 1A1
2.08%		03/25/37	²		3,133,714		2,612,619
WaMu Mortgage Pass-Through Certificates, Series 2007-HY6, Class 2A1
4.30%		06/25/37	²		2,404,126		2,032,057
Wells Fargo Alternative Loan Trust, Series 2007-PA5, Class 1A1
6.25%		11/25/37			126,069		120,103
Wells Fargo Home Equity Trust, Series 2006-2, Class A3
0.29%		07/25/36	²		71,008		70,444
Wells Fargo Home Equity Trust, Series 2007-1, Class A3
0.47%		03/25/37	²		4,690,000		2,919,638
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR10, Class 5A2
2.61%		07/25/36	²		252,528		245,185
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR17, Class A1
2.61%		10/25/36	²		1,363,256		1,303,270
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR14, Class 2A1
2.62%		10/25/36	²		3,396,200		3,193,004

							223,505,092

U.S. Agency Mortgage-Backed — 6.13%
Fannie Mae Pool AD0150
5.18%		05/01/19			333,599		374,864
Fannie Mae Pool AD0791
4.76%		02/01/20			318,408		356,149
Fannie Mae Pool AD0851
4.37%		02/01/20			475,369		520,015
Fannie Mae Pool AE0134
4.40%		02/01/20			740,000		815,108
Fannie Mae Pool AE0600
3.98%		11/01/20			304,305		328,973
Fannie Mae Pool AE0918
3.66%		10/01/20			365,807		388,699
Fannie Mae Pool AL0151
4.38%		04/01/21			480,236		524,985
Fannie Mae Pool AL0600
4.30%		07/01/21			137,563		149,960
Fannie Mae Pool AL2293
4.38%		06/01/21			1,526,766		1,677,234
Fannie Mae Pool AL3594
2.70%		04/01/23			1,435,665		1,402,032


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool FN0000
3.58%		09/01/20		$	470,955	$	498,618
Fannie Mae Pool FN0002
3.31%		12/01/17			3,506,790		3,719,627
Fannie Mae Pool FN0004
3.63%		12/01/20			867,208		913,078
Fannie Mae Pool FN0005
3.38%		11/01/20			779,606		817,332
Fannie Mae REMICS, Series 2003-64, Class KS
9.44%		07/25/18	²		22,246		24,289
Fannie Mae REMICS, Series 2006-8, Class HJ (IO)
6.45%		03/25/36	²		3,769,713		636,154
Fannie Mae REMICS, Series 2007-52, Class LS (IO)
5.90%		06/25/37	²		186,249		24,729
Fannie Mae REMICS, Series 2007-88, Class JI (IO)
6.30%		04/25/37	²		3,048,900		465,506
Fannie Mae REMICS, Series 2008-62, Class SN (IO)
6.05%		07/25/38	²		984,609		127,709
Fannie Mae REMICS, Series 2010-116, Class SE (IO)
6.45%		10/25/40	²		229,356		40,265
Fannie Mae, Series 2006-11, Class PS
24.00%		03/25/36	²		62,069		93,405
Fannie Mae, Series 2007-77, Class SK (IO)
5.72%		08/25/37	²		344,045		43,197
Fannie Mae, Series 2008-18, Class SM (IO)
6.85%		03/25/38	²		230,014		35,334
Fannie Mae, Series 2010-35, Class IA (IO)
5.00%		07/25/38			94,500		2,992
Fannie Mae, Series 2010-M1, Class A2
4.45%		09/25/19			1,250,000		1,377,831
Fannie Mae, Series 2012-M12, Class 1A
2.84%		08/25/22	²		594,695		593,845
Fannie Mae, Series 2012-M15, Class A
2.66%		10/25/22	²		334,525		326,757
Fannie Mae, Series 2012-M2, Class A2
2.72%		02/25/22			670,000		655,505
Fannie Mae-Aces, Series 2011-M1, Class A3
3.76%		06/25/21			1,750,000		1,853,835
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K004, Class A2
4.19%		08/25/19			3,055,000		3,340,181


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K005, Class A2
4.32%		11/25/19		$	2,915,000	$	3,196,521
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K007, Class A2
4.22%		03/25/20			1,525,000		1,669,285
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K014, Class A2
3.87%		04/25/21			930,000		996,007
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K017, Class A2
2.87%		12/25/21			1,960,000		1,963,738
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K018, Class A2
2.79%		01/25/22			1,975,000		1,963,899
Freddie Mac REMICS, Series 2711, Class FA
1.16%		11/15/33	²		232,530		236,625
Freddie Mac REMICS, Series 2733, Class FB
0.76%		10/15/33	²		545,000		554,520
Freddie Mac REMICS, Series 3001, Class HS
16.36%		02/15/35	²		38,812		45,574
Freddie Mac REMICS, Series 3327, Class LZ
6.00%		06/15/37			1,439,625		1,577,005
Freddie Mac REMICS, Series 3404, Class AS (IO)
5.74%		01/15/38	²		234,252		32,345
Freddie Mac REMICS, Series 3828, Class TF
0.56%		04/15/29	²		420,213		421,991
Freddie Mac REMICS, Series 4030, Class HS (IO)
6.46%		04/15/42	²		555,102		88,834
Freddie Mac, Series 3262, Class KS (IO)
6.26%		01/15/37	²		166,467		22,684
Freddie Mac, Series 3339, Class JS
41.83%		07/15/37	²		51,340		99,414
Freddie Mac, Series 3439, Class SC (IO)
5.74%		04/15/38	²		179,189		20,354
Freddie Mac, Series 3885, Class PO (PO)
0.00%		11/15/33	⁷		84,598		74,589
Freddie Mac, Series K020, Class A2
2.37%		05/25/40			585,000		561,883
Ginnie Mae II Pool MA0243
2.00%		07/20/42	²		456,537		473,097


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Ginnie Mae, Series 2006-3, Class C
5.24%		04/16/39		$	3,120,000	$	3,331,495
Ginnie Mae, Series 2011-109, Class AB
2.70%		04/16/43			2,160,026		2,196,054
Ginnie Mae, Series 2011-146, Class EI (IO)
5.00%		11/16/41			304,348		74,853
Ginnie Mae, Series 2011-50, Class PS (IO)
5.94%		02/20/41	²		361,976		61,043
Ginnie Mae, Series 2011-69, Class GI (IO)
5.00%		05/16/40			765,902		108,222
Ginnie Mae, Series 2011-70, Class IL (IO)
0.60%		06/16/37	²		2,810,382		47,518
Ginnie Mae, Series 2011-81, Class IC (IO)
0.62%		07/20/35	²		6,310,912		86,461
Ginnie Mae, Series 2012-7, Class PI (IO)
3.50%		01/20/38			349,839		42,474
Ginnie Mae, Series 2013-135, Class CS (IO)
6.04%		09/16/43	²		13,362,025		1,930,783

							44,005,476

Total Mortgage-Backed (Cost $302,705,176)							308,414,347


MUNICIPAL BONDS — 2.10%*
Arizona — 0.29%
Arizona Health Facilities Authority, Banner Health, Series B
0.98%		01/01/37	²		2,590,000		2,078,838

California — 0.31%
State of California, Build America Bonds
5.70%		11/01/21			175,000		204,561
6.65%		03/01/22			1,550,000		1,865,687
7.95%		03/01/36			150,000		176,675

							2,246,923

Illinois — 0.60%
City of Chicago, Refunding Taxable Project, Series E
6.05%		01/01/29			1,550,000		1,571,375
State of Illinois, Build America Bonds
6.20%		07/01/21			870,000		979,385
State of Illinois, Taxable Bonds
4.95%		06/01/23			1,100,000		1,149,775
State of Illinois, Taxable Pension Bonds
4.35%		06/01/18			565,000		598,731

							4,299,266


Issues	Maturity Date			Principal Amount		Value
MUNICIPAL BONDS (continued)
New York — 0.73%
City of New York, Build America Bonds, Series F1
6.65%		12/01/31		$	3,000,000	$	3,455,370
New York City Municipal Water Finance Authority, Build America Bonds, Series SE
6.49%		06/15/42			1,650,000		1,828,695

							5,284,065

Texas — 0.17%
City of Houston Texas, Taxable Pension Obligation, Series A
6.29%		03/01/32			995,000		1,197,980

Total Municipal Bonds (Cost $14,674,567)							15,107,072


MUTUAL FUNDS — 0.42%
Blackrock Build America Bond Fund
0.01%⁸					122,063		2,470,555
Nuveen Build American Bond Fund
0.01%⁸					28,660		562,309

Total Mutual Funds (Cost $2,808,866)							3,032,864


U.S. AGENCY SECURITIES — 2.77%
U.S. Agency Securities — 2.77%
Fannie Mae
0.50%		01/15/16			1,150,000		1,150,170
0.50%		01/29/16			1,250,000		1,250,423


Federal Farm Credit Bank
0.18%		09/14/16	²		3,545,000		3,546,089


Federal Home Loan Bank
0.22%		10/07/15	²		2,510,000		2,513,175
0.24%		01/21/15			6,255,000		6,256,989


Freddie Mac
0.40%		04/30/15			5,175,000		5,176,280


Total U.S. Agency Securities (Cost $19,883,336)							19,893,126


U.S. TREASURY SECURITIES — 0.82%
U.S. Treasury Notes — 0.82%
U.S. Treasury Notes - Treasury Inflation Indexed Notes
0.50%		04/15/15	⁹		1,540,000		1,696,861


Issues	Maturity Date			Principal Amount		Value
U.S. TREASURY SECURITIES (continued)
U.S. Treasury Notes (continued)
1.25%		04/15/14	⁹	$	310,000	$	343,349
2.00%		07/15/14	⁹		3,045,000		3,841,730


Total U.S. Treasury Securities (Cost $5,852,949)							5,881,940


Total Bonds – 88.79% (Cost $626,911,472)							638,042,675



Issues				Shares		Value
COMMON STOCK — 0.49%
Real Estate Investment Trust (REIT) — 0.49%
American Capital Agency Corp.
					163,415		3,511,788

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


Issues	Maturity Date			Principal Amount/ Shares		Value
SHORT-TERM INVESTMENTS — 10.68%
Commercial Paper — 1.56%
Macquarie Bank Ltd. (Australia)
0.20%¹⁰		05/27/14	^3,4		5,205,000		5,203,592
National Rural Utilities Cooperative Finance Corp.
0.09%¹⁰		04/03/14			6,000,000		5,999,970

							11,203,562


Money Market Funds — 1.99%
Dreyfus Cash Advantage Fund
0.05%⁸					7,178,000		7,178,000
DWS Money Market Series Institutional Funds
0.04%⁸					7,178,000		7,178,000

							14,356,000


U.S. Agency Discount Notes — 7.03%
Fannie Mae
0.08%¹⁰		07/16/14			7,500,000		7,499,340
Federal Home Loan Bank
0.05%¹⁰		04/30/14			15,000,000		14,999,880
0.06%¹⁰		04/09/14			10,000,000		9,999,912
0.06%¹⁰		06/04/14			7,510,000		7,509,730
0.07%¹⁰		06/11/14			7,500,000		7,499,708
0.08%¹⁰		07/11/14			3,000,000		2,999,748

							50,508,318

Issues

Maturity
Date

Principal
Amount/
Shares

Value

SHORT-TERM INVESTMENTS (continued)

U.S. Treasury Bills — 0.10%

U.S. Treasury Bills

0.06%¹⁰

04/24/14

¹¹

711,000

710,975

Total Short-Term Investments

(Cost $76,775,234)

76,778,855

Total Investments – 99.96%

(Cost $707,275,986)¹

718,333,318

Cash and Other Assets, Less

Liabilities – 0.04%

295,059

Net Assets – 100.00%

718,628,377


Contracts		Unrealized Appreciation/ (Depreciation)
FUTURES CONTRACTS: SHORT POSITIONS
147	U.S. Treasury Five Year Note,
	Expiration June 2014		$ 90,880
321	U.S. Treasury Ten Year Note,
	Expiration June 2014		182,976
33	U.S. Treasury Thirty Year Long Bond,
	Expiration June 2014		(34,096	)

	Net unrealized appreciation		$239,760


	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		$(30,361)		$594		$80,815		$50,454

			$(30,361)		$594		$80,815		$50,454

^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 $707,308,782 and net unrealized appreciation/(depreciation) consists of:


Gross unrealized appreciation	$	15,051,517
Gross unrealized depreciation		(4,026,981	)

Net unrealized appreciation	$	11,024,536

²	Floating rate security. The rate disclosed was in effect at March 31, 2014.

³	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.

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

⁵	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.

⁶	Illiquid security as determined under procedures approved by the Funds’ Board of Trustees. The aggregate value of illiquid securities is $65,416, which is 0.01% of total net assets.

⁷	Zero coupon bond. The rate shown is the effective yield as of March 31, 2014.

⁸	Represents the current yield as of March 31, 2014.

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

¹⁰	Represents annualized yield at date of purchase.

¹¹	Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $710,986.

^†

Fair valued security. The aggregate value of fair valued securities is $4,806,660, which is 0.67% 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 sooner than the stated maturity.

^**	Securities backed by mortgage or consumer loans where payment is periodically made will have an effective maturity date sooner 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

(YCD): Yankee Certificate of Deposit


Issues	Maturity Date			Principal Amount		Value
BONDS – 89.79%
BANK LOANS — 78.87%*
Automotive — 1.11%
Allison Transmission, Inc., Term Loan B2, 1st Lien
3.16%		08/07/17	²	$	347,685	$	349,206
Chrysler Group LLC, Term Loan B
3.50%		05/24/17	²		491,727		492,393
Goodyear Tire & Rubber Co., Term Loan, 2nd Lien
4.75%		04/30/19	²		500,000		503,540

							1,345,139

Communications — 4.27%
Cincinnati Bell, Term Loan, 1st Lien
4.00%		09/10/20	²		497,500		498,642
Consolidated Communications, Inc., Term Loan B, 1st Lien
4.25%		12/23/20	²		498,750		502,805
eResearchTechnology, Inc., Term Loan B, 1st Lien
6.00%		05/02/18	²		661,737		665,459
Intelsat Jackson Holdings SA, Term Loan B1, 1st Lien (Luxembourg)
3.75%		06/30/19	^2,3		481,872		483,751
Level 3 Financing, Inc., Term Loan B, 1st Lien
4.00%		01/15/20	²		1,000,000		1,003,250
RentPath, Inc., Term Loan B
6.25%		05/29/20	²		327,525		321,793
Univision Communications, Inc., Converted Extended Term Loan, 1st Lien
4.00%		03/01/20	²		273,468		274,265
Univision Communications, Inc., Incremental Term Loan 2013
4.00%		03/01/20	²		178,200		178,185
WideOpenWest Finance LLC, Term Loan B, 1st Lien
4.75%		04/01/19	²		733,841		736,020
Windstream Corp., Term Loan B4, 1st Lien
3.50%		01/23/20	²		496,231		496,045

							5,160,215

Consumer Discretionary — 4.96%
Container Store, Facility Term Loan
4.25%		04/06/19	²		317,118		318,605
Hilton Worldwide Finance LLC, Term Loan B2, 1st Lien
3.50%		10/25/20	²		966,667		969,344
La Quinta Intermediate Holdings LLC, Term Loan B, 1st Lien
0.00%		02/19/21			500,000		501,095
Laureate Education, Inc., Term Loan B, 1st Lien,
5.00%		06/15/18	²		992,387		984,637


Issues	Maturity Date			Principal Amount		Value
BANK LOANS (continued)
Consumer Discretionary (continued)
Regent Seven Seas Cruises LLC, Term Loan B, 1st Lien
3.75%		12/21/18	²	$	719,043	$	720,841
Spectrum Brands Holding, Inc., Term Loan, 1st Lien
3.50%		09/04/19	²		995,000		997,328
Spin Holdco, Inc., Term Loan B, 1st Lien
4.25%		11/14/19	²		996,253		997,623
TransUnion LLC, Term Loan, 1st Lien
4.25%		02/10/19	²		497,425		498,204

							5,987,677

Consumer Products — 2.86%
Arysta LifeScience SPC LLC, Term Loan, 1st Lien
4.50%		05/29/20	²		238,200		239,044
Britax U.S. Holdings, Inc., Term Loan B, 1st Lien
4.50%		10/15/20	²		497,500		476,356
Dell, Inc., Term Loan B, 1st Lien
4.50%		04/29/20	²		926,425		921,696
DS Waters of America, Inc., Term Loan, 1st Lien
5.25%		08/30/20	²		995,000		1,013,034
Reynolds Group Holdings, Inc., Incremental Term Loan
4.00%		12/01/18	²		794,494		798,045

							3,448,175

Electric — 8.39%
Calpine Corp., Term Loan B3, 1st Lien
4.00%		10/09/19	²		496,222		498,355
Calpine Corp., Term Loan, 1st Lien
4.00%		10/31/20	²		498,750		501,127
Dynegy, Inc., Term Loan B2, 1st Lien
4.00%		04/23/20	²		595,500		599,037
EFS Cogen Holdings I LLC, Term Loan B, 1st Lien
3.75%		12/17/20	²		960,101		966,505
Empire Generating Co. LLC, Term Loan B, 1st Lien
5.25%		03/13/21	²		934,783		937,708
Empire Generating Co. LLC, Term Loan C, 1st Lien
5.25%		03/14/21	²		65,217		65,422
Entegra Holdings LLC, Term Loan, 2nd Lien (PIK)
10.00%		03/27/17	^2,4,5		1,000,000		995,000
Equipower Resources Holdings LLC, Term Loan C, 1st Lien
4.25%		12/31/19	²		997,488		1,003,259


Issues	Maturity Date			Principal Amount		Value
BANK LOANS (continued)
Electric (continued)
Essential Power LLC, Term Loan B
4.75%		08/08/19	²	$	882,322	$	888,569
GIM Channelview Cogeneration LLC, Term Loan B, 1st Lien
4.25%		05/08/20	²		1,431,121		1,441,854
LSP Madison Funding LLC, Term Loan
5.50%		06/28/19	²		236,761		237,649
Topaz Power Holdings LLC, Term Loan, 1st Lien
5.25%		02/26/20	²		496,231		487,959
Utility Services Associates, Term Loan B, 1st Lien
6.75%		10/18/19	²		997,500		1,003,734
Viva Alamo LLC, Term Loan B, 1st Lien
4.75%		02/22/21	²		500,000		502,190

							10,128,368

Energy — 16.24%
Alinta Energy Finance Pty Ltd., Term Loan B, 1st Lien
6.38%		08/13/19	²		933,904		949,079
Alinta Energy Finance Pty Ltd., Term Loan DD, 1st Lien
0.50%		08/13/19	²		61,404		62,401
Atlas Energy LP, Term Loan, 1st Lien
6.50%		07/31/19	²		995,000		1,023,606
Chesapeake Energy Corp., Term Loan B, 1st Lien
5.75%		12/02/17	²		1,500,000		1,535,835
Drillships Financing Holding, Term Loan B1, 1st Lien
6.00%		03/31/21	²		497,500		508,072
EMG Utica LLC, Term Loan B, 1st Lien
4.75%		03/27/20	²		1,100,000		1,104,813
EP Energy LLC, Term Loan B2, 1st Lien
4.50%		04/30/19	²		187,500		188,496
Foresight Energy LLC, Term Loan, 1st Lien
5.50%		08/21/20	²		1,223,850		1,233,414
FREIF North American Power I LLC, Term Loan B, 1st Lien
4.75%		03/29/19	²		417,299		420,950
FREIF North American Power I LLC, Term Loan C, 1st Lien
4.75%		03/29/19	²		65,930		66,507
Harvey Gulf International Marine, Term Loan B, 1st Lien
5.50%		06/18/20	²		1,492,500		1,497,477
MEG Energy Corp., Term Loan B, 1st Lien (Canada)
3.75%		03/31/20	^2,3		496,194		499,025
Moxie Liberty (Panda), Term Loan, 1st Lien
7.50%		08/21/20	²		1,000,000		1,027,500


Issues	Maturity Date			Principal Amount		Value
BANK LOANS (continued)
Energy (continued)
Murray Energy Corp., Term Loan B, 1st Lien
5.25%		12/05/19	²	$	1,000,000	$	1,010,000
Northeast Wind Capital, Term Loan B, 1st Lien
5.00%		11/07/20	²		964,489		980,162
Offshore Group Investment Ltd., Term Loan B, 1st Lien
5.00%		10/25/17	²		467,532		467,923
Offshore Group Investment Ltd., Term Loan, 2nd Lien (Cayman Islands)
5.75%		03/28/19	^2,3		326,700		330,581
Pacific Drilling SA, Term Loan B, 1st Lien
4.50%		06/03/18	²		992,500		997,835
Panda Power Funds, Term Loan B1, 1st Lien
6.75%		12/19/20	²		1,000,000		1,022,500
Panda Sherman Power LLC, Construction Term Loan Advance
9.00%		09/14/18	²		200,000		206,000
Panda Temple Power II LLC
7.25%		04/03/19	²		280,000		288,050
Peabody Energy Corp., Term Loan, 1st Lien
4.25%		09/24/20	²		995,000		999,184
Power Buyer LLC, Delayed Draw Term Loan, 1st Lien
3.68%		05/06/20	²		131,022		130,695
Power Buyer LLC, Term Loan, 1st Lien
4.25%		05/06/20	²		1,050,827		1,048,200
Seadrill Operating LP, Term Loan B, 1st Lien (Bermuda)
4.00%		02/21/21	^2,3		498,750		498,127
TGGT Holdings LLC, Term Loan B
6.50%		11/15/18	²		493,750		499,305
TPF II LC LLC, Term Loan, 1st Lien
6.50%		08/21/19	²		992,500		1,009,869

							19,605,606

Entertainment — 0.41%
AMC Entertainment, Inc., Term Loan B, 1st Lien
3.50%		04/30/20	²		496,241		496,690

Finance — 2.57%
Delos Finance SARL, Term Loan B, 1st Lien
3.50%		03/06/21			1,000,000		1,002,500
IG Investment Holdings LLC, Term Loan, Tranche B
5.25%		10/31/19	²		461,162		465,488
Nuveen Investments, Inc., Term Loan B, 1st Lien
4.15%		05/13/17	²		880,000		883,533


Issues	Maturity Date			Principal Amount		Value
BANK LOANS (continued)
Finance (continued)
Patriot Merger Corp./National Financial Partners Corp., Term Loan B, 1st Lien
5.25%		07/01/20	²	$	745,006	$	750,828

							3,102,349


Food — 2.94%
Del Monte Foods Inc., Term Loan, 1st Lien
4.25%		12/18/21	²		500,000		502,183
Diamond Foods, Inc., Term Loan, 1st Lien
4.25%		08/20/18	²		500,000		502,033
New Hostess Brands Acquisition LLC, Term Loan, 1st Lien
6.75%		04/09/20	²		1,000,000		1,041,250
Pinnacle Foods LLC, Term Loan H, 1st Lien
3.25%		04/29/20	²		497,500		495,368
Windsor Quality Foods Co. Ltd., Term Loan B, 1st Lien
5.00%		12/26/20	²		997,500		1,006,228

							3,547,062


Gaming — 4.53%
American Casino & Entertainment Properties LLC, Term Loan B, 1st Lien
4.50%		07/03/19	²		496,250		502,453
Bally Technologies, Inc., Term Loan
4.25%		11/25/20	²		139,300		140,136
Boyd Gaming Corp., Term Loan B, 1st Lien
4.00%		08/14/20	²		786,050		787,917
Golden Nugget, Inc., Delayed Draw Term Loan, 1st Lien
5.50%		11/21/19	²		299,250		306,544
Golden Nugget, Inc., Term Loan B, 1st Lien
5.50%		11/06/19	²		698,250		715,270
Las Vegas Sands LLC, Term Loan B, 1st Lien
3.25%		12/19/20	²		997,500		997,405
Penn National Gaming, Inc., Term Loan B
3.25%		10/30/20	²		29,925		29,906
Tropicana Entertainment, Inc., Term Loan, 1st Lien
4.00%		11/18/20	²		995,000		998,935
Yonkers Racing Corp., Term Loan, 1st Lien
4.25%		08/20/19	²		997,500		996,253

							5,474,819


Health Care — 5.87%
Accellent, Inc., Term Loan, 1st Lien
0.00%		03/12/21	²		500,000		500,207
Biomet, Inc., Term Loan B, 1st Lien
3.66%		07/25/17	²		496,250		497,553


Issues	Maturity Date			Principal Amount		Value
BANK LOANS (continued)
Health Care (continued)
Carestream Health (Onex) LLC, Term Loan, 1st Lien
5.00%		06/07/19	²	$	336,092	$	340,187
CHS/Community Health Systems, Inc., Term Loan D, 1st Lien
4.25%		01/27/21	²		997,500		1,007,186
DJO Finance LLC/DJO Finance Corp., Term Loan B
4.75%		09/15/17	²		284,227		285,960
Healogics, Inc., Term Loan, 1st Lien
5.25%		02/05/19	²		783,341		791,174
Jazz Pharmaceuticals, Inc., Term Loan B, 1st Lien
3.25%		06/12/18	²		997,500		999,121
Pharmaceutical Product Development, Inc., 2013 Term Loan
4.00%		12/05/18	²		197,500		198,347
Salix Pharmaceuticals Ltd., Term Loan B, 1st Lien
4.25%		01/02/20	²		987,500		998,259
Surgery Center Holdings, Inc., Term Loan, 1st Lien
6.00%		04/11/19	²		137,200		137,715
Surgical Care Affiliates, Inc., Term Loan C
4.00%		06/30/18	²		496,250		497,491
Valeant Pharmaceuticals International, Inc., Term Loan (Canada)
3.75%		08/05/20	^2,3		832,380		836,022

							7,089,222


Industrials — 10.31%
Ardagh Holdings USA, Inc., Dollar Term Loan
4.25%		12/17/19	²		997,500		1,003,580
Ardagh Holdings USA, Inc., Term Loan B, 1st Lien
0.00%		12/17/19	²		500,000		500,938
BWAY Holding Co., Term Loan B, 1st Lien
4.50%		08/06/17	²		496,231		499,102
Clondalkin Acquisition BV, Term Loan, 1st Lien (Netherlands)
4.50%		05/31/20	^2,3		496,250		499,766
Consolidated Container Co. LLC, Term Loan B, 1st Lien
5.00%		07/03/19	²		496,222		502,427
Energy Solutions LLC, Term Loan
6.75%		08/15/16	²		144,340		145,001
Excelitas Technologies Corp., Term Loan, 1st Lien
6.00%		11/02/20	²		492,223		495,300
Filtration Group, Inc., Term Loan B, 1st Lien
4.50%		11/20/20	²		498,750		502,802


Issues	Maturity Date			Principal Amount		Value
BANK LOANS (continued)
Industrials (continued)
Intelligrated, Inc., Term Loan, 1st Lien
4.50%		07/30/18	²	$	993,704	$	996,189
Interline Brands, Inc., Term Loan, 1st Lien
0.00%		03/21/21	²		1,000,000		1,000,940
Maxim Crane Works LP, Term Loan B, 2nd Lien
10.25%		11/26/18	²		1,000,000		1,023,130
Patheon, Inc., Term Loan B, 1st Lien
4.25%		03/11/21	²		500,000		498,260
Ply Gem Industries, Inc., Term Loan, 1st Lien
4.00%		02/01/21	²		500,000		501,460
Polarpack, Inc./WNA Holdings, Inc., Term Loan B, 1st Lien
4.50%		06/07/20	²		174,670		175,325
Polarpack, Inc./WNA Holdings, Inc., Term Loan, 1st Lien
4.50%		06/07/20	²		321,612		322,818
Schaeffler AG, Term Loan C, 1st Lien (Netherlands)
4.25%		01/27/17	^2,3		255,000		256,513
Sensus USA, Inc., Term Loan, 1st Lien
4.75%		05/09/17	²		209,775		210,432
Sequa Corp., Initial Term Loan
5.25%		06/19/17	²		246,875		242,503
Synagro Infrastructure, Term Loan, 1st Lien
6.25%		08/22/20	²		995,000		1,003,706
TNT Crane & Rigging, Inc., Term Loan, 1st Lien
5.50%		11/27/20	²		997,500		1,011,216
Utex Industries, Inc., Term Loan, 1st Lien
4.50%		04/10/20	²		307,675		309,213
WTG Holdings III Corp., Term Loan, 1st Lien
4.75%		01/15/21	²		498,750		501,401
WTG Holdings III Corp., Term Loan, 2nd Lien
8.50%		12/12/21	²		250,000		249,279

							12,451,301

Information Technology — 2.53%
Activision Blizzard, Inc., Term Loan, 1st Lien
3.25%		10/12/20	²		627,150		627,934
First Data Corp., Extended Term Loan 2021
4.15%		03/24/21	²		230,043		230,859
First Data Corp., Extended Term Loan, 1st Lien
4.15%		03/23/18	²		500,000		502,138
First Data Corp., New Term Loan 2018B
4.15%		09/24/18	²		300,000		301,062
Freescale Semiconductor, Inc., Term Loan B5, 1st Lien
5.00%		01/15/21	²		497,500		503,458


Issues	Maturity Date			Principal Amount		Value
BANK LOANS (continued)
Information Technology (continued)
Freescale Semiconductor, Inc., Term Loan, Tranche B4
4.25%		02/28/20	²	$	287,259	$	289,076
Magic Newco LLC, Term Loan, 1st Lien
5.00%		12/12/18	²		600,113		606,738

							3,061,265

Insurance — 1.67%
AssuredPartners, Inc., Term Loan, 1st Lien
0.00%		03/19/21	²		500,000		497,500
AssuredPartners, Inc., Term Loan, 2nd Lien
0.00%		03/19/22	²		500,000		495,000
Asurion LLC, Incremental Tranche, Term Loan B1
5.00%		05/24/19	²		771,953		774,948
Cunningham Lindsey U.S., Inc., Initial Term Loan, 1st Lien
5.00%		12/10/19	²		246,875		247,595

							2,015,043

Materials — 2.87%
Chromaflo Technologies Corp., Term Loan B, 1st Lien
4.50%		12/02/19	²		997,500		1,002,488
FMG Resources Ltd., Term Loan B, 1st Lien (Australia)
4.25%		06/30/19	^2,3		955,188		963,775
Royal Adhesives and Sealants LLC, Term Loan B, 1st Lien
5.50%		07/26/18	²		494,667		501,781
Tata Chemicals North America, Inc., Term Loan B, 1st Lien
3.75%		08/07/20	²		992,500		998,703

							3,466,747

Real Estate Investment Trust (REIT) — 0.81%
Realogy Group LLC
4.43%		10/10/16	²		29,789		29,950
Realogy Group LLC, Term Loan B, 1st Lien
3.75%		03/05/20	²		942,379		947,091

							977,041

Retail — 1.79%
Hudson’s Bay Co., Term Loan B, 1st Lien
4.75%		11/04/20	²		1,165,500		1,182,691
JC Penney Corp., Inc., Term Loan, 1st Lien
6.00%		05/22/18	²		496,250		494,416
Serta Simmons Holdings LLC, Term Loan B, 1st Lien
4.25%		10/01/19	²		487,236		489,808

							2,166,915


Issues	Maturity Date			Principal Amount		Value
BANK LOANS (continued)
Services — 1.89%
Bright Horizons Family Solutions, Inc., Term Loan, 1st Lien
4.00%		01/30/20	²	$	496,231	$	498,040
Ceridian Corp., Replacement, Term Loan
4.40%		05/09/17	²		484,322		487,288
Multi Packaging Solutions, Inc., Term Loan B, 1st Lien
4.25%		08/08/20	²		500,000		502,500
Protection One, Term Loan, 1st Lien
4.25%		03/21/19	²		794,959		794,712

							2,282,540

Transportation — 2.85%
Air Canada, Term Loan B, 1st Lien (Canada)
5.50%		09/20/19	^2,3		710,000		724,200
American Airlines, Inc., Term Loan B
3.75%		06/27/19	²		992,500		997,284
Delta Air Lines, Inc., Term Loan B, 1st Lien
3.50%		04/20/17	²		197,462		198,114
Navios Maritime Partners LP, Term Loan B, 1st Lien (Greece)
5.25%		06/27/18	^2,³		1,490,012		1,519,194

							3,438,792

Total Bank Loans
(Cost $94,419,262)							95,244,966


CORPORATES — 9.90%*
Banking — 0.41%
Bank of America N.A. (BKNT)
0.53%		06/15/17	²		500,000		491,200

Communications — 1.88%
T-Mobile USA, Inc.
6.73%		04/28/22			400,000		429,500
Verizon Communications, Inc.
1.98%		09/14/18	²		1,750,000		1,845,827

							2,275,327

Energy — 0.83%
Enbridge, Inc. (Canada)
0.90%		10/01/16	^2,3		1,000,000		1,000,406

Finance — 3.30%
Chase Capital II, Series B
0.74%		02/01/27	²		500,000		422,500
Citigroup, Inc.
0.78%		08/25/36	²		1,000,000		793,924
General Electric Capital Corp. (MTN)
0.72%		08/15/36	²		850,000		706,346


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Finance (continued)
Goldman Sachs Group, Inc., (MTN)
1.83%		11/29/23	²	$	1,000,000	$	1,026,827
JPMorgan Chase Capital XXI, Series U
1.19%		02/02/37	²		1,000,000		805,000
JPMorgan Chase Capital XXIII
1.24%		05/15/47	²		300,000		231,000

							3,985,597

Food — 0.44%
Post Holdings, Inc.
6.75%		12/01/21	⁶		500,000		533,125

Health Care — 1.31%
LifePoint Hospitals, Inc.
5.50%		12/01/21	⁶		500,000		523,750
Salix Pharmaceuticals Ltd.
6.00%		01/15/21	⁶		500,000		532,500
Valeant Pharmaceuticals International, Inc. (Canada)
5.62%		12/01/21	^3,⁶		500,000		526,875

							1,583,125

Materials — 0.44%
Exopack Holdings SA (Luxembourg)
7.88%		11/01/19	^3,6		500,000		530,625

Real Estate Investment Trust (REIT) — 0.44%
DuPont Fabros Technology LP (WI)
5.88%		09/15/21			500,000		531,250

Transportation — 0.85%
American Airlines Pass-Through Trust, Series 2013-2, Class B
5.60%		07/15/20	⁶		974,444		1,020,730

Total Corporates
(Cost $11,471,141)							11,951,385


MUNICIPAL BONDS — 0.50%*
Arizona — 0.50%
Arizona Health Facilities Authority, Banner Health, Series B
0.98%		01/01/37	²		750,000		601,980

Total Municipal Bonds
(Cost $567,601)

U.S. AGENCY SECURITIES — 0.52%
U.S. Agency Securities — 0.52%

Federal Farm Credit Bank
0.18%		09/14/16	²		635,000		635,195


Total U.S. Agency Securities
(Cost $634,845)


					Value
Total Bonds – 89.79%
(Cost $107,092,849)					$	108,433,526



Issues	Maturity Date		Principal Amount/ Shares		Value
SHORT-TERM INVESTMENTS — 3.41%
Money Market Funds — 2.02%
Dreyfus Cash Advantage Fund
0.05%⁷			$	1,320,000		1,320,000
DWS Money Market Series Institutional Funds
0.04%⁷				1,113,000		1,113,000

						2,433,000

U.S. Agency Discount Notes — 1.39%
Federal Home Loan Bank
0.05%⁸		05/19/14		1,000,000		999,933
0.08%⁸		05/14/14		680,000		679,976

						1,679,909

Total Short-Term Investments
(Cost $4,112,868)						4,112,909


Total Investments – 93.20%
(Cost $111,205,717)¹						112,546,435


Cash and Other Assets, Less Liabilities – 6.80%						8,213,392

Net Assets – 100.00%					$	120,759,827

Notes:

¹	Cost for federal income tax purposes is $111,205,763 and net unrealized appreciation/ (depreciation) consists of:


Gross unrealized appreciation	$	1,440,397
Gross unrealized depreciation		(99,725	)

Net unrealized appreciation	$	1,340,672

²	Floating rate security. The rate disclosed was in effect at March 31, 2014.

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

⁴	Payment-in-kind (“PIK”) security. Income may be paid in additional securities or cash at the discretion of the issuer.

⁵	Illiquid security as determined under procedures approved by the Funds’ Board of Trustees. The aggregate value of illiquid securities is $995,000, which is 0.82% of total net assets.

⁶	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.

⁷	Represents the current yield as of March 31, 2014.

⁸	Represents annualized yield at date of purchase.

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

(BKNT): Banker’s Note, Inc.

(MTN): Medium-term note

(PIK): Payment in kind

(WI): When issued


Issues	Maturity Date			Principal Amount		Value
BONDS – 79.37%
ASSET-BACKED SECURITIES — 17.24%**
Aircastle Aircraft Lease Backed Trust, Series 2007-1A, Class G1
0.46%		06/14/37	^2,³	$	637,118	$	608,846
Alm Loan Funding, Series 2012-7A, Class A1 (Cayman Islands)
1.66%		10/19/24	^2,3,⁴		500,000		499,225
AMURF, Series 2012, Class B
11.00%		12/17/17	^2,5,†		768,793		768,790
AMURF, Series 2012-I, Class A
14.00%		10/15/16	^2,5,†		612,841		612,779
ARES CLO Ltd., Series 2007-12A, Class A (Cayman Islands)
0.86%		11/25/20	^2,3,⁴		451,814		449,743
Avalon IV Capital Ltd., Series 2012-1A, Class C (Cayman Islands)
3.84%		04/17/23	^2,3,⁴		575,000		575,133
Axis Equipment Finance Receivables LLC, Series 2012-1I, Class D
5.50%		11/20/15			225,000		225,966
Axis Equipment Finance Receivables LLC, Series 2012-1I, Class E1
6.25%		04/20/16			225,000		226,422
Axis Equipment Finance Receivables LLC, Series 2012-1I, Class E2
7.00%		03/20/17	^†		250,000		240,725
Bayview Commercial Asset Trust, Series 2004-3, Class A1
0.52%		01/25/35	^2,³		427,860		398,580
Bayview Commercial Asset Trust, Series 2006-4A, Class A1
0.38%		12/25/36	^2,³		1,312,340		1,143,540
Bayview Commercial Asset Trust, Series 2007-3, Class A1
0.39%		07/25/37	^2,³		580,658		505,102
Blue Hill CLO Ltd., Series 2013-1A, Class C1
3.29%		01/15/26	^2,3		580,000		578,417
BlueMountain CLO Ltd., Series 2013-1A, Class A1 (Cayman Islands)
1.44%		05/15/25	^2,3,⁴		580,000		573,799
BlueMountain CLO Ltd., Series 2013-4A, Class C (Cayman Islands)
2.89%		04/15/25	^2,3,⁴		140,000		136,474
Cent CLO LP, Series 2013-17A, Class A1 (Cayman Islands)
1.54%		01/30/25	^2,3,4		580,000		575,045
CIFC Funding Ltd., Series 2012-2A, Class A1L (Cayman Islands)
1.64%		12/05/24	^2,3,4		600,000		598,894
CIT Education Loan Trust, Series 2007-1, Class A
0.32%		03/25/42	^2,3		1,670,822		1,563,609


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Cronos Containers Program Ltd., Series 2012-1A, Class A (Bermuda)
4.21%		05/18/27	^3,⁴	$	224,583	$	225,218
Cronos Containers Program Ltd., Series 2012-2A, Class A (Bermuda)
3.81%		09/18/27	^3,⁴		340,000		342,944
Crystal River, Series 2005-1A, Class A (Cayman Islands)
0.60%		03/02/46	^2,3,4,^†		470,845		28,249
Dryden Senior Loan Fund, Series 2013-26A, Class C (Cayman Islands)
2.74%		07/15/25	^2,3,⁴		525,000		507,922
Dryden XXII Senior Loan Fund, Series 2013-30A, Class C (Cayman Islands)
3.09%		11/15/25	^2,3,⁴		625,000		624,857
Education Loan Asset-Backed Trust, Series 2013-1A, Class A2
0.95%		04/26/32	^2,³		645,000		636,876
EFS Volunteer LLC, Series 2010-1, Class A2
1.09%		10/25/35	^2,3		800,000		794,613
GE Business Loan Trust, Series 2004-1, Class A
0.44%		05/15/32	^2,3		379,733		363,127
GE Business Loan Trust, Series 2004-2A, Class A
0.38%		12/15/32	^2,³		377,763		358,881
GE Business Loan Trust, Series 2005-1A, Class A3
0.40%		06/15/33	^2,³		986,126		926,617
GE Business Loan Trust, Series 2005-2A, Class A
0.40%		11/15/33	^2,³		954,000		886,566
GoldenTree Loan Opportunities VII Ltd., Series 2013-7A, Class A (Cayman Islands)
1.39%		04/25/25	^2,3,⁴		600,000		592,281
GoldenTree Loan Opportunities VIII Ltd., Series 2014-8A, Class A (Cayman Islands)
1.61%		04/19/26	^2,3,4,^†		600,000		597,898
ING Investment Management CLO Ltd., Series 2013-3A, Class B (Cayman Islands)
2.94%		01/18/26	^2,3,⁴		575,000		571,402
ING Investment Management Ltd., Series 2012-4A, Class A1 (Cayman Islands)
1.63%		10/15/23	^2,3,⁴		500,000		499,072
J.G. Wentworth XXX LLC, Series 2013-3A, Class B
5.54%		01/15/75	³		590,000		625,469
LCM XIV LP, Series 14A, Class C (Cayman Islands)
2.99%		07/15/25	^2,3,⁴		550,000		536,802
Leaf II Receivables Funding LLC, Series 2013-1, Class E2
6.00%		09/15/21	³		520,000		481,168


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Limerock CLO, Series 2014-2A, Class A (Cayman Islands)
1.74%		04/18/26	^2,3,⁴	$	580,000	$	580,579
MSIM Peconic Bay Ltd., Series 2007-1A, Class C (Cayman Islands)
2.24%		07/20/19	^2,3,4		580,000		581,116
National Collegiate Student Loan Trust, Series 2006-1, Class A3
0.34%		05/25/26	²		534,203		526,961
National Collegiate Student Loan Trust, Series 2007-2, Class A2
0.28%		06/26/28	²		625,075		595,549
Neuberger Berman CLO Ltd., Series 2014-16A, Class A1
1.74%		04/15/26	^2,³		580,000		579,640
Nomad CLO Ltd., Series 2013-1A, Class A1 (Cayman Islands)
1.44%		01/15/25	^2,3,⁴		580,000		573,546
Oak Hill Credit Partners, Series 2012-7A, Class A (Cayman Islands)
1.66%		11/20/23	^2,3,⁴		500,000		498,645
Pam Capital Funding LP, Series 1998-1A, Class B2 (Cayman Islands)
1.59%		05/01/14	^2,3,4,6,†		145,287		29,058
Panthera Aviation, Series 2013-1
10.00%		01/25/22	^2,5,†		500,000		499,998
Peach Finance Co., Series 2000, Class A
4.71%		04/15/48	³		401,659		419,718
Scholar Funding Trust, Series 2012-B, Class A2
1.25%		03/28/46	^2,³		1,000,000		1,016,423
SLC Student Loan Trust, Series 2004-1, Class B
0.53%		08/15/31	²		604,641		544,402
SLC Student Loan Trust, Series 2005-2, Class B
0.51%		03/15/40	²		487,791		438,538
SLC Student Loan Trust, Series 2006-2, Class B
0.46%		12/15/39	²		609,380		541,712
SLM Student Loan Trust, Series 2004-2, Class B
0.71%		07/25/39	²		611,649		554,089
SLM Student Loan Trust, Series 2005-4, Class B
0.42%		07/25/40	²		628,994		554,268
SLM Student Loan Trust, Series 2005-9, Class B
0.54%		01/25/41	²		693,911		610,939
SLM Student Loan Trust, Series 2006-2, Class A6
0.41%		01/25/41	²		1,200,000		1,091,006


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
SLM Student Loan Trust, Series 2007-6, Class B
1.09%		04/27/43	²	$	334,414	$	299,376
SLM Student Loan Trust, Series 2007-7, Class B
0.99%		10/25/28	²		215,000		193,152
SLM Student Loan Trust, Series 2007-8, Class B
1.24%		04/27/43	²		344,691		313,199
SLM Student Loan Trust, Series 2008-2, Class B
1.44%		01/25/29	²		340,000		309,244
SLM Student Loan Trust, Series 2008-3, Class B
1.44%		04/25/29	²		340,000		315,409
SLM Student Loan Trust, Series 2008-4, Class A4
1.89%		07/25/22	²		1,500,000		1,583,513
SLM Student Loan Trust, Series 2008-4, Class B
2.09%		04/25/29	²		340,000		330,510
SLM Student Loan Trust, Series 2008-6, Class B
2.09%		07/25/29	²		340,000		336,379
SLM Student Loan Trust, Series 2008-7, Class B
2.09%		07/25/29	²		340,000		337,582
SLM Student Loan Trust, Series 2008-8, Class B
2.49%		10/25/29	²		340,000		350,611
Sound Point CLO Ltd., Series 2012-1A, Class C (Cayman Islands)
3.54%		10/20/23	^2,3,⁴		625,000		630,549
Sound Point CLO Ltd., Series 2013-2A, Class E (Cayman Islands)
4.84%		07/15/25	^2,3,⁴		235,000		218,185
Structured Receivables Finance LLC, Series 2010-A, Class B
7.61%		01/16/46	^3,^†		475,253		564,168
Structured Receivables Finance LLC, Series 2010-B, Class B
7.97%		08/15/36	^3,^†		450,000		551,888
Symphony CLO Ltd., Series 2012-9A, Class C (Cayman Islands)
3.49%		04/16/22	^2,3,⁴		575,000		575,126
Symphony CLO Ltd., Series 2013-12A, Class C (Cayman Islands)
2.98%		10/15/25	^2,3,⁴		475,000		469,192
TAL Advantage LLC, Series 2006-1, Class NOTE
0.35%		04/20/21	^2,³		125,000		123,588
Textainer Marine Containers Ltd., Series 2005-1A, Class A (Bermuda)
0.41%		05/15/20	^2,3,⁴		131,250		130,998


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Triton Container Finance LLC, Series 2007-1A, Class NOTE
0.29%		02/26/19	^2,3	$	123,177	$	122,700

Total Asset-Backed Securities (Cost $37,583,204)							37,872,607


BANK LOANS — 0.81%*
Electric — 0.00%
Boston Generating LLC, Term Loan, 1st Lien7
0.00%		06/30/14	^2,6,8,9,†		107,166		—

Energy — 0.33%
MACH Gen LLC, Term Loan, 2nd Lien (PIK)⁷
0.00%		02/22/15	^2,9,10		1,244,155		717,460

Health Care — 0.31%
Valeant Pharmaceuticals International, Inc., Term Loan (Canada)
3.75%		08/05/20	^2,4		689,678		692,695

Services — 0.17%
AABS Ltd. Loan, Series 2013-1, Class A (STEP) (Bermuda)
5.22%		01/15/38	^2,4,†		370,833		373,600

Total Bank Loans (Cost $2,363,281)							1,783,755


CORPORATES — 8.69%*
Banking — 0.74%
Bank of America Corp. (MTN)
5.00%		05/13/21			1,090,000		1,203,696
First Chicago NBD Institutional Capital I
0.79%		02/01/272			500,000		422,500

							1,626,196

Communications — 0.04%
CCO Holdings LLC/CCO Holdings Capital Corp.
7.00%		01/15/19			75,000		79,687

Electric — 0.17%
Dynegy Escrow Holdings
0.00%		01/01/50	^6,8,†		1,175,000		—
GenOn Americas Generation LLC
8.50%		10/01/21			400,000		384,000

							384,000

Energy — 0.59%
Energy Transfer Partners LP
3.26%		11/01/66	²		1,400,000		1,288,000


Finance — 4.06%
Astoria Depositor Corp.
8.14%		05/01/21	³		950,000		997,500


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Finance (continued)
Chase Capital II, Series B
0.74%		02/01/27	²	$	1,500,000	$	1,267,500
Chase Capital VI
0.86%		08/01/28	²		500,000		422,500
Citigroup, Inc.
0.78%		08/25/36	²		3,350,000		2,659,644
General Electric Capital Corp. (MTN)
0.62%		05/05/26	²		819,000		744,771
0.72%		08/15/36	²		2,500,000		2,077,490
JPMorgan Chase Capital XIII, Series M
1.18%		09/30/34	²		700,000		602,000
JPMorgan Chase Capital XXIII
1.24%		05/15/47	²		200,000		154,000

							8,925,405

Insurance — 0.45%
Farmers Exchange Capital II
6.15%		11/01/53	^2,3		900,000		986,073

Real Estate Investment Trust (REIT) — 0.24%
HCP, Inc.
7.07%		06/08/15			500,000		537,271

Transportation — 2.40%
American Airlines Pass-Through Trust, Series 2013-2, Class A
4.95%		01/15/23	³		873,360		942,137
AWAS Aviation Capital Ltd. (Ireland)
7.00%		10/15/16	^3,4		462,800		481,312
Continental Airlines Pass-Through Trust, Series 2007, Class 1B
6.90%		04/19/22			2,447,421		2,650,802
Delta Air Lines Pass-Through Trust, Series 2002, Class G1
6.72%		01/02/23			613,919		719,820
JetBlue Airways Pass-Through Trust, Series 2004, Class G1
0.61%		08/15/16	²		481,657		475,636

							5,269,707

Total Corporates (Cost $17,011,623)							19,096,339


MORTGAGE-BACKED — 48.75%**
Commercial Mortgage-Backed — 3.60%
Bayview Commercial Asset Trust, Series 2008-4, Class A3
2.90%		07/25/38	^2,3		665,000		643,685
Bayview Commercial Mortgage Pass-Through Trust, Series 2006-SP1, Class M1
0.60%		04/25/36	^2,3		1,275,000		1,092,298


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed (continued)
Bear Stearns Commercial Mortgage Securities Trust, Series 2004-PWR4,
Class A3
5.47%		06/11/41	²	$	211,681	$	211,858
Commercial Mortgage Trust, Series 2006-C8, Class AAB
5.29%		12/10/46			277,392		281,597
GE Business Loan Trust, Series 2003-1, Class B
1.46%		04/15/31	^2,3		149,825		134,936
GE Business Loan Trust, Series 2005-1A, Class C
0.86%		06/15/33	^2,3		401,707		366,733
GE Business Loan Trust, Series 2005-2A, Class B
0.66%		11/15/33	^2,3		393,402		361,113
Greenwich Capital Commercial Funding Corp., Series 2006-GG7, Class A4
5.82%		07/10/38	²		938,664		1,020,441
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-C6, Class A4
2.86%		11/15/45			1,040,000		997,730
WF-RBS Commercial Mortgage Trust, Series 2010-C8, Class A3
3.00%		08/15/45			1,055,000		1,028,998
WF-RBS Commercial Mortgage Trust, Series 2011-C2, Class A2
3.79%		02/15/44	³		900,000		941,083
WF-RBS Commercial Mortgage Trust, Series 2011-C5, Class A4
3.67%		11/15/44			810,000		835,086

							7,915,558

Non-Agency Mortgage-Backed — 39.11%
ACE Securities Corp., Series 2003-MH1, Class B1
6.50%		08/15/30	^2,3		130,202		133,179
ACE Securities Corp., Series 2006-HE3, Class A2C
0.30%		06/25/36	²		2,173,844		1,309,198
Adjustable Rate Mortgage Trust, Series 2005-11, Class 2A12
2.63%		02/25/36	²		225,078		219,454
Adjustable Rate Mortgage Trust, Series 2005-11, Class 2A41
2.63%		02/25/36	²		615,995		595,160
Adjustable Rate Mortgage Trust, Series 2005-5, Class 6A21
0.38%		09/25/35	²		735,478		699,408
Ameriquest Mortgage Securities, Inc., Series 2005-R2, Class M2
0.63%		04/25/35	²		1,200,000		1,151,075


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Banc of America Alternative Loan Trust, Series 2003-3, Class A4
5.75%		05/25/33		$	1,496,405	$	1,630,949
Banc of America Alternative Loan Trust, Series 2005-2, Class 4A1
5.50%		03/25/20			474,236		481,386
Banc of America Funding Corp., Series 2006-3, Class 5A3
5.50%		03/25/36			1,234,104		1,188,604
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
2.82%		05/27/37	^2,3		1,408,659		1,418,884
BCAP LLC Trust, Series 2007-AA1,
Class 1A2
0.31%		02/25/47	²		817,983		734,361
BCAP LLC Trust, Series 2009-RR4,
Class 1A1
9.50%		06/26/37	³		780,538		820,135
BCAP LLC Trust, Series 2010-RR11, Class 3A2
2.78%		06/27/36	^2,3		1,310,150		1,314,764
BCAP LLC Trust, Series 2011-RR3,
Class 5A3
2.51%		11/27/37	^2,3		2,168,714		2,100,296
BCAP LLC Trust, Series 2011-RR4,
Class 1A3
1.45%		03/26/36	^2,3		1,037,259		1,013,838
Bear Stearns ALT-A Trust, Series 2005-1, Class A1
0.71%		01/25/35	²		904,530		880,291
Bear Stearns ARM Trust, Series 2005-2, Class A1
2.56%		03/25/35	²		443,399		450,788
BHN I Mortgage Fund, Series 2000-1, Class AF (Argentina)
8.00%		01/31/20	^3,4,6,8,†		110		–
Centex Home Equity Loan Trust, Series 2006-A, Class AV4
0.40%		06/25/36	²		2,150,000		1,909,972
Chase Mortgage Finance Corp., Series 2007-A1, Class 8A1
2.65%		02/25/37	²		378,469		386,112
Citicorp Residential Mortgage Securities, Inc., Series 2007-1, Class A5 (STEP)
6.05%		03/25/37			1,750,000		1,614,643
Citigroup Mortgage Loan Trust, Inc., Series 2005-OPT3, Class M2
0.60%		05/25/35	²		1,100,000		1,040,403


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Citigroup Mortgage Loan Trust, Inc., Series 2006-WFH4, Class A3
0.30%		11/25/36	²	$	812,015	$	792,783
Citigroup Mortgage Loan Trust, Inc., Series 2007-WFH2, Class A3
0.33%		03/25/37	²		2,500,000		2,439,869
Conseco Finance Securitizations Corp., Series 2001-4, Class A4
7.36%		09/01/33			666,014		729,001
Conseco Finance Securitizations Corp., Series 2002-1, Class A
6.68%		12/01/33	²		17,069		17,258
Conseco Finance, Series 2002-C, Class BF1
8.00%		06/15/32	²		2,505,062		2,748,208
Conseco Finance, Series 2002-C, Class BF2
8.00%		06/15/32	^2,3		878,409		967,793
Conseco Financial Corp., Series 1996-7, Class M1
7.70%		10/15/27	²		917,664		990,947
Conseco Financial Corp., Series 1997-3, Class A7
7.64%		03/15/28	²		335,783		364,094
Conseco Financial Corp., Series 1998-3, Class A6
6.76%		03/01/30	²		715,324		763,445
Conseco Financial Corp., Series 1998-4, Class A6
6.53%		04/01/30	²		863,969		905,250
Conseco Financial Corp., Series 1998-4, Class A7
6.87%		04/01/30	²		427,811		456,878
Conseco Financial Corp., Series 1999-5, Class A5
7.86%		03/01/30	²		112,781		101,658
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB2, Class A2B (STEP)
4.82%		02/25/37			1,726,511		1,270,389
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB2, Class A2C (STEP)
4.82%		02/25/37			570,107		419,463
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB3, Class A3 (STEP)
4.29%		03/25/37			1,369,348		854,300
First Franklin Mortgage Loan Asset-Backed Certificates, Series 2006-FF18, Class A2B
0.26%		12/25/37	²		1,188,249		706,978
First Franklin Mortgage Loan Asset-Backed Certificates, Series 2007-FF1, Class A2D
0.37%		01/25/38	²		3,403,416		2,097,059


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
First Franklin Mortgage Loan Asset-Backed Certificates, Series 2007-FF2, Class A2B
0.25%		03/25/37	²	$	1,206,571	$	743,145
GMAC Mortgage Corp. Loan Trust, Series 2006-AR1, Class 1A1
2.87%		04/19/36	²		991,055		880,908
Green Tree Home Improvement Loan Trust, Series 1995-D, Class B2
7.45%		09/15/25			24,343		24,345
Green Tree Home Improvement Loan Trust, Series 1995-F, Class B2
7.10%		01/15/21			3,194		3,194
Green Tree, Series 2008-MH1, Class A2
8.97%		04/25/38	^2,3		708,011		773,287
Green Tree, Series 2008-MH1, Class A3
8.97%		04/25/38	^2,3		1,041,300		1,126,182
Greenpoint Mortgage Funding Trust, Series 2006-AR8, Class 1A2A
0.33%		01/25/47	²		1,126,057		1,043,794
GSAMP Trust, Series 2005-HE5, Class M1
0.57%		11/25/35	²		1,285,000		1,220,825
GSR Mortgage Loan Trust, Series 2005-AR6, Class 2A1
2.65%		09/25/35	²		465,660		471,417
GSR Mortgage Loan Trust, Series 2007-AR2, Class 5A1A
5.19%		05/25/47	²		1,327,845		1,218,020
Harborview Mortgage Loan Trust, Series 2006-8, Class 2A1A
0.35%		07/21/36	²		516,282		419,864
Home Equity Loan Trust, Series 2007-3, Class A4
1.66%		11/20/36	²		1,040,000		1,010,455
Home Equity Loan Trust, Series 2007-3, Class APT
1.36%		11/20/36	²		808,701		804,817
HSI Asset Loan Obligation Trust, Series 2007-2, Class 2A12
6.00%		09/25/37			947,560		921,894
Impac CMB Trust, Series 2004-4, Class 1A2
0.77%		09/25/34	²		941,066		864,092
IndyMac Index Mortgage Loan Trust, Series 2005-AR25, Class 2A1
4.69%		12/25/35	²		1,056,457		971,730
IndyMac Index Mortgage Loan Trust, Series 2007-FLX2, Class A1C
0.34%		04/25/37	²		2,642,248		1,898,297
IndyMac Manufactured Housing Contract, Series 1997-1, Class A3
6.61%		02/25/28			464,185		461,378


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
IndyMac Manufactured Housing Contract, Series 1997-1, Class A4
6.75%		02/25/28		$	195,407	$	194,222
IndyMac Manufactured Housing Contract, Series 1998-1, Class A4
6.49%		09/25/28			171,948		178,974
IndyMac Manufactured Housing Contract, Series 1998-1, Class A5
6.96%		09/25/28	²		414,452		439,118
IndyMac Manufactured Housing Contract, Series 1998-2, Class A2
6.17%		08/25/29			53,215		54,035
IndyMac Manufactured Housing Contract, Series 1998-2, Class A4
6.64%		08/25/29	²		526,849		525,384
JPMorgan Mortgage Acquisition Corp., Series 2007-HE1, Class AF6 (STEP)
4.78%		03/25/47			1,506,866		1,213,802
JPMorgan Mortgage Trust, Series 2006-S2, Class 2A2
5.88%		06/25/21			1,054,823		1,056,094
JPMorgan Mortgage Trust, Series 2007-S1, Class 1A2
5.50%		03/25/22			837,467		833,069
Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class A6
6.47%		04/15/40	²		683,809		736,627
Lehman XS Trust, Series 2006-13, Class 1A2
0.32%		09/25/36	²		1,286,328		1,062,592
Lehman XS Trust, Series 2006-19, Class A2
0.32%		12/25/36	²		1,198,173		970,792
Lehman XS Trust, Series 2006-9, Class A1B
0.31%		05/25/46	²		1,284,409		1,041,678
MASTR Asset-Backed Securities Trust, Series 2007-HE1, Class A4
0.43%		05/25/37	²		1,810,500		1,177,345
Merrill Lynch Alternative Note Asset, Series 2007-A3, Class A2D
0.48%		04/25/37	²		1,696,107		277,234
Merrill Lynch Mortgage Investors, Inc., Series 2004-HE2, Class A2C
1.31%		08/25/35	²		709,726		708,805
Mid-State Trust, Series 11, Class B
8.22%		07/15/38			14,874		15,272
Mid-State Trust, Series 2004-1, Class B
8.90%		08/15/37			1,075,834		1,298,411
Mid-State Trust, Series 2004-1, Class M1
6.50%		08/15/37			744,054		813,544


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Mid-State Trust, Series 2005-1, Class A
5.74%		01/15/40		$	286,251	$	308,023
Mid-State Trust, Series 6, Class A3
7.54%		07/01/35			442,881		477,281
Mid-State Trust, Series 6, Class A4
7.79%		07/01/35			36,087		38,925
Morgan Stanley Mortgage Loan Trust, Series 2004-7AR, Class 2A4
2.06%		09/25/34	²		993,975		954,677
Morgan Stanley Mortgage Loan Trust, Series 2006-7, Class 5A2
5.96%		06/25/36	²		3,212,296		1,920,545
Oakwood Mortgage Investors, Inc., Series 1998-A, Class M
6.82%		05/15/28	²		817,133		893,965
Oakwood Mortgage Investors, Inc., Series 1998-B, Class A4
6.35%		03/15/17			3,902		3,907
Oakwood Mortgage Investors, Inc., Series 1998-D, Class A
6.40%		01/15/29			408,842		417,799
Oakwood Mortgage Investors, Inc., Series 1999-A, Class A2
5.89%		04/15/29			90,894		91,730
Oakwood Mortgage Investors, Inc., Series 1999-B, Class A4
6.99%		12/15/26			865,174		928,482
Oakwood Mortgage Investors, Inc., Series 2001-D, Class A3
5.90%		09/15/22	²		1,357,625		1,196,808
Oakwood Mortgage Investors, Inc., Series 2002-A, Class A3
6.03%		05/15/24	²		792,080		802,787
Opteum Mortgage Acceptance Corp., Series 2005-5, Class 2A1B
5.64%		12/25/35	²		116,398		118,642
Origen Manufactured Housing, Series 2005-A, Class M1
5.46%		06/15/36	²		761,076		801,443
Park Place Securities, Inc., Series 2004-WWF1, Class M2
1.17%		12/25/34	²		517,321		509,770
Park Place Securities, Inc., Series 2005-WCH1, Class M2
0.67%		01/25/36	²		637,719		635,489
Residential Accredit Loans, Inc., Series 2005-QA3, Class NB1
2.91%		03/25/35	²		1,321,149		969,023
Residential Asset Securities Corp., Series 2005-KS12, Class A3
0.47%		01/25/36	²		1,100,000		1,053,518


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
SG Mortgage Securities Trust, Series 2007-NC1, Class A2
0.39%		12/25/36	^2,3	$	2,304,747	$	1,344,760
Specialty Underwriting & Residential Finance, Series 2006-AB3, Class A2B
0.30%		09/25/37	²		811,917		459,159
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-12, Class 2A
2.40%		09/25/34	²		1,197,503		1,194,094
Structured Asset Investment Loan Trust, Series 2005-4, Class M2
0.81%		05/25/35	²		1,200,000		1,155,220
Terwin Mortgage Trust, Series 2004-7HE, Class A1
1.25%		07/25/34	^2,3		120,786		115,533
UCFC Home Equity Loan, Series 1998-D, Class BF1
8.96%		04/15/30	²		585		236
UCFC Manufactured Housing Contract, Series 1997-4, Class A4
7.00%		04/15/29	²		277,733		275,246
Vanderbilt Acquisition Loan Trust, Series 2002-1, Class A4
6.57%		05/07/27	²		466,204		488,246
Vanderbilt Mortgage Finance, Series 2002-C, Class A5
7.60%		12/07/32			1,100,000		1,164,191
WaMu Alternative Mortgage Pass-Through Certificates, Series 2007-OA2, Class 2A
0.83%		01/25/47	²		1,812,870		1,297,796
WaMu Mortgage Pass-Through Certificates, Series 2003-MS9, Class 1A
7.00%		04/25/33			1,278		1,318
WaMu Mortgage Pass-Through Certificates, Series 2005-AR8, Class 2A1A
0.44%		07/25/45	²		193,745		181,425
Wells Fargo Home Equity Trust, Series 2007-1, Class A3
0.47%		03/25/37	²		1,500,000		933,786

							85,907,139

U.S. Agency Mortgage-Backed — 6.04%
Fannie Mae Pool 467225
3.63%		01/01/18			910,000		972,924
Fannie Mae Pool AB3866
3.50%		11/01/41			424,576		427,805
Fannie Mae Pool AD0660
4.53%		12/01/19			951,160		1,052,579
Fannie Mae Pool FN0003
4.30%		01/01/21			465,423		509,660


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae REMICS, Series 2003-64, Class KS
9.44%		07/25/18	²	$	304,033	$	331,946
Fannie Mae, Series 1993-80, Class S
10.69%		05/25/23	²		6,566		7,323
Fannie Mae, Series 2000-45, Class SA (IO)
7.79%		12/18/30	²		1,150,262		202,994
Fannie Mae, Series 2001-42, Class SB
8.50%		09/25/31	²		1,182		1,279
Fannie Mae, Series 2003-124, Class TS
9.80%		01/25/34	²		16,131		18,736
Fannie Mae, Series 2005-92, Class US (IO)
5.95%		10/25/25	²		3,915,913		531,214
Fannie Mae, Series 2006-125, Class SM (IO)
7.05%		01/25/37	²		3,718,645		681,258
Fannie Mae, Series 2008-50, Class SA (IO)
5.90%		11/25/36	²		3,766,196		554,484
Fannie Mae, Series 2010-43, Class KS (IO)
6.27%		05/25/40	²		3,149,901		507,104
Freddie Mac Gold Pool E04113
2.50%		11/01/27			416,130		416,663
Freddie Mac REMICS, Series 2990, Class ND
16.50%		12/15/34	²		372,578		465,555
Freddie Mac, Series 1602, Class SN
10.09%		10/15/23	²		14,590		18,742
Freddie Mac, Series 1673, Class SD
13.51%		02/15/24	²		312,519		391,620
Freddie Mac, Series 1760, Class ZD
2.23%		02/15/24	²		671,682		680,585
Freddie Mac, Series 2642, Class BW (IO)
5.00%		06/15/23			22,408		2,202
Freddie Mac, Series 2657, Class LX (IO)
6.00%		05/15/18			40,280		466
Freddie Mac, Series 3242, Class SA (IO)
6.20%		11/15/36	²		11,964,003		1,815,631
Freddie Mac, Series 3247, Class SI (IO)
0.15%		08/15/36	²		40,227,524		160,222
Freddie Mac, Series 3260, Class AS (IO)
6.22%		01/15/37	²		10,299,366		1,344,209
Freddie Mac, Series 3289, Class SD (IO)
5.96%		03/15/37	²		2,044,423		245,591
Ginnie Mae II Pool (TBA)
3.00%		04/20/43			1,665,000		1,637,683
Ginnie Mae, Series 2001-31, Class SJ
27.45%		02/20/31	²		39,476		68,942


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Ginnie Mae, Series 2004-8, Class SE
13.99%		11/26/23	²	$	172,993	$	212,317

							13,259,734

Total Mortgage-Backed
(Cost $99,658,394)							107,082,431


MUTUAL FUNDS — 0.63%
Blackrock Build America Bond Fund 0.01%¹¹					54,616		1,105,428
Nuveen Build American Bond Fund 0.01%¹¹					13,738		269,539


Total Mutual Funds
(Cost $1,278,686)							1,374,967


U.S. AGENCY SECURITIES — 0.48%
U.S. Agency Securities — 0.48%
Federal Home Loan Bank (STEP)
0.75%		05/26/28			1,080,000		1,049,122

Total U.S. Agency Securities
(Cost $1,078,568)

U.S. TREASURY SECURITIES — 2.77%
U.S. Treasury Notes — 2.77%
U.S. Treasury Notes - Treasury Inflation
Indexed Notes
0.50%		04/15/15	¹²		1,185,000		1,305,701
1.25%		04/15/14	¹²		430,000		476,259
2.00%		07/15/14	¹²		3,415,000		4,308,541


Total U.S. Treasury Securities
(Cost $6,055,638)							6,090,501


Total Bonds – 79.37%
(Cost $165,029,394)							174,349,722



Issues				Shares		Value
COMMON STOCK — 0.80%
Electric — 0.31%
Dynegy, Inc.⁷
					27,210		678,617

Real Estate Investment Trust (REIT) — 0.49%
American Capital Agency Corp.
					50,407		1,083,246

Total Common Stock
(Cost $1,630,397)							1,761,863


Issues	Maturity Date			Principal Amount/ Shares		Value
SHORT-TERM INVESTMENTS — 18.80%
Commercial Paper — 1.01%
Macquarie Bank Ltd. (Australia)
0.20%¹³		05/27/14	^3,4	$	2,215,000	$	2,214,401

Money Market Funds — 2.00%
Dreyfus Cash Advantage Fund
0.05%¹¹					2,196,000		2,196,000
DWS Money Market Series
Institutional Funds
0.04%¹¹					2,196,000		2,196,000

							4,392,000

U.S. Agency Discount Notes — 13.62%
Federal Home Loan Bank
0.05%¹³		04/23/14			9,800,000		9,799,701
0.05%¹³		05/19/14			5,000,000		4,999,667
0.06%¹³		06/04/14			2,340,000		2,339,916
0.08%¹³		06/06/14			5,363,000		5,362,802
0.08%¹³		06/13/14			2,240,000		2,239,908
0.08%¹³		05/14/14			1,180,000		1,179,958
0.08%¹³		07/11/14			2,325,000		2,324,803
0.09%¹³		05/07/14			1,675,000		1,674,950

							29,921,705

U.S. Treasury Bills — 2.17%
U.S. Treasury Bills
0.06%¹³		04/24/14	¹⁴		11,000		11,000
0.11%¹³		04/24/14			4,745,000		4,744,882

							4,755,882

Total Short-Term Investments
(Cost $41,282,210)							41,283,988

Total Investments – 98.97%
(Cost $207,942,001)¹							217,395,573


Cash and Other Assets, Less
Liabilities – 1.03%							2,269,859

Net Assets – 100.00%						$	219,665,432

Notes:

¹	Cost for federal income tax purposes is $207,971,494 and net unrealized appreciation/(depreciation) consists of:


Gross unrealized appreciation	$	19,838,237
Gross unrealized depreciation		(10,414,158	)

Net unrealized appreciation	$	9,424,079

²	Floating rate security. The rate disclosed was in effect at March 31, 2014.

³	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.

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

⁵	Private placements under procedures approved by the Fund’s Board of Trustees.

⁶	Illiquid security as determined under procedures approved by the Funds’ Board of Trustees. The aggregate value of illiquid securities is $29,457, which is 0.01% of total net assets.

⁷	Non-income producing security.

⁸	Worthless due to company bankruptcy filing.

⁹	Security is currently in default with regard to scheduled interest or principal payments.

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

¹¹	Represents the current yield as of March 31, 2014.

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

¹³	Represents annualized yield at date of purchase.

¹⁴	Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $11,000.

^†

Fair valued security. The aggregate value of fair valued securities is $4,267,152, which is 1.94% 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.


Issues	Maturity Date			Principal Amount		Value
BONDS – 78.24%
ASSET-BACKED SECURITIES — 13.30%**
Access Group, Inc., Series 2005-2, Class A3
0.42%		11/22/24	²	$	37,202	$	36,913
Ally Auto Receivables Trust, Series 2012-5,
Class A3
0.62%		03/15/17			22,000		22,040
Bank of America Credit Card Trust, Series 2007-A1, Class A1
5.17%		06/15/19			20,000		22,203
Bayview Commercial Asset Trust, Series 2004-3, Class A1
0.52%		01/25/35	^2,3		37,205		34,659
Brazos Higher Education Authority, Inc., Series 2004-I, Class A2
0.43%		06/27/22	²		3,620		3,615
Brazos Higher Education Authority, Inc., Series 2005-2, Class A10
0.35%		12/26/19	²		22,499		22,432
Brazos Higher Education Authority, Inc., Series 2010-1, Class A2
1.44%		02/25/35	²		15,000		15,472
Brazos Higher Education Authority, Inc., Series 2011-2, Class A3
1.24%		10/27/36	²		15,000		15,243
College Loan Corp. Trust, Series 2007-1, Class A3
0.34%		04/25/29	²		20,000		18,599
Collegiate Funding Services Education Loan Trust, Series 2004-A, Class A3
0.44%		09/28/26	²		13,142		13,087
Educational Funding of the South, Inc., Series 2011-1, Class A2
0.89%		04/25/35	²		10,000		9,977
Educational Funding of the South, Inc., Series 2012-1, Class A
1.20%		03/25/36	²		13,123		13,361
GCO Education Loan Funding Trust, Series 2007-1A, Class A5L
0.30%		05/25/23	^2,3		23,194		23,003
Goal Capital Funding Trust, Series 2006-1, Class A3
0.36%		11/25/26	²		20,779		20,592
Iowa Student Loan Liquidity Corp., Series 2011-1, Class A
1.48%		06/25/42	²		16,394		16,918
Nelnet Student Loan Trust, Series 2007-1, Class A1
0.24%		11/27/18	²		5,853		5,843
Nelnet Student Loan Trust, Series 2008-4, Class A4
1.72%		04/25/24	²		10,000		10,280
Nelnet Student Loan Trust, Series 2012-5A, Class A
0.75%		10/27/36	^2,3		25,699		25,806


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
North Carolina State Education Authority, Series 2011-1, Class A3
1.14%		10/25/41	²	$	15,000	$	15,039
Northstar Education Finance, Inc.
0.99%		01/29/46	²		10,000		9,976
Scholar Funding Trust, Series 2011-A, Class A
1.14%		10/28/43	^2,3		9,894		9,939
SLC Student Loan Trust, Series 2006-2, Class A5
0.33%		09/15/26	²		15,000		14,713
SLM Student Loan Trust, Series 2003-12, Class A5
0.51%		09/15/22	^2,3		15,810		15,815
SLM Student Loan Trust, Series 2004-5A, Class A5
0.84%		10/25/23	^2,3		15,000		15,089
SLM Student Loan Trust, Series 2004-7, Class A5
0.41%		01/27/20	²		15,789		15,723
SLM Student Loan Trust, Series 2005-10, Class A4
0.35%		10/25/19	²		12,062		12,046
SLM Student Loan Trust, Series 2005-2, Class A5
0.33%		04/27/20	²		13,688		13,649
SLM Student Loan Trust, Series 2006-2, Class A4
0.33%		10/25/22	²		18,078		18,063
SLM Student Loan Trust, Series 2006-4, Class A4
0.32%		04/25/23	²		1,675		1,675
SLM Student Loan Trust, Series 2007-7, Class A3
0.48%		04/25/17	²		15,000		14,974
SLM Student Loan Trust, Series 2008-5, Class A4
1.94%		07/25/23	²		15,000		15,769
SLM Student Loan Trust, Series 2008-6, Class A3
0.99%		01/25/19	²		15,000		15,142
SLM Student Loan Trust, Series 2008-8, Class A4
1.74%		04/25/23	²		15,000		15,619
SLM Student Loan Trust, Series 2008-9, Class A
1.74%		04/25/23	²		16,658		17,203
SLM Student Loan Trust, Series 2010-1, Class A
0.55%		03/25/25	²		18,340		18,383
SLM Student Loan Trust, Series 2012-1, Class A2
0.60%		11/25/20	²		19,182		19,212


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
SLM Student Loan Trust, Series 2012-2, Class A
0.85%		01/25/29	²	$	34,334	$	34,501
SLM Student Loan Trust, Series 2013-3, Class A2
0.45%		05/26/20	²		20,000		20,025
SLM Student Loan Trust, Series 2013-4, Class A
0.70%		06/25/27	²		18,892		18,858
SLM Student Loan Trust, Series 2013-6, Class A2
0.65%		02/25/21	²		15,000		15,072
SLM Student Loan Trust, Series 2014-1, Class A3
0.75%		02/26/29	²		20,000		20,034
South Carolina Student Loan Corp., Series A1
0.34%		12/03/18	²		1,595		1,595
South Carolina Student Loan Corp., Series A2
0.36%		12/01/20	²		10,000		9,867

Total Asset-Backed Securities (Cost $702,023)							708,024


CORPORATES — 19.73%*
Banking — 0.47%
Credit Suisse/New York (YCD) (Switzerland)
0.56%		08/24/15	^2,4		25,000		25,002

Communications — 2.13%
AT&T, Inc.
2.50%		08/15/15			30,000		30,756
Qwest Corp.
7.50%		10/01/14			30,000		31,125
Verizon Communications, Inc.
1.76%		09/15/16	²		50,000		51,488

							113,369

Electric — 1.43%
NextEra Energy Capital Holdings, Inc.
1.34%		09/01/15			35,000		35,267
Oncor Electric Delivery Co. LLC
6.80%		09/01/18			15,000		17,727
W3A Funding Corp.
8.09%		01/02/17			23,230		23,206

							76,200

Energy — 1.17%
Florida Gas Transmission Co. LLC
4.00%		07/15/15	³		60,000		62,504

Finance — 8.36%
Chase Capital II, Series B
0.74%		02/01/27	²		100,000		84,500


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Finance (continued)
Citigroup, Inc.
1.94%		05/15/18	²	$	102,000	$	105,885
General Electric Capital Corp. (MTN)
0.62%		05/05/26	²		30,000		27,281
0.72%		08/15/36	²		75,000		62,325
Macquarie Group Ltd. (Australia)
7.30%		08/01/14	^3,4		35,000		35,765
Prudential Holdings LLC (AGM)
1.11%		12/18/17	^2,3		85,714		85,017
Woodbourne Capital Trust I
2.66%		04/29/49	^2,3,5		80,000		44,000

							444,773

Health Care — 0.47%
Providence Health & Services Obligated Group
1.20%		10/01/17	²		25,000		24,957

Industrials — 0.67%
Heathrow Funding Ltd. (United Kingdom)
2.50%		06/25/15	^3,4		35,000		35,540

Real Estate Investment Trust (REIT) — 3.31%
Brandywine Operating Partnership LP
7.50%		05/15/15			30,000		32,133
HCP, Inc.
6.00%		01/30/17			30,000		33,770
Mack-Cali Realty LP
2.50%		12/15/17			25,000		25,174
Nationwide Health Properties, Inc.
6.00%		05/20/15			30,000		31,782
Realty Income Corp.
5.50%		11/15/15			25,000		26,814
UDR, Inc. (MTN)
5.25%		01/15/16			25,000		26,618

							176,291

Transportation — 1.72%
Continental Airlines Pass-Through Trust, Series 1997, Class 4A
6.90%		01/02/18			84,929		91,723

Total Corporates (Cost $1,033,797)							1,050,359


MORTGAGE-BACKED — 43.78%**
Commercial Mortgage-Backed — 6.45%
Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2006-5, Class A2
5.32%		09/10/47			27,565		27,746


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed (continued)
Bear Stearns Commercial Mortgage Securities Trust, Series 2004-PWR4, Class A3
5.47%		06/11/41	²	$	7,232	$	7,238
Bear Stearns Commercial Mortgage Securities Trust, Series 2006-T22, Class A4
5.58%		04/12/38	²		29,717		31,921
Commercial Mortgage Pass-Through Certificates, Series 2005-C6, Class A5A
5.12%		06/10/44	²		32,879		34,365
Credit Suisse First Boston Commercial Mortgage Trust, Series 2005-C1, Class A4
5.01%		02/15/38	²		31,025		31,729
Credit Suisse First Boston Commercial Mortgage Trust, Series 2005-C3, Class A3
4.64%		07/15/37			16,748		16,768
Credit Suisse Mortgage Capital Certificates, Series 2006-C5, Class AAB
5.31%		12/15/39			2,798		2,822
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2005-LDP2, Class A3A
4.68%		07/15/42			11,943		12,083
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2005-LPD4, Class A4
4.92%		10/15/42	²		23,675		24,777
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-LD11, Class ASB
5.82%		06/15/49	²		46,410		49,435
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-LD12, Class ASB
5.83%		02/15/51	²		21,867		23,312
Merrill Lynch Mortgage Investors, Inc., Series 2005-CIP1, Class A2
4.96%		07/12/38			6,471		6,467
Merrill Lynch Mortgage Investors, Inc., Series 2005-MCP1, Class ASB
4.67%		06/12/43	²		4,423		4,429
Morgan Stanley Capital I Trust, Series 2007-IQ14, Class A2FX
5.61%		04/15/49			21,240		21,508
Wachovia Bank Commercial Mortgage Trust, Series 2005-C20, Class A7
5.12%		07/15/42	²		46,473		48,578

							343,178

Non-Agency Mortgage-Backed — 25.24%
Argent Securities, Inc., Series 2005-W2, Class A2B1
0.35%		10/25/35	²		16,599		16,566


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
0.66%		07/25/35	²	$	27,555	$	27,269
Banc of America Alternative Loan Trust, Series 2003-4, Class 1A5
5.50%		06/25/33			36,241		39,178
Banc of America Alternative Loan Trust, Series 2003-9, Class 1CB5
5.50%		11/25/33			35,422		36,514
Banc of America Mortgage Securities, Inc., Series 2003-A, Class 2A2
2.98%		02/25/33	²		5,699		5,709
BCAP LLC Trust, Series 2011-RR3, Class 1A5
2.82%		05/27/37	^2,3		37,925		38,201
Bear Stearns Asset-Backed Securities Trust, Series 2005-3, Class A1
0.60%		09/25/35	²		24,765		24,703
Centex Home Equity Loan Trust, Series 2002-C, Class AF4 (STEP)
4.98%		06/25/31			30,549		30,732
Commercial Mortgage Trust, Series 2005-GG5, Class AAB
5.19%		04/10/37	²		20,974		21,261
Conseco Finance Securitizations Corp., Series 2000-E, Class M1
8.13%		08/15/31	²		4,975		5,002
Conseco Financial Corp., Series 1997-4, Class A5
6.88%		02/15/29			21,283		22,265
Countrywide Alternative Loan Trust, Series 2005-27, Class 3A2
1.23%		08/25/35	²		57,599		40,854
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2005-9, Class 1A1
0.45%		05/25/35	²		42,610		36,888
Credit Suisse First Boston Mortgage Securities Corp., Series 1997-2, Class A
7.50%		06/25/20	³		4,082		4,108
Credit-Based Asset Servicing and Securitization LLC, Series 2003-CB5, Class M1
1.17%		11/25/33	²		30,645		29,017
Downey Savings & Loan Association Mortgage Loan Trust, Series 2004-AR1, Class A2A
0.98%		09/19/44	²		38,011		36,287
Downey Savings & Loan Association Mortgage Loan Trust, Series 2004-AR3, Class 2A2A
0.53%		07/19/44	²		10,726		10,318


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Downey Savings & Loan Association Mortgage Loan Trust, Series 2005-AR6, Class 2A1A
0.45%		10/19/45	²	$	42,180	$	36,672
Downey Savings & Loan Association Mortgage Loan Trust, Series 2006-AR2, Class 2A1A
0.36%		10/19/36	²		41,870		36,458
Fremont Home Loan Trust, Series 2005-2, Class M1
0.61%		06/25/35	²		9,960		9,968
Green Tree Home Improvement Loan Trust, Series 1995-F, Class B2
7.10%		01/15/21			13,994		13,994
Greenwich Capital Commercial Funding Corp., Series 2005-GG3, Class A3
4.57%		08/10/42			46,294		46,489
GSAMP Trust, Series 2005-HE4, Class M1
0.60%		07/25/45	²		26,948		26,761
Harborview Mortgage Loan Trust, Series 2005-4, Class 2A
2.74%		07/19/35	²		33,764		31,264
Home Equity Loan Trust, Series 2006-1, Class A1
0.32%		01/20/36	²		12,892		12,690
Home Equity Loan Trust, Series 2006-2, Class A1
0.31%		03/20/36	²		47,462		46,606
Home Equity Loan Trust, Series 2007-3, Class APT
1.36%		11/20/36	²		24,933		24,813
Household Home Equity Loan Trust, Series 2005-3, Class A1
0.42%		01/20/35	²		26,317		26,227
IndyMac Index Mortgage Loan Trust, Series 2004-AR5, Class 2A1A
1.01%		08/25/34	²		19,202		16,936
IndyMac Index Mortgage Loan Trust, Series 2007-FLX1, Class A2
0.33%		02/25/37	²		36,992		35,806
JPMorgan Mortgage Acquisition Corp., Series 2005-OPT1, Class M1
0.60%		06/25/35	²		28,997		28,812
LB-UBS Commercial Mortgage Trust, Series 2005-C5, Class A4
4.95%		09/15/30			17,318		17,976
Lehman XS Trust, Series 2005-5N, Class 3A1A
0.45%		11/25/35	²		43,148		37,877
Lehman XS Trust, Series 2006-2N, Class 1A1
0.41%		02/25/46	²		53,096		39,745


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
MASTR Asset-Backed Securities Trust, Series 2005-HE1, Class M2
0.83%		05/25/35	²	$	21,170	$	21,159
Morgan Stanley Capital I Trust, Series 2005-NC2, Class M2
0.78%		03/25/35	²		31,024		30,745
Morgan Stanley Capital, Inc., Series 2005-HE6, Class A2C
0.47%		11/25/35	²		25,448		24,854
New Century Home Equity Loan Trust, Series 2005-2, Class M1
0.58%		06/25/35	²		30,000		29,593
New Century Home Equity Loan Trust, Series 2005-3, Class M2
0.64%		07/25/35	²		40,000		37,951
New Century Home Equity Loan Trust, Series 2005-4, Class A2B
0.42%		09/25/35	²		737		738
Park Place Securities, Inc., Series 2004-MCW1, Class M1
1.09%		10/25/34	²		28,519		28,413
Park Place Securities, Inc., Series 2005-WHQ2, Class A1B
0.42%		05/25/35	²		28,443		28,323
Residential Asset Mortgage Products, Inc., Series 2003-RZ3, Class A6 (STEP)
3.90%		03/25/33			26,042		26,211
Residential Asset Mortgage Products, Inc., Series 2004-SL1, Class A2
8.50%		11/25/31			7,996		7,996
Residential Asset Mortgage Products, Inc., Series 2006-EFC1, Class A2
0.35%		02/25/36	²		12,274		12,202
Residential Asset Securities Corp., Series 2005-KS12, Class A2
0.40%		01/25/36	²		6,348		6,324
Structured Asset Securities Corp., Series 2005-WF4, Class A4
0.51%		11/25/35	²		21,244		21,216
Terwin Mortgage Trust, Series 2004-13AL, Class 2PX (IO)
0.34%		08/25/34	^3,5		7,448,378		109,090
WaMu Mortgage Pass-Through Certificates, Series 2002-AR6, Class A
1.53%		06/25/42	²		9,934		9,397
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR14, Class 2A1
2.62%		10/25/36	²		37,736		35,478

							1,343,656

U.S. Agency Mortgage-Backed — 12.09%
Fannie Mae Pool 646884
1.79%		05/01/32	²		67,174		69,040


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool 802665
2.11%		12/01/34	²	$	3,928	$	3,972
Fannie Mae Pool AL0851
6.00%		10/01/40			17,226		19,206
Fannie Mae REMICS, Series 2003-11, Class FA
1.15%		09/25/32	²		24,186		24,876
Fannie Mae Whole Loan, Series 2003-W6, Class F
0.50%		09/25/42	²		87,568		86,780
Fannie Mae, Series 1997-91, Class SL (IO)
7.50%		11/25/23	²		124,122		21,670
Fannie Mae, Series 2004-33, Class MW
4.50%		01/25/30			21,389		21,900
Fannie Mae, Series 2008-47, Class PF
0.65%		06/25/38	²		22,165		22,313
Fannie Mae, Series 2010-109, Class PF
0.55%		10/25/40	²		24,070		24,197
Fannie Mae, Series G-36, Class ZB
7.00%		11/25/21			1,620		1,840
Freddie Mac REMICS, Series 2581, Class F
0.60%		12/15/32	²		10,824		10,839
Freddie Mac REMICS, Series 2684, Class F
1.06%		01/15/33	²		26,052		26,591
Freddie Mac REMICS, Series 3831, Class PV
5.00%		05/15/25			59,798		64,347
Freddie Mac Strips, Series 263, Class F5
0.66%		06/15/42	²		50,708		50,867
Freddie Mac, Series 3501, Class JA
4.00%		04/15/37			39,024		40,706
Freddie Mac-Ginnie Mae, Series 2, Class L
8.00%		11/25/22			6,513		6,968
NCUA Guaranteed Notes, Series 2010-R1, Class 1A
0.61%		10/07/20	²		58,412		58,762
NCUA Guaranteed Notes, Series 2010-R3, Class 1A
0.72%		12/08/20	²		51,652		52,115
NCUA Guaranteed Notes, Series 2011-R5, Class 1A
0.54%		04/06/20	²		36,854		36,928

							643,917

Total Mortgage-Backed
(Cost $2,292,675)							2,330,751

Issues

Maturity
Date

Principal
Amount

Value

MUNICIPAL BONDS — 0.96%*

California — 0.96%

State of California, Taxable, Various Purpose

4.85%

10/01/14

50,000

51,141

Total Municipal Bonds

(Cost $50,237)

U.S. AGENCY SECURITIES — 0.47%

Federal Farm Credit Bank

0.18%

09/14/16

25,000

25,008

Total U.S. Agency Securities

(Cost $24,994)

Total Bonds – 78.24%

(Cost $4,103,726)

4,165,283

Issues

Maturity
Date

Principal
Amount/
Shares

Value

SHORT-TERM INVESTMENTS — 16.79%

Money Market Funds — 1.84%

Dreyfus Cash Advantage Fund

0.05%⁶

50,000

DWS Money Market Series Institutional Funds

0.04%⁶

48,000

98,000

U.S. Agency Discount Notes — 13.43%

Fannie Mae

0.07%⁷

05/02/14

70,000

69,999

Federal Home Loan Bank

0.05%⁷

04/30/14

110,000

109,999

0.06%⁷

04/09/14

180,000

179,999

0.06%⁷

06/04/14

150,000

149,995

Freddie Mac

0.06%⁷

04/28/14

40,000

39,998

0.06%⁷

05/05/14

30,000

29,999

0.08%⁷

07/08/14

110,000

109,991

0.12%⁷

05/13/14

25,000

24,999

714,979

U.S. Treasury Bills — 1.52%

U.S. Treasury Bills

0.06%⁷

04/24/14

⁸

81,000

80,997

Total Short-Term Investments

(Cost $893,934)

893,976


	Value
Total Investments – 95.03%
(Cost $4,997,660)¹	$	5,059,259


Cash and Other Assets, Less
Liabilities – 4.97%		264,474

Net Assets – 100.00%	$	5,323,733


Contracts				Unrealized (Depreciation)


	Expiration Date	Notional Amount (000’s)	Appreciation	Value
SWAPS: TOTAL RETURN

The Fund pays a floating rate based on 1-month USD LIBOR plus 35 basis points and the Fund receives from the counterparty the price return on the Standard & Poor’s 500 Total Return Index. Counterparty: Barclays, Inc.


04/03/14	$3,783	$	31,807	$	31,807

	$3,783	$	31,807	$	31,807

Notes:

¹	Cost for federal income tax purposes is $4,997,660 and net unrealized appreciation/(depreciation) consists of:


Gross unrealized appreciation	$	1,328,325
Gross unrealized depreciation		(1,266,726	)

Net unrealized appreciation	$	61,599

²	Floating rate security. The rate disclosed was in effect at March 31, 2014.

³	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.

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

⁵	Illiquid security as determined under procedures approved by the Funds’ Board of Trustees. The aggregate value of illiquid securities is $153,090, which is 2.88% of total net assets.

⁶	Represents the current yield as of March 31, 2014.

⁷	Represents annualized yield at date of purchase.

⁸	Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $80,997.

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

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

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

(IO): Interest only

(LIBOR): London InterBank Offer Rate

(MTN): Medium-term note

(STEP): Step coupon bond

(USD): U.S. dollar

(YCD): Yankee Certificate of Deposit

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 MetropolitanWest (“MetWest”). When the Funds use 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 Funds’ 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 Funds cannot guarantee that values determined by the Board or persons acting at their direction would accurately reflect the price that the Funds 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 Funds 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 year ended March 31, 2014, 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 ASU 2013-08 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 Funds’ financial statements.

The Trust has defined cash and cash equivalents as cash which can be in interest-bearing accounts. The Funds also maintain cash in bank account deposits that, at times, may exceed federally insured limits. The Funds have not experienced any losses in any such accounts.

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

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

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

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

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

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

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

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 March 31, 2014, 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 investments and other financial instruments carried at fair value March 31, 2014 is as follows:

ULTRA SHORT BOND FUND

LEVEL 1

LEVEL 2

LEVEL 3

TOTAL

Investments in Securities

Assets

Short-Term Investments:

Commercial Paper

$ –

$ 1,399,601

$ –

$ 1,399,601

Money Market Funds

3,931,000

–

3,931,000

U.S. Agency Discount Notes

–

16,054,456

–

16,054,456

U.S. Treasury Bills

1,084,973

–

1,084,973

Long-Term Investments:

Asset-Backed Securities

–

7,226,852

–

7,226,852

Bank Loans

–

637,999

–

637,999

Corporates

–

23,975,725

–

23,975,725

Foreign Government Obligations

–

645,065

–

645,065

Mortgage-Backed

–

124,938,693

75,655

125,014,348

Municipal Bonds

–

525,395

–

525,395

U.S. Agency Securities

–

7,171,392

–

7,171,392

U.S. Treasury Securities

5,210,903

–

5,210,903

Total

$ 10,226,876

$182,575,178

$ 75,655

$192,877,709

LOW DURATION BOND FUND

LEVEL 1

LEVEL 2

LEVEL 3

TOTAL

Investments in Securities

Assets

Short-Term Investments:

Commercial Paper

$ –

$ 86,769,329

$ –

$ 86,769,329

Money Market Funds

72,422,000

–

72,422,000

Repurchase Agreements

–

62,000,000

–

62,000,000

U.S. Agency Discount Notes

–

332,854,309

–

332,854,309

Long-Term Investments:

Asset-Backed Securities

–

463,445,764

–

463,445,764

Bank Loans

–

27,357,819

–

27,357,819

Corporates

–

678,302,035

877,250

679,179,285

Foreign Government Obligations

–

18,069,642

–

18,069,642

Mortgage-Backed

–

1,578,202,931

5,060,781

1,583,263,712

Municipal Bonds

–

28,480,821

–

28,480,821

Purchased Swaptions

–

826,855

–

826,855

U.S. Agency Securities

–

172,585,606

–

172,585,606

U.S. Treasury Securities

99,555,648

–

99,555,648

Other Financial Instruments *

Liabilities:

Interest rate contracts

–

(513,983)

–

(513,983)

Total

$171,977,648

$3,448,381,128

$ 5,938,031

$3,626,296,807

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

INTERMEDIATE BOND FUND

LEVEL 1

LEVEL 2

LEVEL 3

TOTAL

Investments in Securities

Assets

Short-Term Investments:

Commercial Paper

$ –

$ 4,603,754

$ –

$ 4,603,754

Money Market Funds

9,992,000

–

9,992,000

U.S. Agency Discount Notes

–

54,923,448

–

54,923,448

U.S. Treasury Bills

11,000

–

11,000

Long-Term Investments:

Asset-Backed Securities

–

26,948,615

–

26,948,615

Bank Loans

–

733,456

–

733,456

Corporates

–

99,910,044

–

99,910,044

Mortgage-Backed

–

193,457,249

–

193,457,249

Municipal Bonds

–

5,899,138

–

5,899,138

U.S. Agency Securities

–

20,347,617

–

20,347,617

U.S. Treasury Securities

97,564,304

–

97,564,304

Other Financial Instruments *

Assets:

Interest rate contracts

–

120,315

–

120,315

Liabilities:

Interest rate contracts

–

(1,071)

–

(1,071)

Total

$107,567,304

$406,942,565

$ –

$514,509,869

*Other financial instruments include swap contracts and swaptions. Interest rate contracts include 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	$ –	$ 565,505,823	$ –	$ 565,505,823
Money Market Funds	535,979,000	–	–	535,979,000
Repurchase Agreements	–	427,500,000	–	427,500,000
U.S. Agency Discount Notes	–	2,403,208,551	–	2,403,208,551
U.S. Treasury Bills	8,270,715	–	–	8,270,715
Long-Term Investments:
Asset-Backed Securities	–	1,528,758,986	66,695,628	1,595,454,614
Bank Loans	–	135,826,273	–	135,826,273
Common Stock	31,305,930	–	–	31,305,930
Corporates	–	4,270,826,679	1,842,500	4,272,669,179
Foreign Government Obligations	–	79,578,612	–	79,578,612
Mortgage-Backed	–	12,186,639,546	34,813,444	12,221,452,990
Municipal Bonds	–	532,019,235	–	532,019,235
Purchased Swaptions	–	47,479,949	–	47,479,949
U.S. Agency Securities	–	304,689,571	–	304,689,571
U.S. Treasury Securities	7,429,898,987	–	–	7,429,898,987
Other Financial Instruments *
Assets:
Interest rate contracts	5,100,320	63,710,189	–	68,810,509
Liabilities:
Credit contracts	–	(392,918)	–	(392,918)
Interest rate contracts	(4,364,047)	(47,396,661)	–	(51,760,708)
Total	$8,006,190,905	$22,497,953,835	$103,351,572	$30,607,496,312

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

HIGH YIELD BOND FUND

LEVEL 1

LEVEL 2

LEVEL 3

TOTAL

Investments in Securities

Assets

Short-Term Investments:

Money Market Funds

$ 39,163,000

$ –

$ 39,163,000

U.S. Agency Discount Notes

–

103,087,979

–

103,087,979

U.S. Treasury Bills

11,000

–

11,000

Long-Term Investments:

Asset-Backed Securities

–

70,748,610

–

70,748,610

Bank Loans

–

216,392,937

4,975,000

221,367,937

Common Stock

18,847,324

–

18,847,324

Corporates

–

1,738,185,628

–

1,738,185,628

Mortgage-Backed

–

419,839

419,840

U.S. Treasury Securities

5,414,129

–

5,414,129

Other Financial Instruments **

Assets:

Credit contracts

–

1,278,663

–

1,278,663

Total

$ 63,435,453

$ 2,130,113,656

$ 4,975,001

$ 2,198,524,110

*As of March 31, 2014, Boston Generating LLC, Term Loan 1st Lien had a $0 market value.

**Other financial instruments include swap contracts. Credit contracts include credit default swaps.

UNCONSTRAINED BOND FUND

LEVEL 1

LEVEL 2

LEVEL 3

TOTAL

Investments in Securities

Assets

Short-Term Investments:

Commercial Paper

$ –

$ 11,203,562

$ –

$ 11,203,562

Money Market Funds

14,356,000

–

14,356,000

U.S. Agency Discount Notes

–

50,508,318

–

50,508,318

U.S. Treasury Bills

710,975

–

710,975

Long-Term Investments:

Asset-Backed Securities

–

135,058,131

–

135,058,131

Bank Loans

–

3,853,613

–

3,853,613

Common Stock

3,511,788

–

3,511,788

Corporates

–

142,163,459

–

142,163,459

Foreign Government Obligations

–

4,638,123

–

4,638,123

Mortgage-Backed

–

308,348,931

65,416

308,414,347

Municipal Bonds

–

15,107,072

–

15,107,072

Mutual Funds

3,032,864

–

3,032,864

U.S. Agency Securities

–

19,893,126

–

19,893,126

U.S. Treasury Securities

5,881,940

–

5,881,940

Other Financial Instruments *

Assets:

Credit contracts

–

50,454

–

50,454

Interest rate contracts

273,856

–

273,856

Liabilities:

Interest rate contracts

(34,096)

–

(34,096)

Total

$ 27,733,327

$690,824,789

$ 65,416

$718,623,532

*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

$ 2,433,000

$ –

$ 2,433,000

U.S. Agency Discount Notes

–

1,679,909

–

1,679,909

Long-Term Investments:

Bank Loans

–

94,249,966

995,000

95,244,966

Corporates

–

11,951,385

–

11,951,385

Municipal Bonds

–

601,980

–

601,980

U.S. Agency Securities

–

635,195

–

635,195

Total

$ 2,433,000

$109,118,435

$ 995,000

$112,546,435


STRATEGIC INCOME FUND	LEVEL 1	LEVEL 2	LEVEL 3		TOTAL
Investments in Securities
Assets
Short-Term Investments:
Commercial Paper	$ –	$ 2,214,401	$ –		$ 2,214,401
Money Market Funds	4,392,000	–	–		4,392,000
U.S. Agency Discount Notes	–	29,921,705	–		29,921,705
U.S. Treasury Bills	4,755,882	–	–		4,755,882
Long-Term Investments:
Asset-Backed Securities	–	35,961,982	1,910,625		37,872,607
Bank Loans	–	1,783,755	–	*	1,783,755
Common Stock	1,761,863	–	–		1,761,863
Corporates	–	19,096,339	–		19,096,339
Mortgage-Backed	–	107,082,031	400		107,082,431
Mutual Funds	1,374,967	–	–		1,374,967
U.S. Agency Securities	–	1,049,122	–		1,049,122
U.S. Treasury Securities	6,090,501	–	–		6,090,501
Total	$ 18,375,213	$197,109,335	$ 1,911,025		$217,395,573

*As of March 31, 2014, 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

$ 98,000

$ –

$ 98,000

U.S. Agency Discount Notes

–

714,979

–

714,979

U.S. Treasury Bills

80,997

–

80,997

Long-Term Investments:

Asset-Backed Securities

–

708,024

–

708,024

Corporates

–

1,006,359

44,000

1,050,359

Mortgage-Backed

–

2,221,661

109,090

2,330,751

Municipal Bonds

–

51,141

–

51,141

U.S. Agency Securities

–

25,008

–

25,008

Other Financial Instruments *

Assets:

Equity contracts

–

31,807

–

31,807

Liabilities:

Equity contracts

(3,877)

–

(3,877)

Total

$ 175,120

$ 4,758,979

$ 153,090

$ 5,087,189

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

Certain of the Funds’ 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 and/or liabilities transferred between levels 1 and 2 for the year ended March 31, 2014.

For the year ended March 31, 2014, 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 March 31, 2014 was $17,408 and is included in the related realized gains/(losses) and net change in appreciation/(depreciation) in the statements of operations.



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			–				91			–
Realized gain/(loss)			23				–			(225,693	)
Change in unrealized appreciation/(depreciation)*			(1,416	)			63,709			1,446,596
Purchases			–				–			–
Sales			(4,159,085	)			–			–
Transfers into Level 3**			–				–
Transfers out of Level 3**			–				–			–


Balance as of March 31, 2014		$	–			$	877,250		$	5,060,781

* The change in unrealized appreciation/(depreciation) on securities still held at March 31, 2014 was $1,510,304 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			125				18,666				6,847				–
Realized (loss)			(4,129,739	)			(1,359,850	)			–				(6,985,945	)
Change in unrealized appreciation/(depreciation)*			154,678				(135,998	)			669,203				(839,961	)
Purchases			–				–				–				–
Sales			(38,711,866	)			(13,870,195	)			(1,897,175	)			–
Transfers into Level 3**			–				–				–				–
Transfers out of Level 3**			–				–				–				–


Balance as of March 31, 2014		$	66,695,628			$	–			$	1,842,500			$	34,813,444

* The change in unrealized appreciation/(depreciation) on securities still held at March 31, 2014 was $(445,495) 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			$	29
Accrued discounts/premiums			456				–				–
Realized (loss)			–				(542,167	)			–
Change in unrealized appreciation/(depreciation)*			40,547				175,835				(28	)
Purchases			4,900,000				–				–
Sales			(3,802,577	)			(292,443	)			–
Transfers into Level 3**			–				–				–
Transfers out of Level 3**			–				–				–


Balance as of March 31, 2014		$	4,975,000	***		$	–			$	1

* The change in unrealized appreciation/(depreciation) on securities still held at March 31, 2014 was $(62,653) and is included in the related realized gains/(losses) and net change in appreciation/(depreciation) in the statements of operations.

*** As of March 31, 2014 and March 31, 2013, Boston Generating LLC, Term Loan 1st Lien had a $0 market value.

* The change in unrealized appreciation/(depreciation) on securities still held at March 31, 2014 was $(35,421) and is included in the related realized gains/(losses) and net change in appreciation/(depreciation) in the statements of operations.

** The change in unrealized appreciation/(depreciation) on securities still held at March 31, 2014 was $0 and is included in the related realized gains/(losses) and net change in appreciation/(depreciation) in the statements of operations.


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)			(654,471	)			–				(26,715	)			–				–
Change in unrealized appreciation/ (depreciation)*			120,474				–				11,750				84				2,892
Purchases			–				–				–				–				–
Sales			(883,055	)			–				(14,410	)			(37	)			(2,893	)
Transfers into Level 3**			–				–				–				–				–
Transfers out of Level 3**			–				–				–				–				–


Balance as of
March 31, 2014		$	1,910,625			$	–	***		$	–			$	400			$	–

* The change in unrealized appreciation/(depreciation) on securities still held at March 31, 2014 was $127,170 and is included in the related realized gains/(losses) and net change in appreciation/(depreciation) in the statements of operations.

*** As of March 31, 2014 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)

–

(19,062

)

Change in unrealized
appreciation*

3,200

25,362

Purchases

–

Sales

–

Transfers into Level 3**

–

Transfers out of Level 3**

–

Balance as of

March 31, 2014

44,000

109,090

* The change in unrealized appreciation/(depreciation) on securities still held at March 31, 2014 was $28,562 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 March 31, 2014, are as follows:


ULTRA SHORT BOND FUND	FAIR VALUE AT 3/31/14	VALUATION TECHNIQUE*	UNOBSERVABLE INPUT	RANGE	WEIGHTED AVERAGE

Mortgage-Backed Securities-Non-Agency	$75,655	Methods of Comparables/Consensus Pricing	Offered Quote	1.46	1.46
LOW DURATION BOND FUND	FAIR VALUE AT 3/31/14	VALUATION TECHNIQUE*	UNOBSERVABLE INPUT	RANGE	WEIGHTED AVERAGE

Corporate Securities	$877,250	Methods of Comparables/Consensus Pricing	Offered Quote	55.00	55.00
Mortgage-Backed Securities-Non-Agency	$5,060,781	Methods of Comparables/Consensus Pricing	Offered Quote	0.03 - 8.00	2.22
TOTAL RETURN BOND FUND	FAIR VALUE AT 3/31/14	VALUATION TECHNIQUE*	UNOBSERVABLE INPUT	RANGE	WEIGHTED AVERAGE

Asset-Backed Securities	$66,695,628	Methods of Comparables/Consensus Pricing	Offered Quote	20.00 - 100.00	99.93
Corporate Securities	$1,842,500	Methods of Comparables/Consensus Pricing	Offered Quote	55.00	55.00
Mortgage-Backed Securities-Non-Agency	$34,813,444	Methods of Comparables/Consensus Pricing	Offered Quote	0.03 - 8.00	2.26
HIGH YIELD BOND FUND	FAIR VALUE AT 3/31/14	VALUATION TECHNIQUE*	UNOBSERVABLE INPUT	RANGE	WEIGHTED AVERAGE

Bank Loans	$4,975,000	Methods of Comparables/Consensus Pricing	Offered Quote	0.01 - 99.50	99.50
Mortgage-Backed Securities-Non-Agency	$1	Methods of Comparables/Consensus Pricing	Offered Quote	0.03	0.03
UNCONSTRAINED BOND FUND	FAIR VALUE AT 3/31/14	VALUATION TECHNIQUE*	UNOBSERVABLE INPUT	RANGE	WEIGHTED AVERAGE

Mortgage-Backed Securities-Non-Agency	$65,416	Methods of Comparables/Consensus Pricing	Offered Quote	0.80 - 8.56	1.96
FLOATING RATE INCOME FUND	FAIR VALUE AT 3/31/14	VALUATION TECHNIQUE*	UNOBSERVABLE INPUT	RANGE	WEIGHTED AVERAGE

Bank Loans	$995,000	Methods of Comparables/Consensus Pricing	Offered Quote	99.50	99.50
STRATEGIC INCOME FUND	FAIR VALUE AT 3/31/14	VALUATION TECHNIQUE*	UNOBSERVABLE INPUT	RANGE	WEIGHTED AVERAGE

Asset-Backed Securities	$1,910,625	Methods of Comparables/Consensus Pricing	Offered Quote	20.00 - 100.00	98.78

Mortgage-Backed Securities-Non-Agency	$400	Methods of Comparables/Consensus Pricing	Offered Quote	0.03 - 8.00	8.00

* 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 Funds’ Pricing Committee in accordance with procedures approved by the Board of Trustees, and under the general oversight of the Board of Trustees. The Funds’ 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 Funds’ 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 Funds to a significant extent. The value determined for an investment using the Funds’ 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 Funds’ 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 March 31, 2014:


	LOCATION ON THE STATEMENTS OF ASSETS AND LIABILITIES
DERIVATIVE TYPE	ASSET DERIVATIVES	LIABILITY DERIVATIVES
Interest rate contracts	Unrealized appreciation on	Unrealized depreciation on swap
	swap contracts	contracts
	Premiums paid for swap	Premiums received on swap
	contracts	contracts
	Receivable for daily variation	Payable for daily variation margin
	margin
Credit contracts	Unrealized appreciation on	Unrealized depreciation on swap
	swap contracts	contracts
	Premiums paid for swap	Premiums received for swap
	contracts	contracts
Equity contracts	Unrealized appreciation on	Unrealized depreciation on swap
	swap contracts	contracts
	Premiums paid for swap	Premiums received for swap
	contracts	contracts
	Receivable for daily variation	Payable for daily variation margin
	margin
Foreign currency exchange	Unrealized appreciation on	Unrealized depreciation on foreign
contracts	foreign currency exchange	currency exchange contracts
	contracts

The following is a summary of the Funds’ derivative instrument holdings categorized by primary risk exposure as of March 31, 2014:


	ASSET DERIVATIVE INVESTMENTS
	ULTRA SHORT BOND FUND			LOW DURATION BOND FUND			INTERMEDIATE BOND FUND			TOTAL RETURN BOND FUND
Interest contracts:
Futures¹		$	–		$	–		$	–		$	5,100,320
Swaps			–			–			120,315			63,710,189
Swaptions			–			826,855			–			47,479,949

Total		$	–		$	826,855		$	120,315		$	116,290,458

ASSET DERIVATIVE INVESTMENTS

HIGH YIELD
BOND FUND

UNCONSTRAINED
BOND FUND

FLOATING RATE
INCOME FUND^*

STRATEGIC
INCOME FUND

ALPHATRAK
500 FUND

Credit contracts:

Swaps

1,278,663

50,454

–

Equity contracts:

Swaps

–

31,807

Interest contracts:

Futures¹

–

273,856

–

Total

1,278,663

324,310

–

31,807

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		$	–		$	–			$	–			$	(392,918	)
Interest contracts:
Futures¹			–			–				–				(4,364,047	)
Swaps			–			–				–				(36,400,507	)
Swaptions			–			(513,983	)			(1,071	)			(10,996,154	)

Total		$	–		$	(513,983	)		$	(1,071	)		$	(52,153,626	)


	LIABILITY DERIVATIVE INVESTMENTS
	HIGH YIELD BOND FUND			UNCONSTRAINED BOND FUND				FLOATING RATE INCOME FUND^*			STRATEGIC INCOME FUND			ALPHATRAK 500 FUND
Equity contracts:
Futures¹		$	–		$	–			$	–		$	–		$	(3,877	)
Interest contracts:
Futures¹			–			(34,096	)			–			–			–

Total		$	–		$	(34,096	)		$	–		$	–		$	(3,877	)

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 year ended March 31, 2014:


	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		$	–		$	–			$	–			$	6,129,060
Interest contracts:
Futures			–			–				(78,382	)			(9,398,226	)
Swaps			–			–				–				(4,823,737	)
Swaptions			–			–				–				11,738,564
Foreign currency exchange contracts:
Forwards			–			(166,138	)			10,561				(3,798,568	)

Total		$	–		$	(166,138	)		$	(67,821	)		$	(152,907	)


	REALIZED GAIN/(LOSS) ON DERIVATIVES RECOGNIZED IN THE STATEMENTS OF OPERATIONS
	HIGH YIELD BOND FUND				UNCONSTRAINED BOND FUND				FLOATING RATE INCOME FUND^*			STRATEGIC INCOME FUND				ALPHATRAK 500 FUND
Credit contracts:
Swaps		$	(101,091	)		$	39,536			$	–		$	–			$	–
Equity contracts:
Futures			–				–				–			–				300,557
Swaps			–				–				–			1,502				954,388
Interest contracts:
Futures			209,301				2,133,913				–			(6,255	)			–
Swaps			–				–				–			6,020				–
Foreign currency exchange contracts:
Forwards			–				(269,577	)			–			–				–

Total		$	108,210			$	1,903,872			$	–		$	1,267			$	1,254,945


	CHANGE IN UNREALIZED APPRECIATION/(DEPRECIATION) 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		$	–		$	–		$	–		$	(5,376,398	)
Interest contracts:
Futures¹			–			–			–			(4,731,697	)
Swaps			–			17,136			88,277			14,187,838
Swaptions			–			35,089			–			5,527,426
Foreign currency exchange contracts:
Forwards			–			365,283			164,366			11,240,162

Total		$	–		$	417,508		$	252,643		$	20,847,331

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


	CHANGE IN UNREALIZED APPRECIATION/(DEPRECIATION) ON DERIVATIVES RECOGNIZED IN THE STATEMENTS OF OPERATIONS
	HIGH YIELD BOND FUND				UNCONSTRAINED BOND FUND			FLOATING RATE INCOME FUND^*			STRATEGIC INCOME FUND				ALPHATRAK 500 FUND
Credit contracts:
Swaps		$	(413,162	)		$	9,201		$	–		$	–			$	–
Equity contracts:
Futures¹			–				–			–			–				(26,648	)
Swaps			–				–			–			(259	)			(121,393	)
Interest contracts:
Futures¹			287,564				431,974			–			–				–
Foreign currency exchange contracts:
Forwards			–				1,102			–			–				–

Total		$	(125,598	)		$	442,277		$	–		$	(259	)		$	(148,041	)

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


	AVERAGE QUARTERLY BALANCE OF OUTSTANDING DERIVATIVE FINANCIAL INSTRUMENTS
	ULTRA SHORT BOND FUND			LOW DURATION BOND FUND			INTERMEDIATE BOND FUND			TOTAL RETURN BOND FUND
Financial futures contracts:
Average number of contracts purchased			–			–			–			11,356
Average number of contracts sold			–			–			15			5,702
Average value of contracts purchased		$	–		$	–		$	–		$	9,782,518
Average value of contracts sold		$	–		$	–		$	34,226		$	3,238,825
Swaptions purchased:
Average number of contracts			–			1			–			7
Average notional value		$	–		$	469,500		$	–		$	44,671,665
Swaptions written:
Average number of contracts			–			1			–			2
Average notional value		$	–		$	270,000		$	–		$	4,057,435
Credit default swaps:
Average number of contracts - buy protection			–			–			–			2
Average notional value - buy protection		$	–		$	–		$	–		$	35,450,000
Interest rate swaps:
Average number of contracts - pays fixed rate			–			–			2			16
Average notional value - pays fixed rate		$	–		$	–		$	1,445,000		$	1,185,012,500
Rate floor inflation swaptions:
Average number of contracts			–			1			1			1
Average notional value		$	–		$	10,080,000		$	595,000		$	63,960,000


	AVERAGE QUARTERLY BALANCE OF OUTSTANDING DERIVATIVE FINANCIAL INSTRUMENTS
	HIGH YIELD BOND FUND			UNCONSTRAINED BOND FUND			FLOATING RATE INCOME FUND*			STRATEGIC INCOME FUND			ALPHATRAK 500 FUND
Financial futures contracts:
Average number of contracts purchased			–			–			–			–			9
Average number of contracts sold			–			494			–			1			–
Average value of contracts purchased		$	–		$	–		$	–		$	–		$	27,702
Average value of contracts sold		$	–		$	953,269		$	–		$	5,136		$	–
Credit default swaps:
Average number of contracts - buy protection			2			1			–			–			–
Average notional value - buy protection		$	12,312,500		$	594,000		$	–		$	–		$	–
Total return swaps:
Average number of contracts			–			–			–			–			2
Average notional value		$	–		$	–		$	–		$	–		$	3,750

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, if any, is reported separately on the Statements of Assets and Liabilities as cash pledged as collateral. 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 Funds have 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 Funds disclose 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 Funds disclose 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 Funds as of March 31, 2014, are as follows:


	LOW DURATION 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
Repurchase Agreement		$	27,000,000		$	(27,000,000	)²		$	–			$	–

Total Deutsche Bank AG			27,000,000			(27,000,000	)			–				–
Goldman Sachs Group, Inc.
Swaptions			826,855			–				(504,911	)			321,944

Total Goldman Sachs Group, Inc.			826,855			–				(504,911	)			321,944
RBS Securities, Inc.
Repurchase Agreement			35,000,000			(35,000,000	)³			–				–

Total RBS Securities, Inc.			35,000,000			(35,000,000	)			–				–
Total		$	62,826,855		$	(62,000,000	)		$	(504,911	)		$	321,944

The following table presents the Fund’s OTC derivative liabilities 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 March 31, 2014, are as follows:


	LOW DURATION BOND FUND
COUNTERPARTY	GROSS LIABILITIES IN THE STATEMENT OF ASSETS AND LIABILITIES			COLLATERAL PLEDGED				(ASSETS)/ LIABILITIES AVAILABLE FOR OFFSET				NET AMOUNT OF LIABILITIES⁴
Citigroup, Inc.
Swaptions		$	9,072		$	(8,000	)		$	–			$	1,072

Total Citigroup, Inc.			9,072			(8,000	)			–				1,072
Goldman Sachs Group, Inc.
Swaptions			504,911			–				(504,911	)			–

Total Goldman Sachs Group, Inc.			504,911			–				(504,911	)			–
Total		$	513,983		$	(8,000	)		$	(504,911	)		$	1,072

⁴Represents the net amount payable to the counterparty in the event of default.

The following table presents the Fund’s OTC derivative assets 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 March 31, 2014, are as follows:

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

120,315

$–

120,315

Total Barclays, Inc.

120,315

–

120,315

Total

120,315

$–

120,315

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

1,071

$–

$1,071

Total Citigroup, Inc.

1,071

–

1,071

Total

1,071

$–

$1,071

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	$ 37,639,145	$(17,553,874)	$(19,364,109)	$ 721,162
Swaptions	3,356,923	–	(3,356,923)	–

Total Barclays, Inc.	40,996,068	(17,553,874)	(22,721,032)	721,162

Citigroup, Inc.
Swap agreements	7,980,240	(6,683,000)	(766,972)	530,268
Swaptions	–	–	–	–

Total Citigroup, Inc.	7,980,240	(6,683,000)	(766,972)	530,268

Deutsche Bank AG
Repurchase Agreement	62,500,000	(62,500,000)²	–	–
Swap agreements	5,478,524	–	(5,374,826)	103,698
Swaptions	1,510,830	–	(1,045,859)	464,971

Total Deutsche Bank AG	69,489,354	(62,500,000)	(6,420,685)	568,669

Goldman Sachs Group, Inc.
Swap agreements	6,118,547	–	(6,024,846)	93,701
Swaptions	–	–	–	–

Total Goldman Sachs Group, Inc.	6,118,547	–	(6,024,846)	93,701

JPMorgan Chase & Co.
Swap agreements	–	–	–	–

Total JPMorgan Chase & Co.	–	–	–	–

Morgan Stanley Capital Services, Inc.
Swap agreements	6,493,733	(4,000,000)	(2,398,773)	94,960
Swaptions	4,289,571	–	(4,289,571)	–

Total Morgan Stanley Capital Services, Inc.	10,783,304	(4,000,000)	(6,688,344)	94,960

Morgan Stanley Capital Services, Inc.
Repurchase Agreement	365,000,000	(365,000,000)³	–	–

Total Morgan Stanley Capital Services, Inc.	365,000,000	(365,000,000)	–	–

Total	$500,367,513	$(455,736,874)	$(42,621,879)	$2,008,760

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

²Collateral with a value of $63,750,002 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.

³Collateral with a value of $372,302,661 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 LIABILITIES¹
Barclays, Inc.
Swap agreements	$18,333,327	$ –	$(18,333,327)	$–
Swaptions	4,387,705	–	(4,387,705)	–

Total Barclays, Inc.	22,721,032	–	(22,721,032)	–

Citigroup, Inc.
Swaptions	766,972	–	(766,972)	–

Total Citigroup, Inc.	766,972	–	(766,972)	–

Deutsche Bank AG
Swap agreements	7,374,826	(2,000,000)	(5,374,826)	–
Swaptions	1,045,859	–	(1,045,859)	–

Total Deutsche Bank AG	8,420,685	(2,000,000)	(6,420,685)	–

Goldman Sachs Group, Inc.
Swap agreements	7,213,477	(1,950,000)	(5,263,477)	–
Swaptions	761,369	–	(761,369)	–

Total Goldman Sachs Group, Inc.	7,974,846	(1,950,000)	(6,024,846)	–

JPMorgan Chase & Co.
Swap agreements	280,328	(280,328)	–	–

Total JPMorgan Chase & Co.	280,328	(280,328)	–	–

Morgan Stanley Capital Services, Inc.
Swaptions	6,688,344	–	(6,688,344)	–

Total Morgan Stanley Capital Services, Inc.	6,688,344	–	(6,688,344)	–

Total	$46,852,207	$(4,230,328)	$(42,621,879)	$–

¹Represents 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
Credit Suisse
Swap agreements	$ 219,511	$ –	$–	$219,511

Total Credit Suisse	219,511	–	–	219,511

Goldman Sachs Group, Inc.
Swap agreements	476,906	(476,906)	–	–
Total Goldman Sachs Group, Inc.	476,906	(476,906)	–	–

Morgan Stanley Capital Services Inc.
Swap agreements	582,246	(450,000)	–	132,246

Total Morgan Stanley Capital Services Inc.	582,246	(450,000)	–	132,246

Total	$1,278,663	$(926,906)	$–	$351,757

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 MortgageAssociation (“GNMA”), FHLMC, or FNMA. The issuer of a series of CMOs may elect to be treated for tax purposes as a Real Estate Mortgage Investment Conduit. CMOs are structured into multiple classes, each bearing a different stated maturity. Monthly payment of principal received from the pool of underlying mortgages, including prepayments, is first returned to investors holding the shortest maturity class. Investors holding the longer maturity classes usually receive principal only after shorter classes have been retired. An investor may be partially protected against a sooner than desired return of principal because of the sequential payments.

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

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

The Funds may invest in stripped mortgage-backed securities issued by the U.S. government, its agencies and instrumentalities. Stripped mortgage-backed securities are usually structured with two classes that receive different proportions of the interest and principal distributions on a pool of mortgage assets. In certain cases, one class will receive all of the interest (the interest-only or “IO” class), while the other class will receive all of the principal (the principal-only or “PO” class). During the year ended March 31, 2014, 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 a 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 each respective Fund’s assets. The High Yield Bond Fund and Strategic Income Fund will not make total short sales exceeding 33 1/3% of each respective 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 March 31, 2014, 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 Funds 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 Funds. 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 year ended March 31, 2014, the HighYield Bond Fund received in-kind payments with respect to PIK securities of $1,049,413.

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 March 31, 2014, 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 year ended March 31, 2014.

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 Funds 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, a Fund’s maximum amount of loss is the premium paid (as purchaser) or the unrealized loss of the contract (as writer). As of March 31, 2014, the The Low Duration Bond Fund and the Total Return Bond Fund held written swaptions.

Futures - The Funds purchased or sold exchange-traded futures contracts, which are contracts that obligate the Funds 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 March 31, 2014, 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 March 31, 2014, 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 March 31, 2014, 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.

Investment transactions for the year ended March 31, 2014 excluding U.S. government and short-term investments, were as follows:


PORTFOLIO		PURCHASES		SALES

Ultra Short Bond Fund	$	134,163,255	$	31,285,189

Low Duration Bond Fund		2,503,624,985		590,585,721

Intermediate Bond Fund		650,553,472		524,870,967

Total Return Bond Fund		54,351,308,857		52,813,731,600

High Yield Bond Fund		1,362,364,050		1,505,873,249

Unconstrained Bond Fund		659,631,207		146,734,732

Floating Rate Income Fund*		156,871,502		63,448,619

Strategic Income Fund		100,840,493		79,637,617

AlphaTrak 500 Fund		2,176,287		1,845,122

Investment transactions in U.S. government securities for the year ended March 31, 2014 were as follows:

Transactions in swaption contracts written for the year ended March 31, 2014 were as follows:

As compensation for advisory services, theAdviser 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 $4,291,005 of total management fees for the year ended March 31, 2014. 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 increased by 0.17% resulting in $32,386 total management fees for the year ended March 31, 2014.

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 year ended March 31, 2014, were as follows:


	INVESTMENT ADVISORY FEE RATE				CONTRACTUAL EXPENSE LIMITATION¹
PORTFOLIO	CLASS M	CLASS I	ADMINISTRATIVE CLASS	PLAN CLASS	CLASS M	CLASS I	ADMINISTRATIVE CLASS	PLAN CLASS
Ultra Short Bond Fund	0.25%	0.25%	N/A	N/A	0.50%	0.34%	N/A	N/A
Low Duration Bond Fund	0.30	0.30	0.30%	N/A	0.58	0.39	0.78%	N/A
Intermediate Bond Fund	0.35	0.35	N/A	N/A	0.65	0.44	N/A	N/A
Total Return Bond Fund	0.35	0.35	0.35	0.35%	0.65	0.44	0.85	0.39%
High Yield Bond Fund	0.50	0.50	N/A	N/A	0.80	0.55	N/A	N/A
Unconstrained Bond Fund	0.65	0.65	N/A	N/A	0.99	0.75	N/A	N/A
Floating Rate Income Fund*	0.55	0.55	N/A	N/A	0.85	0.65	N/A	N/A
Strategic Income Fund	0.50 - 1.90	0.50 - 1.90	N/A	N/A	2.35	2.10	N/A	N/A
AlphaTrak 500 Fund	0.00 - 0.70	N/A	N/A	N/A	0.90	N/A	N/A	N/A

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 March 31, 2014, the balance of recoupable expenses with expiration dates for the Funds were as follows:


PORTFOLIO	2015		2016		2017		TOTAL
Ultra Short Bond Fund	$	183,240	$	158,547	$	163,689	$	505,476
Intermediate Bond Fund		164,289		117,147		103,858		385,294
Total Return Bond Fund		–		13,084		–		13,084
High Yield Bond Fund		628,464		681,824		358,500		1,668,788
Unconstrained Bond Fund		126,868		261,222		189,032		577,122
Floating Rate Income Fund*		–		–		123,362		123,362
AlphaTrak 500 Fund		91,760		120,886		129,255		341,901

Total	$	1,194,621	$	1,352,710	$	1,067,696	$	3,615,027

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. The respective chairman of the Audit Committee and the Nominating Committee each receive additional annual retainer of $5,000. The Trust 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 year ended March 31, 2014. 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
	YEAR ENDED MARCH 31, 2014		YEAR ENDED MARCH 31, 2013		YEAR ENDED MARCH 31, 2014		YEAR ENDED MARCH 31, 2013

Change in Fund shares:
Shares outstanding at beginning of year		13,217,475		8,866,998		15,745,736		17,853,233

Shares sold		27,953,048		8,434,044		15,456,648		5,631,129
Shares issued through reinvestment of distributions		183,981		157,343		193,900		276,292
Shares redeemed		(18,783,884)		(4,240,910)		(8,033,035)		(8,014,918)

Net increase/(decrease) in fund shares		9,353,145		4,350,477		7,617,513		(2,107,497)

Shares outstanding at end of year		22,570,620		13,217,475		23,363,249		15,745,736


	LOW DURATION BOND FUND
	CLASS M		CLASS M		CLASS I		CLASS I		ADMINISTRATIVE CLASS		ADMINISTRATIVE CLASS
	YEAR ENDED MARCH 31, 2014		YEAR ENDED MARCH 31, 2013		YEAR ENDED MARCH 31, 2014		YEAR ENDED MARCH 31, 2013		YEAR ENDED MARCH 31, 2014		YEAR ENDED MARCH 31, 2013

Change in Fund shares:
Shares outstanding at beginning of year		129,173,819		141,289,789		83,973,137		58,627,102		9,212		143,562

Shares sold		187,311,933		74,690,360		178,970,115		49,179,803		330,484		90,854
Shares issued through reinvestment of distributions		2,802,091		3,754,553		2,223,014		1,614,955		1,591		2,310
Shares redeemed		(101,544,962)		(90,560,883)		(72,825,573)		(25,448,723)		(22,941)		(227,514)

Net increase/(decrease) in fund shares		88,569,062		(12,115,970)		108,367,556		25,346,035		309,134		(134,350)

Shares outstanding at end of year		217,742,881		129,173,819		192,340,693		83,973,137		318,346		9,212


	INTERMEDIATE BOND FUND
	CLASS M		CLASS M		CLASS I		CLASS I
	YEAR ENDED MARCH 31, 2014		YEAR ENDED MARCH 31, 2013		YEAR ENDED MARCH 31, 2014		YEAR ENDED MARCH 31, 2013

Change in Fund shares:
Shares outstanding at beginning of year		10,811,912		8,591,271		18,502,990		18,476,679
Shares sold		9,450,714		4,813,370		23,398,888		6,279,142
Shares issued through reinvestment of distributions		231,580		351,864		650,659		846,071
Shares redeemed		(6,746,469)		(2,944,593)		(8,691,708)		(7,098,902)
Net increase in fund shares		2,935,825		2,220,641		15,357,839		26,311
Shares outstanding at end of year		13,747,737		10,811,912		33,860,829		18,502,990


	TOTAL RETURN BOND FUND
	CLASS M		CLASS M		CLASS I		CLASS I
	YEAR ENDED MARCH 31, 2014		YEAR ENDED MARCH 31, 2013		YEAR ENDED MARCH 31, 2014		YEAR ENDED MARCH 31, 2013

Change in Fund shares:
Shares outstanding at beginning of year		989,142,309		773,362,330		1,253,790,292		1,069,617,054
Shares sold		318,644,159		371,473,377		744,686,158		530,159,127
Shares issued through reinvestment of distributions		30,935,985		46,060,743		39,507,301		56,641,587
Shares redeemed		(347,323,881)		(201,754,141)		(537,207,158)		(402,627,476)
Net increase in fund shares		2,256,263		215,779,979		246,986,301		184,173,238
Shares outstanding at end of year		991,398,572		989,142,309		1,500,776,593		1,253,790,292


	TOTAL RETURN BOND FUND

	ADMINISTRATIVE CLASS		ADMINISTRATIVE CLASS		PLAN CLASS		PLAN CLASS
	YEAR ENDED MARCH 31, 2014		YEAR ENDED MARCH 31, 2013		YEAR ENDED MARCH 31, 2014		YEAR ENDED MARCH 31, 2013

Change in Fund shares:
Shares outstanding at beginning of year		1,444,027		669,268		33,826,317		12,040,750
Shares sold		3,954,425		858,040		31,667,721		23,729,506
Shares issued through reinvestment of distributions		64,695		53,476		1,546,825		1,471,910
Shares redeemed		(1,772,594)		(136,757)		(13,870,155)		(3,415,849)
Net increase in fund shares		2,246,526		774,759		19,344,391		21,785,567
Shares outstanding at end of year		3,690,553		1,444,027		53,170,708		33,826,317


	HIGH YIELD BOND FUND

	CLASS M		CLASS M		CLASS I		CLASS I

	YEAR ENDED MARCH 31, 2014		YEAR ENDED MARCH 31, 2013		YEAR ENDED MARCH 31, 2014		YEAR ENDED MARCH 31, 2013


Change in Fund shares:
Shares outstanding at beginning of year		126,097,260		121,442,818		94,178,471		105,125,720
Shares sold		61,840,408		59,798,354		49,975,787		53,447,496
Shares issued through reinvestment of distributions		9,519,989		7,912,157		6,158,115		5,689,555
Shares redeemed		(69,898,920)		(63,056,069)		(62,544,991)		(70,084,300)
Net increase/(decrease) in fund shares		1,461,477		4,654,442		(6,411,089)		(10,947,249)
Shares outstanding at end of year		127,558,737		126,097,260		87,767,382		94,178,471


	UNCONSTRAINED BOND FUND

	CLASS M		CLASS M		CLASS I		CLASS I

	YEAR ENDED MARCH 31, 2014		YEAR ENDED MARCH 31, 2013		YEAR ENDED MARCH 31, 2014		YEAR ENDED MARCH 31, 2013


Change in Fund shares:
Shares outstanding at beginning of year		8,473,001		881,012		7,448,148		692,785
Shares sold		25,553,932		9,199,585		31,769,695		7,023,093
Shares issued through reinvestment of distributions		408,099		160,110		609,872		78,078
Shares redeemed		(8,660,461)		(1,767,706)		(5,014,822)		(345,808)
Net increase in fund shares		17,301,570		7,591,989		27,364,745		6,755,363
Shares outstanding at end of year		25,774,571		8,473,001		34,812,893		7,448,148

*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
	YEAR ENDED MARCH 31, 2014			YEAR ENDED MARCH 31, 2013			YEAR ENDED MARCH 31, 2014			YEAR ENDED MARCH 31, 2013
Change in Fund shares:
Shares outstanding at beginning of year		4,423,767			2,668,730			21,493,915			20,841,277

Shares sold		7,763,355			3,002,983			5,759,239			2,628,698
Shares issued through reinvestment of distributions		152,366			161,429			176,115			202,920
Shares redeemed		(3,516,808	)		(1,409,375	)		(9,755,400	)		(2,178,980	)

Net increase/(decrease) in fund shares		4,398,913			1,755,037			(3,820,046	)		652,638

Shares outstanding at end of year		8,822,680			4,423,767			17,673,869			21,493,915


	ALPHATRAK FUND
	CLASS M			CLASS M
	YEAR ENDED MARCH 31, 2014			YEAR ENDED MARCH 31, 2013
Change in Fund shares:
Shares outstanding at beginning of years		1,150,859			1,111,363

Shares sold		431,289			603,309
Shares issued through reinvestment of distributions		12,521			15,068
Shares redeemed		(773,044	)		(578,881	)

Net increase/(decrease) in fund shares		(329,234	)		39,496

Shares outstanding at end of year		821,625			1,150,859

At March 31, 2014, the following Funds had available for federal income tax purposes unused capital losses as follows:


FUND	EXPIRING IN 2015			EXPIRING IN 2016			EXPIRING IN 2017			EXPIRING IN 2018			EXPIRING IN 2019			SHORT TERM NON- EXPIRING AMOUNTS*			LONG TERM NON- EXPIRING AMOUNTS*
Ultra Short Bond Fund		$	171,312		$	1,489,245		$	17,068,161		$	14,894,875		$	10,083,524		$	186,878		$	4,662,406
Low Duration Bond Fund			–			–			99,373,584			21,029,490			42,081,240			755,176			52,093,396
Total Return Bond Fund			–			–			–			–			–			153,433,812			–
Unconstrained Bond Fund			–			–			–			–			–			828,570			–
Strategic Income Fund			–			6,589,872			47,852,416			18,413,032			41,345,040			–			3,985,704
AlphaTrak 500 Fund			–			–			64,047,338			15,892,244			12,617,196			–			–

As of March 31, 2014, the components of accumulated earnings/(accumulated losses) on a tax basis were as follows:

Permanent differences incurred during the fiscal year ended March 31, 2014, resulting from differences in book and tax accounting have been reclassified at year-end as follows:



	FLOATING RATE INCOME FUND*			STRATEGIC INCOME FUND						ALPHATRAK 500 FUND

	MARCH 31, 2014			MARCH 31, 2014			MARCH 31, 2013			MARCH 31, 2014			MARCH 31, 2013
Distributions from:
Ordinary income (inclusive of short-term capital gains)		$	2,689,809		$	7,084,962		$	10,343,830		$	79,725		$	79,175

Total taxable distributions		$	2,689,809		$	7,084,962		$	10,343,830		$	79,725		$	79,175

* The Floating Rate Income Fund Class M and Class I commenced operations on June 28, 2013.

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 as of or during the year ended March 31, 2014. 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 $350,000 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.

We have audited the accompanying statements of assets and liabilities, including the schedules of portfolio investments, of Metropolitan West Funds (the “Funds”), comprising Metropolitan West Ultra Short Bond Fund, Metropolitan West Low Duration Bond Fund, Metropolitan West Intermediate Bond Fund, Metropolitan West Total Return Bond Fund, Metropolitan West High Yield Bond Fund, Metropolitan West Unconstrained Bond Fund, Metropolitan West Floating Rate Income Fund, Metropolitan West Strategic Income Fund, and Metropolitan West AlphaTrak 500 Fund as of March 31, 2014, and the related statements of operations for the year then ended (as to the Metropolitan West Floating Rate Income Fund, for the period from June 28, 2013, commencement of operations, through March 31, 2014), and the statements of changes in net assets and the financial highlights for each of the periods presented. These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of March 31, 2014, by correspondence with the custodian, brokers, and agent banks; where replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of each of the portfolios constituting Metropolitan West Funds as of March 31, 2014, the results of their operations for the year then ended (as to the Metropolitan West Floating Rate Income Fund, for the period from June 28, 2013, commencement of operations, through March 31, 2014), and the changes in their net assets and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America.

For shareholders that do not have a March 31, 2014 tax year end, this notice is for informational purposes only. For shareholders with a March 31, 2014 tax year end, please consult your tax advisor as to the pertinence of this notice. For the fiscal year ended March 31, 2014, each portfolio is reporting the following items with regard to distributions paid during the year. All information is based on financial information available as of the date of this annual report and, accordingly is subject to change. For each item, it is the intention of the Portfolio to report the maximum amount permitted under the Internal Revenue Code and the regulations thereunder.

* The Floating Rate Income Fund Class M and Class I commenced operations on June 28, 2013.

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:

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

The business and affairs of the Trust and each Fund is under the direction of the Board of Trustees. Information pertaining to the Trustees and officers of the Trust is provided in the table below. The term “officer” means president, vice president, secretary, treasurer, controller, or any other officer who performs policy making functions. All officers serve without direct compensation from the Funds. You can find more information about the Trustees in the Statement of Additional Information which is available without charge by calling (800) 241-4671.

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

Patrick Moore

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

For Additional Information about the Metropolitan West Funds

call: (213) 244-0000 or (800) 241-4671 (toll-free)

www.mwamllc.com

A description of the Funds’ proxy voting policies, procedures, and how the Funds’ voted proxies relating to portfolio’s securities during the most recent 12 month period ending June 30 are available (i) without charge, upon request, by calling (800) 241-4671; (ii) on the Securities and Exchange Commission’s website at http://www/sec.gov.

To reduce expenses, we may mail only one copy of the Fund’s prospectus and each annual and semi-annual report to those addresses shared by two or more accounts. If you wish to receive individual copies of these documents, please call us at (800) 241-4671 (or contact your financial institution). We will begin sending you individual copies thirty days after receiving your request.

This report is submitted for general information to the shareholders of the Funds. It is not authorized for distribution to prospective investors in the Funds unless preceded or accompanied by an effective Prospectus, which includes details regarding the Funds’ objectives, policies, expenses and other information.

LOGO

METAR2014

As of the end of the period covered by the report, the registrant’s board of directors has determined that Ronald Consiglio and Robert Rooney are qualified to serve as audit committee financial experts serving on its audit committee and they are “independent,” as defined by Item 3 of Form N-CSR.

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 March 31, 2014
	6 Months (Cumulative)	1 Year (Annualized)	3 Year (Annualized)	5 Year (Annualized)	10 Year (Annualized)	Since Inception (Annualized)
MWIMX (Inception: June 30, 2003)	1.32%	0.80%	4.51%	8.14%	5.18%	5.30%
Barclays U.S. Intermediate Government/Credit Index	0.98%	-0.13%	3.13%	4.18%	3.93%	3.89%
MWIIX (Inception: June 28, 2002)	1.52%	1.02%	4.76%	8.37%	5.41%	6.37%
Barclays U.S. Intermediate Government/Credit Index	0.98%	-0.13%	3.13%	4.18%	3.93%	4.47%


	Performance Through March 31, 2014
	6 Months (Cumulative)	1 Year (Annualized)	3 Year (Annualized)	5 Year (Annualized)	10 Year (Annualized)	Since Inception (Annualized)
MWHYX (Inception: September 30, 2002)	5.32%	5.89%	6.22%	15.44%	7.99%	10.42%
Barclays U.S. Corporate High Yield Index - 2% Issuer Cap	6.66%	7.53%	8.96%	18.13%	8.67%	10.71%
MWHIX (Inception: March 31, 2003)	5.44%	6.16%	6.48%	15.73%	8.25%	9.46%
Barclays U.S. Corporate High Yield Index - 2% Issuer Cap	6.66%	7.53%	8.96%	18.13%	8.67%	9.87%


	Performance Through March 31, 2014
	6 Months (Cumulative)	1 Year (Annualized)	3 Year (Annualized)	5 Year (Annualized)	10 Year (Annualized)	Since Inception (Annualized)
MWATX (Inception: June 29, 1998)	13.20%	22.75%	15.55%	30.82%	7.09%	5.20%
Standard & Poor’s 500 Index	12.51%	21.86%	14.75%	21.21%	7.44%	5.15%


	Beginning Account Value 10/01/13	Ending Account Value 03/31/14	Expense Ratio¹	Expenses Paid During Period²
ULTRA SHORT BOND FUND
Actual Fund Return
Class M	$1,000.00	$1,005.99	0.50%	$2.50
Class I	$1,000.00	$1,009.13	0.34%	$1.70
Hypothetical 5% Return
Class M	$1,000.00	$1,022.44	0.50%	$2.52
Class I	$1,000.00	$1,023.24	0.34%	$1.72
LOW DURATION BOND FUND
Actual Fund Return
Class M	$1,000.00	$1,010.39	0.59%	$2.96
Class I	$1,000.00	$1,011.42	0.38%	$1.91
Administrative Class	$1,000.00	$1,009.55	0.79%	$3.96
Hypothetical 5% Return
Class M	$1,000.00	$1,021.99	0.58%	$2.97
Class I	$1,000.00	$1,023.04	0.38%	$1.92
Administrative Class	$1,000.00	$1,020.99	0.79%	$3.98


		METROPOLITAN WEST FUNDS

		Ultra Short Bond Fund

		Low Duration Bond Fund

		Intermediate Bond Fund

		Total Return Bond Fund

		High Yield Bond Fund

		Unconstrained Bond Fund

		Floating Rate Income Fund

		Strategic Income Fund

		AlphaTrak 500 Fund



Letter to Shareholders			1

Fund Performance			7

Disclosure of Fund Expenses (Unaudited)			12

Summary of Portfolio Holdings			15

Schedule of Portfolio Investments			20

Ultra Short Bond Fund			20

Low Duration Bond Fund			29

Intermediate Bond Fund			46

Total Return Bond Fund			58

High Yield Bond Fund			94

Unconstrained Bond Fund			102

Floating Rate Income Fund			120

Strategic Income Fund			126

AlphaTrak 500 Fund			135

Statements of Assets and Liabilities			141

Statements of Operations			143

Statements of Changes in Net Assets			145

Financial Highlights			149

Notes to Financials			169

Report of Independent Registered Public Accounting Firm			209

Tax Information Notice			210

Privacy Notice			211

Management Information			213


ULTRA SHORT BOND FUND
Sector Diversification		Distribution by Maturity
U.S. Agency Mortgage-Backed	44.13%	0 to 1 years	29.41%
Corporate Bonds	12.13%	1 year to 3 years	35.98%
Non-Agency Mortgage-Backed	10.46%	3 years to 5 years	22.39%
Commercial Mortgage-Backed	8.64%	5 years to 10 years	10.85%
U.S. Agency Discount Notes	8.12%	10 years to 20 years	1.37%
Asset-Backed Securities	3.65%	20 years +	0.00%
U.S. Agency Securities	3.63%
U.S. Treasury Securities	2.63%
Money Market RIC	1.99%
Commercial Paper	0.71%
U.S. Treasury Bills	0.55%
Foreign Government Obligations	0.33%
Bank Loans	0.32%
Municipal Bonds	0.27%
Other *	2.44%
Total	100.00%	Total	100.00%


FLOATING RATE INCOME FUND**
Sector Diversification		Distribution by Maturity
Bank Loans	78.87%	0 to 1 years	10.69%
Corporate Bonds	9.90%	1 year to 3 years	1.28%
Money Market RIC	2.02%	3 years to 5 years	22.01%
U.S. Agency Discount Notes	1.39%	5 years to 10 years	62.21%
U.S. Agency Securities	0.52%	10 years to 20 years	1.20%
Municipal Bonds	0.50%	20 years +	2.61%
Other *	6.80%


Total	100.00%	Total	100.00%
**TheFloating Rate Income Fund commenced operations on June 28, 2013.


ASSETS:	ULTRA SHORT BOND FUND			LOW DURATION BOND FUND

Investments, at value (Cost $191,892,910, $3,591,507,756, $502,820,975, $29,690,174,265, $2,157,397,135, $707,275,986, $111,205,717, $207,942,001, and $4,997,660, respectively) (Note 2)	$	192,877,709		$	3,626,810,790
Cash and cash equivalents (Note 2)		1,427,712			1,565,238
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, $633,$0, $0, and $0, respectively) (Note 2)		–			–
Unrealized appreciation on swap contracts		–			106,848
Dividends and interest receivable		390,129			10,900,701
Due from Adviser (Note 6)		42,719			–
Receivable for securities sold		248,636			994,164
Receivables from Lehman Brothers, at value (Cost $0, $0, $0, $0, $57,024, $0, $0, $108,345, and $0, respectively) (Note 3)		–			–
Receivable for capital stock sold		3,165,796			8,025,630
Receivable for daily variation margin on futures contracts (Note 3)		–			–
Receivable for daily variation margin on interest rate swaps (Note 3)		–			–
Other assets		14,258			93,172

Total assets		198,166,959			3,648,496,543


Liabilities:
Unrealized depreciation on swap contracts		–			–
Premiums received for swap contracts		–			115,920
Written swaption contracts, at value (Premiums received $0, $540,000, $0, $14,322,141, $0, $0, $0, $0, and $0, respectively) (Note 3)		–			504,911
Payable for securities purchased		–			19,986,960
Payable for capital stock redeemed		271,721			7,979,330
Payable for daily variation margin on futures contracts (Note 3)		–			–
Line of credit commitment fee payable		177			3,193
Distributions payable		15,347			271,747
Administrative fees payable		24,279			89,745
Advisory fees payable (Note 6)		41,607			898,867
Audit fees payable		39,605			54,724
Transfer agent fees payable		33,824			673,482
Accrued trustees fees and expenses		1,094			19,462
Accrued distribution (12b-1) and service fees payable		13,221			307,446
Accrued other expenses		14,525			334,012

Total liabilities		455,400			31,239,799

Net assets	$	197,711,559		$	3,617,256,744


Class M Shares:
Net assets (Applicable to 22,570,620, 217,742,881, 13,747,737, 991,398,572, 127,558,737, 25,774,571, 516,522, 8,822,680, and 821,625, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value)	$	97,089,676		$	1,918,474,015

Net asset value, offering and redemption price per Class M share	$	4.30		$	8.81


Class I Shares:
Net assets (Applicable to 23,363,249, 192,340,693, 33,860,829, 1,500,776,593, 87,767,382, 34,812,893, 11,226,948, 17,673,869, and 0, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value)	$	100,621,883		$	1,695,159,602

Net asset value, offering and redemption price per Class I share	$	4.31		$	8.81


Administrative Class:
Net assets (Applicable to 0, 318,346, 0, 3,690,553, 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		$	3,623,127

Net asset value, offering and redemption price per Administrative Class share		N/A		$	11.38


Plan Class:
Net assets (Applicable to 0, 0, 0, 53,170,708, 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)	$	245,291,963		$	3,797,801,731
Undistributed (distributions in excess of) net investment income		(1,646	)		18,804
Accumulated undistributed net realized gain/(loss) on investments, futures contracts, foreign currency exchange contracts, swap contracts and swaptions		(48,563,559	)		(216,008,763	)
Net unrealized appreciation on investments		984,801			35,303,035
Net unrealized appreciation/(depreciation) on futures contracts, swap contracts, foreign currency exchange contracts and swaptions		–			141,937

Net assets	$	197,711,559		$	3,617,256,744


	ULTRA SHORT BOND FUND			LOW DURATION BOND FUND
Investment Income:
Interest	$	2,454,685		$	61,546,324
Dividends		2,093			32,240

Total investment income		2,456,778			61,578,564


Expenses:
Investment advisory fees (Note 6)		430,429			8,555,233
Administration fees		117,414			426,461
Commitment fee		1,553			26,344
Custodian fees		25,138			115,493
Distribution (12b-1) and service fees - class specific (Note 7):
Class M		143,527			3,005,940
Administrative Class		–			5,962
Insurance expense		3,388			55,882
Miscellaneous expenses		2,418			23,196
Professional fees		39,065			79,127
Registration and filing fees		43,091			310,702
Reports to shareholders		13,258			202,363
Transfer agent fees		70,839			764,750
Trustees’ fees and expenses		2,480			41,579

Repayment of reimbursed expenses (Note 6)		–			–

Total operating expenses		892,600			13,613,032
Expenses waived and reimbursed (Note 6)		(163,689	)		–

Net expenses		728,911			13,613,032

Net investment income		1,727,867			47,965,532


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		(1,542,991	)		(1,951,189	)
Futures contracts		–			–
Foreign currency exchange contracts		–			(166,138	)
Swap contracts		–			–
Swaptions		–			–
Net change in unrealized appreciation/(depreciation) on:
Investments		1,374,575			1,734,177
Futures contracts		–			–
Foreign currency exchange contracts		–			365,283
Swap contracts		–			17,136
Swaptions		–			35,089

Net change in realized and unrealized gain/(loss) on investments, futures contracts, foreign currency exchange contracts, swap contracts and swaptions		(168,416	)		34,358

Net Increase in Net Assets from Operations	$	1,559,451		$	47,999,890


	ULTRA SHORT BOND FUND
	YEAR ENDED MARCH 31, 2014			YEAR ENDED MARCH 31, 2013
Operations:
Net investment income	$	1,727,867		$	1,828,753
Net realized gain/(loss) on investments		(1,542,991	)		(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		1,374,575			4,750,188
Net change in unrealized appreciation/(depreciation) on futures contracts, foreign currency exchange contracts, swap contracts and swaptions		–			136,759

Net increase in net assets resulting from operations		1,559,451			4,612,228


Distributions to Shareholders from:
Net investment income:
Class M		(824,845	)		(682,178	)
Class I		(903,797	)		(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		(1,728,642	)		(1,879,745	)


Capital Share Transactions:
Class M:
Proceeds from sale of shares		120,075,527			36,086,581
Shares issued in reinvestment of distributions		790,716			670,600
Cost of shares redeemed		(80,726,799	)		(18,094,738	)

Total Class M capital share transactions		40,139,444			18,662,443

Class I:
Proceeds from sale of shares		66,499,419			23,980,077
Shares issued in reinvestment of distributions		834,149			1,176,329
Cost of shares redeemed		(34,516,152	)		(33,995,015	)

Total Class I capital share transactions		32,817,416			(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		72,956,860			9,823,834

Net increase in net assets		72,787,669			12,556,317
Net assets at beginning of year		124,923,890			112,367,573

Net assets at end of year (including undistributed (distributions in excess of) net investment income of $(1,646), $272, $18,804, $244,177, $36,477, $76,841, $(3,607,672) and $2,615,146, respectively)	$	197,711,559		$	124,923,890


	HIGH YIELD BOND FUND
	YEAR ENDED MARCH 31, 2014			YEAR ENDED MARCH 31, 2013
Operations:
Net investment income	$	118,236,526		$	148,276,282
Net realized gain/(loss) on investments		45,433,949			34,713,157
Net realized gain/(loss) on futures contracts, foreign currency exchange contracts, swap contracts and swaptions		108,210			11,045,322
Net change in unrealized appreciation/(depreciation) on investments		(32,450,239	)		92,424,634
Net change in unrealized appreciation/(depreciation) on futures contracts, foreign currency exchange contracts, swap contracts and swaptions		(125,598	)		(9,857,497	)

Net increase in net assets resulting from operations		131,202,848			276,601,898


Distributions to Shareholders from:
Net investment income:
Class M		(67,546,331	)		(81,823,827	)
Class I		(48,737,776	)		(74,811,164	)
Net realized gains:
Class M		(36,715,212	)		(6,182,089	)
Class I		(25,198,557	)		(5,358,464	)

Net decrease in net assets resulting from distributions		(178,197,876	)		(168,175,544	)


Capital Share Transactions:
Class M:
Proceeds from sale of shares		645,480,763			615,127,925
Shares issued in reinvestment of distributions		98,746,102			81,492,543
Cost of shares redeemed		(728,468,955	)		(646,643,076	)

Total Class M capital share transactions		15,757,910			49,977,392

Class I:
Proceeds from sale of shares		520,550,696			548,085,889
Shares issued in reinvestment of distributions		63,860,627			58,602,050
Cost of shares redeemed		(652,599,365	)		(722,468,790	)

Total Class I capital share transactions		(68,188,042	)		(115,780,851	)

Net increase/(decrease) in net assets resulting from capital share transactions		(52,430,132	)		(65,803,459	)

Net increase/(decrease) in net assets		(99,425,160	)		42,622,895
Net assets at beginning of year		2,332,991,156			2,290,368,261

Net assets at end of year (including undistributed (distributions in excess of) net investment income of $3,043,937, $(2,010,600), $202,847, $41,944, $2,038, $(153,908), $(57,990), $14,038 and $3,780, respectively)	$	2,233,565,996		$	2,332,991,156


UNCONSTRAINED BOND FUND						FLOATING RATE INCOME FUND*			STRATEGIC INCOME FUND						ALPHATRAK 500 FUND
YEAR ENDED MARCH 31, 2014			YEAR ENDED MARCH 31, 2013			PERIOD ENDED MARCH 31, 2014			YEAR ENDED MARCH 31, 2014			YEAR ENDED MARCH 31, 2013			YEAR ENDED MARCH 31, 2014			YEAR ENDED MARCH 31, 2013

$	12,555,912		$	2,297,616		$	2,523,061		$	6,915,333		$	9,947,679		$	89,065		$	86,442
	(3,392,633	)		1,382,191			1,051,032			2,993,863			(6,393,913	)		1,328			55,503

	1,903,872			(63,361	)		–			1,267			(22,687	)		1,254,945			790,729
	7,457,188			2,324,507			1,340,717			(3,717,297	)		18,416,060			8,829			78,726
	442,277			(164,793	)		–			(259	)		(673	)		(148,041	)		41,400

	18,966,616			5,776,160			4,914,810			6,192,907			21,946,466			1,206,126			1,052,800




	(4,977,622	)		(1,460,705	)		(62,760	)		(1,304,424	)		(1,329,169	)		(78,817	)		(80,166	)
	(7,195,987	)		(845,079	)		(2,458,520	)		(5,475,280	)		(8,608,589	)		–			–

	(209,000	)		(492,793	)		(4,311	)		–			–			–			–
	(303,223	)		(251,924	)		(168,714	)		–			–			–			–

	(12,685,832	)		(3,050,501	)		(2,694,305	)		(6,779,704	)		(9,937,758	)		(78,817	)		(80,166	)




	300,272,058			107,020,530			6,376,328			64,144,763			24,337,978			2,543,542			2,808,081
	4,798,867			1,868,770			53,142			1,259,286			1,303,129			73,222			74,123
	(101,740,469	)		(20,686,661	)		(1,155,393	)		(29,123,412	)		(11,437,094	)		(4,576,504	)		(2,839,053	)

	203,330,456			88,202,639			5,274,077			36,280,637			14,204,013			(1,959,740	)		43,151


	372,678,874			82,546,495			136,778,678			47,546,750			21,378,281			–			–
	7,167,625			912,630			2,623,018			1,454,188			1,631,004			–			–
	(58,809,431	)		(4,077,822	)		(26,136,451	)		(80,602,658	)		(17,477,792	)		–			–

	321,037,068			79,381,303			113,265,245			(31,601,720	)		5,531,493			–			–

	524,367,524			167,583,942			118,539,322			4,678,917			19,735,506			(1,959,740	)		43,151

	530,648,308			170,309,601			120,759,827			4,092,120			31,744,214			(832,431	)		1,015,785
	187,980,069			17,670,468			–			215,573,312			183,829,098			6,156,164			5,140,379

$	718,628,377		$	187,980,069		$	120,759,827		$	219,665,432		$	215,573,312		$	5,323,733		$	6,156,164


	ULTRA SHORT BOND FUND CLASS M
	YEAR ENDED MARCH 31, 2014			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 Year	$	4.31		$	4.20		$	4.24		$	4.04		$	3.53


Income from Investment Operations:
Net investment income¹		0.04			0.06			0.08			0.11			0.20
Net realized and unrealized gain/(loss) on investments, futures contracts and swap contracts		(0.01	)		0.12			(0.04	)		0.21			0.51

Total Income from Investment Operations		0.03			0.18			0.04			0.32			0.71


Less Distributions:
From net investment income		(0.04	)		(0.07	)		(0.08	)		(0.12	)		(0.20	)

Total Distributions		(0.04	)		(0.07	)		(0.08	)		(0.12	)		(0.20	)

Net Asset Value, End of Year	$	4.30		$	4.31		$	4.20		$	4.24		$	4.04

Total Return		0.74	%		4.26	%		1.00	%		8.01	%		20.74	%

Ratios/Supplemental Data:
Net Assets, end of year (in thousands)		$97,090			$56,977			$37,261			$42,174			$22,020
Ratio of Expenses to Average Net Assets²
Before expense waivers and reimbursements		0.60	%		0.64	%		0.68	%		0.65	%		0.95	%
After expense waivers and reimbursements		0.50	%		0.50	%		0.51	%		0.50	%		0.73	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		0.92	%		1.50	%		1.90	%		2.57	%		5.24	%
Portfolio Turnover Rate		31	%		43	%		29	%		42	%		43	%


	ULTRA SHORT BOND FUND CLASS I
	YEAR ENDED MARCH 31, 2014			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 Year	$	4.32		$	4.21		$	4.25		$	4.04		$	3.53


Income from Investment Operations:
Net investment income¹		0.05			0.07			0.09			0.12			0.19
Net realized and unrealized gain/(loss) on investments, futures contracts and swap contracts		(0.01	)		0.11			(0.04	)		0.22			0.53

Total Income from Investment Operations		0.04			0.18			0.05			0.34			0.72


Less Distributions:
From net investment income		(0.05	)		(0.07	)		(0.09	)		(0.13	)		(0.21	)

Total Distributions		(0.05	)		(0.07	)		(0.09	)		(0.13	)		(0.21	)

Net Asset Value, End of Year	$	4.31		$	4.32		$	4.21		$	4.25		$	4.04

Total Return		0.90	%		4.42	%		1.17	%		8.43	%		20.93	%

Ratios/Supplemental Data:
Net Assets, end of year (in thousands)		$100,622			$67,947			$75,106			$71,173			$79,830
Ratio of Expenses to Average Net Assets²
Before expense waivers and reimbursements		0.43	%		0.48	%		0.52	%		0.49	%		0.79	%
After expense waivers and reimbursements		0.34	%		0.34	%		0.35	%		0.34	%		0.57	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		1.09	%		1.70	%		2.03	%		2.83	%		4.93	%
Portfolio Turnover Rate		31	%		43	%		29	%		42	%		43	%


	LOW DURATION BOND FUND CLASS M
	YEAR ENDED MARCH 31, 2014			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 Year	$	8.83		$	8.60		$	8.65		$	8.21		$	7.08


Income from Investment Operations:
Net investment income¹		0.14			0.25			0.26			0.26			0.33
Net realized and unrealized gain/(loss) on investments, futures contracts, foreign currency exchange contracts and swap contracts		(0.01	)		0.23			(0.05	)		0.44			1.15

Total Income from Investment Operations		0.13			0.48			0.21			0.70			1.48


Less Distributions:
From net investment income		(0.15	)		(0.25	)		(0.26	)		(0.26	)		(0.35	)

Total Distributions		(0.15	)		(0.25	)		(0.26	)		(0.26	)		(0.35	)

Net Asset Value, End of Year	$	8.81		$	8.83		$	8.60		$	8.65		$	8.21

Total Return		1.45	%		5.64	%		2.53	%		8.63	%		21.45	%

Ratios/Supplemental Data:
Net Assets, end of year (in thousands)		$1,918,474			$1,140,625			$1,214,668			$1,356,201			$1,032,666
Ratio of Expenses to Average Net Assets²
Before expense waivers and reimbursements		0.57	%		0.57	%		0.59	%		0.58	%		0.71	%
After expense waivers and reimbursements		0.57	%		0.57	%		0.59	%		0.58	%		0.69	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		1.60	%		2.83	%		3.06	%		3.01	%		4.32	%
Portfolio Turnover Rate		31	%		60	%		60	%		87	%		36	%


	LOW DURATION BOND FUND CLASS I
	YEAR ENDED MARCH 31, 2014			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 Year	$	8.83		$	8.60		$	8.66		$	8.22		$	7.08


Income from Investment Operations:
Net investment income¹		0.16			0.26			0.28			0.27			0.35
Net realized and unrealized gain/(loss) on investments, futures contracts, foreign currency exchange contracts, swap contracts and written options		(0.02	)		0.24			(0.06	)		0.45			1.16

Total Income from Investment Operations		0.14			0.50			0.22			0.72			1.51


Less Distributions:
From net investment income		(0.16	)		(0.27	)		(0.28	)		(0.28	)		(0.37	)

Total Distributions		(0.16	)		(0.27	)		(0.28	)		(0.28	)		(0.37	)

Net Asset Value, End of Year	$	8.81		$	8.83		$	8.60		$	8.66		$	8.22

Total Return		1.64	%		5.84	%		2.61	%		8.82	%		21.83	%

Ratios/Supplemental Data:
Net Assets, end of year (in thousands)		$1,695,160			$741,747			$504,182			$573,395			$476,233
Ratio of Expenses to Average Net Assets²
Before expense waivers and reimbursements		0.37	%		0.38	%		0.40	%		0.39	%		0.52	%
After expense waivers and reimbursements		0.37	%		0.38	%		0.40	%		0.39	%		0.50	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		1.78	%		3.00	%		3.24	%		3.20	%		4.52	%
Portfolio Turnover Rate		31	%		60	%		60	%		87	%		36	%


	LOW DURATION BOND FUND ADMINISTRATIVE CLASS*
	YEAR ENDED MARCH 31, 2014			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		0.14			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		–			0.28			(0.06	)		0.57			0.64

Total Income from Investment Operations		0.14			0.60			0.25			0.88			0.79


Less Distributions:
From net investment income		(0.17	)		(0.30	)		(0.32	)		(0.31	)		(0.18	)

Total Distributions		(0.17	)		(0.30	)		(0.32	)		(0.31	)		(0.18	)

Net Asset Value, End of Period		$11.38			$11.41			$11.11			$11.18			$10.61

Total Return		1.21	%		5.46	%		2.28	%		8.41	%		7.91	%²

Ratios/Supplemental Data:
Net Assets, end of period (in thousands)		$3,623			$ 105			$1,594			$2,133			$1,029
Ratio of Expenses to Average Net Assets³
Before expense waivers and reimbursements		0.78	%		0.77	%		0.79	%		0.78	%		0.91	%⁴
After expense waivers and reimbursements		0.78	%		0.77	%		0.79	%		0.78	%		0.89	%⁴
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		1.24	%		2.85	%		2.82	%		2.78	%		2.72	%⁴
Portfolio Turnover Rate		31	%		60	%		60	%		87	%		36	%²


	INTERMEDIATE BOND FUND CLASS M
	YEAR ENDED MARCH 31, 2014			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 Year	$	10.69		$	10.47		$	10.31		$	10.17		$	9.09


Income from Investment Operations:
Net investment income¹		0.24			0.35			0.40			0.44			0.49
Net realized and unrealized gain/(loss) on investments, futures contracts,foreign currency exchange contracts and swap contracts		(0.16	)		0.40			0.16			0.50			1.14

Total Income from Investment Operations		0.08			0.75			0.56			0.94			1.63


Less Distributions:
From net investment income		(0.24	)		(0.35	)		(0.40	)		(0.44	)		(0.49	)
From net capital gains		(0.01	)		(0.18	)		–			(0.36	)		(0.01	)
From return of capital		–			–			–			–			(0.05	)

Total Distributions		(0.25	)		(0.53	)		(0.40	)		(0.80	)		(0.55	)

Net Asset Value, End of Year	$	10.52		$	10.69		$	10.47		$	10.31		$	10.17

Total Return		0.80	%		7.28	%		5.56	%		9.50	%		18.32	%

Ratios/Supplemental Data:
Net Assets, end of year (in thousands)		$144,635			$115,576			$89,990			$56,748			$44,805
Ratio of Expenses to Average Net Assets²
Before expense waivers and reimbursements		0.69	%		0.69	%		0.72	%		0.72	%		0.81	%
After expense waivers and reimbursements		0.65	%		0.65	%		0.66	%		0.65	%		0.70	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		2.25	%		3.24	%		3.89	%		4.24	%		5.00	%
Portfolio Turnover Rate		208	%		119	%		145	%		192	%		95	%


	INTERMEDIATE BOND FUND CLASS I
	YEAR ENDED MARCH 31, 2014			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 Year	$	10.69		$	10.47		$	10.30		$	10.17		$	9.09


Income from Investment Operations:
Net investment income¹		0.25			0.37			0.43			0.46			0.51
Net realized and unrealized gain/(loss) on investments, futures contracts, foreign currency exchange contracts and swap contracts		(0.15	)		0.40			0.16			0.50			1.14

Total Income from Investment Operations		0.10			0.77			0.59			0.96			1.65


Less Distributions:
From net investment income		(0.26	)		(0.37	)		(0.42	)		(0.47	)		(0.51	)
From net capital gains		(0.01	)		(0.18	)		–			(0.36	)		(0.01	)
From return of capital		–			–			–			–			(0.55	)

Total Distributions		(0.27	)		(0.55	)		(0.42	)		(0.83	)		(0.57	)

Net Asset Value, End of Year	$	10.52		$	10.69		$	10.47		$	10.30		$	10.17

Total Return		1.02	%		7.50	%		5.89	%		9.62	%		18.57	%

Ratios/Supplemental Data:
Net Assets, end of year (in thousands)		$356,129			$197,719			$193,480			$144,364			$162,363
Ratio of Expenses to Average Net Assets²
Before expense waivers and reimbursements		0.46	%		0.48	%		0.51	%		0.51	%		0.60	%
After expense waivers and reimbursements		0.44	%		0.44	%		0.45	%		0.44	%		0.49	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		2.39	%		3.46	%		4.11	%		4.45	%		5.25	%
Portfolio Turnover Rate		208	%		119	%		145	%		192	%		95	%


	TOTAL RETURN BOND FUND CLASS M
	YEAR ENDED MARCH 31, 2014			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 Year	$	10.92		$	10.54		$	10.41		$	10.16		$	8.89


Income from Investment Operations:
Net investment income¹		0.29			0.36			0.45			0.47			0.57
Net realized and unrealized gain/(loss) on investments, futures contracts, foreign currency exchange contracts, swap contracts and written options		(0.18	)		0.62			0.21			0.42			1.26

Total Income from Investment Operations		0.11			0.98			0.66			0.89			1.83


Less Distributions:
From net investment income		(0.29	)		(0.38	)		(0.45	)		(0.47	)		(0.56	)
From net capital gains		(0.06	)		(0.22	)		(0.08	)		(0.17	)		–

Total Distributions		(0.35	)		(0.60	)		(0.53	)		(0.64	)		(0.56	)

Net Asset Value, End of Year	$	10.68		$	10.92		$	10.54		$	10.41		$	10.16

Total Return		1.07	%		9.46	%		6.55	%		8.86	%		21.16	%

Ratios/Supplemental Data:
Net Assets, end of year (in thousands)		$10,587,362			$10,806,099			$8,154,998			$6,999,143			$4,645,082
Ratio of Expenses to Average Net Assets²
Before expense waivers and reimbursements		0.62	%		0.61	%		0.63	%		0.63	%		0.72	%
After expense waivers and reimbursements		0.62	%		0.61	%		0.63	%		0.63	%		0.72	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		2.70	%		3.30	%		4.33	%		4.47	%		5.88	%
Portfolio Turnover Rate		255	%		160	%		156	%		228	%		141	%


	TOTAL RETURN BOND FUND CLASS I
	YEAR ENDED MARCH 31, 2014			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 Year	$	10.92		$	10.54		$	10.41		$	10.16		$	8.89


Income from Investment Operations:
Net investment income¹		0.31			0.38			0.47			0.49			0.58
Net realized and unrealized gain/(loss) on investments, futures contracts,foreign currency exchange contracts, swap contracts and written options		(0.18	)		0.62			0.21			0.42			1.27

Total Income from Investment Operations		0.13			1.00			0.68			0.91			1.85


Less Distributions:
From net investment income		(0.31	)		(0.40	)		(0.47	)		(0.49	)		(0.58	)
From net capital gains		(0.06	)		(0.22	)		(0.08	)		(0.17	)		—

Total Distributions		(0.37	)		(0.62	)		(0.55	)		(0.66	)		(0.58	)

Net Asset Value, End of Year	$	10.68		$	10.92		$	10.54		$	10.41		$	10.16

Total Return		1.29	%		9.69	%		6.78	%		9.08	%		21.42	%

Ratios/Supplemental Data:
Net Assets, end of year (in thousands)	$	16,023,118		$	13,693,971		$	11,275,951		$	5,972,132		$	3,784,988
Ratio of Expenses to Average Net Assets²
Before expense waivers and reimbursements		0.40	%		0.40	%		0.42	%		0.42	%		0.51	%
After expense waivers and reimbursements		0.40	%		0.40	%		0.42	%		0.42	%		0.51	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		2.90	%		3.52	%		4.53	%		4.67	%		6.03	%
Portfolio Turnover Rate		255	%		160	%		156	%		228	%		141	%


	TOTAL RETURN BOND FUND ADMINISTRATIVE CLASS*
	YEAR ENDED MARCH 31, 2014			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		0.26			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		(0.18	)		0.63			0.21			0.42			0.17

Total Income from Investment Operations		0.08			0.96			0.64			0.86			0.30


Less Distributions:
From net investment income		(0.27	)		(0.36	)		(0.43	)		(0.44	)		(0.13	)
From net capital gains		(0.06	)		(0.22	)		(0.08	)		(0.17	)		–

Total Distributions		(0.33	)		(0.58	)		(0.51	)		(0.61	)		(0.13	)

Net Asset Value, End of Period	$	10.68		$	10.93		$	10.55		$	10.42		$	10.17

Total Return		0.79	%		9.24	%		6.34	%		8.63	%		3.05	%²

Ratios/Supplemental Data:
Net Assets, end of period (in thousands)	$	39,430		$	15,783		$	7,061		$	6,681		$	1,194
Ratio of Expenses to Average Net Assets³
Before expense waivers and reimbursements		0.81	%		0.81	%		0.83	%		0.83	%		0.92	%
After expense waivers and reimbursements		0.81	%		0.81	%		0.83	%		0.83	%		0.92	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		2.47	%		3.04	%		4.14	%		4.16	%		4.66	%
Portfolio Turnover Rate		255	%		160	%		156	%		228	%		141	%²


	TOTAL RETURN BOND FUND PLAN CLASS*
	YEAR ENDED MARCH 31, 2014			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		0.29			0.35			0.30
Net realized and unrealized gain/(loss) on investments, futures contracts, foreign currency exchange contracts, swap contracts and written options		(0.17	)		0.60			0.07

Total Income from Investment Operations		0.12			0.95			0.37


Less Distributions:
From net investment income		(0.29	)		(0.38	)		(0.34	)
From net capital gains		(0.06	)		(0.22	)		(0.08	)

Total Distributions		(0.35	)		(0.60	)		(0.42	)

Net Asset Value, End of Period	$	10.07		$	10.30		$	9.95

Total Return		1.30	%		9.73	%		3.81	%²

Ratios/Supplemental Data:
Net Assets, end of period (in thousands)	$	535,236		$	348,453		$	119,860
Ratio of Expenses to Average Net Assets³
Before expense waivers and reimbursements		0.39	%		0.40	%		0.41	%⁴
After expense waivers and reimbursements		0.39	%		0.39	%		0.40	%⁴
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		2.88	%		3.42	%		4.43	%⁴
Portfolio Turnover Rate		255	%		160	%		156	%²


	HIGH YIELD BOND FUND CLASS M
	YEAR ENDED MARCH 31, 2014			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 Year	$	10.59		$	10.11		$	10.94		$	10.40		$	7.65


Income from Investment Operations:
Net investment income¹		0.54			0.64			0.73			0.82			0.92
Net realized and unrealized gain/(loss) on investments, futures contracts and swap contracts		0.05			0.57			(0.68	)		0.59			2.78

Total Income from Investment Operations		0.59			1.21			0.05			1.41			3.70


Less Distributions:
From net investment income		(0.53	)		(0.68	)		(0.76	)		(0.82	)		(0.91	)
From net capital gains		(0.28	)		(0.05	)		(0.12	)		(0.05	)		(0.04	)

Total Distributions		(0.81	)		(0.73	)		(0.88	)		(0.87	)		(0.95	)

Redemption fees added to paid-in capital (Note 8)		–			–			–			0.00	²		0.00	²

Net Asset Value, End of Year	$	10.37		$	10.59		$	10.11		$	10.94		$	10.40

Total Return		5.89	%		12.40	%		0.68	%		14.19	%		49.85	%

Ratios/Supplemental Data:
Net Assets, end of year (in thousands)	$	1,323,298		$	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	%		0.81	%		0.85	%		0.85	%		0.88	%
After expense waivers and reimbursements		0.80	%		0.79	%		0.82	%		0.80	%		0.81	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		5.20	%		6.20	%		7.14	%		7.73	%		9.29	%
Portfolio Turnover Rate		66	%		74	%		54	%		34	%		40	%



	HIGH YIELD BOND FUND CLASS I

	YEAR ENDED MARCH 31, 2014			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 Year	$	10.59		$	10.11		$	10.94		$	10.40		$	7.65


Income from Investment Operations:
Net investment income¹		0.57			0.66			0.75			0.85			0.95
Net realized and unrealized gain/(loss) on investments, futures contracts and swap contracts		0.05			0.57			(0.68	)		0.59			2.77

Total Income from Investment Operations		0.62			1.23			0.07			1.44			3.72


Less Distributions:
From net investment income		(0.56	)		(0.70	)		(0.78	)		(0.85	)		(0.93	)
From net capital gains		(0.28	)		(0.05	)		(0.12	)		(0.05	)		(0.04	)

Total Distributions		(0.84	)		(0.75	)		(0.90	)		(0.90	)		(0.97	)

Redemption fees added to paid-in capital (Note 8)		–			–			–			0.00	²		0.00	²

Net Asset Value, End of Year	$	10.37		$	10.59		$	10.11		$	10.94		$	10.40

Total Return		6.16	%		12.67	%		0.93	%		14.48	%		50.22	%

Ratios/Supplemental Data:
Net Assets, end of year (in thousands)	$	910,268		$	997,308		$	1,062,563		$	765,086		$	252,022
Ratio of Expenses to Average Net Assets³
Before expense waivers and reimbursements		0.56	%		0.57	%		0.60	%		0.60	%		0.63	%
After expense waivers and reimbursements		0.55	%		0.54	%		0.57	%		0.55	%		0.56	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		5.45	%		6.46	%		7.35	%		7.99	%		9.82	%
Portfolio Turnover Rate		66	%		74	%		54	%		34	%		40	%


	UNCONSTRAINED BOND FUND CLASS M*
	YEAR ENDED MARCH 31, 2014			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		0.29			0.36			0.32
Net realized and unrealized gain on investments, futures contracts, foreign currency exchange contracts and swap contracts		0.07			0.61			1.24

Total Income from Investment Operations		0.36			0.97			1.56


Less Distributions:
From net investment income		(0.29	)		(0.39	)		(0.31	)
From net capital gains		(0.01	)		–			(0.02	)

Total Distributions		(0.30	)		(0.39	)		(0.33	)

Net Asset Value, End of Period	$	11.87		$	11.81		$	11.23

Total Return		3.09	%		9.72	%		15.72	%²

Ratios/Supplemental Data:
Net Assets, end of period (in thousands)		$305,872			$100,087			$9,894
Ratio of Expenses to Average Net Assets³
Before expense waivers and reimbursements		1.04	%		1.35	%		2.86	%⁴
After expense waivers and reimbursements		0.99	%		0.99	%		0.99	%⁴
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		2.46	%		3.07	%		6.11	%⁴
Portfolio Turnover Rate		38	%		43	%		29	%²


	UNCONSTRAINED BOND FUND CLASS I*
	YEAR ENDED MARCH 31, 2014			YEAR ENDED MARCH 31, 2013			PERIOD ENDED MARCH 31, 2012
Net Asset Value, Beginning of Period	$	11.80		$	11.22		$	10.00


Income from Investment Operations:
Net investment income¹		0.32			0.38			0.33
Net realized and unrealized gain on investments, futures contracts, foreign currency exchange contracts and swap contracts		0.07			0.62			1.23

Total Income from Investment Operations		0.39			1.00			1.56


Less Distributions:
From net investment income		(0.32	)		(0.42	)		(0.32	)
From net capital gains		(0.01	)		–			(0.02	)

Total Distributions		(0.33	)		(0.42	)		(0.34	)

Net Asset Value, End of Period	$	11.86		$	11.80		$	11.22

Total Return		3.34	%		9.98	%		15.85	%²

Ratios/Supplemental Data:
Net Assets, end of period (in thousands)	$	412,757		$	87,893		$	7,776
Ratio of Expenses to Average Net Assets³
Before expense waivers and reimbursements		0.78	%		1.10	%		2.60	%⁴
After expense waivers and reimbursements		0.75	%		0.75	%		0.75	%⁴
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		2.70	%		3.21	%		6.23	%⁴
Portfolio Turnover Rate		38	%		43	%		29	%²


	FLOATING RATE INCOME FUND CLASS M*
	PERIOD ENDED MARCH 31, 2014
Net Asset Value, Beginning of Period		$	10.00


Income from Investment Operations:
Net investment income¹			0.26
Net realized and unrealized gain on investments, futures contracts, foreign currency exchange contracts and swap contracts			0.25

Total Income from Investment Operations			0.51


Less Distributions:
From net investment income			(0.22	)
From net capital gains			(0.01	)

Total Distributions			(0.23	)

Net Asset Value, End of Period		$	10.28

Total Return			5.15	%²

Ratios/Supplemental Data:
Net Assets, end of period (in thousands)		$	5,311
Ratio of Expenses to Average Net Assets³
Before expense waivers and reimbursements			1.11	%⁴
After expense waivers and reimbursements			0.85	%⁴
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			3.41	%⁴
Portfolio Turnover Rate			67	%²


	FLOATING RATE INCOME FUND CLASS I*
	PERIOD ENDED MARCH 31, 2014
Net Asset Value, Beginning of Period	$	10.00


Income from Investment Operations:
Net investment income¹		0.26
Net realized and unrealized gain on investments, futures contracts, foreign currency exchange contracts and swap contracts		0.26

Total Income from Investment Operations		0.52


Less Distributions:
From net investment income		(0.23	)
From net capital gains		(0.01	)

Total Distributions		(0.24	)

Net Asset Value, End of Period	$	10.28

Total Return		5.29	%²

Ratios/Supplemental Data:
Net Assets, end of period (in thousands)	$	115,448
Ratio of Expenses to Average Net Assets³
Before expense waivers and reimbursements		0.81	%⁴
After expense waivers and reimbursements		0.65	%⁴
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		3.34	%⁴
Portfolio Turnover Rate		67	%²


	STRATEGIC INCOME FUND CLASS M
	YEAR ENDED MARCH 31, 2014			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 Year	$	8.32		$	7.82		$	8.21		$	7.45		$	5.69


Income from Investment Operations:
Net investment income¹		0.22			0.39			0.44			0.40			0.58
Net realized and unrealized gain/(loss) on investments, futures contracts and swap contracts		(0.02	)		0.51			(0.36	)		0.78			1.91

Total Income from Investment Operations		0.20			0.90			0.08			1.18			2.49


Less Distributions:
From net investment income		(0.23	)		(0.40	)		(0.47	)		(0.42	)		(0.73	)

Total Distributions		(0.23	)		(0.40	)		(0.47	)		(0.42	)		(0.73	)

Net Asset Value, End of Year	$	8.29		$	8.32		$	7.82		$	8.21		$	7.45

Total Return		2.42	%		11.80	%		1.11	%		16.21	%		46.49	%

Ratios/Supplemental Data:
Net Assets, end of year (in thousands)	$	73,180		$	36,823		$	20,882		$	88,162		$	47,906
Ratio of Expenses to Average Net Assets²
Before expense waivers and reimbursements		2.26	%		2.16	%		2.14	%		2.22	%		2.01	%
After expense waivers and reimbursements		2.26	%		2.16	%		2.14	%		2.22	%		2.01	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		2.62	%		4.85	%		5.52	%		5.10	%		8.41	%
Portfolio Turnover Rate		51	%		50	%		70	%		93	%		208	%


	STRATEGIC INCOME FUND CLASS I
	YEAR ENDED MARCH 31, 2014			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 Year	$	8.32		$	7.82		$	8.21		$	7.44		$	5.69


Income from Investment Operations:
Net investment income¹		0.25			0.42			0.49			0.43			0.71
Net realized and unrealized gain/(loss) on investments, futures contracts and swap contracts		(0.03	)		0.50			(0.39	)		0.78			1.79

Total Income from Investment Operations		0.22			0.92			0.10			1.21			2.50


Less Distributions:
From net investment income		(0.25	)		(0.42	)		(0.49	)		(0.44	)		(0.75	)

Total Distributions		(0.25	)		(0.42	)		(0.49	)		(0.44	)		(0.75	)

Net Asset Value, End of Year	$	8.29		$	8.32		$	7.82		$	8.21		$	7.44

Total Return		2.69	%		12.08	%		1.36	%		16.66	%		46.65	%

Ratios/Supplemental Data:
Net Assets, end of year (in thousands)	$	146,485		$	178,751		$	162,947		$	180,409		$	167,570
Ratio of Expenses to Average Net Assets²
Before expense waivers and reimbursements		1.99	%		1.91	%		1.89	%		1.97	%		1.76	%
After expense waivers and reimbursements		1.99	%		1.91	%		1.89	%		1.97	%		1.76	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		3.07	%		5.18	%		6.19	%		5.41	%		10.56	%
Portfolio Turnover Rate		51	%		50	%		70	%		93	%		208	%


	ALPHATRAK 500 FUND CLASS M
	YEAR ENDED MARCH 31, 2014			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 Year	$	5.35		$	4.63		$	4.48		$	3.79		$	2.96


Income from Investment Operations:
Net investment income¹		0.08			0.07			0.11			0.12			0.15
Net realized and unrealized gain on investments, futures contracts and swap contracts		1.13			0.71			0.21			0.84			2.45

Total Income from Investment Operations		1.21			0.78			0.32			0.96			2.60


Less Distributions:
From net investment income		(0.08	)		(0.06	)		(0.09	)		(0.17	)		(0.18	)
From net capital gains		–			–			–			–			(0.22	)
From return of capital		–			–			(0.08	)		(0.10	)		(1.37	)

Total Distributions		(0.08	)		(0.06	)		(0.17	)		(0.27	)		(1.77	)

Net Asset Value, End of Year	$	6.48		$	5.35		$	4.63		$	4.48		$	3.79

Total Return		22.75	%		16.88	%		7.35	%		26.31	%		96.57	%

Ratios/Supplemental Data:
Net Assets, end of year (in thousands)	$	5,324		$	6,156		$	5,140		$	9,780		$	11,039
Ratio of Expenses to Average Net Assets²
Before expense waivers and reimbursements		2.98	%		2.94	%		2.09	%		1.88	%		1.30	%
After expense waivers and reimbursements		0.90	%		0.91	%³		0.97	%		0.90	%		1.21	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		1.43	%		1.45	%		2.75	%		3.14	%		3.84	%
Portfolio Turnover Rate		50	%		41	%		31	%		71	%		24	%



FLOATING RATE INCOME FUND*	BANK LOANS

Balance as of June 28, 2013		$	–
Accrued discounts/premiums			90	.
Realized (loss)			–
Change in unrealized appreciation**			14,910
Purchases			980,000
Sales			–
Transfers into Level 3***			–
Transfers out of Level 3***			–


Balance as of March 31, 2014		$	995,000