PVIT N-Q

N-Q 1 dnq.htm PVIT N-Q PVIT N-Q

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number: 811-08399

PIMCO Variable Insurance Trust

(Exact name of registrant as specified in charter)

840 Newport Center Drive, Newport Beach, CA 92660

(Address of principal executive offices)

John P. Hardaway

Treasurer

PIMCO Funds

840 Newport Center Drive

Newport Beach, CA 92660

(Name and address of agent for service)

Copies to:

Brendan C. Fox

Dechert LLP

1775 1 Street, N.W.

Washington, D.C. 20006

Registrant’s telephone number, including area code: (866) 746-2606

Date of fiscal year end: December 31

Date of reporting period: September 30, 2008

Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (§§ 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-Q unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to the Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.

Item 1. Schedule of Investments.

Table of Contents

- All Asset Portfolio

- CommodityRealReturn^TM Strategy Portfolio

- Emerging Markets Bond Portfolio

- Foreign Bond Portfolio (Unhedged)

- Foreign Bond Portfolio (U.S. Dollar-Hedged)

- Global Bond Portfolio (Unhedged)

- High Yield Portfolio

- Long-Term U.S. Government Portfolio

- Low Duration Portfolio

- Money Market Portfolio

- Real Return Portfolio

- RealEstateRealReturn Strategy Portfolio

- Short-Term Portfolio

- Small Cap StocksPLUS^® TR Portfolio

- StocksPLUS^® Growth and Income Portfolio

- StocksPLUS^® Total Return Portfolio

- Total Return Portfolio

Schedule of Investments

All Asset Portfolio

September 30, 2008 (Unaudited)


	Shares		Value (000s)
PIMCO FUNDS (a)(b) 100.0%
CommodityRealReturn Strategy Fund^®		3,335,023	$	45,590
Convertible Fund		5,434,793		56,359
Developing Local Markets Fund		16,494,526		163,626
Diversified Income Fund		4,491,019		43,159
Emerging Local Bond Fund		17,599,580		157,692
Emerging Markets Bond Fund		10,230,043		96,674
Floating Income Fund		4,139,006		34,685
Foreign Bond Fund (Unhedged)		4,642		45
Fundamental Advantage Total Return Strategy Fund		6,795,585		65,441
Fundamental IndexPLUS^TM Fund		2,336,754		18,203
Fundamental IndexPLUS^TM TR Fund		4,729,291		35,990
Global Bond Fund (Unhedged)		710		7
GNMA Fund		2,929		33
High Yield Fund		4,916,909		38,843
Income Fund		3,815,412		35,254
International StocksPLUS^® TR Strategy Fund (Unhedged)		376,707		2,659
International StocksPLUS^® TR Strategy Fund (U.S. Dollar-Hedged)		4,439,276		37,823
Investment Grade Corporate Bond Fund		14,327,924		136,832
Long Duration Total Return Fund		3,706,176		35,764
Long-Term U.S. Government Fund		87,286		932
Low Duration Fund		242		2
Real Return Asset Fund		32,514,745		348,233
Real Return Fund		15,356,682		160,631
RealEstateRealReturn Strategy Fund		14,338,287		79,434
Short-Term Fund		176		2
Small Cap StocksPLUS^® TR Fund		4,983,406		44,452
StocksPLUS^® Total Return Fund		455,851		3,624
Total Return Fund		5,792,969		59,552

Total PIMCO Funds (Cost $1,862,128)				1,701,541


	Principal Amount (000s)
SHORT-TERM INSTRUMENTS 0.0%
Repurchase Agreements 0.0%
State Street Bank and Trust Co.
1.000% due 10/01/2008	$	576		576
(Dated 09/30/2008. Collateralized by Fannie Mae 7.125% due 06/15/2010 valued at $590. Repurchase proceeds are $576.)

Total Short-Term Instruments (Cost $576)				576

Total Investments 100.0% (Cost $1,862,704)			$	1,702,117
Other Assets and Liabilities (Net) (0.0%)				(196	)

Net Assets 100.0%			$	1,701,921

Notes to Schedule of Investments (amounts in thousands*):

* A zero balance may reflect actual amounts rounding to less than one thousand.

(a) The All Asset Portfolio is investing in shares of affiliated Funds.

(b) Institutional Class Shares of each PIMCO Fund.

The following is a summary of the fair valuations according to the inputs used as of September 30, 2008 in valuing the Portfolio's assets and liabilities:


	Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Value at 9/30/2008
Investments, at value	$	1,701,541	$	576	$	0	$	1,702,117
Other Financial Instruments⁺⁺		0		0		0		0

Total	$	1,701,541	$	576	$	0	$	1,702,117

⁺	See note 3 in the Supplementary Notes to Schedule of Investments for additional information.

⁺⁺	Other financial instruments may include open futures contracts, swap contracts, written options, and foreign currency contracts.

See Accompanying Notes

Consolidated Schedule of Investments

CommodityRealReturn^TM Strategy Portfolio

September 30, 2008 (Unaudited)


	Principal Amount (000s)		Value (000s)
CORPORATE BONDS & NOTES 25.5%
Banking & Finance 18.9%
ACE INA Holdings, Inc.
5.800% due 03/15/2018	$	1,000	$	913
Allstate Life Global Funding II
3.461% due 05/21/2010		3,600		3,582
Allstate Life Global Funding Trusts
5.375% due 04/30/2013		1,400		1,353
American Express Bank FSB
5.500% due 04/16/2013		500		458
6.000% due 09/13/2017		600		502
American Express Centurion Bank
2.568% due 07/13/2010		1,000		916
6.000% due 09/13/2017		500		419
American Express Co.
7.000% due 03/19/2018		800		707
8.150% due 03/19/2038		230		206
American Express Credit Corp.
2.546% due 03/02/2009		800		783
American International Group, Inc.
8.175% due 05/15/2058		800		128
ANZ National International Ltd.
6.200% due 07/19/2013		1,300		1,292
Atlantic & Western Re Ltd.
9.041% due 01/09/2009		300		299
Bank of America Corp.
2.957% due 02/17/2009		900		898
5.650% due 05/01/2018		2,400		2,025
8.125% due 12/29/2049		3,700		2,994
Barclays Bank PLC
5.450% due 09/12/2012		1,400		1,397
7.434% due 09/29/2049		200		163
Bear Stearns Cos. LLC
6.400% due 10/02/2017		1,500		1,403
6.950% due 08/10/2012		600		607
7.250% due 02/01/2018		1,000		964
Berkshire Hathaway Finance Corp.
5.400% due 05/15/2018		2,000		1,941
C10 Capital SPV Ltd.
6.722% due 12/31/2049		100		93
Caterpillar Financial Services Corp.
4.226% due 06/24/2011		5,500		5,300
CIT Group, Inc.
2.946% due 01/30/2009		900		811
Citigroup Funding, Inc.
3.190% due 04/23/2009		1,000		983
3.852% due 05/07/2010		4,600		4,340
Citigroup, Inc.
3.799% due 12/28/2009		800		774
8.400% due 04/29/2049		1,600		1,091
Credit Agricole S.A.
2.809% due 05/28/2009		1,100		1,096
Credit Suisse USA, Inc.
2.890% due 11/20/2009		300		298
General Electric Capital Corp.
2.859% due 12/12/2008		100		100
5.875% due 01/14/2038		1,000		738
Genworth Financial, Inc.
6.515% due 05/22/2018		1,000		823
Goldman Sachs Group, Inc.
3.250% due 12/23/2008		900		887
3.294% due 12/22/2008		1,000		986
4.069% due 06/28/2010		1,000		892
6.750% due 10/01/2037		1,600		1,069
HBOS PLC
6.750% due 05/21/2018		1,000		839
HCP, Inc.
6.700% due 01/30/2018		1,000		840
Lehman Brothers Holdings, Inc.
6.875% due 05/02/2018 (a)		700		91
7.000% due 09/27/2027 (a)		100		13
Liberty Mutual Group, Inc.
5.750% due 03/15/2014		1,000		894
Marsh & McLennan Cos., Inc.
5.750% due 09/15/2015		3,000		2,818
Merna Reinsurance Ltd.
4.412% due 07/07/2010		1,000		949
Merrill Lynch & Co., Inc.
5.054% due 05/12/2010		6,800		6,562
6.400% due 08/28/2017		500		433
6.875% due 04/25/2018		1,000		886
Metropolitan Life Global Funding I
3.163% due 04/13/2009		1,900		1,899
Morgan Stanley
2.912% due 02/09/2009		900		784
3.035% due 01/18/2011		2,000		1,304
4.904% due 05/14/2010		4,600		3,360
6.000% due 04/28/2015		600		409
6.625% due 04/01/2018		1,000		663
National Australia Bank Ltd.
5.350% due 06/12/2013		1,000		962
New York Life Global Funding
4.650% due 05/09/2013		1,000		1,000
Pacific Life Global Funding
5.150% due 04/15/2013		300		300
ProLogis
6.625% due 05/15/2018		500		430
Rabobank Nederland NV
2.811% due 01/15/2009		100		100
Residential Reinsurance 2007 Ltd.
10.061% due 06/07/2010		500		511
Royal Bank of Scotland Group PLC
2.961% due 08/21/2009		1,400		1,393
Santander Perpetual S.A. Unipersonal
6.671% due 10/29/2049		700		653
Simon Property Group LP
5.750% due 12/01/2015		300		284
Travelers Cos., Inc.
5.800% due 05/15/2018		1,000		918
Unicredit Luxembourg Finance S.A.
2.846% due 10/24/2008		200		200
Wachovia Bank N.A.
2.881% due 12/02/2010		400		301
3.704% due 05/14/2010		1,000		819
Wells Fargo & Co.
4.375% due 01/31/2013		400		368
Wells Fargo Capital XIII
7.700% due 12/29/2049		500		436

				75,650

Industrials 5.4%
Alcoa, Inc.
6.000% due 07/15/2013		1,000		982
6.750% due 07/15/2018		2,000		1,923
Amgen, Inc.
6.150% due 06/01/2018		400		391
AutoZone, Inc.
5.875% due 10/15/2012		1,600		1,573
Baxter International, Inc.
5.375% due 06/01/2018		1,000		958
Cardinal Health, Inc.
6.000% due 06/15/2017		1,500		1,407
Computer Sciences Corp.
6.500% due 03/15/2018		2,500		2,405
Falconbridge Ltd.
5.375% due 06/01/2015		2,000		1,787
7.350% due 06/05/2012		400		412
Gaz Capital S.A.
8.146% due 04/11/2018		200		176
Kraft Foods, Inc.
6.000% due 02/11/2013		250		249
Mandalay Resort Group
6.500% due 07/31/2009		1,000		955
Masco Corp.
6.125% due 10/03/2016		1,000		870
Nordstrom, Inc.
6.250% due 01/15/2018		900		840
Rexam PLC
6.750% due 06/01/2013		400		399
Rockies Express Pipeline LLC
5.100% due 08/20/2009		1,200		1,199
RPM International, Inc.
6.500% due 02/15/2018		1,000		966
Spectra Energy Capital LLC
5.668% due 08/15/2014		1,000		957
Starwood Hotels & Resorts Worldwide, Inc.
6.750% due 05/15/2018		1,000		895
UST, Inc.
6.625% due 07/15/2012		900		941
Waste Management, Inc.
6.100% due 03/15/2018		700		655
Weyerhaeuser Co.
4.198% due 09/24/2009		600		594

				21,534

Utilities 1.2%
American Electric Power Co., Inc.
5.250% due 06/01/2015		300		275
AT&T, Inc.
2.894% due 02/05/2010		900		897
Constellation Energy Group, Inc.
4.550% due 06/15/2015		100		86
7.000% due 04/01/2012		1,400		1,415
NGPL Pipe Co. LLC
6.514% due 12/15/2012		300		301
Public Service Electric & Gas Co.
5.300% due 05/01/2018		400		374
Sempra Energy
6.150% due 06/15/2018		1,000		924
Telecom Italia Capital S.A.
6.999% due 06/04/2018		500		449

				4,721

Total Corporate Bonds & Notes (Cost $112,540)				101,905

MUNICIPAL BONDS & NOTES 0.4%
California State General Obligation Bonds, Series 2007
5.000% due 11/01/2037		400		362
Ohio State Buckeye Tobacco Settlement Financing Authority Revenue Bonds, Series 2007
5.875% due 06/01/2047		200		151
Pierce County, Washington School District No. 10 General Obligation Bonds, (FSA Insured), Series 2005
5.000% due 12/01/2023		100		98
University of New Mexico Revenue Bonds, (FSA Insured), Series 2007
5.000% due 06/01/2036		1,300		1,206
West Virginia State Tobacco Settlement Financing Authority Revenue Bonds, Series 2007
7.467% due 06/01/2047		100		86

Total Municipal Bonds & Notes (Cost $2,144)				1,903

COMMODITY INDEX-LINKED NOTES 1.7%
Credit Suisse USA, Inc. (DJAIGTR)
2.653% due 02/17/2009		5,000		3,361
Landesbank Baden-Wurttemberg (DJAIGTR)
2.620% due 11/25/2008		3,500		2,735
Swiss Re Treasury U.S. Corp. (DJAIGCI)
2.850% due 01/07/2009		1,000		797

Total Commodity Index-Linked Notes (Cost $9,500)				6,893

U.S. GOVERNMENT AGENCIES 47.1%
Fannie Mae
3.557% due 05/25/2042		20		20
4.278% due 03/01/2044 - 10/01/2044		398		397
4.503% due 11/01/2034		167		169
4.668% due 05/25/2035		272		281
5.000% due 01/01/2037 - 07/01/2038		1,689		1,647
5.000% due 02/01/2038 (g)		1,698		1,656
5.221% due 07/01/2035		319		318
5.355% due 11/01/2035		561		564
5.384% due 01/01/2036		436		430
5.500% due 09/01/2035 - 10/01/2038		58,529		58,375
5.500% due 01/01/2037 - 06/01/2038 (g)		53,387		53,293
5.950% due 02/25/2044		93		93
6.000% due 07/01/2022 - 10/01/2038		8,247		8,357
6.000% due 07/01/2037 - 05/01/2038 (g)		27,133		27,517
Freddie Mac
2.638% due 07/15/2019 - 10/15/2020		3,544		3,466
2.718% due 02/15/2019		3,210		3,130
3.467% due 08/25/2031		4		3
4.000% due 03/15/2023 - 10/15/2023		49		49
4.278% due 02/25/2045		203		185
4.500% due 05/15/2017		51		51
4.549% due 01/01/2034		30		30
5.000% due 02/15/2020 - 11/01/2036		1,241		1,232
5.500% due 05/15/2016 - 02/01/2038		7,180		7,161
5.500% due 04/01/2038 - 08/01/2038 (g)		7,798		7,764
6.000% due 05/01/2031		73		75
6.588% due 10/01/2036		1,707		1,721
6.699% due 09/01/2036		1,596		1,638
6.740% due 07/01/2036		1,427		1,457
Ginnie Mae
6.000% due 10/01/2038		7,000		7,095
6.500% due 02/15/2031		130		134

Total U.S. Government Agencies (Cost $187,879)				188,308

U.S. TREASURY OBLIGATIONS 102.5%
Treasury Inflation Protected Securities (c)
0.625% due 04/15/2013		726		685
0.875% due 04/15/2010		16,207		15,915
1.375% due 07/15/2018		40,779		37,580
1.625% due 01/15/2015		23,536		22,900
1.625% due 01/15/2018		26,789		25,316
1.750% due 01/15/2028		2,831		2,461
1.875% due 07/15/2013		716		714
1.875% due 07/15/2015		8,002		7,868
2.000% due 04/15/2012		49,697		49,801
2.000% due 01/15/2014		11,390		11,357
2.000% due 07/15/2014		8,025		7,996
2.000% due 01/15/2016		55,890		55,082
2.375% due 04/15/2011		58,097		58,723
2.375% due 01/15/2017		17,286		17,393
2.375% due 01/15/2025		1,167		1,128
2.375% due 01/15/2027		654		630
2.500% due 07/15/2016		9,336		9,531
2.625% due 07/15/2017		13,776		14,165
3.000% due 07/15/2012		30,751		31,986
3.375% due 01/15/2012		4,074		4,272
3.500% due 01/15/2011		3,905		4,059
3.625% due 04/15/2028		5,841		6,693
3.875% due 01/15/2009		1,738		1,733
3.875% due 04/15/2029		133		159
4.250% due 01/15/2010		12,514		12,875
U.S. Treasury Notes
2.500% due 03/31/2013		9,000		8,839

Total U.S. Treasury Obligations (Cost $412,267)				409,861

MORTGAGE-BACKED SECURITIES 3.1%
Banc of America Large Loan, Inc.
2.998% due 08/15/2029		1,268		1,144
Bear Stearns Adjustable Rate Mortgage Trust
4.125% due 03/25/2035		649		610
4.150% due 08/25/2035		131		124
4.550% due 08/25/2035		227		217
4.857% due 01/25/2035		1,414		1,293
Bear Stearns Mortgage Funding Trust
3.277% due 02/25/2037		515		464
Bear Stearns Structured Products, Inc.
4.639% due 01/26/2036		839		668
Citigroup Mortgage Loan Trust, Inc.
4.248% due 08/25/2035		212		202
4.700% due 12/25/2035		370		344
4.748% due 08/25/2035		166		158
6.014% due 09/25/2037		2,621		1,833
Countrywide Alternative Loan Trust
3.382% due 12/20/2046		3,100		1,890
6.000% due 02/25/2037		751		549
Countrywide Home Loan Mortgage Pass-Through Trust
3.781% due 11/19/2033		28		26
First Horizon Alternative Mortgage Securities
4.740% due 06/25/2034		42		35
Greenpoint Mortgage Funding Trust
3.287% due 01/25/2047		691		656
3.477% due 11/25/2045		26		16
Harborview Mortgage Loan Trust
3.270% due 03/19/2037		125		77
Lehman XS Trust
3.287% due 07/25/2046		24		24
MASTR Adjustable Rate Mortgages Trust
3.788% due 11/21/2034		100		81
MLCC Mortgage Investors, Inc.
4.352% due 10/25/2035		884		825
Residential Accredit Loans, Inc.
4.215% due 09/25/2045		374		245
Structured Adjustable Rate Mortgage Loan Trust
4.065% due 01/25/2035		33		20
4.580% due 02/25/2034		61		55
Structured Asset Mortgage Investments, Inc.
3.360% due 10/19/2034		44		32
Wachovia Bank Commercial Mortgage Trust
2.568% due 06/15/2020		830		735

Total Mortgage-Backed Securities (Cost $13,263)				12,323

ASSET-BACKED SECURITIES 6.4%
American Express Credit Account Master Trust
3.438% due 08/15/2012		3,400		3,374
BA Credit Card Trust
3.688% due 12/16/2013		4,300		4,227
Carrington Mortgage Loan Trust
3.527% due 10/25/2035		297		281
Citigroup Mortgage Loan Trust, Inc.
3.267% due 01/25/2037		209		206
First Franklin Mortgage Loan Asset-Backed Certificates
3.247% due 01/25/2038		445		418
Ford Credit Auto Owner Trust
3.388% due 01/15/2011		4,500		4,453
GSAMP Trust
3.277% due 12/25/2036		470		433
Lehman XS Trust
3.287% due 04/25/2046		15		15
Morgan Stanley ABS Capital I
3.257% due 11/25/2036		652		631
Morgan Stanley Mortgage Loan Trust
6.000% due 07/25/2047		414		275
Nelnet Student Loan Trust
2.890% due 07/25/2016		2		3
Nomura Asset Acceptance Corp.
3.347% due 01/25/2036		8		7
Option One Mortgage Loan Trust
3.257% due 01/25/2037		286		276
SLM Student Loan Trust
2.790% due 07/25/2013		509		508
2.840% due 04/25/2019		2,200		2,047
4.173% due 04/25/2023		7,500		7,528
Specialty Underwriting & Residential Finance
3.267% due 01/25/2038		632		584
Washington Mutual Asset-Backed Certificates
3.257% due 01/25/2037		408		383

Total Asset-Backed Securities (Cost $26,056)				25,649

FOREIGN CURRENCY-DENOMINATED ISSUES 2.7%
General Electric Capital Corp.
6.500% due 09/15/2067	GBP	1,000		1,064
Italy Buoni Poliennali Del Tesoro
2.350% due 09/15/2019 (c)	EUR	409		549
Japanese Government CPI Linked Bond
0.800% due 12/10/2015	JPY	245,760		2,172
1.100% due 12/10/2016		122,280		1,094
1.200% due 06/10/2017		410,800		3,679
1.200% due 12/10/2017		112,310		1,003
1.400% due 06/10/2018		121,920		1,104
Royal Bank of Scotland Group PLC
7.092% due 10/29/2049	EUR	100		91
Svenska Handelsbanken AB
5.138% due 03/16/2015		100		138

Total Foreign Currency-Denominated Issues (Cost $11,624)				10,894


	Shares
CONVERTIBLE PREFERRED STOCKS 0.0%
Wachovia Corp.
7.500% due 12/31/2049		300		118

Total Convertible Preferred Stocks (Cost $300)				118


	Principal Amount (000s)
SHORT-TERM INSTRUMENTS 37.8%
Certificates of Deposit 0.9%
Nordea Bank Finland PLC
3.682% due 12/01/2008	$	1,100		1,100
5.308% due 04/09/2009		600		600
Skandinaviska Enskilda Banken AB
2.794% due 02/13/2009		900		898
Unicredito Italiano NY
3.088% due 05/18/2009		1,000		999

				3,597

Commercial Paper 10.4%
Citibank N.A.
3.570% due 10/23/2008		8,700		8,681
Federal Home Loan Bank
0.087% due 10/07/2008		9,000		9,000
2.270% due 10/01/2008		1,400		1,400
Freddie Mac
2.500% due 11/24/2008		10,200		10,162
JPMorgan Chase & Co.
0.000% due 10/01/2008		8,100		8,099
Royal Bank of Scotland Group PLC
2.870% due 11/10/2008		4,100		4,087

				41,429

Repurchase Agreements 11.5%
Greenwich Capital Markets, Inc.
0.250% due 10/01/2008		3,100		3,100
(Dated 09/30/2008. Collateralized by U.S. Treasury Inflation Protected Securities 3.875% due 01/15/2009 valued at $3,167. Repurchase proceeds are $3,100.)
JPMorgan Chase Bank N.A.
2.000% due 10/01/2008		23,200		23,200
(Dated 09/30/2008. Collateralized by Federal Home Loan Bank 4.038% - 4.154% due 01/05/2009 - 04/07/2009 valued at $23,665. Repurchase proceeds are $23,201.)
State Street Bank and Trust Co.
0.100% due 10/01/2008		5,990		5,990
(Dated 09/30/2008. Collateralized by Federal Home Loan Bank 2.260% due 10/10/2008 valued at $6,114. Repurchase proceeds are $5,990.)
1.000% due 10/01/2008		13,929		13,929
(Dated 09/30/2008. Collateralized by Federal Home Loan Bank 4.375% due 09/17/2010 valued at $14,208. Repurchase proceeds are $13,929.)

				46,219

U.S. Treasury Bills 15.0%
1.298% due 10/16/2008 - 12/26/2008 (b)(d)(e)(f)		60,075		59,846

Total Short-Term Instruments (Cost $151,203)				151,091

Purchased Options (j) 0.1% (Cost $276)				253
Total Investments 227.3% (Cost $927,052)			$	909,198
Written Options (k) (0.3%) (Premiums $785)				(1,166	)
Other Assets and Liabilities (Net) (127.0%)				(508,118	)

Net Assets 100.0%			$	399,914

Notes to Schedule of Investments (amounts in thousands*, except number of contracts):

* A zero balance may reflect actual amounts rounding to less than one thousand.

(a) Security is in default.

(b) Coupon represents a weighted average rate.

(d) Securities with an aggregate market value of $19,193 and cash of $7,250 have been pledged as collateral for swap and swaption contracts on September 30, 2008.

(e) Securities with an aggregate market value of $4,958 have been pledged as collateral for delayed-delivery securities on September 30, 2008.

(f) Securities with an aggregate market value of $299 have been pledged as collateral for delayed-delivery mortgage-backed securities on September 30, 2008.

(g) The average amount of borrowings while outstanding during the period ended September 30, 2008 was $20,425 at a weighted average interest rate of 3.782%. On September 30, 2008, there were no open reverse repurchase agreements.

(h) Cash of $2,897 has been pledged as collateral for the following open futures contracts on September 30, 2008:


Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Euribor December Futures	Long	12/2009	30	$	8
90-Day Euribor June Futures	Long	06/2009	68		(26	)
90-Day Euribor September Futures	Long	09/2009	30		16
90-Day Eurodollar December Futures	Long	12/2008	25		(6	)
90-Day Eurodollar December Futures	Long	12/2009	144		100
90-Day Eurodollar June Futures	Long	06/2009	304		436
90-Day Eurodollar March Futures	Long	03/2010	153		106
90-Day Eurodollar September Futures	Long	09/2009	220		408
Euro-Bund 10-Year Bond December Futures	Short	12/2008	41		(45	)
Japan Government 10-Year Bond December Futures	Short	12/2008	6		33
U.S. Treasury 5-Year Note December Futures	Short	12/2008	7		14
U.S. Treasury 10-Year Note December Futures	Long	12/2008	263		(358	)
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2008	3		(7	)
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2009	66		122
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2009	16		7

				$	808

(i) Swap agreements outstanding on September 30, 2008:

Credit Default Swaps on Corporate and Sovereign Issues - Buy Protection⁽¹⁾


Reference Obligation	Fixed Deal (Pay) Rate		Maturity Date	Counterparty	Implied Credit Spread at September 30, 2008⁽³⁾		Notional Amount⁽⁴⁾		Market Value			Upfront Premiums Paid/ (Received)		Unrealized Appreciation/ (Depreciation)
Ace INA Holdings, Inc. 5.800% due 03/15/2018	(0.500	%)	03/20/2018	BOA	0.793	%	$	1,000	$	22		$	0	$	22
Alcoa, Inc. 6.000% due 07/15/2013	(1.200	%)	09/20/2013	BCLY	1.498	%		1,000		12			0		12
Alcoa, Inc. 6.750% due 07/15/2018	(1.270	%)	09/20/2018	DUB	1.699	%		2,000		61			0		61
American Electric Power Co., Inc. 5.250% due 06/01/2015	(0.470	%)	06/20/2015	MSC	0.624	%		300		3			0		3
AutoZone, Inc. 5.875% due 10/15/2012	(0.620	%)	12/20/2012	BOA	0.880	%		1,600		16			0		16
AutoZone, Inc. 5.875% due 10/15/2012	(0.529	%)	12/20/2012	GSC	0.880	%		300		4			0		4
Baxter International, Inc. 5.375% due 06/01/2018	(0.310	%)	06/20/2018	BOA	0.347	%		800		2			0		2
Baxter International, Inc. 5.375% due 06/01/2018	(0.340	%)	06/20/2018	GSC	0.347	%		1,000		0			0		0
Bear Stearns Cos., Inc. 5.300% due 10/30/2015	(1.780	%)	12/20/2012	GSC	1.369	%		200		(3	)		0		(3	)
Bear Stearns Cos., Inc. 6.400% due 10/02/2017	(0.810	%)	12/20/2017	BNP	1.400	%		1,000		41			0		41
Bear Stearns Cos., Inc. 6.400% due 10/02/2017	(0.760	%)	12/20/2017	CSFB	1.400	%		500		22			0		22
Bear Stearns Cos., Inc. 7.250% due 02/01/2018	(0.870	%)	03/20/2018	DUB	1.400	%		1,100		41			0		41
Cardinal Health, Inc. 6.000% due 06/15/2017	(0.590	%)	06/20/2017	DUB	0.711	%		1,500		13			0		13
Computer Sciences Corp. 6.500% due 03/15/2018	(1.248	%)	03/20/2018	MSC	0.671	%		2,500		(110	)		0		(110	)
Constellation Energy Group, Inc. 4.550% due 06/15/2015	(0.960	%)	06/20/2015	JPM	3.173	%		100		10			0		10
Constellation Energy Group, Inc. 7.000% due 04/01/2012	(0.665	%)	06/20/2012	JPM	3.264	%		1,500		117			0		117
Falconbridge Ltd. 5.375% due 06/01/2015	(1.100	%)	06/20/2015	BOA	1.176	%		2,000		8			0		8
Falconbridge Ltd. 7.350% due 06/05/2012	(0.910	%)	06/20/2012	BOA	0.996	%		400		1			0		1
Genworth Financial, Inc. 6.515% due 05/22/2018	(0.960	%)	06/20/2018	BCLY	8.348	%		400		134			0		134
Genworth Financial, Inc. 6.515% due 05/22/2018	(0.980	%)	06/20/2018	DUB	8.348	%		600		201			0		201
GMAC LLC 6.875% due 08/28/2012	(5.000	%)	09/20/2012	CITI	48.784	%		200		102			0		102
HCP, Inc. 6.700% due 01/30/2018	(2.910	%)	03/20/2018	GSC	3.382	%		1,000		28			0		28
Kroger Co. 5.500% due 02/01/2013	(0.360	%)	12/20/2012	BNP	0.571	%		400		3			0		3
Liberty Mutual Group, Inc. 5.750% due 03/15/2014	(1.390	%)	03/20/2014	BOA	2.318	%		1,000		41			0		41
Marsh & McLennan Cos., Inc. 5.750% due 09/15/2015	(0.830	%)	09/20/2015	BOA	0.699	%		2,000		(16	)		0		(16	)
Marsh & McLennan Cos., Inc. 5.750% due 09/15/2015	(0.600	%)	09/20/2015	DUB	0.699	%		1,000		6			0		6
Masco Corp. 6.125% due 10/03/2016	(1.910	%)	12/20/2016	CITI	2.560	%		1,000		37			0		37
Merrill Lynch & Co., Inc. 5.000% due 01/15/2015	(0.950	%)	12/20/2012	BOA	4.388	%		200		23			0		23
Merrill Lynch & Co., Inc. 6.875% due 04/25/2018	(1.380	%)	06/20/2018	CITI	3.763	%		1,000		144			0		144
MGM Mirage 5.875% due 02/27/2014	(4.250	%)	07/31/2009	GSC	6.495	%		1,000		9			0		9
Nordstrom, Inc. 6.250% due 01/15/2018	(0.990	%)	03/20/2018	BOA	1.564	%		900		36			0		36
Nordstrom, Inc. 6.950% due 03/15/2028	(0.610	%)	12/20/2012	MSC	1.377	%		400		12			0		12
Prologis 6.625% due 05/15/2018	(1.320	%)	06/20/2018	MSC	5.115	%		500		109			0		109
Rexam PLC 6.750% due 06/01/2013	(1.450	%)	06/20/2013	BCLY	1.797	%		400		6			0		6
RPM International, Inc. 6.500% due 02/15/2018	(1.500	%)	03/20/2018	GSC	1.263	%		1,000		(17	)		0		(17	)
Sempra Energy 6.150% due 06/15/2018	(0.670	%)	06/20/2018	DUB	1.060	%		1,000		29			0		29
Simon Property Group LP 5.750% due 12/01/2015	(1.010	%)	12/20/2015	RBS	1.591	%		300		10			0		10
Spectra Energy Capital LLC 5.668% due 08/15/2014	(0.830	%)	09/20/2014	BOA	1.270	%		1,000		22			0		22
Staples, Inc. 7.375% due 10/01/2012	(0.700	%)	12/20/2012	MSC	1.373	%		300		8			0		8
Starwood Hotels & Resorts Worldwide, Inc. 6.750% due 05/15/2018	(1.490	%)	06/20/2018	BOA	2.861	%		1,000		91			0		91
Telecom Italia Capital S.A. 6.999% due 06/04/2018	(1.550	%)	06/20/2018	GSC	2.503	%		500		32			0		32
Travelers Cos., Inc. 5.800% due 05/15/2018	(0.590	%)	06/20/2018	GSC	1.034	%		1,000		33			0		33
UST, Inc. 6.625% due 07/15/2012	(0.340	%)	09/20/2012	BOA	0.366	%		900		1			0		1
Waste Management, Inc. 6.100% due 03/15/2018	(0.790	%)	03/20/2018	JPM	1.143	%		700		18			0		18

									$	1,362		$	0	$	1,362

Credit Default Swaps on Corporate and Sovereign Issues - Sell Protection⁽²⁾


Reference Obligation	Fixed Deal Receive Rate	Maturity Date	Counterparty	Implied Credit Spread at September 30, 2008⁽³⁾	Notional Amount⁽⁴⁾		Market Value			Upfront Premiums Paid/ (Received)		Unrealized (Depreciation)
Bear Stearns Cos., Inc. 5.300% due 10/30/2015	0.720%	09/20/2012	CITI	1.357%	$	100	$	(2	)	$	0	$	(2	)
Bear Stearns Cos., Inc. 5.300% due 10/30/2015	0.720%	09/20/2012	JPM	1.357%		200		(5	)		0		(5	)
Chesapeake Energy Corp. 6.875% due 01/15/2016	2.100%	09/20/2013	CSFB	3.507%		300		(17	)		0		(17	)
Fannie Mae 5.250% due 08/01/2012	1.401%	03/20/2013	BNP	Defaulted		1,000		(35	)		0		(35	)
Ford Motor Credit Co. LLC 7.000% due 10/01/2013	3.850%	09/20/2012	JPM	28.870%		100		(43	)		0		(43	)
Ford Motor Credit Co. LLC 7.000% due 10/01/2013	3.800%	09/20/2012	MSC	28.870%		200		(86	)		0		(86	)
GMAC LLC 6.875% due 08/28/2012	3.050%	09/20/2012	BCLY	48.784%		100		(53	)		0		(53	)
GMAC LLC 6.875% due 08/28/2012	7.000%	09/20/2012	BOA	48.784%		100		(49	)		0		(49	)
GMAC LLC 6.875% due 08/28/2012	3.050%	09/20/2012	GSC	48.784%		200		(107	)		0		(107	)
GMAC LLC 6.875% due 08/28/2012	6.310%	09/20/2012	GSC	48.784%		700		(346	)		0		(346	)
GMAC LLC 6.875% due 08/28/2012	6.850%	06/20/2012	MSC	50.152%		100		(49	)		0		(49	)
Goldman Sachs Group, Inc. 6.600% due 01/15/2012	0.800%	09/20/2012	MSC	4.610%		100		(12	)		0		(12	)
Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	1.120%	09/20/2012	BNP	Defaulted		100		(84	)		0		(84	)
Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	0.700%	09/20/2012	JPM	Defaulted		200		(169	)		0		(169	)
Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	0.660%	09/20/2012	RBS	Defaulted		100		(84	)		0		(84	)

							$	(1,141	)	$	0	$	(1,141	)

Credit Default Swaps on Credit Indices - Buy Protection⁽¹⁾


Reference Obligation	Fixed Deal (Pay) Rate		Maturity Date	Counterparty	Notional Amount⁽⁴⁾		Market Value⁽⁵⁾		Upfront Premiums Paid/ (Received)			Unrealized Appreciation
CDX.HY-8 Index	(2.750	%)	06/20/2012	BCLY	$	792	$	90	$	34		$	56
CDX.HY-8 Index	(2.750	%)	06/20/2012	BEAR		594		68		16			52
CDX.HY-8 Index	(2.750	%)	06/20/2012	BOA		693		79		16			63
CDX.HY-8 Index	(2.750	%)	06/20/2012	DUB		594		68		27			41
CDX.HY-8 Index	(2.750	%)	06/20/2012	MSC		515		59		22			37
CDX.HY-8 Index	(2.750	%)	06/20/2012	UBS		792		90		31			59
CDX.HY-9 Index	(3.750	%)	12/20/2012	BEAR		495		59		9			50
CDX.IG-8 5 Year Index	(0.350	%)	06/20/2012	BCLY		600		32		8			24
CDX.IG-9 10 Year Index	(0.800	%)	12/20/2017	BCLY		5,300		289		45			244
CDX.IG-9 10 Year Index	(0.800	%)	12/20/2017	BOA		1,000		54		4			50
CDX.IG-9 10 Year Index	(0.800	%)	12/20/2017	GSC		1,000		54		5			49
CDX.IG-9 10 Year Index	(0.800	%)	12/20/2017	JPM		400		22		2			20
CDX.IG-9 10 Year Index	(0.800	%)	12/20/2017	MSC		2,700		147		49			98
CDX.IG-10 5 Year Index	(1.550	%)	06/20/2013	DUB		24,800		137		(166	)		303
CDX.IG-10 5 Year Index	(1.550	%)	06/20/2013	GSC		9,100		50		(96	)		146
CDX.IG-10 5 Year Index	(1.550	%)	06/20/2013	MLP		8,300		46		(46	)		92
CDX.IG-10 5 Year Index	(1.550	%)	06/20/2013	MSC		9,600		53		(53	)		106

							$	1,397	$	(93	)	$	1,490

Credit Default Swaps on Credit Indices - Sell Protection⁽²⁾


Reference Obligation	Fixed Deal Receive Rate		Maturity Date	Counterparty	Notional Amount⁽⁴⁾		Market Value⁽⁵⁾			Upfront Premiums Paid/ (Received)			Unrealized Appreciation
CDX.HY-9 Index 25-35%	6.350	%	12/20/2012	DUB	$	800	$	11		$	0		$	11
CDX.HY-9 Index 25-35%	6.450	%	12/20/2012	JPM		700		9			0			9
CDX.HY-9 Index 25-35%	6.510	%	12/20/2012	MLP		300		6			0			6
CDX.IG-9 5 Year Index 15-30%	0.990	%	12/20/2012	DUB		1,800		9			0			9
CDX.IG-9 5 Year Index 30-100%	0.760	%	12/20/2012	DUB		100		1			0			1
CDX.IG-10 5 Year Index	1.550	%	06/20/2013	DUB		1,300		(2	)		(18	)		16
CMBX.NA AAA 3 Index	0.080	%	12/13/2049	MSC		2,120		(221	)		(342	)		121

							$	(187	)	$	(360	)	$	173

⁽¹⁾

If the Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

⁽²⁾

If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

⁽³⁾

Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues or sovereign issues of an emerging country as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads 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. An implied credit spread identified as “Defaulted” indicates a credit event has occurred for the referenced entity or obligation.

⁽⁴⁾	The maximum potential amount the Portfolio 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 that particular swap agreement.

⁽⁵⁾

The quoted market prices and resulting values for credit default swap agreements on asset-backed securities and credit indices serve as an indicator of the current status of the payment/performance risk and represent 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.

Interest Rate Swaps


Pay/ Receive Floating Rate	Floating Rate Index	Fixed Rate		Maturity Date	Counterparty	Notional Amount		Market Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
Pay	1-Year BRL-CDI	12.410	%	01/04/2010	UBS	BRL	1,000	$	(7	)	$	3		$	(10	)
Pay	1-Year BRL-CDI	10.115	%	01/02/2012	MSC		4,100		(210	)		(73	)		(137	)
Pay	1-Year BRL-CDI	10.575	%	01/02/2012	UBS		3,700		(159	)		(1	)		(158	)
Pay	1-Year BRL-CDI	10.680	%	01/02/2012	BCLY		5,400		(224	)		(86	)		(138	)
Pay	1-Year BRL-CDI	12.540	%	01/02/2012	MLP		10,400		(162	)		(43	)		(119	)
Pay	1-Year BRL-CDI	12.540	%	01/02/2012	MSC		2,500		(39	)		(7	)		(32	)
Pay	1-Year BRL-CDI	14.765	%	01/02/2012	HSBC		200		1			1			0
Pay	1-Year BRL-CDI	14.765	%	01/02/2012	MLP		800		4			1			3
Pay	3-Month AUD Bank Bill	7.500	%	03/15/2010	UBS	AUD	67,800		745			(19	)		764
Pay	3-Month USD-LIBOR	4.000	%	06/17/2010	CSFB	$	3,400		23			23			0
Pay	3-Month USD-LIBOR	4.000	%	06/17/2010	DUB		10,100		68			61			7
Pay	3-Month USD-LIBOR	4.000	%	06/17/2010	RBS		3,500		24			(15	)		39
Receive	3-Month USD-LIBOR	4.000	%	12/17/2010	BOA		8,500		(91	)		(73	)		(18	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	BCLY		250		(10	)		6			(16	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	BOA		4,500		(171	)		(144	)		(27	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	JPM		2,700		(103	)		70			(173	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	MLP		1,700		(65	)		(53	)		(12	)
Receive	3-Month USD-LIBOR	5.000	%	12/20/2021	DUB		1,800		(83	)		125			(208	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2023	JPM		3,000		(109	)		12			(121	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2023	MLP		7,000		(255	)		(54	)		(201	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2023	RBS		900		(33	)		(11	)		(22	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2028	BCLY		1,700		(62	)		(21	)		(41	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2028	GSC		200		(7	)		(12	)		5
Receive	3-Month USD-LIBOR	5.000	%	12/17/2028	MSC		1,700		(62	)		10			(72	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	BOA		21,900		(976	)		(622	)		(354	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	CITI		700		(31	)		(32	)		1
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	GSC		7,000		(312	)		(193	)		(119	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	MLP		2,100		(94	)		(74	)		(20	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	MSC		300		(13	)		(19	)		6
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	RBS		1,300		(58	)		(90	)		32
Pay	6-Month AUD Bank Bill	7.000	%	12/15/2009	BCLY	AUD	3,200		19			2			17
Pay	6-Month AUD Bank Bill	7.000	%	12/15/2009	MSC		3,200		19			2			17
Pay	6-Month AUD Bank Bill	6.500	%	01/15/2010	CITI		800		(2	)		(1	)		(1	)
Pay	6-Month AUD Bank Bill	6.500	%	01/15/2010	DUB		2,500		(8	)		(2	)		(6	)
Pay	6-Month AUD Bank Bill	6.500	%	01/15/2010	RBC		1,600		(5	)		(2	)		(3	)
Pay	6-Month AUD Bank Bill	7.000	%	06/15/2010	DUB		8,500		38			1			37
Receive	6-Month AUD Bank Bill	6.750	%	12/15/2017	BCLY		400		(9	)		0			(9	)
Receive	6-Month AUD Bank Bill	6.750	%	12/15/2017	MSC		400		(9	)		0			(9	)
Receive	6-Month AUD Bank Bill	7.000	%	03/15/2019	UBS		4,400		(201	)		4			(205	)
Pay	6-Month EUR-LIBOR	4.500	%	03/19/2010	DUB	EUR	4,100		(22	)		(2	)		(20	)
Pay	6-Month EUR-LIBOR	4.500	%	03/19/2010	MSC		4,100		(22	)		(2	)		(20	)
Pay	6-Month EUR-LIBOR	5.000	%	03/18/2019	HSBC		500		19			21			(2	)
Pay	6-Month GBP-LIBOR	5.000	%	12/19/2009	BCLY	GBP	11,300		(36	)		(29	)		(7	)
Pay	6-Month GBP-LIBOR	6.000	%	03/20/2010	DUB		2,500		43			42			1
Pay	6-Month GBP-LIBOR	5.000	%	09/15/2010	CSFB		1,600		(8	)		(50	)		42
Pay	6-Month GBP-LIBOR	5.000	%	09/15/2010	RBS		2,000		7			(64	)		71
Pay	6-Month GBP-LIBOR	5.000	%	03/20/2013	DUB		1,400		(21	)		12			(33	)
Pay	6-Month GBP-LIBOR	5.000	%	03/18/2014	BCLY		9,300		(39	)		(232	)		193
Receive	6-Month GBP-LIBOR	4.000	%	12/15/2035	BCLY		1,200		30			24			6
Receive	6-Month GBP-LIBOR	4.000	%	12/15/2035	CSFB		600		15			13			2
Receive	6-Month GBP-LIBOR	4.250	%	06/12/2036	HSBC		300		24			9			15
Receive	6-Month GBP-LIBOR	4.500	%	03/18/2039	BCLY		2,500		(74	)		(16	)		(58	)
Receive	6-Month GBP-LIBOR	5.000	%	03/18/2039	BCLY		400		(68	)		(41	)		(27	)
Pay	6-Month JPY-LIBOR	1.000	%	03/18/2009	MSC	JPY	600,000		0			(13	)		13
Pay	28-Day MXN TIIE	8.170	%	11/04/2016	GSC	MXN	21,500		(72	)		0			(72	)
Pay	28-Day MXN TIIE	8.330	%	02/14/2017	BCLY		2,100		(5	)		0			(5	)
Receive	EUR-HICP ex-Tobacco Index	2.275	%	10/15/2016	UBS	EUR	400		(7	)		0			(7	)
Pay	France CPI ex-Tobacco Index	2.103	%	10/15/2010	BCLY		500		(4	)		0			(4	)
Pay	France CPI ex-Tobacco Index	2.040	%	02/21/2011	BNP		1,700		(26	)		0			(26	)
Pay	France CPI ex-Tobacco Index	2.028	%	10/15/2011	JPM		600		(14	)		0			(14	)
Pay	France CPI ex-Tobacco Index	2.095	%	10/15/2011	UBS		1,100		(19	)		0			(19	)
Pay	France CPI ex-Tobacco Index	1.970	%	12/15/2011	JPM		1,200		(42	)		0			(42	)
Pay	France CPI ex-Tobacco Index	1.976	%	12/15/2011	GSC		5,400		(201	)		(11	)		(190	)
Pay	France CPI ex-Tobacco Index	1.988	%	12/15/2011	BNP		900		(29	)		0			(29	)
Pay	France CPI ex-Tobacco Index	2.070	%	09/14/2012	BCLY		700		(26	)		0			(26	)
Pay	France CPI ex-Tobacco Index	2.350	%	10/15/2016	UBS		400		(7	)		0			(7	)
Pay	France CPI ex-Tobacco Index	2.353	%	10/15/2016	JPM		300		(4	)		0			(4	)
Pay	GBP-UKRPI Index	3.250	%	12/14/2017	BCLY	GBP	1,000		(83	)		4			(87	)
Pay	GBP-UKRPI Index	3.183	%	12/19/2017	RBS		1,600		(149	)		2			(151	)
Pay	GBP-UKRPI Index	3.110	%	01/03/2018	GSC		1,100		(118	)		0			(118	)
Pay	GBP-UKRPI Index	3.440	%	09/10/2027	RBS		200		(37	)		0			(37	)

								$	(3,624	)	$	(1,659	)	$	(1,965	)

Total Return Swaps on Commodities


Pay/ Receive Commodity Exchange	Reference Entity	(Pay)/Receive Fixed Price Per Unit			Maturity Date	Counterparty	# of Units	Market Value			Upfront Premiums Paid/ (Received)		Unrealized Appreciation/ (Depreciation)
Pay	LMEX Copper December Futures	$	(6,860.000	)	12/15/2008	CSFB	0	$	118		$	0	$	118
Receive	LMEX Copper December Futures		6,770.000		12/16/2009	CSFB	0		(98	)		0		(98	)
Receive	NYMEX Natural Gas December Futures		8.718		11/24/2009	JPM	170		35			0		35
Receive	NYMEX Natural Gas December Futures		8.855		11/24/2009	JPM	240		18			0		18
Pay	NYMEX Natural Gas November Futures		(8.550	)	10/28/2009	JPM	240		(2	)		0		(2	)
Pay	NYMEX Natural Gas November Futures		(8.390	)	10/28/2009	JPM	170		(27	)		0		(27	)

								$	44		$	0	$	44

Total Return Swaps on Indices


Pay/ Receive Total Return on Reference Entity	Reference Entity	# of Shares or Units	Floating Rate⁽⁶⁾	Notional Amount		Maturity Date	Counterparty	Unrealized Appreciation/ (Depreciation)
Pay	DJAIGTR Index	52,186	3-Month U.S. Treasury Bill rate plus a specified spread	$	18,460	12/29/2008	BCLY	$	942
Receive	DJAIGTR Index	311,281	3-Month U.S. Treasury Bill rate plus a specified spread		110,110	12/29/2008	BCLY		(5,623	)
Receive	DJAIGTR Index	530,076	3-Month U.S. Treasury Bill rate plus a specified spread		177,600	10/16/2008	CSFB		191
Receive	DJAIGTR Index	19,026	3-Month U.S. Treasury Bill rate plus a specified spread		6,730	10/29/2008	MLP		(343	)
Pay	DJAIGTR Index	4,240	3-Month U.S. Treasury Bill rate plus a specified spread		1,500	10/29/2008	MSC		77
Receive	DJAIGTR Index	536,365	3-Month U.S. Treasury Bill rate plus a specified spread		193,260	10/29/2008	MSC		(9,869	)
Receive	DJAIGTR Index	38,589	3-Month U.S. Treasury Bill rate plus a specified spread		13,650	10/29/2008	UBS		(697	)

								$	(15,322	)

⁽⁶⁾	Floating rate is based upon predetermined notional amounts, which may be a multiple of the number of shares or units disclosed.

Variance Swaps


Pay/ Receive Variance⁽⁷⁾	Underlying Asset	Strike Price		Maturity Date	Counterparty	Notional Amount		Market Value			Upfront Premiums Paid/(Received)		Unrealized Appreciation/ (Depreciation)
Pay	NYMEX Natural Gas December Futures	$	0.069	11/23/2010	GSC	$	600	$	4		$	0	$	4
Pay	NYMEX WTI Crude December Futures		0.246	11/17/2008	GSC		300		(1	)		0		(1	)
Pay	NYMEX WTI Crude December Futures		0.101	11/16/2010	GSC		510		(2	)		0		(2	)

								$	1		$	0	$	1

⁽⁷⁾

At the expiration date, a net cash flow is exchanged, where the payoff amount is equivalent to the difference between the realized price variance of the underlying asset and the strike price multiplied by the notional amount. As a receiver of the realized price variance, the Portfolio would receive the payoff amount when the realized price variance of the underlying asset is greater than the strike price and would owe the payoff amount when the variance is less than the strike price. As a payer of the realized price variance, the Portfolio would owe the payoff amount when the realized price variance of the underlying asset is greater than the strike price and would receive the payoff amount when the variance is less than the strike price.

(j) Purchased options outstanding on September 30, 2008:

Options on Commodity Futures Contracts


Description	Exercise Price		Expiration Date	# of Contracts	Cost		Value
Call - OTC NYMEX Natural Gas June Futures	$	12.000	05/25/2012	10	$	101	$	38
Call - OTC NYMEX WTI Crude December Futures		102.000	12/31/2009	15		132		183

					$	233	$	221


Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Cost		Value
Call - CBOT U.S. Treasury 10-Year Note December Futures	$	138.000	11/21/2008	158	$	2	$	2
Call - CBOT U.S. Treasury 30-Year Bond December Futures		140.000	11/21/2008	402		7		6
Put - CBOT U.S. Treasury 10-Year Note December Futures		99.000	11/21/2008	424		8		7

					$	17	$	15

Interest Rate Swaptions


Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Cost		Value
Call - OTC 2-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009	$	300	$	3	$	2
Call - OTC 2-Year Interest Rate Swap	MSC	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		300		3		2
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		600		6		5
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.850	%	08/03/2009		100		1		1

									$	13	$	10

Options on Securities


Description	Strike Price		Expiration Date	Notional Amount		Cost		Value
Put - OTC Fannie Mae 5.500% due 11/01/2038	$	76.000	11/06/2008	$	35,000	$	4	$	0
Put - OTC Treasury Inflation Protected Securities 2.000% due 04/15/2012		91.000	10/27/2008		20,000		2		2
Put - OTC Treasury Inflation Protected Securities 2.375% due 04/15/2011		93.500	10/27/2008		58,000		4		3
Put - OTC Treasury Inflation Protected Securities 2.625% due 07/15/2017		98.000	10/15/2008		11,600		1		2
Put - OTC Treasury Inflation Protected Securities 3.000% due 07/15/2012		99.000	10/15/2008		23,900		2		0

						$	13	$	7

(k) Written options outstanding on September 30, 2008:

Options on Commodity Futures Contracts


Description	Exercise Price		Expiration Date	# of Contracts	Premium		Value
Call - OTC NYMEX Heating Oil December Futures	$	300.000	12/31/2009	15	$	132	$	229
Call - OTC NYMEX WTI Crude June Futures		250.000	05/17/2012	16		101		41

					$	233	$	270


Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Value
Call - CBOT U.S. Treasury 10-Year Note December Futures	$	118.000	11/21/2008	99	$	66	$	80
Call - CBOT U.S. Treasury 10-Year Note December Futures		119.000	11/21/2008	3		2		2
Call - CBOT U.S. Treasury 30-Year Bond December Futures		120.000	11/21/2008	10		8		15
Call - CBOT U.S. Treasury 30-Year Bond December Futures		121.000	11/21/2008	14		13		17
Call - OTC DJAIGTR January Futures		245.000	01/04/2011	1,500,000		60		91
Call - OTC DJAIGTR October Futures		230.000	10/19/2010	1,000,000		44		70
Put - CBOT U.S. Treasury 10-Year Note December Futures		113.000	11/21/2008	96		49		123
Put - CBOT U.S. Treasury 30-Year Bond December Futures		111.000	11/21/2008	10		7		8
Put - OTC DJAIGTR January Futures		160.000	01/04/2011	1,500,000		81		200
Put - OTC DJAIGTR October Futures		150.000	10/19/2010	1,000,000		82		113

					$	412	$	719

Interest Rate Swaptions


Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Value
Call - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009	$	100	$	3	$	3
Call - OTC 7-Year Interest Rate Swap	GSC	3-Month USD-LIBOR	Receive	5.365	%	09/20/2010		1,000		32		58
Put - OTC 7-Year Interest Rate Swap	GSC	3-Month USD-LIBOR	Pay	5.365	%	09/20/2010		1,000		32		25
Call - OTC 7-Year Interest Rate Swap	MSC	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		100		3		3
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		200		6		6
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	5.365	%	09/20/2010		1,000		32		57
Put - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	5.365	%	09/20/2010		1,000		32		25

									$	140	$	177

(l) Short sales outstanding on September 30, 2008:


Description	Coupon		Maturity Date	Principal Amount		Proceeds		Value⁽⁸⁾
Fannie Mae	5.500	%	10/01/2038	$	9,000	$	8,857	$	8,965
Fannie Mae	6.000	%	10/01/2038		21,500		21,869		21,759
Fannie Mae	6.000	%	12/01/2099		1,000		1,029		1,019
Freddie Mac	5.000	%	10/01/2038		700		689		681
Freddie Mac	5.500	%	10/01/2038		16,200		16,070		16,096
Freddie Mac	6.000	%	10/01/2038		2,300		2,323		2,326
Ginnie Mae	6.500	%	10/01/2038		300		310		307
Treasury Inflation Protected Securities	0.625	%	04/15/2013		1,766		1,669		1,669
Treasury Inflation Protected Securities	1.375	%	07/15/2018		8,540		7,915		7,903
U.S. Treasury Bonds	5.000	%	05/15/2037		15,100		16,995		17,041
U.S. Treasury Bonds	7.500	%	11/15/2024		500		689		696
U.S. Treasury Notes	2.500	%	03/31/2013		9,000		8,795		8,895
U.S. Treasury Notes	3.500	%	02/15/2018		13,100		12,769		12,914
U.S. Treasury Notes	4.250	%	08/15/2014		3,900		4,129		4,185

						$	104,108	$	104,456

⁽⁸⁾	Market value includes $524 of interest payable on short sales.

(m) Foreign currency contracts outstanding on September 30, 2008:


Type	Currency	Counterparty	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	BRL	HSBC	13	12/2008	$	0	$	(1	)	$	(1	)
Sell		HSBC	1,744	12/2008		102		0			102
Buy		JPM	10,053	12/2008		0		(657	)		(657	)
Sell		MSC	3,990	12/2008		134		0			134
Sell		RBC	13	12/2008		0		0			0
Buy		UBS	2,317	12/2008		0		(51	)		(51	)
Sell		UBS	1,096	12/2008		33		0			33
Buy		RBC	13	06/2009		0		0			0
Sell	CHF	MSC	222	12/2008		2		0			2
Buy	CNY	BCLY	5,610	12/2008		0		(7	)		(7	)
Buy		BCLY	431	03/2009		1		0			1
Sell		BCLY	280	03/2009		0		0			0
Buy		CITI	539	03/2009		2		0			2
Buy		HSBC	212	03/2009		1		0			1
Sell		HSBC	171	03/2009		0		0			0
Sell		JPM	732	03/2009		0		(1	)		(1	)
Buy		DUB	5,298	07/2009		0		(58	)		(58	)
Buy		HSBC	4,048	07/2009		0		(36	)		(36	)
Buy		BCLY	3,170	09/2009		0		(13	)		(13	)
Buy		HSBC	4,795	09/2009		0		(19	)		(19	)
Buy	EUR	BCLY	175	10/2008		0		(9	)		(9	)
Buy		BOA	1,145	10/2008		0		(78	)		(78	)
Buy		CITI	651	10/2008		0		(38	)		(38	)
Sell		CITI	239	10/2008		0		(1	)		(1	)
Buy		CSFB	454	10/2008		0		(28	)		(28	)
Sell		UBS	2,986	10/2008		167		0			167
Buy	GBP	BCLY	276	10/2008		0		(16	)		(16	)
Buy		CITI	1,904	10/2008		0		(113	)		(113	)
Buy		JPM	721	10/2008		0		(56	)		(56	)
Buy		UBS	164	10/2008		0		(13	)		(13	)
Sell		UBS	3,752	11/2008		129		0			129
Buy	JPY	BCLY	88,760	10/2008		0		(1	)		(1	)
Sell		BCLY	98,760	10/2008		7		0			7
Sell		DUB	686,646	10/2008		0		(119	)		(119	)
Sell		BCLY	88,760	11/2008		2		0			2
Buy	MXN	BCLY	14	11/2008		0		0			0
Sell		BCLY	5,111	11/2008		31		0			31
Sell		CITI	1,494	11/2008		4		0			4
Buy		HSBC	14	11/2008		0		0			0
Buy		JPM	14	11/2008		0		0			0
Buy		RBC	6,564	11/2008		0		(22	)		(22	)
Buy		CITI	1,494	05/2009		0		(4	)		(4	)
Buy	MYR	BCLY	1,284	11/2008		0		(26	)		(26	)
Sell		BCLY	2,831	11/2008		0		(9	)		(9	)
Buy		JPM	1,582	02/2009		0		(31	)		(31	)
Sell	PHP	BCLY	25,902	11/2008		0		(6	)		(6	)
Buy		HSBC	7,000	11/2008		0		(10	)		(10	)
Buy		JPM	7,100	11/2008		0		(9	)		(9	)
Buy		BCLY	1,600	02/2009		0		(2	)		(2	)
Buy		DUB	800	02/2009		0		(1	)		(1	)
Buy		HSBC	2,010	02/2009		0		(2	)		(2	)
Buy		JPM	3,374	02/2009		0		(3	)		(3	)
Buy		MLP	600	02/2009		0		(1	)		(1	)
Buy		MSC	2,000	02/2009		0		(2	)		(2	)
Buy		RBS	600	02/2009		0		(1	)		(1	)
Buy	PLN	HSBC	2,543	05/2009		0		(82	)		(82	)
Sell	RUB	BCLY	38,066	11/2008		40		0			40
Buy		DUB	22,511	11/2008		0		(39	)		(39	)
Buy		HSBC	25,696	11/2008		0		(46	)		(46	)
Sell		HSBC	14,416	11/2008		16		0			16
Buy		HSBC	4,474	05/2009		0		(14	)		(14	)
Buy	SGD	BCLY	962	11/2008		0		(31	)		(31	)
Buy		BOA	462	11/2008		0		(18	)		(18	)
Buy		CITI	28	11/2008		0		0			0
Buy		JPM	29	11/2008		0		0			0
Buy		UBS	462	11/2008		0		(18	)		(18	)

					$	671	$	(1,692	)	$	(1,021	)

(n) Fair Value Measurements⁺

The following is a summary of the fair valuations according to the inputs used as of September 30, 2008 in valuing the Portfolio’s assets and liabilities:


	Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Other Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)			Value at 9/30/2008
Investments, at value	$	0	$	907,144		$	2,054		$	909,198
Short Sales, at value		0		(103,932	)		0			(103,932	)
Other Financial Instruments⁺⁺		808		(5,211	)		(12,430	)		(16,833	)

Total	$	808	$	798,001		$	(10,376	)	$	788,433

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Portfolio during the period ending September 30, 2008:


	Beginning Balance at 12/31/2007			Net Purchases/ (Sales)		Accrued Discounts/ (Premiums)			Total Realized Gain/(Loss)			Total Unrealized Appreciation/ (Depreciation)			Net Transfers In/ (Out) of Level 3			Ending Balance at 09/30/2008
Investments, at value	$	2,931		$	1,169	$	(1	)	$	443		$	(394	)	$	(2,094	)	$	2,054
Other Financial Instruments⁺⁺		(1,218	)		491		0			(528	)		(11,079	)		(96	)		(12,430	)

Total	$	1,713		$	1,660	$	(1	)	$	(85	)	$	(11,473	)	$	(2,190	)	$	(10,376	)


⁺		See note 3 in the Supplementary Notes to Schedule of Investments for additional information.

⁺⁺		Other financial instruments may include open futures contracts, swap contracts, written options, and foreign currency contracts.

See Accompanying Notes

Schedule of Investments

Emerging Markets Bond Portfolio

September 30, 2008 (Unaudited)


		Principal
		Amount		Value
	(000s)		(000s)
BERMUDA 0.3%
BW GAS Ltd.
6.625% due 06/28/2017	$	480	$	495

Total Bermuda (Cost $478)				495

BRAZIL 16.8%
Brazil Notas do Tesouro Nacional Series B
6.000% due 05/15/2017	BRL	1,100		864
Brazil Notas do Tesouro Nacional Series F
10.000% due 01/01/2012		17,682		8,250
10.000% due 01/01/2017		7,490		3,136
Brazilian Government International Bond
6.000% due 01/17/2017	$	429		415
7.125% due 01/20/2037		100		103
7.875% due 03/07/2015		3,625		3,882
8.250% due 01/20/2034		2,590		2,940
8.750% due 02/04/2025		1,700		2,002
8.875% due 04/15/2024		350		419
10.250% due 01/10/2028	BRL	850		395
11.000% due 08/17/2040	$	2,000		2,512
12.500% due 01/05/2016	BRL	500		274
Embraer Overseas Ltd.
6.375% due 01/24/2017	$	300		278
Empresa Energetica de Sergipe
10.500% due 07/19/2013		200		218
GTL Trade Finance, Inc.
7.250% due 10/20/2017		400		384
ISA Capital do Brasil S.A.
7.875% due 01/30/2012		300		289
8.800% due 01/30/2017		700		674
Vale Overseas Ltd.
6.250% due 01/23/2017		500		469
6.875% due 11/21/2036		200		179

Total Brazil (Cost $28,588)				27,683

CAYMAN ISLANDS 0.1%
Petrobras International Finance Co.
6.125% due 10/06/2016	$	250		237

Total Cayman Islands (Cost $243)				237

CHILE 1.5%
CODELCO, Inc.
5.625% due 09/21/2035	$	200		166
6.150% due 10/24/2036		2,300		2,117
Empresa Nacional de Electricidad S.A.
8.350% due 08/01/2013		200		214

Total Chile (Cost $2,807)				2,497

CHINA 0.7%
Citic Resources Finance Ltd.
6.750% due 05/15/2014	$	200		152
Export-Import Bank of China
4.875% due 07/21/2015		550		521
Sino-Forest Corp.
9.125% due 08/17/2011		500		498

Total China (Cost $1,264)				1,171

COLOMBIA 4.9%
Colombia Government International Bond
7.375% due 01/27/2017	$	2,800		2,940
7.375% due 09/18/2037		1,130		1,134
8.250% due 12/22/2014		2,825		3,079
10.375% due 01/28/2033		225		307
10.750% due 01/15/2013	$	400		470
12.000% due 10/22/2015	COP	457,000		220

Total Colombia (Cost $8,225)				8,150

EGYPT 0.6%
Petroleum Export Ltd.
5.265% due 06/15/2011	$	391		389
Petroleum Export Ltd. II
6.340% due 06/20/2011		599		609

Total Egypt (Cost $981)				998

EL SALVADOR 0.4%
AES El Salvador Trust
6.750% due 02/01/2016	$	700		587
El Salvador Government International Bond
8.500% due 07/25/2011		150		158

Total El Salvador (Cost $842)				745

GUATEMALA 0.4%
Guatemala Government Bond
9.250% due 08/01/2013	$	570		637

Total Guatemala (Cost $570)				637

INDIA 0.4%
ICICI Bank Ltd.
5.750% due 01/12/2012	$	700		630

Total India (Cost $699)				630

INDONESIA 1.8%
Indonesia Government International Bond
6.875% due 03/09/2017	$	2,200		2,039
Majapahit Holding BV
7.250% due 10/17/2011		253		245
7.250% due 06/28/2017		400		354
7.875% due 06/29/2037		400		298

Total Indonesia (Cost $3,215)				2,936

KAZAKHSTAN 1.6%
Intergas Finance BV
6.375% due 05/14/2017	$	300		216
6.875% due 11/04/2011		600		540
Kazakhstan Temir Zholy Finance BV
6.500% due 05/11/2011		300		275
Tengizchevroil Finance Co. SARL
6.124% due 11/15/2014		1,857		1,583

Total Kazakhstan (Cost $3,071)				2,614

MALAYSIA 0.3%
Malaysia Government International Bond
8.750% due 06/01/2009	$	120		124
Tenaga Nasional Bhd.
7.500% due 11/01/2025		250		268
TNB Capital L Ltd.
5.250% due 05/05/2015		100		92

Total Malaysia (Cost $515)				484

MEXICO 7.5%
America Movil SAB de C.V.
5.500% due 03/01/2014	$	1,350		1,272
5.750% due 01/15/2015		200		189
8.460% due 12/18/2036	MXN	5,400		436
Banco Mercantil del Norte S.A.
5.875% due 02/17/2014	$	145		146
C5 Capital SPV Ltd.
6.196% due 12/01/2049		100		97
C8 Capital SPV Ltd.
6.640% due 12/31/2049		1,100		1,031
C10 Capital SPV Ltd.
6.722% due 12/31/2049		200		186
Desarrolladora Homex SAB de C.V.
7.500% due 09/28/2015		1,500		1,327
Hipotecaria Su Casita S.A.
8.500% due 10/04/2016		100		102
Mexican Bonos
7.250% due 12/15/2016	MXN	8,600		734
Mexico Government International Bond
6.750% due 09/27/2034	$	3,480		3,506
7.500% due 04/08/2033		2,460		2,694

		Shares
Mexico Government International Bond Warrants
0.000% due 10/09/2008		1		6

		Principal
		Amount
	(000s)
Pemex Project Funding Master Trust
6.625% due 06/15/2035	$	250		230
6.625% due 06/15/2038		200		182
Vitro SAB de C.V.
8.625% due 02/01/2012		150		119
9.125% due 02/01/2017		50		33

Total Mexico (Cost $13,140)				12,290

NETHERLANDS 0.5%
Rabobank Nederland NV
3.209% due 05/19/2010	$	770		768

Total Netherlands (Cost $770)				768

NEW ZEALAND 0.2%
ANZ National International Ltd.
6.200% due 07/19/2013	$	400		397

Total New Zealand (Cost $400)				397

PANAMA 5.3%
Panama Government International Bond
6.700% due 01/26/2036	$	600		570
7.125% due 01/29/2026		2,165		2,230
7.250% due 03/15/2015		1,150		1,199
8.875% due 09/30/2027		780		948
9.375% due 04/01/2029		3,053		3,801

Total Panama (Cost $8,991)				8,748

PERU 2.2%
Peru Government International Bond
6.550% due 03/14/2037	$	1,583		1,460
7.350% due 07/21/2025		500		500
8.375% due 05/03/2016		1,555		1,664

Total Peru (Cost $3,870)				3,624

PHILIPPINES 2.8%
Philippine Government International Bond
6.375% due 01/15/2032	$	100		93
8.375% due 02/15/2011		3,600		3,870
8.875% due 03/17/2015		74		83
9.500% due 02/02/2030		400		497

Total Philippines (Cost $4,529)				4,543

QATAR 0.7%
Ras Laffan Liquefied Natural Gas Co. Ltd. II
5.298% due 09/30/2020	$	1,000		911
Ras Laffan Liquefied Natural Gas Co. Ltd. III
6.332% due 09/30/2027		250	$	226

Total Qatar (Cost $1,170)				1,137

RUSSIA 23.5%
ABN AMRO Bank for OAO Gazprom
9.625% due 03/01/2013	$	9,510		9,335
Gaz Capital S.A.
5.440% due 11/02/2017	EUR	300		301
5.875% due 06/01/2015		200		213
6.212% due 11/22/2016	$	2,200		1,706
7.288% due 08/16/2037		1,900		1,336
8.625% due 04/28/2034		6,540		6,115
Gazinvest Luxembourg S.A. for Gazprombank
7.250% due 10/30/2008		1,000		985
Gazprom International S.A.
7.201% due 02/01/2020		684		619
Mobile Telesystems Finance S.A.
8.000% due 01/28/2012		150		132
RSHB Capital S.A. for OJSC Russian Agricultural Bank
6.299% due 05/15/2017		190		136
7.175% due 05/16/2013		1,900		1,616
Russia Government International Bond
7.500% due 03/31/2030		9,934		10,180
TNK-BP Finance S.A.
6.125% due 03/20/2012		200		159
6.625% due 03/20/2017		1,700		1,109
7.500% due 07/18/2016		2,100		1,475
TransCapitalInvest Ltd. for OJSC AK Transneft
6.103% due 06/27/2012		700		638
8.700% due 08/07/2018		1,200		1,075
UBS Luxembourg S.A. for OJSC Vimpel Communications
8.375% due 10/22/2011		350		309
UBS Luxembourg S.A. for Sberbank
6.230% due 02/11/2015		1,000		905
VTB Capital S.A.
6.609% due 10/31/2012		300		242

Total Russia (Cost $45,861)				38,586

SOUTH AFRICA 1.7%
South Africa Government International Bond
5.250% due 05/16/2013	EUR	400		520
5.875% due 05/30/2022	$	1,430		1,216
6.500% due 06/02/2014		750		737
7.375% due 04/25/2012		310		318

Total South Africa (Cost $3,005)				2,791

SOUTH KOREA 0.1%
Industrial Bank of Korea
4.000% due 05/19/2014	$	110		107
Korea Development Bank
5.750% due 09/10/2013		15		14
KT Corp.
4.875% due 07/15/2015		100		89

Total South Korea (Cost $223)				210

SWITZERLAND 0.5%
Credit Suisse New York
5.000% due 05/15/2013	$	100		93
UBS AG
5.750% due 04/25/2018		300		261
5.875% due 12/20/2017		480		427

Total Switzerland (Cost $878)				781

TRINIDAD AND TOBAGO 0.4%
Petroleum Co. of Trinidad & Tobago Ltd.
6.000% due 05/08/2022	$	700		658

Total Trinidad And Tobago (Cost $697)				658

TUNISIA 0.9%
Banque Centrale de Tunisie
4.750% due 04/07/2011	EUR	500		671
7.375% due 04/25/2012	$	800		837

Total Tunisia (Cost $1,456)				1,508

UKRAINE 2.1%
Ukraine Government International Bond
4.950% due 10/13/2015	EUR	300		275
6.385% due 06/26/2012	$	300		259
6.450% due 08/05/2009		1,150		1,104
6.875% due 03/04/2011		700		658
7.650% due 06/11/2013		1,300		1,086

Total Ukraine (Cost $3,864)				3,382

UNITED KINGDOM 0.5%
Barclays Bank PLC
7.700% due 04/29/2049	$	650		573
HBOS PLC
6.750% due 05/21/2018		400		336

Total United Kingdom (Cost $1,048)				909

UNITED STATES 27.2%
Asset-Backed Securities 0.6%
Ford Credit Auto Owner Trust
3.908% due 06/15/2012	$	1,000		975

Corporate Bonds & Notes 5.9%
American International Group, Inc.
8.175% due 05/15/2058		900		144
Bank of America Corp.
8.000% due 12/29/2049		1,100		872
8.125% due 12/29/2049		800		647
Citigroup Capital XXI
8.300% due 12/21/2077		840		626
Citigroup, Inc.
5.500% due 04/11/2013		700		612
8.400% due 04/29/2049		1,700		1,159
Goldman Sachs Group, Inc.
6.150% due 04/01/2018		200		167
6.750% due 10/01/2037		1,100		735
Hyundai Motor Manufacturing Alabama LLC
5.300% due 12/19/2008		500		501
John Deere Capital Corp.
3.567% due 06/10/2011		800		802
Merrill Lynch & Co., Inc.
6.875% due 04/25/2018		1,050		931
Morgan Stanley
5.950% due 12/28/2017		1,900		1,192
6.000% due 04/28/2015		1,200		817
Wachovia Corp.
5.500% due 05/01/2013		250		207
Wells Fargo Capital XIII
7.700% due 12/29/2049		300		262

				9,674

Mortgage-Backed Securities 1.5%
American Home Mortgage Assets
3.417% due 10/25/2046		155		61
American Home Mortgage Investment Trust
5.660% due 09/25/2045		39		26
Banc of America Commercial Mortgage, Inc.
5.838% due 06/10/2049		200		170
5.936% due 02/10/2051		200		171
Banc of America Mortgage Securities, Inc.
5.436% due 02/25/2036		17		15
Bear Stearns Adjustable Rate Mortgage Trust
5.010% due 01/25/2035		15		13
5.474% due 05/25/2047		88		74
Citigroup Commercial Mortgage Trust
5.889% due 12/10/2049		100		86
Citigroup Mortgage Loan Trust, Inc.
6.014% due 09/25/2037		181		127
Commercial Mortgage Pass-Through Certificates
5.306% due 12/10/2046		200		174
Countrywide Alternative Loan Trust
3.382% due 12/20/2046		213		130
3.398% due 07/20/2046		104		64
3.537% due 11/20/2035		42		27
3.855% due 12/25/2035		54		33
GSR Mortgage Loan Trust
5.178% due 01/25/2036		37		33
Indymac Index Mortgage Loan Trust
3.447% due 07/25/2035		9		6
JPMorgan Chase Commercial Mortgage Securities Corp.
5.336% due 05/15/2047		200		173
5.794% due 02/12/2051		200		170
5.937% due 02/12/2049		100		85
LB-UBS Commercial Mortgage Trust
5.430% due 02/15/2040		168		141
Morgan Stanley Capital I
5.809% due 12/12/2049		200		171
Morgan Stanley Mortgage Loan Trust
5.417% due 06/25/2036		20		17
Residential Accredit Loans, Inc.
3.407% due 12/25/2046		700		282
WaMu Mortgage Pass-Through Certificates
3.555% due 02/25/2047		112		59
5.468% due 02/25/2037		106		89
Wells Fargo Mortgage-Backed Securities Trust
5.594% due 07/25/2036		39		31

				2,428

U.S. Government Agencies 19.2%
Fannie Mae
5.000% due 03/01/2038 - 05/01/2038 (d)		2,795		2,726
5.000% due 10/01/2038 - 11/01/2038		4,500		4,378
5.500% due 06/01/2037 - 08/01/2037 (d)		1,374		1,372
5.500% due 10/01/2038		12,900		12,850
6.000% due 01/01/2033 - 10/01/2038		1,784		1,807
6.000% due 03/01/2036 - 05/01/2038 (d)		7,870		7,982
Freddie Mac
5.704% due 03/01/2036		531		535

				31,650

Total United States (Cost $48,581)				44,727

URUGUAY 2.0%
Uruguay Government International Bond
3.700% due 06/26/2037 (b)	UYU	4,933		175
5.000% due 09/14/2018 (b)		6,806		325
7.625% due 03/21/2036	$	400		382
8.000% due 11/18/2022		2,122		2,132
9.250% due 05/17/2017		200		226

Total Uruguay (Cost $3,424)				3,240

VENEZUELA 5.6%
Petroleos de Venezuela S.A.
5.250% due 04/12/2017	$	1,350		732
5.375% due 04/12/2027		600		268
Venezuela Government International Bond
3.791% due 04/20/2011		1,200		986
5.375% due 08/07/2010		3,850		3,426
5.750% due 02/26/2016		770		503
6.000% due 12/09/2020		1,900		1,088
8.500% due 10/08/2014		500		395
9.375% due 01/13/2034		50		35
10.750% due 09/19/2013		1,850		1,707

Total Venezuela (Cost $11,593)				9,140

VIETNAM 0.1%
Vietnam Government International Bond
6.875% due 01/15/2016	$	100		94

Total Vietnam (Cost $99)				94

SHORT-TERM INSTRUMENTS 1.9%
Repurchase Agreements 0.4%
State Street Bank and Trust Co.
1.000% due 10/01/2008	$	579		579
(Dated 09/30/2008. Collateralized by Fannie Mae 5.500% due 12/14/2022 valued at $592. Repurchase proceeds are $579.)

U.S. Treasury Bills 1.5%
1.149% due 11/28/2008 - 12/26/2008 (a)(c)		2,500		2,487

Total Short-Term Instruments (Cost $3,075)				3,066

Total Investments 115.5% (Cost $208,172)			$	189,876
Written Options (g) (0.0%) (Premiums $26)				(37	)
Other Assets and Liabilities (Net) (15.5%)				(25,412	)

Net Assets 100.0%			$	164,427

Notes to Schedule of Investments (amounts in thousands*, except number of contracts):

* A zero balance may reflect actual amounts rounding to less than one thousand.

(a) Coupon represents a weighted average rate.

(b) Principal amount of security is adjusted for inflation.

(c) Securities with an aggregate market value of $2,238 have been pledged as collateral for swap and swaption contracts on September 30, 2008.

(d) The average amount of borrowings while outstanding during the period ended September 30, 2008 was $10,885 at a weighted average interest rate of 3.140%. On September 30, 2008, securities valued at $11,898 were pledged as collateral for reverse repurchase agreements.

(e) Cash of $1,087 have been pledged as collateral for the following open futures contracts on September 30, 2008:


Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Eurodollar December Futures	Long	12/2008	16	$	(4	)
90-Day Eurodollar December Futures	Long	12/2009	615		509

				$	505

(f) Swap agreements outstanding on September 30, 2008:

Credit Default Swaps on Corporate and Sovereign Issues - Buy Protection⁽¹⁾


Reference Obligation	Fixed Deal (Pay) Rate		Maturity Date	Counterparty	Implied Credit Spread at September 30, 2008⁽³⁾		Notional Amount⁽⁴⁾		Market Value		Upfront Premiums Paid/ (Received)		Unrealized Appreciation
Morgan Stanley 6.000% due 04/28/2015	(1.040	%)	06/20/2015	BCLY	9.326	%	$	100	$	29	$	0	$	29
Morgan Stanley 6.000% due 04/28/2015	(1.200	%)	06/20/2015	BOA	9.326	%		100		29		0		29
Morgan Stanley 6.000% due 04/28/2015	(1.210	%)	06/20/2015	BOA	9.326	%		100		28		0		28

									$	86	$	0	$	86

Credit Default Swaps on Corporate and Sovereign Issues - Sell Protection⁽²⁾


Reference Obligation	Fixed Deal Receive Rate		Maturity Date	Counterparty	Implied Credit Spread at September 30, 2008⁽³⁾		Notional Amount⁽⁴⁾		Market Value			Upfront Premiums Paid/ (Received)		Unrealized Appreciation/ (Depreciation)
Brazilian Government International Bond 12.250% due 03/06/2030	1.360	%	08/20/2011	BCLY	1.301	%	$	600	$	2		$	0	$	2
Brazilian Government International Bond 12.250% due 03/06/2030	0.410	%	04/20/2009	JPM	0.411	%		790		2			0		2
Brazilian Government International Bond 12.250% due 03/06/2030	2.100	%	08/20/2016	MSC	2.085	%		250		1			0		1
CEMEX SAB de C.V. 9.625% due 10/01/2009	1.050	%	12/20/2016	JPM	3.803	%		500		(77	)		0		(77	)
Colombia Government International Bond 10.375% due 01/28/2033	0.760	%	03/20/2010	MSC	1.040	%		250		(1	)		0		(1	)
Colombia Government International Bond 10.375% due 01/28/2033	1.070	%	01/20/2012	UBS	1.643	%		1,000		(16	)		0		(16	)
Deutsche Bank AG 5.500% due 05/18/2011	0.550	%	12/20/2008	RBS	1.543	%		1,900		(1	)		0		(1	)
Indonesia Government International Bond 6.750% due 03/10/2014	1.000	%	06/20/2009	BCLY	1.075	%		790		0			0		0
Indonesia Government International Bond 6.750% due 03/10/2014	1.400	%	12/20/2011	BCLY	3.088	%		500		(24	)		0		(24	)
Indonesia Government International Bond 6.750% due 03/10/2014	2.320	%	12/20/2016	BCLY	4.066	%		1,000		(103	)		0		(103	)
Indonesia Government International Bond 6.750% due 03/10/2014	2.280	%	06/20/2013	CITI	3.574	%		375		(19	)		0		(19	)
Indonesia Government International Bond 6.750% due 03/10/2014	1.580	%	12/20/2011	CITI	3.088	%		100		(4	)		0		(4	)
Indonesia Government International Bond 6.750% due 03/10/2014	2.290	%	12/20/2016	CITI	4.066	%		200		(21	)		0		(21	)
Indonesia Government International Bond 6.750% due 03/10/2014	2.330	%	06/20/2013	DUB	3.574	%		375		(18	)		0		(18	)
Indonesia Government International Bond 6.750% due 03/10/2014	2.385	%	09/20/2016	RBS	4.036	%		200		(19	)		0		(19	)
Indonesia Government International Bond 6.750% due 03/10/2014	2.480	%	09/20/2016	RBS	4.036	%		1,000		(90	)		0		(90	)
Indonesia Government International Bond 6.750% due 03/10/2014	1.525	%	12/20/2011	RBS	3.088	%		1,400		(63	)		0		(63	)
Indonesia Government International Bond 6.750% due 03/10/2014	2.345	%	12/20/2016	RBS	4.066	%		100		(10	)		0		(10	)
Indonesia Government International Bond 6.750% due 03/10/2014	2.320	%	06/20/2013	UBS	3.574	%		1,000		(50	)		0		(50	)
JSC Gazprom 8.625% due 04/28/2034	1.000	%	11/20/2008	CSFB	3.459	%		1,000		0			0		0
JSC Gazprom 8.625% due 04/28/2034	1.320	%	12/20/2008	MSC	3.467	%		3,000		(3	)		0		(3	)
JSC Gazprom 9.625% due 03/01/2013	0.945	%	10/20/2011	UBS	4.240	%		2,500		(212	)		0		(212	)
Malaysia Government International Bond 7.500% due 07/15/2011	0.380	%	06/20/2009	JPM	1.000	%		790		(3	)		0		(3	)
Mexico Government International Bond 11.500% due 05/15/2026	2.840	%	01/04/2013	JPM	1.355	%		1,600		103			0		103
Mexico Government International Bond 7.500% due 04/08/2033	0.695	%	01/20/2017	UBS	1.726	%		300		(20	)		0		(20	)
Panama Government International Bond 8.875% due 09/30/2027	0.500	%	04/20/2009	DUB	0.854	%		790		0			0		0
Peru Government International Bond 8.750% due 11/21/2033	1.220	%	10/20/2011	MSC	1.416	%		500		0			0		0
Petroleos Mexicanos 9.500% due 09/15/2027	1.130	%	04/20/2016	JPM	2.079	%		1,400		(73	)		0		(73	)
Philippine Government International Bond 10.625% due 03/16/2025	1.770	%	09/20/2012	BCLY	2.622	%		210		(6	)		0		(6	)
Philippine Government International Bond 10.625% due 03/16/2025	1.920	%	09/20/2012	BCLY	2.622	%		1,000		(24	)		0		(24	)
Philippine Government International Bond 10.625% due 03/16/2025	2.240	%	03/20/2013	CITI	2.798	%		1,700		(36	)		0		(36	)
Philippine Government International Bond 10.625% due 03/16/2025	2.340	%	03/20/2013	CITI	2.798	%		5,600		(97	)		0		(97	)
Philippine Government International Bond 10.625% due 03/16/2025	2.380	%	03/20/2013	CITI	2.798	%		1,000		(16	)		0		(16	)
Philippine Government International Bond 10.625% due 03/16/2025	2.730	%	03/20/2018	CITI	3.499	%		1,400		(71	)		0		(71	)
Philippine Government International Bond 10.625% due 03/16/2025	2.770	%	06/20/2018	CITI	3.524	%		2,400		(121	)		0		(121	)
Philippine Government International Bond 10.625% due 03/16/2025	1.770	%	12/20/2017	CITI	3.474	%		700		(78	)		0		(78	)
Philippine Government International Bond 10.625% due 03/16/2025	2.340	%	03/20/2013	DUB	2.798	%		300		(5	)		0		(5	)
Philippine Government International Bond 10.625% due 03/16/2025	1.770	%	09/20/2012	MSC	2.622	%		40		(1	)		0		(1	)
Philippine Government International Bond 10.625% due 03/16/2025	2.440	%	09/20/2017	MSC	3.447	%		800		(52	)		0		(52	)
Philippine Government International Bond 10.625% due 03/16/2025	1.790	%	09/20/2012	UBS	2.622	%		160		(5	)		0		(5	)
RSHB Capital S.A. for OJSC Russian Agricultural Bank 7.175% due 05/16/2013	2.000	%	10/20/2012	MSC	7.135	%		400		(63	)		0		(63	)
Russia Government International Bond 7.500% due 03/31/2030	1.650	%	07/20/2011	BCLY	7.047	%		800		(100	)		0		(100	)
Russia Government International Bond 7.500% due 03/31/2030	1.870	%	10/20/2012	CSFB	7.135	%		200		(32	)		0		(32	)
Russia Government International Bond 7.500% due 03/31/2030	0.645	%	04/20/2009	JPM	2.317	%		790		(5	)		0		(5	)
Russia Government International Bond 7.500% due 03/31/2030	2.310	%	01/21/2014	MLP	2.667	%		525		(6	)		0		(6	)
Russia Government International Bond 7.500% due 03/31/2030	3.160	%	10/02/2013	MLP	2.650	%		450		17			0		17
Ukraine Government International Bond 7.650% due 06/11/2013	1.700	%	03/20/2011	BCLY	6.568	%		500		(53	)		0		(53	)
Ukraine Government International Bond 7.650% due 06/11/2013	1.500	%	01/20/2012	MLP	6.817	%		500		(72	)		0		(72	)
Ukraine Government International Bond 7.650% due 06/11/2013	1.600	%	01/20/2012	MSC	6.817	%		100		(14	)		0		(14	)
Ukraine Government International Bond 7.650% due 06/11/2013	1.560	%	04/20/2009	MSC	5.404	%		790		(11	)		0		(11	)
Ukraine Government International Bond 7.650% due 06/11/2013	1.480	%	03/20/2012	UBS	6.865	%		1,000		(155	)		0		(155	)
Uruguay Government International Bond 7.875% due 01/15/2033	1.050	%	01/20/2012	DUB	1.733	%		1,000		(19	)		0		(19	)

									$	(1,744	)	$	0	$	(1,744	)

Credit Default Swaps on Credit Indices - Sell Protection⁽²⁾


Reference Obligation	Fixed Deal Receive Rate		Maturity Date	Counterparty	Notional Amount⁽⁴⁾		Market Value⁽⁵⁾			Upfront Premiums Paid/ (Received)		Unrealized Appreciation/ (Depreciation)
CDX.EM-9 Index	2.650	%	06/20/2013	GSC	$	2,800	$	(54	)	$	4	$	(58	)
CDX.EM-9 Index	2.650	%	06/20/2013	MLP		500		(10	)		12		(22	)
CDX.IG-9 5 Year Index 30-100%	0.701	%	12/20/2012	DUB		1,300		15			0		15
CDX.IG-9 5 Year Index 30-100%	0.708	%	12/20/2012	DUB		400		5			0		5
CDX.IG-9 5 Year Index 30-100%	0.710	%	12/20/2012	DUB		200		2			0		2
CDX.IG-9 5 Year Index 30-100%	0.695	%	12/20/2012	GSC		300		3			0		3
CDX.IG-9 5 Year Index 30-100%	0.705	%	12/20/2012	GSC		400		5			0		5
CDX.IG-9 5 Year Index 30-100%	0.720	%	12/20/2012	GSC		3,300		40			0		40

							$	6		$	16	$	(10	)

⁽¹⁾

If the Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation.

⁽²⁾

⁽³⁾

⁽⁴⁾	The maximum potential amount the Portfolio 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 that particular swap agreement.

⁽⁵⁾

Interest Rate Swaps


Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Maturity Date	Counterparty	Notional Amount		Market Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	DUB	$	2,200	$	24		$	17		$	7
Pay	3-Month USD-LIBOR	5.000	%	12/17/2018	MSC		11,700		445			141			304
Pay	3-Month USD-LIBOR	5.000	%	12/17/2018	RBS		500		19			16			3
Receive	3-Month USD-LIBOR	5.000	%	12/17/2023	BCLY		3,700		(135	)		59			(194	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2023	MLP		6,800		(248	)		(102	)		(146	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2028	GSC		300		(11	)		(18	)		7
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	BCLY		1,200		(53	)		33			(86	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	CITI		4,200		(187	)		92			(279	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	MSC		3,000		(133	)		11			(144	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	RBS		2,100		(94	)		(145	)		51
Pay	6-Month AUD Bank Bill	7.250	%	06/15/2013	CSFB	AUD	1,900		52			7			45
Pay	6-Month EUR-LIBOR	4.500	%	03/18/2014	GSC	EUR	300		(2	)		(6	)		4
Pay	6-Month GBP-LIBOR	5.000	%	03/18/2014	GSC	GBP	100		0			(2	)		2
Pay	6-Month GBP-LIBOR	5.000	%	03/18/2014	RBS		400		(2	)		(10	)		8

								$	(325	)	$	93		$	(418	)

(g) Written options outstanding on September 30, 2008:

Options on Exchange-Traded Futures Contracts


Description	Exercise Price		Expiration Date	# of Contracts	Premium		Value
Call - CBOT U.S. Treasury 10-Year Note December Futures	$	118.000	11/21/2008	21	$	16	$	17
Put - CBOT U.S. Treasury 10-Year Note December Futures		112.000	11/21/2008	21		10		20

					$	26	$	37

(h) Short sales outstanding on September 30, 2008:


Description	Coupon		Maturity Date		Principal Amount		Proceeds		Value	⁽⁶⁾
U.S. Treasury Notes	2.500	%	03/31/2013	$	650	$	641	$	641

⁽⁶⁾	Market value includes $1 of interest payable on short sales.

(i) Foreign currency contracts outstanding on September 30, 2008:


Type	Currency	Counterparty	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Sell	BRL	CSFB	15,551	12/2008	$	306	$	0		$	306
Buy		DUB	130	12/2008		0		(13	)		(13	)
Sell		HSBC	8,978	12/2008		549		0			549
Buy		MSC	2,103	12/2008		0		(153	)		(153	)
Sell		MSC	73	12/2008		2		0			2
Sell		UBS	4,016	12/2008		261		0			261
Buy	CLP	MSC	50,032	12/2008		0		(13	)		(13	)
Sell		MSC	476,500	12/2008		141		0			141
Buy		JPM	431,978	05/2009		0		(136	)		(136	)
Buy	CNY	DUB	2,916	10/2008		0		0			0
Sell		DUB	6,228	10/2008		3		0			3
Buy		JPM	3,312	10/2008		1		0			1
Buy		BCLY	4,342	11/2008		0		(10	)		(10	)
Buy		BOA	1,371	11/2008		0		(3	)		(3	)
Buy		DUB	7,069	11/2008		0		(16	)		(16	)
Buy		HSBC	1,725	11/2008		0		(4	)		(4	)
Buy		JPM	2,370	11/2008		0		(6	)		(6	)
Buy		UBS	3,679	11/2008		0		(9	)		(9	)
Buy		JPM	2,990	09/2009		3		0			3
Sell	COP	BCLY	28,912	12/2008		3		0			3
Sell		CITI	37,280	12/2008		3		0			3
Sell		MSC	518,781	12/2008		33		0			33
Buy	CZK	DUB	861	12/2008		2		0			2
Buy	EUR	CITI	1,551	10/2008		6		0			6
Sell		CITI	1,552	10/2008		0		(5	)		(5	)
Buy		JPM	79	10/2008		0		(5	)		(5	)
Sell		UBS	1,630	10/2008		91		0			91
Sell	GBP	UBS	952	11/2008		33		0			33
Buy	IDR	BCLY	4,424,640	10/2008		0		(12	)		(12	)
Sell		DUB	120,189	10/2008		0		0			0
Buy	ILS	BCLY	42	11/2008		1		0			1
Buy		HSBC	42	11/2008		1		0			1
Sell		HSBC	85	11/2008		0		(1	)		(1	)
Buy	JPY	BCLY	84,225	10/2008		0		(1	)		(1	)
Sell		BCLY	16,054	10/2008		1		0			1
Sell		CITI	106,296	10/2008		0		(1	)		(1	)
Sell		CSFB	31,881	10/2008		0		0			0
Buy		HSBC	88,707	10/2008		0		(16	)		(16	)
Buy		MLP	87,626	10/2008		0		(16	)		(16	)
Buy		RBS	96,049	10/2008		0		(12	)		(12	)
Sell		UBS	106,327	10/2008		0		(1	)		(1	)
Sell		BCLY	84,225	11/2008		2		0			2
Buy	MXN	BCLY	1,042	11/2008		0		(6	)		(6	)
Buy		CITI	13,710	11/2008		0		(40	)		(40	)
Sell		CITI	218	11/2008		0		0			0
Buy		HSBC	607	11/2008		0		(3	)		(3	)
Buy		JPM	607	11/2008		0		(3	)		(3	)
Sell		MSC	533	11/2008		2		0			2
Sell		RBC	18,222	11/2008		61		0			61
Buy		UBS	3,007	11/2008		0		(22	)		(22	)
Sell		CITI	13,710	05/2009		37		0			37
Buy	MYR	BCLY	1,548	11/2008		0		(24	)		(24	)
Sell		BCLY	4,032	11/2008		34		0			34
Buy		DUB	2,802	11/2008		0		(49	)		(49	)
Sell		DUB	498	11/2008		5		0			5
Buy		HSBC	98	11/2008		0		(1	)		(1	)
Sell		HSBC	929	11/2008		9		0			9
Buy		JPM	2,029	11/2008		0		(35	)		(35	)
Sell		UBS	996	11/2008		10		0			10
Sell	PHP	BCLY	39,004	11/2008		21		0			21
Sell		DUB	31,697	11/2008		16		0			16
Buy		HSBC	23,000	11/2008		0		(32	)		(32	)
Buy		JPM	23,100	11/2008		0		(28	)		(28	)
Sell		JPM	10,591	11/2008		5		0			5
Buy		BCLY	5,400	02/2009		0		(6	)		(6	)
Buy		DUB	2,600	02/2009		0		(3	)		(3	)
Buy		HSBC	6,430	02/2009		0		(7	)		(7	)
Buy		JPM	9,052	02/2009		0		(7	)		(7	)
Buy		MLP	2,000	02/2009		0		(3	)		(3	)
Buy		MSC	7,200	02/2009		0		(8	)		(8	)
Buy		RBS	2,000	02/2009		0		(3	)		(3	)
Buy		LEH	1,300	12/2010		0		(1	)		(1	)
Sell		LEH	1,300	12/2010		0		(1	)		(1	)
Sell	PLN	DUB	700	11/2008		27		0			27
Buy		HSBC	294	05/2009		0		(9	)		(9	)
Buy	RON	DUB	3,623	01/2009		0		(138	)		(138	)
Sell		DUB	3,623	01/2009		13		0			13
Sell	RUB	HSBC	28,354	11/2008		22		0			22
Buy		RBS	57,654	05/2009		0		(170	)		(170	)
Buy	SGD	BCLY	42	10/2008		0		(1	)		(1	)
Sell		CITI	501	10/2008		1		0			1
Buy		CSFB	188	10/2008		0		(6	)		(6	)
Buy		DUB	110	10/2008		0		(4	)		(4	)
Buy		JPM	690	10/2008		0		(23	)		(23	)
Sell		JPM	729	10/2008		3		0			3
Buy		UBS	200	10/2008		0		(6	)		(6	)
Buy		BCLY	197	11/2008		0		(6	)		(6	)
Sell		BCLY	56	11/2008		1		0			1
Buy		BOA	95	11/2008		0		(4	)		(4	)
Buy		CITI	140	11/2008		0		(2	)		(2	)
Sell		DUB	225	11/2008		3		0			3
Buy		JPM	144	11/2008		0		(2	)		(2	)
Buy		UBS	95	11/2008		0		(4	)		(4	)
Buy		CITI	501	12/2008		0		(1	)		(1	)
Buy		JPM	727	12/2008		0		(3	)		(3	)
Buy	SKK	MSC	1,079	01/2009		0		(5	)		(5	)
Buy	ZAR	BCLY	643	12/2008		0		(3	)		(3	)
Sell		JPM	12,298	12/2008		58		0			58
Buy		UBS	11,561	12/2008		2		0			2

					$	1,772	$	(1,102	)	$	670

(j) Fair Value Measurements⁺

The following is a summary of the fair valuations according to the inputs used as of September 30, 2008 in valuing the Portfolio’s assets and liabilities:


	Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Other Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)		Value at 9/30/2008

Investments, at value	$	0	$	189,134		$	742	$	189,876
Short Sales, at value		0		(640	)		0		(640	)
Other Financial Instruments⁺⁺		505		(1,522	)		69		(948	)

Total	$	505	$	186,972		$	811	$	188,288

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Portfolio during the period ending September 30, 2008:


	Beginning Balance at 12/31/2007			Net Purchases/ (Sales)		Accrued Discounts/ (Premiums)		Total Realized Gain/ (Loss)		Total Unrealized Appreciation/ (Depreciation)			Net Transfers In/(Out) of Level 3		Ending Balance at 09/30/2008

Investments, at value	$	0		$	730	$	1	$	0	$	11		$	0	$	742
Other Financial Instruments⁺⁺		(7	)		0		0		0		(118	)		194		69

Total	$	(7	)	$	730	$	1	$	0	$	(107	)	$	194	$	811

⁺	See note 3 in the Supplementary Notes to Schedule of Investments for additional information.

⁺⁺	Other financial instruments may include open futures contracts, swap contracts, written options, and foreign currency contracts.

See Accompanying Notes

Schedule of Investments

Foreign Bond Portfolio (Unhedged)

September 30, 2008 (Unaudited)


	Principal Amount (000s)		Value (000s)
CANADA 11.5%
Canada Housing Trust No. 1
3.600% due 06/15/2013	CAD	300	$	279
Column Canada Issuer Corp.
5.147% due 05/12/2034		24		23
Merrill Lynch Financial Assets, Inc.
4.501% due 06/12/2035		28		26

Total Canada (Cost $341)				328

GERMANY 11.0%
Republic of Germany
4.750% due 07/04/2034	EUR	100		143
6.250% due 01/04/2030		100		169

Total Germany (Cost $318)				312

UNITED STATES 24.0%
U.S. Government Agencies 24.0%
Fannie Mae
5.000% due 10/01/2038	$	600		584
Ginnie Mae
6.000% due 09/20/2038		100		101

Total United States (Cost $694)				685

SHORT-TERM INSTRUMENTS 26.4%
Commercial Paper 3.5%
HSBC Americas, Inc.
2.770% due 10/15/2008	$	100		100

Repurchase Agreements 22.9%
State Street Bank and Trust Co.
1.000% due 10/01/2008		655		655
(Dated 09/30/2008. Collateralized by Fannie Mae 5.500% due 12/14/2022 valued at $668. Repurchase proceeds are $655.)

Total Short-Term Instruments (Cost $755)				755

PURCHASED OPTIONS (c) 0.0% (Cost $0)				1
Total Investments 72.9% (Cost $2,108)			$	2,081
Other Assets and Liabilities (Net) 27.1%				773

Net Assets 100.0%			$	2,854

Notes to Schedule of Investments (amounts in thousands*, except number of contracts):

* A zero balance may reflect actual amounts rounding to less than one thousand.

(a) Cash of $132 has been pledged as collateral for the following open futures contracts on September 30, 2008:


Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
3-Month Canadian Bankers’ Acceptance December Futures	Long	12/2008	1	$	0
3-Month Canadian Bankers’ Acceptance December Futures	Short	12/2008	4		3
90-Day Euribor December Futures	Long	12/2008	1		0
90-Day Euribor December Futures	Long	12/2009	2		4
90-Day Euribor March Futures	Long	03/2009	5		8
90-Day Euribor March Futures Put Options Strike @ EUR 95.250	Short	03/2009	1		0
90-Day Eurodollar December Futures	Long	12/2008	3		(1	)
90-Day Eurodollar December Futures	Long	12/2009	6		1
90-Day Eurodollar March Futures	Long	03/2009	5		1
Euro-Bobl December Futures	Long	12/2008	3		3
Euro-Bobl December Futures Put Options Strike @ EUR 100.000	Long	12/2008	3		0
Euro-Schatz December Futures Put Options Strike @ EUR 100.000	Long	12/2008	1		0
Japan Government 10-Year Bond December Futures	Long	12/2008	1		6
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures Put Options Strike @ GBP 92.000	Short	12/2009	1		0
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures Put Options Strike @ GBP 93.000	Short	06/2009	1		1

				$	26

(b) Swap agreements outstanding on September 30, 2008:

Interest Rate Swaps


Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Maturity Date	Counterparty	Notional Amount		Market Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
Pay	3-Month USD-LIBOR	4.000	%	06/17/2011	DUB	$	900	$	5		$	2		$	3
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	MLP		100		(4	)		1			(5	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	MSC		700		(27	)		(26	)		(1	)
Pay	6-Month GBP-LIBOR	5.000	%	03/18/2014	HSBC	GBP	100		0			0			0
Pay	6-Month GBP-LIBOR	5.000	%	03/18/2014	MSC		300		(1	)		(1	)		0
Receive	6-Month JPY-LIBOR	1.500	%	06/17/2013	BCLY	JPY	20,000		(1	)		1			(2	)

								$	(28	)	$	(23	)	$	(5	)

Options on Exchange-Traded Futures Contracts


Description	Exercise Price		Expiration Date	# of Contracts	Cost		Value
Put - CBOT U.S. Treasury 10-Year Note December Futures	$	99.000	11/21/2008	1	$	0	$	0
Put - CBOT U.S. Treasury 30-Year Bond December Futures		91.000	11/21/2008	1		0		0

					$	0	$	0

Foreign Currency Options


Description	Exercise Price		Expiration Date	Notional Amount		Cost		Value
Call - OTC USD versus JPY	JPY	125.000	11/05/2008	$	1,000	$	0	$	0
Put - OTC EUR versus USD	$	1.255	10/10/2008	EUR	900		0		1
Put - OTC GBP versus USD		1.495	10/08/2008	GBP	100		0		0

						$	0	$	1

Options on Securities


Description	Strike Price		Expiration Date	Notional Amount		Cost		Value
Put - OTC Fannie Mae 5.000% due 12/01/2038	$	72.000	12/04/2008	$	600	$	0	$	0
Put - OTC Fannie Mae 5.500% due 11/01/2038		76.000	11/06/2008		600		0		0

						$	0	$	0

(d) Written options outstanding on September 30, 2008:

Foreign Currency Options


Description	Exercise Price		Expiration Date	Notional Amount		Premium		Value
Put - OTC EUR versus USD	$	1.390	10/07/2008	EUR	15	$	0	$	0
Put - OTC GBP versus USD		1.710	10/10/2008	GBP	7		0		0

						$	0	$	0

(e) Foreign currency contracts outstanding on September 30, 2008:


Type	Currency	Counterparty	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	AUD	BCLY	2	10/2008	$	0	$	0		$	0
Buy		DUB	5	10/2008		0		0			0
Buy		UBS	8	10/2008		0		0			0
Buy	CAD	RBC	7	10/2008		0		0			0
Buy	CNY	BCLY	55	11/2008		0		0			0
Buy		BCLY	78	05/2009		0		(1	)		(1	)
Buy		CITI	131	05/2009		0		(1	)		(1	)
Buy		HSBC	33	05/2009		0		0			0
Sell		HSBC	34	05/2009		0		0			0
Buy		JPM	59	05/2009		0		(1	)		(1	)
Buy		MSC	26	05/2009		0		0			0
Buy		BCLY	19	07/2009		0		0			0
Buy		DUB	45	07/2009		0		0			0
Buy		HSBC	13	07/2009		0		0			0
Buy		JPM	26	07/2009		0		0			0
Buy		BCLY	25	05/2010		0		(1	)		(1	)
Buy		MLP	25	05/2010		0		(1	)		(1	)
Buy	DKK	MSC	133	12/2008		0		(1	)		(1	)
Sell	EUR	BCLY	6	10/2008		1		0			1
Sell		BOA	3	10/2008		0		0			0
Buy		CITI	904	10/2008		3		0			3
Sell		CITI	904	10/2008		0		(4	)		(4	)
Buy		DUB	5	10/2008		0		0			0
Buy		HSBC	4	10/2008		0		0			0
Buy		UBS	904	10/2008		0		(50	)		(50	)
Buy	GBP	HSBC	2	10/2008		0		0			0
Sell		UBS	11	10/2008		1		0			1
Buy		UBS	123	11/2008		0		(4	)		(4	)
Buy	JPY	DUB	122,622	10/2008		22		0			22
Buy		RBS	2,238	10/2008		0		0			0
Buy	MYR	BCLY	13	11/2008		0		0			0
Sell		BCLY	31	11/2008		0		0			0
Buy		HSBC	144	11/2008		0		(3	)		(3	)
Sell		HSBC	27	11/2008		0		0			0
Sell		JPM	33	11/2008		0		0			0
Sell	PHP	BCLY	46	11/2008		0		0			0
Buy		JPM	300	11/2008		0		(1	)		(1	)
Sell		JPM	365	11/2008		0		0			0
Buy		JPM	521	02/2009		0		0			0
Sell	RUB	DUB	124	11/2008		0		0			0
Buy		HSBC	383	11/2008		0		(1	)		(1	)
Sell		HSBC	248	11/2008		1		0			1
Buy	SEK	RBS	157	10/2008		0		(1	)		(1	)
Buy	SGD	BCLY	11	10/2008		0		(1	)		(1	)
Buy		JPM	20	10/2008		0		(1	)		(1	)
Sell		UBS	31	10/2008		0		0			0
Sell		BCLY	17	11/2008		0		0			0
Sell		DUB	9	11/2008		0		0			0
Buy		JPM	5	11/2008		0		0			0
Buy		UBS	31	11/2008		0		0			0

					$	28	$	(72	)	$	(44	)

(f) Fair Value Measurements⁺

The following is a summary of the fair valuations according to the inputs used as of September 30, 2008 in valuing the Portfolio's assets and liabilities:


	Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Other Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)		Value at 9/30/2008
Investments, at value	$	0	$	2,081		$	0	$	2,081
Other Financial Instruments⁺⁺		27		(50	)		0		(23	)

Total	$	27	$	2,031		$	0	$	2,058

⁺	See note 3 in the Supplementary Notes to Schedule of Investments for additional information.

⁺⁺	Other financial instruments may include open futures contracts, swap contracts, written options, and foreign currency contracts.

See Accompanying Notes

Schedule of Investments

Foreign Bond Portfolio (U.S. Dollar-Hedged)

September 30, 2008 (Unaudited)


	Principal Amount (000s)		Value (000s)
	Principal Amount (000s)		Value (000s)
AUSTRALIA 0.8%
Medallion Trust
2.941% due 05/25/2035	$	178	$	168
Puma Finance Ltd.
7.520% due 08/22/2037	AUD	244		186
Torrens Trust
7.873% due 10/19/2038		408		317

Total Australia (Cost $788)				671

CANADA 4.0%
Broadway Credit Card Trust
5.234% due 06/17/2011	CAD	500		474
Canada Housing Trust No. 1
3.550% due 09/15/2013		700		648
Canadian Government Bond
4.000% due 06/01/2016		600		579
Canadian Imperial Bank of Commerce
5.250% due 09/16/2010	EUR	200		281
Golden Credit Card Trust
5.106% due 04/15/2017	CAD	500		472
Province of Ontario Canada
4.700% due 06/02/2037		700		623
6.200% due 06/02/2031		200		213
Province of Quebec Canada
5.000% due 12/01/2038		100		91

Total Canada (Cost $3,531)				3,381

CAYMAN ISLANDS 0.5%
Mizuho Financial Group Cayman Ltd.
8.375% due 12/29/2049	$	200		172
MUFG Capital Finance 1 Ltd.
6.346% due 07/29/2049		200		151
SMFG Preferred Capital USD 1 Ltd.
6.078% due 01/29/2049		100		72

Total Cayman Islands (Cost $511)				395

DENMARK 0.0%
Nykredit Realkredit A/S
6.000% due 10/01/2029	DKK	46		9

Total Denmark (Cost $5)				9

FRANCE 6.6%
BNP Paribas Covered Bonds S.A.
4.750% due 05/28/2013	EUR	200		278
Caisse Nationale des Caisses d’Epargne et de
Prevoyance
6.117% due 10/29/2049		100		92
CM-CIC Covered Bonds
5.250% due 06/09/2010		100		141
Credit Agricole S.A.
6.637% due 05/29/2049	$	100		68
France Government Bond
4.000% due 10/25/2038	EUR	100		124
4.000% due 04/25/2055		100		122
4.750% due 04/25/2035		200		281
5.750% due 10/25/2032		2,650		4,238
Vivendi
5.750% due 04/04/2013	$	200		196

Total France (Cost $5,742)				5,540

GERMANY 10.7%
Deutsche Bank AG
4.875% due 05/20/2013	$	500		478
Driver One GmbH
4.683% due 10/21/2015	EUR	200		272
Kreditanstalt fuer Wiederaufbau
1.750% due 03/23/2010	JPY	11,000		105
Republic of Germany
3.750% due 01/04/2015	EUR	900		1,258
4.000% due 01/04/2037		100		127
4.250% due 07/04/2014		1,500		2,157
4.250% due 07/04/2039		200		266
4.750% due 07/04/2028		30		43
4.750% due 07/04/2034		300		428
5.500% due 01/04/2031		400		626
5.625% due 01/04/2028		650		1,026
6.250% due 01/04/2024		200		334
6.250% due 01/04/2030		500		849
6.500% due 07/04/2027		590		1,022

Total Germany (Cost $9,138)				8,991

ICELAND 0.1%
Glitnir Banki HF
3.255% due 01/18/2012	$	100		76

Total Iceland (Cost $100)				76

IRELAND 0.7%
Bank of Ireland
3.072% due 12/19/2008	$	100		100
Immeo Residential Finance PLC
5.118% due 12/15/2016	EUR	96		121
Ireland Government Bond
4.400% due 06/18/2019		300		412

Total Ireland (Cost $705)				633

ITALY 1.1%
AUTO Asset-Backed Securities
5.103% due 10/25/2020	EUR	200		273
Italy Buoni Poliennali Del Tesoro
4.500% due 05/01/2009		260		367
5.500% due 11/01/2010		110		159
Seashell Securities PLC
5.263% due 07/25/2028		50		71
Vela Home SRL
5.241% due 10/24/2027		73		100

Total Italy (Cost $987)				970

JAPAN 35.8%
Bank of Tokyo-Mitsubishi UFJ Ltd.
3.500% due 12/16/2015	EUR	100		132
Japan Finance Corp. for Municipal Enterprises
5.875% due 03/14/2011	$	80		85
Japan Government Bond
0.900% due 12/20/2012	JPY	370,000		3,466
1.100% due 09/20/2012		750,000		7,092
1.500% due 12/20/2017		600,000		5,704
1.800% due 06/20/2017		10,000		98
2.400% due 03/20/2034		20,000		192
2.500% due 09/20/2035		220,000		2,155
2.500% due 06/20/2036		90,000		880
2.500% due 09/20/2036		20,000		195
2.500% due 09/20/2037		120,000		1,176
Japanese Government CPI Linked Bond
0.800% due 12/10/2015		40,960		362
1.100% due 12/10/2016		387,490		3,468
1.154% due 02/28/2016		14,856		138
1.200% due 12/10/2017		244,740		2,186
1.400% due 06/10/2018		304,800		2,761
Sumitomo Mitsui Banking Corp.
5.625% due 07/29/2049	$	100		80

Total Japan (Cost $29,514)				30,170

JERSEY, CHANNEL ISLANDS 0.0%
Haus Ltd.
4.815% due 12/10/2037	EUR	12		17

Total Jersey, Channel Islands (Cost $12)				17

LIBERIA 0.2%
Royal Caribbean Cruises Ltd.
7.250% due 03/15/2018	$	200		161

Total Liberia (Cost $188)				161

LUXEMBOURG 0.2%
Silver Arrow S.A.
4.585% due 08/15/2014	EUR	145		203

Total Luxembourg (Cost $223)				203

NETHERLANDS 1.4%
Netherlands Government Bond
4.000% due 01/15/2037	EUR	200		251
Rabobank Nederland NV
3.209% due 05/19/2010	$	800		798
Siemens Financieringsmaatschappij NV
2.854% due 08/14/2009		100		100

Total Netherlands (Cost $1,154)				1,149

NEW ZEALAND 0.5%
ANZ National International Ltd.
6.200% due 07/19/2013	$	400		397

Total New Zealand (Cost $400)				397

NORWAY 0.3%
DnB NOR Boligkreditt
4.500% due 05/16/2011	EUR	200		279

Total Norway (Cost $308)				279

RUSSIA 0.2%
Gaz Capital S.A.
7.343% due 04/11/2013	$	100		91
8.146% due 04/11/2018		100		88

Total Russia (Cost $200)				179

SOUTH KOREA 0.2%
Export-Import Bank of Korea
5.750% due 05/22/2013	EUR	100		132

Total South Korea (Cost $154)				132

SPAIN 4.6%
Bankinter S.A.
5.000% due 05/14/2010	EUR	400		558
MBS Bancaja Fondo De Titulizacion Activos
5.135% due 11/17/2035		98		127
Santander Hipotecario
5.143% due 07/15/2042		188		239
Santander Perpetual S.A. Unipersonal
6.671% due 10/29/2049	$	100		93
Santander U.S. Debt S.A. Unipersonal
2.858% due 02/06/2009		200		199
2.874% due 11/20/2009		100		99
Spain Government Bond
4.400% due 01/31/2015	EUR	1,800		2,536

Total Spain (Cost $4,024)				3,851

SWEDEN 0.4%
Stadshypotek AB
6.000% due 06/15/2011	SEK	2,000		297

Total Sweden (Cost $307)				297

SWITZERLAND 2.0%
Credit Suisse New York
5.000% due 05/15/2013	$	800		742
UBS AG
3.714% due 05/05/2010		400		398
5.750% due 04/25/2018		500		436
5.875% due 12/20/2017		100		89

Total Switzerland (Cost $1,795)				1,665

UNITED KINGDOM 3.8%
Bank of Scotland PLC
5.625% due 05/23/2013	EUR	600		769
Barclays Bank PLC
6.050% due 12/04/2017	$	300		279
7.700% due 04/29/2049		600		529
8.250% due 02/28/2049	GBP	100		159
HBOS PLC
5.920% due 09/29/2049	$	300		177
6.750% due 05/21/2018		200		168
HSBC Holdings PLC
6.500% due 05/02/2036		400		331
Lloyds TSB Bank PLC
2.812% due 11/29/2049		100		56
5.625% due 07/15/2049	EUR	40		55
Royal Bank of Scotland Group PLC
9.118% due 03/31/2049	$	200		194
United Kingdom Gilt
4.250% due 06/07/2032	GBP	300		504

Total United Kingdom (Cost $3,777)				3,221

UNITED STATES 92.8%
Asset-Backed Securities 9.2%
ACE Securities Corp.
3.257% due 07/25/2036	$	31		30
3.257% due 08/25/2036		20		19
AmeriCredit Automobile Receivables Trust
2.694% due 06/12/2009		243		241
Amortizing Residential Collateral Trust
3.497% due 07/25/2032		1		1
3.907% due 10/25/2031		2		2
Amresco Residential Securities Mortgage Loan Trust
4.147% due 06/25/2029		1		1
Asset-Backed Funding Certificates
3.267% due 01/25/2037		79		74
BA Credit Card Trust
2.688% due 01/15/2013		500		487
3.068% due 04/15/2013		500		489
Bear Stearns Asset-Backed Securities Trust
3.277% due 12/25/2036		161		149
Capital Auto Receivables Asset Trust
3.408% due 03/15/2011		200		199
Chase Issuance Trust
2.478% due 07/15/2011		200		199
3.138% due 11/15/2011		900		893
3.388% due 05/16/2011		200		200
Citibank Omni Master Trust
4.188% due 03/20/2013		400		399
Citigroup Mortgage Loan Trust, Inc.
3.257% due 10/25/2036		4		4
Countrywide Asset-Backed Certificates
3.257% due 01/25/2037		5		5
3.287% due 06/25/2037		156		150
CS First Boston Mortgage Securities Corp.
3.827% due 01/25/2032		2		2
Daimler Chrysler Auto Trust
3.337% due 10/08/2010		200		200
3.417% due 07/08/2011		500		497
First Alliance Mortgage Loan Trust
3.418% due 12/20/2027		2		1
First Franklin Mortgage Loan Asset-Backed Certificates
3.257% due 11/25/2036		98		92
Ford Credit Auto Owner Trust
2.776% due 06/15/2009		220		219
3.388% due 01/15/2011		400		396
3.908% due 06/15/2012		300		292
Franklin Auto Trust
4.768% due 06/20/2012		200		199
GSR Mortgage Loan Trust
3.307% due 11/25/2030		2		2
HSI Asset Securitization Corp. Trust
3.257% due 12/25/2036		99		92
Indymac Residential Asset-Backed Trust
3.267% due 04/25/2037		70		68
Long Beach Mortgage Loan Trust
3.487% due 10/25/2034		12		10
Merrill Lynch Mortgage Investors, Inc.
3.277% due 08/25/2036		34		33
Morgan Stanley ABS Capital I
3.257% due 09/25/2036		58		57
Nelnet Student Loan Trust
3.330% due 04/27/2015		200		200
New Century Home Equity Loan Trust
3.377% due 02/25/2036		26		26
Residential Asset Securities Corp.
3.707% due 07/25/2032		5		4
SACO I, Inc.
3.267% due 05/25/2036		13		12
Sears Credit Account Master Trust
2.708% due 04/16/2013		200		198
Securitized Asset-Backed Receivables LLC Trust
3.267% due 03/25/2036		4		4
SLM Student Loan Trust
3.364% due 10/25/2017		400		389
4.173% due 04/25/2023		900		903
Soundview Home Equity Loan Trust
3.287% due 01/25/2037		90		88
Structured Asset Securities Corp.
3.257% due 10/25/2036		74		71
3.497% due 01/25/2033		4		4
Wells Fargo Home Equity Trust
3.437% due 10/25/2035		50		49
3.447% due 10/25/2035		59		58
3.447% due 11/25/2035		41		40

				7,748

Corporate Bonds & Notes 28.4%
Allstate Life Global Funding II
3.461% due 05/21/2010		600		597
Allstate Life Global Funding Trusts
5.375% due 04/30/2013		200		193
American Express Bank FSB
3.489% due 04/26/2010		300		279
3.839% due 05/29/2012		200		182
5.500% due 04/16/2013		300		275
American Express Co.
7.000% due 03/19/2018		400		354
American Express Credit Corp.
2.808% due 05/18/2009		100		97
5.109% due 05/27/2010		100		94
American International Group, Inc.
5.450% due 05/18/2017		300		151
5.850% due 01/16/2018		200		101
8.000% due 05/22/2038	EUR	500		134
8.175% due 05/15/2058	$	400		64
AutoZone, Inc.
5.875% due 10/15/2012		1,000		983
Bank of America Corp.
4.625% due 02/07/2017	EUR	200		230
5.650% due 05/01/2018	$	300		253
8.125% due 12/29/2049		500		405
Bank of America N.A.
3.404% due 05/12/2010		400		395
Bear Stearns Cos. LLC
3.029% due 01/31/2011		200		196
6.400% due 10/02/2017		100		94
6.950% due 08/10/2012		300		303
7.250% due 02/01/2018		1,000		964
Caterpillar Financial Services Corp.
4.001% due 06/25/2010		400		389
4.226% due 06/24/2011		500		482
Charter One Bank N.A.
2.845% due 04/24/2009		250		249
Citigroup Capital XXI
8.300% due 12/21/2077		200		149
Citigroup Funding, Inc.
3.852% due 05/07/2010		700		660
Citigroup, Inc.
3.809% due 12/26/2008		100		99
5.500% due 04/11/2013		800		699
6.500% due 08/19/2013		900		801
8.400% due 04/29/2049		200		136
Comcast Corp.
3.088% due 07/14/2009		200		196
Computer Sciences Corp.
5.000% due 02/15/2013		369		352
6.500% due 03/15/2018		200		192
ConocoPhillips Australia Funding Co.
2.891% due 04/09/2009		152		151
Constellation Energy Group, Inc.
7.000% due 04/01/2012		900		910
CVS Caremark Corp.
5.750% due 08/15/2011		100		102
Daimler Finance North America LLC
5.750% due 05/18/2009		100		100
DR Horton, Inc.
6.000% due 04/15/2011		100		90
Duke Energy Carolinas LLC
6.050% due 04/15/2038		200		181
General Electric Capital Corp.
3.712% due 05/22/2013		200		191
4.800% due 05/01/2013		100		91
6.375% due 11/15/2067		100		81
GMAC LLC
4.054% due 05/15/2009		100		72
Goldman Sachs Group, Inc.
3.250% due 12/23/2008		200		197
3.270% due 12/23/2009		400		368
3.294% due 12/22/2008		100		99
5.375% due 02/15/2013	EUR	200		235
6.150% due 04/01/2018	$	200		167
International Lease Finance Corp.
5.400% due 02/15/2012		100		74
iStar Financial, Inc.
5.150% due 03/01/2012		100		50
JC Penney Corp., Inc.
8.000% due 03/01/2010		100		102
JPMorgan & Co., Inc. CPI Linked Bond
3.574% due 02/15/2012		10		10
JPMorgan Chase & Co.
3.336% due 06/25/2012		100		95
5.058% due 02/22/2021	CAD	100		86
6.000% due 01/15/2018	$	500		457
JPMorgan Chase Bank N.A.
6.000% due 10/01/2017		600		551
JPMorgan Chase Capital XX
6.550% due 09/29/2036		100		74
JPMorgan Chase Capital XXII
6.450% due 02/02/2037		100		72
Kraft Foods, Inc.
6.250% due 06/01/2012		100		101
Lehman Brothers Holdings, Inc.
2.851% due 12/23/2008 (a)		300		39
5.625% due 01/24/2013 (a)		300		39
6.875% due 05/02/2018 (a)		200		26
Marsh & McLennan Cos., Inc.
5.375% due 07/15/2014		200		185
Merck & Co., Inc.
4.750% due 03/01/2015		100		98
Merrill Lynch & Co., Inc.
2.839% due 10/23/2008		100		100
3.234% due 12/22/2008		300		290
5.054% due 05/12/2010		700		675
6.875% due 04/25/2018		400		354
Metropolitan Life Global Funding I
5.125% due 04/10/2013		300		292
Morgan Stanley
4.904% due 05/14/2010		300		219
6.000% due 04/28/2015		700		477
6.625% due 04/01/2018		500		331
National Rural Utilities Cooperative Finance Corp.
3.576% due 07/01/2010		100		100
Nationwide Health Properties, Inc.
6.500% due 07/15/2011		100		103
Newell Rubbermaid, Inc.
4.000% due 05/01/2010		100		98
NGPL Pipe Co. LLC
7.119% due 12/15/2017		100		95
Nordstrom, Inc.
6.250% due 01/15/2018		200		187
Nucor Corp.
5.750% due 12/01/2017		100		96
Pactiv Corp.
6.400% due 01/15/2018		200		197
Pricoa Global Funding I
3.613% due 06/04/2010		800		796
Principal Life Income Funding Trusts
5.300% due 04/24/2013		200		200
Quest Diagnostics, Inc.
5.450% due 11/01/2015		200		190
Rabobank Capital Funding Trust
5.254% due 12/29/2049		100		86
Safeway, Inc.
4.950% due 08/16/2010		100		100
Sprint Nextel Corp.
6.000% due 12/01/2016		100		77
State Street Capital Trust IV
3.819% due 06/15/2037		100		66
Target Corp.
7.000% due 01/15/2038		200		188
Time Warner, Inc.
3.034% due 11/13/2009		100		96
U.S. Bancorp
3.739% due 04/28/2009		100		99
Universal Health Services, Inc.
7.125% due 06/30/2016		1,000		1,015
Valero Energy Corp.
4.750% due 06/15/2013		100		92
Verizon Communications, Inc.
5.500% due 04/01/2017		100		90
Viacom, Inc.
6.125% due 10/05/2017		200		182
6.250% due 04/30/2016		200		180
Wachovia Bank N.A.
3.250% due 03/23/2009		250		235
Wachovia Corp.
5.500% due 05/01/2013		400		331
Wells Fargo & Co.
4.375% due 01/31/2013		100		92
Xerox Corp.
9.750% due 01/15/2009		200		203
Yum! Brands, Inc.
6.250% due 03/15/2018		200		186

				23,960

Mortgage-Backed Securities 9.7%
American Home Mortgage Investment Trust
5.660% due 09/25/2045		207		141
Banc of America Commercial Mortgage, Inc.
4.772% due 07/11/2043		155		151
5.421% due 04/10/2049		170		163
Banc of America Mortgage Securities, Inc.
5.000% due 05/25/2034		148		134
5.436% due 02/25/2036		203		177
BCAP LLC Trust
3.377% due 01/25/2037		232		143
Bear Stearns Adjustable Rate Mortgage Trust
4.125% due 03/25/2035		253		237
4.150% due 08/25/2035		117		110
4.487% due 08/25/2033		21		20
Bear Stearns Alt-A Trust
3.367% due 02/25/2034		159		97
5.504% due 09/25/2035		102		82
5.577% due 11/25/2035		111		83
5.903% due 03/25/2036		214		133
6.250% due 08/25/2036		134		84
Bear Stearns Structured Products, Inc.
5.772% due 12/26/2046		86		69
Citigroup Commercial Mortgage Trust
5.889% due 12/10/2049		100		85
Citigroup Mortgage Loan Trust, Inc.
4.248% due 08/25/2035		71		67
4.748% due 08/25/2035		42		40
Commercial Mortgage Asset Trust
6.975% due 01/17/2032		100		101
Countrywide Alternative Loan Trust
3.398% due 03/20/2046		174		108
3.487% due 02/25/2037		141		92
3.537% due 11/20/2035		221		142
3.855% due 12/25/2035		304		186
4.355% due 11/25/2035		43		28
5.250% due 06/25/2035		50		41
6.000% due 04/25/2037		87		54
Countrywide Home Loan Mortgage Pass-Through Trust
3.437% due 05/25/2035		83		54
3.527% due 03/25/2035		164		98
3.537% due 02/25/2035		21		13
4.797% due 11/25/2034		36		31
Credit Suisse Mortgage Capital Certificates
5.863% due 01/25/2037		300		196
CS First Boston Mortgage Securities Corp.
6.500% due 04/25/2033		4		4
CSAB Mortgage-Backed Trust
3.307% due 06/25/2036		2		2
First Horizon Asset Securities, Inc.
6.250% due 08/25/2017		45		44
GMAC Mortgage Corp. Loan Trust
5.500% due 09/25/2034		88		87
Greenpoint Mortgage Funding Trust
3.287% due 01/25/2047		230		219
Greenwich Capital Commercial Funding Corp.
5.444% due 03/10/2039		200		170
GSR Mortgage Loan Trust
5.178% due 01/25/2036		297		261
Harborview Mortgage Loan Trust
3.250% due 05/19/2035		76		49
5.150% due 05/19/2033		22		21
Indymac Index Mortgage Loan Trust
3.447% due 07/25/2035		75		49
JPMorgan Alternative Loan Trust
5.550% due 10/25/2036		67		52
JPMorgan Mortgage Trust
4.500% due 09/25/2034		131		130
Mellon Residential Funding Corp.
2.928% due 12/15/2030		37		35
Merrill Lynch Countrywide Commercial Mortgage Trust
3.024% due 07/09/2009		200		182
MLCC Mortgage Investors, Inc.
2.868% due 03/15/2025		8		6
4.352% due 10/25/2035		68		63
Morgan Stanley Capital I
5.559% due 03/12/2044		100		89
Morgan Stanley Mortgage Loan Trust
5.417% due 06/25/2036		241		207
Residential Accredit Loans, Inc.
3.357% due 02/25/2047		91		52
3.387% due 06/25/2046		227		142
3.417% due 04/25/2046		202		130
Structured Adjustable Rate Mortgage Loan Trust
4.590% due 04/25/2034		26		23
Structured Asset Mortgage Investments, Inc.
3.320% due 07/19/2034		10		8
3.360% due 09/19/2032		9		8
3.380% due 03/19/2034		19		17
3.417% due 05/25/2046		31		19
3.427% due 05/25/2036		230		142
3.427% due 09/25/2047		200		55
4.355% due 08/25/2047		97		55
TBW Mortgage-Backed Pass-Through Certificates
3.317% due 01/25/2037		70		66
5.970% due 09/25/2036		200		146
Thornburg Mortgage Securities Trust
3.317% due 11/25/2046		126		121
Wachovia Bank Commercial Mortgage Trust
2.578% due 09/15/2021		206		188
WaMu Mortgage Pass-Through Certificates
3.437% due 04/25/2045		24		16
3.517% due 01/25/2045		22		15
3.747% due 12/25/2027		60		51
3.835% due 06/25/2046		114		69
3.855% due 02/25/2046		267		160
3.948% due 02/27/2034		23		22
4.569% due 09/25/2033		888		888
5.760% due 03/25/2033		49		49
Washington Mutual Alternative Mortgage Pass-Through Certificates
3.795% due 07/25/2046		78		43
Wells Fargo Mortgage-Backed Securities Trust
4.109% due 12/25/2034		111		103
4.500% due 11/25/2018		85		83
4.616% due 06/25/2035		246		226
4.950% due 03/25/2036		220		195
5.547% due 04/25/2036		39		26
5.594% due 07/25/2036		233		188

				8,136

Municipal Bonds & Notes 0.6%
California State Educational Facilities Authority Revenue Bonds, Series 2007
4.750% due 10/01/2037		100		88
Illinois State Educational Facilities Authority Revenue Bonds, Series 2003
5.000% due 07/01/2033		95		89
Ohio State Buckeye Tobacco Settlement Financing Authority Revenue Bonds, Series 2007
5.875% due 06/01/2047		300		227
Texas State Lower Colorado River Authority Revenue Bonds, (FSA Insured), Series 2003
5.000% due 05/15/2023		100		97

				501


		Shares
Preferred Stocks 0.8%
DG Funding Trust
5.051% due 12/31/2049		65		663


	Principal Amount (000s)
U.S. Government Agencies 44.0%
Fannie Mae
3.327% due 03/25/2034	$	23		22
3.357% due 08/25/2034		14		13
3.557% due 09/25/2042		62		61
4.278% due 10/01/2044		76		75
4.503% due 11/01/2034		209		211
4.668% due 05/25/2035		91		94
4.942% due 12/01/2034		36		36
5.000% due 10/01/2038 - 11/01/2038		2,900		2,821
5.480% due 07/01/2018		200		198
5.500% due 11/01/2016 - 04/01/2048		5,160		5,105
6.000% due 11/01/2036 - 07/25/2044		5,564		5,613
6.500% due 08/01/2037		100		103
Freddie Mac
2.718% due 02/15/2019		321		313
2.988% due 12/15/2032		178		176
4.278% due 10/25/2044		148		143
4.500% due 03/15/2016		443		445
4.683% due 03/01/2035		304		307
4.981% due 04/01/2035		375		379
5.000% due 08/15/2020 - 05/01/2038		2,267		2,197
5.500% due 10/01/2038		2,600		2,583
5.714% due 02/01/2029		20		20
Ginnie Mae
5.375% due 04/20/2028 - 06/20/2030		12		12
6.000% due 09/20/2038 - 10/22/2038		14,500		14,710
Small Business Administration
5.490% due 03/01/2028		1,476		1,474

				37,111

U.S. Treasury Obligations 0.1%
U.S. Treasury Strips
0.000% due 11/15/2021		100		55

Total United States (Cost $83,589)				78,174

SHORT-TERM INSTRUMENTS 10.4%
Commercial Paper 1.0%
Citibank N.A.
3.570% due 10/23/2008		400		399
3.580% due 10/23/2008		400		399

				798

Repurchase Agreements 5.9%
JPMorgan Chase Bank N.A.
2.000% due 10/01/2008		5,000		5,000
(Dated 09/30/2008. Collateralized by Federal Home Loan Bank 2.817% due 09/10/2009 valued at $5,107. Repurchase proceeds are $5,000.)

U.S. Treasury Bills 3.5%
1.326% due 10/16/2008 - 12/26/2008 (b)(c)		3,000		2,985

Total Short-Term Instruments (Cost $8,791)				8,783

PURCHASED OPTIONS (g) 0.2% (Cost $178)				171
Total Investments 177.5% (Cost $156,121)			$	149,515
Written Options (h) (0.3%) (Premiums $248)				(239	)
Other Assets and Liabilities (Net) (77.2%)				(65,028	)

Net Assets 100.0%			$	84,248

Notes to Schedule of Investments (amounts in thousands*, except number of contracts):

* A zero balance may reflect actual amounts rounding to less than one thousand.

(a) Security is in default.

(b) Coupon represents a weighted average rate.

(c) Securities with an aggregate market value of $2,737 have been pledged as collateral for swap and swaption contracts on September 30, 2008.

(d) The average amount of borrowings while outstanding during the period ended September 30, 2008 was $1,779 at a weighted average interest rate of 2.438%. On September 30, 2008, there were no open reverse repurchase agreements.

(e) Cash of $766 has been pledged as collateral for the following open futures contracts on September 30, 2008:


Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
3-Month Canadian Bankers’ Acceptance December Futures	Short	12/2008	19	$	11
90-Day Euribor December Futures	Long	12/2008	12		2
90-Day Euribor June Futures	Long	06/2009	11		19
90-Day Euribor March Futures	Long	03/2009	42		58
90-Day Euribor March Futures Put Options Strike @ EUR 95.250	Short	03/2009	27		1
90-Day Eurodollar December Futures	Long	12/2008	46		(77	)
90-Day Eurodollar December Futures	Long	12/2009	41		(2	)
90-Day Eurodollar March Futures	Long	03/2009	11		(7	)
90-Day Eurodollar October Futures	Long	10/2008	35		(97	)
Australia Government 3-Year Bond December Futures	Short	12/2008	3		(2	)
Australia Government 10-Year Bond December Futures	Short	12/2008	4		(4	)
Euro-Bobl December Futures	Short	12/2008	40		(65	)
Euro-Bobl December Futures Put Options Strike @ EUR 100.000	Long	12/2008	7		0
Euro-Bobl December Futures Put Options Strike @ EUR 103.000	Short	12/2008	10		0
Euro-Bund 10-Year Bond December Futures	Long	12/2008	27		21
Euro-Bund 10-Year Bond December Futures Put Options Strike @ EUR 104.000	Long	12/2008	35		0
Euro-Schatz December Futures	Long	12/2008	2		2
Euro-Schatz December Futures Put Options Strike @ EUR 100.500	Long	12/2008	2		0
U.S. Treasury 5-Year Note December Futures	Short	12/2008	39		1
U.S. Treasury 10-Year Note December Futures	Long	12/2008	1		(4	)
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures Put Options Strike @ GBP 92.000	Short	12/2009	20		7
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Short	06/2009	8		(2	)
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures Put Options Strike @ GBP 93.000	Short	06/2009	33		16
United Kingdom Government 10-Year Bond December Futures	Long	12/2008	9		20

				$	(102	)

(f) Swap agreements outstanding on September 30, 2008:

Credit Default Swaps on Corporate and Sovereign Issues - Buy Protection⁽¹⁾


Reference Obligation	Fixed Deal (Pay) Rate		Maturity Date	Counterparty	Implied Credit Spread at September 30, 2008⁽³⁾	Notional Amount⁽⁴⁾		Market Value			Upfront Premiums Paid/ (Received)		Unrealized Appreciation/ (Depreciation)
AutoZone, Inc. 5.875% due 10/15/2012	(0.620%	)	12/20/2012	BOA	0.880%	$	1,000	$	10		$	0	$	10
Bear Stearns Cos., Inc. 6.400% due 10/02/2017	(0.820%	)	09/20/2017	BCLY	1.400%		100		4			0		4
Bear Stearns Cos., Inc. 7.250% due 02/01/2018	(0.870%	)	03/20/2018	DUB	1.400%		1,000		38			0		38
Capital One Bank USA N.A. 5.125% due 02/15/2014	(0.160%	)	06/20/2012	BCLY	3.664%		100		11			0		11
Citigroup, Inc. 6.500% due 08/19/2013	(1.570%	)	09/20/2013	BNP	2.848%		900		46			0		46
Computer Sciences Corp. 5.000% due 02/15/2013	(0.570%	)	03/20/2013	BOA	0.595%		369		0			0		0
Computer Sciences Corp. 5.000% due 02/15/2013	(1.180%	)	03/20/2018	GSC	0.671%		200		(8	)		0		(8	)
Constellation Energy Group, Inc. 7.000% due 04/01/2012	(1.460%	)	06/20/2012	BOA	3.264%		900		49			0		49
CVS Caremark Corp. 5.750% due 08/15/2011	(0.550%	)	09/20/2011	RBS	0.447%		100		(1	)		0		(1	)
Daimler Finance N.A. LLC 5.750% due 05/18/2009	(0.380%	)	06/20/2009	CSFB	0.649%		100		0			0		0
Deutsche Bank AG 4.875% due 05/20/2013	(0.760%	)	09/20/2013	BCLY	1.548%		100		3			0		3
Glitnir Banki HF 3-Month USD-LIBOR plus 0.470% due 01/18/2012	(0.290%	)	03/20/2012	RBS	15.354%		100		32			0		32
GlobalSantaFe Corp. 5.000% due 02/15/2013	(0.455%	)	06/20/2012	BOA	0.392%		200		0			0		0
Goldman Sachs Group, Inc. 6.600% due 01/15/2012	(3.550%	)	09/20/2013	CITI	4.404%		100		3			0		3
Goldman Sachs Group, Inc. 6.600% due 01/15/2012	(1.470%	)	06/20/2018	JPM	3.916%		100		15			0		15
International Lease Finance Corp. 5.400% due 02/15/2012	(0.170%	)	03/20/2012	BCLY	9.967%		100		24			0		24
iStar Financial, Inc. 5.150% due 03/01/2012	(0.450%	)	03/20/2012	CSFB	29.134%		100		45			0		45
JC Penney Corp., Inc. 8.000% due 03/01/2010	(0.270%	)	03/20/2010	DUB	1.598%		100		2			0		2
JPMorgan Chase & Co. 5.058% until 02/22/2016 and 1-Month CAD Offered Rate plus 1.000% thereafter, due 02/22/2021	(0.310%	)	03/20/2016	RBC	1.900%		100		10			0		10
JPMorgan Chase & Co. 6.000% due 01/15/2018	(0.750%	)	03/20/2018	BOA	1.400%		100		5			0		5
JPMorgan Chase & Co. 6.000% due 01/15/2018	(0.720%	)	03/20/2018	DUB	1.400%		100		5			0		5
JPMorgan Chase & Co. 6.000% due 01/15/2018	(0.740%	)	03/20/2018	DUB	1.400%		200		9			0		9
Kraft Foods, Inc. 6.250% due 06/01/2012	(0.170%	)	06/20/2012	BEAR	0.710%		100		2			0		2
Lehman Brothers Holdings, Inc. 6.875% due 05/02/2018	(1.552%	)	06/20/2018	JPM	Defaulted		200		169			0		169
Marsh & McLennan Cos., Inc, 5.375% due 07/15/2014	(1.160%	)	09/20/2014	BCLY	0.678%		200		(5	)		0		(5	)
Merck & Co., Inc. 4.750% due 03/01/2015	(0.550%	)	03/20/2015	RBS	0.449%		100		(1	)		0		(1	)
Morgan Stanley 6.600% due 04/01/2012	(1.500%	)	06/20/2013	DUB	10.115%		200		48			0		48
Morgan Stanley 6.600% due 04/01/2012	(1.830%	)	09/20/2018	JPM	8.256%		400		112			0		112
Nationwide Health Properties, Inc. 6.500% due 07/15/2011	(0.620%	)	09/20/2011	DUB	1.798%		100		3			0		3
Newell Rubbermaid, Inc. 4.000% due 05/01/2010	(0.130%	)	06/20/2010	CITI	0.472%		100		1			0		1
Nordstrom, Inc. 6.250% due 01/15/2018	(0.975%	)	03/20/2018	DUB	1.564%		200		8			0		8
Nucor Corp. 5.750% due 12/01/2017	(0.365%	)	12/20/2017	BOA	1.147%		100		6			0		6
Pactiv Corp. 6.400% due 01/15/2018	(1.053%	)	03/20/2018	BOA	1.050%		200		0			0		0
Quest Diagnostics, Inc. 5.450% due 11/01/2015	(0.915%	)	12/20/2015	BOA	1.382%		200		5			0		5
Royal Caribbean Cruises Ltd. 7.250% due 03/15/2018	(3.190%	)	03/20/2018	BOA	4.802%		200		18			0		18
Safeway, Inc. 4.950% due 08/16/2010	(0.300%	)	09/20/2010	CSFB	0.407%		100		0			0		0
Sprint Nextel Corp. 6.000% due 12/01/2016	(1.125%	)	12/20/2016	BEAR	3.750%		100		15			0		15
Universal Health Services, Inc. 7.125% due 06/30/2016	(1.250%	)	06/20/2016	BOA	1.370%		1,000		7			0		7
Valero Energy Corp. 4.750% due 06/15/2013	(1.600%	)	06/20/2013	BCLY	1.584%		100		0			0		0
Verizon Communications, Inc. 5.500% due 04/01/2017	(0.900%	)	06/20/2017	CITI	0.851%		100		0			0		0
Viacom, Inc. 6.125% due 10/05/2017	(1.110%	)	12/20/2017	BOA	1.715%		200		8			0		8
Viacom, Inc. 6.250% due 04/30/2016	(1.930%	)	06/20/2016	BOA	1.690%		200		(3	)		0		(3	)
Xerox Corp. 9.750% due 01/15/2009	(0.290%	)	03/20/2009	MSC	1.300%		100		1			0		1
Yum! Brands, Inc. 6.250% due 03/15/2018	(0.950%	)	03/20/2018	CITI	1.282%		200		5			0		5

								$	701		$	0	$	701

Credit Default Swaps on Corporate and Sovereign Issues - Sell Protection⁽²⁾


Reference Obligation	Fixed Deal Receive Rate		Maturity Date	Counterparty	Implied Credit Spread at September 30, 2008⁽³⁾		Notional Amount⁽⁴⁾		Market Value			Upfront Premiums Paid/ (Received)		Unrealized Appreciation/ (Depreciation)
Deutsche Bank AG 5.500% due 05/18/2011	0.550	%	12/20/2008	RBS	1.543	%	$	400	$	(1	)	$	0	$	(1	)
General Electric Capital Corp. 6.000% due 06/15/2012	0.950	%	09/20/2009	CITI	7.410	%		200		(12	)		0		(12	)
GMAC LLC 6.875% due 08/28/2012	7.750	%	03/20/2009	GSC	88.715	%		100		(28	)		0		(28	)
HSBC Finance Corp. 7.000% due 05/15/2012	1.550	%	06/20/2009	MLP	4.857	%		200		(5	)		0		(5	)
JSC Gazprom 8.625% due 04/28/2034	1.300	%	12/20/2008	HSBC	3.467	%		400		(1	)		0		(1	)
JSC Gazprom 8.625% due 04/28/2034	1.680	%	04/20/2009	MSC	3.537	%		200		0			0		0
JSC Gazprom 8.625% due 04/28/2034	1.710	%	04/20/2009	MSC	3.537	%		100		0			0		0
JSC Gazprom 8.625% due 04/28/2034	1.910	%	04/20/2009	MSC	3.537	%		100		0			0		0
JSC Gazprom 8.625% due 04/28/2034	1.330	%	12/20/2008	MSC	3.467	%		200		0			0		0
Russia Government International Bond 7.500% due 03/31/2030	0.630	%	12/20/2008	GSC	2.248	%		300		(1	)		0		(1	)
Russia Government International Bond 7.500% due 03/31/2030	0.490	%	02/20/2009	MSC	2.284	%		800		(5	)		0		(5	)
SLM Corp. 5.125% due 08/27/2012	3.050	%	03/20/2009	DUB	19.698	%		100		(7	)		0		(7	)
SLM Corp. 5.125% due 08/27/2012	3.300	%	03/20/2009	GSC	19.698	%		100		(7	)		0		(7	)
SLM Corp. 5.125% due 08/27/2012	3.700	%	03/20/2009	GSC	19.698	%		100		(7	)		0		(7	)
Spain Government Bond 5.500% due 07/30/2017	0.270	%	03/20/2013	GSC	0.397	%		1,400		(7	)		0		(7	)
Spain Government Bond 5.500% due 07/30/2017	0.270	%	03/20/2013	JPM	0.397	%		600		(3	)		0		(3	)
Spain Government Bond 5.500% due 07/30/2017	0.470	%	03/20/2013	MSC	0.397	%		1,200		4			0		4
Ukraine Government International Bond 7.650% due 06/11/2013	0.730	%	04/20/2009	HSBC	5.404	%		100		(2	)		0		(2	)

									$	(82	)	$	0	$	(82	)

Credit Default Swaps on Credit Indices - Buy Protection⁽¹⁾


Reference Obligation	Fixed Deal (Pay) Rate		Maturity Date	Counterparty	Notional Amount⁽⁴⁾		Market Value⁽⁵⁾			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
CDX.IG-10 5 Year Index	(1.550	%)	06/20/2013	BCLY	$	600	$	3		$	(5	)	$	8
iTraxx Europe HVol 6 Index	(0.850	%)	12/20/2016	BNP	EUR	200		16			(1	)		17
CDX.IG-9 10 Year Index	(0.800	%)	12/20/2017	DUB	$	500		27			19			8
CDX.IG-10 5 Year Index	(1.550	%)	06/20/2013	DUB		1,800		10			11			(1	)
iTraxx Europe 9 Index	(1.750	%)	06/20/2018	DUB	EUR	1,700		(94	)		(154	)		60
iTraxx Europe HVol 6 Index	(0.850	%)	12/20/2016	DUB		400		30			(3	)		33
iTraxx Europe Senior Financials 9 Index	(1.750	%)	06/20/2018	DUB		900		(51	)		(71	)		20
iTraxx Europe Sub Financials 8 Index	(0.700	%)	12/20/2012	DUB		600		41			1			40
CDX.IG-8 10 Year Index	(0.600	%)	06/20/2017	GSC	$	2,600		187			7			180
CDX.IG-10 5 Year Index	(1.550	%)	06/20/2013	GSC		200		1			(2	)		3
CDX.IG-10 10 Year Index	(1.500	%)	06/20/2018	GSC		1,900		3			(64	)		67
iTraxx Europe HVol 6 Index	(0.850	%)	12/20/2016	JPM	EUR	200		15			(1	)		16
CDX.IG-10 5 Year Index	(1.550	%)	06/20/2013	MSC	$	600		4			(7	)		11
CDX.IG-10 10 Year Index	(1.500	%)	06/20/2018	MSC		100		0			(2	)		2

							$	192		$	(272	)	$	464

Credit Default Swaps on Credit Indices - Sell Protection⁽²⁾


Reference Obligation	Fixed Deal Receive Rate		Maturity Date	Counterparty	Notional Amount⁽⁴⁾		Market Value⁽⁵⁾			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
ABX.HE AA 06-1 Index	0.320	%	07/25/2045	CSFB	$	100	$	(41	)	$	(30	)	$	(11	)
ABX.HE AAA 06-2 Index	0.110	%	05/25/2046	DUB		200		(62	)		(61	)		(1	)
CDX.IG-10 5 Year Index	1.550	%	06/20/2013	GSC		500		(3	)		(5	)		2

							$	(106	)	$	(96	)	$	(10	)

⁽¹⁾

⁽²⁾

⁽³⁾

⁽⁴⁾	The maximum potential amount the Portfolio 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 that particular swap agreement.

⁽⁵⁾

Interest Rate Swaps


Pay/ Receive Floating Rate	Floating Rate Index	Fixed Rate		Maturity Date	Counterparty	Notional Amount		Market Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
Pay	3-Month AUD Bank Bill	7.500	%	03/15/2010	CITI	AUD	3,050	$	33		$	(5	)	$	38
Pay	3-Month AUD Bank Bill	7.500	%	03/15/2010	UBS		3,050		33			(5	)		38
Pay	3-Month AUD Bank Bill	7.000	%	06/15/2010	UBS		600		4			2			2
Pay	3-Month AUD Bank Bill	7.750	%	06/15/2010	DUB		2,700		34			(2	)		36
Receive	3-Month CAD Bank Bill	4.500	%	09/20/2011	BSN	CAD	200		(6	)		(3	)		(3	)
Receive	3-Month CAD Bank Bill	4.500	%	09/20/2011	RBC		300		(9	)		(5	)		(4	)
Receive	3-Month CAD Bank Bill	4.250	%	12/20/2013	BSN		800		(20	)		(8	)		(12	)
Receive	3-Month CAD Bank Bill	4.250	%	12/20/2013	MLP		200		(5	)		(5	)		0
Receive	3-Month CAD Bank Bill	4.250	%	12/20/2013	RBC		500		(12	)		(13	)		1
Receive	3-Month CAD Bank Bill	4.500	%	09/20/2037	MLP		500		16			(1	)		17
Receive	3-Month HKD-HIBOR	4.235	%	12/17/2008	GSC	HKD	7,100		(5	)		0			(5	)
Pay	3-Month SEK-STIBOR	4.500	%	03/18/2014	GSC	SEK	5,000		(2	)		(5	)		3
Pay	3-Month USD-LIBOR	4.000	%	12/17/2013	DUB	$	9,600		(56	)		(145	)		89
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	BCLY		700		(27	)		(25	)		(2	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	CITI		9,500		(362	)		(146	)		(216	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	MSC		2,900		(110	)		(38	)		(72	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	RBS		10,600		(404	)		(83	)		(321	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2023	BOA		100		(4	)		1			(5	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2023	RBS		4,100		(149	)		33			(182	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2028	MSC		900		(33	)		(20	)		(13	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2028	RBS		400		(14	)		10			(24	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	CITI		200		(9	)		5			(14	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	MLP		400		(18	)		(12	)		(6	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	MSC		400		(18	)		2			(20	)
Pay	6-Month AUD Bank Bill	6.500	%	01/15/2010	DUB	AUD	1,200		(3	)		0			(3	)
Pay	6-Month AUD Bank Bill	6.500	%	01/15/2010	JPM		500		(1	)		0			(1	)
Pay	6-Month AUD Bank Bill	6.500	%	01/15/2010	RBC		1,500		(5	)		(2	)		(3	)
Pay	6-Month AUD Bank Bill	6.000	%	06/15/2010	CITI		400		(4	)		2			(6	)
Pay	6-Month AUD Bank Bill	6.000	%	06/15/2010	UBS		1,600		(16	)		11			(27	)
Pay	6-Month AUD Bank Bill	7.500	%	03/15/2011	UBS		1,500		30			(8	)		38
Pay	6-Month AUD Bank Bill	6.000	%	06/15/2012	DUB		500		(7	)		(5	)		(2	)
Pay	6-Month AUD Bank Bill	6.000	%	06/15/2012	HSBC		300		(4	)		(3	)		(1	)
Pay	6-Month AUD Bank Bill	7.000	%	06/15/2014	UBS		1,200		31			28			3
Receive	6-Month AUD Bank Bill	6.000	%	06/15/2015	CITI		400		7			(2	)		9
Receive	6-Month AUD Bank Bill	6.000	%	06/15/2015	UBS		1,000		17			(13	)		30
Receive	6-Month AUD Bank Bill	6.000	%	06/15/2017	DUB		200		4			2			2
Receive	6-Month AUD Bank Bill	6.500	%	06/15/2017	DUB		1,100		(8	)		27			(35	)
Pay	6-Month EUR-LIBOR	4.000	%	09/19/2009	GSC	EUR	2,900		(36	)		(29	)		(7	)
Pay	6-Month EUR-LIBOR	4.250	%	12/17/2009	DUB		4,000		(19	)		0			(19	)
Pay	6-Month EUR-LIBOR	4.500	%	03/18/2011	RBS		600		1			(2	)		3
Pay	6-Month EUR-LIBOR	4.000	%	06/15/2013	BCLY		4,800		(211	)		(19	)		(192	)
Pay	6-Month EUR-LIBOR	4.000	%	09/17/2013	GSC		900		(37	)		(6	)		(31	)
Pay	6-Month EUR-LIBOR	4.450	%	03/18/2014	GSC		500		(5	)		0			(5	)
Pay	6-Month EUR-LIBOR	4.500	%	03/18/2014	BCLY		1,700		(11	)		(16	)		5
Pay	6-Month EUR-LIBOR	4.500	%	03/18/2014	BNP		1,900		(12	)		1			(13	)
Pay	6-Month EUR-LIBOR	4.500	%	03/18/2014	GSC		1,100		(7	)		(5	)		(2	)
Pay	6-Month EUR-LIBOR	4.500	%	03/18/2014	JPM		1,100		(6	)		(12	)		6
Pay	6-Month EUR-LIBOR	4.500	%	03/18/2014	MSC		3,000		(19	)		(59	)		40
Pay	6-Month EUR-LIBOR	4.500	%	03/18/2019	JPM		1,300		(20	)		(22	)		2
Pay	6-Month EUR-LIBOR	4.500	%	06/18/2034	RBS		100		(1	)		(7	)		6
Pay	6-Month EUR-LIBOR	5.000	%	06/18/2034	JPM		400		24			(4	)		28
Receive	6-Month EUR-LIBOR	4.750	%	09/17/2038	MSC		100		(4	)		(5	)		1
Pay	6-Month EUR-LIBOR	5.000	%	09/17/2038	RBC		300		31			12			19
Receive	6-Month EUR-LIBOR	5.000	%	03/18/2039	GSC		600		(64	)		(42	)		(22	)
Receive	6-Month EUR-LIBOR	5.000	%	03/18/2039	JPM		1,000		(107	)		(47	)		(60	)
Receive	6-Month EUR-LIBOR	5.000	%	03/18/2039	RBS		1,100		(118	)		(46	)		(72	)
Pay	6-Month GBP-LIBOR	5.000	%	03/18/2012	MSC	GBP	200		0			(1	)		1
Pay	6-Month GBP-LIBOR	5.000	%	09/17/2013	BCLY		3,900		(52	)		20			(72	)
Pay	6-Month GBP-LIBOR	5.000	%	09/17/2013	DUB		600		(8	)		(30	)		22
Pay	6-Month GBP-LIBOR	5.000	%	09/17/2013	HSBC		1,700		(23	)		(4	)		(19	)
Pay	6-Month GBP-LIBOR	5.000	%	03/18/2014	BNP		1,000		(4	)		(3	)		(1	)
Pay	6-Month GBP-LIBOR	5.000	%	03/18/2014	GSC		3,800		(16	)		(4	)		(12	)
Pay	6-Month GBP-LIBOR	5.250	%	03/18/2014	MSC		300		4			0			4
Receive	6-Month GBP-LIBOR	4.500	%	09/15/2017	BCLY		600		4			5			(1	)
Pay	6-Month GBP-LIBOR	5.000	%	06/18/2034	BCLY		200		25			26			(1	)
Receive	6-Month GBP-LIBOR	4.500	%	03/18/2039	GSC		400		(12	)		(13	)		1
Pay	6-Month JPY-LIBOR	1.000	%	03/18/2009	DUB	JPY	850,000		0			(10	)		10
Pay	6-Month JPY-LIBOR	1.000	%	03/18/2009	MSC		30,000		0			0			0
Receive	6-Month JPY-LIBOR	1.300	%	09/21/2011	GSC		40,000		(2	)		(1	)		(1	)
Pay	6-Month JPY-LIBOR	1.500	%	06/17/2013	BNP		130,000		8			2			6
Pay	6-Month JPY-LIBOR	1.500	%	06/17/2013	DUB		300,000		18			6			12
Pay	6-Month JPY-LIBOR	1.500	%	06/17/2013	UBS		390,000		23			(10	)		33
Receive	6-Month JPY-LIBOR	1.750	%	12/17/2015	UBS		210,000		(29	)		13			(42	)
Receive	6-Month JPY-LIBOR	2.000	%	12/17/2017	DUB		160,000		(42	)		(25	)		(17	)
Receive	6-Month JPY-LIBOR	2.500	%	12/20/2027	DUB		60,000		(36	)		(9	)		(27	)
Receive	6-Month JPY-LIBOR	2.250	%	06/20/2036	MSC		70,000		3			(3	)		6
Pay	France CPI ex-Tobacco Index	1.960	%	03/30/2012	GSC	EUR	500		(21	)		0			(21	)

								$	(1,883	)	$	(780	)	$	(1,103	)

(g) Purchased options outstanding on September 30, 2008:

Options on Exchange-Traded Futures Contracts


Description	Exercise Price		Expiration Date	# of Contracts	Cost		Value
Call - CBOT U.S. Treasury 5-Year Note December Futures	$	124.000	11/21/2008	40	$	1	$	1
Put - CBOT U.S. Treasury 10-Year Note December Futures		91.000	11/21/2008	48		1		1
Put - CBOT U.S. Treasury 10-Year Note December Futures		95.000	11/21/2008	12		0		0
Put - CBOT U.S. Treasury 10-Year Note December Futures		98.000	11/21/2008	19		0		0
Put - CBOT U.S. Treasury 30-Year Bond December Futures		87.000	11/21/2008	14		0		0

					$	2	$	2

Interest Rate Swaptions


Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Cost		Value
Call - OTC 2-Year Interest Rate Swap	DUB	6-Month EUR-LIBOR	Pay	4.000	%	09/14/2009	EUR	3,700	$	18	$	20
Call - OTC 2-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	3.500	%	02/02/2009	$	12,000		65		96
Call - OTC 2-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		800		8		6
Call - OTC 2-Year Interest Rate Swap	JPM	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		500		5		4
Call - OTC 2-Year Interest Rate Swap	MLP	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		1,500		17		11
Call - OTC 2-Year Interest Rate Swap	MSC	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		1,200		11		9
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.150	%	12/15/2008		4,500		42		18
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		500		6		3

									$	172	$	167

Foreign Currency Options


Description	Exercise Price		Expiration Date	Notional Amount		Cost		Value
Call - OTC USD versus JPY	JPY	125.000	10/15/2008	$	2,000	$	0	$	1


Options on Securities

Description	Strike Price		Expiration Date	Notional Amount		Cost		Value
Put - OTC Fannie Mae 5.000% due 12/01/2038	$	72.000	12/04/2008	$	3,900	$	1	$	0
Put - OTC Fannie Mae 5.500% due 12/01/2038		75.000	12/04/2008		12,000		1		0
Put - OTC Fannie Mae 6.000% due 12/01/2038		81.000	12/04/2008		3,000		1		0
Put - OTC Freddie Mac 5.500% due 11/01/2038		78.000	11/06/2008		1,600		0		0
Put - OTC Ginnie Mae 6.000% due 12/01/2038		81.000	12/11/2008		10,000		1		1

						$	4	$	1

(h) Written options outstanding on September 30, 2008:

Interest Rate Swaptions


Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Value
Put - OTC 30-Year Interest Rate Swap	CITI	6-Month EUR-LIBOR	Pay	5.200	%	12/15/2008	EUR	300	$	7	$	1
Call - OTC 7-Year Interest Rate Swap	DUB	6-Month EUR-LIBOR	Receive	4.230	%	09/14/2009		1,200		16		16
Put - OTC 30-Year Interest Rate Swap	GSC	6-Month EUR-LIBOR	Pay	5.200	%	12/15/2008		500		13		1
Call - OTC 2-Year Interest Rate Swap	HSBC	6-Month EUR-LIBOR	Receive	5.290	%	06/10/2009		1,000		13		24
Put - OTC 2-Year Interest Rate Swap	HSBC	6-Month EUR-LIBOR	Pay	5.290	%	06/10/2009		1,000		13		4
Call - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	4.250	%	02/02/2009	$	4,000		59		80
Call - OTC 5-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	4.150	%	08/03/2009		200		5		4
Call - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		100		3		3
Call - OTC 30-Year Interest Rate Swap	GSC	3-Month USD-LIBOR	Receive	4.650	%	01/23/2009		700		10		29
Put - OTC 30-Year Interest Rate Swap	GSC	3-Month USD-LIBOR	Pay	5.650	%	01/23/2009		700		11		5
Call - OTC 7-Year Interest Rate Swap	JPM	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		200		7		6
Call - OTC 7-Year Interest Rate Swap	MLP	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		500		16		14
Call - OTC 7-Year Interest Rate Swap	MSC	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		400		13		11
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.300	%	12/15/2008		1,500		40		27
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		200		7		5

									$	233	$	230

Foreign Currency Options


Description	Exercise Price		Expiration Date	Notional Amount		Premium		Value
Put - OTC EUR versus USD	$	1.390	10/07/2008	EUR	542	$	5	$	5
Put - OTC GBP versus USD		1.710	10/10/2008	GBP	444		4		2

						$	9	$	7

Options on Securities


Description	Strike Price		Expiration Date	Notional Amount		Premium		Value
Put - OTC Fannie Mae 6.000% due 11/01/2038	$	99.406	10/24/2008	$	1,000	$	6	$	2

(i) Short sales outstanding on September 30, 2008:


Description	Coupon		Maturity Date	Principal Amount		Proceeds		Value⁽⁶⁾
Fannie Mae	5.500	%	11/01/2038	$	1,000	$	979	$	994
U.S. Treasury Bonds	5.000	%	05/15/2037		300		339		339
U.S. Treasury Notes	2.500	%	03/31/2013		200		196		197
U.S. Treasury Notes	3.500	%	02/15/2018		200		195		197

						$	1,709	$	1,727

⁽⁶⁾	Market value includes $8 of interest payable on short sales.

(j) Foreign currency contracts outstanding on September 30, 2008:


Type	Currency	Counterparty	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	AED	HSBC	1,117	04/2009	$	0	$	(6	)	$	(6	)
Buy	AUD	BCLY	57	10/2008		0		(3	)		(3	)
Buy		DUB	140	10/2008		0		(1	)		(1	)
Buy		UBS	127	10/2008		0		(1	)		(1	)
Sell		UBS	1,147	10/2008		79		0			79
Buy	BRL	BCLY	280	10/2008		0		(3	)		(3	)
Sell		HSBC	280	10/2008		8		0			8
Sell		CITI	60	12/2008		2		0			2
Buy		HSBC	662	12/2008		0		(24	)		(24	)
Sell		HSBC	444	12/2008		8		0			8
Buy		JPM	155	12/2008		0		(1	)		(1	)
Sell		JPM	579	12/2008		16		0			16
Sell		MSC	638	12/2008		18		0			18
Buy		RBC	1	12/2008		0		0			0
Buy		UBS	1,571	12/2008		0		(35	)		(35	)
Sell		UBS	668	12/2008		15		0			15
Sell		RBC	1	06/2009		0		0			0
Sell	CAD	RBC	1,127	10/2008		12		0			12
Buy	CLP	MSC	4,000	12/2008		0		(1	)		(1	)
Buy		JPM	6,033	05/2009		0		(2	)		(2	)
Buy	CNY	BCLY	1,657	11/2008		0		(3	)		(3	)
Buy		BCLY	2,395	05/2009		0		(21	)		(21	)
Buy		CITI	3,964	05/2009		0		(35	)		(35	)
Buy		HSBC	909	05/2009		0		(6	)		(6	)
Sell		HSBC	1,227	05/2009		4		0			4
Buy		JPM	1,749	05/2009		0		(14	)		(14	)
Buy		MSC	801	05/2009		0		(7	)		(7	)
Buy		BCLY	784	07/2009		0		(9	)		(9	)
Buy		DUB	1,619	07/2009		0		(18	)		(18	)
Buy		HSBC	815	07/2009		0		(8	)		(8	)
Buy		JPM	831	07/2009		0		(9	)		(9	)
Buy		BCLY	771	05/2010		0		(14	)		(14	)
Buy		MLP	867	05/2010		0		(15	)		(15	)
Buy	DKK	RBS	610	10/2008		0		(3	)		(3	)
Sell		MSC	608	12/2008		2		0			2
Sell	EUR	BCLY	100	10/2008		6		0			6
Buy		CITI	6,425	10/2008		25		0			25
Sell		CITI	6,425	10/2008		0		(21	)		(21	)
Buy		DUB	155	10/2008		2		0			2
Buy		HSBC	427	10/2008		0		(28	)		(28	)
Buy		JPM	255	10/2008		0		(15	)		(15	)
Buy		UBS	421	10/2008		1		(18	)		(17	)
Sell		UBS	7,587	10/2008		423		0			423
Sell		HSBC	43	11/2008		0		0			0
Buy	GBP	BCLY	73	10/2008		0		(6	)		(6	)
Buy		HSBC	90	10/2008		0		(7	)		(7	)
Buy		MSC	27	10/2008		0		(2	)		(2	)
Sell		UBS	271	10/2008		21		0			21
Sell		UBS	449	11/2008		16		0			16
Buy	HKD	BCLY	156	10/2008		0		0			0
Sell		CITI	311	10/2008		0		0			0
Buy		CSFB	234	10/2008		0		0			0
Buy		DUB	83	10/2008		0		0			0
Buy		HSBC	26	10/2008		0		0			0
Buy		CITI	310	01/2009		0		0			0
Buy	JPY	BCLY	227,067	10/2008		0		(38	)		(38	)
Sell		BCLY	101,015	10/2008		4		0			4
Sell		DUB	589,905	10/2008		0		(105	)		(105	)
Buy		MLP	21,101	10/2008		0		(2	)		(2	)
Buy		RBS	40,901	10/2008		0		(5	)		(5	)
Sell		UBS	19,769	10/2008		2		0			2
Sell		BCLY	19,479	11/2008		0		0			0
Sell	KRW	MLP	10,188	11/2008		1		0			1
Sell		BCLY	115,736	02/2009		14		0			14
Buy		MLP	129,007	02/2009		0		(19	)		(19	)
Sell	MXN	CITI	78	11/2008		0		0			0
Buy		RBC	78	11/2008		0		0			0
Buy		CITI	78	05/2009		0		0			0
Buy	MYR	BCLY	892	11/2008		0		(18	)		(18	)
Sell		BCLY	816	11/2008		0		(1	)		(1	)
Buy		CITI	499	11/2008		0		(14	)		(14	)
Buy		DUB	946	11/2008		0		(23	)		(23	)
Sell		HSBC	526	11/2008		1		0			1
Buy		JPM	300	11/2008		0		(5	)		(5	)
Buy	PHP	HSBC	8,000	11/2008		0		(11	)		(11	)
Buy		JPM	8,100	11/2008		0		(10	)		(10	)
Sell		MLP	13,747	11/2008		9		0			9
Sell		SSB	2,533	11/2008		1		0			1
Buy		BCLY	1,900	02/2009		0		(2	)		(2	)
Buy		DUB	900	02/2009		0		(1	)		(1	)
Buy		HSBC	2,230	02/2009		0		(2	)		(2	)
Buy		JPM	3,177	02/2009		0		(2	)		(2	)
Buy		MLP	700	02/2009		0		(1	)		(1	)
Buy		MSC	2,500	02/2009		0		(3	)		(3	)
Buy		RBS	700	02/2009		0		(1	)		(1	)
Buy		LEH	500	12/2010		0		(1	)		(1	)
Sell		LEH	500	12/2010		0		0			0
Sell	PLN	JPM	487	11/2008		12		0			12
Buy		HSBC	555	05/2009		0		(18	)		(18	)
Buy	RUB	DUB	5,867	11/2008		0		(8	)		(8	)
Sell		DUB	11,716	11/2008		19		0			19
Buy		HSBC	2,967	11/2008		0		(9	)		(9	)
Buy		HSBC	3,128	05/2009		0		(9	)		(9	)
Buy	SAR	JPM	938	04/2009		0		(4	)		(4	)
Sell	SEK	RBS	2,063	10/2008		13		0			13
Buy	SGD	BCLY	44	10/2008		0		(1	)		(1	)
Buy		DUB	20	10/2008		0		(1	)		(1	)
Buy		JPM	140	10/2008		0		(5	)		(5	)
Buy		UBS	40	10/2008		0		(1	)		(1	)
Sell		UBS	244	10/2008		1		0			1
Buy		BCLY	387	11/2008		0		(13	)		(13	)
Sell		BCLY	703	11/2008		5		0			5
Buy		BOA	190	11/2008		0		(7	)		(7	)
Buy		CITI	86	11/2008		0		(1	)		(1	)
Sell		DUB	278	11/2008		3		0			3
Buy		HSBC	72	11/2008		0		(3	)		(3	)
Buy		JPM	159	11/2008		0		(4	)		(4	)
Buy		UBS	434	11/2008		0		(8	)		(8	)
Buy	TWD	BCLY	1,223	02/2009		0		(2	)		(2	)
Buy		DUB	800	02/2009		0		(1	)		(1	)
Sell		HSBC	2,803	02/2009		3		0			3
Buy		MLP	800	02/2009		0		(1	)		(1	)
Buy		MSC	700	02/2009		0		(1	)		(1	)
Buy	ZAR	UBS	70	12/2008		0		0			0
Sell		UBS	73	12/2008		0		0			0

					$	746	$	(697	)	$	49

(k) Fair Value Measurements⁺

The following is a summary of the fair valuations according to the inputs used as of September 30, 2008 in valuing the Portfolio’s assets and liabilities:


	Quoted Prices in Active Markets for Identical Investments (Level 1)			Significant Other Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)			Value at 9/30/2008
Investments, at value	$	0		$	148,684		$	831		$	149,515
Short Sales, at value		0			(1,719	)		0			(1,719	)
Other Financial Instruments⁺⁺		(102	)		(199	)		(95	)		(396	)

Total	$	(102	)	$	146,766		$	736		$	147,400

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Portfolio during the period ending September 30, 2008:


	Beginning Balance at 12/31/2007			Net Purchases/ (Sales)		Accrued Discounts/ (Premiums)		Total Realized Gain/(Loss)		Total Unrealized Appreciation/ (Depreciation)			Net Transfers In/(Out) of Level 3			Ending Balance at 09/30/2008
Investments, at value	$	243		$	1,451	$	7	$	0	$	(752	)	$	(118	)	$	831
Other Financial Instruments⁺⁺		(9	)		0		0		0		(12	)		(74	)		(95	)

Total	$	234		$	1,451	$	7	$	0	$	(764	)	$	(192	)	$	736

⁺	See note 3 in the Supplementary Notes to Schedule of Investments for additional information.

⁺⁺	Other financial instruments may include open futures contracts, swap contracts, written options, and foreign currency contracts.

See Accompanying Notes

Schedule of Investments

Global Bond Portfolio (Unhedged)

September 30, 2008 (Unaudited)


	Principal Amount (000s)		Value (000s)
AUSTRALIA 3.3%
Medallion Trust
2.941% due 05/25/2035	$	661	$	625
National Australia Bank Ltd.
2.858% due 09/11/2009		500		499
3.999% due 06/29/2016		600		545
Puma Finance Ltd.
2.881% due 02/21/2038		631		599
7.510% due 07/12/2036	AUD	229		179
7.520% due 08/22/2037		780		594
Superannuation Members Home Loans Global Fund
2.962% due 11/09/2035	$	5,805		5,593
Swan Trust
2.884% due 05/12/2037		755		726
7.450% due 05/12/2037	AUD	1,038		792
Torrens Trust
7.873% due 10/19/2038		1,225		950

Total Australia (Cost $11,770)				11,102

BELGIUM 0.2%
Belgium Government Bond
4.250% due 09/28/2014	EUR	600		838

Total Belgium (Cost $922)				838

BERMUDA 0.2%
Merna Reinsurance Ltd.
4.412% due 07/07/2010	$	700		664

Total Bermuda (Cost $695)				664

BRAZIL 0.4%
Brazilian Government International Bond
10.250% due 01/10/2028	BRL	2,000		929
Vale Overseas Ltd.
6.250% due 01/11/2016	$	300		288

Total Brazil (Cost $1,423)				1,217

CANADA 3.2%
Broadway Credit Card Trust
5.234% due 06/17/2011	CAD	1,600		1,518
Canada Housing Trust No. 1
3.550% due 09/15/2013		1,600		1,482
Canadian Government Bond
4.000% due 06/01/2016		2,600		2,506
Citigroup Finance Canada, Inc.
5.500% due 05/21/2013		200		172
Daimler Canada Finance, Inc.
4.850% due 03/30/2009		200		189
Province of Ontario Canada
4.700% due 06/02/2037		2,900		2,581
6.200% due 06/02/2031		500		533
Rogers Wireless, Inc.
7.250% due 12/15/2012	$	200		203
Royal Bank of Canada
2.835% due 06/08/2010		700		695
Toronto-Dominion Bank
5.375% due 05/14/2015	EUR	700		921

Total Canada (Cost $11,333)				10,800

CAYMAN ISLANDS 0.6%
Mizuho Finance Cayman Ltd.
2.351% due 08/29/2049	JPY	100,000		944
Mizuho Financial Group Cayman Ltd.
8.375% due 12/29/2049	$	400		344
MUFG Capital Finance 1 Ltd.
6.346% due 07/29/2049		400		303
SMFG Preferred Capital USD 1 Ltd.
6.078% due 01/29/2049		400		287

Total Cayman Islands (Cost $2,083)				1,878

FRANCE 2.4%
BNP Paribas Covered Bonds S.A.
4.750% due 05/28/2013	EUR	700		972
Caisse Nationale des Caisses d’Epargne et de Prevoyance
6.117% due 10/29/2049		400		368
CM-CIC Covered Bonds
5.250% due 06/09/2010		600		848
France Government Bond
4.000% due 10/25/2038		100		124
4.750% due 04/25/2035		800		1,124
5.750% due 10/25/2032		1,200		1,919
Lafarge S.A.
6.500% due 07/15/2016	$	2,000		1,806
Vivendi
5.750% due 04/04/2013		900		881
6.625% due 04/04/2018		100		97

Total France (Cost $8,771)				8,139

GERMANY 19.4%
Bundesobligation
3.500% due 04/12/2013	EUR	900		1,252
Deutsche Bank AG
4.875% due 05/20/2013	$	1,700		1,625
Driver One GmbH
4.683% due 10/21/2015	EUR	500		681
Republic of Germany
3.750% due 01/04/2015		3,200		4,471
3.750% due 01/04/2017		14,700		20,354
4.000% due 01/04/2037		400		510
4.250% due 07/04/2014		4,100		5,896
4.250% due 07/04/2039		2,500		3,321
4.750% due 07/04/2028		300		429
4.750% due 07/04/2034		1,100		1,571
4.750% due 07/04/2040		400		576
5.500% due 01/04/2031		1,600		2,502
5.625% due 01/04/2028		3,550		5,603
6.250% due 01/04/2024		600		1,003
6.250% due 01/04/2030		8,200		13,922
6.500% due 07/04/2027		1,100		1,906

Total Germany (Cost $65,750)				65,622

ICELAND 0.1%
Glitnir Banki HF
3.046% due 04/20/2010	$	500		431

Total Iceland (Cost $500)				431

IRELAND 1.3%
Bank of Ireland
3.072% due 12/19/2008	$	400		399
Cars Alliance Funding PLC
5.079% due 10/08/2023	EUR	500		682
Immeo Residential Finance PLC
5.118% due 12/15/2016		972		1,218
Ireland Government Bond
4.400% due 06/18/2019		1,200		1,648
SC Germany Auto
4.585% due 08/11/2015		332		462

Total Ireland (Cost $4,868)				4,409

ITALY 0.5%
Locat Securitisation Vehicle SRL
5.119% due 12/12/2028	EUR	800		1,055
Seashell Securities PLC
5.263% due 07/25/2028		25		36
Siena Mortgages SpA
5.188% due 12/16/2038		185		251
Split SRL
5.103% due 10/25/2018		307		418

Total Italy (Cost $1,864)				1,760

JAPAN 27.7%
Bank of Tokyo-Mitsubishi UFJ Ltd.
3.500% due 12/16/2015	EUR	100		132
Japan Government Bond
0.900% due 12/20/2012	JPY	480,000		4,496
1.100% due 09/20/2012		2,750,000		26,004
1.200% due 03/20/2012		450,000		4,270
1.500% due 12/20/2017		1,010,000		9,601
1.600% due 09/20/2013		10,000		97
2.300% due 05/20/2030		7,000		67
2.400% due 03/20/2034		130,000		1,249
2.500% due 09/20/2035		620,000		6,073
2.500% due 03/20/2036		10,000		98
2.500% due 06/20/2036		630,000		6,158
2.500% due 09/20/2037		200,000		1,960
Japanese Government CPI Linked Bond
0.800% due 12/10/2015		122,880		1,086
1.100% due 12/10/2016		1,428,000		12,781
1.200% due 06/10/2017		123,360		1,105
1.200% due 12/10/2017		561,410		5,014
1.400% due 06/10/2018		1,391,920		12,609
Resona Bank Ltd.
5.850% due 09/29/2049	$	100		73
Sumitomo Mitsui Banking Corp.
1.762% due 12/31/2049	JPY	100,000		942
5.625% due 07/29/2049	$	100		80

Total Japan (Cost $92,244)				93,895

JERSEY, CHANNEL ISLANDS 0.0%
HSBC Capital Funding LP
9.547% due 12/29/2049	$	100		92

Total Jersey, Channel Islands (Cost $107)				92

LUXEMBOURG 0.0%
Silver Arrow S.A.
4.585% due 08/15/2014	EUR	72		101

Total Luxembourg (Cost $112)				101

NETHERLANDS 1.6%
Dutch Mortgage-Backed Securities BV
5.227% due 10/02/2079	EUR	753		1,046
Netherlands Government Bond
4.000% due 01/15/2037		600		752
4.250% due 07/15/2013		200		284
Rabobank Nederland NV
3.209% due 05/19/2010	$	3,300		3,292
Siemens Financieringsmaatschappij NV
2.854% due 08/14/2009		100		100

Total Netherlands (Cost $5,331)				5,474

NEW ZEALAND 0.4%
ANZ National International Ltd.
6.200% due 07/19/2013	$	1,500		1,490

Total New Zealand (Cost $1,500)				1,490

NORWAY 0.4%
DnB NOR Bank ASA
2.858% due 10/13/2009	$	300		299
DnB NOR Boligkreditt
4.500% due 05/16/2011	EUR	700		975

Total Norway (Cost $1,377)				1,274

PORTUGAL 0.6%
Banco Espirito Santo S.A.
5.500% due 07/21/2010	EUR	1,400		1,984

Total Portugal (Cost $2,199)				1,984

RUSSIA 0.3%
Gaz Capital S.A.
7.343% due 04/11/2013	$	300		273
8.146% due 04/11/2018		300		264
Gazstream S.A. for Gazprom OAO
5.625% due 07/22/2013		602		569

Total Russia (Cost $1,200)				1,106

SOUTH KOREA 0.2%
Export-Import Bank of Korea
5.750% due 05/22/2013	EUR	500		662

Total South Korea (Cost $770)				662

SPAIN 3.7%
Bancaja Fondo de Titulizacion de Activos
5.073% due 10/25/2037	EUR	157		193
Bankinter S.A.
5.000% due 05/14/2010		1,900		2,649
Santander Perpetual S.A. Unipersonal
6.671% due 10/29/2049	$	600		560
Santander U.S. Debt S.A. Unipersonal
2.874% due 11/20/2009		400		396
Spain Government Bond
4.750% due 07/30/2014	EUR	5,000		7,188
5.750% due 07/30/2032		900		1,396

Total Spain (Cost $12,148)				12,382

SWEDEN 1.4%
Stadshypotek AB
6.000% due 06/15/2011	SEK	15,000		2,231
Swedbank Hypotek AB
4.000% due 06/15/2011		17,000		2,353

Total Sweden (Cost $4,762)				4,584

SWITZERLAND 0.6%
UBS AG
5.750% due 04/25/2018	$	1,900		1,655
5.875% due 12/20/2017		500		445

Total Switzerland (Cost $2,388)				2,100

UNITED KINGDOM 5.1%
Bank of Scotland PLC
5.625% due 05/23/2013	EUR	2,100		2,691
Barclays Bank PLC
6.050% due 12/04/2017	$	1,100		1,025
7.700% due 04/29/2049		2,400		2,115
8.250% due 02/28/2049	GBP	300		477
HBOS PLC
5.920% due 09/29/2049	$	1,200		708
6.750% due 05/21/2018		800		671
HSBC Holdings PLC
6.500% due 05/02/2036		1,200		995
Permanent Financing PLC
5.089% due 09/10/2032	EUR	600		807
Punch Taverns Finance PLC
6.639% due 10/15/2032	GBP	100		142
Royal Bank of Scotland Group PLC
9.118% due 03/31/2049	$	800		776
Tate & Lyle International Finance PLC
6.125% due 06/15/2011		200		203
TI Group PLC
7.875% due 07/12/2010	GBP	1,000		1,821
United Kingdom Gilt
4.000% due 09/07/2016		400		697
4.250% due 06/07/2032		800		1,342
4.750% due 09/07/2015		1,500		2,736
XL Capital Finance Europe PLC
6.500% due 01/15/2012	$	100		96

Total United Kingdom (Cost $19,642)				17,302

UNITED STATES 93.3%
Asset-Backed Securities 11.5%
ABSC Manufactured Housing Contract
5.019% due 04/16/2030	$	520		495
Accredited Mortgage Loan Trust
3.247% due 09/25/2036		82		81
3.257% due 02/25/2037		384		367
AmeriCredit Automobile Receivables Trust
2.694% due 06/12/2009		777		773
Amortizing Residential Collateral Trust
3.497% due 07/25/2032		1		1
3.907% due 10/25/2031		2		2
Asset-Backed Funding Certificates
3.267% due 01/25/2037		316		298
Asset-Backed Securities Corp. Home Equity
3.257% due 12/25/2036		302		289
BA Credit Card Trust
2.498% due 02/15/2013		200		194
3.068% due 04/15/2013		1,800		1,762
3.688% due 12/16/2013		1,100		1,081
Bank One Issuance Trust
2.608% due 05/15/2014		1,600		1,527
3.860% due 06/15/2011		1,900		1,900
Capital Auto Receivables Asset Trust
2.588% due 01/15/2010		431		431
3.188% due 09/15/2010		800		799
3.938% due 10/15/2012		800		781
5.030% due 10/15/2009		95		95
Carrington Mortgage Loan Trust
3.257% due 12/25/2036		426		398
Chase Credit Card Master Trust
2.598% due 02/15/2011		500		500
Chase Issuance Trust
2.478% due 07/15/2011		800		795
2.508% due 11/15/2011		750		740
3.138% due 11/15/2011		3,100		3,075
3.388% due 05/16/2011		800		799
Citibank Omni Master Trust
4.188% due 03/20/2013		800		798
Countrywide Asset-Backed Certificates
3.237% due 01/25/2046		57		56
3.257% due 05/25/2037		722		703
Credit-Based Asset Servicing & Securitization LLC
3.267% due 11/25/2036		402		386
CS First Boston Mortgage Securities Corp.
3.827% due 01/25/2032		1		1
Daimler Chrysler Auto Trust
5.020% due 07/08/2010		307		308
First Franklin Mortgage Loan Asset-Backed Certificates
3.247% due 01/25/2038		395		372
Ford Credit Auto Owner Trust
2.776% due 06/15/2009		791		790
3.088% due 07/15/2010		2,233		2,231
3.388% due 01/15/2011		1,400		1,385
3.908% due 06/15/2012		1,100		1,072
5.260% due 10/15/2010		707		709
Franklin Auto Trust
2.726% due 06/22/2009		2,362		2,352
4.188% due 10/20/2011		700		694
Fremont Home Loan Trust
3.257% due 10/25/2036		297		284
GSAMP Trust
3.307% due 01/25/2047		403		390
3.497% due 03/25/2034		17		17
Home Equity Mortgage Trust
5.500% due 01/25/2037		225		54
HSI Asset Securitization Corp. Trust
3.257% due 12/25/2036		396		367
Indymac Residential Asset-Backed Trust
3.267% due 04/25/2037		279		272
JPMorgan Mortgage Acquisition Corp.
3.257% due 10/25/2036		386		365
Lehman XS Trust
3.287% due 04/25/2046		19		19
Merrill Lynch Mortgage Investors, Inc.
3.277% due 08/25/2036		138		134
Morgan Stanley ABS Capital I
3.247% due 07/25/2036		73		73
Nelnet Student Loan Trust
3.221% due 12/26/2016		1,466		1,440
3.330% due 04/27/2015		800		801
SACO I, Inc.
3.267% due 05/25/2036		40		35
3.407% due 04/25/2035		9		6
Sears Credit Account Master Trust
2.708% due 04/16/2013		800		792
Securitized Asset-Backed Receivables LLC Trust
3.257% due 12/25/2036		398		375
3.267% due 03/25/2036		12		12
SLC Student Loan Trust
3.269% due 06/15/2017		800		777
SLM Student Loan Trust
2.800% due 10/25/2016		346		343
3.019% due 12/17/2018		207		200
3.364% due 10/25/2017		1,600		1,554
3.480% due 07/25/2013		889		888
Structured Asset Securities Corp.
3.607% due 05/25/2034		10		8
4.900% due 04/25/2035		44		29
Truman Capital Mortgage Loan Trust
3.547% due 01/25/2034		7		7
Washington Mutual Asset-Backed Certificates
3.267% due 10/25/2036		456		431
Wells Fargo Home Equity Trust
3.437% due 10/25/2035		167		162

				38,875

Bank Loan Obligations 0.5%
Daimler Finance North America LLC
6.820% due 08/03/2012		2,178		1,479

Corporate Bonds & Notes 27.2%
Allstate Life Global Funding II
3.461% due 05/21/2010		2,100		2,090
Allstate Life Global Funding Trusts
5.375% due 04/30/2013		700		676
American Express Bank FSB
3.839% due 05/29/2012		200		182
5.500% due 04/16/2013		1,400		1,283
American Express Centurion Bank
2.568% due 07/13/2010		1,000		916
American Express Co.
7.000% due 03/19/2018		1,500		1,326
American Express Credit Corp.
2.546% due 03/02/2009		400		392
2.666% due 12/02/2010		200		180
5.109% due 05/27/2010		500		471
5.875% due 05/02/2013		500		461
American General Finance Corp.
6.900% due 12/15/2017		100		46
American International Group, Inc.
4.875% due 03/15/2067	EUR	200		49
6.250% due 03/15/2037	$	100		16
8.000% due 05/22/2038	EUR	1,700		455
8.175% due 05/15/2058	$	1,800		289
8.250% due 08/15/2018		1,000		582
Amgen, Inc.
6.150% due 06/01/2018		2,000		1,956
AutoZone, Inc.
5.875% due 10/15/2012		100		98
Bank of America Corp.
2.918% due 11/06/2009		400		391
4.625% due 02/07/2017	EUR	500		574
5.650% due 05/01/2018	$	100		84
8.000% due 12/29/2049		1,100		872
8.125% due 12/29/2049		1,600		1,295
Bank of America N.A.
3.404% due 05/12/2010		1,000		987
3.760% due 06/23/2010		1,300		1,277
Bear Stearns Cos. LLC
2.927% due 05/18/2010		1,000		980
3.416% due 10/02/2009 (k)	CAD	300		278
6.400% due 10/02/2017	$	1,000		936
6.950% due 08/10/2012		1,200		1,213
7.250% due 02/01/2018		1,300		1,253
BellSouth Corp.
5.200% due 09/15/2014		200		188
Block Financial LLC
7.875% due 01/15/2013		2,000		2,100
Boston Scientific Corp.
6.400% due 06/15/2016		200		191
Caterpillar Financial Services Corp.
4.001% due 06/25/2010		1,700		1,651
4.226% due 06/24/2011		1,900		1,831
Charter One Bank N.A.
2.845% due 04/24/2009		1,000		998
CIT Group, Inc.
2.925% due 06/08/2009		500		428
Citigroup Capital XXI
8.300% due 12/21/2077		800		596
Citigroup Funding, Inc.
3.852% due 05/07/2010		2,500		2,359
Citigroup, Inc.
3.809% due 12/26/2008		400		397
5.500% due 04/11/2013		2,000		1,748
6.125% due 11/21/2017		800		679
6.125% due 05/15/2018		2,900		2,405
8.400% due 04/29/2049		800		546
Cleveland Electric Illuminating Co.
5.700% due 04/01/2017		1,000		897
CMS Energy Corp.
3.741% due 01/15/2013		200		177
CNA Financial Corp.
6.000% due 08/15/2011		200		200
ConocoPhillips Australia Funding Co.
2.891% due 04/09/2009		380		376
CSX Corp.
6.300% due 03/15/2012		200		200
CVS Caremark Corp.
5.750% due 08/15/2011		200		203
Daimler Finance North America LLC
3.169% due 03/13/2009		600		598
5.750% due 05/18/2009		200		200
Darden Restaurants, Inc.
6.200% due 10/15/2017		1,000		847
DR Horton, Inc.
6.000% due 04/15/2011		200		180
El Paso Performance-Linked Trust
7.750% due 07/15/2011		300		305
Erac USA Finance Co.
5.800% due 10/15/2012		800		728
FPL Group Capital, Inc.
3.696% due 06/17/2011		600		605
GATX Financial Corp.
5.500% due 02/15/2012		1,000		1,015
General Electric Capital Corp.
2.919% due 06/15/2009		200		199
3.712% due 05/22/2013		800		764
4.800% due 05/01/2013		700		639
GMAC LLC
4.054% due 05/15/2009		500		362
Goldman Sachs Group, Inc.
3.270% due 12/23/2009		600		552
5.375% due 02/15/2013	EUR	200		235
5.950% due 01/18/2018	$	500		413
6.150% due 04/01/2018		700		583
7.250% due 04/10/2028	GBP	500		715
HJ Heinz Co.
6.428% due 12/01/2020	$	300		301
HJ Heinz Finance Co.
6.000% due 03/15/2012		100		102
HSBC Finance Corp.
3.152% due 06/19/2009		400		387
International Lease Finance Corp.
5.350% due 03/01/2012		200		148
5.400% due 02/15/2012		200		149
iStar Financial, Inc.
5.150% due 03/01/2012		200		100
JC Penney Corp., Inc.
8.000% due 03/01/2010		200		204
JPMorgan Chase & Co.
3.336% due 06/25/2012		1,600		1,513
5.058% due 02/22/2021	CAD	200		171
6.000% due 01/15/2018	$	1,800		1,644
JPMorgan Chase Capital XX
6.550% due 09/29/2036		400		294
JPMorgan Chase Capital XXII
6.450% due 02/02/2037		100		73
Kraft Foods, Inc.
6.250% due 06/01/2012		200		201
Lehman Brothers Holdings, Inc.
2.907% due 11/16/2009 (a)		1,700		221
5.625% due 01/24/2013 (a)		1,000		130
6.875% due 05/02/2018 (a)		800		104
Ltd. Brands, Inc.
6.900% due 07/15/2017		1,000		844
Mandalay Resort Group
6.500% due 07/31/2009		400		382
Marsh & McLennan Cos., Inc.
5.375% due 07/15/2014		2,000		1,854
Masco Corp.
6.125% due 10/03/2016		200		174
Merck & Co., Inc.
4.750% due 03/01/2015		200		197
Merrill Lynch & Co., Inc.
2.839% due 10/23/2008		200		200
2.894% due 08/14/2009		200		193
3.310% due 03/23/2010		500		470
5.054% due 05/12/2010		2,800		2,702
6.875% due 04/25/2018		1,500		1,329
Metropolitan Life Global Funding I
3.069% due 03/15/2012		900		878
5.125% due 04/10/2013		1,300		1,264
Mohawk Industries, Inc.
6.125% due 01/15/2016		1,000		903
Morgan Stanley
3.041% due 01/09/2012		1,200		794
3.235% due 10/18/2016		200		131
3.271% due 10/15/2015		1,000		546
4.904% due 05/14/2010		1,100		803
6.000% due 04/28/2015		1,700		1,158
6.625% due 04/01/2018		1,600		1,061
Nabors Industries, Inc.
6.150% due 02/15/2018		4,100		3,916
Nationwide Health Properties, Inc.
6.000% due 05/20/2015		500		473
Newell Rubbermaid, Inc.
4.000% due 05/01/2010		200		197
NGPL Pipe Co. LLC
7.119% due 12/15/2017		500		475
Norfolk Southern Corp.
5.257% due 09/17/2014		1,000		1,002
Oracle Corp.
2.864% due 05/14/2010		1,000		995
Pricoa Global Funding I
3.606% due 06/26/2012		900		865
3.613% due 06/04/2010		2,900		2,887
Principal Life Income Funding Trusts
5.300% due 04/24/2013		800		798
Rabobank Capital Funding Trust
5.254% due 12/29/2049		400		345
Ryder System, Inc.
5.850% due 11/01/2016		200		190
Sara Lee Corp.
6.250% due 09/15/2011		200		202
Sealed Air Corp.
5.625% due 07/15/2013		1,000		983
Sprint Nextel Corp.
6.000% due 12/01/2016		200		154
State Street Capital Trust IV
3.819% due 06/15/2037		500		331
Target Corp.
7.000% due 01/15/2038		600		565
Time Warner, Inc.
3.034% due 11/13/2009		400		384
5.500% due 11/15/2011		200		192
U.S. Bancorp
3.739% due 04/28/2009		300		298
UnitedHealth Group, Inc.
3.384% due 06/21/2010		1,000		968
UST, Inc.
5.750% due 03/01/2018		1,000		965
Verizon Communications, Inc.
4.350% due 02/15/2013		1,000		934
Wachovia Bank N.A.
3.250% due 03/23/2009		500		471
Wachovia Corp.
2.921% due 10/15/2011		800		552
5.500% due 05/01/2013		1,600		1,325
Wells Fargo & Co.
4.375% due 01/31/2013		400		368
Wyeth
6.950% due 03/15/2011		200		211
Xerox Corp.
9.750% due 01/15/2009		200		203
Yum! Brands, Inc.
6.250% due 03/15/2018		700		650

				92,242

Mortgage-Backed Securities 11.0%
Adjustable Rate Mortgage Trust
5.139% due 09/25/2035		59		47
American Home Mortgage Assets
3.397% due 05/25/2046		667		431
3.417% due 10/25/2046		933		364
Banc of America Commercial Mortgage, Inc.
5.421% due 04/10/2049		848		814
Banc of America Funding Corp.
5.888% due 04/25/2037		800		461
5.986% due 10/20/2046		507		332
Banc of America Mortgage Securities, Inc.
5.000% due 05/25/2034		197		179
BCAP LLC Trust
3.377% due 01/25/2037		851		525
Bear Stearns Adjustable Rate Mortgage Trust
4.125% due 03/25/2035		900		845
4.150% due 08/25/2035		428		404
4.417% due 05/25/2034		183		169
4.487% due 08/25/2033		93		90
4.550% due 08/25/2035		436		417
4.630% due 05/25/2034		46		44
4.644% due 10/25/2033		73		70
4.772% due 11/25/2034		43		39
5.474% due 05/25/2047		1,054		888
Bear Stearns Alt-A Trust
5.504% due 09/25/2035		307		247
5.577% due 11/25/2035		444		332
6.250% due 08/25/2036		535		334
Bear Stearns Commercial Mortgage Securities
2.598% due 03/15/2019		520		485
5.540% due 09/11/2041		500		447
Bear Stearns Mortgage Funding Trust
3.277% due 02/25/2037		515		464
Bear Stearns Structured Products, Inc.
5.772% due 12/26/2046		259		206
CC Mortgage Funding Corp.
3.387% due 07/25/2036		285		181
Citigroup Commercial Mortgage Trust
5.889% due 12/10/2049		400		342
Citigroup Mortgage Loan Trust, Inc.
4.248% due 08/25/2035		212		202
4.748% due 08/25/2035		208		198
Countrywide Alternative Loan Trust
3.368% due 02/20/2047		460		281
3.382% due 12/20/2046		930		567
3.398% due 03/20/2046		290		179
3.398% due 07/20/2046		835		515
3.487% due 02/25/2037		353		230
3.557% due 05/25/2037		177		101
4.355% due 11/25/2035		85		56
4.895% due 11/25/2035		85		57
5.250% due 06/25/2035		100		83
5.891% due 11/25/2035		821		591
6.000% due 04/25/2037		260		163
6.158% due 08/25/2036		432		394
6.250% due 08/25/2037		87		52
6.500% due 06/25/2036		466		246
Countrywide Home Loan Mortgage Pass-Through Trust
3.437% due 05/25/2035		194		125
3.497% due 04/25/2035		62		40
3.527% due 03/25/2035		223		137
3.537% due 02/25/2035		21		13
3.587% due 09/25/2034		25		19
4.128% due 11/19/2033		162		144
4.723% due 08/25/2034		23		18
4.797% due 11/25/2034		71		62
Credit Suisse Mortgage Capital Certificates
6.500% due 07/26/2036		275		199
CS First Boston Mortgage Securities Corp.
4.557% due 08/25/2033		105		104
6.500% due 04/25/2033		4		4
CSAB Mortgage-Backed Trust
3.307% due 06/25/2036		7		7
Deutsche ALT-A Securities, Inc. Alternate Loan Trust
5.886% due 10/25/2036		800		519
First Horizon Asset Securities, Inc.
4.428% due 07/25/2033		23		23
4.593% due 12/25/2033		45		43
6.250% due 08/25/2017		135		131
GE Capital Commercial Mortgage Corp.
4.229% due 12/10/2037		379		370
GMAC Mortgage Corp. Loan Trust
5.500% due 09/25/2034		88		87
Greenpoint Mortgage Funding Trust
3.477% due 11/25/2045		26		16
Greenwich Capital Commercial Funding Corp.
5.444% due 03/10/2039		800		678
GSR Mortgage Loan Trust
4.496% due 03/25/2033		64		61
4.513% due 06/25/2034		26		24
4.539% due 09/25/2035		1,069		915
Harborview Mortgage Loan Trust
3.220% due 01/19/2038		153		92
3.400% due 02/19/2034		7		7
3.705% due 12/19/2036		342		189
5.150% due 05/19/2033		99		93
Indymac Index Mortgage Loan Trust
5.099% due 09/25/2035		707		479
JPMorgan Alternative Loan Trust
5.550% due 10/25/2036		267		209
JPMorgan Chase Commercial Mortgage Securities Corp.
5.420% due 01/15/2049		1,300		1,083
5.429% due 12/12/2043		300		261
JPMorgan Mortgage Trust
4.376% due 11/25/2033		58		57
4.766% due 07/25/2035		617		553
5.003% due 07/25/2035		641		591
5.021% due 02/25/2035		126		110
Lehman XS Trust
3.287% due 07/25/2046		85		84
MASTR Alternative Loans Trust
3.607% due 03/25/2036		108		59
MASTR Asset Securitization Trust
4.500% due 03/25/2018		139		137
Mellon Residential Funding Corp.
2.928% due 12/15/2030		37		35
Merrill Lynch Countrywide Commercial Mortgage Trust
3.024% due 07/09/2009		800		730
5.172% due 12/12/2049		300		258
6.156% due 08/12/2049		1,900		1,654
Merrill Lynch Mortgage Investors, Inc.
3.417% due 02/25/2036		252		204
3.457% due 08/25/2036		82		57
6.013% due 02/25/2033		36		35
MLCC Mortgage Investors, Inc.
4.352% due 10/25/2035		340		317
Nomura Asset Acceptance Corp.
5.050% due 10/25/2035		56		42
Residential Accredit Loans, Inc.
3.357% due 02/25/2047		364		208
3.387% due 06/25/2046		908		570
3.417% due 04/25/2046		405		261
Structured Adjustable Rate Mortgage Loan Trust
4.180% due 02/25/2034		41		35
4.590% due 04/25/2034		103		92
5.210% due 09/25/2034		203		186
Structured Asset Mortgage Investments, Inc.
3.280% due 07/19/2035		712		649
3.320% due 07/19/2034		10		8
3.380% due 03/19/2034		19		17
3.397% due 07/25/2046		960		593
3.417% due 05/25/2046		216		133
3.427% due 05/25/2036		998		616
3.427% due 09/25/2047		600		166
Thornburg Mortgage Securities Trust
3.317% due 11/25/2046		506		486
Wachovia Bank Commercial Mortgage Trust
2.578% due 09/15/2021		549		502
5.037% due 03/15/2042		800		755
5.342% due 12/15/2043		1,500		1,240
WaMu Mortgage Pass-Through Certificates
3.477% due 12/25/2045		135		88
3.497% due 10/25/2045		69		44
3.517% due 01/25/2045		22		15
3.527% due 01/25/2045		21		15
3.555% due 02/25/2047		898		473
3.747% due 12/25/2027		90		77
3.948% due 02/27/2034		15		14
4.229% due 03/25/2034		162		156
4.255% due 08/25/2042		16		14
4.329% due 07/25/2046		441		327
4.559% due 06/25/2033		37		36
4.569% due 09/25/2033		3,663		3,664
5.468% due 02/25/2037		1,015		853
Washington Mutual Alternative Mortgage Pass-Through Certificates
3.795% due 07/25/2046		157		86
Wells Fargo Mortgage-Backed Securities Trust
4.500% due 11/25/2018		299		291
4.750% due 10/25/2018		178		174
4.950% due 03/25/2036		366		324
5.547% due 04/25/2036		79		52

				37,367

Municipal Bonds & Notes 1.5%
California State Educational Facilities Authority Revenue Bonds, Series 2007
4.750% due 10/01/2037		400		351
California State General Obligation Bonds, Series 2007
5.000% due 11/01/2037		1,300		1,176
Chicago, Illinois General Obligation Bonds, (AMBAC Insured), Series 2007
5.000% due 01/01/2039		200		183
Chicago, Illinois Transit Authority Revenue Bonds, Series 2008
6.899% due 12/01/2040		1,400		1,458
Golden State, California Tobacco Securitization Corp. Revenue Bonds, Series 2007
0.000% due 06/01/2037 (c)		600		318
Iowa State Tobacco Settlement Authority Revenue Bonds, Series 2005
5.600% due 06/01/2034		1,300		1,053
New York City, New York Transitional Finance Authority Revenue Bonds, Series 2004
5.000% due 02/01/2028		25		24
Ohio State Buckeye Tobacco Settlement Financing Authority Revenue Bonds, Series 2007
5.875% due 06/01/2047		400		303
Puerto Rico Sales Tax Financing Corp. Revenue Bonds, (AMBAC Insured), Series 2007
0.000% due 08/01/2054		100		5

				4,871


	Shares
Preferred Stocks 0.2%
DG Funding Trust
5.051% due 12/31/2049		58		592

	Principal Amount (000s)
U.S. Government Agencies 41.2%
Fannie Mae
3.327% due 03/25/2034	$	23		22
3.357% due 08/25/2034		14		13
3.407% due 10/27/2037		1,200		1,105
3.457% due 06/25/2044		15		15
4.503% due 11/01/2034		209		211
4.942% due 12/01/2034		36		36
5.000% due 10/01/2023 - 11/01/2038		10,719		10,435
5.500% due 10/01/2016 - 11/01/2038		15,040		15,000
5.500% due 12/01/2036 - 05/01/2047 (f)		5,741		5,678
5.925% due 10/01/2034		17		17
6.000% due 10/01/2038 - 07/25/2044		30,083		30,445
6.500% due 10/01/2038		3,000		3,075
Freddie Mac
2.718% due 02/15/2019		1,124		1,096
2.988% due 04/15/2028		776		768
3.487% due 09/25/2031		58		55
4.000% due 03/01/2010		381		380
4.278% due 10/25/2044		123		119
4.500% due 02/15/2017 - 02/01/2018		1,541		1,527
5.000% due 03/15/2017		234		236
5.332% due 04/01/2037		278		281
5.500% due 06/01/2036 - 10/01/2038		6,177		6,141
5.500% due 02/01/2038 (f)		22,607		22,509
5.714% due 02/01/2029		20		20
6.000% due 04/15/2036 - 08/01/2038		2,063		2,011
Ginnie Mae
5.125% due 11/20/2024		5		5
6.000% due 09/20/2038 - 10/01/2038		35,900		36,391
6.500% due 10/01/2038		2,000		2,047

				139,638

U.S. Treasury Obligations 0.2%
U.S. Treasury Strips
0.000% due 05/15/2017		430		302
0.000% due 08/15/2020		300		175
0.000% due 11/15/2021		600		329

				806

Total United States (Cost $337,810)				315,870

SHORT-TERM INSTRUMENTS 5.7%
Certificates of Deposit 1.1%
Unicredito Italiano NY
3.088% due 05/15/2009		3,200		3,200
3.088% due 05/18/2009		500		500

				3,700

Repurchase Agreements 0.6%
State Street Bank and Trust Co.
1.000% due 10/01/2008		2,258		2,258
(Dated 09/30/2008. Collateralized by Fannie Mae 5.500% due 12/14/2022 valued at $2,303. Repurchase proceeds are $2,258.)

U.S. Treasury Bills 4.0%
1.438% due 10/16/2008 - 12/26/2008 (b)(d)(e)		13,570		13,498

Total Short-Term Instruments (Cost $19,491)				19,456

Purchased Options (i) 0.4% (Cost $1,021)				1,249
Total Investments 173.0% (Cost $612,081)			$	585,881
Written Options (j) (0.3%) (Premiums $1,075)				(1,075	)
Other Assets and Liabilities (Net) (72.7%)				(246,219	)

Net Assets 100.0%			$	338,587

Notes to Schedule of Investments (amounts in thousands*, except number of contracts):

* A zero balance may reflect actual amounts rounding to less than one thousand.

(a) Security is in default.

(b) Coupon represents a weighted average rate.

(d) Securities with an aggregate market value of $7,635 have been pledged as collateral for swap and swaption contracts on September 30, 2008.

(e) Securities with an aggregate market value of $99 have been pledged as collateral for delayed-delivery mortgage-backed securities on September 30, 2008.

(f) The average amount of borrowings while outstanding during the period ended September 30, 2008 was $15,587 at a weighted average interest rate of 2.491%. On September 30, 2008, securities valued at $15,609 were pledged as collateral for reverse repurchase agreements.

(g) Cash of $3,570 has been pledged as collateral for the following open futures contracts on September 30, 2008:


Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
3-Month Canadian Bankers’ Acceptance December Futures	Short	12/2008	49	$	22
90-Day Euribor December Futures	Long	12/2008	50		6
90-Day Euribor June Futures	Long	06/2009	38		71
90-Day Euribor March Futures	Long	03/2009	78		126
90-Day Euribor March Futures Put Options Strike @ EUR 95.250	Short	03/2009	112		7
90-Day Eurodollar December Futures	Long	12/2008	279		(281	)
90-Day Eurodollar December Futures	Long	12/2009	282		164
90-Day Eurodollar March Futures	Long	03/2009	181		(6	)
90-Day Eurodollar March Futures	Long	03/2010	120		(136	)
90-Day Eurodollar October Futures	Long	10/2008	143		(395	)
Australia Government 3-Year Bond December Futures	Short	12/2008	37		(21	)
Australia Government 10-Year Bond December Futures	Short	12/2008	28		(26	)
Canada Government 10-Year Bond December Futures	Long	12/2008	1		(1	)
Euro-Bobl December Futures	Short	12/2008	73		(137	)
Euro-Bobl December Futures Call Options Strike @ EUR 124.000	Long	12/2008	73		0
Euro-Bobl December Futures Put Options Strike @ EUR 100.000	Long	12/2008	82		0
Euro-Bund 10-Year Bond December Futures	Short	12/2008	167		(152	)
Euro-Bund 10-Year Bond December Futures Call Options Strike @ EUR 128.000	Long	12/2008	154		0
Euro-Bund 10-Year Bond December Futures Put Options Strike @ EUR 104.500	Long	12/2008	13		0
Euro-Schatz December Futures	Short	12/2008	54		(66	)
Euro-Schatz December Futures Call Options Strike @ EUR 106.700	Long	12/2008	78		5
U.S. Treasury 10-Year Note December Futures	Long	12/2008	399		(654	)
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures Put Options Strike @ GBP 92.000	Short	12/2009	82		28
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures Put Options Strike @ GBP 93.000	Short	06/2009	139		65
United Kingdom Government 10-Year Bond December Futures	Long	12/2008	12		3

				$	(1,378	)

(h) Swap agreements outstanding on September 30, 2008:

Credit Default Swaps on Corporate and Sovereign Issues - Buy Protection⁽¹⁾


Reference Obligation	Fixed Deal (Pay) Rate		Maturity Date	Counterparty	Implied Credit Spread at September 30, 2008⁽³⁾		Notional Amount⁽⁴⁾		Market Value			Upfront Premiums Paid/ (Received)		Unrealized Appreciation/ (Depreciation)
Akzo Nobel NV 4.250% due 06/14/2011	(0.290	%)	06/20/2012	DUB	0.694	%	EUR	200	$	4		$	0	$	4
American General Finance Corp. 6.900% due 12/15/2017	(1.370	%)	12/20/2017	MLP	9.139	%	$	100		44			0		44
Amgen, Inc. 6.150% due 06/01/2018	(1.000	%)	06/20/2018	UBS	0.758	%		2,000		(38	)		0		(38	)
AutoZone, Inc. 5.500% due 11/15/2015	(0.920	%)	06/20/2013	RBS	0.927	%		1,000		0			0		0
AutoZone, Inc. 5.875% due 10/15/2012	(0.680	%)	12/20/2012	CITI	0.880	%		100		1			0		1
Bear Stearns Cos., Inc. 6.400% due 10/02/2017	(0.760	%)	12/20/2017	CSFB	1.400	%		1,000		45			0		45
Bear Stearns Cos., Inc. 7.250% due 02/01/2018	(2.180	%)	03/20/2018	BNP	1.400	%		600		(34	)		0		(34	)
Bear Stearns Cos., Inc. 7.250% due 02/01/2018	(2.223	%)	03/20/2018	RBS	1.400	%		700		(42	)		0		(42	)
BellSouth Corp. 5.200% due 09/15/2014	(0.395	%)	09/20/2014	DUB	0.417	%		200		0			0		0
Block Financial LLC 7.875% due 01/15/2013	(1.030	%)	03/20/2013	BCLY	1.280	%		2,000		19			0		19
Boston Scientific Corp. 6.400% due 06/15/2016	(2.060	%)	06/20/2016	UBS	1.800	%		200		(3	)		0		(3	)
Capital One Bank USA N.A. 5.125% due 02/15/2014	(0.160	%)	06/20/2012	BCLY	3.664	%		400		44			0		44
Citigroup, Inc. 6.125% due 05/15/2018	(0.940	%)	06/20/2018	BOA	2.656	%		2,000		226			0		226
Cleveland Electric Illuminating Co. 5.700% due 04/01/2017	(0.940	%)	06/20/2017	RBS	0.898	%		1,000		(3	)		0		(3	)
CNA Financial Corp. 6.000% due 08/15/2011	(0.440	%)	09/20/2011	BEAR	1.096	%		100		2			0		2
CNA Financial Corp. 6.000% due 08/15/2011	(0.440	%)	09/20/2011	JPM	1.096	%		100		2			0		2
Compass Group PLC 6.375% due 05/29/2012	(0.390	%)	06/20/2012	MLP	0.542	%	EUR	200		1			0		1
CSX Corp. 6.300% due 03/15/2012	(0.230	%)	03/20/2012	MLP	1.271	%	$	200		7			0		7
CVS Caremark Corp. 5.750% due 08/15/2011	(0.550	%)	09/20/2011	RBS	0.447	%		200		(1	)		0		(1	)
Daimler Canada Finance, Inc. 4.850% due 03/30/2009	(0.350	%)	06/20/2009	RBC	0.649	%		200		0			0		0
Daimler Finance N.A. LLC 5.750% due 05/18/2009	(0.380	%)	06/20/2009	CSFB	0.649	%		200		0			0		0
Darden Restaurants, Inc. 6.200% due 10/15/2017	(1.450	%)	12/20/2017	CITI	2.150	%		1,000		46			0		46
Deutsche Bank AG 4.875% due 05/20/2013	(0.760	%)	09/20/2013	BCLY	1.548	%		100		3			0		3
Erac USA Finance Co. 5.800% due 10/15/2012	(2.700	%)	12/20/2012	JPM	3.886	%		800		32			0		32
GATX Financial Corp. 5.500% due 02/15/2012	(0.605	%)	03/20/2012	RBS	1.628	%		1,000		32			0		32
Glitnir Banki HF 3-Month USD-LIBOR plus 0.260% due 04/20/2010	(0.170	%)	06/20/2010	MSC	17.744	%		500		115			0		115
GlobalSantaFe Corp. 5.000% due 02/15/2013	(0.520	%)	06/20/2012	WAC	0.392	%		100		0			0		0
Goldman Sachs Group, Inc. 6.600% due 01/15/2012	(1.520	%)	06/20/2013	BCLY	4.447	%		100		11			0		11
H.J. Heinz Finance Co. 6.000% due 03/15/2012	(0.370	%)	03/20/2012	BEAR	0.442	%		100		0			0		0
International Lease Finance Corp. 5.350% due 03/01/2012	(0.130	%)	03/20/2012	MLP	9.967	%		200		48			0		48
International Lease Finance Corp. 5.400% due 02/15/2012	(0.170	%)	03/20/2012	BCLY	9.967	%		200		48			0		48
iStar Financial, Inc. 5.150% due 03/01/2012	(0.450	%)	03/20/2012	CSFB	29.134	%		200		91			0		91
JC Penney Corp., Inc. 8.000% due 03/01/2010	(0.270	%)	03/20/2010	DUB	1.598	%		200		4			0		4
JPMorgan Chase & Co. 5.058% until 02/22/2016 and 1-Month CAD Offered Rate plus 1.000% thereafter, due 02/22/2021	(0.310	%)	03/20/2016	RBC	1.900	%		200		19			0		19
JPMorgan Chase & Co. 6.000% due 01/15/2018	(0.737	%)	03/20/2018	BNP	1.400	%		700		33			0		33
JPMorgan Chase & Co. 6.000% due 01/15/2018	(0.720	%)	03/20/2018	DUB	1.400	%		700		34			0		34
Koninklijke DSM NV 4.000% due 11/10/2015	(0.365	%)	06/20/2012	GSC	0.672	%	EUR	200		3			0		3
Kraft Foods, Inc. 6.250% due 06/01/2012	(0.170	%)	06/20/2012	BEAR	0.710	%	$	200		4			0		4
Lafarge S.A. 6.500% due 07/15/2016	(1.690	%)	09/20/2016	BOA	3.174	%		2,000		171			0		171
Lehman Brothers Holdings, Inc. 6.875% due 05/02/2018	(1.552	%)	06/20/2018	JPM	Defaulte	d		800		676			0		676
Ltd. Brands, Inc. 6.900% due 07/15/2017	(2.850	%)	09/20/2017	JPM	3.100	%		1,000		14			0		14
Marsh & McLennan Cos., Inc, 5.375% due 07/15/2014	(0.590	%)	09/20/2014	DUB	0.678	%		1,000		4			0		4
Marsh & McLennan Cos., Inc, 5.375% due 07/15/2014	(0.670	%)	09/20/2014	DUB	0.678	%		1,000		0			0		0
Masco Corp. 6.125% due 10/03/2016	(0.907	%)	12/20/2016	CSFB	2.560	%		200		19			0		19
Merck & Co., Inc. 4.750% due 03/01/2015	(0.550	%)	03/20/2015	RBS	0.449	%		200		(1	)		0		(1	)
Mohawk Industries, Inc. 6.125% due 01/15/2016	(1.550	%)	03/20/2016	UBS	2.379	%		1,000		47			0		47
Morgan Stanley 3-Month USD-LIBOR plus 0.450% due 10/18/2016	(0.320	%)	12/20/2016	RBS	8.756	%		200		67			0		67
Morgan Stanley 3-Month USD-LIBOR plus 0.480% due 10/15/2015	(1.350	%)	12/20/2015	JPM	9.149	%		1,000		286			0		286
Morgan Stanley 6.600% due 04/01/2012	(1.850	%)	09/20/2018	DUB	8.256	%		1,300		364			0		364
Nabors Industries, Inc. 6.150% due 02/15/2018	(0.820	%)	03/20/2018	CITI	1.272	%		1,000		33			0		33
Nabors Industries, Inc. 6.150% due 02/15/2018	(0.630	%)	03/20/2018	DUB	1.272	%		1,000		47			0		47
Nabors Industries, Inc. 6.150% due 02/15/2018	(1.050	%)	03/20/2018	UBS	1.272	%		2,100		33			0		33
Nationwide Health Properties, Inc. 6.000% due 05/20/2015	(1.990	%)	06/20/2015	JPM	1.821	%		500		(5	)		0		(5	)
Newell Rubbermaid, Inc. 4.000% due 05/01/2010	(0.130	%)	06/20/2010	CITI	0.472	%		200		1			0		1
Nordstrom, Inc. 6.950% due 03/15/2028	(1.040	%)	06/20/2013	GSC	1.474	%		1,000		18			0		18
Norfolk Southern Corp. 5.257% due 09/17/2014	(0.450	%)	09/20/2014	BCLY	0.415	%		1,000		(2	)		0		(2	)
RadioShack Corp. 7.375% due 05/15/2011	(1.400	%)	06/20/2013	DUB	1.742	%		600		8			0		8
RadioShack Corp. 7.375% due 05/15/2011	(1.410	%)	06/20/2013	GSC	1.742	%		1,000		13			0		13
Rogers Wireless, Inc. 7.250% due 12/15/2012	(0.540	%)	12/20/2012	MSC	1.622	%		200		8			0		8
Ryder System, Inc. 5.850% due 11/01/2016	(0.460	%)	12/20/2016	BEAR	1.581	%		200		14			0		14
Sara Lee Corp. 6.250% due 09/15/2011	(0.630	%)	09/20/2011	RBS	0.452	%		200		(1	)		0		(1	)
SCA Finans AB 4.500% due 07/15/2015	(0.250	%)	06/20/2012	GSC	1.711	%	EUR	200		14			0		14
Sealed Air Corp. 5.625% due 07/15/2013	(1.035	%)	09/20/2013	BCLY	1.774	%	$	1,000		32			0		32
Smith Group PLC 7.875% due 07/12/2010	(0.530	%)	09/20/2010	RBS	0.598	%	GBP	1,000		2			0		2
Sprint Nextel Corp. 6.000% due 12/01/2016	(1.125	%)	12/20/2016	BEAR	3.750	%	$	200		29			0		29
Tate & Lyle International Finance PLC 6.125% due 06/15/2011	(1.760	%)	06/20/2011	BNP	1.868	%		200		0			0		0
Time Warner, Inc. 5.500% due 11/15/2011	(0.310	%)	12/20/2011	BOA	1.342	%		200		6			0		6
United Utilities PLC 6.875% due 08/15/2028	(0.235	%)	06/20/2012	DUB	0.822	%	EUR	200		6			0		6
UST, Inc. 5.750% due 03/01/2018	(0.720	%)	03/20/2018	GSC	0.471	%	$	1,000		(20	)		0		(20	)
Vivendi 6.625% due 04/04/2018	(1.500	%)	06/20/2018	DUB	1.495	%		100		0			0		0
Xerox Corp. 9.750% due 01/15/2009	(0.290	%)	03/20/2009	MSC	1.300	%		200		1			0		1
XL Capital Finance Europe PLC 6.500% due 01/15/2012	(0.310	%)	03/20/2012	BCLY	4.029	%		100		11			0		11
Yum! Brands, Inc. 6.250% due 03/15/2018	(0.950	%)	03/20/2018	CITI	1.282	%		700		17			0		17

									$	2,709		$	0	$	2,709

Credit Default Swaps on Corporate and Sovereign Issues - Sell Protection⁽²⁾


Reference Obligation	Fixed Deal Receive Rate		Maturity Date	Counterparty	Implied Credit Spread at September 30, 2008⁽³⁾		Notional Amount⁽⁴⁾		Market Value			Upfront Premiums Paid/ (Received)		Unrealized Appreciation/ (Depreciation)
Berkshire Hathaway Finance Corp. 4.625% due 10/15/2013	0.980	%	09/20/2013	HSBC	1.418	%	$	1,400	$	(26	)	$	0	$	(26	)
Deutsche Bank AG 5.500% due 05/18/2011	0.550	%	12/20/2008	RBS	1.543	%		1,400		(3	)		0		(3	)
Ford Motor Credit Co. LLC 7.250% due 10/25/2011	7.500	%	03/20/2009	CITI	22.138	%		1,300		(79	)		0		(79	)
General Electric Capital Corp. 6.000% due 06/15/2012	1.000	%	06/20/2009	UBS	7.405	%		1,100		(48	)		0		(48	)
GMAC LLC 6.875% due 08/28/2012	8.650	%	03/20/2009	CITI	88.715	%		500		(139	)		0		(139	)
GMAC LLC 6.875% due 08/28/2012	7.750	%	03/20/2009	GSC	88.715	%		300		(85	)		0		(85	)
Indonesia Government International Bond 6.750% due 03/10/2014	1.280	%	12/20/2011	RBS	3.088	%		100		(5	)		0		(5	)
JSC Gazprom 7.800% due 09/27/2010	1.500	%	01/20/2009	HSBC	3.491	%		1,200		(4	)		0		(4	)
JSC Gazprom 8.625% due 04/28/2034	1.910	%	04/20/2009	MSC	3.537	%		900		1			0		1
Russia Government International Bond 7.500% due 03/31/2030	0.450	%	01/20/2009	CSFB	2.265	%		1,000		(4	)		0		(4	)
Russia Government International Bond 7.500% due 03/31/2030	0.490	%	02/20/2009	MSC	2.284	%		5,700		(35	)		0		(35	)
SLM Corp. 5.125% due 08/27/2012	4.300	%	03/20/2009	CITI	19.698	%		200		(13	)		0		(13	)
SLM Corp. 5.125% due 08/27/2012	3.050	%	03/20/2009	DUB	19.698	%		500		(36	)		0		(36	)
SLM Corp. 5.125% due 08/27/2012	3.300	%	03/20/2009	GSC	19.698	%		300		(21	)		0		(21	)
SLM Corp. 5.125% due 08/27/2012	3.700	%	03/20/2009	GSC	19.698	%		200		(14	)		0		(14	)
Spain Government Bond 5.500% due 07/30/2017	0.260	%	03/20/2013	BCLY	0.397	%		5,100		(29	)		0		(29	)
Spain Government Bond 5.500% due 07/30/2017	0.270	%	03/20/2013	GSC	0.397	%		2,100		(11	)		0		(11	)
Spain Government Bond 5.500% due 07/30/2017	0.435	%	03/20/2013	GSC	0.397	%		1,700		3			0		3
Spain Government Bond 5.500% due 07/30/2017	0.465	%	03/20/2013	HSBC	0.397	%		2,100		6			0		6
Spain Government Bond 5.500% due 07/30/2017	0.470	%	03/20/2013	MSC	0.397	%		1,700		5			0		5
Ukraine Government International Bond 7.650% due 06/11/2013	0.700	%	04/20/2009	HSBC	5.404	%		400		(9	)		0		(9	)
Ukraine Government International Bond 7.650% due 06/11/2013	0.730	%	04/20/2009	HSBC	5.404	%		400		(9	)		0		(9	)

									$	(555	)	$	0	$	(555	)

Credit Default Swaps on Credit Indices - Buy Protection⁽¹⁾


Reference Obligation	Fixed Deal (Pay) Rate		Maturity Date	Counterparty	Notional Amount⁽⁴⁾		Market Value⁽⁵⁾			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
CDX.IG-8 10 Year Index	(0.600	%)	06/20/2017	GSC	$	11,800	$	848		$	35		$	813
CDX.IG-8 10 Year Index	(0.600	%)	06/20/2017	MLP		900		64			22			42
CDX.IG-9 10 Year Index	(0.800	%)	12/20/2017	BCLY		3,200		174			13			161
CDX.IG-9 10 Year Index	(0.800	%)	12/20/2017	DUB		1,900		103			71			32
CDX.IG-10 5 Year Index	(1.550	%)	06/20/2013	BCLY		4,700		26			(37	)		63
CDX.IG-10 5 Year Index	(1.550	%)	06/20/2013	DUB		1,200		7			17			(10	)
CDX.IG-10 5 Year Index	(1.550	%)	06/20/2013	GSC		600		3			(5	)		8
CDX.IG-10 5 Year Index	(1.550	%)	06/20/2013	MSC		300		2			(1	)		3
CDX.IG-10 10 Year Index	(1.500	%)	06/20/2018	GSC		2,500		5			(84	)		89
CDX.IG-10 10 Year Index	(1.500	%)	06/20/2018	MSC		500		1			(7	)		8
iTraxx Europe 9 Index	(1.750	%)	06/20/2018	DUB	EUR	8,000		(441	)		(768	)		327
iTraxx Europe HVol 6 Index	(0.850	%)	12/20/2016	BNP		200		15			(2	)		17
iTraxx Europe HVol 6 Index	(0.850	%)	12/20/2016	DUB		1,200		91			(8	)		99
iTraxx Europe HVol 6 Index	(0.850	%)	12/20/2016	HSBC		100		7			(1	)		8
iTraxx Europe HVol 6 Index	(0.850	%)	12/20/2016	JPM		700		53			(4	)		57
iTraxx Europe Senior Financials 9 Index	(1.750	%)	06/20/2018	BCLY		2,100		(119	)		(165	)		46
iTraxx Europe Sub Financials 8 Index	(0.700	%)	12/20/2012	DUB		2,200		152			4			148

							$	991		$	(920	)	$	1,911

Credit Default Swaps on Credit Indices - Sell Protection⁽²⁾


Reference Obligation	Fixed Deal Receive Rate		Maturity Date	Counterparty	Notional Amount⁽⁴⁾		Market Value⁽⁵⁾			Upfront Premiums Paid/ (Received)			Unrealized (Depreciation)
ABX.HE AA 06-1 Index	0.320	%	07/25/2045	CSFB	$	500	$	(206	)	$	(150	)	$	(56	)
ABX.HE AAA 06-2 Index	0.110	%	05/25/2046	DUB		500		(153	)		(152	)		(1	)

							$	(359	)	$	(302	)	$	(57	)

⁽¹⁾

⁽²⁾

⁽³⁾

⁽⁴⁾	The maximum potential amount the Portfolio 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 that particular swap agreement.

⁽⁵⁾

Interest Rate Swaps


Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Maturity Date	Counterparty	Notional Amount		Market Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
Pay	3-Month AUD Bank Bill	7.500	%	03/15/2010	CITI	AUD	10,050	$	111		$	(16	)	$	127
Pay	3-Month AUD Bank Bill	7.500	%	03/15/2010	UBS		10,050		110			(16	)		126
Pay	3-Month AUD Bank Bill	7.750	%	06/15/2010	DUB		8,500		105			(7	)		112
Receive	3-Month CAD Bank Bill	4.500	%	09/20/2011	BSN	CAD	600		(19	)		(11	)		(8	)
Receive	3-Month CAD Bank Bill	4.500	%	09/20/2011	RBC		800		(25	)		(15	)		(10	)
Receive	3-Month CAD Bank Bill	4.250	%	12/20/2013	BOA		3,300		(83	)		(34	)		(49	)
Receive	3-Month CAD Bank Bill	4.250	%	12/20/2013	RBC		4,200		(105	)		(62	)		(43	)
Receive	3-Month CAD Bank Bill	4.500	%	09/20/2037	MLP		2,200		72			(2	)		74
Receive	3-Month HKD-HIBOR	4.235	%	12/17/2008	GSC	HKD	5,800		(4	)		0			(4	)
Pay	3-Month SEK-STIBOR	4.500	%	03/18/2014	BCLY	SEK	1,000		0			(1	)		1
Pay	3-Month SEK-STIBOR	4.500	%	03/18/2014	GSC		2,000		(1	)		(2	)		1
Pay	3-Month USD-LIBOR	4.000	%	12/17/2013	RBS	$	15,200		(89	)		(104	)		15
Receive	3-Month USD-LIBOR	5.000	%	12/17/2015	DUB		1,900		(76	)		(78	)		2
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	BOA		800		(30	)		(29	)		(1	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	MLP		37,700		(1,435	)		(773	)		(662	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	MSC		12,800		(487	)		(122	)		(365	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	RBS		31,400		(1,195	)		(312	)		(883	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2023	BOA		4,900		(178	)		49			(227	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2023	JPM		5,700		(207	)		57			(264	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2023	RBS		6,900		(251	)		56			(307	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	CITI		700		(32	)		11			(43	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	MLP		1,300		(58	)		(40	)		(18	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	MSC		1,800		(80	)		(19	)		(61	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	RBS		1,300		(58	)		(90	)		32
Pay	6-Month AUD Bank Bill	6.500	%	01/15/2010	DUB	AUD	1,000		(3	)		0			(3	)
Pay	6-Month AUD Bank Bill	6.000	%	06/15/2010	CITI		700		(7	)		4			(11	)
Pay	6-Month AUD Bank Bill	6.000	%	06/15/2010	UBS		1,700		(17	)		12			(29	)
Pay	6-Month AUD Bank Bill	7.500	%	03/15/2011	UBS		4,500		90			(7	)		97
Pay	6-Month AUD Bank Bill	7.250	%	06/16/2011	DUB		2,700		42			(12	)		54
Pay	6-Month AUD Bank Bill	7.250	%	06/16/2011	UBS		9,500		149			(39	)		188
Pay	6-Month AUD Bank Bill	6.000	%	06/15/2012	DUB		3,900		(52	)		(35	)		(17	)
Pay	6-Month AUD Bank Bill	6.000	%	06/15/2012	HSBC		3,100		(42	)		(27	)		(15	)
Pay	6-Month AUD Bank Bill	7.000	%	06/15/2014	DUB		3,800		97			98			(1	)
Receive	6-Month AUD Bank Bill	6.000	%	06/15/2015	CITI		400		7			(2	)		9
Receive	6-Month AUD Bank Bill	6.000	%	06/15/2015	UBS		1,100		19			(11	)		30
Receive	6-Month AUD Bank Bill	6.000	%	06/15/2017	DUB		1,800		35			15			20
Receive	6-Month AUD Bank Bill	6.500	%	06/15/2017	DUB		4,300		(34	)		104			(138	)
Receive	6-Month AUD Bank Bill	6.500	%	06/15/2017	MSC		1,200		(10	)		31			(41	)
Pay	6-Month EUR-LIBOR	4.250	%	12/17/2009	DUB	EUR	20,300		(98	)		(3	)		(95	)
Pay	6-Month EUR-LIBOR	4.250	%	12/17/2009	JPM		11,500		(56	)		(23	)		(33	)
Pay	6-Month EUR-LIBOR	4.500	%	03/19/2010	MSC		12,300		(71	)		23			(94	)
Pay	6-Month EUR-LIBOR	3.500	%	09/17/2010	CITI		11,600		(336	)		(41	)		(295	)
Pay	6-Month EUR-LIBOR	4.500	%	03/18/2011	RBS		200		0			(1	)		1
Pay	6-Month EUR-LIBOR	4.450	%	03/18/2014	GSC		3,000		(27	)		1			(28	)
Pay	6-Month EUR-LIBOR	4.500	%	03/18/2014	CITI		17,200		(107	)		6			(113	)
Pay	6-Month EUR-LIBOR	4.500	%	03/18/2014	GSC		13,100		(81	)		(113	)		32
Pay	6-Month EUR-LIBOR	4.500	%	03/18/2014	HSBC		1,300		(8	)		(19	)		11
Pay	6-Month EUR-LIBOR	4.500	%	03/18/2014	JPM		2,500		(16	)		(24	)		8
Pay	6-Month EUR-LIBOR	4.500	%	03/18/2014	MSC		7,500		(46	)		(146	)		100
Pay	6-Month EUR-LIBOR	4.500	%	03/18/2019	GSC		11,500		(182	)		(198	)		16
Pay	6-Month EUR-LIBOR	4.500	%	06/18/2034	MSC		1,500		(13	)		(105	)		92
Pay	6-Month EUR-LIBOR	4.500	%	06/18/2034	RBS		500		(5	)		(36	)		31
Pay	6-Month EUR-LIBOR	5.000	%	06/18/2034	JPM		1,800		109			(16	)		125
Receive	6-Month EUR-LIBOR	4.750	%	09/17/2038	MSC		4,000		(186	)		(217	)		31
Pay	6-Month EUR-LIBOR	5.000	%	09/17/2038	RBC		3,900		401			149			252
Receive	6-Month EUR-LIBOR	5.000	%	03/18/2039	BNP		600		(64	)		(7	)		(57	)
Receive	6-Month EUR-LIBOR	5.000	%	03/18/2039	GSC		2,300		(246	)		(161	)		(85	)
Receive	6-Month EUR-LIBOR	5.000	%	03/18/2039	JPM		1,400		(150	)		(86	)		(64	)
Receive	6-Month EUR-LIBOR	5.000	%	03/18/2039	RBS		4,000		(429	)		(168	)		(261	)
Pay	6-Month GBP-LIBOR	5.000	%	09/15/2010	BCLY	GBP	2,900		(15	)		(27	)		12
Pay	6-Month GBP-LIBOR	4.500	%	09/17/2010	BCLY		2,600		(59	)		(15	)		(44	)
Pay	6-Month GBP-LIBOR	5.000	%	03/18/2012	GSC		600		0			(4	)		4
Pay	6-Month GBP-LIBOR	5.000	%	03/20/2013	MSC		1,400		(22	)		(71	)		49
Pay	6-Month GBP-LIBOR	5.000	%	03/18/2014	GSC		8,600		(36	)		(27	)		(9	)
Pay	6-Month GBP-LIBOR	5.000	%	03/18/2014	HSBC		10,900		(46	)		10			(56	)
Pay	6-Month GBP-LIBOR	5.000	%	03/18/2014	MSC		14,800		(62	)		(65	)		3
Pay	6-Month GBP-LIBOR	5.250	%	03/18/2014	CSFB		2,400		36			(3	)		39
Receive	6-Month GBP-LIBOR	4.500	%	09/15/2017	BCLY		400		3			4			(1	)
Receive	6-Month GBP-LIBOR	5.000	%	06/18/2018	BCLY		300		3			32			(29	)
Receive	6-Month GBP-LIBOR	5.500	%	09/17/2018	DUB		100		(6	)		0			(6	)
Receive	6-Month GBP-LIBOR	5.500	%	09/17/2018	HSBC		500		(33	)		15			(48	)
Receive	6-Month GBP-LIBOR	4.250	%	06/12/2036	DUB		100		9			3			6
Receive	6-Month GBP-LIBOR	4.500	%	03/18/2039	GSC		1,200		(36	)		(38	)		2
Pay	6-Month JPY-LIBOR	1.500	%	06/17/2013	BNP	JPY	470,000		29			9			20
Pay	6-Month JPY-LIBOR	1.500	%	06/17/2013	DUB		2,370,000		145			138			7
Pay	6-Month JPY-LIBOR	1.500	%	06/17/2013	UBS		740,000		45			15			30
Receive	6-Month JPY-LIBOR	2.000	%	12/17/2017	DUB		1,250,000		(330	)		(273	)		(57	)
Receive	6-Month JPY-LIBOR	2.000	%	12/17/2017	UBS		290,000		(77	)		(46	)		(31	)
Receive	6-Month JPY-LIBOR	2.250	%	06/20/2036	MSC		430,000		15			(23	)		38
Pay	France CPI ex-Tobacco Index	1.948	%	03/15/2012	BCLY	EUR	900		(35	)		1			(36	)
Pay	France CPI ex-Tobacco Index	1.950	%	03/30/2012	RBS		600		(25	)		0			(25	)
Pay	France CPI ex-Tobacco Index	1.940	%	04/10/2012	RBS		600		(26	)		0			(26	)
Pay	USSP Semi 5-Year Index	0.763	%	02/05/2009	BNP	$	4,700		(48	)		1			(49	)

								$	(5,923	)	$	(2,978	)	$	(2,945	)

(i) Purchased options outstanding on September 30, 2008:

Options on Exchange-Traded Futures Contracts


Description	Exercise Price		Expiration Date	# of Contracts	Cost		Value
Call - CBOT U.S. Treasury 5-Year Note December Futures	$	125.000	11/21/2008	45	$	1	$	0
Call - CBOT U.S. Treasury 10-Year Note December Futures		138.000	11/21/2008	24		1		1
Call - CBOT U.S. Treasury 30-Year Bond December Futures		140.000	11/21/2008	9		0		0
Put - CBOT U.S. Treasury 10-Year Note December Futures		93.000	11/21/2008	196		2		3
Put - CBOT U.S. Treasury 10-Year Note December Futures		98.000	11/21/2008	179		3		3
Put - CBOT U.S. Treasury 10-Year Note December Futures		99.000	11/21/2008	515		9		8
Put - CBOT U.S. Treasury 30-Year Bond December Futures		89.000	11/21/2008	43		1		0

					$	17	$	15

Interest Rate Swaptions


Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Cost		Value
Call - OTC 2-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	3.500	%	02/02/2009	$	38,000	$	205	$	304
Call - OTC 2-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		2,400		25		18
Call - OTC 2-Year Interest Rate Swap	JPM	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		1,400		15		10
Call - OTC 2-Year Interest Rate Swap	MSC	3-Month USD-LIBOR	Pay	4.250	%	07/06/2009		15,000		176		231
Call - OTC 2-Year Interest Rate Swap	MSC	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		2,400		24		18
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.150	%	12/15/2008		12,200		113		48
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.600	%	07/02/2009		7,100		68		62
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		2,500		28		18
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.850	%	08/03/2009		4,700		50		51
Call - OTC 2-Year Interest Rate Swap	DUB	6-Month EUR-LIBOR	Pay	4.000	%	09/14/2009	EUR	12,900		63		71

									$	767	$	831

Foreign Currency Options


Description	Exercise Price		Expiration Date	Notional Amount		Cost		Value
Call - OTC EUR versus USD	$	1.375	05/21/2010	EUR	2,300	$	111	$	225
Put - OTC EUR versus USD		1.375	05/21/2010		2,300		111		174

						$	222	$	399

Options on Securities


Description	Strike Price		Expiration Date	Notional Amount		Cost		Value
Call - OTC Freddie Mac 5.500% due 12/01/2038	$	107.000	12/04/2008	$	12,000	$	1	$	0
Call - OTC U.S. Treasury Note 4.250% due 08/15/2013		118.000	12/19/2008		3,300		1		0
Put - OTC Fannie Mae 5.000% due 10/01/2038		73.000	10/07/2008		10,000		1		0
Put - OTC Fannie Mae 5.000% due 12/01/2038		72.000	12/04/2008		8,000		1		0
Put - OTC Fannie Mae 5.500% due 10/01/2038		78.000	10/07/2008		2,000		0		0
Put - OTC Fannie Mae 5.500% due 12/01/2038		75.000	12/04/2008		20,000		2		0
Put - OTC Fannie Mae 6.000% due 12/01/2038		81.000	12/04/2008		30,000		4		1
Put - OTC Ginnie Mae 6.000% due 10/01/2038		85.000	10/15/2008		7,000		1		0
Put - OTC Ginnie Mae 6.000% due 12/01/2038		81.000	12/11/2008		27,000		3		1
Put - OTC Ginnie Mae 6.500% due 12/01/2038		86.000	12/11/2008		7,000		1		2

						$	15	$	4

(j) Written options outstanding on September 30, 2008:

Interest Rate Swaptions


Description	Counterparty	Floating Rate Index	Pay/ Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Value
Put -OTC 30-Year Interest Rate Swap	CITI	6-Month EUR-LIBOR	Pay	5.200	%	12/15/2008	EUR	900	$	20	$	2
Call - OTC 7-Year Interest Rate Swap	DUB	6-Month EUR-LIBOR	Receive	4.230	%	09/14/2009		4,200		55		57
Put - OTC 30-Year Interest Rate Swap	GSC	6-Month EUR-LIBOR	Pay	5.200	%	12/15/2008		1,700		44		3
Call - OTC 2-Year Interest Rate Swap	HSBC	6-Month EUR-LIBOR	Receive	5.290	%	06/10/2009		3,500		47		85
Put - OTC 2-Year Interest Rate Swap	HSBC	6-Month EUR-LIBOR	Pay	5.290	%	06/10/2009		3,500		47		12
Call - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	4.250	%	02/02/2009	$	13,000		191		261
Call - OTC 5-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	4.150	%	08/03/2009		400		10		8
Call - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		500		16		14
Call - OTC 30-Year Interest Rate Swap	GSC	3-Month USD-LIBOR	Receive	4.650	%	01/23/2009		2,700		40		112
Put - OTC 30-Year Interest Rate Swap	GSC	3-Month USD-LIBOR	Pay	5.650	%	01/23/2009		2,700		43		20
Call - OTC 7-Year Interest Rate Swap	JPM	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		500		17		14
Call - OTC 7-Year Interest Rate Swap	MSC	3-Month USD-LIBOR	Receive	4.900	%	07/06/2009		4,900		165		215
Call - OTC 7-Year Interest Rate Swap	MSC	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		800		26		22
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.300	%	12/15/2008		4,100		110		74
Call - OTC 5-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.200	%	07/02/2009		3,100		68		66
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		500		17		14
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.550	%	08/03/2009		1,600		49		52

									$	965	$	1,031

Foreign Currency Options


Description	Exercise Price		Expiration Date	Notional Amount		Premium		Value
Put - OTC EUR versus USD	EUR	1.390	10/07/2008	EUR	1,474	$	13	$	15
Put - OTC GBP versus USD	GBP	1.710	10/10/2008	GBP	1,774		17		6

						$	30	$	21

Options on Securities


Description	Strike Price		Expiration Date	Notional Amount		Premium		Value
Put - OTC Fannie Mae 5.500% due 11/01/2038	$	96.922	10/24/2008	$	6,000	$	51	$	13
Put - OTC Fannie Mae 6.000% due 11/01/2038		99.406	10/24/2008		5,000		29		10

						$	80	$	23

(k) Restricted securities as of September 30, 2008:


Issuer Description	Coupon		Maturity Date	Acquisition Date	Cost		Market Value		Market Value as Percentage of Net Assets
Bear Stearns Cos. LLC	3.416	%	10/02/2009	06/06/2008	$	291	$	278	0.08	%

(l) Short sales outstanding on September 30, 2008:


Description	Coupon		Maturity Date	Principal Amount		Proceeds		Value⁽⁶⁾
Fannie Mae	5.500	%	11/01/2038	$	3,000	$	2,938	$	2,983
Freddie Mac	5.500	%	10/01/2038		12,000		11,904		11,923
U.S. Treasury Bonds	5.000	%	05/15/2037		900		1,015		1,017
U.S. Treasury Notes	2.500	%	03/31/2013		800		783		795
U.S. Treasury Notes	3.500	%	02/15/2018		700		682		690

						$	17,322	$	17,408

⁽⁶⁾	Market value includes $31 of interest payable on short sales.

(m) Foreign currency contracts outstanding on September 30, 2008:


Type	Currency	Counterparty	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	AED	HSBC	3,916	04/2009	$	0	$	(20	)	$	(20	)
Buy	AUD	BCLY	212	10/2008		0		(12	)		(12	)
Buy		DUB	523	10/2008		0		(3	)		(3	)
Buy		MSC	187	10/2008		0		(8	)		(8	)
Sell		MSC	374	10/2008		8		(1	)		7
Buy		UBS	475	10/2008		0		(3	)		(3	)
Sell		UBS	3,720	10/2008		256		0			256
Buy	BRL	BCLY	1,134	10/2008		0		(12	)		(12	)
Sell		HSBC	1,134	10/2008		32		0			32
Sell		CITI	242	12/2008		8		0			8
Buy		HSBC	4,051	12/2008		0		(194	)		(194	)
Sell		HSBC	28	12/2008		0		0			0
Buy		JPM	570	12/2008		0		(3	)		(3	)
Sell		JPM	1,287	12/2008		26		0			26
Sell		MSC	2,593	12/2008		72		0			72
Buy		RBC	1,920	12/2008		0		(45	)		(45	)
Buy		UBS	1,209	12/2008		0		(27	)		(27	)
Sell		UBS	3,601	12/2008		97		0			97
Sell		RBC	1,920	06/2009		46		0			46
Buy	CAD	RBC	4,571	10/2008		0		(48	)		(48	)
Buy	CLP	MSC	10,300	12/2008		0		(3	)		(3	)
Buy		JPM	6,033	05/2009		0		(2	)		(2	)
Buy	CNY	BCLY	5,577	11/2008		0		(9	)		(9	)
Buy		BCLY	8,943	05/2009		0		(80	)		(80	)
Buy		CITI	13,310	05/2009		0		(117	)		(117	)
Buy		HSBC	3,059	05/2009		0		(20	)		(20	)
Sell		HSBC	3,729	05/2009		13		0			13
Buy		JPM	15,770	05/2009		0		(129	)		(129	)
Buy		MSC	2,632	05/2009		0		(22	)		(22	)
Buy		BCLY	2,887	07/2009		0		(33	)		(33	)
Buy		DUB	6,540	07/2009		0		(71	)		(71	)
Buy		HSBC	1,671	07/2009		0		(18	)		(18	)
Buy		JPM	2,617	07/2009		0		(29	)		(29	)
Buy		BCLY	2,548	05/2010		0		(45	)		(45	)
Buy		MLP	2,866	05/2010		0		(49	)		(49	)
Buy	DKK	MSC	13,098	12/2008		0		(49	)		(49	)
Buy	EUR	CITI	50,027	10/2008		163		0			163
Buy		DUB	444	10/2008		6		0			6
Buy		JPM	425	10/2008		0		(26	)		(26	)
Buy		UBS	49,856	10/2008		4		(2,761	)		(2,757	)
Sell		UBS	392	10/2008		23		0			23
Sell		HSBC	1,186	11/2008		13		0			13
Buy	GBP	HSBC	333	10/2008		0		(24	)		(24	)
Buy		MSC	100	10/2008		0		(7	)		(7	)
Sell		UBS	1,157	10/2008		92		0			92
Buy		UBS	8,529	11/2008		0		(294	)		(294	)
Buy	INR	BCLY	370	11/2008		0		(1	)		(1	)
Buy		JPM	280	11/2008		0		(1	)		(1	)
Sell	JPY	CITI	207,600	10/2008		13		(11	)		2
Buy		DUB	10,890,660	10/2008		1,942		0			1,942
Buy		MLP	115,583	10/2008		0		(11	)		(11	)
Buy		RBS	12,218	10/2008		0		(2	)		(2	)
Sell		UBS	670,264	10/2008		45		(2	)		43
Sell		BCLY	561,587	11/2008		10		0			10
Sell	KRW	BCLY	31,564	02/2009		4		0			4
Buy		MLP	19,639	02/2009		0		(3	)		(3	)
Sell	MXN	CITI	140	11/2008		0		0			0
Buy		RBC	140	11/2008		0		0			0
Buy		CITI	140	05/2009		0		(1	)		(1	)
Buy	MYR	BCLY	3,899	11/2008		0		(81	)		(81	)
Sell		BCLY	3,292	11/2008		0		(4	)		(4	)
Buy		CITI	2,287	11/2008		0		(66	)		(66	)
Buy		DUB	4,542	11/2008		0		(108	)		(108	)
Sell		HSBC	2,170	11/2008		2		0			2
Buy		JPM	1,539	11/2008		0		(27	)		(27	)
Sell	PHP	BCLY	10,269	11/2008		5		0			5
Buy		HSBC	42,000	11/2008		0		(58	)		(58	)
Buy		JPM	41,900	11/2008		0		(51	)		(51	)
Sell		JPM	88,645	11/2008		56		0			56
Buy		BCLY	9,700	02/2009		0		(10	)		(10	)
Buy		DUB	4,700	02/2009		0		(6	)		(6	)
Buy		HSBC	11,640	02/2009		0		(13	)		(13	)
Buy		JPM	16,375	02/2009		0		(13	)		(13	)
Buy		MLP	3,700	02/2009		0		(5	)		(5	)
Buy		MSC	13,000	02/2009		0		(15	)		(15	)
Buy		RBS	3,600	02/2009		0		(5	)		(5	)
Buy		LEH	2,500	12/2010		0		(3	)		(3	)
Sell		LEH	2,500	12/2010		0		(1	)		(1	)
Sell	PLN	JPM	1,391	11/2008		35		0			35
Buy		HSBC	1,692	05/2009		0		(54	)		(54	)
Buy	RUB	DUB	20,301	11/2008		0		(27	)		(27	)
Sell		DUB	15,555	11/2008		27		0			27
Buy		HSBC	2,561	11/2008		0		(8	)		(8	)
Sell		HSBC	22,088	11/2008		34		0			34
Sell		JPM	15,043	11/2008		28		0			28
Buy		HSBC	31,529	05/2009		0		(95	)		(95	)
Buy	SAR	JPM	3,284	04/2009		0		(13	)		(13	)
Sell	SEK	RBS	16,634	10/2008		108		0			108
Buy	SGD	BCLY	70	10/2008		0		(2	)		(2	)
Buy		CSFB	313	10/2008		0		(10	)		(10	)
Buy		DUB	170	10/2008		0		(6	)		(6	)
Buy		JPM	1,140	10/2008		0		(38	)		(38	)
Buy		UBS	330	10/2008		0		(10	)		(10	)
Sell		UBS	2,023	10/2008		5		0			5
Buy		BCLY	747	11/2008		0		(25	)		(25	)
Sell		BCLY	3,578	11/2008		30		0			30
Buy		BOA	761	11/2008		0		(29	)		(29	)
Buy		CITI	215	11/2008		0		(3	)		(3	)
Buy		DUB	821	11/2008		0		(28	)		(28	)
Sell		DUB	1,149	11/2008		12		0			12
Buy		HSBC	270	11/2008		0		(11	)		(11	)
Buy		JPM	481	11/2008		0		(13	)		(13	)
Buy		UBS	2,784	11/2008		0		(36	)		(36	)
Buy	TWD	BCLY	3,321	02/2009		0		(5	)		(5	)
Buy		DUB	1,400	02/2009		0		(2	)		(2	)
Sell		HSBC	7,782	02/2009		8		0			8
Buy		MLP	2,300	02/2009		0		(3	)		(3	)
Buy		MSC	1,500	02/2009		0		(2	)		(2	)
Buy		UBS	700	02/2009		0		(1	)		(1	)
Buy	ZAR	UBS	97	12/2008		0		0			0

					$	3,223	$	(5,083	)	$	(1,860	)

(n) Fair Value Measurements⁺

The following is a summary of the fair valuations according to the inputs used as of September 30, 2008 in valuing the Portfolio’s assets and liabilities:


	Quoted Prices in Active Markets for Identical Investments (Level 1)			Significant Other Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)			Value at 9/30/2008
Investments, at value	$	0		$	581,587		$	4,294		$	585,881
Short Sales, at value		0			(17,377	)		0			(17,377	)
Other Financial Instruments⁺⁺		(1,378	)		(1,736	)		(321	)		(3,435	)

Total	$	(1,378	)	$	562,474		$	3,973		$	565,069

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Portfolio during the period ending September 30, 2008:


	Beginning Balance at 12/31/2007			Net Purchases/ (Sales)		Accrued Discounts/ (Premiums)		Total Realized Gain/(Loss)		Total Unrealized Appreciation/ (Depreciation)			Net Transfers In/(Out) of Level 3			Ending Balance at 09/30/2008
Investments, at value	$	0		$	6,515	$	15	$	7	$	(2,420	)	$	177		$	4,294
Other Financial Instruments⁺⁺		(41	)		0		0		0		(95	)		(185	)		(321	)

Total	$	(41	)	$	6,515	$	15	$	7	$	(2,515	)	$	(8	)	$	3,973


⁺		See note 3 in the Supplementary Notes to Schedule of Investments for additional information.

⁺⁺		Other financial instruments may include open futures contracts, swap contracts, written options, and foreign currency contracts.

See Accompanying Notes

Schedule of Investments

High Yield Portfolio

September 30, 2008 (Unaudited)


	Principal Amount (000s)		Value (000s)
BANK LOAN OBLIGATIONS 7.2%
AES Corp.
6.410% due 03/31/2010	$	667	$	633
6.410% due 04/30/2010		433		412
7.010% due 03/31/2010		900		855
Alltel Communications, Inc.
4.997% due 05/15/2015		1,000		967
Amadeus Global Travel Distribution S.A.
4.486% due 04/08/2013		678		546
4.986% due 04/08/2014		678		543
Community Health Systems, Inc.
4.000% due 07/25/2014		46		41
5.060% due 07/25/2014		688		606
5.954% due 07/25/2014		219		193
CSC Holdings, Inc.
9.750% due 07/08/2013		650		624
Daimler Finance North America LLC
6.820% due 08/03/2012		3,960		2,690
First Data Corp.
5.551% due 09/24/2014		64		55
5.552% due 09/24/2014		27		24
5.926% due 09/24/2014		904		774
Ford Motor Co.
5.490% due 12/16/2013		3,464		2,291
HCA, Inc.
6.012% due 11/18/2013		3,921		3,448
Idearc, Inc.
4.470% due 11/17/2014		21		13
4.800% due 11/17/2014		476		281
Ineos Group Holdings PLC
5.727% due 10/07/2012		124		103
5.952% due 10/07/2012		689		575
Metro-Goldwyn-Mayer, Inc.
6.051% due 04/08/2012		1,470		1,049
Quicksilver Resources, Inc.
7.750% due 08/05/2013		500		481
Roundy’s Supermarket, Inc.
5.500% due 10/27/2011		868		795
Texas Competitive Electric Holdings Co. LLC
5.989% due 10/10/2014		241		204
6.302% due 10/10/2014		749		634
7.262% due 10/10/2014		7		6
Thompson Learning, Inc.
6.200% due 07/05/2014		2,084		1,714
Tribune Co.
5.412% due 05/30/2009		282		260
5.786% due 06/04/2014		1,361		609
Univision Communications, Inc.
5.049% due 09/15/2014		1,879		1,219
6.250% due 09/15/2014		121		78
VNU/Nielson Finance LLC
4.802% due 08/09/2013		1,965		1,706
Wind Acquisition Finance S.A.
10.035% due 12/21/2011		599		596
Wrigley WM JR Co.
7.000% due 07/17/2014		500		492

Total Bank Loan Obligations (Cost $31,089)				25,517

CORPORATE BONDS & NOTES 78.3%
Banking & Finance 20.5%
AES Ironwood LLC
8.857% due 11/30/2025		2,307		2,318
AES Red Oak LLC
8.540% due 11/30/2019		1,126		1,126
American Express Bank FSB
5.500% due 04/16/2013		2,025		1,855
American Express Co.
7.000% due 03/19/2018		3,750		3,315
American International Group, Inc.
5.850% due 01/16/2018		1,200		603
8.175% due 05/15/2058		900		144
8.250% due 08/15/2018		3,150		1,833
Bank of America Corp.
8.000% due 12/29/2049		6,550		5,191
Barclays Bank PLC
6.050% due 12/04/2017		1,225		1,141
7.434% due 09/29/2049		1,100		897
7.700% due 04/29/2049		1,975		1,741
Bear Stearns Cos. LLC
6.400% due 10/02/2017		325		304
Caelus Re Ltd.
9.061% due 06/07/2011		250		244
Citigroup Capital XXI
8.300% due 12/21/2077		1,675		1,248
Citigroup Global Markets Holdings, Inc.
2.916% due 03/17/2009		2,200		2,170
Citigroup, Inc.
5.500% due 04/11/2013		1,250		1,092
6.125% due 05/15/2018		175		145
8.400% due 04/29/2049		2,550		1,739
Countrywide Financial Corp.
5.800% due 06/07/2012		1,000		846
El Paso Performance-Linked Trust
7.750% due 07/15/2011		850		865
Ferrellgas Escrow LLC
6.750% due 05/01/2014		900		738
Ford Motor Credit Co. LLC
7.800% due 06/01/2012		5,000		3,107
Forest City Enterprises, Inc.
7.625% due 06/01/2015		750		604
GMAC LLC
6.625% due 05/15/2012		350		148
7.250% due 03/02/2011		1,275		603
8.000% due 11/01/2031		1,400		528
Goldman Sachs Group, Inc.
3.011% due 03/02/2010		300		281
5.950% due 01/18/2018		775		641
6.150% due 04/01/2018		700		583
6.750% due 10/01/2037		2,700		1,803
HBOS PLC
6.750% due 05/21/2018		900		755
HSBC Holdings PLC
6.500% due 09/15/2037		400		340
JPMorgan Chase & Co.
2.959% due 01/17/2011		900		888
7.900% due 04/29/2049		1,750		1,477
KRATON Polymers LLC
8.125% due 01/15/2014		1,300		760
Lehman Brothers Holdings, Inc.
5.625% due 01/24/2013 (a)		775		101
6.625% due 01/18/2012 (a)		125		16
6.750% due 12/28/2017 (a)		1,250		6
6.875% due 05/02/2018 (a)		500		65
7.500% due 05/11/2038 (a)		1,025		5
Merrill Lynch & Co., Inc.
5.054% due 05/12/2010		825		796
6.875% due 04/25/2018		2,250		1,994
Metropolitan Life Global Funding I
3.961% due 06/25/2010		300		300
Mirage Resorts, Inc.
7.250% due 08/01/2017		2,600		1,807
Morgan Stanley
2.902% due 05/07/2010		100		69
3.035% due 01/18/2011		150		98
5.950% due 12/28/2017		3,200		2,008
MUFG Capital Finance 1 Ltd.
6.346% due 07/29/2049		600		455
NSG Holdings LLC
7.750% due 12/15/2025		1,875		1,791
Royal Bank of Scotland Group PLC
6.990% due 10/29/2049		250		187
7.640% due 03/31/2049		2,200		1,641
Santander Perpetual S.A. Unipersonal
6.671% due 10/29/2049		2,100		1,960
SLM Corp.
2.960% due 07/26/2010		400		304
SMFG Preferred Capital USD 3 Ltd.
9.500% due 07/25/2049		400		382
Tenneco, Inc.
8.125% due 11/15/2015		1,300		1,118
TNK-BP Finance S.A.
6.625% due 03/20/2017		500		326
7.500% due 07/18/2016		1,000		702
TransCapitalInvest Ltd. for OJSC AK Transneft
6.103% due 06/27/2012		675		607
UBS AG
5.750% due 04/25/2018		850		741
UBS Preferred Funding Trust V
6.243% due 05/12/2049		550		424
Universal City Development Partners
11.750% due 04/01/2010		525		509
Universal City Florida Holding Co. I & II
7.551% due 05/01/2010		175		165
8.375% due 05/01/2010		1,425		1,382
Ventas Realty LP
6.500% due 06/01/2016		150		142
6.750% due 06/01/2010		640		640
6.750% due 04/01/2017		320		304
7.125% due 06/01/2015		500		499
9.000% due 05/01/2012		525		550
Wachovia Corp.
2.961% due 06/01/2010		950		735
7.980% due 02/28/2049		6,800		2,846
Wells Fargo Capital XIII
7.700% due 12/29/2049		875		764
Wells Fargo Capital XV
9.750% due 12/29/2049		3,600		3,495
Wind Acquisition Finance S.A.
10.750% due 12/01/2015		1,000		985

				72,992

Industrials 43.6%
Actuant Corp.
6.875% due 06/15/2017		1,000		960
Allied Waste North America, Inc.
7.250% due 03/15/2015		2,000		1,925
Allison Transmission, Inc.
11.000% due 11/01/2015		1,455		1,273
American Stores Co.
8.000% due 06/01/2026		1,100		1,035
AmeriGas Partners LP
7.125% due 05/20/2016		1,580		1,422
7.250% due 05/20/2015		1,050		961
ARAMARK Corp.
6.301% due 02/01/2015		200		176
8.500% due 02/01/2015		1,875		1,772
ArvinMeritor, Inc.
8.125% due 09/15/2015		2,165		1,678
8.750% due 03/01/2012		1,550		1,310
Berry Plastics Corp.
7.541% due 02/15/2015		2,125		1,902
Berry Plastics Holding Corp.
8.875% due 09/15/2014		1,075		844
Biomet, Inc.
10.000% due 10/15/2017		925		948
10.375% due 10/15/2017 (b)		2,165		2,154
11.625% due 10/15/2017		5,000		5,050
Bon-Ton Department Stores, Inc.
10.250% due 03/15/2014		1,500		458
C8 Capital SPV Ltd.
6.640% due 12/31/2049		1,500		1,406
Cascades, Inc.
7.250% due 02/15/2013		1,425		1,119
CCO Holdings LLC
8.750% due 11/15/2013		2,900		2,538
Celestica, Inc.
7.875% due 07/01/2011		1,600		1,560
Chart Industries, Inc.
9.125% due 10/15/2015		425		438
Chesapeake Energy Corp.
6.875% due 01/15/2016		275		252
7.000% due 08/15/2014		875		822
7.250% due 12/15/2018		1,750		1,619
7.500% due 09/15/2013		100		97
7.500% due 06/15/2014		325		313
Choctaw Resort Development Enterprise
7.250% due 11/15/2019		964		728
Citic Resources Finance Ltd.
6.750% due 05/15/2014		225		172
Clorox Co.
4.200% due 01/15/2010		400		395
Colorado Interstate Gas Co.
5.950% due 03/15/2015		300		275
Community Health Systems, Inc.
8.875% due 07/15/2015		3,500		3,342
Compagnie Générale de Géophysique-Veritas
7.500% due 05/15/2015		425		408
7.750% due 05/15/2017		635		606
Continental Airlines, Inc.
6.920% due 04/02/2013 (j)		608		554
7.373% due 06/15/2017		230		172
Cooper-Standard Automotive, Inc.
7.000% due 12/15/2012		1,000		810
Crown Americas LLC & Crown Americas Capital Corp.
7.750% due 11/15/2015		1,350		1,323
CSC Holdings, Inc.
6.750% due 04/15/2012		475		438
7.625% due 04/01/2011		2,100		2,026
7.625% due 07/15/2018		1,725		1,509
7.875% due 02/15/2018		175		155
DaVita, Inc.
7.250% due 03/15/2015		1,750		1,671
Dex Media West LLC
9.875% due 08/15/2013		575		358
Dex Media, Inc.
8.000% due 11/15/2013		1,750		814
Dynegy Holdings, Inc.
6.875% due 04/01/2011		492		450
7.125% due 05/15/2018		1,250		950
7.625% due 10/15/2026		325		239
Dynegy Roseton/Danskammer Pass-Through Trust Series A
7.270% due 11/08/2010		1,319		1,333
Dynegy Roseton/Danskammer Pass-Through Trust Series B
7.670% due 11/08/2016		1,250		1,134
EchoStar DBS Corp.
6.375% due 10/01/2011		375		346
6.625% due 10/01/2014		1,025		825
7.000% due 10/01/2013		440		382
7.125% due 02/01/2016		3,855		3,113
El Paso Corp.
7.000% due 06/15/2017		2,500		2,245
7.250% due 06/01/2018		1,100		1,028
7.750% due 06/15/2010		250		254
7.800% due 08/01/2031		750		634
8.050% due 10/15/2030		780		679
Enterprise Products Operating LP
8.375% due 08/01/2066		1,710		1,586
Ferrellgas Partners LP
8.870% due 08/01/2009 (j)		1,200		1,197
First Data Corp.
9.875% due 09/24/2015		4,950		3,892
Ford Motor Co.
9.215% due 09/15/2021		200		96
Freeport-McMoRan Copper & Gold, Inc.
5.882% due 04/01/2015		550		528
8.250% due 04/01/2015		755		743
8.375% due 04/01/2017		2,625		2,589
Freescale Semiconductor, Inc.
6.694% due 12/15/2014		500		338
8.875% due 12/15/2014		1,500		1,042
9.125% due 12/15/2014 (b)		1,100		698
Fresenius Medical Care Capital Trust IV
7.875% due 06/15/2011		1,500		1,522
General Motors Corp.
7.400% due 09/01/2025		50		18
7.700% due 04/15/2016		1,700		684
8.250% due 07/15/2023		475		189
Georgia-Pacific LLC
7.000% due 01/15/2015		300		274
7.125% due 01/15/2017		1,500		1,346
7.250% due 06/01/2028		150		119
7.375% due 12/01/2025		4,520		3,672
7.750% due 11/15/2029		200		166
8.000% due 01/15/2024		1,775		1,571
Goodyear Tire & Rubber Co.
6.678% due 12/01/2009		550		542
9.000% due 07/01/2015		815		811
Harrah’s Operating Co., Inc.
10.750% due 02/01/2016		2,336		1,203
HCA, Inc.
7.190% due 11/15/2015		180		145
9.125% due 11/15/2014		1,350		1,316
9.250% due 11/15/2016		6,230		6,074
Hertz Corp.
8.875% due 01/01/2014		4,425		3,839
Ineos Group Holdings PLC
8.500% due 02/15/2016		2,175		1,185
Ingles Markets, Inc.
8.875% due 12/01/2011		1,450		1,461
Intergen NV
9.000% due 06/30/2017		1,755		1,764
JET Equipment Trust
7.630% due 08/15/2012 (a)		152		1
10.000% due 06/15/2012 (a)		491		388
Kansas City Southern de Mexico S.A. de C.V.
9.375% due 05/01/2012		1,000		1,025
Legrand France S.A.
8.500% due 02/15/2025		975		979
Mattel, Inc.
3.219% due 06/15/2009		500		499
Nalco Co.
8.875% due 11/15/2013		1,300		1,303
New Albertson’s, Inc.
7.450% due 08/01/2029		2,915		2,602
Norampac Industries, Inc.
6.750% due 06/01/2013		875		661
Nordic Telephone Co. Holdings ApS
8.875% due 05/01/2016		475		435
Nortel Networks Ltd.
7.041% due 07/15/2011		1,825		1,227
10.125% due 07/15/2013		1,045		671
10.750% due 07/15/2016		400		247
Northwest Pipeline GP
7.125% due 12/01/2025		500		475
NPC International, Inc.
9.500% due 05/01/2014		1,550		1,279
OPTI Canada, Inc.
8.250% due 12/15/2014		805		724
Quebecor Media, Inc.
7.750% due 03/15/2016		2,850		2,508
Qwest Communications International, Inc.
6.304% due 02/15/2009		1,050		1,042
7.500% due 02/15/2014		1,097		954
Reynolds American, Inc.
7.750% due 06/01/2018		375		371
RH Donnelley Corp.
6.875% due 01/15/2013		250		99
8.875% due 01/15/2016		3,771		1,301
8.875% due 10/15/2017		2,600		897
RH Donnelley, Inc.
11.750% due 05/15/2015		225		138
Rockwood Specialties Group, Inc.
7.500% due 11/15/2014		1,525		1,456
Roundy’s, Inc.
5.500% due 10/27/2011		2		2
6.750% due 10/27/2011		43		40
SandRidge Energy, Inc.
8.625% due 04/01/2015		4,200		3,780
Sanmina-SCI Corp.
8.125% due 03/01/2016		1,110		949
Seagate Technology HDD Holdings
6.375% due 10/01/2011		1,450		1,432
SemGroup LP
8.750% due 11/15/2015 (a)		2,750		289
Sensata Technologies BV
8.000% due 05/01/2014		2,175		1,849
Service Corp. International
7.625% due 10/01/2018		225		202
Smurfit Kappa Funding PLC
7.750% due 04/01/2015		125		105
Smurfit Kappa Treasury Funding Ltd.
7.500% due 11/20/2025		500		418
Sonat, Inc.
7.000% due 02/01/2018		500		441
7.625% due 07/15/2011		1,450		1,475
Station Casinos, Inc.
7.750% due 08/15/2016		615		337
Suburban Propane Partners LP
6.875% due 12/15/2013		725		645
Sungard Data Systems, Inc.
9.125% due 08/15/2013		2,841		2,571
TRW Automotive, Inc.
7.000% due 03/15/2014		2,125		1,764
7.250% due 03/15/2017		1,030		819
United Airlines, Inc.
6.071% due 03/01/2013 (a)		71		67
6.201% due 12/31/2049 (a)		35		34
6.602% due 03/01/2015 (a)		80		78
United Rentals North America, Inc.
6.500% due 02/15/2012		1,485		1,247
Unitymedia GmbH
10.375% due 02/15/2015		750		716
Verso Paper Holdings LLC
9.125% due 08/01/2014		1,900		1,644
Videotron Ltee
9.125% due 04/15/2018		660		670
West Corp.
9.500% due 10/15/2014		1,500		1,155
11.000% due 10/15/2016		750		544
Willamette Industries, Inc.
6.450% due 08/19/2009		550		551
Williams Cos., Inc.
7.625% due 07/15/2019		825		813
Williams Partners LP
7.250% due 02/01/2017		425		396
Windstream Corp.
8.625% due 08/01/2016		2,400		2,226
Wynn Las Vegas Capital Corp.
6.625% due 12/01/2014		1,400		1,200
Xerox Corp.
7.125% due 06/15/2010		875		896

				154,647

Utilities 14.2%
AES Corp.
7.750% due 03/01/2014		750		701
8.000% due 10/15/2017		125		113
Cincinnati Bell, Inc.
7.250% due 07/15/2013		1,075		973
Energy Future Holdings Corp.
10.875% due 11/01/2017		6,500		5,899
11.250% due 11/01/2017 (b)		275		234
Frontier Communications Corp.
6.625% due 03/15/2015		100		84
7.125% due 03/15/2019		2,750		2,200
7.450% due 07/01/2035		250		154
9.000% due 08/15/2031		925		712
Hawaiian Telcom Communications, Inc.
8.486% due 05/01/2013		950		185
9.750% due 05/01/2013		750		154
Homer City Funding LLC
8.734% due 10/01/2026		725		739
Kinder Morgan Finance Co. ULC
5.700% due 01/05/2016		2,425		2,098
MetroPCS Wireless, Inc.
9.250% due 11/01/2014		450		423
Midwest Generation LLC
8.560% due 01/02/2016		4,487		4,622
NGPL Pipe Co. LLC
7.119% due 12/15/2017		1,375		1,306
Northwestern Bell Telephone
7.750% due 05/01/2030		1,208		912
NRG Energy, Inc.
7.250% due 02/01/2014		1,350		1,256
7.375% due 02/01/2016		4,665		4,210
7.375% due 01/15/2017		1,825		1,665
PSEG Energy Holdings LLC
8.500% due 06/15/2011		2,850		2,899
Qwest Capital Funding, Inc.
7.900% due 08/15/2010		1,050		1,021
Qwest Corp.
6.069% due 06/15/2013		700		598
8.875% due 03/15/2012		2,600		2,561
Reliant Energy, Inc.
6.750% due 12/15/2014		3,175		2,730
Sprint Capital Corp.
6.375% due 05/01/2009		750		735
6.900% due 05/01/2019		1,350		1,048
8.750% due 03/15/2032		875		684
Sprint Nextel Corp.
6.000% due 12/01/2016		1,525		1,176
Telesat Canada
11.000% due 11/01/2015		1,390		1,119
12.500% due 11/01/2017		400		334
Tenaska Alabama Partners LP
7.000% due 06/30/2021		2,084		1,888
Texas Competitive Electric Holdings Co. LLC
10.250% due 11/01/2015		1,700		1,543
10.500% due 11/01/2016 (b)		975		831
Time Warner Telecom Holdings, Inc.
9.250% due 02/15/2014		1,500		1,395
UBS Luxembourg S.A. for OJSC Vimpel Communications
8.250% due 05/23/2016		1,000		713
Virgin Media Finance PLC
9.125% due 08/15/2016		500		421

				50,336

Total Corporate Bonds & Notes (Cost $337,723)				277,975

CONVERTIBLE BONDS & NOTES 1.3%
Advanced Micro Devices, Inc.
6.000% due 05/01/2015		800		393
Chesapeake Energy Corp.
2.250% due 12/15/2038		2,050		1,419
CMS Energy Corp.
2.875% due 12/01/2024		1,000		1,041
Deutsche Bank AG
0.000% due 10/24/2008		350		142
Mylan, Inc.
1.250% due 03/15/2012		700		542
Nortel Networks Corp.
2.125% due 04/15/2014		1,000		484
Qwest Communications International, Inc.
3.500% due 11/15/2025		850		726

Total Convertible Bonds & Notes (Cost $6,995)				4,747

MUNICIPAL BONDS & NOTES 0.0%
Puerto Rico Sales Tax Financing Corp. Revenue Bonds, (AMBAC Insured), Series 2007
0.000% due 08/01/2054		400		21

Total Municipal Bonds & Notes (Cost $35)				21

U.S. GOVERNMENT AGENCIES 23.2%
Fannie Mae
5.000% due 10/01/2038 - 11/01/2038		27,000		26,265
5.500% due 02/01/2038 (e)		3,916		3,909
5.500% due 10/01/2038		49,000		48,808
Freddie Mac
5.000% due 12/14/2018		500		471
5.500% due 10/01/2038		3,000		2,981

Total U.S. Government Agencies (Cost $81,768)				82,434

MORTGAGE-BACKED SECURITIES 1.7%
American Home Mortgage Assets
3.397% due 05/25/2046		167		108
3.397% due 09/25/2046		63		38
3.417% due 10/25/2046		155		61
3.555% due 02/25/2047		85		43
3.775% due 11/25/2046		743		374
6.250% due 06/25/2037		354		217
American Home Mortgage Investment Trust
5.660% due 09/25/2045		52		35
Bear Stearns Adjustable Rate Mortgage Trust
5.474% due 05/25/2047		176		148
Chase Mortgage Finance Corp.
5.434% due 03/25/2037		76		65
Citigroup Mortgage Loan Trust, Inc.
4.663% due 03/25/2034		31		30
5.666% due 07/25/2046		66		51
6.014% due 09/25/2037		271		190
Countrywide Alternative Loan Trust
3.382% due 12/20/2046		387		236
3.397% due 09/25/2046		91		50
3.398% due 07/20/2046		139		86
3.537% due 11/20/2035		55		35
3.577% due 02/25/2037		760		338
3.855% due 12/25/2035		87		53
5.898% due 02/25/2037		156		109
6.000% due 11/25/2036		78		56
6.000% due 01/25/2037		247		175
Countrywide Home Loan Mortgage Pass-Through Trust
5.772% due 05/20/2036		1,006		746
GSR Mortgage Loan Trust
5.178% due 01/25/2036		74		65
Harborview Mortgage Loan Trust
3.210% due 07/19/2046		143		90
3.230% due 09/19/2046		63		38
3.705% due 12/19/2036		69		38
5.750% due 08/19/2036		129		89
Indymac IMSC Mortgage Loan Trust
3.387% due 07/25/2047		90		49
Indymac Index Mortgage Loan Trust
3.397% due 09/25/2046		137		83
3.407% due 06/25/2047		66		40
5.647% due 11/25/2035		468		329
JPMorgan Alternative Loan Trust
5.550% due 10/25/2036		67		52
Luminent Mortgage Trust
3.377% due 12/25/2036		82		50
3.387% due 12/25/2036		71		45
MASTR Adjustable Rate Mortgages Trust
3.417% due 04/25/2046		48		30
Merrill Lynch Mortgage-Backed Securities Trust
5.849% due 04/25/2037		77		55
Residential Accredit Loans, Inc.
3.537% due 03/25/2037		482		263
Structured Asset Mortgage Investments, Inc.
3.387% due 09/25/2047		92		57
3.397% due 07/25/2046		160		99
3.427% due 05/25/2046		66		40
3.427% due 09/25/2047		1,000		276
Suntrust Alternative Loan Trust
3.557% due 04/25/2036		272		146
WaMu Mortgage Pass-Through Certificates
3.555% due 02/25/2047		150		79
3.555% due 03/25/2047		159		84
3.615% due 04/25/2047		80		46
3.675% due 12/25/2046		71		38
5.342% due 01/25/2037		74		59
5.468% due 02/25/2037		169		142
5.613% due 12/25/2036		83		65
5.668% due 05/25/2037		85		77
5.711% due 02/25/2037		80		59
5.868% due 02/25/2037		79		66
5.931% due 09/25/2036		66		52
Washington Mutual Alternative Mortgage Pass-Through Certificates
3.825% due 05/25/2046		66		39
Wells Fargo Mortgage-Backed Securities Trust
5.594% due 07/25/2036		78		63

Total Mortgage-Backed Securities (Cost $6,136)				6,047

ASSET-BACKED SECURITIES 0.3%
Lehman XS Trust
3.457% due 08/25/2046		601		155
Massachusetts State Educational Financing Authority
2.864% due 10/25/2038		200		184
MASTR Asset-Backed Securities Trust
3.417% due 11/25/2036		100		40
Structured Asset Securities Corp.
3.357% due 05/25/2037		325		293
3.507% due 06/25/2035		562		378

Total Asset-Backed Securities (Cost $1,027)				1,050

FOREIGN CURRENCY-DENOMINATED ISSUES 3.3%
Bombardier, Inc.
7.250% due 11/15/2016	EUR	1,000		1,271
Credit Agricole S.A.
4.130% due 11/29/2049		150		145
Intesa Sanpaolo SpA
8.047% due 06/29/2049		400		473
Lighthouse International Co. S.A.
8.000% due 04/30/2014		1,670		1,434
Nordic Telephone Co. Holdings ApS
6.386% due 11/30/2013		401		523
6.636% due 11/30/2014		484		635
8.250% due 05/01/2016		1,000		1,182
RBS Capital Trust A
6.467% due 12/29/2049		350		399
Royal Bank of Scotland Group PLC
9.644% due 04/06/2011	GBP	469		742
Sensata Technologies BV
11.250% due 01/15/2014	EUR	900		1,082
Societe Generale
6.999% due 12/29/2049		150		158
UBS AG
7.152% due 12/29/2049		600		557
UPC Broadband Holding BV
6.513% due 12/31/2014		942		1,079
UPC Holding BV
7.750% due 01/15/2014		600		686
8.625% due 01/15/2014		800		940
Virgin Media Finance PLC
8.750% due 04/15/2014		225		245

Total Foreign Currency-Denominated Issues (Cost $13,497)				11,551


	Shares
CONVERTIBLE PREFERRED STOCKS 1.1%
American International Group, Inc.
8.500% due 08/01/2011		6,200		53
Bank of America Corp.
7.250% due 12/31/2049		2,600		2,172
Citigroup, Inc.
6.500% due 12/31/2049		7,500		309
Freeport-McMoRan Copper & Gold, Inc.
6.750% due 05/01/2010		4,900		408
General Motors Corp.
5.250% due 03/06/2032		83,200		759
Wachovia Corp.
7.500% due 12/31/2049		600		236

Total Convertible Preferred Stocks (Cost $6,027)				3,937

PREFERRED STOCKS 0.0%
Merrill Lynch & Co., Inc.
3.327% due 05/20/2009		5,900		138

Total Preferred Stocks (Cost $289)				138


	Principal Amount (000s)
SHORT-TERM INSTRUMENTS 3.9%
Certificates of Deposit 0.5%
UBS AG
3.066% due 03/17/2009	$	300		300
3.741% due 07/01/2010		100		100
Unicredito Italiano NY
3.088% due 05/15/2009		300		300
3.088% due 05/18/2009		900		899

				1,599


Repurchase Agreements 0.4%
State Street Bank and Trust Co.
1.000% due 10/01/2008		1,450		1,450
(Dated 09/30/2008. Collateralized by Fannie Mae 5.500% due 12/14/2022 valued at $1,483. Repurchase proceeds are $1,450.)


U.S. Treasury Bills 3.0%
1.427% due 10/16/2008 - 12/26/2008 (c)(d)		10,500		10,448

Total Short-Term Instruments (Cost $13,526)				13,497

Purchased Options (h) 2.2% (Cost $4,369)				7,842
Total Investments 122.5% (Cost $502,481)			$	434,756
Written Options (i) (2.0%) (Premiums $4,223)				(6,930)
Other Assets and Liabilities (Net) (20.5%)				(72,870)

Net Assets 100.0%			$	354,956

Notes to Schedule of Investments (amounts in thousands*, except number of contracts):

* A zero balance may reflect actual amounts rounding to less than one thousand.

(a) Security is in default.

(b) Payment in-kind bond security.

(d) Securities with an aggregate market value of $9,700 have been pledged as collateral for swap and swaption contracts on September 30, 2008.

(e) The average amount of borrowings while outstanding during the period ended September 30, 2008 was $3,000 at a weighted average interest rate of 3.00%. On September 30, 2008, securities valued at $3,114 were pledged as collateral for reverse repurchase agreements.

(f) Cash of $833 has been pledged as collateral for the following open futures contracts on September 30, 2008:


Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation
90-Day Eurodollar June Futures	Long	06/2009	106	$	128
90-Day Eurodollar September Futures	Long	09/2009	193		201
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2009	242		650
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2009	45		103
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2009	17		50

				$	1,132

(g) Swap agreements outstanding on September 30, 2008:

Credit Default Swaps on Corporate and Sovereign Issues - Sell Protection⁽¹⁾


Reference Obligation	Fixed Deal Receive Rate		Maturity Date	Counterparty	Implied Credit Spread at September 30, 2008⁽³⁾		Notional Amount⁽⁴⁾		Market Value		Upfront Premiums Paid/ (Received)		Unrealized Appreciation/ (Depreciation)
ARAMARK Corp. 8.500% due 02/01/2015	4.500	%	09/20/2013	GSC	4.997	%	$	600	$	(11)	$	0	$	(11)
Celestica, Inc. 7.625% due 07/01/2013	4.350	%	09/20/2013	CITI	4.493	%		850		(4)		0		(4)
Community Health Systems, Inc. 8.875% due 07/15/2015	4.570	%	09/20/2013	GSC	5.276	%		1,150		(30)		0		(30)
CSC Holdings, Inc. 7.625% due 07/15/2018	2.080	%	06/20/2012	MLP	4.909	%		400		(35)		0		(35)
Ford Motor Credit Co. LLC 7.000% due 10/01/2013	1.450	%	12/20/2008	CSFB	24.026	%		2,000		(98)		0		(98)
Freescale Semiconductor, Inc. 8.875% due 12/15/2014	5.000	%	09/20/2013	CITI	10.738	%		150		(27)		(16)		(11)
General Motors Corp. 7.125% due 07/15/2013	6.700	%	12/20/2012	DUB	37.109	%		1,800		(898)		0		(898)
Georgia-Pacific LLC 7.750% due 11/15/2029	4.650	%	06/20/2015	CITI	5.000	%		100		(2)		0		(2)
Georgia-Pacific LLC 7.750% due 11/15/2029	2.220	%	09/20/2012	CITI	4.896	%		500		(43)		0		(43)
GMAC LLC 6.875% due 08/28/2012	1.120	%	12/20/2008	CITI	92.863	%		1,000		(181)		0		(181)
GMAC LLC 6.875% due 08/28/2012	5.000	%	03/20/2012	DUB	51.671	%		200		(102)		(31)		(71)
GMAC LLC 6.875% due 08/28/2012	5.000	%	09/20/2013	MLP	44.392	%		2,500		(1,280)		(656)		(624)
GMAC LLC 6.875% due 08/28/2012	6.560	%	12/20/2012	MSC	47.538	%		1,500		(737)		0		(737)
Goodyear Tire & Rubber Co. 9.000% due 07/01/2015	3.650	%	06/20/2013	CITI	5.530	%		500		(33)		0		(33)
Nalco Co. 7.750% due 11/15/2011	4.050	%	09/20/2013	CITI	4.390	%		250		(3)		0		(3)
Nortel Networks Corp. 4.250% due 09/01/2008	5.000	%	03/20/2013	CITI	19.926	%		2,900		(1,057)		(435)		(622)
NRG Energy, Inc. 7.250% due 02/01/2014	4.200	%	09/20/2013	GSC	5.093	%		100		(3)		0		(3)
Qwest Capital Funding, Inc. 7.750% due 02/15/2031	3.350	%	12/20/2012	CITI	6.379	%		600		(59)		0		(59)
Reliant Energy, Inc. 6.750% due 12/15/2014	3.850	%	09/20/2013	GSC	8.087	%		1,125		(166)		0		(166)
RSHB Capital S.A. for OJSC Russian Agricultural Bank 7.175% due 05/16/2013	0.740	%	03/20/2009	BCLY	6.943	%		1,000		(28)		0		(28)
Russia Government International Bond 7.500% due 03/31/2030	0.760	%	02/20/2009	BCLY	6.940	%		1,500		(34)		0		(34)
Sprint Nextel Corp. 6.000% due 12/01/2016	7.150	%	06/20/2009	BCLY	3.229	%		1,000		30		0		30
Station Casinos, Inc. 6.000% due 04/01/2012	5.000	%	06/20/2013	GSC	36.836	%		200		(98)		(34)		(64)
Station Casinos, Inc. 6.000% due 04/01/2012	5.000	%	06/20/2013	MLP	36.836	%		1,150		(566)		(204)		(362)
Sungard Data Systems, Inc. 9.125% due 08/15/2013	4.500	%	09/20/2013	DUB	6.739	%		1,200		(98)		0		(98)

									$	(5,563)	$	(1,376)	$	(4,187)

Credit Default Swaps on Credit Indices - Buy Protection⁽²⁾


Reference Obligation	Fixed Deal (Pay) Rate		Maturity Date	Counterparty	Notional Amount⁽⁴⁾		Market Value⁽⁵⁾		Upfront Premiums Paid/ (Received)		Unrealized Appreciation
CDX.IG-10 5 Year Index	(1.550	%)	06/20/2013	BCLY	$	500	$	3	$	(3)	$	6
CDX.IG-10 5 Year Index	(1.550	%)	06/20/2013	DUB		8,100		45		(84)		129
CDX.IG-10 5 Year Index	(1.550	%)	06/20/2013	GSC		1,500		8		(17)		25
CDX.IG-10 5 Year Index	(1.550	%)	06/20/2013	MSC		1,500		8		(17)		25

							$	64	$	(121)	$	185

Credit Default Swaps on Credit Indices - Sell Protection⁽¹⁾


Reference Obligation	Fixed Deal Receive Rate		Maturity Date	Counterparty	Notional Amount⁽⁴⁾		Market Value⁽⁵⁾		Upfront Premiums Paid/ (Received)		Unrealized Appreciation/ (Depreciation)
CDX.HY-9 Index 25-35%	4.530	%	12/20/2010	MLP	$	3,500	$	111	$	0	$	111
CDX.HY-9 Index 25-35%	3.230	%	12/20/2012	MLP		2,400		(251)		0		(251)
CDX.HY-9 Index 35-100%	1.550	%	12/20/2010	MLP		596		5		0		5
CDX.IG-9 5 Year Index 30-100%	0.760	%	12/20/2012	DUB		1,100		15		0		15
CDX.IG-10 5 Year Index	1.550	%	06/20/2013	DUB		8,400		(46)		(117)		71

							$	(166)	$	(117)	$	(49)

⁽¹⁾

⁽²⁾

If the Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the underlying securities comprising the referenced index.

⁽³⁾

⁽⁴⁾	The maximum potential amount the Portfolio 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 that particular swap agreement.

⁽⁵⁾

Interest Rate Swaps


Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Maturity Date	Counterparty	Notional Amount		Market Value		Upfront Premiums Paid/ (Received)		Unrealized Appreciation/ (Depreciation)
Pay	1-Year BRL-CDI	10.115	%	01/02/2012	MSC	BRL	34,100	$	(1,746)	$	(76)	$	(1,670)
Pay	1-Year BRL-CDI	10.150	%	01/02/2012	GSC		3,400		(172)		(24)		(148)
Pay	1-Year BRL-CDI	10.680	%	01/02/2012	BCLY		20,700		(858)		(25)		(833)
Pay	1-Year BRL-CDI	14.765	%	01/02/2012	HSBC		1,800		10		12		(2)
Pay	1-Year BRL-CDI	14.765	%	01/02/2012	JPM		2,200		12		8		4
Pay	1-Year BRL-CDI	14.765	%	01/02/2012	MLP		1,800		9		12		(3)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	BCLY	$	1,400		15		31		(16)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	DUB		24,200		260		228		32
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	GSC		8,700		94		70		24
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	MLP		1,400		15		31		(16)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	RBS		5,900		64		39		25
Pay	3-Month USD-LIBOR	5.000	%	12/17/2015	GSC		2,140		85		71		14
Pay	3-Month USD-LIBOR	5.000	%	12/17/2018	BCLY		500		19		15		4
Pay	3-Month USD-LIBOR	5.000	%	12/17/2018	GSC		2,500		95		71		24
Pay	3-Month USD-LIBOR	5.000	%	12/17/2018	MLP		6,220		237		161		76
Pay	3-Month USD-LIBOR	5.000	%	12/17/2018	RBS		2,600		99		81		18
Receive	3-Month USD-LIBOR	5.000	%	12/17/2023	MLP		1,000		(36)		(7)		(29)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2023	RBS		200		(8)		(3)		(5)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2028	BOA		5,300		(193)		(25)		(168)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2028	CITI		4,700		(171)		50		(221)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2028	GSC		1,900		(69)		(1)		(68)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	BOA		6,400		(285)		243		(528)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	CITI		4,100		(183)		63		(246)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	MSC		2,700		(120)		13		(133)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	RBS		2,200		(98)		(128)		30
Receive	6-Month EUR-LIBOR	4.750	%	09/17/2013	JPM	EUR	4,900		(23)		(45)		22
Receive	6-Month EUR-LIBOR	5.000	%	09/17/2018	JPM		2,700		(96)		(46)		(50)
Pay	6-Month GBP-LIBOR	5.000	%	03/18/2010	RBS	GBP	22,800		35		(44)		79
Pay	6-Month GBP-LIBOR	5.000	%	03/18/2014	GSC		7,800		(33)		(167)		134
Receive	6-Month GBP-LIBOR	5.000	%	03/18/2039	GSC		1,400		(236)		(149)		(87)
Pay	28-Day MXN TIIE	7.910	%	05/14/2009	CITI	MXN	25,000		(7)		0		(7)
Pay	28-Day MXN TIIE	7.910	%	05/14/2009	MSC		33,000		(10)		0		(10)

								$	(3,295)	$	459	$	(3,754)

Total Return Swaps on Securities


Pay/Receive Total Return on Reference Entity	Reference Entity	# of Shares or Units	Floating Rate⁽⁶⁾		Notional Amount		Maturity Date	Counterparty	Unrealized (Depreciation)
Receive	Motorola, Inc.	12,200	0.000	%	$	91	10/23/2008	MLP	$	(4)
Receive	SandRidge Energy, Inc.	25,000	3.045	%		1,159	10/23/2008	MLP		(676)

									$	(680)

⁽⁶⁾	Floating rate is based upon predetermined notional amounts, which may be a multiple of the number of shares or units disclosed.

(h) Purchased options outstanding on September 30, 2008:

Interest Rate Swaptions


Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Cost		Value
Call - OTC 2-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	4.250	%	07/06/2009	$	51,000	$	495	$	785
Call - OTC 2-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	4.750	%	09/08/2009		120,000		1,068		2,484
Call - OTC 2-Year Interest Rate Swap	CSFB	3-Month USD-LIBOR	Pay	4.750	%	09/08/2009		33,300		364		689
Call - OTC 2-Year Interest Rate Swap	MSC	3-Month USD-LIBOR	Pay	4.250	%	07/06/2009		59,100		564		910
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	4.750	%	09/08/2009		86,800		935		1,796
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	4.000	%	09/18/2009		100,400		943		1,178

									$	4,369	$	7,842

(i) Written options outstanding on September 30, 2008:

Options on Exchange-Traded Futures Contracts


Description	Exercise Price		Expiration Date	# of Contracts	Premium		Value
Call - CBOT U.S. Treasury 10-Year Note December Futures	$	119.000	11/21/2008	63	$	46	$	38
Put - CBOT U.S. Treasury 10-Year Note December Futures		113.000	11/21/2008	63		28		81

					$	74	$	119

Interest Rate Swaptions


Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Value
Call - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	4.900	%	07/06/2009	$	17,000	$	474	$	746
Call - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	5.150	%	09/08/2009		40,000		1,036		2,114
Call - OTC 7-Year Interest Rate Swap	CSFB	3-Month USD-LIBOR	Receive	5.150	%	09/08/2009		9,300		288		492
Call - OTC 7-Year Interest Rate Swap	MSC	3-Month USD-LIBOR	Receive	4.900	%	07/06/2009		19,700		556		864
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	5.150	%	09/08/2009		28,900		893		1,528
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.550	%	09/18/2009		33,200		902		1,067

									$	4,149	$	6,811

(j) Restricted securities as of September 30, 2008:


Issuer Description	Coupon		Maturity Date	Acquisition Date	Cost		Market Value		Market Value as Percentage of Net Assets
Continental Airlines, Inc.	6.920	%	04/02/2013	07/01/2003	$	569	$	554	0.15	%
Ferrellgas Partners LP	8.870	%	08/01/2009	06/30/2003		1,225		1,197	0.34	%

					$	1,794	$	1,751	0.49	%

(k) Foreign currency contracts outstanding on September 30, 2008:


Type	Currency	Counterparty	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)		Net Unrealized Appreciation/ (Depreciation)
Buy	BRL	BCLY	1,914	12/2008	$	0	$	(107)	$	(107)
Sell		BCLY	420	12/2008		40		0		40
Sell		CITI	582	12/2008		23		0		23
Buy		HSBC	9,321	12/2008		0		(444)		(444)
Sell		HSBC	544	12/2008		18		0		18
Sell		JPM	1,944	12/2008		132		0		132
Sell		MSC	1,539	12/2008		51		0		51
Buy		UBS	3,778	12/2008		0		(359)		(359)
Sell		UBS	547	12/2008		16		0		16
Buy	CNY	BCLY	1,273	07/2009		0		(14)		(14)
Buy		DUB	3,949	07/2009		0		(43)		(43)
Buy		HSBC	2,612	07/2009		0		(23)		(23)
Buy		JPM	5,324	07/2009		0		(59)		(59)
Buy	EUR	CITI	9,251	10/2008		37		0		37
Sell		CITI	9,251	10/2008		0		(30)		(30)
Sell		UBS	9,251	10/2008		516		0		516
Buy	GBP	BCLY	91	10/2008		0		(5)		(5)
Sell		UBS	2,463	11/2008		85		0		85
Sell	INR	CITI	236,562	11/2008		470		0		470
Buy		DUB	36,941	11/2008		0		(123)		(123)
Buy		HSBC	93,630	11/2008		0		(315)		(315)
Buy		JPM	105,991	11/2008		0		(379)		(379)
Buy	MYR	BCLY	5,860	11/2008		0		(99)		(99)
Sell		BOA	1,264	11/2008		0		(2)		(2)
Buy		DUB	4,002	11/2008		0		(70)		(70)
Buy		JPM	3,002	11/2008		0		(52)		(52)
Sell		JPM	2,456	11/2008		44		0		44
Buy	PHP	HSBC	40,000	11/2008		0		(55)		(55)
Buy		JPM	40,100	11/2008		0		(49)		(49)
Buy		BCLY	9,300	02/2009		0		(10)		(10)
Buy		DUB	4,500	02/2009		0		(6)		(6)
Buy		HSBC	11,140	02/2009		0		(12)		(12)
Buy		JPM	15,642	02/2009		0		(12)		(12)
Sell		JPM	19,494	02/2009		0		(6)		(6)
Buy		MLP	3,500	02/2009		0		(5)		(5)
Buy		MSC	12,500	02/2009		0		(14)		(14)
Buy		RBS	3,400	02/2009		0		(5)		(5)
Buy		LEH	2,400	12/2010		0		(3)		(3)
Sell		LEH	2,400	12/2010		0		(1)		(1)
Buy	RUB	BCLY	180,536	11/2008		0		(325)		(325)
Sell		HSBC	163,983	11/2008		686		0		686
Sell		UBS	11,195	11/2008		14		0		14
Buy		BCLY	26,702	05/2009		0		(85)		(85)
Buy		DUB	35,438	05/2009		0		(106)		(106)
Buy	SGD	BCLY	2,641	11/2008		0		(110)		(110)
Sell		BCLY	4,781	11/2008		224		0		224
Buy		CITI	4,958	11/2008		0		(187)		(187)
Buy		CSFB	255	11/2008		0		(11)		(11)
Sell		JPM	640	11/2008		2		0		2
Buy		LEH	1,350	12/2010		0		(60)		(60)
Sell		LEH	1,350	12/2010		9		0		9

					$	2,367	$	(3,186)	$	(819)

(l) Fair Value Measurements⁺

The following is a summary of the fair valuations according to the inputs used as of September 30, 2008 in valuing the Portfolio’s assets and liabilities:


	Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Value at 9/30/2008
Investments, at value	$	53	$	430,550	$	4,153	$	434,756
Other Financial Instruments⁺⁺		1,132		(16,249)		15		(15,102)

Total	$	1,185	$	414,301	$	4,168	$	419,654

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Portfolio during the period ending September 30, 2008:


	Beginning Balance at 12/31/2007		Net Purchases/ (Sales)		Accrued Discounts/ (Premiums)		Total Realized Gain/(Loss)		Total Unrealized Appreciation/ (Depreciation)		Net Transfers In/(Out) of Level 3		Ending Balance at 09/30/2008
Investments, at value	$	6,258	$	(1,506)	$	11	$	8	$	(618)	$	0	$	4,153
Other Financial Instruments⁺⁺		(28)		0		0		0		(18)		61		15

Total	$	6,230	$	(1,506)	$	11	$	8	$	(636)	$	61	$	4,168

⁺	See note 3 in the Supplementary Notes to Schedule of Investments for additional information.

⁺⁺	Other financial instruments may include open futures contracts, swap contracts, written options, and foreign currency contracts.

See Accompanying Notes

Schedule of Investments

Long-Term U.S. Government Portfolio

September 30, 2008 (Unaudited)


	Principal Amount (000s)		Value (000s)
CORPORATE BONDS & NOTES 7.5%
Banking & Finance 6.5%
American International Group, Inc.
8.250% due 08/15/2018	$	200	$	116
Bank of America N.A.
2.876% due 12/18/2008		1,300		1,297
3.760% due 06/23/2010		1,500		1,474
Caterpillar Financial Services Corp.
4.226% due 06/24/2011		1,100		1,060
CIT Group, Inc.
2.927% due 08/17/2009		300		241
Citigroup Funding, Inc.
3.852% due 05/07/2010		700		660
Citigroup, Inc.
2.836% due 01/30/2009		600		594
Credit Suisse USA, Inc.
2.890% due 11/20/2009		400		397
3.268% due 11/20/2009		300		298
Goldman Sachs Group, Inc.
2.978% due 02/06/2012		700		544
JPMorgan Chase Capital XX
6.550% due 09/29/2036		200		147
Lehman Brothers Holdings, Inc.
2.889% due 01/23/2009 (a)		1,400		182
Morgan Stanley
4.904% due 05/14/2010		700		511
U.S. Trade Funding Corp.
4.260% due 11/15/2014		575		603
Wachovia Bank N.A.
3.704% due 05/14/2010		700		573
Wachovia Corp.
2.861% due 12/01/2009		700		610
Wells Fargo & Co.
3.270% due 03/23/2010		400		397

				9,704

Industrials 1.0%
Daimler Finance North America LLC
3.249% due 03/13/2009		400		398
United Technologies Corp.
6.125% due 07/15/2038		700		677
Wal-Mart Stores, Inc.
6.200% due 04/15/2038		400		365
Walt Disney Co.
2.917% due 09/10/2009		100		100

				1,540

Total Corporate Bonds & Notes (Cost $13,358)				11,244

MUNICIPAL BONDS & NOTES 1.0%
Connecticut State General Obligation Bonds, Series 2008
5.850% due 03/15/2032		300		311
Hamilton County, Ohio Revenue Bonds, (AMBAC Insured), Series 2000
0.000% due 12/01/2028		500		145
Los Angeles, California Community College District General Obligation Bonds, (FGIC Insured), Series 2007
5.000% due 08/01/2032		300		284
North Texas State Municipal Water District Revenue Bonds, (MBIA Insured), Series 2006
5.000% due 09/01/2035		600		557
Puerto Rico Sales Tax Financing Corp. Revenue Bonds, (AMBAC Insured), Series 2007
0.000% due 08/01/2054		500		26
Waco, Texas Educational Finance Corp. Revenue Bonds, Series 2008
5.000% due 03/01/2036		200		181

Total Municipal Bonds & Notes (Cost $1,571)				1,504

U.S. GOVERNMENT AGENCIES 45.1%
Fannie Mae
0.000% due 06/01/2017 - 05/15/2030		1,700		804
3.267% due 07/25/2037		163		150
3.825% due 08/25/2021		16		16
3.975% due 08/25/2022		7		7
4.107% due 04/25/2032		24		24
4.250% due 05/25/2037		53		34
4.275% due 04/25/2021		10		10
4.500% due 08/25/2018 - 09/01/2035		677		640
5.000% due 11/01/2019 - 08/25/2033		677		632
5.375% due 02/25/2022 - 04/11/2022		1,350		1,346
5.500% due 09/25/2024 - 08/01/2037		11,140		11,075
5.800% due 02/09/2026		500		505
5.820% due 04/01/2026		939		950
6.000% due 01/25/2036		509		489
6.080% due 09/01/2028		64		72
6.167% due 01/01/2033		22		22
6.210% due 08/06/2038		700		798
6.500% due 07/25/2031		640		652
Farmer Mac
7.316% due 07/25/2011		109		108
Federal Farm Credit Bank
5.050% due 03/28/2019		400		405
5.150% due 03/25/2020		250		254
5.160% due 03/14/2022		2,400		2,438
Federal Home Loan Bank
4.250% due 12/18/2009		1,600		1,604
5.000% due 12/21/2015		12,000		12,333
5.250% due 09/12/2014		1,400		1,457
6.000% due 02/12/2021		50		55
6.125% due 06/08/2018		80		88
Federal Housing Administration
6.896% due 07/01/2020		356		352
Financing Corp.
10.700% due 10/06/2017		650		924
Freddie Mac
2.718% due 02/15/2019		642		626
2.888% due 01/15/2033		77		76
3.200% due 02/15/2027		14		14
3.500% due 02/15/2021		17		17
4.000% due 06/15/2032		297		220
4.278% due 10/25/2044		99		95
4.500% due 05/15/2025		1,000		884
5.000% due 03/18/2014 - 09/15/2035		2,000		1,903
5.400% due 03/17/2021		1,000		1,021
5.500% due 08/23/2017 - 06/15/2034		4,378		4,454
5.625% due 11/23/2035		900		887
6.000% due 05/15/2036		3,450		3,260
7.000% due 07/15/2023 - 12/01/2031		54		57
8.250% due 06/01/2016		350		424
Ginnie Mae
5.500% due 01/20/2036		579		530
5.625% due 08/20/2030		11		11
6.000% due 08/20/2033		1,355		1,341
Overseas Private Investment Corp.
4.736% due 03/15/2022		377		364
Private Export Funding Corp.
5.000% due 12/15/2016		500		508
Residual Funding Strip
0.000% due 10/15/2019 - 04/15/2030		11,600		6,833
Small Business Administration
5.240% due 08/01/2023		637		635
5.290% due 12/01/2027		583		575
Tennessee Valley Authority
4.500% due 04/01/2018		700		685
4.875% due 01/15/2048		800		764
5.375% due 04/01/2056		1,000		1,041
5.500% due 06/15/2038		1,900		2,002

Total U.S. Government Agencies (Cost $66,682)				67,471

U.S. TREASURY OBLIGATIONS 11.7%
Treasury Inflation Protected Securities (b)
2.000% due 01/15/2026		443		404
2.375% due 01/15/2025		117		113
2.375% due 01/15/2027		543		524
U.S. Treasury Bonds
5.375% due 02/15/2031		5,700		6,460
8.750% due 08/15/2020		300		425
U.S. Treasury Strips
0.000% due 08/15/2019		1,300		806
0.000% due 11/15/2019		2,000		1,221
0.000% due 11/15/2026		7,700		3,319
0.000% due 11/15/2027		8,000		3,335
0.000% due 11/15/2028		800		320
0.000% due 02/15/2033		1,700		574

Total U.S. Treasury Obligations (Cost $16,967)				17,501

MORTGAGE-BACKED SECURITIES 9.8%
American Home Mortgage Investment Trust
5.000% due 09/25/2035		400		349
Banc of America Commercial Mortgage, Inc.
5.634% due 07/10/2046		800		714
Bear Stearns Adjustable Rate Mortgage Trust
4.125% due 03/25/2035		516		481
4.476% due 02/25/2034		80		65
4.734% due 01/25/2034		53		53
4.750% due 10/25/2035		726		658
5.040% due 04/25/2033		384		370
5.299% due 03/25/2033		95		92
Countrywide Alternative Loan Trust
3.417% due 05/25/2035		135		86
5.500% due 10/25/2033		1,316		940
Countrywide Home Loan Mortgage Pass-Through Trust
3.527% due 03/25/2035		243		136
3.547% due 06/25/2035		2,186		1,836
CS First Boston Mortgage Securities Corp.
5.077% due 07/25/2033		78		75
6.097% due 11/25/2032		12		12
First Horizon Asset Securities, Inc.
4.593% due 12/25/2033		91		85
First Republic Mortgage Loan Trust
2.838% due 11/15/2031		167		155
GMAC Mortgage Corp. Loan Trust
4.282% due 06/25/2034		88		62
GS Mortgage Securities Corp. II
2.577% due 03/06/2020		158		142
5.560% due 11/10/2039		5,000		4,435
Harborview Mortgage Loan Trust
3.160% due 04/19/2038		142		87
3.250% due 05/19/2035		102		66
5.215% due 07/19/2035		187		125
Impac CMB Trust
5.749% due 09/25/2034		540		474
JPMorgan Chase Commercial Mortgage Securities Corp.
5.937% due 02/12/2049		600		513
MASTR Asset Securitization Trust
5.500% due 09/25/2033		390		358
Residential Accredit Loans, Inc.
3.607% due 01/25/2033		31		28
3.607% due 03/25/2033		75		70
6.000% due 06/25/2036		251		189
Residential Funding Mortgage Securities I
6.500% due 03/25/2032		59		56
Sequoia Mortgage Trust
3.538% due 07/20/2033		221		183
Structured Adjustable Rate Mortgage Loan Trust
3.427% due 05/25/2037		326		200
Structured Asset Mortgage Investments, Inc.
3.307% due 09/25/2047		288		275
3.360% due 09/19/2032		228		208
3.450% due 10/19/2033		62		58
Wachovia Bank Commercial Mortgage Trust
2.578% due 09/15/2021		69		63
5.572% due 10/15/2048		300		263
WaMu Mortgage Pass-Through Certificates
3.437% due 04/25/2045		97		64
3.855% due 08/25/2046		632		360
4.198% due 10/25/2046		174		113
4.255% due 08/25/2042		8		7
Washington Mutual MSC Mortgage Pass-Through Certificates
5.056% due 02/25/2031		13		13
5.664% due 05/25/2033		16		13
6.000% due 02/25/2033		6		6
6.044% due 02/25/2033		7		7

Total Mortgage-Backed Securities (Cost $17,073)				14,545

ASSET-BACKED SECURITIES 4.3%
Argent Securities, Inc.
3.257% due 10/25/2036		135		132
Bear Stearns Asset-Backed Securities Trust
3.707% due 11/25/2042		200		167
Chase Credit Card Master Trust
2.658% due 09/15/2011		300		298
Chase Issuance Trust
3.138% due 11/15/2011		700		694
3.388% due 05/16/2011		400		400
4.319% due 09/15/2015		800		798
Credit-Based Asset Servicing & Securitization LLC
3.297% due 12/25/2037		97		93
First Franklin Mortgage Loan Asset-Backed Certificates
3.257% due 03/25/2037		157		148
Ford Credit Auto Owner Trust
3.388% due 01/15/2011		700		693
Fremont Home Loan Trust
3.257% due 10/25/2036		371		355
HSI Asset Securitization Corp. Trust
3.257% due 12/25/2036		198		184
Indymac Residential Asset-Backed Trust
3.267% due 04/25/2037		105		102
LA Arena Funding LLC
7.656% due 12/15/2026		83		83
MASTR Asset-Backed Securities Trust
3.267% due 11/25/2036		193		189
Merrill Lynch Mortgage Investors, Inc.
3.277% due 08/25/2036		86		84
Morgan Stanley ABS Capital I
3.327% due 02/25/2036		97		95
Renaissance Home Equity Loan Trust
3.647% due 08/25/2033		10		8
3.707% due 12/25/2033		60		50
SLM Student Loan Trust
2.790% due 10/27/2014		36		36
2.800% due 04/25/2017		234		233
2.910% due 04/25/2017		88		87
4.173% due 04/25/2023		1,400		1,405
Specialty Underwriting & Residential Finance
3.887% due 01/25/2034		12		10
Structured Asset Securities Corp.
3.497% due 01/25/2033		22		18
Wells Fargo Home Equity Trust
3.257% due 01/25/2037		82		80

Total Asset-Backed Securities (Cost $6,573)				6,442

SOVEREIGN ISSUES 1.1%
Israel Government AID Bond
0.000% due 05/15/2021		700		382
0.000% due 02/15/2023		300		149
0.000% due 05/15/2023		2,300		1,127

Total Sovereign Issues (Cost $1,675)				1,658

SHORT-TERM INSTRUMENTS 17.4%
Certificates of Deposit 0.2%
Wachovia Bank N.A.
2.758% due 10/03/2008		300		300

Commercial Paper 4.1%
Federal Home Loan Bank
0.087% due 10/07/2008		3,100		3,100
Freddie Mac
2.500% due 11/24/2008		3,000		2,989

				6,089

Repurchase Agreements 13.1%
Greenwich Capital Markets, Inc.
0.250% due 10/01/2008		19,000		19,000
(Dated 09/30/2008. Collateralized by U.S. Treasury Inflation Protected Securities 3.875% due 01/15/2009 valued at $19,405. Repurchase proceeds are $19,000.)
State Street Bank and Trust Co.
1.000% due 10/01/2008
(Dated 09/30/2008. Collateralized by Fannie Mae 5.500% due 12/14/2022 valued at $648. Repurchase proceeds are $634.)		634		634

				19,634

Total Short-Term Instruments (Cost $26,023)				26,023

Purchased Options (e) 0.0% (Cost $105)				65
Total Investments 97.9% (Cost $150,027)			$	146,453
Written Options (f) (0.1%) (Premiums $142)				(150	)
Other Assets and Liabilities (Net) 2.2%				3,318

Net Assets 100.0%			$	149,621

Notes to Schedule of Investments (amounts in thousands*, except number of contracts):

* A zero balance may reflect actual amounts rounding to less than one thousand.

(a) Security is in default.

(b) Principal amount of security is adjusted for inflation.


Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Eurodollar December Futures	Long	12/2009	19	$	31
90-Day Eurodollar June Futures	Long	06/2009	63		58
90-Day Eurodollar June Futures	Long	06/2010	19		30
90-Day Eurodollar March Futures	Long	03/2009	31		19
90-Day Eurodollar March Futures	Long	03/2010	19		34
90-Day Eurodollar September Futures	Long	09/2009	19		30
U.S. Treasury 5-Year Note December Futures	Long	12/2008	47		18
U.S. Treasury 10-Year Note December Futures	Long	12/2008	52		(34	)
U.S. Treasury 30-Year Bond December Futures	Long	12/2008	557		(364	)

				$	(178	)

(d) Swap agreements outstanding on September 30, 2008:

Interest Rate Swaps


Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Maturity Date	Counterparty	Notional Amount		Market Value			Upfront Premiums Paid/(Received)			Unrealized Appreciation/ (Depreciation)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2009	BOA	$	8,900	$	73		$	65		$	8
Pay	3-Month USD-LIBOR	4.000	%	12/17/2009	DUB		4,600		38			35			3
Pay	3-Month USD-LIBOR	4.000	%	06/17/2010	CSFB		2,000		14			2			12
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	BCLY		100		1			2			(1	)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	DUB		100		1			2			(1	)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	MLP		100		1			2			(1	)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2013	RBS		5,900		(35	)		(114	)		79
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	BOA		800		(31	)		(25	)		(6	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	MSC		1,900		(72	)		(68	)		(4	)

								$	(10	)	$	(99	)	$	89

(e) Purchased options outstanding on September 30, 2008:

Interest Rate Swaptions


Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Cost		Value
Call - OTC 2-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	3.500	%	02/02/2009	$	1,000	$	11	$	8
Call - OTC 2-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		500		5		4
Call - OTC 2-Year Interest Rate Swap	JPM	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		500		5		4
Call - OTC 2-Year Interest Rate Swap	MSC	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		600		6		4
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.150	%	12/15/2008		3,200		28		13
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.150	%	02/02/2009		2,400		26		12
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		1,000		11		7
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.850	%	08/03/2009		1,200		13		13

									$	105	$	65

(f) Written options outstanding on September 30, 2008:

Options on Exchange-Traded Futures Contracts


Description	Exercise Price		Expiration Date	# of Contracts	Premium		Value
Call - CBOT U.S. Treasury 10-Year Note December Futures	$	118.000	11/21/2008	25	$	18	$	20
Call - CBOT U.S. Treasury 10-Year Note December Futures		119.000	11/21/2008	8		6		5
Put - CBOT U.S. Treasury 10-Year Note December Futures		113.000	11/21/2008	33		16		43

					$	40	$	68

Interest Rate Swaptions


Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Value
Call - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	4.600	%	02/02/2009	$	300	$	10	$	9
Call - OTC 5-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	4.150	%	08/03/2009		100		3		2
Call - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		100		3		3
Call - OTC 7-Year Interest Rate Swap	JPM	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		200		7		6
Call - OTC 7-Year Interest Rate Swap	MSC	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		200		6		5
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.300	%	12/15/2008		1,100		27		20
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.250	%	02/02/2009		800		24		16
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		300		10		8
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.550	%	08/03/2009		400		12		13

									$	102	$	82

(g) Short sales outstanding on September 30, 2008:


Description	Coupon		Maturity Date	Principal Amount		Proceeds		Value
Fannie Mae	5.500	%	10/01/2038	$	11,000	$	10,908	$	10,957
Fannie Mae	6.000	%	10/01/2038		4,747		4,767		4,804

						$	15,675	$	15,761

(h) Fair Value Measurements⁺

The following is a summary of the fair valuations according to the inputs used as of September 30, 2008 in valuing the Portfolio’s assets and liabilities:


	Quoted Prices in Active Markets for Identical Investments (Level 1)			Significant Other Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)			Value at 09/30/2008
Investments, at value	$	0		$	145,737		$	716		$	146,453
Short Sales, at value		0			(15,761	)		0			(15,761	)
Other Financial Instruments⁺⁺		(178	)		(61	)		(6	)		(245	)

Total	$	(178	)	$	129,915		$	710		$	130,447

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Portfolio during the period ending September 30, 2008:


	Beginning Balance at 12/31/2007		Net Purchases/ (Sales)			Accrued Discounts/ (Premiums)			Total Realized Gain/(Loss)		Total Unrealized Appreciation/ (Depreciation)			Net Transfers In/(Out) of Level 3			Ending Balance at 09/30/2008
Investments, at value	$	895	$	(52	)	$	(1	)	$	0	$	(18	)	$	(108	)	$	716
Other Financial Instruments⁺⁺		0		0			0			0		0			(6	)		(6	)

Total	$	895	$	(52	)	$	(1	)	$	0	$	(18	)	$	(114	)	$	710

⁺	See note 3 in the Supplementary Notes to Schedule of Investments for additional information.

⁺⁺	Other financial instruments may include open futures contracts, swap contracts, written options, and foreign currency contracts.

See Accompanying Notes

Schedule of Investments

Low Duration Portfolio

September 30, 2008 (Unaudited)


	Principal Amount (000s)		Value (000s)
BANK LOAN OBLIGATIONS 0.2%
Daimler Finance North America LLC
6.820% due 08/03/2012	$	4,950	$	3,362

Total Bank Loan Obligations (Cost $4,743)				3,362

CORPORATE BONDS & NOTES 34.0%
Banking & Finance 24.8%
Allstate Life Global Funding Trusts
3.250% due 03/23/2009		800		797
American Express Bank FSB
2.498% due 10/16/2008		2,000		1,999
3.248% due 06/22/2009		1,300		1,282
3.248% due 10/20/2009		2,100		2,058
American Express Centurion Bank
2.507% due 06/12/2009		1,900		1,836
2.648% due 11/16/2009		1,400		1,326
American Express Credit Corp.
2.547% due 11/09/2009		1,100		1,040
American International Group, Inc.
2.538% due 06/16/2009		5,200		3,122
ANZ National International Ltd.
2.842% due 08/07/2009		1,500		1,496
6.200% due 07/19/2013		1,000		994
Bank of America Corp.
2.918% due 11/06/2009		900		880
8.000% due 12/29/2049		30,700		24,332
Bank of America N.A.
2.810% due 02/27/2009		700		698
Bank of Ireland
2.926% due 12/18/2009		1,120		1,110
3.072% due 12/19/2008		3,100		3,095
Bank of New York Mellon Corp.
3.194% due 02/05/2010		8,700		8,514
Bank of Scotland PLC
2.829% due 07/17/2009		2,200		2,187
Bear Stearns Cos. LLC
2.901% due 08/21/2009		4,700		4,654
2.927% due 05/18/2010		14,000		13,721
3.029% due 01/31/2011		7,700		7,527
3.061% due 07/16/2009		1,300		1,291
3.852% due 03/30/2009		2,900		2,885
Calabash Re Ltd.
11.219% due 01/08/2010		1,400		1,418
13.719% due 01/08/2010		1,900		1,963
Capital One Financial Corp.
3.097% due 09/10/2009		13,700		12,784
Caterpillar Financial Services Corp.
2.867% due 05/18/2009		5,480		5,473
2.887% due 03/10/2009		6,400		6,388
CIT Group, Inc.
2.925% due 06/08/2009		7,700		6,585
2.927% due 08/17/2009		2,200		1,770
3.212% due 12/19/2008		400		395
Citigroup Funding, Inc.
3.476% due 06/26/2009		1,400		1,368
Citigroup Global Markets Holdings, Inc.
2.916% due 03/17/2009		1,800		1,776
Citigroup, Inc.
2.836% due 01/30/2009		1,400		1,385
3.799% due 12/28/2009		4,000		3,872
3.809% due 12/26/2008		100		99
5.500% due 04/11/2013		7,100		6,203
8.400% due 04/29/2049		3,200		2,182
Countrywide Financial Corp.
2.931% due 01/05/2009		15,000		14,799
Credit Agricole S.A.
2.809% due 05/28/2009		1,500		1,494
2.859% due 05/28/2010		1,700		1,686
Deutsche Bank Capital Funding Trust I
7.872% due 12/29/2049		14,600		14,282
DnB NOR Bank ASA
2.858% due 10/13/2009		8,400		8,389
Ford Motor Credit Co. LLC
5.700% due 01/15/2010		300		230
5.800% due 01/12/2009		500		475
7.375% due 10/28/2009		1,400		1,126
7.375% due 02/01/2011		100		66
7.875% due 06/15/2010		300		229
General Electric Capital Corp.
2.851% due 10/06/2010		400		394
2.856% due 01/20/2010		1,100		1,092
2.874% due 08/15/2011		4,900		4,789
2.989% due 01/08/2016		300		277
3.251% due 02/01/2011		3,500		3,465
GMAC LLC
6.000% due 12/15/2011		300		134
Goldman Sachs Group, Inc.
2.887% due 11/16/2009		600		555
3.129% due 07/23/2009		1,300		1,233
3.250% due 12/23/2008		400		394
3.294% due 12/22/2008		2,100		2,070
3.812% due 03/30/2009		2,900		2,792
HSBC Bank USA N.A.
2.957% due 06/10/2009		1,400		1,393
HSBC Finance Corp.
2.954% due 12/05/2008		1,300		1,294
3.052% due 05/10/2010		2,200		2,027
ICICI Bank Ltd.
3.328% due 01/12/2010		2,300		2,234
JPMorgan Chase & Co.
2.973% due 10/02/2009		3,500		3,498
KeyBank N.A.
5.061% due 06/02/2010		2,200		2,190
Keycorp
4.700% due 05/21/2009		5,940		5,780
Lehman Brothers Holdings, Inc.
2.520% due 11/24/2008 (a)		1,000		130
2.851% due 12/23/2008 (a)		400		52
2.878% due 04/03/2009 (a)		1,700		221
2.907% due 11/16/2009 (a)		5,200		676
2.911% due 08/21/2009 (a)		1,400		182
3.005% due 07/18/2011 (a)		1,000		130
3.011% due 12/23/2010 (a)		900		117
5.625% due 01/24/2013 (a)		1,700		221
Longpoint Re Ltd.
8.069% due 05/08/2010		700		712
Merrill Lynch & Co., Inc.
2.852% due 05/08/2009		1,700		1,655
2.893% due 12/04/2009		1,400		1,332
Metropolitan Life Global Funding I
2.847% due 05/17/2010		3,200		3,159
5.125% due 04/10/2013		16,500		16,045
Morgan Stanley
2.852% due 05/07/2009		2,800		2,428
2.912% due 02/09/2009		1,100		959
3.031% due 01/22/2009		3,700		3,601
3.035% due 01/18/2011		5,000		3,261
Mystic Re Ltd.
9.111% due 12/05/2008		1,800		1,799
National Australia Bank Ltd.
2.858% due 09/11/2009		1,400		1,397
3.252% due 02/08/2010		16,800		16,787
Northern Rock PLC
2.821% due 01/09/2009		16,500		16,413
Pacific Life Global Funding
5.150% due 04/15/2013		9,600		9,599
PNC Bank N.A.
3.323% due 02/01/2010		10,000		9,951
Pricoa Global Funding I
2.845% due 07/27/2009		3,700		3,673
Residential Capital LLC
5.912% due 05/22/2009		2,000		910
Residential Reinsurance 2007 Ltd.
13.061% due 06/07/2010		300		309
Santander U.S. Debt S.A. Unipersonal
2.820% due 11/20/2008		700		698
SLM Corp.
2.940% due 07/27/2009		900		792
2.960% due 07/26/2010		700		531
Sun Life Financial Global Funding LP
2.951% due 07/06/2011		9,000		8,698
TransCapitalInvest Ltd. for OJSC AK Transneft
7.700% due 08/07/2013		4,800		4,391
Unicredit Luxembourg Finance S.A.
2.846% due 10/24/2008		1,700		1,699
Wachovia Bank N.A.
2.871% due 05/25/2010		6,000		4,823
Wachovia Corp.
2.921% due 10/15/2011		1,100		759
2.961% due 06/01/2010		1,000		773
7.980% due 02/28/2049		17,400		7,282
Wachovia Mortgage FSB
2.842% due 05/08/2009		7,100		7,063
Wells Fargo & Co.
2.919% due 09/15/2009		300		298
3.223% due 01/29/2010		6,500		6,483

				358,901

Industrials 5.1%
Amgen, Inc.
2.889% due 11/28/2008		1,800		1,795
Anadarko Petroleum Corp.
3.219% due 09/15/2009		2,200		2,175
BP AMI Leasing, Inc.
3.486% due 06/26/2009		3,700		3,701
Citigroup Global Markets Deutschland AG for OAO Gazprom
10.500% due 10/21/2009		200		202
Comcast Corp.
3.088% due 07/14/2009		20,310		19,877
Daimler Finance North America LLC
3.169% due 03/13/2009		1,600		1,594
Diageo Capital PLC
2.902% due 11/10/2008		2,600		2,597
Gaz Capital S.A.
7.510% due 07/31/2013		2,500		2,430
General Electric Co.
2.854% due 12/09/2008		2,600		2,591
Home Depot, Inc.
2.944% due 12/16/2009		6,200		5,835
3.750% due 09/15/2009		4,600		4,494
Kimberly-Clark Corp.
2.899% due 07/30/2010		3,100		3,087
Time Warner, Inc.
3.034% due 11/13/2009		15,300		14,693
Wal-Mart Stores, Inc.
4.250% due 04/15/2013		3,300		3,242
Walt Disney Co.
2.861% due 07/16/2010		5,200		5,185

				73,498

Utilities 4.1%
Deutsche Telekom International Finance BV
3.390% due 03/23/2009		14,500		14,430
New Cingular Wireless Services, Inc.
7.875% due 03/01/2011		18,700		19,696
NiSource Finance Corp.
3.381% due 11/23/2009		6,600		6,433
Progress Energy, Inc.
3.241% due 01/15/2010		1,600		1,587
Public Service Electric & Gas Co.
3.694% due 03/12/2010		7,000		6,952
Qwest Capital Funding, Inc.
7.000% due 08/03/2009		4,100		4,049
Telecom Italia Capital S.A.
3.395% due 07/18/2011		1,800		1,681
Telefonica Emisiones SAU
3.504% due 06/19/2009		1,700		1,690
Verizon Communications, Inc.
2.838% due 04/03/2009		3,800		3,772

				60,290

Total Corporate Bonds & Notes (Cost $537,134)				492,689

U.S. GOVERNMENT AGENCIES 44.2%
Fannie Mae
3.267% due 12/25/2036 - 07/25/2037		3,554		3,293
3.327% due 03/25/2034		93		90
3.407% due 10/27/2037		14,100		12,988
3.557% due 09/25/2042 - 03/25/2044		1,236		1,214
3.607% due 05/25/2031 - 11/25/2032		2,851		2,803
4.278% due 07/01/2042 - 06/01/2043		1,009		1,006
4.328% due 09/01/2041		495		492
4.445% due 05/01/2035		520		527
4.478% due 09/01/2040		4		4
4.489% due 05/01/2035		387		391
4.500% due 06/25/2043		150		150
4.511% due 07/01/2034		142		143
4.624% due 08/01/2035		2,772		2,785
4.652% due 07/01/2035		432		437
4.885% due 09/01/2035		947		959
4.965% due 11/01/2035		1,029		1,032
5.000% due 12/25/2016 - 11/01/2038		172,838		169,680
5.000% due 04/01/2038 (f)		61,000		59,487
5.009% due 11/01/2035		267		273
5.168% due 12/01/2036		66		67
5.329% due 09/01/2034		62		62
5.468% due 03/01/2035		169		174
5.500% due 12/01/2009 - 05/01/2038		102,862		103,269
6.000% due 08/01/2016 - 09/01/2038		151,987		154,136
6.250% due 02/01/2011		11,100		11,618
6.500% due 10/01/2037 - 12/25/2042		988		1,015
Federal Housing Administration
7.430% due 10/01/2020		8		8
Freddie Mac
2.638% due 07/15/2019 - 10/15/2020		28,877		28,236
2.718% due 02/15/2019		12,200		11,894
2.788% due 05/15/2036		965		935
2.838% due 12/15/2030		419		413
2.888% due 06/15/2018		145		142
3.247% due 12/25/2036		3,419		3,291
3.467% due 08/25/2031		324		293
4.278% due 02/25/2045		639		581
4.692% due 06/01/2035		1,691		1,676
4.875% due 06/13/2018		2,700		2,742
4.916% due 07/01/2035		784		787
5.000% due 10/01/2018 - 12/15/2026		1,985		1,992
5.500% due 08/15/2030 - 08/01/2038		29,898		29,768
6.000% due 09/01/2016 - 07/01/2038		1,174		1,190
6.500% due 07/25/2043		134		137
Ginnie Mae
6.000% due 05/15/2037 - 10/01/2038		27,817		28,196

Total U.S. Government Agencies (Cost $637,275)				640,376

U.S. TREASURY OBLIGATIONS 2.5%
Treasury Inflation Protected Securities (c)
1.750% due 01/15/2028		105		92
U.S. Treasury Notes
2.375% due 08/31/2010		22,600		22,780
3.125% due 11/30/2009		12,600		12,786

Total U.S. Treasury Obligations (Cost $35,623)				35,658

MORTGAGE-BACKED SECURITIES 10.9%
Adjustable Rate Mortgage Trust
5.139% due 09/25/2035		1,816		1,444
American Home Mortgage Investment Trust
4.290% due 10/25/2034		1,229		984
4.390% due 02/25/2045		439		295
Banc of America Funding Corp.
4.135% due 05/25/2035		6,594		5,621
6.129% due 01/20/2047		1,380		936
Banc of America Mortgage Securities, Inc.
4.519% due 07/25/2034		1,249		1,175
5.147% due 05/25/2033		1,492		1,464
6.500% due 10/25/2031		55		56
Bear Stearns Adjustable Rate Mortgage Trust
4.125% due 03/25/2035		24,874		23,480
4.550% due 08/25/2035		6,911		6,609
4.666% due 07/25/2034		1,077		1,017
4.734% due 01/25/2034		89		88
4.750% due 10/25/2035		1,898		1,864
4.959% due 01/25/2035		1,231		1,118
5.040% due 04/25/2033		22		21
5.071% due 11/25/2034		2,741		2,612
5.425% due 04/25/2033		46		43
6.752% due 02/25/2033		4		4
Bear Stearns Alt-A Trust
3.367% due 02/25/2034		1,006		617
5.048% due 12/25/2033		1,267		1,166
5.370% due 05/25/2035		736		626
5.504% due 09/25/2035		665		536
Bear Stearns Commercial Mortgage Securities
5.331% due 02/11/2044		400		336
Bear Stearns Mortgage Funding Trust
3.277% due 02/25/2037		1,866		1,681
Bear Stearns Structured Products, Inc.
4.639% due 01/26/2036		2,014		1,604
5.772% due 12/26/2046		1,121		893
Citigroup Mortgage Loan Trust, Inc.
4.683% due 08/25/2035		2,650		2,002
4.900% due 12/25/2035		536		511
Commercial Mortgage Pass-Through Certificates
5.306% due 12/10/2046		3,000		2,605
Countrywide Alternative Loan Trust
3.387% due 05/25/2047		1,054		642
3.487% due 02/25/2037		5,301		3,443
4.500% due 06/25/2035		1,227		1,216
6.000% due 10/25/2033		73		68
6.500% due 06/25/2033		1		1
Countrywide Home Loan Mortgage Pass-Through Trust
4.727% due 02/20/2035		3,067		2,729
4.797% due 11/25/2034		1,741		1,531
5.250% due 02/20/2036		967		695
CS First Boston Mortgage Securities Corp.
3.076% due 03/25/2032		4		4
4.938% due 12/15/2040		384		379
5.077% due 07/25/2033		13,581		11,453
First Horizon Alternative Mortgage Securities
5.309% due 09/25/2034		2,961		2,631
First Horizon Asset Securities, Inc.
5.357% due 08/25/2035		979		848
GMAC Mortgage Corp. Loan Trust
5.353% due 11/19/2035		595		495
Greenpoint Mortgage Funding Trust
3.287% due 10/25/2046		1,126		969
3.287% due 01/25/2047		1,305		1,240
Greenpoint Mortgage Pass-Through Certificates
5.454% due 10/25/2033		1,169		1,141
Greenwich Capital Commercial Funding Corp.
5.444% due 03/10/2039		1,300		1,102
GS Mortgage Securities Corp. II
2.577% due 03/06/2020		1,893		1,701
5.993% due 08/10/2045		3,500		2,997
GSR Mortgage Loan Trust
4.539% due 09/25/2035		2,806		2,402
6.000% due 03/25/2032		2		2
Harborview Mortgage Loan Trust
3.250% due 05/19/2035		229		148
3.936% due 06/19/2034		10,421		10,177
5.145% due 07/19/2035		1,445		1,260
Impac CMB Trust
3.472% due 07/25/2033		462		413
Indymac Index Mortgage Loan Trust
5.048% due 12/25/2034		665		543
JPMorgan Chase Commercial Mortgage Securities Corp.
5.420% due 01/15/2049		600		500
5.882% due 02/15/2051		1,300		1,111
JPMorgan Mortgage Trust
5.021% due 02/25/2035		1,074		936
LB-UBS Commercial Mortgage Trust
4.990% due 11/15/2030		551		545
Lehman Brothers Floating Rate Commercial Mortgage Trust
2.568% due 09/15/2021		172		156
MASTR Adjustable Rate Mortgages Trust
3.788% due 11/21/2034		957		946
MASTR Asset Securitization Trust
5.500% due 09/25/2033		71		65
Mellon Residential Funding Corp.
2.947% due 06/15/2030		428		404
Merrill Lynch Countrywide Commercial Mortgage Trust
5.485% due 03/12/2051		2,700		2,271
Merrill Lynch Mortgage Investors, Inc.
3.417% due 02/25/2036		661		537
MLCC Mortgage Investors, Inc.
3.457% due 11/25/2035		499		435
4.207% due 10/25/2035		319		290
4.250% due 10/25/2035		1,839		1,645
4.434% due 01/25/2029		63		63
Morgan Stanley Capital I
2.548% due 10/15/2020		1,794		1,612
Prime Mortgage Trust
3.607% due 02/25/2019		13		13
3.607% due 02/25/2034		53		49
Residential Funding Mortgage Securities I
5.207% due 09/25/2035		1,926		1,658
Salomon Brothers Mortgage Securities VII, Inc.
4.000% due 12/25/2018		190		181
Structured Adjustable Rate Mortgage Loan Trust
4.065% due 01/25/2035		531		315
4.580% due 02/25/2034		814		735
5.288% due 08/25/2034		1,048		960
5.344% due 01/25/2035		2,002		1,466
5.535% due 08/25/2035		602		488
Structured Asset Mortgage Investments, Inc.
3.280% due 07/19/2035		1,408		1,168
3.307% due 09/25/2047		2,597		2,478
3.360% due 09/19/2032		11		10
3.487% due 02/25/2036		333		215
Structured Asset Securities Corp.
5.034% due 10/25/2035		1,004		850
Thornburg Mortgage Securities Trust
3.317% due 11/25/2046		1,012		971
3.327% due 09/25/2046		2,474		2,319
Wachovia Bank Commercial Mortgage Trust
2.568% due 06/15/2020		2,189		1,937
2.578% due 09/15/2021		3,431		3,135
5.509% due 04/15/2047		1,800		1,502
WaMu Mortgage Pass-Through Certificates
3.477% due 12/25/2045		303		198
3.497% due 10/25/2045		1,698		1,077
3.585% due 01/25/2047		673		406
3.948% due 02/27/2034		61		57
4.055% due 11/25/2042		151		135
4.134% due 08/25/2034		6,946		6,900
4.198% due 09/25/2046		911		593
4.255% due 06/25/2042		88		80
4.255% due 08/25/2042		354		317
4.274% due 05/25/2041		98		91
Wells Fargo Mortgage-Backed Securities Trust
4.950% due 01/25/2035		2,355		2,136
4.950% due 03/25/2036		1,245		1,102
4.992% due 12/25/2034		1,761		1,601

Total Mortgage-Backed Securities (Cost $176,106)				158,297

ASSET-BACKED SECURITIES 12.3%
Access Group, Inc.
4.093% due 10/27/2025		3,700		3,658
Accredited Mortgage Loan Trust
3.247% due 09/25/2036		655		649
ACE Securities Corp.
3.267% due 10/25/2036		777		752
Amortizing Residential Collateral Trust
3.497% due 07/25/2032		13		9
Argent Securities, Inc.
3.257% due 09/25/2036		166		164
Asset-Backed Funding Certificates
3.267% due 10/25/2036		541		530
3.267% due 01/25/2037		592		558
Asset-Backed Securities Corp. Home Equity
3.257% due 12/25/2036		942		903
3.482% due 09/25/2034		286		250
4.138% due 03/15/2032		264		222
Atrium CDO Corp.
3.225% due 06/27/2015		6,139		5,867
BA Credit Card Trust
3.068% due 04/15/2013		2,000		1,958
3.238% due 08/15/2011		13,400		13,389
Bear Stearns Asset-Backed Securities Trust
4.207% due 08/25/2037		4,710		3,844
Carrington Mortgage Loan Trust
3.307% due 06/25/2037		1,993		1,838
Chase Credit Card Master Trust
2.598% due 02/15/2011		2,300		2,298
Chase Issuance Trust
3.388% due 05/16/2011		14,800		14,783
CIT Group Home Equity Loan Trust
3.477% due 06/25/2033		1		1
Citibank Credit Card Issuance Trust
3.628% due 05/18/2011		11,800		11,782
Citigroup Mortgage Loan Trust, Inc.
3.267% due 05/25/2037		7,287		6,680
3.267% due 07/25/2045		6,882		6,260
3.307% due 10/25/2036		7,100		6,817
Countrywide Asset-Backed Certificates
3.257% due 01/25/2037		85		85
3.257% due 05/25/2037		3,928		3,823
3.257% due 06/25/2037		3,758		3,655
3.257% due 12/25/2046		167		165
3.257% due 03/25/2047		369		361
3.277% due 06/25/2037		786		757
3.287% due 06/25/2037		678		649
3.317% due 10/25/2046		557		540
3.387% due 09/25/2036		6,639		6,133
3.467% due 05/25/2036		3,990		3,737
3.687% due 12/25/2031		57		42
Credit-Based Asset Servicing & Securitization LLC
3.267% due 11/25/2036		754		724
CS First Boston Mortgage Securities Corp.
3.827% due 01/25/2032		12		10
Daimler Chrysler Auto Trust
3.337% due 10/08/2010		5,600		5,595
Equity One Asset-Backed Securities, Inc.
3.767% due 11/25/2032		16		13
First Franklin Mortgage Loan Asset-Backed Certificates
3.257% due 11/25/2036		1,173		1,104
Ford Credit Auto Owner Trust
3.088% due 07/15/2010		3,815		3,811
Fremont Home Loan Trust
3.267% due 01/25/2037		722		680
3.277% due 02/25/2037		276		271
GE-WMC Mortgage Securities LLC
3.247% due 08/25/2036		266		258
GSAMP Trust
3.277% due 12/25/2036		1,058		975
3.497% due 03/25/2034		95		94
GSR Mortgage Loan Trust
3.307% due 11/25/2030		10		10
HFC Home Equity Loan Asset-Backed Certificates
3.258% due 03/20/2036		414		403
3.478% due 01/20/2034		2,074		1,797
3.538% due 09/20/2033		173		159
HSI Asset Securitization Corp. Trust
3.257% due 12/25/2036		494		459
Indymac Residential Asset-Backed Trust
3.267% due 04/25/2037		419		408
JPMorgan Mortgage Acquisition Corp.
3.257% due 08/25/2036		243		239
3.267% due 04/25/2037		1,477		1,360
Lehman XS Trust
3.277% due 05/25/2046		161		156
3.287% due 11/25/2046		1,594		1,523
3.327% due 11/25/2036		768		726
Long Beach Mortgage Loan Trust
3.487% due 10/25/2034		34		26
MASTR Asset-Backed Securities Trust
3.267% due 11/25/2036		696		680
Merrill Lynch Mortgage Investors, Inc.
3.277% due 08/25/2036		1,324		1,288
Morgan Stanley ABS Capital I
3.257% due 09/25/2036		2,062		2,028
3.267% due 05/25/2037		1,844		1,673
Nationstar Home Equity Loan Trust
3.327% due 04/25/2037		5,608		5,426
Option One Mortgage Loan Trust
3.257% due 01/25/2037		680		655
3.297% due 04/25/2037		5,819		5,514
Residential Asset Securities Corp.
3.277% due 11/25/2036		558		548
Residential Funding Mortgage Securities II, Inc.
3.327% due 05/25/2037		1,406		1,280
Saxon Asset Securities Trust
3.267% due 10/25/2046		248		243
Securitized Asset-Backed Receivables LLC Trust
3.337% due 05/25/2037		1,711		1,504
SLM Student Loan Trust
2.780% due 04/25/2014		2,136		2,118
2.800% due 10/25/2016		1,442		1,431
2.800% due 07/25/2017		13,600		12,903
3.050% due 07/25/2013		2,734		2,717
3.100% due 01/26/2015		863		859
3.300% due 10/25/2017		8,300		7,935
Soundview Home Equity Loan Trust
3.257% due 10/25/2036		142		141
3.267% due 11/25/2036		2,770		2,665
3.287% due 01/25/2037		2,345		2,291
Structured Asset Securities Corp.
3.257% due 10/25/2036		855		811
Truman Capital Mortgage Loan Trust
3.547% due 01/25/2034		34		34
Wells Fargo Home Equity Trust
3.257% due 01/25/2037		330		322

Total Asset-Backed Securities (Cost $186,110)				179,026

SOVEREIGN ISSUES 0.6%
Export-Import Bank of Korea
2.901% due 06/01/2009		2,200		2,183
Korea Development Bank
2.928% due 04/03/2010		6,100		6,031

Total Sovereign Issues (Cost $8,300)				8,214

FOREIGN CURRENCY-DENOMINATED ISSUES 0.1%
Brazilian Government International Bond
10.250% due 01/10/2028	BRL	2,900		1,347
12.500% due 01/05/2022		900		487

Total Foreign Currency-Denominated Issues (Cost $2,042)				1,834

	Shares
CONVERTIBLE PREFERRED STOCKS 0.7%
Bank of America Corp.
7.250% due 12/31/2049		12,000		10,023

Total Convertible Preferred Stocks (Cost $12,000)				10,023

PREFERRED STOCKS 0.3%
DG Funding Trust
5.051% due 12/31/2049		420		4,284

Total Preferred Stocks (Cost $4,462)				4,284

	Principal Amount (000s)
SHORT-TERM INSTRUMENTS 4.0%
Certificates of Deposit 0.2%
Nordea Bank Finland PLC
2.449% due 04/09/2009	$	3,600		3,599

Repurchase Agreements 2.4%
JPMorgan Chase Bank N.A.
0.450% due 10/06/2008		33,722		33,722
(Dated 09/29/2008. Collateralized by U.S. Treasury Notes 3.250% due 12/31/2009 valued at $33,731. Repurchase proceeds are $33,723.)
State Street Bank and Trust Co.
1.000% due 10/01/2008		1,188		1,188
(Dated 09/30/2008. Collateralized by Freddie Mac 0.000% due 11/10/2008 valued at $1,216. Repurchase proceeds are $1,188.)

				34,910

U.S. Treasury Bills 1.3%
1.190% due 10/16/2008 - 12/26/2008 (b)(d)(e)		19,650		19,526

Total Short-Term Instruments (Cost $58,121)				58,035

Purchased Options (i) 0.1% (Cost $1,642)				986
Total Investments 109.9% (Cost $1,663,558)			$	1,592,784
Written Options (j) (0.1%) (Premiums $1,744)				(1,527	)
Other Assets and Liabilities (Net) (9.8%)				(141,904	)

Net Assets 100.0%			$	1,449,353

Notes to Schedule of Investments (amounts in thousands*, except number of contracts):

* A zero balance may reflect actual amounts rounding to less than one thousand.

(a) Security is in default.

(b) Coupon represents a weighted average rate.

(d) Securities with an aggregate market value of $15,598 have been pledged as collateral for swap and swaption contracts on September 30, 2008.

(e) Securities with an aggregate market value of $258 have been pledged as collateral for delayed-delivery securities on September 30, 2008.

(f) The average amount of borrowings while outstanding during the period ended September 30, 2008 was $56,805 at a weighted average interest rate of 2.451%. On September 30, 2008, securities valued at $28,920 were pledged as collateral for reverse repurchase agreements.

(g) Cash of $7,814 has been pledged as collateral for the following open futures contracts on September 30, 2008:


Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Euribor December Futures	Long	12/2008	49	$	49
90-Day Euribor June Futures	Long	06/2009	49		192
90-Day Euribor March Futures	Long	03/2009	49		157
90-Day Eurodollar December Futures	Long	12/2008	2,842		6,099
90-Day Eurodollar December Futures	Long	12/2009	159		(143	)
90-Day Eurodollar June Futures	Long	06/2009	402		56
90-Day Eurodollar March Futures	Long	03/2009	2,197		3,075
90-Day Eurodollar March Futures	Long	03/2010	103		(64	)
90-Day Eurodollar September Futures	Long	09/2009	523		1,143
U.S. Treasury 10-Year Note December Futures	Long	12/2008	18		(23	)
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2008	79		(80	)
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2009	45		(2	)
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2009	306		656
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2009	386		712

				$	11,827

(h) Swap agreements outstanding on September 30, 2008:

Credit Default Swaps on Corporate and Sovereign Issues - Sell Protection⁽¹⁾


Reference Obligation	Fixed Deal Receive Rate		Maturity Date	Counterparty	Implied Credit Spread at September 30, 2008⁽³⁾	Notional Amount⁽⁴⁾		Market Value			Upfront Premiums Paid/ (Received)		Unrealized (Depreciation)
American International Group, Inc. 6.250% due 05/01/2036	1.380	%	06/20/2013	GSC	14.711%	$	2,700	$	(964	)	$	0	$	(964	)
American International Group, Inc. 6.250% due 05/01/2036	1.360	%	06/20/2013	RBS	14.711%		2,700		(965	)		0		(965	)
Brazilian Government International Bond 12.250% due 03/06/2030	0.290	%	06/20/2009	BCLY	0.544%		4,000		(4	)		0		(4	)
Ford Motor Credit Co. LLC 7.000% due 10/01/2013	5.650	%	09/20/2012	BCLY	28.870%		600		(239	)		0		(239	)
Ford Motor Credit Co. LLC 7.000% due 10/01/2013	3.850	%	09/20/2012	GSC	28.870%		200		(86	)		0		(86	)
Ford Motor Credit Co. LLC 7.000% due 10/01/2013	6.800	%	09/20/2012	JPM	28.870%		8,300		(3,135	)		0		(3,135	)
Freddie Mac 5.080% due 02/07/2019	0.720	%	03/20/2013	BCLY	Defaulted		3,000		(74	)		0		(74	)
General Electric Capital Corp. 6.000% due 06/15/2012	0.780	%	03/20/2011	BNP	6.571%		900		(106	)		0		(106	)
General Electric Capital Corp. 6.000% due 06/15/2012	1.250	%	03/20/2013	BNP	6.113%		700		(108	)		0		(108	)
General Electric Capital Corp. 6.000% due 06/15/2012	0.750	%	03/20/2009	CITI	7.398%		1,100		(33	)		0		(33	)
General Electric Capital Corp. 6.000% due 06/15/2012	1.100	%	03/20/2010	CITI	6.975%		200		(15	)		0		(15	)
General Electric Capital Corp. 6.000% due 06/15/2012	1.150	%	03/20/2010	CITI	6.975%		100		(8	)		0		(8	)
General Electric Capital Corp. 6.000% due 06/15/2012	0.800	%	06/20/2011	DUB	6.520%		4,300		(539	)		0		(539	)
General Electric Capital Corp. 6.000% due 06/15/2012	1.500	%	09/20/2011	DUB	6.478%		600		(70	)		0		(70	)
General Electric Capital Corp. 6.000% due 06/15/2012	0.900	%	12/20/2010	GSC	6.632%		300		(32	)		0		(32	)
General Electric Capital Corp. 6.000% due 06/15/2012	0.950	%	01/20/2009	MSC	7.386%		900		(17	)		0		(17	)
General Motors Corp. 7.125% due 07/15/2013	4.800	%	12/20/2012	BNP	37.109%		200		(106	)		0		(106	)
General Motors Corp. 7.125% due 07/15/2013	4.500	%	12/20/2012	BOA	37.109%		400		(214	)		0		(214	)
General Motors Corp. 7.125% due 07/15/2013	4.600	%	12/20/2012	DUB	37.109%		200		(107	)		0		(107	)
General Motors Corp. 7.125% due 07/15/2013	4.550	%	12/20/2012	JPM	37.109%		100		(53	)		0		(53	)
General Motors Corp. 7.125% due 07/15/2013	4.630	%	12/20/2012	MSC	37.109%		100		(53	)		0		(53	)
General Motors Corp. 7.125% due 07/15/2013	8.150	%	03/20/2013	UBS	36.581%		2,800		(1,330	)		0		(1,330	)
GMAC LLC 6.875% due 08/28/2012	3.650	%	09/20/2012	BCLY	48.784%		1,000		(526	)		0		(526	)
GMAC LLC 6.875% due 08/28/2012	3.200	%	09/20/2012	GSC	48.784%		500		(266	)		0		(266	)
GMAC LLC 6.875% due 08/28/2012	4.850	%	09/20/2012	JPM	48.784%		900		(461	)		0		(461	)
GMAC LLC 6.875% due 08/28/2012	1.850	%	09/20/2009	MLP	79.633%		2,100		(918	)		0		(918	)
Goldman Sachs Group, Inc. 6.600% due 01/15/2012	0.820	%	09/20/2012	BEAR	4.610%		3,800		(455	)		0		(455	)
Indonesia Government International Bond 6.750% due 03/10/2014	0.438	%	06/20/2009	RBS	1.075%		4,000		(18	)		0		(18	)
Indonesia Government International Bond 6.750% due 03/10/2014	0.390	%	12/20/2008	RBS	1.074%		1,000		(1	)		0		(1	)
JSC Gazprom 8.625% due 04/28/2034	1.600	%	12/20/2012	BCLY	4.271%		3,800		(343	)		0		(343	)
JSC Gazprom 8.625% due 04/28/2034	2.480	%	02/20/2013	MSC	4.293%		6,500		(415	)		0		(415	)
JSC Gazprom 8.625% due 04/28/2034	0.860	%	11/20/2011	MSC	4.115%		2,600		(227	)		0		(227	)
Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	8.250	%	09/20/2009	CITI	Defaulted		200		(169	)		0		(169	)
Russia Government International Bond 7.500% due 03/31/2030	0.275	%	06/20/2009	BCLY	2.345%		4,000		(56	)		0		(56	)
SLM Corp. 5.125% due 08/27/2012	5.050	%	03/20/2013	BNP	17.182%		1,500		(414	)		0		(414	)
SLM Corp. 5.125% due 08/27/2012	5.600	%	09/20/2009	CITI	19.723%		4,900		(566	)		0		(566	)
Ukraine Government International Bond 7.650% due 06/11/2013	0.710	%	12/20/2008	BCLY	5.144%		1,000		(8	)		0		(8	)
Ukraine Government International Bond 7.650% due 06/11/2013	0.730	%	04/20/2009	HSBC	5.404%		2,700		(59	)		0		(59	)
Ukraine Government International Bond 7.650% due 06/11/2013	0.520	%	05/20/2009	HSBC	5.454%		1,000		(29	)		0		(29	)
Ukraine Government International Bond 7.650% due 06/11/2013	0.490	%	06/20/2009	HSBC	5.504%		4,000		(136	)		0		(136	)
Wells Fargo & Co. 2.995% due 10/28/2015	0.800	%	09/20/2009	UBS	1.000%		600		(1	)		0		(1	)

								$	(13,326	)	$	0	$	(13,326	)

Credit Default Swaps on Credit Indices - Buy Protection⁽²⁾


Reference Obligation	Fixed Deal (Pay) Rate		Maturity Date	Counterparty	Notional Amount⁽⁴⁾		Market Value⁽⁵⁾		Upfront Premiums Paid/ (Received)			Unrealized Appreciation
CDX.HY-10 Index	(5.000	%)	06/20/2013	MLP	$	22,700	$	2,220	$	1,759		$	461
CDX.IG-10 5 Year Index	(1.550	%)	06/20/2013	BCLY		2,900		16		(16	)		32
CDX.IG-10 5 Year Index	(1.550	%)	06/20/2013	DUB		19,900		110		(80	)		190

							$	2,346	$	1,663		$	683

Credit Default Swaps on Credit Indices - Sell Protection⁽¹⁾


Reference Obligation	Fixed Deal Receive Rate		Maturity Date	Counterparty	Notional Amount⁽⁴⁾		Market Value⁽⁵⁾			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
CDX.HY-8 Index 25-35%	2.144	%	06/20/2012	CITI	$	500	$	(40	)	$	0		$	(40	)
CDX.HY-8 Index 25-35%	1.833	%	06/20/2012	MLP		1,100		(98	)		0			(98	)
CDX.HY-8 Index 25-35%	2.080	%	06/20/2012	MSC		1,100		(89	)		0			(89	)
CDX.HY-8 Index 25-35%	2.170	%	06/20/2012	MSC		600		(47	)		0			(47	)
CDX.HY-8 Index 35-100%	0.360	%	06/20/2012	CITI		4,968		(190	)		0			(190	)
CDX.HY-8 Index 35-100%	0.401	%	06/20/2012	CITI		1,093		(40	)		0			(40	)
CDX.IG-9 5 Year Index 30-100%	0.708	%	12/20/2012	DUB		8,500		98			0			98
CDX.IG-9 10 Year Index 30-100%	0.548	%	12/20/2017	GSC		200		0			0			0
CDX.IG-9 10 Year Index 30-100%	0.555	%	12/20/2017	GSC		300		0			0			0
CDX.IG-9 10 Year Index 30-100%	0.553	%	12/20/2017	JPM		400		1			0			1
CDX.IG-10 5 Year Index	1.550	%	06/20/2013	DUB		2,400		(14	)		(34	)		20
CMBX.NA AAA 3 Index	0.080	%	12/13/2049	MSC		3,900		(406	)		(606	)		200

							$	(825	)	$	(640	)	$	(185	)

⁽¹⁾

⁽²⁾

If the Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the underlying securities comprising the referenced index.

⁽³⁾

⁽⁴⁾	The maximum potential amount the Portfolio 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 that particular swap agreement.

⁽⁵⁾

Interest Rate Swaps


Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Maturity Date	Counterparty	Notional Amount		Market Value			Upfront Premiums Paid/(Received)			Unrealized Appreciation/ (Depreciation)
Pay	1-Year BRL-CDI	11.360	%	01/04/2010	BCLY	BRL	4,200	$	(77	)	$	0		$	(77	)
Pay	1-Year BRL-CDI	11.430	%	01/04/2010	MLP		2,700		(47	)		0			(47	)
Pay	1-Year BRL-CDI	11.465	%	01/04/2010	GSC		1,100		(19	)		0			(19	)
Pay	1-Year BRL-CDI	12.410	%	01/04/2010	UBS		3,400		(23	)		(6	)		(17	)
Pay	1-Year BRL-CDI	12.670	%	01/04/2010	MSC		3,400		(23	)		(5	)		(18	)
Pay	1-Year BRL-CDI	12.780	%	01/04/2010	MSC		1,500		(4	)		2			(6	)
Pay	1-Year BRL-CDI	12.948	%	01/04/2010	MLP		1,400		(1	)		1			(2	)
Pay	1-Year BRL-CDI	13.845	%	01/02/2012	BCLY		76,100		(199	)		(55	)		(144	)
Pay	3-Month USD-LIBOR	4.000	%	06/17/2010	MSC	$	16,400		111			(44	)		155
Pay	3-Month USD-LIBOR	4.000	%	06/17/2010	RBS		22,300		151			(52	)		203
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	BOA		15,100		162			295			(133	)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	DUB		7,500		80			149			(69	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	GSC		1,200		(46	)		(55	)		9
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	MLP		900		(34	)		(44	)		10
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	MSC		300		(11	)		(14	)		3
Receive	3-Month USD-LIBOR	5.000	%	12/17/2023	MLP		400		(15	)		(10	)		(5	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2028	BOA		11,200		(407	)		56			(463	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	RBS		50,800		(2,264	)		699			(2,963	)
Pay	6-Month AUD Bank Bill	7.500	%	03/15/2011	UBS	AUD	16,300		324			69			255
Pay	6-Month GBP-LIBOR	6.000	%	12/20/2008	BCLY	GBP	5,900		(11	)		19			(30	)
Pay	6-Month GBP-LIBOR	6.000	%	12/20/2008	DUB		3,500		(7	)		12			(19	)
Pay	6-Month GBP-LIBOR	6.000	%	03/20/2009	BCLY		3,400		(4	)		26			(30	)
Pay	6-Month GBP-LIBOR	6.000	%	03/20/2009	RBS		3,100		(4	)		25			(29	)
Pay	6-Month GBP-LIBOR	5.000	%	06/15/2009	CSFB		700		(11	)		(17	)		6
Pay	6-Month GBP-LIBOR	6.000	%	12/19/2009	GSC		1,600		19			(17	)		36
Receive	6-Month GBP-LIBOR	4.000	%	12/15/2036	DUB		6,000		889			1,630			(741	)
Receive	6-Month GBP-LIBOR	5.000	%	12/19/2037	GSC		200		(28	)		9			(37	)
Pay	France CPI ex-Tobacco Index	2.090	%	10/15/2010	BNP	EUR	1,300		(11	)		0			(11	)
Pay	France CPI ex-Tobacco Index	1.948	%	03/15/2012	JPM		1,100		(44	)		1			(45	)
Pay	France CPI ex-Tobacco Index	1.955	%	03/28/2012	RBS		900		(37	)		0			(37	)
Pay	France CPI ex-Tobacco Index	1.950	%	03/30/2012	RBS		1,300		(55	)		0			(55	)
Pay	France CPI ex-Tobacco Index	1.960	%	03/30/2012	GSC		600		(26	)		0			(26	)
Pay	France CPI ex-Tobacco Index	1.960	%	04/05/2012	BCLY		300		(12	)		0			(12	)
Pay	France CPI ex-Tobacco Index	1.958	%	04/10/2012	JPM		300		(13	)		0			(13	)
Pay	USSP Semi 2-Year Index	0.710	%	02/05/2009	BNP	$	5,500		(56	)		2			(58	)
Pay	USSP Semi 5-Year Index	0.763	%	02/05/2009	RBS		34,500		(349	)		24			(373	)

								$	(2,102	)	$	2,700		$	(4,802	)

Interest Rate Cap/Floor Swaps


Pay/Receive Floating Rate	Floating Rate Index	Cap/Floor	Cap/Floor Floating Rate		Maturity Date	Counterparty	Notional Amount		Market Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation
Pay	10/2-Year EUR ISDA rate spread	Floor	(0.750	%)	12/24/2008	JPM	EUR	1,200	$	(3	)	$	(17	)	$	14

(i) Purchased options outstanding on September 30, 2008:

Interest Rate Swaptions


Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Cost		Value
Call - OTC 2-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	3.500	%	02/02/2009	$	16,400	$	186	$	131
Call - OTC 2-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		8,800		94		65
Call - OTC 2-Year Interest Rate Swap	JPM	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		6,100		65		45
Call - OTC 2-Year Interest Rate Swap	MLP	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		2,300		26		17
Call - OTC 2-Year Interest Rate Swap	MSC	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		14,700		139		108
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.150	%	12/15/2008		50,900		448		201
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.150	%	02/02/2009		35,100		379		178
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		20,300		216		150
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.850	%	08/03/2009		8,400		89		91

									$	1,642	$	986

(j) Written options outstanding on September 30, 2008:

Options on Exchange-Traded Futures Contracts


Description	Exercise Price		Expiration Date	# of Contracts	Premium		Value
Call - CBOT U.S. Treasury 10-Year Note December Futures	$	119.000	11/21/2008	127	$	71	$	77
Put - CBOT U.S. Treasury 10-Year Note December Futures		113.000	11/21/2008	127		72		163

					$	143	$	240

Interest Rate Swaptions


Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Value
Call - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	4.600	%	02/02/2009	$	5,500	$	177	$	172
Call - OTC 5-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	4.150	%	08/03/2009		2,000		50		41
Call - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		1,400		46		39
Call - OTC 7-Year Interest Rate Swap	JPM	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		2,000		66		56
Call - OTC 7-Year Interest Rate Swap	MLP	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		800		26		22
Call - OTC 7-Year Interest Rate Swap	MSC	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		4,900		153		137
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.300	%	12/15/2008		17,000		424		306
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.250	%	02/02/2009		11,700		353		235
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		6,800		220		189
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.550	%	08/03/2009		2,800		86		90

									$	1,601	$	1,287

(k) Short sales outstanding on September 30, 2008:


Description	Coupon		Maturity Date	Principal Amount		Proceeds		Value⁽⁶⁾
Fannie Mae	6.500	%	10/01/2038	$	1,000	$	1,026	$	1,025
Freddie Mac	5.500	%	10/01/2038		29,900		29,648		29,708
U.S. Treasury Notes	2.375	%	08/31/2010		45,200		45,549		45,661
U.S. Treasury Notes	3.125	%	11/30/2009		16,900		17,085		17,282
U.S. Treasury Notes	3.250	%	12/31/2009		32,900		33,342		33,728

						$	126,650	$	127,404

⁽⁶⁾	Market value includes $503 of interest payable on short sales.

(l) Foreign currency contracts outstanding on September 30, 2008:


Type	Currency	Counterparty	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	AED	BCLY	509	04/2009	$	0	$	(3	)	$	(3	)
Buy		HSBC	510	04/2009		0		(2	)		(2	)
Buy	AUD	MSC	564	10/2008		0		(23	)		(23	)
Sell		MSC	1,128	10/2008		24		(2	)		22
Buy		UBS	306	10/2008		0		(21	)		(21	)
Sell	BRL	BNP	545	12/2008		1		0			1
Buy		HSBC	44,884	12/2008		0		(288	)		(288	)
Sell		HSBC	5,152	12/2008		317		0			317
Sell		JPM	6,222	12/2008		480		0			480
Sell		MSC	10,263	12/2008		564		0			564
Sell		UBS	2,742	12/2008		58		0			58
Buy	CLP	MSC	130,534	12/2008		0		(34	)		(34	)
Buy	CNY	BCLY	2,371	11/2008		0		(5	)		(5	)
Buy		BOA	1,765	11/2008		0		(4	)		(4	)
Buy		DUB	8,589	11/2008		0		(20	)		(20	)
Buy		HSBC	1,908	11/2008		0		(4	)		(4	)
Buy		JPM	8,765	11/2008		0		(19	)		(19	)
Buy		UBS	1,773	11/2008		0		(4	)		(4	)
Buy		BCLY	1,961	07/2009		0		(17	)		(17	)
Buy		DUB	721	07/2009		0		(6	)		(6	)
Buy		HSBC	914	07/2009		0		(8	)		(8	)
Buy		JPM	19,344	07/2009		0		(211	)		(211	)
Buy	EUR	BCLY	1,030	10/2008		0		(71	)		(71	)
Buy		BOA	190	10/2008		0		(12	)		(12	)
Buy		CITI	4,614	10/2008		13		(69	)		(56	)
Sell		CITI	3,381	10/2008		0		(11	)		(11	)
Buy		DUB	441	10/2008		0		(24	)		(24	)
Buy		GSC	2,077	10/2008		0		(115	)		(115	)
Buy		HSBC	285	10/2008		0		(19	)		(19	)
Buy		JPM	76	10/2008		0		(5	)		(5	)
Buy		MSC	95	10/2008		0		(7	)		(7	)
Sell		UBS	8,809	10/2008		491		0			491
Buy	GBP	BOA	314	10/2008		0		(24	)		(24	)
Buy		UBS	4,397	10/2008		0		(340	)		(340	)
Sell		UBS	17,842	11/2008		615		0			615
Buy	INR	BCLY	9,391	11/2008		0		(20	)		(20	)
Buy		DUB	47,402	11/2008		0		(158	)		(158	)
Buy		HSBC	120,109	11/2008		0		(405	)		(405	)
Buy		JPM	143,146	11/2008		0		(501	)		(501	)
Sell		JPM	56,318	11/2008		30		0			30
Sell	JPY	DUB	277,431	10/2008		0		(49	)		(49	)
Buy	KWD	HSBC	77	04/2009		0		(9	)		(9	)
Buy	MYR	BCLY	3,177	11/2008		0		(62	)		(62	)
Buy		BOA	488	11/2008		0		(9	)		(9	)
Buy		DUB	487	11/2008		0		(9	)		(9	)
Buy		HSBC	488	11/2008		0		(9	)		(9	)
Buy		JPM	433	11/2008		0		(8	)		(8	)
Buy		JPM	3,308	02/2009		0		(65	)		(65	)
Buy	PHP	HSBC	14,000	11/2008		0		(19	)		(19	)
Buy		JPM	13,400	11/2008		0		(16	)		(16	)
Buy		BCLY	3,200	02/2009		0		(3	)		(3	)
Buy		DUB	1,500	02/2009		0		(2	)		(2	)
Buy		HSBC	3,750	02/2009		0		(4	)		(4	)
Buy		JPM	5,143	02/2009		0		(4	)		(4	)
Buy		MLP	1,200	02/2009		0		(2	)		(2	)
Buy		MSC	4,200	02/2009		0		(5	)		(5	)
Buy		RBS	1,100	02/2009		0		(1	)		(1	)
Buy		LEH	800	12/2010		0		(1	)		(1	)
Sell		LEH	800	12/2010		0		(1	)		(1	)
Buy	RUB	DUB	36,489	11/2008		0		(59	)		(59	)
Sell		HSBC	36,489	11/2008		131		0			131
Buy		JPM	36,489	05/2009		0		(138	)		(138	)
Sell		UBS	36,489	05/2009		115		0			115
Buy	SAR	HSBC	522	04/2009		0		(2	)		(2	)
Buy		JPM	521	04/2009		0		(2	)		(2	)
Buy	SGD	BCLY	1,235	11/2008		0		(40	)		(40	)
Sell		BCLY	302	11/2008		1		0			1
Buy		BOA	1,263	11/2008		0		(49	)		(49	)
Buy		CITI	1,193	11/2008		0		(17	)		(17	)
Buy		DUB	1,368	11/2008		0		(46	)		(46	)
Buy		JPM	1,223	11/2008		0		(17	)		(17	)
Sell		JPM	303	11/2008		0		0			0
Sell		MSC	303	11/2008		0		0			0
Buy		UBS	1,264	11/2008		0		(49	)		(49	)
Sell		UBS	303	11/2008		0		0			0
Sell	ZAR	HSBC	1,661	12/2008		11		0			11
Buy		JPM	201	12/2008		0		(1	)		(1	)
Buy		UBS	1,460	12/2008		0		0			0

					$	2,851	$	(3,150	)	$	(299	)

(m) Fair Value Measurements⁺

The following is a summary of the fair valuations according to the inputs used as of September 30, 2008 in valuing the Portfolio’s assets and liabilities:


	Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Other Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)			Value at 09/30/2008
Investments, at value	$	0	$	1,589,118		$	3,666		$	1,592,784
Short Sales, at value		0		(126,901	)		0			(126,901	)
Other Financial Instruments⁺⁺		11,827		(18,927	)		(783	)		(7,883	)

Total	$	11,827	$	1,443,290		$	2,883		$	1,458,000

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Portfolio during the period ending September 30, 2008:


	Beginning Balance at 12/31/2007			Net Purchases/ (Sales)			Accrued Discounts/ (Premiums)		Total Realized Gain/(Loss)		Total Unrealized Appreciation/ (Depreciation)			Net Transfers In/(Out) of Level 3			Ending Balance at 09/30/2008
Investments, at value	$	19,412		$	(994	)	$	37	$	5	$	(468	)	$	(14,326	)	$	3,666
Other Financial Instruments⁺⁺		(146	)		0			0		0		(370	)		(267	)		(783	)

Total	$	19,266		$	(994	)	$	37	$	5	$	(838	)	$	(14,593)		$	2,883

⁺ See note 3 in the Supplementary Notes to Schedule of Investments for additional information.

⁺⁺ Other financial instruments may include open futures contracts, swap contracts, written options, and foreign currency contracts.

See Accompanying Notes

Schedule of Investments

Money Market Portfolio

September 30, 2008 (Unaudited)


	Principal Amount (000s)		Value (000s)
CORPORATE BONDS & NOTES 4.7%
American Express Centurion Bank
2.687% due 11/07/2008	$	3,600	$	3,600
Citigroup, Inc.
3.625% due 02/09/2009		3,900		3,902
National Australia Bank Ltd.
2.811% due 12/01/2008		2,000		2,000
Wachovia Corp.
2.846% due 10/28/2008		3,400		3,400

Total Corporate Bonds & Notes (Cost $12,902)				12,902

SHORT-TERM INSTRUMENTS 91.9%
Commercial Paper 70.7%
ABN AMRO N.A. Finance
2.360% due 10/06/2008		10,800		10,796
ASB Finance Ltd.
2.990% due 12/19/2008		5,000		4,967
Australia & New Zealand Banking Group Ltd.
2.900% due 01/13/2009		10,600		10,511
CBA de Finance, Inc.
2.720% due 10/29/2008		6,000		5,987
Danske Corp.
2.680% due 11/13/2008		11,200		11,164
Fannie Mae
2.410% due 10/31/2008		16,600		16,567
Federal Home Loan Bank
0.087% due 10/07/2008		25,000		25,000
2.260% due 11/07/2008		12,000		11,972
2.270% due 10/01/2008		4,000		4,000
Freddie Mac
3.306% due 12/26/2008		14,000		14,006
ING Funding LLC
2.680% due 10/01/2008		11,000		11,000
Rabobank USA Financial Corp.
2.560% due 10/20/2008		11,000		10,985
Royal Bank of Scotland Group PLC
2.780% due 10/06/2008		2,800		2,799
3.050% due 03/06/2009		11,000		10,855
Societe General N.A.
2.950% due 03/09/2009		1,200		1,184
Stadshypotek, Inc.
2.600% due 10/07/2008		11,000		10,995
Toronto Dominion Holdings
2.500% due 11/12/2008		10,700		10,669
Toyota Motor Credit Corp.
2.580% due 11/14/2008		4,600		4,586
UBS Finance Delaware LLC
3.070% due 12/08/2008		6,000		5,965
Wells Fargo & Co.
2.570% due 10/14/2008		10,700		10,690

				194,698

Repurchase Agreements 21.2%
Merrill Lynch & Co., Inc.
0.050% due 10/01/2008		55,000		55,000
(Dated 09/30/2008. Collateralized by U.S. Treasury Strips 0.000% due 05/15/2020 valued at $55,069. Repurchase proceeds are $55,000.)
State Street Bank and Trust Co.
1.000% due 10/01/2008		3,554		3,554
(Dated 09/30/2008. Collateralized by Fannie Mae 5.500% due 12/14/2022 valued at $3,629. Repurchase proceeds are $3,554.)

				58,554

Total Short-Term Instruments (Cost $253,252)				253,252

Total Investments 96.6% (Cost $266,154)			$	266,154
Other Assets and Liabilities (Net) 3.4%				9,394

Net Assets 100.0%			$	275,548

Notes to Schedule of Investments (amounts in thousands*):

* A zero balance may reflect actual amounts rounding to less than one thousand.

(a) Fair Value Measurements⁺

The following is a summary of the fair valuations according to the inputs used as of September 30, 2008 in valuing the Portfolio’s assets and liabilities:


	Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Value at 09/30/2008
Investments, at value	$	0	$	266,154	$	0	$	266,154
Other Financial Instruments⁺⁺		0		0		0		0

Total	$	0	$	266,154	$	0	$	266,154

⁺	See note 3 in the Supplementary Notes to Schedule of Investments for additional information.

⁺⁺	Other financial instruments may include open futures contracts, swap contracts, written options, and foreign currency contracts.

See Accompanying Notes

Schedule of Investments

Real Return Portfolio

September 30, 2008 (Unaudited)


	Principal Amount (000s)		Value (000s)
BANK LOAN OBLIGATIONS 0.1%
Georgia-Pacific Corp.
4.219% due 12/20/2012	$	58	$	51
4.551% due 12/20/2012		70		62
4.567% due 12/20/2012		810		718

Total Bank Loan Obligations (Cost $938)				831

CORPORATE BONDS & NOTES 22.3%
Banking & Finance 16.8%
ACE INA Holdings, Inc.
5.800% due 03/15/2018		1,500		1,369
Allstate Life Global Funding II
3.461% due 05/21/2010		9,600		9,553
Allstate Life Global Funding Trusts
5.375% due 04/30/2013		4,100		3,962
American Express Bank FSB
5.500% due 04/16/2013		1,400		1,283
6.000% due 09/13/2017		2,400		2,008
American Express Centurion Bank
6.000% due 09/13/2017		2,300		1,928
American Express Co.
7.000% due 03/19/2018		2,310		2,042
8.150% due 03/19/2038		660		591
American International Group, Inc.
5.850% due 01/16/2018		1,300		654
8.175% due 05/15/2058		2,300		369
8.250% due 08/15/2018		1,600		931
ANZ National International Ltd.
6.200% due 07/19/2013		3,200		3,180
Atlantic & Western Re Ltd.
9.041% due 01/09/2009		900		896
Bank of America Corp.
2.918% due 11/06/2009		900		880
2.957% due 02/17/2009		5,400		5,388
8.000% due 12/29/2049		1,500		1,189
Bank of America N.A.
2.876% due 12/18/2008		1,000		998
Bank of Ireland
2.926% due 12/18/2009		1,000		991
3.072% due 12/19/2008		1,500		1,498
Barclays Bank PLC
5.450% due 09/12/2012		6,400		6,388
6.050% due 12/04/2017		2,300		2,143
7.434% due 09/29/2049		700		571
Bear Stearns Cos. LLC
2.901% due 08/21/2009		5,725		5,668
6.400% due 10/02/2017		2,600		2,432
6.950% due 08/10/2012		2,600		2,629
7.250% due 02/01/2018		2,900		2,796
C10 Capital SPV Ltd.
6.722% due 12/31/2049		500		464
Calabash Re Ltd.
13.719% due 01/08/2010		250		258
Caterpillar Financial Services Corp.
4.226% due 06/24/2011		13,200		12,719
Charter One Bank N.A.
2.845% due 04/24/2009		8,400		8,383
CIT Group, Inc.
2.946% due 01/30/2009		4,600		4,145
Citigroup Capital XXI
8.300% due 12/21/2077		1,200		894
Citigroup Funding, Inc.
3.190% due 04/23/2009		5,700		5,606
3.852% due 05/07/2010		13,900		13,113
Citigroup, Inc.
2.836% due 01/30/2009		1,000		990
3.799% due 12/28/2009		3,900		3,775
3.809% due 12/26/2008		2,900		2,880
8.400% due 04/29/2049		4,600		3,137
Commonwealth Bank of Australia
2.527% due 06/08/2009		400		400
Countrywide Financial Corp.
3.418% due 03/24/2009		10,000		9,762
Credit Agricole S.A.
2.809% due 05/28/2009		1,900		1,892
Credit Suisse USA, Inc.
2.890% due 11/20/2009		800		794
DnB NOR Bank ASA
2.858% due 10/13/2009		1,100		1,099
Ford Motor Credit Co. LLC
7.250% due 10/25/2011		1,200		764
7.800% due 06/01/2012		100		62
Foundation Re II Ltd.
9.557% due 11/26/2010		800		795
General Electric Capital Corp.
2.795% due 10/24/2008		800		799
2.859% due 12/12/2008		900		897
5.875% due 01/14/2038		2,000		1,475
Genworth Financial, Inc.
6.515% due 05/22/2018		2,200		1,810
GMAC LLC
6.750% due 12/01/2014		1,600		615
Goldman Sachs Group, Inc.
4.069% due 06/28/2010		7,500		6,693
6.150% due 04/01/2018		1,900		1,583
6.750% due 10/01/2037		6,300		4,208
HCP, Inc.
6.700% due 01/30/2018		3,000		2,520
HSBC Finance Corp.
2.846% due 10/21/2009		1,900		1,803
International Lease Finance Corp.
6.625% due 11/15/2013		900		552
JPMorgan Chase & Co.
3.479% due 06/26/2009		700		698
3.526% due 06/26/2009		5,500		5,492
Lehman Brothers Holdings, Inc.
2.520% due 11/24/2008 (a)		300		39
6.875% due 05/02/2018 (a)		1,900		247
7.000% due 09/27/2027 (a)		100		13
Liberty Mutual Group, Inc.
5.750% due 03/15/2014		1,000		894
Longpoint Re Ltd.
8.069% due 05/08/2010		1,100		1,119
Marsh & McLennan Cos., Inc.
5.750% due 09/15/2015		4,000		3,757
Merna Reinsurance Ltd.
4.412% due 07/07/2010		4,200		3,985
Merrill Lynch & Co., Inc.
2.839% due 10/23/2008		2,500		2,498
6.400% due 08/28/2017		2,400		2,079
6.875% due 04/25/2018		8,800		7,799
Metropolitan Life Global Funding I
3.163% due 04/13/2009		6,000		5,996
Morgan Stanley
3.035% due 01/18/2011		3,000		1,957
3.228% due 11/21/2008		1,000		987
6.000% due 04/28/2015		1,700		1,158
6.625% due 04/01/2018		3,000		1,988
Mystic Re Ltd.
11.811% due 12/05/2008		600		600
National Australia Bank Ltd.
5.350% due 06/12/2013		2,600		2,500
New York Life Global Funding
4.650% due 05/09/2013		2,900		2,901
Pricoa Global Funding I
3.606% due 06/26/2012		15,100		14,515
ProLogis
6.625% due 05/15/2018		1,500		1,290
Rabobank Nederland NV
2.811% due 01/15/2009		800		799
Santander Perpetual S.A. Unipersonal
6.671% due 10/29/2049		2,700		2,519
Santander U.S. Debt S.A. Unipersonal
2.874% due 11/20/2009		2,700		2,675
Simon Property Group LP
5.750% due 12/01/2015		800		758
TransCapitalInvest Ltd. for OJSC AK Transneft
7.700% due 08/07/2013		2,400		2,196
Travelers Cos., Inc.
5.800% due 05/15/2018		1,500		1,377
UBS AG
3.714% due 05/05/2010		7,700		7,670
5.750% due 04/25/2018		5,400		4,705
5.875% due 12/20/2017		1,000		889
Unicredit Luxembourg Finance S.A.
2.846% due 10/24/2008		1,700		1,699
Vita Capital III Ltd.
3.911% due 01/01/2012		700		668
Vita Capital Ltd.
3.691% due 01/01/2010		300		294
Wachovia Bank N.A.
2.811% due 02/23/2009		2,700		2,567
2.881% due 12/02/2010		2,400		1,808
Wachovia Mortgage FSB
2.842% due 05/08/2009		300		298
2.936% due 03/02/2009		300		294
Wells Fargo & Co.
4.375% due 01/31/2013		1,600		1,472

				252,424

Industrials 4.3%
Alcoa, Inc.
6.000% due 07/15/2013		2,000		1,964
6.750% due 07/15/2018		4,000		3,846
Amgen, Inc.
6.150% due 06/01/2018		1,000		978
AutoZone, Inc.
5.875% due 10/15/2012		4,400		4,326
Baxter International, Inc.
5.375% due 06/01/2018		1,400		1,341
C8 Capital SPV Ltd.
6.640% due 12/31/2049		500		469
Cadbury Schweppes U.S. Finance LLC
5.125% due 10/01/2013		1,300		1,249
Cardinal Health, Inc.
6.000% due 06/15/2017		1,000		938
Cigna Corp.
6.350% due 03/15/2018		2,000		1,905
EchoStar DBS Corp.
5.750% due 10/01/2008		500		500
7.000% due 10/01/2013		5,000		4,337
Falconbridge Ltd.
7.350% due 06/05/2012		1,000		1,030
Gaz Capital S.A.
7.343% due 04/11/2013		500		455
8.146% due 04/11/2018		700		616
Kraft Foods, Inc.
6.000% due 02/11/2013		1,000		995
6.125% due 02/01/2018		1,000		938
Marriott International, Inc.
6.375% due 06/15/2017		5,000		4,516
Masco Corp.
6.125% due 10/03/2016		1,500		1,305
Nordstrom, Inc.
6.250% due 01/15/2018		700		653
Oracle Corp.
5.750% due 04/15/2018		2,500		2,325
Philip Morris International, Inc.
5.650% due 05/16/2018		9,500		8,797
Rexam PLC
6.750% due 06/01/2013		1,200		1,198
Rockies Express Pipeline LLC
5.100% due 08/20/2009		5,200		5,197
Spectra Energy Capital LLC
5.668% due 08/15/2014		1,500		1,435
Starwood Hotels & Resorts Worldwide, Inc.
6.750% due 05/15/2018		1,000		895
Suncor Energy, Inc.
6.100% due 06/01/2018		600		548
UST, Inc.
6.625% due 07/15/2012		2,500		2,615
Wal-Mart Stores, Inc.
5.800% due 02/15/2018		1,500		1,468
Waste Management, Inc.
6.100% due 03/15/2018		3,200		2,994
Weyerhaeuser Co.
4.198% due 09/24/2009		2,600		2,573
Yum! Brands, Inc.
6.250% due 03/15/2018		2,000		1,858

				64,264

Utilities 1.2%
American Electric Power Co., Inc.
5.250% due 06/01/2015		800		734
AT&T, Inc.
2.894% due 02/05/2010		2,800		2,791
Cleveland Electric Illuminating Co.
6.860% due 10/01/2008		100		100
Constellation Energy Group, Inc.
4.550% due 06/15/2015		200		172
7.000% due 04/01/2012		4,100		4,144
Dominion Resources, Inc.
2.984% due 11/14/2008		300		299
Embarq Corp.
7.082% due 06/01/2016		300		243
Enel Finance International S.A.
5.700% due 01/15/2013		4,500		4,550
Exelon Corp.
4.900% due 06/15/2015		1,000		881
FirstEnergy Corp.
6.450% due 11/15/2011		1,000		1,005
NiSource Finance Corp.
3.381% due 11/23/2009		800		780
Public Service Electric & Gas Co.
5.300% due 05/01/2018		1,100		1,028
Sempra Energy
6.150% due 06/15/2018		1,000		923
Telecom Italia Capital S.A.
6.999% due 06/04/2018		900		809

				18,459

Total Corporate Bonds & Notes (Cost $363,333)				335,147

MUNICIPAL BONDS & NOTES 0.7%
Badger, Wisconsin Tobacco Asset Securitization Corp. Revenue Bonds, Series 2002
6.000% due 06/01/2017		475		468
Golden State, California Tobacco Securitization Corp. Revenue Bonds, Series 2007
5.750% due 06/01/2047		600		442
New York City, New York Municipal Water Finance Authority Revenue Bonds, Series 2007
5.000% due 06/15/2038		800		747
New York City, New York Municipal Water Finance Authority Revenue Notes, Series 2006
0.035% due 12/15/2013		130		84
Ohio State Buckeye Tobacco Settlement Financing Authority Revenue Bonds, Series 2007
6.000% due 06/01/2042		900		699
Rhode Island State Tobacco Settlement Financing Corp. Revenue Bonds, Series 2002
6.000% due 06/01/2023		485		464
Texas State General Obligation Bonds, Series 2007
5.000% due 04/01/2037		3,400		3,133
Texas State General Obligation Bonds, Series 2008
4.750% due 04/01/2037		4,900		4,278
West Virginia State Tobacco Settlement Financing Authority Revenue Bonds, Series 2007
7.467% due 06/01/2047		1,085		932

Total Municipal Bonds & Notes (Cost $12,851)				11,247

U.S. GOVERNMENT AGENCIES 40.1%
Fannie Mae
3.267% due 12/25/2036		394		379
3.357% due 08/25/2034		228		221
3.407% due 10/27/2037		5,900		5,434
3.557% due 05/25/2042		244		240
4.278% due 06/01/2043 - 09/01/2044		6,757		6,742
4.400% due 07/01/2035		456		459
4.503% due 11/01/2034		3,974		4,006
4.655% due 01/01/2035		558		564
4.668% due 05/25/2035		2,629		2,713
5.000% due 02/01/2036 - 10/01/2038		8,780		8,564
5.250% due 10/01/2012		2,100		2,115
5.286% due 10/01/2035		1,767		1,738
5.500% due 03/01/2034 - 10/01/2038		212,440		212,068
5.695% due 11/01/2024		16		16
5.950% due 02/25/2044		695		702
6.000% due 09/01/2019 - 10/01/2038		229,888		233,137
6.500% due 11/01/2036 - 07/01/2038		38,782		39,815
Freddie Mac
2.638% due 07/15/2019 - 10/15/2020		14,791		14,465
2.718% due 02/15/2019		1,124		1,096
2.838% due 12/15/2030		381		375
3.467% due 08/25/2031		135		122
4.000% due 03/15/2023 - 10/15/2023		415		414
4.278% due 10/25/2044 - 02/25/2045		10,511		10,009
4.500% due 12/01/2021 - 06/01/2022		844		824
4.549% due 01/01/2034		397		404
5.000% due 12/14/2018 - 08/15/2020		9,682		9,626
5.440% due 12/01/2035		1,184		1,193
5.490% due 08/01/2036		659		661
5.500% due 05/15/2016 - 04/01/2038		31,571		31,507
Ginnie Mae
5.500% due 10/01/2038		800		799
6.000% due 08/15/2036 - 10/01/2038		3,088		3,130
Small Business Administration
4.504% due 02/10/2014		1,052		1,004
4.880% due 11/01/2024		3,052		2,977
5.170% due 01/01/2028		1,580		1,545
5.902% due 02/10/2018		990		994
6.020% due 08/01/2028		3,100		3,172

Total U.S. Government Agencies (Cost $596,781)				603,230

U.S. TREASURY OBLIGATIONS 91.9%
Treasury Inflation Protected Securities (c)
1.375% due 07/15/2018		43,924		40,479
1.625% due 01/15/2015		3,559		3,463
1.625% due 01/15/2018		20,093		18,988
1.750% due 01/15/2028		106,978		92,996
1.875% due 07/15/2015		193,859		190,618
2.000% due 04/15/2012		37,063		37,141
2.000% due 01/15/2014		90,883		90,620
2.000% due 07/15/2014		102,114		101,747
2.000% due 01/15/2016		48,821		48,115
2.000% due 01/15/2026		75,230		68,518
2.375% due 04/15/2011		33,466		33,827
2.375% due 01/15/2017		45,012		45,290
2.375% due 01/15/2025		56,543		54,657
2.375% due 01/15/2027		45,655		43,993
2.500% due 07/15/2016		30,395		31,032
2.625% due 07/15/2017		55,108		56,662
3.000% due 07/15/2012		82,546		85,861
3.375% due 01/15/2012		12,099		12,686
3.375% due 04/15/2032		1,235		1,409
3.500% due 01/15/2011		46,227		48,055
3.625% due 04/15/2028		79,381		90,954
3.875% due 01/15/2009		16,977		16,925
3.875% due 04/15/2029		91,428		108,827
4.250% due 01/15/2010		58,594		60,283

Total U.S. Treasury Obligations (Cost $1,419,558)				1,383,146

MORTGAGE-BACKED SECURITIES 6.9%
American Home Mortgage Investment Trust
5.660% due 09/25/2045		1,155		787
Banc of America Funding Corp.
4.625% due 02/20/2036		2,766		2,460
6.129% due 01/20/2047		1,218		826
Banc of America Large Loan, Inc.
2.998% due 08/15/2029		5,070		4,576
Banc of America Mortgage Securities, Inc.
5.436% due 02/25/2036		2,207		1,921
6.500% due 09/25/2033		142		134
BCAP LLC Trust
3.377% due 01/25/2037		1,346		831
Bear Stearns Adjustable Rate Mortgage Trust
4.125% due 03/25/2035		2,947		2,769
4.150% due 08/25/2035		1,340		1,263
4.550% due 08/25/2035		1,036		991
4.857% due 01/25/2035		6,696		6,122
5.010% due 01/25/2035		1,784		1,595
Bear Stearns Alt-A Trust
5.504% due 09/25/2035		4,601		3,711
5.903% due 03/25/2036		1,499		930
Bear Stearns Commercial Mortgage Securities
6.440% due 06/16/2030		26		26
Bear Stearns Structured Products, Inc.
4.639% due 01/26/2036		4,280		3,408
Citigroup Commercial Mortgage Trust
2.558% due 08/15/2021		2		2
Citigroup Mortgage Loan Trust, Inc.
4.098% due 08/25/2035		158		142
4.248% due 08/25/2035		776		740
4.700% due 12/25/2035		3,623		3,369
4.748% due 08/25/2035		748		712
4.900% due 12/25/2035		161		153
Countrywide Alternative Loan Trust
3.268% due 09/20/2046		225		221
3.368% due 02/20/2047		1,149		702
3.387% due 05/25/2047		405		247
3.397% due 09/25/2046		14,738		8,171
3.487% due 12/25/2035		88		56
3.855% due 12/25/2035		435		266
6.000% due 01/25/2037		742		525
Countrywide Home Loan Mortgage Pass-Through Trust
3.547% due 06/25/2035		572		481
3.781% due 11/19/2033		193		182
5.772% due 05/20/2036		431		320
CS First Boston Mortgage Securities Corp.
4.938% due 12/15/2040		624		616
Deutsche ALT-A Securities, Inc. Alternate Loan Trust
3.307% due 10/25/2036		467		458
First Horizon Alternative Mortgage Securities
4.740% due 06/25/2034		737		614
First Horizon Asset Securities, Inc.
5.357% due 08/25/2035		864		748
GE Capital Commercial Mortgage Corp.
4.229% due 12/10/2037		5,414		5,293
Greenpoint Mortgage Funding Trust
3.287% due 10/25/2046		500		431
3.287% due 01/25/2047		4,144		3,938
3.427% due 06/25/2045		786		617
3.477% due 11/25/2045		464		293
GSR Mortgage Loan Trust
4.539% due 09/25/2035		2,138		1,830
Harborview Mortgage Loan Trust
3.250% due 05/19/2035		203		132
Impac Secured Assets CMN Owner Trust
3.287% due 01/25/2037		189		179
Indymac Index Mortgage Loan Trust
3.297% due 11/25/2046		575		541
3.307% due 01/25/2037		249		238
5.048% due 12/25/2034		475		388
JPMorgan Chase Commercial Mortgage Securities Corp.
5.794% due 02/12/2051		1,300		1,104
JPMorgan Mortgage Trust
5.003% due 07/25/2035		1,202		1,108
5.021% due 02/25/2035		3,158		2,753
Lehman XS Trust
3.287% due 07/25/2046		183		180
MASTR Adjustable Rate Mortgages Trust
3.788% due 11/21/2034		700		569
Mellon Residential Funding Corp.
2.838% due 11/15/2031		895		811
2.928% due 12/15/2030		764		710
Merrill Lynch Floating Trust
2.558% due 06/15/2022		252		230
Merrill Lynch Mortgage Investors, Inc.
3.417% due 02/25/2036		2,202		1,790
MLCC Mortgage Investors, Inc.
3.457% due 11/25/2035		967		858
4.207% due 10/25/2035		559		508
4.352% due 10/25/2035		4,282		4,000
Morgan Stanley Mortgage Loan Trust
5.417% due 06/25/2036		2,261		1,938
Opteum Mortgage Acceptance Corp.
3.467% due 07/25/2035		334		279
Residential Accredit Loans, Inc.
3.507% due 08/25/2035		305		189
Residential Asset Securitization Trust
6.500% due 08/25/2036		1,000		552
Securitized Asset Sales, Inc.
6.282% due 11/26/2023		9		9
Sequoia Mortgage Trust
3.380% due 10/19/2026		245		224
Structured Adjustable Rate Mortgage Loan Trust
3.447% due 06/25/2035		364		296
4.065% due 01/25/2035		282		167
4.580% due 02/25/2034		549		496
5.535% due 08/25/2035		438		355
Structured Asset Mortgage Investments, Inc.
3.277% due 08/25/2036		342		334
3.280% due 07/19/2035		2,814		2,325
3.307% due 09/25/2047		962		918
3.360% due 10/19/2034		185		133
3.397% due 06/25/2036		254		156
Structured Asset Securities Corp.
3.257% due 05/25/2036		29		27
5.034% due 10/25/2035		393		333
TBW Mortgage-Backed Pass-Through Certificates
3.307% due 09/25/2036		41		40
3.317% due 01/25/2037		489		464
Thornburg Mortgage Securities Trust
3.317% due 03/25/2046		77		75
3.317% due 11/25/2046		3,354		3,217
3.327% due 09/25/2046		1,855		1,739
WaMu Mortgage Pass-Through Certificates
3.467% due 11/25/2045		432		274
3.497% due 08/25/2045		7		7
3.497% due 10/25/2045		2,669		1,692
3.585% due 01/25/2047		1,644		992
3.665% due 12/25/2046		214		129
3.855% due 02/25/2046		356		213
4.055% due 11/25/2042		63		57
4.329% due 07/25/2046		1,512		1,123
4.355% due 11/25/2046		234		157
6.067% due 10/25/2036		4,484		4,112
Wells Fargo Mortgage-Backed Securities Trust
3.621% due 09/25/2034		464		410
4.729% due 07/25/2034		410		394

Total Mortgage-Backed Securities (Cost $115,379)				103,402

ASSET-BACKED SECURITIES 7.8%
Access Group, Inc.
4.093% due 10/27/2025		15,200		15,027
ACE Securities Corp.
3.257% due 07/25/2036		123		121
3.257% due 12/25/2036		196		184
American Express Credit Account Master Trust
3.438% due 08/15/2012		10,300		10,222
Argent Securities, Inc.
3.257% due 10/25/2036		405		397
Asset-Backed Funding Certificates
3.267% due 11/25/2036		63		61
3.267% due 01/25/2037		2,130		2,010
3.557% due 06/25/2034		868		710
Asset-Backed Securities Corp. Home Equity
3.257% due 11/25/2036		33		33
BA Credit Card Trust
3.068% due 04/15/2013		6,300		6,166
3.688% due 12/16/2013		12,500		12,287
Bear Stearns Asset-Backed Securities Trust
3.257% due 11/25/2036		80		76
3.537% due 01/25/2036		53		50
3.657% due 03/25/2043		110		107
3.867% due 10/25/2032		48		42
Bravo Mortgage Asset Trust
3.337% due 07/25/2036		199		195
Carrington Mortgage Loan Trust
3.257% due 01/25/2037		508		485
Chase Credit Card Master Trust
2.598% due 02/15/2011		1,000		999
Citigroup Mortgage Loan Trust, Inc.
3.257% due 11/25/2036		49		49
3.287% due 01/25/2037		1,252		1,131
Countrywide Asset-Backed Certificates
3.237% due 01/25/2046		186		184
3.257% due 01/25/2037		39		39
3.257% due 05/25/2037		719		698
3.257% due 06/25/2037		1,731		1,683
3.257% due 05/25/2047		203		195
3.267% due 09/25/2046		86		86
3.277% due 06/25/2037		4,029		3,880
3.317% due 10/25/2046		440		427
Credit-Based Asset Servicing & Securitization LLC
3.267% due 11/25/2036		1,558		1,497
Equity One Asset-Backed Securities, Inc.
3.507% due 04/25/2034		96		65
First Franklin Mortgage Loan Asset-Backed Certificates
3.237% due 07/25/2036		160		159
3.257% due 11/25/2036		1,222		1,150
3.257% due 12/25/2036		88		86
Ford Credit Auto Owner Trust
3.088% due 07/15/2010		5,117		5,112
Fremont Home Loan Trust
3.257% due 10/25/2036		74		71
3.267% due 01/25/2037		333		314
GSAMP Trust
3.247% due 10/25/2046		101		99
3.277% due 10/25/2036		22		20
3.277% due 12/25/2036		705		650
3.497% due 03/25/2034		86		85
GSR Mortgage Loan Trust
3.307% due 11/25/2030		20		19
HFC Home Equity Loan Asset-Backed Certificates
3.258% due 03/20/2036		115		112
HSI Asset Securitization Corp. Trust
3.257% due 10/25/2036		148		137
3.257% due 12/25/2036		3,053		2,846
Indymac Residential Asset-Backed Trust
3.257% due 11/25/2036		90		89
3.267% due 04/25/2037		1,256		1,225
JPMorgan Mortgage Acquisition Corp.
2.519% due 07/25/2036		170		166
2.541% due 11/25/2036		84		81
3.247% due 08/25/2036		60		59
3.257% due 08/25/2036		365		358
3.257% due 10/25/2036		1,590		1,506
3.307% due 07/25/2036		175		173
Lehman XS Trust
3.277% due 05/25/2046		121		117
3.287% due 04/25/2046		116		115
3.287% due 11/25/2046		646		618
Long Beach Mortgage Loan Trust
3.247% due 11/25/2036		66		64
3.387% due 08/25/2035		54		52
MASTR Asset-Backed Securities Trust
3.267% due 11/25/2036		1,160		1,134
3.347% due 02/25/2036		55		54
MBNA Credit Card Master Note Trust
2.588% due 12/15/2011		100		99
Merrill Lynch Mortgage Investors, Inc.
3.237% due 06/25/2037		77		76
3.257% due 05/25/2037		248		244
3.277% due 08/25/2036		774		753
3.277% due 07/25/2037		307		299
3.327% due 02/25/2037		1,969		1,842
Morgan Stanley ABS Capital I
3.247% due 07/25/2036		563		559
3.247% due 10/25/2036		281		273
3.257% due 09/25/2036		232		229
3.257% due 10/25/2036		162		158
Morgan Stanley IXIS Real Estate Capital Trust
3.257% due 11/25/2036		63		61
Nationstar Home Equity Loan Trust
3.327% due 04/25/2037		1,308		1,266
Nelnet Student Loan Trust
2.890% due 07/25/2016		17		17
Nomura Asset Acceptance Corp.
3.347% due 01/25/2036		88		76
Option One Mortgage Loan Trust
3.247% due 02/25/2037		22		22
Park Place Securities, Inc.
3.467% due 09/25/2035		31		29
Renaissance Home Equity Loan Trust
3.587% due 12/25/2032		65		44
Residential Asset Mortgage Products, Inc.
3.277% due 11/25/2036		36		36
Residential Asset Securities Corp.
3.277% due 11/25/2036		708		695
Securitized Asset-Backed Receivables LLC Trust
3.257% due 09/25/2036		84		82
3.267% due 12/25/2036		1,165		1,078
SLM Student Loan Trust
2.790% due 07/25/2017		319		318
2.840% due 04/25/2019		6,400		5,956
3.250% due 01/25/2017		1,500		1,484
4.173% due 04/25/2023		23,400		23,488
Soundview Home Equity Loan Trust
3.257% due 10/25/2036		117		116
3.267% due 11/25/2036		233		224
3.307% due 10/25/2036		42		41
Specialty Underwriting & Residential Finance
3.237% due 06/25/2037		22		21
3.252% due 11/25/2037		30		29
Structured Asset Investment Loan Trust
3.257% due 07/25/2036		56		54
Structured Asset Securities Corp.
3.257% due 10/25/2036		520		494
4.900% due 04/25/2035		1,144		758
Truman Capital Mortgage Loan Trust
3.547% due 01/25/2034		17		17
Washington Mutual Asset-Backed Certificates
3.257% due 01/25/2037		510		479
Wells Fargo Home Equity Trust
3.257% due 01/25/2037		358		349

Total Asset-Backed Securities (Cost $120,041)				117,543

SOVEREIGN ISSUES 0.1%
Colombia Government International Bond
10.000% due 01/23/2012		350		390
Export-Import Bank of Korea
3.011% due 10/04/2011		1,600		1,605

Total Sovereign Issues (Cost $1,950)				1,995

FOREIGN CURRENCY-DENOMINATED ISSUES 3.0%
France Government Bond
3.000% due 07/25/2012 (c)	EUR	1,748		2,570
General Electric Capital Corp.
5.500% due 09/15/2067		3,400		2,872
Green Valley Ltd.
8.562% due 01/10/2011		500		702
Italy Buoni Poliennali Del Tesoro
2.150% due 09/15/2014 (c)		585		813
Japanese Government CPI Linked Bond
0.800% due 12/10/2015	JPY	552,960		4,887
1.100% due 12/10/2016		957,860		8,573
1.200% due 06/10/2017		1,273,480		11,404
1.200% due 12/10/2017		428,670		3,829
1.400% due 06/10/2018		749,250		6,787
Pylon Ltd.
6.469% due 12/18/2008	EUR	700		980
8.869% due 12/29/2008		1,100		1,537
Republic of Germany
4.250% due 07/04/2039		100		133
Royal Bank of Scotland Group PLC
7.092% due 10/29/2049		500		455

Total Foreign Currency-Denominated Issues (Cost $46,360)				45,542


		Shares

CONVERTIBLE PREFERRED STOCKS 0.1%
Bank of America Corp.
7.250% due 12/31/2049		1,000		835
Wachovia Corp.
7.500% due 12/31/2049		800		314

Total Convertible Preferred Stocks (Cost $1,800)				1,149


	Principal Amount (000s)
SHORT-TERM INSTRUMENTS 16.6%
Certificates of Deposit 2.6%
Nordea Bank Finland PLC
5.308% due 04/09/2009	$	2,300		2,299
Sao Paolo IMI NY
3.454% due 06/09/2010		14,000		13,968
Skandinaviska Enskilda Banken AB
2.794% due 02/13/2009		5,400		5,392
Unicredito Italiano NY
3.088% due 05/18/2009		18,400		18,400

				40,059

Commercial Paper 7.1%
Abbey National N.A. LLC
2.790% due 11/12/2008		39,300		39,172
Freddie Mac
2.500% due 11/24/2008		30,700		30,585
Royal Bank of Scotland Group PLC
2.870% due 11/10/2008		13,000		12,958
Unicredito Italiano SpA
2.960% due 10/09/2008		24,400		24,384

				107,099

Repurchase Agreements 2.2%
JPMorgan Chase Bank N.A.
0.100% due 10/06/2008		11,619		11,619
(Dated 09/29/2008. Collateralized by U.S. Treasury Notes 4.125% due 08/31/2012 valued at $11,649. Repurchase proceeds are $11,619.)
State Street Bank and Trust Co.
0.100% due 10/01/2008		6,460		6,460
(Dated 09/30/2008. Collateralized by Federal Home Loan Bank 2.380% due 10/14/2008 valued at $6,591. Repurchase proceeds are $6,460.)
1.000% due 10/01/2008		15,027		15,027
(Dated 09/30/2008. Collateralized by Freddie Mac 0.000% due 11/10/2008 valued at $15,329. Repurchase proceeds are $15,027.)

				33,106

U.S. Treasury Bills 4.7%
1.028% due 10/16/2008 - 12/26/2008 (b)(d)(e)(f)		70,649		70,287

Total Short-Term Instruments (Cost $250,830)				250,551

Purchased Options (j) 0.0% (Cost $182)				143
Total Investments 189.6% (Cost $2,930,003)			$	2,853,926
Written Options (k) (0.1%) (Premiums $1,340)				(1,880	)
Other Assets and Liabilities (Net) (89.5%)				(1,347,128	)

Net Assets 100.0%			$	1,504,918

Notes to Schedule of Investments (amounts in thousands*, except number of contracts):

* A zero balance may reflect actual amounts rounding to less than one thousand.

(a) Security is in default.

(b) Coupon represents a weighted average rate.

(d) Securities with an aggregate market value of $17,650 have been pledged as collateral for swap and swaption contracts on September 30, 2008.

(e) Securities with an aggregate market value of $31,629 have been pledged as collateral for delayed-delivery securities on September 30, 2008.

(f) Securities with an aggregate market value of $2,889 have been pledged as collateral for delayed-delivery mortgage-backed securities on September 30, 2008.

(g) The average amount of borrowings while outstanding during the period ended September 30, 2008 was $5,500 at a weighted average interest rate of 4.600%. On September 30, 2008, there were no open reverse repurchase agreements.

(h) Cash of $4,604 has been pledged as collateral for the following open futures contracts on September 30, 2008:


Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Euribor December Futures	Long	12/2009	74	$	21
90-Day Euribor June Futures	Long	06/2009	98		(49	)
90-Day Euribor September Futures	Long	09/2009	74		40
90-Day Eurodollar December Futures	Long	12/2008	89		(20	)
90-Day Eurodollar December Futures	Long	12/2009	170		91
90-Day Eurodollar June Futures	Long	06/2009	671		733
90-Day Eurodollar March Futures	Long	03/2010	70		51
90-Day Eurodollar September Futures	Long	09/2009	346		812
Euro-Bund 10-Year Bond December Futures	Short	12/2008	122		(134	)
Japan Government 10-Year Bond December Futures	Short	12/2008	23		148
U.S. Treasury 5-Year Note December Futures	Short	12/2008	47		42
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2008	155		(378	)
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2009	248		456
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2009	56		25

				$	1,838

(i) Swap agreements outstanding on September 30, 2008:

Credit Default Swaps on Corporate and Sovereign Issues - Buy Protection⁽¹⁾


Reference Obligation	Fixed Deal (Pay) Rate		Maturity Date	Counterparty	Implied Credit Spread at September 30, 2008⁽³⁾		Notional Amount⁽⁴⁾		Market Value			Upfront Premiums Paid/ (Received)		Unrealized Appreciation/ (Depreciation)
Ace INA Holdings, Inc. 5.800% due 03/15/2018	(0.500	%)	03/20/2018	BOA	0.793	%	$	1,500	$	33		$	0	$	33
Alcoa, Inc. 6.000% due 07/15/2013	(1.200	%)	09/20/2013	BCLY	1.498	%		2,000		25			0		25
Alcoa, Inc. 6.750% due 07/15/2018	(1.320	%)	09/20/2018	GSC	1.699	%		1,000		27			0		27
American Electric Power Co., Inc. 5.250% due 06/01/2015	(0.470	%)	06/20/2015	MSC	0.624	%		800		7			0		7
AutoZone, Inc. 5.875% due 10/15/2012	(0.620	%)	12/20/2012	BOA	0.880	%		4,400		43			0		43
Baxter International, Inc. 5.375% due 06/01/2018	(0.310	%)	06/20/2018	BOA	0.347	%		1,400		4			0		4
Bear Stearns Cos., Inc. 5.300% due 10/30/2015	(1.780	%)	12/20/2012	GSC	1.369	%		700		(11	)		0		(11	)
Bear Stearns Cos., Inc. 6.400% due 10/02/2017	(0.810	%)	12/20/2017	BNP	1.400	%		1,000		41			0		41
Bear Stearns Cos., Inc. 6.400% due 10/02/2017	(0.760	%)	12/20/2017	CSFB	1.400	%		1,600		72			0		72
Bear Stearns Cos., Inc. 7.250% due 02/01/2018	(2.180	%)	03/20/2018	BNP	1.400	%		2,000		(113	)		0		(113	)
Bear Stearns Cos., Inc. 7.250% due 02/01/2018	(0.870	%)	03/20/2018	DUB	1.400	%		1,000		38			0		38
Cadbury Schweppes U.S. Finance LLC 5.125% due 10/01/2013	(0.460	%)	12/20/2013	BOA	0.633	%		1,300		11			0		11
Cardinal Health, Inc. 6.000% due 06/15/2017	(0.590	%)	06/20/2017	DUB	0.711	%		1,000		8			0		8
Cigna Corp. 6.350% due 03/15/2018	(1.210	%)	03/20/2018	MSC	0.662	%		2,000		(83	)		0		(83	)
Constellation Energy Group, Inc. 4.550% due 06/15/2015	(0.960	%)	06/20/2015	JPM	3.173	%		200		20			0		20
Constellation Energy Group, Inc. 7.000% due 04/01/2012	(0.665	%)	06/20/2012	JPM	3.264	%		4,400		344			0		344
Exelon Corp. 4.900% due 06/15/2015	(0.960	%)	06/20/2015	CITI	2.727	%		1,000		92			0		92
Falconbridge Ltd. 7.350% due 06/05/2012	(0.910	%)	06/20/2012	BOA	0.996	%		1,000		3			0		3
FirstEnergy Corp. 6.450% due 11/15/2011	(0.500	%)	12/20/2011	RBS	0.640	%		1,000		4			0		4
Genworth Financial, Inc. 6.515% due 05/22/2018	(0.960	%)	06/20/2018	BCLY	8.348	%		900		302			0		302
Genworth Financial, Inc. 6.515% due 05/22/2018	(0.980	%)	06/20/2018	DUB	8.348	%		1,300		435			0		435
GMAC LLC 6.875% due 08/28/2012	(5.000	%)	09/20/2012	CITI	48.784	%		900		459			0		459
Goldman Sachs Group, Inc. 5.950% due 01/18/2018	(1.130	%)	03/20/2018	CITI	3.932	%		3,000		493			0		493
HCP, Inc. 6.700% due 01/30/2018	(2.910	%)	03/20/2018	GSC	3.382	%		3,000		85			0		85
International Lease Finance Corp. 6.625% due 11/15/2013	(1.600	%)	12/20/2013	DUB	8.310	%		900		197			0		197
Liberty Mutual Group, Inc. 5.750% due 03/15/2014	(1.390	%)	03/20/2014	BOA	2.318	%		1,000		41			0		41
Marriott International, Inc. 6.375% due 06/15/2017	(1.730	%)	06/20/2017	BOA	2.578	%		5,000		266			0		266
Marsh & McLennan Cos., Inc. 5.750% due 09/15/2015	(0.830	%)	09/20/2015	BOA	0.699	%		2,000		(15	)		0		(15	)
Marsh & McLennan Cos., Inc. 5.750% due 09/15/2015	(0.600	%)	09/20/2015	DUB	0.699	%		2,000		12			0		12
Masco Corp. 5.875% due 07/15/2012	(0.870	%)	12/20/2012	BCLY	2.687	%		1,000		65			0		65
Masco Corp. 5.875% due 07/15/2012	(0.840	%)	12/20/2012	DUB	2.687	%		1,400		92			0		92
Masco Corp. 6.125% due 10/03/2016	(1.910	%)	12/20/2016	CITI	2.560	%		1,500		56			0		56
Merrill Lynch & Co., Inc. 5.000% due 01/15/2015	(0.930	%)	12/20/2012	JPM	4.388	%		400		46			0		46
Merrill Lynch & Co., Inc. 5.000% due 01/15/2015	(0.920	%)	12/20/2012	UBS	4.388	%		900		104			0		104
Merrill Lynch & Co., Inc. 6.875% due 04/25/2018	(1.380	%)	06/20/2018	CITI	3.763	%		800		115			0		115
Nordstrom, Inc. 6.250% due 01/15/2018	(0.990	%)	03/20/2018	BOA	1.564	%		700		28			0		28
Nordstrom, Inc. 6.950% due 03/15/2028	(0.260	%)	09/20/2012	GSC	1.322	%		3,400		130			0		130
Nordstrom, Inc. 6.950% due 03/15/2028	(0.270	%)	09/20/2012	GSC	1.322	%		1,700		64			0		64
Prologis 6.625% due 05/15/2018	(1.320	%)	06/20/2018	MSC	5.115	%		1,500		326			0		326
Rexam PLC 6.750% due 06/01/2013	(1.450	%)	06/20/2013	BCLY	1.797	%		1,200		17			0		17
Sempra Energy 6.150% due 06/15/2018	(0.670	%)	06/20/2018	DUB	1.060	%		1,000		29			0		29
Simon Property Group LP 5.750% due 12/01/2015	(1.010	%)	12/20/2015	RBS	1.591	%		800		27			0		27
Spectra Energy Capital LLC 5.668% due 08/15/2014	(0.830	%)	09/20/2014	BOA	1.270	%		1,500		33			0		33
Starwood Hotels & Resorts Worldwide, Inc. 6.750% due 05/15/2018	(1.490	%)	06/20/2018	BOA	2.861	%		1,000		91			0		91
Telecom Italia Capital S.A. 6.999% due 06/04/2018	(1.550	%)	06/20/2018	GSC	2.503	%		900		58			0		58
Travelers Cos., Inc. 5.800% due 05/15/2018	(0.590	%)	06/20/2018	GSC	1.034	%		1,500		49			0		49
UST, Inc. 6.625% due 07/15/2012	(0.340	%)	09/20/2012	BOA	0.366	%		2,500		2			0		2
Wachovia Corp. 5.750% due 06/15/2017	(2.325	%)	06/20/2017	CITI	3.168	%		2,000		98			0		98
Waste Management, Inc. 6.100% due 03/15/2018	(0.790	%)	03/20/2018	JPM	1.143	%		3,200		81			0		81
Yum! Brands, Inc. 6.250% due 03/15/2018	(1.245	%)	03/20/2018	BOA	1.282	%		2,000		5			0		5

									$	4,356		$	0	$	4,356

Credit Default Swaps on Corporate and Sovereign Issues - Sell Protection⁽²⁾


Reference Obligation	Fixed Deal Receive Rate		Maturity Date	Counterparty	Implied Credit Spread at September 30, 2008⁽³⁾	Notional Amount⁽⁴⁾		Market Value			Upfront Premiums Paid/ (Received)		Unrealized Appreciation/ (Depreciation)
Bear Stearns Cos., Inc. 5.300% due 10/30/2015	0.720	%	09/20/2012	CITI	1.357%	$	500	$	(11	)	$	0	$	(11	)
Bear Stearns Cos., Inc. 5.300% due 10/30/2015	0.720	%	09/20/2012	JPM	1.357%		700		(16	)		0		(16	)
Chesapeake Energy Corp. 6.875% due 01/15/2016	2.100	%	09/20/2013	CSFB	3.507%		1,475		(84	)		0		(84	)
Fannie Mae 5.250% due 08/01/2012	1.401	%	03/20/2013	BNP	Defaulted		2,000		(69	)		0		(69	)
Ford Motor Credit Co. LLC 7.000% due 10/01/2013	3.800	%	09/20/2012	BCLY	28.870%		200		(86	)		0		(86	)
Ford Motor Credit Co. LLC 7.000% due 10/01/2013	3.850	%	09/20/2012	JPM	28.870%		300		(129	)		0		(129	)
Ford Motor Credit Co. LLC 7.000% due 10/01/2013	3.800	%	09/20/2012	MSC	28.870%		800		(344	)		0		(344	)
General Electric Capital Corp. 6.000% due 06/15/2012	1.100	%	09/20/2009	RBS	7.410%		1,000		(57	)		0		(57	)
GMAC LLC 6.875% due 08/28/2012	3.050	%	09/20/2012	BCLY	48.784%		200		(107	)		0		(107	)
GMAC LLC 6.875% due 08/28/2012	7.000	%	09/20/2012	BOA	48.784%		600		(292	)		0		(292	)
GMAC LLC 6.875% due 08/28/2012	3.400	%	06/20/2011	GSC	57.233%		700		(365	)		0		(365	)
GMAC LLC 6.875% due 08/28/2012	3.050	%	09/20/2012	GSC	48.784%		1,000		(534	)		0		(534	)
GMAC LLC 6.875% due 08/28/2012	6.850	%	06/20/2012	MSC	50.152%		500		(244	)		0		(244	)
GMAC LLC 6.875% due 08/28/2012	7.300	%	09/20/2012	MSC	48.784%		5,100		(2,462	)		0		(2,462	)
Goldman Sachs Group, Inc. 6.600% due 01/15/2012	0.770	%	09/20/2012	BCLY	4.610%		600		(73	)		0		(73	)
Goldman Sachs Group, Inc. 6.600% due 01/15/2012	0.740	%	09/20/2012	CSFB	4.610%		500		(61	)		0		(61	)
Indonesia Government International Bond 6.750% due 03/10/2014	0.510	%	12/20/2008	DUB	1.074%		3,000		(3	)		0		(3	)
Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	0.900	%	09/20/2012	BNP	Defaulted		500		(422	)		0		(422	)
Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	1.120	%	09/20/2012	BNP	Defaulted		300		(253	)		0		(253	)
Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	1.200	%	09/20/2012	BNP	Defaulted		300		(253	)		0		(253	)
Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	0.700	%	09/20/2012	JPM	Defaulted		700		(591	)		0		(591	)
Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	0.660	%	09/20/2012	RBS	Defaulted		600		(507	)		0		(507	)
Panama Government International Bond 8.875% due 09/30/2027	0.300	%	12/20/2008	BCLY	0.829%		2,900		(1	)		0		(1	)
Peru Government International Bond 8.750% due 11/21/2033	0.350	%	12/20/2008	BCLY	0.350%		1,500		1			0		1
Russia Government International Bond 7.500% due 03/31/2030	0.330	%	12/20/2008	BCLY	2.248%		1,500		(5	)		0		(5	)
Russia Government International Bond 7.500% due 03/31/2030	0.325	%	12/20/2008	DUB	2.248%		1,400		(5	)		0		(5	)
Ukraine Government International Bond 7.650% due 06/11/2013	0.780	%	12/20/2008	BCLY	5.144%		1,500		(11	)		0		(11	)
Ukraine Government International Bond 7.650% due 06/11/2013	0.790	%	12/20/2008	DUB	5.144%		1,400		(11	)		0		(11	)

								$	(6,995)		$	0	$	(6,995	)

Credit Default Swaps on Credit Indices - Buy Protection⁽¹⁾


Reference Obligation	Fixed Deal (Pay) Rate		Maturity Date	Counterparty	Notional Amount⁽⁴⁾		Market Value⁽⁵⁾		Upfront Premiums Paid/ (Received)			Unrealized Appreciation
CDX.HY-8 Index	(2.750	%)	06/20/2012	BCLY	$	5,841	$	666	$	256		$	410
CDX.HY-8 Index	(2.750	%)	06/20/2012	BEAR		15,939		1,817		503			1,314
CDX.HY-8 Index	(2.750	%)	06/20/2012	BOA		3,366		384		80			304
CDX.HY-8 Index	(2.750	%)	06/20/2012	DUB		5,940		677		264			413
CDX.HY-8 Index	(2.750	%)	06/20/2012	MLP		495		56		21			35
CDX.IG-8 5 Year Index	(0.350	%)	06/20/2012	BCLY		2,300		122		32			90
CDX.IG-9 5 Year Index	(0.600	%)	12/20/2012	MLP		5,300		229		(26	)		255
CDX.IG-9 10 Year Index	(0.800	%)	12/20/2017	BCLY		19,800		1,078		160			918
CDX.IG-9 10 Year Index	(0.800	%)	12/20/2017	BOA		3,600		196		16			180
CDX.IG-9 10 Year Index	(0.800	%)	12/20/2017	GSC		4,800		261		22			239
CDX.IG-9 10 Year Index	(0.800	%)	12/20/2017	JPM		1,700		92		8			84
CDX.IG-9 10 Year Index	(0.800	%)	12/20/2017	MSC		12,800		697		169			528
CDX.IG-10 5 Year Index	(1.550	%)	06/20/2013	DUB		72,100		398		(525	)		923
CDX.IG-10 5 Year Index	(1.550	%)	06/20/2013	GSC		25,700		142		(258	)		400
CDX.IG-10 5 Year Index	(1.550	%)	06/20/2013	MLP		21,100		117		(101	)		218
CDX.IG-10 5 Year Index	(1.550	%)	06/20/2013	MSC		25,800		143		(142	)		285
CDX.IG-10 10 Year Index	(1.500	%)	06/20/2018	GSC		900		1		(26	)		27
CDX.XO-8 Index	(1.400	%)	06/20/2012	BOA		600		74		24			50

							$	7,150	$	477		$	6,673

Credit Default Swaps on Credit Indices - Sell Protection⁽²⁾


Reference Obligation	Fixed Deal Receive Rate		Maturity Date	Counterparty	Notional Amount⁽⁴⁾		Market Value⁽⁵⁾			Upfront Premiums Paid/ (Received)			Unrealized Appreciation
CDX.HY-9 Index 25-35%	6.510	%	12/20/2012	MLP	$	300	$	5		$	0		$	5
CDX.HY-9 Index 25-35%	6.690	%	12/20/2012	MLP		700		15			0			15
CDX.IG-10 5 Year Index	1.550	%	06/20/2013	DUB		4,400		(23	)		(61	)		38
CMBX.NA AAA 3 Index	0.080	%	12/13/2049	MSC		2,800		(292	)		(474	)		182

							$	(295	)	$	(535	)	$	240

⁽¹⁾

⁽²⁾

⁽³⁾

⁽⁴⁾	The maximum potential amount the Portfolio 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 that particular swap agreement.

⁽⁵⁾

Interest Rate Swaps


Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Maturity Date	Counterparty	Notional Amount		Market Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
Pay	1-Year BRL-CDI	12.410	%	01/04/2010	UBS	BRL	3,000	$	(20	)	$	9		$	(29	)
Pay	1-Year BRL-CDI	10.115	%	01/02/2012	MSC		12,500		(640	)		(222	)		(418	)
Pay	1-Year BRL-CDI	10.575	%	01/02/2012	UBS		21,600		(930	)		(6	)		(924	)
Pay	1-Year BRL-CDI	10.680	%	01/02/2012	BCLY		14,400		(597	)		(125	)		(472	)
Pay	1-Year BRL-CDI	12.540	%	01/02/2012	MLP		17,000		(265	)		(68	)		(197	)
Pay	1-Year BRL-CDI	12.540	%	01/02/2012	MSC		8,500		(132	)		(24	)		(108	)
Pay	1-Year BRL-CDI	14.765	%	01/02/2012	HSBC		400		2			3			(1	)
Pay	1-Year BRL-CDI	14.765	%	01/02/2012	MLP		2,200		12			4			8
Pay	3-Month AUD Bank Bill	7.500	%	03/15/2010	UBS	AUD	104,100		1,145			3			1,142
Pay	3-Month USD-LIBOR	4.000	%	12/17/2009	MSC	$	58,500		479			425			54
Pay	3-Month USD-LIBOR	4.000	%	06/17/2010	CSFB		37,200		251			251			0
Pay	3-Month USD-LIBOR	4.000	%	06/17/2010	DUB		49,700		336			261			75
Pay	3-Month USD-LIBOR	4.000	%	06/17/2010	MLP		8,000		54			(32	)		86
Pay	3-Month USD-LIBOR	4.000	%	06/17/2010	RBS		30,600		207			(129	)		336
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	BCLY		27,100		(1,031	)		709			(1,740	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	BOA		21,000		(799	)		(660	)		(139	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	JPM		6,600		(251	)		172			(423	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	MLP		6,600		(251	)		(206	)		(45	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	MSC		11,400		(434	)		(346	)		(88	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	RBS		12,300		(468	)		(103	)		(365	)
Receive	3-Month USD-LIBOR	5.000	%	12/20/2021	DUB		5,400		(249	)		374			(623	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2023	BOA		15,600		(568	)		155			(723	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2023	MLP		11,900		(433	)		6			(439	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2023	RBS		2,400		(87	)		(31	)		(56	)
Pay	3-Month USD-LIBOR	5.000	%	06/20/2027	BOA		5,000		228			(146	)		374
Receive	3-Month USD-LIBOR	5.000	%	12/17/2028	BCLY		5,400		(196	)		(66	)		(130	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2028	GSC		600		(22	)		(36	)		14
Receive	3-Month USD-LIBOR	5.000	%	12/17/2028	MSC		5,500		(200	)		33			(233	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	BCLY		4,800		(214	)		127			(341	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	BOA		18,500		(825	)		(765	)		(60	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	CITI		25,100		(1,119	)		551			(1,670	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	CSFB		5,400		(241	)		(134	)		(107	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	DUB		300		(13	)		(25	)		12
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	GSC		5,600		(250	)		(180	)		(70	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	MLP		7,800		(348	)		(224	)		(124	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	MSC		1,000		(44	)		(64	)		20
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	RBS		3,400		(152	)		(235	)		83
Pay	6-Month AUD Bank Bill	7.000	%	12/15/2009	BCLY	AUD	13,700		80			7			73
Pay	6-Month AUD Bank Bill	7.000	%	12/15/2009	MSC		14,400		84			8			76
Pay	6-Month AUD Bank Bill	6.500	%	01/15/2010	CITI		4,700		(14	)		(3	)		(11	)
Pay	6-Month AUD Bank Bill	6.500	%	01/15/2010	DUB		18,700		(58	)		(16	)		(42	)
Pay	6-Month AUD Bank Bill	6.500	%	01/15/2010	JPM		3,100		(10	)		(2	)		(8	)
Pay	6-Month AUD Bank Bill	6.500	%	01/15/2010	RBC		1,900		(6	)		(2	)		(4	)
Pay	6-Month AUD Bank Bill	7.500	%	06/15/2011	DUB		46,200		886			(114	)		1,000
Receive	6-Month AUD Bank Bill	6.750	%	12/15/2017	BCLY		1,700		(39	)		1			(40	)
Receive	6-Month AUD Bank Bill	6.750	%	12/15/2017	MSC		1,800		(41	)		1			(42	)
Receive	6-Month AUD Bank Bill	7.000	%	03/15/2019	UBS		8,900		(405	)		8			(413	)
Pay	6-Month EUR-LIBOR	4.500	%	03/19/2010	DUB	EUR	13,200		(76	)		(7	)		(69	)
Pay	6-Month EUR-LIBOR	4.500	%	03/19/2010	MSC		13,100		(75	)		(7	)		(68	)
Pay	6-Month EUR-LIBOR	5.000	%	09/17/2010	BCLY		2,100		22			(22	)		44
Pay	6-Month EUR-LIBOR	4.500	%	03/18/2011	GSC		8,500		18			(18	)		36
Pay	6-Month EUR-LIBOR	5.000	%	03/18/2019	HSBC		400		15			17			(2	)
Pay	6-Month GBP-LIBOR	5.000	%	06/15/2009	BCLY	GBP	6,300		(98	)		(65	)		(33	)
Pay	6-Month GBP-LIBOR	5.000	%	12/19/2009	MSC		34,800		(112	)		(91	)		(21	)
Pay	6-Month GBP-LIBOR	6.000	%	03/20/2010	DUB		4,900		83			83			0
Pay	6-Month GBP-LIBOR	5.000	%	09/15/2010	CSFB		4,600		(23	)		(137	)		114
Pay	6-Month GBP-LIBOR	5.000	%	09/15/2010	RBS		6,700		(34	)		(208	)		174
Pay	6-Month GBP-LIBOR	5.000	%	03/20/2013	DUB		4,800		(74	)		40			(114	)
Pay	6-Month GBP-LIBOR	5.000	%	03/20/2013	JPM		5,000		(77	)		(19	)		(58	)
Pay	6-Month GBP-LIBOR	5.000	%	09/17/2013	MSC		5,800		(77	)		(92	)		15
Pay	6-Month GBP-LIBOR	5.000	%	03/18/2014	RBS		17,300		(73	)		(433	)		360
Receive	6-Month GBP-LIBOR	4.000	%	12/15/2035	BCLY		5,700		141			111			30
Receive	6-Month GBP-LIBOR	4.000	%	12/15/2035	CSFB		1,800		45			38			7
Receive	6-Month GBP-LIBOR	4.250	%	06/12/2036	HSBC		2,500		203			77			126
Receive	6-Month GBP-LIBOR	4.500	%	03/18/2039	BCLY		4,600		(135	)		(30	)		(105	)
Receive	6-Month GBP-LIBOR	5.000	%	03/18/2039	BCLY		1,500		(253	)		(153	)		(100	)
Receive	6-Month GBP-LIBOR	5.000	%	03/18/2039	GSC		1,200		(203	)		(138	)		(65	)
Pay	6-Month JPY-LIBOR	1.000	%	03/18/2009	MSC	JPY	2,900,000		0			(62	)		62
Pay	28-Day MXN TIIE	8.720	%	09/05/2016	BCLY	MXN	17,000		(6	)		0			(6	)
Pay	28-Day MXN TIIE	8.170	%	11/04/2016	CITI		30,200		(101	)		16			(117	)
Pay	28-Day MXN TIIE	8.170	%	11/04/2016	GSC		15,300		(51	)		(3	)		(48	)
Pay	28-Day MXN TIIE	8.330	%	02/14/2017	BCLY		11,100		(29	)		0			(29	)
Receive	EUR-HICP ex-Tobacco Index	2.275	%	10/15/2016	UBS	EUR	2,700		(48	)		0			(48	)
Pay	France CPI ex-Tobacco Index	2.090	%	10/15/2010	BNP		2,500		(20	)		0			(20	)
Pay	France CPI ex-Tobacco Index	2.103	%	10/15/2010	BCLY		2,500		(20	)		(7	)		(13	)
Pay	France CPI ex-Tobacco Index	2.146	%	10/15/2010	UBS		3,700		(17	)		5			(22	)
Pay	France CPI ex-Tobacco Index	1.976	%	12/15/2011	GSC		5,100		(190	)		(11	)		(179	)
Pay	France CPI ex-Tobacco Index	1.948	%	03/15/2012	BCLY		600		(24	)		1			(25	)
Pay	France CPI ex-Tobacco Index	1.948	%	03/15/2012	JPM		600		(24	)		1			(25	)
Pay	France CPI ex-Tobacco Index	1.983	%	03/15/2012	BNP		1,900		(69	)		4			(73	)
Pay	France CPI ex-Tobacco Index	1.955	%	03/28/2012	RBS		2,100		(87	)		0			(87	)
Pay	France CPI ex-Tobacco Index	1.960	%	03/30/2012	GSC		700		(30	)		0			(30	)
Pay	France CPI ex-Tobacco Index	1.960	%	04/05/2012	BCLY		300		(12	)		0			(12	)
Pay	France CPI ex-Tobacco Index	1.980	%	04/30/2012	BCLY		900		(37	)		0			(37	)
Pay	France CPI ex-Tobacco Index	2.150	%	01/19/2016	BNP		15,000		(565	)		9			(574	)
Pay	France CPI ex-Tobacco Index	2.350	%	10/15/2016	UBS		2,700		(48	)		0			(48	)
Pay	France CPI ex-Tobacco Index	2.353	%	10/15/2016	JPM		2,500		(37	)		0			(37	)
Pay	GBP-UKRPI Index	3.103	%	11/14/2016	UBS	GBP	5,000		(534	)		0			(534	)
Pay	GBP-UKRPI Index	3.250	%	12/14/2017	BCLY		1,400		(117	)		6			(123	)
Pay	GBP-UKRPI Index	3.183	%	12/19/2017	RBS		3,400		(317	)		6			(323	)
Pay	GBP-UKRPI Index	3.110	%	01/03/2018	GSC		3,200		(344	)		0			(344	)
Pay	GBP-UKRPI Index	3.440	%	09/10/2027	RBS		1,100		(203	)		0			(203	)
Pay	USD-CPI Urban Consumers Index	2.980	%	03/06/2018	MSC	$	5,700		239			0			239

								$	(11,062	)	$	(1,945	)	$	(9,117	)

(j) Purchased options outstanding on September 30, 2008:

Interest Rate Swaptions


Description	Counterparty	Floating Rate Index	Pay/ Receive Floating Rate	Exercise Rate		Expiration Date		Notional Amount		Cost		Value
Call - OTC 2-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009	$	1,800	$	19	$	13
Call - OTC 2-Year Interest Rate Swap	JPM	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		1,100		12		8
Call - OTC 2-Year Interest Rate Swap	MSC	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		900		10		7
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		4,300		46		32
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.850	%	08/03/2009		2,100		22		23

									$	109	$	83

Options on Securities


Description		Strike Price	Expiration Date		Notional Amount		Cost		Value
Put - OTC Treasury Inflation Protected Securities 1.875% due 07/15/2015	$	87.000	12/05/2008	$	183,000	$	43	$	39
Put - OTC Treasury Inflation Protected Securities 2.000% due 07/15/2014		87.500	12/05/2008		120,000		28		21
Put - OTC Treasury Inflation Protected Securities 2.375% due 04/15/2011		98.016	10/06/2008		33,000		2		0

						$	73	$	60

(k) Written options outstanding on September 30, 2008:

Options on Exchange-Traded Futures Contracts


Description		Exercise Price	Expiration Date	# of Contracts		Premium		Value
Call - CBOT U.S. Treasury 10-Year Note December Futures	$	118.000	11/21/2008	314	$	210	$	254
Call - CBOT U.S. Treasury 10-Year Note December Futures		119.000	11/21/2008	11		7		7
Call - CBOT U.S. Treasury 30-Year Bond December Futures		120.000	11/21/2008	33		27		49
Call - CBOT U.S. Treasury 30-Year Bond December Futures		121.000	11/21/2008	44		39		54
Put - CBOT U.S. Treasury 10-Year Note December Futures		113.000	11/21/2008	312		160		401
Put - CBOT U.S. Treasury 30-Year Bond December Futures		111.000	11/21/2008	33		24		25

					$	467	$	790

Interest Rate Swaptions


Description	Counterparty	Floating Rate Index	Pay/ Receive Floating Rate	Exercise Rate		Expiration Date		Notional Amount		Premium		Value
Call - OTC 5-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	4.150	%	08/03/2009	$	400	$	10	$	8
Call - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		300		10		8
Call - OTC 7-Year Interest Rate Swap	GSC	3-Month USD-LIBOR	Receive	5.365	%	09/20/2010		6,000		193		344
Put - OTC 7-Year Interest Rate Swap	GSC	3-Month USD-LIBOR	Pay	5.365	%	09/20/2010		6,000		193		152
Call - OTC 7-Year Interest Rate Swap	JPM	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		400		13		11
Call - OTC 7-Year Interest Rate Swap	MSC	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		300		10		9
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		1,400		45		39
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.550	%	08/03/2009		700		21		23
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	5.365	%	09/20/2010		6,000		189		344
Put - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	5.365	%	09/20/2010		6,000		189		152

									$	873	$	1,090

(l) Short sales outstanding on September 30, 2008:


Description	Coupon		Maturity Date		Principal Amount		Proceeds		Value	⁽⁶⁾
Fannie Mae	6.000	%	10/01/2023	$	3,700	$	3,808	$	3,769
Fannie Mae	6.000	%	10/01/2038		179,400		180,157		181,558
Freddie Mac	4.500	%	10/01/2023		1,200		1,189		1,168
Freddie Mac	5.500	%	10/01/2038		6,800		6,745		6,756
Freddie Mac	6.000	%	10/01/2038		3,500		3,535		3,540
Ginnie Mae	5.500	%	10/01/2038		1,000		1,007		999
Ginnie Mae	6.500	%	10/01/2038		18,000		18,585		18,419
U.S. Treasury Bonds	5.000	%	05/15/2037		28,200		31,738		31,826
U.S. Treasury Bonds	7.500	%	11/15/2024		1,700		2,342		2,367
U.S. Treasury Notes	3.625	%	12/31/2012		2,760		2,860		2,886
U.S. Treasury Notes	4.125	%	08/31/2012		11,000		11,550		11,610
U.S. Treasury Notes	4.250	%	11/15/2017		6,260		6,556		6,588
U.S. Treasury Notes	4.750	%	08/15/2017		9,500		10,350		10,250

						$	280,422	$	281,736

⁽⁶⁾ Market value includes $823 of interest payable on short sales.

(m) Foreign currency contracts outstanding on September 30, 2008:


Type	Currency	Counterparty	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Sell	AUD	UBS	608	10/2008	$	42	$	0		$	42
Buy	BRL	HSBC	6,729	12/2008		0		(462	)		(462	)
Sell		HSBC	9,488	12/2008		499		0			499
Buy		JPM	30,671	12/2008		0		(407	)		(407	)
Sell		MSC	6,921	12/2008		220		0			220
Sell		UBS	2,663	12/2008		81		0			81
Sell	CHF	MSC	910	12/2008		9		0			9
Buy	CNY	BCLY	17,892	12/2008		0		(21	)		(21	)
Buy		DUB	13,392	07/2009		0		(147	)		(147	)
Buy		HSBC	13,907	07/2009		0		(125	)		(125	)
Buy		BCLY	17,872	09/2009		0		(73	)		(73	)
Buy		HSBC	18,841	09/2009		0		(73	)		(73	)
Buy	EUR	BCLY	836	10/2008		0		(45	)		(45	)
Buy		BOA	4,499	10/2008		0		(308	)		(308	)
Buy		CITI	8,702	10/2008		25		(137	)		(112	)
Sell		CITI	6,384	10/2008		0		(21	)		(21	)
Buy		CSFB	1,503	10/2008		0		(92	)		(92	)
Buy		JPM	680	10/2008		0		(40	)		(40	)
Sell		UBS	16,232	10/2008		905		0			905
Buy	GBP	BCLY	755	10/2008		0		(43	)		(43	)
Buy		CITI	3,936	10/2008		0		(229	)		(229	)
Buy		MSC	2,472	10/2008		0		(182	)		(182	)
Buy		RBS	2,085	10/2008		0		(162	)		(162	)
Buy		UBS	522	10/2008		0		(41	)		(41	)
Sell		UBS	9,100	11/2008		314		0			314
Buy	JPY	BCLY	102,884	10/2008		0		(1	)		(1	)
Sell		BCLY	106,884	10/2008		7		0			7
Sell		DUB	3,168,647	10/2008		0		(565	)		(565	)
Sell		JPM	15,000	10/2008		0		(2	)		(2	)
Sell		BCLY	102,884	11/2008		2		0			2
Buy	MXN	BCLY	109	11/2008		0		(1	)		(1	)
Sell		BCLY	14,413	11/2008		87		0			87
Sell		CITI	4,052	11/2008		12		0			12
Buy		HSBC	69	11/2008		0		0			0
Buy		JPM	69	11/2008		0		0			0
Buy		RBC	18,218	11/2008		0		(61	)		(61	)
Buy		CITI	4,052	05/2009		0		(11	)		(11	)
Buy	MYR	BCLY	2,386	11/2008		0		(47	)		(47	)
Sell		BCLY	5,470	11/2008		0		(17	)		(17	)
Buy		DUB	6	11/2008		0		0			0
Buy		JPM	4	11/2008		0		0			0
Buy		JPM	2,934	02/2009		0		(58	)		(58	)
Sell	PHP	BCLY	15,091	11/2008		0		(3	)		(3	)
Buy		HSBC	5,000	11/2008		0		(7	)		(7	)
Buy		JPM	5,000	11/2008		0		(6	)		(6	)
Buy		BCLY	1,200	02/2009		0		(1	)		(1	)
Buy		DUB	600	02/2009		0		(1	)		(1	)
Buy		HSBC	1,390	02/2009		0		(1	)		(1	)
Buy		JPM	2,510	02/2009		0		(2	)		(2	)
Buy		MSC	1,700	02/2009		0		(2	)		(2	)
Buy		RBS	500	02/2009		0		(1	)		(1	)
Buy	PLN	HSBC	11,607	05/2009		0		(373	)		(373	)
Sell	RUB	BCLY	131,226	11/2008		139		0			139
Buy		DUB	125,642	11/2008		0		(210	)		(210	)
Buy		HSBC	40,016	11/2008		0		(83	)		(83	)
Sell		HSBC	56,006	11/2008		61		0			61
Buy		HSBC	20,751	05/2009		0		(63	)		(63	)
Buy	SGD	BCLY	1,968	11/2008		0		(64	)		(64	)
Buy		BOA	1,875	11/2008		0		(73	)		(73	)
Buy		CITI	119	11/2008		0		(2	)		(2	)
Buy		DUB	1,915	11/2008		0		(65	)		(65	)
Buy		JPM	123	11/2008		0		(2	)		(2	)
Buy		UBS	1,862	11/2008		0		(72	)		(72	)

					$	2,403	$	(4,402	)	$	(1,999	)

(n) Fair Value Measurements⁺

The following is a summary of the fair valuations according to the inputs used as of September 30, 2008 in valuing the Portfolio’s assets and liabilities:


	Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Other Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)			Value at 9/30/2008
Investments, at value	$	0	$	2,838,899		$	15,027		$	2,853,926
Short Sales, at value		0		(280,913	)		0			(280,913	)
Other Financial Instruments⁺⁺		1,838		(6,205	)		(2,525	)		(6,892	)

Total	$	1,838	$	2,551,781		$	12,502		$	2,566,121

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Portfolio during the period ending September 30, 2008:


	Beginning Balance at 12/31/2007			Net Purchases/ (Sales)		Accrued Discounts/ (Premiums)		Total Realized Gain/(Loss)		Total Unrealized Appreciation/ (Depreciation)			Net Transfers In/ (Out) of Level 3			Ending Balance at 09/30/2008
Investments, at value	$	12,217		$	14,428	$	35	$	1	$	(659	)	$	(10,995	)	$	15,027
Other Financial Instruments⁺⁺		(342	)		0		0		0		(2,207	)		24			(2,525	)

Total	$	11,875		$	14,428	$	35	$	1	$	(2,866	)	$	(10,971	)	$	12,502

⁺ See note 3 in the Supplementary Notes to Schedule of Investments for additional information.

⁺⁺ Other financial instruments may include open futures contracts, swap contracts, written options, and foreign currency contracts.

See Accompanying Notes

Schedule of Investments

RealEstateRealReturn Strategy Portfolio

September 30, 2008 (Unaudited)


	Principal Amount (000s)		Value (000s)
CORPORATE BONDS & NOTES 9.7%
Banking & Finance 6.4%
Berkshire Hathaway Finance Corp.
5.400% due 05/15/2018	$	100	$	97
Citigroup Funding, Inc.
3.852% due 05/07/2010		100		94
General Electric Capital Corp.
6.375% due 11/15/2067		100		81
Hartford Financial Services Group, Inc.
6.000% due 01/15/2019		100		88

				360

Industrials 1.7%
Philip Morris International, Inc.
5.650% due 05/16/2018		100		92

Utilities 1.6%
AT&T, Inc.
5.600% due 05/15/2018		100		90

Total Corporate Bonds & Notes (Cost $599)				542

U.S. GOVERNMENT AGENCIES 39.0%
Fannie Mae
5.000% due 04/01/2038 - 05/01/2038		210		204
5.500% due 08/01/2037		92		92
6.000% due 09/01/2036 - 05/01/2038		628		637
6.500% due 08/01/2038		500		513
Freddie Mac
5.500% due 02/01/2038 - 04/01/2038		734		731

Total U.S. Government Agencies (Cost $2,145)				2,177

U.S. TREASURY OBLIGATIONS 105.9%
Treasury Inflation Protected Securities (a)
1.375% due 07/15/2018		449		414
1.750% due 01/15/2028		503		438
1.875% due 07/15/2015		868		853
2.000% due 01/15/2014		356		355
2.000% due 01/15/2016		442		435
2.000% due 01/15/2026		552		503
2.375% due 01/15/2017		54		55
2.375% due 01/15/2025		991		958
2.375% due 01/15/2027		251		241
2.500% due 07/15/2016		434		443
2.625% due 07/15/2017		117		120
3.000% due 07/15/2012		609		634
3.625% due 04/15/2028		272		312
3.875% due 04/15/2029		134		159

Total U.S. Treasury Obligations (Cost $6,114)				5,920

ASSET-BACKED SECURITIES 1.8%
SLM Student Loan Trust
4.173% due 04/25/2023		100		101

Total Asset-Backed Securities (Cost $100)				101

SHORT-TERM INSTRUMENTS 42.9%
Repurchase Agreements 42.9%
Deutsche Bank AG
0.500% due 10/01/2008		1,000		1,000
(Dated 09/30/2008. Collateralized by U.S. Treasury Inflation Protected Securities 3.875% due 04/15/2029 valued at $1,005. Repurchase proceeds are $1,000.)
Greenwich Capital Markets, Inc.
0.250% due 10/01/2008		1,400		1,400
(Dated 09/30/2008. Collateralized by U.S. Treasury Inflation Protected Securities 2.000% due 07/15/2014 valued at $1,424. Repurchase proceeds are $1,400.)

				2,400

Total Short-Term Instruments (Cost $2,400)				2,400

Purchased Options (e) 0.0% (Cost $1)				1
Total Investments 199.3% (Cost $11,359)			$	11,141
Written Options (f) (0.1%) (Premiums $8)				(7	)
Other Assets and Liabilities (Net) (99.2%)				(5,544	)

Net Assets 100.0%			$	5,590

Notes to Schedule of Investments (amounts in thousands*, except number of contracts):

* A zero balance may reflect actual amounts rounding to less than one thousand.

(a) Principal amount of security is adjusted for inflation.

(b) The average amount of borrowings while outstanding during the period ended September 30, 2008 was $289 at a weighted average interest rate of 4.35%. On September 30, 2008, there were no open reverse repurchase agreements.


Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Euribor December Futures	Long	12/2008	1	$	(2	)
90-Day Eurodollar March Futures	Long	03/2010	2		0
U.S. Treasury 5-Year Note December Futures	Long	12/2008	4		2
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2008	2		(5	)
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2009	1		2
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2009	1		0
United Kingdom Government 10-Year Bond December Futures	Short	12/2008	1		(1	)

				$	(4	)

(d) Swap agreements outstanding on September 30, 2008:

Credit Default Swaps on Credit Indices - Buy Protection⁽¹⁾


Reference Obligation	Fixed Deal (Pay) Rate		Maturity Date	Counterparty	Notional Amount⁽²⁾		Market Value⁽³⁾		Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
CDX.IG-9 5 Year Index	(0.600	%)	12/20/2012	MLP	$	100	$	5	$	0		$	5
CDX.IG-9 5 Year Index	(0.600	%)	12/20/2012	MSC		100		4		(1	)		5
CDX.IG-10 5 Year Index	(1.550	%)	06/20/2013	DUB		200		1		3			(2	)
CDX.HY-8 Index	(2.750	%)	06/20/2012	UBS		99		11		3			8

							$	21	$	5		$	16

⁽¹⁾

If the Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the underlying securities comprising the referenced index.

⁽²⁾	The maximum potential amount the Portfolio 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 that particular swap agreement.

⁽³⁾

Interest Rate Swaps


Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Maturity Date	Counterparty	Notional Amount		Market Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
Pay	1-Year BRL-CDI	10.680	%	01/02/2012	BCLY	BRL	200	$	(8	)	$	(3	)	$	(5	)
Pay	1-Year BRL-CDI	14.765	%	01/02/2012	HSBC		100		1			1			0
Pay	3-Month AUD Bank Bill	7.500	%	03/15/2010	UBS	AUD	100		1			0			1
Receive	3-Month USD-LIBOR	4.000	%	12/17/2010	RBS	$	300		(3	)		(2	)		(1	)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2013	MSC		500		(3	)		(3	)		0
Pay	3-Month USD-LIBOR	4.000	%	12/17/2013	RBS		600		(4	)		(12	)		8
Pay	3-Month USD-LIBOR	5.000	%	12/17/2018	MSC		700		26			8			18
Receive	3-Month USD-LIBOR	5.000	%	12/17/2023	MLP		100		(4	)		(2	)		(2	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	BCLY		100		(4	)		3			(7	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	BOA		400		(18	)		(12	)		(6	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	CITI		100		(5	)		(5	)		0
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	GSC		100		(5	)		(3	)		(2	)
Pay	6-Month AUD Bank Bill	6.500	%	01/15/2010	DUB	AUD	100		0			0			0
Pay	6-Month AUD Bank Bill	7.000	%	06/15/2010	DUB		300		1			0			1
Pay	6-Month GBP-LIBOR	5.000	%	12/19/2009	BCLY	GBP	100		0			0			0
Pay	6-Month GBP-LIBOR	5.000	%	09/17/2013	GSC		100		(1	)		(1	)		0
Pay	6-Month JPY-LIBOR	1.500	%	06/17/2013	UBS	JPY	30,000		2			(1	)		3
Pay	France CPI ex-Tobacco Index	2.261	%	07/14/2011	JPM	EUR	100		0			0			0
Pay	France CPI ex-Tobacco Index	1.976	%	12/15/2011	GSC		600		(22	)		(1	)		(21	)
Pay	France CPI ex-Tobacco Index	1.988	%	12/15/2011	BNP		100		(3	)		0			(3	)

								$	(49	)	$	(33	)	$	(16	)

Total Return Swaps on Indices


Pay/Receive Total Return on Reference Entity	Reference Entity	# of Shares or Units	Floating Rate⁽⁴⁾	Notional Amount		Maturity Date	Counterparty	Unrealized (Depreciation)
Receive	DWRTT Index	988	1-Month USD-LIBOR	$	4,945	01/31/2009	CSFB	$	(30	)
Pay	DWRTT Index	20	1-Month USD-LIBOR		100	03/31/2009	MLP		1
Receive	DWRTT Index	84	1-Month USD-LIBOR		420	03/31/2009	MLP		(3	)
Receive	DWRTT Index	101	1-Month USD-LIBOR less 0.300%		504	07/31/2009	UBS		(3	)

								$	(35	)

⁽⁴⁾ Floating rate is based upon predetermined notional amounts, which may be a multiple of the number of shares or units disclosed.

(e) Purchased options outstanding on September 30, 2008:

Options on Exchange-Traded Futures Contracts


Description	Exercise Price		Expiration Date	# of Contracts	Cost		Value
Call - CBOT U.S. Treasury 30-Year Bond December Futures	$	140.000	11/21/2008	5	$	0	$	0
Put - CBOT U.S. Treasury 5-Year Note December Futures		101.500	11/21/2008	4		0		0

					$	0	$	0

Options on Securities


Description	Strike Price		Expiration Date	Notional Amount		Cost		Value
Call - OTC Fannie Mae 5.000% due 11/01/2038	$	106.000	11/06/2008	$	1,870	$	1	$	0
Call - OTC Fannie Mae 5.500% due 12/01/2038		107.000	12/04/2008		800		0		0
Call - OTC Freddie Mac 6.000% due 11/01/2038		108.000	11/06/2008		100		0		0
Call - OTC U.S. Treasury Note 2.750% due 07/31/2010		103.922	11/20/2008		1,200		0		0
Put - OTC Fannie Mae 6.500% due 11/01/2038		89.000	11/06/2008		500		0		0
Put - OTC Treasury Inflation Protected Securities 1.875% due 07/15/2015		92.250	10/24/2008		900		0		0
Put - OTC Treasury Inflation Protected Securities 2.000% due 01/15/2014		87.500	12/05/2008		350		0		0
Put - OTC Treasury Inflation Protected Securities 2.000% due 01/15/2016		92.750	10/24/2008		500		0		0
Put - OTC Treasury Inflation Protected Securities 2.375% due 01/15/2025		91.000	10/17/2008		900		0		1
Put - OTC Treasury Inflation Protected Securities 2.500% due 07/15/2016		96.000	10/24/2008		500		0		0
Put - OTC Treasury Inflation Protected Securities 3.000% due 07/15/2012		100.016	10/06/2008		600		0		0

						$	1	$	1

(f) Written options outstanding on September 30, 2008:

Interest Rate Swaptions

Description

Counterparty

Floating Rate Index

Pay/Receive
Floating Rate

Exercise
Rate

Expiration
Date

Notional
Amount

Premium

Value

Call - OTC 5-Year Interest Rate Swap

BCLY

3-Month USD-LIBOR

Receive

4.300

02/02/2009

300

(g) Short sales outstanding on September 30, 2008:


Description	Coupon		Maturity Date	Principal Amount		Proceeds		Value⁽⁵⁾
Fannie Mae	5.000	%	10/01/2038	$	300	$	296	$	292
Fannie Mae	5.500	%	10/01/2038		800		787		797
Fannie Mae	6.000	%	10/01/2038		100		101		101
Freddie Mac	6.000	%	10/01/2038		100		101		101
U.S. Treasury Notes	2.125	%	04/30/2010		100		100		102
U.S. Treasury Notes	2.750	%	07/31/2010		1,200		1,214		1,226
U.S. Treasury Notes	3.500	%	02/15/2018		200		195		197

						$	2,794	$	2,815

⁽⁵⁾ Market value includes $8 of interest payable on short sales.

(h) Foreign currency contracts outstanding on September 30, 2008:


Type	Currency	Counterparty	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Sell	AUD	UBS	6	10/2008	$	0	$	0		$	0
Buy	BRL	HSBC	118	12/2008		0		(8	)		(8	)
Sell		HSBC	21	12/2008		1		0			1
Sell		MSC	25	12/2008		1		0			1
Sell		RBC	64	12/2008		2		0			2
Buy		UBS	4	12/2008		0		0			0
Sell		UBS	12	12/2008		1		0			1
Buy		RBC	64	06/2009		0		(2	)		(2	)
Sell	CHF	MSC	5	12/2008		0		0			0
Buy	CNY	BCLY	89	12/2008		0		0			0
Buy		HSBC	203	09/2009		0		(1	)		(1	)
Buy	EUR	BCLY	3	10/2008		0		0			0
Buy		CITI	13	10/2008		0		0			0
Sell		CITI	13	10/2008		0		0			0
Buy		CSFB	3	10/2008		0		0			0
Buy		UBS	7	10/2008		0		(1	)		(1	)
Buy	GBP	BCLY	3	10/2008		0		0			0
Buy		CITI	25	10/2008		0		(2	)		(2	)
Buy		JPM	10	10/2008		0		(1	)		(1	)
Sell		UBS	45	11/2008		2		0			2
Buy	JPY	BCLY	1,196	10/2008		0		0			0
Sell		BCLY	1,196	10/2008		0		0			0
Buy		DUB	747	10/2008		0		0			0
Sell		BCLY	1,196	11/2008		0		0			0
Sell	MXN	BCLY	70	11/2008		0		0			0
Buy		DUB	19	11/2008		0		0			0
Buy		RBC	51	11/2008		0		0			0
Sell		DUB	19	05/2009		0		0			0
Buy	MYR	BCLY	11	11/2008		0		0			0
Sell		BCLY	26	11/2008		0		0			0
Buy		JPM	16	02/2009		0		0			0
Sell	PHP	BCLY	175	11/2008		0		0			0
Buy		JPM	100	11/2008		0		0			0
Buy		JPM	62	02/2009		0		0			0
Buy	PLN	HSBC	69	05/2009		0		(2	)		(2	)
Sell	RUB	BCLY	484	11/2008		1		0			1
Buy		DUB	124	11/2008		0		0			0
Buy		HSBC	85	11/2008		0		0			0
Sell		HSBC	25	11/2008		0		0			0
Buy		HSBC	303	05/2009		0		(1	)		(1	)
Buy	SGD	BCLY	11	11/2008		0		0			0
Buy		BOA	14	11/2008		0		(1	)		(1	)
Buy		CITI	1	11/2008		0		0			0
Buy		JPM	0	11/2008		0		0			0
Buy		UBS	14	11/2008		0		(1	)		(1	)

					$	8	$	(20	)	$	(12	)

(i) Fair Value Measurements⁺

The following is a summary of the fair valuations according to the inputs used as of September 30, 2008 in valuing the Portfolio’s assets and liabilities:


	Quoted Prices in Active Markets for Identical Investments (Level 1)			Significant Other Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)			Value at 09/30/2008
Investments, at value	$	0		$	11,141		$	0		$	11,141
Short Sales, at value		0			(2,807	)		0			(2,807	)
Other Financial Instruments⁺⁺		(4	)		(30	)		(33	)		(67	)

Total	$	(4	)	$	8,304		$	(33	)	$	8,267

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Portfolio during the period ending September 30, 2008:


	Beginning Balance at 12/31/2007			Net Purchases/ (Sales)		Accrued Discounts/ (Premiums)		Total Realized Gain/(Loss)		Total Unrealized Appreciation/ (Depreciation)			Net Transfers In/(Out) of Level 3			Ending Balance at 09/30/2008
Investments, at value	$	0		$	0	$	0	$	0	$	0		$	0		$	0
Other Financial Instruments⁺⁺		(7	)		0		0		0		(17	)		(9	)		(33	)

Total	$	(7	)	$	0	$	0	$	0	$	(17	)	$	(9	)	$	(33	)

⁺	See note 3 in the Supplementary Notes to Schedule of Investments for additional information.

⁺⁺	Other financial instruments may include open futures contracts, swap contracts, written options, and foreign currency contracts.

See Accompanying Notes

Schedule of Investments

Short-Term Portfolio

September 30, 2008 (Unaudited)


	Principal Amount (000s)		Value (000s)
CORPORATE BONDS & NOTES 25.8%
Banking & Finance 20.2%
Allstate Life Global Funding II
3.461% due 05/21/2010	$	300	$	299
American Express Bank FSB
3.248% due 06/22/2009		10		10
American Express Centurion Bank
2.568% due 07/13/2010		300		275
American Honda Finance Corp.
3.954% due 06/20/2011		300		299
American International Group, Inc.
2.833% due 01/29/2010		200		130
Bank of America N.A.
3.404% due 05/12/2010		300		296
Bear Stearns Cos., LLC
2.901% due 02/23/2010		100		98
3.186% due 07/19/2010		200		196
Caterpillar Financial Services Corp.
4.226% due 06/24/2011		200		193
Citigroup Funding, Inc.
3.852% due 05/07/2010		200		189
Citigroup, Inc.
5.500% due 04/11/2013		100		87
General Electric Capital Corp.
3.712% due 05/22/2013		100		96
Goldman Sachs Group, Inc.
3.300% due 06/23/2009		200		190
John Deere Capital Corp.
3.567% due 06/10/2011		300		301
Lehman Brothers Holdings, Inc.
3.011% due 12/23/2010 (a)		100		13
Merrill Lynch & Co., Inc.
5.054% due 05/12/2010		200		193
6.050% due 08/15/2012		100		94
Metropolitan Life Global Funding I
2.847% due 05/17/2010		100		99
3.069% due 03/15/2012		300		292
Morgan Stanley
2.912% due 02/09/2009		100		87
National Australia Bank Ltd.
2.858% due 09/11/2009		100		100
National Rural Utilities Cooperative Finance Corp.
3.576% due 07/01/2010		200		200
Pricoa Global Funding I
3.613% due 06/04/2010		200		199
Rabobank Nederland NV
2.811% due 01/15/2009		200		200
3.209% due 05/19/2010		100		100
SLM Corp.
2.960% due 07/26/2010		100		76
UBS AG
3.714% due 05/05/2010		200		199
Wachovia Bank N.A.
3.704% due 05/14/2010		300		246
Wells Fargo & Co.
3.188% due 03/22/2010		300		297

				5,054

Industrials 5.1%
GlaxoSmithKline Capital, Inc.
3.429% due 05/13/2010		100		100
HJ Heinz Co.
6.428% due 12/01/2020		100		100
Home Depot, Inc.
2.944% due 12/16/2009		100		94
Honeywell International, Inc.
2.845% due 07/27/2009		100		99
New Albertson’s, Inc.
6.950% due 08/01/2009		100		99
Siemens Financieringsmaatschappij NV
2.854% due 08/14/2009		100		100
Southern Co.
3.511% due 08/20/2010		200		200
Sungard Data Systems, Inc.
3.750% due 01/15/2009		100		99
Walt Disney Co.
2.917% due 09/10/2009		100		100
Xerox Corp.
9.750% due 01/15/2009		100		102
XTO Energy, Inc.
4.625% due 06/15/2013		200		188

				1,281

Utilities 0.5%
Enel Finance International S.A.
5.700% due 01/15/2013		100		101
Midwest Generation LLC
8.300% due 07/02/2009		36		36

				137

Total Corporate Bonds & Notes (Cost $6,818)				6,472

U.S. GOVERNMENT AGENCIES 51.9%
Fannie Mae
3.267% due 12/25/2036		66		63
3.327% due 03/25/2034		26		25
3.357% due 08/25/2034		7		7
3.407% due 10/27/2037		100		92
3.557% due 05/25/2042		20		20
4.278% due 03/01/2044 - 07/01/2044		96		95
5.000% due 03/01/2037		481		469
5.500% due 11/01/2016 - 10/01/2038		9,054		9,076
6.000% due 06/01/2017 - 10/01/2037		2,039		2,068
7.003% due 10/01/2031		10		10
Freddie Mac
2.718% due 02/15/2019		321		313
2.838% due 06/15/2031		54		53
3.247% due 12/25/2036		116		112
4.278% due 10/25/2044 - 02/25/2045		454		426
4.478% due 07/25/2044		89		81
5.000% due 01/15/2018		40		40
5.500% due 08/15/2030		2		2
9.500% due 12/01/2019		4		4
Ginnie Mae
5.000% due 02/20/2032		19		19
6.000% due 03/15/2032		10		10

Total U.S. Government Agencies (Cost $13,004)				12,985

U.S. TREASURY OBLIGATIONS 1.7%
U.S. Treasury Notes
2.875% due 06/30/2010		200		203
5.000% due 02/15/2011		200		214

Total U.S. Treasury Obligations (Cost $413)				417

MORTGAGE-BACKED SECURITIES 6.6%
Banc of America Mortgage Securities, Inc.
6.094% due 07/20/2032		2		2
Bear Stearns Adjustable Rate Mortgage Trust
4.550% due 08/25/2035		62		60
4.750% due 10/25/2035		136		133
4.837% due 01/25/2034		10		10
Bear Stearns Alt-A Trust
5.504% due 09/25/2035		51		41
Bear Stearns Commercial Mortgage Securities
6.440% due 06/16/2030		4		4
Citigroup Mortgage Loan Trust, Inc.
4.748% due 08/25/2035		42		40
Countrywide Alternative Loan Trust
3.338% due 05/20/2046		26		24
3.487% due 02/25/2037		141		92
Countrywide Home Loan Mortgage Pass-Through Trust
3.547% due 06/25/2035		52		44
CS First Boston Mortgage Securities Corp.
3.076% due 03/25/2032		12		11
5.014% due 06/25/2033		44		43
5.549% due 05/25/2032		2		2
First Republic Mortgage Loan Trust
2.788% due 08/15/2032		32		29
Greenpoint Mortgage Funding Trust
3.427% due 06/25/2045		67		53
GSR Mortgage Loan Trust
4.539% due 09/25/2035		67		57
Harborview Mortgage Loan Trust
3.250% due 05/19/2035		76		49
Impac Secured Assets CMN Owner Trust
3.287% due 01/25/2037		38		36
Indymac Index Mortgage Loan Trust
3.307% due 01/25/2037		25		24
JPMorgan Mortgage Trust
5.021% due 02/25/2035		190		165
Mellon Residential Funding Corp.
2.928% due 12/15/2030		19		17
Merrill Lynch Floating Trust
2.558% due 06/15/2022		84		76
Merrill Lynch Mortgage Investors, Inc.
3.417% due 02/25/2036		32		26
MLCC Mortgage Investors, Inc.
4.207% due 10/25/2035		27		24
Structured Asset Mortgage Investments, Inc.
3.280% due 07/19/2035		11		7
3.360% due 09/19/2032		9		8
3.427% due 05/25/2036		77		47
3.437% due 05/25/2045		93		62
Structured Asset Securities Corp.
3.257% due 05/25/2036		29		27
Thornburg Mortgage Securities Trust
2.572% due 03/25/2037		81		76
3.317% due 11/25/2046		63		61
3.327% due 03/25/2046		100		99
3.337% due 06/25/2037		77		73
WaMu Mortgage Pass-Through Certificates
3.747% due 12/25/2027		30		26
3.855% due 02/25/2046		45		27
3.855% due 08/25/2046		63		36
4.055% due 11/25/2042		29		26
4.255% due 06/25/2042		6		5

Total Mortgage-Backed Securities (Cost $1,936)				1,642

ASSET-BACKED SECURITIES 5.6%
ACE Securities Corp.
3.257% due 12/25/2036		49		46
Asset-Backed Securities Corp. Home Equity
3.257% due 11/25/2036		17		17
Bear Stearns Asset-Backed Securities Trust
3.257% due 11/25/2036		40		38
3.287% due 10/25/2036		46		39
3.867% due 10/25/2032		3		3
Carrington Mortgage Loan Trust
3.307% due 06/25/2037		64		59
Chase Credit Card Master Trust
2.598% due 02/15/2011		100		100
Chase Issuance Trust
3.138% due 11/15/2011		100		99
4.319% due 09/15/2015		200		199
Countrywide Asset-Backed Certificates
3.257% due 05/25/2037		89		86
3.367% due 02/25/2036		21		19
3.577% due 05/25/2032		1		1
3.687% due 12/25/2031		3		2
CS First Boston Mortgage Securities Corp.
3.577% due 08/25/2032		3		2
First Franklin Mortgage Loan Asset-Backed Certificates
3.257% due 12/25/2036		29		29
Fremont Home Loan Trust
3.267% due 01/25/2037		56		52
GSAMP Trust
3.327% due 12/25/2035		1		1
Irwin Home Equity Corp.
3.747% due 07/25/2032		3		2
JPMorgan Mortgage Acquisition Corp.
3.257% due 10/25/2036		48		46
Lehman XS Trust
3.277% due 05/25/2046		13		13
Long Beach Mortgage Loan Trust
3.247% due 11/25/2036		33		32
3.387% due 08/25/2035		9		9
MASTR Asset-Backed Securities Trust
3.257% due 11/25/2036		43		42
Merrill Lynch Mortgage Investors, Inc.
3.237% due 06/25/2037		13		13
Nelnet Student Loan Trust
2.890% due 07/25/2016		2		2
New Century Home Equity Loan Trust
3.467% due 06/25/2035		21		16
Option One Mortgage Loan Trust
3.247% due 02/25/2037		22		22
Renaissance Home Equity Loan Trust
3.567% due 11/25/2034		18		15
3.647% due 08/25/2033		12		10
3.707% due 12/25/2033		60		50
SLC Student Loan Trust
2.784% due 02/15/2015		56		56
SLM Student Loan Trust
4.173% due 04/25/2023		200		201
Specialty Underwriting & Residential Finance
3.252% due 11/25/2037		30		29
Structured Asset Investment Loan Trust
3.257% due 07/25/2036		28		27
Structured Asset Securities Corp.
3.497% due 01/25/2033		4		4
Wells Fargo Home Equity Trust
3.447% due 10/25/2035		20		19

Total Asset-Backed Securities (Cost $1,458)				1,400

SHORT-TERM INSTRUMENTS 19.6%
Certificates of Deposit 2.4%
Bank of Ireland
2.831% due 01/15/2010		100		99
Barclays Bank PLC
2.912% due 08/10/2009		200		199
Nordea Bank Finland PLC
3.682% due 12/01/2008		100		100
Unicredito Italiano NY
3.088% due 05/15/2009		200		200

				598

Commercial Paper 6.8%
Federal Home Loan Bank
0.087% due 10/07/2008		500		500
2.270% due 10/01/2008		700		700
Freddie Mac
2.500% due 11/24/2008		500		498

				1,698

Repurchase Agreements 10.4%
Greenwich Capital Markets, Inc.
0.250% due 10/01/2008		2,600		2,600
(Dated 09/30/2008. Collateralized by U.S. Treasury Inflation Protected Securities 3.875% due 01/15/2009 valued at $2,656. Repurchase proceeds are $2,600.)

Total Short-Term Instruments (Cost $4,898)				4,896

Purchased Options (d) 0.1% (Cost $29)				22
Total Investments 111.3% (Cost $28,556)			$	27,834
Written Options (e) (0.1%) (Premiums $28)				(25	)
Other Assets and Liabilities (Net) (11.2%)				(2,808	)

Net Assets 100.0%			$	25,001

Notes to Schedule of Investments (amounts in thousands*, except number of contracts):

* A zero balance may reflect actual amounts rounding to less than one thousand.

(a) Security is in default.

(b) Cash of $170 has been pledged as collateral for the following open futures contracts on September 30, 2008:


Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Euribor December Futures	Long	12/2009	1	$	4
90-Day Eurodollar December Futures	Long	12/2009	53		89
90-Day Eurodollar March Futures	Long	03/2009	1		2
90-Day Eurodollar September Futures	Long	09/2009	47		116
Euro-Schatz December Futures	Short	12/2008	9		(8	)
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2008	36		(82	)

				$	121

Credit Default Swaps on Corporate and Sovereign Issues - Sell Protection⁽¹⁾


Reference Obligation	Fixed Deal Receive Rate		Maturity Date	Counterparty	Implied Credit Spread at September 30, 2008⁽³⁾		Notional Amount⁽⁴⁾		Market Value			Upfront Premiums Paid/ (Received)		Unrealized (Depreciation)
General Electric Capital Corp. 6.000% due 06/15/2012	1.020	%	06/20/2010	DUB	6.824	%	$	100	$	(9	)	$	0	$	(9	)
Morgan Stanley 6.600% due 04/01/2012	0.850	%	09/20/2012	JPM	10.551	%		200		(47	)		0		(47	)

									$	(56	)	$	0	$	(56	)

Credit Default Swaps on Credit Indices - Buy Protection⁽²⁾


Reference Obligation	Fixed Deal (Pay) Rate		Maturity Date	Counterparty	Notional Amount⁽⁴⁾		Market Value⁽⁵⁾		Upfront Premiums Paid/ (Received)			Unrealized Appreciation
CDX.IG-10 5 Year Index	(1.550	%)	06/20/2013	DUB	$	100	$	1	$	0		$	1
CDX.IG-10 5 Year Index	(1.550	%)	06/20/2013	MSC		100		0		(1	)		1

							$	1	$	(1	)	$	2

Credit Default Swaps on Credit Indices - Sell Protection⁽¹⁾


Reference Obligation	Fixed Deal Receive Rate		Maturity Date	Counterparty	Notional Amount⁽⁴⁾		Market Value⁽⁵⁾			Upfront Premiums Paid/ (Received)			Unrealized Appreciation
CDX.IG-9 5 Year Index	0.600	%	12/20/2012	JPM	$	500	$	(21	)	$	(22	)	$	1
CDX.IG-9 5 Year Index 30-100%	0.708	%	12/20/2012	DUB		200		3			0			3

							$	(18	)	$	(22	)	$	4

⁽¹⁾

⁽²⁾

If the Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the underlying securities comprising the referenced index.

⁽³⁾

⁽⁴⁾	The maximum potential amount the Portfolio 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 that particular swap agreement.

⁽⁵⁾

Interest Rate Swaps


Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Maturity Date	Counterparty	Notional Amount		Market Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
Pay	3-Month AUD Bank Bill	7.000	%	06/15/2010	UBS	AUD	1,200	$	8		$	4		$	4
Receive	3-Month USD-LIBOR	4.000	%	12/17/2013	CITI	$	500		3			6			(3	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	BCLY		400		(15	)		0			(15	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	DUB		200		(8	)		0			(8	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	MSC		700		(26	)		(16	)		(10	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	RBS		200		(8	)		(4	)		(4	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2023	MLP		2,800		(102	)		11			(113	)
Pay	6-Month AUD Bank Bill	7.500	%	03/15/2011	UBS	AUD	200		5			1			4
Pay	6-Month EUR-LIBOR	4.500	%	03/19/2010	MSC	EUR	600		(4	)		3			(7	)
Pay	6-Month EUR-LIBOR	4.500	%	03/18/2011	BNP		200		0			0			0
Pay	6-Month EUR-LIBOR	4.500	%	03/18/2014	JPM		100		0			0			0
Pay	6-Month GBP-LIBOR	6.000	%	06/19/2009	RBS	GBP	600		1			5			(4	)

								$	(146	)	$	10		$	(156	)

(d) Purchased options outstanding on September 30, 2008:

Interest Rate Swaptions


Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Cost		Value
Call - OTC 2-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	3.500	%	02/02/2009	$	100	$	1	$	1
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.150	%	12/15/2008		700		6		3
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.150	%	02/02/2009		600		6		3
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.600	%	07/02/2009		500		5		4
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.850	%	08/03/2009		1,000		11		11

									$	29	$	22

(e) Written options outstanding on September 30, 2008:

Interest Rate Swaptions


Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Value
Call - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	4.600	%	02/02/2009	$	100	$	3	$	3
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.300	%	12/15/2008		200		5		4
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.250	%	02/02/2009		200		6		4
Call - OTC 5-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.200	%	07/02/2009		200		5		4
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.550	%	08/03/2009		300		9		10

									$	28	$	25

(f) Short sales outstanding on September 30, 2008:


Description	Coupon		Maturity Date	Principal Amount		Proceeds		Value⁽⁶⁾
Fannie Mae	5.500	%	10/01/2038	$	3,000	$	2,952	$	3,030
U.S. Treasury Notes	5.000	%	02/15/2011		400		426		431

						$	3,378	$	3,461

⁽⁶⁾	Market value includes $3 of interest payable on short sales.

(g) Foreign currency contracts outstanding on September 30, 2008:


Type	Currency	Counterparty	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Sell	AUD	UBS	250	10/2008	$	17	$	0		$	17
Sell	BRL	HSBC	42	12/2008		3		0			3
Sell		RBC	133	12/2008		3		0			3
Buy		UBS	176	12/2008		0		(4	)		(4	)
Buy		RBC	133	06/2009		0		(3	)		(3	)
Buy	CLP	JPM	10,534	05/2009		0		(3	)		(3	)
Buy	CNY	BCLY	704	07/2009		0		(7	)		(7	)
Buy		DUB	1,796	07/2009		0		(16	)		(16	)
Buy		HSBC	906	07/2009		0		(10	)		(10	)
Buy	EUR	CITI	5	10/2008		0		0			0
Sell		UBS	5	10/2008		0		0			0
Sell	GBP	UBS	447	11/2008		16		0			16
Sell	JPY	BCLY	3,260	10/2008		0		0			0
Buy		DUB	3,080	10/2008		1		0			1
Sell		BCLY	3,260	11/2008		0		0			0
Sell	MXN	CITI	1,760	11/2008		5		0			5
Buy		RBC	1,760	11/2008		0		(6	)		(6	)
Buy		CITI	1,760	05/2009		0		(5	)		(5	)
Buy	NOK	MSC	347	12/2008		0		(3	)		(3	)
Buy	PLN	HSBC	443	05/2009		0		(14	)		(14	)
Sell		MSC	424	05/2009		16		0			16
Sell	RUB	BCLY	4,998	11/2008		16		0			16
Buy		DUB	7,775	11/2008		0		(11	)		(11	)
Buy		HSBC	2,021	05/2009		0		(6	)		(6	)
Buy	SGD	BCLY	101	11/2008		0		(3	)		(3	)
Buy		BOA	54	11/2008		0		(2	)		(2	)
Buy		UBS	54	11/2008		0		(2	)		(2	)
Buy	ZAR	JPM	213	12/2008		0		(1	)		(1	)

					$	77	$	(96	)	$	(19	)

(h) Fair Value Measurements⁺

The following is a summary of the fair valuations according to the inputs used as of September 30, 2008 in valuing the Portfolio’s assets and liabilities:


	Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Other Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)		Value at 09/30/2008
Investments, at value	$	0	$	27,834		$	0	$	27,834
Short Sales, at value		0		(3,458	)		0		(3,458	)
Other Financial Instruments⁺⁺		121		(253	)		1		(131	)

Total	$	121	$	24,123		$	1	$	24,245

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Portfolio during the period ending September 30, 2008:


	Beginning Balance at 12/31/2007		Net Purchases/ (Sales)			Accrued Discounts/ (Premiums)		Total Realized Gain/(Loss)		Total Unrealized Appreciation/ (Depreciation)			Net Transfers In/(Out) of Level 3			Ending Balance at 09/30/2008
Investments, at value	$	162	$	(48	)	$	0	$	0	$	(2	)	$	(112	)	$	0
Other Financial Instruments⁺⁺		0		0			0		0		3			(2	)		1

Total	$	162	$	(48	)	$	0	$	0	$	1		$	(114	)	$	1

⁺	See note 3 in the Supplementary Notes to Schedule of Investments for additional information.

⁺⁺	Other financial instruments may include open futures contracts, swap contracts, written options, and foreign currency contracts.

See Accompanying Notes

Schedule of Investments

Small Cap StocksPLUS^® TR Portfolio

September 30, 2008 (Unaudited)


	Principal Amount (000s)		Value (000s)
CORPORATE BONDS & NOTES 41.5%
Banking & Finance 25.7%
American Express Bank FSB
3.248% due 06/22/2009	$	30	$	30
American Honda Finance Corp.
2.852% due 02/09/2010		30		30
American International Group, Inc.
5.850% due 01/16/2018		20		10
Bank of America Corp.
5.750% due 12/01/2017		30		25
6.000% due 09/01/2017		10		9
8.000% due 12/29/2049		30		24
Barclays Bank PLC
6.050% due 12/04/2017		10		9
Bear Stearns Cos. LLC
2.927% due 05/18/2010		30		29
3.084% due 09/09/2009		30		30
Citigroup Capital XXI
8.300% due 12/21/2077		10		7
Citigroup, Inc.
2.957% due 05/18/2010		30		28
5.500% due 04/11/2013		20		17
Countrywide Home Loans, Inc.
6.250% due 04/15/2009		50		49
Credit Suisse USA, Inc.
3.004% due 08/15/2010		30		29
Ford Motor Credit Co. LLC
7.250% due 10/25/2011		30		19
General Electric Capital Corp.
5.875% due 01/14/2038		20		15
Goldman Sachs Group, Inc.
3.129% due 07/23/2009		30		28
HSBC Finance Corp.
3.052% due 05/10/2010		30		28
3.087% due 11/16/2009		20		20
JPMorgan Chase & Co.
2.842% due 05/07/2010		30		30
Lehman Brothers Holdings, Inc.
6.200% due 09/26/2014 (a)		10		1
Merrill Lynch & Co., Inc.
4.610% due 05/20/2009		100		98
Monumental Global Funding Ltd.
5.500% due 04/22/2013		30		29
Morgan Stanley
3.071% due 01/15/2010		50		37
SLM Corp.
2.940% due 07/27/2009		30		26
Wachovia Corp.
2.861% due 12/01/2009		30		26
7.980% due 02/28/2049		100		42
Wells Fargo & Co.
5.625% due 12/11/2017		30		28

				753

Industrials 10.0%
Amgen, Inc.
2.889% due 11/28/2008		15		15
Citigroup Global Markets Deutschland AG for OAO Gazprom
10.500% due 10/21/2009		30		30
Daimler Finance North America LLC
3.331% due 10/31/2008		38		38
Home Depot, Inc.
2.944% due 12/16/2009		20		19
Kinder Morgan Energy Partners LP
5.950% due 02/15/2018		30		27
Oracle Corp.
4.950% due 04/15/2013		30		30
Time Warner, Inc.
3.034% due 11/13/2009		100		96
Wal-Mart Stores, Inc.
6.200% due 04/15/2038		20		18
Walt Disney Co.
2.917% due 09/10/2009		20		20

				293

Utilities 5.8%
AT&T, Inc.
2.894% due 02/05/2010		100		100
NiSource Finance Corp.
3.381% due 11/23/2009		30		29
Ohio Power Co.
2.971% due 04/05/2010		30		29
Verizon Communications, Inc.
2.838% due 04/03/2009		10		10

				168

Total Corporate Bonds & Notes (Cost $1,369)				1,214

MUNICIPAL BONDS & NOTES 0.7%
Golden State, California Tobacco Securitization Corp. Revenue Bonds, Series 2007
5.750% due 06/01/2047		30		22

Total Municipal Bonds & Notes (Cost $28)				22

U.S. GOVERNMENT AGENCIES 64.9%
Fannie Mae
4.500% due 06/25/2043		1		1
5.000% due 12/25/2016 - 10/01/2038		225		220
5.500% due 10/01/2038		500		498
6.000% due 12/01/2026 - 11/01/2037 (b)		951		964
Freddie Mac
2.638% due 08/15/2019 - 10/15/2020		108		106
2.718% due 02/15/2019		24		23
4.250% due 09/15/2024		10		10
6.000% due 08/01/2027 - 09/01/2027 (b)		72		73

Total U.S. Government Agencies (Cost $1,902)				1,895

MORTGAGE-BACKED SECURITIES 6.8%
Banc of America Commercial Mortgage, Inc.
5.838% due 06/10/2049		30		26
Banc of America Funding Corp.
5.878% due 03/20/2036		15		13
Bear Stearns Structured Products, Inc.
5.772% due 12/26/2046		26		21
Citigroup Mortgage Loan Trust, Inc.
3.277% due 01/25/2037		15		13
Countrywide Alternative Loan Trust
3.407% due 06/25/2037		25		15
Countrywide Home Loan Mortgage Pass-Through Trust
4.727% due 02/20/2035		14		12
4.797% due 11/25/2034		11		9
Deutsche ALT-A Securities, Inc. Alternate Loan Trust
3.287% due 03/25/2037		12		11
GS Mortgage Securities Corp. II
2.577% due 03/06/2020		9		9
Harborview Mortgage Loan Trust
5.145% due 07/19/2035		17		15
JPMorgan Chase Commercial Mortgage Securities Corp.
5.420% due 01/15/2049		30		25
Lehman Brothers Floating Rate Commercial Mortgage Trust
2.568% due 09/15/2021		3		3
Morgan Stanley Capital I
6.077% due 06/11/2049		30		26

Total Mortgage-Backed Securities (Cost $225)				198

ASSET-BACKED SECURITIES 9.6%
Bear Stearns Asset-Backed Securities Trust
3.297% due 06/25/2047		17		17
BNC Mortgage Loan Trust
3.307% due 05/25/2037		21		19
Citigroup Mortgage Loan Trust, Inc.
3.247% due 12/25/2036		18		17
3.317% due 03/25/2037		19		18
Countrywide Asset-Backed Certificates
3.287% due 10/25/2037		18		17
3.317% due 10/25/2046		9		8
3.387% due 09/25/2036		21		19
First Franklin Mortgage Loan Asset-Backed Certificates
3.257% due 10/25/2036		12		12
3.257% due 11/25/2036		15		14
Fremont Home Loan Trust
3.307% due 05/25/2036		11		11
MASTR Asset-Backed Securities Trust
3.247% due 08/25/2036		7		7
3.287% due 05/25/2037		17		16
Morgan Stanley ABS Capital I
3.247% due 01/25/2037		16		15
3.257% due 10/25/2036		10		9
Nationstar Home Equity Loan Trust
3.327% due 04/25/2037		19		18
Securitized Asset-Backed Receivables LLC Trust
3.247% due 01/25/2037		16		15
Soundview Home Equity Loan Trust
3.287% due 06/25/2037		20		19
Structured Asset Securities Corp.
3.307% due 01/25/2037		17		16
Wells Fargo Home Equity Trust
3.307% due 03/25/2037		13		13

Total Asset-Backed Securities (Cost $296)				280


	Shares
CONVERTIBLE PREFERRED STOCKS 0.1%
American International Group, Inc.
8.500% due 08/01/2011		200		2

Total Convertible Preferred Stocks (Cost $15)				2

Purchased Options (e) 0.0% (Cost $1)			$	0
Total Investments 123.6% (Cost $3,836)			$	3,611
Other Assets and Liabilities (Net) (23.6%)				(689	)

Net Assets 100.0%			$	2,922

Notes to Schedule of Investments (amounts in thousands*, except number of contracts):

* A zero balance may reflect actual amounts rounding to less than one thousand.

(a) Security is in default.

(b) The average amount of borrowings while outstanding during the period ended September 30, 2008 was $1,426 at a weighted average interest rate of 2.807%. On September 30, 2008, securities valued at $1,032 were pledged as collateral for reverse repurchase agreements.


Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Eurodollar December Futures	Long	12/2008	6	$	(5	)
90-Day Eurodollar December Futures	Long	12/2009	1		1
90-Day Eurodollar June Futures	Long	06/2009	2		2
90-Day Eurodollar March Futures	Long	03/2009	3		1
90-Day Eurodollar September Futures	Long	09/2009	2		2
E-mini Russell 2000 Index December Futures	Long	12/2008	43		(166	)
U.S. Treasury 30-Year Bond December Futures	Long	12/2008	1		(1	)
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2009	1		3
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2009	1		2

				$	(161	)

(d) Swap agreements outstanding on September 30, 2008:

Credit Default Swaps on Corporate and Sovereign Issues - Sell Protection⁽¹⁾


Reference Obligation	Fixed Deal Receive Rate		Maturity Date	Counterparty	Implied Credit Spread at September 30, 2008⁽³⁾		Notional Amount⁽⁴⁾		Market Value			Upfront Premiums Paid/ (Received)		Unrealized (Depreciation)
Panama Government International Bond 8.875% due 09/30/2027	0.300	%	02/20/2009	CSFB	0.844	%	$	30	$	0		$	0	$	0
Ukraine Government International Bond 7.650% due 06/11/2013	0.610	%	02/20/2009	MSC	5.288	%		30		(1	)		0		(1	)
Berkshire Hathaway Finance Corp. 4.625% due 10/15/2013	0.880	%	03/20/2013	RBS	1.386	%		100		(2	)		0		(2	)
Indonesia Government International Bond 6.750% due 03/10/2014	1.085	%	03/20/2012	RBS	3.177	%		30		(2	)		0		(2	)

									$	(5	)	$	0	$	(5	)

Credit Default Swaps on Credit Indices - Buy Protection⁽²⁾


Reference Obligation	Fixed Deal (Pay) Rate		Maturity Date	Counterparty	Notional Amount⁽⁴⁾		Market Value⁽⁵⁾		Upfront Premiums Paid/ (Received)			Unrealized Appreciation
CDX.IG-10 5 Year Index	(1.550	%)	06/20/2013	DUB	$	200	$	1	$	(1	)	$	2
CDX.IG-10 5 Year Index	(1.550	%)	06/20/2013	MSC		100		0		(1	)		1

							$	1	$	(2	)	$	3

⁽¹⁾

If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation.

⁽²⁾

If the Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the underlying securities comprising the referenced index.

⁽³⁾

⁽⁴⁾	The maximum potential amount the Portfolio 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 that particular swap agreement.

⁽⁵⁾

Interest Rate Swaps


Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Maturity Date	Counterparty	Notional Amount		Market Value			Upfront Premiums Paid/ (Received)		Unrealized Appreciation/ (Depreciation)
Pay	3-Month AUD Bank Bill	7.000	%	06/15/2010	UBS	AUD	100	$	0		$	0	$	0
Pay	3-Month USD-LIBOR	4.000	%	06/17/2010	MSC	$	200		2			0		2
Pay	6-Month GBP-LIBOR	6.000	%	06/19/2009	GSC	GBP	100		1			0		1
Pay	France CPI ex-Tobacco Index	1.955	%	03/28/2012	RBS	EUR	30		(1	)		0		(1	)

								$	2		$	0	$	2

(e) Purchased options outstanding on September 30, 2008:

Options on Exchange-Traded Futures Contracts


Description	Exercise Price		Expiration Date	# of Contracts	Cost		Value
Put - CBOT U.S. Treasury 30-Year Bond December Futures	$	92.000	11/21/2008	1	$	0	$	0
Put - NYBEX Mini Russell 2000 Index December Futures		250.000	12/19/2008	44		1		0

					$	1	$	0

Options on Securities


Description	Strike Price		Expiration Date	Notional Amount		Cost		Value
Put - OTC Fannie Mae 5.000% due 12/01/2038	$	72.000	12/04/2008	$	200	$	0	$	0
Put - OTC Fannie Mae 5.500% due 12/01/2038		75.000	12/04/2008		500		0		0

						$	0	$	0

(f) Foreign currency contracts outstanding on September 30, 2008:


Type	Currency	Counterparty	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	AED	BCLY	1	04/2009	$	0	$	0		$	0
Buy		HSBC	1	04/2009		0		0			0
Buy	AUD	MSC	2	10/2008		0		0			0
Sell		MSC	4	10/2008		0		0			0
Buy		UBS	2	10/2008		0		0			0
Sell	BRL	BNP	2	12/2008		0		0			0
Buy		HSBC	77	12/2008		0		(5	)		(5	)
Sell		HSBC	2	12/2008		0		0			0
Sell		MSC	12	12/2008		0		0			0
Sell		RBC	66	12/2008		2		0			2
Buy		UBS	14	12/2008		0		0			0
Sell		UBS	8	12/2008		0		0			0
Buy		RBC	66	06/2009		0		(2	)		(2	)
Buy	CNY	DUB	27	11/2008		0		0			0
Buy		JPM	20	11/2008		0		0			0
Buy		BCLY	78	07/2009		0		(1	)		(1	)
Buy		DUB	51	07/2009		0		(1	)		(1	)
Buy		HSBC	13	07/2009		0		0			0
Buy		JPM	20	07/2009		0		0			0
Buy	EUR	CITI	7	10/2008		0		0			0
Sell		CITI	8	10/2008		0		0			0
Buy		DUB	2	10/2008		0		0			0
Buy		GSC	7	10/2008		0		(1	)		(1	)
Buy		UBS	4	10/2008		0		0			0
Sell		UBS	20	10/2008		1		0			1
Buy	GBP	BOA	1	10/2008		0		0			0
Buy		UBS	9	10/2008		0		(1	)		(1	)
Sell		UBS	34	11/2008		1		0			1
Buy	INR	DUB	48	11/2008		0		0			0
Buy		HSBC	81	11/2008		0		0			0
Buy		JPM	122	11/2008		0		(1	)		(1	)
Sell		JPM	230	11/2008		1		0			1
Buy	KWD	HSBC	0	04/2009		0		0			0
Buy	MYR	BCLY	7	11/2008		0		0			0
Buy		JPM	13	11/2008		0		0			0
Buy		JPM	10	02/2009		0		0			0
Buy	PHP	JPM	200	11/2008		0		0			0
Buy		JPM	349	02/2009		0		0			0
Sell	RUB	BCLY	114	11/2008		0		0			0
Buy		HSBC	266	11/2008		0		(1	)		(1	)
Sell		HSBC	152	11/2008		1		0			1
Buy		JPM	152	05/2009		0		(1	)		(1	)
Sell		UBS	152	05/2009		0		0			0
Buy	SAR	HSBC	1	04/2009		0		0			0
Buy		JPM	1	04/2009		0		0			0
Buy	SGD	BCLY	12	11/2008		0		0			0
Sell		BCLY	1	11/2008		0		0			0
Buy		CITI	4	11/2008		0		0			0
Buy		JPM	5	11/2008		0		0			0
Sell		JPM	1	11/2008		0		0			0
Sell		MSC	1	11/2008		0		0			0
Sell		UBS	1	11/2008		0		0			0
Sell	ZAR	HSBC	3	12/2008		0		0			0
Buy		UBS	3	12/2008		0		0			0

					$	6	$	(14	)	$	(8	)

(g) Fair Value Measurements⁺

The following is a summary of the fair valuations according to the inputs used as of September 30, 2008 in valuing the Portfolio’s assets and liabilities:


	Quoted Prices in Active Markets for Identical Investments (Level 1)			Significant Other Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)			Value at 9/30/2008
Investments, at value	$	2		$	3,609		$	0		$	3,611
Other Financial Instruments⁺⁺		(161	)		(7	)		(1	)		(169	)

Total	$	(159	)	$	3,602		$	(1	)	$	3,442

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Portfolio during the period ending September 30, 2008:


	Beginning Balance at 12/31/2007		Net Purchases/ (Sales)		Accrued Discounts/ (Premiums)		Total Realized Gain/(Loss)		Total Unrealized Appreciation/ (Depreciation)			Net Transfers In/ (Out) of Level 3		Ending Balance at 09/30/2008
Investments, at value	$	0	$	0	$	0	$	0	$	0		$	0	$	0
Other Financial Instruments⁺⁺		0		0		0		0		(1	)		0		(1	)

Total	$	0	$	0	$	0	$	0	$	(1	)	$	0	$	(1	)

⁺	See note 3 in the Supplementary Notes to Schedule of Investments for additional information.

⁺⁺	Other financial instruments may include open futures contracts, swap contracts, written options, and foreign currency contracts.

See Accompanying Notes.

Small Cap StocksPLUS^® TR Portfolio

Schedule of Investments

StocksPLUS^® Growth and Income Portfolio

September 30, 2008 (Unaudited)


	Principal Amount (000s)		Value (000s)
BANK LOAN OBLIGATIONS 0.1%
Metro-Goldwyn-Mayer, Inc.
6.051% due 04/08/2012	$	99	$	70

Total Bank Loan Obligations (Cost $99)				70

CORPORATE BONDS & NOTES 45.5%
Banking & Finance 32.5%
American Express Bank FSB
3.248% due 10/20/2009		200		196
American Express Centurion Bank
2.648% due 11/16/2009		300		284
American Express Credit Corp.
2.547% due 11/09/2009		200		189
American Honda Finance Corp.
2.852% due 02/09/2010		900		895
American International Group, Inc.
2.538% due 06/16/2009		800		480
Bank of America Corp.
8.000% due 12/29/2049		1,400		1,110
Bank of Ireland
3.072% due 12/19/2008		900		899
Bear Stearns Cos. LLC
2.931% due 10/22/2010		200		195
3.014% due 08/15/2011		100		97
3.061% due 07/16/2009		900		894
3.250% due 03/25/2009		200		197
Capital One Financial Corp.
3.097% due 09/10/2009		100		93
CIT Group, Inc.
5.000% due 11/24/2008		300		291
Citigroup Funding, Inc.
2.991% due 03/02/2009		900		887
3.476% due 06/26/2009		100		98
Countrywide Financial Corp.
2.931% due 01/05/2009		200		197
3.242% due 05/07/2012		100		89
Enron Credit Linked Notes Trust
8.000% due 08/15/2049 (a)		1,233		31
General Electric Capital Corp.
2.825% due 10/26/2009		100		99
Goldman Sachs Group, Inc.
2.887% due 11/16/2009		900		833
3.812% due 03/30/2009		200		193
HSBC Finance Corp.
3.087% due 11/16/2009		600		590
ICICI Bank Ltd.
3.328% due 01/12/2010		300		291
International Lease Finance Corp.
4.950% due 02/01/2011		600		444
Keycorp
3.529% due 05/26/2009		1,100		1,077
Lehman Brothers Holdings, Inc.
2.889% due 01/23/2009 (a)		300		39
2.907% due 11/16/2009 (a)		500		65
3.005% due 07/18/2011 (a)		100		13
Merrill Lynch & Co., Inc.
2.839% due 10/23/2008		200		200
2.893% due 12/04/2009		200		190
3.234% due 12/22/2008		500		484
5.054% due 05/12/2010		100		96
Morgan Stanley
2.881% due 01/15/2010		800		617
4.904% due 05/14/2010		200		146
Osiris Capital PLC
5.641% due 01/15/2010		500		496
SLM Corp.
2.880% due 01/26/2009		200		194
2.940% due 07/27/2009		400		352
2.959% due 12/15/2008		200		198
3.019% due 03/15/2011		100		65
Sun Life Financial Global Funding LP
2.951% due 07/06/2011		600		580
Wachovia Corp.
2.921% due 10/15/2011		900		621
7.980% due 02/28/2049		100		42
Wachovia Mortgage FSB
2.842% due 05/08/2009		850		846
Wells Fargo & Co.
3.552% due 05/01/2033		500		502

				16,395

Industrials 8.1%
Anadarko Petroleum Corp.
3.219% due 09/15/2009		200		198
Citigroup Global Markets Deutschland AG for OAO Gazprom
10.500% due 10/21/2009		100		101
Daimler Finance North America LLC
3.169% due 03/13/2009		100		100
General Electric Co.
2.854% due 12/09/2008		200		199
General Mills, Inc.
2.921% due 01/22/2010		100		99
Home Depot, Inc.
2.944% due 12/16/2009		100		94
Hospira, Inc.
4.242% due 03/30/2010		200		194
New Albertson’s, Inc.
6.950% due 08/01/2009		300		297
Pemex Project Funding Master Trust
3.411% due 12/03/2012		700		663
Reynolds American, Inc.
3.519% due 06/15/2011		100		95
Rockies Express Pipeline LLC
5.100% due 08/20/2009		200		200
Time Warner, Inc.
3.034% due 11/13/2009		900		864
UnitedHealth Group, Inc.
4.102% due 02/07/2011		500		490
Weyerhaeuser Co.
4.198% due 09/24/2009		200		198
Xerox Corp.
9.750% due 01/15/2009		300		305

				4,097

Utilities 4.9%
Ameritech Capital Funding Corp.
6.250% due 05/18/2009		500		508
AT&T, Inc.
2.894% due 02/05/2010		100		100
3.014% due 11/14/2008		100		100
Pepco Holdings, Inc.
3.435% due 06/01/2010		1,100		1,085
Qwest Corp.
6.069% due 06/15/2013		700		598
Telecom Italia Capital S.A.
3.281% due 02/01/2011		100		94

				2,485

Total Corporate Bonds & Notes (Cost $26,786)				22,977


U.S. GOVERNMENT AGENCIES 27.6%
Fannie Mae
5.000% due 06/01/2018 - 11/01/2038		3,014		2,933
5.000% due 06/01/2023 (d)		300		298
5.500% due 12/01/2037 (d)		990		989
5.500% due 10/01/2038		1,000		996
6.000% due 04/01/2016 - 11/01/2033 (d)		128		131
6.000% due 11/01/2016 - 10/01/2038		1,028		1,041
6.250% due 02/01/2011		900		942
8.000% due 05/01/2030 - 09/01/2031		29		31
Freddie Mac
2.638% due 07/15/2019		230		225
2.638% due 08/15/2019 - 10/15/2020 (d)		2,311		2,259
2.718% due 02/15/2019 (d)		883		861
5.500% due 08/15/2030 - 10/01/2038		1,003		997
6.000% due 07/01/2016		16		16
6.000% due 05/01/2031 - 07/01/2038 (d)		1,571		1,596
6.500% due 10/25/2043 (d)		379		385
Ginnie Mae
5.125% due 11/20/2029		83		84
5.375% due 02/20/2027		102		103
8.000% due 04/15/2027 - 12/15/2029		53		58
8.500% due 04/20/2030		2		2

Total U.S. Government Agencies (Cost $14,009)				13,947


U.S. TREASURY OBLIGATIONS 0.8%
Treasury Inflation Protected Securities (b)
1.750% due 01/15/2028		105		91
U.S. Treasury Notes
3.250% due 12/31/2009		300		305

Total U.S. Treasury Obligations (Cost $404)				396


MORTGAGE-BACKED SECURITIES 8.1%
Banc of America Funding Corp.
4.135% due 05/25/2035		388		331
Banc of America Mortgage Securities, Inc.
6.500% due 10/25/2031		110		111
Bear Stearns Adjustable Rate Mortgage Trust
4.486% due 05/25/2033		146		139
6.752% due 02/25/2033		47		46
Bear Stearns Mortgage Funding Trust
3.277% due 02/25/2037		193		174
Citigroup Commercial Mortgage Trust
2.558% due 08/15/2021		3		3
Countrywide Alternative Loan Trust
3.387% due 05/25/2047		162		99
3.855% due 02/25/2036		271		162
6.000% due 10/25/2033		219		205
CS First Boston Mortgage Securities Corp.
5.549% due 05/25/2032		69		67
Deutsche ALT-A Securities, Inc. Alternate Loan Trust
3.277% due 01/25/2047		143		134
Greenpoint Mortgage Funding Trust
3.287% due 10/25/2046		125		108
Harborview Mortgage Loan Trust
3.120% due 01/19/2038		144		133
3.220% due 01/19/2038		306		185
Impac CMB Trust
3.967% due 10/25/2033		14		12
Indymac Index Mortgage Loan Trust
3.297% due 11/25/2046		96		90
Merrill Lynch Floating Trust
2.558% due 06/15/2022		757		689
Morgan Stanley Capital I
2.548% due 10/15/2020		36		32
Residential Funding Mortgage Securities I
6.500% due 03/25/2032		141		133
Structured Adjustable Rate Mortgage Loan Trust
4.940% due 03/25/2034		89		77
Structured Asset Mortgage Investments, Inc.
3.280% due 07/19/2035		108		90
3.337% due 03/25/2037		237		149
3.487% due 02/25/2036		133		86
Thornburg Mortgage Securities Trust
3.317% due 11/25/2046		127		121
3.337% due 06/25/2037		163		156
Wachovia Bank Commercial Mortgage Trust
2.578% due 09/15/2021		137		125
WaMu Mortgage Pass-Through Certificates
4.198% due 12/25/2046		719		439

Total Mortgage-Backed Securities (Cost $5,091)				4,096


ASSET-BACKED SECURITIES 11.9%
Bear Stearns Asset-Backed Securities Trust
3.267% due 01/25/2037		215		201
Chase Issuance Trust
2.938% due 01/15/2012		500		493
4.319% due 09/15/2015		500		499
Citigroup Mortgage Loan Trust, Inc.
3.267% due 01/25/2037		131		129
3.317% due 08/25/2036		529		512
Countrywide Asset-Backed Certificates
3.257% due 07/25/2037		532		504
Credit-Based Asset Servicing & Securitization LLC
3.297% due 12/25/2037		291		279
First Franklin Mortgage Loan Asset-Backed Certificates
3.247% due 01/25/2038		198		186
3.257% due 11/25/2036		147		138
Ford Credit Auto Owner Trust
4.360% due 06/15/2010		318		318
HSBC Asset Loan Obligation
3.267% due 12/25/2036		507		467
HSI Asset Securitization Corp. Trust
3.257% due 12/25/2036		49		46
Long Beach Mortgage Loan Trust
3.247% due 11/25/2036		231		224
3.487% due 10/25/2034		5		4
Morgan Stanley ABS Capital I
3.247% due 10/25/2036		35		34
Option One Mortgage Loan Trust
3.257% due 01/25/2037		72		69
Residential Asset Securities Corp.
3.277% due 11/25/2036		84		82
Sears Credit Account Master Trust
2.708% due 04/16/2013		800		792
Securitized Asset-Backed Receivables LLC Trust
3.267% due 12/25/2036		116		108
SLM Student Loan Trust
2.800% due 07/25/2018		109		109
3.480% due 07/25/2013		593		592
Soundview Home Equity Loan Trust
3.287% due 01/25/2037		120		117
Structured Asset Securities Corp.
3.257% due 10/25/2036		111		106

Total Asset-Backed Securities (Cost $6,188)				6,009


SOVEREIGN ISSUES 4.7%
Export-Import Bank of Korea
3.047% due 11/16/2010		1,900		1,867
Korea Development Bank
3.092% due 11/22/2012		500		486

Total Sovereign Issues (Cost $2,400)				2,353


	Shares
CONVERTIBLE PREFERRED STOCKS 0.8%
Wachovia Corp.
7.500% due 12/31/2049		1,300		393

Total Convertible Preferred Stocks (Cost $1,300)				393

PREFERRED STOCKS 3.5%
DG Funding Trust
5.051% due 12/31/2049		173		1,765

Total Preferred Stocks (Cost $1,823)				1,765


	Principal Amount (000s)
SHORT-TERM INSTRUMENTS 8.0%
Certificates of Deposit 0.1%
Calyon Financial, Inc.
3.804% due 06/29/2010	$	30		30

Commercial Paper 4.7%
Federal Home Loan Bank
0.087% due 10/07/2008		1,000		1,000
2.270% due 10/01/2008		1,400		1,400

				2,400

Repurchase Agreements 2.2%
State Street Bank and Trust Co.
1.000% due 10/01/2008		1,093		1,093
(Dated 09/30/2008. Collateralized by Fannie Mae 5.500% due 12/14/2022 valued at $1,119. Repurchase proceeds are $1,093.)

U.S. Treasury Bills 1.0%
1.014% due 10/16/2008 (c)		500		500

Total Short-Term Instruments (Cost $4,023)				4,023

Purchased Options (g) 0.5% (Cost $211)				236
Total Investments 111.5% (Cost $62,334)			$	56,265
Written Options (h) (0.1%) (Premiums $75)				(66	)
Other Assets and Liabilities (Net) (11.4%)				(5,724	)

Net Assets 100.0%			$	50,475

Notes to Schedule of Investments (amounts in thousands*, except number of contracts):

* A zero balance may reflect actual amounts rounding to less than one thousand.

(a) Security is in default.

(b) Principal amount of security is adjusted for inflation.

(c) Securities with an aggregate market value of $500 have been pledged as collateral for swap and swaption contracts on September 30, 2008.

(d) The average amount of borrowings while outstanding during the period ended September 30, 2008 was $5,771 at a weighted average interest rate of 2.674%. On September 30, 2008, securities valued at $6,251 were pledged as collateral for reverse repurchase agreements.

(e) Cash of $4,069 has been pledged as collateral for the following open futures contracts on September 30, 2008:


Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Euribor December Futures	Long	12/2008	5	$	4
90-Day Euribor March Futures	Long	03/2009	4		12
90-Day Eurodollar December Futures	Long	12/2008	160		202
90-Day Eurodollar December Futures	Long	12/2009	9		(1	)
90-Day Eurodollar June Futures	Long	06/2009	21		9
90-Day Eurodollar March Futures	Long	03/2009	100		203
90-Day Eurodollar March Futures	Long	03/2010	5		0
90-Day Eurodollar September Futures	Long	09/2009	56		162
E-mini S&P 500 Index December Futures	Short	12/2008	50		118
S&P 500 Index December Futures	Long	12/2008	154		(3,449	)
U.S. Treasury 10-Year Note December Futures	Long	12/2008	30		(20	)
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2008	6		1
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2009	5		15
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2009	13		30
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures Put Options Strike @ GBP 93.000	Short	09/2009	35		21

				$	(2,693	)

(f) Swap agreements outstanding on September 30, 2008:

Credit Default Swaps on Corporate and Sovereign Issues - Sell Protection⁽¹⁾


Reference Obligation	Fixed Deal Receive Rate	Maturity Date	Counterparty	Implied Credit Spread at September 30, 2008⁽³⁾	Notional Amount⁽⁴⁾		Market Value			Upfront Premiums Paid/ (Received)		Unrealized Appreciation/ (Depreciation)
American Express Co. 4.875% due 07/15/2013	2.060%	03/20/2013	DUB	3.868%	$	300	$	(19	)	$	0	$	(19	)
American International Group, Inc. 4.250% due 05/15/2013	0.930%	12/20/2012	BOA	15.254%		100		(36	)		0		(36	)
American International Group, Inc. 4.250% due 05/15/2013	0.780%	12/20/2012	RBS	15.254%		100		(36	)		0		(36	)
Berkshire Hathaway Finance Corp. 4.625% due 10/15/2013	1.000%	03/20/2013	BCLY	1.386%		100		(2	)		0		(2	)
Berkshire Hathaway Finance Corp. 4.625% due 10/15/2013	0.850%	03/20/2013	CSFB	1.386%		100		(2	)		0		(2	)
Berkshire Hathaway Finance Corp. 4.625% due 10/15/2013	0.930%	03/20/2013	DUB	1.386%		100		(2	)		0		(2	)
Berkshire Hathaway Finance Corp. 4.625% due 10/15/2013	0.850%	09/20/2009	DUB	1.100%		500		(1	)		0		(1	)
Berkshire Hathaway Finance Corp. 4.625% due 10/15/2013	0.870%	03/20/2013	RBS	1.386%		100		(2	)		0		(2	)
Brazilian Government International Bond 12.250% due 03/06/2030	0.980%	01/20/2012	DUB	1.398%		700		(8	)		0		(8	)
California State General Obligation Notes, Series 2005 5.000% due 03/01/2018	0.530%	03/20/2018	GSC	0.948%		100		(3	)		0		(3	)
CIT Group, Inc. 7.750% due 04/02/2012	5.750%	03/20/2013	JPM	21.975%		100		(30	)		0		(30	)
Countrywide Home Loans, Inc. 6.000% due 01/24/2018	5.700%	06/20/2009	DUB	4.727%		100		1			0		1
Fannie Mae 5.250% due 08/01/2012	2.500%	09/20/2013	BCLY	Defaulted		100		(3	)		0		(3	)
Fannie Mae 5.250% due 08/01/2012	0.700%	12/20/2012	RBS	Defaulted		100		(3	)		0		(3	)
Fannie Mae 5.250% due 08/01/2012	0.785%	12/20/2012	RBS	Defaulted		100		(3	)		0		(3	)
Fannie Mae 5.250% due 08/01/2012	0.840%	12/20/2012	RBS	Defaulted		300		(10	)		0		(10	)
Fannie Mae 5.250% due 08/01/2012	0.950%	12/20/2012	RBS	Defaulted		100		(3	)		0		(3	)
Fannie Mae 5.500% due 06/09/2033	0.510%	12/20/2012	RBS	Defaulted		100		(4	)		0		(4	)
Freddie Mac 5.080% due 02/07/2019	0.860%	03/20/2013	BCLY	Defaulted		100		(2	)		0		(2	)
Freddie Mac 5.080% due 02/07/2019	0.730%	03/20/2013	RBS	Defaulted		100		(3	)		0		(3	)
Freddie Mac 5.875% due 03/21/2011	0.850%	12/20/2012	CSFB	Defaulted		100		(2	)		0		(2	)
Gannett Co., Inc. 6.375% due 04/01/2012	1.800%	03/20/2013	UBS	3.931%		100		(8	)		0		(8	)
General Electric Capital Corp. 6.000% due 06/15/2012	1.100%	12/20/2009	BNP	7.165%		300		(20	)		0		(20	)
General Electric Capital Corp. 6.000% due 06/15/2012	0.750%	03/20/2009	CITI	7.398%		100		(3	)		0		(3	)
General Electric Capital Corp. 6.000% due 06/15/2012	0.950%	01/20/2009	MSC	7.386%		100		(2	)		0		(2	)
General Motors Corp. 7.125% due 07/15/2013	4.850%	12/20/2012	BCLY	37.109%		500		(265	)		0		(265	)
General Motors Corp. 7.125% due 07/15/2013	5.150%	12/20/2012	GSC	37.109%		300		(158	)		0		(158	)
General Motors Corp. 7.125% due 07/15/2013	4.880%	12/20/2012	MLP	37.109%		300		(159	)		0		(159	)
General Motors Corp. 7.125% due 07/15/2013	6.650%	12/20/2012	MLP	37.109%		200		(100	)		0		(100	)
HSBC Finance Corp. 7.000% due 05/15/2012	1.800%	03/20/2010	RBS	4.638%		100		(4	)		0		(4	)
JSC Gazprom 8.625% due 04/28/2034	1.430%	12/20/2008	JPM	3.467%		500		0			0		0
JSC Gazprom 8.625% due 04/28/2034	0.950%	11/20/2008	MSC	3.459%		100		0			0		0
JSC Gazprom 9.625% due 03/01/2013	0.740%	01/20/2012	BCLY	4.284%		200		(20	)		0		(20	)
JSC Gazprom 9.625% due 03/01/2013	1.000%	10/20/2011	DUB	4.240%		300		(25	)		0		(25	)
Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	0.300%	09/20/2009	RBS	Defaulted		100		(85	)		0		(85	)
MBIA, Inc. 2.760% due 10/06/2010	2.800%	12/20/2012	BOA	18.051%		100		(37	)		0		(37	)
MBIA, Inc. 2.760% due 10/06/2010	3.400%	12/20/2012	DUB	24.499%		100		(44	)		0		(44	)
MBIA, Inc. 6.625% due 10/01/2028	4.000%	12/20/2012	BOA	17.036%		100		(32	)		0		(32	)
MBIA, Inc. 6.625% due 10/01/2028	5.050%	12/20/2012	WAC	17.036%		100		(30	)		0		(30	)
MetLife, Inc. 5.000% due 06/15/2015	1.700%	03/20/2013	JPM	4.056%		100		(8	)		0		(8	)
Mexico Government International Bond 7.500% due 04/08/2033	0.390%	01/20/2012	BCLY	1.181%		1,000		(24	)		0		(24	)
Michigan State General Obligation Notes, Series 2003 5.250% due 05/01/2017	0.440%	03/20/2018	GSC	0.648%		100		(2	)		0		(2	)
New York City, New York General Obligation Notes, Series 2007 5.000% due 01/01/2017	0.450%	03/20/2018	GSC	1.038%		100		(4	)		0		(4	)
Prudential Financial, Inc. 4.500% due 07/15/2013	1.800%	03/20/2013	BCLY	4.360%		100		(9	)		0		(9	)
Prudential Financial, Inc. 4.500% due 07/15/2013	1.870%	03/20/2013	CSFB	4.360%		100		(9	)		0		(9	)
Prudential Financial, Inc. 4.500% due 07/15/2013	1.960%	03/20/2013	CSFB	4.360%		300		(25	)		0		(25	)
Prudential Financial, Inc. 4.500% due 07/15/2013	2.350%	03/20/2013	JPM	4.360%		400		(28	)		0		(28	)
Prudential Financial, Inc. 4.500% due 07/15/2013	1.900%	03/20/2013	RBS	4.360%		100		(9	)		0		(9	)
Prudential Financial, Inc. 4.500% due 07/15/2013	2.350%	03/20/2013	RBS	4.360%		100		(7	)		0		(7	)
Russia Government International Bond 7.500% due 03/31/2030	0.670%	03/20/2009	GSC	2.296%		500		(4	)		0		(4	)
SLM Corp. 5.125% due 08/27/2012	3.000%	12/20/2008	BCLY	19.658%		100		(4	)		0		(4	)
SLM Corp. 5.125% due 08/27/2012	4.500%	03/20/2009	BNP	19.698%		100		(6	)		0		(6	)
SLM Corp. 5.125% due 08/27/2012	5.025%	03/20/2013	BOA	17.182%		200		(55	)		0		(55	)
SLM Corp. 5.125% due 08/27/2012	3.000%	12/20/2008	BOA	19.658%		100		(4	)		0		(4	)
SLM Corp. 5.125% due 08/27/2012	2.860%	12/20/2012	BOA	17.470%		100		(32	)		0		(32	)
SLM Corp. 5.125% due 08/27/2012	4.930%	03/20/2013	JPM	17.182%		100		(28	)		0		(28	)
SLM Corp. 5.125% due 08/27/2012	4.600%	03/20/2010	MLP	20.077%		100		(18	)		0		(18	)

							$	(1,441	)	$	0	$	(1,441	)

Credit Default Swaps on Credit Indices - Buy Protection⁽²⁾


Reference Obligation	Fixed Deal (Pay) Rate		Maturity Date	Counterparty	Notional Amount⁽⁴⁾		Market Value⁽⁵⁾			Upfront Premiums Paid/(Received)			Unrealized Appreciation
CDX.HY-10 Index	(5.000	%)	06/20/2013	DUB	$	100	$	10		$	7		$	3
CDX.IG-10 5 Year Index	(1.550	%)	06/20/2013	DUB		1,900		10			(11	)		21
CDX.IG-10 5 Year Index	(1.550	%)	06/20/2013	GSC		700		4			(7	)		11

							$	24		$	(11	)	$	35


Credit Default Swaps on Credit Indices - Sell Protection⁽¹⁾

Reference Obligation	Fixed Deal Receive Rate		Maturity Date	Counterparty	Notional Amount⁽⁴⁾		Market Value⁽⁵⁾			Upfront Premiums Paid/(Received)			Unrealized Appreciation/ (Depreciation)
CDX.HY-8 Index 25-35%	2.144	%	06/20/2012	CITI	$	500	$	(40	)	$	0		$	(40	)
CDX.IG-9 5 Year Index 30-100%	0.708	%	12/20/2012	DUB		400		5			0			5
CDX.IG-9 10 Year Index 30-100%	0.553	%	12/20/2017	JPM		100		0			0			0
CDX.IG-10 5 Year Index	1.550	%	06/20/2013	DUB		700		(4	)		(10	)		6

							$	(39	)	$	(10	)	$	(29	)

⁽¹⁾

⁽²⁾

⁽³⁾

⁽⁴⁾	The maximum potential amount the Portfolio 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 that particular swap agreement.

⁽⁵⁾

Interest Rate Swaps


Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Maturity Date	Counterparty		Notional Amount		Market Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
Pay	1-Year BRL-CDI	11.360	%	01/04/2010	BCLY	BRL	400	$	(7	)	$	0		$	(7	)
Pay	1-Year BRL-CDI	11.430	%	01/04/2010	MLP		300		(5	)		0			(5	)
Pay	1-Year BRL-CDI	11.465	%	01/04/2010	GSC		100		(2	)		0			(2	)
Pay	1-Year BRL-CDI	12.780	%	01/04/2010	MSC		200		(1	)		0			(1	)
Pay	1-Year BRL-CDI	12.948	%	01/04/2010	MLP		200		0			0			0
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	BOA	$	9,900		106			67			39
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	DUB		5,100		55			49			6
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	RBS		6,400		69			38			31
Receive	3-Month USD-LIBOR	5.000	%	12/17/2028	BOA		700		(25	)		1			(26	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	BCLY		1,100		(49	)		30			(79	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	BOA		3,200		(143	)		44			(187	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	CITI		100		(5	)		2			(7	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	MSC		100		(4	)		(6	)		2
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	RBS		1,300		(58	)		(17	)		(41	)
Pay	6-Month GBP-LIBOR	6.000	%	03/20/2009	RBS	GBP	300		0			3			(3	)
Pay	6-Month GBP-LIBOR	5.000	%	06/15/2009	CSFB		1,800		(28	)		(34	)		6
Receive	6-Month GBP-LIBOR	4.000	%	12/15/2036	CSFB		200		30			36			(6	)
Receive	6-Month GBP-LIBOR	4.000	%	12/15/2036	DUB		400		59			109			(50	)
Pay	France CPI ex-Tobacco Index	2.090	%	10/15/2010	BNP	EUR	1,000		(8	)		0			(8	)
Pay	France CPI ex-Tobacco Index	1.948	%	03/15/2012	JPM		100		(4	)		0			(4	)
Pay	France CPI ex-Tobacco Index	1.960	%	03/30/2012	GSC		100		(4	)		0			(4	)

								$	(24	)	$	322		$	(346	)

Total Return Swaps on Indices

Pay/Receive
Total Return
on
Reference
Entity

Reference Entity

# of
Shares or
Units

Floating Rate⁽⁶⁾

Notional
Amount

Maturity
Date

Counterparty

Unrealized
(Depreciation)

Receive

S&P 500 Index

5,275

1-Month USD-LIBOR less 0.100%

10,000

03/31/2009

GSC

(14

)

⁽⁶⁾	Floating rate is based upon predetermined notional amounts, which may be a multiple of the number of shares or units disclosed.

(g) Purchased options outstanding on September 30, 2008:

Options on Exchange-Traded Futures Contracts


Description	Exercise Price		Expiration Date	# of Contracts	Cost		Value
Call - CBOT U.S. Treasury 10-Year Note December Futures	$	138.000	11/21/2008	39	$	1	$	1
Put - CBOT U.S. Treasury 10-Year Note December Futures		99.000	11/21/2008	107		2		2
Put - CME S&P 500 Index December Futures		400.000	12/18/2008	273		8		3

					$	11	$	6

Interest Rate Swaptions


Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Cost		Value
Call - OTC 2-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	3.500	%	02/02/2009	$	800	$	9	$	6
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.150	%	12/15/2008		2,500		22		10
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.150	%	02/02/2009		1,500		16		8
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.600	%	07/02/2009		2,300		22		20

									$	69	$	44

Options on Securities


Description	Strike Price		Expiration Date	Notional Amount		Cost		Value
Call - OTC Fannie Mae 5.000% due 03/01/2039	$	93.586	02/13/2009	$	2,000	$	47	$	83
Call - OTC Fannie Mae 5.000% due 03/01/2039		95.734	02/13/2009		2,000		48		55
Call - OTC Fannie Mae 5.500% due 12/01/2038		98.094	11/14/2008		1,000		14		20
Call - OTC Fannie Mae 5.500% due 03/01/2039		97.391	02/13/2009		1,000		20		26
Call - OTC U.S. Treasury Note 2.125% due 04/30/2010		102.859	12/12/2008		11,700		1		2
Call - OTC U.S. Treasury Note 3.125% due 11/30/2009		102.820	10/31/2008		500		0		0
Call - OTC U.S. Treasury Note 3.250% due 12/31/2009		103.875	10/17/2008		300		0		0
Put - OTC Fannie Mae 5.000% due 10/01/2023		78.000	10/13/2008		300		0		0
Put -OTC Fannie Mae 5.000% due 11/01/2038		70.000	11/06/2008		6,000		1		0
Put - OTC Fannie Mae 5.500% due 10/01/2038		78.000	10/07/2008		3,000		0		0
Put - OTC Fannie Mae 6.000% due 12/01/2038		81.000	12/04/2008		1,000		0		0
Put - OTC Freddie Mac 5.500% due 12/01/2038		75.000	12/04/2008		1,000		0		0

						$	131	$	186

(h) Written options outstanding on September 30, 2008:

Options on Exchange-Traded Futures Contracts


Description	Exercise Price		Expiration Date	# of Contracts	Premium		Value
Call - CBOT U.S. Treasury 10-Year Note December Futures	$	119.000	11/21/2008	5	$	3	$	3
Put - CBOT U.S. Treasury 10-Year Note December Futures		113.000	11/21/2008	5		3		6

					$	6	$	9

Interest Rate Swaptions


Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Value
Call - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	4.600	%	02/02/2009	$	300	$	10	$	10
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.300	%	12/15/2008		900		22		16
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.250	%	02/02/2009		500		15		10
Call - OTC 5-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.200	%	07/02/2009		1,000		22		21

									$	69	$	57

(i) Short sales outstanding on September 30, 2008:


Description	Coupon		Maturity Date	Principal Amount		Proceeds		Value⁽⁷⁾
Fannie Mae	5.500	%	12/01/2099	$	1,000	$	974	$	987
U.S. Treasury Notes	2.125	%	04/30/2010		11,700		11,709		11,880
U.S. Treasury Notes	2.375	%	08/31/2010		800		806		809
U.S. Treasury Notes	3.125	%	11/30/2009		500		505		513
U.S. Treasury Notes	3.250	%	12/31/2009		600		610		615

						$	14,604	$	14,804

⁽⁷⁾	Market value includes $127 of interest payable on short sales.

(j) Foreign currency contracts outstanding on September 30, 2008:


Type	Currency	Counterparty	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	AED	BCLY	31	04/2009	$	0	$	0		$	0
Buy		HSBC	31	04/2009		0		0			0
Buy	AUD	MSC	34	10/2008		0		(1	)		(1	)
Sell		MSC	34	10/2008		0		0			0
Buy		UBS	32	10/2008		0		(2	)		(2	)
Sell	BRL	BNP	23	12/2008		0		0			0
Buy		HSBC	1,693	12/2008		0		(116	)		(116	)
Sell		HSBC	378	12/2008		10		0			10
Sell		JPM	4	12/2008		0		0			0
Sell		MSC	1,369	12/2008		62		0			62
Sell		RBC	876	12/2008		20		0			20
Buy		UBS	1,502	12/2008		0		(33	)		(33	)
Sell		UBS	545	12/2008		32		0			32
Buy		RBC	876	06/2009		0		(21	)		(21	)
Buy	CNY	BCLY	109	11/2008		0		0			0
Buy		BOA	81	11/2008		0		0			0
Buy		DUB	387	11/2008		0		(1	)		(1	)
Buy		HSBC	88	11/2008		0		0			0
Buy		JPM	394	11/2008		0		(1	)		(1	)
Buy		UBS	75	11/2008		0		0			0
Buy		BCLY	472	07/2009		0		(5	)		(5	)
Buy		DUB	1,556	07/2009		0		(16	)		(16	)
Buy		HSBC	502	07/2009		0		(5	)		(5	)
Buy		JPM	416	07/2009		0		(5	)		(5	)
Buy	EUR	BCLY	84	10/2008		0		(6	)		(6	)
Buy		BOA	16	10/2008		0		(1	)		(1	)
Sell		CITI	207	10/2008		0		(1	)		(1	)
Buy		HSBC	24	10/2008		0		(2	)		(2	)
Buy		JPM	6	10/2008		0		0			0
Buy		MSC	8	10/2008		0		(1	)		(1	)
Sell		UBS	727	10/2008		41		0			41
Buy	GBP	UBS	287	10/2008		0		(22	)		(22	)
Sell		UBS	1,116	11/2008		38		0			38
Buy	IDR	DUB	617,400	10/2008		0		0			0
Buy	INR	DUB	1,031	11/2008		0		(3	)		(3	)
Buy		HSBC	2,636	11/2008		0		(9	)		(9	)
Buy		JPM	2,994	11/2008		0		(11	)		(11	)
Sell		JPM	1,191	11/2008		1		0			1
Buy	KWD	HSBC	5	04/2009		0		(1	)		(1	)
Buy	MYR	BCLY	426	11/2008		0		(8	)		(8	)
Buy		BOA	58	11/2008		0		(1	)		(1	)
Buy		DUB	58	11/2008		0		(1	)		(1	)
Buy		HSBC	58	11/2008		0		(1	)		(1	)
Buy		JPM	52	11/2008		0		(1	)		(1	)
Buy		JPM	460	02/2009		0		(9	)		(9	)
Buy	PHP	HSBC	4,000	11/2008		0		(6	)		(6	)
Buy		JPM	3,600	11/2008		0		(4	)		(4	)
Buy		BCLY	900	02/2009		0		(1	)		(1	)
Buy		DUB	500	02/2009		0		(1	)		(1	)
Buy		HSBC	970	02/2009		0		(1	)		(1	)
Buy		JPM	1,995	02/2009		0		(1	)		(1	)
Buy		MSC	1,200	02/2009		0		(1	)		(1	)
Sell	RUB	BCLY	756	11/2008		1		0			1
Buy		HSBC	4,353	11/2008		0		(7	)		(7	)
Sell		HSBC	3,597	11/2008		13		0			13
Buy		JPM	3,597	05/2009		0		(13	)		(13	)
Sell		UBS	3,597	05/2009		11		0			11
Buy	SAR	HSBC	31	04/2009		0		0			0
Buy		JPM	31	04/2009		0		0			0
Buy	SGD	BCLY	307	11/2008		0		(10	)		(10	)
Sell		BCLY	53	11/2008		0		0			0
Buy		BOA	149	11/2008		0		(6	)		(6	)
Buy		CITI	354	11/2008		0		(5	)		(5	)
Buy		JPM	363	11/2008		0		(5	)		(5	)
Sell		JPM	53	11/2008		0		0			0
Sell		MSC	53	11/2008		0		0			0
Buy		UBS	149	11/2008		0		(6	)		(6	)
Sell		UBS	53	11/2008		0		0			0
Sell	ZAR	HSBC	85	12/2008		1		0			1
Buy		UBS	85	12/2008		0		0			0

					$	230	$	(351	)	$	(121	)

(k) Fair Value Measurements⁺

The following is a summary of the fair valuations according to the inputs used as of September 30, 2008 in valuing the Portfolio’s assets and liabilities:


	Quoted Prices in Active Markets for Identical Investments (Level 1)			Significant Other Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)			Value at 9/30/2008
Investments, at value	$	3		$	56,068		$	194		$	56,265
Short Sales, at value		0			(14,677	)		0			(14,677	)
Other Financial Instruments⁺⁺		(2,693	)		(1,971	)		(26	)		(4,690	)

Total	$	(2,690	)	$	39,420		$	168		$	36,898

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Portfolio during the period ending September 30, 2008:


	Beginning Balance at 12/31/2007		Net Purchases/ (Sales)		Accrued Discounts/ (Premiums)		Total Realized Gain/(Loss)		Total Unrealized Appreciation/ (Depreciation)			Net Transfers In/ (Out) of Level 3			Ending Balance at 09/30/2008
Investments, at value	$	389	$	0	$	9	$	0	$	(6	)	$	(198	)	$	194
Other Financial Instruments⁺⁺		2		0		0		0		(14	)		(14	)		(26	)

Total	$	391	$	0	$	9	$	0	$	(20	)	$	(212	)	$	168

⁺	See note 3 in the Supplementary Notes to Schedule of Investments for additional information.

⁺⁺	Other financial instruments may include open futures contracts, swap contracts, written options, and foreign currency contracts.

See Accompanying Notes

StockPLUS^® Growth and Income Portfolio

Schedule of Investments

StocksPLUS^® Total Return Portfolio

September 30, 2008 (Unaudited)


		Principal Amount (000s)		Value (000s)
CORPORATE BONDS & NOTES 35.9%
Banking & Finance 27.2%
American International Group, Inc.
2.895% due 10/18/2011	$	60	$	36
5.850% due 01/16/2018		30		15
Bank of America Corp.
6.000% due 09/01/2017		10		9
8.000% due 12/29/2049		40		32
Bank of America N.A.
2.819% due 06/12/2009		40		40
Bank of Ireland
2.926% due 12/18/2009		20		20
Bank of Scotland PLC
2.875% due 12/08/2010		100		90
Barclays Bank PLC
6.050% due 12/04/2017		10		9
Bear Stearns Cos. LLC
2.999% due 11/28/2011		60		58
BNP Paribas
5.186% due 06/29/2049		30		23
Citigroup, Inc.
2.957% due 05/18/2010		50		46
5.500% due 04/11/2013		40		35
Ford Motor Credit Co. LLC
7.250% due 10/25/2011		40		25
General Electric Capital Corp.
2.851% due 10/06/2010		20		20
2.886% due 10/21/2010		20		20
Goldman Sachs Group, Inc.
2.887% due 11/16/2009		10		9
3.300% due 06/23/2009		30		28
5.625% due 01/15/2017		20		14
HSBC Finance Corp.
3.052% due 05/10/2010		40		37
JPMorgan Chase & Co.
6.625% due 03/15/2012		50		49
Lehman Brothers Holdings, Inc.
2.881% due 10/22/2008 (a)		30		4
2.951% due 05/25/2010 (a)		50		6
6.200% due 09/26/2014 (a)		10		1
Merrill Lynch & Co., Inc.
4.610% due 05/20/2009		100		98
Monumental Global Funding Ltd.
5.500% due 04/22/2013		30		29
RBS Capital Trust III
5.512% due 09/29/2049		60		48
UBS AG
3.714% due 05/05/2010		100		100
Wachovia Corp.
7.980% due 02/28/2049		100		42

				943

Industrials 7.1%
ABN AMRO Bank for OAO Gazprom
9.625% due 03/01/2013		20		19
Amgen, Inc.
2.889% due 11/28/2008		20		20
Anadarko Petroleum Corp.
3.219% due 09/15/2009		30		30
Citigroup Global Markets Deutschland AG for OAO Gazprom
10.500% due 10/21/2009		10		10
EchoStar DBS Corp.
5.750% due 10/01/2008		20		20
Home Depot, Inc.
2.944% due 12/16/2009		20		19
Kinder Morgan Energy Partners LP
5.950% due 02/15/2018		40		36
Reynolds American, Inc.
3.519% due 06/15/2011		40		38
Time Warner, Inc.
5.875% due 11/15/2016		10		9
Wal-Mart Stores, Inc.
6.200% due 04/15/2038		20		18
WEA Finance LLC
5.700% due 10/01/2016		30		26

				245

Utilities 1.6%
MidAmerican Energy Holdings Co.
6.125% due 04/01/2036		10		8
NiSource Finance Corp.
3.381% due 11/23/2009		50		49

				57

Total Corporate Bonds & Notes (Cost $1,509)				1,245

MUNICIPAL BONDS & NOTES 1.3%
New York City, New York Municipal Water Finance Authority Revenue Bonds, Series 2006
4.750% due 06/15/2037		50		44

Total Municipal Bonds & Notes (Cost $50)				44

U.S. GOVERNMENT AGENCIES 67.8%
Fannie Mae
4.229% due 06/01/2035 (c)		13		13
4.422% due 09/01/2035		9		9
4.672% due 12/01/2033		6		6
4.696% due 12/01/2033		2		2
4.818% due 10/01/2035		6		6
4.832% due 06/01/2035 (c)		14		14
4.927% due 09/01/2035		8		8
4.980% due 06/01/2035 (c)		13		13
5.500% due 08/01/2035 - 05/01/2037 (c)		1,521		1,519
6.000% due 12/01/2026 (c)		37		38
6.000% due 10/01/2038		300		304
Freddie Mac
2.638% due 08/15/2019 - 10/15/2020		124		121
2.718% due 02/15/2019		80		78
4.278% due 02/25/2045		3		3
4.706% due 08/01/2035 (c)		13		13
4.839% due 11/01/2034 (c)		11		11
4.943% due 09/01/2035		7		7
5.278% due 09/01/2035		3		3
5.500% due 04/01/2038 (c)		186		185

Total U.S. Government Agencies				2,353
(Cost $2,331)

U.S. TREASURY OBLIGATIONS 2.4%
Treasury Inflation Protected Securities (b)
1.750% due 01/15/2028		42		36
2.375% due 01/15/2025		47		45

Total U.S. Treasury Obligations				81
(Cost $88)

MORTGAGE-BACKED SECURITIES 12.3%
American Home Mortgage Investment Trust
4.390% due 02/25/2045		9		6
Banc of America Commercial Mortgage, Inc.
5.838% due 06/10/2049		40		34
Banc of America Mortgage Securities, Inc.
6.500% due 09/25/2033		3		3
Bear Stearns Adjustable Rate Mortgage Trust
4.666% due 07/25/2034		5		4
Countrywide Alternative Loan Trust
3.387% due 05/25/2047		24		15
Countrywide Home Loan Mortgage Pass-Through Trust
4.727% due 02/20/2035		18		16
4.797% due 11/25/2034		14		13
Harborview Mortgage Loan Trust
3.936% due 06/19/2034		100		83
5.145% due 07/19/2035		22		19
Impac Secured Assets CMN Owner Trust
3.287% due 01/25/2037		12		11
Indymac Index Mortgage Loan Trust
5.226% due 01/25/2036		5		4
JPMorgan Chase Commercial Mortgage Securities Corp.
5.420% due 01/15/2049		40		33
JPMorgan Mortgage Trust
5.021% due 02/25/2035		25		22
LB-UBS Commercial Mortgage Trust
4.990% due 11/15/2030		50		50
MASTR Adjustable Rate Mortgages Trust
3.788% due 11/21/2034		15		15
TBW Mortgage-Backed Pass-Through Certificates
3.317% due 01/25/2037		14		13
Thornburg Mortgage Securities Trust
3.317% due 11/25/2046		19		18
WaMu Mortgage Pass-Through Certificates
3.855% due 02/25/2046		18		11
Wells Fargo Mortgage-Backed Securities Trust
4.950% due 03/25/2036		7		7
4.992% due 10/25/2035		53		50

Total Mortgage-Backed Securities				427
(Cost $482)

ASSET-BACKED SECURITIES 13.6%
ACE Securities Corp.
3.257% due 12/25/2036		17		16
BA Credit Card Trust
2.688% due 01/15/2013		100		98
3.688% due 12/16/2013		40		39
Bear Stearns Asset-Backed Securities Trust
3.287% due 10/25/2036		14		13
Chase Credit Card Master Trust
2.598% due 02/15/2011		10		10
Citigroup Mortgage Loan Trust, Inc.
3.267% due 05/25/2037		22		21
Countrywide Asset-Backed Certificates
3.277% due 06/25/2037		20		19
3.317% due 10/25/2046		12		11
Daimler Chrysler Auto Trust
3.967% due 09/10/2012		40		39
First NLC Trust
3.277% due 08/25/2037		14		14
Ford Credit Auto Owner Trust
3.688% due 12/15/2010		40		40
Lehman XS Trust
3.277% due 05/25/2046		4		4
Morgan Stanley ABS Capital I
3.257% due 10/25/2036		10		10
Nationstar Home Equity Loan Trust
3.327% due 04/25/2037		25		24
Residential Asset Securities Corp.
3.277% due 11/25/2036		8		8
SLM Student Loan Trust
2.840% due 04/25/2017		99		98
Specialty Underwriting & Residential Finance
3.252% due 11/25/2037		10		9

Total Asset-Backed Securities				473
(Cost $483)

SHORT-TERM INSTRUMENTS 0.3%
Certificates of Deposit 0.3%
Skandinaviska Enskilda Banken AB
2.794% due 02/13/2009		10		10

Total Short-Term Instruments				10
(Cost $10)

Purchased Options (f) 0.0%				1
(Cost $0)
Total Investments 133.6%			$	4,634
(Cost $4,953)
Other Assets and Liabilities (Net) (33.6%)				(1,166	)

Net Assets 100.0%			$	3,468

Notes to Schedule of Investments (amounts in thousands*, except number of contracts):

* A zero balance may reflect actual amounts rounding to less than one thousand.

(a) Security is in default.

(b) Principal amount of security is adjusted for inflation.

(c) The average amount of borrowings while outstanding during the period ended September 30, 2008 was $1,900 at a weighted average interest rate of 2.532%. On September 30, 2008, securities valued at $1,802 were pledged as collateral for reverse repurchase agreements.

(d) Cash of $405 has been pledged as collateral for the following open futures contracts on September 30, 2008:


Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Euribor December Futures	Long	12/2008	1	$	1
90-Day Eurodollar December Futures	Long	12/2008	1		(1	)
90-Day Eurodollar December Futures	Long	12/2009	6		4
90-Day Eurodollar June Futures	Long	06/2009	6		(2	)
90-Day Eurodollar March Futures	Long	03/2009	1		1
90-Day Eurodollar March Futures	Long	03/2010	4		4
90-Day Eurodollar September Futures	Long	09/2009	9		14
E-mini S&P 500 Index December Futures	Long	12/2008	15		(87	)
S&P 500 Index December Futures	Long	12/2008	9		(247	)
U.S. Treasury 10-Year Note December Futures	Long	12/2008	1		0
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2009	1		3
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2009	1		2

				$	(308	)

(e) Swap agreements outstanding on September 30, 2008:

Credit Default Swaps on Corporate and Sovereign Issues - Sell Protection⁽¹⁾


Reference Obligation	Fixed Deal Receive Rate		Maturity Date	Counterparty	Implied Credit Spread at September 30, 2008⁽³⁾		Notional Amount⁽⁴⁾		Market Value			Upfront Premiums Paid/ (Received)		Unrealized (Depreciation)
Indonesia Government International Bond 6.750% due 03/10/2014	0.370	%	03/20/2009	BCLY	1.074	%	$	40	$	0		$	0	$	0
Panama Government International Bond 8.875% due 09/30/2027	0.300	%	02/20/2009	CSFB	0.844	%		40		0			0		0
Chrysler Financial 9.360% due 08/03/2012	5.150	%	09/20/2012	DUB	20.000	%		100		(20	)		0		(20	)
Ukraine Government International Bond 7.650% due 06/11/2013	0.610	%	02/20/2009	MSC	5.288	%		40		(1	)		0		(1	)
Berkshire Hathaway Finance Corp. 4.625% due 10/15/2013	0.880	%	03/20/2013	RBS	1.386	%		200		(4	)		0		(4	)

									$	(25	)	$	0	$	(25	)

Credit Default Swaps on Credit Indices - Buy Protection⁽²⁾


Reference Obligation	Fixed Deal (Pay) Rate		Maturity Date	Counterparty	Notional Amount⁽⁴⁾		Market Value⁽⁵⁾		Upfront Premiums Paid/ (Received)			Unrealized Appreciation
CDX.IG-10 5 Year Index	(1.550	%)	06/20/2013	DUB	$	400	$	3	$	(2	)	$	5

Credit Default Swaps on Credit Indices - Sell Protection⁽¹⁾


Reference Obligation	Fixed Deal Receive Rate		Maturity Date	Counterparty	Notional Amount⁽⁴⁾		Market Value⁽⁵⁾		Upfront Premiums Paid/ (Received)		Unrealized Appreciation
CDX.IG-9 5 Year Index 30-100%	0.771	%	12/20/2012	MSC	$	100	$	1	$	0	$	1

⁽¹⁾

If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation.

⁽²⁾

If the Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the underlying securities comprising the referenced index.

⁽³⁾

⁽⁴⁾	The maximum potential amount the Portfolio 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 that particular swap agreement.

⁽⁵⁾

Interest Rate Swaps


											Upfront Premiums		Unrealized
Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Maturity Date	Counterparty	Notional Amount		Market Value			Paid/ (Received)		Appreciation/ (Depreciation)
Pay	3-Month AUD Bank Bill	7.000	%	06/15/2010	UBS	AUD	100	$	1		$	0	$	0
Pay	3-Month USD-LIBOR	4.000	%	06/17/2010	RBS	$	100		1			0		1
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	BCLY		200		(9	)		5		(14	)
Pay	6-Month GBP-LIBOR	6.000	%	06/19/2009	GSC	GBP	100		0			0		1
Pay	France CPI ex-Tobacco Index	1.955	%	03/28/2012	RBS	EUR	40		(2	)		0		(2	)

								$	(9	)	$	5	$	(14	)

(f) Purchased options outstanding on September 30, 2008:

Options on Exchange-Traded Futures Contracts


Description	Exercise Price		Expiration Date	# of Contracts	Cost		Value
Put - CME S&P 500 Index December Futures	$	950.000	12/18/2008	14	$	0	$	1

					$	0	$	1


Options on Securities

		Strike	Expiration		Notional
Description		Price	Date		Amount		Cost		Value
Put - OTC Fannie Mae 6.000% due 12/01/2038	$	81.000	12/04/2008	$	300	$	0	$	0

(g) Short sales outstanding on September 30, 2008:


Description	Coupon		Maturity Date	Principal Amount		Proceeds		Value
U.S. Treasury Notes	2.125	%	01/31/2010	$	100	$	100	$	100

(h) Foreign currency contracts outstanding on September 30, 2008:


Type	Currency	Counterparty	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	AED	BCLY	2	04/2009	$	0	$	0		$	0
Buy		HSBC	2	04/2009		0		0			0
Buy	AUD	MSC	3	10/2008		0		0			0
Sell		MSC	6	10/2008		0		0			0
Buy		UBS	2	10/2008		0		0			0
Buy	BRL	HSBC	70	12/2008		0		(5	)		(5	)
Sell		MSC	119	12/2008		3		0			3
Sell		RBC	32	12/2008		1		0			1
Buy		UBS	85	12/2008		0		(2	)		(2	)
Sell		UBS	5	12/2008		0		0			0
Buy		RBC	32	06/2009		0		(1	)		(1	)
Buy	CNY	DUB	41	11/2008		0		0			0
Buy		JPM	34	11/2008		0		0			0
Buy		BCLY	81	07/2009		0		(1	)		(1	)
Buy		DUB	62	07/2009		0		(1	)		(1	)
Buy		HSBC	16	07/2009		0		0			0
Buy		JPM	21	07/2009		0		0			0
Sell	EUR	CITI	11	10/2008		0		0			0
Buy		DUB	2	10/2008		0		0			0
Buy		GSC	9	10/2008		0		0			0
Buy		UBS	5	10/2008		0		0			0
Sell		UBS	27	10/2008		1		0			1
Buy	GBP	BOA	1	10/2008		0		0			0
Buy		UBS	12	10/2008		0		(1	)		(1	)
Sell		UBS	48	11/2008		2		0			2
Buy	INR	BCLY	226	11/2008		0		0			0
Buy		DUB	222	11/2008		0		(1	)		(1	)
Buy		HSBC	527	11/2008		0		(2	)		(2	)
Buy		JPM	807	11/2008		0		(3	)		(3	)
Sell		JPM	321	11/2008		0		0			0
Buy	KWD	HSBC	0	04/2009		0		0			0
Buy	MYR	BCLY	11	11/2008		0		0			0
Buy		JPM	16	11/2008		0		0			0
Buy		JPM	13	02/2009		0		0			0
Buy	PHP	JPM	300	11/2008		0		0			0
Buy		JPM	387	02/2009		0		0			0
Sell	RUB	BCLY	122	11/2008		0		0			0
Buy		HSBC	335	11/2008		0		(1	)		(1	)
Sell		HSBC	213	11/2008		1		0			1
Buy		JPM	213	05/2009		0		(1	)		(1	)
Sell		UBS	213	05/2009		1		0			1
Buy	SAR	HSBC	2	04/2009		0		0			0
Buy		JPM	2	04/2009		0		0			0
Buy	SGD	BCLY	1	11/2008		0		0			0
Sell		BCLY	2	11/2008		0		0			0
Buy		BOA	14	11/2008		0		(1	)		(1	)
Buy		CITI	8	11/2008		0		0			0
Buy		JPM	7	11/2008		0		0			0
Sell		JPM	2	11/2008		0		0			0
Sell		MSC	2	11/2008		0		0			0
Buy		UBS	14	11/2008		0		(1	)		(1	)
Sell		UBS	2	11/2008		0		0			0
Sell	ZAR	HSBC	4	12/2008		0		0			0
Buy		UBS	4	12/2008		0		0			0

					$	9	$	(21	)	$	(12	)

(i) Fair Value Measurements⁺

The following is a summary of the fair valuations according to the inputs used as of September 30, 2008 in valuing the Portfolio’s assets and liabilities:


	Quoted Prices in Active Markets for Identical Investments (Level 1)			Significant Other Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)			Value at 9/30/2008
Investments, at value	$	1		$	4,633		$	0		$	4,634
Short Sales, at value		0			(100	)		0			(100	)
Other Financial Instruments⁺⁺		(308	)		(25	)		(20	)		(353	)

Total	$	(307	)	$	4,508		$	(20	)	$	4,181

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Portfolio during the period ending September 30, 2008:


	Beginning Balance at 12/31/2007		Net Purchases/ (Sales)		Accrued Discounts/ (Premiums)		Total Realized Gain/(Loss)		Total Unrealized Appreciation/ (Depreciation)			Net Transfers In/ (Out) of Level 3		Ending Balance at 09/30/2008
Investments, at value	$	0	$	0	$	0	$	0	$	0		$	0	$	0
Other Financial Instruments⁺⁺		1		0		0		0		(21	)		0		(20	)

Total	$	1	$	0	$	0	$	0	$	(21	)	$	0	$	(20	)

⁺	See note 3 in the Supplementary Notes to Schedule of Investments for additional information.

⁺⁺	Other financial instruments may include open futures contracts, swap contracts, written options, and foreign currency contracts.

See Accompanying Notes

StocksPLUS^® Total Return Portfolio

Schedule of Investments

Total Return Portfolio

September 30, 2008 (Unaudited)


	Principal Amount (000s)		Value (000s)
BANK LOAN OBLIGATIONS 0.7%
CSC Holdings, Inc.
4.569% due 03/30/2013	$	11,517	$	10,201
Daimler Finance North America LLC
6.820% due 08/03/2012		17,865		12,135
Fresenius Medical Care Capital Trust
4.167% due 03/22/2013		49		46
4.176% due 03/22/2013		1,062		997
4.185% due 03/22/2013		99		92
4.438% due 03/22/2013		345		324
HCA, Inc.
4.801% due 11/18/2012		4,742		4,170
Texas Competitive Electric Holdings Co. LLC
5.989% due 10/10/2014		704		597
6.302% due 10/10/2014		3,666		3,112
7.262% due 10/10/2014		605		514

Total Bank Loan Obligations (Cost $38,690)				32,188

CORPORATE BONDS & NOTES 23.6%
Banking & Finance 17.6%
Allstate Life Global Funding Trusts
5.375% due 04/30/2013		5,800		5,605
American Express Bank FSB
2.498% due 10/16/2008		8,100		8,095
3.248% due 10/20/2009		6,800		6,663
6.000% due 09/13/2017		3,900		3,262
American Express Centurion Bank
2.507% due 06/12/2009		9,100		8,796
6.000% due 09/13/2017		3,900		3,269
American Express Co.
7.000% due 03/19/2018		200		177
American Express Credit Corp.
2.547% due 11/09/2009		6,700		6,337
American International Group, Inc.
2.538% due 06/16/2009		5,400		3,242
2.895% due 10/18/2011		100		59
4.950% due 03/20/2012		1,700		1,049
5.050% due 10/01/2015		1,300		702
6.250% due 03/15/2037		2,100		336
8.175% due 05/15/2058		3,000		481
8.250% due 08/15/2018		12,000		6,981
ANZ National International Ltd.
6.200% due 07/19/2013		7,400		7,353
ASIF Global Financing XXIII
3.900% due 10/22/2008		1,000		983
Bank of America Corp.
2.918% due 11/06/2009		4,000		3,912
3.076% due 09/18/2009		6,100		6,068
4.875% due 09/15/2012		10,000		9,249
5.375% due 09/11/2012		5,400		5,030
6.000% due 09/01/2017		7,000		6,048
Bank of America N.A.
2.810% due 02/27/2009		5,200		5,184
2.876% due 12/18/2008		1,000		998
6.000% due 10/15/2036		2,100		1,751
Bank of Scotland PLC
2.829% due 07/17/2009		10,400		10,337
Barclays Bank PLC
5.450% due 09/12/2012		40,000		39,922
Bear Stearns Cos. LLC
2.901% due 08/21/2009		18,300		18,119
2.927% due 05/18/2010		12,200		11,957
3.096% due 01/30/2009		7,180		7,138
3.852% due 03/30/2009		7,100		7,065
6.400% due 10/02/2017		27,900		26,099
BNP Paribas
5.186% due 06/29/2049		15,600		11,959
C10 Capital SPV Ltd.
6.722% due 12/31/2049		4,300		3,993
Caelus Re Ltd.
9.061% due 06/07/2011		2,700		2,632
CIT Group, Inc.
2.927% due 08/17/2009		7,100		5,714
2.946% due 01/30/2009		13,700		12,344
3.212% due 12/19/2008		2,400		2,373
Citigroup Capital XXI
8.300% due 12/21/2077		14,500		10,807
Citigroup Funding, Inc.
2.805% due 12/08/2008		2,000		1,990
3.190% due 04/23/2009		4,000		3,934
3.476% due 06/26/2009		5,300		5,177
Citigroup, Inc.
3.799% due 12/28/2009		5,300		5,130
3.809% due 12/26/2008		21,880		21,728
5.300% due 10/17/2012		2,200		1,960
5.500% due 08/27/2012		5,500		4,944
5.500% due 04/11/2013		20,900		18,260
5.850% due 07/02/2013		1,400		1,229
6.125% due 05/15/2018		3,000		2,488
6.125% due 08/25/2036		15,000		9,748
Credit Agricole S.A.
2.809% due 05/28/2009		5,900		5,876
2.859% due 05/28/2010		6,800		6,744
DBS Bank Ltd.
3.027% due 05/16/2017		1,000		851
Deutsche Bank AG
6.000% due 09/01/2017		12,400		11,735
DnB NOR Bank ASA
2.858% due 10/13/2009		5,700		5,692
Export-Import Bank of China
4.875% due 07/21/2015		900		843
Ford Motor Credit Co. LLC
5.700% due 01/15/2010		1,000		766
5.800% due 01/12/2009		1,800		1,709
7.250% due 10/25/2011		200		127
7.375% due 10/28/2009		5,000		4,021
7.375% due 02/01/2011		200		133
7.875% due 06/15/2010		600		458
8.625% due 11/01/2010		400		284
General Electric Capital Corp.
2.825% due 10/26/2009		600		596
2.831% due 01/05/2009		1,300		1,297
2.851% due 10/06/2010		800		788
2.856% due 01/20/2010		4,800		4,767
2.874% due 08/15/2011		12,600		12,314
5.875% due 01/14/2038		8,100		5,975
6.375% due 11/15/2067		12,200		9,882
GMAC LLC
6.000% due 12/15/2011		1,100		490
Goldman Sachs Group, Inc.
2.892% due 11/10/2008		7,100		7,049
3.250% due 12/23/2008		1,600		1,577
3.294% due 12/22/2008		4,800		4,732
3.300% due 06/23/2009		13,070		12,426
3.812% due 03/30/2009		8,700		8,375
5.950% due 01/18/2018		17,300		14,296
6.250% due 09/01/2017		14,900		12,495
HBOS PLC
5.920% due 09/29/2049		1,100		649
HSBC Bank USA N.A.
2.957% due 06/10/2009		7,700		7,660
HSBC Finance Corp.
2.846% due 10/21/2009		4,500		4,270
2.954% due 12/05/2008		5,900		5,871
HSBC Holdings PLC
6.500% due 05/02/2036		2,300		1,906
6.500% due 09/15/2037		2,900		2,468
JPMorgan Chase & Co.
2.842% due 05/07/2010		9,700		9,581
3.479% due 06/26/2009		4,900		4,888
6.000% due 01/15/2018		3,900		3,563
JPMorgan Chase Bank N.A.
6.000% due 10/01/2017		8,000		7,345
JPMorgan Chase Capital XX
6.550% due 09/29/2036		1,200		883
KeyBank N.A.
5.061% due 06/02/2010		10,300		10,255
Lehman Brothers Holdings, Inc.
2.851% due 12/23/2008 (a)		800		104
2.878% due 04/03/2009 (a)		5,300		689
2.907% due 11/16/2009 (a)		15,260		1,984
2.911% due 08/21/2009 (a)		10,600		1,378
2.951% due 05/25/2010 (a)		5,200		676
3.005% due 07/18/2011 (a)		4,800		624
3.052% due 11/10/2009 (a)		4,500		585
5.625% due 01/24/2013 (a)		3,800		494
6.875% due 05/02/2018 (a)		3,200		416
Longpoint Re Ltd.
8.069% due 05/08/2010		2,900		2,951
Merrill Lynch & Co., Inc.
2.839% due 10/23/2008		7,500		7,496
2.852% due 05/08/2009		3,500		3,407
2.893% due 12/04/2009		7,300		6,945
2.894% due 08/14/2009		6,200		5,981
3.000% due 07/25/2011		8,500		7,349
3.234% due 12/22/2008		3,500		3,385
6.875% due 04/25/2018		17,800		15,775
MetLife, Inc.
6.400% due 12/15/2036		1,700		1,060
Metropolitan Life Global Funding I
2.847% due 05/17/2010		15,200		15,008
5.125% due 11/09/2011		8,200		8,347
Morgan Stanley
2.852% due 05/07/2009		8,700		7,544
2.881% due 01/15/2010		8,200		6,326
2.912% due 02/09/2009		14,600		12,725
3.228% due 11/21/2008		4,900		4,835
4.904% due 05/14/2010		11,700		8,545
MUFG Capital Finance 1 Ltd.
6.346% due 07/29/2049		700		530
Mystic Re Ltd.
12.811% due 06/07/2011		2,200		2,249
National Australia Bank Ltd.
2.858% due 09/11/2009		5,300		5,287
5.350% due 06/12/2013		6,100		5,866
Osiris Capital PLC
7.791% due 01/15/2010		3,100		3,120
Petroleum Export Ltd.
5.265% due 06/15/2011		652		646
Principal Life Income Funding Trusts
5.300% due 04/24/2013		5,200		5,189
Residential Capital LLC
5.912% due 05/22/2009		7,900		3,595
Residential Reinsurance 2007 Ltd.
13.061% due 06/07/2010		1,200		1,237
Resona Bank Ltd.
5.850% due 09/29/2049		1,200		883
Santander Perpetual S.A. Unipersonal
6.671% due 10/29/2049		11,900		11,104
Santander U.S. Debt S.A. Unipersonal
2.874% due 11/20/2009		10,900		10,798
SMFG Preferred Capital USD 1 Ltd.
6.078% due 01/29/2049		4,100		2,948
State Street Capital Trust III
8.250% due 12/29/2049		6,800		6,672
State Street Capital Trust IV
3.819% due 06/15/2037		1,000		662
TNK-BP Finance S.A.
6.125% due 03/20/2012		1,200		951
UBS AG
5.750% due 04/25/2018		4,600		4,008
5.875% due 12/20/2017		4,700		4,180
UFJ Finance Aruba AEC
6.750% due 07/15/2013		300		315
USB Capital IX
6.189% due 04/15/2049		900		441
Wachovia Bank N.A.
3.250% due 03/23/2009		7,100		6,681
Wachovia Corp.
2.861% due 12/01/2009		4,400		3,832
2.921% due 10/15/2011		8,100		5,589
5.750% due 02/01/2018		16,900		12,699
Wachovia Mortgage FSB
2.936% due 03/02/2009		7,900		7,732
Wells Fargo & Co.
2.919% due 09/15/2009		915		910
ZFS Finance USA Trust I
5.875% due 05/09/2032		4,400		3,010

				780,077

Industrials 4.0%
ABN AMRO Bank for OAO Gazprom
9.625% due 03/01/2013		100		101
Amgen, Inc.
2.889% due 11/28/2008		7,000		6,981
Anadarko Petroleum Corp.
3.219% due 09/15/2009		10,000		9,885
AstraZeneca PLC
5.900% due 09/15/2017		2,500		2,464
6.450% due 09/15/2037		2,400		2,296
BP AMI Leasing, Inc.
3.486% due 06/26/2009		13,600		13,603
Citigroup Global Markets Deutschland AG for OAO Gazprom
10.500% due 10/21/2009		6,000		6,045
CODELCO, Inc.
6.150% due 10/24/2036		700		623
Comcast Corp.
3.088% due 07/14/2009		7,700		7,536
5.875% due 02/15/2018		1,700		1,517
6.450% due 03/15/2037		1,700		1,372
Daimler Finance North America LLC
3.169% due 03/13/2009		2,900		2,890
3.241% due 08/03/2009		6,300		6,273
Dell, Inc.
5.650% due 04/15/2018		11,200		10,303
El Paso Corp.
6.750% due 05/15/2009		5,700		5,680
7.800% due 08/01/2031		900		761
7.875% due 06/15/2012		4,700		4,649
9.625% due 05/15/2012		800		834
Gaz Capital S.A.
6.212% due 11/22/2016		1,200		952
7.343% due 04/11/2013		1,700		1,547
8.146% due 04/11/2018		6,700		5,896
HJ Heinz Co.
6.428% due 12/01/2020		1,100		1,102
Kinder Morgan Energy Partners LP
5.950% due 02/15/2018		21,100		18,827
Oracle Corp.
4.950% due 04/15/2013		13,100		13,071
5.750% due 04/15/2018		12,900		11,999
Rohm & Haas Co.
6.000% due 09/15/2017		3,700		3,444
Time Warner, Inc.
3.034% due 11/13/2009		6,600		6,338
Union Pacific Corp.
5.700% due 08/15/2018		13,800		12,875
United Airlines, Inc.
6.071% due 03/01/2013 (a)		1,081		1,017
8.030% due 01/01/2013 (a)		465		521
UnitedHealth Group, Inc.
4.875% due 02/15/2013		5,200		4,975
Vale Overseas Ltd.
6.250% due 01/23/2017		1,300		1,221
6.875% due 11/21/2036		1,300		1,161
Williams Cos., Inc.
6.375% due 10/01/2010		7,000		6,865

				175,624

Utilities 2.0%
AT&T, Inc.
2.894% due 02/05/2010		3,600		3,588
3.014% due 11/14/2008		4,200		4,190
4.950% due 01/15/2013		5,200		4,986
5.500% due 02/01/2018		5,200		4,635
6.300% due 01/15/2038		3,600		2,983
Enel Finance International S.A.
6.250% due 09/15/2017		19,000		18,922
Entergy Gulf States, Inc.
5.700% due 06/01/2015		8,300		7,892
6.000% due 12/01/2012		6,500		6,412
Korea Electric Power Corp.
5.125% due 04/23/2034		90		89
NGPL Pipe Co. LLC
6.514% due 12/15/2012		5,800		5,814
Public Service Electric & Gas Co.
5.300% due 05/01/2018		11,600		10,846
Qwest Capital Funding, Inc.
7.250% due 02/15/2011		657		617
Ras Laffan Liquefied Natural Gas Co. Ltd. III
5.838% due 09/30/2027		2,600		2,248
TPSA Finance BV
7.750% due 12/10/2008		120		120
Verizon Communications, Inc.
2.838% due 04/03/2009		14,500		14,393
5.250% due 04/15/2013		1,500		1,447

				89,182

Total Corporate Bonds & Notes (Cost $1,182,950)				1,044,883

MUNICIPAL BONDS & NOTES 1.2%
Badger, Wisconsin Tobacco Asset Securitization Corp. Revenue Bonds, Series 2002
6.000% due 06/01/2017		3,700		3,648
California State General Obligation Bonds, Series 2007
5.000% due 11/01/2037		14,400		13,032
California State Tobacco Securitization Agency Revenue Bonds, Series 2006
5.125% due 06/01/2046		655		463
Connecticut State General Obligation Bonds, Series 2008
5.850% due 03/15/2032		17,300		17,910
Golden State, California Tobacco Securitization Corp. Revenue Bonds, Series 2007
5.125% due 06/01/2047		1,400		925
Iowa State Tobacco Settlement Authority Revenue Bonds, Series 2005
6.500% due 06/01/2023		1,070		918
Los Angeles, California Unified School District General Obligation Bonds, (FSA Insured), Series 2007
4.500% due 07/01/2023		11,800		10,423
New Jersey State Tobacco Settlement Financing Corp. Revenue Bonds, Series 2007
5.000% due 06/01/2041		2,900		1,812
Ohio State Buckeye Tobacco Settlement Financing Authority Revenue Bonds, Series 2007
5.875% due 06/01/2030		100		82
University of Arkansas Revenue Bonds, (AMBAC Insured), Series 2006
5.000% due 11/01/2036		5,600		5,154

Total Municipal Bonds & Notes (Cost $57,006)				54,367

U.S. GOVERNMENT AGENCIES 80.6%
Fannie Mae
3.267% due 12/25/2036 - 07/25/2037		12,723		11,812
3.557% due 03/25/2044		4,696		4,592
4.000% due 10/01/2018		345		335
4.278% due 06/01/2043 - 07/01/2044		4,919		4,908
4.478% due 09/01/2040		21		21
4.499% due 11/01/2035		246		247
4.500% due 02/01/2035 - 06/25/2043		1,625		1,570
4.564% due 10/01/2032		1,289		1,292
4.668% due 05/25/2035		1,179		1,216
4.722% due 04/01/2035		3,552		3,517
4.728% due 04/01/2035		2,457		2,433
4.803% due 08/01/2035		4,385		4,432
5.000% due 02/25/2017 - 11/01/2038		515,476		504,150
5.054% due 09/01/2035		1,914		1,905
5.153% due 08/01/2035		1,776		1,775
5.168% due 12/01/2036		2,008		2,013
5.329% due 09/01/2034		1,964		1,967
5.500% due 04/01/2014 - 11/01/2038		1,181,202		1,179,220
5.500% due 06/01/2033 - 02/01/2035 (g)		242,331		242,270
5.868% due 11/01/2025		1		1
5.977% due 01/01/2025		24		24
6.000% due 04/01/2016 - 10/01/2038		1,027,633		1,041,477
6.000% due 05/01/2038 (g)		98,862		100,259
6.213% due 09/01/2039		43		44
6.500% due 06/01/2029 - 09/01/2038		37,006		37,995
7.000% due 04/25/2023 - 06/01/2032		2,609		2,756
Federal Housing Administration
7.430% due 01/25/2023		49		50
Freddie Mac
2.638% due 07/15/2019 - 10/15/2020		103,540		101,242
2.718% due 02/15/2019		37,482		36,543
2.788% due 05/15/2036		4,474		4,334
2.938% due 11/15/2030		27		27
2.988% due 09/15/2030		24		23
4.278% due 02/25/2045		581		528
4.500% due 04/01/2018 - 10/01/2018		1,912		1,883
5.000% due 04/01/2018 - 01/01/2037		13,623		13,316
5.329% due 07/01/2027		1		1
5.376% due 07/01/2030		1		1
5.500% due 10/01/2034 - 09/01/2038		194,067		193,224
6.000% due 07/01/2016 - 09/01/2038		50,408		51,107
6.164% due 01/01/2028		2		2
6.500% due 03/01/2013 - 04/01/2038		738		766
7.000% due 06/15/2023		1,518		1,552
7.500% due 07/15/2030 - 03/01/2032		221		237
8.500% due 08/01/2024		12		13
Ginnie Mae
3.088% due 02/16/2030		202		202
3.688% due 09/20/2030		19		19
4.750% due 02/20/2032		502		504
5.125% due 10/20/2029 - 11/20/2029		186		188
5.375% due 04/20/2026 - 05/20/2030		85		86
5.500% due 04/15/2033 - 09/15/2033		462		464
5.625% due 07/20/2030		10		9
6.000% due 10/01/2038		11,000		11,150
6.500% due 03/15/2031 - 04/15/2032		179		185
Small Business Administration
5.130% due 09/01/2023		62		61
6.030% due 02/10/2012		2,822		2,866
6.290% due 01/01/2021		147		150
6.344% due 08/01/2011		222		226
7.449% due 08/10/2010		5		5
7.500% due 04/01/2017		719		745
8.017% due 02/10/2010		50		51

Total U.S. Government Agencies (Cost $3,565,603)				3,573,991

U.S. TREASURY OBLIGATIONS 2.4%
Treasury Inflation Protected Securities (c)
1.750% due 01/15/2028		8,923		7,757
2.000% due 01/15/2016		11,377		11,212
2.375% due 01/15/2025		57,520		55,601
2.625% due 07/15/2017		17,247		17,734
U.S. Treasury Notes
4.250% due 08/15/2013		12,700		13,441

Total U.S. Treasury Obligations (Cost $111,785)				105,745

MORTGAGE-BACKED SECURITIES 6.6%
American Home Mortgage Investment Trust
4.390% due 02/25/2045		2,746		1,845
Banc of America Commercial Mortgage, Inc.
4.128% due 07/10/2042		395		389
4.875% due 06/10/2039		291		288
5.929% due 05/10/2045		6,400		5,807
Banc of America Funding Corp.
4.135% due 05/25/2035		4,331		3,692
Banc of America Mortgage Securities, Inc.
5.147% due 05/25/2033		5,101		5,004
6.500% due 10/25/2031		817		823
6.500% due 09/25/2033		387		367
Bear Stearns Adjustable Rate Mortgage Trust
4.666% due 07/25/2034		3,711		3,502
4.734% due 01/25/2034		2,080		2,049
4.750% due 10/25/2035		12,561		12,340
4.767% due 11/25/2030		5		5
4.772% due 11/25/2034		3,102		2,844
4.959% due 01/25/2035		4,121		3,741
5.040% due 04/25/2033		1,010		974
5.071% due 11/25/2034		9,599		9,147
5.600% due 02/25/2033		225		210
6.752% due 02/25/2033		128		127
Bear Stearns Alt-A Trust
5.370% due 05/25/2035		5,583		4,749
5.504% due 09/25/2035		3,323		2,680
Bear Stearns Commercial Mortgage Securities
5.331% due 02/11/2044		1,000		841
5.700% due 06/11/2050		9,400		8,015
Bear Stearns Structured Products, Inc.
4.639% due 01/26/2036		6,798		5,413
5.772% due 12/26/2046		3,969		3,159
Citigroup Commercial Mortgage Trust
2.558% due 08/15/2021		165		156
Citigroup Mortgage Loan Trust, Inc.
4.700% due 12/25/2035		1,553		1,444
Commercial Mortgage Pass-Through Certificates
5.306% due 12/10/2046		3,300		2,866
Countrywide Alternative Loan Trust
3.387% due 05/25/2047		4,783		2,916
4.673% due 08/25/2034		24		24
Countrywide Home Loan Mortgage Pass-Through Trust
4.727% due 02/20/2035		10,736		9,552
4.797% due 11/25/2034		5,899		5,187
5.250% due 02/20/2036		1,742		1,353
5.750% due 05/25/2033		234		234
CS First Boston Mortgage Securities Corp.
5.357% due 06/25/2032		22		22
First Nationwide Trust
6.750% due 08/21/2031		15		15
Greenpoint Mortgage Funding Trust
3.287% due 10/25/2046		5,004		4,306
3.287% due 01/25/2047		5,449		5,178
Greenpoint Mortgage Pass-Through Certificates
5.454% due 10/25/2033		4,010		3,917
Greenwich Capital Commercial Funding Corp.
5.317% due 06/10/2036		915		864
5.444% due 03/10/2039		3,000		2,543
GS Mortgage Securities Corp. II
2.577% due 03/06/2020		7,352		6,607
5.396% due 08/10/2038		905		849
5.993% due 08/10/2045		5,500		4,710
GSR Mortgage Loan Trust
4.539% due 09/25/2035		18,774		16,070
5.248% due 11/25/2035		7,202		6,198
Harborview Mortgage Loan Trust
3.120% due 01/19/2038		5,689		5,241
3.220% due 01/19/2038		12,073		7,297
3.250% due 05/19/2035		1,068		691
5.145% due 07/19/2035		5,003		4,360
Impac Secured Assets CMN Owner Trust
3.287% due 01/25/2037		2,461		2,322
Indymac ARM Trust
5.183% due 01/25/2032		4		3
Indymac Index Mortgage Loan Trust
3.297% due 11/25/2046		2,973		2,794
JPMorgan Chase Commercial Mortgage Securities Corp.
5.336% due 05/15/2047		6,800		5,868
5.420% due 01/15/2049		20,956		17,465
5.882% due 02/15/2051		2,300		1,966
JPMorgan Mortgage Trust
5.021% due 02/25/2035		5,116		4,460
Lehman Brothers Floating Rate Commercial Mortgage Trust
2.568% due 09/15/2021		813		737
MASTR Adjustable Rate Mortgages Trust
3.788% due 11/21/2034		3,323		3,286
Merrill Lynch Countrywide Commercial Mortgage Trust
3.024% due 07/09/2009		12,200		11,127
5.485% due 03/12/2051		5,500		4,627
Merrill Lynch Mortgage Investors, Inc.
3.417% due 02/25/2036		3,082		2,505
Merrill Lynch Mortgage Trust
4.353% due 02/12/2042		326		321
MLCC Mortgage Investors, Inc.
3.457% due 11/25/2035		895		810
4.207% due 10/25/2035		1,516		1,379
Morgan Stanley Capital I
2.548% due 10/15/2020		1,759		1,580
4.050% due 01/13/2041		478		467
Prime Mortgage Trust
3.607% due 02/25/2019		162		153
3.607% due 02/25/2034		887		811
Residential Funding Mortgage Securities I
6.500% due 03/25/2032		921		871
Sovereign Commercial Mortgage Securities Trust
5.835% due 07/22/2030		1,200		1,112
Structured Adjustable Rate Mortgage Loan Trust
5.503% due 07/25/2035		1,394		1,143
Structured Asset Mortgage Investments, Inc.
3.280% due 07/19/2035		6,496		5,391
3.360% due 09/19/2032		128		117
Structured Asset Securities Corp.
5.044% due 07/25/2032		12		12
5.957% due 02/25/2032		18		16
Thornburg Mortgage Securities Trust
3.317% due 11/25/2046		4,361		4,184
Wachovia Bank Commercial Mortgage Trust
2.568% due 06/15/2020		8,154		7,213
2.578% due 09/15/2021		18,458		16,869
5.509% due 04/15/2047		3,200		2,670
WaMu Mortgage Pass-Through Certificates
3.497% due 10/25/2045		1,213		769
4.055% due 11/25/2042		668		596
4.255% due 08/25/2042		1,599		1,431
Wells Fargo Mortgage-Backed Securities Trust
4.950% due 01/25/2035		7,971		7,230
4.950% due 03/25/2036		7,106		6,288
4.992% due 12/25/2034		5,951		5,410

Total Mortgage-Backed Securities (Cost $331,084)				294,614

ASSET-BACKED SECURITIES 2.2%
ACE Securities Corp.
3.257% due 12/25/2036		1,565		1,474
Amortizing Residential Collateral Trust
3.477% due 06/25/2032		273		204
Argent Securities, Inc.
3.257% due 09/25/2036		811		802
Asset-Backed Funding Certificates
3.267% due 11/25/2036		3,452		3,321
3.267% due 01/25/2037		2,604		2,457
Bear Stearns Asset-Backed Securities Trust
3.287% due 10/25/2036		1,605		1,542
3.297% due 06/25/2047		2,876		2,737
Chase Credit Card Master Trust
2.598% due 02/15/2011		9,900		9,893
Countrywide Asset-Backed Certificates
3.257% due 01/25/2037		398		396
3.257% due 05/25/2037		2,483		2,417
3.257% due 12/25/2046		778		769
3.257% due 05/25/2047		2,484		2,391
Credit-Based Asset Servicing & Securitization LLC
3.267% due 11/25/2036		2,901		2,787
EMC Mortgage Loan Trust
3.577% due 05/25/2040		533		444
First Franklin Mortgage Loan Asset-Backed
Certificates
3.257% due 11/25/2036		5,131		4,829
Fremont Home Loan Trust
3.267% due 01/25/2037		3,110		2,929
3.277% due 02/25/2037		1,215		1,191
HFC Home Equity Loan Asset-Backed Certificates
3.478% due 01/20/2034		6,335		5,489
HSI Asset Securitization Corp. Trust
3.257% due 12/25/2036		2,027		1,884
Indymac Residential Asset-Backed Trust
3.267% due 04/25/2037		1,884		1,838
JPMorgan Mortgage Acquisition Corp.
3.257% due 08/25/2036		1,095		1,075
3.267% due 04/25/2037		5,639		5,194
Lehman XS Trust
3.277% due 05/25/2046		698		676
Long Beach Mortgage Loan Trust
3.487% due 10/25/2034		156		120
MASTR Asset-Backed Securities Trust
3.267% due 11/25/2036		2,977		2,910
Merrill Lynch Mortgage Investors, Inc.
3.277% due 08/25/2036		2,442		2,376
Morgan Stanley ABS Capital I
3.247% due 10/25/2036		1,404		1,367
3.257% due 10/25/2036		1,282		1,250
Nelnet Student Loan Trust
3.264% due 12/22/2016		8,200		8,064
Park Place Securities, Inc.
3.519% due 10/25/2034		2,831		2,392
Residential Asset Securities Corp.
3.277% due 11/25/2036		2,453		2,409
Saxon Asset Securities Trust
3.267% due 10/25/2046		1,106		1,082
SBI HELOC Trust
3.377% due 08/25/2036		2,202		2,151
Securitized Asset-Backed Receivables LLC Trust
3.337% due 05/25/2037		6,365		5,594
SLM Student Loan Trust
2.800% due 10/25/2016		5,365		5,323
Soundview Home Equity Loan Trust
3.307% due 10/25/2036		1,660		1,647
Structured Asset Securities Corp.
3.257% due 10/25/2036		3,716		3,528
3.497% due 01/25/2033		73		61
Wells Fargo Home Equity Trust
3.257% due 01/25/2037		1,485		1,448

Total Asset-Backed Securities (Cost $103,411)				98,461

SOVEREIGN ISSUES 0.8%
China Development Bank
5.000% due 10/15/2015		900		849
Export-Import Bank of Korea
2.901% due 06/01/2009		8,500		8,433
4.125% due 02/10/2009		140		139
Korea Development Bank
2.928% due 04/03/2010		25,000		24,718
South Africa Government International Bond
5.875% due 05/30/2022		500		425

Total Sovereign Issues (Cost $35,033)				34,564

FOREIGN CURRENCY-DENOMINATED ISSUES 0.5%
Brazilian Government International Bond
10.250% due 01/10/2028	BRL	4,400		2,043
General Electric Capital Corp.
5.500% due 09/15/2067	EUR	24,100		20,358

Total Foreign Currency-Denominated Issues (Cost $35,074)				22,401

	Shares
PREFERRED STOCKS 0.3%
DG Funding Trust
5.051% due 12/31/2049		1,239		12,638

Total Preferred Stocks (Cost $13,056)				12,638

	Principal Amount (000s)
SHORT-TERM INSTRUMENTS 5.9%
Certificates Of Deposit 0.7%
Nordea Bank Finland PLC
2.474% due 04/09/2009	$	14,300		14,293
Skandinaviska Enskilda Banken AB
2.794% due 02/13/2009		8,300		8,288
Wachovia Bank N.A.
2.758% due 10/03/2008		8,800		8,800

				31,381

Commercial Paper 2.7%
Bank of America Corp.
0.010% due 10/01/2008		61,300		61,300
Federal Home Loan Bank
2.270% due 10/01/2008		57,300		57,300

				118,600

Repurchase Agreements 1.4%
Deutsche Bank AG
0.500% due 10/01/2008		63,000		63,000
(Dated 09/30/2008. Collateralized by U.S. Treasury Inflation Protected Securities 3.875% due 04/15/2029 valued at $63,293. Repurchase proceeds are $63,001.)
State Street Bank and Trust Co.
1.000% due 10/01/2008		1,272		1,272
(Dated 09/30/2008. Collateralized by Fannie Mae 7.125% due 06/15/2010 valued at $1,301. Repurchase proceeds are $1,272.)

				64,272

U.S. Treasury Bills 1.1%
1.168% due 10/16/2008 - 12/26/2008 (b)(d)(e)(f)		50,000		49,983

Total Short-Term Instruments (Cost $264,168)				264,236

Purchased Options (j) 0.3% (Cost $18,368)				11,995
Total Investments 125.1% (Cost $5,756,228)			$	5,550,083
Written Options (k) (0.3%) (Premiums $18,769)				(15,882	)
Other Assets and Liabilities (Net) (24.8%)				(1,099,122	)

Net Assets 100.0%			$	4,435,079

Notes to Schedule of Investments (amounts in thousands*, except number of contracts):

* A zero balance may reflect actual amounts rounding to less than one thousand.

(a) Security is in default.

(b) Coupon represents a weighted average rate.

(d) Securities with an aggregate market value of $36,889 have been pledged as collateral for swap and swaption contracts on September 30, 2008.

(e) Securities with an aggregate market value of $800 have been pledged as collateral for delayed-delivery securities on September 30, 2008.

(f) Securities with an aggregate market value of $100 have been pledged as collateral for delayed-delivery mortgage-backed securities on September 30, 2008.

(g) The average amount of borrowings while outstanding during the period ended September 30, 2008 was $379,951 at a weighted average interest rate of 3.026%. On September 30, 2008, securities valued at $298,903 were pledged as collateral for reverse repurchase agreements.

(h) Cash of $31,040 has been pledged as collateral for the following open futures contracts on September 30, 2008:


Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Euribor December Futures	Long	12/2008	351	$	287
90-Day Euribor June Futures	Long	06/2009	141		553
90-Day Euribor March Futures	Long	03/2009	237		767
90-Day Eurodollar December Futures	Long	12/2008	10,174		12,684
90-Day Eurodollar December Futures	Long	12/2009	1,404		24
90-Day Eurodollar June Futures	Long	06/2009	3,213		1,700
90-Day Eurodollar June Futures	Long	06/2010	46		18
90-Day Eurodollar March Futures	Long	03/2009	5,747		9,885
90-Day Eurodollar March Futures	Long	03/2010	1,028		331
90-Day Eurodollar September Futures	Long	09/2009	1,807		658
90-Day Eurodollar September Futures	Long	09/2010	46		18
U.S. Treasury 10-Year Note December Futures	Long	12/2008	1,178		(2,118	)
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2008	750		(827	)
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2009	66		(2	)
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2009	787		1,874
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2009	1,292		2,705

				$	28,557

(i) Swap agreements outstanding on September 30, 2008:

Credit Default Swaps on Corporate and Sovereign Issues - Sell Protection⁽¹⁾


Reference Obligation	Fixed Deal Receive Rate		Maturity Date	Counterparty	Implied Credit Spread at September 30, 2008⁽³⁾	Notional Amount⁽⁴⁾		Market Value			Upfront Premiums Paid/(Received)		Unrealized Appreciation/ (Depreciation)
American International Group, Inc. 6.250% due 05/01/2036	1.670	%	03/20/2013	BCLY	14.972%	$	3,000	$	(1,035	)	$	0	$	(1,035	)
Bank of America Corp. 6.250% due 04/15/2012	0.820	%	03/20/2013	GSC	1.543%		5,400		(153	)		0		(153	)
Bank of America Corp. 6.250% due 04/15/2012	0.820	%	03/20/2013	RBS	1.543%		7,800		(222	)		0		(222	)
Berkshire Hathaway Finance Corp. 4.625% due 10/15/2013	0.850	%	03/20/2013	DUB	1.386%		3,900		(82	)		0		(82	)
Deutsche Bank AG 5.500% due 05/18/2011	0.550	%	12/20/2008	RBS	1.543%		22,600		(48	)		0		(48	)
Ford Motor Credit Co. LLC 7.000% due 10/01/2013	4.150	%	09/20/2012	BCLY	28.870%		2,500		(1,060	)		0		(1,060	)
Ford Motor Credit Co. LLC 7.000% due 10/01/2013	5.800	%	09/20/2012	BCLY	28.870%		500		(198	)		0		(198	)
Ford Motor Credit Co. LLC 7.000% due 10/01/2013	3.850	%	09/20/2012	GSC	28.870%		500		(215	)		0		(215	)
Ford Motor Credit Co. LLC 7.000% due 10/01/2013	3.900	%	09/20/2012	JPM	28.870%		2,500		(1,071	)		0		(1,071	)
Ford Motor Credit Co. LLC 7.000% due 10/01/2013	5.750	%	09/20/2012	JPM	28.870%		500		(198	)		0		(198	)
Ford Motor Credit Co. LLC 7.000% due 10/01/2013	5.620	%	09/20/2012	MLP	28.870%		1,500		(597	)		0		(597	)
General Electric Capital Corp. 6.000% due 06/15/2012	0.770	%	06/20/2010	BCLY	6.824%		2,900		(263	)		0		(263	)
General Electric Capital Corp. 6.000% due 06/15/2012	1.020	%	09/20/2010	BCLY	6.710%		3,400		(325	)		0		(325	)
General Electric Capital Corp. 6.000% due 06/15/2012	0.935	%	12/20/2010	BCLY	6.632%		600		(63	)		0		(63	)
General Electric Capital Corp. 6.000% due 06/15/2012	1.100	%	12/20/2009	BNP	7.165%		9,600		(642	)		0		(642	)
General Electric Capital Corp. 6.000% due 06/15/2012	0.940	%	12/20/2010	BNP	6.632%		2,200		(233	)		0		(233	)
General Electric Capital Corp. 6.000% due 06/15/2012	0.750	%	03/20/2009	CITI	7.398%		4,800		(144	)		0		(144	)
General Electric Capital Corp. 6.000% due 06/15/2012	1.100	%	03/20/2010	CITI	6.975%		400		(31	)		0		(31	)
General Electric Capital Corp. 6.000% due 06/15/2012	1.150	%	03/20/2010	CITI	6.975%		200		(15	)		0		(15	)
General Electric Capital Corp. 6.000% due 06/15/2012	1.120	%	12/20/2010	CITI	6.632%		800		(82	)		0		(82	)
General Electric Capital Corp. 6.000% due 06/15/2012	1.100	%	03/20/2009	DUB	7.398%		900		(25	)		0		(25	)
General Electric Capital Corp. 6.000% due 06/15/2012	1.070	%	09/20/2010	DUB	6.710%		3,500		(332	)		0		(332	)
General Electric Capital Corp. 6.000% due 06/15/2012	1.500	%	09/20/2011	DUB	6.478%		1,600		(186	)		0		(186	)
General Electric Capital Corp. 6.000% due 06/15/2012	0.950	%	12/20/2010	DUB	6.632%		1,000		(106	)		0		(106	)
General Electric Capital Corp. 6.000% due 06/15/2012	0.830	%	12/20/2009	GSC	7.165%		1,000		(70	)		0		(70	)
General Electric Capital Corp. 6.000% due 06/15/2012	0.900	%	12/20/2010	GSC	6.632%		700		(75	)		0		(75	)
General Electric Capital Corp. 6.000% due 06/15/2012	0.950	%	01/20/2009	MSC	7.386%		4,000		(76	)		0		(76	)
General Electric Capital Corp. 6.000% due 06/15/2012	1.100	%	09/20/2009	RBS	7.410%		1,300		(74	)		0		(74	)
General Motors Corp. 7.125% due 07/15/2013	4.800	%	12/20/2012	BNP	37.109%		300		(157	)		0		(157	)
General Motors Corp. 7.125% due 07/15/2013	8.900	%	03/20/2013	BOA	36.581%		5,000		(2,311	)		0		(2,311	)
General Motors Corp. 7.125% due 07/15/2013	4.500	%	12/20/2012	BOA	37.109%		1,300		(697	)		0		(697	)
General Motors Corp. 7.125% due 07/15/2013	4.600	%	12/20/2012	DUB	37.109%		800		(427	)		0		(427	)
General Motors Corp. 7.125% due 07/15/2013	9.100	%	03/20/2013	GSC	36.581%		6,100		(2,798	)		0		(2,798	)
General Motors Corp. 7.125% due 07/15/2013	8.900	%	03/20/2013	JPM	36.581%		1,600		(739	)		0		(739	)
General Motors Corp. 7.125% due 07/15/2013	4.550	%	12/20/2012	JPM	37.109%		200		(107	)		0		(107	)
General Motors Corp. 7.125% due 07/15/2013	4.630	%	12/20/2012	MSC	37.109%		300		(160	)		0		(160	)
GMAC LLC 6.875% due 08/28/2012	3.650	%	09/20/2012	BCLY	48.784%		2,500		(1,316	)		0		(1,316	)
GMAC LLC 6.875% due 08/28/2012	3.720	%	09/20/2012	CITI	48.784%		2,500		(1,314	)		0		(1,314	)
GMAC LLC 6.875% due 08/28/2012	3.200	%	09/20/2012	DUB	48.784%		2,000		(1,063	)		0		(1,063	)
GMAC LLC 6.875% due 08/28/2012	3.250	%	09/20/2012	JPM	48.784%		2,500		(1,328	)		0		(1,328	)
GMAC LLC 6.875% due 08/28/2012	3.670	%	09/20/2012	JPM	48.784%		2,500		(1,315	)		0		(1,315	)
GMAC LLC 6.875% due 08/28/2012	3.750	%	09/20/2012	JPM	48.784%		1,000		(525	)		0		(525	)
GMAC LLC 6.875% due 08/28/2012	4.850	%	09/20/2012	JPM	48.784%		3,200		(1,638	)		0		(1,638	)
GMAC LLC 6.875% due 08/28/2012	1.850	%	09/20/2009	MLP	79.633%		5,400		(2,360	)		0		(2,360	)
Indonesia Government International Bond 6.750% due 03/10/2014	0.390	%	12/20/2008	RBS	1.074%		3,000		(4	)		0		(4	)
Indonesia Government International Bond 6.750% due 03/10/2014	0.400	%	12/20/2008	RBS	1.074%		11,000		(16	)		0		(16	)
JSC Gazprom 7.800% due 09/27/2010	0.970	%	10/20/2012	JPM	4.248%		700		(76	)		0		(76	)
JSC Gazprom 7.800% due 09/27/2010	1.020	%	10/20/2012	JPM	4.248%		700		(74	)		0		(74	)
JSC Gazprom 8.625% due 04/28/2034	1.000	%	11/20/2008	CSFB	3.459%		1,300		0			0		0
JSC Gazprom 8.625% due 04/28/2034	1.250	%	12/20/2008	HSBC	3.467%		7,900		(11	)		0		(11	)
JSC Gazprom 8.625% due 04/28/2034	2.170	%	02/20/2013	JPM	4.293%		2,000		(151	)		0		(151	)
JSC Gazprom 8.625% due 04/28/2034	2.180	%	02/20/2013	MSC	4.293%		700		(52	)		0		(52	)
JSC Gazprom 9.625% due 03/01/2013	0.970	%	11/20/2008	HSBC	3.600%		3,100		0			0		0
Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	8.250	%	09/20/2009	CITI	Defaulted		1,300		(1,096	)		0		(1,096	)
Mexico Government International Bond 7.500% due 04/08/2033	0.920	%	03/20/2016	JPM	1.668%		1,200		(55	)		0		(55	)
Panama Government International Bond 8.875% due 09/30/2027	1.200	%	02/20/2017	CSFB	2.393%		400		(30	)		0		(30	)
Panama Government International Bond 8.875% due 09/30/2027	0.730	%	01/20/2012	JPM	1.710%		1,000		(28	)		0		(28	)
Panama Government International Bond 8.875% due 09/30/2027	1.250	%	01/20/2017	JPM	2.386%		1,200		(84	)		0		(84	)
SLM Corp. 5.125% due 08/27/2012	4.550	%	03/20/2009	BOA	19.698%		5,400		(349	)		0		(349	)
SLM Corp. 5.125% due 08/27/2012	5.100	%	03/20/2009	JPM	19.698%		7,100		(440	)		0		(440	)
SLM Corp. 5.125% due 08/27/2012	5.000	%	06/20/2009	MSC	19.714%		1,200		(112	)		0		(112	)
Ukraine Government International Bond 7.650% due 06/11/2013	0.700	%	04/20/2009	HSBC	5.404%		1,600		(36	)		0		(36	)
Ukraine Government International Bond 7.650% due 06/11/2013	0.520	%	05/20/2009	HSBC	5.454%		4,000		(115	)		0		(115	)
Wachovia Corp. 3.625% due 02/17/2009	1.520	%	03/20/2013	DUB	3.670%		12,900		(989	)		0		(989	)
Wachovia Corp. 3.625% due 02/17/2009	3.020	%	03/20/2013	RBS	3.670%		15,700		(353	)		0		(353	)
Wells Fargo & Co. 2.995% due 10/28/2015	0.800	%	09/20/2009	UBS	1.000%		1,500		(2	)		0		(2	)

								$	(29,949	)	$	0	$	(29,949	)

Credit Default Swaps on Credit Indices - Buy Protection⁽²⁾


Reference Obligation	Fixed Deal (Pay) Rate		Maturity Date	Counterparty	Notional Amount⁽⁴⁾		Market Value⁽⁵⁾		Upfront Premiums Paid/ (Received)			Unrealized Appreciation
CDX.HY-10 Index	(5.000	%)	06/20/2013	DUB	$	2,600	$	254	$	185		$	69
CDX.IG-10 5 Year Index	(1.550	%)	06/20/2013	BCLY		42,200		233		(425	)		658
CDX.IG-10 5 Year Index	(1.550	%)	06/20/2013	DUB		90,100		498		(398	)		896
CDX.IG-10 5 Year Index	(1.550	%)	06/20/2013	GSC		36,200		200		(589	)		789
CDX.IG-10 5 Year Index	(1.550	%)	06/20/2013	MSC		67,200		371		(720	)		1,091

							$	1,556	$	(1,947	)	$	3,503

Credit Default Swaps on Credit Indices - Sell Protection⁽¹⁾


Reference Obligation	Fixed Deal Receive Rate		Maturity Date	Counterparty	Notional Amount⁽⁴⁾		Market Value⁽⁵⁾			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
CDX.HY-8 Index 25-35%	1.846	%	06/20/2012	CITI	$	1,000	$	(89	)	$	0		$	(89	)
CDX.HY-8 Index 25-35%	2.144	%	06/20/2012	CITI		1,100		(87	)		0			(87	)
CDX.HY-8 Index 25-35%	2.179	%	06/20/2012	CITI		700		(54	)		0			(54	)
CDX.HY-8 Index 25-35%	1.833	%	06/20/2012	MLP		2,700		(242	)		0			(242	)
CDX.HY-8 Index 25-35%	2.070	%	06/20/2012	MLP		1,400		(114	)		0			(114	)
CDX.HY-8 Index 25-35%	2.127	%	06/20/2012	MLP		500		(40	)		0			(40	)
CDX.HY-8 Index 25-35%	2.080	%	06/20/2012	MSC		1,000		(81	)		0			(81	)
CDX.HY-8 Index 25-35%	2.140	%	06/20/2012	MSC		1,900		(150	)		0			(150	)
CDX.HY-8 Index 25-35%	2.170	%	06/20/2012	MSC		700		(55	)		0			(55	)
CDX.HY-8 Index 35-100%	0.355	%	06/20/2012	CITI		14,607		(561	)		0			(561	)
CDX.HY-8 Index 35-100%	0.360	%	06/20/2012	CITI		4,968		(190	)		0			(190	)
CDX.HY-8 Index 35-100%	0.401	%	06/20/2012	CITI		3,776		(140	)		0			(140	)
CDX.IG-9 5 Year Index 15-30%	1.120	%	12/20/2012	GSC		20,100		192			0			192
CDX.IG-9 5 Year Index 15-30%	1.120	%	12/20/2012	JPM		4,600		44			0			44
CDX.IG-9 5 Year Index 15-30%	0.963	%	12/20/2012	MSC		9,100		31			0			31
CDX.IG-9 5 Year Index 30-100%	0.758	%	12/20/2012	BCLY		36,900		500			0			500
CDX.IG-9 5 Year Index 30-100%	0.705	%	12/20/2012	GSC		24,200		277			0			277
CDX.IG-9 10 Year Index 30-100%	0.548	%	12/20/2017	GSC		1,900		1			0			1
CDX.IG-9 10 Year Index 30-100%	0.555	%	12/20/2017	GSC		3,600		5			0			5
CDX.IG-9 10 Year Index 30-100%	0.553	%	12/20/2017	JPM		4,200		4			0			4
CDX.IG-10 5 Year Index	1.550	%	06/20/2013	DUB		700		(4	)		(10	)		6
CDX.IG-10 5 Year Index 30-100%	0.530	%	06/20/2013	DUB		4,700		21			0			21
CDX.IG-10 5 Year Index 30-100%	0.463	%	06/20/2013	GSC		5,900		9			0			9
CMBX.NA AAA 3 Index	0.080	%	12/13/2049	MSC		8,800		(916	)		(1,447	)		531

							$	(1,639	)	$	(1,457	)	$	(182	)

⁽¹⁾

⁽²⁾

If the Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the underlying securities comprising the referenced index.

⁽³⁾

⁽⁴⁾	The maximum potential amount the Portfolio 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 that particular swap agreement.

⁽⁵⁾

Interest Rate Swaps


Pay/ Receive Floating Rate	Floating Rate Index	Fixed Rate		Maturity Date	Counterparty	Notional Amount		Market Value			Upfront Premiums Paid/(Received)			Unrealized Appreciation/ (Depreciation)
Pay	1-Year BRL-CDI	11.360	%	01/04/2010	BCLY	BRL	16,700	$	(306	)	$	0		$	(306	)
Pay	1-Year BRL-CDI	11.430	%	01/04/2010	MLP		11,000		(193	)		0			(193	)
Pay	1-Year BRL-CDI	11.465	%	01/04/2010	GSC		4,300		(74	)		0			(74	)
Pay	1-Year BRL-CDI	12.410	%	01/04/2010	UBS		9,800		(68	)		(18	)		(50	)
Pay	1-Year BRL-CDI	12.670	%	01/04/2010	MSC		9,800		(66	)		(14	)		(52	)
Pay	1-Year BRL-CDI	12.780	%	01/04/2010	MSC		14,200		(37	)		15			(52	)
Pay	1-Year BRL-CDI	12.948	%	01/04/2010	MLP		5,900		(4	)		5			(9	)
Pay	1-Year BRL-CDI	10.575	%	01/02/2012	UBS		23,400		(1,007	)		(422	)		(585	)
Pay	1-Year BRL-CDI	11.980	%	01/02/2012	MLP		20,800		(464	)		0			(464	)
Pay	1-Year BRL-CDI	12.540	%	01/02/2012	MLP		24,000		(374	)		(160	)		(214	)
Pay	1-Year BRL-CDI	12.540	%	01/02/2012	UBS		22,600		(352	)		(12	)		(340	)
Pay	1-Year BRL-CDI	14.765	%	01/02/2012	HSBC		1,200		6			8			(2	)
Pay	1-Year BRL-CDI	14.765	%	01/02/2012	MLP		4,100		22			17			5
Pay	3-Month AUD Bank Bill	7.500	%	03/15/2010	UBS	AUD	7,600		84			(21	)		105
Pay	3-Month AUD Bank Bill	7.000	%	06/15/2010	UBS		123,400		851			443			408
Pay	3-Month USD-LIBOR	4.000	%	06/17/2010	MSC	$	47,200		319			(127	)		446
Pay	3-Month USD-LIBOR	4.000	%	06/17/2010	RBS		64,200		433			(151	)		584
Pay	3-Month USD-LIBOR	4.000	%	12/16/2010	BCLY		10,500		27			12			15
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	BOA		57,200		616			968			(352	)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	DUB		32,200		347			541			(194	)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	MLP		44,900		483			178			305
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	RBS		30,200		325			183			142
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	BOA		49,100		(1,868	)		(1,734	)		(134	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	GSC		2,900		(110	)		(135	)		25
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	MLP		2,100		(80	)		(103	)		23
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	MSC		700		(27	)		(33	)		6
Receive	3-Month USD-LIBOR	5.000	%	12/17/2023	MLP		1,800		(65	)		(36	)		(29	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2028	BOA		25,200		(917	)		259			(1,176	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2028	MSC		4,600		(167	)		(46	)		(121	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2028	RBS		6,800		(247	)		48			(295	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	BOA		34,500		(1,537	)		1,000			(2,537	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	CITI		10,300		(459	)		150			(609	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	MLP		8,200		(366	)		235			(601	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	MSC		7,400		(330	)		151			(481	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	RBS		6,800		(303	)		153			(456	)
Pay	6-Month AUD Bank Bill	7.500	%	03/15/2011	UBS	AUD	48,500		965			205			760
Pay	6-Month AUD Bank Bill	7.000	%	03/20/2013	DUB		7,000		143			50			93
Receive	6-Month AUD Bank Bill	6.500	%	03/20/2018	DUB		9,800		(72	)		(68	)		(4	)
Pay	6-Month EUR-LIBOR	4.500	%	03/18/2014	BNP	EUR	8,800		(55	)		(133	)		78
Pay	6-Month GBP-LIBOR	6.000	%	12/20/2008	BCLY	GBP	24,100		(45	)		78			(123	)
Pay	6-Month GBP-LIBOR	6.000	%	12/20/2008	DUB		14,400		(27	)		51			(78	)
Pay	6-Month GBP-LIBOR	6.000	%	03/20/2009	BCLY		13,600		(18	)		103			(121	)
Pay	6-Month GBP-LIBOR	6.000	%	03/20/2009	RBS		12,700		(17	)		102			(119	)
Pay	6-Month GBP-LIBOR	5.000	%	06/15/2009	BCLY		14,400		(224	)		(423	)		199
Pay	6-Month GBP-LIBOR	5.000	%	06/15/2009	CSFB		2,800		(43	)		(66	)		23
Pay	6-Month GBP-LIBOR	5.000	%	06/15/2009	GSC		28,500		(444	)		(651	)		207
Pay	6-Month GBP-LIBOR	6.000	%	06/19/2009	GSC		74,700		135			(264	)		399
Pay	6-Month GBP-LIBOR	6.000	%	06/19/2009	RBS		21,200		39			(61	)		100
Pay	6-Month GBP-LIBOR	6.000	%	12/19/2009	GSC		6,300		74			(66	)		140
Pay	6-Month GBP-LIBOR	5.100	%	09/15/2013	HSBC		2,600		(11	)		(6	)		(5	)
Pay	6-Month GBP-LIBOR	5.000	%	09/17/2013	GSC		1,600		(22	)		14			(36	)
Pay	6-Month GBP-LIBOR	5.000	%	09/17/2013	HSBC		9,600		(131	)		97			(228	)
Pay	6-Month GBP-LIBOR	5.250	%	03/18/2014	GSC		2,600		38			(1	)		39
Pay	6-Month GBP-LIBOR	5.250	%	03/18/2014	RBS		6,000		88			(5	)		93
Receive	6-Month GBP-LIBOR	4.000	%	12/15/2035	BCLY		2,900		72			13			59
Receive	6-Month GBP-LIBOR	4.000	%	12/15/2035	MLP		2,200		55			5			50
Receive	6-Month GBP-LIBOR	4.000	%	12/15/2036	BCLY		3,200		474			375			99
Receive	6-Month GBP-LIBOR	4.000	%	12/15/2036	HSBC		5,500		815			831			(16	)
Receive	6-Month GBP-LIBOR	4.000	%	12/15/2036	RBS		10,000		1,481			1,409			72
Receive	6-Month GBP-LIBOR	5.500	%	12/15/2036	GSC		5,000		(1,360	)		(686	)		(674	)
Receive	6-Month GBP-LIBOR	5.500	%	12/15/2036	RBS		1,400		(381	)		(181	)		(200	)
Receive	6-Month GBP-LIBOR	5.000	%	12/19/2037	GSC		800		(113	)		36			(149	)
Receive	30-Day USD-CMM Rate	5.000	%	02/20/2009	MLP	$	10,900		261			745			(484	)
Receive	30-Day USD-CMM Rate	5.500	%	05/21/2009	MLP		13,100		(308	)		59			(367	)
Pay	France CPI ex-Tobacco Index	2.090	%	10/15/2010	BNP	EUR	10,200		(84	)		(6	)		(78	)
Pay	France CPI ex-Tobacco Index	2.103	%	10/15/2010	BCLY		1,400		(11	)		0			(11	)
Pay	France CPI ex-Tobacco Index	2.146	%	10/15/2010	UBS		1,900		(9	)		0			(9	)
Pay	France CPI ex-Tobacco Index	1.948	%	03/15/2012	JPM		8,400		(335	)		3			(338	)
Pay	France CPI ex-Tobacco Index	1.955	%	03/28/2012	RBS		1,800		(74	)		0			(74	)
Pay	France CPI ex-Tobacco Index	1.950	%	03/30/2012	RBS		1,500		(63	)		0			(63	)
Pay	France CPI ex-Tobacco Index	1.960	%	03/30/2012	GSC		2,400		(103	)		0			(103	)
Pay	France CPI ex-Tobacco Index	1.960	%	04/05/2012	BCLY		1,200		(49	)		0			(49	)
Pay	France CPI ex-Tobacco Index	1.958	%	04/10/2012	JPM		700		(30	)		0			(30	)
Pay	USSP Semi 2-Year Index	0.710	%	02/05/2009	BNP	$	15,800		(160	)		7			(167	)
Pay	USSP Semi 5-Year Index	0.763	%	02/05/2009	BNP		31,600		(320	)		7			(327	)

								$	(5,777	)	$	2,927		$	(8,704	)

Interest Rate Cap/Floor Swaps

Pay/Receive

Floating
Rate

Floating Rate

Index

Cap/Floor

Cap/Floor
Floating Rate

Maturity
Date

Counterparty

Notional
Amount

Market
Value

Upfront
Premiums
Paid/(Received)

Unrealized
Appreciation

Pay

10/2-Year EUR ISDA rate spread

Floor

(0.750%)

12/24/2008

JPM

EUR

8,600

(24

)

(125

)

101

(j) Purchased options outstanding on September 30, 2008:

Interest Rate Swaptions


Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Cost		Value
Call - OTC 2-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	3.500	%	02/02/2009	$	256,100	$	2,749	$	2,053
Call - OTC 2-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		125,100		1,338		923
Call - OTC 2-Year Interest Rate Swap	JPM	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		86,100		917		636
Call - OTC 2-Year Interest Rate Swap	MLP	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		33,500		375		247
Call - OTC 2-Year Interest Rate Swap	MSC	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		207,000		1,956		1,528
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.150	%	12/15/2008		544,200		4,963		2,148
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.150	%	02/02/2009		112,200		1,212		569
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.600	%	07/02/2009		50,600		486		440
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		289,400		3,085		2,136
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.850	%	08/03/2009		121,700		1,287		1,315

									$	18,368	$	11,995

(k) Written options outstanding on September 30, 2008:

Options on Exchange-Traded Futures Contracts


Description		Exercise Price	Expiration Date	# of Contracts	Premium		Value
Call - CBOT U.S. Treasury 10-Year Note December Futures	$	119.000	11/21/2008	378	$	211	$	229
Put - CBOT U.S. Treasury 10-Year Note December Futures		113.000	11/21/2008	378		214		486

					$	425	$	715

Interest Rate Swaptions


Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Value
Call - OTC 5-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	4.300	%	02/02/2009	$	88,400	$	2,174	$	1,952
Call - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	4.600	%	02/02/2009		17,500		562		548
Call - OTC 5-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	4.150	%	08/03/2009		29,200		733		598
Call - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		19,300		631		538
Call - OTC 7-Year Interest Rate Swap	JPM	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		28,700		950		800
Call - OTC 7-Year Interest Rate Swap	MLP	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		11,200		370		312
Call - OTC 7-Year Interest Rate Swap	MSC	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		69,000		2,156		1,923
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.300	%	12/15/2008		182,500		4,785		3,284
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.250	%	02/02/2009		37,400		1,128		751
Call - OTC 5-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.200	%	07/02/2009		22,000		486		469
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		96,400		3,126		2,687
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.550	%	08/03/2009		40,600		1,243		1,305

									$	18,344	$	15,167

(l) Short sales outstanding on September 30, 2008:


Description	Coupon	Maturity Date	Principal Amount		Proceeds		Value⁽⁶⁾
Ginnie Mae	5.500%	10/01/2038	$	400	$	402	$	400
U.S. Treasury Notes	2.000%	02/28/2010		28,700		28,652		28,803
U.S. Treasury Notes	2.125%	01/31/2010		42,500		42,519		42,805
U.S. Treasury Notes	2.125%	04/30/2010		26,900		26,893		27,292
U.S. Treasury Notes	2.375%	08/31/2010		69,200		69,754		69,949
U.S. Treasury Notes	3.125%	11/30/2009		12,300		12,477		12,482
U.S. Treasury Notes	3.250%	12/31/2009		128,000		130,007		131,300
U.S. Treasury Notes	3.500%	02/15/2010		14,100		14,463		14,486
U.S. Treasury Notes	4.250%	08/15/2013		12,700		13,399		13,522

					$	338,567	$	341,039

⁽⁶⁾ Market value includes $1,895 of interest payable on short sales.

(m) Foreign currency contracts outstanding on September 30, 2008:


Type	Currency	Counterparty	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	AED	BCLY	1,492	04/2009	$	0	$	(7	)	$	(7	)
Buy		HSBC	1,497	04/2009		0		(7	)		(7	)
Sell	AUD	MSC	3,400	10/2008		0		(11	)		(11	)
Sell		RBS	30	10/2008		1		0			1
Buy		UBS	1,826	10/2008		0		(126	)		(126	)
Sell	BRL	BNP	1,050	12/2008		2		0			2
Buy		HSBC	80,790	12/2008		0		(945	)		(945	)
Sell		HSBC	1,051	12/2008		2		0			2
Sell		JPM	71,561	12/2008		4,464		0			4,464
Sell		MSC	77,815	12/2008		3,610		0			3,610
Buy		UBS	180,000	12/2008		0		(2,335	)		(2,335	)
Sell		UBS	50,316	12/2008		2,593		0			2,593
Buy	CLP	MSC	709,183	12/2008		0		(185	)		(185	)
Buy	CNY	BCLY	6,922	11/2008		0		(15	)		(15	)
Buy		BOA	5,174	11/2008		0		(12	)		(12	)
Buy		DUB	25,122	11/2008		0		(58	)		(58	)
Buy		HSBC	5,581	11/2008		0		(13	)		(13	)
Buy		JPM	25,641	11/2008		0		(56	)		(56	)
Buy		UBS	5,177	11/2008		0		(11	)		(11	)
Buy		BCLY	34,581	07/2009		0		(361	)		(361	)
Buy		DUB	117,460	07/2009		0		(1,220	)		(1,220	)
Buy		HSBC	37,534	07/2009		0		(348	)		(348	)
Buy		JPM	36,762	07/2009		0		(404	)		(404	)
Buy	EUR	BCLY	6,616	10/2008		0		(459	)		(459	)
Buy		BOA	1,222	10/2008		0		(80	)		(80	)
Buy		HSBC	1,833	10/2008		0		(119	)		(119	)
Buy		JPM	489	10/2008		0		(35	)		(35	)
Buy		MSC	611	10/2008		0		(42	)		(42	)
Sell		UBS	59,458	10/2008		3,316		0			3,316
Buy	GBP	BOA	1,259	10/2008		0		(96	)		(96	)
Buy		UBS	17,003	10/2008		0		(1,315	)		(1,315	)
Sell		UBS	62,855	11/2008		2,167		0			2,167
Buy	IDR	DUB	11,221,000	10/2008		7		0			7
Buy		HSBC	13,314,000	10/2008		7		0			7
Buy	INR	BCLY	222,180	11/2008		0		(463	)		(463	)
Buy		DUB	48,786	11/2008		0		(163	)		(163	)
Buy		HSBC	123,637	11/2008		0		(417	)		(417	)
Buy		JPM	308,473	11/2008		0		(849	)		(849	)
Sell		JPM	123,771	11/2008		66		0			66
Buy	KWD	HSBC	226	04/2009		0		(26	)		(26	)
Buy	MYR	BCLY	18,680	11/2008		0		(363	)		(363	)
Buy		BOA	3,629	11/2008		0		(65	)		(65	)
Buy		DUB	3,624	11/2008		0		(67	)		(67	)
Buy		HSBC	3,635	11/2008		0		(64	)		(64	)
Buy		JPM	3,238	11/2008		0		(57	)		(57	)
Buy		JPM	18,508	02/2009		0		(364	)		(364	)
Buy	PHP	HSBC	181,000	11/2008		0		(251	)		(251	)
Buy		JPM	181,400	11/2008		0		(220	)		(220	)
Buy		BCLY	42,000	02/2009		0		(44	)		(44	)
Buy		DUB	20,400	02/2009		0		(27	)		(27	)
Buy		HSBC	50,510	02/2009		0		(55	)		(55	)
Buy		JPM	71,108	02/2009		0		(57	)		(57	)
Buy		MLP	16,000	02/2009		0		(21	)		(21	)
Buy		MSC	56,500	02/2009		0		(64	)		(64	)
Buy		RBS	15,600	02/2009		0		(21	)		(21	)
Buy		LEH	10,700	12/2010		0		(12	)		(12	)
Sell		LEH	10,700	12/2010		0		(6	)		(6	)
Buy	RUB	BCLY	188,154	11/2008		0		(339	)		(339	)
Sell		HSBC	188,154	11/2008		674		0			674
Buy		JPM	188,154	05/2009		0		(655	)		(655	)
Sell		UBS	188,154	05/2009		593		0			593
Buy	SAR	HSBC	1,532	04/2009		0		(6	)		(6	)
Buy		JPM	1,529	04/2009		0		(5	)		(5	)
Buy	SGD	BCLY	6,143	11/2008		0		(202	)		(202	)
Sell		BCLY	1,854	11/2008		3		0			3
Buy		BOA	6,086	11/2008		0		(236	)		(236	)
Buy		CITI	8,576	11/2008		0		(126	)		(126	)
Buy		DUB	6,429	11/2008		0		(218	)		(218	)
Buy		JPM	12,963	11/2008		0		(289	)		(289	)
Sell		JPM	1,855	11/2008		2		0			2
Sell		MSC	1,855	11/2008		2		0			2
Buy		UBS	6,061	11/2008		0		(233	)		(233	)
Sell		UBS	1,855	11/2008		2		0			2
Sell	ZAR	HSBC	5,080	12/2008		33		0			33
Buy		JPM	148	12/2008		0		(1	)		(1	)
Buy		UBS	4,932	12/2008		1		0			1

					$	17,545	$	(14,246	)	$	3,299

(n) Fair Value Measurements⁺

The following is a summary of the fair valuations according to the inputs used as of September 30, 2008 in valuing the Portfolio’s assets and liabilities:


	Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Other Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)			Value at 09/30/2008
Investments, at value	$	0	$	5,527,761		$	22,322		$	5,550,083
Short Sales, at value		0		(339,144	)		0			(339,144	)
Other Financial Instruments⁺⁺		28,557		(47,484	)		(331	)		(19,258	)

Total	$	28,557	$	5,141,133		$	21,991		$	5,191,681

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Portfolio during the period ending September 30, 2008:


	Beginning Balance at 12/31/2007			Net Purchases/ (Sales)		Accrued Discounts/ (Premiums)		Total Realized Gain/(Loss)		Total Unrealized Appreciation/ (Depreciation)			Net Transfers in/ (Out) of Level 3			Ending Balance at 09/30/2008
Investments, at value	$	12,912		$	13,796	$	31	$	2	$	(16	)	$	(4,403	)	$	22,322
Other Financial Instruments⁺⁺		(403	)		0		0		0		50			22			(331	)

Total	$	12,509		$	13,796	$	31	$	2	$	34		$	(4,381	)	$	21,991

⁺ See note 3 in the Supplementary Notes to Schedule of Investments for additional information.

⁺⁺ Other financial instruments may include open futures contracts, swap contracts, written options, and foreign currency contracts.

See Accompanying Notes

Supplementary Notes to Schedules of Investments

September 30, 2008 (Unaudited)

1. Basis for Consolidation for the PIMCO CommodityRealReturn Strategy Portfolio^®

The PIMCO Cayman Commodity Portfolio I Ltd. (the “Subsidiary”), a Cayman Islands exempted company, was incorporated on July 21, 2006 as a wholly owned subsidiary acting as an investment vehicle for the Portfolio in order to effect certain investments for the Portfolio consistent with the Portfolio’s investment objectives and policies specified in its prospectus and statement of additional information. A subscription agreement was entered into between the Portfolio and the Subsidiary on August 1, 2006, comprising the entire issued share capital of the Subsidiary with the intent that the Portfolio will remain the sole shareholder and retain all rights. Under the Articles of Association of the Subsidiary, shares issued by the Subsidiary confer upon a shareholder the right to receive notice of, to attend and to vote at general meetings of the Subsidiary and shall confer upon the shareholder rights in a winding-up or repayment of capital and the right to participate in the profits or assets of the Subsidiary. As of September 30, 2008, net assets of the Portfolio were approximately $400 million, of which approximately $84 million, or approximately 21%, represented the Portfolio’s ownership of all issued shares and voting rights of the Subsidiary.

2. Federal Income Tax Matters

As of September 30, 2008, the aggregate cost of investments was the same for federal tax and financial statement purposes. The net unrealized appreciation/(depreciation) of investment securities for federal income tax purposes were as follows (amounts in thousands):


Portfolio Name		Aggregate Gross Unrealized Appreciation		Aggregate Gross Unrealized (Depreciation	)		Net Unrealized (Depreciation	)


All Asset Portfolio	$	55	$	(160,642	)	$	(160,587	)
CommodityRealReturn^TM Strategy Portfolio		2,255		(20,109	)		(17,854	)
Emerging Markets Bond Portfolio		1,067		(19,363	)		(18,296	)
Foreign Bond Portfolio (Unhedged)		3		(30	)		(27	)
Foreign Bond Portfolio (U.S. Dollar-Hedged)		1,305		(7,911	)		(6,606	)
Global Bond Portfolio (Unhedged)		6,271		(32,471	)		(26,200	)
High Yield Portfolio		4,736		(72,461	)		(67,725	)
Long-Term U.S. Government Portfolio		1,832		(5,406	)		(3,574	)
Low Duration Portfolio		6,709		(77,483	)		(70,774	)
Real Return Portfolio		11,858		(87,935	)		(76,077	)
RealEstateRealReturn Strategy Portfolio		37		(255	)		(218	)
Short-Term Portfolio		57		(779	)		(722	)
Small Cap StocksPLUS^® TR Portfolio		5		(230	)		(225	)
StocksPLUS^® Growth and Income Portfolio		139		(6,208	)		(6,069	)
StocksPLUS^® Total Return Portfolio		31		(350	)		(319	)
Total Return Portfolio		27,141		(233,286	)		(206,145	)

3. New Accounting Pronouncements

The Portfolios have adopted the following new accounting standard and position issued by the Financial Accounting Standards Board (“FASB”):

•

FASB Statement of Financial Accounting Standards No. 157, Fair Value Measurements (“FAS 157”)

FAS 157 defines fair value as the price that a portfolio would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. It establishes and requires disclosure of a fair value hierarchy, separately for each major category of assets and liabilities, that segregates fair value measurements into levels (Levels 1, 2, and 3). Categorization of fair value measurements is determined by the nature of the inputs as follows: inputs using quoted prices in active markets for identical assets or liabilities (“Level 1”), significant other observable inputs (“Level 2”), and significant unobservable inputs (“Level 3”). Valuation levels are not necessarily an indication of the risk associated with investing in those securities. For fair valuations using significant unobservable inputs, FAS 157 requires a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchases and sales, and transfers in/out of the Level 3 category during the period. In accordance with the requirements of FAS 157, a fair value hierarchy and Level 3 reconciliation have been included in the Notes to the Schedule of Investments for each respective portfolio.

•

FASB Staff Position No. FAS 133-1 and FIN 45-4, “Disclosures about Credit Derivatives and Certain Guarantees: An Amendment of FASB Statement No. 133 and FASB Interpretation No. 45” (the “Position”)

The Position amends FASB Statement No. 133 (“FAS 133”), Accounting for Derivative Instruments and Hedging Activities, and also amends FASB Interpretation No. 45 (“FIN 45”), Guarantor’s Accounting and Disclosure Requirements for Guarantees, Including Indirect Guarantees of Indebtedness of Others. The amendments to FAS 133 include required disclosure for (i) the nature and terms of the credit derivative, reasons for entering into the credit derivative, the events or circumstances that would require the seller to perform under the credit derivative, and the current status of the payment/performance risk of the credit derivative, (ii) the maximum potential amount of future payments (undiscounted) the seller could be required to make under the credit derivative, (iii) the fair value of the credit derivative, and (iv) the nature of any recourse provisions and assets held either as collateral or by third parties. The amendments to FIN 45 require additional disclosures about the current status of the payment/performance risk of a guarantee. All changes to accounting policies have been made in accordance with the Position and incorporated for the current period as part of the Notes to the Schedule of Investments for each respective portfolio.

GLOSSARY: (abbreviations that may be used in the preceding statements)


Counterparty Abbreviations:
ABN	ABN AMRO Bank, N.V.	CITI	Citigroup, Inc.	MLP	Merrill Lynch & Co., Inc.
AIG	AIG International, Inc.	CSFB	Credit Suisse First Boston	MSC	Morgan Stanley
BOA	Bank of America	DUB	Deutsche Bank AG	RBC	Royal Bank of Canada
BCLY	Barclays Bank PLC	GSC	Goldman Sachs & Co.	RBS	Royal Bank of Scotland Group PLC
BEAR	Bear Stearns & Co., Inc.	HSBC	HSBC Bank USA	UBS	UBS Warburg LLC
BNP	BNP Paribas Bank	JPM	JPMorgan Chase & Co.	WAC	Wachovia Bank N.A.
BSN	Bank of Nova Scotia	LEH	Lehman Brothers, Inc.

Currency Abbreviations:
AED	UAE Dirham	HKD	Hong Kong Dollar	PLN	Polish Zloty
ARS	Argentine Peso	HUF	Hungarian Forint	RON	Romanian New Leu
AUD	Australian Dollar	IDR	Indonesian Rupiah	RUB	Russian Ruble
BRL	Brazilian Real	ILS	Israeli Shekel	SAR	Saudi Riyal
CAD	Canadian Dollar	INR	Indian Rupee	SEK	Swedish Krona
CHF	Swiss Franc	JPY	Japanese Yen	SGD	Singapore Dollar
CLP	Chilean Peso	KRW	South Korean Won	SKK	Slovakian Koruna
CNY	Chinese Renminbi	KWD	Kuwaiti Dinar	THB	Thai Baht
COP	Colombian Peso	MXN	Mexican Peso	TRY	Turkish New Lira
CZK	Czech Koruna	MYR	Malaysian Ringgit	TWD	Taiwanese Dollar
DKK	Danish Krone	NOK	Norwegian Krone	UAH	Ukrainian Hryvnia
EGP	Egyptian Pound	NZD	New Zealand Dollar	USD	United States Dollar
EUR	Euro	PEN	Peruvian New Sol	UYU	Uruguayan Peso
GBP	British Pound	PHP	Philippine Peso	ZAR	South African Rand

Exchange Abbreviations:
AMEX	American Stock Exchange	FTSE	Financial Times Stock Exchange	NYBEX	New York Board of Trade
CBOE	Chicago Board Options Exchange	ICEX	Iceland Stock Exchange	NYMEX	New York Mercantile Exchange
CBOT	Chicago Board of Trade	LMEX	London Metal Exchange	OTC	Over-the-Counter
CME	Chicago Mercantile Exchange

Index Abbreviations:
ABX.HE	Asset-Backed Securities Index - Home Equity	CMBX	Commercial Mortgage-Backed Index	GSCI	Goldman Sachs Commodity Index Total Return
CDX.EM	Credit Derivatives Index - Emerging Markets	CPI	Consumer Price Index	HICP	Harmonized Index of Consumer Prices
CDX.HVol	Credit Derivatives Index - High Volatility	DJAIGCI	Dow Jones-AIG Commodity Index	LCDX	Liquid Credit Derivative Index
CDX.HY	Credit Derivatives Index - High Yield	DJAIGTR	Dow Jones-AIG Commodity Index Total Return	MCDX	Municipal Bond Credit Derivative Index
CDX.IG	Credit Derivatives Index - Investment Grade	DWRTT	Dow Jones Wilshire REIT Total Return Index	UKRPI	United Kingdom Retail Price Index
CDX.NA	Credit Derivatives Index - North America	EAFE	Europe, Australasia, and Far East Stock Index	USSP	USD Swap Spread
CDX.XO	Credit Derivatives Index - Crossover	eRAFI	enhanced Research Affiliates Fundamental Index

Municipal Bond or Agency Abbreviations:
ACA	American Capital Access Holding Ltd.	FHLMC	Federal Home Loan Mortgage Corporation	MAIA	Michigan Association of Insurance Agents
AGC	Assured Guaranty Corp.	FNMA	Federal National Mortgage Association	MBIA	Municipal Bond Investors Assurance
AMBAC	American Municipal Bond Assurance Corp.	FSA	Financial Security Assurance, Inc.	PSF	Public School Fund
BHAC	Berkshire Hathaway Assurance Corporation	GNMA	Government National Mortgage Association	Q-SBLF	Qualified School Bond Loan Fund
CM	California Mortgage Insurance	GTD	Guaranteed	Radian	Radian Guaranty, Inc.
CR	Custodial Receipts	HUD	U.S. Department of Housing and Urban Development	ST	State
FGIC	Financial Guaranty Insurance Co.	ICR	Insured Custodial Receipts	VA	Department of Veterans Affairs
FHA	Federal Housing Administration	IBC	Insured Bond Certificate	XLCA	XL Capital Assurance

Other Abbreviations:
ABS	Asset-Backed Security	HIBOR	Hong Kong Interbank Offered Rate	REIT	Real Estate Investment Trust
BRIBOR	Brastislava Interbank Offered Rate	ISDA	International Swaps and Derivatives Association, Inc.	SPDR	Standard & Poor's Depository Receipts
CDI	Brazil Interbank Deposit Rate	JIBOR	Johannesburg Interbank Offered Rate	STIBOR	Stockholm Interbank Offered Rate
CMBS	Collateralized Mortgage-Backed Security	JSC	Joint Stock Company	TIIE	Tasa de Interés Interbancaria de Equilibrio
CMM	Constant Maturity Mortgage Rate	LIBOR	London Interbank Offered Rate	WIBOR	Warsaw Interbank Offered Rate
CMO	Collateralized Mortgage Obligation	MBS	Mortgage-Backed Security	WTI	West Texas Intermediate
EURIBOR	Euro Interbank Offered Rate	MSCI	Morgan Stanley Capital International
FFR	Federal Funds Rate	PRIBOR	Prague Interbank Offered Rate

Item 2. Controls and Procedures.

(a)

The principal executive officer and principal financial officer have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) provide reasonable assurances that material information relating to the registrant is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing of this report.

(b)

There has been no change in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrant’s last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 3. Exhibits.

A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2 under the 1940 Act is attached as Exhibit 99.CERT.

Signatures

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


PIMCO Variable Insurance Trust

By:		/s/ ERNEST L. SCHMIDER
		Ernest L. Schmider
		President, Principal Executive Officer

Date:		November 26, 2008

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



By:		/s/ ERNEST L. SCHMIDER
		Ernest L. Schmider
		President, Principal Executive Officer

Date:		November 26, 2008

By:		/s/ JOHN P. HARDAWAY
		John P. Hardaway
		Treasurer, Principal Financial Officer

Date:		November 26, 2008