SEI Daily Income Trust /MA/


Description	Face Amount ($ Thousands)		Value ($ Thousands)
CERTIFICATES OF DEPOSIT — 48.1%
Allied Irish Banks PLC
1.000%, 01/08/10	$	4,000	$	4,000
1.000%, 01/11/10		4,000		4,000
1.000%, 01/13/10		5,000		5,000
Banco Bilbao Vizcaya Argentaria
0.255%, 12/17/09		4,000		4,001
0.310%, 01/21/10		2,000		2,000
0.310%, 01/25/10		2,000		2,000
0.270%, 01/29/10		1,000		1,000
0.235%, 02/01/10		5,000		5,000
0.290%, 02/26/10		2,000		2,000
0.275%, 02/26/10		2,000		2,000
0.290%, 03/03/10		2,000		2,000
Bank of Ireland
0.920%, 01/14/10		9,000		9,000
Bank of Montreal
0.250%, 12/18/09		1,000		1,000
Bank of Tokyo-Mitsubishi UFJ
0.340%, 11/06/09		10,500		10,500
0.350%, 11/20/09		6,000		6,000
Barclays Bank PLC
0.340%, 11/02/09		1,000		1,000
0.340%, 11/02/09		12,000		12,000
0.590%, 03/05/10		4,000		4,000
0.575%, 03/15/10		1,000		1,000
0.450%, 04/27/10		3,500		3,500
BNP Paribas
0.750%, 11/13/09		2,500		2,500
0.650%, 11/20/09		1,000		1,000
0.420%, 02/01/10		4,000		4,000
0.320%, 04/19/10		3,000		3,000
Credit Agricole
0.400%, 11/10/09		4,000		4,000
Credit Industriel & Commercial
0.390%, 12/16/09		7,000		7,000
0.380%, 12/18/09		1,000		1,000
0.400%, 12/21/09		5,000		5,000
Dexia Credit
0.360%, 01/19/10		9,000		9,000
0.350%, 01/25/10		4,500		4,500
HSBC
0.325%, 03/29/10		1,000		1,000
National Australia Bank
0.370%, 11/10/09		1,000		1,000
0.680%, 11/16/09		20,000		20,000
0.430%, 01/12/10		1,000		1,000
0.400%, 02/05/10		2,000		2,000
Rabobank Nederland
0.360%, 11/09/09		5,000		5,000
0.510%, 12/22/09		9,000		9,000
0.350%, 03/24/10		1,000		1,000
Royal Bank of Canada
0.400%, 01/11/10		1,000		1,000


Description	Face Amount ($ Thousands)		Value ($ Thousands)
Royal Bank of Scotland PLC
0.240%, 11/05/09	$	4,000	$	4,000
Societe Generale
0.420%, 11/10/09		16,500		16,500
Sumitomo Mitsui Banking
0.270%, 11/06/09		10,000		10,000
0.280%, 11/23/09		2,000		2,000
0.290%, 01/04/10		1,000		1,000
Toronto Dominion Bank
0.330%, 11/17/09		1,000		1,000
0.400%, 02/08/10		1,000		1,000
0.330%, 03/18/10		1,000		1,000
UBS
0.500%, 11/16/09		9,000		9,000
0.475%, 11/23/09		4,500		4,500
0.420%, 11/25/09		8,000		8,000

Total Certificates of Deposit (Cost $221,001) ($ Thousands)				221,001

COMMERCIAL PAPER (A) (C) — 22.6%
American Honda Finance
0.330%, 11/03/09		1,000		1,000
0.381%, 11/18/09		1,000		1,000
Atlantis One Funding
0.280%, 01/25/10		2,000		1,999
0.270%, 02/19/10		3,000		2,997
Australia & New Zealand Banking Group
0.401%, 02/08/10		1,000		999
Barton Capital
0.270%, 01/07/10 to 01/19/10		2,000		1,998
0.277%, 01/22/10		1,000		999
0.240%, 02/05/10		1,000		999
Cancara Asset Securitization LLC
0.320%, 01/04/10		5,000		4,997
0.280%, 01/25/10		4,000		3,997
Citigroup Funding
0.250%, 11/03/09		10,000		10,000
0.330%, 11/06/09		2,000		2,000
E.ON
0.561%, 11/12/09		1,000		1,000
0.400%, 12/18/09		3,000		2,998
0.310%, 01/13/10		1,000		999
Edison Asset Securitization LLC
0.260%, 12/01/09		2,771		2,770
0.250%, 12/21/09		1,000		1,000
0.230%, 01/26/10		3,000		2,998
Gemini Securitization LLC
0.240%, 12/28/09		1,000		1,000
General Electric Capital
0.230%, 12/29/09		2,000		1,999
0.240%, 02/16/10 to 02/19/10		7,000		6,996
0.301%, 04/16/10		2,000		1,997
Gotham Funding
0.250%, 12/17/09		1,000		1,000
Grampian Funding LLC
0.501%, 11/30/09		1,000		1,000
0.380%, 01/19/10		13,000		12,989


Description	Face Amount ($ Thousands)		Value ($ Thousands)
ING US Funding LLC
0.320%, 11/10/09	$	1,000	$	1,000
0.300%, 02/05/10		1,000		999
Liberty Street Funding LLC
0.300%, 11/02/09		5,000		5,000
0.300%, 11/05/09		1,000		1,000
0.240%, 12/15/09		1,000		1,000
LMA Americas LLC
0.210%, 11/23/09		1,000		1,000
MetLife Short Term Funding LLC
0.401%, 03/03/10		1,000		999
Old Line Funding LLC
0.300%, 11/03/09		1,000		1,000
0.260%, 02/11/10		1,000		999
Park Avenue Receivables
0.250%, 01/06/10		1,000		1,000
Santander Central Hispano Finance
0.310%, 04/30/10		1,000		998
Sheffield Receivables
0.300%, 11/10/09		1,000		1,000
0.230%, 12/03/09		1,000		1,000
Starbird Funding
0.190%, 12/02/09		1,000		1,000
Thunder Bay Funding LLC
0.250%, 12/07/09		2,000		1,999
Toyota Credit Canada
0.400%, 11/03/09		1,000		1,000
0.451%, 12/04/09		1,000		1,000
Toyota Motor Credit
0.300%, 11/05/09 to 11/06/09		7,000		7,000
0.330%, 12/04/09		1,000		1,000
Variable Funding Capital LLC
0.300%, 11/06/09		2,000		2,000

Total Commercial Paper (Cost $103,725) ($ Thousands)				103,725

U.S. GOVERNMENT AGENCY OBLIGATIONS — 8.1%
FFCB (A)
0.194%, 01/20/10		2,000		2,000
FHLB (A)
0.091%, 01/30/10		2,000		2,000
0.268%, 11/07/09		3,000		2,999
FHLB DN (B)
0.512%, 01/12/10		3,000		2,997
FHLMC (A)
0.331%, 01/30/10		1,000		1,003
0.379%, 12/09/09		13,000		13,039
0.343%, 11/01/09		5,000		5,001
0.334%, 01/07/10		8,000		8,002

Total U.S. Government Agency Obligations (Cost $37,041) ($ Thousands)				37,041

U.S. TREASURY OBLIGATIONS — 2.2%
U.S. Treasury Bill
0.285%, 12/17/09 (B)		4,000		3,999


Description	Face Amount ($ Thousands)		Value ($ Thousands)
U.S. Treasury Note
3.250%, 12/31/09	$	6,000	$	6,028

Total U.S. Treasury Obligations (Cost $10,027) ($ Thousands)				10,027

BANKERS’ ACCEPTANCE — 1.7%
Wachovia Bank
0.511%, 11/27/09		1,000		1,000
0.501%, 12/07/09		7,000		6,996

Total Bankers’ Acceptance (Cost $7,996) ($ Thousands)				7,996

MUNICIPAL BONDS (A) — 1.0%
Connecticut — 0.1%
Connecticut Housing Finance Authority, Sub-Ser A-5, RB
0.266%, 11/05/09		500		500

Iowa — 0.4%
Iowa Finance Authority, Ser G, RB
0.270%, 11/05/09		100		100
Iowa Finance Authority, Ser C, RB
0.266%, 11/05/09		1,900		1,900

				2,000

Kentucky — 0.4%
Kentucky Housing, Ser J, RB
0.600%, 11/05/09		2,000		2,000

Wisconsin — 0.1%
Wisconsin Housing & Economic Development Authority, Ser D, RB
0.300%, 11/04/09		500		500

Total Municipal Bonds (Cost $5,000) ($ Thousands)				5,000

REPURCHASE AGREEMENTS (D) — 16.3%
Barclays Capital 0.270%, dated 10/30/09, to be repurchased on 11/02/09, repurchase price $1,000,023 (collateralized by a corporate obligation, par value $947,088, 6.400%,11/01/11, with total market value $1,050,001)		1,000		1,000
BNP Paribas 0.270%, dated 10/30/09, to be repurchased on 11/02/09, repurchase price $2,000,045 (collateralized by various FHLMC/FNMA/corporate obligations, ranging in par value $1,904,861-$25,000,000, 4.500%- 6.799%, 07/15/11-08/01/39, with total market value $2,100,001)		2,000		2,000


Description	Face Amount ($ Thousands)		Value ($ Thousands)
BNP Paribas 0.080%, dated 10/30/09, to be repurchased on 11/02/09, repurchase price $57,862,386 (collateralized by various FHLMC/FNMA obligations, ranging in par value $2,235,982- $10,910,503, 3.989%-6.000%, 03/01/23-10/01/39, with total market value $59,019,240)	$	57,862	$	57,862
Deutsche Bank 0.320%, dated 10/30/09, to be repurchased on 11/02/09, repurchase price $3,000,080 (collateralized by a corporate obligation, par value $3,116,832, 0.861%, 07/28/11, with total market value $3,150,000)		3,000		3,000
Deutsche Bank 0.310%, dated 10/30/09, to be repurchased on 01/29/10, repurchase price $1,000,784 (collateralized by a corporate obligation, par value $842,500, 2.375%, 01/15/25, with total market value $1,020,114)		1,000		1,000
Goldman Sachs 0.440%, dated 10/30/09, to be repurchased on 02/02/10, repurchase price $2,002,371 (collateralized by a corporate obligation, par value $1,687,232, 8.750%, 02/14/19, with total market value $2,100,000)		2,000		2,000
JPMorgan Chase 0.270%, dated 10/30/09, to be repurchased on 11/02/09, repurchase price $2,000,045 (collateralized by a corporate obligation, par value $2,065,000, 0.020%, 11/02/09, with total market value $2,064,976)		2,000		2,000
JPMorgan Chase 0.270%, dated 10/30/09, to be repurchased on 11/02/09, repurchase price $2,000,045 (collateralized by a corporate obligation, par value $1,945,000, 7.000%, 04/01/12, with total market value $2,102,173)		2,000		2,000


Description	Face Amount ($ Thousands)		Value ($ Thousands)
RBS Greenwich Capital 0.270%, dated 10/30/09, to be repurchased on 11/02/09, repurchase price $4,000,090 (collateralized by a corporate obligation, par value $4,125,000, 0.000%, 11/20/09, with total market value $4,122,693)	$	4,000	$	4,000

Total Repurchase Agreements (Cost $74,862) ($ Thousands)				74,862

Total Investments — 100.0% (Cost $459,652)($ Thousands) @			$	459,652

Percentages are based on Net Assets of $459,856 ($ Thousands).

(A)	Floating Rate Instrument. The rate reflected on the Schedule of Investments is the rate in effect on October 31, 2009. The demand and interest rate reset features give this security a shorter effective maturity date.

(B)	The rate reported is the effective yield at time of purchase.

(C)	Securities are held in connection with a letter of credit issued by a major bank.

(D)	Tri-Party Repurchase Agreement

DN — Discount Note

FFCB — Federal Farm Credit Bank

FHLB — Federal Home Loan Bank

FHLMC — Federal Home Loan Mortgage Corporation

FNMA — Federal National Mortgage Association

LLC — Limited Liability Company

PLC — Public Limited Company

RB — Revenue Bond

Ser — Series

@	For Federal tax purposes, the Fund’s aggregate tax cost is equal to book cost.

As of October 31, 2009, all of the Fund’s Investments are Level 2.

For information on the Fund’s policy regarding valuation of investments, fair value hierarchy levels and other significant accounting polices, please refer to Note 2 of the Fund’s most recent semi-annual or annual financial statements.


Description	Face Amount ($ Thousands)		Value ($ Thousands)
U.S. GOVERNMENT AGENCY OBLIGATIONS — 62.4%
FHLB
0.310%, 12/03/09	$	20,000	$	20,000
0.017%, 01/20/10		9,500		9,500
0.540%, 01/29/10		35,000		35,000
0.500%, 02/08/10		3,000		3,002
4.375%, 03/17/10		3,000		3,047
2.375%, 04/30/10		24,260		24,521
0.268%, 11/07/09 (A)		35,000		34,989
FHLB DN (B)
0.285%, 11/13/09		30,000		29,997
0.300%, 11/20/09		60,000		59,990
0.800%, 12/18/09		15,000		14,998
FHLB, Ser 2
0.950%, 03/30/10		25,000		25,075
FHLMC
3.125%, 02/04/10		4,500		4,534
4.875%, 02/09/10		24,445		24,757
2.875%, 04/30/10		25,000		25,330
0.334%, 01/07/10 (A)		63,000		63,022
FHLMC DN (B)
0.453%, 12/07/09		52,153		52,137
0.220%, 12/08/09 to 02/16/10		68,320		68,284
0.473%, 12/14/09		60,000		59,980
0.200%, 12/17/09		50,000		49,987
0.250%, 01/20/10		25,000		24,986
0.316%, 01/25/10		25,000		24,982
FHLMC MTN
3.125%, 02/12/10		25,000		25,206
0.379%, 12/09/09 (A)		50,000		50,144
FHLMC, Ser 1
0.343%, 11/01/09 (A)		35,000		35,000
FNMA
0.233%, 01/21/10 (A)		35,000		35,000
3.875%, 02/15/10		5,105		5,160
4.750%, 03/12/10		30,000		30,496
FNMA DN (B)
0.220%, 12/01/09		6,350		6,349
0.280%, 12/14/09		30,000		29,990
0.260%, 01/11/10		25,000		24,987
0.180%, 01/15/10		9,686		9,682
FNMA MTN
7.250%, 01/15/10		38,895		39,450

Total U.S. Government Agency Obligations (Cost $949,582) ($ Thousands)				949,582


Description	Face Amount ($ Thousands)		Value ($ Thousands)
REPURCHASE AGREEMENTS (C) — 37.5%
BNP Paribas 0.090%, dated 10/30/09, to be repurchased on 11/02/09, repurchase price $80,000,600 (collateralized by various corporate obligations, ranging in par value $24,096,594-$30,000,000, 1.800%-2.000%, 03/11/11-09/28/12, with total market value $82,400,001)	$	80,000	$	80,000
BNP Paribas 0.070%, dated 10/30/09, to be repurchased on 11/02/09, repurchase price $100,000,583 (collateralized by various FFCB/FHLB/FNMA obligations, ranging in par value $6,420,000-$22,100,000, 0.000%- 5.300%, 02/10/10-06/18/24, with total market value $102,000,221)		100,000		100,000
Citigroup 0.150%, dated 10/30/09, to be repurchased on 11/02/09, repurchase price $80,001,000 (collateralized by various corporate obligations, ranging in par value $19,492,673-$37,985,000, 2.200%-3.000%, 12/16/11-06/15/12, with total market value $82,400,000)		80,000		80,000
Deutsche Bank 0.070%, dated 10/30/09, to be repurchased on 11/02/09, repurchase price $100,000,583 (collateralized by various FHLB/FHLMC/FNMA obligations, ranging in par value $8,013,000-$23,000,000, 3.875%- 6.070%, 01/15/10-01/19/27, with total market value $102,000,190)		100,000		100,000
Goldman Sachs 0.080%, dated 10/30/09, to be repurchased on 11/02/09, repurchase price $15,000,100 (collateralized by various corporate obligations, ranging in par value $1,680,919-$13,497,146, 2.100%-3.000%, 12/09/11-04/30/12, with total market value $15,450,000)		15,000		15,000
Goldman Sachs 0.070%, dated 10/30/09, to be repurchased on 11/02/09, repurchase price $14,903,087 (collateralized by a Treasury obligation, par value $15,080,400, 1.750%, 03/31/10, with total market value $15,201,123)		14,903		14,903


Description	Face Amount ($ Thousands)		Value ($ Thousands)
Morgan Stanley 0.090%, dated 10/30/09, to be repurchased on 11/02/09, repurchase price $80,000,600 (collateralized by various corporate obligations, ranging in par value $4,986,000-$29,579,000, 1.474%-2.375%, 04/15/11-12/21/12, with total market value $82,080,696)	$	80,000	$	80,000
Morgan Stanley 0.090%, dated 10/30/09, to be repurchased on 11/02/09, repurchase price $50,000,375 (collateralized by various U.S. Government obligations, ranging in par value $2,000-$36,518,000, 0.000%-0.000%, 01/15/10-04/15/29, with total market value $51,003,258)		50,000		50,000
Morgan Stanley 0.140%, dated 10/30/09, to be repurchased on 01/21/10, repurchase price $50,004,064 (collateralized by various GNMA obligations, ranging in par value $155,000-$4,000,000, 0.000%-6.500%, 03/11/11-09/28/12, with total market value $51,004,145)		50,000		50,000

Total Repurchase Agreements (Cost $569,903) ($ Thousands)				569,903

Total Investments — 99.9% (Cost $1,519,485)($ Thousands) @			$	1,519,485

Percentages are based on Net Assets of $1,521,267 ($ Thousands).

(A)	Floating Rate Instrument. The rate reflected on the Schedule of Investments is the rate in effect on October 31, 2009. The demand and interest rate reset features give this security a shorter effective maturity date.

(B)	The rate reported is the effective yield at time of purchase.

(C)	Tri-Party Repurchase Agreement

DN — Discount Note

FFCB — Federal Farm Credit Bank

FHLB — Federal Home Loan Bank

FHLMC — Federal Home Loan Mortgage Corporation

FNMA — Federal National Mortgage Association

GNMA — Government National Mortgage Association

MTN — Medium Term Note

Ser — Series

@	For Federal tax purposes, the Fund’s aggregate tax cost is equal to book cost.

As of October 31, 2009, all of the Fund’s investments are Level 2.


Description	Face Amount ($ Thousands)		Value ($ Thousands)
U.S. GOVERNMENT AGENCY OBLIGATIONS — 94.6%
FFCB
0.464%, 02/11/10 (A)	$	500	$	500
FHLB
4.250%, 11/20/09		41,210		41,297
0.310%, 12/03/09		10,000		10,000
5.000%, 12/11/09		6,900		6,937
3.000%, 12/15/09		5,000		5,017
3.375%, 12/18/09		10,000		10,042
0.124%, 01/11/10 (A)		10,000		10,001
1.120%, 01/15/10		15,000		15,028
0.017%, 01/20/10		15,000		14,999
0.540%, 01/29/10		35,000		35,000
5.015%, 02/16/10		20,000		20,280
0.875%, 03/30/10		15,000		15,040
0.268%, 11/05/10 (A)		45,000		44,986
FHLB DN
0.081%, 11/02/09		98,159		98,159
0.126%, 11/04/09		149,075		149,073
0.205%, 11/06/09		50,000		49,999
0.100%, 11/12/09		50,000		49,998
0.285%, 11/13/09		50,000		49,998
0.300%, 11/20/09		17,152		17,152
0.135%, 11/27/09		25,970		25,967
0.160%, 12/04/09 to 12/17/09		85,000		84,986
0.192%, 12/11/09		75,000		74,984
0.131%, 12/15/09		72,450		72,438
0.134%, 12/16/09		60,000		59,990
0.143%, 12/18/09		65,000		64,988
0.120%, 01/04/10 to 01/06/10		65,000		64,986
0.170%, 01/05/10		15,543		15,538
0.095%, 01/08/10		40,000		39,993
0.512%, 01/12/10		25,000		24,991
0.070%, 01/14/10		10,000		9,999
0.091%, 01/15/10		80,000		79,985
0.086%, 01/27/10		25,000		24,995
0.100%, 02/08/10		18,100		18,095
0.200%, 02/10/10		23,800		23,787
0.110%, 02/19/10		10,300		10,296
0.225%, 03/12/10		20,000		19,984
0.210%, 03/26/10		25,000		24,979
FHLB, Ser 1
0.164%, 12/28/09 (A)		35,000		34,997
1.050%, 02/23/10		23,000		23,063
5.000%, 03/12/10		5,925		6,025

Total U.S. Government Agency Obligations (Cost $1,448,572) ($ Thousands)				1,448,572


Description	Face Amount ($ Thousands)		Value ($ Thousands)
U.S. TREASURY OBLIGATIONS — 5.9%
U.S. Treasury Bills (B)
0.200%, 11/19/09	$	39,982	$	39,978
0.290%, 11/27/09		30,000		29,994
U.S. Treasury Note
6.500%, 02/15/10		20,000		20,364

Total U.S. Treasury Obligations (Cost $90,336) ($ Thousands)				90,336

Total Investments — 100.5% (Cost $1,538,908)($ Thousands) @			$	1,538,908

Percentages are based on Net Assets of $1,530,611 ($ Thousands).

(A)	Floating Rate Instrument. The rate reflected on the Schedule of Investments is the rate in effect on October 31, 2009. The demand and interest rate reset features give this security a shorter effective maturity date.

(B)	The rate reported is the effective yield at time of purchase.

DN — Discount Note

FFCB — Federal Farm Credit Bank

FHLB — Federal Home Loan Bank

Ser — Series

@	For Federal tax purposes, the Fund’s aggregate tax cost is equal to book cost.

As of October 31, 2009, all of the Fund’s investments are Level 2.


Description	Face Amount ($ Thousands)		Value ($ Thousands)
CERTIFICATES OF DEPOSIT — 48.0%
Allied Irish Banks PLC
1.000%, 01/08/10	$	36,000	$	36,000
1.000%, 01/11/10		34,000		34,000
1.000%, 01/13/10		46,000		46,000
Banco Bilbao Vizcaya Argentaria
0.255%, 12/17/09		27,000		27,002
0.310%, 01/21/10		13,750		13,750
0.310%, 01/25/10		41,000		41,000
0.270%, 01/29/10		19,000		19,000
0.235%, 02/01/10		36,000		36,000
0.290%, 02/26/10		12,000		12,000
0.275%, 02/26/10		18,000		18,000
0.290%, 03/03/10		17,000		17,000
Bank of Ireland
0.920%, 01/14/10		79,000		79,000
Bank of Montreal
0.250%, 12/18/09		25,000		25,000
Bank of Tokyo-Mitsubishi UFJ
0.340%, 11/09/09		1,000		1,000
0.350%, 11/20/09		26,000		26,000
0.270%, 12/11/09		90,000		90,000
Barclays Bank PLC
0.340%, 11/02/09		95,000		95,000
0.340%, 11/02/09		5,000		5,000
0.590%, 03/05/10		30,000		30,000
0.575%, 03/15/10		23,175		23,175
0.450%, 04/27/10		29,000		29,000
BNP Paribas
0.750%, 11/13/09		5,000		5,000
Credit Agricole
0.370%, 11/20/09		135,000		135,000
Credit Industriel & Commercial
0.390%, 12/16/09		59,000		59,000
0.380%, 12/18/09		60,000		60,000
Dexia Credit
0.360%, 01/19/10		78,000		78,002
0.350%, 01/25/10		32,000		32,000
HSBC
0.325%, 03/29/10		11,000		11,000
National Australia Bank
0.680%, 11/16/09		105,000		105,000
0.320%, 11/30/09		20,000		20,000
0.285%, 02/01/10		42,000		42,001
0.400%, 02/05/10		15,000		15,000
Rabobank Nederland
0.510%, 12/22/09		40,000		40,000
0.490%, 01/15/10		7,600		7,601
0.350%, 03/24/10		12,000		12,000
Royal Bank of Canada
0.400%, 01/11/10		3,000		3,000


Description	Face Amount ($ Thousands)		Value ($ Thousands)
Royal Bank of Scotland PLC
0.240%, 11/05/09	$	37,000	$	37,000
Societe Generale
0.260%, 12/30/09		34,000		34,000
Sumitomo Mitsui Banking
0.270%, 11/06/09		14,000		14,000
0.280%, 11/23/09		5,000		5,000
0.300%, 12/01/09		29,000		29,000
0.250%, 01/26/10		55,000		55,000
Toronto Dominion Bank
0.330%, 11/17/09		15,000		15,000
0.450%, 01/07/10		13,000		13,000
0.400%, 02/08/10		2,000		2,000
0.330%, 03/18/10		10,000		10,001
UBS
0.250%, 11/17/09		61,000		61,000
0.475%, 11/23/09		37,000		37,000
0.420%, 11/25/09		80,000		80,000

Total Certificates of Deposit (Cost $1,719,532) ($ Thousands)				1,719,532

COMMERCIAL PAPER (A) (B) — 28.8%
American Honda Finance
0.330%, 11/03/09 to 12/02/09		13,000		12,997
0.381%, 11/18/09		4,000		3,999
0.350%, 11/19/09		3,000		2,999
Atlantis One Funding
0.240%, 11/23/09		12,050		12,048
0.280%, 01/25/10		15,000		14,990
0.331%, 04/06/10		22,000		21,969
Australia & New Zealand Banking Group
0.371%, 01/19/10		35,000		34,972
0.401%, 02/08/10		4,000		3,996
Barton Capital
0.270%, 01/07/10 to 01/19/10		7,078		7,074
0.277%, 01/22/10		6,000		5,996
0.260%, 02/02/10		3,000		2,998
0.240%, 02/05/10		6,000		5,996
BNZ International Funding
0.270%, 02/02/10		7,000		6,995
Cancara Asset Securitization LLC
0.300%, 12/14/09		1,000		1,000
0.320%, 01/04/10		44,000		43,975
0.280%, 01/25/10		25,000		24,983
Citigroup Funding
0.250%, 11/03/09		24,000		24,000
0.330%, 11/06/09		21,000		20,999
0.320%, 11/12/09		68,000		67,993
E.ON
0.561%, 11/12/09 to 11/18/09		13,000		12,997
0.400%, 12/18/09		18,000		17,991
0.310%, 01/13/10		7,000		6,996


Description	Face Amount ($ Thousands)		Value ($ Thousands)
Edison Asset Securitization LLC
0.260%, 11/24/09 to 12/01/09	$	45,009	$	45,001
0.250%, 12/21/09		6,000		5,998
0.230%, 01/26/10		25,780		25,766
Fairway Finance LLC
0.290%, 11/06/09		4,000		4,000
Gemini Securitization LLC
0.300%, 11/02/09		11,000		11,000
General Electric Capital
0.230%, 12/28/09 to 12/29/09		14,500		14,494
0.240%, 02/16/10 to 02/19/10		60,000		59,956
0.301%, 04/16/10		12,000		11,983
Grampian Funding LLC
0.501%, 11/30/09		35,000		34,986
0.380%, 01/19/10		74,000		73,938
ING US Funding LLC
0.300%, 11/03/09 to 02/05/10		39,000		38,991
0.320%, 11/10/09		8,000		7,999
Liberty Street Funding LLC
0.300%, 11/02/09		52,000		52,000
0.300%, 11/05/09		7,000		7,000
0.240%, 12/15/09		9,000		8,997
LMA Americas LLC
0.210%, 11/23/09		8,000		7,999
Matchpoint Master Trust
0.250%, 12/14/09		15,100		15,095
MetLife Short Term Funding LLC
0.390%, 02/16/10		2,000		1,998
0.431%, 02/19/10		3,000		2,996
0.401%, 03/03/10		3,000		2,996
Old Line Funding LLC
0.300%, 11/03/09		4,000		4,000
0.240%, 12/11/09		49,854		49,841
0.260%, 02/11/10		7,000		6,995
Santander Central Hispano Finance
0.310%, 04/30/10		10,000		9,984
Sheffield Receivables
0.300%, 11/06/09 to 11/10/09		34,000		33,998
0.270%, 01/06/10		4,000		3,998
Starbird Funding
0.190%, 12/02/09		3,000		3,000
Thunder Bay Funding LLC
0.250%, 12/07/09		24,141		24,135
Toyota Credit Canada
0.400%, 11/03/09		6,000		6,000
0.451%, 12/04/09		6,000		5,998
Toyota Motor Credit
0.300%, 11/05/09 to 11/06/09		41,000		40,998
0.330%, 12/04/09		9,000		8,997
Variable Funding Capital LLC
0.300%, 11/06/09		11,000		11,000
0.401%, 01/28/10		31,000		30,970

Total Commercial Paper (Cost $1,031,070) ($ Thousands)				1,031,070


Description	Face Amount ($ Thousands)		Value ($ Thousands)
U.S. GOVERNMENT AGENCY OBLIGATIONS — 6.9%
FFCB (A)
0.194%, 01/20/10	$	12,000	$	12,000
FHLB (A)
0.091%, 01/30/10		12,000		11,999
0.268%, 11/07/09		24,000		23,993
FHLB DN (C)
0.512%, 01/12/10		19,000		18,980
FHLMC (A)
0.343%, 11/01/09		35,000		35,005
0.334%, 01/07/10		50,600		50,618
FHLMC MTN (A)
0.331%, 01/30/10		2,000		2,006
0.379%, 12/09/09		90,000		90,269

Total U.S. Government Agency Obligations (Cost $244,870) ($ Thousands)				244,870

U.S. TREASURY OBLIGATION — 0.7%
U.S. Treasury Bill (C)
0.285%, 12/17/09		26,000		25,991

Total U.S. Treasury Obligation (Cost $25,991) ($ Thousands)				25,991

MUNICIPAL BONDS (A) — 0.5%
Colorado — 0.1%
Colorado Housing & Finance Authority, RB
0.300%, 11/04/09 to 12/02/09		2,860		2,860

				2,860

Connecticut — 0.0%
Connecticut Housing Finance Authority, Sub-Ser A-5, RB
0.266%, 11/05/09		1,335		1,335

Iowa — 0.4%
Iowa Finance Authority, Ser B, RB
0.290%, 11/05/09		1,000		1,000
Iowa Finance Authority, Ser M, RB
0.300%, 11/05/09		1,000		1,000
Iowa Finance Authority, Ser C, RB
0.266%, 11/05/09		10,550		10,550

				12,550

Total Municipal Bonds (Cost $16,745) ($ Thousands)				16,745

BANKERS’ ACCEPTANCE — 0.5%
JPMorgan Chase Bank
0.280%, 11/06/09		14,000		13,999
Wachovia Bank
0.511%, 11/27/09		2,000		1,999


Description	Face Amount ($ Thousands)		Value ($ Thousands)
0.410%, 01/25/10	$	3,000	$	2,997

Total Bankers’ Acceptance (Cost $18,995) ($ Thousands)				18,995

CORPORATE OBLIGATION — 0.0%
Credit Suisse USA 4.125%, 01/15/10		1,000		1,008

Total Corporate Obligation (Cost $1,008) ($ Thousands)				1,008

REPURCHASE AGREEMENTS (D) — 14.6%
BNP Paribas 0.270%, dated 10/30/09, to be repurchased on 11/02/09, repurchase price $15,000,338 (collateralized by a corporate obligation, par value $14,286,454, 6.625%, 07/15/11, with total market value $15,750,000)		15,000		15,000
BNP Paribas 0.080%, dated 10/30/09, to be repurchased on 11/02/09, repurchase price $29,551,197 (collateralized by various FHLMC/FNMA obligations, ranging in par value $2,043,670- $16,955,000, 3.307%-5.714%, 12/01/33-06/01/36, with total market value $30,142,020)		29,551		29,551
Deutsche Bank 0.320%, dated 10/30/09, to be repurchased on 11/02/09, repurchase price $23,000,613 (collateralized by a corporate obligation, par value $23,895,710, 0.861%, 07/28/11, with total market value $24,150,000)		23,000		23,000
Deutsche Bank 0.310%, dated 10/30/09, to be repurchase on 01/29/10, repurchase price $3,002,351 (collateralized by a corporate obligation, par value $3,105,528, 0.000%, 01/29/10, with total market value $3,090,000)		3,000		3,000
Goldman Sachs 0.080%, dated 10/30/09, to be repurchased on 11/02/09, repurchase price $176,653,178 (collateralized by a FNMA obligation, par value $173,770,682, 5.000%, 10/01/39, with total market value $180,185,041)		176,652		176,652


Description	Face Amount ($ Thousands)		Value ($ Thousands)
Goldman Sachs 0.440%, dated 10/30/09, to be repurchased on 02/02/10, purchase price $17,025,154 (collateralized by a corporate obligation, par value $22,703,762, 5.000%, 04/15/15, with total market value $17,850,000)	$	17,000	$	17,000
JPMorgan Chase 0.270%, dated 10/30/09, to be repurchased on 11/02/09, repurchase price $19,000,428 (collateralized by various corporate obligations, ranging in par value $1,000,000-$6,860,000, 5.250%-7.000%, 10/15/11-02/15/15, with total market value $19,952,709)		19,000		19,000
JPMorgan Chase 0.270%, dated 10/30/09, to be repurchased on 11/02/09, repurchase price $14,000,315 (collateralized by a corporate obligation, par value $14,425,000, 0.020%, 11/02/09, with total market value $14,424,831)		14,000		14,000
RBS Greenwich Capital 0.270%, dated 10/30/09, to be repurchased on 11/02/09, repurchase price $24,000,540 (collateralized by a corporate obligation, par value $24,745,000, 0.000%, 11/23/09, with total market value $24,724,232)		24,000		24,000
RBS Greenwich Capital 0.080%, dated 10/30/09, to be repurchased on 11/02/09, repurchase price $201,540,140 (collateralized by various corporate obligations, ranging in par value $87,840,000- $119,947,024, 0.000%-0.000%, 11/23/09-11/25/09, with total market value $207,586,349)		201,540		201,540

Total Repurchase Agreements (Cost $522,743) ($ Thousands)				522,743

Total Investments — 100.0% (Cost $3,580,954)($ Thousands) @			$	3,580,954

Percentages are based on Net Assets of $3,581,563 ($ Thousands).

(A)	Floating Rate Instrument. The rate reflected on the Schedule of Investments is the rate in effect on October 31, 2009. The demand and interest rate reset features give this security a shorter effective maturity date.

(B)	Securities are held in connection with a letter of credit issued by a major bank.

(C)	The rate reported is the effective yield at time of purchase.

(D)	Tri-Party Repurchase Agreement

DN — Discount Note

FFCB — Federal Farm Credit Bank

FHLB — Federal Home Loan Bank

FHLMC — Federal Home Loan Mortgage Corporation

FNMA — Federal National Mortgage Association

LLC — Limited Liability Company

MTN — Medium Term Note

PLC — Public Limited Company

RB — Revenue Bond

Ser — Series

@ For Federal tax purposes, the Fund’s aggregate tax cost is equal to book cost.

As of October 31, 2009, all of the Fund’s investments are Level 2.

The following is a reconciliation of the investments in which significant unobservable inputs (Level 3) were used in determining value ($ Thousands):


	Capital Support Agreement			Corporate Obligations
Beginning balance as of January 31, 2009	$	150,858		$	105,675
Accrued discounts/premiums		—			(5,444	)
Realized gain/(loss)		—			56,899
Change in unrealized appreciation/(depreciation)		(150,858	)		92,493
Net purchases/sales		—			(249,623	)
Net transfer in and/or out of Level 3		—			—

Ending balance as of September 30, 2009	$	—		$	—

Amounts designated as “—” are $0 or have been rounded to $0


Description	Face Amount ($ Thousands)		Value ($ Thousands)
U.S. TREASURY OBLIGATIONS — 24.1%
U.S. Treasury Bill (A)
0.185%, 02/25/10	$	10,000	$	9,991
U.S. Treasury Notes
4.625%, 11/15/09		20,000		20,033
3.125%, 11/30/09		20,000		20,046
3.250%, 12/31/09		23,821		23,933
3.625%, 01/15/10		20,000		20,139
6.500%, 02/15/10		10,000		10,182
3.500%, 02/15/10		30,000		30,275
4.750%, 02/15/10		25,000		25,319
2.000%, 02/28/10		19,000		19,106
2.750%, 07/31/10		30,000		30,549

Total U.S. Treasury Obligations (Cost $209,573) ($ Thousands)				209,573

REPURCHASE AGREEMENTS (B) — 75.7%
Barclays Capital 0.060%, dated 10/30/09, to be repurchased on 11/02/09, repurchase price $200,001,000 (collateralized by a U.S. Treasury obligation, par value $180,728,400, 5.000%, 05/15/37, with total market value $204,000,089)		200,000		200,000
Barclays Capital 0.110%, dated 10/30/09, to be repurchased on 12/15/09, repurchase price $35,005,668 (collateralized by a U.S. Treasury obligation, par value $29,542,900, 2.000%, 07/15/14, with total market value $35,700,020)		35,000		35,000
Deutsche Bank 0.060%, dated 10/30/09, to be repurchased on 11/02/09, repurchase price $224,517,123 (collateralized by various U.S. Treasury obligations, ranging in par value $9,327,100- $113,280,000, 2.000%-11.750%, 11/15/09-11/15/27, with total market value $229,006,342)		224,516		224,516


Description	Face Amount ($ Thousands)		Value ($ Thousands)
JPMorgan Chase 0.050%, dated 10/30/09, to be repurchased on 11/02/09, repurchase price $200,000,833 (collateralized by various U.S. Treasury obligations, ranging in par value $29,880,000- $160,031,800, 3.250%-5.000%, 12/31/09-08/15/11, with total market value $204,001,688)	$	200,000	$	200,000

Total Repurchase Agreements (Cost $659,516) ($ Thousands)				659,516

Total Investments — 99.8% (Cost $869,089)($ Thousands) @			$	869,089

Percentages are based on Net Assets of $871,090 ($ Thousands).

(A)	The rate reported is the effective yield at time of purchase.

(B)	Tri-Party Repurchase Agreement

@	For Federal tax purposes, the Fund’s aggregate tax cost is equal to book cost.

As of October 31, 2009, all of the Fund’s investments are Level 2.


Description	Face Amount ($ Thousands)		Value ($ Thousands)
U.S. TREASURY OBLIGATIONS — 99.8%
U.S. Treasury Bills (A)
0.099%, 11/12/09 to 02/04/10	$	72,357	$	72,348
0.110%, 11/19/09		45,000		44,998
0.290%, 11/27/09		36,983		36,981
0.088%, 12/03/09		30,000		29,998
0.082%, 12/10/09		64,117		64,111
0.285%, 12/17/09		41,231		41,225
0.102%, 12/24/09 to 12/31/09		90,000		89,985
0.051%, 01/07/10		46,500		46,496
0.058%, 01/14/10		40,000		39,995
0.057%, 01/21/10		40,000		39,995
0.097%, 01/28/10		40,000		39,991
0.160%, 02/11/10		10,000		9,995
0.175%, 02/18/10		10,000		9,995
0.185%, 02/25/10		10,000		9,994
0.195%, 03/04/10		7,000		6,995
0.205%, 03/11/10		7,000		6,995
U.S. Treasury Notes
4.625%, 11/15/09		20,000		20,034
3.500%, 12/15/09		45,000		45,181
3.625%, 01/15/10		25,000		25,178
6.500%, 02/15/10		10,000		10,182

Total U.S. Treasury Obligations (Cost $690,672) ($ Thousands)				690,672

Total Investments — 99.8% (Cost $690,672)($ Thousands) @			$	690,672

Percentages are based on Net Assets of $692,065 ($ Thousands).

(A)	The rate reported is the effective yield at time of purchase.

@ For Federal tax purposes, the Fund’s aggregate tax cost is equal to book cost.

As of October 31, 2009, all of the Fund’s investments are Level 2.


Description	Face Amount ($ Thousands)		Value ($ Thousands)
MORTGAGE-BACKED SECURITIES — 50.4%
Agency Mortgage-Backed Obligations — 50.4%
FHLMC
7.375%, 09/01/18 (A)	$	7	$	7
7.287%, 03/01/19 (A)		24		24
7.250%, 01/01/18 to 09/01/20 (A)		52		54
7.125%, 07/01/18 to 11/01/20 (A)		18		19
7.000%, 02/01/16 to 11/01/18 (A)		34		34
6.875%, 07/01/18 (A)		23		23
6.750%, 09/01/16 to 01/01/17 (A)		13		13
6.625%, 02/01/16 to 06/01/18 (A)		10		10
6.500%, 07/01/16 to 01/01/17 (A)		17		17
6.000%, 06/01/21		1,689		1,812
4.651%, 12/01/23 (A)		166		170
4.500%, 07/01/23 to 01/01/39		1,398		1,417
4.452%, 12/01/23 (A)		2,647		2,711
4.398%, 05/01/24 (A)		65		65
4.341%, 07/01/24 (A)		24		24
4.305%, 05/01/19 (A)		37		37
4.163%, 02/01/19 (A)		42		42
4.137%, 04/01/29 (A)		57		58
4.020%, 04/01/29 (A)		124		127
3.935%, 04/01/19 (A)		23		23
3.918%, 03/01/19 (A)		35		35
3.907%, 06/01/24 (A)		60		61
3.886%, 04/01/22 (A)		86		87
3.406%, 06/01/24 (A)		133		135
3.394%, 06/01/17 (A)		38		39
3.178%, 07/01/20 (A)		5		5
3.000%, 02/01/17 (A)		4		4
2.500%, 04/01/16 to 03/01/17 (A)		9		9
2.375%, 06/01/16 (A)		5		5
FHLMC REMIC, Ser 2004-2780, Cl LC
5.000%, 07/15/27		1,346		1,392
FHLMC REMIC, Ser 2004-2826, Cl BK
5.000%, 01/15/18		706		734
FHLMC REMIC, Ser 2587, Cl ET
3.700%, 07/15/17		553		569
FHLMC REMIC, Ser 2805, Cl DG
4.500%, 04/15/17		606		626
FHLMC REMIC, Ser 2890, Cl PJ
4.500%, 09/15/24		163		164
FHLMC REMIC, Ser 2975, Cl VT
5.000%, 02/15/11		1,013		1,039
FHLMC REMIC, Ser 3022, Cl MB
5.000%, 12/15/28		1,500		1,579
FHLMC REMIC, Ser 3029, Cl PE
5.000%, 03/15/34		4,000		4,227
FHLMC REMIC, Ser 3148, Cl CF
0.688%, 02/15/34 (A)		2,786		2,739
FHLMC REMIC, Ser 3153, Cl FX
0.638%, 05/15/36 (A)		659		649


Description	Face Amount ($ Thousands)		Value ($ Thousands)
FHLMC REMIC, Ser T-42, Cl A5
7.500%, 02/25/42	$	812	$	905
FNMA
7.000%, 06/01/37		201		220
6.500%, 05/01/26 to 12/01/38		6,987		7,522
5.942%, 11/01/11		343		364
5.111%, 12/01/29 (A)		174		178
5.016%, 02/01/13		76		79
4.872%, 09/01/24 (A)		989		1,013
4.830%, 02/01/13		2,260		2,399
4.621%, 04/01/13		110		117
4.499%, 08/01/29 (A)		703		704
4.215%, 09/01/25 (A)		166		168
4.203%, 08/01/27 (A)		570		581
4.100%, 07/01/13		989		1,031
3.882%, 05/01/28 (A)		1,049		1,044
3.768%, 02/01/27 (A)		166		165
FNMA REMIC, Ser 1992-61, Cl FA
0.962%, 10/25/22 (A)		182		182
FNMA REMIC, Ser 1993-32, Cl H
6.000%, 03/25/23		78		84
FNMA REMIC, Ser 1993-5, Cl Z
6.500%, 02/25/23		36		39
FNMA REMIC, Ser 1994-77, Cl FB
1.812%, 04/25/24 (A)		17		17
FNMA REMIC, Ser 2001-51, Cl QN
6.000%, 10/25/16		232		250
FNMA REMIC, Ser 2002-3, Cl PG
5.500%, 02/25/17		1,293		1,377
FNMA REMIC, Ser 2002-53, Cl FK
0.685%, 04/25/32 (A)		332		331
FNMA REMIC, Ser 2003-76, Cl CA
3.750%, 07/25/33		1,099		1,109
FNMA REMIC, Ser 2004-15, Cl AN
4.000%, 09/25/17		4,000		4,137
FNMA REMIC, Ser 2004-75, Cl KA
4.500%, 03/25/18		440		456
FNMA REMIC, Ser 2005-114, Cl EZ
5.500%, 01/25/36		2,929		2,907
FNMA REMIC, Ser 2005-43, Cl EN
5.000%, 05/25/19		1,143		1,190
FNMA REMIC, Ser 2006-72, Cl FY
0.705%, 08/25/36 (A)		3,053		3,009
FNMA REMIC, Ser 2006-76, Cl QF
0.685%, 08/25/36 (A)		3,383		3,360
FNMA REMIC, Ser 2006-79, Cl DF
0.635%, 08/25/36 (A)		3,811		3,757
FNMA TBA
6.000%, 11/01/21 to 11/01/37		21,900		23,372
5.500%, 11/01/20 to 11/01/37		58,450		62,021
GNMA
7.500%, 01/15/11 to 02/15/11		9		9
6.500%, 04/15/17 to 02/20/39		5,826		6,203
6.000%, 06/15/16 to 09/15/19		673		726


Description	Face Amount ($ Thousands)		Value ($ Thousands)
GNMA REMIC, Ser 2006-38, Cl XS, IO
6.960%, 09/16/35 (A)	$	239	$	29

Total Mortgage-Backed Securities (Cost $149,772) ($ Thousands)				151,840

U.S. GOVERNMENT AGENCY OBLIGATIONS — 32.3%
FHLB
2.250%, 04/13/12		7,995		8,180
FHLMC
1.125%, 12/15/11		15,000		14,980
5.750%, 01/15/12		17,400		19,193
2.125%, 09/21/12		21,100		21,450
2.500%, 04/23/14		2,500		2,515
FNMA
5.000%, 03/15/16		14,800		16,331
2.000%, 01/09/12		14,361		14,596

Total U.S. Government Agency Obligations (Cost $95,917) ($ Thousands)				97,245

U.S. TREASURY OBLIGATIONS — 15.2%
U.S. Treasury Inflation Protected Security
0.875%, 04/15/10		17,000		19,415
U.S. Treasury Notes
0.875%, 04/30/11		15,750		15,815
1.375%, 03/15/12		10,600		10,664

Total U.S. Treasury Obligations (Cost $45,684) ($ Thousands)				45,894

REPURCHASE AGREEMENTS (B) — 29.3%
BNP Paribas 0.080%, dated 10/30/09, to be repurchased on 11/02/09, repurchase price $23,800,159 (collateralized by various FNMA/FHLMC/GNMA obligations, ranging in par value $235,539-$10,080,000, 4.000%- 8.000%, 06/01/11-08/01/39, with total market value $24,276,000)		23,800		23,800


Description	Face Amount ($ Thousands)		Value ($ Thousands)
JPMorgan Chase 0.070%, dated 10/30/09, to be repurchased on 11/02/09, repurchase price $64,600,376 (collateralized by various FNMA obligations, ranging in par value $14,930,000-$60,530,000, 5.000%-5.500%, 01/01/33-11/01/39, with total market value $65,894,762)	$	64,600	$	64,600

Total Repurchase Agreements (Cost $88,400) ($ Thousands)				88,400

Total Investments — 127.2% (Cost $379,773)($ Thousands) @			$	383,379

A summary of the open futures contracts held by the Fund at October 31, 2009, is as follows:


Type of Contract	Number of Contracts Long (Short)		Expiration Date	Unrealized Appreciation (Depreciation) ($ Thousands)
U.S. 2-Year Treasury Note	305		Dec-2009	$	379
U.S. 5-Year Treasury Note	(49	)	Dec-2009		(88	)
U.S. 10-Year Treasury Note	(99	)	Dec-2009		(211	)

				$	80

Percentages are based on Net Assets of $301,487 ($ Thousands).

(A)	Floating Rate Instrument. The rate reflected on the Schedule of Investments is the rate in effect on October 31, 2009. The demand and interest rate reset features give this security a shorter effective maturity date.

(B)	Tri-Party Repurchase Agreement

Cl — Class

FHLB — Federal Home Loan Bank

FHLMC — Federal Home Loan Mortgage Corporation

FNMA — Federal National Mortgage Association

GNMA — Government National Mortgage Association

IO — Interest Only—face amount represents notional amount

REMIC — Real Estate Mortgage Investment Conduit

Ser — Series

TBA — To Be Announced

As of October 31, 2009, all of the Fund’s investments are Level 2, except for the futures contracts, which are Level 2.

Amounts designated as “—” are $0 or have been rounded to $0.

@	At October 31, 2009, the tax basis cost of the Fund’s investments was $379,773 ($ Thousands), and the unrealized appreciation and depreciation were $3,814 and $(208), respectively.


Description	Face Amount ($ Thousands)		Value ($ Thousands)
MORTGAGE-BACKED SECURITIES — 56.0%
Agency Mortgage-Backed Obligations — 56.0%
FHLMC
6.500%, 01/01/18 to 12/01/32	$	384	$	416
6.000%, 09/01/24		1,186		1,278
5.500%, 06/01/19 to 12/01/20		746		800
FHLMC REMIC, Ser 1599, Cl C
6.100%, 10/15/23		315		335
FHLMC REMIC, Ser 165, Cl K
6.500%, 09/15/21		14		14
FHLMC REMIC, Ser 2586, Cl NK
3.500%, 08/15/16		74		76
FHLMC REMIC, Ser 2587, Cl ET
3.700%, 07/15/17		319		329
FHLMC REMIC, Ser 2622, Cl PE
4.500%, 05/15/18		2,780		2,925
FHLMC REMIC, Ser 2630, Cl HA
3.000%, 01/15/17		705		715
FHLMC REMIC, Ser 2635, Cl NJ
3.000%, 03/15/17		203		207
FHLMC REMIC, Ser 2748, Cl LE
4.500%, 12/15/17		865		909
FHLMC REMIC, Ser 2802, Cl PF
0.688%, 09/15/33 (A)		1,012		1,003
FHLMC REMIC, Ser 3029, Cl PE
5.000%, 03/15/34		1,300		1,374
FNMA TBA
6.000%, 11/01/21 to 11/01/37		4,700		5,006
5.500%, 11/01/20 to 11/01/37		6,900		7,300
FNMA
9.500%, 05/01/18		34		37
6.500%, 03/01/33 to 11/01/38		3,045		3,275
6.450%, 10/01/18		615		691
6.150%, 04/01/11		141		148
5.931%, 02/01/12		569		610
5.920%, 06/01/14		487		540
5.680%, 06/01/17		572		631
5.626%, 12/01/11		1,580		1,685
5.034%, 08/01/15		384		411
5.016%, 02/01/13		196		207
3.790%, 07/01/13		1,088		1,123
FNMA REMIC, Ser 2001-51, Cl QN
6.000%, 10/25/16		328		353
FNMA REMIC, Ser 2004-15, Cl AN
4.000%, 09/25/17		1,000		1,034
FNMA REMIC, Ser 2004-27, Cl HN
4.000%, 05/25/16		91		92
FNMA REMIC, Ser 2005-114, Cl EZ
5.500%, 01/25/36		921		915
FNMA REMIC, Ser 2006-72, Cl FY
0.705%, 08/25/36 (A)		2,336		2,302
FNMA REMIC, Ser 2006-79, Cl DF
0.635%, 08/25/36 (A)		673		663
GNMA
8.750%, 07/20/17		10		10


Description	Face Amount ($ Thousands)		Value ($ Thousands)
8.500%, 11/20/16 to 08/20/17	$	58	$	63
7.500%, 11/15/25 to 09/15/36		137		151
6.000%, 09/15/24		769		824

Total Mortgage-Backed Securities (Cost $37,337) ($ Thousands)				38,452

U.S. GOVERNMENT AGENCY OBLIGATIONS — 26.7%
FHLMC
5.750%, 01/15/12		4,000		4,412
2.125%, 09/21/12		2,000		2,033
FNMA
2.000%, 01/09/12		1,695		1,723
2.750%, 03/13/14		7,050		7,155
3.000%, 09/16/14		3,000		3,060

Total U.S. Government Agency Obligations (Cost $18,055) ($ Thousands)				18,383

U.S. TREASURY OBLIGATIONS — 15.1%
U.S. Treasury Notes
1.375%, 03/15/12 to 10/15/12 (C)		8,816		8,848
2.250%, 05/31/14		1,500		1,506

Total U.S. Treasury Obligations (Cost $10,185) ($ Thousands)				10,354

ASSET-BACKED SECURITY — 1.6%
Small Business Administration, Ser 2005-P10B, Cl 1 4.940%, 08/10/15		1,040		1,094

Total Asset-Backed Security (Cost $1,040) ($ Thousands)				1,094

REPURCHASE AGREEMENT (B) — 17.3%
BNP Paribas 0.080%, dated 10/30/09, to be repurchased on 11/02/09, repurchase price $11,900,079 (collateralized by various FNMA/FHLMC/GNMA obligations, ranging in par value $187,302-$10,751,589, 4.000%- 7.000%, 08/01/13-07/15/38, with total market value $12,138,000)		11,900		11,900

Total Repurchase Agreement (Cost $11,900) ($ Thousands)				11,900

Total Investments — 116.7% (Cost $78,517)($ Thousands) @			$	80,183

A summary of the open futures contracts held by the Fund at October 31, 2009, is as follows:


Type of Contract	Number of Contracts Long (Short)		Expiration Date	Unrealized Appreciation (Depreciation) ($ Thousands)
U.S. 2-Year Treasury Note	(50	)	Dec-2009	$	(87	)
U.S. 5-Year Treasury Note	268		Dec-2009		414
U.S. 10-Year Treasury Note	(6	)	Dec-2009		(13	)

				$	314

Percentages are based on Net Assets of $68,700 ($ Thousands).

(A)	Floating Rate Instrument. The rate reflected on the Schedule of Investments is the rate in effect on October 31, 2009. The demand and interest rate reset features give this security a shorter effective maturity date.

(B)	Tri-Party Repurchase Agreement.

(C)	Security, or portion thereof, is pledged as collateral on open futures contracts.

Cl — Class

FHLMC — Federal Home Loan Mortgage Corporation

FNMA — Federal National Mortgage Association

GNMA — Government National Mortgage Association

REMIC — Real Estate Mortgage Investment Conduit

Ser — Series

TBA — To Be Announced

As of October 31, 2009, all of the Fund’s investments are Level 2, with the exception of the futures contracts, which are Level 1.

Amounts designated as “—” are $0 or have been rounded to $0.

@	At October 31, 2009, the tax basis cost of the Fund’s investments was $78,517 ($ Thousands), and the unrealized appreciation and depreciation were $1,713 and $(47), respectively.


Description	Face Amount ($ Thousands)		Value ($ Thousands)
MORTGAGE-BACKED SECURITIES — 99.7%
Agency Mortgage-Backed Obligations — 99.7%
FHLMC REMIC, Ser 3279, IO
6.140%, 02/15/37 (A)	$	6,649	$	795
FHLMC REMIC, Ser 3309, IO
6.162%, 04/15/37 (A)		5,686		572
FNMA
8.000%, 09/01/14 to 09/01/28		208		237
7.000%, 08/01/29 to 09/01/32		398		438
6.500%, 09/01/32		208		226
FNMA REMIC, IO
6.164%, 03/25/37 (A)		14,182		1,459
FNMA REMIC, Ser 1990-91, Cl G
7.000%, 08/25/20		41		45
FNMA REMIC, Ser 1992-105, Cl B
7.000%, 06/25/22		75		84
FNMA REMIC, Ser 2002-42, Cl C
6.000%, 07/25/17		1,500		1,635
FNMA TBA
6.000%, 11/01/37		20,300		21,562
GNMA
10.000%, 05/15/16 to 04/15/20		26		28
9.500%, 11/15/16 to 11/15/20		71		82
9.000%, 12/15/17 to 05/15/22		197		223
8.500%, 10/15/16 to 06/15/17		54		59
8.000%, 04/15/17 to 03/15/32		830		948
7.750%, 10/15/26		45		51
7.500%, 02/15/27 to 05/15/36		855		945
7.250%, 01/15/28		156		176
7.000%, 04/15/19 to 06/20/38		7,488		8,217
6.750%, 11/15/27		50		55
6.500%, 09/15/10 to 02/20/39		15,681		16,791
6.000%, 07/15/24 to 06/15/39		21,451		22,817
5.500%, 10/15/32 to 10/15/39 (C)		38,602		40,867
5.000%, 04/15/33 to 09/15/38 (C)		26,335		27,532
4.500%, 08/15/33 to 02/15/39		5,108		5,198
GNMA REMIC, Ser 2002-45, Cl QE
6.500%, 06/20/32		1,146		1,244
GNMA REMIC, Ser 2005-70, Cl AI, IO
5.000%, 10/20/33		7,010		722
GNMA REMIC, Ser 2006-38, Cl XS, IO
6.960%, 09/16/35 (A)		3,188		387
GNMA TBA
6.000%, 11/01/33		400		425
5.500%, 11/01/33		24,975		26,341
4.500%, 11/22/33 to 11/15/39		10,750		10,901

Total Mortgage-Backed Securities (Cost $184,539) ($ Thousands)				191,062


Description	Face Amount ($ Thousands)		Value ($ Thousands)
REPURCHASE AGREEMENTS (B) — 30.1%
Credit Suisse 0.080%, dated 10/30/09, to be repurchased on 11/02/09, repurchase price $14,800,585 (collateralized by various FNMA obligations, ranging in par value $10,000-$209,648, 4.000%-9.000%, 07/01/10-08/01/39, with a total market value $15,096,597)	$	14,800	$	14,800
UBS 0.070%, dated 10/30/09, to be repurchased on 11/02/09, repurchase price $42,900,250 (collateralized by various FNMA obligations, ranging in par value $5,486,292-$26,203,087, 4.500%-6.000%, 04/01/13-06/01/39, with total market value $43,759,827)		42,900		42,900

Total Repurchase Agreements (Cost $57,700) ($ Thousands)				57,700

Total Investments — 129.8% (Cost $242,239) ($ Thousands) @			$	248,762

A summary of the open futures contracts held by the Fund at October 31, 2009, is as follows:


Type of Contract	Number of Contracts Long (Short)		Expiration Date	Unrealized Appreciation (Depreciation) ($ Thousands)
U.S. 2-Year Treasury Note	(38	)	Dec-2009	$	(66	)
U.S. 5-Year Treasury Note	(31	)	Dec-2009		9
U.S. 10-Year Treasury Note	183		Dec-2009		252
U.S. Long Treasury Note	40		Dec-2009		(23	)

				$	172

Percentages are based on Net Assets of $191,706 ($ Thousands).

(A)	Floating Rate Instrument. The rate reflected on the Schedule of Investments is the rate in effect on October 31, 2009. The demand and interest rate reset features give this security a shorter effective maturity date.

(B)	Tri-Party Repurchase Agreement

(C)	Security, or portion thereof, is pledged as collateral on open futures contracts.

Cl — Class

FHLMC — Federal Home Loan Mortgage Corporation

FNMA — Federal National Mortgage Association

GNMA — Government National Mortgage Association

IO — Interest Only—face amount represents notional amount

REMIC — Real Estate Mortgage Investment Conduit

Ser — Series

TBA — To Be Announced


Description	Face Amount ($ Thousands)		Value ($ Thousands)
ASSET-BACKED SECURITIES—30.0%
Automotive — 16.2%
AESOP Funding II, Ser 2009-2A, Cl A 5.680%, 02/20/14 (A)	$	615	$	639
Ally Auto Receivables Trust, Ser 2009- A, Cl A3 2.330%, 06/17/13 (A)		435		435
AmeriCredit Automobile Receivables Trust, Ser 2007-AX, Cl A3 5.190%, 11/06/11		7		7
AmeriCredit Automobile Receivables Trust, Ser 2009-1, Cl A2 3.150%, 05/15/12		1,750		1,759
AmeriCredit Automobile Receivables Trust, Ser 2004-DF, Cl A4 3.430%, 07/06/11		89		90
AmeriCredit Automobile Receivables Trust, Ser 2006-AF, Cl A3A 5.640%, 09/06/13		922		949
AmeriCredit Automobile Receivables Trust, Ser 2007-CM, Cl A3A 5.420%, 05/07/12		932		949
Bank of America Auto Trust, Ser 2009- 1A, Cl A2 1.700%, 12/15/11 (A)		1,250		1,258
Capital Auto Receivables Asset Trust, Ser 2007-3, Cl A3A 5.020%, 09/15/11		1,048		1,066
Capital One Auto Finance Trust, Ser 2007-C, Cl A3A 5.130%, 04/16/12		999		1,020
Capital One Auto Finance Trust, Ser 2005-C, Cl A4A 4.710%, 06/15/12		1,021		1,033
Capital One Auto Finance Trust, Ser 2006-A, Cl A4 0.255%, 12/15/12 (B)		1,559		1,545
Capital One Prime Auto Receivables Trust, Ser 2006-2, Cl A4 4.940%, 07/15/12		539		551
Carmax Auto Owner Trust, Ser 2008-1, Cl A4A 4.790%, 02/15/13		1,750		1,831
Carmax Auto Owner Trust, Ser 2008-2, Cl A2A 4.060%, 09/15/11		937		950
Carmax Auto Owner Trust, Ser 2006-2, Cl A4 5.140%, 11/15/11		1,120		1,151
Chrysler Financial Auto Securitization Trust, Ser 2009-A, Cl A2 1.850%, 06/15/11		420		423


Description	Face Amount ($ Thousands)		Value ($ Thousands)
CitiFinancial Auto Issuance Trust, Ser 2009-1, Cl A2 1.830%, 11/15/12 (A)	$	1,500	$	1,496
Daimler Chrysler Auto Trust, Ser 2006- C, Cl A4 4.980%, 11/08/11		1,680		1,714
Daimler Chrysler Auto Trust, Ser 2008- B, Cl A2B 1.174%, 07/08/11 (B)		809		810
Daimler Chrysler Auto Trust, Ser 2007- A, Cl A3A 5.000%, 02/08/12		1,100		1,125
Ford Credit Auto Owner Trust, Ser 2006- B, Cl A4 5.250%, 09/15/11		1,335		1,365
Ford Credit Auto Owner Trust, Ser 2006- C, Cl A3 5.160%, 11/15/10		287		288
Ford Credit Auto Owner Trust, Ser 2008- A, Cl A3A 3.960%, 04/15/12		1,579		1,610
Ford Credit Auto Owner Trust, Ser 2009- D, Cl A2 1.210%, 01/15/12		560		562
Ford Credit Auto Owner Trust, Ser 2009- B, Cl A2 2.460%, 11/15/11		400		403
Ford Credit Auto Owner Trust, Ser 2008- B, Cl A2 1.445%, 12/15/10 (B)		490		491
Ford Credit Auto Owner Trust, Ser 2007- B, Cl A3A 5.150%, 11/15/11		631		646
Ford Credit Auto Owner Trust, Ser 2006- A, Cl A4 5.070%, 12/15/10		822		828
Hertz Vehicle Financing LLC, Ser 2009- 2A, Cl A1 4.260%, 03/25/14 (A)		785		789
Honda Auto Receivables Owner Trust, Ser 2009-3, Cl A2 1.500%, 08/15/11		315		317
Honda Auto Receivables Owner Trust, Ser 2009-2, Cl A2 2.220%, 08/15/11		1,295		1,307
Hyundai Auto Receivables Trust, Ser 2009-A, Cl A3 2.030%, 08/15/13		425		428
Hyundai Auto Receivables Trust, Ser 2006-A, Cl A4 5.260%, 11/15/12		843		853
Hyundai Auto Receivables Trust, Ser 2008-A, Cl A2 4.160%, 05/16/11		1,132		1,144


Description	Face Amount ($ Thousands)		Value ($ Thousands)
Hyundai Auto Receivables Trust, Ser 2007-A, Cl A3A 5.040%, 01/17/12	$	805	$	822
Long Beach Auto Receivables Trust, Ser 2006-B, Cl A3 5.170%, 08/15/11		125		126
Mercedes-Benz Auto Receivables Trust, Ser 2009-1, Cl A2 0.830%, 03/15/12		680		680
Nissan Auto Receivables Owner Trust, Ser 2006-A, Cl A3 4.460%, 04/16/12		1,925		1,985
Nissan Auto Receivables Owner Trust, Ser 2008-A, Cl A3 3.890%, 08/15/11		535		543
USAA Auto Owner Trust, Ser 2009-1, Cl A2 2.640%, 08/15/11		355		358
USAA Auto Owner Trust, Ser 2008-2, Cl A2 3.910%, 01/15/11		121		121
USAA Auto Owner Trust, Ser 2006-4, Cl A3 5.010%, 06/15/11		425		427
USAA Auto Owner Trust, Ser 2007-2, Cl A3 4.900%, 02/15/12		672		683
USAA Auto Owner Trust, Ser 2008-1, Cl A3 4.160%, 04/16/12		764		778
Wachovia Auto Loan Owner Trust, Ser 2006-1, Cl A4 5.080%, 04/20/12 (A)		691		700
Wachovia Auto Owner Trust, Ser 2005-B, Cl A5 4.930%, 11/20/12		1,500		1,508
Wachovia Auto Owner Trust, Ser 2008-A, Cl A2A 4.090%, 05/20/11		614		618

				41,181

Credit Card — 5.7%
American Express Issuance Trust, Ser 2005-1, Cl A 0.275%, 08/15/11 (B)		1,200		1,197
American Express Issuance Trust, Ser 2007-1, Cl A 0.445%, 09/15/11 (B)		715		714
Bank of America Credit Card Trust, Ser 2008-A9, Cl A9 4.070%, 07/16/12		1,000		1,010
Bank of America Credit Card Trust, Ser 2007-A13, Cl A13 0.465%, 04/16/12 (B)		1,500		1,500


Description	Face Amount ($ Thousands)		Value ($ Thousands)
Capital One Multi-Asset Execution Trust, Ser 2007-C2, Cl C2 0.545%, 11/15/14 (B)	$	1,200	$	1,120
Capital One Multi-Asset Execution Trust, Ser 2009-A1, Cl A1 1.345%, 04/15/13 (B)		1,000		1,004
Capital One Multi-Asset Execution Trust, Ser 2007-C3, Cl C3 0.535%, 04/15/13 (B)		1,500		1,480
Chase Issuance Trust, Ser 2009-A5, Cl A5 1.045%, 06/15/12 (B)		1,500		1,506
Discover Card Master Trust, Ser 2008-A3, Cl A3 5.100%, 10/15/13		810		850
Discover Card Master Trust, Ser 2008-A2 1.245%, 09/17/12 (B)		2,750		2,756
Washington Mutual Master Note Trust, Ser 2006-C2A, Cl C2 0.745%, 08/15/15 (A) (B)		1,300		1,239

				14,376

Miscellaneous Business Services — 6.3%
ACAS Business Loan Trust, Ser 2005-1A, Cl A1 0.532%, 07/25/19 (A) (B)		787		702
ACAS Business Loan Trust, Ser 2007-1A, Cl C 1.290%, 08/16/19 (A) (B)		1,271		343
Babson CLO Ltd., Ser 2007-1A, Cl A1 0.509%, 01/18/21 (A)(B)		1,118		936
Capital Source Commercial Loan Trust, Ser 2006-1A, Cl C 0.795%, 08/22/16 (A) (B)		494		203
Capital Source Commercial Loan Trust, Ser 2006-2A, Cl A1A 0.455%, 09/20/22 (A)(B)		759		683
Caterpillar Financial Asset Trust, Ser 2008-A, Cl A2A 4.090%, 12/27/10		194		195
Citigroup Mortgage Loan Trust, Ser 2006-WFH3, Cl M1 0.536%, 10/25/36 (B)		1,325		51
CNH Equipment Trust, Ser 2009-B, Cl A2 2.400%, 05/16/11		756		758
Colts Trust, Ser 2006-2A, Cl A 0.889%, 12/20/18 (A)(B)		1,727		1,468
Countrywide Asset-Backed Certificates, Ser 2006-2, Cl 2A2 0.434%, 06/25/36 (B)		425		324


Description	Face Amount ($ Thousands)		Value ($ Thousands)
Credit-Based Asset Servicing and Securitization , Ser 2006-16A, Cl A
0.572%, 09/06/41 (A)(B)	$	1,418	$	71
First Franklin Mortgage Loan Asset Backed Certificates, Ser 2007-FF1, Cl M2
0.504%, 01/25/38 (B)		1,250		2
Ford Credit Floorplan Master Owner Trust, Ser 2006-4, Cl A
0.495%, 06/15/13 (B)		1,440		1,393
Franklin CLO, Ser 2003-4A, Cl A
0.842%, 09/20/15 (A)(B)		359		337
GE Commercial Loan Trust, Ser 2006-3, Cl C
0.834%, 01/19/17 (A)(B)		642		29
GE Dealer Floorplan Master Note Trust, Ser 2007-2, Cl A
0.255%, 07/20/12 (B)		600		593
GE Equipment Small Ticket LLC, Ser 2005-2A, Cl A4
5.010%, 06/22/15 (A)		997		972
GMAC Mortgage Loan Trust, Ser 2006- HE4, Cl A2
0.424%, 12/25/36 (B)		1,462		626
JP Morgan Mortgage Acquisition, Ser 2007-CH5, Cl M1
0.514%, 05/25/37 (B)		2,000		92
Katonah CLO, Ser 2005-7A, Cl B
1.303%, 11/15/17 (A)(B)		1,200		684
Lambda Finance, Ser 2005-1A, Cl B3
0.810%, 11/15/29 (A)(B)		840		764
Long Beach Mortgage Loan Trust, Ser 2006-6, Cl 2A3
0.394%, 07/25/36 (B)		1,190		408
Madison Park Funding CLO, Ser 2007- 4A, Cl A1B
0.589%, 03/22/21 (A)(B)		1,000		680
Marlin Leasing Receivables LLC, Ser 2005-1A, Cl B
5.090%, 08/15/12 (A)		22		22
Merritt Funding Trust CLO, Ser 2005- 2A, Cl B
0.984%, 07/15/15 (A)(B)		541		298
Morgan Stanley ABS Capital I, Ser 2006- WMC1, Cl A2B
0.444%, 12/25/35 (B)		552		480
Sierra Receivables Funding, Ser 2009- 1A, Cl A1
9.790%, 12/22/25 (A)		483		485
Sierra Receivables Funding, Ser 2009- 2A, Cl NOTE
4.520%, 08/20/26 (A)		572		572


Description	Face Amount ($ Thousands)		Value ($ Thousands)
Sierra Receivables Funding, Ser 2007- 2A, Cl A2
1.245%, 09/20/19 (A)(B)	$	391	$	331
SLM Student Loan Trust, Ser 2003-A, Cl A1
0.739%, 12/15/15 (B)		7		7
Superior Wholesale Inventory Financing Trust, Ser 2007-AE1, Cl B
0.545%, 01/15/12 (B)		110		110
Superior Wholesale Inventory Financing Trust, Ser 2007-AE1, Cl C
0.845%, 01/15/12 (B)		200		198
William Street Funding, Ser 2006-1, Cl A
0.513%, 01/23/12 (A)(B)		1,260		1,191

				16,008

Mortgage Related—1.8%
ACE Securities, Ser 2006-CW1, Cl A2C
0.384%, 07/25/36 (B)		895		426
Asset-Backed Funding Certificates, Ser 2006-OPT2, Cl A3B
0.354%, 10/25/36 (B)		1,665		1,497
Bear Stearns Asset-Backed Securities Trust, Ser 2005-HE11, Cl A2
0.494%, 11/25/35 (B)		115		101
Morgan Stanley Home Equity Loans, Ser 2005-4, Cl A2B
0.464%, 09/25/35 (B)		142		140
Option One Mortgage Loan Trust, Ser 2003-3, Cl A2
0.844%, 06/25/33 (B)		127		84
Option One Mortgage Loan Trust, Ser 2007-FXD1, Cl 3A3
5.611%, 01/25/37 (B)		305		105
Option One Mortgage Loan Trust, Ser 2006-1, Cl 2A2
0.374%, 01/25/36 (B)		134		132
Option One Mortgage Loan Trust, Ser 2007-FXD2, Cl 2A
1 5.900%, 03/25/37 (C)		500		479
Option One Mortgage Loan Trust, Ser 2005-5, Cl A3
0.454%, 12/25/35 (B)		777		633
Option One Mortgage Loan Trust, Ser 2007-HL1, Cl 2A1
0.366%, 02/25/38 (B)		350		299
Residential Asset Securities, Ser 2006- EMX6, Cl A3
0.394%, 07/25/36 (B)		1,005		566

				4,462

Total Asset-Backed Securities (Cost $88,399) ($ Thousands)				76,027


Description	Face Amount ($ Thousands)		Value ($ Thousands)
CORPORATE OBLIGATIONS—27.0%
Banks—4.4%
Calyon
0.407%, 02/26/10(B)	$	1,500	$	1,498
Citibank
0.284%, 07/12/11(B)		680		680
1.250%, 09/22/11		1,250		1,255
Comerica Bank
0.345%, 05/10/10(B)		1,000		990
PNC Funding
0.569%, 06/22/11(B)		1,180		1,186
Santander US Debt Unipersonal
0.683%, 10/21/11 (A)(B)		1,650		1,647
Wachovia
0.419%, 03/15/11(B)		1,750		1,740
Wells Fargo
4.200%, 01/15/10		800		805
0.519%, 06/15/12(B)		1,250		1,258

				11,059

Consumer Products—2.0%
CVS Caremark
0.661%, 06/01/10(B)		865		865
President and Fellows of Harvard College
3.700%, 04/01/13		1,325		1,376
Procter & Gamble MTN
0.489%, 03/09/10(B)		685		686
Procter & Gamble
0.478%, 05/07/10(B)		605		604
Procter & Gamble International Funding SCA
1.350%, 08/26/11		1,250		1,260
Staples
7.750%, 04/01/11		350		376

				5,167

Financial Services—5.9%
American Express Credit MTN
1.644%, 05/27/10(B)		1,750		1,756
Bank of America
7.800%, 02/15/10		594		604
2.100%, 04/30/12		1,500		1,525
Citigroup
2.125%, 04/30/12		150		153
General Electric Capital
0.371%, 04/28/11(B)		1,250		1,233
0.292%, 12/21/12(B)		5,750		5,752
GMAC
2.200%, 12/19/12		600		608
0.292%, 12/19/12(B)		1,750		1,751
Principal Life Income Funding Trusts
0.600%, 11/15/10(B)		750		734


Description	Face Amount ($ Thousands)		Value ($ Thousands)
Toyota Motor Credit MTN
1.531%, 01/29/10 (B)	$	967	$	967

				15,083

Food, Beverage & Tobacco—1.1%
Anheuser-Busch InBev Worldwide
3.000%, 10/15/12 (A)		1,250		1,261
General Mills
0.413%, 01/22/10 (B)		1,500		1,500

				2,761

Health Care—0.8%
Merck
1.875%, 06/30/11		1,010		1,023
Pfizer
4.450%, 03/15/12		1,000		1,060

				2,083

Industrials—0.2%
Continental Airlines
0.698%, 06/02/13 (B)		750		585

Information Technology—0.4%
Dell
3.375%, 06/15/12		350		363
Hewlett-Packard
1.430%, 05/27/11 (B)		585		594

				957

Insurance—2.1%
MBIA Insurance
14.000%, 01/15/33 (A)(B)		1,000		430
Metropolitan Life Global Funding I MTN
1.035%, 06/25/10 (A)(B)		2,225		2,229
Metropolitan Life Global Funding I
2.202%, 06/10/11 (A)(B)		965		964
Monumental Global Funding III
0.484%, 01/15/14 (A)(B)		1,900		1,589

				5,212

Investment Banker/Broker Dealer—5.5%
Citigroup Funding
0.392%, 05/05/11 (B)		1,960		1,959
Goldman Sachs Group
1.625%, 07/15/11		1,600		1,620
3.250%, 06/15/12		2,500		2,613
JPMorgan Chase
3.125%, 12/01/11		1,250		1,301
0.533%, 12/26/12 (B)		375		378
Merrill Lynch MTN
4.250%, 02/08/10		1,600		1,615
Morgan Stanley, Ser G
0.584%, 01/09/14 (B)		1,000		944


Description	Face Amount ($ Thousands)		Value ($ Thousands)
Morgan Stanley
2.000%, 09/22/11	$	2,200	$	2,243
0.744%, 02/10/12 (B)		1,200		1,208

				13,881

Security And Commodity Brokers — 0.4%
Genworth Global Funding Trusts, Ser 2007-B
0.580%, 05/15/12 (B)		1,200		1,099

Sovereign — 0.9%
Province of Ontario Canada
0.875%, 05/22/12 (B)		1,060		1,071
Republic of Austria MTN
2.000%, 11/15/12 (A)		1,115		1,118

				2,189

Telephones & Telecommunication — 1.7%
AT&T
0.572%, 02/05/10 (B)		1,000		1,000
Deutsche Telekom International Finance
8.500%, 06/15/10		1,500		1,567
Verizon Wireless Capital LLC
3.025%, 05/20/11 (A)(B)		795		821
5.250%, 02/01/12 (A)		785		839

				4,227

Utilities — 1.6%
Dominion Resources
1.343%, 06/17/10 (B)		1,640		1,648
Pacific Gas & Electric
1.252%, 06/10/10 (B)		895		899
Southern
0.683%, 10/21/11 (B)		1,500		1,504

				4,051

Total Corporate Obligations (Cost $68,859) ($ Thousands)				68,354

MORTGAGE-BACKED SECURITIES — 25.9%
Agency Mortgage-Backed Obligations — 6.9%
FHLMC
3.769%, 02/01/22 (B)		1,012		1,026
3.470%, 02/01/30 (B)		632		640
FHLMC REMIC, Ser 1599, Cl C
6.100%, 10/15/23		204		217
FHLMC REMIC, Ser 2004-2780, Cl LC
5.000%, 07/15/27		673		696
FHLMC REMIC, Ser 2630, Cl HA
3.000%, 01/15/17		751		761
FNMA
6.000%, 01/01/27		1,339		1,438
5.000%, 01/01/19		2,373		2,533
4.500%, 06/01/18 to 04/01/19		4,075		4,313
4.349%, 09/01/24 (B)		495		507


Description	Face Amount ($ Thousands)		Value ($ Thousands)
4.163%, 09/01/24 (B)	$	193	$	197
4.000%, 12/01/19		3,000		3,079
3.957%, 11/01/23 (B)		398		402
3.846%, 01/01/29 (B)		66		66
3.815%, 11/01/25 (B)		78		79
3.449%, 11/01/21 (B)		114		115
3.329%, 05/01/28 (B)		656		653
FNMA REMIC, Ser 1993-220, Cl FA
0.881%, 11/25/13 (B)		90		90
FNMA REMIC, Ser 1993-58, Cl H
5.500%, 04/25/23		170		184
FNMA REMIC, Ser 2001-33, Cl FA
0.694%, 07/25/31 (B)		219		217
FNMA REMIC, Ser 2002-63, Cl QF
0.544%, 04/25/29 (B)		34		34
FNMA REMIC, Ser 2002-64, Cl FG
0.495%, 10/18/32 (B)		131		130
FNMA REMIC, Ser 2002-78, Cl AU
5.000%, 06/25/30		20		20

				17,397

Non-Agency Mortgage-Backed Obligations — 19.0%
Banc of America Funding, Ser 2005-F, Cl 4A1
5.309%, 09/20/35 (B)		736		546
Banc of America Funding, Ser 2006-D, Cl 3A1
5.557%, 05/20/36 (B)		878		634
Banc of America Large Loan, Ser 2007- BMB1
0.755%, 08/15/29 (A)(B)		585		511
Banc of America Mortgage Securities, Ser 2005-A, Cl 2A2
4.448%, 02/25/35 (B)		1,170		1,106
Banc of America Mortgage Securities, Ser 2005-F, Cl 2A2
4.996%, 07/25/35 (B)		2,036		1,747
Banc of America Mortgage Securities, Ser 2005-H, Cl 2A1
4.798%, 09/25/35 (B)		649		546
Banc of America Mortgage Securities, Ser 2005-J, Cl 2A1
5.077%, 11/25/35 (B)		226		184
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2005-12, Cl 11A1
4.409%, 02/25/36 (B)		466		310
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2005-3, Cl 2A1
5.086%, 06/25/35 (B)		674		553
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2005-6, Cl 3A1
5.270%, 08/25/35 (B)		1,035		782


Description	Face Amount ($ Thousands)		Value ($ Thousands)
Bear Stearns Commercial Mortgage Securities, Ser 2000-WF2, Cl A2
7.320%, 10/15/32 (B)	$	1,490	$	1,528
Bear Stearns Commercial Mortgage Securities, Ser 2001-TOP2, Cl A2
6.480%, 02/15/35		1,600		1,656
Citigroup Commercial Mortgage Trust, Ser 2006-FL2, Cl D
0.455%, 08/15/21 (A)(B)		510		327
Citigroup Commercial Mortgage Trust, Ser 2007-FL3A, Cl J
1.195%, 04/15/22 (A)(B)		550		58
Citigroup Mortgage Loan Trust, Ser 2004-HYB3, Cl 1A
3.484%, 09/25/34 (B)		334		289
Citigroup Mortgage Loan Trust, Ser 2006-AR2, Cl 1A1
5.625%, 03/25/36 (B)		889		644
Countrywide Alternative Loan Trust, Ser 2007-HY5R, Cl 2A1A
5.544%, 03/25/47 (B)		1,020		877
Countrywide Home Loans, Ser 2004-29, Cl 1A1
0.784%, 02/25/35 (B)		110		73
Countrywide Home Loans, Ser 2005-7, Cl 1A1
0.514%, 03/25/35 (B)		190		136
Countrywide Home Loans, Ser 2005- HY10, Cl 3A1A
5.362%, 02/20/36 (B)		856		526
Crusade Global Trust, Ser 2003-1, Cl A
0.484%, 01/17/34 (B)		327		323
Crusade Global Trust, Ser 2004-1, Cl A1
0.434%, 01/16/35 (B)		90		88
CS First Boston Mortgage Securities, Ser 2001-CF2, Cl A4
6.505%, 02/15/34		1,484		1,528
DLJ Commercial Mortgage, Ser 2000- CKP1, Cl A1B
7.180%, 11/10/33		1,054		1,083
First Horizon Asset Securities, Ser 2005- 2, Cl 1A1
5.500%, 05/25/35		446		446
Fosse Master Issuer PLC, Ser 2007-1A, Cl C2
0.834%, 10/18/54 (A)(B)		1,305		1,195
GE Commercial Loan Trust CLO, Ser 2006-2, Cl C
0.834%, 10/19/16 (A)(B)		334		102
GMAC Commercial Mortgage Securities, Ser 2000-C3, Cl A2
6.957%, 09/15/35		973		1,007


Description	Face Amount ($ Thousands)		Value ($ Thousands)
GMAC Mortgage Loan Trust, Ser 2005- AR6, Cl 2A1
5.227%, 11/19/35 (B)	$	1,060	$	848
Granite Master Issuer PLC, Ser 2007-1, Cl 1C1
0.545%, 12/20/54 (B)		410		115
GSR Mortgage Loan Trust, Ser 2005- AR4, Cl 2A1
4.079%, 07/25/35 (B)		1,294		1,004
GSR Mortgage Loan Trust, Ser 2006- AR1, Cl 2A1
5.167%, 01/25/36 (B)		1,643		1,243
GSR Mortgage Loan Trust, Ser 2007- AR2, Cl 1A1
5.767%, 05/25/47 (B)		1,272		908
Impac CMB Trust, Ser 2004-9, Cl 1A1
1.004%, 01/25/35 (B)		310		212
Impac CMB Trust, Ser 2005-2, Cl 1A1
0.504%, 04/25/35 (B)		341		188
Impac CMB Trust, Ser 2005-3, Cl A1
0.484%, 08/25/35 (B)		306		197
Impac CMB Trust, Ser 2005-5, Cl A1
0.564%, 08/25/35 (B)		250		131
Impac CMB Trust, Ser 2005-8, Cl 1A
0.504%, 02/25/36 (B)		792		415
Interstar Millennium Trust, Ser 2004-2G, Cl A
0.700%, 03/14/36 (B)		171		158
JP Morgan Mortgage Trust, Ser 2005-A6, Cl 7A1
4.956%, 08/25/35 (B)		821		688
JP Morgan Mortgage Trust, Ser 2007-A3, Cl 1A1
5.406%, 05/25/37 (B)		1,085		791
Master Adjustable Rate Mortgages Trust, Ser 2004-12, Cl 5A1
4.322%, 10/25/34 (B)		175		140
Medallion Trust, Ser 2004-1G, Cl A1
0.523%, 05/25/35 (B)		140		135
Merrill Lynch Mortgage Investors, Ser 2005-A2, Cl A2
4.479%, 02/25/35 (B)		2,107		1,959
Merrill Lynch Mortgage Investors, Ser 2005-A3, Cl A1
0.514%, 04/25/35 (B)		351		234
Merrill Lynch Mortgage-Backed Securities Trust, Ser 2007-2, Cl 1A1
5.800%, 08/25/36 (B)		1,357		983
Merrill Lynch Mortgage-Backed Securities Trust, Ser 2007-3, Cl 2A1
5.558%, 06/25/37 (B)		1,281		879
MLCC Mortgage Investors, Ser 2004-G, Cl A1
0.524%, 01/25/30 (B)		96		74


Description	Face Amount ($ Thousands)		Value ($ Thousands)
MLCC Mortgage Investors, Ser 2004- HB1, Cl A1 0.604%, 04/25/29 (B)	$	148	$	90
MLCC Mortgage Investors, Ser 2005-A, Cl A
1 0.474%, 03/25/30 (B)		123		90
MLCC Mortgage Investors, Ser 2006-1, Cl 2A1
5.185%, 02/25/36 (B)		612		541
Morgan Stanley Dean Witter Capital I, Ser 2001-TOP1, Cl A4
6.660%, 02/15/33		405		418
Morgan Stanley Dean Witter Capital I, Ser 200-LIF2, Cl A2
7.200%, 10/15/33		663		680
MortgageIT Trust, Ser 2005-2, Cl 1A1
0.504%, 05/25/35 (B)		262		141
MortgageIT Trust, Ser 2005-3, Cl A1
0.544%, 08/25/35 (B)		875		505
MortgageIT Trust, Ser 2005-4, Cl A1
0.524%, 10/25/35 (B)		1,181		803
MortgageIT Trust, Ser 2005-5, Cl A1
0.504%, 12/25/35 (B)		1,116		745
Paragon Mortgages PLC, Ser 12A, Cl A2C
0.993%, 11/15/38 (A)(B)		334		250
Paragon Mortgages PLC, Ser 15A, Cl A2C
0.409%, 12/15/39 (A)(B)		790		620
Prima, Ser 2006-1, Cl A1
5.417%, 12/28/48		725		595
Puma Finance, Ser S1, Cl A
0.864%, 08/09/35 (A)(B)		133		126
Residential Funding Mortgage Securities I, Ser 2005-SA5, Cl 2A
5.318%, 11/25/35 (B)		639		496
Residential Funding Mortgage Securities I, Ser 2007-SA2, Cl 2A2
5.653%, 04/25/37 (B)		851		616
Residential Funding Mortgage Securities I, Ser 2007-SA3, Cl 2A1
5.756%, 07/27/37 (B)		1,139		773
Sequoia Mortgage Trust, Ser 2004-12, Cl A1
0.515%, 01/20/35 (B)		124		99
Sequoia Mortgage Trust, Ser 2005-1, Cl A1
0.475%, 02/20/35 (B)		121		83
WaMu Mortgage Pass-Through Certificates, Ser 2006-AR2, Cl 1A1
5.279%, 03/25/37 (B)		1,482		1,147
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-BB, Cl A2
4.507%, 01/25/35 (B)		766		738


Description	Face Amount ($ Thousands)		Value ($ Thousands)
Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR1, Cl 2A1
4.489%, 02/25/35 (B)	$	643	$	603
Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR16, Cl 3A2
4.310%, 10/25/35 (B)		1,044		1,006
Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR16, Cl 6A3
5.000%, 10/25/35 (B)		1,732		1,572
Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR4, Cl 2A2
4.514%, 04/25/35 (B)		577		569
Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR10, Cl 2A1
5.600%, 07/25/36 (B)		1,395		1,067
Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR12, Cl 1A1
6.025%, 09/25/36 (B)		1,007		778
Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR5, Cl 2A1
5.536%, 04/25/36 (B)		1,009		790
Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR6, Cl 2A1
5.094%, 03/25/36 (B)		1,216		1,034
Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR8, Cl 2A1
5.240%, 04/25/36 (B)		1,260		1,039
Westpac Securitization Trust, Ser 2005-1G, Cl A1
0.359%, 03/23/36 (B)		211		204

				48,325

Total Mortgage-Backed Securities (Cost $76,867) ($ Thousands)				65,722

U.S. GOVERNMENT AGENCY OBLIGATIONS — 12.9%
FHLB
0.570%, 12/29/10		3,500		3,500
0.850%, 01/20/11		5,000		5,015
1.375%, 05/16/11		2,500		2,524
2.250%, 04/13/12		1,000		1,023
FNMA
2.500%, 04/09/10		8,000		8,078
4.750%, 04/19/10		5,000		5,098
1.750%, 03/23/11		5,000		5,072
1.375%, 04/28/11		2,335		2,355

Total U.S. Government Agency Obligations (Cost $32,423) ($ Thousands)				32,665


Description	Face Amount ($ Thousands)		Value ($ Thousands)
U.S. TREASURY OBLIGATION — 7.5%
U.S. Treasury Inflation Protected Security
0.875%, 04/15/10	$	16,750	$	19,129

Total U.S. Treasury Obligation (Cost $19,108) ($ Thousands)				19,129

MUNICIPAL BOND — 0.5%
New Jersey — 0.5%
New Jersey Economic Development Authority, Ser B, RB
5.226%, 02/15/10		1,305		1,294

Total Municipal Bond (Cost $1,286) ($ Thousands)				1,294

REPURCHASE AGREEMENT (D) — 3.2%
BNP Paribas 0.0800%, dated 10/30/09, to be repurchased on 11/02/09, repurchase price $8,200,055 (collateralized by various FHLMC/FNMA obligations, ranging in par value $7,246- $13,174,834, 4.000%-7.500%, 06/01/11-09/01/39, with total market value $8,364,000)		8,200		8,200

Total Repurchase Agreement (Cost $8,200) ($ Thousands)				8,200

Total Investments — 107.0% (Cost $295,142)($ Thousands) @			$	271,391

A summary of the open futures contracts held by the Fund at October 31, 2009, is as follows:


Type of Contract	Number of Contracts Long (Short)		Expiration Date	Unrealized Appreciation (Depreciation) ($ Thousands)
U.S. 2-Year Treasury Note	56		Dec-2009	$	45
U.S. 5-Year Treasury Note	(40	)	Dec-2009		(71	)
U.S. 10-Year Treasury Note	(17	)	Dec-2009		(20	)

				$	(46	)

Percentages are based on Net Assets of $253,541 ($ Thousands).

(A)

Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other “accredited investors.” These securities have been determined to be liquid under guidelines established by the Board of Trustees.

(B)	Floating Rate Instrument. The rate reflected on the Schedule of Investments is the rate in effect on October 31, 2009. The demand and interest rate reset features give this security a shorter effective maturity date.

(C)	Step Bonds—The rate reflected on the Schedule of Investment s is the effective yield on October 31, 2009. The coupon on a step bond changes on a specific date.

(D)	Tri-Party Repurchase Agreement

ABS—Asset-Backed Security

Cl—Class

CLO—Collateralized Loan Obligation

FHLB—Federal Home Loan Bank

FHLMC—Federal Home Loan Mortgage Corporation

FNMA—Federal National Mortgage Association

LLC—Limited Liability Company

Ltd.—Limited

MTN—Medium Term Note

PLC—Public Limited Company

REMIC—Real Estate Mortgage Investment Conduit

RB—Revenue Bond

Ser—Series

The following is a summary of the inputs used as of October 31, 2009 in value the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Asset-Backed Securities	$	—	$	74,935	$	1,092	$	76,027
Mortgage-Backed
Securities		—		65,722		—		65,722
Corporate Obligations		—		68,354		—		68,354
U.S. Government Agency
Obligations		—		32,665		—		32,665
U.S. Treasury Obligations		—		19,129		—		19,129
Municipal Bonds		—		1,294		—		1,294
Repurchase Agreement		—		8,200		—		8,200

Total	$	—	$	270,299	$	1,092	$	271,391


Other Financial Instruments	Level 1			Level 2		Level 3
Futures	$	(46	)	$	—	$	—

The following is a reconciliation of the investments in which significant unobservable inputs (Level 3) were used in determining value ($ Thousands):


	Asset-Backed Securities
Beginning balance as of January 31, 2009	$	1,139
Accrued discounts/premiums		—
Realized gain/(loss)		—
Change in unrealized appreciation/(depreciation)		55
Net purchases/sales		(102	)
Net transfer in and/or out of Level 3		—

Ending balance as of October 31, 2009	$	1,092

Amounts designated as “—” are $0 or have been rounded to $0.

@	At October 31, 2009, the tax basis cost of the Fund’s investments was $295,142 ($ Thousands), and the unrealized appreciation and depreciation were $2,050 and $(25,801), respectively.

(a) The certifying officers, whose certifications are included herewith, have evaluated the Registrant’s disclosure controls and procedures within 90 days of the filing date of this report. In their opinion, based on their evaluation, the Registrant’s disclosure controls and procedures are adequately designed, and are operating effectively to ensure, that information required to be disclosed by the Registrant in the reports it files or submits under the Securities Exchange Act of 1934 is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms.

(b) There were no significant changes in the Registrant’s internal control over financial reporting 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.

(a) A separate certification for the principal executive officer and the principal financial officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(a)), are filed herewith.

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

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


(Registrant)		SEI Daily Income Trust

By (Signature and Title)		/s/ ROBERT A. NESHER

		Robert A. Nesher, President

Date: December 29, 2009