UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDING OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-08789

AIG Retirement Company II

(Exact name of registrant as specified in charter)

2929 Allen Parkway, Houston, TX 77019

(Address of principal executive offices)            (Zip code)

Evelyn M. Curran

Senior Vice President

The Variable Annuity Life Insurance Company

2929 Allen Parkway

Houston, TX 77019

(Name and address of agent for service)

Registrant’s telephone number, including area code: (713) 831-6425

Date of fiscal year end: August 31

Date of reporting period: May 31, 2008

Item 1. Schedule of Investments.

ADDITIONAL INFORMATION

Additional information is available in the Fund’s Annual and Semiannual reports which may be obtained without charge from the EDGAR database on the U.S. Securities and Exchange Commission’s website at www.sec.gov.

AIG RETIREMENT COMPANY II AGGRESSIVE GROWTH LIFESTYLE FUND

PORTFOLIO OF INVESTMENTS - May 31, 2008 (Unaudited)

Security Description	Shares		Market Value (Note 1)
AFFILIATED REGISTERED INVESTMENT COMPANIES #(1) - 100.1%
Domestic Equity Investment Companies - 60.1%
AIG Retirement Co. I Stock Index Fund	273,254		$	9,454,586
AIG Retirement Co. I Value Fund	572,488			6,303,093
AIG Retirement Co. I Blue Chip Growth Fund	779,217			8,212,949
AIG Retirement Co. I Real Estate Fund†	677,907			7,640,007
AIG Retirement Co. II Capital Appreciation Fund	1,918,411			21,773,959
AIG Retirement Co. II Large Cap Value Fund	290,254			3,915,522
Total Domestic Equity Investment Companies (cost $56,884,140)				57,300,116
Fixed Income Investment Companies - 30.0%
AIG Retirement Co. II Strategic Bond Fund	548,855			6,207,545
AIG Retirement Co. I Government Securities Fund	870,689			9,072,575
AIG Retirement Co. II Core Bond Fund	875,895			8,881,572
AIG Retirement Co. II High Yield Bond Fund	513,564			4,488,545
Total Fixed Income Investment Companies (cost $28,797,242)				28,650,237
International Equity Investment Companies - 10.0%
AIG Retirement Co. I International Equities Fund	442,046			4,584,021
AIG Retirement Co. I International Growth I Fund	290,494			3,819,999
AIG Retirement Co. II International Small Cap Equity Fund	67,650			1,145,996
Total International Equity Investment Companies (cost $8,836,073)				9,550,016
TOTAL INVESTMENTS (cost $94,517,455) (2)	100.1	%		95,500,369
Liabilities in excess of other assets	(0.1	)		(129,697	)
NET ASSETS	100.0	%	$	95,370,672

# The Aggressive Growth Lifestyle Fund invests in various AIG Retirement Company I or AIG Retirement Company II Funds, some of which are not presented in this report. Additional information on the underlying funds is available at our website, www.aigvalic.com.

† Non-income producing security

(1) See Note 3.

(2) See Note 4 for cost of investments on a tax basis.

See Notes to Portfolio of Investments

AIG RETIREMENT COMPANY II CAPITAL APPRECIATION FUND

PORTFOLIO OF INVESTMENTS - May 31, 2008 (Unaudited)

Security Description	Shares/ Principal Amount	Market Value (Note 1)
COMMON STOCK - 99.6%
Aerospace/Defense - 1.7%
Lockheed Martin Corp.	14,400	$	1,575,936
Agricultural Chemicals - 10.2%
Monsanto Co.	26,100		3,325,140
Potash Corp. of Saskatchewan, Inc.	13,000		2,587,910
The Mosaic Co.†	28,300		3,546,556
			9,459,606
Applications Software - 3.6%
Microsoft Corp.	71,900		2,036,208
Salesforce.com, Inc.†	18,200		1,316,042
			3,352,250
Athletic Footwear - 2.1%
NIKE, Inc., Class B	28,500		1,948,545
Banks-Fiduciary - 1.7%
State Street Corp.	22,300		1,606,046
Banks-Super Regional - 0.9%
US Bancorp	26,500		879,535
Beverages-Non-alcoholic - 2.6%
The Coca-Cola Co.	42,000		2,404,920
Commercial Services-Finance - 4.0%
Mastercard, Inc., Class A	7,700		2,376,605
Paychex, Inc.	38,700		1,337,085
			3,713,690
Computers - 7.7%
Apple, Inc.†	18,200		3,435,250
Hewlett-Packard Co.	38,100		1,792,986
Research In Motion Ltd.†	13,800		1,916,406
			7,144,642
Computers-Memory Devices - 1.9%
EMC Corp.†	102,600		1,789,344
Containers-Metal/Glass - 2.2%
Owens-Illinois, Inc.†	35,800		2,048,476
E-Commerce/Services - 2.3%
eBay, Inc.†	70,400		2,112,704
Electronic Components-Semiconductors - 1.2%
MEMC Electronic Materials, Inc.†	16,500		1,132,890
Energy-Alternate Sources - 1.8%
First Solar, Inc.†	6,200		1,658,748
Engineering/R&D Services - 1.4%
Jacobs Engineering Group, Inc.†	13,300		1,260,574
Enterprise Software/Service - 4.7%
BMC Software, Inc.†	32,000		1,283,200
CA, Inc.	40,000		1,061,600
Oracle Corp.†	89,100		2,035,044
			4,379,844
Finance-Investment Banker/Broker - 3.5%
Interactive Brokers Group, Inc., Class A†	33,900		1,104,123
The Charles Schwab Corp.	98,100		2,175,858
			3,279,981
Industrial Gases - 0.1%
Praxair, Inc.	769		73,101
Machinery-Farming - 2.8%
AGCO Corp.†	26,600		1,607,438
Deere & Co.	12,600		1,024,884
			2,632,322
Machinery-Pumps - 1.2%
Flowserve Corp.	8,000		1,108,160
Medical Instruments - 3.7%
Intuitive Surgical, Inc.†	7,700		2,260,643
St. Jude Medical, Inc.†	28,000		1,141,000
			3,401,643
Medical Products - 3.5%
Johnson & Johnson	24,600		1,641,804
Stryker Corp.	24,500		1,581,475
			3,223,279
Medical-Biomedical/Gene - 5.2%
Biogen Idec, Inc.†	31,000		1,945,250
Genentech, Inc.†	1,900		134,653
Gilead Sciences, Inc.†	49,800		2,754,936
			4,834,839
Medical-Drugs - 4.5%
Bristol-Myers Squibb Co.	86,400		1,969,056
Forest Laboratories, Inc.†	39,800		1,429,218
Merck & Co., Inc.	18,900		736,344
			4,134,618
Multimedia - 1.5%
The Walt Disney Co.	41,700		1,401,120
Oil & Gas Drilling - 1.6%
Noble Corp.	24,000		1,515,360
Oil Companies-Exploration & Production - 3.7%
EOG Resources, Inc.	14,400		1,852,272
Southwestern Energy Co.†	35,300		1,565,202
			3,417,474
Oil Companies-Integrated - 1.4%
Murphy Oil Corp.	13,600		1,260,040
Oil Field Machinery & Equipment - 3.0%
Cameron International Corp.†	22,000		1,171,060
National-Oilwell Varco, Inc.†	19,400		1,616,408
			2,787,468
Oil-Field Services - 1.4%
Smith International, Inc.	16,200		1,278,504
Pharmacy Services - 1.5%
Express Scripts, Inc.†	18,700		1,348,457
Retail-Apparel/Shoe - 1.0%
Coach, Inc.†	26,500		961,950
Retail-Computer Equipment - 1.5%
GameStop Corp., Class A†	27,800		1,378,880
Retail-Discount - 1.6%
Wal-Mart Stores, Inc.	25,300		1,460,822
Telecommunication Equipment - 1.1%
Harris Corp.	15,600		1,026,168
Telephone-Integrated - 1.3%
AT&T, Inc.	30,700		1,224,930
Transport-Services - 1.8%
C.H. Robinson Worldwide, Inc.	25,900		1,670,550

Web Portals/ISP - 2.7%
Google, Inc., Class A†	4,300		$	2,518,940
TOTAL INVESTMENTS (cost $73,783,475) (1)	99.6	%		92,406,356
Other assets less liabilities	0.4			350,493
NET ASSETS	100.0	%	$	92,756,849

† Non-income producing security

(1) See Note 4 for cost of investments on a tax basis.

See Notes to Portfolio of Investments

AIG RETIREMENT COMPANY II CONSERVATIVE GROWTH LIFESTYLE FUND

PORTFOLIO OF INVESTMENTS - May 31, 2008 (Unaudited)

Security Description	Shares		Market Value (Note 1)
AFFILIATED REGISTERED INVESTMENT COMPANIES #(1) - 100.2%
Domestic Equity Investment Companies - 29.1%
AIG Retirement Co. I Stock Index Fund	103,124		$	3,568,079
AIG Retirement Co. I Value Fund	205,249			2,259,788
AIG Retirement Co. I Blue Chip Growth Fund	118,484			1,248,822
AIG Retirement Co. I Real Estate Fund†	158,299			1,784,035
AIG Retirement Co. II Capital Appreciation Fund	571,100			6,481,987
AIG Retirement Co. II Large Cap Value Fund	105,799			1,427,230
AIG Retirement Co. II Small Cap Growth Fund†	39,318			475,743
Total Domestic Equity Investment Companies (cost $16,933,520)				17,245,684
Fixed Income Investment Companies - 67.1%
AIG Retirement Co. II Strategic Bond Fund	683,540			7,730,833
AIG Retirement Co. I Government Securities Fund	1,055,813			11,001,572
AIG Retirement Co. II Core Bond Fund	1,759,407			17,840,386
AIG Retirement Co. II High Yield Bond Fund	374,226			3,270,739
Total Fixed Income Investment Companies (cost $40,255,841)				39,843,530
International Equity Investment Company - 4.0%
AIG Retirement Co. I International Equities Fund	229,384			2,378,714
TOTAL INVESTMENTS (cost $59,459,367) (2)	100.2	%		59,467,928
Liabilities in excess of other assets	(0.2	)		(107,851	)
NET ASSETS	100.0	%	$	59,360,077

# The Conservative Growth Lifestyle Fund invests in various AIG Retirement Company I or AIG Retirement Company II Funds, some of which are not presented in this report. Additional information on the underlying funds is available at our website, www.aigvalic.com.

† Non-income producing security

(1) See Note 3

(2) See Note 4 for cost of investments on a tax basis.

See Notes to Portfolio of Investments

AIG RETIREMENT COMPANY II CORE BOND FUND

PORTFOLIO OF INVESTMENTS - May 31, 2008 (Unaudited)

Security Description	Shares/ Principal Amount		Market Value (Note 1)
ASSET BACKED SECURITIES - 10.7%
Diversified Financial Services - 10.7%
Banc of America Commercial Mtg., Inc. Series 2006-6, Class AM 5.39% due 10/10/45(2)	$	660,000	$	606,648
Banc of America Funding Corp. Series 2007-C, Class 5A1 5.39% due 05/20/36(1)		2,677,082		2,445,402
Banc of America Funding Corp. Series 2006-J, Class 2A1 5.89% due 01/20/47(1)		2,675,268		2,232,949
Bear Stearns Commercial Mtg. Securities, Inc. Series 2007-PW15, Class A2 5.21% due 02/11/44(2)		650,000		639,983
Chase Funding Mtg. Loan Asset-Backed Certs. Series 2003-6, Class 1A6 4.59% due 05/25/15		180,859		167,432
Chase Mtg. Finance Corp. Series 2007-A2, Class 1A1 5.08% due 07/25/37(1)(6)		1,231,082		1,161,752
Citigroup Commercial Mtg. Trust Series 2008-C7, Class AM 6.10% due 12/10/49(2)		870,000		813,819
Commercial Mtg. Asset Trust Series 1999-C1, Class D 7.35% due 01/17/32(2)		1,377,000		1,455,360
Commercial Mtg. Pass Through Certs. Series CN2A, Class A2FL 2.94% due 02/05/19*(2)(4)		1,035,000		994,298
Commercial Mtg. Pass Through Certs. Series 2004-LB2A, Class A3 4.22% due 03/10/39(2)		653,000		646,142
Countrywide Asset-Backed Certs. Series 2006-S6, Class A3 5.66% due 03/25/34		739,000		384,280
Countrywide Asset-Backed Certs., Series 2006-S4, Class A3 5.80% due 07/25/34		910,000		489,125
CS First Boston Mtg. Securities Corp. Series 2002-CKN2, Class A3 6.13% due 04/15/37(2)		1,475,000		1,521,905
GE Capital Commercial Mtg. Corp. Series 2004-C2, Class A4 4.89% due 03/10/40(2)		340,000		330,700
GMAC Commercial Mtg. Securities, Inc. Series 2003-2, Class A2 5.67% due 05/10/40(2)(6)		100,000		100,114
JP Morgan Chase Commercial Mtg. Securities Corp. Series 2006-LDP9, Class AM 5.37% due 05/15/47(2)		1,330,000		1,217,233
JP Morgan Chase Commercial Mtg. Securities Corp. Series 2008-C2, Class AM 6.80% due 01/12/18(2)		1,698,000		1,680,689
LB Commercial Conduit Mtg. Trust Series 1998-C1, Class E 7.00% due 02/18/30(2)		285,000		301,748
Ocwen Advance Receivables Backed Notes Series 2006-1A 5.34% due 11/24/15*(5)		500,000		440,000
Residential Asset Securities Corp., Series 2003-KS10, Class AI6 4.54% due 12/25/33		183,513		168,321
Swift Master Auto Receivables Trust Series 2007-2, Class A 3.16% due 10/15/12(4)		2,260,734		2,219,707
Wells Fargo Mtg. Backed Securities Trust Series 2006-AR17, Class A2 5.84% due 10/25/36(1)(6)		1,757,899		1,708,476
Wells Fargo Mtg. Backed Securities Trust Series 2006-AR12, Class 2A1 6.10% due 09/25/36(1)		473,944		456,216
Total Asset Backed Securities (cost $23,932,785)				22,182,299
CONVERTIBLE BONDS & NOTES - 0.0%
Telecom Services - 0.0%
ICO North America, Inc. Notes 7.50% due 08/15/09(5)(7)(8) (cost $26,000)		26,000		22,620
CORPORATE BONDS & NOTES - 35.6%
Aerospace/Defense-Equipment - 0.4%
United Technologies Corp. Senior Notes 4.88% due 05/01/15		536,000		532,807
United Technologies Corp. Notes 6.13% due 07/15/38		190,000		185,993
				718,800
Agricultural Chemicals - 0.4%
Monsanto Co. Company Guar. Bonds 5.88% due 04/15/38		205,000		193,847
Mosaic Global Holdings, Inc. Debentures 7.38% due 08/01/18		20,000		20,800
Terra Capital, Inc. Company Guar. Notes 7.00% due 02/01/17		150,000		149,062
The Mosaic Co. Senior Notes 7.38% due 12/01/14*		395,000		416,725
				780,434
Agricultural Operations - 0.1%
Archer-Daniels-Midland Co. Senior Notes 5.45% due 03/15/18		300,000		295,061

Airlines - 0.1%
American Airlines, Inc. Pass Through Certs. Series 2001-1, Class A-2 6.82% due 05/23/11	145,000	132,675
Northwest Airlines, Inc. Pass Through Certs. Series 2002-1 Class G2 6.26% due 11/20/21	166,525	161,113
		293,788
Auto-Cars/Light Trucks - 0.2%
Ford Motor Co. Debentures 6.38% due 02/01/29	140,000	87,850
General Motors Corp. Debentures 8.25% due 07/15/23	380,000	260,300
		348,150
Banks-Commercial - 1.1%
CoBank ACB Sub. Notes 7.88% due 04/16/18*	140,000	144,577
Colonial Bank NA Sub. Notes 6.38% due 12/01/15	170,000	143,535
Credit Suisse New York Senior Notes 5.00% due 05/15/13	551,000	540,992
First Maryland Capital II Company Guar. Notes 3.72% due 02/01/27(4)	159,000	134,754
KeyBank NA Sub. Notes 7.41% due 10/15/27	205,000	204,603
PNC Bank NA Sub. Notes 6.88% due 04/01/18	440,000	447,371
SouthTrust Bank Sub. Notes 4.75% due 03/01/13	170,000	165,008
SouthTrust Corp. Sub. Notes 5.80% due 06/15/14	293,000	294,781
Union Bank of California NA Sub. Notes 5.95% due 05/11/16	170,000	159,819
US Bank NA Notes 3.90% due 08/15/08	32,000	32,011
		2,267,451
Banks-Super Regional - 1.2%
Bank of America Corp. Senior Notes 4.90% due 05/01/13	270,000	266,413
Bank of America Corp. Senior Notes 5.65% due 05/01/18	235,000	227,739
Fifth Third Bancorp Sub. Notes 8.25% due 03/01/38	222,000	228,737
Fleet Capital Trust V Bank Guar. Notes 3.76% due 12/18/28(4)	420,000	329,779
Huntington Capital Trust I Company Guar. Bonds 3.60% due 02/01/27(4)	325,000	201,097
JP Morgan Chase Bank NA Sub. Notes 6.13% due 11/01/08	138,000	139,578
PNC Preferred Funding Trust I Senior Notes 6.11% due 03/15/12*(4)(11)	250,000	192,102
Wachovia Corp. Notes 5.50% due 05/01/13	323,000	319,446
Wells Fargo & Co. Senior Notes 5.25% due 10/23/12	493,000	495,347
		2,400,238
Beverages-Non-alcoholic - 0.1%
PepsiCo, Inc. Notes 5.00% due 06/01/18	165,000	160,444
Broadcast Services/Program - 0.1%
Nexstar Finance, Inc. Senior Sub. Notes 7.00% due 01/15/14	305,000	269,925
Building-Residential/Commercial - 0.1%
D.R. Horton, Inc. Company Guar. Notes 5.00% due 01/15/09	173,000	169,973
Cable TV - 0.6%
CCH II LLC/CCH II Capital Corp. Senior Notes 10.25% due 09/15/10	328,000	326,360
CCH II LLC/CCH II Capital Corp. Senior Notes, Series B 10.25% due 09/15/10	22,000	21,863
CCH II LLC/CCH II Capital Corp. Company Guar. Notes 11.00% due 10/01/15	174,000	147,465
Comcast Corp. Company Guar. Notes 5.85% due 11/15/15	234,000	233,335
Comcast Corp. Bonds 6.40% due 05/15/38	507,000	480,744
COX Communications, Inc. Bonds 6.95% due 06/01/38*	125,000	126,424
		1,336,191
Casino Hotels - 0.1%
MGM Mirage, Inc. Senior Notes 5.88% due 02/27/14	250,000	213,750

Casino Hotels (continued)
Turning Stone Resort Casino Enterprise Senior Notes 9.13% due 09/15/14*	85,000	83,938
		297,688
Casino Services - 0.1%
Indianapolis Downs LLC Sec. Notes 11.00% due 11/01/12*	125,000	115,000
Cellular Telecom - 0.5%
Centennial Communications Corp. Senior Notes 8.45% due 01/01/13(4)	200,000	190,500
Cingular Wireless Services, Inc. Senior Notes 7.88% due 03/01/11	594,000	636,346
Nextel Communications, Inc. Company Guar. Notes 5.95% due 03/15/14	200,000	154,500
Rural Cellular Corp. Senior Sub. Notes 6.08% due 06/01/13(4)	110,000	111,100
Rural Cellular Corp. Senior Notes 8.62% due 11/01/12(4)	5,000	5,087
		1,097,533
Chemicals-Diversified - 0.2%
E.I. Du Pont de Nemours & Co. Senior Notes 4.88% due 04/30/14	54,000	53,357
ICI Wilmington, Inc. Company Guar. Notes 5.63% due 12/01/13	352,000	354,379
		407,736
Chemicals-Specialty - 0.5%
Huntsman International LLC Company Guar. Notes 7.88% due 11/15/14	160,000	171,200
Lubrizol Corp. Senior Notes 4.63% due 10/01/09	600,000	595,834
Momentive Performance Materials, Inc. Senior Sub. Notes 11.50% due 12/01/16	320,000	271,200
		1,038,234
Commercial Services-Finance - 0.3%
The Western Union Co. Senior Notes 5.40% due 11/17/11	525,000	520,210
Computer Services - 0.0%
Compucom Systems, Inc. Senior Sub. Notes 12.50% due 10/01/15*	65,000	60,775
Computers-Periphery Equipment - 0.1%
Lexmark International, Inc. Senior Notes 6.65% due 06/01/18	165,000	160,427
Consumer Products-Misc. - 0.0%
American Achievement Corp. Senior Sub. Notes 8.25% due 04/01/12	80,000	79,000
Containers-Paper/Plastic - 0.2%
Jefferson Smurfit Corp. Company Guar. Notes 8.25% due 10/01/12	25,000	23,000
Smurfit-Stone Container Enterprises, Inc. Senior Notes 8.00% due 03/15/17	475,000	409,688
		432,688
Cosmetics & Toiletries - 0.1%
Avon Products, Inc. Senior Notes 5.75% due 03/01/18	180,000	178,660
Direct Marketing - 0.0%
Affinity Group, Inc. Senior Sub. Notes 9.00% due 02/15/12	95,000	87,638
Diversified Financial Services - 0.6%
American Express Travel Related Services Co., Inc. Senior Notes 5.25% due 11/21/11*	270,000	269,320
General Electric Capital Corp. Senior Notes 5.65% due 06/09/14	430,000	439,296
General Electric Capital Corp. Senior Notes 5.88% due 01/14/38	675,000	613,257
		1,321,873
Diversified Manufacturing Operations - 0.5%
Cooper US, Inc. Senior Notes 5.45% due 04/01/15	230,000	229,387
Eaton Corp. Senior Notes 5.60% due 05/15/18	239,000	234,538
General Electric Co. Senior Notes 5.25% due 12/06/17	425,000	415,654
Harsco Corp. Senior Notes 5.75% due 05/15/18	200,000	196,287
		1,075,866

Diversified Operations - 0.1%
Capmark Financial Group, Inc. Company Guar. Notes 5.88% due 05/10/12	123,000	99,068
Electric-Distribution - 0.0%
Old Dominion Electric Cooperative Bonds, Series A 5.68% due 12/01/28	41,125	38,785
Electric-Generation - 0.5%
Bruce Mansfield Unit Pass Through Certs. 6.85% due 06/01/34	440,000	436,016
The AES Corp. Senior Notes 8.00% due 10/15/17	320,000	321,200
The AES Corp. Senior Notes 8.88% due 02/15/11	190,000	199,025
		956,241
Electric-Integrated - 4.4%
Centerpoint Energy, Inc. Senior Notes 5.88% due 06/01/08	190,000	190,000
Centerpoint Energy, Inc. Senior Notes 6.50% due 05/01/18	102,000	99,833
Commonwealth Edison Co. 1st Mtg. Bonds 5.95% due 08/15/16	324,000	321,958
Dominion Resources, Inc. Jr. Sub Notes 6.30% due 09/30/66(4)	506,000	465,352
DTE Energy Co. Senior Notes 7.05% due 06/01/11	403,000	419,980
Duke Energy Corp. Senior Notes 4.20% due 10/01/08	150,000	150,223
Entergy Gulf States Louisiana LLC 1st Mtg. Bonds 6.00% due 05/01/18*	380,000	368,904
Entergy Louisiana LLC 1st Mtg. Bonds 5.83% due 11/01/10	255,000	248,662
FirstEnergy Corp. Senior Notes 6.45% due 11/15/11	359,660	370,777
Mackinaw Power LLC Sec. Notes 6.30% due 10/31/23*	421,080	423,379
Mirant Americas Generation LLC Senior Notes 8.30% due 05/01/11	395,000	409,812
Mirant Mid-Atlantic LLC Pass Through Certs., Series B 9.13% due 06/30/17	89,453	99,181
Nisource Finance Corp. Company Guar. Notes 5.25% due 09/15/17	540,000	479,514
Nisource Finance Corp. Company Guar. Notes 6.80% due 01/15/19	111,000	108,949
Pepco Holdings, Inc. Senior Notes 6.13% due 06/01/17	450,000	438,731
Pepco Holdings, Inc. Senior Notes 6.45% due 08/15/12	490,000	505,281
PSEG Power LLC Company Guar. Notes 5.00% due 04/01/14	364,000	349,801
PSEG Power LLC Company Guar. Notes 7.75% due 04/15/11	115,000	122,689
Puget Sound Energy, Inc. Senior Notes 5.20% due 10/01/15	268,000	254,655
Sierra Pacific Power Co. Senior Notes 6.75% due 07/01/37	727,000	708,277
Southern Energy, Inc. Notes 7.90% due 07/15/09†(5)(7)(8)	150,000	0
Southern Power Co. Senior Notes 4.88% due 07/15/15	263,000	248,278
Texas Competitive Electric Holdings Co. LLC, Series A Senior Notes 10.25% due 11/01/15*	165,000	168,506
Texas Competitive Electric Holdings Co. LLC, Series B Senior Notes 10.25% due 11/01/15*	175,000	178,719
Virginia Electric & Power Co. Notes 4.10% due 12/15/08	157,000	156,728
Virginia Electric & Power Co. Senior Notes 6.00% due 05/15/37	2,000,000	1,895,846
		9,184,035
Electronic Components-Semiconductors - 0.2%
Amkor Technology, Inc. Senior Notes 7.75% due 05/15/13	90,000	86,400
National Semiconductor Corp. Senior Notes 6.60% due 06/15/17	380,000	371,425
Spansion LLC Senior Sec. Notes 6.20% due 06/01/13*(4)	60,000	43,800
		501,625

4

Electronic Measurement Instruments - 0.2%
Agilent Technologies, Inc. Senior Notes 6.50% due 11/01/17	440,000	428,226
Electronics-Military - 0.1%
L-3 Communications Corp. Company Guar. Notes 6.38% due 10/15/15	95,000	91,556
Finance-Auto Loans - 0.4%
Ford Motor Credit Co. LLC Senior Notes 7.38% due 10/28/09	510,000	496,714
Ford Motor Credit Co. LLC Notes 7.88% due 06/15/10	10,000	9,476
GMAC LLC Senior Notes 6.88% due 09/15/11	225,000	189,695
GMAC LLC Senior Notes 6.88% due 08/28/12	208,000	167,542
		863,427
Finance-Commercial - 0.2%
Textron Financial Corp. Senior Notes 5.40% due 04/28/13	410,000	405,589
Finance-Credit Card - 0.4%
American Express Credit Corp. Senior Notes 5.88% due 05/02/13	410,000	410,058
Capital One Financial Corp. Sub. Notes 6.15% due 09/01/16	180,000	160,339
MBNA America Bank NA Senior Notes 7.13% due 11/15/12	230,000	245,088
		815,485
Finance-Investment Banker/Broker - 3.8%
Citigroup, Inc. Senior Notes 5.00% due 09/15/14	230,000	215,204
Citigroup, Inc. Senior Notes 5.30% due 10/17/12	330,000	326,364
Citigroup, Inc. Senior Notes 5.85% due 07/02/13	285,000	286,204
Citigroup, Inc. Senior Notes 5.88% due 05/29/37	195,000	170,742
Citigroup, Inc. Sub. Notes 8.40% due 04/30/18(4)(11)	313,000	310,274
JP Morgan Chase & Co. Senior Notes 5.38% due 01/15/14	410,000	412,506
JP Morgan Chase & Co. Sub. Notes 5.75% due 01/02/13	317,000	324,707
JP Morgan Chase & Co. Senior Notes 6.40% due 05/15/38	190,000	182,672
JP Morgan Chase & Co. Sub. Notes 7.50% due 02/01/03	360,000	358,405
Lehman Brothers Holdings, Inc. Notes 5.50% due 04/04/16	291,000	262,385
Lehman Brothers Holdings, Inc. Sub. Notes 6.88% due 07/17/37	361,000	311,720
Lehman Brothers Holdings, Inc. Sub. Notes 7.50% due 05/11/38	190,000	174,255
Lehman Brothers Holdings, Inc. Senior Notes 8.80% due 03/01/15	616,000	656,080
Merrill Lynch & Co., Inc. Notes 5.45% due 02/05/13	470,000	444,942
Merrill Lynch & Co., Inc. Notes 6.15% due 04/25/13	316,000	310,423
Merrill Lynch & Co., Inc. Sub. Notes 7.75% due 05/14/38	400,000	377,479
Morgan Stanley Senior Notes 5.38% due 10/15/15	176,000	163,520
Morgan Stanley Senior Notes 6.00% due 04/28/15	210,000	202,766
Morgan Stanley Senior Notes 6.60% due 04/01/12	225,000	229,578
Morgan Stanley Senior Notes 6.63% due 04/01/18	330,000	324,819
Schwab Capital Trust I Company Guar. Notes 7.50% due 11/15/37(4)	85,000	77,446
The Bear Stearns Cos., Inc. Notes 4.50% due 10/28/10	31,000	30,575
The Bear Stearns & Cos., Inc. Senior Notes 5.70% due 11/15/14	684,000	667,193
The Bear Stearns Cos., Inc. Senior Notes 7.63% due 12/07/09	210,000	217,708
The Goldman Sachs Group, Inc. Senior Notes 6.15% due 04/01/18	180,000	178,085

Finance-Investment Banker/Broker (continued)
The Goldman Sachs Group, Inc. Senior Notes 6.75% due 10/01/37	642,000	602,384
		7,818,436
Finance-Mortgage Loan/Banker - 0.0%
Countrywide Financial Corp. Company Guar. Notes 5.80% due 06/07/12	13,000	12,027
Countrywide Financial Corp. Sub. Notes 6.25% due 05/15/16	83,000	72,380
		84,407
Food-Misc. - 0.4%
Kraft Foods, Inc. Senior Bonds 5.63% due 11/01/11	220,000	222,772
Kraft Foods, Inc. Notes 6.13% due 08/23/18	330,000	321,936
Kraft Foods, Inc. Sub. Notes 6.88% due 01/26/39	361,000	349,047
		893,755
Funeral Services & Related Items - 0.1%
Service Corp. International Senior Notes 6.75% due 04/01/16	255,000	242,888
Gambling (Non-Hotel) - 0.0%
Downstream Development Authority Senior Notes 12.00% due 10/15/15*	50,000	39,500
Home Furnishings - 0.1%
Simmons Co. Company Guar. Notes 7.88% due 01/15/14	25,000	22,188
Simmons Co. Senior Notes 10.00% due 12/15/14(9)	108,000	79,920
		102,108
Hotels/Motels - 0.2%
Starwood Hotels & Resorts Worldwide, Inc. Senior Notes 6.25% due 02/15/13	215,000	210,260
Starwood Hotels & Resorts Worldwide, Inc. Notes 6.75% due 05/15/18	170,000	163,494
		373,754
Independent Power Producer - 0.1%
NRG Energy, Inc. Company Guar. Notes 7.38% due 02/01/16	215,000	209,625
Insurance Brokers - 0.1%
Marsh & McLennan Cos., Inc. Senior Notes 5.15% due 09/15/10	145,000	143,984
Marsh & McLennan Cos., Inc. Senior Notes 7.13% due 06/15/09	75,000	75,966
USI Holdings Corp. Senior Sub. Notes 9.75% due 05/15/15*	40,000	32,400
		252,350
Insurance-Life/Health - 0.9%
Americo Life, Inc. Notes 7.88% due 05/01/13*	109,000	110,406
Cigna Corp. Senior Notes 6.35% due 03/15/18	235,000	234,706
Genworth Life Institutional Funding Trust Notes 5.88% due 05/03/13*	520,000	516,100
Lincoln National Corp. Senior Notes 5.65% due 08/27/12	308,000	305,839
Lincoln National Corp. Senior Notes 6.30% due 10/09/37	195,000	183,831
Monumental Global Funding II Notes 5.65% due 07/14/11*	120,000	121,789
New York Life Global Funding Notes 4.65% due 05/09/13*	410,000	404,579
		1,877,250
Insurance-Multi-line - 0.2%
Genworth Financial, Inc. Notes 6.52% due 05/22/18	82,000	78,908
MetLife Capital Trust X Debentures 9.25% due 04/08/38*	375,000	423,329
		502,237
Insurance-Mutual - 0.2%
Liberty Mutual Group, Inc. Company Guar. Notes 10.75% due 06/15/58*(4)	450,000	445,500
Insurance-Property/Casualty - 0.3%
Ace INA Holdings, Inc. Company Guar. Notes 5.60% due 05/15/15	336,000	322,952
Chubb Corp. Senior Notes 6.50% due 05/15/38	179,000	175,971
The Travelers Cos., Inc. Senior Notes 6.25% due 06/15/37	98,000	92,030
		590,953

Insurance-Reinsurance - 0.2%
PartnerRe Finance A LLC Company Guar. Notes 6.88% due 06/01/18	410,000	403,560
Investment Management/Advisor Services - 0.3%
Ameriprise Financial, Inc. Senior Notes 5.35% due 11/15/10	267,000	267,597
LVB Acquisition Holding LLC Senior Notes 10.38% due 10/15/17*	175,000	186,375
LVB Acquisition Holding LLC Senior Sub.Notes 11.63% due 10/15/17*	220,000	233,200
		687,172
Medical Products - 0.4%
Baxter International, Inc. Senior Notes 5.90% due 09/01/16	500,000	513,061
Universal Hospital Services, Inc. Senior Bonds 8.50% due 06/01/15	250,000	252,500
		765,561
Medical-Drugs - 0.7%
American Home Products Corp. Notes 6.95% due 03/15/11	100,000	106,056
GlaxoSmithKline Capital, Inc. Company Guar. Notes 6.38% due 05/15/38	380,000	375,227
Schering-Plough Corp. Senior Notes 6.55% due 09/15/37	258,000	251,512
Wyeth Bonds 5.50% due 02/01/14	693,000	696,249
		1,429,044
Medical-HMO - 0.1%
UnitedHealth Group, Inc. Senior Notes 6.88% due 02/15/38	216,000	206,645
Medical-Hospitals - 0.7%
Community Health Systems, Inc. Senior Notes 8.88% due 07/15/15	380,000	391,875
HCA, Inc. Senior Notes 6.25% due 02/15/13	225,000	202,500
HCA, Inc. Senior Notes 9.13% due 11/15/14	50,000	52,250
HCA, Inc. Senior Notes 9.25% due 11/15/16	500,000	528,125
IASIS Healthcare LLC / IASIS Capital Corp. Company Guar. Notes 8.75% due 06/15/14	250,000	256,875
		1,431,625
Medical-Wholesale Drug Distribution - 0.1%
Cardinal Health, Inc. Senior Notes 5.50% due 06/15/13	280,000	278,594
Metal Processors & Fabrication - 0.1%
Timken Co. Notes 5.75% due 02/15/10	133,000	132,984
Metal-Aluminum - 0.2%
Alcoa, Inc. Notes 6.00% due 01/15/12	246,000	250,033
Alcoa, Inc. Bonds 6.50% due 06/15/18	224,000	227,287
		477,320
Metal-Diversified - 0.1%
Freeport-McMoRan Copper & Gold, Inc. Senior Notes 8.38% due 04/01/17	115,000	123,625
Noranda Aluminium Acquisition Corp. Senior Notes 6.83% due 05/15/15*(4)	105,000	92,138
		215,763
Multimedia - 1.0%
Belo Corp. Senior Notes 6.75% due 05/30/13	80,000	77,480
Cox Enterprises, Inc. Notes 7.88% due 09/15/10*	397,000	418,753
News America, Inc. Company Guar. Bonds 7.30% due 04/30/28	570,000	585,431
Time Warner Cos., Inc. Company Guar. Notes 7.25% due 10/15/17	393,000	409,001
Time Warner Entertainment Co. LP Senior Notes 8.38% due 07/15/33	444,000	485,072
		1,975,737
Non-Hazardous Waste Disposal - 0.3%
Republic Services, Inc. Notes 6.09% due 03/15/35	75,000	69,294
Waste Management, Inc. Company Guar. Notes 6.88% due 05/15/09	583,000	596,224
		665,518

Office Automation & Equipment - 0.4%
IKON Office Solutions, Inc. Senior Notes 7.75% due 09/15/15	285,000	289,275
Pitney Bowes, Inc. Notes 5.25% due 01/15/37	510,000	497,623
		786,898
Oil & Gas Drilling - 0.1%
Transocean, Inc. Senior Notes 6.00% due 03/15/18	189,000	190,831
Oil Companies-Exploration & Production - 1.0%
Chesapeake Energy Corp. Senior Notes 7.25% due 12/15/18	100,000	99,250
Chesapeake Energy Corp. Company Guar. Notes 7.50% due 09/15/13	665,000	676,638
Devon Financing Corp. ULC Company Guar. Notes 6.88% due 09/30/11	550,000	582,119
Hilcorp Energy I LP Senior Notes 7.75% due 11/01/15*	200,000	195,500
Sabine Pass LNG LP Sec. Notes 7.50% due 11/30/16	515,000	470,581
		2,024,088
Oil Companies-Integrated - 0.4%
Hess Corp. Bonds 7.88% due 10/01/29	265,000	306,015
Marathon Oil Corp. Senior Notes 5.90% due 03/15/18	235,000	232,402
Phillips Petroleum Co. Debentures 7.00% due 03/30/29	293,000	320,531
		858,948
Oil Refining & Marketing - 0.3%
The Premcor Refining Group, Inc. Company Guar. Notes 6.75% due 05/01/14	396,000	401,063
Valero Energy Corp. Senior Notes 6.63% due 06/15/37	266,000	245,961
		647,024
Oil-Field Services - 0.0%
Allis-Chalmers Energy, Inc. Company Guar. Notes 9.00% due 01/15/14	30,000	29,325
Paper & Related Products - 0.3%
Bowater, Inc. Notes 6.50% due 06/15/13	110,000	69,300
Georgia-Pacific Corp. Company Guar. Notes 7.00% due 01/15/15*	90,000	89,550
Georgia-Pacific Corp. Company Guar. Notes 7.13% due 01/15/17*	20,000	19,750
International Paper Co. Senior Notes 8.70% due 06/15/38	380,000	381,637
		560,237
Physicians Practice Management - 0.1%
US Oncology, Inc. Senior Sub. Notes 10.75% due 08/15/14	115,000	115,863
Pipelines - 1.2%
CenterPoint Energy Resources Corp. Notes 7.75% due 02/15/11	670,000	709,415
Copano Energy LLC Senior Notes 7.75% due 06/01/18*	50,000	49,688
Copano Energy LLC Company Guar. Notes 8.13% due 03/01/16	545,000	559,987
Duke Energy Field Services LLC Notes 6.88% due 02/01/11	80,000	82,274
Dynegy-Roseton Danskammer Pass Through Certs, Series B 7.67% due 11/08/16	140,000	140,700
Panhandle Eastern Pipeline Co. Senior Notes 6.20% due 11/01/17	296,000	281,869
Williams Cos., Inc. Senior Notes 7.88% due 09/01/21	540,000	588,600
		2,412,533
Publishing-Periodicals - 0.1%
Dex Media West LLC/Dex Media Finance Co. Senior Notes 8.50% due 08/15/10	110,000	110,275
R.H. Donnelley Corp. Senior Notes 8.88% due 01/15/16	12,000	8,220
The Reader’s Digest Association, Inc. Senior Sub. Notes 9.00% due 02/15/17*	120,000	92,100
		210,595
Radio - 0.1%
Chancellor Media Corp. Company Guar. Notes 8.00% due 11/01/08	238,000	242,425

Real Estate Investment Trusts - 0.6%
Health Care Property Investors, Inc. Senior Notes 5.65% due 12/15/13	220,000	206,785
iStar Financial, Inc. Notes 5.65% due 09/15/11	357,000	316,391
Liberty Property LP Senior Notes 6.63% due 10/01/17	225,000	210,354
PPF Funding, Inc. Bonds 5.35% due 04/15/12*	185,000	179,002
Reckson Operating Partnership LP Senior Notes 6.00% due 03/31/16	47,000	39,544
Simon Property Group LP Notes 5.38% due 08/28/08	84,000	84,044
Simon Property Group LP Senior Notes 6.13% due 05/30/18	160,000	157,010
Vornado Realty LP Notes 4.50% due 08/15/09	150,000	145,486
		1,338,616
Recycling - 0.0%
Aleris International, Inc. Company Guar. Notes 9.00% due 12/15/14	100,000	81,750
Rental Auto/Equipment - 0.5%
Erac USA Finance Co. Company Guar. Notes 7.00% due 10/15/37*	490,000	415,668
Erac USA Finance Co. Notes 7.35% due 06/15/08*	490,000	490,568
United Rentals North America, Inc. Senior Sub. Notes 7.75% due 11/15/13	90,000	77,175
		983,411
Research & Development - 0.1%
Alion Science and Technology Corp. Company Guar. Notes 10.25% due 02/01/15	155,000	109,275
Retail-Discount - 0.1%
Wal-Mart Stores, Inc. Senior Notes 6.20% due 04/15/38	233,000	228,937
Retail-Drug Store - 0.1%
CVS Corp. Senior Notes 6.13% due 08/15/16	215,000	218,365
CVS Lease Pass Through Trust Pass Through Certs. 6.04% due 12/10/28*	7,744	7,013
		225,378
Retail-Regional Department Stores - 0.0%
Neiman-Marcus Group, Inc. Senior Sub. Notes 10.38% due 10/15/15	85,000	87,869
Retail-Restaurants - 0.1%
NPC International, Inc. Company Guar. Notes 9.50% due 05/01/14	209,000	186,010
Savings & Loans/Thrifts - 0.5%
Independence Community Bank Corp. Sub. Notes 3.50% due 06/20/13(4)	81,000	64,938
Sovereign Bancorp, Inc. Senior Notes 4.80% due 09/01/10	280,000	254,410
Washington Mutual Preferred Funding III Bonds 6.90% due 06/15/12*(4)(11)	400,000	232,000
Washington Mutual, Inc. Senior Notes 5.50% due 08/24/11	300,000	277,500
Western Financial Bank Senior Debentures 9.63% due 05/15/12	164,000	171,682
		1,000,530
Special Purpose Entities - 1.3%
BAE Systems Holdings, Inc. Notes 5.20% due 08/15/15*	156,000	147,932
CCM Merger, Inc. Notes 8.00% due 08/01/13*	200,000	170,000
Chukchansi Economic Development Authority Senior Notes 8.00% due 11/15/13*	95,000	83,600
Goldman Sachs Capital III Company Guar. Notes 3.85% due 09/01/12(4)(11)	648,000	456,581
Hawker Beechcraft Acquisition Co. LLC / Hawker Beechcraft Notes Co. Company Guar. Notes 8.88% due 04/01/15	25,000	25,500
Hawker Beechcraft Acquisition Co. LLC / Hawker Beechcraft Notes Co. Company Guar. Notes 9.75% due 04/01/17	115,000	117,875
Hexion US Finance Corp. Company Guar. Notes 9.75% due 11/15/14	70,000	77,000
John Hancock Global Funding II Notes 7.90% due 07/02/10	188,000	200,772

Special Purpose Entities (continued)
KAR Holdings, Inc. Company Guar. Notes 6.87% due 05/01/14(4)	150,000	133,500
Norbord Delaware GP I Company Guar. Notes 6.45% due 02/15/17*	127,000	103,068
Pricoa Global Funding I Notes 5.30% due 09/27/13*	470,000	459,353
Principal Life Global Funding I Sec. Notes 5.25% due 01/15/13*	739,000	727,201
Snoqualmie Entertainment Authority Notes 9.13% due 02/01/15*	120,000	92,400
		2,794,782
Steel-Producers - 0.6%
International Steel Group, Inc. Senior Notes 6.50% due 04/15/14	370,000	373,454
Reliance Steel & Aluminum Co. Company Guar. Notes 6.85% due 11/15/36	690,000	627,064
Ryerson, Inc. Senior Sec. Notes 10.25% due 11/01/14*(4)	125,000	115,313
United States Steel Corp. Senior Notes 7.00% due 02/01/18	167,000	166,960
		1,282,791
Telecom Services - 0.9%
Bellsouth Telecommunications, Inc. Debentures 7.00% due 12/01/95	614,000	585,047
Fairpoint Communications, Inc. Senior Notes 13.13% due 04/01/18*	115,000	117,875
PAETEC Holding Corp. Company Guar. Notes 9.50% due 07/15/15	210,000	197,400
Qwest Corp. Senior Notes 6.50% due 06/01/17	200,000	185,500
Qwest Corp. Senior Notes 7.50% due 10/01/14	135,000	134,325
Verizon Global Funding Corp. Senior Notes 6.88% due 06/15/12	550,000	585,090
		1,805,237
Telephone-Integrated - 1.2%
AT&T Corp. Senior Notes 7.30% due 11/15/11	640,000	684,951
BellSouth Corp. Senior Notes 6.00% due 10/15/11	725,000	749,338
Cincinnati Bell, Inc. Company Guar. Notes 7.00% due 02/15/15	25,000	24,125
Citizens Communications Co. Senior Notes 9.00% due 08/15/31	15,000	13,875
Pacific Bell Telephone Co. Company Guar. Notes 7.13% due 03/15/26	450,000	451,193
Verizon Communications, Inc. Bonds 6.90% due 04/15/38	136,000	141,332
Verizon New York, Inc. Debentures 6.88% due 04/01/12	380,000	399,059
		2,463,873
Television - 0.1%
Paxson Communication Corp. Sec. Senior Notes 8.96% due 01/15/13*(4)	295,000	185,850
Young Broadcasting, Inc. Company Guar. Notes 10.00% due 03/01/11	105,000	70,350
		256,200
Transactional Software - 0.1%
Open Solutions, Inc. Senior Sub. Notes 9.75% due 02/01/15*	120,000	99,000
Transport-Air Freight - 0.3%
Atlas Air, Inc. Pass Through Certs. Series 1991-1, Class A-1 7.20% due 01/02/19	278,699	259,190
Atlas Air, Inc. Pass Through Certs. Series 1991-1, Class B 7.63% due 01/02/15	211,305	221,871
Atlas Air, Inc. Pass Through Certs. Series 2000-1, Class A 8.71% due 01/02/19	242,263	229,544
		710,605
Transport-Rail - 0.2%
CSX Corp. Senior Notes 6.25% due 04/01/15	205,000	203,902
CSX Corp. Senior Notes 6.25% due 03/15/18	293,000	284,634
		488,536
Transport-Services - 0.1%
PHI, Inc. Company Guar. Notes 7.13% due 04/15/13	275,000	265,375

Travel Service - 0.1%
Travelport LLC Company Guar. Notes 7.70% due 09/01/14(4)	220,000	187,000
Total Corporate Bonds & Notes (cost $76,220,830)		74,074,048
FOREIGN CORPORATE BONDS & NOTES - 6.7%
Banks-Commercial - 0.9%
Banco Continental de Panama SA Notes 6.63% due 12/01/10*	48,000	48,960
Barclays Bank PLC Sub. Notes 5.93% due 12/15/16*(4)(11)	390,000	334,237
Caisse Nationale des Caisses d’Epargne et de Prevoyance Notes 3.86% due 12/30/09(4)(11)	132,000	80,685
Credit Agricole SA Jr. Sub. Notes 6.64% due 05/31/17*(4)(11)	350,000	287,626
HBOS PLC Sub. Notes 5.92% due 10/01/15*(4)(11)	205,000	160,095
HBOS PLC Sub. Notes 6.75% due 05/21/18*	375,000	365,802
HSBC Holdings PLC Sub. Notes 6.80% due 06/01/38	205,000	196,177
Landsbanki Islands HF Jr. Sub. Notes 7.43% due 10/19/17*(4)(11)	285,000	205,911
NIB Capital Bank Bonds 5.82% due 12/11/13*(4)(11)	393,000	199,748
		1,879,241
Banks-Money Center - 0.3%
Deutsche Bank AG (London) Notes 4.88% due 05/20/13	410,000	405,698
Mizuho Financial Group Cayman, Ltd. Bank Guar. Bonds 8.38% due 04/27/09(11)	165,000	166,277
		571,975
Beverages-Wine/Spirits - 0.3%
Diageo Finance BV Company Guar. Notes 3.88% due 04/01/11	685,000	669,616
Broadcast Services/Program - 0.1%
Grupo Televisa SA Notes 6.00% due 05/15/18	137,000	134,603
Grupo Televisa SA Senior Notes 6.63% due 03/18/25	176,000	171,088
		305,691
Cellular Telecom - 0.3%
America Movil SAB de CV Company Guar. Bonds 5.63% due 11/15/17	350,000	340,945
Vodafone Group PLC Senior Notes 5.38% due 01/30/15	320,000	315,200
		656,145
Containers-Metal/Glass - 0.6%
Rexam PLC Bonds 6.75% due 06/01/13*	1,016,000	1,009,521
Vitro SAB de CV Senior Notes 11.75% due 11/01/13	200,000	200,000
		1,209,521
Cruise Lines - 0.1%
Royal Caribbean Cruises, Ltd. Senior Notes 7.00% due 06/15/13	300,000	277,125
Diversified Manufacturing Operations - 0.2%
Bombardier, Inc. Senior Notes 8.00% due 11/15/14*	160,000	168,000
Tyco International Group SA Company Guar. Notes 6.00% due 11/15/13	160,000	159,367
		327,367
Diversified Operations - 0.1%
Hutchison Whampoa Finance, Ltd. Company Guar. Notes 7.50% due 08/01/27*	280,000	294,699
Electric-Integrated - 0.2%
Empresa Nacional de Electricidad SA Bonds 7.33% due 02/01/37	210,000	217,117
TransAlta Corp. Senior Notes 6.65% due 05/15/18	205,000	203,127
		420,244
Electronic Components-Misc. - 0.1%
NXP BV / NXP Funding LLC Company Guar. Notes 9.50% due 10/15/15	169,000	159,494
Food-Meat Products - 0.0%
JBS SA Company Guar. Notes 9.38% due 02/07/11	100,000	102,500

Food-Retail - 0.2%
Delhaize Group SA Notes 6.50% due 06/15/17	359,000	367,598
Gas-Distribution - 0.1%
Nakilat, Inc. Sec. Bonds 6.07% due 12/31/33*	235,000	203,477
Insurance-Multi-line - 0.1%
Aegon NV Sub. Bonds 4.21% due 07/15/14(4)(11)	189,000	114,818
Investment Companies - 0.1%
Xstrata Finance Canada, Ltd. Notes 6.90% due 11/15/37*	223,000	213,102
Medical-Drugs - 0.4%
Angiotech Pharmaceuticals, Inc. Company Guar. Notes 6.83% due 12/01/13(4)	60,000	51,900
Angiotech Pharmaceuticals, Inc. Company Guar. Notes 7.75% due 04/01/14	260,000	196,950
AstraZeneca PLC Senior Notes 5.90% due 09/15/17	215,000	219,957
Elan Finance PLC Company Guar. Bonds 7.75% due 11/15/11	345,000	337,237
		806,044
Oil Companies-Exploration & Production - 0.3%
EnCana Corp. Sub. Notes 6.50% due 02/01/38	370,000	364,837
OPTI Canada, Inc. Senior Notes 7.88% due 12/15/14	190,000	192,375
OPTI Canada, Inc. Senior Notes 8.25% due 12/15/14	10,000	10,300
		567,512
Oil Companies-Integrated - 0.1%
Petro-Canada Senior Notes 6.80% due 05/15/38	293,000	286,504
Paper & Related Products - 0.1%
Abitibi-Consolidated, Inc. Notes 8.55% due 08/01/10	220,000	121,000
Pipelines - 0.3%
Enbridge, Inc. Bonds 5.80% due 06/15/14	715,000	711,506
Printing Commercial - 0.0%
Quebecor World Capital Corp. Senior Notes 8.75% due 03/15/16†*(10)(12)	165,000	95,700
Real Estate Operations & Development - 0.1%
Brascan Corp. Notes 8.13% due 12/15/08	166,000	167,494
Special Purpose Entities - 0.6%
Aries Vermoegensverwaltungs GmbH Bonds 9.60% due 10/25/14	500,000	645,000
Hybrid Capital Funding I LP Sub. Notes 8.00% due 06/30/11(11)	260,000	176,800
SMFG Preferred Capital, Ltd. Bonds 6.08% due 01/25/17*(4)(11)	272,000	237,029
SovRisc BV Notes 4.63% due 10/31/08*	174,000	175,500
		1,234,329
Steel-Producers - 0.2%
ArcelorMittal Notes 6.13% due 06/01/18*	330,000	321,549
Telecom Services - 0.0%
TELUS Corp. Notes 8.00% due 06/01/11	45,000	48,562
Telecommunication Equipment - 0.0%
Nortel Networks, Ltd. Company Guar. Notes 10.75% due 07/15/16*	100,000	98,750
Telephone-Integrated - 0.4%
Telecom Italia Capital SA Company Guar. Bonds 6.20% due 07/18/11	500,000	507,689
Telecom Italia Capital SA Company Guar. Notes 7.72% due 06/04/38	304,000	305,917
		813,606
Transport-Marine - 0.2%
DP World, Ltd. Bonds 6.85% due 07/02/37*	495,000	402,893
Transport-Rail - 0.1%
Canadian National Railway Co. Notes 6.38% due 10/15/11	180,000	188,055

Water - 0.2%
Veolia Environnement Notes 6.75% due 06/01/38	330,000	326,225
Total Foreign Corporate Bonds & Notes (cost $14,658,705)		13,962,342
FOREIGN GOVERNMENT AGENCIES - 2.1%
Sovereign - 2.1%
Federal Republic of Brazil Notes 8.00% due 01/15/18	750,000	856,875
Federal Republic of Brazil Bonds 10.50% due 07/14/14	70,000	90,475
Government of United Kingdom Notes 2.25% due 07/08/08*	123,000	123,021
Province of Quebec Debentures 7.50% due 09/15/29	224,000	285,498
Republic of Argentina Bonds 3.09% due 08/03/12(3)(4)	250,000	136,125
Republic of Argentina Notes 8.28% due 12/31/33	118,598	96,657
Republic of Turkey Notes 9.00% due 06/30/11	65,000	71,175
Republic of Turkey Senior Notes 11.88% due 01/15/30	1,200,000	1,820,340
Republic of Venezuela Notes 8.50% due 10/08/14	35,000	33,250
Republic of Venezuela Bonds 9.25% due 09/15/27	600,000	562,500
Russian Federation Bonds 7.50% due 03/31/30*(9)	100,468	114,060
Russian Federation Notes 8.25% due 03/31/10	208,903	218,702
United Mexican States Notes 6.75% due 09/27/34	2,000	2,186
Total Foreign Government Agencies (cost $4,385,052)		4,410,864
U.S. GOVERNMENT AGENCIES - 36.7%
Federal Home Loan Bank - 0.2%
4.50% due 09/08/08	440,000	442,431
Federal Home Loan Mfg. Corp. - 25.2%
4.35% due 06/02/08	420,000	420,000
4.50% due 11/01/18	474,775	465,474
4.50% due 02/01/19	512,510	501,348
4.50% due 01/15/34	2,750,000	2,629,638
5.00% due 03/01/19	210,537	210,265
5.00% due 11/15/28	475,000	479,266
5.00% due 09/15/31	610,000	609,152
5.00% due 10/01/33	59,511	57,732
5.00% due 06/01/34	1,172,282	1,136,125
5.00% due 10/15/34	2,740,000	2,659,081
5.00% due 12/01/34	395,379	383,184
5.00% due 07/01/35	630,051	610,027
5.00% due 08/01/35	1,346,473	1,303,681
5.00% due 10/01/35	3,299,715	3,194,846
5.00% due 11/01/35	826,980	800,697
5.00% due 11/01/36	465,664	450,422
5.00% due 01/01/37	596,909	577,371
5.00% due 04/01/37	1,685,518	1,629,843
5.00% due 11/01/37	1,769,422	1,710,976
5.47% due 03/01/36(4)	490,090	492,599
5.50% due 11/01/18	249,242	253,204
5.50% due 11/15/25	3,378,000	3,356,709
5.50% due 06/15/31	1,106,000	1,118,729
5.50% due 10/01/33	594,563	592,760
5.50% due 07/01/34	388,229	386,688
5.50% due 02/01/35	482,290	479,923
5.50% due 07/01/35	17,495	17,409
5.50% due 05/01/37	1,602,787	1,593,421
5.50% due 06/01/37	1,901,267	1,890,157
5.50% due 09/01/37	1,133,013	1,126,392
5.50% due 10/01/37	10,931,934	10,868,051
5.81% due 01/01/37(4)	536,718	547,638
5.81% due 01/01/37(4)	593,819	603,702
5.96% due 10/01/36(4)	2,237,400	2,279,180
6.00% due 07/01/35	594,086	604,260
6.00% due 12/01/36	680,057	691,376
6.00% due 08/01/37	3,774,434	3,836,123
6.50% due 12/01/32	449,326	467,622
6.50% due 02/01/36	200,695	207,488
6.50% due 09/01/36	10,106	10,444
6.50% due 05/01/37	860,731	889,324
7.00% due 11/01/16	30,656	32,178
7.00% due 07/01/32	65,516	69,492
7.50% due 12/01/30	6,046	6,526
7.50% due 04/01/31	71,436	77,032
8.00% due 02/01/30	5,197	5,622
8.00% due 07/01/30	1,714	1,854
		52,335,031
Federal National Mtg. Assoc. - 10.6%
4.50% due 06/01/18	120,587	118,499
4.67% due 10/01/35(4)	349,897	351,779
4.75% due 12/15/10	202,000	208,357
5.00% due 09/01/18	40,560	40,597
5.00% due 10/01/18	40,856	40,892
5.00% due 02/01/20	67,086	67,062
5.00% due 06/01/22	2,137,805	2,128,574
5.00% due 11/25/30	600,000	599,651
5.00% due 10/01/35	2,311,821	2,238,349
5.00% due 03/01/37	397,535	384,444

Federal National Mtg. Assoc. (continued)
5.00% due 06/01/37	136,422			131,929
5.00% due 07/01/37	842,643			814,894
5.50% due 10/01/17	80,719			82,103
5.50% due 05/01/18	82,504			83,893
5.50% due 11/01/19	82,968			84,364
5.50% due 11/01/22	652,916			660,706
5.50% due 12/01/33	513,439			511,722
5.50% due 05/01/34	229,203			228,437
5.50% due 12/01/35	87,093			86,639
5.50% due 02/01/36(4)	390,584			397,930
5.50% due 11/01/36	701,684			697,583
5.50% due 07/01/37	594,882			591,279
6.00% due 09/01/16	123,037			126,663
6.00% due 12/01/16	30,690			31,595
6.00% due 12/01/33	481,048			490,413
6.00% due 07/01/34	441,422			449,837
6.00% due 10/01/36	2,962,639			3,009,208
6.00% due 10/01/37	946,024			960,693
6.00% due 04/01/38	2,259,367			2,294,175
6.50% due 02/01/17	52,175			54,266
6.50% due 03/01/17	60,393			62,813
6.50% due 04/01/29	60,953			63,473
6.50% due 06/01/29	115,968			120,762
6.50% due 07/01/32	61,602			64,033
6.50% due 02/01/37	1,460,955			1,508,117
6.50% due 10/01/37	2,133,495			2,201,914
7.00% due 09/01/31	142,758			151,282
				22,138,927
Government National Mtg. Assoc. - 0.7%
5.00% due 05/15/34	1,467,006			1,433,952
6.50% due 06/15/29	19,712			20,483
7.00% due 09/15/28	19,285			20,662
				1,475,097
Total U.S. Government Agencies (cost $76,665,405)				76,391,486
U.S. GOVERNMENT TREASURIES - 5.6%
United States Treasury Bonds - 0.3%
4.75% due 02/15/37	41,000			41,288
7.25% due 08/15/22	497,000			633,675
				674,963
United States Treasury Notes - 5.3%
3.25% due 12/31/09	1,630,000			1,648,592
4.25% due 08/15/14	2,650,000			2,746,476
4.38% due 12/15/10	1,650,000			1,714,583
4.50% due 05/15/10	2,300,000			2,381,579
4.50% due 11/15/10	2,000,000			2,082,188
4.50% due 02/15/16	411,000			428,531
				11,001,949
Total U.S. Government Treasuries (cost $11,522,545)				11,676,912
COMMON STOCK - 0.0%
Independent Power Producer - 0.0%
Mirant Corp.† (cost $0)	186			7,555
PREFERRED STOCK - 0.6%
Banks-Money Center - 0.2%
Santander Finance Preferred SA 4.00%(4)	23,200			412,264
Banks-Super Regional - 0.1%
Wachovia Capital Trust IX 6.38%	10,650			231,957
Diversified Financial Services - 0.1%
General Electric Capital Corp. 8.00%(9)	12,000			288,000
Special Purpose Entity - 0.2%
Structured Repackaged Asset-Backed Trust Securities 3.00%(4)	21,200			383,508
Total Preferred Stock (cost $1,649,281)				1,315,729
Total Long-Term Investment Securities (cost $209,060,603)				204,043,855
REPURCHASE AGREEMENT - 2.2%
Agreement with State Street bank & Trust Co., Bearing interest at 1.71%, dated 05/30/08, to be repurchased 06/02/08 in the amount of $4,550,648 and collateralized by Federal Home Loan Bank Notes, bearing interest at 2.45%, due 08/13/08 and having an approximate value of $4,691,425
(Cost $ 4,550,000)	4,550,000			4,550,000
TOTAL INVESTMENTS (cost $213,610,603) (3)	100.2	%		208,593,855
Liabilities in excess of other assets	(0.2	)		(458,022	)
NET ASSETS	100.0	%	$	208,135,833

* Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The Fund has no right to demand registration of these securities. At May 31, 2008, the aggregate value of these securities was $16,182,647 representing 7.8% of net assets. Unless otherwise indicated these securities are not considered to be illiquid.

† Non-income producing security

(1) Collateralized Mortgage Obligation

(2) Commercial Mortgaged Backed Security

(3) The par value of this security is at a ratio of 62.50/100

(4) Floating rate security where the rate fluctuates. The rate moves up or down at each reset date. The rate reflected is as of May 31, 2008.

(5) Fair valued security; see Note 1

(6) Variable Rate Security - the rate reflected is as of May 31, 2008, maturity date reflects the stated maturity date.

(7) Illiquid security

(8) To the extent permitted by the Statement of Additional Information, the Core Bond Fund may invest in restricted securities. The Fund has no right to demand registration of these securities. The securities are valued pursuant to Note 1. Restricted securities held by a Fund may not be sold except in exempt transactions or in a public offering registered under the Securities Act of 1933. The risk of investing in such securities is generally greater than the risk of investing in the securities of widely held, publicly traded companies. Lack of a secondary market and resale restrictions may result in the inability of a Fund to sell a security at a fair price and may substantially delay the sale of the security. In addition, these securities may exhibit greater price volatility than securities for which secondary markets exist. As of May 31, 2008, the Core Bond Fund held the following restricted securities:

Name	Acquisition Date	Principal Amount		Acquistion Cost		Market Value		Market Value Per Share		Value as a % of Net Assets
ICO North America, Inc.       7.50% due 08/15/09	08/11/05	$	26,000	$	26,000	$	22,620	$	87.00	0.01	%
Southern Energy, Inc.	01/10/06		150,000		0		0		0.00	0.00	%
7.90% due 07/15/09						$	22,620			0.01	%

(9) “Step-up” security where the rate increases (“steps-up”) at a predetermined rate. Rate shown reflects the increased rate.

(10) Company has filed Chapter 11 bankcruptcy protection.

(11) Perpetual maturity - maturity date reflects the next call date.

(12) Bond in default

(13) See Note 4 for cost of investments on a tax basis.

See Notes to Portfolio of Investments

AIG RETIREMENT COMPANY II HIGH YIELD BOND FUND

PORTFOLIO OF INVESTMENTS - May 31, 2008

Security Description	Shares/ Principal Amount		Market Value (Note 1)
CONVERTIBLE BONDS & NOTES - 0.3%
Electronic Components-Semiconductors - 0.2%
Spansion, Inc. Senior Sub. Notes 2.25% due 06/15/16*	$	790,000	$	371,300
Medical-Biomedical/Gene - 0.0%
Nektar Therapeutics Sub. Notes 3.25% due 09/28/12		75,000		53,344
Telecom Services - 0.1%
ICO North America, Inc. Notes 7.50% due 08/15/09(1)(2)(3)		260,000		226,200
Total Convertible Bonds & Notes (cost $981,933)				650,844
CORPORATE BONDS & NOTES - 77.9%
Agricultural Chemicals - 1.3%
Mosaic Global Holdings, Inc. Debentures 7.38% due 08/01/18		200,000		208,000
Terra Capital, Inc. Company Guar. Notes 7.00% due 02/01/17		970,000		963,937
The Mosaic Co. Senior Notes 7.38% due 12/01/14*		285,000		300,675
The Mosaic Co. Senior Notes 7.63% due 12/01/16*		1,360,000		1,475,600
				2,948,212
Airlines - 0.8%
American Airlines, Inc. Pass Through Certs. Series 2001-1, Class A-2 6.82% due 05/23/11		1,100,000		1,006,500
Continental Airlines, Inc. Pass Through Certs., Series 1991, Class A 6.55% due 02/02/19		487,085		471,561
Delta Air Lines, Inc. Pass Through Certs. Series 2000-1, Class A-2 7.57% due 11/18/10		150,000		145,500
United AirLines, Inc. Pass Through Certs. Series 2001-1, Class A-2 6.20% due 09/01/08		41,140		41,038
				1,664,599
Applications Software - 0.2%
SS&C Technologies, Inc. Company Guar. Notes 11.75% due 12/01/13		450,000		473,625
Auto-Cars/Light Trucks - 1.0%
Ford Motor Co. Debentures 6.38% due 02/01/29		1,555,000		975,762
General Motors Corp. Debentures 8.25% due 07/15/23		1,300,000		890,500
General Motors Corp. Senior Bonds 8.38% due 07/15/33		593,000		406,205
				2,272,467
Auto/Truck Parts & Equipment-Original - 0.3%
Lear Corp. Senior Notes 8.75% due 12/01/16		750,000		680,625
Auto/Truck Parts & Equipment-Replacement - 0.0%
Exide Corp. Notes 10.00% due 04/15/05† (2)(3)		300,000		0
Beverages-Non-alcoholic - 0.2%
Cott Beverages USA, Inc. Company Guar. Notes 8.00% due 12/15/11		530,000		446,525
Broadcast Services/Program - 0.6%
Fisher Communications, Inc. Senior Notes 8.63% due 09/15/14		656,000		675,680
Nexstar Finance, Inc. Senior Sub. Notes 7.00% due 01/15/14		500,000		442,500
Nexstar Finance, Inc. Senior Notes 11.38% due 04/01/13(4)		111,857		109,060
				1,227,240
Building & Construction Products-Misc. - 1.0%
Associated Materials, Inc. Senior Sub. Notes 9.75% due 04/15/12		625,000		621,875
Interline Brands, Inc. Senior Sub. Notes 8.13% due 06/15/14		1,000,000		975,000
NTK Holdings, Inc. Senior Disc. Notes 10.75% due 03/01/14(4)		1,100,000		545,875
				2,142,750
Building Products-Wood - 0.2%
Masonite Corp. Company Guar. Notes 11.00% due 04/06/15		765,000		512,550
Cable TV - 3.2%
CCH II LLC/CCH II Capital Corp. Senior Notes, Series B 10.25% due 09/15/10		795,000		790,031
CCH II LLC/CCH II Capital Corp. Senior Notes 10.25% due 09/15/10		2,405,000		2,392,975
CCH II LLC/CCH II Capital Corp. Company Guar. Notes 11.00% due 10/01/15		1,980,000		1,678,050
CCO Holdings LLC/CCO Holdings Capital Corp. Senior Notes 8.75% due 11/15/13		660,000		627,000

Cable TV (continued)
Charter Communications Operating LLC Senior Notes 10.88% due 09/15/14*	200,000	214,000
CSC Holdings, Inc. Senior Notes 7.63% due 04/01/11	560,000	560,000
DirecTV Holdings LLC/DirecTV Financing Co. Senior Notes 7.63% due 05/15/16*	950,000	946,438
		7,208,494
Casino Hotels - 1.5%
Eldorado Casino Corp. (Shreveport) Sec. Bonds 10.00% due 08/01/12(3)(5)	429,222	424,930
Eldorado Resorts LLC Senior Notes 9.00% due 04/15/14(2)(3)	475,000	475,000
MGM Mirage, Inc. Senior Notes 5.88% due 02/27/14	1,530,000	1,308,150
Turning Stone Resort Casino Enterprise Senior Notes 9.13% due 09/15/14*	1,100,000	1,086,250
		3,294,330
Casino Services - 0.4%
Indianapolis Downs LLC Sec. Notes 11.00% due 11/01/12*	875,000	805,000
Cellular Telecom - 1.0%
Centennial Communications Corp. Senior Notes 8.45% due 01/01/13(6)	801,000	762,952
Centennial Communications Corp. Senior Notes 10.00% due 01/01/13	463,000	463,000
Centennial Communications Corp. Senior Notes 10.13% due 06/15/13	275,000	286,000
Rural Cellular Corp. Senior Sub. Notes 6.08% due 06/01/13(6)	575,000	580,750
Rural Cellular Corp. Senior Notes 8.62% due 11/01/12(6)	210,000	213,675
		2,306,377
Chemicals-Specialty - 3.2%
Huntsman International LLC Senior Sub. Notes 7.38% due 01/01/15	995,000	1,032,312
Huntsman International LLC Company Guar. Notes 7.88% due 11/15/14	1,560,000	1,669,200
Johnsondiversey Holdings, Inc. Company Guar. Notes 9.63% due 05/15/12	580,000	591,600
Momentive Performance Materials, Inc. Senior Sub. Notes 11.50% due 12/01/16	2,660,000	2,254,350
Tronox Worldwide LLC Company Guar. Notes 9.50% due 12/01/12	1,925,000	1,559,250
		7,106,712
Computer Services - 0.6%
Compucom Systems, Inc. Senior Sub. Notes 12.50% due 10/01/15*	1,080,000	1,009,800
Sungard Data Systems, Inc. Company Guar. Notes 9.13% due 08/15/13	415,000	427,450
		1,437,250
Computers-Integrated Systems - 0.1%
Activant Solutions, Inc. Company Guar. Notes 9.50% due 05/01/16	175,000	133,438
Consumer Products-Misc. - 0.6%
American Achievement Corp. Senior Sub. Notes 8.25% due 04/01/12	407,000	401,913
Prestige Brands, Inc. Senior Sub. Notes 9.25% due 04/15/12	200,000	200,000
Visant Holding Corp. Senior Notes 8.75% due 12/01/13	85,000	84,575
Visant Holding Corp. Senior Notes 10.25% due 12/01/13(4)	640,000	624,000
		1,310,488
Containers-Metal/Glass - 0.9%
Crown Cork & Seal Co., Inc. Debentures 7.38% due 12/15/26	275,000	237,187
Crown Cork & Seal Co., Inc. Debentures 8.00% due 04/15/23	685,000	640,475
Owens-Brockway Glass Container, Inc. Company Guar. Notes 8.25% due 05/15/13	985,000	1,019,475
		1,897,137
Containers-Paper/Plastic - 0.6%
Jefferson Smurfit Corp. Company Guar. Notes 8.25% due 10/01/12	535,000	492,200

Containers-Paper/Plastic (continued)
Smurfit-Stone Container Enterprises, Inc. Senior Notes 8.00% due 03/15/17	1,065,000	918,563
		1,410,763
Data Processing/Management - 0.5%
Seitel, Inc. Senior Notes 9.75% due 02/15/14	1,315,000	1,190,075
Decision Support Software - 0.3%
Vangent, Inc. Senior Sub. Notes 9.63% due 02/15/15	825,000	714,656
Direct Marketing - 0.6%
Affinity Group, Inc. Senior Sub. Notes 9.00% due 02/15/12	975,000	899,438
Visant Corp. Company Guar. Notes 7.63% due 10/01/12	400,000	399,500
		1,298,938
Diversified Manufacturing Operations - 0.9%
Harland Clarke Holdings Corp. Notes 7.43% due 05/15/15(6)	400,000	301,000
Harland Clarke Holdings Corp. Notes 9.50% due 05/15/15	850,000	697,000
Indalex Holding Corp. Sec. Notes 11.50% due 02/01/14	375,000	204,375
Sally Holdings LLC Company Guar. Notes 10.50% due 11/15/16	795,000	775,125
		1,977,500
Electric-Generation - 2.5%
Edison Mission Energy Senior Notes 7.20% due 05/15/19	345,000	336,375
Edison Mission Energy Senior Notes 7.63% due 05/15/27	605,000	570,213
Edison Mission Energy Senior Notes 7.75% due 06/15/16	625,000	640,625
Reliant Energy Mid-Atlantic Power Holdings LLC Pass Through Certs. Series B 9.24% due 07/02/17	114,670	123,843
Reliant Energy Mid-Atlantic Power Holdings LLC Pass Through Certs., Series C 9.68% due 07/02/26	450,000	504,000
The AES Corp. Senior Notes 7.75% due 10/15/15	1,050,000	1,047,375
The AES Corp. Senior Notes 8.00% due 10/15/17	1,030,000	1,033,862
The AES Corp. Senior Notes 8.00% due 06/01/20*	400,000	393,000
The AES Corp. Sec. Notes 8.75% due 05/15/13*	499,000	518,336
The AES Corp. Senior Notes 8.88% due 02/15/11	425,000	445,188
		5,612,817
Electric-Integrated - 2.1%
Energy Future Holdings Corp. Company Guar. Notes 10.88% due 11/01/17*	455,000	474,338
Mirant Americas Generation LLC Senior Notes 8.30% due 05/01/11	950,000	985,625
Mirant Americas Generation LLC Senior Notes 8.50% due 10/01/21	700,000	675,500
Southern Energy, Inc. Notes 7.90% due 07/15/09†(1)(2)(3)	1,225,000	0
Texas Competitive Electric Holdings Co. LLC, Series A Senior Notes 10.25% due 11/01/15*	1,210,000	1,235,712
Texas Competitive Electric Holdings Co. LLC, Series B Senior Notes 10.25% due 11/01/15*	335,000	342,119
Texas Competitive Electric Holdings Co. LLC Senior Notes 10.50% due 11/01/16*	960,000	969,600
		4,682,894
Electronic Components-Semiconductors - 1.0%
Advanced Micro Devices, Inc. Senior Notes 7.75% due 11/01/12	400,000	346,000
Amkor Technology, Inc. Senior Notes 7.75% due 05/15/13	460,000	441,600
Freescale Semiconductor, Inc. Company Guar. Notes 9.13% due 12/15/14(5)	815,000	698,862

Electronic Components-Semiconductors (continued)
Spansion LLC Senior Sec. Notes 6.20% due 06/01/13*(6)	800,000	584,000
Spansion LLC Senior Notes 11.25% due 01/15/16*	400,000	248,000
		2,318,462
Electronics-Military - 0.3%
L-3 Communications Corp. Company Guar. Notes 6.13% due 07/15/13	710,000	688,700
Energy-Alternate Sources - 0.3%
VeraSun Energy Corp. Company Guar. Notes 9.38% due 06/01/17	210,000	145,950
VeraSun Energy Corp. Sec. Notes 9.88% due 12/15/12	560,000	515,200
		661,150
Finance-Auto Loans - 4.5%
Ford Motor Credit Co. LLC Senior Notes 7.38% due 10/28/09	4,440,000	4,324,334
Ford Motor Credit Co. LLC Notes 7.88% due 06/15/10	300,000	284,273
GMAC LLC Senior Notes 6.00% due 12/15/11	1,825,000	1,468,661
GMAC LLC Senior Notes 6.63% due 05/15/12	1,125,000	906,932
GMAC LLC Senior Notes 6.88% due 09/15/11	2,535,000	2,137,236
GMAC LLC Senior Notes 6.88% due 08/28/12	435,000	350,388
GMAC LLC Notes 7.25% due 03/02/11	725,000	620,988
		10,092,812
Food-Meat Products - 0.1%
Smithfield Foods, Inc. Senior Notes 7.00% due 08/01/11	75,000	73,500
Smithfield Foods, Inc. Senior Notes 7.75% due 07/01/17	200,000	197,000
		270,500
Food-Misc. - 0.1%
Wornick Co. Sec. Notes 10.88% due 07/15/11† (7)(8)	450,000	180,000
Funeral Services & Related Items - 0.8%
Service Corp. International Senior Notes 6.75% due 04/01/16	300,000	285,750
Service Corp. International Senior Notes 7.00% due 06/15/17	545,000	528,650
Service Corp. International Senior Notes 7.38% due 10/01/14	430,000	432,150
Service Corp. International Debentures 7.88% due 02/01/13	425,000	422,875
		1,669,425
Gambling (Non-Hotel) - 0.8%
Downstream Development Authority Senior Notes 12.00% due 10/15/15*	775,000	612,250
Greektown Holdings LLC Senior Notes 10.75% due 12/01/13*†(7)(8)	930,000	641,700
Waterford Gaming LLC Senior Notes 8.63% due 09/15/14*	460,000	444,475
		1,698,425
Gas-Distribution - 0.1%
Colorado Interstate Gas Co. Senior Debentures 6.85% due 06/15/37	175,000	165,612
Home Furnishings - 0.6%
Simmons Co. Company Guar. Notes 7.88% due 01/15/14	460,000	408,250
Simmons Co. Senior Notes 10.00% due 12/15/14(4)	1,322,000	978,280
		1,386,530
Hotels/Motels - 0.4%
Gaylord Entertainment Co. Company Guar. Notes 6.75% due 11/15/14	405,000	364,500
Gaylord Entertainment Co. Company Guar. Notes 8.00% due 11/15/13	525,000	506,625
		871,125
Human Resources - 0.2%
Team Health, Inc. Company Guar. Notes 11.25% due 12/01/13	339,000	352,560
Independent Power Producers - 1.4%
NRG Energy, Inc. Company Guar. Notes 7.38% due 02/01/16	2,240,000	2,184,000
Orion Power Holdings, Inc. Senior Notes 12.00% due 05/01/10	175,000	192,062

Independent Power Producers (continued)
Reliant Energy, Inc. Senior Notes 7.88% due 12/31/17	650,000	653,250
		3,029,312
Insurance Brokers - 0.6%
USI Holdings Corp. Senior Notes 6.55% due 11/15/14*(6)	327,000	263,235
USI Holdings Corp. Senior Sub. Notes 9.75% due 05/15/15*	1,450,000	1,174,500
		1,437,735
Investment Management/Advisor Services - 1.4%
LVB Acquisition Holding LLC Senior Notes 10.00% due 10/15/17*	480,000	514,800
LVB Acquisition Holding LLC Senior Notes 10.38% due 10/15/17*	1,570,000	1,672,050
LVB Acquisition Holding LLC Senior Sub. Notes 11.63% due 10/15/17*	835,000	885,100
		3,071,950
Medical Information Systems - 0.4%
Spheris, Inc. Senior Sub. Notes 11.00% due 12/15/12	1,100,000	910,250
Medical Products - 0.9%
ReAble Therapeutics Finance LLC Company Guar. Notes 11.75% due 11/15/14	562,000	532,495
Universal Hospital Services, Inc. Senior Sec. Notes 8.29% due 06/01/15(6)	395,000	374,262
Universal Hospital Services, Inc. Senior Bonds 8.50% due 06/01/15	1,120,000	1,131,200
		2,037,957
Medical-HMO - 0.7%
Multiplan, Inc. Senior Sub. Notes 10.38% due 04/15/16*	1,605,000	1,572,900
Medical-Hospitals - 4.3%
Community Health Systems, Inc. Senior Notes 8.88% due 07/15/15	2,725,000	2,810,156
HCA, Inc. Senior Notes 6.25% due 02/15/13	605,000	544,500
HCA, Inc. Senior Notes 8.75% due 09/01/10	185,000	189,163
HCA, Inc. Senior Notes 9.13% due 11/15/14	590,000	616,550
HCA, Inc. Senior Notes 9.25% due 11/15/16	3,190,000	3,369,437
HCA, Inc. Senior Notes 9.63% due 11/15/16(5)	905,000	954,775
IASIS Healthcare LLC / IASIS Capital Corp. Bank Guar. Notes 8.75% due 06/15/14	1,130,000	1,161,075
		9,645,656
Medical-Nursing Homes - 0.3%
Sun Healthcare Group, Inc. Senior Notes 9.13% due 04/15/15	575,000	580,750
Metal-Diversified - 1.7%
Freeport-McMoRan Copper & Gold, Inc. Senior Notes 8.25% due 04/01/15	325,000	344,500
Freeport-McMoRan Copper & Gold, Inc. Senior Notes 8.38% due 04/01/17	1,475,000	1,585,625
Noranda Aluminium Acquisition Corp. Senior Notes 6.83% due 05/15/15*(6)	1,615,000	1,417,162
Noranda Aluminium Holding Corp. Senior Notes 8.58% due 11/15/14*(6)	425,000	374,000
		3,721,287
Multimedia - 0.1%
Haights Cross Operating Co. Senior Notes 11.75% due 08/15/11	175,000	175,000
Non-Ferrous Metals - 0.0%
Renco Metals, Inc. Bonds 11.50% due 07/01/03† (2)(3)(9)(11)	210,000	0
Non-Hazardous Waste Disposal - 0.7%
Allied Waste North America, Inc. Company Guar. Notes 6.88% due 06/01/17	1,235,000	1,194,862
Allied Waste North America, Inc. Senior Notes 7.88% due 04/15/13	375,000	383,438
Waste Services, Inc. Senior Sub. Notes 9.50% due 04/15/14	75,000	75,188
		1,653,488
Office Automation & Equipment - 0.6%
IKON Office Solutions, Inc. Senior Notes 7.75% due 09/15/15	1,310,000	1,329,650

Oil Companies-Exploration & Production - 5.0%
Atlas Energy Resources LLC Senior Notes 10.75% due 02/01/18*	725,000	768,500
Belden & Blake Corp. Company Guar. Sec. Notes 8.75% due 07/15/12	135,000	137,700
Brigham Exploration Co. Company Guar. Notes 9.63% due 05/01/14	925,000	878,750
Chaparral Energy, Inc. Company Guar. Notes 8.50% due 12/01/15	995,000	880,575
Chesapeake Energy Corp. Senior Notes 6.63% due 01/15/16	1,625,000	1,576,250
Chesapeake Energy Corp. Senior Notes 7.25% due 12/15/18	1,100,000	1,091,750
Dune Energy, Inc. Senior Sec. Notes 10.50% due 06/01/12	300,000	271,500
Encore Acquisition Co. Senior Sub. Notes 6.00% due 07/15/15	630,000	598,500
Encore Acquisition Co. Senior Sub. Notes 6.25% due 04/15/14	175,000	168,875
Energy Partners, Ltd. Senior Notes 9.75% due 04/15/14	785,000	737,900
Exco Resources, Inc. Company Guar. Notes 7.25% due 01/15/11	645,000	632,906
Hilcorp Energy I LP Senior Notes 7.75% due 11/01/15*	1,080,000	1,055,700
Quicksilver Resources, Inc. Company Guar. Notes 7.13% due 04/01/16	200,000	195,000
Sabine Pass LNG LP Company Guar. Senior Notes 7.25% due 11/30/13	200,000	185,500
Sabine Pass LNG LP Sec. Notes 7.50% due 11/30/16	1,920,000	1,754,400
Transmeridian Exploration, Inc. Company Guar. Notes 12.00% due 12/15/10	300,000	180,000
		11,113,806
Oil-Field Services - 0.9%
Allis-Chalmers Energy, Inc. Company Guar. Notes 9.00% due 01/15/14	775,000	757,563
Helix Energy Solutions Group, Inc. Senior Notes 9.50% due 01/15/16*	725,000	754,000
Key Energy Services, Inc. Senior Notes 8.38% due 12/01/14*	300,000	309,750
Oslo Seismic Services, Inc. 1st Mtg. Bonds 8.28% due 06/01/11	152,347	159,004
		1,980,317
Paper & Related Products - 1.2%
Bowater, Inc. Notes 6.50% due 06/15/13	545,000	343,350
Caraustar Industries, Inc. Notes 7.38% due 06/01/09	535,000	460,100
Georgia-Pacific Corp. Company Guar. Notes 7.00% due 01/15/15*	685,000	681,575
Georgia-Pacific Corp. Company Guar. Notes 7.13% due 01/15/17*	205,000	202,437
NewPage Corp. Sec. Notes 10.00% due 05/01/12	225,000	239,625
NewPage Corp. Senior Notes 10.00% due 05/01/12*	280,000	298,200
NewPage Corp. Senior Sub. Notes 12.00% due 05/01/13	400,000	423,000
		2,648,287
Physicians Practice Management - 0.8%
US Oncology, Inc. Senior Sub. Notes 10.75% due 08/15/14	1,765,000	1,778,238
Pipelines - 3.5%
Atlas Pipeline Partners LP Company Guar. Notes 8.13% due 12/15/15	555,000	573,037
Copano Energy LLC Senior Notes 7.75% due 06/01/18*	250,000	248,438
Copano Energy LLC Company Guar. Notes 8.13% due 03/01/16	1,775,000	1,823,812
Dynegy Holdings, Inc. Senior Notes 8.75% due 02/15/12	655,000	675,469
Dynegy-Roseton Danskammer Pass Through Certs., Series B 7.67% due 11/08/16	1,340,000	1,346,700
El Paso Corp. Senior Sub. Notes 6.88% due 06/15/14	725,000	730,437
MarkWest Energy Partners LP Senior Notes 6.88% due 11/01/14	550,000	534,875

MarkWest Energy Partners LP Company Guar. Notes 8.50% due 07/15/16	280,000	292,250
MarkWest Energy Partners LP Senior Notes 8.75% due 04/15/18*	375,000	392,813
NGC Corp. Capital Trust Company Guar. Bonds 8.32% due 06/01/27	810,000	688,500
Tennessee Gas Pipeline Co. Debentures 7.00% due 10/15/28	410,000	397,139
		7,703,470
Poultry - 0.3%
Pilgrim’s Pride Corp. Senior Sub. Notes 8.38% due 05/01/17	659,000	574,978
Printing-Commercial - 0.2%
Valassis Communications, Inc. Senior Notes 8.25% due 03/01/15	530,000	495,550
Publishing-Periodicals - 1.4%
Dex Media West LLC/Dex Media Finance Co. Senior Notes 8.50% due 08/15/10	400,000	401,000
Idearc, Inc. Company Guar. Notes 8.00% due 11/15/16	1,620,000	1,158,300
R.H. Donnelley Corp. Senior Notes 6.88% due 01/15/13	225,000	150,750
R.H. Donnelley Corp. Senior Notes 8.88% due 01/15/16	98,000	67,130
R.H. Donnelley Corp. Senior Notes 8.88% due 10/15/17*	560,000	375,200
The Reader’s Digest Association, Inc. Senior Sub. Notes 9.00% due 02/15/17*	1,355,000	1,039,962
		3,192,342
Real Estate Investment Trusts - 0.5%
Omega Healthcare Investors, Inc. Senior Notes 7.00% due 04/01/14	1,080,000	1,047,600
Recycling - 0.8%
Aleris International, Inc. Company Guar. Notes 9.00% due 12/15/14(5)	2,040,000	1,667,700
Rental Auto/Equipment - 0.5%
Rental Service Corp. Notes 9.50% due 12/01/14	650,000	568,750
United Rentals North America, Inc. Senior Sub. Notes 7.75% due 11/15/13	695,000	595,963
		1,164,713
Research & Development - 0.3%
Alion Science and Technology Corp. Company Guar. Notes 10.25% due 02/01/15	880,000	620,400
Retail-Drug Store - 0.5%
Rite Aid Corp. Senior Notes 9.25% due 06/01/13	150,000	123,188
Rite Aid Corp. Senior Notes 9.50% due 06/15/17	1,330,000	1,037,400
		1,160,588
Retail-Major Department Stores - 0.1%
Saks, Inc. Company Guar. Notes 9.88% due 10/01/11	200,000	209,000
Retail-Music Store - 0.0%
MTS, Inc. Senior Notes 10.00% due 03/15/09†(1)(2)(3)(5)(7)(8)	16,572	4,309
Retail-Petroleum Products - 0.4%
Ferrellgas LP Senior Notes 6.75% due 05/01/14	440,000	420,200
Inergy LP Senior Notes 8.25% due 03/01/16*	500,000	508,750
		928,950
Retail-Regional Department Stores - 0.1%
Neiman-Marcus Group, Inc. Company Guar. Notes 9.00% due 10/15/15	240,000	245,400
Neiman-Marcus Group, Inc. Senior Sub. Notes 10.38% due 10/15/15	45,000	46,519
		291,919
Retail-Restaurants - 0.2%
NPC International, Inc. Company Guar. Notes 9.50% due 05/01/14	600,000	534,000
Rubber-Tires - 0.3%
Cooper Standard Automotive, Inc. Company Guar. Notes 8.38% due 12/15/14	720,000	585,000
Rubber/Plastic Products - 0.0%
Venture Holdings Co. LLC Company Guar. Notes 11.00% due 06/01/07† (2)(3)(9)(11)	50,000	5

Soap & Cleaning Preparation - 0.0%
Johnsondiversey Holdings, Inc. Notes 10.67% due 05/15/13(4)	50,000	50,000
Special Purpose Entities - 4.6%
AAC Group Holding Corp. Senior Notes 10.25% due 10/01/12(4)	600,000	582,000
AMR HoldCo, Inc./EmCare HoldCo, Inc. Senior Sub. Notes 10.00% due 02/15/15	175,000	186,375
Axcan Intermediate Holdings, Inc. Senior Notes 9.25% due 03/01/15*	825,000	829,125
Axcan Intermediate Holdings, Inc. Senior Notes 12.75% due 03/01/16*	350,000	340,875
Buffalo Thunder Development Authority Senior Notes 9.38% due 12/15/14*	820,000	569,900
CCM Merger, Inc. Notes 8.00% due 08/01/13*	830,000	705,500
Chukchansi Economic Development Authority Senior Notes 8.00% due 11/15/13*	1,475,000	1,298,000
FireKeepers Development Authority Senior Notes 13.88% due 05/15/15*	850,000	852,125
Hawker Beechcraft Acquisition Co. LLC / Hawker Beechcraft Notes Co. Company Guar. Notes 8.88% due 04/01/15	175,000	178,500
Hawker Beechcraft Acquisition Co. LLC / Hawker Beechcraft Notes Co. Company Guar. Notes 9.75% due 04/01/17	685,000	702,125
Hexion US Finance Corp. Company Guar. Notes 9.75% due 11/15/14	690,000	759,000
KAR Holdings, Inc. Company Guar. Notes 6.87% due 05/01/14(6)	300,000	267,000
KAR Holdings, Inc. Senior Notes 8.75% due 05/01/14	1,010,000	939,300
Local TV Finance LLC Senior Notes 9.25% due 06/15/15*	435,000	350,175
MedCath Holdings Corp. Senior Notes 9.88% due 07/15/12	135,000	140,400
MXEnergy Holdings, Inc. Senior Notes 10.69% due 08/01/11(6)	450,000	382,500
Snoqualmie Entertainment Authority Senior Sec. Notes 6.94% due 02/01/14*(6)	400,000	310,000
Snoqualmie Entertainment Authority Notes 9.13% due 02/01/15*	820,000	631,400
Southern Star Central Corp. Senior Notes 6.75% due 03/01/16	225,000	216,844
		10,241,144
Specified Purpose Acquisitions - 0.1%
ESI Tractebel Acquisition Corp. Company Guar. Bonds 7.99% due 12/30/11	286,000	292,186
Steel-Producers - 0.5%
Ryerson, Inc. Senior Sec. Notes 12.00% due 11/01/15*	1,157,000	1,122,290
Steel-Specialty - 0.1%
Allegheny Technologies, Inc. Notes 8.38% due 12/15/11	100,000	105,686
Storage/Warehousing - 0.5%
Mobile Mini, Inc. Notes 6.88% due 05/01/15	535,000	462,775
Mobile Services Group, Inc. Company Guar. Notes 9.75% due 08/01/14	660,000	640,200
		1,102,975
Telecom Services - 1.7%
Cincinnati Bell Telephone Co. LLC Company Guar. Notes 7.18% due 12/15/23	50,000	43,500
Cincinnati Bell Telephone Co. LLC Company Guar. Notes 7.20% due 11/29/23	275,000	239,250
Fairpoint Communications, Inc. Senior Notes 13.13% due 04/01/18*	1,475,000	1,511,875
MasTec, Inc. Senior Notes 7.63% due 02/01/17	101,000	88,375
PAETEC Holding Corp. Company Guar. Notes 9.50% due 07/15/15	1,190,000	1,118,600
Qwest Corp. Senior Notes 7.50% due 10/01/14	800,000	796,000
		3,797,600
Telephone-Integrated - 1.9%
Cincinnati Bell, Inc. Company Guar. Notes 7.00% due 02/15/15	290,000	279,850
Cincinnati Bell, Inc. Senior Notes 7.25% due 06/15/23	50,000	45,250

Telephone-Integrated (continued)
Cincinnati Bell, Inc. Company Guar. Notes 8.38% due 01/15/14	625,000	621,875
Citizens Communications Co. Senior Notes 9.00% due 08/15/31	495,000	457,875
Qwest Communications International, Inc. Company Guar. Notes 7.50% due 02/15/14	1,790,000	1,754,200
Sprint Capital Corp. Company Guar. Bonds 6.38% due 05/01/09	650,000	646,750
Sprint Capital Corp. Company Guar. Bonds 8.38% due 03/15/12	425,000	413,312
		4,219,112
Television - 1.4%
Allbritton Communications Co. Senior Sub. Notes 7.75% due 12/15/12	10,000	10,025
Bonten Media Acquisition Co. Company Guar. Notes 9.00% due 06/01/15*	125,000	96,875
ION Media Networks, Inc. Senior Notes 5.96% due 01/15/12*(6)	425,000	354,875
ION Media Networks, Inc. Sec. Senior Notes 8.96% due 01/15/13*(6)	2,350,000	1,480,500
LIN Television Corp. Senior Sub. Notes 6.50% due 05/15/13	540,000	512,325
Young Broadcasting, Inc. Senior Sub. Notes 8.75% due 01/15/14	385,000	223,300
Young Broadcasting, Inc. Company Guar. Notes 10.00% due 03/01/11	570,000	381,900
		3,059,800
Theaters - 1.0%
AMC Entertainment, Inc. Senior Sub. Notes 8.00% due 03/01/14	1,143,000	1,034,415
AMC Entertainment, Inc. Senior Sub Notes 11.00% due 02/01/16	177,000	179,655
Cinemark, Inc. Senior Notes 9.75% due 03/15/14(4)	975,000	926,250
		2,140,320
Transactional Software - 0.3%
Open Solutions, Inc. Senior Sub. Notes 9.75% due 02/01/15*	715,000	589,875
Transport-Air Freight - 1.3%
Atlas Air, Inc. Pass Through Certs. Series 1991-1, Class A-2 6.88% due 01/02/11	336,337	314,475
Atlas Air, Inc. Pass Through Certs. Series 1991-1, Class A-1 7.20% due 01/02/19	370,320	344,398
Atlas Air, Inc. Pass Through Certs. Series A 7.38% due 01/02/18	54,053	49,053
Atlas Air, Inc. Pass Through Certs. Series 1991-1, Class B 7.63% due 01/02/15	862,020	905,120
Atlas Air, Inc. Pass Through Certs. Series 2000-1, Class A 8.71% due 01/02/19	1,004,505	951,769
Atlas Air, Inc. Pass Through Certs. Series 1991-1, Class C 8.77% due 01/02/11	87,400	83,030
Atlas Air, Inc. Pass Through Certs. Series 2000-1, Class B 9.06% due 07/02/17	197,175	230,695
		2,878,540
Transport-Services - 0.3%
Bristow Group, Inc. Senior Notes 7.50% due 09/15/17	475,000	486,875
PHI, Inc. Company Guar. Notes 7.13% due 04/15/13	230,000	221,950
		708,825
Travel Service - 0.2%
Travelport LLC Company Guar. Notes 11.88% due 09/01/16	553,000	507,378
Vitamins & Nutrition Products - 0.1%
General Nutrition Centers, Inc. Company Guar. Notes 7.20% due 03/15/14(5)	360,000	315,000
Total Corporate Bonds & Notes
(cost $182,946,305)		173,108,601
FOREIGN CORPORATE BONDS & NOTES - 9.3%
Building & Construction-Misc. - 0.2%
North American Energy Partners, Inc. Senior Notes 8.75% due 12/01/11	485,000	489,850

Building Products-Doors & Windows - 0.0%
Masonite International Corp. Company Guar. Notes 11.00% due 04/06/15	80,000	53,600
Computers-Memory Devices - 0.4%
Seagate Technology HDD Holdings Company Guar. Notes 6.80% due 10/01/16	825,000	782,719
Containers-Metal/Glass - 0.7%
Vitro SAB de CV Senior Notes 9.13% due 02/01/17	1,270,000	1,073,150
Vitro SAB de CV Senior Notes 11.75% due 11/01/13	550,000	550,000
		1,623,150
Diversified Manufacturing Operations - 0.5%
Bombardier, Inc. Senior Notes 8.00% due 11/15/14*	965,000	1,013,250
Electronic Components-Misc. - 0.4%
NXP BV/NXP Funding LLC Company Guar. Notes 9.50% due 10/15/15	991,000	935,256
Food-Meat Products - 0.5%
JBS SA Company Guar. Notes 9.38% due 02/07/11	900,000	922,500
JBS SA Senior Notes 10.50% due 08/04/16*	250,000	260,625
		1,183,125
Independent Power Producer - 0.0%
AES Drax Energy, Ltd. Sec. Notes 11.50% due 08/30/10†(3)(7)	475,000	475
Medical-Drugs - 1.0%
Angiotech Pharmaceuticals, Inc. Company Guar. Notes 6.83% due 12/01/13(6)	1,030,000	890,950
Angiotech Pharmaceuticals, Inc. Company Guar. Notes 7.75% due 04/01/14	365,000	276,487
Elan Finance PLC Company Guar. Notes 6.68% due 11/15/11(6)	200,000	188,000
Elan Finance PLC Company Guar. Bonds 7.75% due 11/15/11	800,000	782,000
		2,137,437
Multimedia - 0.1%
Quebecor Media, Inc. Senior Notes 7.75% due 03/15/16	275,000	269,500
Oil Companies-Exploration & Production - 1.3%
Compton Petroleum Finance Corp. Company Guar. Notes 7.63% due 12/01/13	500,000	489,375
OPTI Canada, Inc. Senior Notes 7.88% due 12/15/14	1,290,000	1,306,125
OPTI Canada, Inc. Senior Notes 8.25% due 12/15/14	1,140,000	1,174,200
		2,969,700
Paper & Related Products - 0.9%
Abitibi-Consolidated Co. of Canada Notes 6.00% due 06/20/13	180,000	77,400
Abitibi-Consolidated Co. of Canada Senior Notes 13.75% due 04/01/11*	900,000	955,125
Abitibi-Consolidated Co. of Canada Senior Notes 15.50% due 07/15/10*	284,000	210,160
Abitibi-Consolidated, Inc. Notes 8.55% due 08/01/10	1,325,000	728,750
Bowater Canada Finance Corp. Company Guar. Notes 7.95% due 11/15/11	125,000	87,500
		2,058,935
Printing-Commercial - 0.3%
Quebecor World Capital Corp. Senior Notes 8.75% due 03/15/16*†(7)(8)	1,190,000	690,200
Satellite Telecom - 1.8%
Intelsat Bermuda, Ltd. Senior Notes 9.25% due 06/15/16	1,996,000	2,015,960
Intelsat Bermuda, Ltd. Senior Notes 11.25% due 06/15/16	285,000	290,700
Intelsat Intermediate Holding Co., Ltd. Senior Discount Notes 9.50% due 02/01/15(1)(2)(3)	2,250,000	1,683,427
		3,990,087
Special Purpose Entity - 0.3%
Hellas Telecommunications Luxembourg II Sub. Notes 8.46% due 01/15/15*(6)	800,000	616,000
Telecom Services - 0.3%
Global Crossing UK Finance PLC Company Guar. Notes 10.75% due 12/15/14	660,000	661,650

Telecom Services (continued)
Wind Acquisition Finance SA Company Guar. Bonds 10.75% due 12/01/15*	100,000	107,000
		768,650
Telecommunication Equipment - 0.3%
Nortel Networks, Ltd. Company Guar. Notes 10.75% due 07/15/16*	593,000	585,588
Transport-Marine - 0.2%
Ultrapetrol Bahamas, Ltd. 1st Mtg. Bonds 9.00% due 11/24/14	380,000	360,050
Transport-Rail - 0.1%
Grupo Transportacion Ferroviaria Mexicana SA de CV Senior Notes 9.38% due 05/01/12	137,000	143,165
Total Foreign Corporate Bonds & Notes
(cost $22,434,551)		20,670,737
LOANS - 4.6%
Beverages-Non-alcoholic - 0.1%
Le-Natures, Inc. 9.36% due 03/01/11†(1)(3)(7)(8)(12)(13)	600,000	189,000
Building-Residential/Commercial - 0.4%
TOUSA, Inc. 14.00% due 07/31/13(1)(3)(12)(13)	1,071,107	891,696
Casino Services - 0.4%
Herbst Gaming, Inc. Bank Term Loan B, Tranche 1 7.13% due 12/02/11(1)(3)(12)(13)(17)	173,813	132,822
Herbst Gaming, Inc. Delayed Draw B, Tranche 2 7.20% due 12/02/11(1)(3)(12)(13)(17)	52,022	39,754
Herbst Gaming, Inc. Bank Term Loan B 7.20% due 12/02/11(12)(13)(17)	110,637	84,545
Herbst Gaming, Inc. Bank Term Loan B, Tranche 2 7.20% due 12/02/11(1)(3)(12)(13)(17)	2,207	1,686
Herbst Gaming, Inc. Bank Term Loan B, Tranche 3 9.22% due 12/02/11(1)(3)(12)(13)(17)	91,523	69,939
Herbst Gaming, Inc. Delayed Draw B 9.22% due 12/02/11(12)(13)(17)	388,103	296,576
Herbst Gaming. Inc. Delayed Draw B, Tranche 1 9.22% due 12/02/11(1)(3)(12)(13)(17)	180,434	137,882
		763,204
Diversified Financial Services - 1.0%
Wind Acquisition Holdings Finance S.A. 9.98% due 12/21/11(1)(3)(12)(13)	1,212,399	1,183,605
Wind Finance SL S.A 8.76% due 11/26/14(3)(12)(13)	1,000,000	1,005,833
		2,189,438
Electric Products-Misc. - 0.4%
Texas Competitive Electric 6.23% due 10/10/14(1)(3)(12)(13)	880,833	830,296
Texas Competitive Electric 6.48% due 10/10/14(1)(3)(12)(13)	114,167	107,616
		937,912
Leisure Products - 0.1%
AMC Entertainment Holdings, Inc. 7.80% due 06/15/12(1)(3)(12)(13)	324,543	275,861
Medical-Drugs - 0.4%
Triax Pharmaceuticals LLC 15.54% due 08/30/11(1)(2)(3)(12)(13)(14)(15)	1,017,678	915,206
Medical-Hospitals - 0.5%
Capella Healthcare, Inc. 13.00% due 02/29/16(1)(3)(12)(13)	1,000,000	1,020,000
Paper & Related Products - 0.4%
Boise Paper Holdings LLC 11.25% due 02/22/15(1)(3)(12)(13)	1,000,000	976,250
Satellite Telecom - 0.5%
Intelsat Subsidiary Holding Co., Ltd. 8.88% due 01/15/15(1)(3)(12)(13)	1,000,000	1,010,000
Telecom Services - 0.4%
Telesat Canada Senior Sub Bridge Loan 9.00% due 10/31/08(1)(3)(12)(13)	1,000,000	940,000
Total Loans
(cost $10,658,597)		10,108,367
COMMON STOCK - 1.4%
Casino Services - 0.0%
Shreveport Gaming Holdings, Inc.(1)(2)(3)	2,501	57,223
Cellular Telecom - 0.7%
iPCS, Inc.†(1)(3)	53,957	1,618,710
Independent Power Producers - 0.1%
Calpine Corp.†	5,321	121,851
Mirant Corp.†	1,525	61,945
		183,796
Medical-Drugs - 0.0%
Triax Pharmaceuticals LLC(1)(2)(3)(16)	85,612	35,957
Medical-Hospitals - 0.3%
MedCath Corp.†	26,598	577,177
Medical-Outpatient/Home Medical - 0.0%
Critical Care Systems International, Inc.(1)(2)	13,262	133
Oil Companies-Exploration & Production - 0.0%
Transmeridian Exploration, Inc.†	3,206	1,443

Oil-Field Services - 0.3%
Trico Marine Services, Inc.†	16,259			624,183
Retail-Music Store - 0.0%
MTS, Inc. (1)(2)(3)	3,863			0
Total Common Stock (cost $1,915,944)				3,098,622
PREFERRED STOCK - 1.2%
Medical-Drugs - 0.0%
Triax Pharmaceuticals LLC, Class C 14.70%(1)(2)(3)(16)	26,118			52,235
Medical-Generic Drugs - 0.3%
Mylan, Inc. 6.50%	593			562,556
Oil Companies-Exploration & Production - 0.9%
EXCO Resources, Inc. Series A-3 7.00%(1)(2)	8			104,000
EXCO Resources, Inc. Series A-2 7.00%(1)(2)	16			208,000
EXCO Resources, Inc. Convertible Series A-1 7.00%(1)(2)	125			1,625,000
Transmeridian Exploration, Inc. 15.00%(2)(5)	2,608			52,160
				1,989,160
Total Preferred Stock (cost $2,386,000)				2,603,951
WARRANTS - 0.0%
Oil Companies-Exploration & Production - 0.0%
Transmeridian Exploration, Inc. Expires 12/15/10†(2) (strike price $4.31) (cost $37,980)	13,811			138
Total Long-Term Investment Securities (cost $221,361,310)				210,241,460
REPURCHASE AGREEMENT - 4.6%
Agreement with State Street Bank & Trust Co., bearing interest at 1.71%, dated 05/30/08, to be repurchased 06/02/08 in the amount of $10,316,470 and collateralized by Federal National Mtg. Assoc. Notes, bearing interest at 2.23% due 10/01/08 and having an approximate value of $10,624,713 (cost $10,315,000)	10,315,000			10,315,000
TOTAL INVESTMENTS (cost $231,676,310) (10)	99.3	%		220,556,460
Other assets less liabilities	0.7			1,552,899
NET ASSETS	100.0	%	$	222,109,359

* Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The Fund has no right to demand registration of these securities. At May 31, 2008, the aggregate value of these securities was $42,663,003 representing 19.1% of net assets. Unless otherwise indicated these securities are not considered to be illiquid.

† Non-income producing security

(1) To the extent permitted by the Statement of Additional Information, the High Yield Bond Fund may invest in restricted securities. The Fund has no right to demand registration of these securities. The securities are valued pursuant to Note 1. Restricted securities held by a Fund may not be sold except in exempt transactions or in a public offering registered under the Securities Act of 1933. The risk of investing in such securities is generally greater than the risk of investing in the securities of widely held, publicly traded companies. Lack of a secondary market and resale restrictions may result in the inability of a Fund to sell a security at a fair price and may substantially delay the sale of the security. In addition, these securities may exhibit greater price volatility than securities for which secondary markets exist. As of May 31, 2008, the High Yield Bond Fund held the following restricted securities:

Name	Acquisition Date	Principal Amount/ Shares		Acquisition Cost		Market Value		Market Value Per Share	Value as a % of Net Assets
AMC Entertainment Holdings, Inc. Loan Agreement 7.80% due 06/15/12
	06/08/07	$	300,000	$	292,500
	09/17/07		8,288		8,288
	02/11/08		8,260		8,260
	03/27/08		7,994		7,994
		$	324,542	$	317,042	$	275,861	85.00	0.12	%
Boise Paper Holdings LLC Loan Agreement 11.25% due 02/22/15
	02/20/08	$	1,000,000		920,000		976,250	97.63	0.44
Capella Healthcare, Inc. Loan Agreement 13.00% due 02/29/16
	03/03/08	$	1,000,000		990,000		1,020,000	102.00	0.46
Critical Care Systems International, Inc. Common Stock
	06/04/05		1,420		12,824
			2,368		21,394
			4,737		37,189
			4,737		35,230
			13,262		106,637		133	0.01	0.00
Exco Resources, Inc. Series A-3 7.00% Preferred Stock
	03/17/08		8		86,000		104,000	13,000	0.03
Exco Resources, Inc. Series A-2 7.00% Preferred Stock
	03/17/08		16		172,000		208,000	13,000	0.06
Exco Resources, Inc. Convertible Series A-1 7.00% Preferred Stock
	03/29/07		125		1,250,000		1,625,000	13,000	0.73
Herbst Gaming, Inc. Loan Agreement 7.13% due 12/02/11
	03/26/08	$	173,813		123,842		132,822	76.42	0.06
Herbst Gaming, Inc. Loan Agreement 7.20% due 12/02/11
	03/26/08	$	52,022		37,066		39,754	76.42	0.02
Herbst Gaming, Inc. Loan Agreement 7.20% due 12/02/11
	03/26/08	$	2,207		1,572		1,686	76.39	0.00
Herbst Gaming, Inc. Loan Agreement 9.22% due 12/02/11
	03/26/08	$	91,523		65,210		69,939	76.42	0.03
Herbst Gaming, Inc. Loan Agreement 9.22% due 12/02/11
	03/26/08	$	180,434		128,559		137,882	76.42	0.06
ICO North America, Inc. Notes 7.50% due 08/15/09
	08/11/05	$	250,000		250,000
	02/15/08		10,000		10,000
		$	260,000		260,000		226,200	87.00	0.10
Intelsat Intermediate Holding Co., Ltd. Senior Discount Notes 9.50% due 02/01/15
	04/10/08	$	2,250,000		1,683,428		1,683,427	74.82	0.76
Intelsat Subsidiary Holding Co., Ltd. Loan Agreement 8.88% due 01/15/15
	05/19/08	$	1,000,000		987,500		1,010,000	101.00	0.45
iPCS, Inc. Common Stock
	08/12/04		52,705		749,983
	07/28/05		1,252		0
			53,957		749,983		1,618,710	30.00	0.73
Le-Natures, Inc. Loan Agreement 9.36% due 03/01/11
	09/26/06	$	600,000		600,000		189,000	31.50	0.09
MTS, Inc. Common Stock
	03/16/04		3,863		0		0	0.00	0.00
MTS, Inc. Senior Notes 10.00% due 03/15/09
	03/16/04	$	13,636		47,099
	09/03/04		681		681
	03/19/05		715		143
	09/04/05		751		195
	03/04/06		789		205
		$	16,572		48,323		4,309	26.00	0.00
Shreveport Gaming Holdings, Inc. Common Stock
	07/21/05		531		12,228
	07/19/05		1,970		45,355
			2,501		57,583		57,223	22.88	0.03
Southern Energy Notes 7.90% due 07/15/09
	01/10/06	$	1,225,000		0		0	0.00	0.00
Telesat Canada Senior Sub Bridge Loan 9.00% due 10/31/08
	01/30/08	$	1,000,000		870,000		940,000	94.00	0.42
Texas Competitive Electric Loan Agreement 6.23% due 10/10/14
	10/31/07	$	880,833		880,833		830,296	94.26	0.37
Texas Competitive Electric Loan Agreement 6.48% due 10/10/14
	10/31/07	$	114,167		114,167		107,616	94.26	0.05
TOUSA, Inc. Loan Agreement 14.00% due 07/31/13
	10/11/07	$	1,022,829		920,511
	01/16/08		11,293		11,293
	02/14/08		10,700		10,700
	04/08/08		26,285		26,285
		$	1,071,107		968,789		891,696	87.18	0.40
Triax Pharmaceuticals LLC Loan Agreement 15.54% due 08/30/11
	08/31/07	$	1,000,000		899,308
	11/01/07		2,583		2,583
	01/11/08		7,603		7,603
	04/28/08		7,492		7,492
		$	1,017,678		916,986		915,206	91.52	0.41
Triax Pharmaceuticals LLC Common Stock
	08/31/07		85,612		35,957		35,957	0.42	0.02
Triax Pharmaceuticals LLC Preferred Stock
	08/31/07		26,118		52,235		52,235	2.00	0.02
Wind Acquisition Holdings Finance S.A. Loan Agreement 9.98% due 12/21/11
	03/15/07	$	206,305		206,843
	03/19/07		103,153		103,150
	06/21/07		206,374		208,892
	07/18/07		3,288		3,308
	07/18/07		6,575		6,618
	10/31/07		16,941		16,941
	11/01/07		600,000		605,724
	01/31/08		36,380		36,380
	04/30/08		33,383		33,383
		$	1,212,399		1,221,239		1,183,605	97.63	0.53
							14,336,807		6.45	%

(2) Fair valued security; see Note 1

(3) Illiquid security

(4) “Step-up” security where the rate increases ("steps-up") at a predetermined rate. Rate shown reflects the increased rate.

(5) PIK ("Payment-in-Kind") security. Bond or preferred stock that pays interest/dividends in the form of additional bonds or preferred stocks.

(6) Floating rate security where the rate fluctuates. The rate moves up or down at each reset date. The rate reflected is as of May 31, 2008.

(7) Bond in default

(8) Company has filed Chapter 11 bankruptcy protection.

(9) Company has filed Chapter 7 bankruptcy.

(10) See Note 4 for cost of investments on a tax basis.

(11) Bond is in default and did not pay principal at maturity

(12) The Fund invests in Senior Loans which generally pay interest at rates which are periodically re-determined by reference to a base lending rate plus a premium. These base lending rates are generally either the lending rate offered by one or more major United States banks, or the certificate of deposit rate. Senior Loans are generally considered to be restrictive in that the Fund is ordinarily contractually obligated to receive approval from the Agent Bank and/or borrower prior to the disposition of a Senior Loan

(13) Senior Loans in the Fund’s Portfolio are generally subject to mandatory and/or optional prepayment. Because of these mandatory prepayment conditions and because there may be significant economic incentives for a borrower to prepay, prepayments may occur. As a result, the actual remaining maturity may be substantially less than the stated maturities shown

(14) A portion of the interest is paid in the form of additional bonds

(15) Loan is subject to an unfunded loan commitment. See Note 5 for details.

(16) Consists of more than one class of securities traded together as a unit.

(17) As of May 31, 2008, the issuer was not in default with respect to interest and/or principal payments concerning the securities noted. On May 16, 2008, however, the issuer disclosed on Form 10-Q that it entered into a forbearance and standstill agreement (the “Forbearance Agreement”) with respect to an amended credit agreement (the “Credit Agreement”) under which the issuer is currently in default due to a “going concern” qualification in its auditors’ report on its annual financial statements, as of the end of the first quarter of 2008, and failure to comply with financial ratio covenants. The Forbearance Agreement amends the Credit Agreement and provides that the issuer’s lenders will forbear from exercising certain rights and remedies under the amended Credit Agreement and other loan documents as a result of existing and possible defaults.

See Notes to Portfolio of Investments

AIG RETIREMENT COMPANY II INTERNATIONAL SMALL CAP EQUITY

PORTFOLIO OF INVESTMENTS - May 31, 2008 (Unaudited)

Security Description	Shares/ Principal Amount	Market Value (Note 1)
COMMON STOCK - 95.7%
Australia - 1.8%
ABB Grain, Ltd.	215,311	$	2,177,303
AWB, Ltd.	314,465		934,759
Crane Group, Ltd.	100,000		1,328,562
Macmahon Holdings, Ltd.	1,284,612		2,124,150
Oakton, Ltd.	301,565		1,069,355
Orica, Ltd.	50,000		1,448,037
Primary Health Care, Ltd.	55,054		320,986
Tassal Group, Ltd.	503,259		1,495,956
Transfield Services, Ltd.	108,594		970,475
Western Areas NL†	83,267		801,437
			12,671,020
Austria - 1.2%
Andritz AG	131,351		8,887,149
Belgium - 1.2%
Bekaert NV	53,968		8,665,583
Bermuda - 1.9%
China Yurun Food Group, Ltd.	1,598,000		2,526,854
Citic Resources Holdings, Ltd.†	2,552,000		1,448,681
CNPC Hong Kong, Ltd.	2,950,000		1,549,866
Fairwood, Ltd.	890,500		995,036
Global Sources, Ltd.†	46,640		704,264
Huabao International Holdings, Ltd.	1,985,000		2,009,444
IT, Ltd.	7,716,000		2,323,531
Luk Fook Holdings International, Ltd.	272,000		189,259
Pacific Basin Shipping, Ltd.	1,134,000		1,964,618
			13,711,553
Canada - 0.9%
Oilexco, Inc. (London)†	155,385		2,462,418
Oilexco, Inc. (Toronto)†	246,068		3,890,628
			6,353,046
Cayman Islands - 1.6%
Anta Sports Products, Ltd.	2,097,000		2,216,872
China Huiyuan Juice Group, Ltd.	1,248,000		956,322
Hidili Industry International Development, Ltd.	1,904,000		3,708,505
HKR International, Ltd.	2,692,800		1,711,489
Kingdee International Software Group Co., Ltd.	164,000		43,501
New World Department Store China, Ltd.†	1,881,000		1,913,805
SA SA International Holdings, Ltd.	2,344,000		970,171
			11,520,665
China - 0.4%
AsiaInfo Holdings, Inc.†	230,500		3,169,375
Denmark - 3.4%
FLSmidth & Co. A/S	114,647		13,749,510
Genmab A/S†	72,880		3,906,593
Jyske Bank A/S†	13,993		935,396
Topdanmark A/S†	35,160		6,013,390
			24,604,889
Finland - 3.6%
Nokian Renkaat Oyj	154,591		7,941,471
Pohjola Bank PLC, Class A	433,639		8,925,403
Ramirent Oyj	23,989		309,390
Wartsila Oyj, Class B	121,906		8,616,036
			25,792,300
France - 2.5%
BioMerieux	55,412		5,970,710
Bureau Veritas SA	200,340		12,155,475
			18,126,185
Germany - 7.7%
Fielmann AG	118,092		9,162,195
GEA Group AG	223,694		8,710,736
K+S AG	21,873		10,254,271
SGL Carbon AG†	174,975		13,011,986
Vossloh AG	95,435		13,822,832
			54,962,020
Greece - 0.9%
Fourlis Holdings SA	183,913		6,231,749
Hong Kong - 0.9%
China Everbright International, Ltd.	3,779,000		1,462,420
China Green Holdings, Ltd.	2,658,000		3,508,169
Dah Sing Banking Group, Ltd.	720,400		1,523,162
			6,493,751
India - 0.3%
Chennai Petroleum Corp., Ltd.	292,380		2,327,746
Indonesia - 0.5%
Ciputra Development Tbk PT†	6,479,500		340,843
Medco Energi Internasional Tbk PT†	2,314,000		1,254,503
United Tractors Tbk PT	1,096,000		1,700,183
			3,295,529
Ireland - 0.8%
Kerry Group PLC	207,157		6,058,947
Italy - 0.9%
Hera SpA	1,437,770		6,095,307
Japan - 24.7%
Acrodea, Inc.†	315		1,114,542
Alpha Systems, Inc.	86,600		2,217,985
Amano Corp.	137,400		1,475,401
Chugoku Marine Paints, Ltd.	403,000		3,096,471
Daiichi Chuo Kisen Kaisha	219,000		1,547,666
Daiseki Co., Ltd.	87,600		2,642,459
Dena Co., Ltd.	283		1,991,899
Digital Garage, Inc.†	1,172		1,656,498
Disco Corp.	49,100		2,529,055
Don Quijote Co, Ltd.	252,100		5,273,008
en-japan, Inc.	630		1,290,837
EPS Co., Ltd.	659		3,094,337
Exedy Corp.	165,700		4,401,062
FP Corp.	98,000		2,816,733
Fujimi, Inc.	107,800		1,751,673
Glory, Ltd.	44,100		1,035,359
Harmonic Drive Systems, Inc.	321		1,315,424
Hisamitsu Pharmaceutical Co., Inc.	111,500		4,495,115
Hitachi Systems & Services, Ltd.	126,000		2,390,438
Iriso Electronics Co., Ltd.	83,200		1,349,573
Japan Steel Works, Ltd.	359,000		7,457,883
Kaga Electronics Co., Ltd.	80,000		1,078,353
Kakaku.com, Inc.	502		2,861,905

Kenedix, Inc.	895	1,324,417
Kito Corp.	504	927,490
Kitz Corp.	157,000	881,654
Koito Manufacturing Co., Ltd.	226,000	3,222,140
Kureha Corp.	440,000	2,575,223
Kyoritsu Maintenance Co., Ltd.	143,700	2,651,266
Lintec Corp.	220,400	3,951,394
Mani, Inc.	27,000	1,831,246
MCJ Co., Ltd.	1,639	458,180
Miraca Holdings, Inc.	94,400	2,328,211
Miraial Co., Ltd.	35,300	1,078,220
Mitsubishi UFJ Lease & Finance Co., Ltd.	62,400	2,912,237
Modec, Inc.	118,500	4,417,615
Moshi Moshi Hotline, Inc.	219,300	5,668,682
Nabtesco Corp.	378,000	5,647,410
Nihon Dempa Kogyo Co., Ltd.	50,300	1,326,447
Nishimatsuya Chain Co., Ltd.	220,600	2,603,172
Nissha Printing Co, Ltd.	48,500	2,502,751
NPC, Inc	25,200	1,460,558
Obic Co, Ltd.	10,080	1,767,012
Okasan Holdings, Inc.	410,000	2,473,534
Osaka Securities Exchange Co., Ltd.	591	3,313,233
Otsuka Corp.	59,700	4,286,938
Resort Solution Co., Ltd.	94,000	301,385
Right On Co., Ltd.	50	598
Rohto Pharmaceutical Co., Ltd.	182,000	2,178,752
Saint Marc Holdings Co., Ltd.	61,700	2,733,248
Sankyu, Inc.	535,000	3,050,038
Sasebo Heavy Industries Co., Ltd.	535,000	1,898,027
Sato Corp.	109,000	1,390,675
So-net M3, Inc.	501	1,900,968
Star Micronics Co., Ltd.	119,600	2,297,382
Sugi Pharmacy Co., Ltd.	69,300	1,702,590
Sysmex Corp.	108,800	4,045,684
Taiyo Ink Manufacturing Co., Ltd.	93,900	2,079,838
Takeei Corp.	12,600	490,040
Teikoku Piston Ring Co., Ltd.	256,000	2,532,802
Toho Pharmaceutical Co., Ltd.	119,700	2,242,530
Toshiba Machine Co., Ltd.	220,000	1,659,078
Toyo Tanso Co., Ltd.	48,800	3,768,090
Tsumura & Co.	189,000	4,661,355
Unicharm Petcare Corp	72,700	2,268,858
Union Tool Co.	71,200	2,424,663
USS Co, Ltd.	62,980	4,265,578
Vantec Group Holdings Corp.	410	536,710
Village Vanguard Co., Ltd.	326	1,858,528
Works Applications Co., Ltd.	2,896	3,653,652
Xebio Co., Ltd.	109,000	2,683,125
Yamaguchi Financial Group, Inc.	143,000	2,086,264
		177,203,164
Luxembourg - 0.9%
Oriflame Cosmetics SA SDR	92,884	6,594,214
Malaysia - 0.4%
IJM Corp. Bhd	574,400	1,019,383
Lion Industries Corp. Bhd	458,800	406,406
Sarawak Energy Bhd	1,747,400	1,617,963
		3,043,752
Netherlands - 7.1%
Boskalis Westminster	219,625	13,322,161
Fugro NV	105,334	9,276,869
Koninklijke Vopak NV	149,598	10,896,747
Nutreco Holding NV	116,162	8,443,191
Qiagen NV†	205,581	4,081,063
Smit Internationale NV	40,589	4,540,220
		50,560,251
New Zealand - 0.1%
Nufarm, Ltd.	64,935	1,045,793
Philippines - 0.3%
Pepsi-Cola Products Philippines, Inc.†	32,393,000	2,072,441
Singapore - 1.1%
Olam International, Ltd.	274,000	629,885
Raffles Education Corp., Ltd.	2,232,000	2,180,280
Raffles Medical Group, Ltd.	2,345,200	2,463,102
Swiber Holdings, Ltd.†	1,097,000	2,320,414
		7,593,681
South Korea - 2.8%
Cheil Industries, Inc.	23,950	1,236,969
Elim Edu Co., Ltd.†	499,153	1,635,495
Hyundai DSF Co., Ltd.	105,470	1,157,042
Hyunjin Materials Co., Ltd.	35,484	1,532,972
Jinsung T.E.C.	191,662	2,958,522
JVM Co., Ltd.	39,825	1,604,522
Kolon Engineering & Construction Co., Ltd.	129,080	1,528,835
Korea Kumho Petrochemical Co., Ltd.	14,650	694,775
MegaStudy Co., Ltd.	4,539	1,577,556
SODIFF Advanced Materials Co., Ltd.	19,878	1,539,988
SSCP Co., Ltd.†	79,076	1,412,551
Synopex, Inc†	186,314	1,327,649
Taeyoung Engineering & Construction	138,010	1,246,049
Youngone Corp.	68,930	629,039
		20,081,964
Spain - 6.2%
Bolsas y Mercados Espanoles	32,765	1,522,597
Grifols SA	217,424	6,244,229
Indra Sistemas SA	229,083	6,254,746
Prosegur Cia de Seguridad SA	169,990	7,492,205
Red Electrica de Espana	172,323	12,198,160
Tecnicas Reunidas SA	124,564	10,416,233
		44,128,170
Sweden - 1.3%
Saab AB	342,391	9,586,149
Switzerland - 2.3%
Basilea Pharmaceutica AG†	33,550	5,375,726
Bucher Industries AG	18,573	4,860,432
Galenica AG	17,311	6,162,035
		16,398,193

Taiwan - 1.1%
Everlight Electronics Co., Ltd.		499,511			1,766,246
International Games System Co., Ltd.		164,450			1,411,797
L&K Engineering Co., Ltd.		651,000			920,762
Mosel Vitelic, Inc.		602,970			1,170,161
Shin Zu Shing Co., Ltd.		205,000			1,206,993
Sweeten Construction Co., Ltd.		946,000			1,294,441
					7,770,400
Thailand - 0.5%
Italian-Thai Development PCL		3,550,200			928,657
Somboon Advance Technology PCL†(1)		1,927,600			919,458
Thoresen Thai Agencies PCL		884,600			1,388,355
					3,236,470
United Kingdom - 16.4%
Aggreko PLC		725,722			8,690,188
Charter PLC		452,475			8,129,512
Cobham PLC		2,554,628			10,702,879
Cookson Group PLC		605,909			8,761,790
Croda International		669,405			8,738,501
De La Rue PLC		736,895			13,881,894
IG Group Holdings PLC		1,911,889			14,476,806
Lamprell PLC		644,720			6,704,911
Northumbrian Water Group PLC		919,301			5,991,233
Pennon Group PLC		689,163			8,853,083
Rotork PLC		379,872			8,540,744
Serco Group PLC		1,094,959			9,684,605
Wellstream Holdings PLC†		167,520			4,522,985
					117,679,131
Total Common Stock (cost $652,245,457)					685,960,587
PREFERRED STOCK - 1.3%
Germany - 1.3%
Fuchs Petrolub AG (cost $7,944,578)		93,142			9,384,088
Total Long-Term Investment Securities (cost $660,190,035)					695,344,675
SHORT-TERM INVESTMENT SECURITIES - 2.2%
Time Deposits - 2.2%
Euro Time Deposit with State Street Bank & Trust Co. 1.35% due 06/02/08 (cost $15,759,000)	$	15,759,000			15,759,000
TOTAL INVESTMENTS - (cost $675,949,035) (2)		99.2	%		711,103,675
Other assets less liabilities		0.8			5,522,726
NET ASSETS -		100.0	%	$	716,626,401

† Non-income producing security

(1) Fair valued security; see Note 1

(2) See Note 4 for cost of investments on a tax basis.

SDR - Swedish Depository Receipt

Industry Allocation*
Diversified Manufacturing Operations	3.9	%
Building & Construction Products-Misc.	3.8
Chemicals-Diversified	3.2
Machinery-General Industrial	3.1
Consulting Services	3.0
Chemicals-Specialty	2.9
Food-Misc.	2.7
Oil-Field Services	2.6
Miscellaneous Manufacturing	2.4
Medical-Drugs	2.3
Printing-Commercial	2.3
Time Deposits	2.2
Water	2.1
Gambling (Non-Hotel)	2.0
Electric Products-Misc.	1.9
Banks-Commercial	1.9
Medical-Biomedical/Gene	1.9
Commercial Services	1.8
Building-Heavy Construction	1.8
Electric-Transmission	1.7
Transport-Services	1.6
Oil Refining & Marketing	1.6
Auto/Truck Parts & Equipment-Original	1.5
Aerospace/Defense-Equipment	1.5
Aerospace/Defense	1.3
Retail-Misc./Diversified	1.3
Oil Companies-Exploration & Production	1.3
Machinery-Construction & Mining	1.3
Transport-Marine	1.3
Wire & Cable Products	1.2
Instruments-Controls	1.2
Computers-Integrated Systems	1.2
Medical-Wholesale Drug Distribution	1.2
Rubber-Tires	1.1
Security Services	1.0
Machinery-Material Handling	1.0
Cosmetics & Toiletries	0.9
Computer Services	0.9
Therapeutics	0.9
Appliances	0.9
Electric-Integrated	0.9
Agricultural Operations	0.9
Insurance-Multi-line	0.8
Direct Marketing	0.8
Medical Labs & Testing Services	0.8
Retail-Discount	0.7
Machinery-Electrical	0.7
Retail-Apparel/Shoe	0.7
Applications Software	0.7
Electronic Components-Misc.	0.7
Retail-Automobile	0.6
Containers-Paper/Plastic	0.6
Medical Instruments	0.6
Finance-Investment Banker/Broker	0.6
Oil Field Machinery & Equipment	0.6
Schools	0.5
Retail-Restaurants	0.5
Coal	0.5
Building & Construction-Misc.	0.5
Metal Processors & Fabrication	0.5
Finance-Other Services	0.5
E-Commerce/Services	0.5
Rubber/Plastic Products	0.5
Internet Infrastructure Software	0.4
Real Estate Operations & Development	0.4
Coatings/Paint	0.4
Engineering/R&D Services	0.4
Transport-Truck	0.4
Beverages-Non-alcoholic	0.4
Finance-Leasing Companies	0.4
Internet Content-Information/News	0.4
Medical-Hospitals	0.4
E-Services/Consulting	0.4
Retail-Sporting Goods	0.4
Building-Maintance & Services	0.4
Diversified Operations	0.4
Communications Software	0.3
Footwear & Related Apparel	0.3
Retail-Major Department Stores	0.3
Shipbuilding	0.3
Retail-Bookstore	0.3
Medical Products	0.3
Electronic Components-Semiconductors	0.2
Retail-Drug Store	0.2
Data Processing/Management	0.2
Electric-Generation	0.2
Advanced Materials	0.2
Engines-Internal Combustion	0.2
Fisheries	0.2
Batteries/Battery Systems	0.2
Entertainment Software	0.2
Machinery-Print Trade	0.2
Electronic Connectors	0.2
Investment Management/Advisor Services	0.2
Semiconductor Components-Integrated Circuits	0.2
Retail-Regional Department Stores	0.2
Electronic Parts Distribution	0.2
Diversified Minerals	0.1
Commerce	0.1
Food-Wholesale/Distribution	0.1
Recycling	0.1
Computers	0.1
Steel-Producers	0.1
Apparel Manufacturers	0.1
Retail-Perfume & Cosmetics	0.1
	99.2%

* Calculated as a percentage of net assets

See Notes to Portfolio of Investments

AIG RETIREMENT COMPANY II LARGE CAP VALUE FUND

PORTFOLIO OF INVESTMENTS - May 31, 2008 (Unaudited)

Security Description	Shares/ Principal Amount	Market Value (Note 1)
COMMON STOCK - 98.7%
Aerospace/Defense - 0.5%
Northrop Grumman Corp.	23,116	$	1,744,333
Agricultural Chemicals - 2.7%
CF Industries Holdings, Inc.	32,021		4,383,675
Terra Industries, Inc.	98,659		4,304,492
			8,688,167
Applications Software - 0.3%
Microsoft Corp.	39,500		1,118,640
Banks-Commercial - 2.4%
Bank of Hawaii Corp.	33,714		1,823,927
Cullen/Frost Bankers, Inc.	23,100		1,291,290
UnionBanCal Corp.	96,959		4,853,768
			7,968,985
Banks-Fiduciary - 2.9%
Northern Trust Corp.	72,006		5,472,456
The Bank of New York Mellon Corp.	88,679		3,948,876
			9,421,332
Banks-Super Regional - 1.5%
Bank of America Corp.	148,037		5,034,738
Beverages-Non-alcoholic - 0.3%
Coca-Cola Enterprises, Inc.	41,067		827,089
Broadcast Services/Program - 0.5%
Liberty Media Corp., Class A†	100,112		1,483,660
Building-Heavy Construction - 1.0%
Perini Corp.†	82,325		3,168,689
Building-Residential/Commercial - 1.4%
NVR, Inc.†	8,347		4,719,143
Chemicals-Specialty - 1.0%
OM Group, Inc.†	71,360		3,102,733
Commercial Services-Finance - 1.4%
The Western Union Co.	186,646		4,412,311
Computer Services - 0.3%
Affiliated Computer Services, Inc., Class A†	18,500		1,002,700
Computers - 1.4%
International Business Machines Corp.	36,342		4,703,745
Computers-Memory Devices - 1.2%
Western Digital Corp.†	105,215		3,948,719
Consulting Services - 0.3%
Watson Wyatt Worldwide, Inc., Class A	14,200		831,694
Consumer Products-Misc. - 1.0%
Fossil, Inc.†	73,170		2,320,220
Tupperware Brands Corp.	26,349		1,009,167
			3,329,387
Cosmetics & Toiletries - 1.0%
Procter & Gamble Co.	47,969		3,168,352
Distribution/Wholesale - 0.5%
Owens & Minor, Inc.	34,856		1,654,963
Diversified Manufacturing Operations - 4.4%
Acuity Brands, Inc.	23,221		1,236,518
General Electric Co.	289,732		8,900,567
Parker Hannifin Corp.	48,113		4,073,728
			14,210,813
Electric-Integrated - 5.8%
American Electric Power Co., Inc.	78,974		3,342,969
Dominion Resources, Inc.	139,767		6,471,212
Duke Energy Corp.	94,626		1,748,689
Edison International	110,464		5,879,999
SCANA Corp.	34,271		1,375,638
			18,818,507
Electronics-Military - 1.6%
L-3 Communications Holdings, Inc.	48,730		5,233,115
Engineering/R&D Services - 0.3%
EMCOR Group, Inc.†	33,581		985,602
Enterprise Software/Service - 0.4%
Oracle Corp.†	57,500		1,313,300
Finance-Credit Card - 1.4%
Discover Financial Services	260,680		4,470,662
Finance-Investment Banker/Broker - 4.5%
Citigroup, Inc.	39,378		861,985
JPMorgan Chase & Co.	241,213		10,372,159
Knight Capital Group, Inc., Class A†	191,662		3,413,500
			14,647,644
Food-Retail - 0.3%
Safeway, Inc.	25,900		825,433
Food-Wholesale/Distribution - 0.7%
Fresh Del Monte Produce, Inc.†	81,190		2,398,353
Gas-Distribution - 0.9%
Energen Corp.	38,536		2,888,273
Human Resources - 0.3%
Hewitt Associates Inc., Class A†	23,771		930,872
Instruments-Scientific - 1.3%
Thermo Fisher Scientific, Inc.†	74,000		4,367,480
Insurance Broker - 1.3%
AON Corp.	91,203		4,303,870
Insurance-Multi-line - 2.3%
ACE, Ltd.	83,808		5,034,346
Assurant, Inc.	33,966		2,310,707
			7,345,053
Insurance-Property/Casualty - 2.3%
Arch Capital Group, Ltd.†	45,781		3,221,151
Chubb Corp.	79,531		4,275,587
			7,496,738
Insurance-Reinsurance - 3.8%
Aspen Insurance Holdings, Ltd.	90,452		2,311,953
Axis Capital Holdings, Ltd.	77,845		2,728,467
Endurance Specialty Holdings, Ltd.	95,818		3,225,234
PartnerRe, Ltd.	42,495		3,131,457
Platinum Underwriters Holdings, Ltd.	31,300		1,110,211
			12,507,322
Intimate Apparel - 0.5%
The Warnaco Group, Inc.†	34,971		1,685,252
Investment Management/Advisor Services - 0.4%
Federated Investors, Inc., Class B	36,885		1,357,737
Machinery-Construction & Mining - 1.0%
Caterpillar, Inc.	15,657		1,293,895

Joy Global, Inc.	22,971			1,934,847
				3,228,742
Machinery-Farming - 0.5%
AGCO Corp.†	29,599			1,788,668
Medical Products - 2.4%
Johnson & Johnson	116,658			7,785,755
Medical-Biomedical/Gene - 0.7%
Invitrogen Corp.†	19,886			913,960
Martek Biosciences Corp.†	35,138			1,326,811
				2,240,771
Medical-Drugs - 2.7%
Pfizer, Inc.	462,346			8,951,019
Medical-HMO - 1.8%
Aetna, Inc.	72,210			3,405,424
AMERIGROUP Corp.†	88,194			2,435,036
				5,840,460
Metal Processors & Fabrication - 0.3%
Worthington Industries, Inc.	56,501			1,126,630
Oil Companies-Exploration & Production - 4.3%
Apache Corp.	16,033			2,149,384
Cimarex Energy Co.	20,252			1,379,971
Devon Energy Corp.	45,506			5,275,966
Occidental Petroleum Corp.	38,182			3,510,071
Stone Energy Corp.†	23,771			1,606,444
				13,921,836
Oil Companies-Integrated - 14.4%
Chevron Corp.	129,428			12,832,786
ConocoPhillips	131,171			12,212,020
Exxon Mobil Corp.	246,785			21,904,637
				46,949,443
Oil Refining & Marketing - 0.8%
Valero Energy Corp.	51,520			2,619,277
Real Estate Investment Trusts - 1.4%
Annaly Mtg. Management, Inc.	74,328			1,323,782
Senior Housing Properties Trust	149,139			3,312,377
				4,636,159
Rental Auto/Equipment - 0.5%
United Rentals, Inc.†	75,427			1,553,042
Retail-Apparel/Shoe - 1.4%
The Gap, Inc.	258,601			4,719,468
Retail-Auto Parts - 1.1%
AutoZone, Inc.†	28,011			3,545,072
Retail-Discount - 1.7%
Big Lots, Inc.†	86,517			2,687,218
Wal-Mart Stores, Inc.	51,885			2,995,840
				5,683,058
Retail-Restaurants - 1.3%
McDonald’s Corp.	71,662			4,250,990
Savings & Loans/Thrifts - 0.3%
Hudson City Bancorp, Inc.	59,770			1,063,906
Steel-Producers - 0.5%
AK Steel Holding Corp.	23,710			1,683,410
Telephone-Integrated - 3.9%
AT&T, Inc.	259,553			10,356,165
Verizon Communications, Inc.	64,602			2,485,239
				12,841,404
Television - 0.6%
DISH Network Corps. Class A†	51,625			1,812,554
Tobacco - 3.0%
Altria Group, Inc.	109,415			2,435,578
Philip Morris International, Inc.†	122,329			6,441,845
Universal Corp.	19,562			970,471
				9,847,894
Total Long-Term Investment Securities (cost $317,725,437)				322,204,964
SHORT-TERM INVESTMENT SECURITIES - 1.1%
Registered Investment Companies - 1.1%
American Advantage Money Market Fund (cost $3,601,112)	3,601,112			3,601,112
TOTAL INVESTMENTS (cost $321,326,549) (1)	99.8	%		325,806,076
Other assets less liabilities	0.2			643,367
NET ASSETS	100.0	%	$	326,449,443

† Non-income producing security

(1) See Note 4 for cost of investments on a tax basis.

See Notes to Portfolio of Investments

AIG RETIREMENT COMPANY II MID CAP GROWTH FUND

PORTFOLIO OF INVESTMENTS - May 31, 2008 (Unaudited)

Security Description	Shares/ Principal Amount	Market Value (Note 1)
COMMON STOCK - 94.7%
Aerospace/Defense-Equipment - 1.0%
BE Aerospace, Inc.†	63,577	$	2,222,016
Agricultural Chemicals - 1.0%
Intrepid Potash, Inc.†	20,051		985,707
Potash Corp. of Saskatchewan, Inc.	6,698		1,333,371
			2,319,078
Applications Software - 1.5%
Citrix Systems, Inc.†	69,955		2,394,560
Nuance Communications, Inc.†	56,350		1,111,222
			3,505,782
Banks-Commercial - 0.3%
Signature Bank†	26,631		760,049
Casino Hotel - 0.4%
Wynn Resorts, Ltd.	9,864		986,696
Casino Services - 0.9%
International Game Technology	62,211		2,218,444
Coal - 1.2%
Alpha Natural Resources, Inc.†	35,600		2,907,808
Commercial Services - 3.1%
Alliance Data Systems Corp.†	73,731		4,426,809
Quanta Services, Inc.†	84,987		2,722,984
			7,149,793
Commercial Services-Finance - 2.6%
Equifax, Inc.	29,968		1,143,579
Moody’s Corp.	92,727		3,438,317
Riskmetrics Group, Inc.†	68,067		1,411,029
			5,992,925
Computer Aided Design - 1.4%
Ansys, Inc.†	68,152		3,223,590
Computer Services - 2.3%
Cognizant Technology Solutions Corp., Class A†	74,677		2,634,605
IHS, Inc.†	46,861		2,791,041
			5,425,646
Computers-Memory Devices - 0.9%
NetApp, Inc.†	87,314		2,128,715
Computers-Periphery Equipment - 0.8%
Logitech International SA†	58,241		1,907,745
Consulting Services - 0.6%
Gartner, Inc.†	62,992		1,372,596
Consumer Products-Misc. - 1.0%
Jarden Corp.†	125,604		2,355,075
Containers-Metal/Glass - 4.0%
Crown Holdings, Inc.†	162,758		4,695,568
Owens-Illinois, Inc.†	81,359		4,655,362
			9,350,930
Containers-Paper/Plastic - 1.6%
Pactiv Corp.†	150,983		3,718,711
Cosmetics & Toiletries - 1.1%
The Estee Lauder Cos., Inc., Class A	52,127		2,481,245
Data Processing/Management - 0.5%
Fidelity National Information Services, Inc.	30,060		1,210,817
Diversified Financial Services - 0.9%
IntercontinentalExchange, Inc.†	14,818		2,047,848
Electronic Components-Semiconductors - 2.9%
Altera Corp.	112,744		2,608,896
Intersil Corp., Class A	85,962		2,395,761
ON Semiconductor Corp.†	173,363		1,714,560
			6,719,217
Electronic Connectors - 1.4%
Amphenol Corp., Class A	72,008		3,357,733
Engineering/R&D Services - 3.3%
Foster Wheeler, Ltd.†	47,079		3,586,007
Shaw Group, Inc.†	67,955		4,145,255
			7,731,262
Finance-Consumer Loans - 1.8%
SLM Corp.†	187,231		4,244,527
Finance-Investment Banker/Broker - 1.1%
TD Ameritrade Holding Corp.†	143,557		2,599,817
Independent Power Producer - 0.7%
Dynegy, Inc., Class A†	165,000		1,554,300
Instruments-Scientific - 1.0%
Waters Corp.†	36,482		2,244,373
Internet Security - 1.2%
McAfee, Inc.†	74,226		2,690,693
Investment Companies - 0.5%
KKR Financial Holdings, LLC	94,513		1,149,278
Investment Management/Advisor Services - 1.0%
Affiliated Managers Group, Inc.†	23,178		2,375,745
Machinery-Construction & Mining - 1.9%
Bucyrus International, Inc.	42,714		3,023,297
Joy Global, Inc.	16,441		1,384,825
			4,408,122
Machinery-Pumps - 1.6%
Flowserve Corp.	27,104		3,754,446
Medical-Biomedical/Gene - 1.4%
AMAG Pharmaceuticals, Inc.†	26,658		1,066,320
Genzyme Corp.†	30,924		2,117,057
			3,183,377
Medical-Drugs - 1.0%
Allergan, Inc.	40,744		2,347,669
Medical-HMO - 1.1%
Humana, Inc.†	50,810		2,593,851
Metal Processors & Fabrication - 1.4%
Precision Castparts Corp.	27,660		3,341,328
Networking Products - 1.6%
Infinera Corp.†	91,327		1,304,149
Juniper Networks, Inc.†	90,817		2,499,284
			3,803,433
Oil & Gas Drilling - 3.6%
ENSCO International, Inc.	31,662		2,274,281
Helmerich & Payne, Inc.	29,000		1,816,850
Noble Corp.	68,427		4,320,481
			8,411,612

Oil Companies-Exploration & Production - 2.4%
Carrizo Oil & Gas, Inc.†	36,328			2,432,523
Southwestern Energy Co.†	72,341			3,207,600
				5,640,123
Oil Field Machinery & Equipment - 1.4%
Cameron International Corp.†	60,487			3,219,723
Oil Refining & Marketing - 0.5%
Tesoro Corp.	50,000			1,242,500
Oil-Field Services - 1.1%
Hercules Offshore, Inc.†	74,421			2,524,360
Pharmacy Services - 0.8%
Express Scripts, Inc.†	24,858			1,792,510
Physicians Practice Management - 0.5%
Healthways, Inc.†	33,927			1,095,842
Pipelines - 1.0%
Williams Cos., Inc.	62,374			2,372,707
Private Corrections - 1.4%
Corrections Corp. of America†	131,190			3,382,078
Real Estate Investment Trusts - 1.0%
Annaly Mtg. Management, Inc.	130,506			2,324,312
Real Estate Operations & Development - 0.2%
Meruelo Maddux Properties, Inc.†	165,261			462,731
Research & Development - 1.0%
Pharmaceutical Product Development, Inc.	50,859			2,248,476
Retail-Apparel/Shoe - 7.9%
Abercrombie & Fitch Co., Class A	31,710			2,302,146
Aeropostale, Inc.†	122,618			4,284,273
Coach, Inc.†	64,323			2,334,925
Guess ?, Inc.	56,891			2,322,859
Hanesbrands, Inc.†	145,957			4,816,581
Under Armour, Inc., Class A†	32,980			1,180,684
Urban Outfitters, Inc.†	38,130			1,227,405
				18,468,873
Retail-Computer Equipment - 0.4%
GameStop Corp., Class A†	20,851			1,034,210
Retail-Drug Store - 1.4%
Shoppers Drug Mart Corp.	59,124			3,317,394
Retail-Perfume & Cosmetics - 0.3%
Ulta Salon Cosmetics & Fragrance, Inc.†	54,522			777,484
Retail-Restaurants - 0.9%
Burger King Holdings, Inc.	77,536			2,213,653
Retail-Sporting Goods - 0.8%
Dick’s Sporting Goods, Inc.†	78,929			1,827,206
Rubber-Tires - 1.2%
The Goodyear Tire & Rubber Co.†	110,850			2,816,698
Schools - 2.1%
Apollo Group, Inc., Class A†	51,550			2,463,575
ITT Educational Services, Inc.†	32,367			2,350,815
				4,814,390
Semiconductor Components-Integrated Circuits - 1.1%
Maxim Integrated Products, Inc.	115,808			2,559,357
Telecom Services - 1.0%
Amdocs, Ltd.†	74,579			2,409,647
Therapeutics - 0.7%
United Therapeutics Corp.†	17,370			1,659,009
Transactional Software - 1.6%
Solera Holdings, Inc.†	133,952			3,652,871
Transport-Truck - 2.8%
Con-way, Inc.	49,341			2,408,334
J.B. Hunt Transport Services, Inc.	33,511			1,167,523
Landstar System, Inc.	52,231			2,910,312
				6,486,169
Wire & Cable Products - 1.8%
General Cable Corp.†	60,531			4,285,595
Wireless Equipment - 2.7%
American Tower Corp., Class A†	26,324			1,203,533
Crown Castle International Corp.†	56,969			2,420,613
SBA Communcations Corp., Class A†	70,716			2,632,050
				6,256,196
X-Ray Equipment - 1.1%
Hologic, Inc.†	107,667			2,587,238
Total Long-Term Investment Securities (cost $202,272,201)				221,267,644
REPURCHASE AGREEMENT - 5.3%
Agreement with State Street Bank & Trust Co., bearing interest at 1.71%, dated 05/30/08, to be repurchased 06/02/08 in the amount of $12,213,740 and collateralized by Federal Home Loan Bank Notes, bearing interest at 2.45% due 08/13/08 and having approximate value of $12,581,775 (cost $12,212,000)	12,212,000			12,212,000
TOTAL INVESTMENTS (cost $214,484,201) (1)	100.0	%		233,479,644
Other assets less liabilities	0.0			103,684
NET ASSETS	100.0	%	$	233,583,328

† Non-income producing security

(1) See Note 4 for cost of investments on a tax basis.

See Notes to Portfolio of Investments

AIG RETIREMENT COMPANY II MID CAP VALUE FUND

PORTFOLIO OF INVESTMENTS - May 31, 2008 (Unaudited)

Security Description	Shares/ Principal Amount	Market Value (Note 1)
COMMON STOCK - 95.7%
Advertising Agencies - 0.9%
Omnicom Group, Inc.	122,429	$	6,000,245
Aerospace/Defense-Equipment - 1.0%
Alliant Techsystems, Inc.†	58,900		6,394,184
Agricultural Chemicals - 0.9%
Agrium, Inc.	71,400		6,241,788
Agricultural Operations - 1.0%
Bunge, Ltd.	25,851		3,085,834
Chaoda Modern Agriculture	2,350,000		3,306,424
			6,392,258
Airlines - 0.5%
Northwest Airlines Corp.†	503,700		3,556,122
Appliances - 0.1%
Whirlpool Corp.	9,900		729,432
Auto-Cars/Light Trucks - 0.2%
Ford Motor Co.†	163,869		1,114,309
Auto/Truck Parts & Equipment-Original - 1.7%
Autoliv, Inc.	65,178		3,563,281
TRW Automotive Holdings Corp.†	161,400		4,026,930
WABCO Holdings, Inc.	66,466		3,473,513
			11,063,724
Banks-Commercial - 3.2%
City National Corp.	56,807		2,749,459
M&T Bank Corp.	96,011		8,320,313
Marshall & Ilsley Corp.	86,100		2,000,964
Popular, Inc.	440,109		4,797,188
Zions Bancorp.	72,246		3,113,080
			20,981,004
Banks-Fiduciary - 0.4%
Northern Trust Corp.	38,166		2,900,616
Banks-Super Regional - 0.9%
Comerica, Inc.	37,991		1,412,505
Huntington Bancshares, Inc.	359,800		3,205,818
KeyCorp	52,571		1,023,557
National City Corp.	70,471		411,551
			6,053,431
Beverages-Non-alcoholic - 0.5%
Pepsi Bottling Group, Inc.	100,051		3,243,653
Building-Residential/Commercial - 1.1%
D.R. Horton, Inc.	51,215		650,943
M.D.C Holdings, Inc.	149,400		6,070,122
Toll Brothers, Inc.†	31,231		658,037
			7,379,102
Chemicals-Diversified - 2.8%
Celanese Corp., Class A	113,100		5,507,970
FMC Corp.	137,700		10,187,046
Rohm & Haas Co.	48,921		2,640,756
			18,335,772
Chemicals-Specialty - 2.1%
Cytec Industries, Inc.	31,756		2,005,709
Eastman Chemical Co.	89,763		6,876,743
Rhodia SA	204,054		4,685,664
			13,568,116
Coal - 0.3%
Arch Coal, Inc.	29,902		1,940,939
Coatings/Paint - 0.4%
The Sherwin-Williams Co.	48,937		2,747,813
Commercial Services - 0.7%
PHH Corp.†	251,400		4,733,862
Computer Graphics - 0.8%
Compagnie Generale de Geophysique-Veritas ADR†	100,200		5,388,756
Computers-Integrated Systems - 0.3%
NCR Corp.†	66,400		1,756,944
Computer Serives - 1.3%
CACI International, Inc., Class A	161,800		8,246,946
Containers-Metal/Glass - 1.9%
Greif, Inc., Class A	77,900		5,222,416
Owens-Illinois, Inc.†	133,898		7,661,644
			12,884,060
Containers-Paper/Plastic - 1.8%
Pactiv Corp.†	378,362		9,319,056
Sonoco Products Co.	71,958		2,491,186
			11,810,242
Distribution/Wholesale - 0.6%
United Stationers, Inc.†	99,246		4,202,076
Diversified Manufacturing Operations - 2.8%
Crane Co.	45,929		2,096,659
Eaton Corp.	71,893		6,950,615
Pentair, Inc.	138,200		5,172,826
Teleflex, Inc.	69,200		4,102,868
			18,322,968
Diversified Operations - 0.5%
First Pacific Co.	4,638,000		3,375,728
Electric-Integrated - 6.6%
Edison International	149,721		7,969,649
Northeast Utilities	222,500		5,809,475
NSTAR	57,836		1,939,241
PG&E Corp.	106,130		4,201,687
PPL Corp.	125,918		6,460,852
Sierra Pacific Resources	384,400		5,216,308
Westar Energy, Inc.	56,387		1,353,288
Wisconsin Energy Corp.	220,856		10,609,922
			43,560,422
Electronic Components-Misc. - 1.6%
Flextronics International, Ltd.†	620,762		6,648,361
Kingboard Laminates Holdings, Ltd.	6,071,500		4,115,665
			10,764,026
Electronic Components-Semiconductors - 2.4%
Fairchild Semiconductor International, Inc.†	707,995		10,619,925
Intersil Corp., Class A	97,100		2,706,177
MEMC Electronic Materials, Inc.†	39,955		2,743,310
			16,069,412
Electronic Connectors - 0.5%
Amphenol Corp., Class A	66,815		3,115,583

Electronic Parts Distribution - 1.8%
Arrow Electronics, Inc.†	276,792	8,486,443
Avnet, Inc.†	106,485	3,143,437
		11,629,880
Energy-Alternate Sources - 0.2%
Brasil Ecodiesel Industria e Comercio de Biocombustiveis e Oleos Vegetais SA ADR*	183,700	670,266
Brasil Ecodiesel Industria e Comercio de Biocombustiveis e Oleos Vegetais SA ADR	154,200	562,630
		1,232,896
Engineering/R&D Services - 0.8%
URS Corp.†	104,875	5,014,074
Enterprise Software/Service - 0.6%
BMC Software, Inc.†	67,057	2,688,986
CA, Inc.	49,923	1,324,956
		4,013,942
Finance-Commercial - 0.5%
CIT Group, Inc.	361,914	3,619,140
Finance-Credit Card - 0.1%
Discover Financial Services	51,482	882,916
Finance-Investment Banker/Broker - 0.9%
Lazard, Ltd., Class A	74,762	2,847,685
TD Ameritrade Holding Corp.†	190,196	3,444,449
		6,292,134
Finance-Other Services - 0.3%
Solar Cayman Ltd.†*(1)(2)(4)	120,200	1,815,020
Financial Guarantee Insurance - 0.2%
Assured Guaranty, Ltd.	61,178	1,413,212
Fishery - 0.8%
Marine Harvest†	7,974,000	5,374,747
Food-Dairy Products - 0.9%
Dean Foods Co.†	263,900	5,739,825
Food-Meat Products - 1.0%
Marfrig Frigorificos e Comercio de Alimentos SA	239,000	3,467,815
Smithfield Foods, Inc.†	96,101	3,007,000
		6,474,815
Food-Misc. - 1.4%
ConAgra Foods, Inc.	253,308	5,973,003
Corn Products International, Inc.	69,659	3,274,669
		9,247,672
Garden Products - 0.5%
Toro Co.	77,600	3,032,608
Gas-Distribution - 1.8%
Sempra Energy	92,576	5,351,818
UGI Corp.	235,916	6,365,014
		11,716,832
Home Decoration Products - 1.1%
Newell Rubbermaid, Inc.	364,456	7,318,276
Industrial Gases - 0.3%
Airgas, Inc.	34,013	2,012,549
Insurance Broker - 0.6%
AON Corp.	81,011	3,822,909
Insurance-Life/Health - 2.3%
Reinsurance Group of America, Inc.	136,295	7,008,289
StanCorp Financial Group, Inc.	57,684	3,172,043
Unum Group	208,985	5,032,359
		15,212,691
Insurance-Multi-line - 0.5%
Assurant, Inc.	52,569	3,576,269
Insurance-Property/Casualty - 0.9%
Arch Capital Group, Ltd.†	45,963	3,233,957
W.R. Berkley Corp.	108,528	2,940,023
		6,173,980
Insurance-Reinsurance - 1.8%
Everest Re Group, Ltd.	84,101	7,377,340
Platinum Underwriters Holdings, Ltd.	119,755	4,247,710
		11,625,050
Internet Security - 0.8%
McAfee, Inc.†	154,600	5,604,250
Investment Management/Advisor Services - 1.5%
Affiliated Managers Group, Inc.†	48,076	4,927,790
Invesco, Ltd.	175,842	4,893,683
		9,821,473
Machine Tools & Related Products - 0.8%
Kennametal, Inc.	143,900	5,561,735
Machinery-Farming - 0.3%
AGCO Corp.†	29,200	1,764,556
Medical Products - 1.7%
The Cooper Cos., Inc.	118,300	4,785,235
West Pharmaceutical Services, Inc.	141,600	6,716,088
		11,501,323
Medical-Drugs - 0.9%
Endo Pharmaceuticals Holdings, Inc.†	231,812	5,711,848
Medical-Generic Drugs - 1.7%
Barr Pharmaceuticals, Inc.†	183,435	8,034,453
Impax Laboratories, Inc.†(2)	424,915	3,399,745
		11,434,198
Medical-HMO - 0.7%
Coventry Health Care, Inc.†	37,679	1,734,364
Humana, Inc.†	59,500	3,037,475
		4,771,839
Medical-Wholesale Drug Distribution - 0.4%
AmerisourceBergen Corp.	57,665	2,383,294
Metal Processors & Fabrication - 0.2%
Ternium SA ADR	35,850	1,591,382
Metal-Iron - 0.9%
Cleveland-Cliffs, Inc.	53,300	5,687,110
Non-Ferrous Metals - 0.6%
Uranium One, Inc.†	508,400	2,548,140

Non-Ferrous Metals (continued)
USEC, Inc.†	161,200	1,123,564
		3,671,704
Non-Hazardous Waste Disposal - 0.7%
Republic Services, Inc.	137,219	4,518,622
Oil & Gas Drilling - 0.8%
Nabors Industries, Ltd.†	130,779	5,497,949
Oil Companies-Exploration & Production - 3.0%
Chesapeake Energy Corp.	37,167	2,035,636
Newfield Exploration Co.†	128,928	8,153,407
Noble Energy, Inc.	98,149	9,564,620
		19,753,663
Oil Companies-Integrated - 0.9%
Hess Corp.	49,036	6,022,111
Oil-Field Services - 0.3%
SBM Offshore NV(2)	44,538	1,768,280
Paper & Related Products - 0.6%
Temple-Inland, Inc.	253,088	3,687,492
Pipelines - 0.7%
El Paso Corp.	233,138	4,557,848
Printing-Commercial - 0.8%
R.R. Donnelley & Sons Co.	157,637	5,175,223
Real Estate Investment Trusts - 2.8%
Boston Properties, Inc.	29,419	2,875,413
Developers Diversified Realty Corp.	57,061	2,264,180
Essex Property Trust, Inc.	18,600	2,222,142
Federal Realty Investment Trust	27,146	2,188,511
LaSalle Hotel Properties	29,300	961,626
Liberty Property Trust	147,000	5,218,500
ProLogis	41,376	2,562,416
		18,292,788
Real Estate Operations & Development - 0.3%
Brookfield Properties Corp.	103,899	2,089,409
Retail-Apparel/Shoe - 1.9%
Abercrombie & Fitch Co., Class A	37,346	2,711,320
American Eagle Outfitters, Inc.	219,800	4,004,756
Liz Claiborne, Inc.	111,400	1,945,044
The Gap, Inc.	224,472	4,096,614
		12,757,734
Retail-Automobile - 0.6%
Copart, Inc.†	83,800	3,771,000
Retail-Discount - 0.4%
TJX Cos., Inc.	73,621	2,360,289
Retail-Major Department Stores - 0.4%
J.C. Penney Co., Inc.	60,231	2,423,695
Retail-Restaurants - 0.8%
Burger King Holdings, Inc.	184,210	5,259,195
Savings & Loans/Thrifts - 1.5%
Astoria Financial Corp.	104,424	2,491,557
Sovereign Bancorp, Inc.	821,000	7,503,940
		9,995,497
Semiconductor Equipment - 2.2%
Teradyne, Inc.†	303,300	4,167,342
Varian Semiconductor Equipment Associates, Inc.†	267,250	10,163,517
		14,330,859
Steel-Producers - 0.1%
Nucor Corp.	9,221	689,731
Sugar - 0.2%
Cosan, Ltd. Class A†	102,100	1,202,738
Telecom Equipment-Fiber Optics - 0.7%
JDS Uniphase Corp.†	377,300	4,667,201
Telecom Services - 2.0%
Embarq Corp.	68,900	3,260,348
Time Warner Cable, Inc., Class A†	229,717	4,295,708
Virgin Media, Inc.	353,700	5,549,553
		13,105,609
Telecommunication Equipment - 0.4%
Harris Corp.	43,723	2,876,099
Telephone-Integrated - 0.7%
Windstream Corp.	341,464	4,555,130
Therapeutics - 0.4%
Theravance, Inc.†	199,771	2,702,902
Tools-Hand Held - 0.5%
The Stanley Works	69,658	3,383,986
Transport-Equipment & Leasng - 0.3%
Genesis Lease, Ltd. ADR	129,200	1,679,600
Transport-Marine - 0.4%
American Commercial Lines, Inc.†	174,800	2,681,432
Transport-Rail - 0.4%
Norfolk Southern Corp.	39,122	2,636,040
Transport-Truck - 1.4%
Werner Enterprises, Inc.	487,358	9,230,561
Total Common Stock
(cost $604,829,923)		631,292,365
CONVERTIBLE PREFERRED STOCK - 0.6%
Banks-Super Regional - 0.6%
National City Corp, Series G(2) (cost $3,000,000)	30	3,504,000
PREFERRED STOCK – 0.0%
Finance-Mortgage Loan/Banker - 0.0%
Thornburg Mtg., Inc. 10% (cost $867,854)	36,800	165,600
Total Long-Term Investment Securities
(cost $608,697,777)		634,961,965

SHORT-TERM INVESTMENT SECURITIES - 2.0%
Time Deposit - 2.0%
Euro Time Deposit with State Street Bank & Trust Co.
1.35% due 06/02/08
(cost $13,538,000)	$	13,538,000			13,538,000
REPURCHASE AGREEMENT - 1.1%
Agreement with State Street Bank & Trust Co., bearing interest at 1.71%, dated 05/30/08, to be repurchased 06/02/08 in the amount of $7,160,020 and collateralized by Federal Home Loan Bank Notes, bearing interest at 6.12%, due 08/24/27 and having an approximate value of $7,374,375
(Cost $7,159,000)		7,159,000			7,159,000
TOTAL INVESTMENTS
(cost $629,394,777) (3)		99.4	%		655,658,965
Other assets less liabilities		0.6			3,968,531
NET ASSETS		100.0	%	$	659,627,496

† Non-income producing security

* Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The Fund has no right to demand registration of these securities. At May 31, 2008, the aggregate value of these securities was $2,485,286 representing 0.4% of net assets. Unless otherwise indicated these securities are not considered to be illiquid.

(1) Consists of more than one type of securities traded together as a unit.

(2) Fair valued security; see Note 1

(3) See Note 4 for cost of investments on a tax basis.

(4) To the extent permitted by the Statement of Additional Information, the Mid Cap Value Fund may invest in restricted securities. The Fund has no right to demand registration of these securities. The securities are valued pursuant to Note 1. Restricted securities held by a Fund may not be sold except in exempt transactions or in a public offering registered under the Securities Act of 1933. The risk of investing in such securities is generally greater than the risk of investing in the securities of widely held, publicly traded companies. Lack of a secondary market and resale restrictions may result in the inability of a Fund to sell a security at a fair price and may substantially delay the sale of the security. In addition, these securities may exhibit greater price volatility than securities for which secondary markets exist. As of May 31, 2008, the Mid Cap Value Fund held the following restricted securities:

Name	Acquisition Date	Shares	Acquisition Cost		Market Value		Market Value Per Share		Value as a% of Net Assets
Solar Cayman Ltd.
Common Stock	03/09/07	120,200	$	1,803,000	$	1,815,020	$	15.00	0.30	%

ADR – American Depository Receipt

See Notes to Portfolio of Investments

AIG RETIREMENT COMPANY II MODERATE GROWTH LIFESTYLE FUND

PORTFOLIO OF INVESTMENTS - May 31, 2008 (Unaudited)

Security Description	Shares		Market Value (Note 1)
AFFILIATED REGISTERED INVESTMENT COMPANIES #(1) - 100.1%
Domestic Equity Investment Companies - 45.0%
AIG Retirement Co. I Stock Index Fund	135,964		$	4,704,362
AIG Retirement Co. I Value Fund	734,391			8,085,641
AIG Retirement Co. I Blue Chip Growth Fund	1,060,037			11,172,791
AIG Retirement Co. I Real Estate Fund†	652,222			7,350,544
AIG Retirement Co. II Capital Appreciation Fund	2,201,921			24,991,806
AIG Retirement Co. II Large Cap Value Fund	588,480			7,938,598
AIG Retirement Co. II Small Cap Growth Fund†	157,946			1,911,143
Total Domestic Equity Investment Companies (cost $65,157,138)				66,154,885
Fixed Income Investment Companies - 48.1%
AIG Retirement Co. II Strategic Bond Fund	1,039,868			11,760,902
AIG Retirement Co. I Government Securities Fund	2,186,827			22,786,742
AIG Retirement Co. II Core Bond Fund	2,609,667			26,462,021
AIG Retirement Co. II High Yield Bond Fund	1,093,334			9,555,738
Total Fixed Income Investment Companies (cost $71,384,878)				70,565,403
International Equity Investment Company - 7.0%
AIG Retirement Co. I International Equities Fund	992,358			10,290,757
(cost $10,246,054)
TOTAL INVESTMENTS (cost $146,788,070) (2)	100.1	%		147,011,045
Liabilities in excess of other assets	(0.1	)		(204,402	)
NET ASSETS	100.0	%	$	146,806,643

# The Moderate Growth Lifestyle Fund invests in various AIG Retirement Company I or AIG Retirement Company II Funds, some of which are not presented in this report. Additional information on the underlying funds is available at our website, www.aigvalic.com.

† Non-income producing security

(1) See Note 3

(2) See Note 4 for cost of investments on a tax basis.

See Notes to Portfolio of Investments

AIG RETIREMENT COMPANY II MONEY MARKET II FUND

PORTFOLIO OF INVESTMENTS - May 31, 2008 (Unaudited)

Security Description	Principal Amount		Market Value (Note 1)
SHORT-TERM INVESTMENT SECURITIES - 91.3%
Certificates of Deposit - 16.4%
Bank Of America Corp. 3.59% due 07/14/08	$	2,000,000	$	2,000,000
Bank of America NA 2.65% due 10/07/08		4,000,000		4,000,000
Bank of Scotland PLC 2.70% due 09/12/08		3,300,000		3,300,000
Barclays Bank PLC 3.97% due 07/14/08		4,000,000		4,001,030
BNP Paribas 3.52% due 10/15/08		4,000,000		4,000,000
BNP Paribas NY Branch 2.46% due 07/28/08		3,300,000		3,300,052
Calyon 2.34% due 06/13/08		3,300,000		3,300,000
Calyon 2.73% due 07/11/08		3,250,000		3,250,000
Calyon 2.73% due 10/14/08		3,200,000		3,200,118
Citibank NA 2.69% due 08/15/08		4,200,000		4,200,000
Citibank NA 2.96% due 06/05/08		4,375,000		4,375,000
Nordea Bank Finland 4.61% due 11/05/08		3,600,000		3,611,832
Svenska Handelsbanken NY 2.65% due 06/12/08		4,000,000		4,000,012
Svenska Handelsbanken NY 2.75% due 07/28/08		3,300,000		3,300,052
UBS AG 2.98% due 06/04/08		4,000,000		4,000,003
Total Certificates of Deposit (amortized cost $53,838,099)				53,838,099
Commercial Paper - 28.6%
ABN Amro North American Finance, Inc. 2.25% due 06/05/08		3,197,000		3,196,201
Bank of Scotland PLC 2.57% due 07/08/08		2,800,000		2,792,604
Barclays U.S. Funding LLC 2.64% due 08/28/08		4,100,000		4,073,592
Barclays U.S. Funding LLC 4.18% due 06/09/08		4,000,000		3,996,289
Deutsche Bank AG 2.72% due 08/04/08		3,300,000		3,300,569
Deutsche Bank Financial LLC 2.10% due 06/05/08		3,300,000		3,299,230
Deutsche Bank Financial LLC 2.20% due 06/09/08		3,000,000		2,998,533
Dexia Delaware LLC 2.77% due 06/09/08		3,000,000		2,998,153
General Electric Capital Corp. 2.38% due 06/23/08		6,000,000		5,991,273
General Electric Capital Corp. 2.67% due 08/22/08		3,300,000		3,279,931
JP Morgan Chase & Co. 2.35% due 06/12/08		3,300,000		3,297,630
JP Morgan Chase & Co. 2.50% due 09/03/08		3,300,000		3,278,458
JP Morgan Chase & Co. 2.56% due 08/04/08		3,500,000		3,484,071
Lloyds TSB Bank PLC 2.24% due 06/26/08		4,000,000		3,993,778
Lloyds TSB Bank PLC 2.50% due 06/12/08		3,300,000		3,300,030
Lloyds TSB Bank PLC 3.77% due 07/15/08		4,000,000		3,981,569
Nordea North America, Inc. 2.35% due 06/04/08		3,000,000		2,999,413
Nordea North America, Inc. 2.36% due 07/22/08		3,300,000		3,288,967
Nordea North America, Inc. 2.41% due 06/11/08		3,300,000		3,297,791
Rabobank Nederland 2.58% due 06/09/08		4,250,000		4,250,009
Rabobank Nederland 2.62% due 08/19/08		4,000,000		4,000,953
Rabobank USA Financial Corp. 2.57% due 06/10/08		4,000,000		3,997,430
Royal Bank of Canada 2.35% due 06/16/08		3,300,000		3,296,769
Royal Bank of Canada 2.63% due 07/03/08		4,000,000		4,000,000
State Street Boston Corp. 2.40% due 08/01/08		3,500,000		3,485,767
State Street Boston Corp. 2.75% due 06/03/08		4,000,000		3,999,389
Total Commercial Paper (amortized cost $93,878,399)				93,878,399
Corporate Notes - 0.5%
Cheyne Finance LLC 5.20% due 01/07/08†*(1)(2)(3)(4)(5) (amortized cost $1,633,669)		1,633,669		1,633,669
Medium Term Notes - 9.6%
Bank of America NA 2.53% due 08/26/08		5,000,000		5,000,000
Merrill Lynch & Co., Inc. 2.42% due 08/22/08(2)		3,000,000		3,000,000
Merrill Lynch & Co., Inc. 2.65% due 09/12/08		1,000,000		1,000,000
Royal Bank of Scotland PLC 2.12% due 06/06/08*		2,000,000		2,000,015
Royal Bank of Scotland PLC 2.37% due 07/28/08(2)		5,000,000		4,998,794
Wachovia Bank NA 2.65% due 06/27/08(2)		7,500,000		7,502,261
Wachovia Bank NA 2.65% due 10/03/08		1,000,000		999,244
Wells Fargo & Co. 2.77% due 09/03/08(2)		1,000,000		1,000,000
Wells Fargo Bank NA 2.36% due 07/07/08		6,000,000		6,000,060
Total Medium Term Notes (amortized cost $31,500,374)				31,500,374
U.S. Government Agencies - 27.0%
Federal Home Loan Bank
2.00% due 06/06/08		4,000,000		3,998,889
2.01% due 06/25/08		4,000,000		3,994,640

2.01% due 07/30/08	3,300,000			3,289,129
2.02% due 08/01/08	7,550,000			7,524,222
2.02% due 08/08/08	3,300,000			3,287,409
2.02% due 08/11/08	5,500,000			5,478,089
2.03% due 07/16/08	4,000,000			3,989,850
2.05% due 06/30/08	4,000,000			3,993,394
2.05% due 08/08/08	3,300,000			3,287,222
2.07% due 06/18/08	3,300,000			3,296,774
2.07% due 06/20/08	5,000,000			4,994,537
2.09% due 06/11/08	4,000,000			3,997,678
2.10% due 07/18/08	5,000,000			4,986,292
2.18% due 08/15/08	3,300,000			3,285,013
2.20% due 04/01/09	3,200,000			3,197,675
2.30% due 01/15/09	4,200,000			4,196,712
4.13% due 11/19/08	4,200,000			4,237,370
5.00% due 09/12/08	3,300,000			3,325,372
5.80% due 09/02/08	7,000,000			7,025,034
Federal National Mtg. Assoc.
2.02% due 07/18/08	4,000,000			3,989,451
2.09% due 12/08/08	3,300,000			3,263,599
Total U.S. Government Agencies (amortized cost $88,638,351)				88,638,351
U.S. Government Treasuries - 9.2%
United States Treasury Bills
1.83% due 06/26/08	5,000,000			4,993,663
1.92% due 06/19/08	5,000,000			4,995,212
United States Treasury Notes
3.13% due 09/15/08	10,000,000			9,975,836
4.13% due 08/15/08	10,000,000			9,999,803
Total U.S. Government Treasuries (amortized cost $29,964,514)				29,964,514
Total Short-Term Investment Securities - 91.3% (amortized cost $299,453,406)				299,453,406
REPURCHASE AGREEMENT - 6.9%
UBS Securities, LLC Joint Repurchase Agreement(6) (amortized cost $22,705,000)	22,705,000			22,705,000
TOTAL INVESTMENTS - (amortized cost $322,158,406)(7)	98.2	%		322,158,406
Other assets less liabilities	1.8			5,829,147
NET ASSETS	100.0	%	$	327,987,553

† Non-income producing security

* Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The Fund has no right to demand registration of these securities. At May 31, 2008, the aggregate value of these securities was $3,633,684 representing 1.1% of net assets. Unless otherwise indicated these securities are not considered to be illiquid.

(1) Bond in default

(2) Floating rate security where the rate fluctuates. The rate moves up or down at each reset date. The rate reflected is as of May 31, 2008.

(3) Illiquid security

(4) Security issued by a structured investment vehicle (“SIV”). These SIV’s may be affected by, among other things, changes in: interest rates, the quality of the underlying assets or the market’s assessment thereof, factors concerning the interest in and structure of the issuer or the originator of the receivables, or the credit worthiness of the entities that provide any credit enhancements.

(5) On August 28, 2007, mark to market losses experienced in the investment portfolio of SIV Portfolio, Plc (“SIV Portfolio”) (formerly Cheyne Finance Plc), the issuer of the underlying notes held by Cheyne Finance LLC, the issuer of the medium term notes (the “Notes”) held by the Fund, triggered the appointment of receivers (Deloitte & Touche LLP) (collectively, the “Receiver”). On October 17, 2007, the Receiver determined that SIV Portfolio was, or was about to become, unable to pay its debts as they came due and that an insolvency event had occurred. As a result of this determination, the Notes became immediately due and payable and are in default as a result of non payment. These events, which are based on published reports, materially adversely affect the ability of SIV Portfolio to make interest and principal payments due on the Notes. On April 16, 2008, however, the Receiver made a partial payment of principal and interest due on the Notes. On July 18, 2008, the Receiver announced that they have accepted certain bids in connection with the sale of SIV Portfolio’s investment portfolio and intend to make a distribution to senior creditors, including the Fund, on account of the net proceeds from the sale of the entire investment portfolio on or about July 23, 2008.

(6) See Note 2 for details of Joint Repurchase Agreements.

(7) See Note 4 for cost of investments on a tax basis.

Allocation of investments as a percentage of net assets by industry category as of May 31, 2008:

U.S. Government Agency	27.0	%
Foreign Banks	16.1
Money Center Banks	15.5
Diversified Financial Services	12.5
U.S. Government Securities	9.1
Super-Regional Bank—U.S.	6.0
Finance	3.7
Commercial Banks	2.3
Commercial Banks—Canadian	2.2
Domestic Banks	2.1
Finance—Investment Bank/Brokerage	1.2
Asset Backed Commercial Paper/Finance	0.5
	98.2	%

See Notes to Portfolio of Investments

AIG RETIREMENT COMPANY II SMALL CAP GROWTH FUND

PORTFOLIO OF INVESTMENTS - May 31, 2008 (Unaudited)

Security Description	Shares/ Principal Amount	Market Value (Note 1)
COMMON STOCK - 98.2%
Aerospace/Defense-Equipment - 1.0%
HEICO Corp.	9,800	$	497,154
Apparel Manufacturers - 1.9%
American Apparel, Inc.†	48,150		322,124
Volcom, Inc.†	25,850		654,780
			976,904
Applications Software - 2.7%
NetSuite ,Inc.†	18,750		426,750
Nuance Communications, Inc.†	48,800		962,336
			1,389,086
Banks-Commercial - 0.4%
Bancorp, Inc.†	17,100		182,115
Batteries/Battery Systems - 1.1%
EnerSys†	17,100		533,691
Building Products-Cement - 1.0%
Eagle Materials, Inc.	13,800		494,730
Building-MobileHome/Manufactured Housing - 0.8%
Champion Enterprises, Inc.†	51,200		427,520
Casino Services - 1.0%
Bally Technologies, Inc.†	10,700		481,607
Chemicals-Diversified - 0.9%
Innospec, Inc.	17,450		429,619
Commercial Services-Finance - 1.4%
Bankrate, Inc.†	6,500		328,250
Morningstar, Inc.†	5,500		390,225
			718,475
Computer Aided Design - 2.1%
Ansys, Inc.†	22,950		1,085,535
Computer Services - 1.1%
Syntel, Inc.	16,750		547,725
Computer Software - 1.4%
MSCI, Inc.†	19,200		682,560
Computers-Periphery Equipment - 0.5%
Synaptics, Inc.†	5,350		228,820
Consulting Services - 1.0%
FTI Consulting, Inc.†	8,450		507,507
Cosmetics & Toiletries - 0.7%
Bare Escentuals, Inc.†	18,500		371,110
Diagnostic Kits - 0.8%
Meridian Bioscience, Inc.	14,000		410,620
Distribution/Wholesale - 1.3%
LKQ Corp.†	28,900		640,424
E-Marketing/Info - 0.8%
Digital River, Inc.†	9,900		396,594
Educational Software - 1.5%
Blackboard, Inc.†	19,450		736,766
Electronic Components-Semiconductors - 2.5%
Diodes, Inc.†	10,600		299,238
IPG Photonics Corp.†	14,600		293,314
Microsemi Corp.†	24,000		657,600
			1,250,152
Electronic Design Automation - 0.8%
Magma Design Automation, Inc.†	51,000		385,050
Electronic Measurement Instruments - 1.3%
FLIR Systems, Inc.†	17,000		670,140
Enterprise Software/Service - 1.9%
Omnicell, Inc.†	43,650		579,672
Taleo Corp., Class A†	20,000		395,800
			975,472
Finance-Investment Banker/Broker - 1.0%
Investment Technology Group, Inc.†	11,539		485,792
Firearms & Ammunition - 0.9%
Smith & Wesson Holding Corp.†	82,000		473,140
Footwear & Related Apparel - 2.8%
Deckers Outdoor Corp.†	5,050		690,436
Iconix Brand Group, Inc.†	50,950		738,775
			1,429,211
Insurance-Property/Casualty - 1.8%
Castlepoint Holdings, Ltd.	47,818		515,956
ProAssurance Corp.†	8,050		412,402
			928,358
Internet Application Software - 1.3%
Art Technology Group, Inc.†	84,600		317,250
DealerTrack Holdings, Inc.†	15,700		330,328
			647,578
Internet Connectivity Services - 0.4%
Cogent Communications Group, Inc.†	12,650		208,093
Internet Content-Information/News - 0.5%
Loopnet, Inc.†	20,550		269,822
Investment Management/Advisor Services - 2.8%
Affiliated Managers Group, Inc.†	4,050		415,125
Calamos Asset Management, Inc., Class A	30,100		608,923
National Financial Partners Corp.	15,600		380,952
			1,405,000
Machinery-Construction & Mining - 1.3%
Bucyrus International, Inc.	9,500		672,410
Machinery-Thermal Process - 1.1%
TurboChef Technologies, Inc.†	86,050		579,116
Medical Information Systems - 0.5%
Allscripts Healthcare Solutions, Inc.†	19,650		244,250
Medical Instruments - 0.7%
Thoratec Corp.†	22,600		373,578
Medical Labs & Testing Services - 1.2%
ICON PLC ADR†	8,700		613,350
Medical-Biomedical/Gene - 6.7%
Alexion Pharmaceuticals, Inc.†	3,600		256,860
Enzo Biochem, Inc.†	71,750		705,302
Exelixis, Inc.†	28,100		177,592
Illumina, Inc.†	11,200		878,976
Medivation, Inc.†	16,050		243,479

Myriad Genetics, Inc.†		10,750			520,515
Third Wave Technologies, Inc.†		58,150			616,971
					3,399,695
Medical-Drugs - 1.2%
Sucampo Pharmaceuticals, Inc., Class A†		33,130			353,828
ViroPharma, Inc.†		26,900			257,971
					611,799
Medical-Outpatient/Home Medical - 1.4%
Gentiva Health Services, Inc.†		35,127			707,458
Metal Processors & Fabrication - 1.4%
Kaydon Corp.		11,750			718,042
Metal-Aluminum - 1.4%
Century Aluminum Co.†		9,900			722,700
Networking Products - 1.6%
Switch & Data Facilities Co., Inc.†		44,150			788,077
Oil Companies-Exploration & Production - 4.2%
Cabot Oil & Gas Corp.		11,500			692,875
Comstock Resources, Inc.†		9,100			521,885
Penn Virginia Corp.		14,650			923,243
					2,138,003
Oil-Field Services - 5.1%
Exterran Holdings, Inc.†		8,000			588,160
Hornbeck Offshore Services, Inc.†		7,650			403,155
Oceaneering International, Inc.†		10,350			738,576
W-H Energy Services, Inc.†		9,850			842,470
					2,572,361
Patient Monitoring Equipment - 1.5%
Insulet Corp.†		19,650			320,295
Masimo Corp.†		13,300			459,648
					779,943
Physical Therapy/Rehabilitation Centers - 0.9%
Psychiatric Solutions, Inc.†		13,050			475,934
Physicians Practice Management - 0.7%
Healthways, Inc.†		11,550			373,065
Power Converter/Supply Equipment - 0.9%
Powell Industries, Inc.†		8,150			435,781
Private Corrections - 0.9%
Geo Group, Inc.†		19,950			458,651
Real Estate Investment Trusts - 0.5%
Resource Capital Corp.		27,800			253,536
Retail-Apparel/Shoe - 1.9%
J Crew Group, Inc.†		9,750			363,382
Lululemon Athletica, Inc.†		6,100			195,139
Pacific Sunwear of California, Inc.†		43,550			413,725
					972,246
Retail-Convenience Store - 0.5%
Susser Holdings Corp.†		20,400			242,352
Retail-Perfume & Cosmetics - 1.4%
Ulta Salon Cosmetics & Fragrance, Inc.†		48,000			684,480
Retail-Petroleum Products - 0.7%
World Fuel Services Corp.		14,450			348,101
Retail-Restaurants - 1.9%
California Pizza Kitchen, Inc.†		31,650			440,252
Red Robin Gourmet Burgers, Inc.†		15,850			532,718
					972,970
Savings & Loans/Thrifts - 0.7%
WSFS Financial Corp.		6,700			341,365
Schools - 1.4%
American Public Education, Inc.†		7,050			261,484
INVESTools, Inc.		53,300			427,466
					688,950
Semiconductor Components-Integrated Circuits - 1.7%
Anadigics, Inc.†		35,000			432,600
Hitte Microwave Corp.†		10,900			435,455
					868,055
Semiconductor Equipment - 1.6%
Tessera Technologies, Inc.†		27,500			579,425
Varian Semiconductor Equipment Associates, Inc.†		6,050			230,081
					809,506
Software Tools - 1.6%
MedAssets, Inc.†		44,300			791,198
Steel-Specialty - 0.4%
Allegheny Technologies, Inc.		2,500			187,500
Telecom Services - 2.0%
Cbeyond, Inc.†		21,900			406,245
Neutral Tandem, Inc.†		31,850			616,297
					1,022,542
Therapeutics - 1.8%
BioMarin Pharmaceuticals, Inc.†		19,550			746,223
Theravance, Inc.†		13,250			179,273
					925,496
Transactional Software - 0.8%
VeriFone Holdings, Inc.†		27,600			405,168
Transport-Services - 0.7%
UTI Worldwide, Inc.		15,350			364,716
Transport-Truck - 0.5%
Old Dominion Freight Lines, Inc.†		8,400			253,512
Wire & Cable Products - 1.6%
General Cable Corp.†		11,100			785,880
Wireless Equipment - 1.2%
ViaSat, Inc.†		28,150			606,351
X-Ray Equipment - 1.2%
Hologic, Inc.†		24,200			581,526
Total Long-Term Investment Securities (cost $52,520,266)					49,636,033
SHORT-TERM INVESTMENT SECURITIES - 1.5%
Time Deposit - 1.5%
Euro Time Deposit with State Street Bank & Trust Co. 0.50% due 06/02/08 (cost $764,000)	$	764,000			764,000
TOTAL INVESTMENTS (cost $53,284,266) (1)		99.7	%		50,400,033
Other assets less liabilities		0.3			141,904
NET ASSETS		100.0	%	$	50,541,937

† Non-income producing security

(1) See Note 4 for cost of investments on a tax basis.

ADR – American Depository Receipt

See Notes to Portfolio of Investments

AIG RETIREMENT COMPANY II SMALL CAP VALUE FUND

PORTFOLIO OF INVESTMENTS - May 31, 2008 (Unaudited)

Security Description	Shares/ Principal Amount	Market Value (Note 1)
COMMON STOCK - 97.0%
Aerospace/Defense-Equipment - 1.0%
Orbital Sciences Corp.†	112,500	$	2,920,500
Agricultural Chemicals - 2.8%
CF Industries Holdings, Inc.	42,700		5,845,630
Terra Industries, Inc.	62,800		2,739,964
			8,585,594
Airlines - 0.5%
Continental Airlines, Inc., Class B†	93,800		1,351,658
ExpressJet Holdings, Inc.†	101,100		205,233
			1,556,891
Applications Software - 1.0%
EPIQ Systems, Inc.†	166,400		2,743,936
Progress Software Corp.†	12,300		383,022
			3,126,958
Auto Repair Center - 0.4%
Midas, Inc.†	69,200		1,108,584
Auto/Truck Parts & Equipment-Original - 0.8%
Accuride Corp.†	8,700		67,425
ArvinMeritor, Inc.	100,600		1,505,982
Modine Manufacturing Co.	39,000		613,860
Visteon Corp.†	68,000		274,720
			2,461,987
Banks-Commercial - 9.2%
1st Source Corp.	24,530		535,735
AMCORE Financial, Inc.	15,396		150,881
Bancfirst Corp.	20,300		881,629
Bank of Hawaii Corp.	53,000		2,867,300
Chemical Financial Corp.	18,300		446,520
City Holding Co.	42,400		1,824,048
Commerce Bancshares, Inc.	59,251		2,602,304
Community Bank Systems, Inc.	53,000		1,278,890
Community Trust Bancorp, Inc.	28,500		873,240
Corus Bankshares, Inc.	18,900		108,675
Cullen/Frost Bankers, Inc.	10,400		581,360
First BanCorp Puerto Rico	45,600		458,736
First Citizens BancShares, Inc., Class A	600		95,664
First Community Bancshares, Inc.	10,400		353,496
First Financial Bankshares, Inc.	2,600		119,080
First Merchants Corp.	6,600		163,350
First Regional Bancorp†	10,200		108,834
First State Bancorp.	12,800		99,200
FirstMerit Corp.	98,300		1,986,643
Fulton Financial Corp.	2,699		34,061
Great Southern Bancorp, Inc.	7,600		87,780
Heartland Financial USA, Inc.	13,400		313,560
Horizon Financial Corp.	5,300		57,346
Lakeland Bancorp, Inc.	25,562		376,784
Lakeland Financial Corp.	10,500		251,265
Old National Bancorp	11,900		208,012
Old Second Bancorp, Inc.	6,000		113,940
Pacific Capital Bancorp	26,400		526,416
Provident Bankshares Corp.	30,000		286,800
Santander Bancorp	3,000		41,880
SCBT Financial Corp.	2,560		85,248
Simmons First National Corp., Class A	22,400		681,632
Southwest Bancorp, Inc.	12,200		206,912
StellarOne Corp.	4,113		71,073
Suffolk Bancorp	1,000		33,660
Taylor Capital Group, Inc.	18,800		241,580
TCF Financial Corp.	100,000		1,652,000
Tompkins Trustco, Inc.	8,980		407,692
UMB Financial Corp.	69,600		3,631,032
Umpqua Holding Corp.	25,500		355,470
W Holding Co., Inc.	106,500		119,280
Washington Trust Bancorp, Inc.	32,600		771,642
Westamerica Bancorp.	13,900		771,450
Whitney Holding Corp.	50,550		1,148,496
			28,010,596
Building Products-Doors & Windows - 0.1%
Quanex Building Products	24,150		425,040
Building Products-Light Fixtures - 0.2%
LSI Industries, Inc.	64,200		683,088
Building-Residential/Commercial - 0.1%
Amrep Corp.	4,400		220,044
Cellular Telecom - 0.3%
Centennial Communications Corp.†	103,900		786,523
Chemicals-Diversified - 0.3%
Georgia Gulf Corp.	49,400		209,456
Innophos Holdings, Inc.	30,300		844,461
			1,053,917
Chemicals-Plastics - 0.3%
Spartech Corp.	72,400		779,748
Chemicals-Specialty - 1.4%
H.B. Fuller Co.	94,600		2,352,702
Sensient Technologies Corp.	24,400		767,380
Stepan Co.	21,800		891,402
Zep, Inc.	19,850		325,937
			4,337,421
Circuit Boards - 0.7%
Park Electrochemical Corp.	68,900		2,035,995
Commercial Services - 0.3%
Quanta Services, Inc.†	27,900		893,916
Commercial Services-Finance - 2.1%
Coinstar, Inc.†	68,500		2,609,850
Deluxe Corp.	93,900		2,115,567
Dollar Financial Corp.†	59,348		1,182,806
Jackson Hewitt Tax Service, Inc.	39,100		548,182
			6,456,405
Computer Aided Design - 1.0%
Aspen Technology, Inc.†	185,400		2,669,760
Parametric Technology Corp.†	18,620		349,683
			3,019,443
Computer Services - 0.4%
COMSYS IT Partners, Inc.†	13,400		134,536
Unisys Corp.†	193,100		977,086
			1,111,622
Computers-Integrated Systems - 0.1%
Agilysys, Inc.	44,500		464,580
Computers-Memory Devices - 0.3%
Imation Corp.	23,500		614,760
Silicon Storage Technology, Inc.†	103,400		336,050
			950,810

Computers-Periphery Equipment - 0.6%
Electronics for Imaging, Inc.†	110,300	1,827,671
Consumer Products-Misc. - 1.8%
American Greetings Corp., Class A	126,500	2,360,490
Blyth, Inc.	31,100	605,206
Tupperware Brands Corp.	67,800	2,596,740
		5,562,436
Containers-Metal/Glass - 0.8%
Silgan Holdings, Inc.	43,400	2,483,782
Containers-Paper/Plastic - 0.2%
Graphic Packaging Holding Co.†	159,400	476,606
Data Processing/Management - 1.1%
Acxiom Corp.	92,300	1,354,041
CSG Systems International, Inc.†	131,000	1,739,680
Fair Isaac Corp.	7,500	189,525
		3,283,246
Decision Support Software - 0.1%
SPSS, Inc.†	4,500	177,165
Diagnostic Kits - 0.1%
Quidel Corp.†	22,300	380,661
Distribution/Wholesale - 0.7%
BlueLinx Holdings, Inc.	65,600	312,256
Tech Data Corp.†	27,700	1,013,543
United Stationers, Inc.†	18,800	795,992
		2,121,791
Diversified Manufacturing Operations - 1.6%
Acuity Brands, Inc.	39,600	2,108,700
GenTek, Inc.†	6,500	190,515
Teleflex, Inc.	44,300	2,626,547
		4,925,762
Electric-Integrated - 3.6%
Avista Corp.	116,800	2,479,664
CenterPoint Energy, Inc.	173,600	2,940,784
El Paso Electric Co.†	101,000	2,182,610
Great Plains Energy, Inc.	8,200	215,086
Northwestern Corp.	21,500	569,965
Puget Energy, Inc.	89,900	2,516,301
		10,904,410
Electronic Components-Misc. - 0.9%
Bel Fuse, Inc., Class B	15,467	405,081
CTS Corp.	155,600	1,692,928
Cubic Corp.	21,100	533,408
Sanmina-SCI Corp.†	88,300	132,450
		2,763,867
Electronic Components-Semiconductors - 0.8%
Fairchild Semiconductor International, Inc.†	52,000	780,000
Lattice Semiconductor Corp.†	102,500	364,900
OmniVision Technologies, Inc.†	55,600	900,720
Semtech Corp.†	18,100	317,112
Zoran Corp.†	4,500	65,835
		2,428,567
Electronic Design Automation - 0.2%
Ansoft Corp.†	8,700	317,376
Magma Design Automation, Inc.†	45,300	342,015
		659,391
Energy-Alternate Sources - 0.1%
Headwaters, Inc.†	17,500	190,225
Engineering/R&D Services - 1.1%
EMCOR Group, Inc.†	110,300	3,237,305
Enterprise Software/Service - 1.8%
BMC Software, Inc.†	81,300	3,260,130
JDA Software Group, Inc.†	10,000	204,000
MicroStrategy, Inc., Class A†	12,300	979,203
Sybase, Inc.†	30,300	970,206
		5,413,539
Finance-Auto Loans - 0.3%
AmeriCredit Corp.†	59,100	803,169
Credit Acceptance Corp.†	7,726	201,726
		1,004,895
Finance-Consumer Loans - 0.9%
World Acceptance Corp.†	65,500	2,896,410
Finance-Investment Banker/Broker - 0.4%
Investment Technology Group, Inc.†	28,000	1,178,800
Finance-Leasing Company - 0.2%
Financial Federal Corp.	22,600	548,954
Finance-Mortgage Loan/Banker - 0.5%
Federal Agricultural Mtg. Corp., Class C	57,300	1,659,408
Finance-Other Services - 0.0%
The Nasdaq Stock Market, Inc.†	3,500	122,605
Firearms & Ammunition - 0.1%
Sturm Ruger & Co., Inc.†	43,000	328,520
Food-Wholesale/Distribution - 0.9%
Nash Finch Co.	72,600	2,776,224
Footwear & Related Apparel - 0.1%
Wolverine World Wide, Inc.	11,000	315,810
Funeral Services & Related Items - 0.3%
Stewart Enterprises, Inc., Class A	116,600	804,540
Gas-Distribution - 1.8%
Nicor, Inc.	100,200	4,091,166
Vectren Corp.	44,500	1,312,750
		5,403,916
Home Furnishings - 0.1%
Furniture Brands International, Inc.	29,700	417,582
Industrial Automated/Robotic - 0.5%
Cognex Corp.	52,700	1,468,222
Insurance Broker - 0.1%
Crawford & Co., Class B†	41,000	245,180

Insurance-Life/Health - 2.4%
Conseco, Inc.†	186,300	2,174,121
Delphi Financial Group, Inc., Class A	77,250	2,231,752
FBL Financial Group, Inc., Class A	9,900	265,815
Protective Life Corp.	34,900	1,465,102
StanCorp Financial Group, Inc.	22,100	1,215,279
		7,352,069
Insurance-Multi-line - 0.6%
Horace Mann Educators Corp.	118,900	1,936,881
Insurance-Property/Casualty - 1.9%
Arch Capital Group, Ltd.†	9,000	633,240
Harleysville Group, Inc.	82,800	3,230,028
LandAmerica Financial Group, Inc.	29,800	887,444
Meadowbrook Insurance Group, Inc.	35,100	241,137
ProAssurance Corp.†	13,400	686,482
		5,678,331
Insurance-Reinsurance - 1.4%
Aspen Insurance Holdings, Ltd.	56,000	1,431,360
Axis Capital Holdings, Ltd.	16,700	585,335
Platinum Underwriters Holdings, Ltd.	44,300	1,571,321
RenaissanceRe Holdings, Ltd.	11,200	584,192
		4,172,208
Internet Application Software - 0.1%
Vignette Corp.†	18,500	239,575
Internet Security - 0.4%
SonicWALL, Inc.†	141,500	1,132,000
Investment Management/Advisor Services - 0.7%
Affiliated Managers Group, Inc.†	14,700	1,506,750
Federated Investors, Inc., Class B	14,500	533,745
		2,040,495
Lasers-System/Components - 0.7%
Coherent, Inc.†	74,300	2,249,061
Machinery-Farming - 0.9%
AGCO Corp.†	43,900	2,652,877
Machinery-General Industrial - 1.5%
Applied Industrial Technologies, Inc.	60,000	1,654,200
Wabtec Corp.	65,400	3,045,678
		4,699,878
Machinery-Material Handling - 0.2%
NACCO, Industries, Inc., Class A	6,500	564,590
Machinery-Pumps - 0.2%
Flowserve Corp.	4,600	637,192
Medical Instruments - 0.2%
Datascope Corp.	15,700	670,704
Medical Products - 0.6%
Invacare Corp.	105,600	1,919,808
Power Medical Interventions, Inc.†	6,300	35,280
		1,955,088
Medical Sterilization Products - 0.6%
STERIS Corp.	63,900	1,932,975
Medical-Biomedical/Gene - 0.8%
Arena Pharmaceuticals, Inc.†	15,800	81,054
Barrier Therapeutics, Inc.†	13,200	32,472
Enzo Biochem, Inc.†	43,100	423,673
Exelixis, Inc.†	46,300	292,616
Illumina, Inc.†	12,500	981,000
Keryx Biopharmaceuticals, Inc.†	20,300	10,353
Protalix BioTherapeutics, Inc.†	25,000	87,500
Regeneron Pharmaceuticals, Inc.†	11,500	228,850
Seattle Genetics, Inc.†	14,300	133,705
Third Wave Technologies, Inc.†	12,000	127,320
		2,398,543
Medical-Drugs - 0.2%
Auxilium Pharmaceuticals, Inc.†	6,650	211,736
Bionovo, Inc.†	41,500	41,085
Rigel Pharmaceuticals, Inc.†	4,400	102,696
Uluru, Inc.†	26,600	33,782
ViroPharma, Inc.†	24,100	231,119
		620,418
Medical-Generic Drugs - 0.4%
Alpharma, Inc., Class A†	19,300	486,167
Perrigo Co.	19,400	710,234
		1,196,401
Medical-HMO - 0.7%
Magellan Health Services, Inc.†	52,300	2,105,075
Medical-Outpatient/Home Medical - 0.6%
Gentiva Health Services, Inc.†	96,200	1,937,468
Metal Processors & Fabrication - 0.6%
CIRCOR International, Inc.	6,200	331,142
Worthington Industries, Inc.	72,500	1,445,650
		1,776,792
Metal-Iron - 1.1%
Cleveland-Cliffs, Inc.	32,300	3,446,410
Miscellaneous Manufacturing - 0.7%
Freightcar America, Inc.	23,100	1,007,160
Reddy Ice Holdings, Inc.	86,600	1,078,170
		2,085,330
Multimedia - 0.2%
Belo Corp., Class A	67,400	644,344
Networking Products - 0.4%
Black Box Corp.	42,100	1,208,270
Non-Ferrous Metals - 0.2%
USEC, Inc.†	72,600	506,022
Office Furnishings-Original - 0.7%
CompX International, Inc.	13,200	88,968
HNI Corp.	40,700	1,020,756
Steelcase, Inc., Class A	87,600	1,103,760
		2,213,484
Office Supplies & Forms - 0.4%
The Standard Register Co.	90,500	1,075,140

Oil & Gas Drilling - 1.1%
Grey Wolf, Inc.†	143,300	1,122,039
Helmerich & Payne, Inc.	32,900	2,061,185
Patterson-UTI Energy, Inc.	9,200	289,616
		3,472,840
Oil Companies-Exploration & Production - 3.5%
Brigham Exploration Co.†	4,300	62,651
Energy Partners, Ltd.†	33,200	500,324
Harvest Natural Resources, Inc.†	38,300	426,662
Mariner Energy, Inc.†	66,591	2,177,526
Meridian Resource Corp.†	59,200	131,424
Stone Energy Corp.†	59,300	4,007,494
Swift Energy Co.†	38,400	2,213,376
Vaalco Energy, Inc.†	83,900	617,504
W&T Offshore, Inc.	8,100	451,656
		10,588,617
Oil Refining & Marketing - 0.4%
Holly Corp.	27,500	1,167,375
Oil-Field Services - 1.2%
Global Industries, Ltd.†	45,600	786,600
Trico Marine Services, Inc.†	76,600	2,940,674
		3,727,274
Paper & Related Products - 1.2%
Buckeye Technologies, Inc.†	111,800	1,189,552
Neenah Paper, Inc.	43,800	930,750
Rock-Tenn Co., Class A	41,000	1,463,290
Smurfit-Stone Container Corp.†	25,700	172,961
		3,756,553
Pipelines - 0.2%
ONEOK, Inc.	9,300	465,558
Publishing-Books - 0.9%
John Wiley & Sons, Inc., Class A	56,000	2,646,000
Publishing-Newspapers - 0.0%
AH Belo Corp.	13,640	129,580
Radio - 0.2%
Cumulus Media, Inc., Class A†	72,900	382,725
Westwood One, Inc.†	94,800	162,108
		544,833
Real Estate Investment Trusts - 8.3%
Annaly Mtg. Management, Inc.	56,100	999,141
Anworth Mortgage Asset Corp.	147,700	1,044,239
Apartment Investment & Management Co., Class A	47,947	1,897,263
Brandywine Realty Trust	12,346	231,734
Cousins Properties, Inc.	16,900	447,343
DiamondRock Hospitality Co.	83,300	1,142,043
Home Properties, Inc.	30,100	1,541,120
Hospitality Properties Trust	17,200	533,200
LaSalle Hotel Properties	27,800	912,396
Lexington Corporate Properties Trust	131,100	2,043,849
LTC Properties, Inc.	69,000	1,918,200
MFA Mtg. Investments, Inc.	195,900	1,424,193
Mission West Properties	63,200	741,336
Pennsylvania Real Estate Investment Trust	900	24,165
PS Business Parks, Inc.	48,700	2,800,250
Ramco-Gershenson Properties Trust	69,000	1,542,150
Strategic Hotels & Resorts, Inc.	38,600	530,750
Sunstone Hotel Investors, Inc.	135,300	2,604,525
Taubman Centers, Inc.	34,300	1,843,625
Universal Health Realty Income Trust	29,800	1,016,478
		25,238,000
Retail-Apparel/Shoe - 0.2%
Collective Brands, Inc.†	53,800	609,554
Retail-Auto Parts - 0.9%
Advance Auto Parts, Inc.	32,600	1,313,780
CSK Auto Corp.†	120,400	1,388,212
		2,701,992
Retail-Bookstore - 0.4%
Barnes & Noble, Inc.	40,800	1,244,808
Retail-Computer Equipment - 0.2%
GameStop Corp., Class A†	10,900	540,640
Retail-Convenience Store - 0.1%
The Pantry, Inc.†	15,300	186,660
Retail-Discount - 1.4%
Big Lots, Inc.†	141,800	4,404,308
Retail-Restaurants - 0.9%
Denny’s Corp.†	173,600	704,816
Domino’s Pizza, Inc.†	22,900	308,234
Jack in the Box, Inc.†	66,900	1,643,733
		2,656,783
Rubber/Plastic Products - 0.3%
Myers Industries, Inc.	74,700	907,605
Savings & Loans/Thrifts - 1.4%
Astoria Financial Corp.	99,200	2,366,912
First Financial Holdings, Inc.	10,200	255,816
First Niagara Financial Group, Inc.	75,600	1,071,252
FirstFed Financial Corp.†	16,600	244,684
United Community Financial Corp.	14,900	90,443
WSFS Financial Corp.	4,800	244,560
		4,273,667
Semiconductor Components-Integrated Circuits - 1.1%
Cirrus Logic, Inc.†	257,700	1,690,512
Emulex Corp.†	48,000	672,960
Integrated Device Technology, Inc.†	50,000	564,000
TriQuint Semiconductor, Inc.†	46,000	306,360
		3,233,832
Semiconductor Equipment - 0.9%
Asyst Technologies, Inc.†	206,100	731,655
Axcelis Technologies, Inc.†	52,200	298,062
Cohu, Inc.	29,700	508,167
Credence Systems Corp.†	185,100	199,908
Novellus Systems, Inc.†	40,500	967,545
		2,705,337
Software Tools - 0.1%
MedAssets, Inc.†	12,100	216,106

Steel-Producers - 0.3%
Steel Dynamics, Inc.		29,100			1,050,510
Telecom Services - 0.3%
Consolidated Communications Holdings, Inc.		28,285			424,275
RCN Corp.†		41,900			507,409
					931,684
Telecommunication Equipment - 0.7%
CommScope, Inc.†		39,500			2,166,575
UTStarcom, Inc.†		12,100			58,080
					2,224,655
Telephone-Integrated - 0.7%
CenturyTel, Inc.		23,000			814,430
Citizens Communications Co.		115,156			1,342,719
					2,157,149
Television - 0.2%
Sinclair Broadcast Group, Inc., Class A		63,200			566,904
Therapeutics - 0.2%
Cypress Bioscience, Inc.†		13,900			113,146
United Therapeutics Corp.†		6,200			592,162
					705,308
Tobacco - 1.2%
Alliance One International, Inc.†		295,200			1,774,152
Universal Corp.		37,100			1,840,531
					3,614,683
Toys - 1.4%
Hasbro, Inc.		79,400			2,877,456
JAKKS Pacific, Inc.†		55,600			1,312,160
					4,189,616
Transport-Air Freight - 0.3%
Atlas Air Worldwide Holdings, Inc.†		12,500			773,750
Transport-Marine - 0.7%
General Maritime Corp.		12,200			344,406
Gulfmark Offshore, Inc.†		17,300			1,161,349
Overseas Shipholding Group, Inc.		8,800			695,728
					2,201,483
Transport-Services - 0.8%
Pacer International, Inc.		112,600			2,528,996
Transport-Truck - 0.3%
Arkansas Best Corp.		20,600			765,496
Saia, Inc.†		11,800			164,138
					929,634
Vitamins & Nutrition Products - 0.4%
NBTY, Inc.†		35,000			1,143,100
Web Portals/ISP - 0.2%
United Online, Inc.		61,600			753,368
Total Common Stock (cost $305,404,841)					295,313,535
U.S. GOVERNMENT TREASURIES - 0.3%
United States Treasury Notes - 0.3%
United States Treasury Notes 4.63% due 11/30/08(1) (cost $814,130)	$	800,000			810,813
Total Long-Term Investment Securities (cost $306,218,971)					296,124,348
REPURCHASE AGREEMENT — 3.2%
Agreement with State Street Bank & Trust Co., bearing interest at 1.71%, dated 05/30/08, to be repurchased 06/02/08 in the amount of $9,855,404 and collateralized by Federal Home Loan Bank Bonds, bearing interest at 4.50% due 04/06/09 and having an approximate value of $10,153,425. (cost $9,854,000)		9,854,000			9,854,000
TOTAL INVESTMENTS (cost $316,072,971) (2)		100.5	%		305,978,348
Liabilities in excess of other assets		(0.5	)		(1,423,468	)
NET ASSETS		100.0	%	$	304,554,880

† Non-income producing security

(1) The security or a portion thereof was pledged as collateral to cover margin requirements for open futures contracts.

(2) See Note 4 for cost of investments on a tax basis.

See Notes to Financial Statements

Open Futures Contracts

Number of Contracts	Description	Expiration Date	Value at Trade Date		Value as of May 31, 2008		Unrealized Appreciation (Depreciation)
23 Long	Russell 2000 Index	June-2008	$	8,356,095	$	8,610,050	$	253,955

AIG RETIREMENT COMPANY II SOCIALLY RESPONSIBLE FUND

PORTFOLIO OF INVESTMENTS - May 31, 2008 (Unaudited)

Security Description	Shares/ Principal Amount	Market Value (Note 1)
COMMON STOCK - 98.3%
Advertising Agencies - 0.2%
Omnicom Group, Inc.	38,060	$	1,865,321
Agricultural Chemicals - 0.1%
The Mosaic Co.†	6,228		780,493
Agricultural Operations - 0.4%
Archer-Daniels-Midland Co.	91,030		3,613,891
Airlines - 0.2%
Southwest Airlines Co.	159,370		2,081,372
Applications Software - 2.9%
Microsoft Corp.	998,209		28,269,279
Athletic Footwear - 1.0%
NIKE, Inc., Class B	147,052		10,053,945
Auto-Heavy Duty Trucks - 0.8%
PACCAR, Inc.	148,234		7,914,213
Banks-Fiduciary - 1.1%
State Street Corp.	10,754		774,503
The Bank of New York Mellon Corp.	220,578		9,822,338
			10,596,841
Banks-Super Regional - 5.1%
Bank of America Corp.	650,980		22,139,830
Capital One Financial Corp.	6,826		328,467
US Bancorp	463,047		15,368,530
Wachovia Corp.	491,877		11,706,672
			49,543,499
Beverages-Non-alcoholic - 2.1%
The Coca-Cola Co.	354,893		20,321,173
Broadcast Services/Program - 0.1%
Clear Channel Communications, Inc.	27,801		973,591
Building & Construction Products-Misc. - 0.1%
Armstrong World Industries, Inc.†	31,843		1,034,261
Cable TV - 0.8%
The DIRECTV Group, Inc.†	107,671		3,025,555
Time Warner Cable, Inc.†	138,967		4,155,113
			7,180,668
Commercial Services-Finance - 0.3%
Paychex, Inc.	73,259		2,531,098
Computers - 4.7%
Apple, Inc.†	91,602		17,289,878
Dell, Inc.†	296,354		6,833,923
Hewlett-Packard Co.	438,830		20,651,340
			44,775,141
Computers-Memory Devices - 0.4%
EMC Corp.†	243,746		4,250,930
Seagate Technology(2)(3)(4)	510		0
			4,250,930
Consulting Services - 0.4%
Accenture Ltd., Class A	87,865		3,586,649
Consumer Products-Misc. - 1.4%
Kimberly-Clark Corp.	212,379		13,549,780
Cosmetics & Toiletries - 1.5%
Colgate-Palmolive Co.	197,887		14,714,877
Diversified Manufacturing Operations - 1.3%
Danaher Corp.	158,892		12,422,177
E-Commerce/Products - 0.1%
Amazon.com, Inc.†	7,322		597,622
E-Commerce/Services - 0.4%
eBay, Inc.†	130,650		3,920,806
Electric-Generation - 0.2%
The AES Corp.†	98,314		1,915,157
Electric-Integrated - 0.6%
Allegheny Energy, Inc.	17,009		931,243
Pepco Holdings, Inc.	195,147		5,276,775
			6,208,018
Electronic Components-Misc. - 0.2%
Tyco Electronics, Ltd.	50,263		2,016,552
Engineering/R&D Services - 0.1%
Fluor Corp.	5,682		1,059,977
Engines-Internal Combustion - 0.1%
Cummins, Inc.	16,360		1,152,071
Enterprise Software/Service - 2.0%
Oracle Corp.†	826,214		18,870,728
Finance-Credit Card - 1.0%
American Express Co.	203,562		9,435,099
Finance-Investment Banker/Broker - 5.1%
Citigroup, Inc.	808,519		17,698,481
JPMorgan Chase & Co.	517,504		22,252,672
Lehman Brothers Holdings, Inc.	34,475		1,269,024
Merrill Lynch & Co., Inc.	132,065		5,800,295
The Charles Schwab Corp.	81,382		1,805,053
			48,825,525
Finance-Mortgage Loan/Banker - 0.3%
Federal National Mortgage Assoc.	104,378		2,820,294
Freddie Mac	18,572		472,100
			3,292,394
Finance-Other Services - 0.1%
CME Group, Inc.	1,525		656,208
NYSE Euronext	5,759		368,115
			1,024,323
Food-Confectionery - 0.1%
WM Wrigley Jr. Co.	15,407		1,188,342
Food-Misc. - 2.1%
Campbell Soup Co.	27,000		903,960
General Mills, Inc.	90,802		5,738,686
H.J. Heinz Co.	70,780		3,532,630
Kellogg Co.	197,544		10,234,755
			20,410,031
Food-Retail - 0.1%
Safeway, Inc.	42,560		1,356,387
Food-Wholesale/Distribution - 0.5%
Sysco Corp.	145,575		4,492,444
Gas-Distribution - 0.3%
NiSource, Inc.	183,129		3,312,804
Independent Power Producers - 0.3%
Mirant Corp.†	44,009		1,787,646
NRG Energy, Inc.†	16,246		675,671
			2,463,317
Industrial Gases - 1.3%
Praxair, Inc.	135,039		12,836,807

Instruments-Scientific - 0.4%
Thermo Fisher Scientific, Inc.†	59,301	3,499,945
Insurance-Life/Health - 0.7%
AFLAC, Inc.	97,686	6,557,661
Insurance-Multi-line - 3.1%
ACE, Ltd.	21,273	1,277,869
Allstate Corp.	239,379	12,193,966
Hartford Financial Services Group, Inc.	60,751	4,317,574
MetLife, Inc.	199,336	11,966,140
		29,755,549
Insurance-Property/Casualty - 1.2%
Chubb Corp.	27,649	1,486,410
The Travelers Cos., Inc.	210,892	10,504,531
		11,990,941
Investment Management/Advisor Services - 0.1%
Franklin Resources, Inc.	8,161	826,056
Machinery-Construction & Mining - 1.6%
Caterpillar, Inc.	185,302	15,313,357
Machinery-Farming - 0.9%
Deere & Co.	111,700	9,085,678
Medical Instruments - 1.9%
Boston Scientific Corp.†	100,564	1,336,496
Medtronic, Inc.	324,613	16,448,141
St. Jude Medical, Inc.†	12,814	522,170
		18,306,807
Medical Products - 1.0%
Covidien, Ltd.	78,865	3,950,348
Stryker Corp.	91,318	5,894,577
		9,844,925
Medical-Biomedical/Gene - 2.4%
Amgen, Inc.†	228,458	10,059,006
Celgene Corp.†	8,889	540,985
Genentech, Inc.	69,827	4,948,639
Gilead Sciences, Inc.†	130,748	7,232,979
		22,781,609
Medical-Drugs - 5.6%
Allergan, Inc.	188,163	10,841,952
Bristol-Myers Squibb Co.	678,285	15,458,115
Eli Lilly & Co.	311,342	14,988,004
Endo Pharmaceuticals Holdings, Inc.†	14,682	361,765
Forest Laboratories, Inc.†	162,573	5,837,996
Schering-Plough Corp.	325,833	6,646,993
		54,134,825
Medical-Generic Drugs - 0.2%
Barr Pharmaceuticals, Inc.†	35,119	1,538,212
Mylan, Inc.	33,903	452,605
		1,990,817
Medical-HMO - 1.5%
Aetna, Inc.	70,208	3,311,010
UnitedHealth Group, Inc.	212,348	7,264,425
WellPoint, Inc.†	77,149	4,306,457
		14,881,892
Medical-Wholesale Drug Distribution - 0.2%
Cardinal Health, Inc.	39,623	2,240,284
Metal Processors & Fabrication - 0.8%
Precision Castparts Corp.	63,801	7,707,161
Metal-Copper - 0.8%
Southern Copper Corp.	71,597	7,892,137
Multimedia - 3.7%
News Corp., Class A	761,131	13,662,301
The Walt Disney Co.	471,436	15,840,250
Viacom, Inc., Class B†	176,646	6,327,460
		35,830,011
Networking Products - 2.5%
Cisco Systems, Inc.†	900,427	24,059,409
Office Automation & Equipment - 0.2%
Pitney Bowes, Inc.	60,407	2,193,378
Oil Companies-Exploration & Production - 4.5%
Apache Corp.	107,178	14,368,283
Chesapeake Energy Corp.	148,082	8,110,451
EOG Resources, Inc.	104,155	13,397,458
Noble Energy, Inc.	73,145	7,127,980
		43,004,172
Oil Companies-Integrated - 1.4%
Hess Corp.	64,259	7,891,648
Murphy Oil Corp.	57,304	5,309,215
		13,200,863
Oil Field Machinery & Equipment - 0.3%
National-Oilwell Varco, Inc.†	33,750	2,812,050
Oil-Field Services - 4.0%
Halliburton Co.	214,209	10,406,273
Schlumberger, Ltd.	202,502	20,479,027
Transocean, Inc.†	50,873	7,640,616
		38,525,916
Pharmacy Services - 0.3%
Express Scripts, Inc.†	9,797	706,462
Medco Health Solutions, Inc.†	53,243	2,579,623
		3,286,085
Pipelines - 2.4%
Spectra Energy Corp.	438,792	11,856,160
Williams Cos., Inc.	294,180	11,190,607
		23,046,767
Printing-Commercial - 0.2%
R.R. Donnelley & Sons Co.	43,017	1,412,248
Publishing-Newspapers - 0.1%
Gannett Co., Inc.	32,596	939,091
Real Estate Investment Trusts - 0.7%
Simon Property Group, Inc.	52,132	5,179,835
Vornado Realty Trust	10,831	1,058,514
		6,238,349
Retail-Apparel/Shoe - 0.1%
The Gap, Inc.	46,259	844,227
Retail-Building Products - 0.6%
Lowe’s Cos., Inc.	246,282	5,910,768

Retail-Consumer Electronics - 0.1%
Best Buy Co., Inc.		14,339			669,488
Retail-Discount - 1.8%
Costco Wholesale Corp.		76,234			5,437,009
Target Corp.		194,842			10,396,769
TJX Cos., Inc.		40,954			1,312,985
					17,146,763
Retail-Drug Store - 2.1%
CVS Caremark Corp.		317,445			13,583,472
Walgreen Co.		182,198			6,562,772
					20,146,244
Retail-Office Supplies - 0.1%
Staples, Inc.		40,195			942,573
Retail-Restaurants - 1.7%
McDonald’s Corp.		277,916			16,485,977
Semiconductor Components-Integrated Circuits - 0.2%
Analog Devices, Inc.		55,526			1,949,518
Semiconductor Equipment - 0.7%
Applied Materials, Inc.		331,515			6,567,312
Steel-Producers - 0.7%
Nucor Corp.		83,527			6,247,820
Telecom Services - 0.6%
Embarq Corp.		118,221			5,594,218
Telephone-Integrated - 1.0%
Citizens Communications Co.		52,971			617,642
Qwest Communications International, Inc.		106,404			516,059
Sprint Nextel Corp.		417,360			3,906,490
Windstream Corp.		360,388			4,807,576
					9,847,767
Therapeutics - 0.1%
Warner Chilcott, Ltd., Class A†		76,539			1,330,248
Toys - 0.0%
Mattel, Inc.		18,420			370,979
Transport-Rail - 2.3%
CSX Corp.		135,688			9,370,613
Norfolk Southern Corp.		190,743			12,852,264
					22,222,877
Transport-Services - 0.1%
C.H. Robinson Worldwide, Inc.		7,017			452,596
Web Portals/ISP - 1.7%
Google, Inc., Class A†		23,339			13,671,986
Yahoo!, Inc.†		90,453			2,420,522
					16,092,508
Wireless Equipment - 1.9%
QUALCOMM, Inc.		378,403			18,367,682
Total Long-Term Investment Securities (cost $940,560,221)					946,985,151
SHORT-TERM INVESTMENT SECURITIES - 1.2%
Commercial Paper - 1.0%
Erste Finance LLC 2.35% due 06/02/08	$	10,000,000			9,999,347
U.S. Government Treasuries - 0.2%
United States Treasury Bills
1.70% due 07/10/08(1)		1,000,000			998,159
1.75% due 07/17/08(1)		1,000,000			997,761
					1,995,920
Total Short-Term Investment Securities (cost $11,995,267)					11,995,267
REPURCHASE AGREEMENT - 0.3%
Agreement with State Street Bank & Trust Co., bearing interest at 1.71%, dated 05/30/08, to be repurchased 06/02/08 in the amount of 3,122,444 and collateralized by Federal Home Loan Bank Bonds, bearing interest at 4.50%, due 04/06/09 and having an approximate value of 3,215,763. (cost $3,122,000)		3,122,000			3,122,000
TOTAL INVESTMENTS (cost $955,677,488) (5)		99.8	%		962,102,418
Other assets less liabilities		0.2			1,625,700
NET ASSETS		100.0	%	$	963,728,118

† Non-income producing security

(1) The security or a portion thereof was pledged as collateral to cover margin requirements for open futures contracts.

(2) Fair valued security; see Note 1

(3) Illiquid security

(4) To the extent permitted by the Statement of Additional Information, the Socially Responsible Fund may invest in restricted securities. The Fund has no right to demand registration of these securities. The securities are valued pursuant to Note 1. Restricted securities held by a Fund may not be sold except in exempt transactions or in a public offering registered under the Securities Act of 1933. The risk of investing in such securities is generally greater than the risk of investing in the securities of widely held, publicly traded companies. Lack of a secondary market and resale restrictions may result in the inability of a Fund to sell a security at a fair price and may substantially delay the sale of the security. In addition, these securities may exhibit greater price volatility than securities for which secondary markets exist. As of May 31, 2008, the Socially Responsible Fund held the following restricted securities:

Name	Acquisition Date	Shares	Acquisition Cost		Market Value		Market Value Per Share		% of Net Assets
Seagate Technology
Common Stock	11/22/2000	510	$	0.00	$	0.00	$	0.00	0.00	%

(5) See Note 4 for cost of investments on a tax basis.

Open Futures Contracts
Number of Contracts	Description	Expiration Date	Value at Trade Date		Value as of May 31, 2008		Unrealized Appreciation (Depreciation)
46 Long	S & P 500 Index	June 2008	$	15,604,556	$	16,106,900	$	502,344

See Notes to Portfolio of Investments

AIG RETIREMENT COMPANY II STRATEGIC BOND FUND

PORTFOLIO OF INVESTMENTS - May 31, 2008 (Unaudited)

Security Description	Principal Amount/Shares(1)		Market Value (Note 1)
ASSET BACKED SECURITIES - 3.1%
Diversified Financial Services - 3.1%
Banc of America Commercial Mtg., Inc. Series 2006-6, Class AM 5.39% due 10/10/45(2)	$	108,000	$	99,270
Banc of America Funding Corp. Series 2007-C, Class 5A1 5.39% due 05/20/36(3)		1,338,541		1,222,701
Banc of America Funding Corp. Series 2006-J, Class 2A1 5.89% due 01/20/47(3)		512,760		427,982
Bear Stearns Commercial Mtg. Securities, Inc. Series 2007-PW15, Class A2 5.21% due 02/11/44(2)		345,000		339,683
Chase Mtg. Finance Corp. Series 2007-A2, Class 1A1 5.08% due 07/25/37(3)(4)		716,083		675,756
Citigroup Commercial Mtg. Trust Series 2008-C7, Class AM 6.10% due 12/10/49(2)		180,000		168,376
Commercial Mtg. Asset Trust Series 1999-C1, Class D 7.35% due 01/17/32(2)		270,000		285,365
Commercial Mtg. Pass Through Certs. Series 2006-CN2A, Class A2FL 2.94% due 02/05/19*(2)(5)		550,000		528,371
Commercial Mtg. Pass Through Certs. Series 2004-LB2A, Class A3 4.22% due 03/10/39(2)		351,000		347,314
CS First Boston Mtg. Securities Corp. Series 2002-CKN2, Class A3 6.13% due 04/15/37(2)		800,000		825,440
GE Capital Commercial Mtg. Corp. Series 2004-C2, Class A4 4.89% due 03/10/40(2)		530,000		515,503
GMAC Commercial Mtg. Securities, Inc. Series 2003-2, Class A2 5.67% due 05/10/40(2)(4)		75,000		75,086
JP Morgan Chase Commercial Mtg. Securities Corp. Series 2006-LDP9, Class AM 5.37% due 05/15/47(2)		310,000		283,716
JP Morgan Chase Commercial Mtg. Securities Corp. Series 2008-C2, Class AM 6.80% due 01/12/18(2)		2,632,000		2,605,167
LB Commercial Conduit Mtg. Trust Series 1998-C1, Class E 7.00% due 02/18/30(2)		155,000		164,108
Ocwen Advance Receivables Backed Notes Series 2006-1A 5.34% due 11/24/15*(6)		250,000		220,000
Swift Master Auto Receivables Trust Series 2007-2, Class A 3.16% due 10/15/12(5)		975,707		958,000
Wells Fargo Mtg. Backed Securities Trust Series 2006-AR17, Class A2 5.84% due 10/25/36(3)(4)		1,069,373		1,039,307
Wells Fargo Mtg. Backed Securities Trust Series 2006-AR12, Class 2A1 6.10% due 09/25/36(3)		200,515		193,014
Total Asset Backed Securities (cost $11,285,359)				10,974,159
CONVERTIBLE BONDS & NOTES - 0.1%
Electronic Components-Semiconductors - 0.1%
Advanced Micro Devices, Inc. Senior Notes 6.00% due 05/01/15*		25,000		16,875
Spansion, Inc. Senior Sub. Notes 2.25% due 06/15/16*		315,000		148,050
				164,925
Medical-Biomedical/Gene - 0.0%
Nektar Therapeutics Sub. Notes 3.25% due 09/28/12		50,000		35,563
Telecom Services - 0.0%
ICO North America, Inc. Notes 7.50% due 08/15/09(6)(7)(8)		130,000		113,100
Total Convertible Bonds & Notes (cost $463,320)				313,588
CORPORATE BONDS & NOTES - 38.7%
Aerospace/Defense-Equipment - 0.2%
United Technologies Corp. Senior Notes 4.88% due 05/01/15		468,000		465,212
United Technologies Corp. Notes 6.13% due 07/15/38		120,000		117,469
				582,681
Agricultural Chemicals - 0.4%
Monsanto Co. Company Guar. Bonds 5.88% due 04/15/38		115,000		108,743
Mosaic Global Holdings, Inc. Debentures 7.38% due 08/01/18		115,000		119,600
Terra Capital, Inc. Company Guar. Notes 7.00% due 02/01/17		445,000		442,219
The Mosaic Co. Senior Notes 7.38% due 12/01/14*		155,000		163,525
The Mosaic Co. Senior Notes 7.63% due 12/01/16*		670,000		726,950
				1,561,037

Agricultural Operations - 0.1%
Archer-Daniels-Midland Co. Senior Notes 5.45% due 03/15/18	$	240,000	236,049
Airlines - 0.3%
American Airlines, Inc. Pass Through Certs. Series 2001-1, Class A-2 6.82% due 05/23/11		525,000	480,375
Continental Airlines, Inc. Pass Through Certs., Series 1991, Class A 6.55% due 02/02/19		262,276	253,918
Continental Airlines, Inc. Pass Through Certs. Series 2000-2, Class C 8.31% due 04/02/11		40,993	37,742
Delta Air Lines, Inc. Pass Through Certs. Series 2000-1, Class A-2 7.57% due 11/18/10		85,000	82,450
Northwest Airlines, Inc. Pass Through Certs. Series 2002-1 Class G2 6.26% due 11/20/21		79,100	76,529
United AirLines, Inc. Pass Through Certs. Series 2001-1, Class A-2 6.20% due 09/01/08		27,217	27,149
			958,163
Applications Software - 0.1%
SS&C Technologies, Inc. Company Guar. Notes 11.75% due 12/01/13		210,000	221,025
Auto-Cars/Light Trucks- 0.4%
Ford Motor Co. Debentures 6.38% due 02/01/29		920,000	577,300
General Motors Corp. Debentures 8.25% due 07/15/23		670,000	458,950
General Motors Corp. Senior Bonds 8.38% due 07/15/33		480,000	328,800
			1,365,050
Auto/Truck Parts & Equipment-Original - 0.1%
Lear Corp. Senior Notes 8.75% due 12/01/16		440,000	399,300
Auto/Truck Parts & Equipment-Replacement - 0.0%
Exide Corp. Notes 10.00% due 04/15/05†(6)(8)		150,000	0
Banks-Commercial - 0.3%
CoBank ACB Senior Sub. Notes 7.88% due 04/16/18*		79,000	81,582
Credit Suisse New York Senior Notes 5.00% due 05/15/13		289,000	283,751
KeyBank NA Sub. Notes 7.41% due 10/15/27		130,000	129,748
SouthTrust Bank Sub. Notes 4.75% due 03/01/13		100,000	97,064
SouthTrust Corp. Sub. Notes 5.80% due 06/15/14		164,000	164,997
Union Bank of California NA Sub. Notes 5.95% due 05/11/16		100,000	94,011
US Bank NA Notes 3.90% due 08/15/08		65,000	65,022
			916,175
Banks-Super Regional - 0.3%
Bank of America Corp. Senior Notes 4.90% due 05/01/13		134,000	132,220
Bank of America Corp. Senior Notes 5.65% due 05/01/18		152,000	147,304
Fifth Third Bancorp Sub. Notes 8.25% due 03/01/38		100,000	103,035
Fleet Capital Trust V Bank Guar. Notes 3.76% due 12/18/28(5)		230,000	180,593
Huntington Capital Trust I Company Guar. Bonds 3.60% due 02/01/27(5)		185,000	114,470
JP Morgan Chase Bank NA Sub. Notes 6.13% due 11/01/08		58,000	58,663
Wachovia Corp. Notes 5.50% due 05/01/13		185,000	182,964
Wells Fargo & Co. Senior Notes 5.25% due 10/23/12		207,000	207,986
			1,127,235
Beverages-Non-alcoholic - 0.1%
Cott Beverages USA, Inc. Company Guar. Notes 8.00% due 12/15/11		310,000	261,175
PepsiCo, Inc. Notes 5.00% due 06/01/18		115,000	111,825
			373,000

Broadcast Services/Program - 0.2%
Fisher Communications, Inc. Senior Notes 8.63% due 09/15/14	487,000	501,610
Nexstar Finance, Inc. Senior Sub. Notes 7.00% due 01/15/14	335,000	296,475
Nexstar Finance, Inc. Senior Notes 11.38% due 04/01/13(9)	63,918	62,320
		860,405
Building & Construction Products-Misc. - 0.2%
Associated Materials, Inc. Senior Sub. Notes 9.75% due 04/15/12	360,000	358,200
Interline Brands, Inc. Senior Sub. Notes 8.13% due 06/15/14	435,000	424,125
NTK Holdings, Inc. Senior Notes 10.75% due 03/01/14(9)	200,000	99,250
		881,575
Building Products-Wood - 0.1%
Masonite Corp. Company Guar. Notes 11.00% due 04/06/15	415,000	278,050
Cable TV - 1.4%
CCH II LLC/CCH II Capital Corp. Senior Notes 10.25% due 09/15/10	1,451,000	1,443,745
CCH II LLC/CCH II Capital Corp. Senior Notes, Series B 10.25% due 09/15/10	399,000	396,506
CCH II LLC/CCH II Capital Corp. Company Guar. Notes 11.00% due 10/01/15	1,483,000	1,256,843
CCO Holdings LLC/CCO Holdings Capital Corp. Senior Notes 8.75% due 11/15/13	345,000	327,750
Charter Communications Operating LLC Senior Notes 10.88% due 09/15/14*	250,000	267,500
Comcast Corp. Company Guar. Notes 5.85% due 11/15/15	405,000	403,850
Comcast Corp. Bonds 6.40% due 05/15/38	320,000	303,428
COX Communications, Inc. Bonds 6.95% due 06/01/38*	83,000	83,946
CSC Holdings, Inc. Senior Notes 7.63% due 04/01/11	195,000	195,000
DirecTV Holdings LLC/DirecTV Financing Co. Senior Notes 7.63% due 05/15/16*	500,000	498,125
		5,176,693
Casino Hotels - 0.6%
Circus & Eldorado Joint Venture 1st Mtg. Notes 10.13% due 03/01/12	335,000	335,419
Eldorado Casino Corp. (Shreveport) Sec. Bonds 10.00% due 08/01/12(8)(10)	362,426	358,801
Eldorado Resorts LLC Senior Notes 9.00% due 04/15/14(6)(8)	250,000	250,000
MGM Mirage, Inc. Senior Notes 5.88% due 02/27/14	815,000	696,825
MGM Mirage, Inc. Company Guar. Notes 6.63% due 07/15/15	15,000	12,900
Turning Stone Resort Casino Enterprise Senior Notes 9.13% due 09/15/14*	620,000	612,250
		2,266,195
Casino Services - 0.2%
Indianapolis Downs LLC Sec. Notes 11.00% due 11/01/12*	655,000	602,600
Cellular Telecom - 0.8%
Centennial Communications Corp. Senior Notes 8.45% due 01/01/13(5)	421,000	401,002
Centennial Communications Corp. Senior Notes 10.00% due 01/01/13	232,000	232,000
Centennial Communications Corp. Senior Notes 10.13% due 06/15/13	620,000	644,800
Cingular Wireless Services, Inc. Senior Notes 7.88% due 03/01/11	457,000	489,579
Nextel Communications, Inc. Company Guar. Notes 5.95% due 03/15/14	112,000	86,520
Rural Cellular Corp. Senior Sub. Notes 6.08% due 06/01/13(5)	325,000	328,250
Rural Cellular Corp. Senior Notes 8.62% due 11/01/12(5)	115,000	117,013

Rural Cellular Corp. Senior Notes 9.88% due 02/01/10	520,000	533,000
		2,832,164
Chemicals-Diversified - 0.1%
ICI Wilmington, Inc. Company Guar. Notes 5.63% due 12/01/13	232,000	233,568
Chemicals-Specialty - 1.3%
Huntsman International LLC Senior Sub. Notes 7.38% due 01/01/15	480,000	498,000
Huntsman International LLC Company Guar. Notes 7.88% due 11/15/14	930,000	995,100
Johnsondiversey Holdings, Inc. Company Guar. Notes 9.63% due 05/15/12	310,000	316,200
Lubrizol Corp. Senior Notes 4.63% due 10/01/09	650,000	645,487
Momentive Performance Materials, Inc. Senior Sub. Notes 11.50% due 12/01/16	1,410,000	1,194,975
Tronox Worldwide LLC Company Guar. Notes 9.50% due 12/01/12	1,220,000	988,200
		4,637,962
Commercial Services-Finance - 0.1%
The Western Union Co. Senior Notes 5.40% due 11/17/11	224,000	221,956
Computer Services - 0.3%
Compucom Systems, Inc. Senior Sub. Notes 12.50% due 10/01/15*	500,000	467,500
Sungard Data Systems, Inc. Company Guar. Notes 9.13% due 08/15/13	631,000	649,930
		1,117,430
Computers-Integrated Systems - 0.0%
Activant Solutions, Inc. Company Guar. Notes 9.50% due 05/01/16	100,000	76,250
Computers-Periphery Equipment - 0.0%
Lexmark International, Inc. Senior Notes 6.65% due 06/01/18	115,000	111,813
Consumer Products-Misc. - 0.2%
American Achievement Corp. Senior Sub. Notes 8.25% due 04/01/12	333,000	328,837
Prestige Brands, Inc. Senior Sub. Notes 9.25% due 04/15/12	75,000	75,000
Visant Holding Corp. Senior Notes 8.75% due 12/01/13	40,000	39,800
Visant Holding Corp. Senior Notes 10.25% due 12/01/13(9)	378,000	368,550
		812,187
Containers-Metal/Glass - 0.4%
Crown Cork & Seal Co., Inc. Debentures 7.38% due 12/15/26	140,000	120,750
Crown Cork & Seal Co., Inc. Debentures 8.00% due 04/15/23	455,000	425,425
Owens-Brockway Glass Container, Inc. Company Guar. Notes 8.25% due 05/15/13	820,000	848,700
		1,394,875
Containers-Paper/Plastic - 0.2%
Jefferson Smurfit Corp. Company Guar. Notes 8.25% due 10/01/12	295,000	271,400
Smurfit-Stone Container Enterprises, Inc. Senior Notes 8.00% due 03/15/17	605,000	521,812
		793,212
Cosmetics & Toiletries - 0.0%
Avon Products, Inc. Senior Notes 5.75% due 03/01/18	85,000	84,367
Data Processing/Management - 0.2%
Seitel, Inc. Senior Notes 9.75% due 02/15/14	995,000	900,475
Decision Support Software - 0.1%
Vangent, Inc. Senior Sub. Notes 9.63% due 02/15/15	445,000	385,481
Direct Marketing - 0.2%
Affinity Group, Inc. Senior Sub. Notes 9.00% due 02/15/12	601,000	554,422
Visant Corp. Company Guar. Notes 7.63% due 10/01/12	300,000	299,625
		854,047

Diversified Financial Services - 0.2%
American Express Travel Related Services Co., Inc. Senior Notes 5.25% due 11/21/11*	105,000	104,735
General Electric Capital Corp. Senior Notes 5.65% due 06/09/14	300,000	306,486
General Electric Capital Corp. Senior Notes 5.88% due 01/14/38	318,000	288,912
		700,133
Diversified Manufacturing Operations - 0.5%
Cooper US, Inc. Senior Notes 5.45% due 04/01/15	118,000	117,686
Eaton Corp. Senior Notes 5.60% due 05/15/18	167,000	163,882
General Electric Co. Senior Notes 5.25% due 12/06/17	300,000	293,403
Harland Clarke Holdings Corp. Notes 7.43% due 05/15/15(5)	125,000	94,062
Harland Clarke Holdings Corp. Notes 9.50% due 05/15/15	470,000	385,400
Harsco Corp. Senior Notes 5.75% due 05/15/18	130,000	127,587
Indalex Holding Corp. Sec. Notes 11.50% due 02/01/14	235,000	128,075
Sally Holdings LLC Company Guar. Notes 10.50% due 11/15/16	460,000	448,500
		1,758,595
Diversified Operations - 0.1%
Capmark Financial Group, Inc. Company Guar. Notes 5.88% due 05/10/12	53,000	42,688
Noble Group, Ltd. Senior Notes 8.50% due 05/30/13*	250,000	248,470
		291,158
Electric-Generation - 1.1%
Bruce Mansfield Unit Pass Through Certs. 6.85% due 06/01/34	220,000	218,008
Edison Mission Energy Senior Notes 7.20% due 05/15/19	290,000	282,750
Edison Mission Energy Senior Notes 7.63% due 05/15/27	395,000	372,287
Edison Mission Energy Senior Notes 7.75% due 06/15/16	260,000	266,500
Reliant Energy Mid-Atlantic Power Holdings LLC Pass Through Certs. Series B 9.24% due 07/02/17	57,335	61,922
Reliant Energy Mid-Atlantic Power Holdings LLC Pass Through Certs., Series C 9.68% due 07/02/26	300,000	336,000
The AES Corp. Senior Notes 7.75% due 10/15/15	505,000	503,737
The AES Corp. Senior Notes 8.00% due 10/15/17	680,000	682,550
The AES Corp. Senior Notes 8.00% due 06/01/20*	275,000	270,188
The AES Corp. Sec. Notes 8.75% due 05/15/13*	528,000	548,460
The AES Corp. Senior Notes 8.88% due 02/15/11	260,000	272,350
		3,814,752
Electric-Integrated - 1.8%
Centerpoint Energy, Inc. Senior Notes 6.50% due 05/01/18	63,000	61,662
Commonwealth Edison Co. 1st Mtg. Bonds 5.95% due 08/15/16	163,000	161,973
Dominion Resources, Inc. Jr. Sub Notes 6.30% due 09/30/66(5)	115,000	105,762
DTE Energy Co. Senior Notes 7.05% due 06/01/11	185,000	192,795
Duke Energy Corp. Senior Notes 4.20% due 10/01/08	90,000	90,134
Energy Future Holdings Corp. Company Guar. Notes 10.88% due 11/01/17*	275,000	286,687
Entergy Gulf States Louisiana LLC 1st Mtg. Bonds 6.00% due 05/01/18*	240,000	232,992
Entergy Louisiana LLC 1st Mtg. Bonds 5.83% due 11/01/10	135,000	131,645
FirstEnergy Corp. Senior Notes 6.45% due 11/15/11	161,480	166,471
Mackinaw Power LLC Sec. Notes 6.30% due 10/31/23*	200,013	201,105

Mirant Americas Generation LLC Senior Notes 8.30% due 05/01/11	660,000	684,750
Mirant Americas Generation LLC Senior Notes 8.50% due 10/01/21	380,000	366,700
Nisource Finance Corp. Company Guar. Notes 5.25% due 09/15/17	161,000	142,966
Nisource Finance Corp. Company Guar. Notes 6.80% due 01/15/19	77,000	75,577
Pepco Holdings, Inc. Senior Notes 6.13% due 06/01/17	285,000	277,863
Pepco Holdings, Inc. Senior Notes 6.45% due 08/15/12	345,000	355,759
PSEG Power LLC Company Guar. Notes 5.00% due 04/01/14	331,000	318,088
PSEG Power LLC Company Guar. Notes 7.75% due 04/15/11	40,000	42,675
Puget Sound Energy, Inc. Senior Notes 5.20% due 10/01/15	280,000	266,057
Sierra Pacific Power Co. Senior Notes 6.75% due 07/01/37	457,000	445,230
Southern Energy, Inc. Notes 7.90% due 07/15/09†(6)(7)(8)	725,000	0
Southern Power Co. Senior Notes 4.88% due 07/15/15	110,000	103,843
Texas Competitive Electric Holdings Co. LLC Senior Notes 10.50% due 11/01/16*	540,000	545,400
Texas Competitive Electric Holdings Co. LLC, Series A Senior Notes 10.25% due 11/01/15*	590,000	602,537
Texas Competitive Electric Holdings Co. LLC, Series B Senior Notes 10.25% due 11/01/15*	530,000	541,262
		6,399,933
Electronic Components-Semiconductors - 0.5%
Advanced Micro Devices, Inc. Senior Notes 7.75% due 11/01/12	400,000	346,000
Amkor Technology, Inc. Senior Notes 7.75% due 05/15/13	575,000	552,000
Freescale Semiconductor, Inc. Company Guar. Notes 9.13% due 12/15/14	360,000	308,700
National Semiconductor Corp. Senior Notes 6.60% due 06/15/17	180,000	175,938
Spansion LLC Senior Sec. Notes 6.20% due 06/01/13*(5)	540,000	394,200
Spansion, Inc. Senior Notes 11.25% due 01/15/16*	120,000	74,400
		1,851,238
Electronics-Military - 0.1%
L-3 Communications Corp. Company Guar. Notes 6.13% due 07/15/13	420,000	407,400
L-3 Communications Corp. Company Guar. Notes 6.38% due 10/15/15	125,000	120,469
		527,869
Energy-Alternate Sources - 0.1%
VeraSun Energy Corp. Company Guar. Notes 9.38% due 06/01/17	100,000	69,500
VeraSun Energy Corp. Sec. Notes 9.88% due 12/15/12	375,000	345,000
		414,500
Finance-Auto Loans - 1.5%
Ford Motor Credit Co. LLC Senior Notes 7.38% due 10/28/09	2,210,000	2,152,427
Ford Motor Credit Co. LLC Notes 7.88% due 06/15/10	225,000	213,205
GMAC LLC Senior Notes 6.00% due 12/15/11	1,125,000	905,339
GMAC LLC Senior Notes 6.63% due 05/15/12	600,000	483,697
GMAC LLC Senior Notes 6.88% due 09/15/11	1,330,000	1,121,311
GMAC LLC Senior Notes 6.88% due 08/28/12	130,000	104,714
GMAC LLC Notes 7.25% due 03/02/11	375,000	321,201
		5,301,894
Finance-Commercial - 0.1%
Textron Financial Corp. Senior Notes 5.40% due 04/28/13	260,000	257,203

Finance-Credit Card - 0.1%
American Express Credit Corp. Senior Notes 5.88% due 05/02/13	277,000	277,039
Capital One Financial Corp. Sub. Notes 6.15% due 09/01/16	85,000	75,716
MBNA America Bank NA Senior Notes 7.13% due 11/15/12	114,000	121,478
		474,233
Finance-Investment Banker/Broker - 1.0%
Citigroup, Inc. Senior Notes 5.00% due 09/15/14	115,000	107,602
Citigroup, Inc. Senior Notes 5.30% due 10/17/12	210,000	207,686
Citigroup, Inc. Senior Notes 5.85% due 07/02/13	110,000	110,465
Citigroup, Inc. Senior Notes 5.88% due 05/29/37	125,000	109,450
JP Morgan Chase & Co. Senior Notes 5.38% due 01/15/14	180,000	181,100
JP Morgan Chase & Co. Sub. Notes 5.75% due 01/02/13	162,000	165,939
JP Morgan Chase & Co. Senior Notes 6.40% due 05/15/38	125,000	120,179
JP Morgan Chase & Co. Sub. Notes 7.90% due 04/30/18(5)(11)	205,000	204,092
Lehman Brothers Holdings, Inc. Notes 5.50% due 04/04/16	97,000	87,462
Lehman Brothers Holdings, Inc. Sub. Notes 6.88% due 07/17/37	117,000	101,028
Lehman Brothers Holdings, Inc. Sub. Notes 7.50% due 05/11/38	120,000	110,056
Lehman Brothers Holdings, Inc. Senior Notes 8.80% due 03/01/15	208,000	221,533
Merrill Lynch & Co., Inc. Notes 5.45% due 02/05/13	240,000	227,204
Merrill Lynch & Co., Inc. Notes 6.15% due 04/25/13	181,000	177,806
Merrill Lynch & Co., Inc. Sub. Notes 7.75% due 05/14/38	200,000	188,739
Morgan Stanley Senior Notes 5.38% due 10/15/15	96,000	89,193
Morgan Stanley Senior Notes 6.00% due 04/28/15	120,000	115,866
Morgan Stanley Senior Notes 6.60% due 04/01/12	115,000	117,340
Morgan Stanley Senior Notes 6.63% due 04/01/18	210,000	206,703
Schwab Capital Trust I Company Guar. Notes 7.50% due 11/15/37(5)	44,000	40,090
The Bear Stearns Cos., Inc. Notes 4.50% due 10/28/10	13,000	12,822
The Bear Stearns Cos., Inc. Senior Notes 5.70% due 11/15/14	135,000	131,683
The Bear Stearns Cos., Inc. Senior Notes 7.63% due 12/07/09	145,000	150,322
The Goldman Sachs Group, Inc. Senior Notes 6.15% due 04/01/18	92,000	91,021
The Goldman Sachs Group, Inc. Senior Notes 6.75% due 10/01/37	359,000	336,847
		3,612,228
Finance-Mortgage Loan/Banker - 0.0%
Countrywide Financial Corp. Company Guar. Notes 5.80% due 06/07/12	2,000	1,850
Countrywide Financial Corp. Sub. Notes 6.25% due 05/15/16	36,000	31,394
		33,244
Food-Meat Products - 0.0%
Smithfield Foods, Inc. Senior Notes 7.00% due 08/01/11	30,000	29,400
Smithfield Foods, Inc. Senior Notes 7.75% due 07/01/17	150,000	147,750
		177,150
Food-Misc. - 0.2%
Kraft Foods, Inc. Senior Bonds 5.63% due 11/01/11	120,000	121,512
Kraft Foods, Inc. Notes 6.13% due 08/23/18	230,000	224,379
Kraft Foods, Inc. Sub. Notes 6.88% due 01/26/39	221,000	213,683

Wornick Co. Sec. Notes 10.88% due 07/15/11†(12)(13)	225,000	90,000
		649,574
Funeral Services & Related Items - 0.2%
Service Corp. International Senior Notes 6.75% due 04/01/16	50,000	47,625
Service Corp. International Senior Notes 7.00% due 06/15/17	295,000	286,150
Service Corp. International Senior Notes 7.38% due 10/01/14	285,000	286,425
Service Corp. International Debentures 7.88% due 02/01/13	250,000	248,750
		868,950
Gambling (Non-Hotel) - 0.3%
Downstream Development Authority Senior Notes 12.00% due 10/15/15*	535,000	422,650
Greektown Holdings LLC Senior Notes 10.75% due 12/01/13†*(12)(13)	410,000	282,900
Waterford Gaming LLC Senior Notes 8.63% due 09/15/14*	231,000	223,204
		928,754
Gas-Distribution - 0.0%
Colorado Interstate Gas Co. Senior Debentures 6.85% due 06/15/37	75,000	70,977
Home Furnishings - 0.3%
Simmons Co. Company Guar. Notes 7.88% due 01/15/14	380,000	337,250
Simmons Co. Senior Notes 10.00% due 12/15/14(9)	790,000	584,600
		921,850
Hotels/Motels - 0.2%
Gaylord Entertainment Co. Company Guar. Notes 6.75% due 11/15/14	365,000	328,500
Gaylord Entertainment Co. Company Guar. Notes 8.00% due 11/15/13	265,000	255,725
Starwood Hotels & Resorts Worldwide, Inc. Senior Notes 6.25% due 02/15/13	110,000	107,575
Starwood Hotels & Resorts Worldwide, Inc. Notes 6.75% due 05/15/18	115,000	110,599
		802,399
Human Resources - 0.1%
Team Health, Inc. Company Guar. Notes 11.25% due 12/01/13	205,000	213,200
Independent Power Producers - 0.5%
NRG Energy, Inc. Company Guar. Notes 7.38% due 02/01/16	1,080,000	1,053,000
Orion Power Holdings, Inc. Senior Notes 12.00% due 05/01/10	80,000	87,800
Reliant Energy, Inc. Senior Notes 7.88% due 12/31/17	600,000	603,000
		1,743,800
Insurance Brokers - 0.2%
Marsh & McLennan Cos., Inc. Senior Notes 5.15% due 09/15/10	65,000	64,544
Marsh & McLennan Cos., Inc. Senior Notes 7.13% due 06/15/09	35,000	35,451
USI Holdings Corp. Senior Notes 6.55% due 11/15/14*(5)	130,000	104,650
USI Holdings Corp. Senior Sub. Notes 9.75% due 05/15/15*	640,000	518,400
		723,045
Insurance-Life/Health - 0.3%
Americo Life, Inc. Notes 7.88% due 05/01/13*	28,000	28,361
Cigna Corp. Senior Notes 6.35% due 03/15/18	110,000	109,862
Genworth Life Institutional Funding Trust Notes 5.88% due 05/03/13*	330,000	327,525
Lincoln National Corp. Senior Notes 5.65% due 08/27/12	141,000	140,011
Lincoln National Corp. Senior Notes 6.30% due 10/09/37	110,000	103,700
Monumental Global Funding II Notes 5.65% due 07/14/11*	60,000	60,895

New York Life Global Funding Notes 4.65% due 05/09/13*	260,000	256,562
		1,026,916
Insurance-Multi-line - 0.1%
Genworth Financial, Inc. Notes 6.52% due 05/22/18	57,000	54,851
MetLife Capital Trust X Debentures 9.25% due 04/08/38*(5)	195,000	220,131
		274,982
Insurance-Mutual - 0.1%
Liberty Mutual Group, Inc. Company Guar. Notes 10.75% due 06/15/58*(5)	300,000	297,000
Insurance-Property/Casualty - 0.1%
Ace INA Holdings, Inc. Company Guar. Notes 5.60% due 05/15/15	216,000	207,612
Chubb Corp. Senior Notes 6.50% due 05/15/38	113,000	111,087
The Travelers Cos., Inc. Senior Notes 6.25% due 06/15/37	55,000	51,650
		370,349
Insurance-Reinsurance - 0.1%
PartnerRe Finance A LLC Company Guar. Notes 6.88% due 06/01/18	270,000	265,759
Investment Management/Advisor Services - 0.6%
Ameriprise Financial, Inc. Senior Notes 5.35% due 11/15/10	184,000	184,412
LVB Acquisition Holding LLC Senior Notes 10.00% due 10/15/17*	235,000	252,037
LVB Acquisition Holding LLC Senior Notes 10.38% due 10/15/17*	1,030,000	1,096,950
LVB Acquisition Holding LLC Senior Sub. Notes 11.63% due 10/15/17*	490,000	519,400
		2,052,799
Medical Information Systems - 0.1%
Spheris, Inc. Senior Sub. Notes 11.00% due 12/15/12	615,000	508,913
Medical Products - 0.6%
Baxter International, Inc. Senior Notes 5.90% due 09/01/16	400,000	410,449
ReAble Therapeutics Finance LLC Company Guar. Notes 11.75% due 11/15/14	325,000	307,938
Universal Hospital Services, Inc. Senior Sec. Notes 8.29% due 06/01/15(5)	590,000	559,025
Universal Hospital Services, Inc. Senior Bonds 8.50% due 06/01/15	690,000	696,900
		1,974,312
Medical-Drugs - 0.3%
American Home Products Corp. Notes 6.70% due 03/15/11	131,000	138,933
GlaxoSmithKline Capital, Inc. Company Guar. Notes 6.38% due 05/15/38	240,000	236,986
Schering-Plough Corp. Senior Notes 6.55% due 09/15/37	75,000	73,114
Wyeth Bonds 5.50% due 02/01/14	478,000	480,241
		929,274
Medical-HMO - 0.3%
Multiplan, Inc. Senior Sub. Notes 10.38% due 04/15/16*	910,000	891,800
UnitedHealth Group, Inc. Senior Notes 6.88% due 02/15/38	88,000	84,189
		975,989
Medical-Hospitals - 1.6%
Community Health Systems, Inc. Senior Notes 8.88% due 07/15/15	1,465,000	1,510,781
HCA, Inc. Senior Notes 6.25% due 02/15/13	335,000	301,500
HCA, Inc. Senior Notes 8.75% due 09/01/10	80,000	81,800
HCA, Inc. Senior Notes 9.13% due 11/15/14	285,000	297,825
HCA, Inc. Senior Notes 9.25% due 11/15/16	1,835,000	1,938,219
HCA, Inc. Senior Notes 9.63% due 11/15/16	705,000	743,775
IASIS Healthcare LLC / IASIS Capital Corp. Bank Guar. Notes 8.75% due 06/15/14	655,000	673,012
		5,546,912

Medical-Nursing Homes - 0.1%
Sun Healthcare Group, Inc. Senior Notes 9.13% due 04/15/15	290,000	292,900
Medical-Wholesale Drug Distribution - 0.1%
Cardinal Health, Inc. Senior Notes 5.50% due 06/15/13	189,000	188,051
Metal-Aluminum - 0.1%
Alcoa, Inc. Notes 6.00% due 01/15/12	214,000	217,508
Alcoa, Inc. Bonds 6.50% due 06/15/18	171,000	173,510
		391,018
Metal-Diversified - 0.6%
Freeport-McMoRan Copper & Gold, Inc. Senior Notes 8.25% due 04/01/15	190,000	201,400
Freeport-McMoRan Copper & Gold, Inc. Senior Notes 8.38% due 04/01/17	800,000	860,000
Noranda Aluminium Acquisition Corp. Senior Notes 6.83% due 05/15/15*(5)	890,000	780,975
Noranda Aluminium Holding Corp. Senior Notes 8.58% due 11/15/14*(5)	200,000	176,000
		2,018,375
Multimedia - 0.2%
Belo Corp. Senior Notes 6.75% due 05/30/13	45,000	43,582
Haights Cross Operating Co. Senior Notes 11.75% due 08/15/11	100,000	100,000
News America, Inc. Company Guar. Bonds 7.30% due 04/30/28	383,000	393,369
Time Warner Cos., Inc. Company Guar. Notes 7.25% due 10/15/17	165,000	171,718
Time Warner Entertainment Co. LP Senior Notes 8.38% due 07/15/33	128,000	139,841
		848,510
Networking Products - 0.0%
Cisco Systems, Inc. Senior Notes 5.50% due 02/22/16	131,000	132,679
Non-Ferrous Metals - 0.0%
Renco Metals, Inc. Bonds 11.50% due 07/01/03† (6)(8)(14)(15)	75,000	0
Non-Hazardous Waste Disposal - 0.5%
Allied Waste North America, Inc. Company Guar. Notes 6.88% due 06/01/17	820,000	793,350
Allied Waste North America, Inc. Senior Notes 7.88% due 04/15/13	560,000	572,600
Waste Management, Inc. Company Guar. Notes 6.88% due 05/15/09	330,000	337,485
Waste Services, Inc. Senior Sub. Notes 9.50% due 04/15/14	40,000	40,100
		1,743,535
Office Automation & Equipment - 0.2%
IKON Office Solutions, Inc. Senior Notes 7.75% due 09/15/15	630,000	639,450
Pitney Bowes, Inc. Notes 5.25% due 01/15/37	219,000	213,685
		853,135
Oil & Gas Drilling - 0.0%
Transocean, Inc. Senior Notes 6.00% due 03/15/18	122,000	123,182
Oil Companies-Exploration & Production - 2.1%
Atlas Energy Resources LLC Senior Notes 10.75% due 02/01/18*	375,000	397,500
Belden & Blake Corp. Company Guar. Sec. Notes 8.75% due 07/15/12	105,000	107,100
Brigham Exploration Co. Company Guar. Notes 9.63% due 05/01/14	615,000	584,250
Chaparral Energy, Inc. Company Guar. Notes 8.50% due 12/01/15	310,000	274,350
Chesapeake Energy Corp. Senior Notes 6.25% due 01/15/18	925,000	867,187
Chesapeake Energy Corp. Senior Notes 6.63% due 01/15/16	410,000	397,700
Chesapeake Energy Corp. Senior Notes 7.25% due 12/15/18	325,000	322,562
Dune Energy, Inc. Senior Sec. Notes 10.50% due 06/01/12	315,000	285,075
Encore Acquisition Co. Senior Sub. Notes 6.00% due 07/15/15	320,000	304,000

Encore Acquisition Co. Senior Sub. Notes 6.25% due 04/15/14	135,000	130,275
Energy Partners, Ltd. Senior Notes 9.75% due 04/15/14	490,000	460,600
Exco Resources, Inc. Company Guar. Notes 7.25% due 01/15/11	555,000	544,594
Hilcorp Energy I LP Senior Notes 7.75% due 11/01/15*	870,000	850,425
Quicksilver Resources, Inc. Company Guar. Notes 7.13% due 04/01/16	160,000	156,000
Sabine Pass LNG LP Company Guar. Senior Notes 7.25% due 11/30/13	210,000	194,775
Sabine Pass LNG LP Sec. Notes 7.50% due 11/30/16	1,585,000	1,448,294
Transmeridian Exploration, Inc. Company Guar. Notes 12.00% due 12/15/10	195,000	117,000
		7,441,687
Oil Companies-Integrated - 0.2%
Hess Corp. Bonds 7.88% due 10/01/29	160,000	184,764
Marathon Oil Corp. Senior Notes 5.90% due 03/15/18	105,000	103,839
Phillips Petroleum Co. Debentures 7.00% due 03/30/29	290,000	317,249
		605,852
Oil Refining & Marketing - 0.1%
The Premcor Refining Group, Inc. Company Guar. Notes 6.75% due 05/01/14	180,000	182,301
Valero Energy Corp. Senior Notes 6.63% due 06/15/37	168,000	155,344
		337,645
Oil-Field Services - 0.4%
Allis-Chalmers Energy, Inc. Company Guar. Notes 9.00% due 01/15/14	445,000	434,987
Helix Energy Solutions Group, Inc. Senior Notes 9.50% due 01/15/16*	575,000	598,000
Key Energy Services, Inc. Senior Notes 8.38% due 12/01/14*	315,000	325,238
Oslo Seismic Services, Inc. 1st Mtg. Bonds 8.28% due 06/01/11	95,218	99,379
		1,457,604
Paper & Related Products - 0.5%
Bowater, Inc. Notes 6.50% due 06/15/13	295,000	185,850
Caraustar Industries, Inc. Notes 7.38% due 06/01/09	360,000	309,600
Georgia-Pacific Corp. Company Guar. Notes 7.00% due 01/15/15*	345,000	343,275
Georgia-Pacific Corp. Company Guar. Notes 7.13% due 01/15/17*	120,000	118,500
International Paper Co. Senior Notes 8.70% due 06/15/38	250,000	251,077
NewPage Corp. Senior Notes 10.00% due 05/01/12*	135,000	143,775
NewPage Corp. Sec. Notes 10.00% due 05/01/12	175,000	186,375
NewPage Corp. Senior Sub. Notes 12.00% due 05/01/13	225,000	237,938
		1,776,390
Physicians Practice Management - 0.3%
US Oncology, Inc. Senior Sub. Notes 10.75% due 08/15/14	1,065,000	1,072,987
Pipelines - 1.7%
Atlas Pipeline Partners LP Company Guar. Notes 8.13% due 12/15/15	530,000	547,225
CenterPoint Energy Resources Corp. Notes 7.75% due 02/15/11	460,000	487,061
Copano Energy LLC Senior Notes 7.75% due 06/01/18*	175,000	173,906
Copano Energy LLC Company Guar. Notes 8.13% due 03/01/16	1,050,000	1,078,875
Duke Energy Field Services LLC Notes 6.88% due 02/01/11	300,000	308,529
Dynegy Holdings, Inc. Senior Notes 8.75% due 02/15/12	375,000	386,719
Dynegy-Roseton Danskammer Pass Through Certs., Series B 7.67% due 11/08/16	1,275,000	1,281,375

El Paso Corp. Senior Sub. Notes 6.88% due 06/15/14	350,000	352,625
MarkWest Energy Partners LP Senior Notes 6.88% due 11/01/14	245,000	238,262
MarkWest Energy Partners LP Company Guar. Notes 8.50% due 07/15/16	325,000	339,219
MarkWest Energy Partners LP Senior Notes 8.75% due 04/15/18*	225,000	235,688
NGC Corp. Capital Trust Company Guar. Bonds 8.32% due 06/01/27	375,000	318,750
Panhandle Eastern Pipeline Co. Senior Notes 6.20% due 11/01/17	123,000	117,128
Tennessee Gas Pipeline Co. Debentures 7.00% due 10/15/28	200,000	193,726
		6,059,088
Poultry - 0.1%
Pilgrim’s Pride Corp. Senior Sub. Notes 8.38% due 05/01/17	505,000	440,613
Printing-Commercial - 0.1%
Valassis Communications, Inc. Senior Notes 8.25% due 03/01/15	455,000	425,425
Publishing-Newspapers - 0.0%
Knight Ridder, Inc. Debentures 6.88% due 03/15/29	146,000	98,458
Publishing-Periodicals - 0.6%
Dex Media West LLC/Dex Media Finance Co. Senior Notes 8.50% due 08/15/10	425,000	426,063
Idearc, Inc. Company Guar. Notes 8.00% due 11/15/16	970,000	693,550
R.H. Donnelley Corp. Senior Notes 6.88% due 01/15/13	100,000	67,000
R.H. Donnelley Corp. Senior Notes 8.88% due 01/15/16	85,000	58,225
R.H. Donnelley Corp. Senior Notes 8.88% due 10/15/17*	265,000	177,550
The Reader’s Digest Association, Inc. Senior Sub. Notes 9.00% due 02/15/17*	765,000	587,137
		2,009,525
Real Estate Investment Trusts - 0.4%
Health Care Property Investors, Inc. Senior Notes 5.65% due 12/15/13	291,000	273,521
iStar Financial, Inc. Notes 5.65% due 09/15/11	235,000	208,269
Liberty Property LP Senior Notes 6.63% due 10/01/17	105,000	98,165
Omega Healthcare Investors, Inc. Senior Notes 7.00% due 04/01/14	615,000	596,550
PPF Funding, Inc. Bonds 5.35% due 04/15/12*	80,000	77,406
Reckson Operating Partnership LP Senior Notes 6.00% due 03/31/16	25,000	21,034
Simon Property Group LP Notes 5.38% due 08/28/08	40,000	40,021
Simon Property Group LP Senior Notes 6.13% due 05/30/18	105,000	103,037
Vornado Realty LP Notes 4.50% due 08/15/09	65,000	63,044
		1,481,047
Recycling - 0.3%
Aleris International, Inc. Company Guar. Notes 9.00% due 12/15/14	1,150,000	940,125
Rental Auto/Equipment - 0.3%
Erac USA Finance Co. Company Guar. Notes 7.00% due 10/15/37*	195,000	165,419
Erac USA Finance Co. Notes 7.35% due 06/15/08*	210,000	210,244
Rental Service Corp. Notes 9.50% due 12/01/14	370,000	323,750
United Rentals North America, Inc. Senior Sub. Notes 7.75% due 11/15/13	375,000	321,562
		1,020,975
Research & Development - 0.1%
Alion Science and Technology Corp. Company Guar. Notes 10.25% due 02/01/15	415,000	292,575
Retail-Discount - 0.0%
Wal-Mart Stores, Inc. Senior Notes 6.20% due 04/15/38	110,000	108,082
Retail-Drug Store - 0.2%
CVS Corp. Senior Notes 6.13% due 08/15/16	102,000	103,597

CVS Pass Through Trust Pass Through Certs. 6.04% due 12/10/28*	4,843	4,386
Rite Aid Corp. Senior Notes 9.25% due 06/01/13	180,000	147,825
Rite Aid Corp. Senior Notes 9.50% due 06/15/17	810,000	631,800
		887,608
Retail-Major Department Stores - 0.0%
Saks, Inc. Company Guar. Notes 9.88% due 10/01/11	150,000	156,750
Retail-Music Store - 0.0%
MTS, Inc. Senior Notes 10.00% due 03/15/09† (6)(7)(8)(10)(12)(13)	16,572	4,309
Retail-Petroleum Products - 0.2%
Ferrellgas LP Senior Notes 6.75% due 05/01/14	370,000	353,350
Inergy LP Senior Notes 8.25% due 03/01/16*	275,000	279,812
		633,162
Retail-Regional Department Stores - 0.0%
Neiman-Marcus Group, Inc. Company Guar. Notes 9.00% due 10/15/15	140,000	143,150
Neiman-Marcus Group, Inc. Senior Sub. Notes 10.38% due 10/15/15	30,000	31,013
		174,163
Retail-Restaurants - 0.1%
NPC International, Inc. Company Guar. Notes 9.50% due 05/01/14	305,000	271,450
Rubber-Tires - 0.1%
Cooper Standard Automotive, Inc. Company Guar. Notes 8.38% due 12/15/14	480,000	390,000
Rubber/Plastic Products - 0.0%
Venture Holdings Co. LLC Company Guar. Notes 11.00% due 06/01/07† (6)(8)(14)(15)	25,000	3
Savings & Loans/Thrifts - 0.1%
Independence Community Bank Corp. Sub. Notes 3.50% due 06/20/13(5)	48,000	38,481
Sovereign Bancorp, Inc. Senior Notes 4.80% due 09/01/10	120,000	109,033
Washington Mutual Preferred Funding III Bonds 6.90% due 06/15/12*(5)(11)	200,000	116,000
Washington Mutual, Inc. Senior Notes 5.50% due 08/24/11	140,000	129,500
Western Financial Bank Senior Debentures 9.63% due 05/15/12	92,000	96,310
		489,324
Soap & Cleaning Preparation - 0.0%
Johnsondiversey Holdings, Inc. Notes 10.67% due 05/15/13(9)	25,000	25,000
Special Purpose Entities - 1.9%
AAC Group Holding Corp. Senior Notes 10.25% due 10/01/12(9)	175,000	169,750
AMR HoldCo, Inc./EmCare HoldCo, Inc. Senior Sub. Notes 10.00% due 02/15/15	100,000	106,500
Axcan Intermediate Holdings, Inc. Senior Notes 9.25% due 03/01/15*	425,000	427,125
Axcan Intermediate Holdings, Inc. Senior Notes 12.75% due 03/01/16*	225,000	219,134
BAE Systems Holdings, Inc. Notes 5.20% due 08/15/15*	255,000	241,812
Buffalo Thunder Development Authority Senior Notes 9.38% due 12/15/14*	465,000	323,175
CCM Merger, Inc. Notes 8.00% due 08/01/13*	645,000	548,250
Chukchansi Economic Development Authority Senior Notes 8.00% due 11/15/13*	785,000	690,800
FireKeepers Development Authority Senior Notes 13.88% due 05/15/15*	470,000	471,175
Goldman Sachs Capital III Company Guar. Notes 3.85% due 09/01/12(5)(11)	341,000	240,269
Hawker Beechcraft Acquisition Co. LLC / Hawker Beechcraft Notes Co. Company Guar. Notes 8.88% due 04/01/15	10,000	10,200
Hawker Beechcraft Acquisition Co. LLC / Hawker Beechcraft Notes Co. Company Guar. Notes 9.75% due 04/01/17	570,000	584,250

Hexion US Finance Corp. Company Guar. Notes 9.75% due 11/15/14	355,000	390,500
ING USA Global Funding Trust Notes 4.25% due 10/01/10	80,000	80,792
John Hancock Global Funding II Notes 7.90% due 07/02/10*	123,000	131,356
KAR Holdings, Inc. Company Guar. Notes 6.87% due 05/01/14(5)	135,000	120,150
KAR Holdings, Inc. Senior Notes 8.75% due 05/01/14	510,000	474,300
Local TV Finance LLC Senior Notes 9.25% due 06/15/15*	350,000	281,750
MedCath Holdings Corp. Senior Notes 9.88% due 07/15/12	92,000	95,680
MXEnergy Holdings, Inc. Senior Notes 10.69% due 08/01/11(5)	245,000	208,250
Norbord Delaware GP I Company Guar. Notes 6.45% due 02/15/17*	58,000	47,070
Pricoa Global Funding I Notes 5.30% due 09/27/13*	100,000	97,735
Principal Life Global Funding I Sec. Notes 5.25% due 01/15/13*	163,000	160,398
Snoqualmie Entertainment Authority Senior Sec. Notes 6.94% due 02/01/14*(5)	185,000	143,375
Snoqualmie Entertainment Authority Notes 9.13% due 02/01/15*	525,000	404,250
Southern Star Central Corp. Senior Notes 6.75% due 03/01/16	150,000	144,563
		6,812,609
Specified Purpose Acquisitions - 0.1%
ESI Tractebel Acquisition Corp. Company Guar. Bonds 7.99% due 12/30/11	195,000	199,217
Steel-Producers - 0.5%
International Steel Group, Inc. Senior Notes 6.50% due 04/15/14	210,000	211,960
Reliance Steel & Aluminum Co. Company Guar. Notes 6.85% due 11/15/36	380,000	345,340
Ryerson, Inc. Senior Sec. Notes 10.25% due 11/01/14*(5)	350,000	322,875
Ryerson, Inc. Senior Sec. Notes 12.00% due 11/01/15*	475,000	460,750
Steel Dynamics, Inc. Company Guar. Notes 6.75% due 04/01/15	325,000	317,688
United States Steel Corp. Senior Notes 7.00% due 02/01/18	78,000	77,981
		1,736,594
Steel-Specialty - 0.0%
Allegheny Technologies, Inc. Notes 8.38% due 12/15/11	50,000	52,843
Storage/Warehousing - 0.1%
Mobile Mini, Inc. Notes 6.88% due 05/01/15	290,000	250,850
Mobile Services Group, Inc. Company Guar. Notes 9.75% due 08/01/14	245,000	237,650
		488,500
Telecom Services - 0.7%
Bellsouth Telecommunications, Inc. Debentures 7.00% due 12/01/95	154,000	146,738
Cincinnati Bell Telephone Co. LLC Company Guar. Notes 7.18% due 12/15/23	25,000	21,750
Cincinnati Bell Telephone Co. LLC Company Guar. Notes 7.20% due 11/29/23	125,000	108,750
Fairpoint Communications, Inc. Senior Notes 13.13% due 04/01/18*	860,000	881,500
MasTec, Inc. Senior Notes 7.63% due 02/01/17	70,000	61,250
PAETEC Holding Corp. Company Guar. Notes 9.50% due 07/15/15	635,000	596,900
Qwest Corp. Senior Notes 6.50% due 06/01/17	190,000	176,225
Qwest Corp. Senior Notes 7.50% due 10/01/14	375,000	373,125
Verizon Global Funding Corp. Senior Notes 6.88% due 06/15/12	200,000	212,760
		2,578,998
Telephone-Integrated - 1.3%
AT&T Corp. Senior Notes 7.30% due 11/15/11	344,000	368,161
BellSouth Corp. Senior Notes 6.00% due 10/15/11	600,000	620,142

Cincinnati Bell, Inc. Company Guar. Notes 7.00% due 02/15/15	165,000	159,225
Cincinnati Bell, Inc. Senior Notes 7.25% due 06/15/23	25,000	22,625
Cincinnati Bell, Inc. Company Guar. Notes 8.38% due 01/15/14	335,000	333,325
Citizens Communications Co. Senior Notes 9.00% due 08/15/31	255,000	235,875
Pacific Bell Telephone Co. Company Guar. Notes 7.13% due 03/15/26	200,000	200,530
Qwest Communications International, Inc. Company Guar. Notes 7.50% due 02/15/14	1,035,000	1,014,300
Southwestern Bell Telephone Co. Notes 6.55% due 10/07/08	200,000	201,582
Sprint Capital Corp. Company Guar. Bonds 6.38% due 05/01/09	325,000	323,375
Sprint Capital Corp. Company Guar. Bonds 8.38% due 03/15/12	250,000	243,125
Verizon Communications, Inc. Bonds 6.90% due 04/15/38	77,000	80,019
Verizon New York, Inc. Debentures 6.88% due 04/01/12	300,000	315,046
Windstream Corp. Company Guar. Notes 8.63% due 08/01/16	425,000	439,344
		4,556,674
Television - 0.7%
Allbritton Communications Co. Senior Sub. Notes 7.75% due 12/15/12	385,000	385,962
Bonten Media Acquisition Co. Company Guar. Notes 9.00% due 06/01/15*	55,000	42,625
ION Media Networks, Inc. Senior Notes 5.96% due 01/15/12*(5)	745,000	622,075
ION Media Networks, Inc. Sec. Senior Notes 8.96% due 01/15/13*(5)	1,080,000	680,400
LIN Television Corp. Senior Sub. Notes 6.50% due 05/15/13	400,000	379,500
Young Broadcasting, Inc. Senior Sub. Notes 8.75% due 01/15/14	230,000	133,400
Young Broadcasting, Inc. Company Guar. Notes 10.00% due 03/01/11	380,000	254,600
		2,498,562
Theaters - 0.4%
AMC Entertainment, Inc. Senior Sub. Notes 8.00% due 03/01/14	755,000	683,275
AMC Entertainment, Inc. Senior Sub Notes 11.00% due 02/01/16	120,000	121,800
Cinemark, Inc. Senior Notes 9.75% due 03/15/14(9)	660,000	627,000
		1,432,075
Transactional Software - 0.2%
Open Solutions, Inc. Senior Sub. Notes 9.75% due 02/01/15*	730,000	602,250
Transport-Air Freight - 0.5%
Atlas Air, Inc. Pass Through Certs. Series 1991-1, Class A-2 6.88% due 01/02/11	144,144	134,775
Atlas Air, Inc. Pass Through Certs. Series 1991-1, Class A-1 7.20% due 01/02/19	334,660	311,233
Atlas Air, Inc. Pass Through Certs. Series 1991-1, Class B 7.63% due 01/02/15	486,267	510,581
Atlas Air, Inc. Pass Through Certs. Series 2000-1, Class A 8.71% due 01/02/19	443,164	419,898
Atlas Air, Inc. Pass Through Certs. Series 1991-1, Class C 8.77% due 01/02/11	37,457	35,584
Atlas Air, Inc. Pass Through Certs. Series 2000-1, Class B 9.06% due 07/02/17	197,175	230,695
		1,642,766
Transport-Rail - 0.1%
CSX Corp. Senior Notes 6.25% due 04/01/15	130,000	129,304
CSX Corp. Senior Notes 6.25% due 03/15/18	287,000	278,805
		408,109
Transport-Services - 0.1%
Bristow Group, Inc. Senior Notes 7.50% due 09/15/17	80,000	82,000

PHI, Inc. Company Guar. Notes 7.13% due 04/15/13	140,000	135,100
		217,100
Travel Service - 0.1%
Travelport LLC Company Guar. Notes 11.88% due 09/01/16	320,000	293,600
Vitamins & Nutrition Products - 0.1%
General Nutrition Centers, Inc. Company Guar. Notes 7.20% due 03/15/14(5)	310,000	271,250
Total Corporate Bonds & Notes (cost $143,169,490)		138,003,283
FOREIGN CORPORATE BONDS & NOTES - 6.6%
Banks-Commercial - 0.5%
Banco Continental de Panama SA Notes 6.63% due 12/01/10*	15,000	15,300
Barclays Bank PLC Sub. Notes 5.93% due 12/15/16*(5)(11)	260,000	222,824
Caisse Nationale des Caisses d’Epargne et de Prevoyance Notes 3.86% due 12/30/09(5)(11)	78,000	47,677
Credit Agricole SA Jr. Sub. Notes 6.64% due 05/31/17*(5)(11)	175,000	143,813
HBOS PLC Sub. Notes 5.92% due 10/01/15*(5)(11)	130,000	101,524
HBOS PLC Sub. Notes 6.75% due 05/21/18*	255,000	248,745
HSBC Holdings PLC Sub. Notes 6.80% due 06/01/38	135,000	129,190
Landsbanki Islands HF Jr. Sub. Notes 7.43% due 10/19/17*(5)(11)	120,000	86,700
RSHB Capital SA Notes 7.75% due 05/29/18*	522,000	524,088
VTB Capital SA Notes 6.88% due 05/29/18*	420,000	416,850
		1,936,711
Banks-Money Center - 0.1%
Deutsche Bank AG (London) Notes 4.88% due 05/20/13	270,000	267,167
Mizuho Financial Group Cayman, Ltd. Bank Guar. Bonds 8.38% due 04/27/09(11)	100,000	100,774
		367,941
Beverages-Wine/Spirits - 0.1%
Diageo Finance BV Company Guar. Notes 3.88% due 04/01/11	365,000	356,803
Broadcast Services/Program - 0.0%
Grupo Televisa SA Senior Notes 6.63% due 03/18/25	149,000	144,842
Building & Construction-Misc. - 0.1%
North American Energy Partners, Inc. Senior Notes 8.75% due 12/01/11	365,000	368,650
Building Products-Doors & Windows - 0.0%
Masonite International Corp. Company Guar. Notes 11.00% due 04/06/15	40,000	26,800
Cellular Telecom - 0.4%
Mobile Telesystems Finance SA Company Guar. Senior Notes 8.38% due 10/14/10	200,000	207,896
VIP Finance (Vimpelcom) Notes 9.13% due 04/30/18*	1,013,000	1,045,997
Vodafone Group PLC Senior Notes 5.38% due 01/30/15	291,000	286,636
		1,540,529
Computers-Memory Devices - 0.2%
Seagate Technology HDD Holdings Company Guar. Notes 6.80% due 10/01/16	635,000	602,456
Containers-Metal/Glass - 0.4%
Rexam PLC Bonds 6.75% due 06/01/13*	345,000	342,800
Vitro SAB de CV Senior Notes 9.13% due 02/01/17	1,030,000	870,350
Vitro SAB de CV Senior Notes 11.75% due 11/01/13	270,000	270,000
		1,483,150
Diversified Financial Services - 0.3%
TNK-BP Finance SA Company Guar. Notes 6.13% due 03/20/12	490,000	473,340
TNK-BP Finance SA Company Guar. Notes 7.88% due 03/13/18	480,000	472,224
		945,564

Diversified Manufacturing Operations - 0.2%
Bombardier, Inc. Senior Notes 8.00% due 11/15/14*	585,000	614,250
Tyco International Group SA Company Guar. Notes 6.00% due 11/15/13	100,000	99,605
		713,855
Diversified Operations - 0.1%
Hutchison Whampoa Finance, Ltd. Company Guar. Notes 7.50% due 08/01/27*	200,000	210,500
Electric-Integrated - 0.0%
TransAlta Corp. Senior Notes 6.65% due 05/15/18	130,000	128,812
Electronic Components-Misc. - 0.1%
NXP BV/NXP Funding LLC Company Guar. Notes 9.50% due 10/15/15	560,000	528,500
Electronic Components-Semiconductors - 0.2%
Avago Technologies, Ltd. Company Guar. Notes 11.88% due 12/01/15	500,000	540,000
Food-Meat Products - 0.2%
JBS SA Company Guar. Notes 9.38% due 02/07/11	550,000	563,750
JBS SA Senior Notes 10.50% due 08/04/16*	175,000	182,437
		746,187
Independent Power Producer - 0.0%
AES Drax Energy, Ltd. Sec. Notes 11.50% due 08/30/10†(8)(12)	175,000	175
Insurance-Multi-line - 0.0%
Aegon NV Sub. Bonds 4.57% due 07/15/14(5)(11)	112,000	68,040
Investment Companies - 0.0%
Xstrata Finance Canada, Ltd. Notes 6.90% due 11/15/37*	91,000	86,961
Medical-Drugs - 0.8%
Angiotech Pharmaceuticals, Inc. Company Guar. Notes 6.83% due 12/01/13(5)	560,000	484,400
Angiotech Pharmaceuticals, Inc. Company Guar. Notes 7.75% due 04/01/14	945,000	715,837
AstraZeneca PLC Senior Notes 5.90% due 09/15/17	385,000	393,876
Elan Finance PLC Company Guar. Notes 6.68% due 11/15/11(5)	870,000	817,800
Elan Finance PLC Company Guar. Bonds 7.75% due 11/15/11	295,000	288,363
		2,700,276
Multimedia - 0.0%
Quebecor Media, Inc. Senior Notes 7.75% due 03/15/16	125,000	122,500
Oil Companies-Exploration & Production - 0.5%
Compton Petroleum Finance Corp. Company Guar. Notes 7.63% due 12/01/13	95,000	92,981
EnCana Corp. Sub. Notes 6.50% due 02/01/38	240,000	236,651
OPTI Canada, Inc. Senior Notes 7.88% due 12/15/14	1,015,000	1,027,688
OPTI Canada, Inc. Senior Notes 8.25% due 12/15/14	260,000	267,800
		1,625,120
Oil Companies-Integrated - 0.1%
Petro-Canada Senior Notes 6.80% due 05/15/38	188,000	183,832
Paper & Related Products - 0.3%
Abitibi-Consolidated Co. of Canada Notes 6.00% due 06/20/13	85,000	36,550
Abitibi-Consolidated Co. of Canada Senior Notes 13.75% due 04/01/11*	530,000	562,462
Abitibi-Consolidated Co. of Canada Senior Notes 15.50% due 07/15/10*	153,000	113,220
Abitibi-Consolidated, Inc. Notes 8.55% due 08/01/10	750,000	412,500
Bowater Canada Finance Corp. Company Guar. Notes 7.95% due 11/15/11	110,000	77,000
		1,201,732
Pipelines - 0.1%
Enbridge, Inc. Bonds 5.80% due 06/15/14	338,000	336,348
Kinder Morgan Finance Co. ULC Company Guar. Notes 5.70% due 01/05/16	78,000	72,248
		408,596

Printing-Commercial - 0.1%
Quebecor World Capital Corp. Senior Notes 8.75% due 03/15/16†*(12)(13)	730,000	423,400
Real Estate Operations & Development - 0.0%
Brascan Corp. Notes 8.13% due 12/15/08	69,000	69,621
Satellite Telecom - 0.4%
Intelsat Bermuda, Ltd. Senior Notes 9.25% due 06/15/16	1,120,000	1,131,200
Intelsat Bermuda, Ltd. Senior Notes 11.25% due 06/15/16	155,000	158,100
		1,289,300
Sovereign - 0.2%
Credit Suisse First Boston International for City of Kiev Ukraine Bonds 8.00% due 11/06/15	570,000	549,694
Special Purpose Entities - 0.3%
Hellas Telecommunications Luxembourg II Sub. Notes 8.46% due 01/15/15*(5)	485,000	373,450
Hybrid Capital Funding I LP Sub. Notes 8.00% due 06/30/11(11)	286,000	194,480
Independencia International, Ltd. Company Guar. Notes 9.88% due 05/15/15*	400,000	401,523
SMFG Preferred Capital, Ltd. Bonds 6.08% due 01/25/17*(5)(11)	121,000	105,443
		1,074,896
Steel-Producers - 0.2%
ArcelorMittal Notes 6.13% due 06/01/18*	230,000	224,110
Evraz Group SA Notes 8.88% due 04/24/13*	610,000	619,150
		843,260
Telecom Services - 0.1%
Global Crossing UK Finance PLC Company Guar. Notes 10.75% due 12/15/14	420,000	421,050
Wind Acquisition Finance SA Company Guar. Bonds 10.75% due 12/01/15*	50,000	53,500
		474,550
Telecommunication Equipment - 0.1%
Nortel Networks, Ltd. Company Guar. Notes 10.75% due 07/15/16*	360,000	355,500
Telephone-Integrated - 0.2%
Telecom Italia Capital SA Company Guar. Bonds 6.20% due 07/18/11	350,000	355,382
Telecom Italia Capital SA Company Guar. Notes 7.72% due 06/04/38	208,000	209,312
		564,694
Transport-Marine - 0.1%
Ultrapetrol Bahamas, Ltd. 1st Mtg. Bonds 9.00% due 11/24/14	245,000	232,137
Transport-Rail - 0.1%
Canadian National Railway Co. Notes 6.38% due 10/15/11	315,000	329,096
Water - 0.1%
Veolia Environnement Notes 6.75% due 06/01/38	230,000	227,369
Total Foreign Corporate Bonds & Notes (cost $24,861,476)		23,472,049
FOREIGN GOVERNMENT AGENCIES - 15.8%
Sovereign - 15.8%
Federal Republic of Brazil Bonds 6.00% due 01/17/17	1,890,000	1,995,840
Federal Republic of Brazil Bonds 7.13% due 01/20/37	400,000	469,000
Federal Republic of Brazil Notes 8.00% due 01/15/18	1,200,000	1,371,000
Federal Republic of Brazil Bonds 8.25% due 01/20/34	875,000	1,125,687
Federal Republic of Brazil Notes 8.75% due 02/04/25	640,000	825,600
Federal Republic of Brazil Bonds 8.88% due 10/14/19	550,000	712,250
Federal Republic of Brazil Notes 8.88% due 04/15/24	240,000	312,000
Federal Republic of Brazil Notes 11.00% due 08/17/40	1,835,000	2,496,517

Federal Republic of Germany Bonds 4.00% due 01/04/18	EUR	740,000	1,114,391
Federal Republic of Germany Bonds 4.25% due 07/04/14	EUR	530,000	820,301
Federal Republic of Germany Bonds 4.50% due 01/04/13	EUR	380,000	594,395
Federal Republic of Germany Bonds 5.25% due 07/04/10	EUR	600,000	951,082
Federal Republic of Germany Bonds 5.50% due 01/04/31	EUR	298,000	502,974
Government of Australia Bonds 5.75% due 06/15/11	AUD	1,040,000	967,450
Government of Australia Bonds 6.00% due 02/15/17	AUD	1,670,000	1,538,414
Government of Australia Bonds 7.50% due 09/15/09	AUD	995,000	957,647
Government of Hungary Bonds 6.25% due 08/24/10	HUF	100,000,000	606,246
Government of Japan Bonds 1.40% due 06/20/12	JPY	118,000,000	1,126,062
Government of Japan Bonds 1.40% due 12/20/15	JPY	197,000,000	1,851,781
Government of Switzerland Bonds 3.50% due 08/07/10	CHF	1,530,000	1,496,875
Kingdom of Denmark Bonds 4.00% due 08/15/08	DKK	1,360,000	283,278
Kingdom of Denmark Bonds 5.00% due 11/15/13	DKK	4,470,000	948,100
Kingdom of Norway Bonds 5.50% due 05/15/09	NOK	11,430,000	2,229,484
Kingdom of Norway Bonds 6.50% due 05/15/13	NOK	5,390,000	1,123,304
Kingdom of Sweden Bonds 4.50% due 08/12/15	SEK	11,955,000	2,004,288
Republic of Argentina Notes 1.33% due 12/31/38(18)		557,637	204,932
Republic of Argentina Notes 8.28% due 12/31/33		527,759	430,124
Republic of Colombia Bonds 7.38% due 09/18/37		1,030,000	1,169,050
Republic of Colombia Bonds 12.00% due 10/22/15	COP	1,420,000,000	856,381
Republic of Columbia Bonds 8.13% due 05/21/24		250,000	302,500
Republic of Ecuador Bonds 10.00% due 08/15/30(18)		210,000	212,100
Republic of Greece Senior Notes 4.50% due 09/20/37	EUR	545,000	743,509
Republic of Indonesia Bonds 6.63% due 02/17/37		1,085,000	942,638
Republic of Indonesia Bonds 6.88% due 01/17/18*		370,000	370,000
Republic of Indonesia Bonds 7.50% due 01/15/16		440,000	463,582
Republic of Indonesia Notes 8.50% due 10/12/35		430,000	464,077
Republic of Pakistan Bonds 6.88% due 06/01/17*		200,000	154,000
Republic of Peru Notes 7.35% due 07/21/25		805,000	921,725
Republic of Peru Bonds 8.75% due 11/21/33		380,000	499,700
Republic of Philippines Bonds 7.75% due 01/14/31		240,000	265,800
Republic of Philippines Notes 8.00% due 01/15/16		300,000	338,250
Republic of Philippines Notes 8.88% due 03/17/15		530,000	625,400
Republic of Philippines Senior Notes 9.50% due 02/02/30		340,000	440,725
Republic of South Africa Bonds 5.88% due 05/30/22		450,000	420,417
Republic of Turkey Notes 6.88% due 03/17/36		580,000	526,350
Republic of Turkey Notes 7.00% due 06/05/20		840,000	835,800
Republic of Turkey Notes 7.25% due 03/15/15		985,000	1,023,169

Republic of Turkey Notes 7.25% due 03/05/38		400,000	377,000
Republic of Turkey Notes 7.38% due 02/05/25		270,000	270,675
Republic of Turkey Notes 8.00% due 02/14/34		250,000	261,400
Republic of Turkey Notes 9.50% due 01/15/14		560,000	643,272
Republic of Turkey Senior Notes 11.88% due 01/15/30		620,000	940,509
Republic of Uruguay Notes 7.63% due 03/21/36		510,000	538,050
Republic of Uruguay Bonds 8.00% due 11/18/22		1,010,000	1,105,950
Republic of Venezuela Bonds 6.00% due 12/09/20		180,000	124,650
Republic of Venezuela Bonds 7.00% due 12/01/18		200,000	162,336
Republic of Venezuela Bonds 9.38% due 01/13/34		410,000	360,800
Russian Federation Bonds 7.50% due 03/31/30(18)		3,969,550	4,519,730
Ukrainian Soviet Socialist Republic Senior Notes 6.58% due 11/21/16		250,000	240,875
United Mexican States Notes 5.63% due 01/15/17		2,300,000	2,363,250
United Mexican States Notes 6.05% due 01/11/40		250,000	246,250
United Mexican States Notes 6.75% due 09/27/34		1,220,000	1,333,704
United Mexican States Bonds 7.25% due 12/15/16	MXN	11,050,000	1,011,715
United Mexican States Bonds 7.50% due 04/08/33		340,000	402,050
United Mexican States Bonds 8.30% due 08/15/31		220,000	281,600
United Mexican States Bonds 9.00% due 12/24/09	MXN	4,900,000	482,854
Total Foreign Government Agencies             (cost $54,920,550)			56,300,865
FOREIGN GOVERNMENT TREASURIES - 1.2%
Sovereign - 1.2%
New South Wales Treasury Corp. Notes 6.00% due 05/01/12		3,470,000	3,183,612
United Kingdom Treasury Bonds 4.75% due 06/07/10		610,000	1,200,785
Total Foreign Government Treasuries             (cost $4,339,923)			4,384,397
LOANS - 0.3%
Diversified Financial Services - 0.2%
Wind Acquisition Holdings Finance S.A. 11.20% due 12/21/11(7)(8)(16)(17)		1,088,910	1,063,049
Leisure Products - 0.1%
AMC Entertainment Holdings, Inc. 7.80% due 06/15/12(7)(8)(16)(17)		216,362	183,907
Total Loans     (cost $1,303,568)			1,246,956
U.S. GOVERNMENT AGENCIES - 16.6%
Federal Home Loan Bank - 0.2%
3.13% due 06/10/11		400,000	392,447
4.50% due 09/08/08		400,000	402,210
			794,657
Federal Home Loan Mtg. Corp. - 7.9%
4.13% due 07/12/10		200,000	203,626
4.25% due 06/23/08		400,000	400,423
4.35% due 06/02/08		400,000	400,000
4.50% due 02/01/20		361,691	352,797
4.50% due 08/01/20		148,472	144,821
4.50% due 03/01/23		995,078	966,877
4.50% due 01/15/34		1,310,000	1,252,664
5.00% due 09/01/18		455,121	455,101
5.00% due 07/01/20		335,865	334,801
5.00% due 11/15/28		280,000	282,515
5.00% due 09/15/31		360,000	359,500
5.00% due 05/01/34		561,074	543,769
5.00% due 10/15/34		1,310,000	1,271,313
5.00% due 02/01/35		91,972	89,135
5.00% due 07/01/35		375,501	363,567
5.00% due 10/01/35		1,972,339	1,909,656
5.00% due 11/01/35		850,359	823,334
5.00% due 11/01/37		1,325,096	1,281,326
5.32% due 12/01/35(5)		386,280	392,340
5.32% due 01/01/37(5)		302,063	307,090
5.50% due 06/01/22		827,655	836,920
5.50% due 11/15/25		2,300,000	2,285,503
5.50% due 06/15/31		642,000	649,389
5.50% due 07/01/35		295,941	294,489
5.50% due 05/01/37		667,763	663,861

5.50% due 05/01/37	1,403,469	1,395,267
5.50% due 06/01/37	27,289	27,130
5.50% due 10/01/37	5,756,133	5,722,495
5.50% due 12/01/37	508,100	505,131
5.80% due 01/01/37(5)	227,055	231,675
5.97% due 10/01/36(5)	361,639	368,392
6.00% due 01/01/30	27,912	28,577
6.00% due 02/01/32	169,811	173,754
6.00% due 07/01/35	225,462	229,323
6.00% due 05/01/37	25,407	25,822
6.00% due 10/01/37	1,396,270	1,419,090
6.19% due 09/01/36(5)	93,270	95,416
6.50% due 07/01/29	4,781	4,988
6.50% due 12/01/35	1,569	1,622
6.50% due 02/01/36	148,586	153,615
6.88% due 09/15/10	772,000	831,232
7.00% due 06/01/29	13,456	14,293
		28,092,639
Federal National Mtg. Assoc. - 8.5%
4.50% due 06/01/19	314,776	308,610
4.75% due 12/15/10	251,000	258,899
5.00% due 01/01/23	928,049	923,949
5.00% due 04/01/23	646,329	643,473
5.00% due 11/25/30	350,000	349,796
5.00% due 10/01/35	997,734	966,025
5.00% due 01/01/37	127,353	123,159
5.00% due 03/01/37	129,172	124,918
5.00% due 05/01/37	26,692	25,813
5.00% due 06/01/37	660,720	638,961
5.00% due 07/01/37	865,157	836,667
5.00% due 09/01/37	866,576	838,038
5.00% due 03/01/38	840,627	812,860
5.47% due 01/01/37(5)	1,029,409	1,034,545
5.47% due 02/01/38	834,635	846,828
5.50% due 03/01/18	20,865	21,222
5.50% due 11/01/22	330,992	334,941
5.50% due 01/01/29	60,675	60,586
5.50% due 05/01/29	17,854	17,816
5.50% due 06/01/34	350,916	349,413
5.50% due 02/01/36(5)	195,292	198,965
5.50% due 09/01/36	4,166,004	4,141,659
5.50% due 11/01/36	9,010	8,957
5.50% due 11/01/36	51,656	51,354
5.50% due 04/01/37	697,014	692,793
5.50% due 03/01/38	938,974	933,194
5.50% due 03/01/38	225,839	224,449
5.50% due 04/01/38	2,996,525	2,978,077
6.00% due 02/01/32	69,446	70,993
6.00% due 10/01/34	6,324	6,437
6.00% due 07/01/37	289,522	294,011
6.00% due 08/01/37	907,922	922,000
6.00% due 10/01/37	798,462	810,843
6.00% due 12/01/37	2,394,801	2,431,936
6.00% due 04/01/38	645,533	655,479
6.50% due 12/01/31	67,983	70,730
6.50% due 02/01/35	97,946	101,138
6.50% due 07/01/36	278,021	286,996
6.50% due 07/01/37	1,780,544	1,837,644
6.50% due 11/01/37	3,843,060	3,966,302
7.50% due 03/01/32	8,801	9,448
8.50% due 08/01/31	10,375	11,404
		30,221,328
Total U.S. Government Agencies         (cost $59,266,468)		59,108,624
U.S. GOVERNMENT TREASURIES - 6.3%
United States Treasury Bonds - 0.7%
United States Treasury Bonds
3.63% due 04/15/28	580,241	717,913
4.75% due 02/15/37	1,250,000	1,258,789
5.00% due 05/15/37	387,000	405,473
		2,382,175
United States Treasury Notes - 5.6%
United States Treasury Notes
2.13% due 01/31/10	2,000,000	1,986,250
2.75% due 02/28/13	105,000	102,006
3.50% due 02/15/18	234,000	223,598
3.63% due 01/15/10	538,000	547,457
3.63% due 12/31/12	1,900,000	1,922,859
4.00% due 06/15/09	2,810,000	2,859,833
4.00% due 02/15/15	1,500,000	1,531,171
4.25% due 01/15/11	1,000,000	1,038,281
4.25% due 11/15/17	2,292,000	2,325,305
4.50% due 11/15/15	2,036,000	2,124,599
4.50% due 02/15/16	2,252,000	2,348,061
4.63% due 11/15/16	130,000	136,063
4.63% due 02/15/17	875,000	914,033
4.88% due 04/30/11	1,700,000	1,793,898
6.50% due 02/15/10	300,000	319,406
		20,172,820
Total U.S. Government Treasuries         (cost $22,583,862)		22,554,995
COMMON STOCK - 0.4%
Casino Services - 0.0%
Shreveport Gaming Holdings, Inc.†(6)(7)(8)	1,280	29,286
Cellular Telecom - 0.2%
iPCS, Inc.†(7)(8)	27,658	829,740
Independent Power Producers - 0.0%
Calpine Corp.†	2,533	58,006
Mirant Corp.†	902	36,639
		94,645
Medical-Hospitals - 0.1%
MedCath Corp.†	12,915	280,256
Medical-Outpatient/Home Medical - 0.0%
Critical Care Systems International, Inc.(6)(7)(8)	5,372	54
Oil Companies-Exploration & Production - 0.0%
Transmeridian Exploration, Inc.†	1,852	833

Oil-Field Services - 0.1%
Trico Marine Services, Inc.†	8,393		$	322,207
Retail-Music Store - 0.0%
MTS, Inc.†(6)(7)(8)	3,863			0
Total Common Stock         (cost $1,002,817)				1,557,021
PREFERRED STOCK - 0.6%
Banks-Money Center - 0.1%
Santander Finance Preferred SA 4.00%(5)	11,600			206,132
Banks-Super Regional - 0.0%
Wachovia Capital Trust IX 6.38%	4,350			94,743
Diversified Financial Services - 0.1%
General Electric Capital Corp. 8.00%(18)	12,000			288,000
Medical-Generic Drugs - 0.1%
Mylan, Inc. 6.50%	332			314,955
Oil Companies-Exploration & Production - 0.3%
EXCO Resources, Inc. Convertible Series A-3 7.00%(6)(7)	8			104,000
EXCO Resources, Inc. Convertible Series A-2 7.00%(6)(7)	16			208,000
EXCO Resources, Inc. Convertible Series A-1 7.00%(6)(7)	55			715,000
Transmeridian Exploration, Inc. 15.00%(6)(10)	1,303			26,060
				1,053,060
Special Purpose Entity - 0.0%
Structured Repackaged Asset-Backed Trust Securities 3.00%(5)	9,200			166,428
Total Preferred Stock         (cost $2,168,471)				2,123,318
WARRANTS - 0.0%
Oil Companies-Exploration & Production - 0.0%
Transmeridian Exploration, Inc. Expires 12/15/10 (strike price $4.31)(6) (cost $18,990)	6,905			69
Total Long-Term Investment Securities             (cost $325,384,294)				320,039,324
REPURCHASE AGREEMENT - 10.6%
Agreement with State Street Bank & Trust Co., bearing interest at 1.71%, dated 05/30/08, to be repurchased 06/02/08 in the amount of $37,697,371 and collateralized by Federal Home Loan Bank Disc. Notes, bearing interest at 2.45%, due 11/21/08 and having an approximate value of $38,823,269     (cost $37,692,000)	37,692,000			37,692,000
TOTAL INVESTMENTS             (cost $363,076,294)(19)	100.3	%		357,731,324
Liabilities in excess of other assets	(0.3	)		(1,052,849	)
NET ASSETS	100.0	%	$	356,678,475

* Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The Fund has no right to demand registration of these securities. At May 31, 2008, the aggregate value of these securities was $35,529,838 representing 10.0% of net assets. Unless otherwise indicated these securities are not considered to be illiquid.

† Non-income producing security

(1) Denominated in United States dollars unless otherwise indicated.

(2) Commercial Mortgaged Backed Security

(3) Collateralized Mortgage Obligation

(4) Variable Rate Security - the rate reflected is as of May 31, 2008, maturity date reflects the stated maturity date.

(5) Floating rate security where the rate fluctuates. The rate moves up or down at each reset date. The rate reflected is as of May 31, 2008.

(6) Fair valued security; see Note 1

(7) To the extent permitted by the Statement of Additional Information, the Strategic Bond Fund may invest in restricted securities. The Fund has no right to demand registration of these securities. The securities are valued pursuant to Note 1. Restricted securities held by a Fund may not be sold except in exempt transactions or in a public offering registered under the Securities Act of 1933. The risk of investing in such securities is generally greater than the risk of investing in the securities of widely held, publicly traded companies. Lack of a secondary market and resale restrictions may result in the inability of a Fund to sell a security at a fair price and may substantially delay the sale of the security. In addition, these securities may exhibit greater price volatility than securities for which secondary markets exist. As of May 31, 2008, the Strategic Bond Fund held the following restricted securities:

Name	Acquisition Date	Principal Amount/ Shares		Acquisition Cost		Market Value		Market Value Per Share		Value as a % of Net Assets
AMC Entertainment Holdings Inc. 7.80% due 06/15/12	06/08/07	$	200,000	$	195,000
Loan Agreement	09/17/07		5,525		5,525
	12/20/07		5,507		5,507
	03/26/08		5,330		6,262
		$	216,362		212,294	$	183,907	$	85.00	0.05	%
Critical Care Systems International, Inc. Common Stock	06/17/04		635		5,490
	11/09/04		4,737		35,231
			5,372		40,721		54		0.01	0.00
EXCO Resources, Inc. Convertible Series A-1 7.00% Preferred Stock	03/29/07		11		110,000
	08/22/07		44		440,000
			55		550,000		715,000		13,000	0.20
EXCO Resources, Inc. Convertible Series A-3 7.00% Preferred Stock
	03/17/08		8		86,000		104,000		13,000	0.03
EXCO Resources, Inc. Convertible Series A-2 7.00% Preferred Stock
	03/17/08		16		172,000		208,000		13,000	0.06
ICO North America, Inc. Notes 7.50% due 08/15/09	08/11/05	$	125,000		125,000
	02/15/08		5,000		5,000
			130,000		130,000		113,100		87.00	0.03
iPCS, Inc. Common Stock	08/12/04		27,658		419,580		829,740		30.00	0.23
MTS, Inc. Senior Notes 10.00% due 03/15/09	03/16/04	$	13,636		49,087
	09/03/04		681		681
	03/19/05		715		143
	09/04/05		751		195
	03/04/06		789		205
		$	16,572		50,311	$	4,309	$	26.00	0.00	%
MTS, Inc. Common Stock	03/16/04		3,863		0		0		0.00	0.00
Shreveport Gaming
Holdings, Inc.	07/21/05		257		5,919
Common Stock	07/29/05		1,023		23,550
			1,280		29,469		29,286		22.88	0.01
Southern Energy, Inc. Notes 7.90% due 07/15/09	01/10/06	$	725,000		0		0		0.00	0.00
Wind Acquisitions Holdings Finance SA 11.20% due to 12/21/11 Loan Agreement	03/15/07	$	103,153		107,628
	03/19/07		103,153		103,150
	06/21/07		103,187		104,446
	07/18/07		3,287		3,443
	07/18/07		3,288		3,288
	10/31/07		10,185		10,185
	10/31/07		200,000		201,908
	10/31/07		500,000		501,159
	01/31/08		32,674		32,674
	04/30/08		29,983		23,393
		$	1,088,910		1,091,274		1,063,049		97.63	0.30
						$	3,250,445			0.91	%

(8) Illiquid security

(9) “Step-up” security where the rate increases (“steps-up”) at a predetermined rate. Rate shown reflects the increased rate.

(10) PIK (“Payment-in-Kind”) security. Bond or preferred stock that pays interest/dividends in the form of additional bonds or preferred stocks.

(11) Perpetual maturity - maturity date reflects the next call date.

(12) Bond in default

(13) Company has filed Chapter 11 bankruptcy protection.

(14) Bond is in default and did not pay principal at maturity

(15) Company has filed Chapter 7 bankruptcy.

(16) The Fund invests in Senior Loans which generally pay interest at rates which are periodically re-determined by reference to a base lending rate plus a premium. These base lending rates are generally either the lending rate offered by one or more major United States banks, or the certificate of deposit rate. Senior Loans are generally considered to be restrictive in that the Fund is ordinarily contractually obligated to receive approval from the Agent Bank and/or borrower prior to the disposition of a Senior Loan.

(17) Senior Loans in the Fund’s Portfolio are generally subject to mandatory and/or optional prepayment. Because of these mandatory prepayment conditions and because there may be significant economic incentives for a borrower to prepay, prepayments may occur. As a result, the actual remaining maturity may be substantially less than the stated maturities shown.

(18) “Step-up” security where the rate increases (“steps-up”) at a predetermined rate. Rate shown reflects the current rate.

(19) See Note 4 for cost of investments on a tax basis.

Country Allocation*
United States	77.5	%
Brazil	2.9
Mexico	2.1
Australia	1.9
Canada	1.5
Turkey	1.4
Russia	1.3
Germany	1.2
United Kingdom	1.2
Norway	0.9
Luxembourg	0.9
Japan	0.8
Colombia	0.6
Indonesia	0.6
Sweden	0.6
Ireland	0.5
Philippines	0.5
Bermuda	0.5
Uruguay	0.4
Switzerland	0.4
Cayman Islands	0.4
Peru	0.4
Denmark	0.4
Greece	0.3
Netherlands	0.2
Argentina	0.2
Hungary	0.2
Venezuela	0.1
South Africa	0.1
Ukrainian SSR	0.1
Ecuador	0.1
Spain	0.1
	100.3%

* Calculated as a percentage of net assets

Currency Legend

AUD	Australian Dollar
BRL	Brazilian Real
COP	Colombian Peso
DKK	Danish Krone
EGP	Egyptian Pound
EUR	Euro Dollar
GBP	British Pound
JPY	Japanese Yen
MXN	Mexican Peso
NOK	Norwegian Krone
SEK	Swedish Krona
ZAR	South African Rand

See Notes to Portfolio of Investments

AIG Retirement Company II

NOTES TO PORTFOLIO OF INVESTMENTS (Unaudited)

Note 1 — Security Valuation

Stocks are generally valued based upon closing sales prices reported on recognized securities exchanges. Stocks listed on the NASDAQ are valued using the NASDAQ Official Closing Price (“NOCP”). Generally, the NOCP will be the last sale price unless the reported trade for the stock is outside the range of the bid/ask price. In such cases, the NOCP will be normalized to the nearer of the bid or ask price. For listed securities having no sales reported and for unlisted securities, such securities will be valued based upon the last reported bid price.

As of the close of regular trading on the New York Stock Exchange, securities traded primarily on security exchanges outside the United States are valued at the last sale price on such exchanges on the day of valuation, or if there is no sale on the day of valuation, at the last-reported bid price. If a security’s price is available from more than one exchange, a portfolio uses the exchange that is the primary market for the security. However, depending on the foreign market, closing prices may be up to 15 hours old when they are used to price the Fund’s shares, and the Fund may determine that certain closing prices do not reflect the fair value of securities. This determination will be based on review of a number of factors, including developments in foreign markets, the performance of U.S. securities markets, and the performance of instruments trading in U.S. markets that represent foreign securities and baskets of foreign securities. If the Fund determines that closing prices do not reflect the fair value of the securities, the Fund will adjust the previous closing prices in accordance with pricing procedures approved by the Board to reflect what it believes to be the fair value of the securities as of the close of regular trading on the New York Stock Exchange. The Fund may also fair value securities in other situations, for example, when a particular foreign market is closed but the Fund is open. For foreign equity securities, the Fund uses an outside pricing service to provide it with closing market prices and information used for adjusting those prices.

Non-convertible bonds and debentures, other long-term debt securities, and short term debt securities with maturities in excess of 60 days, are valued at bid prices obtained for the day of valuation from a bond pricing service, when such prices are available. If a vendor quote is unavailable the securities may be priced at the mean of two independent quotes obtained from brokers.

Short-term securities with 60 days or less to maturity are amortized to maturity based on their cost to the Fund if acquired within 60 days of maturity or, if already held by the Fund on the 60th day, are amortized to maturity based on the value determined on the 61st day.

Futures contracts and options traded on national securities exchanges are valued as of the close of the exchange upon which they trade. Forward contracts are valued at the 4:00 p.m. eastern time forward rate. Other securities are valued on the basis of last sale or bid price (if a last sale price is not available) in what is, in the opinion of the Adviser, the broadest and most representative market, that may be either a securities exchange or the over-the-counter market. Investments in open-end and closed-end registered investment companies that do not trade on an exchange are valued at the end of day net asset value per share. Investments in open-end and closed-end registered investment companies that trade on an exchange are valued at the last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded.

For the Money Market II Fund, securities are valued at amortized cost, which approximates market value. The amortized cost method involves valuing a security at its cost on the date of purchase and thereafter assuming a constant amortization to maturity of any discount or premium. In accordance with rule 2a-7 under the Investment Company Act of 1940, as amended (the “1940 Act”), the Fund’s Board of Trustees (the “Board” or the “Trustees”) has adopted procedures intended to stabilize the Money Market II Fund’s net asset value per share at $1.00. These procedures include the determination, at such intervals as the Board deems appropriate and reasonable in light of current market conditions, of the extent, if any, to which the Money Market II Fund’s market-based net asset value per share deviates from the Fund’s amortized cost per share. For purposes of these market-based valuations, securities for which market quotations are not readily available are fair valued, as determined pursuant to procedures adopted in good faith by the Board.

Securities for which market quotations are not readily available or if a development/significant event occurs that may significantly impact the value of the security, then these securities are valued, as determined pursuant to procedures adopted in good faith by the Board of Trustees.

Note 2 — Repurchase Agreements

The Funds, along with other affiliated registered investment companies, pursuant to exemptive relief granted by the Securities and Exchange Commission, may transfer uninvested cash balances into a single joint account, the daily aggregate balance of which is invested in one or more repurchase agreements collateralized by U.S. Treasury or federal agency obligations. For repurchase agreements and joint repurchase agreements, the Funds’ custodian takes possession of the collateral pledged for investments in such

repurchase agreements. The underlying collateral is valued daily on a mark-to-market basis to ensure that the value, at the time the agreement is entered into, is equal to at least 102% of the repurchase price, including accrued interest. In the event of default of the obligation to repurchase, a Fund has the right to liquidate the collateral and apply the proceeds in satisfaction of the obligation. If the seller defaults and the value of the collateral declines or if bankruptcy proceedings are commenced with respect to the seller of the security, realization of the collateral by the Fund may be delayed or limited.

As of May 30, 2008, the following funds held an undivided interest in the joint repurchase agreement with UBS Warburg, LLC:

Fund	Percentage Ownership		Principal Amount
Money Market II Fund	9.08	%		$22,705,000

As of such date, the repurchase agreement in that joint account and the collateral therefore were as follows:

UBS Warburg, LLC, dated May 30, 2008, bearing interest at a rate of 2.13% per annum, with a principal amount of $250,000,000, a repurchase price of $250,044,375 and maturity date of June 2, 2008. The repurchase agreement is collateralized by the following:

Type of Collateral	Interest Rate		Maturity Date	Principal Amount	Market Value
U.S. Treasury Inflation Index Bonds	4.25	%	1/15/10	185,286,200	255,000,133

Note 3 — Transactions with Affiliates

As disclosed in the schedule of investments, certain Funds own securities issued by AIG or an affiliate thereof. During the period ended May 31, 2008, the following Funds recorded realized gains (losses) and income on security transactions of AIG and subsidiaries of AIG as follows:

Fund	Security	Income		Capital Gain Distribution Received
Aggressive Growth Lifestyle	Various ARC I and ARC II Funds*	$	1,994,781	$	1,385,296
Conservative Growth Lifestyle	Various ARC I and ARC II Funds*		1,478,593		563,795
Moderate Growth Lifestyle	Various ARC I and ARC II Funds*		3,411,053		1,402,835
Fund	Security	Market Value at 08/31/07		Cost of Purchases			Proceeds from Sales		Realized Gain/(Loss)			Change in Unrealized Gain/(Loss)			Market Value at 05/31/08
Aggressive Growth Lifestyle	Various ARC I and ARC II Funds*	$	82,307,449	$	107,650,940	†	$	89,577,198	$	(563,413	)	$	(4,317,409	)	$	95,500,369
Conservative Growth Lifestyle	Various ARC I and ARC II Funds*		48,977,011		67,050,418	†		54,023,145		(629,312	)		(1,907,044	)		59,467,928
Moderate Growth Lifestyle	Various ARC I and ARC II Funds*		122,690,363		156,896,166	†		125,994,160		25,601			(6,606,925	)		147,011,045

* See Schedule of Investments for details.

† Includes reinvestment of distributions paid.

Note 4 — Federal Income Taxes

The following tables detail the tax basis distributions as well as the components of distributable earnings. The tax basis components of distributable earnings differ from the amounts reflected in the Statements of Assets and Liabilities due to temporary book/tax differences primarily arising from wash sales, post October losses, investments in passive foreign investment companies, and derivative transactions.

The information in the following table is presented on the basis of cost for Federal Income Tax purposes at May 31, 2008.

Fund	Identified Cost of Investments Owned		Gross Unrealized Appreciation		Gross Unrealized Depreciation		Net Unrealized Appreciation (Depreciation)
Aggressive Growth Lifestyle	$	94,543,548	$	2,680,059	$	1,723,238	$	956,821
Capital Appreciation		73,787,327		20,432,612		1,813,583		18,619,029
Conservative Growth Lifestyle		59,492,896		562,660		587,628		(24,968	)
Core Bond		213,688,986		1,335,278		6,430,409		(5,095,131	)
High Yield Bond		231,712,121		3,954,206		15,109,867		(11,155,661	)
International Small Cap Equity		677,217,308		76,913,993		43,027,626		33,886,367
Large Cap Value		321,812,634		19,290,518		15,297,076		3,993,442
Mid Cap Growth		214,602,482		24,025,216		5,148,054		18,877,162
Mid Cap Value		629,983,412		63,269,265		37,593,712		25,675,553
Moderate Growth Lifestyle		146,811,927		2,243,086		2,043,968		199,118
Money Market		322,158,406		—		—		—
Small Cap Growth		53,316,683		4,700,064		7,616,714		(2,916,650	)
Small Cap Value		316,291,184		26,679,268		36,992,104		(10,312,836	)
Socially Responsible		957,462,446		78,356,179		73,716,207		4,639,972
Strategic Bond		363,458,122		5,050,478		10,777,276		(5,726,798	)

Note 5 — Unfunded Loan Commitments

On May 31, 2008, the High Yield Bond Fund had the following unfunded loan commitment which could be extended at the option of the borrower.

Fund	Name	Type	Maturity Date	Amount
High Yield Bond	Triax Pharmaceuticals LLC Delayed Draw	Term Loan	08/30/2011	$	91,200

Item 2. Controls and Procedures.

(a) An evaluation was performed within 90 days of the filing of this report, under the supervision and with the participation of the registrant’s management, including the President and Treasurer, of the effectiveness of the design and operation of the registrant’s disclosure controls and procedures (as defined under Rule 30a-3(c) under the Investment Company Act of 1940 (17 CFR 270.30a-3(c))). Based on that evaluation, the registrant’s management, including the President and Treasurer, concluded that the registrant’s disclosure controls and procedures are effective.

(b) There was no change in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940 (17 CFR 270.30a-3(d))) 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.

Certifications pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) attached hereto as Exhibit 99.CERT.

SIGNATURES

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

AIG Retirement Company II

By:	/s/ Evelyn M. Curran
	Evelyn M. Curran
	President
Date:	July 30, 2008

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

By:	/s/ Evelyn M. Curran
	Evelyn M. Curran
	President
Date:	July 30, 2008

By:	/s/ Gregory R. Kingston
	Gregory R. Kingston
	Treasurer
Date:	July 30, 2008